Sei Institutional Investments Trust NCSR Certified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

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)

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: May 31, 2011

Item 1.

Reports to Stockholders.

LOGO

SEI Institutional Investments Trust

Annual Report as of May 31, 2011

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

Ultra Short Duration Bond Fund

Emerging Markets Debt Fund

Real Return Fund

Dynamic Asset Allocation Fund

TABLE OF CONTENTS



Management’s Discussion and Analysis of Fund Performance			1

Summary Schedules of Investments/Schedules of Investments			24

Statements of Assets and Liabilities			160

Statements of Operations			164

Statements of Changes in Net Assets			168

Financial Highlights			174

Notes to Financial Statements			177

Report of Independent Registered Public Accounting Firm			193

Trustees and Officers of the Trust			194

Disclosure of Fund Expenses			197

Board of Trustees Consideration in Approving the Advisory and Sub-Advisory Agreements			199

Notice to Shareholders			202

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.

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2011 (Unaudited)

Large Cap Fund

I. Objective:

The Large Cap Fund (the “Fund”) seeks to provide long-term growth of capital and income.

II. Multi-Manager Approach Statement:

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. (“SIMC”). The Fund utilizes the following sub-advisers as of May 31, 2011: Quantitative Management Associates, LLC, Legg Mason Capital Management, Inc., Delaware Management Company, Neuberger Berman Management LLC, Aronson + Johnson + Ortiz, L.P., LSV Asset Management and West End Advisors LLC. For the fiscal year ended May 31, 2011, West End Advisors LLC were added to the Fund.

III. Market Commentary:

The U.S. equity market, as measured by the Russell 1000 Index, gained 26.81% during the fiscal year ending May 31, 2011. Following a selloff during the second quarter of 2010, equity markets rebounded significantly in the second half of 2010 as investors gained confidence in the prospects of an economic recovery. Gains extended into the first quarter of 2011, but subsequently backed off following the resurgence of macro events such as civil unrest in the Middle East and renewed fears of a European sovereign debt crisis. For the year, growth stocks outperformed their value counterparts. All ten Global Industry Classification Standard (“GICS”) sectors posted positive performance during the period. A renewed confidence in the economic recovery revived investors’ willingness to take risk. Energy was the best-performing sector, rising 46.87%, followed by the Telecommunication Services and Materials sectors. The Financials sector lagged the broader market as regulatory and balance sheet uncertainty within the banking and diversified financials industry groups persisted. The Information Technology and Utilities sectors also underperformed the benchmark for the period. From a factor perspective, price reversal and accelerating sales were the best-performing factors. Price momentum and traditional value factors performed the worst.

IV. Return vs. Benchmark:

For the fiscal year ended May 31, 2011, the Fund underperformed the Russell 1000 Index, returning 25.70% Class A versus an index return of 26.81%.

V. Fund Attribution:

Although it posted a strong absolute return, the Fund lagged its benchmark for the fiscal year. Underweights to the Energy and Industrials sectors detracted from performance as renewed confidence in the economic recovery caused investors to bid cyclical sectors higher. Energy tends to be an underweight for growth managers as they typically find it difficult to identify high-quality growth companies in the space. On the Industrials side, poor stock selection was compounded by an underweight to the outperforming sector. The sudden change in sentiment that took place in early July 2010 caught managers off guard, as many had been positioned to capitalize on a sentiment change and an increase in business Information Technology spending. While stock selection within Information Technology generated alpha, an overweight to the sector at the expense of better-performing sectors detracted. Health Care experienced a similar situation, generating alpha on superior stock selection that was offset by sector allocation decisions.

Large Cap Fund

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Large Cap Fund, Class A		25.70%		1.00%		3.40%		2.80%		6.59%

Comparison of Change in the Value of a $100,000 Investment in the Large Cap Fund, versus the Russell 1000 Index

LOGO

For the period ended May 31, 2011. Past performance is not an indication of future performance. Class A shares were offered beginning 6/14/96. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.


SEI Institutional Investments Trust / Annual Report / May 31, 2011			1

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2011 (Unaudited)

Large Cap Diversified Alpha Fund

I. Objective:

The Large Cap Diversified Alpha Fund (the “Fund”) seeks to provide long-term growth of capital and income.

II. Multi-Manager Approach Statement:

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. (“SIMC”). The Fund utilizes the following sub-advisers as of May 31, 2011: INTECH Investment Management, LLC, Legg Mason Capital Management, Inc., Delaware Management Company, Aronson + Johnson + Ortiz, L.P. and West End Advisors LLC Quantitative Management Associates, LLC, Analytic Investors, Inc. and the Libor Plus Pool L.P., co-managed by Hyperion Brookfield Asset Management and Declaration Management & Research, were terminated from the Fund. For the fiscal year ended May 31, 2011, West End Advisors LLC were added to the Fund.

III. Market Commentary:

The U.S. equity market, as measured by the Russell 1000 Index, gained 26.81% during the fiscal year ended May 31, 2011. Following a selloff during the second quarter of 2010, equity markets rebounded significantly in the second half of 2010 as investors gained confidence in the prospects of an economic recovery. Gains extended into the first quarter of 2011, but subsequently backed off following the resurgence of macro events such as civil unrest in the Middle East and renewed fears of a European sovereign debt crisis. For the year, growth stocks outperformed their value counterparts. All ten Global Industry Classification Standard (“GICS”) sectors posted positive performance during the period. A renewed confidence in the economic recovery revived investors’ willingness to take risk. Energy was the best-performing sector, rising 46.87%, followed by the Telecommunication Services and Materials sectors. The Financials sector lagged the broader market as regulatory and balance sheet uncertainty within the banking and diversified financials industry groups persisted. The Information Technology and Utilities sectors also underperformed the benchmark for the period. From a factor perspective, price reversal and accelerating sales were the best-performing factors. Price momentum and traditional value factors performed the worst.

IV. Return vs. Benchmark:

For the fiscal year ended May 31, 2011, the Fund underperformed the Russell 1000 Index, returning 26.09% Class A versus an index return of 26.81%.

V. Fund Attribution:

The Fund generated strong absolute results, but underperformed relative to the benchmark for the year. Sector allocation decisions were the primary drivers of underperformance. Specifically, an underweight to the top-performing Energy sector detracted. This was partially offset by an underweight to the worst-performing Financials sector. The Fund’s managers posted mixed returns, with the quantitative managers outperforming their fundamental counterparts. The only exception was Analytic Investors, as its factor rotation model failed to gain traction in a choppy market. Legg Mason Core struggled, as its Consumer Discretionary and Information Technology names detracted. Macro-oriented WestEnd Advisors saw its Consumer Discretionary names lag.

Large Cap Diversified Alpha Fund

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
Large Cap Diversified Alpha Fund, Class A		26.09%		(1.05)%		1.62%		1.45%

Comparison of Change in the Value of a $100,000 Investment in the Large Cap Diversified Alpha Fund, versus the Russell 1000 Index

LOGO

For the period ended May 31, 2011. Past performance is no indication of future performance. Class A shares were offered beginning 2/28/06. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.


2		SEI Institutional Investments Trust / Annual Report / May 31, 2011

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2011 (Unaudited)

Large Cap Disciplined Equity Fund

I. Objective:

The Large Cap Disciplined Equity Fund (the “Fund”) seeks to provide capital appreciation.

II. Multi-Manager Approach Statement:

III. Market Commentary:

The U.S. equity market, as measured by the Standard and Poor’s 500 Index, gained 25.95% during the fiscal year ending May 31, 2010. Following a selloff during the second quarter of 2010, equity markets rebounded significantly in the second half of 2010 as investors gained confidence in the prospects of an economic recovery. Gains extended into the first quarter of 2011, but subsequently backed off following the resurgence of macro events such as civil unrest in the Middle East and renewed fears of a European sovereign debt crisis. For the year, growth stocks outperformed their value counterparts. All ten Global Industry Classification Standard (“GICS”) sectors posted positive performance during the period. A renewed confidence in the economic recovery revived investors’ willingness to take risk. Energy was the best-performing sector, rising 46.87%, followed by the Telecommunication Services and Materials sectors. The Financials sector lagged the broader market as regulatory and balance sheet uncertainty within the banking and diversified financials industry groups persisted. The Information Technology and Utilities sectors also underperformed the benchmark for the period. From a factor perspective, price reversal and accelerating sales were the best-performing factors. Price momentum and traditional value factors performed the worst.

IV. Return vs. Benchmark:

For the fiscal year ended May 31, 2011, the Fund underperformed the S&P 500 Index, returning 25.39% Class A versus the index return of 25.95%.

V. Fund Attribution:

Despite posting a strong absolute return, the Fund underperformed relative to its benchmark. It benefitted from an underweight to the worst-performing Financials sector, while subpar stock selection and an overweight to Information Technology detracted. An underweight to Energy detracted as the sector rose significantly during the year. Regarding the Fund’s managers, quantitative managers outperformed their fundamental counterparts, with the exception of Analytic, as its factor rotation model failed to gain traction in a choppy market. The Libor Plus portfolio added significant alpha to the Fund.

Large Cap Disciplined Equity Fund

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
Large Cap Disciplined Equity Fund, Class A		25.39%		(1.76)%		1.09%		4.82%

Comparison of Change in the Value of a $100,000 Investment in the Large Cap Disciplined Equity Fund, versus the S&P 500 Index

LOGO

For the period ended May 31, 2011. Past performance is not an indication of future performance. Class A shares were offered beginning 8/28/03. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.


SEI Institutional Investments Trust / Annual Report / May 31, 2011			3

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2011 (Unaudited)

Large Cap Index Fund

I. Objective:

The Large Cap Index Fund (the “Fund”) seeks to provide investment results that correspond to the aggregate price and dividend performance of the securities in the Russell 1000 Index.

II. Manager Approach Statement:

The Fund uses a sub-advisor to manage the Fund under the supervision of SEI Investments Management Corporation (“SIMC”). Currently, the sub-advisor is SSgA Funds Management, Inc. There were no manager changes during the period.

III. Market Commentary:

IV. Return vs. Benchmark:

For the fiscal year ended May 31, 2011, the Fund slightly underperformed the Russell 1000 Index, returning 26.77% Class A versus the benchmark return of 26.81%.

V. Fund Attribution:

Incremental excess return was generated by cash flows. As an index fund, performance is designed to track that of the index.

Large Cap Index Fund

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
Large Cap Index Fund, Class A		26.77%		1.29%		3.66%		4.24%

Comparison of Change in the Value of a $100,000 Investment in the Large Cap Index Fund, versus the Russell 1000 Index

LOGO

For the period ended May 31, 2011. Past performance is not an indication of future performance. Class A shares were offered beginning 4/1/02. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.


4		SEI Institutional Investments Trust / Annual Report / May 31, 2011

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2011 (Unaudited)

Small Cap Fund

I. Objective:

The Small Cap Fund (the “Fund”) seeks to provide capital appreciation.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying upon a number of sub-advisers with differing investment philosophies to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of May 31, 2011: Allianz Global Investors Capital, LLC; AQR Capital Management, LLC; Artisan Partners Limited Partnerships; Janus Capital Management, Inc.; J.P. Morgan Investment Management; Lee Munder Capital Group, LLC; Los Angeles Capital Management and Equity Research, Inc.; LSV Asset Management; Security Capital Research & Management, Inc.; Robeco Investment Management; Wellington Management Company, LLP; and William Blair & Company, LLC.

During the fiscal year ended May 31, 2011, Lee Munder Capital Group, LLC’s growth strategy was removed from the Fund (its value strategy remains). J.P. Morgan Investment Management and William Blair & Company, LLC were added during the period.

III. Market Commentary

The U.S. equity market, as measured by the Russell 2000 Index (the “Index”), gained over 29% during the fiscal year ended May 31, 2011. The rally off the bottom that occurred following the March 2009 inflection point continued for a second year as improvement in corporate profits and optimism regarding a sustainable economic recovery drove market returns. The Energy, Information Technology and Materials sectors led index performance for the 12-month period, while the Consumer Discretionary and Financials sectors lagged. Growth dramatically outperformed value for the year.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2011, the Fund underperformed the Russell 2000 Index, returning 27.56% Class A versus an index return of 29.75%.

V. Fund Attribution

The Fund had difficulty keeping pace with the strong absolute returns of the benchmark during the fiscal year ended May 31, 2011. The Industrials and Information Technology sectors proved the most challenging from a relative performance standpoint, largely due to disappointing stock selection. The Financials sector, on the other hand, was an area of meaningful contribution through both an underweight position and favorable security choices.

Small Cap Fund

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Small Cap Fund, Class A		27.56%		4.30%		3.36%		6.26%		7.94%

Comparison of Change in the Value of a $100,000 Investment in the Small Cap Fund, versus the Russell 2000 Index

LOGO


SEI Institutional Investments Trust / Annual Report / May 31, 2011			5

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2011 (Unaudited)

Small/Mid Cap Equity Fund

I. Objective

The Small/Mid Cap Equity Fund (the “Fund”) seeks to provide long-term capital appreciation.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying upon a number of sub-advisers with differing investment philosophies to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of May 31, 2011: Allianz Global Investors Capital, LLC; Century Capital Management, LLC; Integrity Asset Management, LLC; Janus Capital Management, Inc.; Lee Munder Capital Group, LLC; Los Angeles Capital Management and Equity Research, Inc.; LSV Asset Management; Robeco Investment Management; Security Capital Research & Management, Inc.; Wellington Management Company, LLP; and William Blair & Company, LLC.

During the fiscal year ended May 31, 2011, Lee Munder Capital Group, LLC’s growth strategy, PanAgora Asset Management, Inc. and Wells Capital Management Inc. were removed from the Fund (Lee Munder Capital Group, LLC’s value strategy remains). Allianz Global Investors Capital, LLC, Century Capital Management, LLC, Robeco Investment Management and William Blair & Company, LLC were added during the period.

III. Market Commentary

The U.S. equity market, as measured by the Russell 2500 Index, gained over 32% during the fiscal year ending May 31, 2011. The rally off the bottom that occurred following the March 2009 inflection point continued for a second year, as improvement in corporate profits and optimism regarding a sustainable economic recovery drove market returns. The Energy, Consumer Staples and Information Technology sectors led index performance for the 12-month period, while the Financials and Consumer Discretionary sectors lagged. Growth significantly outperformed value for the year.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2011, the Fund underperformed the Russell 2500 Index (the “Index”), returning 29.99% Class A versus an index return of 32.25%.

V. Fund Attribution

The Fund had difficulty keeping pace with the strong absolute returns of the index during the fiscal year ended May 31, 2011. The Information Technology and Energy sectors proved the most challenging from a relative performance standpoint, with disappointing stock selection to blame in Information Technology and the Fund’s underweight position responsible in Energy. In contrast, the Financials and Health Care sectors were meaningful contributors to performance as both sectors featured favorable security decisions. In Financials, the Fund further benefited from its underweight position.

Small/Mid Cap Equity Fund

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
Small/Mid Cap Equity Fund, Class A		29.99%		4.85%		4.25%		7.86%

Comparison of Change in the Value of a $100,000 Investment in the Small Mid Cap Equity Fund, versus the Russell 2500 Index

LOGO

For the period ended May 31, 2011. Past performance is not an indication of future performance. Class A shares were offered beginning 12/15/03. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.


6		SEI Institutional Investments Trust / Annual Report / May 31, 2011

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2011 (Unaudited)

U.S. Managed Volatility Fund

I. Objective:

The U.S. Managed Volatility Fund (the “Fund”) seeks capital appreciation with less volatility than the broad U.S. equity markets.

II. Multi-Manager Approach Statement:

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SIMC. The Fund utilized the following sub-advisors as of May 31, 2011: Aronson + Johnson + Ortiz, LP; Analytic Investors, LLC; and LSV Asset Management (“LSV”). LSV was added in December 2010.

III. Market Commentary:

The U.S. equity market, as measured by the Russell 3000 Index (the “Index”), gained 27.04% during the year ending May 31, 2011. Following a selloff during the second quarter of 2010, equity markets rebounded significantly in the second half of the year as investors gained confidence in the prospects of an economic recovery. Gains extended into the first quarter of 2011, but subsequently backed off following the resurgence of macro events such as civil unrest in the Middle East and North Africa and renewed fears of a European sovereign debt crisis. For the year, growth stocks outperformed their value counterparts. All ten Global Industry Classification Standard (GICS) sectors posted positive performance during the period. A renewed confidence in the economic recovery revived investors’ willingness to take risk. Energy was the best-performing sector, rising 46.87%, followed by the Telecommunication Services and Materials sectors. The Financials sector lagged the broader market as regulatory and balance sheet uncertainty within the banking and diversified financials industry groups persisted. The Information Technology and Utilities sectors also underperformed the benchmark for the period.

IV. Return vs. Benchmark:

For the fiscal year ended May 31, 2011, the Fund outperformed the Index, returning 28.97% Class A versus an index return of 27.04%.

V. Fund Attribution:

The Fund’s outperformance was driven by both higher-quality defensive positioning and strong stock selection. To achieve the primary objective of downside protection, the managers target lower-beta names, which are typically characterized by a stable earnings

profile and lower leverage ratios. As the concerns over the strength of the global economic recovery have intensified in the spring months of 2011, investors rewarded quality stocks, which naturally provided tailwinds to the Fund’s low-volatility approach. Thus, lowest quintile by beta (least volatile relative to the overall market) names outperformed both the market and the highest beta names. Our overweight to that quintile explained half of the outperformance for the analyzed period.

On the other hand, the elevated market volatility allowed the Fund to benefit from the superior compounding effects (i.e., arithmetic return with lower volatility produces a greater compound geometric return).

Finally, the managers’ alpha models enjoyed a favorable environment as momentum and quality factors contributed strongly. As a result, approximately half of the outperformance stemmed from strong stock selection. From a more traditional sector perspective, the Fund benefited from underweighting Financials and Information Technology, but the effect was fully offset by underweighting Energy (which outperformed) and overweighting Utilities (which underperformed). Overall sector positioning detracted slightly.

U.S. Managed Volatility Fund

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized Inception to Date
U.S. Managed Volatility Fund		28.97%		18.15%

Comparison of Change in the Value of a $100,000 Investment in the U.S. Managed Volatility Fund, versus the Russell 3000 Index

LOGO

For the period ended May 31, 2011. Past performance is not an indication of future performance. Class A shares were offered beginning 12/31/08. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.


SEI Institutional Investments Trust / Annual Report / May 31, 2011			7

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2011 (Unaudited)

International Equity Fund

I. Objective

The International Equity Fund (the “Fund”) seeks to provide capital appreciation.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying upon a number of sub-advisors with differing investment philosophies to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilizes the following sub-advisers as of May 31, 2011: Acadian Asset Management, LLC; Causeway Capital Management LLC; del Rey Global Investors, LLC; INTECH Investment Management, LLC; Neuberger Berman Management LLC; Quantitative Management Associates, LLC; Schroder Investment Management North America, Inc.; and Tradewinds Global Investors LLC.

For the fiscal year ended May 31, 2011, Causeway Capital Management, LLC; del Rey Global Investors, LLC; and Tradewinds Global Investors LLC were added to the Fund; AXA Rosenberg Investment Management, LLC and Declaration Management and Research, LLC were terminated.

III. Market Commentary

Global equity markets experienced a rough start to the reporting period as fears regarding the European sovereign debt crisis and the expanding oil spill in the Gulf of Mexico drove markets downward. Though the Gulf oil spill was brought under control during the summer of 2010, the European sovereign debt issue became a dominant and recurring theme throughout the remainder of 2010 and into 2011, with the evolving situation driving investor sentiment either positively or negatively depending on the nature of the most recent developments. Regardless, the overriding driver of the positive movement of markets for the period was the continued gradual improvement of economic indicators and corporate earnings. Emerging markets showed strength through the end of 2010, followed by a sharp reversal in early 2011 on fears that inflation in these developing regions could stifle future growth. By February of 2011, the political uprisings in the Middle East and North Africa were on investors’ minds, as fears that oil production could be disrupted drove

oil prices sharply upward. The Japan earthquake hit soon thereafter and compounded market uncertainty, with investors struggling to determine the potential far-reaching and long-term repercussions of the damage from the tsunami and resulting nuclear incident. However, commodity-driven emerging markets economies rebounded strongly in March on surging oil and precious metals prices.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2011, the Fund outperformed the Morgan Stanley MSCI EAFE Index (the “Index”), returning 31.81% Class A versus the index return of 30.69%.

V. Fund Attribution

The Fund’s outperformance was driven primarily by positive stock selection by the sub-advisors, although allocation also contributed. From a regional perspective, the Fund’s overweight allocation to emerging markets was beneficial, as developing regions delivered relatively strong returns over the period. The Fund’s underweight to Japan also aided results, as Japan was the weakest-performing area within the Europe, Australasia and Far East region. This was mainly due to the effects of the catastrophic earthquake, tsunami and resultant nuclear disaster that hit the country in March. An underweight to the U.K. was negative, with the region posting strong results as its economy continued to recover. The Fund’s allocation to Canadian names aided results in the commodity-driven market environment. From a sector perspective, returns were strong across the board. The exceptions were the Utilities and Information Technology sectors which, while positive, lagged behind stronger-performing sectors such as Materials and Telecom. The Fund’s underweight allocations to the lagging Utilities and Financials sectors were beneficial, as was an overweight allocation to the strong-performing Materials sector. Strong stock selection within Industrials and Financials also bolstered performance.


8		SEI Institutional Investments Trust / Annual Report / May 31, 2011

International Equity Fund

AVERAGE ANNUAL TOTAL RETURN¹

One Year
Return

Annualized
3 Year

Return

Annualized
5 Year
Return

Annualized
10 Year
Return

Annualized
Inception
to Date

International Equity Fund, Class A

31.81%

(7.83)%

(1.09)%

3.64%

4.10%

Comparison of Change in the Value of a $100,000 Investment in the International Equity Fund, versus the Morgan Stanley MSCI EAFE Index

LOGO


SEI Institutional Investments Trust / Annual Report / May 31, 2011			9

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2011 (Unaudited)

World Equity Ex-US Fund

I. Objective

The objective of the World Equity Ex-US Fund (the “Fund”) is to provide capital appreciation.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying upon a number of sub-advisors with differing investment philosophies to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilizes the following sub-advisers as of May 31, 2011: Acadian Asset Management, Inc.; Artisan Partners Limited Partnership; JO Hambro Capital Management Limited; McKinley Capital Management, LLC; NFJ Investment Group LLC; Quantitative Management Associates, LLC; and Thornburg Investment Management LLC.

For the fiscal year ended May 31, 2011, JO Hambro Capital Management Limited was added to the Fund; Declaration Management and Research LLC was terminated, as was Principal Global Investors, LLC.

III. Market Commentary

Global equity markets experienced a rough start to the reporting period as fears regarding the European sovereign debt crisis and the expanding oil spill in the Gulf of Mexico drove markets downward. Though the Gulf oil spill was brought under control during the summer of 2010, the European sovereign debt issue became a dominant and recurring theme throughout the remainder of 2010 and into 2011, with the evolving situation driving investor sentiment either positively or negatively depending on the nature of the most recent developments. Regardless, the overriding driver of the positive movement of markets for the period was the continued gradual improvement of economic indicators and corporate earnings. Emerging Markets showed strength through the end of 2010, followed by a sharp reversal in early 2011 on fears that inflation in these developing regions could stifle future growth. By February of 2011, the political uprisings in the Middle East and North Africa were on investors’ minds, as fears that oil production could be disrupted drove oil prices sharply upward. The Japan earthquake hit soon thereafter and compounded market uncertainty, with investors struggling to

determine the potential far-reaching and long-term repercussions of the damage from the tsunami and resulting nuclear incident. However, commodity-driven emerging markets economies rebounded strongly in March on surging oil and precious metals prices.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2011, the Fund outperformed the MSCI All Country World Ex-US Index, returning 31.12% Class A versus an index return of 29.95%.

V. Fund Attribution

The Fund’s outperformance was driven primarily by positive stock selection by the sub-advisors, although allocation also contributed to performance. From a regional perspective, the Fund’s underweight to Japan was beneficial, as this country was the weakest-performing region in the Fund’s universe. An underweight to Canada also aided results, as relatively weak performance in the region was driven by volatile commodity prices. Stock selection across regions was positive, with selections in Emerging Markets and Japan providing the most significant sources of performance. The strongest-performing sectors were Materials and Consumer Discretionary, while Utilities and Information Technology lagged. The net effect of portfolio allocation was marginally positive, with an underweight to Financials and Utilities benefitting results. This was mostly offset by the negative impact from an overweight to Information Technology. Stock selection was particularly strong in the Consumer Discretionary sector, with automobiles and media making the greatest contribution to that sector’s strong results. Despite the shortfall in relative performance in the Utilities and Information Technology sectors, the Fund benefitted from strong stock selection in those areas.


10		SEI Institutional Investments Trust / Annual Report / May 31, 2011

World Equity Ex-US Fund

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
World Equity Ex-US Fund, Class A		31.12%		(5.77)%		1.51%		5.74%

Comparison of Change in the Value of a $100,000 Investment in the World Ex-US Equity Fund, versus the MSCI All Country World Ex-US Index

LOGO

For the period ended May 31, 2011. Past performance is not an indication of future performance. Class A shares were offered beginning 3/28/05. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.


SEI Institutional Investments Trust / Annual Report / May 31, 2011			11

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2011 (Unaudited)

Screened World Equity Ex-US Fund

I. Objective

The Screened World Equity Ex-US Fund (the “Fund”) seeks to provide capital appreciation.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying upon a number of sub-advisors with differing investment philosophies to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilizes the following sub-advisers as of May 31, 2011: Acadian Asset Management LLC; McKinley Capital Management, LLC; Quantitative Management Associates, LLC; and Thornburg Investment Management LLC.

For the fiscal year ended May 31, 2011, Principal Global Investors, LLC was terminated from the Fund.

III. Market Commentary

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2011, the Fund performed in line with the MSCI All Country World Ex-US Index, returning 29.93% Class A versus the index return of 29.95%.

V. Fund Attribution

The Fund’s performance was the product of negative results from allocation paired with gains generated by stock selection by the sub-advisors. From a regional perspective, the overweight allocation to Japan was negative in the wake of the catastrophic events in that region. Underweight allocations to Emerging Markets in the Europe, Middle East and Africa region as well as in Asia also hurt the results given their strong absolute performance. Security selection in the U.K. was weak, but was offset by strong selection in Europe ex-UK, Korea, Hong Kong and Australia. The strongest-performing sectors for the period were Materials and Consumer Discretionary, while Utilities and Information Technology lagged. Therefore, the Fund’s overweight to Information Technology contributed negatively, as did its underweight to Energy, which was another sector that registered strong performance for the period. Stock selection in Industrials, Health Care and Telecommunications was weak, but was offset by strong selection in Consumer Discretionary and Materials.

Screened World Equity Ex-US Fund

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized Inception to Date
Screened World Equity Ex-US Fund, Class A		29.93%		(2.25)%

Comparison of Change in the Value of a $100,000 Investment in the Screened World Ex-US Equity Fund, versus the MSCI All Country World Ex-US Index

LOGO

For the period ended May 31, 2011. Past performance is not an indication of future performance. Class A shares were offered beginning 6/30/08. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.


12		SEI Institutional Investments Trust / Annual Report / May 31, 2011

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2011 (Unaudited)

Enhanced LIBOR Opportunities Fund

I. Objective:

The Enhanced LIBOR Opportunities Fund (the “Fund”) seeks to provide capital appreciation and income.

II. Multi-Manager Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilizes the following sub-advisers as of May 31, 2011: Declaration Management & Research, LLC; Wellington Management Company, LLP and Ares Management, LLC. For the fiscal year ended May 31, 2011, UBS Global Asset Management (Americas), Inc. was terminated.

III. Market Commentary

For the twelve months ended May 31, 2011, most of the non-Treasury sectors of the U.S. fixed-income market saw spread compression and continued risk appetite. However, geopolitical concerns dominated headlines, including political tensions in the Middle East and North Africa, the devastating earthquake and tsunami in Japan and the ongoing fiscal challenges in peripheral Europe.

In the U.S., the economic recovery continued, albeit at a slower pace, due to weak employment and soft consumer demand. The first-quarter U.S. gross domestic product (“GDP”) report showed that the economy grew at 1.9%, lower than the consensus expectation. Also, the market has sharply lowered GDP expectations for the rest of the year. In response, the U.S. Federal Reserve has kept its Fed funds rate target at near-zero to support the economy, although it will let the $600-billion quantitative easing (“QE2”) program expire as planned at the end of June 2011.

The Treasury market experienced high volatility during this period. Treasury yields initially backed up after the announcement of QE2, but rallied significantly in the second quarter of 2011 on weak economic data. Corporate fundamentals remained solid as balance sheets improved, earnings were better than expected and event risk remained remote. Non-agency mortgage-backed securities (MBS) performed well because of attractive loss-adjusted yields, but turned weaker in the second quarter due to increased supply from the Federal Reserve’s Maiden Lane, LLC portfolio. Agency MBS

outperformed duration-neutral Treasuries as demand remained robust from domestic and foreign banks and refinancing activity remained muted in the face of historically low mortgage rates. The senior bank loan market also posted strong performance, helped by low default rates, improving liquidity and strong demand.

IV. Return vs. Benchmark:

For the fiscal year ended May 31, 2011, the Fund outperformed the Bank of America (“BofA”) Merrill Lynch 3-Month London Interbank Offered Rate (“LIBOR”) Constant Maturity Index, returning 5.81% Class A versus the index return of 0.41%.

V. Fund Attribution

During the period, the Fund’s large allocation to non-Treasury sectors outperformed, particularly the portfolio’s allocations to non-agency MBS, commercial MBS and senior bank loans. The Fund utilized Treasury futures to efficiently manage duration and yield-curve exposures.

Enhanced LIBOR Opportunities Fund

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized Inception to Date
Enhanced LIBOR Opportunities Fund, Class A		5.81%		(2.48)%		(2.35)%

Comparison of Change in the Value of a $100,000 Investment in the Enhanced LIBOR Opportunities Fund, versus the BofA Merrill Lynch 3-Month LIBOR Constant-Maturity

LOGO

For the period ended May 31, 2011. Past performance is not an indication of future performance. Class A shares were offered beginning 12/14/06. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.


SEI Institutional Investments Trust / Annual Report / May 31, 2011			13

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2011 (Unaudited)

Core Fixed Income Fund

I. Objective

The Core Fixed Income Fund (the “Fund”) seeks to provide current income consistent with the preservation of capital.

II. Multi-Manager Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilizes the following sub-advisers as of May 31, 2011: Trust Company of the West (formerly Metropolitan West Asset Management), J.P. Morgan Investment Management, Western Asset Management Limited, Wells Capital Management, Inc. and Jennison Associates LLC. No manager changes were made during the period.

III. Market Commentary

For the fiscal year ended May 31, 2011, most of the non-Treasury sectors of the U.S. fixed-income market saw spread compression and continued risk appetite. However, geopolitical concerns dominated headlines in the first half of 2011, including political tensions in the Middle East and North Africa, the devastating earthquake and tsunami in Japan and the ongoing fiscal challenges in peripheral Europe.

In the U.S., the economic recovery continued, albeit at a slower pace, due to weak employment and soft consumer demand. The first-quarter U.S. gross domestic product (“GDP”) report showed that the economy grew at 1.9%, lower than the consensus expectation. Also, the market has sharply lowered GDP expectations for the rest of the year. In response, the U.S. Federal Reserve has kept its Fed funds rate target at near-zero to support the economy, although it will let the $600 billion quantitative easing (“QE2”) program expire as planned at the end of June 2011.

performed well because of attractive loss-adjusted yields, but turned weaker in the second quarter due to increased supply from the Federal Reserve’s Maiden Lane, LLC portfolio. Agency MBS outperformed duration-neutral Treasuries as demand remained robust from domestic and foreign banks and refinancing activity remained muted in the face of historically low mortgage rates.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2011, the Fund outperformed the Barclays Capital U.S. Aggregate Bond Index, returning 8.17% Class A versus the index return of 5.84%.

V. Fund Attribution

The Fund’s overweight position in corporate bonds, non-agency MBS and commercial mortgage-backed securities (“CMBS”) were the key drivers of performance. Duration exposure did not have a meaningful impact on performance as managers chose to use their risk budgets on securities within the non-Treasury sectors. Treasury futures were utilized to help manage the Fund’s duration and yield-curve exposure.

Specifically, an overweight to corporate bonds, especially large-cap Financials, generated significant outperformance relative to Treasuries. The steep yield curve, combined with improved access to capital markets, allowed the largest of the U.S. banking institutions to repair their balance sheets and return to profitability over the course of the year.

Non-agency mortgages continued to recover as forced selling that resulted from ratings downgrades and the unwinding of large levered positions abated. In addition, the sector continued to experience price improvement as a result of principal paydowns and negative net supply. However, the sector experienced some weakness due to increased supply from the Federal Reserve’s Maiden Lane, LLC portfolio.

Finally, the Fund’s overweight to the CMBS market contributed to performance, as it posted the largest outperformance versus Treasuries of any sector within the Barclay’s Aggregate Index. The Fund bought credit protection by utilizing credit default swaps on a basket of CMBS, which assisted in partially hedging systematic risk associated with the portfolio’s CMBS exposure.


14		SEI Institutional Investments Trust / Annual Report / May 31, 2011

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2011 (Unaudited)

Core Fixed Income Fund (Concluded)

Core Fixed Income Fund

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Core Fixed Income Fund, Class A		8.17%		8.31%		7.39%		6.18%		6.77%

Comparison of Change in the Value of a $100,000 Investment in the Core Fixed Income Fund, versus the Barclays Capital U.S. Aggregate Bond Index

LOGO


SEI Institutional Investments Trust / Annual Report / May 31, 2011			15

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2011 (Unaudited)

High Yield Bond Fund

I. Objective:

The High Yield Bond Fund (the “Fund”) seeks to maximize total return.

II. Multi-Manager Approach Statement:

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilizes the following sub-advisers as of May 31, 2011: Ares Management, LLC; Brigade Capital Management, LLC; Delaware Management Company, Guggenheim Partners, LLC, and J.P. Morgan Investment Management, Inc. During the fiscal year ended May 31, 2011, the Fund did not make any manager changes.

III. Market Commentary:

For the fiscal year ended May 31, 2011, the high yield market, as measured by the BofA Merrill Lynch U.S. High Yield Master II Constrained Index, returned 17.99%. Credit quality spreads tightened 178 basis points (“bps”) to finish the period at 510 bps, with yields on high-yield bonds declining in a greater magnitude than Treasury bonds. The Moody’s U.S. issuer default rate fell from 7.91% to 2.7% over the fiscal year, and is projected to decline to 1.7% a year from now. Liquid markets and improving financial metrics will serve as the tailwind that keeps default rates low. The significant amount of new issuance over the past 12 months, particularly for refinancing purposes, has improved the creditworthiness of many high-yield companies. Refinancing continues to dominate the issuance of both high-yield bonds and loans, which is lowering debt costs and alleviating the large overhang of securities that were scheduled to mature over the next few years. Issuance in the primary market was extremely robust over the period, with $342 billion coming to market, the largest 12-month stretch on record. The technical condition of the market remained positive, as high-yield mutual funds saw consistent inflows in all twelve months except November 2010, when fears of contagion emanating from the periphery of Europe drove down the prices of risky assets. As was the case last year, investors maintained a preference for riskier bonds, with CCC bonds producing the highest return at 22%, followed by Bs at 17.70% and BBs producing the lowest return at 17.20%.

Similar to last year, the best-performing sectors were the higher-beta segments of the market, such as the Financial-related and Technology sectors. Insurance, Technology/Electronics, Real Estate and Banking all outperformed the market, with the Insurance sector delivering returns that were twice that of the benchmark. Despite concerns over the housing market, the Real Estate sector performed well, as many apartment operators were able to increase rents and many investors were attracted to the yields available in the sector. Technology companies did well over the year also, with investors moving into these high-growth companies as confidence in the sustainability of the economic recovery increased. While the majority of companies have been reluctant to increase capital spending, many have increased technology spending to improve productivity. Bank earnings improved, but this was mainly due to loan losses not occurring in the magnitude for which banks had set aside reserves, rather than from top-line revenue growth. All sectors of the Index produced positive returns, but some tied to consumer spending lagged, as the unemployment rate remained high and held back spending. Both the Consumer Cyclical and Consumer Non-Cyclical sectors lagged the index as a result.

IV. Return vs. Benchmark:

For the fiscal year ended May 31, 2011, the Fund outperformed the BofA Merrill Lynch U.S. High Yield Master II Constrained Index, returning 19.06% Class A versus an index return of 17.99%.

V. Fund Attribution:

The Fund’s allocation to collateralized loan obligations (“CLOs”) and other structured investments outperformed the high-yield market and enhanced relative performance. The fundamental picture of the CLO marketplace has improved drastically due to the continued upturn in the high-yield loan and bond markets, the slowing pace of defaults/downgrades and the ability of borrowers to successfully amend and refinance their credit agreements. Additionally, the technical picture has been a large driver of the rally with the limited new issuance and consistent demand combined with the fact that loan funds received positive inflows in nearly every week of the past year. Security selection in the Basic Industry sector, particularly in chemical companies, added to returns. Security selection in the Health Care


16		SEI Institutional Investments Trust / Annual Report / May 31, 2011

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2011 (Unaudited)

High Yield Bond Fund (Concluded)

sector benefited returns, despite the challenging environment created by federal health care reform. The Fund was underweight the outperforming Banking sector, but positive security selection in the sector added to returns, with holdings in bank-preferred securities leading the way. An overweight to CCC bonds was also positive.

Security selection in the Insurance sector detracted from returns. The Fund’s underweight to the Real Estate sector detracted from relative performance as the sector produced strong returns.

High Yield Bond Fund

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
High Yield Bond Fund, Class A		19.06%		12.20%		9.05%		9.15%

Comparison of Change in the Value of a $100,000 Investment in the High Yield Bond Fund, versus the BofA Merrill Lynch U.S. High Yield Master II Constrained Index

LOGO

For the period ended May 31, 2011. Past performance is not an indication of future performance. Class A shares were offered beginning 12/05/05. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.


SEI Institutional Investments Trust / Annual Report / May 31, 2011			17

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2011 (Unaudited)

Long Duration Fund

I. Objective

The Long Duration Fund (the “Fund”) seeks to provide return characteristics similar to those of high-quality corporate bonds with a duration range of 9 to 14 years.

II. Multi-Manager Approach

III. Market Commentary

For the fiscal year ended May 31, 2011, most of the non-Treasury sectors of the U.S. fixed-income market saw spread compression and continued risk appetite. However, geopolitical concerns have dominated headlines in the first half of 2011, including political tensions in the Middle East and North Africa, the devastating earthquake and tsunami in Japan and the ongoing fiscal challenges in peripheral Europe.

In the U.S., the economic recovery continued, albeit at a slower pace due to weak employment and soft consumer demand. The first-quarter U.S. gross domestic product (“GDP”) report showed that the economy grew at 1.9%, lower than the consensus expectation. Also, the market has sharply lowered GDP expectations for the rest of the year. In response, the U.S. Federal Reserve has kept its Fed funds rate target at near-zero to support the economy, although it will let the $600 billion quantitative easing (“QE2”) program expire as planned at the end of June 2011.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2011, the SIIT Long Duration Fund returned 10.74% Class A compared to 9.34% for its benchmark, the Barclays Long U.S. Government/Credit Index.

V. Fund Attribution

The Fund’s outperformance was helped by its overweight exposure to the corporate bond sector. The corporate overweight was focused on the finance sector, which led a strong rally in the corporate market. The Fund had a modest exposure to Build America Bonds, which also performed well during the year. The drop in intermediate- and longer-term Treasury yields supported the Fund’s strong absolute return.

Long Duration Fund

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
Long Duration Fund, Class A		10.74%		7.93%		5.26%		4.57%

Comparison of Change in the Value of a $100,000 Investment in the Long Duration Fund, versus the Barclays Long U.S. Government/Credit Index, the 60/40 Hybrid of the BC Long Credit & BC Long Government, the Barclays Long U.S. Credit Index, and the Barclays Long U.S. Government Index

LOGO

For the period ended May 31, 2011. Past performance is not an indication of future performance. Class A shares were offered beginning 4/21/04. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.


18		SEI Institutional Investments Trust / Annual Report / May 31, 2011

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2011 (Unaudited)

Ultra Short Duration Bond Fund

I. Objective

The Ultra Short Duration Bond Fund (the “Fund”) seeks to provide higher current income than what is typically offered by a money market fund, while maintaining a high degree of liquidity and a correspondingly higher risk of principal volatility.

II. Multi-Manager Approach

The Fund is managed by a sub-advisor under the supervision of SEI Investments Management Corporation (“SIMC”). Currently, the sub-advisor is Wellington Management Company, LLP. There were no manager changes during the year ended May 31, 2011.

III. Market Review

The Treasury market experienced high volatility during this period. Treasury yields initially backed up after the announcement of QE2, but rallied significantly in the second quarter of 2011 on weak economic data. Corporate fundamentals remained solid as balance sheets improved, earnings were better than expected and event risk remained remote. Non-agency mortgage-backed securities (“MBS”) performed well because of attractive loss-adjusted yields, but turned weaker in the second quarter due to increased supply from the Federal Reserve’s Maiden Lane, LLC portfolio. Agency MBS

outperformed duration-neutral Treasuries as demand remained robust from domestic and foreign banks and refinancing activity remained muted in the face of historically low mortgage rates.

IV. Return vs. Benchmark

The Ultra Short Duration Bond Fund returned 0.33% Class A since its inception on February 25, 2011, compared to 0.18% for the benchmark, the Barclays Capital Short U.S. Treasury 9-12 Month Index.

V. Fund Attribution

During the period, the Fund’s large allocation to non-Treasury sectors outperformed, particularly the portfolio’s allocations to non-agency mortgage-backed securities, asset-backed securities and corporate securities. The Fund utilized Treasury futures to efficiently manage duration and yield curve exposure.


SEI Institutional Investments Trust / Annual Report / May 31, 2011			19

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2011 (Unaudited)

Emerging Markets Debt Fund

I. Objective:

The Emerging Markets Debt Fund (the “Fund”) seeks to maximize total return.

II. Multi-Manager Approach Statement:

III. Market Commentary:

Emerging market debt, as measured by the JP Morgan EMBI Global Diversified Index, returned 12.52% during the twelve months ending May 31, 2011.

Emerging markets debt began the period recovering from a bout of global risk aversion driven by the Greek debt crisis, which has yet to be resolved and continues to deepen. The market’s total return for the period can primarily be attributed to coupon income and a rally in U.S. Treasuries, in which yields fell as a result of a flight-to-risk emanating from the eurozone crisis and the U.S. Federal Reserve’s accommodative monetary policy. Higher-yielding countries were the market’s top performers, while higher-credit quality countries, which offer lower spreads and total return potential, generated positive absolute returns but underperformed the overall market.

Emerging markets corporate and local currency debt, which are not in the benchmark but are making up an increasing portion of the emerging market debt universe, also posted strong returns during the period, returning 12.58% and 20.30%, respectively, as a result of a contraction of corporate credit spreads and currency appreciation. Emerging market bonds were able to weather the storm brought on by the eurozone crisis and the recent political and social unrest in the Middle East and North Africa due to a continuation of the themes of improving fundamentals and strong technicals that have persisted over the last several years.

Fundamentally, emerging countries are growing more rapidly, have lower debt burdens and are generally benefiting more from higher commodity prices than their developed market counterparts. As a result, credit rating agencies issued more upgrades than downgrades at a ratio of roughly three to one. Surging interest from new and existing investors led to record inflows into the asset class of $75 billion during 2010, helping absorb the $280 billion of new issuance (a majority of which came from the corporate sector). Inflows in 2011 have come at a slower pace, but are expected to reach approximately $45 billion. The improved credit quality and greater strategic investor participation have dramatically lowered volatility and improved the liquidity profile of the emerging market debt asset class. Though risks of economic overheating and inflationary pressure have recently caused concern amongst investors, the majority of emerging market central banks and policymakers have used various tools to proactively address these issues, helping them earn additional credibility among investors.

IV. Return vs. Benchmark:

For the fiscal year ended May 31, 2011, the Fund outperformed the JP Morgan EMBI Global Diversified Index (the “Index”), returning 16.51% Class A versus an index return of 12.52%.

V. Fund Attribution:

The Fund’s relative return benefitted from an overweight to higher-yielding countries and security selection in local currency and corporate debt. Also adding to performance was a marginal underweight to investment-grade debt, which underperformed the benchmark.

At the country level, security selection in local currency assets in Brazil benefited returns as the Brazilian real strengthened against the U.S. dollar on continued economic growth and expectations that recently elected President Rousseff will cut spending. Security selection in local currency and corporate debt in Mexico added as low inflation has kept borrowing rates low and growth prospects have improved. An overweight to Argentina added to relative returns as growth there is expected to remain strong while low public debt and a higher trade surplus support its current fiscal policy. Security selection


20		SEI Institutional Investments Trust / Annual Report / May 31, 2011

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2011 (Unaudited)

Emerging Markets Debt Fund (Concluded)

in local Indonesian bonds benefited with lower rates supporting asset prices while the Indonesian rupiah gained against the dollar on strong economic activity.

An underweight to Lithuania detracted from returns, as its bonds posted gains on strong demand. However, Fund managers maintain a broader underweight to the European region. An overweight to Qatar offered strong absolute returns but led to underperformance as bonds sold off largely because of the country’s association with the regional crisis in the Middle East and North Africa, even though it boasts strong fundamentals. An underweight to Ecuador also detracted as the country posted strong returns and high-yielding assets gained during the period. Managers remain underweight given the the country’s political dynamics and poor economic policies.

Emerging Markets Debt Fund

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
Emerging Markets Debt Fund, Class A		16.51%		11.97%		11.22%		10.37%

Comparison of Change in the Value of a $100,000 Investment in the Emerging Markets Debt Fund, versus the J.P. Morgan EMBI Global Diversified Index

LOGO


SEI Institutional Investments Trust / Annual Report / May 31, 2011			21

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2011 (Unaudited)

Real Return Fund

I. Objective

The Real Return Fund (the “Fund”) seeks to provide a total return exceeding the rate of inflation.

II. Multi-Manager Approach

The Fund uses a sub-adviser to manage the Fund under the supervision of SEI Investments Management Corporation (“SIMC”). As of May 31, 2011, the Fund utilizes Wellington Management Company, LLC. There were no manager changes during the year ended May 31, 2011.

III. Market Commentary

For the fiscal year ended May 31, 2011, most of the non-Treasury sectors of the U.S. fixed-income market saw spread compression and continued risk appetite. However, geopolitical concerns dominated headlines, including political tensions in the Middle East and North Africa (“MENA”), the devastating earthquake and tsunami in Japan and the ongoing fiscal challenges in peripheral Europe.

In the U.S., the economic recovery continued, albeit at a slower pace, due to weak employment and soft consumer demand. The first-quarter U.S. gross domestic product (“GDP”) report showed that the economy grew at 1.9%, lower than the consensus expectation. Also, the market has sharply lowered GDP expectations for the rest of the year. In response, the U.S. Federal Reserve has kept its Fed funds rate target at near zero to support the economy, although it will let the $600-billion quantitative easing program (“QE2”) expire as planned at the end of June 2011.

The Treasury market experienced high volatility during the period. Treasury yields initially backed up after the Federal Reserve announced QE2, but rallied significantly in the second quarter of 2011 on weak economic data. Similarly, the Treasury inflation-protected securities (“TIPS”) market experienced a higher level of volatility due to transitory events including extreme weather in the U.S., Russia and Australia and political tensions in MENA. The 5 Year TIPS breakeven inflation rate, which is the rate of inflation that equalizes the return of nominal and inflation-linked Treasuries, widened from 1.7% to 2.0%.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2011, the Fund returned 6.65% Class A compared to 6.74% for its benchmark. The Fund’s adviser believes the Barclays 1-5 Year U.S. TIPS Index best represents the Fund’s investment opportunities.

V. Fund Attribution

The Fund’s outperformance came from its tactical and timely allocation to nominal Treasuries. In addition, the modest drop in TIPS yields served to support the Fund’s absolute return.

Real Return Fund

AVERAGE ANNUAL TOTAL RETURN¹

One Year
Return

Annualized
3 Year
Return

Annualized
Inception

to Date

Real Return Fund, Class A

6.65%

4.02%

6.13%

Comparison of Change in the Value of a $100,000 Investment in the Real Return Fund, versus the Barclays 1-5 Year U.S. TIPS Index, and the Barclays 1-10 Year U.S. TIPS Index

LOGO


22		SEI Institutional Investments Trust / Annual Report / May 31, 2011

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2011 (Unaudited)

Dynamic Asset Allocation Fund

I. Objective:

The Dynamic Asset Allocation Fund (the “Fund”) seeks long-term total return.

II. Multi-Manager Approach Statement:

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corp. (“SIMC”). The Fund utilizes the following sub-advisers as of May 31, 2011: Goldman Sachs Asset Management, L.P. and Credit Suisse Asset Management, LLC. There were no manager changes during the year ended May 31, 2011.

III. Market Commentary:

Accommodative monetary policy in the form of the Federal Reserve’s second round of quantitative easing enticed capital back into risk assets, boosting equity prices and additionally lowered rates that caused a rally in U.S. Treasury Bonds. The U.S. economic recovery continued at a measured pace, resulting in positive absolute performance for most asset classes.

IV. Return vs. Benchmark:

The Dynamic Asset Allocation Fund returned 14.66% Class A since inception; compared to 12.95% for its blended benchmark of 50% S&P 500 Index and 50% Barclays 10-Year Treasury Bellwether Index.

V. Fund Attribution:

The largest contributor to returns was the overweight to equity strategies at the expense of fixed-income strategies. The Fund was well-positioned to capture the positive performance of the equity markets.

Dynamic Asset Allocation Fund

AVERAGE ANNUAL TOTAL RETURN¹


	Cumulative Inception to Date
Dynamic Asset Allocation Fund, Class A		14.66%

Comparison of Change in the Value of a $100,000 Investment in the Dynamic Asset Allocation Fund, versus a 50/50 Hybrid of the S&P 500 & Barclays 10-Year Treasury Bellwether, the S&P 500 Index, and the Barclays 10-Year Treasury Bellwether Index

LOGO

For the period ended May 31, 2011. Past performance is not an indication of future performance. Class A shares were offered beginning 7/30/10. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.


SEI Institutional Investments Trust / Annual Report / May 31, 2011			23

SUMMARY SCHEDULE OF INVESTMENTS

Large Cap Fund

May 31, 2011

LOGO


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)


COMMON STOCK — 96.9%

Consumer Discretionary — 11.7%
Amazon.com*		0.7	%		55,037	$	10,825
Best Buy (A)		0.6			276,352		8,777
Coach		1.1			272,840		17,369
Lowe’s		0.9			563,870		13,612
NIKE, Cl B		0.7			141,848		11,979
Target		0.6			196,579		9,737
Time Warner		0.5			230,401		8,394
Other Securities		6.6					107,918

							188,611


Consumer Staples — 7.6%
Costco Wholesale		0.7			139,296		11,489
Mead Johnson Nutrition, Cl A		0.5			121,630		8,245
PepsiCo		0.7			162,876		11,584
Procter & Gamble		1.7			401,754		26,918
Other Securities		4.0					64,349

							122,585


Energy — 9.5%
Chevron		1.5			225,208		23,627
ConocoPhillips		0.9			193,716		14,184
EOG Resources (A)		0.5			76,251		8,322
Exxon Mobil		0.6			106,987		8,930
Schlumberger		0.6			105,648		9,056
Other Securities		5.4					89,745

							153,864


Financials — 14.5%
Bank of America		0.8			1,135,523		13,342
Bank of New York Mellon		0.5			301,217		8,467
Berkshire Hathaway, Cl B*		0.6			123,629		9,775
BlackRock, Cl A		0.5			41,274		8,484
Charles Schwab (A)		0.6			497,471		8,960
Citigroup		0.7			297,526		12,243
Goldman Sachs Group		0.5			61,219		8,616
JPMorgan Chase		1.4			542,574		23,461


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)

Wells Fargo		1.3	%		724,946	$	20,567
Other Securities		7.6					120,866

							234,781


Health Care — 13.9%
Abbott Laboratories		0.5			162,440		8,488
Aetna		0.5			197,457		8,625
Amgen*		0.7			194,517		11,776
Celgene*		0.8			214,648		13,074
Express Scripts*		0.6			165,318		9,846
Johnson & Johnson		1.3			300,581		20,226
Merck		0.9			381,078		14,005
Pfizer		1.1			843,045		18,083
UnitedHealth Group		0.9			286,989		14,048
Other Securities		6.6					106,491

							224,662


Industrials — 8.9%
General Electric		1.1			913,787		17,947
Other Securities		7.8					125,616

							143,563


Information Technology — 22.4%
Adobe Systems*		0.7			309,000		10,701
Apple*		2.5			115,350		40,122
Autodesk*		0.5			202,865		8,719
Cisco Systems		0.6			601,831		10,111
Citrix Systems*		0.7			126,501		11,084
EMC* (A)		0.7			403,091		11,476
Google, Cl A*		1.2			34,802		18,411
Intel		1.2			843,566		18,989
International Business Machines		0.6			59,686		10,083
Mastercard, Cl A		0.9			48,566		13,941
Microsoft		1.2			783,372		19,592
Oracle		0.8			394,100		13,486
Qualcomm		1.7			481,457		28,208
Other Securities		9.1					146,798

							361,721


Materials — 2.9%
Other Securities		2.9					47,529


Telecommunication Services — 3.1%
AT&T		1.4			712,608		22,490
Verizon Communications		0.8			360,902		13,328
Other Securities		0.9					14,175

							49,993


Utilities — 2.4%
Other Securities		2.4					38,339

Total Common Stock (Cost $1,288,881) ($ Thousands)							1,565,648


24		SEI Institutional Investments Trust / Annual Report / May 31, 2011

SUMMARY SCHEDULE OF INVESTMENTS

Large Cap Fund (Concluded)

May 31, 2011


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)


AFFILIATED PARTNERSHIP — 7.4%
SEI Liquidity Fund, L.P. 0.150%†** (B)		7.4	%		119,963,584	$	119,376

Total Affiliated Partnership (Cost $119,964) ($ Thousands)							119,376


CASH EQUIVALENT — 2.2%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.050%†**		2.2			35,437,156		35,437

Total Cash Equivalent (Cost $35,437) ($ Thousands)							35,437


U.S. TREASURY OBLIGATION (C) — 0.4%
Other Securities		0.4					7,149

Total U.S. Treasury Obligation (Cost $7,148) ($ Thousands)							7,149

Total Investments — 106.9% (Cost $1,451,430) ($ Thousands)						$	1,727,610

A summary of the open futures contracts held by the Fund at May 31, 2011, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
S&P 500 Index E-MINI		432		Jun-2011	$	1,306
S&P Mid 400 Index E-MINI		38		Jun-2011		194

					$	1,500

For the year ended May 31, 2011, 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 year.

Percentages are based on a Net Assets of $1,616,607 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2011.

†

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at May 31, 2011. The total value of securities on loan at May 31, 2011 was $118,354 ($ 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 May 31, 2011 was $119,376 ($ Thousands)

(C)

Security, or a portion thereof, has been pledged as collateral on open futures contracts.

Cl — Class

L.P. — Limited Partnership

S&P — Standard and 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 May 31, 2011, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,565,648	$	—	$	—	$	1,565,648
Affiliated Partnership		—		119,376		—		119,376
Cash Equivalent		35,437		—		—		35,437
U.S. Treasury Obligation		—		7,149		—		7,149

Total Investments in Securities	$	1,601,085	$	126,525	$	—	$	1,727,610


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	1,500	$	—	$	—	$	1,500

Total Other Financial Instruments	$	1,500	$	—	$	—	$	1,500

Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2011, there were 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.


SEI Institutional Investments Trust / Annual Report / May 31, 2011			25

SUMMARY SCHEDULE OF INVESTMENTS

Large Cap Diversified Alpha Fund

May 31, 2011

LOGO


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)


COMMON STOCK — 96.9%

Consumer Discretionary — 15.6%
Amazon.com*		0.5	%		9,975	$	1,962
Bed Bath & Beyond*		0.7			45,054		2,428
Best Buy		0.7			82,698		2,626
Coach		0.9			52,031		3,312
DIRECTV, Cl A*		0.5			37,900		1,905
Johnson Controls		0.6			59,114		2,341
Lowe’s		1.2			176,413		4,259
NIKE, Cl B		1.1			47,921		4,047
priceline.com*		0.6			3,925		2,022
Target		0.7			50,856		2,519
Yum! Brands		0.6			39,100		2,163
Other Securities		7.5					27,198

							56,782


Consumer Staples — 7.6%
Altria Group		0.5			67,700		1,900
Costco Wholesale		0.8			35,139		2,898
PepsiCo		0.6			32,175		2,288
Philip Morris International		0.6			31,500		2,260
Procter & Gamble		1.2			68,100		4,563
Walgreen		0.7			60,400		2,635
Other Securities		3.2					11,226

							27,770


Energy — 9.2%
Chevron		0.8			26,200		2,749
ConocoPhillips		0.8			41,546		3,042
Exxon Mobil		1.2			51,900		4,332
Other Securities		6.4					23,497

							33,620


Financials — 9.8%
American Express		0.5			38,025		1,962
BlackRock, Cl A		0.7			11,965		2,460
JPMorgan Chase		0.7			62,025		2,682
Wells Fargo		1.0			125,400		3,558


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)

Other Securities		6.9	%			$	24,895

							35,557


Health Care — 10.6%
Abbott Laboratories		0.6			39,050		2,040
Amgen*		0.6			36,541		2,212
Celgene*		1.3			74,499		4,538
Johnson & Johnson		0.6			32,875		2,212
Medtronic		0.6			50,625		2,061
Pfizer		0.7			124,200		2,664
Other Securities		6.2					22,742

							38,469


Industrials — 8.0%
General Electric		0.6			115,600		2,270
Other Securities		7.4					26,950

							29,220


Information Technology — 23.9%
Adobe Systems*		1.0			103,700		3,591
Apple*		2.4			25,600		8,905
Autodesk*		0.8			66,310		2,850
Cisco Systems		0.7			158,200		2,658
eBay*		1.1			131,300		4,093
EMC*		0.7			92,900		2,645
Intel		1.2			192,772		4,339
International Business Machines		1.5			31,942		5,396
Mastercard, Cl A		0.6			7,390		2,121
Microsoft		1.3			194,550		4,866
Nvidia*		0.7			120,050		2,406
Oracle		0.7			69,870		2,391
Qualcomm		2.2			134,783		7,897
Research In Motion*		0.7			60,561		2,595
Texas Instruments		0.8			80,100		2,828
Other Securities		7.5					27,504

							87,085


Materials — 5.0%
E.I. Du Pont de Nemours		0.7			49,900		2,660
Other Securities		4.3					15,606

							18,266


Telecommunication Services — 4.0%
American Tower, Cl A*		0.6			38,716		2,148
AT&T		0.9			105,039		3,315
Verizon Communications		1.1			105,266		3,888
Other Securities		1.4					5,005

							14,356


Utilities — 3.2%
Other Securities		3.2					11,527

Total Common Stock (Cost $306,339) ($ Thousands)							352,652


26		SEI Institutional Investments Trust / Annual Report / May 31, 2011

SUMMARY SCHEDULE OF INVESTMENTS

Large Cap Diversified Alpha Fund (Concluded)

May 31, 2011


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)


CASH EQUIVALENT — 2.1%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.050%†**		2.1	%		7,750,363	$	7,750

Total Cash Equivalent (Cost $7,750) ($ Thousands)							7,750


U.S. TREASURY OBLIGATION (A) — 0.3%
Other Securities		0.3					1,093

Total U.S. Treasury Obligation (Cost $1,093) ($ Thousands)							1,093

Total Investments — 99.3% (Cost $315,182) ($ Thousands)						$	361,495

A summary of the open futures contracts held by the Fund at May 31, 2011, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
S&P 500 Index EMINI		99		Jun-2011	$	126

					$	126

Percentages are based on a Net Assets of $364,180 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2011.

†

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 following is a summary of the inputs used as of May 31, 2011, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	352,652	$	—	$	—	$	352,652
Cash Equivalent		7,750		—		—		7,750
U.S. Treasury Obligation		—		1,093		—		1,093

Total Investments in Securities	$	360,402	$	1,093	$	—	$	361,495


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	126	$	—	$	—	$	126

Total Other Financial Instruments	$	126	$	—	$	—	$	126

Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2011, there were 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.


SEI Institutional Investments Trust / Annual Report / May 31, 2011			27

SUMMARY SCHEDULE OF INVESTMENTS

Large Cap Disciplined Equity Fund

May 31, 2011

LOGO


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)


COMMON STOCK — 84.8%

Consumer Discretionary — 8.1%
Target		0.5	%		799,277	$	39,588
Viacom, Cl B		0.4			582,551		29,366
Other Securities		7.2					558,713

							627,667


Consumer Staples — 8.7%
Coca-Cola		1.1			1,233,758		82,427
Coca-Cola Enterprises		0.3			911,737		26,340
PepsiCo		0.7			774,882		55,110
Philip Morris International		0.8			853,460		61,236
Procter & Gamble		0.9			1,074,722		72,006
Walgreen (A)		0.6			1,052,180		45,907
Wal-Mart Stores		1.4			1,914,642		105,727
Other Securities		2.9					230,433

							679,186


Energy — 11.2%
Chevron		1.9			1,391,626		145,995
ConocoPhillips		1.4			1,435,784		105,128
Exxon Mobil		2.2			2,044,257		170,634
Hess		0.4			384,696		30,403
Marathon Oil		0.4			638,317		34,578
Occidental Petroleum		0.6			453,143		48,871
Schlumberger		0.9			849,249		72,798
Other Securities		3.4					257,622

							866,029


Financials — 12.2%
American Express		0.6			956,606		49,361
Bank of America		0.9			5,709,521		67,087
Citigroup		0.4			750,788		30,895
Goldman Sachs Group		0.6			317,992		44,751
JPMorgan Chase		1.9			3,435,528		148,552
Prudential Financial		0.5			603,954		38,520
Wells Fargo		1.4			3,705,489		105,125
Other Securities		5.9					463,972

							948,263


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)


Health Care — 9.5%
Amgen*		0.9	%		1,177,461	$	71,284
Covidien		0.4			607,075		33,389
Gilead Sciences*		0.4			818,578		34,167
Johnson & Johnson		1.3			1,515,862		102,002
Merck		0.7			1,438,662		52,871
Pfizer		1.4			5,112,410		109,661
Thermo Fisher Scientific*		0.4			457,938		29,972
Other Securities		4.0					305,584

							738,930


Industrials — 9.7%
Emerson Electric		0.4			540,968		29,510
General Electric		0.8			3,249,155		63,814
Honeywell International		1.0			1,294,324		77,077
Illinois Tool Works		0.4			560,445		32,125
Union Pacific		0.5			360,524		37,844
United Technologies		1.1			1,007,213		88,403
Other Securities		5.5					428,199

							756,972


Information Technology — 17.3%
Apple*		2.6			584,742		203,391
Cisco Systems		0.8			3,791,879		63,704
Google, Cl A*		0.9			134,092		70,937
Hewlett-Packard		0.4			802,254		29,988
Intel		1.4			4,927,256		110,912
International Business Machines		2.2			1,029,807		173,965
Microsoft		1.4			4,230,483		105,804
Oracle		1.3			2,966,386		101,510
Qualcomm		0.9			1,208,733		70,820
Visa, Cl A		0.5			464,971		37,690
Western Union		0.4			1,445,912		29,728
Other Securities		4.5					342,206

							1,340,655


Materials — 3.8%
E.I. Du Pont de Nemours		0.4			630,280		33,594
Freeport-McMoRan Copper & Gold, Cl B		0.5			823,704		42,536
Other Securities		2.9					220,929

							297,059


Telecommunication Services — 2.5%
AT&T		1.6			3,844,646		121,337
Other Securities		0.9					74,766

							196,103


Utilities — 1.8%
Other Securities		1.8					142,433

Total Common Stock (Cost $5,428,235) ($ Thousands)							6,593,297


28		SEI Institutional Investments Trust / Annual Report / May 31, 2011

SUMMARY SCHEDULE OF INVESTMENTS

Large Cap Disciplined Equity Fund (Concluded)

May 31, 2011


Description	Percentage of Net Assets (%)			Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)


AFFILIATED PARTNERSHIPS — 14.8%
SEI LIBOR Plus Portfolio†		10.0	%		111,582,526	$	782,193
SEI Liquidity Fund, L.P. 0.150%†** (B)		4.8			377,555,577		370,939

Total Affiliated Partnerships (Cost $1,309,709) ($ Thousands)							1,153,132


CASH EQUIVALENT — 3.3%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.050%†**		3.3			255,372,994		255,373

Total Cash Equivalent (Cost $255,373) ($ Thousands)							255,373


U.S. TREASURY OBLIGATIONS (C) (D) — 1.4%
U.S. Treasury Bills
0.172%, 06/16/11		0.0		$	500		500
0.155%, 06/30/11		1.4			105,416		105,412
0.140%, 07/07/11		0.0			2,445		2,445

Total U.S. Treasury Obligations (Cost $108,346) ($ Thousands)							108,357


EXCHANGE TRADED FUND — 0.3%
Other Securities		0.3					19,966

Total Exchange Traded Fund (Cost $20,000) ($ Thousands)							19,966

Total Investments — 104.6% (Cost $7,121,663) ($ Thousands)						$	8,130,125

A summary of the open futures contracts held by the Fund at May 31, 2011, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
S&P 500 Index EMINI		464		Jun-2011	$	974
S&P 500 Index E-MINI		1,543		Jun-2011		(171	)
S&P Composite Index		2,925		Jun-2011		24,446

					$	25,249

Percentages are based on a Net Assets of $7,773,980 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2011.

†

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at May 31, 2011. The total value of securities on loan at May 31, 2011 was $371,687 ($ 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 May 31, 2011 was $370,939 ($ 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

L.P. — Limited Partnership

LIBOR — London Interbank Offered Rate

S&P — Standard & Poor’s

The following is a summary of the inputs used as of May 31, 2011, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	6,593,297	$	—	$	—	$	6,593,297
Affiliated Partnerships		782,193		370,939		—		1,153,132
Cash Equivalent		255,373		—		—		255,373
U.S. Treasury Obligations		—		108,357		—		108,357
Exchange Traded Fund		19,966		—		—		19,966

Total Investments in Securities	$	7,650,829	$	479,296	$	—	$	8,130,125


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	25,249	$	—	$	—	$	25,249

Total Other Financial Instruments	$	25,249	$	—	$	—	$	25,249

Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2011, there were 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.


SEI Institutional Investments Trust / Annual Report / May 31, 2011			29

SUMMARY SCHEDULE OF INVESTMENTS

Large Cap Index Fund

May 31, 2011

LOGO


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)


COMMON STOCK — 97.0%

Consumer Discretionary — 10.9%
Amazon.com*		0.5	%		18,789	$	3,696
Comcast, Cl A		0.5			150,725		3,804
Ford Motor*		0.4			196,784		2,936
Home Depot		0.4			85,915		3,117
McDonald’s		0.6			57,580		4,695
Walt Disney		0.6			104,872		4,366
Other Securities		7.9					61,305

							83,919


Consumer Staples — 9.6%
Altria Group		0.4			111,768		3,136
Coca-Cola		1.0			113,820		7,604
Coca-Cola Enterprises		0.1			17,415		503
CVS Caremark		0.4			73,052		2,827
Kraft Foods, Cl A		0.4			86,115		3,011
PepsiCo		0.8			87,252		6,205
Philip Morris International		1.0			100,068		7,180
Procter & Gamble		1.4			155,474		10,417
Wal-Mart Stores		0.7			103,679		5,725
Other Securities		3.4					27,753

							74,361


Energy — 11.9%
Chevron		1.5			108,402		11,373
ConocoPhillips		0.7			75,776		5,548
Exxon Mobil		3.0			274,742		22,933
Occidental Petroleum		0.6			43,454		4,687
Schlumberger		0.8			73,866		6,332
Other Securities		5.3					40,625

							91,498


Financials — 14.8%
American Express		0.4			56,334		2,907
Bank of America		0.8			542,618		6,376
Berkshire Hathaway, Cl B*		1.0			93,500		7,393
Citigroup		0.6			113,204		4,658
Goldman Sachs Group		0.5			27,575		3,881
JPMorgan Chase		1.2			214,834		9,289


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)

SEI† (A)		0.0	%		8,542	$	202
Wells Fargo		1.0			263,066		7,463
Other Securities		9.3					71,792

							113,961


Health Care — 11.3%
Abbott Laboratories		0.6			82,676		4,320
Amgen*		0.4			51,367		3,110
Johnson & Johnson		1.3			148,909		10,020
Merck		0.8			168,643		6,198
Pfizer		1.2			435,680		9,345
UnitedHealth Group		0.4			57,929		2,836
Other Securities		6.6					50,906

							86,735


Industrials — 11.0%
3M		0.5			38,246		3,610
Boeing		0.4			40,691		3,175
Caterpillar		0.5			33,688		3,564
General Electric		1.5			576,323		11,319
Union Pacific		0.4			27,216		2,857
United Technologies		0.6			49,966		4,385
Other Securities		7.1					56,005

							84,915


Information Technology — 17.2%
Apple*		2.2			49,023		17,052
Cisco Systems		0.7			305,627		5,134
EMC* (B)		0.4			110,264		3,139
Google, Cl A*		0.9			13,144		6,953
Hewlett-Packard		0.6			117,301		4,385
Intel		0.9			300,858		6,772
International Business Machines		1.4			65,398		11,048
Microsoft		1.3			413,500		10,342
Oracle		0.9			205,967		7,048
Qualcomm		0.7			87,750		5,141
Other Securities		7.2					55,822

							132,836


Materials — 4.0%
Other Securities		4.0					30,709


Telecommunication Services — 2.9%
AT&T		1.3			319,033		10,069
Verizon Communications		0.7			153,015		5,651
Other Securities		0.9					6,583

							22,303


Utilities — 3.4%
Other Securities		3.4					26,012

Total Common Stock (Cost $531,441) ($ Thousands)							747,249


30		SEI Institutional Investments Trust / Annual Report / May 31, 2011

SUMMARY SCHEDULE OF INVESTMENTS

Large Cap Index Fund (Concluded)

May 31, 2011


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)


AFFILIATED PARTNERSHIP — 6.1%
SEI Liquidity Fund, L.P. 0.150%†** (C)		6.1	%		47,159,058	$	46,540

Total Affiliated Partnership (Cost $47,159) ($ Thousands)							46,540


CASH EQUIVALENT — 2.5%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.050%†**		2.5			19,532,574		19,533

Total Cash Equivalent (Cost $19,533) ($ Thousands)							19,533


U.S. TREASURY OBLIGATIONS (D) — 0.2%
Other Securities		0.2					1,578

Total U.S. Treasury Obligations (Cost $1,578) ($ Thousands)							1,578


WARRANT — 0.0%
Other Security		0.0					—

Total Warrant (Cost $—) ($ Thousands)							—


RIGHTS — 0.0%

United States — 0.0%
Other Security		0.0					1

Total Rights (Cost $1) ($ Thousands)							1

Total Investments — 105.8% (Cost $599,712) ($ Thousands)						$	814,901

A summary of the open futures contracts held by the Fund at May 31, 2011, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
S&P 500 Index EMINI		311		Jun-2011	$	830
S&P Mid 400 Index E-MINI		28		Jun-2011		130

					$	960

Percentages are based on a Net Assets of $770,135 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2011.

†

Investment in Affiliated Security (see Note 5).

(A)

The Fund may purchase securities of certain companies with which it is affiliated to the extent these companies are represented in its benchmark index.

(B)

This security or a partial position of this security is on loan at May 31, 2011. The total value of securities on loan at May 31, 2011 was $46,383 ($ Thousands).

(C)

This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of May 31, 2011 was $46,540 ($ Thousands).

(D)

Security, or a portion thereof, has been pledged as collateral on open futures contracts.

Cl — Class

L.P. — Limited Partnership

S&P — Standard & Poor’s

The following is a summary of the inputs used as of May 31, 2011, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	747,249	$	—	$	—	$	747,249
Affiliated Partnership		—		46,540		—		46,540
Cash Equivalent		19,533		—		—		19,533
U.S. Treasury Obligations		—		1,578		—		1,578
Warrant		—		—		—		—
Rights		1		—		—		1

Total Investments in Securities	$	766,783	$	48,118	$	—	$	814,901


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	960	$	—	$	—	$	960

Total Other Financial Instruments	$	960	$	—	$	—	$	960

Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2011, there were 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.


SEI Institutional Investments Trust / Annual Report / May 31, 2011			31

SUMMARY SCHEDULE OF INVESTMENTS

Small Cap Fund

May 31, 2011

LOGO


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)


COMMON STOCK — 97.3%

Consumer Discretionary — 12.9%
American Public Education* (A)		0.4	%		66,267	$	2,901
Life Time Fitness* (A)		0.4			86,134		3,169
Shutterfly*		0.3			36,516		2,214
Tesla Motors* (A)		0.3			62,217		1,875
Other Securities		11.5					83,225

							93,384


Consumer Staples — 2.5%
Chiquita Brands International* (A)		0.4			175,100		2,609
Pantry*		0.3			114,471		2,114
Other Securities		1.8					13,498

							18,221


Energy — 7.4%
Berry Petroleum, Cl A (A)		0.3			40,538		2,125
Comstock Resources* (A)		0.6			135,738		4,082
Forest Oil*		0.3			61,635		1,843
Goodrich Petroleum* (A)		0.5			164,799		3,370
Key Energy Services*		0.3			104,736		1,852
PetroHawk Energy*		0.4			121,951		3,228
Quicksilver Resources*		0.3			154,717		2,211
Scorpio Tankers* (A)		0.3			232,807		2,349
World Fuel Services		0.3			51,821		1,896
Other Securities		4.1					30,564

							53,520


Financials — 18.5%
Financial Engines* (A)		0.3			81,062		2,018
Platinum Underwriters Holdings		0.3			72,649		2,480
ProAssurance* (A)		0.3			28,987		2,038


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)

Other Securities		17.6	%			$	127,560

							134,096


Health Care — 11.6%
Cubist Pharmaceuticals* (A)		0.4			76,125		2,933
Masimo		0.3			80,228		2,465
NuVasive* (A)		0.3			61,363		2,073
Omnicell*		0.3			145,537		2,243
Salix Pharmaceuticals*		0.3			51,359		2,056
STERIS		0.3			51,896		1,873
Teleflex (A)		0.3			29,617		1,839
Other Securities		9.4					68,130

							83,612


Industrials — 18.0%
AerCap Holdings*		0.4			212,711		2,884
EMCOR Group*		0.3			80,748		2,452
FTI Consulting* (A)		0.4			64,600		2,466
Geo Group*		0.4			100,600		2,474
Kaydon (A)		0.3			60,369		2,196
Simpson Manufacturing		0.3			67,400		1,889
Teledyne Technologies*		0.3			37,922		1,862
Towers Watson, Cl A		0.3			31,834		2,020
Wabash National*		0.5			336,629		3,255
Wabtec		0.3			33,460		2,262
Other Securities		14.5					106,384

							130,144


Information Technology — 18.2%
Blackboard* (A)		0.3			52,886		2,279
BroadSoft* (A)		0.4			80,395		3,179
Ceva*		0.3			68,700		2,359
Ciber*		0.3			309,775		1,890
Constant Contact* (A)		0.3			80,592		1,938
Digital River* (A)		0.3			72,540		2,361
Inphi*		0.3			116,025		2,302
Netlogic Microsystems* (A)		0.4			66,266		2,539
Sycamore Networks (A)		0.4			105,490		2,557
Taleo, Cl A*		0.3			63,834		2,383
VistaPrint* (A)		0.4			62,294		3,064
Other Securities		14.5					104,405

							131,256


Materials — 4.6%
Globe Specialty Metals (A)		0.4			137,380		3,113
Other Securities		4.2					30,248

							33,361


Telecommunication Services — 0.9%
Other Securities		0.9					6,251


32		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)


Utilities — 2.7%
Great Plains Energy		0.3	%		89,619	$	1,897
Portland General Electric		0.6			174,199		4,524
Other Securities		1.8					12,786

							19,207

Total Common Stock (Cost $596,392) ($ Thousands)							703,052


PREFERRED STOCK — 0.1%

Consumer Discretionary — 0.0%
Other Securities		0.0					412


Energy — 0.0%
Other Securities		0.0					146


Financials — 0.1%
Other Securities		0.1					434

Total Preferred Stock (Cost $1,226) ($ Thousands)							992


EXCHANGE TRADED FUND — 0.1%
Other Security		0.1					433

Total Exchange Traded Fund (Cost $405) ($ Thousands)							433


CONVERTIBLE BONDS — 0.1%

Consumer Discretionary — 0.0%
Other Securities		0.0					114


Energy — 0.1%
Other Securities		0.1					482


Financials — 0.0%
Other Securities		0.0					90

Total Convertible Bonds (Cost $794) ($ Thousands)							686


RIGHTS — 0.0%

United States — 0.0%
Other Security		0.0					—

Total Rights (Cost $—) ($ Thousands)							—


WARRANTS — 0.0%
Other Securities		0.0					141

Total Warrants (Cost $—) ($ Thousands)							141


Description	Percentage of Net Assets (%)			Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)


AFFILIATED PARTNERSHIP — 23.6%
SEI Liquidity Fund, L.P. 0.150%†** (B)		23.6	%		176,283,129	$	170,669

Total Affiliated Partnership (Cost $176,283) ($ Thousands)							170,669


CASH EQUIVALENT — 2.2%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.050%†**		2.2			15,945,643		15,946

Total Cash Equivalent (Cost $15,946) ($ Thousands)							15,946


U.S. TREASURY OBLIGATION (C) (D) —1.2%
U.S. Treasury Bill 0.176%, 06/30/11		1.2		$	8,501		8,501

Total U.S. Treasury Obligation (Cost $8,500) ($ Thousands)							8,501

Total Investments — 124.6% (Cost $799,546) ($ Thousands)						$	900,420

A summary of the open futures contracts held by the Fund at
May 31, 2011, is as follows:

Type of
Contract

Number of
Contracts
Long (Short)

Expiration
Date

Unrealized
Appreciation
($ Thousands)

Russell 2000 Index E-MINI

145

Jun-2011

372

Percentages are based on a Net Assets of $722,825 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2011.

†

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at May 31, 2011. The total value of securities on loan at May 31, 2011 was $171,742 ($ 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 May 31, 2011 was $170,669 ($ Thousands).

(C)

The rate reported on the Schedule of Investments is the effective yield at time of purchase.

(D)

Security, or portion thereof, has been pledged as collateral on open futures contracts.

Cl — Class

L.P. — Limited Partnership


SEI Institutional Investments Trust / Annual Report / May 31, 2011			33

SUMMARY SCHEDULE OF INVESTMENTS

Small Cap Fund (Concluded)

May 31, 2011

The following is a summary of the inputs used as of May 31, 2011, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	702,786	$	5	$	261	$	703,052
Preferred Stock		—		992		—		992
Convertible Bonds		—		572		114		686
Exchange Traded Fund		433		—		—		433
Rights		—		—		—		—
Warrants		—		141		—		141
Affiliated Partnership		—		170,669		—		170,669
U.S. Treasury Obligation		—		8,501		—		8,501
Cash Equivalent		15,946		—		—		15,946

Total Investments in Securities	$	719,165	$	180,880	$	375	$	900,420


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	372	$	—	$	—	$	372

Total Other Financial Instruments	$	372	$	—	$	—	$	372

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 June 1, 2010	$	358		$	1,031
Accrued discounts/premiums		—			(31	)
Realized gain/(loss)		—			(246	)
Change in unrealized appreciation/(depreciation)		(248	)		(63	)
Net purchases/sales		—			(577	)
Net transfer in and/or out of Level 3		151			—

Ending balance as of May 31, 2011	$	261		$	114

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	(325	)	$	—

For the year ended May 31, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities. For the year ended May 31, 2011, the transfers out of Level 3 were due to changes in the availability of observable inputs used to determine fair value.

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.


34		SEI Institutional Investments Trust / Annual Report / May 31, 2011

SUMMARY SCHEDULE OF INVESTMENTS

Small/Mid Cap Equity Fund

May 31, 2011

LOGO


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)


COMMON STOCK — 96.2%

Consumer Discretionary — 13.0%
Chico’s FAS		0.2	%		376,445	$	5,677
Cooper Tire & Rubber		0.3			239,524		5,787
CROCS*		0.3			255,534		5,808
Shutterfly*		0.3			107,225		6,500
Tempur-Pedic International* (A)		0.6			206,237		13,414
TRW Automotive Holdings*		0.2			101,024		5,745
Other Securities		11.1					257,752

							300,683


Consumer Staples — 3.0%
Green Mountain Coffee Roasters* (A)		0.3			89,320		7,357
Herbalife		0.2			103,300		5,814
Other Securities		2.6					56,155

							69,326


Energy — 6.9%
Berry Petroleum, Cl A (A)		0.4			173,242		9,080
Complete Production Services* (A)		0.3			207,896		6,900
Goodrich Petroleum* (A)		0.3			290,441		5,940
Key Energy Services* (A)		0.3			399,306		7,060
Other Securities		5.7					130,291

							159,271


Financials — 18.9%
American Financial Group		0.3			164,635		5,854
Equity Residential‡		0.3			95,150		5,883
HCP‡		0.3			156,300		5,930
Host Hotels & Resorts‡		0.2			328,827		5,781
Moody’s (A)		0.2			141,200		5,635
ProAssurance*		0.3			106,763		7,507
Reinsurance Group of America, Cl A		0.2			89,727		5,700


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)

SVB Financial Group* (A)		0.3	%		132,279	$	7,855
Zions Bancorporation (A)		0.4			379,857		9,052
Other Securities		16.3					378,888

							438,085


Health Care — 12.1%
Catalyst Health Solutions*		0.5			168,050		10,256
Cooper (A)		0.3			105,671		7,916
Coventry Health Care*		0.3			197,050		6,932
Gen-Probe*		0.4			102,456		8,380
Masimo (A)		0.3			194,918		5,988
NuVasive* (A)		0.3			186,217		6,292
Salix Pharmaceuticals*		0.4			239,983		9,606
Other Securities		9.6					224,873

							280,243


Industrials — 16.1%
BE Aerospace*		0.4			245,685		9,194
Copa Holdings, Cl A		0.3			103,723		6,482
EMCOR Group*		0.3			205,939		6,254
Old Dominion Freight Line* (A)		0.4			234,243		8,744
Roper Industries		0.3			78,120		6,521
Sensata Technologies Holding*		0.3			177,053		6,424
United Rentals* (A)		0.3			235,175		6,430
Other Securities		13.8					323,568

							373,617


Information Technology — 16.2%
BroadSoft* (A)		0.3			178,460		7,056
Brocade Communications Systems*		0.2			857,549		5,720
Cavium Networks* (A)		0.3			133,289		5,929
Fairchild Semiconductor International, Cl A*		0.2			312,442		5,637
Jabil Circuit (A)		0.3			280,270		6,048
Netlogic Microsystems* (A)		0.3			172,425		6,607
Parametric Technology*		0.3			290,837		6,774
Sapient* (A)		0.2			385,808		5,668
Syntel		0.3			109,481		5,898
VistaPrint* (A)		0.4			220,953		10,866
Other Securities		13.4					308,784

							374,987


Materials — 5.3%
PolyOne		0.3			459,971		7,005
Other Securities		4.9					114,877

							121,882


Telecommunication Services — 1.0%
Other Securities		1.0					22,073


SEI Institutional Investments Trust / Annual Report / May 31, 2011			35

SUMMARY SCHEDULE OF INVESTMENTS

Small/Mid Cap Equity Fund (Concluded)

May 31, 2011


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)


Utilities — 3.7%
AGL Resources (A)		0.3	%		155,894	$	6,409
Great Plains Energy (A)		0.3			349,339		7,395
Portland General Electric		0.5			408,279		10,603
Other Securities		2.6					63,207

							87,614

Total Common Stock (Cost $1,800,219) ($ Thousands)							2,227,781


PREFERRED STOCK — 0.1%

Consumer Discretionary — 0.1%
Other Securities		0.1					721


Energy — 0.0%
Other Securities		0.0					139


Financials — 0.0%
Other Securities		0.0					440

Total Preferred Stock (Cost $1,535) ($ Thousands)							1,300


CONVERTIBLE BONDS — 0.1%

Energy — 0.1%
Other Securities		0.1					916


Financials — 0.0%
Other Securities		0.0					250

Total Convertible Bonds (Cost $751) ($ Thousands)							1,166


EXCHANGE TRADED FUND — 0.0%
Other Security		0.0					912

Total Exchange Traded Fund (Cost $853) ($ Thousands)							912


WARRANTS — 0.0%
Other Securities		0.0					87

Total Warrants (Cost $–) ($ Thousands)							87


AFFILIATED PARTNERSHIP — 24.1%
SEI Liquidity Fund, L.P. 0.150%†** (B)		24.1			565,630,921		558,169

Total Affiliated Partnership (Cost $565,631) ($ Thousands)							558,169


Description	Percentage of Net Assets (%)			Shares\Face Amount ($ Thousands)		Market Value ($ Thousands)


CASH EQUIVALENT — 3.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.050%†**		3.7	%		85,124,082	$	85,124

Total Cash Equivalent (Cost $85,124) ($ Thousands)							85,124


U.S. TREASURY OBLIGATION (C) (D) — 0.3%
U.S. Treasury Bill 0.042%, 06/30/11		0.3		$	7,566		7,566

Total U.S. Treasury Obligation (Cost $7,565) ($ Thousands)							7,566

Total Investments — 124.5% (Cost $2,461,678) ($ Thousands)						$	2,882,105

A summary of the open futures contracts held by the Fund at May 31, 2011, is as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
Russell 2000 Index E-MINI		323		Jun-2011	$	834
S&P Mid 400 Index E-MINI		237		Jun-2011		539

					$	1,373

For the year ended May 31, 2011 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 year.

Percentages are based on a Net Assets of $2,315,082 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2011.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at May 31, 2011. The total value of securities on loan at May 31, 2011 was $552,143 ($ 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 May 31, 2011 was $558,169 ($ Thousands)

(C)

The rate reported on the Schedule of Investments is the effective yield at time of purchase.

(D)

Security, or portion thereof, has been pledged as collateral on open futures contracts.

Cl — Class

L.P. — Limited Partnership

S&P — Standard and Poor’s


36		SEI Institutional Investments Trust / Annual Report / May 31, 2011

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 May 31, 2011, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock		2,227,557		21		203		2,227,781
Preferred Stock		—		1,300		—		1,300
Convertible Bonds		—		1,166		—		1,166
Exchange Traded Fund		912		—		—		912
Warrants		—		87		—		87
Affiliated Partnership		—		558,169		—		558,169
U.S. Treasury Obligation		—		7,566		—		7,566
Cash Equivalent		85,124		—		—		85,124

Total Investments in Securities	$	2,313,593	$	568,309	$	203	$	2,882,105


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	1,373	$	—	$	—	$	1,373

Total Other Financial Instruments	$	1,373	$	—	$	—	$	1,373

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 June 1, 2010	$	308		$	699
Accrued discounts/premiums		—			(9	)
Realized gain/(loss)		—			(639	)
Change in unrealized appreciation/(depreciation)		(213	)		415
Net purchases/sales		—			(466	)
Net transfer in and/or out of Level 3		108			—

Ending balance as of May 31, 2011	$	203		$	—

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	(187	)	$	—

For the year ended May 31, 2011, there have been no significant transfers between Level 1 and Level 2 assets and liabilities. For the year ended May 31, 2011, the transfers out of Level 3 were due to changes in the availability of observable inputs used to determine fair value.

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 / Annual Report / May 31, 2011			37

SUMMARY SCHEDULE OF INVESTMENTS

U.S. Managed Volatility Fund

May 31, 2011

LOGO


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)


COMMON STOCK — 98.1%

Consumer Discretionary — 6.8%
Target		0.7	%		20,100	$	996
Other Securities		6.1					8,088

							9,084


Consumer Staples — 20.8%
Coca-Cola Enterprises		0.7			29,975		866
ConAgra Foods		0.8			44,000		1,119
CVS Caremark		0.8			28,100		1,087
Hansen Natural*		0.8			14,267		1,022
Hershey		0.6			15,108		842
Hormel Foods		1.4			63,857		1,873
Kimberly-Clark		1.6			31,475		2,150
Kroger		0.7			36,400		903
Lorillard		2.0			22,925		2,643
Metro, Cl A		0.7			18,900		944
Philip Morris International		0.6			11,908		854
Reynolds American		1.2			40,380		1,606
Walgreen		0.9			28,100		1,226
Wal-Mart Stores		1.1			27,500		1,519
Other Securities		6.9					9,150

							27,804


Energy — 4.3%
Chevron		1.1			14,200		1,490
Exxon Mobil		1.4			22,700		1,895
Other Securities		1.8					2,295

							5,680


Financials — 11.6%
Chubb		0.7			15,100		990
Travelers		0.7			15,900		987
Other Securities		10.2					13,557

							15,534


Health Care — 20.1%
Abbott Laboratories		0.9			23,800		1,244
Aetna		0.6			18,700		817
AmerisourceBergen		0.8			25,839		1,065


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)

Amgen*		1.4	%		31,015	$	1,878
Biogen Idec*		1.4			20,240		1,917
C.R. Bard		0.6			7,415		829
Cardinal Health		1.1			33,798		1,535
Eli Lilly		1.2			39,856		1,534
Gilead Sciences*		0.7			23,700		989
Johnson & Johnson		0.7			14,400		969
McKesson		0.9			13,754		1,178
Merck		1.1			40,500		1,488
Pfizer		0.6			39,200		841
Techne		0.8			13,430		1,095
UnitedHealth Group		0.6			16,800		822
Other Securities		6.7					8,731

							26,932


Industrials — 6.0%
L-3 Communications Holdings, Cl 3		0.8			13,900		1,135
Lockheed Martin		0.6			10,800		841
Raytheon		0.8			20,400		1,028
Other Securities		3.8					5,078

							8,082


Information Technology — 10.1%
Microsoft		0.8			42,700		1,068
SAIC*		0.8			60,100		1,055
Texas Instruments		1.1			42,007		1,483
Other Securities		7.4					9,842

							13,448


Materials — 2.4%
Other Securities		2.4					3,252

							3,252


Telecommunication Services — 3.1%
AT&T		1.2			50,000		1,578
Other Securities		1.9					2,530

							4,108


Utilities — 12.9%
American Electric Power		0.6			22,200		848
Atmos Energy		0.7			26,500		884
Consolidated Edison		0.6			16,052		852
DPL		1.1			49,693		1,499
Entergy		0.7			13,200		900
NSTAR		0.7			22,070		1,016
UGI		1.0			39,797		1,305
Wisconsin Energy		0.8			35,284		1,103
Other Securities		6.7					8,909

							17,316

Total Common Stock (Cost $104,218) ($ Thousands)							131,240


38		SEI Institutional Investments Trust / Annual Report / May 31, 2011

SUMMARY SCHEDULE OF INVESTMENTS

U.S. Managed Volatility Fund (Concluded)

May 31, 2011


Description	Percentage of Net Assets (%)			Face Amount ($ Thousands)/Shares		Market Value ($ Thousands)


U.S. TREASURY OBLIGATION — 0.8%
U.S. Treasury Bill (A) (B) 0.042%, 06/30/11		0.8	%	$	1,121	$	1,120

Total U.S. Treasury Obligation (Cost $1,120) ($ Thousands)							1,120


CASH EQUIVALENT — 1.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.050%†**		1.7			2,240,569		2,241

Total Cash Equivalent (Cost $2,241) ($ Thousands)							2,241

Total Investments — 100.6% (Cost $107,579) ($ Thousands)						$	134,601

A summary of the open futures contracts held by the Fund at May 31, 2011, is as follows:

Type of
Contract

Number of

Contracts
Long

Expiration
Date

Unrealized
Appreciation

($ Thousands)

S&P 500 Index E-MINI

Jun-2011

Percentages

are based on a Net Assets of $133,811 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2011.

†

Investment in Affiliated Security (see Note 5).

(A)

The rate reported on the Schedule of Investments is the effective yield at time of purchase.

(B)

Security, or portion thereof, has been pledged as collateral on open futures contracts.

Cl — Class

S&P — Standard & Poor’s

The following is a summary of the inputs used as of May 31, 2011, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	131,240	$	—	$	—	$	131,240
U.S. Treasury Obligation		—		1,120		—		1,120
Cash Equivalent		2,241		—		—		2,241

Total Investments in Securities	$	133,481	$	1,120	$	—	$	134,601


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	77	$	—	$	—	$	77

Total Other Financial Instruments	$	77	$	—	$	—	$	77

Future contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2011, there were 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.


SEI Institutional Investments Trust / Annual Report / May 31, 2011			39

SUMMARY SCHEDULE OF INVESTMENTS

International Equity Fund

May 31, 2011

LOGO


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)


COMMON STOCK — 95.9%

Australia — 2.9%
BHP Billiton		0.4	%		48,441	$	2,290
Newcrest Mining		0.5			67,441		2,853
Rio Tinto		0.2			14,993		1,302
Other Securities		1.8					9,352

							15,797


Austria — 0.3%
Other Securities		0.3					1,475


Belgium — 1.3%
InBev		0.6			53,173		3,204
Other Securities		0.7					3,971

							7,175


Brazil — 1.6%
Other Securities		1.6					8,679


Canada — 3.7%
Barrick Gold		0.4			49,352		2,357
Other Securities		3.3					18,092

							20,449


Chile — 0.2%
Other Securities		0.2					1,026


China — 1.1%
Other Securities		1.1					6,260


Denmark — 1.2%
Novo-Nordisk, Cl B		0.5			21,353		2,674
Other Securities		0.7					4,015

							6,689


Finland — 1.1%
Other Securities		1.1					6,081


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)


France — 10.3%
AXA		0.7	%		185,073	$	3,948
BNP Paribas (A)		1.1			74,716		5,824
LVMH Moet Hennessy Louis Vuitton (A)		0.6			19,496		3,388
Sanofi-Aventis		1.3			87,546		6,925
Schneider Electric		0.7			24,030		3,959
Vinci		0.4			34,778		2,241
Other Securities		5.5					29,816

							56,101


Germany — 7.4%
Bayerische Motoren Werke (A)		0.4			27,621		2,441
Linde		0.8			25,596		4,326
SAP		0.4			37,782		2,345
Siemens		1.3			51,095		6,831
Other Securities		4.5					24,406

							40,349


Greece — 0.4%
Other Securities		0.4					2,060


Guernsey — 0.0%
Other Securities		0.0					8


Hong Kong — 2.3%
Other Securities		2.3					12,650


Indonesia — 0.1%
Other Securities		0.1					636


Ireland — 0.5%
Other Securities		0.5					3,235


Israel — 0.5%
Other Securities		0.5					2,760


Italy — 2.0%
Other Securities		2.0					10,976


Japan — 17.5%
Dai Nippon Printing		0.4			201,000		2,299
Fanuc		0.5			16,800		2,583
Honda Motor		0.9			125,500		4,774
JGC		0.5			95,000		2,536
KDDI		0.7			499		3,575
Seven & I Holdings		0.7			144,600		3,837
Sony Financial Holdings		0.4			123,000		2,241
Sumitomo Mitsui Financial Group		0.4			81,400		2,355
Toyota Motor		0.6			74,200		3,105
Yaskawa Electric		0.5			217,000		2,361
Other Securities		11.9					65,596

							95,262


Malaysia — 0.1%
Other Securities		0.1					746


40		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)


Mexico — 0.1%
Other Securities		0.1	%			$	695


Netherlands — 5.8%
Akzo Nobel		0.9			66,208		4,774
Randstad Holding		0.4			45,926		2,267
Reed Elsevier		0.6			248,622		3,340
Royal Dutch Shell, Cl A (GBP)		0.2			33,838		1,221
Royal Dutch Shell, Cl A (A)		0.3			47,367		1,687
Royal Dutch Shell, Cl B		0.3			45,365		1,642
Royal Dutch Shell ADR, Cl B (A)		0.3			17,621		1,274
Other Securities		2.8					15,616

							31,821


New Zealand — 0.5%
Telecom of New Zealand		0.5			1,387,175		2,761


Norway — 1.3%
DnB (A)		0.6			227,562		3,423
Statoil (A)		0.4			89,911		2,366
Other Securities		0.3					1,320

							7,109


Poland — 0.1%
Other Securities		0.1					571


Portugal — 0.1%
Other Securities		0.1					361


Russia — 0.1%
Other Securities		0.1					472


Singapore — 1.0%
Other Securities		1.0					5,512


South Africa — 0.9%
Other Securities		0.9					4,926


South Korea — 2.7%
Hyundai Mobis		0.4			6,405		2,247
KT&G		0.4			39,784		2,334
Samsung Electronics		0.4			3,026		2,529
Other Securities		1.5					7,800

							14,910


Spain — 1.8%
Other Securities		1.8					9,604


Sweden — 1.8%
Other Securities		1.8					9,538


Switzerland — 8.8%
Givaudan		0.8			4,152		4,574


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)

Nestle		0.9	%		74,007	$	4,751
Novartis		1.8			153,997		9,931
Roche Holding		0.8			25,155		4,424
Sulzer		0.5			13,069		2,366
UBS*		0.6			158,994		3,046
Xstrata		0.5			104,933		2,462
Other Securities		2.9					16,700

							48,254


Taiwan — 0.1%
Other Securities		0.1					446


United Kingdom — 15.8%
AstraZeneca		0.7			68,201		3,567
BG Group		0.7			157,178		3,639
British American Tobacco		0.7			78,297		3,508
Diageo		0.5			122,502		2,609
GlaxoSmithKline		0.7			175,407		3,811
Kingfisher		0.5			608,557		2,876
Rio Tinto		1.0			80,311		5,611
Rio Tinto ADR		0.2			16,400		1,150
Rolls-Royce Holdings		0.9			483,001		5,056
Vodafone Group		1.3			2,627,839		7,308
Other Securities		8.6					47,108

							86,243


United States — 0.5%
Other Securities		0.5					2,801

Total Common Stock (Cost $465,768) ($ Thousands)							524,438


PREFERRED STOCK — 0.4%

Germany — 0.4%
Other Securities		0.4					2,076

Total Preferred Stock (Cost $1,646) ($ Thousands)							2,076


WARRANT — 0.2%
Other Security		0.2					1,095

Total Warrant (Cost $887) ($ Thousands)							1,095


RIGHTS — 0.0%

Austria — 0.0%
Other Securities		0.0					—


France — 0.0%
Other Securities		0.0					—


Italy — 0.0%
Other Securities		0.0					50


SEI Institutional Investments Trust / Annual Report / May 31, 2011			41

SUMMARY SCHEDULE OF INVESTMENTS

International Equity Fund (Concluded)

May 31, 2011


Description	Percentage of Net Assets (%)			Shares/Face Amount (Thousands)		Market Value ($ Thousands)


Spain — 0.0%
Other Securities		0.0	%			$	4

Total Rights (Cost $—) ($ Thousands)							54


AFFILIATED PARTNERSHIP — 7.8%
SEI Liquidity Fund, L.P. 0.150†* (B)		7.8			43,510,408		42,696

Total Affiliated Partnership (Cost $43,510) ($ Thousands)							42,696


TIME DEPOSITS — 1.8%

United States — 1.8%
Brown Brothers Harriman
3.977%, 06/01/11		ZAR			5		1
3.866%, 06/01/11		AUD			9		10
1.600%, 06/01/11		NZD			—		—
1.405%, 06/01/11		NOK			54		10
0.932%, 06/01/11		SEK			79		13
0.430%, 06/01/11		EUR			23		33
0.231%, 06/01/11		CAD			—		—
0.200%, 06/01/11		DKK			—		—
0.103%, 06/01/11		GBP			20		32
0.030%, 06/01/11		USD			9,497		9,497
0.010%, 06/01/11		JPY			2,778		34
0.010%, 06/01/11		SGD			—		—
0.005%, 06/01/11		CHF			107		125
0.005%, 06/01/11		HKD			82		11

Total Time Deposits (Cost $9,766) ($ Thousands)							9,766


CASH EQUIVALENT — 0.6%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.050%†*		0.6			3,011,140		3,011

Total Cash Equivalent (Cost $3,011) ($ Thousands)							3,011


U.S. TREASURY OBLIGATIONS (C) — 0.2%
Other Securities		0.2					1,239

Total U.S. Treasury Obligations (Cost $1,239) ($ Thousands)							1,239

Total Investments — 106.9% (Cost $525,827) ($ Thousands)						$	584,375

A summary of the open futures contracts held by the Fund at May 31, 2011, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		71		Jun-2011	$	(4	)
FTSE 100 Index		23		Jun-2011		6
Hang Seng Index		2		Jun-2011		15


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
Nikkei 225 Index		4		Jun-2011	$	(18	)
SPI 200 Index		7		Jul-2011		(14	)
Topix Index		17		Jun-2011		(15	)

					$	(30	)

Percentages are based on a Net Assets of $546,512 ($ Thousands).

The rate reported is the 7-day effective yield as of May 31, 2011.

†

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at May 31, 2011. The total value of securities on loan at May 31, 2011 was $41,822 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of May 31, 2011 was 42,696 ($ Thousands).

(C)

Security, or portion thereof has been pledged as collateral on open futures contracts.

ADR — American Depositary Receipt

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

DJ — Dow Jones

DKK — Danish Krone

EUR — Euro

FTSE — Financial Times and the London Stock Exchange

GBP — British Pound Sterling

HKD — Hong Kong Dollar

JPY — Japanese Yen

L.P. — Limited Partnership

NOK — Norwegian

NZD — New Zealand Dollar

SEK — Swedish Krone

SGD — Singapore Dollar

SPI — Share Price Index

USD— U.S. Dollar

ZAR — South African Rand

The following is a summary of the inputs used as of May 31, 2011, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	524,438	$	—	$	—	$	524,438
Preferred Stock		2,076		—		—		2,076
Warrant		—		1,095		—		1,095
Rights		54		—		—		54
Affiliated Partnership		—		42,696		—		42,696
Time Deposits		9,766		—		—		9,766
Cash Equivalent		3,011		—		—		3,011
U.S. Treasury Obligations		—		1,239		—		1,239

Total Investments in Securities	$	539,345	$	45,030	$	—	$	584,375


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(30	)	$	—	$	—	$	(30	)

Total Other Financial Instruments	$	(30	)	$	—	$	—	$	(30	)

Futures contracts are valued at the unrealized depreciation on the instrument.

For the year ended May 31, 2011, there were 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.


42		SEI Institutional Investments Trust / Annual Report / May 31, 2011

SUMMARY SCHEDULE OF INVESTMENTS

World Equity Ex-US Fund

May 31, 2011

LOGO


Description		Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)


COMMON STOCK — 93.7%

Argentina — 0.0%
Other Securities			0.0	%			$	1,908


Australia — 2.9%
BHP Billiton			0.5			583,423		27,577
Rio Tinto			0.4			207,398		18,011
Other Securities			2.0					101,584

								147,172


Austria — 0.1%
Other Securities			0.1					3,975


Belgium — 0.6%
Other Securities			0.6					30,430


Brazil — 5.5%
Cia de Saneamento Basico do Estado de Sao Paulo ADR			1.0			848,900		52,241
Cia Paranaense de Energia ADR (A)			0.6			1,207,300		32,054
Cia Vale do Rio Doce ADR, Cl B			0.6			965,296		31,140
Other Securities			3.3					164,685

								280,120


Canada — 6.0%
Other Securities			6.0					306,235


Chile — 0.6%	��
Other Securities			0.6					30,120


China — 3.5%
China Petroleum & Chemical, Cl H			0.4			22,604,600		22,670
Other Securities			3.1					157,332

								180,002


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)


Colombia — 0.0%
Other Securities		0.0	%			$	1,861


Cyprus — 0.0%
Other Securities		0.0					1,527


Denmark — 0.8%
Novo-Nordisk, Cl B		0.7			258,707		32,401
Other Securities		0.1					6,143

							38,544


Egypt — 0.1%
Other Securities		0.1					2,904


Finland — 0.5%
Other Securities		0.5					32,623


France — 5.5%
Air Liquide (A)		0.5			163,366		22,671
BNP Paribas (A)		0.8			549,008		42,794
France Telecom ADR (A)		0.6			1,236,800		28,335
LVMH Moet Hennessy Louis Vuitton (A)		0.6			161,490		28,068
Total (A)		0.6			520,408		29,948
Other Securities		2.4					131,222

							283,038


Germany — 6.2%
Fresenius Medical Care (A)		0.5			347,985		25,183
Infineon Technologies		0.5			2,258,892		26,113
SAP		1.0			788,593		48,941
Siemens		0.7			259,362		34,676
Other Securities		3.5					182,236

							317,149


Greece — 0.0%
Other Securities		0.0					1,424


Hong Kong — 4.1%
CNOOC		0.7			13,808,597		34,799
Hong Kong Exchanges and Clearing		0.4			1,059,500		23,745
Other Securities		3.0					153,134

							211,678


Hungary — 0.1%
Other Securities		0.1					2,898


India — 1.1%
Other Securities		1.1					58,429


Indonesia — 1.4%
Other Securities		1.4					71,557


SEI Institutional Investments Trust / Annual Report / May 31, 2011			43

SUMMARY SCHEDULE OF INVESTMENTS

World Equity Ex-US Fund (Continued)

May 31, 2011


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)


Ireland — 0.5%
Other Securities		0.5	%			$	26,864


Israel — 1.0%
Teva Pharmaceutical Industries ADR		0.7			655,050		33,342
Other Securities		0.3					16,877

							50,219


Italy — 1.3%
Other Securities		1.3					66,697


Japan — 11.2%
Hitachi		0.8			6,909,600		39,464
KDDI		0.6			4,465		31,987
Komatsu		0.6			978,896		29,304
Mizuho Financial Group		0.5			14,086,200		22,194
Toyota Motor		0.5			587,847		24,602
Other Securities		8.2					427,171

							574,722


Kazakhstan — 0.0%
Other Securities		0.0					2,177


Malaysia — 0.2%
Other Securities		0.2					12,403


Mexico — 1.4%
Other Securities		1.4					70,559


Netherlands — 3.6%
ArcelorMittal		0.4			650,198		21,663
Royal Dutch Shell, Cl A (A)		0.7			932,714		33,214
Royal Dutch Shell, Cl A (GBP)		0.2			291,037		10,500
Royal Dutch Shell, Cl B		0.1			139,957		5,066
Royal Dutch Shell ADR, Cl A (A)		0.6			426,100		30,436
Other Securities		1.6					81,962

							182,841


New Zealand — 0.0%
Other Securities		0.0					2,280


Norway — 1.6%
Seadrill		0.7			1,008,002		36,300
Other Securities		0.9					44,920

							81,220


Pakistan — 0.0%
Other Securities		0.0					294


Poland — 0.5%
Other Securities		0.5					23,535


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)


Portugal — 0.3%
Other Securities		0.3	%			$	15,401


Russia — 1.2%
Other Securities		1.2					59,535


Singapore — 1.1%
Other Securities		1.1					54,427


South Africa — 1.0%
Sasol ADR (A)		0.6			590,100		31,641
Other Securities		0.4					19,098

							50,739


South Korea — 4.4%
Hyundai Motor		0.8			175,083		40,966
Samsung Electronics		0.5			28,238		23,603
SK Telecom ADR (A)		0.5			1,320,138		23,353
Other Securities		2.6					138,846

							226,768


Spain — 0.8%
Telefonica		0.5			1,026,466		24,902
Other Securities		0.3					16,705

							41,607


Sweden — 1.6%
Hennes & Mauritz, Cl B (A)		0.5			653,593		24,241
Other Securities		1.1					59,280

							83,521


Switzerland — 4.7%
Credit Suisse Group		0.8			904,290		38,826
Nestle		0.8			670,528		43,043
Novartis		0.6			493,108		31,799
Zurich Financial Services ADR		0.6			1,106,400		29,607
Other Securities		1.9					98,429

							241,704


Taiwan — 2.0%
High Tech Computer		0.7			861,632		36,682
Other Securities		1.3					63,954

							100,636


Thailand — 1.1%
Other Securities		1.1					57,736


Turkey — 0.7%
Other Securities		0.7					34,233


United Kingdom — 12.5%
AstraZeneca		0.5			527,451		27,586
AstraZeneca ADR(A)		0.6			582,600		30,528


44		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)

BG Group		0.6	%		1,270,462	$	29,412
British American Tobacco		0.7			820,626		36,766
Diageo ADR		0.4			254,800		21,681
GlaxoSmithKline ADR (A)		0.6			747,000		32,464
Imperial Tobacco Group		0.9			1,205,717		43,184
Reckitt Benckiser Group		0.5			419,556		23,735
Rio Tinto		0.4			284,774		19,898
Rio Tinto ADR (A)		0.4			292,100		20,482
Standard Chartered		0.4			807,248		21,631
Tesco		0.5			3,946,687		27,222
Other Securities		6.0					304,706

							639,295


United States — 2.0%
Schlumberger		0.4			258,250		22,137
Other Securities		1.6					78,689

							100,826

Total Common Stock (Cost $4,172,173) ($ Thousands)							4,803,833


PREFERRED STOCK — 1.1%

Brazil — 0.1%
Other Securities		0.1					6,162


Germany — 1.0%
Volkswagen		0.6			162,468		28,822
Other Securities		0.4					21,840

							50,662

Total Preferred Stock (Cost $38,662) ($ Thousands)							56,824


EXCHANGE TRADED FUND — 0.0%

United States — 0.0%
Other Security		0.0					236

Total Exchange Traded Fund (Cost $189) ($ Thousands)							236


WARRANT — 0.0%
Other Securities		0.0					—

Total Warrant (Cost $—) ($ Thousands)							—


RIGHTS — 0.0%

Italy — 0.0%
Other Securities		0.0					394


Spain — 0.0%
Other Securities		0.0					29

Total Rights (Cost $—) ($ Thousands)							423


Description	Percentage of Net Assets (%)			Shares/Face Amount (Thousands)		Market Value ($ Thousands)


AFFILIATED PARTNERSHIP — 10.1%
SEI Liquidity Fund, L.P. 0.150†* (B)		10.1	%		519,185,796	$	516,462

Total Affiliated Partnership (Cost $519,186) ($ Thousands)							516,462


TIME DEPOSITS — 1.0%

United States — 1.0%
3.977%, 06/01/11		ZAR			1		—
3.866%, 06/01/11		AUD			—		—
1.405%, 06/01/11		NOK			1,705		316
0.932%, 06/01/11		SEK			823		133
0.430%, 06/01/11		EUR			5,293		7,609
0.231%, 06/01/11		CAD			1,921		1,983
0.200%, 06/01/11		DKK			1		—
0.103%, 06/01/11		GBP			354		583
0.030%, 06/01/11		USD			36,783		36,783
0.010%, 06/01/11		JPY			97,487		1,200
0.010%, 06/01/11		SGD			254		206
0.005%, 06/01/11		CHF			329		386
0.005%, 06/01/11		HKD			30,115		3,872

Total Time Deposits (Cost $53,071) ($ Thousands)							53,071


CASH EQUIVALENT — 2.1%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.050%†*		2.1			110,138,628		110,139

Total Cash Equivalent (Cost $110,139) ($ Thousands)							110,139


U.S. TREASURY OBLIGATIONS — 0.2%
Other Securities		0.2					11,137

Total U.S. Treasury Obligations (Cost $11,136) ($ Thousands)							11,137

Total Investments — 108.2% (Cost $4,904,556) ($ Thousands)						$	5,552,125

A summary of the open futures contracts held by the Fund at May 31, 2011, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		1,274		Jun-2011	$	325
FTSE 100 Index		386		Jun-2011		439
Hang Seng Index		37		Jun-2011		200
Nikkei 225 Index		11		Jun-2011		(49	)
S&P TSE 60 Index		125		Jun-2011		252
SPI 200 Index		118		Jul-2011		37
Topix Index		314		Jun-2011		229

					$	1,433


SEI Institutional Investments Trust / Annual Report / May 31, 2011			45

SUMMARY SCHEDULE OF INVESTMENTS

World Equity Ex-US Fund (Concluded)

May 31, 2011

For the year ended May 31, 2011 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 year.

Percentages are based on a Net Assets of $5,129,089 ($ Thousands).

The rate reported is the 7-day effective yield as of May 31, 2011.

†

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at May 31, 2011. The total value of securities on loan at May 31, 2011 was $506,413 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of May 31, 2011 was $516,462 ($ Thousands)

ADR — American Depositary Receipt

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

DJ — Dow Jones

DKK — Danish Krone

EUR — Euro

FTSE — Financial Times and Stock Exchange

GBP — British Pound Sterling

HKD — Hong Kong Dollar

JPY — Japanese Yen

L.P. — Limited Partnership

NOK — Norwegian Krone

S&P — Standard & Poor’s

SEK — Swedish Krone

SGD — Singapore Dollar

SPI — Share Price Index

USD — U.S. Dollar

ZAR — South African Rand

The following is a summary of the inputs used as of May 31, 2011, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	4,800,929	$	2,904	$	—	$	4,803,833
Preferred Stock		56,824		—		—		56,824
Rights		423		—		—		423
Warrant		—		—		—		—
Exchange Traded Fund		236		—		—		236
Affiliated Partnership		—		516,462		—		516,462
Cash Equivalent		110,139		—		—		110,139
Time Deposits		53,071		—		—		53,071
U.S. Treasury Obligations		—		11,137		—		11,137

Total Investments in Securities	$	5,021,622	$	530,503	$	—	$	5,552,125


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *	$	1,433	$	—	$	—	$	1,433

Total Other Financial Instruments	$	1,433	$	—	$	—	$	1,433

Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2011, there were 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.


46		SEI Institutional Investments Trust / Annual Report / May 31, 2011

SUMMARY SCHEDULE OF INVESTMENTS

Screened World Equity Ex-US Fund

May 31, 2011

LOGO


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)


COMMON STOCK — 94.4%

Australia — 3.4%
BHP Billiton		1.6	%		18,927	$	895
Rio Tinto		0.7			4,225		367
Other Securities		1.1					602

							1,864


Austria — 0.5%
Other Securities		0.5					255


Belgium — 0.3%
Other Securities		0.3					141


Brazil — 2.6%
Other Securities		2.6					1,412


Canada — 5.3%
Canadian National Railway		0.6			4,219		330
Potash Corp of Saskatchewan		0.8			8,160		462
Other Securities		3.9					2,118

							2,910


China — 3.5%
Industrial & Commercial Bank of China, Cl H		0.7			432,000		362
Other Securities		2.8					1,573

							1,935


Denmark — 1.8%
Novo-Nordisk, Cl B		1.1			4,987		624
Other Securities		0.7					344

							968


Finland — 0.7%
Other Securities		0.7					382


France — 7.0%
Air Liquide		0.8			3,002		417


Description	Percentage of Net Assets (%)			Shares			Market Value ($ Thousands)

BNP Paribas		1.5	%		10,261		$	800
Lafarge		0.7			5,158			356
LVMH Moet Hennessy Louis Vuitton		0.9			2,955			514
Sanofi-Aventis		0.8			5,426			429
Other Securities		2.3						1,330

								3,846


Germany — 8.2%
Allianz		1.0			3,742			517
BASF		0.9			5,030			465
Deutsche Bank		1.2			10,561			629
Fresenius Medical Care		1.1			8,211			594
SAP		1.3			11,167			693
Siemens		0.9			3,723			498
Volkswagen		0.2			528			88
Other Securities		1.6						1,030

								4,514



Greece — 0.0%
Other Securities		0.0						28


Hong Kong — 4.7%
CNOOC		0.7			157,000			396
Hong Kong Exchanges and Clearing		0.8			18,800			421
Other Securities		3.2						1,744

								2,561


Indonesia — 0.3%
Other Securities		0.3						152


Ireland — 0.4%
Other Securities		0.4						246


Israel — 1.2%
Teva Pharmaceutical Industries ADR		0.8			9,100			463
Other Securities		0.4						211

								674


Italy — 1.3%
Other Securities		1.3						725


Japan — 13.4%
Fanuc		0.8			2,700			415
Hitachi		0.6			58,000			331
KDDI		0.8			59	��		423
Komatsu		1.1			19,300			578
Mitsubishi UFJ Financial Group		1.1			132,400			611
Toyota Motor		0.8			10,672			447
Other Securities		8.2						4,551

								7,356


SEI Institutional Investments Trust / Annual Report / May 31, 2011			47

SUMMARY SCHEDULE OF INVESTMENTS

Screened World Equity Ex-US Fund (Concluded)

May 31, 2011


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)


Malaysia — 0.9%
Other Securities		0.9	%			$	492


Mexico — 1.7%
Other Securities		1.7					907


Netherlands — 2.2%
ArcelorMittal		0.7			11,522		384
ING Groep*		0.8			33,421		403
Other Securities		0.7					427

							1,214


New Zealand — 0.1%
Other Securities		0.1					75


Norway — 0.7%
Other Securities		0.7					375



Philippines — 0.0%
Other Securities		0.0					21


Poland — 1.2%
KGHM Polska Miedz		0.7			5,174		361
Other Securities		0.5					326

							687


Portugal — 0.0%
Other Securities		0.0					17


Russia — 0.1%
Other Securities		0.1					33


Singapore — 0.8%
Other Securities		0.8					420


South Africa — 0.2%
Other Securities		0.2					105


South Korea — 3.0%
Other Securities		3.0					1,670


Spain — 1.3%
Telefonica		0.8			18,015		437
Other Securities		0.5					254

							691


Sweden — 2.7%
Hennes & Mauritz, Cl B		0.8			12,098		449
Volvo, Cl B		0.7			21,488		388
Other Securities		1.2					635

							1,472


Switzerland — 4.7%
Credit Suisse Group		0.6			7,621		327
Nestle		1.6			13,535		869


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)

Novartis		1.0	%		8,223	$	530
Other Securities		1.5					847

							2,573


Taiwan — 2.4%
High Tech Computer		1.3			16,300		694
Other Securities		1.1					646

							1,340


Thailand — 0.5%
Other Securities		0.5					283


Turkey — 0.6%
Other Securities		0.6					314



United Kingdom — 15.4%
AstraZeneca		0.8			8,111		424
BG Group		1.1			25,564		592
BHP Billiton		0.7			9,619		380
British American Tobacco		1.3			16,375		734
Carnival		0.7			10,053		404
HSBC Holdings		0.8			40,573		424
Imperial Tobacco Group		0.6			9,059		324
Kingfisher		0.6			72,474		342
Pearson		0.7			19,369		364
Reckitt Benckiser Group		0.8			7,573		428
Rio Tinto		1.0			7,620		532
Standard Chartered		0.7			14,364		385
Tesco		0.9			72,888		503
Other Securities		4.7					2,585

							8,421


United States — 1.3%
Other Securities		1.3					689

Total Common Stock (Cost $45,463) ($ Thousands)							51,768


PREFERRED STOCK — 1.1%

Brazil — 0.1%
Other Securities		0.1					60


Germany — 1.0%
Volkswagen		0.9			2,842		504
Other Securities		0.1					39

							543

Total Preferred Stock (Cost $353) ($ Thousands)							603


RIGHTS — 0.0%

Austria — 0.0%
Other Securities		0.0					—


48		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Percentage of Net Assets (%)			Shares/Face Amount (Thousands)		Market Value ($ Thousands)


Italy — 0.0%
Other Securities		0.0	%			$	5


Spain — 0.0%
Other Securities		0.0					—

Total Rights (Cost $—) ($ Thousands)							5


TIME DEPOSITS — 2.3%

United States — 2.3%
Brown Brothers Harriman
3.866%, 06/01/11		AUD			50		53
1.600%, 06/01/11		NZD			2		1
1.405%, 06/01/11		NOK			50		9
0.932%, 06/01/11		SEK			601		97
0.430%, 06/01/11		EUR			108		155
0.231%, 06/01/11		CAD			20		21
0.200%, 06/01/11		DKK			78		15
0.103%, 06/01/11		GBP			45		75
0.030%, 06/01/11		USD			653		653
0.010%, 06/01/11		JPY			4,836		60
0.010%, 06/01/11		SGD			89		72
0.005%, 06/01/11		CHF			23		27
0.005%, 06/01/11		HKD			122		16

Total Time Deposits (Cost $1,254) ($ Thousands)							1,254


CASH EQUIVALENT — 0.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.050%†**		0.7			368,990		369

Total Cash Equivalent (Cost $369) ($ Thousands)							369


U.S. TREASURY OBLIGATION (A) — 0.4%
Other Security		0.4					250

Total U.S. Treasury Obligation (Cost $250) ($ Thousands)							250

Total Investments — 98.9% (Cost $47,689) ($ Thousands)						$	54,249

A summary of the open futures contracts held by the Fund at May 31, 2011, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		8		Jun-2011	$	10
FTSE 100 Index		2		Jun-2011		5
Hang Seng Index		1		Jun-2011		—
SPI 200 Index		1		Jul-2011		5
Topix Index		2		Jun-2011		(1	)

					$	19

Percentages are based on a Net Assets of $54,844 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2011.

†

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

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

DJ — Dow Jones

DKK — Danish Krone

EUR — Euro

FTSE — Financial Times and Stock Exchange

GBP — British Pound Sterling

HKD — Hong Kong Dollar

JPY — Japanese Yen

NOK — Norwegian Krone

NZD — New Zealand Dollar

SEK — Swedish Krone

SGD — Singapore Dollar

SPI — Share Price Index

USD — U.S. Dollar

The following is a summary of the inputs used as of May 31, 2011, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	51,768	$	—	$	—	$	51,768
Preferred Stock		603		—		—		603
Rights		5		—		—		5
Time Deposits		1,254		—		—		1,254
Cash Equivalent		369		—		—		369
U.S. Treasury Obligation		—		250		—		250

Total Investments in Securities	$	53,999	$	250	$	—	$	54,249


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	19	$	—	$	—	$	19

Total Other Financial Instruments	$	19	$	—	$	—	$	19

Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2011, there were 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.


SEI Institutional Investments Trust / Annual Report / May 31, 2011			49

SCHEDULE OF INVESTMENTS

Enhanced LIBOR Opportunities Fund

May 31, 2011

LOGO


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)



LOAN PARTICIPATIONS — 25.3%
Advanstar Communications First Lien
2.560%, 06/02/14	$	525	$	449
Advantage Sales & Marketing (A)
0.000%, 12/18/17		500		501
Advantage Sales & Marketing 2nd Lien
9.250%, 06/18/18		550		560
Advantage Sales & Marketing Term Loan
5.250%, 12/17/17		500		501
Affinion Group Holdings
5.000%, 10/08/16		495		495
Alliant Insurance Service Term Loan
3.307%, 08/21/14		667		658
Allison Transmission
2.960%, 08/07/14		666		661
American Rock Salt Term Loan B
5.500%, 04/19/17		800		805
Ameristar Casinos Term Loan B
4.000%, 04/14/18		175		176
0.000%, 04/11/18 (A)		500		501
Aramark Facility
0.093%, 01/26/14		27		27
Aramark US Term Loan
2.182%, 01/26/14		341		336
Asurion LLC 1st Lien (A)
0.000%, 06/10/18		500		505
Asurion LLC 2nd Lien (A)
0.000%, 06/10/19		1,000		1,010
Atlantic Broadband Finance LLC Tranche B
4.000%, 02/24/16		486		488
Avaya
3.005%, 10/26/14		166		160
Avaya Term B-3 Loan
4.755%, 10/26/17		333		324
Avaya Term Loan B3 (A)
0.000%, 10/26/14		500		487


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Biomet Dollar Term Loan
3.308%, 03/25/15	$	311	$	309
3.194%, 03/25/15		103		103
3.191%, 03/25/15		17		17
Black Press US Partnership Term B-1 Tranche
2.254%, 08/02/13		515		492
Black Press US Partnership Term B-2 Tranche
2.254%, 08/02/13		313		299
Blount International
5.500%, 07/29/16		448		447
Bresnan Broadband Term Loan
4.500%, 12/14/17		499		501
Burlington Coat Factory Term B Loan
6.250%, 02/10/17		539		539
Calpine Term Loan
4.500%, 04/01/18		300		301
Cannery Casino
4.443%, 05/20/13		108		107
Cannery Casino 1st Lien Term Loan
4.443%, 05/17/13		131		129
CDW
3.948%, 10/12/14		290		289
Cedar Fair
4.000%, 12/15/16		550		552
Cengage Learning Holdco
2.440%, 06/28/14		887		826
Ceridian
3.191%, 11/08/14		499		484
Charter
2.190%, 03/15/14		2		2
Charter Communications Term Loan C
3.560%, 09/06/16		524		524
Cinemark USA
2.060%, 10/05/13		325		325
2.020%, 10/05/13		53		53
1.950%, 10/05/13		74		74
CIT Group
6.250%, 08/11/15		226		229
Citco Term Loan B (A)
0.000%, 05/24/18		450		449
City Center Holdings LLC Term Loan
7.500%, 01/31/15		100		101
0.000%, 01/31/15 (A)		700		705
Claire’s Stores
3.057%, 05/27/14		671		617
3.023%, 05/27/14		141		129
CMP Susquehanna Term Loan Tranche 1
2.250%, 05/05/13		776		764
CommScope Term Loan
5.000%, 01/14/18		300		301
Community Health Systems Delayed Draw Term Loan
2.561%, 07/25/14		29		28


50		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Community Health Systems Extended Term Loan
3.810%, 01/25/17	$	288	$	281
Community Health Systems Funded Term Loan
2.561%, 07/25/14		573		553
ConvaTec Dollar Term Loan
5.750%, 12/30/16		499		499
Cristal Inorganic Chemicals US
6.057%, 11/15/14		500		498
DAE Aviation Holdings Tranche B-1 Loan
5.280%, 07/31/14		369		369
0.000%, 07/31/14 (A)		153		153
DAE Aviation Holdings Tranche B-2 Loan
5.280%, 09/27/14		354		355
5.250%, 09/27/14		1		1
0.000%, 07/31/14 (A)		147		147
Del Monte Foods Term Loan
4.500%, 03/08/18		600		600
Delphi Tranche B
3.500%, 03/31/17		579		582
Dex Media West LLC
7.000%, 10/24/14		844		745
Dunkin Brands Term Loan
4.250%, 11/23/17		499		499
Dynegy Holdings
4.030%, 04/02/13		684		676
Emergency Medical Services Initial Term Loan
5.250%, 04/27/18		607		606
EquiPower Resource Holdings Term Loan B-1
5.750%, 01/26/18		500		502
Federal Mogul
2.148%, 12/29/14		379		364
2.138%, 12/29/14		72		69
2.127%, 12/29/14		4		3
Federal Mogul Term Loan C
2.148%, 12/28/15		26		25
2.138%, 12/28/15		204		196
2.127%, 12/28/15		2		2
Fidelity National Information Services
5.250%, 07/18/16		418		420
First Data Dollar Term Loan
4.195%, 03/24/18		636		593
First Data Term Loan B-3
2.945%, 09/24/14		68		63
0.000%, 09/24/14 (A)		657		614
Firth Rixson Facility B
4.807%, 12/18/15		250		241
Firth Rixson Facility C
5.307%, 12/20/16		250		242
Flextronics International Term A-2
2.441%, 10/01/14		260		258


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Flextronics International Term A-3
2.460%, 10/01/14	$	303	$	301
Ford Motor
2.950%, 12/15/15		119		119
Ford Motor Tranche 1
2.950%, 12/15/15		154		154
Ford Motor Tranche 2
2.950%, 12/15/15		21		21
Formula One (AlphaD2) Facility, Ser B1 (A)
0.000%, 12/31/13		286		278
Formula One (AlphaD2) Facility, Ser B2 (A)
0.000%, 12/31/13		214		209
Freescale Semiconductor Extended Term Loan
4.461%, 12/01/16		1,157		1,152
Gambro Holding Facility B2
2.445%, 06/05/14		6		6
Gambro Holding Facility C2
3.195%, 06/05/14		6		6
Global Cash Access Term Loan
7.000%, 02/01/16		543		547
Goodman Global
5.750%, 10/06/16		348		350
Graham Packaging
6.000%, 09/23/16		124		124
6.000%, 09/23/16		125		126
Graphic Packaging
3.054%, 05/16/14		9		9
Graphic Packaging International Incremental Term Loan
3.054%, 05/16/14		149		149
3.040%, 05/16/14		123		123
3.031%, 05/16/14		41		41
2.976%, 05/16/14		16		16
Harron Communications L.P. Term Loan B
5.250%, 10/05/17		700		702
HCA Tranche B Term Loan
2.557%, 11/18/13		858		854
Hertz
3.750%, 03/04/18		420		420
Hexion Specialty Chemical, Ser C-1
2.563%, 05/05/13		352		348
Hexion Specialty Chemical, Ser C-2
2.563%, 05/05/13		157		156
Hub International Delayed Draw Term Loan
2.807%, 06/13/14		90		89
Hub International Initial Term Loan
2.807%, 06/13/14		403		397
Iasis Healthcare Hybrid Term Loan
5.000%, 05/03/18		407		406
IMS Health
4.500%, 08/31/17		698		700


SEI Institutional Investments Trust / Annual Report / May 31, 2011			51

SCHEDULE OF INVESTMENTS

Enhanced LIBOR Opportunities Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Infor Enterprise Solutions
5.950%, 07/28/12	$	419	$	409
Infor Global Enterprise Solutions
6.441%, 03/02/14		27		24
Infor Global Enterprise Solutions Tranche 1
6.441%, 03/02/14		138		124
Infor Global Solutions
5.950%, 07/28/15		218		213
Infor Global Solutions Intermediate Holdings
6.441%, 03/02/14		305		274
Integra Telecom
9.500%, 04/07/15		282		283
9.250%, 04/07/15		284		284
Intelsat
3.285%, 02/01/14		450		440
Intelsat Jackson Holdings
5.250%, 04/03/18		304		306
Intersil Term Loan B
4.750%, 04/26/16		232		233
Inventiv Health
4.750%, 05/07/16		298		297
Inventiv Health Term Loan B (A)
0.000%, 08/04/16		700		698
Inventiv Health Term Loan B-1
4.750%, 08/04/16		43		43
Inventiv Health Unfunded (A)
0.000%, 08/04/16		87		—
J. Crew Term Loan
4.750%, 01/26/18		1,000		979
Knology Term Loan B
4.000%, 08/08/17		499		499
Lamar Media
4.000%, 10/01/16		332		333
Language Line Term Loan B
6.250%, 06/20/16		490		491
Live Nation Entertainment
4.500%, 10/20/16		248		248
Manitowoc Term Loan B
5.250%, 11/13/17		500		502
MedMedia USA Term Loan B
2.710%, 10/05/13		158		151
2.560%, 10/05/13		1		1
2.450%, 10/05/13		339		325
Meg Energy Initial Term Loan
4.000%, 03/18/18		650		651
Metro PCS Wireless Tranche B-3
4.000%, 03/19/18		1,000		997
NCI Building Systems Tranche B
8.000%, 04/18/14		667		664
Neiman Marcus Group Term Loan
4.750%, 05/10/18		491		487
Nelson Education
2.807%, 07/05/14		800		735


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Nexstar Broadcasting Term Loan B
5.000%, 09/30/16	$	450	$	449
Nielsen Finance New Facility
2.206%, 12/31/17		594		592
NRG Holdings Letter of Credit
2.057%, 02/01/13		153		153
NRG Holdings Term Loan B
2.283%, 02/01/13		12		12
1.789%, 02/01/13		118		118
NXP BV
4.500%, 03/07/17		480		482
PACTIV US Term Loan (A)
4.250%, 02/09/18		42		42
Quantum Term Loan
3.807%, 07/11/14		1,000		992
Quebecor Media
2.278%, 01/17/13		392		390
Quintiles Transnational Term Loan B (A)
0.000%, 05/26/18		885		879
Raycom TV Broadcasting Term Loan B (A)
0.000%, 05/26/17		1,000		1,000
re/max International
5.500%, 04/16/16		462		462
Reable Therapeutics (DJO Finance) Term Loan B
3.191%, 05/20/14		355		353
Realogy Extended Synthetic Commitments
4.561%, 10/10/16		112		104
Realogy Extended Term Loan
4.518%, 10/10/16		826		767
Regal Cinemas Term Loan
3.557%, 08/23/17		599		598
Renal Advantage Holdings
5.750%, 11/12/16		468		470
Revel AC Term Loan B
9.000%, 02/17/17		820		801
Reynolds Group Holdings Term Loan (A)
0.000%, 02/09/18		153		153
0.000%, 02/26/18		700		700
Rock Tenn Term Loan B (A)
0.000%, 01/24/17		600		601
Roundys Supermarkets 2nd Lien
10.000%, 04/16/16		500		505
Roundys Supermarkets Extended Tranche B
5.500%, 11/03/13		18		18
3.702%, 11/03/13		186		186
3.695%, 11/03/13		280		280
3.691%, 11/03/13		11		11
Rovi Guides
5.250%, 02/07/18		3		3


52		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Rovi Guides Term Loan B
5.250%, 02/07/18	$	248	$	249
Seaworld Parks & Entertainment Term Loan B
4.000%, 08/08/17		709		712
Sedgwick Claims Management
5.000%, 12/31/16		599		599
Sensata Technologies BV Term Loan
4.000%, 05/10/18		1,000		1,001
Sequa Term Loan
3.560%, 12/03/14		31		31
3.500%, 12/03/14		469		462
Smart Technologies
7.191%, 08/28/15		321		321
3.057%, 08/28/14		499		487
Solutia 1st Lien Term Loan
3.500%, 03/02/17		82		82
Star West Generation LLC Term Loan B
6.000%, 05/17/18		1,316		1,305
Sungard Data Systems
3.877%, 02/28/16		20		20
3.863%, 02/28/16		286		286
Sungard Data Systems Term
3.893%, 02/28/16		92		92
Sungard Data Systems Term Loan B
3.890%, 02/28/16		46		46
Supervalu
1.566%, 06/02/12		446		443
Syniverse Holdings
5.250%, 12/21/17		499		502
Telesat Canada Term I Loan
3.200%, 10/31/14		411		409
Telesat Canada Term II Loan
3.200%, 10/31/14		35		35
Texas Competitive Electric Holdings Extended Term Loan
4.768%, 10/10/17		84		67
4.706%, 10/10/17		80		63
Texas Competitive Electric Holdings Extended Term Loan B (A)
0.000%, 10/10/17		700		554
Texas Competitive Electric Holdings Term Loan
3.738%, 10/10/14		166		141
Transdigm Term Loan
4.000%, 02/14/17		499		500
TransUnion
4.750%, 02/26/18		600		602
TWCC Holding
4.250%, 02/11/17		499		501
U.S. Telepacific Term Loan
5.750%, 02/23/17		500		498
U.S. Telepacific Term Loan B (A)
0.000%, 02/10/17		500		498


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

United Surgical Partners (Delayed Draw)
2.240%, 04/19/14	$	93	$	91
United Surgical Partners International
2.280%, 04/19/14		236		232
2.200%, 04/19/14		251		246
2.200%, 04/21/14		111		109
United Surgical Partners, Ser B
0.000%, 04/19/14 (A)		407		399
Universal Healthcare
5.500%, 05/16/16		414		415
Univision Communications Extended Term Loan B
4.441%, 03/31/17		694		670
Univision Communications Term Loan B (A)
0.000%, 03/31/17		500		483
Vanguard Health Term Loan
5.000%, 01/15/16		396		396
0.000%, 01/15/16 (A)		700		700
Verint Systems Term Loan B
4.500%, 10/06/17		313		313
Walter Energy Term Loan B
4.000%, 04/02/18		500		501
Warner Chilcott LLC Term Loan B1
4.250%, 03/14/18		275		276
4.250%, 03/15/18		126		126

Waste Industries USA Term Loan B
4.750%, 03/16/17		700		701
Wide Open West Finance 1st Lien
2.698%, 06/30/14		534		520

Total Loan Participations (Cost $73,843) ($ Thousands)				74,795


CORPORATE OBLIGATIONS — 6.1%

Consumer Discretionary — 0.7%
Allison Transmission
7.125%, 05/15/19 (B)		231		230
Citadel Broadcasting
7.750%, 12/15/18 (B)		62		67
Hanesbrands
6.375%, 12/15/20		500		491
Macy’s Retail Holdings
5.350%, 03/15/12		100		103
Rent-A-Center
6.625%, 11/15/20 (B)		1,100		1,097

				1,988


Consumer Staples — 0.8%
American Renal Associates Holdings
8.375%, 05/15/18		250		261
Anheuser-Busch InBev Worldwide
7.200%, 01/15/14		100		114


SEI Institutional Investments Trust / Annual Report / May 31, 2011			53

SCHEDULE OF INVESTMENTS

Enhanced LIBOR Opportunities Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

CDRT Merger Sub
8.125%, 06/01/19 (B)	$	1,012	$	1,021
Elizabeth Arden
7.375%, 03/15/21		100		105
PepsiCo
0.347%, 05/10/13 (C)		150		150
Reynolds Group Issuer
6.875%, 02/15/21 (B)		185		191
Seminole Indian Tribe of Florida
6.535%, 10/01/20 (B)		450		462

				2,304


Energy — 0.3%
BP Capital Markets PLC
3.125%, 03/10/12		125		127
Canadian Natural Resources
5.700%, 05/15/17		150		173
Energy Transfer Equity
7.500%, 10/15/20		500		545

				845


Financials — 1.3%
Allstate Life Global Funding Trusts MTN
5.375%, 04/30/13		100		108
Bank of America MTN
1.693%, 01/30/14 (C)		200		202
Bank of Montreal MTN
0.743%, 04/29/14 (C)		125		125
BB&T
0.973%, 04/28/14 (C)		125		125
Capital One Financial MTN
5.700%, 09/15/11		150		152

Caterpillar Financial Services MTN
1.375%, 05/20/14		95		96
CIT Group
7.000%, 05/01/17		600		602
Citigroup
0.580%, 06/09/16 (C)		150		139
General Electric Capital MTN
1.138%, 05/09/16 (C)		150		150
Goldman Sachs Group
1.268%, 02/07/14 (C)		150		150
HSBC Bank
0.681%, 05/15/13 (B) (C)		200		200
JPMorgan Chase Capital XXI
1.223%, 02/02/37 (C)		250		213
Monumental Global Funding
0.478%, 01/15/14 (B) (C)		230		222
Morgan Stanley MTN
0.590%, 01/09/14 (C)		200		195
Prudential Financial MTN
5.100%, 12/14/11		150		153
Realogy
7.875%, 02/15/19 (B)		116		117


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Reinsurance Group of America
5.625%, 03/15/17	$	200	$	216
Royal Bank of Canada MTN
0.575%, 04/17/14 (C)		125		125
Standard Chartered
1.214%, 05/12/14 (B) (C)		200		201
State Street
0.373%, 04/30/12 (C)		135		135
Unitrin
6.000%, 05/15/17		110		119

				3,745


Health Care — 0.3%
Alere
9.000%, 05/15/16		800		848
Express Scripts
5.250%, 06/15/12		100		104
Sanofi
0.618%, 03/28/14 (C)		75		76

				1,028


Industrials — 1.0%
Berry Plastics
5.028%, 02/15/15 (C)		460		455
Boart Longyear Management
7.000%, 04/01/21 (B)		1,250		1,302
Caterpillar
1.375%, 05/27/14		100		100
Continental Airlines
0.603%, 06/02/13 (C)		142		137
NXP BV
9.750%, 08/01/18 (B)		240		277
Packaging Dynamics
8.750%, 02/01/16 (B)		600		628

				2,899


Information Technology — 0.4%
Hewlett-Packard
0.654%, 05/30/14 (C)		175		175
iGate
9.000%, 05/01/16 (B)		800		822
Texas Instruments
0.434%, 05/15/13 (C)		150		150
Xerox
1.081%, 05/16/14 (C)		160		161

				1,308


Materials — 0.2%
E.I. du Pont de Nemours
0.728%, 03/25/14 (C)		70		70
Verso Paper Holdings LLC
11.500%, 07/01/14		607		659

				729


54		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)


Telecommunication Services — 0.9%
Affinion Group
7.875%, 12/15/18 (B)	$	550	$	522
Cengage Learning Acquisitions
10.500%, 01/15/15 (B)		400		380
EH Holding
6.500%, 06/15/19 (B)		250		253
MetroPCS Wireless
6.625%, 11/15/20		400		399
New Cingular Wireless Services
8.125%, 05/01/12		175		187
Sinclair Television Group
8.375%, 10/15/18		500		534
Telecom Italia Capital
0.886%, 07/18/11 (C)		150		150
Vodafone Group PLC
0.535%, 02/27/12 (C)		150		150

				2,575


Utilities — 0.2%
Calpine
7.500%, 02/15/21 (B)		375		390
DTE Energy
0.970%, 06/03/13 (C)		76		76
Georgia Power
1.300%, 09/15/13		150		151

				617

Total Corporate Obligations (Cost $17,661) ($ Thousands)				18,038


MORTGAGE-BACKED SECURITIES — 2.8%

Agency Mortgage-Backed Obligations — 1.6%
FNMA
6.000%, 09/01/39 to 04/01/40		588		648
FNMA TBA
6.000%, 06/01/37		1,200		1,320
3.500%, 06/15/26		2,300		2,345
NCUA Guaranteed Notes, Ser 2010-R1, Cl 1A
0.660%, 10/07/20 (C)		335		335
NCUA Guaranteed Notes, Ser 2011-R6, Cl 1A
0.593%, 05/07/20 (C)		105		105

				4,753


Non-Agency Mortgage-Backed Obligations — 1.2%
American Tower Trust, Ser 2007-1A, Cl D
5.957%, 04/15/37 (B)		125		133
Banc of America Funding, Ser 2005-F, Cl 4A1
3.136%, 09/20/35 (C)		382		299


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Banc of America Funding, Ser 2006-D, Cl 3A1
2.898%, 05/20/36 (C)	$	298	$	238
Banc of America Large Loan, Ser 2007-BMB1, Cl A1
0.708%, 08/15/29 (B) (C)		119		114
Banc of America Mortgage Securities, Ser 2005-A, Cl 2A1
2.880%, 02/25/35 (C)		163		142
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2006-1, Cl A1
2.520%, 02/25/36 (C)		287		260
Bear Stearns Commercial Mortgage Securities, Ser 2001-TOP2, Cl A2
6.480%, 02/15/35		5		5
Commercial Mortgage Pass-Through Certificates, Ser 2006-FL12, Cl A2
0.298%, 12/15/20 (B) (C)		81		79
GMAC Mortgage Loan Trust, Ser 2006-AR1, Cl 1A1
3.010%, 04/19/36 (C)		327		241
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C4, Cl A1
1.525%, 07/15/46 (B)		100		100
JPMorgan Mortgage Trust, Ser 2007-A4, Cl 1A1
5.133%, 06/25/37 (C)		269		209
Master Adjustable Rate Mortgages Trust, Ser 2005-6, Cl 5A1
2.715%, 07/25/35 (C)		319		254
Merrill Lynch Mortgage-Backed Securities Trust, Ser 2007-2, Cl 1A1
5.800%, 08/25/36 (C)		304		243
MortgageIT Trust, Ser 2005-4, Cl A1
0.474%, 10/25/35 (C)		317		222
Residential Funding Mortgage Securities, Ser 2005-SA5, Cl 2A
3.286%, 11/25/35 (C)		123		87
Washington Mutual Mortgage Pass-Through Certificate, Ser 2005-AR14, Cl 1A4
2.670%, 12/25/35 (C)		308		266
Wells Fargo Commercial Mortgage Trust, Ser 2011-C3, Cl A1
2.136%, 03/15/44		105		106
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-Z, Cl 2A1
2.741%, 12/25/34 (C)		269		259
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 3A2
2.787%, 10/25/35 (C)		74		71


SEI Institutional Investments Trust / Annual Report / May 31, 2011			55

SCHEDULE OF INVESTMENTS

Enhanced LIBOR Opportunities Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 6A3
2.864%, 10/25/35 (C)	$	107	$	96
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR2, Cl 2A3
2.754%, 03/25/36 (C)		113		98

				3,522

Total Mortgage-Backed Securities (Cost $8,910) ($ Thousands)				8,275


ASSET-BACKED SECURITIES — 1.7%

Automotive — 0.8%
Ally Auto Receivables Trust, Ser 2009-B, Cl A4
3.050%, 12/15/14 (B)		150		156
AmeriCredit Automobile Receivables Trust, Ser 2007-CM, Cl A4A
5.550%, 04/07/14		173		178
AmeriCredit Automobile Receivables Trust, Ser 2007-DF, Cl A4A
5.560%, 06/06/14		126		130
AmeriCredit Automobile Receivables Trust, Ser 2010-A, Cl A3
3.510%, 07/06/17		85		88
AmeriCredit Automobile Receivables Trust, Ser 2011-2, Cl A2
0.900%, 09/08/14		40		40
Bank of America Auto Trust, Ser 2010-1A, Cl A3
1.390%, 03/15/14 (B)		184		185
BMW Vehicle Lease Trust, Ser 2011-1, Cl A3
1.060%, 02/20/14		60		60
Capital Auto Receivables Asset Trust, Ser 2007-3, Cl A4
5.210%, 03/17/14		87		88
CarMax Auto Owner Trust, Ser 2010-1, Cl A4
2.400%, 04/15/15		100		103
CarMax Auto Owner Trust, Ser 2011-1, Cl A2
0.720%, 11/15/13		20		20
Ford Credit Auto Owner Trust, Ser 2007-A, Cl C
5.800%, 02/15/13		100		103
Ford Credit Auto Owner Trust, Ser 2009-D, Cl A4
2.980%, 08/15/14		105		109
Harley-Davidson Motorcycle Trust, Ser 2006-3, Cl A4
5.220%, 06/15/13		115		116


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Harley-Davidson Motorcycle Trust, Ser 2007-1, Cl C
5.540%, 04/15/15	$	105	$	107
Honda Auto Receivables Owner Trust, Ser 2011-2, Cl A3
0.940%, 03/18/15		90		90
Huntington Auto Trust, Ser 2009-1A, Cl A4
5.730%, 01/15/14 (B)		100		104
Hyundai Auto Receivables Trust, Ser 2009-A, Cl A3
2.030%, 08/15/13		196		198
Hyundai Auto Receivables Trust, Ser 2011-B, Cl A2
0.590%, 03/15/14		95		95
Nissan Auto Receivables Owner Trust, Ser 2008-A, Cl A4
4.280%, 06/16/14		99		100
Nissan Auto Receivables Owner Trust, Ser 2011-A, Cl A2
0.650%, 12/16/13		180		180
Santander Drive Auto Receivables Trust, Ser 2011-1, Cl A2
0.940%, 02/18/14		95		95
World Omni Auto Receivables Trust, Ser 2011-A, Cl A2
0.640%, 11/15/13		40		40
World Omni Automobile Lease Securitization Trust, Ser 2011-A, Cl A2
0.810%, 10/15/13		100		100

				2,485


Credit Cards — 0.3%
American Express Credit Account Master Trust, Ser 2007-2, Cl B
0.378%, 09/15/16 (C)		145		144
Chase Issuance Trust, Ser 2005-C2, Cl C2
0.638%, 01/15/15 (C)		200		200
Citibank Credit Card Issuance Trust, Ser 2007-B5, Cl B5
0.810%, 11/07/14 (C)		250		250
Citibank Omni Master Trust, Ser 2009-A8, Cl A8
2.298%, 05/16/16 (B) (C)		250		253

				847


Mortgage Related Securities — 0.3%
Morgan Stanley Home Equity Loan Trust, Ser 2005-3, Cl M1
0.644%, 08/25/35 (C)		350		314
Morgan Stanley Home Equity Loan Trust, Ser 2005-4, Cl M1
0.604%, 09/25/35 (C)		370		189


56		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Option One Mortgage Loan Trust, Ser 2005-5, Cl M1
0.584%, 12/25/35 (C)	$	470	$	293
Residential Asset Securities, Ser 2005-KS12, Cl M1
0.634%, 01/25/36 (C)		375		200

				996



Other Asset-Backed Securities — 0.3%
CNH Equipment Trust, Ser 2011-A, Cl A2
0.620%, 06/16/14		60		60
Dominos Pizza Master Issuer LLC, Ser 2007-1, Cl A2
5.261%, 04/25/37 (B)		400		406
Ford Credit Floorplan Master Owner Trust, Ser 2009-2, Cl A
1.748%, 09/15/14 (C)		175		178
John Deere Owner Trust, Ser 2011-A, Cl A2
0.640%, 06/16/14		100		100

				744

Total Asset-Backed Securities (Cost $5,634) ($ Thousands)				5,072


U.S. TREASURY OBLIGATIONS — 1.1%
U.S. Treasury Inflation-Protected Securities
2.000%, 04/15/12		415		471
U.S. Treasury Notes
1.000%, 04/30/12		1,775		1,788
0.750%, 11/30/11		1,000		1,003

Total U.S. Treasury Obligations (Cost $3,262) ($ Thousands)				3,262


U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.9%
FHLB
1.750%, 08/22/12		1,540		1,567
FNMA
1.000%, 11/23/11		1,000		1,004

Total U.S. Government Agency Obligations (Cost $2,570) ($ Thousands)				2,571


REPURCHASE AGREEMENT — 4.4%
BNP Paribas
0.140%, dated 05/31/11, to be repurchased on 06/01/11, repurchase price $12,900,050 (collateralized by various FNMA obligations, ranging in par value $197,031-$75,739,202, 4.500%-9.000%, 02/01/17-05/01/41; with total market value $13,158,000)		12,900		12,900

Total Repurchase Agreement (Cost $12,900) ($ Thousands)				12,900


Description	Shares		Market Value ($ Thousands)


CASH EQUIVALENT — 8.0%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.050%†*		23,501,129	$	23,501

Total Cash Equivalent (Cost $23,501) ($ Thousands)				23,501


AFFILIATED PARTNERSHIP — 52.6%
SEI LIBOR Plus Portfolio†		22,160,542		155,345

Total Affiliated Partnership (Cost $173,474) ($ Thousands)				155,345

Total Investments — 102.9% (Cost $321,755) ($ Thousands)			$	303,759

A summary of the open futures contracts held by the Fund at May 31, 2011, is as follows:


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 10-Year Treasury Note		(22	)		Sep-2011	$	(20	)
U.S. 2-Year Treasury Note		(5	)		Sep-2011		(2	)
U.S. 5-Year Treasury Note		13			Sep-2011		9
U.S. Long Treasury Bond		(2	)		Sep-2011		(2	)

						$	(15	)

Percentages are based on a Net Assets of $295,277 ($ Thousands).

†

Investment in Affiliated Security (see Note 5).

The rate reported is the 7-day effective yield as of May 31, 2011.

(A)

Unsettled bank loan. Interest rate not available.

(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 reported on the Schedule of Investments is the rate in effect as of May 31, 2011. The date reported is the final maturity date.

Cl — Class

FHLB — Federal Home Loan Bank

FNMA — Federal National Mortgage Association

LIBOR — London Interbank Offered Rate

LLC — Limited Liability Company

L.P. — Limited Partnership

MTN — Medium Term Note

NCUA — National Credit Union Administration

PLC — Public Limited Company

Ser — Series

TBA — To Be Announced


SEI Institutional Investments Trust / Annual Report / May 31, 2011			57

SCHEDULE OF INVESTMENTS

Enhanced LIBOR Opportunities Fund (Concluded)

May 31, 2011

The following is a summary of the inputs used as of May 31, 2011, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Loan Participations	$	—	$	74,795	$	—	$	74,795
Corporate Obligations		—		18,038		—		18,038
Mortgage-Backed Securities		—		8,275		—		8,275
Asset-Backed Securities		—		5,072		—		5,072
U.S. Treasury Obligations		—		3,262		—		3,262
U.S. Government Agency Obligations		—		2,571		—		2,571
Repurchase Agreement		—		12,900		—		12,900
Cash Equivalent		23,501		—		—		23,501
Affiliated Partnership		155,345		—		—		155,345

Total Investments in Securities	$	178,846	$	124,913	$	—	$	303,759


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(15	)	$	—	$	—	$	(15	)

Total Other Financial Instruments	$	(15	)	$	—	$	—	$	(15	)

Futures contracts are valued at the unrealized depreciation on the instrument.

For the year ended May 31, 2011, there were 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 $O or have been rounded to $O.

The accompanying notes are an integral part of the financial statements.


58		SEI Institutional Investments Trust / Annual Report / May 31, 2011

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund

May 31, 2011

LOGO


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES — 47.3%

Agency Mortgage-Backed Obligations — 37.2%
FHLB CMO, Ser 2007-1067, Cl 1
5.300%, 06/15/12	$	589	$	612
FHLMC TBA
5.000%, 07/15/41 to 08/15/41		5,073		5,369
4.500%, 06/11/39		40,700		42,226
3.500%, 06/15/26 to 06/01/41		23,760		23,878
FHLMC
11.000%, 02/17/21		1,579		1,763
10.000%, 03/17/26 to 10/01/30		3,152		3,713
7.500%, 08/01/30 to 09/01/38		2,476		2,882
7.000%, 11/01/15 to 09/01/25		140		160
6.500%, 06/01/17 to 12/01/36		10,555		11,883
6.000%, 05/01/17 to 10/01/38		48,539		53,720
5.625%, 11/23/35 (H)		1,620		1,718
5.500%, 12/01/13 to 12/01/37		35,591		39,190
5.125%, 11/17/17		5,000		5,792
5.000%, 07/15/14 to 06/01/41		60,149		65,097
4.500%, 02/01/41		51,563		53,884
4.000%, 10/01/33 to 01/01/41		69,643		70,377
3.500%, 12/01/25		11,196		11,437
1.750%, 09/10/15		7,030		7,094
0.230%, 12/01/11 (A)		6,610		6,607
0.210%, 07/06/11 (A)		14,530		14,527
0.120%, 01/10/12 (A)		660		660
0.115%, 06/17/11 (A)		8,100		8,100
FHLMC ARM (B)
6.630%, 08/01/36		1,462		1,519
6.613%, 07/01/36		751		781
6.589%, 08/01/36		550		574
6.485%, 09/01/36		4,983		5,296
6.481%, 11/01/37		349		375


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

6.463%, 10/01/36	$	224	$	236
6.441%, 12/01/36		600		645
6.429%, 11/01/37		8		8
6.405%, 02/01/37		471		506
6.325%, 12/01/36		1,082		1,136
6.315%, 03/01/37		390		412
6.308%, 10/01/36		1,454		1,525
6.282%, 02/01/37		1,319		1,392
6.253%, 09/01/36		437		460
6.211%, 05/01/37		690		735
6.181%, 09/01/36		408		438
6.178%, 01/01/37		1,579		1,669
6.165%, 12/01/36		400		421
6.161%, 12/01/36		822		869
6.154%, 10/01/36		1,057		1,107
6.121%, 06/01/37		339		367
6.078%, 09/01/36		1,125		1,181
6.060%, 11/01/36		1,643		1,778
6.047%, 10/01/37		1,760		1,841
6.027%, 12/01/36		1,215		1,289
6.012%, 04/01/37		302		323
6.007%, 02/01/37		239		254
6.004%, 11/01/36		942		1,009
5.994%, 10/01/37		1,933		2,097
5.992%, 04/01/37		1,249		1,323
5.990%, 03/01/37		892		946
5.979%, 06/01/38		2,277		2,464
5.960%, 05/01/37		3,544		3,765
5.941%, 11/01/36		232		246
5.937%, 01/01/37		479		518
5.932%, 06/01/36		1,306		1,404
5.916%, 07/01/37		556		603
5.888%, 03/01/37		228		247
5.879%, 05/01/36		820		861
5.872%, 05/01/37		256		271
5.850%, 12/01/36		1,678		1,813
5.826%, 08/01/37		964		1,030
5.822%, 11/01/38		527		570
5.819%, 11/01/36		586		619
5.769%, 04/01/38		284		301
5.759%, 05/01/37		260		277
5.756%, 07/01/38		2,516		2,724
5.721%, 05/01/37		1,847		1,954
5.698%, 03/01/36		1,273		1,373
5.673%, 06/01/37		796		860
5.657%, 03/01/36		685		739
5.638%, 04/01/37		621		661
5.603%, 04/01/37		218		231
5.601%, 05/01/36		504		535
5.592%, 05/01/37		573		608
5.560%, 10/01/38		586		632
5.542%, 05/01/36		1,233		1,311
5.488%, 08/01/37		2,084		2,222
5.433%, 10/01/36		1,959		2,053
5.279%, 05/01/38		847		898


SEI Institutional Investments Trust / Annual Report / May 31, 2011			59

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

5.228%, 05/01/37	$	776	$	818
5.180%, 11/01/36		721		761
5.126%, 01/01/36		2,799		2,989
5.055%, 07/01/36		1,193		1,270
FHLMC CMO, Ser 1988-1, Cl Z
9.300%, 04/15/19		20		23
FHLMC CMO, Ser 1991-1142, Cl IA
7.000%, 10/15/21		302		340
FHLMC CMO, Ser 1993-1611, Cl Z
6.500%, 11/15/23		10,163		11,411
FHLMC CMO, Ser 1998-2043, Cl CJ
6.500%, 04/15/28		1,177		1,363
FHLMC CMO, Ser 1998-2075, Cl D
6.500%, 08/15/28		1,346		1,442
FHLMC CMO, Ser 1999-2138, Cl KS, IO
7.502%, 02/15/29 (B)		1,396		150
FHLMC CMO, Ser 2001-2293, Cl ZA
6.000%, 03/15/31		1,458		1,636
FHLMC CMO, Ser 2001-2312, Cl Z
6.500%, 05/15/31		929		1,058
FHLMC CMO, Ser 2001-2357, Cl ZJ
6.500%, 09/15/31		235		263
FHLMC CMO, Ser 2002-2434, Cl ZA
6.500%, 04/15/32		2,549		2,900
FHLMC CMO, Ser 2002-2456, Cl CJ
6.500%, 06/15/32		717		810
FHLMC CMO, Ser 2002-2458, Cl ZM
6.500%, 06/15/32		1,320		1,488
FHLMC CMO, Ser 2002-41, Cl 2A
6.976%, 07/25/32 (B)		824		939
FHLMC CMO, Ser 2002-42, Cl A5
7.500%, 02/25/42		1,113		1,315
FHLMC CMO, Ser 2002-48, Cl 1A
6.389%, 07/25/33 (B)		58		67
FHLMC CMO, Ser 2003-2551, Cl NS
14.120%, 01/15/33 (B)		752		878
FHLMC CMO, Ser 2003-2587, Cl CO, PO
0.000%, 03/15/32		503		496
FHLMC CMO, Ser 2003-2591, Cl QO
4.500%, 03/15/18		1,000		1,075
FHLMC CMO, Ser 2003-2631, Cl SA
14.487%, 06/15/33 (B)		592		697
FHLMC CMO, Ser 2003-2671, Cl S
14.395%, 09/15/33 (B)		575		673
FHLMC CMO, Ser 2003-2684, Cl SN
27.260%, 10/15/33 (B)		50		55
FHLMC CMO, Ser 2003-2690, Cl SJ
8.853%, 10/15/33 (B)		485		474
FHLMC CMO, Ser 2003-2691, Cl SE
9.260%, 12/15/28 (B)		202		206
FHLMC CMO, Ser 2003-2695, Cl SX
15.967%, 10/15/33 (B)		222		239


Description	Face Amount ($ Thousands)			Market Value ($ Thousands)

FHLMC CMO, Ser 2003-2695, Cl OB, PO
0.000%, 10/15/33	$	186		$	146
FHLMC CMO, Ser 2003-2698, Cl SV
8.703%, 11/15/33 (B)		147			142
FHLMC CMO, Ser 2003-2725, Cl SC
8.709%, 11/15/33 (B)		299			294
FHLMC CMO, Ser 2003-2725, Cl OP, PO			��
0.000%, 10/15/33		197			166
FHLMC CMO, Ser 2003-54, Cl 3A
7.000%, 02/25/43		737			863
FHLMC CMO, Ser 2003-54, Cl 2A
6.500%, 02/25/43		593			674
FHLMC CMO, Ser 2003-57, Cl 1A1
6.500%, 07/25/43		694			810
FHLMC CMO, Ser 2003-57, Cl 1A3
7.500%, 07/25/43		684			812
FHLMC CMO, Ser 2003-58, Cl 4A
7.500%, 09/25/43		887			1,069
FHLMC CMO, Ser 2004-2727, Cl PW
3.570%, 06/15/29		92			94
FHLMC CMO, Ser 2004-2754, Cl JG
4.500%, 03/15/33		15			15
FHLMC CMO, Ser 2004-2764, Cl UG
5.000%, 03/15/34		1,500			1,632
FHLMC CMO, Ser 2004-2777, Cl KO, PO
0.000%, 02/15/33		1,000			908
FHLMC CMO, Ser 2004-2778, Cl JD
5.000%, 12/15/32		1,974			2,124
FHLMC CMO, Ser 2004-2812, Cl NO, PO
0.000%, 10/15/33		283			219
FHLMC CMO, Ser 2004-2827, Cl CS
15.955%, 04/15/32 (B)		68			73
FHLMC CMO, Ser 2004-2835, Cl BO, PO
0.000%, 12/15/28		310			292
FHLMC CMO, Ser 2004-2864, Cl NB
5.500%, 07/15/33		2,000			2,223
FHLMC CMO, Ser 2004-2865, Cl GO, PO
0.000%, 10/15/33		43			43
FHLMC CMO, Ser 2004-2897, Cl EO, PO
0.000%, 10/15/31		112			111
FHLMC CMO, Ser 2004-2903, Cl UZ
5.500%, 07/15/31		176			181
FHLMC CMO, Ser 2004-59, Cl 1A3
7.500%, 10/25/43		890			1,058


60		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

FHLMC CMO, Ser 2004-60, Cl 1A2
7.000%, 03/25/44	$	699	$	803
FHLMC CMO, Ser 2004-60, Cl 1A3
7.500%, 03/25/44		949		1,126
FHLMC CMO, Ser 2005-2945, Cl SA
11.938%, 03/15/20 (B)		2,323		2,679
FHLMC CMO, Ser 2005-2950, Cl JO, PO
0.000%, 03/15/20		411		375
FHLMC CMO, Ser 2005-2981, Cl FA
0.598%, 05/15/35 (B)		725		722
FHLMC CMO, Ser 2005-2990, Cl LK
0.568%, 10/15/34 (B)		766		766
FHLMC CMO, Ser 2005-2991, Cl EG
5.500%, 11/15/34		1,446		1,529
FHLMC CMO, Ser 2005-3001, Cl HP
21.208%, 05/15/35 (B)		135		176
FHLMC CMO, Ser 2005-3006, Cl QS
19.626%, 07/15/35 (B)		739		944
FHLMC CMO, Ser 2005-3012, Cl GK
23.859%, 06/15/35 (B)		133		171
FHLMC CMO, Ser 2005-3028, Cl PG
5.500%, 09/15/35		315		338
FHLMC CMO, Ser 2005-3035, Cl PA
5.500%, 09/15/35		2,428		2,625
FHLMC CMO, Ser 2005-3049, Cl XF
0.548%, 05/15/33 (B)		899		898
FHLMC CMO, Ser 2005-3077, Cl TO, PO
0.000%, 04/15/35		571		510
FHLMC CMO, Ser 2006-3100, Cl PO, PO
0.000%, 01/15/36		944		820
FHLMC CMO, Ser 2006-3101, Cl UZ
6.000%, 01/15/36		2,054		2,321
FHLMC CMO, Ser 2006-3102, Cl FB
0.498%, 01/15/36 (B)		562		561
FHLMC CMO, Ser 2006-3137, Cl XP
6.000%, 04/15/36		1,014		1,132
FHLMC CMO, Ser 2006-3151, Cl PO, PO
0.000%, 05/15/36		582		508
FHLMC CMO, Ser 2006-3153, Cl EO, PO
0.000%, 05/15/36		939		828
FHLMC CMO, Ser 2006-3164, Cl MG
6.000%, 06/15/36		1,500		1,676
FHLMC CMO, Ser 2006-3189, Cl PC
6.000%, 08/15/35		2,000		2,232
FHLMC CMO, Ser 2006-3195, Cl PD
6.500%, 07/15/36		2,500		2,810
FHLMC CMO, Ser 2006-3200, Cl AY
5.500%, 08/15/36		1,000		1,094


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

FHLMC CMO, Ser 2006-3202, Cl HI, IO
6.452%, 08/15/36 (B)	$	1,150	$	198
FHLMC CMO, Ser 2006-3217, Cl CX, IO
6.392%, 09/15/36 (B)		854		125
FHLMC CMO, Ser 2007-3262, Cl SG, IO
6.202%, 01/15/37 (B)		1,255		194
FHLMC CMO, Ser 2007-3312, Cl BP
5.500%, 01/15/31		300		315
FHLMC CMO, Ser 2007-3316, Cl GD
5.500%, 06/15/35		2,000		2,187
FHLMC CMO, Ser 2007-3342, Cl VG
6.000%, 11/15/23		1,000		1,118
FHLMC CMO, Ser 2007-3346, Cl FA
0.428%, 02/15/19 (B)		11,918		11,913
FHLMC CMO, Ser 2007-3373, Cl TO, PO
0.000%, 04/15/37		302		255
FHLMC CMO, Ser 2007-3383, Cl SA, IO
6.252%, 11/15/37 (B)		1,126		159
FHLMC CMO, Ser 2007-3385, Cl SN, IO
5.802%, 11/15/37 (B)		1,598		181
FHLMC CMO, Ser 2007-3387, Cl SA, IO
6.222%, 11/15/37 (B)		838		102
FHLMC CMO, Ser 2007-76, Cl 2A
3.785%, 10/25/37 (B)		1,405		1,429
FHLMC CMO, Ser 2008-3422, Cl SE
16.955%, 02/15/38 (B)		214		254
FHLMC CMO, Ser 2008-3437, Cl AI, IO
1.335%, 09/15/11		1,448		3
FHLMC CMO, Ser 2008-3451, Cl SA, IO
5.852%, 05/15/38 (B)		1,634		197
FHLMC CMO, Ser 2008-3455, Cl SE, IO
6.002%, 06/15/38 (B)		3,465		430
FHLMC CMO, Ser 2008-3461, Cl LZ
6.000%, 06/15/38		595		663
FHLMC CMO, Ser 2009-3508, Cl PK
4.000%, 02/15/39		1,003		1,063
FHLMC CMO, Ser 2009-3510, Cl OD, PO
0.000%, 02/15/37		820		710
FHLMC CMO, Ser 2009-3515, Cl PIM15, IO
5.500%, 07/15/37		1,133		145
FHLMC CMO, Ser 2009-3523, Cl SD
19.118%, 06/15/36 (B)		697		863


SEI Institutional Investments Trust / Annual Report / May 31, 2011			61

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

FHLMC CMO, Ser 2009-3546, Cl A
6.123%, 02/15/39 (B)	$	469	$	505
FHLMC CMO, Ser 2009-3598, Cl MA
4.500%, 11/15/38		2,249		2,367
FHLMC CMO, Ser 2009-3604, Cl PO, PO
0.000%, 05/15/36		788		682
FHLMC CMO, Ser 2009-3607, Cl TO, PO
0.000%, 10/15/39		743		631
FHLMC CMO, Ser 2009-3607, Cl AO, PO
0.000%, 04/15/36		700		552
FHLMC CMO, Ser 2009-3607, Cl BOPO, PO
0.000%, 04/15/36		500		394
FHLMC CMO, Ser 2009-3608, Cl SC, IO
6.052%, 12/15/39 (B)		3,164		385
FHLMC CMO, Ser 2009-3611, Cl PO, PO
0.000%, 07/15/34		634		535
FHLMC CMO, Ser 2010-3621, Cl BO, PO
0.000%, 01/15/40		702		589
FHLMC CMO, Ser 2010-3626, Cl MA
5.000%, 02/15/30		11,949		12,698
FHLMC CMO, Ser 2010-3626, Cl MB
5.000%, 03/15/32		1,122		1,216
FHLMC CMO, Ser 2010-3631, Cl PA
4.000%, 02/15/40		4,392		4,562
FHLMC CMO, Ser 2010-3632, Cl PK
5.000%, 02/15/40		12,542		13,732
FHLMC CMO, Ser 2010-3632, Cl BS
16.840%, 02/15/40 (B)		400		500
FHLMC CMO, Ser 2010-3652, Cl AP
4.500%, 03/15/40		9,139		9,628
FHLMC CMO, Ser 2010-3659, Cl VE
5.000%, 03/15/26		3,816		4,173
FHLMC CMO, Ser 2010-3680, Cl MA
4.500%, 07/15/39		1,914		2,050
FHLMC CMO, Ser 2010-3688, Cl NI, IO
5.000%, 04/15/32		2,617		370
FHLMC CMO, Ser 2010-3704, Cl DT
7.500%, 11/15/36		913		1,057
FHLMC CMO, Ser 2010-3704, Cl CT
7.000%, 12/15/36		2,700		3,089
FHLMC CMO, Ser 2010-3714, Cl IP, IO
5.000%, 08/15/40		1,929		363


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

FHLMC CMO, Ser 2010-3738, Cl BP
4.000%, 12/15/38	$	500	$	505
FHLMC CMO, Ser 2010-3739, Cl LI, IO
4.000%, 03/15/34		2,411		323
FHLMC CMO, Ser 2010-3740, Cl SC, IO
5.802%, 10/15/40 (B)		1,964		335
FHLMC CMO, Ser 2010-3747, Cl HI, IO
4.500%, 07/15/37		4,339		709
FHLMC CMO, Ser 2010-3754, Cl MB
4.000%, 01/15/39		7,500		7,577
FHLMC CMO, Ser 2010-3756, Cl IP, IO
4.000%, 08/15/35		2,919		418
FHLMC CMO, Ser 2010-3759, Cl HI, IO
4.000%, 08/15/37		2,444		375
FHLMC CMO, Ser 2010-3760, Cl GI, IO
4.000%, 10/15/37		1,952		340
FHLMC CMO, Ser 2011-3800, Cl AI, IO
4.000%, 11/15/29		2,967		501
FHLMC CMO, Ser 2011-3802, Cl LS, IO
4.533%, 01/15/40 (B)		4,806		354
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser 2009-K003, Cl AAB
4.768%, 05/25/18		2,824		3,051
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser 2010-K005, Cl A2
4.317%, 11/25/19		2,849		2,968
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser 2010-K007, Cl A1
3.342%, 12/25/19		2,748		2,830
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser 2010-K008, Cl A1
2.746%, 12/25/19		3,500		3,514
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser 2011-K010, Cl A1
3.320%, 07/25/20		5,985		6,179
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser 2011-K013, Cl A2
3.974%, 01/25/21 (B)		3,363		3,423


62		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K006, Cl AX1, IO
1.231%, 01/25/20 (B)	$	19,015	$	1,265
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K007, Cl X1, IO
1.414%, 04/25/20 (B)		5,499		415
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K008, Cl X1, IO
1.843%, 06/25/20 (B)		5,726		579
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K009, Cl X1, IO
1.686%, 08/25/20 (B)		6,377		583
FHLMC Reference REMIC CMO, Ser 2006-R007, Cl ZA
6.000%, 05/15/36		1,214		1,356
FHLMC STRIPS CMO, Ser 1998-197, Cl PO, PO
0.000%, 04/01/28		739		623
FHLMC STRIPS CMO, Ser 2006-239, Cl S30, IO
7.502%, 08/15/36 (B)		3,743		550
FHLMC-GNMA CMO, Ser 1993-21, Cl L
6.250%, 10/25/23		792		852
FNMA
8.000%, 04/01/15 to 11/01/37		1,194		1,370
7.500%, 06/01/30 to 04/01/39		3,575		4,162
7.000%, 12/01/15 to 01/01/39		10,810		12,423
6.500%, 05/01/17 to 07/01/39		33,539		37,955
6.000%, 03/01/19 to 11/01/48		161,328		178,606
5.500%, 04/01/14 to 05/01/39		77,138		83,963
5.000%, 02/01/20 to 05/01/41		100,090		107,016
4.640%, 01/01/21		997		1,066
4.540%, 01/01/20		1,475		1,581
4.530%, 12/01/19		4,007		4,306
4.500%, 07/01/20 to 04/01/38		38,035		40,365
4.399%, 02/01/20		6,000		6,388
4.369%, 02/01/20		1,977		2,102
4.368%, 04/01/20		2,225		2,362
4.240%, 11/01/19		1,961		2,069
4.120%, 04/01/20		1,186		1,238
4.066%, 07/01/20		2,500		2,611
4.000%, 04/01/19 to 02/01/41		37,589		38,077
3.930%, 01/01/21		1,000		1,025
3.800%, 03/01/18		1,996		2,085
3.740%, 07/01/20		1,412		1,439
3.520%, 01/01/18		3,000		3,094
3.505%, 09/01/20		4,949		4,958
3.500%, 09/01/25 to 02/01/41		163,428		165,337
3.430%, 10/01/20		1,986		1,977


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

3.290%, 10/01/20	$	1,000	$	986
3.230%, 11/01/20		1,500		1,472
2.690%, 10/01/17		1,500		1,487
FNMA TBA
6.000%, 06/01/37 to 06/25/41		36,795		40,469
5.500%, 06/12/37 to 07/01/37		94,200		101,934
5.000%, 06/01/38 to 08/25/41		2,216		2,298
4.500%, 07/01/37 to 06/14/40		46,000		47,726
4.000%, 06/01/26 to 06/25/41		100,735		101,469
3.500%, 06/25/26 to 06/01/41		127,235		127,870
FNMA ARM (B)
6.631%, 09/01/36		389		409
6.546%, 01/01/37		794		847
6.308%, 09/01/37		113		120
6.293%, 09/01/36		299		313
6.284%, 10/01/36		404		436
6.277%, 02/01/37 to 09/01/37		5,525		6,000
6.227%, 11/01/37		1,010		1,067
6.220%, 10/01/36		486		510
6.200%, 08/01/36		328		355
6.171%, 09/01/36		1,164		1,254
6.147%, 06/01/36		1,289		1,372
6.124%, 12/01/36		622		674
6.089%, 08/01/36		476		506
6.074%, 07/01/37		391		418
6.064%, 11/01/37		597		646
6.043%, 10/01/37		775		839
6.042%, 09/01/37		324		351
6.038%, 10/01/37		285		308
6.034%, 09/01/37		753		804
6.028%, 01/01/37		963		1,040
6.020%, 07/01/37		650		704
5.977%, 04/01/37		878		952
5.968%, 07/01/36		620		654
5.957%, 01/01/37		1,292		1,398
5.935%, 03/01/37		750		812
5.924%, 07/01/37		1,063		1,127
5.922%, 10/01/36 to 04/01/37		1,095		1,162
5.918%, 06/01/36		614		646
5.900%, 10/01/36		1,772		1,873
5.889%, 07/01/37		1,154		1,251
5.879%, 09/01/37		484		523
5.878%, 02/01/37		639		692
5.854%, 11/01/36		978		1,033
5.850%, 12/01/36		1,402		1,477
5.841%, 03/01/37		6,471		6,962
5.745%, 02/01/37		856		906
5.705%, 05/01/37		2,287		2,424
5.696%, 01/01/23		873		946
5.689%, 10/01/37		532		575
5.684%, 11/01/36		692		731
5.645%, 05/01/36		421		444
5.563%, 06/01/36		1,419		1,494
5.529%, 02/01/39		1,506		1,625


SEI Institutional Investments Trust / Annual Report / May 31, 2011			63

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)			Market Value ($ Thousands)

5.500%, 07/01/37	$	415		$	442
5.416%, 11/01/37		501			532
FNMA CMO, Ser 1991-113, Cl ZE
7.500%, 09/25/21		239			273
FNMA CMO, Ser 1992-143, Cl M
8.000%, 09/25/22		767			941
FNMA CMO, Ser 1992-41, Cl MA
8.000%, 08/25/22		892			1,094
FNMA CMO, Ser 1992-69, Cl Z
8.000%, 05/25/22		607			703
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)		278			311
FNMA CMO, Ser 1993-75, Cl ZQ
6.500%, 05/25/23		1,211			1,351
FNMA CMO, Ser 1993-99, Cl Z
7.000%, 07/25/23		1,489			1,706
FNMA CMO, Ser 1994-31, Cl ZC
6.500%, 02/25/24		996			1,122
FNMA CMO, Ser 1994-63, Cl PK
7.000%, 04/25/24		903			1,049
FNMA CMO, Ser 1997-32, Cl PG
6.500%, 04/25/27		700			808
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/29		1,354			1,481
FNMA CMO, Ser 2000-18, Cl EC, PO			��
0.000%, 10/25/23		272			249
FNMA CMO, Ser 2001-50, Cl BA
7.000%, 10/25/41		779			900
FNMA CMO, Ser 2001-71, Cl QE
6.000%, 12/25/16		1,153			1,243
FNMA CMO, Ser 2001-79, Cl BA
7.000%, 03/25/45		553			625
FNMA CMO, Ser 2001-81, Cl HE
6.500%, 01/25/32		3,344			3,844
FNMA CMO, Ser 2002-10, Cl SB
18.734%, 03/25/17 (B)		133			163
FNMA CMO, Ser 2002-33, Cl A2
7.500%, 06/25/32		681			786
FNMA CMO, Ser 2002-81, Cl JO, PO
0.000%, 04/25/32		265			246
FNMA CMO, Ser 2002-90, Cl A1
6.500%, 06/25/42		801			935
FNMA CMO, Ser 2002-95, Cl DB
6.000%, 01/25/33		2,628			2,946
FNMA CMO, Ser 2003-129, Cl ME
5.000%, 08/25/23		1,000			1,097
FNMA CMO, Ser 2003-131, Cl SK
15.812%, 01/25/34 (B)		705			861
FNMA CMO, Ser 2003-17, Cl EQ
5.500%, 03/25/23		2,000			2,258


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

FNMA CMO, Ser 2003-23, Cl Q0, PO
0.000%, 01/25/32	$	470	$	450
FNMA CMO, Ser 2003-23, Cl PG
5.500%, 01/25/32		1,023		1,072
FNMA CMO, Ser 2003-24, Cl MV
5.500%, 02/25/14		909		962
FNMA CMO, Ser 2003-30, Cl HS, IO
7.456%, 07/25/17 (B)		898		59
FNMA CMO, Ser 2003-35, Cl EA, PO
0.000%, 05/25/33		613		541
FNMA CMO, Ser 2003-49, Cl YD
5.500%, 06/25/23		1,017		1,113
FNMA CMO, Ser 2003-56, Cl AZ
5.500%, 08/25/31		1,241		1,302
FNMA CMO, Ser 2003-92, Cl KH
5.000%, 03/25/32		1,817		1,960
FNMA CMO, Ser 2004-101, Cl HD
5.000%, 01/25/20		2,500		2,784
FNMA CMO, Ser 2004-17, Cl H
5.500%, 04/25/34		1,086		1,146
FNMA CMO, Ser 2004-46, Cl EP, PO
0.000%, 03/25/34		698		617
FNMA CMO, Ser 2004-52, Cl PX, PO
0.000%, 09/25/32		284		262
FNMA CMO, Ser 2004-61, Cl CO, PO
0.000%, 10/25/31		169		168
FNMA CMO, Ser 2004-61, Cl BO, PO
0.000%, 10/25/32		746		677
FNMA CMO, Ser 2005-100, Cl BQ
5.500%, 11/25/25		1,500		1,664
FNMA CMO, Ser 2005-106, Cl US
23.855%, 11/25/35 (B)		1,123		1,644
FNMA CMO, Ser 2005-118, Cl PN
6.000%, 01/25/32		2,000		2,184
FNMA CMO, Ser 2005-123, Cl FG
0.644%, 07/25/34 (B)		493		489
FNMA CMO, Ser 2005-14, Cl BD
4.500%, 03/25/20		1,250		1,338
FNMA CMO, Ser 2005-14, Cl BA
4.500%, 04/25/19		997		1,040
FNMA CMO, Ser 2005-45, Cl BG
4.500%, 06/25/25		254		258
FNMA CMO, Ser 2005-5, Cl PA
5.000%, 01/25/35		1,516		1,643
FNMA CMO, Ser 2005-58, Cl MA
5.500%, 07/25/35		2,916		3,202
FNMA CMO, Ser 2005-64, Cl PL
5.500%, 07/25/35		1,720		1,896


64		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

FNMA CMO, Ser 2005-72, Cl SB
16.390%, 08/25/35 (B)	$	642	$	770
FNMA CMO, Ser 2005-74, Cl SK
19.596%, 05/25/35 (B)		450		594
FNMA CMO, Ser 2005-74, Cl CS
19.487%, 05/25/35 (B)		587		775
FNMA CMO, Ser 2005-88, Cl QO, PO
0.000%, 11/25/33		105		104
FNMA CMO, Ser 2005-90, Cl ES
16.390%, 10/25/35 (B)		432		519
FNMA CMO, Ser 2005-90, Cl PO, PO
0.000%, 09/25/35		383		342
FNMA CMO, Ser 2005-97, Cl HC
5.000%, 02/25/32		1,750		1,877
FNMA CMO, Ser 2006-117, Cl GS, IO
6.456%, 12/25/36 (B)		1,013		161
FNMA CMO, Ser 2006-118, Cl A2
0.254%, 12/25/36 (B)		1,006		990
FNMA CMO, Ser 2006-15, Cl OP, PO
0.000%, 03/25/36		466		390
FNMA CMO, Ser 2006-23, Cl FK
0.444%, 04/25/36 (B)		527		525
FNMA CMO, Ser 2006-27, Cl OH, PO
0.000%, 04/25/36		578		504
FNMA CMO, Ser 2006-3, Cl D0, PO
0.000%, 03/25/36		601		504
FNMA CMO, Ser 2006-33, Cl LS
29.277%, 05/25/36 (B)		425		643
FNMA CMO, Ser 2006-43, Cl VB
6.500%, 10/25/17		646		699
FNMA CMO, Ser 2006-44, Cl FP
0.594%, 06/25/36 (B)		700		701
FNMA CMO, Ser 2006-44, Cl P, PO
0.000%, 12/25/33		403		347
FNMA CMO, Ser 2006-46, Cl SW
23.488%, 06/25/36 (B)		550		752
FNMA CMO, Ser 2006-56, Cl PF
0.544%, 07/25/36 (B)		889		889
FNMA CMO, Ser 2006-56, Cl OA, PO
0.000%, 10/25/24		1,000		944
FNMA CMO, Ser 2006-59, Cl CO, PO
0.000%, 08/25/35		72		69
FNMA CMO, Ser 2006-60, Cl UO, PO
0.000%, 07/25/36		1,056		892
FNMA CMO, Ser 2006-60, Cl DO, PO
0.000%, 04/25/35		686		617


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

FNMA CMO, Ser 2006-63, Cl ZH
6.500%, 07/25/36	$	894	$	1,023
FNMA CMO, Ser 2006-75, Cl VD
6.500%, 05/25/17		1,265		1,331
FNMA CMO, Ser 2006-78, Cl BZ
6.500%, 08/25/36		684		778
FNMA CMO, Ser 2006-90, Cl BE
6.000%, 04/25/35		2,000		2,235
FNMA CMO, Ser 2006-94, Cl GI, IO
6.456%, 10/25/26 (B)		1,713		252
FNMA CMO, Ser 2007-100, Cl SM, IO
6.256%, 10/25/37 (B)		2,760		377
FNMA CMO, Ser 2007-101, Cl A2
0.463%, 06/27/36 (B)		2,456		2,449
FNMA CMO, Ser 2007-112, Cl SA, IO
6.256%, 12/25/37 (B)		1,672		276
FNMA CMO, Ser 2007-114, Cl A6
0.394%, 10/27/37 (B)		1,600		1,589
FNMA CMO, Ser 2007-116, Cl HI, IO
6.418%, 01/25/38 (B)		2,120		182
FNMA CMO, Ser 2007-116, Cl PB
5.500%, 08/25/35		4,567		5,087
FNMA CMO, Ser 2007-29, Cl SG
22.020%, 04/25/37 (B)		378		519
FNMA CMO, Ser 2007-30, Cl MA
4.250%, 02/25/37		925		965
FNMA CMO, Ser 2007-43, Cl FL
0.494%, 05/25/37 (B)		423		422
FNMA CMO, Ser 2007-53, Cl SH, IO
5.906%, 06/25/37 (B)		2,055		243
FNMA CMO, Ser 2007-54, Cl FA
0.594%, 06/25/37 (B)		1,526		1,527
FNMA CMO, Ser 2007-60, Cl AX, IO
6.956%, 07/25/37 (B)		2,551		486
FNMA CMO, Ser 2007-65, Cl KI, IO
6.426%, 07/25/37 (B)		2,732		394
FNMA CMO, Ser 2007-72, Cl EK, IO
6.206%, 07/25/37 (B)		2,492		379
FNMA CMO, Ser 2007-75, Cl EO, PO
0.000%, 01/25/36		840		762
FNMA CMO, Ser 2007-79, Cl SB
23.305%, 08/25/37 (B)		205		279
FNMA CMO, Ser 2007-85, Cl SG
15.765%, 09/25/37 (B)		682		798
FNMA CMO, Ser 2007-92, Cl YS, IO
5.586%, 06/25/37 (B)		2,008		234
FNMA CMO, Ser 2008-1, Cl BI, IO
5.716%, 02/25/38 (B)		2,385		306
FNMA CMO, Ser 2008-20, Cl SA, IO
6.796%, 03/25/38 (B)		1,299		220


SEI Institutional Investments Trust / Annual Report / May 31, 2011			65

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

FNMA CMO, Ser 2008-22, Cl IO, IO
6.236%, 03/25/37 (B)	$	19,060	$	2,663
FNMA CMO, Ser 2008-24, Cl PF
0.844%, 02/25/38 (B)		710		717
FNMA CMO, Ser 2008-24, Cl DY
5.000%, 04/25/23		1,500		1,674
FNMA CMO, Ser 2008-32, Cl SA, IO
6.656%, 04/25/38 (B)		1,110		163
FNMA CMO, Ser 2008-35, Cl IM, IO
0.642%, 10/25/16 (B)		2,222		22
FNMA CMO, Ser 2008-4, Cl SD, IO
5.806%, 02/25/38 (B)		3,782		508
FNMA CMO, Ser 2008-53, Cl CA
5.000%, 07/25/23		3,500		3,892
FNMA CMO, Ser 2008-95, Cl BA
5.000%, 01/25/24		643		717
FNMA CMO, Ser 2009-100, Cl PN
5.000%, 11/25/39		3,208		3,445
FNMA CMO, Ser 2009-103, Cl MB
4.000%, 12/25/39		1,078		1,144
FNMA CMO, Ser 2009-105, Cl CB
6.000%, 12/25/39		6,112		6,779
FNMA CMO, Ser 2009-11, Cl LC
4.500%, 03/25/49		3,749		3,920
FNMA CMO, Ser 2009-110, Cl DA
4.500%, 01/25/40		2,491		2,623
FNMA CMO, Ser 2009-17, Cl QS, IO
6.456%, 03/25/39 (B)		1,287		196
FNMA CMO, Ser 2009-52, Cl PI, IO
5.000%, 07/25/39		1,459		268
FNMA CMO, Ser 2009-66, Cl KE
4.000%, 09/25/39		6,040		6,306
FNMA CMO, Ser 2009-70, Cl CO, PO
0.000%, 01/25/37		1,962		1,701
FNMA CMO, Ser 2009-78, Cl J
5.000%, 09/25/19		3,914		4,236
FNMA CMO, Ser 2009-84, Cl WS, IO
5.706%, 10/25/39 (B)		1,620		196
FNMA CMO, Ser 2009-86, Cl BO, PO
0.000%, 03/25/37		10,781		9,181
FNMA CMO, Ser 2009-86, Cl OT, PO
0.000%, 10/25/37		1,347		1,126
FNMA CMO, Ser 2009-86, Cl UI, IO
4.000%, 10/25/14		2,682		216
FNMA CMO, Ser 2009-86, Cl IP, IO
5.500%, 10/25/39		1,232		228
FNMA CMO, Ser 2009-93, Cl PD
4.500%, 09/25/39		1,933		1,977
FNMA CMO, Ser 2009-99, Cl SC, IO
5.967%, 12/25/39 (B)		1,832		224
FNMA CMO, Ser 2009-M1, Cl A2
4.287%, 07/25/19		3,868		4,075


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

FNMA CMO, Ser 2009-M2, Cl A3
4.001%, 01/25/19	$	4,134	$	4,242
FNMA CMO, Ser 2010-1, Cl WA
6.143%, 02/25/40 (B)		774		870
FNMA CMO, Ser 2010-111, Cl AE
5.500%, 04/25/38		3,220		3,463
FNMA CMO, Ser 2010-123, Cl PM
4.000%, 07/25/40		3,600		3,507
FNMA CMO, Ser 2010-133, Cl A
5.500%, 05/25/38		1,929		2,083
FNMA CMO, Ser 2010-135, Cl LM
4.000%, 12/25/40		600		627
FNMA CMO, Ser 2010-148, Cl MA
4.000%, 02/25/39		1,468		1,561
FNMA CMO, Ser 2010-15, Cl KA
4.000%, 03/25/39		3,003		3,137
FNMA CMO, Ser 2010-16, Cl WA
6.428%, 03/25/40 (B)		827		939
FNMA CMO, Ser 2010-23, Cl KS, IO
6.906%, 02/25/40 (B)		2,000		279
FNMA CMO, Ser 2010-35, Cl SB, IO
6.207%, 04/25/40 (B)		2,527		289
FNMA CMO, Ser 2010-39, Cl OT, PO
0.000%, 10/25/35		727		640
FNMA CMO, Ser 2010-45, Cl BD
4.500%, 11/25/38		1,000		1,060
FNMA CMO, Ser 2010-54, Cl EA
4.500%, 06/25/40		5,732		6,030
FNMA CMO, Ser 2010-64, Cl DM
5.000%, 06/25/40		1,726		1,848
FNMA CMO, Ser 2010-68, Cl SA, IO
4.806%, 07/25/40 (B)		3,782		503
FNMA CMO, Ser 2010-9, Cl MB
5.000%, 05/25/32		927		1,006
FNMA CMO, Ser 2010-M1, Cl A2
4.450%, 09/25/19		1,374		1,456
FNMA CMO, Ser 2010-M3, Cl A3
4.332%, 03/25/20 (B)		8,896		9,331
FNMA CMO, Ser 2011-2, Cl WA
5.716%, 02/25/51 (B)		1,793		1,951
FNMA CMO, Ser 2011-30, Cl LS, IO
4.771%, 04/25/41 (B)		4,706		387
FNMA CMO, Ser 2011-43, Cl WA
5.899%, 05/25/51 (B)		1,972		2,127
FNMA CMO, Ser 2011-53, Cl DT
4.500%, 06/25/41		5,415		5,642
FNMA Grantor Trust CMO, Ser 2000-T6, Cl A1
7.500%, 06/25/30		1,078		1,226
FNMA Grantor Trust CMO, Ser 2001-T10, Cl A2
7.500%, 12/25/41		2,438		2,810
FNMA Grantor Trust CMO, Ser 2001-T7, Cl A1
7.500%, 02/25/41		641		759


66		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

FNMA Grantor Trust CMO, Ser 2002-T16, Cl A3
7.500%, 07/25/42	$	533	$	615
FNMA Grantor Trust CMO, Ser 2002-T19, Cl A2
7.000%, 07/25/42		717		822
FNMA Grantor Trust CMO, Ser 2002-T3, Cl B
5.763%, 12/25/11		727		745
FNMA Grantor Trust CMO, Ser 2002-T6, Cl A2
7.500%, 10/25/41		962		1,150
FNMA Grantor Trust CMO, Ser 2004-T3, Cl 1A3
7.000%, 02/25/44		923		1,079
FNMA Interest STRIPS CMO, Ser 1997-293, Cl 1, PO
0.000%, 12/01/24		694		605
FNMA Interest STRIPS CMO, Ser 2002-323, Cl 16, IO
7.000%, 01/01/32		842		171
FNMA Interest STRIPS CMO, Ser 2003-334, Cl 16, IO
6.500%, 02/01/33		1,369		296
FNMA Whole Loan CMO, Ser 2003-W1, Cl 2A
7.500%, 12/25/42 (B)		993		1,161
FNMA Whole Loan CMO, Ser 2003-W17, Cl 1A7
5.750%, 08/25/33		917		1,018
FNMA Whole Loan CMO, Ser 2003-W2, Cl 2A9
5.900%, 07/25/42		1,636		1,776
FNMA Whole Loan CMO, Ser 2003-W6, Cl 3A
6.500%, 09/25/42		815		922
FNMA Whole Loan CMO, Ser 2003-W8, Cl 2A
7.000%, 10/25/42		667		798
FNMA Whole Loan CMO, Ser 2004-W1, Cl 2A2
7.000%, 12/25/33		1,037		1,208
FNMA Whole Loan CMO, Ser 2004-W10, Cl A6
5.750%, 08/25/34		2,000		2,188
FNMA Whole Loan CMO, Ser 2004-W2, Cl 2A2
7.000%, 02/25/44		1,082		1,249
FNMA Whole Loan CMO, Ser 2004-W9, Cl 2A1
6.500%, 02/25/44		938		1,052
FNMA Whole Loan CMO, Ser 2005-W3, Cl 2AF
0.433%, 03/25/45 (B)		1,538		1,528


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

FNMA Whole Loan CMO, Ser 2006-W1, Cl 1A3
7.500%, 12/25/45	$	377	$	446
FNMA Whole Loan CMO, Ser 2006-W2, Cl 1AF1
0.414%, 02/25/36 (B)		681		676
FNMA Whole Loan CMO, Ser 2007-W1, Cl 1AF1
0.454%, 11/25/46 (B)		1,552		1,544
FNMA Whole Loan CMO, Ser 2007-W7, Cl 1A4
38.016%, 07/25/37 (B)		85		126
FNMA Whole Loan CMO, Ser 2009-W1, Cl A
6.000%, 12/25/49		2,184		2,435
GNMA
9.500%, 12/15/20		8		10
7.500%, 10/15/37 to 09/20/38		1,506		1,746
7.000%, 04/15/26 to 06/15/35		4,318		4,981
6.500%, 01/15/24 to 02/15/39		13,731		15,635
6.000%, 12/15/23 to 09/15/34		16,799		18,815
5.000%, 07/20/40 to 11/20/40		7,760		8,421
4.000%, 04/20/26 to 05/20/26		5,446		5,736
3.500%, 09/20/40 to 03/20/41		19,233		18,885
GNMA TBA
6.000%, 06/01/34		2,200		2,431
5.500%, 06/20/37		2,500		2,753
5.000%, 06/15/40		5,400		5,851
4.500%, 07/01/35 to 06/15/39		99,400		104,878
4.000%, 06/15/26 to 06/01/39		23,466		24,247
3.500%, 06/15/41 to 07/20/41 (B)		49,425		48,440
3.000%, 07/20/41		2,726		2,562
GNMA ARM (B)
4.000%, 04/20/41 to 05/20/41		10,261		10,781
3.500%, 05/20/41 to 05/20/41		4,356		4,509
1.710%, 01/20/60		1,477		1,508
GNMA CMO, Ser 2001-18, Cl WH
31.753%, 04/20/31		121		200
GNMA CMO, Ser 2001-22, Cl PS
20.496%, 03/17/31 (B)		901		1,278
GNMA CMO, Ser 2001-61, Cl Z
6.500%, 12/20/31		1,995		2,255
GNMA CMO, Ser 2002-23, Cl SD
20.415%, 04/16/32 (B)		1,284		1,805
GNMA CMO, Ser 2002-51, Cl SG
31.652%, 04/20/31 (B)		109		180
GNMA CMO, Ser 2002-57, Cl SB
109.530%, 08/16/32		89		286
GNMA CMO, Ser 2002-69, Cl SC
16.069%, 02/20/32 (B)		272		315
GNMA CMO, Ser 2003-60, Cl GS
12.087%, 05/16/33 (B)		178		200
GNMA CMO, Ser 2003-75, Cl ZX
6.000%, 09/16/33		4,747		5,384


SEI Institutional Investments Trust / Annual Report / May 31, 2011			67

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

GNMA CMO, Ser 2003-79, Cl PV
5.500%, 10/20/23	$	1,162	$	1,291
GNMA CMO, Ser 2003-97, Cl SA, IO
6.352%, 11/16/33 (B)		644		117
GNMA CMO, Ser 2004-28, Cl SV
8.804%, 04/20/34 (B)		1,515		1,669
GNMA CMO, Ser 2004-34, Cl JO, PO
0.000%, 02/20/34		264		252
GNMA CMO, Ser 2004-34, Cl CS
19.406%, 02/20/34 (B)		78		106
GNMA CMO, Ser 2004-71, Cl ST
7.000%, 09/20/34 (B)		402		382
GNMA CMO, Ser 2004-85, Cl PO, PO
0.000%, 01/17/33		158		147
GNMA CMO, Ser 2004-87, Cl SB
7.446%, 03/17/33 (B)		319		328
GNMA CMO, Ser 2005-13, Cl SD, IO
6.604%, 02/20/35 (B)		915		159
GNMA CMO, Ser 2005-3, Cl SB, IO
5.904%, 01/20/35 (B)		1,712		250
GNMA CMO, Ser 2005-7, Cl JM
16.287%, 05/18/34 (B)		335		405
GNMA CMO, Ser 2005-78, Cl A
5.000%, 07/16/33		12,648		13,742
GNMA CMO, Ser 2005-81, Cl SD, IO
6.104%, 12/20/34 (B)		1,605		183
GNMA CMO, Ser 2005-82, Cl NS, IO
6.104%, 07/20/34 (B)		1,012		142
GNMA CMO, Ser 2005-92, Cl PB
6.000%, 12/20/35		1,000		1,121
GNMA CMO, Ser 2006-34, Cl PO, PO
0.000%, 07/20/36		201		178
GNMA CMO, Ser 2006-38, Cl SG, IO
6.454%, 09/20/33 (B)		3,390		338
GNMA CMO, Ser 2006-38, Cl SW, IO
6.304%, 06/20/36 (B)		1,628		208
GNMA CMO, Ser 2006-47, Cl SA, IO
6.602%, 08/16/36 (B)		2,458		429
GNMA CMO, Ser 2007-17, Cl AF
0.398%, 04/16/37 (B)		871		865
GNMA CMO, Ser 2007-26, Cl SW, IO
6.004%, 05/20/37 (B)		3,124		417
GNMA CMO, Ser 2007-27, Cl SD, IO
6.004%, 05/20/37 (B)		1,074		146
GNMA CMO, Ser 2007-42, Cl SB, IO
6.554%, 07/20/37 (B)		1,495		206
GNMA CMO, Ser 2007-45, Cl QA, IO
6.444%, 07/20/37 (B)		991		133


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

GNMA CMO, Ser 2007-72, Cl USIO, IO
6.354%, 11/20/37 (B)	$	1,175	$	157
GNMA CMO, Ser 2007-78, Cl SA, IO
6.332%, 12/16/37 (B)		14,171		2,069
GNMA CMO, Ser 2007-81, Cl SP, IO
6.454%, 12/20/37 (B)		1,447		188
GNMA CMO, Ser 2007-82, Cl SA, IO
6.334%, 12/20/37 (B)		945		126
GNMA CMO, Ser 2007-9, Cl CI, IO
6.004%, 03/20/37 (B)		1,220		145
GNMA CMO, Ser 2008-10, Cl S, IO
5.634%, 02/20/38 (B)		1,699		213
GNMA CMO, Ser 2008-2, Cl MS, IO
6.962%, 01/16/38 (B)		1,063		143
GNMA CMO, Ser 2008-29, Cl PO, PO
0.000%, 02/17/33		463		422
GNMA CMO, Ser 2008-33, Cl XS, IO
7.502%, 04/16/38 (B)		689		93
GNMA CMO, Ser 2008-55, Cl SA, IO
6.004%, 06/20/38 (B)		1,665		212
GNMA CMO, Ser 2008-60, Cl SH, IO
5.952%, 07/16/38 (B)		879		128
GNMA CMO, Ser 2008-95, Cl DS, IO
7.104%, 12/20/38 (B)		2,538		397
GNMA CMO, Ser 2009-10, Cl ST, IO
6.252%, 03/16/34 (B)		979		113
GNMA CMO, Ser 2009-102, Cl SM, IO
6.202%, 06/16/39 (B)		3,670		424
GNMA CMO, Ser 2009-106, Cl AS, IO
6.202%, 11/16/39 (B)		2,321		322
GNMA CMO, Ser 2009-106, Cl KS, IO
6.204%, 11/20/39 (B)		25,198		3,602
GNMA CMO, Ser 2009-14, Cl KI, IO
6.500%, 03/20/39		925		149
GNMA CMO, Ser 2009-14, Cl NI, IO
6.500%, 03/20/39		45		7
GNMA CMO, Ser 2009-18, Cl PI, IO
5.500%, 11/16/37		1,456		251
GNMA CMO, Ser 2009-22, Cl SA, IO
6.074%, 04/20/39 (B)		2,543		294
GNMA CMO, Ser 2009-24, Cl DS, IO
6.104%, 03/20/39 (B)		1,569		174
GNMA CMO, Ser 2009-25, Cl SE, IO
7.404%, 09/20/38 (B)		982		143
GNMA CMO, Ser 2009-31, Cl TS, IO
6.104%, 03/20/39 (B)		2,575		306
GNMA CMO, Ser 2009-33, Cl TI, IO
6.000%, 05/20/39		422		75
GNMA CMO, Ser 2009-35, Cl SP, IO
6.202%, 05/16/37 (B)		2,186		270


68		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

GNMA CMO, Ser 2009-42, Cl IY, IO
1.000%, 06/16/37 (B)	$	2,472	$	68
GNMA CMO, Ser 2009-42, Cl SC, IO
5.884%, 06/20/39 (B)		897		120
GNMA CMO, Ser 2009-43, Cl SA, IO
5.754%, 06/20/39 (B)		2,316		276
GNMA CMO, Ser 2009-44, Cl MV
6.000%, 04/20/20		1,299		1,447
GNMA CMO, Ser 2009-6, Cl SH, IO
5.844%, 02/20/39 (B)		1,911		230
GNMA CMO, Ser 2009-61, Cl WQ, IO
6.052%, 11/16/35 (B)		2,554		387
GNMA CMO, Ser 2009-65, Cl TS, IO
6.204%, 12/20/38 (B)		3,312		418
GNMA CMO, Ser 2009-65, Cl IQ, IO
6.000%, 12/20/38		1,104		174
GNMA CMO, Ser 2009-66, Cl LC
6.000%, 08/16/39		2,245		2,528
GNMA CMO, Ser 2009-67, Cl SA, IO
5.852%, 08/16/39 (B)		2,405		310
GNMA CMO, Ser 2009-72, Cl SM, IO
6.052%, 08/16/39 (B)		3,076		415
GNMA CMO, Ser 2009-75, Cl VM
5.000%, 12/20/19		1,044		1,143
GNMA CMO, Ser 2009-79, Cl OK, PO
0.000%, 11/16/37		1,551		1,385
GNMA CMO, Ser 2009-83, Cl TS, IO
5.904%, 08/20/39 (B)		2,230		293
GNMA CMO, Ser 2009-87, Cl KI, IO
6.104%, 09/20/35 (B)		1,083		129
GNMA CMO, Ser 2009-87, Cl TS, IO
5.904%, 07/20/35 (B)		2,331		335
GNMA CMO, Ser 2009-87, Cl SI, IO
6.554%, 02/20/35 (B)		1,193		184
GNMA CMO, Ser 2010-113, Cl SM, IO
5.854%, 09/20/40 (B)		2,028		358
GNMA CMO, Ser 2010-14, Cl SC, IO
4.556%, 08/20/35 (B)		2,140		280
GNMA CMO, Ser 2010-14, Cl SA, IO
7.804%, 12/20/32 (B)		1,158		174
GNMA CMO, Ser 2010-14, Cl BO, PO
0.000%, 11/20/35		800		726
GNMA CMO, Ser 2010-14, Cl SH, IO
5.802%, 02/16/40 (B)		1,250		198
GNMA CMO, Ser 2010-14, Cl CO, PO
0.000%, 08/20/35		425		326
GNMA CMO, Ser 2010-14, Cl EO, PO
0.000%, 06/16/33		438		410


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

GNMA CMO, Ser 2010-14, Cl QP
6.000%, 12/20/39	$	1,631	$	1,774
GNMA CMO, Ser 2010-14, Cl AO, PO
0.000%, 12/20/32		772		718
GNMA CMO, Ser 2010-144, Cl BI, IO
4.000%, 09/16/37		4,885		793
GNMA CMO, Ser 2010-151, Cl SA, IO
5.854%, 11/20/40 (B)		3,579		659
GNMA CMO, Ser 2010-157, Cl OP, PO
0.000%, 12/20/40		1,478		1,162
GNMA CMO, Ser 2010-167, Cl US, IO
6.434%, 11/20/38 (B)		1,056		192
GNMA CMO, Ser 2010-3, Cl MS, IO
6.354%, 11/20/38 (B)		3,101		561
GNMA CMO, Ser 2010-39, Cl SP, IO
6.354%, 11/20/38 (B)		454		81
GNMA CMO, Ser 2010-4, Cl NS, IO
6.192%, 01/16/40 (B)		30,886		3,952
GNMA CMO, Ser 2010-47, Cl VS, IO
6.052%, 11/16/37 (B)		1,793		255
GNMA CMO, Ser 2010-47, Cl PX, IO
6.504%, 06/20/37 (B)		4,388		630
GNMA CMO, Ser 2010-47, Cl XN, IO
6.352%, 04/16/34 (B)		1,859		179
GNMA CMO, Ser 2010-59, Cl LB
4.500%, 10/20/39		2,900		3,037
GNMA CMO, Ser 2010-68, Cl SD, IO
6.384%, 06/20/40 (B)		4,570		829
GNMA CMO, Ser 2010-7, Cl EA
5.000%, 06/16/38		895		970
GNMA CMO, Ser 2010-85, Cl HS, IO
6.454%, 01/20/40 (B)		2,107		390
GNMA CMO, Ser 2010-87, Cl SK, IO
6.302%, 07/16/40 (B)		3,359		511
GNMA CMO, Ser 2010-91, Cl SI, IO
6.374%, 07/20/40 (B)		1,764		346
GNMA CMO, Ser 2010-H10, Cl FC
1.213%, 05/20/60 (B)		5,334		5,372
GNMA CMO, Ser 2010-H26, Cl LF
0.546%, 08/20/58 (B)		7,396		7,377
GNMA CMO, Ser 2011-40, Cl SA, IO
5.932%, 02/16/36 (B)		4,432		677
GNMA CMO, Ser 2011-H09, Cl AF
0.696%, 03/20/61 (B)		1,792		1,787
NCUA Guaranteed Notes CMO, Ser 2010-A1, Cl A
0.586%, 12/07/20 (B)		279		280
NCUA Guaranteed Notes CMO, Ser 2010-C1, Cl A2
2.900%, 10/29/20		190		191


SEI Institutional Investments Trust / Annual Report / May 31, 2011			69

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

NCUA Guaranteed Notes CMO, Ser 2010-C1, Cl APT
2.650%, 10/29/20	$	7,061	$	7,150
NCUA Guaranteed Notes CMO, Ser 2010-R1, Cl 1A
0.659%, 10/07/20 (B)		12,832		12,848
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 2A
0.710%, 11/05/20 (B)		3,115		3,114
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 1A
0.610%, 11/06/17 (B)		5,797		5,799
NCUA Guaranteed Notes CMO, Ser 2010-R3, Cl 1A
0.764%, 12/08/20 (B)		960		965
NCUA Guaranteed Notes CMO, Ser 2010-R3, Cl 3A
2.400%, 12/08/20		511		510

				2,513,484


Non-Agency Mortgage-Backed Obligations — 10.1%
AAM ACE Resecuritization Trust, Ser 2011-1, Cl A20
0.448%, 02/02/37 (B) (C)		1,000		945
American General Mortgage Loan Trust, Ser 2009-1, Cl A5
5.750%, 09/25/48 (B) (C)		900		914
American General Mortgage Loan Trust, Ser 2009-1, Cl A7
5.750%, 09/25/48 (B) (C)		1,500		1,525
American General Mortgage Loan Trust, Ser 2009-1, Cl A4
5.750%, 09/25/48 (B) (C)		1,325		1,352
American General Mortgage Loan Trust, Ser 2010-1A, Cl A1
5.650%, 03/25/58 (B) (C)		804		830
American Home Mortgage Assets, Ser 2006-5, Cl A1
1.226%, 11/25/46 (B)		1,465		687
American Home Mortgage Assets, Ser 2007-2, Cl A1
0.319%, 03/25/47 (B)		12,227		7,244
Americold LLC Trust, Ser 2010-ARTA, Cl A1
3.847%, 01/14/29 (C)		3,468		3,570
ASG Resecuritization Trust, Ser 2009-2, Cl G60
5.371%, 05/24/36 (B) (C)		400		402
ASG Resecuritization Trust, Ser 2009-2, Cl A55
5.397%, 05/24/36 (B) (C)		774		791
ASG Resecuritization Trust, Ser 2009-3, Cl A65
5.594%, 03/26/37 (B) (C)		1,733		1,735


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

ASG Resecuritization Trust, Ser 2009-4, Cl A60
6.000%, 06/28/37 (C)	$	1,382	$	1,409
ASG Resecuritization Trust, Ser 2010-3, Cl 2A22
0.459%, 10/28/36 (B) (C)		667		647
ASG Resecuritization Trust, Ser 2011-1, Cl 3A50
2.562%, 11/28/35 (B) (C)		578		557
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 2A1
6.000%, 01/25/34		709		709
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 1A1
6.000%, 01/25/34		369		369
Banc of America Alternative Loan Trust, Ser 2003-7, Cl 1CB1
5.500%, 09/25/33		531		548
Banc of America Alternative Loan Trust, Ser 2003-7, Cl 2A4
5.000%, 09/25/18		848		866
Banc of America Alternative Loan Trust, Ser 2003-9, Cl 1CB2
5.500%, 11/25/33		729		746
Banc of America Alternative Loan Trust, Ser 2004-1, Cl 5A1
5.500%, 02/25/19		547		553
Banc of America Alternative Loan Trust, Ser 2004-8, Cl 3A1
5.500%, 09/25/19		485		496
Banc of America Alternative Loan Trust, Ser 2006-8, Cl 3A1
5.832%, 11/25/21 (B)		234		227
Banc of America Alternative Loan Trust, Ser 2007-1, Cl 2A1
5.763%, 04/25/37 (B)		449		352
Banc of America Commercial Mortgage, Ser 2002-2, Cl B
5.271%, 07/11/43		681		703
Banc of America Commercial Mortgage, Ser 2002-PB2, Cl A4
6.186%, 06/11/35		5,599		5,688
Banc of America Commercial Mortgage, Ser 2002-PB2, Cl B
6.309%, 06/11/35		916		937
Banc of America Commercial Mortgage, Ser 2003-1, Cl A1
3.878%, 09/11/36		1,042		1,046
Banc of America Commercial Mortgage, Ser 2004-6, Cl A5
4.811%, 12/10/42		2,013		2,153
Banc of America Commercial Mortgage, Ser 2004-6, Cl A3
4.512%, 12/10/42		895		905


70		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Banc of America Commercial Mortgage, Ser 2005-2, Cl A5
4.857%, 07/10/43 (B)	$	6,060	$	6,565
Banc of America Commercial Mortgage, Ser 2005-3, Cl AM
4.727%, 07/10/43		1,050		1,080
Banc of America Commercial Mortgage, Ser 2005-3, Cl A4
4.668%, 07/10/43		4,794		5,145
Banc of America Commercial Mortgage, Ser 2005-4, Cl A5A
4.933%, 07/10/45		1,897		2,040
Banc of America Commercial Mortgage, Ser 2005-5, Cl A4
5.115%, 10/10/45 (B)		300		328
Banc of America Commercial Mortgage, Ser 2006-1, Cl A4
5.372%, 09/10/45 (B)		500		546
Banc of America Commercial Mortgage, Ser 2006-3, Cl A4
5.889%, 07/10/44 (B)		4,045		4,462
Banc of America Commercial Mortgage, Ser 2006-4, Cl A4
5.634%, 07/10/46		800		882
Banc of America Commercial Mortgage, Ser 2006-5, Cl A4
5.414%, 09/10/47		150		163
Banc of America Commercial Mortgage, Ser 2006-6, Cl A4
5.356%, 10/10/45		5,688		6,138
Banc of America Funding, Ser 2004-2, Cl 1CB1
5.750%, 09/20/34		544		559
Banc of America Funding, Ser 2004-3, Cl 1A7
5.500%, 10/25/34		280		280
Banc of America Funding, Ser 2004-C, Cl 1A1
5.019%, 12/20/34 (B)		340		340
Banc of America Funding, Ser 2005-B, Cl 2A1
2.879%, 04/20/35 (B)		4,230		3,341
Banc of America Funding, Ser 2010-R11A, Cl 1A6
5.538%, 08/26/35 (B) (C)		940		986
Banc of America Funding, Ser 2010-R5, Cl 5A6
0.510%, 05/26/37 (B) (C)		1,308		1,270
Banc of America Mortgage Securities, Ser 2003-3, Cl 1A7
5.500%, 05/25/33		1,000		1,022
Banc of America Mortgage Securities, Ser 2003-3, Cl 2A1
0.744%, 05/25/18 (B)		295		284


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Banc of America Mortgage Securities, Ser 2003-6, Cl 2A1
0.644%, 08/25/18 (B)	$	314	$	300
Banc of America Mortgage Securities, Ser 2003-E, Cl 2A2
2.883%, 06/25/33 (B)		362		345
Banc of America Mortgage Securities, Ser 2004-3, Cl 3A1
5.000%, 04/25/19		327		333
Banc of America Mortgage Securities, Ser 2004-3, Cl 1A26
5.500%, 04/25/34		1,000		1,025
Banc of America Mortgage Securities, Ser 2004-3, Cl 1A23
4.500%, 04/25/34		15		15
Banc of America Mortgage Securities, Ser 2004-5, Cl 4A1
4.750%, 06/25/19		275		281
Banc of America Mortgage Securities, Ser 2004-9, Cl 3A1
6.500%, 09/25/32		216		228
BCAP LLC Trust, Ser 2009-RR10, Cl 17A1
5.750%, 06/26/37 (C)		1,390		1,391
BCAP LLC Trust, Ser 2009-RR13, Cl 11A1
5.250%, 05/26/37 (B) (C)		319		324
BCAP LLC Trust, Ser 2009-RR13, Cl 17A2
5.500%, 04/26/37 (B) (C)		1,313		1,366
BCAP LLC Trust, Ser 2009-RR5, Cl 8A1
5.500%, 11/26/34 (C)		1,009		1,024
BCAP LLC Trust, Ser 2010-RR12, Cl 2A5
4.500%, 01/26/36 (B) (C)		936		940
BCAP LLC Trust, Ser 2010-RR5, Cl 2A5
5.190%, 04/26/37 (B) (C)		1,042		1,035
BCAP LLC Trust, Ser 2010-RR6, Cl 5A1
5.500%, 11/26/37 (B) (C)		543		539
BCAP LLC Trust, Ser 2010-RR7, Cl 2A1
5.109%, 07/26/45 (B) (C)		1,721		1,714
BCAP LLC Trust, Ser 2010-RR7, Cl 16A1
1.006%, 02/26/47 (B) (C)		565		545
BCAP LLC Trust, Ser 2010-RR7, Cl 1A5
5.027%, 04/26/35 (B) (C)		624		629
BCAP LLC Trust, Ser 2010-RR7, Cl 15A1
1.013%, 01/26/36 (B) (C)		678		656


SEI Institutional Investments Trust / Annual Report / May 31, 2011			71

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

BCAP LLC Trust, Ser 2011-RR5, Cl 11A3
0.447%, 05/26/36	$	1,384	$	1,261
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 24A
5.274%, 05/25/34 (B)		1,727		1,623
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 14A
5.138%, 05/25/34 (B)		380		391
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-5, Cl A1
2.340%, 08/25/35 (B)		546		518
Bear Stearns Alt-A Trust, Ser 2005-2, Cl 2A4
2.745%, 04/25/35 (B)		240		189
Bear Stearns Asset Backed Securities Trust, Ser 2006-AC1, Cl 1A1
5.750%, 02/25/36		2,118		1,614
Bear Stearns Commercial Mortgage Securities, Ser 2001-TOP2, Cl A2
6.480%, 02/15/35		3		3
Bear Stearns Commercial Mortgage Securities, Ser 2001-TOP4, Cl A3
5.610%, 11/15/33		2,045		2,047
Bear Stearns Commercial Mortgage Securities, Ser 2002-TOP8, Cl A2
4.830%, 08/15/38		454		468
Bear Stearns Commercial Mortgage Securities, Ser 2003-T12, Cl A3
4.240%, 08/13/39 (B)		326		330
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR7, Cl A2
4.945%, 02/11/41		1,375		1,394
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR8, Cl X1, IO
0.191%, 06/11/41 (B) (C)		14,975		234
Bear Stearns Commercial Mortgage Securities, Ser 2005-T20, Cl A4A
5.296%, 10/12/42 (B)		7,280		7,961
Bear Stearns Commercial Mortgage Securities, Ser 2006-PW11, Cl A4
5.620%, 03/11/39 (B)		300		332
Bear Stearns Commercial Mortgage Securities, Ser 2006-T22, Cl A4
5.705%, 04/12/38 (B)		4,110		4,574
Bear Stearns Commercial Mortgage Securities, Ser 2006-T24, Cl A4
5.537%, 10/12/41		300		331
Bear Stearns Commercial Mortgage Securities, Ser 2007-PW17, Cl A3
5.736%, 06/11/50		2,640		2,813


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Chase Mortgage Finance, Ser 2003-S15, Cl 2A10
0.644%, 01/25/34 (B)	$	144	$	143
Chase Mortgage Finance, Ser 2003-S9, Cl AP, PO
0.000%, 10/25/18		223		192
Chase Mortgage Finance, Ser 2005-A1, Cl 2A3
2.944%, 12/25/35 (B)		13,166		10,653
Chase Mortgage Finance, Ser 2007-A1, Cl 9A1
3.487%, 02/25/37 (B)		291		292
Chase Mortgage Finance, Ser 2007-A1, Cl 2A1
2.887%, 02/25/37 (B)		385		383
Chase Mortgage Finance, Ser 2007-A2, Cl 1A1
2.846%, 07/25/37 (B)		612		573
Citicorp Mortgage Securities, Ser 2003-6, Cl 1A2
4.500%, 05/25/33		77		77
Citicorp Mortgage Securities, Ser 2004-4, Cl A4
5.500%, 06/25/34		724		755
Citigroup Commercial Mortgage Trust, Ser 2005-C3, Cl AM
4.830%, 05/15/43 (B)		440		454
Citigroup Mortgage Loan Trust, Ser 2004-UST1, Cl A6
5.074%, 08/25/34 (B)		530		542
Citigroup Mortgage Loan Trust, Ser 2005-2, Cl 2A11
5.500%, 05/25/35		501		499
Citigroup Mortgage Loan Trust, Ser 2008-AR4, Cl 1A1A
5.310%, 11/25/38 (B)		1,219		1,213
Citigroup Mortgage Loan Trust, Ser 2009-10, Cl 1A1
2.715%, 09/25/33 (B) (C)		761		748
Citigroup Mortgage Loan Trust, Ser 2009-11, Cl 3A1
5.750%, 05/25/37 (B) (C)		1,000		1,019
Citigroup Mortgage Loan Trust, Ser 2009-5, Cl 8A1
6.000%, 06/25/36 (C)		1,491		1,561
Citigroup Mortgage Loan Trust, Ser 2010-7, Cl 10A1
2.740%, 02/25/35 (B) (C)		425		423
Citigroup Mortgage Loan Trust, Ser 2011-3, Cl 1A1
0.293%, 02/25/47 (B) (C)		926		905
Citigroup Mortgage Loan Trust, Ser 2011-5, Cl 1A1
0.384%, 04/25/41		987		903


72		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Citigroup, Ser 2005-CD1, Cl AM
5.396%, 07/15/44 (B)	$	1,769	$	1,848
Citigroup, Ser 2006-CD2, Cl X, IO
0.108%, 01/15/46 (B) (C)		90,684		230
Commercial Mortgage Asset Trust, Ser 1999-C1, Cl A4
6.975%, 01/17/32 (B)		674		710
Commercial Mortgage Pass-Through Certificates, Ser 2001-J2A, Cl B
6.304%, 07/16/34 (C)		2,500		2,569
Commercial Mortgage Pass-Through Certificates, Ser 2001-J2A, Cl A2
6.096%, 07/16/34 (C)		33		33
Commercial Mortgage Pass-Through Certificates, Ser 2004-LB4A, Cl A5
4.840%, 10/15/37		3,951		4,208
Commercial Mortgage Pass-Through Certificates, Ser 2005-LP5, Cl A4
4.982%, 05/10/43 (B)		600		652
Commercial Mortgage Pass-Through Certificates, Ser 2006-C8, Cl A4
5.306%, 12/10/46		4,322		4,654
Countrywide Alternative Loan Trust, Ser 2003-20CB, Cl 1A1
5.500%, 10/25/33		2,323		2,399
Countrywide Alternative Loan Trust, Ser 2004-27CB, Cl A1
6.000%, 12/25/34		2,079		2,026
Countrywide Alternative Loan Trust, Ser 2004-32CB, Cl 2A3, IO
4.906%, 02/25/35 (B)		36,659		3,671
Countrywide Alternative Loan Trust, Ser 2004-J1, Cl 1A1
6.000%, 02/25/34		279		286
Countrywide Alternative Loan Trust, Ser 2004-J6, Cl PO, PO
0.000%, 11/25/31		328		263
Countrywide Alternative Loan Trust, Ser 2004-J6, Cl
6.500%, 11/25/31		1,056		1,066
Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2
1.406%, 08/25/35 (B)		908		471
Countrywide Alternative Loan Trust, Ser 2005-27, Cl 2A1
1.656%, 08/25/35 (B)		3,868		2,310
Countrywide Alternative Loan Trust, Ser 2005-59, Cl 1A1
0.503%, 11/20/35 (B)		5,144		3,110
Countrywide Alternative Loan Trust, Ser 2005-72, Cl A1
0.464%, 01/25/36 (B)		2,617		1,678
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-34, Cl
5.250%, 09/25/33		581		587


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-39, Cl A6
5.000%, 10/25/33	$	880	$	864
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-56, Cl 6A1
3.025%, 12/25/33 (B)		567		503
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-J13, Cl 1A7
5.250%, 01/25/34		1,468		1,520
Countrywide Home Loan Mortgage Pass-Through Trust, Ser , Cl 4A3
9.522%, 08/25/18 (B)		140		147
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-20, Cl 2A1
2.936%, 09/25/34 (B)		79		49
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-5, Cl 1A4
5.500%, 06/25/34		827		862
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-8, Cl 2A1
4.500%, 06/25/19		1,137		1,172
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-20, Cl
5.250%, 12/25/27		775		690
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-R3, Cl
0.594%, 09/25/35 (B) (C)		5,457		4,815
Credit Suisse First Boston Mortgage Securities, Ser 2001-CKN5, Cl
5.435%, 09/15/34		142		142
Credit Suisse First Boston Mortgage Securities, Ser 2002-CKS4, Cl
5.183%, 11/15/36		981		924
Credit Suisse First Boston Mortgage Securities, Ser 2002-CP3, Cl
5.603%, 07/15/35		6,696		6,925
Credit Suisse First Boston Mortgage Securities, Ser 2002-CP5, Cl A2
4.940%, 12/15/35		2,521		2,617
Credit Suisse First Boston Mortgage Securities, Ser 2003-27, Cl 5A4
5.250%, 11/25/33		704		730
Credit Suisse First Boston Mortgage Securities, Ser 2003-27, Cl 5A3
5.250%, 11/25/33		1,180		1,231


SEI Institutional Investments Trust / Annual Report / May 31, 2011			73

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 8A1
6.000%, 11/25/18	$	527	$	540
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 5A1
7.000%, 12/25/33		292		311
Credit Suisse First Boston Mortgage Securities, Ser 2003-C4, Cl B
5.253%, 08/15/36 (B)		1,571		1,637
Credit Suisse First Boston Mortgage Securities, Ser 2003-CPN1, Cl B
4.723%, 03/15/35		875		908
Credit Suisse First Boston Mortgage Securities, Ser 2004-4, Cl 2A4
5.500%, 09/25/34		825		873
Credit Suisse First Boston Mortgage Securities, Ser 2004-8, Cl 1A4
5.500%, 12/25/34		856		897
Credit Suisse First Boston Mortgage Securities, Ser 2004-AR5, Cl 7A2
2.594%, 06/25/34 (B)		779		758
Credit Suisse First Boston Mortgage Securities, Ser 2005-4, Cl 3A24
18.167%, 06/25/35 (B)		279		281
Credit Suisse First Boston Mortgage Securities, Ser 2005-C1, Cl A3
4.813%, 02/15/38		1,440		1,481
Credit Suisse First Boston Mortgage Securities, Ser 2005-C2, Cl A4
4.832%, 04/15/37		2,974		3,188
Credit Suisse First Boston Mortgage Securities, Ser 2005-C3, Cl AM
4.730%, 07/15/37		1,691		1,752
Credit Suisse Mortgage Capital Certificates, Ser 2006-C2, Cl A3
5.847%, 03/15/39 (B)		1,991		2,186
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3
5.311%, 12/15/39		3,212		3,456
Credit Suisse Mortgage Capital Certificates, Ser 2009-12R, Cl 7A1
5.500%, 10/27/35 (C)		492		494
Credit Suisse Mortgage Capital Certificates, Ser 2010-11R, Cl A1
1.248%, 06/28/47 (B) (C)		881		871
Credit Suisse Mortgage Capital Certificates, Ser 2010-12R, Cl 14A1
4.500%, 09/26/46 (B) (C)		688		677
Credit Suisse Mortgage Capital Certificates, Ser 2010-15R, Cl 7A1
5.340%, 10/26/37 (B) (C)		389		394
Credit Suisse Mortgage Capital Certificates, Ser 2010-16, Cl A3
4.250%, 06/25/50 (B) (C)		400		383


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Credit Suisse Mortgage Capital Certificates, Ser 2010-1R, Cl 26A1
4.750%, 05/27/37 (C)	$	1,180	$	1,185
Credit Suisse Mortgage Capital Certificates, Ser 2011-1R, Cl A1
1.248%, 02/27/47 (B) (C)		1,846		1,848
Credit Suisse Mortgage Capital Certificates, Ser 2011-6R, Cl 3A1
5.653%, 07/28/36 (B) (C)		1,000		942
CW Capital Cobalt, Ser 2006-C1, Cl A4
5.223%, 08/15/48		825		887
DBUBS Mortgage Trust, Ser 2011-LC1A, Cl A1
3.742%, 11/10/46 (C)		3,839		3,970
DBUBS Mortgage Trust, Ser 2011-LC1A, Cl A2
4.528%, 11/10/46 (C)		2,008		2,092
Deutsche ALT-A Securities Alternate Loan Trust, Ser 2005-1, Cl 2A1
5.588%, 02/25/20 (B)		343		348
Deutsche Mortgage Securities, Ser 2009-RS2, Cl 4A1
0.343%, 04/26/37 (B) (C)		534		510
Deutsche Mortgage Securities, Ser 2010-RS2, Cl A1
1.461%, 06/28/47 (B) (C)		692		692
Developers Diversified Realty, Ser 2009-DDR1, Cl A
3.807%, 10/14/22 (C)		4,886		5,117
DSLA Mortgage Loan Trust, Ser 2004-AR2, Cl A2B
0.597%, 11/19/44 (B)		1,983		735
DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl 1A1A
1.232%, 03/19/46 (B)		379		209
Extended Stay America Trust, Ser 2010-ESHA, Cl A
2.951%, 11/05/27 (C)		1,347		1,355
FDIC Structured Sale Guaranteed Notes, Ser 2010-C1, Cl A
2.980%, 12/06/20 (C)		1,402		1,428
FDIC Structured Sale Guaranteed Notes, Ser 2010-S1, Cl 1A
0.796%, 02/25/48 (B) (C)		5,757		5,766
First Horizon Asset Securities, Ser 2003-8, Cl 2A1
4.500%, 09/25/18		1,075		1,084
First Union National Bank Commercial Mortgage, Ser 2001-C4, Cl B
6.417%, 12/12/33		789		802
GE Capital Commercial Mortgage, Ser 2003-C1, Cl A4
4.819%, 01/10/38		3,610		3,771


74		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

GE Capital Commercial Mortgage, Ser 2005-C1, Cl AJ
4.826%, 06/10/48 (B)	$	1,000	$	1,016
GE Capital Commercial Mortgage, Ser 2007-C1, Cl A4
5.543%, 12/10/49		1,000		1,076
GMAC Commercial Mortgage Securities, Ser 2001-C2, Cl A2
6.700%, 04/15/34		147		146
GMAC Commercial Mortgage Securities, Ser 2001-C2, Cl B
6.790%, 04/15/34		404		404
GMAC Commercial Mortgage Securities, Ser 2002-C3, Cl A2
4.930%, 07/10/39		445		462
GMAC Commercial Mortgage Securities, Ser 2003-C2, Cl D
5.670%, 05/10/40 (B)		654		685
GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4
5.023%, 04/10/40		760		812
GMAC Commercial Mortgage Securities, Ser 2004-C2, Cl A4
5.301%, 08/10/38 (B)		1,526		1,651
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl A4
5.238%, 11/10/45 (B)		700		760
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl AM
5.290%, 11/10/45 (B)		769		787
GMAC Mortgage Loan Trust, Ser 2003-AR1, Cl A4
3.404%, 10/19/33 (B)		1,784		1,762
GMAC Mortgage Loan Trust, Ser 2003-GH2, Cl A4
5.000%, 10/25/33		632		634
GMAC Mortgage Loan Trust, Ser 2003-J7, Cl A7
5.000%, 11/25/33		1,158		1,156
GMAC Mortgage Loan Trust, Ser 2004-J5, Cl A7
6.500%, 01/25/35		784		812
GMAC Mortgage Loan Trust, Ser 2004-J6, Cl 1A1
5.000%, 01/25/20		404		409
GMAC Mortgage Loan Trust, Ser 2005-AR5, Cl 3A1
3.370%, 09/19/35 (B)		195		169
GMAC Mortgage Loan Trust, Ser 2010-1, Cl A
4.250%, 07/25/40 (C)		101		102
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A7
5.317%, 06/10/36 (B) (D)		7,150		7,729


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A6
5.135%, 06/10/36 (B)	$	1,051	$	1,062
Greenwich Capital Commercial Funding, Ser 2005-GG3, Cl AJ
4.859%, 08/10/42 (B)		220		224
Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl A5
5.224%, 04/10/37 (B)		4,640		5,039
Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl A4
6.078%, 07/10/38 (B) (D)		19,722		21,989
Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl A4
5.444%, 03/10/39		7,000		7,581
GS Mortgage Securities II, Ser 2001-GL3A, Cl A2
6.449%, 08/05/18 (B) (C)		203		204
GS Mortgage Securities II, Ser 2005-GG4, Cl A4
4.761%, 07/10/39		901		955
GS Mortgage Securities II, Ser 2005-GG4, Cl AABA
4.680%, 07/10/39		4,344		4,518
GS Mortgage Securities II, Ser 2006-GG6, Cl A4
5.553%, 04/10/38 (B)		9,207		10,036
GS Mortgage Securities II, Ser 2006-GG8, Cl X, IO
0.858%, 11/10/39 (B) (C)		12,337		300
GS Mortgage Securities II, Ser 2010-C2, Cl A1
3.849%, 12/10/43 (C)		1,912		1,990
GS Mortgage Securities II, Ser 2011-GC3, Cl A2
3.645%, 03/10/44 (C)		2,016		2,074
GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A
8.000%, 09/19/27 (B) (C)		5		5
GSMPS Mortgage Loan Trust, Ser 2006-RP2, Cl 1AF1
0.594%, 04/25/36 (B) (C)		1,969		1,641
GSR Mortgage Loan Trust, Ser 2004-8F, Cl 2A3
6.000%, 09/25/34		729		765
GSR Mortgage Loan Trust, Ser 2005-5F, Cl 2A3
5.500%, 06/25/35		231		232
GSR Mortgage Loan Trust, Ser 2005-5F, Cl 8A3
0.694%, 06/25/35 (B)		458		446
GSR Mortgage Loan Trust, Ser 2007-1F, Cl 2A4
5.500%, 01/25/37		125		119


SEI Institutional Investments Trust / Annual Report / May 31, 2011			75

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Impac CMB Trust, Ser 2005-4, Cl 2A1
0.494%, 05/25/35 (B)	$	523	$	471
Impac Funding LLC, Ser 2010-1, Cl A1
5.314%, 01/25/51 (C)		4,674		4,682
Impac Secured Assets CMN Owner Trust, Ser 2003-2, Cl A1
5.500%, 08/25/33		763		794
Impac Secured Assets CMN Owner Trust, Ser 2006-1, Cl 2A1
0.544%, 05/25/36 (B)		642		548
Impac Secured Assets CMN Owner Trust, Ser 2006-2, Cl 2A1
0.544%, 08/25/36 (B)		1,987		1,708
Indymac INDA Mortgage Loan Trust, Ser 2007-AR7, Cl 1A1
5.855%, 11/25/37 (B)		1,610		1,311
JPMorgan Alternative Loan Trust, Ser 2006-A7, Cl 2A6
5.750%, 12/25/36 (B)		11,300		4,583
JPMorgan Chase Commercial Mortgage Securities, Ser 2001-CIB2, Cl D
6.847%, 04/15/35 (B)		851		851
JPMorgan Chase Commercial Mortgage Securities, Ser 2001-CIB3, Cl A3
6.465%, 11/15/35		806		812
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-C1, Cl A3
5.376%, 07/12/37		951		980
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-C2, Cl B
5.211%, 12/12/34 (B)		403		418
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-CIB4, Cl C
6.450%, 05/12/34 (B)		1,347		1,379
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-C1, Cl A1
4.275%, 01/12/37		747		758
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-CB6, Cl A1
4.393%, 07/12/37		307		312
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-PM1A, Cl A4
5.326%, 08/12/40 (B)		1,217		1,296


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

JPMorgan Chase Commercial Mortgage Securities, Ser 2004-CB9, Cl A2
5.108%, 06/12/41 (B)	$	816	$	816
JPMorgan Chase Commercial Mortgage Securities, Ser 2004-LN2, Cl A2
5.115%, 07/15/41		1,426		1,517
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-CB11, Cl AJ
5.357%, 08/12/37 (B)		700		721
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP2, Cl A3A
4.678%, 07/15/42		616		635
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP4, Cl A4
4.918%, 10/15/42 (B)		1,167		1,257
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-CB15, Cl X1, IO
0.112%, 06/12/43 (B)		56,566		408
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP8, Cl A4
5.399%, 05/15/45		500		546
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A3
5.336%, 05/15/47		5,391		5,813
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A2
5.134%, 05/15/47		855		889
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-C1, Cl A4
5.716%, 02/15/51		2,300		2,513
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD11, Cl ASB
6.005%, 06/15/49 (B)		1,839		1,967
JPMorgan Chase Commercial Mortgage Securities, Ser 2009-IWST, Cl A2
5.633%, 12/05/27 (C)		3,698		4,112
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-C1, Cl A1
3.853%, 06/15/43 (C)		5,409		5,645
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-CNTR, Cl A2
4.311%, 08/05/32 (C)		3,880		3,872


76		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

JPMorgan Chase Commercial Mortgage Securities, Ser 2010-CNTR, Cl A1
3.300%, 08/05/32 (C)	$	1,115	$	1,112
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C3, Cl A4
4.717%, 02/16/46 (C)		1,437		1,499
JPMorgan Chase Commercial Mortgage, Ser 2002-C2, Cl A2
5.050%, 12/12/34		1,313		1,363
JPMorgan Commercial Mortgage Finance, Ser 2000-C10, Cl C
7.971%, 08/15/32 (B)		142		142
JPMorgan Mortgage Trust, Ser 2004-A3, Cl SF3
3.308%, 06/25/34 (B)		2,499		2,443
JPMorgan Mortgage Trust, Ser 2004-A3, Cl 4A1
4.261%, 07/25/34 (B)		188		188
JPMorgan Mortgage Trust, Ser 2004-A4, Cl 1A1
4.537%, 09/25/34 (B)		234		235
JPMorgan Mortgage Trust, Ser 2004-A5, Cl 4A2
4.784%, 12/25/34 (B)		1,457		1,455
JPMorgan Mortgage Trust, Ser 2004-A5, Cl 4A4
4.784%, 12/25/34 (B)		11,500		11,234
JPMorgan Mortgage Trust, Ser 2005-A1, Cl 3A4
5.016%, 02/25/35 (B)		1,000		964
JPMorgan Mortgage Trust, Ser 2005-A1, Cl 5A1
4.485%, 02/25/35 (B)		286		290
JPMorgan Mortgage Trust, Ser 2005-A2, Cl 5A2
4.298%, 04/25/35 (B)		360		353
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 4A1
2.925%, 08/25/34 (B)		1,819		1,775
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 2A2
5.687%, 04/25/36 (B)		13,400		10,892
JPMorgan Mortgage Trust, Ser 2006-A3, Cl 3A4
5.714%, 05/25/36 (B)		13,724		12,083
JPMorgan Mortgage Trust, Ser 2006-A3, Cl 6A1
2.989%, 08/25/34 (B)		817		742
JPMorgan Re-REMIC, Ser 2009-6, Cl 4A1
5.979%, 09/26/36 (B) (C)		661		682


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

JPMorgan Re-REMIC, Ser 2010-4, Cl 7A1
4.291%, 08/26/35 (B) (C)	$	525	$	519
LB Commercial Conduit Mortgage Trust, Ser 2007-C3, Cl A3
6.131%, 07/15/44 (B)		844		896
LB-UBS Commercial Mortgage Trust, Ser 2002-C2, Cl A4
5.594%, 06/15/31		778		802
LB-UBS Commercial Mortgage Trust, Ser 2002-C4, Cl A4
4.563%, 09/15/26		423		430
LB-UBS Commercial Mortgage Trust, Ser 2004-C7, Cl A5
4.628%, 10/15/29		853		893
LB-UBS Commercial Mortgage Trust, Ser 2005-C1, Cl A4
4.742%, 02/15/30		863		924
LB-UBS Commercial Mortgage Trust, Ser 2005-C2, Cl A4
4.998%, 04/15/30		2,624		2,680
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl A4
5.156%, 02/15/31		350		381
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl XCL, IO
0.161%, 02/15/41 (B) (C)		26,401		266
LB-UBS Commercial Mortgage Trust, Ser 2006-C4, Cl A4
6.078%, 06/15/38 (B)		450		503
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A3
5.398%, 02/15/40		272		282
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl AAB
5.403%, 02/15/40		420		448
LB-UBS Commercial Mortgage Trust, Ser 2007-C6, Cl A4
5.858%, 07/15/40 (B)		2,427		2,629
LB-UBS Commercial Mortgage Trust, Ser 2007-C6, Cl A3
5.933%, 07/15/40		3,363		3,569
LVII Resecuritization Trust, Ser 2009-1, Cl A1
5.955%, 11/27/37 (B) (C)		2		2
LVII Resecuritization Trust, Ser 2009-2, Cl A4
3.000%, 09/27/37 (B) (C)		1,000		995
LVII Resecuritization Trust, Ser 2009-2, Cl A3
3.000%, 09/27/37 (B) (C)		270		268
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A7
2.897%, 11/21/34 (B)		1,585		1,524


SEI Institutional Investments Trust / Annual Report / May 31, 2011			77

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A7A
2.897%, 11/21/34 (B)	$	11,650	$	10,923
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A6
2.897%, 11/21/34 (B)		623		623
Master Adjustable Rate Mortgages Trust, Ser 2007-3, Cl 12A1
0.394%, 05/25/47 (B)		15,284		8,382
Master Alternative Loans Trust, Ser 2004-4, Cl 1A1
5.500%, 05/25/34		1,914		1,961
Master Reperforming Loan Trust, Ser 2005-1, Cl 1A1
6.000%, 08/25/34 (C)		3,305		3,195
Master Reperforming Loan Trust, Ser 2005-2, Cl 1A1F
0.544%, 05/25/35 (B) (C)		642		513
Master Reperforming Loan Trust, Ser 2006-1, Cl 1A1F
0.554%, 07/25/35 (B) (C)		1,466		1,190
Master Resecuritization Trust, Ser 2005-PO, Cl 3PO, PO
0.000%, 05/28/35 (C)		399		260
MASTR Alternative Loans Trust, Ser 2003-9, Cl 2A1
6.000%, 12/25/33		514		515
MASTR Alternative Loans Trust, Ser 2006-3, Cl AA3
6.250%, 07/25/36		793		605
MASTR Asset Securitization Trust, Ser 2003-2, Cl 1A1
5.000%, 03/25/18		139		141
MASTR Asset Securitization Trust, Ser 2003-3, Cl 3A18
5.500%, 04/25/33		528		554
MASTR Asset Securitization Trust, Ser 2004-10, Cl SA1
0.594%, 11/25/34 (B)		31		31
Merrill Lynch Mortgage Investors, Ser 2003-A4, Cl 2A
2.842%, 07/25/33 (B)		223		223
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 2A1
2.543%, 02/25/34 (B)		208		204
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A
5.226%, 02/25/34 (B)		3,086		3,044
Merrill Lynch Mortgage Investors, Ser 2004-A4, Cl A2
2.750%, 08/25/34 (B)		416		409
Merrill Lynch Mortgage Trust, Ser 2005-CIP1, Cl A3A
4.949%, 07/12/38 (B)		1,069		1,098
Merrill Lynch Mortgage Trust, Ser 2005-CKI1, Cl A6
5.397%, 11/12/37 (B)		1,507		1,660


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Merrill Lynch Mortgage Trust, Ser 2005-LC1, Cl AJ
5.509%, 01/12/44 (B)	$	480	$	475
Merrill Lynch Mortgage Trust, Ser 2005-MKB2, Cl A4
5.204%, 09/12/42 (B)		2,186		2,366
Merrill Lynch Mortgage Trust, Ser 2006-1, Cl 1A
2.008%, 02/25/36 (B)		426		344
Merrill Lynch Mortgage Trust, Ser 2006-C1, Cl A4
5.854%, 05/12/39 (B)		505		563
Merrill Lynch, Ser 2006-4, Cl XC, IO
0.222%, 12/12/49 (B) (C)		19,252		258
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-4, Cl A3
5.172%, 12/12/49 (B)		16,900		18,228
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-6, Cl A4
5.485%, 03/12/51 (B)		3,700		3,990
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-8, Cl A3
6.164%, 08/12/49 (B)		50		55
MLCC Mortgage Investors, Ser 2004-A, Cl A2
0.710%, 04/25/29 (B)		382		349
MLCC Mortgage Investors, Ser 2004-B, Cl A3
2.102%, 05/25/29 (B)		530		525
MLCC Mortgage Investors, Ser 2004-D, Cl A2
0.825%, 08/25/29 (B)		457		423
MLCC Mortgage Investors, Ser 2005-1, Cl 2A1
2.201%, 04/25/35 (B)		73		68
Morgan Stanley Capital I, Ser 2004-IQ8, Cl A4
4.900%, 06/15/40		375		383
Morgan Stanley Capital I, Ser 2004-T13, Cl A3
4.390%, 09/13/45		637		657
Morgan Stanley Capital I, Ser 2004-T15, Cl A3
5.030%, 06/13/41		475		487
Morgan Stanley Capital I, Ser 2005-HQ5, Cl AAB
5.037%, 01/14/42		418		434
Morgan Stanley Capital I, Ser 2005-HQ6, Cl A4A
4.989%, 08/13/42		3,780		4,100
Morgan Stanley Capital I, Ser 2005-HQ7, Cl AAB
5.350%, 11/14/42 (B)		394		408


78		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Morgan Stanley Capital I, Ser 2005-T19, Cl A4A
4.890%, 06/12/47	$	6,030	$	6,557
Morgan Stanley Capital I, Ser 2006-HQ8, Cl AM
5.643%, 03/12/44 (B)		902		958
Morgan Stanley Capital I, Ser 2006-HQ9, Cl A4
5.731%, 07/12/44 (B)		4,155		4,606
Morgan Stanley Capital I, Ser 2006-IQ12, Cl ANM
5.310%, 12/15/43		2,188		2,197
Morgan Stanley Capital I, Ser 2006-T21, Cl A4
5.162%, 10/12/52 (B)		11,485		12,539
Morgan Stanley Capital I, Ser 2006-T23, Cl A4
5.983%, 08/12/41 (B)		4,440		4,999
Morgan Stanley Capital I, Ser 2007-HQ13, Cl A1
5.357%, 12/15/44		812		835
Morgan Stanley Capital I, Ser 2007-IQ16, Cl A4
5.809%, 12/12/49		3,036		3,346
Morgan Stanley Capital I, Ser 2007-T27, Cl A4
5.795%, 06/11/42 (B)		300		337
Morgan Stanley Dean Witter Capital I, Ser 2001-TOP3, Cl A4
6.390%, 07/15/33		418		418
Morgan Stanley Dean Witter Capital I, Ser 2002-HQ, Cl B
6.640%, 04/15/34		680		701
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl B
5.040%, 03/12/35		721		753
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl A2
4.920%, 03/12/35		1,060		1,111
Morgan Stanley Mortgage Loan Trust, Ser 2004-3, Cl 4A
5.651%, 04/25/34 (B)		805		816
Morgan Stanley Mortgage Loan Trust, Ser 2007-6XS, Cl 2A1S
0.304%, 02/25/47 (B)		294		253
Morgan Stanley Re-REMIC Trust, Ser 2009-IO, Cl A1
3.000%, 07/17/56		506		506
Morgan Stanley Re-REMIC Trust, Ser 2010-HQ4B, Cl A7A
4.970%, 04/16/40 (C)		1,300		1,384
New York Mortgage Trust, Ser 2006-1, Cl 2A2
2.876%, 05/25/36 (B)		672		644


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Nomura Asset Securities, Ser 1998-D6, Cl A2
7.273%, 03/15/30 (B)	$	2,754	$	2,977
Prime Mortgage Trust, Ser 2004-CL1, Cl 1A1
6.000%, 02/25/34		336		354
Prime Mortgage Trust, Ser 2004-CL1, Cl 1PO, PO
0.000%, 02/25/34		106		80
Prime Mortgage Trust, Ser 2006-DR1, Cl 2A1
5.500%, 05/25/35 (C)		2,669		2,349
RBSSP Resecuritization Trust, Ser 2010-12, Cl 8A1
4.000%, 06/27/21 (C)		870		874
RBSSP Resecuritization Trust, Ser 2010-4, Cl 12A1
4.500%, 03/26/21 (C)		706		708
RBSSP Resecuritization Trust, Ser 2010-9, Cl 7A5
4.000%, 05/26/37 (B) (C)		1,000		994
Residential Accredit Loans, Ser 2003-QS15, Cl A7
5.500%, 08/25/33		609		600
Residential Accredit Loans, Ser 2003-QS18, Cl A1
5.000%, 09/25/18		462		476
Residential Accredit Loans, Ser 2003-QS19, Cl A1
5.750%, 10/25/33		492		500
Residential Accredit Loans, Ser 2004-QS7, Cl A4
5.500%, 05/25/34		1,462		1,279
Residential Accredit Loans, Ser 2005-QO2, Cl A1
1.666%, 09/25/45 (B)		1,045		647
Residential Accredit Loans, Ser 2006-QO8, Cl 1A1A
0.284%, 10/25/46 (B)		152		151
Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8
6.500%, 11/25/31		852		862
Residential Asset Mortgage Products, Ser 2004-SL3, Cl A2
6.500%, 12/25/31		1,403		1,399
Residential Asset Securitization Trust, Ser 2003-A5, Cl A1
5.500%, 06/25/33		572		584
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1
2.744%, 12/25/34 (B)		1,679		1,595
Residential Funding Mortgage Securities I, Ser 2003-S4, Cl A4
5.750%, 03/25/33		614		646


SEI Institutional Investments Trust / Annual Report / May 31, 2011			79

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Salomon Brothers Mortgage Securities VII, Ser 2000-C2, Cl C
7.727%, 07/18/33 (B)	$	197	$	196
Salomon Brothers Mortgage Securities VII, Ser 2001-C2, Cl A3
6.499%, 11/13/36		1,365		1,374
Salomon Brothers Mortgage Securities VII, Ser 2002-KEY2, Cl A2
4.467%, 03/18/36		152		154
Salomon Brothers Mortgage Securities VII, Ser 2003-HYB1, Cl A
3.216%, 09/25/33 (B)		814		803
Sequoia Mortgage Trust, Ser 2004-12, Cl A3
0.780%, 01/20/35 (B)		904		769
Sequoia Mortgage Trust, Ser 2010-H1, Cl A1
3.750%, 02/25/40 (B)		742		749
Sequoia Mortgage Trust, Ser 2011-1, Cl A1
4.125%, 02/25/41 (B)		843		843
Station Place Securitization Trust, Ser 2010-1, Cl A
1.213%, 12/20/42 (B) (C)		1,500		1,500
Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-19XS, Cl 1A1
0.514%, 10/25/35 (B)		4,908		3,332
Structured Asset Mortgage Investments, Ser 2004-AR5, Cl 1A1
0.527%, 10/19/34 (B)		319		287
Structured Asset Mortgage Investments, Ser 2006-AR8, Cl A1A
0.394%, 10/25/36 (B)		5,986		3,750
Structured Asset Securities, Ser 2003-16, Cl A3
0.694%, 06/25/33 (B)		950		910
Structured Asset Securities, Ser 2003-31A, Cl 2A7
2.561%, 10/25/33 (B)		10,461		9,799
Structured Asset Securities, Ser 2003-32, Cl 1A1
5.206%, 11/25/33 (B)		245		254
Structured Asset Securities, Ser 2003-33H, Cl 1A1
5.500%, 10/25/33		935		952
Structured Asset Securities, Ser 2003-37A, Cl 2A
5.024%, 12/25/33 (B)		348		357


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Structured Asset Securities, Ser 2004-5H, Cl A4
5.540%, 12/25/33	$	1,000	$	989
Thornburg Mortgage Securities Trust, Ser 2003-4, Cl A1
0.514%, 09/25/43 (B)		794		750
TIAA Seasoned Commercial Mortgage Trust, Ser 2007-C4, Cl A3
5.983%, 08/15/39 (B)		2,500		2,740
US Bank National Mortgage Association, Ser 2007-1, Cl A
5.920%, 05/25/12		3,619		3,785
Vendee Mortgage Trust CMO, Ser 1993-1, Cl ZB
7.250%, 02/15/23		2,579		2,969
Wachovia Bank Commercial Mortgage Trust, Ser 2002-C1, Cl A4
6.287%, 04/15/34		375		384
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C7, Cl A1
4.241%, 10/15/35 (C)		239		240
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A3
4.445%, 11/15/35		870		880
Wachovia Bank Commercial Mortgage Trust, Ser 2006-C26, Cl XC, IO
0.095%, 06/15/45 (B) (C)		84,691		230
WaMu Mortgage Pass-Through Certificates, Ser 2002-AR18, Cl A
2.522%, 01/25/33 (B)		347		324
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR10, Cl A7
2.624%, 10/25/33 (B)		579		568
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR6, Cl A1
2.695%, 06/25/33 (B)		561		560
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR7, Cl A7
2.673%, 08/25/33 (B)		502		493
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR8, Cl A
2.716%, 08/25/33 (B)		300		297
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 1A6
2.715%, 09/25/33 (B)		1,060		1,027
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 2A
2.780%, 09/25/33 (B)		358		352


80		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

WaMu Mortgage Pass-Through Certificates, Ser 2003-MS1, Cl 1A
5.000%, 02/25/18	$	376	$	383
WaMu Mortgage Pass-Through Certificates, Ser 2003-S11, Cl 2A5
16.465%, 11/25/33 (B)		573		603
WaMu Mortgage Pass-Through Certificates, Ser 2003-S13, Cl 21A1
4.500%, 12/25/18		440		456
WaMu Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A10
16.929%, 06/25/33 (B)		142		160
WaMu Mortgage Pass-Through Certificates, Ser 2003-S9, Cl A8
5.250%, 10/25/33		2,232		2,324
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A1
2.648%, 06/25/34 (B)		291		285
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A2
4.243%, 06/25/34 (B)		381		374
WaMu Mortgage Pass-Through Certificates, Ser 2004-CB2, Cl 7A
5.500%, 08/25/19		660		688
WaMu Mortgage Pass-Through Certificates, Ser 2004-S1, Cl 1A3
0.613%, 03/25/34 (B)		244		236
WaMu Mortgage Pass-Through Certificates, Ser 2004-S2, Cl 2A4
5.500%, 06/25/34		731		730
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A1
0.484%, 10/25/45 (B)		3,747		3,113
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR15, Cl A1A2
0.474%, 11/25/45 (B)		5,840		4,487
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR16, Cl 1A4A
2.591%, 12/25/35 (B)		13,585		11,051
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR19, Cl A1A2
0.484%, 12/25/45 (B)		5,563		4,295
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR1, Cl 1A1B
1.376%, 01/25/46 (B)		3,119		1,143
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR13, Cl 2A
2.984%, 10/25/46 (B)		1,443		1,073


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

WaMu Mortgage Pass-Through Certificates, Ser 2006-AR14, Cl 1A4
5.416%, 11/25/36 (B)	$	441	$	339
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 1A
1.146%, 11/25/46 (B)		2,915		1,970
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 1A1B
1.146%, 11/25/46 (B)		1,681		424
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 2A1B
2.984%, 11/25/46 (B)		1,906		631
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR17, Cl 1A1B
1.116%, 12/25/46 (B)		586		203
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR17, Cl 2A
2.984%, 12/25/46 (B)		659		479
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR4, Cl DA
1.276%, 06/25/46 (B)		1,253		622
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR7, Cl A1B
1.226%, 09/25/46 (B)		909		40
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR7, Cl 2A
1.286%, 07/25/46 (B)		1,135		729
WaMu Mortgage Pass-Through Certificates, Ser 2007-HY1, Cl 1A1
5.424%, 02/25/37 (B)		5,815		4,171
WaMu Mortgage Pass-Through Certificates, Ser 2007-OA5, Cl 1A
1.056%, 06/25/47 (B)		11,835		7,856
WaMu Mortgage Pass-Through Certificates, Ser 2007-OA6, Cl 1A
1.116%, 07/25/47 (B)		12,264		7,794
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser 2005-3, Cl CX, IO
5.500%, 05/25/35		756		128
Washington Mutual MSC Mortgage Pass-Through CTFS, Ser 2003-MS2, Cl 1A1
5.750%, 02/25/33		191		199
Washington Mutual MSC Mortgage Pass-Through CTFS, Ser 2003-MS8, Cl 1P, PO
0.000%, 05/25/33		269		196


SEI Institutional Investments Trust / Annual Report / May 31, 2011			81

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Washington Mutual MSC Mortgage Pass-Through CTFS, Ser 2003-MS9, Cl 2P, PO
0.000%, 04/25/33	$	458	$	367
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-15, Cl 1A1
4.750%, 12/25/18		1,625		1,678
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-C, Cl A6
2.656%, 02/25/33 (B)		685		676
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-J, Cl 2A5
4.423%, 10/25/33 (B)		195		197
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-K, Cl 1A1
4.451%, 11/25/33 (B)		1,002		996
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-B, Cl A1
4.917%, 02/25/34 (B)		673		691
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-E, Cl A8
4.871%, 05/25/34 (B)		385		386
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-E, Cl A2
4.500%, 05/25/34 (B)		165		168
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A1
2.845%, 12/25/34 (B)		868		833
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 3A2
2.947%, 12/25/34 (B)		406		407
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A2
2.845%, 12/25/34 (B)		578		577
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 3A1
2.947%, 12/25/34 (B)		271		266
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-I, Cl 1A1
2.880%, 07/25/34 (B)		855		821
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-P, Cl 2A1
2.909%, 09/25/34 (B)		564		550


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-V, Cl 1A2
2.858%, 10/25/34 (B)	$	604	$	603
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-V, Cl 1A1
2.858%, 10/25/34 (B)		755		748
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-1, Cl 2A1
5.000%, 01/25/20		403		415
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-13, Cl A1
5.000%, 11/25/20		425		444
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR14, Cl A1
5.367%, 08/25/35 (B)		695		694
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR8, Cl 2A1
2.827%, 06/25/35 (B)		1,084		1,057
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR9, Cl 2A1
2.905%, 05/25/35 (B)		331		322
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR18, Cl 1A1
5.689%, 11/25/36 (B)		851		801
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-O, Cl A1
4.859%, 08/25/34 (B)		464		472
WF-RBS Commercial Mortgage Trust, Ser 2011-C3
4.529%, 04/01/41		600		606

				685,317

Total Mortgage-Backed Securities (Cost $3,139,574) ($ Thousands)				3,198,801


CORPORATE OBLIGATIONS — 23.8%

Consumer Discretionary — 1.1%
CBS
8.875%, 05/15/19		125		161
7.875%, 07/30/30		160		194
5.750%, 04/15/20		92		101
Comcast
6.500%, 01/15/15		3,635		4,174
6.500%, 01/15/17 (D)		7,565		8,835
6.450%, 03/15/37 (D)		200		217


82		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

5.650%, 06/15/35	$	230	$	228
4.950%, 06/15/16		4,125		4,531
Comcast Cable Communications
8.375%, 03/15/13		3,542		3,985
CVS
5.789%, 01/10/26 (C)		1,861		1,933
CVS Lease Pass-Through
6.036%, 12/10/28 (C)		3,737		4,010
5.880%, 01/10/28 (C)		170		177
DaimlerChrysler
7.300%, 01/15/12 (D)		2,515		2,618
6.500%, 11/15/13		460		516
Gap
5.950%, 04/12/21		5,320		5,215
Historic TW
9.150%, 02/01/23		500		673
Johnson Controls
4.250%, 03/01/21		265		270
Kohl’s
6.250%, 12/15/17 (D)		255		301
Lowe’s MTN
7.110%, 05/15/37		400		500
Macy’s Retail Holdings
6.375%, 03/15/37		970		1,033
McDonald’s MTN
5.350%, 03/01/18		2,350		2,696
Newell Rubbermaid
4.700%, 08/15/20		176		179
Staples
9.750%, 01/15/14		305		365
Target
7.000%, 01/15/38		135		166
4.000%, 06/15/13		355		378
Thomson Reuters
5.950%, 07/15/13 (D)		1,405		1,545
4.700%, 10/15/19		250		267
Time Warner
7.625%, 04/15/31		4,830		5,825
6.250%, 03/29/41		2,932		3,064
4.750%, 03/29/21		140		143
4.700%, 01/15/21		890		909
Time Warner Cable
8.750%, 02/14/19		3,320		4,248
8.250%, 04/01/19 (D)		3,235		4,047
7.300%, 07/01/38		400		465
6.750%, 07/01/18 (D)		120		140
6.550%, 05/01/37		3,426		3,646
5.875%, 11/15/40 (D)		2,320		2,291
5.850%, 05/01/17		1,230		1,376
4.125%, 02/15/21		470		453
Time Warner Entertainment
8.375%, 07/15/33		100		129
United Business Media
5.750%, 11/03/20 (C)		1,070		1,071


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Volkswagen International Finance
1.625%, 08/12/13 (C)	$	100	$	101
Wal-Mart Stores
5.800%, 02/15/18		1,990		2,307

				75,483


Consumer Staples — 1.0%
Altria Group
10.200%, 02/06/39		1,470		2,182
9.250%, 08/06/19		2,300		3,038
4.750%, 05/05/21		4,490		4,536
Anheuser-Busch InBev Worldwide
7.750%, 01/15/19		7,700		9,830
7.200%, 01/15/14		100		115
5.375%, 11/15/14		5,635		6,310
5.375%, 01/15/20		2,720		3,015
5.000%, 04/15/20		910		984
4.125%, 01/15/15		3,890		4,193
Bunge Finance
8.500%, 06/15/19		350		430
5.900%, 04/01/17		107		117
Cencosud
5.500%, 01/20/21 (C)		1,700		1,694
CVS Caremark
6.600%, 03/15/19		180		212
6.125%, 09/15/39		140		146
5.750%, 05/15/41		1,095		1,086
4.125%, 05/15/21 (D)		360		354
Diageo Capital
4.828%, 07/15/20		300		318
Diageo Finance BV
5.500%, 04/01/13		1,770		1,915
Dr Pepper Snapple Group
2.350%, 12/21/12		2,735		2,796
GlaxoSmithKline Capital
4.375%, 04/15/14 (D)		200		218
Kraft Foods
6.750%, 02/19/14 (D)		200		227
6.500%, 08/11/17		100		117
6.500%, 02/09/40 (D)		2,180		2,455
6.125%, 08/23/18 (D)		700		806
5.375%, 02/10/20		4,715		5,161
Kroger
7.500%, 04/01/31		110		136
5.400%, 07/15/40		45		45
Massachusetts Institute of Technology
5.600%, 07/01/11		905		947
PepsiCo
7.900%, 11/01/18		339		441
2.500%, 05/10/16		3,605		3,640
Pernod-Ricard
5.750%, 04/07/21 (C)		2,550		2,697


SEI Institutional Investments Trust / Annual Report / May 31, 2011			83

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Philip Morris International
2.500%, 05/16/16	$	3,045	$	3,063
Reynolds American
7.250%, 06/01/12		2,090		2,210
SABMiller
5.500%, 08/15/13 (C)		320		348
Safeway
6.350%, 08/15/17 (D)		2,726		3,157
Woolworths
4.550%, 04/12/21 (C)		2,180		2,232

				71,171


Energy — 1.5%
Alberta Energy
7.375%, 11/01/31		200		243
Anadarko Finance
7.500%, 05/01/31		73		87
Anadarko Petroleum
8.700%, 03/15/19 (D)		150		193
7.625%, 03/15/14		450		519
6.950%, 06/15/19 (D)		90		106
6.375%, 09/15/17		3,950		4,540
5.950%, 09/15/16		1,070		1,209
ANR Pipeline
9.625%, 11/01/21		100		142
Apache
6.900%, 09/15/18		180		221
6.000%, 09/15/13		3,300		3,672
5.625%, 01/15/17		390		451
Baker Hughes
7.500%, 11/15/18		2,290		2,928
BP Capital Markets
4.742%, 03/11/21		3,460		3,580
3.125%, 03/10/12 (D)		630		642
CNOOC Finance 2011
4.250%, 01/26/21 (C)		1,665		1,647
CNPC HK Overseas Capital
5.950%, 04/28/41 (C)		1,505		1,514
Conoco Funding
7.250%, 10/15/31		885		1,116
6.950%, 04/15/29		1,325		1,631
ConocoPhillips
6.000%, 01/15/20 (D)		460		544
5.900%, 10/15/32		10		11
5.900%, 05/15/38		700		774
El Paso
6.950%, 06/01/28		2,250		2,474
Encana
6.500%, 05/15/19 (D)		565		682
Energy Transfer Partners
9.000%, 04/15/19		1,480		1,907
6.700%, 07/01/18		2,340		2,694
4.650%, 06/01/21		1,985		1,979


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

ENI
5.700%, 10/01/40 (C) (D)	$	900	$	893
Enterprise Products Operating LLC
9.750%, 01/31/14		3,610		4,346
5.950%, 02/01/41		1,585		1,623
EOG Resources
4.100%, 02/01/21		300		300
Gazprom Via Gaz Capital
6.212%, 11/22/16 (C)		427		466
Halliburton
6.150%, 09/15/19 (D)		300		354
Hess
8.125%, 02/15/19		3,390		4,363
Husky Energy
7.250%, 12/15/19		1,619		1,971
5.900%, 06/15/14		986		1,104
Kerr-McGee
6.950%, 07/01/24		4,340		5,014
Kinder Morgan Energy Partners
7.125%, 03/15/12		1,280		1,344
6.000%, 02/01/17		610		697
5.000%, 12/15/13		1,190		1,296
Marathon Petroleum
6.500%, 03/01/41 (C) (D)		1,345		1,443
Panhandle Eastern Pipeline
8.125%, 06/01/19		1,086		1,323
Pemex Project Funding Master Trust
6.625%, 06/15/35 (D)		5,602		5,843
0.910%, 12/03/12 (B) (C)		201		200
Petrobras International Finance
6.125%, 10/06/16		1,300		1,446
5.750%, 01/20/20		1,127		1,195
5.375%, 01/27/21		2,910		2,986
Petro-Canada
7.875%, 06/15/26		100		125
6.800%, 05/15/38		3,850		4,491
6.050%, 05/15/18		260		299
Rockies Express Pipeline LLC
3.900%, 04/15/15 (C)		3,940		3,998
Shell International Finance BV
6.375%, 12/15/38		2,790		3,346
4.375%, 03/25/20		80		85
4.300%, 09/22/19		1,000		1,054
3.100%, 06/28/15 (D)		165		173
Spectra Energy Capital LLC
8.000%, 10/01/19 (D)		702		876
Statoil
3.125%, 08/17/17		200		202
Suncor Energy
6.500%, 06/15/38		345		391
Talisman Energy
7.750%, 06/01/19		390		487
Tosco
8.125%, 02/15/30		100		134
7.800%, 01/01/27		210		275


84		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Total Capital
4.125%, 01/28/21	$	74	$	76
2.300%, 03/15/16 (D)		300		301
TransCanada PipeLines
7.125%, 01/15/19 (D)		200		249
6.500%, 08/15/18 (D)		425		506
Transocean
6.500%, 11/15/20		485		550
Union Pacific Resources Group
7.150%, 05/15/28 (D)		150		168
Western Gas Partners
5.375%, 06/01/21		3,580		3,702
Williams
8.750%, 03/15/32		3,026		4,175
7.875%, 09/01/21 (D)		1,942		2,531
7.750%, 06/15/31		548		692
Williams Partners
5.250%, 03/15/20		590		637
Williams, Ser A
7.500%, 01/15/31		15		19

				103,255


Financials — 13.1%
Abbey National Treasury Services
4.000%, 04/27/16 (D)		3,585		3,604
2.875%, 04/25/14 (D)		1,820		1,836
ACE INA Holdings
5.600%, 05/15/15		380		425
Achmea Hypotheekbank
3.200%, 11/03/14 (C)		7,485		7,893
Aegon, Ser CMS
3.698%, 07/29/49 (B)		2,180		1,589
Aflac
8.500%, 05/15/19		165		205
6.450%, 08/15/40		92		95
Allstate
7.450%, 05/16/19 (D)		4,680		5,690
5.000%, 08/15/14		300		332
Ally Financial
2.510%, 12/01/14 (B) (D)		4,579		4,511
1.750%, 10/30/12		3,960		4,038
American Express
7.250%, 05/20/14		360		414
7.000%, 03/19/18		500		600
5.875%, 05/02/13		2,100		2,272
American Express Credit MTN
7.300%, 08/20/13		500		560
5.125%, 08/25/14		6,140		6,739
American Honda Finance MTN
3.875%, 09/21/20 (C)		2,840		2,827
2.375%, 03/18/13 (C)		150		153
American International Group
6.250%, 03/15/37		5,000		4,625


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

5.850%, 01/16/18	$	2,180	$	2,321
3.750%, 11/30/13 (C)		1,000		1,010
ANZ National International
2.375%, 12/21/12 (C)		190		193
AON
6.250%, 09/30/40		79		85
3.500%, 09/30/15		46		48
3.125%, 05/27/16 (D)		235		236
ASIF Global Financing XIX
4.900%, 01/17/13 (C)		1,193		1,253
Associates Corp of North America
6.950%, 11/01/18		650		741
Australia & New Zealand Banking Group
4.875%, 01/12/21 (C)		137		140
3.700%, 01/13/15 (C)		4,000		4,191
3.250%, 03/01/16 (C)		200		203
0.587%, 10/29/49 (B)		1,400		882
BA Covered Bond Issuer
5.500%, 06/14/12 (C)		1,500		1,567
BAC Capital Trust XIV
5.630%, 03/15/12 (B)		180		141
BAC Capital Trust XV
1.110%, 06/01/56 (B)		9,235		6,960
Bank of America
7.625%, 06/01/19 (D)		175		208
7.375%, 05/15/14		780		891
6.500%, 08/01/16		13,038		14,749
6.100%, 06/15/17		4,000		4,400
6.000%, 09/01/17		2,630		2,895
5.750%, 12/01/17		2,640		2,862
5.650%, 05/01/18 (D)		240		256
5.625%, 10/14/16		350		382
5.625%, 07/01/20		2,500		2,625
5.420%, 03/15/17		5,030		5,292
5.000%, 05/13/21		5,800		5,789
4.500%, 04/01/15 (D)		6,790		7,187
3.625%, 03/17/16 (D)		4,590		4,634
Bank of Montreal
2.850%, 06/09/15 (C)		2,720		2,815
Bank of New York Mellon MTN
4.600%, 01/15/20 (D)		160		170
3.100%, 01/15/15 (D)		125		131
2.950%, 06/18/15		500		518
Bank of Nova Scotia
3.400%, 01/22/15		328		345
2.375%, 12/17/13		150		154
1.650%, 10/29/15 (C)		355		351
1.450%, 07/26/13 (C)		9,140		9,253
Bank of Tokyo-Mitsubishi UFJ
3.850%, 01/22/15 (C) (D)		1,107		1,163
Barclays Bank
6.050%, 12/04/17 (C)		2,490		2,684
5.200%, 07/10/14		350		383


SEI Institutional Investments Trust / Annual Report / May 31, 2011			85

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

5.125%, 01/08/20	$	4,330	$	4,480
5.000%, 09/22/16 (D)		4,800		5,183
2.500%, 01/23/13 (D)		500		512
2.500%, 09/21/15 (C) (D)		2,698		2,694
0.563%, 08/07/49 (B)		380		239
Barnett Capital III
0.898%, 02/01/27 (B)		600		482
BB&T
6.850%, 04/30/19 (D)		115		138
4.900%, 06/30/17 (D)		400		432
3.950%, 04/29/16		555		586
3.850%, 07/27/12		150		155
3.375%, 09/25/13		620		649
BBVA US Senior SAU
3.250%, 05/16/14		3,660		3,660
Bear Stearns
7.250%, 02/01/18		2,930		3,515
6.400%, 10/02/17		3,910		4,501
4.650%, 07/02/18		3,000		3,141
Berkshire Hathaway
3.200%, 02/11/15		1,640		1,722
Berkshire Hathaway Finance
5.400%, 05/15/18 (D)		6,660		7,472
2.450%, 12/15/15		187		189
BlackRock
6.250%, 09/15/17		570		673
Blackstone Holdings Finance LLC
5.875%, 03/15/21 (C)		1,180		1,191
BNP Paribas Home Loan Covered Bonds
2.200%, 11/02/15 (C)		5,327		5,257
Boeing Capital
4.700%, 10/27/19		920		999
BP Capital Markets
5.250%, 11/07/13		3,230		3,507
3.875%, 03/10/15 (D)		630		666
3.625%, 05/08/14 (D)		100		105
Branch Banking & Trust
5.625%, 09/15/16		325		366
Caisse Centrale Desjardins du Quebec
2.550%, 03/24/16 (C) (D)		2,581		2,634
Canadian Imperial Bank of Commerce
2.600%, 07/02/15 (C)		1,000		1,032
Capital One Bank USA
8.800%, 07/15/19 (D)		970		1,247
Capital One Financial
7.375%, 05/23/14		450		524
6.750%, 09/15/17 (D)		590		706
Caterpillar Financial Services MTN
7.150%, 02/15/19 (D)		250		312
6.200%, 09/30/13		5,640		6,304
5.850%, 09/01/17 (D)		580		676


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

CDP Financial
3.000%, 11/25/14 (C)	$	6,800	$	7,087
Cedar Brakes I LLC
8.500%, 02/15/14 (C)		722		758
Charles Schwab
4.950%, 06/01/14		100		110
Chase Capital VI
0.898%, 08/01/28 (B)		2,000		1,704
Citigroup
8.500%, 05/22/19 (D)		600		753
8.125%, 07/15/39 (D)		400		521
6.875%, 03/05/38		3,848		4,459
6.500%, 08/19/13		2,370		2,607
6.375%, 08/12/14 (D)		3,090		3,457
6.125%, 05/15/18		390		435
6.010%, 01/15/15 (D)		1,000		1,109
6.000%, 12/13/13		3,920		4,297
6.000%, 08/15/17		4,270		4,769
5.500%, 04/11/13		1,758		1,880
5.500%, 02/15/17 (D)		11,465		12,384
5.375%, 08/09/20		2,505		2,639
5.300%, 01/07/16 (D)		1,488		1,621
5.000%, 09/15/14		2,890		3,070
4.587%, 12/15/15 (D)		114		121
0.807%, 08/25/36 (B)		2,839		2,215
Citigroup Capital III
7.625%, 12/01/36		2,000		2,159
Citigroup Funding MTN
1.875%, 10/22/12		5,355		5,469
0.603%, 04/30/12 (B) (D)		4,900		4,920
CME Group
5.750%, 02/15/14 (D)		177		197
CNA Financial
6.500%, 08/15/16		805		907
5.875%, 08/15/20		274		294
5.850%, 12/15/14		200		218
5.750%, 08/15/21		1,635		1,734
Comerica
3.000%, 09/16/15		145		147
Commonwealth Bank of Australia
5.000%, 10/15/19 (C)		900		946
3.750%, 10/15/14 (C)		2,110		2,226
CommonWealth REIT
6.650%, 01/15/18‡		255		288
6.250%, 08/15/16‡		300		332
5.875%, 09/15/20‡ (D)		95		100
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA
11.000%, 12/31/49 (B) (C)		2,823		3,675
5.250%, 05/24/41		3,651		3,679
4.500%, 01/11/21 (D)		300		314
3.200%, 03/11/15 (C) (D)		700		726
Countrywide Financial
6.250%, 05/15/16		1,430		1,557


86		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Credit Agricole
8.375%, 12/31/49 (B) (C) (D)	$	4,740	$	5,113
2.625%, 01/21/14 (C)		1,480		1,508
Credit Suisse
2.600%, 05/27/16 (C)		2,045		2,053
Credit Suisse NY MTN
6.000%, 02/15/18 (D)		9,420		10,367
5.500%, 05/01/14		125		139
5.300%, 08/13/19		600		656
5.000%, 05/15/13		4,189		4,494
3.450%, 07/02/12 (D)		300		309
Credit Suisse USA
5.125%, 01/15/14 (D)		335		366
5.125%, 08/15/15 (D)		310		344
Deutsche Bank MTN
4.875%, 05/20/13		2,260		2,420
3.875%, 08/18/14 (D)		295		314
2.375%, 01/11/13 (D)		2,500		2,554
Deutsche Bank Capital Funding Trust
5.628%, 01/19/49 (B) (C)		4,789		4,424
Dexia Credit Local
2.750%, 04/29/14 (C)		13,575		13,695
DnB Boligkreditt
2.100%, 10/14/15 (C)		9,832		9,739
Dresdner Funding Trust I
8.151%, 06/30/31 (C)		365		360
ERAC USA Finance LLC
4.500%, 08/16/21 (C)		175		175
2.250%, 01/10/14 (C)		250		253
ERP Operating
5.750%, 06/15/17‡		500		564
5.125%, 03/15/16‡		1,000		1,094
Farmers Exchange Capital
7.200%, 07/15/48 (C)		2,519		2,598
7.050%, 07/15/28 (C)		1,063		1,122
Farmers Insurance Exchange
8.625%, 05/01/24 (C)		4,118		4,912
FDIC Structured Sale Guaranteed Notes
1.448%, 10/25/13 (A) (C)		1,570		1,509
First Chicago NBD Institutional Capital I
0.823%, 02/01/27 (B)		3,750		3,245
First Industrial MTN
7.500%, 12/01/17		1,765		1,816
Fleet Capital Trust II
7.920%, 12/11/26		1,600		1,640
FMR LLC
6.450%, 11/15/39 (C) (D)		250		260
Ford Motor Credit LLC
5.000%, 05/15/18		4,950		4,908
FUEL Trust
4.207%, 04/15/16 (C)		401		412


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

General Electric Capital
6.875%, 01/10/39 (D)	$	4,100	$	4,817
6.375%, 11/15/67 (B)		6,495		6,755
6.150%, 08/07/37		3,880		4,165
6.000%, 08/07/19		920		1,030
5.900%, 05/13/14 (D)		5,010		5,601
5.875%, 01/14/38		1,345		1,400
5.625%, 09/15/17		800		895
5.625%, 05/01/18		6,775		7,502
5.500%, 01/08/20 (D)		480		520
5.400%, 02/15/17 (D)		1,800		1,999
5.375%, 10/20/16 (D)		1,300		1,454
5.300%, 02/11/21 (D)		148		155
4.625%, 01/07/21 (D)		3,050		3,095
2.950%, 05/09/16		7,210		7,234
2.250%, 11/09/15 (D)		180		178
0.652%, 05/05/26 (B)		4,345		3,756
0.569%, 09/15/14 (B)		6,550		6,451
0.410%, 04/10/12 (B)		500		500
0.390%, 03/20/14 (B)		2,000		1,952
Glitnir Banki
7.451%, 09/14/16 (C) (E)		500		—
6.693%, 06/15/16 (C) (E)		4,480		—
6.375%, 09/25/12 (C) (E) (F)		3,100		922
6.330%, 07/28/11 (C) (E) (F)		2,440		726
Goldman Sachs Capital II
5.793%, 12/29/49 (B)		15,810		13,201
Goldman Sachs Group
7.500%, 02/15/19 (D)		2,931		3,436
6.750%, 10/01/37		1,716		1,724
6.600%, 01/15/12		2,960		3,069
6.250%, 09/01/17 (D)		1,400		1,549
6.250%, 02/01/41		6,815		6,888
6.150%, 04/01/18		7,800		8,551
6.000%, 06/15/20 (D)		225		242
5.950%, 01/18/18 (D)		3,175		3,439
5.750%, 10/01/16		1,000		1,101
5.450%, 11/01/12		750		794
5.375%, 03/15/20 (D)		540		557
5.300%, 02/14/12		150		154
5.250%, 10/15/13		980		1,055
4.750%, 07/15/13		230		245
3.625%, 08/01/12		470		484
3.625%, 02/07/16 (D)		5,645		5,661
0.674%, 07/22/15 (B) (D)		1,000		960
Hartford Financial Services Group
6.100%, 10/01/41		920		920
5.500%, 03/30/20		1,805		1,909
HBOS MTN
6.750%, 05/21/18 (C)		5,100		5,148
HBOS Capital Funding
6.071%, 06/30/49 (B) (C) (D)		1,920		1,728
HCP‡
6.750%, 02/01/41 (D)		2,000		2,176


SEI Institutional Investments Trust / Annual Report / May 31, 2011			87

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

6.700%, 01/30/18	$	4,478	$	5,118
6.000%, 01/30/17		6,000		6,714
5.650%, 12/15/13		2,850		3,112
5.375%, 02/01/21		105		110
Health Care REIT‡
6.500%, 03/15/41		3,000		3,033
5.250%, 01/15/22		1,600		1,614
4.950%, 01/15/21		4,910		4,854
Highwoods Properties‡
7.500%, 04/15/18		1,339		1,582
Hongkong & Shanghai Banking
0.438%, 07/22/49 (B)		195		123
HSBC Bank
4.750%, 01/19/21 (C)		400		410
4.125%, 08/12/20 (C)		261		256
3.100%, 05/24/16 (C)		5,022		5,037
0.600%, 06/29/49 (B)		1,160		742
HSBC Bank USA NY
4.625%, 04/01/14		300		322
HSBC Finance
7.000%, 05/15/12		1,975		2,092
6.676%, 01/15/21 (C)		7,240		7,756
6.375%, 11/27/12		365		393
5.500%, 01/19/16		600		669
4.750%, 07/15/13		166		177
0.528%, 01/15/14 (B) (D)		500		493
HSBC Holdings
6.800%, 06/01/38		2,179		2,414
5.100%, 04/05/21 (D)		4,606		4,793
Hutchison Whampoa International
5.750%, 09/11/19 (C)		2,775		3,002
ILFC E-Capital Trust II
6.250%, 12/21/65 (B) (C) (D)		1,200		1,056
Intesa Sanpaolo
3.625%, 08/12/15 (C) (D)		1,440		1,438
Itau Unibanco Holding MTN
6.200%, 04/15/20 (C)		930		946
Jackson National Life Global Funding MTN
5.375%, 05/08/13 (C)		610		655
Jefferies Group
8.500%, 07/15/19 (D)		90		109
6.450%, 06/08/27		590		601
6.250%, 01/15/36		400		389
5.125%, 04/13/18		2,185		2,210
3.875%, 11/09/15		171		174
John Deere Capital MTN
5.750%, 09/10/18		300		349
JPMorgan Chase
6.000%, 01/15/18		400		451
5.750%, 01/02/13		810		866
5.150%, 10/01/15		240		262
5.125%, 09/15/14		136		148
4.625%, 05/10/21		3,605		3,618


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

4.250%, 10/15/20	$	2,040	$	2,007
3.700%, 01/20/15		370		388
3.450%, 03/01/16		1,015		1,036
JPMorgan Chase Bank
6.000%, 07/05/17		2,300		2,580
6.000%, 10/01/17		8,325		9,357
0.640%, 06/13/16 (B)		4,250		4,085
JPMorgan Chase Capital XIII
1.257%, 09/30/34 (B)		1,440		1,228
JPMorgan Chase Capital XXII
6.450%, 02/02/37 (D)		500		516
JPMorgan Chase Capital XXIII
1.261%, 05/15/47 (B)		4,000		3,354
JPMorgan Chase Capital XXV
6.800%, 10/01/37 (D)		2,973		3,050
Kaupthing Bank MTN
7.625%, 02/28/15 (C) (E) (F)		8,130		2,256
7.125%, 05/19/16 (C) (E)		12,000		1
5.750%, 10/04/11 (C) (E) (F)		1,120		311
KeyBank
5.800%, 07/01/14 (D)		600		661
Kilroy Realty‡
6.625%, 06/01/20		1,285		1,410
5.000%, 11/03/15		940		986
Landsbanki Islands
6.100%, 08/25/11 (C) (E) (F)		6,520		456
Lazard Group
7.125%, 05/15/15		2,880		3,246
6.850%, 06/15/17 (D)		3,990		4,464
Lehman Brothers Holdings MTN
6.750%, 12/28/17 (E)		10,370		5
6.500%, 07/19/17 (E)		4,040		6
Lehman Brothers Holdings Capital Trust VII MTN
5.857%, 11/29/49 (E)		20,630		2
Lloyds TSB Bank MTN
6.375%, 01/21/21		3,685		3,901
5.800%, 01/13/20 (C)		480		490
M&T Bank
5.375%, 05/24/12		325		340
Macquarie Group
7.300%, 08/01/14 (C)		480		545
6.250%, 01/14/21 (C)		525		542
Massachusetts Mutual Life Insurance
8.875%, 06/01/39 (C)		2,265		3,265
MassMutual Global Funding II
3.625%, 07/16/12 (C)		300		309
2.875%, 04/21/14 (C)		122		128
2.300%, 09/28/15 (C)		100		100
MBNA Capital, Ser A
8.278%, 12/01/26		3,185		3,277
Merrill Lynch
7.430%, 09/01/22 (F)		4		4


88		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

6.875%, 04/25/18 (D)	$	980	$	1,118
6.400%, 08/28/17		1,250		1,404
6.150%, 04/25/13		210		228
5.700%, 05/02/17		600		633
MetLife
7.717%, 02/15/19		1,750		2,147
6.750%, 06/01/16		2,950		3,485
6.400%, 12/15/36		9,010		8,981
5.875%, 02/06/41		1,470		1,548
MetLife Capital Trust X
9.250%, 04/08/38 (C)		2,700		3,429
MetLife Institutional Funding II
1.201%, 04/04/14 (B) (C)		153		153
Metropolitan Life Global Funding I
5.125%, 04/10/13 (C)		200		213
5.125%, 06/10/14 (C) (D)		1,575		1,724
2.875%, 09/17/12 (C)		600		615
2.500%, 01/11/13 (C)		325		331
2.500%, 09/29/15 (C)		2,935		2,934
2.000%, 01/10/14 (C)		200		201
Monumental Global Funding
5.500%, 04/22/13 (C)		235		251
Morgan Stanley MTN
7.300%, 05/13/19		6,430		7,405
6.625%, 04/01/18		5,190		5,842
6.250%, 08/28/17		550		614
6.000%, 05/13/14		5,135		5,636
5.950%, 12/28/17 (D)		245		269
5.625%, 09/23/19		1,190		1,260
5.550%, 04/27/17		514		555
5.450%, 01/09/17		250		270
5.300%, 03/01/13		400		426
4.750%, 04/01/14		2,040		2,151
4.200%, 11/20/14		1,836		1,926
3.800%, 04/29/16		1,830		1,839
0.726%, 10/18/16 (B)		9,200		8,606
0.659%, 06/20/12 (B)		7,510		7,544
National Australia Bank
5.350%, 06/12/13 (C)		5,495		5,925
3.750%, 03/02/15 (C) (D)		455		478
2.500%, 01/08/13 (C)		550		562
National Bank of Canada
1.650%, 01/30/14 (C)		5,461		5,542
National City
4.900%, 01/15/15 (D)		400		439
National City Bank
5.800%, 06/07/17		525		591
0.680%, 06/07/17 (B)		3,000		2,824
National Rural Utilities Cooperative Finance
10.375%, 11/01/18		230		321
2.625%, 09/16/12		95		97
Nationwide Mutual Insurance
9.375%, 08/15/39 (C) (D)		300		387


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

6.600%, 04/15/34 (C)	$	1,990	$	1,931
5.810%, 12/15/24 (B) (C)		3,900		3,813
NB Capital Trust IV
8.250%, 04/15/27		2,305		2,371
New York Life Global Funding (C)
4.650%, 05/09/13		300		322
3.000%, 05/04/15		5,380		5,566
Nomura Holdings (D)
6.700%, 03/04/20		629		700
5.000%, 03/04/15		130		138
4.125%, 01/19/16		250		254
Nordea Bank (C)
4.875%, 01/14/21		560		585
4.875%, 05/13/21		7,510		7,495
3.700%, 11/13/14		2,060		2,164
1.750%, 10/04/13		200		201
Nordea Eiendomskreditt
1.875%, 04/07/14 (C)		6,025		6,126
Northern Trust
5.500%, 08/15/13		85		94
Pacific Life Global Funding (C)
5.150%, 04/15/13		370		393
5.000%, 05/15/17		170		179
PNC Bank
6.000%, 12/07/17		250		283
PNC Funding
5.125%, 02/08/20		340		369
Power Receivables Finance
6.290%, 01/01/12		634		635
6.290%, 01/01/12 (C) (D)		200		201
PPF Funding‡
5.500%, 01/15/14 (C)		5,000		5,382
Pricoa Global Funding I
5.450%, 06/11/14 (C)		300		329
Prime Property Funding II
5.600%, 06/15/11 (C)		3,380		3,383
Principal Life Global Funding I (C)
6.250%, 02/15/12		600		624
5.050%, 03/15/15		750		808
Principal Life Income Funding Trusts MTN
5.100%, 04/15/14		600		655
Private Export Funding
4.375%, 03/15/19		4,660		5,080
Protective Life
8.450%, 10/15/39		1,835		2,158
Prudential Financial MTN
5.625%, 05/12/41		1,120		1,108
3.000%, 05/12/16		2,935		2,935
Prudential Holdings LLC
8.695%, 12/18/23 (C)		2,500		3,125
1.184%, 12/18/17 (B) (C)		3,725		3,460
Reinsurance Group of America
5.000%, 06/01/21		2,460		2,483


SEI Institutional Investments Trust / Annual Report / May 31, 2011			89

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Resona Preferred Global Securities Cayman
7.191%, 07/30/49 (B) (C)	$	3,240	$	3,284
Royal Bank of Canada
0.500%, 06/29/85 (B)		860		550
Royal Bank of Scotland
4.875%, 03/16/15		370		389
3.950%, 09/21/15		2,320		2,353
Royal Bank of Scotland Group MTN
6.400%, 10/21/19		3,120		3,302
0.000%, 09/29/17		1,000		828
Russian Agricultural Bank Via RSHB Capital
6.299%, 05/15/17 (C)		1,190		1,267
Santander US Debt Unipersonal
3.724%, 01/20/15 (C) (D)		3,100		3,098
Security Benefit Life Insurance
8.750%, 05/15/16 (C)		5,200		5,414
Simon Property Group
10.350%, 04/01/19‡ (D)		520		734
6.750%, 05/15/14‡ (D)		165		188
5.650%, 02/01/20‡		133		148
SLM MTN
8.450%, 06/15/18		550		620
Societe Generale
0.344%, 11/29/49 (B)		680		415
0.344%, 11/29/49 (B)		180		110
Sparebanken 1 Boligkreditt
1.250%, 10/25/13 (C)		2,400		2,396
Springleaf Finance MTN
6.900%, 12/15/17		300		285
Stadshypotek
1.450%, 09/30/13 (C)		5,729		5,764
Standard Chartered
3.200%, 05/12/16 (C)		3,875		3,889
State Street
4.956%, 03/15/18		2,590		2,757
4.300%, 05/30/14		60		65
Sumitomo Mitsui Banking
3.150%, 07/22/15 (C)		2,510		2,573
3.100%, 01/14/16 (C)		640		650
SunTrust Preferred Capital I
5.853%, 12/15/11 (B)		2,643		2,200
Swedbank Hypotek
2.950%, 03/28/16 (C)		2,685		2,735
Teachers Insurance & Annuity Association of America
6.850%, 12/16/39 (C)		2,470		2,919
TNK-BP Finance
6.625%, 03/20/17 (C)		510		554
Toll Road Investors Partnership II
4.056%, 02/15/45 (A) (C)		4,869		727
Toronto-Dominion Bank
2.200%, 07/29/15 (C)		295		300


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Toyota Motor Credit MTN
3.200%, 06/17/15	$	308	$	321
Travelers
5.900%, 06/02/19 (D)		145		163
Travelers Property Casualty
7.750%, 04/15/26		300		385
UBS
5.875%, 12/20/17 (D)		520		589
4.875%, 08/04/20		600		627
3.875%, 01/15/15		1,690		1,785
2.250%, 08/12/13		250		255
2.250%, 01/28/14		1,940		1,964
UDR MTN
5.000%, 01/15/12‡		2,000		2,038
4.250%, 06/01/18‡		2,000		1,994
US Bancorp
4.125%, 05/24/21		134		135
2.875%, 11/20/14		415		431
2.450%, 07/27/15		945		955
2.000%, 06/14/13 (D)		300		307
Votorantim Cimentos
7.250%, 04/05/41 (C)		946		934
Wachovia
5.750%, 06/15/17		690		783
5.500%, 05/01/13		600		649
5.250%, 08/01/14		650		708
0.613%, 10/28/15 (B)		3,760		3,654
Wachovia Bank
6.000%, 11/15/17		3,650		4,156
4.875%, 02/01/15		5,250		5,687
0.640%, 03/15/16 (B)		1,200		1,146
Wachovia Capital Trust III
5.570%, 12/31/49 (B)		3,252		3,010
WEA Finance LLC
7.125%, 04/15/18 (C) (D)		3,655		4,313
6.750%, 09/02/19 (C) (D)		136		158
4.625%, 05/10/21 (C)		975		973
Wells Fargo
5.625%, 12/11/17		350		394
5.000%, 11/15/14		1,145		1,244
4.600%, 04/01/21 (D)		500		512
3.758%, 06/15/16		3,230		3,356
Wells Fargo Capital X
5.950%, 12/15/36		1,630		1,661
Wells Fargo Capital XV
9.750%, 12/31/49 (B)		3,760		4,042
Westpac Banking
4.875%, 11/19/19		919		974
3.000%, 12/09/15		2,390		2,422
2.250%, 11/19/12		720		735
Woodbourne Capital Trust I
0.000%, 04/08/49 (B) (C) (F)		625		300
Woodbourne Capital Trust II
0.000%, 04/08/49 (B) (C) (F)		375		180


90		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

WR Berkley
5.375%, 09/15/20	$	1,210	$	1,256
ZFS Finance USA Trust II
6.450%, 12/15/65 (B) (C)		2,700		2,822

				886,990


Health Care — 0.6%
Abbott Laboratories
5.600%, 11/30/17		470		546
Allergan
3.375%, 09/15/20		355		343
Amgen
5.750%, 03/15/40		237		251
5.700%, 02/01/19		100		115
4.500%, 03/15/20		84		88
3.450%, 10/01/20 (D)		2,350		2,273
Boston Scientific
6.400%, 06/15/16		1,580		1,786
Coventry Health Care
5.950%, 03/15/17		3,058		3,308
Gilead Sciences
4.500%, 04/01/21		2,620		2,670
GlaxoSmithKline Capital
5.650%, 05/15/18		1,800		2,064
HCA
5.750%, 03/15/14		5,548		5,714
Hospira
6.400%, 05/15/15		20		23
Humana
7.200%, 06/15/18 (D)		2,210		2,606
Medco Health Solutions
7.125%, 03/15/18		250		300
2.750%, 09/15/15		135		136
Medtronic
4.450%, 03/15/20		1,370		1,449
Pharmacia
6.500%, 12/01/18		430		513
Roche Holdings
6.000%, 03/01/19 (C)		2,310		2,700
Sanofi
2.625%, 03/29/16		2,960		3,009
Thermo Fisher Scientific
4.500%, 03/01/21		455		474
3.200%, 03/01/16		1,425		1,477
UnitedHealth Group
6.875%, 02/15/38		505		591
5.950%, 02/15/41		1,695		1,790
5.800%, 03/15/36		560		581
5.700%, 10/15/40		970		994
3.875%, 10/15/20		1,020		1,009
WellPoint
5.875%, 06/15/17		350		404
Wyeth
5.950%, 04/01/37		3,610		3,992

				41,206


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)


Industrials — 1.1%
Air 2 US
8.027%, 10/01/19 (C)	$	1,763	$	1,772
Allied Waste North America
6.875%, 06/01/17		605		657
American Airlines, Ser 2011-1 Cl A Pass-Through Trust
5.250%, 01/31/21		113		110
Boeing
4.875%, 02/15/20		2,760		3,023
Burlington Northern Santa Fe LLC
7.290%, 06/01/36		200		243
5.750%, 05/01/40		1,846		1,937
5.400%, 06/01/41		200		201
4.700%, 10/01/19 (D)		375		401
Canadian National Railway
5.850%, 11/15/17 (D)		150		176
Cargill
7.350%, 03/06/19 (C)		400		494
Caterpillar
5.200%, 05/27/41		3,765		3,805
3.900%, 05/27/21		1,260		1,263
Continental Airlines
5.983%, 04/19/22 (D)		3,101		3,191
Continental Airlines, Ser 1999-1 Cl A Pass-Through Trust
6.545%, 02/02/19		138		146
Continental Airlines, Ser 1999-2 Cl C-2 Pass-Through Trust
7.256%, 03/15/20		1,230		1,322
6.236%, 03/15/20		1,994		2,014
Continental Airlines, Ser 2000-1 Cl A-1 Pass-Through Trust
8.048%, 11/01/20		2,381		2,592
CSX
7.375%, 02/01/19		460		566
6.300%, 03/15/12 (D)		110		115
4.250%, 06/01/21		65		65
Delta Air Lines, Ser 2001-1 Cl A-2 Pass-Through Trust
7.111%, 09/18/11		14,850		15,110
Delta Air Lines, Ser 2007-1 Cl A Pass-Through Trust
6.821%, 08/10/22 (D)		1,947		2,024
Delta Air Lines, Ser 2010-2 Cl A Pass-Through Trust
4.950%, 05/23/19 (D)		276		276
Delta Air Lines, Ser 2011-1 Cl A Pass-Through Trust
5.300%, 04/15/19		87		87
General Electric
5.250%, 12/06/17 (D)		250		281
International Lease Finance MTN
6.750%, 09/01/16 (C)		4,150		4,503


SEI Institutional Investments Trust / Annual Report / May 31, 2011			91

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

6.500%, 09/01/14 (C)	$	4,190	$	4,504
5.250%, 01/10/13		400		412
JetBlue Airways Private Trust, Ser 2004-2, Cl G1
0.636%, 08/15/16 (B)		4,854		4,393
Koninklijke Philips Electronics
7.200%, 06/01/26		300		362
Lockheed Martin
5.720%, 06/01/40 (C)		405		433
Norfolk Southern
6.000%, 05/23/11		527		534
Northrop Grumman
1.850%, 11/15/15		3,205		3,141
Pitney Bowes
5.600%, 03/15/18 (D)		100		108
5.000%, 03/15/15 (D)		225		245
4.875%, 08/15/14 (D)		325		350
Raytheon
3.125%, 10/15/20		810		765
Ryder System MTN
3.600%, 03/01/16 (D)		132		136
Systems 2001 AT LLC
6.664%, 09/15/13 (C)		164		176
Tyco International Finance
8.500%, 01/15/19		170		216
Tyco International Group
6.000%, 11/15/13		1,735		1,917
Union Pacific
7.000%, 02/01/16		500		596
Union Pacific Railroad 2003 Pass- Through Trust
4.698%, 01/02/24 (D)		169		180
United Parcel Service
4.500%, 01/15/13		1,740		1,846
United Parcel Service of America
8.375%, 04/01/20 (D)		140		191
United Technologies
8.875%, 11/15/19		400		549
5.400%, 05/01/35		670		719
Verisk Analytics
5.800%, 05/01/21		1,475		1,563
Waste Management
7.125%, 12/15/17		1,720		2,052
4.750%, 06/30/20 (D)		299		313

				72,075


Information Technology — 0.3%
Adobe Systems
4.750%, 02/01/20		1,835		1,914
Arrow Electronics
6.875%, 07/01/13		100		109
6.875%, 06/01/18		270		302
6.000%, 04/01/20		225		243
3.375%, 11/01/15		40		41


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

BAE Systems Holdings
5.200%, 08/15/15 (C)	$	360	$	392
Cisco Systems
5.900%, 02/15/39		250		270
5.500%, 01/15/40 (D)		500		512
Dell
5.650%, 04/15/18 (D)		415		468
Hewlett-Packard
4.300%, 06/01/21		2,400		2,419
2.950%, 08/15/12		80		82
HP Enterprise Services LLC
7.450%, 10/15/29		500		638
International Business Machines
8.000%, 10/15/38		100		141
7.625%, 10/15/18 (D)		365		467
Intuit
5.750%, 03/15/17		255		290
Juniper Networks
5.950%, 03/15/41		1,560		1,636
Microsoft
5.300%, 02/08/41		5,025		5,248
4.500%, 10/01/40		61		57
1.625%, 09/25/15		405		403
National Semiconductor
6.600%, 06/15/17		500		598
Oracle
6.500%, 04/15/38 (D)		100		118
5.375%, 07/15/40 (C)		97		100
5.000%, 07/08/19		450		496
Texas Instruments
1.375%, 05/15/14		3,180		3,194
Xerox
8.250%, 05/15/14		320		377
4.500%, 05/15/21		80		80

				20,595


Materials — 0.6%
ArcelorMittal
6.750%, 03/01/41		915		922
5.500%, 03/01/21 (D)		1,673		1,685
Barrick Gold
6.950%, 04/01/19		1,760		2,126
2.900%, 05/30/16 (C)		4,090		4,101
Barrick North America Finance LLC
4.400%, 05/30/21 (C)		650		653
BHP Billiton Finance USA
6.500%, 04/01/19 (D)		445		539
Braskem Finance
5.750%, 04/15/21 (C)		1,625		1,625
Dow Chemical
8.550%, 05/15/19 (D)		2,757		3,590
7.600%, 05/15/14		410		478
5.900%, 02/15/15 (D)		1,605		1,822


92		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

4.850%, 08/15/12	$	3,015	$	3,152
4.250%, 11/15/20 (D)		118		117
E.I. du Pont de Nemours
4.900%, 01/15/41		125		122
1.950%, 01/15/16 (D)		162		160
Freeport-McMoRan Copper & Gold
8.375%, 04/01/17		3,005		3,294
Nacional del Cobre de Chile
4.750%, 10/15/14 (C)		900		968
Potash Corp of Saskatchewan
6.500%, 05/15/19		250		295
4.875%, 03/30/20		10		11
PPG Industries
9.000%, 05/01/21		515		683
6.650%, 03/15/18		715		853
5.750%, 03/15/13		615		663
Praxair
5.200%, 03/15/17		215		245
4.375%, 03/31/14		250		271
Rio Tinto Finance USA
8.950%, 05/01/14 (D)		265		321
6.500%, 07/15/18		5,080		5,983
4.125%, 05/20/21		770		772
3.500%, 11/02/20		77		74
Stauffer Chemical
5.702%, 04/15/17 (A) (F) (G)		350		84
5.831%, 04/15/18 (A) (F) (G)		860		182
Union Carbide
7.750%, 10/01/96 (D)		200		222
Vale Overseas
8.250%, 01/17/34		365		457
6.875%, 11/21/36		2,958		3,257

				39,727


Sovereign — 0.6%
Chile Government International Bond
3.875%, 08/05/20		2,615		2,602
Japan Finance Organization for Municipalities
4.000%, 01/13/21		3,600		3,681
Korea Development Bank
3.250%, 03/09/16 (D)		2,585		2,592
MDC-GMTN MTN
5.500%, 04/20/21 (C)		815		836
Province of Manitoba Canada
2.125%, 04/22/13		162		166
Province of Ontario Canada
2.950%, 02/05/15		850		894
Province of Quebec Canada MTN
6.350%, 01/30/26		270		338
Qatar Government International Bond
4.000%, 01/20/15 (C)		4,460		4,678


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Republic of Hungary
6.375%, 03/29/21	$	3,459	$	3,619
Republic of Indonesia
4.875%, 05/05/21 (C)		1,600		1,624
Russian Federation
7.500%, 03/31/30		932		1,098
Svensk Exportkredit
3.250%, 09/16/14		4,484		4,764
1.750%, 10/20/15		5,600		5,572
United Mexican States MTN
7.500%, 04/08/33		218		274
6.375%, 01/16/13		350		378
6.050%, 01/11/40		2,686		2,851
5.625%, 01/15/17		84		94
5.125%, 01/15/20		1,072		1,152
United Mexican States, Ser A MTN
6.750%, 09/27/34		448		521

				37,734


Telecommunication Services — 1.9%
America Movil
5.625%, 11/15/17		1,450		1,641
5.000%, 10/16/19 (D)		1,540		1,626
5.000%, 03/30/20		740		783
American Tower
5.050%, 09/01/20		917		920
4.500%, 01/15/18		3,270		3,290
AT&T
8.000%, 11/15/31		43		57
6.700%, 11/15/13		500		563
6.550%, 02/15/39 (D)		2,010		2,218
6.400%, 05/15/38 (D)		1,370		1,480
6.300%, 01/15/38		8,590		9,185
5.600%, 05/15/18		400		450
5.500%, 02/01/18 (D)		150		167
5.350%, 09/01/40		1,431		1,365
5.100%, 09/15/14		2,410		2,667
4.850%, 02/15/14		500		547
4.450%, 05/15/21		2,710		2,760
2.950%, 05/15/16		3,745		3,799
BellSouth
6.550%, 06/15/34		200		222
4.750%, 11/15/12		190		201
BellSouth Telecommunications
6.300%, 12/15/15		225		241
British Telecommunications
9.875%, 12/15/30		155		221
5.950%, 01/15/18		1,711		1,919
Cellco Partnership
8.500%, 11/15/18		2,125		2,784
7.375%, 11/15/13		810		924
Comcast Cable Communications LLC
8.875%, 05/01/17		150		192


SEI Institutional Investments Trust / Annual Report / May 31, 2011			93

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Comcast Cable Holdings LLC
10.125%, 04/15/22	$	190	$	265
COX Communications
5.450%, 12/15/14		1,105		1,235
Cox Enterprises
7.375%, 07/15/27 (C)		170		194
Crown Castle Towers LLC
3.214%, 08/15/15 (C)		290		295
Deutsche Telekom International Finance
5.750%, 03/23/16		2,175		2,476
Deutsche Telekom International Finance BV
6.000%, 07/08/19 (D)		600		697
DIRECTV Holdings LLC
6.000%, 08/15/40		3,000		3,077
4.600%, 02/15/21 (D)		400		405
3.500%, 03/01/16		1,345		1,387
France Telecom
8.500%, 03/01/31		170		236
Frontier Communications
8.500%, 04/15/20		885		970
8.250%, 04/15/17		2,660		2,919
8.125%, 10/01/18		895		983
GTE
8.750%, 11/01/21 (D)		600		804
6.840%, 04/15/18		800		943
NBC Universal
5.950%, 04/01/41 (C) (D)		200		206
4.375%, 04/01/21 (C) (D)		1,471		1,462
2.875%, 04/01/16 (C)		2,824		2,832
New Cingular Wireless Services
8.125%, 05/01/12		1,255		1,339
News America
7.300%, 04/30/28		500		566
6.650%, 11/15/37		260		284
6.200%, 12/15/34		315		327
6.150%, 03/01/37		3,365		3,488
6.150%, 02/15/41 (C) (D)		2,730		2,800
News America Holdings
8.875%, 04/26/23		200		269
7.700%, 10/30/25		200		248
Qwest
7.875%, 09/01/11		1,560		1,580
Reed Elsevier Capital
8.625%, 01/15/19 (D)		2,310		2,963
Sprint Capital
8.750%, 03/15/32		390		430
8.375%, 03/15/12		5,300		5,578
6.900%, 05/01/19		120		125
TCI Communications
8.750%, 08/01/15		701		863
7.125%, 02/15/28		400		470


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Telecom Italia Capital
6.999%, 06/04/18	$	500	$	560
6.175%, 06/18/14		100		109
4.950%, 09/30/14		3,910		4,140
Telefonica Emisiones
5.984%, 06/20/11		2,080		2,085
Telefonica Emisiones SAU
6.221%, 07/03/17		895		999
5.877%, 07/15/19		115		124
5.462%, 02/16/21		69		72
5.134%, 04/27/20		960		981
2.582%, 04/26/13		3,930		3,987
Telefonica Moviles Chile
2.875%, 11/09/15 (C)		1,480		1,466
Telemar Norte Leste
5.500%, 10/23/20 (C)		3,415		3,351
Verizon Communications
8.750%, 11/01/18 (D)		194		255
6.100%, 04/15/18		3,649		4,207
6.000%, 04/01/41		2,415		2,548
5.850%, 09/15/35		150		157
5.500%, 02/15/18		2,810		3,143
4.600%, 04/01/21		1,910		1,979
3.000%, 04/01/16 (D)		2,048		2,094
1.950%, 03/28/14 (D)		4,500		4,588
Verizon Global Funding
7.750%, 12/01/30 (D)		3,690		4,677
7.375%, 09/01/12		1,730		1,870
Verizon Maryland
7.150%, 05/01/23		600		645
Vodafone Group
5.450%, 06/10/19		226		253

				127,228


Utilities — 2.0%
AEP Texas Central Transition Funding LLC
5.090%, 07/01/15		8,975		9,856
4.980%, 07/01/13		3,991		4,157
AGL Capital
5.875%, 03/15/41		73		76
5.250%, 08/15/19		170		184
4.450%, 04/15/13		400		423
Alabama Power
6.125%, 05/15/38		69		79
5.875%, 12/01/22		275		314
Ameren
8.875%, 05/15/14		2,035		2,384
American Water Capital
6.085%, 10/15/17		400		462
Appalachian Power
5.950%, 05/15/33		200		209
4.600%, 03/30/21 (D)		150		153
Arizona Public Services
8.000%, 12/30/15		459		493


94		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Atmos Energy
4.950%, 10/15/14	$	260	$	284
Carolina Power & Light
5.300%, 01/15/19		400		450
Cedar Brakes II LLC
9.875%, 09/01/13 (C)		2,308		2,426
CenterPoint Energy Houston Electric LLC
7.000%, 03/01/14		250		287
CenterPoint Energy Resources
4.500%, 01/15/21 (C)		246		250
Cleveland Electric Illuminating
7.880%, 11/01/17		310		382
CMS Energy
5.050%, 02/15/18 (D)		2,055		2,140
2.750%, 05/15/14		1,290		1,299
Comision Federal de Electricidad
4.875%, 05/26/21 (C)		249		247
Consolidated Edison of New York
5.700%, 06/15/40 (D)		154		168
Consumers Energy
6.700%, 09/15/19 (D)		400		485
Dominion Resources
8.875%, 01/15/19		4,905		6,405
6.400%, 06/15/18		300		351
5.700%, 09/17/12		3,560		3,778
DPL
6.875%, 09/01/11		3,220		3,267
Duke Energy
6.300%, 02/01/14		415		466
5.625%, 11/30/12		425		454
Duke Energy Carolinas LLC
4.300%, 06/15/20		195		204
3.900%, 06/15/21 (D)		200		202
Duke Energy Indiana
3.750%, 07/15/20		180		180
Duquesne Light Holdings
5.900%, 12/01/21 (C)		1,875		1,897
Enel Finance International
6.000%, 10/07/39 (C)		2,505		2,373
5.125%, 10/07/19 (C) (D)		500		522
3.875%, 10/07/14 (C)		860		903
Exelon
5.625%, 06/15/35		2,515		2,456
Exelon Generation LLC
6.250%, 10/01/39		130		135
5.750%, 10/01/41		86		84
5.200%, 10/01/19		125		132
4.000%, 10/01/20		588		566
FirstEnergy Solutions
6.800%, 08/15/39 (D)		880		943
6.050%, 08/15/21 (D)		1,110		1,221
FirstEnergy, Ser B
6.450%, 11/15/11		14		14


Description	Face Amount ($ Thousands)			Market Value ($ Thousands)

FirstEnergy, Ser C
7.375%, 11/15/31 (D)	$	4,845		$	5,632
Great Plains Energy
4.850%, 06/01/21		482			490
Indiana Michigan Power
7.000%, 03/15/19 (D)		170			204
Jersey Central Power & Light
7.350%, 02/01/19		500			612
KCP&L Greater Missouri Operations
11.875%, 07/01/12		3,660			4,062
8.270%, 11/15/21		2,894			3,448
Korea Hydro & Nuclear Power
3.125%, 09/16/15 (C) (D)		2,165			2,160
Massachusetts Electric
5.900%, 11/15/39 (C) (D)		210			227
MidAmerican Energy
5.300%, 03/15/18		750			838
Midamerican Energy Holdings
6.500%, 09/15/37 (D)		4,540			5,246
Nevada Power
8.250%, 06/01/11		5,015			5,015
7.125%, 03/15/19		400			486
5.375%, 09/15/40		45			45
Niagara Mohawk Power
4.881%, 08/15/19 (C) (D)		180			194
Nisource Finance
6.800%, 01/15/19		3,547			4,147
6.125%, 03/01/22		2,400			2,697
Northern States Power
6.250%, 06/01/36 (D)		350			415
5.350%, 11/01/39		56			59
Oncor Electric Delivery
6.800%, 09/01/18 (D)		4,535			5,358
Pacific Gas & Electric
8.250%, 10/15/18 (D)		1,320			1,714
5.800%, 03/01/37		840			892
5.400%, 01/15/40		156			157
PacifiCorp
6.250%, 10/15/37		310			360
5.650%, 07/15/18		100			115
5.500%, 01/15/19		400			454
PPL WEM Holdings
5.375%, 05/01/21 (C)		2,350			2,465
3.900%, 05/01/16 (C)		2,370			2,446
Progress Energy
6.850%, 04/15/12		1,525			1,606
6.000%, 12/01/39 (D)		200			218
PSEG Power LLC			��
5.500%, 12/01/15		445			493
5.320%, 09/15/16		126			139
5.125%, 04/15/20		120			127
Public Service Electric & Gas MTN
5.375%, 11/01/39		97			101
2.700%, 05/01/15		135			138


SEI Institutional Investments Trust / Annual Report / May 31, 2011			95

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Public Service of New Mexico
7.950%, 05/15/18	$	3,000	$	3,438
Public Service of Oklahoma
5.150%, 12/01/19		220		237
Puget Energy
6.000%, 09/01/21 (C)		1,735		1,735
Sempra Energy
8.900%, 11/15/13		400		464
6.500%, 06/01/16		135		158
6.000%, 10/15/39 (D)		170		183
2.000%, 03/15/14		3,715		3,748
Southern
4.150%, 05/15/14		85		91
Southern California Edison
6.650%, 04/01/29		200		233
5.500%, 03/15/40		170		181
4.650%, 04/01/15		200		219
Southern Union
8.250%, 11/15/29		5,770		6,983
Southwestern Public Service
8.750%, 12/01/18		300		388
Tennessee Valley Authority
5.250%, 09/15/39		1,828		1,997
4.625%, 09/15/60		2,761		2,675
3.875%, 02/15/21		3,090		3,213
Texas-New Mexico Power
9.500%, 04/01/19 (C)		875		1,134
Virginia Electric and Power
5.400%, 04/30/18		300		339

				133,937

Total Corporate Obligations (Cost $1,574,788) ($ Thousands)				1,609,401


U.S. TREASURY OBLIGATIONS — 20.0%
U.S. Treasury Bill
0.035%, 09/08/11 (A) (H)		1,770		1,770

U.S. Treasury Bonds
8.875%, 08/15/17 (D)		20,460		28,625
8.875%, 02/15/19		1,911		2,776
8.750%, 05/15/17		5,690		7,862
8.750%, 05/15/20		2,000		2,949
8.750%, 08/15/20		6,550		9,695
8.500%, 02/15/20		1,000		1,450
8.125%, 08/15/19		1,305		1,841
8.000%, 11/15/21 (D)		11,085		15,973
7.625%, 02/15/25		24,515		35,485
7.500%, 11/15/16 (D)		20,700		26,832
6.750%, 08/15/26		250		340
6.500%, 11/15/26		100		133
6.375%, 08/15/27		200		264
6.125%, 11/15/27		250		322
6.000%, 02/15/26		100		127
5.500%, 08/15/28		200		242
5.375%, 02/15/31		1,000		1,199


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

4.750%, 02/15/41 (D)	$	63,474	$	69,296
4.625%, 02/15/17 (D)		30,500		34,968
4.500%, 02/15/36 (D)		16,047		16,992
4.375%, 11/15/39		3,190		3,279
4.375%, 05/15/40 (D)		33,957		34,864
4.375%, 05/15/41 (D)		17,551		18,015
4.250%, 11/15/40 (D)		41,452		41,633
3.875%, 08/15/40 (H)		98,890		93,065
3.500%, 02/15/39 (D)		4,000		3,534
3.250%, 12/31/16		3,720		3,987
2.625%, 12/31/14		7,500		7,920
2.625%, 11/15/20 (D)		22,645		21,960
2.375%, 10/31/14 (D)		22,541		23,605

				509,233

U.S. Treasury Inflation-Protected Securities
3.875%, 04/15/29		585		799
3.625%, 04/15/28		11,302		14,857
2.375%, 01/15/27		332		378
2.125%, 02/15/41		4,674		5,023
1.750%, 01/15/28		27		28

				21,085

U.S. Treasury Notes
4.750%, 08/15/17		8,245		9,529
4.500%, 05/15/17		530		604
4.250%, 11/15/17		103,610		116,675
3.750%, 11/15/18 (D)		5,400		5,880
3.625%, 02/15/21 (D)		27,742		29,175
3.500%, 02/15/18		2,500		2,696
3.125%, 10/31/16		4,400		4,695
3.125%, 04/30/17		1,150		1,221
3.125%, 05/15/19		7,279		7,554
3.125%, 05/15/21 (D)		46,377		46,674
2.875%, 03/31/18 (D)		37,120		38,431
2.750%, 05/31/17 (D)		19,985		20,783
2.750%, 12/31/17		5,000		5,157
2.750%, 02/28/18 (D)		7,880		8,106
2.625%, 07/31/14		2,800		2,955
2.500%, 05/31/18		130		130
2.375%, 03/31/16		2,000		2,071
2.125%, 12/31/15		690		709
2.000%, 01/31/16		2,880		2,941
2.000%, 04/30/16 (D)		81,172		82,510
1.875%, 02/28/14		1,000		1,032
1.750%, 05/31/16		28,310		28,394
1.375%, 02/15/13		8,330		8,471
1.250%, 02/15/14 (D)		118,315		120,117
1.250%, 04/15/14 (D)		5,320		5,396
1.000%, 05/15/14 (D)		62,590		63,001
0.750%, 11/30/11		44,155		44,295
0.625%, 04/30/13 (D)		39,300		39,441
0.500%, 05/31/13		14,683		14,693
0.500%, 11/15/13		230		229

				713,565


96		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

U.S. Treasury STRIPS (A)
6.321%, 05/15/24	$	800	$	485
5.293%, 02/15/21		200		145
4.977%, 11/15/27		31,590		16,070
4.917%, 05/15/26		500		271
4.863%, 11/15/31		200		82
4.792%, 11/15/29		850		383
4.780%, 08/15/25		400		226
4.749%, 08/15/28		1,000		482
4.738%, 08/15/27		2,490		1,262
4.715%, 02/15/27		2,100		1,092
4.690%, 05/15/27		3,500		1,796
4.669%, 02/15/28		1,100		544
4.610%, 02/15/25		20,280		11,920
4.597%, 08/15/30		1,550		673
4.591%, 05/15/36		300		97
4.587%, 02/15/24		75		46
4.578%, 05/15/33		1,000		377
4.567%, 02/15/34		250		91
4.555%, 05/15/29		100		46
4.555%, 02/15/30		1,950		869
4.536%, 08/15/24		200		120
4.490%, 11/15/30		1,700		728
4.477%, 05/15/28		300		146
4.357%, 11/15/24		450		265
4.295%, 11/15/20		1,000		737
4.278%, 11/15/26		750		395
4.221%, 05/15/30		9,550		4,288
4.069%, 02/15/32		950		382
4.022%, 05/15/19		2,450		1,963
3.995%, 02/15/17		19,420		17,255
3.918%, 05/15/20		4,900		3,709
3.907%, 02/15/22		800		550
3.780%, 08/15/17		4,000		3,479
3.768%, 02/15/26		400		219
3.712%, 08/15/18		800		665
3.632%, 11/15/17		6,150		5,291
3.551%, 02/15/18		1,350		1,148
3.409%, 08/15/20		10,350		7,724
3.313%, 08/15/19		5,525		4,370
3.268%, 11/15/21		1,900		1,325
3.170%, 08/15/16		5,100		4,630
3.014%, 08/15/21		500		354
2.971%, 02/15/16		250		232
2.882%, 02/15/14		8,550		8,385
2.751%, 05/15/14		2,150		2,098
2.721%, 02/15/15		200		192
2.170%, 11/15/16		410		368
0.000%, 11/15/32		200		77

				108,052

Total U.S. Treasury Obligations (Cost $1,311,777) ($ Thousands)				1,353,705


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES — 6.2%

Automotive — 0.6%
Ally Auto Receivables Trust, Ser 2009-A, Cl A3
2.330%, 06/17/13 (C)	$	500	$	505
Ally Auto Receivables Trust, Ser 2010-1, Cl A3
1.450%, 05/15/14		285		287
Ally Auto Receivables Trust, Ser 2010-3, Cl A4
1.550%, 08/17/15		357		359
Ally Auto Receivables Trust, Ser 2010-3, Cl A3
1.110%, 10/15/14		920		924
Ally Auto Receivables Trust, Ser 2010-4, Cl A3
0.910%, 11/17/14		3,247		3,252
Ally Auto Receivables Trust, Ser 2010-5, Cl A4
1.750%, 03/15/16		2,066		2,078
Ally Auto Receivables Trust, Ser 2011-1, Cl A3
1.380%, 01/15/15		285		287
Ally Auto Receivables Trust, Ser 2011-1, Cl A2
0.810%, 10/15/13		450		451
AmeriCredit Automobile Receivables Trust, Ser 2010-1, Cl A2
0.980%, 01/15/13		30		30
AmeriCredit Automobile Receivables Trust, Ser 2010-1, Cl A3
1.770%, 03/17/14		115		116
AmeriCredit Automobile Receivables Trust, Ser 2010-3, Cl A3
1.140%, 04/08/15		445		446
AmeriCredit Automobile Receivables Trust, Ser 2010-4, Cl A2
0.960%, 05/08/14		500		501
AmeriCredit Automobile Receivables Trust, Ser 2010-4, Cl A3
1.270%, 04/08/15		250		251
AmeriCredit Automobile Receivables Trust, Ser 2011-1, Cl A2
0.840%, 06/09/14		480		480
AmeriCredit Automobile Receivables Trust, Ser 2011-1, Cl A3
1.390%, 09/08/15		200		201
Avis Budget Rental Car Funding AESOP LLC, Ser 2010-3A, Cl A
4.640%, 05/20/16 (C)		1,000		1,087
Avis Budget Rental Car Funding AESOP LLC, Ser 2010-5A, Cl A
3.150%, 03/20/17 (C)		440		450


SEI Institutional Investments Trust / Annual Report / May 31, 2011			97

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Bank of America Auto Trust, Ser 2009-1A, Cl A4
3.520%, 06/15/16 (C)	$	200	$	206
Bank of America Auto Trust, Ser 2009-1A, Cl A3
2.670%, 07/15/13 (C)		304		306
Bank of America Auto Trust, Ser 2009-2A, Cl A3
2.130%, 09/15/13 (C)		405		408
Bank of America Auto Trust, Ser 2009-3A, Cl A3
1.670%, 12/15/13 (C)		268		269
Bank of America Auto Trust, Ser 2010-1A, Cl A3
1.390%, 03/15/14 (C)		396		398
Bank of America Auto Trust, Ser 2010-1A, Cl A4
2.180%, 02/15/17 (C)		310		318
Bank of America Auto Trust, Ser 2010-2, Cl A3
1.310%, 07/15/14		150		151
CarMax Auto Owner Trust, Ser 2010-1, Cl A3
1.560%, 07/15/14		300		302
CarMax Auto Owner Trust, Ser 2011-1, Cl A4
2.290%, 09/15/16		530		540
CarMax Auto Owner Trust, Ser 2011-1, Cl A3
1.380%, 09/15/15		500		503
Chrysler Financial Auto Securitization Trust, Ser 2009-A, Cl A3
2.820%, 01/15/16		157		159
Chrysler Financial Auto Securitization Trust, Ser 2010-A, Cl A3
0.910%, 08/08/13		1,000		1,002
CitiFinancial Auto Issuance Trust, Ser 2009-1, Cl A3
2.590%, 10/15/13 (C)		695		704
Ford Credit Auto Owner Trust, Ser 2009-B, Cl A3
2.790%, 08/15/13		204		206
Ford Credit Auto Owner Trust, Ser 2009-B, Cl A4
4.942%, 07/15/14		300		315
Harley-Davidson Motorcycle Trust, Ser 2006-3, Cl A4
5.220%, 06/15/13		43		43
Harley-Davidson Motorcycle Trust, Ser 2009-1, Cl A4
4.550%, 01/15/17		179		185


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Harley-Davidson Motorcycle Trust, Ser 2009-2, Cl A4
3.320%, 02/15/17	$	278	$	285
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		101
Harley-Davidson Motorcycle Trust, Ser 2010-1, Cl A3
1.160%, 02/15/15		1,838		1,843
Hertz Vehicle Financing LLC, Ser 2009-2A, Cl A2
5.290%, 03/25/16 (C)		2,100		2,334
Honda Auto Receivables Owner Trust, Ser 2009-3, Cl A4
3.300%, 09/15/15		250		259
Honda Auto Receivables Owner Trust, Ser 2009-3, Cl A3
2.310%, 05/15/13		1,536		1,549
Hyundai Auto Receivables Trust, Ser 2010-B, Cl A3
0.970%, 04/15/15		340		341
Hyundai Auto Receivables Trust, Ser 2010-B, Cl A4
1.630%, 03/15/17		375		375
Hyundai Auto Receivables Trust, Ser 2011-A, Cl A4
1.780%, 12/15/15		365		369
Hyundai Auto Receivables Trust, Ser 2011-A, Cl A3
1.160%, 04/15/15		345		347
Hyundai Auto Receivables Trust, Ser 2011-B, Cl A4
1.650%, 02/15/17		288		289
Hyundai Auto Receivables Trust, Ser 2011-B, Cl A3
1.040%, 09/15/15		257		258
LAI Vehicle Lease Securitization Trust, Ser 2010-A, Cl A
2.550%, 09/15/16 (C)		704		704
MMCA Automobile Trust, Ser 2011-A, Cl A4
2.020%, 10/17/16 (C)		2,847		2,879
Nissan Auto Receivables Owner Trust, Ser 2010-A, Cl A3
0.870%, 07/15/14		380		380
Nissan Auto Receivables Owner Trust, Ser 2010-A, Cl A4
1.310%, 09/15/16		300		301
Nissan Auto Receivables Owner Trust, Ser 2011-A, Cl A4
1.940%, 09/15/17		1,837		1,863


98		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Santander Drive Auto Receivables Trust, Ser 2011-S2A, Cl B
2.060%, 06/15/17 (C)	$	280	$	280
Toyota Auto Receivables Owner Trust, Ser 2010-C, Cl A3
0.770%, 04/15/14		765		766
Toyota Auto Receivables Owner Trust, Ser 2011-A, Cl A4
1.560%, 05/15/15		415		419
Toyota Auto Receivables Owner Trust, Ser 2011-A, Cl A3
0.980%, 10/15/14		845		849
USAA Auto Owner Trust, Ser 2009-2, Cl A3
1.540%, 02/18/14		329		331
USAA Auto Owner Trust, Ser 2009-2, Cl A4
2.530%, 07/15/15		365		376
Volkswagen Auto Loan Enhanced Trust, Ser 2011-1, Cl A4
1.980%, 09/20/17		3,493		3,537
Westlake Automobile Receivables Trust, Ser 2011-1A, Cl A2
1.080%, 07/15/13 (C)		217		217
Westlake Automobile Receivables Trust, Ser 2011-1A, Cl A3
1.490%, 06/16/14 (C)		303		303
World Omni Auto Receivables Trust, Ser 2010-A, Cl A4
2.210%, 05/15/15		550		562

				40,050


Credit Cards — 0.7%
Capital One Multi-Asset Execution Trust, Ser 2006-A5, Cl A5
0.279%, 01/15/16 (B)		1,005		1,003
Capital One Multi-Asset Execution Trust, Ser 2007-A4, Cl A4
0.228%, 03/16/15 (B)		1,830		1,828
Chase Issuance Trust, Ser 2007-A17, Cl A
5.120%, 10/15/14		6,980		7,412
Chase Issuance Trust, Ser 2009-A2, Cl A2
1.748%, 04/15/14 (B)		2,295		2,323
Citibank Credit Card Issuance Trust, Ser 2005-A2, Cl A2
4.850%, 03/10/17		2,505		2,789
Citibank Credit Card Issuance Trust, Ser 2009-A4, Cl A4
4.900%, 06/23/16		2,020		2,233
Citibank Credit Card Issuance Trust, Ser 2009-A5, Cl A5
2.250%, 12/23/14		3,275		3,355


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Citibank Omni Master Trust, Ser 2009-A14A, Cl A14
2.948%, 08/15/18 (B) (C)	$	7,118	$	7,548
Discover Card Master Trust, Ser 2007-A2, Cl A2
0.650%, 06/15/15 (B)		5,538		5,546
Discover Card Master Trust, Ser 2009-A1, Cl A1
1.498%, 12/15/14 (B)		1,815		1,836
GE Capital Credit Card Master Note Trust, Ser 2009-2, Cl A
3.690%, 07/15/15		2,760		2,853
MBNA Master Credit Card Trust, Ser 1997-B, Cl A
0.358%, 08/15/14 (B)		6,783		6,781
World Financial Network Credit Card Master Trust, Ser 2009-A, Cl A
4.600%, 09/15/15		3,367		3,424

				48,931


Mortgage Related Securities — 0.9%
ABFS Mortgage Loan Trust, Ser 2002-3, Cl A
4.763%, 09/15/33		6		6
ABS Home Equity, Ser 2001-HE3, Cl A1
0.738%, 11/15/31 (B)		213		182
ACE Securities, Ser 2006-SL3, Cl A1
0.294%, 06/25/36 (B)		6,172		1,435
AFC Home Equity Loan Trust, Ser 2000-1, Cl 2A
0.434%, 03/25/30 (B)		2,282		790
Arch Bay Asset-Backed Securities, Ser 2010-2, Cl A
4.125%, 04/25/57 (B) (C)		455		454
Argent Securities, Ser 2004-W5, Cl AV2
0.714%, 04/25/34 (B)		1,113		950
Asset-Backed Funding Certificates, Ser 2005-AQ1, Cl A4
5.010%, 06/25/35		743		747
Bear Stearns Asset-Backed Securities Trust, Ser 2005-TC2, Cl A3
0.564%, 08/25/35 (B)		7,140		6,171
Citicorp Residential Mortgage Securities, Ser 2006-2, Cl A4
5.775%, 09/25/36		6,000		5,916
Citigroup Mortgage Loan Trust, Ser 2007-AHL1, Cl A2A
0.234%, 12/25/36 (B)		331		317
Conseco Finance Home Loan Trust, Ser 2001-D, Cl A5
6.190%, 11/15/32 (B)		3,452		3,518


SEI Institutional Investments Trust / Annual Report / May 31, 2011			99

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

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
1.018%, 09/15/29 (B)		310		247
EMC Mortgage Loan Trust, Ser 2002-AA, Cl A1
0.664%, 05/25/39 (B) (C)		809		643
GSAA Trust, Ser 2005-6, Cl A3
0.564%, 06/25/35 (B)		4,100		3,111
Home Equity Asset Trust, Ser 2007-2, Cl 2A1
0.304%, 07/25/37 (B)		1,733		1,690
HSBC Home Equity Loan Trust, Ser 2005-2, Cl M2
0.686%, 01/20/35 (B)		488		428
HSBC Home Equity Loan Trust, Ser 2005-2, Cl A1
0.466%, 01/20/35 (B)		4,385		3,951
HSBC Home Equity Loan Trust, Ser 2006-1, Cl A1
0.356%, 01/20/36 (B)		6,883		6,235
HSBC Home Equity Loan Trust, Ser 2006-2, Cl A1
0.346%, 03/20/36 (B)		343		318
HSBC Home Equity Loan Trust, Ser 2007-1, Cl A2F
5.600%, 03/20/36		750		763
HSBC Home Equity Loan Trust, Ser 2007-1, Cl AS
0.396%, 03/20/36 (B)		275		250
HSBC Home Equity Loan Trust, Ser 2007-3, Cl APT
1.396%, 11/20/36 (B)		787		714
Lake Country Mortgage Loan Trust, Ser 2006-HE1, Cl A3
0.544%, 07/25/34 (B) (C)		1,065		1,027
Morgan Stanley ABS Capital I, Ser 2004-WMC3, Cl M1
0.944%, 01/25/35 (B)		183		181
Morgan Stanley ABS Capital I, Ser 2007-HE2, Cl A2A
0.234%, 01/25/37 (B)		155		151
Morgan Stanley Home Equity Loans, Ser 2007-1, Cl A1
0.244%, 12/25/36 (B)		82		81
Morgan Stanley Mortgage Loan Trust, Ser 2007-3XS, Cl 2A3S
5.858%, 01/25/47		31		20
MSDWCC Heloc Trust, Ser 2003-1, Cl A
0.734%, 11/25/15 (B)		49		46


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Option One Mortgage Loan Trust, Ser 2001-4, Cl A
0.794%, 01/25/32 (B)	$	198	$	178
Option One Mortgage Loan Trust, Ser 2007-1, Cl 2A3
0.334%, 01/25/37 (B)		17,000		6,408
Renaissance Home Equity Loan Trust, Ser 2005-2, Cl AF3
4.499%, 08/25/35		739		737
Residential Asset Securities, Ser 2005-KS9, Cl A3
0.564%, 10/25/35 (B)		500		476
Residential Funding Mortgage Securities II, Ser 2000-HI1, Cl AI7
8.790%, 02/25/25		671		671
Salomon Brothers Mortgage Securities VII, Ser 2003-UP1, Cl A
3.450%, 04/25/32 (C)		296		255
Saxon Asset Securities Trust, Ser 2003-1, Cl AF6
4.795%, 06/25/33		377		383
Security National Mortgage Loan Trust, Ser 2007-1A, Cl 2A
0.544%, 04/25/37 (B) (C)		859		599
Structured Asset Securities, Ser 2002-AL1, Cl A2
3.450%, 02/25/32		328		311
Structured Asset Securities, Ser 2005-NC1, Cl A11
4.690%, 02/25/35		934		946
Terwin Mortgage Trust, Ser 2005-9HGS, Cl A1
4.000%, 08/25/35 (B) (C)		248		240
UCFC Home Equity Loan, Ser 1998-D, Cl MF1
6.905%, 04/15/30		36		36
Wells Fargo Home Equity Trust, Ser 2004-2, Cl AI6
5.000%, 05/25/34 (B)		7,000		7,164

				58,751


Other Asset-Backed Securities — 4.0%
AH Mortgage Advance Trust, Ser 2010-ADV1, Cl A1
3.968%, 08/15/22 (C)		765		775
AH Mortgage Advance Trust, Ser 2011-1, Cl A2, PO
0.000%, 05/10/43 (C)		2,334		2,346
AH Mortgage Advance Trust, Ser 2011-1, Cl A1, PO
0.000%, 05/10/42 (C)		735		738
Aircastle Aircraft Lease Backed Trust, Ser 2007-1A, Cl G1
0.466%, 06/14/37 (B) (C)		4,083		3,736


100		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Ally Master Owner Trust, Ser 2011-1, Cl A2
2.150%, 01/15/16	$	10,065	$	10,242
Ally Master Owner Trust, Ser 2011-3, Cl A1
0.204%, 05/15/16 (B)		1,803		1,803
Ally Master Owner Trust, Ser 2011-3, Cl A2
1.870%, 05/15/16		2,325		2,335
Ameriquest Mortgage Securities, Ser 2005-R3, Cl A3D
0.514%, 05/25/35 (B)		3,671		3,404
Amortizing Residential Collateral Trust CMO, Ser 2002-BC1, Cl A
0.874%, 01/25/32 (B)		405		308
Babcock & Brown Air Funding I, Ser 2007-1A, Cl G1
0.498%, 11/14/33 (B) (C)		5,159		4,630
Brazos Higher Education Authority, Ser 2010-1, Cl A2
1.511%, 02/25/35 (B)		5,700		5,428
Brazos Higher Education Authority, Ser 2011-1, Cl A3
1.359%, 11/25/33 (B)		3,700		3,461
CenterPoint Energy Transition Bond LLC, Ser 2001-1, Cl A4
5.630%, 09/15/15		2,756		2,940
CenterPoint Energy Transition Bond LLC, Ser 2008-A, Cl A1
4.192%, 02/01/20		1,455		1,570
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A4
4.499%, 11/25/34		432		430
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A5
5.350%, 11/25/34		500		444
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A7
4.277%, 11/25/34		905		866
CIT Education Loan Trust, Ser 2007-1, Cl A
0.398%, 03/25/42 (B) (C)		4,643		4,245
Citicorp Residential Mortgage Securities, Ser 2006-2, Cl A5
6.036%, 09/25/36		6,340		5,497
CNH Equipment Trust, Ser 2009-C, Cl A3
1.850%, 12/16/13		90		91
CNH Equipment Trust, Ser 2010-A, Cl A3
1.540%, 07/15/14		493		496


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

CNH Equipment Trust, Ser 2010-C, Cl A3
1.170%, 05/15/15	$	1,000	$	1,003
CNH Equipment Trust, Ser 2011-A, Cl A4
2.040%, 10/17/16		213		215
CNH Equipment Trust, Ser 2011-A, Cl A3
1.200%, 05/16/16		350		351
Conseco Finance Home Loan Trust, Ser 2000-E, Cl M1
8.130%, 08/15/31 (B)		1,425		1,393
Consumer Funding LLC, Ser 2001-1, Cl A5
5.430%, 04/20/15		822		863
Countrywide Asset-Backed Certificates, Ser 2002-BC1, Cl A
0.854%, 04/25/32 (B)		59		34
Countrywide Asset-Backed Certificates, Ser 2003-BC2, Cl 2A1
0.794%, 06/25/33 (B)		115		105
Countrywide Asset-Backed Certificates, Ser 2006-15, Cl A3
5.689%, 10/25/46 (B)		208		136
Countrywide Asset-Backed Certificates, Ser 2006-SD3, Cl A1
0.524%, 07/25/36 (B) (C)		425		259
Countrywide Asset-Backed Certificates, Ser 2007-QH1, Cl A1
0.394%, 02/25/37 (B) (C)		1,134		749
Countrywide Asset-Backed Certificates, Ser 2007-SD1, Cl A1
0.663%, 03/25/47 (B) (C)		866		432
Countrywide Home Equity Loan Trust, Ser 2004-K, Cl 2A
0.498%, 02/15/34 (B)		742		460
Countrywide Home Equity Loan Trust, Ser 2005-F, Cl 2A
0.438%, 12/15/35 (B)		1,729		911
Credit Suisse First Boston Mortgage Securities, Ser 2001-MH29, Cl A
5.600%, 09/25/31		341		348
Credit-Based Asset Servicing and Securitization LLC, Ser 2006-CB2, Cl AF2
5.501%, 12/25/36		646		447
Credit-Based Asset Servicing and Securitization LLC, Ser 2006-CB2, Cl AF4
5.704%, 12/25/36		1,519		1,062
Credit-Based Asset Servicing and Securitization LLC, Ser 2007-RP1, Cl A
0.504%, 05/25/46 (B) (C)		11,472		7,477


SEI Institutional Investments Trust / Annual Report / May 31, 2011			101

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Educational Funding of the South, Ser 2011-1, Cl A2
0.923%, 04/25/35 (B)	$	3,000	$	2,841
Equity One, Ser 2003-2, Cl M1
5.050%, 09/25/33 (B)		419		356
First Horizon Asset Back Trust, Ser 2004-HE2, Cl A
0.414%, 02/25/34 (B)		736		511
Ford Credit Floorplan Master Owner Trust, Ser 2011-1, Cl A1
2.240%, 02/15/16		2,145		2,183
GE Seaco Finance, Ser 2005-1A, Cl A
0.447%, 11/17/20 (B) (C)		5,558		5,349
Genesis Funding, Ser 2006-1A, Cl G1
0.437%, 12/19/32 (B) (C)		5,377		4,866
Goal Capital Funding Trust, Ser 2006-1, Cl A3
0.377%, 11/25/26 (B)		6,816		6,433
Green Tree Financial, Ser 1996-5, Cl A6
7.750%, 07/15/27		330		338
Green Tree, Ser 2008-MH1, Cl A2
8.970%, 04/25/38 (B) (C)		3,550		3,972
Greenpoint Manufactured Housing, Ser 2000-6, Cl A3
2.213%, 11/22/31		1,350		1,141
Greenpoint Manufactured Housing, Ser 2001-2, Cl IA2
3.704%, 02/20/32 (B)		1,175		999
Greenpoint Manufactured Housing, Ser 2001-2, Cl IIA2
3.698%, 03/13/32 (B)		1,700		1,445
GSAMP Trust, Ser 2006-SD2, Cl A1
0.304%, 05/25/46 (B) (C)		650		644
Illinois Student Assistance Commission, Ser 2010-1, Cl A3
1.174%, 07/25/45 (B)		6,900		6,666
John Deere Owner Trust, Ser 2009-A, Cl A3
2.590%, 10/15/13		71		71
John Deere Owner Trust, Ser 2009-B, Cl A3
1.570%, 10/15/13		348		350
John Deere Owner Trust, Ser 2011-A, Cl A3
1.290%, 01/15/16		335		337
John Deere Owner Trust, Ser 2011-A, Cl A4
1.960%, 04/16/18		285		289
JPMorgan Mortgage Acquisition, Ser 2007-CH1, Cl AF6
5.501%, 11/25/36		9,060		8,202


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Keycorp Student Loan Trust, Ser 2002-A, Cl 1A2
0.445%, 08/27/31 (B)	$	4,007	$	3,553
Keycorp Student Loan Trust, Ser 2003-A, Cl 1A2
0.534%, 10/25/32 (B)		2,470		2,326
Lehman XS Trust, Ser 2005-5N, Cl 1A1
0.494%, 11/25/35 (B)		3,634		2,685
Lehman XS Trust, Ser 2005-7N, Cl 1A1B
0.494%, 12/25/35 (B)		2,934		1,127
Lehman XS Trust, Ser 2006-GP1, Cl A4A
0.524%, 05/25/46 (B)		7,619		1,530
Lone Star CDO Funding, Ser IX, Cl A
0.936%, 12/15/12 (G)		1,040		1,035
Merit Securities, Ser 1999-13, Cl A4
7.932%, 12/28/33 (B)		2,751		2,958
Mid-State Trust, Ser 2003-11, Cl A1
4.864%, 07/15/38		3,377		3,314
Mid-State Trust, Ser 2006-1, Cl A
5.787%, 10/15/40 (C)		6,254		6,570
Nelnet Student Loan Trust, Ser 2004-3, Cl A5
0.454%, 10/27/36 (B)		3,275		3,058
Nelnet Student Loan Trust, Ser 2005-4, Cl A3
0.439%, 06/22/26 (B)		4,215		4,078
Nelnet Student Loan Trust, Ser 2006-1, Cl A4
0.349%, 11/23/22 (B)		2,672		2,621
Nelnet Student Loan Trust, Ser 2006-2, Cl A4
0.354%, 10/26/26 (B)		648		643
Nelnet Student Loan Trust, Ser 2008-3, Cl A4
1.907%, 11/25/24 (B)		8,407		8,759
Nelnet Student Loan Trust, Ser 2008-4, Cl A4
1.754%, 04/25/24 (B)		3,700		3,798
Newcastle Investment Trust, Ser 2011-MH1, Cl A
2.450%, 12/10/33 (C)		333		334
Northstar Education Finance, Ser 2007-1, Cl A3
0.333%, 01/29/46 (B)		4,000		3,572
Origen Manufactured Housing, Ser 2002-A, Cl A1
0.438%, 05/15/32 (B)		26		24
Park Place Securities, Ser 2004-MHQ1, Cl M1
0.894%, 12/25/34 (B)		5,837		5,628
Park Place Securities, Ser 2005-WCW1, Cl A3D
0.534%, 09/25/35 (B)		2,178		2,021


102		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

PennyMac Loan Trust, Ser 2010-NPL1, Cl A
4.250%, 05/25/50 (B) (C)	$	239	$	238
PennyMac Loan Trust, Ser 2010-NPL1, Cl M1
5.000%, 05/25/50 (B) (C)		800		800
Popular ABS Mortgage Pass-Through Trust, Ser 2007-A, Cl A3
0.504%, 06/25/47 (B)		10,380		4,908
PSE&G Transition Funding LLC, Ser 2001-1, Cl A6
6.610%, 06/15/15		710		755
RAAC Series, Ser 2007-SP3, Cl A1
1.394%, 09/25/47 (B)		326		258
Real Estate Asset Trust, Ser 2011-2A, Cl A1
5.750%, 05/25/49 (C)		628		628
Real Estate Asset Trust, Ser 2011-3A, Cl A1
5.440%, 06/25/31 (C)		779		779
Residential Asset Mortgage Products, Ser 2005-EFC5, Cl A3
0.534%, 10/25/35 (B)		600		514
Residential Credit Solutions Trust, Ser 2011-1, Cl A1
6.000%, 03/25/41 (C)		1,103		1,100
RSB Bondco LLC, Ser 2007-A, Cl A3
5.820%, 06/28/19		2,470		2,884
SLC Student Loan Trust, Ser 2008-1, Cl A4A
1.910%, 12/15/32 (B)		6,594		6,820
SLM Student Loan Trust, Ser 2003-11, Cl A6
0.600%, 12/15/25 (B) (C)		1,900		1,817
SLM Student Loan Trust, Ser 2004-7, Cl A5
0.444%, 01/27/20 (B)		3,167		3,149
SLM Student Loan Trust, Ser 2005-6, Cl A5A
0.384%, 07/27/26 (B)		11,370		11,031
SLM Student Loan Trust, Ser 2005-8, Cl A3
0.384%, 10/25/24 (B)		10,249		10,073
SLM Student Loan Trust, Ser 2006-3, Cl A4
0.354%, 07/25/19 (B)		3,316		3,289
SLM Student Loan Trust, Ser 2006-5, Cl A5
0.384%, 01/25/27 (B)		2,830		2,680
SLM Student Loan Trust, Ser 2008-4, Cl A4
1.924%, 07/25/22 (B)		1,784		1,859
SLM Student Loan Trust, Ser 2008-4, Cl A2
1.324%, 07/25/16 (B)		1,852		1,881


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

SLM Student Loan Trust, Ser 2008-5, Cl A4
1.974%, 07/25/23 (B)	$	5,716	$	5,976
SLM Student Loan Trust, Ser 2008-5, Cl A3
1.574%, 01/25/18 (B)		1,147		1,179
SLM Student Loan Trust, Ser 2008-6, Cl A2
0.824%, 10/25/17 (B)		1,028		1,030
SLM Student Loan Trust, Ser 2008-9, Cl A
1.774%, 04/25/23 (B)		3,026		3,125
SLM Student Loan Trust, Ser 2011-2, Cl A1
0.810%, 11/25/27 (B)		3,729		3,729
SLM Student Loan Trust, Ser 2011-A, Cl A2
4.370%, 04/17/28 (C)		1,389		1,440
SMS Student Loan Trust, Ser 2000-A, Cl A2
0.463%, 10/28/28 (B)		2,553		2,543
South Carolina Student Loan, Ser 2005-2005, Cl A2
0.430%, 12/01/20 (B)		3,500		3,340
Structured Asset Investment Loan Trust, Ser 2005-5, Cl A9
0.464%, 06/25/35 (B)		300		279
TAL Advantage LLC, Ser 2010-2A, Cl A
4.300%, 10/20/25 (C)		2,439		2,549
TAL Advantage LLC, Ser 2011-1A, Cl A
4.600%, 01/20/26 (C)		580		599
TAL Advantage LLC, Ser 2011-2A, Cl A
4.310%, 05/20/26 (C)		1,200		1,209
Textainer Marine Containers, Ser 2005-1A, Cl A
0.450%, 05/15/20 (B) (C)		2,760		2,670
Triton Container Finance LLC, Ser 2006-1A, Cl NOTE
0.360%, 11/26/21 (B) (C)		3,767		3,579
Triton Container Finance LLC, Ser 2007-1A, Cl NOTE
0.330%, 02/26/19 (B) (C)		2,344		2,250
Wells Fargo Home Equity Trust, Ser 2007-2, Cl A1
0.284%, 04/25/37 (B)		2,334		2,268

				271,885

Total Asset-Backed Securities (Cost $428,563) ($ Thousands)				419,617


SEI Institutional Investments Trust / Annual Report / May 31, 2011			103

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)


U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.2%
FFCB
1.500%, 11/16/15	$	7,830	$	7,783
FHLB
3.625%, 10/18/13		1,400		1,496
0.500%, 11/16/12 to 12/20/12 (D)		27,725		27,748
0.460%, 03/14/12		4,790		4,790
0.321%, 02/10/12 (A)		9,350		9,329
0.120%, 06/15/11 (A)		10,000		10,000
0.115%, 06/17/11 (A)		8,100		8,100
FICO STRIPS
9.800%, 04/06/18		7,590		10,922
9.700%, 04/05/19		5,100		7,456
8.600%, 09/26/19		5,655		7,894
FICO STRIPS, PO
0.000%, 02/08/18 to 09/26/19		23,945		19,400
FNMA
7.735%, 10/09/19 (A)		670		471
7.125%, 01/15/30		4,090		5,546
6.250%, 05/15/29		3,730		4,634
5.375%, 06/12/17		250		292
5.250%, 08/01/12		2,800		2,957
5.000%, 02/13/17		5,000		5,747
0.375%, 12/28/12		3,730		3,731
5.100%, 06/01/17 (A)		1,500		1,285
Resolution Funding STRIPS (A)
3.610%, 07/15/20		1,600		1,175
3.235%, 01/15/16		7,570		6,938

Total U.S. Government Agency Obligations (Cost $143,216) ($ Thousands)				147,694


MUNICIPAL BONDS — 0.6%
American Municipal Power, RB
7.499%, 02/15/50		495		546
City of Chicago Illinois, Ser A, RB Callable 01/01/21 @ 100
5.625%, 01/01/35		200		202
City of Chicago Illinois, Ser C, RB Callable 01/01/21 @ 100
5.500%, 01/01/31		410		416
County of Clark Nevada, RB
6.820%, 07/01/45		1,895		2,100
Los Angeles, California Community College District, Build America Project, GO
6.750%, 08/01/49		1,775		2,101
Los Angeles, California Department of Water & Power Revenue, Build America Project, GO
6.574%, 07/01/45		1,990		2,273


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Louisiana Public Facilities Authority, RB
4.500%, 02/01/14	$	225	$	228
Municipal Electric Authority of Georgia, RB
6.637%, 04/01/57		1,457		1,439
New Jersey State Turnpike Authority, RB
7.102%, 01/01/41		2,310		2,731
New York State Dormitory Authority, RB
5.600%, 03/15/40		280		291
North Texas Tollway Authority, RB
6.718%, 01/01/49		2,025		2,247
Port Authority of New York & New Jersey, RB
5.647%, 11/01/40		490		507
State of California, Build America Project, GO
7.600%, 11/01/40		2,305		2,737
7.300%, 10/01/39		3,620		4,129
6.650%, 03/01/22		1,700		1,925
State of Illinois, GO
5.877%, 03/01/19		1,390		1,460
5.665%, 03/01/18		5,617		5,924
5.365%, 03/01/17		1,390		1,460
5.100%, 06/01/33		4,600		4,050
Virginia Housing Development Authority, Ser 2006-C, Cl CTFS, RB Callable 07/25/11 @ 100
6.000%, 06/25/34		511		511

Total Municipal Bonds (Cost $33,698) ($ Thousands)				37,277


REPURCHASE AGREEMENTS — 5.2%
Barclays Capital
0.090%, dated 05/31/11, to be repurchased on 06/01/11, repurchase price $117,279,293 (collateralized by a U.S. Treasury Obligation, par value $119,030,000, 0.750%, 05/31/12; with total market value $119,659,597)		117,279		117,279
Credit Suisse
0.060%, dated 05/31/11, to be repurchased on 06/01/11, repurchase price $91,656,153 (collateralized by a U.S. Treasury Obligation, par value $91,771,000, 1.375%, 05/15/13; with total market value $95,267,475)		91,656		91,656


104		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)/ Shares		Market Value ($ Thousands)

Deutsche
0.090%, dated 05/31/11, to be repurchased on 06/01/11, repurchase price $140,065,350 (collateralized by a U.S. Treasury Obligation, par value 160,082,000, 3.500%, 02/15/39; with total market value $146,074,825)	$	140,065	$	140,065

Total Repurchase Agreements (Cost $349,000) ($ Thousands)				349,000


COMMERCIAL PAPER — 0.8%
Barclays US Funding
0.220%, 07/13/11		8,015		8,013
BNP Paribas Finance
0.300%, 08/26/11		12,780		12,773
Deutsche Bank Financial LLC
0.210%, 07/25/11		8,280		8,277
National Rural Utilities Cooperative Finance
0.130%, 07/15/11		8,535		8,533
0.120%, 06/22/11		4,885		4,885
UBS Finance Delaware LLC
0.180%, 07/13/11		12,615		12,614

Total Commercial Paper (Cost $55,092) ($ Thousands)				55,095


AFFILIATED PARTNERSHIP — 10.6%
SEI Liquidity Fund, L.P. 0.150%†*(I)		725,146,741		715,583

Total Affiliated Partnership (Cost $725,146) ($ Thousands)				715,583


CASH EQUIVALENT — 5.2%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.050%†*		354,986,692		354,987

Total Cash Equivalent (Cost $354,987) ($ Thousands)				354,987

Total Investments — 121.9% (Cost $8,115,841) ($ Thousands)			$	8,241,160


Description	Contracts			Market Value ($ Thousands)


WRITTEN OPTIONS — 0.0%
September 2011 U.S. 10-Year Note Call, Expires 08/26/11, Strike Price: $122.00**		(180	)	$	(321	)
November 2020 U.S. CPI Urban Consumers NSA Call, Expires 11/23/20, Strike Inflation 0.00%**		(7,020,000	)		(36	)

Total Written Options (Premiums Received $260) ($ Thousands)					(357	)

A summary of the open futures contracts held by the Fund at May 31, 2011 is as follows:


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
3-Month Euro EURIBOR		115			Mar-2012	$	184
3-Month Euro EURIBOR		357			Sep-2011		158
90-Day Euro$		65			Dec-2012		147
90-Day Euro$		(26	)		Jun-2011		(294	)
Euro-Bobl		1			Jun-2011		3
U.S. 10-Year Treasury Note		(623	)		Sep-2011		(648	)
U.S. 10-Year Treasury Note		153			Sep-2011		138
U.S. 2-Year Treasury Note		(483	)		Sep-2011		(153	)
U.S. 5-Year Treasury Note		(1,251	)		Sep-2011		(814	)
U.S. Long Treasury Bond		(651	)		Sep-2011		(627	)
U.S. Ultra Long Treasury Bond		289			Sep-2011		491

						$	(1,415	)

A summary of the outstanding forward foreign currency contracts held by the Fund at May 31, 2011, is as follows:

Settlement
Date

Currency
to Deliver
(Thousands)

Currency
to Receive
(Thousands)

Unrealized
Appreciation
($ Thousands)

8/18/11

EUR

21,741

USD

31,515

329

A summary of the counterparties for the outstanding forward foreign currency contracts held by the Fund at May 31, 2011, is as follows:


Counterparty	Settlement Date		Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation ($ Thousands)
Morgan Stanley		8/18/11		(31,186	)		31,515	$	329


SEI Institutional Investments Trust / Annual Report / May 31, 2011			105

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Concluded)

May 31, 2011

A summary of outstanding swap agreements held by the Fund at May 31, 2011, 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		$	(1,794	)
Bank of America	CMBX-NA-AJ 1 Index	BUY		(0.84	)		10/12/52		5,500			(2,611	)
Bank of America	CMBX-NA-AJ 1 Index	BUY		(0.84	)		10/12/52		4,445			(593	)
Barclays Bank PLC	CMBX-NA-AJ 1 Index	BUY		(0.84	)		10/12/52		2,000			46
Barclays Bank PLC	CMBX-NA-AJ 1 Index	BUY		(0.84	)		10/12/52		2,000			26
Barclays Bank PLC	CMBX-NA-AJ 1 Index	BUY		(0.84	)		10/12/52		4,880			(2,342	)
Citigroup	DR Horton, Inc., 5.375% 6/15/12	BUY		(1.00	)		09/20/16		1,020			33
Credit Suisse	CMBX-NA-AJ 1 Index	BUY		(0.84	)		10/12/52		390			(186	)
Credit Suisse	Toll Brothers Inc., 5.150% 05/15/15	BUY		(1.00	)		09/20/16		6,700			298
Deutsche Bank	DR Horton, Inc., 5.375% 6/15/12	BUY		(1.00	)		09/20/16		800			15
Deutsche Bank	Metlife Inc 5.0% 06/15/18	SELL		1.00			06/20/18		(3,560	)		29
Goldman Sachs	DR Horton, Inc., 5.375% 6/15/12	BUY		(1.00	)		09/20/16		795			15
Morgan Stanley	CMBX-NA-AAA 3 Index	SELL		(0.08	)		12/13/49		(8,180	)		(58	)

											$	(7,122	)


Interest Rate Swaps
Counterparty	Fund Pays	Fund Receives	Termination Date	Notional Amount (Thousands)		Net Unrealized Appreciation (Depreciation) ($Thousands)
Morgan Stanley	0.00%	3MLIBOR (PAYMENT AT MATURITY)	11/15/27		29,630,000	$	(2,222	)
Morgan Stanley	0.00%	3MLIBOR (PAYMENT AT MATURITY)	02/15/25		19,470,000		(1,646	)

						$	(3,868	)

Total Return Swaps

Counterparty

Reference Entity/
Obligation

Fund Pays

Fund Receives

Termination Date

Notional Amount
(Thousands)

Net Unrealized
Appreciation
(Depreciation)
($Thousands)

Deutsche Bank

10S.FN30. 450.09

1 Month LIBOR

Price Return

01/12/40

5,039

)

Morgan Stanley

TRX.NA.AAA.1.SEP11

Negative Index Spread Differential

Commencing Index Spread

10/01/11

Morgan Stanley

TRX.NA.AAA.1.DEC11

Negative Index Spread Differential

Commencing Index Spread

01/01/12

1,610

)

Morgan Stanley

TRX.NA.AAA.1.DEC11

Negative Index Spread Differential

Commencing Index Spread

01/01/12

890

)

(11

)

Percentages are based on a Net Assets of $6,761,399 ($ Thousands).

The rate reported is the 7-day effective yield as of May 31, 2011.

Non-income producing securitiy.

‡

Real Estate Investment Trust

†

Investment in Affiliated Security (see Note 5).

(A)

The rate reported is the effective yield at time of purchase.

(B)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of May 31, 2011. The date reported on the Schedule of Investments is the final maturity date.

(C)

(D)

This security or a partial position of this security is on loan at May 31, 2011. The total value of securities on loan at May 31, 2011 was $706,285 ($ Thousands).

(E)

Security in default on interest payments.

(F)

Securities considered illiquid. The total value of such securities as of May 31, 2011 was 5,421 ($ Thousands) and represented 0.01% of Net Assets.

(G)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of May 31, 2011 was $1,301 and represented 0.00% of Net Assets.

(H)

Security, or portion thereof, has been pledged as collateral on open futures contracts.

(I)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of May 31, 2011 was $715,583 ($ Thousands).

ABS — Asset-Backed Security

ARM — Adjustable Rate Mortgage

CDO — Collateralized Debt Obligation

Cl — Class

CPI — Consumer Price Index

CMO — Collateralized Mortgage Obligation

DN — Discount Note

EUR — Euro

FFCB — Federal Farm Credit Bank

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

IO — Interest Only — face amount represents notional amount

LLC — Limited Liability Company

L.P. — Limited Partnership

LIBOR — London Interbank Offered Rate

MTN — Medium Term Note

NCUA — National Credit Union Administration

PLC — Public Limited Company

PO — Principal Only

Re-REMIC — Resecuritization of Real Estate Mortgage Investment Conduit


106		SEI Institutional Investments Trust / Annual Report / May 31, 2011

RB — Revenue Bond

REIT — Real Estate Investment Trust

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

STRIPS — Separately Traded Registered Interest and Principal Securities

TBA — To Be Announced

USD — United States Dollar

The following is a summary of the inputs used as of May 31, 2011, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Mortgage-Backed Securities	$	—	$	3,198,801	$	—	$	3,198,801
Corporate Obligations		—		1,609,131		270		1,609,401
U.S. Treasury Obligations		—		1,353,705		—		1,353,705
Asset-Backed Securities		—		418,582		1,035		419,617
U.S. Government Agency Obligations		—		147,694		—		147,694
Affiliated Partnership		—		715,583		—		715,583
Commercial Paper		—		55,095		—		55,095
Municipal Bonds		—		37,277		—		37,277
Cash Equivalent		354,987		—		—		354,987
Repurchase Agreements		—		349,000		—		349,000

Total Investments in Securities	$	354,987	$	7,884,868	$	1,305	$	8,241,160


Securities Sold Short	Level 1			Level 2			Level 3		Total
Written Options	$	(321	)	$	(36	)	$	—	$	(357	)

Total Securities Sold Short	$	(321	)	$	(36	)	$	—	$	(357	)


Other Financial Instruments	Level 1			Level 2			Level 3		Total
Futures Contracts*	$	(1,415	)	$	—		$	—	$	(1,415	)
Forwards Contracts		—			329			—		329
Credit Default Swaps		—			(7,122	)		—		(7,122	)
Total Return Swaps		—			(3,868	)		—		(3,868	)
Interest Rate Swaps		—			(11	)		—		(11	)

Total Other Financial Instruments	$	(1,415	)	$	(10,672	)	$	—	$	(12,087	)

Futures contracts are valued at the unrealized depreciation 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 Mortgage-Backed Securities			Investments in Corporate Obligations			Investments in Asset-Backed Securities
Beginning balance as June 1, 2010	$	13,273		$	265		$	3,334
Accrued discounts/premiums		—			46			1
Realized gain/(loss)		—			—			(1	)
Change in unrealized appreciation/(depreciation)		1			(41	)		86
Net purchases/sales		(5,681	)		—			(1,946	)
Net transfer in and/or out of Level 3		(7,593	)		—			(439	)

Ending balance as of May 31, 2011	$	—		$	270		$	1,035

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	—		$	5		$	26

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

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

The accompanying notes are an integral part of the financial statements.


SEI Institutional Investments Trust / Annual Report / May 31, 2011			107

SCHEDULE OF INVESTMENTS

High Yield Bond Fund

May 31, 2011

LOGO


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS — 84.4%

Consumer Discretionary — 15.9%
Adelphia Communications (escrow security)
10.250%, 06/15/11	$	125	$	2
7.875%, 01/15/09		250		4
7.750%, 05/01/09		75		1
Adelphia Communications, Ser B (escrow security)
9.500%, 02/15/04		25		—
Allison Transmission
7.125%, 05/15/19 (A)		1,880		1,866
AMC Entertainment
9.750%, 12/01/20 (A)		3,145		3,338
8.750%, 06/01/19		220		236
American Axle & Manufacturing
9.250%, 01/15/17 (A)		110		122
7.875%, 03/01/17		2,960		3,034
American Standard Americas
10.750%, 01/15/16 (A)		1,500		1,571
American Tire Distributors
9.750%, 06/01/17		775		837
Ameristar Casinos
7.500%, 04/15/21 (A)		1,285		1,333
Ashtead Capital
9.000%, 08/15/16 (A)		1,279		1,343
Avis Budget Car Rental LLC
9.625%, 03/15/18		525		576
8.250%, 01/15/19		555		575
7.750%, 05/15/16		1,310		1,348
Beazer Homes USA
9.125%, 06/15/18		460		437
9.125%, 05/15/19 (A)		1,610		1,525
Belo
8.000%, 11/15/16		2,575		2,836


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

7.750%, 06/01/27	$	2,025	$	1,883
Bon-Ton Department Stores
10.250%, 03/15/14		960		977
Brands
6.625%, 04/01/21		385		401
Brown Shoe
7.125%, 05/15/19 (A)		1,105		1,072
Buffalo Thunder Development Authority
9.375%, 12/15/14 (A) (B)		2,050		820
Burlington Coat Factory Warehouse
10.000%, 02/15/19 (A)		7,825		7,845
Cablevision Systems
8.625%, 09/15/17		515		581
8.000%, 04/15/20		1,050		1,152
7.750%, 04/15/18		900		976
Caesars Entertainment Operating
11.250%, 06/01/17		9,980		11,227
10.000%, 12/15/18		4,218		3,902
5.750%, 10/01/17		400		294
Cedar Fair
9.125%, 08/01/18 (A)		1,600		1,746
Chrysler Group LLC
8.250%, 06/15/21 (A)		2,190		2,185
8.000%, 06/15/19 (A)		945		943
Chukchansi Economic Development Authority
3.943%, 11/15/12 (A) (C)		2,185		1,797
Cinemark USA
7.375%, 06/15/21 (A)		160		160
Citadel Broadcasting
7.750%, 12/15/18 (A)		588		636
CityCenter Holdings LLC
7.625%, 01/15/16 (A)		1,070		1,097
CKE Restaurants
11.375%, 07/15/18		5,335		5,842
Claire’s Stores
8.875%, 03/15/19 (A)		810		778
Continental Airlines 2007-1 Class C Pass-Through Trust
7.339%, 04/19/14		1,779		1,779
Cumulus Media
7.750%, 05/01/19 (A)		1,000		1,000
Dana Escrow (escrow security)
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		28
Dana Holding
6.750%, 02/15/21		1,519		1,519
6.500%, 02/15/19		1,859		1,850
Dave & Buster’s
11.000%, 06/01/18		1,545		1,684


108		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Dave & Buster’s Parent
12.250%, 02/15/16 (A) (D)	$	7,825	$	4,499
Delphi
5.875%, 05/15/19 (A)		1,909		1,894
Dex One
12.000%, 01/29/17		1,174		534
Diamond Resorts
12.000%, 08/15/18 (A)		1,250		1,347
DineEquity
9.500%, 10/30/18 (A)		5,940		6,504
Dollar General
11.875%, 07/15/17		1,520		1,736
Dunkin’ Brands
9.625%, 12/01/18 (A)		2,484		2,506
Easton-Bell Sports
9.750%, 12/01/16		2,925		3,283
El Dorado Casino Shreveport PIK
10.000%, 08/01/12		1,102		1,025
Eldorado Resorts LLC
8.625%, 06/15/19 (A)		4,165		4,144
Empire Today LLC
11.375%, 02/01/17 (A)		500		533
Entravision Communications
8.750%, 08/01/17		1,960		2,083
Equinox Holdings
9.500%, 02/01/16 (A)		1,255		1,343
Exide Technologies
8.625%, 02/01/18 (A)		1,400		1,487
Ferrellgas
9.125%, 10/01/17		2,500		2,800
6.500%, 05/01/21 (A)		3,060		3,049
Fontainebleau Las Vegas
11.000%, 06/15/15 (A) (B)		3,500		2
Ford Motor
7.450%, 07/16/31		1,290		1,465
6.375%, 02/01/29		1,080		1,065
Giraffe Acquisition
9.125%, 12/01/18 (A)		955		891
Goodyear Tire & Rubber
10.500%, 05/15/16		214		242
8.750%, 08/15/20		110		123
8.250%, 08/15/20		1,545		1,696
Greektown Superholdings
13.000%, 07/01/15		1,750		1,978
13.000%, 07/01/15		3,390		3,831
GWR Operating Partnership LLP
10.875%, 04/01/17		870		948
Hanesbrands
8.000%, 12/15/16		4,650		5,045
6.375%, 12/15/20		582		572
Hillman Group
10.875%, 06/01/18		890		979
10.875%, 06/01/18 (A)		70		77


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

HSN
11.250%, 08/01/16	$	1,700	$	1,921
Icon Health & Fitness
11.875%, 10/15/16 (A)		755		791
Inergy
8.750%, 03/01/15		552		591
7.000%, 10/01/18 (A)		2,175		2,240
6.875%, 08/01/21 (A)		210		216
Intcomex
13.250%, 12/15/14		4,515		4,696
International Automotive Components Group
9.125%, 06/01/18 (A)		950		971
Isle of Capri Casinos
7.000%, 03/01/14		1,787		1,774
J Crew Group
8.125%, 03/01/19 (A)		1,025		984
Jaguar Land Rover
8.125%, 05/15/21 (A)		1,440		1,469
Jarden
7.500%, 05/01/17		1,875		1,997
JC Penney
7.950%, 04/01/17		950		1,078
5.750%, 02/15/18		120		123
Lamar Media
7.875%, 04/15/18		2,470		2,655
Lear
7.875%, 03/15/18		405		444
Libbey Glass
10.000%, 02/15/15		1,187		1,294
Lions Gate Entertainment
10.250%, 11/01/16 (A)		3,965		4,079
Live Nation Entertainment
8.125%, 05/15/18 (A)		1,500		1,519
Liz Claiborne
10.500%, 04/15/19 (A)		1,450		1,486
M/I Homes
8.625%, 11/15/18 (A)		2,150		2,112
McClatchy
11.500%, 02/15/17		4,475		4,900
MDC Partners
11.000%, 11/01/16		3,980		4,423
11.000%, 11/01/16 (A)		530		584
MediMedia USA
11.375%, 11/15/14 (A)		1,547		1,330
MGM Resorts International
11.375%, 03/01/18		6,525		7,504
11.125%, 11/15/17		1,830		2,123
9.000%, 03/15/20		5,445		6,058
7.500%, 06/01/16		2,435		2,386
6.875%, 04/01/16		250		239
6.750%, 04/01/13		100		102
5.875%, 02/27/14		225		223


SEI Institutional Investments Trust / Annual Report / May 31, 2011			109

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Michaels Stores
13.000%, 11/01/11 (E)	$	500	$	520
11.375%, 11/01/16 (A)		21		23
7.750%, 11/01/18 (A)		1,165		1,191
MTR Gaming Group
12.625%, 07/15/14		4,116		4,342
NAI Entertainment Holdings LLC
8.250%, 12/15/17 (A)		2,021		2,183
Needle Merger Sub
8.125%, 03/15/19 (A)		1,150		1,164
Niska Gas Storage US LLC
8.875%, 03/15/18		1,845		1,983
Norcraft Holdings
10.500%, 12/15/15 (A)		935		979
Peninsula Gaming LLC
10.750%, 08/15/17 (A)		2,080		2,298
8.375%, 08/15/15		3,150		3,370
Penn National Gaming
6.750%, 03/01/15		3,490		3,569
Penske Automotive Group
7.750%, 12/15/16		1,700		1,751
Petco Animal Supplies
9.250%, 12/01/18 (A)		1,075		1,153
Phillips-Van Heusen
7.375%, 05/15/20		3,825		4,131
Pinafore LLC
9.000%, 10/01/18 (A)		2,595		2,848
Pinnacle Entertainment
8.750%, 05/15/20		5,410		5,829
Quebecor Media
7.750%, 03/15/16		3,045		3,159
7.750%, 03/15/16		290		301
Quiksilver
6.875%, 04/15/15		2,025		1,980
QVC
7.500%, 10/01/19 (A)		4,215		4,542
7.375%, 10/15/20 (A)		400		429
Regal Entertainment
9.125%, 08/15/18		2,150		2,284
Rent-A-Center
6.625%, 11/15/20 (A)		960		958
River Rock Entertainment Authority
9.750%, 11/01/11		4,717		4,151
RJ Tower
12.000%, 06/01/13 (B)		210		1
Royal Caribbean Cruises
7.250%, 06/15/16		390		421
Sabre Holdings
8.350%, 03/15/16		1,850		1,674
Salem Communications
9.625%, 12/15/16		1,037		1,112
Sally Holdings LLC
9.250%, 11/15/14		1,220		1,279
San Pasqual Casino
8.000%, 09/15/13 (A)		1,530		1,522


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Sbarro
10.375%, 02/01/15 (B)	$	1,866	$	373
Sealy Mattress
8.250%, 06/15/14		3,360		3,360
Seneca Gaming
8.250%, 12/01/18 (A)		4,840		5,082
Service International
7.625%, 10/01/18		205		226
7.000%, 06/15/17		30		33
7.000%, 05/15/19		620		657
6.750%, 04/01/15		965		1,036
6.750%, 04/01/16		330		354
Seven Seas Cruises LLC
9.125%, 05/15/19 (A)		1,395		1,433
Shingle Springs Tribal Group
9.375%, 06/15/15 (A)		300		217
Simmons Bedding
11.250%, 07/15/15 (A)		2,640		2,812
Sirius XM Radio
9.750%, 09/01/15 (A)		1,380		1,551
8.750%, 04/01/15 (A)		1,950		2,179
Stanadyne Holdings
12.000%, 02/15/15		1,500		1,534
Stanadyne Holdings, Ser 1
10.000%, 08/15/14		1,275		1,300
Standard Pacific
10.750%, 09/15/16		2,275		2,628
8.375%, 05/15/18		429		436
8.375%, 01/15/21		730		732
Steinway Musical Instruments
7.000%, 03/01/14 (A)		2,223		2,256
Stewart Enterprises
6.500%, 04/15/19 (A)		430		434
Stoneridge
9.500%, 10/15/17 (A)		1,200		1,326
Suburban Propane Partners
7.375%, 03/15/20		500		535
Travelport LLC
11.875%, 09/01/16		3,035		2,640
9.875%, 09/01/14		900		835
4.921%, 09/01/14 (C)		894		778
UAL 1995 Pass-Through Trust A, Ser 95A1
9.020%, 04/19/12		445		178
UAL 2009-1 Pass-Through Trust
10.400%, 11/01/16		1,473		1,677
Uncle Acquisition 2010
8.625%, 02/15/19 (A)		700		735
United Air Lines
12.000%, 11/01/13 (A)		1,735		1,874
Vail Resorts
6.500%, 05/01/19 (A)		1,030		1,052
Visteon
6.750%, 04/15/19 (A)		370		359


110		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

VWR Funding
10.250%, 07/15/15	$	3,777	$	3,952
WMG Acquisition
9.500%, 06/15/16		1,820		1,931
Wynn Las Vegas LLC
7.875%, 11/01/17		155		170
7.750%, 08/15/20		4,470		4,900

				307,885


Consumer Staples — 11.8%
Accellent
10.000%, 11/01/17 (A)		1,905		1,886
8.375%, 02/01/17		2,265		2,412
American Achievement
10.875%, 04/15/16 (A)		3,150		2,953
American Renal Associates Holdings
9.750%, 03/01/16 (A)		2,143		2,245
8.375%, 05/15/18		4,130		4,316
American Rock Salt LLC
8.250%, 05/01/18 (A)		2,435		2,465
ARAMARK Holdings
8.625%, 05/01/16 (A)		1,380		1,411
Armored Autogroup
9.250%, 11/01/18 (A)		1,475		1,495
Aurora Diagnostics Holdings
10.750%, 01/15/18 (A)		4,025		4,166
Aviv Healthcare Properties
7.750%, 02/15/19 (A)		1,485		1,518
B&G Foods
7.625%, 01/15/18		1,580		1,698
Bankrate
11.750%, 07/15/15 (A)		1,630		1,856
Beverages & More
9.625%, 10/01/14 (A)		3,900		4,144
BI-LO LLC
9.250%, 02/15/19 (A)		2,350		2,432
Biomet
11.625%, 10/15/17		3,170		3,558
Bumble Bee Acquisition
9.000%, 12/15/17 (A)		4,285		4,403
Bumble Bee Holdco PIK
9.625%, 03/15/18 (A)		2,000		1,860
Catalent Pharma Solutions
9.500%, 04/15/15		5,314		5,387
CDRT Merger Sub
8.125%, 06/01/19 (A)		7,318		7,382
Central Garden and Pet
8.250%, 03/01/18		1,105		1,164
Chiquita Brands International
8.875%, 12/01/15		1,600		1,648
Constellation Brands
7.250%, 09/01/16		1,175		1,285
7.250%, 05/15/17		1,745		1,909


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

ConvaTec Healthcare
10.500%, 12/15/18 (A)	$	1,550	$	1,674
Cott Beverages
8.375%, 11/15/17		3,720		3,980
8.125%, 09/01/18		900		965
Darling International
8.500%, 12/15/18 (A)		1,985		2,164
Dean Foods
7.000%, 06/01/16		1,530		1,534
Del Monte Foods
7.625%, 02/15/19 (A)		5,240		5,348
Diversey Holdings
8.250%, 11/15/19		1,410		1,523
DJO Finance LLC
10.875%, 11/15/14		245		265
9.750%, 10/15/17 (A)		9,013		9,385
7.750%, 04/15/18 (A)		4,610		4,737
Dole Food
13.875%, 03/15/14		517		626
8.000%, 10/01/16 (A)		405		430
Elizabeth Arden
7.375%, 03/15/21		240		252
Fleming
10.125%, 04/01/08 (B)		983		—
Giant Funding
8.250%, 02/01/18 (A)		900		947
Hertz
8.875%, 01/01/14		131		134
7.500%, 10/15/18 (A)		1,860		1,953
Kindred Escrow
8.250%, 06/01/19 (A)		3,485		3,515
Knowledge Learning
7.750%, 02/01/15 (A)		775		761
Lantheus Medical Imaging
9.750%, 05/15/17		4,705		4,823
Laureate Education
11.750%, 08/15/17 (A)		1,100		1,205
10.000%, 08/15/15 (A)		525		557
Michael Foods
9.750%, 07/15/18 (A)		950		1,045
MultiPlan
9.875%, 09/01/18 (A)		1,530		1,652
NBTY
9.000%, 10/01/18 (A)		2,530		2,713
NCO Group
11.875%, 11/15/14		1,550		1,349
OnCure Holdings
11.750%, 05/15/17		800		834
Pantry
7.750%, 02/15/14		5,185		5,146
PharmaNet Development Group
10.875%, 04/15/17 (A)		4,025		4,991
Radiation Therapy Services
9.875%, 04/15/17		2,515		2,550


SEI Institutional Investments Trust / Annual Report / May 31, 2011			111

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Radnet Management
10.375%, 04/01/18	$	1,205	$	1,253
Reynolds Group Issuer (A)
9.000%, 04/15/19		3,195		3,391
8.500%, 05/15/18		2,545		2,647
8.250%, 02/15/21		1,365		1,389
7.750%, 10/15/16		2,500		2,675
7.125%, 04/15/19		2,200		2,288
6.875%, 02/15/21		305		315
Rite Aid
10.250%, 10/15/19		185		206
9.750%, 06/12/16		2,930		3,274
9.500%, 06/15/17		5,315		4,877
8.000%, 08/15/20		9,955		10,714
7.500%, 03/01/17		570		573
RSC Equipment Rental
10.000%, 07/15/17 (A)		2,000		2,267
8.250%, 02/01/21		3,245		3,350
Seminole Indian Tribe of Florida (A)
7.750%, 10/01/17		2,900		3,045
6.535%, 10/01/20		1,000		1,026
ServiceMaster
10.750%, 07/15/15 (A)		4,080		4,315
7.450%, 08/15/27		5		4
7.250%, 03/01/38		3,170		2,346
Spectrum Brands
12.000%, 08/28/19		2,113		2,367
9.500%, 06/15/18 (A)		4,145		4,632
STHI Holding
8.000%, 03/15/18 (A)		4,250		4,377
SUPERVALU
8.000%, 05/01/16		1,865		1,942
Symbion
11.000%, 08/23/15		1,220		1,156
Ticketmaster Entertainment LLC
10.750%, 08/01/16		5,215		5,697
U.S. Oncology
9.125%, 08/15/17		2,130		37
United Rentals North America
10.875%, 06/15/16		3,000		3,439
9.250%, 12/15/19		1,055		1,182
8.375%, 09/15/20		1,729		1,798
Universal Hospital Services
8.500%, 06/01/15		275		285
US Foodservice
8.500%, 06/30/19 (A)		1,450		1,461
Valeant Pharmaceuticals International (A)
7.250%, 07/15/22		705		691
7.000%, 10/01/20		7,870		7,713
6.875%, 12/01/18		2,015		1,985
6.750%, 10/01/17		970		960
6.500%, 07/15/16		455		453
Vanguard Health Holding II LLC
8.000%, 02/01/18		2,965		3,091


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Viskase (A)
9.875%, 01/15/18	$	1,195	$	1,253
9.875%, 01/15/18		105		110
Yankee Candle, Ser B
9.750%, 02/15/17		2,615		2,778
8.500%, 02/15/15		1,000		1,041

				229,054


Energy — 8.1%
American Petroleum Tankers Parent LLC
10.250%, 05/01/15 (A)		1,173		1,246
Antero Resources
9.375%, 12/01/17		990		1,079
Aquilex Holdings LLC
11.125%, 12/15/16		1,200		1,182
Arch Coal
8.750%, 08/01/16		2,655		2,954
Bill Barrett
9.875%, 07/15/16		1,000		1,135
BreitBurn Energy Partners
8.625%, 10/15/20 (A)		1,175		1,259
Brigham Exploration
8.750%, 10/01/18		945		1,037
6.875%, 06/01/19 (A)		195		196
Bristow Group
7.500%, 09/15/17		2,260		2,373
Calumet Specialty Products Partners
9.375%, 05/01/19 (A)		1,725		1,812
Chaparral Energy
8.250%, 09/01/21		1,790		1,853
Chesapeake Energy
9.500%, 02/15/15		650		767
6.875%, 08/15/18		1,175		1,266
6.875%, 11/15/20		156		164
6.625%, 08/15/20		1,906		2,004
Cloud Peak Energy Resources LLC
8.250%, 12/15/17		1,225		1,335
Comstock Resources
7.750%, 04/01/19		4,252		4,316
Consol Energy
8.250%, 04/01/20		680		755
8.000%, 04/01/17		2,200		2,409
Continental Resources
7.375%, 10/01/20		1,500		1,605
Copano Energy LLC
7.750%, 06/01/18		3,000		3,143
Crestwood Midstream Partners
7.750%, 04/01/19 (A)		2,500		2,506
Crosstex Energy
8.875%, 02/15/18		2,235		2,425
Dresser-Rand Group
6.500%, 05/01/21 (A)		600		619


112		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Eagle Rock Energy Partners
8.375%, 06/01/19 (A)	$	4,570	$	4,570
El Paso
7.420%, 02/15/37		1,000		1,155
7.250%, 06/01/18		850		1,000
7.000%, 06/15/17		270		313
Encore Acquisition
9.500%, 05/01/16		460		516
Energy Transfer Equity
7.500%, 10/15/20		4,188		4,565
EV Energy Partners
8.000%, 04/15/19 (A)		945		983
EXCO Resources
7.500%, 09/15/18		3,460		3,477
Forest Oil
8.500%, 02/15/14		50		55
8.000%, 12/15/11		800		824
7.250%, 06/15/19		2,845		2,923
Frac Tech Services LLC
7.125%, 11/15/18 (A)		1,000		1,060
GMX Resources
11.375%, 02/15/19 (A)		585		573
Helix Energy Solutions Group
9.500%, 01/15/16 (A)		1,665		1,765
Hercules Offshore
10.500%, 10/15/17 (A)		1,210		1,286
Hilcorp Energy I
8.000%, 02/15/20 (A)		1,280		1,363
7.625%, 04/15/21 (A)		125		132
Holly
9.875%, 06/15/17		1,110		1,246
International Coal Group
9.125%, 04/01/18		1,915		2,327
James River Escrow
7.875%, 04/01/19 (A)		2,165		2,208
Key Energy Services
6.750%, 03/01/21		285		288
Kinder Morgan Finance LLC
6.000%, 01/15/18 (A)		4,100		4,290
Laredo Petroleum
9.500%, 02/15/19 (A)		2,838		3,022
Linn Energy LLC
8.625%, 04/15/20		1,230		1,347
7.750%, 02/01/21 (A)		525		554
6.500%, 05/15/19 (A)		485		485
MarkWest Energy Partners
8.750%, 04/15/18		1,325		1,466
MEG Energy
6.500%, 03/15/21 (A)		1,076		1,084
Milagro Oil & Gas
10.500%, 05/15/16 (A)		1,950		1,862
Murray Energy
10.250%, 10/15/15 (A)		1,315		1,417


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Newfield Exploration
7.125%, 05/15/18	$	5,635	$	6,036
6.875%, 02/01/20		1,075		1,139
NFR Energy LLC
9.750%, 02/15/17 (A)		1,220		1,199
Oasis Petroleum
7.250%, 02/01/19 (A)		1,130		1,138
Ocean Rig UDW
9.500%, 04/27/16		900		918
OPTI Canada
9.000%, 12/15/12 (A)		4,340		4,362
Parker Drilling
9.125%, 04/01/18		2,920		3,183
Penn Virginia
10.375%, 06/15/16		400		450
Petrohawk Energy
10.500%, 08/01/14		205		233
7.875%, 06/01/15		915		965
7.250%, 08/15/18		7,745		8,123
6.250%, 06/01/19 (A)		350		346
Petroleum Development
12.000%, 02/15/18		2,730		3,071
Pioneer Drilling
9.875%, 03/15/18		580		629
Plains Exploration & Production
10.000%, 03/01/16		1,140		1,288
7.750%, 06/15/15		410		426
7.625%, 06/01/18		350		372
7.625%, 04/01/20		725		765
7.000%, 03/15/17		1,440		1,480
Quicksilver Resources
11.750%, 01/01/16		2,200		2,552
9.125%, 08/15/19		315		345
7.125%, 04/01/16		2,034		2,003
RAAM Global Energy
12.500%, 10/01/15		1,490		1,598
Range Resources
8.000%, 05/15/19		4,575		4,998
Regency Energy Partners
9.375%, 06/01/16		1,310		1,487
6.875%, 12/01/18		2,900		3,052
SandRidge Energy
8.750%, 01/15/20		70		76
8.000%, 06/01/18 (A)		555		583
7.500%, 03/15/21 (A)		4,360		4,513
SM Energy
6.625%, 02/15/19 (A)		235		241
Targa Resources
11.250%, 07/15/17		3,475		4,031
7.875%, 10/15/18 (A)		2,445		2,598
Tesoro
9.750%, 06/01/19		1,600		1,816
Thermon Industries
9.500%, 05/01/17		1,611		1,720


SEI Institutional Investments Trust / Annual Report / May 31, 2011			113

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Trinidad Drilling
7.875%, 01/15/19 (A)	$	725	$	765
Unit
6.625%, 05/15/21		335		340

				156,437


Financials — 10.1%
Algoma Acquisition
9.875%, 06/15/15 (A)		1,725		1,609
Alliant Holdings
11.000%, 05/01/15 (A)		3,400		3,613
Ally Financial
8.000%, 11/01/31		2,333		2,584
7.500%, 09/15/20		850		915
6.750%, 12/01/14		2,886		3,073
6.250%, 12/01/17 (A)		1,540		1,586
American Capital
7.960%, 12/31/13 (A)		722		727
American International Group
8.175%, 05/15/58 (C)		1,805		1,986
Aventi
0.000%, 10/15/49 (B) (F) (G) (H)		2,600		94
BAC Capital Trust VI
5.625%, 03/08/35		2,380		2,197
Bank of America
8.000%, 12/29/49 (C)		1,345		1,445
Cemex Finance LLC
9.500%, 12/14/16 (A)		4,910		5,248
CIT Group
7.000%, 05/01/14		178		181
7.000%, 05/01/15		614		619
7.000%, 05/01/16		7,352		7,379
7.000%, 05/01/17		13,725		13,776
6.625%, 04/01/18 (A)		685		720
Citigroup Capital XXI
8.300%, 12/21/57 (C)		1,065		1,094
City National Bank
9.000%, 08/12/19		4,062		4,797
CNO Financial Group
9.000%, 01/15/18 (A)		1,600		1,728
Credit Acceptance
9.125%, 02/01/17		2,600		2,821
9.125%, 02/01/17 (A)		400		433
Delphi Financial Group
7.875%, 01/31/20		2,000		2,278
E*Trade Financial PIK
12.500%, 11/30/17		1,790		2,152
E*Trade Financial
6.750%, 06/01/16		595		595
Energy Future Intermediate Holdings Finance
10.000%, 12/01/20		1,686		1,834
Express LLC
8.750%, 03/01/18		790		857


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Fifth Third Capital Trust IV
6.500%, 04/15/37 (C)	$	1,475	$	1,464
FireKeepers Development Authority
13.875%, 05/01/15 (A)		3,697		4,335
Ford Motor Credit LLC
12.000%, 05/15/15		1,695		2,166
8.000%, 12/15/16		1,930		2,234
6.625%, 08/15/17		1,410		1,537
5.000%, 05/15/18		1,055		1,046
Fresenius US Finance II
9.000%, 07/15/15 (A)		800		915
Genworth Financial
6.150%, 11/15/66 (C)		927		716
HBOS Capital Funding
6.071%, 06/30/49 (A) (C)		1,900		1,710
Hellas II
6.881%, 01/15/15 (A) (C)		2,100		—
Host Hotels & Resorts
9.000%, 05/15/17‡		125		141
Host Marriott L.P., Ser Q
6.750%, 06/01/16‡		1,755		1,812
HSH Nordbank
7.250%, 06/30/11		3,180		1,812
HUB International Holdings
9.000%, 12/15/14 (A)		2,490		2,593
Icahn Enterprises
8.000%, 01/15/18		2,500		2,575
7.750%, 01/15/16		5,500		5,651
ILFC E-Capital Trust I
5.970%, 12/21/65 (A) (C)		800		672
ILFC E-Capital Trust II
6.250%, 12/21/65 (A) (C)		2,695		2,372
ING Groep
5.775%, 12/29/49 (C)		1,855		1,725
Ironshore Holdings US
8.500%, 05/15/20 (A)		5,000		5,566
Kennedy-Wilson
8.750%, 04/01/19 (A)		3,800		3,847
Liberty Mutual Group
7.000%, 03/15/37 (A) (C)		1,530		1,525
Lloyds Banking Group (A)
6.657%, 05/21/37		255		198
6.267%, 11/14/16		720		589
5.920%, 09/29/49 (C)		570		466
Marina District Finance (A)
9.875%, 08/15/18		2,230		2,330
9.500%, 10/15/15		355		371
Marlin Water Trust II
6.310%, 07/15/03 (A) (B)		4,000		—
Millennium Escrow
7.625%, 11/15/26		200		—
MPT Operating Partnership
6.875%, 05/01/21‡ (A)		4,550		4,573
National Life Insurance
10.500%, 09/15/39 (A)		1,100		1,444


114		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Norcraft Holdings Finance
10.500%, 12/15/15	$	625	$	655
Nuveen Investments
10.500%, 11/15/15 (A)		520		549
10.500%, 11/15/15		10,640		11,278
5.500%, 09/15/15		1,420		1,278
Offshore Group Investments
11.500%, 08/01/15		4,355		4,801
11.500%, 08/01/15 (A)		885		973
Ohio Casualty
7.300%, 06/15/14		1,050		1,149
Omega Healthcare Investors
7.500%, 02/15/20‡		3,505		3,733
Ono Finance II
10.875%, 07/15/19 (A)		1,861		2,066
PHH
9.250%, 03/01/16		1,295		1,441
Pinnacle Foods Finance LLC
10.625%, 04/01/17		2,835		3,041
8.250%, 09/01/17		1,250		1,327
PNC Preferred Funding Trust II
6.113%, 03/29/49 (A) (C)		5,640		4,935
Realogy
7.875%, 02/15/19 (A)		931		936
Regions Bank
7.500%, 05/15/18		500		541
Regions Financial
5.750%, 06/15/15		335		343
RESPARCS Funding I MTN
8.000%, 06/30/11		830		481
Sabra Health Care
8.125%, 11/01/18‡		4,125		4,218
Snoqualmie Entertainment Authority
9.125%, 02/01/15 (A)		3,065		3,057
4.204%, 02/01/14 (A) (C)		275		251
Spencer Spirit Holdings
11.000%, 05/01/17 (A)		2,175		2,240
Springleaf Finance MTN
5.400%, 12/01/15		3,280		3,100
SunTrust Capital VIII
6.100%, 12/15/36 (C)		2,200		2,178
Susquehanna Capital II
11.000%, 03/23/40		1,300		1,410
Tops Holdings
10.125%, 10/15/15		655		700
UPCB Finance III
6.625%, 07/01/20 (A)		1,430		1,426
USB Realty
6.091%, 12/29/49 (A) (C)		3,600		3,123
USI Holdings
9.750%, 05/15/15 (A)		4,812		4,932
Ventas Realty L.P.
6.750%, 04/01/17‡		775		825


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

XL Capital
6.500%, 12/31/49 (C)	$	2,320	$	2,189
YCC Holdings/Yankee Financial
10.250%, 02/15/16 (A)		4,055		4,177

				196,079


Health Care — 4.1%
Alere
9.000%, 05/15/16		5,045		5,348
Biomet
10.375%, 10/15/17		7,015		7,787
10.000%, 10/15/17		4,565		5,044
Bioscrip
10.250%, 10/01/15		4,735		4,918
Community Health Systems
8.875%, 07/15/15		3,525		3,640
DaVita
6.625%, 11/01/20		1,350		1,384
6.375%, 11/01/18		1,805		1,848
HCA
9.875%, 02/15/17		170		190
9.625%, 11/15/16		5,611		6,003
9.250%, 11/15/16		1,200		1,287
8.500%, 04/15/19		2,640		2,954
HCA Holdings
7.750%, 05/15/21 (A)		4,095		4,284
Health Management Associates
6.125%, 04/15/16		2,140		2,236
Healthsouth
8.125%, 02/15/20		3,210		3,531
7.750%, 09/15/22		890		950
7.250%, 10/01/18		610		648
Inventiv Health
10.000%, 08/15/18 (A)		1,190		1,239
MedAssets
8.000%, 11/15/18 (A)		705		727
Mylan
7.875%, 07/15/20 (A)		2,145		2,375
7.625%, 07/15/17 (A)		4,100		4,515
6.000%, 11/15/18 (A)		1,085		1,115
Omnicare
6.125%, 06/01/13		40		40
Select Medical
7.625%, 02/01/15		6,445		6,526
Surgical Care Affiliates
8.875%, 07/15/15 (A)		1,636		1,685
Tenet Healthcare
9.250%, 02/01/15		1,195		1,314
8.875%, 07/01/19		265		295
8.000%, 08/01/20		1,290		1,334
United Surgical Partners International
8.875%, 05/01/17		105		111
United Surgical Partners International PIK
9.250%, 05/01/17		3,190		3,385


SEI Institutional Investments Trust / Annual Report / May 31, 2011			115

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Universal Health Services
7.000%, 10/01/18	$	2,500	$	2,616

				79,329


Industrials — 10.2%
ACCO Brands
10.625%, 03/15/15		1,620		1,819
7.625%, 08/15/15		1,050		1,064
Accuride
9.500%, 08/01/18		4,430		4,862
ACL I
10.625%, 02/15/16 (A)		2,400		2,400
Actuant
6.875%, 06/15/17		2,575		2,665
Aguila 3
7.875%, 01/31/18 (A)		225		230
Aircastle
9.750%, 08/01/18		770		868
Alion Science and Technology
12.000%, 11/01/14		2,070		2,153
10.250%, 02/01/15		1,405		1,159
Alliant Techsystems
6.750%, 04/01/16		4,090		4,202
AMGH Merger Sub
9.250%, 11/01/18 (A)		3,032		3,256
Amsted Industries
8.125%, 03/15/18 (A)		870		922
ARD Finance
11.125%, 06/01/18 (A)		1,556		1,602
Ardagh Packaging Finance
9.125%, 10/15/20 (A)		1,485		1,633
Associated Materials LLC
9.125%, 11/01/17 (A)		2,870		2,967
Atkore International
9.875%, 01/01/18 (A)		2,350		2,550
AWAS Aviation Capital
7.000%, 10/15/16 (A)		847		879
Baker & Taylor
11.500%, 07/01/13 (A)		1,170		977
BE Aerospace
8.500%, 07/01/18		650		720
Belden
9.250%, 06/15/19		760		850
Berry Plastics
10.250%, 03/01/16		825		829
9.750%, 01/15/21		2,150		2,153
Boart Longyear Management
7.000%, 04/01/21 (A)		500		521
Building Materials
6.875%, 08/15/18 (A)		3,245		3,310
Building Materials Corp of America
6.750%, 05/01/21 (A)		2,108		2,124
Bway Holding
10.000%, 06/15/18 (A)		1,390		1,550


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Case New Holland
7.875%, 12/01/17 (A)	$	1,065	$	1,185
Casella Waste Systems
11.000%, 07/15/14		30		34
7.750%, 02/15/19 (A)		1,838		1,861
Cemex Espana Luxembourg
9.250%, 05/12/20 (A)		2,748		2,813
CEVA Group (A)
11.625%, 10/01/16		3,155		3,518
11.500%, 04/01/18		2,500		2,744
8.375%, 12/01/17		1,000		1,045
Chart Industries
9.125%, 10/15/15		2,060		2,158
Clean Harbors
7.625%, 08/15/16		517		552
7.625%, 08/15/16 (A)		550		587
CMA CGM
8.500%, 04/15/17 (A)		1,410		1,283
Coleman Cable
9.000%, 02/15/18		3,845		4,076
Columbus McKinnon
7.875%, 02/01/19 (A)		300		310
CPM Holdings
10.875%, 09/01/14 (A)		1,250		1,362
DAE Aviation Holdings
11.250%, 08/01/15 (A)		1,185		1,246
Delta Air Lines
12.250%, 03/15/15 (A)		3,905		4,379
Esterline Technologies
7.000%, 08/01/20		1,755		1,869
Florida East Coast Railway
8.125%, 02/01/17 (A)		750		782
General Cable
7.125%, 04/01/17		1,120		1,155
Geo Group
7.750%, 10/15/17		1,355		1,453
6.625%, 02/15/21 (A)		75		75
Global Aviation Holdings
14.000%, 08/15/13		2,850		2,793
Graham Packaging
9.875%, 10/15/14		305		316
8.250%, 01/01/17		1,130		1,229
8.250%, 10/01/18		205		223
Graphic Packaging International
9.500%, 06/15/17		1,245		1,388
7.875%, 10/01/18		2,800		3,052
Great Lakes Dredge & Dock
7.375%, 02/01/19 (A)		1,390		1,421
Griffon
7.125%, 04/01/18 (A)		1,990		2,030
Huntington Ingalls Industries
7.125%, 03/15/21 (A)		600		626
6.875%, 03/15/18 (A)		600		626


116		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Interface
7.625%, 12/01/18 (A)	$	1,015	$	1,086
Interline Brands
7.000%, 11/15/18		2,606		2,668
International Lease Finance
8.750%, 03/15/17		2,170		2,458
8.625%, 09/15/15		1,335		1,480
8.250%, 12/15/20		520		584
6.250%, 05/15/19		165		166
5.750%, 05/15/16		230		232
International Wire Group Holdings
9.750%, 04/15/15 (A)		1,105		1,160
Iron Mountain
8.750%, 07/15/18		1,400		1,465
8.375%, 08/15/21		1,115		1,193
Kansas City Southern de Mexico
8.000%, 02/01/18		910		1,008
6.125%, 06/15/21 (A)		460		462
Kratos
10.000%, 06/01/17		3,485		3,833
Kratos Defense & Security Solutions
10.000%, 06/01/17 (A)		750		825
Liberty Tire Recycling
11.000%, 10/01/16 (A)		1,800		1,984
Manitowoc
9.500%, 02/15/18		1,960		2,171
8.500%, 11/01/20		880		957
Masco
7.125%, 03/15/20		115		120
6.125%, 10/03/16		200		209
Masonite International
8.250%, 04/15/21 (A)		1,335		1,345
Meritor
8.125%, 09/15/15		1,295		1,360
Midwest Vanadium
11.500%, 02/15/18 (A)		1,350		1,384
Mobile Mini
7.875%, 12/01/20 (A)		1,190		1,258
Mueller Water Products
8.750%, 09/01/20		510		571
7.375%, 06/01/17		1,455		1,459
Nortek
8.500%, 04/15/21 (A)		1,420		1,354
NXP Funding LLC
10.000%, 07/15/13 (A)		598		670
9.750%, 08/01/18 (A)		3,850		4,447
Old AII
10.000%, 12/15/16 (B)		1,675		—
Old AII PIK
0.000%, 12/15/14 (B)		950		—
Oshkosh
8.500%, 03/01/20		1,325		1,458
8.250%, 03/01/17		1,635		1,782
Packaging Dynamics
8.750%, 02/01/16 (A)		2,554		2,672


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Ply Gem Industries
13.125%, 07/15/14	$	1,290	$	1,406
8.250%, 02/15/18 (A)		835		825
Polymer Group
7.750%, 02/01/19 (A)		3,095		3,188
Polypore International
7.500%, 11/15/17 (A)		2,595		2,757
Pregis
12.375%, 10/15/13		3,661		3,634
Quality Distribution LLC
11.750%, 11/01/13		61		61
9.875%, 11/01/18 (A)		4,770		5,008
Quebecor Escrow
0.000%, 11/15/13 (B)		1,800		—
0.000%, 03/15/16		2,175		147
RailAmerica
9.250%, 07/01/17		1,004		1,112
RBS Global & Rexnord
11.750%, 08/01/16		1,300		1,388
8.500%, 05/01/18		2,645		2,870
Sequa
11.750%, 12/01/15 (A)		4,400		4,708
Sequa PIK
13.500%, 12/01/15 (A)		500		535
Solo Cup
10.500%, 11/01/13		990		1,032
Spirit Aerosystems
7.500%, 10/01/17		1,135		1,220
SPX
7.625%, 12/15/14		1,330		1,483
Swift Services Holdings
10.000%, 11/15/18 (A)		475		527
Swift Transportation LLC
12.500%, 05/15/17 (A)		870		933
syncreon Global Ireland
9.500%, 05/01/18 (A)		3,467		3,597
Terex
8.000%, 11/15/17		4,745		4,911
Thermadyne Holdings
9.000%, 12/15/17 (A)		1,800		1,912
Titan International
7.875%, 10/01/17 (A)		4,335		4,660
Trimas
9.750%, 12/15/17		1,020		1,133
Triumph Group
8.625%, 07/15/18		250		277
United Maritime LLC
11.750%, 06/15/15		4,400		4,620
USG
8.375%, 10/15/18 (A)		1,535		1,581
6.300%, 11/15/16		1,975		1,866
WCA Waste
7.500%, 06/15/19 (A)		1,000		1,015

				198,683


SEI Institutional Investments Trust / Annual Report / May 31, 2011			117

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Continued)

May 31,2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)


Information Technology — 5.1%
Activant Solutions
9.500%, 05/01/16	$	1,975	$	2,071
Advanced Micro Devices
7.750%, 08/01/20		1,790		1,879
Amkor Technology
9.250%, 06/01/16		1,000		1,049
7.375%, 05/01/18		2,425		2,528
Aspect Software
10.625%, 05/07/17 (A)		4,680		5,054
Brocade Communications Systems
6.625%, 01/15/18		480		512
Cardtronics
8.250%, 09/01/18		5,950		6,500
CDW LLC
8.000%, 12/15/18 (A)		2,800		3,003
Compucom Systems
12.500%, 10/01/15 (A)		6,025		6,469
DynCorp International
10.375%, 07/01/17 (A)		3,980		4,219
Eagle Parent
8.625%, 05/01/19 (A)		2,285		2,311
Fidelity National Information Services
7.875%, 07/15/20		970		1,069
7.625%, 07/15/17		1,630		1,793
First Data
12.625%, 01/15/21 (A)		2,292		2,493
11.250%, 03/31/16		1,395		1,398
10.550%, 09/24/15		4,603		4,816
9.875%, 09/24/15		1,905		1,967
8.875%, 08/15/20 (A)		625		678
8.750%, 01/15/22 (A)		1,332		1,330
8.250%, 01/15/21 (A)		1,144		1,141
7.375%, 06/15/19 (A)		370		376
Freescale Semiconductor
10.125%, 03/15/18 (A)		315		359
9.250%, 04/15/18 (A)		7,170		7,995
iGate
9.000%, 05/01/16 (A)		8,380		8,611
Interactive Data
10.250%, 08/01/18 (A)		1,335		1,485
JDA Software Group
8.000%, 12/15/14		785		866
MagnaChip Semiconductor
10.500%, 04/15/18		2,400		2,709
Mantech International
7.250%, 04/15/18		555		586
MEMC Electronic Materials
7.750%, 04/01/19 (A)		755		774
Seagate HDD Cayman
7.750%, 12/15/18 (A)		1,415		1,489
Sensata Technologies
6.500%, 05/15/19 (A)		3,343		3,380


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Smart Modular
5.804%, 04/01/12 (C)	$	760	$	760
Spansion LLC
7.875%, 11/15/17 (A)		1,555		1,590
SSI Investments II
11.125%, 06/01/18		1,020		1,137
STATS ChipPAC
7.500%, 08/12/15 (A)		2,200		2,387
Stratus Technologies Bermuda
12.000%, 03/29/15 (A)		2,575		2,421
SunGard Data Systems
10.250%, 08/15/15		5,222		5,431
7.375%, 11/15/18		975		995
Unisys (A)
14.250%, 09/15/15		429		511
12.750%, 10/15/14		2,692		3,180

				99,322


Materials — 5.5%
AK Steel
7.625%, 05/15/20		2,812		2,925
Aleris International
7.625%, 02/15/18 (A)		990		1,031
APERAM
7.750%, 04/01/18 (A)		1,220		1,260
Appleton Papers
10.500%, 06/15/15 (A)		1,040		1,102
Ashland
9.125%, 06/01/17		2,860		3,260
Boise Paper Holding
9.000%, 11/01/17		1,670		1,860
Celanese US Holdings LLC
6.625%, 10/15/18 (A)		750		790
Cemex
9.000%, 01/11/18 (A)		1,500		1,564
CF Industries
7.125%, 05/01/20		1,000		1,171
6.875%, 05/01/18		4,770		5,480
Chemtura
7.875%, 09/01/18 (A)		2,300		2,495
Clearwater Paper
10.625%, 06/15/16		855		968
7.125%, 11/01/18 (A)		255		265
Domtar
10.750%, 06/01/17		1,500		1,928
9.500%, 08/01/16		250		303
Ferro
7.875%, 08/15/18		1,000		1,063
FMG Resources (A)
7.000%, 11/01/15		1,455		1,513
6.875%, 02/01/18		235		246
Georgia-Pacific
8.000%, 01/15/24		2,915		3,513
7.125%, 01/15/17 (A)		4,565		4,850


118		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Georgia-Pacific LLC
8.250%, 05/01/16 (A)	$	1,460	$	1,657
Headwaters
7.625%, 04/01/19 (A)		1,435		1,399
Hexion US Finance
9.000%, 11/15/20		1,750		1,881
Hexion US Finance/Nova Scotia
8.875%, 02/01/18		2,375		2,550
Huntsman International LLC
8.625%, 03/15/20		535		598
8.625%, 03/15/21		305		341
5.500%, 06/30/16		755		750
INEOS Finance
9.000%, 05/15/15 (A)		15		16
INEOS Group Holdings PLC
8.500%, 02/15/16 (A)		820		844
JMC Steel Group
8.250%, 03/15/18 (A)		1,425		1,471
Longview Fibre Paper & Packaging
8.000%, 06/01/16 (A)		1,645		1,670
Lyondell Chemical
11.000%, 05/01/18		9,377		10,561
8.000%, 11/01/17 (A)		3,928		4,419
MacDermid
9.500%, 04/15/17 (A)		1,400		1,495
Millar Western Forest Products
8.500%, 04/01/21 (A)		1,325		1,265
Mirabela Nickel
8.750%, 04/15/18 (A)		1,055		1,063
Momentive Performance Materials
9.000%, 01/15/21 (A)		2,275		2,434
Momentive PIK
11.000%, 06/04/17 (F) (G)		2,300		2,013
Neenah Foundry
15.000%, 07/29/15		117		115
NewPage
11.375%, 12/31/14		480		463
Nexeo Solutions LLC
8.375%, 03/01/18 (A)		1,835		1,908
Noranda Aluminum Acquisition
4.417%, 05/15/15 (C)		2,203		2,115
Nova Chemicals
8.625%, 11/01/19		390		442
Novelis
8.750%, 12/15/20 (A)		1,100		1,216
8.375%, 12/15/17		3,570		3,891
PH Glatfelter
7.125%, 05/01/16		1,115		1,150
7.125%, 05/01/16		175		180
PolyOne
7.375%, 09/15/20		645		691
Rain CII Carbon LLC
8.000%, 12/01/18 (A)		390		418
Reichhold Industries
9.000%, 08/15/14 (A)		2,716		2,526


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Rhodia
6.875%, 09/15/20 (A)	$	2,605	$	3,038
Ryerson
12.000%, 11/01/15		1,725		1,867
Scotts Miracle-Gro
7.250%, 01/15/18		385		411
Solutia
8.750%, 11/01/17		1,685		1,860
7.875%, 03/15/20		1,000		1,100
Standard Steel LLC
12.000%, 05/01/15 (A)		3,470		3,557
Verso Paper Holdings LLC
8.750%, 02/01/19 (A)		560		560
Vertellus Specialties
9.375%, 10/01/15 (A)		4,165		4,352

				105,874


Telecommunication Services — 11.7%
Affinion Group
11.500%, 10/15/15		2,550		2,652
7.875%, 12/15/18 (A)		3,895		3,700
American Media
11.500%, 12/15/17 (A)		687		744
Avaya
10.125%, 11/01/15		3,346		3,479
9.750%, 11/01/15		1,225		1,272
7.000%, 04/01/19 (A)		3,640		3,558
Buccaneer Merger Sub
9.125%, 01/15/19 (A)		2,830		3,032
CCH II LLC
13.500%, 11/30/16		500		595
CCO Holdings LLC
8.125%, 04/30/20		2,511		2,715
7.875%, 04/30/18		2,190		2,321
7.250%, 10/30/17		190		198
7.000%, 01/15/19		465		475
7.000%, 01/15/19 (A)		1,995		2,032
Cengage Learning Holdco
13.750%, 07/15/15 (A)		4,100		3,957
Cequel Communications Holdings I LLC and Cequel Capital
8.625%, 11/15/17 (A)		4,859		5,163
Cincinnati Bell
8.375%, 10/15/20		1,630		1,650
Clear Channel Communications
9.250%, 12/15/17		2,870		3,135
9.000%, 03/01/21 (A)		2,535		2,541
Clearwire Communications LLC (A)
12.000%, 12/01/15		4,000		4,375
12.000%, 12/01/15		5,975		6,520
12.000%, 12/01/17		2,064		2,252
Cleveland Unlimited
13.500%, 12/15/10 (A) (B) (C)		4,260		2,982


SEI Institutional Investments Trust / Annual Report / May 31, 2011			119

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Cogent Communications Group
8.375%, 02/15/18 (A)	$	705	$	737
Columbus International
11.500%, 11/20/14 (A)		1,265		1,456
CommScope
8.250%, 01/15/19 (A)		1,090		1,142
Cricket Communications
7.750%, 10/15/20		1,820		1,802
7.750%, 10/15/20 (A)		255		251
Crown Castle International
9.000%, 01/15/15		1,005		1,115
CSC Holdings
8.625%, 02/15/19		2,650		3,054
Deltacom
10.500%, 04/01/16		805		869
Digicel
12.000%, 04/01/14 (A)		600		698
8.250%, 09/01/17 (A)		4,419		4,640
Digicel Group
10.500%, 04/15/18 (A)		2,530		2,859
Digital Content Protection
10.750%, 08/15/15 (A)		3,000		2,813
DISH DBS
7.875%, 09/01/19		2,340		2,548
7.125%, 02/01/16		3,615		3,859
6.750%, 06/01/21 (A)		1,540		1,555
EH Holding (A)
7.625%, 06/15/21		2,489		2,545
6.500%, 06/15/19		645		652
Frontier Communications
8.500%, 04/15/20		45		49
6.625%, 03/15/15		1,100		1,148
GCI
8.625%, 11/15/19		1,135		1,264
6.750%, 06/01/21 (A)		1,500		1,515
GXS Worldwide
9.750%, 06/15/15		8,973		9,130
Houghton Mifflin Harcourt Publishing
10.500%, 06/01/19 (A)		1,750		1,754
Inmarsat Finance
7.375%, 12/01/17 (A)		2,450		2,597
Integra Telecom Holdings
10.750%, 04/15/16 (A)		1,035		1,087
Intelsat Bermuda
11.250%, 06/15/16		2,980		3,159
Intelsat Jackson Holdings
9.500%, 06/15/16		1,200		1,260
7.250%, 04/01/19 (A)		740		746
7.250%, 10/15/20 (A)		1,415		1,419
Intelsat Luxembourg
11.500%, 02/04/17 (A)		4,092		4,435
11.500%, 02/04/17		2,517		2,728
11.250%, 02/04/17		3,480		3,758
iPCS PIK
3.554%, 05/01/14 (C)		206		199


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Kabel BW Erste Beteiligungs
7.500%, 03/15/19 (A)	$	2,990	$	3,113
Level 3 Communications
11.875%, 02/01/19 (A)		255		282
Level 3 Escrow
8.125%, 07/01/19 (A)		480		485
Level 3 Financing
10.000%, 02/01/18		3,455		3,740
9.375%, 04/01/19 (A)		1,215		1,279
Liberty Media LLC
8.250%, 02/01/30		2,240		2,181
Lucent Technologies
6.450%, 03/15/29		2,130		1,954
MetroPCS Wireless
7.875%, 09/01/18		1,910		2,056
Nexstar/Mission Broadcast
8.875%, 04/15/17		2,100		2,278
Nielsen Finance LLC
7.750%, 10/15/18 (A)		2,070		2,220
NII Capital
10.000%, 08/15/16		2,190		2,513
7.625%, 04/01/21		690		732
Open Solutions
9.750%, 02/01/15 (A)		5,090		3,207
Orascom Telecom Finance
7.875%, 02/08/14 (A)		1,000		1,039
PAETEC Holding
9.875%, 12/01/18 (A)		2,230		2,392
8.875%, 06/30/17		845		917
Qwest
7.500%, 06/15/23		710		713
7.250%, 09/15/25		375		400
7.250%, 10/15/35		1,200		1,212
6.875%, 09/15/33		275		271
Qwest Communications International
8.000%, 10/01/15		100		110
Qwest Communications International, Ser B
7.500%, 02/15/14		1,370		1,389
Sable International Finance MTN
7.750%, 02/15/17 (A)		640		659
Satmex Escrow
9.500%, 05/15/17 (A)		690		707
SBA Telecommunications
8.250%, 08/15/19		315		347
8.000%, 08/15/16		305		331
Sinclair Television Group
9.250%, 11/01/17 (A)		1,900		2,123
8.375%, 10/15/18		1,820		1,943
Sprint Capital
8.750%, 03/15/32		6,390		7,053
6.900%, 05/01/19		420		439
Telcordia Technologies
11.000%, 05/01/18 (A)		9,200		10,396


120		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Telesat Canada
12.500%, 11/01/17	$	935	$	1,117
Trilogy International
10.250%, 08/15/16 (A)		70		73
TW Telecom
8.000%, 03/01/18		1,845		2,004
Univision Communications (A)
8.500%, 05/15/21		3,475		3,579
7.875%, 11/01/20		2,000		2,120
UPC Holding BV
9.875%, 04/15/18 (A)		3,715		4,161
Videotron Ltee
9.125%, 04/15/18		1,045		1,168
Virgin Media Finance
9.500%, 08/15/16		930		1,063
8.375%, 10/15/19		1,095		1,232
Visant
10.000%, 10/01/17		2,660		2,813
West
7.875%, 01/15/19 (A)		1,380		1,406
Wind Acquisition Finance (A)
11.750%, 07/15/17		3,318		3,857
7.250%, 02/15/18		765		813
Windstream
8.125%, 09/01/18		685		747
7.750%, 10/01/21		1,570		1,700
7.500%, 04/01/23		390		402
XM Satellite Radio Holdings (A)
13.000%, 08/01/13		4,530		5,391
7.625%, 11/01/18		5,180		5,504
Zayo Group LLC
10.250%, 03/15/17		1,085		1,204

				227,026


Utilities — 1.9%
AES
9.750%, 04/15/16		1,655		1,916
Calpine (A)
7.875%, 07/31/20		3,503		3,713
7.500%, 02/15/21		2,653		2,759
7.250%, 10/15/17		455		473
Calpine Generating LLC
14.320%, 04/01/11 (B) (C)		1,500		199
Dynegy Holdings
7.750%, 06/01/19		1,500		1,095
Edison Mission Energy
7.625%, 05/15/27		1,975		1,491
Elwood Energy LLC
8.159%, 07/05/26		869		861
Energy Future Holdings
10.000%, 01/15/20		585		633
GenOn Americas Generation LLC
8.500%, 10/01/21		1,550		1,608


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

GenOn Energy
9.500%, 10/15/18	$	900	$	947
North American Energy Alliance LLC
10.875%, 06/01/16 (A)		1,300		1,463
NRG Energy
8.250%, 09/01/20		720		738
7.625%, 01/15/18 (A)		1,200		1,212
7.375%, 01/15/17		1,600		1,688
NSG Holdings LLC
7.750%, 12/15/25 (A)		2,100		2,100
Public Service of New Mexico
7.950%, 05/15/18		2,800		3,209
Puget Sound Energy, Ser A
6.974%, 06/01/67 (C)		1,035		1,055
Sabine Pass LNG L.P.
7.500%, 11/30/16 (A)		1,880		1,932
7.500%, 11/30/16		6,920		7,110

				36,202

Total Corporate Obligations (Cost $1,545,478) ($ Thousands)				1,635,891


LOAN PARTICIPATIONS — 5.6%
AL Gulf Coast Terminals
6.750%, 06/02/16		1,902		1,906
Alliance Laundry
6.750%, 09/23/16		53		54
6.250%, 09/23/16		1,773		1,789
Asurion LLC 1st Lien (I)
0.000%, 06/10/18		1,475		1,489
Asurion LLC 2nd Lien (I)
0.000%, 06/10/19		4,600		4,645
Attachmate WRQ Term Loan B
6.500%, 02/25/17		1,750		1,758
Avaya
3.005%, 10/26/14		744		718
Avaya Term B-3 Loan
4.755%, 10/26/17		1,494		1,456
Awas Finance
7.750%, 05/30/16		2,976		3,036
Boston Generating
11.250%, 12/20/16 (B)		185		—
8.500%, 06/20/14		650		14
Brock Holdings III 2nd Lien
10.500%, 03/16/18		460		472
Central Parking
2.563%, 05/22/14		616		544
Central Parking 1st Lien Term Loan
2.500%, 05/22/14		1,706		1,506
Claire’s Stores
5.000%, 05/27/14		3		2
3.057%, 05/27/14		643		591
3.023%, 05/27/14		135		124
Cristal Inorganic Chemicals US
6.057%, 11/15/14		3,050		3,039


SEI Institutional Investments Trust / Annual Report / May 31, 2011			121

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

CTV TLB (I)
0.000%, 12/27/14	$	695	$	698
Endo Pharmaceuticals Bridge Loan (I)
0.000%, 04/10/12		935		935
0.000%, 04/10/12		2,000		—
First Data
2.945%, 09/24/14		1,665		1,557
First Data Term Loan B-3 (I)
0.000%, 09/24/14		1,502		1,403
Gambro Aktiebolag
4.947%, 12/05/15		665		664
4.447%, 06/06/16		635		639
Georgia Pacific
2.307%, 12/20/12		163		163
Green Valley Ranch Gaming
3.507%, 08/06/14		2,000		4
Guitar Center Extended Term Loan
5.560%, 04/09/17		3,086		2,925
Harbinger
10.000%, 01/28/12		5,405		5,405
Harrah’s Operating
9.500%, 10/31/16		2,963		3,140
3.307%, 01/28/15		5		5
3.274%, 01/28/15		1,567		1,453
Ineos US Finance LLC
8.000%, 12/16/14		1,544		1,595
7.500%, 12/16/13		1,350		1,387
Infor Global Enterprise Solutions
6.441%, 03/02/14		210		189
Infor Global Enterprise Solutions Tranche 1
6.441%, 03/02/14		1,073		965
Infor Global Solutions
8.200%, 08/29/14		4,709		3,748
Infor Global Solutions Intermediate Holdings
6.441%, 03/02/14		2,217		1,993
Intelsat Jackson Holdings
2.775%, 02/01/14		2,400		2,307
Kalispel Tribal Economic Authority
6.057%, 01/31/17		3,300		3,251
Level 3 Financing Bridge Loan
0.000%, 04/11/12		1,170		1,170
Medical Card Term Loan
12.250%, 09/15/15		26		28
12.000%, 09/15/15		2,052		2,155
Merrill Communications LLC
7.500%, 12/24/12		1,400		1,398
Metroflag 2nd Lien
14.000%, 01/06/09		325		—
MGM Mirage
7.000%, 02/21/14		989		984
MGM Mirage Term C Loan (I)
0.000%, 02/21/14		500		497


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

NCO Group
7.500%, 05/15/13	$	2,735	$	2,719
Nelson Education
2.807%, 07/05/14		1,500		1,378
Nuveen Investments
12.500%, 07/31/15		1,920		2,051
Obsidian Natural Gas Trust
7.000%, 11/02/15		2,657		2,697
PQ
6.700%, 06/14/14		1,450		1,432
Realogy
13.500%, 10/15/17		1,140		1,216
4.518%, 10/10/13		850		808
Rite Aid Lien 1
4.500%, 02/17/18		2,430		2,398
Shield Finance
7.750%, 06/15/16		2,933		2,936
Silgan Holdings (I)
0.000%, 04/27/12		2,120		2,120
Simmons Holdco, Unsecured Term Loan (Escrow) (I)
0.000%, 02/15/12		1,697		—
Smart Technologies
7.191%, 08/28/15		675		673
Solera Bridge Loan (I)
0.000%, 08/15/11		3,600		—
SpringLeaf Financial
5.500%, 04/28/17		2,170		2,166
Summit Material
6.500%, 12/03/15		1,796		1,797
Sun Healthcare Group Term Loan B (I)
0.000%, 10/18/16		2,040		2,040
Targa Resources
3.307%, 02/09/15		770		766
3.254%, 02/09/15		785		781
Telx Group Term Loan
6.500%, 06/17/15		993		992
Texas Competitive Electric Holdings Extended Term Loan
4.768%, 10/10/17		477		377
4.706%, 10/10/17		449		355
Texas Competitive Electric Holdings Extended Term Loan B (I)
0.000%, 10/10/17		1,105		874
Texas Competitive Electric Holdings Term Loan
3.738%, 10/10/14		4,886		4,153
Texas Competitive Electrical Holdings Term Loan B (I)
0.000%, 10/10/14		1,680		1,428
Tronox
7.000%, 10/14/15		1,706		1,720
Vertafore
9.750%, 10/27/17		545		553


122		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Wide Open West Finance
6.448%, 06/27/15	$	4,092	$	3,924
Zuffa
7.500%, 06/19/15		1,773		1,782

Total Loan Participations (Cost $105,111) ($ Thousands)				107,937


COLLATERALIZED DEBT OBLIGATIONS — 6.3%

Other Asset-Backed Securities — 6.3%
ACAS Business Loan Trust, Ser 2007-2A, Cl A
0.714%, 11/18/19 (A) (C)		6,794		6,608
ACAS, Ser 2007-1A, Cl A1J
0.613%, 04/20/21 (A) (C)		6,476		5,505
CIFC Funding, Ser 2007-3A, Cl B
1.553%, 07/26/21 (A) (C)		2,700		2,081
CIT CLO, Ser 2007-1A, Cl D
2.304%, 06/20/21 (A) (C)		3,000		2,310
Colts Trust, Ser 2007-1A, Cl A
0.534%, 03/20/21 (A) (C)		2,428		2,211
Eastland CLO, Ser 2007-1A, Cl A2B
0.603%, 05/01/22 (A) (C)		3,265		2,579
Emporia Preferred Funding, Ser 2007-3A, Cl C
1.203%, 04/23/21 (A) (C)		2,024		1,558
FM Leveraged Capital, Ser 2006-2A, Cl B
0.783%, 11/15/20 (A) (C)		4,163		3,538
FM Leveraged Capital, Ser 2006-2A, Cl D
1.913%, 11/15/20 (A) (C)		915		627
Grayson CLO, Ser 2006-1A, Cl A1B
0.664%, 11/01/21 (A) (C)		6,147		4,979
Newstar Trust, Ser 2007-1A, Cl A1
0.551%, 09/30/22 (A) (C)		9,225		8,395
Rockwall CDO, Ser 2006-1A, Cl A1LB
0.773%, 08/01/21 (A) (C)		16,434		12,983
Rockwall CDO, Ser 2006-1A, Cl A2L
0.923%, 08/01/21 (A) (C)		3,759		2,744
Rockwall CDO, Ser 2006-1A, Cl A1LA
0.573%, 08/01/21 (A) (C)		11,435		10,148
Rockwall CDO, Ser 2007-1A, Cl A1LA
0.523%, 08/01/24 (A) (C)		49,909		42,921
Stone Tower CDO, Ser 2004-1A, Cl A1LA
0.773%, 01/29/20 (A) (C)		3,741		3,442
Tricadia CDO, Ser 2007-1AR, Cl A2L
0.754%, 02/28/16 (A) (C)		8,991		7,710


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Westwood CDO, Ser 2007-2A, Cl C
0.974%, 04/25/22 (A) (C)	$	3,373	$	2,513

Total Collateralized Debt Obligations (Cost $101,981) ($ Thousands)				122,852


ASSET-BACKED SECURITIES — 0.4%

Other Asset-Backed Securities — 0.4%
Airplanes Pass-Through Trust, Ser 2001-1A, Cl A9
0.816%, 03/15/19 (C)		2,413		1,623
Cajun Global LLC, Ser 2011-1A, Cl A2
5.955%, 02/20/41 (A)		1,587		1,639
Dominos Pizza Master Issuer LLC, Ser 2007-1, Cl A2
5.261%, 04/25/37 (A)		1,403		1,424
Equinox Funding, Ser 2000-1A, Cl A
0.887%, 11/15/12 (A) (C)		3,533		3,427

Total Asset-Backed Securities (Cost $20,031) ($ Thousands)				8,113


AUCTION RATE PREFERRED SECURITIES — 0.5%
BlackRock Municipal Income Quality Trust (C)		14,500		1,305
BlackRock Municipal Income Trust (C)		27,000		2,430
BlackRock MuniVest Fund II (C)		9,250		833
BlackRock MuniYield Fund (C)		11,750		1,057
Invesco Insured Municipal Income Trust		25,000		2,225
Invesco Van Kampen Senior Income Trust		25,000		2,225

Total Auction Rate Preferred Securities (Cost $9,668) ($ Thousands)				10,075


PREFERRED STOCK — 0.5%
Ally Financial (A) (C)
8.500%		4,615		4,458
7.000%		55,000		1,449
Dana Holding
4.000% (A)		5,754		895
General Motors CV to 1.2626
4.750%		5,875		294
GMAC Capital Trust I,
8.125% (C)		85,000		2,233

Total Preferred Stock (Cost $7,592) ($ Thousands)				9,329


MUNICIPAL BONDS — 0.4%
California State, Tobacco Securitization
5.750%, 06/01/47		2,780		1,905
5.125%, 06/01/47		3,905		2,403


SEI Institutional Investments Trust / Annual Report / May 31, 2011			123

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Concluded)

May 31, 2011


Description	Face Amount ($ Thousands)/ Shares		Market Value ($ Thousands)

New Jersey State, Tobacco Settlement, Ser 1A
4.750%, 06/01/34	$	655	$	416
Tobacco Settlement, Ser 1A
5.000%, 06/01/41		5,915		3,764

Total Municipal Bonds (Cost $8,295) ($ Thousands)				8,488


COMMON STOCK — 0.3%
Aventine Renewable Energy Holdings* (A)		63,252		1,015
Core-Mark Holding*		812		29
Dana Holdings*		67,821		1,229
Delta Air Lines*		2,632		27
Dex One*		42,145		98
LyondellBasell Industries, Cl A		79,971		3,504
Neenah Enterprises* (F) (G)		21,556		97
Solutia*		368		9
United Continental Holdings*		21		—
VSS AHC, Cl A* (F) (G) (H)		43,496		519

Total Common Stock (Cost $5,613) ($ Thousands)				6,527


CONVERTIBLE BONDS — 0.3%
Hologic CV to 25.9110
2.000%, 12/15/37		965		942
Liberty Media LLC CV to 60.0532
3.750%, 02/15/30		3,680		2,111


Description	Face Amount ($ Thousands)/ Shares		Market Value ($ Thousands)

Liberty Media LLC CV to 82.0325
4.000%, 11/15/29	$	2,025	$	1,210
Live Nation Entertainment CV to 36.8395
2.875%, 07/15/27		1,101		1,030
Mirant CV to 14.7167
0.000%, 06/15/21		1,950		4
Vector Group CV to 59.3618
12.921%, 06/15/26 (C)		410		498

Total Convertible Bonds (Cost $5,432) ($ Thousands)				5,795

	Number of Warrants

WARRANTS — 0.0%
Alion Science and Technology, Expires 03/15/17*		2,025		—

Total Warrants (Cost $ — ) ($ Thousands)				—


CASH EQUIVALENT — 1.5%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.050%†**		28,432,788		28,433

Total Cash Equivalent (Cost $28,433) ($ Thousands)				28,433

Total Investments — 100.2% (Cost $1,837,634) ($ Thousands)			$	1,943,440

A summary of outstanding swap agreements held by the Fund at May 31, 2011, 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	$	(1,644	)
Barclays Bank PLC	CDX.NA.HY.15 Index	BUY		5.00		12/20/15		13,000		(189	)

									$	(1,833	)

Percentages are based on a Net Assets of $1,939,023 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2011.

†

Investment in Affiliated Security (see Note 5).

‡

Real Estate Investment Trust

(A)

(B)

Security in default on interest payments.

(C)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of May 31, 2011. The date reported is the final maturity date.

(D)

The rate reported is the effective yield at time of purchase.

(E)

Step Bonds — The rate reflected is the effective yield on May 31, 2011. The coupon on a step bond changes on a specified date.

(F)

Securities considered illiquid. The total value of such securities as of May 31, 2011 was $2,723 ($ Thousands) and represented 0.14% of Net Assets.

(G)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of May 31, 2011 was $2,723 and represented 0.14% of Net Assets.

(H)

Securities considered restricted. The total value of such securities as of May 31, 2011 was $613 ($ Thousands) and represented 0.03% of Net Assets.

(I)

Unsettled bank loan. Interest rate not available.

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.


124		SEI Institutional Investments Trust / Annual Report / May 31, 2011

The following is a summary of the inputs used as of May 31, 2011, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Corporate Obligations	$	—	$	1,620,698	$	15,193	$	1,635,891
Loan Participations		—		89,345		18,592		107,937
Collateralized Debt Obligations		—		—		122,852		122,852
Asset-Backed Securities		—		3,047		5,066		8,113
Auction Rate Preferred Securities		—		—		10,075		10,075
Preferred Stock		1,189		8,140		—		9,329
Municipal Bonds		—		8,488		—		8,488
Common Stock		4,896		771		860		6,527
Convertible Bonds		—		5,791		4		5,795
Warrants		—		—		—		—
Cash Equivalent		28,433		—		—		28,433

Total Investments in Securities	$	34,518	$	1,736,280	$	172,642	$	1,943,440


Other Financial Instruments	Level 1		Level 2			Level 3		Total
Credit Default Swaps	$	—	$	(1,833	)	$	—	$	(1,833	)

Total Other Financial Instruments	$	—	$	(1,833	)	$	—	$	(1,833	)

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 Loan Participations			Investments in Collateralized Debt Obligations			Investments in Asset-Backed Securities		Investments in Auction Rate Preferred Security		Investments in Preferred Stock			Investments in Common Stock			Investments in Convertible Bonds
Beginning balance as June 1, 2010	$	20,182		$	15,914		$	31,116		$	—	$	6,622	$	363		$	3,007		$	4
Accrued discounts/premiums		(160	)		(20	)		728			6		—		—			—			—
Realized gain/(loss)		(3,700	)		14			(1,878	)		11		246		(576	)		—			—
Change in unrealized appreciation/(depreciation)		1,567			522			21,197			46		244		213			(411	)		—
Net purchases/sales		(2,907	)		6,067			71,689			5,003		2,963		—			—			—
Net transfer into Level 3		4,914			7,230			—			—		—		—			97			—
Net transfer out of Level 3		(4,703	)		(11,135	)		—			—		—		—			(1,833	)		—

Ending balance as of May 31, 2011	$	15,193		$	18,592		$	122,852		$	5,066	$	10,075	$	—		$	860		$	4

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	(664	)	$	34		$	9,531		$	46	$	288	$	—		$	741		$	—

For the year ended May 31, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities. For the year ended May 31, 2011, the transfer out of Level 3 were due to changes in the availability of observable inputs used to determine fair value.

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 / Annual Report / May 31, 2011			125

SCHEDULE OF INVESTMENTS

Long Duration Fund

May 31, 2011

LOGO


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS — 60.8%

Consumer Discretionary — 7.7%
Comcast
6.550%, 07/01/39	$	2,535	$	2,802
6.450%, 03/15/37		13,705		14,895
6.400%, 05/15/38		2,127		2,298
6.400%, 03/01/40		4,389		4,783
Comcast Cable Communications Holdings
9.455%, 11/15/22		5,200		7,313
COX Communications (A)
8.375%, 03/01/39		5,975		8,178
6.950%, 06/01/38		4,883		5,726
CVS Caremark
6.125%, 09/15/39		14,825		15,468
5.750%, 05/15/41		5,795		5,746
CVS Pass-Through Trust
8.353%, 07/10/31 (A)		5,168		6,354
DIRECTV Holdings
6.375%, 03/01/41		1,105		1,182
6.000%, 08/15/40		7,870		8,071
Historic TW
6.625%, 05/15/29		3,995		4,423
Home Depot
5.950%, 04/01/41		9,671		10,144
5.400%, 09/15/40		3,842		3,748
Lowe’s
7.110%, 05/15/37		1,402		1,752
5.800%, 04/15/40		2,211		2,394
McDonald’s MTN
6.300%, 03/01/38		6,015		7,141
NBC Universal
6.400%, 04/30/40 (A)		3,725		4,047
5.950%, 04/01/41 (A)		13,301		13,677
4.375%, 04/01/21 (A)		4,450		4,423
News America
8.150%, 10/17/36		2,355		3,012


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

7.850%, 03/01/39	$	6,275	$	7,752
7.700%, 10/30/25		1,450		1,798
6.900%, 08/15/39		2,775		3,133
6.750%, 01/09/38		2,260		2,480
6.650%, 11/15/37		8,480		9,278
6.150%, 03/01/37		1,945		2,016
6.150%, 02/15/41 (A)		4,195		4,303
TCI Communications
7.875%, 02/15/26		635		816
Time Warner
7.700%, 05/01/32		3,448		4,204
7.625%, 04/15/31		14,455		17,433
7.570%, 02/01/24		295		366
6.250%, 03/29/41		6,600		6,897
6.100%, 07/15/40		3,900		4,015
Time Warner Cable
8.750%, 02/14/19		6,730		8,611
8.250%, 04/01/19		3,075		3,847
7.300%, 07/01/38		1,757		2,041
6.750%, 06/15/39		3,650		4,011
5.875%, 11/15/40		6,525		6,443
Time Warner Entertainment
8.375%, 07/15/33		5,700		7,349
Wal-Mart Stores
6.200%, 04/15/38		8,250		9,281
5.625%, 04/01/40		9,817		10,285
5.625%, 04/15/41		10,930		11,459
5.000%, 10/25/40		2,540		2,442
Yum! Brands
6.875%, 11/15/37		3,825		4,458

				272,295


Consumer Staples — 3.4%
Altria Group
10.200%, 02/06/39		8,190		12,157
4.750%, 05/05/21		2,820		2,849
Anheuser-Busch
6.450%, 09/01/37		945		1,092
Anheuser-Busch InBev Worldwide
8.200%, 01/15/39		4,430		6,257
6.875%, 11/15/19		6,000		7,337
6.375%, 01/15/40		9,360		10,864
Diageo Capital
5.875%, 09/30/36		2,653		2,946
General Mills
5.400%, 06/15/40		1,090		1,126
HJ Heinz Finance
7.125%, 08/01/39 (A)		7,270		8,976
Kellogg
4.000%, 12/15/20		8,550		8,624
Kraft Foods
6.875%, 02/01/38		15,985		18,714
6.500%, 02/09/40		10,060		11,328


126		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Massachusetts Institute of Technology
5.600%, 07/01/11 (2111)	$	4,700	$	4,918
PepsiCo
5.500%, 01/15/40		4,215		4,514
Philip Morris International
6.375%, 05/16/38		1,705		2,000
President and Fellows of Harvard College
5.625%, 10/01/38		5,015		5,575
Procter & Gamble
8.000%, 09/01/24		3,000		4,186
Ralcorp Holdings
6.625%, 08/15/39		6,000		6,480
Sara Lee
4.100%, 09/15/20		1,235		1,212

				121,155


Energy — 6.7%
Apache
5.100%, 09/01/40		3,030		2,985
BG Energy Capital
4.000%, 12/09/20 (A)		3,415		3,453
Canadian Natural Resources
6.750%, 02/01/39		2,360		2,805
6.250%, 03/15/38		3,000		3,365
Cenovus Energy
6.750%, 11/15/39		4,515		5,332
ConocoPhillips
6.500%, 02/01/39		19,150		22,874
5.900%, 05/15/38		6,380		7,053
Diamond Offshore Drilling
5.700%, 10/15/39		828		856
El Paso Pipeline Partners Operating LLC
7.500%, 11/15/40		5,575		6,790
Encana
6.500%, 02/01/38		6,140		6,894
ENI
5.700%, 10/01/40 (A)		5,550		5,506
EQT
8.125%, 06/01/19		8,455		10,430
Hess
7.875%, 10/01/29		4,238		5,460
6.000%, 01/15/40		4,544		4,781
5.600%, 02/15/41		4,865		4,893
Husky Energy
7.250%, 12/15/19		4,000		4,871
Kinder Morgan Energy Partners
6.375%, 03/01/41		5,675		6,034
Marathon Oil
6.600%, 10/01/37		6,185		7,073
Marathon Petroleum
6.500%, 03/01/41 (A)		6,423		6,893


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Motiva Enterprises LLC
6.850%, 01/15/40 (A)	$	5,685	$	6,775
Noble Holding International
6.200%, 08/01/40		2,810		3,048
Panhandle Eastern Pipeline
8.125%, 06/01/19		1,600		1,950
7.000%, 06/15/18		700		811
Petrobras International Finance
6.875%, 01/20/40		5,300		5,727
Petro-Canada
6.800%, 05/15/38		3,725		4,345
Petroleos Mexicanos
6.500%, 06/02/41 (A)		1,750		1,760
Shell International Finance BV
5.500%, 03/25/40		14,321		15,370
Spectra Energy Capital LLC
7.500%, 09/15/38		1,913		2,358
6.750%, 02/15/32		3,000		3,373
Southern Natural Gas
7.350%, 02/15/31		870		1,049
Statoil
5.100%, 08/17/40		6,300		6,303
Suncor Energy
6.850%, 06/01/39		3,675		4,311
6.500%, 06/15/38		5,675		6,437
Talisman Energy
7.250%, 10/15/27		3,325		4,018
Tennessee Gas Pipeline
8.375%, 06/15/32		2,655		3,477
TransCanada PipeLines
7.625%, 01/15/39		2,500		3,234
7.250%, 08/15/38		3,100		3,832
6.100%, 06/01/40		7,875		8,671
Valero Energy
10.500%, 03/15/39		4,129		6,123
6.625%, 06/15/37		3,220		3,443
6.125%, 02/01/20		3,007		3,361
Williams
7.875%, 09/01/21		2,592		3,378
7.750%, 06/15/31		2,264		2,860
XTO Energy
6.100%, 04/01/36		8,315		9,859

				234,221


Financials — 23.1%
ACE INA Holdings
6.700%, 05/15/36		4,677		5,512
Aflac
6.900%, 12/17/39		8,565		9,397
6.450%, 08/15/40		1,510		1,553
Alta Wind Holdings
7.000%, 06/30/35 (A)		4,887		5,317
American Express
8.150%, 03/19/38		3,910		5,419


SEI Institutional Investments Trust / Annual Report / May 31, 2011			127

SCHEDULE OF INVESTMENTS

Long Duration Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

8.125%, 05/20/19	$	5,615	$	7,242
7.000%, 03/19/18		1,840		2,209
Assurant
6.750%, 02/15/34		4,465		4,621
BAC Capital Trust XV
1.110%, 06/01/56 (B)		8,000		6,029
Bank of America
6.500%, 09/15/37		2,700		2,833
5.750%, 12/01/17		5,750		6,234
5.650%, 05/01/18		22,040		23,543
5.000%, 05/13/21		4,750		4,741
Bank of America, Ser A
8.070%, 12/31/26 (A)		5,095		5,235
Bank One Capital III
8.750%, 09/01/30		3,550		4,628
Barclays Bank
5.125%, 01/08/20		9,000		9,312
Bear Stearns
7.250%, 02/01/18		5,468		6,559
6.400%, 10/02/17		9,175		10,561
Blackstone Holdings Finance LLC
6.625%, 08/15/19 (A)		7,138		7,735
BRE Properties
5.500%, 03/15/17‡		750		825
Camden Property Trust
4.625%, 06/15/21‡		3,425		3,405
Capital One Capital VI
8.875%, 05/15/40		4,000		4,145
CDP Financial
5.600%, 11/25/39 (A)		17,565		18,805
Chase Capital II
0.773%, 02/01/27 (B)		4,984		4,298
Chase Capital VI
0.898%, 08/01/28 (B)		2,695		2,296
Chubb
6.500%, 05/15/38		10,240		11,918
Citigroup
8.125%, 07/15/39		1,695		2,210
6.875%, 03/05/38		28,330		32,825
6.875%, 02/15/98		1,765		1,787
5.875%, 05/29/37		6,551		6,764
5.500%, 02/15/17		9,005		9,727
Commonwealth Bank of Australia
5.000%, 10/15/19 (A)		4,250		4,469
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA
5.800%, 09/30/10 (2110) (A)		12,855		12,863
Credit Suisse NY
6.000%, 02/15/18		7,600		8,364
Deutsche Bank Capital Funding Trust
5.628%, 01/19/49 (A) (B)		3,195		2,951
Discover Bank
8.700%, 11/18/19		6,275		7,829
7.000%, 04/15/20		1,250		1,425


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

ERP Operating
5.750%, 06/15/17‡	$	3,000	$	3,381
Farmers Exchange Capital
7.050%, 07/15/28 (A)		17,515		18,480
First Union
7.575%, 08/01/26		4,920		5,991
FleetBoston Financial
6.875%, 01/15/28		3,250		3,482
FMR
6.500%, 12/14/40 (A)		1,000		1,077
General Electric Capital MTN
6.875%, 01/10/39		33,265		39,082
6.150%, 08/07/37		8,775		9,420
5.875%, 01/14/38		18,198		18,937
5.300%, 02/11/21		880		924
4.375%, 09/16/20		2,315		2,307
Goldman Sachs Group
7.500%, 02/15/19		251		294
6.750%, 10/01/37		32,665		32,821
6.250%, 02/01/41		21,218		21,446
6.150%, 04/01/18		155		170
0.450%, 02/06/12 (B)		5,000		5,001
Guardian Life Insurance of America
7.375%, 09/30/39 (A)		10,635		13,065
HBOS MTN
6.750%, 05/21/18 (A)		3,700		3,735
HCP
6.750%, 02/01/41‡		6,175		6,718
6.700%, 01/30/18‡		2,295		2,623
6.300%, 09/15/16‡		2,195		2,492
Health Care REIT
6.500%, 03/15/41‡		8,360		8,452
4.950%, 01/15/21‡		5,750		5,684
Healthcare Realty Trust
5.750%, 01/15/21‡		1,275		1,335
HSBC Holdings
6.500%, 09/15/37		10,955		11,714
5.100%, 04/05/21		5,500		5,723
International Lease Finance (A)
7.125%, 09/01/18		1,500		1,642
6.750%, 09/01/16		3,700		4,015
Jefferies Group
8.500%, 07/15/19		2,650		3,213
6.875%, 04/15/21		1,768		1,944
JPMorgan Chase
6.400%, 05/15/38		7,092		8,082
6.300%, 04/23/19		3,775		4,311
6.000%, 01/15/18		2,671		3,014
5.500%, 10/15/40		1,750		1,791
JPMorgan Chase Bank
6.000%, 10/01/17		4,170		4,687
JPMorgan Chase Capital XXVII
7.000%, 11/01/39		2,750		2,834


128		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

KKR Group Finance
6.375%, 09/29/20 (A)	$	4,670	$	4,982
Lloyds TSB Bank
6.375%, 01/21/21		3,000		3,176
Macquarie Bank MTN
6.625%, 04/07/21 (A)		9,025		9,223
Massachusetts Mutual Life Insurance
8.875%, 06/01/39 (A)		12,320		17,759
Merrill Lynch
8.950%, 05/02/17 (B)		1,305		1,427
8.950%, 05/18/17 (B)		1,340		1,474
7.750%, 05/14/38		3,340		3,921
6.110%, 01/29/37		5,925		5,917
MetLife
7.717%, 02/15/19		3,000		3,680
5.875%, 02/06/41		5,590		5,885
Metropolitan Life Insurance
7.800%, 11/01/25 (A)		4,700		5,684
Morgan Stanley MTN
7.300%, 05/13/19		6,445		7,422
6.625%, 04/01/18		15,560		17,514
5.625%, 09/23/19		15,625		16,542
5.500%, 01/26/20		5,798		5,962
NASDAQ OMX Group
5.550%, 01/15/20		5,442		5,460
National Australia Bank
4.375%, 12/10/20 (A)		5,690		5,657
Nationwide Mutual Insurance
6.600%, 04/15/34 (A)		5,426		5,265
New York Life Insurance
6.750%, 11/15/39 (A)		15,100		17,889
Northwestern Mutual Life Insurance
6.063%, 03/30/40 (A)		7,275		8,037
PNC Funding
5.125%, 02/08/20		8,475		9,187
Power Receivables Finance
6.290%, 01/01/12 (A)		284		285
Prudential Financial MTN
6.625%, 06/21/40		1,000		1,129
5.700%, 12/14/36		4,845		4,884
Prudential Holdings LLC
8.695%, 12/18/23 (A)		8,646		10,808
Prudential Insurance of America
8.300%, 07/01/25 (A)		5,500		6,964
Raymond James Financial
8.600%, 08/15/19		1,655		2,049
Security Benefit Life
7.450%, 10/01/33 (A)		6,575		5,829
Simon Property Group‡
10.350%, 04/01/19		1,995		2,816
6.750%, 02/01/40		8,848		10,277
State Street
7.350%, 06/15/26		6,155		7,738
Teachers Insurance & Annuity Association of America
6.850%, 12/16/39 (A)		9,430		11,145


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Travelers
5.350%, 11/01/40	$	5,785	$	5,717
Ventas Realty
4.750%, 06/01/21‡		4,000		3,987
Wachovia
6.605%, 10/01/25		3,100		3,595
0.613%, 10/28/15 (B)		1,590		1,545
Wachovia Bank
6.600%, 01/15/38		10,080		11,631
5.850%, 02/01/37		5,420		5,684
WEA Finance LLC
7.125%, 04/15/18 (A)		4,513		5,325
6.750%, 09/02/19 (A)		4,775		5,562
Wells Fargo MTN
4.600%, 04/01/21		3,975		4,070
Westpac Banking
4.875%, 11/19/19		5,035		5,334
ZFS Finance USA Trust II
6.450%, 12/15/65 (A) (B)		3,650		3,814
ZFS Finance USA Trust IV
5.875%, 05/09/32 (A) (B)		4,250		4,294

				812,018


Health Care — 3.9%
Abbott Laboratories
5.300%, 05/27/40		3,547		3,665
Aetna
6.750%, 12/15/37		3,400		3,939
Amgen
6.400%, 02/01/39		3,685		4,240
5.750%, 03/15/40		5,055		5,357
AstraZeneca
6.450%, 09/15/37		5,500		6,535
Boston Scientific
7.375%, 01/15/40		3,910		4,586
6.000%, 01/15/20		1,275		1,389
Celgene
5.700%, 10/15/40		5,625		5,633
GlaxoSmithKline Capital
6.375%, 05/15/38		6,105		7,168
Highmark (A)
6.125%, 05/15/41		3,405		3,450
4.750%, 05/15/21		1,330		1,346
Mead Johnson Nutrition
5.900%, 11/01/39		5,350		5,664
Merck
5.850%, 06/30/39		7,370		8,297
Pfizer
7.200%, 03/15/39		11,135		14,231
Roche Holdings
7.000%, 03/01/39 (A)		15,357		19,180
Thermo Fisher Scientific
4.500%, 03/01/21		2,865		2,984


SEI Institutional Investments Trust / Annual Report / May 31, 2011			129

SCHEDULE OF INVESTMENTS

Long Duration Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

UnitedHealth Group
6.625%, 11/15/37	$	8,855	$	10,033
6.500%, 06/15/37		4,100		4,584
5.800%, 03/15/36		5,000		5,187
Wellpoint
6.375%, 06/15/37		1,730		1,938
5.800%, 08/15/40		1,600		1,662
Wyeth
6.000%, 02/15/36		4,715		5,250
5.950%, 04/01/37		10,580		11,700

				138,018


Industrials — 3.4%
Boeing
5.875%, 02/15/40		4,975		5,544
Burlington Northern Santa Fe LLC
7.290%, 06/01/36		2,228		2,711
6.200%, 08/15/36		5,100		5,650
5.650%, 05/01/17		2,830		3,228
Canadian National Railway
6.900%, 07/15/28		1,000		1,221
Caterpillar
5.200%, 05/27/41		10,170		10,278
Continental Airlines
5.983%, 04/19/22		7,916		8,144
Continental Airlines 2009-1 Pass-Through Trust
9.000%, 07/08/16		6,129		7,018
Delta Air Lines
6.200%, 07/02/18		1,453		1,496
Delta Air Lines 2009-1 Class A Pass-Through Trust
7.750%, 12/17/19		1,431		1,560
Delta Air Lines 2010-2 Class A Pass-Through Trust
4.950%, 05/23/19		2,292		2,292
Lockheed Martin
5.720%, 06/01/40 (A)		2,332		2,491
5.500%, 11/15/39		7,035		7,272
Meccanica Holdings USA (A)
7.375%, 07/15/39		3,570		3,879
6.250%, 01/15/40		4,315		4,108
Norfolk Southern
6.000%, 03/15/05		5,503		5,558
6.000%, 05/23/11		7,789		7,894
5.900%, 06/15/19		4,395		5,091
Raytheon
4.875%, 10/15/40		2,920		2,752
Union Pacific
6.625%, 02/01/29		1,941		2,305
6.125%, 02/15/20		2,000		2,350
5.780%, 07/15/40		5,134		5,505
United Parcel Service
6.200%, 01/15/38		2,768		3,245


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

United Technologies
5.700%, 04/15/40	$	8,800	$	9,779
Waste Management
6.125%, 11/30/39		3,590		3,879
4.600%, 03/01/21		4,280		4,405

				119,655


Information Technology — 2.1%
Cisco Systems
5.900%, 02/15/39		2,450		2,647
5.500%, 01/15/40		14,230		14,582
Energizer Holdings
4.700%, 05/19/21 (A)		3,825		3,855
International Business Machines
5.600%, 11/30/39		5,145		5,578
Juniper Networks
5.950%, 03/15/41		12,020		12,607
Microsoft
5.300%, 02/08/41		10,350		10,810
Oracle
6.500%, 04/15/38		6,200		7,329
6.125%, 07/08/39		6,290		7,124
5.375%, 07/15/40 (A)		8,735		8,989

				73,521


Materials — 0.5%
ArcelorMittal
7.000%, 10/15/39		8,055		8,395
6.750%, 03/01/41		2,025		2,041
Southern Copper
7.500%, 07/27/35		4,999		5,443

				15,879


Sovereign — 0.2%
Province of Quebec MTN
6.350%, 01/30/26		4,880		6,111
Tennessee Valley Authority
4.625%, 09/15/60		2,015		1,953

				8,064


Telecommunication Services — 3.0%
AT&T
6.550%, 02/15/39		6,075		6,702
6.400%, 05/15/38		500		540
6.300%, 01/15/38		20,835		22,279
5.350%, 09/01/40		2,910		2,775
Bellsouth Capital Funding
7.120%, 07/15/97		3,928		4,330
BellSouth Telecommunications
7.000%, 12/01/95		4,567		4,988
British Telecommunications
9.875%, 12/15/30 (D)		3,170		4,522


130		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Telecom Italia Capital
7.721%, 06/04/38	$	5,625	$	6,017
7.200%, 07/18/36		1,765		1,795
7.175%, 06/18/19		5,375		6,103
Telefonica Emisiones
7.045%, 06/20/36		5,340		5,949
Verizon Communications
8.950%, 03/01/39		2,650		3,823
7.350%, 04/01/39		9,365		11,575
6.400%, 02/15/38		9,378		10,381
6.250%, 04/01/37		4,685		5,073
6.000%, 04/01/41		6,015		6,347
4.600%, 04/01/21		1,100		1,140
Vodafone Group
6.150%, 02/27/37		415		464

				104,803


Utilities — 6.8%
AGL Capital
5.875%, 03/15/41		5,100		5,332
Arizona Public Service
8.750%, 03/01/19		2,705		3,511
Cedar Brakes II LLC
9.875%, 09/01/13 (A)		773		813
Consolidated Edison of New York
6.750%, 04/01/38		2,470		2,997
6.300%, 08/15/37		1,440		1,664
6.200%, 06/15/36		2,225		2,549
5.500%, 12/01/39		2,165		2,296
Coso Geothermal Power Holdings
7.000%, 07/15/26 (A)		2,879		2,428
Dominion Resources
5.250%, 08/01/33		2,500		2,764
Duke Energy Carolinas LLC
6.100%, 06/01/37		5,000		5,594
5.300%, 02/15/40		5,585		5,790
Elm Road Generating Station Supercritical LLC
5.848%, 01/19/41 (A)		3,007		3,252
Enel Finance International
6.000%, 10/07/39 (A)		4,155		3,935
Entergy Louisiana LLC
4.800%, 05/01/21		7,200		7,400
Entergy Texas
7.125%, 02/01/19		3,725		4,446
Exelon Generation LLC
6.250%, 10/01/39		4,480		4,652
5.750%, 10/01/41		12,361		12,055
FirstEnergy, Ser C
7.375%, 11/15/31		3,180		3,697
Florida Power & Light
5.960%, 04/01/39		3,225		3,674
5.400%, 09/01/35		710		755


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Georgia Power
5.950%, 02/01/39	$	3,850	$	4,267
5.400%, 06/01/40		13,180		13,560
Iberdrola Finance Ireland
5.000%, 09/11/19 (A)		3,700		3,707
Kansas City Power & Light
7.150%, 04/01/19		10,930		13,183
KCP&L Greater Missouri Operations
8.270%, 11/15/21		5,100		6,077
KeySpan Gas East
5.819%, 04/01/41 (A)		9,585		10,153
Metropolitan Edison
7.700%, 01/15/19		2,500		3,038
Midamerican Energy Holdings
6.500%, 09/15/37		19,440		22,464
NextEra Energy Capital Holdings
6.000%, 03/01/19		4,000		4,500
Nisource Finance
6.250%, 12/15/40		5,180		5,510
6.125%, 03/01/22		1,767		1,986
Oncor Electric Delivery
7.500%, 09/01/38		3,200		4,025
5.250%, 09/30/40 (A)		4,975		4,897
Pacific Gas & Electric
6.250%, 03/01/39		4,500		5,007
6.050%, 03/01/34		4,100		4,471
5.800%, 03/01/37		2,681		2,846
PacifiCorp
5.750%, 04/01/37		615		670
Pennsylvania Electric
6.150%, 10/01/38		5,420		5,712
Progress Energy
7.050%, 03/15/19		4,500		5,477
San Diego Gas & Electric
5.350%, 05/15/40		1,350		1,427
Southern California Edison
6.050%, 03/15/39		7,050		8,043
Southern Union
8.250%, 11/15/29		5,075		6,142
Southwestern Electric Power
6.450%, 01/15/19		3,663		4,183
6.200%, 03/15/40		6,680		6,997
Texas-New Mexico Power
9.500%, 04/01/19 (A)		6,782		8,789
Union Electric
8.450%, 03/15/39		3,000		4,305

				241,040

Total Corporate Obligations (Cost $1,957,382) ($ Thousands)				2,140,669


U.S. TREASURY OBLIGATIONS — 27.9%
U.S. Treasury Bills
0.035%, 09/08/11 (C) (E)		2,820		2,820


SEI Institutional Investments Trust / Annual Report / May 31, 2011			131

SCHEDULE OF INVESTMENTS

Long Duration Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

U.S. Treasury Bonds
7.625%, 02/15/25	$	52,395	$	75,842
4.375%, 05/15/40		214,255		219,980
4.375%, 05/15/41		149,495		153,443
4.250%, 11/15/40		35,770		35,927
3.875%, 08/15/40 (E)		408,413		384,355

				869,547

U.S. Treasury Inflation-Protected Securities
2.125%, 02/15/41		4,429		4,760

U.S. Treasury Notes
3.125%, 05/15/21		3,915		3,940
2.625%, 08/15/20		5,849		5,701

				9,641

U.S. Treasury STRIPS
4.547%, 11/15/21 (C)		47,197		33,155
3.942%, 02/15/23 (C)		96,720		63,378

				96,533

Total U.S. Treasury Obligations (Cost $952,964) ($ Thousands)				983,301


MUNICIPAL BONDS — 4.3%
Bay Area, Toll Authority, Build America Project, RB
6.263%, 04/01/49		7,200		7,935
City of Gainesville, Build America Project, RB
6.024%, 10/01/40		3,350		3,416
City of New York, Build America Project, GO Callable 10/01/20 @ 100
5.817%, 10/01/31		2,950		3,029
City of New York, New York, GO Callable 12/01/20 @ 100
6.646%, 12/01/31		2,200		2,396
Dallas County Hospital District, Build America Project, Ser C, GO
5.621%, 08/15/44		5,518		5,968
Dallas Independent School District, Build America Project, GO, PSF-GTD Callable 02/15/21 @ 100
6.450%, 02/15/35		3,415		3,805
Indianapolis Local Public Improvement Bond Bank, Build America Project, RB
6.116%, 01/15/40		6,605		7,252
Los Angeles, Department of Water & Power, Build America Project, RB
6.574%, 07/01/45		3,300		3,770
6.008%, 07/01/39		5,000		5,274
Massachusetts Bay Transportation Authority, Ser A, RB
5.000%, 07/01/31		3,795		4,204


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

New Jersey State Turnpike Authority, RB
7.102%, 01/01/41	$	4,765	$	5,633
New York City Municipal Water Finance Authority, RB
5.882%, 06/15/44		1,500		1,585
5.724%, 06/15/42		1,250		1,348
5.440%, 06/15/43		3,540		3,623
New York City Municipal Water Finance Authority, RB Callable 06/15/20 @ 100
6.491%, 06/15/42		6,630		7,028
New York City Transitional Finance Authority, RB
5.572%, 11/01/38		2,195		2,289
New York State Dormitory Authority, RB
5.500%, 03/15/30		3,295		3,419
North Texas Tollway Authority, RB
6.718%, 01/01/49		6,762		7,505
Ohio State University, Build America Project, RB
4.910%, 06/01/40		4,470		4,357
Port Authority of New York & New Jersey, RB
5.647%, 11/01/40		3,675		3,800
San Diego County Water Authority, RB
6.138%, 05/01/49		4,550		4,918
Santa Clara Valley Transportation Authority, Build America Project, RB
5.876%, 04/01/32		2,580		2,721
State of California, Build America Project, GO
7.550%, 04/01/39		8,855		10,434
State of California, Build America Project, GO
7.300%, 10/01/39		2,100		2,395
State of Illinois, Build America Project, GO
7.350%, 07/01/35		1,145		1,258
6.630%, 02/01/35		3,275		3,350
5.100%, 06/01/33		11,575		10,192
State of New York, Build America Project, RB
5.770%, 03/15/39		6,825		7,183
State of Texas, Transportation Communication Authority, Ser B, RB
5.178%, 04/01/30		6,835		7,157
State of Virginia, Build America Project, RB
5.000%, 09/01/40		7,255		7,247
State of Washington, Build America Project, Ser D, GO
5.481%, 08/01/39		2,455		2,557


132		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Triborough Bridge & Tunnel Authority, Build America Project, RB
5.450%, 11/15/32	$	3,000	$	3,058

Total Municipal Bonds (Cost $141,001) ($ Thousands)				150,106


U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.5%
FHLMC
0.240%, 11/07/11 (B)		6,025		6,027
FICO STRIPS (C)
4.672%, 03/26/19		12,000		9,387
FICO STRIPS, PO
0.000%, 08/03/18 to 09/26/19		46,770		37,239

Total U.S. Government Agency Obligations (Cost $46,366) ($ Thousands)				52,653


MORTGAGE-BACKED SECURITIES — 1.5%

Agency Mortgage-Backed Obligations — 1.3%
FHLMC CMO, Ser 2004-2748, Cl ZT
5.500%, 02/15/24		561		627
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser 2011-K013, Cl A2
3.974%, 01/25/21 (B)		6,295		6,407
FNMA
4.301%, 01/01/21		3,104		3,262
3.841%, 09/01/20		5,667		5,805
3.762%, 12/01/20		5,502		5,599
3.665%, 10/01/20		5,715		5,788
3.583%, 09/01/20		5,501		5,546
FNMA CMO, Ser 2004-12, Cl ZX
6.000%, 03/25/34		741		861
FNMA CMO, Ser 2004-80, Cl XZ
5.000%, 11/25/34		430		449
GNMA ARM
3.375%, 06/20/32 (B)		158		165
GNMA CMO, Ser 2010-164, Cl JZ
4.000%, 12/20/40		8,033		7,221
GNMA CMO, Ser 2011-70, Cl BO
3.607%, 05/20/41		10,425		5,142

				46,872


Non-Agency Mortgage-Backed Obligations — 0.2%
American Home Mortgage Investment Trust, Ser 2007-2, Cl 11A1
0.424%, 03/25/47 (B)		1,642		820
Bayview Commercial Asset Trust, Ser 2007-3, Cl A1
0.434%, 07/25/37 (A) (B)		1,958		1,529
Countrywide Alternative Loan Trust, Ser 2005-16, Cl A5
0.474%, 06/25/35 (B) (D)		410		137


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Countrywide Home Loans, Ser 2005-2, Cl 1A1
0.514%, 03/25/35 (B)	$	197	$	121
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3
5.311%, 12/15/39		2,505		2,695
DSLA Mortgage Loan Trust, Ser 2005-AR2, Cl 2A1A
0.407%, 03/19/45 (B) (D)		293		204
Harborview Mortgage Loan Trust, Ser 2004-8, Cl 2A4A
0.597%, 11/19/34 (B)		359		250
Harborview Mortgage Loan Trust, Ser 2005-11, Cl 2A1A
0.507%, 08/19/45 (B) (D)		509		371
Indymac Index Mortgage Loan Trust, Ser 2004-AR5, Cl 2A1B
0.994%, 08/25/34 (B)		101		68
Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl A1
0.584%, 12/25/34 (B)		176		108
Indymac Index Mortgage Loan Trust, Ser 2004-AR7, Cl A2
1.054%, 09/25/34 (B)		42		28
Indymac Index Mortgage Loan Trust, Ser 2005-AR18, Cl 2A1A
0.504%, 10/25/36 (B)		21		13
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP7, Cl A4
6.061%, 04/15/45 (B)		535		598
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR2, Cl 2A21
0.524%, 01/25/45 (B)		265		216
WaMu Alternative Mortgage Pass-Through Certificates, Ser 2007-OA3, Cl 4A1
1.076%, 04/25/47 (B)		226		137

				7,295

Total Mortgage-Backed Securities (Cost $53,007) ($ Thousands)				54,167


ASSET-BACKED SECURITIES — 0.4%

Mortgage Related Securities — 0.1%
Citigroup Mortgage Loan Trust, Ser 2006-AMC1, Cl A2B
0.160%, 09/25/36 (B)		8,659		3,657


Other Asset-Backed Securities — 0.3%
GE Seaco Finance, Ser 2005-1A, Cl A
0.447%, 11/17/20 (A) (B)		4,950		4,764


SEI Institutional Investments Trust / Annual Report / May 31, 2011			133

SCHEDULE OF INVESTMENTS

Long Duration Fund (Concluded)

May 31, 2011


Description	Face Amount ($ Thousands)/ Shares		Market Value ($ Thousands)

TAL Advantage LLC, Ser 2010-2A, Cl A
4.300%, 10/20/25 (A)	$	2,213	$	2,313
TAL Advantage LLC, Ser 2011-1A, Cl A
4.600%, 01/20/26 (A)		532		549
Triton Container Finance LLC, Ser 2006-1A, Cl NOTE
0.360%, 11/26/21 (A) (B)		2,699		2,564
Triton Container Finance LLC, Ser 2007-1A, Cl NOTE
0.330%, 02/26/19 (A) (B)		1,641		1,575

				11,765

Total Asset-Backed Securities (Cost $15,853) ($ Thousands)				15,422


COMMERCIAL PAPER (C) — 0.8%
Barclays US Funding
0.210%, 08/19/11		12,700		12,694
Credit Suisse NY
0.200%, 07/14/11		6,850		6,848
Deutsche Bank Financial LLC
0.200%, 08/24/11		9,315		9,310

Total Commercial Paper (Cost $28,853) ($ Thousands)				28,852


CASH EQUIVALENT — 2.0%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.050%†*		71,419,794		71,420

Total Cash Equivalent (Cost $71,420) ($ Thousands)				71,420

Total Investments — 99.2% (Cost $3,266,846) ($ Thousands)			$	3,496,590

A summary of the open futures contracts held by the Fund at May 31, 2011, is as follows:


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 10-Year Treasury Note		(573	)		Jun-2011	$	(2,896	)
U.S. 2-Year Treasury Note		(478	)		Sep-2011		(161	)
U.S. 5-Year Treasury Note		(1,593	)		Sep-2011		(1,024	)
U.S. Ultra Long Treasury Bond		1,357			Sep-2011		1,754

						$	(2,327	)

Percentages are based on a Net Assets of $3,523,154 ($ Thousands).

The rate reported is the 7-day effective yield as of May 31, 2011.

†

Investment in Affiliated Security (See Note 5).

‡

Real Estate Investment Trust.

(A)

(B)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of May 31, 2011. The date reported is the final maturity date.

(C)

The rate reported is the effective yield at time of purchase.

(D)

Step Bond — The rate reported is the effective yield as of May 31, 2011. The coupon on a step bond changes on a specific date.

(E)

Security, or portion thereof, has been pledged as collateral on open futures contracts.

ARM — Adjustable Rate Mortgage

Cl — Class

CMO — Collateralized Mortgage Obligation

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

PSF-GTD — Public School Fund Guarantee

RB — Revenue Bond

REIT — Real Estate Investment Trust

Ser — Series

STRIPS — Separately Traded Registered Interest and Principal Securities

The following is a summary of the inputs used as of May 31, 2011, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Corporate Obligations	$	—	$	2,140,669	$	—	$	2,140,669
U.S. Treasury Obligations		—		983,301		—		983,301
Mortgage-Backed Securities		—		54,167		—		54,167
U.S. Government Agency Obligations		—		52,653		—		52,653
Asset-Backed Securities		—		15,422		—		15,422
Commercial Paper		—		28,852		—		28,852
Municipal Bonds		—		150,106		—		150,106
Cash Equivalent		71,420		—		—		71,420

Total Investments in Securities	$	71,420	$	3,425,170	$	—	$	3,496,590


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(2,327	)	$	—	$	—	$	(2,327	)

Futures contracts are valued at the unrealized depreciation on the instrument.

For the year ended May 31, 2011, there were 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 $O or have been rounded to $O.

The accompanying notes are an integral part of the financial statements.


134		SEI Institutional Investments Trust / Annual Report / May 31, 2011

SCHEDULE OF INVESTMENTS

Ultra Short Duration Bond Fund

May 31, 2011

LOGO


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS — 39.6%

Consumer Discretionary — 1.5%
CVS Caremark
5.750%, 08/15/11	$	1,016	$	1,027
DIRECTV Holdings LLC
3.500%, 03/01/16		645		665
NBCUniversal Media LLC
2.100%, 04/01/14 (A)		1,016		1,030
Nissan Motor Acceptance
3.250%, 01/30/13 (A)		168		172
Volkswagen International Finance
0.917%, 04/01/14 (A) (B)		1,850		1,856

				4,750


Consumer Staples — 3.4%
Anheuser-Busch InBev Worldwide
1.039%, 03/26/13 (B)		435		438
0.824%, 01/27/14 (B)		1,364		1,370
Archer-Daniels-Midland
0.422%, 08/13/12 (B)		1,422		1,424
Coca-Cola Enterprises
0.561%, 02/18/14 (B)		1,451		1,454
Dr Pepper Snapple Group
1.700%, 12/21/11		580		584
General Mills
5.250%, 08/15/13		1,074		1,171
Kraft Foods
5.625%, 11/01/11		75		76
2.625%, 05/08/13		429		442
PepsiCo
0.308%, 07/15/11 (B)		725		725
Philip Morris International
2.500%, 05/16/16		1,500		1,509
President and Fellows of Harvard College
3.700%, 04/01/13		769		808


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Procter & Gamble International Funding SCA
1.350%, 08/26/11	$	725	$	727

				10,728


Energy — 0.8%
BP Capital Markets
5.250%, 11/07/13		725		787
0.910%, 03/11/14 (B)		1,500		1,507


Financials — 26.0%				2,294

Allstate Life Global Funding Trusts MTN
5.375%, 04/30/13		1,350		1,461
Ally Financial
2.200%, 12/19/12		348		358
0.309%, 12/19/12 (B)		1,016		1,017
American Honda Finance MTN (A)
2.375%, 03/18/13		342		349
0.479%, 03/27/12 (B)		1,016		1,016
0.474%, 08/28/12 (B)		580		580
ANZ National Int'l
2.375%, 12/21/12 (A)		473		481
Bank of America MTN
2.100%, 04/30/12		871		886
1.693%, 01/30/14 (B)		1,485		1,499
Bank of Montreal
2.125%, 06/28/13		696		712
0.743%, 04/29/14 (B)		750		752
Bank of Nova Scotia
2.375%, 12/17/13		618		635
0.505%, 11/26/12 (B)		1,074		1,074
Bank of Tokyo-Mitsubishi UFJ
2.600%, 01/22/13 (A)		464		474
Banque PSA Finance
2.203%, 04/04/14 (A) (B)		1,000		997
BB&T
3.375%, 09/25/13		871		911
0.973%, 04/28/14 (B)		725		726
Berkshire Hathaway Finance
0.620%, 01/10/14 (B)		1,451		1,454
BlackRock
2.250%, 12/10/12		580		593
BNP Paribas MTN
2.125%, 12/21/12		754		768
BPCE
2.375%, 10/04/13 (A)		696		708
Canadian Imperial Bank of Commerce
1.450%, 09/13/13		972		978
0.473%, 05/04/12		1,161		1,162
Caterpillar Financial Services
1.900%, 12/17/12		485		494
0.595%, 04/01/14 (B)		1,000		1,004


SEI Institutional Investments Trust / Annual Report / May 31, 2011			135

SCHEDULE OF INVESTMENTS

Ultra Short Duration Bond Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Citigroup
5.125%, 05/05/14	$	1,161	$	1,254
2.125%, 04/30/12		87		88
1.235%, 04/01/14 (B)		1,500		1,496
Credit Agricole Home Loan SFH
1.024%, 07/21/14 (A) (B)		1,400		1,402
Danske Bank MTN
1.331%, 04/14/14 (A) (B)		1,575		1,575
Deutsche Bank
2.375%, 01/11/13		435		444
ERAC USA Finance LLC (A)
2.750%, 07/01/13		734		749
2.250%, 01/10/14		186		188
General Electric Capital MTN (B)
1.144%, 01/07/14		580		583
1.138%, 05/09/16		1,250		1,248
0.309%, 12/21/12		3,337		3,341
Genworth Global Funding Trusts
0.401%, 05/15/12 (B)		696		693
Goldman Sachs Group
6.000%, 05/01/14		331		364
3.250%, 06/15/12		1,451		1,495
1.268%, 02/07/14 (B)		1,730		1,726
HSBC Bank (A) (B)
1.076%, 01/17/14		1,277		1,284
0.681%, 05/15/13		700		700
HSBC USA
3.125%, 12/16/11		2,382		2,420
ING Bank (A)
2.650%, 01/14/13		725		736
2.000%, 10/18/13		871		872
Intesa Sanpaolo NY
2.375%, 12/21/12		871		877
John Deere Capital MTN
1.875%, 06/17/13		580		592
JPMorgan Chase
4.650%, 06/01/14		1,306		1,414
3.125%, 12/01/11		725		736
1.074%, 01/24/14 (B)		1,161		1,166
0.559%, 12/26/12 (B)		218		219
Kimco Realty
6.000%, 11/30/12‡		1,016		1,080
Marsh & McLennan
5.375%, 07/15/14		725		789
MassMutual Global Funding II
0.661%, 01/14/14 (A) (B)		1,312		1,312
MBIA Insurance
14.000%, 01/15/33 (A) (B)		290		178
Metropolitan Life Global Funding I MTN (A)
5.125%, 04/10/13		1,161		1,239
1.040%, 01/10/14 (B)		1,161		1,166
Monumental Global Funding
0.478%, 01/15/14 (A) (B)		522		504


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Monumental Global Funding II MTN
5.650%, 07/14/11 (A)	$	665	$	668
Morgan Stanley
4.200%, 11/20/14		1,161		1,218
1.874%, 01/24/14 (B)		725		732
0.590%, 01/09/14 (B)		348		340
0.547%, 02/10/12 (B)		696		698
National Rural Utilities Cooperative Finance
1.125%, 11/01/13		279		279
New York Life Global Funding (A) (B)
0.563%, 04/04/14		1,500		1,500
0.434%, 06/16/11		1,451		1,451
Nordea Bank
1.750%, 10/04/13 (A)		871		875
PNC Funding
0.589%, 06/22/11 (B)		685		685
Prudential Financial MTN
5.100%, 09/20/14		638		698
2.750%, 01/14/13		725		743
Royal Bank of Canada MTN
0.575%, 04/17/14 (B)		1,500		1,501
Royal Bank of Scotland
3.400%, 08/23/13		1,161		1,191
Santander US Debt Unipersonal
0.674%, 10/21/11 (A) (B)		958		957
Societe Generale MTN (A)
2.200%, 09/14/13		725		731
1.326%, 04/11/14 (B)		1,500		1,495
Standard Chartered
1.214%, 05/12/14 (A) (B)		1,500		1,502
State Street
0.602%, 03/07/14 (B)		1,181		1,183
Swedbank Hypotek
0.759%, 03/28/14 (A) (B)		1,850		1,860
Toyota Motor Credit MTN
1.375%, 08/12/13		1,161		1,169
UBS MTN (B)
1.359%, 02/23/12		612		616
1.273%, 01/28/14		563		568
Ventas Realty
3.125%, 11/30/15‡		717		719
Wachovia MTN
5.500%, 05/01/13		1,016		1,099
Wells Fargo
0.530%, 06/15/12 (B)		725		728
Western Union
0.832%, 03/07/13 (B)		1,215		1,222

				81,447


Health Care — 2.2%
AmerisourceBergen
5.625%, 09/15/12		1,451		1,530


136		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Express Scripts
5.250%, 06/15/12	$	1,000	$	1,043
GlaxoSmithKline Capital
4.850%, 05/15/13		493		531
Merck
1.875%, 06/30/11		586		587
Novartis Capital
1.900%, 04/24/13		432		442
Pfizer
4.450%, 03/15/12		580		598
Quest Diagnostics
1.159%, 03/24/14 (B)		450		453
Sanofi
0.618%, 03/28/14 (B)		1,400		1,406
Thermo Fisher Scientific
2.050%, 02/21/14		378		386

				6,976


Industrials — 0.3%
Boeing
1.875%, 11/20/12		421		429
Textron
6.500%, 06/01/12		290		305

				734


Information Technology — 1.6%
Dell
3.375%, 06/15/12		203		209
eBay
0.875%, 10/15/13		401		401
Hewlett-Packard
0.654%, 05/30/14 (B)		1,550		1,548
Texas Instruments
0.434%, 05/15/13 (B)		1,500		1,502
Xerox
1.081%, 05/16/14 (B)		1,435		1,441

				5,101


Materials — 0.6%
Anglo American Capital
2.150%, 09/27/13 (A)		519		527
E.I. du Pont de Nemours
0.728%, 03/25/14 (B)		1,415		1,420

				1,947


Sovereign — 0.4%
Republic of Austria MTN
2.000%, 11/15/12 (A)		647		662
Province of Ontario Canada
0.708%, 05/22/12 (B)		615		617

				1,279


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)


Telecommunication Services — 1.0%
Cellco Partnership
5.250%, 02/01/12	$	456	$	470
Telefonica Emisiones
2.582%, 04/26/13		725		736
Verizon Communications
0.919%, 03/28/14 (B)		1,850		1,865

				3,071


Utilities — 1.8%
Allegheny Energy Supply
8.250%, 04/15/12 (A)		755		801
Commonwealth Edison
1.625%, 01/15/14		528		532
DTE Energy
0.970%, 06/03/13 (B)		761		760
Georgia Power
1.300%, 09/15/13		1,250		1,258
Pacific Gas & Electric
6.250%, 12/01/13		1,000		1,119
Sempra Energy
1.069%, 03/15/14 (B)		1,200		1,204

				5,674

Total Corporate Obligations (Cost $123,543) ($ Thousands)				124,001


ASSET-BACKED SECURITIES — 34.5%

Automotive — 21.1%
Ally Auto Receivables Trust, Ser 2009-A, Cl A3
2.330%, 06/17/13 (A)		2,504		2,530
Ally Auto Receivables Trust, Ser 2009-A, Cl A4
3.000%, 10/15/15 (A)		980		1,012
Ally Auto Receivables Trust, Ser 2009-B, Cl A2
1.210%, 06/15/12 (A)		214		214
Ally Auto Receivables Trust, Ser 2010-1, Cl A3
1.450%, 05/15/14		1,547		1,559
Ally Auto Receivables Trust, Ser 2010-2, Cl A3
1.380%, 07/15/14		514		518
Ally Auto Receivables Trust, Ser 2010-3, Cl A3
1.110%, 10/15/14		1,335		1,341
Ally Auto Receivables Trust, Ser 2010-4, Cl A3
0.910%, 11/17/14		592		593
AmeriCredit Automobile Receivables Trust, Ser 2010-1, Cl B
3.720%, 11/17/14		453		469


SEI Institutional Investments Trust / Annual Report / May 31, 2011			137

SCHEDULE OF INVESTMENTS

Ultra Short Duration Bond Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

AmeriCredit Automobile Receivables Trust, Ser 2010-2, Cl A2
1.220%, 10/08/13	$	977	$	979
AmeriCredit Automobile Receivables Trust, Ser 2010-3, Cl A3
1.140%, 04/08/15		654		656
AmeriCredit Automobile Receivables Trust, Ser 2010-A, Cl A3
3.510%, 07/06/17		802		833
AmeriCredit Automobile Receivables Trust, Ser 2010-B, Cl A2
1.180%, 02/06/14		348		349
AmeriCredit Automobile Receivables Trust, Ser 2011-2, Cl A2
0.900%, 09/08/14		500		500
Americredit Prime Automobile Receivable, Ser 2007-1, Cl B
5.350%, 09/09/13		606		615
Americredit Prime Automobile Receivable, Ser 2009-1, Cl A2
1.400%, 11/15/12		20		21
Americredit Prime Automobile Receivable, Ser 2009-1, Cl A3
2.210%, 01/15/14		1,215		1,226
Avis Budget Rental Car Funding AESOP LLC, Ser 2009-1A, Cl A
9.310%, 10/20/13 (A)		1,494		1,627
Avis Budget Rental Car Funding AESOP LLC, Ser 2009-2A, Cl A
5.680%, 02/20/14 (A)		357		381
Avis Budget Rental Car Funding AESOP LLC, Ser 2010-2A, Cl A
3.630%, 08/20/14 (A)		238		248
Avis Budget Rental Car Funding AESOP LLC, Ser 2011-1A, Cl A11
1.850%, 09/20/13 (A)		845		848
Bank of America Auto Trust, Ser 2009-1A, Cl A4
3.520%, 06/15/16 (A)		1,288		1,329
Bank of America Auto Trust, Ser 2009-2A, Cl A4
3.030%, 10/15/16 (A)		638		656
Bank of America Auto Trust, Ser 2009-2A, Cl A3
2.130%, 09/15/13 (A)		848		854
Bank of America Auto Trust, Ser 2010-1A, Cl A3
1.390%, 03/15/14 (A)		1,424		1,431
Bank of America Auto Trust, Ser 2010-2, Cl A3
1.310%, 07/15/14		357		360
BMW Vehicle Lease Trust, Ser 2010-1, Cl A3
0.820%, 04/15/13		540		541


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

BMW Vehicle Lease Trust, Ser 2011-1, Cl A3
1.060%, 02/20/14	$	691	$	694
Capital Auto Receivables Asset Trust, Ser 2007-3, Cl A4
5.210%, 03/17/14		843		856
Capital Auto Receivables Asset Trust, Ser 2007-4A, Cl A4
5.300%, 05/15/14		784		799
CarMax Auto Owner Trust, Ser 2008-1, Cl A4A
4.790%, 02/15/13		678		691
CarMax Auto Owner Trust, Ser 2009-1, Cl A3
4.120%, 03/15/13		468		474
CarMax Auto Owner Trust, Ser 2009-2, Cl A4
2.820%, 12/15/14		178		184
CarMax Auto Owner Trust, Ser 2010-1, Cl A4
2.400%, 04/15/15		985		1,013
CarMax Auto Owner Trust, Ser 2010-1, Cl A3
1.560%, 07/15/14		868		874
CarMax Auto Owner Trust, Ser 2010-2, Cl A3
1.410%, 02/16/15		1,045		1,055
CarMax Auto Owner Trust, Ser 2010-3, Cl A3
0.990%, 02/17/15		824		824
CarMax Auto Owner Trust, Ser 2011-1, Cl A2
0.720%, 11/15/13		480		480
Chrysler Financial Auto Securitization Trust, Ser 2010-A, Cl A2
0.690%, 01/08/13		784		784
Citifinancial Auto Issuance Trust, Ser 2009-1, Cl A2
1.830%, 11/15/12 (A)		215		215
Daimler Chrysler Auto Trust, Ser 2007-A, Cl A4
5.280%, 03/08/13		244		248
Ford Credit Auto Lease Trust, Ser 2010-A, Cl A2
1.040%, 03/15/13 (A)		93		93
Ford Credit Auto Lease Trust, Ser 2010-B, Cl A3
0.910%, 07/15/13 (A)		1,120		1,121
Ford Credit Auto Owner Trust, Ser 2008-A, Cl A3A
3.960%, 04/15/12		29		29
Ford Credit Auto Owner Trust, Ser 2008-A, Cl A4
4.370%, 10/15/12		1,135		1,150


138		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Ford Credit Auto Owner Trust, Ser 2009-A, Cl A3B
2.698%, 05/15/13 (B)	$	358	$	361
Ford Credit Auto Owner Trust, Ser 2009-B, Cl A3
2.790%, 08/15/13		677		684
Ford Credit Auto Owner Trust, Ser 2010-A, Cl A2
0.720%, 09/15/12		101		101
Ford Credit Auto Owner Trust, Ser 2010-A, Cl A3
1.320%, 06/15/14		841		846
Ford Credit Auto Owner Trust, Ser 2010-B, Cl A3
0.980%, 10/15/14		589		592
Harley-Davidson Motorcycle Trust, Ser 2006-3, Cl A4
5.220%, 06/15/13		586		589
Harley-Davidson Motorcycle Trust, Ser 2007-1, Cl B
5.370%, 01/15/14		717		731
Harley-Davidson Motorcycle Trust, Ser 2007-2, Cl A4
5.120%, 08/15/13		290		296
Harley-Davidson Motorcycle Trust, Ser 2009-2, Cl A3
2.620%, 03/15/14		1,148		1,157
Harley-Davidson Motorcycle Trust, Ser 2009-4, Cl A3
1.870%, 02/15/14		1,362		1,368
Harley-Davidson Motorcycle Trust, Ser 2010-1, Cl A3
1.160%, 02/15/15		505		506
Hertz Vehicle Financing LLC, Ser 2009-2A, Cl A1
4.260%, 03/25/14 (A)		1,347		1,414
Hertz Vehicle Financing LLC, Ser 2010-1A, Cl A1
2.600%, 02/25/15 (A)		1,155		1,185
Honda Auto Receivables Owner Trust, Ser 2010-2, Cl A3
1.340%, 03/18/14		789		795
Honda Auto Receivables Owner Trust, Ser 2010-3, Cl A3
0.700%, 04/21/14		920		921
Honda Auto Receivables Owner Trust, Ser 2011-1, Cl A2
0.650%, 06/17/13		670		671
Honda Auto Receivables Owner Trust, Ser 2011-2, Cl A3
0.940%, 03/18/15		780		780
Huntington Auto Trust, Ser 2009-1A, Cl A4
5.730%, 01/15/14 (A)		1,055		1,100


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Hyundai Auto Receivables Trust, Ser 2009-A, Cl A3
2.030%, 08/15/13	$	215	$	217
Hyundai Auto Receivables Trust, Ser 2010-A, Cl A3
1.500%, 10/15/14		502		507
Hyundai Auto Receivables Trust, Ser 2010-B, Cl A3
0.970%, 04/15/15		783		786
Hyundai Auto Receivables Trust, Ser 2011-A, Cl A2
0.690%, 11/15/13		790		791
Hyundai Auto Receivables Trust, Ser 2011-B, Cl A2
0.590%, 03/15/14		945		945
Navistar Financial Owner Trust, Ser 2010-A, Cl B
4.170%, 10/20/14 (A)		337		348
Navistar Financial Owner Trust, Ser 2010-A, Cl A3
1.990%, 01/21/14 (A)		1,634		1,651
Navistar Financial Owner Trust, Ser 2010-B, Cl A2
0.810%, 01/18/13 (A)		1,451		1,451
Nissan Auto Lease Trust, Ser 2010-A, Cl A2
1.100%, 03/15/13		431		432
Nissan Auto Lease Trust, Ser 2010-B, Cl A2
0.900%, 05/15/13		1,088		1,090
Nissan Auto Receivables Owner Trust, Ser 2007-B, Cl A4
5.160%, 03/17/14		358		365
Nissan Auto Receivables Owner Trust, Ser 2008-B, Cl A3
4.460%, 04/16/12		2		2
Nissan Auto Receivables Owner Trust, Ser 2011-A, Cl A2
0.650%, 12/16/13		885		887
Santander Drive Auto Receivables Trust, Ser 2010-2, Cl A3
1.240%, 02/17/14		911		914
Santander Drive Auto Receivables Trust, Ser 2010-3, Cl A2
0.930%, 06/17/13		589		590
Santander Drive Auto Receivables Trust, Ser 2011-1, Cl A2
0.940%, 02/18/14		1,125		1,125
Toyota Auto Receivables Owner Trust, Ser 2010-A, Cl A2
0.750%, 05/15/12		223		223
Toyota Auto Receivables Owner Trust, Ser 2010-B, Cl A3
1.040%, 02/18/14		548		551


SEI Institutional Investments Trust / Annual Report / May 31, 2011			139

SCHEDULE OF INVESTMENTS

Ultra Short Duration Bond Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Toyota Auto Receivables Owner Trust, Ser 2010-C, Cl A3
0.770%, 04/15/14	$	868	$	870
USAA Auto Owner Trust, Ser 2009-2, Cl A4
2.530%, 07/15/15		70		72
Volkswagen Auto Loan Enhanced Trust, Ser 2010-1, Cl A3
1.310%, 01/20/14		685		689
World Omni Auto Receivables Trust, Ser 2008-A, Cl A4
4.740%, 10/15/13		1,268		1,301
World Omni Auto Receivables Trust, Ser 2010-A, Cl A3
1.340%, 12/16/13		264		265
World Omni Automobile Lease Securitization Trust, Ser 2009-A, Cl A3
1.650%, 02/15/13		1,445		1,449
World Omni Automobile Lease Securitization Trust, Ser 2011-A, Cl A2
0.810%, 10/15/13		1,200		1,201

				66,093


Credit Cards — 4.6%
Cabela’s Master Credit Card Trust, Ser 2009-1A, Cl A
2.198%, 03/16/15 (A) (B)		873		884
Capital One Multi-Asset Execution Trust, Ser 2005-A7, Cl A7
4.700%, 06/15/15		1,105		1,160
Capital One Multi-Asset Execution Trust, Ser 2006-A10, Cl A10
5.150%, 06/16/14		1,091		1,102
Capital One Multi-Asset Execution Trust, Ser 2007-A8, Cl A8
0.610%, 10/15/15 (B)		754		756
Capital One Multi-Asset Execution Trust, Ser 2007-C2, Cl C2
0.498%, 11/17/14 (B)		319		317
Chase Issuance Trust, Ser 2009-A3, Cl A3
2.400%, 06/17/13		1,065		1,066
Citibank Omni Master Trust, Ser 2009-A8, Cl A8
2.298%, 05/16/16 (A) (B)		1,650		1,672
Discover Card Master Trust, Ser 2009-A1, Cl A1
1.498%, 12/15/14 (B)		1,210		1,224
Discover Card Master Trust, Ser 2009-A2, Cl A
1.498%, 02/17/15 (B)		1,625		1,646
Discover Card Master Trust, Ser 2011-A2, Cl A2
0.401%, 11/16/15 (B)		790		790


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

GE Capital Credit Card Master Note Trust, Ser 2009-1, Cl A
2.298%, 04/15/15 (B)	$	1,380	$	1,400
GE Capital Credit Card Master Note Trust, Ser 2009-3, Cl A
2.540%, 09/15/14		1,512		1,520
GE Capital Credit Card Master Note Trust, Ser 2011-1, Cl A
0.748%, 01/15/17 (B)		857		862

				14,399


Mortgage Related Securities — 0.2%
Asset-Backed Funding Certificates, Ser 2006-OPT2, Cl A3B
0.304%, 10/25/36 (A) (B)		89		89
Option One Mortgage Loan Trust, Ser 2003-3, Cl A2
0.794%, 06/25/33 (B)		57		48
Option One Mortgage Loan Trust, Ser 2005-5, Cl A3
0.404%, 12/25/35 (B)		355		301
Option One Mortgage Loan Trust, Ser 2007-FXD1, Cl 3A3
5.611%, 01/25/37 (B)		177		95

				533


Other Asset-Backed Securities — 8.6%
ACAS Business Loan Trust, Ser 2005-1A, Cl A1
0.524%, 07/25/19 (A) (B)		151		147
ACAS Business Loan Trust, Ser 2007-1A, Cl C
1.111%, 08/16/19 (A) (B)		412		297
Ally Master Owner Trust, Ser 2010-1, Cl A
1.948%, 01/15/15 (A) (B)		1,306		1,332
Ally Master Owner Trust, Ser 2010-3, Cl A
2.880%, 04/15/15 (A)		1,428		1,471
Ally Master Owner Trust, Ser 2011-1, Cl A1
1.068%, 01/15/16 (B)		888		892
Babson CLO, Ser 2007-1A, Cl A1
0.501%, 01/18/21 (A) (B)		653		607
CapitalSource Commercial Loan Trust, Ser 2006-1A, Cl C
0.746%, 08/22/16 (A) (B)		111		108
CIT Equipment Collateral, Ser 2009-VT1, Cl A3
3.070%, 08/15/16 (A)		375		377
CNH Equipment Trust, Ser 2009-B, Cl A4
5.170%, 10/15/14		1,065		1,105
CNH Equipment Trust, Ser 2010-C, Cl A3
1.170%, 05/15/15		836		839


140		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

CNH Equipment Trust, Ser 2011-A, Cl A2
0.620%, 06/16/14	$	585	$	585
CNH Wholesale Master Note Trust, Ser 2011-1A, Cl A
0.998%, 12/15/15 (A) (B)		543		546
Colts Trust, Ser 2006-2A, Cl A
0.589%, 12/20/18 (A) (B)		238		232
Countrywide Asset-Backed Certificates, Ser 2006-2, Cl 2A2
0.384%, 06/25/36 (B)		190		163
Ford Credit Floorplan Master Owner Trust, Ser 2006-4, Cl A
0.448%, 06/15/13 (B)		836		836
Ford Credit Floorplan Master Owner Trust, Ser 2009-2, Cl A
1.748%, 09/15/14 (B)		1,161		1,179
Ford Credit Floorplan Master Owner Trust, Ser 2010-1, Cl M15
1.848%, 12/15/14 (A) (B)		2,202		2,246
Ford Credit Floorplan Master Owner Trust, Ser 2010-1, Cl B
2.448%, 12/15/14 (A) (B)		1,129		1,154
Ford Credit Floorplan Master Owner Trust, Ser 2011-1, Cl A2
0.798%, 02/15/16 (B)		287		287
GE Dealer Floorplan Master Note Trust, Ser 2009-2A, Cl A
1.748%, 10/20/14 (A) (B)		1,306		1,327
GE Equipment Midticket LLC, Ser 2010-1, Cl A3
0.940%, 07/14/14 (A)		766		767
GE Equipment Small Ticket LLC, Ser 2011-1A, Cl A2
0.880%, 08/21/13 (A)		958		959
John Deere Owner Trust, Ser 2009-B, Cl A3
1.570%, 10/15/13		808		812
John Deere Owner Trust, Ser 2009-B, Cl A4
2.330%, 05/16/16		840		855
John Deere Owner Trust, Ser 2011-A, Cl A2
0.640%, 06/16/14		505		506
Katonah, Ser 2005-7A, Cl B
0.681%, 11/15/17 (A) (B)		696		545
Lambda Finance, Ser 2005-1A, Cl B3
0.631%, 11/15/29 (A) (B)		488		449
Madison Park Funding I, Ser 2007-4A, Cl A1B
0.609%, 03/22/21 (A) (B)		580		500
Morgan Stanley ABS Capital I, Ser 2006-WMC1, Cl A2B
0.394%, 12/25/35 (B)		140		134


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Sierra Receivables Funding LLC, Ser 2007-2A, Cl A2
1.213%, 09/20/19 (A) (B)	$	131	$	129
Sierra Receivables Funding LLC, Ser 2009-2A, Cl NOTE
4.520%, 08/20/26 (A)		74		74
SLM Student Loan Trust, Ser 2005-8, Cl A2
0.364%, 07/25/22 (B)		1,077		1,074
SLM Student Loan Trust, Ser 2006-4, Cl A4
0.354%, 04/25/23 (B)		619		617
SLM Student Loan Trust, Ser 2007-2, Cl A2
0.274%, 07/25/17 (B)		591		586
SLM Student Loan Trust, Ser 2008-5, Cl A2
1.374%, 10/25/16 (B)		1,041		1,053
SLM Student Loan Trust, Ser 2011-A, Cl A1
1.213%, 10/15/24 (A) (B)		320		322
World Omni Master Owner Trust, Ser 2009-1, Cl A
1.898%, 07/15/13 (A) (B)		2,031		2,034

				27,146

Total Asset-Backed Securities (Cost $108,064) ($ Thousands)				108,171


MORTGAGE-BACKED SECURITIES — 20.0%

Agency Mortgage-Backed Obligations — 9.2%
FHLMC ARM (B)
2.385%, 02/01/30		297		309
2.361%, 02/01/22		432		452
FHLMC CMO, Ser 1993-1599, Cl C
6.100%, 10/15/23		62		66
FHLMC CMO, Ser 2003-2630, Cl HA
3.000%, 01/15/17		107		108
FHLMC CMO, Ser 2004-2780, Cl LC
5.000%, 07/15/27		61		61
FHLMC CMO, Ser 2004-2791, Cl UD
5.000%, 05/15/18		425		439
FHLMC CMO, Ser 2005-2921, Cl NV
4.500%, 01/15/29		60		61
FNMA
6.000%, 01/01/27 to 04/01/40		4,646		5,120
5.890%, 10/01/11		252		253
5.662%, 12/01/11		504		506
5.000%, 04/01/21 to 03/01/25		8,421		9,076
FNMA TBA
3.500%, 06/15/26		5,000		5,098
FNMA ARM (B)
2.504%, 11/01/23		143		151
2.465%, 01/01/29		36		37


SEI Institutional Investments Trust / Annual Report / May 31, 2011			141

SCHEDULE OF INVESTMENTS

Ultra Short Duration Bond Fund (Continued)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

2.417%, 11/01/25 (B)	$	38	$	40
2.318%, 09/01/24 (B)		230		238
2.233%, 09/01/24 (B)		86		88
2.177%, 05/01/28 (B)		260		270
1.433%, 11/01/21 (B)		57		58
FNMA CMO, Ser 1993-220, Cl FA
0.819%, 11/25/13 (B)		23		23
FNMA CMO, Ser 1993-58, Cl H
5.500%, 04/25/23		71		77
FNMA CMO, Ser 2001-33, Cl FA
0.644%, 07/25/31 (B)		85		85
FNMA CMO, Ser 2002-64, Cl F6
0.447%, 10/18/32 (B)		54		54
FNMA CMO, Ser 2004-21, Cl QD
4.500%, 02/25/29		711		733
NCUA Guaranteed Notes CMO, Ser 2010-R1, Cl 1A
0.659%, 10/07/20 (B)		1,718		1,720
NCUA Guaranteed Notes CMO, Ser 2010-R1, Cl 2A
1.840%, 10/07/20		130		131
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 1A
0.610%, 11/06/17 (B)		467		468
NCUA Guaranteed Notes CMO, Ser 2011-R1, Cl 1A
0.656%, 01/08/20 (B)		337		338
NCUA Guaranteed Notes CMO, Ser 2011-R2, Cl 1A
0.606%, 02/06/20 (B)		542		542
NCUA Guaranteed Notes CMO, Ser 2011-R4, Cl 1A
0.586%, 03/06/20 (B)		794		794
NCUA Guaranteed Notes, Ser 2011-R6, Cl 1A
0.593%, 05/07/20 (B)		1,315		1,315

				28,711


Non-Agency Mortgage-Backed Obligations — 10.8%
Arkle Master Issuer, Ser 2010-2A, Cl 1A1
1.661%, 05/17/60 (A) (B)		956		959
Asset Securitization, Ser 1996-MD6, Cl A7
8.335%, 11/13/29 (B)		356		361
Banc of America Large Loan, Ser 2007-BMB1, Cl A1
0.708%, 08/15/29 (A) (B)		209		201
Banc of America Mortgage Securities, Ser 2005-A, Cl 2A2
2.880%, 02/25/35 (B)		511		454
Banc of America Mortgage Securities, Ser 2005-F, Cl 2A2
2.947%, 07/25/35 (B)		858		712


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Banc of America Mortgage Securities, Ser 2005-H, Cl 2A1
3.185%, 09/25/35 (B)	$	277	$	233
Banc of America Mortgage Securities, Ser 2005-J, Cl 2A1
3.122%, 11/25/35 (B)		101		82
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-12, Cl 11A1
3.090%, 02/25/36 (B)		229		166
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-3, Cl 2A1
2.738%, 06/25/35 (B)		325		262
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-6, Cl 3A1
2.842%, 08/25/35 (B)		510		359
Bear Stearns Commercial Mortgage Securities, Ser 2001-TOP2, Cl A2
6.480%, 02/15/35		11		11
Bear Stearns Commercial Mortgage Securities, Ser 2001-TOP4, Cl A3
5.610%, 11/15/33		205		205
Bear Stearns Commercial Mortgage Securities, Ser PW18, Cl A2
5.613%, 06/11/50		517		533
Bear Stearns Commercial Mortgage Securities, Ser T26, Cl A2
5.330%, 01/12/45		412		419
Citigroup Mortgage Loan Trust, Ser 2004-HYB3, Cl 1A
2.975%, 09/25/34 (B)		161		153
Citigroup Mortgage Loan Trust, Ser 2006-AR2, Cl 1A1
2.819%, 03/25/36 (B)		430		339
Commercial Mortgage Acceptance, Ser 1998-C2, Cl F
5.440%, 09/15/30 (A) (B)		406		422
Commercial Mortgage Pass Through Certificates, Ser 2006-FL12, Cl A2
0.298%, 12/15/20 (A) (B)		708		689
Countrywide Alternative Loan Trust, Ser 2007-HY5R, Cl 2A1A
5.544%, 03/25/47 (B)		380		376
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2004-29, Cl 1A1
0.734%, 02/25/35 (B)		57		46
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2005-7, Cl 1A1
0.464%, 03/25/35 (B)		95		74
Countrywide Home Loan Mortgage Pass Through Trust, Ser 2005-HY10, Cl 3A1A
2.852%, 02/20/36 (B)		420		275
GE Commercial Loan Trust, Ser 2006-2, Cl C
0.825%, 10/19/16 (A) (B)		75		49


142		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Global Tower Partners Acquisition Partners LLC, Ser 2007-1A, Cl AFL
0.398%, 05/15/37 (A) (B)	$	1,016	$	1,000
GMAC Commercial Mortgage Securities, Ser 2004-C3, Cl A4
4.547%, 12/10/41		354		357
GMAC Mortgage Loan Trust, Ser 2005-AR6, Cl 2A1
3.387%, 11/19/35 (B)		453		378
GS Mortgage Securities II, Ser 2007-EOP, Cl A1
1.143%, 03/06/20 (A) (B)		853		843
GS Mortgage Securities II, Ser 2007-EOP, Cl A3
1.535%, 03/06/20 (A) (B)		1,016		987
GS Mortgage Securities II, Ser GC3, Cl A1
2.331%, 03/10/44 (A)		1,360		1,383
GS Mortgage Securities II, Ser GG10, Cl A2
5.778%, 08/10/45 (B)		1,037		1,061
GSR Mortgage Loan Trust, Ser 2005-AR4, Cl 2A1
2.800%, 07/25/35 (B)		587		434
GSR Mortgage Loan Trust, Ser 2006-AR1, Cl 2A1
2.809%, 01/25/36 (B)		741		611
GSR Mortgage Loan Trust, Ser 2007-AR2, Cl 1A1
5.533%, 05/25/47 (B)		585		413
Impac CMB Trust, Ser 2004-9, Cl 1A1
0.954%, 01/25/35 (B)		148		117
Impac CMB Trust, Ser 2005-2, Cl 1A1
0.714%, 04/25/35 (B)		162		133
Impac CMB Trust, Ser 2005-3, Cl A1
0.674%, 08/25/35 (B)		148		104
Impac CMB Trust, Ser 2005-5, Cl A1
0.514%, 08/25/35 (B)		119		88
Impac CMB Trust, Ser 2005-8, Cl 1A1
0.454%, 02/25/36 (B)		389		289
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C4, Cl A1
1.525%, 07/15/46 (A)		845		845
JPMorgan Mortgage Trust, Ser 2005-A6, Cl 7A1
3.079%, 08/25/35 (B)		348		287
JPMorgan Mortgage Trust, Ser 2007-A3, Cl 1A1
5.109%, 05/25/37 (B)		485		357
LB-UBS Commercial Mortgage Trust, Ser 2002-C1, Cl A4
6.462%, 03/15/31		463		475
LB-UBS Commercial Mortgage Trust, Ser 2002-C4, Cl A5
4.853%, 09/15/31		871		903


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

LB-UBS Commercial Mortgage Trust, Ser 2004-C8, Cl A4
4.510%, 12/15/29	$	131	$	132
Merrill Lynch Mortgage-Backed Securities Trust, Ser 2007-3, Cl 2A1
5.245%, 06/25/37 (B)		624		438
Merrill Lynch Mortgage Investors, Ser 2005-A2, Cl A2
2.625%, 02/25/35 (B)		923		880
Merrill Lynch Mortgage Investors, Ser 2005-A3, Cl A1
0.464%, 04/25/35 (B)		174		128
Merrill Lynch Mortgage Trust, Ser 2004-BPC1, Cl A5
4.855%, 10/12/41 (B)		871		937
MLCC Mortgage Investors, Ser 2004-G, Cl A1
0.474%, 01/25/30 (B)		46		41
MLCC Mortgage Investors, Ser 2005-A, Cl A1
0.424%, 03/25/30 (B)		66		58
Morgan Stanley Capital I, Ser 2004-T13, Cl A4
4.660%, 09/13/45		1,277		1,354
Morgan Stanley Capital I, Ser 2006-HQ9, Cl A2
5.618%, 07/12/44		193		193
Morgan Stanley Dean Witter Capital I, Ser 2001-TOP3, Cl A4
6.390%, 07/15/33		138		138
Morgan Stanley Dean Witter Capital I, Ser 2002-IQ2, Cl A4
5.740%, 12/15/35		144		148
MortgageIT Trust, Ser 2005-2, Cl 1A1
0.454%, 05/25/35 (B)		123		98
MortgageIT Trust, Ser 2005-3, Cl A1
0.494%, 08/25/35 (B)		430		331
MortgageIT Trust, Ser 2005-4, Cl A1
0.474%, 10/25/35 (B)		562		394
MortgageIT Trust, Ser 2005-5, Cl A1
0.454%, 12/25/35 (B)		528		390
Nomura Asset Securities, Ser 1998-D6, Cl A1C
6.690%, 03/15/30		367		383
Paragon Mortgages, Ser 2006-12A, Cl A2C
0.371%, 11/15/38 (A) (B)		182		150
Paragon Mortgages, Ser 2007-15A, Cl A2C
0.420%, 12/15/39 (A) (B)		440		364
Permanent Master Issuer, Ser 2010-1A
1.428%, 07/15/42 (A) (B)		557		557
PNC Mortgage Acceptance, Ser 2001-C1, Cl A2
6.360%, 03/12/34		10		10
Prime Mortgage Trust, Ser 2006-1, Cl A
5.417%, 12/28/48		370		364


SEI Institutional Investments Trust / Annual Report / May 31, 2011			143

SCHEDULE OF INVESTMENTS

Ultra Short Duration Bond Fund (Concluded)

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

Residential Funding Mortgage Securities, Ser 2005-SA5, Cl 2A
3.286%, 11/25/35 (B)	$	300	$	211
Residential Funding Mortgage Securities, Ser 2007-SA3, Cl 2A1
5.672%, 07/27/37 (B)		517		343
Sequoia Mortgage Trust, Ser 2004-12, Cl A1
0.466%, 01/20/35 (B)		63		51
Sequoia Mortgage Trust, Ser 2005-1, Cl A1
0.426%, 02/20/35 (B)		63		53
Silverstone Master Issuer, Ser 2010-1A, Cl A1
1.674%, 01/21/55 (A) (B)		975		979
TIAA Seasoned Commercial Mortgage Trust, Ser 2007-C4, Cl A2
5.702%, 08/15/39 (B)		1,306		1,350
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR2, Cl 1A1
2.567%, 03/25/36 (B)		629		490
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-BB, Cl A2
2.746%, 01/25/35 (B)		356		327
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR1, Cl 2A1
2.739%, 02/25/35 (B)		297		262
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR4, Cl 2A2
2.753%, 04/25/35 (B)		247		233
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 3A2
2.787%, 10/25/35 (B)		479		462
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 6A3
2.864%, 10/25/35 (B)		763		691
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR5, Cl 2A1
2.715%, 04/25/36 (B)		428		353
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR6, Cl 3A1
2.811%, 03/25/36 (B)		524		454
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR10, Cl 2A1
4.151%, 07/25/36 (B)		582		381
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR12, Cl 1A1
5.808%, 09/25/36 (B)		434		348
WF-RBS Commercial Mortgage Trust, Ser 2011-C3, Cl A1
2.136%, 03/15/44		935		944

				33,865

Total Mortgage-Backed Securities (Cost $62,969) ($ Thousands)				62,576


Description	Face Amount ($ Thousands)/ Shares		Market Value ($ Thousands)


U.S. TREASURY OBLIGATIONS — 5.8%
U.S. Treasury Inflation-Protected Securities
2.000%, 04/15/12	$	11,068	$	11,413
U.S. Treasury Notes
1.000%, 04/30/12		1,700		1,712
0.375%, 08/31/12		5,000		5,007

Total U.S. Treasury Obligations (Cost $18,183) ($ Thousands)				18,132


MUNICIPAL BONDS — 1.4%
County of Alameda California, Ser B, National-RE, RB
2.889%, 12/01/11 (C)		870		858
Louisa Industrial Development Authority, Ser A, AMT, RB
2.500%, 03/01/31 (B)		870		870
Louisiana Local Government Environmental Facilities & Community Development Authority, RB
1.110%, 02/01/16		1,135		1,137
New Jersey Economic Development Authority, RB
1.311%, 06/15/13 (B)		580		579
University of California, RB
1.988%, 05/15/50 (B)		515		522
West Virginia Economic Development Authority, Ser A, AMT, RB
2.000%, 01/01/41 (B)		250		253

Total Municipal Bonds (Cost $4,210) ($ Thousands)				4,219


U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.0%
FHLB
1.125%, 05/18/12		580		585
FHLMC
1.625%, 04/15/13		2,612		2,668

Total U.S. Government Agency Obligations (Cost $3,233) ($ Thousands)				3,253


CASH EQUIVALENT — 0.0%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.050%†*		49,620		50

Total Cash Equivalent (Cost $50) ($ Thousands)				50


144		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)


REPURCHASE AGREEMENT (D) — 0.0%
BNP Paribas
0.140%, dated 05/31/11, to be repurchased on 06/01/11, repurchase price $100,000 (collateralized by various FNMA obligations, par values ranging from $78,519 - $82,439, 4.500% - 5.000%, 12/01/23 - 10/01/35; with total market value $102,000)	$	100	$	100

Total Repurchase Agreement (Cost $100) ($ Thousands)				100

Total Investments — 102.3% (Cost $320,352) ($ Thousands)			$	320,502

A summary of the open futures contracts held by the Fund at May 31, 2011, is as follows:


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 10-Year Treasury Note		(106	)		Sep-2011	$	(98	)
U.S. 2-Year Treasury Note		(60	)		Sep-2011		(21	)
U.S. 5-Year Treasury Note		11			Sep-2011		8

						$	(111	)

Percentages are based on a Net Assets of $313,358 ($ Thousands).

The rate reported is the 7-day effective yield as of May 31, 2011.

†

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 May 31, 2011. The date reported is the final maturity date.

(C)

The rate reported on the Schedule of Investments is the effective yield at time of purchase.

(D)

Tri-party Repurchase Agreement.

ABS — Asset-Based Security

AMT — Alternative Minimum Tax

ARM — Adjustable Rate Mortgage

Cl — Class

CLO — Collateralized Loan Obligation

CMO — Collateralized Mortgage Obligation

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

LLC — Limited Liability Company

MTN — Medium Term Note

National-RE — National Public Finance Guarantee Corporation

NCUA—National Credit Union Administration

RB — Revenue Bond

Ser — Series

TBA — To Be Announced

The following is a summary of the inputs used as of May 31, 2011, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Corporate Obligations	$	—	$	124,001	$	—	$	124,001
Asset-Backed Securities		—		106,631		1,540		108,171
Mortgage-Backed Securities		—		62,576		—		62,576
U.S. Treasury Obligations		—		18,132		—		18,132
U.S. Government Agency Obligation		—		3,253		—		3,253
Municipal Bonds		—		4,219		—		4,219
Cash Equivalent		50		—		—		50
Repurchase Agreement		—		100		—		100

Total Investments in Securities	$	50	$	318,912	$	1,540	$	320,502


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(111	)	$	—	$	—	$	(111	)

Futures contracts are valued at the unrealized depreciation 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 Asset-Backed Securities
Beginning balance as June 1, 2010	$	—
Accrued discounts/premiums		6
Realized gain/(loss)		1
Change in unrealized appreciation/(depreciation)		(6	)
Net purchases/sales		1,539
Net transfer in and/or out of Level 3		—

Ending balance as of May 31, 2011	$	1,540

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	23

For the year ended May 31, 2011, there were 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.


SEI Institutional Investments Trust / Annual Report / May 31, 2011			145

SCHEDULE OF INVESTMENTS

Emerging Markets Debt Fund

May 31, 2011

LOGO


Description		Face Amount (Thousands) (1)		Market Value ($ Thousands)


GLOBAL BONDS — 95.3%

Argentina — 5.1%
Capex
10.000%, 03/10/18 (A)			594	$	588
Empresa Distribuidora Y Comercializadora Norte
9.750%, 10/25/22 (A)			830		847
IRSA Inversiones Y Representaciones
11.500%, 07/20/20 (A)			416		470
Provincia de Buenos Aires
9.625%, 04/18/28			535		444
9.625%, 04/18/28 (A)			1,160		974
9.375%, 09/14/18			1,000		878
Provincia de Mendoza Argentina
5.500%, 09/04/18			277		241
Provincia de Neuquen Argentina
8.656%, 10/18/14 (A)			119		126
Republic of Argentina
8.750%, 06/02/17			1,150		1,182
8.280%, 12/31/33, DN			5,230		4,589
8.280%, 12/31/33			2,212		1,896
7.820%, 12/31/33 (B)	EUR		5,518		5,632
7.820%, 12/31/33	EUR		5,514		5,629
7.000%, 10/03/15			4,900		4,736
7.000%, 04/17/17			4,105		3,709
6.000%, 03/31/23 (C)			172		128
5.830%, 12/31/33 (B)	ARS		17,336		6,888
3.117%, 12/15/35 (B)			5,430		929
2.848%, 12/15/35 (B)	EUR		27,182		5,490
2.500%, 03/31/19 (D)			4,320		1,851
0.677%, 08/03/12 (B)			10,960		2,672
0.084%, 12/15/35 (B)			20		3
0.000%, 03/31/23 (B) (C)			1,680		1,092
Tarjeta Naranja
9.000%, 01/28/17 (A)			500		520
Transportadora Gas Norte (C)
7.500%, 12/31/12			100		52
7.500%, 12/31/12 (A)			210		109
7.500%, 12/31/12			350		182


Description		Face Amount (Thousands) (1)		Market Value ($ Thousands)

6.500%, 12/31/12			60	$	31
6.500%, 12/31/12			60		31
6.500%, 12/31/12 (A)			30		16
WPE International Tief
10.375%, 09/30/20 (A)			750		788

					52,723


Australia — 0.0%
Mirabela Nickel
8.750%, 04/15/18 (A)			241		243


Bahrain — 0.2%
Kingdom of Bahrain
5.500%, 03/31/20			350		345
5.500%, 03/31/20 (A)			1,299		1,283

					1,628


Barbados — 0.4%
Columbus International
11.500%, 11/20/14			500		575
11.500%, 11/20/14 (A)			2,000		2,302
Government of Barbados
7.000%, 08/04/22 (A)			800		826

					3,703


Belarus — 0.1%
Republic of Belarus
8.950%, 01/26/18			700		605


Belize — 0.0%
Government of Belize
6.000%, 02/20/29			150		126


Bosnia and Herzegovina — 0.1%
Republic of Bosnia & Herzegovina
2.063%, 12/11/21 (B)	DEM		1,833		977


Brazil — 8.6%
Banco Cruzeiro do Sul
8.875%, 09/22/20			424		409
8.875%, 09/22/20 (A) (E)			1,334		1,311
Banco Nacional de Desenvolvimento Economico e Social (A)
6.500%, 06/10/19			2,055		2,276
5.500%, 07/12/20			500		517
Banco Votorantim
7.375%, 01/21/20 (A)			840		897
BM&F Bovespa
5.500%, 07/16/20 (A)			1,006		1,035
BR Malls International Finance
8.500%, 12/31/49 (A)			417		441


146		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description		Face Amount (Thousands) (1)		Market Value ($ Thousands)

BR Properties
9.000%, 12/31/49 (A)			814	$	833
Brazil Notas do Tesouro Nacional Serie B
6.000%, 05/15/15	BRL		7,400		9,357
6.000%, 08/15/20	BRL		1,900		2,405
Brazil Notas do Tesouro Nacional Serie F
10.000%, 01/01/13	BRL		11,900		7,253
10.000%, 01/01/17	BRL		2,200		1,258
10.000%, 01/01/21	BRL		19,915		10,942
Cia de Saneamento Basico do Estado de Sao Paulo
6.250%, 12/16/20 (A)			750		767
Citigroup, CLN, (Nota do Tesouro Nacional)
10.000%, 01/01/21			1,325		728
Federal Republic of Brazil
12.500%, 01/05/16	BRL		330		244
12.500%, 01/05/16	BRL		550		407
12.500%, 01/05/22	BRL		2,100		1,631
11.000%, 08/17/40			400		546
10.250%, 01/10/28	BRL		2,360		1,605
10.125%, 05/15/27			2,702		4,222
8.875%, 04/15/24			1,735		2,438
8.750%, 02/04/25			2,287		3,194
8.250%, 01/20/34			4,385		5,957
7.125%, 01/20/37			2,875		3,493
5.875%, 01/15/19			1,050		1,202
5.625%, 01/07/41			1,350		1,375
4.875%, 01/22/21			3,762		3,954
Fibria Overseas Finance
7.500%, 05/04/20 (A)			1,597		1,772
General Shopping Finance
10.000%, 12/31/49 (A)			1,295		1,366
Gerdau Trade
5.750%, 01/30/21 (A)			488		489
Hypermarcas
6.500%, 04/20/21 (A)			856		854
JBS Finance
8.250%, 01/29/18			1,400		1,471
8.250%, 01/29/18 (A)			2,110		2,217
JPMorgan Chase, CLN, (Nota do Tesouro Nacional)
10.000%, 12/12/11			1,325		728
10.000%, 01/01/21			6,800		3,736
Minerva Overseas
10.875%, 11/15/19 (A)			164		181
10.875%, 11/15/19			363		400
Odebrecht Drilling Norbe VIII
6.350%, 06/30/21 (A)			1,187		1,249
OGX Petroleo e Gas Participacoes
8.500%, 06/01/18 (A)			843		863
Petrobas International Finance
6.750%, 01/27/41			437		465


Description	Face Amount (Thousands) (1)		Market Value ($ Thousands)

Telemar Norte Leste
5.500%, 10/23/20 (A)		277	$	272
Virgolino de Oliveira Finance
10.500%, 01/28/18		413		439
Voto-Votorantim
6.750%, 04/05/21 (A)		365		387
Voto-Votorantim Overseas Trading Operations
6.625%, 09/25/19 (A)		600		632

				88,218


Chile — 0.7%
Banco del Estado de Chile
4.125%, 10/07/20		250		240
4.125%, 10/07/20		600		575
BRT Escrow
8.000%, 08/18/18 (A)		1,200		1,156
Empresa Nacional del Petroleo (A)
6.250%, 07/08/19		900		973
5.250%, 08/10/20		600		606
Nacional del Cobre de Chile
7.500%, 01/15/19		450		554
6.150%, 10/24/36 (A)		905		1,018
6.150%, 10/24/36		857		964
3.750%, 11/04/20 (A)		850		817

				6,903


China — 1.2%
China Liansu Group Holdings
7.875%, 05/13/16 (A)		979		943
China Oriental Group
8.000%, 08/18/15 (A)		1,488		1,540
CNPC HK Overseas Capital
5.950%, 04/28/41 (A)		950		956
Evergrande
13.000%, 01/27/15		276		288
13.000%, 01/27/15 (A)		922		961
Franshion Development
6.750%, 04/15/21 (A)		1,000		970
Hidili Industry International Development
8.625%, 11/04/15		100		99
Kaisa Group Holdings
13.500%, 04/28/15		568		570
MIE Holdings
9.750%, 05/12/16 (A)		800		791
Sinochem Overseas Capital
6.300%, 11/12/40		350		347
6.300%, 11/12/40 (A)		692		682
4.500%, 11/12/20 (A)		4,174		3,973
Texhong Textile Group
7.625%, 01/19/16 (A) (E)		309		302


SEI Institutional Investments Trust / Annual Report / May 31, 2011			147

SCHEDULE OF INVESTMENTS

Emerging Markets Debt Fund (Continued)

May 31, 2011


Description		Face Amount (Thousands) (1)		Market Value ($ Thousands)

West China Support
7.500%, 01/25/16 (A) (E)			300	$	293

					12,715


Colombia — 4.6%
BanColombia
5.950%, 06/03/21 (A)			1,200		1,204
Citigroup, CLN, (Republic of Columbia)
10.000%, 07/24/24			1,505,000		948
Ecopetrol
7.625%, 07/23/19 (A)			500		593
Gruposura Finance
5.700%, 05/18/21 (A)			472		468
Republic of Colombia
11.750%, 02/25/20			2,808		4,324
10.375%, 01/28/33			100		157
9.850%, 06/28/27	COP		1,224,000		919
8.375%, 02/15/27			3,100		3,844
8.125%, 05/21/24			2,730		3,604
7.375%, 01/27/17			4,607		5,561
7.375%, 03/18/19			4,225		5,222
7.375%, 09/18/37			8,805		11,028
6.125%, 01/18/41			2,075		2,251
Santa Fe de Bogota
9.750%, 07/26/28 (A)	COP		9,718,000		6,646

					46,769


Croatia — 1.3%
Republic of Croatia
6.750%, 11/05/19			1,902		2,041
6.625%, 07/14/20			2,000		2,113
6.625%, 07/14/20 (A)			1,689		1,784
6.375%, 03/24/21 (A)			5,289		5,458
Zagrebacki Holding
5.500%, 07/10/17	EUR		1,300		1,532

					12,928



Czech Republic — 0.1%
Central European Media Enterprises
11.625%, 09/15/16 (A)	EUR		600		949



Dominican Republic — 0.2%
Cap Cana
10.000%, 04/30/16			1,007		705
10.000%, 04/30/16			1,003		501
Republic of Dominican Republic
7.500%, 05/06/21			150		157
7.500%, 05/06/21 (A)			730		767

					2,130


Ecuador — 0.1%
Republic of Ecuador
9.375%, 12/15/15			600		594


Description	Face Amount (Thousands) (1)		Market Value ($ Thousands)

Egypt — 0.4%
Arab Republic of Egypt
6.875%, 04/30/40		600	$	567
5.750%, 04/29/20		200		196
5.750%, 04/29/20 (A)		1,150		1,138
Nile Finance
5.250%, 08/05/15		1,250		1,246
Orascom Telecom Finance
7.875%, 02/08/14		764		793

				3,940


El Salvador — 0.7%
Republic of El Salvador
8.250%, 04/10/32		2,648		2,953
7.650%, 06/15/35		1,700		1,759
7.625%, 02/01/41 (A)		1,150		1,177
7.375%, 12/01/19 (A)		250		275
7.375%, 12/01/19		200		220
Telemovil Finance
8.000%, 10/01/17 (A)		1,000		1,049

				7,433


Gabon — 0.0%
Gabonese Republic
8.200%, 12/12/17		100		117


Georgia — 0.2%
Georgian Railway LLC
9.875%, 07/22/15		700		781
Republic of Georgia
6.875%, 04/12/21 (A)		950		978

				1,759


Germany — 0.2%
Deutsche Bank, CLN, (Cablevision)
9.375%, 02/13/18 (A)		1,978		2,015


Ghana — 0.3%
Republic of Ghana
8.500%, 10/04/17		1,841		2,062
8.500%, 10/04/17 (A)		450		503

				2,565


Hong Kong — 0.4%
Bank of China Hong Kong
5.550%, 02/11/20 (A)		2,000		2,067
CITIC Bank International MTN
6.875%, 06/24/20		450		466
Hutchison Whampoa International 10
6.000%, 12/31/49 (B)		497		510


148		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description		Face Amount (Thousands) (1)		Market Value ($ Thousands)

Industrial & Commercial Bank of China Asia MTN
5.125%, 11/30/20			500	$	503
PCCW-HKT Capital No. 4
4.250%, 02/24/16			533		546
Sino-Forest
6.250%, 10/21/17 (A) (E)			475		442

					4,534


Hungary — 0.9%
Republic of Hungary
7.625%, 03/29/41			3,226		3,484
6.375%, 03/29/21			3,652		3,821
6.250%, 01/29/20			1,150		1,216
4.750%, 02/03/15			281		290

					8,811


India — 0.2%
Axis Bank MTN
7.125%, 06/28/22 (B)			196		196
Bank of India MTN
6.994%, 12/31/49 (B)			213		210
ICICI Bank
5.750%, 11/16/20 (A)			327		327
Reliance Holdings USA
6.250%, 10/19/40			300		283
Vedanta Resources
8.250%, 06/07/21 (A)			882		886

					1,902


Indonesia — 5.3%
Adaro Indonesia MTN
7.625%, 10/22/19 (A)			380		424
BLT Finance BV
7.500%, 05/15/14			197		170
BSP FINANCE BV
10.750%, 11/01/11			100		99
Deutsche Bank, CLN (Republic of Indonesia)
8.250%, 07/15/21	IDR		4,100,000		505
HSBC Bank, CLN (Republic of Indonesia)
8.250%, 07/15/21	IDR		7,800,000		961
Indosat Palapa
7.375%, 07/29/20 (A)			440		490
JP Morgan
8.250%, 07/15/21	IDR		4,077,000		502
Majapahit Holding
8.000%, 08/07/19 (A)			850		998
7.875%, 06/29/37 (A)			415		481
7.750%, 10/17/16			1,050		1,219
7.750%, 01/20/20 (A)			850		992
7.250%, 10/17/11 (A)			885		902
Pertamina Persero
6.500%, 05/27/41 (A)			470		465


Description		Face Amount (Thousands) (1)		Market Value ($ Thousands)

Republic of Indonesia
12.800%, 06/17/21	IDR		13,067,000	$	2,099
11.625%, 03/04/19			7,773		11,368
11.625%, 03/04/19 (A)			2,800		4,095
10.375%, 05/04/14			1,000		1,223
10.375%, 05/04/14 (A)			150		183
8.500%, 10/12/35			4,560		6,099
7.750%, 01/17/38			2,738		3,402
7.500%, 01/15/16			1,390		1,639
7.250%, 04/20/15			190		218
6.875%, 01/17/18 (A)			650		752
6.875%, 01/17/18			4,030		4,665
6.750%, 03/10/14 (A)			50		56
6.750%, 03/10/14			1,600		1,775
6.625%, 02/17/37			1,400		1,551
5.875%, 03/13/20 (A)			1,500		1,644
4.875%, 05/05/21 (A)			2,775		2,817
Republic of Indonesia, CLN
11.000%, 11/16/20 (A) (B)	IDR		17,100,000		2,479
Star Energy
11.500%, 02/12/15 (A)			300		346

					54,619


Iraq — 1.6%
Republic of Iraq
5.800%, 01/15/28			17,590		16,095


Ivory Coast — 0.6%
Government of Ivory Coast
2.500%, 12/31/32 (C)			10,977		5,818


Jamaica — 0.2%
Digicel
8.250%, 09/01/17			133		140
Digicel Group
10.500%, 04/15/18			400		452
9.125%, 01/15/15 (A)			693		716
8.875%, 01/15/15 (A)			750		772

					2,080


Jordan — 0.1%
Kingdom of Jordan
3.875%, 11/12/15			950		895


Kazakhstan — 4.8%
BTA Bank JSC
10.750%, 01/01/13 (A) (D)			1,502		1,341
10.750%, 01/01/13 (D)			1,709		1,525
0.000%, 07/01/20 (A) (B)			2,772		181
CenterCredit International
8.625%, 01/30/14			2,800		2,841
Citigroup Global Markets for JSC Kazkommertsbank
8.700%, 04/07/14 (B)			1,550		1,457
Development Bank of Kazakhstan JSC
5.500%, 12/20/15 (A)			850		896


SEI Institutional Investments Trust / Annual Report / May 31, 2011			149

SCHEDULE OF INVESTMENTS

Emerging Markets Debt Fund (Continued)

May 31, 2011


Description		Face Amount (Thousands) (1)		Market Value ($ Thousands)

Halyk Savings Bank of Kazakhstan
7.250%, 05/03/17			1,150	$	1,193
7.250%, 01/28/21 (A)			1,000		1,031
Kazakhstan Temir Zholy Finance
6.375%, 10/06/20			1,550		1,645
Kazatomprom
6.250%, 05/20/15 (A)			1,050		1,121
6.250%, 05/20/15			850		908
Kazkommertsbank
12.850%, 12/18/12			600		633
8.500%, 04/16/13			1,700		1,725
8.000%, 11/03/15			1,950		1,959
7.875%, 04/07/14			900		910
7.500%, 11/29/16			2,650		2,571
6.875%, 02/13/17	EUR		500		669
KazMunayGas National MTN
11.750%, 01/23/15 (A)			3,663		4,610
11.750%, 01/23/15			250		314
9.125%, 07/02/18 (A)			3,350		4,148
9.125%, 07/02/18			1,523		1,883
8.375%, 07/02/13			3,600		3,991
7.000%, 05/05/20 (A)			1,591		1,776
7.000%, 05/05/20			3,263		3,642
6.375%, 04/09/21 (A)			3,524		3,758
6.375%, 04/09/21			350		373
Tengizchevroil Finance
6.124%, 11/15/14			320		339
Zhaikmunai Finance
10.500%, 10/19/15 (A)			2,031		2,182

					49,622


Lebanon — 0.4%
Republic of Lebanon MTN
9.000%, 03/20/17			150		175
6.375%, 03/09/20			1,950		1,982
6.100%, 10/04/22			1,050		1,017
5.150%, 11/12/18			400		383

					3,557


Lithuania — 0.9%
Republic of Lithuania
7.375%, 02/11/20 (A)			1,400		1,638
7.375%, 02/11/20			2,300		2,680
6.750%, 01/15/15 (A)			2,005		2,236
6.125%, 03/09/21 (A)			912		983
5.125%, 09/14/17			250		259
5.125%, 09/14/17 (A)			1,190		1,230

					9,026


Malaysia — 3.5%
Axiata SPV1 Labuan
5.375%, 04/28/20			550		572


Description		Face Amount (Thousands) (1)		Market Value ($ Thousands)

Government of Malaysia
5.094%, 04/30/14	MYR		5,610	$	1,954
3.835%, 08/12/15	MYR		6,390		2,154
3.741%, 02/27/15	MYR		12,440		4,180
Malaysia Sukuk Global Berhad
3.928%, 06/04/15 (A)			450		478
Petroliam Nasional
7.750%, 08/15/15			1,460		1,773
7.625%, 10/15/26			430		565
Petronas Capital
7.875%, 05/22/22 (A)			450		585
7.875%, 05/22/22			5,130		6,657
7.000%, 05/22/12			3,055		3,239
5.250%, 08/12/19			1,200		1,302
5.250%, 08/12/19 (A)			10,865		11,785
4.250%, 08/12/14 (A)			365		386

					35,630


Mexico — 9.3%
Alestra
11.750%, 08/11/14			422		484
Axtel
9.000%, 09/22/19			762		756
7.625%, 02/01/17 (A)			131		126
Bank of New York Mellon Institucion de Banca Multiple
9.625%, 05/02/21 (A)			1,200		1,239
BBVA Bancomer
6.008%, 05/17/22 (B)			780		769
Cemex (A)
9.000%, 01/11/18			265		276
5.301%, 09/30/15 (B)			1,359		1,344
Cemex Espana Luxembourg
9.500%, 12/14/16			500		534
9.250%, 05/12/20 (A)			1,889		1,934
8.875%, 05/12/17	EUR		63		90
Comision Federal de Electricidad
4.875%, 05/26/21 (A)			900		894
Corporation Geo
9.250%, 06/30/20			500		546
9.250%, 06/30/20 (A)			1,100		1,202
Desarrolla
7.500%, 09/28/15			252		257
Grupo Senda
10.500%, 10/03/15			4,390		4,544
Hipotecaria Su Casita
8.500%, 10/04/16 (C)			81		34
8.500%, 10/04/16 (A) (C)			222		94
Mexican Bonos
10.000%, 12/05/24	MXP		27,020		2,921
9.500%, 12/18/14	MXP		12,283		1,182
9.000%, 12/20/12	MXP		33,490		3,062
9.000%, 06/20/13	MXP		8,800		815
8.500%, 12/13/18	MXP		50,010		4,813


150		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description		Face Amount (Thousands) (1)		Market Value ($ Thousands)

8.000%, 12/17/15	MXP		25,400	$	2,351
8.000%, 06/11/20	MXP		85,090		7,935
7.750%, 12/14/17	MXP		48,110		4,442
7.500%, 06/21/12	MXP		9,200		817
Mexican Bonos, Ser M10
7.250%, 12/15/16	MXP		61,100		5,513
NII Capital
10.000%, 08/15/16			3,065		3,517
7.625%, 04/01/21			750		796
Oceanografia
11.250%, 07/15/15			1,286		656
Pemex Finance
9.150%, 11/15/18			1,895		2,465
Pemex Project Funding Master Trust
6.625%, 06/15/35			2,772		2,891
5.750%, 03/01/18			1,670		1,813
Petroleos Mexicanos
8.000%, 05/03/19			850		1,041
6.500%, 06/02/41 (A)			530		533
6.000%, 03/05/20 (A)			500		542
Southern Copper
6.750%, 04/16/40			162		165
United Mexican States MTN
8.300%, 08/15/31			3,393		4,632
8.000%, 09/24/22			2,510		3,363
6.625%, 03/03/15			2,200		2,541
6.050%, 01/11/40			3,164		3,359
5.950%, 03/19/19			1,600		1,829
5.625%, 01/15/17			9,834		11,053
5.125%, 01/15/20			1,850		1,989
United Mexican States, Ser A MTN
6.750%, 09/27/34			2,613		3,036

					95,195


Morocco — 0.3%
Kingdom of Morocco
4.500%, 10/05/20	EUR		2,400		3,110


Nigeria — 0.2%
Afren
11.500%, 02/01/16 (A)			900		990
Republic of Nigeria
6.750%, 01/28/21 (A)			650		673
UBS
9.350%, 09/04/17 (A) (B)			800		545

					2,208


Oman — 0.0%
Blue City Investments
13.750%, 11/07/13 (C)			2,750		137


Description	Face Amount (Thousands) (1)		Market Value ($ Thousands)


Pakistan — 0.3%
Pakistan Mobile Communications
8.625%, 11/13/13 (A)		330	$	323
Republic of Pakistan
7.125%, 03/31/16		1,050		908
6.875%, 06/01/17		2,200		1,853

				3,084


Panama — 1.8%
Republic of Panama
9.375%, 01/16/23		595		786
9.375%, 04/01/29		7,470		10,981
8.875%, 09/30/27		1,357		1,891
8.125%, 04/28/34		940		1,250
7.250%, 03/15/15		1,800		2,109
6.700%, 01/26/36		1,650		1,926

				18,943


Peru — 1.9%
Banco de Credito del Peru
5.375%, 09/16/20 (A)		1,093		1,038
Continental Senior Trustees Cayman
5.500%, 11/18/20 (A)		904		863
Inkia Energy
8.375%, 04/04/21 (A)		548		560
Interoceanica IV Finance
3.979%, 11/30/25 (A) (F)		724		376
3.546%, 11/30/18 (A) (F)		314		250
2.926%, 11/30/18		595		473
Peru Enhanced Pass-Through Finance
3.826%, 05/31/18 (F)		403		342
3.740%, 05/31/18 (A) (F)		456		386
Republic of Peru
8.750%, 11/21/33		6,561		8,913
8.375%, 05/03/16		850		1,046
7.350%, 07/21/25		3,689		4,464
7.125%, 03/30/19		250		299
6.550%, 03/14/37		120		132

				19,142


Philippines — 4.3%
National Power
9.625%, 05/15/28		1,100		1,463
Power Sector
7.390%, 12/02/24 (A)		1,300		1,510
7.250%, 05/27/19 (A)		100		116
Power Sector Assets & Liabilities Management
7.390%, 12/02/24		700		814


SEI Institutional Investments Trust / Annual Report / May 31, 2011			151

SCHEDULE OF INVESTMENTS

Emerging Markets Debt Fund (Continued)

May 31, 2011


Description		Face Amount (Thousands) (1)		Market Value ($ Thousands)

Republic of Philippines
10.625%, 03/16/25			3,376	$	5,072
9.500%, 02/02/30			5,555		7,937
9.375%, 01/18/17			7,963		10,322
8.875%, 03/17/15			125		155
8.375%, 06/17/19			1,800		2,306
7.750%, 01/14/31			2,543		3,128
7.500%, 09/25/24			750		906
6.375%, 10/23/34			3,711		4,008
5.500%, 03/30/26			2,146		2,162
4.950%, 01/15/21	PHP		86,000		2,013
4.000%, 01/15/21			2,653		2,580

					44,492


Poland — 1.9%
Polish Television Holding
11.250%, 11/15/14 (A) (D)	EUR		700		1,072
Republic of Poland
6.375%, 07/15/19			13,553		15,448
TVN Finance
10.750%, 11/15/17	EUR		200		323
TVN Finance II
10.750%, 11/15/17 (A)	EUR		1,400		2,244

					19,087


Qatar — 1.6%
Qatari Diar Finance QSC
5.000%, 07/21/20 (A)			1,800		1,843
Qtel International Finance
7.875%, 06/10/19			2,960		3,545
6.500%, 06/10/14 (A)			600		666
5.000%, 10/19/25 (A)			1,172		1,081
4.750%, 02/16/21 (A)			504		490
State of Qatar
9.750%, 06/15/30			535		800
6.400%, 01/20/40			650		723
6.400%, 01/20/40 (A)			705		784
5.250%, 01/20/20 (A)			4,339		4,664
4.000%, 01/20/15			1,600		1,678

					16,274


Russia — 8.1%
Alfa Bank Via Alfa Bond Issuance
7.875%, 09/25/17 (A)			771		814
7.750%, 04/28/21 (A)			910		931
Alfa Dividend Payment Rights Finance MTN
2.202%, 12/15/11 (A) (B)			71		68
Alfa Invest MTN
9.250%, 06/24/13 (A)			1,200		1,320
Alfa Issuance MTN
8.000%, 03/18/15			208		225
Alliance Oil
9.875%, 03/11/15			219		242


Description	Face Amount (Thousands) (1)		Market Value ($ Thousands)
BOM Capital
6.699%, 03/11/15		1,300	$	1,383
Edel Capital for Sinek Capital SA
7.700%, 08/03/15		600		643
Evraz Group
6.750%, 04/27/18 (A)		837		842
Gaz Capital MTN
8.625%, 04/28/34		516		653
MTS International
8.625%, 06/22/20 (A)		1,650		1,888
Novatek Finance
6.604%, 02/03/21 (A)		2,648		2,805
RSHB Capital for Russian Agricultural Bank
7.750%, 05/29/18		800		915
Russian Federation
12.750%, 06/24/28		3,420		6,087
7.500%, 03/31/30		33,671		39,669
Russian Foreign Bond — Eurobond
5.000%, 04/29/20		300		306
5.000%, 04/29/20 (A)		500		510
RZD Capital MTN
5.739%, 04/03/17		750		801
SCF Capital
5.375%, 10/27/17 (A)		1,900		1,899
Severstal OAO Via Steel Capital
6.700%, 10/25/17 (A)		739		755
Teorema Holding
11.000%, 10/27/09 (C) (G)		2,000		200
TNK-BP Finance
6.250%, 02/02/15 (A)		238		257
UBS (Vimpelcom)
8.250%, 05/23/16		190		211
VEB Finance
6.902%, 07/09/20 (A)		3,635		3,915
Vimpel.com
7.748%, 02/02/21 (A)		3,830		4,047
VIP Finance Ireland for Vimpel Communications
9.125%, 04/30/18 (A)		400		459
9.125%, 04/30/18		1,100		1,263
Vnesheconombank Via VEB Finance
6.902%, 07/09/20		250		271
6.800%, 11/22/25 (A)		1,250		1,290
5.450%, 11/22/17 (A)		800		826
VTB Bank Via VTB Capital
6.551%, 10/13/20 (A)		960		980
VTB Capital
6.875%, 05/29/18		4,950		5,346
6.609%, 10/31/12 (A)		650		687
6.250%, 06/30/35		698		739

				83,247


152		SEI Institutional Investments Trust / Annual Report / May 31, 2011


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	$	1,039
10.750%, 02/18/15			500		495

					1,534


Senegal — 0.1%
Republic of Senegal
8.750%, 05/13/21 (A)			1,250		1,311


Singapore — 0.8%
Bakrie Telecom
11.500%, 05/07/15			592		618
Sea Production
4.563%, 02/14/12			8,429		7,165
STATS ChipPac
7.500%, 08/12/15 (A)			173		188
5.375%, 03/31/16 (A)			224		224
Yanlord Land Group
9.500%, 05/04/17			258		263

					8,458


South Africa — 3.6%
Edcon Proprietary
9.500%, 03/01/18 (A)			1,200		1,199
4.276%, 06/15/14 (B)	EUR		2,275		2,878
Eskom Holdings
5.750%, 01/26/21 (A)			2,683		2,811
Gold Field Orogen
4.875%, 10/07/20			635		618
Myriad International Holding
6.375%, 07/28/17 (A)			1,856		2,012
Republic of South Africa
10.500%, 12/21/26	ZAR		15,820		2,712
8.500%, 06/23/17			3,038		3,744
8.000%, 12/21/18	ZAR		13,240		1,927
7.250%, 01/15/20	ZAR		7,480		1,028
6.875%, 05/27/19			3,747		4,468
6.750%, 03/31/21	ZAR		30,770		4,026
6.500%, 06/02/14			2,455		2,759
5.875%, 05/30/22			1,745		1,941
5.500%, 03/09/20			4,090		4,458
Transnet MTN
4.500%, 02/10/16 (A)			720		745

					37,326


South Korea — 0.1%
Export-Import Bank of Korea
8.125%, 01/21/14			1,062		1,220


Description		Face Amount (Thousands) (1)		Market Value ($ Thousands)

Sri Lanka — 0.2%
Democratic Socialist Republic of Sri Lanka
7.400%, 01/22/15 (A)			500	$	547
6.250%, 10/04/20 (A)			300		300
6.250%, 10/04/20			800		800

					1,647


Supra-National — 0.2%
Andina de Fomento
8.125%, 06/04/19			565		693
European Bank for Reconstruction & Development
7.200%, 06/08/16	IDR		8,320,000		977

					1,670


Thailand — 0.4%
True Move
10.750%, 12/16/13			500		545
10.750%, 12/16/13 (A)			850		929
10.375%, 08/01/14 (A)			1,350		1,466
10.375%, 08/01/14			1,000		1,086

					4,026


Trinidad & Tobago — 0.5%
Petroleum of Trinidad & Tobago
9.750%, 08/14/19 (A)			1,153		1,397
6.000%, 05/08/22 (A)			550		564
6.000%, 05/08/22			2,727		2,795

					4,756


Tunisia — 0.1%
Banque Centrale de Tunisie
8.250%, 09/19/27			300		360
7.375%, 04/25/12			500		521

					881


Turkey — 3.4%
Globus Capital Finance
8.500%, 03/05/12			700		700
Republic of Turkey
11.875%, 01/15/30			1,325		2,253
9.500%, 01/15/14			300		352
8.000%, 02/14/34			1,700		2,108
7.500%, 07/14/17			2,625		3,088
7.500%, 11/07/19			1,887		2,241
7.375%, 02/05/25			5,207		6,147
7.250%, 03/15/15			1,050		1,198
7.250%, 03/05/38			540		621
7.000%, 09/26/16			1,209		1,386
7.000%, 06/05/20			863		994

7.000%, 03/11/19			550		633


SEI Institutional Investments Trust / Annual Report / May 31, 2011			153

SCHEDULE OF INVESTMENTS

Emerging Markets Debt Fund (Continued)

May 31, 2011


Description	Face Amount (Thousands) (1)		Market Value ($ Thousands)
6.875%, 03/17/36		3,345	$	3,679
6.750%, 04/03/18		5,130		5,823
6.750%, 05/30/40		1,941		2,099
6.000%, 01/14/41		470		459
5.625%, 03/30/21		650		682

				34,463


Ukraine — 3.7%
Avangardco Investments
10.000%, 10/29/15		481		476
Biz Finance for Ukreximbank
8.375%, 04/27/15		6,077		6,396
Credit Suisse First Boston for City of Kiev
8.000%, 11/06/15		215		211
Credit Suisse First Boston International (Export/Import - Ukraine)
7.650%, 09/07/11		1,350		1,365
6.800%, 10/04/12		800		818
DTEK Finance
9.500%, 04/28/15		238		256
9.500%, 04/28/15 (A)		790		850
Financing of Infrastrucural Projects State Enterprise
8.375%, 11/03/17 (A)		650		682
Government of Ukraine
7.950%, 02/23/21 (A)		350		360
7.750%, 09/23/20 (A)		1,150		1,182
7.750%, 09/23/20		600		615
7.650%, 06/11/13		3,073		3,254
6.875%, 09/23/15		200		207
6.875%, 09/23/15 (A)		3,143		3,261
6.750%, 11/14/17		1,050		1,059
6.580%, 11/21/16		470		476
Metinvest MTN
8.750%, 02/14/18 (A)		1,150		1,219
MHP
10.250%, 04/29/15		553		589
10.250%, 04/29/15 (A)		1,865		1,988
Mriya Agro Holding
10.950%, 03/30/16 (A)		210		212
NAK Naftogaz Ukraine
9.500%, 09/30/14		8,873		9,738
Springvale Holdings
9.181%, 09/07/09 (B) (C) (G)		1,000		75
UK Private Bank
8.000%, 02/06/12		2,900		2,933

				38,222



United Arab Emirates — 2.8%
Dolphin Energy
5.888%, 06/15/19 (A)		185		200
5.888%, 06/15/19		923		1,001


Description		Face Amount (Thousands) (1)		Market Value ($ Thousands)

Dubai DOF Sukuk MTN
6.396%, 11/03/14			750	$	786
Dubai Electricity & Water Authority
8.500%, 04/22/15 (A)			1,450		1,611
8.500%, 04/22/15			1,202		1,336
7.375%, 10/21/20 (A)			2,420		2,493
Dubai Holding MTN
6.000%, 02/01/17	GBP		850		1,179
Dubai Holding Commercial Operations MTN
4.750%, 01/30/14	EUR		4,350		5,659
Dubai Sukuk Centre
0.677%, 06/13/12 (B)			2,507		2,338
Emirate of Abu Dhabi
7.750%, 10/05/20			1,657		1,761
6.750%, 04/08/19 (A)			670		797
6.750%, 04/08/19			800		952
6.700%, 10/05/15			150		158
Jafz Sukuk
3.679%, 11/27/12 (B)	AED		25,100		6,432
MDC-GMTN MTN
5.500%, 04/20/21 (A)			1,660		1,703

					28,406


Uruguay — 2.5%
Republic of Uruguay PIK
7.875%, 01/15/33			3,620		4,506
Republic of Uruguay
9.250%, 05/17/17			4,807		6,290
8.000%, 11/18/22			7,048		8,979
7.625%, 03/21/36			3,661		4,522
6.875%, 09/28/25			761		909

					25,206


Venezuela — 4.1%
Bolivarian Republic of Venezuela
9.000%, 05/07/23			2,963		1,970
8.250%, 10/13/24			2,988		1,867
Government of Venezuela
13.625%, 08/15/18			2,435		2,362
13.625%, 08/15/18			737		715
12.750%, 08/23/22			750		645
10.750%, 09/19/13			900		896
9.375%, 01/13/34			1,020		697
9.250%, 09/15/27			1,775		1,260
9.250%, 05/07/28			1,900		1,268
8.500%, 10/08/14			3,405		3,082
7.750%, 10/13/19			1,350		901

7.650%, 04/21/25			1,400		858
7.000%, 12/01/18			255		175
7.000%, 03/31/38			200		110
6.000%, 12/09/20			900		531


154		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Description		Face Amount (Thousands) (1)		Market Value ($ Thousands)

5.750%, 02/26/16			2,000	$	1,485
Petroleos de Venezuela
8.500%, 11/02/17			1,472		1,041
5.500%, 04/12/37			1,950		902
5.375%, 04/12/27			4,655		2,211
5.250%, 04/12/17			6,974		4,184
5.000%, 10/28/15			1,700		1,122
4.900%, 10/28/14			18,688		13,735

					42,017


Vietnam — 0.2%
Socialist Republic of Vietnam
6.875%, 01/15/16			350		375
6.750%, 01/29/20			1,800		1,881

					2,256

Total Global Bonds (Cost $889,856 ($ Thousands)					979,947


LOAN PARTICIPATIONS — 1.2%

Angola — 0.2%
Republic of Angola
3.254%, 04/30/16 (G) (H)	EUR		1,192		1,577


Argentina — 0.0%
Endesa Costanera Sociedad Anonima
11.302%, 03/30/12			347		347


Brazil — 0.1%
Virgolino de Oliveira
5.273%, 11/03/15			600		600


Georgia — 0.0%
Ashmore Cayman
0.000%, 04/16/14 (F) (G) (H)			221		309


Indonesia — 0.4%
PT
7.390%, 03/02/12			1,213		1,213
7.390%, 03/02/12			969		969
PT Bumi Resources
11.243%, 08/07/13			1,973		2,070

					4,252


Russia — 0.2%
Snegri Overseas
10.500%, 10/10/11 (G) (H)			1,991		1,882


Singapore — 0.3%
Morton Bay Senior
6.220%, 06/30/11 (G) (H)			3,230		3,270

Total Loan Participations (Cost $12,040) ($ Thousands)					12,237


Description		Face Amount (Thousands) (1)/Shares		Market Value ($ Thousands)


CONVERTIBLE BONDS — 0.4%
BLT International CV to 2,288,997.56 Shares
12.000%, 02/10/15			300	$	305
FirstSource Solutions CV to 42,549.14 Shares
5.937%, 12/04/12 (F)			2,100		2,496
Suzlon Energy CV to 22.6830 Shares
3.856%, 06/12/12 (F)			918		1,138
Suzlon Energy CV to 533.2762 Shares
1.699%, 07/25/14 (F)			500		469

Total Convertible Bonds (Cost $3,570) ($ Thousands)					4,408

		Number of Warrants

WARRANTS — 0.0%

Russia — 0.0%
Teorema Holding A, Expires 10/27/11*			136		—
Teorema Holding B, Expires 10/27/11*			272		—

Total Warrants (Cost $47) ($ Thousands)					—


TIME DEPOSITS — 2.1%

United States — 2.1%
Brown Brothers Harriman
0.430%, 06/01/11	EUR		347		499
0.030%, 06/01/11	USD		20,849		20,849

Total Time Deposits (Cost $21,348) ($ Thousands)					21,348


AFFILIATED PARTNERSHIP — 0.2%
SEI Liquidity Fund, L.P. 0.150%†** (I)			2,223,603		2,010

Total Affiliated Partnership (Cost $2,224) ($ Thousands)					2,010

Total Investments — 99.2% (Cost $929,085) ($ Thousands)				$	1,019,950


SEI Institutional Investments Trust / Annual Report / May 31, 2011			155

SCHEDULE OF INVESTMENTS

Emerging Markets Debt Fund (Concluded)

May 31, 2011

A summary of the open futures contracts held by the Fund at May 31, 2011, is as follows:


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
Euro-Buxl 30 Year Bond		(16	)		Jun-2011	$	(45	)
U.S. 10-Year Treasury Note		10			Sep-2011		7
U.S. Ultra Long Treasury Bond		13			Sep-2011		13

						$	(25	)

For the year ended May 31, 2011, 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 year.

A summary of the outstanding forward foreign currency contracts held by the Fund at May 31, 2011, is as follows:


Maturity Date	Currency to Deliver (Thousands)			Currency to Receive (Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)
6/2/11		BRL	7,767		USD	4,927	$	24
6/2/11		USD	4,775		BRL	7,767		128
6/3/11		MYR	21,385		USD	7,051		(52	)
6/3/11-9/6/11		USD	14,135		MYR	42,771		29
6/6/11-7/5/11		RUB	299,663		USD	10,670		(19	)
6/20/11-7/21/11		EUR	27,287		USD	38,821		(373	)
6/20/11-7/21/11		USD	676		EUR	481		14


Maturity Date	Currency to Deliver (Thousands)			Currency to Receive (Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)
6/20/11-8/19/11		USD	11,164		RUB	315,125	$	47
7/8/11		MXP	144,380		USD	12,160		(270	)
7/8/11		USD	2,780		MXP	32,769		41
7/14/11		GBP	734		USD	1,188		(19	)
7/18/11		USD	2,543		KRW	2,745,975		1
7/25/11		USD	4,200		INR	191,436		15
8/9/11-11/14/11		CNY	52,392		USD	8,101		(35	)
8/9/11-5/16/12		USD	12,088		CNY	78,588		166
8/11/11		USD	4,982		SGD	6,152		3

							$	(300	)

A summary of the counterparties for the outstanding forward foreign currency contracts held by the Fund at May 31, 2011, is as follows:


CounterParty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
Barclays PLC		(7,103	)		7,070	$	(34	)
Brown Brothers Harriman		(5,455	)		5,496		41
Citigroup		(33,772	)		34,071		299
HSBC		(36,222	)		35,739		(483	)
JPMorgan Chase Bank		(14,281	)		14,064		(217	)
Morgan Stanley & Co.		(32,447	)		32,523		76
Standard Bank		(11,725	)		11,743		18

						$	(300	)

A summary of outstanding swap agreements help by the Fund at May 31, 2011, is as follows:

Total Return Swaps

Counterparty

Reference
Entity/Obligation

Fund Pays

Fund Receives

Termination Date

Notional
Amount
(Thousands)

Net Unrealized
Appreciation
(Depreciation)
($Thousands)

HSBC

Republic of Korea 5% 06/10/20

Cash Deposit Of Notional Amount

Price
Return

06/10/20

KRW

2,475,000

238

Barclays Bank PLC

Republic of Korea 5% 06/10/20

Cash Deposit Of Notional Amount

Price
Return

06/10/20

KRW

2,497,000

212

450

Percentages are based on a Net Assets of $1,028,691 ($ Thousands)

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2011.

(1)

In U.S. dollars unless otherwise indicated.

†

Investment in Affiliated Security (see Note 5).

(A)

(B)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of May 31, 2011. The date reported is the final maturity date.

(C)

Security in default on interest payments.

(D)

Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on May 31, 2011. 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 May 31, 2011. The total value of securities on loan at May 31, 2011 was $2,095 ($ Thousands).

(F)

The rate reported on the Schedule of Investments is the effective yield at time of purchase.

(G)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of May 31, 2011 was $7,313 and represented 0.7% of Net Assets.

(H)

Securities considered illiquid. The total value of such securities as of May 31, 2011 was $7,038 ($ Thousands) and represented 0.68% of Net Assets.

(I)

This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of May 31, 2011 was $2,010 ($ Thousands)

AED — United Arab Emirates Dirham

BRL — Brazilian Real

CLN — Credit-Linked Note

CNY — Chinese Yuan

COP — Colombian Peso

CV — Convertible Security

DEM — German Mark

EUR — Euro

GBP — British Pound

IDR — Indonesian Rupiah

INR — Indian Rupee

KRW — Korean Won

LLC — Limited Liability Company

L.P. — Limited Partnership


156		SEI Institutional Investments Trust / Annual Report / May 31, 2011

MTN — Medium Term Note

MXP — Mexican Peso

MYR — Malaysian Ringgit

PHP — Philippine Peso

PIK — Payment-in-Kind

PLC — Public Limited Company

RUB — Russian Ruble

Ser — Series

SGD — Singapore Dollar

SPC — Segregated Portfolio Company

USD — U.S. Dollar

ZAR — South African Rand

The following is a summary of the inputs used as of May 31, 2011, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Global Bonds	$	—	$	979,947	$	—	$	979,947
Convertible Bonds		—		4,408		—		4,408
Credit-Linked Notes
Warrants		—		—		—		—
Loan Participations		—		5,199		7,038		12,237
Time Deposits		21,348		—		—		21,348
Affiliated Partnership		—		2,010		—		2,010

Total Investments in Securities	$	21,348	$	991,564	$	7,038	$	1,019,950


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(25	)	$	—	$	—	$	(25	)
Forwards		(300	)		—		—		(300	)
Total Return Swaps		—			450		—		450

Total Other Financial Instruments	$	(325	)	$	450	$	—	$	125

Future contracts are valued at the unrealized depreciation 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 Loan Participations			Investments in Total Return Swaps
Beginning balance as June 1, 2010	$	9,135		$	(4	)
Accrued discounts/premiums		21			—
Realized gain/(loss)		(5	)		1
Change in unrealized appreciation/(depreciation)		897			4
Net purchases/sales		(3,010	)		(1	)
Net transfer in and/or out of Level 3		—			—

Ending balance as of May 31, 2011	$	7,038		$	—

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	773		$	—

For the year ended March 31, 2011, there were 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.


SEI Institutional Investments Trust / Annual Report / May 31, 2011			157

SCHEDULE OF INVESTMENTS

Real Return Fund

May 31, 2011

LOGO


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)


U.S. TREASURY OBLIGATIONS — 99.9%
U.S. Treasury Inflation-Protected Securities
3.000%, 07/15/12	$	20,196	$	21,295
2.000%, 04/15/12		12,467		12,856
2.000%, 01/15/14		41,391		44,977
2.000%, 07/15/14		32,556		35,748
2.000%, 01/15/16		29,077		32,420
1.875%, 07/15/13		24,571		26,374
1.625%, 01/15/15		46,930		51,139
1.250%, 04/15/14		28,721		30,655
0.625%, 04/15/13		35,730		37,114
0.500%, 04/15/15		51,584		54,018
0.125%, 04/15/16		21,868		22,401

Total U.S. Treasury Obligations (Cost $353,402) ($ Thousands)				368,997

Total Investments — 99.9% (Cost $353,402) ($ Thousands)			$	368,997

Percentages are based on Net Assets of $369,232 ($ Thousands).

As of May 31, 2011, all of the Fund’s investments were considered level 2, in accordance with ASC-820.

For the year ended May 31, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2011, there were 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.


158		SEI Institutional Investments Trust / Annual Report / May 31, 2011

SCHEDULE OF INVESTMENTS

Dynamic Asset Allocation Fund

May 31, 2011

LOGO


Description	Face Amount ($ Thousands)/Shares		Market Value ($ Thousands)


U.S. GOVERNMENT AGENCY OBLIGATIONS (A) — 8.1%
FHLB
0.072%, 08/24/11	$	16,000	$	15,997
0.060%, 08/12/11 (B)		17,000		16,998

Total U.S. Government Agency Obligations (Cost $32,995) ($ Thousands)				32,995


U.S. TREASURY OBLIGATIONS (A) — 42.0%
U.S. Treasury Bills
0.185%, 12/15/11 (B)		10,000		9,995
0.160%, 06/02/11 (B)		20,000		20,000
0.140%, 06/09/11		16,000		16,000
0.065%, 07/07/11		90,000		89,998
0.021%, 08/04/11		35,000		34,998

Total U.S. Treasury Obligations (Cost $170,983) ($ Thousands)				170,991


CASH EQUIVALENT — 45.9%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.050% †*		187,104,268		187,104

Total Cash Equivalent (Cost $187,104) ($ Thousands)				187,104

Total Investments — 96.0% (Cost $391,082) ($ Thousands)			$	391,090

A summary of the open futures contracts held by the Fund at May 31, 2011, is as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Appreciation ($ Thousands)
S&P 500 Index E-MINI		5,496		Jun-2011	$	11,673
U.S. 10-Year Treasury Note		303		Sep-2011		239

					$	11,912

For the year ended May 31, 2011, 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 year.

Percentages

are based on a Net Assets of $407,345 ($ Thousands).

The rate reporting is the 7-day effective yield as of May 31, 2011.

†

Investment in Affiliated Security (see Note 5).

(A)

The rate reported is effective yield at time of purchase.

(B)

Security, or portion thereof, has been pledged as collateral on open futures contracts.

Cl — Class

FHLB — Federal Home Loan Bank

S&P — Standard & Poor’s

The following is a summary of the inputs used as of May 31, 2011, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
U.S. Government Agency Obligations	$	—	$	32,995	$	—	$	32,995
U.S. Treasury Obligations		—		170,991		—		170,991
Cash Equivalent		187,104		—		—		187,104

Total Investments in Securities	$	187,104	$	203,986	$	—	$	391,090


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	11,912	$	—	$	—	$	11,912

Future contracts are value at the unrealized appreciation on the instrument.

For the year ended May 31, 2011, there were 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.


SEI Institutional Investments Trust / Annual Report / May 31, 2011			159

Statements of Assets and Liabilities ($ Thousands)

May 31, 2011


	Large Cap Fund			Large Cap Diversified Alpha Fund			Large Cap Disciplined Equity Fund
ASSETS:
Investments at value†	$	1,572,797	*	$	353,745		$	6,721,620	*
Affiliated investment, at value††		154,813			7,750			1,408,505
Cash		4			7			16
Foreign currency, at value†††		—			—			—
Receivable for fund shares sold		9,648			2,543			8,919
Receivable for investment securities sold		5,287			935			2,163
Dividends and interest receivable		2,518			545			15,775
Receivable for variation margin		288			48			11,653
Foreign tax reclaim receivable		12			5			—
Unrealized gain on foreign spot currency contracts		—			—			—
Prepaid expenses		9			2			36
Total Assets		1,745,376			365,580			8,168,687
LIABILITIES:
Payable upon return on securities loaned		119,964			—			377,556
Payable for investment securities purchased		4,900			963			4,549
Payable for fund shares redeemed		3,513			332			11,271
Payable to custodian		—			—			—
Payable for foreign currency		—			—			—
Payable for variation margin		15			—			—
Unrealized loss on foreign spot currency contracts		—			—			—
Investment advisory fees payable		329			93			1,118
Chief Compliance Officer fees payable		4			1			19
Trustees fees payable		—			—			1
Accrued expense payable		44			11			193
Total Liabilities		128,769			1,400			394,707
Net Assets	$	1,616,607		$	364,180		$	7,773,980
†Cost of investments and repurchase agreements		1,296,029			307,432			5,556,582
††Cost of affiliated investments		155,401			7,750			1,565,081
†††Cost of foreign currency		—			—			—
* Includes market value of securities on loan		118,354			—			371,687
NET ASSETS:
Paid-in-Capital — (unlimited authorization — no par value)	$	1,341,427		$	458,245		$	8,396,220
Undistributed net investment income		4,171			—			3,140
Accumulated net realized gain/(loss) on investments, option contracts, swaptions, futures, securities sold short, swap contracts and foreign currency		(6,671	)		(140,504	)		(1,659,091	)
Net unrealized appreciation on investments and option contracts		276,180			46,313			1,008,462
Net unrealized appreciation (depreciation) on futures contracts		1,500			126			25,249
Net unrealized depreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies		—			—			—
Net Assets	$	1,616,607		$	364,180		$	7,773,980
Net Asset Value, Offering and Redemption Price Per Share — Class A		$18.40			$9.53			$10.87
		($1,616,607,043 ÷ 87,856,388 shares	)		($364,180,250 ÷ 38,221,471 shares	)		($7,773,980,320 ÷ 715,280,631 shares	)

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

The accompanying notes are an integral part of the financial statements.


160		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Large Cap Index Fund			Small Cap Fund			Small/Mid Cap Equity Fund			U.S. Managed Volatility Fund			International Equity Fund

	$748,828	*		$ 713,805	*		$2,238,812	*		$132,360			$ 538,668	*
	66,073			186,615			643,293			2,241			45,707
	1			25			—			—			814
	—			1			337			—			849
	5,892			3,031			3,981			215			323
	1,804			4,585			29,669			—			20,686
	1,496			462			1,722			335			2,560
	246			227			625			20			—
	1			—			1			—			881
	—			—			2			—			3
	2			6			10			1			3
	824,343			908,757			2,918,452			135,172			610,494

	47,159			176,283			565,631			—			43,510
	6,616			2,947			29,175			—			2,415
	369			6,338			7,255			1,312			17,592
	—			—			296			—			—
	—			—			—			5			—
	15			—			—			—			221
	—			—			—			—			17
	25			339			945			40			121
	2			2			6			—			1
	—			—			—			—			—
	22			23			62			4			105
	54,208			185,932			603,370			1,361			63,982
	$770,135			$ 722,825			$2,315,082			$133,811			$ 546,512
	533,020			607,317			1,810,923			105,338			479,306
	66,692			192,229			650,755			2,241			46,521
	—			1			337			(5	)		844
	46,383			171,742			552,143			—			41,822

	$601,801			$ 895,865			$2,098,851			$ 83,661			$ 886,300
	2,178			325			6,997			333			5,637
	(49,993	)		(274,611	)		(212,566	)		22,718			(403,839	)
	215,189			100,874			420,427			27,022			58,548
	960			372			1,373			77			(30	)
	—			—			—			—			(104	)
	$770,135			$ 722,825			$2,315,082			$133,811			$ 546,512
	$117.49			$13.49			$13.62			$12.15			$8.07
	($770,134,586 ÷ 6,555,116 shares	)		($722,824,669 ÷ 53,576,484 shares	)		($2,315,082,411 ÷ 169,947,760 shares	)		($133,810,892 ÷ 11,010,060 shares	)		($546,511,535 ÷ 67,738,580 shares	)


SEI Institutional Investments Trust / Annual Report / May 31, 2011			161

Statements of Assets and Liabilities ($ Thousands)

May 31, 2011


	World Equity Ex-US Fund			Screened World Equity Ex-US Fund			Enhanced LIBOR Opportunities Fund			Core Fixed Income Fund
ASSETS:
Investments at value†		$4,925,524	*		$ 53,880			$124,913			$7,170,590	*
Affiliated investment, at value††		626,601			369			178,846			1,070,570
Cash		39,202			—			3,163			23
Foreign currency, at value†††		29,635			27			—			1,721
Cash pledged as collateral for forward foreign currency contracts, future contracts and swap contracts		—			—			45			4,093
Receivable for fund shares sold		47,138			536			6,187			18,544
Receivable for investment securities sold		39,935			565			659			788,654
Dividends and interest receivable		22,575			185			485			38,776
Foreign tax reclaim receivable		2,560			68			1			31
Receivable for variation margin		994			1			2			200
Unrealized gain on foreign spot currency contracts		31			—			—			—
Unrealized gain on forward foreign currency contracts		—			—			—			329
Swap contracts at value††††		—			—			—			13,297
Prepaid expenses		21			—			1			10
Total Assets		5,734,216			55,631			314,302			9,106,838
LIABILITIES:
Payable upon return on securities loaned		519,186			—			—			725,147
Payable for investment securities purchased		73,911			674			18,866			1,563,816
Payable for fund shares redeemed		9,587			31			52			39,185
Payable for loss on securities lending		—			—			—			—
Income distribution payable		—			—			—			662
Swap contracts at value††††		—			—			—			14,874
Options written, at value†††††		—			—			—			357
Payable to custodian		—			9			—			—
Payable for variation margin		17			—			4			470
Unrealized loss on foreign spot currency contracts		56			1			—			—
Unrealized loss on forward foreign currency contracts		—			—			—			—
Investment advisory fees payable		1,885			17			90			753
Chief Compliance Officer fees payable		12			—			1			15
Trustees fees payable		1			—			—			1
Accrued expense payable		346			55			—			—
Accrued foreign capital gains tax on appreciated securities		126			—			12			159
Total Liabilities		605,127			787			19,025			2,345,439
Net Assets		$5,129,089			$ 54,844			$295,277			$6,761,399
†Cost of investments and repurchase agreements		4,275,231			47,320			124,780			7,035,708
††Cost of affiliated investments		629,325			369			196,975			1,080,133
†††Cost of foreign currency		29,596			20			—			1,632
††††Swap Premiums received		—			—			—			9,424
†††††Option Premiums received		—			—			—			(260	)
* Includes market value of securities on loan		506,413			—			—			706,285
NET ASSETS:
Paid-in-Capital — (unlimited authorization — no par value)		$4,999,568			$ 64,517			$340,825			$6,721,463
Undistributed (distributions in excess of) net investment income (Accumulated net investment loss)		45,254			590			4,196			(6,585	)
Accumulated net realized gain/(loss) on investments, option contracts, swaptions, futures, securities sold short, swap contracts and foreign currency		(565,012	)		(16,856	)		(31,733	)		(66,704	)
Net unrealized appreciation (depreciation) on investments and option contracts		647,569			6,560			(17,996	)		125,222
Net unrealized appreciation (depreciation) on futures contracts		1,433			19			(15	)		(1,415	)
Net unrealized appreciation (depreciation) on swap contracts		—			—			—			(11,001	)
Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies		403			14			—			419
Accumulated foreign capital gains tax on appreciated securities		(126	)		—			—			—
Net Assets		$5,129,089			$ 54,844			$295,277			$6,761,399
Net Asset Value, Offering and Redemption Price Per Share — Class A		$11.71			$9.01			$7.95			$10.39
		($5,129,089,344 ÷ 437,895,274 shares	)		($54,844,456 ÷ 6,089,018 shares	)		($295,276,817 ÷ 37,120,786 shares	)		($6,761,398,510 ÷ 650,795,329 shares	)

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

The accompanying notes are an integral part of the financial statements.


162		SEI Institutional Investments Trust / Annual Report / May 31, 2011


High Yield Bond Fund			Long Duration Fund			Ultra Short Duration Bond Fund			Emerging Markets Debt Fund			Real Return Fund			Dynamic Asset Allocation Fund

	$1,915,007			$3,425,170			$320,452			$ 1,017,940	*		$368,997			$203,986
	28,433			71,420			50			2,010			—			187,104
	—			—			11			113			382			—
	—			—			—			201			—			7,500
	—			—			215			433			—			—
	5,053			8,527			3,195			3,035			496			5,182
	16,766			3,444			12,661			9,125			—			3,870
	34,879			39,890			871			17,587			1,615			8
	6			30			5			—			—			—
	—			563			1			17			—			—
	—			—			—			—			—			—
	—			—			—			541			—			—
	—			—			—			4,988			—			—
	3			14			—			3			2			1
	2,000,147			3,549,058			337,461			1,055,993			371,492			407,651

	—			—			—			2,224			—			—
	38,714			8,948			23,991			11,190			—			—
	16,385			14,077			33			12,503			2,192			136
	1,915			—			—			—			—			—
	319			160			2			—			—			—
	1,476			—			—			—			—			—
	—			—			—			—			—			—
	1,680			1,737			—			—			—			—
	—			348			20			—			—			—
	—			—			—			—			—			—
	—			—			—			841			—			—
	552			522			38			477			59			152
	5			7			1			2			1			1
	—			1			—			—			—			—
	78			—			18			65			8			17
	—			104			—			—			—			—
	61,124			25,904			24,103			27,302			2,260			306
	$1,939,023			$3,523,154			$313,358			$1,028,691			$369,232			$407,345
	1,809,201			3,195,426			320,302			926,861			353,402			203,978
	28,433			71,420			50			2,224			—			187,104
	—			—			—			345			—			—
	357			—			—			4,538			—			—
	—			—			—			—			—			—
	—			—			—			2,095			—			—

	$1,917,442			$3,320,114			$313,684			$ 935,208			$347,005			$385,013

	5,359			2			(1	)		11,233			5,358			—
	(87,751	)		(24,379	)		(364	)		(8,851	)		1,274			10,412
	105,806			229,744			150			90,865			15,595			8
	—			(2,327	)		(111	)		(25	)		—			11,912
	(1,833	)		—			—			450			—			—
	—			—			—			(189	)		—			—
	—			—			—			—			—			—
	$1,939,023			$3,523,154			$313,358			$1,028,691			$369,232			$407,345
	$9.58			$8.83			$9.99			$11.60			$10.67			$11.26
	($1,939,023,159 ÷ 202,363,880 shares	)		($3,523,153,590 ÷ 398,806,916 shares	)		($313,358,050 ÷ 31,369,763 shares	)		($1,028,690,704 ÷ 88,668,541 shares	)		($369,232,150 ÷ 34,610,540 shares	)		($407,344,885 ÷ 36,171,353 shares	)


SEI Institutional Investments Trust / Annual Report / May 31, 2011			163

Statements of Operations ($ Thousands)

For the year ended May 31, 2011


	Large Cap Fund			Large Cap Diversified Alpha Fund			Large Cap Disciplined Equity Fund
Investment Income
Dividends	$	23,415		$	5,781		$	127,959
Dividends from Affiliated Registered Investment Company⁽¹⁾		55			16			414
Interest Income		16			6			228
Security Lending Income — Net		221			—			879
Less: Foreign Taxes Withheld		(31	)		(17	)		(25	)
		23,676			5,786			129,455
Expenses:
Investment Advisory Fees		5,892			1,432			30,097
Administration Fees		736			179			3,762
Trustee Fees		22			6			122
Chief Compliance Officer Fees		6			1			30
Custodian/Wire Agent Fees		86			20			432
Professional Fees		64			15			334
Printing Fees		12			2			54
Registration Fees		7			2			30
Overdraft Fees		—			—			—
Other Expenses		43			22			193
Total Expenses		6,868			1,679			35,054
Less:
Waiver of Investment Advisory Fees		(2,280	)		(370	)		(17,250	)
Waiver of Administration Fees		(736	)		(179	)		(3,762	)
Fees Paid Indirectly⁽¹⁾		(31	)		(4	)		(129	)
Net Expenses		3,821			1,126			13,913
Net Investment Income		19,855			4,660			115,542
Net Realized and Unrealized Gain (Loss) on Investments:
Investments		97,117			48,437			621,379
Affiliated Investments		—			(12,818	)		—
Futures Contracts		9,463			(17	)		232,726
Swap Contracts		—			—			—
Foreign Currency Transactions		—			—			—
Net Change in Unrealized Appreciation (Depreciation) on:
Investments		211,709			55,104			662,779
Affiliated Investments		174			(13,128	)		37,971
Futures Contracts		3,083			2,252			59,340
Swap Contracts		—			—			—
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currencies		—			—			—
Net Increase in Net Assets Resulting from Operations	$	341,401		$	84,490		$	1,729,737

(1)

See Note 5 in the Notes to Financial Statements.

(2)

Includes realized gain of $119,030 ($ Thousands) from In-kind redemptions (see Note 10).

(3)

Includes realized gain of $17,980 ($ Thousands) from In-kind redemptions (see Note 10).

(4)

See Note 7.

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

The accompanying notes are an integral part of the financial statements.


164		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Large Cap Index Fund			Small Cap Fund			Small/Mid Cap Equity Fund			U.S. Managed Volatility Fund			International Equity Fund

$	11,015		$	12,210		$	23,250		$	3,461		$	17,587
	15			54			86			4			13
	1			239			237			2			49
	119			1,067			1,599			—			399
	(12	)		(31	)		(94	)		(18	)		(1,629	)
	11,138			13,539			25,078			3,449			16,419

	963			6,771			13,897			986			2,936
	283			521			1,069			76			291
	9			21			34			4			10
	2			3			9			1			2
	31			61			123			9			310
	25			41			96			6			28
	4			6			15			—			4
	4			4			9			1			3
	—			—			—			—			13
	32			50			72			7			93
	1,353			7,478			15,324			1,090			3,690

	(720	)		(1,312	)		(3,530	)		(481	)		(1,020	)
	(283	)		(521	)		(1,069	)		(76	)		(291	)
	—			(67	)		(200	)		—			(20	)
	350			5,578			10,525			533			2,359
	10,788			7,961			14,553			2,916			14,060

	(8,813	)		286,042	⁽²⁾		391,037			46,034	⁽³⁾		61,883	⁽⁴⁾
	—			—			—			—			—
	2,467			18,232			14,683			540			1,975
	—			—			—			—			(3,263	)
	—			(38	)		(455	)		1			(6,136	)

	124,500			(50,479	)		132,884			(10,870	)		88,560
	143			542			(77	)		—			9
	1,366			212			832			217			170
	—			—			—			—			4,287
	—			1			3			—			208
$	130,451		$	262,473		$	553,460		$	38,838		$	161,753


SEI Institutional Investments Trust / Annual Report / May 31, 2011			165

Statements of Operations ($ Thousands)

For the period ended May 31, 2011


	World Equity Ex-US Fund			Screened World Equity Ex-US Fund			Enhanced LIBOR Opportunities Fund			Core Fixed Income Fund
Investment Income
Dividends	$	125,571		$	1,590		$	—		$	322
Dividends from Affiliated Registered Investment Company⁽¹⁾		192			3			11			320
Interest Income		38			6			3,345			227,572
Security Lending Income — Net		2,503			—			—			321
Less: Foreign Taxes Withheld		(10,402	)		(140	)		—			(9	)
		117,902			1,459			3,356			228,526
Expenses:
Investment Advisory Fees		25,187			434			722			18,247
Administration Fees		2,290			33			80			3,041
Trustee Fees		70			1			2			99
Chief Compliance Officer Fees		20			—			1			23
Custodian/Wire Agent Fees		1,005			186			9			348
Professional Fees		229			3			8			263
Overdraft Fees		42			1			—			—
Printing Fees		38			1			1			44
Registration Fees		30			—			3			39
Interest Expense		—			—			—			1,036
Other Expenses		188			51			22			182
Total Expenses		29,099			710			848			23,322
Less:
Waiver of Investment Advisory Fees		(6,089	)		(166	)		(104	)		(10,615	)
Waiver of Administration Fees		(2,290	)		(33	)		(80	)		(3,041	)
Fees Paid Indirectly⁽¹⁾		(111	)		—			—			—
Net Expenses		20,609			511			664			9,666
Net Investment Income (Loss)		97,293			948			2,692			218,860
Net Realized and Unrealized Gain (Loss) on Investments:
Investments		349,874	⁽⁴⁾		7,533	⁽⁴⁾		(1,212	)		104,480
Affiliated Investments		—			—			—			—
Futures Contracts		35,433			241			(50	)		(12,422	)
Written Options		—			—			—			1,612
Swap Contracts		(5,066	)		—			—			(5,193	)
Foreign Currency Transactions		(22,943	)		(93	)		—			(1,844	)
Net Change in Unrealized Appreciation (Depreciation) on:
Investments		752,271			9,642			2,757			164,929
Affiliated Investments		(411	)		—			3,672			(148	)
Futures Contracts		3,615			208			(13	)		(216	)
Written Options		—			—			—			66
Written Swaptions		—			—			—			—
Swap Contracts		6,885			—			—			4,385
Foreign Capital Gains Tax		(14	)		—			—			—
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currencies		468			17			—			281
Net Increase in Net Assets Resulting from Operations	$	1,217,405		$	18,496		$	7,846		$	474,790

(1)

See Note 5 in the Notes to Financial Statements.

(2)

Commenced operations on February 25, 2011.

(3)

Commenced operations on July 30, 2010.

(4)

See Note 7.

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

The accompanying notes are an integral part of the financial statements.


166		SEI Institutional Investments Trust / Annual Report / May 31, 2011


High Yield Bond Fund			Long Duration Fund			Ultra Short Duration Bond Fund⁽²⁾			Emerging Markets Debt Fund			Real Return Fund			Dynamic Asset Allocation Fund⁽³⁾

$	770		$	—		$	—		$	—		$	—		$	—
	65			52			—			—			—			62
	164,274			152,676			1,351			76,915			11,295			128
	—			—			—			12			—			—
	(33	)		—			—			—			—			—
	165,076			152,728			1,351			76,927			11,295			190

	9,114			8,754			110			8,781			802			1,018
	935			1,459			37			517			182			85
	30			46			—			17			6			1
	7			11			1			4			1			1
	107			166			4			113			8			10
	82			120			6			50			16			10
	—			—			—			9			1			—
	15			21			1			7			3			2
	15			26			9			4			2			8
	—			49			—			—			—			—
	176			146			3			113			12			2
	10,481			10,798			171			9,615			1,033			1,137

	(2,973	)		(3,411	)		(1	)		(3,390	)		(117	)		(203	)
	(935	)		(1,459	)		(37	)		(517	)		(182	)		(85	)
	—			—			—			—			—			—
	6,573			5,928			133			5,708			734			849
	158,503			146,800			1,218			71,219			10,561			(659	)

	78,894			84,210			204			55,493			3,433			64
	—			—			—			—			—			—
	—			7,710			(514	)		(193	)		(277	)		12,892
	(691	)		—			—			—			—			—
	(905	)		(439	)		—			223			—			—
	—			—			—			(2,128	)		—			—

	90,902			73,060			150			29,124			9,862			8
	(1,915	)		—			—			12			—			—
	—			1,353			(111	)		(17	)		—			11,912
	—			—			—			—			—			—
	—			—			—			—			—			—
	(1,110	)		511			—			527			—			—
	—			—			—			—			—			—
	—			—			—			1,119			—			—
$	323,678		$	313,205		$	947		$	155,379		$	23,579		$	24,217


SEI Institutional Investments Trust / Annual Report / May 31, 2011			167

Statements of Changes in Net Assets ($ Thousands)

For the years ended May 31,


	Large Cap Fund						Large Cap Diversified Alpha Fund
	2011			2010			2011			2010
Operations:
Net Investment Income	$	19,855		$	14,146		$	4,660		$	4,520
Net Realized Gain (Loss) from Investments, Affiliated Investments, Futures Contracts and Swap Contracts		106,580			52,197			35,602			45,041
Net Realized Loss on Foreign Currency Transactions		—			—			—			(9	)
Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments and Future Contracts		214,966			51,674			44,228			21,406
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions		—			—			—			1
Net Increase in Net Assets Resulting from Operations		341,401			118,017			84,490			70,959
Dividends and Distributions From:
Net Investment Income:
Class A		(19,157	)		(12,504	)		(6,446	)		(4,456	)
Total Dividends and Distributions		(19,157	)		(12,504	)		(6,446	)		(4,456	)
Capital Share Transactions:⁽¹⁾
Class A:
Proceeds from Shares Issued		591,342	⁽²⁾		780,894	⁽²⁾		57,093			53,221
Reinvestment of Dividends & Distributions		18,866			11,980			5,368			3,677
Cost of Shares Redeemed		(546,227	)		(194,426	)		(128,825	)		(101,903	)
Increase (Decrease) in Net Assets Derived from Capital Share Transactions		63,981			598,448			(66,364	)		(45,005	)
Net Increase (Decrease) in Net Assets		386,225			703,961			11,680			21,498
Net Assets:
Beginning of Year		1,230,382			526,421			352,500			331,002
End of Year	$	1,616,607		$	1,230,382		$	364,180		$	352,500
Undistributed Net Investment Income Included in Net Assets at Year End	$	4,171		$	3,321		$	—		$	1,390

(1)

See Note 6 in the Notes to Financial Statements for additional information.

(2)

Includes subscriptions/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.


168		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Large Cap Disciplined Equity Fund						Large Cap Index Fund						Small Cap Fund
2011			2010			2011			2010			2011			2010

$	115,542		$	122,842		$	10,788		$	10,626		$	7,961		$	10,570
	854,105			931,525			(6,346	)		(10,201	)		304,274			115,418
	—			(795	)		—			—			(38	)		(39	)
	760,090			304,274			126,009			91,698			(49,725	)		222,973
	—			802			—			—			1			(2	)
	1,729,737			1,358,648			130,451			92,123			262,473			348,920


	(166,228	)		(113,630	)		(10,513	)		(10,238	)		(10,045	)		(10,767	)
	(166,228	)		(113,630	)		(10,513	)		(10,238	)		(10,045	)		(10,767	)


	1,560,223			1,258,268	⁽²⁾		246,729			142,340			225,296			229,238	⁽²⁾
	163,690			110,682			10,184			9,924			8,883			9,886
	(2,474,204	)		(1,696,325	)		(115,836	)		(78,921	)		(1,103,530	)⁽²⁾		(223,389	)
	(750,291	)		(327,375	)		141,077			73,343			(869,351	)		15,735
	813,218			917,643			261,015			155,228			(616,923	)		353,888

	6,960,762			6,043,119			509,120			353,892			1,339,748			985,860
$	7,773,980		$	6,960,762		$	770,135		$	509,120		$	722,825		$	1,339,748
$	3,140		$	32,919		$	2,178		$	1,848		$	325		$	1,670


SEI Institutional Investments Trust / Annual Report / May 31, 2011			169

Statements of Changes in Net Assets ($ Thousands)

For the years ended May 31,


	Small/Mid Cap Equity Fund						U.S. Managed Volatility Fund
	2011			2010			2011			2010
Operations:
Net Investment Income	$	14,553		$	16,622		$	2,916		$	5,577
Net Realized Gain (Loss) from Investments, Affiliated Investments, Written Options, Written Swaptions Futures Contracts and Swap Contracts		405,720			188,860			46,574			21,373
Net Realized Gain (Loss) on Foreign Currency Transactions		(455	)		(215	)		1			—
Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Written Options, Future Contracts and Swap Contracts		133,639			418,448			(10,653	)		24,616
Net Change in Unrealized Appreciation (Depreciation) on Foreign Cap Gains Tax		—			—			—			—
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions		3			(4	)		—			—
Net Increase in Net Assets Resulting from Operations		553,460			623,711			38,838			51,566
Dividends and Distributions From:
Net Investment Income:
Class A		(10,170	)		(23,438	)		(3,434	)		(5,539	)
Net Realized Gains:
Class A		—			—			(19,896	)		(4,493	)
Total Dividends and Distributions		(10,170	)		(23,438	)		(23,330	)		(10,032	)
Capital Share Transactions:⁽¹⁾
Class A:
Proceeds from Shares Issued		606,822			390,769			44,630			45,965
Reinvestment of Dividends & Distributions		10,055			22,917			23,067			10,025
Cost of Shares Redeemed		(909,528	)		(674,340	)		(204,488	)⁽²⁾		(80,290	)
Increase (Decrease) in Net Assets Derived from Capital Share Transactions		(292,651	)		(260,654	)		(136,791	)		(24,300	)
Net Increase (Decrease) in Net Assets		250,639			339,619			(121,283	)		17,234
Net Assets:
Beginning of Year		2,064,443			1,724,824			255,094			237,860
End of Year	$	2,315,082		$	2,064,443		$	133,811		$	255,094
Undistributed Net Investment Income Included in Net Assets at Year End	$	6,997		$	1,454		$	333		$	823

(1)

See Note 6 in the Notes to Financial Statements for additional information.

(2)

Includes redemptions as a result of an in-kind transfer 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.


170		SEI Institutional Investments Trust / Annual Report / May 31, 2011


International Equity Fund						World Equity Ex-US Fund						Screened World Equity Ex-US Fund						Enhanced LIBOR Opportunities Fund
2011			2010			2011			2010			2011			2010			2011			2010

$	14,060		$	16,417		$	97,293		$	70,990		$	948		$	1,156		$	2,692		$	4,348
	60,595			90,023			380,241			400,245			7,774			4,715			(1,262	)		(20,935	)
	(6,136	)		4,439			(22,943	)		13,721			(93	)		(49	)		—			(78	)
	93,026			(53,314	)		762,360			(224,368	)		9,850			(21	)		6,416			35,722
	—			—			(14	)		586			—			—			—			—
	208			(1,623	)		468			(7,251	)		17			(17	)		—			79
	161,753			55,942			1,217,405			253,923			18,496			5,784			7,846			19,136


	(22,384	)		(13,386	)		(82,847	)		(75,180	)		(1,216	)		(912	)		(3,019	)		(2,810	)

	—			—			—			—			—			—			—			—
	(22,384	)		(13,386	)		(82,847	)		(75,180	)		(1,216	)		(912	)		(3,019	)		(2,810	)


	83,444			168,088			1,352,139			1,300,345			9,127			25,764			194,729			6,304
	19,996			11,628			80,707			73,000			1,081			785			2,853			1,051
	(301,776	)		(321,669	)		(1,150,929	)		(561,231	)		(41,387	)		(14,785	)		(22,651	)		(73,275	)
	(198,336	)		(141,953	)		281,917			812,114			(31,179	)		11,764			174,931			(65,920	)
	(58,967	)		(99,397	)		1,416,475			990,857			(13,899	)		16,636			179,758			(49,594	)

	605,479			704,876			3,712,614			2,721,757			68,743			52,107			115,519			165,113
$	546,512		$	605,479		$	5,129,089		$	3,712,614		$	54,844		$	68,743		$	295,277		$	115,519
$	5,637		$	21,951		$	45,254		$	53,729		$	590		$	821		$	4,196		$	2,587


SEI Institutional Investments Trust / Annual Report / May 31, 2011			171

Statements of Changes in Net Assets ($ Thousands)

For the periods ended May 31,


	Core Fixed Income Fund						High Yield Bond Fund						Long Duration Fund
	2011			2010			2011			2010			2011			2010
Operations:
Net Investment Income (Loss)	$	218,860		$	250,203		$	158,503		$	148,363		$	146,800		$	112,088
Net Realized Gain (Loss) from Investments, Affiliated Investments, Written Options, Written Swaptions, Futures Contracts and Swap Contracts		88,477			130,778			77,298			64,320			91,481			32,301
Net Realized Gain (Loss) on Foreign Currency Transactions		(1,844	)		416			—			—			—			—
Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Written Options Futures Contracts and Swap Contracts		169,016			356,650			87,877			240,831			74,924			175,210
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions		281			541			—			—			—			—
Net Increase in Net Assets Resulting from Operations		474,790			738,588			323,678			453,514			313,205			319,599
Dividends and Distributions From:
Net Investment Income:
Class A		(228,272	)		(257,305	)		(154,212	)		(141,645	)		(143,104	)		(113,770	)
Net Realized Gains:
Class A		(221,862	)		—			(974	)		(3,523	)		(103,135	)		—
Total Dividends and Distributions		(450,134	)		(257,305	)		(155,186	)		(145,168	)		(246,239	)		(113,770	)
Capital Share Transactions:⁽¹⁾
Class A:
Proceeds from Shares Issued		2,335,978			2,283,474			637,137			483,963			1,051,417			1,092,791
Reinvestment of Dividends & Distributions		420,406			235,877			150,486			138,393			242,862			113,670
Cost of Shares Redeemed		(1,725,349	)		(1,835,519	)		(651,700	)		(535,365	)		(574,278	)		(165,150	)
Increase (Decrease) in Net Assets Derived from Capital Share Transactions		1,031,035			683,832			135,923			86,991			720,001			1,041,311
Net Increase in Net Assets		1,055,691			1,165,115			304,415			395,337			786,967			1,247,140
Net Assets:
Beginning of Period		5,705,708			4,540,593			1,634,608			1,239,271			2,736,187			1,489,047
End of Period	$	6,761,399		$	5,705,708		$	1,939,023		$	1,634,608		$	3,523,154		$	2,736,187
Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Period End	$	(6,585	)	$	8,929		$	5,359		$	49		$	2		$	(3,008	)

(1)

See Note 6 in the Notes to Financial Statements for additional information.

(2)

Commenced operations on February 25, 2011.

(3)

Commenced operations on July 30, 2010.

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

The accompanying notes are an integral part of the financial statements.


172		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Ultra Short Duration Bond Fund⁽²⁾			Emerging Markets Debt Fund						Real Return Fund						Dynamic Asset Allocation Fund⁽³⁾
2011			2011			2010			2011			2010			2011

$	1,218		$	71,219		$	77,877		$	10,561		$	8,931		$	(659	)
	(310	)		55,523			39,929			3,156			11,088			12,956
	—			(2,128	)		5,771			—			44			—
	39			29,646			87,960			9,862			(5,139	)		11,920
	—			1,119			(1,104	)		—			—			—
	947			155,379			210,433			23,579			14,924			24,217


	(1,266	)		(51,025	)		(95,106	)		(7,114	)		(6,985	)		—

	—			—			—			(6,626	)		—			(1,885	)
	(1,266	)		(51,025	)		(95,106	)		(13,740	)		(6,985	)		(1,885	)


	324,455			356,572			257,845			162,486			162,256			387,308
	1,242			49,210			90,608			11,996			4,464			1,843
	(12,020	)		(471,043	)		(375,408	)		(141,847	)		(108,378	)		(4,138	)
	313,677			(65,261	)		(26,955	)		32,635			58,342			385,013
	313,358			39,093			88,372			42,474			66,281			407,345

	—			989,598			901,226			326,758			260,477			—
$	313,358		$	1,028,691		$	989,598		$	369,232		$	326,758		$	407,345
$	(1	)	$	11,233		$	(5,095	)	$	5,358		$	1,919		$	—


SEI Institutional Investments Trust / Annual Report / May 31, 2011			173

Financial Highlights

For the years or periods ended May 31,

For a share outstanding throughout each period


	Net Asset Value, Beginning of Period		Net Investment Income⁽¹⁾		Net Realized and Unrealized Gains (Losses) on Securities⁽¹⁾			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
2011	$	14.84	$	0.22	$	3.56		$	3.78		$	(0.22	)	$	—		$	(0.22	)	$	18.40		25.70	%	$	1,616,607		0.26	%		0.26	%		0.47	%		1.35	%		85	%
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
Large Cap Diversified Alpha Fund
Class A
2011	$	7.69	$	0.11	$	1.88		$	1.99		$	(0.15	)	$	—		$	(0.15	)	$	9.53		26.09	%	$	364,180		0.31	%		0.31	%		0.47	%		1.30	%		143	%
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
Large Cap Disciplined Equity Fund
Class A
2011	$	8.86	$	0.15	$	2.08		$	2.23		$	(0.22	)	$	—		$	(0.22	)	$	10.87		25.39	%	$	7,773,980		0.18	%		0.18	%		0.47	%		1.54	%		118	%
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	⁽²⁾		0.23	⁽²⁾		0.47	⁽²⁾		2.43			135
Large Cap Index Fund
Class A
2011	$	94.53	$	2.01	$	22.98		$	24.99		$	(2.03	)	$	—		$	(2.03	)	$	117.49		26.77	%	$	770,135		0.06	%		0.06	%		0.24	%		1.91	%		17	%
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
Small Cap Fund
Class A
2011	$	10.69	$	0.09	$	2.84		$	2.93		$	(0.13	)	$	—		$	(0.13	)	$	13.49		27.56	%	$	722,825		0.54	%		0.54	%		0.72	%		0.76	%		86	%
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

The expense ratio includes dividend and interest expenses on short sales. Had these expenses been excluded, the ratios would have been 0.31%, 0.32% and 0.35% for the years ended May 31, 2009, 2008 and 2007, respectively.

Includes a return of capital of $0.05 per share.

***

Includes a return of capital of $0.10 per share.

†

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)

Per share net investment income and net realized and unrealized gains (losses) calculated using average shares.

(2)

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.


174		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Financial Highlights

For 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 Realized and Unrealized Gains (Losses) on Securities⁽³⁾			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†
Small/Mid Cap Equity Fund
Class A
2011	$	10.53	$	0.08	$	3.07		$	3.15		$	(0.06	)	$	—		$	(0.06	)	$	13.62		29.99	%	$	2,315,082		0.49	%		0.49	%		0.72	%		0.68	%		99	%
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
U.S. Managed Volatility Fund
Class A
2011	$	11.16	$	0.22	$	2.72		$	2.94		$	(0.23	)	$	(1.72	)	$	(1.95	)	$	12.15		28.97	%	$	133,811		0.35	%		0.35	%		0.72	%		1.92	%		114	%
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
2011	$	6.37	$	0.18	$	1.82		$	2.00		$	(0.30	)	$	—		$	(0.30	)	$	8.07		31.81	%	$	546,512		0.41	%		0.41	%		0.63	%		2.42	%		107	%
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
World Equity Ex-US Fund
Class A
2011	$	9.09	$	0.23	$	2.59		$	2.82		$	(0.20	)	$	—		$	(0.20	)	$	11.71		31.12	%	$	5,129,089		0.45	%		0.45	%		0.64	%		2.12	%		85	%
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
Screened World Equity Ex-US Fund
Class A
2011	$	7.04	$	0.12	$	1.98		$	2.10		$	(0.13	)	$	—		$	(0.13	)	$	9.01		29.93	%	$	54,844		0.77	%		0.77	%		1.06	%		1.42	%		89	%
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
2011	$	7.69	$	0.13	$	0.31		$	0.44		$	(0.18	)	$	—		$	(0.18	)	$	7.95		5.81	%	$	295,277		0.41	%		0.41	%		0.53	%		1.68	%		17	%
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

Includes a return of capital of $0.04 per share.

†

††

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 / Annual Report / May 31, 2011			175

Financial Highlights

For the years or periods ended May 31,

For a share outstanding throughout each period


	Net Asset Value, Beginning of Period		Net Investment Income (Loss)⁽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 (Loss) to Average Net Assets			Portfolio Turnover Rate†
Core Fixed Income Fund
Class A
2011	$	10.35	$	0.38		$	0.44		$	0.82		$	(0.39	)	$	(0.39	)	$	(0.78	)	$	10.39		8.17	%	$	6,761,399		0.16	%⁽⁴⁾		0.16	%⁽⁴⁾		0.38	%⁽⁴⁾		3.60	%		422	%
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
High Yield Bond Fund
Class A
2011	$	8.74	$	0.79		$	0.81		$	1.60		$	(0.76	)	$	(0.00	)**	$	(0.76	)	$	9.58		19.06	%	$	1,939,023		0.35	%		0.35	%		0.56	%		8.48	%		90	%
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
Long Duration Fund
Class A
2011	$	8.69	$	0.44		$	0.46		$	0.90		$	(0.43	)	$	(0.33	)	$	(0.76	)	$	8.83		10.74	%	$	3,523,154		0.20	%⁽⁶⁾		0.20	%⁽⁶⁾		0.37	%⁽⁶⁾		5.03	%		85	%
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
Ultra Short Duration Bond Fund
Class A
2011⁽⁵⁾	$	10.00	$	0.04		$	(0.01	)	$	0.03		$	(0.04	)	$	—		$	(0.04	)	$	9.99		0.33	%	$	313,358		0.18	%		0.18	%		0.23	%		1.65	%		23	%
Emerging Markets Debt Fund
Class A
2011	$	10.47	$	0.78		$	0.91		$	1.69		$	(0.56	)	$	—		$	(0.56	)	$	11.60		16.51	%	$	1,028,691		0.55	%		0.55	%		0.93	%		6.89	%		75	%
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
Real Return Fund
Class A
2011	$	10.41	$	0.31		$	0.37		$	0.68		$	(0.21	)	$	(0.21	)	$	(0.42	)	$	10.67		6.65	%	$	369,232		0.20	%		0.20	%		0.28	%		2.90	%		69	%
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
Class A
2011⁽³⁾	$	10.00	$	(0.04	)	$	1.49		$	1.45		$	—		$	(0.19	)	$	(0.19	)	$	11.26		14.66	%	$	407,345		0.50	%		0.50	%		0.67	%		(0.39	)%		0	%

Includes a return of capital of $0.06 per share.

Amount represents less than $0.01.

†

(1)

Commenced operations on December 14, 2006. All ratios for the period have been annualized.

(2)

Per share net investment income (Loss) and net realized and unrealized gains (losses) calculated using average shares.

(3)

Commenced operations on July 30, 2010. All ratios for the period have been annualized.

(4)

The expense ratio includes interest expense. Had this expense been excluded, the ratio would have been 0.14%, 0.14%, and 0.36%, respectively.

(5)

Commenced operations on February 25, 2011. All ratios for the period have been annualized.

(6)

The expense ratio includes interest expense. Had this expense been excluded, the ratio would have been 0.20%, 0.20%, and 0.37%, respectively.

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

The accompanying notes are an integral part of the financial statements.


176		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Notes to Financial Statements

May 31, 2011

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 21 registered funds: Large Cap, Large Cap Diversified Alpha, Large Cap Disciplined Equity, Large Cap Index, Small Cap, Small/Mid Cap Equity, U.S. Managed Volatility, International Equity, World Equity Ex-US, Screened World Equity Ex-US, Enhanced LIBOR Opportunities, Core Fixed Income, High Yield Bond, Long Duration, Ultra Short Duration Bond, 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 May 31, 2011, 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 Screened World Equity Ex-US, and Core Fixed Income Funds that hold international securities also use a third-party fair valuation vendor. The vendor provides a fair


SEI Institutional Investments Trust / Annual Report / May 31, 2011			177

Notes to Financial Statements (Continued)

May 31, 2011

value for foreign securities held by these funds based on certain factors and 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 year ended May 31, 2011 maximized the use of observable inputs and minimized the use of unobservable inputs.

For the year ended May 31, 2011, there have been no significant changes to the Trust’s fair valuation methodologies. For details of the investment classification, reference the Schedules of Investments.

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 May 31, 2011.

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


178		SEI Institutional Investments Trust / Annual Report / May 31, 2011

(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 May 31, 2011, if applicable.

Futures Contracts — All Funds, with the exception of the High Yield Bond utilized futures contracts during the year ended May 31, 2011. 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 May 31, 2011, 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 May 31, 2011, 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 May 31, 2011, 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


SEI Institutional Investments Trust / Annual Report / May 31, 2011			179

Notes to Financial Statements (Continued)

May 31, 2011

than the price at which the security was sold by a Fund. Until the 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 May 31, 2011, 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 May 31, 2011, 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


180		SEI Institutional Investments Trust / Annual Report / May 31, 2011

rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when 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, Ultra Short Duration Bond and High Yield Bond Funds; declared and paid at least annually for the International Equity, World Equity Ex-US, Screened World Equity Ex-US, Real Return, and Dynamic Asset Allocation Funds. 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.

Restricted Securities — As of May 31, 2011, 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


SEI Institutional Investments Trust / Annual Report / May 31, 2011			181

Notes to Financial Statements (Continued)

May 31, 2011

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 May 31, 2011, 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 PP		122,200		8/6/07		8/6/07		729		110		0.02
Value Creation		119,600		2/29/08		2/29/08		1,225		151		0.02

							$	1,954	$	261		0.04	%


Small/Mid Cap Equity Fund
Rentech		13,800		4/20/07		4/20/07	$	—	$	—		0.00	%
Titanium Asset PP		105,000		8/6/07		8/6/07		625		95		0.00
Value Creation		85,600		2/29/08		2/29/08		871		108		0.01

							$	1,496	$	203		0.01	%


High Yield Bond Fund
Aventi		2,600		11/30/10		11/30/10	$	—	$	94		0.00	%
VSS, AHC		43,496		9/25/09		9/25/09		551		519		0.03

							$	551	$	613		0.03	%

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.

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 May 31, 2011, the Core Fixed Income Fund and High Yield Bond Fund are the buyers (“receiving protection”) on a total notional amount of $32.4 million and $27.0 million, respectively, and the Core Fixed Income Fund is the seller (“providing protection”) on a total notional amount of $11.7 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


182		SEI Institutional Investments Trust / Annual Report / May 31, 2011

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	$	(151,588	)		—	$	(508,036	)		—	$	(659,624	)
Maximum potential amount of future payments	$	(3,560,000	)		—	$	(8,180,000	)		—	$	(11,740,000	)
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		—			—		—			—		—

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)
0-150	$	—	$	—	$	—		—	$	8,180,000	$	8,180,000
> than 150		—		—		—	$	3,560,000		—	$	3,560,000
Total	$	—	$	—	$	—	$	3,560,000	$	8,180,000	$	11,740,000

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 May 31, 2011 was as follows:

Asset Derivatives

Liability Derivatives

Year ended May 31, 2011
($ Thousands)

Statement of Assets and Liabilities Location

Fair Value

Statement of Assets and Liabilities Location

Fair Value

Derivatives not accounted for as hedging instruments:

Core Fixed Income

Interest rate contracts

Net Assets — Unrealized appreciation on futures contracts

1,121

Net Assets — Unrealized depreciation on futures contracts

2,536

Net Assets — Unrealized appreciation on swap contracts

—

Net Assets — Unrealized depreciation on swap contracts

3,868

†

Investments, at value

—

Options written, at value

357

Foreign exchange contracts

Unrealized gain on forward foreign currency contracts

329

Unrealized loss on forward foreign currency contracts

—

Credit contracts

Net Assets — Unrealized appreciation on swap contracts

462

†

Net Assets — Unrealized depreciation on swap contracts

7,584

†

Equity Contracts

Net Assets — Unrealized appreciation on swap contracts

†

Net Assets — Unrealized depreciation on swap contracts

†

Total Derivatives not accounted for as hedging instruments

1,913

14,357

Emerging Markets Debt

Interest rate contracts

Net Assets — Unrealized appreciation on futures contracts

Net Assets — Unrealized depreciation on futures contracts

Foreign exchange contracts

Unrealized gain on forward foreign currency contracts

468

Unrealized loss on forward foreign currency contracts

768

Equity contracts

Net Assets — Unrealized depreciation on swap contracts

450

†

Net Assets — Unrealized depreciation on swap contracts

—

Total Derivatives not accounted for as hedging instruments

938

813

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.


SEI Institutional Investments Trust / Annual Report / May 31, 2011			183

Notes to Financial Statements (Continued)

May 31, 2011

The effect of derivative instruments on the Statements of Operations for the year ended May 31, 2011.

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
Foreign exchange contracts	$	—	$	—		$	(17	)	$	—		$	(17	)
Equity contracts		—		18,232			—			—			18,232
Total	$	—	$	18,232		$	(17	)	$	—		$	18,215
Small/Mid Cap Equity
Foreign exchange contracts	$	—	$	—		$	(186	)	$	—		$	(186	)
Equity contracts		—		14,683			—			—			14,683
Total	$	—	$	14,683		$	(186	)	$	—		$	14,497
Core Fixed Income
Interest rate contracts	$	1,612	$	(12,422	)	$	—		$	(3,438	)	$	(14,248	)
Foreign exchange contracts		—		—			(1,858	)		—			(1,858	)
Credit contracts		—		—			—			(1,755	)		(1,755	)
Total	$	1,612	$	(12,422	)	$	(1,858	)	$	(5,193	)	$	(17,861	)
Long Duration
Interest rate contracts	$	—	$	7,710		$	—		$	—		$	7,710
Credit contracts		—		—			—			(439	)		(439	)
Total	$	—	$	7,710		$	—		$	(439	)	$	7,271
Emerging Markets Debt
Interest rate contracts	$	—	$	(193	)	$	—		$	122		$	(71	)
Foreign exchange contracts		—		—			(6,408	)		—			(6,408	)
Equity contracts		—		—			—			101			101
Total	$	—	$	(193	)	$	(6,408	)	$	223		$	(6,378	)

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
World Equity Ex-US
Foreign exchange contracts	$	—		$	—		$	(38	)	$	—		$	(38	)
Credit contracts		—			—			—			—			—
Equity contracts		—			3,615			—			6,885			10,500
Total	$	—		$	3,615		$	(38	)	$	6,885		$	10,462
Core Fixed Income
Interest rate contracts	$	—		$	(216	)	$	—		$	2,079		$	1,863
Foreign exchange contracts		—			—			191			—			191
Equity contracts		(66	)		—			—			(11	)		(77	)
Credit contracts		—			—			—			2,317			2,317
Total	$	(66	)	$	(216	)	$	191		$	4,385		$	4,294
Long Duration
Interest rate contracts	$	—		$	1,353		$	—		$	—		$	1,353
Credit contracts		—			—			—			511			511
Total	$	—		$	1,353		$	—		$	511		$	1,864
Emerging Markets Debt
Interest rate contracts	$	—		$	(17	)	$	—		$	—		$	(17	)
Foreign exchange contracts		—			—			899			—			899
Equity contracts		—			—			—			527			527
Total	$	—		$	(17	)	$	899		$	527		$	1,409

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.


184		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Written options transactions entered into during the year ended May 31, 2011 are summarized as follows:


	Core Fixed Income Fund
	Number of Contracts			Premium ($ Thousands)
Balance at the beginning of period		347		$	234
Written		7,025,862			3,178
Expired		(658	)		(538	)
Closing buys		(5,371	)		(2,614	)
Balance at the end of period		7,020,180		$	260

As of May 31, 2011 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 year ended May 31, 2011, 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	%		0.26	%
Large Cap Diversified Alpha Fund		0.400			0.31
Large Cap Disciplined Equity Fund		0.400			0.18
Large Cap Index Fund		0.170			0.06
Small Cap Fund		0.650			0.54
Small/Mid Cap Equity Fund		0.650			0.50
U.S. Managed Volatility Fund		0.650			0.35
International Equity Fund		0.505			0.41	*
World Equity Ex-US Fund		0.550			0.45
Screened World Equity Ex-US Fund		0.650			0.80
Enhanced LIBOR Opportunities Fund		0.450			0.41
Core Fixed Income Fund		0.300			0.14
High Yield Bond Fund		0.4875			0.35
Long Duration Fund		0.300			0.20
Ultra Short Duration Bond Fund		0.150			0.18
Emerging Markets Debt Fund		0.850			0.55


	Advisory Fees			Voluntary Expense Limitations
Real Return Fund		0.220	%		0.20	%
Dynamic Asset Allocation Fund		0.600			0.50

The Voluntary Expense Limitation for the International Equity Fund changed from 0.390% to 0.410% as of September 1, 2010.

As of May 31, 2011, 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

West End Advisors LLC

Large Cap Diversified Alpha Fund

Aronson + Johnson + Ortiz, L.P.

Delaware Management Company

INTECH Investment Management, LLC

Legg Mason Capital Management, Inc.

West End Advisors 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

Brown Investment Advisors Incorporated

Janus Capital Management, Inc.

J.P. Morgan Investment Management

Lee Munder Capital Group LLC

Los Angeles Capital Management and Equity Research, Inc.

LSV Asset Management

Robeco Investment Management, Inc.

Security Capital Research and Management, Inc.

Wellington Management Company, LLP

William Blair & Company, LLC

Small/Mid Cap Equity Fund

Allianz Global Investors Capital LLC

Century Capital Management, LLC

Integrity Asset Management, LLC

Janus Capital Management, Inc.

Lee Munder Capital Group LLC

Los Angeles Capital Management and Equity Research, Inc.

LSV Asset Management

Robeco Investment Management, Inc.

Security Capital Research and Management Incorporated

Wellington Management Company, LLP


SEI Institutional Investments Trust / Annual Report / May 31, 2011			185

Notes to Financial Statements (Continued)

May 31, 2011

Investment Sub-Adviser

U.S. Managed Volatility Fund

Analytic Investors, LLC

Aronson + Johnson + Ortiz, LP

LSV Asset Management

International Equity Fund

Acadian Asset Management, LLC

Causeway Capital Management LLC

del Rey Global Investors, 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

Quantitative Management Associates, LLC

Thornburg Investment Management LLC

Screened World Equity Ex-US Fund

Acadian Asset Management LLC

McKinley Capital Management, 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

Metropolitan West Asset Management LLC

Ultra Short Duration Bond Fund

Wellington Management Company, LLP

Emerging Markets Debt Fund

Ashmore Investment Management Limited

ING Investment Management Advisors, B.V.

Stone Harbor Investment Partners, L.P.

Investment Sub-Adviser

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 year ended May 31, 2011 were as follows ($ Thousands):


Large Cap Fund	$	68
Large Cap Diversified Alpha Fund		41
Large Cap Disciplined Equity Fund		154
Large Cap Index Fund		14
Small Cap Fund		330
Small/Mid Cap Equity Fund		55
U.S. Managed Volatility Fund		21
International Equity Fund		85
World Equity Ex-US Fund		423
Screened World Equity Ex-US Fund		10

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 year ended May 31, 2011 were as follows ($ Thousands):


Large Cap Fund	$	318
Small Cap Fund		335
Small/Mid Cap Equity Fund		874
U.S. Managed Volatility Fund		66


186		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Fees Paid Indirectly — The Funds may direct certain fund trades to the Distributor who pays a portion of each 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 each Fund’s expense ratio, as a percentage of each Fund’s average daily net assets for the year ended May 31, 2011, 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 year ended May 31, 2011, the Trust borrowed funds from SEI Liquid Asset Trust Prime Obligation Fund. The amount borrowed, interest paid on the borrowing and the corresponding interest rate were as follows:


	Date		Amount Borrowed		Interest Paid			Rate
International Equity Fund		09/03/2010	$	14,939,197	$	(357	)		0.43	%
International Equity Fund		09/07/2010		12,994,297		(606	)		0.42
High Yield Bond Fund		01/05/2011		13,244,879		(155	)		0.42
High Yield Bond Fund		01/06/2011		8,164,585		(93	)		0.41
Small Cap Equity Fund		09/02/2010		6,723,509		(80	)		0.43
Large Cap Disciplined Equity Fund		05/17/2011		36,000,000		(310	)		0.31

The Trust had no outstanding borrowings or loans under the Program at May 31, 2011.

6. CAPITAL SHARE TRANSACTIONS

Capital Share Transactions for the Funds were as follows (Thousands):


	Large Cap Fund						Large Cap Diversified Alpha Fund						Large Cap Disciplined Equity Fund
	2011			2010			2011			2010			2011			2010
Class A:
Shares Issued		37,117	⁽¹⁾		53,265	⁽¹⁾		6,666			7,083			160,494			147,091	⁽¹⁾
Shares Issued In Lieu of
Dividends and Distributions		1,172			824			619			486			16,671			12,742
Shares Redeemed		(33,338	)		(13,119	)		(14,906	)		(13,833	)		(247,363	)		(195,253	)
Increase (Decrease) in Net Assets Derived from Class A Transactions		4,951			40,970			(7,621	)		(6,264	)		(70,198	)		(35,420	)

	Large Cap Index Fund						Small Cap Fund						Small/Mid Cap Equity Fund
	2011			2010			2011			2010			2011			2010
Class A:
Shares Issued		2,208			1,650			19,322			23,333	⁽¹⁾		51,210			42,363
Shares Issued In Lieu of
Dividends and Distributions		100			109			784			1,012			898			2,587
Shares Redeemed		(1,139	)		(858	)		(91,837	)⁽¹⁾		(22,758	)		(78,171	)		(68,534	)
Increase (Decrease) in Net Assets Derived from Class A Transactions		1,169			901			(71,731	)		1,587			(26,063	)		(23,584	)

	U.S. Managed Volatility Fund						International Equity Fund						World Equity Ex-US Fund
	2011			2010			2011			2010			2011			2010
Class A:
Shares Issued		3,870	⁽¹⁾		4,280			11,746			24,574			129,071			135,855
Shares Issued In Lieu of
Dividends and Distributions		2,142			926			2,652			1,647			7,364			7,381
Shares Redeemed		(17,863	)⁽¹⁾		(7,255	)		(41,784	)		(47,065	)		(107,044	)		(58,958	)
Increase (Decrease) in Net Assets Derived from Class A Transactions		(11,851	)		(2,049	)		(27,386	)		(20,844	)		29,391			84,278


SEI Institutional Investments Trust / Annual Report / May 31, 2011			187

Notes to Financial Statements (Continued)

May 31, 2011


	Screened World Equity Ex-US Fund						Enhanced LIBOR Opportunities Fund						Core Fixed Income Fund
	2011			2010			2011			2010			2011			2010
Class A:
Shares Issued		1,100			3,524			24,643			842			224,643			206,708
Shares Issued In Lieu of
Dividends and Distributions		128			102			367			140			40,542			23,466
Shares Redeemed		(4,900	)		(1,976	)		(2,910	)		(9,703	)		(165,472	)		(161,268	)
Increase (Decrease) in Net Assets Derived from Class A Transactions		(3,672	)		1,650			22,100			(8,721	)		99,713			68,906


	High Yield Bond Fund						Long Duration Fund						Ultra Short Duration Bond Fund⁽²⁾
	2011			2010			2011			2010			2011
Class A:
Shares Issued		69,442			57,698			120,233			129,684			32,449
Shares Issued In Lieu of
Dividends and Distributions		16,229			16,487			27,703			13,437			124
Shares Redeemed		(70,299	)		(64,348	)		(63,847	)		(19,931	)		(1,203	)
Increase (Decrease) in Net Assets Derived from Class A Transactions		15,372			9,837			84,089			123,190			31,370

	Emerging Markets Debt Fund						Real Return Fund						Dynamic Asset Allocation Fund⁽³⁾
	2011			2010			2011			2010			2011
Class A:
Shares Issued		31,615			24,976			15,526			15,668			36,372
Shares Issued In Lieu of
Dividends and Distributions		4,483			8,914			1,154			433			176
Shares Redeemed		(41,911	)		(36,617	)		(13,464	)		(10,458	)		(376	)
Increase (Decrease) in Net Assets Derived from Class A Transactions		(5,813	)		(2,727	)		3,216			5,643			36,172

(1)

Includes subscriptions/redemptions as a result of in-kind transfers of securities (See Note 10).

(2)

Fund commenced operations on February 25, 2011.

(3)

Fund commenced operations on July 30, 2010.

7. INVESTMENT TRANSACTIONS

The cost of security purchases and proceeds from the sale and maturities of securities other than temporary cash investments, during the year ended May 31, 2011, were as follows:


	U.S. Gov’t ($ Thousands)		Other ($ Thousands)		Total ($ Thousands)
Large Cap Fund
Purchases	$	—	$	1,276,306	$	1,276,306
Sales		—		1,190,330		1,190,330
Large Cap Diversified Alpha Fund
Purchases		—		479,752		479,752
Sales		—		533,426		533,426
Large Cap Disciplined Equity Fund
Purchases		—		8,265,924		8,265,924
Sales		—		8,795,059		8,795,059
Large Cap Index Fund
Purchases		—		223,559		223,559
Sales		—		95,607		95,607
Small Cap Fund
Purchases		—		848,122		848,122
Sales		—		1,678,667		1,678,667
Small/Mid Cap Equity Fund
Purchases		—		2,029,121		2,029,121
Sales		—		2,343,897		2,343,897


	U.S. Gov’t ($ Thousands)		Other ($ Thousands)		Total ($ Thousands)
U.S. Managed Volatility Fund
Purchases	$	—	$	163,819	$	163,819
Sales		—		317,081		317,081
International Equity Fund
Purchases		—		585,717		585,717
Sales		73		786,979		787,052
World Equity Ex-US Fund
Purchases		—		4,012,778		4,012,778
Sales		154		3,621,749		3,621,903
Screened World Equity Ex-US Fund
Purchases		—		54,145		54,145
Sales		—		81,841		81,841
Enhanced LIBOR Opportunities Fund
Purchases		8,908		132,939		141,847
Sales		2,963		15,224		18,187
Core Fixed Income Fund
Purchases		22,525,329		2,611,192		25,136,521
Sales		21,745,764		2,709,324		24,455,088
High Yield Bond Fund
Purchases		510		1,545,154		1,545,664
Sales		497		1,463,877		1,464,314
Long Duration Bond Fund
Purchases		2,092,465		1,002,140		3,094,605
Sales		1,720,619		642,405		2,363,024


188		SEI Institutional Investments Trust / Annual Report / May 31, 2011


	U.S. Gov’t ($ Thousands)		Other ($ Thousands)		Total ($ Thousands)
Ultra Short Duration Bond Fund
Purchases	$	83,643	$	134,351	$	217,994
Sales		34,947		3,847		38,794
Emerging Markets Debt Fund
Purchases		—		699,414		699,414
Sales		—		724,742		724,742
Real Return Fund
Purchases		274,435		128		274,563
Sales		240,600		128		240,728
Dynamic Asset Allocation Fund
Purchases		—		—		—
Sales		—		—		—

Included in the realized gain on investments for the International Equity, World Equity Ex-US and Screened World Equity Ex-US funds was $115, $5,148 and $119 ($ Thousands), respectively, received from AXA Rosenberg Investment Management, a former investment sub-adviser to the funds, as a result of a settlement with the Securities and Exchange Commission related to a coding error in its quantitative investment process. The settlement proceeds represented 0.02%, 0.11% and 0.18% of the funds’ average net assets, respectively, for the year ended May 31, 2011.

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, undis-

tributed net investment income or accumulated net realized gain, as appropriate, in the period that the differences arise.

Accordingly, the following permanent differences, primarily attributable to different treatment for gains and losses on paydowns of mortgage and asset-backed securities for tax purposes, defaulted bond basis adjustments, reclassification of long term capital gain distributions on Real Estate Investment Trust securities, reclassification of income and expense from swap transactions, basis adjustments for investments in partnerships, and gains and losses on passive foreign investment companies and certain foreign currency related transactions and non taxable in kind redemption, have been reclassified to/from the following accounts as of May 31, 2011:


	Undistributed Net Investment Income (Loss) ($ Thousands)			Accumulated Realized Gain (Loss) ($ Thousands)			Paid-in Capital ($ Thousands)
Large Cap Fund	$	152		$	(152	)	$	—
Large Cap Diversified Alpha Fund		396			(145	)		(251	)
Large Cap Disciplined Equity Fund		20,907			(20,907	)		—
Large Cap Index Fund		55			(55	)		—
Small Cap Fund		739			(118,346	)		117,607
Small/Mid Cap Equity Fund		1,160			(1,160	)		—
U.S. Managed Volatility Fund		28			(17,778	)		17,750
International Equity Fund		(7,990	)		7,990			—
World Equity Ex-US Fund		(22,921	)		22,921			—
Screened World Equity Ex-US Fund		37			(37	)		—
Enhanced LIBOR Opportunities Fund		1,936			(1,936	)		—
Core Fixed Income Fund		(6,102	)		6,099			3
High Yield Bond Fund		1,019			(1,109	)		90
Long Duration Fund		(686	)		686			—
Ultra Short Duration Bond Fund		47			(54	)		7
Emerging Markets Debt Fund		(3,866	)		3,866			—
Real Return Fund		(8	)		8			—
Dynamic Asset Allocation Fund		659			(659	)		—

These reclassifications have no impact on net assets or net asset value per share.

The tax character of dividends and distributions paid during the last two years or periods ended May 31, 2011 were as follows:


		Ordinary Income ($ Thousands)		Long-Term Capital Gain ($ Thousands)		Return of Capital ($ Thousands)		Total ($ Thousands)
Large Cap Fund	2011	$	19,157	$	—	$	—	$	19,157
	2010		12,504		—		—		12,504
Large Cap Diversified Alpha Fund	2011		6,446		—		—		6,446
	2010		4,456		—		—		4,456
Large Cap Disciplined Equity Fund	2011		166,228		—		—		166,228
	2010		113,630		—		—		113,630
Large Cap Index Fund	2011		10,513		—		—		10,513
	2010		10,238		—		—		10,238
Small Cap Fund	2011		10,045		—		—		10,045
	2010		10,767		—		—		10,767
Small/Mid Cap Equity Fund	2011		10,170		—		—		10,170
	2010		23,438		—		—		23,438
U.S. Managed Volatility Fund	2011		15,274		8,056		—		23,330
	2010		9,780		252		—		10,032
International Equity Fund	2011		22,384		—		—		22,384
	2010		13,386		—		—		13,386


SEI Institutional Investments Trust / Annual Report / May 31, 2011			189

Notes to Financial Statements (Continued)

May 31, 2011


		Ordinary Income ($ Thousands)		Long-Term Capital Gain ($ Thousands)		Return of Capital ($ Thousands)		Total ($ Thousands)
World Equity Ex- US Fund	2011	$	82,847	$	—	$	—	$	82,847
	2010		75,180		—		—		75,180
Screened World Equity Ex- US Fund	2011		1,216		—		—		1,216
	2010		912		—		—		912
Enhanced LIBOR Opportunities Fund	2011		3,019		—		—		3,019
	2010		2,810		—		—		2,810
Core Fixed Income Fund	2011		434,055		16,079		—		450,134
	2010		257,305		—		—		257,305
High Yield Bond Fund	2011		155,186		—		—		155,186
	2010		145,168		—		—		145,168
Long Duration Bond Fund	2011		212,017		34,222		—		246,239
	2010		113,770		—		—		113,770
Ultra Short Duration Bond Fund	2011		1,266		—		—		1,266
Emerging Markets Debt Fund	2011		51,025		—		—		51,025
	2010		95,106		—		—		95,106
Real Return Fund	2011		12,369		1,371		—		13,740
	2010		6,985		—		—		6,985
Dynamic Asset Allocation Fund	2011		696		1,189		—		1,885

As of May 31, 2011, 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	$	4,198	$	22,423	$	—		$	—		$	—		$	248,563	$	(4	)	$	275,180
Large Cap Diversified Alpha Fund		—		—		(132,219	)		—			—			38,155		(1	)		(94,065	)
Large Cap Disciplined Equity Fund		3,228		—		(1,844,123	)		—			—			1,218,655		—			(622,240	)
Large Cap Index Fund		2,164		—		(32,021	)		(497	)		—			198,687		1			168,334
Small Cap Fund		947		—		(258,544	)		—			—			84,597		(40	)		(173,040	)
Small/Mid Cap Equity Fund		8,406		—		(173,936	)		—			—			381,795		(34	)		216,231
U.S. Managed Volatility Fund		4,662		18,580		—			—			—			26,908		—			50,150
International Equity Fund		7,722		—		(397,667	)		(1,355	)		—			51,512		—			(339,788	)
World Equity Ex-US Fund		54,690		—		(539,462	)		—			(4,464	)		618,757		—			129,521
Screened World Equity Ex-US Fund		703		—		(16,438	)		—			—			6,061		1			(9,673	)
Enhanced LIBOR Opportunities Fund		4,195		—		(54,475	)		(1,317	)		—			6,049		—			(45,548	)
Core Fixed Income Fund		22,281		—		—			(20,645	)		(1,610	)		59,402		(19,492	)		39,936
High Yield Bond Fund		17,855		—		(84,837	)		—			—			101,211		(12,648	)		21,581
Long Duration Fund		26,128		3,716		—			—			—			187,103		(13,907	)		203,040
Ultra Short Duration Bond Fund		460		—		—			(475	)		—			150		(461	)		(326	)
Emerging Markets Debt Fund		18,042		—		(1,454	)		—			—			76,895		—			93,483
Real Return Fund		7,578		643		—			—			—			14,005		1			22,227
Dynamic Asset Allocation Fund		8,630		13,694		—			—			—			8		—			22,332

Post-October losses represent losses realized on investment transactions from November 1, 2010 through May 31, 2011 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 2015 ($ Thousands)		Expires 2016 ($ Thousands)		Expires 2017 ($ Thousands)		Expires 2018 ($ Thousands)		Expires 2019 ($ Thousands)		Total Capital Loss Carryforwards 05/31/11 ($ Thousands)
Large Cap Diversified Alpha Fund	$	—	$	—	$	36,752	$	95,467	$	—	$	132,219
Large Cap Disciplined Equity Fund		—		—		740,927		1,103,196		—		1,844,123
Large Cap Index Fund		��		—		6,369		17,068		8,584		32,021
Small Cap Fund		—		—		8,289		250,255		—		258,544
Small/Mid Cap Equity Fund		—		—		—		173,936		—		173,936


190		SEI Institutional Investments Trust / Annual Report / May 31, 2011


	Expires 2015 ($ Thousands)		Expires 2016 ($ Thousands)		Expires 2017 ($ Thousands)		Expires 2018 ($ Thousands)		Expires 2019 ($ Thousands)		Total Capital Loss Carryforwards 05/31/11 ($ Thousands)
International Equity Fund	$	—	$	—	$	119,559	$	278,108	$	—	$	397,667
World Equity Ex-US Fund		—		—		97,687		441,775		—		539,462
Screened World Equity Ex-US Fund		—		—		31		16,407		—		16,438
Enhanced LIBOR Opportunities Fund		—		1,488		10,404		23,512		19,071		54,475
High Yield Bond Fund		—		—		23,091		61,746		—		84,837
Emerging Markets Debt Fund		—		—		—		1,454		—		1,454

During the fiscal year ended May 31, 2011, the following Funds utilized capital loss carryforwards to offset capital gains:


	Amount utilized ($ Thousands)
Large Cap Fund	$	89,781
Large Cap Diversified Alpha Fund		43,573
Large Cap Disciplined Equity Fund		752,992
Small Cap Fund		146,293
Small/Mid Cap Equity Fund		360,048
International Equity Fund		44,004
World Equity Ex-US Fund		340,970
Screened World Equity Ex-US Fund		6,459
High Yield Bond Fund		40,019
Emerging Markets Debt Fund		54,037

Under the recently enacted Regulated Investment Company Modernization Act of 2010, Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

For Federal income tax purposes, the cost of securities owned at May 31, 2011, 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, passive foreign investment companies, defaulted bonds, straddles 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 May 31, 2011, was as follows:


	Federal Tax Cost ($ Thousands)		Appreciated Securities ($ Thousands)		Depreciated Securities ($ Thousands)			Net Unrealized Appreciation (Depreciation) ($ Thousands)
Large Cap Fund	$	1,479,047	$	267,507	$	(18,944	)	$	248,563
Large Cap Diversified Alpha Fund		323,341		43,269		(5,115	)		38,154
Large Cap Disciplined Equity Fund		6,936,719		1,385,272		(191,866	)		1,193,406
Large Cap Index Fund		616,213		208,155		(9,467	)		198,688
Small Cap Fund		815,823		134,591		(49,994	)		84,597
Small/Mid Cap Equity Fund		2,500,310		482,528		(100,733	)		381,795
U.S. Managed Volatility Fund		107,693		27,916		(1,008	)		26,908
International Equity Fund		532,758		70,618		(19,001	)		51,617


	Federal Tax Cost ($ Thousands)		Appreciated Securities ($ Thousands)		Depreciated Securities ($ Thousands)			Net Unrealized Appreciation (Depreciation) ($ Thousands)
World Equity Ex-US Fund	$	4,935,125	$	732,765	$	(115,765	)	$	617,000
Screened World Equity Ex-US Fund		48,221		7,686		(1,658	)		6,028
Enhanced LIBOR Opportunities Fund		297,710		25,779		(19,730	)		6,049
Core Fixed Income Fund		8,171,191		288,586		(218,617	)		69,969
High Yield Bond Fund		1,840,395		128,486		(25,441	)		103,045
Long Duration Fund		3,309,487		239,001		(51,898	)		187,103
Ultra Short Duration Bond Fund		320,352		997		(847	)		150
Emerging Markets Debt Fund		935,866		100,218		(16,134	)		84,048
Real Return Fund		354,992		15,713		(1,708	)		14,005
Dynamic Asset Allocation Fund		391,082		265		(257	)		8

Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years and has concluded that as of May 31, 2011, no provision for income tax would be required in the Funds’ financial statements. The Funds’ 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, Ultra Short Duration Bond 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


SEI Institutional Investments Trust / Annual Report / May 31, 2011			191

Notes to Financial Statements (Concluded)

May 31, 2011

developments and the level of governmental supervision and regulation of securities markets in the respective countries.

10. IN-KIND TRANSFERS OF SECURITIES

During the year ended May 31, 2011, the Large Cap Fund, Small 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/ (Redeemed)			Value ($ Thousands)			Gain (Loss) ($ Thousands)
Large Cap Fund
08/11/2010		2,005		$	30,518		$	—
Small Cap Fund
12/03/10		(44,074	)	$	(530,650	)	$	119,030
U.S. Managed Volatility Fund
07/28/2010		(11,469	)	$	(132,237	)	$	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. NEW ACCOUNTING PRONOUNCEMENTS

In April 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2011-03 “Reconsideration of Effective Control of Repurchase Agreements”. ASU 2011-03 is an amendment to Topic 860 “Transfers and Servicing”. These amendments simplify the accounting for repurchase agreements by eliminating the requirement that the transferor demonstrate it has adequate collateral to fund substantially all the cost of purchasing replacement assets. As a result, more arrangements could be accounted for as secured borrowings rather than sales. The guidance applies to public and nonpublic companies and is effective for interim and annual reporting periods beginning on or after December 15, 2011. The guidance should be applied prospectively to transactions or modifications of existing transactions that occur on or after the effective date. Early adoption is not allowed. At this time, management is evaluating the implications of ASU 2011-03 and its impact on the financial statements.

In May 2011, the FASB issued ASU No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards (“IFRS”)”. ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRS. ASU 2011-04 will require reporting entities to disclose the following information for fair value measurements categorized within Level 3 of the fair value hierarchy: quantitative information about the unobservable inputs used in the fair value measurement, the valuation processes used by the reporting entity, and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU 2011-04 and its impact on the financial statements.

13. 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 May 31, 2011.


192		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders

SEI Institutional Investments Trust:

We have audited the accompanying statements of assets and liabilities of SEI Institutional Investments Trust, comprising the 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, Ultra Short Duration Bond Fund, Emerging Markets Debt Fund, Real Return Fund, and Dynamic Asset Allocation Fund (collectively, the “Funds”), as of May 31, 2011, including the schedules of investments or summary schedules of investments, as applicable, and the related statements of operations for the year or period then ended, the statements of changes in net assets for each of the years or periods in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the Standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of May 31, 2011, by correspondence with the custodians and brokers or other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the funds comprising SEI Institutional Investments Trust as of May 31, 2011, the results of their operations for the year or period then ended, the changes in their net assets for each of the years or periods in the two-year period then ended and the financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

LOGO

Philadelphia, Pennsylvania

July 29, 2011


SEI Institutional Investments Trust / Annual Report / May 31, 2011			193

TRUSTEES AND OFFICERS OF THE TRUST (Unaudited)

The following chart lists Trustees and Officers as of May 31, 2011.

Set forth below are the names, addresses, ages, position with the Trust, Term of Office and Length of Time Served, the principal occupations for the last five years, number of portfolios in fund complex overseen by trustee, and other directorships outside the fund complex of each of the persons currently serving as Trustees and Officers of the Trust. The Trust’s Statement of Additional Information (“SAI”) includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling 1-800-342-5734.


Name Address, and Age	Position(s) Held with Trusts	Term of Office and Length of Time Served¹	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen by Trustee²	Other Directorships Held by Trustee
INTERESTED TRUSTEES
Robert A. Nesher One Freedom Valley Drive Oaks, PA 19456 64 yrs. old	Chairman of the Board of Trustees*	since 1982	Currently performs various services on behalf of SEI for which Mr. Nesher is compensated.	84	Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, Director of SEI Global Master Fund, plc, SEI Global Assets Fund, plc, SEI Global Investments Fund, plc, SEI Investments Global, Limited, SEI Investments — Global Fund Services, Limited, SEI Investments (Europe), Limited, SEI Investments — Unit Trust Management (UK), Limited, SEI Global Nominee Ltd., SEI Structured Credit Fund, L.P.
William M. Doran One Freedom Valley Drive Oaks, PA 19456 70 yrs. old	Trustee*	since 1982	Self-employed consultant since 2003. Partner, Morgan, Lewis & Bockius LLP (law firm) from 1976 to 2003, counsel to the Trust, SEI, SIMC, the Administrator and the Distributor. Secretary of SEI since 1978.	84	Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, Director of SEI since 1974. Director of the Distributor since 2003. Director of SEI Investments — Global Fund Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe), Limited, SEI Investments (Asia), SEI Global Nominee Ltd., Limited and SEI Asset Korea Co., Ltd.
TRUSTEES
George J. Sullivan, Jr. One Freedom Valley Drive Oaks, PA 19456 68 yrs. old	Trustee	since 1996	Self-Employed Consultant, Newfound Consultants Inc. since April 1997.	84	Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, State Street Navigator Securities Lending Trust, and SEI Structured Credit Fund, L.P., member of the independent review committee for SEI’s Canadian-registered mutual funds.

Messrs. Nesher and Doran are Trustees who may be deemed as “interested” persons of the Trust as that term is defined in the 1940 Act by virtue of their affiliation with SIMC and the Trust’s Distributor.

Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust’s Declaration of Trust.

The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Liquid Asset Trust, SEI Tax Exempt Trust, SEI Alpha Strategy Portfolios, L.P., and Adviser Managed Trust.


194		SEI Institutional Investments Trust / Annual Report / May 31, 2011


Name Address, and Age	Position(s) Held with Trusts	Term of Office and Length of Time Served¹	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen by Trustee²	Other Directorships Held by Trustee
TRUSTEES (continued)
Rosemarie B. Greco One Freedom Valley Drive Oaks, PA 19456 65 yrs. old	Trustee	since 1999	Director, Governor’s Office of Health Care Reform, Commonwealth of Pennsylvania since 2003.	84	Director, Sonoco, Inc.; Director, Excelon Corporation; Trustee, Pennsylvania Real Estate Investment Trust.
Nina Lesavoy One Freedom Valley Drive Oaks, PA 19456 53 yrs. old	Trustee	since 2003	Founder and Managing Director, Avec Capital since 2008. Managing Director, Cue Capital from March 2002-March 2008.	84	Director of SEI Structured Credit Fund, L.P.
James M. Williams One Freedom Valley Drive Oaks, PA 19456 63 yrs. Old	Trustee	since 2004	Vice President and Chief Investment Officer, J. Paul Getty Trust, Non-Profit Foundation for Visual Arts, since December 2002.	84	Trustee/Director of Ariel Mutual Funds, and SEI Structured Credit Fund, L.P.
Mitchell A. Johnson One Freedom Valley Drive Oaks, PA 19456 69 yrs. old	Trustee	since 2007	Private Investor since 1994.	84	Trustee of the Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, and Bishop Street Funds
Hubert L. Harris, Jr. One Freedom Valley Drive Oaks, PA 19456 67 yrs. old	Trustee	since 2008	Retired since December 2005. Chief Executive Officer and Chair of the Board of Directors, AMVESCAP Retirement, Inc., 1997-December 2005. Chief Executive Officer, INVESCO North America, September 2003-December 2005.	84	Director of Colonial BancGroup, Inc. and St. Joseph’s Translational Research Institute; Chair of the Board of Trustees, Georgia Tech Foundation, Inc. (nonprofit corporation); Board of Councilors of the Carter Center.
OFFICERS
Robert A. Nesher One Freedom Valley Drive Oaks, PA 19456 64 yrs. old	President & CEO	since 2005	Currently performs various services on behalf of SEI for which Mr. Nesher is compensated.	N/A	N/A
Peter A. Rodriguez One Freedom Valley Drive Oaks, PA 19456 49 yrs. old	Controller and Chief Financial Officer	since 2011	Director, Fund Accounting, SEI Investments Global Fund Services (March 2011, September 2002 to March 2005 and 1997-2002); Director, Mutual Fund Trading, SEI Private Trust Company (May 2009 to February 2011); Director, Asset Data Services, Global Wealth Services (June 2006 to April 2009); Director, Portfolio Accounting, SEI Investments Global Fund Services (March 2005 to June 2006)	N/A	N/A
Russell Emery One Freedom Valley Drive Oaks, PA 19456 48 yrs. old	Chief Compliance Officer	since 2006	Chief Compliance Officer of SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Institutional International Trust, SEI Liquid Asset Trust, SEI Tax Exempt Trust, SEI Institutional Investments Trust, The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, and Bishop Street Funds, since March 2006. Chief Compliance Officer of SEI Structured Credit Fund, LP and SEI Alpha Strategy Portfolios, LP since June 2007. Chief Compliance Officer of Adviser Managed Trust since 2010.	N/A	N/A


SEI Institutional Investments Trust / Annual Report / May 31, 2011			195

TRUSTEES AND OFFICERS OF THE TRUST (Unaudited)


Name Address, and Age	Position(s) Held with Trusts	Term of Office and Length of Time Served¹	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen by Trustee²	Other Directorships Held by Trustee
OFFICERS (continued)
Timothy D. Barto One Freedom Valley Drive Oaks, PA 19456 43 yrs. old	Vice President and Secretary	since 2002	General Counsel, Vice President and Secretary of SIMC and the Administrator since 2004. Vice President and Assistant Secretary of SEI since 2001. Vice President of SIMC and the Administrator since 1999.	N/A	N/A
James Ndiaye One Freedom Valley Drive Oaks, PA 19456 42 yrs. old	Vice President and Assistant Secretary	since 2005	Vice President and Assistant Secretary of SIMC since 2005.	N/A	N/A
Aaron Buser One Freedom Valley Drive Oaks, PA 19456 40 yrs. old	Vice President and Assistant Secretary	since 2008	Vice President and Assistant Secretary of SIMC since 2007. Associate at Stark & Stark (2004-2007).	N/A	N/A
David F. McCann One Freedom Valley Drive Oaks, PA 19456 35 yrs. old	Vice President and Assistant Secretary	since 2009	Vice President and Assistant Secretary of SIMC since 2008. Attorney, Drinker Biddle & Reath, LLP (law firm), May 2005-October 2008.	N/A	N/A
John J. McCue One Freedom Valley Drive Oaks, PA 19456 47 yrs. old	Vice President	since 2004	Director of Portfolio Implementation for SIMC since 1995. Managing Director of Money Market Investments for SIMC since 2003.	N/A	N/A
Keri E. Rohn One Freedom Valley Drive Oaks, PA 19456 30 yrs. old	Privacy Officer and Anti-Money Laundering Compliance Officer	since 2009	Compliance Officer of SEI Investments Company, June 2003-present.	N/A	N/A


196		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Disclosure of Fund Expenses (Unaudited)

May 31, 2011

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 / Annual Report / May 31, 2011			197

Disclosure of Fund Expenses (Unaudited) (Continued)

May 31, 2011


	Beginning Account Value 12/1/2010		Ending Account Value 5/31/2011		Annualized Expense Ratios			Expense Paid During Period*
Large Cap Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,146.50		0.26	%	$	1.39
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.64		0.26	%	$	1.31
Large Cap Diversified Alpha Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,146.30		0.31	%	$	1.66
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.39		0.31	%	$	1.56
Large Cap Disciplined Equity Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,153.10		0.18	%	$	0.97
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.03		0.18	%	$	0.91
Large Cap Index Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,154.70		0.06	%	$	0.32
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.63		0.06	%	$	0.30
Small Cap Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,165.80		0.53	%	$	2.86
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.29		0.53	%	$	2.67
Small/Mid Cap Equity Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,170.80		0.49	%	$	2.65
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.49		0.49	%	$	2.47
U.S. Managed Volatility Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,178.10		0.35	%	$	1.90
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.19		0.35	%	$	1.77
International Equity Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,150.10		0.41	%	$	2.20
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.89		0.41	%	$	2.07
World Equity Ex-US Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,140.50		0.45	%	$	2.40
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.69		0.45	%	$	2.27
Screened World Equity Ex-US Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,132.00		0.72	%	$	3.83
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,021.34		0.72	%	$	3.63
Enhanced LIBOR Opportunities Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,022.20		0.41	%	$	2.07
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.89		0.41	%	$	2.07
Core Fixed Income Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,026.40		0.14	%	$	0.71
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.23		0.14	%	$	0.71


	Beginning Account Value 12/1/2010		Ending Account Value 5/31/2011		Annualized Expense Ratios			Expense Paid During Period*
High Yield Bond Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,084.40		0.35	%	$	1.82
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.19		0.35	%	$	1.77
Long Duration Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,034.30		0.20	%	$	1.01
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.93		0.20	%	$	1.01
Ultra Short Duration Bond Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,003.30		0.09	%	$	0.23	**
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.48		0.09	%	$	0.45	*
Emerging Markets Debt Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,053.60		0.55	%	$	2.82
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.19		0.55	%	$	2.77
Real Return Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,042.10		0.20	%	$	1.02
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.93		0.20	%	$	1.01
Dynamic Asset Allocation Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,102.50		0.50	%	$	2.62
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.44		0.50	%	$	2.52

Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period shown).

Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 95/365 (to reflect the period shown).


198		SEI Institutional Investments Trust / Annual Report / May 31, 2011

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”) 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. The Sub-Advisers are also 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 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 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 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 from third parties. This information is provided 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: (i) the quality of SIMC’s and the Sub-Advisers’ investment management and other services; (ii) SIMC’s and the Sub-Advisers’ investment management personnel; (iii) SIMC’s and the Sub-Advisers’ operations and financial condition; (iv) SIMC’s and the Sub-Advisers’ brokerage practices (including any soft dollar arrangements) and investment strategies; (v) 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; (vi) the Funds’ overall fees and operating expenses compared with similar mutual funds; (vii) the level of SIMC’s and the Sub-Advisers’ profitability from their Fund-related operations; (viii) SIMC’s and the Sub-Advisers’ compliance systems; (ix) SIMC’s and the Sub-Advisers’ policies on and compliance procedures for personal securities transactions; (x) SIMC’s and the Sub-Advisers’ reputation, expertise and resources in domestic and/or international financial markets; and (xi) the Funds’ performance compared with similar mutual funds.

At the December 7-8, 2010 and March 22-23, 2011 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;


SEI Institutional Investments Trust / Annual Report / May 31, 2011			199

Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) (Continued)

•

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 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 concluded 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 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.


200		SEI Institutional Investments Trust / Annual Report / May 31, 2011

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 / Annual Report / May 31, 2011			201

Notice to Shareholders (Unaudited)

For shareholders who do not have a May 31, 2011, taxable year end, this notice is for informational purposes only. For shareholders with a May 31, 2011, taxable year end, please consult your tax adviser as to the pertinence of this notice.

For the fiscal year ended May 31, 2011, the Funds are designating long term and qualifying dividend income with regard to distributions paid during the year as follows:


	(A) Long Term Capital Gains Distributions (Tax Basis)			(B) Ordinary Income Distributions (Tax Basis)			Total Distributions (Tax Basis)			(C) Dividends Qualifying for Corporate Dividends Rec. Deduction (1)
Large Cap Fund		0	%		100	%		100	%		96	%
Large Cap Diversified Alpha Fund		0	%		100	%		100	%		98	%
Large Cap Disciplined Equity Fund		0	%		100	%		100	%		74	%
Large Cap Index Fund		0	%		100	%		100	%		70	%
Small Cap Fund		0	%		100	%		100	%		77	%
Small/Mid Cap Equity Fund		0	%		100	%		100	%		77	%
U.S. Managed Volatility Fund		35	%		65	%		100	%		29	%
International Equity Fund⁽⁶⁾		0	%		100	%		100	%		0	%
World Equity Ex-US Fund⁽⁷⁾		0	%		100	%		100	%		0	%
Screened World Equity Ex-US Fund⁽⁸⁾		0	%		100	%		100	%		0	%
Enhanced LIBOR Opportunities Fund		0	%		100	%		100	%		0	%
Core Fixed Income Fund		4	%		96	%		100	%		0	%
High Yield Bond Fund		0	%		100	%		100	%		0	%
Long Duration Fund		14	%		86	%		100	%		0	%
Ultra Short Duration Bond Fund		0	%		100	%		100	%		0	%
Emerging Markets Debt Fund		0	%		100	%		100	%		0	%
Real Return Fund		10	%		90	%		100	%		0	%
Dynamic Asset Allocation Fund		63	%		37	%		100	%		0	%


	(D) Qualifying Dividend Income (15% Tax Rate for QDI) (2)			(E) U.S. Government Interest (3)			Interest Related Dividends (4)			Short-Term Capital Gain Dividends (5)
Large Cap Fund		92	%		0	%		0	%		0	%
Large Cap Diversified Alpha Fund		98	%		0	%		0	%		0	%
Large Cap Disciplined Equity Fund		73	%		0	%		15	%		0	%
Large Cap Index Fund		71	%		0	%		0	%		0	%
Small Cap Fund		77	%		0	%		3	%		0	%
Small/Mid Cap Equity Fund		78	%		0	%		1	%		0	%
U.S. Managed Volatility Fund		29	%		0	%		0	%		100	%
International Equity Fund⁽⁶⁾		45	%		0	%		3	%		0	%
World Equity Ex-US Fund⁽⁷⁾		72	%		0	%		1	%		0	%
Screened World Equity Ex-US Fund⁽⁸⁾		100	%		0	%		1	%		0	%
Enhanced LIBOR Opportunities Fund		0	%		1	%		100	%		0	%
Core Fixed Income Fund		0	%		10	%		74	%		100	%
High Yield Bond Fund		0	%		0	%		97	%		0	%
Long Duration Fund		0	%		14	%		72	%		100	%
Ultra Short Duration Bond Fund		0	%		13	%		88	%		0	%
Emerging Markets Debt Fund		0	%		0	%		0	%		0	%
Real Return Fund		0	%		87	%		0	%		100	%
Dynamic Asset Allocation Fund		0	%		17	%		1	%		100	%

(1)	Qualifying dividends represent dividends which qualify for the corporate dividends received deduction.

(2)

The percentage in this column represents the amount of “Qualifying Dividend Income” is reflected as a percentage of “Ordinary Income Distributions.” It is the intention of each of the aforementioned funds to designate the maximum amount permitted by the law. The information reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2011. Complete information will be computed and reported in conjunction with your 2011 Form 1099-DIV.

(3)

“U.S. Government Interest” represents the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short term capital gain and net investment income distributions). Generally, interest from direct U.S. Government obligations is exempt from state income tax. However, for shareholders who are residents of California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income.

(4)	The percentage in this column represents the amount of “Interest Related Dividend” is reflected as a percentage of net investment income distributions that is exempt from U.S. withholding tax when paid to foreign investors.

(5)	The percentage in this column represents the amount of “Short-Term Capital Gain” is reflected as a percentage of short-term capital gain distributions that is exempt from U.S. withholding tax when paid to foreign investors.

(6)	The Fund intends to pass through a foreign tax credit to shareholders. For fiscal year ended 2011, the total amount of foreign source income is $13,122,361. The total amount of foreign tax to be paid is $909,529. Your allocable share of the foreign tax credit will be reported on Form 1099 DIV.

(7)	The Fund intends to pass through a foreign tax credit to shareholders. For fiscal year ended 2011, the total amount of foreign source income is $96,891,412. The total amount of foreign tax to be paid is $6,606,387. Your allocable share of the foreign tax credit will be reported on Form 1099 DIV.


202		SEI Institutional Investments Trust / Annual Report / May 31, 2011

(8)	The Fund intends to pass through a foreign tax credit to shareholders. For fiscal year ended 2011, the total amount of foreign source income is $1,055,020. The total amount of foreign tax paid is $139,933. Your allocable share of the foreign tax credit will be reported on Form 1099 DIV.

Items (A) and (B) are based on the percentage of each fund’s total distribution.

Items (C) and (D) are based on the percentage of ordinary income distributions of each fund. Item (E) is based on the percentage of gross income of each fund.

Please consult your tax adviser for proper treatment of this information. This notification should be kept with your permanent tax records.


SEI Institutional Investments Trust / Annual Report / May 31, 2011			203

SEI INSTITUTIONAL INVESTMENTS TRUST ANNUAL REPORT MAY 31, 2011

Robert A. Nesher, Chairman

Trustees

William M. Doran

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

Peter A. Rodriguez

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

Keri E. Rohn

Anti-Money Laundering Compliance Officer

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)

LOGO

SEI Investments Distribution Co.

Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734)

SEI-F-140 (5/11)

Item 2.

Code of Ethics.

The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, comptroller or principal accounting officer, and any person who performs a similar function.

Item 3.

Audit Committee Financial Expert.

(a)(1) The Registrant’s Board of Trustees has determined that the Registrant has at least two audit committee financial experts serving on the audit committee.

(a) (2) The audit committee financial experts are George J. Sullivan, Jr. and Hubert L. Harris, Jr. Messrs. Sullivan and Harris are independent as defined in Form N-CSR Item 3 (a) (2).

Item 4.

Principal Accountant Fees and Services.

Fees billed by KPMG LLP (“KPMG”) related to the Registrant.

KPMG billed the Registrant aggregate fees for services rendered to the Registrant for the fiscal years 2011 and 2010 as follows:


		Fiscal 2011						Fiscal 2010
		All fees and services to the Registrant that were pre-approved		All fees and services to service affiliates that were pre-approved		All other fees and services to service affiliates that did not require pre-approval		All fees and services to the Registrant that were pre-approved		All fees and services to service affiliates that were pre-approved		All other fees and services to service affiliates that did not require pre-approval
(a)	Audit Fees(1)	$	525,000		N/A	$	0	$	455,000		N/A	$	0
(b)	Audit-Related Fees	$	0	$	0	$	0	$	0	$	0	$	0
(c)	Tax Fees (Tax return review services)	$	0	$	0	$	0	$	89,500	$	0	$	0
(d)	All Other Fees	$	0	$	244,500	$	0	$	0	$	244,500	$	0

Notes:

(1)

Audit fees include amounts related to the audit of the Registrant’s annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings.

(e)(1) The Registrant’s Audit Committee has adopted and the Board of Trustees has ratified an Audit and Non-Audit Services Pre-Approval Policy (the “Policy”), which sets forth the procedures and the conditions pursuant to which services proposed to be performed by the independent auditor of the Registrant may be pre-approved.

The Policy provides that all requests or applications for proposed services to be provided by the independent auditor must be submitted to the Registrant’s Chief Financial Officer (“CFO”) and must include a detailed description of the services proposed to be rendered. The CFO will determine whether such services: (1) require specific pre-approval; (2) are included within the list of services that have received the general pre-approval of the Audit Committee pursuant to the Policy; or (3) have been previously pre-approved in connection with the independent auditor’s annual engagement letter for the applicable year or otherwise. In any instance where services require pre-approval, the Audit Committee will consider whether such services are consistent with SEC’s rules and whether the provision of such services would impair the auditor’s independence.

Requests or applications to provide services that require specific pre-approval by the Audit Committee will be submitted to the Audit Committee by the CFO. The Audit Committee will be informed by the CFO on a quarterly basis of all services rendered by the independent auditor. The Audit Committee has delegated specific pre-approval authority to either the Audit Committee Chair or financial experts, provided that the estimated fee for any such proposed pre-approved service does not exceed $100,000 and any pre-approval decisions are reported to the Audit Committee at its next regularly scheduled meeting.

Services that have received the general pre-approval of the Audit Committee are identified and described in the Policy. In addition, the Policy sets forth a maximum fee per engagement with respect to each identified service that has received general pre-approval.

All services to be provided by the independent auditor shall be provided pursuant to a signed written engagement letter with the Registrant, the investment advisor or applicable control affiliate (except that matters as to which an engagement letter would be impractical because of timing issues or because the matter is small may not be the subject of an engagement letter) that sets forth both the services to be provided by the independent auditor and the total fees to be paid to the independent auditor for those services.

In addition, the Audit Committee has determined to take additional measures on an annual basis to meet its responsibility to oversee the work of the independent auditor and to assure the auditor’s independence from the Registrant, such as reviewing a formal written statement from the independent auditor delineating all relationships between the independent auditor and the Registrant, and discussing with the independent auditor its methods and procedures for ensuring independence.

(e)(2) Percentage of fees billed applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:


	Fiscal 2011	Fiscal 2010
Audit-Related Fees	0%	0%
Tax Fees	0%	0%
All Other Fees	0%	0%

(f) Not Applicable.

(g) The aggregate non-audit fees and services billed by KPMG for the fiscal years 2011 and 2010 were $244,500 and $244,500, respectively. Non-audit fees consist of SAS No. 70 review of fund accounting and administration operations, attestation report in accordance with Rule 17Ad-13, agreed upon procedures report over certain internal controls related to compliance with federal securities laws and regulations and tax consulting services for various service affiliates of the registrant.

(h) During the past fiscal year, Registrant’s principal accountant provided certain non-audit services to Registrant’s investment adviser or to entities controlling, controlled by, or under common control with Registrant’s investment adviser that provide ongoing services to Registrant that were not subject to pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X. The Audit Committee of Registrant’s Board of Trustees reviewed and considered these non-audit services provided by Registrant’s principal accountant to Registrant’s affiliates, including whether the provision of these non-audit services is compatible with maintaining the principal accountant’s independence.

Item 5.

Audit Committee of Listed Registrants.

Not applicable.

Item 6.

Schedule of Investments.

(a) 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 Equity 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 are included as part of the report to shareholders filed under Item 1 of this form.

Schedule of Investments

Large Cap Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 96.9%

Consumer Discretionary — 11.7%
Aeropostale*		6,450	$	122
Amazon.com*		55,037		10,825
Ameristar Casinos		5,800		130
Apollo Group, Cl A*		94,600		3,889
Ascena Retail Group*		1,400		47
Autoliv (A)		13,000		1,001
Bed Bath & Beyond*		100,498		5,416
Best Buy (A)		276,352		8,777
Big Lots*		22,700		758
Biglari Holdings*		200		80
BorgWarner* (A)		12,130		880
Brinker International (A)		33,400		861
Carnival		16,641		646
CBS, Cl B		66,700		1,864
Coach		272,840		17,369
Comcast, Cl A		223,791		5,649
Cooper Tire & Rubber		32,100		775
Ctrip.com International ADR* (A)		71,400		3,213
Darden Restaurants		12,000		608
Destination Maternity		2,400		49
DeVry		5,963		321
DIRECTV, Cl A*		41,800		2,101
DISH Network, Cl A*		40,800		1,235
Dollar General*		2,600		91
Dollar Tree*		11,073		706
Ford Motor*		202,900		3,027
GameStop, Cl A* (A)		47,600		1,332
Gannett		67,500		963
Gap		94,900		1,841
General Motors*		47,600		1,514
Genuine Parts		11,396		624
Global Sources*		3,700		43
iRobot*		1,000		34
ITT Educational Services* (A)		9,300		640
John Wiley & Sons, Cl A		3,500		186
Johnson Controls		142,563		5,645
Kohl’s		17,590		937
Liberty Global, Cl A* (A)		23,200		1,045
Liberty Media - Capital, Ser A*		4,700		428
Liberty Media - Starz, Ser A*		1,000		76
Lowe’s		563,870		13,612
Macy’s		84,600		2,443
Magna International, Cl A		3,600		175
Mattel		15,100		399
McDonald’s		35,871		2,925
McGraw-Hill		32,800		1,393
NetFlix* (A)		18,139		4,912
News, Cl A		113,010		2,073
NIKE, Cl B		141,848		11,979
Nordstrom		29,491		1,381
Panera Bread, Cl A*		1,600		200
Polaris Industries		2,100		232
priceline.com* (A)		10,900		5,616
RadioShack (A)		27,400		432
Ross Stores		2,538		208
Shoe Carnival*		600		16
Staples		170,600		2,870
Starbucks		63,010		2,318
Starwood Hotels & Resorts Worldwide		32,784		1,999


Description	Shares		Market Value ($ Thousands)

Sturm Ruger		1,700	$	37
Target		196,579		9,737
Time Warner		230,401		8,394
Time Warner Cable, Cl A		45,900		3,544
TJX		62,002		3,287
TRW Automotive Holdings*		37,942		2,158
Tupperware Brands		5,900		386
Urban Outfitters*		161,396		4,916
VF (A)		30,736		3,063
Viacom, Cl B		42,600		2,147
Walt Disney		81,620		3,398
Whirlpool (A)		22,100		1,852
Yum! Brands		86,069		4,761

				188,611


Consumer Staples — 7.6%
Altria Group		42,041		1,180
Archer-Daniels-Midland		88,030		2,853
BJ’s Wholesale Club*		10,200		514
Bunge		11,900		886
Coca-Cola		115,553		7,720
Coca-Cola Bottling		400		27
Coca-Cola Enterprises		52,100		1,505
ConAgra Foods		23,200		590
Constellation Brands, Cl A*		45,300		995
Corn Products International		36,893		2,093
Costco Wholesale		139,296		11,489
CVS Caremark		201,400		7,792
Diageo ADR		53,800		4,578
Dr. Pepper Snapple Group		27,400		1,129
Fresh Del Monte Produce		7,300		201
Herbalife		24,800		1,396
JM Smucker		6,900		547
Kimberly-Clark		1,761		120
Kraft Foods, Cl A		19,100		668
Kroger		122,100		3,031
Lorillard		31,314		3,610
Mead Johnson Nutrition, Cl A		121,630		8,245
Molson Coors Brewing, Cl B		7,127		332
Pantry*		3,051		56
PepsiCo		162,876		11,584
Philip Morris International		33,540		2,407
Procter & Gamble		401,754		26,918
Ralcorp Holdings*		11,400		1,002
Reynolds American		2,400		95
Safeway (A)		127,400		3,147
Smart Balance*		6,203		34
Smithfield Foods*		64,630		1,354
SUPERVALU (A)		60,800		624
Susser Holdings*		2,800		40
Sysco		5,300		171
Tyson Foods, Cl A		102,680		1,953
Walgreen		153,100		6,680
Wal-Mart Stores		88,908		4,909
Whole Foods Market		1,800		110

				122,585


Energy — 9.5%
Anadarko Petroleum		13,300		1,058
Apache		44,800		5,582
Arch Coal		4,700		140
Baker Hughes		25,071		1,854
BG Group PLC ADR (A)		13,983		1,625


1		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Large Cap Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

BP PLC ADR		72,800	$	3,366
Cameron International*		1,711		82
Canadian Natural Resources		180,445		7,869
Chesapeake Energy		59,300		1,858
Chevron		225,208		23,627
ConocoPhillips		193,716		14,184
Consol Energy		105,125		5,390
CVR Energy* (A)		14,000		306
Devon Energy		62,032		5,215
Diamond Offshore Drilling (A)		11,100		818
Energen		24,731		1,540
EOG Resources (A)		76,251		8,322
Exxon Mobil		106,987		8,930
FMC Technologies* (A)		124,199		5,543
Halliburton (A)		56,000		2,808
Helmerich & Payne		21,229		1,331
Hess		57,985		4,583
Marathon Oil		141,800		7,681
McDermott International*		31,755		674
Murphy Oil		53,400		3,679
Nabors Industries*		165,000		4,602
National Oilwell Varco		41,049		2,979
Noble (A)		16,300		683
Occidental Petroleum		52,304		5,641
Oil States International*		14,300		1,130
Overseas Shipholding Group (A)		6,300		172
OYO Geospace*		500		45
Patterson-UTI Energy		55,200		1,729
Range Resources (A)		23,119		1,293
RPC		9,900		249
Schlumberger		105,648		9,056
SEACOR Holdings		1,000		100
Sunoco		5,800		235
Transocean		5,400		374
Unit*		22,000		1,267
Valero Energy		191,000		5,252
Williams		31,600		992

				153,864


Financials — 14.5%
ACE		29,000		1,996
Aflac		78,400		3,747
Allstate		48,800		1,531
American Express		116,550		6,014
American Financial Group		7,700		274
American National Insurance		471		38
Ameriprise Financial		51,000		3,123
Annaly Capital Management‡ (A)		44,900		814
Assurant		58,031		2,147
Banco Latinoamericano de Comercio Exterior, Cl E		4,200		76
Bank of America		1,135,523		13,342
Bank of New York Mellon		301,217		8,467
Berkshire Hathaway, Cl B*		123,629		9,775
BlackRock, Cl A		41,274		8,484
Brandywine Realty Trust‡		72,100		920
Brookfield Asset Management, Cl A		32,100		1,056
Capital One Financial		128,519		6,983
CBL & Associates Properties‡ (A)		46,200		889
Charles Schwab (A)		497,471		8,960
Chatham Lodging Trust‡		1,100		18
Chimera Investment‡ (A)		143,100		560


Description	Shares		Market Value ($ Thousands)

Chubb		74,000	$	4,854
Citigroup		297,526		12,243
CME Group, Cl A		21,271		6,079
CNA Financial		26,600		812
Comerica		59,060		2,133
Commerce Bancshares		30,600		1,309
CommonWealth REIT‡		9,018		235
Discover Financial Services		58,100		1,385
East West Bancorp		5,030		101
Endurance Specialty Holdings		19,600		796
Everest Re Group		9,300		827
FBL Financial Group, Cl A		2,800		89
Fifth Third Bancorp		167,800		2,191
Financial Institutions		900		15
First Citizens BancShares, Cl A		471		92
First Community Bancshares (A)		3,028		44
First Interstate Bancsystem, Cl A		1,396		20
Franklin Resources		16,200		2,099
Goldman Sachs Group		61,219		8,616
Hanover Insurance Group		4,300		176
Hartford Financial Services Group		45,100		1,202
Hospitality Properties Trust‡		51,126		1,262
Host Hotels & Resorts‡		66,100		1,162
Huntington Bancshares		247,700		1,635
Inland Real Estate‡		10,226		93
IntercontinentalExchange*		37,500		4,524
Jones Lang LaSalle		19,437		1,888
JPMorgan Chase		542,574		23,461
Keycorp		238,400		2,019
Lincoln National		11,400		335
Mack-Cali Realty‡		21,600		764
Maiden Holdings		4,180		39
MetLife		112,100		4,944
MFA Mortgage Investments‡		43,324		357
Montpelier Re Holdings		27,200		512
Moody’s (A)		27,500		1,098
Morgan Stanley		194,500		4,699
Nelnet, Cl A		8,314		183
Newcastle Investment‡*		3,539		19
NYSE Euronext		32,100		1,169
OceanFirst Financial		1,584		21
PartnerRe		11,000		823
PNC Financial Services Group		84,500		5,275
Presidential Life		3,816		40
Principal Financial Group		12,300		385
Prudential Financial		58,200		3,712
Public Storage‡		10,400		1,231
Raymond James Financial		1,800		64
Rayonier‡		17,700		1,175
Regions Financial		59,500		420
RenaissanceRe Holdings		10,100		727
Resource Capital‡ (A)		28,513		193
SLM		83,494		1,423
State Street		65,000		2,975
Sunstone Hotel Investors‡*		37,600		382
SunTrust Banks		76,900		2,163
Symetra Financial		17,473		234
T. Rowe Price Group		16,100		1,019
Taubman Centers‡ (A)		29,100		1,763
Torchmark		20,300		1,346
Travelers		86,200		5,351
Unum Group		130,600		3,436
US Bancorp		122,300		3,131


2		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Large Cap Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Validus Holdings		21,200	$	683
Vornado Realty Trust‡		14,000		1,377
Wells Fargo		724,946		20,567
WesBanco		2,800		55
Winthrop Realty Trust‡		9,328		115

				234,781


Health Care — 13.9%
Abbott Laboratories		162,440		8,488
Aetna		197,457		8,625
Allergan		94,451		7,814
AmerisourceBergen (A)		10,600		437
Amgen*		194,517		11,776
Baxter International		9,700		577
Becton Dickinson		10,189		892
Biogen Idec*		48,964		4,638
Bristol-Myers Squibb		73,859		2,124
Bruker* (A)		3,629		72
Cardinal Health		45,928		2,086
CareFusion*		3,600		104
Celgene*		214,648		13,074
CIGNA		20,700		1,033
Computer Programs & Systems		1,200		75
Covance* (A)		102,672		6,043
Coventry Health Care*		24,300		855
Covidien		56,491		3,107
Cyberonics*		1,213		40
DaVita*		61,276		5,150
Eli Lilly		101,073		3,889
Endo Pharmaceuticals Holdings*		14,300		595
Express Scripts*		165,318		9,846
Forest Laboratories*		86,100		3,101
Gilead Sciences*		101,450		4,235
Health Net*		32,400		1,040
Hill-Rom Holdings		7,522		343
Humana		36,881		2,970
Idexx Laboratories* (A)		65,597		5,164
Illumina* (A)		49,307		3,554
Intuitive Surgical* (A)		17,714		6,182
Invacare (A)		5,183		174
Jazz Pharmaceuticals*		1,800		53
Johnson & Johnson		300,581		20,226
Kinetic Concepts* (A)		13,100		778
Life Technologies*		15,919		827
McKesson		9,300		796
Medco Health Solutions*		113,122		6,771
Medtronic		150,275		6,116
Merck		381,078		14,005
Myriad Genetics*		75,600		1,921
Novo Nordisk ADR		29,600		3,730
Par Pharmaceutical*		2,049		71
PerkinElmer		22,300		618
Perrigo (A)		29,300		2,507
Pfizer		843,045		18,083
Sirona Dental Systems*		7,775		420
St. Jude Medical		13,500		684
Stryker		52,610		3,283
Thermo Fisher Scientific*		33,993		2,225
UnitedHealth Group		286,989		14,048
Warner Chilcott, Cl A		7,500		181
Waters*		30,524		3,008
Watson Pharmaceuticals* (A)		14,300		920


Description	Shares		Market Value ($ Thousands)

WellPoint		67,641	$	5,288

				224,662


Industrials — 8.9%
3M		67,875		6,406
ABB ADR		250,735		6,745
AGCO*		1,000		52
Ametek		3,661		159
Armstrong World Industries		3,600		173
Boeing		47,051		3,671
Caterpillar		19,276		2,039
Cooper Industries, Cl A		8,206		516
CSX		29,100		2,308
Cubic		736		38
Cummins		16,051		1,689
Danaher		123,269		6,722
Deere		7,360		634
Dover		12,976		872
Eaton		22,152		1,145
Emerson Electric		21,726		1,185
EnerSys*		600		22
Expeditors International of Washington		64,200		3,391
FedEx		20,582		1,927
Flowserve		12,358		1,498
Fluor		94,503		6,514
Franklin Electric		1,542		69
Gardner Denver		18,063		1,513
General Dynamics		55,546		4,123
General Electric		913,787		17,947
Goodrich		30,800		2,689
Graco (A)		25,500		1,289
Honeywell International		6,019		358
Huntington Ingalls Industries*		5,883		215
Illinois Tool Works		7,500		430
ITT		33,200		1,913
KBR		49,800		1,858
Kennametal		7,818		326
L-3 Communications Holdings, Cl 3		33,300		2,719
Lincoln Electric Holdings		700		52
Lockheed Martin		27,400		2,134
NACCO Industries, Cl A		925		90
Norfolk Southern		53,500		3,922
Northrop Grumman (A)		80,100		5,230
Paccar		900		45
Parker Hannifin		14,956		1,329
Precision Castparts		22,312		3,505
Quanta Services*		152,800		3,018
Raytheon		89,639		4,516
Rockwell Automation		22,650		1,882
Rockwell Collins		26,847		1,641
Roper Industries		68,027		5,678
RR Donnelley & Sons (A)		83,300		1,778
Sauer-Danfoss*		742		40
Southwest Airlines		223,900		2,649
Stanley Black & Decker		11,600		857
Stericycle* (A)		58,963		5,253
Thomas & Betts*		4,154		227
Timken		22,668		1,170
Toro		2,403		154
Tyco International		17,200		849
Union Pacific		28,600		3,002


3		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Large Cap Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

United Continental Holdings* (A)		135,500	$	3,272
United Parcel Service, Cl B		6,541		481
United Technologies		72,995		6,407
WW Grainger (A)		8,125		1,227

				143,563


Information Technology — 22.4%
Accenture, Cl A		107,228		6,154
Activision Blizzard (A)		39,154		470
Adobe Systems*		309,000		10,701
Akamai Technologies*		13,252		450
Amdocs*		33,800		1,029
Amphenol, Cl A		92,415		4,996
Ansys*		80,990		4,646
Apple*		115,350		40,122
Applied Materials		45,170		622
Arrow Electronics*		30,500		1,361
Autodesk*		202,865		8,719
Avnet*		7,900		286
AVX		4,441		70
Black Box		1,600		53
CA		34,504		807
Check Point Software Technologies* (A)		43,780		2,404
Cisco Systems		601,831		10,111
Citrix Systems*		126,501		11,084
Cognizant Technology Solutions, Cl A*		98,960		7,525
Computer Sciences		12,700		507
Corning		118,505		2,388
Dell*		32,600		524
DST Systems		31,600		1,588
eBay*		263,300		8,207
EchoStar, Cl A*		7,538		254
EMC* (A)		403,091		11,476
F5 Networks*		23,600		2,680
First Solar* (A)		9,789		1,216
Genpact*		229,399		3,675
Global Payments		21,400		1,112
Google, Cl A*		34,802		18,411
Harris		18,600		920
Hewlett-Packard		210,400		7,865
IAC*		40,500		1,489
Ingram Micro, Cl A*		46,400		882
Intel		843,566		18,989
International Business Machines		59,686		10,083
Intuit*		79,400		4,285
Juniper Networks*		62,245		2,279
Lam Research*		15,798		742
Loral Space & Communications*		1,019		68
LSI*		161,100		1,207
Marvell Technology Group*		50,656		823
Mastercard, Cl A		48,566		13,941
Micron Technology*		150,900		1,539
Microsoft		783,372		19,592
MKS Instruments		1,119		29
Motorola Solutions*		5,900		282
National Instruments		98,901		2,888
NetApp* (A)		90,996		4,984
NeuStar, Cl A*		6,600		177
Nuance Communications* (A)		134,450		2,953
Nvidia*		307,147		6,155
Oplink Communications*		900		17


Description	Shares		Market Value ($ Thousands)

Oracle		394,100	$	13,486
Plantronics		10,517		385
Polycom*		42,300		2,428
Qualcomm		481,457		28,208
Rackspace Hosting* (A)		44,700		1,967
Red Hat*		32,700		1,426
Research In Motion* (A)		175,055		7,501
SAIC*		30,500		535
Salesforce.com* (A)		39,559		6,023
SanDisk*		49,243		2,340
Seagate Technology		30,200		507
Sina* (A)		30,968		3,679
Symantec*		26,700		522
Synopsys*		13,794		377
TE Connectivity		21,600		795
Tech Data*		17,900		848
Teradata*		56,200		3,136
Texas Instruments		195,850		6,914
VeriSign		106,800		3,740
Visa, Cl A		88,288		7,157
Vishay Intertechnology*		40,700		646
Western Digital*		31,600		1,158
Xerox		206,211		2,106

				361,721


Materials — 2.9%
Alcoa (A)		8,400		141
Allegheny Technologies (A)		40,880		2,739
Ashland		13,900		950
Ball		20,600		814
Cabot		3,239		137
Century Aluminum*		21,200		342
CF Industries Holdings		6,392		983
Cliffs Natural Resources		2,100		190
Coeur d’Alene Mines* (A)		8,700		240
Domtar (A)		4,300		441
Dow Chemical		136,100		4,917
E.I. Du Pont de Nemours		22,749		1,213
Eastman Chemical		27,400		2,900
FMC		17,400		1,468
Freeport-McMoRan Copper & Gold, Cl B		126,689		6,542
H.B. Fuller		8,100		181
International Paper		59,546		1,859
LSB Industries*		2,900		137
Lubrizol		6,700		901
Materion*		2,100		83
Monsanto		75,528		5,365
Mosaic		12,708		900
Nalco Holding		92,600		2,643
Noranda Aluminum Holding*		5,300		79
Nucor		16,400		694
Owens-Illinois*		16,800		540
Potash Corp of Saskatchewan		41,730		2,362
Reliance Steel & Aluminum		9,600		495
Rock-Tenn, Cl A (A)		12,550		964
Rockwood Holdings*		2,300		121
Sealed Air		30,000		770
Steel Dynamics		100,400		1,717
Syngenta ADR		53,600		3,701

				47,529


4		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Large Cap Fund

May 31, 2011


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)

Telecommunication Services — 3.1%
American Tower, Cl A*		110,193	$	6,113
AT&T		712,608		22,490
Crown Castle International*		125,700		5,205
MetroPCS Communications* (A)		78,200		1,400
Sprint Nextel*		205,900		1,205
Telephone & Data Systems		7,700		252
Verizon Communications		360,902		13,328

				49,993


Utilities — 2.4%
AES*		254,687		3,301
Alliant Energy		26,500		1,090
Ameren		28,100		835
American Electric Power		169,820		6,487
American Water Works		14,649		440
Atmos Energy		11,200		374
CMS Energy (A)		25,200		502
Constellation Energy Group		37,900		1,409
Dominion Resources (A)		23,300		1,112
DTE Energy		14,900		769
Duke Energy		8,140		153
Edison International		94,700		3,728
Entergy		64,743		4,412
Exelon		104,500		4,373
GenOn Energy*		63,504		253
NextEra Energy		4,400		255
NRG Energy* (A)		40,100		993
NV Energy		22,700		358
PG&E		5,700		247
Public Service Enterprise Group		109,500		3,668
Questar		26,400		457
Sempra Energy		56,600		3,123

				38,339

Total Common Stock (Cost $1,288,881) ($ Thousands)				1,565,648


AFFILIATED PARTNERSHIP — 7.4%
SEI Liquidity Fund, L.P. 0.150%†** (B)		119,963,584		119,376

Total Affiliated Partnership (Cost $119,964) ($ Thousands)				119,376


CASH EQUIVALENT — 2.2%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.050%†**		35,437,156		35,437

Total Cash Equivalent (Cost $35,437) ($ Thousands)				35,437


U.S. TREASURY OBLIGATION (C) (D) — 0.4%
U.S. Treasury Bill
0.174%, 06/30/11	$	7,149		7,149

Total U.S. Treasury Obligation (Cost $7,148) ($ Thousands)				7,149


Description	Market Value ($ Thousands)

Total Investments — 106.9% (Cost $1,451,430) ($ Thousands)	$	1,727,610

A summary of the open futures contracts held by the Fund at May 31, 2011, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
S&P 500 Index E-MINI		432		Jun-2011	$	1,306
S&P Mid 400 Index E-MINI		38		Jun-2011		194

					$	1,500

Percentages are based on a Net Assets of $1,616,607 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2011.

†

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 May 31, 2011. The total value of securities on loan at May 31, 2011 was $118,354 ($ 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 May 31, 2011 was $119,376 ($ 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

L.P. — Limited Partnership

PLC — Public Limited Company

S&P — Standard & Poors

Ser — Series

The following is a summary of the inputs used as of May 31, 2011, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,565,648	$	—	$	—	$	1,565,648
Affiliated Partnership		—		119,376		—		119,376
Cash Equivalent		35,437		—		—		35,437
U.S. Treasury Obligation		—		7,149		—		7,149

Total Investments in Securities	$	1,601,085	$	126,525	$	—	$	1,727,610


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	1,500	$	—	$	—	$	1,500

Total Other Financial Instruments	$	1,500	$	—	$	—	$	1,500

Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2011, there were 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 Note to Financial Statements.

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

The accompanying notes are an integral part of the financial statements.


5		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Large Cap Diversified Alpha Fund

May 31, 2011


Description	Shares		Market Value ($Thousands)

COMMON STOCK — 96.9%

Consumer Discretionary — 15.6%
Advance Auto Parts		5,500	$	342
Amazon.com*		9,975		1,962
Apollo Group, Cl A*		42,000		1,727
Autoliv		5,500		423
AutoZone*		4,600		1,352
Bed Bath & Beyond*		45,054		2,428
Best Buy		82,698		2,626
BorgWarner*		8,500		616
Cablevision Systems, Cl A		16,800		597
Carmax*		6,600		196
CBS, Cl B		20,800		582
Chipotle Mexican Grill, Cl A*		1,800		520
Coach		52,031		3,312
Comcast, Cl A		17,200		434
Ctrip.com International ADR*		21,700		977
DIRECTV, Cl A*		37,900		1,905
Dollar General*		1,800		63
Dollar Tree*		9,850		628
Expedia		5,000		140
Family Dollar Stores		9,900		552
Foot Locker		900		22
Ford Motor*		71,200		1,062
Fortune Brands		900		59
Fossil*		6,500		688
General Motors*		13,300		423
Genuine Parts		900		49
Goodyear Tire & Rubber*		29,500		523
H&R Block		2,200		36
Hasbro		1,200		55
Interpublic Group		1,300		16
J.C. Penney		1,800		63
Johnson Controls		59,114		2,341
Las Vegas Sands*		10,700		444
Lear		3,100		158
Liberty Global, Cl A*		16,100		725
Liberty Media - Capital, Ser A*		2,900		264
Liberty Media - Starz, Ser A*		3,910		298
Limited Brands		8,200		328
Lowe’s		176,413		4,259
Madison Square Garden, Cl A*		3,500		96
Marriott International, Cl A		2,600		98
McDonald’s		21,200		1,729
McGraw-Hill		13,500		573
NetFlix*		2,500		677
Newell Rubbermaid		15,900		283
NIKE, Cl B		47,921		4,047
NVR*		200		149
Omnicom Group		1,300		61
O’Reilly Automotive*		3,400		204
Panera Bread, Cl A*		300		38
Penn National Gaming*		9,600		389
Polo Ralph Lauren, Cl A		6,300		799
priceline.com*		3,925		2,022
Ross Stores		6,400		525
Scripps Networks Interactive, Cl A		2,400		121
Signet Jewelers*		6,900		317
Staples		46,800		787
Starwood Hotels & Resorts Worldwide		1,000		61


Description	Shares		Market Value ($Thousands)
Target		50,856	$	2,519
Tiffany		1,900		144
Time Warner		51,300		1,869
Time Warner Cable, Cl A		5,084		393
TJX		15,200		806
Tractor Supply		3,100		196
TRW Automotive Holdings*		3,000		171
Viacom, Cl B		12,800		645
Virgin Media		21,500		701
Weight Watchers International		1,800		144
Whirlpool		3,700		310
Williams-Sonoma		200		8
Wynn Resorts		3,700		542
Yum! Brands		39,100		2,163

				56,782


Consumer Staples — 7.6%
Altria Group		67,700		1,900
Avon Products		4,400		131
Brown-Forman, Cl B		6,900		500
Coca-Cola		5,600		374
Coca-Cola Enterprises		16,800		485
Constellation Brands, Cl A*		5,200		114
Corn Products International		4,900		278
Costco Wholesale		35,139		2,898
CVS Caremark		40,400		1,563
Diageo ADR		18,200		1,549
Dr. Pepper Snapple Group		400		17
Energizer Holdings*		4,100		316
Estee Lauder, Cl A		400		41
Flowers Foods		3,600		120
General Mills		700		28
Herbalife		21,400		1,204
Hershey		1,000		56
HJ Heinz		4,600		252
Hormel Foods		6,300		185
JM Smucker		300		24
Kellogg		500		28
Kimberly-Clark		400		27
Kraft Foods, Cl A		700		24
Kroger		39,100		971
McCormick		6,500		326
Mead Johnson Nutrition, Cl A		8,800		596
Molson Coors Brewing, Cl B		4,000		187
PepsiCo		32,175		2,288
Philip Morris International		31,500		2,260
Procter & Gamble		68,100		4,563
Ralcorp Holdings*		600		53
Reynolds American		8,500		338
Safeway		17,700		437
Sara Lee		18,500		362
Smithfield Foods*		3,900		82
Walgreen		60,400		2,635
Wal-Mart Stores		10,100		558

				27,770


Energy — 9.2%
Atwood Oceanics*		3,600		156
Baker Hughes		8,700		643
BP PLC ADR		20,000		925
Cameron International*		10,400		496
Chevron		26,200		2,749
Cimarex Energy		3,000		288
Concho Resources*		4,100		388


1		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Large Cap Diversified Alpha Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

ConocoPhillips		41,546	$	3,042
Consol Energy		37,000		1,897
Core Laboratories		600		62
Devon Energy		8,100		681
Dresser-Rand Group*		700		37
El Paso		8,600		181
EOG Resources		16,400		1,790
Exxon Mobil		51,900		4,332
FMC Technologies*		19,100		852
Halliburton		32,600		1,635
Helmerich & Payne		3,200		201
Hess		11,000		869
Holly		2,100		131
Marathon Oil		22,800		1,235
Massey Energy		5,600		370
Murphy Oil		19,800		1,364
Nabors Industries*		61,500		1,715
National Oilwell Varco		24,100		1,749
Oil States International*		3,100		245
Patterson-UTI Energy		23,100		724
Peabody Energy		300		18
Pioneer Natural Resources		10,000		918
Plains Exploration & Production*		5,700		210
Pride International*		900		37
Rowan*		4,800		190
Schlumberger		6,398		548
SEACOR Holdings		1,500		149
SM Energy		2,800		186
Spectra Energy		8,200		226
Superior Energy Services*		5,700		214
Tesoro*		21,300		520
Tidewater		3,000		164
Valero Energy		29,000		798
Weatherford International*		23,600		466
Whiting Petroleum*		2,800		188
Williams		1,000		31

				33,620


Financials — 9.8%
ACE		3,200		220
Aflac		22,150		1,058
Allied World Assurance Holdings		2,500		151
American Express		38,025		1,962
American Financial Group		13,500		480
Ameriprise Financial		11,400		698
Annaly Capital Management‡		9,500		172
AON		5,400		282
Arch Capital Group*		8,200		277
Ares Capital		9,900		166
Arthur J Gallagher		8,400		241
Assurant		4,800		178
AvalonBay Communities‡		103		14
Bank of America		67,000		787
Bank of New York Mellon		33,600		944
Berkshire Hathaway, Cl B*		2,400		190
BlackRock, Cl A		11,965		2,460
Brown & Brown		6,400		169
Camden Property Trust‡		400		26
Capital One Financial		26,500		1,440
CapitalSource		16,100		104
CB Richard Ellis Group, Cl A*		3,200		85
Charles Schwab		71,000		1,279
Chimera Investment‡		51,800		203


Description	Shares		Market Value ($ Thousands)

Chubb		13,300	$	872
CIT Group*		1,600		71
Citigroup		21,040		866
CME Group, Cl A		3,850		1,100
Commerce Bancshares		900		38
Discover Financial Services		52,700		1,257
Endurance Specialty Holdings		2,200		89
Equity Residential‡		6,800		420
Erie Indemnity, Cl A		2,300		164
Everest Re Group		500		44
Fifth Third Bancorp		23,500		307
Forest City Enterprises, Cl A*		2,200		42
Franklin Resources		4,500		583
Goldman Sachs Group		7,965		1,121
HCC Insurance Holdings		1,100		36
Health Care REIT‡		900		48
Howard Hughes*		1,800		138
Huntington Bancshares		43,600		288
IntercontinentalExchange*		11,400		1,376
Jones Lang LaSalle		3,000		291
JPMorgan Chase		62,025		2,682
Keycorp		76,700		650
Lazard, Cl A		2,000		78
Leucadia National		7,900		280
Loews		6,600		277
Marsh & McLennan		31,400		963
MetLife		17,225		760
Morgan Stanley		20,600		498
Nationwide Health Properties‡		100		4
NYSE Euronext		9,700		353
PNC Financial Services Group		14,700		917
Progressive		10,200		221
Raymond James Financial		1,200		43
Rayonier‡		2,100		139
Torchmark		600		40
Travelers		14,300		888
UDR‡		300		8
Validus Holdings		3,000		97
Wells Fargo		125,400		3,558
Weyerhaeuser‡		15,000		323
White Mountains Insurance Group		100		41

				35,557


Health Care — 10.6%
Abbott Laboratories		39,050		2,040
Aetna		37,800		1,651
Agilent Technologies*		4,000		200
Alere*		1,400		56
Alexion Pharmaceuticals*		12,800		607
Allergan		20,900		1,729
AmerisourceBergen		18,500		763
Amgen*		36,541		2,212
Baxter International		9,700		578
Becton Dickinson		800		70
Biogen Idec*		10,000		947
Boston Scientific*		10,200		73
Cardinal Health		18,300		831
Celgene*		74,499		4,538
Charles River Laboratories International*		1,900		74
CIGNA		6,800		339
Cooper		3,500		262


2		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Large Cap Diversified Alpha Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Covance*		700	$	41
Covidien		2,200		121
DaVita*		1,900		160
Edwards Lifesciences*		1,400		124
Endo Pharmaceuticals Holdings*		7,300		304
Forest Laboratories*		21,500		775
Gen-Probe*		600		49
Gilead Sciences*		29,975		1,251
Health Net*		19,200		616
Hill-Rom Holdings		3,600		164
Hologic*		1,500		32
Humana		3,800		306
Illumina*		8,300		598
Johnson & Johnson		32,875		2,212
Laboratory Corp of America Holdings*		3,000		302
McKesson		3,600		308
Medco Health Solutions*		29,900		1,790
Mednax*		1,700		128
Medtronic		50,625		2,061
Merck		27,650		1,016
Mettler Toledo International*		1,800		301
Myriad Genetics*		29,000		737
Novo Nordisk ADR		9,000		1,134
Perrigo		8,900		762
Pfizer		124,200		2,664
Techne		300		24
United Therapeutics*		2,200		142
UnitedHealth Group		37,400		1,831
Varian Medical Systems*		5,900		399
Warner Chilcott, Cl A		5,700		137
Watson Pharmaceuticals*		1,600		103
WellPoint		11,600		907

				38,469


Industrials — 8.0%
3M		16,600		1,567
AGCO*		6,300		325
Alexander & Baldwin		1,400		68
Ametek		7,700		335
Avery Dennison		3,900		165
C.H. Robinson Worldwide		9,700		778
Caterpillar		17,200		1,820
Chicago Bridge & Iron		6,300		240
Cooper Industries, Cl A		400		25
Corrections Corp of America*		8,000		184
Covanta Holding		3,200		54
CSX		18,100		1,435
Cummins		5,900		621
Deere		10,800		930
Donaldson		500		30
Dun & Bradstreet		2,100		169
Eaton		900		46
Emerson Electric		1,200		66
Expeditors International of Washington		25,700		1,358
Fluor		1,300		90
Gardner Denver		9,400		788
GATX		2,200		87
General Dynamics		3,400		252
General Electric		115,600		2,270
Goodrich		10,600		925
Graco		1,100		56


Description	Shares		Market Value ($ Thousands)

Honeywell International		3,100	$	185
Hubbell, Cl B		3,400		225
IHS, Cl A*		3,900		342
Ingersoll-Rand		1,400		70
Joy Global		4,000		359
KBR		20,000		746
Kennametal		2,000		83
Kirby*		100		6
Lincoln Electric Holdings		3,900		291
Lockheed Martin		11,400		888
Norfolk Southern		6,500		477
Northrop Grumman		10,400		679
Oshkosh Truck*		10,500		291
Paccar		2,700		135
Pall		4,100		230
Parker Hannifin		700		62
Quanta Services*		54,000		1,066
Raytheon		8,700		438
Roper Industries		700		58
Ryder System		9,900		544
Snap-On		3,500		211
Southwest Airlines		79,100		936
Stericycle*		6,100		544
Timken		11,100		573
Towers Watson, Cl A		2,700		171
TransDigm Group*		2,400		197
Union Pacific		13,200		1,386
United Continental Holdings*		29,200		705
United Parcel Service, Cl B		1,100		81
United Technologies		18,000		1,580
UTi Worldwide		1,100		24
Verisk Analytics, Cl A*		4,100		140
WABCO Holdings*		3,600		247
Wabtec		1,100		74
Waste Connections		2,200		69
WESCO International*		1,900		106
WW Grainger		2,100		317

				29,220


Information Technology — 23.9%
Accenture, Cl A		2,400		138
Activision Blizzard		6,200		74
Adobe Systems*		103,700		3,591
Akamai Technologies*		4,900		166
Alliance Data Systems*		3,300		310
Altera		300		14
Amdocs*		9,900		301
Analog Devices		1,800		74
Apple*		25,600		8,905
Applied Materials		38,100		525
Arrow Electronics*		8,500		379
Atmel*		32,900		494
Autodesk*		66,310		2,850
Avago Technologies		800		27
CA		23,500		550
Cisco Systems		158,200		2,658
Citrix Systems*		3,400		298
Cognizant Technology Solutions,
Cl A*		1,500		114
Compuware*		4,600		47
Cypress Semiconductor		5,700		134
Dell*		19,200		309
DST Systems		2,800		141


3		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Large Cap Diversified Alpha Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

eBay*		131,300	$	4,093
EMC*		92,900		2,645
F5 Networks*		16,025		1,819
Factset Research Systems		1,400		155
Fairchild Semiconductor International, Cl A*		5,200		94
Fidelity National Information Services		14,100		454
Fiserv*		7,700		497
Gartner*		6,100		238
Global Payments		8,500		442
Google, Cl A*		2,825		1,494
Hewlett-Packard		24,025		898
IAC*		12,800		471
Informatica*		7,000		411
Ingram Micro, Cl A*		16,800		320
Intel		192,772		4,339
International Business Machines		31,942		5,396
International Rectifier*		3,100		89
Intuit*		27,300		1,474
Kla-Tencor		6,300		272
LSI*		81,200		608
Mastercard, Cl A		7,390		2,121
Maxim Integrated Products		5,700		155
Microchip Technology		7,000		277
Micros Systems*		2,700		138
Microsoft		194,550		4,866
Monster Worldwide*		1,600		25
Motorola Mobility Holdings*		18,925		476
Motorola Solutions*		5,400		259
NetApp*		9,500		520
NeuStar, Cl A*		1,200		32
Nuance Communications*		47,500		1,043
Nvidia*		120,050		2,406
ON Semiconductor*		22,500		252
Oracle		69,870		2,391
Paychex		11,000		355
Polycom*		14,900		855
Qualcomm		134,783		7,897
Rackspace Hosting*		15,300		673
Red Hat*		13,400		584
Research In Motion*		60,561		2,595
Rovi*		8,200		475
Salesforce.com*		1,400		213
Skyworks Solutions*		15,400		392
Solera Holdings		5,100		301
Symantec*		35,600		696
Teradata*		24,600		1,372
Texas Instruments		80,100		2,828
Trimble Navigation*		5,200		227
VeriSign		37,600		1,317
Visa, Cl A		22,300		1,807
Vishay Intertechnology*		11,900		189
WebMD Health, Cl A*		600		28
Western Union		41,000		843
Zebra Technologies, Cl A*		3,800		169

				87,085


Materials — 5.0%
Air Products & Chemicals		14,900		1,417
Airgas		1,000		69
Albemarle		800		57
Alcoa		1,500		25


Description	Shares		Market Value ($ Thousands)

Aptargroup		600	$	32
Ball		7,000		277
Cabot		8,400		355
Celanese, Cl A		800		42
CF Industries Holdings		5,500		846
Crown Holdings*		12,200		495
Domtar		3,300		338
Dow Chemical		32,400		1,171
E.I. Du Pont de Nemours		49,900		2,660
Eastman Chemical		11,500		1,217
Ecolab		500		27
FMC		400		34
Freeport-McMoRan Copper & Gold, Cl B		31,800		1,642
Greif, Cl A		800		53
Huntsman		23,600		447
MeadWestvaco		1,000		34
Monsanto		16,375		1,163
Mosaic		7,800		553
Nalco Holding		33,800		965
NewMarket		1,000		174
Newmont Mining		800		46
PPG Industries		10,200		905
Praxair		6,400		677
Sealed Air		6,200		159
Sigma-Aldrich		8,900		625
Southern Copper		11,400		394
Syngenta ADR		16,300		1,125
Teck Resources, Cl B		4,600		242

				18,266


Telecommunication Services — 4.0%
American Tower, Cl A*		38,716		2,148
AT&T		105,039		3,315
CenturyLink		42,970		1,856
Crown Castle International*		38,200		1,582
Frontier Communications		37,900		335
MetroPCS Communications*		47,300		846
SBA Communications, Cl A*		100		4
Verizon Communications		105,266		3,888
Windstream		28,400		382

				14,356


Utilities — 3.2%
AES*		85,726		1,111
Ameren		16,500		490
American Water Works		11,200		336
Aqua America		2,100		48
Atmos Energy		2,500		83
Calpine*		7,800		123
Centerpoint Energy		4,700		91
CMS Energy		14,300		285
Consolidated Edison		10,500		557
Dominion Resources		21,700		1,035
Duke Energy		2,900		54
Edison International		23,800		937
Entergy		8,400		573
FirstEnergy		4,969		222
ITC Holdings		3,100		224
MDU Resources Group		9,000		213
National Fuel Gas		1,400		101
NextEra Energy		7,600		440
NiSource		8,300		168
Northeast Utilities		9,800		345


4		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Large Cap Diversified Alpha Fund

May 31, 2011


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)

NSTAR		5,600	$	258
NV Energy		28,900		456
OGE Energy		4,300		220
Oneok		2,500		178
Pepco Holdings		13,000		260
PG&E		4,600		200
Progress Energy		3,700		176
Public Service Enterprise Group		14,400		482
SCANA		200		8
Sempra Energy		5,600		309
Southern		7,500		301
TECO Energy		1,700		33
UGI		2,700		88
Vectren		2,400		68
Westar Energy		5,600		152
Wisconsin Energy		13,500		422
Xcel Energy		19,400		480

				11,527

Total Common Stock (Cost $306,339) ($ Thousands)				352,652


CASH EQUIVALENT — 2.1%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.050% †**		7,750,363		7,750

Total Cash Equivalent (Cost $7,750) ($ Thousands)				7,750


U.S. TREASURY OBLIGATION (A) (B) — 0.3%
U.S. Treasury Bill
0.161%, 06/30/11	$	1,093		1,093

Total U.S. Treasury Obligation (Cost $1,093) ($ Thousands)				1,093

Total Investments — 99.3% (Cost $315,182)($ Thousands)			$	361,495

A summary of the open futures contracts held by the Fund at May 31, 2011, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
S&P 500 Index E-MINI		99		Jun-2011	$	126

					$	126

Percentages are based on a Net Assets of $364,180 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2011.

†

Investment in Affiliated Security (see Note 5).

‡

Real Estate Investment Trust

(A)

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

S&P — Standard & Poors

Ser — Series

The following is a summary of the inputs used as of May 31, 2011, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock		352,652		—		—		352,652
Cash Equivalent		7,750		—		—		7,750
U.S. Treasury Obligation		—		1,093		—		1,093

Total Investments in Securities	$	360,402	$	1,093	$	—	$	361,495


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *	$	126	$	—	$	—	$	126

Total Other Financial Instruments	$	126	$	—	$	—	$	126

Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2011, there were 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 Note 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.


5		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Large Cap Disciplined Equity Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 84.8%

Consumer Discretionary — 8.1%
Advance Auto Parts (A)		37,561	$	2,333
Amazon.com*		86,444		17,003
American Eagle Outfitters		109,440		1,451
Ascena Retail Group* (A)		21,900		733
AutoNation* (A)		42,400		1,488
AutoZone* (A)		44,405		13,055
Bally Technologies* (A)		75,010		2,956
Bed Bath & Beyond*		50,040		2,697
Biglari Holdings*		600		239
Brown Shoe (A)		169,390		1,746
Cablevision Systems, Cl A		157,600		5,598
Carmax*		81,100		2,405
Carnival		148,500		5,763
CBS, Cl B		79,100		2,211
Chipotle Mexican Grill, Cl A* (A)		4,500		1,301
Coach		167,900		10,689
Comcast, Cl A		2,116,263		51,476
Darden Restaurants		303,000		15,347
DeVry		39,130		2,107
DIRECTV, Cl A*		521,877		26,230
Discovery Communications, Cl A* (A)		2,000		87
Dorman Products*		18,280		692
DreamWorks Animation SKG, Cl A* (A)		70,760		1,692
Expedia (A)		49,800		1,395
Family Dollar Stores		103,900		5,791
Ford Motor* (A)		1,430,861		21,348
Fortune Brands		17,900		1,159
Genuine Parts		49,700		2,724
Harley-Davidson		8,500		316
Harman International Industries		54,200		2,600
Hasbro (A)		67,600		3,092
Home Depot		127,700		4,633
Iconix Brand Group*		96,230		2,377
International Game Technology		628,930		10,843
Interpublic Group		168,600		2,011
J.C. Penney (A)		75,200		2,664
Johnson Controls		105,636		4,183
Kohl’s		113,600		6,048
Lear		48,425		2,461
Liberty Media - Capital, Ser A*		7,300		665
Limited Brands (A)		164,200		6,562
Lowe’s		308,960		7,458
Macy’s		325,776		9,409
Marriott International, Cl A (A)		44,100		1,668
Mattel		245,900		6,491
Matthews International, Cl A		55,620		2,174
McDonald’s		312,532		25,484
McGraw-Hill		52,300		2,221
MDC Holdings (A)		167,167		4,505
Modine Manufacturing*		126,040		2,002
NetFlix* (A)		17,500		4,739
Newell Rubbermaid		1,447,081		25,773
News, Cl A		855,700		15,694
NIKE, Cl B		69,100		5,835
Nutrisystem (A)		25,800		365
Omnicom Group		462,021		21,609
O’Reilly Automotive*		211,302		12,701
Panera Bread, Cl A*		10,008		1,251


Description	Shares		Market Value ($ Thousands)

Polaris Industries		8,800	$	971
Polo Ralph Lauren, Cl A		9,000		1,141
priceline.com* (A)		46,285		23,846
Ross Stores (A)		197,200		16,163
Royal Caribbean Cruises* (A)		199,723		7,789
Scripps Networks Interactive, Cl A		17,500		883
Starbucks		39,500		1,453
Starwood Hotels & Resorts Worldwide		73,100		4,458
Target		799,277		39,588
Tempur-Pedic International*		32,030		2,083
Tenneco*		47,950		2,002
Texas Roadhouse, Cl A (A)		144,670		2,493
Tiffany (A)		19,500		1,475
Time Warner		105,900		3,858
Time Warner Cable, Cl A		37,560		2,900
TJX		553,000		29,320
TRW Automotive Holdings*		171,030		9,726
Tupperware Brands		8,100		530
VF (A)		32,900		3,279
Viacom, Cl B		582,551		29,366
Virgin Media (A)		79,461		2,592
Walt Disney		594,768		24,760
Williams-Sonoma (A)		44,650		1,748
WMS Industries*		65,800		2,070
Wyndham Worldwide		6,700		233
Wynn Resorts		23,200		3,399
Yum! Brands		180,600		9,991

				627,667


Consumer Staples — 8.7%
Altria Group		896,310		25,150
Archer-Daniels-Midland		242,696		7,866
Avon Products		22,100		657
Brown-Forman, Cl B (A)		33,000		2,392
Bunge (A)		204,628		15,235
Central Garden and Pet, Cl A*		292,060		2,938
Coca-Cola		1,233,758		82,427
Coca-Cola Enterprises		911,737		26,340
Colgate-Palmolive 1		14,000		1,226
Corn Products International		67,515		3,830
Costco Wholesale		74,000		6,103
CVS Caremark		88,908		3,440
Dr. Pepper Snapple Group (A)		33,600		1,384
Energizer Holdings*		136,780		10,539
Estee Lauder, Cl A		48,600		4,982
General Mills		325,505		12,945
Hansen Natural*		44,905		3,218
Herbalife		63,400		3,568
Hershey		49,300		2,748
HJ Heinz		7,900		434
Hormel Foods (A)		128,200		3,760
JM Smucker		37,600		2,981
Kellogg		8,000		456
Kimberly-Clark		49,794		3,401
Kraft Foods, Cl A		745,832		26,082
Kroger		118,200		2,934
Lorillard		81,515		9,397
McCormick		38,700		1,942
Mead Johnson Nutrition, Cl A		81,000		5,491
Molson Coors Brewing, Cl B (A)		104,400		4,870
PepsiCo		774,882		55,110


1		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Large Cap Disciplined Equity Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Philip Morris International		853,460	$	61,236
Procter & Gamble		1,074,722		72,006
Ralcorp Holdings*		32,200		2,832
Reynolds American		77,300		3,075
Sara Lee		194,500		3,802
Smart Balance*		30,600		168
Smithfield Foods*		898,415		18,822
Sysco		381,200		12,278
Tyson Foods, Cl A		751,600		14,295
Walgreen (A)		1,052,180		45,907
Wal-Mart Stores		1,914,642		105,727
Whole Foods Market (A)		84,900		5,192

				679,186


Energy — 11.2%
Anadarko Petroleum		61,700		4,906
Apache		135,012		16,823
Arch Coal		15,800		472
Baker Hughes		75,219		5,561
Cameron International*		28,900		1,377
Chesapeake Energy		37,100		1,163
Chevron		1,391,626		145,995
Cimarex Energy		21,510		2,063
Complete Production Services* (A)		99,530		3,303
ConocoPhillips		1,435,784		105,128
Consol Energy		262,190		13,442
Denbury Resources* (A)		18,900		415
Devon Energy		246,815		20,750
Diamond Offshore Drilling (A)		65,000		4,789
El Paso		170,400		3,587
Energen		34,600		2,154
EOG Resources (A)		700		76
Exxon Mobil		2,044,257		170,634
FMC Technologies* (A)		111,900		4,994
Halliburton		322,000		16,148
Helix Energy Solutions Group*		9,800		172
Helmerich & Payne		196,400		12,310
Hess		384,696		30,403
James River Coal* (A)		271,685		5,955
Key Energy Services* (A)		132,710		2,346
Marathon Oil		638,317		34,578
Massey Energy (A)		55,300		3,650
McDermott International*		143,100		3,037
Murphy Oil		211,862		14,595
Nabors Industries*		13,200		368
National Oilwell Varco		253,964		18,433
Newfield Exploration*		34,400		2,566
Noble (A)		37,300		1,562
Noble Energy		3,800		354
Occidental Petroleum		453,143		48,871
Oceaneering International		24,420		1,990
Oil States International*		3,700		293
OYO Geospace*		1,500		136
Patterson-UTI Energy		330,532		10,356
Peabody Energy		173,638		10,654
Pioneer Natural Resources (A)		126,200		11,588
QEP Resources		4,200		183
Rowan* (A)		90,500		3,588
RPC		6,600		166
Schlumberger		849,249		72,798
SEACOR Holdings		4,300		429
Spectra Energy		40,400		1,115


Description	Shares		Market Value ($ Thousands)

Suncor Energy 1		635,202	$	26,615
Sunoco		54,100		2,191
Tesoro*		21,100		515
Unit*		27,437		1,580
Valero Energy		668,401		18,381
Williams		15,000		471

				866,029


Financials — 12.2%
ACE		399,958		27,525
Aflac		113,300		5,415
Allied World Assurance Holdings		37,555		2,277
American Express		956,606		49,361
American Financial Group		51,421		1,828
American International Group* (A)		195,500		5,572
Ameriprise Financial		96,836		5,929
AON		17,400		907
Apartment Investment & Management, Cl A‡		90,800		2,427
Arch Capital Group*		104,088		3,511
Aspen Insurance Holdings (A)		104,620		2,810
Assurant		209,300		7,742
AvalonBay Communities‡ (A)		15,700		2,089
Bank of America		5,709,521		67,087
Bank of New York Mellon		145,038		4,077
BB&T (A)		385,970		10,630
Berkshire Hathaway, Cl B*		205,074		16,215
BlackRock, Cl A		52,200		10,730
Boston Properties‡		2,700		293
Capital One Financial (A)		296,302		16,101
CB Richard Ellis Group, Cl A*		110,500		2,920
Chimera Investment‡ (A)		4,037,978		15,788
Cincinnati Financial (A)		26,600		809
Citigroup		750,788		30,895
City National (A)		29,840		1,681
CME Group, Cl A		52,381		14,968
CNA Financial		18,500		565
Comerica (A)		81,800		2,954
CommonWealth‡ (A)		35,100		916
Discover Financial Services		631,132		15,046
Duke Realty‡		131,800		1,982
East West Bancorp (A)		390,402		7,843
Equity Residential‡ (A)		56,400		3,487
Ezcorp, Cl A*		2,100		69
Federated Investors, Cl B (A)		54,200		1,389
Fifth Third Bancorp		570,000		7,444
Forest City Enterprises, Cl A* (A)		201,391		3,861
Franklin Resources		69,800		9,045
Fulton Financial		171,230		1,908
Goldman Sachs Group		317,992		44,751
Hartford Financial Services Group		614,711		16,382
Hospitality Properties Trust‡		120,500		2,974
Host Hotels & Resorts‡		80,662		1,418
Huntington Bancshares		1,398,644		9,231
Inland Real Estate‡ (A)		50,400		460
Invesco		789,050		19,466
Janus Capital Group		58,908		609
Jones Lang LaSalle		17,957		1,745
JPMorgan Chase		3,435,528		148,552
Keycorp		965,185		8,175
Kilroy Realty‡ (A)		62,080		2,574
Kimco Realty‡		24,800		484


2		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Large Cap Disciplined Equity Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

LaSalle Hotel Properties‡		89,660	$	2,509
Leucadia National		107,700		3,819
Lincoln National		26,400		775
Loews		35,100		1,475
M&T Bank (A)		129,143		11,403
Macerich‡ (A)		54,930		2,987
Marsh & McLennan		117,700		3,610
MBIA* (A)		340,364		2,995
MetLife		195,693		8,630
MFA Mortgage Investments‡		369,800		3,047
Morgan Stanley		1,025,960		24,787
NASDAQ OMX Group*		165,644		4,227
Nelnet, Cl A		20,100		442
NYSE Euronext		51,675		1,882
PacWest Bancorp (A)		157,510		3,323
PNC Financial Services Group		56,200		3,508
Principal Financial Group		169,900		5,313
Progressive		64,200		1,390
ProLogis‡		42,489		704
Prudential Financial		603,954		38,520
Public Storage‡		1,900		225
Raymond James Financial		7,000		250
Rayonier‡		110,258		7,320
Regency Centers‡ (A)		66,800		3,094
Regions Financial		179,400		1,267
Senior Housing Properties Trust‡		103,700		2,504
Simon Property Group‡		37,889		4,473
State Street		376,327		17,225
Stifel Financial* (A)		52,295		2,106
Sunstone Hotel Investors‡*		119,400		1,214
SunTrust Banks		9,600		270
Symetra Financial		52,600		706
T. Rowe Price Group		21,800		1,380
Torchmark		25,800		1,711
Travelers		444,235		27,578
US Bancorp		392,466		10,047
Ventas‡		2,600		147
Wells Fargo		3,705,489		105,125
Weyerhaeuser‡ (A)		431,766		9,300
Winthrop Realty Trust‡		28,600		351
Wintrust Financial (A)		82,360		2,674
XL Group, Cl A		17,300		409
Zions Bancorporation (A)		26,200		624

				948,263


Health Care — 9.5%
Abbott Laboratories		248,416		12,980
Aetna		255,900		11,178
Agilent Technologies*		66,700		3,326
Alexion Pharmaceuticals*		135,640		6,432
AmerisourceBergen (A)		479,920		19,782
Amgen*		1,177,461		71,284
Baxter International		38,287		2,279
Becton Dickinson		71,900		6,295
Biogen Idec*		134,317		12,724
Boston Scientific*		107,000		768
Bristol-Myers Squibb		1,013,408		29,146
Cardinal Health		436,991		19,848
CareFusion*		166,960		4,839
Celgene*		42,900		2,613
Cerner* (A)		3,500		420
CIGNA		14,300		713
Coventry Health Care*		40,900		1,439


Description	Shares		Market Value ($ Thousands)

Covidien		607,075	$	33,389
DaVita*		10,200		857
Depomed* (A)		144,380		1,317
Edwards Lifesciences*		16,000		1,420
Eli Lilly (A)		366,644		14,108
Express Scripts*		271,664		16,180
Forest Laboratories*		24,450		881
Gilead Sciences*		818,578		34,167
Haemonetics*		18,440		1,247
Healthsouth*		123,640		3,471
Hill-Rom Holdings (A)		49,000		2,237
Hospira*		293,735		16,241
Humana		124,397		10,018
Idexx Laboratories* (A)		15,600		1,228
Intuitive Surgical* (A)		15,000		5,235
Johnson & Johnson		1,515,862		102,002
Laboratory Corp of America Holdings*		13,800		1,391
Life Technologies*		151,730		7,886
McKesson		107,626		9,214
Medco Health Solutions*		123,148		7,372
Medicines*		48,100		919
Medicis Pharmaceutical, Cl A		51,000		1,911
Medtronic		7,576		308
Merck		1,438,662		52,871
Pain Therapeutics		55,600		553
Par Pharmaceutical*		21,200		728
PerkinElmer		356,916		9,883
Pfizer		5,112,410		109,661
St. Jude Medical		90,000		4,560
Stryker (A)		105,800		6,602
Thermo Fisher Scientific*		457,938		29,972
UnitedHealth Group		384,700		18,831
Varian Medical Systems*		57,200		3,863
VCA Antech*		102,360		2,503
Warner Chilcott, Cl A		585,069		14,106
Waters*		3,400		335
Watson Pharmaceuticals* (A)		54,600		3,513
WellPoint		24,096		1,884

				738,930


Industrials — 9.7%
3M		76,766		7,245
AGCO*		13,100		677
Alexander & Baldwin		3,800		186
Altra Holdings*		64,110		1,689
American Reprographics*		122,500		1,149
Avery Dennison		34,100		1,444
BE Aerospace*		75,440		2,823
Boeing		110,118		8,593
C.H. Robinson Worldwide (A)		39,700		3,185
Caterpillar		135,291		14,314
Chicago Bridge & Iron		179,052		6,815
Cooper Industries, Cl A		256,070		16,094
Corrections Corp of America*		125,165		2,879
CSX		176,900		14,028
Cubic		11,500		589
Cummins		241,998		25,468
Danaher		34,200		1,865
Deere		199,400		17,164
Dover		303,604		20,411
Dun & Bradstreet		17,300		1,387
Eaton		544,303		28,124


3		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Large Cap Disciplined Equity Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Emerson Electric		540,968	$	29,510
Equifax		51,700		1,954
Expeditors International of Washington		57,200		3,021
Fastenal (A)		39,200		1,301
FedEx		219,032		20,510
Flowserve		4,100		497
Fluor		43,000		2,964
Gardner Denver		7,400		620
Generac Holdings*		25,252		465
General Dynamics		171,958		12,763
General Electric		3,249,155		63,814
Goodrich		43,200		3,771
Harsco		92,590		3,103
Honeywell International		1,294,324		77,077
Illinois Tool Works		560,445		32,125
Ingersoll-Rand		65,600		3,273
Iron Mountain		11,700		398
ITT		86,900		5,007
Joy Global		21,600		1,936
KBR		35,975		1,343
Kennametal		127,770		5,332
Kirby*		24,731		1,421
Lockheed Martin		281,256		21,910
Masco (A)		29,300		418
Middleby*		18,800		1,618
Norfolk Southern		157,900		11,576
Northrop Grumman (A)		86,100		5,621
Orion Marine Group* (A)		213,280		2,269
Owens Corning*		188,355		7,195
Paccar		71,700		3,585
Pall		20,500		1,150
Parker Hannifin		272,866		24,244
Quanta Services*		149,160		2,946
Raytheon		335,900		16,923
Regal-Beloit		30,630		2,113
Robert Half International		12,300		339
Rockwell Automation		55,400		4,604
Rockwell Collins (A)		230,312		14,079
Roper Industries		28,100		2,346
Ryder System		18,000		990
Snap-On		37,100		2,238
Southwest Airlines		2,800		33
Stanley Black & Decker		57,300		4,233
Stericycle* (A)		35,200		3,136
Team*		94,160		2,166
Timken		97,918		5,055
Trex* (A)		70,790		2,163
Trimas*		80,540		1,643
Tyco International		142,900		7,052
Union Pacific		360,524		37,844
United Parcel Service, Cl B		278,596		20,474
United Technologies		1,007,213		88,403
URS*		125,700		5,538
UTi Worldwide		68,440		1,522
Waste Management (A)		8,418		327
WW Grainger (A)		19,100		2,885

				756,972


Information Technology — 17.3%
Akamai Technologies*		77,800		2,640
Altera (A)		64,900		3,121
Amphenol, Cl A		19,900		1,076


Description	Shares		Market Value ($ Thousands)

Analog Devices		32,200	$	1,326
AOL* (A)		396,310		8,152
Apple*		584,742		203,391
Applied Materials		250,400		3,450
Arrow Electronics*		111,344		4,969
Atmel*		537,875		8,079
Autodesk*		196,899		8,463
Automatic Data Processing		15,400		849
Baidu ADR* (A)		165,424		22,450
Black Box		4,200		138
BMC Software*		38,940		2,174
Broadcom, Cl A		47,800		1,720
CA (A)		322,196		7,539
Cadence Design Systems*		245,483		2,624
Cisco Systems		3,791,879		63,704
Citrix Systems*		46,000		4,030
Cognizant Technology Solutions, Cl A*		325,381		24,742
Compuware*		208,800		2,128
Corning		493,700		9,948
Dell*		359,400		5,779
Digital River* (A)		58,230		1,895
DST Systems		43,395		2,181
eBay*		512,100		15,962
Echo Global Logistics* (A)		166,159		2,476
EchoStar, Cl A*		10,700		360
EMC* (A)		947,025		26,962
Entropic Communications* (A)		130,800		1,164
F5 Networks*		54,900		6,236
FARO Technologies*		34,773		1,556
Fidelity National Information Services		20,700		666
First Solar* (A)		20,000		2,485
Fiserv*		70,445		4,545
FLIR Systems (A)		58,700		2,122
Google, Cl A*		134,092		70,937
Harris		62,400		3,085
Hewlett-Packard		802,254		29,988
Ingram Micro, Cl A*		104,950		1,995
Intel		4,927,256		110,912
International Business Machines		1,029,807		173,965
Intuit*		19,600		1,058
Jabil Circuit		85,311		1,841
JDS Uniphase*		91,300		1,843
Juniper Networks*		9,800		359
Kla-Tencor		54,600		2,353
Lam Research*		87,700		4,121
Lender Processing Services (A)		187,435		4,982
Lexmark International, Cl A*		81,100		2,415
Linear Technology		15,600		540
LSI*		71,500		536
Marvell Technology Group*		157,900		2,564
Mastercard, Cl A		37,000		10,621
Microchip Technology (A)		116,600		4,609
Microsoft		4,230,483		105,804
Molex (A)		17,723		485
Motorola Mobility Holdings*		117,500		2,954
Motorola Solutions*		66,300		3,174
NCR*		68,600		1,339
NetApp* (A)		125,500		6,874
Novellus Systems* (A)		20,400		740
Nvidia* (A)		247,100		4,952
ON Semiconductor*		233,660		2,622


4		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Large Cap Disciplined Equity Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Oracle		2,966,386	$	101,510
Paychex		42,100		1,360
Plantronics		15,800		578
Polycom* (A)		44,930		2,579
Qualcomm		1,208,733		70,820
Quest Software*		119,920		2,722
Red Hat*		138,710		6,048
Salesforce.com* (A)		27,200		4,141
SanDisk* (A)		101,300		4,814
SS&C Technologies Holdings* (A)		159,526		3,119
Synopsys*		40,200		1,099
Teradata*		57,600		3,214
Teradyne* (A)		201,540		3,227
Texas Instruments		731,129		25,809
VeriSign		95,300		3,338
Visa, Cl A		464,971		37,690
Vishay Intertechnology* (A)		634,813		10,075
Western Union		1,445,912		29,728
Xerox		674,400		6,886
Xilinx (A)		87,680		3,128

				1,340,655


Materials — 3.8%
Air Products & Chemicals		56,900		5,411
Airgas		12,900		891
Alcoa (A)		104,800		1,762
Allegheny Technologies (A)		423,338		28,364
Ball		489,015		19,321
Cabot		37,148		1,569
Century Aluminum*		11,700		189
CF Industries Holdings		62,000		9,534
Cliffs Natural Resources		62,800		5,696
Coeur d’Alene Mines* (A)		23,600		651
Domtar (A)		9,200		943
Dow Chemical		452,894		16,363
E.I. Du Pont de Nemours		630,280		33,594
Eastman Chemical		105,300		11,146
FMC		13,800		1,164
Freeport-McMoRan Copper & Gold, Cl B		823,704		42,536
H.B. Fuller		30,600		682
Horsehead Holding*		349,395		4,661
International Flavors & Fragrances		10,900		698
LSB Industries*		9,400		445
Materion*		4,400		174
MeadWestvaco		16,100		548
Monsanto		335,693		23,848
Mosaic		85,500		6,058
Newmont Mining		357,297		20,212
Nucor		3,700		157
PPG Industries		50,700		4,497
Praxair		274,915		29,097
Reliance Steel & Aluminum (A)		23,400		1,205
Rock-Tenn, Cl A (A)		32,960		2,532
Rockwood Holdings*		48,680		2,560
Schweitzer-Mauduit International (A)		54,580		2,875
Sealed Air (A)		52,200		1,341
Sigma-Aldrich		83,200		5,848
Solutia*		104,570		2,611
Steel Dynamics		439,970		7,523


Description	Shares		Market Value ($ Thousands)

Westlake Chemical		6,300	$	353

				297,059


Telecommunication Services — 2.5%
American Tower, Cl A*		335,266		18,601
AT&T		3,844,646		121,337
CenturyLink		408,120		17,627
Frontier Communications (A)		242,000		2,142
MetroPCS Communications* (A)		969,456		17,353
Verizon Communications		436,898		16,134
Windstream		216,313		2,909

				196,103


Utilities — 1.8%
AES*		1,428,529		18,514
Ameren		57,900		1,720
American Water Works		355,147		10,658
Centerpoint Energy		47,000		908
CMS Energy (A)		697,185		13,902
Consolidated Edison (A)		15,200		806
Dominion Resources (A)		118,900		5,674
DTE Energy		20,800		1,074
Duke Energy (A)		314,100		5,889
Edison International		10,100		398
Entergy		286,366		19,516
Exelon		42,682		1,786
FirstEnergy		208,788		9,316
Integrys Energy Group (A)		5,500		288
Laclede Group		46,910		1,764
New Jersey Resources		70,260		3,238
NextEra Energy		89,100		5,163
Nicor		5,300		291
NiSource (A)		67,600		1,372
Northeast Utilities		98,400		3,468
NV Energy		62,292		982
Oneok		51,200		3,640
Pepco Holdings (A)		159,100		3,177
PG&E		128,100		5,557
Pinnacle West Capital		13,000		588
Progress Energy		15,661		746
Public Service Enterprise Group		59,300		1,987
Questar		138,100		2,393
SCANA (A)		3,100		126
Sempra Energy		143,000		7,889
Southern		118,100		4,734
TECO Energy		22,400		430
Unisource Energy		4,000		152
Wisconsin Energy (A)		93,100		2,911
Xcel Energy		55,600		1,376

				142,433

Total Common Stock (Cost $5,428,235) ($ Thousands)				6,593,297


5		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Large Cap Disciplined Equity Fund

May 31, 2011


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)

AFFILIATED PARTNERSHIPS — 14.8%
SEI LIBOR Plus Portfolio†		111,582,526	$	782,193
SEI Liquidity Fund, L.P. 0.150%†** (B)		377,555,577		370,939

Total Affiliated Partnerships (Cost $1,309,709) ($ Thousands)				1,153,132


CASH EQUIVALENT — 3.3%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.050%†**		255,372,994		255,373

Total Cash Equivalent (Cost $255,373) ($ Thousands)				255,373


U.S. TREASURY OBLIGATIONS (C) (D) — 1.4%
U.S. Treasury Bills
0.172%, 06/16/11	$	500		500
0.155%, 06/30/11		105,416		105,412
0.140%, 07/07/11		2,445		2,445

Total U.S. Treasury Obligations (Cost $108,346) ($ Thousands)				108,357


EXCHANGE TRADED FUND — 0.3%
SPDR S&P 500 Trust(A) (A)		148,017		19,966

Total Exchange Traded Fund (Cost $20,000) ($ Thousands)				19,966

Total Investments — 104.6% (Cost $7,121,663) ($ Thousands)			$	8,130,125

A summary of the open futures contracts held by the Fund at May 31, 2011, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
S&P 500 Index EMINI		464		Jun-2011	$	974
S&P 500 Index E-MINI		1,543		Jun-2011		(171	)
S&P Composite Index		2,925		Jun-2011		24,446

					$	25,249

Percentages are based on a Net Assets of $7,773,980 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2011.

†

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 May 31, 2011. The total value of securities on loan at May 31, 2011 was $371,687 ($ 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 May 31, 2011 was 370,939 ($ 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

S&P — Standard & Poor’s

Ser — Series

SPDR — Standard & Poor’s Depository Receipts

The following is a summary of the inputs used as of May 31, 2011, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	6,593,297	$	—	$	—	$	6,593,297
Affiliated Partnerships		782,193		370,939		—		1,153,132
Cash Equivalent		255,373		—		—		255,373
U.S. Treasury Obligations		—		108,357		—		108,357
Exchange Traded Fund		19,966		—		—		19,966

Total Investments in Securities	$	7,650,829	$	479,296	$	—	$	8,130,125


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *	$	25,249	$	—	$	—	$	25,249

Total Other Financial Instruments	$	25,249	$	—	$	—	$	25,249

Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2011, there were 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 Note 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.


6		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Large Cap Index Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 97.0%

Consumer Discretionary — 10.9%
Aaron’s		2,700	$	76
Abercrombie & Fitch, Cl A (A)		4,802		364
Advance Auto Parts		4,708		292
Aeropostale*		3,600		68
Amazon.com*		18,789		3,696
American Eagle Outfitters		8,871		118
Apollo Group, Cl A*		6,964		286
Autoliv (A)		4,818		371
AutoNation* (A)		2,832		99
AutoZone*		1,407		414
Bally Technologies* (A)		1,600		63
Bed Bath & Beyond*		13,415		723
Best Buy		17,947		570
Big Lots*		3,300		110
BorgWarner* (A)		5,782		419
Brinker International		4,483		116
Cablevision Systems, Cl A		13,142		467
Career Education* (A)		3,259		70
Carmax*		11,760		349
Carnival		23,800		924
CBS, Cl B		37,069		1,036
Central European Media Enterprises, Cl A* (A)		1,800		39
Chico’s FAS		8,600		130
Chipotle Mexican Grill, Cl A* (A)		1,700		491
Choice Hotels International (A)		1,484		53
Clear Channel Outdoor Holdings, Cl A*		700		10
Coach		16,567		1,055
Comcast, Cl A		150,725		3,804
Darden Restaurants		7,622		386
DeVry		2,900		156
Dick’s Sporting Goods*		5,158		205
DIRECTV, Cl A*		41,629		2,092
Discovery Communications, Cl A* (A)		14,700		640
DISH Network, Cl A*		10,962		332
Dollar General*		3,000		105
Dollar Tree*		6,629		423
DR Horton		12,868		157
DreamWorks Animation SKG, Cl A*		3,434		82
Education Management* (A)		1,500		32
Expedia (A)		11,734		329
Family Dollar Stores		6,562		366
Federal Mogul, Cl A*		1,500		35
Foot Locker		9,569		239
Ford Motor*		196,784		2,936
Fortune Brands		7,820		506
Fossil*		2,900		307
GameStop, Cl A* (A)		8,700		243
Gannett		11,359		162
Gap (A)		21,859		424
Garmin (A)		6,600		225
Gentex		8,032		236
Genuine Parts		8,871		486
Goodyear Tire & Rubber*		14,752		262
Guess?		2,900		132
H&R Block (A)		17,525		284
Hanesbrands*		4,143		125


Description	Shares		Market Value ($ Thousands)

Harley-Davidson		12,003	$	446
Harman International Industries		4,068		195
Hasbro		6,967		319
Hillenbrand		2,824		64
Home Depot		85,915		3,117
Hyatt Hotels, Cl A*		2,100		94
International Game Technology		15,643		270
International Speedway, Cl A		1,512		43
Interpublic Group		26,775		319
ITT Educational Services* (A)		1,121		77
J.C. Penney		12,251		434
Jarden		4,300		151
John Wiley & Sons, Cl A		1,842		98
Johnson Controls		36,345		1,439
KB Home (A)		3,380		41
Kohl’s		15,819		842
Lamar Advertising, Cl A*		2,540		74
Las Vegas Sands*		18,993		789
Lear		5,700		290
Leggett & Platt		8,719		225
Lennar, Cl A (A)		7,230		137
Liberty Global, Cl A* (A)		12,071		544
Liberty Media - Capital, Ser A*		3,792		346
Liberty Media - Interactive, Cl A*		30,647		558
Liberty Media - Starz, Ser A*		2,436		186
Limited Brands		13,757		550
LKQ*		6,800		181
Lowe’s		71,210		1,719
Macy’s		21,530		622
Madison Square Garden, Cl A*		2,860		79
Marriott International, Cl A (A)		13,887		525
Mattel		20,142		531
McDonald’s		57,580		4,695
McGraw-Hill		17,639		749
MDC Holdings		1,516		41
Meredith (A)		1,358		43
MGM Resorts International* (A)		17,439		263
Mohawk Industries* (A)		3,266		217
Morningstar (A)		900		54
NetFlix* (A)		2,300		623
New York Times, Cl A* (A)		4,824		39
Newell Rubbermaid		15,565		277
News, Cl A		122,885		2,254
NIKE, Cl B		19,448		1,642
Nordstrom		8,812		413
NVR* (A)		324		242
Office Depot*		14,189		60
Omnicom Group		14,544		680
O’Reilly Automotive*		7,140		429
Panera Bread, Cl A*		1,562		195
Penn National Gaming*		2,989		121
PetSmart		6,573		298
Phillips-Van Heusen		3,000		198
Polo Ralph Lauren, Cl A		2,980		378
priceline.com*		2,600		1,339
Pulte Homes*		15,545		131
RadioShack		5,571		88
Regal Entertainment Group, Cl A (A)		4,188		57
Ross Stores		6,771		555
Royal Caribbean Cruises* (A)		7,500		292
Scripps Networks Interactive, Cl A		5,372		271


1		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Large Cap Index Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Sears Holdings* (A)		2,528	$	179
Service International		11,194		129
Signet Jewelers*		5,200		239
Sirius XM Radio* (A)		217,000		510
Staples		39,864		670
Starbucks		40,206		1,479
Starwood Hotels & Resorts Worldwide		10,684		651
Strayer Education (A)		600		72
Target		37,385		1,852
Tempur-Pedic International*		3,900		254
Thomson Reuters (A)		20,400		795
Thor Industries (A)		1,900		61
Tiffany (A)		7,025		531
Time Warner		61,279		2,232
Time Warner Cable, Cl A		19,184		1,481
TJX		22,154		1,175
Toll Brothers*		9,151		199
Tractor Supply		4,200		265
TRW Automotive Holdings*		4,493		255
Tupperware Brands		3,600		236
Urban Outfitters*		6,520		199
VF (A)		4,917		490
Viacom, Cl B		32,769		1,652
Virgin Media (A)		18,320		598
Walt Disney		104,872		4,366
Washington Post, Cl B (A)		257		105
Weight Watchers International		1,662		134
Wendy’s, Cl A		11,100		56
Whirlpool (A)		3,887		326
Williams-Sonoma		5,662		222
WMS Industries*		2,600		82
Wyndham Worldwide		9,868		343
Wynn Resorts		4,196		615
Yum! Brands		25,248		1,397

				83,919


Consumer Staples — 9.6%
Altria Group		111,768		3,136
Archer-Daniels-Midland		34,779		1,127
Avon Products		24,106		716
BJ’s Wholesale Club*		2,672		135
Brown-Forman, Cl B		5,518		400
Bunge		7,300		543
Campbell Soup (A)		9,778		340
Central European Distribution* (A)		3,100		39
Church & Dwight (A)		4,032		339
Clorox (A)		7,203		508
Coca-Cola		113,820		7,604
Coca-Cola Enterprises		17,415		503
Colgate-Palmolive 1		26,375		2,309
ConAgra Foods		22,686		577
Constellation Brands, Cl A*		10,531		231
Corn Products International		4,200		238
Costco Wholesale		23,681		1,953
CVS Caremark		73,052		2,827
Dean Foods*		8,087		112
Dr. Pepper Snapple Group		12,600		519
Energizer Holdings*		3,641		280
Estee Lauder, Cl A		5,654		579
Flowers Foods (A)		4,700		157
General Mills		35,892		1,427


Description	Shares		Market Value ($ Thousands)

Green Mountain Coffee Roasters* (A)		6,200	$	511
Hansen Natural*		3,500		251
Herbalife		6,800		383
Hershey		7,998		446
HJ Heinz		17,237		947
Hormel Foods		7,778		228
JM Smucker		6,111		484
Kellogg		14,403		821
Kimberly-Clark		22,318		1,524
Kraft Foods, Cl A		86,115		3,011
Kroger		35,173		873
Lorillard		8,350		963
McCormick		7,093		356
Mead Johnson Nutrition, Cl A		11,486		779
Molson Coors Brewing, Cl B		6,962		325
PepsiCo		87,252		6,205
Philip Morris International		100,068		7,180
Procter & Gamble		155,474		10,417
Ralcorp Holdings*		3,100		273
Reynolds American		17,320		689
Safeway		19,320		477
Sara Lee		32,051		627
Smithfield Foods*		5,975		125
SUPERVALU (A)		13,089		134
Sysco (A)		32,248		1,039
Tyson Foods, Cl A		16,865		321
Walgreen		49,825		2,174
Wal-Mart Stores		103,679		5,725
Whole Foods Market (A)		7,752		474

				74,361


Energy — 11.9%
Alpha Natural Resources* (A)		6,768		371
Anadarko Petroleum		26,640		2,118
Apache		20,459		2,549
Arch Coal		8,912		266
Atlas Energy		1,560		39
Atwood Oceanics* (A)		2,800		121
Baker Hughes		23,140		1,711
Cabot Oil & Gas		6,100		358
Cameron International*		13,744		655
Chesapeake Energy		35,266		1,105
Chevron		108,402		11,373
Cimarex Energy		4,300		413
Cobalt International Energy*		4,300		62
Comstock Resources*		2,400		72
Concho Resources*		5,200		492
ConocoPhillips		75,776		5,548
Consol Energy		12,744		653
Continental Resources* (A)		1,600		106
Core Laboratories (A)		2,500		257
Denbury Resources* (A)		20,424		449
Devon Energy		24,013		2,019
Diamond Offshore Drilling (A)		4,109		303
Dresser-Rand Group* (A)		3,834		202
El Paso		41,803		880
Energen		3,337		208
EOG Resources (A)		14,445		1,577
EQT		8,266		448
EXCO Resources		6,800		137
Exterran Holdings* (A)		2,900		62
Exxon Mobil		274,742		22,933


2		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Large Cap Index Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

FMC Technologies* (A)		13,920	$	621
Forest Oil*		6,514		195
Frontier Oil		4,600		137
Frontline (A)		2,200		41
Halliburton		48,797		2,447
Helmerich & Payne		4,950		310
Hess		16,112		1,273
Holly		2,000		125
Marathon Oil		38,176		2,068
Massey Energy (A)		5,461		360
McDermott International*		12,300		261
Murphy Oil		10,454		720
Nabors Industries*		14,700		410
National Oilwell Varco		22,580		1,639
Newfield Exploration*		6,799		507
Noble Energy		9,562		891
Occidental Petroleum		43,454		4,687
Oceaneering International		3,000		244
Oil States International*		2,900		229
Patterson-UTI Energy		8,832		277
Peabody Energy		14,674		900
PetroHawk Energy*		15,800		418
Pioneer Natural Resources		5,944		546
Plains Exploration & Production*		7,591		280
QEP Resources		9,146		398
Quicksilver Resources*		5,102		73
Range Resources		8,839		494
Rowan*		7,186		285
SandRidge Energy* (A)		17,000		192
Schlumberger		73,866		6,332
SEACOR Holdings		900		90
SM Energy		3,600		239
Southern Union		7,268		220
Southwestern Energy*		18,876		826
Spectra Energy		35,209		971
Sunoco		5,656		229
Superior Energy Services*		3,500		131
Teekay		2,100		71
Tesoro* (A)		6,846		167
Tidewater		2,170		119
Ultra Petroleum*		8,500		413
Unit*		2,227		128
Valero Energy		30,836		848
Weatherford International* (A)		40,400		799
Whiting Petroleum* (A)		6,000		403
Williams		31,746		997

				91,498


Financials — 14.8%
ACE		18,300		1,259
Affiliated Managers Group*		2,833		299
Aflac		25,356		1,212
Alexandria Real Estate Equities‡		3,200		264
Alleghany*		446		149
Allied World Assurance Holdings		2,100		127
Allstate		29,225		917
AMB Property‡		9,444		349
American Express		56,334		2,907
American Financial Group		3,714		132
American International Group*		7,023		200
American National Insurance		222		18
Ameriprise Financial		14,000		857
Annaly Capital Management‡ (A)		44,311		803


Description		Shares		Market Value ($ Thousands)

AON	��		17,844	$	931
Apartment Investment & Management, Cl A‡			6,399		171
Arch Capital Group*			7,800		263
Ares Capital (A)			11,889		200
Arthur J Gallagher			4,804		138
Aspen Insurance Holdings			3,700		99
Associated Banc (A)			10,584		149
Assurant			5,093		188
Assured Guaranty			8,700		148
AvalonBay Communities‡ (A)			4,841		644
Axis Capital Holdings			6,900		227
Bancorpsouth (A)			3,600		46
Bank of America			542,618		6,376
Bank of Hawaii (A)			1,982		94
Bank of New York Mellon			65,309		1,836
BB&T (A)			37,606		1,036
Berkshire Hathaway, Cl B*			93,500		7,393
BlackRock, Cl A			5,085		1,045
BOK Financial (A)			775		41
Boston Properties‡			7,584		822
Brandywine Realty Trust‡			6,600		84
BRE Properties‡			4,320		220
Brown & Brown			6,824		180
Camden Property Trust‡			3,747		241
Capital One Financial			24,725		1,344
CapitalSource			19,982		129
Capitol Federal Financial			2,324		28
CB Richard Ellis Group, Cl A*			14,817		392
Charles Schwab (A)			53,785		969
Chimera Investment‡ (A)			48,000		188
Chubb			16,518		1,083
Cincinnati Financial (A)			8,186		249
CIT Group*			11,100		492
Citigroup			113,204		4,658
City National (A)			2,738		154
CME Group, Cl A			3,574		1,021
CNA Financial			1,700		52
Comerica			9,353		338
Commerce Bancshares			3,378		144
CommonWealth‡			2,825		74
CommonWealth REIT*			50,000		—
Corporate Office Properties Trust‡ (A)			4,700		167
Cullen/Frost Bankers			2,368		138
Developers Diversified Realty‡ (A)			12,000		174
Digital Realty Trust‡ (A)			5,400		337
Discover Financial Services			29,789		710
Douglas Emmett‡			5,400		114
Duke Realty‡			14,709		221
ETrade Financial			12,900		204
East West Bancorp			8,700		175
Eaton Vance			5,310		167
Endurance Specialty Holdings			1,400		57
Equity Residential‡			15,387		951
Erie Indemnity, Cl A			1,119		80
Essex Property Trust‡			1,869		257
Everest Re Group			3,100		276
Federal Realty Investment Trust ‡			3,196		280
Federated Investors, Cl B (A)			3,658		94
Fidelity National Financial, Cl A			10,604		169
Fifth Third Bancorp			46,982		614
First Citizens BancShares, Cl A			300		59


3		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Large Cap Index Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

First Horizon National (A)		11,356	$	119
First Niagara Financial Group		17,500		248
Forest City Enterprises, Cl A* (A)		8,842		170
Franklin Resources		8,103		1,050
Fulton Financial		8,095		90
General Growth Properties‡ (A)		22,353		368
Genworth Financial, Cl A*		25,792		287
Goldman Sachs Group		27,575		3,881
Greenhill (A)		1,200		67
Hanover Insurance Group		2,193		90
Hartford Financial Services Group		22,810		608
HCC Insurance Holdings		6,741		223
HCP‡		21,874		830
Health Care REIT‡ (A)		9,083		483
Hospitality Properties Trust‡		7,466		184
Host Hotels & Resorts‡		37,140		653
Howard Hughes*		1,873		143
Hudson City Bancorp		25,028		228
Huntington Bancshares		48,834		322
Interactive Brokers Group, Cl A (A)		2,200		38
IntercontinentalExchange*		3,800		458
Invesco		26,400		651
Janus Capital Group		6,865		71
Jefferies Group		5,414		120
Jones Lang LaSalle		2,400		233
JPMorgan Chase		214,834		9,289
Keycorp		52,895		448
Kimco Realty‡		21,644		422
Lazard, Cl A		5,400		210
Legg Mason		8,581		290
Leucadia National		10,420		370
Liberty Property Trust‡		6,906		249
Lincoln National		16,788		493
Loews		17,236		724
LPL Investment Holdings*		700		25
M&T Bank		4,134		365
Macerich‡ (A)		6,711		365
Mack-Cali Realty‡		3,798		134
Markel*		450		186
Marsh & McLennan		29,465		904
Marshall & Ilsley		29,960		240
MBIA* (A)		6,559		58
Mercury General		1,196		50
MetLife		37,709		1,663
Moody’s (A)		10,827		432
Morgan Stanley		81,378		1,966
MSCI, Cl A*		6,400		242
NASDAQ OMX Group*		5,400		138
Nationwide Health Properties‡		6,800		298
New York Community Bancorp (A)		22,772		369
Northern Trust		13,605		664
NYSE Euronext		13,400		488
Old Republic International		12,190		152
OneBeacon Insurance Group, Cl A		1,100		17
PartnerRe		3,400		254
People’s United Financial (A)		20,134		269
Piedmont Office Realty Trust, Cl A‡ (A)		2,700		56
Plum Creek Timber‡ (A)		8,521		345
PNC Financial Services Group		28,322		1,768


Description	Shares		Market Value ($ Thousands)

Popular*		48,330	$	140
Principal Financial Group		16,218		507
Progressive		36,680		794
ProLogis‡		29,288		485
Protective Life		3,509		85
Prudential Financial		25,063		1,599
Public Storage‡		7,668		908
Raymond James Financial (A)		5,821		208
Rayonier‡		4,603		306
Realty Income‡ (A)		6,000		211
Regency Centers‡ (A)		4,808		223
Regions Financial		64,587		456
Reinsurance Group of America, Cl A		4,199		267
RenaissanceRe Holdings		3,200		230
SEI† (B)		8,542		202
Senior Housing Properties Trust‡		8,300		201
Simon Property Group‡		15,781		1,863
SL Green Realty‡ (A)		4,068		366
SLM		29,314		499
St. Joe* (A)		3,961		86
StanCorp Financial Group (A)		2,042		88
State Street		27,194		1,245
SunTrust Banks		29,246		823
Symetra Financial		2,500		34
Synovus Financial (A)		38,472		92
T. Rowe Price Group		14,180		898
Taubman Centers‡		3,200		194
TCF Financial (A)		6,301		95
TD Ameritrade Holding		13,045		281
TFS Financial		3,700		38
Torchmark		3,750		249
Transatlantic Holdings		3,555		165
Travelers		23,444		1,455
UDR‡		10,293		268
Unitrin		2,460		73
Unum Group		17,205		453
US Bancorp		102,943		2,635
Validus Holdings (A)		3,726		120
Valley National Bancorp (A)		8,411		114
Ventas‡ (A)		8,144		459
Vornado Realty Trust‡		8,836		869
Waddell & Reed Financial, Cl A		4,100		158
Washington Federal		4,063		65
Weingarten Realty Investors‡ (A)		7,167		191
Wells Fargo		263,066		7,463
Wesco Financial		41		16
Weyerhaeuser‡		27,392		590
White Mountains Insurance Group		347		142
WR Berkley		7,014		232
XL Group, Cl A		17,200		407
Zions Bancorporation (A)		9,702		231

				113,961


Health Care — 11.3%
Abbott Laboratories		82,676		4,320
Aetna		21,834		954
Agilent Technologies*		18,964		946
Alere* (A)		5,300		212
Alexion Pharmaceuticals*		10,000		474
Allergan		16,496		1,365
Allscripts Healthcare Solutions*		5,600		113


4		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Large Cap Index Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

AmerisourceBergen		14,624	$	603
Amgen*		51,367		3,110
Amylin Pharmaceuticals* (A)		6,100		85
Baxter International		32,175		1,915
Beckman Coulter		2,812		234
Becton Dickinson		12,044		1,054
Biogen Idec*		13,100		1,241
BioMarin Pharmaceutical*		6,200		175
Bio-Rad Laboratories, Cl A*		1,200		149
Boston Scientific*		78,939		567
Bristol-Myers Squibb		92,361		2,656
Brookdale Senior Living, Cl A*		3,600		93
C.R. Bard (A)		4,785		535
Cardinal Health		19,729		896
CareFusion*		9,764		283
Celgene*		24,980		1,522
Cephalon*		4,248		338
Cerner* (A)		3,574		429
Charles River Laboratories International* (A)		2,843		110
CIGNA		14,255		711
Community Health Systems*		4,062		116
Cooper (A)		2,204		165
Covance* (A)		3,036		179
Coventry Health Care*		8,462		298
Covidien		27,100		1,491
DaVita*		5,408		454
Dendreon*		7,800		331
Dentsply International		8,098		318
Edwards Lifesciences*		6,314		560
Eli Lilly		54,761		2,107
Emdeon, Cl A*		1,900		29
Endo Pharmaceuticals Holdings*		5,497		229
Express Scripts*		29,544		1,760
Forest Laboratories*		14,673		529
Gen-Probe*		3,027		248
Gilead Sciences*		42,850		1,789
Health Management Associates, Cl A*		12,422		142
Health Net*		4,702		151
Henry Schein*		4,984		358
Hill-Rom Holdings		2,724		124
Hologic*		14,700		316
Hospira*		8,481		469
Human Genome Sciences* (A)		10,200		279
Humana		8,775		707
Idexx Laboratories* (A)		3,152		248
Illumina* (A)		7,100		512
Intuitive Surgical*		2,200		768
Johnson & Johnson		148,909		10,020
Kinetic Concepts*		3,913		232
Laboratory Corp of America Holdings*		5,311		535
Life Technologies*		9,370		487
LifePoint Hospitals*		2,376		100
Lincare Holdings (A)		4,540		138
McKesson		13,766		1,178
Medco Health Solutions*		21,920		1,312
Mednax*		2,900		218
Medtronic		59,185		2,409
Merck		168,643		6,198
Mettler Toledo International*		1,936		324
Mylan Laboratories*		22,219		523


Description	Shares		Market Value ($ Thousands)

Myriad Genetics*		4,500	$	114
Omnicare (A)		5,431		171
Patterson		4,783		165
PerkinElmer		5,634		156
Perrigo (A)		4,500		385
Pfizer		435,680		9,345
Pharmaceutical Product Development		5,684		164
Quest Diagnostics		7,244		423
Regeneron Pharmaceuticals* (A)		3,300		198
ResMed* (A)		8,710		280
St. Jude Medical		17,946		909
Stryker		17,104		1,067
SXC Health Solutions*		3,800		224
Talecris Biotherapeutics Holdings*		2,700		78
Techne		2,341		191
Teleflex (A)		1,740		108
Tenet Healthcare*		26,294		168
Thermo Fisher Scientific*		22,225		1,454
Thoratec* (A)		2,100		73
United Therapeutics* (A)		2,200		142
UnitedHealth Group		57,929		2,836
Universal Health Services, Cl B		4,276		233
Varian Medical Systems*		6,430		434
VCA Antech*		3,539		86
Vertex Pharmaceuticals* (A)		10,400		561
Warner Chilcott, Cl A		6,100		147
Waters*		4,872		480
Watson Pharmaceuticals* (A)		6,018		387
WellPoint		20,231		1,581
Zimmer Holdings*		10,825		734

				86,735


Industrials — 11.0%
3M		38,246		3,610
Aecom Technology*		4,800		138
AGCO*		5,300		274
Alexander & Baldwin		1,782		88
Alliant Techsystems		1,436		103
Ametek		8,420		366
AMR* (A)		22,586		142
Armstrong World Industries		700		34
Avery Dennison		6,310		267
Babcock & Wilcox*		6,750		189
BE Aerospace*		5,600		210
Boeing		40,691		3,175
Bucyrus International, Cl A		4,200		386
C.H. Robinson Worldwide (A)		9,086		729
Carlisle		2,666		130
Caterpillar		33,688		3,564
Chicago Bridge & Iron		4,800		183
Cintas (A)		6,157		202
CNH Global*		1,100		47
Con-way		2,223		88
Cooper Industries, Cl A		8,500		534
Copa Holdings, Cl A		1,100		69
Copart*		2,909		137
Corrections Corp of America*		4,700		108
Covanta Holding		6,200		105
Crane		2,400		118
CSX		19,932		1,581
Cummins		10,812		1,138


5		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Large Cap Index Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Danaher		28,702	$	1,565
Deere		22,818		1,964
Delta Air Lines*		46,400		468
Donaldson		3,672		219
Dover		9,657		649
Dun & Bradstreet		2,856		229
Eaton		18,252		943
Emerson Electric		40,520		2,210
Equifax		7,256		274
Expeditors International of Washington		11,048		583
Fastenal (A)		13,924		462
FedEx		16,944		1,587
Flowserve		2,900		352
Fluor		10,008		690
FTI Consulting*		2,400		92
Gardner Denver		3,000		251
GATX		2,100		83
General Cable* (A)		2,500		104
General Dynamics		18,672		1,386
General Electric		576,323		11,319
Goodrich		6,392		558
Graco		2,624		133
Harsco		3,470		116
Hertz Global Holdings*		11,400		184
Honeywell International		41,190		2,453
Hubbell, Cl B		2,792		185
Huntington Ingalls Industries*		2,096		77
IDEX		4,993		226
IHS, Cl A*		2,900		254
Illinois Tool Works		23,780		1,363
Ingersoll-Rand		17,500		873
Iron Mountain (A)		9,763		332
ITT		9,302		536
Jacobs Engineering Group*		6,602		304
JB Hunt Transport Services		5,272		242
Joy Global		5,233		469
Kansas City Southern* (A)		5,800		341
KAR Auction Services*		2,100		44
KBR		8,884		331
Kennametal		5,100		213
Kirby*		2,300		132
L-3 Communications Holdings, Cl 3		5,977		488
Landstar System		2,165		102
Lennox International		2,300		107
Lincoln Electric Holdings		2,500		187
Lockheed Martin		15,629		1,217
Manitowoc		5,700		103
Manpower		4,684		286
Masco (A)		19,509		278
MSC Industrial Direct, Cl A		2,620		182
Navistar International*		3,700		244
Nielsen Holdings*		3,500		110
Norfolk Southern		20,033		1,469
Northrop Grumman (A)		16,378		1,069
Oshkosh Truck*		4,259		118
Owens Corning*		6,600		252
Paccar		19,770		989
Pall		6,145		345
Parker Hannifin		8,804		782
Pentair		5,661		229
Pitney Bowes (A)		11,185		267


Description	Shares		Market Value ($ Thousands)

Precision Castparts		7,746	$	1,217
Quanta Services* (A)		12,100		239
Raytheon		19,568		986
Regal-Beloit		2,300		159
Republic Services, Cl A		16,642		525
Robert Half International (A)		6,876		190
Rockwell Automation		7,304		607
Rockwell Collins		8,262		505
Roper Industries		4,900		409
RR Donnelley & Sons (A)		9,677		207
Ryder System		3,206		176
Shaw Group*		5,000		183
Snap-On		3,391		205
Southwest Airlines		44,920		531
Spirit Aerosystems Holdings, Cl A*		4,700		103
SPX		2,911		241
Stanley Black & Decker		8,193		605
Stericycle*		4,726		421
Terex*		6,348		188
Textron (A)		15,322		350
Thomas & Betts*		3,167		174
Timken		4,960		256
Toro		1,560		100
Towers Watson, Cl A		2,100		134
TransDigm Group*		2,600		213
Trinity Industries (A)		3,500		120
Tyco International		25,900		1,278
Union Pacific		27,216		2,857
United Continental Holdings* (A)		16,500		398
United Parcel Service, Cl B		38,341		2,818
United Technologies		49,966		4,385
URS*		4,500		198
USG* (A)		2,298		33
UTi Worldwide		5,100		113
Valmont Industries		1,000		100
Verisk Analytics, Cl A*		4,500		153
WABCO Holdings*		3,024		207
Wabtec		2,300		156
Waste Connections (A)		6,850		215
Waste Management (A)		26,194		1,018
WESCO International* (A)		2,000		111
WW Grainger		3,281		496

				84,915


Information Technology — 17.2%
Accenture, Cl A		32,900		1,888
Activision Blizzard		28,656		344
Adobe Systems*		28,602		991
Advanced Micro Devices* (A)		34,134		296
Akamai Technologies*		9,618		326
Alliance Data Systems* (A)		2,912		274
Altera (A)		17,473		840
Amdocs*		10,900		332
Amphenol, Cl A		8,892		481
Analog Devices		15,412		635
Ansys*		5,200		298
AOL*		5,034		104
Apple*		49,023		17,052
Applied Materials		72,855		1,004
Arrow Electronics*		6,589		294
Atmel*		24,400		366
Autodesk*		11,737		505


6		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Large Cap Index Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Automatic Data Processing		27,192	$	1,499
Avago Technologies		6,200		210
Avnet*		8,210		297
AVX		1,424		22
BMC Software*		9,389		524
Broadcom, Cl A		29,268		1,053
Broadridge Financial Solutions		7,573		173
Brocade Communications Systems*		28,000		187
CA		21,538		504
Cadence Design Systems*		13,063		140
Ciena* (A)		4,114		110
Cisco Systems		305,627		5,134
Citrix Systems*		10,387		910
Cognizant Technology Solutions, Cl A*		16,188		1,231
Computer Sciences		8,064		322
Compuware*		9,351		95
Convergys*		3,369		43
CoreLogic		4,584		83
Corning		84,158		1,696
Cree* (A)		6,022		264
Cypress Semiconductor		10,200		239
Dell*		91,943		1,478
Diebold		2,729		90
Dolby Laboratories, Cl A* (A)		2,143		100
DST Systems		1,695		85
eBay*		61,911		1,930
EchoStar, Cl A*		2,132		72
Electronic Arts*		17,465		426
EMC* (A)		110,264		3,139
Equinix* (A)		2,600		264
F5 Networks*		4,138		470
Factset Research Systems (A)		2,700		299
Fairchild Semiconductor International, Cl A*		7,600		137
Fidelity National Information Services		14,690		473
First Solar* (A)		2,900		360
Fiserv*		7,769		501
FLIR Systems (A)		8,700		315
Gartner*		3,600		140
Genpact*		3,100		50
Global Payments		3,734		194
Google, Cl A*		13,144		6,953
Harris		6,889		341
Hewlett-Packard		117,301		4,385
IAC*		3,532		130
Informatica*		6,000		352
Ingram Micro, Cl A*		7,023		134
Intel		300,858		6,772
International Business Machines		65,398		11,048
International Rectifier*		3,355		97
Intersil, Cl A (A)		5,361		77
Intuit*		15,286		825
Itron*		1,900		97
Jabil Circuit		8,474		183
JDS Uniphase*		10,140		205
Juniper Networks* (A)		28,525		1,044
Kla-Tencor		8,809		380
Lam Research*		6,691		314
Lender Processing Services		3,614		96
Lexmark International, Cl A*		4,286		128


Description	Shares		Market Value ($ Thousands)

Linear Technology		11,657	$	403
LSI*		35,248		264
Marvell Technology Group*		30,100		489
Mastercard, Cl A		5,300		1,521
Maxim Integrated Products		16,100		439
MEMC Electronic Materials*		10,338		109
Microchip Technology (A)		9,722		384
Micron Technology*		43,816		447
Micros Systems*		4,900		250
Microsoft		413,500		10,342
Molex (A)		6,370		174
Monster Worldwide*		5,218		81
Motorola Mobility Holdings*		15,266		384
Motorola Solutions*		18,133		868
National Instruments		3,804		111
National Semiconductor		12,956		318
NCR*		10,189		199
NetApp*		19,955		1,093
NeuStar, Cl A*		3,600		96
Novellus Systems* (A)		4,977		181
Nuance Communications*		13,000		286
Nvidia*		29,156		584
ON Semiconductor*		24,800		278
Oracle		205,967		7,048
Paychex		16,407		530
PMC - Sierra*		10,900		85
Polycom*		4,000		230
QLogic*		3,880		63
Qualcomm		87,750		5,141
Rambus* (A)		4,500		66
Red Hat*		9,727		424
Rovi* (A)		5,700		330
SAIC*		16,400		288
Salesforce.com*		6,238		950
SanDisk*		11,743		558
Seagate Technology		25,200		423
Silicon Laboratories* (A)		2,200		95
Skyworks Solutions*		10,100		257
Solera Holdings		4,100		242
SunPower, Cl A* (A)		4,400		93
Symantec*		43,548		851
Synopsys*		6,882		188
Tech Data*		2,250		107
Tellabs		17,289		79
Teradata*		9,289		518
Teradyne* (A)		8,663		139
Texas Instruments		65,708		2,319
Total System Services		6,991		130
Trimble Navigation*		6,814		298
Varian Semiconductor Equipment Associates*		4,500		276
VeriSign		9,285		325
Visa, Cl A		25,100		2,035
Vishay Intertechnology*		7,150		113
Vishay Precision Group*		682		12
VistaPrint* (A)		2,700		133
VMware, Cl A*		4,000		389
WebMD Health, Cl A*		3,510		167
Western Digital*		12,730		466
Western Union		34,328		706
Xerox		75,396		770
Xilinx		14,357		512
Yahoo!*		70,581		1,168


7		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Large Cap Index Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Zebra Technologies, Cl A*		3,625	$	161

				132,836


Materials — 4.0%
Air Products & Chemicals		11,494		1,093
Airgas		4,715		326
AK Steel Holding (A)		5,300		81
Albemarle		4,744		336
Alcoa (A)		55,602		935
Allegheny Technologies (A)		5,497		368
Aptargroup		4,000		214
Ashland		4,476		306
Ball		9,550		377
Bemis		6,774		224
Cabot		3,873		164
Carpenter Technology		2,700		142
Celanese, Cl A		8,783		458
CF Industries Holdings		3,966		610
Cliffs Natural Resources		7,400		671
Commercial Metals		4,900		73
Compass Minerals International (A)		2,000		186
Crown Holdings*		9,151		372
Cytec Industries		2,381		134
Domtar		2,500		256
Dow Chemical		62,070		2,243
E.I. Du Pont de Nemours		48,692		2,595
Eagle Materials		2,000		58
Eastman Chemical		4,042		428
Ecolab (A)		11,991		658
FMC		3,860		326
Freeport-McMoRan Copper & Gold, Cl B		50,424		2,604
Greif, Cl A		1,500		99
Huntsman		8,329		158
International Flavors & Fragrances		4,391		281
International Paper		23,955		748
Intrepid Potash* (A)		1,500		48
Lubrizol		3,334		448
Martin Marietta Materials (A)		2,663		228
MeadWestvaco		10,058		342
Monsanto		29,350		2,085
Mosaic		8,078		572
Nalco Holding		7,617		217
Newmont Mining		25,733		1,456
Nucor		17,190		728
Owens-Illinois*		9,491		305
Packaging Corp of America		4,599		134
PPG Industries		9,123		809
Praxair		16,525		1,749
Reliance Steel & Aluminum		4,100		211
Royal Gold (A)		3,200		198
RPM International		6,269		147
Schnitzer Steel Industries, Cl A		1,000		59
Scotts Miracle-Gro, Cl A		2,006		116
Sealed Air		8,868		228
Sherwin-Williams (A)		5,137		451
Sigma-Aldrich		6,348		446
Sonoco Products		5,846		207
Southern Copper		9,148		316
Steel Dynamics		12,100		207
Temple-Inland		6,575		156


Description	Shares		Market Value ($ Thousands)

Titanium Metals		3,358	$	63
United States Steel (A)		7,483		345
Valspar		5,764		222
Vulcan Materials (A)		7,257		294
Walter Industries		3,200		398

				30,709


Telecommunication Services — 2.9%
American Tower, Cl A*		21,922		1,216
AT&T		319,033		10,069
CenturyLink		31,854		1,376
Clearwire, Cl A* (A)		8,300		38
Crown Castle International*		16,296		675
Frontier Communications (A)		51,195		453
Leap Wireless International*		2,900		49
Level 3 Communications* (A)		84,300		193
MetroPCS Communications* (A)		11,800		211
NII Holdings*		9,420		411
SBA Communications, Cl A*		6,700		263
Sprint Nextel*		163,644		958
Telephone & Data Systems		3,602		118
tw telecom, Cl A* (A)		9,000		195
US Cellular*		831		41
Verizon Communications		153,015		5,651
Windstream		28,747		386

				22,303


Utilities — 3.4%
AES*		37,224		482
AGL Resources		4,647		191
Alliant Energy		6,176		254
Ameren		12,590		374
American Electric Power		26,050		995
American Water Works		9,500		285
Aqua America (A)		5,877		134
Atmos Energy		5,591		187
Calpine*		19,100		302
Centerpoint Energy		22,015		426
CMS Energy (A)		14,042		280
Consolidated Edison (A)		15,416		818
Constellation Energy Group		10,358		385
Dominion Resources (A)		32,212		1,537
DPL		5,446		164
DTE Energy		8,764		452
Duke Energy (A)		71,019		1,332
Edison International		18,279		719
Entergy		9,198		627
Exelon		35,629		1,491
FirstEnergy		22,727		1,014
GenOn Energy*		32,975		131
Great Plains Energy		6,471		137
Hawaiian Electric Industries (A)		3,746		93
Integrys Energy Group		4,502		236
ITC Holdings		2,900		210
MDU Resources Group		11,421		270
National Fuel Gas		4,189		302
NextEra Energy		22,473		1,302
NiSource (A)		16,421		333
Northeast Utilities		9,907		349
NRG Energy*		13,800		342
NSTAR		6,128		282
NV Energy		10,800		170
OGE Energy		5,568		284
Oneok		5,629		400


8		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Large Cap Index Fund

May 31, 2011


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
Ormat Technologies (A)		1,000	$	22
Pepco Holdings		13,544		271
PG&E		21,318		925
Pinnacle West Capital		6,192		280
PPL		31,526		889
Progress Energy		16,061		765
Public Service Enterprise Group		27,552		923
Questar		11,146		193
SCANA		6,520		265
Sempra Energy		13,823		763
Southern		44,503		1,784
TECO Energy		12,400		238
UGI		4,850		159
Vectren		3,491		98
Westar Energy (A)		5,300		144
Wisconsin Energy (A)		12,298		385
Xcel Energy		24,981		618

				26,012

Total Common Stock (Cost $531,441) ($ Thousands)				747,249


AFFILIATED PARTNERSHIP — 6.1%
SEI Liquidity Fund, L.P.
0.150%† ** (C)		47,159,058		46,540

Total Affiliated Partnership (Cost $47,159) ($ Thousands)				46,540


CASH EQUIVALENT — 2.5%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.050%†**		19,532,574		19,533

Total Cash Equivalent (Cost $19,533) ($ Thousands)				19,533


U.S. TREASURY OBLIGATIONS (D) (E) — 0.2%
U.S. Treasury Bills
0.045%, 07/07/11	$	878		878
0.025%, 08/25/11		700		700

Total U.S. Treasury Obligations (Cost $1,578) ($ Thousands)				1,578


	Number Of Warrants

WARRANT — 0.0%
American International Group, Expires 01/19/21		1		—

Total Warrant (Cost $—) ($ Thousands)				—


	Number Of Rights

RIGHTS — 0.0%

United States — 0.0%
Celgene, Expires		340		1

Total Rights (Cost $1) ($ Thousands)				1

Total Investments — 105.8% (Cost $599,712) ($ Thousands)			$	814,901

A summary of the open futures contracts held by the Fund at May 31, 2011, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
S&P 500 Index EMINI		311		Jun-2011	$	830
S&P Mid 400 Index E-MINI		28		Jun-2011		130

					$	960

Percentages are based on a Net Assets of $770,135 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2011.

†

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 May 31, 2011. The total value of securities on loan at May 31, 2011 was $46,383 ($ Thousands).

(B)

The Fund may purchase securities of certain companies with which it is affiliated to the extent these companies are represented in its benchmark index.

(C)

This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of May 31, 2011 was 46,540 ($ Thousands).

(D)

The rate reported is the effective yield at time of purchase.

(E)

Security, or a portion thereof, has been pledged as collateral on open futures contracts.

Cl — Class

L.P. — Limited Partnership

S&P — Standard & Poors

Ser — Series

The following is a summary of the inputs used as of May 31, 2011, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock		747,249		—		—		747,249
Affiliated Partnership		—		46,540		—		46,540
Cash Equivalent		19,533		—		—		19,533
U.S Treasury Obligations		—		1,578		—		1,578
Warrant		—		—		—		—
Rights		1		—		—		1

Total Investments in Securities	$	766,783	$	48,118	$	—	$	814,901


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	960	$	—	$	—	$	960

Total Other Financial Instruments	$	960	$	—	$	—	$	960

Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2011, there were 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 Note 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.


9		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Small Cap Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 97.3%

Consumer Discretionary — 12.9%
1-800-Flowers.com, Cl A*		2,244	$	7
AFC Enterprises*		17,493		290
American Axle & Manufacturing Holdings*		400		5
American Eagle Outfitters		61,450		815
American Greetings, Cl A (A)		30,100		722
American Public Education* (A)		66,267		2,901
Ameristar Casinos		34,060		765
ANN* (A)		24,977		703
Arbitron		6,300		269
Arctic Cat*		23,400		336
Ascent Media, Cl A*		900		43
Bebe Stores (A)		35,300		234
Belo, Cl A		104,530		830
Big Lots*		10,600		354
BJ’s Restaurants*		21,700		1,112
Blue Nile*		1,320		66
Blyth		5,675		259
Bob Evans Farms		17,200		539
Boyd Gaming* (A)		5,400		51
Bravo Brio Restaurant Group*		38,846		862
Bridgepoint Education* (A)		11,900		280
Brinker International (A)		31,400		809
Brown Shoe (A)		60,340		622
Brunswick (A)		12,706		275
Cabela’s* (A)		61,798		1,518
California Pizza Kitchen*		20,700		381
Callaway Golf (A)		89,072		603
Capella Education* (A)		3,100		150
Career Education* (A)		16,100		346
Carter’s*		14,300		453
Casual Male Retail Group* (A)		91,100		396
Cato, Cl A		46,300		1,260
Cheesecake Factory*		5,600		178
Chico’s FAS		25,415		383
Childrens Place Retail Stores*		14,400		724
Christopher & Banks		21,300		128
Coinstar* (A)		6,100		324
Cooper Tire & Rubber		57,785		1,396
Core-Mark Holding*		10,360		370
Cracker Barrel Old Country Store (A)		3,984		189
CROCS*		50,136		1,140
CSS Industries		7,600		140
Dana Holdings* (A)		24,040		436
Deckers Outdoor*		14,272		1,300
Denny’s* (A)		68,700		281
Destination Maternity		21,900		452
Dick’s Sporting Goods*		11,655		463
Dillard’s, Cl A (A)		2,705		152
Domino’s Pizza*		3,895		97
DreamWorks Animation SKG, Cl A*		1,800		43
DSW, Cl A*		2,784		140
Eastman Kodak* (A)		143,200		478
Entercom Communications, Cl A*		3,400		32
Ethan Allen Interiors (A)		29,011		675
EW Scripps, Cl A* (A)		6,500		56
Exide Technologies*		42,100		415


Description	Shares		Market Value ($ Thousands)

Express		12,000	$	253
Finish Line, Cl A (A)		35,500		819
Foot Locker		22,500		561
Fred’s, Cl A		35,200		512
Gaylord Entertainment* (A)		40,120		1,294
Gentex		22,700		666
Harman International Industries		6,300		302
Harte-Hanks (A)		4,500		37
hhgregg* (A)		41,133		636
Hibbett Sports*		4,400		183
HOT Topic		69,800		544
Hovnanian Enterprises, Cl A*		120		—
HSN*		6,900		243
Hyatt Hotels, Cl A*		8,250		368
International Speedway, Cl A		18,875		540
Jack in the Box*		31,400		697
Jakks Pacific* (A)		24,200		480
Jarden		32,000		1,121
Jones Group (A)		61,080		751
Journal Communications, Cl A*		56,700		306
Kirkland’s*		34,706		453
Lakeland Industries*		5,884		51
Lamar Advertising, Cl A*		500		15
La-Z-Boy, Cl Z*		31,600		350
Libbey*		62,900		996
Life Time Fitness* (A)		86,134		3,169
Lincoln Educational Services		51,400		752
Live Nation*		79,727		919
Liz Claiborne* (A)		8,300		54
Lumber Liquidators Holdings* (A)		19,600		529
M/I Homes*		2,700		34
Maidenform Brands*		31,100		937
Matthews International, Cl A		19,929		779
McClatchy, Cl A* (A)		25,600		77
MDC Partners, Cl A (A)		47,200		867
Men’s Wearhouse (A)		30,161		1,039
Meredith (A)		26,080		824
Meritage Homes* (A)		36,715		918
Monro Muffler Brake (A)		4,650		150
Morgans Hotel Group*		110,400		922
Morningstar (A)		9,000		544
National CineMedia		101,764		1,812
New Frontier Media*		108,100		169
NVR*		950		709
OfficeMax* (A)		58,500		489
Overstock.com*		1,196		17
Oxford Industries (A)		42,600		1,617
Pacific Sunwear of California*		43,691		139
Papa John’s International*		5,400		179
Penske Auto Group (A)		29,690		616
PEP Boys-Manny Moe & Jack (A)		41,386		588
PetMed Express (A)		103,000		1,319
PetSmart		18,480		837
PF Chang’s China Bistro (A)		6,700		271
Pier 1 Imports* (A)		58,000		691
Pinnacle Entertainment*		23,425		340
Polaris Industries (A)		7,300		806
Pool		7,700		233
Pre-Paid Legal Services* (A)		3,300		219
Quiksilver*		259,372		1,209
RadioShack (A)		26,000		410
ReachLocal* (A)		45,325		951


1		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Small Cap Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Regal Entertainment Group, Cl A (A)		56,000	$	759
Regis (A)		99,327		1,483
Rent-A-Center, Cl A		43,200		1,402
Ruby Tuesday* (A)		31,400		333
Ryland Group (A)		12,375		226
Saks* (A)		156,695		1,773
Scholastic (A)		28,600		779
Scientific Games, Cl A*		48,269		476
Sealy* (A)		855		2
Service International		33,300		382
Shuffle Master*		80,840		880
Shutterfly*		36,516		2,214
Sinclair Broadcast Group, Cl A		18,700		180
Skechers U.S.A., Cl A* (A)		40,100		701
Sotheby’s (A)		12,000		511
Stage Stores		20,600		372
Steiner Leisure*		10,900		545
Steven Madden*		15,844		883
Stewart Enterprises, Cl A		34,000		253
Stoneridge*		67,019		1,027
Sturm Ruger (A)		36,300		799
Superior Industries International		14,300		313
SuperMedia* (A)		21,700		94
Systemax*		110		2
Talbots* (A)		191,478		913
Tempur-Pedic International*		14,540		946
Tenneco*		1,468		61
Tesla Motors* (A)		62,217		1,875
Timberland, Cl A*		400		13
True Religion Apparel* (A)		39,745		1,168
Universal Electronics*		8,300		212
Universal Technical Institute		8,800		160
Vail Resorts*		14,200		691
Vera Bradley* (A)		19,500		964
Warnaco Group* (A)		9,200		507
Whistler Blackcomb Holdings		35,000		415
WMS Industries*		21,823		686
World Wrestling Entertainment, Cl A (A)		3,000		31
Zumiez* (A)		58,990		1,792

				93,384


Consumer Staples — 2.5%
Andersons		5,300		230
B&G Foods, Cl A		15,200		282
Cal-Maine Foods (A)		22,834		681
Casey’s General Stores (A)		21,847		905
Central Garden and Pet*		35,415		362
Central Garden and Pet, Cl A*		39,766		400
China-Biotics* (A)		40,000		302
Chiquita Brands International* (A)		175,100		2,609
Corn Products International		20,897		1,185
Cosan Industria e Comercio (Brazil)		28,100		428
Darling International*		16,600		318
Dean Foods*		20,000		278
Dole Food* (A)		47,304		634
Elizabeth Arden*		5,400		166
Fresh Del Monte Produce		32,900		904
Fresh Market*		12,100		487


Description	Shares		Market Value ($ Thousands)

Ingles Markets, Cl A		11,100	$	197
J&J Snack Foods		6,075		313
Lancaster Colony (A)		23,055		1,398
Mead Johnson Nutrition, Cl A		120		8
Medifast* (A)		9,600		257
Nash Finch		10,800		406
Pantry*		114,471		2,114
Prestige Brands Holdings*		67,189		867
Rite Aid* (A)		179,700		189
Ruddick (A)		4,600		202
Seneca Foods, Cl A* (A)		3,000		82
Smithfield Foods*		700		15
Spartan Stores		26,151		488
Susser Holdings*		800		11
Universal		16,400		692
Village Super Market, Cl A		600		16
Viterra, Cl Common Subscription Recei		35,900		439
Weis Markets		5,700		229
Winn-Dixie Stores*		13,900		127

				18,221


Energy — 7.4%
Approach Resources*		29,525		769
Atwood Oceanics* (A)		8,500		368
Berry Petroleum, Cl A (A)		40,538		2,125
Bill Barrett*		85		4
BPZ Resources* (A)		134,800		590
Brigham Exploration*		305		9
Cal Dive International*		100,837		657
CARBO Ceramics (A)		6,665		1,002
Carrizo Oil & Gas* (A)		35,255		1,347
Cheniere Energy* (A)		1,845		22
Clayton Williams Energy* (A)		5,055		379
Cloud Peak Energy*		82,300		1,748
Complete Production Services*		11,350		377
Comstock Resources* (A)		135,738		4,082
Concho Resources*		3,900		369
Crosstex Energy		1,629		18
CVR Energy* (A)		18,110		396
Delek US Holdings (A)		664		10
Delta Petroleum* (A)		187,500		133
Dresser-Rand Group* (A)		16,835		885
Dril-Quip*		15,700		1,165
Energy XXI Bermuda*		1,060		36
Exterran Holdings* (A)		867		19
Forest Oil*		61,635		1,843
Frontier Oil		640		19
Frontline (A)		811		15
GeoMet* (A)		108,166		141
Global Geophysical Services*		52,561		911
Global Industries*		36,000		226
Goodrich Petroleum* (A)		164,799		3,370
Green Plains Renewable Energy* (A)		16,900		174
Gulfmark Offshore, Cl A*		9,800		401
Helix Energy Solutions Group*		30,200		529
Holly		295		18
International Coal Group*		6,200		90
James River Coal* (A)		900		20
Karoon Gas Australia*		53,141		374
Key Energy Services*		104,736		1,852


2		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Small Cap Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Kinder Morgan Escrow*		58,213	$	—
Knightsbridge Tankers (A)		10,000		211
Lone Pine Resources*		35,000		450
Magnum Hunter Resources* (A)		46,690		333
Matrix Service*		53,130		710
McMoRan Exploration*		930		17
Newpark Resources* (A)		91,577		889
Northern Oil And Gas* (A)		9,940		200
Oasis Petroleum*		370		11
Oilsands Quest* (A)		906,800		390
OYO Geospace*		85		8
Panhandle Oil and Gas, Cl A		20		1
Parker Drilling*		54,300		346
Penn Virginia (A)		60,700		886
PetroHawk Energy*		121,951		3,228
Petroleum Development*		28,900		1,051
Petroquest Energy* (A)		25,715		205
Pioneer Drilling*		35,600		521
Porto Energy*		477,100		438
Quicksilver Resources*		154,717		2,211
Rosetta Resources*		245		12
Scorpio Tankers* (A)		232,807		2,349
SEACOR Holdings		11,800		1,176
Ship Finance International (A)		4,660		90
SM Energy		3,435		228
StealthGas*		37,600		185
Stone Energy*		16,665		538
Superior Energy Services*		15,635		586
Swift Energy*		39,063		1,532
Targa Resources (A)		28,305		988
Tesoro* (A)		18,007		439
Tetra Technologies*		52,000		709
Tidewater (A)		7,300		399
Triangle Petroleum*		52,300		362
Unit*		230		13
USEC* (A)		36,800		154
Vaalco Energy*		88,200		626
Vantage Drilling* (A)		225,300		451
Venoco*		17,970		264
W&T Offshore (A)		58,070		1,504
Warren Resources*		99,000		381
Western Refining* (A)		2,230		39
World Fuel Services		51,821		1,896

				53,520


Financials — 18.5%
1st Source		6,200		130
Acadia Realty Trust‡		3,700		76
Advance America Cash Advance Centers		45,600		280
Affiliated Managers Group*		9,800		1,036
Agree Realty‡ (A)		14,300		325
Alexander’s‡		200		78
Allied World Assurance Holdings		6,900		418
Alterra Capital Holdings (A)		46,100		1,049
American Campus Communities‡		10,300		364
American Capital*		4,572		45
American Capital Agency‡ (A)		26,300		799
American Equity Investment Life Holding (A)		20,795		270
Anworth Mortgage Asset‡ (A)		75,200		545


Description	Shares		Market Value ($ Thousands)

Apartment Investment & Management, Cl A‡		30,281	$	809
Apollo Investments*		14,400		164
Ares Capital		1,950		33
Argo Group International Holdings		7,100		210
Ashford Hospitality Trust‡ (A)		36,700		524
Aspen Insurance Holdings		7,400		199
Associated Banc (A)		35,060		494
Associated Estates Realty‡		1,400		24
Astoria Financial		7,890		115
AvalonBay Communities‡		9,512		1,266
Banco Latinoamericano de Comercio Exterior, Cl E		32,300		583
Bancorp*		2,367		24
Bancorpsouth (A)		25,930		333
Bank of Hawaii (A)		5,400		256
Bank of the Ozarks (A)		6,400		311
Berkshire Hills Bancorp (A)		14,710		324
BGC Partners, Cl A (A)		38,200		317
BioMed Realty Trust‡		61,710		1,264
Boston Private Financial Holdings (A)		148,182		978
Boston Properties‡		5,328		577
Brandywine Realty Trust‡		58,460		746
Brasil Brokers Participacoes		54,100		287
Brookline Bancorp (A)		4,000		35
Calamos Asset Management, Cl A		532		8
Camden National		4,600		151
Campus Crest Communities‡		83,700		1,071
CapitalSource		94,885		614
CapLease‡		57,400		293
Capstead Mortgage‡		53,090		704
Cardinal Financial		39,556		438
Cash Store Financial Services		52,965		728
Cathay General Bancorp (A)		56,800		926
CBL & Associates Properties‡		65,970		1,269
Central Pacific Financial*		630		9
Chatham Lodging Trust‡		19,100		313
Chemical Financial		3,278		64
Chimera Investment‡		89,100		348
Citizens Republic Bancorp* (A)		15,500		13
City Holding (A)		4,900		158
City National (A)		10,100		569
CNO Financial Group*		100,722		780
CoBiz Financial		49,095		315
Cohen & Steers (A)		18,395		564
Colonial Properties Trust‡		24,400		515
Columbia Banking System		23,100		416
CommonWealth REIT‡		30,045		784
Community Bank System (A)		12,393		311
CompuCredit Holdings*		2,140		8
Cousins Properties‡		7,110		62
Cowen Group, Cl A* (A)		114,000		470
Credit Acceptance* (A)		9,233		738
CreXus Investment‡		92,400		1,045
CVB Financial (A)		70,212		630
Delphi Financial Group, Cl A		35,900		1,047
DiamondRock Hospitality‡		11,092		128
Dime Community Bancshares		14,400		202
Dollar Financial* (A)		21,585		490
Duff & Phelps, Cl A		20,900		308


3		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Small Cap Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

DuPont Fabros Technology‡ (A)		17,470	$	457
Dynex Capital‡		26,037		258
Eagle Bancorp*		27,274		346
EastGroup Properties‡		2,400		113
Eaton Vance (A)		24,540		774
Education Realty Trust‡		123,539		1,075
Employers Holdings (A)		69,840		1,160
Encore Bancshares* (A)		33,300		399
Encore Capital Group*		37,365		1,236
Endurance Specialty Holdings		32,928		1,337
Entertainment Properties Trust‡ (A)		4,000		194
Equity Lifestyle Properties‡		2,400		141
Equity One‡		44,811		879
Equity Residential‡		24,337		1,505
ESSA Bancorp		18,800		221
Excel Trust‡ (A)		27,688		336
Extra Space Storage‡		25,500		555
FBL Financial Group, Cl A (A)		14,002		445
FBR Capital Markets*		189,900		689
Federal Realty Investment Trust‡		3,902		342
Federated Investors, Cl B (A)		32,355		829
Financial Engines* (A)		81,062		2,018
First Commonwealth Financial		88,800		519
First Financial Bancorp		22,184		355
First Financial Holdings		8,100		81
First Horizon National (A)		59,292		623
First Merchants		4,100		35
First Midwest Bancorp		60,528		741
First Potomac Realty Trust‡		26,485		444
FirstMerit		52,090		848
Flushing Financial		45,900		616
FNB (Pennsylvania) (A)		23,500		248
FPIC Insurance Group*		6,700		277
Gain Capital Holdings*		79,400		479
General Growth Properties‡ (A)		26,876		443
General Shopping Brasil (Brazil)*		19,000		144
Getty Realty‡ (A)		4,493		117
GFI Group		39,000		177
Glimcher Realty Trust‡		6,000		61
Global Indemnity, Cl A*		34,200		793
Gluskin Sheff + Associates		18,500		357
Government Properties Income Trust‡		20,100		532
Great American Group*		119,582		30
Green Dot, Cl A*		240		9
Greenhill (A)		27,085		1,508
Hancock Holding (A)		38,130		1,232
Hanover Insurance Group		10,180		418
Hatteras Financial‡		30,345		886
HCP‡		39,998		1,518
Health Care REIT‡ (A)		10,000		532
Healthcare Realty Trust‡		5,700		126
Hercules Technology Growth Capital		17,400		191
Highwoods Properties‡ (A)		32,570		1,175
Home Bancshares		30,100		722
Home Properties‡		6,040		374
Horace Mann Educators		92,762		1,514
Horizon Financial*		200		—
Hospitality Properties Trust‡		8,200		202
Host Hotels & Resorts‡		43,809		770


Description	Shares		Market Value ($ Thousands)

Hudson Valley Holding		17,151	$	375
Iberiabank		14,014		823
Infinity Property & Casualty		33,465		1,779
Inland Real Estate‡		7,170		65
Interactive Brokers Group, Cl A		945		16
International Bancshares (A)		49,500		845
Invesco Mortgage Capital‡		4,400		100
Investment Technology Group*		4,700		71
Investors Real Estate Trust‡ (A)		6,900		67
iStar Financial‡* (A)		8,400		72
Jones Lang LaSalle		11,955		1,161
Kennedy-Wilson Holdings* (A)		30,000		345
Knight Capital Group, Cl A* (A)		72,000		889
LaSalle Hotel Properties‡		20,705		579
Lexington Realty Trust‡ (A)		80,972		764
Liberty Property Trust‡		12,700		458
LPL Investment Holdings*		34,020		1,223
LTC Properties‡		14,254		421
M&T Bank		205		18
Macerich‡ (A)		9,336		508
Mack-Cali Realty‡		16,988		601
Maiden Holdings		106,300		999
MainSource Financial Group (A)		9,700		75
MarketAxess Holdings		66,101		1,584
MB Financial		28,900		574
MCG Capital		48,100		331
Meadowbrook Insurance Group (A)		183,721		1,813
Medical Properties Trust‡		37,700		466
MF Global Holdings*		2,680		21
MFA Mortgage Investments‡		200,307		1,651
Mid-America Apartment Communities‡		23,534		1,613
Montpelier Re Holdings		51,300		965
MSCI, Cl A*		33,022		1,247
National Financial Partners* (A)		22,330		292
National Health Investors‡ (A)		2,500		118
National Penn Bancshares		161,525		1,219
National Retail Properties‡ (A)		22,180		572
NBT Bancorp		4,800		106
Nelnet, Cl A		71,470		1,572
Newcastle Investment‡*		385		2
Northwest Bancshares		48,200		605
OceanFirst Financial		5,950		81
Old National Bancorp		34,825		376
Omega Healthcare Investors‡		7,800		166
Oriental Financial Group		14,600		180
PacWest Bancorp (A)		41,279		871
Park National (A)		3,200		216
Parkway Properties‡ (A)		16,400		301
Pebblebrook Hotel Trust‡		16,719		363
PennantPark Investment		78,900		981
Pennsylvania Real Estate Investment Trust‡ (A)		24,400		419
PHH* (A)		10,050		211
Phoenix* (A)		76,400		182
Pico Holdings*		16,958		506
Piedmont Office Realty Trust, Cl A‡ (A)		14,407		296
Platinum Underwriters Holdings		72,649		2,480
PMI Group* (A)		110,000		159
Popular*		3,295		10


4		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Small Cap Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Post Properties‡		4,300	$	181
Potlatch‡		14,065		506
Presidential Life		5,909		62
ProAssurance* (A)		28,987		2,038
ProLogis‡		76,912		1,840
Prosperity Bancshares		14,390		630
Protective Life		11,110		268
Provident Financial Services (A)		33,005		472
PS Business Parks‡		4,400		253
Public Storage‡		7,677		908
RAIT Financial Trust‡ (A)		19,700		42
Ramco-Gershenson Properties‡		21,300		280
Redwood Trust‡ (A)		7,500		117
Regency Centers‡ (A)		13,815		640
Reinsurance Group of America, Cl A		13,872		881
Renasant (A)		24,400		365
Republic Bancorp, Cl A		13,100		268
S&T Bancorp (A)		2,100		39
Sabra Healthcare REIT‡		9,666		168
Safeguard Scientifics*		25,927		506
Safety Insurance Group		8,700		391
Sandy Spring Bancorp		21,273		401
Saul Centers‡		900		36
SCBT Financial		16,800		524
Selective Insurance Group		9,900		164
Senior Housing Properties Trust‡		565		14
Signature Bank NY*		15,597		888
Simmons First National, Cl A		14,880		389
Simon Property Group‡		11,741		1,386
SL Green Realty‡ (A)		11,495		1,035
Sovran Self Storage‡		4,433		186
Starwood Property Trust‡		26,100		567
Stifel Financial*		11,400		459
Strategic Hotels & Resorts‡*		30,300		203
Summit Hotel Properties‡		39,000		439
Sun Communities‡		2,900		116
Sunstone Hotel Investors‡*		13,915		142
Susquehanna Bancshares		34,569		301
SVB Financial Group*		19,880		1,180
SWS Group (A)		27,800		181
Synovus Financial (A)		140,574		335
Tanger Factory Outlet Centers‡		7,600		209
Taubman Centers‡		315		19
TCF Financial (A)		53,479		805
THL Credit		30,700		414
Titanium Asset* (H) (I) (J)		122,200		110
Titanium Asset Management*		10,500		5
Tompkins Financial		4,200		163
Tower Group		22,700		552
Trustco Bank (A)		8,790		52
UMB Financial		4,000		171
United Bankshares (A)		6,757		164
United Financial Bancorp		15,700		251
United Fire & Casualty		2,500		47
Unitrin		12,000		358
Universal Health Realty Income Trust‡		1,300		56
Uranium Participation*		56,900		371
Urstadt Biddle Properties, Cl A‡		8,100		155
U-Store-It Trust‡		7,500		85
Validus Holdings (A)		28,884		931


Description	Shares		Market Value ($ Thousands)

Value Creation* (H) (I) (J)		119,600	$	151
Ventas‡ (A)		12,790		721
ViewPoint Financial Group		50,820		662
Waddell & Reed Financial, Cl A		214		8
Walter Investment Management‡		13,100		230
Washington Federal		490		8
Washington Real Estate Investment Trust‡ (A)		26,400		912
Webster Financial		35,435		739
WesBanco		12,900		255
Western Alliance Bancorp*		62,600		461
Whitney Holding		64,323		864
Winthrop Realty Trust‡		10,000		123
WisdomTree Investments*		108,025		688
World Acceptance* (A)		8,500		567
WSFS Financial		19,358		809
Zions Bancorporation (A)		50,063		1,193

				134,096


Health Care — 11.6%
Abaxis*		47,031		1,464
ABIOMED* (A)		15,100		284
Acadia Pharmaceuticals*		177,300		335
Accuray*		46,200		353
Achillion Pharmaceuticals*		74,710		560
Acorda Therapeutics*		16,500		542
Aegerion Pharmaceuticals*		28,600		542
Affymetrix*		25,200		153
Air Methods*		10,400		635
Alere* (A)		23,200		928
Align Technology*		71,331		1,748
Alkermes*		11,400		209
Alliance HealthCare Services*		370		2
Allos Therapeutics*		33,200		73
Almost Family* (A)		9,900		299
Amedisys* (A)		30,799		964
AMERIGROUP* (A)		3,601		255
AMN Healthcare Services*		46,760		404
Amsurg, Cl A* (A)		47,854		1,240
Analogic		251		13
Angiodynamics*		399		6
Arena Pharmaceuticals* (A)		229,882		331
Ariad Pharmaceuticals* (A)		70,200		609
Arthrocare*		3,200		110
Assisted Living Concepts, Cl A		6,900		231
athenahealth* (A)		29,310		1,312
AVEO Pharmaceuticals*		25,800		473
Brookdale Senior Living, Cl A*		80		2
Bruker* (A)		64,140		1,265
Cambrex*		47,400		232
Catalyst Health Solutions*		315		19
Centene*		485		17
Chemed		13,795		932
Chindex International*		10		—
Community Health Systems*		455		13
Conmed*		34,872		987
Continucare*		35,300		166
Cooper		165		12
Cubist Pharmaceuticals* (A)		76,125		2,933
Durect*		275,564		964
DynaVox, Cl A*		91,344		681
Emergent Biosolutions*		48,277		1,206


5		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Small Cap Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Emeritus* (A)		56,235	$	1,316
Ensign Group		14,300		428
Enzon Pharmaceuticals* (A)		23,200		243
ePocrates* (A)		44,699		941
eResearch Technology*		68,473		434
Exelixis* (A)		5,200		60
Five Star Quality Care*		14,705		114
Fluidigm*		29,064		435
Gen-Probe*		12,300		1,006
Gentiva Health Services*		6,740		165
Greatbatch*		11,545		334
Haemonetics*		11,680		790
Halozyme Therapeutics*		83,100		560
Health Management Associates, Cl A*		1,398		16
Health Net*		40,165		1,289
Healthsouth*		35,052		984
Healthspring*		33,330		1,462
Healthways*		9,100		148
HeartWare International* (A)		8,707		634
Hill-Rom Holdings		4,390		200
ICON ADR*		11,285		289
ICU Medical*		21,600		937
Idenix Pharmaceuticals*		72,500		344
Immucor*		17,740		371
Impax Laboratories*		35,100		943
Imris*		113,520		843
Incyte* (A)		74,180		1,315
Insulet*		64,600		1,362
Invacare (A)		14,368		482
Jazz Pharmaceuticals*		125		4
Kindred Healthcare* (A)		15,230		374
Kinetic Concepts*		6,400		380
LHC Group* (A)		16,100		434
LifePoint Hospitals*		5,720		240
Magellan Health Services*		19,210		1,017
MAKO Surgical*		9,150		301
Masimo		80,228		2,465
Medical Action Industries*		73,800		719
Medicines*		28,400		543
Medicis Pharmaceutical, Cl A		9,905		371
Mednax*		10,410		782
MELA Sciences*		47,800		142
Meridian Bioscience		925		22
Merit Medical Systems*		162		3
Metropolitan Health Networks*		42,900		209
Momenta Pharmaceuticals* (A)		483		10
MWI Veterinary Supply*		9,758		823
Myriad Genetics*		29,055		738
Nektar Therapeutics* (A)		51,100		495
Neurocrine Biosciences*		2,834		24
NuVasive* (A)		61,363		2,073
NxStage Medical*		415		8
Omnicare (A)		29,495		927
Omnicell*		145,537		2,243
Onyx Pharmaceuticals*		17,600		747
Owens & Minor		2,715		94
Par Pharmaceutical*		27,360		940
Parexel International*		710		18
Patterson		11,967		414
PDL BioPharma (A)		231,522		1,537


Description	Shares		Market Value ($ Thousands)

Pharmaceutical Product Development		613	$	18
Pharmasset*		8,200		838
PharMerica*		41,000		506
Pozen* (A)		97,533		502
Providence Service*		70,481		959
PSS World Medical* (A)		43,625		1,275
Quality Systems (A)		7,905		681
Questcor Pharmaceuticals* (A)		28,450		656
Quidel*		51,020		783
RehabCare Group*		26,000		977
Rigel Pharmaceuticals*		51,800		430
Sagent Pharmaceuticals*		24,700		617
Salix Pharmaceuticals*		51,359		2,056
Savient Pharmaceuticals*		2,300		20
Seattle Genetics* (A)		20,665		400
Select Medical Holdings*		2,416		23
Sirona Dental Systems*		1,920		104
Skilled Healthcare Group, Cl A*		21,800		247
STERIS		51,896		1,873
Sun Healthcare Group*		16,700		166
Sunrise Senior Living* (A)		31,200		310
Symmetry Medical*		29,700		304
Syneron Medical*		55,894		726
Targacept*		11,100		250
Team Health Holdings*		3,602		81
Techne		12,285		1,001
Teleflex (A)		29,617		1,839
Theravance* (A)		18,300		478
Thoratec*		27,000		939
Tornier BV*		36,058		993
Triple-S Management, Cl B*		317		7
Universal American		23,800		221
Viropharma* (A)		43,870		849
WellCare Health Plans*		6,000		295
Zoll Medical*		18,784		1,142

				83,612


Industrials — 18.0%
AAR		620		16
ABM Industries (A)		2,915		66
Acacia Research - Acacia Technologies*		229		9
ACCO Brands*		35,447		294
Actuant, Cl A		685		17
Acuity Brands (A)		21,200		1,292
Advanced Battery Technologies* (A)		42,100		63
Aegean Marine Petroleum Network (A)		118,800		994
AerCap Holdings*		212,711		2,884
Aerovironment*		5,000		151
Air Transport Services Group*		104,300		777
Aircastle		24,109		302
Alamo Group		9,300		237
Alaska Air Group*		14,300		966
Albany International, Cl A		3,500		97
Allegiant Travel, Cl A*		3,800		173
Alliant Techsystems		259		19
Altra Holdings*		470		12
American Science & Engineering		175		15
Ameron International		10,761		723


6		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Small Cap Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Ampco-Pittsburgh		9,900	$	234
AO Smith		370		15
Apogee Enterprises		8,900		118
Applied Industrial Technologies		27,500		979
Armstrong World Industries		4,900		235
Astec Industries*		14,150		531
Atlas Air Worldwide Holdings*		9,900		627
Avis Budget Group* (A)		52,800		929
Barnes Group (A)		36,325		876
BE Aerospace*		13,581		508
Beacon Roofing Supply* (A)		10,800		237
Belden		50,400		1,811
Blount International*		1,940		33
Brady, Cl A		26,931		928
Briggs & Stratton (A)		47,677		994
Brink’s		152		5
CAI International*		42,233		987
Carlisle		36,000		1,750
Cascade		5,220		212
Celadon Group* (A)		84,577		1,184
Cenveo*		1,900		12
Ceradyne* (A)		17,700		792
Clean Harbors*		6,142		621
Coleman Cable*		269		4
Columbus McKinnon*		55,091		1,074
Comfort Systems USA		46,586		483
Copa Holdings, Cl A		24,896		1,555
Copart*		16,395		771
Corporate Executive Board		19,200		807
Corrections of America*		10		—
CoStar Group* (A)		26,175		1,652
Courier (A)		15,336		173
CRA International* (A)		26,345		738
Cubic		22,049		1,130
Deluxe		20,835		536
DigitalGlobe*		35,000		862
Dolan*		4,400		46
DXP Enterprises*		1,195		31
Dycom Industries*		10,047		172
Dynamic Materials		49,718		1,120
EMCOR Group*		80,748		2,452
Encore Wire		1,185		29
EnerSys*		37,700		1,350
EnPro Industries* (A)		12,400		565
ESCO Technologies		13,355		502
Esterline Technologies*		8,400		635
Force Protection*		119,900		580
Franklin Electric		8,300		369
FreightCar America*		2,100		58
FTI Consulting* (A)		64,600		2,466
G&K Services, Cl A		58,122		1,838
Gardner Denver		21,019		1,761
Genco Shipping & Trading* (A)		4,800		38
GenCorp* (A)		23,300		146
Generac Holdings*		58,462		1,076
General Cable*		26,805		1,119
Geo Group*		100,600		2,474
Gibraltar Industries*		40,200		525
Global Power Equipment Group* (A)		5,400		152
Gorman-Rupp		10		1
Graco		30,305		1,532


Description	Shares		Market Value ($ Thousands)

GrafTech International* (A)		11,500	$	243
Granite Construction (A)		40,600		1,116
Great Lakes Dredge & Dock		87,700		532
Greenbrier*		454		12
Griffon*		522		5
H&E Equipment Services*		21,000		305
Hawaiian Holdings* (A)		233,435		1,293
HEICO		32,665		1,796
Heidrick & Struggles International		8,400		176
Hexcel*		44,503		920
Higher One Holdings* (A)		600		9
HNI (A)		7,900		197
Horizon Lines, Cl A (A)		98,418		111
Huron Consulting Group*		26,707		810
ICF International*		16,970		436
IDEX		14,381		652
IHS, Cl A*		9,315		817
Innerworkings* (A)		191,122		1,619
Insituform Technologies, Cl A*		250		7
Insperity		10,095		318
Interface, Cl A		87,740		1,689
Interline Brands*		1,900		35
JetBlue Airways* (A)		111,000		674
Kadant*		34,060		1,002
Kaman		427		15
KAR Auction Services*		119		2
Kaydon (A)		60,369		2,196
Kelly Services, Cl A*		11,297		199
Kirby*		13,000		747
Knight Transportation (A)		44,893		768
Korn/Ferry International*		385		8
Kratos Defense & Security Solutions* (A)		37,500		455
Landstar System		26,675		1,262
LB Foster, Cl A		8,331		302
Lennox International		19,200		895
Lincoln Electric Holdings		2,000		149
LS Starrett, Cl A		700		9
M&F Worldwide*		8,500		180
Manitowoc (A)		889		16
Marten Transport		43,315		972
MasTec*		190		4
Mcgrath Rentcorp		136		4
Meritor* (A)		11,590		191
Metalico* (A)		1,561		9
Michael Baker*		15,465		402
Middleby*		13,525		1,164
Miller Industries		419		7
Mine Safety Appliances		553		21
Mistras Group*		29,763		518
Mobile Mini*		63,542		1,430
Mueller Industries		27,587		1,026
MYR Group*		50		1
NACCO Industries, Cl A		7,125		697
National Presto Industries		800		84
Navigant Consulting*		65,200		659
Nordson		1,020		53
Northwest Pipe*		75		2
Old Dominion Freight Line*		40,900		1,527
Orion Marine Group*		84,594		900
Pacer International*		81,900		427
Pike Electric*		450		4


7		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Small Cap Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Polypore International*		21,909	$	1,436
Quad, Cl A		11,800		488
Quanex Building Products		87,350		1,733
RailAmerica*		6,200		97
Raven Industries		3,600		201
Regal-Beloit		165		12
Republic Airways Holdings*		85,000		415
Resources Connection		51,942		733
Ritchie Bros Auctioneers		33,775		936
Robbins & Myers		10,715		472
RSC Holdings* (A)		33,625		450
Rush Enterprises, Cl A* (A)		55,580		1,110
Ryder System		15,200		836
School Specialty* (A)		77,804		1,197
SeaCube Container Leasing		24,600		442
Shaw Group*		405		15
Simpson Manufacturing		67,400		1,889
Skywest		22,864		353
Spirit Aerosystems Holdings, Cl A*		28,100		616
Spirit Airlines*		50,600		597
Standard Parking*		56,219		927
Standex International		8,000		266
Steelcase, Cl A (A)		20,400		222
Sun Hydraulics		85		4
Swift Transportation, Cl A*		18,600		252
SYKES Enterprises*		43,200		934
TAL International Group		30,916		1,043
Teledyne Technologies*		37,922		1,862
Tennant		3,055		118
Terex*		23,134		686
Tetra Tech*		48,961		1,191
Textainer Group Holdings (A)		18,200		587
Titan International (A)		17,755		488
Titan Machinery* (A)		971		26
Towers Watson, Cl A		31,834		2,020
TransDigm Group*		11,945		980
Tredegar		14,030		272
Trex* (A)		32,785		1,002
Trimas*		65		1
Trinity Industries		11,900		409
Triumph Group (A)		8,028		751
TrueBlue*		24,400		357
Tutor Perini		69,859		1,418
Unifirst		4,600		247
United Rentals* (A)		48,622		1,329
United Stationers		580		43
US Airways Group* (A)		169,000		1,538
Valmont Industries		100		10
Viad		7,600		172
Vitran, Cl A*		59,320		890
Wabash National*		336,629		3,255
Wabtec		33,460		2,262
Watsco		325		22
Watts Water Technologies, Cl A		24,329		851
Werner Enterprises (A)		5,900		148
WESCO International* (A)		25,771		1,433
Woodward		16,745		590
Xerium Technologies*		85		2
YRC Worldwide* (A)		552		—
Zipcar* (A)		35,100		882

				130,144


Description	Shares		Market Value ($ Thousands)

Information Technology — 18.2%
ACI Worldwide*		8,900	$	288
Acme Packet*		3,900		295
Acxiom*		7,700		106
ADTRAN		7,380		316
Advent Software* (A)		26,406		738
Aeroflex Holding*		47,200		860
Amkor Technology* (A)		33,840		216
Ancestry.com* (A)		37,215		1,531
Anixter International		2,912		197
AOL* (A)		40,844		840
Applied Micro Circuits*		6,900		73
Ariba*		700		24
Arris Group*		75,900		857
Arrow Electronics*		18,600		830
Aruba Networks* (A)		19,800		563
AsiaInfo-Linkage* (A)		31,850		571
Atmel*		96,235		1,445
Avid Technology*		19,446		340
AVX		19,400		305
Benchmark Electronics*		44,497		769
Black Box		8,700		287
Blackbaud		455		13
Blackboard* (A)		52,886		2,279
Blue Coat Systems*		360		8
Brightpoint*		36,230		328
BroadSoft* (A)		80,395		3,179
Brocade Communications Systems*		204,815		1,366
Brooks Automation*		4,000		45
Cabot Microelectronics*		8,900		447
CACI International, Cl A*		24,328		1,553
Cadence Design Systems*		360		4
Cardtronics*		38,268		847
Cavium Networks* (A)		20,395		907
CDC Software ADR*		101,300		489
Ceva*		68,700		2,359
Ciber*		309,775		1,890
Ciena* (A)		61,067		1,633
Cirrus Logic* (A)		4,260		70
Cognex		1,800		64
Coherent*		26,238		1,472
CommVault Systems*		31,331		1,295
Compuware*		27,300		278
Comtech Telecommunications (A)		35,504		987
Concur Technologies*		14,700		735
Constant Contact* (A)		80,592		1,938
Convergys*		27,200		348
CoreLogic		240		4
Cornerstone OnDemand*		25,100		485
CSG Systems International*		26,458		505
CTS		14,800		152
Cymer*		25,700		1,230
Cypress Semiconductor		850		20
Daktronics		720		8
DealerTrack Holdings*		43,200		1,001
DG FastChannel* (A)		26,795		948
Diebold (A)		50,851		1,681
Digi International*		55,800		658
Digital River* (A)		72,540		2,361
DST Systems		40		2


8		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Small Cap Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

DTS*		19,680	$	907
Earthlink		165,080		1,303
Echo Global Logistics*		140		2
Electronics for Imaging*		14,067		254
Emulex*		127,752		1,188
Energy Conversion Devices* (A)		51,600		72
Entegris* (A)		34,780		319
Envestnet*		51,368		762
EPIQ Systems		3,100		46
Euronet Worldwide*		65,625		1,135
Fabrinet*		21,500		509
Fair Isaac		8,998		263
Finisar* (A)		9,595		230
Forrester Research		6,100		231
Fortinet* (A)		19,630		952
Gartner*		31,450		1,227
GT Solar International* (A)		25,500		325
Hackett Group*		192,800		958
Heartland Payment Systems (A)		1,702		32
Hittite Microwave*		15,650		993
iGate (A)		590		11
Imation* (A)		12,000		117
Ingram Micro, Cl A*		160		3
Inphi*		116,025		2,302
Insight Enterprises*		19,354		325
Integral Systems*		37,500		445
Integrated Device Technology*		88,934		746
InterDigital (A)		12,200		525
Intermec*		89,102		1,076
International Rectifier* (A)		36,235		1,043
Intersil, Cl A (A)		46,900		673
IntraLinks Holdings*		31,500		651
iSoftstone Holdings ADR*		45,673		727
Ixia*		27,900		439
IXYS*		645		9
j2 Global Communications* (A)		18,760		544
Jack Henry & Associates		13,400		419
JDA Software Group*		14,800		489
KIT Digital* (A)		41,400		507
Knot*		39,000		400
Kulicke & Soffa Industries*		38,000		462
Lattice Semiconductor*		129,300		852
Lawson Software*		76,200		848
Lexmark International, Cl A*		21,600		643
Littelfuse		10,474		628
LivePerson*		515		6
LogMeIn*		20,740		903
LTX-Credence*		18,833		179
Manhattan Associates*		36,700		1,319
Mantech International, Cl A (A)		15,032		677
MAXIMUS		10,400		872
Measurement Specialties*		1,687		65
Mellanox Technologies*		26,700		825
MEMC Electronic Materials*		810		9
Methode Electronics (A)		24,200		289
Micrel (A)		15,900		187
Microsemi*		427		9
MicroStrategy, Cl A*		9,424		1,378
Mitel Networks*		90,740		432
MKS Instruments		21,800		573
ModusLink Global Solutions		872		4
MoneyGram International*		45		—


Description	Shares		Market Value ($ Thousands)

Monolithic Power Systems*		10,239	$	177
Monotype Imaging Holdings*		40		1
Monster Worldwide*		40		1
Move*		2,498		5
MTS Systems		499		20
Multi-Fineline Electronix* (A)		8,890		188
National Instruments		11		—
NCR*		14,505		283
Netgear*		11,545		483
Netlogic Microsystems* (A)		66,266		2,539
Netscout Systems*		9,540		221
NetSuite* (A)		31,500		1,189
Newport*		8,300		151
Novatel Wireless* (A)		49,500		264
Nuance Communications*		48,200		1,058
Omnivision Technologies*		840		30
OpenTable* (A)		655		58
Oplink Communications*		7,500		139
Orbotech*		19,280		252
OSI Systems*		9,000		360
Parametric Technology*		57,254		1,333
Park Electrochemical		26,800		807
Parkervision* (A)		380,971		328
Photronics* (A)		26,357		265
Plantronics		23,740		868
PMC - Sierra*		54,400		427
Power-One* (A)		94,400		792
Progress Software*		20,300		549
PROS Holdings*		49,864		838
Pulse Electronics (A)		23,000		113
QLIK Technologies*		31,740		1,057
QLogic*		12,900		209
Quantum* (A)		156,524		480
Quest Software*		23,333		530
Rackspace Hosting* (A)		22,030		969
Radisys*		26,700		230
RealD* (A)		55,883		1,526
RealNetworks*		25,900		97
RealPage*		33,500		987
Responsys*		35,475		610
RF Micro Devices*		37,900		239
RightNow Technologies* (A)		671		22
Riverbed Technology* (A)		30,455		1,155
Rogers*		316		15
Rosetta Stone* (A)		89,690		1,257
Rubicon Technology* (A)		40,348		926
Rudolph Technologies*		22,610		265
S1*		4,400		32
Sanmina-SCI*		1,603		17
SAVVIS*		460		18
Scansource*		563		20
Seachange International*		41,300		465
Silicon Image*		25,400		193
SMART Modular Technologies WWH* (A)		21,100		195
SolarWinds*		55,500		1,368
Sourcefire*		36,900		986
SRA International, Cl A*		24,327		753
SS&C Technologies Holdings*		56,110		1,097
Stamps.com		280		4
Standard Microsystems*		2,100		56
STEC* (A)		665		12


9		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Small Cap Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Sycamore Networks (A)		105,490	$	2,557
Synaptics* (A)		2,015		56
SYNNEX* (A)		7,780		255
Synopsys*		36,737		1,004
Syntel		17,188		926
Taleo, Cl A*		63,834		2,383
Tech Data*		11,035		523
TeleNav*		4,500		74
TeleTech Holdings*		21,200		384
Teradyne*		1,119		18
Tessera Technologies*		800		14
TIBCO Software*		58,500		1,643
TiVo* (A)		7,400		76	��
TNS*		39,819		654
Travelzoo* (A)		430		32
Trimble Navigation*		17,445		762
TriQuint Semiconductor*		59,400		769
TTM Technologies*		430		7
Ultra Clean Holdings*		35,021		356
Ultratech*		22,300		708
Unisys* (A)		905		25
United Online (A)		36,680		223
Universal Display*		185		9
Valueclick* (A)		20,299		366
Vasco Data Security International*		65		1
Velti* (A)		37,675		582
VeriFone Holdings* (A)		7,532		363
Vishay Intertechnology*		35,900		570
VistaPrint* (A)		62,294		3,064
Vocus*		49,094		1,337
WebMD Health, Cl A*		310		15
Websense* (A)		27,100		673
Xyratex*		83,465		797
Zebra Technologies, Cl A*		19,677		875
Zoran*		32,400		267

				131,256


Materials — 4.6%
A. Schulman		542		14
AK Steel Holding (A)		935		14
Allied Nevada Gold*		16,200		601
AM Castle*		5,369		99
Aptargroup		15,017		802
Arch Chemicals		20,485		740
Boise (A)		42,555		359
Buckeye Technologies		25,900		660
Carpenter Technology		9,300		489
Century Aluminum*		12,200		197
Clearwater Paper*		4,500		311
Coeur d’Alene Mines* (A)		7,600		209
Commercial Metals		50,500		752
Cytec Industries		12,959		728
Eagle Materials		5,500		158
Ferro*		34,951		458
Georgia Gulf*		210		6
Glatfelter		6,000		92
Globe Specialty Metals (A)		137,380		3,113
Graham Packaging*		2,826		64
Greif, Cl A		6,351		420
H.B. Fuller		46,883		1,045
Haynes International		28,555		1,607


Description	Shares		Market Value ($ Thousands)

Headwaters*		35,200	$	129
Hecla Mining* (A)		19,110		162
Horsehead Holding*		126,603		1,689
Huntsman		27,636		524
Innophos Holdings		31,260		1,403
Innospec*		23,800		807
Intrepid Potash* (A)		245		8
Kaiser Aluminum (A)		2,000		105
KapStone Paper and Packaging*		20,600		339
Koppers Holdings		3,272		131
Materion*		7,000		278
Metals USA Holdings*		1,090		17
Minerals Technologies		19,535		1,328
Myers Industries		11,800		124
Neenah Paper		22,700		526
New Gold*		36,200		366
NewMarket		5,985		1,043
Olin		114		3
Olympic Steel (A)		600		18
OM Group*		33,629		1,254
Packaging of America		23,287		678
PolyOne		60,713		925
Quaker Chemical		6,800		296
Rock-Tenn, Cl A (A)		9,100		699
Rockwood Holdings*		4,600		242
Romarco Minerals*		210,000		446
Royal Gold		20		1
RTI International Metals* (A)		39,247		1,496
Sandstorm Gold*		303,800		314
Schweitzer-Mauduit International		17,836		940
Sensient Technologies		40,750		1,550
Silgan Holdings (A)		9,030		405
Solutia*		4,990		125
Spartech*		7,247		51
Stepan		3,000		201
STR Holdings* (A)		17,440		276
Universal Stainless & Alloy*		11,400		415
US Gold* (A)		30,500		216
Westlake Chemical		40		2
Worthington Industries (A)		7,410		162
WR Grace*		15,556		728
Zep		40		1

				33,361


Telecommunication Services — 0.9%
Alaska Communications Systems Group (A)		1,189		11
Atlantic Telegraph-Network		15,200		581
Boingo Wireless*		66,900		626
Cincinnati Bell* (A)		62,100		197
Cogent Communications Group*		1,775		28
Fairpoint Communications* (A)		99,000		1,060
General Communication, Cl A*		450		6
Genius Products		1		3
Global Crossing* (A)		1,403		49
Leap Wireless International*		28,400		477
Neutral Tandem* (A)		83,700		1,420
Premiere Global Services*		10,462		88
SBA Communications, Cl A*		16,485		648
USA Mobility (A)		52,700		857


10		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Small Cap Fund

May 31, 2011


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)

Vonage Holdings* (A)		42,000	$	200

				6,251


Utilities — 2.7%
AGL Resources		34,515		1,419
Allete		18,052		720
Avista		19,000		474
Cadiz*		6,400		67
California Water Service Group		7,100		269
Central Vermont Public Service		7,700		264
CH Energy Group		900		48
Chesapeake Utilities		8,072		327
Cia de Saneamento de Minas Gerais-COPASA (Brazil)		8,800		175
Cleco		39,408		1,383
El Paso Electric		34,200		1,065
GenOn Energy*		39,123		156
Great Plains Energy		89,619		1,897
IDACORP		22,177		873
Laclede Group		6,800		256
MGE Energy		3,000		125
Nicor		10,100		555
NorthWestern		23,200		767
Piedmont Natural Gas		2,200		69
Portland General Electric		174,199		4,524
UIL Holdings (A)		26,370		874
Unisource Energy		28,000		1,061
Vectren		19,300		545
Westar Energy (A)		27,826		756
WGL Holdings		13,715		538

				19,207

Total Common Stock (Cost $596,392) ($ Thousands)				703,052


PREFERRED STOCK — 0.1%

Consumer Discretionary — 0.0%
Callaway Golf (B)		3,600		412


Energy — 0.0%
GeoMet (C)		11,895		146


Financials — 0.1%
Grubb & Ellis*		7,900		434

Total Preferred Stock (Cost $1,226) ($ Thousands)				992


EXCHANGE TRADED FUND — 0.1%
iShares Russell 2000 Index Fund (A)		5,109		433

Total Exchange Traded Fund (Cost $405) ($ Thousands)				433


CONVERTIBLE BONDS — 0.1%

Consumer Discretionary — 0.0%
Eddie Bauer Holdings
5.250%, 04/01/14 (D) (H) (I)	$	2,856		114


Description	Face Amount ($ Thousands) /Shares		Market Value ($ Thousands)


Energy — 0.1%
Rentech
4.000%, 04/15/13	$	521	$	482


Financials — 0.0%
Grubb & Ellis
7.950%, 05/01/15 (B)		103		90

Total Convertible Bonds (Cost $794) ($ Thousands)				686


RIGHTS — 0.0%

United States — 0.0%
Ligand Pharma, Expires 01/05/12*		64,529		—

Total Right (Cost $—) ($ Thousands)				—


	Number Of Warrants

WARRANTS — 0.0%
Kulim, Expires 02/27/16*		21,800		—

Rentech, Expires 04/25/12* (H) (I) (J)		16,100		—

Sandstorm Gold, Expires 04/23/14*		257,125		141

Titanium Asset Management, Expires 06/21/11*		122,200		—

Total Warrants (Cost $— ($ Thousands)				141


AFFILIATED PARTNERSHIP — 23.6%
SEI Liquidity Fund, L.P., 0.150%**† (F)		176,283,129		170,669

Total Affiliated Partnership (Cost $176,283) ($ Thousands)				170,669


CASH EQUIVALENT — 2.2%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.050%**†		15,945,643		15,946

Total Cash Equivalent (Cost $15,946) ($ Thousands)				15,946


U.S. TREASURY OBLIGATION (E) (G) — 1.2%
U.S. Treasury Bills
0.176%, 06/30/11		8,501		8,501

Total U.S. Treasury Obligation (Cost $8,500) ($ Thousands)				8,501

Total Investments — 124.6% (Cost $799,546) ($ Thousands)			$	900,420


11		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Small Cap Fund

May 31, 2011

A summary of the open futures contracts held by the Fund at May 31, 2011, is as follows:

Type of Contract

Number of

Contracts

Long (Short)

Expiration

Date

Unrealized

Appreciation

($ Thousands)

Russell 2000 Index E-MINI

145

Jun-2011

372

Percentages are based on a Net Assets of $722,825 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2011.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security.

(A)

This security or a partial position of this security is on loan at May 31, 2011. The total value of securities on loan at May 31, 2011 was $171,742 ($ Thousands).

(B)

(C)

Step Bonds - The rate reflected on the Schedule of Investments is the effective yield on May 31, 2011. The coupon on a step bond changes on a specified date.

(D)

Security in default on interest payments.

(E)

Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase.

(F)

This security was purchased with cash collateral held from securities on loan (see Note 9). The total value of such securities as of May 31, 2011 was $170,669 ($ Thousands).

(G)

Security, or portion thereof, has been pledged as collateral on open futures contracts.

(H)

Securities considered illiquid. The total value of such securities as of May 31, 2011 was $375 ($ Thousands) and represented 0.05% of Net Assets.

(I)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of May 31, 2011 was $375 and represented 0.05% of Net Assets.

(J)

Securities considered restricted. The total value of such securities as of May 31, 2011 was $261 ($ Thousands) and represented 0.00% of Net Assets.

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

PIPE — Private Investment in Public Entity

REIT — Real Estate Investment Trust

The following is a summary of the inputs used as of May 31, 2011, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock		702,635		156		261		703,052
Preferred Stock		—		992		—		992
Convertible Bonds		—		572		114		686
Exchange Traded Fund		433		—		—		433
Warrants		—		141		—		141
Right		—		—		—		—
Affiliated Partnership		—		170,669		—		170,669
U.S. Treasury Obligation		—		8,501		—		8,501
Cash Equivalent		15,946		—		—		15,946

Total Investments in Securities	$	719,014	$	181,031	$	375	$	900,420


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	372	$	—	$	—	$	372

Total Other Financial Instruments	$	372	$	—	$	—	$	372

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		—			(31	)
Realized gain/(loss)		—			(246	)
Change in unrealized appreciation/(depreciation)		(248	)		(63	)
Net purchases/sales		—			(577	)
Net transfer into Level 3		—			—
Net transfer out of Level 3		151			—

Ending balance as of May 31, 2011	$	261		$	114

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	(325	)	$	—

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


12		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Small/Mid Cap Equity Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 96.2%

Consumer Discretionary — 13.0%
1-800-Flowers.com, Cl A*		8,959	$	28
AFC Enterprises*		154,733		2,566
American Axle & Manufacturing Holdings*		300		3
American Eagle Outfitters		327,202		4,339
American Greetings, Cl A (A)		33,400		801
American Public Education* (A)		62,300		2,727
Ameristar Casinos (A)		63,431		1,425
ANN* (A)		52,529		1,479
Arctic Cat*		68,000		976
Autoliv (A)		36,100		2,779
Belo, Cl A		173,216		1,375
Big 5 Sporting Goods (A)		11,600		110
Big Lots*		64,400		2,151
Blue Nile* (A)		12,436		622
Bob Evans Farms (A)		41,100		1,289
Brinker International		56,300		1,451
Brown Shoe (A)		57,800		596
Brunswick (A)		139,160		3,017
Buffalo Wild Wings* (A)		75,150		4,707
Cabela’s* (A)		97,965		2,406
Callaway Golf (A)		220,718		1,494
Carter’s*		97,837		3,101
Casual Male Retail Group* (A)		87,500		381
Cato, Cl A		98,800		2,689
CEC Entertainment		66,145		2,691
Cheesecake Factory* (A)		69,280		2,201
Chico’s FAS		376,445		5,677
Childrens Place Retail Stores*		50,374		2,531
Chipotle Mexican Grill, Cl A* (A)		2,100		607
Cinemark Holdings		150,980		3,284
Coinstar* (A)		11,887		632
Columbia Sportswear (A)		42,250		2,772
Cooper Tire & Rubber		239,524		5,787
Core-Mark Holding*		23,450		838
Cracker Barrel Old Country Store (A)		23,408		1,109
CROCS*		255,534		5,808
Deckers Outdoor*		300		27
Destination Maternity		57,000		1,175
Dick’s Sporting Goods*		43,817		1,741
Dillard’s, Cl A (A)		67,000		3,765
Dollar Tree*		66,650		4,248
Domino’s Pizza*		16,198		404
Domino’s Pizza UK & IRL		353,517		2,317
DR Horton (A)		215,600		2,626
DSW, Cl A* (A)		92,500		4,639
Eastman Kodak* (A)		275,300		920
Estacio Participacoes		195,240		2,846
Ethan Allen Interiors (A)		61,051		1,421
Expedia (A)		18,001		504
Express		214,366		4,527
Family Dollar Stores		38,100		2,124
Fossil*		11,400		1,207
GameStop, Cl A* (A)		13,687		383
Gannett		185,362		2,643
Gap (A)		125,626		2,437
Gaylord Entertainment* (A)		103,593		3,341
Genesco* (A)		33,900		1,525


Description	Shares		Market Value ($ Thousands)

Gentex		11,401	$	335
GNC Holdings, Cl A*		59,800		1,216
Guess?		8,312		380
Hanesbrands*		148,980		4,516
Harley-Davidson		72,602		2,698
Harman International Industries		14,663		703
hhgregg* (A)		86,558		1,339
Hibbett Sports*		42,749		1,780
HOT Topic		148,400		1,156
Hyatt Hotels, Cl A*		45,838		2,044
Iconix Brand Group*		65,816		1,626
Intercontinental Hotels Group ADR		197,500		4,252
International Game Technology		113,333		1,954
International Speedway, Cl A		39,723		1,137
Interpublic Group		274,802		3,278
Jarden		19,518		684
Jones Group (A)		309,217		3,800
Kirkland’s*		50,974		666
Lakeland Industries*		5,700		49
Lamar Advertising, Cl A*		25,177		731
La-Z-Boy, Cl Z*		16,800		186
Libbey*		60,200		953
Liberty Media - Capital, Ser A*		1,600		146
Life Time Fitness* (A)		89,489		3,292
Limited Brands		900		36
Lincoln Educational Services (A)		112,200		1,641
Live Nation*		109,438		1,262
LKQ*		64,596		1,717
Lululemon Athletica* (A)		20,000		1,816
Lumber Liquidators Holdings* (A)		97,480		2,629
Maidenform Brands*		98,162		2,958
MDC Partners, Cl A		45,200		830
Men’s Wearhouse (A)		78,316		2,696
Meredith (A)		31,020		981
Meritage Homes* (A)		22,378		559
Mohawk Industries*		5,400		359
Monro Muffler		46,393		1,501
National CineMedia		232,660		4,144
NetFlix* (A)		8,150		2,207
New Frontier Media*		103,500		161
NVR* (A)		580		433
OfficeMax*		119,139		996
O’Reilly Automotive*		68,300		4,106
Overstock.com* (A)		3,155		46
Pacific Sunwear of California* (A)		163,666		522
Penn National Gaming*		78,842		3,193
Penske Auto Group		28,000		581
PEP Boys-Manny Moe & Jack (A)		130,319		1,851
PetMed Express (A)		102,800		1,317
PetSmart		11,267		510
Phillips-Van Heusen		16,434		1,084
Pinnacle Entertainment* (A)		87,755		1,275
Polaris Industries		40,284		4,445
Pool		7,300		221
Pre-Paid Legal Services* (A)		9,200		611
Quiksilver*		100,867		470
RadioShack (A)		65,700		1,035
ReachLocal* (A)		71,925		1,510
Regis (A)		115,994		1,732
Rent-A-Center, Cl A		30,500		990
Ruby Tuesday* (A)		203,340		2,155


1		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Small/Mid Cap Equity Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Ryland Group (A)		169,106	$	3,091
Saks* (A)		95,501		1,080
Scholastic (A)		45,700		1,245
Scientific Games, Cl A*		101,557		1,001
Shuffle Master*		128,088		1,395
Shutterfly*		107,225		6,500
Sinclair Broadcast Group, Cl A		93,100		896
Sirius XM Radio* (A)		14,500		34
Skechers U.S.A., Cl A* (A)		71,300		1,246
Stage Stores		71,200		1,284
Starwood Hotels & Resorts Worldwide		8,400		512
Steiner Leisure*		27,300		1,365
Steven Madden*		71,919		4,009
Stoneridge*		105,737		1,620
Talbots* (A)		225,224		1,074
Tempur-Pedic International* (A)		206,237		13,414
Tenneco*		69,970		2,921
Tesla Motors* (A)		108,150		3,259
Thor Industries (A)		125,999		4,070
True Religion Apparel*		20,201		594
TRW Automotive Holdings*		101,024		5,745
Tupperware Brands		66,800		4,373
Ulta Salon Cosmetics & Fragrance*		65,660		3,676
Under Armour, Cl A* (A)		14,684		957
Urban Outfitters*		68,601		2,090
Warnaco Group*		4,180		231
Weight Watchers International		43,347		3,478
Whirlpool (A)		24,900		2,087
Whistler Blackcomb Holdings		65,700		779
WMS Industries*		116,965		3,680
Wolverine World Wide		75,982		2,972
Wyndham Worldwide		119,000		4,142
Zumiez* (A)		35,962		1,093

				300,683


Consumer Staples — 3.0%
Cal-Maine Foods (A)		31,900		951
Casey’s General Stores (A)		84,168		3,489
Central Garden and Pet, Cl A*		66,227		666
Central Garden and Pet*		73,524		752
China-Biotics* (A)		114,500		864
Chiquita Brands International*		134,600		2,006
Coca-Cola Enterprises		10,800		312
Constellation Brands, Cl A*		192,696		4,232
Corn Products International		43,965		2,494
Cosan Industria e Comercio (Brazil)		65,800		1,002
Diamond Foods (A)		57,450		4,276
Dole Food* (A)		71,399		958
Fresh Del Monte Produce (A)		48,300		1,328
Fresh Market*		58,720		2,363
Green Mountain Coffee Roasters* (A)		89,320		7,357
Hain Celestial Group* (A)		59,451		2,126
Hansen Natural*		5,800		415
Herbalife		103,300		5,814
J&J Snack Foods		18,265		941
Kroger		102,526		2,545
Lancaster Colony (A)		8,475		514
Mead Johnson Nutrition, Cl A		10,200		691


Description	Shares		Market Value ($ Thousands)

Molson Coors Brewing, Cl B (A)		67,207	$	3,135
Nash Finch (A)		152		6
Omega Protein*		90,700		1,176
Pantry*		156,720		2,895
Prestige Brands Holdings*		118,868		1,535
Ruddick (A)		2,106		92
Snyders-Lance		28,506		606
Spartan Stores		97,961		1,827
SUPERVALU (A)		94,000		964
Susser Holdings*		100		1
Sysco (A)		78,070		2,515
TreeHouse Foods* (A)		37,271		2,271
United Natural Foods*		102,400		4,455
Viterra, Cl Common Subscription Recei		76,700		937
Weis Markets		17,700		711
Whole Foods Market (A)		1,700		104

				69,326


Energy — 7.0%
Alpha Natural Resources* (A)		11,200		614
Approach Resources*		28,100		732
Arch Coal		4,200		126
Atwood Oceanics* (A)		32,900		1,426
Berry Petroleum, Cl A (A)		173,242		9,080
BPZ Resources* (A)		253,300		1,109
Brigham Exploration* (A)		17,026		530
CARBO Ceramics (A)		2,800		421
Carrizo Oil & Gas* (A)		55,925		2,137
Cheniere Energy* (A)		1,039		12
Clayton Williams Energy*		15,500		1,162
Cloud Peak Energy*		63,300		1,345
Complete Production Services* (A)		207,896		6,900
Comstock Resources* (A)		170,384		5,123
Core Laboratories (A)		20,254		2,080
Crosstex Energy		5,962		67
CVR Energy*		6,400		140
Dresser-Rand Group* (A)		96,837		5,092
Dril-Quip*		59,400		4,406
Energen		40,580		2,527
Energy XXI Bermuda* (A)		12,189		418
EQT (A)		44,360		2,403
Exterran Holdings* (A)		28,800		621
Forest Oil*		45,460		1,359
Frontier Oil		5,900		176
Frontline (A)		30,888		569
GeoMet* (A)		103,700		135
Global Geophysical Services*		6,700		116
Global Industries*		180,558		1,132
Goodrich Petroleum* (A)		290,441		5,940
Gulfmark Offshore, Cl A*		83,830		3,429
Gulfport Energy*		50,200		1,485
Helix Energy Solutions Group* (A)		128,401		2,249
Holly (A)		15,800		985
Hornbeck Offshore Services* (A)		45,590		1,230
ION Geophysical* (A)		155,720		1,571
James River Coal* (A)		137,150		3,006
Karoon Gas Australia*		111,715		786
Key Energy Services* (A)		399,306		7,060
Kinder Morgan Escrow*		58,118		—


2		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Small/Mid Cap Equity Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Kodiak Oil & Gas* (A)		452,461	$	3,099
Lufkin Industries		25,351		2,300
Magnum Hunter Resources* (A)		174,900		1,247
Massey Energy		2,600		172
Matrix Service*		50,700		678
Murphy Oil		35,496		2,445
Nabors Industries*		90,798		2,532
Newfield Exploration*		36,340		2,711
Newpark Resources* (A)		54,800		532
Northern Oil And Gas* (A)		35,345		710
Oil States International*		1,000		79
Oilsands Quest* (A)		2,380,424		1,024
Patriot Coal* (A)		87,900		2,033
Penn Virginia (A)		66,400		969
PetroHawk Energy*		193,498		5,122
Petroleum Development* (A)		98,346		3,575
Petroquest Energy* (A)		11,600		93
Pioneer Drilling*		70,096		1,026
Pioneer Natural Resources (A)		24,307		2,232
Porto Energy*		1,043,500		959
Quicksilver Resources*		250,947		3,586
Range Resources (A)		44,084		2,465
Rosetta Resources* (A)		78,557		3,861
Scorpio Tankers* (A)		288,022		2,906
Ship Finance International (A)		16,944		328
SM Energy (A)		15,765		1,048
StealthGas*		36,000		177
Swift Energy*		89,149		3,497
Targa Resources (A)		92,144		3,218
Tesoro* (A)		79,000		1,928
Tidewater (A)		57,810		3,159
Triangle Petroleum*		139,600		966
Ultra Petroleum* (A)		35,502		1,726
USEC* (A)		61,099		255
Vantage Drilling* (A)		625,600		1,251
Venoco*		3,500		51
W&T Offshore (A)		137,800		3,569
Warren Resources*		261,300		1,006
Western Refining* (A)		126,400		2,203
Whiting Petroleum*		56,946		3,821
World Fuel Services (A)		137,047		5,013

				159,271


Financials — 18.9%
1st Source		800		17
Advance America Cash Advance Centers		104,300		641
Allied World Assurance Holdings		23,587		1,430
Alterra Capital Holdings (A)		20,900		475
AMB Property‡ (A)		108,550		4,015
American Campus Communities‡		7,600		269
American Capital*		37,287		369
American Capital Agency‡ (A)		20,800		632
American Equity Investment Life Holding (A)		25,400		330
American Financial Group		164,635		5,854
Ameriprise Financial		78,774		4,823
Annaly Capital Management‡ (A)		65,700		1,191
Anworth Mortgage Asset‡		136,900		993
Apartment Investment & Management, Cl A‡		118,708		3,173
Arch Capital Group*		122,448		4,130


Description	Shares		Market Value ($ Thousands)

Ares Capital (A)		8,677	$	146
Aspen Insurance Holdings (A)		42,000		1,128
Associated Banc (A)		111,575		1,572
Astoria Financial		7,287		106
AvalonBay Communities‡ (A)		37,263		4,959
Banco Latinoamericano de Comercio Exterior, Cl E		80,200		1,448
Bancorpsouth (A)		240,396		3,087
BankUnited		102,219		2,899
Berkshire Hills Bancorp (A)		55,110		1,215
BGC Partners, Cl A (A)		113,900		947
BioMed Realty Trust‡ (A)		202,155		4,142
BofI Holding*		100		1
Boston Private Financial Holdings (A)		190,943		1,260
Boston Properties‡ (A)		38,700		4,193
Brandywine Realty Trust‡		192,095		2,451
Brasil Brokers Participacoes		143,900		763
BRE Properties‡		47,795		2,438
Calamos Asset Management, Cl A		622		9
Campus Crest Communities‡		80,100		1,025
CapitalSource		175,111		1,133
CapLease‡		210,800		1,077
Capstead Mortgage‡		128,776		1,709
Cardinal Financial		83,237		921
Cash Store Financial Services		74,655		1,027
Cathay General Bancorp (A)		54,600		890
CB Richard Ellis Group, Cl A*		28,826		762
CBL & Associates Properties‡ (A)		250,739		4,824
Chatham Lodging Trust‡		18,400		302
Chemical Financial		6,942		137
Chimera Investment‡ (A)		330,500		1,292
City National		1,500		85
CNA Financial		54,600		1,668
CNO Financial Group*		297,699		2,304
CoBiz Financial (A)		183,910		1,181
Colonial Properties Trust‡		69,150		1,459
Comerica		76,528		2,763
Commerce Bancshares		1		—
CommonWealth REIT‡*		147,875		3,207
CompuCredit Holdings*		100		—
Cowen Group, Cl A* (A)		300,600		1,239
Credit Acceptance* (A)		31,282		2,499
CreXus Investment‡		143,000		1,617
Cullen/Frost Bankers (A)		3,900		227
CVB Financial (A)		147,744		1,325
Delphi Financial Group, Cl A		25,500		744
Developers Diversified Realty‡ (A)		163,703		2,372
DiamondRock Hospitality‡ (A)		301,394		3,466
Digital Realty Trust‡ (A)		30,972		1,932
Dime Community Bancshares		50,900		714
Dollar Financial* (A)		57,100		1,297
Duff & Phelps, Cl A		51,355		756
DuPont Fabros Technology‡ (A)		64,405		1,684
Eagle Bancorp* (A)		102,165		1,294
East West Bancorp		2,800		56
Eaton Vance (A)		84,597		2,669
Education Realty Trust‡		576,305		5,014
EMC Insurance Group		3,067		61
Employers Holdings (A)		146,939		2,441
Encore Bancshares*		32,000		384
Encore Capital Group*		44,565		1,475


3		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Small/Mid Cap Equity Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Endurance Specialty Holdings		93,128	$	3,782
Epoch Holding		122,819		2,062
Equity Lifestyle Properties‡		1,900		112
Equity One‡ (A)		92,857		1,821
Equity Residential‡		95,150		5,883
ESSA Bancorp		18,100		213
Evercore Partners, Cl A		59,480		2,201
Everest Re Group		22,700		2,020
Excel Trust‡ (A)		103,726		1,257
Extra Space Storage‡		67,300		1,464
FBL Financial Group, Cl A		300		10
FBR Capital Markets*		182,500		663
Federal Realty Investment Trust‡		30,490		2,671
Federated Investors, Cl B (A)		176,046		4,512
Fifth Third Bancorp		210,886		2,754
Financial Engines* (A)		88,678		2,208
First Financial Bancorp (A)		187,894		3,006
First Horizon National (A)		180,487		1,897
First Midwest Bancorp		137,863		1,688
First Potomac Realty Trust‡		72,000		1,208
FirstMerit (A)		152,807		2,489
Flushing Financial		136,100		1,826
Gain Capital Holdings*		207,500		1,251
General Growth Properties‡ (A)		105,170		1,733
General Shopping Brasil (Brazil)*		57,200		433
GFI Group		157,800		715
Global Indemnity, Cl A*		32,700		758
Gluskin Sheff + Associates		31,900		616
Government Properties Income Trust‡		18,100		479
Great American Group*		115,000		29
Green Dot, Cl A* (A)		33,940		1,315
Greenhill (A)		26,525		1,476
Hancock Holding (A)		103,927		3,358
Hanover Insurance Group		104,048		4,272
Hatteras Financial‡		8,700		254
HCP‡		156,300		5,930
Health Care REIT‡ (A)		82,934		4,411
Hercules Technology Growth Capital		94,618		1,036
Highwoods Properties‡ (A)		90,185		3,254
Home Bancshares		28,900		693
Home Properties‡ (A)		11,020		682
Horace Mann Educators		160,615		2,621
Hospitality Properties Trust‡		124,700		3,078
Host Hotels & Resorts‡		328,827		5,781
Hudson Valley Holding		39,246		859
Huntington Bancshares		551,400		3,639
Iberiabank (A)		29,490		1,733
Infinity Property & Casualty (A)		39,689		2,110
Inland Real Estate‡ (A)		228,001		2,082
Interactive Brokers Group, Cl A		5,600		96
International Bancshares (A)		47,046		803
Janus Capital Group		173,160		1,789
Jones Lang LaSalle		18,404		1,788
Justice Holdings*		133,845		2,168
Kennedy-Wilson Holdings* (A)		28,800		331
Keycorp		253,750		2,149
Kilroy Realty‡ (A)		3,200		133
Knight Capital Group, Cl A* (A)		92,200		1,138
LaSalle Hotel Properties‡		55,075		1,541
Lexington Realty Trust‡ (A)		502,862		4,747


Description	Shares		Market Value ($ Thousands)

Liberty Property Trust‡		130,968	$	4,723
LPL Investment Holdings*		86,883		3,123
LTC Properties‡		5,437		160
Macerich‡ (A)		36,498		1,984
Mack-Cali Realty‡		66,350		2,346
Maiden Holdings		103,400		972
MarketAxess Holdings		183,985		4,408
MB Financial		35,970		715
Meadowbrook Insurance Group (A)		366,430		3,617
Medical Properties Trust‡		99,300		1,227
MF Global Holdings* (A)		22,282		172
MFA Mortgage Investments‡		666,534		5,492
MGIC Investment* (A)		23,400		189
Mid-America Apartment Communities‡ (A)		52,000		3,565
Montpelier Re Holdings		75,900		1,428
Moody’s (A)		141,200		5,635
MSCI, Cl A*		113,860		4,300
NASB Financial*		100		1
NASDAQ OMX Group*		100		3
National Financial Partners* (A)		83,645		1,093
National Penn Bancshares		598,446		4,518
National Retail Properties‡ (A)		53,880		1,389
Nationwide Health Properties‡		500		22
Nelnet, Cl A		101,300		2,228
Netspend Holdings* (A)		218,350		1,830
Northwest Bancshares		100,100		1,256
Old National Bancorp		137,560		1,486
Oppenheimer Holdings, Cl A		353		10
Oriental Financial Group		50,000		617
PacWest Bancorp (A)		86,865		1,833
PartnerRe		44,390		3,322
Pennsylvania Real Estate Investment Trust‡ (A)		44,700		767
People’s United Financial (A)		202,701		2,706
Piedmont Office Realty Trust, Cl A‡ (A)		56,350		1,159
Platinum Underwriters Holdings		96,104		3,281
Plum Creek Timber‡		100		4
PMI Group*		100		—
Popular*		26,900		78
Post Properties‡		54,958		2,314
PrivateBancorp, Cl A		64,640		1,058
ProAssurance*		106,763		7,507
ProLogis‡		192,450		3,187
Prosperity Bancshares		33,670		1,473
Protective Life		28,779		695
Public Storage‡		30,104		3,562
Pzena Investment Management, Cl A		200		1
Radian Group (A)		34,500		172
RAIT Financial Trust‡ (A)		69,000		148
Raymond James Financial		12,826		458
Redwood Trust‡ (A)		12,630		196
Regency Centers‡ (A)		58,700		2,718
Regions Financial		118,700		838
Reinsurance Group of America, Cl A		89,727		5,700
Renasant		23,400		350
Republic Bancorp, Cl A		37,026		758
S&T Bancorp (A)		6,000		112


4		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Small/Mid Cap Equity Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Safeguard Scientifics*		97,127	$	1,896
Sandy Spring Bancorp		79,604		1,499
SCBT Financial		16,100		502
Selective Insurance Group		17,200		285
Senior Housing Properties Trust‡		10,100		244
Signature Bank NY* (A)		48,829		2,779
Simmons First National, Cl A		14,300		374
Simon Property Group‡		45,979		5,428
SL Green Realty‡ (A)		45,450		4,091
Southside Bancshares (A)		36,120		728
Sovran Self Storage‡		7,000		294
StanCorp Financial Group (A)		36,700		1,585
Starwood Property Trust‡		21,000		457
Summit Hotel Properties‡		123,800		1,394
Sunstone Hotel Investors‡*		282,823		2,876
Susquehanna Bancshares (A)		268,645		2,343
SVB Financial Group* (A)		132,279		7,855
Synovus Financial (A)		1,393,043		3,315
Taubman Centers‡ (A)		16,338		990
TCF Financial (A)		273,714		4,119
TFS Financial		21,600		221
THL Credit		29,500		397
Titanium Asset (D) (E) (F)*		105,000		95
Titanium Asset Management*		42,000		21
Tower Group (A)		45,400		1,103
Trustco Bank (A)		33,721		200
Trustmark (A)		63,178		1,506
United Financial Bancorp		15,000		240
Unitrin		51,000		1,521
Unum Group		181,694		4,780
Uranium Participation*		122,500		799
U-Store-It Trust‡		173,610		1,957
Validus Holdings		58,800		1,895
Value Creation (D) (E) (F)*		85,600		108
Ventas‡ (A)		49,900		2,814
ViewPoint Financial Group		48,800		636
Waddell & Reed Financial, Cl A		69,454		2,681
Washington Federal		21,200		337
Washington Real Estate Investment Trust‡		20,100		694
Webster Financial		66,125		1,379
WesBanco		53,800		1,066
Westamerica Bancorporation		93		5
Western Alliance Bancorp*		320,694		2,364
Whitney Holding		323,087		4,339
Willis Group Holdings (A)		69,814		2,897
Wintrust Financial (A)		106,960		3,473
World Acceptance* (A)		51,127		3,409
WR Berkley (A)		39,600		1,311
WSFS Financial		39,716		1,659
Zions Bancorporation (A)		379,857		9,052

				438,085


Health Care — 12.1%
Abaxis*		74,406		2,316
Acadia Pharmaceuticals*		346,800		655
Accuray*		44,300		338
Acorda Therapeutics*		27,901		917
Alere* (A)		22,900		916
Alexion Pharmaceuticals*		80,600		3,822
Align Technology*		113,174		2,773
Alliance HealthCare Services*		2,600		11


Description	Shares		Market Value ($ Thousands)

Allscripts Healthcare Solutions*		97,860	$	1,968
Amedisys* (A)		33,875		1,060
AMERIGROUP* (A)		29,441		2,088
AmerisourceBergen		60,938		2,512
AMN Healthcare Services*		44,700		387
Amsurg, Cl A* (A)		109,515		2,838
Analogic		1,905		102
Ardea Biosciences*		48,727		1,218
Arena Pharmaceuticals* (A)		605,045		871
Assisted Living Concepts, Cl A		6,600		221
athenahealth* (A)		60,765		2,721
Auxilium Pharmaceuticals* (A)		73,901		1,655
Brookdale Senior Living, Cl A*		6,800		176
Bruker* (A)		31,500		621
CareFusion*		140,350		4,067
Catalyst Health Solutions*		168,050		10,256
Centene*		7,800		271
Cephalon*		16,800		1,339
Cepheid*		600		19
Charles River Laboratories International*		1,555		60
Chemed (A)		7,777		526
Community Health Systems*		12,300		352
Conceptus* (A)		108,335		1,379
Conmed*		41,505		1,175
Cooper (A)		105,671		7,916
Corvel*		562		30
Covance* (A)		72,750		4,282
Coventry Health Care*		197,050		6,932
Cubist Pharmaceuticals*		55,262		2,129
Cyberonics*		114,200		3,729
Dentsply International		8,588		337
Durect*		436,959		1,529
Edwards Lifesciences*		24,000		2,130
Emergent Biosolutions*		72,640		1,815
Endo Pharmaceuticals Holdings*		80,200		3,339
Ensign Group (A)		66,500		1,988
ePocrates* (A)		53,100		1,118
eResearch Technology*		47,400		301
Exelixis* (A)		138,570		1,612
Forest Laboratories*		33,700		1,214
Gen-Probe*		102,456		8,380
Gentiva Health Services*		700		17
Greatbatch*		43,245		1,252
Haemonetics*		35,275		2,386
Health Management Associates, Cl A*		372,316		4,244
Health Net*		146,745		4,709
Healthsouth*		164,866		4,628
Healthspring*		2,800		123
HeartWare International* (A)		52,289		3,809
Hill-Rom Holdings (A)		11,800		539
Hologic*		113,135		2,432
Human Genome Sciences*		3,800		104
Humana		24,900		2,005
ICU Medical*		36,400		1,578
Idexx Laboratories* (A)		19,066		1,501
Immunogen* (A)		81,700		993
Incyte* (A)		248,675		4,409
Invacare (A)		108,739		3,651
Ironwood Pharmaceuticals, Cl A*		126,820		1,918
Jazz Pharmaceuticals* (A)		4,088		120


5		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Small/Mid Cap Equity Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Kensey Nash*		4,800	$	126
Kindred Healthcare* (A)		28,900		709
Kinetic Concepts* (A)		44,000		2,611
LHC Group* (A)		38,100		1,028
LifePoint Hospitals*		106,043		4,454
Magellan Health Services*		99,089		5,246
MAKO Surgical* (A)		14,525		478
Masimo (A)		194,918		5,988
Medical Action Industries*		70,700		689
Medicines*		70,900		1,355
Medicis Pharmaceutical, Cl A		73,295		2,746
Mednax*		36,170		2,718
Meridian Bioscience (A)		6,300		150
Metropolitan Health Networks*		197,591		962
Momenta Pharmaceuticals* (A)		2,900		58
MWI Veterinary Supply*		45,112		3,803
Mylan Laboratories*		26,364		621
Myriad Genetics*		17,362		441
Neurocrine Biosciences*		13,156		109
NuVasive* (A)		186,217		6,292
NxStage Medical*		1,900		36
Omnicare (A)		100,807		3,169
Omnicell*		34,533		532
Onyx Pharmaceuticals*		63,554		2,698
Orthofix International*		10,600		433
Owens & Minor (A)		8,500		294
Par Pharmaceutical*		95,139		3,269
Parexel International*		101,398		2,552
Patterson		90,675		3,136
PDL BioPharma (A)		174,300		1,157
PerkinElmer		14,626		405
Perrigo (A)		8,400		719
Pharmaceutical Product Development (A)		141,150		4,072
Pharmasset*		14,820		1,515
PharMerica*		141,802		1,750
Pozen* (A)		154,807		797
Providence Service*		70,517		959
PSS World Medical* (A)		121,983		3,564
Quality Systems (A)		21,926		1,887
Quest Diagnostics		46,478		2,715
Questcor Pharmaceuticals* (A)		5,900		136
Regeneron Pharmaceuticals* (A)		24,530		1,472
RehabCare Group*		24,900		936
Rigel Pharmaceuticals* (A)		145,000		1,203
Salix Pharmaceuticals*		239,983		9,606
Sciclone Pharmaceuticals* (A)		183,521		1,070
Seattle Genetics* (A)		185,577		3,595
Select Medical Holdings*		18,507		176
Sirona Dental Systems*		96,625		5,224
Skilled Healthcare Group, Cl A*		98,400		1,116
STERIS		119,778		4,323
SXC Health Solutions*		68,790		4,054
Symmetry Medical*		28,400		290
Team Health Holdings*		15,934		357
Techne		34,540		2,815
Teleflex (A)		90,229		5,603
Tornier*		3,300		91
Triple-S Management, Cl B*		1,300		29
United Therapeutics*		30,150		1,947
Valeant Pharmaceuticals International		14,437		756


Description	Shares		Market Value ($ Thousands)

Varian Medical Systems*		31,909	$	2,155
Vertex Pharmaceuticals*		6,150		332
Viropharma*		2,500		48
Volcano* (A)		158,684		4,987
Waters*		425		42
WellCare Health Plans*		113,470		5,588
WuXi PharmaTech Cayman ADR*		106,100		1,936
Zoll Medical*		86,899		5,284

				280,243


Industrials — 16.1%
AAR		54,493		1,438
ABM Industries (A)		33,789		770
Acacia Research - Acacia Technologies*		115		4
ACCO Brands*		115,215		956
Actuant, Cl A (A)		140,912		3,543
Advisory Board* (A)		83,290		4,379
Aecom Technology*		107,270		3,075
Aegean Marine Petroleum Network (A)		113,800		952
AerCap Holdings*		332,218		4,505
AGCO*		82,550		4,265
Air Transport Services Group*		22,900		171
Aircastle		24,300		305
Albany International, Cl A		32,000		883
Alliant Techsystems (A)		6,723		481
Altra Holdings*		4,084		108
Amerco*		15,600		1,409
American Reprographics*		1,600		15
American Science & Engineering		800		69
Ameron International		17,461		1,173
AO Smith		36,816		1,527
Applied Industrial Technologies		34,800		1,239
Atlas Air Worldwide Holdings*		13,912		880
Avery Dennison		65,071		2,755
Barnes Group (A)		22,138		534
BE Aerospace*		245,685		9,194
Beacon Roofing Supply* (A)		27,418		601
Belden		87,700		3,152
Blount International*		7,552		128
BlueLinx Holdings*		536		2
Brady, Cl A		56,661		1,953
Briggs & Stratton (A)		85,620		1,785
Brink’s		3,000		89
Bucyrus International, Cl A		6,600		606
CAI International*		66,990		1,565
Carlisle		28,700		1,395
Cascade		100		4
Celadon Group*		114,993		1,610
Cenveo*		13,515		88
Ceradyne*		44,404		1,987
Chart Industries*		86,650		4,209
Chicago Bridge & Iron		1,500		57
Cintas (A)		97,474		3,202
Clean Harbors*		36,353		3,678
Coleman Cable*		1,985		28
Columbus McKinnon*		57,715		1,125
Commercial Vehicle Group*		114,800		1,777
Consolidated Graphics*		63,623		3,511
Con-way		70,110		2,771


6		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Small/Mid Cap Equity Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Copa Holdings, Cl A		103,723	$	6,482
Copart*		77,238		3,630
Corporate Executive Board (A)		23,175		975
Corrections Corp of America*		155,486		3,576
CoStar Group* (A)		75,841		4,786
Courier (A)		32,275		364
CRA International*		45,400		1,271
Crane		78,015		3,838
Cubic		23,531		1,206
Curtiss-Wright		81,835		2,791
Deluxe		87,800		2,260
DigitalGlobe*		104,700		2,578
Dover		38,575		2,593
DXP Enterprises*		600		15
Dycom Industries*		135,660		2,318
Dynamic Materials		78,897		1,777
EMCOR Group*		205,939		6,254
Encore Wire		1,100		27
EnPro Industries* (A)		43,700		1,992
ESCO Technologies		50,025		1,879
Esterline Technologies*		6,751		510
Flowserve		19,267		2,336
Fluor		35,848		2,471
Force Protection*		191,300		926
FreightCar America*		46,352		1,282
FTI Consulting*		36,300		1,386
G&K Services, Cl A		128,938		4,078
Gardner Denver		36,720		3,076
GATX		3,800		151
Generac Holdings*		7,400		136
General Cable* (A)		68,300		2,851
Geo Group*		187,337		4,607
Global Power Equipment Group* (A)		5,100		143
Gorman-Rupp		529		23
Graco (A)		4,700		238
GrafTech International* (A)		11,000		233
Granite Construction (A)		18,500		508
Great Lakes Dredge & Dock		108,300		657
Greenbrier* (A)		2,176		57
Griffon*		4,697		50
H&E Equipment Services* (A)		56,800		824
Hawaiian Holdings* (A)		278,650		1,544
Heico, Cl A		79,112		3,167
Heico (A)		1,500		82
Hertz Global Holdings*		49,576		801
Hexcel*		138,716		2,867
Higher One Holdings* (A)		1,600		25
Horizon Lines, Cl A (A)		174,669		196
Huron Consulting Group*		42,250		1,281
ICF International*		9,300		239
IDEX		30,264		1,372
IHS, Cl A*		31,770		2,787
Innerworkings* (A)		303,235		2,568
Insituform Technologies, Cl A*		1,700		44
Insperity		800		25
Interface, Cl A		268,601		5,171
Iron Mountain (A)		73,489		2,499
JB Hunt Transport Services (A)		69,215		3,173
JetBlue Airways* (A)		106,300		645
Joy Global		23,998		2,151
Kadant*		97,142		2,858


Description	Shares		Market Value ($ Thousands)

Kaman (A)		3,204	$	116
Kansas City Southern*		72,250		4,255
KAR Auction Services*		3,792		79
Kaydon (A)		115,858		4,214
KBR		48,200		1,799
Kelly Services, Cl A*		2,400		42
Kennametal		113,487		4,736
Kirby*		20,000		1,149
Knight Transportation (A)		71,202		1,218
Korn/Ferry International*		2,800		60
Kratos Defense & Security Solutions* (A)		99,726		1,211
Landstar System		81,603		3,861
LB Foster, Cl A		31,512		1,143
Lincoln Electric Holdings		4,859		363
Localiza Rent a Car		137,150		2,262
Lydall*		42,858		513
M&F Worldwide*		1,200		25
Manitowoc (A)		32,100		578
Manpower		13,276		812
Marten Transport		27,400		615
Masco (A)		154,296		2,199
MasTec*		5,400		114
Meritor* (A)		202,100		3,337
Metalico* (A)		6,600		39
Michael Baker*		43,600		1,134
Miller Industries		1,840		32
Mine Safety Appliances (A)		10,200		383
Mistras Group*		1,001		17
Mobile Mini*		100,676		2,265
Moog, Cl A*		25,400		1,043
MSC Industrial Direct, Cl A		48,752		3,389
Mueller Industries		3,843		143
Mueller Water Products, Cl A (A)		292,583		1,182
Navigant Consulting*		62,400		630
Navistar International*		54,063		3,561
NN*		85,100		1,235
Nordson		6,200		322
Northwest Pipe*		300		8
Old Dominion Freight Line* (A)		234,243		8,744
Orion Marine Group*		120,542		1,283
Oshkosh Truck*		59,600		1,651
Owens Corning*		61,750		2,359
Pitney Bowes (A)		97,797		2,336
Polypore International*		34,800		2,281
Quanex Building Products (A)		55,340		1,098
Quanta Services*		17,962		355
Regal-Beloit		7,737		534
Republic Airways Holdings*		62,500		305
Republic Services, Cl A		88,629		2,794
Resources Connection		184,938		2,610
Ritchie Bros Auctioneers (A)		153,749		4,262
Robbins & Myers		39,740		1,751
Roper Industries		78,120		6,521
RSC Holdings* (A)		212,860		2,846
Rush Enterprises, Cl B*		76,886		1,332
Rush Enterprises, Cl A* (A)		3,100		62
Ryder System		17,100		940
Sauer-Danfoss*		15,300		817
School Specialty* (A)		113,854		1,751
SeaCube Container Leasing		70,100		1,258
Sensata Technologies Holding*		177,053		6,424


7		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Small/Mid Cap Equity Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Shaw Group*		16,600	$	606
Skywest		49,700		767
Spirit Aerosystems Holdings, Cl A*		181,129		3,967
Spirit Airlines*		48,400		571
Standard Parking*		94,598		1,559
Standex International		31,600		1,050
Sun Hydraulics		900		44
Swift Transporation, Cl A*		17,900		243
SYKES Enterprises*		181,663		3,929
TAL International Group (A)		105,270		3,551
Teledyne Technologies*		55,814		2,740
Tennant		1,399		54
Terex*		48,685		1,443
Tetra Tech*		157,160		3,824
Textainer Group Holdings (A)		33,900		1,094
Timken		22,100		1,141
Titan International (A)		4,400		121
Titan Machinery* (A)		9,870		264
Towers Watson, Cl A		81,536		5,174
TransDigm Group*		43,716		3,585
Trex* (A)		94,453		2,886
Trinity Industries (A)		77,670		2,671
Triumph Group (A)		18,890		1,767
TrueBlue*		103,890		1,521
Tutor Perini		115,517		2,345
United Rentals* (A)		235,175		6,430
United Stationers		24,700		1,828
URS*		6,663		294
US Airways Group* (A)		127,800		1,163
US Ecology		148		3
UTi Worldwide		15,826		352
Verisk Analytics, Cl A*		9,600		327
Vitran, Cl A*		209,825		3,147
Wabash National*		467,398		4,520
WABCO Holdings*		5,325		365
Wabtec		38,931		2,631
Watsco (A)		7,800		522
Watts Water Technologies, Cl A (A)		39,614		1,386
Werner Enterprises (A)		121,340		3,043
WESCO International* (A)		101,025		5,617
Woodward Governor		1,300		46
Zipcar* (A)		1,000		25

				373,617


Information Technology — 16.2%
Acme Packet*		31,875		2,413
Adobe Systems*		83,590		2,895
ADTRAN		87,230		3,739
Advent Software* (A)		15,607		436
Aeroflex Holding*		45,200		824
Akamai Technologies*		1,000		34
Alliance Data Systems* (A)		16,126		1,515
Amkor Technology* (A)		27,400		175
Analog Devices		67,385		2,774
Ancestry.com* (A)		126,138		5,188
Anixter International		15,663		1,060
Ansys*		92,400		5,301
AOL* (A)		24,901		512
Applied Micro Circuits*		251,020		2,656
Ariba*		7,200		241


Description	Shares		Market Value ($ Thousands)

Arris Group*		100,300	$	1,132
Aruba Networks* (A)		88,990		2,529
AsiaInfo Holdings* (A)		19,409		348
Aspen Technology*		4,000		66
Atmel*		278,039		4,176
Avid Technology*		72,854		1,273
Avnet*		34,300		1,242
AVX		6,900		109
Benchmark Electronics*		161,395		2,789
Black Box		24,000		791
Blackbaud (A)		6,140		173
Blackboard* (A)		96,432		4,155
Booz Allen Hamilton Holding, Cl A*		14,437		260
Brightpoint*		73,085		661
BroadSoft* (A)		178,460		7,056
Brocade Communications Systems*		857,549		5,720
Cabot Microelectronics* (A)		23,100		1,161
CACI International, Cl A*		27,991		1,787
Cadence Design Systems* (A)		427,430		4,569
Cardtronics*		170,298		3,770
Cavium Networks* (A)		133,289		5,929
CDC Software ADR* (A)		97,300		470
Ceva*		110,519		3,794
Checkpoint Systems*		6,872		124
Ciber*		400,829		2,445
Ciena* (A)		96,880		2,592
Cogo Group*		1,783		12
Coherent*		47,943		2,690
CommVault Systems*		98,093		4,055
Computer Sciences		33,500		1,336
Comtech Telecommunications (A)		52,618		1,462
Comverse Technology*		120,200		893
Concur Technologies* (A)		56,450		2,821
Constant Contact* (A)		204,194		4,911
Convergys*		118,100		1,509
CoreLogic		6,200		112
CSG Systems International*		3,969		76
CTS		71,586		733
Cymer* (A)		78,615		3,763
Cypress Semiconductor		8,600		201
Daktronics (A)		8,000		86
Deltek*		145		1
Demand Media* (A)		128,370		1,953
DG FastChannel* (A)		16,391		580
Dice Holdings*		160,260		2,367
Diebold (A)		51,030		1,687
Digi International*		53,400		630
Digital River* (A)		149,431		4,864
Dolby Laboratories, Cl A* (A)		7,276		340
DST Systems		7,500		377
DTS* (A)		72,875		3,358
Earthlink (A)		202,450		1,598
Echo Global Logistics* (A)		2,814		42
Electronics for Imaging*		9,953		180
Emulex*		283,837		2,640
Euronet Worldwide*		198,003		3,424
Evergreen Solar* (A)		4,500		3
F5 Networks*		42,300		4,804
Fabrinet*		61,600		1,459
Factset Research Systems (A)		9,108		1,010


8		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Small/Mid Cap Equity Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Fairchild Semiconductor International, Cl A*		312,442	$	5,637
Finisar* (A)		64,920		1,559
FleetCor Technologies*		15,413		520
Forrester Research		85,050		3,227
Fortinet* (A)		7,246		351
Gartner*		78,488		3,063
Gerber Scientific* (A)		112,900		1,094
Global Payments		59,535		3,094
GSI Commerce* (A)		74,515		2,180
GT Solar International* (A)		234,000		2,986
Hackett Group*		184,700		918
Harris		58,100		2,872
Heartland Payment Systems (A)		25,775		490
hiSoft Technology International ADR* (A)		—		—
iGate (A)		2,300		42
Imation* (A)		41,300		401
Ingram Micro, Cl A*		156,460		2,974
Inphi*		120,550		2,392
Insight Enterprises*		81,705		1,370
Integral Systems*		93,600		1,111
Integrated Device Technology* (A)		516,306		4,332
Intermec*		125,939		1,521
International Rectifier* (A)		22,126		637
Intersil, Cl A (A)		10,740		154
iSoftstone Holdings ADR* (A)		72,350		1,152
Itron*		7,765		398
Ixia*		64,870		1,021
j2 Global Communications* (A)		54,310		1,574
Jabil Circuit (A)		280,270		6,048
Jack Henry & Associates		26,934		841
JDA Software Group*		105,516		3,485
KIT Digital* (A)		118,331		1,450
Kla-Tencor		27,500		1,185
Knot* (A)		113,409		1,164
Lawson Software*		117,246		1,305
Lender Processing Services (A)		7,400		197
Lexmark International, Cl A*		50,100		1,492
Liquidity Services*		20,000		419
Littelfuse		22,037		1,322
LivePerson* (A)		142,484		1,690
LogMeIn*		100,700		4,382
LSI*		374,300		2,804
Measurement Specialties*		32,913		1,259
MEMC Electronic Materials*		4,500		47
Methode Electronics		2,163		26
Micros Systems*		9,450		483
Microsemi*		69,876		1,541
Mindspeed Technologies*		173,980		1,512
Mitel Networks*		247,985		1,180
Molex (A)		105,273		2,881
Monolithic Power Systems*		38,246		662
Monster Worldwide* (A)		16,426		253
Move*		29,024		57
MTS Systems		3,755		154
Multi-Fineline Electronix*		1,200		25
National Instruments		5,056		148
Netgear*		34,000		1,423
Netlogic Microsystems* (A)		172,425		6,607
NetSuite* (A)		600		23


Description	Shares		Market Value ($ Thousands)

Novatel Wireless* (A)		107,000	$	571
Omnivision Technologies*		2,500		88
ON Semiconductor*		181,943		2,041
OpenTable* (A)		6,900		609
OSI Systems*		20,000		800
Parametric Technology*		290,837		6,774
Park Electrochemical		41,000		1,234
Parkervision* (A)		403,685		347
Pegasystems (A)		82,465		3,080
Photronics* (A)		18,536		186
Plantronics		8,900		326
Plexus*		68,653		2,559
PMC - Sierra*		159,000		1,247
Polycom*		49,570		2,846
Power Integrations (A)		103,750		3,820
Power-One* (A)		132		1
PROS Holdings*		37,672		633
Pulse Electronics (A)		43,000		212
QLIK Technologies*		71,283		2,373
QLogic*		2,800		45
Quantum* (A)		365,500		1,122
Quest Software*		20,930		475
QuinStreet* (A)		137,900		2,132
Rambus* (A)		1,266		19
RealD* (A)		68,445		1,869
RealPage* (A)		73,370		2,161
Responsys*		56,275		967
RF Micro Devices*		374,667		2,360
Rofin-Sinar Technologies*		108,000		3,903
Rosetta Stone* (A)		112,270		1,574
Rubicon Technology* (A)		63,945		1,467
SAIC* (A)		116,700		2,049
Sanmina-SCI*		14,126		151
Sapient* (A)		385,808		5,668
SAVVIS*		2,500		98
Scansource*		6,500		230
Seachange International*		98,700		1,111
Silicon Laboratories* (A)		6,097		262
Skyworks Solutions*		166,010		4,228
SolarWinds*		208,950		5,151
Solera Holdings		29,973		1,771
SS&C Technologies Holdings*		131,151		2,564
Stamps.com		1,504		19
STEC* (A)		18,400		330
SuccessFactors* (A)		81,530		2,859
Sycamore Networks		151,050		3,661
Symantec*		126,034		2,464
Synaptics* (A)		5,000		140
SYNNEX* (A)		9,478		310
Synopsys*		204,256		5,584
Syntel		109,481		5,898
Taleo, Cl A* (A)		44,175		1,649
Tech Data*		40,609		1,924
TeleNav*		11,900		194
Teradata*		8,600		480
Teradyne* (A)		9,511		152
TIBCO Software*		10,400		292
TiVo* (A)		41,289		427
TNS*		83,778		1,377
Travelzoo* (A)		1,250		94
Trimble Navigation*		59,133		2,584
TriQuint Semiconductor*		60,700		786


9		SEI Institutional Investment Trust / Annual Report / May 31, 2011

Schedule of Investments

Small/Mid Cap Equity Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

TTM Technologies* (A)		159,530	$	2,642
Ultra Clean Holdings*		91,685		932
Unisys* (A)		12,750		356
United Online (A)		196,960		1,198
Universal Display* (A)		31,240		1,491
Valueclick* (A)		24,309		439
Varian Semiconductor Equipment Associates*		80,832		4,964
Vasco Data Security International*		2,300		28
Veeco Instruments* (A)		500		29
Velti* (A)		238,242		3,683
Vishay Intertechnology*		18,300		290
VistaPrint* (A)		220,953		10,866
Vocus*		29,942		816
WebMD Health, Cl A* (A)		2,100		100
Western Digital*		56,100		2,056
Wright Express*		21,037		1,135
Xyratex*		159,404		1,522
Zebra Technologies, Cl A*		41,400		1,840
Zoran*		31,100		256

				374,987


Materials — 5.3%
A. Schulman		11,199		285
AK Steel Holding (A)		17,200		263
Albemarle		49,876		3,533
Alcoa (A)		110,351		1,855
Allegheny Technologies (A)		45,727		3,064
Allied Nevada Gold*		27,000		1,001
Aptargroup		38,422		2,052
Arch Chemicals		30,458		1,101
Ashland		34,700		2,371
Bemis (A)		79,613		2,637
Boise (A)		138,900		1,172
Buckeye Technologies (A)		71,300		1,816
Cabot		8,394		354
Carpenter Technology (A)		89,242		4,691
Celanese, Cl A		10,875		567
Compass Minerals International		19,521		1,815
Cytec Industries		38,732		2,176
Detour Gold*		70,450		2,251
Eastman Chemical		33,100		3,504
Ferro*		600		8
Georgia Gulf*		3,965		112
Globe Specialty Metals		187,054		4,239
Graham Packaging*		19,016		431
Greif, Cl A		15,866		1,049
H.B. Fuller		18,400		410
Haynes International		31,013		1,745
Horsehead Holding*		200,672		2,677
Huntsman		173,906		3,296
Innophos Holdings		105,175		4,721
Intrepid Potash* (A)		60,550		1,949
Kaiser Aluminum (A)		1,900		100
KMG Chemicals (A)		900		17
Koppers Holdings		9,221		370
ubrizol		24,700		3,322
Metals USA Holdings*		6,203		97
Methanex		93,480		2,983
Minerals Technologies		22,980		1,563
Nalco Holding		616		18


Description	Shares		Market Value ($ Thous ands)

Neenah Paper		9,035	$	210
New Gold*		105,000		1,061
NewMarket (A)		23,836		4,153
Noranda Aluminum Holding*		153,347		2,273
Nucor (A)		67,496		2,858
Olin		6,100		147
OM Group*		50,565		1,885
Owens-Illinois*		100,436		3,226
Packaging Corp of America		137,761		4,009
PolyOne		459,971		7,005
Rockwood Holdings*		57,846		3,042
Romarco Minerals*		494,000		1,050
Royal Gold (A)		1,000		62
RTI International Metals* (A)		140,403		5,354
Sandstorm Resources*		646,900		668
Schnitzer Steel Industries, Cl A (A)		41,440		2,449
Schweitzer-Mauduit International		37,533		1,977
Sensient Technologies		42,635		1,622
Silgan Holdings (A)		44,641		2,004
Solutia*		127,906		3,194
Sonoco Products		25,600		907
Spartech*		7,133		51
Steel Dynamics		164,300		2,810
STR Holdings* (A)		10,670		169
Temple-Inland		8,800		209
Titanium Metals		700		13
UFP Technologies*		60,200		964
Universal Stainless & Alloy*		34,200		1,245
Walter Industries		4,800		598
Westlake Chemical (A)		4,230		237
Worthington Industries (A)		7,100		155
WR Grace*		13,825		647
Zep		700		13

				121,882


Telecommunication Services —1.0%
Alaska Communications Systems Group (A)		31,225		282
Cincinnati Bell* (A)		254,700		810
Cogent Communications Group*		9,519		148
Fairpoint Communications* (A)		94,800		1,015
General Communication, Cl A*		5,601		69
Global Crossing* (A)		7,000		244
Leap Wireless International*		117,900		1,982
MetroPCS Communications* (A)		213,640		3,824
Neutral Tandem* (A)		101,600		1,724
NII Holdings*		121,218		5,292
SBA Communications, Cl A*		138,580		5,445
USA Mobility		76,117		1,238

				22,073


Utilities — 3.8%
AES*		700		9
AGL Resources (A)		155,894		6,409
Ameren		42,000		1,248
Avista		54,700		1,364
Cadiz*		6,100		64
California Water Service Group		6,900		261
Chesapeake Utilities		30,236		1,223
Cia de Saneamento de Minas Gerais-COPASA (Brazil)		41,100		817
Cleco		101,162		3,550


10		SEI Institutional Investment Trust / Annual Report / May 31, 2011

Schedule of Investments

Small/Mid Cap Equity Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

CMS Energy (A)		135,800	$	2,708
Constellation Energy Group		51,307		1,908
DPL		88,800		2,679
Edison International		50,675		1,995
El Paso Electric		142,092		4,425
GenOn Energy*		143,451		572
Great Plains Energy (A)		349,339		7,395
Hawaiian Electric Industries (A)		5,495		136
IDACORP		88,725		3,493
ITC Holdings		1,588		115
Nicor		5,000		275
Northeast Utilities		122,474		4,316
NRG Energy* (A)		107,250		2,656
NV Energy		250,370		3,948
Pinnacle West Capital		32,800		1,484
PNM Resources		149,530		2,472
Portland General Electric		408,279		10,603
SCANA (A)		67,016		2,725
TECO Energy		135,125		2,594
UGI		147,647		4,840
UIL Holdings (A)		58,465		1,937
Unisource Energy		26,600		1,008
Vectren		91,194		2,573
Westar Energy (A)		64,609		1,757
WGL Holdings		37,895		1,487
Xcel Energy (A)		103,788		2,568

				87,614

Total Common Stock (Cost $1,800,219) ($ Thousands)				2,227,781


PREFERRED STOCK — 0.1%

Consumer Discretionary — 0.1%
Callaway Golf (B)		6,300		721


Energy — 0.0%
GeoMet (C)		11,343		139


Financials — 0.0%
Grubb & Ellis*		8,000		440

Total Preferred Stock (Cost $1,535) ($ Thousands)				1,300


CONVERTIBLE BONDS — 0.1%

Energy — 0.1%
Rentech
4.000%, 04/15/13		990		916


Financials — 0.0%
Grubb & Ellis
7.950%, 05/01/15 (B)		288		250

Total Convertible Bonds (Cost $751) ($ Thousands)				1,166


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)

EXCHANGE TRADED FUND — 0.0%
iShares Russell 2000 Index Fund(A)		10,748	$	912

Total Exchange Traded Fund (Cost $853) ($ Thousands)				912


WARRANTS — 0.0%
Kulim, Expires 02/27/16		51,500		—
Rentech, Expires 04/25/12 (D) (E) (F)*		13,800		—
Sandstorm Resources, Expires 04/23/14*		158,125		87
Titanium Asset Management, Expires 06/21/11*		105,000		—

Total Warrants (Cost $0) ($ Thousands)				87


AFFILIATED PARTNERSHIP — 24.1%
SEI Liquidity Fund, L.P.,
0.150%**† (I)		565,630,922		558,169

Total Affiliated Partnership (Cost $565,631) ($ Thousands)				558,169


CASH EQUIVALENT — 3.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.050%, 05/31/11**†		85,124		85,124

Total Cash Equivalent (Cost $85,124) ($ Thousands)				85,124


U.S. TREASURY OBLIGATION — 0.3%
U.S. Treasury Bill (G) (H)
0.042%, 06/30/11	$	7,566		7,566

Total U.S. Treasury Obligation (Cost $7,565) ($ Thousands)				7,566

Total Investments — 124.5% (Cost $2,461,678) ($ Thousands)			$	2,882,105

A summary of the open futures contracts held by the Fund at May 31, 2011, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
Russell 2000 Index E-MINI		323		Jun-2011	$	834
S&P Mid 400 Index E-MINI		237		Jun-2011		539

					$	1,373

For the period ended May 31, 2011, 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.


11		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Small/Mid Cap Equity Fund

May 31, 2011

Percentages are based on a Net Assets of $2,315,082 ($ Thousands)

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2011.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at May 31, 2011. The total value of securities on loan at May 31, 2011 was $552,143 ($ Thousands).

(B)

(C)

Step Bonds - The rate reflected on the Schedule of Investments is the effective yield on May 31, 2011. The coupon on a step bond changes on a specified date.

(D)

Securities considered illiquid. The total value of such securities as of May 31, 2011 was $202 ($ Thousands) and represented 0.01% of Net Assets.

(E)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of May 31, 2011 was $202 and represented 0.01% of Net Assets.

(F)

Securities considered restricted. The total value of such securities as of May 31, 2011 was $202 ($ Thousands) and represented 0.01% of Net Assets.

(G)

Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase.

(H)

Security, or portion thereof, has been pledged as collateral on open futures contracts.

(I)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of May 31, 2011 was $558,169 ($ Thousands)

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

PIPE — Private Investment in Public Entity

S&P — Standard and Poor’s

Ser — Series

The following is a summary of the inputs used as of May 31, 2011, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3			Total
Common Stock	$	2,227,557	$	129	$	95		$	2,227,781
Preferred Stock		—		1,300		—			1,300
Convertible Bonds		—		1,166		—			1,166
Exchange Traded Fund		912		—		—	��		912
Warrants		—		87		—			87
Affiliated Partnership		—		558,169		—			558,169
Cash Equivalent		85,124		—		—			85,124
U.S. Treasury Obligation		—		7,566		—			7,566

Total Investments in Securities	$	2,313,593	$	568,417	$	95		$	2,882,105


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *	$	1,373	$	—	$	—	$	1,373

Total Other Financial Instruments	$	1,373	$	—	$	—	$	1,373

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)		(213	)		415
Net purchases/sales		—			(466	)
Net transfer in and/or out of Level 3		—			—

Ending balance as of February 28, 2011	$	95		$	—

Changes in unrealized gains/(losses) includedin earnings related to securities still held at reporting date	$	—		$	—

For the year ended May 31, 2011, 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.


12		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

U.S. Managed Volatility Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 98.1%

Consumer Discretionary — 6.8%
Advance Auto Parts		6,917	$	430
Canadian Tire, Cl A		10,400		694
Choice Hotels International		5,600		200
Cinemark Holdings		5,800		126
DeVry		2,400		129
DIRECTV, Cl A*		6,600		332
Discovery Communications, Cl A*		6,400		279
DreamWorks Animation SKG, Cl A*		9,200		220
Family Dollar Stores		13,200		736
GameStop, Cl A*		10,800		302
Gap		18,300		355
Genuine Parts		3,000		164
Gildan Activewear, Cl A		6,000		224
H&R Block		34,400		557
Hillenbrand		16,100		366
Hyatt Hotels, Cl A*		5,800		258
ITT Educational Services*		3,000		207
LKQ*		3,900		104
Panera Bread, Cl A*		2,000		250
priceline.com*		1,550		799
Regal Entertainment Group, Cl A		14,780		200
Scripps Networks Interactive, Cl A		2,900		146
Shaw Communications, Cl B		14,200		304
Target		20,100		996
TJX		10,000		530
Viacom, Cl B		3,479		176

				9,084


Consumer Staples — 20.8%
Altria Group		29,064		816
Archer-Daniels-Midland		21,300		690
BJ’s Wholesale Club*		3,800		192
Brown-Forman, Cl B		11,153		808
Bunge		382		29
Casey’s General Stores		8,400		348
Church & Dwight		3,400		286
Coca-Cola Enterprises		29,975		866
ConAgra Foods		44,000		1,119
Corn Products International		4,589		260
CVS Caremark		28,100		1,087
Dean Foods*		8,100		112
Flowers Foods		17,146		572
Fresh Del Monte Produce		12,100		333
General Mills		7,500		298
Hansen Natural*		14,267		1,022
Hershey		15,108		842
Hormel Foods		63,857		1,873
JM Smucker		1,500		119
Kellogg		5,200		296
Kimberly-Clark		31,475		2,150
Kroger		36,400		903
Lorillard		22,925		2,643
McCormick		16,186		812
Metro, Cl A		18,900		944
Molson Coors Brewing, Cl B		6,100		285
Nash Finch		4,500		169
Philip Morris International		11,908		854


Description	Shares		Market Value ($ Thousands)

Ralcorp Holdings*		3,600	$	317
Reynolds American		40,380		1,606
Ruddick		7,000		308
Safeway		32,800		810
Sysco		25,312		815
Tyson Foods, Cl A		24,996		475
Walgreen		28,100		1,226
Wal-Mart Stores		27,500		1,519

				27,804


Energy — 4.3%
Berry Petroleum, Cl A		5,100		267
Chevron		14,200		1,490
ConocoPhillips		9,500		695
Exxon Mobil		22,700		1,895
Holly		4,000		249
Lufkin Industries		2,800		254
Murphy Oil		3,900		269
PetroHawk Energy*		10,000		265
Range Resources		5,300		296

				5,680


Financials — 11.6%
Alleghany*		800		267
Allied World Assurance Holdings		7,140		433
American Campus Communities‡		8,300		293
Arch Capital Group*		22,515		759
Associated Banc		12,200		172
Bank of Hawaii		15,995		758
BOK Financial		3,853		204
Brown & Brown		9,500		251
Canadian Imperial Bank of Commerce		3,600		298
Capitol Federal Financial		17,883		214
Chubb		15,100		990
Commerce Bancshares		10,559		452
Corporate Office Properties Trust‡		6,000		212
Cullen/Frost Bankers		12,810		746
Endurance Specialty Holdings		8,715		354
Erie Indemnity, Cl A		3,500		249
Essex Property Trust‡		2,000		275
Everest Re Group		4,400		392
Federated Investors, Cl B		8,500		218
First Citizens BancShares, Cl A		1,303		255
HCC Insurance Holdings		2,900		96
Health Care REIT‡		4,900		261
Home Properties‡		4,500		279
Hudson City Bancorp		17,100		156
M&T Bank		6,130		541
MFA Mortgage Investments‡		42,700		352
National Bank of Canada		4,100		343
Nationwide Health Properties‡		3,500		153
New York Community Bancorp		20,892		338
PartnerRe		2,800		210
Piedmont Office Realty Trust, Cl A‡		11,800		243
Prosperity Bancshares		6,100		267
Public Storage‡		2,600		308
Realty Income‡		6,800		239
RenaissanceRe Holdings		3,600		259
Senior Housing Properties Trust‡		3,900		94


1		SEI Institutional Investments Trust / Annual Reporting / May 31, 2011

Schedule of Investments

U.S. Managed Volatility Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Signature Bank NY*		1,900	$	108
Tanger Factory Outlet Centers‡		9,900		272
TFS Financial		23,500		241
Tower Group		18,700		454
Transatlantic Holdings		5,000		233
Travelers		15,900		987
Validus Holdings		21,700		699
WR Berkley		18,400		609

				15,534


Health Care — 20.1%
Abbott Laboratories		23,800		1,244
Aetna		18,700		817
Alexion Pharmaceuticals*		16,106		764
AmerisourceBergen		25,839		1,065
Amgen*		31,015		1,878
Baxter International		13,400		798
Beckman Coulter		2,300		191
Becton Dickinson		7,200		630
Biogen Idec*		20,240		1,917
C.R. Bard		7,415		829
Cardinal Health		33,798		1,535
Cephalon*		7,900		629
Cooper		1,700		127
Edwards Lifesciences*		2,398		213
Eli Lilly		39,856		1,534
Endo Pharmaceuticals Holdings*		13,000		541
Gilead Sciences*		23,700		989
Health Net*		7,200		231
Henry Schein*		8,373		601
Johnson & Johnson		14,400		969
LifePoint Hospitals*		6,900		290
Magellan Health Services*		5,500		291
McKesson		13,754		1,178
Medtronic		17,300		704
Merck		40,500		1,488
Myriad Genetics*		12,500		318
Owens & Minor		2,900		100
Par Pharmaceutical*		7,000		240
Patterson		7,400		256
Pfizer		39,200		841
SXC Health Solutions*		13,688		807
Techne		13,430		1,095
United Therapeutics*		3,500		226
UnitedHealth Group		16,800		822
WellPoint		9,900		774

				26,932


Industrials — 6.0%
Alliant Techsystems		2,900		207
C.H. Robinson Worldwide		3,300		265
CLARCOR		5,500		235
Clean Harbors*		2,100		213
Huntington Ingalls Industries*		2,066		76
ITT		8,000		461
KAR Auction Services*		13,100		274
KBR		7,400		276
L-3 Communications Holdings, Cl 3		13,900		1,135
Landstar System		5,200		246
Lennox International		4,400		205
Lincoln Electric Holdings		3,300		246


Description	Shares		Market Value ($ Thousands)

Lockheed Martin		10,800	$	841
Northrop Grumman		12,400		810
Raytheon		20,400		1,028
Rollins		11,300		227
Stericycle*		5,358		477
Unifirst		3,700		198
Verisk Analytics, Cl A*		7,800		265
Waste Connections		3,756		118
Woodward Governor		3,200		113
WW Grainger		1,100		166

				8,082


Information Technology — 10.1%
Activision Blizzard		27,300		327
ADTRAN		5,400		231
Amdocs*		26,017		792
Analog Devices		1,291		53
Avago Technologies		8,700		294
AVX		20,500		322
Cisco Systems		37,500		630
Cognizant Technology Solutions, Cl A*		10,412		792
Computer Sciences		8,500		339
EchoStar, Cl A*		6,400		216
FLIR Systems		4,900		177
Global Payments		5,700		296
Harris		14,200		702
Hewlett-Packard		19,700		737
Ingram Micro, Cl A*		11,600		221
Intel		22,500		506
International Business Machines		4,400		743
Jack Henry & Associates		2,800		88
Lam Research*		6,996		329
Microsoft		42,700		1,068
National Semiconductor		18,800		461
SAIC*		60,100		1,055
TE Connectivity		8,000		295
Tech Data*		7,900		374
Texas Instruments		42,007		1,483
WebMD Health, Cl A*		14,666		699
Zebra Technologies, Cl A*		4,900		218

				13,448


Materials — 2.4%
Aptargroup		4,700		251
Ball		17,600		695
Compass Minerals International		2,600		242
Greif, Cl A		4,000		265
Intrepid Potash*		2,400		77
Newmont Mining		12,603		713
Sealed Air		16,900		434
Silgan Holdings		6,100		274
Sonoco Products		8,500		301

				3,252


Telecommunication Services — 3.1%
AT&T		50,000		1,578
BCE		25,900		1,043
MetroPCS Communications*		18,500		331
NTT DoCoMo ADR		24,000		447
SK Telecom ADR		21,100		373


2		SEI Institutional Investments Trust / Annual Reporting / May 31, 2011

Schedule of Investments

U.S. Managed Volatility Fund

May 31, 2011


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)

Verizon Communications		9,100	$	336

				4,108


Utilities — 12.9%
AGL Resources		7,400		304
Alliant Energy		13,100		539
Ameren		12,800		380
American Electric Power		22,200		848
American Water Works		9,981		299
Atmos Energy		26,500		884
Avista		11,800		294
Cia de Saneamento Basico do Estado de Sao Paulo ADR		5,600		345
Consolidated Edison		16,052		852
DPL		49,693		1,499
DTE Energy		12,900		666
Duke Energy		8,700		163
Edison International		6,800		268
El Paso Electric		14,300		445
Entergy		13,200		900
Great Plains Energy		21,600		457
Hawaiian Electric Industries		8,900		221
IDACORP		5,600		221
NSTAR		22,070		1,016
OGE Energy		5,100		260
Pepco Holdings		12,510		250
PG&E		16,200		703
Piedmont Natural Gas		9,100		286
Portland General Electric		17,800		462
Public Service Enterprise Group		12,200		409
SCANA		19,234		782
Sempra Energy		5,100		281
Southern		3,751		150
TECO Energy		5,000		96
UGI		39,797		1,305
Vectren		12,350		349
WGL Holdings		7,100		279
Wisconsin Energy		35,284		1,103

				17,316

Total Common Stock (Cost $104,218) ($ Thousands)				131,240


U.S. TREASURY OBLIGATION — 0.8%
U.S. Treasury Bill
0.042%, 06/30/11 (A) (B)	$	1,121		1,120

Total U.S. Treasury Obligation (Cost $1,120) ($ Thousands)				1,120


CASH EQUIVALENT — 1.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.050%, 05/31/11**†		2,240,569		2,241

Total Cash Equivalent (Cost $2,241) ($ Thousands)				2,241

Total Investments — 100.6% (Cost $107,579) ($ Thousands)			$	134,601

A summary of the open futures contracts held by the Fund at May 31, 2011, is as follows:

Type of Contract

Number of

Contracts

Long

Expiration

Date

Unrealized

Appreciation

($ Thousands)

S&P 500 Index E-MINI

Jun-2011

Percentages are based on a Net Assets of $133,811 ($ Thousands)

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2011.

‡

Real Estate Investment Trust

†

Investment in Affiliated Security (see Note 5).

(A)

Zero coupon security. The rate reported on the Schedule of Investments 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

Cl — Class

REIT — Real Estate Investment Trust

S&P — Standard & Poor’s

The following is a summary of the inputs used as of May 31, 2011, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	131,240	$	—	$	—	$	131,240
U.S. Treasury Obligation		—		1,120		—		1,120
Cash Equivalent		2,241		—		—		2,241

Total Investments in Securities	$	133,481	$	1,120	$	—	$	134,601


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	77	$	—	$	—	$	77

Total Other Financial Instruments	$	77	$	—	$	—	$	77

Future contracts are valued at the unrealized appreciation on the instrument.

For the period ended May 31, 2011, there were 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 $O or have been rounded to $O.

The accompanying notes are an integral part of the financial statements.


3		SEI Institutional Investments Trust / Annual Reporting / May 31, 2011

Schedule of Investments

International Equity Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 95.9%

Australia — 2.9%
Alumina		381,046	$	938
Amcor		25,474		196
ASX		3,273		113
Atlas Iron*		431,204		1,700
Australia & New Zealand Banking Group		12,165		287
Bendigo Bank		8,997		86
BGP Holdings*		39,545		—
BHP Billiton		48,441		2,290
Brambles		9,889		78
Caltex Australia		38,532		580
Centamin Egypt*		183,700		388
Coca-Cola Amatil		1,565		20
Cochlear		183		16
Commonwealth Bank of Australia		6,754		364
Crown		8,146		76
CSL		2,693		97
Fortescue Metals Group		129,262		898
Incitec Pivot		57,497		235
Leighton Holdings		2,592		64
Lend Lease Group		6,928		66
National Australia Bank		19,156		541
Newcrest Mining		67,441		2,853
Orica		3,401		95
OZ Minerals		10,506		158
Paladin Energy*		3,329		11
Qantas Airways		26,746		60
Ramsay Health Care		3,831		75
Rio Tinto		14,993		1,302
Santos		51,542		810
Sonic Healthcare		2,268		30
Suncorp Group		9,051		81
TABCORP Holdings		13,248		110
Tatts Group		21,676		53
Thorn Group		18,377		41
Transurban Group		32,710		190
Wesfarmers		11,815		418
Westfield Group‡		8,680		84
Westpac Banking		8,064		190
Woolworths		5,441		159
WorleyParsons		1,373		44

				15,797


Austria — 0.3%
Erste Group Bank (A)		2,451		122
IMMOFINANZ* (A)		26,516		117
OMV (A)		1,368		57
Raiffeisen International Bank Holding		608		33
Telekom Austria		4,169		54
Vienna Insurance Group		16,230		923
Voestalpine		3,372		169

				1,475


Belgium — 1.3%
Bekaert		1,934		205
Belgacom (A)		40,607		1,414


Description	Shares		Market Value ($ Thousands)

Colruyt		20,510	$	1,177
Delhaize Group		202		17
Groupe Bruxelles Lambert		1,106		100
InBev		53,173		3,204
KBC Groep		3,370		142
Mobistar		789		57
Solvay		735		110
Telenet Group Holding		12,118		551
Umicore		3,607		198

				7,175


Brazil — 1.6%
Anhanguera Educacional Participacoes		63,788		1,355
Banco Santander Brasil ADR		69,400		788
Brasil Telecom ADR		22,392		688
Centrais Eletricas Brasileiras ADR		96,666		1,395
Cia Vale do Rio Doce ADR, Cl B		12,248		395
Embraer ADR		16,920		546
HRT Participacoes em Petroleo*		600		530
Petroleo Brasileiro ADR		48,819		1,691
Porto Seguro		66,700		1,035
Telecomunicacoes de Sao Paulo ADR (A)		8,366		245
Vivo Participacoes ADR		235		11

				8,679


Canada — 3.7%
Barrick Gold		49,352		2,357
Cameco		27,644		776
Cenovus Energy		27,000		998
Cogeco		400		17
Crescent Point Energy (A)		14,400		697
Domtar		6,344		650
Dundee, Cl A*		1,500		38
Goldcorp		19,700		986
IGM Financial		2,900		149
Kinross Gold		85,892		1,350
Magna International, Cl A		8,400		407
New Gold*		49,900		507
Nexen		57,275		1,323
Niko Resources		26,107		2,164
Onex		4,200		158
Peyto Exploration & Development		34,300		746
Potash Saskatchewan		18,300		1,032
Research In Motion*		9,922		425
Silver Wheaton		27,100		1,000
Suncor Energy1		56,946		2,379
Toronto-Dominion Bank (A)		17,259		1,488
Vermilion Energy		14,400		756
West Fraser Timber		900		46

				20,449


Chile — 0.2%
Sociedad Quimica y Minera de Chile ADR (A)		16,400		1,026


China — 1.1%
Agricultural Bank of China*		2,721,000		1,662


1		SEI Institutional Investment Trust / Annual Reporting / May 31, 2011

Schedule of Investments

International Equity Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Bank of China		1,711,400	$	948
Baoye Group		40,000		28
China Petroleum & Chemical		272,000		273
China Vanke, Cl B		402,900		554
Guangshen Railway		656,000		264
Huaneng Power International,		1,342,000		785
Ping An Insurance Group of China		162,500		1,746

				6,260


Denmark — 1.2%
AP Moller - Maersk, Cl A		26		241
AP Moller - Maersk, Cl B		108		1,039
Carlsberg, Cl B		531		61
Coloplast, Cl B		460		68
Danske Bank		3,897		82
Jyske Bank*		26,060		1,216
Novo-Nordisk, Cl B		21,353		2,674
Novozymes, Cl B		327		55
PER Aarsleff, Cl B		416		38
TrygVesta (A)		20,072		1,215

				6,689


Finland — 1.1%
Fortum		7,961		266
Kesko, Cl B		922		46
Kone, Cl B		881		56
Metso		35,814		2,063
Nokia ADR (A)		148,423		1,042
Nokia		117,957		805
Nokian Renkaat		4,087		199
Stora Enso, Cl R (A)		108,972		1,217
UPM-Kymmene		17,293		326
Wartsila, Cl B		1,695		61

				6,081


France — 10.3%
Accor (A)		9,161		419
Air France-KLM		5,329		89
Air Liquide		7,450		1,034
Alcatel-Lucent		342,479		1,931
Alstom (A)		1,391		86
Areva		11,740		504
Arkema (A)		6,365		697
AXA		185,073		3,948
BNP Paribas (A)		74,716		5,824
Bouygues		2,726		126
Bureau Veritas		1,158		97
Carrefour		25,661		1,135
Christian Dior		2,599		401
Cie Generale de Geophysique- Veritas*		6,449		241
CNP Assurances		45,786		930
Compagnie de St.-Gobain		2,616		173
Compagnie Generale des Etablissements Michelin, Cl B		5,870		550
Credit Agricole (A)		19,101		292
Danone		2,864		210


Description	Shares		Market Value ($ Thousands)

Dassault Systemes		37	$	3
Edenred		3,235		96
Electricite de France (A)		20,745		841
Eurazeo		90		7
Eutelsat Communications		33,505		1,484
France Telecom		1,716		39
Gaz de France		53,519		1,967
Gecina‡		30		4
Groupe Eurotunnel		1,105		12
ICADE‡		59		7
Iliad		78		10
Lafarge		3,203		221
Lagardere S.C.A.		1,628		66
Legrand (A)		53,034		2,239
L’Oreal		1,923		242
LVMH Moet Hennessy Louis Vuitton (A)		19,496		3,388
Metropole Television		3,965		93
Natixis (A)		25,292		142
Neopost		723		65
NetGem		7,913		45
PagesJaunes Groupe (A)		6,065		62
Pernod-Ricard		1,087		110
Peugeot		16,452		695
PPR		979		170
Renault		2,183		124
Safran		52,837		2,146
Sanofi-Aventis		87,546		6,925
Schneider Electric		24,030		3,959
SCOR		1,341		37
SES Global		3,368		91
Societe Generale (A)		17,169		1,018
Societe Television Francaise 1		1,346		24
Sodexo		23,149		1,781
Technip (A)		17,332		1,862
Tessi		281		29
Thales (A)		26,642		1,114
Total (A)		23,237		1,337
Unibail-Rodamco‡		482		109
Veolia Environnement		44,167		1,334
Video Futur Entertainment Group* (A)		7,913		2
Vinci		34,778		2,241
Vivendi		45,639		1,273

				56,101


Germany — 7.4%
Adidas		202		15
Allianz		6,022		833
Axel Springer (A)		810		121
BASF		20,870		1,928
Bayer		20,209		1,655
Bayerische Motoren Werke (A)		27,621		2,441
Brenntag*		12,853		1,530
Commerzbank		25,136		115
Continental		809		83
DaimlerChrysler		6,624		468
Deutsche Bank		11,458		682
Deutsche Boerse		21,286		1,676
Deutsche Lufthansa		45,174		983


2		SEI Institutional Investment Trust / Annual Reporting / May 31, 2011

Schedule of Investments

International Equity Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Deutsche Post		109,719	$	2,064
Deutsche Telekom		75,105		1,115
E.ON		18,999		539
Fraport Frankfurt Airport Services Worldwide (A)		1,091		89
Fresenius		732		77
Fresenius Medical Care		23,758		1,720
GEA Group		48,695		1,636
HeidelbergCement		14,190		986
Henkel		2,234		129
Hochtief		784		66
Infineon Technologies		39,044		451
K+S		1,336		106
Kabel Deutschland Holding*		2,591		177
Lanxess		2,449		211
Linde		25,596		4,326
MAN		1,761		245
Merck KGaA		878		97
Metro		2,139		143
Muenchener Rueckversicherungs		14,533		2,227
RWE		3,174		185
SAP		37,782		2,345
SAP ADR (A)		16,200		1,007
Siemens		51,095		6,831
Suedzucker		10,516		331
ThyssenKrupp		6,182		293
TUI		1,163		13
Volkswagen		2,384		399
Wacker Chemie		51		11

				40,349


Greece — 0.4%
Hellenic Telecommunications Organization		6,930		71
OPAP		108,532		1,989

				2,060


Guernsey — 0.0%
Resolution		1,552		8


Hong Kong — 2.3%
AIA Group*		72,800		257
ASM Pacific Technology		6,100		83
Bank of East Asia		7,800		34
BOC Hong Kong Holdings		173,100		534
Cathay Pacific Airways		58,200		139
Chaoda Modern Agriculture (A)		590,000		291
Cheung Kong Holdings		19,009		298
Cheung Kong Infrastructure Holdings		21,000		99
China Mobile		40,500		370
China Mobile ADR		19,700		902
CLP Holdings		83,900		716
Esprit Holdings		65,000		244
First Pacific		36,000		31
Hang Lung Group		7,200		47
Hang Lung Properties		2,200		9
Hang Seng Bank (A)		8,800		141
Henderson Land Development		14,000		95


Description	Shares		Market Value ($ Thousands)

Hong Kong Exchanges and Clearing		12,500	$	280
Hongkong Land Holdings		56,000		415
Hutchison Whampoa		109,600		1,268
Hysan Development		31,900		157
Jardine Strategic Holdings		62,788		1,875
Li & Fung*		134,200		298
MTR		19,500		72
New World Development		46,000		78
Nine Dragons Paper Holdings		993,000		941
Orient Overseas International		6,100		47
Pico Far East Holdings		116,000		23
Shangri-La Asia		51,300		134
Sino-Forest, Cl A*		963		19
SJM Holdings		50,000		122
Sun Hung Kai Properties		10,000		156
Swire Pacific, Cl A		36,000		555
Vedan International Holdings		140,000		11
Wharf Holdings		15,300		113
Wheelock		7,000		29
Wing Hang Bank		9,000		99
Wynn Macau		25,200		88
Yue Yuen Industrial Holdings		455,000		1,580

				12,650


Indonesia — 0.1%
APERAM		488		18
Telekomunikasi Indonesia ADR		17,171		618

				636


Ireland — 0.5%
CRH		3,740		82
Elan*		2,092		21
Experian		122,126		1,608
Ryanair Holdings ADR		1,700		50
Smurfit Kappa Group*		78,047		964

				2,725


Israel — 0.5%
Bank Hapoalim*		4,576		24
Bank Leumi Le-Israel		9,911		48
Bezeq Israeli Telecommunication		45,123		115
Cellcom Israel		1,578		48
Check Point Software Technologies*		28,104		1,543
Israel		134		146
Israel Chemicals		26,029		425
NICE Systems*		1,034		37
Partner Communications		1,899		32
Teva Pharmaceutical Industries		6,665		342

				2,760


Italy — 2.0%
Assicurazioni Generali		5,549		121
Atlantia		2,680		63
Banca Intesa (A)		221,880		575
Banca Intesa		135,015		294
Banca Monte dei Paschi di Siena (A)		88,897		112
Banche Popolari Unite (A)		8,222		65


3		SEI Institutional Investment Trust / Annual Reporting / May 31, 2011

Schedule of Investments

International Equity Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Banco Popolare Scarl		25,531	$	66
Enel		201,258		1,381
ENI		19,053		456
Exor		3,491		118
Fiat		40,608		431
Fiat Industrial*		33,924		446
Finmeccanica		6,055		75
Mediaset (A)		15,387		81
Mediobanca		1,667		19
Natuzzi ADR*		2,195		8
Parmalat		158,349		587
Pirelli		1,326		13
Saipem		6,663		351
Servizi Italia		2,512		25
Snam Rete Gas (A)		241,085		1,420
Telecom Italia		1,879,917		2,319
UniCredito Italiano		858,800		1,950

				10,976


Japan — 17.4%
Aeon		65,600		757
Aeon Mall		700		17
Airport Facilities		14,700		54
Aisin Seiki		4,600		170
Ajinomoto		4,000		46
All Nippon Airways		43,700		133
Asahi Breweries		2,700		53
Asahi Glass		17,000		201
Asahi Kasei		7,000		46
Asics		7,100		111
Astellas Pharma		3,800		145
Autobacs Seven		1,100		43
Bando Chemical Industries		11,000		41
Bank of Kyoto		1,000		9
Bank of Yokohama		10,000		48
Belluna		7,700		51
Benesse		700		30
Bic Camera		160		78
BML		300		7
Bridgestone		2,300		52
Brother Industries		60,000		846
Calsonic Kansei		17,000		80
Canon		9,900		476
Central Automotive Products		2,000		10
Central Glass		3,000		13
Central Japan Railway		116		911
Century Tokyo Leasing		3,000		51
Chiba Bank		6,000		36
Chubu Electric Power		3,700		58
Chubu Shiryo		1,200		8
Chugai Pharmaceutical		3,000		49
Coca-Cola Central Japan		2,300		30
Coca-Cola West		84,700		1,607
Cosmo Oil		58,300		175
Credit Saison		3,500		53
Dai Nippon Printing		201,000		2,299
Daicel Chemical Industries		17,000		109
Daido Steel		9,500		58
Daihatsu Motor		10,000		165
Daiichi Sankyo		38,600		749


Description	Shares		Market Value ($ Thousands)

Daiichikosho		2,400	$	39
Daikin Industries		1,500		50
Dainippon Sumitomo Pharma		1,700		16
Daito Trust Construction		2,700		223
Daiwa House Industry		40,000		488
Daiwa Securities Group		18,000		74
Dena		2,400		85
Denso		4,400		158
East Japan Railway		5,400		315
EDION		17,000		145
Eisai		2,600		99
Elpida Memory* (A)		23,800		328
Fanuc		16,800		2,583
Fast Retailing		500		73
Fuji Heavy Industries		22,100		163
FUJIFILM Holdings		59,600		1,760
Fujitsu		16,000		84
FuKoKu		2,800		23
Fukuoka Financial Group		9,000		36
Fuso Chemical		300		9
Hachijuni Bank		45,000		251
Hamamatsu Photonics		2,500		102
Hankyu Hanshin Holdings		16,000		60
Haseko		792,000		556
Hino Motors		73,000		400
Hitachi		219,100		1,252
Hitachi Construction Machinery		400		8
Hitachi Metals		100		1
Hokuriku Electric Power		4,100		70
Honda Motor		125,500		4,774
H-One		1,600		12
Hoosiers		33		13
Hoya		3,200		66
IBJ Leasing		2,700		64
Idemitsu Kosan		2,400		266
IHI		120,000		297
Iida Home Max		10,500		91
Imasen Electric Industrial		1,400		18
Inabata		20,900		123
Inpex		39		282
Isuzu Motors		45,100		210
Itochu		15,600		161
J Trust		2,500		9
Japan Prime Realty Investment, Cl A‡		25		72
Japan Real Estate Investment, Cl A‡		6		59
Japan Retail Fund Investment, Cl A‡		85		138
Japan Steel Works		33,000		238
Japan Tobacco		65		251
JFE Holdings		2,000		50
JFE Shoji Holdings		16,000		69
JGC		95,000		2,536
Joshin Denki		2,000		20
JS Group		2,500		61
JSP		1,400		23
JTEKT		124,400		1,644
Jupiter Telecommunications		1,735		1,875
JVC Kenwood Holdings*		18,800		92
JX Holdings		17,900		118


4		SEI Institutional Investment Trust / Annual Reporting / May 31, 2011

Schedule of Investments

International Equity Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Kamei		6,000	$	23
Kansai Electric Power		3,900		67
Kansai Paint		1,000		9
Kanto Auto Works		4,900		32
Kao		24,300		625
Kawasaki Heavy Industries		28,000		100
Kawasaki Kisen Kaisha		15,100		51
Kawasumi Laboratories		3,000		19
KDDI		499		3,575
Keyence		300		79
Kobe Steel		32,600		70
Komatsu		24,800		742
Konami		1,300		27
Konishi		900		12
K’s Holdings		7,300		276
Kubota		2,000		18
Kyocera		1,300		136
Lawson		500		25
Mabuchi Motor		39,000		1,928
Makita		31,300		1,329
Marubeni		78,400		547
MEIJI Holdings		1,300		55
Mikuni Coca-Cola Bottling		1,200		10
Millea Holdings		2,500		68
Miraca Holdings		2,700		106
Mitsubishi		62,600		1,585
Mitsubishi Chemical Holdings		51,700		360
Mitsubishi Electric		32,500		366
Mitsubishi Estate		8,000		143
Mitsubishi Gas Chemical		5,000		38
Mitsubishi Heavy Industries		33,000		160
Mitsubishi UFJ Financial Group		149,500		690
Mitsui		20,800		354
Mitsui Engineering & Shipbuilding		5,000		11
Mitsui Fudosan		8,000		134
Mitsui Mining & Smelting		12,000		39
Mitsui OSK Lines		15,000		80
Mitsui Sumitomo Insurance Group Holdings		73,600		1,717
Mitsui Trust Holdings		282,190		969
Mizuho Financial Group		185,900		293
Mizuho Securities		14,000		32
Murakami		1,000		12
Murata Manufacturing		5,300		333
Nabtesco		4,700		106
Namco Bandai Holdings		3,800		44
NEC		15,000		31
NIC		1,800		7
Nichii Gakkan		9,300		79
Nichireki		10,000		45
Nidec		600		54
Nihon Shokuhin Kako		1,000		5
Nintendo		6,800		1,579
Nippon Building Fund, Cl A‡		14		143
Nippon Electric Glass		120,100		1,697
Nippon Express		11,000		43
Nippon Paper Group		1,500		32
Nippon Steel Trading		14,000		36
Nippon Telegraph & Telephone		19,500		917
Nippon Telegraph & Telephone ADR (A)		65,848		1,547


Description	Shares		Market Value ($ Thousands)

Nippon Yusen		25,500	$	96
Nishio Rent All		2,900		21
Nissan Motor		13,200		132
Nisshin Fudosan		7,000		41
Nissin Sugar Manufacturing		11,000		25
Nitto Denko		6,500		340
NKSJ Holdings		7,000		44
NOK		1,000		17
Nomura Holdings		24,100		121
Nomura Real Estate Holdings		1,300		20
Nomura Real Estate Office Fund, Cl A‡		13		91
NSK		2,000		19
NTN		1,000		5
NTT Data		15		47
NTT DoCoMo		77		144
OJI Paper		7,000		31
Omron		1,800		46
Ono Pharmaceutical		2,300		121
Onoken		2,600		22
Oriental Land		1,600		136
ORIX		3,470		332
Osaka Gas		7,000		25
Otsuka Holdings		3,700		97
Pacific Industrial		3,000		14
PanaHome		3,000		20
Panasonic		47,400		557
Rakuten		72		73
Resona Holdings		19,200		85
Ricoh		4,000		44
Ricoh Leasing		1,500		32
Rinnai		300		21
Rohm		20,800		1,191
Roland		2,100		21
San-Ai Oil		16,000		82
Sankyo		16,800		893
Santen Pharmaceutical		200		8
Sapporo Hokuyo Holdings		93,900		381
Secom		1,000		47
Sega Sammy Holdings		34,800		674
Seiko Epson		700		12
Seino Holdings		19,000		135
Sekisui Chemical		265,000		2,110
Sekisui House		168,000		1,600
Sekisui Jushi		9,000		88
Seven & I Holdings		144,600		3,837
Sharp		6,000		56
Shimano		100		5
Shimizu		8,000		33
Shin-Etsu Chemical		28,700		1,489
Shinko Shoji		4,300		32
Shiseido		90,200		1,548
Shizuoka Bank		5,000		46
Showa Shell Sekiyu		21,100		207
SMC		10,900		1,750
Softbank		16,700		646
Sojitz		96,000		178
Sony		23,200		618
Sony Financial Holdings		123,000		2,241
Studio Alice		4,900		55
Sumitomo		43,900		585


5		SEI Institutional Investment Trust / Annual Reporting / May 31, 2011

Schedule of Investments

International Equity Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Sumitomo Chemical		11,000	$	55
Sumitomo Electric Industries		6,000		86
Sumitomo Metal Industries		47,000		96
Sumitomo Metal Mining		4,000		65
Sumitomo Mitsui Financial Group		81,400		2,355
Sumitomo Realty & Development		8,000		170
T&D Holdings		1,950		47
T&K Toka		2,100		26
Taisei		6,000		13
Takagi Securities		10,000		11
Takeda Pharmaceutical		27,000		1,285
Tanabe Seiyaku		5,000		84
TDK		700		37
Teijin		34,000		157
Terumo		700		39
Tohoku Electric Power		2,500		29
Tokai		600		11
Tokyo Electric Power (A)		17,700		69
Tokyo Electron		20,600		1,136
Tokyo Gas		11,000		47
Tokyo Tatemono		7,000		25
Tokyu		16,000		66
Tokyu Land		15,000		69
Tomoku		17,000		43
TonenGeneral Sekiyu		25,000		306
Toppan Printing		6,000		46
Toray Industries		18,000		136
Toshiba		22,000		117
Toshiba TEC		13,000		60
Totetsu Kogyo		3,000		26
Toyo Suisan Kaisha		1,000		23
Toyo Tire & Rubber		11,000		25
Toyota Auto Body		8,300		129
Toyota Motor ADR		9,271		772
Toyota Motor		74,200		3,105
Ube Industries		12,000		37
Unicharm		900		36
Universe		2,900		43
UNY		1,600		14
Wacoal Holdings		101,723		1,233
Warabeya Nichiyo		1,100		13
West Japan Railway		161		615
Yachiyo Industry		1,500		11
Yahoo! Japan		310		102
Yamaha Motor		1,600		29
Yamato Holdings		3,100		47
Yaskawa Electric		217,000		2,361

				95,262


Malaysia — 0.1%
Axiata Group*		449,400		746


Mexico — 0.1%
Industrias Bachoco		11,500		25
Telefonos de Mexico ADR (A)		37,515		670

				695


Netherlands — 5.8%
Aegon*		53,472		374


Description	Shares		Market Value ($ Thousands)

Akzo Nobel		66,208	$	4,774
ArcelorMittal		8,335		278
ASML Holding		3,574		139
Delta Lloyd		4,006		92
European Aeronautic Defense and Space		48,061		1,581
Fugro		15,448		1,227
Gemalto		24,273		1,189
Heineken		2,662		160
ING Groep*		156,708		1,888
Koninklijke Ahold		94,682		1,349
Koninklijke DSM		2,282		153
Koninklijke Philips Electronics		4,134		114
Randstad Holding		45,926		2,267
Reed Elsevier		248,622		3,340
Royal Dutch Shell, Cl A (A)		47,367		1,687
Royal Dutch Shell, Cl B		45,365		1,642
Royal Dutch Shell, Cl A (GBP)		33,838		1,221
Royal Dutch Shell ADR, Cl B (A)		17,621		1,274
Royal KPN		3,678		54
SBM Offshore		4,830		127
TNT		146,379		1,534
TNT Express*		147,759		2,092
Unilever		59,084		1,926
Wolters Kluwer		59,333		1,339

				31,821


New Zealand — 0.5%
Telecom of New Zealand		1,387,175		2,761


Norway — 1.3%
Aker Kvaerner		25,651		566
DnB (A)		227,562		3,423
Seadrill		8,679		312
Statoil (A)		89,911		2,366
Telenor (A)		15,315		259
Yara International (A)		3,053		183

				7,109


Poland — 0.1%
KGHM Polska Miedz		8,181		571


Portugal — 0.1%
Brisa Auto-Estradas de Portugal		1,970		12
Energias de Portugal		5,099		19
Galp Energia SGPS, Cl B		947		20
Jeronimo Martins		7,688		144
Portugal Telecom		15,227		166

				361


Russia — 0.1%
Gazprom OAO ADR		32,112		472


Singapore — 1.0%
City Developments		2,000		19
CSE Global		20,000		19
DBS Group Holdings		85,000		1,019


6		SEI Institutional Investment Trust / Annual Reporting / May 31, 2011

Schedule of Investments

International Equity Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Fraser and Neave		15,400	$	77
Golden Agri-Resources		196,000		110
GP Batteries International		6,000		6
Jardine Cycle & Carriage		2,300		76
Keppel		31,780		296
Keppel Land		7,600		25
Oversea-Chinese Banking		114,100		878
QAF		19,000		9
SembCorp Industries		7,000		29
SembCorp Marine		58,000		251
Singapore Airlines		122,000		1,399
Singapore Exchange		3,000		18
Singapore Press Holdings		38,200		119
Singapore Technologies Engineering		3,900		9
Singapore Telecommunications		80,000		208
Transpac Industrial Holdings		15,000		30
United Overseas Bank		6,000		95
UOL Group		13,000		52
Wheelock Properties Singapore		33,370		49
Wilmar International		24,000		103
Yangzijiang Shipbuilding Holdings		474,900		616

				5,512


South Africa — 0.9%
AngloGold Ashanti ADR (A)		27,325		1,256
AngloGold Ashanti		10,800		497
Gold Fields		90,787		1,502
Impala Platinum Holdings		10,600		293
MTN Group		64,980		1,378

				4,926


South Korea — 2.7%
Honda Motor Company*		1,126		40
Hyundai Heavy Industries		4,364		2,042
Hyundai Mobis		6,405		2,247
Hyundai Motor		1,975		462
Kia Motors		385		27
Korea Electric Power ADR		65,888		905
KT&G		39,784		2,334
Nexen		500		34
Nong Shim Holdings		678		40
Samsung Electronics		3,026		2,529
Shinhan Financial Group		45,091		2,029
SK Telecom ADR		125,548		2,221

				14,910


Spain — 1.8%
Abertis Infraestructuras		3,636		84
ACS Actividades Construcciones y Servicios (A)		1,268		61
Amadeus IT Holding, Cl A*		1,656		34
Banco Bilbao Vizcaya Argentaria		20,419		238
Banco Popular Espanol		46,600		271
Banco Santander Central Hispano		161,136		1,914
Criteria Caixacorp		45,974		334
Enagas		77,645		1,829
Ferrovial		35,109		445
Fomento de Construcciones y Contratas (A)		2,374		73


Description	Shares		Market Value ($ Thousands)

Gas Natural		5,391	$	102
Grifols		3,431		70
Iberdrola		30,779		272
Iberdrola Renovables		3,484		15
Inditex		3,637		330
Indra Sistemas (A)		39,000		815
Red Electrica		342		21
Repsol		18,290		623
Tecnicas Reunidas		23,714		1,335
Telefonica		30,411		738

				9,604


Sweden — 1.8%
Alfa Laval		7,146		157
Assa Abloy, Cl B		2,344		65
Atlas Copco, Cl B		19,835		466
Atlas Copco, Cl A*		34,864		550
Atlas Copco*		16,838		13
Bilia, Cl A		1,007		20
Boliden		4,577		89
Elekta, Cl B		18,630		809
Hennes & Mauritz, Cl B (A)		9,873		366
Hexagon, Cl B (A)		71,959		1,946
Holmen, Cl B		2,088		73
Industrivarden, Cl C		22,131		390
Kinnevik Investment, Cl B		518		13
Millicom International Cellular		154		18
Nordea Bank		14,701		172
Ratos, Cl B		719		15
Sandvik		11,447		217
Scania, Cl B		9,217		227
Skandinaviska Enskilda Banken, Cl A		169,598		1,517
SKF, Cl B		5,001		149
Svenska Cellulosa, Cl B		7,806		121
Svenska Handelsbanken, Cl A		2,150		72
Swedbank, Cl A		29,374		545
Swedish Match		5,056		178
Tele2, Cl B (A)		8,284		162
Telefonaktiebolaget LM Ericsson, Cl B		49,687		734
Volvo, Cl B		25,195		454

				9,538


Switzerland — 8.8%
ABB		6,321		170
Actelion		4,125		224
Aryzta		175		10
Baloise Holding		902		95
Clariant		15,946		350
Compagnie Financiere Richemont		15,837		1,033
Credit Suisse Group		36,998		1,589
Emmi		275		68
Geberit		290		70
Givaudan		4,152		4,574
Helvetia Holding		22		10
Holcim		1,721		137
Informa		164,856		1,180
Julius Baer Group		37,595		1,647
Julius Baer Holding		11,155		212


7		SEI Institutional Investment Trust / Annual Reporting / May 31, 2011

Schedule of Investments

International Equity Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Kuehne + Nagel International		258	$	40
Lindt & Spruengli		34		138
Logitech International*		2,731		34
Nestle		74,007		4,751
Nobel Biocare Holding		99,871		2,176
Novartis		153,997		9,931
Pargesa Holding		415		39
Roche Holding		25,155		4,424
Schindler Holding		1,038		130
SGS		1,008		1,997
Sika		293		747
STMicroelectronics		33,349		372
Sulzer		13,069		2,366
Swatch Group		1,612		144
Swatch Group, Cl B		1,011		503
Swiss Life Holding		1,071		179
Swiss Re*		2,877		171
Swisscom		369		170
Syngenta		895		309
Synthes (B)		991		172
Transocean		1,480		103
UBS		197,294		3,786
Xstrata		104,933		2,462
Zurich Financial Services		6,510		1,741

				48,254


Taiwan — 0.1%
United Microelectronics ADR (A)		163,895		446


United Kingdom — 15.8%
3i Group		3,013		14
Admiral Group		4,527		128
Aggreko		220		7
Amec		15,953		304
Amlin		209,743		1,467
Anglo American		2,361		118
Antofagasta		16,464		360
ARM Holdings		54,407		513
Associated British Foods		1,495		26
AstraZeneca		68,201		3,567
Aviva		253,168		1,821
BAE Systems		168,080		914
Balfour Beatty		218,495		1,158
Barclays		474,305		2,160
Berendsen PLC		19,329		154
BG Group		157,178		3,639
BHP Billiton		17,409		689
BP		177,681		1,370
BP PLC ADR		1,760		81
British American Tobacco		78,297		3,508
British Land‡		15,592		153
British Sky Broadcasting Group		36,340		498
BT Group, Cl A		301,605		997
Bunzl		80,030		1,010
Burberry Group		13,647		296
Cairn Energy*		26,925		195
Capita Group		118,624		1,437
Capital Shopping Centres Group‡		3,525		24
Carnival		1,491		60


Description	Shares		Market Value ($ Thousands)

Centrica		80,149	$	420
Compass Group		15,235		148
Diageo		122,502		2,609
Essar Energy*		3,838		29
Eurasian Natural Resources		67,477		939
Fresnillo		4,736		114
GlaxoSmithKline		175,407		3,811
Hammerson‡		14,344		113
Hogg Robinson Group		24,366		23
Home Retail Group		304,805		1,079
HSBC Holdings		328,826		3,452
ICAP		30,758		245
Imperial Tobacco Group		31,337		1,122
Intercontinental Hotels Group		1,376		29
International Consolidated Airlines Group*		10,287		40
International Power		30,417		160
Intertek Group		696		24
ITV*		192,079		225
J Sainsbury		10,124		57
Johnson Matthey		326		11
Kingfisher		608,557		2,876
Land Securities Group‡		11,601		159
Legal & General Group		101,636		196
Lloyds Banking Group*		2,087,557		1,787
London Stock Exchange Group		5,019		81
Man Group		13,653		58
Marks & Spencer Group		16,621		109
Michael Page International		155,813		1,369
Morgan Sindall		3,027		32
National Grid		20,528		211
Old Mutual		31,979		69
Pearson		7,414		139
Petrofac		37,511		990
Prudential		166,989		2,027
Reckitt Benckiser Group		3,373		191
Reed Elsevier		139,585		1,266
Rexam		272,900		1,797
Rio Tinto		80,311		5,611
Rio Tinto ADR		16,400		1,150
Rolls-Royce Holdings		483,001		5,056
Royal Bank of Scotland Group*		1,094,901		768
SABMiller		8,108		300
Sage Group		308,070		1,471
Savills		1,496		10
Schroders		12,357		333
Scottish & Southern Energy		10,180		231
Severn Trent		11,660		290
Shire		16,175		510
Smith & Nephew		2,504		28
Smiths Group		7,494		152
Standard Chartered		7,220		193
Standard Life		15,799		55
Subsea 7		38,498		1,020
Tesco		305,722		2,109
Tullow Oil		54,106		1,200
Unilever		11,464		372
United Utilities Group		189,458		1,940
Vodafone Group		2,627,839		7,308
Weir Group		4,759		156
Whitbread		2,115		57


8		SEI Institutional Investment Trust / Annual Reporting / May 31, 2011

Schedule of Investments

International Equity Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Willis Group Holdings		32,200	$	1,336
Wolseley		4,573		155
WPP		21,456		267

				86,243


United States — 0.5%
Axis Capital Holdings		20,200		665
Capital One Financial		11,821		642
ConocoPhillips		8,201		600
Eli Lilly		1,812		70
JPMorgan Chase		206		9
Newmont Mining		14,400		815

				2,801

Total Common Stock (Cost $465,768) ($ Thousands)				524,438


PREFERRED STOCK — 0.4%

Germany — 0.4%
Bayerische Motoren Werke		2,946		176
Draegerwerk		1,189		136
Henkel		2,804		198
KSB		139		117
Porsche Automobil Holding		3,779		262
ProSiebenSat.1 Media		3,916		101
RWE		1,450		80
Sto		167		28
Volkswagen		5,513		978

Total Preferred Stock (Cost $1,646) ($ Thousands)				2,076


	Number Of Warrants

WARRANT — 0.2%

India — 0.2%
Shriram Transport Finance, Expires 09/24/14* (B)		70,731		1,095

Total Warrant (Cost $887) ($ Thousands)				1,095


	Number Of Rights

RIGHTS — 0.0%

Austria — 0.0%
, Expires 06/08/11		1,368		—


France — 0.0%
Eurazeo, Expires		86		—


Italy — 0.0%
Intesa, Expires 06/14/11		281,160		50


Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)

Spain — 0.0%
Gas Natural SDG, Expires 06/17/11		5,900	$	4

Total Rights (Cost $0) ($ Thousands)				54


AFFILIATED PARTNERSHIP — 7.8%
SEI Liquidity Fund, L.P.,
0.150%** † (E)		43,510,408		42,696

Total Affiliated Partnership (Cost $43,510) ($ Thousands)				42,696


TIME DEPOSITS — 1.8%

United States — 1.8%
Brown Brothers Harriman
3.977%, 06/01/11	ZAR	5		1
3.866%, 06/01/11	AUD	9		10
1.600%, 06/01/11	NZD	—		—
1.405%, 06/01/11	NOK	54		10
0.932%, 06/01/11	SEK	79		13
0.430%, 06/01/11	EUR	23		33
0.231%, 06/01/11	CAD	—		—
0.200%, 06/01/11	DKK	—		—
0.103%, 06/01/11	GBP	20		32
0.030%, 06/01/11	USD	9,497		9,497
0.010%, 06/01/11	JPY	2,778		34
0.010%, 06/01/11	SGD	—		—
0.005%, 06/01/11	CHF	107		125
0.005%, 06/01/11	HKD	82		11

Total Time Deposits (Cost $9,766) ($ Thousands)				9,766


CASH EQUIVALENT — 0.6%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.050%,
05/31/11** †		3,011		3,011

Total Cash Equivalent (Cost $3,011) ($ Thousands)				3,011


U.S. TREASURY OBLIGATIONS — 0.2%
U.S. Treasury Bill (C) (D)
0.180%, 06/16/11	$	150		150
0.042%, 06/30/11		1,089		1,089

Total U.S. Treasury Obligations (Cost $1,239) ($ Thousands)				1,239

Total Investments — 106.9% (Cost $525,827) ($ Thousands)			$	584,375


9		SEI Institutional Investment Trust / Annual Reporting / May 31, 2011

Schedule of Investments

International Equity Fund

May 31, 2011

A summary of the open futures contracts held by the Fund at May 31, 2011, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		71		Jun-2011	$	(4	)
FTSE 100 Index		23		Jun-2011		6
Hang Seng Index		2		Jun-2011		15
Nikkei 225 Index		4		Jun-2011		(18	)
SPI 200 Index		7		Jul-2011		(14	)
Topix Index		17		Jun-2011		(15	)

					$	(30	)

Percentages are based on a Net Assets of $546,512 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2011.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at May 31, 2011. The total value of securities on loan at May 31, 2011 was $41,822 ($ Thousands).

(B)

(C)

Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase.

(D)

Security, or 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 May 31, 2011 was $42,696 ($ Thousands)

ADR — American Depositary Receipt

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

DJ — Dow Jones

DKK — Danish Krone

EUR — Euro

FTSE — Financial Times and Stock Exchange

GBP — British Pound Sterling

HKD — Hong Kong Dollar

JPY — Japanese Yen

L.P. — Limited Partnership

NOK — Norwegian Krone

NZD — New Zealand Dollar

PLC — Public Limited Company

S&P — Standard & Poor’s

SEK — Swedish Krone

SGD — Singapore Dollar

SPI — Share Price Index

USD — U.S. Dollar

ZAR — South African Rand

The following is a summary of the inputs used as of May 31, 2011, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	524,438	$	—	$	—	$	524,438
Preferred Stock		2,076		—		—		2,076
Warrant		—		1,095		—		1,095
Rights		54		—		—		54
Affiliated Partnership		—		42,696		—		42,696
Time Deposits		9,766		—		—		9,766
Cash Equivalent		3,011		—		—		3,011
U.S. Treasury Obligations		—		1,239		—		1,239

Total Investments in Securities	$	539,345	$	45,030	$	—	$	584,375


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts *	$	(30	)	$	—	$	—	$	(30	)

Total Other Financial Instruments	$	(30	)	$	—	$	—	$	(30	)

Futures contracts are valued at the unrealized appreciation on the instrument.

For the period ended May 31, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

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

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.


10		SEI Institutional Investment Trust / Annual Reporting / May 31, 2011

Schedule of Investments

World Equity Ex-US Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 93.6%

Argentina — 0.0%
Tenaris ADR		39,180	$	1,908


Australia — 2.9%
Aditya Birla Minerals		166,691		315
Amcor		120,423		928
Australia & New Zealand Banking Group		55,802		1,316
Australia & New Zealand Banking Group ADR		834,100		19,660
Beach Energy		1,020,311		1,098
BGP Holdings*		239,898		—
BHP Billiton		583,423		27,577
Caltex Australia		578,138		8,698
Coal & Allied Industries		1,895		225
Commonwealth Bank of Australia		25,899		1,397
Crown		58,854		549
CSL		17,941		648
Equinox Minerals*		1,611,351		13,187
Leighton Holdings		20,170		499
National Australia Bank		344,921		9,732
Orica		28,397		789
Qantas Airways		207,383		464
Rio Tinto		207,398		18,011
Santos		1,183,136		18,608
Suncorp Group		73,728		657
TABCORP Holdings		689,228		5,736
Tatts Group		156,600		384
Telstra ADR		716,900		11,671
Transurban Group		92,682		539
Wesfarmers		30,739		1,087
Westfield Group‡		70,812		686
Westpac Banking		62,931		1,484
Woolworths		41,998		1,227

				147,172


Austria — 0.1%
Erste Group Bank (A)		13,238		660
IMMOFINANZ* (A)		139,979		617
Voestalpine		53,965		2,698

				3,975


Belgium — 0.6%
Belgacom		25,395		884
Delhaize Group ADR (A)		237,400		19,495
Delhaize Group (A)		41,008		3,388
D’ieteren (A)		18,770		1,260
Groupe Bruxelles Lambert		9,010		816
InBev		39,927		2,406
KBC Groep		27,558		1,164
Solvay		6,808		1,017

				30,430


Brazil — 5.5%
Banco Bradesco ADR (A)		937,800		18,681
Banco do Brasil		111,681		1,967
BM&F Bovespa SA		2,048,248		14,611
BR Properties		198,023		2,249


Description	Shares		Market Value ($ Thousands)

Centrais Eletricas Brasileiras ADR		162,300	$	2,342
Cia de Saneamento Basico do Estado de Sao Paulo ADR		848,900		52,241
Cia Paranaense de Energia ADR (A)		1,207,300		32,054
Cia Vale do Rio Doce		264,620		8,374
Cia Vale do Rio Doce ADR, Cl B		965,296		31,140
Embraer ADR		333,900		10,782
Fibria Celulose		139,100		2,149
Fleury		129,893		2,099
Hypermarcas		320,127		3,001
Julio Simoes Logistica		230,295		1,635
Magazine Luiza*		131,000		1,320
Magnesita Refratarios*		248,000		1,169
Natura Cosmeticos		463,900		12,305
PDG Realty Empreendimentos e Participacoes		395,621		2,442
Petroleo Brasileiro ADR		276,500		9,575
Petroleo Brasileiro		563,210		9,550
SLC Agricola		45,974		592
Telegraph Norte Leste Participacoes ADR		1,044,777		18,670
Tim Participacoes ADR (A)		319,162		15,616
Totvs		792,680		15,657
Vivo Participacoes ADR		209,747		9,464
Wilson Sons, Cl BDR		21,211		435

				280,120


Canada — 6.0%
AGF Management, Cl B		60,000		1,258
Agrium		234,200		20,624
Alimentation Couche Tard, Cl B		31,930		887
Athabasca Oil Sands*		78,024		1,429
Bank of Montreal (A)		12,191		779
Bank of Nova Scotia		16,224		994
Barrick Gold (A)		37,607		1,801
Bombardier, Cl B		49,703		346
Brookfield Asset Management, Cl A		16,130		529
Canadian Imperial Bank of Commerce		6,162		511
Canadian National Railway		225,751		17,655
Canadian Natural Resources		381,342		16,598
Canadian Oil Sands		27,102		845
Canyon Services Group		805,270		13,107
Cascades		32,900		211
Celestica*		107,000		1,099
Cenovus Energy		264,417		9,771
Centerra Gold		109,500		2,012
CGI Group, Cl A*		141,000		3,251
CI Financial		110,400		2,668
CML HealthCare		21,575		211
Davis & Henderson Income, Cl Common Subscription Recei		18,900		392
Domtar (A)		59,590		6,107
Dorel Industries, Cl B		33,200		997
Empire, Cl A		10,300		594
Enbridge		168,160		5,636
Gildan Activewear		72,000		2,683
Goldcorp		7,690		385
IGM Financial		52,500		2,710
Imax* (A)		351,300		13,072


1		SEI Institutional Investments Trust / Annual Reporting / May 31, 2011

Schedule of Investments

World Equity Ex-US Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Imperial Oil		25,789	$	1,281
Laurentian Bank of Canada		7,000		378
Lundin Mining* (A)		506,100		3,761
MacDonald Dettwiler & Associates		4,300		252
Magna International, Cl A		164,100		7,944
Manitoba Telecom Services		20,500		729
Manulife Financial		58,143		1,036
Nexen		487,645		11,260
Norbord*		48,403		643
Nordion		47		1
Northgate Minerals*		105,700		310
Onex		72,000		2,706
Open Text*		3,400		222
Pacific Rubiales Energy		46,983		1,311
Potash Corp of Saskatchewan		339,540		19,218
Potash Saskatchewan		50,100		2,824
Quebecor, Cl B		24,700		857
Research In Motion*		283,335		12,136
Royal Bank of Canada (A)		23,257		1,359
Saputo (A)		80,100		3,927
Shaw Communications, Cl B (A)		32,166		689
Sun Life Financial (A)		21,851		687
Suncor Energy		150,651		6,290
Talisman Energy		82,620		1,745
Thomson Reuters (A)		–		–
TMX Group		31,400		1,436
Toronto-Dominion Bank (A)		257,624		22,194
Trican Well Service		575,400		13,832
Valeant Pharmaceuticals International		336,420		17,631
Viterra, Cl Common Subscription Recei		266,300		3,254
Wajax		4,677		187
West Fraser Timber		17,200		887
Yamana Gold		2,768,756		35,553
Yellow Media (A)		136,543		533

				306,235


Chile — 0.6%
CFR Pharmaceuticals*		50,173,672		12,619
Enersis ADR		109,413		2,374
ENTEL Chile		76,975		1,440
SACI Falabella		1,226,703		13,687

				30,120


China — 3.5%
Ajisen China Holdings		1,515,414		3,223
Anhui Conch Cement,		663,000		2,954
China Life Insurance		2,885,074		10,164
China Merchants Bank		6,261,127		15,940
China Minsheng Banking		1,620,500		1,533
China Petroleum & Chemical		22,604,600		22,670
China Rongsheng Heavy Industry Group		2,981,063		1,878
China Telecom		6,518,000		3,905
China Yurun Food Group		822,000		2,679
Dongfeng Motor Group		2,142,000		3,784
Focus Media Holding ADR* (A)		92,175		2,881
GOME Electrical Appliances Holdings*		8,849,678		3,482


Description	Shares		Market Value ($ Thousands)

Huaneng Power International		2,481,600	$	1,452
Huaneng Power International ADR (A)		436,900		10,236
Industrial & Commercial Bank of China		25,125,000		21,063
Mindray Medical International ADR		74,185		2,155
Noah Holdings ADR*		118,532		1,522
Shanghai Friendship Group, Cl B		241,620		426
Sina* (A)		13,790		1,638
Sinopharm Group (A)		3,052,586		10,951
Springland International Holdings		2,186,356		1,948
Tencent Holdings		214,174		6,163
Tingyi Cayman Islands Holding		867,393		2,649
Yanzhou Coal Mining ADR (A)		376,100		15,665
Zhaojin Mining Industry		5,749,000		13,202
Zhuzhou CSR Times Electric (A)		4,639,818		15,839

				180,002


Colombia — 0.0%
Grupo de Inversiones Suramericana		84,231		1,861


Cyprus — 0.0%
Eurasia Drilling GDR (B)		48,807		1,527


Denmark — 0.8%
AP Moller - Maersk, Cl A		200		1,851
AP Moller - Maersk, Cl B		377		3,626
Danske Bank		31,667		666
Novo-Nordisk, Cl B		258,707		32,401

				38,544


Egypt — 0.1%
Commercial International Bank		277,098		1,479
Egyptian Financial Group-Hermes Holding		371,557		1,425

				2,904


Finland — 0.6%
Fortum		26,496		886
Nokia		199,354		1,361
Nokia ADR (A)		912,700		6,407
Sampo, Cl A (A)		156,870		5,131
Stora Enso, Cl R		1,049,341		11,721
UPM-Kymmene		377,900		7,117

				32,623


France — 5.5%
Accor		13,685		626
Air Liquide (A)		163,366		22,671
Alcatel-Lucent		1,106,430		6,240
Alstom (A)		11,174		691
Arkema (A)		102,442		11,217
AXA		114,879		2,451
BNP Paribas (A)		549,008		42,794
Bouygues		21,288		982
Christian Dior		6,546		1,010


2		SEI Institutional Investments Trust /Annual Reporting/ May 31, 2011

Schedule of Investments

World Equity Ex-US Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Cie Generale de Geophysique-Veritas*		25,485	$	952
Compagnie de St.-Gobain		17,722		1,170
Credit Agricole (A)		155,860		2,380
Danone		22,118		1,620
Eutelsat Communications		20,583		912
France Telecom ADR (A)		1,236,800		28,335
Gaz de France		61,943		2,276
Lafarge		261,904		18,058
Lagardere S.C.A.		9,400		383
L’Oreal		15,004		1,886
LVMH Moet Hennessy Louis Vuitton (A)		161,490		28,068
Metropole Television		28,650		672
Natixis (A)		206,388		1,159
PagesJaunes Groupe (A)		43,824		451
Pernod-Ricard		8,285		836
Peugeot		285,830		12,085
PPR (A)		6,611		1,149
Publicis Groupe		276,141		15,165
Safran		12,034		489
Sanofi-Aventis		226,667		17,929
Schneider Electric		6,329		1,043
SES Global		24,337		654
Societe BIC		3,747		353
Societe Generale (A)		44,769		2,654
Sodexo		6,621		509
Technip		8,719		937
Teleperformance		19,701		673
Total (A)		520,408		29,948
Unibail-Rodamco‡		2,869		646
Valeo		83,959		5,313
Vinci		22,963		1,480
Vivendi		508,239		14,171

				283,038


Germany — 6.2%
Aareal Bank*		8,028		280
Adidas		199,146		14,999
Allianz		135,931		18,795
BASF		156,189		14,429
Bayer		16,276		1,332
Bayerische Motoren Werke (A)		72,345		6,394
Celesio		53,600		1,285
Commerzbank		205,208		938
Deutsche Bank (A)		343,252		20,437
Deutsche Lufthansa		680,824		14,818
Deutsche Post		44,267		833
Dialog Semiconductor* (A)		633,148		11,992
E.ON		85,702		2,431
Fresenius		6,693		702
Fresenius Medical Care (A)		347,985		25,183
GEA Group		395,269		13,280
Hannover Rueckversicherung		10,411		553
Henkel		251,392		14,554
Hochtief		4,198		353
Infineon Technologies		2,258,892		26,113
Kabel Deutschland Holding*		195,404		13,321
Linde		7,118		1,203
Merck KGaA		6,778		744
Metro		9,543		636
Muenchener Rueckversicherungs		122,012		18,698


Description	Shares		Market Value ($ Thousands)

Norddeutsche Affinerie		18,985	$	1,184
RWE		24,302		1,416
SAP		788,593		48,941
Siemens		259,362		34,676
Suedzucker		122,611		3,858
ThyssenKrupp		10,854		515
TUI (A)		56,452		625
Volkswagen		9,743		1,631

				317,149


Greece — 0.0%
Diana Shipping*		37,938		436
OPAP		53,895		988

				1,424


Hong Kong — 4.1%
AIA Group*		2,134,580		7,534
BOC Hong Kong Holdings		167,000		515
Cathay Pacific Airways		8,684,400		20,814
Chaoda Modern Agriculture		3,044,858		1,499
Cheung Kong Holdings		81,000		1,267
China High Precision Automation Group		2,423,078		1,866
China Mobile		866,500		7,916
CLP Holdings		1,397,000		11,927
CNOOC		13,808,597		34,799
Digital China Holdings		678,000		1,290
First Pacific		17,054,000		14,757
Hang Lung Properties		123,000		512
Henderson Land Development		108,000		733
Hengdeli Holdings		22,742,000		13,334
Hong Kong Exchanges and Clearing		1,059,500		23,745
Hongkong Land Holdings		238,000		1,764
Huabao International Holdings		1,932,796		2,729
Hutchison Telecommunications Hong Kong Holdings		1,170,000		382
Hutchison Whampoa		80,000		926
Jardine Matheson Holdings		167,200		8,761
Jardine Strategic Holdings		29,000		866
Li & Fung*		316,000		702
L’Occitane International*		4,866,750		12,765
Melco Crown Entertainment ADR*		22,400		251
Midland Holdings		720,000		504
MTR		156,000		573
New World Development		6,475,628		11,041
Polytec Asset Holdings		1,560,000		235
Power Assets Holdings		429,500		3,067
RCG Holdings*		137,229		23
Ruinian International		19,570,000		13,663
SJM Holdings		1,778,000		4,335
Sun Hung Kai Properties		88,000		1,370
Swire Pacific, Cl A		113,000		1,742
TPV Technology		1,266,000		744
Wharf Holdings		116,000		854
Wynn Macau		141,000		493
Yue Yuen Industrial Holdings		397,500		1,380

				211,678


3		SEI Institutional Investments Trust / Annual Reporting / May 31, 2011

Schedule of Investments

World Equity Ex-US Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Hungary — 0.1%
MOL Hungarian Oil and Gas		22,583	$	2,898


India — 1.1%
Allahabad Bank		689,196		3,019
Andhra Bank		613,283		1,951
Bank of India		279,351		2,779
Canara Bank		111,609		1,348
Dena Bank		480,718		998
Grasim Industries		6,300		322
IDBI Bank		991,510		2,962
India Cements		779,616		1,462
Indian Bank		128,394		634
Indian Overseas Bank		473,034		1,492
Infosys Technologies		50,394		3,116
ITC		913,420		3,921
JBF Industries		55,021		206
Mahindra & Mahindra		95,087		1,419
Nagarjuna Construction		723,608		1,378
Oriental Bank of Commerce		437,785		3,424
Power Finance		395,512		1,776
Reliance Infrastructure*		110,141		1,391
State Bank of India GDR		3,666		385
Tata Motors ADR (A)		757,300		18,349
Union Bank of India		250,202		1,769
Vijaya Bank		1,694,346		2,648
Welspun*		399,144		1,563
Zuari Industries		8,087		117

				58,429


Indonesia — 1.4%
APERAM		4,065		149
Astra International		2,477,962		17,056
Bank Mandiri		5,248,500		4,427
Bank Negara Indonesia Persero		12,191,707		5,535
Bank Rakyat Indonesia Persero		17,910,500		13,325
Gudang Garam		307,348		1,568
HM Sampoerna		17,500		59
Indofood CBP Sukses Makmur TBK*		2,082,849		1,232
Indofood Sukses Makmur		20,526,000		12,986
Kalbe Farma		32,362,000		13,554
Telekomunikasi Indonesia		1,846,962		1,666

				71,557


Ireland — 0.5%
Covidien		240,500		13,228
CRH		34,657		754
Experian		978,318		12,882

				28,864


Israel — 1.0%
Bank Hapoalim*		1,113,286		5,736
Check Point Software
Technologies* (A)		87,136		4,786
Israel Chemicals		116,731		1,905
Israel Discount Bank, Cl A*		947,664		1,894
Teva Pharmaceutical Industries		49,873		2,556


Description	Shares		Market Value ($ Thousands)

Teva Pharmaceutical Industries ADR		655,050	$	33,342

				50,219


Italy — 1.3%
Assicurazioni Generali		49,335		1,079
Atlantia		20,925		494
Banca Intesa (A)		994,672		2,578
Banca Intesa RNC (A)		1,094,066		2,383
Banca Monte dei Paschi di
Siena (A)		792,378		1,000
Banche Popolari Unite (A)		66,984		525
Banco Popolare Scarl		207,977		541
Enel		1,433,868		9,841
ENI		155,131		3,715
Exor		96,733		3,257
Fiat		63,575		675
Finmeccanica		47,113		586
Indesit (A)		34,599		381
Lottomatica* (A)		107,049		2,164
Mediaset (A)		111,167		581
Parmalat		3,462,367		12,832
Saipem (A)		73,640		3,882
Snam Rete Gas (A)		132,513		781
Sorin*		105,287		306
Telecom Italia		1,645,161		2,176
Tod’s		102,164		13,167
UniCredito Italiano		1,653,448		3,753

				66,697


Japan — 11.2%
77 Bank		109,000		420
Aeon		835,000		9,631
Aisin Seiki		67,300		2,485
Alfresa Holdings		27,100		978
All Nippon Airways		256,000		778
Alpine Electronics		57,100		762
Arnest One		58,500		547
Asahi Breweries		21,500		419
Asahi Glass		204,000		2,403
Asahi Glass ADR		752,900		8,779
Asahi Kasei		201,000		1,316
Astellas Pharma		178,900		6,827
Bank of Yokohama		82,000		398
Benesse		4,800		207
Bridgestone		14,600		332
Brother Industries		19,200		271
Calsonic Kansei		92,000		435
Canon		354,216		17,026
Central Glass		71,000		314
Central Japan Railway		530		4,162
Chiba Bank		53,000		318
Chubu Electric Power		30,300		478
Chugai Pharmaceutical		20,500		337
Cosmo Oil		314,000		943
Dai Nippon Printing		49,000		560
Daicel Chemical Industries		520,000		3,335
Daihatsu Motor		314,000		5,191
Dai-ichi Life Insurance		6,113		9,240
Daiichi Sankyo		37,100		720
Daiichikosho		23,200		379
Daikin Industries		8,700		290


4		SEI Institutional Investments Trust / Annual Reporting / May 31, 2011

Schedule of Investments

World Equity Ex-US Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Daikyo (A)		698,000	$	1,186
Dainippon Screen Manufacturing		628,000		5,249
Dainippon Sumitomo Pharma		188,400		1,776
Daito Trust Construction		55,300		4,574
Daiwa House Industry		824,000		10,061
Daiwa Securities Group		91,000		373
Dena		56,500		2,006
Denso		19,600		703
East Japan Railway		42,400		2,474
Ebara		742,000		3,946
EDION (A)		243,300		2,073
Eisai (A)		13,100		498
Elpida Memory* (A)		197,700		2,725
Fanuc		109,200		16,789
Fast Retailing		3,700		539
Fuji Heavy Industries ADR		119,300		8,768
FUJIFILM Holdings		118,100		3,487
Fujitsu		1,456,000		7,653
Fukuoka Financial Group		144,000		571
Gunma Bank		44,000		230
Hankyu Hanshin Holdings		127,000		477
Hino Motors		270,000		1,479
HIS		22,000		515
Hitachi		6,909,600		39,464
Honda Motor		49,000		1,864
Hoya		23,500		487
Idemitsu Kosan		31,900		3,530
IHI		1,350,000		3,340
Inpex		239		1,730
IT Holdings		81,500		701
Itochu		91,500		944
Itochu Techno-Solutions		13,800		465
Japan Securities Finance		1,901,500		11,047
Japan Tobacco		300		1,160
JFE Holdings		16,100		402
JS Group		11,100		270
Kaken Pharmaceutical		85,000		1,199
Kansai Electric Power		31,500		537
Kao		12,700		326
Kawasaki Kisen Kaisha		107,000		359
KDDI		4,465		31,987
Keihin		10,100		207
Kewpie		19,700		240
Keyence		1,800		472
Komatsu		978,896		29,304
K’s Holdings		207,100		7,826
Kyocera		9,900		1,037
Maeda Road Construction		71,000		612
Marubeni		893,000		6,232
Medipal Holdings		159,500		1,419
Millea Holdings		20,600		565
Miraca Holdings		80,400		3,152
Mitsubishi		71,400		1,808
Mitsubishi Chemical Holdings		55,500		386
Mitsubishi Electric		116,000		1,307
Mitsubishi Estate		32,000		570
Mitsubishi Heavy Industries		192,000		931
Mitsubishi UFJ Financial Group		4,571,208		21,101
Mitsui		107,900		1,838
Mitsui ADR		56,100		19,114
Mitsui Fudosan		25,000		420
Mitsui OSK Lines		110,000		588


Description	Shares		Market Value ($ Thousands)

Mitsui Sumitomo Insurance Group Holdings		28,500	$	665
Mitsui Trust Holdings		95,060		326
Mizuho Financial Group		14,086,200		22,194
Murata Manufacturing		6,800		428
Nagase		53,000		612
NEC Networks & System Integration		39,800		493
Nichii Gakkan		131,200		1,110
Nidec		4,300		389
Nintendo		2,900		674
Nippo		62,000		437
Nippon Electric Glass		56,000		791
Nippon Express		83,000		321
Nippon Flour Mills		78,000		357
Nippon Light Metal		1,264,000		2,521
Nippon Meat Packers		210,000		2,952
Nippon Paper Group (A)		78,300		1,656
Nippon Telegraph & Telephone		359,700		16,914
Nippon Yusen ADR		2,402,800		18,261
Nippon Yusen		168,000		633
Nitto Denko ADR (A)		345,930		18,009
Nitto Denko		5,300		277
NKSJ Holdings		64,000		404
Nomura Holdings		196,900		989
Noritsu Koki		8,200		45
NTT Data		393		1,238
OJI Paper		61,000		271
Omron		8,600		221
Oriental Land		2,500		212
ORIX		6,930		662
Osaka Gas		56,000		199
Osaka Securities Exchange		2,639		11,256
Otsuka Holdings		28,100		739
Panasonic		34,700		407
Resona Holdings		160,000		707
Ricoh		25,000		276
Saizeriya		75,900		1,345
Sankyo		6,400		340
Sanrio		141,600		5,421
Sapporo Hokuyo Holdings		224,800		913
Secom		8,400		398
Sega Sammy Holdings		129,200		2,503
Seino Holdings		165,000		1,172
Sekisui House		20,000		191
Seven & I Holdings		17,500		464
Sharp		47,000		440
Shin-Etsu Chemical		24,700		1,281
Shizuoka Bank		62,000		569
Showa Shell Sekiyu		64,800		635
SMC		6,300		1,011
Softbank		397,600		15,392
Sojitz		1,141,600		2,122
Sony		58,400		1,555
Sumitomo		80,700		1,075
Sumitomo Chemical		84,000		420
Sumitomo Electric Industries		46,800		673
Sumitomo Metal Industries		440,000		899
Sumitomo Metal Mining		23,000		372
Sumitomo Mitsui Financial Group		77,900		2,253
Sumitomo Osaka Cement		82,000		209
Sysmex		369,200		13,152


5		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

World Equity Ex-US Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Takeda Pharmaceutical		262,500	$	12,488
Tanabe Seiyaku		19,600		330
TDK		5,400		284
Terumo		5,900		333
Toagosei		341,000		1,729
Tohoku Electric Power		18,700		219
Tokyo Electric Power (A)		141,000		550
Tokyo Electron		9,300		513
Tokyo Gas		81,000		345
Tokyu		131,000		542
TonenGeneral Sekiyu		106,000		1,299
Toppan Printing		51,000		390
Toshiba		168,000		889
Toshiba TEC		168,000		769
Toyo Seikan Kaisha		90,300		1,398
Toyota Motor		587,847		24,602
Unicharm		6,900		280
Unipres		14,200		323
Watabe Wedding		7,955		65
West Japan Railway		226		863
Yahoo! Japan		2,373		786
Zeon		676,000		5,900

				574,722


Kazakhstan — 0.0%
KazMunaiGas Exploration Production GDR		101,048		2,177


Malaysia — 0.2%
Affin Holdings		236,400		258
Axiata Group*		1,951,800		3,242
EON Capital		119,600		300
Hong Leong Bank		293,133		1,198
Hong Leong Financial Group		94,700		374
Malayan Banking		332,000		983
Proton Holdings		131,700		151
RHB Capital		1,047,100		3,207
Telekom Malaysia		2,081,500		2,690

				12,403


Mexico — 1.4%
Alfa, Cl A		150,804		2,177
America Movil, Ser L		1,880,415		4,955
America Movil ADR, Ser L		62,050		3,270
Bolsa Mexicana de Valores		658,934		1,384
Genomma Lab Internacional, Cl B*		6,295,638		16,209
Grupo Financiero Banorte, Ser O		540,699		2,511
Grupo Lamosa*		17,900		29
Grupo Televisa		487,166		2,280
OHL Mexico*		1,046,620		2,170
Telefonos de Mexico ADR (A)		906,026		16,182
Telefonos de Mexico, Cl L		436,600		391
Urbi Desarrollos Urbanos*		900,515		1,876
Wal-Mart de Mexico		5,529,900		16,770

				70,204


Netherlands — 3.6%
Aegon*		144,769		1,012
Akzo Nobel		18,829		1,358


Description	Shares		Market Value ($ Thousands)

ArcelorMittal		650,198	$	21,663
ASML Holding		36,326		1,410
European Aeronautic Defense and Space		324,144		10,662
Heineken		20,542		1,235
ING Groep*		1,734,405		20,892
Koninklijke Ahold		162,176		2,310
Koninklijke DSM		203,508		13,614
Koninklijke Philips Electronics		32,299		895
Nutreco		25,359		1,932
Reed Elsevier		1,374,317		18,461
Royal Dutch Shell, Cl B		139,957		5,066
Royal Dutch Shell, Cl A (GBP)		291,037		10,500
Royal Dutch Shell ADR, Cl A (A)		426,100		30,436
Royal Dutch Shell, Cl A (A)		932,714		33,214
Unilever		100,589		3,280
Yandex, Cl A* (A)		146,500		4,901

				182,841


New Zealand — 0.0%
Telecom of New Zealand		1,145,450		2,280


Norway — 1.6%
DnB (A)		54,877		825
Marine Harvest		2,510,685		2,476
Norsk Hydro		43,190		346
Seadrill		1,008,002		36,300
Statoil ADR (A)		724,300		19,078
Statoil (A)		578,920		15,236
Telenor (A)		77,412		1,307
Yara International (A)		94,112		5,652

				81,220


Pakistan — 0.0%
Pakistan Telecommunication		1,439,600		294


Poland — 0.5%
Getin Holding*		127,622		643
KGHM Polska Miedz		254,013		17,726
Netia*		107,362		224
Polish Oil & Gas		144,830		231
Polski Koncern Naftowy Orlen		222,160		4,360
Tauron Polska Energia*		146,318		351

				23,535


Portugal — 0.3%
Cimpor Cimentos de Portugal		60,989		465
Inapa-Invest Particip Gesta*		122,900		53
Jeronimo Martins		745,360		13,930
Portugal Telecom (A)		87,367		953

				15,401


Russia — 1.2%
Alliance Oil*		121,861		2,235
Globaltrans Investment GDR		112,125		2,175
LSR Group GDR		289,907		2,432


6		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

World Equity Ex-US Fund

May 31, 2011


Description	Shares		Market Value ($Thousands)

Lukoil ADR		302,793	$	19,470
Magnit GDR		463,895		14,265
Magnitogorsk Iron & Steel Works GDR		230,786		2,726
Mail.ru Group GDR*		397,498		13,634
Mobile Telesystems ADR		128,157		2,598

				59,535


Singapore — 1.1%
DBS Group Holdings		568,000		6,810
Golden Agri-Resources		1,518,000		849
Ho Bee Investment		11,428,000		13,423
Jardine Cycle & Carriage		17,000		558
Keppel		47,600		444
Oversea-Chinese Banking		85,000		654
Singapore Airlines		255,000		2,925
Singapore Press Holdings		178,000		557
Singapore Telecommunications		618,000		1,607
United Overseas Bank		63,000		992
United Overseas Bank ADR		651,400		20,649
UOB-Kay Hian Holdings		82,000		113
UOL Group		57,000		228
Wilmar International		182,000		784
Yangzijiang Shipbuilding Holdings		2,958,000		3,834

				54,427


South Africa — 1.0%
African Bank Investments		530,543		2,766
Harmony Gold Mining		189,131		2,625
Impala Platinum Holdings		128,271		3,551
Mondi		238,644		2,331
Mr Price Group		277,292		2,600
MTN Group		207,042		4,389
Sasol ADR (A)		590,100		31,641
Telkom		156,770		836

				50,739


South Korea — 4.4%
Celltrion		55,890		1,896
Daewoo Shipbuilding & Marine Engineering		78,782		3,256
Daum Communications		134,708		13,082
Hana Financial Group		272,820		9,784
Hyundai Hysco		59,310		2,819
Hyundai Motor		175,083		40,966
KB Financial Group		47,481		2,266
Kia Motors		284,715		19,972
KISCO Holdings		4,036		137
Korea Exchange Bank		26,100		225
Korea Zinc		4,032		1,524
LG		108,687		9,064
LG Chemical		11,640		5,771
LG Electronics		27,553		2,482
LG Hausys		1,304		88
LG.Philips LCD		77,150		2,567
Lock & Lock		398,414		14,565
MegaStudy		7,886		1,161
Nong Shim		959		223
POSCO ADR		177,100		18,068
Samsung Electronics		28,238		23,603
Shinhan Financial Group		69,306		3,118
Shinsegae		10,505		2,628


Description	Shares		Market Value ($Thousands)

SK Holdings		51,809	$	9,770
SK Telecom ADR (A)		1,320,138		23,353
Woori Finance Holdings		347,520		4,460
Woori Finance Holdings ADR (A)		256,200		9,920

				226,768


Spain — 0.8%
Abertis Infraestructuras		28,395		655
ACS Actividades Construcciones y Servicios (A)		10,712		514
Banco Bilbao Vizcaya Argentaria		166,650		1,944
Banco Pastor		164		1
Banco Santander Central Hispano		359,251		4,268
Criteria Caixacorp		103,930		755
Ferrovial (A)		104,085		1,320
Fomento de Construcciones y Contratas (A)		14,392		441
Gas Natural		42,811		812
Iberdrola		206,785		1,828
Inditex		19,764		1,795
Repsol		69,685		2,372
Telefonica		1,026,466		24,902

				41,607


Sweden — 1.6%
Atlas Copco, Cl B		26,818		630
Atlas Copco, Cl A*		422,086		5,690
Atlas Copco*		28,597		23
Billerud		58,221		652
Electrolux, Cl B		75,836		2,056
Hennes & Mauritz, Cl B (A)		653,593		24,241
Industrivarden, Cl C		89,672		1,581
Kinnevik Investment, Cl B		315,955		7,717
Nordea Bank		118,416		1,387
Sandvik		26,061		493
Scania, Cl B		47,854		1,177
Skandinaviska Enskilda Banken, Cl A		67,178		601
Svenska Cellulosa, Cl B		59,373		921
Svenska Cellulosa ADR (A)		1,261,000		19,735
Svenska Handelsbanken, Cl A		16,131		541
Swedbank, Cl A		482,155		8,945
Telefonaktiebolaget LM Ericsson, Cl B		99,708		1,472
Volvo, Cl B		313,776		5,659

				83,521


Switzerland — 4.7%
ABB		286,322		7,684
Clariant		216,718		4,762
Credit Suisse Group		904,290		38,826
Dufry Group		111,650		14,531
EGL		83		69
Forbo Holding		2,368		1,943
Givaudan		469		517
Helvetia Holding		604		266
Holcim		15,952		1,270
Julius Baer Group		248,591		10,889
Meyer Burger Technology*		16,709		747
Nestle		670,528		43,043
Novartis		493,108		31,799
PSP Swiss Property*		4,099		389


7		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

World Equity Ex-US Fund

May 31, 2011


Description	Shares		Market Value ($Thousands)

Roche Holding		57,447	$	10,103
Schindler Holding		19,166		2,414
STMicroelectronics		1,888,751		21,079
Swatch Group		5,006		448
Swatch Group, Cl B		11,253		5,598
Swiss Life Holding		4,820		804
Swiss Re*		21,092		1,255
Syngenta		4,136		1,428
Synthes (B)		5,326		927
UBS		478,833		9,174
Xstrata		37,497		880
Zurich Financial Services ADR		1,106,400		29,607
Zurich Financial Services		4,682		1,252

				241,704


Taiwan — 2.0%
Catcher Technology		439,000		2,865
Cathay Financial Holding		1,126,900		1,835
Chinatrust Financial Holding		2,613,063		2,325
CTCI		225,000		297
E Ink Holdings		1,659,000		3,740
Far Eastern Textile		1,348,194		2,134
Formosa Plastics		1,092,000		4,192
Fubon Financial Holding		8,207,674		11,986
High Tech Computer		861,632		36,682
HON HAI Precision Industry		1,071,400		3,757
Hwa Fong Rubber*		616,000		210
Long Bon International*		488,000		193
MediaTek		223,620		2,497
Mega Financial Holding		1,349,000		1,154
Taishin Financial Holding		2,049,730		1,230
Taiwan Fertilizer		660,000		2,162
Taiwan Semiconductor Manufacturing ADR		844,000		11,529
Taiwan Semiconductor Manufacturing		2,393,014		6,405
United Microelectronics		4,159,000		2,148
United Microelectronics ADR (A)		1,211,600		3,295

				100,636


Thailand — 1.1%
Bangkok Bank		1,564,600		8,365
Bangkok Bank NVDR		944,889		5,052
Bank of Ayudhya		1,552,600		1,435
Bumrungrad Hospital		899,904		1,158
Charoen Pokphand Foods		4,452,700		4,409
CP ALL		9,100,000		13,365
Kasikornbank		1,217,700		5,003
Krung Thai Bank		6,538,300		4,122
Quality Houses		188,530,243		12,693
Thanachart Capital		276,700		278
Total Access Communication		982,500		1,856

				57,736


Turkey — 0.7%
Arcelik		553,608		2,876
Bizim Toptan Satis Magazalari		76,411		1,310
Cimsa Cimento Sanayi VE Tica		185,374		1,063
Emlak Konut Gayrimenkul Yatirim Ortakligi‡		1,058,383		1,941
Ford Otomotiv Sanayi		205,416		1,761
Haci Omer Sabanci Holding		374,982		1,652


Description	Shares		Market Value ($Thousands)

KOC Holding		952,461	$	4,316
Petkim Petrokimya Holding*		1,105,254		1,722
Turk Ekonomi Bankasi		1,087,397		1,490
Turkiye Garanti Bankasi		2,451,369		10,924
Turkiye Sinai Kalkinma Bankasi		1,504,570		2,514

				34,233


United Kingdom — 12.5%
Aberdeen Asset Management		55,503		214
Anglo American		13,780		687
Antofagasta		114,790		2,511
ARM Holdings		1,557,790		14,679
Associated British Foods		131,274		2,327
AstraZeneca ADR (A)		582,600		30,528
AstraZeneca		527,451		27,586
Aviva		246,944		1,776
BAE Systems ADR		893,900		19,487
BAE Systems		162,375		883
Barclays		702,703		3,200
Barclays ADR (A)		519,800		9,559
BG Group		1,270,462		29,412
BHP Billiton		312,986		12,379
BP		1,063,813		8,201
BP PLC ADR		148,475		6,865
British American Tobacco		820,626		36,766
British Land‡		377,790		3,715
British Sky Broadcasting Group		65,849		902
BT Group, Cl A		946,797		3,129
Cairn Energy*		254,157		1,846
Cape		112,128		975
Carnival		512,124		20,576
Catlin Group		419,885		2,886
Centrica		1,545,187		8,090
Compass Group		79,713		775
Diageo		414,726		8,833
Diageo ADR		254,800		21,681
Drax Group		152,300		1,166
Essar Energy*		123,686		928
Fresnillo		14,796		355
GlaxoSmithKline		94,938		2,063
GlaxoSmithKline ADR (A)		747,000		32,464
HSBC Holdings		1,224,117		12,790
Imperial Tobacco Group		1,205,717		43,184
Intermediate Capital Group		2,429,095		13,778
Investec		411,432		3,435
Kingfisher		3,771,979		17,825
Lloyds Banking Group*		3,304,666		2,828
Man Group		3,235,942		13,683
Marks & Spencer Group		120,087		788
Marks & Spencer Group ADR		825,200		10,761
National Grid		133,575		1,377
Old Mutual		248,759		537
Pearson		908,579		17,078
Prudential		42,201		512
Reckitt Benckiser Group		419,556		23,735
Reed Elsevier		77,788		706
Rexam		94,410		622
Rio Tinto		284,774		19,898
Rio Tinto ADR (A)		292,100		20,482
Rolls-Royce Holdings		58,961		617
Royal Bank of Scotland Group*		5,824,169		4,084
SABMiller		359,777		13,321


8		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

World Equity Ex-US Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Sage Group ADR		487,400	$	9,295
Scottish & Southern Energy		49,819		1,130
Shire		131,890		4,162
Standard Chartered		807,248		21,631
Tesco		3,946,687		27,222
Unilever ADR (A)		639,000		20,825
Unilever		88,254		2,863
Vodafone Group		4,014,550		11,164
WH Smith		40,700		325
William Hill		192,915		679
WPP		69,774		869

				639,650


United States — 1.5%
Advance America Cash Advance Centers		171,640		1,056
American Equity Investment Life Holding		16,752		217
Astoria Financial		33,857		492
Axis Capital Holdings		556,100		18,318
Boise (A)		478,443		4,038
Calamos Asset Management, Cl A		36,343		545
Capital One Financial		287,624		15,629
Cash America International		13,535		705
Central Garden and Pet*		45,888		469
ConocoPhillips		110,854		8,117
Golden Star Resources*		377,686		1,006
RenaissanceRe Holdings		148,500		10,686
Schlumberger		258,250		22,137
Thomson Reuters (CAD)		42,951		1,673
Tyson Foods, Cl A		72,753		1,384
Virgin Media (A)		399,843		13,043
World Acceptance* (A)		19,648		1,310

				100,825

Total Common Stock (Cost $4,172,173) ($ Thousands)				4,803,832


PREFERRED STOCK — 1.1%

Brazil — 0.1%
Cia Energetica de Minas Gerais		112,601		2,107
Randon Participacoes		291,532		2,284
Tekno Industria e Comercio		1		—
Tim Participacoes		369,574		1,771

				6,162


Germany — 1.0%
Bayerische Motoren Werke		8,407		502
Henkel		118,376		8,366
Hugo Boss		134,617		12,095
KSB		304		256
RWE		11,330		621
Volkswagen		162,468		28,822

				50,662

Total Preferred Stock (Cost $38,662) ($ Thousands)				56,824


	Number Of Warrants

WARRANT — 0.0%

Hong Kong — 0.0%
Henderson Land Development, Expires 12/31/49*		7,200		—


Description		Shares		Market Value ($ Thousands)

Total Warrant (Cost $0) ($ Thousands)				$	—

		Number Of Rights
RIGHTS — 0.0%

Italy — 0.0%
Intesa, Expires 06/14/11			2,227,290		394


Spain — 0.0%
Gas Natural SDG, Expires 06/17/11			42,811		29

Total Rights (Cost $0) ($ Thousands)					423


EXCHANGE TRADED FUND — 0.0%

United States — 0.0%
iShares MSCI EAFE Index Fund			3,800		236

Total Exchange Traded Fund (Cost $189) ($ Thousands)					236


AFFILIATED PARTNERSHIP — 10.1%
SEI Liquidity Fund, L.P.,			519,185,796		516,462
0.150% ** † (F)

Total Affiliated Partnership (Cost $519,186) ($ Thousands)					516,462


TIME DEPOSITS — 1.0%

United States — 1.0%
Brown Brothers Harriman
3.977%, 06/01/11	ZAR		1		—
3.866%, 06/01/11	AUD		—		—
1.405%, 06/01/11	NOK		1,705		316
0.932%, 06/01/11	SEK		823		133
0.430%, 06/01/11	EUR		5,293		7,609
0.231%, 06/01/11	CAD		1,921		1,983
0.200%, 06/01/11	DKK		1		—
0.103%, 06/01/11	GBP		354		583
0.030%, 06/01/11	USD		36,783		36,783
0.010%, 06/01/11	JPY		97,487		1,200
0.010%, 06/01/11	SGD		254		206
0.005%, 06/01/11	CHF		329		386
0.005%, 06/01/11	HKD		30,115		3,872

Total Time Deposits (Cost $53,071) ($ Thousands)					53,071


CASH EQUIVALENT — 2.1%
SEI Daily Income Trust, Pr ime Obligation Fund, Cl A
0.050%, 05/31/11** †			110,139		110,139

Total Cash Equivalent (Cost $110,139) ($ Thousands)					110,139


9		SEI Institutional Investments Trust /Annual Report/ May 31, 2011

Schedule of Investments

World Equity Ex-US Fund

May 31, 2011


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)

U.S. TREASURY OBLIGATIONS — 0.2%
U.S. Treasury Bills (D) (E)
0.180%, 06/16/11	$	450	$	450
0.088%, 07/21/11		1,000		1,000
0.042%, 06/30/11		9,687		9,687

Total U.S. Treasury Obligations (Cost $11,136) ($ Thousands)				11,137

Total Investments —108.2% (Cost $4,904,556)($ Thousands)			$	5,552,124

A summary of the open futures contracts held by the Fund at May 31, 2011, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		1,274		Jun-2011	$	325
FTSE 100 Index		386		Jun-2011		439
Hang Seng Index		37		Jun-2011		200
Nikkei 225 Index		11		Jun-2011		(49	)
S&P TSE 60 Index		125		Jun-2011		252
SPI 200 Index		118		Jul-2011		37
Topix Index		314		Jun-2011		229

					$	1,433

Percentages are based on a Net Assets of $5,129,089($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2011.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security (see Note 5).

(A)

This security or a partial position of this security is on loan at May 31, 2011. The total value of securities on loan at May 31, 2011 was $506,413 ($ Thousands).

(B)

(C)

(D)

Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase.

(E)

Security, or portion thereof, has been pledged as collateral on open futures contracts.

(F)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of May 31, 2011 was $516,462 ($ Thousands)

ADR — American Depositary Receipt

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

DJ — Dow Jones

DKK — Danish Krone

EUR — Euro

FTSE — Financial Times and Stock Exchange

GBP — British Pound Sterling

GDR — Global Depository Receipt

HKD — Hong Kong Dollar

JPY — Japanese Yen

L.P. — Limited Partnership

MSCI EAFE — Morgan Stanley Capital International Europe, Australia, and the Far East

NOK — Norwegian Krone

NVDR — Non-Voting Depositary Receipt

NZD — New Zealand Dollar

PLC — Public Limited Company

S&P — Standard & Poor’s

SEK — Swedish Krone

SGD — Singapore Dollar

Ser — Series

SPI — Share Price Index

USD — U.S. Dollar

ZAR — South African Rand

The following is a summary of the inputs used as of May 31, 2011, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	4,803,928	$	2,904	$	—	$	4,803,832
Preferred Stock		56,824		—		—		56,824
Rights		423		—		—		423
Warrant		—		—		—		—
Exchange Traded Fund		236		—		—		236
Affiliated Partnership		—		516,462		—		516,462
Time Deposits		53,071		—		—		53,071
Cash Equivalent		110,139		—		—		110,139
U.S. Treasury Obligations		—		11,137		—		11,137

Total Investments in Securities	$	5,021,621	$	530,503	$	—	$	5,552,124


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *	$	1,433	$	—	$	—	$	1,433

Total Other Financial Instruments	$	1,433	$	—	$	—	$	1,433

Future contracts are valued at the unrealized depreciation on the instrument.

For the period ended May 31, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

For the period ended May 31, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.

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

The accompanying notes are an integral part of the financial statements.


10		SEI Institutional Investments Trust / Annual Reporting / May 31, 2011

Schedule of Investments

Screened World Equity Ex-US Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 94.4%

Australia — 3.4%
Amcor		1,452	$	11
Australia & New Zealand Banking
Group		674		16
BGP Holdings*		4,500		—
BHP Billiton		18,927		895
Commonwealth Bank of Australia		313		17
Crown		710		7
CSL		216		8
Leighton Holdings		280		7
National Australia Bank		757		21
Orica		342		9
Qantas Airways		2,889		6
Rio Tinto		4,225		367
Santos		15,426		243
Suncorp Group		889		8
TABCORP Holdings		789		7
Tatts Group		1,889		5
Thorn Group		18,819		42
Transurban Group		1,271		7
Wesfarmers		370		13
Westfield Group‡		856		8
Westpac Banking		894		21
Woodside Petroleum		2,640		131
Woolworths		508		15
				1,864

Austria — 0.5%
Erste Group Bank		160		8
IMMOFINANZ*		982		4
OMV		4,323		179
Voestalpine		1,275		64
				255

Belgium — 0.3%
Belgacom		306		11
Groupe Bruxelles Lambert		109		10
InBev		483		29
KBC Groep		332		14
Recticel		5,843		65
Solvay		82		12
				141

Brazil — 2.6%
BM&F Bovespa SA		35,800		255
Centrais Eletricas Brasileiras ADR		14,779		213
Cia Vale do Rio Doce ADR, Cl B		8,383		271
Embraer ADR		6,200		200
Natura Cosmeticos		10,100		268
Tim Participacoes ADR		4,180		205
				1,412

Canada — 5.3%
Athabasca Oil Sands*		2,400		44
Bank of Montreal		200		13
Bank of Nova Scotia		300		18
Barrick Gold		800		38
Bombardier, Cl B		600		4


Description	Shares		Market Value ($ Thousands)

Brookfield Asset Management, Cl A		200	$	7
Brookfield Real Estate Services		2,000		31
Canadian Imperial Bank of Commerce		129		11
Canadian National Railway		4,219		330
Canadian Natural Resources		7,100		309
Canadian Oil Sands		800		25
Cenovus Energy		4,674		173
Domtar		519		53
Dorel Industries, Cl B		1,100		33
Enbridge		4,520		152
High Liner Foods		400		6
IGM Financial		5,200		268
Imperial Oil		900		45
Lundin Mining*		13,600		101
Magellan Aerospace*		1,300		7
Magna International, Cl A		3,600		174
Manulife Financial		700		12
Nexen		1,906		44
Nordion		3		—
Onex		100		4
Pacific Rubiales Energy		1,300		36
Potash Corp of Saskatchewan		8,160		462
Research In Motion*		4,268		183
Royal Bank of Canada		300		18
Shaw Communications, Cl B		400		9
Sun Life Financial		300		9
Talisman Energy		2,500		53
Tembec*		1,000		4
Toronto-Dominion Bank		300		26
Valeant Pharmaceuticals International		2,180		114
Viterra, Cl Common Subscription Recei		7,200		88
Yellow Media		1,600		6
				2,910

China — 3.5%
Agricultural Bank of China*		480,000		293
Anhui Conch Cement		18,000		80
Bank of China		412,000		228
China Life Insurance		50,742		179
China Merchants Bank		110,624		282
China Minzhong Food*		58,000		76
China Telecom		6,000		4
Focus Media Holding ADR*		2,485		78
Industrial & Commercial Bank of China		432,000		362
Sina*		370		44
Sinopharm Group		56,135		201
Tencent Holdings		3,767		108
				1,935

Denmark — 1.8%
AP Moller - Maersk, Cl B		32		308
AP Moller - Maersk, Cl A		3		28
Danske Bank		383		8
Novo-Nordisk, Cl B		4,987		624
				968


1		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Screened World Equity Ex-US Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Finland — 0.7%
Fortum		363	$	12
Nokia		2,408		17
Norvestia, Cl B		38		1
Sampo, Cl A		4,230		138
Stora Enso, Cl R		18,473		206
UPM-Kymmene		422		8

				382


France — 7.0%
Accor		165		7
Air Liquide		3,002		417
Alcatel-Lucent		29,640		167
Arkema		611		67
AXA		1,387		30
BNP Paribas		10,261		800
Bouygues		293		13
Christian Dior		78		12
Compagnie de St.-Gobain		2,754		182
Credit Agricole		1,882		29
Danone		1,736		127
Eutelsat Communications		248		11
Lafarge		5,158		356
Lagardere S.C.A.		113		5
Les Nouveaux Constructeurs Investissement		2,195		29
L’Oreal		181		23
LVMH Moet Hennessy Louis
Vuitton		2,955		514
Metropole Television		345		8
Natixis		2,492		14
PagesJaunes Groupe		528		5
Pernod-Ricard		99		10
Peugeot		4,199		177
PPR		79		14
Publicis Groupe		5,265		289
Safran		179		7
Sanofi-Aventis		5,426		429
SES Global		293		8
Societe Generale		545		32
Sodexo		79		6
Unibail-Rodamco‡		35		8
Vinci		316		20
Vivendi		1,085		30

				3,846


Germany — 8.2%
Adidas		3,400		256
Aleo Solar*		600		20
Allianz		3,742		517
BASF		5,030		465
Bayer		2,203		180
Bayerische Motoren Werke		1,859		164
Commerzbank		2,976		14
Deutsche Bank		10,561		629
Deutsche Lufthansa		693		15
Deutsche Post		612		12
E.ON		6,973		198
Fresenius		81		9
Fresenius Medical Care		8,211		594
Henkel		202		12


Description	Shares		Market Value ($ Thousands)

Hochtief		58	$	5
Infineon Technologies		3,304		38
Leifheit		675		20
Linde		85		14
Merck KGaA		81		9
Metro		115		8
Muenchener Rueckversicherungs		89		14
RWE		330		19
SAP		11,167		693
Siemens		3,723		498
ThyssenKrupp		132		6
TUI		1,572		17
Volkswagen		528		88

				4,514


Greece — 0.0%
OPAP		1,551		28


Hong Kong — 4.7%
AIA Group*		36,600		129
Alco Holdings		54,000		25
Allan International Holdings		88,000		42
BOC Hong Kong Holdings		2,000		6
Cathay Pacific Airways		4,000		10
Cheung Kong Holdings		1,000		16
China Mobile		34,500		315
CLP Holdings		25,000		213
CNOOC		157,000		396
First Pacific		56,000		48
Hang Lung Properties		1,000		4
Henderson Land Development		2,000		14
Hong Kong Exchanges and Clearing		18,800		421
Hong Kong Ferry Holdings		10,000		9
Hongkong Land Holdings		14,000		104
Hutchison Whampoa		6,000		69
Jardine Strategic Holdings		2,342		70
Li & Fung*		4,000		9
Melco Crown Entertainment ADR*		590		7
MTR		2,000		7
Pacific Textile Holdings		75,000		49
Power Assets Holdings		10,500		75
SJM Holdings		48,000		117
Sun Hung Kai Properties		1,000		15
Swire Pacific, Cl A		17,500		270
Wharf Holdings		1,000		7
Wing On International		30,111		67
Wynn Macau		2,000		7
Yue Yuen Industrial Holdings		11,500		40

				2,561


Indonesia — 0.3%
APERAM		46		2
Asahimas Flat Glass		20,000		16
Bank Mandiri		159,500		134

				152


Ireland — 0.4%
Covidien		4,300		237


2		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Screened World Equity Ex-US Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

CRH		418	$	9

				246


Israel — 1.2%
Check Point Software Technologies*		1,700		93
Israel Chemicals		1,408		23
Orbotech*		4,844		64
Teva Pharmaceutical Industries		602		31
Teva Pharmaceutical Industries ADR		9,100		463

				674


Italy — 1.3%
Assicurazioni Generali		595		13
Atlantia		288		7
Banca Intesa		25,445		60
Banca Monte dei Paschi di Siena		9,561		12
Banche Popolari Unite		808		6
Banco Popolare Scarl		2,509		7
Danieli & C Officine Meccaniche		620		17
Enel		38,336		263
Exor		2,175		73
Fiat		768		8
Lottomatica*		2,876		58
M & C*		20,499		7
Mediaset		1,341		7
Saipem		1,980		104
Snam Rete Gas		1,814		11
Telecom Italia		19,849		27
UniCredito Italiano		19,945		45

				725


Japan — 13.4%
Adores		9,000		6
Aeon		9,700		112
Aisin Seiki		200		7
All Nippon Airways		3,000		9
Arc Land Sakamoto		4,500		61
Asahi Breweries		200		4
Asahi Glass		2,000		24
Asahi Kasei		1,000		7
Asahi Kogyosha		2,000		9
Astellas Pharma		1,200		46
AT-Group		2,000		24
Bank of Yokohama		1,000		5
Belluna		5,450		36
Best Bridal		18		14
Best Denki		14,000		35
Bridgestone		200		5
Brother Industries		200		3
Canon		6,295		303
C’BON COSMETICS		1,400		27
Central Japan Railway		3		24
Century Tokyo Leasing		2,900		49
Chiba Bank		1,000		6
Chubu Electric Power		400		6
Chugai Pharmaceutical		200		3
Chuo Spring		3,000		10
Cosmo Oil		9,000		27
Dai Nippon Printing		1,000		11


Description	Shares			Market Value ($ Thousands)

Daihatsu Motor		5,000		$	83
Dai-ichi Life Insurance		125			189
Daiichi Sankyo		400			8
Daikin Industries		200			7
Daito Trust Construction		700			58
Daiwa Securities Group		1,000			4
Denso		300			11
East Japan Railway		500			29
Ebara		16,000			85
Eisai		100			4
Elpida Memory*		1,200			17
Faith		198			33
Fanuc		2,700	��		415
Fields		16			27
First Juken		2,600			19
Fujitsu		1,000			5
Fukuoka Financial Group		1,000			4
Futaba Industrial		11,000			68
Gamecard-Joyco Holdings		1,000			12
Hankyu Hanshin Holdings		2,000			7
Happinet		600			7
HIS		6,700			157
Hitachi		58,000			331
Hokkaido Coca-Cola Bottling		1,000			5
Hokkan Holdings		5,000			14
Hokuriku Gas		3,000			8
Honda Motor		600			23
Hoya		200			4
Idemitsu Kosan		300			33
IHI		1,000			2
Inpex		7			51
IT Holdings		200			2
Itochu		1,200			12
Itochu-Shokuhin		100			3
Japan Tobacco		3			12
JFE Holdings		200			5
JS Group		100			2
Kamei		4,000			15
Kansai Electric Power		400			7
Kanto Auto Works		8,700			57
Kao		100			3
Kawasaki Kisen Kaisha		1,000			3
KDDI		59			423
Keiyo Gas		1,000			5
Kikuchi		600			11
Komatsu		19,300			578
KRS		900			9
K’s Holdings		5,000			189
Kyocera		100			10
Marubeni		20,000			140
Maruzen -General Commercial Kitchen Appliances & Equipment		2,000			13
Mikuni Coca-Cola Bottling		2,300			20
Millea Holdings		200			5
Mitani		3,100			39
Mitsubishi Chemical Holdings		1,000			7
Mitsubishi Electric		2,000			22
Mitsubishi Heavy Industries		3,000			15
Mitsubishi UFJ Financial Group		132,400			611
Mitsui OSK Lines		2,000			11


3		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Screened World Equity Ex-US Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Mitsui Sumitomo Insurance Group Holdings		400	$	9
Mitsui Trust Holdings		1,490		5
Mizuho Financial Group		16,400		26
Murakami		1,000		12
Murata Manufacturing		100		6
Nakano		2,500		5
Nichireki		8,000		36
NIFTY		20		26
Nintendo		100		23
Nippon Electric Glass		1,000		14
Nippon Express		1,000		4
Nippon Paper Group		200		4
Nippon Telegraph & Telephone		5,700		268
Nippon Yusen		2,000		8
Nisshin Fudosan		4,800		28
Nissin Sugar Manufacturing		23,000		52
Nittan Valve		1,300		5
Nitto Denko		100		5
Nitto Fuji Flour Milling		2,000		7
NKSJ Holdings		1,000		6
Nomura Holdings		2,300		12
NTT Data		1		3
Obayashi Road		14,000		30
Omron		100		3
Onoken		3,300		28
ORIX		80		8
Otsuka Holdings		300		8
Pacific Industrial		4,000		19
Panasonic		500		6
Raysum		59		9
Resona Holdings		1,900		8
Saison Information Systems		1,300		17
San-Ai Oil		3,000		15
Sanoh Industrial		1,100		9
Sanrio		3,800		145
Sanyo Housing Nagoya		20		19
Secom		100		5
Seino Holdings		21,000		149
Senshu Electric		1,600		23
Seven & I Holdings		400		11
Sharp		1,000		9
Shidax		6,700		24
Shin-Etsu Chemical		200		10
Shoei Foods		1,000		6
Showa Shell Sekiyu		2,000		20
SMC		100		16
Softbank		700		27
Soken Chemical & Engineering		700		7
Sony		7,400		197
Starts		1,500		6
Sumitomo		1,100		15
Sumitomo Chemical		1,000		5
Sumitomo Electric Industries		700		10
Sumitomo Metal Industries		5,000		10
Sumitomo Metal Mining		1,000		16
Sumitomo Mitsui Financial Group		1,100		32
Taiyo Elec		1,100		8
Takagi Securities		12,000		13
Takeda Pharmaceutical		6,300		300
Tanabe Seiyaku		200		3
TDK		100		5


Description	Shares		Market Value ($ Thousands)

Terumo		100	$	6
Tohoku Electric Power		200		2
Tokai		4,200		77
Tokyo Electric Power		1,900		7
Tokyo Electron		100		5
Tokyo Gas		1,000		4
Tokyu		1,000		4
Tokyu Construction		30,980		80
TonenGeneral Sekiyu		3,000		37
Toppan Printing		1,000		8
Toshiba		2,000		11
Toyota Motor		10,672		447
Toyota Tsusho		200		3
West Japan Railway		3		11
Yachiyo Industry		600		4
Yagi		300		4
Yahoo! Japan		26		9

				7,356


Malaysia — 0.9%
Axiata Group*		52,400		87
DRB-Hicom		169,400		126
EON Capital		9,500		24
Hong Leong Financial Group		7,200		28
Malayan Banking		76,700		227

				492


Mexico — 1.7%
Alfa, Cl A		4,500		65
America Movil, Ser L		4,300		11
America Movil ADR, Ser L		1,000		53
Gruma, Ser B, Cl B*		81,000		145
Grupo KUO De		9,900		17
Grupo Simec, Ser B, Cl B*		5,900		16
Industrias Bachoco ADR		587		15
Industrias Bachoco		4,617		10
Telefonos de Mexico ADR		10,647		190
Telefonos de Mexico, Cl L		99,400		89
Wal-Mart de Mexico		97,600		296

				907


Netherlands — 2.2%
Aegon*		1,746		12
Akzo Nobel		227		16
ArcelorMittal		11,522		384
ASML Holding		2,170		84
Core Laboratories		1,150		118
European Aeronautic Defense and Space		430		14
Heineken		249		15
ING Groep*		33,421		403
Koninklijke Ahold		579		8
Koninklijke DSM		130		9
Koninklijke Philips Electronics		443		12
Reed Elsevier		653		9
Unilever		1,214		40
Yandex, Cl A*		2,700		90

				1,214


4		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Screened World Equity Ex-US Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

New Zealand — 0.1%
Telecom of New Zealand		37,529	$	75


Norway — 0.7%
DnB		662		10
Norsk Hydro		521		4
Seadrill		5,600		201
Telenor		934		16
Yara International		2,394		144

				375


Philippines — 0.0%
Alaska Milk		33,900		10
Philippine National Bank*		7,400		11

				21


Poland — 1.2%
Getin Holding*		3,605		18
KGHM Polska Miedz		5,174		361
Polski Koncern Naftowy Orlen		9,007		177
Tauron Polska Energia*		54,387		131

				687


Portugal — 0.0%
Cimpor Cimentos de Portugal		735		6
Portugal Telecom		1,054		11

				17


Russia — 0.1%
Surgutneftegaz ADR		3,407		33


Singapore — 0.8%
DBS Group Holdings		9,000		108
Golden Agri-Resources		18,000		10
GP Batteries International		17,000		16
Hiap Seng Engineering		89,000		32
Ho Bee Investment		16,000		19
Keppel		1,100		10
Oversea-Chinese Banking		3,000		23
QAF		30,000		15
Singapore Airlines		1,000		11
Singapore Press Holdings		2,000		6
Singapore Telecommunications		8,000		21
Technics Oil & Gas		43,000		35
United Overseas Bank		2,000		32
Wilmar International		3,000		13
Yangzijiang Shipbuilding Holdings		53,000		69

				420


South Africa — 0.2%
MTN Group		4,320		92
Stefanutti Stocks Holdings		7,228		13

				105


South Korea — 3.0%
Celltrion		1,490		50
Dae Han Flour Mills		108		16
Hana Financial Group		370		13


Description	Shares		Market Value ($ Thousands)

Hyundai Hysco		1,590	$	76
Kia Motors		4,475		314
Kolon Industries		4,900		123
Korea Zinc		108		41
KyungDong City Gas		297		14
LG		440		37
LG Chemical		305		151
Nexen		1,031		70
Nong Shim Holdings		604		35
Samsung Electronics		376		314
SK Holdings		926		175
Taekwang Industrial		129		218
YESCO		1,030		23

				1,670


Spain — 1.3%
Abertis Infraestructuras		390		9
ACS Actividades Construcciones y Servicios		148		7
Banco Bilbao Vizcaya Argentaria		2,171		25
Banco Pastor		23		—
Banco Santander Central Hispano		4,336		52
Criteria Caixacorp		1,256		9
Ferrovial		1,428		18
Fomento de Construcciones y Contratas		198		6
Gas Natural		586		11
Iberdrola		2,830		25
Inditex		238		22
Repsol		2,055		70
Telefonica		18,015		437

				691


Sweden — 2.7%
Atlas Copco, Cl B		372		9
Atlas Copco, Cl A*		10,700		144
Atlas Copco*		372		—
Billerud		1,324		15
Hennes & Mauritz, Cl B		12,098		449
Husqvarna, Cl B		24,300		193
Nordea Bank		2,272		27
Sandvik		361		7
Scania, Cl B		344		8
Skandinaviska Enskilda Banken, Cl A		822		7
Svenska Cellulosa, Cl B		959		15
Svenska Handelsbanken, Cl A		194		6
Swedbank, Cl A		10,013		186
Telefonaktiebolaget LM Ericsson, Cl B		1,203		18
Volvo, Cl B		21,488		388

				1,472


Switzerland — 4.7%
Clariant		2,237		49
Credit Suisse Group		7,621		327
Givaudan		5		6
Holcim		192		15
Julius Baer Group		4,701		206
Nestle		13,535		869
Novartis		8,223		530
Roche Holding		932		164


5		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Screened World Equity Ex-US Fund

May 31, 2011


Description	Shares		Market Value ($ Thousands)

Schindler Holding		479	$	60
STMicroelectronics		11,541		129
Swatch Group		60		6
Swatch Group, Cl B		290		144
Swiss Re*		240		14
Syngenta		49		17
Synthes (A)		64		11
Xstrata		453		11
Zurich Financial Services		57		15

				2,573


Taiwan — 2.4%
Asia Polymer		30,000		53
Asustek Computer*		1,350		14
AU Optronics ADR		9,833		80
Catcher Technology		12,000		78
CMC Magnetics*		78,000		18
Elitegroup Computer Systems		52,000		17
Formosa Chemicals & Fibre		5,000		19
Formosa Petrochemical		7,000		25
Formosa Plastics		29,000		111
High Tech Computer		16,300		694
HON HAI Precision Industry		6,720		23
Nan Ya Plastics		6,000		17
Pegatron*		3,633		4
Quanta Computer		8,000		18
United Microelectronics ADR		41,062		112
Yageo		72,000		39
Zenitron		23,000		18

				1,340


Thailand — 0.5%
Bangchak Petroleum		7,700		5
Bangkok Bank NVDR		14,900		80
Charoen Pokphand Foods		119,600		118
PTT (Foreign)		6,800		80

				283


Turkey — 0.6%
KOC Holding		25,640		116
Turkiye Garanti Bankasi		44,300		198

				314


United Kingdom — 15.4%
Anglo American		167		8
Antofagasta		258		6
ARM Holdings		28,353		267
AstraZeneca		8,111		424
Aviva		12,251		88
BAE Systems		2,228		12
Barclays		27,788		127
BG Group		25,564		592
BHP Billiton		9,619		380
BP		36,825		284
BP PLC ADR		4,764		220
British American Tobacco		16,375		734
British Land‡		10,140		100
British Sky Broadcasting Group		794		11
BT Group, Cl A		6,559		22
Cairn Energy*		7,498		54
Carnival		10,053		404
Centrica		3,798		20


Description	Shares		Market Value ($ Thousands)

Compass Group		961	$	9
Dart Group		7,297		10
Diageo		9,832		209
Essar Energy*		3,647		27
Fresnillo		178		4
GlaxoSmithKline		1,147		25
HSBC Holdings		40,573		424
Imperial Tobacco Group		9,059		324
Kingfisher		72,474		342
Lloyds Banking Group*		41,223		35
Marks & Spencer Group		1,448		10
Meggitt		28,430		172
National Grid		1,828		19
Old Mutual		3,004		7
Pearson		19,369		364
Prudential		500		6
Reckitt Benckiser Group		7,573		428
Reed Elsevier		938		9
Rexam		1,139		8
Rio Tinto		7,620		532
Rolls-Royce Holdings		810		9
Royal Bank of Scotland Group*		293,591		206
SABMiller		5,972		221
Scottish & Southern Energy		682		15
Shire		3,550		112
Standard Chartered		14,364		385
Tesco		72,888		503
Unilever		1,067		35
Vodafone Group		74,888		208
WPP		841		10

				8,421


United States — 1.3%
Capital One Financial		4,810		261
ConocoPhillips		3,750		275
Eli Lilly		1,230		47
Golden Star Resources*		1,195		3
Thomson Reuters (CAD)		500		20
Travelers		1,017		63
Tyson Foods, Cl A		1,055		20

				689

Total Common Stock (Cost $45,463) ($ Thousands)				51,768


PREFERRED STOCK — 1.1%

Brazil — 0.1%
Cia de Gas de Sao Paulo		2,100		60


Germany — 1.0%
Bayerische Motoren Werke		102		6
Henkel		165		12
RWE		243		13
Volkswagen		2,842		504
WMF Wuerttembergische Metallwarenfabrik		186		8

				543

Total Preferred Stock (Cost $353) ($ Thousands)				603


6		SEI Institutional Investments Trust / Annual Report / May 31, 2011

Schedule of Investments

Screened World Equity Ex-US Fund

May 31, 2011


Description		Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)

		Number Of Rights

RIGHTS — 0.0%

Austria — 0.0%
OMV, Expires 06/08/11			4,323	$	—


Italy — 0.0%
Intesa, Expires 06/14/11			25,445		5


Spain — 0.0%
Gas Natural SDG, Expires 06/17/11			586		—

Total Rights (Cost $0) ($ Thousands)					5


U.S. TREASURY OBLIGATION —0.4%
U.S. Treasury Bill
0.042%, 06/30/11 (B) (C)		$	250		250

Total U.S. Treasury Obligation (Cost $250) ($ Thousands)					250


TIME DEPOSITS — 2.3%

United States — 2.3%
Brown Brothers Harriman
3.866%, 06/01/11	AUD		50		53
1.600%, 06/01/11	NZD		2		1
1.405%, 06/01/11	NOK		50		9
0.932%, 06/01/11	SEK		601		97
0.430%, 06/01/11	EUR		108		155
0.231%, 06/01/11	CAD		20		21
0.200%, 06/01/11	DKK		78		15
0.103%, 06/01/11	GBP		45		75
0.030%, 06/01/11	USD		653		653
0.010%, 06/01/11	JPY		4,836		60
0.010%, 06/01/11	SGD		89		72
0.005%, 06/01/11	CHF		23		27
0.005%, 06/01/11	HKD		122		16

Total Time Deposits (Cost $1,254) ($ Thousands)					1,254


CASH EQUIVALENT — 0.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A ** †
0.050%, 05/31/11			368,990		369

Total Cash Equivalent (Cost $369) ($ Thousands)					369

Total Investments — 98.9% (Cost $47,689) ($ Thousands)				$	54,249

A summary of the open futures contracts held by the Fund at May 31, 2011, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		8		Jun-2011	$	10
FTSE 100 Index		2		Jun-2011		5
Hang Seng Index		1		Jun-2011		—
SPI 200 Index		1		Jul-2011		5
Topix Index		2		Jun-2011		(1	)

					$	19

Percentages are based on a Net Assets of $54,844 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2011.

†

Investment in Affiliated Security (see Note 5).

‡

Real Estate Investment Trust.

(A)

(B)

The rate reported is the effective yield at time of purchase.

(C)

Security, or portion thereof, has been pledged as collateral on open futures contracts.

ADR — American Depositary Receipt

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

DJ — Dow Jones

DKK — Danish Krone

EUR — Euro

FTSE — Financial Times and Stock Exchange

GBP — British Pound Sterling

HKD — Hong Kong Dollar

JPY — Japanese Yen

NOK — Norwegian Krone

NVDR — Non-Voting Depositary Receipt

NZD — New Zealand Dollar

PLC — Public Limited Company

S&P — Standard & Poor’s

SEK — Swedish Krone

SGD — Singapore Dollar

Ser — Series

SPI — Share Price Index

USD — U.S. Dollar

The following is a summary of the inputs used as of May 31, 2011, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	51,768	$	—	$	—	$	51,768
Preferred Stock		603		—		—		603
Rights		5		—		—		5
U.S. Treasury Obligation		—		250		—		250
Time Deposits		1,254		—		—		1,254
Cash Equivalent		369		—		—		369

Total Investments in Securities	$	53,999	$	250	$	—	$	54,249


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *	$	19	$	—	$	—	$	19

Total Other Financial Instruments	$	19	$	—	$	—	$	19

Future contracts are valued at the unrealized depreciation on the instrument.

For the period ended May 31, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

For the period ended May 31, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.

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

The accompanying notes are an integral part of the financial statements.


7		SEI Institutional Investments Trust /Annual Report/ May 31, 2011

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders

SEI Institutional Investments Trust:

We have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the financial statements of SEI Institutional Investments Trust, comprising the 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, Ultra Short Duration Bond Fund, Emerging Markets Debt Fund, Real Return Fund, Dynamic Asset Allocation Fund (collectively, the “Funds”), as of and for the year or period ended May 31, 2011, and have issued our unqualified report thereon dated July 29, 2011 (which report and financial statements are included in Item 1 of this Certified Shareholder Report on Form N-CSR).

Our audits included an audit of 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’s (collectively as “Funds”) schedules of investments in securities (the “Schedules”) as of May 31, 2011 appearing in Item 6 of this Form N-CSR. These Schedules are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these Schedules based on our audits.

In our opinion, the Schedules referred to above, when read in conjunction with the financial statements of the Funds referred to above, present fairly, in all material respects, the information set forth therein.

/s/ KPMG LLP

Philadelphia, Pennsylvania

July 29, 2011

(b) In accordance with Section 13(c) of the Investment Company Act of 1940 the Screened World Equity Ex-US Fund divested itself of the following security during the fiscal year ended May 31, 2011:

Issuer Name:

Arcelor
Mittal

Merck

Mitsui

OMV AG

Renault

Sumitomo

JX
Holdings

Schneider

Eni Spa

Ticker Symbol:

MT NA

MRK GY

8031 JP

OMV AV

RNO FP

8053 JP

5020 JP

SU FP

ENI

CUSIP:

B03XPL1

4741844

6597302

4651459

4712798

6858946

B627LW9

4834108

7145056

Number of

Shares Divested:

2,109

103

6,400

1,399

1,629

29,400

19,000

2,347

1,237

Date Security

was Divested:

7/22/2010

7/23/2010

7/22/2010

7/23/2010

7/29/2010

5/7/2010

1/19/2011

The Registrant no longer holds any shares of the divested securities in the above table.

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 18, 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.

Item 11.

Controls and Procedures.

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

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

Items 12.

Exhibits.

(a)(1) Code of Ethics attached hereto.

(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.

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		/s/ Robert A. Nesher
		Robert A. Nesher President & CEO

Date: August 8, 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								/s/ Robert A. Nesher
								Robert A. Nesher President & CEO

Date: August 8, 2011




By								/s/ Peter A. Rodriguez
								Peter A. Rodriguez Controller & CFO

Date: August 8, 2011

Sei Institutional Investments Trust N-CSRCertified annual shareholder report (management investment company)