Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSRS
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-07257
SEI Institutional Investments Trust
(Exact name of registrant as specified in charter)
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Address of principal executive offices) (Zip code)
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, 2012
Date of reporting period: November 30, 2011
Table of Contents
Item 1. | Reports to Stockholders. |
Table of Contents
SEI Institutional Investments Trust
Semi-Annual Report as of November 30, 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
Multi-Asset Real Return Fund
Table of Contents
1 | ||||
150 | ||||
154 | ||||
158 | ||||
164 | ||||
167 | ||||
185 | ||||
Board of Trustees Consideration in Approving | 187 |
The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q within sixty days after the end of the period. The Trust’s Forms N-Q are available on the Commission’s website at http://www.sec.gov, and may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission’s website at http://www.sec.gov.
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund
November 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 95.3% |
| |||||||||||
Consumer Discretionary — 14.6% |
| |||||||||||
Apollo Group, Cl A* | 0.7 | % | 231,342 | $ | 11,215 | |||||||
Bed Bath & Beyond* | 0.6 | 154,250 | 9,334 | |||||||||
CBS, Cl B | 0.9 | 532,840 | 13,875 | |||||||||
Coach | 1.1 | 275,266 | 17,229 | |||||||||
Harley-Davidson | 0.6 | 237,065 | 8,717 | |||||||||
Lowe’s | 1.1 | 728,688 | 17,496 | |||||||||
Macy’s | 0.6 | 262,590 | 8,490 | |||||||||
NIKE, Cl B | 1.0 | 152,875 | 14,704 | |||||||||
Target | 0.7 | 207,864 | 10,954 | |||||||||
Time Warner Cable, Cl A | 0.5 | 138,680 | 8,387 | |||||||||
Other Securities | 6.8 | 104,914 | ||||||||||
|
| |||||||||||
225,315 | ||||||||||||
|
| |||||||||||
Consumer Staples — 8.6% |
| |||||||||||
Costco Wholesale | 1.2 | 218,731 | 18,658 | |||||||||
Mead Johnson Nutrition, Cl A | 0.8 | 170,385 | 12,840 | |||||||||
Philip Morris International | 0.9 | 187,710 | 14,311 | |||||||||
Procter & Gamble | 0.7 | 173,500 | 11,203 | |||||||||
Walgreen | 0.5 | 251,800 | 8,491 | |||||||||
Whole Foods Market (A) | 0.6 | 126,404 | 8,608 | |||||||||
Other Securities | 3.9 | 58,491 | ||||||||||
|
| |||||||||||
132,602 | ||||||||||||
|
| |||||||||||
Energy — 10.2% |
| |||||||||||
Chevron | 1.5 | 230,300 | 23,680 | |||||||||
ConocoPhillips | 1.5 | 324,110 | 23,116 | |||||||||
EOG Resources | 0.8 | 112,600 | 11,681 | |||||||||
Exxon Mobil | 1.3 | 245,900 | 19,780 | |||||||||
FMC Technologies* (A) | 0.5 | 154,963 | 8,114 | |||||||||
Schlumberger | 0.6 | 127,337 | 9,592 | |||||||||
Other Securities | 4.0 | 61,647 | ||||||||||
|
| |||||||||||
157,610 | ||||||||||||
|
| |||||||||||
Financials — 12.0% |
| |||||||||||
Capital One Financial (A) | 0.7 | 261,540 | 11,680 | |||||||||
Citigroup | 0.6 | 345,980 | 9,507 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
JPMorgan Chase | 1.2 | % | 612,910 | $ | 18,982 | |||||||
Wells Fargo | 0.9 | 550,700 | 14,241 | |||||||||
Other Securities | 8.6 | 130,366 | ||||||||||
|
| |||||||||||
184,776 | ||||||||||||
|
| |||||||||||
Health Care — 11.8% |
| |||||||||||
Allergan | 1.0 | 177,900 | 14,894 | |||||||||
Amgen (A) | 0.9 | 246,056 | 14,249 | |||||||||
Johnson & Johnson | 0.9 | 214,770 | 13,900 | |||||||||
Merck | 0.8 | 360,400 | 12,884 | |||||||||
Pfizer | 1.1 | 873,900 | 17,539 | |||||||||
Other Securities | 7.1 | 107,657 | ||||||||||
|
| |||||||||||
181,123 | ||||||||||||
|
| |||||||||||
Industrials — 7.8% |
| |||||||||||
Fluor | 0.6 | 167,972 | 9,208 | |||||||||
General Electric | 0.9 | 885,300 | 14,085 | |||||||||
Precision Castparts | 0.7 | 65,104 | 10,726 | |||||||||
Other Securities | 5.6 | 86,332 | ||||||||||
|
| |||||||||||
120,351 | ||||||||||||
|
| |||||||||||
Information Technology — 22.4% |
| |||||||||||
Adobe Systems* | 0.8 | 472,112 | 12,945 | |||||||||
Apple* | 2.5 | 100,446 | 38,390 | |||||||||
Cisco Systems | 0.6 | 495,700 | 9,240 | |||||||||
Google, Cl A* | 1.9 | 48,951 | 29,341 | |||||||||
Intel | 1.5 | 957,759 | 23,858 | |||||||||
International Business Machines | 0.7 | 56,072 | 10,541 | |||||||||
Intuit | 0.7 | 209,950 | 11,178 | |||||||||
Mastercard, Cl A | 1.5 | 60,560 | 22,683 | |||||||||
Oracle | 1.0 | 477,797 | 14,979 | |||||||||
Qualcomm | 1.7 | 478,705 | 26,233 | |||||||||
VeriSign | 0.6 | 263,600 | 8,851 | |||||||||
Visa, Cl A | 1.0 | 150,150 | 14,560 | |||||||||
Other Securities | 7.9 | 122,258 | ||||||||||
|
| |||||||||||
345,057 | ||||||||||||
|
| |||||||||||
Materials — 2.4% |
| |||||||||||
Other Securities | 2.4 | 37,155 | ||||||||||
|
| |||||||||||
Telecommunication Services — 3.3% |
| |||||||||||
American Tower, Cl A* | 0.5 | 136,185 | 8,035 | |||||||||
AT&T (A) | 1.0 | 546,400 | 15,835 | |||||||||
Crown Castle International* | 0.6 | 199,400 | 8,439 | |||||||||
Verizon Communications (A) | 1.1 | 463,562 | 17,490 | |||||||||
Other Securities | 0.1 | 1,224 | ||||||||||
|
| |||||||||||
51,023 | ||||||||||||
|
| |||||||||||
Utilities — 2.2% |
| |||||||||||
Other Securities | 2.2 | 34,111 | ||||||||||
|
| |||||||||||
Total Common Stock |
| 1,469,123 | ||||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 1 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund (Concluded)
November 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
AFFILIATED PARTNERSHIP — 6.9% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.140%†** (B) | 6.9 | % | 106,910,118 | $ | 106,093 | |||||||
|
| |||||||||||
Total Affiliated Partnership |
| 106,093 | ||||||||||
|
| |||||||||||
CASH EQUIVALENTS — 3.9% |
| |||||||||||
SEI Daily Income Trust, | 3.8 | 57,971,755 | 57,972 | |||||||||
Other Securities | 0.1 | 1,475 | ||||||||||
|
| |||||||||||
Total Cash Equivalents |
| 59,447 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.4% |
| |||||||||||
Other Securities | 0.4 | 5,739 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 5,739 | ||||||||||
|
| |||||||||||
Total Investments — 106.5% |
| $ | 1,640,402 | |||||||||
|
|
The open futures contracts held by the Fund at November 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 680 | Dec-2011 | $ | 357 | ||||||||
S&P Mid 400 Index E-MINI | 66 | Dec-2011 | 79 | |||||||||
|
| |||||||||||
$ | 436 | |||||||||||
|
|
For the period ended November 30, 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.
Percentages are based on a Net Assets of $1,540,960 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2011. |
† | Investment in Affiliated Security (see Note 5). |
(A) | This security or a partial position of this security is on loan at November 30, 2011. The total value of securities on loan at November 30, 2011 was $109,066 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2011 was $106,093 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard & Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of November 30, 2011, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,469,123 | $ | — | $ | — | $ | 1,469,123 | ||||||||
Affiliated Partnership | — | 106,093 | — | 106,093 | ||||||||||||
Cash Equivalents | 57,972 | 1,475 | — | 59,447 | ||||||||||||
U.S. Treasury Obligations | — | 5,739 | — | 5,739 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,527,095 | $ | 113,307 | $ | — | $ | 1,640,402 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 436 | $ | — | $ | — | $ | 436 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 436 | $ | — | $ | — | $ | 436 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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.
Amounts designated as “—” are $O or have been rounded to $O.
The accompanying notes are an integral part of the financial statements.
2 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund
November 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 96.2% |
| |||||||||||
Consumer Discretionary — 14.7% |
| |||||||||||
Apollo Group, Cl A* | 0.9 | % | 55,600 | $ | 2,695 | |||||||
Bed Bath & Beyond* | 0.9 | 48,246 | 2,919 | |||||||||
Coach | 1.1 | 52,083 | 3,260 | |||||||||
Johnson Controls | 0.8 | 78,187 | 2,461 | |||||||||
Lowe’s | 1.3 | 162,772 | 3,908 | |||||||||
NIKE, Cl B | 1.2 | 40,055 | 3,853 | |||||||||
Nordstrom | 0.7 | 45,018 | 2,039 | |||||||||
priceline.com* | 0.6 | 3,950 | 1,919 | |||||||||
Staples | 0.6 | 134,300 | 1,935 | |||||||||
Target | 0.7 | 42,161 | 2,222 | |||||||||
Other Securities | 5.9 | 18,969 | ||||||||||
|
| |||||||||||
46,180 | ||||||||||||
|
| |||||||||||
Consumer Staples — 10.1% |
| |||||||||||
Costco Wholesale | 1.0 | 37,991 | 3,241 | |||||||||
Philip Morris International | 0.9 | 37,700 | 2,874 | |||||||||
Walgreen | 1.2 | 111,000 | 3,743 | |||||||||
Wal-Mart Stores | 0.6 | 29,700 | 1,749 | |||||||||
Whole Foods Market | 0.7 | 31,499 | 2,145 | |||||||||
Other Securities | 5.7 | 17,820 | ||||||||||
|
| |||||||||||
31,572 | ||||||||||||
|
| |||||||||||
Energy — 10.0% |
| |||||||||||
Chevron | 0.9 | 28,800 | 2,961 | |||||||||
EOG Resources | 0.9 | 26,650 | 2,765 | |||||||||
Exxon Mobil | 2.6 | 99,700 | 8,020 | |||||||||
Other Securities | 5.6 | 17,459 | ||||||||||
|
| |||||||||||
31,205 | ||||||||||||
|
| |||||||||||
Financials — 7.7% |
| |||||||||||
IntercontinentalExchange* | 0.6 | 15,000 | 1,826 | |||||||||
Other Securities | 7.1 | 22,425 | ||||||||||
|
| |||||||||||
24,251 | ||||||||||||
|
| |||||||||||
Health Care — 14.8% |
| |||||||||||
Allergan | 0.8 | 29,100 | 2,436 | |||||||||
Amgen | 0.7 | 37,579 | 2,176 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Cardinal Health | 0.6 | % | 41,300 | $ | 1,754 | |||||||
Celgene* | 0.8 | 38,092 | 2,403 | |||||||||
Pfizer | 1.4 | 214,900 | 4,313 | |||||||||
WellPoint | 0.6 | 27,700 | 1,954 | |||||||||
Other Securities | 9.9 | 31,277 | ||||||||||
|
| |||||||||||
46,313 | ||||||||||||
|
| |||||||||||
Industrials — 7.2% |
| |||||||||||
Caterpillar | 0.7 | 21,300 | 2,085 | |||||||||
General Electric | 0.8 | 148,300 | 2,360 | |||||||||
Northrop Grumman | 0.6 | 31,600 | 1,803 | |||||||||
Other Securities | 5.1 | 16,226 | ||||||||||
|
| |||||||||||
22,474 | ||||||||||||
|
| |||||||||||
Information Technology — 21.9% |
| |||||||||||
Adobe Systems* | 1.5 | 165,443 | 4,536 | |||||||||
Apple* | 2.0 | 16,400 | 6,268 | |||||||||
Autodesk* | 0.8 | 73,347 | 2,499 | |||||||||
Automatic Data Processing | 0.8 | 49,900 | 2,549 | |||||||||
Cisco Systems | 0.6 | 96,200 | 1,793 | |||||||||
EMC* | 0.7 | 98,083 | 2,257 | |||||||||
Google, Cl A* | 1.1 | 5,825 | 3,491 | |||||||||
Intel | 1.4 | 181,361 | 4,518 | |||||||||
International Business Machines | 1.2 | 20,500 | 3,854 | |||||||||
Intuit | 0.7 | 38,000 | 2,023 | |||||||||
Mastercard, Cl A | 1.3 | 11,100 | 4,158 | |||||||||
Microsoft | 0.9 | 115,400 | 2,952 | |||||||||
Oracle | 0.7 | 72,232 | 2,265 | |||||||||
Qualcomm | 1.9 | 107,323 | 5,881 | |||||||||
Teradata* | 0.6 | 31,300 | 1,697 | |||||||||
VeriSign | 0.7 | 62,300 | 2,092 | |||||||||
Visa, Cl A | 1.1 | 34,100 | 3,307 | |||||||||
Other Securities | 3.9 | 12,442 | ||||||||||
|
| |||||||||||
68,582 | ||||||||||||
|
| |||||||||||
Materials — 4.1% |
| |||||||||||
Newmont Mining | 0.6 | 28,700 | 1,977 | |||||||||
Other Securities | 3.5 | 11,003 | ||||||||||
|
| |||||||||||
12,980 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 3.3% |
| |||||||||||
American Tower, Cl A* | 0.7 | 38,566 | 2,275 | |||||||||
Crown Castle International* | 0.7 | 47,200 | 1,998 | |||||||||
Verizon Communications | 1.5 | 123,536 | 4,661 | |||||||||
Other Securities | 0.4 | 1,425 | ||||||||||
|
| |||||||||||
10,359 | ||||||||||||
|
| |||||||||||
Utilities — 2.4% |
| |||||||||||
Other Securities | 2.4 | 7,480 | ||||||||||
|
| |||||||||||
Total Common Stock |
| 301,396 | ||||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 3 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Concluded)
November 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
EXCHANGE TRADED FUND — 0.5% |
| |||||||||||
SPDR Gold Trust | 0.5 | % | 10,100 | $ | 1,718 | |||||||
|
| |||||||||||
Total Exchange Traded Fund |
| 1,718 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 2.8% |
| |||||||||||
SEI Daily Income Trust, | 2.8 | 8,768,049 | 8,768 | |||||||||
|
| |||||||||||
Total Cash Equivalent | 8,768 | |||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (A) — 0.4% |
| |||||||||||
Other Securities | 0.4 | 1,214 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations | 1,214 | |||||||||||
|
| |||||||||||
Total Investments — 99.9% |
| $ | 313,096 | |||||||||
|
|
The open futures contracts held by the Fund at November 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 80 | Dec-2011 | $ | 87 | ||||||||
|
|
For the period ended November 30, 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.
Percentages are based on a Net Assets of $313,331 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2011. |
† | Investment in Affiliated Security (see Note 5). |
(A) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
S&P — Standard & Poor’s
SPDR — Standard & Poor’s Depositary Receipt
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of November 30, 2011, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 301,396 | $ | — | $ | — | $ | 301,396 | ||||||||
Exchange Traded Fund | 1,718 | — | — | 1,718 | ||||||||||||
Cash Equivalent | 8,768 | — | — | 8,768 | ||||||||||||
U.S. Treasury Obligations | — | 1,214 | — | 1,214 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 311,882 | $ | 1,214 | $ | — | $ | 313,096 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 87 | $ | — | $ | — | $ | 87 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 87 | $ | — | $ | — | $ | 87 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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.
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
4 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund
November 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 85.2% |
| |||||||||||
Consumer Discretionary — 8.2% |
| |||||||||||
Amazon.com* | 0.4 | % | 148,950 | $ | 28,642 | |||||||
DIRECTV, Cl A* (A) | 0.5 | 689,897 | 32,577 | |||||||||
Ross Stores | 0.4 | 301,175 | 26,832 | |||||||||
Viacom, Cl B | 0.7 | 1,022,912 | 45,786 | |||||||||
Walt Disney (A) | 0.4 | 796,000 | 28,537 | |||||||||
Other Securities | 5.8 | 397,164 | ||||||||||
|
| |||||||||||
559,538 | ||||||||||||
|
| |||||||||||
Consumer Staples — 9.5% |
| |||||||||||
Coca-Cola | 0.6 | 608,552 | 40,913 | |||||||||
CVS Caremark (A) | 0.5 | 881,628 | 34,242 | |||||||||
PepsiCo | 0.5 | 568,258 | 36,369 | |||||||||
Philip Morris International | 0.8 | 687,361 | 52,404 | |||||||||
Procter & Gamble | 0.8 | 851,024 | 54,951 | |||||||||
Wal-Mart Stores | 1.5 | 1,787,314 | 105,273 | |||||||||
Other Securities | 4.8 | 319,633 | ||||||||||
|
| |||||||||||
643,785 | ||||||||||||
|
| |||||||||||
Energy — 11.4% |
| |||||||||||
Chevron | 2.4 | 1,587,625 | 163,240 | |||||||||
ConocoPhillips (A) | 1.3 | 1,252,459 | 89,325 | |||||||||
Exxon Mobil | 2.2 | 1,841,844 | 148,158 | |||||||||
Halliburton | 0.5 | 931,540 | 34,281 | |||||||||
Occidental Petroleum | 0.4 | 277,961 | 27,490 | |||||||||
Schlumberger | 0.9 | 796,868 | 60,028 | |||||||||
Other Securities | 3.7 | 248,081 | ||||||||||
|
| |||||||||||
770,603 | ||||||||||||
|
| |||||||||||
Financials — 10.9% |
| |||||||||||
ACE | 0.4 | 421,734 | 29,323 | |||||||||
American Express | 0.8 | 1,135,802 | 54,564 | |||||||||
Goldman Sachs Group | 0.5 | 319,826 | 30,659 | |||||||||
JPMorgan Chase | 1.4 | 3,132,011 | 96,998 | |||||||||
Wells Fargo | 1.5 | 3,764,885 | 97,360 | |||||||||
Other Securities | 6.3 | 432,552 | ||||||||||
|
| |||||||||||
741,456 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 11.1% |
| |||||||||||
Amgen | 1.1 | % | 1,273,179 | $ | 73,730 | |||||||
Bristol-Myers Squibb | 0.5 | 1,024,592 | 33,525 | |||||||||
Covidien | 0.8 | 1,142,216 | 52,028 | |||||||||
Gilead Sciences* | 0.5 | 854,341 | 34,045 | |||||||||
Johnson & Johnson | 1.1 | 1,184,269 | 76,646 | |||||||||
Merck | 0.7 | 1,269,862 | 45,397 | |||||||||
Pfizer | 1.2 | 3,945,083 | 79,178 | |||||||||
UnitedHealth Group | 0.5 | 736,526 | 35,920 | |||||||||
Other Securities | 4.7 | 321,283 | ||||||||||
|
| |||||||||||
751,752 | ||||||||||||
|
| |||||||||||
Industrials — 8.6% |
| |||||||||||
Boeing | 0.4 | 406,273 | 27,907 | |||||||||
Caterpillar | 0.5 | 310,181 | 30,361 | |||||||||
General Electric | 0.8 | 3,394,322 | 54,004 | |||||||||
Honeywell International | 1.0 | 1,206,652 | 65,340 | |||||||||
Union Pacific | 0.6 | 379,085 | 39,201 | |||||||||
United Technologies | 0.9 | 770,038 | 58,985 | |||||||||
Other Securities | 4.4 | 309,316 | ||||||||||
|
| |||||||||||
585,114 | ||||||||||||
|
| |||||||||||
Information Technology — 17.8% |
| |||||||||||
Apple* | 3.2 | 572,631 | 218,860 | |||||||||
Baidu ADR* | 0.4 | 203,938 | 26,714 | |||||||||
Cisco Systems | 0.9 | 3,232,186 | 60,248 | |||||||||
Google, Cl A* | 1.0 | 113,551 | 68,061 | |||||||||
Intel | 1.5 | 4,093,729 | 101,975 | |||||||||
International Business Machines (A) | 1.9 | 681,079 | 128,043 | |||||||||
Microsoft | 1.3 | 3,287,776 | 84,101 | |||||||||
Oracle | 1.6 | 3,498,247 | 109,670 | |||||||||
Qualcomm | 1.1 | 1,327,623 | 72,754 | |||||||||
Visa, Cl A (A) | 0.7 | 440,263 | 42,692 | |||||||||
Other Securities | 4.2 | 291,095 | ||||||||||
|
| |||||||||||
1,204,213 | ||||||||||||
|
| |||||||||||
Materials — 3.3% |
| |||||||||||
Freeport-McMoRan Copper & Gold, Cl B | 0.6 | 1,024,985 | 40,589 | |||||||||
Other Securities | 2.7 | 182,137 | ||||||||||
|
| |||||||||||
222,726 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 2.5% |
| |||||||||||
AT&T | 1.4 | 3,292,056 | 95,404 | |||||||||
Verizon Communications | 0.6 | 1,013,011 | 38,221 | |||||||||
Other Securities | 0.5 | 38,850 | ||||||||||
|
| |||||||||||
172,475 | ||||||||||||
|
| |||||||||||
Utilities — 1.9% |
| |||||||||||
Other Securities | 1.9 | 127,324 | ||||||||||
|
| |||||||||||
Total Common Stock |
| 5,778,986 | ||||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 5 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund (Concluded)
November 30, 2011
Description | Percentage of Net Assets (%) | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | |||||||||
AFFILIATED PARTNERSHIPS — 15.2% |
| |||||||||||
SEI LIBOR Plus Portfolio† | 9.8 | % | 95,101,742 | $ | 664,761 | |||||||
SEI Liquidity Fund, L.P. | ||||||||||||
0.140%†** (B) | 5.4 | 374,240,510 | 366,716 | |||||||||
|
| |||||||||||
Total Affiliated Partnerships |
| 1,031,477 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 3.2% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 3.2 | 215,321,680 | 215,322 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 215,322 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 1.3% |
| |||||||||||
U.S. Treasury Bills | ||||||||||||
0.065%, 12/22/11 | 0.2 | $ | 12,947 | 12,947 | ||||||||
0.063%, 06/28/12 | 0.0 | 381 | 381 | |||||||||
0.050%, 12/15/11 | 1.1 | 70,896 | 70,895 | |||||||||
0.020%, 05/03/12 | 0.0 | 2,138 | 2,138 | |||||||||
0.005%, 01/05/12 | 0.0 | 2,000 | 2,000 | |||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 88,361 | ||||||||||
|
| |||||||||||
Total Investments — 104.9% |
| $ | 7,114,146 | |||||||||
|
|
The open futures contracts held by the Fund at November 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 2,213 | Dec-2011 | $ | 1,687 | ||||||||
S&P Composite Index | 2,694 | Dec-2011 | 57,409 | |||||||||
|
| |||||||||||
$ | 59,096 | |||||||||||
|
|
For the period ended November 30, 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.
Percentages are based on a Net Assets of $6,780,070 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2011. |
† | Investment in Affiliated Security (see Note 5). |
(A) | This security or a partial position of this security is on loan at November 30, 2011. The total value of securities on loan at November 30, 2011 was $382,419 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2011 was $366,716 ($ 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. |
ADR — American Depositary Receipt
Cl — Class
LIBOR — London Interbank Offered Rate
L.P. — Limited Partnership
S&P — Standard & Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of November 30, 2011, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 5,778,986 | $ | — | $ | — | $ | 5,778,986 | ||||||||
Affiliated Partnerships | 664,761 | 366,716 | — | 1,031,477 | ||||||||||||
Cash Equivalent | 215,322 | — | — | 215,322 | ||||||||||||
U.S. Treasury Obligations | — | 88,361 | — | 88,361 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 6,659,069 | $ | 455,077 | $ | — | $ | 7,114,146 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 59,096 | $ | — | $ | — | $ | 59,096 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 59,096 | $ | — | $ | — | $ | 59,096 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
6 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.0% |
| |||||||||||
Consumer Discretionary — 11.2% |
| |||||||||||
Amazon.com* | 0.5 | % | 22,389 | $ | 4,305 | |||||||
Comcast, Cl A | 0.5 | 167,325 | 3,793 | |||||||||
Home Depot | 0.5 | 97,015 | 3,805 | |||||||||
McDonald’s | 0.8 | 63,780 | 6,092 | |||||||||
Walt Disney (A) | 0.5 | 114,672 | 4,111 | |||||||||
Other Securities | 8.4 | 68,886 | ||||||||||
|
| |||||||||||
90,992 | ||||||||||||
|
| |||||||||||
Consumer Staples — 10.0% |
| |||||||||||
Altria Group | 0.5 | 127,168 | 3,648 | |||||||||
Coca-Cola | 1.0 | 120,520 | 8,103 | |||||||||
Coca-Cola Enterprises | 0.1 | 20,215 | 528 | |||||||||
CVS Caremark | 0.4 | 82,452 | 3,203 | |||||||||
Kraft Foods, Cl A | 0.5 | 100,315 | 3,626 | |||||||||
PepsiCo | 0.8 | 97,152 | 6,218 | |||||||||
Philip Morris International | 1.0 | 108,468 | 8,270 | |||||||||
Procter & Gamble | 1.4 | 170,074 | 10,981 | |||||||||
Wal-Mart Stores | 0.8 | 108,979 | 6,419 | |||||||||
Other Securities | 3.5 | 29,997 | ||||||||||
|
| |||||||||||
80,993 | ||||||||||||
|
| |||||||||||
Energy — 11.6% |
| |||||||||||
Chevron | 1.6 | 123,102 | 12,657 | |||||||||
ConocoPhillips | 0.8 | 86,876 | 6,196 | |||||||||
Exxon Mobil | 3.0 | 301,242 | 24,232 | |||||||||
Occidental Petroleum | 0.6 | 49,554 | 4,901 | |||||||||
Schlumberger | 0.8 | 83,366 | 6,280 | |||||||||
Other Securities | 4.8 | 39,992 | ||||||||||
|
| |||||||||||
94,258 | ||||||||||||
|
| |||||||||||
Financials — 13.5% |
| |||||||||||
American Express | 0.4 | 63,834 | 3,067 | |||||||||
Bank of America | 0.4 | 618,818 | 3,366 | |||||||||
Berkshire Hathaway, Cl B* | 1.1 | 106,800 | 8,412 | |||||||||
Citigroup | 0.6 | 178,904 | 4,916 | |||||||||
JPMorgan Chase | 0.9 | 242,434 | 7,508 | |||||||||
SEI† (B) | 0.0 | 8,542 | 144 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Wells Fargo | 1.0 | % | 300,066 | $ | 7,760 | |||||||
Other Securities | 9.1 | 74,338 | ||||||||||
|
| |||||||||||
109,511 | ||||||||||||
|
| |||||||||||
Health Care — 11.2% |
| |||||||||||
Abbott Laboratories | 0.7 | 95,576 | 5,214 | |||||||||
Amgen | 0.4 | 52,867 | 3,062 | |||||||||
Bristol-Myers Squibb | 0.4 | 103,661 | 3,392 | |||||||||
Johnson & Johnson | 1.3 | 168,009 | 10,874 | |||||||||
Merck | 0.8 | 189,543 | 6,776 | |||||||||
Pfizer | 1.2 | 481,480 | 9,663 | |||||||||
UnitedHealth Group | 0.4 | 65,829 | 3,211 | |||||||||
Other Securities | 6.0 | 48,608 | ||||||||||
|
| |||||||||||
90,800 | ||||||||||||
|
| |||||||||||
Industrials — 10.6% |
| |||||||||||
3M | 0.4 | 43,146 | 3,496 | |||||||||
Boeing | 0.4 | 44,891 | 3,084 | |||||||||
Caterpillar | 0.5 | 39,088 | 3,826 | |||||||||
General Electric | 1.3 | 646,123 | 10,280 | |||||||||
Union Pacific | 0.4 | 29,816 | 3,083 | |||||||||
United Parcel Service, Cl B | 0.4 | 44,641 | 3,203 | |||||||||
United Technologies | 0.5 | 55,866 | 4,279 | |||||||||
Other Securities | 6.7 | 54,360 | ||||||||||
|
| |||||||||||
85,611 | ||||||||||||
|
| |||||||||||
Information Technology — 18.2% |
| |||||||||||
Apple* | 2.7 | 56,523 | 21,603 | |||||||||
Cisco Systems | 0.8 | 337,927 | 6,299 | |||||||||
Google, Cl A* | 1.2 | 15,444 | 9,257 | |||||||||
Hewlett-Packard | 0.4 | 120,701 | 3,374 | |||||||||
Intel | 1.0 | 323,358 | 8,055 | |||||||||
International Business Machines | 1.7 | 74,198 | 13,949 | |||||||||
Microsoft | 1.4 | 454,600 | 11,629 | |||||||||
Oracle | 0.9 | 235,767 | 7,391 | |||||||||
Qualcomm | 0.7 | 102,650 | 5,625 | |||||||||
Visa, Cl A | 0.4 | 31,800 | 3,084 | |||||||||
Other Securities | 7.0 | 56,973 | ||||||||||
|
| |||||||||||
147,239 | ||||||||||||
|
| |||||||||||
Materials — 4.0% |
| |||||||||||
Other Securities | 4.0 | 32,163 | ||||||||||
|
| |||||||||||
Telecommunication Services — 2.9% |
| |||||||||||
AT&T | 1.3 | 360,733 | 10,454 | |||||||||
Verizon Communications | 0.8 | 173,815 | 6,558 | |||||||||
Other Securities | 0.8 | 6,033 | ||||||||||
|
| |||||||||||
23,045 | ||||||||||||
|
| |||||||||||
Utilities — 3.8% |
| |||||||||||
Other Securities | 3.8 | 30,387 | ||||||||||
|
| |||||||||||
Total Common Stock |
| 784,999 | ||||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 7 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund (Concluded)
November 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
AFFILIATED PARTNERSHIP — 7.1% |
| |||||||||||
SEI Liquidity Fund, L.P. | 7.1 | % | 58,757,387 | $ | 57,962 | |||||||
|
| |||||||||||
Total Affiliated Partnership |
| 57,962 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 2.5% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 2.5 | 20,061,199 | 20,061 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 20,061 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (D) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 1,688 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 1,688 | ||||||||||
|
| |||||||||||
Total Investments — 106.8% |
| $ | 864,710 | |||||||||
|
|
The open futures contracts held by the Fund at November 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 372 | Dec-2011 | $ | 1,218 | ||||||||
S&P Mid 400 Index E-MINI | 30 | Dec-2011 | 131 | |||||||||
|
| |||||||||||
$ | 1,349 | |||||||||||
|
|
For the period ended November 30, 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.
Percentages are based on a Net Assets of $809,470 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2011. |
† | Investment in Affiliated Security (see Note 5). |
(A) | This security or a partial position of this security is on loan at November 30, 2011. The total value of securities on loan at November 30, 2011 was $59,809 ($ 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 November 30, 2011 was $57,962 ($ Thousands). |
(D) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard & Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of November 30, 2011, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 784,999 | $ | — | $ | — | $ | 784,999 | ||||||||
Affiliated Partnership | — | 57,962 | — | 57,962 | ||||||||||||
Cash Equivalent | 20,061 | — | — | 20,061 | ||||||||||||
U.S. Treasury Obligations | — | 1,688 | — | 1,688 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 805,060 | $ | 59,650 | $ | — | $ | 864,710 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 1,349 | $ | — | $ | — | $ | 1,349 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 1,349 | $ | — | $ | — | $ | 1,349 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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.
Amounts designated as “—” are $O or have been rounded to $O.
The accompanying notes are an integral part of the financial statements.
8 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 95.4% |
| |||||||||||
Consumer Discretionary — 12.8% |
| |||||||||||
American Public Education* (A) | 0.4 | % | 60,930 | $ | 2,335 | |||||||
Life Time Fitness* (A) | 0.4 | 55,579 | 2,264 | |||||||||
National CineMedia | 0.3 | 165,175 | 2,154 | |||||||||
Regis (A) | 0.3 | 115,606 | 1,875 | |||||||||
Zumiez* (A) | 0.3 | 83,386 | 1,962 | |||||||||
Other Securities | 11.1 | 72,294 | ||||||||||
|
| |||||||||||
82,884 | ||||||||||||
|
| |||||||||||
Consumer Staples — 2.4% |
| |||||||||||
Other Securities | 2.4 | 15,879 | ||||||||||
|
| |||||||||||
Energy — 7.4% |
| |||||||||||
Comstock Resources* (A) | 0.4 | 145,813 | 2,425 | |||||||||
Dril-Quip* | 0.3 | 24,620 | 1,751 | |||||||||
Goodrich Petroleum* (A) | 0.4 | 190,182 | 2,773 | |||||||||
Quicksilver Resources* (A) | 0.3 | 222,367 | 1,801 | |||||||||
World Fuel Services (A) | 0.3 | 51,223 | 2,196 | |||||||||
Other Securities | 5.7 | 36,959 | ||||||||||
|
| |||||||||||
47,905 | ||||||||||||
|
| |||||||||||
Financials — 18.7% |
| |||||||||||
Endurance Specialty Holdings | 0.3 | 46,616 | 1,686 | |||||||||
Financial Engines* (A) | 0.3 | 78,891 | 1,733 | |||||||||
Infinity Property & Casualty | 0.3 | 35,510 | 2,039 | |||||||||
Meadowbrook Insurance Group (A) | 0.3 | 208,536 | 2,127 | |||||||||
Primerica* | 0.0 | 2,200 | 51 | |||||||||
ProAssurance | 0.3 | 20,871 | 1,662 | |||||||||
Simon Property Group‡ | 0.3 | 13,391 | 1,665 | |||||||||
Other Securities | 16.9 | 110,430 | ||||||||||
|
| |||||||||||
121,393 | ||||||||||||
|
| |||||||||||
Health Care — 11.3% |
| |||||||||||
Cubist Pharmaceuticals* (A) | 0.3 | 50,675 | 1,955 | |||||||||
NuVasive* (A) | 0.3 | 128,863 | 1,778 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Omnicell* | 0.3 | % | 108,348 | $ | 1,751 | |||||||
Questcor Pharmaceuticals* (A) | 0.3 | 41,000 | 1,843 | |||||||||
Unilife* | 0.1 | 123,200 | 506 | |||||||||
Other Securities | 10.0 | 65,670 | ||||||||||
|
| |||||||||||
73,503 | ||||||||||||
|
| |||||||||||
Industrials — 18.3% |
| |||||||||||
CoStar Group* (A) | 0.4 | 38,868 | 2,586 | |||||||||
EMCOR Group | 0.4 | 86,420 | 2,215 | |||||||||
FTI Consulting* (A) | 0.4 | 55,400 | 2,376 | |||||||||
G&K Services, Cl A | 0.3 | 56,387 | 1,686 | |||||||||
Geo Group* (A) | 0.3 | 94,600 | 1,675 | |||||||||
Kaydon | 0.3 | 63,535 | 2,006 | |||||||||
Middleby* | 0.3 | 18,180 | 1,659 | |||||||||
Simpson Manufacturing | 0.3 | 62,620 | 2,073 | |||||||||
Tetra Tech* | 0.3 | 96,333 | 2,157 | |||||||||
Towers Watson, Cl A | 0.3 | 25,541 | 1,664 | |||||||||
United Rentals* (A) | 0.4 | 87,052 | 2,450 | |||||||||
Wabash National* (A) | 0.5 | 468,547 | 3,439 | |||||||||
Wabtec | 0.3 | 28,449 | 1,942 | |||||||||
WESCO International* | 0.3 | 35,501 | 1,809 | |||||||||
Other Securities | 13.5 | 88,880 | ||||||||||
|
| |||||||||||
118,617 | ||||||||||||
|
| |||||||||||
Information Technology — 17.4% |
| |||||||||||
BroadSoft* (A) | 0.4 | 69,319 | 2,432 | |||||||||
DealerTrack Holdings* | 0.3 | 65,500 | 1,696 | |||||||||
Diebold (A) | 0.3 | 55,226 | 1,666 | |||||||||
Inphi* (A) | 0.3 | 175,520 | 1,894 | |||||||||
Mellanox Technologies* (A) | 0.3 | 59,493 | 2,083 | |||||||||
RealPage* (A) | 0.3 | 76,483 | 1,914 | |||||||||
ServiceSource International* | 0.3 | 124,130 | 1,656 | |||||||||
Sycamore Networks | 0.3 | 111,065 | 2,199 | |||||||||
VistaPrint* (A) | 0.4 | 69,397 | 2,270 | |||||||||
Other Securities | 14.5 | 94,814 | ||||||||||
|
| |||||||||||
112,624 | ||||||||||||
|
| |||||||||||
Materials — 4.3% |
| |||||||||||
Globe Specialty Metals (A) | 0.4 | 153,680 | 2,294 | |||||||||
Horsehead Holding* (A) | 0.4 | 275,149 | 2,556 | |||||||||
Other Securities | 3.5 | 23,100 | ||||||||||
|
| |||||||||||
27,950 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.7% |
| |||||||||||
Other Securities | 0.7 | 4,347 | ||||||||||
|
| |||||||||||
Utilities — 2.1% |
| |||||||||||
Great Plains Energy | 0.3 | 91,546 | 1,926 | |||||||||
Portland General Electric | 0.5 | 127,180 | 3,186 | |||||||||
Other Securities | 1.3 | 8,516 | ||||||||||
|
| |||||||||||
13,628 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 618,730 | ||||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 9 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Continued)
November 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
PREFERRED STOCK — 0.1% |
| |||||||||||
Consumer Discretionary — 0.1% |
| |||||||||||
Other Securities | 0.1 | % | $ | 270 | ||||||||
|
| |||||||||||
Energy — 0.0% |
| |||||||||||
Other Securities | 0.0 | 125 | ||||||||||
|
| |||||||||||
Financials — 0.0% |
| |||||||||||
Other Securities | 0.0 | 101 | ||||||||||
|
| |||||||||||
Total Preferred Stock |
| 496 | ||||||||||
|
| |||||||||||
EXCHANGE TRADED FUND — 0.1% |
| |||||||||||
Other Securities | 0.1 | 913 | ||||||||||
|
| |||||||||||
Total Exchange Traded Fund | 913 | |||||||||||
|
| |||||||||||
CONVERTIBLE BONDS — 0.1% |
| |||||||||||
Consumer Discretionary — 0.0% |
| |||||||||||
Other Securities | 0.0 | 193 | ||||||||||
|
| |||||||||||
Energy — 0.1% |
| |||||||||||
Other Securities | 0.1 | 294 | ||||||||||
|
| |||||||||||
Financials — 0.0% |
| |||||||||||
Other Securities | 0.0 | 70 | ||||||||||
|
| |||||||||||
Total Convertible Bonds |
| 557 | ||||||||||
|
| |||||||||||
RIGHTS — 0.0% |
| |||||||||||
United States — 0.0% |
| |||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Rights |
| — | ||||||||||
|
| |||||||||||
WARRANTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | 99 | ||||||||||
|
| |||||||||||
Total Warrants |
| 99 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 28.3% |
| |||||||||||
SEI Liquidity Fund, L.P. | ||||||||||||
0.140%†** (B) | 28.3 | 189,370,060 | 183,262 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 183,262 | ||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | |||||||||
CASH EQUIVALENT — 2.8% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||||||
0.040%†** | 2.8 | % | 17,994,741 | $ | 17,995 | |||||||
|
| |||||||||||
Total Cash Equivalent |
| 17,995 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.9% |
| |||||||||||
U.S. Treasury Bills | ||||||||||||
0.063%, 12/15/11 | 0.3 | $ | 2,012 | 2,012 | ||||||||
0.058%, 06/28/12 | 0.5 | 3,287 | 3,286 | |||||||||
Other Securities | 0.1 | 597 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations (Cost $5,895) ($ Thousands) |
| 5,895 | ||||||||||
|
| |||||||||||
Total Investments — 127.7% |
| $ | 827,947 | |||||||||
|
|
The open futures contracts held by the Fund at November 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Net Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 335 | Dec-2011 | $ | 361 | ||||||||
|
|
For the period ended November 30, 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.
A summary of the open forward foreign currency contracts held by the Fund at November 30, 2011, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Depreciation ($ Thousands) | |||||||||||||||||
12/6/11-12/12/11 | CAD | 66 | USD | 64 | $ | (1 | ) | |||||||||||||
|
|
A summary of the counterparties for the open forward foreign currency contracts held by the Fund at November 30, 2011, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Depreciation ($ Thousands) | |||||||||
Barclays PLC | (17 | ) | 17 | $ | — | |||||||
UBS | (48 | ) | 47 | (1 | ) | |||||||
|
| |||||||||||
$ | (1 | ) | ||||||||||
|
|
For the period ended November 30, 2011, the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $648,176 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 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 November 30, 2011. The total value of securities on loan at November 30, 2011 was $192,781 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2011 was $183,262 ($ Thousands). |
(C) | The rate reported on the Schedule of Investments is the effective yield at time of purchase. |
10 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
(D) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
CAD — Canadian Dollar
Cl — Class
L.P. — Limited Partnership
PLC — Public Limited Company
USD — U.S. Dollar
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov
The following is a summary of the inputs used as of November 30, 2011, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 618,513 | $ | 4 | $ | 213 | $ | 618,730 | ||||||||
Preferred Stock | — | 496 | — | 496 | ||||||||||||
Exchange Traded Fund | 913 | — | — | 913 | ||||||||||||
Convertible Bonds | — | 364 | 193 | 557 | ||||||||||||
Rights | — | — | — | — | ||||||||||||
Warrants | — | 99 | — | 99 | ||||||||||||
Affiliated Partnership | — | 183,262 | — | 183,262 | ||||||||||||
Cash Equivalent | 17,995 | — | — | 17,995 | ||||||||||||
U.S. Treasury Obligations | — | 5,895 | — | 5,895 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 637,421 | $ | 190,120 | $ | 406 | $ | 827,947 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 361 | $ | — | $ | — | $ | 361 | ||||||||
Forwards Contracts* | — | (1 | ) | — | (1 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 361 | $ | (1 | ) | $ | — | $ | 360 | |||||||
|
|
|
|
|
|
|
|
* | Futures and forwards contracts are valued at the unrealized appreciation (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 Common Stock | Investments in Convertible Bonds | |||||||
Beginning balance as of June 1, 2011 | $ | 261 | $ | 114 | ||||
Accrued discounts/premiums | — | — | ||||||
Realized gain/(loss) | — | — | ||||||
Change in unrealized appreciation/(depreciation) | (48 | ) | 79 | |||||
Net purchases/sales | — | — | ||||||
Net transfer into Level 3 | — | — | ||||||
Net transfer out of Level 3 | — | — | ||||||
|
|
|
| |||||
Ending balance as of November 30, 2011 | $ | 213 | $ | 193 | ||||
|
|
|
| |||||
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date | $ | 20 | $ | 79 | ||||
|
|
|
|
For the period ended November 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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.
Amounts designated as “—” are $O or have been rounded to $O.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 11 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 95.7% |
| |||||||||||
Consumer Discretionary — 12.4% |
| |||||||||||
Childrens Place Retail Stores* (A) | 0.3 | % | 105,931 | $ | 5,707 | |||||||
Dick’s Sporting Goods | 0.3 | 143,940 | 5,658 | |||||||||
DSW, Cl A | 0.3 | 125,710 | 5,657 | |||||||||
Hibbett Sports* (A) | 0.3 | 127,594 | 5,807 | |||||||||
National CineMedia | 0.3 | 422,774 | 5,513 | |||||||||
Tempur-Pedic International* | 0.5 | 175,193 | 9,567 | |||||||||
Other Securities | 10.4 | 214,752 | ||||||||||
|
| |||||||||||
252,661 | ||||||||||||
|
| |||||||||||
Consumer Staples — 3.0% |
| |||||||||||
Casey’s General Stores (A) | 0.3 | 122,241 | 6,525 | |||||||||
Other Securities | 2.7 | 53,306 | ||||||||||
|
| |||||||||||
59,831 | ||||||||||||
|
| |||||||||||
Energy — 6.9% |
| |||||||||||
Complete Production Services* | 0.4 | 205,273 | 7,158 | |||||||||
Dresser-Rand Group* | 0.3 | 122,698 | 6,389 | |||||||||
Dril-Quip* | 0.3 | 85,030 | 6,048 | |||||||||
Whiting Petroleum* | 0.3 | 128,930 | 5,997 | |||||||||
World Fuel Services (A) | 0.3 | 138,996 | 5,959 | |||||||||
Other Securities | 5.3 | 107,579 | ||||||||||
|
| |||||||||||
139,130 | ||||||||||||
|
| |||||||||||
Financials — 18.9% |
| |||||||||||
American Financial Group | 0.3 | 165,147 | 5,945 | |||||||||
Hancock Holding (A) | 0.3 | 196,334 | 5,995 | |||||||||
Simon Property Group‡ | 0.3 | 45,179 | 5,618 | |||||||||
Zions Bancorporation (A) | 0.4 | 538,228 | 8,660 | |||||||||
Other Securities | 17.6 | 363,526 | ||||||||||
|
| |||||||||||
389,744 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 12.1% |
| |||||||||||
Allscripts Healthcare Solutions* (A) | 0.3 | % | 332,150 | $ | 6,464 | |||||||
CareFusion* | 0.3 | 237,058 | 5,874 | |||||||||
Cooper | 0.4 | 137,967 | 8,452 | |||||||||
Gen-Probe* | 0.5 | 155,070 | 9,768 | |||||||||
Healthsouth* (A) | 0.3 | 352,022 | 6,083 | |||||||||
Questcor Pharmaceuticals* (A) | 0.4 | 175,950 | 7,909 | |||||||||
Salix Pharmaceuticals* (A) | 0.5 | 231,920 | 10,237 | |||||||||
SXC Health Solutions* | 0.3 | 99,990 | 5,881 | |||||||||
Other Securities | 9.1 | 187,121 | ||||||||||
|
| |||||||||||
247,789 | ||||||||||||
|
| |||||||||||
Industrials — 17.1% |
| |||||||||||
AGCO* | 0.3 | 148,800 | 6,808 | |||||||||
BE Aerospace* | 0.5 | 248,801 | 9,691 | |||||||||
CoStar Group* (A) | 0.4 | 122,595 | 8,158 | |||||||||
Old Dominion Freight Line* (A) | 0.4 | 226,859 | 8,804 | |||||||||
Roper Industries | 0.4 | 94,063 | 8,013 | |||||||||
Sensata Technologies Holding* (A) | 0.4 | 250,453 | 7,827 | |||||||||
TransDigm Group* | 0.3 | 57,546 | 5,549 | |||||||||
United Rentals* (A) | 0.4 | 299,665 | 8,433 | |||||||||
Other Securities | 14.0 | 281,377 | ||||||||||
|
| |||||||||||
344,660 | ||||||||||||
|
| |||||||||||
Information Technology — 16.4% |
| |||||||||||
Acme Packet* | 0.3 | 171,455 | 5,732 | |||||||||
BroadSoft* (A) | 0.3 | 175,463 | 6,155 | |||||||||
Cadence Design Systems* (A) | 0.4 | 706,230 | 7,726 | |||||||||
Fairchild Semiconductor International, Cl A* | 0.3 | 428,060 | 5,543 | |||||||||
Parametric Technology* (A) | 0.3 | 273,621 | 5,699 | |||||||||
Sapient (A) | 0.3 | 557,821 | 6,850 | |||||||||
SolarWinds* (A) | 0.4 | 244,980 | 8,033 | |||||||||
Syntel | 0.3 | 114,087 | 5,458 | |||||||||
VeriFone Holdings* (A) | 0.4 | 183,560 | 8,049 | |||||||||
VistaPrint* (A) | 0.4 | 223,602 | 7,314 | |||||||||
Other Securities | 13.0 | 269,669 | ||||||||||
|
| |||||||||||
336,228 | ||||||||||||
|
| |||||||||||
Materials — 4.4% |
| |||||||||||
Other Securities | 4.4 | 86,267 | ||||||||||
|
| |||||||||||
Telecommunication Services — 0.8% |
| |||||||||||
SBA Communications, Cl A* (A) | 0.4 | 176,916 | 7,234 | |||||||||
Other Securities | 0.4 | 7,991 | ||||||||||
|
| |||||||||||
15,225 | ||||||||||||
|
| |||||||||||
Utilities — 3.7% |
| |||||||||||
AGL Resources (A) | 0.3 | 136,564 | 5,631 | |||||||||
Great Plains Energy (A) | 0.4 | 355,111 | 7,472 | |||||||||
Portland General Electric | 0.4 | 328,048 | 8,218 |
12 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
UGI | 0.3 | % | 185,097 | $ | 5,546 | |||||||
Other Securities | 2.3 | 46,773 | ||||||||||
|
| |||||||||||
73,640 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 1,945,175 | ||||||||||
|
| |||||||||||
PREFERRED STOCK — 0.1% |
| |||||||||||
Consumer Discretionary — 0.1% |
| |||||||||||
Other Securities | 0.1 | 847 | ||||||||||
|
| |||||||||||
Energy — 0.0% |
| |||||||||||
Other Securities | 0.0 | 123 | ||||||||||
|
| |||||||||||
Financials — 0.0% |
| |||||||||||
Other Securities | 0.0 | 103 | ||||||||||
|
| |||||||||||
Total Preferred Stock |
| 1,073 | ||||||||||
|
| |||||||||||
CONVERTIBLE BONDS — 0.1% |
| |||||||||||
Energy — 0.1% |
| |||||||||||
Other Securities | 0.1 | 933 | ||||||||||
|
| |||||||||||
Financials — 0.0% |
| |||||||||||
Other Securities | 0.0 | 197 | ||||||||||
|
| |||||||||||
Total Convertible Bonds |
| 1,130 | ||||||||||
|
| |||||||||||
EXCHANGE TRADED FUNDS — 0.3% |
| |||||||||||
Other Securities | 0.3 | 7,068 | ||||||||||
|
| |||||||||||
Total Exchange Traded Funds |
| 7,068 | ||||||||||
|
| |||||||||||
WARRANTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | 123 | ||||||||||
|
| |||||||||||
Total Warrants |
| 123 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 26.1% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.140%†** (B) | 26.1 | 540,265,714 | 531,544 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 531,544 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 3.6% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||||||
0.040%†** | 3.6 | 73,677,132 | 73,677 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 73,677 | ||||||||||
|
|
Description | Percentage of Net Assets (%) | Face Amount ($ Thousands) | Market Value ($ Thousands) | |||||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.6% |
| |||||||||||
U.S. Treasury Bills | 0.3 | % | $ | 6,128 | $ | 6,126 | ||||||
Other Securities | 0.3 | 5,580 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 11,706 | ||||||||||
|
| |||||||||||
Total Investments — 126.5% |
| $ | 2,571,496 | |||||||||
|
|
The open futures contracts held by the Fund at November 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 387 | Dec-2011 | $ | 1,158 | ||||||||
S&P Mid 400 Index E-MINI | 286 | Dec-2011 | 672 | |||||||||
|
| |||||||||||
$ | 1,830 | |||||||||||
|
|
For the period ended November 30, 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.
Percentages are based on a Net Assets of $2,033,028 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 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 November 30, 2011. The total value of securities on loan at November 30, 2011 was $551,703 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2011 was $531,544 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(D) | The rate reported on the Schedule of Investments is the effective yield at time of purchase. |
Cl — Class
L.P — Limited Partnership
S&P — Standard & Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of November 30, 2011, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,945,011 | $ | — | $ | 164 | $ | 1,945,175 | ||||||||
Preferred Stock | — | 1,073 | — | 1,073 | ||||||||||||
Convertible Bonds | — | 1,130 | — | 1,130 | ||||||||||||
Exchange Traded Funds | 7,068 | — | — | 7,068 | ||||||||||||
Warrants | — | 123 | — | 123 | ||||||||||||
Affiliated Partnership | — | 531,544 | — | 531,544 | ||||||||||||
Cash Equivalent | 73,677 | — | — | 73,677 | ||||||||||||
U.S. Treasury Obligations | — | 11,706 | — | 11,706 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,025,756 | $ | 545,576 | $ | 164 | $ | 2,571,496 | ||||||||
|
|
|
|
|
|
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 13 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund (Concluded)
November 30, 2011
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 1,830 | $ | — | $ | — | $ | 1,830 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 1,830 | $ | — | $ | — | $ | 1,830 | ||||||||
|
|
|
|
|
|
|
|
* | 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 | ||||
Beginning balance as of June 1, 2011 | $ | 203 | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | (39 | ) | ||
Net purchases/sales | — | |||
Net transfer in and/or out of Level 3 | — | |||
|
| |||
Ending balance as of November 30, 2011 | $ | 164 | ||
|
| |||
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date | $ | 9 | ||
|
|
For the period ended November 30, 2011, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2011, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
14 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund
November 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 96.5% |
| |||||||||||
Consumer Discretionary — 8.6% |
| |||||||||||
priceline.com* | 0.6 | % | 4,634 | $ | 2,252 | |||||||
Target | 0.6 | 43,500 | 2,292 | |||||||||
Other Securities | 7.4 | 26,472 | ||||||||||
|
| |||||||||||
31,016 | ||||||||||||
|
| |||||||||||
Consumer Staples — 20.1% |
| |||||||||||
Altria Group | 0.7 | 78,444 | 2,251 | |||||||||
Clorox | 0.7 | 42,220 | 2,742 | |||||||||
Coca-Cola Enterprises | 0.9 | 120,904 | 3,158 | |||||||||
Hansen Natural* | 0.8 | 30,963 | 2,855 | |||||||||
Hershey | 1.1 | 68,009 | 3,923 | |||||||||
Hormel Foods | 1.2 | 148,993 | 4,486 | |||||||||
Kimberly-Clark | 1.4 | 70,123 | 5,012 | |||||||||
Kroger | 1.1 | 167,887 | 3,892 | |||||||||
Lorillard | 1.3 | 42,558 | 4,750 | |||||||||
Philip Morris International | 0.9 | 42,497 | 3,240 | |||||||||
Ralcorp Holdings* | 0.8 | 37,300 | 3,033 | |||||||||
Reynolds American | 1.0 | 87,915 | 3,680 | |||||||||
Tyson Foods, Cl A | 0.9 | 165,596 | 3,335 | |||||||||
Walgreen | 0.7 | 71,400 | 2,408 | |||||||||
Wal-Mart Stores | 0.9 | 54,000 | 3,181 | |||||||||
Other Securities | 5.7 | 20,727 | ||||||||||
|
| |||||||||||
72,673 | ||||||||||||
|
| |||||||||||
Energy — 2.8% |
| |||||||||||
Chevron | 0.6 | 22,500 | 2,313 | |||||||||
Exxon Mobil | 0.9 | 39,500 | 3,177 | |||||||||
Other Securities | 1.3 | 4,773 | ||||||||||
|
| |||||||||||
10,263 | ||||||||||||
|
| |||||||||||
Financials — 10.3% |
| |||||||||||
Arch Capital Group* | 0.9 | 84,935 | 3,208 | |||||||||
Commerce Bancshares | 0.7 | 64,995 | 2,420 | |||||||||
Other Securities | 8.7 | 31,739 | ||||||||||
|
| |||||||||||
37,367 | ||||||||||||
|
| |||||||||||
Health Care — 20.0% |
| |||||||||||
Abbott Laboratories | 1.3 | 88,673 | 4,837 | |||||||||
Alexion Pharmaceuticals* | 1.0 | 50,344 | 3,457 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
AmerisourceBergen | 1.2 | % | 118,986 | $ | 4,420 | |||||||
Amgen | 1.5 | 91,318 | 5,288 | |||||||||
Becton Dickinson | 0.9 | 42,588 | 3,142 | |||||||||
Cardinal Health | 1.0 | 88,340 | 3,751 | |||||||||
Eli Lilly | 1.1 | 104,479 | 3,955 | |||||||||
Gilead Sciences* | 0.8 | 75,970 | 3,027 | |||||||||
Johnson & Johnson | 1.0 | 54,978 | 3,558 | |||||||||
McKesson | 1.5 | 66,122 | 5,377 | |||||||||
Merck | 1.0 | 103,600 | 3,704 | |||||||||
Pfizer | 0.8 | 137,500 | 2,760 | |||||||||
Other Securities | 6.9 | 25,224 | ||||||||||
|
| |||||||||||
72,500 | ||||||||||||
|
| |||||||||||
Industrials — 6.6% |
| |||||||||||
L-3 Communications Holdings, Cl 3 | 0.7 | 36,900 | 2,446 | |||||||||
Lockheed Martin | 0.8 | 39,080 | 3,054 | |||||||||
Raytheon | 0.7 | 53,300 | 2,429 | |||||||||
Other Securities | 4.4 | 16,177 | ||||||||||
|
| |||||||||||
24,106 | ||||||||||||
|
| |||||||||||
Information Technology — 7.9% |
| |||||||||||
IAC | 0.9 | 74,133 | 3,104 | |||||||||
Intel | 0.8 | 113,100 | 2,817 | |||||||||
Microsoft | 0.6 | 88,200 | 2,256 | |||||||||
SAIC* | 0.8 | 248,992 | 3,000 | |||||||||
Other Securities | 4.8 | 17,379 | ||||||||||
|
| |||||||||||
28,556 | ||||||||||||
|
| |||||||||||
Materials — 2.8% |
| |||||||||||
Newmont Mining | 0.8 | 40,753 | 2,807 | |||||||||
Other Securities | 2.0 | 7,450 | ||||||||||
|
| |||||||||||
10,257 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 3.6% |
| |||||||||||
Verizon Communications | 1.2 | 110,435 | 4,167 | |||||||||
Other Securities | 2.4 | 8,766 | ||||||||||
|
| |||||||||||
12,933 | ||||||||||||
|
| |||||||||||
Utilities — 13.8% |
| |||||||||||
American Water Works | 0.6 | 74,290 | 2,308 | |||||||||
Consolidated Edison | 0.7 | 42,579 | 2,530 | |||||||||
DTE Energy | 0.9 | 65,609 | 3,454 | |||||||||
Hawaiian Electric Industries | 1.0 | 133,693 | 3,464 | |||||||||
PG&E | 0.9 | 82,200 | 3,193 | |||||||||
Pinnacle West Capital | 0.8 | 58,702 | 2,783 | |||||||||
UGI | 0.7 | 87,586 | 2,624 | |||||||||
Other Securities | 8.2 | 29,653 | ||||||||||
|
| |||||||||||
50,009 | ||||||||||||
|
| |||||||||||
Total Common Stock | 349,680 | |||||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 15 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund (Concluded)
November 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
U.S. TREASURY OBLIGATIONS (A) — 0.3% |
| |||||||||||
Other Securities | 0.3 | % | $ | 880 | ||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 880 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 2.4% |
| |||||||||||
SEI Daily Income Trust, | 2.4 | 8,785,988 | 8,786 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 8,786 | ||||||||||
|
| |||||||||||
Total Investments — 99.2% |
| $ | 359,346 | |||||||||
|
|
The open futures contracts held by the Fund at November 30, 2011, is as follows:
Type of Contract | Number of Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 74 | Dec-2011 | $ | 460 | ||||||||
|
|
For the period ended November 30, 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.
Percentages are based on a Net Assets of $362,392 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2011. |
† | Investment in Affiliated Security (see Note 5). |
(A) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
S&P — Standard & Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of November 30, 2011, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 349,680 | $ | — | $ | — | $ | 349,680 | ||||||||
U.S. Treasury Obligations | — | 880 | — | 880 | ||||||||||||
Cash Equivalent | 8,786 | — | — | 8,786 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 358,466 | $ | 880 | $ | — | $ | 359,346 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 460 | $ | — | $ | — | $ | 460 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 460 | $ | — | $ | — | $ | 460 | ||||||||
|
|
|
|
|
|
|
|
* | Future contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
16 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||||
COMMON STOCK — 96.2% |
| |||||||||||||
Australia — 3.2% |
| |||||||||||||
Newcrest Mining | 0.6 | % | 59,172 | $ | 2,156 | |||||||||
Rio Tinto | 0.2 | 9,889 | 673 | |||||||||||
Other Securities | 2.4 | 9,423 | ||||||||||||
|
| |||||||||||||
12,252 | ||||||||||||||
|
| |||||||||||||
Austria — 0.2% |
| |||||||||||||
Other Securities | 0.2 | 610 | ||||||||||||
|
| |||||||||||||
Belgium — 1.7% |
| |||||||||||||
Belgacom | 0.5 | 53,489 | 1,702 | |||||||||||
InBev | 0.6 | 41,000 | 2,456 | |||||||||||
Other Securities | 0.6 | 2,209 | ||||||||||||
|
| |||||||||||||
6,367 | ||||||||||||||
|
| |||||||||||||
Brazil — 0.9% |
| |||||||||||||
Other Securities | 0.9 | 3,382 | ||||||||||||
|
| |||||||||||||
Canada — 4.7% |
| |||||||||||||
Barrick Gold | 0.6 | 44,583 | 2,358 | |||||||||||
Potash Saskatchewan | 0.5 | 42,774 | 1,871 | |||||||||||
Other Securities | 3.6 | 13,694 | ||||||||||||
|
| |||||||||||||
17,923 | ||||||||||||||
|
| |||||||||||||
Chile — 0.2% |
| |||||||||||||
Other Securities | 0.2 | 786 | ||||||||||||
|
| |||||||||||||
China — 0.6% |
| |||||||||||||
Other Securities | 0.6 | 2,393 | ||||||||||||
|
| |||||||||||||
Denmark — 1.2% |
| |||||||||||||
Novo-Nordisk, Cl B | 0.5 | 16,959 | 1,929 | |||||||||||
Other Securities | 0.7 | 2,663 | ||||||||||||
|
| |||||||||||||
4,592 | ||||||||||||||
|
| |||||||||||||
Finland — 0.8% |
| |||||||||||||
Other Securities | 0.8 | 3,118 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||||
France — 9.5% |
| |||||||||||||
AXA | 0.6 | % | 160,035 | $ | 2,321 | |||||||||
BNP Paribas | 0.5 | 48,842 | 1,948 | |||||||||||
LVMH Moet Hennessy Louis Vuitton (A) | 0.6 | 13,414 | 2,116 | |||||||||||
Sanofi-Aventis | 1.3 | 70,860 | 4,965 | |||||||||||
Schneider Electric | 0.6 | 42,412 | 2,416 | |||||||||||
Other Securities | 5.9 | 22,756 | ||||||||||||
|
| |||||||||||||
36,522 | ||||||||||||||
|
| |||||||||||||
Germany — 7.1% |
| |||||||||||||
Bayer | 0.5 | 29,313 | 1,932 | |||||||||||
Deutsche Post | 0.5 | 124,051 | 1,879 | |||||||||||
Linde | 0.8 | 19,862 | 3,067 | |||||||||||
SAP | 0.6 | 37,286 | 2,237 | |||||||||||
Siemens | 0.9 | 34,870 | 3,535 | |||||||||||
Other Securities | 3.8 | 14,429 | ||||||||||||
|
| |||||||||||||
27,079 | ||||||||||||||
|
| |||||||||||||
Greece — 0.2% |
| |||||||||||||
Other Securities | 0.2 | 720 | ||||||||||||
|
| |||||||||||||
Guernsey — 0.0% |
| |||||||||||||
Other Securities | 0.0 | 134 | ||||||||||||
|
| |||||||||||||
Hong Kong — 2.4% |
| |||||||||||||
Other Securities | 2.4 | 9,289 | ||||||||||||
|
| |||||||||||||
Indonesia — 0.1% |
| |||||||||||||
Other Securities | 0.1 | 356 | ||||||||||||
|
| |||||||||||||
Ireland — 0.8% |
| |||||||||||||
Other Securities | 0.8 | 3,141 | ||||||||||||
|
| |||||||||||||
Israel — 0.4% |
| |||||||||||||
Other Securities | 0.4 | 1,376 | ||||||||||||
|
| |||||||||||||
Italy — 1.5% |
| |||||||||||||
Telecom Italia | 0.6 | 2,056,547 | 2,013 | |||||||||||
Other Securities | 0.9 | 3,557 | ||||||||||||
|
| |||||||||||||
5,570 | ||||||||||||||
|
| |||||||||||||
Japan — 17.3% |
| |||||||||||||
Dai Nippon Printing | 0.5 | 193,000 | 1,892 | |||||||||||
FANUC | 0.6 | 12,900 | 2,118 | |||||||||||
Honda Motor | 0.9 | 106,700 | 3,383 | |||||||||||
JGC | 0.5 | 74,000 | 1,863 | |||||||||||
KDDI | 0.6 | 379 | 2,509 | |||||||||||
Nippon Telegraph & Telephone | 0.6 | 44,200 | 2,178 | |||||||||||
Nippon Telegraph & Telephone ADR | 0.3 | 44,839 | 1,107 | |||||||||||
NTT DoCoMo | 0.3 | 620 | 1,095 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 17 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund (Continued)
November 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||||
Seven & I Holdings | 0.8 | % | 109,300 | $ | 3,049 | |||||||||
SMC | 0.5 | 11,600 | 1,925 | |||||||||||
Sony Financial Holdings | 0.5 | 116,500 | 1,925 | |||||||||||
Toyota Motor | 0.5 | 52,400 | 1,724 | |||||||||||
Other Securities | 10.7 | 41,410 | ||||||||||||
|
| |||||||||||||
66,178 | ||||||||||||||
|
| |||||||||||||
Malaysia — 0.2% |
| |||||||||||||
Other Securities | 0.2 | 627 | ||||||||||||
|
| |||||||||||||
Mexico — 0.0% |
| |||||||||||||
Other Securities | 0.0 | 10 | ||||||||||||
|
| |||||||||||||
Netherlands — 5.0% |
| |||||||||||||
Akzo Nobel (A) | 0.8 | 57,987 | 2,940 | |||||||||||
Reed Elsevier | 0.6 | 200,306 | 2,365 | |||||||||||
Other Securities | 3.6 | 13,983 | ||||||||||||
|
| |||||||||||||
19,288 | ||||||||||||||
|
| |||||||||||||
New Zealand — 0.5% |
| |||||||||||||
Other Securities | 0.5 | 2,072 | ||||||||||||
|
| |||||||||||||
Norway — 1.1% |
| |||||||||||||
Statoil | 0.5 | 81,496 | 2,110 | |||||||||||
Other Securities | 0.6 | 2,289 | ||||||||||||
|
| |||||||||||||
4,399 | ||||||||||||||
|
| |||||||||||||
Poland — 0.1% |
| |||||||||||||
Other Securities | 0.1 | 326 | ||||||||||||
|
| |||||||||||||
Portugal — 0.1% |
| |||||||||||||
Other Securities | 0.1 | 399 | ||||||||||||
|
| |||||||||||||
Russia — 0.5% |
| |||||||||||||
Other Securities | 0.5 | 2,063 | ||||||||||||
|
| |||||||||||||
Singapore — 1.5% |
| |||||||||||||
Other Securities | 1.5 | 5,593 | ||||||||||||
|
| |||||||||||||
South Africa — 1.1% |
| |||||||||||||
Other Securities | 1.1 | 4,184 | ||||||||||||
|
| |||||||||||||
South Korea — 3.1% |
| |||||||||||||
Hyundai Mobis | 0.5 | 7,368 | 2,043 | |||||||||||
KT&G | 0.6 | 31,590 | 2,140 | |||||||||||
Samsung Electronics | 0.6 | 2,406 | 2,190 | |||||||||||
SK Telecom ADR | 0.4 | 115,330 | 1,706 | |||||||||||
Other Securities | 1.0 | 3,655 | ||||||||||||
|
| |||||||||||||
11,734 | ||||||||||||||
|
| |||||||||||||
Spain — 1.9% |
| |||||||||||||
Other Securities | 1.9 | 7,316 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||||
Sweden — 1.4% |
| |||||||||||||
Other Securities | 1.4 | % | $ | 5,355 | ||||||||||
|
| |||||||||||||
Switzerland — 8.9% |
| |||||||||||||
Givaudan | 0.7 | 2,860 | 2,668 | |||||||||||
Nestle | 1.3 | 83,970 | 4,731 | |||||||||||
Novartis | 1.6 | 109,301 | 5,925 | |||||||||||
Roche Holding | 1.4 | 33,812 | 5,399 | |||||||||||
Other Securities | 3.9 | 15,198 | ||||||||||||
|
| |||||||||||||
33,921 | ||||||||||||||
|
| |||||||||||||
Taiwan — 0.1% |
| |||||||||||||
Other Securities | 0.1 | 404 | ||||||||||||
|
| |||||||||||||
Thailand — 0.1% |
| |||||||||||||
Other Securities | 0.1 | 335 | ||||||||||||
|
| |||||||||||||
United Kingdom — 17.1% |
| |||||||||||||
AstraZeneca | 0.7 | 59,374 | 2,741 | |||||||||||
BG Group | 0.6 | 115,629 | 2,486 | |||||||||||
BP | 0.8 | 398,336 | 2,892 | |||||||||||
British American Tobacco | 0.7 | 57,384 | 2,670 | |||||||||||
GlaxoSmithKline | 0.7 | 123,605 | 2,746 | |||||||||||
HSBC Holdings | 0.4 | 223,366 | 1,747 | |||||||||||
Petrofac | 0.5 | 77,329 | 1,772 | |||||||||||
Rio Tinto | 0.9 | 62,674 | 3,308 | |||||||||||
Rio Tinto ADR | 0.2 | 13,700 | 727 | |||||||||||
Rolls-Royce Holdings | 0.5 | 158,678 | 1,829 | |||||||||||
Tesco | 0.8 | 485,731 | 3,109 | |||||||||||
Vodafone Group | 1.3 | 1,873,342 | 5,084 | |||||||||||
Other Securities | 9.0 | 34,427 | ||||||||||||
|
| |||||||||||||
65,538 | ||||||||||||||
|
| |||||||||||||
United States — 0.7% |
| |||||||||||||
Other Securities | 0.7 | 2,571 | ||||||||||||
|
| |||||||||||||
Total Common Stock (Cost $397,031) ($ Thousands) |
| 367,923 | ||||||||||||
|
| |||||||||||||
PREFERRED STOCK — 0.1% | ||||||||||||||
Germany — 0.1% |
| |||||||||||||
Other Securities | 0.1 | 406 | ||||||||||||
|
| |||||||||||||
Total Preferred Stock (Cost $396) ($ Thousands) |
| 406 | ||||||||||||
|
| |||||||||||||
AFFILIATED PARTNERSHIP — 3.8% |
| |||||||||||||
SEI Liquidity Fund, L.P. 0.140%†* (C) | 3.8 | 15,434,327 | 14,659 | |||||||||||
|
| |||||||||||||
Total Affiliated Partnership (Cost $15,434) ($ Thousands) |
| 14,659 | ||||||||||||
|
|
18 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Percentage of Net Assets (%) | Face Amount (1) (Thousands)/Shares | Market Value ($ Thousands) | |||||||||||||
TIME DEPOSITS — 2.1% |
| |||||||||||||||
United States — 2.1% |
| |||||||||||||||
Brown Brothers Harriman | ||||||||||||||||
4.850%, 12/01/11 | ZAR | 90 | $ | 11 | ||||||||||||
3.783%, 12/01/11 | AUD | 10 | 10 | |||||||||||||
1.750%, 12/01/11 | NZD | — | — | |||||||||||||
1.064%, 12/01/11 | SEK | 1 | — | |||||||||||||
0.950%, 12/01/11 | NOK | 1 | — | |||||||||||||
0.250%, 12/01/11 | CAD | 1 | 1 | |||||||||||||
0.137%, 12/01/11 | DKK | — | — | |||||||||||||
0.099%, 12/01/11 | GBP | 78 | 122 | |||||||||||||
0.096%, 12/01/11 | EUR | 202 | 272 | |||||||||||||
0.030%, 12/01/11 | 7,703 | 7,703 | ||||||||||||||
0.010%, 12/01/11 | JPY | 6,305 | 81 | |||||||||||||
0.010%, 12/01/11 | SGD | — | — | |||||||||||||
0.005%, 12/01/11 | CHF | — | — | |||||||||||||
0.005%, 12/01/11 | HKD | 480 | 62 | |||||||||||||
|
| |||||||||||||||
Total Time Deposits (Cost $8,262) ($ Thousands) | 8,262 | |||||||||||||||
|
| |||||||||||||||
CASH EQUIVALENT — 0.3% |
| |||||||||||||||
SEI Daily Income Trust, | 0.3 | % | 1,059,032 | 1,059 | ||||||||||||
|
| |||||||||||||||
Total Cash Equivalent (Cost $1,059) ($ Thousands) |
| 1,059 | ||||||||||||||
|
| |||||||||||||||
U.S. TREASURY OBLIGATIONS (B) — 0.7% |
| |||||||||||||||
Other Securities | 0.7 | 2,477 | ||||||||||||||
|
| |||||||||||||||
Total U.S. Treasury Obligations (Cost $2,477) ($ Thousands) |
| 2,477 | ||||||||||||||
|
| |||||||||||||||
Total Investments — 103.2% (Cost $424,659) ($ Thousands) |
| $ | 394,786 | |||||||||||||
|
|
The open futures contracts held by the Fund at November 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 50 | Dec-2011 | $ | (2 | ) | |||||||
FTSE 100 Index | 17 | Dec-2011 | 7 | |||||||||
Hang Seng Index | 5 | Dec-2011 | 10 | |||||||||
Nikkei 225 Index | 1 | Dec-2011 | (1 | ) | ||||||||
SPI 200 Index | 11 | Dec-2011 | (27 | ) | ||||||||
Topix Index | 28 | Dec-2011 | (38 | ) | ||||||||
|
| |||||||||||
$ | (51 | ) | ||||||||||
|
|
For the period ended November 30, 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.
A summary of the open forward foreign currency contracts held by the Fund at November 30, 2011, is as follows:
Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||||||||||
12/21/11 | EUR | 2,936 | USD | 4,052 | $ | 100 | ||||||||||||||
|
|
A summary of the counterparties for the open forward foreign currency contracts held by the Fund at November 30, 2011, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||
BNY Mellon | (3,952 | ) | 4,052 | $ | 100 | |||||||
|
|
For the period ended November 30, 2011, the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $382,695 ($ Thousands)
* | The rate reported is the 7-day effective yield as of November 30, 2011. |
† | Investment in Affiliated Security (see Note 5). |
(1) | In U.S. dollars unless otherwise indicated. |
(A) | This security or a partial position of this security is on loan at November 30, 2011. The total value of securities on loan at November 30, 2011 was $13,679 ($ Thousands). |
(B) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(C) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2011 was $14,659 ($ 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 |
SEK | — Swedish Krone |
SGD | — Singapore Dollar |
SPI | — Share Price Index |
USD | — U.S. Dollar |
ZAR | — South African Rand |
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of November 30, 2011, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 44,966 | $ | 322,807 | $ | 150 | $ | 367,923 | ||||||||
Preferred Stock | — | 406 | — | 406 | ||||||||||||
Affiliated Partnership | — | 14,659 | — | 14,659 | ||||||||||||
Time Deposits | 8,262 | — | — | 8,262 | ||||||||||||
Cash Equivalent | 1,059 | — | — | 1,059 | ||||||||||||
U.S. Treasury Obligations | — | 2,477 | — | 2,477 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 54,287 | $ | 340,349 | $ | 150 | $ | 394,786 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (51 | ) | $ | — | $ | — | $ | (51 | ) | ||||||
Forwards Contracts* | — | 100 | — | 100 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (51 | ) | $ | 100 | $ | — | $ | 49 | |||||||
|
|
|
|
|
|
|
|
* | Futures and forwards contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 19 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund (Concluded)
November 30, 2011
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Investments in Common Stock | ||||
Beginning balance as of June 1, 2011 | $ | — | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | — | |||
Net purchases/sales | — | |||
Net transfer in and/or out of Level 3 | 150 | |||
|
| |||
Ending balance as of November 30, 2011 | $ | 150 | ||
|
| |||
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date | $ | 9 | ||
|
|
For the period ended November 30, 2011, there were significant transfers between Level 1 and Level 2 assets and liabilities. The primary reason for changes in the classifications between Levels 1 and 2 occurs when foreign equity securities are fair valued using other observable market-based inputs in place of the closing exchange price due to events occurring after the close of the exchange or market on which the investment is principally traded (see Note 2).
For the period ended November 30, 2011, there were significant transfers between Level 2 and Level 3 assets and liabilities. The transfers 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 $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
20 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund
November 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||||
COMMON STOCK — 94.9% |
| |||||||||||||
Australia — 3.3% |
| |||||||||||||
BHP Billiton | 0.7 | % | 783,903 | $ | 29,339 | |||||||||
BHP Billiton ADR | 0.5 | 286,100 | 21,506 | |||||||||||
Rio Tinto | 0.3 | 198,506 | 13,503 | |||||||||||
Other Securities | 1.8 | 82,981 | ||||||||||||
|
| |||||||||||||
147,329 | ||||||||||||||
|
| |||||||||||||
Austria — 1.0% |
| |||||||||||||
Schoeller-Bleckmann Oilfield Equipment | 0.6 | 328,370 | 29,226 | |||||||||||
Other Securities | 0.4 | 17,878 | ||||||||||||
|
| |||||||||||||
47,104 | ||||||||||||||
|
| |||||||||||||
Belgium — 0.4% |
| |||||||||||||
Other Securities | 0.4 | 19,682 | ||||||||||||
|
| |||||||||||||
Brazil — 5.6% |
| |||||||||||||
Banco Bradesco ADR | 0.7 | 1,853,200 | 30,578 | |||||||||||
Cia de Saneamento Basico do Estado de Sao Paulo ADR | 1.0 | 846,455 | 46,741 | |||||||||||
Cia Paranaense de Energia ADR | 0.6 | 1,286,700 | 25,927 | |||||||||||
Cia Vale do Rio Doce ADR, Cl B | 0.4 | 853,952 | 19,854 | |||||||||||
Other Securities | 2.9 | 126,913 | ||||||||||||
|
| |||||||||||||
250,013 | ||||||||||||||
|
| |||||||||||||
Canada — 5.7% |
| |||||||||||||
Yamana Gold | 0.5 | 1,411,061 | 23,870 | |||||||||||
Yamana Gold | 0.5 | 1,324,400 | 22,290 | |||||||||||
Other Securities | 4.7 | 211,196 | ||||||||||||
|
| |||||||||||||
257,356 | ||||||||||||||
|
| |||||||||||||
Chile — 0.6% |
| |||||||||||||
Other Securities | 0.6 | 25,192 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||||
China — 4.2% | ||||||||||||||
China Petroleum & Chemical | 0.6 | % | 24,236,600 | $ | 25,640 | |||||||||
Industrial & Commercial Bank of China | 0.5 | 35,608,800 | 20,744 | |||||||||||
Other Securities | 3.1 | 140,369 | ||||||||||||
|
| |||||||||||||
186,753 | ||||||||||||||
|
| |||||||||||||
Colombia — 0.3% |
| |||||||||||||
Other Securities | 0.3 | 14,821 | ||||||||||||
|
| |||||||||||||
Czech Republic — 0.1% |
| |||||||||||||
Other Securities | 0.1 | 3,577 | ||||||||||||
|
| |||||||||||||
Denmark — 0.5% |
| |||||||||||||
Novo-Nordisk, Cl B | 0.5 | 178,119 | 20,255 | |||||||||||
Other Securities | 0.0 | 1,051 | ||||||||||||
|
| |||||||||||||
21,306 | ||||||||||||||
|
| |||||||||||||
Finland — 0.2% |
| |||||||||||||
Other Securities | 0.2 | 7,550 | ||||||||||||
|
| |||||||||||||
France — 4.0% |
| |||||||||||||
France Telecom ADR | 0.6 | 1,460,000 | 25,214 | |||||||||||
LVMH Moet Hennessy Louis Vuitton (A) | 0.5 | 135,626 | 21,394 | |||||||||||
Other Securities | 2.9 | 131,579 | ||||||||||||
|
| |||||||||||||
178,187 | ||||||||||||||
|
| |||||||||||||
Germany — 5.6% |
| |||||||||||||
Adidas | 0.5 | 285,612 | 20,178 | |||||||||||
Fresenius Medical Care | 0.5 | 301,068 | 20,677 | |||||||||||
SAP | 0.9 | 692,392 | 41,535 | |||||||||||
Siemens | 0.5 | 221,651 | 22,472 | |||||||||||
Other Securities | 3.2 | 146,926 | ||||||||||||
|
| |||||||||||||
251,788 | ||||||||||||||
|
| |||||||||||||
Hong Kong — 4.0% |
| |||||||||||||
Other Securities | 4.0 | 179,646 | ||||||||||||
|
| |||||||||||||
India — 0.8% |
| |||||||||||||
Other Securities | 0.8 | 36,901 | ||||||||||||
|
| |||||||||||||
Indonesia — 1.5% |
| |||||||||||||
Other Securities | 1.5 | 65,776 | ||||||||||||
|
| |||||||||||||
Ireland — 0.8% |
| |||||||||||||
Other Securities | 0.8 | 38,144 | ||||||||||||
|
| |||||||||||||
Israel — 1.3% |
| |||||||||||||
Check Point Software Technologies* | 0.6 | 477,928 | 26,448 | |||||||||||
Teva Pharmaceutical Industries ADR | 0.5 | 626,250 | 24,806 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 21 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||||
Other Securities | 0.2 | % | $ | 7,604 | ||||||||||
|
| |||||||||||||
58,858 | ||||||||||||||
|
| |||||||||||||
Italy — 0.6% |
| |||||||||||||
Other Securities | 0.6 | 24,897 | ||||||||||||
|
| |||||||||||||
Japan — 12.1% |
| |||||||||||||
Hitachi | 1.2 | 9,206,600 | 51,040 | |||||||||||
KDDI | 0.5 | 3,421 | 22,647 | |||||||||||
Komatsu | 0.5 | 865,726 | 22,135 | |||||||||||
Other Securities | 9.9 | 447,768 | ||||||||||||
|
| |||||||||||||
543,590 | ||||||||||||||
|
| |||||||||||||
Jersey — 0.1% |
| |||||||||||||
Other Securities | 0.1 | 2,592 | ||||||||||||
|
| |||||||||||||
Malaysia — 0.2% |
| |||||||||||||
Other Securities | 0.2 | 6,964 | ||||||||||||
|
| |||||||||||||
Mexico — 1.1% |
| |||||||||||||
Other Securities | 1.1 | 48,720 | ||||||||||||
|
| |||||||||||||
Netherlands — 4.7% |
| |||||||||||||
Core Laboratories | 0.7 | 277,200 | 32,169 | |||||||||||
Reed Elsevier | 0.5 | 1,742,300 | 20,575 | |||||||||||
Royal Dutch Shell, Cl A | 0.9 | 1,159,561 | 40,576 | |||||||||||
Royal Dutch Shell, Cl A (GBP) | 0.1 | 120,089 | 4,210 | |||||||||||
Royal Dutch Shell ADR, Cl A | 0.7 | 446,100 | 31,227 | |||||||||||
Unilever | 0.2 | 207,810 | 7,091 | |||||||||||
Other Securities | 1.6 | 73,188 | ||||||||||||
|
| |||||||||||||
209,036 | ||||||||||||||
|
| |||||||||||||
New Zealand — 0.1% |
| |||||||||||||
Other Securities | 0.1 | 2,394 | ||||||||||||
|
| |||||||||||||
Norway — 2.4% |
| |||||||||||||
Seadrill | 0.6 | 711,650 | 24,886 | |||||||||||
Statoil | 0.3 | 547,142 | 14,167 | |||||||||||
Statoil ADR | 0.8 | 1,432,000 | 37,117 | |||||||||||
Other Securities | 0.7 | 30,328 | ||||||||||||
|
| |||||||||||||
106,498 | ||||||||||||||
|
| |||||||||||||
Pakistan — 0.0% |
| |||||||||||||
Other Securities | 0.0 | 79 | ||||||||||||
|
| |||||||||||||
Peru — 0.1% | ||||||||||||||
Other Securities | 0.1 | 2,780 | ||||||||||||
|
| |||||||||||||
Philippines — 0.0% |
| |||||||||||||
Other Securities | 0.0 | 438 | ||||||||||||
|
| |||||||||||||
Poland — 0.3% |
| |||||||||||||
Other Securities | 0.3 | 12,193 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||||
Portugal — 0.3% |
| |||||||||||||
Other Securities | 0.3 | % | $ | 13,324 | ||||||||||
|
| |||||||||||||
Russia — 0.7% |
| |||||||||||||
Other Securities | 0.7 | 32,538 | ||||||||||||
|
| |||||||||||||
Singapore — 0.9% |
| |||||||||||||
Other Securities | 0.9 | 41,679 | ||||||||||||
|
| |||||||||||||
South Africa — 0.8% |
| |||||||||||||
Sasol ADR | 0.7 | 631,200 | 30,241 | |||||||||||
Other Securities | 0.1 | 4,898 | ||||||||||||
|
| |||||||||||||
35,139 | ||||||||||||||
|
| |||||||||||||
South Korea — 4.0% |
| |||||||||||||
Hyundai Motor | 0.6 | 150,826 | 29,338 | |||||||||||
SK Telecom ADR | 0.5 | 1,546,211 | 22,868 | |||||||||||
Other Securities | 2.9 | 125,865 | ||||||||||||
|
| |||||||||||||
178,071 | ||||||||||||||
|
| |||||||||||||
Spain — 0.5% |
| |||||||||||||
Other Securities | 0.5 | 23,991 | ||||||||||||
|
| |||||||||||||
Sweden — 2.0% |
| |||||||||||||
Svenska Cellulosa ADR | 0.5 | 1,398,200 | 20,707 | |||||||||||
Other Securities | 1.5 | 66,919 | ||||||||||||
|
| |||||||||||||
87,626 | ||||||||||||||
|
| |||||||||||||
Switzerland — 4.1% |
| |||||||||||||
Credit Suisse Group | 0.5 | 979,731 | 23,736 | |||||||||||
Nestle | 0.5 | 386,537 | 21,776 | |||||||||||
Roche Holding | 0.6 | 166,910 | 26,652 | |||||||||||
Zurich Financial Services ADR | 0.6 | 1,276,000 | 28,008 | |||||||||||
Other Securities | 1.9 | 84,494 | ||||||||||||
|
| |||||||||||||
184,666 | ||||||||||||||
|
| |||||||||||||
Taiwan — 1.3% |
| |||||||||||||
Other Securities | 1.3 | 57,316 | ||||||||||||
|
| |||||||||||||
Thailand — 1.4% |
| |||||||||||||
Other Securities | 1.4 | 63,815 | ||||||||||||
|
| |||||||||||||
Turkey — 0.9% |
| |||||||||||||
Other Securities | 0.9 | 42,121 | ||||||||||||
|
| |||||||||||||
United Kingdom — 13.7% |
| |||||||||||||
ARM Holdings ADR | 0.8 | 1,271,300 | 35,939 | |||||||||||
AstraZeneca ADR | 0.6 | 622,600 | 28,627 | |||||||||||
BG Group | 0.5 | 1,107,269 | 23,808 | |||||||||||
BHP Billiton | 0.1 | 212,996 | 6,566 | |||||||||||
British American Tobacco | 0.7 | 649,356 | 30,210 | |||||||||||
Diageo | 0.6 | 1,131,338 | 24,291 | |||||||||||
Diageo ADR | 0.5 | 269,800 | 23,098 |
22 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||||
Imperial Tobacco Group | 0.9 | % | 1,168,045 | $ | 42,127 | |||||||||
Rio Tinto | 0.3 | 210,974 | 11,135 | |||||||||||
Rio Tinto ADR | 0.9 | 742,800 | 39,420 | |||||||||||
Shire | 0.8 | 1,001,158 | 33,750 | |||||||||||
Tesco | 0.5 | 3,517,572 | 22,514 | |||||||||||
Unilever ADR | 0.9 | 1,171,300 | 39,391 | |||||||||||
Other Securities | 5.6 | 254,050 | ||||||||||||
|
| |||||||||||||
614,926 | ||||||||||||||
|
| |||||||||||||
United States — 2.7% |
| |||||||||||||
Axis Capital Holdings | 0.4 | 619,200 | 19,771 | |||||||||||
Other Securities | 2.3 | 102,521 | ||||||||||||
|
| |||||||||||||
122,292 | ||||||||||||||
|
| |||||||||||||
Total Common Stock |
| 4,247,668 | ||||||||||||
|
| |||||||||||||
PREFERRED STOCK — 1.2% | ||||||||||||||
Brazil — 0.4% | ||||||||||||||
Other Securities | 0.4 | 22,340 | ||||||||||||
|
| |||||||||||||
Germany — 0.8% | ||||||||||||||
Other Securities | 0.8 | 34,608 | ||||||||||||
|
| |||||||||||||
Total Preferred Stock | 56,948 | |||||||||||||
|
| |||||||||||||
Number of Warrants | ||||||||||||||
WARRANTS — 0.2% |
| |||||||||||||
Qatar — 0.2% | ||||||||||||||
Industries Qatar, Expires 03/25/18* | 0.2 | 331,940 | 11,983 | |||||||||||
|
| |||||||||||||
Total Warrants | 11,983 | |||||||||||||
|
| |||||||||||||
EXCHANGE TRADED FUND — 0.4% |
| |||||||||||||
United States — 0.4% |
| |||||||||||||
iShares MSCI Emerging Markets Index Fund | 0.4 | 504,600 | 20,204 | |||||||||||
|
| |||||||||||||
Total Exchange Traded Fund | 20,204 | |||||||||||||
|
| |||||||||||||
AFFILIATED PARTNERSHIP — 8.4% |
| |||||||||||||
SEI Liquidity Fund, L.P. | 8.4 | 377,466,754 | 374,193 | |||||||||||
|
| |||||||||||||
Total Affiliated Partnership (Cost $377,467) ($ Thousands) | 374,193 | |||||||||||||
|
|
Description | Percentage of Net Assets (%) | Face Amount (1) (Thousands) | Market Value ($ Thousands) | |||||||||||||
TIME DEPOSITS — 0.7% |
| |||||||||||||||
United States — 0.7% |
| |||||||||||||||
Brown Brothers Harriman |
| |||||||||||||||
4.850%, 12/01/11 |
| ZAR | 454 | $ | 56 | |||||||||||
3.783%, 12/01/11 |
| AUD | 11 | 11 | ||||||||||||
1.750%, 12/01/11 |
| NZD | — | — | ||||||||||||
1.064%, 12/01/11 |
| SEK | 795 | 118 | ||||||||||||
0.950%, 12/01/11 |
| NOK | 2 | 1 | ||||||||||||
0.250%, 12/01/11 |
| CAD | 2,001 | 1,968 | ||||||||||||
0.137%, 12/01/11 |
| DKK | 2 | — | ||||||||||||
0.099%, 12/01/11 |
| GBP | 653 | 1,027 | ||||||||||||
0.096%, 12/01/11 |
| EUR | 256 | 344 | ||||||||||||
0.030%, 12/01/11 |
| 24,599 | 24,599 | |||||||||||||
0.010%, 12/01/11 |
| JPY | 103,251 | 1,330 | ||||||||||||
0.010%, 12/01/11 |
| SGD | 24 | 19 | ||||||||||||
0.005%, 12/01/11 |
| CHF | 414 | 455 | ||||||||||||
0.005%, 12/01/11 |
| HKD | 1,365 | 176 | ||||||||||||
|
| |||||||||||||||
Total Time Deposits |
| 30,104 | ||||||||||||||
|
| |||||||||||||||
U.S. TREASURY OBLIGATION (B) — 0.1% |
| |||||||||||||||
Other Securities | 0.1 | % | 4,783 | |||||||||||||
|
| |||||||||||||||
Total U.S. Treasury Obligation |
| 4,783 | ||||||||||||||
|
| |||||||||||||||
Total Investments — 105.9% |
| $ | 4,745,883 | |||||||||||||
|
|
The open futures contracts held by the Fund at November 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 269 | Dec-2011 | $ | (106 | ) | |||||||
FTSE 100 Index | 78 | Dec-2011 | (47 | ) | ||||||||
Hang Seng Index | 25 | Dec-2011 | 33 | |||||||||
S&P/TSX 60 Index | 25 | Dec-2011 | (49 | ) | ||||||||
SPI 200 Index | 56 | Dec-2011 | (82 | ) | ||||||||
Topix Index | 149 | Dec-2011 | (196 | ) | ||||||||
|
| |||||||||||
$ | (447 | ) | ||||||||||
|
|
For the period ended November 30, 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.
A summary of the open forward foreign currency contracts held by the Fund at November 30, 2011, is as follows:
Maturity Date | Currency | Currency | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
12/23/11-5/9/12 | EUR | 71,058 | USD | 96,265 | $ | 519 | ||||||||||||||
5/9/12 | USD | 8,982 | EUR | 6,629 | (44 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | 475 | |||||||||||||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 23 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Concluded)
November 30, 2011
A summary of the counterparties for the open forward foreign currency contracts held by the Fund at November 30, 2011, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||
SSB (State Street) | (104,728 | ) | 105,203 | $ | 475 | |||||||
|
|
For the period ended November 30, 2011, the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $4,480,359 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2011. |
† | Investment in Affiliated Security (see Note 5). |
(1) | In U.S. dollars unless otherwise indicated. |
(A) | This security or a partial position of this security is on loan at November 30, 2011. The total value of securities on loan at November 30, 2011 was $381,218 ($ Thousands). |
(B) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(C) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2011 was $374,193 ($ 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
MSCI — Morgan Stanley Capital International
NOK — Norwegian Krone
NZD — New Zealand Dollar
S&P — Standard & Poor’s
SEK — Swedish Krone
SGD — Singapore Dollar
SPI — Share Price Index
TSX — Toronto Stock Exchange (formerly TSE)
USD — U.S. Dollar
ZAR — South African Rand
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of November 30, 2011, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,614,275 | $ | 2,633,385 | $ | 8 | $ | 4,247,668 | ||||||||
Preferred Stock | 22,340 | 34,608 | — | 56,948 | ||||||||||||
Warrants | 11,983 | — | — | 11,983 | ||||||||||||
Exchange Traded Fund | 20,204 | — | — | 20,204 | ||||||||||||
Affiliated Partnership | — | 374,193 | — | 374,193 | ||||||||||||
Time Deposits | 30,104 | — | — | 30,104 | ||||||||||||
U.S. Treasury Obligation | — | 4,783 | — | 4,783 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,698,906 | $ | 3,046,969 | $ | 8 | $ | 4,745,883 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (447 | ) | $ | — | $ | — | $ | (447 | ) | ||||||
Forwards Contracts* | — | 475 | — | 475 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (447 | ) | $ | 475 | $ | — | $ | 28 | |||||||
|
|
|
|
|
|
|
|
* | Futures and forwards contracts are valued at the unrealized appreciation (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 Common Stock | ||||
Beginning balance as of June 1, 2011 | $ | — | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | — | |||
Net purchases/sales | — | |||
Net transfer in and/or out of Level 3 | 8 | |||
|
| |||
Ending balance as of November 30, 2011 | $ | 8 | ||
|
| |||
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date | $ | (33 | ) | |
|
|
For the period ended November 30, 2011, there were significant transfers between Level 1 and Level 2 assets and liabilities. The primary reason for changes in the classifications between Levels 1 and 2 occurs when foreign equity securities are fair valued using other observable market-based inputs in place of the closing exchange price due to events occurring after the close of the exchange or market on which the investment is principally traded (see Note 2).
For the period ended November 30, 2011, there were significant transfers between Level 2 and Level 3 assets and liabilities. The transfers 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 $0.
The accompanying notes are an integral part of the financial statements.
24 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund
November 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||||
COMMON STOCK — 91.7% |
| |||||||||||||
Australia — 4.8% |
| |||||||||||||
BHP Billiton | 1.2 | % | 15,165 | $ | 568 | |||||||||
BHP Billiton ADR | 0.7 | 4,300 | 323 | |||||||||||
Rio Tinto | 0.6 | 3,795 | 258 | |||||||||||
Other Securities | 2.3 | 1,071 | ||||||||||||
|
| |||||||||||||
2,220 | ||||||||||||||
|
| |||||||||||||
Austria — 1.7% |
| |||||||||||||
Schoeller-Bleckmann Oilfield Equipment | 1.0 | 5,091 | 453 | |||||||||||
Other Securities | 0.7 | 330 | ||||||||||||
|
| |||||||||||||
783 | ||||||||||||||
|
| |||||||||||||
Belgium — 0.1% |
| |||||||||||||
Other Securities | 0.1 | 65 | ||||||||||||
|
| |||||||||||||
Brazil — 2.8% | ||||||||||||||
Amil Participacoes | 0.6 | 30,700 | 286 | |||||||||||
Other Securities | 2.2 | 1,040 | ||||||||||||
|
| |||||||||||||
1,326 | ||||||||||||||
|
| |||||||||||||
Canada — 4.6% |
| |||||||||||||
Enbridge | 0.7 | 9,420 | 335 | |||||||||||
Other Securities | 3.9 | 1,782 | ||||||||||||
|
| |||||||||||||
2,117 | ||||||||||||||
|
| |||||||||||||
China — 4.7% |
| |||||||||||||
China Merchants Bank | 0.7 | 166,975 | 315 | |||||||||||
Industrial & Commercial Bank of China | 0.7 | 550,758 | 321 | |||||||||||
Weichai Power | 0.6 | 59,000 | 276 | |||||||||||
Other Securities | 2.7 | 1,262 | ||||||||||||
|
| |||||||||||||
2,174 | ||||||||||||||
|
| |||||||||||||
Colombia — 0.5% |
| |||||||||||||
Other Securities | 0.5 | 240 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||||
Cyprus — 0.1% |
| |||||||||||||
Other Securities | 0.1 | % | $ | 36 | ||||||||||
|
| |||||||||||||
Czech Republic — 0.2% |
| |||||||||||||
Other Securities | 0.2 | 83 | ||||||||||||
|
| |||||||||||||
Denmark — 1.1% |
| |||||||||||||
Novo-Nordisk, Cl B | 0.7 | 2,927 | 333 | |||||||||||
Other Securities | 0.4 | 199 | ||||||||||||
|
| |||||||||||||
532 | ||||||||||||||
|
| |||||||||||||
Finland — 0.0% |
| |||||||||||||
Other Securities | 0.0 | — | ||||||||||||
|
| |||||||||||||
France — 3.7% |
| |||||||||||||
LVMH Moet Hennessy Louis Vuitton | 0.8 | 2,218 | 350 | |||||||||||
Sanofi-Aventis | 0.6 | 4,226 | 296 | |||||||||||
Other Securities | 2.3 | 1,089 | ||||||||||||
|
| |||||||||||||
1,735 | ||||||||||||||
|
| |||||||||||||
Germany — 5.6% |
| |||||||||||||
Adidas | 0.7 | 4,495 | 318 | |||||||||||
BASF | 0.9 | 5,917 | 433 | |||||||||||
Fresenius Medical Care | 0.8 | 5,122 | 352 | |||||||||||
SAP | 1.2 | 9,405 | 564 | |||||||||||
Siemens | 0.6 | 2,715 | 275 | |||||||||||
Other Securities | 1.4 | 636 | ||||||||||||
|
| |||||||||||||
2,578 | ||||||||||||||
|
| |||||||||||||
Greece — 0.0% |
| |||||||||||||
Other Securities | 0.0 | 8 | ||||||||||||
|
| |||||||||||||
Hong Kong — 3.6% |
| |||||||||||||
Other Securities | 3.6 | 1,682 | ||||||||||||
|
| |||||||||||||
India — 0.2% |
| |||||||||||||
Other Securities | 0.2 | 114 | ||||||||||||
|
| |||||||||||||
Indonesia — 0.2% |
| |||||||||||||
Other Securities | 0.2 | 106 | ||||||||||||
|
| |||||||||||||
Ireland — 0.7% |
| |||||||||||||
Other Securities | 0.7 | 344 | ||||||||||||
|
| |||||||||||||
Israel — 1.2% |
| |||||||||||||
Other Securities | 1.2 | 545 | ||||||||||||
|
| |||||||||||||
Italy — 0.4% |
| |||||||||||||
Other Securities | 0.4 | 208 | ||||||||||||
|
| |||||||||||||
Japan — 12.3% |
| |||||||||||||
FANUC | 0.6 | 1,699 | 279 | |||||||||||
Hitachi | 0.9 | 71,000 | 394 | |||||||||||
Komatsu | 0.8 | 14,631 | 374 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 25 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund (Continued)
November 30, 2011
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||||
Mitsubishi UFJ Financial Group | 1.0 | % | 106,453 | $ | 466 | |||||||||
Nippon Telegraph & Telephone | 0.6 | 5,400 | 266 | |||||||||||
Secom | 0.6 | 6,100 | 275 | |||||||||||
Other Securities | 7.8 | 3,646 | ||||||||||||
|
| |||||||||||||
5,700 | ||||||||||||||
|
| |||||||||||||
Malaysia — 0.3% |
| |||||||||||||
Other Securities | 0.3 | 125 | ||||||||||||
|
| |||||||||||||
Mexico — 1.9% |
| |||||||||||||
Other Securities | 1.9 | 874 | ||||||||||||
|
| |||||||||||||
Netherlands — 2.7% |
| |||||||||||||
Core Laboratories | 1.1 | 4,540 | 527 | |||||||||||
Other Securities | 1.6 | 717 | ||||||||||||
|
| |||||||||||||
1,244 | ||||||||||||||
|
| |||||||||||||
New Zealand — 0.2% |
| |||||||||||||
Other Securities | 0.2 | 75 | ||||||||||||
|
| |||||||||||||
Norway — 1.0% |
| |||||||||||||
DnB | 0.6 | 26,850 | 275 | |||||||||||
Other Securities | 0.4 | 185 | ||||||||||||
|
| |||||||||||||
460 | ||||||||||||||
|
| |||||||||||||
Peru — 0.1% |
| |||||||||||||
Other Securities | 0.1 | 53 | ||||||||||||
|
| |||||||||||||
Poland — 0.8% |
| |||||||||||||
Other Securities | 0.8 | 349 | ||||||||||||
|
| |||||||||||||
Russia — 0.2% |
| |||||||||||||
Other Securities | 0.2 | 93 | ||||||||||||
|
| |||||||||||||
Singapore — 1.5% |
| |||||||||||||
Other Securities | 1.5 | 677 | ||||||||||||
|
| |||||||||||||
South Africa — 0.3% |
| |||||||||||||
Other Securities | 0.3 | 128 | ||||||||||||
|
| |||||||||||||
South Korea — 3.3% |
| |||||||||||||
Samsung Electronics | 0.9 | 439 | 400 | |||||||||||
Other Securities | 2.4 | 1,125 | ||||||||||||
|
| |||||||||||||
1,525 | ||||||||||||||
|
| |||||||||||||
Spain — 0.8% |
| |||||||||||||
Other Securities | 0.8 | 370 | ||||||||||||
|
| |||||||||||||
Sweden — 2.3% |
| |||||||||||||
Getinge, Cl B | 0.6 | 10,791 | 279 | |||||||||||
Hennes & Mauritz, Cl B | 0.6 | 8,933 | 285 | |||||||||||
Other Securities | 1.1 | 480 | ||||||||||||
|
| |||||||||||||
1,044 | ||||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||||
Switzerland — 5.1% |
| |||||||||||||
Nestle | 1.0 | % | 7,800 | $ | 439 | |||||||||
Novartis | 0.8 | 6,931 | 376 | |||||||||||
Novartis ADR | 0.4 | 3,400 | 184 | |||||||||||
Roche Holding | 1.0 | 2,802 | 447 | |||||||||||
Other Securities | 1.9 | 909 | ||||||||||||
|
| |||||||||||||
2,355 | ||||||||||||||
|
| |||||||||||||
Taiwan — 2.3% |
| |||||||||||||
Advanced Semiconductor Engineering ADR | 0.6 | 59,787 | 269 | |||||||||||
Other Securities | 1.7 | 807 | ||||||||||||
|
| |||||||||||||
1,076 | ||||||||||||||
|
| |||||||||||||
Thailand — 0.7% |
| |||||||||||||
Other Securities | 0.7 | 344 | ||||||||||||
|
| |||||||||||||
Turkey — 0.9% |
| |||||||||||||
Other Securities | 0.9 | 432 | ||||||||||||
|
| |||||||||||||
United Kingdom — 16.6% |
| |||||||||||||
ARM Holdings | 0.3 | 14,679 | 138 | |||||||||||
ARM Holdings ADR | 1.2 | 19,600 | 554 | |||||||||||
AstraZeneca | 0.7 | 6,499 | 300 | |||||||||||
BG Group | 1.1 | 22,666 | 487 | |||||||||||
BHP Billiton | 0.4 | 5,925 | 183 | |||||||||||
British American Tobacco | 1.1 | 11,108 | 517 | |||||||||||
Diageo | 0.8 | 18,075 | 388 | |||||||||||
HSBC Holdings | 0.6 | 34,896 | 273 | |||||||||||
Imperial Tobacco Group | 0.6 | 7,847 | 283 | |||||||||||
Reckitt Benckiser Group | 0.6 | 5,802 | 295 | |||||||||||
Rio Tinto | 0.6 | 5,500 | 290 | |||||||||||
Rio Tinto ADR | 0.7 | 6,200 | 329 | |||||||||||
Shire | 1.1 | 15,629 | 527 | |||||||||||
Standard Chartered | 0.7 | 14,098 | 308 | |||||||||||
Tesco | 0.9 | 61,705 | 395 | |||||||||||
Unilever ADR | 0.6 | 7,900 | 266 | |||||||||||
Other Securities | 4.6 | 2,144 | ||||||||||||
|
| |||||||||||||
7,677 | ||||||||||||||
|
| |||||||||||||
United States — 2.2% | ||||||||||||||
Other Securities | 2.2 | 1,011 | ||||||||||||
|
| |||||||||||||
Total Common Stock |
| 42,508 | ||||||||||||
|
| |||||||||||||
PREFERRED STOCK — 1.4% |
| |||||||||||||
Brazil — 0.7% | ||||||||||||||
Other Securities | 0.7 | 332 | ||||||||||||
|
| |||||||||||||
Germany — 0.7% | ||||||||||||||
Volkswagen | 0.6 | 1,648 | 285 |
26 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares/Face (Thousands) | Market Value ($ Thousands) | |||||||||||||
Other Securities | 0.1 | % | $ | 48 | ||||||||||||
|
| |||||||||||||||
333 | ||||||||||||||||
|
| |||||||||||||||
Total Preferred Stock |
| 665 | ||||||||||||||
|
| |||||||||||||||
EXCHANGE TRADED FUND — 0.7% |
| |||||||||||||||
United States — 0.7% |
| |||||||||||||||
iShares MSCI Emerging Markets Index Fund | 0.7 | 7,700 | 309 | |||||||||||||
|
| |||||||||||||||
Total Exchange Traded Fund |
| 309 | ||||||||||||||
|
| |||||||||||||||
TIME DEPOSITS — 2.4% |
| |||||||||||||||
United States — 2.4% |
| |||||||||||||||
Brown Brothers Harriman | ||||||||||||||||
4.850%, 12/01/11 |
| ZAR | — | — | ||||||||||||
3.783%, 12/01/11 |
| AUD | 54 | 55 | ||||||||||||
1.750%, 12/01/11 |
| NZD | 4 | 3 | ||||||||||||
1.064%, 12/01/11 |
| SEK | 97 | 14 | ||||||||||||
0.950%, 12/01/11 |
| NOK | 53 | 9 | ||||||||||||
0.250%, 12/01/11 |
| CAD | 60 | 59 | ||||||||||||
0.137%, 12/01/11 |
| DKK | 83 | 15 | ||||||||||||
0.099%, 12/01/11 |
| GBP | 45 | 71 | ||||||||||||
0.096%, 12/01/11 |
| EUR | 85 | 115 | ||||||||||||
0.030%, 12/01/11 |
| 645 | 645 | |||||||||||||
0.010%, 12/01/11 |
| JPY | 5,692 | 73 | ||||||||||||
0.010%, 12/01/11 |
| SGD | 11 | 9 | ||||||||||||
0.005%, 12/01/11 |
| CHF | 23 | 25 | ||||||||||||
0.005%, 12/01/11 |
| HKD | 129 | 17 | ||||||||||||
|
| |||||||||||||||
Total Time Deposits |
| 1,110 | ||||||||||||||
|
| |||||||||||||||
CASH EQUIVALENT — 3.5% |
| |||||||||||||||
SEI Daily Income Trust, | 3.5 | 1,603,340 | 1,603 | |||||||||||||
|
| |||||||||||||||
Total Cash Equivalent |
| 1,603 | ||||||||||||||
|
| |||||||||||||||
U.S. TREASURY OBLIGATIONS (A) — 0.8% |
| |||||||||||||||
Other Securities | 0.8 | 398 | ||||||||||||||
|
| |||||||||||||||
Total U.S. Treasury Obligations |
| 398 | ||||||||||||||
|
| |||||||||||||||
Total Investments — 100.5% |
| $ | 46,593 | |||||||||||||
|
|
The open futures contracts held by the Fund at November 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 11 | Dec-2011 | $ | 10 | ||||||||
FTSE 100 Index | 3 | Dec-2011 | 3 | |||||||||
Hang Seng Index | 1 | Dec-2011 | 3 | |||||||||
S&P/TSX 60 Index | 2 | Dec-2011 | 1 | |||||||||
SPI 200 Index | 2 | Dec-2011 | (5 | ) | ||||||||
Topix Index | 5 | Dec-2011 | (17 | ) | ||||||||
|
| |||||||||||
$ | (5 | ) | ||||||||||
|
|
For the period ended November 30, 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.
A summary of the open forward foreign currency contracts held by the Fund at November 30, 2011, is as follows:
Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||||||||||
12/23/11-5/9/12 | EUR | 1,060 | USD | 1,436 | $ | 7 | ||||||||||||||
|
|
A summary of the counterparties for the open forward foreign currency contracts held by the Fund at November 30, 2011, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||
SSB (State Street) | (1,429 | ) | 1,436 | $ | 7 | |||||||
|
|
For the period ended November 30, 2011, the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $46,366 ($ Thousands)
* | The rate reported is the 7-day effective yield as of November 30, 2011. |
† | Investment in Affiliated Security (see Note 5). |
(1) | In U.S. dollars unless otherwise indicated. |
(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
MSCI — Morgan Stanley Capital International
NOK — Norwegian Krone
NZD — New Zealand Dollar
S&P — Standard & Poor’s
SEK — Swedish Krone
SGD — Singapore Dollar
SPI — Share Price Index
TSX — Toronto Stock Exchange (formerly TSE)
USD — U.S. Dollar
ZAR — South African Rand
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
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 27 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund (Concluded)
November 30, 2011
disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of November 30, 2011, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 10,977 | $ | 31,531 | $ | — | $ | 42,508 | ||||||||
Preferred Stock | 332 | 333 | — | 665 | ||||||||||||
Exchange Traded Fund | 309 | — | — | 309 | ||||||||||||
Time Deposits | 1,110 | — | — | 1,110 | ||||||||||||
Cash Equivalent | 1,603 | — | — | 1,603 | ||||||||||||
U.S. Treasury Obligations | — | 398 | — | 398 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 14,331 | $ | 32,262 | $ | — | $ | 46,593 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (5 | ) | $ | — | $ | — | $ | (5 | ) | ||||||
Forwards Contracts* | — | 7 | — | 7 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (5 | ) | $ | 7 | $ | — | $ | 2 | |||||||
|
|
|
|
|
|
|
|
* | Futures and forwards contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended November 30, 2011, there were significant transfers between Level 1 and Level 2 assets and liabilities. The primary reason for changes in the classifications between Levels 1 and 2 occurs when foreign equity securities are fair valued using other observable market-based inputs in place of the closing exchange price due to events occurring after the close of the exchange or market on which the investment is principally traded (see Note 2).
For the period ended November 30, 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.
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
28 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced LIBOR Opportunities Fund
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
LOAN PARTICIPATIONS — 32.8% |
| |||||||
Advanstar Communications First Lien | ||||||||
2.620%, 06/02/14 | $ | 522 | $ | 350 | ||||
Advantage Sales & Marketing 2nd Lien | ||||||||
9.250%, 06/18/18 | 550 | 523 | ||||||
Advantage Sales & Marketing Term Loan | ||||||||
5.250%, 12/17/17 | 995 | 977 | ||||||
Affinion Group Holdings | ||||||||
5.000%, 10/08/16 | 493 | 449 | ||||||
Alliant Insurance Service Term Loan | ||||||||
3.369%, 08/21/14 | 667 | 647 | ||||||
Allison Transmission | ||||||||
2.750%, 08/07/14 | 648 | 624 | ||||||
American Rock Salt Term Loan B | ||||||||
5.500%, 04/19/17 | 796 | 782 | ||||||
Ameristar Casinos Term Loan B | ||||||||
4.000%, 04/14/18 | 672 | 668 | ||||||
Aramark Facility | ||||||||
0.089%, 01/26/14 | 27 | 27 | ||||||
Aramark US Term Loan | ||||||||
2.244%, 01/26/14 | 341 | 333 | ||||||
Ashland Term B Facility | ||||||||
3.750%, 07/12/18 | 929 | 929 | ||||||
Ashland Term Loan B | ||||||||
3.750%, 07/12/18 | 71 | 71 | ||||||
Asurion LLC 1st Lien | ||||||||
5.500%, 06/10/18 | 490 | 472 | ||||||
Asurion LLC 2nd Lien | ||||||||
9.000%, 05/20/19 | 1,000 | 961 | ||||||
Atlantic Broadband Finance LLC Tranche B | ||||||||
4.000%, 02/24/16 | 457 | 443 | ||||||
Avaya | ||||||||
3.256%, 10/26/14 | 165 | 153 | ||||||
Avaya Term B-3 Loan | ||||||||
5.006%, 10/26/17 | 829 | 730 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Biomet Dollar Term Loan | ||||||||
3.358%, 03/25/15 | $ | 274 | $ | 264 | ||||
3.260%, 03/25/15 | 15 | 14 | ||||||
3.257%, 03/25/15 | 140 | 135 | ||||||
Black Press US Partnership Term B-1 Tranche | ||||||||
2.323%, 08/02/13 | 448 | 397 | ||||||
Black Press US Partnership Term B-2 Tranche | ||||||||
2.323%, 08/02/13 | 272 | 241 | ||||||
Burlington Coat Factory Term B Loan | ||||||||
6.250%, 02/10/17 | 533 | 518 | ||||||
Calpine Term Loan | ||||||||
4.500%, 04/01/18 | 299 | 289 | ||||||
Cannery Casino | ||||||||
4.496%, 05/17/13 | 108 | 98 | ||||||
Cannery Casino 1st Lien Term Loan | ||||||||
4.496%, 05/17/13 | 130 | 118 | ||||||
CDW | ||||||||
3.748%, 10/12/14 | 290 | 278 | ||||||
Cedar Fair | ||||||||
4.000%, 12/15/16 | 540 | 538 | ||||||
Cengage Learning Holdco | ||||||||
2.500%, 06/28/14 | 1,182 | 998 | ||||||
Ceridian | ||||||||
3.246%, 11/08/14 | 496 | 440 | ||||||
Charter | ||||||||
2.250%, 03/15/14 | 2 | 2 | ||||||
Charter Communications Term Loan C | ||||||||
3.620%, 09/06/16 | 521 | 511 | ||||||
Citco Term Loan | ||||||||
6.250%, 05/24/18 | 1,097 | 1,055 | ||||||
City Center Holdings LLC Term Loan | ||||||||
7.500%, 01/31/15 | 640 | 636 | ||||||
Claire’s Stores | ||||||||
3.178%, 05/29/14 | 193 | 165 | ||||||
3.000%, 05/29/14 | 919 | 789 | ||||||
CommScope Term Loan | ||||||||
5.000%, 01/14/18 | 299 | 297 | ||||||
Community Health Systems Delayed Draw Term Loan | ||||||||
2.569%, 07/25/14 | 29 | 28 | ||||||
Community Health Systems Extended Term Loan | ||||||||
3.819%, 01/25/17 | 286 | 276 | ||||||
Community Health Systems Funded Term Loan | ||||||||
2.569%, 07/25/14 | 570 | 550 | ||||||
ConvaTec Dollar Term Loan | ||||||||
5.750%, 12/30/16 | 1,294 | 1,267 | ||||||
Cristal Inorganic Chemicals US | ||||||||
6.119%, 11/15/14 | 500 | 490 | ||||||
DAE Aviation Holdings Tranche B-1 Loan | ||||||||
5.430%, 07/31/14 | 522 | 506 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 29 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced LIBOR Opportunities Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
DAE Aviation Holdings Tranche B-2 Loan | ||||||||
5.260%, 09/27/14 | $ | 500 | $ | 485 | ||||
Del Monte Foods Term Loan | ||||||||
4.500%, 03/08/18 | 599 | 566 | ||||||
Delphi Tranche B | ||||||||
3.500%, 03/31/17 | 495 | 492 | ||||||
Dex Media West LLC | ||||||||
7.250%, 10/24/14 | 595 | 342 | ||||||
7.000%, 10/24/14 | 785 | 451 | ||||||
Dole Food Company Tranche B-2 | ||||||||
5.000%, 07/08/18 | 117 | 116 | ||||||
Dole Food Tranche B-2 Loan | ||||||||
6.000%, 07/08/18 | 22 | 22 | ||||||
Dunkin Brands Term Loan | ||||||||
4.000%, 11/23/17 | 496 | 488 | ||||||
Emergency Medical Services Initial Term Loan | ||||||||
5.250%, 04/27/18 | 604 | 585 | ||||||
Endo Pharmaceuticals Term Loan B | ||||||||
4.000%, 06/08/18 | 805 | 803 | ||||||
EquiPower Resource Holdings Term Loan B-1 | ||||||||
5.750%, 01/26/18 | 482 | 477 | ||||||
Federal Mogul | ||||||||
2.188%, 12/29/14 | 404 | 373 | ||||||
2.177%, 12/29/14 | 48 | 44 | ||||||
Federal Mogul Term Loan C | ||||||||
2.188%, 12/28/15 | 27 | 25 | ||||||
2.177%, 12/28/15 | 204 | 188 | ||||||
Fidelity National Information Services | ||||||||
5.250%, 07/18/16 | 415 | 416 | ||||||
First Data | ||||||||
3.007%, 09/24/14 | 657 | 582 | ||||||
First Data Dollar Term Loan | ||||||||
4.257%, 03/24/18 | 636 | 531 | ||||||
First Data Term Loan B-3 | ||||||||
2.995%, 09/24/14 | 68 | 60 | ||||||
Firth Rixson Facility B | ||||||||
4.869%, 12/18/15 | 250 | 230 | ||||||
Firth Rixson Facility C | ||||||||
5.369%, 12/20/16 | 250 | 232 | ||||||
Flextronics International Term A-2 | ||||||||
2.489%, 10/01/14 | 259 | 252 | ||||||
Flextronics International Term A-3 | ||||||||
2.495%, 10/01/14 | 302 | 294 | ||||||
Formula One (Alpha D2) Facility, Ser B | ||||||||
2.651%, 12/31/13 | 286 | 269 | ||||||
Formula One (Alpha D2) Facility, Ser B2 | ||||||||
2.651%, 12/31/13 | 202 | 189 | ||||||
Freescale Semiconductor Extended Term Loan | ||||||||
4.496%, 12/01/16 | 1,155 | 1,090 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Gambro Holding Facility B2 | ||||||||
2.245%, 06/05/14 | $ | 6 | $ | 6 | ||||
Gambro Holding Facility C2 | ||||||||
3.245%, 06/08/15 | 6 | 6 | ||||||
Gibson Energy Term Loan | ||||||||
5.750%, 06/14/18 | 998 | 994 | ||||||
Global Cash Access Term Loan | ||||||||
7.000%, 02/01/16 | 511 | 508 | ||||||
Goodman Global | ||||||||
5.750%, 10/30/17 | 326 | 325 | ||||||
Graphic Packaging | ||||||||
3.122%, 05/16/14 | 9 | 9 | ||||||
Graphic Packaging International Incremental Term Loan | ||||||||
3.159%, 05/16/14 | 61 | 61 | ||||||
3.151%, 05/16/14 | 37 | 37 | ||||||
3.138%, 05/16/14 | 82 | 82 | ||||||
3.122%, 05/16/14 | 149 | 148 | ||||||
Harron Communications L.P. Term Loan B | ||||||||
5.250%, 10/05/17 | 675 | 664 | ||||||
HCA Tranche B Term Loan | ||||||||
2.619%, 11/18/13 | 858 | 842 | ||||||
Hertz | ||||||||
3.750%, 03/04/18 | 418 | 413 | ||||||
Hexion Specialty Chemical, Ser C-1 | ||||||||
2.625%, 05/05/13 | 348 | 332 | ||||||
Hexion Specialty Chemical, Ser C-2 | ||||||||
2.625%, 05/05/13 | 156 | 149 | ||||||
Hub International Delayed Draw Term Loan | ||||||||
2.869%, 06/13/14 | 90 | 86 | ||||||
Hub International Initial Term Loan | ||||||||
2.869%, 06/13/14 | 401 | 383 | ||||||
Iasis Healthcare Hybrid Term Loan | ||||||||
5.000%, 05/03/18 | 405 | 389 | ||||||
IMS Health | ||||||||
4.500%, 08/31/17 | 694 | 692 | ||||||
Infor Enterprise Solutions | ||||||||
6.000%, 07/28/12 | 415 | 389 | ||||||
Infor Global Enterprise Solutions | ||||||||
6.510%, 03/02/14 | 27 | 22 | ||||||
Infor Global Enterprise Solutions Tranche 1 | ||||||||
6.510%, 03/02/14 | 138 | 113 | ||||||
Infor Global Solutions | ||||||||
6.000%, 07/28/15 | 217 | 203 | ||||||
Infor Global Solutions Intermediate Holdings | ||||||||
6.510%, 03/02/14 | 305 | 249 | ||||||
Infor Global Solutions Tranche B-2 | ||||||||
7.250%, 07/28/15 | 497 | 466 | ||||||
Integra Telecom | ||||||||
9.250%, 04/07/15 | 563 | 492 |
30 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Intelsat | ||||||||
3.391%, 02/01/14 | $ | 450 | $ | 424 | ||||
Intelsat Jackson Holdings | ||||||||
5.250%, 04/03/18 | 303 | 299 | ||||||
Inventiv Health Incremental Term Loan B-3 | ||||||||
6.750%, 07/19/18 | 499 | 488 | ||||||
Inventiv Health Term Loan B | ||||||||
6.500%, 08/04/16 | 1,122 | 1,096 | ||||||
J. Crew Term Loan | ||||||||
4.750%, 03/07/18 | 995 | 914 | ||||||
Knology Term Loan B | ||||||||
4.000%, 08/08/17 | 496 | 483 | ||||||
Lamar Media | ||||||||
4.000%, 10/01/16 | 285 | 283 | ||||||
Language Line Term Loan B | ||||||||
6.250%, 06/20/16 | 478 | 471 | ||||||
Live Nation Entertainment | ||||||||
4.500%, 10/20/16 | 246 | 244 | ||||||
Manitowoc Term Loan B | ||||||||
4.250%, 11/13/17 | 499 | 493 | ||||||
MedMedia USA Term Loan B | ||||||||
6.250%, 10/05/13 | 302 | 279 | ||||||
Meg Energy Initial Term Loan | ||||||||
4.000%, 03/18/18 | 650 | 643 | ||||||
NCI Building Systems Tranche B | ||||||||
8.000%, 04/18/14 | 659 | 641 | ||||||
Neiman Marcus Group Term Loan | ||||||||
4.750%, 05/10/18 | 491 | 472 | ||||||
Nelson Education | ||||||||
2.869%, 07/05/14 | 782 | 620 | ||||||
Nexstar Broadcasting Term Loan B | ||||||||
5.000%, 09/30/16 | 448 | 442 | ||||||
Nielsen Finance New Facility | ||||||||
2.248%, 12/31/17 | 548 | 538 | ||||||
NRG Energy Term Loan B | ||||||||
4.000%, 07/01/18 | 698 | 693 | ||||||
NXP BV | ||||||||
4.500%, 03/07/17 | 478 | 447 | ||||||
PACTIV US Term Loan | ||||||||
6.500%, 02/09/18 | 192 | 188 | ||||||
Penn National Gaming Term Loan B | ||||||||
3.750%, 06/14/18 | 447 | 447 | ||||||
Quantum Term Loan | ||||||||
3.832%, 07/11/14 | 660 | 641 | ||||||
Quebecor Media | ||||||||
2.403%, 01/17/13 | 387 | 384 | ||||||
Quintiles Transnational Term Loan B | ||||||||
5.000%, 05/26/18 | 882 | 856 | ||||||
Raycom TV Broadcasting Term Loan B | ||||||||
4.500%, 05/31/17 | 998 | 948 | ||||||
re/max International | ||||||||
5.500%, 04/16/16 | 459 | 449 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Reable Therapeutics (DJO Finance) Term Loan B | ||||||||
3.246%, 05/20/14 | $ | 354 | $ | 340 | ||||
Realogy Extended Synthetic Commitments | ||||||||
4.400%, 10/10/16 | 130 | 115 | ||||||
Realogy Extended Term Loan | ||||||||
4.691%, 10/10/16 | 1,283 | 1,135 | ||||||
Regal Cinemas Term Loan | ||||||||
3.369%, 08/23/17 | 596 | 588 | ||||||
Renal Advantage Holdings | ||||||||
5.750%, 11/12/16 | 964 | 962 | ||||||
Reynolds Group Holdings Term Loan | ||||||||
6.500%, 02/09/18 | 699 | 687 | ||||||
Rock-Tenn, Term B Loan | ||||||||
3.500%, 05/29/18 | 599 | 597 | ||||||
Roundys Supermarkets 2nd Lien | ||||||||
10.000%, 04/16/16 | 500 | 489 | �� | |||||
Roundys Supermarkets Extended Tranche B | ||||||||
3.745%, 11/03/13 | 280 | 277 | ||||||
3.743%, 11/03/13 | 186 | 184 | ||||||
3.741%, 11/03/13 | 18 | 18 | ||||||
3.739%, 11/03/13 | 9 | 9 | ||||||
Rovi Guides | ||||||||
4.000%, 02/07/18 | 1 | 1 | ||||||
Rovi Guides Term Loan B | ||||||||
4.000%, 02/07/18 | 248 | 245 | ||||||
San Juan Cable Holdings Term Loan B | ||||||||
6.000%, 06/09/17 | 748 | 724 | ||||||
Sealed Air Term Loan B | ||||||||
4.750%, 10/03/18 | 790 | 796 | ||||||
Sedgwick Claims Management | ||||||||
5.000%, 12/31/16 | 597 | 589 | ||||||
Sensata Technologies BV Term Loan | ||||||||
4.000%, 05/10/18 | 998 | 983 | ||||||
Sequa Term Loan | ||||||||
3.700%, 12/03/14 | 14 | 14 | ||||||
3.690%, 12/03/14 | 17 | 16 | ||||||
3.630%, 12/03/14 | 469 | 452 | ||||||
Smart Technologies | ||||||||
3.119%, 08/28/14 | 496 | 471 | ||||||
Solvest Tranche C-2 | ||||||||
6.000%, 07/08/18 | 15 | 15 | ||||||
5.000%, 07/08/18 | 244 | 242 | ||||||
Star West Generation LLC Term Loan B | ||||||||
6.000%, 05/17/18 | 1,113 | 1,077 | ||||||
Sungard Data Systems | ||||||||
3.969%, 02/28/16 | 286 | 279 | ||||||
3.941%, 02/28/16 | 20 | 19 | ||||||
Sungard Data Systems Term | ||||||||
4.062%, 02/28/16 | 92 | 90 | ||||||
Sungard Data Systems Term Loan B | ||||||||
3.933%, 02/28/16 | 46 | 45 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 31 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced LIBOR Opportunities Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Sungard Term Loan A | ||||||||
1.998%, 02/28/14 | $ | 520 | $ | 508 | ||||
1.995%, 02/28/14 | 80 | 79 | ||||||
Supervalu | ||||||||
1.621%, 06/02/12 | 444 | 443 | ||||||
Syniverse Holdings | ||||||||
5.250%, 12/21/17 | 496 | 494 | ||||||
Telesat Canada Term I Loan | ||||||||
3.250%, 10/31/14 | 409 | 399 | ||||||
Telesat Canada Term II Loan | ||||||||
3.250%, 10/31/14 | 35 | 34 | ||||||
Terex Term Loan | ||||||||
5.500%, 07/28/17 | 500 | 499 | ||||||
Texas Competitive Electric Holdings Extended Term Loan | ||||||||
4.748%, 10/10/17 | 864 | 563 | ||||||
Texas Competitive Electric Holdings Term Loan | ||||||||
3.748%, 10/10/14 | 166 | 120 | ||||||
Transdigm Term Loan | ||||||||
4.000%, 02/14/17 | 496 | 491 | ||||||
TransUnion | ||||||||
4.750%, 02/26/18 | 597 | 594 | ||||||
TWCC Holding | ||||||||
4.250%, 02/11/17 | 498 | 495 | ||||||
U.S. Telepacific Term Loan | ||||||||
5.750%, 02/23/17 | 996 | 940 | ||||||
United Surgical Partners International | ||||||||
2.250%, 04/21/14 | 203 | 197 | ||||||
2.250%, 04/19/14 | 889 | 860 | ||||||
Universal Healthcare | ||||||||
4.000%, 05/16/16 | 411 | 410 | ||||||
Univision Communications Extended Term Loan B | ||||||||
4.496%, 03/31/17 | 1,194 | 1,068 | ||||||
Vanguard Health Term Loan | ||||||||
5.000%, 01/15/16 | 1,091 | 1,073 | ||||||
Verint Systems Term Loan B | ||||||||
4.500%, 10/06/17 | 311 | 307 | ||||||
Walter Energy Term Loan B | ||||||||
4.000%, 04/02/18 | 488 | 479 | ||||||
Warner Chilcott LLC Term Loan B1 | ||||||||
4.250%, 03/15/18 | 125 | 123 | ||||||
4.250%, 03/14/18 | 274 | 269 | ||||||
Waste Industries USA Term Loan B | ||||||||
4.750%, 03/16/17 | 697 | 679 | ||||||
Wide Open West Finance 1st Lien | ||||||||
6.748%, 06/30/14 | 700 | 675 | ||||||
2.755%, 06/30/14 | 534 | 506 | ||||||
|
| |||||||
Total Loan Participations (Cost $77,556) ($ Thousands) | 75,348 | |||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 7.1% |
| |||||||
Consumer Discretionary — 0.5% | ||||||||
Allison Transmission | ||||||||
7.125%, 05/15/19 (A) | $ | 231 | $ | 217 | ||||
Macy’s Retail Holdings | ||||||||
5.350%, 03/15/12 | 100 | 101 | ||||||
Rent-A-Center | ||||||||
6.625%, 11/15/20 | 600 | 600 | ||||||
Target | ||||||||
0.575%, 07/18/14 (B) | 200 | 200 | ||||||
|
| |||||||
1,118 | ||||||||
|
| |||||||
Consumer Staples — 0.7% | ||||||||
American Renal Holdings | ||||||||
8.375%, 05/15/18 | 250 | 257 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
0.761%, 07/14/14 (B) | 200 | 199 | ||||||
Bottling Group LLC | ||||||||
4.625%, 11/15/12 | 55 | 57 | ||||||
Elizabeth Arden | ||||||||
7.375%, 03/15/21 | 100 | 104 | ||||||
Emergency Medical Services | ||||||||
8.125%, 06/01/19 | 312 | 307 | ||||||
PepsiCo | ||||||||
0.800%, 08/25/14 | 120 | 120 | ||||||
Reynolds Group Issuer | ||||||||
6.875%, 02/15/21 (A) | 185 | 177 | ||||||
Seminole Indian Tribe of Florida | ||||||||
6.535%, 10/01/20 (A) | 450 | 436 | ||||||
|
| |||||||
1,657 | ||||||||
|
| |||||||
Energy — 0.4% | ||||||||
BP Capital Markets | ||||||||
3.125%, 03/10/12 | 125 | 126 | ||||||
Canadian Natural Resources | ||||||||
5.700%, 05/15/17 | 150 | 175 | ||||||
Energy Transfer Equity | ||||||||
7.500%, 10/15/20 | 500 | 517 | ||||||
|
| |||||||
818 | ||||||||
|
| |||||||
Financials — 2.3% | ||||||||
Allstate Life Global Funding Trusts MTN | ||||||||
5.375%, 04/30/13 | 100 | 105 | ||||||
American Express Credit | ||||||||
1.208%, 06/24/14 (B) | 250 | 245 | ||||||
American Honda Finance | ||||||||
1.850%, 09/19/14 (A) | 200 | 201 | ||||||
Bank of America MTN | ||||||||
1.848%, 01/30/14 (B) | 200 | 183 | ||||||
Bank of Montreal MTN | ||||||||
0.898%, 04/29/14 (B) | 125 | 125 |
32 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BB&T | ||||||||
1.125%, 04/28/14 (B) | $ | 125 | $ | 125 | ||||
Caterpillar Financial Services MTN | ||||||||
1.375%, 05/20/14 | 95 | 96 | ||||||
CIT Group | ||||||||
7.000%, 05/02/17 (A) | 600 | 591 | ||||||
Citigroup | ||||||||
0.607%, 06/09/16 (B) | 150 | 120 | ||||||
General Electric Capital MTN | ||||||||
2.625%, 12/28/12 | 300 | 308 | ||||||
2.125%, 12/21/12 | 400 | 409 | ||||||
1.311%, 05/09/16 (B) | 150 | 142 | ||||||
Goldman Sachs Group | ||||||||
1.435%, 02/07/14 (B) | 150 | 143 | ||||||
HSBC Bank | ||||||||
0.887%, 05/15/13 (A) (B) | 200 | 198 | ||||||
John Deere Capital MTN | ||||||||
0.553%, 07/15/13 (B) | 250 | 250 | ||||||
JPMorgan Chase | ||||||||
2.125%, 12/26/12 | 150 | 153 | ||||||
JPMorgan Chase Capital XXI | ||||||||
1.379%, 02/02/37 (B) | 250 | 179 | ||||||
Monumental Global Funding | ||||||||
0.603%, 01/15/14 (A) (B) | 230 | 219 | ||||||
Morgan Stanley MTN | ||||||||
0.691%, 01/09/14 (B) | 200 | 179 | ||||||
NCUA Guaranteed Notes | ||||||||
0.268%, 06/12/13 (B) | 260 | 260 | ||||||
Prudential Financial MTN | ||||||||
5.100%, 12/14/11 | 150 | 150 | ||||||
Reinsurance Group of America | ||||||||
5.625%, 03/15/17 | 200 | 214 | ||||||
Royal Bank of Canada MTN | ||||||||
0.703%, 04/17/14 (B) | 250 | 248 | ||||||
Standard Chartered | ||||||||
1.403%, 05/12/14 (A) (B) | 200 | 198 | ||||||
State Street | ||||||||
0.528%, 04/30/12 (B) | 135 | 135 | ||||||
Toronto-Dominion Bank | ||||||||
0.701%, 07/14/14 (B) | 105 | 104 | ||||||
Unitrin | ||||||||
6.000%, 05/15/17 | 110 | 114 | ||||||
|
| |||||||
5,394 | ||||||||
|
| |||||||
Health Care — 0.5% | ||||||||
Alere | ||||||||
9.000%, 05/15/16 | 800 | 788 | ||||||
Express Scripts | ||||||||
5.250%, 06/15/12 | 100 | 102 | ||||||
Pfizer | ||||||||
4.450%, 03/15/12 | 300 | 303 | ||||||
Sanofi | ||||||||
0.673%, 03/28/14 (B) | 75 | 75 | ||||||
|
| |||||||
1,268 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Industrials — 1.1% | ||||||||
Boart Longyear Management | ||||||||
7.000%, 04/01/21 (A) | $ | 1,250 | $ | 1,237 | ||||
Caterpillar | ||||||||
1.375%, 05/27/14 | 100 | 101 | ||||||
Continental Airlines | ||||||||
0.677%, 06/02/13 (B) | 142 | 132 | ||||||
Danaher | ||||||||
1.300%, 06/23/14 | 135 | 137 | ||||||
NXP BV | ||||||||
9.750%, 08/01/18 (A) | 240 | 261 | ||||||
Packaging Dynamics | ||||||||
8.750%, 02/01/16 (A) | 600 | 594 | ||||||
|
| |||||||
2,462 | ||||||||
|
| |||||||
Information Technology — 0.2% | ||||||||
Hewlett-Packard | ||||||||
0.923%, 05/30/14 (B) | 175 | 170 | ||||||
Texas Instruments | ||||||||
0.637%, 05/15/13 (B) | 150 | 151 | ||||||
Xerox | ||||||||
1.281%, 05/16/14 (B) | 160 | 158 | ||||||
|
| |||||||
479 | ||||||||
|
| |||||||
Materials — 0.3% | ||||||||
E.I. du Pont de Nemours | ||||||||
0.778%, 03/25/14 (B) | 70 | 70 | ||||||
Verso Paper Holdings LLC | ||||||||
11.500%, 07/01/14 | 607 | �� | 619 | |||||
|
| |||||||
689 | ||||||||
|
| |||||||
Telecommunication Services — 0.8% | ||||||||
Affinion Group | ||||||||
7.875%, 12/15/18 | 550 | 458 | ||||||
Comcast Cable Holdings LLC | ||||||||
9.800%, 02/01/12 | 200 | 203 | ||||||
EH Holding | ||||||||
6.500%, 06/15/19 (A) | 250 | 244 | ||||||
New Cingular Wireless Services | ||||||||
8.125%, 05/01/12 | 175 | 181 | ||||||
Sinclair Television Group | ||||||||
8.375%, 10/15/18 | 500 | 506 | ||||||
Vodafone Group PLC | ||||||||
0.599%, 02/27/12 (B) | 150 | 150 | ||||||
|
| |||||||
1,742 | ||||||||
|
| |||||||
Utilities — 0.3% | ||||||||
Calpine | ||||||||
7.500%, 02/15/21 (A) | 375 | 382 | ||||||
DTE Energy | ||||||||
1.227%, 06/03/13 (B) | 76 | 76 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 33 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced LIBOR Opportunities Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Georgia Power | ||||||||
1.300%, 09/15/13 | $ | 150 | $ | 151 | ||||
|
| |||||||
609 | ||||||||
|
| |||||||
Total Corporate Obligations | 16,236 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 4.0% |
| |||||||
Automotive — 2.3% | ||||||||
Ally Auto Receivables Trust, | ||||||||
3.050%, 12/15/14 (A) | 150 | 155 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.650%, 03/17/14 | 70 | 70 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2007-CM, Cl A4A | ||||||||
5.550%, 04/07/14 | 122 | 124 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2007-DF, Cl A4A | ||||||||
5.560%, 06/06/14 | 91 | 93 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-4, Cl B | ||||||||
1.990%, 10/08/15 | 180 | 180 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-A, Cl A3 | ||||||||
3.510%, 07/06/17 | 85 | 88 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-1, Cl A2 | ||||||||
0.840%, 06/09/14 | 111 | 111 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-2, Cl A2 | ||||||||
0.900%, 09/08/14 | 39 | 39 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-3, Cl A3 | ||||||||
1.170%, 01/08/16 | 100 | 100 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-4, Cl A2 | ||||||||
0.920%, 03/09/15 | 70 | 70 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Ser 2009-2A, Cl A | ||||||||
5.680%, 02/20/14 (A) | 110 | 114 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Ser 2010-2A, Cl A | ||||||||
3.630%, 08/20/14 (A) | 100 | 103 | ||||||
Bank of America Auto Trust, | ||||||||
3.520%, 06/15/16 (A) | 200 | 204 | ||||||
Bank of America Auto Trust, | ||||||||
1.390%, 03/15/14 (A) | 103 | 104 | ||||||
Bank of America Auto Trust, | ||||||||
1.310%, 07/15/14 | 242 | 243 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BMW Vehicle Lease Trust, | ||||||||
0.820%, 04/15/13 | $ | 205 | $ | 205 | ||||
BMW Vehicle Lease Trust, | ||||||||
1.060%, 02/20/14 | 60 | 60 | ||||||
BMW Vehicle Owner Trust, | ||||||||
0.760%, 08/25/15 | 150 | 150 | ||||||
Capital Auto Receivables Asset Trust, | ||||||||
5.210%, 03/17/14 | 24 | 24 | ||||||
CarMax Auto Owner Trust, | ||||||||
2.820%, 12/15/14 | 210 | 216 | ||||||
CarMax Auto Owner Trust, | ||||||||
2.400%, 04/15/15 | 100 | 102 | ||||||
Ford Credit Auto Lease Trust, | ||||||||
1.040%, 12/15/13 (A) | 175 | 175 | ||||||
Ford Credit Auto Lease Trust, | ||||||||
0.740%, 09/15/13 | 121 | 121 | ||||||
Ford Credit Auto Lease Trust, | ||||||||
0.820%, 01/15/14 | 200 | 200 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
5.800%, 02/15/13 | 100 | 100 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
2.980%, 08/15/14 | 105 | 108 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.840%, 06/15/15 | 105 | 105 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
5.540%, 04/15/15 | 105 | 105 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
3.190%, 11/15/13 | 65 | 65 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2009-4, Cl A4 | ||||||||
2.400%, 07/15/14 | 105 | 106 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2011-1, Cl A3 | ||||||||
0.960%, 05/16/16 | 165 | 165 | ||||||
Hertz Vehicle Financing LLC, | ||||||||
2.200%, 03/25/16 (A) | 150 | 149 | ||||||
Honda Auto Receivables Owner Trust, Ser 2011-2, Cl A3 | ||||||||
0.940%, 03/18/15 | 90 | 90 |
34 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Huntington Auto Trust, | ||||||||
5.730%, 01/15/14 (A) | $ | 100 | $ | 102 | ||||
Huntington Auto Trust, | ||||||||
1.010%, 01/15/16 (A) | 100 | 100 | ||||||
Hyundai Auto Lease Securitization Trust, Ser 2011-A, Cl A2 | ||||||||
0.690%, 11/15/13 (A) | 100 | 100 | ||||||
Hyundai Auto Receivables Trust, Ser 2009-A, Cl A3 | ||||||||
2.030%, 08/15/13 | 104 | 104 | ||||||
Hyundai Auto Receivables Trust, Ser 2011-B, Cl A2 | ||||||||
0.590%, 03/15/14 | 95 | 95 | ||||||
Mercedes-Benz Auto Receivables Trust, Ser 2011-1, Cl A3 | ||||||||
0.850%, 03/16/15 | 105 | 105 | ||||||
Nissan Auto Lease Trust, | ||||||||
1.040%, 08/15/14 | 200 | 200 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2008-A, Cl A4 | ||||||||
4.280%, 06/16/14 | 50 | 51 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2011-A, Cl A2 | ||||||||
0.650%, 12/16/13 | 180 | 180 | ||||||
Santander Consumer Acquired Receivables Trust, | ||||||||
0.910%, 11/15/13 (A) | 54 | 54 | ||||||
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 | 37 | 37 | ||||||
World Omni Automobile Lease Securitization Trust, Ser 2011-A, Cl A2 | ||||||||
0.810%, 10/15/13 | 100 | 100 | ||||||
|
| |||||||
5,367 | ||||||||
|
| |||||||
Credit Cards — 0.5% | ||||||||
American Express Credit Account Master Trust, Ser 2007-2, Cl B | ||||||||
0.429%, 09/15/16 (B) | 145 | 143 | ||||||
Chase Issuance Trust, | ||||||||
0.689%, 01/15/15 (B) | 200 | 200 | ||||||
Citibank Credit Card Issuance Trust, Ser 2007-B5, Cl B5 | ||||||||
0.868%, 11/07/14 (B) | 250 | 250 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Citibank Omni Master Trust, | ||||||||
2.348%, 05/16/16 (A) (B) | $ | 250 | $ | 252 | ||||
Citibank Omni Master Trust, | ||||||||
3.350%, 08/15/16 (A) | 250 | 254 | ||||||
|
| |||||||
1,099 | ||||||||
|
| |||||||
Mortgage Related Securities — 0.3% | ||||||||
Morgan Stanley Home Equity Loan Trust, Ser 2005-3, Cl M1 | ||||||||
0.695%, 08/25/35 (B) | 350 | 293 | ||||||
Morgan Stanley Home Equity Loan Trust, Ser 2005-4, Cl M1 | ||||||||
0.655%, 09/25/35 (B) | 370 | 189 | ||||||
Option One Mortgage Loan Trust, Ser 2005-5, Cl M1 | ||||||||
0.635%, 12/25/35 (B) | 470 | 197 | ||||||
Residential Asset Securities, | ||||||||
0.685%, 01/25/36 (B) | 375 | 157 | ||||||
|
| |||||||
836 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 0.9% |
| |||||||
Ally Master Owner Trust, | ||||||||
2.880%, 04/15/15 (A) | 250 | 255 | ||||||
CNH Equipment Trust, | ||||||||
0.620%, 06/16/14 | 60 | 60 | ||||||
Dominos Pizza Master Issuer LLC, Ser 2007-1, Cl A2 | ||||||||
5.261%, 04/25/37 (A) | 400 | 403 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2009-2, Cl A | ||||||||
1.799%, 09/15/14 (B) | 175 | 177 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2010-1, Cl B | ||||||||
2.499%, 12/15/14 (A) (B) | 135 | 137 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2010-1, Cl M15 | ||||||||
1.899%, 12/15/14 (A) (B) | 200 | 202 | ||||||
GE Dealer Floorplan Master Note Trust, Ser 2009-2A, Cl A | ||||||||
1.799%, 10/20/14 (A) (B) | 225 | 227 | ||||||
GE Equipment Midticket LLC, | ||||||||
0.940%, 07/14/14 (A) | 150 | 150 | ||||||
John Deere Owner Trust, | ||||||||
0.640%, 06/16/14 | 100 | 100 | ||||||
Navistar Financial Dealer Note Master Trust, Ser 2009-1, Cl A | ||||||||
1.707%, 10/26/15 (A) (B) | 200 | 201 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 35 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced LIBOR Opportunities Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SLM Student Loan Trust, | ||||||||
1.099%, 12/16/24 (A) (B) | $ | 112 | $ | 110 | ||||
|
| |||||||
2,022 | ||||||||
|
| |||||||
Total Asset-Backed Securities |
| 9,324 | ||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 3.5% |
| |||||||
Agency Mortgage-Backed Obligations — 2.1% |
| |||||||
FHLMC TBA | ||||||||
4.000%, 12/15/40 | 1,000 | 1,040 | ||||||
FNMA | ||||||||
6.000%, 09/01/39 to 04/01/40 | 525 | 577 | ||||||
FNMA TBA | ||||||||
4.500%, 12/01/18 | 900 | 957 | ||||||
4.000%, 12/16/19 | 200 | 210 | ||||||
3.000%, 12/25/26 | 1,500 | 1,536 | ||||||
NCUA Guaranteed Notes CMO, Ser 2011-R6, Cl 1A | ||||||||
0.621%, 05/07/20 (B) | 87 | 87 | ||||||
NCUA Guaranteed Notes, Ser 2010-R1, Cl 1A | ||||||||
0.691%, 10/07/20 (A) (B) | 309 | 309 | ||||||
|
| |||||||
4,716 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 1.4% |
| |||||||
American Tower Trust, | ||||||||
5.957%, 04/15/37 (A) | 125 | 133 | ||||||
Banc of America Funding, | ||||||||
2.781%, 09/20/35 (B) | 362 | 238 | ||||||
Banc of America Funding, | ||||||||
2.899%, 05/20/36 (B) | 284 | 185 | ||||||
Banc of America Large Loan, | ||||||||
0.759%, 08/15/29 (A) (B) | 113 | 106 | ||||||
Banc of America Mortgage Securities, Ser 2005-A, Cl 2A1 | ||||||||
2.883%, 02/25/35 (B) | 152 | 125 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2006-1, Cl A1 | ||||||||
2.520%, 02/25/36 (B) | 269 | 224 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2006-FL12, Cl A2 | ||||||||
0.349%, 12/15/20 (A) (B) | 64 | 62 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
2.986%, 04/19/36 (B) | 314 | 214 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C4, Cl A1 | ||||||||
1.525%, 07/15/46 (A) | 92 | 92 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser LDP4, Cl A3A2 | ||||||||
4.903%, 10/15/42 | $ | 200 | $ | 202 | ||||
JPMorgan Mortgage Trust, Ser 2007-A4, Cl 1A1 | ||||||||
4.916%, 06/25/37 (B) | 251 | 157 | ||||||
Master Adjustable Rate Mortgages Trust, Ser 2005-6, Cl 5A1 | ||||||||
2.631%, 07/25/35 (B) | 298 | 216 | ||||||
Merrill Lynch Mortgage-Backed Securities Trust, Ser 2007-2, Cl 1A1 | ||||||||
2.631%, 08/25/36 (B) | 281 | 202 | ||||||
MortgageIT Trust, Ser 2005-4, Cl A1 | ||||||||
0.537%, 10/25/35 (B) | 304 | 219 | ||||||
Residential Funding Mortgage Securities, Ser 2005-SA5, Cl 2A | ||||||||
3.097%, 11/25/35 (B) | 116 | 72 | ||||||
Washington Mutual Mortgage Pass-Through Certificate, | ||||||||
2.552%, 12/25/35 (B) | 290 | 233 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2011-C3, Cl A1 | ||||||||
1.988%, 03/15/44 (A) | 97 | 98 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-Z, Cl 2A1 | ||||||||
2.730%, 12/25/34 (B) | 250 | 225 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 3A2 | ||||||||
2.689%, 03/25/35 (B) | 69 | 63 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 6A3 | ||||||||
2.720%, 10/25/35 (B) | 100 | 86 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR2, Cl 2A3 | ||||||||
2.718%, 03/25/36 (B) | 106 | 81 | ||||||
|
| |||||||
3,233 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities | 7,949 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.9% |
| |||||||
FHLMC | ||||||||
1.375%, 01/09/13 | 500 | 506 | ||||||
FNMA | ||||||||
1.000%, 12/27/12 | 1,500 | 1,512 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations | 2,018 | |||||||
|
|
36 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
MUNICIPAL BOND — 0.1% |
| |||||||
New Jersey State Turnpike Authority, Ser B, RB, AMBAC | ||||||||
4.252%, 01/01/16 | $ | 250 | $ | 257 | ||||
|
| |||||||
Total Municipal Bond | 257 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 51.3% |
| |||||||
SEI LIBOR Plus Portfolio†** | 16,867,198 | 117,902 | ||||||
|
| |||||||
Total Affiliated Partnership | 117,902 | |||||||
|
| |||||||
CASH EQUIVALENT — 2.0% | ||||||||
SEI Daily Income Trust, | ||||||||
0.040%†* | 4,728,765 | 4,729 | ||||||
|
| |||||||
Total Cash Equivalent | 4,729 | |||||||
|
| |||||||
CERTIFICATES OF DEPOSIT — 0.2% |
| |||||||
Canadian Imperial Bank of Commerce NY | ||||||||
0.420%, 06/29/12 | 200 | 200 | ||||||
DnB Bank | ||||||||
0.300%, 03/02/12 | 250 | 250 | ||||||
|
| |||||||
Total Certificates of Deposit | 450 | |||||||
|
| |||||||
Total Investments — 101.9% | $ | 234,213 | ||||||
|
|
The open futures contracts held by the Fund at November 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
U.S. 10-Year Treasury Note | (19 | ) | Mar-2012 | $ | 5 | |||||||
U.S. 2-Year Treasury Note | (10 | ) | Apr-2012 | — | ||||||||
U.S. 5-Year Treasury Note | 14 | Mar-2012 | (1 | ) | ||||||||
U.S. Long Treasury Bond | (1 | ) | Mar-2012 | 2 | ||||||||
|
| |||||||||||
$ | 6 | |||||||||||
|
|
For the period ended November 30, 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.
Percentages are based on a Net Assets of $229,773 ($ Thousands)
* | The rate reported is the 7-day effective yield as of November 30, 2011. |
† | Investment in Affiliated Security (see Note 5). |
** | The Fund’s investment in the SEI LIBOR Plus Portfolio, a portfolio of the SEI Alpha Strategy Portfolios, LP represents greater than 50% of the Fund’s total investments. The SEI LIBOR Plus Portfolio seeks to maximize total return consistent with the preservation of capital and prudent investment management. For further financial information, available upon request at no charge, on the SEI LIBOR Plus Portfolio please go to the Securities Exchange Commission’s website at http://www.sec.gov or call 1-800-DIAL-SEI. |
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(B) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of November 30, 2011. The date reported on the Schedule of Investments is the final maturity date. |
AMBAC — American Municipal Bond Assurance Corporation
Cl — Class
CMO — Collateralized Mortgage Obligation
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
LLC — Limited Liability Company
LIBOR — London Interbank Offered Rate
L.P. — Limited Partnership
MTN — Medium Term Note
NCUA — National Credit Union Association
NY — New York
PLC — Public Limited Company
RB — Revenue Bond
Ser — Series
TBA — To Be Announced
The following is a summary of the inputs used as of November 30, 2011, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Loan Participations | $ | — | $ | 75,348 | $ | — | $ | 75,348 | ||||||||
Corporate Obligations | — | 16,236 | — | 16,236 | ||||||||||||
Asset-Backed Securities | — | 9,324 | — | 9,324 | ||||||||||||
Mortgage-Backed Securities | — | 7,949 | — | 7,949 | ||||||||||||
U.S. Government Agency Obligations | — | 2,018 | — | 2,018 | ||||||||||||
Municipal Bond | — | 257 | — | 257 | ||||||||||||
Affiliated Partnership | 117,902 | — | — | 117,902 | ||||||||||||
Cash Equivalent | 4,729 | — | — | 4,729 | ||||||||||||
Certificates of Deposit | — | 450 | — | 450 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 122,631 | $ | 111,582 | $ | — | $ | 234,213 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 6 | $ | — | $ | — | $ | 6 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 6 | $ | — | $ | — | $ | 6 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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.
Amounts designated as “—” are $O or have been rounded to $O.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 37 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 49.8% |
| |||||||
Agency Mortgage-Backed Obligations — 39.4% |
| |||||||
FHLMC | ||||||||
11.000%, 02/17/21 | $ | 1,309 | $ | 1,461 | ||||
10.000%, 03/17/26 to 10/01/30 | 2,836 | 3,365 | ||||||
7.500%, 08/01/30 to 09/01/38 | 2,213 | 2,580 | ||||||
7.000%, 11/01/15 to 09/01/25 | 134 | 152 | ||||||
6.500%, 06/01/17 to 09/01/39 | 10,935 | 12,252 | ||||||
6.000%, 05/01/17 to 10/01/38 | 33,195 | 36,621 | ||||||
5.625%, 11/23/35 | 1,620 | 1,791 | ||||||
5.500%, 12/01/13 to 10/01/39 | 41,781 | 46,005 | ||||||
5.125%, 11/17/17 | 5,000 | 5,983 | ||||||
5.000%, 04/18/17 to 08/01/41 | 57,395 | 62,546 | ||||||
4.500%, 02/01/41 to 10/01/41 | 83,377 | 89,049 | ||||||
4.000%, 10/01/33 to 10/01/41 | 91,696 | 96,276 | ||||||
3.500%, 12/01/25 to 10/01/31 | 11,492 | 11,911 | ||||||
1.750%, 09/10/15 | 7,030 | 7,234 | ||||||
0.120%, 01/10/12 (A) | 660 | 660 | ||||||
FHLMC ARM (B) | ||||||||
6.485%, 09/01/36 | 4,516 | 4,779 | ||||||
6.463%, 10/01/36 to 11/01/37 | 531 | 568 | ||||||
6.445%, 12/01/36 | 501 | 543 | ||||||
6.386%, 02/01/37 | 417 | 451 | ||||||
6.315%, 03/01/37 | 387 | 412 | ||||||
6.295%, 02/01/37 | 1,101 | 1,150 | ||||||
6.262%, 09/01/36 | 336 | 366 | ||||||
6.253%, 09/01/36 | 383 | 407 | ||||||
6.211%, 05/01/37 | 596 | 633 | ||||||
6.178%, 01/01/37 | 1,345 | 1,404 | ||||||
6.165%, 12/01/36 | 347 | 366 | ||||||
6.154%, 10/01/36 | 778 | 817 | ||||||
6.134%, 06/01/37 | 281 | 305 | ||||||
6.078%, 09/01/36 | 1,009 | 1,070 | ||||||
6.060%, 10/01/37 | 1,286 | 1,366 | ||||||
6.056%, 12/01/36 | 917 | 968 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.014%, 10/01/37 | $ | 1,727 | $ | 1,872 | ||||
6.012%, 04/01/37 | 237 | 256 | ||||||
6.007%, 02/01/37 | 214 | 228 | ||||||
6.004%, 11/01/36 | 769 | 825 | ||||||
5.992%, 04/01/37 | 1,070 | 1,140 | ||||||
5.981%, 11/01/36 | 211 | 222 | ||||||
5.977%, 06/01/38 | 1,937 | 2,093 | ||||||
5.972%, 01/01/37 | 429 | 463 | ||||||
5.963%, 07/01/37 | 3,259 | 3,530 | ||||||
5.960%, 05/01/37 | 3,223 | 3,444 | ||||||
5.949%, 03/01/37 | 816 | 871 | ||||||
5.921%, 06/01/36 | 1,137 | 1,230 | ||||||
5.916%, 07/01/37 | 467 | 505 | ||||||
5.892%, 03/01/37 | 183 | 198 | ||||||
5.879%, 05/01/36 | 719 | 758 | ||||||
5.873%, 05/01/37 | 224 | 239 | ||||||
5.826%, 08/01/37 | 956 | 1,020 | ||||||
5.822%, 11/01/38 | 470 | 509 | ||||||
5.773%, 11/01/36 | 502 | 526 | ||||||
5.771%, 11/01/37 | 7 | 8 | ||||||
5.769%, 04/01/38 | 238 | 253 | ||||||
5.761%, 07/01/38 | 2,159 | 2,335 | ||||||
5.738%, 05/01/37 | 251 | 269 | ||||||
5.735%, 05/01/37 | 1,704 | 1,814 | ||||||
5.690%, 03/01/36 | 1,075 | 1,162 | ||||||
5.679%, 03/01/36 | 622 | 672 | ||||||
5.673%, 06/01/37 | 596 | 643 | ||||||
5.621%, 04/01/37 | 402 | 430 | ||||||
5.601%, 05/01/36 | 455 | 479 | ||||||
5.600%, 08/01/39 | 2,692 | 2,905 | ||||||
5.598%, 04/01/37 | 177 | 188 | ||||||
5.591%, 10/01/38 | 566 | 613 | ||||||
5.556%, 05/01/37 | 501 | 533 | ||||||
5.542%, 05/01/36 | 994 | 1,065 | ||||||
5.479%, 08/01/37 | 1,735 | 1,848 | ||||||
5.277%, 05/01/38 | 702 | 747 | ||||||
5.126%, 01/01/36 | 2,533 | 2,707 | ||||||
5.088%, 12/01/36 | 943 | 1,001 | ||||||
5.055%, 07/01/36 | 985 | 1,056 | ||||||
5.009%, 05/01/37 | 707 | 750 | ||||||
4.996%, 01/01/35 | 365 | 391 | ||||||
4.978%, 11/01/36 | 632 | 664 | ||||||
4.333%, 12/01/36 | 678 | 720 | ||||||
2.530%, 10/01/36 | 1,798 | 1,895 | ||||||
2.367%, 10/01/36 | 1,092 | 1,150 | ||||||
2.135%, 08/01/36 | 1,230 | 1,290 | ||||||
2.111%, 07/01/36 | 660 | 693 | ||||||
2.000%, 08/01/36 | 441 | 464 | ||||||
FHLMC CMO, Ser 1988-1, Cl Z | ||||||||
9.300%, 04/15/19 | 17 | 19 | ||||||
FHLMC CMO, Ser 1991-1142, Cl IA | ||||||||
7.000%, 10/15/21 | 268 | 302 | ||||||
FHLMC CMO, Ser 1993-1611, Cl Z | ||||||||
6.500%, 11/15/23 | 9,249 | 10,311 |
38 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 1998-2043, Cl CJ | ||||||||
6.500%, 04/15/28 | $ | 1,036 | $ | 1,190 | ||||
FHLMC CMO, Ser 1998-2075, Cl D | ||||||||
6.500%, 08/15/28 | 1,199 | 1,258 | ||||||
FHLMC CMO, | ||||||||
7.452%, 02/15/29 (B) | 1,133 | 58 | ||||||
FHLMC CMO, Ser 2001-2293, Cl ZA | ||||||||
6.000%, 03/15/31 | 1,283 | 1,445 | ||||||
FHLMC CMO, Ser 2001-2312, Cl Z | ||||||||
6.500%, 05/15/31 | 841 | 967 | ||||||
FHLMC CMO, Ser 2001-2357, Cl ZJ | ||||||||
6.500%, 09/15/31 | 187 | 208 | ||||||
FHLMC CMO, Ser 2002-2434, Cl ZA | ||||||||
6.500%, 04/15/32 | 2,335 | 2,683 | ||||||
FHLMC CMO, Ser 2002-2456, Cl CJ | ||||||||
6.500%, 06/15/32 | 613 | 690 | ||||||
FHLMC CMO, Ser 2002-2458, Cl ZM | ||||||||
6.500%, 06/15/32 | 1,170 | 1,314 | ||||||
FHLMC CMO, Ser 2002-41, Cl 2A | ||||||||
6.976%, 07/25/32 (B) | 790 | 913 | ||||||
FHLMC CMO, Ser 2002-42, Cl A5 | ||||||||
7.500%, 02/25/42 | 1,061 | 1,267 | ||||||
FHLMC CMO, Ser 2002-48, Cl 1A | ||||||||
6.276%, 07/25/33 (B) | 56 | 63 | ||||||
FHLMC CMO, Ser 2003-2551, Cl NS | ||||||||
14.029%, 01/15/33 (B) | 651 | 721 | ||||||
FHLMC CMO, | ||||||||
0.000%, 03/15/32 | 360 | 353 | ||||||
FHLMC CMO, Ser 2003-2591, Cl QO | ||||||||
4.500%, 03/15/18 | 1,000 | 1,068 | ||||||
FHLMC CMO, Ser 2003-2631, Cl SA | ||||||||
14.396%, 06/15/33 (B) | 504 | 562 | ||||||
FHLMC CMO, Ser 2003-2671, Cl S | ||||||||
14.304%, 09/15/33 (B) | 499 | 555 | ||||||
FHLMC CMO, Ser 2003-2684, Cl SN | ||||||||
27.011%, 10/15/33 (B) | 20 | 22 | ||||||
FHLMC CMO, Ser 2003-2690, Cl SJ | ||||||||
8.778%, 10/15/33 (B) | 422 | 418 | ||||||
FHLMC CMO, Ser 2003-2691, Cl SE | ||||||||
9.196%, 12/15/28 (B) | 44 | 44 | ||||||
FHLMC CMO, | ||||||||
0.000%, 10/15/33 | 146 | 124 | ||||||
FHLMC CMO, Ser 2003-2695, Cl SX | ||||||||
15.979%, 10/15/33 (B) | 177 | 192 | ||||||
FHLMC CMO, Ser 2003-2698, Cl SV | ||||||||
8.628%, 11/15/33 (B) | 75 | 73 | ||||||
FHLMC CMO, Ser 2003-2725, Cl OP, PO | ||||||||
0.000%, 10/15/33 | 191 | 176 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 2003-2725, Cl SC | ||||||||
8.716%, 11/15/33 (B) | $ | 248 | $ | 239 | ||||
FHLMC CMO, Ser 2003-54, Cl 2A | ||||||||
6.500%, 02/25/43 | 569 | 636 | ||||||
FHLMC CMO, Ser 2003-54, Cl 3A | ||||||||
7.000%, 02/25/43 | 704 | 824 | ||||||
FHLMC CMO, Ser 2003-57, Cl 1A1 | ||||||||
6.500%, 07/25/43 | 650 | 747 | ||||||
FHLMC CMO, Ser 2003-57, Cl 1A2 | ||||||||
7.000%, 07/25/43 | 785 | 908 | ||||||
FHLMC CMO, Ser 2003-57, Cl 1A3 | ||||||||
7.500%, 07/25/43 | 643 | 751 | ||||||
FHLMC CMO, Ser 2003-58, Cl 4A | ||||||||
7.500%, 09/25/43 | 854 | 1,006 | ||||||
FHLMC CMO, Ser 2004-2764, Cl UG | ||||||||
5.000%, 03/15/34 | 1,500 | 1,702 | ||||||
FHLMC CMO, Ser 2004-2777, Cl KO, PO | ||||||||
0.000%, 02/15/33 | 874 | 823 | ||||||
FHLMC CMO, Ser 2004-2778, Cl JD | ||||||||
5.000%, 12/15/32 | 1,948 | 2,052 | ||||||
FHLMC CMO, Ser 2004-2812, Cl NO, PO | ||||||||
0.000%, 10/15/33 | 223 | 190 | ||||||
FHLMC CMO, Ser 2004-2827, Cl CS | ||||||||
15.818%, 04/15/32 (B) | 42 | 44 | ||||||
FHLMC CMO, Ser 2004-2835, Cl BO, PO | ||||||||
0.000%, 12/15/28 | 262 | 254 | ||||||
FHLMC CMO, Ser 2004-2864, Cl NB | ||||||||
5.500%, 07/15/33 | 2,000 | 2,277 | ||||||
FHLMC CMO, Ser 2004-2903, Cl UZ | ||||||||
5.500%, 07/15/31 | 87 | 88 | ||||||
FHLMC CMO, Ser 2004-59, Cl 1A3 | ||||||||
7.500%, 10/25/43 | 850 | 985 | ||||||
FHLMC CMO, Ser 2004-60, Cl 1A2 | ||||||||
7.000%, 03/25/44 | 667 | 802 | ||||||
FHLMC CMO, Ser 2004-60, Cl 1A3 | ||||||||
7.500%, 03/25/44 | 891 | 1,016 | ||||||
FHLMC CMO, Ser 2005-2945, Cl SA | ||||||||
11.848%, 03/15/20 (B) | 1,974 | 2,129 | ||||||
FHLMC CMO, Ser 2005-2950, Cl JO, PO | ||||||||
0.000%, 03/15/20 | 350 | 333 | ||||||
FHLMC CMO, Ser 2005-2981, Cl FA | ||||||||
0.648%, 05/15/35 (B) | 645 | 646 | ||||||
FHLMC CMO, Ser 2005-2990, Cl LK | ||||||||
0.618%, 10/15/34 (B) | 726 | 727 | ||||||
FHLMC CMO, Ser 2005-2991, Cl EG | ||||||||
5.500%, 11/15/34 | 1,266 | 1,312 | ||||||
FHLMC CMO, Ser 2005-3001, Cl HP | ||||||||
21.008%, 05/15/35 (B) | 133 | 178 | ||||||
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 39 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 2005-3006, Cl QS | ||||||||
19.476%, 07/15/35 (B) | $ | 713 | $ | 945 | ||||
FHLMC CMO, Ser 2005-3012, Cl GK | ||||||||
23.634%, 06/15/35 (B) | 133 | 184 | ||||||
FHLMC CMO, Ser 2005-3049, Cl XF | ||||||||
0.598%, 05/15/33 (B) | 838 | 840 | ||||||
FHLMC CMO, Ser 2005-3077, Cl TO, PO | ||||||||
0.000%, 04/15/35 | 531 | 464 | ||||||
FHLMC CMO, Ser 2006-3100, Cl PO, PO | ||||||||
0.000%, 01/15/36 | 857 | 777 | ||||||
FHLMC CMO, Ser 2006-3101, Cl UZ | ||||||||
6.000%, 01/15/36 | 2,116 | 2,436 | ||||||
FHLMC CMO, Ser 2006-3102, Cl FB | ||||||||
0.548%, 01/15/36 (B) | 504 | 505 | ||||||
FHLMC CMO, Ser 2006-3137, Cl XP | ||||||||
6.000%, 04/15/36 | 914 | 1,032 | ||||||
FHLMC CMO, Ser 2006-3151, Cl PO, PO | ||||||||
0.000%, 05/15/36 | 513 | 486 | ||||||
FHLMC CMO, Ser 2006-3153, Cl EO, PO | ||||||||
0.000%, 05/15/36 | 827 | 739 | ||||||
FHLMC CMO, Ser 2006-3164, Cl MG | ||||||||
6.000%, 06/15/36 | 1,500 | 1,702 | ||||||
FHLMC CMO, Ser 2006-3189, Cl PC | ||||||||
6.000%, 08/15/35 | 2,000 | 2,207 | ||||||
FHLMC CMO, Ser 2006-3195, Cl PD | ||||||||
6.500%, 07/15/36 | 2,375 | 2,673 | ||||||
FHLMC CMO, Ser 2006-3200, Cl AY | ||||||||
5.500%, 08/15/36 | 1,000 | 1,130 | ||||||
FHLMC CMO, Ser 2006-3202, Cl HI, IO | ||||||||
6.402%, 08/15/36 (B) | 1,056 | 164 | ||||||
FHLMC CMO, Ser 2006-3217, Cl CX, IO | ||||||||
6.342%, 09/15/36 (B) | 767 | 110 | ||||||
FHLB CMO, Ser 2007-1067, Cl 1 | ||||||||
5.300%, 06/15/12 | 525 | 532 | ||||||
FHLMC CMO, Ser 2007-3262, Cl SG, IO | ||||||||
6.152%, 01/15/37 (B) | 1,125 | 163 | ||||||
FHLMC CMO, Ser 2007-3312, Cl BP | ||||||||
5.500%, 01/15/31 | 300 | 317 | ||||||
FHLMC CMO, Ser 2007-3316, PO | ||||||||
0.000%, 05/15/37 | 201 | 184 | ||||||
FHLMC CMO, Ser 2007-3316, Cl GD | ||||||||
5.500%, 06/15/35 | 2,000 | 2,183 | ||||||
FHLMC CMO, Ser 2007-3342, Cl VG | ||||||||
6.000%, 11/15/23 | 1,000 | 1,117 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 2007-3346, Cl FA | ||||||||
0.478%, 02/15/19 (B) | $ | 9,904 | $ | 9,947 | ||||
FHLMC CMO, Ser 2007-3373, Cl TO, PO | ||||||||
0.000%, 04/15/37 | 268 | 241 | ||||||
FHLMC CMO, Ser 2007-3383, Cl SA, IO | ||||||||
6.202%, 11/15/37 (B) | 1,034 | 165 | ||||||
FHLMC CMO, Ser 2007-3385, Cl SN, IO | ||||||||
5.752%, 11/15/37 (B) | 1,395 | 179 | ||||||
FHLMC CMO, Ser 2007-3387, Cl SA, IO | ||||||||
6.172%, 11/15/37 (B) | 757 | 96 | ||||||
FHLMC CMO, Ser 2007-76, Cl 2A | ||||||||
4.760%, 10/25/37 (B) | 1,323 | 1,360 | ||||||
FHLMC CMO, Ser 2008-3422, Cl SE | ||||||||
16.830%, 02/15/38 (B) | 187 | 224 | ||||||
FHLMC CMO, Ser 2008-3451, Cl SA, IO | ||||||||
5.802%, 05/15/38 (B) | 1,423 | 183 | ||||||
FHLMC CMO, Ser 2008-3455, Cl SE, IO | ||||||||
5.957%, 06/15/38 (B) | 2,972 | 379 | ||||||
FHLMC CMO, Ser 2008-3461, Cl LZ | ||||||||
6.000%, 06/15/38 | 613 | 702 | ||||||
FHLMC CMO, Ser 2009-3508, Cl PK | ||||||||
4.000%, 02/15/39 | 881 | 927 | ||||||
FHLMC CMO, Ser 2009-3510, Cl OD, PO | ||||||||
0.000%, 02/15/37 | 755 | 652 | ||||||
FHLMC CMO, Ser 2009-3515, Cl PIM15, IO | ||||||||
5.500%, 07/15/37 | 1,052 | 126 | ||||||
FHLMC CMO, Ser 2009-3523, Cl SD | ||||||||
18.981%, 06/15/36 (B) | 613 | 774 | ||||||
FHLMC CMO, Ser 2009-3529, Cl AG | ||||||||
6.500%, 04/15/39 | 7,496 | 8,453 | ||||||
FHLMC CMO, Ser 2009-3546, Cl A | ||||||||
6.123%, 02/15/39 (B) | 374 | 400 | ||||||
FHLMC CMO, Ser 2009-3598, Cl MA | ||||||||
4.500%, 11/15/38 | 1,998 | 2,108 | ||||||
FHLMC CMO, Ser 2009-3604, Cl PO, PO | ||||||||
0.000%, 05/15/36 | 722 | 632 | ||||||
FHLMC CMO, Ser 2009-3607, Cl AO, PO | ||||||||
0.000%, 04/15/36 | 700 | 636 | ||||||
FHLMC CMO, Ser 2009-3607, Cl BOPO, PO | ||||||||
0.000%, 04/15/36 | 500 | 454 | ||||||
FHLMC CMO, Ser 2009-3607, Cl TO, PO | ||||||||
0.000%, 10/15/39 | 702 | 622 |
40 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 2009-3608, Cl SC, IO | ||||||||
6.002%, 12/15/39 (B) | $ | 2,874 | $ | 385 | ||||
FHLMC CMO, Ser 2009-3611, Cl PO, PO | ||||||||
0.000%, 07/15/34 | 558 | 509 | ||||||
FHLMC CMO, Ser 2009-3613, Cl HJ | ||||||||
5.500%, 12/15/39 | 11,777 | 12,973 | ||||||
FHLMC CMO, Ser 2010-3621, Cl BO, PO | ||||||||
0.000%, 01/15/40 | 630 | 581 | ||||||
FHLMC CMO, Ser 2010-3622, Cl WA | ||||||||
5.500%, 09/15/39 | 4,247 | 4,661 | ||||||
FHLMC CMO, Ser 2010-3626, Cl MA | ||||||||
5.000%, 02/15/30 | 10,685 | 11,147 | ||||||
FHLMC CMO, Ser 2010-3631, Cl PA | ||||||||
4.000%, 02/15/40 | 4,021 | 4,270 | ||||||
FHLMC CMO, Ser 2010-3632, Cl BS | ||||||||
16.674%, 02/15/40 (B) | 400 | 631 | ||||||
FHLMC CMO, Ser 2010-3659, Cl VE | ||||||||
5.000%, 03/15/26 | 3,728 | 4,178 | ||||||
FHLMC CMO, Ser 2010-3680, Cl MA | ||||||||
4.500%, 07/15/39 | 1,839 | 1,990 | ||||||
FHLMC CMO, Ser 2010-3688, Cl NI, IO | ||||||||
5.000%, 04/15/32 | 2,391 | 279 | ||||||
FHLMC CMO, Ser 2010-3704, Cl CT | ||||||||
7.000%, 12/15/36 | 2,520 | 2,961 | ||||||
FHLMC CMO, Ser 2010-3704, Cl DT | ||||||||
7.500%, 11/15/36 | 837 | 989 | ||||||
FHLMC CMO, Ser 2010-3714, Cl IP, IO | ||||||||
5.000%, 08/15/40 | 1,854 | 319 | ||||||
FHLMC CMO, Ser 2010-3739, Cl LI, IO | ||||||||
4.000%, 03/15/34 | 2,296 | 189 | ||||||
FHLMC CMO, Ser 2010-3740, Cl SC, IO | ||||||||
5.752%, 10/15/40 (B) | 1,893 | 336 | ||||||
FHLMC CMO, Ser 2010-3756, Cl IP, IO | ||||||||
4.000%, 08/15/35 | 2,786 | 208 | ||||||
FHLMC CMO, Ser 2010-3759, Cl HI, IO | ||||||||
4.000%, 08/15/37 | 2,358 | 309 | ||||||
FHLMC CMO, Ser 2010-3760, Cl GI, IO | ||||||||
4.000%, 10/15/37 | 1,881 | 274 | ||||||
FHLMC CMO, Ser 2011-3800, Cl AI, IO | ||||||||
4.000%, 11/15/29 | 2,826 | 349 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 2011-3802, Cl LS, IO | ||||||||
4.572%, 01/15/40 (B) | $ | 4,214 | $ | 222 | ||||
FHLMC CMO, Ser 2011-3819, Cl ZQ | ||||||||
6.000%, 04/15/36 | 1,041 | 1,216 | ||||||
FHLMC CMO, Ser 2011-3852, Cl QN | ||||||||
5.500%, 05/15/41 (B) | 689 | 743 | ||||||
FHLMC CMO, Ser 2011-3895, Cl WA | ||||||||
5.697%, 10/15/38 (B) | 894 | 980 | ||||||
FHLMC-GNMA CMO, Ser 1993-21, Cl L | ||||||||
6.250%, 10/25/23 | 720 | 759 | ||||||
FHLMC Multifamily Structured | ||||||||
1.456%, 04/25/21 (B) | 6,120 | 517 | ||||||
FHLMC Multifamily Structured | ||||||||
1.732%, 02/25/18 (B) | 28,316 | 2,141 | ||||||
FHLMC Multifamily Structured | ||||||||
2.259%, 05/25/18 (B) | 8,708 | 918 | ||||||
FHLMC Multifamily Structured | ||||||||
2.011%, 08/25/18 (B) | 3,290 | 348 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser 2009-K003, Cl AAB | ||||||||
4.768%, 05/25/18 | 2,824 | 3,141 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser 2010-K005, Cl A2 | ||||||||
4.317%, 11/25/19 | 2,596 | 2,863 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K006, Cl AX1, IO | ||||||||
1.227%, 01/25/20 (B) | 18,928 | 1,190 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K007, Cl X1, IO | ||||||||
1.410%, 04/25/20 (B) | 5,470 | 385 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K008, Cl X1, IO | ||||||||
1.840%, 06/25/20 (B) | 5,701 | 567 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, | ||||||||
1.682%, 08/25/20 (B) | 6,345 | 543 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 41 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K015, IO | ||||||||
1.682%, 07/25/21 | $ | 6,970 | $ | 787 | ||||
FHLMC Reference REMIC CMO, Ser 2006-R007, Cl ZA | ||||||||
6.000%, 05/15/36 | 1,251 | 1,470 | ||||||
FHLMC STRIPS CMO, Ser 1998-197, Cl PO, PO | ||||||||
0.000%, 04/01/28 | 643 | 573 | ||||||
FHLMC STRIPS CMO, | ||||||||
7.452%, 08/15/36 (B) | 3,206 | 507 | ||||||
FHLMC STRIPS CMO, | ||||||||
4.500%, 07/15/37 | 4,141 | 462 | ||||||
FHLMC TBA | ||||||||
5.500%, 01/01/41 | 8,700 | 9,376 | ||||||
4.500%, 12/01/34 | 1,700 | 1,790 | ||||||
4.000%, 01/15/41 | 13,500 | 14,013 | ||||||
3.500%, 12/01/25 to 01/01/41 | 29,300 | 30,041 | ||||||
3.000%, 12/15/26 to 02/15/27 | 23,700 | 24,138 | ||||||
2.400%, 12/15/41 | 4,599 | 4,708 | ||||||
FNMA | ||||||||
8.000%, 04/01/15 to 11/01/37 | 1,034 | 1,189 | ||||||
7.500%, 06/01/30 to 04/01/39 | 3,182 | 3,714 | ||||||
7.000%, 12/01/15 to 01/01/39 | 5,424 | 6,159 | ||||||
6.500%, 05/01/17 to 06/01/40 | 40,163 | 45,069 | ||||||
6.000%, 03/01/19 to 11/01/48 | 176,831 | 194,450 | ||||||
5.500%, 04/01/14 to 07/01/41 | 106,982 | 116,517 | ||||||
5.000%, 02/01/20 to 09/01/41 | 244,294 | 264,047 | ||||||
4.640%, 01/01/21 | 992 | 1,109 | ||||||
4.540%, 01/01/20 | 1,466 | 1,628 | ||||||
4.530%, 12/01/19 | 3,984 | 4,433 | ||||||
4.500%, 07/01/20 to 11/01/41 | 55,657 | 59,381 | ||||||
4.399%, 02/01/20 | 6,000 | 6,635 | ||||||
4.390%, 05/01/21 | 1,000 | 1,103 | ||||||
4.380%, 04/01/21 | 2,000 | 2,205 | ||||||
4.369%, 02/01/20 | 1,967 | 2,174 | ||||||
4.368%, 04/01/20 | 2,211 | 2,446 | ||||||
4.340%, 06/01/21 | 1,000 | 1,099 | ||||||
4.303%, 07/01/21 | 5,794 | 6,396 | ||||||
4.300%, 04/01/21 | 1,200 | 1,317 | ||||||
4.260%, 07/01/21 | 1,000 | 1,095 | ||||||
4.250%, 04/01/21 | 3,000 | 3,281 | ||||||
4.240%, 11/01/19 to 06/01/21 | 2,948 | 3,222 | ||||||
4.120%, 04/01/20 | 1,179 | 1,280 | ||||||
4.066%, 07/01/20 | 2,500 | 2,687 | ||||||
4.060%, 07/01/21 | 1,000 | 1,082 | ||||||
4.050%, 01/01/21 | 1,430 | 1,545 | ||||||
4.000%, 04/01/19 to 11/01/41 | 67,837 | 71,155 | ||||||
3.930%, 01/01/21 | 1,000 | 1,075 | ||||||
3.800%, 03/01/18 | 1,982 | 2,131 | ||||||
3.740%, 07/01/20 | 1,402 | 1,490 | ||||||
3.630%, 01/01/18 | 2,000 | 2,131 | ||||||
3.590%, 12/01/20 | 986 | 1,038 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
3.520%, 01/01/18 | $ | 3,000 | $ | 3,186 | ||||
3.505%, 09/01/20 | 4,911 | 5,144 | ||||||
3.500%, 02/01/26 to 11/01/41 | 62,436 | 64,459 | ||||||
3.430%, 10/01/20 | 1,973 | 2,056 | ||||||
3.380%, 01/01/18 | 1,500 | 1,581 | ||||||
3.290%, 10/01/20 | 1,000 | 1,034 | ||||||
3.230%, 11/01/20 | 1,500 | 1,544 | ||||||
2.970%, 11/01/18 | 1,476 | 1,518 | ||||||
2.690%, 10/01/17 | 1,500 | 1,541 | ||||||
FNMA ARM (B) | ||||||||
6.521%, 01/01/37 | 721 | 770 | ||||||
6.335%, 02/01/37 | 467 | 487 | ||||||
6.317%, 10/01/36 | 336 | 365 | ||||||
6.277%, 09/01/37 | 4,906 | 5,385 | ||||||
6.220%, 10/01/36 | 434 | 457 | ||||||
6.200%, 08/01/36 | 306 | 333 | ||||||
6.171%, 09/01/36 | 993 | 1,074 | ||||||
6.124%, 12/01/36 | 538 | 582 | ||||||
6.092%, 11/01/37 | 566 | 615 | ||||||
6.089%, 08/01/36 | 412 | 436 | ||||||
6.075%, 07/01/37 | 326 | 347 | ||||||
6.049%, 10/01/37 | 685 | 743 | ||||||
6.043%, 07/01/37 | 465 | 505 | ||||||
6.034%, 09/01/37 | 633 | 677 | ||||||
6.032%, 09/01/37 | 271 | 294 | ||||||
6.028%, 01/01/37 | 629 | 680 | ||||||
5.986%, 09/01/37 | 87 | 93 | ||||||
5.977%, 04/01/37 | 855 | 925 | ||||||
5.968%, 07/01/36 | 529 | 560 | ||||||
5.957%, 01/01/37 | 1,136 | 1,228 | ||||||
5.929%, 03/01/37 | 708 | 765 | ||||||
5.922%, 10/01/36 to 04/01/37 | 1,001 | 1,062 | ||||||
5.918%, 06/01/36 | 555 | 587 | ||||||
5.915%, 07/01/37 | 868 | 939 | ||||||
5.900%, 10/01/36 | 1,618 | 1,718 | ||||||
5.879%, 09/01/37 | 405 | 443 | ||||||
5.878%, 02/01/37 | 625 | 677 | ||||||
5.841%, 03/01/37 | 5,283 | 5,708 | ||||||
5.745%, 02/01/37 | 740 | 779 | ||||||
5.744%, 10/01/37 | 444 | 481 | ||||||
5.734%, 12/01/36 | 1,252 | 1,304 | ||||||
5.705%, 05/01/37 | 2,098 | 2,229 | ||||||
5.661%, 11/01/36 | 762 | 811 | ||||||
5.629%, 01/01/23 | 818 | 889 | ||||||
5.563%, 06/01/36 | 1,192 | 1,267 | ||||||
5.500%, 07/01/37 | 283 | 301 | ||||||
5.484%, 02/01/39 | 1,266 | 1,367 | ||||||
5.366%, 11/01/37 | 457 | 484 | ||||||
5.083%, 11/01/36 | 621 | 659 | ||||||
4.406%, 07/01/37 | 956 | 1,012 | ||||||
3.741%, 11/01/37 | 832 | 880 | ||||||
2.599%, 05/01/36 | 323 | 342 | ||||||
2.570%, 06/01/36 | 1,071 | 1,138 | ||||||
2.370%, 09/01/36 | 279 | 295 | ||||||
1.899%, 09/01/36 | 351 | 368 |
42 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 1991-113, Cl ZE | ||||||||
7.500%, 09/25/21 | $ | 218 | $ | 248 | ||||
FNMA CMO, Ser 1992-143, Cl M | ||||||||
8.000%, 09/25/22 | 705 | 818 | ||||||
FNMA CMO, Ser 1992-41, Cl MA | ||||||||
8.000%, 08/25/22 | 798 | 899 | ||||||
FNMA CMO, Ser 1992-69, Cl Z | ||||||||
8.000%, 05/25/22 | 553 | 657 | ||||||
FNMA CMO, Ser 1993-149, Cl SH | ||||||||
11.500%, 08/25/23 (B) | 248 | 285 | ||||||
FNMA CMO, Ser 1993-75, Cl ZQ | ||||||||
6.500%, 05/25/23 | 1,086 | 1,202 | ||||||
FNMA CMO, Ser 1993-99, Cl Z | ||||||||
7.000%, 07/25/23 | 1,310 | 1,486 | ||||||
FNMA CMO, Ser 1994-31, Cl ZC | ||||||||
6.500%, 02/25/24 | 897 | 1,021 | ||||||
FNMA CMO, Ser 1994-63, Cl PK | ||||||||
7.000%, 04/25/24 | 823 | 936 | ||||||
FNMA CMO, Ser 1997-32, Cl PG | ||||||||
6.500%, 04/25/27 | 623 | 727 | ||||||
FNMA CMO, Ser 1999-11, Cl Z | ||||||||
5.500%, 03/25/29 | 1,100 | 1,205 | ||||||
FNMA CMO, Ser 2000-18, Cl EC, PO | ||||||||
0.000%, 10/25/23 | 249 | 230 | ||||||
FNMA CMO, Ser 2001-50, Cl BA | ||||||||
7.000%, 10/25/41 | 683 | 794 | ||||||
FNMA CMO, Ser 2001-71, Cl QE | ||||||||
6.000%, 12/25/16 | 970 | 1,038 | ||||||
FNMA CMO, Ser 2001-79, Cl BA | ||||||||
7.000%, 03/25/45 | 511 | 587 | ||||||
FNMA CMO, Ser 2002-10, Cl SB | ||||||||
18.583%, 03/25/17 (B) | 113 | 136 | ||||||
FNMA CMO, Ser 2002-33, Cl A2 | ||||||||
7.500%, 06/25/32 | 654 | 745 | ||||||
FNMA CMO, Ser 2002-81, Cl JO, PO | ||||||||
0.000%, 04/25/32 | 197 | 191 | ||||||
FNMA CMO, Ser 2002-90, Cl A1 | ||||||||
6.500%, 06/25/42 | 774 | 896 | ||||||
FNMA CMO, Ser 2002-95, Cl DB | ||||||||
6.000%, 01/25/33 | 2,628 | 3,003 | ||||||
FNMA CMO, Ser 2003-129, Cl ME | ||||||||
5.000%, 08/25/23 | 1,000 | 1,073 | ||||||
FNMA CMO, Ser 2003-131, Cl SK | ||||||||
15.686%, 01/25/34 (B) | 618 | 765 | ||||||
FNMA CMO, Ser 2003-17, Cl EQ | ||||||||
5.500%, 03/25/23 | 2,000 | 2,286 | ||||||
FNMA CMO, Ser 2003-23, Cl EQ | ||||||||
5.500%, 04/25/23 | 2,000 | 2,277 | ||||||
FNMA CMO, Ser 2003-23, Cl PG | ||||||||
5.500%, 01/25/32 | 738 | 762 | ||||||
FNMA CMO, Ser 2003-23, Cl Q0, PO | ||||||||
0.000%, 01/25/32 | 340 | 331 | ||||||
FNMA CMO, Ser 2003-24, Cl MV | ||||||||
5.500%, 02/25/14 | 747 | 784 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2003-30, Cl HS, IO | ||||||||
7.405%, 07/25/17 (B) | $ | 588 | $ | 27 | ||||
FNMA CMO, Ser 2003-35, Cl EA, PO | ||||||||
0.000%, 05/25/33 | 484 | 429 | ||||||
FNMA CMO, Ser 2003-49, Cl YD | ||||||||
5.500%, 06/25/23 | 904 | 990 | ||||||
FNMA CMO, Ser 2003-56, Cl AZ | ||||||||
5.500%, 08/25/31 | 1,054 | 1,088 | ||||||
FNMA CMO, Ser 2004-101, Cl HD | ||||||||
5.000%, 01/25/20 | 2,500 | 2,768 | ||||||
FNMA CMO, Ser 2004-17, Cl H | ||||||||
5.500%, 04/25/34 | 1,086 | 1,166 | ||||||
FNMA CMO, Ser 2004-46, Cl EP, PO | ||||||||
0.000%, 03/25/34 | 641 | 599 | ||||||
FNMA CMO, Ser 2004-52, Cl PX, PO | ||||||||
0.000%, 09/25/32 | 225 | 216 | ||||||
FNMA CMO, Ser 2004-61, Cl BO, PO | ||||||||
0.000%, 10/25/32 | 615 | 570 | ||||||
FNMA CMO, Ser 2004-61, Cl CO, PO | ||||||||
0.000%, 10/25/31 | 96 | 95 | ||||||
FNMA CMO, Ser 2005-100, Cl BQ | ||||||||
5.500%, 11/25/25 | 1,500 | 1,671 | ||||||
FNMA CMO, Ser 2005-106, Cl US | ||||||||
23.624%, 11/25/35 (B) | 1,019 | 1,489 | ||||||
FNMA CMO, Ser 2005-118, Cl PN | ||||||||
6.000%, 01/25/32 | 2,000 | 2,107 | ||||||
FNMA CMO, Ser 2005-123, Cl FG | ||||||||
0.707%, 07/25/34 (B) | 308 | 307 | ||||||
FNMA CMO, Ser 2005-14, Cl BA | ||||||||
4.500%, 04/25/19 | 737 | 757 | ||||||
FNMA CMO, Ser 2005-14, Cl BD | ||||||||
4.500%, 03/25/20 | 1,250 | 1,342 | ||||||
FNMA CMO, Ser 2005-45, Cl BG | ||||||||
4.500%, 06/25/25 | 174 | 178 | ||||||
FNMA CMO, Ser 2005-5, Cl PA | ||||||||
5.000%, 01/25/35 | 1,380 | 1,526 | ||||||
FNMA CMO, Ser 2005-64, Cl PL | ||||||||
5.500%, 07/25/35 | 1,538 | 1,751 | ||||||
FNMA CMO, Ser 2005-72, Cl SB | ||||||||
16.232%, 08/25/35 (B) | 567 | 672 | ||||||
FNMA CMO, Ser 2005-74, Cl CS | ||||||||
19.313%, 05/25/35 (B) | 536 | 707 | ||||||
FNMA CMO, Ser 2005-74, Cl SK | ||||||||
19.423%, 05/25/35 (B) | 410 | 543 | ||||||
FNMA CMO, Ser 2005-90, Cl ES | ||||||||
16.232%, 10/25/35 (B) | 388 | 469 | ||||||
FNMA CMO, Ser 2005-90, Cl PO, PO | ||||||||
0.000%, 09/25/35 | 348 | 323 | ||||||
FNMA CMO, Ser 2005-97, Cl HC | ||||||||
5.000%, 02/25/32 | 1,750 | 1,859 | ||||||
FNMA CMO, Ser 2006-117, Cl GS, IO | ||||||||
6.393%, 12/25/36 (B) | 833 | 136 | ||||||
FNMA CMO, Ser 2006-118, Cl A2 | ||||||||
0.315%, 12/25/36 (B) | 919 | 881 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 43 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2006-15, Cl OP, PO | ||||||||
0.000%, 03/25/36 | $ | 434 | $ | 370 | ||||
FNMA CMO, Ser 2006-23, Cl FK | ||||||||
0.507%, 04/25/36 (B) | 463 | 464 | ||||||
FNMA CMO, Ser 2006-27, Cl OH, PO | ||||||||
0.000%, 04/25/36 | 517 | 474 | ||||||
FNMA CMO, Ser 2006-3, Cl D0, PO | ||||||||
0.000%, 03/25/36 | 552 | 494 | ||||||
FNMA CMO, Ser 2006-33, Cl LS | ||||||||
28.993%, 05/25/36 (B) | 384 | 619 | ||||||
FNMA CMO, Ser 2006-43, Cl VB | ||||||||
6.500%, 10/25/17 | 604 | 626 | ||||||
FNMA CMO, Ser 2006-44, Cl FP | ||||||||
0.657%, 06/25/36 (B) | 620 | 622 | ||||||
FNMA CMO, Ser 2006-44, Cl P, PO | ||||||||
0.000%, 12/25/33 | 362 | 337 | ||||||
FNMA CMO, Ser 2006-46, Cl SW | ||||||||
23.256%, 06/25/36 (B) | 498 | 692 | ||||||
FNMA CMO, Ser 2006-56, Cl CA | ||||||||
6.000%, 07/25/36 | 687 | 768 | ||||||
FNMA CMO, Ser 2006-56, Cl FC | ||||||||
0.547%, 07/25/36 (B) | 646 | 647 | ||||||
FNMA CMO, Ser 2006-56, Cl OA, PO | ||||||||
0.000%, 10/25/24 | 1,000 | 969 | ||||||
FNMA CMO, Ser 2006-56, Cl PF | ||||||||
0.607%, 07/25/36 (B) | 808 | 811 | ||||||
FNMA CMO, Ser 2006-59, Cl CO, PO | ||||||||
0.000%, 08/25/35 | 31 | 31 | ||||||
FNMA CMO, Ser 2006-60, Cl DO, PO | ||||||||
0.000%, 04/25/35 | 598 | 543 | ||||||
FNMA CMO, Ser 2006-60, Cl UO, PO | ||||||||
0.000%, 07/25/36 | 979 | 851 | ||||||
FNMA CMO, Ser 2006-63, Cl ZH | ||||||||
6.500%, 07/25/36 | 923 | 1,097 | ||||||
FNMA CMO, Ser 2006-75, Cl VD | ||||||||
6.500%, 05/25/17 | 1,175 | 1,197 | ||||||
FNMA CMO, Ser 2006-78, Cl BZ | ||||||||
6.500%, 08/25/36 | 707 | 831 | ||||||
FNMA CMO, Ser 2006-90, Cl BE | ||||||||
6.000%, 04/25/35 | 2,000 | 2,239 | ||||||
FNMA CMO, Ser 2006-94, Cl GI, IO | ||||||||
6.393%, 10/25/26 (B) | 1,529 | 222 | ||||||
FNMA CMO, Ser 2007-100, Cl SM, IO | ||||||||
6.193%, 10/25/37 (B) | 2,454 | 375 | ||||||
FNMA CMO, Ser 2007-101, Cl A2 | ||||||||
0.507%, 06/27/36 (B) | 2,212 | 2,188 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2007-112, Cl SA, IO | ||||||||
6.193%, 12/25/37 (B) | $ | 1,552 | $ | 255 | ||||
FNMA CMO, Ser 2007-114, Cl A6 | ||||||||
0.457%, 10/27/37 (B) | 1,600 | 1,590 | ||||||
FNMA CMO, Ser 2007-116, Cl HI, IO | ||||||||
6.371%, 01/25/38 (B) | 1,811 | 123 | ||||||
FNMA CMO, Ser 2007-116, Cl PB | ||||||||
5.500%, 08/25/35 | 4,567 | 5,258 | ||||||
FNMA CMO, Ser 2007-29, Cl SG | ||||||||
21.809%, 04/25/37 (B) | 347 | 468 | ||||||
FNMA CMO, Ser 2007-43, Cl FL | ||||||||
0.557%, 05/25/37 (B) | 373 | 374 | ||||||
FNMA CMO, Ser 2007-53, Cl SH, IO | ||||||||
5.855%, 06/25/37 (B) | 1,731 | 245 | ||||||
FNMA CMO, Ser 2007-54, Cl FA | ||||||||
0.657%, 06/25/37 (B) | 1,366 | 1,370 | ||||||
FNMA CMO, Ser 2007-60, Cl AX, IO | ||||||||
6.893%, 07/25/37 (B) | 2,336 | 365 | ||||||
FNMA CMO, Ser 2007-65, Cl KI, IO | ||||||||
6.363%, 07/25/37 (B) | 2,193 | 343 | ||||||
FNMA CMO, Ser 2007-72, Cl EK, IO | ||||||||
6.143%, 07/25/37 (B) | 2,259 | 330 | ||||||
FNMA CMO, Ser 2007-75, Cl EO, PO | ||||||||
0.000%, 01/25/36 | 696 | 652 | ||||||
FNMA CMO, Ser 2007-79, Cl SB | ||||||||
23.074%, 08/25/37 (B) | 188 | 263 | ||||||
FNMA CMO, Ser 2007-85, Cl SG | ||||||||
15.607%, 09/25/37 (B) | 618 | 726 | ||||||
FNMA CMO, Ser 2007-92, Cl YS, IO | ||||||||
5.535%, 06/25/37 (B) | 1,821 | 249 | ||||||
FNMA CMO, Ser 2008-1, Cl BI, IO | ||||||||
5.665%, 02/25/38 (B) | 2,126 | 279 | ||||||
FNMA CMO, Ser 2008-20, Cl SA, IO | ||||||||
6.733%, 03/25/38 (B) | 1,163 | 186 | ||||||
FNMA CMO, Ser 2008-22, Cl IO, IO | ||||||||
6.185%, 03/25/37 (B) | 17,636 | 2,236 | ||||||
FNMA CMO, Ser 2008-24, Cl DY | ||||||||
5.000%, 04/25/23 | 1,500 | 1,671 | ||||||
FNMA CMO, Ser 2008-24, Cl PF | ||||||||
0.907%, 02/25/38 (B) | 660 | 669 | ||||||
FNMA CMO, Ser 2008-32, Cl SA, IO | ||||||||
6.605%, 04/25/38 (B) | 971 | 125 | ||||||
FNMA CMO, Ser 2008-35, Cl IM, IO | ||||||||
0.642%, 10/25/16 (B) | 1,877 | 24 | ||||||
FNMA CMO, Ser 2008-4, Cl SD, IO | ||||||||
5.743%, 02/25/38 (B) | 3,437 | 464 | ||||||
FNMA CMO, Ser 2008-53, Cl CA | ||||||||
5.000%, 07/25/23 | 3,500 | 3,859 | ||||||
FNMA CMO, Ser 2008-95, Cl BA | ||||||||
5.000%, 01/25/24 | 643 | 739 | ||||||
FNMA CMO, Ser 2009-103, Cl MB | ||||||||
3.259%, 12/25/39 (B) | 879 | 934 |
44 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2009-105, Cl CB | ||||||||
6.000%, 12/25/39 | $ | 5,359 | $ | 5,979 | ||||
FNMA CMO, Ser 2009-11, Cl LC | ||||||||
4.500%, 03/25/49 | 3,312 | 3,534 | ||||||
FNMA CMO, Ser 2009-17, Cl QS, IO | ||||||||
6.393%, 03/25/39 (B) | 1,144 | 191 | ||||||
FNMA CMO, Ser 2009-30, Cl AD | ||||||||
6.500%, 04/25/39 | 4,328 | 4,752 | ||||||
FNMA CMO, Ser 2009-30, Cl AG | ||||||||
6.500%, 05/25/39 | 7,406 | 8,347 | ||||||
FNMA CMO, Ser 2009-52, Cl PI, IO | ||||||||
5.000%, 07/25/39 | 1,335 | 200 | ||||||
FNMA CMO, Ser 2009-66, Cl KE | ||||||||
4.000%, 09/25/39 | 5,320 | 5,620 | ||||||
FNMA CMO, Ser 2009-70, Cl CO, PO | ||||||||
0.000%, 01/25/37 | 1,818 | 1,600 | ||||||
FNMA CMO, Ser 2009-78, Cl J | ||||||||
5.000%, 09/25/19 | 3,276 | 3,547 | ||||||
FNMA CMO, Ser 2009-84, Cl WS, IO | ||||||||
5.643%, 10/25/39 (B) | 1,429 | 180 | ||||||
FNMA CMO, Ser 2009-86, Cl BO, PO | ||||||||
0.000%, 03/25/37 | 9,970 | 9,273 | ||||||
FNMA CMO, Ser 2009-86, Cl IP, IO | ||||||||
5.500%, 10/25/39 | 1,084 | 146 | ||||||
FNMA CMO, Ser 2009-86, Cl OT, PO | ||||||||
0.000%, 10/25/37 | 1,225 | 1,075 | ||||||
FNMA CMO, Ser 2009-86, Cl UI, IO | ||||||||
4.000%, 10/25/14 | 2,352 | 164 | ||||||
FNMA CMO, Ser 2009-93, Cl PD | ||||||||
4.500%, 09/25/39 | 1,692 | 1,810 | ||||||
FNMA CMO, Ser 2009-99, Cl SC, IO | ||||||||
5.923%, 12/25/39 (B) | 1,524 | 179 | ||||||
FNMA CMO, Ser 2009-M1, Cl A2 | ||||||||
4.287%, 07/25/19 | 3,931 | 4,376 | ||||||
FNMA CMO, Ser 2009-M2, Cl A3 | ||||||||
4.001%, 01/25/19 | 4,202 | 4,546 | ||||||
FNMA CMO, Ser 2010-1, Cl WA | ||||||||
6.150%, 02/25/40 (B) | 703 | 794 | ||||||
FNMA CMO, Ser 2010-111, Cl AE | ||||||||
5.500%, 04/25/38 | 3,007 | 3,201 | ||||||
FNMA CMO, Ser 2010-118, IO | ||||||||
6.243%, 10/25/40 (B) | 3,942 | 589 | ||||||
FNMA CMO, Ser 2010-123, Cl PM | ||||||||
4.000%, 07/25/40 | 3,600 | 3,815 | ||||||
FNMA CMO, Ser 2010-133, Cl A | ||||||||
5.500%, 05/25/38 | 1,816 | 1,934 | ||||||
FNMA CMO, Ser 2010-135, Cl LM | ||||||||
4.000%, 12/25/40 | 542 | 573 | ||||||
FNMA CMO, Ser 2010-148, Cl MA | ||||||||
4.000%, 02/25/39 | 1,407 | 1,502 | ||||||
FNMA CMO, Ser 2010-16, Cl WA | ||||||||
6.428%, 03/25/40 (B) | 768 | 878 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2010-23, Cl KS, IO | ||||||||
6.843%, 02/25/40 (B) | $ | 1,783 | $ | 246 | ||||
FNMA CMO, Ser 2010-35, Cl SB, IO | ||||||||
6.163%, 04/25/40 (B) | 2,059 | 238 | ||||||
FNMA CMO, Ser 2010-39, Cl OT, PO | ||||||||
0.000%, 10/25/35 | 644 | 572 | ||||||
FNMA CMO, Ser 2010-43, Cl HJ | ||||||||
5.500%, 05/25/40 | 11,586 | 13,044 | ||||||
FNMA CMO, Ser 2010-45, Cl BD | ||||||||
4.500%, 11/25/38 | 1,000 | 1,089 | ||||||
FNMA CMO, Ser 2010-54, Cl EA | ||||||||
4.500%, 06/25/40 | 4,965 | 5,312 | ||||||
FNMA CMO, Ser 2010-64, Cl DM | ||||||||
5.000%, 06/25/40 | 1,572 | 1,719 | ||||||
FNMA CMO, Ser 2010-68, Cl SA, IO | ||||||||
4.743%, 07/25/40 (B) | 3,626 | 447 | ||||||
FNMA CMO, Ser 2010-M1, Cl A2 | ||||||||
4.450%, 09/25/19 | 1,374 | 1,543 | ||||||
FNMA CMO, Ser 2010-M3, Cl A3 | ||||||||
4.332%, 03/25/20 (B) | 8,896 | 9,948 | ||||||
FNMA CMO, Ser 2011-2, Cl WA | ||||||||
5.716%, 02/25/51 (B) | 1,488 | 1,656 | ||||||
FNMA CMO, Ser 2011-30, Cl LS, IO | ||||||||
4.754%, 04/25/41 (B) | 4,030 | 308 | ||||||
FNMA CMO, Ser 2011-43, Cl WA | ||||||||
5.899%, 05/25/51 (B) | 1,804 | 1,949 | ||||||
FNMA CMO, Ser 2011-53, Cl DT | ||||||||
4.500%, 06/25/41 | 4,700 | 4,974 | ||||||
FNMA CMO, Ser 2011-53, Cl TN | ||||||||
4.000%, 06/25/41 | 11,351 | 11,870 | ||||||
FNMA CMO, Ser 2011-63, IO | ||||||||
6.423%, 07/25/41 (B) | 4,906 | 799 | ||||||
FNMA CMO, Ser 2011-75, Cl FA | ||||||||
0.807%, 08/25/41 (B) | 883 | 891 | ||||||
FNMA CMO, Ser 2011-78, Cl D | ||||||||
4.000%, 08/25/41 | 1,076 | 1,147 | ||||||
FNMA CMO, Ser 2011-96, IO | ||||||||
6.293%, 10/25/41 (B) | 8,090 | 1,565 | ||||||
FNMA CMO, Ser 2011-M1, Cl A3 | ||||||||
3.763%, 06/25/21 | 1,500 | 1,609 | ||||||
FNMA CMO, Ser 2011-M2, Cl A3 | ||||||||
3.764%, 07/25/21 | 7,500 | 7,874 | ||||||
FNMA CMO, Ser 2011-M4, Cl A2 | ||||||||
3.726%, 06/25/21 | 2,500 | 2,677 | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.500%, 06/25/30 | 1,018 | 1,194 | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.500%, 12/25/41 | 2,032 | 2,376 | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.000%, 07/25/42 | 667 | 758 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 45 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.000%, 02/25/44 | $ | 833 | $ | 966 | ||||
FNMA Interest STRIPS CMO, | ||||||||
0.000%, 12/01/24 | 612 | 566 | ||||||
FNMA Interest STRIPS CMO, | ||||||||
0.000%, 09/01/24 | 393 | 363 | ||||||
FNMA Interest STRIPS CMO, Ser 2002-323, Cl 16, IO | ||||||||
7.000%, 01/25/32 | 772 | 135 | ||||||
FNMA Interest STRIPS CMO, | ||||||||
6.500%, 02/01/33 | 1,257 | 266 | ||||||
FNMA TBA | ||||||||
6.000%, 12/01/37 to 01/01/38 | 58,300 | 63,860 | ||||||
5.500%, 01/01/38 | 47,700 | 51,702 | ||||||
5.000%, 01/01/38 to 02/01/38 | (8,700 | ) | (9,293 | ) | ||||
4.500%, 01/01/38 | 32,280 | 34,081 | ||||||
4.000%, 11/15/34 | 30,700 | 31,923 | ||||||
3.500%, 12/25/31 to 01/01/41 | 31,400 | 32,081 | ||||||
3.000%, 01/25/26 to 01/25/27 | 54,025 | 55,218 | ||||||
2.500%, 01/01/26 | 3,600 | 3,600 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.162%, 12/25/42 (B) | 961 | 1,129 | ||||||
FNMA Whole Loan CMO, Ser 2003-W17, Cl 1A7 | ||||||||
5.750%, 08/25/33 | 917 | 1,037 | ||||||
FNMA Whole Loan CMO, | ||||||||
5.900%, 07/25/42 | 1,378 | 1,554 | ||||||
FNMA Whole Loan CMO, | ||||||||
6.500%, 09/25/42 | 578 | 663 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.000%, 10/25/42 | 466 | 542 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.000%, 12/25/33 | 878 | 1,012 | ||||||
FNMA Whole Loan CMO, | ||||||||
5.750%, 08/25/34 | 2,000 | 2,191 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.000%, 02/25/44 | 1,002 | 1,185 | ||||||
FNMA Whole Loan CMO, | ||||||||
6.500%, 02/25/44 | 720 | 796 | ||||||
FNMA Whole Loan CMO, | ||||||||
0.477%, 03/25/45 (B) | 2,618 | 2,625 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA Whole Loan CMO, | ||||||||
7.500%, 12/25/45 | $ | 350 | $ | 414 | ||||
FNMA Whole Loan CMO, | ||||||||
0.477%, 02/25/36 (B) | 624 | 626 | ||||||
FNMA Whole Loan CMO, | ||||||||
0.517%, 11/25/46 (B) | 1,386 | 1,394 | ||||||
FNMA Whole Loan CMO, | ||||||||
37.637%, 07/25/37 (B) | 79 | 142 | ||||||
FNMA Whole Loan CMO, | ||||||||
6.000%, 12/25/49 | 1,959 | 2,176 | ||||||
GNMA | ||||||||
9.500%, 12/15/20 | 8 | 9 | ||||||
7.500%, 10/15/37 to 09/20/38 | 1,316 | 1,537 | ||||||
7.000%, 04/15/26 to 06/15/35 | 4,067 | 4,676 | ||||||
6.500%, 01/15/24 to 02/15/39 | 7,582 | 8,707 | ||||||
6.000%, 12/15/23 to 10/20/40 | 26,553 | 30,000 | ||||||
5.000%, 07/20/40 to 11/20/40 | 7,159 | 7,901 | ||||||
4.500%, 11/20/40 to 04/20/41 | 32,408 | 35,232 | ||||||
3.500%, 12/20/40 to 03/20/41 | 3,972 | 4,115 | ||||||
GNMA ARM (B) | ||||||||
3.500%, 05/20/41 to 10/20/41 | 16,555 | 17,480 | ||||||
3.000%, 07/20/41 to 11/20/41 | 9,210 | 9,653 | ||||||
1.540%, 01/20/60 | 1,475 | 1,503 | ||||||
GNMA CMO, Ser 2001-18, Cl WH | ||||||||
31.478%, 04/20/31 (B) | 112 | 204 | ||||||
GNMA CMO, Ser 2001-22, Cl PS | ||||||||
20.354%, 03/17/31 (B) | 819 | 1,158 | ||||||
GNMA CMO, Ser 2001-61, Cl Z | ||||||||
6.500%, 12/20/31 | 1,941 | 2,207 | ||||||
GNMA CMO, Ser 2002-23, Cl SD | ||||||||
20.279%, 04/16/32 (B) | 1,174 | 1,645 | ||||||
GNMA CMO, Ser 2002-51, Cl SG | ||||||||
31.396%, 04/20/31 (B) | 99 | 180 | ||||||
GNMA CMO, Ser 2002-57, Cl SB | ||||||||
108.747%, 08/16/32 | 84 | 301 | ||||||
GNMA CMO, Ser 2002-69, Cl SC | ||||||||
15.939%, 02/20/32 (B) | 227 | 259 | ||||||
GNMA CMO, Ser 2003-60, Cl GS | ||||||||
12.000%, 05/16/33 (B) | 157 | 174 | ||||||
GNMA CMO, Ser 2003-75, Cl ZX | ||||||||
6.000%, 09/16/33 | 4,891 | 5,579 | ||||||
GNMA CMO, Ser 2003-79, Cl PV | ||||||||
5.500%, 10/20/23 | 1,129 | 1,277 | ||||||
GNMA CMO, Ser 2003-97, Cl SA, IO | ||||||||
6.300%, 11/16/33 (B) | 593 | 98 | ||||||
GNMA CMO, Ser 2004-28, Cl SV | ||||||||
8.745%, 04/20/34 (B) | 1,443 | 1,618 | ||||||
GNMA CMO, Ser 2004-34, Cl CS | ||||||||
19.190%, 02/20/34 (B) | 71 | 92 |
46 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, Ser 2004-34, Cl JO, PO | ||||||||
0.000%, 02/20/34 | $ | 264 | $ | 260 | ||||
GNMA CMO, Ser 2004-71, Cl ST | ||||||||
7.000%, 09/20/34 (B) | 362 | 361 | ||||||
GNMA CMO, Ser 2004-85, Cl PO, PO | ||||||||
0.000%, 01/17/33 | 130 | 127 | ||||||
GNMA CMO, Ser 2004-87, Cl SB | ||||||||
7.383%, 03/17/33 (B) | 283 | 304 | ||||||
GNMA CMO, Ser 2005-13, Cl SD, IO | ||||||||
6.545%, 02/20/35 (B) | 834 | 139 | ||||||
GNMA CMO, Ser 2005-3, Cl SB, IO | ||||||||
5.845%, 01/20/35 (B) | 1,545 | 229 | ||||||
GNMA CMO, Ser 2005-7, Cl JM | ||||||||
16.166%, 05/18/34 (B) | 293 | 352 | ||||||
GNMA CMO, Ser 2005-78, Cl A | ||||||||
5.000%, 07/16/33 | 11,188 | 12,147 | ||||||
GNMA CMO, Ser 2005-81, Cl SD, IO | ||||||||
6.055%, 12/20/34 (B) | 1,419 | 172 | ||||||
GNMA CMO, Ser 2005-82, Cl NS, IO | ||||||||
6.045%, 07/20/34 (B) | 920 | 135 | ||||||
GNMA CMO, Ser 2005-92, Cl PB | ||||||||
6.000%, 12/20/35 | 1,000 | 1,201 | ||||||
GNMA CMO, Ser 2006-34, Cl PO, PO | ||||||||
0.000%, 07/20/36 | 175 | 160 | ||||||
GNMA CMO, Ser 2006-38, Cl SG, IO | ||||||||
6.405%, 09/20/33 (B) | 2,832 | 273 | ||||||
GNMA CMO, | ||||||||
6.255%, 06/20/36 (B) | 1,418 | 187 | ||||||
GNMA CMO, Ser 2006-47, Cl SA, IO | ||||||||
6.550%, 08/16/36 (B) | 2,267 | 400 | ||||||
GNMA CMO, Ser 2007-17, Cl AF | ||||||||
0.450%, 04/16/37 (B) | 808 | 807 | ||||||
GNMA CMO, Ser 2007-26, Cl SW, IO | ||||||||
5.945%, 05/20/37 (B) | 2,773 | 413 | ||||||
GNMA CMO, Ser 2007-27, Cl SD, IO | ||||||||
5.945%, 05/20/37 (B) | 971 | 137 | ||||||
GNMA CMO, Ser 2007-42, Cl SB, IO | ||||||||
6.495%, 07/20/37 (B) | 1,360 | 206 | ||||||
GNMA CMO, Ser 2007-45, Cl QA, IO | ||||||||
6.385%, 07/20/37 (B) | 880 | 133 | ||||||
GNMA CMO, Ser 2007-72, Cl USIO, IO | ||||||||
6.295%, 11/20/37 (B) | 1,039 | 150 | ||||||
GNMA CMO, Ser 2007-78, Cl SA, IO | ||||||||
6.280%, 12/16/37 (B) | 12,945 | 2,172 | ||||||
GNMA CMO, Ser 2007-81, Cl SP, IO | ||||||||
6.395%, 12/20/37 (B) | 1,289 | 190 | ||||||
GNMA CMO, Ser 2007-82, Cl SA, IO | ||||||||
6.275%, 12/20/37 (B) | 843 | 123 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, Ser 2007-9, Cl CI, IO | ||||||||
5.945%, 03/20/37 (B) | $ | 1,097 | $ | 162 | ||||
GNMA CMO, Ser 2008-10, Cl S, IO | ||||||||
5.575%, 02/20/38 (B) | 1,506 | 200 | ||||||
GNMA CMO, Ser 2008-2, Cl MS, IO | ||||||||
6.917%, 01/16/38 (B) | 925 | 129 | ||||||
GNMA CMO, Ser 2008-29, Cl PO, PO | ||||||||
0.000%, 02/17/33 | 406 | 369 | ||||||
GNMA CMO, Ser 2008-33, Cl XS, IO | ||||||||
7.450%, 04/16/38 (B) | 650 | 108 | ||||||
GNMA CMO, Ser 2008-55, Cl SA, IO | ||||||||
5.945%, 06/20/38 (B) | 1,486 | 215 | ||||||
GNMA CMO, Ser 2008-60, Cl SH, IO | ||||||||
5.900%, 07/16/38 (B) | 810 | 128 | ||||||
GNMA CMO, Ser 2008-95, Cl DS, IO | ||||||||
7.045%, 12/20/38 (B) | 2,233 | 354 | ||||||
GNMA CMO, Ser 2009-10, Cl ST, IO | ||||||||
6.200%, 03/16/34 (B) | 883 | 115 | ||||||
GNMA CMO, Ser 2009-102, Cl SM, IO | ||||||||
6.150%, 06/16/39 (B) | 3,203 | 419 | ||||||
GNMA CMO, Ser 2009-106, Cl AS, IO | ||||||||
6.150%, 11/16/39 (B) | 2,053 | 309 | ||||||
GNMA CMO, Ser 2009-106, Cl KS, IO | ||||||||
6.145%, 11/20/39 (B) | 22,415 | 3,205 | ||||||
GNMA CMO, Ser 2009-106, Cl SU, IO | ||||||||
5.945%, 05/20/37 (B) | 4,846 | 711 | ||||||
GNMA CMO, Ser 2009-14, Cl KI, IO | ||||||||
6.500%, 03/20/39 | 811 | 142 | ||||||
GNMA CMO, Ser 2009-14, Cl NI, IO | ||||||||
6.500%, 03/20/39 | 40 | 7 | ||||||
GNMA CMO, Ser 2009-18, Cl PI, IO | ||||||||
5.500%, 11/16/37 | 1,340 | 221 | ||||||
GNMA CMO, Ser 2009-22, Cl SA, IO | ||||||||
6.025%, 04/20/39 (B) | 2,249 | 309 | ||||||
GNMA CMO, Ser 2009-24, Cl DS, IO | ||||||||
6.045%, 03/20/39 (B) | 1,372 | 163 | ||||||
GNMA CMO, Ser 2009-25, Cl SE, IO | ||||||||
7.345%, 09/20/38 (B) | 867 | 147 | ||||||
GNMA CMO, Ser 2009-31, Cl TS, IO | ||||||||
6.055%, 03/20/39 (B) | 2,278 | 301 | ||||||
GNMA CMO, Ser 2009-33, Cl TI, IO | ||||||||
6.000%, 05/20/39 | 375 | 63 | ||||||
GNMA CMO, Ser 2009-35, Cl SP, IO | ||||||||
6.150%, 05/16/37 (B) | 1,962 | 281 | ||||||
GNMA CMO, Ser 2009-42, Cl IY, IO | ||||||||
1.000%, 06/16/37 (B) | 2,239 | 62 | ||||||
GNMA CMO, Ser 2009-42, Cl SC, IO | ||||||||
5.825%, 06/20/39 (B) | 794 | 116 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 47 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, Ser 2009-43, Cl SA, IO | ||||||||
5.695%, 06/20/39 (B) | $ | 2,044 | $ | 272 | ||||
GNMA CMO, Ser 2009-44, Cl MV | ||||||||
6.000%, 04/20/20 | 1,243 | 1,393 | ||||||
GNMA CMO, Ser 2009-45, Cl AI, IO | ||||||||
5.710%, 04/16/39 (B) | 801 | 103 | ||||||
GNMA CMO, Ser 2009-6, Cl SH, IO | ||||||||
5.785%, 02/20/39 (B) | 1,694 | 234 | ||||||
GNMA CMO, Ser 2009-61, Cl SA, IO | ||||||||
6.445%, 08/20/39 (B) | 4,055 | 623 | ||||||
GNMA CMO, Ser 2009-61, Cl WQ, IO | ||||||||
6.007%, 11/16/35 (B) | 2,370 | 389 | ||||||
GNMA CMO, Ser 2009-65, Cl IQ, IO | ||||||||
6.000%, 12/20/38 | 988 | 156 | ||||||
GNMA CMO, Ser 2009-65, Cl TS, IO | ||||||||
6.145%, 12/20/38 (B) | 2,963 | 396 | ||||||
GNMA CMO, Ser 2009-66, Cl LC | ||||||||
6.000%, 08/16/39 | 2,245 | 2,733 | ||||||
GNMA CMO, Ser 2009-67, Cl SA, IO | ||||||||
5.800%, 08/16/39 (B) | 2,116 | 294 | ||||||
GNMA CMO, Ser 2009-68, Cl SL, IO | ||||||||
6.500%, 04/16/39 (B) | 915 | 131 | ||||||
GNMA CMO, Ser 2009-72, Cl SM, IO | ||||||||
6.000%, 08/16/39 (B) | 2,672 | 347 | ||||||
GNMA CMO, Ser 2009-75, Cl VM | ||||||||
5.000%, 12/20/19 | 994 | 1,092 | ||||||
GNMA CMO, Ser 2009-79, Cl OK, PO | ||||||||
0.000%, 11/16/37 | 1,398 | 1,241 | ||||||
GNMA CMO, Ser 2009-83, Cl TS, IO | ||||||||
5.845%, 08/20/39 (B) | 1,981 | 278 | ||||||
GNMA CMO, Ser 2009-87, Cl KI, IO | ||||||||
6.045%, 09/20/35 (B) | 966 | 128 | ||||||
GNMA CMO, Ser 2009-87, Cl SI, IO | ||||||||
6.495%, 02/20/35 (B) | 1,089 | 174 | ||||||
GNMA CMO, Ser 2009-87, Cl TS, IO | ||||||||
5.845%, 07/20/35 (B) | 2,108 | 327 | ||||||
GNMA CMO, Ser 2010-107, Cl SG, IO | ||||||||
5.895%, 02/20/38 (B) | 1,471 | 227 | ||||||
GNMA CMO, Ser 2010-116, Cl JS, IO | ||||||||
5.795%, 12/20/39 (B) | 93 | 15 | ||||||
GNMA CMO, Ser 2010-117, Cl PS, IO | ||||||||
5.745%, 10/20/39 (B) | 6,635 | 1,062 | ||||||
GNMA CMO, Ser 2010-14, Cl AO, PO | ||||||||
0.000%, 12/20/32 | 696 | 653 | ||||||
GNMA CMO, Ser 2010-14, Cl BO, PO | ||||||||
0.000%, 11/20/35 | 724 | 662 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, Ser 2010-14, Cl CO, PO | ||||||||
0.000%, 08/20/35 | $ | 425 | $ | 339 | ||||
GNMA CMO, Ser 2010-14, Cl EO, PO | ||||||||
0.000%, 06/16/33 | 370 | 355 | ||||||
GNMA CMO, Ser 2010-14, Cl QP | ||||||||
6.000%, 12/20/39 | 1,431 | 1,547 | ||||||
GNMA CMO, Ser 2010-14, Cl SA, IO | ||||||||
7.745%, 12/20/32 (B) | 1,044 | 154 | ||||||
GNMA CMO, Ser 2010-14, Cl SC, IO | ||||||||
4.561%, 08/20/35 (B) | 2,140 | 308 | ||||||
GNMA CMO, Ser 2010-14, Cl SH, IO | ||||||||
5.750%, 02/16/40 (B) | 1,149 | 208 | ||||||
GNMA CMO, Ser 2010-144, Cl BI, IO | ||||||||
4.000%, 09/16/37 | 4,714 | 614 | ||||||
GNMA CMO, Ser 2010-151, Cl SA, IO | ||||||||
5.795%, 11/20/40 (B) | 3,327 | 519 | ||||||
GNMA CMO, Ser 2010-157, Cl OP, PO | ||||||||
0.000%, 12/20/40 | 1,438 | 1,222 | ||||||
GNMA CMO, Ser 2010-160, Cl SW, IO | ||||||||
6.295%, 10/20/38 (B) | 2,265 | 354 | ||||||
GNMA CMO, Ser 2010-167, Cl US, IO | ||||||||
6.375%, 11/20/38 (B) | 1,056 | 157 | ||||||
GNMA CMO, Ser 2010-3, Cl MS, IO | ||||||||
6.295%, 11/20/38 (B) | 2,950 | 452 | ||||||
GNMA CMO, Ser 2010-31, Cl GS, IO | ||||||||
6.245%, 03/20/39 (B) | 1,292 | 195 | ||||||
GNMA CMO, Ser 2010-39, Cl SP, IO | ||||||||
6.295%, 11/20/38 (B) | 454 | 66 | ||||||
GNMA CMO, Ser 2010-4, Cl NS, IO | ||||||||
6.140%, 01/16/40 (B) | 28,374 | 4,650 | ||||||
GNMA CMO, Ser 2010-47, Cl PX, IO | ||||||||
6.455%, 06/20/37 (B) | 3,919 | 616 | ||||||
GNMA CMO, Ser 2010-47, Cl VS, IO | ||||||||
6.007%, 11/16/37 (B) | 1,647 | 233 | ||||||
GNMA CMO, Ser 2010-47, Cl XN, IO | ||||||||
6.300%, 04/16/34 (B) | 1,524 | 129 | ||||||
GNMA CMO, Ser 2010-59, Cl LB | ||||||||
4.500%, 10/20/39 | 2,900 | 3,255 | ||||||
GNMA CMO, Ser 2010-68, Cl SD, IO | ||||||||
6.325%, 06/20/40 (B) | 4,958 | 897 | ||||||
GNMA CMO, Ser 2010-7, Cl EA | ||||||||
5.000%, 06/16/38 | 895 | 1,010 | ||||||
GNMA CMO, Ser 2010-85, Cl HS, IO | ||||||||
6.395%, 01/20/40 (B) | 2,007 | 312 | ||||||
GNMA CMO, Ser 2010-87, Cl SK, IO | ||||||||
6.257%, 07/16/40 (B) | 3,056 | 516 |
48 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, Ser 2010-89, IO | ||||||||
5.675%, 07/20/40 (B) | $ | 362 | $ | 65 | ||||
GNMA CMO, Ser 2010-H10, Cl FC | ||||||||
1.245%, 05/20/60 (B) | 5,264 | 5,368 | ||||||
GNMA CMO, Ser 2010-H26, Cl LF | ||||||||
0.589%, 08/20/58 (B) | 7,283 | 7,175 | ||||||
GNMA CMO, Ser 2011-140, IO | ||||||||
6.490%, 10/16/41 (B) | 1,569 | 237 | ||||||
GNMA CMO, Ser 2011-32, Cl S, IO | ||||||||
5.750%, 03/16/41 (B) | 726 | 115 | ||||||
GNMA CMO, Ser 2011-40, Cl SA, IO | ||||||||
5.880%, 02/16/36 (B) | 4,168 | 637 | ||||||
GNMA CMO, Ser 2011-70, Cl BS, IO | ||||||||
6.450%, 12/16/36 (B) | 2,442 | 413 | ||||||
GNMA CMO, Ser 2011-H09, Cl AF | ||||||||
0.755%, 03/20/61 (B) | 1,766 | 1,752 | ||||||
GNMA TBA | ||||||||
6.000%, 12/01/37 | 1,300 | 1,463 | ||||||
5.500%, 12/01/37 | 2,500 | 2,794 | ||||||
4.500%, 12/15/39 | 3,800 | 4,125 | ||||||
4.000%, 12/01/39 to 01/01/40 | 19,500 | 20,764 | ||||||
3.500%, 01/15/41 | 47,700 | 49,302 | ||||||
NCUA Guaranteed Notes CMO, Ser 2010-C1, Cl APT | ||||||||
2.650%, 10/29/20 | 6,008 | 6,242 | ||||||
NCUA Guaranteed Notes CMO, Ser 2010-R1, Cl 1A | ||||||||
0.695%, 10/07/20 (B) | 11,840 | 11,856 | ||||||
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 1A | ||||||||
0.615%, 11/06/17 (B) | 4,862 | 4,863 | ||||||
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 2A | ||||||||
0.715%, 11/05/20 (B) | 3,003 | 3,003 | ||||||
NCUA Guaranteed Notes CMO, Ser 2010-R3, Cl 1A | ||||||||
0.801%, 12/08/20 (B) | 926 | 931 | ||||||
NCUA Guaranteed Notes CMO, Ser 2010-R3, Cl 3A | ||||||||
2.400%, 12/08/20 | 453 | 462 | ||||||
NCUA Guaranteed Notes, | ||||||||
0.591%, 12/07/20 (B) | 255 | 256 | ||||||
|
| |||||||
2,467,679 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 10.4% |
| |||||||
AAM ACE Resecuritization Trust, Ser 2011-1, Cl A20 | ||||||||
0.438%, 02/02/37 (B) (C) | 853 | 818 | ||||||
American General Mortgage Loan Trust, Ser 2009-1, Cl A4 | ||||||||
5.750%, 09/25/48 (B) (C) | 1,325 | 1,329 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
American General Mortgage Loan Trust, Ser 2009-1, Cl A5 | ||||||||
5.750%, 09/25/48 (B) (C) | $ | 900 | $ | 908 | ||||
American General Mortgage Loan Trust, Ser 2009-1, Cl A7 | ||||||||
5.750%, 09/25/48 (B) (C) | 1,500 | 1,520 | ||||||
American General Mortgage Loan Trust, Ser 2010-1A, Cl A1 | ||||||||
5.150%, 03/25/58 (B) (C) | 687 | 703 | ||||||
American Home Mortgage Assets, Ser 2006-5, Cl A1 | ||||||||
1.150%, 11/25/46 (B) | 1,409 | 523 | ||||||
American Home Mortgage Assets, Ser 2007-2, Cl A1 | ||||||||
0.382%, 03/25/47 (B) | 11,735 | 5,880 | ||||||
Americold LLC Trust, | ||||||||
3.847%, 01/14/29 (C) | 3,326 | 3,432 | ||||||
ASG Resecuritization Trust, | ||||||||
5.309%, 05/24/36 (B) (C) | 595 | 589 | ||||||
ASG Resecuritization Trust, | ||||||||
5.309%, 05/24/36 (B) (C) | 400 | 380 | ||||||
ASG Resecuritization Trust, | ||||||||
5.154%, 03/26/37 (B) (C) | 1,527 | 1,504 | ||||||
ASG Resecuritization Trust, | ||||||||
6.000%, 06/28/37 (C) | 1,193 | 1,239 | ||||||
ASG Resecuritization Trust, | ||||||||
0.415%, 10/28/36 (B) (C) | 510 | 504 | ||||||
ASG Resecuritization Trust, | ||||||||
2.488%, 11/28/35 (B) (C) | 498 | 486 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 1A1 | ||||||||
6.000%, 01/25/34 | 348 | 349 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 2A1 | ||||||||
6.000%, 01/25/34 | 678 | 680 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-7, Cl 1CB1 | ||||||||
5.500%, 09/25/33 | 495 | 509 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-7, Cl 2A4 | ||||||||
5.000%, 09/25/18 | 737 | 752 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-9, Cl 1CB2 | ||||||||
5.500%, 11/25/33 | 613 | 629 | ||||||
Banc of America Alternative Loan Trust, Ser 2004-1, Cl 5A1 | ||||||||
5.500%, 02/25/19 | 460 | 464 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 49 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Banc of America Alternative Loan Trust, Ser 2004-8, Cl 3A1 | ||||||||
5.500%, 09/25/19 | $ | 445 | $ | 444 | ||||
Banc of America Alternative Loan Trust, Ser 2006-8, Cl 3A1 | ||||||||
5.784%, 11/25/21 (B) | 216 | 201 | ||||||
Banc of America Alternative Loan Trust, Ser 2007-1, Cl 2A1 | ||||||||
5.542%, 04/25/37 (B) | 439 | 298 | ||||||
Banc of America Commercial Mortgage, Ser 2002-2, Cl B | ||||||||
5.271%, 07/11/43 | 681 | 688 | ||||||
Banc of America Commercial Mortgage, Ser 2002-PB2, Cl A4 | ||||||||
6.186%, 06/11/35 | 1,921 | 1,920 | ||||||
Banc of America Commercial Mortgage, Ser 2002-PB2, Cl B | ||||||||
6.309%, 06/11/35 | 916 | 914 | ||||||
Banc of America Commercial Mortgage, Ser 2003-1, Cl A1 | ||||||||
3.878%, 09/11/36 | 694 | 694 | ||||||
Banc of America Commercial Mortgage, Ser 2004-6, Cl A3 | ||||||||
4.512%, 12/10/42 | 849 | 856 | ||||||
Banc of America Commercial Mortgage, Ser 2005-2, Cl A5 | ||||||||
4.857%, 07/10/43 (B) | 6,060 | 6,559 | ||||||
Banc of America Commercial Mortgage, Ser 2005-3, Cl A4 | ||||||||
4.668%, 07/10/43 | 500 | 538 | ||||||
Banc of America Commercial Mortgage, Ser 2005-3, Cl AM | ||||||||
4.727%, 07/10/43 | 1,050 | 1,061 | ||||||
Banc of America Commercial Mortgage, Ser 2005-5, Cl A4 | ||||||||
5.115%, 10/10/45 (B) | 300 | 329 | ||||||
Banc of America Commercial Mortgage, Ser 2006-1, Cl A4 | ||||||||
5.372%, 09/10/45 (B) | 500 | 550 | ||||||
Banc of America Commercial Mortgage, Ser 2006-2, Cl A4 | 4,290 | 4,764 | ||||||
Banc of America Commercial Mortgage, Ser 2006-3, Cl A4 | ||||||||
5.889%, 07/10/44 (B) | 6,635 | 7,182 | ||||||
Banc of America Commercial Mortgage, Ser 2006-4, Cl A4 | ||||||||
5.634%, 07/10/46 | 800 | 876 | ||||||
Banc of America Commercial Mortgage, Ser 2006-5, Cl A4 | ||||||||
5.414%, 09/10/47 | 1,912 | 2,031 | ||||||
Banc of America Commercial Mortgage, Ser 2006-6, Cl A4 | ||||||||
5.356%, 10/10/45 | 3,604 | 3,812 | ||||||
Banc of America Funding, | ||||||||
5.750%, 09/20/34 | 495 | 520 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Banc of America Funding, | ||||||||
5.500%, 10/25/34 | $ | 145 | $ | 145 | ||||
Banc of America Funding, | ||||||||
5.033%, 12/20/34 (B) | 256 | 240 | ||||||
Banc of America Funding, | ||||||||
2.891%, 04/20/35 (B) | 4,126 | 2,814 | ||||||
Banc of America Funding, | ||||||||
5.538%, 08/26/35 (B) (C) | 865 | 904 | ||||||
Banc of America Funding, | ||||||||
0.545%, 05/26/37 (B) (C) | 1,114 | 1,082 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.381%, 01/15/49 | 785 | 785 | ||||||
Banc of America Mortgage Securities, Ser 2003-3, Cl 1A7 | ||||||||
5.500%, 05/25/33 | 1,000 | 1,024 | ||||||
Banc of America Mortgage Securities, Ser 2003-3, Cl 2A1 | ||||||||
0.807%, 05/25/18 (B) | 239 | 227 | ||||||
Banc of America Mortgage Securities, Ser 2003-6, Cl 2A1 | ||||||||
0.707%, 08/25/18 (B) | 261 | 249 | ||||||
Banc of America Mortgage Securities, Ser 2003-E, Cl 2A2 | ||||||||
2.883%, 06/25/33 (B) | 342 | 312 | ||||||
Banc of America Mortgage Securities, Ser 2004-3, Cl 1A26 | ||||||||
5.500%, 04/25/34 | 1,000 | 1,021 | ||||||
Banc of America Mortgage Securities, Ser 2004-3, Cl 3A1 | ||||||||
5.000%, 04/25/19 | 265 | 269 | ||||||
Banc of America Mortgage Securities, Ser 2004-5, Cl 4A1 | ||||||||
4.750%, 06/25/19 | 228 | 234 | ||||||
Banc of America Mortgage Securities, Ser 2004-9, Cl 3A1 | ||||||||
6.500%, 09/25/32 | 194 | 205 | ||||||
BCAP LLC Trust, Ser 2009-RR10, Cl 17A1 | ||||||||
5.750%, 06/26/37 (C) | 1,135 | 1,136 | ||||||
BCAP LLC Trust, Ser 2009-RR13, Cl 11A1 | ||||||||
5.250%, 05/26/37 (B) (C) | 217 | 215 | ||||||
BCAP LLC Trust, Ser 2009-RR13, Cl 17A2 | ||||||||
5.500%, 04/26/37 (B) (C) | 1,092 | 1,136 | ||||||
BCAP LLC Trust, Ser 2009-RR5, Cl 8A1 | ||||||||
5.500%, 11/26/34 (C) | 867 | 911 |
50 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BCAP LLC Trust, Ser 2010-RR12, Cl 2A5 | ||||||||
4.500%, 01/26/36 (B) (C) | $ | 878 | $ | 900 | ||||
BCAP LLC Trust, Ser 2010-RR5, Cl 2A5 | ||||||||
5.204%, 04/26/37 (B) (C) | 962 | 956 | ||||||
BCAP LLC Trust, Ser 2010-RR6, Cl 5A1 | ||||||||
5.500%, 11/26/37 (B) (C) | 329 | 319 | ||||||
BCAP LLC Trust, Ser 2010-RR7, Cl 1A5 | ||||||||
5.007%, 04/26/35 (B) (C) | 484 | 474 | ||||||
BCAP LLC Trust, Ser 2010-RR7, Cl 2A1 | ||||||||
5.470%, 07/26/45 (B) (C) | 1,239 | 1,163 | ||||||
BCAP LLC Trust, Ser 2010-RR7, Cl 15A1 | ||||||||
1.045%, 01/26/36 (B) (C) | 564 | 547 | ||||||
BCAP LLC Trust, Ser 2010-RR7, Cl 16A1 | ||||||||
0.930%, 02/26/47 (B) (C) | 501 | 463 | ||||||
BCAP LLC Trust, Ser 2010-RR8, Cl 3A4 | ||||||||
5.085%, 05/26/35 (B) (C) | 700 | 628 | ||||||
BCAP LLC Trust, Ser 2011-RR10, Cl 2A1 | ||||||||
0.596%, 09/26/37 (B) (C) | 1,172 | 993 | ||||||
BCAP LLC Trust, Ser 2011-RR4, Cl 6A3 | ||||||||
5.000%, 08/26/37 (B) (C) | 939 | 914 | ||||||
BCAP LLC Trust, Ser 2011-RR5, Cl 11A3 | ||||||||
0.344%, 05/28/36 (B) (C) | 1,219 | 1,079 | ||||||
BCAP LLC Trust, Ser 2011-RR5, Cl 14A3 | ||||||||
2.823%, 07/26/36 (B) (C) | 1,218 | 1,154 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 14A | ||||||||
5.044%, 05/25/34 (B) | 301 | 298 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 24A | ||||||||
5.295%, 05/25/34 (B) | 1,382 | 1,217 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-5, Cl A1 | ||||||||
2.220%, 08/25/35 (B) | 482 | 442 | ||||||
Bear Stearns Alt-A Trust, Ser 2005-2, Cl 2A4 | ||||||||
2.703%, 04/25/35 (B) | 233 | 166 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2006-AC1, Cl 1A1 | ||||||||
5.750%, 02/25/36 | 2,027 | 1,299 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2002-TOP8, Cl A2 | ||||||||
4.830%, 08/15/38 | 444 | 451 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2003-T12, Cl A3 | ||||||||
4.240%, 08/13/39 (B) | $ | 251 | $ | 252 | ||||
Bear Stearns Commercial Mortgage Securities, Ser 2004-T14, Cl A4 | ||||||||
5.200%, 01/12/41 (B) | 4,094 | 4,349 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR7, Cl A2 | ||||||||
4.945%, 02/11/41 | 1,241 | 1,242 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR8, Cl X1, IO | ||||||||
0.244%, 06/11/41 (B) (C) | 14,762 | 220 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-T20, Cl A4A | ||||||||
5.147%, 10/12/42 (B) | 7,280 | 7,957 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2006-PW11, Cl A4 | ||||||||
5.452%, 03/11/39 (B) | 300 | 331 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2006-T22, Cl A4 | ||||||||
5.705%, 04/12/38 (B) | 4,110 | 4,593 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2006-T24, Cl A4 | ||||||||
5.537%, 10/12/41 | 300 | 333 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2007-PW17, Cl A3 | ||||||||
5.736%, 06/11/50 | 2,640 | 2,769 | ||||||
Chase Mortgage Finance, Ser 2003-S15, Cl 2A10 | ||||||||
0.707%, 01/25/34 (B) | 106 | 106 | ||||||
Chase Mortgage Finance, Ser 2003-S9, Cl AP, PO | ||||||||
0.000%, 10/25/18 | 182 | 171 | ||||||
Chase Mortgage Finance, Ser 2005-A1, Cl 2A3 | ||||||||
2.923%, 12/25/35 (B) | 13,166 | 10,308 | ||||||
Chase Mortgage Finance, Ser 2007-A1, Cl 2A1 | ||||||||
2.755%, 02/25/37 (B) | 364 | 346 | ||||||
Chase Mortgage Finance, Ser 2007-A1, Cl 9A1 | ||||||||
2.740%, 02/25/37 (B) | 235 | 224 | ||||||
Chase Mortgage Finance, Ser 2007-A2, Cl 1A1 | ||||||||
2.776%, 07/25/37 (B) | 572 | 502 | ||||||
Citicorp Mortgage Securities, Ser 2004-4, Cl A4 | ||||||||
5.500%, 06/25/34 | 665 | 694 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2005-C3, Cl AM | ||||||||
4.830%, 05/15/43 (B) | 440 | 458 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2007-C6, Cl A4 | ||||||||
5.697%, 12/10/49 (B) | 5,860 | 6,347 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 51 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Citigroup Mortgage Loan Trust, Ser 2004-UST1, Cl A6 | ||||||||
5.093%, 08/25/34 (B) | $ | 415 | $ | 422 | ||||
Citigroup Mortgage Loan Trust, Ser 2005-2, Cl 2A11 | ||||||||
5.500%, 05/25/35 | 422 | 408 | ||||||
Citigroup Mortgage Loan Trust, Ser 2008-AR4, Cl 1A1A | ||||||||
5.169%, 11/25/38 (B) (C) | 1,053 | 1,052 | ||||||
Citigroup Mortgage Loan Trust, Ser 2009-10, Cl 1A1 | ||||||||
2.467%, 09/25/33 (B) (C) | 708 | 687 | ||||||
Citigroup Mortgage Loan Trust, Ser 2009-11, Cl 3A1 | ||||||||
5.750%, 05/25/37 (B) (C) | 1,000 | 1,018 | ||||||
Citigroup Mortgage Loan Trust, Ser 2009-5, Cl 8A1 | ||||||||
6.000%, 06/25/36 (C) | 1,426 | 1,487 | ||||||
Citigroup Mortgage Loan Trust, Ser 2010-7, Cl 10A1 | ||||||||
2.735%, 02/25/35 (B) (C) | 393 | 376 | ||||||
Citigroup Mortgage Loan Trust, Ser 2011-3, Cl 1A1 | ||||||||
0.325%, 02/25/47 (B) (C) | 717 | 705 | ||||||
Citigroup Mortgage Loan Trust, Ser 2011-5, Cl 1A1 | ||||||||
0.384%, 02/25/46 (B) (C) | 878 | 829 | ||||||
Citigroup, Ser 2005-CD1, Cl AM | ||||||||
5.226%, 07/15/44 (B) | 2,029 | 2,128 | ||||||
Citigroup, Ser 2006-CD2, Cl X, IO | ||||||||
0.077%, 01/15/46 (B) (C) | 89,263 | 250 | ||||||
Citigroup, Ser 2007-CD4, Cl XC, IO | ||||||||
0.242%, 12/11/49 (B) (C) | 48,156 | 428 | ||||||
Commercial Mortgage Asset Trust, Ser 1999-C1, Cl A4 | ||||||||
6.975%, 01/17/32 (B) | 662 | 684 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2001-J2A, Cl A2 | ||||||||
6.096%, 07/16/34 (C) | 3 | 3 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2001-J2A, Cl B | ||||||||
6.304%, 07/16/34 (C) | 2,500 | 2,507 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2004-LB4A, Cl A5 | ||||||||
4.840%, 10/15/37 | 3,096 | 3,246 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2005-LP5, Cl A4 | ||||||||
4.982%, 05/10/43 (B) | 2,434 | 2,647 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2007-C9, Cl A4 | ||||||||
5.814%, 12/10/49 (B) | 5,816 | 6,361 | ||||||
Countrywide Alternative Loan Trust, Ser 2003-20CB, Cl 1A1 | ||||||||
5.500%, 10/25/33 | 2,165 | 2,267 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Countrywide Alternative Loan Trust, Ser 2004-27CB, Cl A1 | ||||||||
6.000%, 12/25/34 | $ | 1,988 | $ | 1,935 | ||||
Countrywide Alternative Loan Trust, Ser 2004-J1, Cl 1A1 | ||||||||
6.000%, 02/25/34 | 218 | 221 | ||||||
Countrywide Alternative Loan Trust, Ser 2004-J6, Cl 2A1 | ||||||||
6.500%, 11/25/31 | 972 | 1,001 | ||||||
Countrywide Alternative Loan Trust, Ser 2004-J6, Cl PO, PO | ||||||||
0.000%, 11/25/31 | 306 | 226 | ||||||
Countrywide Alternative Loan Trust, Ser 2005-27, Cl 2A1 | ||||||||
1.580%, 08/25/35 (B) | 3,757 | 1,938 | ||||||
Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2 | ||||||||
1.330%, 08/25/35 (B) | 866 | 414 | ||||||
Countrywide Alternative Loan Trust, Ser 2005-59, Cl 1A1 | ||||||||
0.575%, 11/20/35 (B) | 4,975 | 2,518 | ||||||
Countrywide Alternative Loan Trust, Ser 2005-72, Cl A1 | ||||||||
0.527%, 01/25/36 (B) | 2,469 | 1,453 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-34, Cl A6 | ||||||||
5.250%, 09/25/33 | 325 | 326 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-39, Cl A6 | ||||||||
5.000%, 10/25/33 | 898 | 884 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
3.004%, 12/25/33 (B) | 540 | 477 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-J13, Cl 1A7 | ||||||||
5.250%, 01/25/34 | 1,507 | 1,558 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
9.441%, 08/25/18 (B) | 112 | 109 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
2.867%, 09/25/34 (B) | 74 | 39 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
5.500%, 06/25/34 | 774 | 800 |
52 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
4.500%, 06/25/19 | $ | 1,001 | $ | 1,022 | ||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
5.250%, 12/25/27 | 760 | 673 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
0.657%, 09/25/35 (B) (C) | 5,027 | 4,126 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2002-CKS4, Cl A2 | ||||||||
5.183%, 11/15/36 | 835 | 851 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2002-CP3, Cl A3 | ||||||||
5.603%, 07/15/35 | 467 | 470 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-27, Cl 5A3 | ||||||||
5.250%, 11/25/33 | 1,211 | 1,255 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-27, Cl 5A4 | ||||||||
5.250%, 11/25/33 | 630 | 651 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 5A1 | ||||||||
7.000%, 12/25/33 | 279 | 298 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 8A1 | ||||||||
6.000%, 11/25/18 | 503 | 516 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-C4, Cl B | ||||||||
5.253%, 08/15/36 (B) | 1,491 | 1,550 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2004-4, Cl 2A4 | ||||||||
5.500%, 09/25/34 | 759 | 800 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2004-8, Cl 1A4 | ||||||||
5.500%, 12/25/34 | 818 | 859 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2004-AR5, Cl 7A2 | ||||||||
2.572%, 06/25/34 (B) | 738 | 669 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-4, Cl 3A24 | ||||||||
18.179%, 06/25/35 (B) | 227 | 231 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C1, Cl A3 | ||||||||
4.813%, 02/15/38 | 2,014 | 2,057 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C2, Cl A4 | ||||||||
4.832%, 04/15/37 | 2,974 | 3,118 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C3, Cl AM | ||||||||
4.730%, 07/15/37 | 1,691 | 1,749 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C2, Cl A3 | ||||||||
5.662%, 03/15/39 (B) | $ | 825 | $ | 873 | ||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C4, Cl A3 | ||||||||
5.467%, 09/15/39 | 3,499 | 3,652 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3 | ||||||||
5.311%, 12/15/39 | 6,657 | 7,014 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2009-12R, Cl 7A1 | ||||||||
5.500%, 10/27/35 (C) | 303 | 304 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-11R, Cl A1 | ||||||||
1.235%, 06/28/47 (B) (C) | 452 | 448 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-12R, Cl 14A1 | ||||||||
2.674%, 09/26/46 (B) (C) | 598 | 588 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-15R, Cl 7A1 | ||||||||
5.340%, 10/26/37 (B) (C) | 253 | 247 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-16, Cl A3 | ||||||||
3.930%, 06/25/50 (B) (C) | 400 | 371 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-1R, Cl 26A1 | ||||||||
4.750%, 05/27/37 (C) | 895 | 898 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-1R, Cl A1 | ||||||||
1.245%, 02/27/47 (B) (C) | 1,539 | 1,514 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-6R, Cl 3A1 | ||||||||
2.865%, 07/28/36 (B) (C) | 903 | 849 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-7R, Cl A1 | ||||||||
1.509%, 08/28/47 (B) (C) | 2,219 | 2,208 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-9R, Cl A1 | ||||||||
2.245%, 03/27/46 (B) (C) | 2,794 | 2,777 | ||||||
CW Capital Cobalt, Ser 2006-C1, Cl A4 | ||||||||
5.223%, 08/15/48 | 825 | 866 | ||||||
DBRR Trust, Ser 2011-LC2, Cl A4A | ||||||||
4.537%, 07/12/44 (B) (C) | 2,540 | 2,755 | ||||||
DBUBS Mortgage Trust, Ser 2011-LC1A, Cl A1 | ||||||||
3.742%, 11/10/46 (C) | 4,927 | 5,149 | ||||||
DBUBS Mortgage Trust, | ||||||||
3.386%, 07/10/44 (C) | 2,695 | 2,802 | ||||||
DBUBS Mortgage Trust, | ||||||||
1.511%, 08/10/44 (B) (C) | 6,814 | 387 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 53 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Deutsche Securities Alternative Loan Trust, Ser 2005-1, Cl 2A1 | ||||||||
5.580%, 02/25/20 (B) | $ | 314 | $ | 320 | ||||
Deutsche Mortgage Securities, | ||||||||
0.365%, 04/26/37 (B) (C) | 434 | 423 | ||||||
Deutsche Mortgage Securities, | ||||||||
1.496%, 06/28/47 (B) (C) | 482 | 477 | ||||||
Developers Diversified Realty, | ||||||||
3.807%, 10/14/22 (C) | 5,697 | 5,944 | ||||||
DSLA Mortgage Loan Trust, Ser 2004-AR2, Cl A2B | ||||||||
0.655%, 11/19/44 (B) | 1,939 | 776 | ||||||
DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl 1A1A | ||||||||
1.150%, 03/19/46 (B) | 366 | 144 | ||||||
Extended Stay America Trust, Ser 2010-ESHA, Cl A | ||||||||
2.951%, 11/05/27 (C) | 7,227 | 7,245 | ||||||
FDIC Structured Sale Guaranteed Notes, Ser 2010-C1, Cl A | ||||||||
2.980%, 12/06/20 (C) | 1,273 | 1,318 | ||||||
FDIC Structured Sale Guaranteed Notes, Ser 2010-S1, Cl 1A | ||||||||
0.796%, 02/25/48 (B) (C) | 4,887 | 4,887 | ||||||
First Horizon Asset Securities, Ser 2003-8, Cl 2A1 | ||||||||
4.500%, 09/25/18 | 865 | 872 | ||||||
First Union National Bank Commercial Mortgage, Ser 2001-C4, Cl B | ||||||||
6.417%, 12/12/33 | 188 | 189 | ||||||
GE Capital Commercial Mortgage, Ser 2003-C1, Cl A4 | ||||||||
4.819%, 01/10/38 | 3,397 | 3,509 | ||||||
GE Capital Commercial Mortgage, Ser 2004-C2, Cl A4 | ||||||||
4.893%, 03/10/40 | 929 | 981 | ||||||
GE Capital Commercial Mortgage, Ser 2005-C1, Cl AJ | ||||||||
4.826%, 06/10/48 (B) | 1,000 | 966 | ||||||
GE Capital Commercial Mortgage, Ser 2007-C1, Cl A4 | ||||||||
5.543%, 12/10/49 | 1,000 | 1,030 | ||||||
GMAC Commercial Mortgage Securities, Ser 2001-C2, Cl A2 | ||||||||
6.700%, 04/15/34 | 68 | 68 | ||||||
GMAC Commercial Mortgage Securities, Ser 2001-C2, Cl B | ||||||||
6.790%, 04/15/34 | 404 | 404 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GMAC Commercial Mortgage Securities, Ser 2002-C3, Cl A2 | ||||||||
4.930%, 07/10/39 | $ | 445 | $ | 454 | ||||
GMAC Commercial Mortgage Securities, Ser 2003-C1, Cl A2 | ||||||||
4.079%, 05/10/36 | 1,323 | 1,355 | ||||||
GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4 | ||||||||
5.023%, 04/10/40 | 760 | 803 | ||||||
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl A4 | ||||||||
5.238%, 11/10/45 (B) | 700 | 752 | ||||||
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl AM | ||||||||
5.290%, 11/10/45 (B) | 2,705 | 2,636 | ||||||
GMAC Mortgage Loan Trust, Ser 2003-AR1, Cl A4 | ||||||||
3.030%, 10/19/33 (B) | 1,639 | 1,541 | ||||||
GMAC Mortgage Loan Trust, Ser 2003-GH2, Cl A4 | ||||||||
5.000%, 10/25/33 | 586 | 580 | ||||||
GMAC Mortgage Loan Trust, Ser 2003-J7, Cl A7 | ||||||||
5.000%, 11/25/33 | 1,168 | 1,201 | ||||||
GMAC Mortgage Loan Trust, Ser 2004-J5, Cl A7 | ||||||||
6.500%, 01/25/35 | 713 | 751 | ||||||
GMAC Mortgage Loan Trust, Ser 2004-J6, Cl 1A1 | ||||||||
5.000%, 01/25/20 | 337 | 346 | ||||||
GMAC Mortgage Loan Trust, Ser 2010-1, Cl A | ||||||||
4.250%, 07/25/40 (C) | 9 | 9 | ||||||
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A6 | ||||||||
5.135%, 06/10/36 (B) | 739 | 744 | ||||||
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A7 | ||||||||
5.317%, 06/10/36 (B) (D) | 7,150 | 7,628 | ||||||
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 | 4,929 | ||||||
Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl A4 | ||||||||
5.877%, 07/10/38 (B) | 10,875 | 11,919 | ||||||
Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl A4 | ||||||||
5.444%, 03/10/39 | 7,916 | 8,356 | ||||||
GS Mortgage Securities II, | ||||||||
4.761%, 07/10/39 | 901 | 950 |
54 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GS Mortgage Securities II, | ||||||||
4.680%, 07/10/39 | $ | 2,538 | $ | 2,570 | ||||
GS Mortgage Securities II, | ||||||||
5.553%, 04/10/38 (B) | 1,000 | 1,078 | ||||||
GS Mortgage Securities II, | ||||||||
0.637%, 11/10/39 (B) (C) | 11,386 | 260 | ||||||
GS Mortgage Securities II, | ||||||||
1.952%, 08/10/44 (B) (C) | 6,210 | 558 | ||||||
GS Mortgage Securities II, | ||||||||
3.707%, 08/10/44 | 8,740 | 8,923 | ||||||
GSMPS Mortgage Loan Trust, | ||||||||
8.000%, 09/19/27 (B) (C) | 4 | 5 | ||||||
GSMPS Mortgage Loan Trust, Ser 2006-RP2, Cl 1AF1 | ||||||||
0.657%, 04/25/36 (B) (C) | 1,879 | 1,502 | ||||||
GSR Mortgage Loan Trust, Ser 2004-8F, Cl 2A3 | ||||||||
6.000%, 09/25/34 | 710 | 744 | ||||||
GSR Mortgage Loan Trust, Ser 2005-5F, Cl 2A3 | ||||||||
5.500%, 06/25/35 | 113 | 113 | ||||||
GSR Mortgage Loan Trust, Ser 2005-5F, Cl 8A3 | ||||||||
0.757%, 06/25/35 (B) | 364 | 351 | ||||||
GSR Mortgage Loan Trust, | ||||||||
5.500%, 01/25/37 | 125 | 117 | ||||||
Impac CMB Trust, | ||||||||
0.557%, 05/25/35 (B) | 483 | 407 | ||||||
Impac Funding LLC, | ||||||||
5.314%, 01/25/51 (C) | 4,599 | 4,821 | ||||||
Impac Secured Assets CMN Owner Trust, Ser 2003-2, Cl A1 | ||||||||
5.500%, 08/25/33 | 730 | 758 | ||||||
Impac Secured Assets CMN Owner Trust, Ser 2006-1, Cl 2A1 | ||||||||
0.607%, 05/25/36 (B) | 596 | 530 | ||||||
Impac Secured Assets CMN Owner Trust, Ser 2006-2, Cl 2A1 | ||||||||
0.607%, 08/25/36 (B) | 1,635 | 1,412 | ||||||
Indymac INDA Mortgage Loan Trust, Ser 2007-AR7, Cl 1A1 | ||||||||
5.771%, 11/25/37 (B) | 1,485 | 1,067 | ||||||
JPMorgan Alternative Loan Trust, Ser 2006-A7, Cl 2A6 | ||||||||
5.750%, 12/25/36 (B) | 11,300 | 3,352 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
6.847%, 04/15/35 (B) | $ | 851 | $ | 849 | ||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
6.465%, 11/15/35 | 112 | 112 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.050%, 12/12/34 | 1,112 | 1,142 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.211%, 12/12/34 (B) | 403 | 406 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
4.275%, 01/12/37 | 544 | 547 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
4.393%, 07/12/37 | 294 | 298 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.326%, 08/12/40 (B) | 3,060 | 3,224 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.115%, 07/15/41 | 3,808 | 4,037 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.357%, 08/12/37 (B) | 700 | 679 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
4.678%, 07/15/42 | 579 | 589 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-CB15, Cl X1, IO | ||||||||
0.068%, 06/12/43 (B) | 55,238 | 380 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.399%, 05/15/45 | 600 | 658 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A1S | ||||||||
5.284%, 05/15/47 | 47 | 47 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A2 | ||||||||
5.134%, 05/15/47 | 738 | 759 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 55 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A3 | ||||||||
5.336%, 05/15/47 | $ | 6,416 | $ | 6,666 | ||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
0.404%, 05/15/47 (B) | 800 | 726 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2009-IWST, Cl A2 | ||||||||
5.633%, 12/05/27 (C) | 812 | 913 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
3.853%, 06/15/43 (C) | 6,311 | 6,597 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-CNTR, Cl A1 | ||||||||
3.300%, 08/05/32 (C) | 1,065 | 1,076 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
4.311%, 08/05/32 (C) | 3,883 | 3,979 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
4.171%, 08/15/46 | 1,116 | 1,169 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser CB18, Cl A4 | ||||||||
5.440%, 06/12/47 | 3,360 | 3,555 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.420%, 01/15/49 | 1,465 | 1,547 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.749%, 07/25/34 (B) | 176 | 165 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.175%, 06/25/34 (B) | 2,267 | 2,118 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.759%, 09/25/34 (B) | 209 | 201 | ||||||
JPMorgan Mortgage Trust, | ||||||||
3.569%, 12/25/34 (B) | 745 | 739 | ||||||
JPMorgan Mortgage Trust, | ||||||||
3.569%, 12/25/34 (B) | 11,500 | 10,504 | ||||||
JPMorgan Mortgage Trust, | ||||||||
5.022%, 02/25/35 (B) | 1,000 | 927 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Mortgage Trust, | ||||||||
4.485%, 02/25/35 (B) | $ | 139 | $ | 137 | ||||
JPMorgan Mortgage Trust, | ||||||||
4.303%, 04/25/35 (B) | 360 | 350 | ||||||
JPMorgan Mortgage Trust, | ||||||||
5.600%, 04/25/36 (B) | 13,400 | 9,922 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.747%, 08/25/34 (B) | 1,657 | 1,528 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.648%, 11/25/33 (B) | 1,373 | 1,258 | ||||||
JPMorgan Mortgage Trust, | ||||||||
5.623%, 05/25/36 (B) | 12,616 | 10,543 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.782%, 08/25/34 (B) | 705 | 598 | ||||||
JPMorgan Re-REMIC, | ||||||||
5.848%, 09/26/36 (B) (C) | 572 | 572 | ||||||
JPMorgan Re-REMIC, | ||||||||
4.279%, 08/26/35 (B) (C) | 445 | 436 | ||||||
LB Commercial Conduit Mortgage Trust, Ser 2007-C3, Cl A3 | ||||||||
5.932%, 07/15/44 (B) | 844 | 898 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2002-C2, Cl A4 | ||||||||
5.594%, 06/15/31 | 552 | 558 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2002-C4, Cl A4 | ||||||||
4.563%, 09/15/26 | 231 | 232 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2004-C7, Cl A5 | ||||||||
4.628%, 10/15/29 | 853 | 883 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2005-C2, Cl A4 | ||||||||
4.998%, 04/15/30 | 2,624 | 2,756 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl A4 | ||||||||
5.156%, 02/15/31 | 350 | 382 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl XCL, IO | ||||||||
0.120%, 02/15/41 (B) (C) | 24,755 | 264 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C4, Cl A4 | ||||||||
5.870%, 06/15/38 (B) | 450 | 498 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A3 | ||||||||
5.398%, 02/15/40 | 272 | 281 |
56 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl AAB | ||||||||
5.403%, 02/15/40 | $ | 420 | $ | 442 | ||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C6, Cl A3 | ||||||||
5.933%, 07/15/40 | 3,363 | 3,551 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C6, Cl A4 | ||||||||
5.858%, 07/15/40 (B) | 2,810 | 3,008 | ||||||
LB-UBS Commercial Mortgage Trust, Ser C1, Cl A4 | ||||||||
5.424%, 02/15/40 | 1,565 | 1,682 | ||||||
LVII Resecuritization Trust, | ||||||||
3.000%, 09/27/37 (B) (C) | 708 | 675 | ||||||
LVII Resecuritization Trust, | ||||||||
3.000%, 09/27/37 (B) (C) | 1,000 | 987 | ||||||
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A6 | ||||||||
2.718%, 11/21/34 (B) | 478 | 468 | ||||||
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A7 | ||||||||
2.718%, 11/21/34 (B) | 1,585 | 1,476 | ||||||
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A7A | ||||||||
2.718%, 11/21/34 (B) | 11,650 | 10,937 | ||||||
Master Adjustable Rate Mortgages Trust, Ser 2007-3, Cl 12A1 | ||||||||
0.457%, 05/25/47 (B) | 14,633 | 7,117 | ||||||
Master Alternative Loans Trust, Ser 2004-4, Cl 1A1 | ||||||||
5.500%, 05/25/34 | 1,705 | 1,779 | ||||||
Master Reperforming Loan Trust, Ser 2005-1, Cl 1A1 | ||||||||
6.000%, 08/25/34 (C) | 3,103 | 3,024 | ||||||
Master Reperforming Loan Trust, Ser 2005-2, Cl 1A1F | ||||||||
0.607%, 05/25/35 (B) (C) | 624 | 494 | ||||||
Master Reperforming Loan Trust, Ser 2006-1, Cl 1A1F | ||||||||
0.617%, 07/25/35 (B) (C) | 1,393 | 1,098 | ||||||
Master Resecuritization Trust, Ser 2005-PO, Cl 3PO, PO | ||||||||
0.000%, 05/28/35 (C) | 354 | 262 | ||||||
MASTR Alternative Loans Trust, Ser 2003-9, Cl 2A1 | ||||||||
6.000%, 12/25/33 | 403 | 403 | ||||||
MASTR Alternative Loans Trust, | ||||||||
6.250%, 07/25/36 | 754 | 565 | ||||||
MASTR Asset Securitization Trust, | ||||||||
5.250%, 12/25/33 | 833 | 862 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MASTR Asset Securitization Trust, | ||||||||
5.000%, 03/25/18 | $ | 106 | $ | 109 | ||||
MASTR Asset Securitization Trust, | ||||||||
5.500%, 04/25/33 | 440 | 456 | ||||||
MASTR Asset Securitization Trust, | ||||||||
0.657%, 11/25/34 (B) | 10 | 10 | ||||||
Merrill Lynch Mortgage Investors, | ||||||||
2.731%, 07/25/33 (B) | 196 | 180 | ||||||
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 2A1 | ||||||||
2.435%, 02/25/34 (B) | 198 | 187 | ||||||
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A | ||||||||
5.238%, 02/25/34 (B) | 2,477 | 2,442 | ||||||
Merrill Lynch Mortgage Investors, Ser 2004-A4, Cl A2 | ||||||||
2.612%, 08/25/34 (B) | 383 | 358 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
4.949%, 07/12/38 (B) | 1,069 | 1,110 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
5.326%, 01/12/44 (B) | 480 | 441 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
1.988%, 02/25/36 (B) | 364 | 275 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
5.666%, 05/12/39 (B) | 505 | 560 | ||||||
Merrill Lynch, Ser 2006-4, Cl XC, IO | ||||||||
0.279%, 12/12/49 (B) (C) | 16,695 | 222 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-4, Cl A3 | ||||||||
5.172%, 12/12/49 (B) | 16,900 | 18,049 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-6, Cl A4 | ||||||||
5.485%, 03/12/51 (B) | 1,450 | 1,489 | ||||||
MLCC Mortgage Investors, | ||||||||
2.080%, 12/25/34 (B) | 663 | 625 | ||||||
MLCC Mortgage Investors, | ||||||||
0.787%, 04/25/29 (B) | 375 | 320 | ||||||
MLCC Mortgage Investors, | ||||||||
1.996%, 05/25/29 (B) | 525 | 493 | ||||||
MLCC Mortgage Investors, | ||||||||
0.835%, 08/25/29 (B) | 438 | 375 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 57 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MLCC Mortgage Investors, | ||||||||
2.058%, 04/25/35 (B) | $ | 69 | $ | 62 | ||||
Morgan Stanley Capital I, | ||||||||
4.900%, 06/15/40 | 323 | 325 | ||||||
Morgan Stanley Capital I, | ||||||||
4.390%, 09/13/45 | 527 | 539 | ||||||
Morgan Stanley Capital I, | ||||||||
5.037%, 01/14/42 | 312 | 322 | ||||||
Morgan Stanley Capital I, | ||||||||
4.989%, 08/13/42 | 2,600 | 2,844 | ||||||
Morgan Stanley Capital I, | ||||||||
5.179%, 11/14/42 (B) | 340 | 348 | ||||||
Morgan Stanley Capital I, | ||||||||
4.890%, 06/12/47 | 6,545 | 7,130 | ||||||
Morgan Stanley Capital I, | ||||||||
5.466%, 03/12/44 (B) | 972 | 988 | ||||||
Morgan Stanley Capital I, | ||||||||
5.731%, 07/12/44 (B) | 4,155 | 4,617 | ||||||
Morgan Stanley Capital I, | ||||||||
5.162%, 10/12/52 (B) | 11,485 | 12,671 | ||||||
Morgan Stanley Capital I, | ||||||||
5.983%, 08/12/41 (B) | 4,440 | 5,091 | ||||||
Morgan Stanley Capital I, Ser 2007-HQ11, Cl X, IO | ||||||||
0.425%, 02/12/44 (B) (C) | 45,190 | 369 | ||||||
Morgan Stanley Capital I, | ||||||||
5.357%, 12/15/44 | 776 | 779 | ||||||
Morgan Stanley Capital I, | ||||||||
5.641%, 06/11/42 (B) | 300 | 337 | ||||||
Morgan Stanley Capital I, | ||||||||
3.224%, 07/15/49 | 3,292 | 3,376 | ||||||
Morgan Stanley Capital I, | ||||||||
4.054%, 07/15/49 | 340 | 355 | ||||||
Morgan Stanley Capital I, | ||||||||
4.118%, 07/15/49 | 1,771 | 1,859 | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2001-TOP3, Cl A4 | ||||||||
6.390%, 07/15/33 | 128 | 128 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2002-HQ, Cl B | ||||||||
6.640%, 04/15/34 | $ | 680 | $ | 683 | ||||
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl A2 | ||||||||
4.920%, 03/12/35 | 1,060 | 1,095 | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl B | ||||||||
5.040%, 03/12/35 | 721 | 738 | ||||||
Morgan Stanley Mortgage Loan Trust, Ser 2004-3, Cl 4A | ||||||||
5.653%, 04/25/34 (B) | 740 | 750 | ||||||
Morgan Stanley Mortgage Loan Trust, Ser 2007-6XS, Cl 2A1S | ||||||||
0.367%, 02/25/47 (B) | 201 | 160 | ||||||
Morgan Stanley Re-REMIC Trust, Ser 2009-IO, Cl A2 | ||||||||
5.000%, 07/17/56 (C) | 1,300 | 1,326 | ||||||
Morgan Stanley Re-REMIC Trust, | ||||||||
3.000%, 07/17/56 (C) | 345 | 346 | ||||||
Morgan Stanley Re-REMIC Trust, | ||||||||
3.250%, 12/17/43 (C) | 1,000 | 999 | ||||||
Morgan Stanley Re-REMIC Trust, Ser 2010-HQ4B, Cl A7A | ||||||||
4.970%, 04/16/40 (C) | 1,300 | 1,355 | ||||||
Morgan Stanley Re-REMIC Trust, Ser 2011-IO, Cl A | ||||||||
2.500%, 03/23/51 (C) | 2,138 | 2,135 | ||||||
New York Mortgage Trust, Ser 2006-1, Cl 2A2 | ||||||||
2.789%, 05/25/36 (B) | 620 | 453 | ||||||
Nomura Asset Securities, Ser 1998-D6, Cl A2 | ||||||||
7.315%, 03/15/30 (B) | 2,754 | 2,897 | ||||||
PennyMac Loan Trust, | ||||||||
5.250%, 09/25/51 (B) (C) | 480 | 479 | ||||||
Prime Mortgage Trust, Ser 2004-CL1, Cl 1A1 | ||||||||
6.000%, 02/25/34 | 304 | 321 | ||||||
Prime Mortgage Trust, Ser 2004-CL1, Cl 1PO, PO | ||||||||
0.000%, 02/25/34 | 97 | 77 | ||||||
Prime Mortgage Trust, | ||||||||
5.500%, 05/25/35 (C) | 2,564 | 2,187 | ||||||
RBSSP Resecuritization Trust, Ser 2010-12, Cl 8A1 | ||||||||
4.000%, 06/27/21 (C) | 714 | 721 | ||||||
RBSSP Resecuritization Trust, Ser 2010-4, Cl 12A1 | ||||||||
4.500%, 03/26/21 (C) | 547 | 545 |
58 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
RBSSP Resecuritization Trust, | ||||||||
4.000%, 05/26/37 (B) (C) | $ | 1,000 | $ | 988 | ||||
Residential Accredit Loans, | ||||||||
5.500%, 08/25/33 | 623 | 626 | ||||||
Residential Accredit Loans, | ||||||||
5.000%, 09/25/18 | 407 | 418 | ||||||
Residential Accredit Loans, | ||||||||
5.750%, 10/25/33 | 452 | 467 | ||||||
Residential Accredit Loans, | ||||||||
5.500%, 05/25/34 | 1,495 | 1,309 | ||||||
Residential Accredit Loans, | ||||||||
1.590%, 09/25/45 (B) | 984 | 516 | ||||||
Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8 | ||||||||
6.500%, 11/25/31 | 797 | 803 | ||||||
Residential Asset Mortgage Products, Ser 2004-SL3, Cl A2 | ||||||||
6.500%, 12/25/31 | 1,371 | 1,367 | ||||||
Residential Asset Securitization Trust, Ser 2003-A5, Cl A1 | ||||||||
5.500%, 06/25/33 | 496 | 506 | ||||||
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 | ||||||||
2.598%, 12/25/34 (B) | 1,559 | 1,379 | ||||||
Residential Funding Mortgage Securities I, Ser 2003-S4, Cl A4 | ||||||||
5.750%, 03/25/33 | 551 | 579 | ||||||
Salomon Brothers Mortgage Securities VII, | ||||||||
4.467%, 03/18/36 | 115 | 115 | ||||||
Salomon Brothers Mortgage Securities VII, | ||||||||
2.736%, 09/25/33 (B) | 700 | 647 | ||||||
Sequoia Mortgage Trust, | ||||||||
0.715%, 01/20/35 (B) | 877 | 686 | ||||||
Sequoia Mortgage Trust, Ser 2010-H1, Cl A1 | ||||||||
3.750%, 02/25/40 (B) | 531 | 527 | ||||||
Sequoia Mortgage Trust, | ||||||||
4.125%, 02/25/41 (B) | 746 | 742 | ||||||
Springleaf Mortgage Loan Trust, Ser 2011-1A, Cl A1 | ||||||||
4.050%, 01/25/58 (B) (C) | 1,051 | 1,049 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Ser 2004-6, Cl 5A4 | ||||||||
4.950%, 06/25/34 (B) | 600 | 566 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Structured Adjustable Rate Mortgage Loan Trust, | ||||||||
0.577%, 10/25/35 (B) | $ | 4,586 | $ | 2,589 | ||||
Structured Asset Mortgage Investments, | ||||||||
0.915%, 10/19/34 (B) | 313 | 257 | ||||||
Structured Asset Mortgage Investments, | ||||||||
0.457%, 10/25/36 (B) | 5,695 | 2,829 | ||||||
Structured Asset Securities, Ser 2003-16, Cl A3 | ||||||||
0.757%, 06/25/33 (B) | 781 | 742 | ||||||
Structured Asset Securities, Ser 2003-31A, Cl 2A7 | ||||||||
2.437%, 10/25/33 (B) | 10,050 | 8,787 | ||||||
Structured Asset Securities, | ||||||||
5.230%, 11/25/33 (B) | 221 | 232 | ||||||
Structured Asset Securities, Ser 2003-33H, Cl 1A1 | ||||||||
5.500%, 10/25/33 | 878 | 888 | ||||||
Structured Asset Securities, Ser 2003-37A, Cl 2A | ||||||||
5.021%, 12/25/33 (B) | 278 | 275 | ||||||
Structured Asset Securities, Ser 2004-5H, Cl A4 | ||||||||
5.540%, 12/25/33 | 936 | 914 | ||||||
Thornburg Mortgage Securities Trust, Ser 2003-4, Cl A1 | ||||||||
0.897%, 09/25/43 (B) | 734 | 658 | ||||||
TIAA Seasoned Commercial Mortgage Trust, | ||||||||
5.908%, 08/15/39 (B) | 2,500 | 2,688 | ||||||
US Bank National Mortgage Association, Ser 2007-1, Cl A | ||||||||
5.920%, 05/25/12 | 3,234 | 3,316 | ||||||
Vendee Mortgage Trust CMO, Ser 1993-1, Cl ZB | ||||||||
7.250%, 02/15/23 | 2,403 | 2,780 | ||||||
Vericrest Opportunity Loan Transferee, Ser 2011-NL1A, Cl A1 | ||||||||
5.926%, 12/26/50 (B) (C) | 771 | 772 | ||||||
Vericrest Opportunity Loan Transferee, Ser 2011-NL1A, Cl A2 | ||||||||
9.077%, 12/26/50 (B) (C) | 900 | 898 | ||||||
Vericrest Opportunity Loan Transferee, Ser 2011-NL2A, Cl A1 | ||||||||
5.682%, 06/25/51 (B) (C) | 426 | 425 | ||||||
Vericrest Opportunity Loan Transferee, Ser 2011-NL2A, Cl A2 | ||||||||
9.317%, 06/25/51 (B) (C) | 500 | 500 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 59 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Vericrest Opportunity Loan Transferee, Ser 2011-NL3A, Cl A1 | ||||||||
5.194%, 09/25/51 (B) (C) | $ | 343 | $ | 343 | ||||
Vericrest Opportunity Loan Transferee, Ser 2011-NL3A, Cl A2 | ||||||||
9.318%, 09/25/51 (B) (C) | 168 | 168 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
6.287%, 04/15/34 | 222 | 223 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
4.241%, 10/15/35 (C) | 220 | 221 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
4.445%, 11/15/35 | 733 | 736 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
0.048%, 06/15/45 (B) (C) | 84,356 | 224 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
5.308%, 11/15/48 | 530 | 572 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2002-AR18, Cl A | ||||||||
2.575%, 01/25/33 (B) | 319 | 284 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
2.450%, 10/25/33 (B) | 545 | 514 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR6, Cl A1 | ||||||||
2.572%, 06/25/33 (B) | 524 | 487 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR7, Cl A7 | ||||||||
2.445%, 08/25/33 (B) | 449 | 423 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR8, Cl A | ||||||||
2.476%, 08/25/33 (B) | 272 | 256 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
2.466%, 09/25/33 (B) | 988 | 935 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 2A | ||||||||
2.554%, 09/25/33 (B) | 352 | 335 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-MS1, Cl 1A | ||||||||
5.000%, 02/25/18 | 296 | 299 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-S11, Cl 2A5 | ||||||||
16.343%, 11/25/33 (B) | 414 | 436 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
4.500%, 12/25/18 | $ | 376 | $ | 389 | ||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A10 | ||||||||
16.755%, 06/25/33 (B) | 125 | 140 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-S9, Cl A8 | ||||||||
5.250%, 10/25/33 | 2,261 | 2,330 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A1 | ||||||||
2.570%, 06/25/34 (B) | 271 | 262 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A2 | ||||||||
2.570%, 06/25/34 (B) | 355 | 343 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-CB2, Cl 7A | ||||||||
5.500%, 08/25/19 | 606 | 633 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-S1, Cl 1A3 | ||||||||
0.657%, 03/25/34 (B) | 177 | 172 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-S2, Cl 2A4 | ||||||||
5.500%, 06/25/34 | 751 | 770 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
0.547%, 10/25/45 (B) | 3,565 | 2,595 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
0.537%, 11/25/45 (B) | 5,566 | 3,615 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
2.575%, 12/25/35 (B) | 13,585 | 9,349 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
0.547%, 12/25/45 (B) | 5,283 | 3,776 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
1.300%, 01/25/46 (B) | 3,025 | 832 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR7, Cl 2A | ||||||||
1.210%, 07/25/46 (B) | 1,065 | 628 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
2.816%, 10/25/46 (B) | 1,337 | 894 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
4.298%, 11/25/36 (B) | 414 | 276 |
60 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
1.070%, 11/25/46 (B) | $ | 2,792 | $ | 1,548 | ||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
1.070%, 11/25/46 (B) | 1,611 | 308 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
2.816%, 11/25/46 (B) | 1,765 | 659 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
1.040%, 12/25/46 (B) | 558 | 179 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
2.816%, 12/25/46 (B) | 594 | 402 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR4, Cl DA | ||||||||
1.200%, 06/25/46 (B) | 1,199 | 453 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
1.150%, 09/25/46 (B) | 406 | 8 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
5.239%, 02/25/37 (B) | 5,335 | 3,315 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2007-OA5, Cl 1A | ||||||||
0.980%, 06/25/47 (B) | 11,389 | 6,163 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2007-OA6, Cl 1A | ||||||||
1.040%, 07/25/47 (B) | 11,787 | 6,443 | ||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser 2005-3, Cl CX, IO | ||||||||
5.500%, 05/25/35 | 615 | 112 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates, | ||||||||
5.750%, 02/25/33 | 167 | 174 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates, | ||||||||
0.000%, 05/25/33 | 245 | 188 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates, | ||||||||
0.000%, 04/25/33 | 357 | 294 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
4.750%, 12/25/18 | $ | 1,245 | $ | 1,284 | ||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.657%, 02/25/33 (B) | 671 | 640 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
4.416%, 10/25/33 (B) | 136 | 136 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
4.433%, 11/25/33 (B) | 827 | 836 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
4.916%, 02/25/34 (B) | 582 | 594 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
4.500%, 05/25/34 (B) | 127 | 127 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.714%, 12/25/34 (B) | 779 | 731 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.714%, 12/25/34 (B) | 520 | 493 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.750%, 12/25/34 (B) | 248 | 238 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.750%, 12/25/34 (B) | 372 | 362 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.736%, 07/25/34 (B) | 806 | 742 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
4.886%, 08/25/34 (B) | 393 | 403 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.678%, 09/25/34 (B) | 1,299 | 1,233 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.716%, 10/25/34 (B) | 662 | 625 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 61 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.716%, 10/25/34 (B) | $ | 529 | $ | 509 | ||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
5.000%, 01/25/20 | 345 | 357 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
5.000%, 11/25/20 | 322 | 335 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
5.353%, 08/25/35 (B) | 626 | 600 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.723%, 06/25/35 (B) | 981 | 909 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.666%, 10/25/33 (B) | 311 | 288 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
5.643%, 11/25/36 (B) | 764 | 667 | ||||||
WF-RBS Commercial Mortgage Trust, Ser 2011-C2, Cl XA, IO | ||||||||
1.182%, 02/15/44 (B) (C) | 8,336 | 462 | ||||||
WF-RBS Commercial Mortgage Trust, Ser 2011-C5, Cl A4 | ||||||||
3.667%, 11/15/44 | 3,935 | 3,988 | ||||||
WF-RBS Commercial Mortgage Trust, Ser C3, Cl A4 | ||||||||
4.375%, 03/15/44 (C) | 600 | 626 | ||||||
|
| |||||||
650,683 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities (Cost $3,075,025) ($ Thousands) | 3,118,362 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 25.1% |
| |||||||
Consumer Discretionary — 1.5% | ||||||||
CBS | ||||||||
8.875%, 05/15/19 | 125 | 160 | ||||||
7.875%, 07/30/30 | 160 | 200 | ||||||
5.750%, 04/15/20 (D) | 92 | 101 | ||||||
Comcast | ||||||||
6.500%, 01/15/15 | 3,425 | 3,869 | ||||||
6.500%, 01/15/17 (D) | 7,565 | 8,852 | ||||||
6.450%, 03/15/37 (D) | 200 | 227 | ||||||
5.650%, 06/15/35 | 230 | 238 | ||||||
4.950%, 06/15/16 | 4,125 | 4,545 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Comcast Cable Communications | ||||||||
8.375%, 03/15/13 | $ | 3,782 | $ | 4,133 | ||||
CVS | ||||||||
5.789%, 01/10/26 (C) | 1,818 | 1,898 | ||||||
CVS Caremark | ||||||||
6.600%, 03/15/19 | 180 | 215 | ||||||
6.125%, 09/15/39 | 140 | 156 | ||||||
5.750%, 05/15/41 | 1,155 | 1,268 | ||||||
4.125%, 05/15/21 | 360 | 374 | ||||||
CVS Lease Pass-Through | ||||||||
6.036%, 12/10/28 (C) | 2,696 | 2,756 | ||||||
CVS Lease Pass-Through Trust | ||||||||
5.880%, 01/10/28 | 167 | 169 | ||||||
Daimler Finance North America LLC | ||||||||
3.875%, 09/15/21 (C) | 665 | 649 | ||||||
2.625%, 09/15/16 (C) | 389 | 384 | ||||||
1.875%, 09/15/14 (C) | 4,920 | 4,845 | ||||||
DaimlerChrysler | ||||||||
7.300%, 01/15/12 | 2,415 | 2,431 | ||||||
6.500%, 11/15/13 | 460 | 500 | ||||||
Gap | ||||||||
5.950%, 04/12/21 | 4,058 | 3,838 | ||||||
Historic TW | ||||||||
9.150%, 02/01/23 | 500 | 677 | ||||||
Johnson Controls | ||||||||
5.250%, 12/01/41 | 440 | 439 | ||||||
4.250%, 03/01/21 | 265 | 277 | ||||||
3.750%, 12/01/21 | 289 | 289 | ||||||
Kohl’s | ||||||||
6.250%, 12/15/17 | 255 | 301 | ||||||
4.000%, 11/01/21 | 134 | 135 | ||||||
Lowe’s | ||||||||
7.110%, 05/15/37 | 400 | 511 | ||||||
5.125%, 11/15/41 | 48 | 49 | ||||||
3.800%, 11/15/21 | 2,648 | 2,646 | ||||||
McDonald’s MTN | ||||||||
5.350%, 03/01/18 | 1,300 | 1,530 | ||||||
Newell Rubbermaid | ||||||||
4.700%, 08/15/20 (D) | 176 | 180 | ||||||
Staples | ||||||||
9.750%, 01/15/14 | 305 | 348 | ||||||
Target | ||||||||
7.000%, 01/15/38 (D) | 135 | 175 | ||||||
4.000%, 06/15/13 | 355 | 373 | ||||||
Thomson Reuters | ||||||||
5.950%, 07/15/13 (D) | 1,405 | 1,505 | ||||||
4.700%, 10/15/19 | 250 | 271 | ||||||
Time Warner | ||||||||
7.625%, 04/15/31 | 4,830 | 5,929 | ||||||
6.250%, 03/29/41 | 277 | 307 | ||||||
5.375%, 10/15/41 | 37 | 37 | ||||||
4.750%, 03/29/21 (D) | 920 | 971 | ||||||
4.700%, 01/15/21 | 820 | 861 |
62 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Time Warner Cable | ||||||||
8.750%, 02/14/19 | $ | 3,220 | $ | 4,056 | ||||
8.250%, 04/01/19 | 3,295 | 4,088 | ||||||
7.300%, 07/01/38 | 400 | 479 | ||||||
6.750%, 07/01/18 (D) | 120 | 139 | ||||||
6.550%, 05/01/37 | 3,426 | 3,784 | ||||||
5.875%, 11/15/40 | 4,765 | 4,888 | ||||||
5.500%, 09/01/41 (D) | 3,420 | 3,399 | ||||||
4.125%, 02/15/21 | 360 | 358 | ||||||
4.000%, 09/01/21 (D) | 660 | 645 | ||||||
Time Warner Entertainment | ||||||||
8.375%, 07/15/33 | 100 | 132 | ||||||
United Business Media | ||||||||
5.750%, 11/03/20 (C) | 1,070 | 1,065 | ||||||
Volkswagen International Finance | ||||||||
1.625%, 08/12/13 (C) | 100 | 100 | ||||||
Wal-Mart Stores | ||||||||
5.800%, 02/15/18 | 1,910 | 2,311 | ||||||
5.625%, 04/15/41 | 3,545 | 4,236 | ||||||
Walt Disney | ||||||||
4.125%, 12/01/41 | 560 | 548 | ||||||
|
| |||||||
89,847 | ||||||||
|
| |||||||
Consumer Staples — 1.0% | ||||||||
Altria Group | ||||||||
10.200%, 02/06/39 | 970 | 1,393 | ||||||
9.250%, 08/06/19 | 2,120 | 2,730 | ||||||
4.750%, 05/05/21 | 3,062 | 3,199 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
7.750%, 01/15/19 | 7,700 | 9,918 | ||||||
5.375%, 11/15/14 | 2,770 | 3,087 | ||||||
5.375%, 01/15/20 | 2,570 | 2,968 | ||||||
5.000%, 04/15/20 | 910 | 1,030 | ||||||
Aristotle Holding | ||||||||
3.500%, 11/15/16 (C) | 4,920 | 4,952 | ||||||
Bunge Finance | ||||||||
8.500%, 06/15/19 | 350 | 420 | ||||||
5.900%, 04/01/17 | 107 | 116 | ||||||
Cencosud | ||||||||
5.500%, 01/20/21 (C) | 1,155 | 1,174 | ||||||
Coca-Cola | ||||||||
1.800%, 09/01/16 (C) | 3,164 | 3,189 | ||||||
Diageo Capital | ||||||||
4.828%, 07/15/20 | 300 | 331 | ||||||
Diageo Finance BV | ||||||||
5.500%, 04/01/13 | 300 | 318 | ||||||
GlaxoSmithKline Capital | ||||||||
4.375%, 04/15/14 (D) | 200 | 217 | ||||||
Kraft Foods | ||||||||
6.500%, 08/11/17 | 300 | 352 | ||||||
6.500%, 02/09/40 | 1,270 | 1,506 | ||||||
6.125%, 08/23/18 (D) | 700 | 815 | ||||||
5.375%, 02/10/20 | 4,515 | 5,014 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Kroger | ||||||||
7.500%, 04/01/31 | $ | 110 | $ | 146 | ||||
6.150%, 01/15/20 (D) | 300 | 360 | ||||||
5.400%, 07/15/40 | 45 | 47 | ||||||
PepsiCo | ||||||||
7.900%, 11/01/18 | 339 | 450 | ||||||
3.000%, 08/25/21 | 181 | 180 | ||||||
2.500%, 05/10/16 (D) | 2,585 | 2,669 | ||||||
Pernod-Ricard | ||||||||
5.750%, 04/07/21 (C) | 2,387 | 2,614 | ||||||
4.450%, 01/15/22 (C) | 6,048 | 6,063 | ||||||
Philip Morris International | ||||||||
2.900%, 11/15/21 | 2,530 | 2,462 | ||||||
Reynolds American | ||||||||
7.250%, 06/01/12 | 2,010 | 2,069 | ||||||
SABMiller | ||||||||
5.500%, 08/15/13 (C) | 320 | 342 | ||||||
Safeway | ||||||||
6.350%, 08/15/17 (D) | 2,616 | 2,943 | ||||||
Teva Pharmaceutical Finance BV | ||||||||
3.650%, 11/10/21 | 1,890 | 1,857 | ||||||
Teva Pharmaceutical Finance IV BV | ||||||||
3.650%, 11/10/21 | 300 | 295 | ||||||
|
| |||||||
65,226 | ||||||||
|
| |||||||
Energy — 2.2% | ||||||||
Alberta Energy | ||||||||
7.375%, 11/01/31 | 200 | 244 | ||||||
Anadarko Finance | ||||||||
7.500%, 05/01/31 | 73 | 88 | ||||||
Anadarko Petroleum | ||||||||
8.700%, 03/15/19 | 150 | 191 | ||||||
7.625%, 03/15/14 (D) | 450 | 505 | ||||||
6.950%, 06/15/19 | 90 | 105 | ||||||
6.375%, 09/15/17 | 4,090 | 4,688 | ||||||
5.950%, 09/15/16 | 190 | 212 | ||||||
ANR Pipeline | ||||||||
9.625%, 11/01/21 | 100 | 150 | ||||||
Apache | ||||||||
6.900%, 09/15/18 | 180 | 227 | ||||||
6.000%, 09/15/13 | 3,170 | 3,465 | ||||||
5.625%, 01/15/17 | 370 | 437 | ||||||
Baker Hughes | ||||||||
7.500%, 11/15/18 | 2,200 | 2,848 | ||||||
BG Energy Capital | ||||||||
5.125%, 10/15/41 (C) (D) | 200 | 207 | ||||||
4.000%, 10/15/21 (C) | 5,400 | 5,439 | ||||||
BP Capital Markets | ||||||||
5.250%, 11/07/13 | 3,230 | 3,468 | ||||||
3.875%, 03/10/15 | 630 | 665 | ||||||
3.625%, 05/08/14 | 100 | 105 | ||||||
3.561%, 11/01/21 | 210 | 212 | ||||||
3.125%, 03/10/12 (D) | 470 | 473 | ||||||
2.248%, 11/01/16 | 3,510 | 3,499 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 63 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Canadian Natural Resources | ||||||||
7.200%, 01/15/32 | $ | 150 | $ | 193 | ||||
Conoco Funding | ||||||||
7.250%, 10/15/31 | 885 | 1,203 | ||||||
6.950%, 04/15/29 | 1,235 | 1,634 | ||||||
ConocoPhillips | ||||||||
6.000%, 01/15/20 (D) | 460 | 560 | ||||||
5.900%, 10/15/32 | 10 | 12 | ||||||
5.900%, 05/15/38 | 670 | 803 | ||||||
Devon Energy | ||||||||
5.600%, 07/15/41 | 4,375 | 4,949 | ||||||
2.400%, 07/15/16 | 1,010 | 1,028 | ||||||
El Paso | ||||||||
6.950%, 06/01/28 | 2,250 | 2,346 | ||||||
El Paso Pipeline Partners Operating LLC | ||||||||
7.500%, 11/15/40 | 1,025 | 1,189 | ||||||
5.000%, 10/01/21 | 4,280 | 4,257 | ||||||
Encana | ||||||||
6.500%, 05/15/19 (D) | 250 | 296 | ||||||
5.150%, 11/15/41 | 3,325 | 3,245 | ||||||
Energen | ||||||||
4.625%, 09/01/21 | 3,035 | 3,001 | ||||||
Energy Transfer Partners | ||||||||
9.000%, 04/15/19 | 1,390 | 1,651 | ||||||
6.700%, 07/01/18 | 2,250 | 2,488 | ||||||
ENI | ||||||||
5.700%, 10/01/40 (C) | 900 | 901 | ||||||
Enterprise Products Operating LLC | ||||||||
9.750%, 01/31/14 | 3,470 | 4,013 | ||||||
5.700%, 02/15/42 | 1,500 | 1,580 | ||||||
4.050%, 02/15/22 | 1,980 | 1,977 | ||||||
EOG Resources | ||||||||
4.100%, 02/01/21 | 300 | 322 | ||||||
Gazprom Via Gaz Capital | ||||||||
6.212%, 11/22/16 (C) | 427 | 447 | ||||||
Halliburton | ||||||||
6.150%, 09/15/19 (D) | 300 | 366 | ||||||
Hess | ||||||||
8.125%, 02/15/19 | 3,250 | 4,021 | ||||||
Husky Energy | ||||||||
7.250%, 12/15/19 | 1,509 | 1,814 | ||||||
Kerr-McGee | ||||||||
6.950%, 07/01/24 | 5,250 | 6,213 | ||||||
Kinder Morgan Energy Partners | ||||||||
7.125%, 03/15/12 | 1,180 | 1,197 | ||||||
6.000%, 02/01/17 | 590 | 661 | ||||||
5.000%, 12/15/13 | 1,190 | 1,265 | ||||||
Marathon Petroleum | ||||||||
6.500%, 03/01/41 | 903 | 985 | ||||||
Occidental Petroleum | ||||||||
3.125%, 02/15/22 | 1,710 | 1,722 | ||||||
1.750%, 02/15/17 | 153 | 153 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Panhandle Eastern Pipeline | ||||||||
8.125%, 06/01/19 | $ | 1,086 | $ | 1,340 | ||||
Pemex Project Funding Master Trust | ||||||||
6.625%, 06/15/35 | 5,602 | 6,162 | ||||||
0.929%, 12/03/12 (B) (C) | 201 | 200 | ||||||
Petrobras International Finance | ||||||||
6.125%, 10/06/16 | 1,300 | 1,448 | ||||||
5.750%, 01/20/20 | 1,127 | 1,170 | ||||||
5.375%, 01/27/21 | 2,910 | 2,959 | ||||||
Petrobras International Finance - Pifco | ||||||||
3.875%, 01/27/16 | 1,480 | 1,502 | ||||||
Petro-Canada | ||||||||
7.875%, 06/15/26 | 100 | 134 | ||||||
6.800%, 05/15/38 | 3,850 | 4,603 | ||||||
6.050%, 05/15/18 | 260 | 305 | ||||||
Petroleos Mexicanos | ||||||||
6.500%, 06/02/41 (C) (D) | 780 | 842 | ||||||
Pride International | ||||||||
6.875%, 08/15/20 | 1,135 | 1,308 | ||||||
Schlumberger Investment | ||||||||
3.300%, 09/14/21 (C) (D) | 163 | 165 | ||||||
1.950%, 09/14/16 (C) | 2,680 | 2,692 | ||||||
Shell International Finance BV | ||||||||
6.375%, 12/15/38 | 1,290 | 1,714 | ||||||
4.375%, 03/25/20 | 80 | 91 | ||||||
4.300%, 09/22/19 (D) | 1,000 | 1,132 | ||||||
3.100%, 06/28/15 (D) | 165 | 175 | ||||||
Spectra Energy Capital LLC | ||||||||
8.000%, 10/01/19 | 702 | 871 | ||||||
Statoil | ||||||||
5.250%, 04/15/19 | 460 | 525 | ||||||
4.250%, 11/23/41 | 80 | 82 | ||||||
3.150%, 01/23/22 | 100 | 100 | ||||||
3.125%, 08/17/17 | 200 | 210 | ||||||
Suncor Energy | ||||||||
6.500%, 06/15/38 | 345 | 399 | ||||||
Talisman Energy | ||||||||
7.750%, 06/01/19 | 2,180 | 2,649 | ||||||
Tennessee Gas Pipeline | ||||||||
8.000%, 02/01/16 | 2,950 | 3,452 | ||||||
Tosco | ||||||||
8.125%, 02/15/30 | 100 | 144 | ||||||
7.800%, 01/01/27 | 210 | 290 | ||||||
Total Capital | ||||||||
4.125%, 01/28/21 | 74 | 79 | ||||||
2.300%, 03/15/16 (D) | 300 | 307 | ||||||
TransCanada Pipelines | ||||||||
7.125%, 01/15/19 (D) | 200 | 251 | ||||||
6.500%, 08/15/18 | 425 | 511 | ||||||
Transocean | ||||||||
7.350%, 12/15/41 | 498 | 498 | ||||||
6.500%, 11/15/20 | 485 | 482 | ||||||
6.375%, 12/15/21 | 1,157 | 1,156 | ||||||
5.050%, 12/15/16 | 1,390 | 1,389 |
64 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Union Pacific Resources Group | ||||||||
7.150%, 05/15/28 (D) | $ | 150 | $ | 174 | ||||
Western Gas Partners | ||||||||
5.375%, 06/01/21 | 3,740 | 3,755 | ||||||
Williams | ||||||||
8.750%, 03/15/32 | 1,822 | 2,458 | ||||||
7.875%, 09/01/21 | 1,825 | 2,303 | ||||||
7.750%, 06/15/31 | 339 | 423 | ||||||
Williams Partners | ||||||||
5.250%, 03/15/20 | 570 | 620 | ||||||
Williams, Ser A | ||||||||
7.500%, 01/15/31 | 876 | 1,077 | ||||||
|
| |||||||
135,867 | ||||||||
|
| |||||||
Financials — 14.0% | ||||||||
ABB Treasury Center USA | ||||||||
2.500%, 06/15/16 (C) | 6,855 | 6,885 | ||||||
Abbey National Treasury Services | ||||||||
4.000%, 04/27/16 (D) | 3,500 | 3,124 | ||||||
ACE INA Holdings | ||||||||
5.600%, 05/15/15 | 380 | 424 | ||||||
Achmea Hypotheekbank | ||||||||
3.200%, 11/03/14 (C) | 7,785 | 8,172 | ||||||
Aegon, Ser CMS | ||||||||
2.397%, 07/29/49 (B) | 2,180 | 871 | ||||||
Aflac | ||||||||
8.500%, 05/15/19 (D) | 165 | 199 | ||||||
6.450%, 08/15/40 (D) | 92 | 93 | ||||||
AIG SunAmerica Global Financing X | ||||||||
6.900%, 03/15/32 (C) | 150 | 154 | ||||||
Allstate | ||||||||
7.450%, 05/16/19 (D) | 4,680 | 5,594 | ||||||
5.000%, 08/15/14 | 300 | 326 | ||||||
Ally Financial | ||||||||
2.526%, 12/01/14 (B) | 4,579 | 3,986 | ||||||
1.750%, 10/30/12 | 3,960 | 4,021 | ||||||
American Express MTN | ||||||||
7.250%, 05/20/14 | 360 | 401 | ||||||
7.000%, 03/19/18 (D) | 500 | 585 | ||||||
5.875%, 05/02/13 | 1,880 | 1,979 | ||||||
American Express Credit MTN | ||||||||
7.300%, 08/20/13 | 500 | 540 | ||||||
5.125%, 08/25/14 | 6,140 | 6,572 | ||||||
2.800%, 09/19/16 (D) | 4,754 | 4,705 | ||||||
American Honda Finance MTN | ||||||||
7.625%, 10/01/18 (C) | 150 | 187 | ||||||
3.875%, 09/21/20 (C) | 2,840 | 2,894 | ||||||
2.600%, 09/20/16 (C) | 246 | 246 | ||||||
2.375%, 03/18/13 (C) | 150 | 152 | ||||||
American International Group | ||||||||
6.400%, 12/15/20 (D) | 540 | 528 | ||||||
6.250%, 03/15/37 | 3,840 | 2,822 | ||||||
5.850%, 01/16/18 | 1,205 | 1,165 | ||||||
4.875%, 09/15/16 | 960 | 898 | ||||||
3.750%, 11/30/13 (C) | 1,000 | 966 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
ANZ National Int’l | ||||||||
2.375%, 12/21/12 (C) | $ | 190 | $ | 192 | ||||
AON | ||||||||
6.250%, 09/30/40 | 79 | 93 | ||||||
3.500%, 09/30/15 | 46 | 47 | ||||||
3.125%, 05/27/16 | 235 | 236 | ||||||
ASIF Global Financing XIX | ||||||||
4.900%, 01/17/13 (C) | 1,133 | 1,150 | ||||||
Associates Corp of North America | ||||||||
6.950%, 11/01/18 | 650 | 699 | ||||||
Australia & New Zealand Banking Group | ||||||||
4.875%, 01/12/21 (C) (D) | 137 | 144 | ||||||
3.250%, 03/01/16 (C) | 200 | 203 | ||||||
2.400%, 11/23/16 (C) | 4,913 | 4,828 | ||||||
0.769%, 10/29/49 (B) | 1,400 | 742 | ||||||
BA Covered Bond Issuer | ||||||||
5.500%, 06/14/12 (C) | 1,500 | 1,536 | ||||||
BAC Capital Trust XIV | ||||||||
5.630%, 03/15/12 (B) | 180 | 111 | ||||||
Bank of America | ||||||||
7.625%, 06/01/19 (D) | 175 | 171 | ||||||
7.375%, 05/15/14 | 780 | 786 | ||||||
6.500%, 08/01/16 (D) | 13,038 | 12,604 | ||||||
6.100%, 06/15/17 | 6,000 | 5,326 | ||||||
6.000%, 09/01/17 | 2,610 | 2,399 | ||||||
5.750%, 12/01/17 | 2,420 | 2,207 | ||||||
5.650%, 05/01/18 | 1,685 | 1,483 | ||||||
5.625%, 10/14/16 | 10,925 | 10,100 | ||||||
5.625%, 07/01/20 | 2,875 | 2,537 | ||||||
5.420%, 03/15/17 | 5,030 | 4,523 | ||||||
5.000%, 05/13/21 | 4,395 | 3,722 | ||||||
4.500%, 04/01/15 | 6,540 | 6,080 | ||||||
3.750%, 07/12/16 | 3,540 | 3,081 | ||||||
3.625%, 03/17/16 | 2,770 | 2,438 | ||||||
Bank of America, Ser A | ||||||||
8.070%, 12/31/26 (C) | 1,030 | 948 | ||||||
Bank of Montreal | ||||||||
2.850%, 06/09/15 (C) | 4,355 | 4,514 | ||||||
1.300%, 10/31/14 (C) | 5,476 | 5,464 | ||||||
Bank of New York Mellon MTN | ||||||||
4.600%, 01/15/20 | 160 | 172 | ||||||
3.550%, 09/23/21 | 144 | 143 | ||||||
3.100%, 01/15/15 (D) | 125 | 130 | ||||||
2.950%, 06/18/15 (D) | 500 | 518 | ||||||
2.400%, 01/17/17 | 398 | 397 | ||||||
Bank of Nova Scotia | ||||||||
3.400%, 01/22/15 | 478 | 501 | ||||||
2.150%, 08/03/16 (C) | 2,653 | 2,661 | ||||||
1.650%, 10/29/15 (C) (D) | 355 | 353 | ||||||
Bank of Tokyo-Mitsubishi UFJ | ||||||||
3.850%, 01/22/15 (C) (D) | 1,007 | 1,069 | ||||||
Barclays Bank | ||||||||
6.050%, 12/04/17 (C) | 2,390 | 2,124 | ||||||
5.200%, 07/10/14 | 350 | 363 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 65 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.125%, 01/08/20 (D) | $ | 4,330 | $ | 4,233 | ||||
5.000%, 09/22/16 (D) | 4,800 | 4,870 | ||||||
2.500%, 01/23/13 | 500 | 496 | ||||||
2.500%, 09/21/15 (C) (D) | 365 | 358 | ||||||
0.563%, 08/07/49 (B) | 380 | 171 | ||||||
Barnett Capital III | ||||||||
1.054%, 02/01/27 (B) | 600 | 421 | ||||||
BB&T MTN | ||||||||
6.850%, 04/30/19 | 115 | 139 | ||||||
5.700%, 04/30/14 | 620 | 678 | ||||||
4.900%, 06/30/17 (D) | 400 | 423 | ||||||
3.950%, 04/29/16 (D) | 555 | 591 | ||||||
3.850%, 07/27/12 | 150 | 153 | ||||||
BBVA US Senior SAU | ||||||||
3.250%, 05/16/14 | 3,510 | 3,257 | ||||||
Bear Stearns | ||||||||
7.250%, 02/01/18 | 2,930 | 3,378 | ||||||
6.400%, 10/02/17 | 3,660 | 3,973 | ||||||
4.650%, 07/02/18 | 3,000 | 3,032 | ||||||
Berkshire Hathaway | ||||||||
3.750%, 08/15/21 (D) | 8,178 | 8,345 | ||||||
3.200%, 02/11/15 | 1,570 | 1,651 | ||||||
Berkshire Hathaway Finance | ||||||||
5.400%, 05/15/18 (D) | 6,660 | 7,582 | ||||||
2.450%, 12/15/15 (D) | 187 | 192 | ||||||
BHP Billiton Finance USA | ||||||||
3.250%, 11/21/21 | 4,600 | 4,627 | ||||||
BlackRock | ||||||||
6.250%, 09/15/17 (D) | 570 | 654 | ||||||
Blackstone Holdings Finance LLC | ||||||||
5.875%, 03/15/21 (C) | 1,180 | 1,131 | ||||||
Boeing Capital | ||||||||
2.900%, 08/15/18 | 1,545 | 1,581 | ||||||
Boston Properties‡ | ||||||||
3.700%, 11/15/18 | 3,275 | 3,275 | ||||||
Branch Banking & Trust | ||||||||
5.625%, 09/15/16 | 325 | 362 | ||||||
Caisse Centrale Desjardins du Quebec | ||||||||
2.550%, 03/24/16 (C) | 2,376 | 2,450 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
2.600%, 07/02/15 (C) | 3,385 | 3,492 | ||||||
Capital One Bank USA | ||||||||
8.800%, 07/15/19 | 250 | 291 | ||||||
Capital One Financial | ||||||||
7.375%, 05/23/14 | 450 | 492 | ||||||
6.750%, 09/15/17 | 740 | 826 | ||||||
4.750%, 07/15/21 (D) | 1,405 | 1,435 | ||||||
Caterpillar Financial Services MTN | ||||||||
7.150%, 02/15/19 | 250 | 317 | ||||||
6.200%, 09/30/13 | 3,440 | 3,756 | ||||||
5.850%, 09/01/17 | 580 | 684 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CDP Financial | ||||||||
3.000%, 11/25/14 (C) | $ | 6,800 | $ | 7,078 | ||||
Cedar Brakes I LLC | ||||||||
8.500%, 02/15/14 (C) | 722 | 751 | ||||||
Charles Schwab | ||||||||
4.950%, 06/01/14 | 100 | 108 | ||||||
Chase Capital VI | ||||||||
1.054%, 08/01/28 (B) | 2,000 | 1,456 | ||||||
Citigroup | ||||||||
8.500%, 05/22/19 (D) | 600 | 694 | ||||||
8.125%, 07/15/39 | 3,838 | 4,445 | ||||||
6.875%, 03/05/38 (D) | 4,420 | 4,660 | ||||||
6.500%, 08/19/13 (D) | 2,170 | 2,259 | ||||||
6.375%, 08/12/14 (D) | 2,650 | 2,792 | ||||||
6.125%, 05/15/18 | 390 | 406 | ||||||
6.010%, 01/15/15 | 1,000 | 1,036 | ||||||
6.000%, 12/13/13 | 2,920 | 3,022 | ||||||
6.000%, 08/15/17 | 4,270 | 4,444 | ||||||
5.500%, 04/11/13 | 1,758 | 1,801 | ||||||
5.500%, 02/15/17 (D) | 11,465 | 11,488 | ||||||
5.375%, 08/09/20 (D) | 1,183 | 1,187 | ||||||
5.000%, 09/15/14 | 2,490 | 2,491 | ||||||
4.587%, 12/15/15 | 114 | 114 | ||||||
4.500%, 01/14/22 | 3,846 | 3,561 | ||||||
3.953%, 06/15/16 (D) | 3,073 | 3,014 | ||||||
1.056%, 08/25/36 (B) | 2,839 | 1,877 | ||||||
Citigroup Capital III | ||||||||
7.625%, 12/01/36 | 2,000 | 1,835 | ||||||
Citigroup Funding | ||||||||
1.875%, 10/22/12 | 5,355 | 5,440 | ||||||
CME Group | ||||||||
5.750%, 02/15/14 (D) | 177 | 193 | ||||||
CNA Financial | ||||||||
6.500%, 08/15/16 | 995 | 1,067 | ||||||
5.875%, 08/15/20 | 274 | 275 | ||||||
5.850%, 12/15/14 | 200 | 210 | ||||||
5.750%, 08/15/21 | 1,690 | 1,681 | ||||||
Comerica | ||||||||
3.000%, 09/16/15 | 145 | 148 | ||||||
Commonwealth Bank of Australia MTN | ||||||||
5.000%, 10/15/19 (C) | 900 | 943 | ||||||
3.750%, 10/15/14 (C) | 1,030 | 1,070 | ||||||
CommonWealth REIT‡ | ||||||||
6.650%, 01/15/18 | 255 | 272 | ||||||
6.250%, 08/15/16 | 300 | 318 | ||||||
5.875%, 09/15/20 | 95 | 94 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
11.000%, 12/31/49 (B) (C) | 2,713 | 3,140 | ||||||
5.800%, 09/30/10 (C) | 300 | 320 | ||||||
5.250%, 05/24/41 | 2,266 | 2,269 | ||||||
4.500%, 01/11/21 (D) | 300 | 313 | ||||||
3.200%, 03/11/15 (C) (D) | 700 | 721 |
66 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Countrywide Financial | ||||||||
6.250%, 05/15/16 (D) | $ | 1,170 | $ | 1,088 | ||||
Credit Agricole | ||||||||
8.375%, 12/31/49 (B) (C) (D) | 4,550 | 3,299 | ||||||
2.625%, 01/21/14 (C) (D) | 1,480 | 1,423 | ||||||
Credit Suisse NY | ||||||||
6.000%, 02/15/18 (D) | 8,455 | 8,192 | ||||||
5.500%, 05/01/14 | 125 | 132 | ||||||
5.300%, 08/13/19 | 600 | 610 | ||||||
5.000%, 05/15/13 (D) | 4,489 | 4,626 | ||||||
4.375%, 08/05/20 | 670 | 647 | ||||||
Credit Suisse USA | ||||||||
5.125%, 08/15/15 (D) | 645 | 677 | ||||||
Deutsche Bank | ||||||||
4.875%, 05/20/13 | 2,260 | 2,322 | ||||||
3.875%, 08/18/14 (D) | 295 | 302 | ||||||
2.375%, 01/11/13 | 2,500 | 2,493 | ||||||
Deutsche Bank Capital Funding Trust | ||||||||
5.628%, 01/19/49 (B) (C) | 4,789 | 3,113 | ||||||
Dexia Credit Local | ||||||||
2.750%, 04/29/14 (C) | 13,575 | 12,557 | ||||||
DnB Boligkreditt | ||||||||
2.100%, 10/14/15 (C) | 10,132 | 10,258 | ||||||
Dresdner Funding Trust I | ||||||||
8.151%, 06/30/31 (C) | 365 | 234 | ||||||
ERAC USA Finance LLC | ||||||||
4.500%, 08/16/21 (C) | 175 | 175 | ||||||
2.250%, 01/10/14 (C) | 250 | 249 | ||||||
ERP Operating‡ | ||||||||
5.750%, 06/15/17 (D) | 500 | 543 | ||||||
5.125%, 03/15/16 | 1,000 | 1,075 | ||||||
Farmers Exchange Capital | ||||||||
7.200%, 07/15/48 (C) | 2,519 | 2,548 | ||||||
7.050%, 07/15/28 (C) | 1,063 | 1,104 | ||||||
Farmers Insurance Exchange | ||||||||
8.625%, 05/01/24 (C) | 4,118 | 5,025 | ||||||
FDIC Structured Sale Guaranteed Notes | ||||||||
1.450%, 10/25/13 (A) (C) | 1,570 | 1,551 | ||||||
First Chicago NBD Institutional Capital I | ||||||||
0.979%, 02/01/27 (B) | 3,750 | 2,767 | ||||||
First Industrial MTN | ||||||||
7.500%, 12/01/17 | 1,765 | 1,731 | ||||||
FMR LLC | ||||||||
6.450%, 11/15/39 (C) (D) | 250 | 263 | ||||||
Ford Motor Credit LLC | ||||||||
3.875%, 01/15/15 | 3,775 | 3,702 | ||||||
FUEL Trust | ||||||||
4.207%, 04/15/16 (C) | 401 | 395 | ||||||
3.984%, 06/15/16 (C) | 555 | 539 | ||||||
General Electric Capital MTN | ||||||||
6.875%, 01/10/39 | 6,717 | 7,468 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.750%, 03/15/32 (D) | $ | 150 | $ | 162 | ||||
6.375%, 11/15/67 (B) | 6,235 | 6,013 | ||||||
6.150%, 08/07/37 | 5,880 | 5,878 | ||||||
6.000%, 08/07/19 | 920 | 1,021 | ||||||
5.900%, 05/13/14 | 2,510 | 2,742 | ||||||
5.875%, 01/14/38 | 1,930 | 1,900 | ||||||
5.625%, 09/15/17 | 800 | 879 | ||||||
5.625%, 05/01/18 | 6,615 | 7,238 | ||||||
5.500%, 01/08/20 (D) | 480 | 515 | ||||||
5.400%, 02/15/17 (D) | 1,800 | 1,966 | ||||||
5.375%, 10/20/16 | 1,300 | 1,417 | ||||||
5.300%, 02/11/21 (D) | 2,073 | 2,123 | ||||||
4.650%, 10/17/21 | 3,520 | 3,534 | ||||||
4.625%, 01/07/21 | 3,430 | 3,406 | ||||||
2.250%, 11/09/15 (D) | 180 | 178 | ||||||
0.815%, 05/05/26 (B) | 4,345 | 3,124 | ||||||
0.607%, 09/15/14 (B) | 4,090 | 3,907 | ||||||
0.511%, 04/10/12 (B) (D) | 500 | 500 | ||||||
0.428%, 03/20/14 (B) | 2,000 | 1,961 | ||||||
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) | 3,100 | 752 | ||||||
6.330%, 07/28/11 (C) (E) | 2,440 | 592 | ||||||
Goldman Sachs Capital II | ||||||||
5.793%, 12/29/49 (B) | 13,260 | 8,520 | ||||||
Goldman Sachs Group | ||||||||
7.500%, 02/15/19 (D) | 3,046 | 3,251 | ||||||
6.600%, 01/15/12 | 2,750 | 2,758 | ||||||
6.250%, 09/01/17 (D) | 1,400 | 1,435 | ||||||
6.250%, 02/01/41 | 3,628 | 3,274 | ||||||
6.150%, 04/01/18 | 7,800 | 7,791 | ||||||
6.000%, 06/15/20 (D) | 3,855 | 3,762 | ||||||
5.950%, 01/18/18 | 3,175 | 3,156 | ||||||
5.750%, 10/01/16 | 1,000 | 1,019 | ||||||
5.450%, 11/01/12 | 750 | 766 | ||||||
5.375%, 03/15/20 | 540 | 509 | ||||||
5.300%, 02/14/12 | 150 | 151 | ||||||
5.250%, 10/15/13 | 980 | 996 | ||||||
5.250%, 07/27/21 (D) | 8,715 | 8,048 | ||||||
4.750%, 07/15/13 | 100 | 100 | ||||||
3.625%, 08/01/12 | 470 | 473 | ||||||
3.625%, 02/07/16 (D) | 1,895 | 1,784 | ||||||
0.816%, 07/22/15 (B) | 1,000 | 894 | ||||||
GTP Acquisition Partners I LLC | ||||||||
4.347%, 06/15/16 (C) | 606 | 611 | ||||||
HBOS MTN | ||||||||
6.750%, 05/21/18 (C) | 5,100 | 4,072 | ||||||
HBOS Capital Funding | ||||||||
6.071%, 06/30/49 (B) (C) | 1,920 | 1,171 | ||||||
HCP‡ | ||||||||
6.750%, 02/01/41 | 470 | 519 | ||||||
6.700%, 01/30/18 | 4,478 | 4,849 | ||||||
6.000%, 01/30/17 | 6,000 | 6,397 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 67 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.650%, 12/15/13 | $ | 2,850 | $ | 2,983 | ||||
5.375%, 02/01/21 (D) | 105 | 108 | ||||||
Health Care REIT‡ | ||||||||
6.500%, 03/15/41 | 2,528 | 2,401 | ||||||
5.250%, 01/15/22 | 1,600 | 1,538 | ||||||
4.950%, 01/15/21 | 4,910 | 4,594 | ||||||
Highwoods Properties‡ | ||||||||
7.500%, 04/15/18 | 1,339 | 1,522 | ||||||
Hongkong & Shanghai Banking | ||||||||
0.563%, 07/22/49 (B) | 195 | 88 | ||||||
HSBC Bank | ||||||||
4.750%, 01/19/21 (C) | 400 | 406 | ||||||
4.125%, 08/12/20 (C) | 261 | 254 | ||||||
3.100%, 05/24/16 (C) | 5,022 | 5,000 | ||||||
1.625%, 07/07/14 (C) | 728 | 720 | ||||||
0.538%, 06/29/49 (B) | 1,160 | 522 | ||||||
HSBC Bank USA NY | ||||||||
4.625%, 04/01/14 | 300 | 309 | ||||||
HSBC Finance | ||||||||
7.000%, 05/15/12 | 1,885 | 1,929 | ||||||
6.676%, 01/15/21 | 7,330 | 7,234 | ||||||
6.375%, 11/27/12 | 365 | 375 | ||||||
5.500%, 01/19/16 | 600 | 626 | ||||||
4.750%, 07/15/13 (D) | 166 | 170 | ||||||
0.653%, 01/15/14 (B) | 500 | 459 | ||||||
HSBC Holdings | ||||||||
6.800%, 06/01/38 | 1,624 | 1,602 | ||||||
6.100%, 01/14/42 | 930 | 977 | ||||||
5.100%, 04/05/21 (D) | 1,586 | 1,638 | ||||||
4.875%, 01/14/22 | 300 | 302 | ||||||
Hutchison Whampoa International | ||||||||
5.750%, 09/11/19 (C) | 2,360 | 2,589 | ||||||
ILFC E-Capital Trust II | ||||||||
6.250%, 12/21/65 (B) (C) (D) | 1,200 | 789 | ||||||
International Lease Finance | ||||||||
6.750%, 09/01/16 (C) | 6,140 | 6,171 | ||||||
6.500%, 09/01/14 (C) | 7,190 | 7,262 | ||||||
Intesa Sanpaolo | ||||||||
3.625%, 08/12/15 (C) (D) | 1,340 | 1,095 | ||||||
IPIC GMTN MTN | ||||||||
5.500%, 03/01/22 (C) | 2,120 | 2,072 | ||||||
Itau Unibanco Holding MTN | ||||||||
6.200%, 04/15/20 (C) | 475 | 485 | ||||||
Jackson National Life Global Funding MTN | ||||||||
5.375%, 05/08/13 (C) | 610 | 640 | ||||||
Jefferies Group | ||||||||
8.500%, 07/15/19 | 90 | 84 | ||||||
6.450%, 06/08/27 | 590 | 463 | ||||||
6.250%, 01/15/36 (D) | 400 | 299 | ||||||
3.875%, 11/09/15 (D) | 171 | 145 | ||||||
John Deere Capital MTN | ||||||||
5.750%, 09/10/18 | 300 | 359 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase | ||||||||
6.000%, 01/15/18 | $ | 400 | $ | 439 | ||||
5.750%, 01/02/13 | 760 | 789 | ||||||
5.600%, 07/15/41 (D) | 1,246 | 1,309 | ||||||
5.150%, 10/01/15 | 240 | 251 | ||||||
5.125%, 09/15/14 | 136 | 142 | ||||||
4.350%, 08/15/21 | 4,420 | 4,314 | ||||||
4.250%, 10/15/20 | 2,040 | 1,993 | ||||||
3.450%, 03/01/16 | 1,015 | 1,007 | ||||||
JPMorgan Chase Bank | ||||||||
6.000%, 07/05/17 | 2,300 | 2,436 | ||||||
6.000%, 10/01/17 | 12,275 | 13,134 | ||||||
0.668%, 06/13/16 (B) | 4,250 | 3,829 | ||||||
JPMorgan Chase Capital XIII | ||||||||
1.319%, 09/30/34 (B) | 1,440 | 1,042 | ||||||
JPMorgan Chase Capital XXII | ||||||||
6.450%, 02/02/37 | 480 | 475 | ||||||
JPMorgan Chase Capital XXIII | ||||||||
1.457%, 05/15/47 (B) | 4,000 | 2,803 | ||||||
Kaupthing Bank MTN | ||||||||
7.625%, 02/28/15 (C) (E) | 8,130 | 2,033 | ||||||
7.125%, 05/19/16 (C) (E) | 12,000 | 1 | ||||||
5.750%, 10/04/11 (C) (E) | 1,120 | 280 | ||||||
KeyBank | ||||||||
5.800%, 07/01/14 (D) | 600 | 641 | ||||||
Kilroy Realty‡ | ||||||||
6.625%, 06/01/20 | 535 | 567 | ||||||
5.000%, 11/03/15 | 830 | 851 | ||||||
4.800%, 07/15/18 | 2,225 | 2,179 | ||||||
Landsbanki Islands | ||||||||
6.100%, 08/25/11 (C) (E) | 6,520 | 228 | ||||||
Lazard Group | ||||||||
7.125%, 05/15/15 | 2,880 | 3,095 | ||||||
6.850%, 06/15/17 | 4,385 | 4,599 | ||||||
Lehman Brothers Holdings | ||||||||
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 | ||||||
Lincoln National | ||||||||
4.850%, 06/24/21 | 58 | 55 | ||||||
Lloyds TSB Bank | ||||||||
6.375%, 01/21/21 | 1,780 | 1,762 | ||||||
5.800%, 01/13/20 (C) | 380 | 363 | ||||||
4.875%, 01/21/16 | 1,750 | 1,710 | ||||||
M&T Bank | ||||||||
5.375%, 05/24/12 | 325 | 331 | ||||||
Macquarie Group MTN | ||||||||
7.300%, 08/01/14 (C) | 480 | 505 | ||||||
6.250%, 01/14/21 (C) (D) | 525 | 508 | ||||||
Manufacturers & Traders Trust | ||||||||
6.625%, 12/04/17 | 250 | 287 |
68 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Massachusetts Mutual Life Insurance | ||||||||
8.875%, 06/01/39 (C) | $ | 3,745 | $ | 5,357 | ||||
MassMutual Global Funding II | ||||||||
3.625%, 07/16/12 (C) | 300 | 305 | ||||||
2.875%, 04/21/14 (C) | 122 | 125 | ||||||
2.300%, 09/28/15 (C) | 100 | 100 | ||||||
MBNA Capital, Ser A | ||||||||
8.278%, 12/01/26 | 3,135 | 2,923 | ||||||
Merrill Lynch MTN | ||||||||
7.430%, 09/01/22 | 4 | 4 | ||||||
6.875%, 04/25/18 | 980 | 929 | ||||||
6.400%, 08/28/17 | 1,250 | 1,199 | ||||||
6.150%, 04/25/13 (D) | 210 | 210 | ||||||
5.700%, 05/02/17 | 600 | 541 | ||||||
MetLife | ||||||||
7.717%, 02/15/19 | 1,750 | 2,132 | ||||||
6.750%, 06/01/16 | 2,950 | 3,351 | ||||||
6.400%, 12/15/36 | 6,730 | 6,115 | ||||||
5.700%, 06/15/35 | 890 | 932 | ||||||
MetLife Capital Trust X | ||||||||
9.250%, 04/08/38 (C) | 2,700 | 3,014 | ||||||
MetLife Institutional Funding II | ||||||||
1.274%, 04/04/14 (B) (C) | 153 | 153 | ||||||
Metropolitan Life Global Funding I | ||||||||
5.125%, 04/10/13 (C) | 200 | 209 | ||||||
5.125%, 06/10/14 (C) (D) | 1,575 | 1,691 | ||||||
3.650%, 06/14/18 (C) | 490 | 490 | ||||||
2.500%, 01/11/13 (C) (D) | 925 | 937 | ||||||
2.500%, 09/29/15 (C) | 2,935 | 2,923 | ||||||
2.000%, 01/10/14 (C) | 200 | 200 | ||||||
Monumental Global Funding | ||||||||
5.500%, 04/22/13 (C) | 235 | 248 | ||||||
Morgan Stanley MTN | ||||||||
7.300%, 05/13/19 | 6,830 | 6,726 | ||||||
6.625%, 04/01/18 | 5,190 | 4,884 | ||||||
6.250%, 08/28/17 (D) | 550 | 522 | ||||||
6.000%, 05/13/14 | 5,135 | 5,106 | ||||||
5.950%, 12/28/17 | 245 | 230 | ||||||
5.750%, 01/25/21 | 235 | 210 | ||||||
5.625%, 09/23/19 | 2,385 | 2,083 | ||||||
5.550%, 04/27/17 (D) | 514 | 475 | ||||||
5.500%, 07/24/20 | 370 | 318 | ||||||
5.500%, 07/28/21 | 2,220 | 1,937 | ||||||
5.450%, 01/09/17 (D) | 250 | 230 | ||||||
5.300%, 03/01/13 (D) | 400 | 399 | ||||||
4.750%, 04/01/14 | 1,940 | 1,862 | ||||||
4.200%, 11/20/14 (D) | 1,836 | 1,746 | ||||||
3.800%, 04/29/16 | 2,940 | 2,588 | ||||||
0.855%, 10/18/16 (B) | 9,000 | 7,033 | ||||||
National Australia Bank | ||||||||
5.350%, 06/12/13 (C) | 5,495 | 5,794 | ||||||
3.750%, 03/02/15 (C) (D) | 455 | 467 | ||||||
3.000%, 07/27/16 (C) | 1,000 | 992 | ||||||
2.500%, 01/08/13 (C) | 550 | 556 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
National Bank of Canada | ||||||||
2.200%, 10/19/16 (C) | $ | 4,350 | $ | 4,378 | ||||
1.650%, 01/30/14 (C) (D) | 5,461 | 5,519 | ||||||
National City | ||||||||
4.900%, 01/15/15 | 400 | 430 | ||||||
National City Bank | ||||||||
5.800%, 06/07/17 | 525 | 577 | ||||||
0.703%, 06/07/17 (B) | 3,000 | 2,749 | ||||||
National Rural Utilities Cooperative Finance | ||||||||
10.375%, 11/01/18 | 230 | 329 | ||||||
2.625%, 09/16/12 | 95 | 96 | ||||||
Nationwide Mutual Insurance | ||||||||
9.375%, 08/15/39 (C) (D) | 460 | 519 | ||||||
6.600%, 04/15/34 (C) | 2,160 | 1,941 | ||||||
5.810%, 12/15/24 (B) (C) | 3,900 | 3,525 | ||||||
New York Life Global Funding | ||||||||
4.650%, 05/09/13 (C) | 300 | 315 | ||||||
3.000%, 05/04/15 (C) | 5,380 | 5,637 | ||||||
New York Life Insurance | ||||||||
6.750%, 11/15/39 (C) | 1,355 | 1,660 | ||||||
Nomura Holdings | ||||||||
6.700%, 03/04/20 (D) | 629 | 654 | ||||||
4.125%, 01/19/16 (D) | 150 | 144 | ||||||
Nordea Bank | ||||||||
4.875%, 01/14/21 (C) | 560 | 566 | ||||||
4.875%, 05/13/21 (C) (D) | 4,965 | 4,199 | ||||||
3.700%, 11/13/14 (C) | 1,960 | 2,007 | ||||||
1.750%, 10/04/13 (C) | 200 | 197 | ||||||
Nordea Eiendomskreditt | ||||||||
1.875%, 04/07/14 (C) | 6,025 | 6,061 | ||||||
Northern Trust | ||||||||
5.500%, 08/15/13 | 85 | 92 | ||||||
Northwestern Mutual Life Insurance | ||||||||
6.063%, 03/30/40 (C) | 2,700 | 3,060 | ||||||
PACCAR Financial MTN | ||||||||
1.550%, 09/29/14 | 140 | 141 | ||||||
Pacific Life Global Funding | ||||||||
5.150%, 04/15/13 (C) | 370 | 387 | ||||||
5.000%, 05/15/17 (C) | 170 | 179 | ||||||
PNC Bank | ||||||||
6.000%, 12/07/17 | 250 | 274 | ||||||
PNC Funding | ||||||||
5.125%, 02/08/20 (D) | 340 | 376 | ||||||
2.700%, 09/19/16 | 2,998 | 3,011 | ||||||
Power Receivables Finance | ||||||||
6.290%, 01/01/12 | 213 | 213 | ||||||
6.290%, 01/01/12 (C) (D) | 67 | 67 | ||||||
PPF Funding‡ | ||||||||
5.500%, 01/15/14 (C) | 5,000 | 5,111 | ||||||
Pricoa Global Funding I | ||||||||
5.450%, 06/11/14 (C) | 300 | 325 | ||||||
Principal Life Global Funding I | ||||||||
6.250%, 02/15/12 (C) | 600 | 606 | ||||||
5.050%, 03/15/15 (C) | 750 | 809 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 69 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Principal Life Income Funding Trusts MTN | ||||||||
5.100%, 04/15/14 | $ | 600 | $ | 629 | ||||
Private Export Funding | ||||||||
4.375%, 03/15/19 | 4,660 | 5,384 | ||||||
2.125%, 07/15/16 | 4,760 | 4,924 | ||||||
Protective Life | ||||||||
8.450%, 10/15/39 | 852 | 963 | ||||||
Prudential Financial MTN | ||||||||
5.625%, 05/12/41 | 611 | 563 | ||||||
4.500%, 11/16/21 | 1,325 | 1,287 | ||||||
Prudential Holdings LLC | ||||||||
8.695%, 12/18/23 (C) | 2,500 | 3,104 | ||||||
1.225%, 12/18/17 (B) (C) | 3,725 | 3,481 | ||||||
Prudential Insurance of America | ||||||||
8.300%, 07/01/25 (C) | 600 | 743 | ||||||
Resona Preferred Global Securities Cayman | ||||||||
7.191%, 07/30/49 (B) (C) (D) | 3,110 | 2,990 | ||||||
Royal Bank of Canada MTN | ||||||||
2.300%, 07/20/16 (D) | 640 | 646 | ||||||
0.563%, 06/29/85 (B) | 860 | 550 | ||||||
Royal Bank of Scotland | ||||||||
4.875%, 03/16/15 | 370 | 359 | ||||||
3.950%, 09/21/15 | 2,220 | 2,094 | ||||||
Royal Bank of Scotland Group MTN | ||||||||
7.640%, 09/29/17 | 1,000 | 551 | ||||||
6.400%, 10/21/19 | 3,000 | 2,809 | ||||||
Russian Agricultural Bank Via RSHB Capital | ||||||||
6.299%, 05/15/17 (C) | 1,190 | 1,197 | ||||||
Santander US Debt Unipersonal | ||||||||
3.724%, 01/20/15 (C) (D) | 2,980 | 2,747 | ||||||
Security Benefit Life Insurance | ||||||||
8.750%, 05/15/16 (C) | 5,200 | 5,370 | ||||||
Simon Property Group‡ | ||||||||
10.350%, 04/01/19 (D) | 520 | 706 | ||||||
6.750%, 05/15/14 | 165 | 182 | ||||||
5.650%, 02/01/20 | 133 | 149 | ||||||
4.375%, 03/01/21 (D) | 130 | 133 | ||||||
4.125%, 12/01/21 | 108 | 108 | ||||||
SL Green Realty‡ | ||||||||
5.000%, 08/15/18 | 560 | 532 | ||||||
SLM MTN | ||||||||
8.450%, 06/15/18 | 530 | 528 | ||||||
Societe Generale | ||||||||
0.844%, 11/29/49 (B) | 180 | 89 | ||||||
0.500%, 11/29/49 (B) | 680 | 335 | ||||||
Sparebanken 1 Boligkreditt | ||||||||
1.250%, 10/25/13 (C) | 2,400 | 2,400 | ||||||
Springleaf Finance MTN | ||||||||
6.900%, 12/15/17 | 170 | 114 | ||||||
Stadshypotek | ||||||||
1.450%, 09/30/13 (C) (D) | 5,729 | 5,697 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Standard Chartered | ||||||||
3.200%, 05/12/16 (C) | $ | 3,875 | $ | 3,797 | ||||
State Street | ||||||||
4.956%, 03/15/18 | 2,490 | 2,549 | ||||||
4.300%, 05/30/14 | 60 | 64 | ||||||
Sumitomo Mitsui Banking | ||||||||
3.150%, 07/22/15 (C) | 2,380 | 2,467 | ||||||
3.100%, 01/14/16 (C) | 640 | 662 | ||||||
SunTrust Preferred Capital I | ||||||||
5.853%, 12/15/11 (B) | 2,533 | 1,760 | ||||||
Svenska Handelsbanken | ||||||||
3.125%, 07/12/16 | 282 | 281 | ||||||
Swedbank Hypotek | ||||||||
2.950%, 03/28/16 (C) | 2,685 | 2,741 | ||||||
2.125%, 08/31/16 (C) | 2,030 | 1,991 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.850%, 12/16/39 (C) | 1,890 | 2,302 | ||||||
TNK-BP Finance | ||||||||
6.625%, 03/20/17 (C) | 510 | 530 | ||||||
Toll Road Investors Partnership II | ||||||||
5.449%, 02/15/45 (A) (C) | 4,869 | 226 | ||||||
Toronto-Dominion Bank | ||||||||
2.500%, 07/14/16 (D) | 538 | 545 | ||||||
2.200%, 07/29/15 (C) | 295 | 301 | ||||||
1.625%, 09/14/16 (C) | 8,975 | 8,801 | ||||||
Toyota Motor Credit MTN | ||||||||
3.400%, 09/15/21 | 3,915 | 3,960 | ||||||
3.200%, 06/17/15 | 308 | 323 | ||||||
2.000%, 09/15/16 | 930 | 925 | ||||||
Travelers | ||||||||
5.900%, 06/02/19 (D) | 145 | 169 | ||||||
Travelers Property Casualty | ||||||||
7.750%, 04/15/26 | 300 | 390 | ||||||
UBS MTN | ||||||||
5.875%, 12/20/17 (D) | 520 | 539 | ||||||
5.750%, 04/25/18 (D) | 150 | 154 | ||||||
4.875%, 08/04/20 | 600 | 585 | ||||||
3.875%, 01/15/15 | 1,690 | 1,680 | ||||||
2.250%, 08/12/13 | 250 | 248 | ||||||
2.250%, 01/28/14 | 1,690 | 1,656 | ||||||
UDR MTN‡ | ||||||||
5.000%, 01/15/12 | 2,000 | 2,005 | ||||||
4.250%, 06/01/18 | 2,000 | 2,047 | ||||||
US Bancorp MTN | ||||||||
4.125%, 05/24/21 | 134 | 146 | ||||||
2.875%, 11/20/14 | 415 | 432 | ||||||
2.450%, 07/27/15 | 1,245 | 1,271 | ||||||
Wachovia | ||||||||
5.750%, 06/15/17 | 690 | 778 | ||||||
5.500%, 05/01/13 (D) | 600 | 635 | ||||||
5.250%, 08/01/14 (D) | 650 | 686 | ||||||
0.768%, 10/28/15 (B) | 3,610 | 3,250 |
70 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Wachovia Bank MTN | ||||||||
6.000%, 11/15/17 | $ | 3,650 | $ | 4,065 | ||||
4.875%, 02/01/15 | 5,250 | 5,508 | ||||||
0.677%, 03/15/16 (B) | 1,200 | 1,118 | ||||||
Wachovia Capital Trust III | ||||||||
5.570%, 12/31/49 (B) | 5,292 | 4,472 | ||||||
WEA Finance LLC | ||||||||
7.125%, 04/15/18 (C) (D) | 3,655 | 4,027 | ||||||
6.750%, 09/02/19 (C) | 366 | 402 | ||||||
4.625%, 05/10/21 (C) | 1,030 | 988 | ||||||
Wells Fargo | ||||||||
5.625%, 12/11/17 | 350 | 393 | ||||||
5.000%, 11/15/14 | 1,085 | 1,150 | ||||||
4.600%, 04/01/21 (D) | 840 | 890 | ||||||
3.676%, 06/15/16 (D) | 3,170 | 3,318 | ||||||
Wells Fargo Bank | ||||||||
4.750%, 02/09/15 | 300 | 316 | ||||||
Wells Fargo Capital X | ||||||||
5.950%, 12/15/36 | 1,350 | 1,346 | ||||||
Westpac Banking | ||||||||
4.875%, 11/19/19 (D) | 919 | 956 | ||||||
2.450%, 11/28/16 (C) | 1,530 | 1,524 | ||||||
Woodbourne Capital Trust I | ||||||||
0.000%, 04/08/49 (B) (C) (I) | 625 | 231 | ||||||
Woodbourne Capital Trust II | ||||||||
0.000%, 04/08/49 (B) (C) (I) | 375 | 139 | ||||||
WR Berkley | ||||||||
5.375%, 09/15/20 | 525 | 520 | ||||||
ZFS Finance USA Trust II | ||||||||
6.450%, 12/15/65 (B) (C) (D) | 5,740 | 5,266 | ||||||
|
| |||||||
876,285 | ||||||||
|
| |||||||
Health Care — 0.8% |
| |||||||
Abbott Laboratories | ||||||||
5.600%, 11/30/17 | 450 | 532 | ||||||
Amgen | ||||||||
5.750%, 03/15/40 | 237 | 243 | ||||||
5.700%, 02/01/19 (D) | 100 | 111 | ||||||
5.650%, 06/15/42 | 3,950 | 4,001 | ||||||
5.150%, 11/15/41 | 4,465 | 4,305 | ||||||
4.500%, 03/15/20 | 84 | 87 | ||||||
3.875%, 11/15/21 | 2,375 | 2,341 | ||||||
Becton Dickinson | ||||||||
3.125%, 11/08/21 | 3,400 | 3,387 | ||||||
Boston Scientific | ||||||||
6.400%, 06/15/16 | 2,210 | 2,468 | ||||||
Coventry Health Care | ||||||||
5.950%, 03/15/17 | 3,453 | 3,857 | ||||||
Gilead Sciences | ||||||||
4.500%, 04/01/21 | 2,805 | 2,854 | ||||||
GlaxoSmithKline Capital | ||||||||
5.650%, 05/15/18 | 1,730 | 2,058 | ||||||
HCA | ||||||||
5.750%, 03/15/14 | 5,548 | 5,548 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Hospira | ||||||||
6.400%, 05/15/15 | $ | 20 | $ | 22 | ||||
Humana | ||||||||
7.200%, 06/15/18 | 2,120 | 2,471 | ||||||
Medco Health Solutions | ||||||||
7.125%, 03/15/18 | 250 | 289 | ||||||
2.750%, 09/15/15 (D) | 135 | 134 | ||||||
Medtronic | ||||||||
4.450%, 03/15/20 | 1,320 | 1,483 | �� | |||||
Pharmacia | ||||||||
6.500%, 12/01/18 | 430 | 534 | ||||||
Roche Holdings | ||||||||
6.000%, 03/01/19 (C) | 1,260 | 1,525 | ||||||
Thermo Fisher Scientific | ||||||||
3.600%, 08/15/21 | 770 | 787 | ||||||
3.200%, 03/01/16 | 1,425 | 1,500 | ||||||
UnitedHealth Group | ||||||||
6.875%, 02/15/38 | 300 | 385 | ||||||
5.800%, 03/15/36 | 560 | 634 | ||||||
5.700%, 10/15/40 | 910 | 1,031 | ||||||
3.875%, 10/15/20 | 980 | 1,021 | ||||||
3.375%, 11/15/21 | 225 | 223 | ||||||
WellPoint | ||||||||
5.875%, 06/15/17 | 350 | 399 | ||||||
3.700%, 08/15/21 | 2,790 | 2,808 | ||||||
Wyeth | ||||||||
5.950%, 04/01/37 | 2,460 | 2,999 | ||||||
|
| |||||||
50,037 | ||||||||
|
| |||||||
Industrials — 1.0% | ||||||||
Air 2 US | ||||||||
8.027%, 10/01/19 (C) | 1,615 | 1,566 | ||||||
Allied Waste North America | ||||||||
6.875%, 06/01/17 | 585 | 624 | ||||||
American Airlines, Ser 2011-2 Cl A Pass-Through Trust | ||||||||
8.625%, 10/15/21 (D) | 4,276 | 4,105 | ||||||
American Airlines, Ser 2011-1 Cl A Pass-Through Trust | ||||||||
5.250%, 01/31/21 | 113 | 101 | ||||||
BAE Systems | ||||||||
5.800%, 10/11/41 (C) | 90 | 90 | ||||||
4.750%, 10/11/21 (C) | 5,540 | 5,553 | ||||||
Boeing | ||||||||
4.875%, 02/15/20 | 2,650 | 3,025 | ||||||
Burlington Northern Santa Fe LLC | ||||||||
7.290%, 06/01/36 | 200 | 275 | ||||||
5.750%, 05/01/40 | 872 | 986 | ||||||
5.650%, 05/01/17 | 200 | 229 | ||||||
5.400%, 06/01/41 (D) | 200 | 223 | ||||||
4.700%, 10/01/19 (D) | 375 | 413 | ||||||
3.450%, 09/15/21 | 60 | 61 | ||||||
Canadian National Railway | ||||||||
5.850%, 11/15/17 (D) | 150 | 180 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 71 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Cargill | ||||||||
7.350%, 03/06/19 (C) | $ | 400 | $ | 503 | ||||
Caterpillar | ||||||||
5.200%, 05/27/41 | 2,805 | 3,178 | ||||||
3.900%, 05/27/21 | 1,260 | 1,348 | ||||||
Continental Airlines | ||||||||
5.983%, 04/19/22 (D) | 2,933 | 3,013 | ||||||
Continental Airlines, Ser 1999-1 Cl A Pass-Through Trust | ||||||||
6.545%, 02/02/19 | 138 | 143 | ||||||
Continental Airlines, | ||||||||
7.256%, 03/15/20 | 1,217 | 1,256 | ||||||
6.236%, 03/15/20 | 1,974 | 1,967 | ||||||
Continental Airlines, Ser 2000-1 Cl A-1 Pass-Through Trust | ||||||||
8.048%, 11/01/20 | 2,372 | 2,470 | ||||||
CRH America | ||||||||
6.000%, 09/30/16 | 154 | 163 | ||||||
CSX | ||||||||
7.375%, 02/01/19 (D) | 460 | 573 | ||||||
6.300%, 03/15/12 | 110 | 112 | ||||||
4.250%, 06/01/21 | 65 | 68 | ||||||
Danaher | ||||||||
3.900%, 06/23/21 | 266 | 291 | ||||||
Delta Air Lines, Ser 2007-1 Cl A Pass-Through Trust | ||||||||
6.821%, 08/10/22 | 1,815 | 1,847 | ||||||
Delta Air Lines, Ser 2010-2 Cl A Pass-Through Trust | ||||||||
4.950%, 05/23/19 (D) | 267 | 267 | ||||||
Delta Air Lines, Ser 2011-1 Cl A Pass-Through Trust | ||||||||
5.300%, 04/15/19 | 87 | 87 | ||||||
Eaton | ||||||||
7.625%, 04/01/24 | 325 | 441 | ||||||
Fluor | ||||||||
3.375%, 09/15/21 | 308 | 306 | ||||||
General Electric | ||||||||
5.250%, 12/06/17 | 250 | 280 | ||||||
JetBlue Airways Private Trust, Ser 2004-2, Cl G1 | ||||||||
0.832%, 08/15/16 (B) | 4,291 | 3,785 | ||||||
Koninklijke Philips Electronics | ||||||||
7.200%, 06/01/26 | 300 | 394 | ||||||
5.750%, 03/11/18 (D) | 100 | 114 | ||||||
Life Technologies | ||||||||
5.000%, 01/15/21 | 2,766 | 2,866 | ||||||
Lockheed Martin | ||||||||
5.720%, 06/01/40 | 405 | 433 | ||||||
3.350%, 09/15/21 | 3,435 | 3,331 | ||||||
2.125%, 09/15/16 (D) | 187 | 186 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Norfolk Southern | ||||||||
6.000%, 05/23/11 (D) | $ | 527 | $ | 586 | ||||
Northrop Grumman | ||||||||
1.850%, 11/15/15 | 3,205 | 3,174 | ||||||
Pitney Bowes MTN | ||||||||
5.600%, 03/15/18 (D) | 100 | 105 | ||||||
5.000%, 03/15/15 (D) | 225 | 239 | ||||||
4.875%, 08/15/14 (D) | 325 | 344 | ||||||
Raytheon | ||||||||
3.125%, 10/15/20 | 780 | 768 | ||||||
Ryder System MTN | ||||||||
3.600%, 03/01/16 | 132 | 137 | ||||||
Stryker | ||||||||
2.000%, 09/30/16 | 1,460 | 1,480 | ||||||
Tyco International Finance | ||||||||
8.500%, 01/15/19 | 170 | 221 | ||||||
Tyco International Group | ||||||||
7.000%, 12/15/19 | 150 | 184 | ||||||
Union Pacific | ||||||||
4.163%, 07/15/22 (D) | 437 | 465 | ||||||
Union Pacific Railroad 2003 | ||||||||
4.698%, 01/02/24 | 165 | 180 | ||||||
United Parcel Service | ||||||||
4.500%, 01/15/13 | 1,670 | 1,743 | ||||||
United Parcel Service of America | ||||||||
8.375%, 04/01/20 | 140 | 192 | ||||||
United Technologies | ||||||||
8.875%, 11/15/19 | 400 | 556 | ||||||
5.400%, 05/01/35 | 640 | 739 | ||||||
Verisk Analytics | ||||||||
5.800%, 05/01/21 | 1,240 | 1,386 | ||||||
Waste Management | ||||||||
7.125%, 12/15/17 | 1,650 | 1,982 | ||||||
4.750%, 06/30/20 | 299 | 321 | ||||||
2.600%, 09/01/16 | 1,015 | 1,031 | ||||||
|
| |||||||
62,686 | ||||||||
|
| |||||||
Information Technology — 0.4% | ||||||||
Adobe Systems | ||||||||
4.750%, 02/01/20 | 1,775 | 1,883 | ||||||
Arrow Electronics | ||||||||
6.875%, 07/01/13 | 100 | 108 | ||||||
6.875%, 06/01/18 | 270 | 297 | ||||||
6.000%, 04/01/20 (D) | 225 | 240 | ||||||
3.375%, 11/01/15 | 40 | 40 | ||||||
BAE Systems Holdings | ||||||||
5.200%, 08/15/15 (C) | 360 | 386 | ||||||
Cisco Systems | ||||||||
5.900%, 02/15/39 | 250 | 298 | ||||||
5.500%, 01/15/40 (D) | 500 | 569 | ||||||
Dell | ||||||||
5.650%, 04/15/18 (D) | 415 | 474 | ||||||
Fiserv | ||||||||
3.125%, 06/15/16 | 1,780 | 1,808 |
72 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Hewlett-Packard | ||||||||
6.000%, 09/15/41 | $ | 2,765 | $ | 2,978 | ||||
4.375%, 09/15/21 | 875 | 895 | ||||||
4.300%, 06/01/21 | 200 | 203 | ||||||
3.000%, 09/15/16 | 1,106 | 1,133 | ||||||
2.950%, 08/15/12 | 80 | 81 | ||||||
HP Enterprise Services LLC | ||||||||
7.450%, 10/15/29 | 500 | 618 | ||||||
Intel | ||||||||
4.800%, 10/01/41 | 293 | 306 | ||||||
3.300%, 10/01/21 (D) | 4,867 | 4,940 | ||||||
International Business Machines | ||||||||
8.000%, 10/15/38 | 100 | 158 | ||||||
7.625%, 10/15/18 | 365 | 479 | ||||||
1.950%, 07/22/16 | 126 | 128 | ||||||
Intuit | ||||||||
5.750%, 03/15/17 | 765 | 855 | ||||||
Microsoft | ||||||||
5.300%, 02/08/41 | 2,435 | 2,933 | ||||||
4.500%, 10/01/40 | 61 | 65 | ||||||
1.625%, 09/25/15 | 405 | 414 | ||||||
National Semiconductor | ||||||||
6.600%, 06/15/17 | 500 | 608 | ||||||
3.950%, 04/15/15 | 500 | 539 | ||||||
Oracle | ||||||||
6.500%, 04/15/38 | 100 | 131 | ||||||
5.375%, 07/15/40 (C) (D) | 97 | 112 | ||||||
5.000%, 07/08/19 | 450 | 518 | ||||||
Xerox | ||||||||
8.250%, 05/15/14 | 320 | 363 | ||||||
4.500%, 05/15/21 | 80 | 80 | ||||||
|
| |||||||
24,640 | ||||||||
|
| |||||||
Materials — 0.6% | ||||||||
Barrick Gold | ||||||||
6.950%, 04/01/19 | 1,660 | 1,994 | ||||||
Barrick North America Finance LLC | ||||||||
4.400%, 05/30/21 | 1,050 | 1,098 | ||||||
BHP Billiton Finance USA | ||||||||
6.500%, 04/01/19 (D) | 445 | 548 | ||||||
Braskem America Finance | ||||||||
7.125%, 07/22/41 (C) | 1,860 | 1,790 | ||||||
Dow Chemical | ||||||||
8.550%, 05/15/19 | 932 | 1,174 | ||||||
7.600%, 05/15/14 | 410 | 464 | ||||||
5.250%, 11/15/41 | 1,305 | 1,272 | ||||||
4.250%, 11/15/20 | 118 | 119 | ||||||
E.I. du Pont de Nemours | ||||||||
5.600%, 12/15/36 | 275 | 334 | ||||||
4.900%, 01/15/41 (D) | 125 | 134 | ||||||
1.950%, 01/15/16 | 162 | 166 | ||||||
Freeport-McMoRan Copper & Gold | ||||||||
8.375%, 04/01/17 | 2,885 | 3,069 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
International Paper | ||||||||
4.750%, 02/15/22 | $ | 1,305 | $ | 1,324 | ||||
Mosaic | ||||||||
4.875%, 11/15/41 | 117 | 115 | ||||||
3.750%, 11/15/21 (D) | 98 | 98 | ||||||
Nacional del Cobre de Chile | ||||||||
4.750%, 10/15/14 (C) | 900 | 965 | ||||||
3.875%, 11/03/21 (C) | 1,970 | 1,959 | ||||||
Potash Corp of Saskatchewan | ||||||||
6.500%, 05/15/19 | 250 | 306 | ||||||
4.875%, 03/30/20 | 10 | 11 | ||||||
PPG Industries | ||||||||
9.000%, 05/01/21 | 515 | 718 | ||||||
6.650%, 03/15/18 | 695 | 834 | ||||||
5.750%, 03/15/13 | 595 | 629 | ||||||
Praxair | ||||||||
5.200%, 03/15/17 | 215 | 247 | ||||||
4.375%, 03/31/14 | 250 | 269 | ||||||
Rio Tinto Finance USA | ||||||||
8.950%, 05/01/14 | 265 | 310 | ||||||
6.500%, 07/15/18 | 4,120 | 4,865 | ||||||
4.125%, 05/20/21 | 770 | 801 | ||||||
3.750%, 09/20/21 (D) | 1,530 | 1,549 | ||||||
3.500%, 11/02/20 | 77 | 77 | ||||||
Stauffer Chemical | ||||||||
5.831%, 04/15/18 (A) (H) | 860 | 192 | ||||||
5.702%, 04/15/17 (A) (H) | 350 | �� | 87 | |||||
Teck Resources | ||||||||
6.250%, 07/15/41 | 1,007 | 1,094 | ||||||
Union Carbide | ||||||||
7.750%, 10/01/96 | 200 | 228 | ||||||
7.500%, 06/01/25 | 200 | 236 | ||||||
Vale Overseas | ||||||||
8.250%, 01/17/34 | 365 | 457 | ||||||
6.875%, 11/21/36 | 2,958 | 3,233 | ||||||
Xstrata Canada Financial | ||||||||
6.000%, 11/15/41 (C) | 950 | 913 | ||||||
4.950%, 11/15/21 (C) | 1,870 | 1,824 | ||||||
|
| |||||||
35,503 | ||||||||
|
| |||||||
Telecommunication Services — 1.8% |
| |||||||
America Movil | ||||||||
5.625%, 11/15/17 | 1,450 | 1,643 | ||||||
5.000%, 03/30/20 | 740 | 791 | ||||||
2.375%, 09/08/16 | 1,568 | 1,531 | ||||||
American Tower | ||||||||
5.050%, 09/01/20 | 767 | 769 | ||||||
4.500%, 01/15/18 | 2,720 | 2,739 | ||||||
AT&T | ||||||||
8.000%, 11/15/31 | 43 | 58 | ||||||
6.700%, 11/15/13 | 500 | 552 | ||||||
6.550%, 02/15/39 | 1,890 | 2,277 | ||||||
6.400%, 05/15/38 | 905 | 1,063 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 73 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.300%, 01/15/38 | $ | 8,590 | $ | 9,996 | ||||
5.600%, 05/15/18 | 400 | 459 | ||||||
5.550%, 08/15/41 (D) | 5,250 | 5,692 | ||||||
5.500%, 02/01/18 (D) | 150 | 171 | ||||||
5.350%, 09/01/40 (D) | 1,431 | 1,497 | ||||||
5.100%, 09/15/14 | 2,310 | 2,546 | ||||||
4.850%, 02/15/14 (D) | 500 | 539 | ||||||
3.875%, 08/15/21 | 470 | 476 | ||||||
BellSouth | ||||||||
6.875%, 10/15/31 (D) | 150 | 178 | ||||||
6.550%, 06/15/34 (D) | 200 | 231 | ||||||
4.750%, 11/15/12 | 190 | 197 | ||||||
BellSouth Telecommunications | ||||||||
6.300%, 12/15/15 | 206 | 219 | ||||||
British Telecommunications | ||||||||
9.875%, 12/15/30 | 155 | 215 | ||||||
5.950%, 01/15/18 | 1,611 | 1,737 | ||||||
Cellco Partnership | ||||||||
8.500%, 11/15/18 | 2,080 | 2,766 | ||||||
7.375%, 11/15/13 | 810 | 906 | ||||||
Centel Capital | ||||||||
9.000%, 10/15/19 | 325 | 370 | ||||||
CenturyLink | ||||||||
7.600%, 09/15/39 (D) | 360 | 339 | ||||||
6.450%, 06/15/21 | 1,940 | 1,871 | ||||||
Comcast Cable Communications LLC | ||||||||
8.875%, 05/01/17 | 150 | 192 | ||||||
Comcast Cable Holdings LLC | ||||||||
10.125%, 04/15/22 | 190 | 269 | ||||||
COX Communications | ||||||||
5.450%, 12/15/14 | 1,075 | 1,192 | ||||||
Cox Enterprises | ||||||||
7.375%, 07/15/27 (C) | 170 | 201 | ||||||
Crown Castle Towers LLC | ||||||||
3.214%, 08/15/15 (C) | 290 | 294 | ||||||
Deutsche Telekom International Finance | ||||||||
5.750%, 03/23/16 | 2,085 | 2,301 | ||||||
Deutsche Telekom International Finance BV | ||||||||
6.000%, 07/08/19 (D) | 600 | 683 | ||||||
DIRECTV Holdings | ||||||||
6.000%, 08/15/40 | 3,000 | 3,121 | ||||||
DIRECTV Holdings LLC | ||||||||
4.600%, 02/15/21 (D) | 400 | 403 | ||||||
Discovery Communications LLC | ||||||||
4.375%, 06/15/21 (D) | 344 | 355 | ||||||
France Telecom | ||||||||
8.500%, 03/01/31 (D) | 170 | 235 | ||||||
2.750%, 09/14/16 (D) | 3,465 | 3,403 | ||||||
Frontier Communications | ||||||||
9.000%, 08/15/31 | 631 | 555 | ||||||
8.250%, 04/15/17 | 2,660 | 2,590 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GTE | ||||||||
8.750%, 11/01/21 | $ | 600 | $ | 830 | ||||
6.840%, 04/15/18 | 800 | 950 | ||||||
NBC Universal | ||||||||
5.950%, 04/01/41 (D) | 200 | 218 | ||||||
NBC Universal Media LLC | ||||||||
4.375%, 04/01/21 (D) | 1,596 | 1,633 | ||||||
2.875%, 04/01/16 | 2,769 | 2,816 | ||||||
New Cingular Wireless Services | ||||||||
8.125%, 05/01/12 | 1,195 | 1,232 | ||||||
News America | ||||||||
7.300%, 04/30/28 | 500 | 562 | ||||||
6.650%, 11/15/37 (D) | 385 | 421 | ||||||
6.200%, 12/15/34 | 315 | 331 | ||||||
6.150%, 03/01/37 | 4,425 | 4,633 | ||||||
6.150%, 02/15/41 (D) | 372 | 398 | ||||||
News America Holdings | ||||||||
8.875%, 04/26/23 | 200 | 257 | ||||||
7.700%, 10/30/25 | 200 | 241 | ||||||
Qwest | ||||||||
6.750%, 12/01/21 | 593 | 620 | ||||||
Reed Elsevier Capital | ||||||||
8.625%, 01/15/19 | 2,220 | 2,686 | ||||||
Sprint Capital | ||||||||
8.750%, 03/15/32 | 390 | 303 | ||||||
8.375%, 03/15/12 | 1,160 | 1,186 | ||||||
6.900%, 05/01/19 | 120 | 93 | ||||||
TCI Communications | ||||||||
8.750%, 08/01/15 | 701 | 856 | ||||||
7.125%, 02/15/28 | 400 | 482 | ||||||
Telecom Italia Capital | ||||||||
6.999%, 06/04/18 (D) | 500 | 453 | ||||||
6.175%, 06/18/14 | 100 | 96 | ||||||
4.950%, 09/30/14 | 3,910 | 3,624 | ||||||
Telefonica Emisiones | ||||||||
6.421%, 06/20/16 (D) | 100 | 101 | ||||||
2.582%, 04/26/13 | 3,930 | 3,811 | ||||||
Telefonica Emisiones SAU | ||||||||
6.221%, 07/03/17 (D) | 895 | 885 | ||||||
5.877%, 07/15/19 (D) | 395 | 373 | ||||||
5.462%, 02/16/21 | 129 | 115 | ||||||
5.134%, 04/27/20 | 1,820 | 1,605 | ||||||
Telefonica Moviles Chile | ||||||||
2.875%, 11/09/15 (C) | 1,498 | 1,467 | ||||||
Telemar Norte Leste | ||||||||
5.500%, 10/23/20 (C) | 2,464 | 2,415 | ||||||
Verizon Communications | ||||||||
8.750%, 11/01/18 | 194 | 259 | ||||||
6.100%, 04/15/18 | 3,649 | 4,313 | ||||||
5.850%, 09/15/35 (D) | 850 | 974 | ||||||
5.500%, 02/15/18 | 2,530 | 2,913 | ||||||
3.500%, 11/01/21 | 2,580 | 2,567 | ||||||
2.000%, 11/01/16 | 4,675 | 4,620 |
74 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Verizon Global Funding | ||||||||
7.750%, 12/01/30 | $ | 3,690 | $ | 4,929 | ||||
Verizon Maryland | ||||||||
7.150%, 05/01/23 | 600 | 642 | ||||||
Vodafone Group | ||||||||
5.450%, 06/10/19 | 226 | 259 | ||||||
|
| |||||||
114,791 | ||||||||
|
| |||||||
Utilities — 1.8% |
| |||||||
AGL Capital | ||||||||
5.875%, 03/15/41 | 73 | 87 | ||||||
5.250%, 08/15/19 | 170 | 187 | ||||||
4.450%, 04/15/13 | 400 | 414 | ||||||
Alabama Power | ||||||||
6.125%, 05/15/38 | 69 | 90 | ||||||
5.875%, 12/01/22 | 275 | 336 | ||||||
Ameren | ||||||||
8.875%, 05/15/14 | 2,225 | 2,515 | ||||||
American Water Capital | ||||||||
6.085%, 10/15/17 | 400 | 463 | ||||||
Appalachian Power | ||||||||
5.950%, 05/15/33 | 200 | 217 | ||||||
4.600%, 03/30/21 (D) | 150 | 162 | ||||||
Arizona Public Service | ||||||||
8.000%, 12/30/15 | 413 | 453 | ||||||
5.050%, 09/01/41 | 219 | 235 | ||||||
Atmos Energy | ||||||||
4.950%, 10/15/14 | 260 | 285 | ||||||
Carolina Power & Light | ||||||||
5.300%, 01/15/19 | 400 | 462 | ||||||
3.000%, 09/15/21 | 2,601 | 2,618 | ||||||
Cedar Brakes II LLC | ||||||||
9.875%, 09/01/13 (C) | 1,829 | 1,920 | ||||||
CenterPoint Energy | ||||||||
6.500%, 05/01/18 (D) | 271 | 316 | ||||||
CenterPoint Energy Houston Electric LLC | ||||||||
7.000%, 03/01/14 | 250 | 282 | ||||||
CenterPoint Energy Resources | ||||||||
6.125%, 11/01/17 | 320 | 365 | ||||||
4.500%, 01/15/21 | 246 | 257 | ||||||
Cleveland Electric Illuminating | ||||||||
8.875%, 11/15/18 | 2,245 | 3,013 | ||||||
7.880%, 11/01/17 | 310 | 388 | ||||||
CMS Energy | ||||||||
5.050%, 02/15/18 | 2,180 | 2,194 | ||||||
2.750%, 05/15/14 | 1,290 | 1,261 | ||||||
Comision Federal de Electricidad | ||||||||
4.875%, 05/26/21 (C) | 249 | 254 | ||||||
Consolidated Edison of New York | ||||||||
5.700%, 06/15/40 (D) | 154 | 188 | ||||||
Consumers Energy | ||||||||
6.700%, 09/15/19 (D) | 400 | 506 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Dominion Resources | ||||||||
8.875%, 01/15/19 | $ | 4,670 | $ | 6,094 | ||||
6.400%, 06/15/18 | 300 | 361 | ||||||
5.700%, 09/17/12 | 3,420 | 3,545 | ||||||
4.900%, 08/01/41 | 742 | 779 | ||||||
1.950%, 08/15/16 | 950 | 950 | ||||||
Duke Energy | ||||||||
6.300%, 02/01/14 | 415 | 460 | ||||||
5.625%, 11/30/12 | 405 | 424 | ||||||
3.550%, 09/15/21 | 232 | 237 | ||||||
Duke Energy Carolinas LLC | ||||||||
4.300%, 06/15/20 | 195 | 217 | ||||||
3.900%, 06/15/21 | 200 | 216 | ||||||
Duke Energy Indiana | ||||||||
3.750%, 07/15/20 | 180 | 192 | ||||||
Enel Finance International | ||||||||
6.000%, 10/07/39 (C) | 2,625 | 2,081 | ||||||
5.125%, 10/07/19 (C) | 500 | 452 | ||||||
3.875%, 10/07/14 (C) | 415 | 408 | ||||||
Exelon | ||||||||
5.625%, 06/15/35 | 2,415 | 2,573 | ||||||
Exelon Generation LLC | ||||||||
6.250%, 10/01/39 | 130 | 154 | ||||||
5.750%, 10/01/41 | 86 | 96 | ||||||
5.200%, 10/01/19 | 125 | 137 | ||||||
4.000%, 10/01/20 (D) | 588 | 600 | ||||||
FirstEnergy, Ser C | ||||||||
7.375%, 11/15/31 | 4,175 | 4,896 | ||||||
Florida Power & Light | ||||||||
5.125%, 06/01/41 | 197 | 232 | ||||||
Great Plains Energy | ||||||||
4.850%, 06/01/21 | 473 | 490 | ||||||
Hydro Quebec | ||||||||
2.000%, 06/30/16 (D) | 3,850 | 3,912 | ||||||
Indiana Michigan Power | ||||||||
7.000%, 03/15/19 (D) | 170 | 207 | ||||||
Jersey Central Power & Light | ||||||||
7.350%, 02/01/19 (D) | 500 | 629 | ||||||
Kansas City Power & Light | ||||||||
5.300%, 10/01/41 | 350 | 369 | ||||||
KCP&L Greater Missouri Operations | ||||||||
11.875%, 07/01/12 | 3,660 | 3,873 | ||||||
8.270%, 11/15/21 | 2,894 | 3,610 | ||||||
LG&E and KU Energy LLC | ||||||||
4.375%, 10/01/21 (C) | 1,550 | 1,594 | ||||||
Massachusetts Electric | ||||||||
5.900%, 11/15/39 (C) (D) | 210 | 257 | ||||||
MidAmerican Energy | ||||||||
5.300%, 03/15/18 (D) | 750 | 873 | ||||||
Midamerican Energy Holdings | ||||||||
6.500%, 09/15/37 | 4,100 | 5,130 | ||||||
6.125%, 04/01/36 | 952 | 1,133 | ||||||
National Grid | ||||||||
6.300%, 08/01/16 (D) | 835 | 958 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 75 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Nevada Power | ||||||||
7.125%, 03/15/19 | $ | 400 | $ | 495 | ||||
5.450%, 05/15/41 | 150 | 172 | ||||||
5.375%, 09/15/40 | 45 | 51 | ||||||
Niagara Mohawk Power | ||||||||
4.881%, 08/15/19 (C) | 180 | 199 | ||||||
Nisource Finance | ||||||||
6.800%, 01/15/19 | 3,747 | 4,360 | ||||||
6.125%, 03/01/22 | 2,400 | 2,702 | ||||||
5.800%, 02/01/42 | 1,776 | 1,816 | ||||||
Northern States Power | ||||||||
6.250%, 06/01/36 (D) | 350 | 473 | ||||||
5.350%, 11/01/39 | 56 | 69 | ||||||
Oncor Electric Delivery | ||||||||
6.800%, 09/01/18 (D) | 4,660 | 5,585 | ||||||
Oncor Electric Delivery LLC | ||||||||
4.550%, 12/01/41 (C) | 1,395 | 1,363 | ||||||
Pacific Gas & Electric | ||||||||
8.250%, 10/15/18 | 1,270 | 1,679 | ||||||
5.800%, 03/01/37 | 810 | 955 | ||||||
5.400%, 01/15/40 (D) | 156 | 176 | ||||||
4.500%, 12/15/41 | 180 | 178 | ||||||
3.250%, 09/15/21 | 35 | 35 | ||||||
PacifiCorp | ||||||||
6.250%, 10/15/37 | 310 | 393 | ||||||
5.650%, 07/15/18 | 100 | 119 | ||||||
5.500%, 01/15/19 | 400 | 473 | ||||||
PPL Electric Utilities | ||||||||
3.000%, 09/15/21 | 1,470 | 1,467 | ||||||
PPL WEM Holdings | ||||||||
3.900%, 05/01/16 (C) | 2,090 | 2,128 | ||||||
Progress Energy | ||||||||
6.850%, 04/15/12 | 1,525 | 1,558 | ||||||
6.000%, 12/01/39 | 200 | 242 | ||||||
PSEG Power LLC | ||||||||
5.500%, 12/01/15 | 445 | 494 | ||||||
5.320%, 09/15/16 (D) | 126 | 140 | ||||||
5.125%, 04/15/20 (D) | 120 | 133 | ||||||
4.150%, 09/15/21 | 72 | 73 | ||||||
2.750%, 09/15/16 | 1,055 | 1,055 | ||||||
Public Service Electric & Gas | ||||||||
5.375%, 11/01/39 | 97 | 117 | ||||||
2.700%, 05/01/15 | 135 | 141 | ||||||
Public Service of Colorado | ||||||||
4.750%, 08/15/41 | 349 | 392 | ||||||
Public Service of New Mexico | ||||||||
7.950%, 05/15/18 | 3,000 | 3,515 | ||||||
Public Service of Oklahoma | ||||||||
5.150%, 12/01/19 | 220 | 242 | ||||||
Puget Energy | ||||||||
6.000%, 09/01/21 | 650 | 649 | ||||||
Puget Sound Energy | ||||||||
4.434%, 11/15/41 | 1,305 | 1,293 | ||||||
San Diego Gas & Electric | ||||||||
3.950%, 11/15/41 | 41 | 41 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Sempra Energy | ||||||||
9.800%, 02/15/19 | $ | 100 | $ | 135 | ||||
8.900%, 11/15/13 | 400 | 451 | ||||||
6.500%, 06/01/16 | 135 | 157 | ||||||
6.000%, 10/15/39 | 170 | 204 | ||||||
2.000%, 03/15/14 | 1,575 | 1,593 | ||||||
Southern | ||||||||
4.150%, 05/15/14 | 85 | 91 | ||||||
1.950%, 09/01/16 (D) | 130 | 131 | ||||||
Southern California Edison | ||||||||
6.650%, 04/01/29 | 200 | 259 | ||||||
5.500%, 03/15/40 | 170 | 211 | ||||||
4.650%, 04/01/15 | 200 | 221 | ||||||
Southern Power | ||||||||
5.150%, 09/15/41 | 44 | 45 | ||||||
Southern Union | ||||||||
8.250%, 11/15/29 | 3,945 | 4,744 | ||||||
Southwestern Public Service | ||||||||
8.750%, 12/01/18 | 300 | 406 | ||||||
Texas-New Mexico Power | ||||||||
9.500%, 04/01/19 (C) | 875 | 1,147 | ||||||
Virginia Electric and Power | ||||||||
5.400%, 04/30/18 | 300 | 355 | ||||||
Wisconsin Electric Power | ||||||||
2.950%, 09/15/21 | 14 | 14 | ||||||
|
| |||||||
112,744 | ||||||||
|
| |||||||
Total Corporate Obligations |
| 1,567,626 | ||||||
|
| |||||||
ASSET-BACKED SECURITIES — 7.2% |
| |||||||
Automotive — 0.7% |
| |||||||
Ally Auto Receivables Trust, Ser 2010-1, Cl A3 | ||||||||
1.450%, 05/15/14 | 203 | 204 | ||||||
Ally Auto Receivables Trust, Ser 2010-3, Cl A4 | ||||||||
1.550%, 08/17/15 | 357 | 362 | ||||||
Ally Auto Receivables Trust, Ser 2010-4, Cl A3 | ||||||||
0.910%, 11/17/14 | 392 | 393 | ||||||
Ally Auto Receivables Trust, Ser 2011-1, Cl A2 | ||||||||
0.810%, 10/15/13 | 294 | 294 | ||||||
Ally Auto Receivables Trust, Ser 2011-1, Cl A3 | ||||||||
1.380%, 01/15/15 | 285 | 287 | ||||||
Ally Auto Receivables Trust, Ser 2011-4, Cl A4 | ||||||||
1.140%, 06/15/16 | 2,106 | 2,098 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
1.770%, 03/17/14 | 75 | 75 |
76 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-3, Cl A3 | ||||||||
1.140%, 04/08/15 | $ | 445 | $ | 445 | ||||
AmeriCredit Automobile Receivables Trust, Ser 2010-4, Cl A2 | ||||||||
0.960%, 05/08/14 | 326 | 326 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-4, Cl A3 | ||||||||
1.270%, 04/08/15 | 250 | 250 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-1, Cl A2 | ||||||||
0.840%, 06/09/14 | 356 | 356 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-1, Cl A3 | ||||||||
1.390%, 09/08/15 | 200 | 201 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-3, Cl A2 | ||||||||
0.840%, 11/10/14 | 945 | 944 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Ser 2010-3A, Cl A | ||||||||
4.640%, 05/20/16 (C) | 1,000 | 1,065 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Ser 2010-5A, Cl A | ||||||||
3.150%, 03/20/17 (C) | 440 | 444 | ||||||
Bank of America Auto Trust, Ser 2009-1A, Cl A3 | ||||||||
2.670%, 07/15/13 (C) | 99 | 100 | ||||||
Bank of America Auto Trust, Ser 2009-1A, Cl A4 | ||||||||
3.520%, 06/15/16 (C) | 200 | 204 | ||||||
Bank of America Auto Trust, Ser 2009-2A, Cl A3 | ||||||||
2.130%, 09/15/13 (C) | 171 | 171 | ||||||
Bank of America Auto Trust, Ser 2010-1A, Cl A4 | ||||||||
2.180%, 02/15/17 (C) | 310 | 316 | ||||||
Bank of America Auto Trust, Ser 2010-2, Cl A3 | ||||||||
1.310%, 07/15/14 | 121 | 121 | ||||||
CarMax Auto Owner Trust, Ser 2010-1, Cl A3 | ||||||||
1.560%, 07/15/14 | 238 | 239 | ||||||
CarMax Auto Owner Trust, Ser 2011-1, Cl A3 | ||||||||
1.380%, 09/15/15 | 500 | 503 | ||||||
CarMax Auto Owner Trust, Ser 2011-1, Cl A4 | ||||||||
2.290%, 09/15/16 | 530 | 543 | ||||||
CarMax Auto Owner Trust, Ser 2011-3, Cl A3 | ||||||||
1.070%, 06/15/16 | 506 | 504 | ||||||
Chrysler Financial Auto Securitization Trust, Ser 2009-A, Cl A3 | ||||||||
2.820%, 01/15/16 | 86 | 87 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ford Credit Auto Lease Trust, Ser 2011-A, Cl A2 | ||||||||
0.740%, 09/15/13 | $ | 900 | $ | 899 | ||||
Ford Credit Auto Owner Trust, Ser 2009-B, Cl A3 | ||||||||
2.790%, 08/15/13 | 99 | 100 | ||||||
Ford Credit Auto Owner Trust, Ser 2009-B, Cl A4 | ||||||||
4.942%, 07/15/14 | 300 | 311 | ||||||
Ford Credit Auto Owner Trust, Ser 2009-D, Cl A3 | ||||||||
2.170%, 10/15/13 | 1,786 | 1,797 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2009-1, Cl A4 | ||||||||
4.550%, 01/15/17 | 179 | 182 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2009-2, Cl A4 | ||||||||
3.320%, 02/15/17 | 278 | 282 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2009-3, Cl A4 | ||||||||
2.540%, 04/15/17 | 209 | 211 | ||||||
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 | 288 | 289 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2011-2, Cl A4 | ||||||||
1.470%, 08/15/17 | 2,512 | 2,511 | ||||||
Hertz Vehicle Financing LLC, Ser 2009-2A, Cl A2 | ||||||||
5.290%, 03/25/16 (C) | 2,100 | 2,278 | ||||||
Honda Auto Receivables Owner Trust, Ser 2009-3, Cl A3 | ||||||||
2.310%, 05/15/13 | 56 | 57 | ||||||
Honda Auto Receivables Owner Trust, Ser 2009-3, Cl A4 | ||||||||
3.300%, 09/15/15 | 250 | 255 | ||||||
Honda Auto Receivables Owner Trust, Ser 2010-3, Cl A2 | ||||||||
0.530%, 01/21/13 | 3,864 | 3,864 | ||||||
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 | 380 | ||||||
Hyundai Auto Receivables Trust, Ser 2011-A, Cl A3 | ||||||||
1.160%, 04/15/15 | 345 | 347 | ||||||
Hyundai Auto Receivables Trust, Ser 2011-A, Cl A4 | ||||||||
1.780%, 12/15/15 | 365 | 372 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 77 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Hyundai Auto Receivables Trust, Ser 2011-B, Cl A3 | ||||||||
1.040%, 09/15/15 | $ | 257 | $ | 258 | ||||
Hyundai Auto Receivables Trust, Ser 2011-B, Cl A4 | ||||||||
1.650%, 02/15/17 | 288 | 293 | ||||||
Hyundai Auto Receivables Trust, Ser 2011-C, Cl A4 | ||||||||
1.300%, 02/15/18 | 1,754 | 1,751 | ||||||
LAI Vehicle Lease Securitization Trust, Ser 2010-A, Cl A | ||||||||
2.550%, 09/15/16 (C) | 491 | 490 | ||||||
MMCA Automobile Trust, Ser 2011-A, Cl A4 | ||||||||
2.020%, 10/17/16 (C) | 1,618 | 1,640 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2010-A, Cl A3 | ||||||||
0.870%, 07/15/14 | 380 | 381 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2010-A, Cl A4 | ||||||||
1.310%, 09/15/16 | 300 | 302 | ||||||
Santander Drive Auto Receivables Trust, Ser 2010-A, Cl A4 | ||||||||
2.390%, 06/15/17 (C) | 400 | 406 | ||||||
Santander Drive Auto Receivables Trust, Ser 2011-S2A, Cl B | ||||||||
2.060%, 06/15/17 (C) | 189 | 189 | ||||||
Toyota Auto Receivables Owner Trust, Ser 2011-A, Cl A4 | ||||||||
1.560%, 05/15/15 | 415 | 421 | ||||||
USAA Auto Owner Trust, Ser 2008-3, Cl A4 | ||||||||
4.710%, 02/18/14 | 3,462 | 3,492 | ||||||
USAA Auto Owner Trust, Ser 2009-2, Cl A4 | ||||||||
2.530%, 07/15/15 | 365 | 372 | ||||||
Volkswagen Auto Loan Enhanced Trust, Ser 2008-1, Cl A4 | ||||||||
1.955%, 10/20/14 (B) | 3,331 | 3,338 | ||||||
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 2008-A, Cl A4 | ||||||||
4.740%, 10/15/13 | 2,157 | 2,188 | ||||||
World Omni Auto Receivables Trust, Ser 2010-A, Cl A4 | ||||||||
2.210%, 05/15/15 | 550 | 559 | ||||||
|
| |||||||
41,709 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Credit Cards — 0.8% | ||||||||
Capital One Multi-Asset Execution Trust, Ser 2004-A4, Cl A4 | ||||||||
0.469%, 03/15/17 (B) | $ | 968 | $ | 965 | ||||
Capital One Multi-Asset Execution Trust, Ser 2005-A10, Cl A | ||||||||
0.329%, 09/15/15 (B) | 1,867 | 1,864 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2006-A5, Cl A5 | ||||||||
0.309%, 01/15/16 (B) | 370 | 369 | ||||||
Chase Issuance Trust, Ser 2005-A11, Cl A | ||||||||
0.319%, 12/15/14 (B) | 5,394 | 5,392 | ||||||
Chase Issuance Trust, Ser 2005-A6, Cl A6 | ||||||||
0.319%, 07/15/14 (B) | 1,396 | 1,396 | ||||||
Citibank Omni Master Trust, Ser 2009-A14A, Cl A14 | ||||||||
2.999%, 08/15/18 (B) (C) | 12,075 | 12,678 | ||||||
Citibank Omni Master Trust, Ser 2009-A8, Cl A8 | ||||||||
2.348%, 05/16/16 (B) (C) | 6,587 | 6,638 | ||||||
Discover Card Master Trust, Ser 2009-A1, Cl A1 | ||||||||
1.549%, 12/15/14 (B) | 1,815 | 1,828 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2009-2, Cl A | ||||||||
3.690%, 07/15/15 | 7,383 | 7,522 | ||||||
MBNA Master Credit Card Trust, Ser 1997-B, Cl A | ||||||||
0.409%, 08/15/14 (B) | 8,421 | 8,422 | ||||||
World Financial Network Credit Card Master Trust, Ser 2011-A, Cl A | ||||||||
1.680%, 08/15/18 | 2,327 | 2,325 | ||||||
|
| |||||||
49,399 | ||||||||
|
| |||||||
Mortgage Related Securities — 1.3% |
| |||||||
ABFS Mortgage Loan Trust, Ser 2002-3, Cl A | ||||||||
4.763%, 09/15/33 | 3 | 3 | ||||||
ABS Home Equity, Ser 2001-HE3, Cl A1 | ||||||||
0.789%, 11/15/31 (B) | 210 | 170 | ||||||
Accredited Mortgage Loan Trust, Ser 2005-3, Cl A2D | ||||||||
0.627%, 09/25/35 (B) | 1,840 | 1,686 | ||||||
ACE Securities, Ser 2006-SL3, Cl A1 | ||||||||
0.357%, 06/25/36 (B) | 6,015 | 1,170 | ||||||
AFC Home Equity Loan Trust, Ser 2000-1, Cl 2A | ||||||||
0.497%, 03/25/30 (B) | 2,147 | 710 | ||||||
Arch Bay Asset-Backed Securities, Ser 2010-2, Cl A | ||||||||
4.125%, 04/25/57 (B) (C) | 247 | 246 |
78 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Argent Securities, | ||||||||
0.777%, 04/25/34 (B) | $ | 1,113 | $ | 893 | ||||
Asset-Backed Securities Home Equity, Ser 2003-HE7, Cl M1 | ||||||||
1.224%, 12/15/33 (B) | 2,850 | 2,139 | ||||||
Asset-Backed Funding Certificates, Ser 2005-AQ1, Cl A4 | ||||||||
5.010%, 06/25/35 | 702 | 646 | ||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||
1.007%, 03/25/43 (B) | 2,581 | 2,283 | ||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||
0.647%, 12/25/35 (B) | 4,488 | 3,987 | ||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||
0.627%, 08/25/35 (B) | 7,140 | 6,072 | ||||||
Citicorp Residential Mortgage Securities, Ser 2006-2, Cl A4 | ||||||||
5.775%, 09/25/36 | 6,000 | 5,821 | ||||||
Citigroup Mortgage Loan Trust, Ser 2007-AHL1, Cl A2A | ||||||||
0.297%, 12/25/36 (B) | 180 | 174 | ||||||
Conseco Finance Home Loan Trust, Ser 2001-D, Cl A5 | ||||||||
6.690%, 11/15/32 (B) | 2,870 | 2,895 | ||||||
Contimortgage Home Equity Trust, Ser 1997-2, Cl A9 | ||||||||
7.090%, 04/15/28 | 3 | 3 | ||||||
Delta Funding Home Equity Loan Trust, Ser 1999-3, Cl A1A | ||||||||
1.069%, 09/15/29 (B) | 310 | 235 | ||||||
EMC Mortgage Loan Trust, Ser 2002-AA, Cl A1 | ||||||||
0.727%, 05/25/39 (B) (C) | 723 | 595 | ||||||
GSAA Trust, Ser 2005-6, Cl A3 | ||||||||
0.615%, 06/25/35 (B) | 4,100 | 2,563 | ||||||
Home Equity Asset Trust, Ser 2007-2, Cl 2A1 | ||||||||
0.367%, 07/25/37 (B) | 1,250 | 1,223 | ||||||
HSBC Home Equity Loan Trust, Ser 2005-2, Cl A1 | ||||||||
0.525%, 01/20/35 (B) | 4,038 | 3,583 | ||||||
HSBC Home Equity Loan Trust, Ser 2005-2, Cl M2 | ||||||||
0.745%, 01/20/35 (B) | 449 | 389 | ||||||
HSBC Home Equity Loan Trust, Ser 2006-1, Cl A1 | ||||||||
0.415%, 01/20/36 (B) | 6,328 | 5,898 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
HSBC Home Equity Loan Trust, Ser 2006-2, Cl A1 | ||||||||
0.405%, 03/20/36 (B) | $ | 315 | $ | 291 | ||||
HSBC Home Equity Loan Trust, Ser 2007-1, Cl A2F | ||||||||
5.600%, 03/20/36 | 595 | 598 | ||||||
HSBC Home Equity Loan Trust, Ser 2007-1, Cl A2V | ||||||||
0.435%, 03/20/36 (B) | 5,911 | 5,760 | ||||||
HSBC Home Equity Loan Trust, Ser 2007-1, Cl AS | ||||||||
0.455%, 03/20/36 (B) | 253 | 212 | ||||||
HSBC Home Equity Loan Trust, Ser 2007-3, Cl APT | ||||||||
1.455%, 11/20/36 (B) | 723 | 640 | ||||||
Lake Country Mortgage Loan Trust, Ser 2006-HE1, Cl A3 | ||||||||
0.607%, 07/25/34 (B) (C) | 898 | 854 | ||||||
Master Asset-Backed Securities Trust, Ser 2005-WF1, Cl A2D | ||||||||
0.627%, 06/25/35 (B) | 7,257 | 6,809 | ||||||
Morgan Stanley ABS Capital I, Ser 2004-WMC3, Cl M1 | ||||||||
1.007%, 01/25/35 (B) | 125 | 123 | ||||||
Morgan Stanley ABS Capital I, Ser 2007-HE2, Cl A2A | ||||||||
0.297%, 01/25/37 (B) | 80 | 78 | ||||||
Morgan Stanley Home Equity Loans, Ser 2007-1, Cl A1 | ||||||||
0.307%, 12/25/36 (B) | 9 | 9 | ||||||
Morgan Stanley Mortgage Loan Trust, Ser 2007-3XS, Cl 2A3S | ||||||||
5.858%, 01/25/47 | 29 | 15 | ||||||
MSDWCC Heloc Trust, | ||||||||
0.797%, 11/25/15 (B) | 36 | 34 | ||||||
New Century Home Equity Loan Trust, Ser 2005-2, Cl M1 | ||||||||
0.687%, 06/25/35 (B) | 6,975 | 5,632 | ||||||
Option One Mortgage Loan Trust, Ser 2001-4, Cl A | ||||||||
0.857%, 01/25/32 (B) | 187 | 163 | ||||||
Option One Mortgage Loan Trust, Ser 2007-1, Cl 2A3 | ||||||||
0.397%, 01/25/37 (B) | 17,000 | 5,452 | ||||||
Renaissance Home Equity Loan Trust, Ser 2005-2, Cl AF3 | ||||||||
4.499%, 08/25/35 | 603 | 586 | ||||||
Residential Asset Securities, Ser 2005-KS9, Cl A3 | ||||||||
0.627%, 10/25/35 (B) | 500 | 474 | ||||||
Residential Funding Mortgage Securities II, Ser 2000-HI1, Cl AI7 | ||||||||
8.790%, 02/25/25 | 574 | 565 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 79 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Salomon Brothers Mortgage Securities VII, Ser 2003-UP1, Cl A | ||||||||
3.950%, 04/25/32 (C) | $ | 219 | $ | 184 | ||||
Saxon Asset Securities Trust, Ser 2003-1, Cl AF6 | ||||||||
4.795%, 06/25/33 | 333 | 333 | ||||||
Security National Mortgage Loan Trust, Ser 2007-1A, Cl 2A | ||||||||
0.607%, 04/25/37 (B) (C) | 761 | 441 | ||||||
Structured Asset Securities, Ser 2002-AL1, Cl A2 | ||||||||
3.450%, 02/25/32 | 309 | 282 | ||||||
Structured Asset Securities, Ser 2005-NC1, Cl A11 | ||||||||
4.690%, 02/25/35 | 934 | 923 | ||||||
Terwin Mortgage Trust, | ||||||||
4.000%, 08/25/35 (B) (C) | 142 | 139 | ||||||
UCFC Home Equity Loan, Ser 1998-D, Cl MF1 | ||||||||
6.905%, 04/15/30 | 779 | 788 | ||||||
Wells Fargo Home Equity Trust, Ser 2004-2, Cl AI6 | ||||||||
5.000%, 05/25/34 (B) | 7,000 | 6,979 | ||||||
|
| |||||||
81,748 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 4.4% |
| |||||||
Access Group, Ser 2005-2, Cl A3 | ||||||||
0.668%, 11/22/24 (B) | 100 | 98 | ||||||
AH Mortgage Advance Trust, Ser 2011-1, Cl A1, PO | ||||||||
2.630%, 05/10/42 (C) | 735 | 733 | ||||||
AH Mortgage Advance Trust, Ser 2011-1, Cl A2, PO | ||||||||
3.370%, 05/10/43 (C) | 2,334 | 2,325 | ||||||
AH Mortgage Advance Trust, Ser 2011-2, Cl A1 | ||||||||
3.270%, 09/15/43 (C) | 1,334 | 1,334 | ||||||
AH Mortgage Advance Trust, Ser 2011-2, Cl B1 | ||||||||
6.900%, 09/15/43 (C) | 400 | 400 | ||||||
Aircastle Aircraft Lease Backed Trust, Ser 2007-1A, Cl G1 | ||||||||
0.507%, 06/14/37 (B) (C) | 4,586 | 4,081 | ||||||
Ally Master Owner Trust, Ser 2011-1, Cl A2 | ||||||||
2.150%, 01/15/16 | 4,500 | 4,556 | ||||||
Ally Master Owner Trust, Ser 2011-3, Cl A2 | ||||||||
1.810%, 05/15/16 | 2,325 | 2,339 | ||||||
Ally Master Owner Trust, Ser 2011-4, Cl A2 | ||||||||
1.540%, 09/15/16 | 2,330 | 2,324 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Amortizing Residential Collateral Trust CMO, Ser 2002-BC1, Cl A | ||||||||
0.937%, 01/25/32 (B) | $ | 384 | $ | 280 | ||||
Babcock & Brown Air Funding I, Ser 2007-1A, Cl G1 | ||||||||
0.548%, 11/14/33 (B) (C) | 5,122 | 4,456 | ||||||
Brazos Higher Education Authority, Ser 2010-1, Cl A2 | ||||||||
1.706%, 02/25/35 (B) | 5,700 | 5,343 | ||||||
Brazos Higher Education Authority, Ser 2011-1, Cl A3 | ||||||||
1.556%, 11/25/33 (B) | 3,700 | 3,452 | ||||||
Carrington Mortgage Loan Trust, Ser 2005-NC4, Cl A3 | ||||||||
0.657%, 09/25/35 (B) | 6,275 | 5,782 | ||||||
CenterPoint Energy Transition Bond LLC, Ser 2008-A, Cl A1 | ||||||||
4.192%, 02/01/20 | 1,353 | 1,461 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A4 | ||||||||
4.499%, 11/25/34 | 385 | 384 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A5 | ||||||||
5.350%, 11/25/34 | 500 | 432 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A7 | ||||||||
4.277%, 11/25/34 | 846 | 798 | ||||||
CIT Education Loan Trust, Ser 2007-1, Cl A | ||||||||
0.448%, 03/25/42 (B) (C) | 4,430 | 4,062 | ||||||
Citicorp Residential Mortgage Securities, Ser 2006-2, Cl A5 | ||||||||
6.036%, 09/25/36 | 6,340 | 5,211 | ||||||
CNH Equipment Trust, | ||||||||
1.850%, 12/16/13 | 8 | 8 | ||||||
CNH Equipment Trust, | ||||||||
1.540%, 07/15/14 | 297 | 297 | ||||||
CNH Equipment Trust, | ||||||||
1.170%, 05/15/15 | 963 | 965 | ||||||
CNH Equipment Trust, | ||||||||
1.200%, 05/16/16 | 350 | 351 | ||||||
CNH Equipment Trust, | ||||||||
2.040%, 10/17/16 | 213 | 218 | ||||||
Conseco Finance Home Loan Trust, Ser 2000-E, Cl M1 | ||||||||
8.130%, 08/15/31 (B) | 1,175 | 1,139 |
80 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Countrywide Asset-Backed Certificates, Ser 2002-BC1, Cl A | ||||||||
0.917%, 04/25/32 (B) | $ | 56 | $ | 29 | ||||
Countrywide Asset-Backed Certificates, Ser 2003-BC2, Cl 2A1 | ||||||||
0.845%, 06/25/33 (B) | 115 | 101 | ||||||
Countrywide Asset-Backed Certificates, Ser 2006-15, Cl A3 | ||||||||
5.689%, 10/25/46 (B) | 208 | 119 | ||||||
Countrywide Asset-Backed Certificates, Ser 2006-SD3, Cl A1 | ||||||||
0.587%, 07/25/36 (B) (C) | 411 | 222 | ||||||
Countrywide Asset-Backed Certificates, Ser 2007-5, Cl 2A1 | ||||||||
0.357%, 09/25/47 (B) | 1,507 | 1,479 | ||||||
Countrywide Asset-Backed Certificates, Ser 2007-QH1, Cl A1 | ||||||||
0.457%, 02/25/37 (B) (C) | 1,096 | 663 | ||||||
Countrywide Asset-Backed Certificates, Ser 2007-SD1, Cl A1 | ||||||||
0.707%, 03/25/47 (B) (C) | 832 | 359 | ||||||
Countrywide Home Equity Loan Trust, Ser 2004-K, Cl 2A | ||||||||
0.549%, 02/15/34 (B) | 695 | 428 | ||||||
Countrywide Home Equity Loan Trust, Ser 2005-F, Cl 2A | ||||||||
0.489%, 12/15/35 (B) | 1,665 | 799 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2001-MH29, Cl A | ||||||||
5.600%, 09/25/31 | 293 | 298 | ||||||
Credit-Based Asset Servicing and Securitization LLC, | ||||||||
5.501%, 12/25/36 | 618 | 399 | ||||||
Credit-Based Asset Servicing and Securitization LLC, | ||||||||
5.704%, 12/25/36 | 1,490 | 939 | ||||||
Credit-Based Asset Servicing and Securitization LLC, | ||||||||
0.567%, 05/25/46 (B) (C) | 11,078 | 5,910 | ||||||
Educational Funding of the South, Ser 2011-1, Cl A2 | ||||||||
1.068%, 04/25/35 (B) | 3,000 | 2,777 | ||||||
Equity One, Ser 2003-2, Cl M1 | ||||||||
5.050%, 09/25/33 (B) | 346 | 283 | ||||||
First Franklin Mortgage Loan Asset-Backed Certificates, | ||||||||
0.637%, 09/25/35 (B) | 6,503 | 6,114 | ||||||
First Horizon Asset-Backed Trust, Ser 2004-HE2, Cl A | ||||||||
0.477%, 02/25/34 (B) | 662 | 491 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2011-1, Cl A1 | ||||||||
2.120%, 02/15/16 | $ | 2,675 | $ | 2,715 | ||||
GE Seaco Finance, | ||||||||
0.502%, 11/17/20 (B) (C) | 4,940 | 4,656 | ||||||
Genesis Funding, | ||||||||
0.495%, 12/19/32 (B) (C) | 5,336 | 4,764 | ||||||
Goal Capital Funding Trust, Ser 2006-1, Cl A3 | ||||||||
0.626%, 11/25/26 (B) | 7,095 | 6,709 | ||||||
Green Tree Financial, | ||||||||
7.750%, 07/15/27 | 274 | 279 | ||||||
Green Tree, Ser 2008-MH1, Cl A2 | ||||||||
8.970%, 04/25/38 (B) (C) | 5,050 | 5,614 | ||||||
Green Tree, Ser 2008-MH1, Cl A3 | ||||||||
8.970%, 04/25/38 (B) (C) | 2,033 | 2,163 | ||||||
Greenpoint Manufactured Housing, Ser 2000-6, Cl A3 | ||||||||
2.234%, 11/22/31 | 1,325 | 1,099 | ||||||
Greenpoint Manufactured Housing, Ser 2001-2, Cl IA2 | ||||||||
3.748%, 02/20/32 (B) | 1,077 | 815 | ||||||
Greenpoint Manufactured Housing, Ser 2001-2, Cl IIA2 | ||||||||
3.748%, 03/13/32 (B) | 1,684 | 1,268 | ||||||
Illinois Student Assistance Commission, Ser 2010-1, Cl A3 | ||||||||
1.318%, 07/25/45 (B) | 6,900 | 6,461 | ||||||
Iowa State Student Loan Liquidity, Ser 2011-1, CI A3, | ||||||||
1.822%, 06/25/42 (B) | 1,300 | 1,226 | ||||||
John Deere Owner Trust, | ||||||||
2.590%, 10/15/13 | 16 | 16 | ||||||
John Deere Owner Trust, | ||||||||
1.570%, 10/15/13 | 170 | 171 | ||||||
John Deere Owner Trust, | ||||||||
1.290%, 01/15/16 | 335 | 337 | ||||||
John Deere Owner Trust, | ||||||||
1.960%, 04/16/18 | 285 | 292 | ||||||
JPMorgan Mortgage Acquisition, | ||||||||
5.501%, 11/25/36 | 8,866 | 7,691 | ||||||
Keycorp Student Loan Trust, Ser 2003-A, Cl 1A2 | ||||||||
0.678%, 10/25/32 (B) | 2,359 | 2,197 | ||||||
Lehman XS Trust, | ||||||||
0.557%, 11/25/35 (B) | 3,302 | 2,290 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 81 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Lehman XS Trust, | ||||||||
0.557%, 12/25/35 (B) | $ | 2,777 | $ | 807 | ||||
Lehman XS Trust, | ||||||||
0.587%, 05/25/46 (B) | 7,485 | 1,634 | ||||||
Madison Avenue Manufactured Housing Contract, Ser 2002-A, Cl M2 | ||||||||
2.507%, 03/25/32 (B) | 328 | 288 | ||||||
Merit Securities, Ser 1999-13, Cl A4 | ||||||||
7.913%, 12/28/33 (B) | 2,507 | 2,691 | ||||||
Mid-State Trust, Ser 2003-11, Cl A1 | ||||||||
4.864%, 07/15/38 | 3,289 | 3,304 | ||||||
Mid-State Trust, Ser 2006-1, Cl A | ||||||||
5.787%, 10/15/40 (C) | 6,100 | 6,642 | ||||||
Nelnet Student Loan Trust, Ser 2005-2, Cl A5 | ||||||||
0.455%, 03/23/37 (B) | 1,773 | 1,610 | ||||||
Nelnet Student Loan Trust, Ser 2006-1, Cl A4 | ||||||||
0.585%, 11/23/22 (B) | 2,917 | 2,876 | ||||||
Nelnet Student Loan Trust, Ser 2006-2, Cl A4 | ||||||||
0.498%, 10/26/26 (B) | 5,606 | 5,559 | ||||||
Nelnet Student Loan Trust, Ser 2007-1, Cl A3 | ||||||||
0.576%, 05/27/25 (B) | 5,274 | 4,836 | ||||||
Nelnet Student Loan Trust, Ser 2008-3, Cl A4 | ||||||||
2.156%, 11/25/24 (B) | 6,145 | 6,308 | ||||||
Newcastle Investment Trust, | ||||||||
2.450%, 12/10/33 (C) | 286 | 288 | ||||||
Northstar Education Finance, Ser 2007-1, Cl A3 | ||||||||
0.485%, 01/29/46 (B) | 4,000 | 3,582 | ||||||
Origen Manufactured Housing, Ser 2002-A, Cl A1 | ||||||||
0.489%, 05/15/32 (B) | 22 | 21 | ||||||
Park Place Securities, | ||||||||
0.957%, 12/25/34 (B) | 4,880 | 4,717 | ||||||
Park Place Securities, | ||||||||
0.597%, 09/25/35 (B) | 3,004 | 2,886 | ||||||
Pennsylvania Higher Education Assistance Agency, | ||||||||
1.890%, 04/25/45 (B) | 3,250 | 2,730 | ||||||
PennyMac Loan Trust, | ||||||||
4.250%, 05/25/50 (B) (C) | 4 | 4 | ||||||
PennyMac Loan Trust, | ||||||||
5.000%, 05/25/50 (B) (C) | 800 | 789 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Popular ABS Mortgage Pass-Through Trust, Ser 2007-A, Cl A3 | ||||||||
0.567%, 06/25/47 (B) | $ | 10,380 | $ | 3,863 | ||||
RAAC Series, Ser 2007-SP3, Cl A1 | ||||||||
1.457%, 09/25/47 (B) | 307 | 234 | ||||||
Real Estate Asset Trust, Ser 2011-2A, Cl A1 | ||||||||
5.750%, 05/25/49 (C) | 448 | 448 | ||||||
Residential Asset Mortgage Products, Ser 2005-EFC5, Cl A3 | ||||||||
0.597%, 10/25/35 (B) | 600 | 496 | ||||||
Residential Credit Solutions Trust, Ser 2011-1, Cl A1 | ||||||||
6.000%, 03/25/41 (C) | 979 | 978 | ||||||
RSB Bondco LLC, Ser 2007-A, Cl A3 | ||||||||
5.820%, 06/28/19 | 2,470 | 2,944 | ||||||
SLM Student Loan Trust, Ser 2003-11, Cl A6 | ||||||||
0.637%, 12/15/25 (B) (C) | 1,500 | 1,396 | ||||||
SLM Student Loan Trust, Ser 2003-14, Cl A5 | ||||||||
0.648%, 01/25/23 (B) | 6,904 | 6,717 | ||||||
SLM Student Loan Trust, Ser 2003-4, Cl A5A | ||||||||
1.097%, 03/15/33 (B) (C) | 267 | 255 | ||||||
SLM Student Loan Trust, Ser 2004-1, Cl A3 | ||||||||
0.628%, 04/25/23 (B) | 6,997 | 6,756 | ||||||
SLM Student Loan Trust, Ser 2004-3, Cl A5 | ||||||||
0.588%, 07/25/23 (B) | 1,839 | 1,784 | ||||||
SLM Student Loan Trust, Ser 2005-6, Cl A5A | ||||||||
0.528%, 07/27/26 (B) | 8,182 | 7,887 | ||||||
SLM Student Loan Trust, Ser 2005-8, Cl A3 | ||||||||
0.528%, 10/25/24 (B) | 4,019 | 3,918 | ||||||
SLM Student Loan Trust, Ser 2006-10, Cl A4 | ||||||||
0.488%, 07/25/23 (B) | 3,334 | 3,281 | ||||||
SLM Student Loan Trust, Ser 2006-4, Cl A5 | ||||||||
0.518%, 10/25/25 (B) | 974 | 949 | ||||||
SLM Student Loan Trust, Ser 2006-5, Cl A5 | ||||||||
0.528%, 01/25/27 (B) | 2,830 | 2,676 | ||||||
SLM Student Loan Trust, Ser 2006-5, Cl A6B | ||||||||
0.538%, 10/25/40 (B) | 4,130 | 3,486 | ||||||
SLM Student Loan Trust, Ser 2008-4, Cl A2 | ||||||||
1.468%, 07/25/16 (B) | 2,395 | 2,418 | ||||||
SLM Student Loan Trust, Ser 2008-6, Cl A2 | ||||||||
0.968%, 10/25/17 (B) | 969 | 967 |
82 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SLM Student Loan Trust, Ser 2008-9, Cl A | ||||||||
1.918%, 04/25/23 (B) | $ | 3,356 | $ | 3,433 | ||||
SLM Student Loan Trust, Ser 2011-C, Cl A1 | ||||||||
1.659%, 12/15/23 (B) (C) | 7,491 | 7,491 | ||||||
SMS Student Loan Trust, Ser 2000-A, Cl A2 | ||||||||
0.615%, 10/28/28 (B) | 2,376 | 2,367 | ||||||
South Carolina Student Loan, Ser 2005-2005, Cl A2 | ||||||||
0.446%, 12/01/20 (B) | 3,500 | 3,295 | ||||||
Structured Asset Investment Loan Trust, Ser 2005-5, Cl A9 | ||||||||
0.527%, 06/25/35 (B) | 300 | 280 | ||||||
Structured Asset Securities, Ser 2007-BC2, Cl A2 | ||||||||
0.347%, 03/25/37 (B) | 7,389 | 7,212 | ||||||
TAL Advantage LLC, | ||||||||
0.445%, 04/20/21 (B) (C) | 1,424 | 1,316 | ||||||
TAL Advantage LLC, | ||||||||
4.300%, 10/20/25 (C) | 2,309 | 2,290 | ||||||
TAL Advantage LLC, | ||||||||
4.600%, 01/20/26 (C) | 550 | 549 | ||||||
TAL Advantage LLC, | ||||||||
4.310%, 05/20/26 (C) | 1,140 | 1,157 | ||||||
Textainer Marine Containers, Ser 2005-1A, Cl A | ||||||||
0.500%, 05/15/20 (B) (C) | 2,415 | 2,246 | ||||||
Textainer Marine Containers, Ser 2011-1A, Cl A | ||||||||
4.700%, 06/15/26 (C) | 3,450 | 3,415 | ||||||
Trinity Rail Leasing, | ||||||||
5.900%, 05/14/36 (C) | 2,464 | 2,665 | ||||||
Trip Rail Master Funding LLC, Ser 2011-1A, Cl A1A | ||||||||
4.370%, 07/15/41 (C) | 4,324 | 4,339 | ||||||
Triton Container Finance LLC, Ser 2006-1A, Cl NOTE | ||||||||
0.427%, 11/26/21 (B) (C) | 3,425 | 3,134 | ||||||
Triton Container Finance LLC, Ser 2007-1A, Cl NOTE | ||||||||
0.397%, 02/26/19 (B) (C) | 2,031 | 1,899 | ||||||
Wells Fargo Home Equity Trust, Ser 2007-2, Cl A1 | ||||||||
0.347%, 04/25/37 (B) | 1,896 | 1,831 | ||||||
|
| |||||||
276,946 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 449,802 | |||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.0% |
| |||||||
FFCB | ||||||||
1.500%, 11/16/15 | $ | 7,830 | $ | 7,961 | ||||
FHLB | ||||||||
5.500%, 07/15/36 | 3,610 | 4,554 | ||||||
3.625%, 10/18/13 | 1,400 | 1,484 | ||||||
0.321%, 02/10/12 (A) | 9,350 | 9,344 | ||||||
FHLMC | ||||||||
6.750%, 03/15/31 | 2,570 | 3,779 | ||||||
0.110%, 06/05/12 (A) | 6,610 | 6,608 | ||||||
FICO STRIPS, PO | ||||||||
9.800%, 04/06/18 | 7,590 | 11,181 | ||||||
9.700%, 04/05/19 | 5,100 | 7,703 | ||||||
8.600%, 09/26/19 | 5,655 | 8,084 | ||||||
3.489%, 02/08/18 to 09/26/19 (A) | 30,160 | 26,181 | ||||||
FNMA | ||||||||
7.735%, 10/09/19 (A) | 670 | 509 | ||||||
6.250%, 05/15/29 | 3,730 | 5,161 | ||||||
5.375%, 06/12/17 | 250 | 301 | ||||||
5.250%, 08/01/12 | 2,800 | 2,889 | ||||||
5.000%, 02/13/17 | 5,000 | 5,887 | ||||||
3.460%, 06/01/17 (A) | 1,500 | 1,369 | ||||||
0.375%, 12/28/12 | 3,730 | 3,738 | ||||||
0.110%, 01/17/12 (A) | 2,575 | 2,575 | ||||||
Resolution Funding STRIPS | ||||||||
3.610%, 07/15/20 (A) | 1,600 | 1,321 | ||||||
Tennessee Valley Authority | ||||||||
5.250%, 09/15/39 | 1,828 | 2,276 | ||||||
4.625%, 09/15/60 | 2,761 | 3,229 | ||||||
4.375%, 06/15/15 | 3,660 | 4,101 | ||||||
3.875%, 02/15/21 | 3,090 | 3,453 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 123,688 | ||||||
|
| |||||||
SOVEREIGN DEBT — 0.8% | ||||||||
Andina de Fomento | ||||||||
3.750%, 01/15/16 | 564 | 569 | ||||||
Chile Government International Bond | ||||||||
3.250%, 09/14/21 | 2,195 | 2,201 | ||||||
Inter-American Development Bank MTN | ||||||||
3.875%, 10/28/41 | 2,600 | 2,702 | ||||||
Israel Government AID Bond | ||||||||
2.110%, 08/15/17 (A) | 1,000 | 913 | ||||||
2.010%, 08/15/18 (A) | 1,000 | 880 | ||||||
Japan Finance Organization for Municipalities | ||||||||
4.000%, 01/13/21 | 3,600 | 3,988 | ||||||
Korea Development Bank | ||||||||
3.875%, 05/04/17 | 2,645 | 2,584 | ||||||
3.250%, 03/09/16 (D) | 1,940 | 1,894 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 83 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Mexican Bonos | ||||||||
8.000%, 06/11/20 | $ | 72,650 | $ | 6,017 | ||||
Province of Manitoba Canada | ||||||||
2.125%, 04/22/13 | 162 | 165 | ||||||
Province of Ontario Canada | ||||||||
2.950%, 02/05/15 | 850 | 898 | ||||||
Province of Quebec Canada | ||||||||
6.350%, 01/30/26 | 270 | 358 | ||||||
2.750%, 08/25/21 | 2,625 | 2,603 | ||||||
Qatar Government International Bond | ||||||||
3.125%, 01/20/17 (C) | 5,515 | 5,500 | ||||||
Republic of Poland | ||||||||
5.000%, 03/23/22 | 3,080 | 2,988 | ||||||
Russian Federation | ||||||||
7.500%, 03/31/30 | 899 | 1,054 | ||||||
State of Qatar | ||||||||
5.750%, 01/20/42 (C) | 1,490 | 1,474 | ||||||
Svensk Exportkredit | ||||||||
3.250%, 09/16/14 | 4,794 | 4,970 | ||||||
1.750%, 10/20/15 | 5,600 | 5,547 | ||||||
United Mexican States | ||||||||
7.500%, 04/08/33 | 218 | 301 | ||||||
6.375%, 01/16/13 | 350 | 369 | ||||||
6.050%, 01/11/40 | 394 | 467 | ||||||
5.750%, 10/12/10 | 1,564 | 1,599 | ||||||
5.625%, 01/15/17 | 84 | 95 | ||||||
United Mexican States, Ser A MTN | ||||||||
6.750%, 09/27/34 | 448 | 572 | ||||||
|
| |||||||
Total Sovereign Debt (Cost $49,922) ($ Thousands) | 50,708 | |||||||
|
| |||||||
MUNICIPAL BONDS — 0.7% | ||||||||
American Municipal Power, RB | ||||||||
7.499%, 02/15/50 | 495 | 631 | ||||||
City of Chicago Illinois O’Hare International Airport | ||||||||
5.625%, 01/01/35 | 200 | 214 | ||||||
City of Chicago Illinois O’Hare International Airport | ||||||||
5.500%, 01/01/31 | 410 | 440 | ||||||
County of Clark Nevada Airport System Revenue, Ser C-BUILD, RB | ||||||||
6.820%, 07/01/45 | 1,895 | 2,349 | ||||||
Los Angeles, California Community College District, Build America Project, GO | ||||||||
6.750%, 08/01/49 | 1,825 | 2,332 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Los Angeles, Department of Water & Power, Build America Project, GO | ||||||||
6.574%, 07/01/45 | $ | 1,110 | $ | 1,423 | ||||
Louisiana Public Facilities Authority, RB | ||||||||
4.500%, 02/01/14 | 33 | 33 | ||||||
Municipal Electric Authority of Georgia, RB | ||||||||
6.637%, 04/01/57 | 1,457 | 1,506 | ||||||
New Jersey State Turnpike | ||||||||
7.102%, 01/01/41 | 2,335 | 3,132 | ||||||
New York State Dormitory | ||||||||
5.600%, 03/15/40 | 280 | 326 | ||||||
North Texas Tollway Authority, RB | ||||||||
6.718%, 01/01/49 | 2,075 | 2,559 | ||||||
Ohio State University, Ser A, RB | ||||||||
4.800%, 06/01/11 | 1,274 | 1,278 | ||||||
Port Authority of New York & | ||||||||
5.647%, 11/01/40 | 490 | 553 | ||||||
Santa Clara Valley Transportation Authority, Build America Project, RB | ||||||||
5.876%, 04/01/32 | 1,590 | 1,868 | ||||||
State of California, Build America Project, GO | ||||||||
7.550%, 04/01/39 | 1,035 | 1,232 | ||||||
7.300%, 10/01/39 | 2,620 | 3,019 | ||||||
6.650%, 03/01/22 | 1,700 | 1,951 | ||||||
State of California, GO | ||||||||
7.600%, 11/01/40 | 1,930 | 2,316 | ||||||
State of Illinois, Build America Project, GO | ||||||||
5.100%, 06/01/33 | 4,600 | 4,091 | ||||||
State of Illinois, GO | ||||||||
5.877%, 03/01/19 | 875 | 928 | ||||||
5.665%, 03/01/18 | 5,172 | 5,465 | ||||||
5.365%, 03/01/17 | 1,030 | 1,077 | ||||||
Student Loan Funding, Ser A-6, AMT, RB | ||||||||
0.245%, 09/01/47 (B) | 3,100 | 2,846 | ||||||
Virginia Housing Development Authority, Ser 2006-C, Cl CTFS, RB Callable 01/25/12 @ 100 | ||||||||
6.000%, 06/25/34 | 479 | 485 | ||||||
|
| |||||||
Total Municipal Bonds | 42,054 | |||||||
|
|
84 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Contracts/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
PURCHASED OPTION — 0.0% |
| |||||||
September 2012 IMM Euro Dollar Furture Option Put, Expires 12/17/12, Strike Price $98.875** | 217 | $ | 81 | |||||
|
| |||||||
Total Purchased Option (Cost $83) ($ Thousands) | 81 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 16.3% |
| |||||||
U.S. Treasury Bills | ||||||||
0.001%, 12/08/11 (A) (F) | $ | 208 | 208 | |||||
U.S. Treasury Bonds | ||||||||
8.875%, 08/15/17 | 5,960 | 8,522 | ||||||
8.750%, 05/15/20 | 4,245 | 6,592 | ||||||
8.750%, 08/15/20 | 6,550 | 10,236 | ||||||
8.500%, 02/15/20 | 1,000 | 1,526 | ||||||
8.125%, 08/15/19 | 1,305 | 1,927 | ||||||
7.625%, 02/15/25 | 8,635 | 13,727 | ||||||
6.750%, 08/15/26 | 250 | 379 | ||||||
6.500%, 11/15/26 | 100 | 149 | ||||||
6.375%, 08/15/27 | 200 | 297 | ||||||
6.250%, 05/15/30 | 400 | 604 | ||||||
6.125%, 11/15/27 | 250 | 364 | ||||||
6.000%, 02/15/26 | 100 | 141 | ||||||
5.500%, 08/15/28 | 200 | 276 | ||||||
5.375%, 02/15/31 | 1,300 | 1,806 | ||||||
4.750%, 02/15/41 (D) | 28,705 | 38,339 | ||||||
4.625%, 02/15/17 (D) (F) | 24,790 | 29,343 | ||||||
4.500%, 02/15/36 (D) | 11,835 | 15,056 | ||||||
4.375%, 11/15/39 | 2,740 | 3,448 | ||||||
4.375%, 05/15/41 (D) | 70,446 | 88,894 | ||||||
4.250%, 11/15/40 (D) | 12,654 | 15,628 | ||||||
3.875%, 08/15/40 (D) | 91,280 | 105,913 | ||||||
3.750%, 08/15/41 (D) | 50,292 | 57,223 | ||||||
3.500%, 02/15/39 (D) | 4,000 | 4,357 | ||||||
3.250%, 12/31/16 | 3,720 | 4,137 | ||||||
3.125%, 11/15/41 | 9,992 | 10,112 | ||||||
U.S. Treasury Inflation-Protected Securities | ||||||||
3.875%, 04/15/29 (F) | 593 | 920 | ||||||
3.625%, 04/15/28 (D) (F) | 11,475 | 16,979 | ||||||
2.375%, 01/15/27 (F) | 338 | 434 | ||||||
2.125%, 02/15/41 (D) (F) | 10,210 | 13,685 | ||||||
2.000%, 04/15/12 (F) | 9,426 | 9,458 | ||||||
1.750%, 01/15/28 (F) | 27 | 32 | ||||||
U.S. Treasury Notes | ||||||||
4.750%, 08/15/17 | 5,705 | 6,847 | ||||||
3.500%, 02/15/18 (D) | 2,500 | 2,829 | ||||||
3.125%, 05/15/19 | 5,279 | 5,847 | ||||||
3.125%, 05/15/21 (D) | 13,780 | 15,125 | ||||||
2.750%, 05/31/17 (D) | 7,935 | 8,633 | ||||||
2.750%, 12/31/17 | 5,000 | 5,438 | ||||||
2.250%, 07/31/18 (D) | 20,690 | 21,757 | ||||||
2.125%, 08/15/21 (D) | 68,897 | 69,365 | ||||||
2.000%, 11/15/21 (D) | 37,629 | 37,400 | ||||||
1.875%, 02/28/14 | 4,560 | 4,721 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
1.875%, 09/30/17 | $ | 8,220 | $ | 8,530 | ||||
1.750%, 10/31/18 (D) | 18,175 | 18,466 | ||||||
1.500%, 06/30/16 (D) | 21,512 | 22,151 | ||||||
1.500%, 08/31/18 (D) | 28,530 | 28,592 | ||||||
1.375%, 02/15/13 | 7,330 | 7,435 | ||||||
1.375%, 09/30/18 | 5,003 | 4,965 | ||||||
1.375%, 11/30/18 | 6,600 | 6,534 | ||||||
1.000%, 08/31/16 (D) | 62,499 | 62,831 | ||||||
1.000%, 09/30/16 (D) | 16,328 | 16,401 | ||||||
1.000%, 10/31/16 (D) | 63,902 | 64,122 | ||||||
0.875%, 11/30/16 | 23,127 | 23,039 | ||||||
0.500%, 05/31/13 | 140 | 141 | ||||||
0.500%, 10/15/14 | 1,045 | 1,048 | ||||||
0.250%, 10/31/13 (D) | 13,570 | 13,570 | ||||||
0.250%, 11/30/13 | 4,729 | 4,729 | ||||||
0.125%, 08/31/13 | 330 | 329 | ||||||
U.S. Treasury STRIPS (A) | ||||||||
6.321%, 05/15/24 (F) | 800 | 574 | ||||||
5.293%, 02/15/21 | 200 | 165 | ||||||
4.977%, 11/15/27 (D) | 500 | 311 | ||||||
4.917%, 05/15/26 | 500 | 329 | ||||||
4.863%, 11/15/31 | 200 | 107 | ||||||
4.780%, 08/15/25 | 400 | 272 | ||||||
4.749%, 08/15/28 | 1,000 | 604 | ||||||
4.738%, 08/15/27 | 2,490 | 1,561 | ||||||
4.730%, 05/15/27 | 2,570 | 1,626 | ||||||
4.669%, 02/15/28 | 1,100 | 677 | ||||||
4.597%, 08/15/30 | 1,550 | 869 | ||||||
4.591%, 05/15/36 | 300 | 136 | ||||||
4.587%, 02/15/24 | 75 | 54 | ||||||
4.576%, 05/15/34 | 500 | 244 | ||||||
4.555%, 05/15/29 | 100 | 59 | ||||||
4.555%, 02/15/30 | 1,950 | 1,114 | ||||||
4.539%, 02/15/34 | 550 | 271 | ||||||
4.536%, 08/15/24 | 200 | 142 | ||||||
4.516%, 11/15/33 | 1,050 | 523 | ||||||
4.477%, 05/15/28 | 300 | 183 | ||||||
4.453%, 08/15/33 | 900 | 452 | ||||||
4.436%, 11/15/30 | 2,450 | 1,361 | ||||||
4.376%, 11/15/29 | 1,450 | 836 | ||||||
4.357%, 11/15/24 | 450 | 316 | ||||||
4.278%, 11/15/26 | 750 | 483 | ||||||
4.146%, 05/15/33 | 1,900 | 963 | ||||||
4.069%, 02/15/32 | 950 | 504 | ||||||
4.055%, 02/15/27 | 3,600 | 2,298 | ||||||
4.038%, 11/15/20 | 1,300 | 1,079 | ||||||
4.022%, 05/15/19 | 2,450 | 2,154 | ||||||
3.995%, 02/15/17 (F) | 19,420 | 18,334 | ||||||
3.970%, 05/15/30 | 10,050 | 5,803 | ||||||
3.907%, 02/15/22 | 800 | 632 | ||||||
3.780%, 08/15/17 | 3,000 | 2,794 | ||||||
3.768%, 02/15/26 | 400 | 266 | ||||||
3.720%, 05/15/31 | 930 | 507 | ||||||
3.712%, 08/15/18 | 800 | 721 | ||||||
3.632%, 11/15/17 | 6,150 | 5,682 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 85 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands)/Shares/ Contracts | Market Value ($ Thousands) | ||||||
3.392%, 11/15/32 | $ | 1,100 | $ | 568 | ||||
3.313%, 08/15/19 | 5,525 | 4,819 | ||||||
3.303%, 08/15/20 | 12,750 | 10,682 | ||||||
3.302%, 05/15/20 | 15,270 | 12,922 | ||||||
3.295%, 08/15/21 | 4,000 | 3,225 | ||||||
3.268%, 11/15/21 | 1,900 | 1,517 | ||||||
3.206%, 08/15/29 | 400 | 233 | ||||||
3.170%, 08/15/16 | 5,100 | 4,877 | ||||||
3.021%, 02/15/18 | 1,850 | 1,695 | ||||||
2.971%, 02/15/16 | 250 | 242 | ||||||
2.721%, 02/15/15 | 200 | 197 | ||||||
2.453%, 05/15/23 | 450 | 337 | ||||||
2.170%, 11/15/16 | 410 | 390 | ||||||
2.166%, 05/15/21 | 700 | 569 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 1,018,836 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 9.4% |
| |||||||
SEI Liquidity Fund, L.P. 0.140%†* (G) | 596,792,931 | 586,114 | ||||||
|
| |||||||
Total Affiliated Partnership | 586,114 | |||||||
|
| |||||||
CASH EQUIVALENT — 5.5% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 344,723,371 | 344,723 | ||||||
|
| |||||||
Total Cash Equivalent | 344,723 | |||||||
|
| |||||||
Total Investments — 116.8% | $ | 7,301,994 | ||||||
|
| |||||||
WRITTEN OPTIONS — 0.0% |
| |||||||
November 2010 U.S. CPI Urban Consumers NSA Call, Expires 11/21/20, Strike Price $98.875** | (7,020,000 | ) | (29 | ) |
Description | Contracts | Market Value ($ Thousands) | ||||||
September 2012 IMM EURO Dollar Future Option Put, Expires 09/22/12, Strike Inflation 0.000% | (217 | ) | $ | (62 | ) | |||
|
| |||||||
Total Written Options |
| (91 | ) | |||||
|
|
The open futures contracts held by the Fund at November 30, 2011 is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
U.S. 5-Year Treasury Note | (1,400 | ) | Mar-2012 | $ | 234 | |||||||
Euro-Bund Index | 104 | Dec-2011 | (150 | ) | ||||||||
U.S. 2-Year Treasury Note | (617 | ) | Apr-2012 | (37 | ) | |||||||
U.S. 10-Year Treasury Note | 55 | Mar-2012 | (32 | ) | ||||||||
U.S. Long Treasury Bond | (565 | ) | Mar-2012 | 1,187 | ||||||||
U.S. Ultra Long Treasury Bond | (356 | ) | Apr-2012 | 1,730 | ||||||||
|
| |||||||||||
$ | 2,932 | |||||||||||
|
|
For the period ended November 30, 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.
A summary of the open forward foreign currency contracts held by the Fund at November 30, 2011, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
2/16/12 | EUR | 32,771 | USD | 45,260 | $ | 1,115 | ||||||||||||||
2/16/12 | USD | 15,427 | CAD | 15,716 | 5 | |||||||||||||||
2/16/12 | USD | 2,071 | EUR | 1,511 | (36 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | 1,084 | |||||||||||||||||||
|
|
A summary of the counterparties for the open forward foreign currency contracts held by the Fund at November 30, 2011, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Barclays PLC | (2,071 | ) | 2,036 | $ | (35 | ) | ||||||
Citigroup | (30,286 | ) | 30,684 | 398 | ||||||||
JPMorgan Chase | (29,287 | ) | 30,008 | 721 | ||||||||
|
| |||||||||||
$ | 1,084 | |||||||||||
|
|
For the period ended November 30, 2011, the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
The open swap agreements held by the Fund at November 30, 2011, is as follows:
Credit Default Swaps | ||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount ($ Thousands) | Net Unrealized ($ Thousands) | ||||||||||||||
Bank of America | CMBX-NA-AJ 1 Index | Buy | (0.84 | )% | 10/12/52 | $ | 2,535 | $ | (898 | ) | ||||||||||
Barclays Bank PLC | CMBX-NA-AJ 1 Index | Buy | (0.84 | ) | 10/12/52 | 2,000 | 257 | |||||||||||||
Barclays Bank PLC | CMBX-NA-AJ 1 Index | Buy | (0.84 | ) | 10/12/52 | 2,000 | 237 | |||||||||||||
Barclays Bank PLC | CMBX-NA-AJ 1 Index | Buy | (0.84 | ) | 10/12/52 | 4,880 | (1,795 | ) | ||||||||||||
Barclays Bank PLC | France 4.25 04/19 | Sell | 0.25 | 09/20/16 | (12,530 | ) | (277 | ) | ||||||||||||
Credit Suisse | CMBX-NA-AJ 1 Index | Buy | (0.84 | ) | 10/12/52 | 390 | (142 | ) | ||||||||||||
Deutsche Bank | DR Horton, Inc., 5.375% 6/15/12 | Buy | (1.00 | ) | 09/20/16 | 800 | 28 | |||||||||||||
Deutsche Bank | Metlife In c 5.0% 06/15/15 | Sell | 1.00 | 06/20/18 | (3,560 | ) | (317 | ) | ||||||||||||
Goldman Sachs | DR Horton, Inc., 5.375% 6/15/12 | Buy | (1.00 | ) | 09/20/16 | 795 | 28 | |||||||||||||
|
| |||||||||||||||||||
$ | (2,879 | ) | ||||||||||||||||||
|
|
86 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Deutsche Bank | REF: IOS.FN30.450.10 | PAY: 1 month LIBOR | 01/12/41 | $ | 9,756 | $ | 111 | |||||||
Morgan Stanley | 3.93% | 3-month LIBOR | 05/15/41 | (6,720 | ) | (1,677 | ) | |||||||
Morgan Stanley | REF: IOS.FN30.500.10 | PAY: 1 month LIBOR | 01/12/41 | 4,855 | 28 | |||||||||
Morgan Stanley | REF: IOS.FN30.550.08 | PAY: 1 month LIBOR | 01/12/39 | 5,594 | 28 | |||||||||
|
| |||||||||||||
$ | (1,510 | ) | ||||||||||||
|
|
For the period ended November 30, 2011, the total amount of all open swap agreements, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $6,253,764 ($ Thousands)
* | The rate reported is the 7-day effective yield as of November 30, 2011. |
** | Non-income producing security. |
‡ | Real Estate Investment Trust. |
† | 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) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of November 30, 2011. The date reported on the Schedule of Investments is the final maturity date. |
(C) | 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. |
(D) | This security or a partial position of this security is on loan at November 30, 2011. The total value of securities on loan at November 30, 2011 was $576,125 ($ Thousands). |
(E) | Security in default on interest payments. |
(F) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(G) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2011 was $586,114. |
(H) | 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 November 30, 2011, was $279 ($ Thousands) and represented 0.00% of Net Assets. |
(I) | Securities considered illiquid. The total value of such securities as of November 30, 2011 was $370 ($ Thousands) and represented 0.01% of Net Assets. |
ABS — Asset-Based Security
AMT — Alternative Minimum Tax
ARM — Adjustable Rate Mortgage
CAD — Canadian Dollar
Cl — Class
CMO — Collateralized Mortgage Obligation
CPI — Consumer Price Index
EUR — Euro
FDIC — Federal Deposit Insurance Corporation
FFCB — Federal Farm Credit Bank
FHLB — Federal Home Loan Bank
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
FICO — Financing Corporation
GNMA — Government National Mortgage Association
GO — General Obligation
IO — Interest Only — face amount represents notional amount
LIBOR — London Interbank Offered Rate
LLC — Limited Liability Company
L.P. — Limited Partnership
MTN — Medium Term Note
NCUA — National Credit Union Association
PLC — Public Limited Company
PO — Principal Only
RB — Revenue Bond
REIT — Real Estate Investment Trust
Re-REMIC — Resecuritization of Real Estate Mortgage Investment Conduit
REMIC — Real Estate Mortgage Investment Conduit
Ser — Series
STRIPS — Separately Traded Registered Interest and Principal Securities
USD — United States Dollar
TBA — To Be Announced
The following is a summary of the inputs used as of November 30, 2011, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mortgage-Backed Securities | $ | — | $ | 3,118,362 | $ | — | $ | 3,118,362 | ||||||||
Corporate Obligations | — | 1,567,343 | 283 | 1,567,626 | ||||||||||||
Asset-Backed Securities | — | 449,802 | — | 449,802 | ||||||||||||
U.S. Government Agency Obligations | — | 123,688 | — | 123,688 | ||||||||||||
Sovereign Debt | — | 50,708 | — | 50,708 | ||||||||||||
Municipal Bonds | — | 42,054 | — | 42,054 | ||||||||||||
Purchased Option | 81 | — | — | 81 | ||||||||||||
U.S. Treasury Obligations | — | 1,018,836 | — | 1,018,836 | ||||||||||||
Affiliated Partnership | — | 586,114 | — | 586,114 | ||||||||||||
Cash Equivalent | 344,723 | — | — | 344,723 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 344,804 | $ | 6,956,907 | $ | 283 | $ | 7,301,994 | ||||||||
|
|
|
|
|
|
|
|
Securities Sold Short | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options | $ | (62 | ) | $ | (29 | ) | $ | — | $ | (91 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Total Securities Sold Short | $ | (62 | ) | $ | (29 | ) | $ | — | $ | (91 | ) | |||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 2,932 | $ | — | $ | — | $ | 2,932 | ||||||||
Forwards Contracts* | — | 1,084 | — | 1,084 | ||||||||||||
Credit Default Swaps* | — | (2,879 | ) | — | (2,879 | ) | ||||||||||
Interest Rate Swaps* | — | (1,510 | ) | — | (1,510 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 2,932 | $ | (3,305 | ) | $ | — | $ | (373 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts, forwards contracts and swaps are valued at the unrealized appreciation (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 Corporate Obligations | Investments in Asset-Backed Securities | |||||||
Beginning balance as June 1, 2011 | $ | 270 | $ | 1,035 | ||||
Accrued discounts/premiums | 24 | (1 | ) | |||||
Realized gain/(loss) | — | |||||||
Change in unrealized appreciation/(depreciation) | (11 | ) | 6 | |||||
Net purchases/sales | — | (1,040 | ) | |||||
Net transfer in and/or out of Level 3 | — | |||||||
|
|
|
| |||||
Ending balance as of November 30, 2011 | $ | 283 | $ | — | ||||
|
|
|
| |||||
Changes in unrealized gains/(losses) | $ | 31 | $ | (79 | ) | |||
|
|
|
|
For the period ended November 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 87 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 80.3% |
| |||||||
Consumer Discretionary — 16.3% |
| |||||||
Academy | ||||||||
9.250%, 08/01/19 (A) | $ | 2,530 | $ | 2,467 | ||||
Adelphia Communications (escrow security) | ||||||||
10.250%, 06/15/11 (B) | 125 | — | ||||||
7.875%, 01/15/09 (B) | 250 | 1 | ||||||
7.750%, 05/01/09 (B) | 75 | — | ||||||
Adelphia Communications, Ser B (escrow security) | ||||||||
9.500%, 02/15/04 (B) | 25 | — | ||||||
Allison Transmission | ||||||||
7.125%, 05/15/19 (A) | 3,520 | 3,318 | ||||||
AMC Entertainment | ||||||||
9.750%, 12/01/20 | 3,285 | 2,989 | ||||||
8.750%, 06/01/19 | 430 | 434 | ||||||
AMC Networks | ||||||||
7.750%, 07/15/21 (A) | 5,745 | 6,075 | ||||||
American Axle & Manufacturing | ||||||||
9.250%, 01/15/17 (A) | 99 | 104 | ||||||
7.875%, 03/01/17 | 2,960 | 2,856 | ||||||
7.750%, 11/15/19 | 1,105 | 1,058 | ||||||
American Standard Americas | ||||||||
10.750%, 01/15/16 (A) | 1,500 | 990 | ||||||
American Tire Distributors | ||||||||
9.750%, 06/01/17 | 775 | 775 | ||||||
Ameristar Casinos | ||||||||
7.500%, 04/15/21 (A) | 1,375 | 1,375 | ||||||
Ashtead Capital | ||||||||
9.000%, 08/15/16 (A) | 1,094 | 1,127 | ||||||
Avis Budget Car Rental LLC | ||||||||
9.625%, 03/15/18 | 525 | 529 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
8.250%, 01/15/19 | $ | 1,030 | $ | 991 | ||||
7.750%, 05/15/16 | 835 | 831 | ||||||
Beazer Homes USA | ||||||||
9.125%, 06/15/18 | 460 | 304 | ||||||
9.125%, 05/15/19 | 1,610 | 1,051 | ||||||
Belo | ||||||||
8.000%, 11/15/16 | 2,575 | 2,775 | ||||||
7.750%, 06/01/27 | 2,025 | 1,711 | ||||||
Bon-Ton Department Stores | ||||||||
10.250%, 03/15/14 | 960 | 617 | ||||||
Brands | ||||||||
6.625%, 04/01/21 | 385 | 401 | ||||||
Brown Shoe | ||||||||
7.125%, 05/15/19 | 1,105 | 1,039 | ||||||
Buffalo Thunder Development Authority | ||||||||
9.375%, 12/15/14 (A) (B) | 2,050 | 738 | ||||||
Burlington Coat Factory Warehouse | ||||||||
10.000%, 02/15/19 (A) | 10,460 | 10,068 | ||||||
Cablevision Systems | ||||||||
8.625%, 09/15/17 | 1,630 | 1,703 | ||||||
8.000%, 04/15/20 | 1,050 | 1,066 | ||||||
7.750%, 04/15/18 | 900 | 918 | ||||||
Caesars Entertainment Operating | ||||||||
11.250%, 06/01/17 | 11,135 | 11,580 | ||||||
10.000%, 12/15/18 | 4,888 | 3,128 | ||||||
5.750%, 10/01/17 | 400 | 162 | ||||||
Cedar Fair | ||||||||
9.125%, 08/01/18 | 1,600 | 1,740 | ||||||
Chrysler Group LLC | ||||||||
8.250%, 06/15/21 (A) | 5,190 | 4,360 | ||||||
8.000%, 06/15/19 (A) | 945 | 799 | ||||||
Chukchansi Economic Development Authority | ||||||||
4.159%, 11/15/12 (A) (C) | 2,185 | 1,202 | ||||||
Cinemark USA | ||||||||
7.375%, 06/15/21 | 480 | 479 | ||||||
CityCenter Holdings LLC | ||||||||
7.625%, 01/15/16 (A) | 1,070 | 1,059 | ||||||
CKE Restaurants | ||||||||
11.375%, 07/15/18 | 5,479 | 5,835 | ||||||
Claire’s Stores | ||||||||
8.875%, 03/15/19 | 810 | 591 | ||||||
Continental Airlines 2007-1 Class C Pass-Through Trust | ||||||||
7.339%, 04/19/14 | 1,477 | 1,440 | ||||||
Dana Holding | ||||||||
6.750%, 02/15/21 | 3,029 | 3,040 | ||||||
6.500%, 02/15/19 | 1,959 | 1,954 | ||||||
Dave & Buster’s | ||||||||
11.000%, 06/01/18 | 1,695 | 1,737 | ||||||
Dave & Buster’s Parent | ||||||||
13.035%, 02/15/16 (A) (D) | 7,825 | 4,539 |
88 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Delphi | ||||||||
5.875%, 05/15/19 (A) | $ | 1,909 | $ | 1,923 | ||||
Delta Air Lines 2011-1 Class B Pass-Through Trust | ||||||||
7.125%, 10/15/14 (A) | 2,000 | 1,960 | ||||||
Dex One PIK | ||||||||
12.000%, 01/29/17 | 1,174 | 270 | ||||||
Diamond Resorts | ||||||||
12.000%, 08/15/18 | 1,350 | 1,279 | ||||||
DineEquity | ||||||||
9.500%, 10/30/18 | 6,690 | 6,924 | ||||||
Dollar General PIK | ||||||||
11.875%, 07/15/17 | 1,520 | 1,680 | ||||||
Easton-Bell Sports | ||||||||
9.750%, 12/01/16 | 1,835 | 1,968 | ||||||
Eldorado Resorts LLC | ||||||||
8.625%, 06/15/19 (A) | 4,785 | 4,223 | ||||||
Empire Today LLC | ||||||||
11.375%, 02/01/17 (A) | 2,071 | 1,916 | ||||||
Entravision Communications | ||||||||
8.750%, 08/01/17 | 1,960 | 1,916 | ||||||
Equinox Holdings | ||||||||
9.500%, 02/01/16 (A) | 1,255 | 1,268 | ||||||
Exide Technologies | ||||||||
8.625%, 02/01/18 | 1,750 | 1,400 | ||||||
Ferrellgas | ||||||||
9.125%, 10/01/17 | 2,500 | 2,575 | ||||||
6.500%, 05/01/21 | 2,825 | 2,422 | ||||||
Fontainebleau Las Vegas | ||||||||
11.000%, 06/15/15 (A) (B) | 3,500 | 2 | ||||||
Global Aviation Holdings | ||||||||
14.000%, 08/15/13 | 2,598 | 2,208 | ||||||
Goodyear Tire & Rubber | ||||||||
10.500%, 05/15/16 | 214 | 235 | ||||||
8.750%, 08/15/20 | 110 | 117 | ||||||
8.250%, 08/15/20 | 1,545 | 1,630 | ||||||
Greektown Superholdings | ||||||||
13.000%, 07/01/15 | 5,240 | 5,371 | ||||||
GWR Operating Partnership LLP | ||||||||
10.875%, 04/01/17 | 870 | 931 | ||||||
Gymboree | ||||||||
9.125%, 12/01/18 | 1,115 | 920 | ||||||
Hanesbrands | ||||||||
8.000%, 12/15/16 | 4,650 | 5,010 | ||||||
6.375%, 12/15/20 | 2,052 | 2,029 | ||||||
Hillman Group | ||||||||
10.875%, 06/01/18 | 890 | 899 | ||||||
10.875%, 06/01/18 (A) | 70 | 71 | ||||||
Icon Health & Fitness | ||||||||
11.875%, 10/15/16 (A) | 550 | 443 | ||||||
Inergy | ||||||||
8.750%, 03/01/15 | 552 | 578 | ||||||
7.000%, 10/01/18 | 1,945 | 1,906 | ||||||
6.875%, 08/01/21 | 130 | 124 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Intcomex | ||||||||
13.250%, 12/15/14 | $ | 4,515 | $ | 4,323 | ||||
International Automotive Components Group | ||||||||
9.125%, 06/01/18 (A) | 950 | 903 | ||||||
J Crew Group | ||||||||
8.125%, 03/01/19 | 1,025 | 942 | ||||||
Jaguar Land Rover | ||||||||
8.125%, 05/15/21 (A) | 1,440 | 1,361 | ||||||
Jarden | ||||||||
7.500%, 05/01/17 | 1,875 | 1,988 | ||||||
JC Penney | ||||||||
7.950%, 04/01/17 | 950 | 1,030 | ||||||
5.750%, 02/15/18 | 120 | 118 | ||||||
Lamar Media | ||||||||
7.875%, 04/15/18 | 625 | 645 | ||||||
Lear | ||||||||
7.875%, 03/15/18 | 405 | 434 | ||||||
Levi Strauss | ||||||||
7.625%, 05/15/20 | 1,500 | 1,504 | ||||||
Libbey Glass | ||||||||
10.000%, 02/15/15 | 1,187 | 1,264 | ||||||
Lions Gate Entertainment | ||||||||
10.250%, 11/01/16 (A) | 4,515 | 4,504 | ||||||
Live Nation Entertainment | ||||||||
8.125%, 05/15/18 (A) | 1,500 | 1,429 | ||||||
Liz Claiborne | ||||||||
10.500%, 04/15/19 (A) | 1,450 | 1,537 | ||||||
M/I Homes | ||||||||
8.625%, 11/15/18 | 2,150 | 1,887 | ||||||
Marina District Finance | ||||||||
9.875%, 08/15/18 | 1,980 | 1,767 | ||||||
9.500%, 10/15/15 | 355 | 323 | ||||||
McClatchy | ||||||||
11.500%, 02/15/17 | 4,475 | 4,151 | ||||||
MDC Partners | ||||||||
11.000%, 11/01/16 | 3,980 | 4,239 | ||||||
11.000%, 11/01/16 (A) | 530 | 559 | ||||||
MediMedia USA | ||||||||
11.375%, 11/15/14 (A) | 2,400 | 2,112 | ||||||
MGM Resorts International | ||||||||
11.375%, 03/01/18 | 6,855 | 7,386 | ||||||
11.125%, 11/15/17 | 1,550 | 1,734 | ||||||
9.000%, 03/15/20 | 5,445 | 5,935 | ||||||
7.500%, 06/01/16 | 2,545 | 2,427 | ||||||
Michaels Stores | ||||||||
13.000%, 11/01/16 (E) | 1,530 | 1,622 | ||||||
11.375%, 11/01/16 | 495 | 520 | ||||||
11.375%, 11/01/16 (A) | 21 | 22 | ||||||
7.750%, 11/01/18 | 1,950 | 1,906 | ||||||
Midwest Gaming Borrower LLC | ||||||||
11.625%, 04/15/16 (A) | 920 | 987 | ||||||
MTR Gaming Group | ||||||||
11.500%, 08/01/19 (A) | 6,225 | 5,182 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 89 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
NAI Entertainment Holdings LLC | ||||||||
8.250%, 12/15/17 (A) | $ | 2,021 | $ | 2,107 | ||||
Needle Merger Sub | ||||||||
8.125%, 03/15/19 (A) | 1,150 | 1,058 | ||||||
Niska Gas Storage US LLC | ||||||||
8.875%, 03/15/18 | 1,845 | 1,799 | ||||||
OSI Restaurant Partners | ||||||||
10.000%, 06/15/15 | 1,460 | 1,504 | ||||||
Peninsula Gaming LLC | ||||||||
10.750%, 08/15/17 | 3,690 | 3,782 | ||||||
8.375%, 08/15/15 | 3,150 | 3,308 | ||||||
Penske Automotive Group | ||||||||
7.750%, 12/15/16 | 1,700 | 1,725 | ||||||
Petco Animal Supplies | ||||||||
9.250%, 12/01/18 (A) | 1,075 | 1,137 | ||||||
Phillips-Van Heusen | ||||||||
7.375%, 05/15/20 | 3,825 | 4,064 | ||||||
Pinnacle Entertainment | ||||||||
8.750%, 05/15/20 | 1,395 | 1,353 | ||||||
Quebecor Media | ||||||||
7.750%, 03/15/16 | 2,230 | 2,263 | ||||||
Quiksilver | ||||||||
6.875%, 04/15/15 | 2,025 | 1,883 | ||||||
QVC | ||||||||
7.500%, 10/01/19 (A) | 4,215 | 4,478 | ||||||
7.375%, 10/15/20 (A) | 400 | 425 | ||||||
Regal Entertainment Group | ||||||||
9.125%, 08/15/18 | 1,215 | 1,270 | ||||||
Rent-A-Center | ||||||||
6.625%, 11/15/20 | 960 | 960 | ||||||
River Rock Entertainment Authority | ||||||||
9.750%, 11/01/11 (B) | 4,717 | 3,538 | ||||||
RJ Tower | ||||||||
12.000%, 06/01/13 (B) | 210 | 1 | ||||||
Roadhouse Financing | ||||||||
10.750%, 10/15/17 | 1,170 | 1,158 | ||||||
Royal Caribbean Cruises | ||||||||
7.250%, 06/15/16 | 390 | 419 | ||||||
Sabre Holdings | ||||||||
8.350%, 03/15/16 | 1,850 | 1,443 | ||||||
Salem Communications | ||||||||
9.625%, 12/15/16 | 969 | 1,013 | ||||||
Sally Holdings LLC | ||||||||
6.875%, 11/15/19 (A) | 3,482 | 3,560 | ||||||
San Pasqual Casino | ||||||||
8.000%, 09/15/13 (A) | 1,530 | 1,507 | ||||||
Sbarro | ||||||||
10.375%, 02/01/15 (B) | 1,866 | 5 | ||||||
Sealy Mattress | ||||||||
8.250%, 06/15/14 | 3,360 | 3,301 | ||||||
Seneca Gaming | ||||||||
8.250%, 12/01/18 (A) | 4,840 | 4,646 | ||||||
Service International | ||||||||
7.625%, 10/01/18 | 450 | 494 | ||||||
7.000%, 06/15/17 | 30 | 32 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
7.000%, 05/15/19 | $ | 620 | $ | 643 | ||||
6.750%, 04/01/15 | 160 | 170 | ||||||
6.750%, 04/01/16 | 430 | 457 | ||||||
ServiceMaster | ||||||||
7.450%, 08/15/27 | 5 | 4 | ||||||
7.250%, 03/01/38 | 3,170 | 1,965 | ||||||
ServiceMaster PIK | ||||||||
10.750%, 07/15/15 (A) | 4,860 | 4,957 | ||||||
Seven Seas Cruises LLC | ||||||||
9.125%, 05/15/19 (A) | 2,135 | 2,180 | ||||||
Shingle Springs Tribal Group | ||||||||
9.375%, 06/15/15 (A) | 300 | 167 | ||||||
Simmons Bedding | ||||||||
11.250%, 07/15/15 (A) | 2,415 | 2,493 | ||||||
Sirius XM Radio | ||||||||
9.750%, 09/01/15 (A) | 1,380 | 1,494 | ||||||
8.750%, 04/01/15 (A) | 1,950 | 2,116 | ||||||
Stanadyne Holdings | ||||||||
12.000%, 02/15/15 (E) | 1,500 | 1,425 | ||||||
Stanadyne Holdings, Ser 1 | ||||||||
10.000%, 08/15/14 | 1,275 | 1,154 | ||||||
Standard Pacific | ||||||||
10.750%, 09/15/16 | 1,614 | 1,646 | ||||||
Steinway Musical Instruments | ||||||||
7.000%, 03/01/14 (A) | 1,110 | 1,104 | ||||||
Stewart Enterprises | ||||||||
6.500%, 04/15/19 | 575 | 559 | ||||||
Stoneridge | ||||||||
9.500%, 10/15/17 (A) | 1,200 | 1,224 | ||||||
Suburban Propane Partners | ||||||||
7.375%, 03/15/20 | 500 | 516 | ||||||
Tomkins LLC | ||||||||
9.000%, 10/01/18 | 2,360 | 2,549 | ||||||
Travelport LLC | ||||||||
11.875%, 09/01/16 | 1,535 | 499 | ||||||
9.875%, 09/01/14 | 2,275 | 1,376 | ||||||
4.951%, 09/01/14 (C) | 894 | 443 | ||||||
UAL 1995 Pass-Through Trust, Ser 95A1 | ||||||||
9.020%, 04/19/12 (B) | 437 | 176 | ||||||
UAL 2009-1 Pass-Through Trust | ||||||||
10.400%, 11/01/16 | 1,244 | 1,356 | ||||||
UCI International | ||||||||
8.625%, 02/15/19 | 730 | 708 | ||||||
United Air Lines | ||||||||
12.000%, 11/01/13 (A) | 1,735 | 1,791 | ||||||
Univision Communications | ||||||||
8.500%, 05/15/21 (A) | 3,975 | 3,279 | ||||||
7.875%, 11/01/20 (A) | 3,000 | 2,835 | ||||||
Vail Resorts | ||||||||
6.500%, 05/01/19 (A) | 845 | 845 | ||||||
Visteon | ||||||||
6.750%, 04/15/19 (A) | 645 | 610 | ||||||
VWR Funding PIK | ||||||||
10.250%, 07/15/15 | 3,777 | 3,890 |
90 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WMG Acquisition | ||||||||
11.500%, 10/01/18 (A) | $ | 2,000 | $ | 1,970 | ||||
9.500%, 06/15/16 | 1,820 | 1,911 | ||||||
Wynn Las Vegas LLC | ||||||||
7.750%, 08/15/20 | 3,310 | 3,567 | ||||||
Yankee Candle, Ser B | ||||||||
9.750%, 02/15/17 | 2,615 | 2,510 | ||||||
8.500%, 02/15/15 | 1,000 | 998 | ||||||
|
| |||||||
320,715 | ||||||||
|
| |||||||
Consumer Staples — 12.4% |
| |||||||
Accellent | ||||||||
10.000%, 11/01/17 | 1,905 | 1,495 | ||||||
8.375%, 02/01/17 | 2,550 | 2,384 | ||||||
American Achievement | ||||||||
10.875%, 04/15/16 (A) | 3,055 | 2,337 | ||||||
American Renal Associates Holdings | ||||||||
9.750%, 03/01/16 | 2,254 | 2,248 | ||||||
American Renal Holdings | ||||||||
8.375%, 05/15/18 | 4,130 | 4,254 | ||||||
American Rock Salt LLC | ||||||||
8.250%, 05/01/18 (A) | 2,435 | 2,252 | ||||||
Apria Healthcare Group | ||||||||
12.375%, 11/01/14 | 400 | 358 | ||||||
ARAMARK Holdings PIK | ||||||||
8.625%, 05/01/16 (A) | 2,175 | 2,208 | ||||||
Armored Autogroup | ||||||||
9.250%, 11/01/18 (A) | 3,375 | 2,700 | ||||||
Aurora Diagnostics Holdings | ||||||||
10.750%, 01/15/18 (A) | 5,125 | 5,035 | ||||||
Aviv Healthcare Properties | ||||||||
7.750%, 02/15/19 | 1,485 | 1,403 | ||||||
B&G Foods | ||||||||
7.625%, 01/15/18 | 1,360 | 1,413 | ||||||
Bankrate | ||||||||
11.750%, 07/15/15 | 1,058 | 1,197 | ||||||
Beverages & More | ||||||||
9.625%, 10/01/14 (A) | 3,900 | 3,905 | ||||||
BI-LO LLC | ||||||||
9.250%, 02/15/19 (A) | 2,350 | 2,350 | ||||||
Biomet | ||||||||
11.625%, 10/15/17 | 3,170 | 3,392 | ||||||
Bumble Bee Acquisition | ||||||||
9.000%, 12/15/17 (A) | 3,525 | 3,490 | ||||||
Bumble Bee Holdco PIK | ||||||||
9.625%, 03/15/18 (A) | 2,000 | 1,700 | ||||||
Catalent Pharma Solutions PIK | ||||||||
9.500%, 04/15/15 | 5,314 | 5,314 | ||||||
Central Garden and Pet | ||||||||
8.250%, 03/01/18 | 1,105 | 1,072 | ||||||
CHS | ||||||||
8.000%, 11/15/19 (A) | 735 | 713 | ||||||
Constellation Brands | ||||||||
7.250%, 09/01/16 | 250 | 274 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
7.250%, 05/15/17 | $ | 1,745 | $ | 1,911 | ||||
ConvaTec Healthcare | ||||||||
10.500%, 12/15/18 (A) | 1,550 | 1,399 | ||||||
Cott Beverages | ||||||||
8.375%, 11/15/17 | 2,975 | 3,176 | ||||||
8.125%, 09/01/18 | 900 | 963 | ||||||
Darling International | ||||||||
8.500%, 12/15/18 | 1,250 | 1,375 | ||||||
Dean Foods | ||||||||
7.000%, 06/01/16 | 1,145 | 1,111 | ||||||
Del Monte Foods | ||||||||
7.625%, 02/15/19 (A) | 6,080 | 5,442 | ||||||
Diversey | ||||||||
8.250%, 11/15/19 | 916 | 1,140 | ||||||
DJO Finance LLC | ||||||||
10.875%, 11/15/14 | 620 | 584 | ||||||
9.750%, 10/15/17 | 5,853 | 4,639 | ||||||
7.750%, 04/15/18 | 4,775 | 3,832 | ||||||
Dole Food | ||||||||
13.875%, 03/15/14 | 288 | 333 | ||||||
8.000%, 10/01/16 (A) | 405 | 417 | ||||||
DynCorp International | ||||||||
10.375%, 07/01/17 | 3,980 | 3,463 | ||||||
Elizabeth Arden | ||||||||
7.375%, 03/15/21 | 240 | 250 | ||||||
Emergency Medical Services | ||||||||
8.125%, 06/01/19 | 7,503 | 7,372 | ||||||
Fleming | ||||||||
10.125%, 04/01/08 (B) | 983 | — | ||||||
Fresenius Medical Care US Finance | ||||||||
6.500%, 09/15/18 (A) | 2,080 | 2,158 | ||||||
Grifols | ||||||||
8.250%, 02/01/18 (A) | 900 | 927 | ||||||
HCA | ||||||||
8.000%, 10/01/18 | 650 | 665 | ||||||
7.500%, 02/15/22 | 7,310 | 7,200 | ||||||
6.500%, 02/15/20 | 2,565 | 2,552 | ||||||
Hertz | ||||||||
7.500%, 10/15/18 | 1,860 | 1,865 | ||||||
6.750%, 04/15/19 | 250 | 241 | ||||||
Immucor | ||||||||
11.125%, 08/15/19 (A) | 5,955 | 6,074 | ||||||
INC Research LLC | ||||||||
11.500%, 07/15/19 (A) | 3,515 | 3,164 | ||||||
Interactive Data | ||||||||
10.250%, 08/01/18 | 1,255 | 1,337 | ||||||
Jaguar Holding II | ||||||||
9.500%, 12/01/19 (A) | 5,285 | 5,311 | ||||||
Kinetic Concepts | ||||||||
10.500%, 11/01/18 (A) | 2,355 | 2,261 | ||||||
Knowledge Learning | ||||||||
7.750%, 02/01/15 (A) | 775 | 725 | ||||||
Lantheus Medical Imaging | ||||||||
9.750%, 05/15/17 | 2,465 | 2,040 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 91 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Laureate Education | ||||||||
12.750%, 08/15/17 (A) | $ | 1,100 | $ | 1,111 | ||||
10.000%, 08/15/15 (A) | 525 | 524 | ||||||
Michael Foods | ||||||||
9.750%, 07/15/18 | 950 | 979 | ||||||
Multiplan | ||||||||
9.875%, 09/01/18 (A) | 1,530 | 1,526 | ||||||
NBTY | ||||||||
9.000%, 10/01/18 | 2,530 | 2,694 | ||||||
NCO Group | ||||||||
11.875%, 11/15/14 | 1,800 | 1,784 | ||||||
OnCure Holdings | ||||||||
11.750%, 05/15/17 | 1,000 | 865 | ||||||
Pantry | ||||||||
7.750%, 02/15/14 | 5,385 | 5,291 | ||||||
Pinnacle Foods Finance LLC | ||||||||
10.625%, 04/01/17 | 3,280 | 3,395 | ||||||
8.250%, 09/01/17 | 1,250 | 1,272 | ||||||
Radiation Therapy Services | ||||||||
9.875%, 04/15/17 | 2,515 | 1,886 | ||||||
Radnet Management | ||||||||
10.375%, 04/01/18 | 1,205 | 1,066 | ||||||
Reynolds Group Issuer (A) | ||||||||
9.875%, 08/15/19 | 3,915 | 3,582 | ||||||
9.250%, 05/15/18 | 1,155 | 1,051 | ||||||
9.000%, 04/15/19 | 5,040 | 4,536 | ||||||
8.750%, 10/15/16 | 2,500 | 2,581 | ||||||
8.250%, 02/15/21 | 3,865 | 3,285 | ||||||
6.875%, 02/15/21 | 305 | 291 | ||||||
Rite Aid | ||||||||
10.250%, 10/15/19 | 185 | 200 | ||||||
9.750%, 06/12/16 | 665 | 723 | ||||||
9.500%, 06/15/17 | 5,455 | 4,773 | ||||||
8.625%, 03/01/15 | 2,360 | 2,195 | ||||||
8.000%, 08/15/20 | 11,720 | 12,658 | ||||||
7.500%, 03/01/17 | 570 | 559 | ||||||
RSC Equipment Rental | ||||||||
10.250%, 11/15/19 | 700 | 735 | ||||||
10.000%, 07/15/17 (A) | 2,000 | 2,185 | ||||||
8.250%, 02/01/21 | 5,985 | 5,686 | ||||||
Seminole Indian Tribe of Florida | ||||||||
7.750%, 10/01/17 (A) | 3,450 | 3,554 | ||||||
6.535%, 10/01/20 (A) | 1,000 | 968 | ||||||
Spectrum Brands | ||||||||
9.500%, 06/15/18 | 3,885 | 4,225 | ||||||
Spectrum Brands Holdings | ||||||||
9.500%, 06/15/18 (A) | 310 | 337 | ||||||
Spectrum Brands PIK | ||||||||
12.000%, 08/28/19 | 1,913 | 2,073 | ||||||
STHI Holding | ||||||||
8.000%, 03/15/18 (A) | 3,750 | 3,797 | ||||||
SUPERVALU | ||||||||
8.000%, 05/01/16 | 1,355 | 1,358 | ||||||
Symbion PIK | ||||||||
11.000%, 08/23/15 | 1,292 | 1,298 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ticketmaster Entertainment LLC | ||||||||
10.750%, 08/01/16 | $ | 5,215 | $ | 5,512 | ||||
U.S. Oncology | ||||||||
9.125%, 08/15/17 | 2,130 | 21 | ||||||
United Rentals North America | ||||||||
10.875%, 06/15/16 | 3,000 | 3,330 | ||||||
9.250%, 12/15/19 | 1,055 | 1,139 | ||||||
8.375%, 09/15/20 | 3,115 | 3,068 | ||||||
US Foodservice | ||||||||
8.500%, 06/30/19 (A) | 1,700 | 1,615 | ||||||
Valeant Pharmaceuticals International (A) | ||||||||
7.250%, 07/15/22 | 1,075 | 1,002 | ||||||
7.000%, 10/01/20 | 8,165 | 7,685 | ||||||
6.875%, 12/01/18 | 2,015 | 1,945 | ||||||
6.750%, 10/01/17 | 1,175 | 1,131 | ||||||
Vanguard Health Holding II LLC | ||||||||
8.000%, 02/01/18 | 2,965 | 2,817 | ||||||
Viskase | ||||||||
9.875%, 01/15/18 (A) | 1,300 | 1,297 | ||||||
YCC Holdings LLC PIK | ||||||||
10.250%, 02/15/16 | 4,055 | 3,548 | ||||||
|
| |||||||
244,574 | ||||||||
|
| |||||||
Energy — 8.2% | ||||||||
American Petroleum Tankers Parent LLC | ||||||||
10.250%, 05/01/15 | 1,173 | 1,196 | ||||||
Antero Resources Finance | ||||||||
9.375%, 12/01/17 | 1,235 | 1,303 | ||||||
Arch Coal | ||||||||
8.750%, 08/01/16 | 2,655 | 2,901 | ||||||
7.250%, 06/15/21 (A) | 675 | 655 | ||||||
7.000%, 06/15/19 (A) | 450 | 439 | ||||||
Bill Barrett | ||||||||
9.875%, 07/15/16 | 1,000 | 1,095 | ||||||
7.625%, 10/01/19 | 2,000 | 2,065 | ||||||
Bluewater Holding BV | ||||||||
3.403%, 07/17/14 (A) (C) | 1,400 | 1,078 | ||||||
BreitBurn Energy Partners | ||||||||
8.625%, 10/15/20 | 790 | 793 | ||||||
Brigham Exploration | ||||||||
8.750%, 10/01/18 | 945 | 1,148 | ||||||
Bristow Group | ||||||||
7.500%, 09/15/17 | 2,260 | 2,328 | ||||||
Calumet Specialty Products Partners | ||||||||
9.375%, 05/01/19 (A) | 2,590 | 2,486 | ||||||
Chaparral Energy | ||||||||
8.250%, 09/01/21 | 2,065 | 2,034 | ||||||
Chesapeake Energy | ||||||||
9.500%, 02/15/15 | 650 | 731 | ||||||
6.875%, 08/15/18 | 1,175 | 1,228 | ||||||
6.875%, 11/15/20 | 156 | 164 | ||||||
6.625%, 08/15/20 | 2,751 | 2,847 |
92 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Chesapeake Oilfield Operating LLC | ||||||||
6.625%, 11/15/19 (A) | $ | 1,725 | $ | 1,701 | ||||
Cloud Peak Energy Resources LLC | ||||||||
8.250%, 12/15/17 | 810 | 855 | ||||||
Comstock Resources | ||||||||
7.750%, 04/01/19 | 4,252 | 4,018 | ||||||
Consol Energy | ||||||||
8.250%, 04/01/20 | 680 | 731 | ||||||
8.000%, 04/01/17 | 2,200 | 2,343 | ||||||
Continental Resources | ||||||||
7.375%, 10/01/20 | 1,500 | 1,624 | ||||||
Copano Energy LLC | ||||||||
7.750%, 06/01/18 | 3,000 | 2,985 | ||||||
Crestwood Midstream Partners | ||||||||
7.750%, 04/01/19 (A) | 2,500 | 2,450 | ||||||
Crosstex Energy | ||||||||
8.875%, 02/15/18 | 2,235 | 2,380 | ||||||
Denbury Resources | ||||||||
8.250%, 02/15/20 | 200 | 217 | ||||||
Dresser-Rand Group | ||||||||
6.500%, 05/01/21 (A) | 600 | 589 | ||||||
Eagle Rock Energy Partners | ||||||||
8.375%, 06/01/19 (A) | 5,220 | 5,168 | ||||||
El Paso | ||||||||
7.250%, 06/01/18 | 670 | 727 | ||||||
7.000%, 06/15/17 | 270 | 293 | ||||||
Encore Acquisition | ||||||||
9.500%, 05/01/16 | 460 | 507 | ||||||
Energy Transfer Equity | ||||||||
7.500%, 10/15/20 | 4,188 | 4,335 | ||||||
EV Energy Partners | ||||||||
8.000%, 04/15/19 | 1,085 | 1,074 | ||||||
Forest Oil | ||||||||
8.500%, 02/15/14 | 50 | 54 | ||||||
8.000%, 12/15/11 | 800 | 800 | ||||||
7.250%, 06/15/19 | 5,005 | 4,955 | ||||||
Frac Tech Services LLC | ||||||||
7.625%, 11/15/18 (A) | 1,000 | 1,007 | ||||||
GMX Resources | ||||||||
11.375%, 02/15/19 (A) | 630 | 447 | ||||||
Helix Energy Solutions Group | ||||||||
9.500%, 01/15/16 (A) | 1,665 | 1,732 | ||||||
Hercules Offshore | ||||||||
10.500%, 10/15/17 (A) | 1,210 | 1,162 | ||||||
Hilcorp Energy I | ||||||||
8.000%, 02/15/20 (A) | 1,280 | 1,347 | ||||||
7.625%, 04/15/21 (A) | 125 | 129 | ||||||
Holly | ||||||||
9.875%, 06/15/17 | 1,110 | 1,218 | ||||||
James River Coal | ||||||||
7.875%, 04/01/19 | 2,165 | 1,645 | ||||||
Kinder Morgan Finance LLC | ||||||||
6.000%, 01/15/18 (A) | 4,100 | 4,182 | ||||||
Kodiak Oil & Gas | ||||||||
8.125%, 12/01/19 (A) | 2,180 | 2,213 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Laredo Petroleum | ||||||||
9.500%, 02/15/19 (A) | $ | 3,675 | $ | 3,808 | ||||
Linn Energy LLC | ||||||||
8.625%, 04/15/20 | 1,375 | 1,437 | ||||||
7.750%, 02/01/21 | 475 | 475 | ||||||
6.500%, 05/15/19 (A) | 1,130 | 1,074 | ||||||
MEG Energy | ||||||||
6.500%, 03/15/21 (A) | 1,076 | 1,081 | ||||||
Milagro Oil & Gas | ||||||||
10.500%, 05/15/16 (A) | 1,950 | 1,384 | ||||||
Murray Energy | ||||||||
10.250%, 10/15/15 (A) | 1,315 | 1,299 | ||||||
Newfield Exploration | ||||||||
7.125%, 05/15/18 | 3,635 | 3,817 | ||||||
6.875%, 02/01/20 | 1,075 | 1,129 | ||||||
NFR Energy LLC | ||||||||
9.750%, 02/15/17 (A) | 1,970 | 1,694 | ||||||
Oasis Petroleum | ||||||||
7.250%, 02/01/19 (A) | 1,300 | 1,326 | ||||||
Ocean Rig UDW | ||||||||
9.500%, 04/27/16 | 4,900 | 4,484 | ||||||
OPTI Canada | ||||||||
8.250%, 12/15/14 (A) (B) | 3,140 | 2,108 | ||||||
Parker Drilling | ||||||||
9.125%, 04/01/18 | 2,120 | 2,215 | ||||||
Peabody Energy | ||||||||
6.250%, 11/15/21 (A) | 3,120 | 3,143 | ||||||
6.000%, 11/15/18 (A) | 670 | 669 | ||||||
Penn Virginia | ||||||||
10.375%, 06/15/16 | 400 | 431 | ||||||
7.250%, 04/15/19 | 1,000 | 950 | ||||||
Petrohawk Energy | ||||||||
7.250%, 08/15/18 | 5,585 | 6,255 | ||||||
6.250%, 06/01/19 | 350 | 383 | ||||||
Petroleum Development | ||||||||
12.000%, 02/15/18 | 2,865 | 3,066 | ||||||
Pioneer Drilling | ||||||||
9.875%, 03/15/18 | 1,300 | 1,341 | ||||||
9.875%, 03/15/18 (A) | 550 | 567 | ||||||
Plains Exploration & Production | ||||||||
10.000%, 03/01/16 | 1,140 | 1,288 | ||||||
7.750%, 06/15/15 | 75 | 78 | ||||||
7.625%, 06/01/18 | 350 | 367 | ||||||
7.625%, 04/01/20 | 2,475 | 2,636 | ||||||
7.000%, 03/15/17 | 1,440 | 1,499 | ||||||
Precision Drilling | ||||||||
6.500%, 12/15/21 (A) | 310 | 310 | ||||||
Quicksilver Resources | ||||||||
11.750%, 01/01/16 | 2,200 | 2,475 | ||||||
9.125%, 08/15/19 | 1,385 | 1,453 | ||||||
7.125%, 04/01/16 | 1,300 | 1,261 | ||||||
Range Resources | ||||||||
8.000%, 05/15/19 | 4,575 | 5,078 | ||||||
Regency Energy Partners | ||||||||
6.875%, 12/01/18 | 2,900 | 3,031 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 93 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SandRidge Energy | ||||||||
8.750%, 01/15/20 | $ | 70 | $ | 69 | ||||
8.000%, 06/01/18 (A) | 360 | 346 | ||||||
7.500%, 03/15/21 | 4,215 | 3,857 | ||||||
SESI LLC | ||||||||
7.125%, 12/15/21 (A) | 4,000 | 4,070 | ||||||
Targa Resources | ||||||||
7.875%, 10/15/18 | 2,445 | 2,543 | ||||||
Targa Resources Partners | ||||||||
11.250%, 07/15/17 | 3,475 | 3,857 | ||||||
Tesoro | ||||||||
9.750%, 06/01/19 | 1,600 | 1,786 | ||||||
Thermon Industries | ||||||||
9.500%, 05/01/17 | 1,222 | 1,295 | ||||||
Transocean | ||||||||
6.375%, 12/15/21 | 295 | 295 | ||||||
Trinidad Drilling | ||||||||
7.875%, 01/15/19 (A) | 880 | 898 | ||||||
Venoco | ||||||||
8.875%, 02/15/19 | 645 | 577 | ||||||
Whiting Petroleum | ||||||||
6.500%, 10/01/18 | 25 | 26 | ||||||
WPX Energy | ||||||||
6.000%, 01/15/22 (A) | 690 | 678 | ||||||
|
| |||||||
161,288 | ||||||||
|
| |||||||
Financials — 8.8% | ||||||||
Algoma Acquisition | ||||||||
9.875%, 06/15/15 (A) | 1,725 | 1,397 | ||||||
Alliant Holdings | ||||||||
11.000%, 05/01/15 (A) | 3,400 | 3,485 | ||||||
Ally Financial | ||||||||
8.000%, 11/01/31 | 2,333 | 2,216 | ||||||
7.500%, 09/15/20 | 850 | 821 | ||||||
6.750%, 12/01/14 | 2,366 | 2,319 | ||||||
6.250%, 12/01/17 | 3,185 | 2,927 | ||||||
American Capital | ||||||||
7.960%, 12/31/13 (A) | 722 | 718 | ||||||
American International Group | ||||||||
8.175%, 05/15/58 (C) | 1,805 | 1,593 | ||||||
Aventine Escrow | ||||||||
0.000%, 10/15/49 (B) (F) (G) (H) | 2,600 | 46 | ||||||
BAC Capital Trust VI | ||||||||
5.625%, 03/08/35 | 2,380 | 1,925 | ||||||
Bank of America | ||||||||
8.000%, 12/29/49 (C) | 1,480 | 1,262 | ||||||
Cemex Finance LLC | ||||||||
9.500%, 12/14/16 (A) | 335 | 269 | ||||||
CIT Group | ||||||||
7.000%, 05/01/15 | 1 | 1 | ||||||
7.000%, 05/04/15 (A) | 318 | 316 | ||||||
7.000%, 05/01/16 | 5,976 | 5,913 | ||||||
7.000%, 05/02/16 (A) | 531 | 524 | ||||||
7.000%, 05/01/17 | 4,447 | 4,402 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
7.000%, 05/02/17 (A) | $ | 11,778 | $ | 11,601 | ||||
6.625%, 04/01/18 (A) | 685 | 694 | ||||||
Citigroup Capital XXI | ||||||||
8.300%, 12/21/57 (C) | 1,065 | 1,068 | ||||||
City National Bank | ||||||||
9.000%, 08/12/19 | 4,062 | 4,798 | ||||||
CNH Capital LLC | ||||||||
6.250%, 11/01/16 (A) | 1,145 | 1,142 | ||||||
CNO Financial Group | ||||||||
9.000%, 01/15/18 (A) | 1,600 | 1,680 | ||||||
Credit Acceptance | ||||||||
9.125%, 02/01/17 | 3,600 | 3,681 | ||||||
9.125%, 02/01/17 (A) | 400 | 408 | ||||||
E*Trade Financial | ||||||||
7.875%, 12/01/15 | 1,500 | 1,493 | ||||||
E*Trade Financial PIK | ||||||||
12.500%, 11/30/17 | 1,285 | 1,452 | ||||||
Energy Future Intermediate Holding LLC | ||||||||
10.000%, 12/01/20 | 9,336 | 9,616 | ||||||
Express LLC | ||||||||
8.750%, 03/01/18 | 790 | 830 | ||||||
Fifth Third Capital Trust IV | ||||||||
6.500%, 04/15/37 (C) | 2,125 | 2,051 | ||||||
FireKeepers Development Authority | ||||||||
13.875%, 05/01/15 (A) | 3,697 | 4,173 | ||||||
Ford Motor Credit LLC | ||||||||
12.000%, 05/15/15 | 895 | 1,089 | ||||||
8.000%, 12/15/16 | 1,100 | 1,237 | ||||||
6.625%, 08/15/17 | 1,760 | 1,888 | ||||||
5.000%, 05/15/18 | 3,925 | 3,859 | ||||||
Fresenius US Finance II | ||||||||
9.000%, 07/15/15 (A) | 800 | 890 | ||||||
HBOS Capital Funding No. 2 | ||||||||
6.071%, 06/30/49 (A) (C) | 3,425 | 2,089 | ||||||
Host Hotels & Resorts‡ | ||||||||
9.000%, 05/15/17 | 125 | 137 | ||||||
Host Hotels & Resorts, Ser Q‡ | ||||||||
6.750%, 06/01/16 | 1,755 | 1,805 | ||||||
HUB International Holdings | ||||||||
9.000%, 12/15/14 (A) | 2,490 | 2,446 | ||||||
Icahn Enterprises | ||||||||
8.000%, 01/15/18 | 2,500 | 2,550 | ||||||
7.750%, 01/15/16 | 4,500 | 4,641 | ||||||
ILFC E-Capital Trust I | ||||||||
4.770%, 12/21/65 (A) (C) | 800 | 480 | ||||||
ILFC E-Capital Trust II | ||||||||
6.250%, 12/21/65 (A) (C) | 2,695 | 1,772 | ||||||
ING Groep | ||||||||
5.775%, 12/29/49 (C) | 4,050 | 2,713 | ||||||
Ironshore Holdings US | ||||||||
8.500%, 05/15/20 (A) | 5,000 | 5,386 | ||||||
Jefferies Group | ||||||||
8.500%, 07/15/19 | 1,400 | 1,302 | ||||||
Kennedy-Wilson | ||||||||
8.750%, 04/01/19 (A) | 3,800 | 3,677 |
94 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Liberty Mutual Group | ||||||||
7.000%, 03/15/37 (A) (C) | $ | 1,530 | $ | 1,270 | ||||
Marlin Water Trust II | ||||||||
6.310%, 07/15/03 (A) (B) | 4,000 | — | ||||||
Millennium Escrow | ||||||||
7.625%, 11/15/26 (B) | 200 | — | ||||||
MPT Operating Partnership‡ | ||||||||
6.875%, 05/01/21 | 4,095 | 4,054 | ||||||
National Life Insurance | ||||||||
10.500%, 09/15/39 (A) | 1,100 | 1,401 | ||||||
Norcraft | ||||||||
10.500%, 12/15/15 | 1,560 | 1,404 | ||||||
Nuveen Investments | ||||||||
10.500%, 11/15/15 | 11,490 | 10,973 | ||||||
10.500%, 11/15/15 (A) | 520 | 491 | ||||||
Offshore Group Investments | ||||||||
11.500%, 08/01/15 | 3,930 | 4,215 | ||||||
Ohio Casualty | ||||||||
7.300%, 06/15/14 | 1,050 | 1,123 | ||||||
Omega Healthcare Investors‡ | ||||||||
7.500%, 02/15/20 | 3,505 | 3,636 | ||||||
Ono Finance II | ||||||||
10.875%, 07/15/19 (A) | 2,596 | 2,155 | ||||||
PHH | ||||||||
9.250%, 03/01/16 | 1,295 | 1,334 | ||||||
PNC Preferred Funding Trust II | ||||||||
6.181%, 03/29/49 (A) (C) | 5,640 | 4,174 | ||||||
Regions Bank | ||||||||
7.500%, 05/15/18 | 500 | 480 | ||||||
Regions Financial | ||||||||
5.750%, 06/15/15 | 520 | 497 | ||||||
Regions Financing Trust II | ||||||||
6.625%, 05/15/47 (C) | 2,405 | 1,924 | ||||||
RESPARCS Funding I MTN | ||||||||
8.000%, 12/29/49 | 830 | 183 | ||||||
Sabra Health Care‡ | ||||||||
8.125%, 11/01/18 | 4,125 | 4,048 | ||||||
Snoqualmie Entertainment Authority | ||||||||
9.125%, 02/01/15 (A) | 3,065 | 2,958 | ||||||
4.179%, 02/01/14 (A) (C) | 275 | 247 | ||||||
Spencer Spirit Holdings | ||||||||
11.000%, 05/01/17 (A) | 2,215 | 2,132 | ||||||
Susquehanna Capital II | ||||||||
11.000%, 03/23/40 | 1,300 | 1,341 | ||||||
Tops Holdings | ||||||||
10.125%, 10/15/15 | 1,430 | 1,476 | ||||||
USB Realty | ||||||||
6.091%, 12/29/49 (A) (C) | 3,600 | 2,502 | ||||||
USI Holdings | ||||||||
9.750%, 05/15/15 (A) | 4,812 | 4,547 | ||||||
XL Capital | ||||||||
6.500%, 12/31/49 (C) | 2,615 | 2,027 | ||||||
|
| |||||||
173,374 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Health Care — 4.4% |
| |||||||
Acadia Healthcare | ||||||||
12.875%, 11/01/18 (A) | $ | 2,600 | $ | 2,561 | ||||
Alere | ||||||||
9.000%, 05/15/16 | 5,045 | 4,969 | ||||||
Biomet | ||||||||
10.000%, 10/15/17 | 8,125 | 8,755 | ||||||
Biomet PIK | ||||||||
10.375%, 10/15/17 | 7,015 | 7,524 | ||||||
BioScrip | ||||||||
10.250%, 10/01/15 | 4,985 | 4,885 | ||||||
Community Health Systems | ||||||||
8.875%, 07/15/15 | 2,123 | 2,181 | ||||||
DaVita | ||||||||
6.625%, 11/01/20 | 1,350 | 1,326 | ||||||
6.375%, 11/01/18 | 2,070 | 2,034 | ||||||
Emdeon | ||||||||
11.000%, 12/31/19 (A) | 1,475 | 1,519 | ||||||
Endo Pharmaceuticals Holdings | ||||||||
7.250%, 01/15/22 (A) | 2,100 | 2,158 | ||||||
7.000%, 07/15/19 (A) | 3,470 | 3,557 | ||||||
HCA | ||||||||
9.875%, 02/15/17 | 110 | 119 | ||||||
8.500%, 04/15/19 | 2,640 | 2,851 | ||||||
HCA Holdings | ||||||||
7.750%, 05/15/21 | 4,820 | 4,736 | ||||||
Health Management Associates | ||||||||
7.375%, 01/15/20 (A) | 3,095 | 3,114 | ||||||
6.125%, 04/15/16 | 1,290 | 1,313 | ||||||
HealthSouth | ||||||||
8.125%, 02/15/20 | 3,210 | 3,138 | ||||||
7.750%, 09/15/22 | 890 | 863 | ||||||
7.250%, 10/01/18 | 610 | 594 | ||||||
inVentiv Health | ||||||||
10.000%, 08/15/18 (A) | 1,300 | 1,232 | ||||||
Kindred Healthcare | ||||||||
8.250%, 06/01/19 | 4,935 | 4,096 | ||||||
Mylan | ||||||||
7.875%, 07/15/20 (A) | 1,950 | 2,077 | ||||||
7.625%, 07/15/17 (A) | 4,100 | 4,356 | ||||||
6.000%, 11/15/18 (A) | 1,085 | 1,082 | ||||||
Select Medical | ||||||||
7.625%, 02/01/15 | 3,450 | 3,200 | ||||||
Surgical Care Affiliates PIK | ||||||||
8.875%, 07/15/15 (A) | 1,636 | 1,619 | ||||||
Tenet Healthcare | ||||||||
9.250%, 02/01/15 | 1,195 | 1,235 | ||||||
8.875%, 07/01/19 | 265 | 289 | ||||||
8.000%, 08/01/20 | 1,445 | 1,402 | ||||||
6.250%, 11/01/18 (A) | 1,845 | 1,817 | ||||||
United Surgical Partners International | ||||||||
8.875%, 05/01/17 | 105 | 104 | ||||||
United Surgical Partners International PIK | ||||||||
9.250%, 05/01/17 | 3,190 | 3,174 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 95 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Universal Health Services | ||||||||
7.000%, 10/01/18 | $ | 2,500 | $ | 2,513 | ||||
|
| |||||||
86,393 | ||||||||
|
| |||||||
Industrials — 8.9% |
| |||||||
ACCO Brands | ||||||||
7.625%, 08/15/15 | 605 | 618 | ||||||
Accuride | ||||||||
9.500%, 08/01/18 | 3,080 | 2,899 | ||||||
ACL I | ||||||||
10.625%, 02/15/16 (A) | 2,537 | 2,029 | ||||||
Actuant | ||||||||
6.875%, 06/15/17 | 2,575 | 2,601 | ||||||
Aircastle | ||||||||
9.750%, 08/01/18 | 895 | 936 | ||||||
Alion Science and Technology | ||||||||
10.250%, 02/01/15 | 1,405 | 836 | ||||||
Alion Science and Technology PIK | ||||||||
12.000%, 11/01/14 | 2,091 | 1,892 | ||||||
Alliant Techsystems | ||||||||
6.750%, 04/01/16 | 3,790 | 3,856 | ||||||
American Airlines 2011-2 Class A Pass-Through Trust | ||||||||
8.625%, 10/15/21 | 1,100 | 1,056 | ||||||
AMGH Merger Sub | ||||||||
9.250%, 11/01/18 (A) | 3,543 | 3,516 | ||||||
Amsted Industries | ||||||||
8.125%, 03/15/18 (A) | 870 | 905 | ||||||
ARD Finance PIK | ||||||||
11.125%, 06/01/18 (A) | 3,206 | 2,821 | ||||||
Ardagh Packaging Finance | ||||||||
9.125%, 10/15/20 (A) | 1,690 | 1,673 | ||||||
Associated Materials LLC | ||||||||
9.125%, 11/01/17 | 2,385 | 2,018 | ||||||
Atkore International | ||||||||
9.875%, 01/01/18 | 2,325 | 2,261 | ||||||
AWAS Aviation Capital | ||||||||
7.000%, 10/17/16 (A) | 1,076 | 1,076 | ||||||
Baker & Taylor | ||||||||
11.500%, 07/01/13 (A) | 1,170 | 914 | ||||||
BE Aerospace | ||||||||
8.500%, 07/01/18 | 650 | 702 | ||||||
Belden | ||||||||
9.250%, 06/15/19 | 760 | 798 | ||||||
Berry Plastics | ||||||||
10.250%, 03/01/16 | 825 | 759 | ||||||
9.750%, 01/15/21 | 3,365 | 3,214 | ||||||
Boart Longyear Management | ||||||||
7.000%, 04/01/21 (A) | 500 | 495 | ||||||
Building Materials Corp of America | ||||||||
6.875%, 08/15/18 (A) | 2,360 | 2,372 | ||||||
6.750%, 05/01/21 (A) | 700 | 697 | ||||||
BWAY Holding | ||||||||
10.000%, 06/15/18 | 1,390 | 1,453 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Case New Holland | ||||||||
7.875%, 12/01/17 | $ | 1,065 | $ | 1,166 | ||||
Casella Waste Systems | ||||||||
11.000%, 07/15/14 | 30 | 32 | ||||||
7.750%, 02/15/19 | 1,490 | 1,449 | ||||||
Cemex Espana Luxembourg | ||||||||
9.250%, 05/12/20 (A) | 3,138 | 2,134 | ||||||
CEVA Group | ||||||||
11.625%, 10/01/16 (A) | 3,155 | 3,163 | ||||||
11.500%, 04/01/18 (A) | 2,500 | 2,238 | ||||||
8.375%, 12/01/17 (A) | 1,000 | 940 | ||||||
Clean Harbors | ||||||||
7.625%, 08/15/16 | 662 | 698 | ||||||
Coleman Cable | ||||||||
9.000%, 02/15/18 | 2,845 | 2,845 | ||||||
Columbus McKinnon | ||||||||
7.875%, 02/01/19 | 300 | 303 | ||||||
CPM Holdings | ||||||||
10.625%, 09/01/14 | 1,250 | 1,330 | ||||||
DAE Aviation Holdings | ||||||||
11.250%, 08/01/15 (A) | 1,380 | 1,435 | ||||||
Delta Air Lines | ||||||||
12.250%, 03/15/15 (A) | 3,905 | 4,139 | ||||||
Esterline Technologies | ||||||||
7.000%, 08/01/20 | 1,755 | 1,816 | ||||||
Florida East Coast Railway | ||||||||
8.125%, 02/01/17 | 750 | 747 | ||||||
FTI Consulting | ||||||||
6.750%, 10/01/20 | 1,500 | 1,513 | ||||||
General Cable | ||||||||
7.125%, 04/01/17 | 910 | 903 | ||||||
Geo Group | ||||||||
7.750%, 10/15/17 | 1,355 | 1,426 | ||||||
6.625%, 02/15/21 | 75 | 74 | ||||||
Graham Packaging | ||||||||
9.875%, 10/15/14 | 305 | 309 | ||||||
Graphic Packaging International | ||||||||
7.875%, 10/01/18 | 2,370 | 2,524 | ||||||
Great Lakes Dredge & Dock | ||||||||
7.375%, 02/01/19 | 1,190 | 1,151 | ||||||
Griffon | ||||||||
7.125%, 04/01/18 | 1,975 | 1,906 | ||||||
7.125%, 04/01/18 (A) | 130 | 125 | ||||||
Huntington Ingalls Industries | ||||||||
7.125%, 03/15/21 (A) | 600 | 588 | ||||||
6.875%, 03/15/18 (A) | 600 | 588 | ||||||
Interface | ||||||||
7.625%, 12/01/18 | 1,015 | 1,056 | ||||||
Interline Brands | ||||||||
7.000%, 11/15/18 | 2,606 | 2,684 | ||||||
International Lease Finance | ||||||||
8.750%, 03/15/17 | 2,975 | 2,997 | ||||||
8.625%, 09/15/15 | 1,595 | 1,591 | ||||||
8.250%, 12/15/20 | 520 | 517 |
96 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.250%, 05/15/19 | $ | 165 | $ | 147 | ||||
5.750%, 05/15/16 | 230 | 208 | ||||||
International Wire Group Holdings | ||||||||
9.750%, 04/15/15 (A) | 1,105 | 1,122 | ||||||
Iron Mountain | ||||||||
8.750%, 07/15/18 | 1,140 | 1,174 | ||||||
8.375%, 08/15/21 | 2,315 | 2,431 | ||||||
7.750%, 10/01/19 | 2,625 | 2,710 | ||||||
Kansas City Southern de Mexico | ||||||||
8.000%, 02/01/18 | 910 | 992 | ||||||
6.125%, 06/15/21 | 460 | 472 | ||||||
Kratos Defense & Security Solutions | ||||||||
10.000%, 06/01/17 | 4,235 | 4,267 | ||||||
Liberty Tire Recycling | ||||||||
11.000%, 10/01/16 (A) | 3,800 | 3,819 | ||||||
Manitowoc | ||||||||
9.500%, 02/15/18 | 1,960 | 2,024 | ||||||
8.500%, 11/01/20 | 880 | 898 | ||||||
Marquette Transportation | ||||||||
10.875%, 01/15/17 | 1,100 | 1,078 | ||||||
Masco | ||||||||
7.125%, 03/15/20 | 115 | 114 | ||||||
Masonite International | ||||||||
8.250%, 04/15/21 (A) | 1,335 | 1,255 | ||||||
Meritor | ||||||||
10.625%, 03/15/18 | 1,000 | 946 | ||||||
8.125%, 09/15/15 | 1,295 | 1,146 | ||||||
Midwest Vanadium | ||||||||
11.500%, 02/15/18 (A) | 1,350 | 972 | ||||||
Mobile Mini | ||||||||
7.875%, 12/01/20 | 1,190 | 1,190 | ||||||
Mueller Water Products | ||||||||
8.750%, 09/01/20 | 510 | 541 | ||||||
7.375%, 06/01/17 | 1,455 | 1,275 | ||||||
Nortek | ||||||||
8.500%, 04/15/21 (A) | 1,510 | 1,242 | ||||||
NXP BV | ||||||||
10.000%, 07/15/13 (A) | 598 | 648 | ||||||
9.750%, 08/01/18 (A) | 3,850 | 4,187 | ||||||
Old AII | ||||||||
10.000%, 12/15/16 (B) | 1,675 | — | ||||||
Old AII PIK | ||||||||
9.000%, 12/15/14 (B) | 950 | — | ||||||
Oshkosh | ||||||||
8.500%, 03/01/20 | 1,425 | 1,432 | ||||||
8.250%, 03/01/17 | 1,725 | 1,738 | ||||||
Packaging Dynamics | ||||||||
8.750%, 02/01/16 (A) | 1,724 | 1,707 | ||||||
Ply Gem Industries | ||||||||
13.125%, 07/15/14 | 1,290 | 1,226 | ||||||
8.250%, 02/15/18 | 885 | 754 | ||||||
Polymer Group | ||||||||
7.750%, 02/01/19 (A) | 1,890 | 1,914 | ||||||
Polypore International | ||||||||
7.500%, 11/15/17 | 2,595 | 2,660 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Pregis | ||||||||
12.375%, 10/15/13 | $ | 4,311 | $ | 4,009 | ||||
Quality Distribution LLC | ||||||||
9.875%, 11/01/18 | 4,770 | 4,782 | ||||||
Quebecor Escrow (B) | ||||||||
0.000%, 11/15/13 | 1,800 | 23 | ||||||
0.000%, 03/15/16 | 2,175 | 28 | ||||||
RailAmerica | ||||||||
9.250%, 07/01/17 | 1,004 | 1,094 | ||||||
RBS Global | ||||||||
8.500%, 05/01/18 | 2,820 | 2,891 | ||||||
Sequa | ||||||||
11.750%, 12/01/15 (A) | 4,065 | 4,299 | ||||||
Sequa PIK | ||||||||
13.500%, 12/01/15 (A) | 500 | 534 | ||||||
Spirit Aerosystems | ||||||||
7.500%, 10/01/17 | 1,135 | 1,206 | ||||||
Swift Services Holdings | ||||||||
10.000%, 11/15/18 | 475 | 494 | ||||||
Swift Transportation LLC | ||||||||
12.500%, 05/15/17 (A) | 590 | 625 | ||||||
syncreon Global Ireland | ||||||||
9.500%, 05/01/18 (A) | 3,467 | 3,194 | ||||||
Tempel Steel | ||||||||
12.000%, 08/15/16 (A) | 1,100 | 1,034 | ||||||
Terex | ||||||||
8.000%, 11/15/17 | 1,195 | 1,162 | ||||||
Thermadyne Holdings | ||||||||
9.000%, 12/15/17 | 1,800 | 1,800 | ||||||
Titan International | ||||||||
7.875%, 10/01/17 | 4,335 | 4,503 | ||||||
Trimas | ||||||||
9.750%, 12/15/17 | 1,020 | 1,086 | ||||||
United Maritime Group LLC | ||||||||
11.750%, 06/15/15 | 4,400 | 4,444 | ||||||
USG | ||||||||
9.750%, 08/01/14 (A) | 1,215 | 1,215 | ||||||
8.375%, 10/15/18 (A) | 1,535 | 1,355 | ||||||
6.300%, 11/15/16 | 1,975 | 1,496 | ||||||
WCA Waste | ||||||||
7.500%, 06/15/19 (A) | 1,000 | 965 | ||||||
|
| |||||||
175,312 | ||||||||
|
| |||||||
Information Technology — 4.2% |
| |||||||
Advanced Micro Devices | ||||||||
7.750%, 08/01/20 | 2,040 | 2,050 | ||||||
Amkor Technology | ||||||||
7.375%, 05/01/18 | 2,390 | 2,378 | ||||||
Aspect Software | ||||||||
10.625%, 05/15/17 | 4,680 | 4,750 | ||||||
Audatex North America | ||||||||
6.750%, 06/15/18 (A) | 1,180 | 1,189 | ||||||
Brocade Communications Systems | ||||||||
6.625%, 01/15/18 | 480 | 499 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 97 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Cardtronics | ||||||||
8.250%, 09/01/18 | $ | 2,265 | $ | 2,452 | ||||
CDW LLC | ||||||||
12.535%, 10/12/17 | 1,845 | 1,827 | ||||||
8.250%, 12/15/18 (A) | 2,800 | 2,856 | ||||||
Compucom Systems | ||||||||
12.500%, 10/01/15 (A) | 6,025 | 6,146 | ||||||
Eagle Parent | ||||||||
8.625%, 05/01/19 (A) | 2,790 | 2,588 | ||||||
Fidelity National Information Services | ||||||||
7.875%, 07/15/20 | 970 | 1,028 | ||||||
7.625%, 07/15/17 | 1,630 | 1,728 | ||||||
First Data | ||||||||
12.625%, 01/15/21 (A) | 2,362 | 1,949 | ||||||
11.250%, 03/31/16 | 4,530 | 3,692 | ||||||
8.875%, 08/15/20 (A) | 625 | 625 | ||||||
8.250%, 01/15/21 (A) | 1,144 | 990 | ||||||
7.375%, 06/15/19 (A) | 870 | 818 | ||||||
First Data PIK | ||||||||
10.550%, 09/24/15 | 4,845 | 4,409 | ||||||
8.750%, 01/15/22 (A) | 1,387 | 1,165 | ||||||
Freescale Semiconductor | ||||||||
10.125%, 03/15/18 (A) | 30 | 32 | ||||||
9.250%, 04/15/18 (A) | 6,205 | 6,469 | ||||||
8.050%, 02/01/20 | 680 | 615 | ||||||
iGate | ||||||||
9.000%, 05/01/16 (A) | 9,130 | 9,130 | ||||||
Lawson Software | ||||||||
11.500%, 07/15/18 (A) | 1,000 | 953 | ||||||
MagnaChip Semiconductor | ||||||||
10.500%, 04/15/18 | 2,400 | 2,454 | ||||||
Mantech International | ||||||||
7.250%, 04/15/18 | 700 | 717 | ||||||
MEMC Electronic Materials | ||||||||
7.750%, 04/01/19 | 765 | 601 | ||||||
Seagate HDD Cayman | ||||||||
7.750%, 12/15/18 (A) | 1,415 | 1,457 | ||||||
Sensata Technologies | ||||||||
6.500%, 05/15/19 (A) | 3,343 | 3,242 | ||||||
Spansion LLC | ||||||||
7.875%, 11/15/17 (A) | 1,555 | 1,493 | ||||||
SSI Investments II | ||||||||
11.125%, 06/01/18 | 1,020 | 1,068 | ||||||
STATS ChipPAC | ||||||||
7.500%, 08/12/15 (A) | 2,200 | 2,266 | ||||||
Stratus Technologies Bermuda | ||||||||
12.000%, 03/29/15 | 2,512 | 2,248 | ||||||
Stream Global Services | ||||||||
11.250%, 10/01/14 | 400 | 408 | ||||||
SunGard Data Systems | ||||||||
10.250%, 08/15/15 | 3,980 | 4,099 | ||||||
7.375%, 11/15/18 | 975 | 960 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Unisys | ||||||||
12.750%, 10/15/14 (A) | $ | 1,128 | $ | 1,276 | ||||
|
| |||||||
82,627 | ||||||||
|
| |||||||
Materials — 4.6% |
| |||||||
AK Steel | ||||||||
7.625%, 05/15/20 | 1,875 | 1,706 | ||||||
Aleris International | ||||||||
7.625%, 02/15/18 | 1,190 | 1,142 | ||||||
APERAM | ||||||||
7.750%, 04/01/18 (A) | 1,230 | 1,052 | ||||||
Ashland | ||||||||
9.125%, 06/01/17 | 2,565 | 2,847 | ||||||
Boise Paper Holdings LLC | ||||||||
9.000%, 11/01/17 | 1,670 | 1,795 | ||||||
Celanese US Holdings LLC | ||||||||
6.625%, 10/15/18 | 750 | 784 | ||||||
Cemex | ||||||||
9.000%, 01/11/18 (A) | 1,900 | 1,378 | ||||||
CF Industries | ||||||||
7.125%, 05/01/20 | 1,000 | 1,178 | ||||||
6.875%, 05/01/18 | 3,145 | 3,613 | ||||||
Chemtura | ||||||||
7.875%, 09/01/18 | 2,300 | 2,352 | ||||||
Clearwater Paper | ||||||||
10.625%, 06/15/16 | 855 | 949 | ||||||
7.125%, 11/01/18 | 255 | 264 | ||||||
Domtar | ||||||||
10.750%, 06/01/17 | 1,500 | 1,886 | ||||||
9.500%, 08/01/16 | 250 | 298 | ||||||
FMG Resources (A) | ||||||||
8.250%, 11/01/19 | 615 | 603 | ||||||
7.000%, 11/01/15 | 1,455 | 1,408 | ||||||
6.875%, 02/01/18 | 1,075 | 986 | ||||||
Georgia-Pacific | ||||||||
8.000%, 01/15/24 | 1,680 | 2,121 | ||||||
Headwaters | ||||||||
7.625%, 04/01/19 | 1,435 | 1,223 | ||||||
Hexion US Finance | ||||||||
9.000%, 11/15/20 | 1,480 | 1,162 | ||||||
8.875%, 02/01/18 | 2,875 | 2,595 | ||||||
Huntsman International LLC | ||||||||
8.625%, 03/15/20 | 535 | 543 | ||||||
8.625%, 03/15/21 | 670 | 680 | ||||||
5.500%, 06/30/16 | 755 | 721 | ||||||
Ineos Finance | ||||||||
9.000%, 05/15/15 (A) | 325 | 327 | ||||||
INEOS Group Holdings PLC | ||||||||
8.500%, 02/15/16 (A) | 3,010 | 2,348 | ||||||
JMC Steel Group | ||||||||
8.250%, 03/15/18 (A) | 1,425 | 1,340 | ||||||
Kinove German Bondco GmbH | ||||||||
9.625%, 06/15/18 (A) | 1,760 | 1,593 |
98 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Longview Fibre Paper & Packaging | ||||||||
8.000%, 06/01/16 (A) | $ | 1,645 | $ | 1,653 | ||||
Lyondell Chemical | ||||||||
8.000%, 11/01/17 | 791 | 858 | ||||||
LyondellBasell Industries | ||||||||
6.000%, 11/15/21 (A) | 810 | 826 | ||||||
MacDermid | ||||||||
9.500%, 04/15/17 (A) | 1,820 | 1,738 | ||||||
Millar Western Forest Products | ||||||||
8.500%, 04/01/21 (A) | 1,145 | 870 | ||||||
Mirabela Nickel | ||||||||
8.750%, 04/15/18 (A) | 1,055 | 939 | ||||||
Momentive Performance Materials | ||||||||
9.000%, 01/15/21 | 2,900 | 2,066 | ||||||
Momentive PIK | ||||||||
11.000%, 06/04/17 (F) (G) | 2,427 | 1,735 | ||||||
Neenah Foundry PIK | ||||||||
15.000%, 07/29/15 | 122 | 119 | ||||||
NewPage | ||||||||
11.375%, 12/31/14 (B) | 480 | 335 | ||||||
Nexeo Solutions LLC | ||||||||
8.375%, 03/01/18 (A) | 1,979 | 1,934 | ||||||
Noranda Aluminum Acquisition PIK | ||||||||
4.659%, 05/15/15 (C) | 2,173 | 1,999 | ||||||
Nova Chemicals | ||||||||
8.625%, 11/01/19 | 390 | 425 | ||||||
Novelis | ||||||||
8.750%, 12/15/20 | 1,100 | 1,161 | ||||||
8.375%, 12/15/17 | 3,570 | 3,713 | ||||||
PH Glatfelter | ||||||||
7.125%, 05/01/16 | 1,290 | 1,332 | ||||||
PolyOne | ||||||||
7.375%, 09/15/20 | 395 | 403 | ||||||
Rain CII Carbon LLC | ||||||||
8.000%, 12/01/18 (A) | 390 | 373 | ||||||
Reichhold Industries | ||||||||
9.000%, 08/15/14 (A) | 2,716 | 1,752 | ||||||
Rhodia | ||||||||
6.875%, 09/15/20 (A) | 2,605 | 2,911 | ||||||
Ryerson | ||||||||
12.000%, 11/01/15 | 1,725 | 1,729 | ||||||
Scotts Miracle-Gro | ||||||||
7.250%, 01/15/18 | 385 | 400 | ||||||
Sealed Air | ||||||||
8.375%, 09/15/21 (A) | 3,435 | 3,667 | ||||||
8.125%, 09/15/19 (A) | 3,175 | 3,366 | ||||||
Solutia | ||||||||
8.750%, 11/01/17 | 1,685 | 1,820 | ||||||
7.875%, 03/15/20 | 1,000 | 1,065 | ||||||
Standard Steel LLC | ||||||||
12.000%, 05/01/15 (A) | 3,470 | 3,982 | ||||||
SunCoke Energy | ||||||||
7.625%, 08/01/19 (A) | 3,040 | 2,979 | ||||||
Verso Paper Holdings LLC | ||||||||
8.750%, 02/01/19 | 1,060 | 689 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Vertellus Specialties | ||||||||
9.375%, 10/01/15 (A) | $ | 5,765 | $ | 4,353 | ||||
Vulcan Materials | ||||||||
7.500%, 06/15/21 | 305 | 301 | ||||||
6.500%, 12/01/16 | 305 | 295 | ||||||
|
| |||||||
90,682 | ||||||||
|
| |||||||
Telecommunication Services — 10.6% |
| |||||||
Affinion Group | ||||||||
11.500%, 10/15/15 | 2,550 | 2,219 | ||||||
7.875%, 12/15/18 | 3,895 | 3,243 | ||||||
American Media | ||||||||
11.500%, 12/15/17 (A) | 668 | 608 | ||||||
Avaya | ||||||||
9.750%, 11/01/15 | 1,725 | 1,350 | ||||||
7.000%, 04/01/19 (A) | 3,640 | 3,258 | ||||||
Avaya PIK | ||||||||
10.125%, 11/01/15 | 3,246 | 2,564 | ||||||
CCH II LLC | ||||||||
13.500%, 11/30/16 | 500 | 576 | ||||||
CCO Holdings LLC | ||||||||
8.125%, 04/30/20 | 2,511 | 2,649 | ||||||
7.875%, 04/30/18 | 2,190 | 2,269 | ||||||
7.375%, 06/01/20 | 915 | 915 | ||||||
7.250%, 10/30/17 | 190 | 194 | ||||||
7.000%, 01/15/19 | 2,070 | 2,083 | ||||||
Cengage Learning Holdco PIK | ||||||||
13.750%, 07/15/15 (A) | 4,382 | 2,837 | ||||||
Cequel Communications Holdings I LLC and Cequel Capital | ||||||||
8.625%, 11/15/17 (A) | 4,459 | 4,537 | ||||||
Cincinnati Bell | ||||||||
8.375%, 10/15/20 | 1,725 | 1,678 | ||||||
Clear Channel Communications | ||||||||
9.000%, 03/01/21 | 2,255 | 1,860 | ||||||
Clear Channel Worldwide Holdings | ||||||||
9.250%, 12/15/17 | 2,950 | 3,105 | ||||||
Clearwire Communications LLC | ||||||||
12.000%, 12/01/15 (A) | 4,504 | 3,806 | ||||||
Cogent Communications Group | ||||||||
8.375%, 02/15/18 (A) | 705 | 719 | ||||||
Columbus International | ||||||||
11.500%, 11/20/14 (A) | 1,265 | 1,303 | ||||||
CommScope | ||||||||
8.250%, 01/15/19 (A) | 1,270 | 1,226 | ||||||
Cricket Communications | ||||||||
7.750%, 10/15/20 | 2,075 | 1,629 | ||||||
Crown Castle International | ||||||||
9.000%, 01/15/15 | 1,005 | 1,093 | ||||||
CSC Holdings LLC | ||||||||
8.625%, 02/15/19 | 2,650 | 2,955 | ||||||
6.750%, 11/15/21 (A) | 2,050 | 2,060 | ||||||
DCP LLC | ||||||||
10.750%, 08/15/15 (A) | 3,000 | 2,475 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 99 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Digicel | ||||||||
12.000%, 04/01/14 (A) | $ | 600 | $ | 665 | ||||
8.250%, 09/01/17 (A) | 4,214 | 4,151 | ||||||
Digicel Group | ||||||||
10.500%, 04/15/18 (A) | 1,705 | 1,696 | ||||||
8.875%, 01/15/15 (A) | 905 | 891 | ||||||
DISH DBS | ||||||||
7.875%, 09/01/19 | 4,455 | 4,722 | ||||||
7.125%, 02/01/16 | 2,960 | 3,041 | ||||||
6.750%, 06/01/21 | 910 | 887 | ||||||
EH Holding | ||||||||
7.625%, 06/15/21 (A) | 2,489 | 2,445 | ||||||
6.500%, 06/15/19 (A) | 630 | 616 | ||||||
Frontier Communications | ||||||||
8.500%, 04/15/20 | 45 | 43 | ||||||
6.625%, 03/15/15 | 1,100 | 1,064 | ||||||
GCI | ||||||||
8.625%, 11/15/19 | 1,135 | 1,186 | ||||||
6.750%, 06/01/21 | 1,500 | 1,436 | ||||||
GXS Worldwide | ||||||||
9.750%, 06/15/15 | 7,640 | 7,048 | ||||||
Houghton Mifflin Harcourt Publishing | ||||||||
10.500%, 06/01/19 (A) | 1,750 | 1,120 | ||||||
Inmarsat Finance | ||||||||
7.375%, 12/01/17 (A) | 2,450 | 2,505 | ||||||
Integra Telecom Holdings | ||||||||
10.750%, 04/15/16 (A) | 1,660 | 1,469 | ||||||
Intelsat Bermuda | ||||||||
11.250%, 06/15/16 | 3,012 | 3,133 | ||||||
Intelsat Jackson Holdings | ||||||||
7.250%, 04/01/19 (A) | 740 | 722 | ||||||
7.250%, 10/15/20 (A) | 1,415 | 1,348 | ||||||
Intelsat Luxembourg | ||||||||
11.250%, 02/04/17 | 3,610 | 3,321 | ||||||
Intelsat Luxembourg PIK | ||||||||
11.500%, 02/04/17 | 4,032 | 3,700 | ||||||
11.500%, 02/04/17 (A) | 4,092 | 3,754 | ||||||
inVentiv Health | ||||||||
10.000%, 08/15/18 (A) | 3,445 | 3,264 | ||||||
iPCS PIK | ||||||||
3.679%, 05/01/14 (C) | 116 | 99 | ||||||
ITC Deltacom | ||||||||
10.500%, 04/01/16 | 805 | 830 | ||||||
Kabel BW Erste Beteiligungs | ||||||||
7.500%, 03/15/19 (A) | 2,000 | 2,000 | ||||||
Level 3 Communications | ||||||||
11.875%, 02/01/19 | 1,975 | 2,044 | ||||||
Level 3 Financing | ||||||||
10.000%, 02/01/18 | 3,455 | 3,541 | ||||||
9.375%, 04/01/19 | 1,280 | 1,293 | ||||||
8.125%, 07/01/19 (A) | 1,075 | 1,016 | ||||||
4.202%, 02/15/15 (C) | 1,500 | 1,341 | ||||||
Liberty Interactive LLC | ||||||||
8.250%, 02/01/30 | 2,240 | 2,167 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Lucent Technologies | ||||||||
6.450%, 03/15/29 | $ | 2,010 | $ | 1,447 | ||||
MetroPCS Wireless | ||||||||
7.875%, 09/01/18 | 1,400 | 1,351 | ||||||
Nexstar/Mission Broadcast | ||||||||
8.875%, 04/15/17 | 2,100 | 2,121 | ||||||
Nielsen Finance LLC | ||||||||
7.750%, 10/15/18 | 2,070 | 2,189 | ||||||
NII Capital | ||||||||
10.000%, 08/15/16 | 1,125 | 1,277 | ||||||
7.625%, 04/01/21 | 690 | 700 | ||||||
Open Solutions | ||||||||
9.750%, 02/01/15 (A) | 5,090 | 3,232 | ||||||
PAETEC Holding | ||||||||
9.875%, 12/01/18 | 2,230 | 2,414 | ||||||
8.875%, 06/30/17 | 845 | 913 | ||||||
Sable International Finance MTN | ||||||||
7.750%, 02/15/17 (A) | 1,690 | 1,644 | ||||||
Satmex Escrow | ||||||||
9.500%, 05/15/17 | 690 | 697 | ||||||
SBA Telecommunications | ||||||||
8.250%, 08/15/19 | 680 | 732 | ||||||
Sinclair Television Group | ||||||||
9.250%, 11/01/17 (A) | 895 | 960 | ||||||
8.375%, 10/15/18 | 2,820 | 2,855 | ||||||
Sprint Capital | ||||||||
8.750%, 03/15/32 | 6,845 | 5,322 | ||||||
6.900%, 05/01/19 | 420 | 324 | ||||||
Sprint Nextel | ||||||||
11.500%, 11/15/21 (A) | 2,125 | 2,003 | ||||||
9.000%, 11/15/18 (A) | 3,540 | 3,567 | ||||||
8.375%, 08/15/17 | 1,330 | 1,140 | ||||||
Syniverse Holdings | ||||||||
9.125%, 01/15/19 | 1,670 | 1,712 | ||||||
Telcordia Technologies | ||||||||
11.000%, 05/01/18 (A) | 10,690 | 13,309 | ||||||
Telesat Canada | ||||||||
12.500%, 11/01/17 | 935 | 1,036 | ||||||
Trilogy International | ||||||||
10.250%, 08/15/16 (A) | 95 | 88 | ||||||
UPC Holding BV | ||||||||
9.875%, 04/15/18 (A) | 3,715 | 3,826 | ||||||
UPCB Finance III | ||||||||
6.625%, 07/01/20 (A) | 1,720 | 1,643 | ||||||
UPCB Finance V | ||||||||
7.250%, 11/15/21 (A) | 2,235 | 2,179 | ||||||
Videotron Ltee | ||||||||
9.125%, 04/15/18 | 700 | 768 | ||||||
Virgin Media Finance | ||||||||
9.500%, 08/15/16 | 750 | 821 | ||||||
8.375%, 10/15/19 | 750 | 803 | ||||||
Visant | ||||||||
10.000%, 10/01/17 | 2,435 | 2,240 |
100 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
West | ||||||||
7.875%, 01/15/19 | $ | 1,380 | $ | 1,380 | ||||
Wind Acquisition Finance | ||||||||
11.750%, 07/15/17 (A) | 5,928 | 5,112 | ||||||
7.250%, 02/15/18 (A) | 765 | 667 | ||||||
Windstream | ||||||||
8.125%, 09/01/18 | 685 | 699 | ||||||
7.750%, 10/01/21 | 745 | 734 | ||||||
7.500%, 04/01/23 | 1,215 | 1,142 | ||||||
XM Satellite Radio Holdings | ||||||||
13.000%, 08/01/13 (A) | 4,530 | 5,119 | ||||||
7.625%, 11/01/18 (A) | 5,180 | 5,335 | ||||||
Zayo Group LLC | ||||||||
10.250%, 03/15/17 | 2,285 | 2,425 | ||||||
|
| |||||||
207,695 | ||||||||
|
| |||||||
Utilities — 1.9% | ||||||||
AES | ||||||||
9.750%, 04/15/16 | 1,530 | 1,729 | ||||||
Calpine (A) | ||||||||
7.875%, 07/31/20 | 3,503 | 3,634 | ||||||
7.875%, 01/15/23 | 595 | 614 | ||||||
7.500%, 02/15/21 | 3,778 | 3,854 | ||||||
7.250%, 10/15/17 | 455 | 464 | ||||||
Dynegy Holdings LLC | ||||||||
7.750%, 06/01/19 (B) | 1,050 | 730 | ||||||
Elwood Energy LLC | ||||||||
8.159%, 07/05/26 | 842 | 824 | ||||||
Energy Future Holdings | ||||||||
10.000%, 01/15/20 | 585 | 600 | ||||||
GenOn Americas Generation LLC | ||||||||
8.500%, 10/01/21 | 1,650 | 1,518 | ||||||
GenOn Energy | ||||||||
9.875%, 10/15/20 | 665 | 660 | ||||||
9.500%, 10/15/18 | 710 | 717 | ||||||
North American Energy Alliance LLC | ||||||||
10.875%, 06/01/16 (A) | 1,300 | 1,378 | ||||||
NRG Energy | ||||||||
8.250%, 09/01/20 | 435 | 428 | ||||||
7.875%, 05/15/21 (A) | 1,550 | 1,473 | ||||||
7.625%, 01/15/18 | 1,200 | 1,182 | ||||||
7.625%, 05/15/19 (A) | 1,000 | 955 | ||||||
7.375%, 01/15/17 | 225 | 234 | ||||||
NSG Holdings LLC | ||||||||
7.750%, 12/15/25 (A) | 2,100 | 2,079 | ||||||
Public Service of New Mexico | ||||||||
7.950%, 05/15/18 | 2,800 | 3,280 | ||||||
Puget Sound Energy, Ser A | ||||||||
6.974%, 06/01/67 (C) | 1,035 | 1,024 | ||||||
Sabine Pass LNG L.P. | ||||||||
7.500%, 11/30/16 (A) | 1,880 | 1,788 | ||||||
7.500%, 11/30/16 | 8,450 | 8,376 | ||||||
|
| |||||||
37,541 | ||||||||
|
| |||||||
Total Corporate Obligations (Cost $1,607,829) ($ Thousands) |
| 1,580,201 | ||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
COLLATERALIZED DEBT OBLIGATIONS — 6.7% |
| |||||||
Other Asset-Backed Securities — 6.7% |
| |||||||
ACAS, Ser 2007-1A, Cl A1J | ||||||||
0.719%, 04/20/21 (A) (C) | $ | 6,476 | $ | 5,343 | ||||
ARES CLO, Ser 2006-5RA, Cl D | ||||||||
2.406%, 02/24/18 (A) (C) | 1,374 | 927 | ||||||
CIFC Funding, Ser 2007-3A, Cl B | ||||||||
1.670%, 07/26/21 (A) (C) | 2,700 | 2,006 | ||||||
CIT CLO, Ser 2007-1A, Cl D | ||||||||
2.351%, 06/20/21 (A) (C) | 3,000 | 2,047 | ||||||
Commercial Industrial Finance, Ser 2006-1BA, Cl B2L | ||||||||
4.355%, 12/22/20 (C) | 2,614 | 1,529 | ||||||
Commercial Industrial Finance, Ser 2006-2A, Cl B1L | ||||||||
2.127%, 03/01/21 (A) (C) | 2,215 | 1,285 | ||||||
Commercial Industrial Finance, Ser 2006-2A, Cl B2L | ||||||||
4.527%, 03/01/21 (A) (C) | 3,487 | 2,005 | ||||||
Commercial Industrial Finance, Ser 2007-1A, Cl B2L | ||||||||
4.344%, 05/10/21 (C) | 2,215 | 1,229 | ||||||
Emporia Preferred Funding, | ||||||||
1.316%, 04/23/21 (A) (C) | 2,024 | 1,478 | ||||||
FM Leveraged Capital Fund, | ||||||||
0.927%, 11/15/20 (A) (C) | 4,163 | 3,497 | ||||||
FM Leveraged Capital Fund, | ||||||||
2.057%, 11/15/20 (A) (C) | 915 | 595 | ||||||
Genesis CLO, Ser 2007-2A | ||||||||
9.391%, 01/10/16 (A) (C) | 3,753 | 2,890 | ||||||
Grayson CLO, Ser 2006-1A, Cl B | ||||||||
1.129%, 11/01/21 (A) (C) | 5,866 | 3,461 | ||||||
GSC Partners CDO Fund, | ||||||||
1.153%, 04/17/21 (A) (C) | 2,614 | 1,670 | ||||||
Jasper CLO, Ser 2005-1A, Cl B | ||||||||
1.009%, 08/01/17 (A) (C) | 2,228 | 1,671 | ||||||
Lightpoint CLO, Ser 2007-7A, Cl D | ||||||||
4.457%, 05/15/21 (A) (C) | 3,284 | 1,950 | ||||||
Newstar Trust, Ser 2007-1A, Cl A1 | ||||||||
0.763%, 09/30/22 (A) (C) | 9,223 | 8,255 | ||||||
Red River CLO, Ser 2006-1A, Cl C | ||||||||
1.149%, 07/27/18 (C) | 7,544 | 4,866 | ||||||
Red River CLO, Ser 2006-1A, Cl D | ||||||||
2.079%, 07/27/18 (C) | 5,530 | 2,986 | ||||||
Rockwall CDO, | ||||||||
0.729%, 08/01/21 (A) (C) | 15,787 | 13,063 | ||||||
Rockwall CDO, | ||||||||
0.929%, 08/01/21 (A) (C) | 16,434 | 10,518 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 101 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Rockwall CDO, Ser 2006-1A, Cl A2L | ||||||||
1.079%, 08/01/21 (A) (C) | $ | 3,759 | $ | 2,218 | ||||
Rockwall CDO, | ||||||||
0.679%, 08/01/24 (A) (C) | 65,088 | 50,769 | ||||||
Stone Tower CDO, | ||||||||
0.928%, 01/29/20 (A) (C) | 2,909 | 2,662 | ||||||
Westwood CDO, Ser 2007-2A, Cl D | ||||||||
2.218%, 04/25/22 (A) (C) | 3,693 | 2,234 | ||||||
|
| |||||||
Total Collateralized Debt Obligations (Cost $136,021) ($ Thousands) | 131,154 | |||||||
|
| |||||||
LOAN PARTICIPATIONS — 5.5% |
| |||||||
99 Cents Only Stores Bridge Loan (Unfunded) | ||||||||
0.000%, 04/06/12 (I) | 3,000 | — | ||||||
Alliance Laundry | ||||||||
6.250%, 09/23/16 | 1,693 | 1,685 | ||||||
Asurion LLC 1st Lien | ||||||||
5.500%, 06/10/18 | 1,455 | 1,402 | ||||||
Asurion LLC 2nd Lien | ||||||||
9.000%, 05/20/19 | 3,600 | 3,458 | ||||||
Attachmate WRQ Term Loan B | ||||||||
6.500%, 02/25/17 | 1,750 | 1,703 | ||||||
Awas Finance | ||||||||
5.250%, 05/30/16 | 2,852 | 2,819 | ||||||
Brock Holdings III 2nd Lien | ||||||||
10.000%, 03/16/18 | 460 | 423 | ||||||
Central Parking | ||||||||
2.400%, 05/22/14 | 616 | 533 | ||||||
Central Parking 1st Lien Term Loan | ||||||||
2.813%, 05/22/14 | 1,697 | 1,468 | ||||||
Claire’s Stores | ||||||||
3.178%, 05/29/14 | 135 | 116 | ||||||
3.000%, 05/29/14 | 643 | 552 | ||||||
Claire’s Stores Lien 1 | ||||||||
3.178%, 05/29/14 | 33 | 28 | ||||||
3.000%, 05/29/14 | 157 | 135 | ||||||
Clear Channel | ||||||||
3.910%, 01/29/16 | 2,450 | 1,823 | ||||||
Clearchannel Term B Loan | ||||||||
0.000%, 01/29/16 (I) | 520 | 387 | ||||||
Cristal Inorganic Chemicals US | ||||||||
6.119%, 11/15/14 | 2,500 | 2,448 | ||||||
Dex Media West LLC | ||||||||
7.250%, 10/24/14 | 431 | 248 | ||||||
7.000%, 10/24/14 | 569 | 327 | ||||||
Dynegy Midwest Generation, LLC Lien 1 | ||||||||
0.000%, 08/05/16 (I) | 2,510 | 2,506 | ||||||
Dynegy Power 1st Lien | ||||||||
9.250%, 08/05/16 | 725 | 730 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
First Data | ||||||||
3.007%, 09/24/14 | $ | 1,662 | $ | 1,471 | ||||
First Data Dollar Term Loan | ||||||||
4.257%, 03/24/18 | 1,504 | 1,256 | ||||||
First Data, Ser B-1 | ||||||||
3.017%, 09/24/14 | 1,000 | 885 | ||||||
Gambro Aktiebolag | ||||||||
4.969%, 12/05/15 | 665 | 653 | ||||||
4.494%, 06/06/16 | 649 | 635 | ||||||
Guitar Center Extended Term Loan | ||||||||
5.620%, 04/09/17 | 3,086 | 2,704 | ||||||
Harbinger | ||||||||
10.000%, 01/28/12 | 5,128 | 5,128 | ||||||
Harrah’s Operating | ||||||||
9.500%, 10/31/16 | 2,948 | 2,904 | ||||||
3.418%, 01/28/15 | 1,545 | 1,318 | ||||||
3.369%, 01/28/15 | 7 | 6 | ||||||
3.324%, 01/28/15 | 13 | 11 | ||||||
Inc Research | ||||||||
7.000%, 07/12/18 | 1,112 | 1,083 | ||||||
Ineos US Finance LLC | ||||||||
8.001%, 12/16/14 | 1,038 | 1,043 | ||||||
7.500%, 12/16/13 | 907 | 908 | ||||||
Infor Global Enterprise Solutions | ||||||||
6.510%, 03/02/14 | 210 | 171 | ||||||
Infor Global Enterprise Solutions Tranche 1 | ||||||||
6.510%, 03/02/14 | 1,073 | 876 | ||||||
Infor Global Solutions | ||||||||
8.250%, 08/29/14 | 4,946 | 2,516 | ||||||
Infor Global Solutions Intermediate Holdings | ||||||||
6.510%, 03/02/14 | 2,217 | 1,809 | ||||||
Infor Global Solutions Tranche B-2 | ||||||||
7.250%, 07/28/15 | 2,000 | 1,873 | ||||||
Intelsat Jackson Holdings | ||||||||
2.905%, 02/01/14 | 2,400 | 2,226 | ||||||
Kalispel Tribal Economic Authority | ||||||||
7.500%, 01/31/17 | 3,242 | 2,983 | ||||||
Lawson Software | ||||||||
6.750%, 07/05/17 | 1,000 | 974 | ||||||
Medical Card Term Loan | ||||||||
12.000%, 09/15/15 | 2,026 | 1,671 | ||||||
Merrill Communications LLC | ||||||||
7.500%, 12/24/12 | 1,400 | 1,343 | ||||||
Metroflag, 2nd Lien | ||||||||
14.000%, 01/06/09 (B) | 325 | — | ||||||
MGM Mirage | ||||||||
7.000%, 02/21/14 | 1,489 | 1,445 | ||||||
NCO Group | ||||||||
8.000%, 05/15/13 | 2,607 | 2,583 | ||||||
Nelson Education | ||||||||
2.869%, 07/05/14 | 1,466 | 1,163 | ||||||
Nuveen Investments | ||||||||
12.500%, 07/31/15 | 1,110 | 1,145 |
102 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Nuveen Investments 1st Lien | ||||||||
0.000%, 05/13/17 (I) | $ | 2,165 | $ | 2,119 | ||||
Obsidian Natural Gas Trust | ||||||||
7.000%, 11/02/15 | 2,230 | 2,219 | ||||||
PPDI Bridge Loan (Unfunded) | ||||||||
0.000%, 04/02/12 (I) | 3,000 | — | ||||||
PQ | ||||||||
6.760%, 06/14/14 | 1,450 | 1,273 | ||||||
Realogy | ||||||||
13.500%, 10/15/17 | 1,140 | 1,115 | ||||||
4.691%, 10/10/13 | 850 | 786 | ||||||
Rite Aid Lien 1 | ||||||||
4.500%, 02/17/18 | 2,430 | 2,288 | ||||||
Shield Finance | ||||||||
7.750%, 06/15/16 | 2,888 | 2,859 | ||||||
Simmons Holdco, Unsecured Term Loan (Escrow) | ||||||||
0.000%, 02/15/12 (I) | 1,697 | — | ||||||
SpringLeaf Financial | ||||||||
5.500%, 04/28/17 | 2,170 | 1,881 | ||||||
Summit Material | ||||||||
6.500%, 12/03/15 | 1,787 | 1,753 | ||||||
Sun Healthcare | ||||||||
7.500%, 09/23/16 | 2,938 | 2,137 | ||||||
Superior Energy Bridge Loan (Unfunded) | ||||||||
0.000%, 04/30/12 (I) | 2,000 | — | ||||||
Targa Resources | ||||||||
3.260%, 02/09/15 | 1,555 | 1,555 | ||||||
Texas Competitive Electric | ||||||||
3.688%, 10/10/14 | 7 | 5 | ||||||
Texas Competitive Electric Holdings Extended Term Loan | ||||||||
4.772%, 10/10/17 | 2 | 1 | ||||||
4.748%, 10/10/17 | 4,318 | 2,811 | ||||||
Texas Competitive Electric Holdings Term Loan | ||||||||
3.748%, 10/10/14 | 6,759 | 4,900 | ||||||
Texas Competitive Electrical Holdings Term Loan B | ||||||||
0.000%, 10/10/14 (I) | 1,700 | 1,232 | ||||||
Texas Competive Non-Extended Term Loan | ||||||||
3.808%, 10/10/14 | 137 | 99 | ||||||
3.748%, 10/10/14 | 1 | — | ||||||
The Telx Group Lien 1 | ||||||||
7.750%, 09/22/17 | 1,000 | 992 | ||||||
Tronox | ||||||||
7.000%, 10/14/15 | 1,697 | 1,695 | ||||||
Vertafore | ||||||||
9.750%, 10/27/17 | 780 | 757 | ||||||
Walter Investment Management | ||||||||
7.750%, 06/30/16 | 3,500 | 3,482 | ||||||
Web.com Group Term Loan | ||||||||
7.000%, 10/27/17 | 2,000 | 1,765 |
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
Wide Open West Finance | ||||||||
6.505%, 06/27/15 | $ | 3,292 | $ | 2,926 | ||||
Zuffa | ||||||||
7.500%, 06/19/15 | 1,764 | 1,740 | ||||||
|
| |||||||
Total Loan Participations |
| 107,964 | ||||||
|
| |||||||
ASSET-BACKED SECURITIES — 0.4% |
| |||||||
Other Asset-Backed Securities — 0.4% |
| |||||||
Airplanes Pass-Through Trust, | ||||||||
0.799%, 03/15/19 (C) | 2,108 | $ | 1,307 | |||||
Cajun Global LLC, | ||||||||
5.955%, 02/20/41 (A) | 1,562 | 1,619 | ||||||
Commercial Industrial Finance, Ser 2006-1BA, Cl B1L | ||||||||
1.955%, 12/22/20 (A) (C) | 4,041 | 2,526 | ||||||
Friedbergmilstein Private Capital Fund, Ser 2004-1A, Cl D1 | ||||||||
5.000%, 01/15/19 (A) (C) | 3,567 | 2,889 | ||||||
|
| |||||||
Total Asset-Backed Securities |
| 8,341 | ||||||
|
| |||||||
MUNICIPAL BONDS — 0.7% |
| |||||||
California State, Tobacco Securitization, Ser A-1, RB | ||||||||
5.750%, 06/01/47 | 2,780 | 1,955 | ||||||
5.125%, 06/01/47 | 2,255 | 1,444 | ||||||
4.500%, 06/01/27 | 455 | 360 | ||||||
New Jersey State, Tobacco Settlement, Ser 1A, RB | ||||||||
4.750%, 06/01/34 | 3,695 | 2,523 | ||||||
Ohio State, Tobacco Settlement, Ser A-2, RB | ||||||||
5.375%, 06/01/24 | 260 | 202 | ||||||
5.125%, 06/01/24 | 765 | 578 | ||||||
Tobacco Settlement, Ser 1A, RB Callable 06/01/17 @ 100 | ||||||||
5.000%, 06/01/41 | 8,445 | 5,810 | ||||||
|
| |||||||
Total Municipal Bonds | 12,872 | |||||||
|
| |||||||
AUCTION RATE PREFERRED SECURITIES — 0.5% |
| |||||||
BlackRock Municipal Income Quality Trust (C) | 14,500 | 1,349 | ||||||
BlackRock Municipal Income Trust (C) | 27,000 | 2,511 | ||||||
BlackRock MuniVest Fund II (C) | 9,250 | 860 | ||||||
Invesco Insured Municipal Income Trust | 25,000 | 2,175 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 103 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2011
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Invesco Van Kampen Senior Income Trust | 25,000 | $ | 2,250 | |||||
|
| |||||||
Total Auction Rate Preferred Securities | 9,145 | |||||||
|
| |||||||
PREFERRED STOCK — 0.4% |
| |||||||
Ally Financial, | 44 | 6,572 | ||||||
Dana Holding, | 6 | 638 | ||||||
General Motors CV to 1.2626, | 6 | 201 | ||||||
GMAC Capital Trust I, | 49 | 931 | ||||||
|
| |||||||
Total Preferred Stock | 8,342 | |||||||
|
| |||||||
CONVERTIBLE BONDS — 0.3% |
| |||||||
Hologic CV to 25.9110 | ||||||||
2.000%, 12/15/13 (E) | $ | 965 | 912 | |||||
Liberty Media LLC CV to 16.7764 | ||||||||
3.750%, 02/15/30 | 3,680 | 1,895 | ||||||
Liberty Media LLC CV to 22.94686 | ||||||||
4.000%, 11/15/29 | 2,025 | 1,063 | ||||||
Mirant CV to 14.7167 | ||||||||
2.500%, 06/15/21 (B) | 1,950 | 4 | ||||||
Nortel Networks CV to 31.25 | ||||||||
2.125%, 04/15/14 (B) | 2,070 | 1,997 | ||||||
Vector Group CV to 48.8281 | ||||||||
12.921%, 06/15/26 (C) | 369 | 428 | ||||||
|
| |||||||
Total Convertible Bonds | 6,299 | |||||||
|
|
Description | Number of Warrants/Shares | Market Value ($ Thousands) | ||||||
WARRANTS — 0.1% |
| |||||||
Alion Science & Technology, Expires 03/15/17* | 2,025 | $ | — | |||||
CUI Acquisition††* | 46,959 | 2,965 | ||||||
|
| |||||||
Total Warrants | 2,965 | |||||||
|
| |||||||
COMMON STOCK — 0.1% | ||||||||
Aventine Renewable Energy Holdings* (A) | 66,719 | 400 | ||||||
Core-Mark Holding | 691 | 27 | ||||||
Dana Holdings* | 70,421 | 877 | ||||||
Delta Air Lines* | 2,369 | 19 | ||||||
Neenah Enterprises* (F) (G) | 21,556 | 97 | ||||||
United Continental Holdings* | 21 | 1 | ||||||
VSS AHC, Cl A* (F) (G) (H) | 29,628 | 353 | ||||||
|
| |||||||
Total Common Stock | 1,774 | |||||||
|
| |||||||
CASH EQUIVALENT — 5.4% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.040%†** | 106,103,261 | 106,103 | ||||||
|
| |||||||
Total Cash Equivalent | 106,103 | |||||||
|
| |||||||
Total Investments — 100.4% | $ | 1,975,160 | ||||||
|
|
The open swap agreements held by the Fund at November 30, 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 ($Thousands) | ||||||||||||||
Barclays Bank PLC | CDX.NA.HY.17-V1 | BUY | 5.00 | 12/20/16 | 20,500 | $ | 76 | |||||||||||||
|
|
For the period ended November 30, 2011, the total amount of all open swap agreements, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $1,967,165 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2011. |
† | Investment in Affiliated Security (see Note 5). |
†† | Expiration date unavailable. |
‡ | Real Estate Investment Trust. |
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(B) | Security in default on interest payments. |
(C) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of November 30, 2011. The date reported on the Schedule of Investments is the final maturity date. |
(D) | The rate reported on the Schedule of Investments is the effective yield at time of purchase. |
(E) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on November 30, 2011. The coupon on a step bond changes on a specified date. |
(F) | Securities considered illiquid. The total value of such securities as of November 30, 2011 was $2,231 ($ Thousands) and represented 0.11% 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 November 30, 2011 was $2,231 ($ Thousands) and represented 0.11% of Net Assets. |
104 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
(H) | Securities considered restricted. The total value of such securities as of November 30, 2011 was $399 ($ Thousands) and represented 0.02% 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
RB — Revenue Bond
Ser — Series
The following is a summary of the inputs used as of November 30, 2011, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 1,569,978 | $ | 10,223 | $ | 1,580,201 | ||||||||
Collateralized Debt Obligations | — | — | 131,154 | 131,154 | ||||||||||||
Loan Participations | — | 93,227 | 14,737 | 107,964 | ||||||||||||
Asset-Backed Securities | — | 1,307 | 7,034 | 8,341 | ||||||||||||
Municipal Bonds | — | 12,872 | — | 12,872 | ||||||||||||
Auction Rate Preferred Securities | — | — | 9,145 | 9,145 | ||||||||||||
Preferred Stock | 839 | 7,503 | — | 8,342 | ||||||||||||
Convertible Bonds | — | 6,295 | 4 | 6,299 | ||||||||||||
Warrants | — | — | 2,965 | 2,965 | ||||||||||||
Common Stock | 924 | 400 | 450 | 1,774 | ||||||||||||
Cash Equivalent | 106,103 | — | — | 106,103 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 107,866 | $ | 1,691,582 | $ | 175,712 | $ | 1,975,160 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Credit Default Swaps* | $ | — | $ | 76 | $ | — | $ | 76 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | — | $ | 76 | $ | — | $ | 76 | ||||||||
|
|
|
|
|
|
|
|
* Swaps 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 Corporate Obligations | Investments in Collateralized Debt Obligations | Investments in Loan Participations | Investments in Asset-Backed Securities | Investments in Auction Rate Preferred Security | Investments in Convertible Bonds | Investments in Warrants | Investments in Common Stock | |||||||||||||||||||||||||
Beginning balance as June 1, 2011 | $ | 15,193 | $ | 122,852 | $ | 18,592 | $ | 5,066 | $ | 10,075 | $ | 4 | $ | — | $ | 860 | ||||||||||||||||
Accrued discounts/premiums | (480 | ) | 1,140 | 14 | 7 | — | — | — | — | |||||||||||||||||||||||
Realized gain/(loss) | (6,890 | ) | 1,703 | (169 | ) | 69 | 200 | — | 3,901 | — | ||||||||||||||||||||||
Change in unrealized appreciation/(depreciation) | 3,876 | (13,341 | ) | (535 | ) | 131 | 45 | — | (936 | ) | (166 | ) | ||||||||||||||||||||
Net purchases/sales | (2,937 | ) | 18,800 | (2,531 | ) | 1,761 | (1,175 | ) | — | — | — | |||||||||||||||||||||
Net transfer into Level 3 | 3,393 | — | 323 | — | — | — | — | — | ||||||||||||||||||||||||
Net transfer out of Level 3 | (1,932 | ) | — | (957 | ) | — | — | — | — | (244 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Ending balance as of November 30, 2011 | $ | 10,223 | $ | 131,154 | $ | 14,737 | $ | 7,034 | $ | 9,145 | $ | 4 | $ | 2,965 | $ | 450 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date | $ | (831 | ) | $ | (12,290 | ) | $ | (522 | ) | $ | 7 | $ | 127 | $ | — | $ | (936 | ) | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period ended November 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2011, there were significant transfers between Level 2 and Level 3 assets and liabilities. The transfers 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 $O or have been rounded to $O.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 105 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 63.7% |
| |||||||
Consumer Discretionary — 8.1% |
| |||||||
CBS | ||||||||
7.875%, 07/30/30 | $ | 1,160 | $ | 1,449 | ||||
Comcast | ||||||||
6.950%, 08/15/37 | 1,580 | 1,894 | ||||||
6.550%, 07/01/39 | 2,535 | 2,934 | ||||||
6.450%, 03/15/37 | 11,605 | 13,165 | ||||||
6.400%, 05/15/38 | 5,916 | 6,705 | ||||||
Comcast Cable Communications Holdings | ||||||||
9.455%, 11/15/22 | 5,200 | 7,204 | ||||||
COX Communications | ||||||||
8.375%, 03/01/39 (A) | 5,175 | 6,820 | ||||||
6.950%, 06/01/38 (A) | 4,883 | 5,521 | ||||||
CVS Caremark | ||||||||
6.250%, 06/01/27 | 2,290 | 2,680 | ||||||
6.125%, 09/15/39 | 7,205 | 8,016 | ||||||
5.750%, 05/15/41 | 6,225 | 6,836 | ||||||
CVS Pass-Through Trust | ||||||||
8.353%, 07/10/31 (A) | 9,359 | 11,226 | ||||||
DIRECTV Holdings | ||||||||
6.375%, 03/01/41 | 1,105 | 1,212 | ||||||
6.000%, 08/15/40 | 7,870 | 8,187 | ||||||
Grupo Televisa | ||||||||
6.625%, 01/15/40 | 1,290 | 1,391 | ||||||
Historic TW | ||||||||
6.625%, 05/15/29 | 2,645 | 2,988 | ||||||
Home Depot | ||||||||
5.950%, 04/01/41 | 8,711 | 10,368 | ||||||
5.875%, 12/16/36 | 875 | 1,015 | ||||||
5.400%, 09/15/40 | 5,791 | 6,385 | ||||||
Lowe’s MTN | ||||||||
7.110%, 05/15/37 | 1,402 | 1,791 | ||||||
5.125%, 11/15/41 | 5,155 | 5,301 | ||||||
McDonald’s MTN | ||||||||
6.300%, 03/01/38 | 6,145 | 8,076 | ||||||
4.875%, 07/15/40 | 1,940 | 2,209 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
NBC Universal | ||||||||
6.400%, 04/30/40 | $ | 3,025 | $ | 3,466 | ||||
5.950%, 04/01/41 | 13,301 | 14,491 | ||||||
News America | ||||||||
8.150%, 10/17/36 | 2,355 | 2,870 | ||||||
7.850%, 03/01/39 | 6,275 | 7,722 | ||||||
7.430%, 10/01/26 | 1,450 | 1,736 | ||||||
6.900%, 08/15/39 | 5,470 | 6,292 | ||||||
6.750%, 01/09/38 | 2,260 | 2,453 | ||||||
6.650%, 11/15/37 | 8,620 | 9,422 | ||||||
6.150%, 02/15/41 | 5,170 | 5,535 | ||||||
Target | ||||||||
7.000%, 01/15/38 | 2,070 | 2,684 | ||||||
6.650%, 08/01/28 | 700 | 871 | ||||||
TCI Communications | ||||||||
7.875%, 02/15/26 | 2,405 | 3,090 | ||||||
Time Warner | ||||||||
7.700%, 05/01/32 | 3,573 | 4,447 | ||||||
7.625%, 04/15/31 | 12,220 | 15,002 | ||||||
7.570%, 02/01/24 | 295 | 360 | ||||||
6.250%, 03/29/41 | 10,450 | 11,597 | ||||||
6.100%, 07/15/40 | 1,835 | 1,995 | ||||||
5.375%, 10/15/41 | 1,665 | 1,666 | ||||||
Time Warner Cable | ||||||||
8.750%, 02/14/19 | 3,500 | 4,409 | ||||||
7.300%, 07/01/38 | 1,867 | 2,235 | ||||||
6.750%, 06/15/39 | 3,830 | 4,355 | ||||||
5.875%, 11/15/40 | 5,280 | 5,416 | ||||||
5.500%, 09/01/41 | 3,000 | 2,981 | ||||||
Time Warner Entertainment | ||||||||
8.375%, 07/15/33 | 5,700 | 7,527 | ||||||
Wal-Mart Stores | ||||||||
6.200%, 04/15/38 | 2,550 | 3,141 | ||||||
5.625%, 04/01/40 | 9,817 | 11,589 | ||||||
5.625%, 04/15/41 | 8,795 | 10,508 | ||||||
5.000%, 10/25/40 | 9,760 | 10,641 | ||||||
Yum! Brands | ||||||||
6.875%, 11/15/37 | 3,765 | 4,486 | ||||||
|
| |||||||
286,360 | ||||||||
|
| |||||||
Consumer Staples — 3.6% |
| |||||||
Ahold Finance USA LLC | ||||||||
6.875%, 05/01/29 | 1,235 | 1,605 | ||||||
Altria Group | ||||||||
10.200%, 02/06/39 | 8,780 | 12,611 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
8.200%, 01/15/39 | 4,430 | 6,744 | ||||||
8.000%, 11/15/39 | 2,490 | 3,734 | ||||||
6.375%, 01/15/40 | 7,589 | 9,857 | ||||||
Diageo Capital | ||||||||
5.875%, 09/30/36 | 1,268 | 1,501 | ||||||
General Mills | ||||||||
5.400%, 06/15/40 | 1,090 | 1,262 | ||||||
HJ Heinz Finance | ||||||||
7.125%, 08/01/39 (A) | 7,270 | 9,923 |
106 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Kraft Foods | ||||||||
7.000%, 08/11/37 | $ | 1,370 | $ | 1,726 | ||||
6.875%, 02/01/38 | 13,735 | 17,067 | ||||||
6.500%, 02/09/40 | 10,235 | 12,136 | ||||||
Lorillard Tobacco | ||||||||
7.000%, 08/04/41 | 1,300 | 1,301 | ||||||
Massachusetts Institute of Technology | ||||||||
5.600%, 07/01/11 | 5,700 | 7,365 | ||||||
PepsiCo | ||||||||
5.500%, 01/15/40 | 7,715 | 9,045 | ||||||
4.875%, 11/01/40 | 1,590 | 1,729 | ||||||
Philip Morris International | ||||||||
6.375%, 05/16/38 | 3,095 | 3,788 | ||||||
President and Fellows of Harvard College | ||||||||
5.625%, 10/01/38 | 5,015 | 6,546 | ||||||
Procter & Gamble | ||||||||
8.000%, 09/01/24 | 3,000 | 4,331 | ||||||
Ralcorp Holdings | ||||||||
6.625%, 08/15/39 | 5,030 | 5,063 | ||||||
Safeway | ||||||||
4.750%, 12/01/21 | 1,680 | 1,676 | ||||||
Unilever Capital | ||||||||
5.900%, 11/15/32 | 1,325 | 1,675 | ||||||
University of Southern California | ||||||||
5.250%, 10/01/11 | 5,690 | 6,929 | ||||||
|
| |||||||
127,614 | ||||||||
|
| |||||||
Energy — 7.6% |
| |||||||
Anadarko Finance | ||||||||
7.500%, 05/01/31 | 3,522 | 4,241 | ||||||
Apache | ||||||||
5.100%, 09/01/40 | 3,090 | 3,418 | ||||||
BG Energy Capital | ||||||||
5.125%, 10/15/41 (A) | 1,700 | 1,762 | ||||||
BP Capital Markets | ||||||||
3.561%, 11/01/21 | 2,230 | 2,252 | ||||||
Canadian Natural Resources | ||||||||
6.750%, 02/01/39 | 2,360 | 2,994 | ||||||
6.250%, 03/15/38 | 3,000 | 3,634 | ||||||
Cenovus Energy | ||||||||
6.750%, 11/15/39 | 4,515 | 5,672 | ||||||
CenterPoint Energy Resources | ||||||||
6.250%, 02/01/37 | 1,525 | 1,786 | ||||||
Conoco Funding | ||||||||
7.250%, 10/15/31 | 880 | 1,197 | ||||||
6.950%, 04/15/29 | 2,390 | 3,162 | ||||||
ConocoPhillips | ||||||||
6.500%, 02/01/39 | 15,245 | 19,732 | ||||||
5.900%, 05/15/38 | 6,380 | 7,650 | ||||||
Devon Energy | ||||||||
5.600%, 07/15/41 | 6,415 | 7,257 | ||||||
Diamond Offshore Drilling | ||||||||
5.700%, 10/15/39 | 4,828 | 5,285 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Encana | ||||||||
6.500%, 02/01/38 | $ | 3,625 | $ | 4,156 | ||||
5.150%, 11/15/41 | 1,370 | 1,337 | ||||||
ENI | ||||||||
5.700%, 10/01/40 (A) | 5,550 | 5,556 | ||||||
Eni USA | ||||||||
7.300%, 11/15/27 | 2,100 | 2,653 | ||||||
Enterprise Products Operating LLC | ||||||||
6.650%, 10/15/34 | 2,910 | 3,333 | ||||||
5.700%, 02/15/42 | 11,657 | 12,278 | ||||||
Hess | ||||||||
7.875%, 10/01/29 | 5,113 | 6,624 | ||||||
6.000%, 01/15/40 | 4,704 | 5,285 | ||||||
5.600%, 02/15/41 | 4,865 | 5,169 | ||||||
Kinder Morgan Energy Partners | ||||||||
6.375%, 03/01/41 | 5,675 | 6,138 | ||||||
Marathon Oil | ||||||||
6.600%, 10/01/37 | 6,185 | 7,390 | ||||||
Marathon Petroleum | ||||||||
6.500%, 03/01/41 (A) | 13,023 | 14,216 | ||||||
Motiva Enterprises LLC | ||||||||
6.850%, 01/15/40 (A) | 7,895 | 9,957 | ||||||
Noble Holding International | ||||||||
6.200%, 08/01/40 | 2,810 | 3,148 | ||||||
Panhandle Eastern Pipeline | ||||||||
8.125%, 06/01/19 | 1,600 | 1,974 | ||||||
Petrobras International Finance | ||||||||
6.875%, 01/20/40 | 5,360 | 5,921 | ||||||
6.750%, 01/27/41 | 3,310 | 3,605 | ||||||
Petro-Canada | ||||||||
6.800%, 05/15/38 | 3,725 | 4,453 | ||||||
Petroleos Mexicanos | ||||||||
6.500%, 06/02/41 | 1,750 | 1,890 | ||||||
6.500%, 06/02/41 (A) | 765 | 826 | ||||||
Rockies Express Pipeline LLC | ||||||||
6.875%, 04/15/40 (A) | 2,850 | 2,567 | ||||||
Schlumberger Investment | ||||||||
3.300%, 09/14/21 (A) | 2,225 | 2,247 | ||||||
Shell International Finance BV | ||||||||
5.500%, 03/25/40 | 2,600 | 3,141 | ||||||
Southern Natural Gas | ||||||||
7.350%, 02/15/31 | 870 | 1,026 | ||||||
Spectra Energy Capital LLC | ||||||||
7.500%, 09/15/38 | 1,913 | 2,441 | ||||||
6.750%, 02/15/32 | 3,000 | 3,433 | ||||||
Statoil | ||||||||
6.500%, 12/01/28 (A) | 1,480 | 1,903 | ||||||
3.150%, 01/23/22 | 2,220 | 2,220 | ||||||
Suncor Energy | ||||||||
6.850%, 06/01/39 | 2,170 | 2,631 | ||||||
6.500%, 06/15/38 | 5,675 | 6,557 | ||||||
Sunoco Logistics Partners Operations | ||||||||
6.100%, 02/15/42 | 2,400 | 2,429 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 107 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Tennessee Gas Pipeline | ||||||||
8.375%, 06/15/32 | $ | 8,555 | $ | 10,650 | ||||
7.000%, 10/15/28 | 5,530 | 6,307 | ||||||
Texas Eastern Transmission | ||||||||
7.000%, 07/15/32 | 1,523 | 1,891 | ||||||
TransCanada PipeLines | ||||||||
7.625%, 01/15/39 | 2,500 | 3,463 | ||||||
7.250%, 08/15/38 | 3,100 | 4,070 | ||||||
6.100%, 06/01/40 | 3,710 | 4,574 | ||||||
Transcontinental Gas Pipeline LLC | ||||||||
7.250%, 12/01/26 | 2,250 | 2,829 | ||||||
5.400%, 08/15/41 (A) | 880 | 935 | ||||||
Transocean | ||||||||
6.375%, 12/15/21 | 4,525 | 4,523 | ||||||
Valero Energy | ||||||||
10.500%, 03/15/39 | 4,129 | 5,970 | ||||||
6.625%, 06/15/37 | 3,220 | 3,376 | ||||||
6.125%, 02/01/20 | 3,007 | 3,279 | ||||||
Williams | ||||||||
8.750%, 03/15/32 | 222 | 300 | ||||||
7.875%, 09/01/21 | 2,592 | 3,271 | ||||||
7.750%, 06/15/31 | 2,939 | 3,666 | ||||||
|
| |||||||
265,650 | ||||||||
|
| |||||||
Financials — 21.5% |
| |||||||
ABB Treasury Center USA | ||||||||
4.000%, 06/15/21 (A) | 6,030 | 6,068 | ||||||
ACE INA Holdings | ||||||||
6.700%, 05/15/36 | 4,677 | 5,790 | ||||||
Aflac | ||||||||
6.900%, 12/17/39 | 8,565 | 8,990 | ||||||
6.450%, 08/15/40 | 2,510 | 2,525 | ||||||
Alta Wind Holdings | ||||||||
7.000%, 06/30/35 (A) | 4,815 | 5,141 | ||||||
American Express | ||||||||
8.150%, 03/19/38 | 6,417 | 8,992 | ||||||
Assurant | ||||||||
6.750%, 02/15/34 | 4,465 | 4,599 | ||||||
Bank of America | ||||||||
6.500%, 09/15/37 | 5,015 | 4,114 | ||||||
6.000%, 10/15/36 | 600 | 500 | ||||||
5.750%, 12/01/17 | 5,750 | 5,245 | ||||||
5.650%, 05/01/18 | 20,005 | 17,609 | ||||||
5.625%, 10/14/16 | 5,755 | 5,320 | ||||||
5.000%, 05/13/21 | 3,145 | 2,663 | ||||||
Bank of America, Ser A | ||||||||
8.070%, 12/31/26 (A) | 5,095 | 4,687 | ||||||
Bank One Capital III | ||||||||
8.750%, 09/01/30 | 3,550 | 4,384 | ||||||
Bear Stearns | ||||||||
6.400%, 10/02/17 | 9,175 | 9,959 | ||||||
BHP Billiton Finance USA | ||||||||
3.250%, 11/21/21 | 5,020 | 5,050 | ||||||
Blackstone Holdings Finance LLC | ||||||||
6.625%, 08/15/19 (A) | 7,974 | 8,342 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BRE Properties‡ | ||||||||
5.500%, 03/15/17 | $ | 750 | $ | 799 | ||||
Camden Property Trust‡ | ||||||||
4.625%, 06/15/21 | 3,425 | 3,369 | ||||||
Capital One Capital VI | ||||||||
8.875%, 05/15/40 | 4,000 | 4,022 | ||||||
CDP Financial | ||||||||
5.600%, 11/25/39 (A) | 12,105 | 14,669 | ||||||
Chase Capital II | ||||||||
0.929%, 02/01/27 (B) | 4,984 | 3,599 | ||||||
Chase Capital VI | ||||||||
1.054%, 08/01/28 (B) | 2,695 | 1,962 | ||||||
Chubb | ||||||||
6.500%, 05/15/38 | 10,240 | 12,624 | ||||||
Citigroup | ||||||||
8.125%, 07/15/39 | 10,285 | 11,911 | ||||||
6.875%, 03/05/38 | 20,617 | 21,738 | ||||||
6.875%, 02/15/98 | 1,765 | 1,642 | ||||||
5.875%, 05/29/37 | 6,551 | 6,097 | ||||||
5.500%, 02/15/17 | 9,005 | 9,023 | ||||||
Commonwealth Bank of Australia | ||||||||
5.000%, 10/15/19 (A) | 4,250 | 4,455 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
5.800%, 09/30/10 (A) | 12,855 | 13,695 | ||||||
Deutsche Bank Capital Funding Trust | ||||||||
5.628%, 01/19/49 (A) (B) | 3,195 | 2,077 | ||||||
Devon OEI Operating LLC | ||||||||
7.500%, 09/15/27 | 1,400 | 1,825 | ||||||
Discover Bank | ||||||||
8.700%, 11/18/19 | 6,275 | 7,010 | ||||||
Farmers Exchange Capital | ||||||||
7.050%, 07/15/28 (A) | 17,515 | 18,191 | ||||||
First Union | ||||||||
7.575%, 08/01/26 (C) | 4,920 | 5,738 | ||||||
FleetBoston Financial | ||||||||
6.875%, 01/15/28 | 3,250 | 2,831 | ||||||
FMR | ||||||||
6.500%, 12/14/40 (A) | 1,000 | 1,059 | ||||||
General Electric Capital MTN | ||||||||
6.875%, 01/10/39 | 35,685 | 39,673 | ||||||
6.750%, 03/15/32 | 4,000 | 4,328 | ||||||
6.150%, 08/07/37 | 9,205 | 9,202 | ||||||
5.875%, 01/14/38 | 20,990 | 20,666 | ||||||
4.650%, 10/17/21 | 2,410 | 2,419 | ||||||
Goldman Sachs Group | ||||||||
7.500%, 02/15/19 | 251 | 268 | ||||||
6.750%, 10/01/37 | 28,130 | 25,029 | ||||||
6.250%, 02/01/41 | 21,438 | 19,345 | ||||||
5.950%, 01/15/27 | 2,650 | 2,458 | ||||||
Guardian Life Insurance of America | ||||||||
7.375%, 09/30/39 (A) | 7,650 | 9,512 | ||||||
Hartford Financial Services Group | ||||||||
6.100%, 10/01/41 | 4,400 | 3,784 |
108 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
HBOS MTN | ||||||||
6.750%, 05/21/18 (A) | $ | 3,700 | $ | 2,954 | ||||
HCP MTN‡ | ||||||||
6.750%, 02/01/41 | 6,175 | 6,816 | ||||||
6.700%, 01/30/18 | 2,295 | 2,485 | ||||||
6.300%, 09/15/16 | 2,195 | 2,395 | ||||||
Health Care REIT‡ | ||||||||
6.500%, 03/15/41 | 10,510 | 9,980 | ||||||
4.950%, 01/15/21 | 2,025 | 1,895 | ||||||
Healthcare Realty Trust‡ | ||||||||
5.750%, 01/15/21 | 1,275 | 1,272 | ||||||
HSBC Finance | ||||||||
6.676%, 01/15/21 | 575 | 567 | ||||||
HSBC Holdings | ||||||||
6.800%, 06/01/38 | 2,185 | 2,155 | ||||||
6.500%, 09/15/37 | 12,005 | 11,440 | ||||||
6.100%, 01/14/42 | 1,650 | 1,734 | ||||||
5.100%, 04/05/21 | 4,581 | 4,732 | ||||||
International Lease Finance | ||||||||
7.125%, 09/01/18 (A) | 1,500 | 1,530 | ||||||
6.750%, 09/01/16 (A) | 3,700 | 3,719 | ||||||
Jefferies Group | ||||||||
8.500%, 07/15/19 | 2,650 | 2,465 | ||||||
6.875%, 04/15/21 | 1,768 | 1,494 | ||||||
6.250%, 01/15/36 | 160 | 120 | ||||||
JPMorgan Chase | ||||||||
6.400%, 05/15/38 | 8,901 | 10,089 | ||||||
6.300%, 04/23/19 | 3,775 | 4,173 | ||||||
5.600%, 07/15/41 | 11,535 | 12,116 | ||||||
4.625%, 05/10/21 | 1,700 | 1,694 | ||||||
JPMorgan Chase Bank | ||||||||
6.000%, 10/01/17 | 4,170 | 4,462 | ||||||
JPMorgan Chase Capital XXV | ||||||||
6.800%, 10/01/37 | 220 | 221 | ||||||
JPMorgan Chase Capital XXVII | ||||||||
7.000%, 11/01/39 | 2,180 | 2,175 | ||||||
KKR Group Finance | ||||||||
6.375%, 09/29/20 (A) | 4,670 | 4,798 | ||||||
Lincoln National | ||||||||
7.000%, 06/15/40 | 1,300 | 1,359 | ||||||
Lloyds TSB Bank | ||||||||
6.375%, 01/21/21 | 4,000 | 3,960 | ||||||
Macquarie Bank MTN | ||||||||
6.625%, 04/07/21 (A) | 9,025 | 8,431 | ||||||
Massachusetts Mutual Life Insurance | ||||||||
8.875%, 06/01/39 (A) | 6,875 | 9,835 | ||||||
Merrill Lynch | ||||||||
8.950%, 05/18/17 (B) | 1,340 | 1,444 | ||||||
8.680%, 05/02/17 (B) | 1,305 | 1,402 | ||||||
7.750%, 05/14/38 | 3,910 | 3,494 | ||||||
6.110%, 01/29/37 | 5,925 | 4,593 | ||||||
MetLife | ||||||||
6.400%, 12/15/36 | 3,290 | 2,989 | ||||||
6.375%, 06/15/34 | 555 | 610 | ||||||
5.875%, 02/06/41 | 2,660 | 2,827 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Metropolitan Life Insurance | ||||||||
7.800%, 11/01/25 (A) | $ | 4,700 | $ | 5,930 | ||||
Morgan Stanley MTN | ||||||||
7.300%, 05/13/19 | 5,945 | 5,855 | ||||||
6.625%, 04/01/18 | 15,560 | 14,644 | ||||||
5.625%, 09/23/19 | 15,625 | 13,648 | ||||||
5.500%, 01/26/20 | 5,798 | 5,110 | ||||||
NASDAQ OMX Group | ||||||||
5.550%, 01/15/20 | 5,442 | 5,435 | ||||||
National Australia Bank MTN | ||||||||
4.375%, 12/10/20 (A) | 5,690 | 5,700 | ||||||
Nationwide Mutual Insurance | ||||||||
6.600%, 04/15/34 (A) | 5,426 | 4,877 | ||||||
New York Life Insurance | ||||||||
6.750%, 11/15/39 (A) | 15,100 | 18,497 | ||||||
Northwestern Mutual Life Insurance | ||||||||
6.063%, 03/30/40 (A) | 8,730 | 9,893 | ||||||
PNC Funding | ||||||||
5.125%, 02/08/20 | 4,760 | 5,263 | ||||||
Power Receivables Finance | ||||||||
6.290%, 01/01/12 (A) | 95 | 95 | ||||||
Prudential Financial MTN | ||||||||
6.625%, 06/21/40 | 1,000 | 1,044 | ||||||
6.200%, 11/15/40 | 1,185 | 1,163 | ||||||
5.800%, 11/16/41 | 2,930 | 2,817 | ||||||
5.700%, 12/14/36 | 4,845 | 4,515 | ||||||
Prudential Holdings LLC | ||||||||
8.695%, 12/18/23 (A) | 8,646 | 10,734 | ||||||
Prudential Insurance of America | ||||||||
8.300%, 07/01/25 (A) | 5,500 | 6,813 | ||||||
Raymond James Financial | ||||||||
8.600%, 08/15/19 | 1,655 | 1,954 | ||||||
Security Benefit Life | ||||||||
7.450%, 10/01/33 (A) | 6,575 | 6,046 | ||||||
Simon Property Group‡ | ||||||||
10.350%, 04/01/19 | 1,995 | 2,707 | ||||||
6.750%, 02/01/40 | 9,388 | 11,523 | ||||||
SL Green Realty‡ | ||||||||
5.000%, 08/15/18 | 4,000 | 3,797 | ||||||
State Street | ||||||||
7.350%, 06/15/26 | 6,155 | 7,858 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.850%, 12/16/39 (A) | 10,000 | 12,179 | ||||||
Toyota Motor Credit MTN | ||||||||
3.400%, 09/15/21 | 4,480 | 4,532 | ||||||
Travelers | ||||||||
5.350%, 11/01/40 | 7,960 | 8,797 | ||||||
Ventas Realty‡ | ||||||||
4.750%, 06/01/21 | 4,000 | 3,846 | ||||||
Wachovia Bank | ||||||||
6.600%, 01/15/38 | 12,110 | 13,210 | ||||||
5.850%, 02/01/37 | 5,420 | 5,490 | ||||||
WEA Finance LLC | ||||||||
6.750%, 09/02/19 (A) | 4,775 | 5,241 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 109 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Westpac Banking | ||||||||
4.875%, 11/19/19 | $ | 5,035 | $ | 5,235 | ||||
ZFS Finance USA Trust II | ||||||||
6.450%, 12/15/65 (A) (B) | 3,650 | 3,349 | ||||||
ZFS Finance USA Trust IV | ||||||||
5.875%, 05/09/32 (A) (B) | 4,250 | 4,123 | ||||||
|
| |||||||
755,343 | ||||||||
|
| |||||||
Health Care — 4.0% | ||||||||
Abbott Laboratories | ||||||||
5.300%, 05/27/40 | 3,375 | 3,828 | ||||||
Amgen | ||||||||
6.400%, 02/01/39 | 2,500 | 2,743 | ||||||
5.750%, 03/15/40 | 5,055 | 5,189 | ||||||
5.650%, 06/15/42 | 4,360 | 4,416 | ||||||
5.150%, 11/15/41 | 15,605 | 15,046 | ||||||
3.875%, 11/15/21 | 1,225 | 1,207 | ||||||
Aristotle Holding | ||||||||
6.125%, 11/15/41 (A) | 8,130 | 8,453 | ||||||
AstraZeneca | ||||||||
6.450%, 09/15/37 | 5,500 | 7,094 | ||||||
Becton Dickinson | ||||||||
3.125%, 11/08/21 | 3,400 | 3,387 | ||||||
Boston Scientific | ||||||||
7.375%, 01/15/40 | 3,910 | 4,859 | ||||||
6.000%, 01/15/20 | 1,275 | 1,393 | ||||||
Celgene | ||||||||
5.700%, 10/15/40 | 5,625 | 6,094 | ||||||
GlaxoSmithKline Capital | ||||||||
6.375%, 05/15/38 | 4,780 | 6,121 | ||||||
Highmark | ||||||||
6.125%, 05/15/41 (A) | 3,405 | 3,589 | ||||||
4.750%, 05/15/21 (A) | 1,330 | 1,338 | ||||||
Johnson & Johnson | ||||||||
5.850%, 07/15/38 | 3,105 | 3,985 | ||||||
Mead Johnson Nutrition | ||||||||
5.900%, 11/01/39 | 2,060 | 2,388 | ||||||
Merck | ||||||||
6.550%, 09/15/37 | 970 | 1,305 | ||||||
5.850%, 06/30/39 | 7,370 | 9,078 | ||||||
Pfizer | ||||||||
7.200%, 03/15/39 | 7,135 | 10,012 | ||||||
Roche Holdings | ||||||||
7.000%, 03/01/39 (A) | 13,325 | 18,413 | ||||||
UnitedHealth Group | ||||||||
6.625%, 11/15/37 | 4,355 | 5,376 | ||||||
4.625%, 11/15/41 | 2,500 | 2,493 | ||||||
Wellpoint | ||||||||
6.375%, 06/15/37 | 1,730 | 2,073 | ||||||
Wyeth | ||||||||
6.000%, 02/15/36 | 2,530 | 3,141 | ||||||
5.950%, 04/01/37 | 4,425 | 5,395 | ||||||
|
| |||||||
138,416 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Industrials — 4.1% |
| |||||||
American Airlines Pass-Through Trust, Ser 2011-2, Cl A | ||||||||
8.625%, 10/15/21 | $ | 1,200 | $ | 1,152 | ||||
BAA Funding | ||||||||
4.875%, 07/15/21 (A) | 5,570 | 5,646 | ||||||
BAE Systems | ||||||||
5.800%, 10/11/41 (A) | 8,555 | 8,564 | ||||||
Boeing | ||||||||
6.875%, 03/15/39 | 741 | 1,016 | ||||||
6.625%, 02/15/38 | 1,000 | 1,330 | ||||||
5.875%, 02/15/40 | 5,085 | 6,203 | ||||||
Burlington Northern Santa Fe LLC | ||||||||
7.290%, 06/01/36 | 2,228 | 3,066 | ||||||
6.200%, 08/15/36 | 5,100 | 6,321 | ||||||
6.150%, 05/01/37 | 1,500 | 1,848 | ||||||
5.650%, 05/01/17 | 2,830 | 3,242 | ||||||
Canadian Pacific Railway | ||||||||
5.750%, 01/15/42 | 2,470 | 2,410 | ||||||
Caterpillar | ||||||||
5.200%, 05/27/41 | 8,855 | 10,031 | ||||||
Continental Airlines | ||||||||
5.983%, 04/19/22 | 11,618 | 11,937 | ||||||
Continental Airlines Pass-Through Trust, Ser 2009-1 | ||||||||
9.000%, 07/08/16 | 5,951 | 6,546 | ||||||
Deere | ||||||||
7.125%, 03/03/31 | 440 | 609 | ||||||
Delta Air Lines Pass-Through Trust, Ser 2009-1, Cl A | ||||||||
7.750%, 12/17/19 | 1,370 | 1,473 | ||||||
Delta Air Lines Pass-Through Trust, Ser 2010-1, Cl A | ||||||||
6.200%, 07/02/18 | 1,387 | 1,442 | ||||||
Dover | ||||||||
5.375%, 03/01/41 | 1,325 | 1,634 | ||||||
Illinois Tool Works | ||||||||
4.875%, 09/15/41 (A) | 610 | 674 | ||||||
Lockheed Martin | ||||||||
6.150%, 09/01/36 | 1,100 | 1,238 | ||||||
5.720%, 06/01/40 | 2,332 | 2,496 | ||||||
5.500%, 11/15/39 | 7,145 | 7,803 | ||||||
Meccanica Holdings USA | ||||||||
6.250%, 01/15/40 (A) | 4,315 | 3,064 | ||||||
Norfolk Southern | ||||||||
6.000%, 03/15/05 | 5,503 | 6,175 | ||||||
6.000%, 05/23/11 | 10,289 | 11,443 | ||||||
5.900%, 06/15/19 | 4,395 | 5,291 | ||||||
Republic Services | ||||||||
6.200%, 03/01/40 | 90 | 107 | ||||||
5.700%, 05/15/41 | 3,150 | 3,545 | ||||||
Union Pacific | ||||||||
6.625%, 02/01/29 | 1,941 | 2,416 | ||||||
5.780%, 07/15/40 | 5,134 | 6,100 |
110 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
United Technologies | ||||||||
5.700%, 04/15/40 | $ | 8,100 | $ | 9,587 | ||||
US Airways Pass-Through Trust, Ser 2011-1, Cl A | ||||||||
7.125%, 10/22/23 | 2,000 | 1,880 | ||||||
Waste Management | ||||||||
7.000%, 07/15/28 | 60 | 75 | ||||||
6.125%, 11/30/39 | 3,590 | 4,361 | ||||||
4.600%, 03/01/21 | 4,280 | 4,572 | ||||||
|
| |||||||
145,297 | ||||||||
|
| |||||||
Information Technology — 2.6% |
| |||||||
Applied Materials | ||||||||
5.850%, 06/15/41 | 6,637 | 7,401 | ||||||
Cisco Systems | ||||||||
5.900%, 02/15/39 | 2,450 | 2,919 | ||||||
5.500%, 01/15/40 | 6,560 | 7,461 | ||||||
Energizer Holdings | ||||||||
4.700%, 05/19/21 (A) | 3,825 | 3,967 | ||||||
Fiserv | ||||||||
4.750%, 06/15/21 | 2,090 | �� | 2,176 | |||||
4.625%, 10/01/20 | 720 | 744 | ||||||
Hewlett-Packard | ||||||||
6.000%, 09/15/41 | 2,110 | 2,273 | ||||||
Intel | ||||||||
4.800%, 10/01/41 | 10,820 | 11,309 | ||||||
International Business Machines | ||||||||
6.220%, 08/01/27 | 3,345 | 4,297 | ||||||
5.875%, 11/29/32 | 440 | 546 | ||||||
5.600%, 11/30/39 | 5,145 | 6,235 | ||||||
Juniper Networks | ||||||||
5.950%, 03/15/41 | 7,150 | 7,569 | ||||||
Microsoft | ||||||||
5.300%, 02/08/41 | 4,975 | 5,993 | ||||||
Oracle | ||||||||
6.500%, 04/15/38 | 6,200 | 8,112 | ||||||
6.125%, 07/08/39 | 6,290 | 7,847 | ||||||
5.375%, 07/15/40 (A) | 8,180 | 9,409 | ||||||
|
| |||||||
88,258 | ||||||||
|
| |||||||
Materials — 1.0% |
| |||||||
Alcoa | ||||||||
5.950%, 02/01/37 | 2,700 | 2,427 | ||||||
ArcelorMittal | ||||||||
7.000%, 10/15/39 | 8,055 | 7,086 | ||||||
6.750%, 03/01/41 | 2,025 | 1,726 | ||||||
Dow Chemical | ||||||||
7.375%, 11/01/29 | 2,206 | 2,748 | ||||||
5.250%, 11/15/41 | 580 | 565 | ||||||
Newcrest Finance | ||||||||
5.750%, 11/15/41 (A) | 5,000 | 4,799 | ||||||
Rio Tinto Finance USA | ||||||||
5.200%, 11/02/40 | 580 | 635 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Rohm & Haas | ||||||||
7.850%, 07/15/29 | $ | 1,065 | $ | 1,328 | ||||
Southern Copper | ||||||||
7.500%, 07/27/35 | 4,199 | 4,562 | ||||||
6.750%, 04/16/40 | 90 | 90 | ||||||
Teck Resources | ||||||||
6.250%, 07/15/41 | 4,285 | 4,658 | ||||||
Vale Overseas | ||||||||
6.875%, 11/10/39 | 3,520 | 3,862 | ||||||
Xstrata Canada Financial | ||||||||
6.000%, 11/15/41 (A) | 850 | 817 | ||||||
|
| |||||||
35,303 | ||||||||
|
| |||||||
Telecommunication Services — 3.7% |
| |||||||
Alltel | ||||||||
7.875%, 07/01/32 | 1,365 | 1,923 | ||||||
6.800%, 05/01/29 | 500 | 624 | ||||||
America Movil | ||||||||
6.125%, 03/30/40 | 1,500 | 1,647 | ||||||
AT&T | ||||||||
8.000%, 11/15/31 | 1,100 | 1,472 | ||||||
6.550%, 02/15/39 | 6,075 | 7,320 | ||||||
6.500%, 09/01/37 | 1,000 | 1,186 | ||||||
6.400%, 05/15/38 | 1,750 | 2,055 | ||||||
6.300%, 01/15/38 | 11,685 | 13,598 | ||||||
5.550%, 08/15/41 | 15,460 | 16,762 | ||||||
5.350%, 09/01/40 | 5,341 | 5,589 | ||||||
Bellsouth Capital Funding | ||||||||
7.120%, 07/15/97 | 3,928 | 4,662 | ||||||
BellSouth Telecommunications | ||||||||
7.000%, 12/01/95 | 4,567 | 5,419 | ||||||
British Telecommunications | ||||||||
9.875%, 12/15/30 | 3,890 | 5,398 | ||||||
CenturyLink | ||||||||
7.600%, 09/15/39 | 3,020 | 2,840 | ||||||
Deutsche Telekom International Finance BV | ||||||||
8.750%, 06/15/30 | 1,940 | 2,636 | ||||||
France Telecom | ||||||||
8.500%, 03/01/31 | 500 | 691 | ||||||
4.125%, 09/14/21 | 2,290 | 2,233 | ||||||
Koninklijke KPN | ||||||||
8.375%, 10/01/30 | 80 | 101 | ||||||
Motorola Solutions | ||||||||
7.500%, 05/15/25 | 1,060 | 1,230 | ||||||
Telecom Italia Capital | ||||||||
7.721%, 06/04/38 | 4,800 | 4,001 | ||||||
7.200%, 07/18/36 | 2,900 | 2,293 | ||||||
6.000%, 09/30/34 | 5,425 | 3,842 | ||||||
Telefonica Emisiones | ||||||||
7.045%, 06/20/36 | 5,675 | 5,101 | ||||||
Verizon Communications | ||||||||
7.350%, 04/01/39 | 5,660 | 7,483 | ||||||
6.400%, 02/15/38 | 8,933 | 10,720 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 111 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.250%, 04/01/37 | $ | 1,465 | $ | 1,721 | ||||
6.000%, 04/01/41 | 5,160 | 6,072 | ||||||
4.750%, 11/01/41 | 6,220 | 6,228 | ||||||
4.600%, 04/01/21 | 2,490 | 2,696 | ||||||
|
| |||||||
127,543 | ||||||||
|
| |||||||
Utilities — 7.5% | ||||||||
AGL Capital | ||||||||
5.875%, 03/15/41 | 3,700 | 4,386 | ||||||
American Transmission Systems | ||||||||
5.250%, 01/15/22 (A) | 1,135 | 1,226 | ||||||
Arizona Public Service | ||||||||
8.750%, 03/01/19 | 2,705 | 3,376 | ||||||
Black Hills Power | ||||||||
6.125%, 11/01/39 | 1,800 | 2,334 | ||||||
Bruce Mansfield Unit | ||||||||
6.850%, 06/01/34 | 2,492 | 2,674 | ||||||
Cedar Brakes II LLC | ||||||||
9.875%, 09/01/13 (A) | 613 | 643 | ||||||
Consolidated Edison of New York | ||||||||
6.750%, 04/01/38 | 2,470 | 3,397 | ||||||
6.300%, 08/15/37 | 1,440 | 1,874 | ||||||
Coso Geothermal Power Holdings | ||||||||
7.000%, 07/15/26 (A) | 2,856 | 2,071 | ||||||
Dominion Resources | ||||||||
5.250%, 08/01/33 | 2,500 | 2,766 | ||||||
Duke Energy Carolinas LLC | ||||||||
6.100%, 06/01/37 | 5,000 | 6,302 | ||||||
5.300%, 02/15/40 | 5,585 | 6,655 | ||||||
Duke Energy Indiana | ||||||||
6.350%, 08/15/38 | 1,940 | 2,534 | ||||||
Elm Road Generating Station Supercritical LLC | ||||||||
5.848%, 01/19/41 (A) | 3,007 | 3,632 | ||||||
Enel Finance International | ||||||||
6.000%, 10/07/39 (A) | 4,155 | 3,293 | ||||||
Entergy Louisiana LLC | ||||||||
4.800%, 05/01/21 | 3,500 | 3,841 | ||||||
Entergy Texas | ||||||||
7.125%, 02/01/19 | 1,725 | 2,085 | ||||||
Exelon Generation LLC | ||||||||
6.250%, 10/01/39 | 4,480 | 5,322 | ||||||
5.750%, 10/01/41 | 13,621 | 15,259 | ||||||
FirstEnergy, Ser C | ||||||||
7.375%, 11/15/31 | 8,105 | 9,504 | ||||||
Florida Power | ||||||||
6.350%, 09/15/37 | 2,650 | 3,495 | ||||||
Florida Power & Light | ||||||||
5.960%, 04/01/39 | 4,525 | 5,907 | ||||||
Georgia Power | ||||||||
5.950%, 02/01/39 | 3,850 | 4,831 | ||||||
5.400%, 06/01/40 | 8,980 | 10,524 | ||||||
Iberdrola Finance Ireland | ||||||||
5.000%, 09/11/19 (A) | 3,700 | 3,579 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Indianapolis Power & Light | ||||||||
6.050%, 10/01/36 (A) | $ | 2,001 | $ | 2,348 | ||||
4.875%, 11/01/41 (A) | 2,970 | 2,985 | ||||||
Kansas City Power & Light | ||||||||
7.150%, 04/01/19 | 2,680 | 3,322 | ||||||
5.300%, 10/01/41 | 2,545 | 2,686 | ||||||
KCP&L Greater Missouri Operations | ||||||||
8.270%, 11/15/21 | 5,100 | 6,362 | ||||||
Kentucky Utilities | ||||||||
5.125%, 11/01/40 | 2,735 | 3,237 | ||||||
KeySpan Gas East | ||||||||
5.819%, 04/01/41 (A) | 9,585 | 11,469 | ||||||
MidAmerican Energy MTN | ||||||||
5.800%, 10/15/36 | 1,150 | 1,336 | ||||||
Midamerican Energy Holdings | ||||||||
6.500%, 09/15/37 | 9,765 | 12,218 | ||||||
6.125%, 04/01/36 | 1,555 | 1,851 | ||||||
Nevada Power | ||||||||
6.750%, 07/01/37 | 350 | 466 | ||||||
NextEra Energy Capital Holdings | ||||||||
6.000%, 03/01/19 | 4,000 | 4,659 | ||||||
4.500%, 06/01/21 | 4,350 | 4,584 | ||||||
Nisource Finance | ||||||||
6.250%, 12/15/40 | 5,180 | 5,474 | ||||||
5.950%, 06/15/41 | 4,000 | 4,060 | ||||||
5.800%, 02/01/42 | 2,000 | 2,045 | ||||||
Oglethorpe Power | ||||||||
5.375%, 11/01/40 | 1,560 | 1,796 | ||||||
Oncor Electric Delivery LLC | ||||||||
5.250%, 09/30/40 | 4,975 | 5,581 | ||||||
Pacific Gas & Electric | ||||||||
6.250%, 03/01/39 | 4,500 | 5,612 | ||||||
6.050%, 03/01/34 | 4,110 | 4,939 | ||||||
5.800%, 03/01/37 | 3,051 | 3,598 | ||||||
4.500%, 12/15/41 | 1,600 | 1,579 | ||||||
Pennsylvania Electric | ||||||||
6.150%, 10/01/38 | 5,420 | 6,253 | ||||||
Progress Energy | ||||||||
7.050%, 03/15/19 | 4,500 | 5,512 | ||||||
Public Service of Colorado | ||||||||
6.250%, 09/01/37 | 2,200 | 2,951 | ||||||
4.750%, 08/15/41 | 2,400 | 2,697 | ||||||
San Diego Gas & Electric | ||||||||
5.350%, 05/15/40 | 1,350 | 1,660 | ||||||
Sempra Energy | ||||||||
6.000%, 10/15/39 | 3,720 | 4,472 | ||||||
Southern California Edison | ||||||||
6.050%, 03/15/39 | 7,050 | 9,305 | ||||||
Southern Union | ||||||||
8.250%, 11/15/29 | 3,075 | 3,698 | ||||||
Southwestern Electric Power | ||||||||
6.200%, 03/15/40 | 6,680 | 7,895 | ||||||
Texas-New Mexico Power | ||||||||
9.500%, 04/01/19 (A) | 6,782 | 8,892 |
112 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Union Electric | ||||||||
8.450%, 03/15/39 | $ | 3,000 | $ | 4,823 | ||||
|
| |||||||
261,875 | ||||||||
|
| |||||||
Total Corporate Obligations (Cost $2,077,403) ($ Thousands) | 2,231,659 | |||||||
|
| |||||||
MUNICIPAL BONDS — 5.8% | ||||||||
Bay Area, Toll Authority, Build America Project, RB | ||||||||
6.263%, 04/01/49 | 5,395 | 6,893 | ||||||
City of Gainesville, Build America Project, RB | ||||||||
6.024%, 10/01/40 | 3,350 | 3,937 | ||||||
City of New York, Build America Project, GO Callable 10/01/20 @ 100 | ||||||||
5.817%, 10/01/31 | 2,950 | 3,220 | ||||||
City of New York, Build America Project, GO Callable 12/01/20 @ 100 | ||||||||
6.646%, 12/01/31 | 2,200 | 2,517 | ||||||
Commonwealth of Massachusetts, RB | ||||||||
5.731%, 06/01/40 | 880 | 1,104 | ||||||
Dallas Area Rapid Transit, | ||||||||
5.250%, 12/01/30 | 5,080 | 6,062 | ||||||
Dallas County Hospital District, Build America Project, Ser C, GO | ||||||||
5.621%, 08/15/44 | 7,528 | 9,115 | ||||||
Dallas Independent School District, Build America Project, GO, PSF-GTD Callable 02/15/21 @ 100 | ||||||||
6.450%, 02/15/35 | 3,415 | 3,975 | ||||||
Indianapolis Local Public Improvement Bond Bank, Build America Project, RB | ||||||||
6.116%, 01/15/40 | 6,605 | 8,181 | ||||||
Los Angeles Unified School District, Build America Project, GO | ||||||||
6.758%, 07/01/34 | 4,310 | 5,281 | ||||||
Los Angeles, Department of Water & Power, Build America Project, RB | ||||||||
6.574%, 07/01/45 | 3,300 | 4,229 | ||||||
6.008%, 07/01/39 | 5,000 | 5,803 | ||||||
Massachusetts Bay Transportation Authority, Ser A, RB | ||||||||
5.000%, 07/01/31 | 3,795 | 4,363 | ||||||
New Hampshire State Turnpike System, Build America Project, RB | ||||||||
6.009%, 11/01/39 | 2,005 | 2,332 | ||||||
New Jersey State Turnpike Authority, Build America Project, RB | ||||||||
7.102%, 01/01/41 | 4,765 | 6,391 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
New York City Municipal Water Finance Authority, Build America Project, RB | ||||||||
5.882%, 06/15/44 | $ | 1,500 | $ | 1,820 | ||||
5.724%, 06/15/42 | 1,250 | 1,495 | ||||||
5.440%, 06/15/43 | 3,540 | 4,055 | ||||||
New York City Municipal Water Finance Authority, Build America Project, RB | ||||||||
6.491%, 06/15/42 | 6,630 | 7,415 | ||||||
New York City Transitional Finance Authority, Build America Project, RB | ||||||||
5.572%, 11/01/38 | 2,195 | 2,514 | ||||||
New York State Dormitory Authority, Build America Project, RB | ||||||||
5.500%, 03/15/30 | 3,295 | 3,749 | ||||||
North Texas Tollway Authority, Build America Project, RB | ||||||||
6.718%, 01/01/49 | 6,762 | 8,340 | ||||||
Ohio State University, Build America Project, RB | ||||||||
4.910%, 06/01/40 | 4,470 | 4,982 | ||||||
Ohio State University, Build America Project, Ser A, RB | ||||||||
4.800%, 06/01/11 | 2,468 | 2,476 | ||||||
Port Authority of New York & New Jersey, RB | ||||||||
5.647%, 11/01/40 | 3,675 | 4,148 | ||||||
4.926%, 10/01/51 | 725 | 731 | ||||||
San Diego County Water Authority, Build America Project, RB | ||||||||
6.138%, 05/01/49 | 4,550 | 5,570 | ||||||
Santa Clara Valley Transportation Authority, Build America Project, RB | ||||||||
5.876%, 04/01/32 | 2,580 | 3,031 | ||||||
State of California, Build America Project, GO | ||||||||
7.550%, 04/01/39 | 11,735 | 13,971 | ||||||
7.300%, 10/01/39 | 7,100 | 8,180 | ||||||
State of California, Build America Project, GO | ||||||||
7.625%, 03/01/40 | 4,200 | 5,027 | ||||||
7.600%, 11/01/40 | 1,170 | 1,404 | ||||||
State of Illinois, Build America Project, GO | ||||||||
7.350%, 07/01/35 | 1,325 | 1,444 | ||||||
6.630%, 02/01/35 | 3,275 | 3,329 | ||||||
5.100%, 06/01/33 | 14,455 | 12,854 | ||||||
State of New York, Build America Project, RB | ||||||||
5.770%, 03/15/39 | 6,825 | 7,983 | ||||||
State of Texas, Build America Project, GO | ||||||||
5.517%, 04/01/39 | 600 | 718 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 113 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
State of Texas, Transportation Communication Authority, Ser B, RB | ||||||||
5.178%, 04/01/30 | $ | 6,835 | $ | 7,870 | ||||
State of Virginia, Build America Project, RB | ||||||||
5.000%, 09/01/40 | 7,255 | 8,439 | ||||||
State of Washington, Build America Project, Ser D, GO | ||||||||
5.481%, 08/01/39 | 2,455 | 2,890 | ||||||
Triborough Bridge & Tunnel Authority, Build America Project, RB | ||||||||
5.450%, 11/15/32 | 3,000 | 3,232 | ||||||
University of California, Build America Project, RB | ||||||||
5.770%, 05/15/43 | 300 | 339 | ||||||
|
| |||||||
Total Municipal Bonds | 201,409 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 1.8% |
| |||||||
Agency Mortgage-Backed Obligations — 1.2% |
| |||||||
FHLMC CMO, Ser 2004-2748, Cl ZT | ||||||||
5.500%, 02/15/24 | 577 | 661 | ||||||
FHLMC CMO, Ser 2010-3756, Cl PZ | ||||||||
4.000%, 11/15/40 | 5,204 | 5,261 | ||||||
FNMA | ||||||||
3.841%, 09/01/20 | 5,627 | 6,045 | ||||||
3.763%, 12/01/20 | 5,475 | 5,851 | ||||||
3.665%, 10/01/20 | 5,679 | 6,036 | ||||||
3.584%, 09/01/20 | 2,053 | 2,171 | ||||||
FNMA CMO, Ser 2004-12, Cl ZX | ||||||||
6.000%, 03/25/34 | 756 | 930 | ||||||
FNMA CMO, Ser 2004-80, Cl XZ | ||||||||
5.000%, 11/25/34 | 441 | 470 | ||||||
GNMA ARM | ||||||||
2.375%, 06/20/32 (B) | 150 | 156 | ||||||
GNMA CMO, Ser 2010-164, Cl JZ | ||||||||
4.000%, 12/20/40 | 8,195 | 8,152 | ||||||
GNMA CMO, Ser 2011-70, Cl BO, PO | ||||||||
0.000%, 05/20/41 | 10,425 | 6,954 | ||||||
|
| |||||||
42,687 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 0.6% |
| |||||||
American Home Mortgage Investment Trust, Ser 2007-2, Cl 11A1 | ||||||||
0.487%, 03/25/47 (B) | 1,572 | 643 | ||||||
Bayview Commercial Asset Trust, Ser 2007-3, Cl A1 | ||||||||
0.497%, 07/25/37 (A) (B) | 1,955 | 1,397 | ||||||
Countrywide Alternative Loan Trust, Ser 2005-16, Cl A5 | ||||||||
0.537%, 06/25/35 (B) | 392 | 119 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Countrywide Home Loans, Ser 2005-2, Cl 1A1 | ||||||||
0.577%, 03/25/35 (B) | $ | 191 | $ | 89 | ||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3 | ||||||||
5.311%, 12/15/39 | 2,505 | 2,639 | ||||||
DSLA Mortgage Loan Trust, Ser 2005-AR2, Cl 2A1A | ||||||||
0.465%, 03/19/45 (B) | 277 | 172 | ||||||
GS Mortgage Securities II, Ser 2011-GC5, Cl A4 | ||||||||
3.707%, 08/10/44 | 5,720 | 5,840 | ||||||
Harborview Mortgage Loan Trust, Ser 2004-8, Cl 2A4A | ||||||||
0.655%, 11/19/34 (B) | 340 | 206 | ||||||
Harborview Mortgage Loan Trust, Ser 2005-11, Cl 2A1A | ||||||||
0.565%, 08/19/45 (B) | 488 | 319 | ||||||
Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl A1 | ||||||||
0.647%, 12/25/34 (B) | 169 | 87 | ||||||
Indymac Index Mortgage Loan Trust, Ser 2004-AR5, Cl 2A1B | ||||||||
1.057%, 08/25/34 (B) | 94 | 56 | ||||||
Indymac Index Mortgage Loan Trust, Ser 2004-AR7, Cl A2 | ||||||||
1.117%, 09/25/34 (B) | 39 | 24 | ||||||
Indymac Index Mortgage Loan Trust, Ser 2005-AR18, Cl 2A1A | ||||||||
0.567%, 10/25/36 (B) | 20 | 11 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP7, Cl A4 | ||||||||
6.072%, 04/15/45 (B) | 535 | 591 | ||||||
Morgan Stanley Capital I, Ser 2011-C3, Cl A4 | ||||||||
4.118%, 07/15/49 | 5,710 | 5,993 | ||||||
WaMu Alternative Mortgage Pass-Through Certificates, Ser 2007-OA3, Cl 4A1 | ||||||||
0.988%, 04/25/47 (B) | 216 | 109 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR2, Cl 2A21 | ||||||||
0.587%, 01/25/45 (B) | 253 | 176 | ||||||
WF-RBS Commercial Mortgage Trust, Ser 2011-C5, Cl A4 | ||||||||
3.667%, 11/15/44 | 3,330 | 3,375 | ||||||
|
| |||||||
21,846 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities | 64,533 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.6% |
| |||||||
FICO STRIPS, PO | ||||||||
3.558%, 08/03/18 to 09/26/19 | 32,275 | 27,791 |
114 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FICO STRIPS | ||||||||
2.157%, 03/26/19 | $ | 12,000 | $ | 10,173 | ||||
Tennessee Valley Authority | ||||||||
5.880%, 04/01/36 | 11,425 | 15,258 | ||||||
5.250%, 09/15/39 | 260 | 324 | ||||||
4.625%, 09/15/60 | 2,125 | 2,485 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 56,031 | ||||||
|
| |||||||
ASSET-BACKED SECURITIES — 0.6% |
| |||||||
Mortgage Related Securities — 0.1% | ||||||||
Citigroup Mortgage Loan Trust, Ser 2006-AMC1, Cl A2B | ||||||||
0.417%, 09/25/36 (B) | 8,380 | 2,878 | ||||||
Other Asset-Backed Securities — 0.5% |
| |||||||
TAL Advantage LLC, Ser 2006-1A, Cl A | ||||||||
0.445%, 04/20/21 (A) (B) | 2,098 | 1,938 | ||||||
TAL Advantage LLC, Ser 2010-2A, Cl A | ||||||||
4.300%, 10/20/25 (A) | 2,095 | 2,078 | ||||||
TAL Advantage LLC, Ser 2011-1A, Cl A | ||||||||
4.600%, 01/20/26 (A) | 504 | 504 | ||||||
Textainer Marine Containers, Ser 2011-1A, Cl A | ||||||||
4.700%, 06/15/26 (A) | 3,163 | 3,131 | ||||||
Trinity Rail Leasing, Ser 2004-1A, Cl A | ||||||||
5.270%, 08/14/27 (A) | 1,733 | 1,828 | ||||||
Trip Rail Master Funding LLC, Ser 2011-1A, Cl A1A | ||||||||
4.370%, 07/15/41 (A) | 4,036 | 4,050 | ||||||
Triton Container Finance LLC, Ser 2006-1A, Cl NOTE | ||||||||
0.427%, 11/26/21 (A) (B) | 3,004 | 2,748 | ||||||
Triton Container Finance LLC, Ser 2007-1A, Cl NOTE | ||||||||
0.397%, 02/26/19 (A) (B) | 1,422 | 1,329 | ||||||
|
| |||||||
17,606 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 20,484 | |||||||
|
| |||||||
SOVEREIGN DEBT — 0.3% |
| |||||||
Federal Republic of Brazil | ||||||||
7.125%, 01/20/37 | 1,380 | 1,846 | ||||||
5.625%, 01/07/41 | 1,420 | 1,608 | ||||||
Province of Quebec Canada MTN | ||||||||
6.350%, 01/30/26 | 4,880 | 6,475 | ||||||
United Mexican States MTN | ||||||||
6.050%, 01/11/40 | 580 | 687 | ||||||
|
| |||||||
Total Sovereign Debt | 10,616 | |||||||
|
|
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 23.8% |
| |||||||
U.S. Treasury Bills | ||||||||
0.015%, 12/08/11 (D) (E) | $ | 4,100 | $ | 4,100 | ||||
U.S. Treasury Bonds | ||||||||
6.250%, 05/15/30 | 1,000 | 1,511 | ||||||
6.125%, 11/15/27 | 2,800 | 4,075 | ||||||
6.125%, 08/15/29 | 3,700 | 5,478 | ||||||
5.500%, 08/15/28 | 4,000 | 5,520 | ||||||
5.375%, 02/15/31 | 16,000 | 22,225 | ||||||
5.250%, 11/15/28 | 4,100 | 5,523 | ||||||
5.250%, 02/15/29 | 4,100 | 5,534 | ||||||
4.375%, 05/15/41 | 205,833 | 259,736 | ||||||
3.875%, 08/15/40 | 209,425 | 242,998 | ||||||
3.750%, 08/15/41 | 175,334 | 199,497 | ||||||
U.S. Treasury Inflation-Protected Securities | ||||||||
3.000%, 07/15/12 (E) | 4,884 | 4,994 | ||||||
2.125%, 02/15/41 (E) | 10,744 | 14,400 | ||||||
U.S. Treasury Notes | ||||||||
2.000%, 11/15/21 | 21,109 | 20,980 | ||||||
U.S. Treasury STRIPS | ||||||||
4.660%, 11/15/21 (D) | 47,197 | 38,006 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 834,577 | |||||||
|
| |||||||
CASH EQUIVALENT — 0.9% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.040%†* | 33,242,176 | 33,242 | ||||||
|
| |||||||
Total Cash Equivalent | 33,242 | |||||||
|
| |||||||
Total Investments — 98.5% | $ | 3,452,551 | ||||||
|
|
The open futures contracts held by the Fund at November 30, 2011 is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
U.S. 5-Year Treasury Note | (1,448 | ) | Mar-2012 | $ | (153 | ) | ||||||
U.S. 2-Year Treasury Note | (87 | ) | Apr-2012 | (8 | ) | |||||||
U.S. 10-Year Treasury Note | (707 | ) | Mar-2012 | 372 | ||||||||
U.S. Ultra Long Treasury Bond | 980 | Apr-2012 | (1,955 | ) | ||||||||
|
| |||||||||||
$ | (1,744 | ) | ||||||||||
|
|
For the period ended November 30, 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.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 115 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Concluded)
November 30, 2011
The open swap agreements held by the fund at November 30, 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 ($ Thousands) | ||||||||||||||
JPMorgan Chase | Goldman Sachs Group, 6.6%, 01/15/2012 | Buy | 1.00 | % | 09/20/16 | $ | 5,000 | $ | 206 | |||||||||||
|
|
For the period ended November 30, 2011, the total amount of all open swap agreements, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $3,506,053 ($ Thousands)
* | The rate reported is the 7-day effective yield as of November 30, 2011. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 5). |
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(B) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of November 30, 2011. The date reported on the Schedule of Investments is the final maturity date. |
(C) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on November 30, 2011. The coupon on a step bond changes on a specified date. |
(D) | 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. |
AMBAC — American Municipal Bond Assurance Corporation
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
PO — Principal Only
PSF-GTD — Public Schools 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 November 30, 2011, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 2,231,659 | $ | — | $ | 2,231,659 | ||||||||
Municipal Bonds | — | 201,409 | — | 201,409 | ||||||||||||
Mortgage-Backed Securities | — | 64,533 | — | 64,533 | ||||||||||||
U.S. Government Agency Obligations | — | 56,031 | — | 56,031 | ||||||||||||
Asset-Backed Securities | — | 20,484 | — | 20,484 | ||||||||||||
Sovereign Debt | — | 10,616 | — | 10,616 | ||||||||||||
U.S. Treasury Obligations | — | 834,577 | — | 834,577 | ||||||||||||
Cash Equivalent | 33,242 | — | — | 33,242 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 33,242 | $ | 3,419,309 | $ | — | $ | 3,452,551 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (1,744 | ) | $ | — | $ | — | $ | (1,744 | ) | ||||||
Credit Default Swaps* | — | 206 | — | 206 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (1,744 | ) | $ | 206 | $ | — | $ | (1,538 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts and swaps are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended November 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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.
Amounts designated as “—” are $O or have been rounded to $O.
The accompanying notes are an integral part of the financial statements.
116 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Duration Bond Fund
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 32.2% |
| |||||||
Consumer Discretionary — 2.1% | ||||||||
Comcast Cable Holdings LLC | ||||||||
9.800%, 02/01/12 | $ | 1,750 | $ | 1,774 | ||||
DIRECTV Holdings LLC | ||||||||
3.500%, 03/01/16 | 645 | 664 | ||||||
NBC Universal Media LLC | ||||||||
2.100%, 04/01/14 (A) | 1,016 | 1,033 | ||||||
Nissan Motor Acceptance | ||||||||
3.250%, 01/30/13 (A) | 168 | 171 | ||||||
Target | ||||||||
0.575%, 07/18/14 (B) | 2,000 | 1,999 | ||||||
Time Warner Cable | ||||||||
5.400%, 07/02/12 | 2,500 | 2,561 | ||||||
Volkswagen International Finance | ||||||||
0.984%, 04/01/14 (A) (B) | 1,850 | 1,854 | ||||||
|
| |||||||
10,056 | ||||||||
|
| |||||||
Consumer Staples — 2.8% | ||||||||
Anheuser-Busch InBev Worldwide | ||||||||
0.972%, 01/27/14 (B) | 1,364 | 1,368 | ||||||
0.761%, 07/14/14 (B) | 2,000 | 1,993 | ||||||
Bottling Group LLC | ||||||||
4.625%, 11/15/12 | 530 | 550 | ||||||
Coca-Cola Enterprises | ||||||||
0.771%, 02/18/14 (B) | 1,451 | 1,449 | ||||||
Dr Pepper Snapple Group | ||||||||
1.700%, 12/21/11 | 580 | 580 | ||||||
General Mills | ||||||||
5.250%, 08/15/13 | 1,074 | 1,149 | ||||||
Kraft Foods | ||||||||
2.625%, 05/08/13 | 429 | 438 | ||||||
PepsiCo | ||||||||
0.800%, 08/25/14 | 1,490 | 1,488 | ||||||
Philip Morris International | ||||||||
2.500%, 05/16/16 | 1,500 | 1,538 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
President and Fellows of Harvard College | ||||||||
3.700%, 04/01/13 | $ | 769 | $ | 794 | ||||
Procter & Gamble | ||||||||
0.700%, 08/15/14 | 2,040 | 2,049 | ||||||
|
| |||||||
13,396 | ||||||||
|
| |||||||
Energy — 0.5% | ||||||||
BP Capital Markets | ||||||||
5.250%, 11/07/13 | 725 | 778 | ||||||
0.937%, 03/11/14 (B) | 1,500 | 1,498 | ||||||
|
| |||||||
2,276 | ||||||||
|
| |||||||
Financials — 22.3% | ||||||||
Allstate Life Global Funding Trusts MTN | ||||||||
5.375%, 04/30/13 | 1,350 | 1,423 | ||||||
Ally Financial | ||||||||
2.200%, 12/19/12 | 2,848 | 2,906 | ||||||
0.350%, 12/19/12 (B) | 1,016 | 1,018 | ||||||
American Express Credit | ||||||||
1.208%, 06/24/14 (B) | 2,000 | 1,958 | ||||||
American Honda Finance | ||||||||
1.850%, 09/19/14 (A) | 2,000 | 2,008 | ||||||
American International Group | ||||||||
4.250%, 09/15/14 | 1,350 | 1,305 | ||||||
ANZ National Int’l | ||||||||
2.375%, 12/21/12 (A) | 473 | 477 | ||||||
Bank of America MTN | ||||||||
1.848%, 01/30/14 (B) | 1,485 | 1,360 | ||||||
Bank of Montreal MTN | ||||||||
2.125%, 06/28/13 | 696 | 711 | ||||||
0.898%, 04/29/14 (B) | 750 | 748 | ||||||
Bank of Nova Scotia | ||||||||
2.375%, 12/17/13 | 618 | 633 | ||||||
Bank of Tokyo-Mitsubishi UFJ | ||||||||
2.600%, 01/22/13 (A) | 464 | 470 | ||||||
BB&T MTN | ||||||||
3.375%, 09/25/13 | 871 | 903 | ||||||
1.125%, 04/28/14 (B) | 725 | 724 | ||||||
Berkshire Hathaway Finance | ||||||||
0.721%, 01/10/14 (B) | 1,451 | 1,446 | ||||||
BlackRock | ||||||||
2.250%, 12/10/12 | 580 | 587 | ||||||
BNP Paribas MTN | ||||||||
2.125%, 12/21/12 | 754 | 736 | ||||||
BPCE | ||||||||
2.375%, 10/04/13 (A) | 696 | 685 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
1.450%, 09/13/13 | 972 | 971 | ||||||
Caterpillar Financial Services | ||||||||
1.900%, 12/17/12 | 485 | 491 | ||||||
0.662%, 04/01/14 (B) | 1,000 | 1,002 | ||||||
Citigroup | ||||||||
5.125%, 05/05/14 | 1,161 | 1,187 | ||||||
1.302%, 04/01/14 (B) | 1,500 | 1,444 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 117 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Duration Bond Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Citigroup Funding | ||||||||
2.125%, 07/12/12 | $ | 2,250 | $ | 2,278 | ||||
1.875%, 10/22/12 | 4,500 | 4,571 | ||||||
1.875%, 11/15/12 | 12,200 | 12,407 | ||||||
Credit Agricole Home Loan SFH | ||||||||
1.162%, 07/21/14 (A) (B) | 1,400 | 1,343 | ||||||
Danske Bank MTN | ||||||||
1.451%, 04/14/14 (A) (B) | 1,575 | 1,516 | ||||||
Deutsche Bank | ||||||||
2.375%, 01/11/13 | 435 | 434 | ||||||
ERAC USA Finance LLC | ||||||||
2.750%, 07/01/13 (A) | 734 | 737 | ||||||
2.250%, 01/10/14 (A) | 186 | 185 | ||||||
General Electric Capital MTN | ||||||||
2.625%, 12/28/12 | 3,000 | 3,081 | ||||||
2.125%, 12/21/12 | 10,550 | 10,774 | ||||||
2.000%, 09/28/12 | 1,441 | 1,463 | ||||||
1.311%, 05/09/16 (B) | 1,250 | 1,179 | ||||||
1.234%, 01/07/14 (B) | 580 | 572 | ||||||
0.353%, 12/21/12 (B) | 3,337 | 3,346 | ||||||
Genworth Global Funding Trusts | ||||||||
0.597%, 05/15/12 (B) | 696 | 694 | ||||||
Goldman Sachs Group | ||||||||
6.000%, 05/01/14 | 331 | 339 | ||||||
1.435%, 02/07/14 (B) | 1,730 | 1,652 | ||||||
HSBC Bank | ||||||||
1.203%, 01/17/14 (A) (B) | 1,277 | 1,258 | ||||||
0.887%, 05/15/13 (A) (B) | 700 | 694 | ||||||
ING Bank | ||||||||
2.650%, 01/14/13 (A) | 725 | 723 | ||||||
2.000%, 10/18/13 (A) | 871 | 851 | ||||||
John Deere Capital MTN | ||||||||
1.875%, 06/17/13 | 580 | 591 | ||||||
0.553%, 07/15/13 (B) | 1,120 | 1,121 | ||||||
JPMorgan Chase | ||||||||
4.650%, 06/01/14 | 1,306 | 1,381 | ||||||
2.125%, 12/26/12 | 1,500 | 1,532 | ||||||
1.216%, 01/24/14 (B) | 1,161 | 1,146 | ||||||
0.608%, 12/26/12 (B) | 218 | 219 | ||||||
Kimco Realty‡ | ||||||||
6.000%, 11/30/12 | 1,016 | 1,049 | ||||||
MassMutual Global Funding II | ||||||||
0.781%, 01/14/14 (A) (B) | 1,312 | 1,312 | ||||||
MBIA Insurance | ||||||||
14.000%, 01/15/33 (A) (B) | 290 | 122 | ||||||
Metropolitan Life Global Funding I MTN | ||||||||
5.125%, 04/10/13 (A) | 1,161 | 1,214 | ||||||
1.141%, 01/10/14 (A) (B) | 1,161 | 1,160 | ||||||
Monumental Global Funding | ||||||||
0.603%, 01/15/14 (A) (B) | 522 | 498 | ||||||
Morgan Stanley | ||||||||
4.200%, 11/20/14 | 1,161 | 1,104 | ||||||
2.016%, 01/24/14 (B) | 725 | 679 | ||||||
0.691%, 01/09/14 (B) | 348 | 312 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
National Rural Utilities Cooperative Finance | ||||||||
1.125%, 11/01/13 | $ | 279 | $ | 280 | ||||
New York Life Global Funding | ||||||||
0.634%, 04/04/14 (A) (B) | 1,500 | 1,500 | ||||||
Nordea Bank | ||||||||
1.750%, 10/04/13 (A) | 871 | 859 | ||||||
Prudential Financial MTN | ||||||||
5.100%, 09/20/14 | 638 | 684 | ||||||
2.750%, 01/14/13 | 725 | 732 | ||||||
Royal Bank of Canada MTN | ||||||||
0.703%, 04/17/14 (B) | 2,500 | 2,477 | ||||||
Royal Bank of Scotland | ||||||||
3.400%, 08/23/13 | 1,161 | 1,146 | ||||||
Societe Generale | ||||||||
2.200%, 09/14/13 (A) | 725 | 697 | ||||||
Standard Chartered | ||||||||
1.403%, 05/12/14 (A) (B) | 1,500 | 1,486 | ||||||
State Street | ||||||||
0.878%, 03/07/14 (B) | 1,181 | 1,168 | ||||||
Swedbank Hypotek | ||||||||
0.813%, 03/28/14 (A) (B) | 1,850 | 1,818 | ||||||
Toronto-Dominion Bank | ||||||||
0.701%, 07/14/14 (B) | 1,030 | 1,023 | ||||||
Toyota Motor Credit MTN | ||||||||
1.375%, 08/12/13 | 1,161 | 1,169 | ||||||
UBS | ||||||||
1.425%, 01/28/14 (B) | 563 | 548 | ||||||
Ventas Realty | ||||||||
3.125%, 11/30/15‡ | 717 | 699 | ||||||
Wachovia MTN | ||||||||
5.500%, 05/01/13 | 1,016 | 1,076 | ||||||
Wells Fargo | ||||||||
0.567%, 06/15/12 (B) | 725 | 727 | ||||||
|
| |||||||
106,819 | ||||||||
|
| |||||||
Health Care — 1.2% | ||||||||
AmerisourceBergen | ||||||||
5.625%, 09/15/12 | 1,451 | 1,498 | ||||||
Express Scripts | ||||||||
5.250%, 06/15/12 | 1,000 | 1,022 | ||||||
GlaxoSmithKline Capital | ||||||||
4.850%, 05/15/13 | 493 | 522 | ||||||
Pfizer | ||||||||
4.450%, 03/15/12 | 580 | 586 | ||||||
Quest Diagnostics | ||||||||
1.208%, 03/24/14 (B) | 450 | 452 | ||||||
Sanofi | ||||||||
0.673%, 03/28/14 (B) | 1,400 | 1,398 | ||||||
Thermo Fisher Scientific | ||||||||
2.050%, 02/21/14 | 378 | 387 | ||||||
|
| |||||||
5,865 | ||||||||
|
|
118 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Industrials — 0.4% | ||||||||
Boeing | ||||||||
1.875%, 11/20/12 | $ | 421 | $ | 425 | ||||
Danaher | ||||||||
1.300%, 06/23/14 | 1,070 | 1,083 | ||||||
Textron | ||||||||
6.500%, 06/01/12 | 290 | 297 | ||||||
|
| |||||||
1,805 | ||||||||
|
| |||||||
Information Technology — 1.0% | ||||||||
Dell | ||||||||
3.375%, 06/15/12 | 203 | 206 | ||||||
eBay | ||||||||
0.875%, 10/15/13 | 401 | 402 | ||||||
Hewlett-Packard | ||||||||
0.923%, 05/30/14 (B) | 1,550 | 1,508 | ||||||
Texas Instruments | ||||||||
0.637%, 05/15/13 (B) | 1,500 | 1,503 | ||||||
Xerox | ||||||||
1.281%, 05/16/14 (B) | 1,435 | 1,420 | ||||||
|
| |||||||
5,039 | ||||||||
|
| |||||||
Materials — 0.1% | ||||||||
Anglo American Capital | ||||||||
2.150%, 09/27/13 (A) | 519 | 518 | ||||||
|
| |||||||
Telecommunication Services — 0.6% | ||||||||
Cellco Partnership | ||||||||
5.250%, 02/01/12 | 456 | 459 | ||||||
Verizon Communications | ||||||||
1.250%, 11/03/14 | 2,500 | 2,498 | ||||||
|
| |||||||
2,957 | ||||||||
|
| |||||||
Utilities — 1.2% | ||||||||
Allegheny Energy Supply | ||||||||
8.250%, 04/15/12 (A) | 755 | 773 | ||||||
Commonwealth Edison | ||||||||
1.625%, 01/15/14 | 528 | 531 | ||||||
DTE Energy | ||||||||
1.227%, 06/03/13 (B) | 761 | 760 | ||||||
Georgia Power | ||||||||
1.300%, 09/15/13 | 1,250 | 1,259 | ||||||
Pacific Gas & Electric | ||||||||
6.250%, 12/01/13 | 1,000 | 1,097 | ||||||
Sempra Energy | ||||||||
1.107%, 03/15/14 (B) | 1,200 | 1,197 | ||||||
|
| |||||||
5,617 | ||||||||
|
| |||||||
Total Corporate Obligations |
| 154,348 | ||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES — 29.2% |
| |||||||
Automotive — 21.6% |
| |||||||
Ally Auto Receivables Trust, Ser 2009-A, Cl A3 | ||||||||
2.330%, 06/17/13 (A) | $ | 1,333 | $ | 1,341 | ||||
Ally Auto Receivables Trust, Ser 2009-A, Cl A4 | ||||||||
3.000%, 10/15/15 (A) | 980 | 1,002 | ||||||
Ally Master Owner Trust, Ser 2010-1, Cl A | ||||||||
1.999%, 01/15/15 (A) (B) | 1,306 | 1,323 | ||||||
Ally Auto Receivables Trust, Ser 2010-1, Cl A3 | ||||||||
1.450%, 05/15/14 | 1,105 | 1,110 | ||||||
Ally Auto Receivables Trust, Ser 2010-2, Cl A3 | ||||||||
1.380%, 07/15/14 | 469 | 472 | ||||||
Ally Master Owner Trust, Ser 2010-3, Cl A | ||||||||
2.880%, 04/15/15 (A) | 2,053 | 2,090 | ||||||
Ally Auto Receivables Trust, Ser 2010-3, Cl A3 | ||||||||
1.110%, 10/15/14 | 1,335 | 1,340 | ||||||
Ally Master Owner Trust, Ser 2011-1, Cl A1 | ||||||||
1.119%, 01/15/16 (B) | 888 | 890 | ||||||
Ally Auto Receivables Trust, Ser 2010-4, Cl A3 | ||||||||
0.910%, 11/17/14 | 592 | 593 | ||||||
Ally Auto Receivables Trust, Ser 2011-4, Cl A2 | ||||||||
0.650%, 03/17/14 | 705 | 705 | ||||||
Ally Auto Receivables Trust, Ser 2011-5, Cl A2 | ||||||||
0.800%, 06/16/14 | 1,910 | 1,910 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-1, Cl B | ||||||||
3.720%, 11/17/14 | 453 | 460 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-2, Cl A2 | ||||||||
1.220%, 10/08/13 | 353 | 353 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-3, Cl A3 | ||||||||
1.140%, 04/08/15 | 654 | 654 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-4, Cl B | ||||||||
1.990%, 10/08/15 | 1,556 | 1,553 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-A, Cl A3 | ||||||||
3.510%, 07/06/17 | 802 | 829 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-B, Cl A2 | ||||||||
1.180%, 02/06/14 | 176 | 176 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 119 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Duration Bond Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-1, Cl A2 | ||||||||
0.840%, 06/09/14 | $ | 1,185 | $ | 1,185 | ||||
AmeriCredit Automobile Receivables Trust, Ser 2011-2, Cl A2 | ||||||||
0.900%, 09/08/14 | 493 | 493 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-3, Cl A3 | ||||||||
1.170%, 01/08/16 | 650 | 648 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-4, Cl A2 | ||||||||
0.920%, 03/09/15 | 1,105 | 1,104 | ||||||
Americredit Prime Automobile Receivable, Ser 2007-1, Cl B | ||||||||
5.350%, 09/09/13 | 38 | 38 | ||||||
Americredit Prime Automobile Receivable, Ser 2009-1, Cl A3 | ||||||||
2.210%, 01/15/14 | 599 | 601 | ||||||
Avis Budget Rental Car Funding LLC, Ser 2009-1A, Cl A | ||||||||
9.310%, 10/20/13 (A) | 1,494 | 1,567 | ||||||
Avis Budget Rental Car Funding LLC, Ser 2009-2A, Cl A | ||||||||
5.680%, 02/20/14 (A) | 1,047 | 1,083 | ||||||
Avis Budget Rental Car Funding LLC, Ser 2010-2A, Cl A | ||||||||
3.630%, 08/20/14 (A) | 238 | 245 | ||||||
Avis Budget Rental Car Funding LLC, Ser 2011-1A, Cl A11 | ||||||||
1.850%, 11/20/14 (A) | 845 | 846 | ||||||
Bank of America Auto Trust, Ser 2009-1A, Cl A4 | ||||||||
3.520%, 06/15/16 (A) | 1,788 | 1,823 | ||||||
Bank of America Auto Trust, Ser 2009-2A, Cl A3 | ||||||||
2.130%, 09/15/13 (A) | 357 | 358 | ||||||
Bank of America Auto Trust, Ser 2009-2A, Cl A4 | ||||||||
3.030%, 10/15/16 (A) | 638 | 650 | ||||||
Bank of America Auto Trust, Ser 2010-1A, Cl A3 | ||||||||
1.390%, 03/15/14 (A) | 800 | 802 | ||||||
Bank of America Auto Trust, Ser 2010-2, Cl A3 | ||||||||
1.310%, 07/15/14 | 288 | 289 | ||||||
Bank of America Auto Trust, Ser 2010-2, Cl A4 | ||||||||
1.940%, 06/15/17 | 2,410 | 2,452 | ||||||
BMW Vehicle Lease Trust, Ser 2010-1, Cl A3 | ||||||||
0.820%, 04/15/13 | 1,505 | 1,505 | ||||||
BMW Vehicle Lease Trust, Ser 2011-1, Cl A3 | ||||||||
1.060%, 02/20/14 | 691 | 692 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BMW Vehicle Owner Trust, Ser 2011-A, Cl A3 | ||||||||
0.760%, 08/25/15 | $ | 1,770 | $ | 1,768 | ||||
Capital Auto Receivables Asset Trust, Ser 2007-3, Cl A4 | ||||||||
5.210%, 03/17/14 | 232 | 233 | ||||||
Capital Auto Receivables Asset Trust, Ser 2007-4A, Cl A4 | ||||||||
5.300%, 05/15/14 | 337 | 340 | ||||||
CarMax Auto Owner Trust, Ser 2008-1, Cl A4A | ||||||||
4.790%, 02/15/13 | 269 | 271 | ||||||
CarMax Auto Owner Trust, Ser 2009-1, Cl A3 | ||||||||
4.120%, 03/15/13 | 123 | 124 | ||||||
CarMax Auto Owner Trust, Ser 2009-2, Cl A4 | ||||||||
2.820%, 12/15/14 | 178 | 183 | ||||||
CarMax Auto Owner Trust, Ser 2010-1, Cl A3 | ||||||||
1.560%, 07/15/14 | 1,363 | 1,369 | ||||||
CarMax Auto Owner Trust, Ser 2010-1, Cl A4 | ||||||||
2.400%, 04/15/15 | 985 | 1,009 | ||||||
CarMax Auto Owner Trust, Ser 2010-2, Cl A3 | ||||||||
1.410%, 02/16/15 | 1,004 | 1,010 | ||||||
CarMax Auto Owner Trust, Ser 2010-3, Cl A3 | ||||||||
0.990%, 02/17/15 | 824 | 826 | ||||||
CarMax Auto Owner Trust, Ser 2011-3, Cl A2 | ||||||||
0.700%, 11/17/14 | 1,660 | 1,659 | ||||||
Chrysler Financial Auto Securitization Trust, Ser 2010-A, Cl A2 | ||||||||
0.690%, 01/08/13 | 303 | 303 | ||||||
Daimler Chrysler Auto Trust, Ser 2007-A, Cl A4 | ||||||||
5.280%, 03/08/13 | 95 | 95 | ||||||
Ford Credit Auto Lease Trust, Ser 2010-B, Cl A3 | ||||||||
0.910%, 07/15/13 (A) | 1,120 | 1,121 | ||||||
Ford Credit Auto Lease Trust, Ser 2010-B, Cl A4 | ||||||||
1.040%, 12/15/13 (A) | 1,275 | 1,276 | ||||||
Ford Credit Auto Lease Trust, Ser 2011-A, Cl A2 | ||||||||
0.740%, 09/15/13 | 1,116 | 1,115 | ||||||
Ford Credit Auto Lease Trust, Ser 2011-B, Cl A2 | ||||||||
0.820%, 01/15/14 | 2,500 | 2,500 | ||||||
Ford Credit Auto Owner Trust, Ser 2008-A, Cl A4 | ||||||||
4.370%, 10/15/12 | 282 | 283 |
120 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ford Credit Auto Owner Trust, Ser 2009-A, Cl A3B | ||||||||
2.749%, 05/15/13 (B) | $ | 99 | $ | 100 | ||||
Ford Credit Auto Owner Trust, Ser 2009-B, Cl A3 | ||||||||
2.790%, 08/15/13 | 329 | 331 | ||||||
Ford Credit Auto Owner Trust, Ser 2010-A, Cl A3 | ||||||||
1.320%, 06/15/14 | 666 | 669 | ||||||
Ford Credit Auto Owner Trust, Ser 2010-B, Cl A3 | ||||||||
0.980%, 10/15/14 | 589 | 590 | ||||||
Ford Credit Auto Owner Trust, Ser 2011-B, Cl A3 | ||||||||
0.840%, 06/15/15 | 840 | 842 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2009-2, Cl A | ||||||||
1.799%, 09/15/14 (B) | 1,161 | 1,171 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2010-1, Cl B | ||||||||
2.499%, 12/15/14 (A) (B) | 1,934 | 1,963 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2010-1, Cl M15 | ||||||||
1.899%, 12/15/14 (A) (B) | 2,202 | 2,227 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2011-1, Cl A2 | ||||||||
0.849%, 02/15/16 (B) | 287 | 287 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2007-1, Cl B | ||||||||
5.370%, 01/15/14 | 717 | 718 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2007-2, Cl A4 | ||||||||
5.120%, 08/15/13 | 118 | 119 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2009-1, Cl A3 | ||||||||
3.190%, 11/15/13 | 651 | 653 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2009-2, Cl A3 | ||||||||
2.620%, 03/15/14 | 490 | 492 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2009-4, Cl A3 | ||||||||
1.870%, 02/15/14 | 635 | 637 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2010-1, Cl A3 | ||||||||
1.160%, 02/15/15 | 505 | 507 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2011-1, Cl A3 | ||||||||
0.960%, 05/16/16 | 1,886 | 1,883 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2011-2, Cl A2 | ||||||||
0.710%, 05/15/15 | 905 | 904 | ||||||
Hertz Vehicle Financing LLC, Ser 2009-2A, Cl A1 | ||||||||
4.260%, 03/25/14 (A) | 1,347 | 1,388 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Hertz Vehicle Financing LLC, Ser 2010-1A, Cl A1 | ||||||||
2.600%, 02/25/15 (A) | $ | 1,155 | $ | 1,165 | ||||
Hertz Vehicle Financing LLC, Ser 2011-1A, Cl A1 | ||||||||
2.200%, 03/25/16 (A) | 1,186 | 1,179 | ||||||
Honda Auto Receivables Owner Trust, Ser 2010-2, Cl A3 | ||||||||
1.340%, 03/18/14 | 650 | 653 | ||||||
Honda Auto Receivables Owner Trust, Ser 2010-3, Cl A3 | ||||||||
0.700%, 04/21/14 | 920 | 920 | ||||||
Honda Auto Receivables Owner Trust, Ser 2011-1, Cl A2 | ||||||||
0.650%, 06/17/13 | 659 | 659 | ||||||
Honda Auto Receivables Owner Trust, Ser 2011-2, Cl A3 | ||||||||
0.940%, 03/18/15 | 780 | 782 | ||||||
Huntington Auto Trust, Ser 2009-1A, Cl A4 | ||||||||
5.730%, 01/15/14 (A) | 1,055 | 1,077 | ||||||
Huntington Auto Trust, Ser 2011-1A, Cl A3 | ||||||||
1.010%, 01/15/16 (A) | 1,165 | 1,162 | ||||||
Hyundai Auto Lease Securitization Trust, Ser 2011-A, Cl A2 | ||||||||
0.690%, 11/15/13 (A) | 1,190 | 1,189 | ||||||
Hyundai Auto Receivables Trust, Ser 2009-A, Cl A3 | ||||||||
2.030%, 08/15/13 | 114 | 114 | ||||||
Hyundai Auto Receivables Trust, Ser 2010-A, Cl A3 | ||||||||
1.500%, 10/15/14 | 498 | 501 | ||||||
Hyundai Auto Receivables Trust, Ser 2010-B, Cl A3 | ||||||||
0.970%, 04/15/15 | 783 | 785 | ||||||
Hyundai Auto Receivables Trust, Ser 2011-A, Cl A2 | ||||||||
0.690%, 11/15/13 | 666 | 666 | ||||||
Hyundai Auto Receivables Trust, Ser 2011-B, Cl A2 | ||||||||
0.590%, 03/15/14 | 945 | 944 | ||||||
Hyundai Auto Receivables Trust, Ser 2011-C, Cl A3 | ||||||||
0.830%, 12/15/15 | 1,500 | 1,498 | ||||||
Mercedes-Benz Auto Lease Trust, Ser 2011-B, Cl A2 | ||||||||
0.900%, 01/15/14 (A) | 1,770 | 1,770 | ||||||
Mercedes-Benz Auto Receivables Trust, Ser 2011-1, Cl A3 | ||||||||
0.850%, 03/16/15 | 1,055 | 1,055 | ||||||
Navistar Financial Dealer Note Master Trust, Ser 2009-1, Cl A | ||||||||
1.707%, 10/26/15 (A) (B) | 3,100 | 3,119 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 121 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Duration Bond Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Navistar Financial Owner Trust, Ser 2010-A, Cl A3 | ||||||||
1.990%, 01/21/14 (A) | $ | 1,634 | $ | 1,644 | ||||
Navistar Financial Owner Trust, Ser 2010-A, Cl B | ||||||||
4.170%, 10/20/14 (A) | 337 | 339 | ||||||
Navistar Financial Owner Trust, Ser 2010-B, Cl A2 | ||||||||
0.810%, 01/18/13 (A) | 796 | 796 | ||||||
Nissan Auto Lease Trust, Ser 2010-B, Cl A2 | ||||||||
0.900%, 05/15/13 | 747 | 747 | ||||||
Nissan Auto Lease Trust, Ser 2011-A, Cl A3 | ||||||||
1.040%, 08/15/14 | 2,400 | 2,404 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2011-A, Cl A2 | ||||||||
0.650%, 12/16/13 | 885 | 887 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2011-B, Cl A2 | ||||||||
0.740%, 09/15/14 | 2,495 | 2,498 | ||||||
Santander Consumer Acquired Receivables Trust, Ser 2011-WO, Cl A2 | ||||||||
0.910%, 11/15/13 (A) | 560 | 560 | ||||||
Santander Drive Auto Receivables Trust, Ser 2010-2, Cl A3 | ||||||||
1.240%, 02/17/14 | 911 | 912 | ||||||
Santander Drive Auto Receivables Trust, Ser 2010-3, Cl A2 | ||||||||
0.930%, 06/17/13 | 345 | 345 | ||||||
Santander Drive Auto Receivables Trust, Ser 2011-1, Cl A2 | ||||||||
0.940%, 02/18/14 | 1,125 | 1,124 | ||||||
Toyota Auto Receivables Owner Trust, Ser 2010-B, Cl A3 | ||||||||
1.040%, 02/18/14 | 531 | 533 | ||||||
Toyota Auto Receivables Owner Trust, Ser 2010-C, Cl A3 | ||||||||
0.770%, 04/15/14 | 868 | 869 | ||||||
USAA Auto Owner Trust, Ser 2009-2, Cl A4 | ||||||||
2.530%, 07/15/15 | 70 | 71 | ||||||
Volkswagen Auto Lease Trust, Ser 2011-A, Cl A2 | ||||||||
1.000%, 02/20/14 | 1,935 | 1,935 | ||||||
Volkswagen Auto Loan Enhanced Trust, Ser 2010-1, Cl A3 | ||||||||
1.310%, 01/20/14 | 420 | 421 | ||||||
Volkswagen Auto Loan Enhanced Trust, Ser 2010-1, Cl A4 | ||||||||
2.140%, 08/22/16 | 1,805 | 1,836 | ||||||
World Omni Auto Receivables Trust, Ser 2008-A, Cl A4 | ||||||||
4.740%, 10/15/13 | 723 | 734 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
World Omni Auto Receivables Trust, Ser 2010-A, Cl A3 | ||||||||
1.340%, 12/16/13 | $ | 169 | $ | 170 | ||||
World Omni Automobile Lease Securitization Trust, Ser 2009-A, Cl A3 | ||||||||
1.650%, 02/15/13 | 135 | 135 | ||||||
World Omni Automobile Lease Securitization Trust, Ser 2011-A, Cl A2 | ||||||||
0.810%, 10/15/13 | 1,200 | 1,200 | ||||||
|
| |||||||
103,546 | ||||||||
|
| |||||||
Credit Cards — 3.1% | ||||||||
Cabela’s Master Credit Card Trust, Ser 2009-1A, Cl A | ||||||||
2.249%, 03/16/15 (A) (B) | 873 | 878 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2005-A7, Cl A7 | ||||||||
4.700%, 06/15/15 | 1,105 | 1,136 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2007-A8, Cl A8 | ||||||||
0.647%, 10/15/15 (B) | 754 | 755 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2007-C2, Cl C2 | ||||||||
0.549%, 11/17/14 (B) | 319 | 319 | ||||||
Citibank Omni Master Trust, Ser 2009-A12, Cl A12 | ||||||||
3.350%, 08/15/16 (A) | 3,000 | 3,049 | ||||||
Citibank Omni Master Trust, Ser 2009-A8, Cl A8 | ||||||||
2.348%, 05/16/16 (A) (B) | 3,000 | 3,023 | ||||||
Discover Card Master Trust, Ser 2009-A1, Cl A1 | ||||||||
1.549%, 12/15/14 (B) | 1,210 | 1,218 | ||||||
Discover Card Master Trust, Ser 2009-A2, Cl A | ||||||||
1.549%, 02/17/15 (B) | 1,625 | 1,639 | ||||||
Discover Card Master Trust, Ser 2011-A2, Cl A | ||||||||
0.459%, 11/16/15 (B) | 790 | 790 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2009-1, Cl A | ||||||||
2.349%, 04/15/15 (B) | 1,380 | 1,390 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2011-1, Cl A | ||||||||
0.799%, 01/15/17 (B) | 857 | 863 | ||||||
|
| |||||||
15,060 | ||||||||
|
| |||||||
Mortgage Related Securities — 0.1% | ||||||||
Option One Mortgage Loan Trust, Ser 2003-3, Cl A2 | ||||||||
0.857%, 06/25/33 (B) | 53 | 42 | ||||||
Option One Mortgage Loan Trust, Ser 2005-5, Cl A3 | ||||||||
0.467%, 12/25/35 (B) | 321 | 251 |
122 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Option One Mortgage Loan Trust, Ser 2007-FXD1, Cl 3A3 | ||||||||
5.611%, 01/25/37 (B) | $ | 177 | $ | 77 | ||||
|
| |||||||
370 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 4.4% |
| |||||||
ACAS Business Loan Trust, Ser 2005-1A, Cl A1 | ||||||||
0.668%, 07/25/19 (A) (B) | 29 | 29 | ||||||
ACAS Business Loan Trust, Ser 2007-1A, Cl C | ||||||||
1.311%, 08/16/19 (A) (B) | 412 | 302 | ||||||
Babson CLO, Ser 2007-1A, Cl A1 | ||||||||
0.630%, 01/18/21 (A) (B) | 653 | 596 | ||||||
CapitalSource Commercial Loan Trust, Ser 2006-1A, Cl C | ||||||||
0.805%, 08/22/16 (A) (B) | 92 | 90 | ||||||
CIT Equipment Collateral, Ser 2009-VT1, Cl A3 | ||||||||
3.070%, 08/15/16 (A) | 27 | 27 | ||||||
CNH Equipment Trust, Ser 2009-B, Cl A4 | ||||||||
5.170%, 10/15/14 | 666 | 682 | ||||||
CNH Equipment Trust, Ser 2010-C, Cl A3 | ||||||||
1.170%, 05/15/15 | 806 | 807 | ||||||
CNH Equipment Trust, Ser 2011-A, Cl A2 | ||||||||
0.620%, 06/16/14 | 585 | 584 | ||||||
CNH Wholesale Master Note Trust, Ser 2011-1A, Cl A | ||||||||
1.049%, 12/15/15 (A) (B) | 2,223 | 2,225 | ||||||
Colts Trust, Ser 2006-2A, Cl A | ||||||||
0.631%, 12/20/18 (A) (B) | 67 | 66 | ||||||
Countrywide Asset-Backed Certificates, Ser 2006-2, Cl 2A2 | ||||||||
0.447%, 06/25/36 (B) | 165 | 127 | ||||||
Dominos Pizza Master Issuer LLC, Ser 2007-1, Cl A2 | ||||||||
5.261%, 04/25/37 (A) | 2,250 | 2,266 | ||||||
GE Dealer Floorplan Master Note Trust, Ser 2009-2A, Cl A | ||||||||
1.799%, 10/20/14 (A) (B) | 2,882 | 2,908 | ||||||
GE Equipment Midticket LLC, Ser 2010-1, Cl A3 | ||||||||
0.940%, 07/14/14 (A) | 1,221 | 1,221 | ||||||
GE Equipment Small Ticket LLC, Ser 2011-1A, Cl A2 | ||||||||
0.880%, 08/21/13 (A) | 941 | 941 | ||||||
GE Equipment Transportation LLC, Ser 2011-1, Cl A4 | ||||||||
1.330%, 05/20/19 | 670 | 672 | ||||||
John Deere Owner Trust, Ser 2009-B, Cl A3 | ||||||||
1.570%, 10/15/13 | 396 | 396 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
John Deere Owner Trust, Ser 2009-B, Cl A4 | ||||||||
2.330%, 05/16/16 | $ | 840 | $ | 848 | ||||
John Deere Owner Trust, Ser 2011-A, Cl A2 | ||||||||
0.640%, 06/16/14 | 505 | 505 | ||||||
Katonah, Ser 2005-7A, Cl B | ||||||||
0.877%, 11/15/17 (A) (B) | 696 | 526 | ||||||
Lambda Finance, Ser 2005-1A, Cl B3 | ||||||||
0.823%, 11/15/29 (A) (B) | 488 | 472 | ||||||
Madison Park Funding I, Ser 2007-4A, Cl A1B | ||||||||
0.655%, 03/22/21 (A) (B) | 580 | 458 | ||||||
Morgan Stanley ABS Capital I, Ser 2006-WMC1, Cl A2B | ||||||||
0.457%, 12/25/35 (B) | 105 | 101 | ||||||
Prima Capital CDO, Ser 2006-1, Cl A | ||||||||
5.417%, 12/28/48 (A) | 270 | 264 | ||||||
Sierra Receivables Funding LLC, Ser 2007-2A, Cl A2 | ||||||||
1.255%, 09/20/19 (A) (B) | 115 | 112 | ||||||
SLM Student Loan Trust, Ser 2005-8, Cl A2 | ||||||||
0.508%, 07/25/22 (B) | 869 | 867 | ||||||
SLM Student Loan Trust, Ser 2006-4, Cl A4 | ||||||||
0.498%, 04/25/23 (B) | 533 | 531 | ||||||
SLM Student Loan Trust, Ser 2007-2, Cl A2 | ||||||||
0.418%, 07/25/17 (B) | 516 | 512 | ||||||
SLM Student Loan Trust, Ser 2008-5, Cl A2 | ||||||||
1.518%, 10/25/16 (B) | 877 | 883 | ||||||
SLM Student Loan Trust, Ser 2011-A, Cl A1 | ||||||||
1.249%, 10/15/24 (A) (B) | 287 | 286 | ||||||
SLM Student Loan Trust, Ser 2011-B, Cl A1 | ||||||||
1.099%, 12/16/24 (A) (B) | 884 | 874 | ||||||
|
| |||||||
21,178 | ||||||||
|
| |||||||
Total Asset-Backed Securities (Cost $140,455) ($ Thousands) | 140,154 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 21.4% |
| |||||||
FFCB | ||||||||
1.875%, 12/07/12 | 19,700 | 20,020 | ||||||
FHLB | ||||||||
4.625%, 08/15/12 | 1,570 | 1,619 | ||||||
2.000%, 09/14/12 | 13,500 | 13,685 | ||||||
1.625%, 09/26/12 | 2,300 | 2,326 | ||||||
0.875%, 08/22/12 | 2,510 | 2,521 | ||||||
0.400%, 06/19/13 | 4,500 | 4,501 | ||||||
0.350%, 07/25/12 | 4,000 | 4,000 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 123 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Duration Bond Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC | ||||||||
1.625%, 04/15/13 | $ | 2,612 | $ | 2,658 | ||||
1.125%, 07/27/12 | 5,000 | 5,029 | ||||||
0.625%, 12/28/12 | 4,000 | 4,016 | ||||||
0.515%, 11/26/12 | 15,000 | 15,043 | ||||||
0.375%, 11/30/12 | 5,000 | 5,010 | ||||||
FNMA | ||||||||
4.375%, 09/15/12 | 5,000 | 5,164 | ||||||
1.750%, 08/10/12 | 2,155 | 2,178 | ||||||
1.000%, 12/27/12 | 4,000 | 4,032 | ||||||
0.500%, 10/30/12 to 10/30/12 | 6,800 | 6,815 | ||||||
0.375%, 12/28/12 | 4,000 | 4,009 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations (Cost $102,568) ($ Thousands) | 102,626 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 15.4% |
| |||||||
Agency Mortgage-Backed Obligations — 9.4% |
| |||||||
FHLMC ARM (B) | ||||||||
2.264%, 02/01/30 | 277 | 291 | ||||||
2.263%, 02/01/22 | 389 | 409 | ||||||
FHLMC CMO, Ser 1993-1599, Cl C | ||||||||
6.100%, 10/15/23 | 49 | 51 | ||||||
FHLMC CMO, Ser 2003-2630, Cl HA | ||||||||
3.000%, 01/15/17 | 24 | 24 | ||||||
FHLMC CMO, Ser 2004-2791, Cl UD | ||||||||
5.000%, 05/15/18 | 314 | 321 | ||||||
FHLMC CMO, Ser 2005-2921, Cl NV | ||||||||
4.500%, 01/15/29 | 11 | 11 | ||||||
FHLMC TBA | ||||||||
4.000%, 12/15/40 | 10,000 | 10,402 | ||||||
FNMA | ||||||||
6.000%, 01/01/27 to 04/01/40 | 4,150 | 4,556 | ||||||
5.000%, 04/01/21 to 03/01/25 | 7,038 | 7,587 | ||||||
FNMA ARM (B) | ||||||||
2.465%, 01/01/29 | 35 | 37 | ||||||
2.400%, 11/01/23 | 121 | 124 | ||||||
2.360%, 11/01/25 | 36 | 38 | ||||||
2.117%, 09/01/24 | 210 | 218 | ||||||
2.105%, 05/01/28 | 230 | 239 | ||||||
2.055%, 09/01/24 | 81 | 83 | ||||||
1.332%, 11/01/21 | 54 | 54 | ||||||
FNMA CMO, Ser 1993-220, Cl FA | ||||||||
0.881%, 11/25/13 (B) | 16 | 16 | ||||||
FNMA CMO, Ser 1993-58, Cl H | ||||||||
5.500%, 04/25/23 | 63 | 69 | ||||||
FNMA CMO, Ser 2001-33, Cl FA | ||||||||
0.707%, 07/25/31 (B) | 76 | 76 | ||||||
FNMA CMO, Ser 2002-64, Cl FG | ||||||||
0.502%, 10/18/32 (B) | 51 | 51 | ||||||
FNMA CMO, Ser 2004-21, Cl QD | ||||||||
4.500%, 02/25/29 | 529 | 538 | ||||||
FNMA TBA | ||||||||
3.000%, 12/25/26 | 14,000 | 14,339 | ||||||
NCUA Guaranteed Notes | ||||||||
0.268%, 06/12/13 (B) | 765 | 764 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
NCUA Guaranteed Notes CMO, Ser 2010-R1, Cl 1A | ||||||||
0.695%, 10/07/20 (B) | $ | 1,585 | $ | 1,587 | ||||
NCUA Guaranteed Notes CMO, Ser 2010-R1, Cl 2A | ||||||||
1.840%, 10/07/20 | 105 | 106 | ||||||
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 1A | ||||||||
0.615%, 11/06/17 (B) | 392 | 392 | ||||||
NCUA Guaranteed Notes CMO, Ser 2011-R1, Cl 1A | ||||||||
0.695%, 01/08/20 (B) | 317 | 318 | ||||||
NCUA Guaranteed Notes CMO, Ser 2011-R2, Cl 1A | ||||||||
0.645%, 02/06/20 (B) | 507 | 507 | ||||||
NCUA Guaranteed Notes CMO, Ser 2011-R4, Cl 1A | ||||||||
0.625%, 03/06/20 (B) | 688 | 688 | ||||||
NCUA Guaranteed Notes CMO, Ser 2011-R6, Cl 1A | ||||||||
0.625%, 05/07/20 (B) | 1,086 | 1,086 | ||||||
|
| |||||||
44,982 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 6.0% |
| |||||||
American Tower Trust, Ser 2007-1A, Cl AFX | ||||||||
5.420%, 04/15/37 (A) | 700 | 744 | ||||||
Arkle Master Issuer, Ser 2010-2A, Cl 1A1 | ||||||||
1.866%, 05/17/60 (A) (B) | 956 | 954 | ||||||
Banc of America Large Loan, | ||||||||
0.759%, 08/15/29 (A) (B) | 199 | 186 | ||||||
Banc of America Mortgage Securities, Ser 2005-A, Cl 2A2 | ||||||||
2.883%, 02/25/35 (B) | 476 | 402 | ||||||
Banc of America Mortgage Securities, Ser 2005-F, Cl 2A2 | ||||||||
2.871%, 07/25/35 (B) | 807 | 611 | ||||||
Banc of America Mortgage Securities, Ser 2005-H, Cl 2A1 | ||||||||
2.764%, 09/25/35 (B) | 255 | 201 | ||||||
Banc of America Mortgage Securities, Ser 2005-J, Cl 2A1 | ||||||||
2.758%, 11/25/35 (B) | 96 | 74 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-12, Cl 11A1 | ||||||||
2.784%, 02/25/36 (B) | 223 | 145 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-3, Cl 2A1 | ||||||||
2.691%, 06/25/35 (B) | 304 | 214 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-6, Cl 3A1 | ||||||||
2.695%, 08/25/35 (B) | 492 | 291 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser PW18, Cl A2 | ||||||||
5.613%, 06/11/50 | 469 | 485 |
124 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bear Stearns Commercial Mortgage Securities, Ser T26, Cl A2 | ||||||||
5.330%, 01/12/45 | $ | 193 | $ | 194 | ||||
Citigroup Mortgage Loan Trust, | ||||||||
2.802%, 09/25/34 (B) | 149 | 137 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
2.783%, 03/25/36 (B) | 415 | 288 | ||||||
Commercial Mortgage Acceptance, | ||||||||
5.440%, 09/15/30 (A) (B) | 355 | 369 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2006-FL12, Cl A2 | ||||||||
0.349%, 12/15/20 (A) (B) | 566 | 550 | ||||||
Countrywide Alternative Loan Trust, Ser 2007-HY5R, Cl 2A1A | ||||||||
5.544%, 03/25/47 (B) | 321 | 309 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-29, Cl 1A1 | ||||||||
0.797%, 02/25/35 (B) | 55 | 44 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-7, Cl 1A1 | ||||||||
0.527%, 03/25/35 (B) | 88 | 67 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-HY10, Cl 3A1A | ||||||||
2.719%, 02/20/36 (B) | 409 | 229 | ||||||
GMAC Commercial Mortgage Securities, Ser 2004-C3, Cl A4 | ||||||||
4.547%, 12/10/41 | 95 | 96 | ||||||
GMAC Mortgage Loan Trust, Ser 2005-AR6, Cl 2A1 | ||||||||
3.082%, 11/19/35 (B) | 433 | 274 | ||||||
GS Mortgage Securities II, Ser 2007-EOP, Cl A1 | ||||||||
1.143%, 03/06/20 (A) (B) | 818 | 812 | ||||||
GS Mortgage Securities II, Ser 2007-EOP, Cl A3 | ||||||||
1.535%, 03/06/20 (A) (B) | 1,016 | 1,004 | ||||||
GS Mortgage Securities II, Ser GC3, Cl A1 | ||||||||
2.331%, 03/10/44 (A) | 1,238 | 1,265 | ||||||
GS Mortgage Securities II, Ser GG10, Cl A2 | ||||||||
5.778%, 08/10/45 (B) | 1,025 | 1,043 | ||||||
GSR Mortgage Loan Trust, Ser 2005-AR4, Cl 2A1 | ||||||||
2.678%, 07/25/35 (B) | 559 | 384 | ||||||
GSR Mortgage Loan Trust, Ser 2006-AR1, Cl 2A1 | ||||||||
2.706%, 01/25/36 (B) | 701 | 486 | ||||||
GSR Mortgage Loan Trust, Ser 2007-AR2, Cl 1A1 | ||||||||
5.398%, 05/25/47 (B) | 545 | 323 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Impac CMB Trust, Ser 2004-9, Cl 1A1 | ||||||||
1.017%, 01/25/35 (B) | $ | 142 | $ | 94 | ||||
Impac CMB Trust, Ser 2005-2, Cl 1A1 | ||||||||
0.777%, 04/25/35 (B) | 154 | 121 | ||||||
Impac CMB Trust, Ser 2005-3, Cl A1 | ||||||||
0.737%, 08/25/35 (B) | 142 | 85 | ||||||
Impac CMB Trust, Ser 2005-5, Cl A1 | ||||||||
0.897%, 08/25/35 (B) | 114 | 67 | ||||||
Impac CMB Trust, Ser 2005-8, Cl 1A | ||||||||
0.517%, 02/25/36 (B) | 368 | 238 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C4, Cl A1 | ||||||||
1.525%, 07/15/46 (A) | 775 | 773 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser LDP4, Cl A3A2 | ||||||||
4.903%, 10/15/42 | 2,000 | 2,019 | ||||||
JPMorgan Mortgage Trust, Ser 2005-A6, Cl 7A1 | ||||||||
2.718%, 08/25/35 (B) | 321 | 219 | ||||||
JPMorgan Mortgage Trust, Ser 2007-A3, Cl 1A1 | ||||||||
4.312%, 05/25/37 (B) | 446 | 296 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2002-C1, Cl A4 | ||||||||
6.462%, 03/15/31 | 203 | 204 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2002-C4, Cl A5 | ||||||||
4.853%, 09/15/31 | 871 | 885 | ||||||
Merrill Lynch Mortgage Investors, Ser 2005-A2, Cl A2 | ||||||||
2.625%, 02/25/35 (B) | 855 | 761 | ||||||
Merrill Lynch Mortgage Investors, Ser 2005-A3, Cl A1 | ||||||||
0.527%, 04/25/35 (B) | 165 | 118 | ||||||
Merrill Lynch Mortgage Trust, Ser 2004-BPC1, Cl A5 | ||||||||
4.855%, 10/12/41 (B) | 871 | 930 | ||||||
Merrill Lynch Mortgage-Backed Securities Trust, Ser 2007-3, Cl 2A1 | ||||||||
5.011%, 06/25/37 (B) | 613 | 376 | ||||||
MLCC Mortgage Investors, Ser 2004-G, Cl A1 | ||||||||
0.817%, 01/25/30 (B) | 44 | 37 | ||||||
MLCC Mortgage Investors, Ser 2005-A, Cl A1 | ||||||||
0.487%, 03/25/30 (B) | 65 | 53 | ||||||
Morgan Stanley Capital I, Ser 2004-T13, Cl A4 | ||||||||
4.660%, 09/13/45 | 1,277 | 1,337 | ||||||
Morgan Stanley Capital I, Ser 2006-HQ9, Cl A2 | ||||||||
5.618%, 07/12/44 | 145 | 145 | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2001-TOP3, Cl A4 | ||||||||
6.390%, 07/15/33 | 42 | 42 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 125 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Duration Bond Fund (Continued)
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2002-IQ2, Cl A4 | ||||||||
5.740%, 12/15/35 | $ | 120 | $ | 122 | ||||
MortgageIT Trust, Ser 2005-2, Cl 1A1 | ||||||||
0.517%, 05/25/35 (B) | 118 | 88 | ||||||
MortgageIT Trust, Ser 2005-3, Cl A1 | ||||||||
0.557%, 08/25/35 (B) | 416 | 301 | ||||||
MortgageIT Trust, Ser 2005-4, Cl A1 | ||||||||
0.537%, 10/25/35 (B) | 539 | 388 | ||||||
MortgageIT Trust, Ser 2005-5, Cl A1 | ||||||||
0.517%, 12/25/35 (B) | 508 | 311 | ||||||
Nomura Asset Securities, Ser 1998-D6, Cl A1C | ||||||||
6.690%, 03/15/30 | 304 | 311 | ||||||
Paragon Mortgages, Ser 2006-12A, Cl A2C | ||||||||
0.677%, 11/15/38 (A) (B) | 180 | 136 | ||||||
Paragon Mortgages, Ser 2007-15A, Cl A2C | ||||||||
0.457%, 12/15/39 (A) (B) | 434 | 307 | ||||||
Permanent Master Issuer, Ser 2010-1A, Cl 1A | ||||||||
1.553%, 07/15/42 (A) (B) | 557 | 555 | ||||||
Residential Funding Mortgage Securities, Ser 2005-SA5, Cl 2A | ||||||||
3.097%, 11/25/35 (B) | 284 | 175 | ||||||
Residential Funding Mortgage Securities, Ser 2007-SA3, Cl 2A1 | ||||||||
5.681%, 07/27/37 (B) | 473 | 298 | ||||||
Sequoia Mortgage Trust, Ser 2004-12, Cl A1 | ||||||||
0.525%, 01/20/35 (B) | 60 | 46 | ||||||
Sequoia Mortgage Trust, Ser 2005-1, Cl A1 | ||||||||
0.485%, 02/20/35 (B) | 60 | 48 | ||||||
TIAA Seasoned Commercial Mortgage Trust, Ser 2007-C4, Cl A2 | ||||||||
5.458%, 08/15/39 (B) | 733 | 745 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR2, Cl 1A1 | ||||||||
2.539%, 03/25/36 (B) | 584 | 403 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2011-C3, Cl A1 | ||||||||
1.988%, 03/15/44 (A) | 866 | 876 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-BB, Cl A2 | ||||||||
2.706%, 01/25/35 (B) | 331 | 272 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR1, Cl 2A1 | ||||||||
2.729%, 02/25/35 (B) | 279 | 227 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 3A2 | ||||||||
2.689%, 10/25/35 (B) | 451 | 406 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 6A3 | ||||||||
2.720%, 10/25/35 (B) | 717 | 619 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR4, Cl 2A2 | ||||||||
2.736%, 04/25/35 (B) | $ | 231 | $ | 213 | ||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR10, Cl 2A1 | ||||||||
2.734%, 07/25/36 (B) | 520 | 314 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR12, Cl 1A1 | ||||||||
2.742%, 09/25/36 (B) | 395 | 263 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR5, Cl 2A1 | ||||||||
2.728%, 04/25/36 (B) | 406 | 292 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR6, Cl 3A1 | ||||||||
2.705%, 03/25/36 (B) | 496 | 389 | ||||||
|
| |||||||
29,086 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities |
| 74,068 | ||||||
|
| |||||||
MUNICIPAL BONDS — 1.6% |
| |||||||
County of Alameda California, Ser B, RB, NATL-RE | ||||||||
2.889%, 12/01/11 (C) | 870 | 870 | ||||||
Kalamazoo Hospital Finance Authority, Ser B, RB | ||||||||
3.125%, 05/15/41 (B) | 1,270 | 1,269 | ||||||
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 | 809 | 802 | ||||||
New Jersey Economic Development Authority, Build America Project, RB | ||||||||
1.347%, 06/15/13 (B) | 580 | 580 | ||||||
New Jersey State Turnpike Authority, Ser B, RB, AMBAC | ||||||||
4.252%, 01/01/16 | 2,500 | 2,573 | ||||||
University of California, Build America Project, RB | ||||||||
1.988%, 05/15/50 (B) | 515 | 524 | ||||||
West Virginia Economic Development Authority, Ser A, AMT, RB | ||||||||
2.000%, 01/01/41 (B) | 250 | 251 | ||||||
|
| |||||||
Total Municipal Bonds | 7,739 | |||||||
|
| |||||||
SOVEREIGN DEBT — 0.1% |
| |||||||
Republic of Austria MTN | ||||||||
2.000%, 11/15/12 (A) | 647 | 656 | ||||||
|
| |||||||
Total Sovereign Debt (Cost $654) ($ Thousands) | 656 | |||||||
|
|
126 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands)/ Shares | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 2.9% |
| |||||||
U.S. Treasury Notes | ||||||||
0.500%, 11/30/12 | $ | 10,000 | $ | 10,034 | ||||
0.375%, 08/31/12 | 4,100 | 4,108 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 14,142 | |||||||
|
| |||||||
CERTIFICATES OF DEPOSIT — 1.0% |
| |||||||
Bank of Nova Scotia | ||||||||
0.762%, 11/26/12 (B) | 1,074 | 1,073 | ||||||
Canadian Imperial Bank of Commerce NY | ||||||||
0.633%, 05/04/12 | 1,161 | 1,161 | ||||||
0.420%, 06/29/12 | 1,800 | 1,799 | ||||||
Intesa Sanpaolo NY | ||||||||
2.375%, 12/21/12 | 871 | 778 | ||||||
|
| |||||||
Total Certificates of Deposit | 4,811 | |||||||
|
| |||||||
CASH EQUIVALENT — 0.0% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.040%†* | 16,342 | 16 | ||||||
|
| |||||||
Total Cash Equivalent | 16 | |||||||
|
| |||||||
Total Investments — 103.8% | $ | 498,560 | ||||||
|
|
The open futures contracts held by the Fund at November 30, 2011 is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Net Unrealized Appreciation ($ Thousands) | |||||||||
U.S. 5-Year Treasury Note | 5 | Mar-2012 | $ | — | ||||||||
U.S. 2-Year Treasury Note | 43 | Apr-2012 | 1 | |||||||||
U.S. 10-Year Treasury Note | (72 | ) | Mar-2012 | 20 | ||||||||
|
| |||||||||||
$ | 21 | |||||||||||
|
|
For the period ended November 30, 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.
Percentages are based on a Net Assets of $480,088 ($ Thousands)
* | The rate reported is the 7-day effective yield as of November 30, 2011. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 5). |
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(B) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of November 30, 2011. The date reported on the Schedule of Investments is the final maturity date. |
(C) | The rate reported on the Schedule of Investments is the effective yield at time of purchase. |
ABS | — Asset-Based Security |
AMBAC | — American Municipal Bond Assurance Corporation |
AMT | — Alternative Minimum Tax |
ARM | — Adjustable Rate Mortgage |
CDO | — Collateralized Debt Obligation |
Cl | — Class |
CLO | — Collateralized Loan Obligation |
CMO | — Collateralized Mortgage Obligation |
FFCB | — Federal Farm Credit Bank |
FHLB | — Federal Home Loan Bank |
FHLMC | — Federal Home Loan Mortgage Corporation |
FNMA | — Federal National Mortgage Association |
LLC | — Limited Liability Company |
MTN | — Medium Term Note |
NATL-RE | — National Public Finance Guarantee Corporation |
NCUA | — National Credit Union Association |
NY | — New York |
RB | — Revenue Bond |
Ser | — Series |
TBA | — To Be Announced |
The following is a summary of the inputs used as of November 30, 2011, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 154,348 | $ | — | $ | 154,348 | ||||||||
Asset-Backed Securities | — | 139,326 | 828 | 140,154 | ||||||||||||
U.S. Government Agency Obligations | — | 102,626 | — | 102,626 | ||||||||||||
Mortgage-Backed Securities | — | 74,068 | — | 74,068 | ||||||||||||
Municipal Bonds | — | 7,739 | — | 7,739 | ||||||||||||
Sovereign Debt | — | 656 | — | 656 | ||||||||||||
U.S. Treasury Obligations | — | 14,142 | — | 14,142 | ||||||||||||
Certificates of Deposit | — | 4,811 | — | 4,811 | ||||||||||||
Cash Equivalent | 16 | — | — | 16 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 16 | $ | 497,716 | $ | 828 | $ | 498,560 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 21 | $ | — | $ | — | $ | 21 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 21 | $ | — | $ | — | $ | 21 | ||||||||
|
|
|
|
|
|
|
|
* | 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 Asset-Backed Securities | ||||
Beginning balance as of June 1, 2011 | $ | 1,540 | ||
Accrued discounts/premiums | 11 | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | (30 | ) | ||
Net purchases/sales | — | |||
Net transfer in and/or out of Level 3 | (693 | ) | ||
|
| |||
Ending balance as of November 30, 2011 | $ | 828 | ||
|
| |||
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date | $ | (19 | ) | |
|
|
For the period ended November 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30,2011, 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.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 127 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund
November 30, 2011
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
GLOBAL BONDS — 95.4% |
| |||||||||||
Argentina — 3.8% |
| |||||||||||
Capex | ||||||||||||
10.000%, 03/10/18 (A) | 594 | $ | 478 | |||||||||
Empresa Distribuidora Y Comercializadora Norte | ||||||||||||
9.750%, 10/25/22 (A) | 680 | 551 | ||||||||||
IRSA Inversiones y Representaciones | ||||||||||||
11.500%, 07/20/20 (A) | 416 | 422 | ||||||||||
Provincia de Buenos Aires | ||||||||||||
9.625%, 04/18/28 | 535 | 329 | ||||||||||
9.625%, 04/18/28 (A) | 1,160 | 708 | ||||||||||
9.375%, 09/14/18 | 1,000 | 725 | ||||||||||
Provincia de Mendoza Argentina | ||||||||||||
5.500%, 09/04/18 | 262 | 218 | ||||||||||
Provincia de Neuquen Argentina | ||||||||||||
8.656%, 10/18/14 (A) | 102 | 106 | ||||||||||
Republic of Argentina | ||||||||||||
8.750%, 06/02/17 | 740 | 651 | ||||||||||
8.280%, 12/31/33 | 2,026 | 1,469 | ||||||||||
7.820%, 12/31/33 | EUR | 10,339 | 8,212 | |||||||||
7.820%, 12/31/33 (B) | EUR | 7,596 | 5,854 | |||||||||
7.000%, 10/03/15 | 4,120 | 3,549 | ||||||||||
7.000%, 10/03/15 | 2,187 | 1,914 | ||||||||||
6.000%, 03/31/23 (C) | 172 | 115 | ||||||||||
5.830%, 12/31/33 (B) | ARS | 6,959 | 1,849 | |||||||||
3.117%, 12/15/35 (B) | 5,430 | 831 | ||||||||||
2.848%, 12/15/35 (B) | EUR | 14,426 | 1,845 | |||||||||
2.500%, 03/31/19 (D) | 14,299 | 4,869 | ||||||||||
2.151%, 12/31/33 | 1,568 | 1,089 | ||||||||||
0.467%, 08/03/12 (B) | 8,110 | 982 | ||||||||||
0.000%, 03/31/23 (B) (C) | 1,680 | 1,008 | ||||||||||
Tarjeta Naranja | ||||||||||||
9.000%, 01/28/17 (A) | 93 | 91 | ||||||||||
Transportadora Gas Norte | ||||||||||||
7.500%, 12/31/12 (A) (C) | 210 | 111 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
7.500%, 12/31/12 (C) | 350 | $ | 186 | |||||||||
7.500%, 12/31/12 (C) | 100 | 53 | ||||||||||
6.500%, 12/31/12 (A) (C) | 30 | 16 | ||||||||||
6.500%, 12/31/12 (C) | 60 | 32 | ||||||||||
6.500%, 12/31/12 (C) | 60 | 32 | ||||||||||
WPE International Tief | ||||||||||||
10.375%, 09/30/20 | 500 | 430 | ||||||||||
10.375%, 09/30/20 (A) | 750 | 645 | ||||||||||
|
| |||||||||||
39,370 | ||||||||||||
|
| |||||||||||
Australia — 0.0% |
| |||||||||||
Mirabela Nickel | ||||||||||||
8.750%, 04/15/18 (A) | 241 | 215 | ||||||||||
|
| |||||||||||
Bahrain — 0.1% |
| |||||||||||
Kingdom of Bahrain | ||||||||||||
5.500%, 03/31/20 | 350 | 325 | ||||||||||
5.500%, 03/31/20 (A) | 1,299 | 1,207 | ||||||||||
|
| |||||||||||
1,532 | ||||||||||||
|
| |||||||||||
Barbados — 0.3% |
| |||||||||||
Columbus International | ||||||||||||
11.500%, 11/20/14 | 1,133 | 1,167 | ||||||||||
11.500%, 11/20/14 (A) | 1,800 | 1,854 | ||||||||||
Government of Barbados | ||||||||||||
7.000%, 08/04/22 (A) | 350 | 345 | ||||||||||
|
| |||||||||||
3,366 | ||||||||||||
|
| |||||||||||
Belarus — 0.2% |
| |||||||||||
Republic of Belarus | ||||||||||||
8.950%, 01/26/18 | 1,250 | 1,062 | ||||||||||
8.750%, 08/03/15 | 1,450 | 1,240 | ||||||||||
|
| |||||||||||
2,302 | ||||||||||||
|
| |||||||||||
Belize — 0.0% |
| |||||||||||
Government of Belize | ||||||||||||
6.000%, 02/20/29 (D) | 130 | 77 | ||||||||||
|
| |||||||||||
Bosnia and Herzegovina — 0.1% |
| |||||||||||
Republic of Bosnia & Herzegovina | ||||||||||||
2.063%, 12/11/21 (B) | DEM | 1,750 | 819 | |||||||||
|
| |||||||||||
Brazil — 9.1% |
| |||||||||||
Banco Cruzeiro do Sul | ||||||||||||
8.875%, 09/22/20 | 424 | 293 | ||||||||||
8.875%, 09/22/20 (A) (E) | 1,334 | 920 | ||||||||||
Banco Nacional de Desenvolvimento Economico e Social | ||||||||||||
6.500%, 06/10/19 (A) | 1,550 | 1,749 | ||||||||||
5.500%, 07/12/20 (A) | 500 | 533 | ||||||||||
BM&F Bovespa | ||||||||||||
5.500%, 07/16/20 (A) | 806 | 818 |
128 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
BR Malls International Finance | ||||||||||||
8.500%, 12/31/49 (A) | 417 | $ | 432 | |||||||||
BR Properties | ||||||||||||
9.000%, 12/31/49 (A) | 580 | 580 | ||||||||||
Brazil Notas do Tesouro Nacional Serie B | ||||||||||||
6.000%, 05/15/15 | BRL | 7,400 | 8,899 | |||||||||
6.000%, 08/15/20 | BRL | 1,900 | 2,294 | |||||||||
Brazil Notas do Tesouro Nacional Serie F | ||||||||||||
10.000%, 01/01/13 | BRL | 12,100 | 6,733 | |||||||||
10.000%, 01/01/14 | BRL | 8,565 | 4,750 | |||||||||
10.000%, 01/01/21 | BRL | 13,415 | 6,992 | |||||||||
Citigroup, CLN (Nota do Tesouro Nacional) | ||||||||||||
10.000%, 01/01/21 | BRL | 4,800 | 2,502 | |||||||||
Federal Republic of Brazil | ||||||||||||
12.500%, 01/05/16 | BRL | 1,980 | 1,294 | |||||||||
12.500%, 01/05/16 | BRL | 550 | 359 | |||||||||
12.500%, 01/05/22 | BRL | 2,100 | 1,491 | |||||||||
11.000%, 08/17/40 | 100 | 131 | ||||||||||
10.250%, 01/10/28 | BRL | 2,360 | 1,493 | |||||||||
10.125%, 05/15/27 | 2,602 | 4,215 | ||||||||||
8.875%, 04/15/24 | 1,585 | 2,346 | ||||||||||
8.750%, 02/04/25 | 1,509 | 2,226 | ||||||||||
8.250%, 01/20/34 | 4,585 | 6,751 | ||||||||||
7.125%, 01/20/37 | 3,718 | 4,973 | ||||||||||
5.875%, 01/15/19 | 950 | 1,108 | ||||||||||
5.625%, 01/07/41 | 1,419 | 1,607 | ||||||||||
4.875%, 01/22/21 | 9,751 | 10,799 | ||||||||||
Fibria Overseas Finance | ||||||||||||
7.500%, 05/04/20 (A) | 1,597 | 1,565 | ||||||||||
General Shopping Finance | ||||||||||||
10.000%, 12/31/49 (A) | 66 | 66 | ||||||||||
Hypermarcas | ||||||||||||
6.500%, 04/20/21 (A) | 1,318 | 1,147 | ||||||||||
JBS Finance | ||||||||||||
8.250%, 01/29/18 | 1,900 | 1,701 | ||||||||||
8.250%, 01/29/18 (A) | 2,110 | 1,888 | ||||||||||
JPMorgan Chase, CLN (Nota do Tesouro Nacional) | ||||||||||||
10.000%, 01/01/21 | 3,800 | 1,981 | ||||||||||
Marfrig Holding Europe | ||||||||||||
8.375%, 05/09/18 | 842 | 606 | ||||||||||
Marfrig Overseas | ||||||||||||
9.500%, 05/04/20 | 1,000 | 720 | ||||||||||
Minerva Overseas | ||||||||||||
10.875%, 11/15/19 | 363 | 312 | ||||||||||
10.875%, 11/15/19 (A) | 164 | 141 | ||||||||||
NET Servicos de Comunicacao | ||||||||||||
7.500%, 01/27/20 | 200 | 228 | ||||||||||
Odebrecht Drilling Norbe VIII | ||||||||||||
6.350%, 06/30/21 (A) | 897 | 922 | ||||||||||
6.350%, 06/30/21 (A) | 510 | 524 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
OGX Petroleo e Gas Participacoes | ||||||||||||
8.500%, 06/01/18 (A) | 1,553 | $ | 1,475 | |||||||||
QGOG Atlantic | ||||||||||||
5.250%, 07/30/18 (A) | 1,816 | 1,784 | ||||||||||
Telemar Norte Leste | ||||||||||||
5.500%, 10/23/20 (A) | 1,201 | 1,177 | ||||||||||
Virgolino de Oliveira Finance | ||||||||||||
10.500%, 01/28/18 | 216 | 206 | ||||||||||
Voto-Votorantim | ||||||||||||
6.750%, 04/05/21 (A) | 365 | 383 | ||||||||||
Voto-Votorantim Overseas Trading Operations | ||||||||||||
6.625%, 09/25/19 (A) | 600 | 632 | ||||||||||
|
| |||||||||||
93,746 | ||||||||||||
|
| |||||||||||
Chile — 0.8% |
| |||||||||||
Banco del Estado de Chile | ||||||||||||
4.125%, 10/07/20 | 500 | 509 | ||||||||||
4.125%, 10/07/20 (A) | 350 | 356 | ||||||||||
BRT Escrow | ||||||||||||
8.000%, 08/18/18 (A) | 1,200 | 947 | ||||||||||
Chile Government International Bond | ||||||||||||
3.250%, 09/14/21 | 650 | 652 | ||||||||||
Empresa Nacional del Petroleo | ||||||||||||
6.250%, 07/08/19 (A) | 900 | 996 | ||||||||||
5.250%, 08/10/20 (A) | 600 | 625 | ||||||||||
Nacional del Cobre de Chile | ||||||||||||
7.500%, 01/15/19 | 450 | 568 | ||||||||||
6.150%, 10/24/36 | 857 | 1,054 | ||||||||||
6.150%, 10/24/36 (A) | 905 | 1,113 | ||||||||||
3.875%, 11/03/21 (A) | 1,050 | 1,044 | ||||||||||
3.750%, 11/04/20 (A) | 850 | 850 | ||||||||||
|
| |||||||||||
8,714 | ||||||||||||
|
| |||||||||||
China — 1.3% |
| |||||||||||
Agile Property Holdings | ||||||||||||
8.875%, 04/28/17 | 1,000 | 775 | ||||||||||
China Liansu Group Holdings | ||||||||||||
7.875%, 05/13/16 (A) | 563 | 462 | ||||||||||
China Oriental Group | ||||||||||||
8.000%, 08/18/15 (A) | 750 | 641 | ||||||||||
CNPC HK Overseas Capital | ||||||||||||
5.950%, 04/28/41 | 400 | 436 | ||||||||||
5.950%, 04/28/41 (A) | 700 | 746 | ||||||||||
3.125%, 04/28/16 | 200 | 206 | ||||||||||
Country Garden Holdings | ||||||||||||
10.500%, 08/11/15 | 1,000 | 846 | ||||||||||
Evergrande | ||||||||||||
13.000%, 01/27/15 | 476 | 367 | ||||||||||
13.000%, 01/27/15 (A) | 922 | 710 | ||||||||||
Evergrande Real Estate Group | ||||||||||||
9.250%, 01/19/16 | CNY | 5,600 | 600 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 129 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
November 30, 2011
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
7.500%, 01/19/14 | CNY | 3,280 | $ | 389 | ||||||||
Franshion Development | ||||||||||||
6.750%, 04/15/21 (A) | 1,000 | 770 | ||||||||||
Kaisa Group Holdings | ||||||||||||
13.500%, 04/28/15 | 461 | 364 | ||||||||||
Mega Advance Investments | ||||||||||||
5.000%, 05/12/21 (A) | 406 | 408 | ||||||||||
MIE Holdings | ||||||||||||
9.750%, 05/12/16 (A) | 800 | 704 | ||||||||||
Sinochem Overseas Capital | ||||||||||||
6.300%, 11/12/40 | 450 | 414 | ||||||||||
6.300%, 11/12/40 (A) | 507 | 467 | ||||||||||
4.500%, 11/12/20 | 250 | 241 | ||||||||||
4.500%, 11/12/20 (A) | 3,315 | 3,192 | ||||||||||
Texhong Textile Group | ||||||||||||
7.625%, 01/19/16 (A) | 309 | 222 | ||||||||||
West China Support | ||||||||||||
7.500%, 01/25/16 (A) | 300 | 243 | ||||||||||
|
| |||||||||||
13,203 | ||||||||||||
|
| |||||||||||
Colombia — 4.8% |
| |||||||||||
BanColombia | ||||||||||||
5.950%, 06/03/21 (A) | 831 | 827 | ||||||||||
Citigroup, CLN (Republic of Columbia) | ||||||||||||
10.000%, 07/24/24 | COP | 1,505,000 | 913 | |||||||||
Ecopetrol | ||||||||||||
7.625%, 07/23/19 (A) | 500 | 603 | ||||||||||
Empresa de Energia de Bogota | ||||||||||||
6.125%, 11/10/21 (A) | 650 | 663 | ||||||||||
Gruposura Finance | ||||||||||||
5.700%, 05/18/21 (A) | 672 | 676 | ||||||||||
Republic of Colombia | ||||||||||||
11.750%, 02/25/20 | 2,808 | 4,366 | ||||||||||
10.375%, 01/28/33 | 100 | 163 | ||||||||||
9.850%, 06/28/27 | COP | 1,224,000 | 868 | |||||||||
8.375%, 02/15/27 (E) | 3,100 | 3,937 | ||||||||||
8.125%, 05/21/24 | 2,330 | 3,159 | ||||||||||
7.375%, 01/27/17 | 3,595 | 4,327 | ||||||||||
7.375%, 03/18/19 | 3,040 | 3,808 | ||||||||||
7.375%, 09/18/37 | 9,070 | 12,313 | ||||||||||
6.125%, 01/18/41 | 2,075 | 2,464 | ||||||||||
4.375%, 07/12/21 | 2,497 | 2,622 | ||||||||||
Santa Fe de Bogota | ||||||||||||
9.750%, 07/26/28 (A) | COP | 10,518,000 | 7,283 | |||||||||
|
| |||||||||||
48,992 | ||||||||||||
|
| |||||||||||
Croatia — 0.9% |
| |||||||||||
Republic of Croatia | ||||||||||||
6.750%, 11/05/19 | 1,050 | 949 | ||||||||||
6.625%, 07/14/20 | 450 | 398 | ||||||||||
6.625%, 07/14/20 (A) | 2,189 | 1,937 | ||||||||||
6.375%, 03/24/21 | 600 | 525 | ||||||||||
6.375%, 03/24/21 (A) | 5,143 | 4,500 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
Zagrebacki Holding | ||||||||||||
5.500%, 07/10/17 | EUR | 1,300 | $ | 1,192 | ||||||||
|
| |||||||||||
9,501 | ||||||||||||
|
| |||||||||||
Czech Republic — 0.1% |
| |||||||||||
Central European Media Enterprises | ||||||||||||
11.625%, 09/15/16 (A) | EUR | 600 | 654 | |||||||||
|
| |||||||||||
Dominican Republic — 0.3% |
| |||||||||||
Cap Cana | ||||||||||||
10.000%, 04/30/16 (C) | 1,003 | 201 | ||||||||||
10.000%, 04/30/16 (C) | 1,007 | 352 | ||||||||||
Republic of Dominican Republic | ||||||||||||
7.500%, 05/06/21 | 1,100 | 1,100 | ||||||||||
7.500%, 05/06/21 (A) | 1,450 | 1,450 | ||||||||||
|
| |||||||||||
3,103 | ||||||||||||
|
| |||||||||||
Ecuador — 0.1% |
| |||||||||||
Republic of Ecuador | ||||||||||||
9.375%, 12/15/15 | 600 | 597 | ||||||||||
|
| |||||||||||
Egypt — 0.2% |
| |||||||||||
Arab Republic of Egypt | ||||||||||||
6.875%, 04/30/40 | 350 | 310 | ||||||||||
5.750%, 04/29/20 | 200 | 182 | ||||||||||
5.750%, 04/29/20 (A) | 950 | 864 | ||||||||||
Nile Finance | ||||||||||||
5.250%, 08/05/15 | 950 | 912 | ||||||||||
|
| |||||||||||
2,268 | ||||||||||||
|
| |||||||||||
El Salvador — 0.8% |
| |||||||||||
Republic of El Salvador | ||||||||||||
8.250%, 04/10/32 | 2,848 | 3,076 | ||||||||||
7.650%, 06/15/35 | 2,625 | 2,684 | ||||||||||
7.625%, 02/01/41 (A) | 1,000 | 1,002 | ||||||||||
7.375%, 12/01/19 | 200 | 215 | ||||||||||
7.375%, 12/01/19 (A) | 250 | 268 | ||||||||||
Telemovil Finance | ||||||||||||
8.000%, 10/01/17 (A) | 1,000 | 1,015 | ||||||||||
|
| |||||||||||
8,260 | ||||||||||||
|
| |||||||||||
Gabon — 0.0% |
| |||||||||||
Gabonese Republic | ||||||||||||
8.200%, 12/12/17 | 200 | 229 | ||||||||||
|
| |||||||||||
Georgia — 0.2% |
| |||||||||||
Georgian Railway LLC | ||||||||||||
9.875%, 07/22/15 | 700 | 695 | ||||||||||
Republic of Georgia | ||||||||||||
6.875%, 04/12/21 (A) | 950 | 974 | ||||||||||
|
| |||||||||||
1,669 | ||||||||||||
|
|
130 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
Germany — 0.2% |
| |||||||||||
Deutsche Bank, CLN (Cablevision) MTN | ||||||||||||
9.375%, 02/13/18 (A) | 2,084 | $ | 1,989 | |||||||||
|
| |||||||||||
Ghana — 0.3% |
| |||||||||||
Republic of Ghana | ||||||||||||
8.500%, 10/04/17 | 2,122 | 2,350 | ||||||||||
8.500%, 10/04/17 (A) | 450 | 499 | ||||||||||
|
| |||||||||||
2,849 | ||||||||||||
|
| |||||||||||
Hong Kong — 0.5% |
| |||||||||||
Bank of China Hong Kong | ||||||||||||
5.550%, 02/11/20 (A) | 2,000 | 2,024 | ||||||||||
CITIC Bank International MTN | ||||||||||||
6.875%, 06/24/20 | 450 | 447 | ||||||||||
Hutchison Whampoa International 10 | ||||||||||||
6.000%, 12/31/49 (B) | 564 | 558 | ||||||||||
Industrial & Commercial Bank of China Asia MTN | ||||||||||||
5.125%, 11/30/20 | 500 | 502 | ||||||||||
PCCW-HKT Capital No. 4 | ||||||||||||
4.250%, 02/24/16 | 637 | 639 | ||||||||||
Sino-Forest | ||||||||||||
10.250%, 07/28/14 (A) (C) | 160 | 63 | ||||||||||
10.250%, 07/28/14 (C) | 1,140 | 450 | ||||||||||
6.250%, 10/21/17 (A) (C) | 158 | 59 | ||||||||||
6.250%, 10/21/17 (C) | 1,940 | 728 | ||||||||||
|
| |||||||||||
5,470 | ||||||||||||
|
| |||||||||||
Hungary — 0.8% |
| |||||||||||
Republic of Hungary | ||||||||||||
7.625%, 03/29/41 | 3,226 | 2,984 | ||||||||||
6.375%, 03/29/21 | 1,150 | 1,064 | ||||||||||
6.250%, 01/29/20 | 1,150 | 1,049 | ||||||||||
6.000%, 01/11/19 | EUR | 704 | 787 | |||||||||
5.750%, 06/11/18 | EUR | 1,596 | 1,772 | |||||||||
4.750%, 02/03/15 | 281 | 260 | ||||||||||
|
| |||||||||||
7,916 | ||||||||||||
|
| |||||||||||
India — 0.2% |
| |||||||||||
Axis Bank MTN | ||||||||||||
7.125%, 06/28/22 (B) | 196 | 174 | ||||||||||
Bank of India MTN | ||||||||||||
6.994%, 12/31/49 (B) | 213 | 191 | ||||||||||
ICICI Bank | ||||||||||||
5.750%, 11/16/20 (A) | 327 | 303 | ||||||||||
Reliance Holdings USA | ||||||||||||
6.250%, 10/19/40 | 300 | 261 | ||||||||||
Vedanta Resources | ||||||||||||
8.250%, 06/07/21 (A) | 882 | 710 | ||||||||||
|
| |||||||||||
1,639 | ||||||||||||
|
|
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||
Indonesia — 4.6% |
| |||||||||
Adaro Indonesia MTN | ||||||||||
7.625%, 10/22/19 (A) | 580 | $ | 612 | |||||||
7.625%, 10/22/19 (A) | 209 | 220 | ||||||||
Bumi Investment MTN | ||||||||||
10.750%, 10/06/17 | 100 | 98 | ||||||||
Indosat Palapa | ||||||||||
7.375%, 07/29/20 (A) | 440 | 473 | ||||||||
Majapahit Holding | ||||||||||
8.000%, 08/07/19 (A) | 850 | 977 | ||||||||
7.875%, 06/29/37 (A) | 415 | 472 | ||||||||
7.750%, 10/17/16 | 1,050 | 1,165 | ||||||||
7.750%, 01/20/20 (A) | 750 | 859 | ||||||||
Pertamina Persero | ||||||||||
6.500%, 05/27/41 (A) | 470 | 470 | ||||||||
Perusahaan Listrik Negara | ||||||||||
5.500%, 11/22/21 (A) | 1,610 | 1,590 | ||||||||
Republic of Indonesia | ||||||||||
11.625%, 03/04/19 | 6,746 | 9,866 | ||||||||
11.625%, 03/04/19 | 200 | 293 | ||||||||
11.625%, 03/04/19 (A) | 2,650 | 3,876 | ||||||||
10.375%, 05/04/14 | 400 | 468 | ||||||||
10.375%, 05/04/14 (A) | 150 | 175 | ||||||||
8.500%, 10/12/35 | 4,560 | 6,498 | ||||||||
8.500%, 10/12/35 | 531 | 757 | ||||||||
7.750%, 01/17/38 | 4,450 | 5,952 | ||||||||
7.500%, 01/15/16 | 1,390 | 1,605 | ||||||||
6.875%, 01/17/18 | 3,042 | 3,552 | ||||||||
6.875%, 01/17/18 (A) | 650 | 759 | ||||||||
6.750%, 03/10/14 | 700 | 757 | ||||||||
6.625%, 02/17/37 | 1,100 | 1,320 | ||||||||
6.625%, 02/17/37 | 300 | 360 | ||||||||
5.875%, 03/13/20 (A) | 1,500 | 1,665 | ||||||||
4.875%, 05/05/21 | 400 | 416 | ||||||||
4.875%, 05/05/21 (A) | 1,550 | 1,614 | ||||||||
Star Energy | ||||||||||
11.500%, 02/12/15 (A) | 300 | 319 | ||||||||
|
| |||||||||
47,188 | ||||||||||
|
| |||||||||
Iraq — 1.3% |
| |||||||||
Republic of Iraq | ||||||||||
5.800%, 01/15/28 | 16,770 | 13,626 | ||||||||
|
| |||||||||
Ivory Coast — 0.6% |
| |||||||||
Government of Ivory Coast | ||||||||||
2.500%, 12/31/32 (C) | �� | 12,227 | 6,236 | |||||||
|
| |||||||||
Jamaica — 0.3% |
| |||||||||
Digicel | ||||||||||
8.250%, 09/01/17 | 133 | 131 | ||||||||
Digicel Group | ||||||||||
10.500%, 04/15/18 | 900 | 895 | ||||||||
9.125%, 01/15/15 (A) | 1,323 | 1,303 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 131 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
November 30, 2011
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
8.875%, 01/15/15 (A) | 750 | $ | 739 | |||||||||
|
| |||||||||||
3,068 | ||||||||||||
|
| |||||||||||
Jordan — 0.2% |
| |||||||||||
Kingdom of Jordan | ||||||||||||
3.875%, 11/12/15 | 2,050 | 1,907 | ||||||||||
|
| |||||||||||
Kazakhstan — 4.9% |
| |||||||||||
BTA Bank | ||||||||||||
10.750%, 01/01/13 (A) (D) | 1,502 | 406 | ||||||||||
10.750%, 01/01/13 (D) | 4,370 | 1,180 | ||||||||||
0.000%, 07/01/20 (A) (B) | 2,772 | 106 | ||||||||||
CenterCredit International | ||||||||||||
8.625%, 01/30/14 | 2,600 | 2,579 | ||||||||||
Citigroup Global Markets for Kazkommertsbank | ||||||||||||
8.700%, 04/07/14 (B) | 1,550 | 1,395 | ||||||||||
Development Bank of Kazakhstan | ||||||||||||
5.500%, 12/20/15 (A) | 800 | 814 | ||||||||||
Halyk Savings Bank of Kazakhstan | ||||||||||||
7.250%, 05/03/17 | 1,150 | 1,133 | ||||||||||
7.250%, 01/28/21 (A) | 1,000 | 950 | ||||||||||
Kazakhstan Temir Zholy Finance | ||||||||||||
6.375%, 10/06/20 (A) | 1,550 | 1,604 | ||||||||||
Kazatomprom | ||||||||||||
6.250%, 05/20/15 | 1,000 | 1,045 | ||||||||||
6.250%, 05/20/15 (A) | 1,050 | 1,097 | ||||||||||
Kazkommertsbank | ||||||||||||
12.850%, 12/18/12 MTN | 600 | 618 | ||||||||||
8.500%, 04/16/13 | 1,500 | 1,482 | ||||||||||
8.500%, 05/11/18 | 2,000 | 1,645 | ||||||||||
8.000%, 11/03/15 | 1,950 | 1,735 | ||||||||||
7.875%, 04/07/14 | 900 | 864 | ||||||||||
7.500%, 11/29/16 | 2,650 | 2,301 | ||||||||||
6.875%, 02/13/17 MTN | EUR | 500 | 554 | |||||||||
KazMunayGas National | ||||||||||||
11.750%, 01/23/15 | 250 | 298 | ||||||||||
11.750%, 01/23/15 (A) | 3,663 | 4,363 | ||||||||||
9.125%, 07/02/18 | 1,323 | 1,574 | ||||||||||
9.125%, 07/02/18 (A) | 3,698 | 4,401 | ||||||||||
8.375%, 07/02/13 | 4,853 | 5,120 | ||||||||||
7.000%, 05/05/20 | 2,563 | 2,758 | ||||||||||
7.000%, 05/05/20 (A) | 1,391 | 1,497 | ||||||||||
6.375%, 04/09/21 | 1,150 | 1,188 | ||||||||||
6.375%, 04/09/21 (A) | 4,765 | 4,920 | ||||||||||
Tengizchevroil Finance | ||||||||||||
6.124%, 11/15/14 | 275 | 282 | ||||||||||
Zhaikmunai Finance | ||||||||||||
10.500%, 10/19/15 (A) | 2,250 | 2,166 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
Zhaikmunai LLP | ||||||||||||
10.500%, 10/19/15 (A) | 150 | $ | 145 | |||||||||
|
| |||||||||||
50,220 | ||||||||||||
|
| |||||||||||
Kuwait — 0.1% | ||||||||||||
Kuwait Projects MTN | ||||||||||||
9.375%, 07/15/20 | 1,000 | 1,045 | ||||||||||
|
| |||||||||||
Latvia — 0.0% | ||||||||||||
Republic of Latvia | ||||||||||||
5.250%, 06/16/21 (A) | 540 | 494 | ||||||||||
|
| |||||||||||
Lebanon — 0.6% | ||||||||||||
Republic of Lebanon MTN | ||||||||||||
9.000%, 03/20/17 | 150 | 178 | ||||||||||
8.250%, 04/12/21 | 1,850 | 2,181 | ||||||||||
6.375%, 03/09/20 | 1,950 | 2,052 | ||||||||||
6.100%, 10/04/22 | 1,050 | 1,065 | ||||||||||
5.150%, 11/12/18 | 400 | 398 | ||||||||||
|
| |||||||||||
5,874 | ||||||||||||
|
| |||||||||||
Lithuania — 1.5% | ||||||||||||
Republic of Lithuania | ||||||||||||
7.375%, 02/11/20 | 2,451 | 2,598 | ||||||||||
7.375%, 02/11/20 (A) | 1,200 | 1,272 | ||||||||||
6.750%, 01/15/15 (A) | 1,089 | 1,127 | ||||||||||
6.125%, 03/09/21 | 6,252 | 6,036 | ||||||||||
6.125%, 03/09/21 (A) | 3,426 | 3,332 | ||||||||||
5.125%, 09/14/17 | 250 | 240 | ||||||||||
5.125%, 09/14/17 (A) | 940 | 903 | ||||||||||
|
| |||||||||||
15,508 | ||||||||||||
|
| |||||||||||
Malaysia — 3.2% | ||||||||||||
Axiata SPV1 Labuan | ||||||||||||
5.375%, 04/28/20 | 550 | 577 | ||||||||||
Government of Malaysia | ||||||||||||
5.094%, 04/30/14 | MYR | 5,610 | 1,848 | |||||||||
3.835%, 08/12/15 | MYR | 6,390 | 2,052 | |||||||||
3.741%, 02/27/15 | MYR | 9,530 | 3,047 | |||||||||
Petroliam Nasional | ||||||||||||
7.750%, 08/15/15 | 1,460 | 1,733 | ||||||||||
7.625%, 10/15/26 | 1,430 | 1,925 | ||||||||||
Petronas Capital | ||||||||||||
7.875%, 05/22/22 | 3,722 | 4,976 | ||||||||||
7.875%, 05/22/22 (A) | 350 | 468 | ||||||||||
7.000%, 05/22/12 | 3,055 | 3,132 | ||||||||||
5.250%, 08/12/19 | 1,300 | 1,443 | ||||||||||
5.250%, 08/12/19 (A) | 8,200 | 9,101 | ||||||||||
4.250%, 08/12/14 (A) | 365 | 383 | ||||||||||
Petronas Capital Registered | ||||||||||||
7.875%, 05/22/22 | 563 | 753 | ||||||||||
Wakala Global Sukuk | ||||||||||||
4.646%, 07/06/21 (A) | 1,050 | 1,105 | ||||||||||
|
| |||||||||||
32,543 | ||||||||||||
|
|
132 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
Mexico — 8.7% | ||||||||||||
Alestra | ||||||||||||
11.750%, 08/11/14 | 422 | $ | 463 | |||||||||
America Movil | ||||||||||||
2.375%, 09/08/16 | 2,000 | 1,953 | ||||||||||
Axtel | ||||||||||||
9.000%, 09/22/19 | 762 | 556 | ||||||||||
7.625%, 02/01/17 (A) | 291 | 213 | ||||||||||
Bank of New York Mellon Institucion de Banca Multiple | ||||||||||||
9.625%, 05/02/21 (A) | 1,786 | 1,635 | ||||||||||
BBVA Bancomer | ||||||||||||
6.008%, 05/17/22 (B) | 1,150 | 1,052 | ||||||||||
Cemex | ||||||||||||
9.000%, 01/11/18 (A) | 1,024 | 743 | ||||||||||
5.369%, 09/30/15 (A) (B) | 1,709 | 1,162 | ||||||||||
Cemex Espana Luxembourg | ||||||||||||
9.500%, 12/14/16 | 1,000 | 803 | ||||||||||
9.250%, 05/12/20 | 100 | 68 | ||||||||||
9.250%, 05/12/20 (A) | 1,959 | 1,332 | ||||||||||
8.875%, 05/12/17 | EUR | 63 | 59 | |||||||||
Comision Federal de Electricidad | ||||||||||||
4.875%, 05/26/21 (A) | 900 | 918 | ||||||||||
Corporation Geo | ||||||||||||
9.250%, 06/30/20 | 500 | 498 | ||||||||||
9.250%, 06/30/20 (A) | 1,100 | 1,094 | ||||||||||
Desarrolla | ||||||||||||
7.500%, 09/28/15 | 252 | 248 | ||||||||||
Grupo Bimbo | ||||||||||||
4.875%, 06/30/20 (A) (E) | 415 | 427 | ||||||||||
Grupo Senda | ||||||||||||
10.500%, 10/03/15 | 4,390 | 3,951 | ||||||||||
Hipotecaria Su Casita | ||||||||||||
7.500%, 06/29/18 (A) | 132 | 46 | ||||||||||
Mexican Bonos | ||||||||||||
9.500%, 12/18/14 | MXP | 12,283 | 1,026 | |||||||||
8.500%, 12/13/18 | MXP | 50,010 | 4,272 | |||||||||
8.500%, 05/31/29 | MXP | 16,090 | 1,334 | |||||||||
8.500%, 11/18/38 | MXP | 41,100 | 3,335 | |||||||||
8.000%, 12/17/15 | MXP | 25,400 | 2,070 | |||||||||
7.750%, 12/14/17 | MXP | 48,110 | 3,961 | |||||||||
7.750%, 05/29/31 | MXP | 14,090 | 1,075 | |||||||||
6.500%, 06/10/21 | MXP | 75,800 | 5,660 | |||||||||
Mexican Bonos, Ser M10 | ||||||||||||
7.250%, 12/15/16 | MXP | 59,600 | 4,775 | |||||||||
NII Capital | ||||||||||||
10.000%, 08/15/16 | 2,765 | 3,138 | ||||||||||
7.625%, 04/01/21 | 750 | 761 | ||||||||||
Oceanografia | ||||||||||||
11.250%, 07/15/15 | 1,286 | 688 | ||||||||||
Pemex Finance | ||||||||||||
9.150%, 11/15/18 | 1,895 | 2,393 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
Pemex Project Funding Master Trust | ||||||||||||
6.625%, 06/15/35 | 3,772 | $ | 4,149 | |||||||||
5.750%, 03/01/18 | 1,170 | 1,278 | ||||||||||
Petroleos Mexicanos | ||||||||||||
8.000%, 05/03/19 | 850 | 1,046 | ||||||||||
6.500%, 06/02/41 (A) | 1,350 | 1,458 | ||||||||||
6.500%, 06/02/41 (A) | 530 | 572 | ||||||||||
6.000%, 03/05/20 (A) | 500 | 550 | ||||||||||
Southern Copper | ||||||||||||
6.750%, 04/16/40 | 162 | 162 | ||||||||||
United Mexican States MTN | ||||||||||||
8.300%, 08/15/31 | 3,301 | 4,885 | ||||||||||
8.000%, 09/24/22 | 2,510 | 3,464 | ||||||||||
6.050%, 01/11/40 | 3,714 | 4,401 | ||||||||||
5.950%, 03/19/19 | 1,500 | 1,757 | ||||||||||
5.750%, 10/12/10 | 3,144 | 3,215 | ||||||||||
5.625%, 01/15/17 | 2,250 | 2,546 | ||||||||||
5.125%, 01/15/20 (E) | 3,880 | 4,342 | ||||||||||
United Mexican States, | ||||||||||||
6.750%, 09/27/34 | 2,863 | 3,650 | ||||||||||
|
| |||||||||||
89,184 | ||||||||||||
|
| |||||||||||
Morocco — 0.2% | ||||||||||||
Kingdom of Morocco | ||||||||||||
4.500%, 10/05/20 | EUR | 2,050 | 2,501 | |||||||||
|
| |||||||||||
Nigeria — 0.3% | ||||||||||||
Afren | ||||||||||||
11.500%, 02/01/16 (A) | 900 | 864 | ||||||||||
Nigeria Government International Bond | ||||||||||||
6.750%, 01/28/21 | 200 | 208 | ||||||||||
Republic of Nigeria | ||||||||||||
6.750%, 01/28/21 (A) | 950 | 989 | ||||||||||
UBS | ||||||||||||
9.350%, 09/04/17 (A) (B) | 800 | 520 | ||||||||||
|
| |||||||||||
2,581 | ||||||||||||
|
| |||||||||||
Oman — 0.0% | ||||||||||||
Blue City Investments | ||||||||||||
13.750%, 11/07/13 (C) (H) (I) | 2,750 | 138 | ||||||||||
|
| |||||||||||
Pakistan — 0.3% | ||||||||||||
Pakistan Mobile Communications | ||||||||||||
8.625%, 11/13/13 (A) | 330 | 318 | ||||||||||
Republic of Pakistan | ||||||||||||
7.125%, 03/31/16 | 1,050 | 819 | ||||||||||
6.875%, 06/01/17 | 1,800 | 1,350 | ||||||||||
6.875%, 06/01/17 | 100 | 75 | ||||||||||
|
| |||||||||||
2,562 | ||||||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 133 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
November 30, 2011
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
Panama — 1.9% | ||||||||||||
Republic of Panama | ||||||||||||
9.375%, 01/16/23 | 595 | $ | 821 | |||||||||
9.375%, 04/01/29 | 6,974 | 10,963 | ||||||||||
8.875%, 09/30/27 | 1,307 | 1,940 | ||||||||||
8.125%, 04/28/34 | 940 | 1,339 | ||||||||||
7.250%, 03/15/15 | 1,550 | 1,789 | ||||||||||
7.125%, 01/29/26 | 200 | 258 | ||||||||||
6.700%, 01/26/36 | 1,850 | 2,396 | ||||||||||
|
| |||||||||||
19,506 | ||||||||||||
|
| |||||||||||
Peru — 1.8% | ||||||||||||
Banco de Credito del Peru | ||||||||||||
5.375%, 09/16/20 (A) | 1,093 | 1,063 | ||||||||||
Inkia Energy | ||||||||||||
8.375%, 04/04/21 (A) | 548 | 551 | ||||||||||
Interoceanica IV Finance | ||||||||||||
3.984%, 11/30/25 (A) (F) | 711 | 327 | ||||||||||
3.610%, 11/30/18 (A) (F) | 314 | 233 | ||||||||||
2.975%, 11/30/18 (F) | 595 | 440 | ||||||||||
Peru Enhanced Pass-Through Finance | ||||||||||||
3.647%, 05/31/18 (F) | 377 | 313 | ||||||||||
3.559%, 05/31/18 (A) (F) | 425 | 354 | ||||||||||
Republic of Peru | ||||||||||||
8.750%, 11/21/33 | 6,687 | 9,847 | ||||||||||
8.375%, 05/03/16 | 850 | 1,052 | ||||||||||
7.350%, 07/21/25 | 2,990 | 3,872 | ||||||||||
7.125%, 03/30/19 | 250 | 310 | ||||||||||
6.550%, 03/14/37 | 120 | 146 | ||||||||||
|
| |||||||||||
18,508 | ||||||||||||
|
| |||||||||||
Philippines — 4.1% | ||||||||||||
National Power | ||||||||||||
9.625%, 05/15/28 | 1,100 | 1,496 | ||||||||||
Power Sector | ||||||||||||
7.390%, 12/02/24 (A) | 1,300 | 1,580 | ||||||||||
7.250%, 05/27/19 (A) | 100 | 120 | ||||||||||
Power Sector Assets & Liabilities Management | ||||||||||||
7.390%, 12/02/24 | 700 | 851 | ||||||||||
Republic of Philippines | ||||||||||||
10.625%, 03/16/25 | 3,326 | 5,234 | ||||||||||
9.500%, 02/02/30 | 6,408 | 9,756 | ||||||||||
8.375%, 06/17/19 | 1,600 | 2,110 | ||||||||||
7.750%, 01/14/31 | 3,443 | 4,588 | ||||||||||
7.500%, 09/25/24 | 750 | 952 | ||||||||||
6.500%, 01/20/20 | 960 | 1,142 | ||||||||||
6.375%, 10/23/34 | 3,011 | 3,587 | ||||||||||
5.500%, 03/30/26 | 1,646 | 1,817 | ||||||||||
4.950%, 01/15/21 | PHP | 33,000 | 738 | |||||||||
4.000%, 01/15/21 | 8,005 | 8,165 | ||||||||||
|
| |||||||||||
42,136 | ||||||||||||
|
|
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
Poland — 2.1% | ||||||||||||
Polish Television Holding | ||||||||||||
11.000%, 11/15/14 (A) (D) | EUR | 700 | $ | 971 | ||||||||
Republic of Poland | ||||||||||||
6.375%, 07/15/19 | 12,394 | 13,416 | ||||||||||
5.000%, 03/23/22 | 5,548 | 5,382 | ||||||||||
TVN Finance II | ||||||||||||
10.750%, 11/15/17 (A) | EUR | 1,400 | 1,969 | |||||||||
TVN Finance | ||||||||||||
10.750%, 11/15/17 | EUR | 200 | 283 | |||||||||
|
| |||||||||||
22,021 | ||||||||||||
|
| |||||||||||
Qatar — 1.8% | ||||||||||||
Qtel International Finance MTN | ||||||||||||
7.875%, 06/10/19 | 2,500 | 3,000 | ||||||||||
6.500%, 06/10/14 (A) | 350 | 380 | ||||||||||
5.000%, 10/19/25 (A) | 1,172 | 1,125 | ||||||||||
4.750%, 02/16/21 | 700 | 696 | ||||||||||
4.750%, 02/16/21 (A) | 504 | 501 | ||||||||||
State of Qatar | ||||||||||||
9.750%, 06/15/30 | 957 | 1,440 | ||||||||||
6.400%, 01/20/40 | 650 | 761 | ||||||||||
6.400%, 01/20/40 (A) | 705 | 797 | ||||||||||
5.750%, 01/20/42 (A) | 850 | 841 | ||||||||||
5.250%, 01/20/20 | 1,746 | 1,890 | ||||||||||
5.250%, 01/20/20 (A) | 3,986 | 4,280 | ||||||||||
4.500%, 01/20/22 (A) | 2,400 | 2,375 | ||||||||||
4.000%, 01/20/15 | 600 | 631 | ||||||||||
|
| |||||||||||
18,717 | ||||||||||||
|
| |||||||||||
Russia — 8.4% |
| |||||||||||
Alfa Bank Via Alfa Bond Issuance | ||||||||||||
7.875%, 09/25/17 (A) | 771 | 721 | ||||||||||
7.750%, 04/28/21 (A) | 910 | 792 | ||||||||||
Alfa Dividend Payment Rights Finance MTN | ||||||||||||
2.247%, 12/15/11 (A) (B) | 24 | 23 | ||||||||||
Alfa Invest MTN | ||||||||||||
9.250%, 06/24/13 (A) | 1,200 | 1,245 | ||||||||||
Alfa Issuance MTN | ||||||||||||
8.000%, 03/18/15 | 208 | 205 | ||||||||||
BOM Capital | ||||||||||||
6.699%, 03/11/15 | 1,300 | 1,281 | ||||||||||
Edel Capital for Sinek Capital SA | ||||||||||||
7.700%, 08/03/15 | 600 | 604 | ||||||||||
Evraz Group | ||||||||||||
6.750%, 04/27/18 (A) | 1,037 | 926 | ||||||||||
Gaz Capital | ||||||||||||
4.950%, 05/23/16 (A) | 1,978 | 1,973 |
134 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||
MTS International | ||||||||||
8.625%, 06/22/20 (A) | 1,650 | $ | 1,767 | |||||||
Novatek Finance | ||||||||||
6.604%, 02/03/21 (A) | 3,048 | 3,139 | ||||||||
RSHB Capital for Russian Agricultural Bank | ||||||||||
7.750%, 05/29/18 | 800 | 860 | ||||||||
Russian Federation | ||||||||||
12.750%, 06/24/28 | 3,220 | 5,538 | ||||||||
7.500%, 03/31/30 (D) | 34,826 | 40,834 | ||||||||
Russian Foreign Bond - Eurobond | ||||||||||
5.000%, 04/29/20 | 700 | 723 | ||||||||
5.000%, 04/29/20 (A) | 500 | 517 | ||||||||
SCF Capital | ||||||||||
5.375%, 10/27/17 (A) | 2,831 | 2,484 | ||||||||
Teorema Holding | ||||||||||
11.000%, 10/27/09 (C) (I) | 2,000 | 200 | ||||||||
TNK-BP Finance | ||||||||||
6.250%, 02/02/15 (A) | 238 | 248 | ||||||||
UBS (Vimpelcom) | ||||||||||
8.250%, 05/23/16 | 190 | 190 | ||||||||
VimpelCom Holdings | ||||||||||
7.504%, 03/01/22 | 2,000 | 1,737 | ||||||||
7.504%, 03/01/22 (A) | 981 | 852 | ||||||||
6.255%, 03/01/17 | 550 | 500 | ||||||||
VIP Finance Ireland for Vimpel Communications | ||||||||||
9.125%, 04/30/18 | 1,100 | 1,100 | ||||||||
9.125%, 04/30/18 (A) | 400 | 400 | ||||||||
7.748%, 02/02/21 (A) | 3,830 | 3,409 | ||||||||
Vnesheconombank Via VEB Finance | ||||||||||
6.902%, 07/09/20 | 3,000 | 3,111 | ||||||||
6.902%, 07/09/20 (A) | 3,135 | 3,251 | ||||||||
6.800%, 11/22/25 | 2,000 | 1,995 | ||||||||
6.800%, 11/22/25 (A) | 1,000 | 998 | ||||||||
5.450%, 11/22/17 (A) | 800 | 802 | ||||||||
VTB Capital | ||||||||||
6.875%, 05/29/18 | 1,000 | 1,023 | ||||||||
6.609%, 10/31/12 (A) | 650 | 665 | ||||||||
6.551%, 10/13/20 (A) | 960 | 900 | ||||||||
6.250%, 06/30/35 | 698 | 688 | ||||||||
|
| |||||||||
85,701 | ||||||||||
|
| |||||||||
Saudi Arabia — 0.1% | ||||||||||
Dar Al-Arkan International Sukuk | ||||||||||
10.750%, 02/18/15 | 500 | 445 | ||||||||
10.750%, 02/18/15 (A) | 1,050 | 936 | ||||||||
|
| |||||||||
1,381 | ||||||||||
|
|
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
Senegal — 0.2% | ||||||||||||
Republic of Senegal | ||||||||||||
8.750%, 05/13/21 | 200 | $ | 200 | |||||||||
8.750%, 05/13/21 (A) | 1,450 | 1,450 | ||||||||||
|
| |||||||||||
1,650 | ||||||||||||
|
| |||||||||||
Serbia — 0.1% |
| |||||||||||
Republic of Serbia | ||||||||||||
7.250%, 09/28/21 (A) | 1,350 | 1,296 | ||||||||||
|
| |||||||||||
Singapore — 0.7% | ||||||||||||
Bakrie Telecom | ||||||||||||
11.500%, 05/07/15 | 592 | 361 | ||||||||||
Sea Production | ||||||||||||
4.536%, 02/14/12 | 8,429 | 7,081 | ||||||||||
STATS ChipPac | ||||||||||||
5.375%, 03/31/16 (A) | 224 | 219 | ||||||||||
|
| |||||||||||
7,661 | ||||||||||||
|
| |||||||||||
South Africa — 3.4% | ||||||||||||
Edcon Proprietary | ||||||||||||
9.500%, 03/01/18 (A) | 1,200 | 936 | ||||||||||
4.778%, 06/15/14 (B) | EUR | 3,275 | 3,329 | |||||||||
Eskom Holdings | ||||||||||||
5.750%, 01/26/21 (A) | 2,683 | 2,740 | ||||||||||
Gold Field Orogen | ||||||||||||
4.875%, 10/07/20 | 1,255 | 1,085 | ||||||||||
Myriad International Holding | ||||||||||||
6.375%, 07/28/17 | 390 | 417 | ||||||||||
6.375%, 07/28/17 (A) | 1,335 | 1,428 | ||||||||||
Republic of South Africa | ||||||||||||
10.500%, 12/21/26 | ZAR | 10,910 | 1,576 | |||||||||
8.500%, 06/23/17 | 3,038 | 3,691 | ||||||||||
6.875%, 05/27/19 | 3,807 | 4,492 | ||||||||||
6.750%, 03/31/21 | ZAR | 47,600 | 5,451 | |||||||||
6.500%, 06/02/14 | 386 | 423 | ||||||||||
6.250%, 03/08/41 | 685 | 771 | ||||||||||
5.875%, 05/30/22 | 2,468 | 2,783 | ||||||||||
5.500%, 03/09/20 | 4,290 | 4,698 | ||||||||||
Transnet MTN | ||||||||||||
4.500%, 02/10/16 (A) | 720 | 730 | ||||||||||
|
| |||||||||||
34,550 | ||||||||||||
|
| |||||||||||
South Korea — 0.2% | ||||||||||||
Export-Import Bank of Korea | ||||||||||||
8.125%, 01/21/14 | 1,062 | 1,178 | ||||||||||
4.375%, 09/15/21 (E) | 810 | 791 | ||||||||||
|
| |||||||||||
1,969 | ||||||||||||
|
| |||||||||||
Sri Lanka — 0.4% | ||||||||||||
Democratic Socialist Republic of Sri Lanka | ||||||||||||
7.400%, 01/22/15 (A) | 1,200 | 1,268 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 135 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
November 30, 2011
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||
6.250%, 10/04/20 | 950 | $ | 945 | |||||||
6.250%, 07/27/21 (A) | 2,165 | 2,186 | ||||||||
|
| |||||||||
4,399 | ||||||||||
|
| |||||||||
Supra-National — 0.1% | ||||||||||
Andina de Fomento | ||||||||||
8.125%, 06/04/19 | 565 | 687 | ||||||||
|
| |||||||||
Trinidad & Tobago — 0.4% | ||||||||||
Petroleum of Trinidad & Tobago | ||||||||||
9.750%, 08/14/19 (A) | 1,153 | 1,355 | ||||||||
6.000%, 05/08/22 | 2,341 | 2,305 | ||||||||
6.000%, 05/08/22 (A) | 525 | 517 | ||||||||
|
| |||||||||
4,177 | ||||||||||
|
| |||||||||
Tunisia — 0.0% | ||||||||||
Banque Centrale de Tunisie | ||||||||||
8.250%, 09/19/27 | 300 | 357 | ||||||||
|
| |||||||||
Turkey — 3.5% | ||||||||||
Export Credit Bank of Turkey | ||||||||||
5.375%, 11/04/16 (A) | 1,000 | 997 | ||||||||
Globus Capital Finance | ||||||||||
8.500%, 03/05/12 | 700 | 686 | ||||||||
Republic of Turkey | ||||||||||
11.875%, 01/15/30 | 1,125 | 1,862 | ||||||||
9.500%, 01/15/14 | 300 | 331 | ||||||||
8.000%, 02/14/34 | 1,700 | 2,040 | ||||||||
7.500%, 07/14/17 | 2,475 | 2,784 | ||||||||
7.500%, 11/07/19 | 1,887 | 2,146 | ||||||||
7.375%, 02/05/25 | 4,857 | 5,513 | ||||||||
7.250%, 03/15/15 | 900 | 979 | ||||||||
7.250%, 03/05/38 | 540 | 602 | ||||||||
7.000%, 09/26/16 | 1,209 | 1,330 | ||||||||
7.000%, 03/11/19 | 650 | 720 | ||||||||
7.000%, 06/05/20 | 663 | 736 | ||||||||
6.875%, 03/17/36 | 3,445 | 3,678 | ||||||||
6.750%, 04/03/18 | 4,730 | 5,185 | ||||||||
6.750%, 05/30/40 | 2,241 | 2,359 | ||||||||
6.000%, 01/14/41 | 470 | 449 | ||||||||
5.625%, 03/30/21 | 650 | 660 | ||||||||
5.125%, 03/25/22 | 1,947 | 1,879 | ||||||||
Yuksel Insaat | ||||||||||
9.500%, 11/10/15 | 658 | 480 | ||||||||
|
| |||||||||
35,416 | ||||||||||
|
| |||||||||
Ukraine — 3.1% | ||||||||||
Biz Finance for Ukreximbank | ||||||||||
8.375%, 04/27/15 | 6,077 | 5,378 | ||||||||
Credit Suisse First Boston for City of Kiev | ||||||||||
8.000%, 11/06/15 | 215 | 166 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||
Credit Suisse First Boston International (Export/Import - Ukraine) | ||||||||||
6.800%, 10/04/12 | 800 | $ | 784 | |||||||
DTEK Finance | ||||||||||
9.500%, 04/28/15 (A) | 790 | 743 | ||||||||
Ferrexpo Finance | ||||||||||
7.875%, 04/07/16 | 1,200 | 1,074 | ||||||||
7.875%, 04/07/16 (A) | 605 | 541 | ||||||||
Financing of Infrastrucural Projects State Enterprise | ||||||||||
8.375%, 11/03/17 (A) | 650 | 553 | ||||||||
Government of Ukraine | ||||||||||
7.950%, 02/23/21 (A) | 350 | 306 | ||||||||
7.750%, 09/23/20 (A) | 500 | 431 | ||||||||
7.650%, 06/11/13 | 1,896 | 1,820 | ||||||||
6.875%, 09/23/15 | 200 | 182 | ||||||||
6.875%, 09/23/15 (A) | 2,329 | 2,119 | ||||||||
6.580%, 11/21/16 | 670 | 583 | ||||||||
6.250%, 06/17/16 (A) | 3,393 | 2,952 | ||||||||
Metalloinvest Finance | ||||||||||
6.500%, 07/21/16 (A) | 1,511 | 1,390 | ||||||||
Metinvest | ||||||||||
8.750%, 02/14/18 (A) | 941 | 809 | ||||||||
MHP | ||||||||||
10.250%, 04/29/15 | 553 | 498 | ||||||||
10.250%, 04/29/15 (A) | 1,865 | 1,678 | ||||||||
Mriya Agro Holding | ||||||||||
10.950%, 03/30/16 (A) | 617 | 578 | ||||||||
NAK Naftogaz Ukraine | ||||||||||
9.500%, 09/30/14 | 6,523 | 6,034 | ||||||||
Oschadbank Via SSB No. #1 | ||||||||||
8.250%, 03/10/16 | 800 | 619 | ||||||||
Springvale Holdings | ||||||||||
9.181%, 09/07/09 (B) (C) (I) | 1,000 | 75 | ||||||||
UK Private Bank | ||||||||||
8.000%, 02/06/12 | 2,700 | 2,603 | ||||||||
|
| |||||||||
31,916 | ||||||||||
|
| |||||||||
United Arab Emirates — 3.5% |
| |||||||||
Atlantic Finance | ||||||||||
10.750%, 05/27/14 | 1,000 | 1,099 | ||||||||
Dolphin Energy | ||||||||||
5.888%, 06/15/19 | 884 | 953 | ||||||||
5.888%, 06/15/19 | 265 | 286 | ||||||||
5.888%, 06/15/19 (A) | 177 | 191 | ||||||||
DP World MTN | ||||||||||
6.850%, 07/02/37 | 1,610 | 1,457 | ||||||||
Dubai DOF Sukuk MTN | ||||||||||
6.396%, 11/03/14 | 950 | 961 | ||||||||
Dubai Electricity & Water Authority | ||||||||||
8.500%, 04/22/15 | 1,202 | 1,286 |
136 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
8.500%, 04/22/15 (A) | 2,450 | $ | 2,621 | |||||||||
7.375%, 10/21/20 (A) | 2,920 | 2,891 | ||||||||||
Dubai Holding Commercial Operations MTN | ||||||||||||
4.750%, 01/30/14 | EUR | 5,450 | 6,053 | |||||||||
Dubai Holding MTN | ||||||||||||
6.000%, 02/01/17 | GBP | 850 | 962 | |||||||||
Dubai Sukuk Centre | ||||||||||||
0.713%, 06/13/12 (B) | 2,650 | 2,464 | ||||||||||
Emirate of Abu Dhabi MTN | ||||||||||||
7.750%, 10/05/20 | 1,150 | 1,173 | ||||||||||
6.750%, 04/08/19 | 800 | 960 | ||||||||||
6.750%, 04/08/19 (A) | 670 | 804 | ||||||||||
6.700%, 10/05/15 | 350 | 359 | ||||||||||
Emirates Airlines | ||||||||||||
5.125%, 06/08/16 | 250 | 246 | ||||||||||
IPIC GMTN MTN | ||||||||||||
6.875%, 11/01/41 (A) | 563 | 569 | ||||||||||
5.500%, 03/01/22 (A) | 417 | 408 | ||||||||||
5.000%, 11/15/20 | 325 | 317 | ||||||||||
3.750%, 03/01/17 (A) | 2,345 | 2,321 | ||||||||||
Jafz Sukuk | ||||||||||||
2.991%, 11/27/12 (B) | AED | 25,100 | 6,286 | |||||||||
MDC-GMTN MTN | ||||||||||||
5.500%, 04/20/21 (A) | 864 | 905 | ||||||||||
|
| |||||||||||
35,572 | ||||||||||||
|
| |||||||||||
Uruguay — 2.5% | ||||||||||||
Republic of Uruguay | ||||||||||||
9.250%, 05/17/17 | 4,807 | 6,213 | ||||||||||
8.000%, 11/18/22 | 6,260 | 8,327 | ||||||||||
7.625%, 03/21/36 | 4,450 | 5,927 | ||||||||||
6.875%, 09/28/25 | 200 | 254 | ||||||||||
Republic of Uruguay PIK | ||||||||||||
7.875%, 01/15/33 | 3,320 | 4,478 | ||||||||||
|
| |||||||||||
25,199 | ||||||||||||
|
| |||||||||||
Venezuela — 4.9% | ||||||||||||
Bolivarian Republic of Venezuela | ||||||||||||
9.000%, 05/07/23 | 3,620 | 2,407 | ||||||||||
8.250%, 10/13/24 | 2,050 | 1,276 | ||||||||||
Government of Venezuela | ||||||||||||
13.625%, 08/15/18 | 2,435 | 2,326 | ||||||||||
13.625%, 08/15/18 | 737 | 704 | ||||||||||
12.750%, 08/23/22 | 7,175 | 6,278 | ||||||||||
11.950%, 08/05/31 | 5,350 | 4,253 | ||||||||||
10.750%, 09/19/13 | 900 | 902 | ||||||||||
9.375%, 01/13/34 | 1,020 | 673 | ||||||||||
9.250%, 09/15/27 | 1,525 | 1,071 | ||||||||||
9.250%, 05/07/28 | 1,700 | 1,101 | ||||||||||
8.500%, 10/08/14 | 1,320 | 1,214 | ||||||||||
7.750%, 10/13/19 | 1,350 | 921 | ||||||||||
7.650%, 04/21/25 | 1,550 | 946 | ||||||||||
7.000%, 03/31/38 | 200 | 110 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
6.000%, 12/09/20 | 900 | $ | 531 | |||||||||
5.750%, 02/26/16 | 1,221 | 931 | ||||||||||
Petroleos de Venezuela | ||||||||||||
12.750%, 02/17/22 | 1,750 | 1,426 | ||||||||||
8.500%, 11/02/17 | 1,472 | 1,067 | ||||||||||
8.500%, 11/02/17 | 1,000 | 725 | ||||||||||
5.500%, 04/12/37 | 1,850 | 866 | ||||||||||
5.375%, 04/12/27 | 4,605 | 2,222 | ||||||||||
5.250%, 04/12/17 | 6,974 | 4,376 | ||||||||||
5.000%, 10/28/15 | 1,700 | 1,182 | ||||||||||
4.900%, 10/28/14 | 16,254 | 12,516 | ||||||||||
|
| |||||||||||
50,024 | ||||||||||||
|
| |||||||||||
Vietnam — 0.3% | ||||||||||||
Socialist Republic of Vietnam | ||||||||||||
6.875%, 01/15/16 | 800 | 822 | ||||||||||
6.750%, 01/29/20 | 1,950 | 1,950 | ||||||||||
|
| |||||||||||
2,772 | ||||||||||||
|
| |||||||||||
Total Global Bonds | 978,770 | |||||||||||
|
| |||||||||||
LOAN PARTICIPATIONS — 0.9% |
| |||||||||||
Angola — 0.1% | ||||||||||||
Republic of Angola | ||||||||||||
3.748%, 04/30/16 (H) (I) | EUR | 1,083 | 1,349 | |||||||||
|
| |||||||||||
Argentina — 0.0% | ||||||||||||
Endesa Costanera Sociedad Anonima | ||||||||||||
11.302%, 03/30/12 | 347 | 347 | ||||||||||
|
| |||||||||||
Brazil — 0.1% | ||||||||||||
Virgolino de Oliveira | ||||||||||||
5.257%, 11/03/15 | 600 | 578 | ||||||||||
|
| |||||||||||
Indonesia — 0.4% | ||||||||||||
PT Bumi Resources | ||||||||||||
11.190%, 08/07/13 | 1,973 | 1,985 | ||||||||||
PT Bumi, Ser Tranche A | ||||||||||||
7.663%, 03/02/12 (F) | 1,213 | 1,001 | ||||||||||
PT Bumi, Ser Tranche B | ||||||||||||
7.663%, 03/02/12 (F) | 969 | 799 | ||||||||||
|
| |||||||||||
3,785 | ||||||||||||
|
| |||||||||||
Singapore — 0.3% | ||||||||||||
Morton Bay Senior | ||||||||||||
6.220%, 01/31/12 (H) (I) | 3,020 | 2,584 | ||||||||||
|
| |||||||||||
Total Loan Participations | 8,643 | |||||||||||
|
| |||||||||||
CONVERTIBLE BONDS — 0.4% |
| |||||||||||
FirstSource Solutions CV to 42,549.14 Shares | ||||||||||||
6.115%, 12/04/12 (F) | 2,100 | 2,488 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 137 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
November 30, 2011
Description | Face Amount (1) (Thousands)/Shares | Market Value ($ Thousands) | ||||||||||
Sino-Forest CV to 47.2619 Shares | ||||||||||||
4.250%, 12/15/16 | 50 | $ | 19 | |||||||||
4.250%, 12/15/16 (A) (C) | 781 | 285 | ||||||||||
Suzlon Energy CV to 22.6830 Shares | ||||||||||||
3.961%, 06/12/12 (F) | 918 | 1,111 | ||||||||||
Suzlon Energy CV to 533.2762 Shares | ||||||||||||
2.561%, 07/25/14 (F) | 500 | 440 | ||||||||||
|
| |||||||||||
Total Convertible Bonds | 4,343 | |||||||||||
|
| |||||||||||
TIME DEPOSITS — 2.0% |
| |||||||||||
United States — 2.0% | ||||||||||||
Brown Brothers Harriman | ||||||||||||
0.096%, 12/01/11 | EUR | 133 | 179 | |||||||||
0.030%, 12/01/11 | 20,395 | 20,395 | ||||||||||
|
| |||||||||||
Total Time Deposits |
| 20,574 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 0.4% |
| |||||||||||
SEI Liquidity Fund, L.P. | 4,017,108 | 3,789 | ||||||||||
|
| |||||||||||
Total Affiliated Partnership (Cost $4,017) ($ Thousands) |
| 3,789 | ||||||||||
|
| |||||||||||
Total Investments — 99.1% |
| $ | 1,016,119 | |||||||||
|
|
The open futures contracts held by the Fund at November 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Euro-Buxl 30-Year Bond | (16 | ) | Dec-2011 | $ | 44 | |||||||
U.S. 10-Year Treasury Note | 5 | Mar-2012 | (3 | ) | ||||||||
U.S. Ultra Long Treasury Bond | 12 | Apr-2012 | (36 | ) | ||||||||
|
| |||||||||||
$ | 5 | |||||||||||
|
|
For the period ended November 30, 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 period.
A summary of the open forward foreign currency contracts held by the Fund at November 30, 2011, is as follows:
Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
12/2/11-1/4/12 | BRL | 97,733 | USD | 54,140 | $ | 76 | ||||||||||||||
12/2/11-2/3/12 | USD | 9,610 | BRL | 17,409 | (3 | ) | ||||||||||||||
12/7/11-2/3/12 | KRW | 6,750,000 | USD | 5,955 | 48 | |||||||||||||||
12/19/11-2/3/12 | EUR | 31,829 | USD | 43,163 | 307 | |||||||||||||||
12/28/11 | GBP | 680 | USD | 1,078 | 9 | |||||||||||||||
1/9/12 | INR | 416,926 | USD | 7,879 | (56 | ) | ||||||||||||||
1/9/12-2/6/12 | USD | 8,810 | INR | 416,926 | (895 | ) | ||||||||||||||
1/13/12 | MXP | 226,565 | USD | 16,302 | (335 | ) | ||||||||||||||
1/13/12 | USD | 1,990 | PHP | 83,000 | (93 | ) | ||||||||||||||
1/13/12-2/3/12 | USD | 6,550 | MXP | 91,020 | 130 | |||||||||||||||
1/19/12 | THB | 60,000 | USD | 1,920 | (1 | ) | ||||||||||||||
1/25/12 | CZK | 49,000 | EUR | 1,912 | (41 | ) | ||||||||||||||
2/3/12 | COP | 3,650,000 | USD | 1,912 | 42 | |||||||||||||||
2/3/12 | EUR | 2,090 | HUF | 640,000 | 6 | |||||||||||||||
2/3/12 | HUF | 1,080,000 | EUR | 3,512 | (29 | ) | ||||||||||||||
2/3/12 | RUB | 59,000 | USD | 1,863 | (40 | ) | ||||||||||||||
2/3/12 | USD | 572 | EUR | 427 | 3 | |||||||||||||||
2/3/12 | USD | 2,891 | ILS | 10,600 | (73 | ) | ||||||||||||||
2/3/12 | USD | 1,133 | KRW | 1,270,000 | (22 | ) | ||||||||||||||
2/3/12 | USD | 1,914 | MYR | 6,000 | (30 | ) | ||||||||||||||
2/3/12 | USD | 1,911 | RUB | 59,000 | (8 | ) | ||||||||||||||
2/3/12 | USD | 3,866 | SGD | 4,910 | (32 | ) | ||||||||||||||
3/12/12-5/16/12 | USD | 6,927 | CNY | 44,196 | 12 | |||||||||||||||
5/16/12 | CNY | 26,196 | USD | 4,134 | 19 | |||||||||||||||
|
| |||||||||||||||||||
$ | (1,006 | ) | ||||||||||||||||||
|
|
A summary of the counterparties for the open forward foreign currency contracts held by the Fund at November 30, 2011, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Barclays PLC | (35,589 | ) | 35,401 | $ | (188 | ) | ||||||
Brown Brothers Harriman | (30,171 | ) | 30,137 | (34 | ) | |||||||
Citigroup | (32,802 | ) | 33,007 | 205 | ||||||||
HSBC | (19,860 | ) | 20,065 | 205 | ||||||||
JPMorgan Chase | (15,003 | ) | 15,093 | 90 | ||||||||
Standard Bank | (7,935 | ) | 7,879 | (56 | ) | |||||||
UBS | (53,283 | ) | 52,055 | (1,228 | ) | |||||||
|
| |||||||||||
$ | (1,006 | ) | ||||||||||
|
|
For the period ended November 30, 2011, the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
The open swap agreements held by the Fund at November 30, 2011, is as follows:
Total Return Swaps | ||||||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized Appreciation ($Thousands) | ||||||||||||||||||
HSBC | Republic of Korea 5% 06/10/20 | Cash Deposit Of Notional Amount | Price Return | 06/10/20 | KRW | 2,475,000 | $ | 461 | ||||||||||||||||
Barclays Bank PLC | Republic of Korea 5% 06/10/20 | Cash Deposit Of Notional Amount | Price Return | 06/10/20 | KRW | 2,497,000 | 438 | |||||||||||||||||
|
| |||||||||||||||||||||||
$ | 899 | |||||||||||||||||||||||
|
|
For the period ended November 30, 2011, the total amount of all open swap agreements, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
138 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Percentages are based on a Net Assets of $1,025,604 ($ Thousands)
* | The rate reported is the 7-day effective yield as of November 30, 2011. |
† | Investment in Affiliated Security (see Note 5). |
(1) | In U.S. dollars unless otherwise indicated. |
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(B) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of November 30, 2011. The date reported on the Schedule of Investments 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 November 30, 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 November 30, 2011. The total value of securities on loan at November 30, 2011 was $3,787 ($ Thousands). |
(F) | The rate reported on the Schedule of Investments is the effective yield at time of purchase. |
(G) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2011 was $3,789 ($ Thousands). |
(H) | Securities considered illiquid. The total value of such securities as of November 30, 2011 was $4,071 ($ Thousands) and represented 0.40% 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 November 30, 2011 was $4,346 ($ Thousands) and represented 0.42% of Net Assets. |
AED — United Arab Emirates Dirham
ARS — Argentine Peso
BRL — Brazilian Real
CLN — Credit-Linked Note
CNY — Chinese Yuan
COP — Colombian Peso
CV — Convertible Security
CZK — Czech Koruna
DEM — German Mark
EUR — Euro
GBP — British Pound Sterling
HUF — Hungarian Forint
ILS — Israeli New Sheckel
INR — Indian Rupee
KRW — South Korean Won
LLC — Limited Liability Company
LLP — Limited Liability Partnership
L.P. — Limited Partnership
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
THB — Thai Baht
USD — U.S. Dollar
ZAR — South African Rand
The following is a summary of the inputs used as of November 30, 2011, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Global Bonds | $ | — | $ | 978,770 | $ | — | $ | 978,770 | ||||||||
Loan Participations | — | — | 8,643 | 8,643 | ||||||||||||
Convertible Bonds | — | 4,343 | — | 4,343 | ||||||||||||
Time Deposits | 20,574 | — | — | 20,574 | ||||||||||||
Affiliated Partnership | — | 3,789 | — | 3,789 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 20,574 | $ | 986,902 | $ | 8,643 | $ | 1,016,119 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 5 | $ | — | $ | — | $ | 5 | ||||||||
Forwards Contracts* | — | (1,006 | ) | — | (1,006 | ) | ||||||||||
Total Return Swaps* | — | 899 | — | 899 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 5 | $ | (107 | ) | $ | — | $ | (102 | ) | ||||||
|
|
|
|
|
|
|
|
* | Future contracts, forwards contracts and swaps are valued at the unrealized appreciation (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 | ||||
Beginning balance as of June 1, 2011 | $ | 7,038 | ||
Accrued discounts/premiums | 6 | |||
Realized gain/(loss) | 321 | |||
Change in unrealized appreciation/(depreciation) | (546 | ) | ||
Net purchases/sales | (2,885 | ) | ||
Net transfer in and/or out of Level 3 | 4,709 | |||
|
| |||
Ending balance as of November 30, 2011 | $ | 8,643 | ||
|
| |||
Change in unrealized gains/(losses) included in earnings related to securities still held at reporting date | $ | (958 | ) | |
|
|
For the period ended November 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2011, there were significant transfers between Level 2 and Level 3 assets and liabilities. The transfers 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 $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 139 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Real Return Fund
November 30, 2011
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 95.6% |
| |||||||
U.S. Treasury Inflation-Protected Securities | ||||||||
2.500%, 07/15/16 | $ | 5,786 | $ | 6,720 | ||||
2.000%, 01/15/14 | 24,557 | 26,131 | ||||||
2.000%, 07/15/14 | 22,221 | 24,051 | ||||||
2.000%, 01/15/16 | 24,492 | 27,488 | ||||||
1.875%, 07/15/13 | 16,362 | 17,121 | ||||||
1.875%, 07/15/15 | 12,481 | 13,831 | ||||||
1.625%, 01/15/15 | 24,062 | 26,090 | ||||||
1.250%, 04/15/14 | 23,291 | 24,518 | ||||||
0.625%, 04/15/13 | 14,432 | 14,676 | ||||||
0.500%, 04/15/15 | 36,042 | 37,855 | ||||||
0.125%, 04/15/16 | 30,246 | 31,621 | ||||||
U.S. Treasury Notes | ||||||||
1.500%, 08/31/18 | 11,000 | 11,024 | ||||||
0.500%, 10/15/14 | 5,875 | 5,894 | ||||||
U.S. Treasury Notes, Ser 2006- | ||||||||
4.500%, 02/15/16 | 9,475 | 10,957 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 277,977 | |||||||
|
| |||||||
TIME DEPOSIT — 2.5% | ||||||||
Brown Brothers Harriman | ||||||||
0.030%, 12/01/11 | 7,202 | 7,202 | ||||||
|
| |||||||
Total Time Deposit | 7,202 | |||||||
|
| |||||||
Total Investments — 98.1% | $ | 285,179 | ||||||
|
|
Percentages are based on a Net Assets of $290,648 ($ Thousands)
The following is a summary of the inputs used as of November 30, 2011, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Treasury Obligations | $ | — | $ | 277,977 | $ | — | $ | 277,977 | ||||||||
Time Deposit | 7,202 | — | — | 7,202 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 7,202 | $ | 277,977 | $ | — | $ | 285,179 | ||||||||
|
|
|
|
|
|
|
|
For the period ended November 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
For the period ended, November 30, 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.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
140 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Dynamic Asset Allocation Fund
November 30, 2011
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 6.9% |
| |||||||
FHLB | ||||||||
0.020%, 02/08/12 (A) | $ | 17,000 | $ | 16,999 | ||||
FHLMC DN | ||||||||
0.025%, 02/21/12 (A) | 16,000 | 15,999 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 32,998 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 4.8% |
| |||||||
U.S. Treasury Bills | ||||||||
0.043%, 04/26/12 (A) (B) | 14,000 | 13,998 | ||||||
U.S. Treasury Notes | ||||||||
4.000%, 08/15/18 | 7,500 | 8,746 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 22,744 | ||||||
|
| |||||||
CASH EQUIVALENT — 85.3% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.040%†* | 407,643,571 | 407,644 | ||||||
|
| |||||||
Total Cash Equivalent |
| 407,644 | ||||||
|
| |||||||
Total Investments — 97.0% |
| $ | 463,386 | |||||
|
|
The open futures contracts held by the Fund at November 30, 2011 is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 5,264 | Dec-2011 | $ | 20,217 | ||||||||
U.S. 10-Year Treasury Note | 1,015 | Mar-2012 | (628 | ) | ||||||||
|
| |||||||||||
$ | 19,589 | |||||||||||
|
|
For the period ended November 30, 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 $477,811 ($ Thousands)
* | The rate reported is the 7-day effective yield as of November 30, 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
DN — Discount Note
FHLB — Federal Home Loan Bank
FHLMC — Federal Home Loan Mortgage Corporation
S&P — Standard & Poor’s
The following is a summary of the inputs used as of November 30, 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 | $ | — | $ | 32,998 | $ | — | $ | 32,998 | ||||||||
U.S. Treasury Obligations | — | 22,744 | — | 22,744 | ||||||||||||
Cash Equivalent | 407,644 | — | — | 407,644 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 407,644 | $ | 55,742 | $ | — | $ | 463,386 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 19,589 | $ | — | $ | — | $ | 19,589 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 19,589 | $ | — | $ | — | $ | 19,589 | ||||||||
|
|
|
|
|
|
|
|
* | Future contracts are value at the unrealized appreciation on the instrument. |
For the period ended November 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 141 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Real Return Fund
November 30, 2011
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS (A) — 48.4% |
| |||||||
U.S. Treasury Inflation-Protected Securities | ||||||||
2.500%, 07/15/16 | $ | 9,297 | $ | 10,798 | ||||
2.000%, 01/15/14 | 1,645 | 1,751 | ||||||
2.000%, 07/15/14 | 12,290 | 13,302 | ||||||
2.000%, 01/15/16 | 2,955 | 3,317 | ||||||
1.875%, 07/15/13 | 9,123 | 9,546 | ||||||
1.875%, 07/15/15 | 9,163 | 10,153 | ||||||
1.625%, 01/15/15 | 6,280 | 6,809 | ||||||
1.250%, 04/15/14 | 2,010 | 2,116 | ||||||
0.500%, 04/15/15 | 1,984 | 2,084 | ||||||
0.125%, 04/15/16 | 1,326 | 1,386 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 61,262 | |||||||
|
| |||||||
COMMON STOCK — 15.2% |
| |||||||
Consumer Discretionary — 0.1% |
| |||||||
Hyatt Hotels, Cl A* | 3,870 | 138 | ||||||
|
| |||||||
Consumer Staples — 0.6% | ||||||||
Bunge | 8,040 | 502 | ||||||
Tyson Foods, Cl A | 15,120 | 305 | ||||||
|
| |||||||
807 | ||||||||
|
| |||||||
Energy — 6.8% |
| |||||||
Anadarko Petroleum | 9,000 | 731 | ||||||
Chevron | 11,300 | 1,162 | ||||||
ConocoPhillips | 7,140 | 509 | ||||||
Devon Energy | 7,850 | 514 | ||||||
EOG Resources | 3,770 | 391 | ||||||
Exxon Mobil | 38,280 | 3,079 | ||||||
Marathon Petroleum | 12,600 | 421 | ||||||
Noble Energy | 3,340 | 329 | ||||||
Occidental Petroleum | 8,980 | 888 | ||||||
Schlumberger | 5,930 | 447 | ||||||
Stone Energy* | 4,670 | 132 | ||||||
|
| |||||||
8,603 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Financials — 6.8% |
| |||||||
American Campus Communities‡ | 7,410 | $ | 291 | |||||
Ashford Hospitality Trust‡ | 15,860 | 126 | ||||||
Associated Estates Realty‡ | 12,930 | 209 | ||||||
BioMed Realty Trust‡ | 14,890 | 265 | ||||||
Boston Properties‡ | 5,540 | 528 | ||||||
BRE Properties‡ | 3,710 | 181 | ||||||
Camden Property Trust‡ | 3,470 | 200 | ||||||
DDR‡ | 5,700 | 67 | ||||||
Digital Realty Trust‡ | 6,460 | 410 | ||||||
Douglas Emmett‡ | 15,350 | 276 | ||||||
Duke Realty‡ | 24,860 | 288 | ||||||
EastGroup Properties‡ | 4,080 | 174 | ||||||
Essex Property Trust‡ | 1,730 | 230 | ||||||
Extra Space Storage‡ | 11,847 | 285 | ||||||
General Growth Properties‡ | 20,330 | 286 | ||||||
Glimcher Realty Trust‡ | 19,860 | 173 | ||||||
Host Hotels & Resorts‡ | 14,070 | 199 | ||||||
LaSalle Hotel Properties‡ | 5,020 | 118 | ||||||
Macerich‡ | 5,160 | 259 | ||||||
National Health Investors‡ | 616 | 26 | ||||||
Post Properties‡ | 5,740 | 230 | ||||||
ProLogis‡ | 11,720 | 326 | ||||||
Public Storage‡ | 4,110 | 542 | ||||||
Rayonier‡ | 3,520 | 143 | ||||||
Simon Property Group‡ | 10,720 | 1,333 | ||||||
SL Green Realty‡ | 4,520 | 298 | ||||||
Sovran Self Storage‡ | 3,931 | 164 | ||||||
Tanger Factory Outlet Centers‡ | 6,460 | 183 | ||||||
Ventas‡ | 11,380 | 600 | ||||||
Weyerhaeuser‡ | 8,530 | 143 | ||||||
|
| |||||||
8,553 | ||||||||
|
| |||||||
Materials — 0.9% |
| |||||||
Commercial Metals | 19,710 | 275 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 11,460 | 454 | ||||||
Monsanto | 5,960 | 438 | ||||||
|
| |||||||
1,167 | ||||||||
|
| |||||||
Telecommunication Services — 0.0% |
| |||||||
American Tower, Cl A* | 990 | 58 | ||||||
|
| |||||||
Total Common Stock | 19,326 | |||||||
|
| |||||||
EXCHANGE TRADED FUND — 14.8% |
| |||||||
United States — 14.8% | ||||||||
Credit Suisse Commodity Return Strategy Fund | 2,206,243 | 18,753 | ||||||
|
| |||||||
Total Exchange Traded Fund | 18,753 | |||||||
|
|
142 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
FOREIGN COMMON STOCK — 14.7% |
| |||||||
Australia — 0.7% |
| |||||||
BHP Billiton | 9,600 | $ | 359 | |||||
Goodman Group‡ | 132,760 | 84 | ||||||
GPT Group‡ | 25,600 | 84 | ||||||
OneSteel | 156,300 | 140 | ||||||
Rio Tinto | 1,500 | 102 | ||||||
Westfield Retail Trust‡ | 32,870 | 88 | ||||||
|
| |||||||
857 | ||||||||
|
| |||||||
Brazil — 1.0% |
| |||||||
Multiplan Empreendimentos Imobiliarios | 2,900 | 58 | ||||||
Petroleo Brasileiro ADR | 31,660 | 854 | ||||||
Petroleo Brasileiro ADR, Cl A | 12,550 | 315 | ||||||
Rossi Residencial | 9,300 | 52 | ||||||
|
| |||||||
1,279 | ||||||||
|
| |||||||
Canada — 3.7% |
| |||||||
Agrium | 6,110 | 430 | ||||||
Allied Properties‡ | 9,630 | 227 | ||||||
Canadian‡ | 8,190 | 291 | ||||||
Canadian Apartment Properties‡ | 4,100 | 85 | ||||||
Cominar‡ | 10,580 | 234 | ||||||
Dundee (Canada)‡ | 9,060 | 291 | ||||||
Goldcorp | 11,000 | 595 | ||||||
IAMGOLD | 22,240 | 451 | ||||||
Kinross Gold | 27,080 | 382 | ||||||
Morguard‡ | 4,894 | 76 | ||||||
New Gold* | 16,100 | 181 | ||||||
Nexen | 16,000 | 267 | ||||||
Penn West Petroleum | 9,820 | 181 | ||||||
Potash Corp of Saskatchewan | 3,720 | 161 | ||||||
RioCan‡ | 68 | 2 | ||||||
Suncor Energy | 26,310 | 795 | ||||||
|
| |||||||
4,649 | ||||||||
|
| |||||||
China — 0.5% |
| |||||||
China Petroleum & Chemical | 524,000 | 554 | ||||||
Soho China | 81,000 | 55 | ||||||
|
| |||||||
609 | ||||||||
|
| |||||||
France — 0.5% |
| |||||||
Total | 7,950 | 411 | ||||||
Unibail-Rodamco‡ | 1,435 | 268 | ||||||
|
| |||||||
679 | ||||||||
|
| |||||||
Germany — 0.3% |
| |||||||
GSW Immobilien* | 3,570 | 114 | ||||||
ThyssenKrupp | 9,930 | 257 | ||||||
|
| |||||||
371 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Hong Kong — 0.4% |
| |||||||
Great Eagle Holdings | 25,000 | $ | 51 | |||||
KWG Property Holding | 71,000 | 24 | ||||||
Link‡ | 34,000 | 123 | ||||||
Sun Hung Kai Properties | 15,000 | 186 | ||||||
Wharf Holdings | 35,000 | 171 | ||||||
|
| |||||||
555 | ||||||||
|
| |||||||
Indonesia — 0.2% |
| |||||||
Borneo Lumbung Energi & Metal* | 2,100,500 | 194 | ||||||
|
| |||||||
Japan — 0.3% |
| |||||||
JFE Holdings | 14,300 | 263 | ||||||
Sumitomo Realty & Development | 3,000 | 59 | ||||||
|
| |||||||
322 | ||||||||
|
| |||||||
Netherlands — 1.8% |
| |||||||
Koninklijke DSM | 5,160 | 252 | ||||||
LyondellBasell Industries, Cl A | 7,430 | 243 | ||||||
Royal Dutch Shell, Cl A | 38,540 | 1,349 | ||||||
Royal Dutch Shell, Cl B | 11,750 | 424 | ||||||
|
| |||||||
2,268 | ||||||||
|
| |||||||
Norway — 0.3% |
| |||||||
Seadrill | 10,950 | 382 | ||||||
|
| |||||||
Russia — 0.9% |
| |||||||
Gazprom OAO ADR | 66,880 | 773 | ||||||
Lukoil OAO ADR | 6,720 | 379 | ||||||
|
| |||||||
1,152 | ||||||||
|
| |||||||
Singapore — 0.1% |
| |||||||
CapitaLand | 92,000 | 186 | ||||||
|
| |||||||
South Africa — 0.1% |
| |||||||
Exxaro Resources | 8,060 | 180 | ||||||
|
| |||||||
Switzerland — 0.3% |
| |||||||
Transocean | 8,400 | 360 | ||||||
|
| |||||||
Thailand — 0.4% |
| |||||||
Banpu | 13,500 | 242 | ||||||
PTT NVDR | 24,900 | 251 | ||||||
|
| |||||||
493 | ||||||||
|
| |||||||
United Kingdom — 3.2% |
| |||||||
Anglo American | 13,420 | 514 | ||||||
BG Group | 27,670 | 595 | ||||||
BHP Billiton | 6,920 | 213 | ||||||
BP | 191,220 | 1,388 | ||||||
Hammerson‡ | 30,120 | 186 | ||||||
Intercontinental Hotels Group | 7,620 | 133 | ||||||
Mondi | 24,890 | 180 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 143 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Real Return Fund (Continued)
November 30, 2011
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Rio Tinto | 14,830 | $ | 783 | |||||
Telecity Group* | 12,084 | 117 | ||||||
|
| |||||||
4,109 | ||||||||
|
| |||||||
Total Foreign Common Stock | 18,645 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 3.3% |
| |||||||
Consumer Discretionary — 0.6% |
| |||||||
CBS | ||||||||
5.750%, 04/15/20 | $ | 45 | 49 | |||||
Comcast | ||||||||
6.450%, 03/15/37 | 40 | 46 | ||||||
5.300%, 01/15/14 | 65 | 70 | ||||||
DIRECTV Holdings LLC | ||||||||
4.600%, 02/15/21 | 130 | 131 | ||||||
Time Warner | ||||||||
4.700%, 01/15/21 | 130 | 137 | ||||||
Time Warner Cable | ||||||||
4.125%, 02/15/21 | 65 | 65 | ||||||
4.000%, 09/01/21 | 75 | 73 | ||||||
Viacom | ||||||||
4.500%, 03/01/21 | 130 | 133 | ||||||
|
| |||||||
704 | ||||||||
|
| |||||||
Consumer Staples — 0.1% |
| |||||||
Bunge Finance | ||||||||
4.100%, 03/15/16 | 125 | 127 | ||||||
|
| |||||||
Energy — 0.5% |
| |||||||
Energy Transfer Partners | ||||||||
5.950%, 02/01/15 | 50 | 54 | ||||||
4.650%, 06/01/21 | 85 | 82 | ||||||
Kinder Morgan Energy Partners | ||||||||
4.150%, 03/01/22 | 56 | 56 | ||||||
Nabors Industries | ||||||||
9.250%, 01/15/19 | 84 | 103 | ||||||
Noble Energy | ||||||||
8.250%, 03/01/19 | 100 | 129 | ||||||
Spectra Energy Capital LLC | ||||||||
6.200%, 04/15/18 | 115 | 130 | ||||||
Valero Energy | ||||||||
6.125%, 02/01/20 | 115 | 125 | ||||||
|
| |||||||
679 | ||||||||
|
| |||||||
Financials — 1.0% |
| |||||||
American International Group | ||||||||
6.400%, 12/15/20 | 60 | 59 | ||||||
5.600%, 10/18/16 | 60 | 58 | ||||||
Bank of America | ||||||||
3.625%, 03/17/16 | 65 | 57 | ||||||
Capital One Financial | ||||||||
4.750%, 07/15/21 | 55 | 56 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Citigroup | ||||||||
6.875%, 03/05/38 | $ | 40 | $ | 42 | ||||
Goldman Sachs Group MTN | ||||||||
6.750%, 10/01/37 | 40 | 35 | ||||||
5.375%, 03/15/20 | 40 | 38 | ||||||
3.625%, 02/07/16 | 40 | 38 | ||||||
Hartford Financial Services Group | ||||||||
5.500%, 03/30/20 | 80 | 78 | ||||||
HCP | ||||||||
5.375%, 02/01/21‡ | 125 | 129 | ||||||
HSBC Finance | ||||||||
6.676%, 01/15/21 (B) | 60 | 59 | ||||||
JPMorgan Chase | ||||||||
6.400%, 05/15/38 | 40 | 46 | ||||||
Markel | ||||||||
7.125%, 09/30/19 | 115 | 132 | ||||||
Marsh & McLennan | ||||||||
5.750%, 09/15/15 | 60 | 66 | ||||||
4.800%, 07/15/21 | 65 | 69 | ||||||
MetLife | ||||||||
7.717%, 02/15/19 | 50 | 61 | ||||||
5.700%, 06/15/35 | 65 | 68 | ||||||
Morgan Stanley | ||||||||
4.750%, 04/01/14 | 40 | 38 | ||||||
Nationwide Financial Services | ||||||||
5.375%, 03/25/21 (B) | 130 | 126 | ||||||
|
| |||||||
1,255 | ||||||||
|
| |||||||
Health Care — 0.1% |
| |||||||
Humana | ||||||||
6.450%, 06/01/16 | 115 | 127 | ||||||
|
| |||||||
Industrials — 0.2% | ||||||||
Republic Services | ||||||||
3.800%, 05/15/18 | 130 | 135 | ||||||
Ryder System MTN | ||||||||
3.500%, 06/01/17 | 130 | 134 | ||||||
|
| |||||||
269 | ||||||||
|
| |||||||
Information Technology — 0.1% | ||||||||
Xerox | ||||||||
4.500%, 05/15/21 | 110 | 110 | ||||||
|
| |||||||
Materials — 0.2% | ||||||||
Dow Chemical | ||||||||
5.900%, 02/15/15 | 55 | 61 | ||||||
4.250%, 11/15/20 | 65 | 65 | ||||||
International Paper | ||||||||
7.950%, 06/15/18 | 110 | 131 | ||||||
|
| |||||||
257 | ||||||||
|
| |||||||
Telecommunication Services — 0.2% | ||||||||
American Tower | ||||||||
5.050%, 09/01/20 | 145 | 145 |
144 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. Cellular | ||||||||
6.700%, 12/15/33 | $ | 130 | $ | 128 | ||||
|
| |||||||
273 | ||||||||
|
| |||||||
Utilities — 0.3% | ||||||||
Constellation Energy Group | ||||||||
5.150%, 12/01/20 | 130 | 137 | ||||||
FirstEnergy Solutions | ||||||||
6.800%, 08/15/39 | 60 | 66 | ||||||
6.050%, 08/15/21 | 55 | 60 | ||||||
Nisource Finance | ||||||||
6.125%, 03/01/22 | 100 | 113 | ||||||
|
| |||||||
376 | ||||||||
|
| |||||||
Total Corporate Obligations | 4,177 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 2.5% |
| |||||||
Automotive — 1.6% | ||||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-3, Cl A2 | ||||||||
0.840%, 11/10/14 | 525 | 524 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-4, Cl A2 | ||||||||
0.920%, 03/09/15 | 100 | 100 | ||||||
CarMax Auto Owner Trust, Ser 2011-3, Cl A3 | ||||||||
1.070%, 06/15/16 | 70 | 69 | ||||||
Ford Credit Auto Lease Trust, Ser 2011-B, Cl A2 | ||||||||
0.820%, 01/15/14 | 160 | 160 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2009-2, Cl A | ||||||||
1.799%, 09/15/14 (C) | 415 | 419 | ||||||
Huntington Auto Trust, Ser 2011-1A, Cl A3 | ||||||||
1.010%, 01/15/16 (B) | 135 | 135 | ||||||
Hyundai Auto Lease Securitization Trust, Ser 2011-A, Cl A2 | ||||||||
0.690%, 11/15/13 (B) | 125 | 125 | ||||||
Mercedes-Benz Auto Lease Trust, Ser 2011-B, Cl A2 | ||||||||
0.900%, 01/15/14 (B) | 202 | 202 | ||||||
Porsche Innovative Lease Owner Trust, Ser 2011-1 | ||||||||
1.090%, 09/22/14 (B) | 185 | 185 | ||||||
Santander Drive Auto Receivables Trust, Ser 2011-4, Cl A2 | ||||||||
1.370%, 03/16/15 | 79 | 79 | ||||||
|
| |||||||
1,998 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Credit Cards — 0.9% | ||||||||
American Express Credit Account Master Trust, Ser 2011-1, Cl A | ||||||||
0.419%, 04/17/17 (C) | $ | 285 | $ | 285 | ||||
GE Capital Credit Card Master Note Trust, Ser 2011-2, Cl A | ||||||||
0.729%, 05/15/19 (C) | 420 | 422 | ||||||
Penarth Master Issuer, Ser 2010-2A, Cl A2 | ||||||||
1.002%, 12/18/14 (B) (C) | 420 | 420 | ||||||
|
| |||||||
1,127 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 3,125 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 2.7% |
| |||||||
Agency Mortgage-Backed Obligations — 1.5% |
| |||||||
FHLMC ARM | ||||||||
4.121%, 10/01/39 (C) | 480 | 507 | ||||||
FNMA ARM | ||||||||
4.759%, 10/01/39 (C) | 460 | 491 | ||||||
FNMA TBA | ||||||||
3.500%, 12/01/40 | 830 | 846 | ||||||
|
| |||||||
1,844 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 1.2% |
| |||||||
Banc of America Commercial Mortgage, Ser 2006-5, Cl A4 | ||||||||
5.414%, 09/10/47 | 300 | 319 | ||||||
Citigroup, Ser 2006-CD3, Cl A2 | ||||||||
5.560%, 10/15/48 | 284 | 288 | ||||||
JP Morgan Chase Commercial Mortgage Securities, Ser LD11, Cl A4 | ||||||||
6.005%, 06/15/49 (C) | 185 | 193 | ||||||
Merrill Lynch, Ser 2007-9, Cl A4 | ||||||||
5.700%, 09/12/49 | 300 | 314 | ||||||
Merrill Lynch Mortgage Trust, Ser 2005-CIP1, Cl A2 | ||||||||
4.960%, 07/12/38 | 274 | 278 | ||||||
Morgan Stanley Capital I, Ser IQ12, Cl A4 | ||||||||
5.332%, 12/15/43 | 150 | 166 | ||||||
|
| |||||||
1,558 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities (Cost $3,378) ($ Thousands) | 3,402 | |||||||
|
| |||||||
FOREIGN BONDS — 1.6% | ||||||||
AngloGold Ashanti Holdings | ||||||||
5.375%, 04/15/20 | 135 | 132 | ||||||
ArcelorMittal | ||||||||
5.500%, 03/01/21 | 60 | 53 | ||||||
Asciano Finance | ||||||||
5.000%, 04/07/18 (B) | 130 | 132 | ||||||
Barclays Bank | ||||||||
5.000%, 09/22/16 | 100 | 102 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 145 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Real Return Fund (Continued)
November 30, 2011
Description | Face Amount (Thousands) (1)/Shares/Contracts | Market Value ($ Thousands) | ||||||||||
Barclays Bank | ||||||||||||
5.125%, 01/08/20 | 100 | $ | 98 | |||||||||
BBVA US Senior SAU | ||||||||||||
3.250%, 05/16/14 | 135 | 125 | ||||||||||
Delhaize Group | ||||||||||||
6.500%, 06/15/17 | 115 | 134 | ||||||||||
Deutsche Telekom International Finance BV | ||||||||||||
8.750%, 06/15/30 | 100 | 136 | ||||||||||
Gazprom OAO Via Gaz Capital MTN | ||||||||||||
6.212%, 11/22/16 | 130 | 136 | ||||||||||
Mexican Bonos | ||||||||||||
8.000%, 06/11/20 | MXP | 3,846 | 318 | |||||||||
Perusahaan Listrik Negara | ||||||||||||
5.500%, 11/22/21 (B) | 200 | 197 | ||||||||||
Petronas Capital | ||||||||||||
5.250%, 08/12/19 (B) | 125 | 139 | ||||||||||
Royal Bank of Scotland | ||||||||||||
6.125%, 01/11/21 | 65 | 64 | ||||||||||
4.875%, 03/16/15 | 100 | 97 | ||||||||||
Russian Agricultural Bank Via RSHB Capital | ||||||||||||
7.750%, 05/29/18 (B) | 100 | 107 | ||||||||||
Telecom Italia Capital | ||||||||||||
7.175%, 06/18/19 | 60 | 54 | ||||||||||
5.250%, 10/01/15 | 65 | 59 | ||||||||||
|
| |||||||||||
Total Foreign Bonds | 2,083 | |||||||||||
|
| |||||||||||
PREFERRED STOCK — 0.6% |
| |||||||||||
Brazil — 0.6% | ||||||||||||
Vale, Cl A | 2,250 | 49 | ||||||||||
Vale ADR, Cl B | 30,750 | 672 | ||||||||||
|
| |||||||||||
Total Preferred Stock (Cost $842) ($ Thousands) | 721 | |||||||||||
|
| |||||||||||
PURCHASED OPTION — 0.0% |
| |||||||||||
United States — 0.0% | ||||||||||||
January 2012 SPX U.S. Index, | 26 | 31 | ||||||||||
|
| |||||||||||
Total Purchased Option | 31 | |||||||||||
|
| |||||||||||
Total Investments — 103.8% | $ | 131,525 | ||||||||||
|
|
The open futures contracts held by the Fund at November 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
U.S. 10-Year Treasury Note | (28 | ) | Mar-2012 | $ | 21 | |||||||
U.S. 5-Year Treasury Note | (3 | ) | Mar-2012 | — | ||||||||
U.S. Long Treasury Bond | (10 | ) | Mar-2012 | 38 | ||||||||
|
| |||||||||||
$ | 59 | |||||||||||
|
|
For the period ended November 30, 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.
A summary of the open forward foreign currency contracts held by the Fund at November 30, 2011, is as follows:
Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
12/15/11 | AUD | 2,236 | USD | 2,306 | $ | 14 | ||||||||||||||
12/15/11 | CAD | 5,560 | USD | 5,473 | 6 | |||||||||||||||
12/15/11 | CHF | 227 | USD | 247 | (2 | ) | ||||||||||||||
12/15/11 | CNY | 3,530 | USD | 558 | 4 | |||||||||||||||
12/15/11 | EUR | 3,112 | USD | 4,290 | 101 | |||||||||||||||
12/15/11 | GBP | 2,706 | USD | 4,343 | 88 | |||||||||||||||
12/15/11 | IDR | 2,271,300 | USD | 253 | 4 | |||||||||||||||
12/15/11 | INR | 8,545 | USD | 172 | 9 | |||||||||||||||
12/15/11 | JPY | 37,910 | USD | 488 | (1 | ) | ||||||||||||||
12/15/11 | NOK | 1,812 | USD | 323 | 9 | |||||||||||||||
12/15/11 | RUB | 41,871 | USD | 1,375 | 16 | |||||||||||||||
12/15/11 | SGD | 303 | USD | 239 | 3 | |||||||||||||||
12/15/11 | THB | 16,438 | USD | 534 | 7 | |||||||||||||||
12/15/11 | TRY | 363 | USD | 203 | 5 | |||||||||||||||
12/15/11 | USD | 247 | AUD | 256 | 15 | |||||||||||||||
12/15/11 | USD | 269 | CAD | 279 | 6 | |||||||||||||||
12/15/11 | USD | 380 | EUR | 278 | (6 | ) | ||||||||||||||
12/15/11 | USD | 164 | INR | 8,545 | (1 | ) | ||||||||||||||
12/15/11 | USD | 244 | RUB | 7,728 | 7 | |||||||||||||||
12/15/11 | USD | 52 | SGD | 68 | 1 | |||||||||||||||
12/15/11 | USD | 195 | TRY | 363 | 3 | |||||||||||||||
12/15/11 | ZAR | 2,118 | USD | 268 | 7 | |||||||||||||||
1/4/2012 | BRL | 2,886 | USD | 1,633 | 43 | |||||||||||||||
|
| |||||||||||||||||||
$ | 338 | |||||||||||||||||||
|
|
A summary of the counterparties for the open forward foreign currency contracts held by the Fund at November 30, 2011, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||
Brown Brothers Harriman | (23,945 | ) | 24,283 | $ | 338 | |||||||
|
|
For the period ended November 30, 2011, the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
146 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
The open swap agreements held by the Fund at November 30, 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 ($ Thousands) | ||||||||||||
Morgan Stanley | CDX.NA.IG.17.1 | Sell | 1.00% | 12/20/16 | $ | (890 | ) | $ | 6 | |||||||||
|
|
Total Return Swaps | ||||||||||||||||||
Counterparty | Reference Entity/Obligation | Fund Pays | Fund Receives | Termination Date | Notional Amount ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||||||
UBS Warburg | S&P 500 TR Index | Index Return | 1-Month LIBOR Plus 11 Bps | 08/15/12 | $ | 5,791 | $ | 43 | ||||||||||
UBS Warburg | S&P 500 TR Index | Index Return | 1-Month LIBOR Plus 11 Bps | 08/15/12 | 7,018 | 52 | ||||||||||||
UBS Warburg | S&P 500 TR Index | Index Return | 1-Month LIBOR Plus 11 Bps | 08/15/12 | 637 | 4 | ||||||||||||
UBS Warburg | S&P 500 TR Index | Index Return | 1-Month LIBOR Plus 8 Bps | 08/15/12 | 1,234 | 9 | ||||||||||||
UBS Warburg | S&P 500 TR Index | Index Return | 1-Month LIBOR Plus 4 Bps | 08/15/12 | 1,473 | 11 | ||||||||||||
UBS Warburg | S&P 500 TR Index | Index Return | 1-Month LIBOR Plus 6.5 Bps | 09/17/12 | 725 | 6 | ||||||||||||
UBS Warburg | S&P 500 TR Index | Index Return | 1-Month LIBOR Minus 6 Bps | 10/15/12 | 452 | 3 | ||||||||||||
UBS Warburg | S&P 500 TR Index | Index Return | 1-Month LIBOR Plus 10 Bps | 10/15/12 | 108 | 1 | ||||||||||||
UBS Warburg | S&P 500 TR Index | Index Return | 1-Month LIBOR Plus 5 Bps | 11/15/12 | 504 | 4 | ||||||||||||
UBS Warburg | S&P 500 TR Index | Index Return | 1-Month LIBOR Plus 6 Bps | 12/17/12 | 1,450 | (37 | ) | |||||||||||
|
| |||||||||||||||||
$ | 96 | |||||||||||||||||
|
|
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Deutsche Bank | 3 Month US LIBOR | 2.35% | 10/13/21 | $ | 960 | $ | 18 | |||||||
Deutsche Bank | 0.69% | 3 Month US LIBOR | 10/13/13 | 4,910 | (7 | ) | ||||||||
|
| |||||||||||||
$ | 11 | |||||||||||||
|
|
For the period ended November 30, 2011, the total amount of all open swap agreements, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
The open reverse repurchase agreements held by the Fund as of November 30, 2011, is as follows:
Principal Amount ($ Thousands) | Coupon Rate (bps) | Counterparty | Value ($ Thousands) | |||||||||
$1,317 | 20 | Bank of America Securities LLC | $ | 1,317 | ||||||||
2,941 | 16 | Bank of America Securities LLC | 2,941 | |||||||||
541 | 12 | Bank of America Securities LLC | 541 | |||||||||
651 | 9 | Bank of America Securities LLC | 651 | |||||||||
529 | 15 | Bank of America Securities LLC | 528 | |||||||||
649 | 12 | Bank of America Securities LLC | 649 | |||||||||
1,703 | 19 | Bank of America Securities LLC | 1,703 | |||||||||
1,584 | 19 | Bank of America Securities LLC | 1,584 | |||||||||
525 | 14 | Bank of America Securities LLC | 525 | |||||||||
|
| |||||||||||
$ | 10,439 | |||||||||||
|
|
Percentages are based on a Net Assets of $126,668 ($ Thousands)
* | Non-income producing security. |
‡ | Real Estate Investment Trust. |
(1) | In U.S. Dollars unless otherwise indicated. |
(A) | Security, or portion thereof, has been pledged as collateral on open reverse repurchase agreements. |
(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 November 30, 2011. The date reported on the Schedule of Investments is the final maturity date. |
ADR — American Depositary Receipt
ARM — Adjustable Rate Mortgage
AUD — Australian Dollar
Bps — Basis Points
BRL — Brazilian Real
CAD — Canadian Dollar
CHF — Swiss Franc
Cl — Class
CNY — Chinese Yuan
EUR — Euro
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
GBP — British Pound
IDR — Indonesian Rupiah
INR — Indian Rupee
JPY — Japanese Yen
LIBOR — London Interbank Offered Rate
LLC — Limited Liability Company
MTN — Medium Term Note
MXP — Mexican Peso
NOK — Norwegian Kroner
NVDR — Non-Voting Depositary Receipt
RUB — Russian Ruble
S&P — Standard & Poor’s
Ser — Series
SGD — Singapore Dollar
TBA — To Be Announced
THB — Thai Baht
TRY — Turkish New Lira
USD — United States Dollar
ZAR — South African Rand
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 147 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Real Return Fund (Concluded)
November 30, 2011
The following is a summary of the inputs used as of November 30, 2011, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Treasury Obligations | $ | — | $ | 61,262 | $ | — | $ | 61,262 | ||||||||
Common Stock | 19,326 | — | — | 19,326 | ||||||||||||
Exchange Traded Fund | 18,753 | — | — | 18,753 | ||||||||||||
Foreign Common Stock | 18,645 | — | — | 18,645 | ||||||||||||
Corporate Obligations | — | 4,177 | — | 4,177 | ||||||||||||
Asset-Backed Securities | — | 3,125 | — | 3,125 | ||||||||||||
Mortgage-Backed Securities | — | 3,402 | — | 3,402 | ||||||||||||
Foreign Bonds | — | 2,083 | — | 2,083 | ||||||||||||
Preferred Stock | 721 | — | — | 721 | ||||||||||||
Purchased Option | 31 | — | — | 31 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 57,476 | $ | 74,049 | $ | — | $ | 131,525 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 59 | $ | — | $ | — | $ | 59 | ||||||||
Forwards Contracts* | 338 | — | — | 338 | ||||||||||||
Credit Default Swaps* | — | 6 | — | 6 | ||||||||||||
Total Return Swaps* | — | 96 | — | 96 | ||||||||||||
Interest Rate Swaps* | — | 11 | — | 11 | ||||||||||||
Reverse Repurchase Agreements | — | 10,439 | — | 10,439 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 397 | $ | 10,552 | $ | — | $ | 10,949 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts, forwards contracts and swaps are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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.
Amounts designated as “—” are $O or have been rounded to $O.
The accompanying notes are an integral part of the financial statements.
148 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
This page intentionally left blank.
Table of Contents
Statements of Assets and Liabilities ($ Thousands) (Unaudited)
November 30, 2011
Large Cap Fund | Large Cap Diversified Alpha Fund | Large Cap Disciplined Equity Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value† | $ | 1,476,337 | * | $ | 304,328 | $ | 5,867,347 | * | ||||
Affiliated investment, at value†† | 164,065 | 8,768 | 1,246,799 | |||||||||
Cash | 5 | — | 17 | |||||||||
Foreign currency, at value††† | — | — | — | |||||||||
Receivable for fund shares sold | 13,124 | 332 | 11,510 | |||||||||
Dividends and interest receivable | 3,169 | 724 | 16,037 | |||||||||
Receivable for variation margin | 1,713 | 195 | 38,454 | |||||||||
Receivable for investment securities sold | 1,105 | 188 | 78,015 | |||||||||
Foreign tax reclaim receivable | 38 | 5 | 35 | |||||||||
Unrealized gain on forward foreign currency contracts | — | — | — | |||||||||
Prepaid expenses | 13 | 3 | 69 | |||||||||
Total Assets | 1,659,569 | 314,543 | 7,258,283 | |||||||||
LIABILITIES: | ||||||||||||
Payable upon return on securities loaned | 106,910 | — | 374,241 | |||||||||
Payable for investment securities purchased | 5,859 | 382 | 72,192 | |||||||||
Payable for fund shares redeemed | 5,472 | 739 | 30,618 | |||||||||
Investment advisory fees payable | 302 | 75 | 941 | |||||||||
Payable for variation margin | 15 | — | — | |||||||||
CCO fees payable | 4 | 1 | 20 | |||||||||
Trustees fees payable | 3 | 1 | 13 | |||||||||
Payable to custodian | — | — | — | |||||||||
Unrealized loss on forward foreign currency contracts | — | — | — | |||||||||
Accrued expense payable | 44 | 14 | 188 | |||||||||
Total Liabilities | 118,609 | 1,212 | 478,213 | |||||||||
Net Assets | $ | 1,540,960 | $ | 313,331 | $ | 6,780,070 | ||||||
†Cost of investments and repurchase agreements | 1,365,031 | 293,318 | 5,493,098 | |||||||||
††Cost of affiliated investments | 164,882 | 8,768 | 1,425,138 | |||||||||
†††Cost of foreign currency | — | — | — | |||||||||
* Includes market value of securities on loan | 109,066 | — | 382,419 | |||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital — (unlimited authorization — no par value) | $ | 1,388,322 | $ | 432,039 | $ | 7,987,094 | ||||||
Undistributed net investment income | 4,158 | 26 | 2,686 | |||||||||
Accumulated net realized gain (loss) on investments, option contracts, swaptions, futures, securities sold short, swap contracts and foreign currency | 37,555 | (129,831 | ) | (1,464,716 | ) | |||||||
Net unrealized appreciation (depreciation) on investments and option contracts | 110,489 | 11,010 | 195,910 | |||||||||
Net unrealized appreciation (depreciation) on futures contracts | 436 | 87 | 59,096 | |||||||||
Net unrealized depreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies | — | — | — | |||||||||
Net Assets | $ | 1,540,960 | $ | 313,331 | $ | 6,780,070 | ||||||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $16.93 | $8.88 | $10.02 | |||||||||
| ($1,540,959,816 ÷ 91,002,936 shares | ) | | ($313,330,809 ÷ 35,278,912 shares | ) | | ($6,780,070,393 ÷ 676,466,540 shares | ) |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
150 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Large Cap Index Fund | Small Cap Fund | Small/Mid Cap Equity Fund | U.S. Managed Volatility Fund | International Equity Fund | ||||||||||||||
$786,543 | * | $ 626,690 | * | $1,966,275 | * | $350,560 | $ 379,068 | * | ||||||||||
78,167 | 201,257 | 605,221 | 8,786 | 15,718 | ||||||||||||||
— | — | 9 | — | 423 | ||||||||||||||
— | — | — | 9 | 291 | ||||||||||||||
5,729 | 8,216 | 10,764 | 3,523 | 1,446 | ||||||||||||||
2,083 | 467 | 1,626 | 969 | 1,148 | ||||||||||||||
1,040 | 1,009 | 2,446 | 505 | 159 | ||||||||||||||
8 | 3,371 | 10,132 | 12,522 | 140 | ||||||||||||||
— | — | — | 1 | 803 | ||||||||||||||
— | — | — | — | 100 | ||||||||||||||
6 | 5 | 17 | 2 | 4 | ||||||||||||||
873,576 | 841,015 | 2,596,490 | 376,877 | 399,300 | ||||||||||||||
58,757 | 189,370 | 540,266 | — | 15,434 | ||||||||||||||
4,602 | 2,857 | 17,376 | — | 232 | ||||||||||||||
678 | 291 | 4,951 | 14,386 | 719 | ||||||||||||||
28 | 272 | 795 | 95 | 108 | ||||||||||||||
15 | — | — | — | 16 | ||||||||||||||
2 | 2 | 6 | — | 1 | ||||||||||||||
1 | 1 | 4 | — | 1 | ||||||||||||||
— | 18 | — | — | — | ||||||||||||||
— | 1 | — | — | — | ||||||||||||||
23 | 27 | 64 | 4 | 94 | ||||||||||||||
64,106 | 192,839 | 563,462 | 14,485 | 16,605 | ||||||||||||||
$809,470 | $ 648,176 | $2,033,028 | $362,392 | $ 382,695 | ||||||||||||||
646,965 | 632,331 | 1,889,287 | 326,604 | 408,166 | ||||||||||||||
78,985 | 207,365 | 613,943 | 8,786 | 16,493 | ||||||||||||||
— | — | — | 9 | 286 | ||||||||||||||
59,809 | 192,781 | 551,703 | — | 13,679 | ||||||||||||||
$699,480 | $ 908,835 | $2,104,002 | $311,062 | $ 818,483 | ||||||||||||||
2,883 | 1,028 | 7,826 | 1,094 | 9,739 | ||||||||||||||
| (33,002 | ) | (250,299 | ) | (148,896 | ) | 25,820 | (415,529 | ) | |||||||||
| 138,760 |
| (11,749 | ) | 68,266 | 23,956 | (29,873 | ) | ||||||||||
1,349 | 361 | 1,830 | 460 | (51 | ) | |||||||||||||
| — | | — | — | — | (74 | ) | |||||||||||
$809,470 | $ 648,176 | $2,033,028 | $362,392 | $ 382,695 | ||||||||||||||
$108.24 | $11.72 | $11.88 | $11.69 | $6.72 | ||||||||||||||
| ($809,469,905 ÷ 7,478,287 shares | ) | | ($648,176,414 ÷ 55,316,569 shares | ) | | ($2,033,027,864 ÷ 171,089,626 shares | ) | | ($362,391,706 ÷ 30,991,149 shares | ) | | ($382,694,513 ÷ 56,976,396 shares | ) |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 151 |
Table of Contents
Statements of Assets and Liabilities ($ Thousands) (Unaudited)
November 30, 2011
World Equity Ex-US Fund | Screened World Equity Ex-US Fund | Enhanced LIBOR Opportunities Fund | Core Fixed Income Fund | |||||||||||||
ASSETS: | ||||||||||||||||
Investments, at value† | $ | 4,371,690 | * | $ | 44,990 | $ | 111,582 | $ | 6,371,157 | * | ||||||
Affiliated investments, at value†† | 374,193 | 1,603 | 122,631 | 930,837 | ||||||||||||
Cash | 74,313 | 436 | 354 | 296 | ||||||||||||
Foreign currency, at value††† | 16,455 | 74 | — | 323 | ||||||||||||
Cash pledged as collateral for forward foreign currency contracts, future contracts and swap contracts | — | — | 45 | 2,350 | ||||||||||||
Receivable for fund shares sold | 36,708 | 347 | 62 | 18,924 | ||||||||||||
Dividends and interest receivable | 7,735 | 76 | 636 | 38,105 | ||||||||||||
Receivable for investment securities sold | 3,147 | 24 | 656 | 1,101,328 | ||||||||||||
Foreign tax reclaim receivable | 2,594 | 60 | 1 | 36 | ||||||||||||
Unrealized gain on forward foreign currency contracts | 519 | 7 | — | 1,120 | ||||||||||||
Receivable for variation margin | 414 | 55 | 10 | 2,280 | ||||||||||||
Unrealized gain on foreign spot currency contracts | 14 | — | — | 85 | ||||||||||||
Swap contracts, at value †††† | — | — | — | 6,496 | ||||||||||||
Prepaid expenses | 39 | — | 2 | 56 | ||||||||||||
Total Assets | 4,887,821 | 47,672 | 235,979 | 8,473,393 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Payable upon return on securities loaned | 377,467 | — | — | 596,793 | ||||||||||||
Payable for investment securities purchased | 14,839 | 8 | 4,395 | 1,591,871 | ||||||||||||
Payable for fund shares redeemed | 13,144 | 1,227 | 1,731 | 22,279 | ||||||||||||
Unrealized loss on foreign spot currency contracts | 3 | — | — | 84 | ||||||||||||
Payable for variation margin | 68 | 3 | 1 | 43 | ||||||||||||
Unrealized loss on forward foreign currency contracts | 44 | — | — | 36 | ||||||||||||
Income distribution payable | — | — | — | 663 | ||||||||||||
Swap contracts, at value†††† | — | — | — | 6,895 | ||||||||||||
Options written, at value††††† | — | — | — | 91 | ||||||||||||
Payable to custodian | — | — | — | — | ||||||||||||
Reverse repurchase agreements | — | — | — | — | ||||||||||||
Investment advisory fees payable | 1,554 | 16 | 73 | 699 | ||||||||||||
CCO fees payable | 13 | — | 1 | 15 | ||||||||||||
Trustees fees payable | 9 | — | — | 10 | ||||||||||||
Accrued expense payable | 321 | 52 | 5 | 150 | ||||||||||||
Total Liabilities | 407,462 | 1,306 | 6,206 | 2,219,629 | ||||||||||||
Net Assets | $ | 4,480,359 | $ | 46,366 | $ | 229,773 | $ | 6,253,764 | ||||||||
†Cost of investments and repurchase agreements | 4,492,739 | 47,745 | 115,732 | 6,275,014 | ||||||||||||
††Cost of affiliated investments | 377,467 | 1,603 | 142,018 | 941,516 | ||||||||||||
†††Cost of foreign currency | 17,050 | 80 | — | 325 | ||||||||||||
††††Premiums received | — | — | — | 3,990 | ||||||||||||
†††††Premiums received | — | — | — | 143 | ||||||||||||
* Includes market value of securities on loan | 381,218 | — | — | 576,125 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Paid-in-Capital — (unlimited authorization — no par value) | $ | 5,157,988 | $ | 65,503 | $ | 280,211 | $ | 6,127,971 | ||||||||
Undistributed (distributions in excess of) net investment income (Accumulated net investment loss) | 85,827 | 879 | 4,396 | (13,000 | ) | |||||||||||
Accumulated net realized gain (loss) on investments, option contracts, swaptions, futures, securities sold short, swap contracts and foreign currency | (638,611 | ) | (17,259 | ) | (31,303 | ) | 53,667 | |||||||||
Net unrealized appreciation (depreciation) on investments and option contracts | (124,323 | ) | (2,755 | ) | (23,537 | ) | 85,517 | |||||||||
Net unrealized appreciation (depreciation) on futures contracts | (447 | ) | (5 | ) | 6 | 2,932 | ||||||||||
Net unrealized appreciation (depreciation) on swap contracts | — | — | — | (4,389 | ) | |||||||||||
Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies | (75 | ) | 3 | — | 1,066 | |||||||||||
Net Assets | $ | 4,480,359 | $ | 46,366 | $ | 229,773 | $ | 6,253,764 | ||||||||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $9.82 | $7.42 | $7.82 | $10.52 | ||||||||||||
| ($4,480,358,604 ÷ 456,365,318 shares | ) | | ($46,365,920 ÷ 6,246,528 shares | ) | | ($229,773,008 ÷ 29,369,749 shares | ) | | ($6,253,763,566 ÷ 594,587,644 shares | ) |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
152 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
High Yield Bond Fund | Long Duration Fund | Ultra Short Duration Bond Fund | Emerging Markets Debt Fund | Real Return Fund | Dynamic Asset Allocation Fund | Multi-Asset Real Return Fund | ||||||||||||||||||||
$1,869,057 | $3,419,309 | $498,544 | $1,012,330 | * | $285,179 | $ 55,742 | $131,525 | |||||||||||||||||||
106,103 | 33,242 | 16 | 3,789 | — | 407,644 | — | ||||||||||||||||||||
— | 1 | 498 | — | — | — | 1,141 | ||||||||||||||||||||
— | — | — | 64 | — | — | 82 | ||||||||||||||||||||
— | — | 104 | 433 | — | 600 | — | ||||||||||||||||||||
7,007 | 22,677 | 10,758 | 5,021 | 3,037 | 2,237 | 13,595 | ||||||||||||||||||||
37,072 | 39,652 | 1,527 | 17,818 | 1,208 | 96 | 588 | ||||||||||||||||||||
9,241 | 8,000 | 7 | 2,663 | 4,032 | — | 262 | ||||||||||||||||||||
— | — | 5 | — | — | — | — | ||||||||||||||||||||
— | — | — | 652 | — | — | 348 | ||||||||||||||||||||
— | 412 | 28 | — | — | 13,028 | 28 | ||||||||||||||||||||
— | — | — | 920 | — | — | 1 | ||||||||||||||||||||
1,622 | 559 | — | 4,845 | — | — | 19,662 | ||||||||||||||||||||
3 | 32 | 4 | 7 | 3 | 4 | — | ||||||||||||||||||||
2,030,105 | 3,523,884 | 511,491 | 1,048,542 | 293,459 | 479,351 | 167,232 | ||||||||||||||||||||
— | — | — | 4,017 | — | — | — | ||||||||||||||||||||
39,501 | 10,203 | 30,732 | 6,379 | — | — | 10,370 | ||||||||||||||||||||
20,082 | 4,345 | 598 | 8,603 | 2,757 | 944 | 140 | ||||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
— | 2,516 | — | 44 | — | 396 | — | ||||||||||||||||||||
— | — | — | 1,658 | — | — | 10 | ||||||||||||||||||||
286 | 147 | 2 | — | — | — | — | ||||||||||||||||||||
— | — | — | — | — | — | 19,566 | ||||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
2,477 | — | — | 1,721 | — | — | — | ||||||||||||||||||||
— | — | — | — | — | — | 10,439 | ||||||||||||||||||||
525 | 536 | 57 | 453 | 46 | 188 | 32 | ||||||||||||||||||||
5 | 7 | 1 | 2 | 1 | 1 | — | ||||||||||||||||||||
3 | 4 | 1 | 2 | 1 | 1 | — | ||||||||||||||||||||
61 | 73 | 12 | 59 | 6 | 10 | 7 | ||||||||||||||||||||
62,940 | 17,831 | 31,403 | 22,938 | 2,811 | 1,540 | 40,564 | ||||||||||||||||||||
$1,967,165 | $3,506,053 | $480,088 | $1,025,604 | $290,648 | $477,811 | $126,668 | ||||||||||||||||||||
1,906,894 | 3,122,701 | 501,665 | 980,459 | 275,020 | 55,765 | 134,410 | ||||||||||||||||||||
106,103 | 33,242 | 16 | 4,017 | — | 407,644 | — | ||||||||||||||||||||
— | — | — | 64 | — | — | 82 | ||||||||||||||||||||
1,546 | 353 | — | 3,946 | — | — | (17 | ) | |||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
— | — | — | 3,787 | — | — | — | ||||||||||||||||||||
$2,080,743 | $3,036,813 | $484,324 | $974,442 | $273,616 | $472,623 | $131,043 | ||||||||||||||||||||
4,437 | 243 | (153 | ) | 11,017 | 1,176 | (1,050 | ) | 248 | ||||||||||||||||||
(80,254 | ) | 173,927 | (983 | ) | 7,877 | 5,697 | (13,328 | ) | (2,249 | ) | ||||||||||||||||
(37,837 | ) | 296,608 | (3,121 | ) | 31,643 | 10,159 | (23 | ) | (2,885 | ) | ||||||||||||||||
| — | | (1,744 | ) | 21 | 5 | — | 19,589 | 59 | |||||||||||||||||
76 | 206 | — | 899 | — | — | 113 | ||||||||||||||||||||
— | — | — | (279 | ) | — | — | 339 | |||||||||||||||||||
$1,967,165 | $3,506,053 | $480,088 | $1,025,604 | $290,648 | $477,811 | $126,668 | ||||||||||||||||||||
| $8.93 | | $9.53 | $9.90 | $11.13 | $10.49 | $10.79 | $9.58 | ||||||||||||||||||
| ($1,967,164,771 220,371,542 shares | ÷ ) | | ($3,506,053,304 ÷ 367,991,099 shares | ) | | ($480,087,621 ÷ 48,501,762 shares | ) | | ($1,025,603,833 ÷ 92,159,186 shares | ) | | ($290,648,229 ÷ 27,714,938 shares | ) | | ($477,811,357 ÷ 44,299,424 shares | ) |
| ($126,667,929 13,225,046 shares | ÷ ) |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 153 |
Table of Contents
Statements of Operations ($ Thousands) (Unaudited)
For the period ended November 30, 2011
Large Cap Fund | Large Cap Diversified Alpha Fund | Large Cap Disciplined Equity Fund | ||||||||||
Investment Income | ||||||||||||
Dividends | $ | 12,791 | $ | 2,768 | $ | 61,239 | ||||||
Dividends from Affiliated Registered Investment Company(1) | 6 | 1 | 29 | |||||||||
Interest Income | — | — | 40 | |||||||||
Security Lending Income — Net | 96 | — | 271 | |||||||||
Less: Foreign Taxes Withheld | — | — | — | |||||||||
12,893 | 2,769 | 61,579 | ||||||||||
Expenses: | ||||||||||||
Investment Advisory Fees | 3,013 | 643 | 13,847 | |||||||||
Administration Fees | 377 | 80 | 1,731 | |||||||||
Trustee Fees | 10 | 2 | 48 | |||||||||
Chief Compliance Officer Fees | 4 | 1 | 17 | |||||||||
Custodian/Wire Agent Fees | 45 | 10 | 209 | |||||||||
Professional Fees | 28 | 6 | 132 | |||||||||
Printing Fees | 8 | 2 | 37 | |||||||||
Registration Fees | 4 | — | 21 | |||||||||
Overdraft Fees | — | — | — | |||||||||
Other Expenses | 23 | 9 | 92 | |||||||||
Total Expenses | 3,512 | 753 | 16,134 | |||||||||
Less: | ||||||||||||
Waiver of Investment Advisory Fees | (1,166 | ) | (166 | ) | (7,950 | ) | ||||||
Waiver of Administration Fees | (377 | ) | (80 | ) | (1,731 | ) | ||||||
Fees Paid Indirectly(1) | (52 | ) | (6 | ) | (151 | ) | ||||||
Net Expenses | 1,917 | 501 | 6,302 | |||||||||
Net Investment Income | 10,976 | 2,268 | 55,277 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | 46,040 | 11,282 | 295,252 | |||||||||
Affiliated Investments | — | — | 18,423 | |||||||||
Futures Contracts | (1,774 | ) | (609 | ) | (119,300 | ) | ||||||
Foreign Currency Transactions | (40 | ) | — | — | ||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | (165,462 | ) | (35,303 | ) | (790,790 | ) | ||||||
Affiliated Investments | (229 | ) | — | (21,762 | ) | |||||||
Futures Contracts | (1,064 | ) | (39 | ) | 33,847 | |||||||
Foreign Currency and Translation of Other Assets and Liabilities | — | — | — | |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (111,553 | ) | $ | (22,401 | ) | $ | (529,053 | ) |
(1) | See Note 5 in the Notes to Financial Statements. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
154 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Large Cap Index Fund | Small Cap Fund | Small/Mid Cap Equity Fund | U.S. Managed Volatility Fund | International Equity Fund | ||||||||||||||
$ | 7,713 | $ | 3,383 | $ | 10,873 | $ | 2,725 | $ | 5,063 | |||||||||
3 | 2 | 9 | 1 | 1 | ||||||||||||||
1 | 59 | 132 | — | 1 | ||||||||||||||
68 | 550 | 1,259 | — | 377 | ||||||||||||||
(2 | ) | (5 | ) | (21 | ) | (18 | ) | (337 | ) | |||||||||
7,783 | 3,989 | 12,252 | 2,708 | 5,105 | ||||||||||||||
634 | 2,064 | 6,626 | 709 | 1,168 | ||||||||||||||
187 | 159 | 510 | 55 | 116 | ||||||||||||||
5 | 4 | 14 | 1 | 3 | ||||||||||||||
2 | 2 | 5 | 1 | 1 | ||||||||||||||
21 | 20 | 62 | 4 | 132 | ||||||||||||||
14 | 12 | 39 | 3 | 11 | ||||||||||||||
4 | 3 | 11 | 1 | 2 | ||||||||||||||
4 | 2 | 4 | 1 | 1 | ||||||||||||||
— | — | — | — | 12 | ||||||||||||||
16 | 20 | 34 | 4 | 42 | ||||||||||||||
887 | 2,286 | 7,305 | 779 | 1,488 | ||||||||||||||
(470 | ) | (408 | ) | (1,684 | ) | (341 | ) | (369 | ) | |||||||||
(187 | ) | (159 | ) | (510 | ) | (55 | ) | (116 | ) | |||||||||
(8 | ) | (17 | ) | (50 | ) | — | — | |||||||||||
222 | 1,702 | 5,061 | 383 | 1,003 | ||||||||||||||
7,561 | 2,287 | 7,191 | 2,325 | 4,102 | ||||||||||||||
19,248 | 24,100 | 70,850 | 2,634 | (8,729 | ) | |||||||||||||
— | — | — | — | — | ||||||||||||||
(2,257 | ) | 213 | (7,162 | ) | 443 | (2,227 | ) | |||||||||||
— | (1 | ) | (18 | ) | 25 | (734 | ) | |||||||||||
(76,195 | ) | (112,129 | ) | (350,901 | ) | (3,066 | ) | (88,460 | ) | |||||||||
(234 | ) | (494 | ) | (1,260 | ) | — | 39 | |||||||||||
389 | (11 | ) | 457 | 383 | (21 | ) | ||||||||||||
| — | | — | — | — | 30 | ||||||||||||
$ | (51,488 | ) | $ | (86,035 | ) | $ | (280,843 | ) | $ | 2,744 | $ | (96,000 | ) |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 155 |
Table of Contents
Statements of Operations ($ Thousands) (Unaudited)
For the period ended November 30, 2011
World Equity Ex-US Fund | Screened World Equity Ex-US Fund | Enhanced LIBOR Opportunities Fund | Core Fixed Income Fund | |||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 51,796 | $ | 532 | $ | — | $ | — | ||||||||
Dividends from Affiliated Registered Investment Company(1) | 11 | — | 1 | 45 | ||||||||||||
Interest Income | 9 | 1 | 2,918 | 115,041 | ||||||||||||
Security Lending Income — Net | 3,374 | — | — | 342 | ||||||||||||
Less: Foreign Taxes Withheld | (4,150 | ) | (45 | ) | — | (20 | ) | |||||||||
51,040 | 488 | 2,919 | 115,408 | |||||||||||||
Expenses: | ||||||||||||||||
Investment Advisory Fees | 12,767 | 161 | 620 | 9,897 | ||||||||||||
Administration Fees | 1,161 | 12 | 69 | 1,650 | ||||||||||||
Trustee Fees | 32 | — | 2 | 41 | ||||||||||||
Chief Compliance Officer Fees | 11 | — | 1 | 16 | ||||||||||||
Custodian/Wire Agent Fees | 402 | 61 | 8 | 189 | ||||||||||||
Professional Fees | 100 | 1 | 5 | 117 | ||||||||||||
Overdraft Fees | 34 | 1 | — | — | ||||||||||||
Printing Fees | 25 | — | 1 | 33 | ||||||||||||
Registration Fees | 10 | — | 3 | 24 | ||||||||||||
Interest Expense | — | — | — | — | ||||||||||||
Other Expenses | 97 | 25 | 12 | 95 | ||||||||||||
Total Expenses | 14,639 | 261 | 721 | 12,062 | ||||||||||||
Less: | ||||||||||||||||
Waiver of Investment Advisory Fees | (2,954 | ) | (50 | ) | (82 | ) | (5,754 | ) | ||||||||
Waiver of Administration Fees | (1,161 | ) | (12 | ) | (69 | ) | (1,650 | ) | ||||||||
Fees Paid Indirectly(1) | (57 | ) | — | — | — | |||||||||||
Net Expenses | 10,467 | 199 | 570 | 4,658 | ||||||||||||
Net Investment Income (Loss) | 40,573 | 289 | 2,349 | 110,750 | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||
Investments | (60,182 | ) | (405 | ) | (46 | ) | 156,037 | |||||||||
Affiliated Investments | — | — | 715 | — | ||||||||||||
Futures Contracts | (7,743 | ) | 31 | (239 | ) | (24,146 | ) | |||||||||
Written Options | �� | — | — | — | 1,272 | |||||||||||
Swap Contracts | — | — | — | (14,084 | ) | |||||||||||
Foreign Currency Transactions | (5,674 | ) | (29 | ) | — | 1,292 | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||
Investments | (771,342 | ) | (9,315 | ) | (5,539 | ) | (38,738 | ) | ||||||||
Affiliated Investments | (550 | ) | — | (2 | ) | (1,116 | ) | |||||||||
Futures Contracts | (1,880 | ) | (24 | ) | 21 | 4,347 | ||||||||||
Written Options | — | — | — | 149 | ||||||||||||
Swap Contracts | — | — | — | 6,612 | ||||||||||||
Foreign Capital Gains Tax | 126 | — | — | — | ||||||||||||
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currencies | (478 | ) | (11 | ) | — | | 647 | | ||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (807,150 | ) | $ | (9,464 | ) | $ | (2,741 | ) | $ | 203,022 |
(1) | See Note 5 in the Notes to Financial Statements. |
(2) | Commenced operations on July 28, 2011. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
156 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
High Yield Bond Fund | Long Duration Fund | Ultra Short Duration Bond Fund | Emerging Markets Debt Fund | Real Return Fund | Dynamic Asset Allocation Fund | Multi-Asset Real Return Fund(2) | ||||||||||||||||||||
$ | 375 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 353 | |||||||||||||
7 | 6 | — | — | — | 28 | — | ||||||||||||||||||||
76,311 | 87,101 | 2,743 | 37,648 | 5,550 | 53 | 123 | ||||||||||||||||||||
— | — | — | 10 | — | — | — | ||||||||||||||||||||
— | — | — | — | — | — | (6 | ) | |||||||||||||||||||
76,693 | 87,107 | 2,743 | 37,658 | 5,550 | 81 | 470 | ||||||||||||||||||||
4,630 | 5,312 | 326 | 4,459 | 343 | 1,353 | 198 | ||||||||||||||||||||
475 | 885 | 109 | 262 | 78 | 113 | 18 | ||||||||||||||||||||
12 | 21 | 2 | 7 | 2 | 3 | — | ||||||||||||||||||||
4 | 8 | 1 | 2 | 1 | 1 | — | ||||||||||||||||||||
55 | 95 | 10 | 46 | 3 | 12 | 2 | ||||||||||||||||||||
35 | 60 | 7 | 20 | 6 | 8 | 1 | ||||||||||||||||||||
— | — | — | 6 | — | — | — | ||||||||||||||||||||
10 | 17 | 2 | 5 | 2 | 2 | — | ||||||||||||||||||||
4 | 14 | 3 | 3 | 1 | 7 | 4 | ||||||||||||||||||||
— | — | — | — | — | — | 4 | ||||||||||||||||||||
84 | 76 | 7 | 59 | 5 | 4 | 2 | ||||||||||||||||||||
5,309 | 6,488 | 467 | 4,869 | 441 | 1,503 | 229 | ||||||||||||||||||||
(1,497 | ) | (2,041 | ) | — | (1,709 | ) | (48 | ) | (259 | ) | (68 | ) | ||||||||||||||
(475 | ) | (885 | ) | (109 | ) | (262 | ) | (78 | ) | (113 | ) | (18 | ) | |||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
3,337 | 3,562 | 358 | 2,898 | 315 | 1,131 | 143 | ||||||||||||||||||||
73,356 | 83,545 | 2,385 | 34,760 | 5,235 | (1,050 | ) | 327 | |||||||||||||||||||
8,030 | 175,412 | 542 | 13,973 | 4,423 | 1 | (1,886 | ) | |||||||||||||||||||
(5 | ) | — | — | — | — | — | — | |||||||||||||||||||
— | 22,669 | (1,161 | ) | 800 | — | (23,741 | ) | (290 | ) | |||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
(528 | ) | 225 | — | (473 | ) | — | — | (117 | ) | |||||||||||||||||
— | — | — | 2,428 | — | — | 44 | ||||||||||||||||||||
(143,643 | ) | 66,864 | (3,271 | ) | (59,208 | ) | (5,436 | ) | (31 | ) | (2,885 | ) | ||||||||||||||
— | — | — | (14 | ) | — | — | — | |||||||||||||||||||
— | 583 | 132 | 30 | — | 7,677 | 59 | ||||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
1,909 | 206 | — | 449 | — | — | 113 | ||||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
— | — | — | (90 | ) | — | — | 339 | |||||||||||||||||||
$ | (60,881 | ) | $ | 349,504 | $ | (1,373 | ) | $ | (7,345 | ) | $ | 4,222 | $ | (17,144 | ) | $ | (4,296 | ) |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 157 |
Table of Contents
Statements of Changes in Net Assets ($ Thousands)
For the period ended November 30, 2011 (unaudited) and the year ended May 31, 2011
Large Cap Fund | Large Cap Diversified Alpha Fund | |||||||||||||||
6/1/11 to 11/30/11 | 6/1/10 to 5/31/11 | 6/1/11 to 11/30/11 | 6/1/10 to 5/31/11 | |||||||||||||
Operations: | ||||||||||||||||
Net Investment Income | $ | 10,976 | $ | 19,855 | $ | 2,268 | $ | 4,660 | ||||||||
Net Realized Gain (Loss) from Investments, Affiliated Investments, Futures Contracts and Swap Contracts | 44,266 | 106,580 | 10,673 | 35,602 | ||||||||||||
Net Realized Loss on Foreign Currency Transactions | (40 | ) | — | — | — | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments and Futures Contracts | (166,755 | ) | 214,966 | (35,342 | ) | 44,228 | ||||||||||
Net Change in Unrealized Appreciation on Foreign Currency Transactions | — | — | — | — | ||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (111,553 | ) | 341,401 | (22,401 | ) | 84,490 | ||||||||||
Dividends and Distributions From: | ||||||||||||||||
Net Investment Income: | ||||||||||||||||
Class A | (10,989 | ) | (19,157 | ) | (2,242 | ) | (6,446 | ) | ||||||||
Total Dividends and Distributions | (10,989 | ) | (19,157 | ) | (2,242 | ) | (6,446 | ) | ||||||||
Capital Share Transactions:(1) | ||||||||||||||||
Class A: | ||||||||||||||||
Proceeds from Shares Issued | 298,746 | 591,342 | (2) | 28,478 | 57,093 | |||||||||||
Reinvestment of Dividends & Distributions | 10,768 | 18,866 | 2,050 | 5,368 | ||||||||||||
Cost of Shares Redeemed | (262,619 | ) | (546,227 | ) | (56,734 | ) | (128,825 | ) | ||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | 46,895 | 63,981 | (26,206 | ) | (66,364 | ) | ||||||||||
Net Increase (Decrease) in Net Assets | (75,647 | ) | 386,225 | (50,849 | ) | 11,680 | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 1,616,607 | 1,230,382 | 364,180 | 352,500 | ||||||||||||
End of Period | $ | 1,540,960 | $ | 1,616,607 | $ | 313,331 | $ | 364,180 | ||||||||
Undistributed Net Investment Income Included in Net Assets at Period End | $ | 4,158 | $ | 4,171 | $ | 26 | $ | — |
(1) | See Note 6 in the Notes to Financial Statements. |
(2) | Includes subscriptions/redemptions as a result of an in-kind transfers of securities (see Note 10). |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
158 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Large Cap Disciplined Equity Fund | Large Cap Index Fund | Small Cap Fund | ||||||||||||||||||||
6/1/11 to 11/30/11 | 6/1/10 to 5/31/11 | 6/1/11 to 11/30/11 | 6/1/10 to 5/31/11 | 6/1/11 to 11/30/11 | 6/1/10 to 5/31/11 | |||||||||||||||||
$ | 55,277 | $ | 115,542 | $ | 7,561 | $ | 10,788 | $ | 2,287 | $ | 7,961 | |||||||||||
194,375 | 854,105 | 16,991 | (6,346 | ) | 24,313 | 304,274 | ||||||||||||||||
— | — | — | — | (1 | ) | (38 | ) | |||||||||||||||
(778,705 | ) | 760,090 | (76,040 | ) | 126,009 | (112,634 | ) | (49,725 | ) | |||||||||||||
— | — | — | — | — | 1 | |||||||||||||||||
(529,053 | ) | 1,729,737 | (51,488 | ) | 130,451 | (86,035 | ) | 262,473 | ||||||||||||||
(55,731 | ) | (166,228 | ) | (6,856 | ) | (10,513 | ) | (1,584 | ) | (10,045 | ) | |||||||||||
(55,731 | ) | (166,228 | ) | (6,856 | ) | (10,513 | ) | (1,584 | ) | (10,045 | ) | |||||||||||
674,821 | 1,560,223 | 154,272 | 246,729 | 120,250 | 225,296 | |||||||||||||||||
54,873 | 163,690 | 6,711 | 10,184 | 1,344 | 8,883 | |||||||||||||||||
(1,138,820 | ) | (2,474,204 | ) | (63,304 | ) | (115,836 | ) | (108,624 | ) | (1,103,530 | )(2) | |||||||||||
| (409,126 | ) | (750,291 | ) | 97,679 | 141,077 | 12,970 | (869,351 | ) | |||||||||||||
(993,910 | ) | 813,218 | 39,335 | 261,015 | (74,649 | ) | (616,923 | ) | ||||||||||||||
7,773,980 | 6,960,762 | 770,135 | 509,120 | 722,825 | 1,339,748 | |||||||||||||||||
$ | 6,780,070 | $ | 7,773,980 | $ | 809,470 | $ | 770,135 | $ | 648,176 | $ | 722,825 | |||||||||||
$ | 2,686 | $ | 3,140 | $ | 2,883 | $ | 2,178 | $ | 1,028 | $ | 325 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 159 |
Table of Contents
Statements of Changes in Net Assets ($ Thousands)
For the period ended November 30, 2011 (unaudited) and the year ended May 31, 2011
Small/Mid Cap Equity Fund | U.S. Managed Volatility Fund | |||||||||||||||
6/1/11 to 11/30/11 | 6/1/10 to 5/31/11 | 6/1/11 to 11/30/11 | 6/1/10 to 5/31/11 | |||||||||||||
Operations: | ||||||||||||||||
Net Investment Income | $ | 7,191 | $ | 14,553 | $ | 2,325 | $ | 2,916 | ||||||||
Net Realized Gain (Loss) from Investments, Affiliated Investments, Written Options, Written Swaptions, Futures Contracts, and Swap Contracts | 63,688 | 405,720 | 3,077 | 46,574 | ||||||||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | (18 | ) | (455 | ) | 25 | 1 | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Written Options, Futures Contracts, and Swap Contracts | (351,704 | ) | 133,639 | (2,683 | ) | (10,653 | ) | |||||||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Cap Gains Tax | — | — | — | — | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions | — | 3 | — | — | ||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (280,843 | ) | 553,460 | 2,744 | 38,838 | |||||||||||
Dividends and Distributions From: | ||||||||||||||||
Net Investment Income: | ||||||||||||||||
Class A | (6,362 | ) | (10,170 | ) | (1,564 | ) | (3,434 | ) | ||||||||
Net Realized Gains: | ||||||||||||||||
Class A | — | — | — | (19,896 | ) | |||||||||||
Total Dividends and Distributions | (6,362 | ) | (10,170 | ) | (1,564 | ) | (23,330 | ) | ||||||||
Capital Share Transactions:(1) | ||||||||||||||||
Class A: | ||||||||||||||||
Proceeds from Shares Issued | 268,333 | 606,822 | 270,671 | 44,630 | ||||||||||||
Reinvestment of Dividends & Distributions | 6,297 | 10,055 | 1,536 | 23,067 | ||||||||||||
Cost of Shares Redeemed | (269,479 | ) | (909,528 | ) | (44,806 | ) | (204,488 | )(2) | ||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | 5,151 | (292,651 | ) | 227,401 | (136,791 | ) | ||||||||||
Net Increase (Decrease) in Net Assets | (282,054 | ) | 250,639 | 228,581 | (121,283 | ) | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 2,315,082 | 2,064,443 | 133,811 | 255,094 | ||||||||||||
End of Period | $ | 2,033,028 | $ | 2,315,082 | $ | 362,392 | $ | 133,811 | ||||||||
Undistributed Net Investment Income Included in Net Assets at Period End | $ | 7,826 | $ | 6,997 | $ | 1,094 | $ | 333 |
(1) | See Note 6 in the Notes to Financial Statements. |
(2) | Includes redemptions as a result of an in-kind transfer of securities (see Note 10). |
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 / Semi-Annual Report / November 30, 2011 |
Table of Contents
International Equity Fund | World Equity Ex-US Fund | Screened World Equity Ex-US Fund | Enhanced LIBOR Opportunities Fund | |||||||||||||||||||||||||||
6/1/11 to 11/30/11 | 6/1/10 to 5/31/11 | 6/1/11 to 11/30/11 | 6/1/10 to 5/31/11 | 6/1/11 to 11/30/11 | 6/1/10 to 5/31/11 | 6/1/11 to 11/30/11 | 6/1/10 to 5/31/11 | |||||||||||||||||||||||
$ | 4,102 | $ | 14,060 | $ | 40,573 | $ | 97,293 | $ | 289 | $ | 948 | $ | 2,349 | $ | 2,692 | |||||||||||||||
| (10,956 | ) | 60,595 | (67,925 | ) | 380,241 | (374 | ) | 7,774 | 430 | (1,262 | ) | ||||||||||||||||||
(734 | ) | (6,136 | ) | (5,674 | ) | (22,943 | ) | (29 | ) | (93 | ) | — | — | |||||||||||||||||
| (88,442 | ) | 93,026 | (773,772 | ) | 762,360 | (9,339 | ) | 9,850 | (5,520 | ) | 6,416 | ||||||||||||||||||
| — | | — | 126 | (14 | ) | — | — | — | — | ||||||||||||||||||||
| 30 | | 208 | (478 | ) | 468 | (11 | ) | 17 | — | — | |||||||||||||||||||
(96,000 | ) | 161,753 | (807,150 | ) | 1,217,405 | (9,464 | ) | 18,496 | (2,741 | ) | 7,846 | |||||||||||||||||||
— | (22,384 | ) | — | (82,847 | ) | — | (1,216 | ) | (2,149 | ) | (3,019 | ) | ||||||||||||||||||
— | — | — | — | — | — | — | — | |||||||||||||||||||||||
— | (22,384 | ) | — | (82,847 | ) | — | (1,216 | ) | (2,149 | ) | (3,019 | ) | ||||||||||||||||||
59,045 | 83,444 | 896,634 | 1,352,139 | 7,635 | 9,127 | 6,370 | 194,729 | |||||||||||||||||||||||
— | 19,996 | — | 80,707 | — | 1,081 | 2,092 | 2,853 | |||||||||||||||||||||||
(126,862 | ) | (301,776 | ) | (738,214 | ) | (1,150,929 | ) | (6,649 | ) | (41,387 | ) | (69,076 | ) | (22,651 | ) | |||||||||||||||
| (67,817 | ) | (198,336 | ) | 158,420 | 281,917 | 986 | (31,179 | ) | (60,614 | ) | 174,931 | ||||||||||||||||||
(163,817 | ) | (58,967 | ) | (648,730 | ) | 1,416,475 | (8,478 | ) | (13,899 | ) | (65,504 | ) | 179,758 | |||||||||||||||||
546,512 | 605,479 | 5,129,089 | 3,712,614 | 54,844 | 68,743 | 295,277 | 115,519 | |||||||||||||||||||||||
$ | 382,695 | $ | 546,512 | $ | 4,480,359 | $ | 5,129,089 | $ | 46,366 | $ | 54,844 | $ | 229,773 | $ | 295,277 | |||||||||||||||
$ | 9,739 |
| $ | 5,637 | $ | 85,827 | $ | 45,254 | $ | 879 | $ | 590 | $ | 4,396 | $ | 4,196 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 161 |
Table of Contents
Statements of Changes in Net Assets ($ Thousands)
For the period ended November 30, 2011 (unaudited) and the year or period ended May 31, 2011
Core Fixed Income Fund | High Yield Bond Fund | Long Duration Fund | ||||||||||||||||||||||
6/1/11 to 11/30/11 | 6/1/10 to 5/31/11 | 6/1/11 to 11/30/11 | 6/1/10 to 5/31/11 | 6/1/11 to 11/30/11 | 6/1/10 to 5/31/11 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 110,750 | $ | 218,860 | $ | 73,356 | $ | 158,503 | $ | 83,545 | $ | 146,800 | ||||||||||||
Net Realized Gain (Loss) from Investments, Affiliated Investments, Written Options, Written Swaptions, Futures Contracts and Swap Contracts | 119,079 | 88,477 | 7,497 | 77,298 | 198,306 | 91,481 | ||||||||||||||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | 1,292 | (1,844 | ) | — | — | — | — | |||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Written Options, Futures Contracts and Swap Contracts | (28,746 | ) | 169,016 | (141,734 | ) | 87,877 | 67,653 | 74,924 | ||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions | 647 | 281 | — | — | — | — | ||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 203,022 | 474,790 | (60,881 | ) | 323,678 | 349,504 | 313,205 | |||||||||||||||||
Dividends and Distributions From: | ||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||
Class A | (117,165 | ) | (228,272 | ) | (74,278 | ) | (154,212 | ) | (83,304 | ) | (143,104 | ) | ||||||||||||
Net Realized Gains: | ||||||||||||||||||||||||
Class A | — | (221,862 | ) | — | (974 | ) | — | (103,135 | ) | |||||||||||||||
Total Dividends and Distributions | (117,165 | ) | (450,134 | ) | (74,278 | ) | (155,186 | ) | (83,304 | ) | (246,239 | ) | ||||||||||||
Capital Share Transactions:(1) | ||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||
Proceeds from Shares Issued | 544,279 | 2,335,978 | 372,044 | 637,137 | 382,782 | 1,051,417 | ||||||||||||||||||
Reinvestment of Dividends & Distributions | 112,797 | 420,406 | 72,456 | 150,486 | 82,231 | 242,862 | ||||||||||||||||||
Cost of Shares Redeemed | (1,250,568 | ) | (1,725,349 | ) | (281,199 | ) | (651,700 | ) | (748,314 | ) | (574,278 | ) | ||||||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | (593,492 | ) | 1,031,035 | 163,301 | 135,923 | (283,301 | ) | 720,001 | ||||||||||||||||
Net Increase (Decrease) in Net Assets | (507,635 | ) | 1,055,691 | 28,142 | 304,415 | (17,101 | ) | 786,967 | ||||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of Period | 6,761,399 | 5,705,708 | 1,939,023 | 1,634,608 | 3,523,154 | 2,736,187 | ||||||||||||||||||
End of Period | $ | 6,253,764 | $ | 6,761,399 | $ | 1,967,165 | $ | 1,939,023 | $ | 3,506,053 | $ | 3,523,154 | ||||||||||||
Undistributed (Distributions in Excess of) Net Investment Income (Accumulated Net Investment Loss) Included in Net Assets at Period End | $ | (13,000 | ) | $ | (6,585 | ) | $ | 4,437 | $ | 5,359 | $ | 243 | $ | 2 |
(1) | See Note 6 in the Notes to Financial Statements. |
(2) | Commenced operations on February 25, 2011. |
(3) | Commenced operations on July 30, 2010. |
(4) | Commenced operations on July 28, 2011. |
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 / Semi-Annual Report / November 30, 2011 |
Table of Contents
Ultra Short Duration Bond Fund(2) | Emerging Markets Debt Fund | Real Return Fund | Dynamic Asset Allocation Fund(3) | Multi-Asset Real Return Fund(4) | ||||||||||||||||||||||||||||||
6/1/11 to 11/30/11 | 2/25/11 to 5/31/11 | 6/1/11 to 11/30/11 | 6/1/10 to 5/31/11 | 6/1/11 to 11/30/11 | 6/1/10 to 5/31/11 | 6/1/11 to 11/30/11 | 7/30/10 to 5/31/11 | 7/28/11 to 11/30/11 | ||||||||||||||||||||||||||
$ | 2,385 | $ | 1,218 | $ | 34,760 | $ | 71,219 | $ | 5,235 | $ | 10,561 | $ | (1,050 | ) | $ | (659 | ) | $ | 327 | |||||||||||||||
| (619 | ) | (310 | ) | 14,300 | 55,523 | 4,423 | 3,156 | (23,740 | ) | 12,956 | (2,293 | ) | |||||||||||||||||||||
| — | | — | 2,428 | (2,128 | ) | — | — | — | — | 44 | |||||||||||||||||||||||
| (3,139 | ) | 39 | (58,743 | ) | 29,646 | (5,436 | ) | 9,862 | 7,646 | 11,920 | (2,713 | ) | |||||||||||||||||||||
| — | | — | (90 | ) | 1,119 | — | — | — | — | 339 | |||||||||||||||||||||||
| (1,373 | ) | 947 | (7,345 | ) | 155,379 | 4,222 | 23,579 | (17,144 | ) | 24,217 | (4,296 | ) | |||||||||||||||||||||
(2,537 | ) | (1,266 | ) | (34,976 | ) | (51,025 | ) | (9,417 | ) | (7,114 | ) | — | — | (79 | ) | |||||||||||||||||||
— | — | — | — | — | (6,626 | ) | — | (1,885 | ) | — | ||||||||||||||||||||||||
(2,537 | ) | (1,266 | ) | (34,976 | ) | (51,025 | ) | (9,417 | ) | (13,740 | ) | — | (1,885 | ) | (79 | ) | ||||||||||||||||||
227,771 | 324,455 | 169,162 | 356,572 | 30,494 | 162,486 | 120,559 | 387,308 | 137,129 | ||||||||||||||||||||||||||
2,523 | 1,242 | 33,897 | 49,210 | 8,125 | 11,996 | — | 1,843 | 76 | ||||||||||||||||||||||||||
(59,654 | ) | (12,020 | ) | (163,825 | ) | (471,043 | ) | (112,008 | ) | (141,847 | ) | (32,949 | ) | (4,138 | ) | (6,162 | ) | |||||||||||||||||
| 170,640 |
| 313,677 | 39,234 | (65,261 | ) | (73,389 | ) | 32,635 | 87,610 | 385,013 | 131,043 | ||||||||||||||||||||||
166,730 | 313,358 | (3,087 | ) | 39,093 | (78,584 | ) | 42,474 | 70,466 | 407,345 | 126,668 | ||||||||||||||||||||||||
313,358 | — | 1,028,691 | 989,598 | 369,232 | 326,758 | 407,345 | — | — | ||||||||||||||||||||||||||
$ | 480,088 | $ | 313,358 | $ | 1,025,604 | $ | 1,028,691 | $ | 290,648 | $ | 369,232 | $ | 477,811 | $ | 407,345 | $ | 126,668 | |||||||||||||||||
$ | (153 | ) | $ | (1 | ) | $ | 11,017 | $ | 11,233 | $ | 1,176 | $ | 5,358 | $ | (1,050 | ) | $ | — | $ | 248 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 163 |
Table of Contents
For the period ended November 30, 2011 (unaudited) and the years 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@ | $ | 18.40 | $ | 0.12 | $ | (1.47 | ) | $ | (1.35 | ) | $ | (0.12 | ) | $ | — | $ | (0.12 | ) | $ | 16.93 | (7.32 | )% | $ | 1,540,960 | 0.26 | % | 0.27 | % | 0.47 | % | 1.46 | % | 63 | % | ||||||||||||||||||||||||||
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@ | $ | 9.53 | $ | 0.06 | $ | (0.65 | ) | $ | (0.59 | ) | $ | (0.06 | ) | $ | — | $ | (0.06 | ) | $ | 8.88 | (6.17 | )% | $ | 313,331 | 0.31 | % | 0.31 | % | 0.47 | % | 1.42 | % | 61 | % | ||||||||||||||||||||||||||
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@ | $ | 10.87 | $ | 0.08 | $ | (0.85 | ) | $ | (0.77 | ) | $ | (0.08 | ) | $ | — | $ | (0.08 | ) | $ | 10.02 | (7.08 | )% | $ | 6,780,070 | 0.18 | % | 0.18 | % | 0.47 | % | 1.60 | % | 47 | % | ||||||||||||||||||||||||||
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@ | $ | 117.49 | $ | 1.09 | $ | (9.35 | ) | $ | (8.26 | ) | $ | (0.99 | ) | $ | — | $ | (0.99 | ) | $ | 108.24 | (7.02 | )% | $ | 809,470 | 0.06 | % | 0.06 | % | 0.24 | % | 2.03 | % | 6 | % | ||||||||||||||||||||||||||
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@ | $ | 13.49 | $ | 0.04 | $ | (1.78 | ) | $ | (1.74 | ) | $ | (0.03 | ) | $ | — | $ | (0.03 | ) | $ | 11.72 | (12.89 | )% | $ | 648,176 | 0.54 | % | 0.54 | % | 0.72 | % | 0.72 | % | 45 | % | ||||||||||||||||||||||||||
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 |
@ | For the six-month period ended November 30, 2011. All ratios for the period have been annualized. |
* | The expense ratio includes dividend and interest expenses on short sales. Had these expenses been excluded, the ratios would have been 0.31%, 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 $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
164 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Financial Highlights
For the period ended November 30, 2011 (unaudited) and the years or periods ended May 31,
For a share outstanding throughout each period
Net Asset Value, Beginning of Period | Net Investment Income(3) | Net | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($ Thousands) | Ratio of Net Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Including Waivers) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
Small/Mid Cap Equity Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011@ | $ | 13.62 | $ | 0.04 | $ | (1.74 | ) | $ | (1.70 | ) | $ | (0.04 | ) | $ | — | $ | (0.04 | ) | $ | 11.88 | (12.50 | )% | $ | 2,033,028 | 0.50 | % | 0.50 | % | 0.72 | % | 0.71 | % | 43 | % | ||||||||||||||||||||||||||
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@ | $ | 12.15 | $ | 0.12 | $ | (0.49 | ) | $ | (0.37 | ) | $ | (0.09 | ) | $ | — | $ | (0.09 | ) | $ | 11.69 | (3.02 | )% | $ | 362,392 | 0.35 | % | 0.35 | % | 0.72 | % | 2.14 | % | 30 | % | ||||||||||||||||||||||||||
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@ | $ | 8.07 | $ | 0.06 | $ | (1.41 | ) | $ | (1.35 | ) | $ | — | $ | — | $ | — | $ | 6.72 | (16.73 | )% | $ | 382,695 | 0.43 | % | 0.43 | % | 0.65 | % | 1.78 | % | 30 | % | ||||||||||||||||||||||||||||
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@ | $ | 11.71 | $ | 0.09 | $ | (1.98 | ) | $ | (1.89 | ) | $ | — | $ | — | $ | — | $ | 9.82 | (16.14 | )% | $ | 4,480,359 | 0.45 | % | 0.45 | % | 0.63 | % | 1.75 | % | 36 | % | ||||||||||||||||||||||||||||
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@ | $ | 9.01 | $ | 0.05 | $ | (1.64 | ) | $ | (1.59 | ) | $ | — | $ | — | $ | — | $ | 7.42 | (17.65 | )% | $ | 46,366 | 0.80 | % | 0.80 | % | 1.06 | % | 1.17 | % | 50 | % | ||||||||||||||||||||||||||||
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@ | $ | 7.95 | $ | 0.07 | $ | (0.14 | ) | $ | (0.07 | ) | $ | (0.06 | ) | $ | — | $ | (0.06 | ) | $ | 7.82 | (0.87 | )% | $ | 229,773 | 0.41 | % | 0.41 | % | 0.52 | % | 1.71 | % | 32 | % | ||||||||||||||||||||||||||
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 |
@ | For the six-month period ended November 30, 2011. All ratios for the period have been annualized. |
* | Includes a return of capital of $0.04 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) | 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 ratios 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 ratios 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 ratios would have been 0.45%, 0.45%, and 0.66%, respectively. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 165 |
Table of Contents
Financial Highlights
For the period ended November 30, 2011 (unaudited) and the years or periods ended May 31,
For a share outstanding throughout each period
Net Asset Value, Beginning of Period | Net Investment | Net | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($ Thousands) | Ratio of Net Assets | Ratio of Net Assets | Ratio of Net Assets | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
Core Fixed Income Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011@ | $ | 10.39 | $ | 0.18 | $ | 0.14 | $ | 0.32 | $ | (0.19 | ) | $ | — | $ | (0.19 | ) | $ | 10.52 | 3.07 | % | $ | 6,253,764 | 0.14 | % | 0.14 | % | 0.37 | % | 3.37 | % | 211 | % | ||||||||||||||||||||||||||||
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@ | $ | 9.58 | $ | 0.35 | $ | (0.64 | ) | $ | (0.29 | ) | $ | (0.36 | ) | $ | — | $ | (0.36 | ) | $ | 8.93 | (3.06 | )% | $ | 1,967,165 | 0.35 | % | 0.35 | % | 0.56 | % | 7.74 | % | 19 | % | ||||||||||||||||||||||||||
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@ | $ | 8.83 | $ | 0.22 | $ | 0.70 | $ | 0.92 | $ | (0.22 | ) | $ | — | $ | (0.22 | ) | $ | 9.53 | 10.50 | % | $ | 3,506,053 | 0.20 | % | 0.20 | % | 0.37 | % | 4.73 | % | 52 | % | ||||||||||||||||||||||||||||
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@ | $ | 9.99 | $ | 0.05 | $ | (0.08 | ) | $ | (0.03 | ) | $ | (0.06 | ) | $ | — | $ | (0.06 | ) | $ | 9.90 | (0.31 | )% | $ | 480,088 | 0.17 | % | 0.17 | % | 0.22 | % | 1.10 | % | 45 | % | ||||||||||||||||||||||||||
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@ | $ | 11.60 | $ | 0.38 | $ | (0.47 | ) | $ | (0.09 | ) | $ | (0.38 | ) | $ | — | $ | (0.38 | ) | $ | 11.13 | (0.69 | )% | $ | 1,025,604 | 0.55 | % | 0.55 | % | 0.93 | % | 6.65 | % | 26 | % | ||||||||||||||||||||||||||
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@ | $ | 10.67 | $ | 0.18 | $ | (0.04 | ) | $ | 0.14 | $ | (0.32 | ) | $ | — | $ | (0.32 | ) | $ | 10.49 | 1.29 | % | $ | 290,648 | 0.20 | % | 0.20 | % | 0.28 | % | 3.37 | % | 36 | % | |||||||||||||||||||||||||||
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@ | $ | 11.26 | $ | (0.02 | ) | $ | (0.45 | ) | $ | (0.47 | ) | $ | — | $ | — | $ | — | $ | 10.79 | (4.17 | )% | $ | 477,811 | 0.50 | % | 0.50 | % | 0.67 | % | (0.47 | )% | 0 | % | |||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||
Multi-Asset Real Return Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2011@(7) | $ | 10.00 | $ | 0.03 | $ | (0.44 | ) | $ | (0.41 | ) | $ | (0.01 | ) | $ | — | $ | (0.01 | ) | $ | 9.58 | (4.13 | )% | $ | 126,668 | 0.40 | %(8) | 0.40 | %(8) | 0.64 | %(8) | 0.91 | % | 29 | % |
@ | For the six-month period ended November 30, 2011. All ratios for the period have been annualized. |
* | Includes a return of capital of $0.06 per share. |
** | Amount represents less than $0.01. |
† | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
(1) | Commenced operations on December 14, 2006. All ratios for the period have been annualized. |
(2) | 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 ratios 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 ratios would have been 0.20%, 0.20%, and 0.37%, respectively. |
(7) | Commenced operations on July 28, 2011. All ratios for the period have been annualized. |
(8) | The expense ratio includes interest expense on reverse repurchase agreements. Had this expense been excluded, the ratios would have been 0.39%, 0.39%, and 0.63%, respectively. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
166 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Notes to Financial Statements (Unaudited)
November 30, 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 22 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, Dynamic Asset Allocation and Multi-Asset Real Return Funds (each a “Fund,” collectively, the “Funds”) each of which are diversified Funds with the exception of the Emerging Markets Debt Fund. The Trust is registered to offer Class A shares of all Funds. The assets of each Fund are segregated, and a shareholder’s interest is limited to the Fund in which shares are held. The Trust’s prospectus provides a description of each Fund’s investment objectives, policies, and strategies.
As of November 30, 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.
As of November 30, 2011, the total market value of securities in the International Equity, World Equity Ex-US, Screened World Equity Ex-US and Multi-Asset Real Return Funds, valued in accordance with
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 167 |
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
November 30, 2011
fair value procedures, was $323,213 ($ Thousands) or 84.46% of net assets, $2,667,993 ($ Thousands) or 59.55% of net assets, $31,864 ($ Thousands) or 68.72% of net assets and $11,732 ($ Thousands) or 9.26% of net assets, respectively.
The International Equity, World Equity Ex-US, Screened World Equity Ex-US, Core Fixed Income and Multi-Asset Real Return Funds that hold international securities also use a third-party fair valuation vendor. The vendor provides a fair value for foreign securities held by these funds based on certain factors and methodologies (involving, generally, tracking valuation correlations between the U.S. market and each non-U.S. security). Values from the fair value vendor are applied in the event that there is a movement in the U.S. market that exceeds a specific threshold that has been established by the Committee. The Committee has also established a “confidence interval” which is used to determine the level of historical correlation between the value of a specific foreign security and movements in the U.S. market before a particular security will be fair valued when the threshold is exceeded. In the event that the threshold established by the Committee is exceeded on a specific day, these funds that hold international securities will value the non-U.S. securities within that fund that exceed the applicable “confidence interval” based upon the adjusted prices provided by the fair valuation vendor.
Options and warrants for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, at the closing bid price. Options and warrants not traded on a national securities exchange are valued at the last quoted bid price.
In accordance with GAAP, fair value is defined as the price that a Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. A three tier hierarchy has been established to maximize the use of observable and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing an asset. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability based on the best information available in the circumstances.
The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:
Level 1 — | quoted prices in active markets for identical investments |
Level 2 — | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risks, etc.) |
Level 3 — | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The valuation techniques used by the Funds to measure fair value during the six-month period ended November 30, 2011 maximized the use of observable inputs and minimized the use of unobservable inputs.
For the six-month period ended November 30, 2011, there have been no significant changes to the Trust’s fair valuation methodologies. For details of the investment classification, reference the Summary Schedules of Investments/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. The Multi-Asset Real Return Fund had reverse repurchase agreements as of November 30, 2011, as disclosed in the Fund’s Schedule of Investments.
168 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
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
(II) purchases and sales of investment securities, income and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions.
The Funds do not isolate that portion of gains and losses on investments in equity securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of equity securities.
The Funds report certain foreign-currency-related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income for Federal income tax purposes.
Forward Foreign Currency Contracts — To the extent consistent with its investment objective and strategies, a Fund may enter into forward foreign currency contracts as hedges against either specific transactions, fund positions or anticipated fund positions. All commitments are marked-to-market daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. The Fund realizes gains and losses at the time forward contracts are extinguished. Unrealized gains or losses on outstanding positions in forward foreign currency contracts held at the close of the period are recognized as ordinary income or loss for Federal income tax purposes. A Fund could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments or Summary Schedule of Investments for details regarding open forward foreign currency contracts as of November 30, 2011, if applicable.
Futures Contracts — All Funds, with the exception of the High Yield Bond and Real Return Funds utilized futures contracts during the six-month period ended November 30, 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 contracts are 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, futures contracts involve the risk that a Fund could lose more than the original margin deposit required to initiate a futures transaction.
Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments or Summary Schedule of Investments for details regarding open futures contracts as of November 30, 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 and Multi-Asset Real Return Funds had options contracts as of November 30, 2011, as disclosed in the Funds’ Schedules 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
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 169 |
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
November 30, 2011
each Fund’s Schedule of Investments or Summary Schedule of Investments for details regarding open option/swaption contracts as of November 30, 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 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 November 30, 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 Statements 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 Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform and that there may be unfavorable changes in the fluctuation of interest rates. Risks also arise from potential losses from adverse market movements.
This risk is mitigated by having a master netting arrangement between a Fund and the counterparty and by having the counterparty post collateral to cover a Fund’s exposure to the counterparty. See Note 3 for further details. Refer to each Fund’s Schedule of Investments or Summary Schedule of Investments for details regarding open swap agreements as of November 30, 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.
170 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
A Fund may incur losses due to changes in the value of the underlying treasury securities from interest rate fluctuations or as a result of counterparty nonperformance.
Delayed Delivery Transactions — To the extent consistent with its investment objective and strategies, a Fund may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by those Funds to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When purchasing a security on a delayed delivery basis, that Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when 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, Emerging Markets Debt and Multi-Asset Real Return 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
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 171 |
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
November 30, 2011
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 November 30, 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 with the purchase of these private placement investments. The acquisition dates of these investments, the enforceable right to acquire these private placement investments, along with the cost and values at November 30, 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 | 79 | 0.01 | ||||||||||||||||||
Value Creation | 119,600 | 2/29/08 | 2/29/08 | 1,225 | 134 | 0.02 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 1,954 | $ | 213 | 0.03 | % | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
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 | 68 | 0.00 | ||||||||||||||||||
Value Creation | 85,600 | 2/29/08 | 2/29/08 | 871 | 96 | 0.01 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 1,496 | $ | 164 | 0.01 | % | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
High Yield Bond Fund | ||||||||||||||||||||||||
Aventi | 2,600 | 11/30/10 | 11/30/10 | $ | — | $ | 46 | 0.00 | % | |||||||||||||||
VSS, AHC | 29,628 | 9/25/09 | 9/25/09 | 551 | 353 | 0.02 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 551 | $ | 399 | 0.02 | % | |||||||||||||||||||
|
|
|
|
|
|
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.
172 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Certain Funds are party to International Swap Dealers Association, Inc. Master Agreements (“ISDA Master Agreements”). These agreements are with select counterparties and they govern transactions, including certain over-the-counter derivative and foreign exchange contracts, entered into by the Funds and the counterparty.
As of November 30, 2011, the Core Fixed Income and High Yield Bond Funds are the buyers (“receiving protection”) on a total notional amount of $38.9 million and $20.1 million, respectively, and the Core
Fixed Income and Multi-Asset Real Return Funds are the sellers (“providing protection”) on a total notional amount of $16.1 million and $0.9 million, respectively. The notional amounts of the swaps are not recorded in the financial statements; however the notional amounts approximate the maximum potential amount of future payments that the Fund could be required to make if the Fund was the seller of protection and a credit event were to occur. Those credit default swaps (“CDS”) for which the Fund is providing protection at balance sheet date are summarized as follows:
CORE FIXED INCOME FUND WRITTEN CREDIT DERIVATIVE CONTRACTS | SINGLE NAME CDS | CDS ON AN INDEX | ||||||||||||||||||
REFERENCE ASSET | CORP US$ | SOVEREIGN US$ | ABS US$ | CORP US$ | Total | |||||||||||||||
Fair value of written credit derivatives | $ | (1,430,022 | ) | $ | — | $ | — | $ | — | $ | (1,430,022 | ) | ||||||||
Maximum potential amount of future payments | (16,090,000 | ) | — | — | — | (16,090,000 | ) | |||||||||||||
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection)1 | — | — | — | — | — | |||||||||||||||
Collateral held by the Fund can obtain upon occurrence of triggering event | — | — | — | — | — |
1 | Potential recoveries would include purchased credit derivatives to the extent they offset written credit derivatives which have an identical underlying, or a netting arrangement or credit support annex with the counterparty. There may be other potential recoveries from recourse provisions where agreements cover multiple derivative arrangements but those amounts have not been included. |
MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM | ||||||||||||||||||||||||
CORE FIXED INCOME FUND | 0-6 MONTHS | 6-12 MONTHS | 1-5 YEARS | 5-10 YEARS | > 10 YEARS | Total | ||||||||||||||||||
Current credit spread* on underlying (in basis points) | ||||||||||||||||||||||||
0-200 | $ | — | $ | — | $ | 12,530,000 | $ | — | $ | — | $ | 12,530,000 | ||||||||||||
> than 200 | — | — | — | 3,560,000 | — | 3,560,000 | ||||||||||||||||||
Total | $ | $ | $ | 12,530,000 | $ | 3,560,000 | $ | $ | 16,090,000 |
* | 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. |
MULTI-ASSET REAL RETURN 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 | $ | — | $ | — | $ | — | $ | (10,646 | ) | $ | (10,646 | ) | ||||||||
Maximum potential amount of future payments | — | — | — | (890,000 | ) | (890,000 | ) | |||||||||||||
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection)1 | — | — | — | — | — | |||||||||||||||
Collateral held by the Fund can obtain upon occurrence of triggering event | — | — | — | — | — |
1 | Potential recoveries would include purchased credit derivatives to the extent they offset written credit derivatives which have an identical underlying, or a netting arrangement or credit support annex with the counterparty. There may be other potential recoveries from recourse provisions where agreements cover multiple derivative arrangements but those amounts have not been included. |
MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM | ||||||||||||||||||||||||
MULTI-ASSET REAL RETURN FUND | 0-6 MONTHS | 6-12 MONTHS | 1-5 YEARS | 5-10 YEARS | > 10 YEARS | Total | ||||||||||||||||||
Current credit spread* on underlying (in basis points) | ||||||||||||||||||||||||
0-100 | $ | — | $ | — | $ | 890,000 | $ | — | $ | — | $ | 890,000 | ||||||||||||
> than 100 | — | — | — | — | — | — | ||||||||||||||||||
Total | $ | — | $ | — | $ | 890,000 | $ | — | $ | — | $ | 890,000 |
* | 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.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 173 |
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
November 30, 2011
4. DERIVATIVE TRANSACTIONS
The fair value of derivative instruments as of November 30, 2011 was as follows:
Asset Derivatives | Liability Derivatives | |||||||||||
Six-month period ended November 30, 2011 ($ Thousands) | Six-month period ended November 30, 2011 ($ Thousands) | |||||||||||
Statements of Assets and Liabilities Location | Fair Value | Statements of Assets and Liabilities Location | Fair Value | |||||||||
Derivatives not accounted for as hedging instruments: | ||||||||||||
Small Cap Fund | ||||||||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 361 | * | Net Assets — Unrealized depreciation on futures contracts | $ | — | * | ||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | — | Unrealized loss on forward foreign currency contracts | 1 | ||||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 361 | $ | 1 | ||||||||
|
|
|
| |||||||||
International Equity Fund | ||||||||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 17 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 68 | * | ||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 100 | Unrealized loss on forward foreign currency contracts | — | ||||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 117 | $ | 68 | ||||||||
|
|
|
| |||||||||
World Equity Ex-US Fund | ||||||||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 33 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 480 | * | ||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 519 | Unrealized loss on forward foreign currency contracts | 44 | ||||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 552 | $ | 524 | ||||||||
|
|
|
| |||||||||
Screened World Equity Ex-US Fund | ||||||||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 17 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 22 | * | ||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 7 | Unrealized loss on forward foreign currency contracts | — | ||||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 24 | $ | 22 | ||||||||
|
|
|
| |||||||||
Core Fixed Income Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 3,151 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 219 | * | ||||
Net Assets — Unrealized appreciation on swap contracts | 167 | † | Net Assets — Unrealized depreciation on swap contracts | 1,677 | † | |||||||
Investments, at value | 81 | Options written, at value | 91 | |||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 1,120 | Unrealized loss on forward foreign currency contracts | 36 | ||||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | 550 | † | Net Assets — Unrealized depreciation on swap contracts | 3,429 | † | ||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 5,069 | $ | 5,452 | ||||||||
|
|
|
| |||||||||
Long Duration Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 372 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 2,116 | * | ||||
Credit contracts | Net Assets — Unrealized depreciation on swap contracts | 206 | † | Net Assets — Unrealized depreciation on swap contracts | — | † | ||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 578 | $ | 2,116 | ||||||||
|
|
|
| |||||||||
Emerging Markets Debt Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 44 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 39 | * | ||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 652 | Unrealized loss on forward foreign currency contracts | 1,658 | ||||||||
Equity contracts | Net Assets — Unrealized appreciation on swap contracts | 899 | † | Net Assets — Unrealized depreciation on swap contracts | — | † | ||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 1,595 | $ | 1,697 | ||||||||
|
|
|
|
174 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Asset Derivatives | Liability Derivatives | |||||||||||
Six-month period ended November 30, 2011 ($ Thousands) | Six-month period ended November 30, 2011 ($ Thousands) | |||||||||||
Statements of Assets and Liabilities Location | Fair Value | Statements of Assets and Liabilities Location | Fair Value | |||||||||
Multi-Asset Real Return Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 59 | * | Net Assets — Unrealized depreciation on futures contracts | $ | — | * | ||||
Net Assets — Unrealized appreciation on swap contracts | 18 | † | Net Assets — Unrealized depreciation on swap contracts | 7 | † | |||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 348 | Unrealized loss on forward foreign currency contracts | 10 | ||||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | 6 | † | Net Assets — Unrealized depreciation on swap contracts | — | † | ||||||
Equity contracts | Net Assets — Unrealized appreciation on swap contracts | 133 | † | Net Assets — Unrealized depreciation on swap contracts | 37 | † | ||||||
Investments, at value | 31 | Options written, at value | — | |||||||||
Total Derivatives not accounted for as hedging instruments |
|
|
|
| ||||||||
$ | 595 | $ | 54 | |||||||||
|
|
|
|
* | Includes cumulative appreciation/depreciation of futures contracts as reported on 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 on the Schedules of Investments. Market Value is reported within the Statements of Assets & Liabilities for swap contracts that have paid premiums. |
The effect of derivative instruments on the Statements of Operations for the six-month period ended November 30, 2011:
Amount of realized gain (loss) on derivatives recognized in income ($ Thousands):
Derivatives Not Accounted for as Hedging Instruments | Options | Futures | Forward Currency Contracts | Swaps | Total | |||||||||||||||
World Equity Ex-US Fund | ||||||||||||||||||||
Foreign exchange contracts | $ | — | $ | — | $ | 1,376 | $ | — | $ | 1,376 | ||||||||||
Equity contracts | — | (7,743 | ) | — | — | (7,743 | ) | |||||||||||||
Total | $ | — | $ | (7,743 | ) | $ | 1,376 | $ | — | $ | (6,367 | ) | ||||||||
Screened World Equity Ex-US Fund | ||||||||||||||||||||
Foreign exchange contracts | $ | — | $ | — | $ | 20 | $ | — | $ | 20 | ||||||||||
Equity contracts | — | 31 | — | — | 31 | |||||||||||||||
Total | $ | — | $ | 31 | $ | 20 | $ | — | $ | 51 | ||||||||||
Core Fixed Income Fund | ||||||||||||||||||||
Interest rate contracts | $ | 1,272 | $ | (24,146 | ) | $ | — | $ | (11,815 | ) | $ | (34,689 | ) | |||||||
Foreign exchange contracts | — | — | 1,413 | — | 1,413 | |||||||||||||||
Credit contracts | — | — | — | (2,269 | ) | (2,269 | ) | |||||||||||||
Total | $ | 1,272 | $ | (24,146 | ) | $ | 1,413 | $ | (14,084 | ) | $ | (35,545 | ) | |||||||
Emerging Markets Debt Fund | ||||||||||||||||||||
Interest rate contracts | $ | — | $ | 800 | $ | — | $ | — | $ | 800 | ||||||||||
Foreign exchange contracts | — | — | 458 | — | 458 | |||||||||||||||
Equity contracts | — | — | — | (473 | ) | (473 | ) | |||||||||||||
Total | $ | — | $ | 800 | $ | 458 | $ | (473 | ) | $ | 785 | |||||||||
Dynamic Asset Allocation Fund | ||||||||||||||||||||
Interest rate contracts | $ | — | $ | 12,402 | $ | — | $ | — | $ | 12,402 | ||||||||||
Equity contracts | — | (36,143 | ) | — | — | (36,143 | ) | |||||||||||||
Total | $ | — | $ | (23,741 | ) | $ | — | $ | — | $ | (23,741 | ) | ||||||||
Multi-Asset Real Return Fund | ||||||||||||||||||||
Interest rate contracts | $ | — | $ | (292 | ) | $ | — | $ | (99 | ) | $ | (391 | ) | |||||||
Foreign exchange contracts | — | — | 41 | — | 41 | |||||||||||||||
Credit contracts | — | — | — | (29 | ) | (29 | ) | |||||||||||||
Equity contracts | — | 2 | — | 11 | 13 | |||||||||||||||
Total | $ | — | $ | (290 | ) | $ | 41 | $ | (117 | ) | $ | (366 | ) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income ($ Thousands):
Derivatives Not Accounted for as Hedging Instruments | Options | Futures | Forward Currency Contracts | Swaps | Total | |||||||||||||||
Small Cap Fund | ||||||||||||||||||||
Foreign exchange contracts | $ | — | $ | — | $ | (1 | ) | $ | — | $ | (1 | ) | ||||||||
Equity contracts | — | (11 | ) | — | — | (11 | ) | |||||||||||||
Total | $ | — | $ | (11 | ) | $ | (1 | ) | $ | — | $ | (12 | ) |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 175 |
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
November 30, 2011
Derivatives Not Accounted for as Hedging Instruments | Options | Futures | Forward Currency Contracts | Swaps | Total | |||||||||||||||
International Equity Fund | ||||||||||||||||||||
Foreign exchange contracts | $ | — | $ | — | $ | 100 | $ | — | $ | 100 | ||||||||||
Equity contracts | — | (21 | ) | — | — | (21 | ) | |||||||||||||
Total | $ | — | $ | (21 | ) | $ | 100 | $ | — | $ | 79 | |||||||||
World Equity Ex-US Fund | ||||||||||||||||||||
Foreign exchange contracts | $ | — | $ | — | $ | 475 | $ | — | $ | 475 | ||||||||||
Equity contracts | — | (1,880 | ) | — | — | (1,880 | ) | |||||||||||||
Total | $ | — | $ | (1,880 | ) | $ | 475 | $ | — | $ | (1,405 | ) | ||||||||
Screened World Equity Ex-US Fund | ||||||||||||||||||||
Foreign exchange contracts | $ | — | $ | — | $ | 7 | $ | — | $ | 7 | ||||||||||
Equity contracts | — | (24 | ) | — | — | (24 | ) | |||||||||||||
Total | $ | — | $ | (24 | ) | $ | 7 | $ | — | $ | (17 | ) | ||||||||
Core Fixed Income Fund | ||||||||||||||||||||
Interest rate contracts | $ | 149 | $ | 4,347 | $ | — | $ | 2,358 | $ | 6,854 | ||||||||||
Foreign exchange contracts | — | — | 755 | — | 755 | |||||||||||||||
Equity contracts | — | — | — | 11 | 11 | |||||||||||||||
Credit contracts | — | — | — | 4,243 | 4,243 | |||||||||||||||
Total | $ | 149 | $ | 4,347 | $ | 755 | $ | 6,612 | $ | 11,863 | ||||||||||
Long Duration Fund | ||||||||||||||||||||
Interest rate contracts | $ | — | $ | 583 | $ | — | $ | — | $ | 583 | ||||||||||
Credit contracts | — | — | — | 206 | 206 | |||||||||||||||
Total | $ | — | $ | 583 | $ | — | $ | 206 | $ | 789 | ||||||||||
Emerging Markets Debt Fund | ||||||||||||||||||||
Interest rate contracts | $ | — | $ | 30 | $ | — | $ | — | $ | 30 | ||||||||||
Foreign exchange contracts | — | — | (706 | ) | — | (706 | ) | |||||||||||||
Equity contracts | — | — | — | 449 | 449 | |||||||||||||||
Total | $ | — | $ | 30 | $ | (706 | ) | $ | 449 | $ | (227 | ) | ||||||||
Multi-Asset Real Return Fund | ||||||||||||||||||||
Interest rate contracts | $ | — | $ | 59 | $ | — | $ | 11 | $ | 70 | ||||||||||
Foreign exchange contracts | — | — | 338 | — | 338 | |||||||||||||||
Credit contracts | — | — | — | 6 | 6 | |||||||||||||||
Equity contracts | (26 | ) | — | — | 96 | 70 | ||||||||||||||
Total | $ | (26 | ) | $ | 59 | $ | 338 | $ | 113 | $ | 484 |
The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral, and events of default or termination. The occurrence of a specified event of termination may give a counterparty the right to terminate all of its contracts and affect settlement of all outstanding transactions under the applicable ISDA Master Agreement.
Written options transactions entered into during the six-month period ended November 30, 2011, are summarized as follows:
Core Fixed Income Fund | ||||||||
Number of Contracts | Premium ($ Thousands) | |||||||
Balance at the beginning of period | 7,020,180 | $ | 260 | |||||
Written | 1,357 | 1,347 | ||||||
Expired | (890 | ) | (1,098 | ) | ||||
Closing buys | (430 | ) | (366 | ) | ||||
Balance at the end of period | 7,020,217 | $ | 143 |
As of November 30, 2011, the Fund had cash and/or securities at least equal to the value of written options.
5. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Administration and Transfer Agency Agreement — The Trust and SEI Investments Global Funds Services (the “Administrator”) are parties to an Amended and Restated Administration and Transfer Agency Agreement dated December 10, 2003 under which the Administrator provides administrative and shareholder servicing for an annual fee of 0.05% of the average daily net assets of each Fund. For the six-month period ended November 30, 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
176 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
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 | 0.46 | * | |||||
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 | ||||||
Real Return Fund | 0.220 | 0.20 | ||||||
Dynamic Asset Allocation Fund | 0.600 | 0.50 | ||||||
Multi-Asset Real Return Fund | 0.550 | 0.40 | ** |
* | The Voluntary Expense Limitation for the International Equity Fund changed from 0.41% to 0.46% as of September 16, 2011. |
** | The Voluntary Expense Limitation for the Multi-Asset Real Return Fund changed from 0.35% to 0.40% as of August 16, 2011. |
As of November 30, 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 |
AQR Capital Management, LLC |
Aronson + Johnson + Ortiz, L.P. |
Delaware Management Company |
LSV Asset Management |
Neuberger Berman Management LLC |
Waddell & Reed Investment Management Company |
West End Advisors LLC |
Large Cap Diversified Alpha Fund |
Aronson + Johnson + Ortiz, L.P. |
Delaware Management Company |
INTECH Investment Management, LLC |
Tocqueville Asset Management, L.P. |
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 |
Investment Sub-Adviser |
Brown Investment Advisors Incorporated |
Janus Capital Management, Inc. |
J.P. Morgan Investment Management |
Lee Munder Capital Group LLC |
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 |
LSV Asset Management |
Robeco Investment Management, Inc. |
Security Capital Research and Management Incorporated |
Wellington Management Company, LLP |
William Blair & Company, LLC |
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 |
EARNEST Partners, LLC |
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 |
EARNEST Partners, LLC |
McKinley Capital Management, LLC |
Thornburg Investment Management LLC |
Enhanced LIBOR Opportunities Fund |
Ares Management, 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. |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 177 |
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
November 30, 2011
Investment Sub-Adviser |
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. |
Real Return Fund |
Wellington Management Company, LLC |
Dynamic Asset Allocation Fund |
Credit Suisse Asset Management, LLC |
Goldman Sachs Asset Management, L.P. |
Multi-Asset Real Return Fund |
Alliance Bernstein L.P. |
Distribution Agreement — SEI Investments Distribution Co. (the “Distributor”), a wholly owned subsidiary of SEI Investments Company (“SEI”), serves as each Fund’s Distributor pursuant to a Distribution Agreement with the Trust.
Other —The Distribution Agreement between the Distributor and the Trust provides that the Distributor may receive compensation on fund transactions effected for the Trust in accordance with Securities and Exchange Commission (“SEC”) rules. Accordingly, it is expected that fund transactions may result in brokerage commissions being paid to the Distributor. The SEC rules require that such commissions not exceed usual and customary commissions.
Such commissions for the six-month period ended November 30, 2011, were as follows ($ Thousands):
Large Cap Fund | $ | 112 | ||
Large Cap Diversified Alpha Fund | 23 | |||
Large Cap Disciplined Equity Fund | 20 | |||
Large Cap Index Fund | 10 | |||
Small/Mid Cap Equity Fund | 16 | |||
World Equity Ex-US Fund | 403 |
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, Small/Mid Cap Equity and U.S. Managed Volatility Funds. For this service LSV Asset Management is entitled to receive a fee from SIMC. Such fees for the six-month period ended November 30, 2011, were as follows ($ Thousands):
Large Cap Fund | $ | 162 | ||
Small Cap Fund | 85 | |||
Small/Mid Cap Equity Fund | 442 | |||
U.S. Managed Volatility Fund | 113 |
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 Statements of Operations and the effect on each Fund’s expense ratio, as a percentage of each Fund’s average daily net assets for the six-month period ended November 30, 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.
To the extent consistent with its investment objectives, a Fund may invest in the SEI LIBOR Plus Portfolio, a portfolio of SEI Alpha Strategy Portfolios, LP. The SEI LIBOR Plus Portfolio seeks to maximize total return consistent with the preservation of capital and prudent investment management.
Interfund Lending — The SEC has granted an exemption that permits the Trust to participate in an interfund lending program (“The Program”) with existing or future investment companies registered under the 1940 Act that are advised by SIMC (the “SEI Funds”). The Program allows the SEI Funds to lend money to and borrow money from each other for temporary or emergency purposes. Participation in The Program is voluntary for both borrowing and lending funds. Interfund loans may be made only when the rate of interest to be charged is more favorable to the lending fund than an investment in overnight repurchase agreements (“Repo Rate”), and more favorable to the borrowing fund than the rate of interest that would be charged by a bank for short-term borrowings (“Bank Loan Rate”). The Bank Loan Rate will be determined using a formula approved by the SEI Funds’ Board of Trustees. The interest rate imposed on interfund loans is the average of the Repo Rate and the Bank Loan Rate.
During the six-month period ended November 30, 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 ($ Thousands):
Date | Amount Borrowed | Interest Paid | Rate | |||||||||||||
Large Cap Fund | 11/01/2011 | $ | 7,200 | $ | — | 0.28 | % | |||||||||
Large Cap Fund | 11/14/2011 | 11,000 | — | 0.27 | ||||||||||||
U.S. Managed Volatility Fund | 09/30/2011 | 9,500 | — | 0.29 |
The Trust had no outstanding borrowings or loans under the Program at November 30, 2011.
178 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
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 | Large Cap Index Fund | |||||||||||||||||||||||||||||
6/1/11 to 11/30/11 (Unaudited) | 6/1/10 to 5/31/11 | 6/1/11 to 11/30/11 (Unaudited) | 6/1/10 to 5/31/11 | 6/1/11 to 11/30/11 (Unaudited) | 6/1/10 to 5/31/11 | 6/1/11 to 11/30/11 (Unaudited) | 6/1/10 to 5/31/11 | |||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||
Shares Issued | 17,844 | 37,117 | (1) | 3,213 | 6,666 | 68,970 | 160,494 | 1,432 | 2,208 | |||||||||||||||||||||||
Shares Issued In Lieu of Dividends and Distributions | 643 | 1,172 | 234 | 619 | 5,503 | 16,671 | 63 | 100 | ||||||||||||||||||||||||
Shares Redeemed | (15,340 | ) | (33,338 | ) | (6,389 | ) | (14,906 | ) | (113,287 | ) | (247,363 | ) | (572 | ) | (1,139 | ) | ||||||||||||||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | 3,147 | 4,951 | (2,942 | ) | (7,621 | ) | (38,814 | ) | (70,198 | ) | 923 | 1,169 | ||||||||||||||||||||
Small Cap Fund | Small/Mid Cap Equity Fund | U.S. Managed Volatility Fund | International Equity Fund | |||||||||||||||||||||||||||||
6/1/11 to 11/30/11 (Unaudited) | 6/1/10 to 5/31/11 | 6/1/11 to 11/30/11 (Unaudited) | 6/1/10 to 5/31/11 | 6/1/11 to 11/30/11 (Unaudited) | 6/1/10 to 5/31/11 | 6/1/11 to 11/30/11 (Unaudited) | 6/1/10 to 5/31/11 | |||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||
Shares Issued | 10,636 | 19,322 | 22,784 | 51,210 | 23,800 | 3,870 | (1) | 8,663 | 11,746 | |||||||||||||||||||||||
Shares Issued In Lieu of Dividends and Distributions | — | 784 | 548 | 898 | 136 | 2,142 | — | 2,652 | ||||||||||||||||||||||||
Shares Redeemed | (8,896 | ) | (91,837 | )(1) | (22,190 | ) | (78,171 | ) | (3,955 | ) | (17,863 | )(1) | (19,426 | ) | (41,784 | ) | ||||||||||||||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | 1,740 | (71,731 | ) | 1,142 | (26,063 | ) | 19,981 | (11,851 | ) | (10,763 | ) | (27,386 | ) | |||||||||||||||||||
World Equity Ex-US Fund | Screened World Equity Ex-US Fund | Enhanced LIBOR Opportunities Fund | Core Fixed Income Fund | |||||||||||||||||||||||||||||
6/1/11 to 11/30/11 (Unaudited) | 6/1/10 to 5/31/11 | 6/1/11 to | 6/1/10 to 5/31/11 | 6/1/11 to 11/30/11 (Unaudited) | 6/1/10 to 5/31/11 | 6/1/11 to 11/30/11 (Unaudited) | 6/1/10 to 5/31/11 | |||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||
Shares Issued | 90,073 | 129,071 | 1,015 | 1,100 | 809 | 24,643 | 52,030 | 224,643 | ||||||||||||||||||||||||
Shares Issued In Lieu of Dividends and Distributions | — | 7,364 | — | 128 | 268 | 367 | 10,747 | 40,542 | ||||||||||||||||||||||||
Shares Redeemed | (71,603 | ) | (107,044 | ) | (857 | ) | (4,900 | ) | (8,828 | ) | (2,910 | ) | (118,985 | ) | (165,472 | ) | ||||||||||||||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | 18,470 | 29,391 | 158 | (3,672 | ) | (7,751 | ) | 22,100 | (56,208 | ) | 99,713 | |||||||||||||||||||||
High Yield Bond Fund | Long Duration Fund | Ultra Short Duration Bond Fund(2) | Emerging Markets Debt Fund | |||||||||||||||||||||||||||||
6/1/11 to 11/30/11 (Unaudited) | 6/1/10 to 5/31/11 | 6/1/11 to 11/30/11 (Unaudited) | 6/1/10 to 5/31/11 | 6/1/11 to (Unaudited) | 2/25/11 to 5/31/11 | 6/1/11 to 11/30/11 (Unaudited) | 6/1/10 to 5/31/11 | |||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||
Shares Issued | 40,892 | 69,442 | 40,902 | 120,233 | 22,887 | 32,449 | 14,817 | 31,615 | ||||||||||||||||||||||||
Shares Issued In Lieu of Dividends and Distributions | 7,941 | 16,229 | 8,873 | 27,703 | 254 | 124 | 3,067 | 4,483 | ||||||||||||||||||||||||
Shares Redeemed | (30,825 | ) | (70,299 | ) | (80,591 | ) | (63,847 | ) | (6,009 | ) | (1,203 | ) | (14,394 | ) | (41,911 | ) | ||||||||||||||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | 18,008 | 15,372 | (30,816 | ) | 84,089 | 17,132 | 31,370 | 3,490 | (5,813 | ) |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 179 |
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
November 30, 2011
Real Return Fund | Dynamic Asset Allocation Fund(3) | Multi-Asset Real Return Fund(4) | ||||||||||||||||||||||||
6/1/11 to 11/30/11 (Unaudited) | 6/1/10 to 5/31/11 | 6/1/11 to (Unaudited) | 7/30/10 to 5/31/11 | 7/28/11 to 11/30/11 (Unaudited) | ||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||
Shares Issued | 2,896 | 15,526 | 11,244 | 36,372 | 13,858 | |||||||||||||||||||||
Shares Issued In Lieu of Dividends and Distributions | 778 | 1,154 | — | 176 | 8 | |||||||||||||||||||||
Shares Redeemed | (10,570 | ) | (13,464 | ) | (3,116 | ) | (376 | ) | (641 | ) | ||||||||||||||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | (6,896 | ) | 3,216 | 8,128 | 36,172 | 13,225 |
(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. |
(4) | Fund commenced operations on July 28, 2011. |
7. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale and maturities of securities other than temporary cash investments, during the six-month period ended November 30, 2011, were as follows:
U.S. Gov’t ($ Thousands) | Other ($ Thousands) | Total ($ Thousands) | ||||||||||
Large Cap Fund | ||||||||||||
Purchases | $ | — | $ | 939,259 | $ | 939,259 | ||||||
Sales | — | 915,526 | 915,526 | |||||||||
Large Cap Diversified Alpha Fund | ||||||||||||
Purchases | — | 193,594 | 193,594 | |||||||||
Sales | — | 219,094 | 219,094 | |||||||||
Large Cap Disciplined Equity Fund | ||||||||||||
Purchases | — | 3,161,602 | 3,161,602 | |||||||||
Sales | — | 3,614,859 | 3,614,859 | |||||||||
Large Cap Index Fund | ||||||||||||
Purchases | — | 137,664 | 137,664 | |||||||||
Sales | — | 42,808 | 42,808 | |||||||||
Small Cap Fund | ||||||||||||
Purchases | — | 283,297 | 283,297 | |||||||||
Sales | — | 279,246 | 279,246 | |||||||||
Small/Mid Cap Equity Fund | ||||||||||||
Purchases | — | 869,151 | 869,151 | |||||||||
Sales | — | 864,511 | 864,511 | |||||||||
U.S. Managed Volatility Fund | ||||||||||||
Purchases | — | 283,039 | 283,039 | |||||||||
Sales | — | 64,095 | 64,095 | |||||||||
International Equity Fund | ||||||||||||
Purchases | — | 136,816 | 136,816 | |||||||||
Sales | — | 198,958 | 198,958 | |||||||||
World Equity Ex-US Fund | ||||||||||||
Purchases | — | 1,911,828 | 1,911,828 | |||||||||
Sales | — | 1,604,799 | 1,604,799 | |||||||||
Screened World Equity Ex-US Fund | ||||||||||||
Purchases | — | 24,390 | 24,390 | |||||||||
Sales | — | 23,563 | 23,563 | |||||||||
Enhanced LIBOR Opportunities Fund | ||||||||||||
Purchases | 34,101 | 25,188 | 59,289 | |||||||||
Sales | 38,131 | 69,938 | 108,069 | |||||||||
Core Fixed Income Fund | ||||||||||||
Purchases | 12,035,280 | 1,102,772 | 13,138,052 | |||||||||
Sales | 12,574,994 | 1,073,908 | 13,648,902 |
U.S. Gov’t ($ Thousands) | Other ($ Thousands) | Total ($ Thousands) | ||||||||||
High Yield Bond Fund | ||||||||||||
Purchases | $ | — | $ | 351,652 | $ | 351,652 | ||||||
Sales | — | 293,028 | 293,028 | |||||||||
Long Duration Fund | ||||||||||||
Purchases | 1,009,283 | 751,421 | 1,760,704 | |||||||||
Sales | 1,288,044 | 684,450 | 1,972,494 | |||||||||
Ultra Short Duration Bond Fund | ||||||||||||
Purchases | 216,402 | 113,447 | 329,849 | |||||||||
Sales | 122,082 | 15,557 | 137,639 | |||||||||
Emerging Markets Debt Fund | ||||||||||||
Purchases | — | 288,123 | 288,123 | |||||||||
Sales | — | 246,642 | 246,642 | |||||||||
Real Return Fund | ||||||||||||
Purchases | 111,399 | — | 111,399 | |||||||||
Sales | 204,905 | — | 204,905 | |||||||||
Dynamic Asset Allocation Fund | ||||||||||||
Purchases | 8,808 | — | 8,808 | |||||||||
Sales | — | — | — | |||||||||
Multi-Asset Real Return Fund* | ||||||||||||
Purchases | 75,873 | 91,429 | 167,302 | |||||||||
Sales | 11,898 | 20,184 | 32,082 |
* | Commenced operations on July 28, 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, undistributed net investment income or accumulated net realized gain, as appropriate, in the period that the differences arise.
180 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
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 | ||||||||||||||||
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 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 ($ 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 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 181 |
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
November 30, 2011
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 ($ Thousands) | Other Temporary Differences ($ Thousands) | Total Distributable Earnings (Accumulated Losses) ($ Thousands) | |||||||||||||||||||||||||
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 | ||||||||||||||||||
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 November 30, 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 November 30, 2011, was as follows:
Federal Tax Cost ($ Thousands) | Appreciated Securities ($ Thousands) | Depreciated Securities ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||
Large Cap Fund | $ | 1,529,913 | $ | 164,549 | $ | (54,060 | ) | $ | 110,489 | |||||||
Large Cap Diversified Alpha Fund | 302,086 | 25,678 | (14,668 | ) | 11,010 | |||||||||||
Large Cap Disciplined Equity Fund | 6,918,236 | 581,131 | (385,221 | ) | 195,910 | |||||||||||
Large Cap Index Fund | 725,950 | 171,783 | (33,023 | ) | 138,760 | |||||||||||
Small Cap Fund | 839,696 | 66,328 | (78,077 | ) | (11,749 | ) | ||||||||||
Small/Mid Cap Equity Fund | 2,503,230 | 238,600 | (170,334 | ) | 68,266 | |||||||||||
U.S. Managed Volatility Fund | 335,390 | 29,380 | (5,424 | ) | 23,956 | |||||||||||
International Equity Fund | 424,659 | 18,061 | (47,934 | ) | (29,873 | ) | ||||||||||
World Equity Ex-US Fund | 4,870,206 | 296,486 | (420,809 | ) | (124,323 | ) | ||||||||||
Screened World Equity Ex-US Fund | 49,348 | 2,691 | (5,446 | ) | (2,755 | ) | ||||||||||
Enhanced LIBOR Opportunities Fund | 257,750 | 595 | (24,132 | ) | (23,537 | ) | ||||||||||
Core Fixed Income Fund | 7,216,530 | 301,312 | (215,848 | ) | 85,464 | |||||||||||
High Yield Bond Fund | 2,012,997 | 55,501 | (93,338 | ) | (37,837 | ) | ||||||||||
Long Duration Fund | 3,155,943 | 333,464 | (36,856 | ) | 296,608 |
182 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Federal Tax Cost ($ Thousands) | Appreciated Securities ($ Thousands) | Depreciated Securities ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||
Ultra Short Duration Bond Fund | $ | 501,681 | $ | 786 | $ | (3,907 | ) | $ | (3,121 | ) | ||||||
Emerging Markets Debt Fund | 984,476 | 72,165 | (40,522 | ) | 31,643 | |||||||||||
Real Return Fund | 275,020 | 10,178 | (19 | ) | 10,159 | |||||||||||
Dynamic Asset Allocation Fund | 463,409 | 14 | (37 | ) | (23 | ) | ||||||||||
Multi-Asset Real Return Fund | 134,410 | 1,320 | (4,205 | ) | (2,885 | ) |
Management has analyzed the Funds’ tax positions taken on Federal income tax returns for all open tax years and has concluded that as of November 30, 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, High Yield Bond and Multi-Asset Real Return 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, Emerging Markets Debt and Multi-Asset Real Return Funds concentrate their investments in securities of foreign issuers in various countries. These investments may involve certain considerations and risks not typically associated with investments in the United States, as a result of, among other factors, the possibility of future political and economic developments and the level of governmental supervision and regulation of securities markets in the respective countries.
10. IN-KIND TRANSFERS OF SECURITIES
During the six-month period ended November 30, 2011, there were no in-kind transfers of securities.
During the year ended May 31, 2011, the Large Cap, Small Cap and U.S. Managed Volatility Funds 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 |
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
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 183 |
Table of Contents
Notes to Financial Statements (Unaudited) (Concluded)
November 30, 2011
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 November 30, 2011.
184 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Disclosure of Fund Expenses (Unaudited)
November 30, 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.
Beginning Account Value 6/1/11 | Ending Account Value 11/30/11 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Large Cap Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 926.80 | 0.26 | % | $ | 1.25 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,023.70 | 0.26 | % | $ | 1.32 | ||||||||
Large Cap Diversified Alpha Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 938.30 | 0.31 | % | $ | 1.50 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,023.45 | 0.31 | % | $ | 1.57 | ||||||||
Large Cap Disciplined Equity Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 929.20 | 0.18 | % | $ | 0.87 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,024.10 | 0.18 | % | $ | 0.91 | ||||||||
Large Cap Index Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 929.80 | 0.06 | % | $ | 0.29 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,024.70 | 0.06 | % | $ | 0.30 |
Beginning Account Value 6/1/11 | Ending Account Value 11/30/11 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Small Cap Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 871.10 | 0.54 | % | $ | 2.53 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.30 | 0.54 | % | $ | 2.73 | ||||||||
Small/Mid Cap Equity Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 875.00 | 0.50 | % | $ | 2.34 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.50 | 0.50 | % | $ | 2.53 | ||||||||
U.S. Managed Volatility Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 969.80 | 0.35 | % | $ | 1.72 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,023.25 | 0.35 | % | $ | 1.77 | ||||||||
International Equity Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 832.70 | 0.43 | % | $ | 1.97 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.85 | 0.43 | % | $ | 2.17 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 185 |
Table of Contents
Disclosure of Fund Expenses (Unaudited) (Concluded)
November 30, 2011
Beginning Account Value 6/1/11 | Ending Account Value 11/30/11 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
World Equity Ex-US Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 838.60 | 0.45 | % | $ | 2.07 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.75 | 0.45 | % | $ | 2.28 | ||||||||
Screened World Equity Ex-US Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 823.50 | 0.80 | % | $ | 3.69 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.95 | 0.80 | % | $ | 4.09 | ||||||||
Enhanced LIBOR Opportunities Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 991.30 | 0.41 | % | $ | 2.04 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.95 | 0.41 | % | $ | 2.07 | ||||||||
Core Fixed Income Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,030.70 | 0.14 | % | $ | 0.71 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,024.30 | 0.14 | % | $ | 0.71 | ||||||||
High Yield Bond Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 969.40 | 0.35 | % | $ | 1.72 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,023.25 | 0.35 | % | $ | 1.77 | ||||||||
Long Duration Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,105.00 | 0.20 | % | $ | 1.05 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,024.00 | 0.20 | % | $ | 1.01 |
Beginning Account Value 6/1/11 | Ending Account Value 11/30/11 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Ultra Short Duration Bond Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 996.90 | 0.17 | % | $ | 0.85 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,024.15 | 0.17 | % | $ | 0.86 | ||||||||
Emerging Markets Debt Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 993.10 | 0.55 | % | $ | 2.74 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.25 | 0.55 | % | $ | 2.78 | ||||||||
Real Return Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,012.90 | 0.20 | % | $ | 1.01 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,024.00 | 0.20 | % | $ | 1.01 | ||||||||
Dynamic Asset Allocation Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 958.30 | 0.50 | % | $ | 2.45 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.50 | 0.50 | % | $ | 2.53 | ||||||||
Multi-Asset Real Return Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 958.70 | 0.40 | % | $ | 1.31 | ** | |||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,023.00 | 0.40 | % | $ | 2.02 |
* | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183/366 (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 122/366 (to reflect the period since inception to period end). |
186 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
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 (each, a “Sub-Adviser” and collectively, 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(s). In connection with their consideration of such approval(s), 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 sessions outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Advisers.
Specifically, during the course of the Trust’s fiscal year, 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.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 187 |
Table of Contents
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) (Continued)
At the June 21-22, 2011 and September 13-14, 2011 meetings of the Board of Trustees, the Trustees, including a majority of the Independent Trustees, approved the Sub-Advisory Agreements and approved the selection of 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 Sub-Advisory Agreements, including the resources of the Sub-Advisers and their affiliates dedicated to the Funds; |
• | the Funds’ investment performance and how it compared to that of other comparable mutual funds; |
• | the Funds’ expenses under each Sub-Advisory Agreement and how those expenses compared to those of other comparable mutual funds; |
• | the profitability of the Sub-Advisers and their affiliates with respect to the Funds, including both direct and indirect benefits accruing to 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 Sub-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 the Sub-Advisers to the Funds and the resources of the Sub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, each Sub-Adviser’s personnel, experience, track record and compliance program. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by the Sub-Advisers to the Funds and the resources of the Sub-Advisers and their affiliates dedicated to the Funds supported renewal of the Sub-Advisory Agreements.
Fund Performance. The Board of Trustees considered Fund performance in determining whether to renew the Sub-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 Sub-Advisory Agreements.
Fund Expenses. With respect to the Funds’ expenses under the Sub-Advisory Agreements, the Trustees considered the rate of compensation called for by the Sub-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 the Sub-Advisers’ fees to prevent total Fund expenses from exceeding a specified cap and concluded that the Funds’ various service providers, 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 Sub-Advisory Agreements.
188 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 |
Table of Contents
Profitability. With regard to profitability, the Trustees considered all compensation flowing to the Sub-Advisers and their affiliates, directly or indirectly. The Trustees considered whether the varied levels of compensation and profitability under the Sub-Advisory Agreements and other service agreements were reasonable and justified in light of the quality of all services rendered to the Funds by 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 the Sub-Advisers is reasonable and supported renewal of the Sub-Advisory Agreements.
Economies of Scale. The Trustees considered the existence of any economies of scale and whether those were passed along to the Funds’ shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by SIMC and its affiliates. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the Funds obtain reasonable benefit from economies of scale.
Based on the Trustees’ deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, unanimously approved the continuation of the Sub-Advisory Agreements and concluded that the compensation under the Sub-Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of their deliberations, the Trustees did not identify any particular information that was all-important or controlling.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2011 | 189 |
Table of Contents
SEI INSTITUTIONAL INVESTMENTS TRUST SEMI-ANNUAL REPORT NOVEMBER 30, 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
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)
Table of Contents
SEI Investments Distribution Co.
Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734)
SEI-F-120 (11/11)
Table of Contents
Item 2. | Code of Ethics. |
Not applicable for semi-annual report.
Item 3. | Audit Committee Financial Expert. |
Not applicable for semi-annual report.
Item 4. | Principal Accountant Fees and Services. |
Not applicable for semi-annual report.
Item 5. | Audit Committee of Listed Registrants. |
Not applicable for semi-annual report.
Item 6. | Schedule of Investments. |
(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 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, Real Return Fund, Dynamic Asset Allocation Fund and Multi-Asset Real Return Fund are included as part of the report to shareholders filed under Item 1 of this form.
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 95.3% | ||||||||
Consumer Discretionary — 14.6% |
| |||||||
American Eagle Outfitters | 63,900 | $ | 889 | |||||
Apollo Group, Cl A * | 231,342 | 11,215 | ||||||
Autoliv (A) | 16,900 | 901 | ||||||
Bayerische Motoren Werke | 61,980 | 4,670 | ||||||
Bed Bath & Beyond * | 154,250 | 9,334 | ||||||
Best Buy (A) | 107,700 | 2,917 | ||||||
Big Lots * | 22,200 | 890 | ||||||
Career Education * | 58,809 | 415 | ||||||
CBS, Cl B | 532,840 | 13,875 | ||||||
Coach | 275,266 | 17,229 | ||||||
Comcast, Cl A | 71,600 | 1,623 | ||||||
Cooper Tire & Rubber | 32,100 | 430 | ||||||
Ctrip.com International | 122,900 | 3,343 | ||||||
Darden Restaurants (A) | 12,000 | 572 | ||||||
Dillard’s, Cl A | 18,700 | 879 | ||||||
DIRECTV, Cl A * | 141,610 | 6,687 | ||||||
Discovery Communications, | 100,010 | 4,199 | ||||||
DISH Network, Cl A | 52,700 | 1,295 | ||||||
Family Dollar Stores | 12,600 | 749 | ||||||
Foot Locker | 75,400 | 1,779 | ||||||
Ford Motor * | 164,500 | 1,744 | ||||||
Fossil * | 70,067 | 6,277 | ||||||
GameStop, Cl A * (A) | 57,200 | 1,322 | ||||||
Gannett (A) | 67,500 | 733 | ||||||
Gap | 126,500 | 2,364 | ||||||
General Motors * | 34,200 | 728 | ||||||
Genuine Parts | 4,700 | 275 | ||||||
Goodyear Tire & Rubber * | 173,000 | 2,420 | ||||||
Guess? | 25,200 | 709 | ||||||
Harley-Davidson | 237,065 | 8,717 | ||||||
Harman International Industries | 17,200 | 710 | ||||||
Hasbro | 14,000 | 501 | ||||||
Home Depot | 21,200 | 831 | ||||||
ITT Educational Services * (A) | 38,700 | 2,127 | ||||||
Johnson Controls | 230,440 | 7,254 | ||||||
Kohl’s | 37,400 | 2,012 | ||||||
Limited Brands | 18,400 | 779 | ||||||
Lowe’s | 728,688 | 17,496 | ||||||
Macy’s | 262,590 | 8,490 | ||||||
McDonald’s | 81,460 | 7,781 | ||||||
MGM Resorts International * | 22,500 | 232 | ||||||
News, Cl A | 144,900 | 2,527 | ||||||
NIKE, Cl B | 152,875 | 14,704 | ||||||
Nordstrom | 145,783 | 6,601 | ||||||
Omnicom Group | 11,900 | 514 | ||||||
priceline.com * (A) | 16,100 | 7,823 | ||||||
PulteGroup * (A) | 43,300 | 265 | ||||||
RadioShack (A) | 89,300 | 1,025 | ||||||
Ralph Lauren, Cl A | 8,480 | 1,203 | ||||||
Service International (A) | 63,177 | 648 | ||||||
Staples | 356,600 | 5,139 | ||||||
Target | 207,864 | 10,954 | ||||||
Time Warner | 5,600 | 195 | ||||||
Time Warner Cable, Cl A | 138,680 | 8,387 | ||||||
TRW Automotive Holdings * | 19,200 | 627 | ||||||
Tupperware Brands | 5,900 | 344 | ||||||
Viacom, Cl B | 21,300 | 953 | ||||||
Walt Disney | 31,100 | 1,115 |
Description | Shares | Market Value ($ Thousands) | ||||||
Warnaco Group * | 6,400 | $ | 324 | |||||
Washington Post, Cl B (A) | 1,200 | 431 | ||||||
Whirlpool (A) | 25,800 | 1,266 | ||||||
Wyndham Worldwide | 77,400 | 2,744 | ||||||
Wynn Resorts (A) | 1,100 | 133 | ||||||
|
| |||||||
225,315 | ||||||||
|
| |||||||
Consumer Staples — 8.6% | ||||||||
Altria Group | 67,100 | 1,925 | ||||||
Anheuser-Busch InBev ADR | 89,594 | 5,376 | ||||||
Archer-Daniels-Midland | 61,900 | 1,865 | ||||||
Avon Products | 25,800 | 439 | ||||||
Clorox | 2,500 | 162 | ||||||
Coca-Cola | 105,540 | 7,095 | ||||||
Coca-Cola Enterprises | 18,300 | 478 | ||||||
ConAgra Foods | 70,800 | 1,788 | ||||||
Constellation Brands, Cl A * | 7,800 | 152 | ||||||
Corn Products International | 17,000 | 884 | ||||||
Costco Wholesale | 218,731 | 18,658 | ||||||
CVS Caremark | 152,900 | 5,939 | ||||||
Dr. Pepper Snapple Group | 28,600 | 1,045 | ||||||
Estee Lauder, Cl A | 37,720 | 4,450 | ||||||
Herbalife | 28,400 | 1,571 | ||||||
Kimberly-Clark | 23,700 | 1,694 | ||||||
Kraft Foods, Cl A | 18,200 | 658 | ||||||
Kroger | 182,200 | 4,223 | ||||||
Lorillard | 21,700 | 2,422 | ||||||
Mead Johnson Nutrition, Cl A | 170,385 | 12,840 | ||||||
Nu Skin Enterprises, Cl A | 20,700 | 988 | ||||||
PepsiCo | 20,200 | 1,293 | ||||||
Philip Morris International | 187,710 | 14,311 | ||||||
Procter & Gamble | 173,500 | 11,203 | ||||||
Reynolds American | 25,900 | 1,084 | ||||||
Safeway (A) | 123,400 | 2,468 | ||||||
Smithfield Foods * | 85,500 | 2,094 | ||||||
SUPERVALU (A) | 60,800 | 447 | ||||||
Sysco | 9,200 | 262 | ||||||
Tyson Foods, Cl A | 95,500 | 1,923 | ||||||
Walgreen | 251,800 | 8,491 | ||||||
Wal-Mart Stores | 97,900 | 5,766 | ||||||
Whole Foods Market (A) | 126,404 | 8,608 | ||||||
|
| |||||||
132,602 | ||||||||
|
| |||||||
Energy — 10.2% | ||||||||
Apache | 23,600 | 2,347 | ||||||
Canadian Natural Resources | 151,560 | 5,659 | ||||||
Chevron | 230,300 | 23,680 | ||||||
Cimarex Energy | 4,100 | 275 | ||||||
ConocoPhillips | 324,110 | 23,116 | ||||||
Core Laboratories (A) | 47,617 | 5,526 | ||||||
Devon Energy | 42,600 | 2,789 | ||||||
El Paso | 191,100 | 4,779 | ||||||
EOG Resources | 112,600 | 11,681 | ||||||
Exxon Mobil | 245,900 | 19,780 | ||||||
FMC Technologies * (A) | 154,963 | 8,114 | ||||||
Forest Oil * | 37,100 | 595 | ||||||
Halliburton | 141,330 | 5,201 | ||||||
Helix Energy Solutions | 26,200 | 465 | ||||||
Hess | 39,400 | 2,373 | ||||||
Marathon Oil | 131,400 | 3,674 | ||||||
Marathon Petroleum | 60,350 | 2,015 | ||||||
McDermott International * | 36,600 | 414 | ||||||
Murphy Oil | 68,200 | 3,814 | ||||||
National Oilwell Varco | 31,940 | 2,290 |
1 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Noble (A) | 16,300 | $ | 563 | |||||
Noble Energy | 42,630 | 4,194 | ||||||
Occidental Petroleum | 30,000 | 2,967 | ||||||
Patriot Coal * (A) | 41,700 | 434 | ||||||
Patterson-UTI Energy | 41,300 | 868 | ||||||
Peabody Energy | 5,100 | 200 | ||||||
Schlumberger | 127,337 | 9,592 | ||||||
SEACOR Holdings | 5,000 | 434 | ||||||
Tesoro * | 104,600 | 2,499 | ||||||
Transocean | 5,400 | 231 | ||||||
Valero Energy | 283,600 | 6,316 | ||||||
W&T Offshore (A) | 24,633 | 493 | ||||||
Williams | 7,200 | 232 | ||||||
|
| |||||||
157,610 | ||||||||
|
| |||||||
Financials — 12.0% | ||||||||
ACE | 74,900 | 5,208 | ||||||
Aflac | 95,700 | 4,157 | ||||||
Alexandria Real Estate Equities ‡ | 800 | 52 | ||||||
Allstate | 74,100 | 1,985 | ||||||
American Express | 37,500 | 1,802 | ||||||
American Financial Group | 32,294 | 1,163 | ||||||
Ameriprise Financial | 74,500 | 3,420 | ||||||
Annaly Capital | 61,000 | 980 | ||||||
Apartment Investment & Management, Cl A ‡ | 2,000 | 44 | ||||||
Assurant | 94,200 | 3,696 | ||||||
Astoria Financial | 6,600 | 50 | ||||||
AvalonBay | 1,800 | 225 | ||||||
Bank of America | 409,900 | 2,230 | ||||||
Bank of New York Mellon | 116,500 | 2,267 | ||||||
Berkshire Hathaway, Cl B * | 74,000 | 5,828 | ||||||
BlackRock, Cl A | 4,400 | 757 | ||||||
Boston Properties ‡ | 2,900 | 277 | ||||||
Brandywine Realty Trust ‡ | 72,100 | 628 | ||||||
BRE Properties ‡ | 1,100 | 54 | ||||||
Camden Property Trust ‡ | 1,100 | 64 | ||||||
Capital One Financial (A) | 261,540 | 11,680 | ||||||
CBL & Associates | 46,200 | 660 | ||||||
Charles Schwab (A) | 356,614 | 4,265 | ||||||
Chubb | 70,800 | 4,775 | ||||||
Citigroup | 345,980 | 9,507 | ||||||
CME Group, Cl A | 26,000 | 6,481 | ||||||
CNA Financial | 21,600 | 565 | ||||||
Comerica | 38,500 | 971 | ||||||
Commerce Bancshares | 11,235 | 418 | ||||||
Digital Realty Trust ‡ (A) | 1,400 | 89 | ||||||
Discover Financial Services | 234,400 | 5,583 | ||||||
Duke Realty ‡ | 4,300 | 50 | ||||||
Endurance Specialty Holdings | 19,600 | 709 | ||||||
Equity Residential ‡ | 5,800 | 320 | ||||||
Essex Property Trust ‡ | 500 | 66 | ||||||
Everest Re Group | 9,300 | 816 | ||||||
Federal Realty Investment Trust ‡ | 800 | 71 | ||||||
Fifth Third Bancorp | 356,000 | 4,304 | ||||||
Goldman Sachs Group | 21,600 | 2,071 | ||||||
Hartford Financial Services Group | 105,800 | 1,879 | ||||||
HCC Insurance Holdings | 13,100 | 352 | ||||||
HCP ‡ (A) | 8,000 | 309 | ||||||
Health Care REIT ‡ (A) | 2,400 | 120 | ||||||
Hospitality Properties | 78,400 | 1,727 |
Description | Shares | Market Value ($ Thousands) | ||||||
Host Hotels & Resorts ‡ | 9,600 | $ | 136 | |||||
Huntington Bancshares | 688,100 | 3,613 | ||||||
Intercontinental | 64,350 | 7,833 | ||||||
Jones Lang LaSalle | 4,100 | 264 | ||||||
JPMorgan Chase | 612,910 | 18,982 | ||||||
Keycorp | 773,200 | 5,637 | ||||||
Kimco Realty ‡ (A) | 5,500 | 87 | ||||||
Liberty Property Trust ‡ | 1,700 | 51 | ||||||
Lincoln National | 80,100 | 1,616 | ||||||
Loews | 17,500 | 673 | ||||||
Macerich ‡ | 1,800 | 90 | ||||||
Mack-Cali Realty ‡ | 21,600 | 550 | ||||||
MetLife | 34,400 | 1,083 | ||||||
Montpelier Re Holdings | 27,200 | 463 | ||||||
Morgan Stanley | 53,700 | 794 | ||||||
NASDAQ OMX Group * | 40,900 | 1,074 | ||||||
PartnerRe | 11,000 | 723 | ||||||
Plum Creek Timber ‡ (A) | 2,300 | 85 | ||||||
PNC Financial Services Group | 138,600 | 7,513 | ||||||
Popular * | 660,300 | 984 | ||||||
ProLogis ‡ | 9,000 | 250 | ||||||
Protective Life | 19,700 | 437 | ||||||
Prudential Financial | 43,000 | 2,178 | ||||||
Public Storage ‡ | 2,700 | 356 | ||||||
Rayonier ‡ | 19,500 | 792 | ||||||
Regency Centers ‡ | 1,400 | 52 | ||||||
Regions Financial | 470,000 | 1,932 | ||||||
Reinsurance Group of America, Cl A | 11,200 | 577 | ||||||
RenaissanceRe Holdings (A) | 5,900 | 433 | ||||||
Simon Property Group ‡ | 5,000 | 622 | ||||||
SL Green Realty ‡ | 1,200 | 79 | ||||||
SLM | 69,800 | 899 | ||||||
State Street | 63,600 | 2,522 | ||||||
SunTrust Banks | 23,300 | 422 | ||||||
Taubman Centers ‡ | 900 | 56 | ||||||
Torchmark | 41,650 | 1,774 | ||||||
Travelers | 49,200 | 2,767 | ||||||
UDR ‡ | 2,700 | 63 | ||||||
Unum Group | 181,000 | 4,074 | ||||||
US Bancorp | 153,600 | 3,981 | ||||||
Validus Holdings (A) | 21,200 | 638 | ||||||
Ventas ‡ | 4,915 | 259 | ||||||
Vornado Realty Trust ‡ | 3,600 | 268 | ||||||
Weingarten Realty | 2,400 | 50 | ||||||
Wells Fargo | 550,700 | 14,241 | ||||||
Weyerhaeuser ‡ | 7,600 | 128 | ||||||
|
| |||||||
184,776 | ||||||||
|
| |||||||
Health Care — 11.8% | ||||||||
Abbott Laboratories | 75,700 | 4,129 | ||||||
Aetna | 123,500 | 5,165 | ||||||
Allergan | 177,900 | 14,894 | ||||||
AmerisourceBergen (A) | 79,700 | 2,961 | ||||||
Amgen (A) | 246,056 | 14,249 | ||||||
Becton Dickinson (A) | 2,500 | 184 | ||||||
Biogen Idec * | 6,600 | 759 | ||||||
Bristol-Myers Squibb | 25,300 | 828 | ||||||
Cardinal Health | 51,000 | 2,165 | ||||||
Celgene * | 118,375 | 7,467 | ||||||
CIGNA | 49,600 | 2,194 | ||||||
Community Health | 11,300 | 225 | ||||||
Covance * | 136,880 | 6,284 | ||||||
Coventry Health Care * | 28,100 | 897 |
2 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Covidien | 61,060 | $ | 2,781 | |||||
DaVita * | 83,971 | 6,397 | ||||||
Eli Lilly | 78,300 | 2,964 | ||||||
Endo Pharmaceuticals | 14,300 | 490 | ||||||
Express Scripts * (A) | 172,815 | 7,889 | ||||||
Forest Laboratories * | 22,400 | 671 | ||||||
Gilead Sciences * | 89,000 | 3,547 | ||||||
Health Net * | 121,100 | 3,771 | ||||||
Hill-Rom Holdings | 22,400 | 708 | ||||||
Humana | 52,070 | 4,618 | ||||||
Idexx Laboratories * (A) | 67,001 | 5,038 | ||||||
Intuitive Surgical * | 14,267 | 6,195 | ||||||
Johnson & Johnson | 214,770 | 13,900 | ||||||
McKesson | 13,700 | 1,114 | ||||||
Medco Health Solutions * | 9,000 | 510 | ||||||
Medtronic | 21,900 | 798 | ||||||
Merck | 360,400 | 12,884 | ||||||
Novo Nordisk ADR | 56,330 | 6,396 | ||||||
Omnicare (A) | 60,200 | 1,963 | ||||||
PDL BioPharma (A) | 172,600 | 1,104 | ||||||
Perrigo | 44,600 | 4,366 | ||||||
Pfizer | 873,900 | 17,539 | ||||||
UnitedHealth Group | 100,500 | 4,901 | ||||||
WellPoint | 111,900 | 7,895 | ||||||
Zimmer Holdings * | 5,600 | 283 | ||||||
|
| |||||||
181,123 | ||||||||
|
| |||||||
Industrials — 7.8% | ||||||||
3M | 6,600 | 535 | ||||||
ABB ADR | 135,482 | 2,570 | ||||||
AGCO * | 24,400 | 1,116 | ||||||
Alliant Techsystems (A) | 4,056 | 239 | ||||||
Avery Dennison | 2,600 | 68 | ||||||
Caterpillar | 44,300 | 4,336 | ||||||
CSX | 5,200 | 113 | ||||||
Danaher (A) | 113,595 | 5,496 | ||||||
Delta Air Lines * | 123,000 | 999 | ||||||
Exelis | 25,900 | 232 | ||||||
Expeditors International of Washington | 116,900 | 5,086 | ||||||
FedEx | 4,100 | 341 | ||||||
Fluor | 167,972 | 9,208 | ||||||
General Cable * | 9,100 | 241 | ||||||
General Dynamics | 40,900 | 2,702 | ||||||
General Electric | 885,300 | 14,085 | ||||||
Granite Construction | 6,200 | 155 | ||||||
Harsco | 10,900 | 225 | ||||||
Honeywell International | 80,840 | 4,377 | ||||||
Huntington Ingalls Industries * | 5,883 | 187 | ||||||
Ingersoll-Rand (A) | 9,800 | 325 | ||||||
ITT | 12,950 | 261 | ||||||
Kansas City Southern * | 37,180 | 2,529 | ||||||
KBR | 116,100 | 3,355 | ||||||
L-3 Communications Holdings, Cl 3 | 57,300 | 3,799 | ||||||
Lockheed Martin (A) | 70,700 | 5,525 | ||||||
Navistar International * | 8,600 | 320 | ||||||
Norfolk Southern | 22,200 | 1,677 | ||||||
Northrop Grumman (A) | 96,100 | 5,484 | ||||||
Owens Corning * | 12,000 | 344 | ||||||
Parker Hannifin | 19,800 | 1,639 | ||||||
Precision Castparts | 65,104 | 10,726 | ||||||
Raytheon | 70,100 | 3,194 |
Description | Shares | Market Value ($ Thousands) | ||||||
Roper Industries | 75,339 | $ | 6,418 | |||||
RR Donnelley & Sons (A) | 56,200 | 844 | ||||||
Ryder System | 34,100 | 1,783 | ||||||
Southwest Airlines | 26,500 | 222 | ||||||
Stericycle * | 73,421 | 5,949 | ||||||
Thomas & Betts * | 1,200 | 63 | ||||||
Timken | 40,300 | 1,693 | ||||||
Tyco International | 17,700 | 849 | ||||||
Union Pacific | 69,840 | 7,222 | ||||||
United Continental | 29,800 | 535 | ||||||
United Technologies | 16,800 | 1,287 | ||||||
URS * | 22,269 | 805 | ||||||
Waste Management (A) | 18,300 | 573 | ||||||
Xylem | 25,900 | 619 | ||||||
|
| |||||||
120,351 | ||||||||
|
| |||||||
Information Technology — 22.4% |
| |||||||
Accenture, Cl A (A) | 115,376 | 6,684 | ||||||
Activision Blizzard | 208,500 | 2,590 | ||||||
Adobe Systems * | 472,112 | 12,945 | ||||||
Altera | 62,540 | 2,356 | ||||||
Amdocs * (A) | 31,500 | 889 | ||||||
Amphenol, Cl A | 132,855 | 6,022 | ||||||
Ansys * | 84,144 | 5,214 | ||||||
Apple * | 100,446 | 38,390 | ||||||
Applied Materials | 65,800 | 709 | ||||||
Autodesk * | 212,553 | 7,242 | ||||||
Broadcom, Cl A | 141,830 | 4,304 | ||||||
CA | 6,800 | 144 | ||||||
Cisco Systems | 495,700 | 9,240 | ||||||
Citrix Systems * | 66,941 | 4,779 | ||||||
Cognizant Technology Solutions, Cl A * | 77,337 | 5,208 | ||||||
Computer Sciences | 40,800 | 997 | ||||||
Convergys * | 27,300 | 353 | ||||||
Corning | 84,300 | 1,119 | ||||||
Dell * | 160,400 | 2,528 | ||||||
DST Systems | 12,404 | 589 | ||||||
EMC * | 308,023 | 7,088 | ||||||
Genpact * | 241,254 | 3,756 | ||||||
Google, Cl A * | 48,951 | 29,341 | ||||||
Harris (A) | 25,400 | 904 | ||||||
Hewlett-Packard | 156,700 | 4,380 | ||||||
Ingram Micro, Cl A * | 26,300 | 474 | ||||||
Intel | 957,759 | 23,858 | ||||||
International Business Machines | 56,072 | 10,541 | ||||||
Intuit | 209,950 | 11,178 | ||||||
Jabil Circuit | 5,400 | 110 | ||||||
Juniper Networks * | 70,470 | 1,600 | ||||||
Kla-Tencor | 2,000 | 92 | ||||||
Lam Research * | 2,200 | 90 | ||||||
Lender Processing Services | 19,500 | 370 | ||||||
Lexmark International, Cl A | 29,200 | 977 | ||||||
Marvell Technology Group * | 14,200 | 201 | ||||||
Mastercard, Cl A | 60,560 | 22,683 | ||||||
Microchip Technology (A) | 128,970 | 4,502 | ||||||
Microsoft | 304,100 | 7,779 | ||||||
Molex (A) | 4,300 | 107 | ||||||
Motorola Solutions | 35,700 | 1,666 | ||||||
National Instruments | 191,828 | 5,045 | ||||||
NetApp * (A) | 195,078 | 7,185 | ||||||
Oracle | 477,797 | 14,979 | ||||||
Polycom * | 189,500 | 3,203 |
3 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Qualcomm | 478,705 | $ | 26,233 | |||||
SAIC * | 38,000 | 458 | ||||||
Salesforce.com * (A) | 41,603 | 4,927 | ||||||
Seagate Technology | 66,600 | 1,139 | ||||||
Symantec * | 121,800 | 1,991 | ||||||
TE Connectivity | 21,600 | 685 | ||||||
Tech Data * | 38,600 | 1,900 | ||||||
Teradata * | 96,300 | 5,222 | ||||||
VeriSign | 263,600 | 8,851 | ||||||
Visa, Cl A | 150,150 | 14,560 | ||||||
Vishay Intertechnology * | 116,000 | 1,147 | ||||||
Western Digital * | 66,900 | 1,945 | ||||||
Xerox | 194,800 | 1,588 | ||||||
|
| |||||||
345,057 | ||||||||
|
| |||||||
Materials — 2.4% | ||||||||
Agrium | 20,600 | 1,442 | ||||||
Air Products & Chemicals (A) | 26,310 | 2,203 | ||||||
Alcoa | 50,000 | 501 | ||||||
Ashland | 16,700 | 929 | ||||||
CF Industries Holdings | 11,700 | 1,636 | ||||||
Commercial Metals | 29,600 | 414 | ||||||
Domtar | 9,600 | 754 | ||||||
Dow Chemical | 88,100 | 2,441 | ||||||
E.I. Du Pont de Nemours | 2,500 | 119 | ||||||
Eastman Chemical | 72,600 | 2,876 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 138,400 | 5,480 | ||||||
Huntsman | 72,600 | 794 | ||||||
International Paper | 64,600 | 1,835 | ||||||
Monsanto | 71,570 | 5,257 | ||||||
Newmont Mining | 6,400 | 441 | ||||||
Nucor | 8,100 | 319 | ||||||
Owens-Illinois * | 16,800 | 328 | ||||||
PPG Industries | 5,500 | 483 | ||||||
Rock-Tenn, Cl A | 12,550 | 731 | ||||||
Sealed Air | 46,200 | 814 | ||||||
Steel Dynamics | 102,100 | 1,346 | ||||||
Syngenta ADR | 98,191 | 5,785 | ||||||
Westlake Chemical (A) | 5,400 | 227 | ||||||
|
| |||||||
37,155 | ||||||||
|
| |||||||
Telecommunication Services — 3.3% |
| |||||||
American Tower, Cl A * | 136,185 | 8,035 | ||||||
AT&T (A) | 546,400 | 15,835 | ||||||
Crown Castle International * | 199,400 | 8,439 | ||||||
Groupon * (A) | 58,390 | 1,022 | ||||||
Telephone & Data Systems | 7,500 | 202 | ||||||
Verizon Communications (A) | 463,562 | 17,490 | ||||||
|
| |||||||
51,023 | ||||||||
|
| |||||||
Utilities — 2.2% | ||||||||
AES * | 70,400 | 850 | ||||||
Alliant Energy | 34,200 | 1,444 | ||||||
Ameren | 127,000 | 4,294 | ||||||
American Electric Power | 132,100 | 5,242 | ||||||
Atmos Energy | 11,200 | 383 | ||||||
Consolidated Edison | 12,700 | 755 | ||||||
Constellation Energy Group | 35,400 | 1,422 | ||||||
DTE Energy | 20,700 | 1,090 | ||||||
Edison International | 61,300 | 2,410 | ||||||
Entergy | 80,400 | 5,657 | ||||||
Exelon | 33,000 | 1,462 | ||||||
FirstEnergy | 1,200 | 53 |
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
PG&E | 27,100 | $ | 1,052 | |||||
Portland General Electric | 36,600 | 917 | ||||||
Public Service Enterprise Group | 110,000 | 3,623 | ||||||
Sempra Energy | 65,000 | 3,457 | ||||||
|
| |||||||
34,111 | ||||||||
|
| |||||||
Total Common Stock |
| 1,469,123 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 6.9% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.140% † ** (B) | 106,910,118 | 106,093 | ||||||
|
| |||||||
Total Affiliated Partnership |
| 106,093 | ||||||
|
| |||||||
CASH EQUIVALENTS — 3.9% |
| |||||||
Investors Cash Trust - Treasury Portfolio - DWS US Treasury Money Fund | ||||||||
0.010% ** | 1,474,976 | 1,475 | ||||||
SEI Daily Income Trust, Prime Obligation Fund, | ||||||||
0.030% † ** | 57,971,755 | 57,972 | ||||||
|
| |||||||
Total Cash Equivalents |
| 59,447 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.4% |
| |||||||
U.S. Treasury Bills | ||||||||
0.070%, 06/28/12 | $ | 656 | 656 | |||||
0.062%, 12/15/11 | 5,083 | 5,083 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 5,739 | ||||||
|
| |||||||
Total Investments — 106.5% |
| $ | 1,640,402 | |||||
|
|
The open futures contracts held by the Fund at November 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index EMINI | 680 | Dec-2011 | $ | 357 | ||||||||
S&P Mid 400 Index | 66 | Dec-2011 | 79 | |||||||||
|
| |||||||||||
$ | 436 | |||||||||||
|
|
For the period ended November 30, 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.
Percentages are based on a Net Assets of $1,540,960 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 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 November 30, 2011. The total value of securities on loan at November 30, 2011 was $109,066 ($ Thousands). |
4 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund
November 30, 2011
(B) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2011 was $106,093 ($ Thousands). |
(C) | The rate reported is the effective yield at time of purchase. |
(D) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
REIT — Real Estate Investment Trust
S&P — Standard & Poors
The following is a summary of the inputs used as of November 30, 2011, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | 1,469,123 | — | — | 1,469,123 | ||||||||||||
Affiliated Partnership | — | 106,093 | — | 106,093 | ||||||||||||
Cash Equivalents | 57,972 | 1,475 | — | 59,447 | ||||||||||||
U.S. Treasury Obligations | — | 5,739 | — | 5,739 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,527,095 | $ | 113,307 | $ | — | $ | 1,640,402 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 436 | $ | — | $ | — | $ | 436 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 436 | $ | — | $ | — | $ | 436 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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 Note to Financial Statements.
Amounts designated as “—” are $O or have been rounded to $O.
The accompanying notes are an integral part of the financial statements.
5 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.2% | ||||||||
Consumer Discretionary — 14.7% |
| |||||||
Aaron’s | 5,400 | $ | 142 | |||||
Abercrombie & Fitch, Cl A | 4,900 | 235 | ||||||
Apollo Group, Cl A * | 55,600 | 2,695 | ||||||
AutoNation * | 1,900 | 69 | ||||||
AutoZone * | 2,800 | 920 | ||||||
Bed Bath & Beyond * | 48,246 | 2,919 | ||||||
CBS, Cl B | 55,400 | 1,443 | ||||||
Charter Communications, Cl A * | 4,300 | 227 | ||||||
Chico’s FAS | 11,300 | 118 | ||||||
Chipotle Mexican Grill, Cl A * | 1,100 | 354 | ||||||
Coach | 52,083 | 3,260 | ||||||
Comcast, Cl A | 17,000 | 386 | ||||||
Ctrip.com International ADR * | 29,100 | 792 | ||||||
Darden Restaurants | 2,600 | 124 | ||||||
DeVry | 1,700 | 59 | ||||||
Dillard’s, Cl A | 1,100 | 52 | ||||||
DIRECTV, Cl A * | 29,000 | 1,369 | ||||||
Discovery Communications, Cl A * | 6,500 | 273 | ||||||
DISH Network, Cl A | 7,800 | 192 | ||||||
Dollar Tree * | 4,950 | 403 | ||||||
Family Dollar Stores | 2,900 | 172 | ||||||
Fossil * | 3,900 | 349 | ||||||
GameStop, Cl A * | 9,100 | 210 | ||||||
Gap | 6,700 | 125 | ||||||
General Motors * | 4,900 | 104 | ||||||
Goodyear Tire & Rubber * | 60,000 | 840 | ||||||
H&R Block | 22,500 | 354 | ||||||
Home Depot | 35,300 | 1,385 | ||||||
ITT Educational Services * | 4,000 | 220 | ||||||
John Wiley & Sons, Cl A | 3,500 | 168 | ||||||
Johnson Controls | 78,187 | 2,461 | ||||||
Liberty Global, Cl A * | 4,400 | 173 | ||||||
Liberty Media - Liberty Capital, Cl A | 1,800 | 137 | ||||||
Limited Brands | 2,700 | 114 | ||||||
LKQ * | 800 | 24 | ||||||
Lowe’s | 162,772 | 3,908 | ||||||
Madison Square Garden, Cl A * | 100 | 3 | ||||||
McDonald’s | 6,700 | 640 | ||||||
McGraw-Hill | 25,850 | 1,104 | ||||||
NetFlix * | 2,900 | 187 | ||||||
NIKE, Cl B | 40,055 | 3,853 | ||||||
Nordstrom | 45,018 | 2,039 | ||||||
NVR * | 100 | 67 | ||||||
O’Reilly Automotive * | 500 | 39 | ||||||
Panera Bread, Cl A * | 100 | 14 | ||||||
Penn National Gaming * | 600 | 22 | ||||||
PetSmart | 6,400 | 309 | ||||||
Polaris Industries | 900 | 54 | ||||||
priceline.com * | 3,950 | 1,919 | ||||||
Ralph Lauren, Cl A | 200 | 28 | ||||||
Ross Stores | 1,900 | 169 | ||||||
Staples | 134,300 | 1,935 | ||||||
Target | 42,161 | 2,222 | ||||||
Tempur-Pedic International * | 5,400 | 295 | ||||||
Tiffany | 600 | 40 | ||||||
Time Warner | 13,100 | 456 | ||||||
Time Warner Cable, Cl A | 10,500 | 635 | ||||||
TJX | 5,500 | 339 | ||||||
Tractor Supply | 4,600 | 332 |
Description | Shares | Market Value ($ Thousands) | ||||||
Tupperware Brands | 2,300 | $ | 134 | |||||
Ulta Salon Cosmetics & Fragrance * | 2,600 | 181 | ||||||
VF | 1,800 | 250 | ||||||
Viacom, Cl B | 23,300 | 1,043 | ||||||
Washington Post, Cl B | 100 | 36 | ||||||
Weight Watchers International | 2,300 | 135 | ||||||
Wyndham Worldwide | 21,300 | 755 | ||||||
Wynn Resorts | 1,400 | 169 | ||||||
|
| |||||||
46,180 | ||||||||
|
| |||||||
Consumer Staples — 10.1% | ||||||||
Altria Group | 52,200 | 1,498 | ||||||
Brown-Forman, Cl B | 300 | 24 | ||||||
Campbell Soup | 32,100 | 1,046 | ||||||
Church & Dwight | 10,600 | 469 | ||||||
Clorox | 5,600 | 364 | ||||||
Coca-Cola | 18,700 | 1,257 | ||||||
Colgate-Palmolive | 16,400 | 1,501 | ||||||
ConAgra Foods | 18,800 | 475 | ||||||
Corn Products International | 900 | 47 | ||||||
Costco Wholesale | 37,991 | 3,241 | ||||||
CVS Caremark | 19,800 | 769 | ||||||
Dean Foods * | 6,000 | 61 | ||||||
Estee Lauder, Cl A | 4,100 | 484 | ||||||
Flowers Foods | 8,400 | 166 | ||||||
General Mills | 200 | 8 | ||||||
Green Mountain Coffee Roasters * | 6,100 | 320 | ||||||
Hansen Natural * | 9,300 | 857 | ||||||
Herbalife | 17,100 | 945 | ||||||
Hershey | 3,200 | 185 | ||||||
HJ Heinz | 1,400 | 74 | ||||||
Hormel Foods | 9,900 | 298 | ||||||
JM Smucker | 6,100 | 463 | ||||||
Kellogg | 6,000 | 295 | ||||||
Kraft Foods, Cl A | 17,300 | 625 | ||||||
Kroger | 45,300 | 1,050 | ||||||
Lorillard | 11,700 | 1,306 | ||||||
McCormick | 3,400 | 166 | ||||||
Philip Morris International | 37,700 | 2,874 | ||||||
Procter & Gamble | 11,000 | 710 | ||||||
Ralcorp Holdings * | 3,400 | 277 | ||||||
Reynolds American | 8,100 | 339 | ||||||
Safeway | 20,900 | 418 | ||||||
Sara Lee | 33,200 | 629 | ||||||
SUPERVALU | 3,100 | 23 | ||||||
Sysco | 1,300 | 37 | ||||||
Tyson Foods, Cl A | 3,700 | 75 | ||||||
Unilever | 16,400 | 559 | ||||||
Walgreen | 111,000 | 3,743 | ||||||
Wal-Mart Stores | 29,700 | 1,749 | ||||||
Whole Foods Market | 31,499 | 2,145 | ||||||
|
| |||||||
31,572 | ||||||||
|
| |||||||
Energy — 10.0% | ||||||||
Anadarko Petroleum | 600 | 49 | ||||||
Apache | 8,600 | 855 | ||||||
Baker Hughes | 18,100 | 989 | ||||||
Cabot Oil & Gas | 7,800 | 691 | ||||||
CARBO Ceramics | 1,000 | 142 | ||||||
Chevron | 28,800 | 2,961 | ||||||
ConocoPhillips | 19,621 | 1,399 | ||||||
Core Laboratories | 200 | 23 | ||||||
Devon Energy | 800 | 52 |
1 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
El Paso | 55,600 | $ | 1,391 | |||||
Energen | 2,600 | 132 | ||||||
EOG Resources | 26,650 | 2,765 | ||||||
EQT | 8,300 | 515 | ||||||
Exxon Mobil | 99,700 | 8,020 | ||||||
Halliburton | 7,700 | 284 | ||||||
Helmerich & Payne | 2,300 | 131 | ||||||
Hess | 4,700 | 283 | ||||||
HollyFrontier | 18,700 | 435 | ||||||
Kinder Morgan | 1,400 | 41 | ||||||
Marathon Oil | 34,700 | 970 | ||||||
Marathon Petroleum | 32,750 | 1,094 | ||||||
Murphy Oil | 25,500 | 1,426 | ||||||
National Oilwell Varco | 15,900 | 1,140 | ||||||
Oil States International * | 800 | 60 | ||||||
Patterson-UTI Energy | 10,400 | 219 | ||||||
QEP Resources | 4,200 | 137 | ||||||
Range Resources | 4,100 | 294 | ||||||
SandRidge Energy * | 26,600 | 195 | ||||||
Schlumberger | 14,700 | 1,107 | ||||||
SM Energy | 1,400 | 111 | ||||||
Southern Union | 3,400 | 140 | ||||||
Spectra Energy | 400 | 12 | ||||||
Tesoro * | 34,100 | 815 | ||||||
Unit * | 500 | 25 | ||||||
Valero Energy | 54,600 | 1,216 | ||||||
Weatherford International * | 36,300 | 550 | ||||||
Williams | 16,600 | 536 | ||||||
|
| |||||||
31,205 | ||||||||
|
| |||||||
Financials — 7.7% | ||||||||
ACE | 11,400 | 793 | ||||||
Aflac | 24,950 | 1,084 | ||||||
Alleghany * | 300 | 86 | ||||||
American Capital Agency ‡ | 3,400 | 98 | ||||||
American Express | 21,300 | 1,023 | ||||||
American Financial Group | 10,000 | 360 | ||||||
Annaly Capital Management ‡ | 3,700 | 59 | ||||||
Aon | 25,700 | 1,181 | ||||||
Arch Capital Group * | 5,800 | 219 | ||||||
Brown & Brown | 2,600 | 54 | ||||||
Camden Property Trust ‡ | 3,300 | 190 | ||||||
Capital One Financial | 14,800 | 661 | ||||||
Capitol Federal Financial | 10,600 | 120 | ||||||
CBOE Holdings | 2,700 | 73 | ||||||
CBRE Group, Cl A * | 56,400 | 948 | ||||||
Charles Schwab | 1,200 | 14 | ||||||
Chubb | 7,200 | 486 | ||||||
Citigroup | 15,700 | 431 | ||||||
CME Group, Cl A | 6,200 | 1,546 | ||||||
Commerce Bancshares | 5,670 | 211 | ||||||
Digital Realty Trust ‡ | 1,300 | 83 | ||||||
Discover Financial Services | 51,700 | 1,232 | ||||||
East West Bancorp | 1,000 | 20 | ||||||
Equity Residential ‡ | 2,000 | 110 | ||||||
Essex Property Trust ‡ | 200 | 27 | ||||||
Fidelity National Financial, Cl A | 68,300 | 1,084 | ||||||
Fifth Third Bancorp | 36,200 | 438 | ||||||
First Niagara Financial Group | 15,300 | 134 | ||||||
Forest City Enterprises, Cl A * | 2,900 | 35 | ||||||
Fulton Financial | 5,400 | 50 | ||||||
HCC Insurance Holdings | 7,900 | 212 | ||||||
Huntington Bancshares | 41,000 | 215 |
Description | Shares | Market Value ($ Thousands) | ||||||
IntercontinentalExchange * | 15,000 | $ | 1,826 | |||||
JPMorgan Chase | 38,300 | 1,186 | ||||||
Kemper | 2,400 | 66 | ||||||
Keycorp | 72,100 | 526 | ||||||
Lazard, Cl A | 33,944 | 877 | ||||||
Leucadia National | 10,600 | 248 | ||||||
Markel * | 200 | 80 | ||||||
Marsh & McLennan | 23,300 | 703 | ||||||
Moody’s | 12,500 | 434 | ||||||
People’s United Financial | 13,000 | 162 | ||||||
Plum Creek Timber ‡ | 700 | 26 | ||||||
PNC Financial Services Group | 13,800 | 748 | ||||||
ProAssurance | 5,200 | 414 | ||||||
ProLogis ‡ | 1,000 | 28 | ||||||
Rayonier ‡ | 1,500 | 61 | ||||||
Regions Financial | 65,000 | 267 | ||||||
Reinsurance Group of America, Cl A | 3,000 | 155 | ||||||
RenaissanceRe Holdings | 300 | 22 | ||||||
Travelers | 1,300 | 73 | ||||||
US Bancorp | 11,400 | 295 | ||||||
Validus Holdings | 2,300 | 69 | ||||||
Wells Fargo | 46,000 | 1,190 | ||||||
Weyerhaeuser ‡ | 73,000 | 1,226 | ||||||
White Mountains Insurance Group | 100 | 43 | ||||||
WR Berkley | 7,300 | 249 | ||||||
|
| |||||||
24,251 | ||||||||
|
| |||||||
Health Care — 14.8% | ||||||||
Abbott Laboratories | 1,700 | 93 | ||||||
Aetna | 29,400 | 1,229 | ||||||
Agilent Technologies * | 7,700 | 289 | ||||||
Alere * | 300 | 7 | ||||||
Alexion Pharmaceuticals * | 7,600 | 522 | ||||||
Allergan | 29,100 | 2,436 | ||||||
AMERIGROUP * | 2,900 | 166 | ||||||
AmerisourceBergen | 35,800 | 1,330 | ||||||
Amgen | 37,579 | 2,176 | ||||||
Baxter International | 27,900 | 1,441 | ||||||
Becton Dickinson | 3,200 | 236 | ||||||
Biogen Idec * | 9,600 | 1,104 | ||||||
Bio-Rad Laboratories, Cl A * | 900 | 85 | ||||||
Bristol-Myers Squibb | 6,700 | 219 | ||||||
C.R. Bard | 6,300 | 549 | ||||||
Cardinal Health | 41,300 | 1,754 | ||||||
CareFusion * | 16,000 | 396 | ||||||
Catalyst Health Solutions * | 1,300 | 68 | ||||||
Celgene * | 38,092 | 2,403 | ||||||
Cerner * | 8,100 | 494 | ||||||
CIGNA | 18,200 | 805 | ||||||
Cooper | 3,900 | 239 | ||||||
Covance * | 800 | 37 | ||||||
Coventry Health Care * | 3,500 | 112 | ||||||
Covidien | 32,400 | 1,476 | ||||||
DaVita * | 2,300 | 175 | ||||||
Dentsply International | 2,000 | 72 | ||||||
Edwards Lifesciences * | 500 | 33 | ||||||
Eli Lilly | 10,600 | 401 | ||||||
Forest Laboratories * | 25,600 | 767 | ||||||
Gen-Probe * | 4,000 | 252 | ||||||
Gilead Sciences * | 33,100 | 1,319 | ||||||
HCA Holdings * | 1,000 | 24 |
2 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Health Net * | 18,100 | $ | 564 | |||||
Henry Schein * | 900 | 58 | ||||||
Hologic * | 9,400 | 166 | ||||||
Humana | 12,300 | 1,091 | ||||||
Idexx Laboratories * | 600 | 45 | ||||||
Illumina * | 800 | 22 | ||||||
Intuitive Surgical * | 200 | 87 | ||||||
Johnson & Johnson | 14,300 | 926 | ||||||
Laboratory Corp of America Holdings * | 5,400 | 463 | ||||||
Lincare Holdings | 5,700 | 135 | ||||||
McKesson | 12,100 | 984 | ||||||
Mednax * | 400 | 27 | ||||||
Medtronic | 10,400 | 379 | ||||||
Merck | 14,400 | 515 | ||||||
Mylan Laboratories * | 17,000 | 332 | ||||||
Myriad Genetics * | 29,900 | 635 | ||||||
Novo Nordisk ADR | 13,300 | 1,510 | ||||||
Omnicare | 7,500 | 244 | ||||||
Perrigo | 14,100 | 1,380 | ||||||
Pfizer | 214,900 | 4,313 | ||||||
Pharmasset * | 3,600 | 472 | ||||||
Quest Diagnostics | 9,700 | 569 | ||||||
Regeneron Pharmaceuticals * | 4,600 | 273 | ||||||
St. Jude Medical | 37,000 | 1,422 | ||||||
Stryker | 12,300 | 601 | ||||||
SXC Health Solutions * | 3,300 | 194 | ||||||
Techne | 2,900 | 195 | ||||||
Teleflex | 15,500 | 944 | ||||||
Thermo Fisher Scientific * | 3,000 | 142 | ||||||
Thoratec * | 1,400 | 43 | ||||||
UnitedHealth Group | 33,700 | 1,643 | ||||||
Vertex Pharmaceuticals * | 18,700 | 542 | ||||||
Watson Pharmaceuticals * | 6,900 | 446 | ||||||
WellPoint | 27,700 | 1,954 | ||||||
Zimmer Holdings * | 5,700 | 288 | ||||||
|
| |||||||
46,313 | ||||||||
|
| |||||||
Industrials — 7.2% | ||||||||
Boeing | 8,100 | 556 | ||||||
C.H. Robinson Worldwide | 100 | 7 | ||||||
Carlisle | 2,000 | 89 | ||||||
Caterpillar | 21,300 | 2,085 | ||||||
Chicago Bridge & Iron | 400 | 17 | ||||||
Cooper Industries, Cl A | 500 | 28 | ||||||
Copa Holdings, Cl A | 300 | 19 | ||||||
Copart * | 3,600 | 162 | ||||||
CSX | 17,100 | 371 | ||||||
Cummins | 2,600 | 251 | ||||||
Danaher | 12,100 | 585 | ||||||
Deere | 200 | 16 | ||||||
Delta Air Lines * | 31,500 | 256 | ||||||
Dun & Bradstreet | 200 | 14 | ||||||
Emerson Electric | 16,600 | 867 | ||||||
Equifax | 800 | 30 | ||||||
Exelis | 23,700 | 212 | ||||||
Expeditors International of Washington | 27,900 | 1,214 | ||||||
Fastenal | 6,000 | 250 | ||||||
Fluor | 7,200 | 395 | ||||||
Fortune Brands Home & | 100 | 2 | ||||||
Gardner Denver | 7,100 | 609 |
Description | Shares | Market Value ($ Thousands) | ||||||
General Dynamics | 4,100 | $ | 271 | |||||
General Electric | 148,300 | 2,360 | ||||||
Graco | 1,000 | 43 | ||||||
Harsco | 3,000 | 62 | ||||||
Hertz Global Holdings * | 1,000 | 11 | ||||||
Honeywell International | 3,400 | 184 | ||||||
Hubbell, Cl B | 800 | 52 | ||||||
IHS, Cl A * | 400 | 35 | ||||||
Illinois Tool Works | 15,400 | 700 | ||||||
Ingersoll-Rand | 33,085 | 1,096 | ||||||
Iron Mountain | 14,400 | 437 | ||||||
ITT | 11,850 | 239 | ||||||
KBR | 18,100 | 523 | ||||||
Kirby * | 300 | 19 | ||||||
L-3 Communications Holdings, Cl 3 | 7,500 | 497 | ||||||
Landstar System | 3,000 | 139 | ||||||
Lockheed Martin | 20,600 | 1,610 | ||||||
Norfolk Southern | 3,600 | 272 | ||||||
Northrop Grumman | 31,600 | 1,803 | ||||||
Pentair | 500 | 19 | ||||||
Pitney Bowes | 1,000 | 19 | ||||||
Raytheon | 18,600 | 848 | ||||||
Rockwell Automation | 300 | 23 | ||||||
Ryder System | 8,200 | 429 | ||||||
Stericycle * | 5,500 | 445 | ||||||
Timken | 5,200 | 218 | ||||||
TransDigm Group * | 3,600 | 347 | ||||||
Trinity Industries | 600 | 17 | ||||||
Tyco International | 11,038 | 529 | ||||||
Union Pacific | 4,600 | 476 | ||||||
URS * | 3,000 | 108 | ||||||
Waste Connections | 1,300 | 42 | ||||||
Xylem | 23,700 | 566 | ||||||
|
| |||||||
22,474 | ||||||||
|
| |||||||
Information Technology — 21.9% |
| |||||||
Accenture, Cl A | 16,200 | 938 | ||||||
Activision Blizzard | 56,800 | 705 | ||||||
Adobe Systems * | 165,443 | 4,536 | ||||||
Alliance Data Systems * | 3,000 | 307 | ||||||
Altera | 9,300 | 350 | ||||||
Amdocs * | 15,600 | 441 | ||||||
Apple * | 16,400 | 6,268 | ||||||
Arrow Electronics * | 4,800 | 175 | ||||||
Atmel * | 2,700 | 24 | ||||||
Autodesk * | 73,347 | 2,499 | ||||||
Automatic Data Processing | 49,900 | 2,549 | ||||||
Avago Technologies | 7,400 | 221 | ||||||
Avnet * | 8,900 | 265 | ||||||
Blue Coat Systems * | 15,542 | 280 | ||||||
Broadridge Financial Solutions | 1,200 | 27 | ||||||
CA | 19,000 | 403 | ||||||
Cisco Systems | 96,200 | 1,793 | ||||||
Cypress Semiconductor | 1,000 | 19 | ||||||
eBay * | 5,200 | 154 | ||||||
Electronic Arts * | 14,700 | 341 | ||||||
EMC * | 98,083 | 2,257 | ||||||
Fairchild Semiconductor International, Cl A * | 200 | 3 | ||||||
Fidelity National Information Services | 900 | 22 | ||||||
FLIR Systems | 8,300 | 223 |
3 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Fortinet * | 2,200 | $ | 53 | |||||
Gartner * | 200 | 8 | ||||||
Genpact * | 1,600 | 25 | ||||||
Global Payments | 3,200 | 142 | ||||||
Google, Cl A * | 5,825 | 3,491 | ||||||
Hitachi ADR | 17,194 | 960 | ||||||
IAC | 2,600 | 109 | ||||||
Informatica * | 5,600 | 252 | ||||||
Intel | 181,361 | 4,518 | ||||||
International Business Machines | 20,500 | 3,854 | ||||||
Intuit | 38,000 | 2,023 | ||||||
IPG Photonics * | 2,000 | 77 | ||||||
LSI * | 207,500 | 1,166 | ||||||
Mastercard, Cl A | 11,100 | 4,158 | ||||||
Maxim Integrated Products | 1,200 | 31 | ||||||
Microsoft | 115,400 | 2,952 | ||||||
Motorola Solutions | 1,400 | 66 | ||||||
National Instruments | 800 | 21 | ||||||
Nuance Communications * | 2,500 | 61 | ||||||
Oracle | 72,232 | 2,265 | ||||||
Paychex | 18,800 | 547 | ||||||
Polycom * | 55,100 | 931 | ||||||
Qualcomm | 107,323 | 5,881 | ||||||
Rackspace Hosting * | 2,100 | 91 | ||||||
Research In Motion * | 8,400 | 150 | ||||||
SAIC * | 20,700 | 249 | ||||||
Symantec * | 47,400 | 775 | ||||||
Tech Data * | 5,600 | 276 | ||||||
Teradata * | 31,300 | 1,697 | ||||||
Texas Instruments | 6,900 | 208 | ||||||
Total System Services | 52,700 | 1,056 | ||||||
VeriSign | 62,300 | 2,092 | ||||||
Visa, Cl A | 34,100 | 3,307 | ||||||
Western Union | 11,400 | 199 | ||||||
Xilinx | 2,800 | 91 | ||||||
|
| |||||||
68,582 | ||||||||
|
| |||||||
Materials — 4.1% | ||||||||
Agrium | 6,800 | 476 | ||||||
Allied Nevada Gold * | 200 | 7 | ||||||
Ball | 3,300 | 116 | ||||||
BHP Billiton ADR | 7,252 | 545 | ||||||
Cabot | 6,000 | 199 | ||||||
Carpenter Technology | 2,300 | 124 | ||||||
Celanese, Cl A | 1,500 | 70 | ||||||
CF Industries Holdings | 100 | 14 | ||||||
Crown Holdings * | 8,800 | 284 | ||||||
Domtar | 3,100 | 244 | ||||||
Dow Chemical | 6,500 | 180 | ||||||
E.I. Du Pont de Nemours | 30,200 | 1,441 | ||||||
Eastman Chemical | 12,600 | 499 | ||||||
Ferro * | 65,800 | 382 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 23,100 | 915 | ||||||
Huntsman | 27,000 | 295 | ||||||
International Flavors & Fragrances | 400 | 22 | ||||||
LyondellBasell Industries, | 15,600 | 510 | ||||||
Molycorp * | 4,100 | 139 | ||||||
Monsanto | 1,500 | 110 | ||||||
Newmont Mining | 28,700 | 1,977 | ||||||
Owens-Illinois * | 40,100 | 783 | ||||||
PPG Industries | 1,500 | 132 |
Description | Shares | Market Value ($ Thousands) | ||||||
Praxair | 200 | $ | 20 | |||||
Royal Gold | 2,900 | 236 | ||||||
Sealed Air | 28,618 | 504 | ||||||
Silgan Holdings | 1,500 | 59 | ||||||
Syngenta ADR | 23,000 | 1,355 | ||||||
Vulcan Materials | 19,400 | 629 | ||||||
WR Grace * | 17,100 | 713 | ||||||
|
| |||||||
12,980 | ||||||||
|
| |||||||
Telecommunication Services — 3.3% |
| |||||||
American Tower, Cl A * | 38,566 | 2,275 | ||||||
AT&T | 24,245 | 703 | ||||||
CenturyLink | 5,370 | 201 | ||||||
Crown Castle International * | 47,200 | 1,998 | ||||||
Level 3 Communications * | 2,700 | 56 | ||||||
MetroPCS Communications * | 40,500 | 339 | ||||||
Sprint Nextel * | 34,900 | 94 | ||||||
tw telecom, Cl A * | 1,700 | 32 | ||||||
Verizon Communications | 123,536 | 4,661 | ||||||
|
| |||||||
10,359 | ||||||||
|
| |||||||
Utilities — 2.4% | ||||||||
AGL Resources | 2,200 | 91 | ||||||
American Water Works | 12,500 | 388 | ||||||
Aqua America | 600 | 13 | ||||||
Centerpoint Energy | 6,500 | 130 | ||||||
CMS Energy | 400 | 9 | ||||||
Consolidated Edison | 6,600 | 392 | ||||||
Constellation Energy Group | 11,100 | 446 | ||||||
Dominion Resources | 6,900 | 356 | ||||||
DTE Energy | 1,200 | 63 | ||||||
Edison International | 18,100 | 712 | ||||||
Entergy | 7,900 | 556 | ||||||
FirstEnergy | 3,069 | 136 | ||||||
ITC Holdings | 2,300 | 170 | ||||||
MDU Resources Group | 700 | 15 | ||||||
National Fuel Gas | 300 | 17 | ||||||
NextEra Energy | 18,500 | 1,026 | ||||||
Northeast Utilities | 7,100 | 246 | ||||||
NRG Energy * | 7,800 | 153 | ||||||
NSTAR | 6,600 | 300 | ||||||
NV Energy | 28,100 | 431 | ||||||
OGE Energy | 100 | 5 | ||||||
ONEOK | 7,500 | 624 | ||||||
PPL | 4,200 | 126 | ||||||
Progress Energy | 200 | 11 | ||||||
Public Service Enterprise Group | 18,000 | 593 | ||||||
Sempra Energy | 5,300 | 282 | ||||||
Southern | 2,400 | 105 | ||||||
Xcel Energy | 3,200 | 84 | ||||||
|
| |||||||
7,480 | ||||||||
|
| |||||||
Total Common Stock |
| 301,396 | ||||||
|
| |||||||
EXCHANGE TRADED FUND — 0.5% |
| |||||||
SPDR Gold Trust | 10,100 | 1,718 | ||||||
|
| |||||||
Total Exchange Traded Fund |
| 1,718 | ||||||
|
|
4 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund
November 30, 2011
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CASH EQUIVALENT — 2.8% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 8,768,049 | 8,768 | ||||||
|
| |||||||
Total Cash Equivalent |
| $ | 8,768 | |||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (A) (B) — 0.4% |
| |||||||
U.S. Treasury Bills | ||||||||
0.065%, 12/15/11 | $ | 958 | 958 | |||||
|
| |||||||
0.065%, 12/22/11 | 256 | 256 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 1,214 | ||||||
|
| |||||||
Total Investments — 99.9% |
| $ | 313,096 | |||||
|
|
The open futures contracts held by the Fund at November 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index EMINI | 80 | Dec-2011 | $ | 87 | ||||||||
|
| |||||||||||
$ | 87 | |||||||||||
|
|
For the period ended November 30, 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.
Percentages are based on a Net Assets of $313,331 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 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 portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
S&P — Standard & Poors
SPDR — Standard & Poors Depositary Receipt
The following is a summary of the inputs used as of November 30, 2011, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | 301,396 | — | — | 301,396 | ||||||||||||
Exchange Traded Fund | 1,718 | — | — | 1,718 | ||||||||||||
Cash Equivalent | 8,768 | — | — | 8,768 | ||||||||||||
U.S. Treasury Obligations | — | 1,214 | — | 1,214 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 311,882 | $ | 1,214 | $ | — | $ | 313,096 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 87 | $ | — | $ | — | $ | 87 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 87 | $ | — | $ | — | $ | 87 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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 Note to Financial Statements.
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
5 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 85.2% | ||||||||
Consumer Discretionary — 8.2% | ||||||||
Abercrombie & Fitch, Cl A | 36,900 | $ | 1,768 | |||||
Amazon.com * | 148,950 | 28,642 | ||||||
American Eagle Outfitters | 118,740 | 1,652 | ||||||
ANN * (A) | 92,900 | 2,179 | ||||||
Apollo Group, Cl A * | 19,900 | 965 | ||||||
Ascena Retail Group * | 30,600 | 842 | ||||||
AutoNation * (A) | 20,600 | 744 | ||||||
AutoZone * | 41,682 | 13,688 | ||||||
Bally Technologies * (A) | 73,210 | 2,807 | ||||||
Bed Bath & Beyond * | 4,400 | 266 | ||||||
Big Lots * | 3,100 | 124 | ||||||
Biglari Holdings * | 800 | 275 | ||||||
Blyth | 4,200 | 277 | ||||||
Bob Evans Farms | 6,800 | 228 | ||||||
Brown Shoe (A) | 144,390 | 1,211 | ||||||
Cablevision Systems, Cl A | 142,700 | 2,140 | ||||||
Career Education * | 8,700 | 62 | ||||||
Carnival | 20,500 | 680 | ||||||
CBS, Cl B | 204,500 | 5,325 | ||||||
Chipotle Mexican Grill, Cl A * (A) | 4,300 | 1,383 | ||||||
Coach | 156,800 | 9,814 | ||||||
Comcast, Cl A | 1,564,175 | 35,126 | ||||||
Cracker Barrel Old Country | 6,100 | 290 | ||||||
Darden Restaurants (A) | 31,600 | 1,508 | ||||||
DeVry | 56,600 | 1,953 | ||||||
Dillard’s, Cl A (A) | 176,324 | 8,287 | ||||||
DIRECTV, Cl A * (A) | 689,897 | 32,577 | ||||||
DISH Network, Cl A | 59,400 | 1,459 | ||||||
Dollar Tree * | 13,200 | 1,076 | ||||||
DR Horton | 21,100 | 251 | ||||||
Expedia (A) | 298,660 | 8,307 | ||||||
Family Dollar Stores | 62,619 | 3,721 | ||||||
Finish Line, Cl A | 17,300 | 365 | ||||||
Ford Motor * (A) | 479,900 | 5,087 | ||||||
GameStop, Cl A * (A) | 51,400 | 1,188 | ||||||
Gannett (A) | 541,757 | 5,883 | ||||||
General Motors * (A) | 809,597 | 17,236 | ||||||
Genuine Parts | 105,300 | 6,160 | ||||||
Goodyear Tire & Rubber * | 118,200 | 1,654 | ||||||
Guess? | 7,400 | 208 | ||||||
H&R Block (A) | 315,700 | 4,966 | ||||||
Harley-Davidson | 7,700 | 283 | ||||||
Harman International Industries | 33,700 | 1,392 | ||||||
Hasbro | 55,600 | 1,991 | ||||||
Home Depot | 153,600 | 6,024 | ||||||
HSN | 13,600 | 487 | ||||||
Iconix Brand Group * (A) | 104,530 | 1,804 | ||||||
International Game Technology | 680,830 | 11,615 | ||||||
Interval Leisure Group * | 8,400 | 118 | ||||||
ITT Educational Services * (A) | 26,296 | 1,445 | ||||||
J.C. Penney (A) | 36,700 | 1,176 | ||||||
Jarden | 18,400 | 573 | ||||||
Johnson Controls | 29,736 | 936 | ||||||
Lear | 206,967 | 8,678 | ||||||
Limited Brands | 106,000 | 4,487 | ||||||
Lowe’s | 109,000 | 2,617 | ||||||
Macy’s | 530,016 | 17,135 | ||||||
Mattel | 101,100 | 2,913 | ||||||
Matthews International, Cl A | 56,620 | 1,878 |
Description | Shares | Market Value ($ Thousands) | ||||||
McDonald’s | 147,032 | $ | 14,044 | |||||
McGraw-Hill | 61,800 | 2,639 | ||||||
Modine Manufacturing * | 179,340 | 1,736 | ||||||
NetFlix * (A) | 30,500 | 1,968 | ||||||
Newell Rubbermaid | 379,025 | 5,799 | ||||||
News, Cl A | 525,100 | 9,158 | ||||||
NIKE, Cl B | 36,300 | 3,491 | ||||||
Nordstrom | 5,100 | 231 | ||||||
Omnicom Group (A) | 412,480 | 17,807 | ||||||
O’Reilly Automotive * (A) | 132,671 | 10,248 | ||||||
Oxford Industries | 4,000 | 152 | ||||||
Papa John’s International * | 4,700 | 178 | ||||||
PetSmart | 3,900 | 188 | ||||||
Polaris Industries | 27,700 | 1,665 | ||||||
priceline.com * (A) | 34,889 | 16,952 | ||||||
PulteGroup * (A) | 114,700 | 701 | ||||||
Ralph Lauren, Cl A | 6,700 | 951 | ||||||
Ross Stores | 301,175 | 26,832 | ||||||
Sears Holdings * | 8,800 | 531 | ||||||
Staples | 69,100 | 996 | ||||||
Starbucks | 28,119 | 1,223 | ||||||
Target | 398,009 | 20,975 | ||||||
Tenneco * | 46,750 | 1,354 | ||||||
Texas Roadhouse, Cl A (A) | 90,570 | 1,213 | ||||||
Tiffany | 15,200 | 1,019 | ||||||
Time Warner (A) | 411,941 | 14,344 | ||||||
Time Warner Cable, Cl A | 25,560 | 1,546 | ||||||
TJX | 426,775 | 26,332 | ||||||
True Religion Apparel * | 12,300 | 433 | ||||||
TRW Automotive Holdings * | 73,100 | 2,387 | ||||||
VF (A) | 9,000 | 1,248 | ||||||
Viacom, Cl B | 1,022,912 | 45,786 | ||||||
Walt Disney (A) | 796,000 | 28,537 | ||||||
Washington Post, Cl B (A) | 3,300 | 1,184 | ||||||
Whirlpool | 24,400 | 1,197 | ||||||
Williams-Sonoma | 53,800 | 2,032 | ||||||
WMS Industries * | 68,500 | 1,436 | ||||||
Wyndham Worldwide | 50,000 | 1,772 | ||||||
Wynn Resorts (A) | 57,837 | 6,973 | ||||||
Yum! Brands | 77,700 | 4,354 | ||||||
|
| |||||||
559,538 | ||||||||
|
| |||||||
Consumer Staples — 9.5% | ||||||||
Altria Group | 616,674 | 17,692 | ||||||
Archer-Daniels-Midland | 521,623 | 15,711 | ||||||
Avon Products | 504,400 | 8,575 | ||||||
Beam | 4,400 | 231 | ||||||
Brown-Forman, Cl B | 19,300 | 1,540 | ||||||
Bunge (A) | 115,155 | 7,197 | ||||||
Central Garden and Pet, Cl A * | 283,960 | 2,521 | ||||||
Clorox | 4,000 | 260 | ||||||
Coca-Cola | 608,552 | 40,913 | ||||||
Coca-Cola Enterprises | 662,225 | 17,297 | ||||||
Colgate-Palmolive | 21,000 | 1,921 | ||||||
ConAgra Foods | 450,195 | 11,372 | ||||||
Constellation Brands, Cl A * | 240,159 | 4,676 | ||||||
Corn Products International | 59,200 | 3,078 | ||||||
Costco Wholesale | 66,900 | 5,707 | ||||||
CVS Caremark (A) | 881,628 | 34,242 | ||||||
Dean Foods * (A) | 127,600 | 1,297 | ||||||
Dr. Pepper Snapple Group | 4,600 | 168 | ||||||
Energizer Holdings * | 207,680 | 15,011 | ||||||
Estee Lauder, Cl A (A) | 153,216 | 18,077 |
1 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
General Mills | 22,400 | $ | 895 | |||||
Hansen Natural * | 105,441 | 9,722 | ||||||
Herbalife | 88,396 | 4,888 | ||||||
Hershey | 13,500 | 779 | ||||||
HJ Heinz | 5,300 | 279 | ||||||
Hormel Foods (A) | 112,100 | 3,375 | ||||||
JM Smucker | 29,300 | 2,226 | ||||||
Kellogg | 47,300 | 2,325 | ||||||
Kimberly-Clark | 60,372 | 4,315 | ||||||
Kraft Foods, Cl A | 698,922 | 25,266 | ||||||
Kroger | 484,000 | 11,219 | ||||||
Lorillard (A) | 118,079 | 13,180 | ||||||
McCormick (A) | 41,300 | 2,011 | ||||||
Mead Johnson Nutrition, Cl A | 11,100 | 837 | ||||||
Molson Coors Brewing, Cl B | 246,495 | 10,005 | ||||||
PepsiCo | 568,258 | 36,369 | ||||||
Philip Morris International | 687,361 | 52,404 | ||||||
Procter & Gamble | 851,024 | 54,951 | ||||||
Ralcorp Holdings * | 201,500 | 16,386 | ||||||
Reynolds American | 56,700 | 2,374 | ||||||
Safeway (A) | 710,442 | 14,209 | ||||||
Sara Lee | 267,600 | 5,074 | ||||||
Smart Balance * | 32,400 | 172 | ||||||
Smithfield Foods * | 565,909 | 13,859 | ||||||
SUPERVALU | 59,700 | 439 | ||||||
Sysco (A) | 386,700 | 11,036 | ||||||
Tyson Foods, Cl A | 944,540 | 19,023 | ||||||
Walgreen | 375,609 | 12,666 | ||||||
Wal-Mart Stores | 1,787,314 | 105,273 | ||||||
Whole Foods Market | 10,900 | 742 | ||||||
|
| |||||||
643,785 | ||||||||
|
| |||||||
Energy — 11.4% | ||||||||
Anadarko Petroleum | 309,945 | 25,189 | ||||||
Apache | 132,900 | 13,216 | ||||||
Baker Hughes | 143,718 | 7,848 | ||||||
Cabot Oil & Gas | 38,400 | 3,402 | ||||||
Chesapeake Energy (A) | 318,287 | 8,065 | ||||||
Chevron | 1,587,625 | 163,240 | ||||||
Cimarex Energy (A) | 29,560 | 1,983 | ||||||
ConocoPhillips (A) | 1,252,459 | 89,325 | ||||||
Consol Energy | 317,878 | 13,236 | ||||||
CVR Energy * | 5,200 | 95 | ||||||
Devon Energy | 389,911 | 25,524 | ||||||
El Paso | 81,900 | 2,048 | ||||||
Energen (A) | 35,900 | 1,821 | ||||||
EQT | 29,200 | 1,811 | ||||||
Exxon Mobil | 1,841,844 | 148,158 | ||||||
FMC Technologies * (A) | 11,100 | 581 | ||||||
Gulfmark Offshore, Cl A * (A) | 39,900 | 1,789 | ||||||
Halliburton | 931,540 | 34,281 | ||||||
Helmerich & Payne (A) | 108,900 | 6,203 | ||||||
Hess | 396,347 | 23,868 | ||||||
HollyFrontier | 206,377 | 4,798 | ||||||
James River Coal * (A) | 239,005 | 1,981 | ||||||
Key Energy Services * (A) | 129,410 | 1,954 | ||||||
Marathon Oil | 847,372 | 23,693 | ||||||
Marathon Petroleum | 262,277 | 8,757 | ||||||
Murphy Oil | 88,500 | 4,949 | ||||||
Nabors Industries * | 72,500 | 1,301 | ||||||
National Oilwell Varco (A) | 349,848 | 25,084 | ||||||
Newfield Exploration * | 19,200 | 879 | ||||||
Noble (A) | 25,700 | 887 |
Description | Shares | Market Value ($ Thousands) | ||||||
Occidental Petroleum | 277,961 | $ | 27,490 | |||||
Peabody Energy | 5,563 | 218 | ||||||
Pioneer Natural Resources | 39,000 | 3,687 | ||||||
QEP Resources | 20,200 | 660 | ||||||
Range Resources (A) | 16,500 | 1,183 | ||||||
Rowan * (A) | 20,800 | 705 | ||||||
RPC (A) | 25,800 | 504 | ||||||
Schlumberger | 796,868 | 60,028 | ||||||
SEACOR Holdings | 10,900 | 946 | ||||||
Spectra Energy (A) | 15,100 | 444 | ||||||
Sunoco | 10,400 | 404 | ||||||
Tesoro * | 401,212 | 9,585 | ||||||
Unit * | 8,749 | 443 | ||||||
Valero Energy | 696,536 | 15,512 | ||||||
Williams | 87,600 | 2,828 | ||||||
|
| |||||||
770,603 | ||||||||
|
| |||||||
Financials — 10.9% | ||||||||
ACE | 421,734 | 29,323 | ||||||
Aflac | 117,200 | 5,091 | ||||||
Allstate | 231,954 | 6,214 | ||||||
American Express | 1,135,802 | 54,564 | ||||||
American Financial Group | 4,500 | 162 | ||||||
American International Group * | 266,736 | 6,218 | ||||||
Ameriprise Financial | 60,036 | 2,756 | ||||||
Annaly Capital Management ‡ (A) | 47,600 | 765 | ||||||
Aon | 136,500 | 6,275 | ||||||
Arch Capital Group * | 164,057 | 6,197 | ||||||
Assurant | 97,600 | 3,830 | ||||||
AvalonBay Communities ‡ (A) | 2,000 | 250 | ||||||
Bank of America | 3,044,206 | 16,561 | ||||||
Bank of New York Mellon | 591,738 | 11,515 | ||||||
BB&T (A) | 69,200 | 1,603 | ||||||
Berkshire Hathaway, Cl B * | 110,374 | 8,693 | ||||||
BlackRock, Cl A | 135,923 | 23,384 | ||||||
Boston Properties ‡ | 1,700 | 162 | ||||||
Capital One Financial (A) | 166,247 | 7,425 | ||||||
CBRE Group, Cl A * | 153,200 | 2,575 | ||||||
Charles Schwab | 104,100 | 1,245 | ||||||
Chubb | 4,400 | 297 | ||||||
Cincinnati Financial (A) | 4,500 | 134 | ||||||
Citigroup | 606,202 | 16,658 | ||||||
CME Group, Cl A | 38,899 | 9,697 | ||||||
CommonWealth ‡ | 40,100 | 671 | ||||||
Discover Financial Services | 439,440 | 10,467 | ||||||
Duke Realty ‡ | 118,700 | 1,377 | ||||||
East West Bancorp | 121,788 | 2,383 | ||||||
Equity Residential ‡ | 170,855 | 9,430 | ||||||
Essex Property Trust ‡ | 11,000 | 1,461 | ||||||
Everest Re Group | 95,602 | 8,387 | ||||||
Federated Investors, Cl B (A) | 11,800 | 188 | ||||||
Fifth Third Bancorp | 483,100 | 5,841 | ||||||
First Horizon National (A) | 100,500 | 774 | ||||||
Goldman Sachs Group | 319,826 | 30,659 | ||||||
Hartford Financial Services | 515,162 | 9,149 | ||||||
HCC Insurance Holdings | 7,200 | 194 | ||||||
Health Care REIT ‡ (A) | 8,800 | 442 | ||||||
Hospitality Properties Trust ‡ | 108,400 | 2,388 | ||||||
Huntington Bancshares | 566,000 | 2,971 | ||||||
Inland Real Estate ‡ (A) | 53,400 | 396 | ||||||
Invesco | 815,753 | 16,519 |
2 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Janus Capital Group (A) | 284,500 | $ | 1,878 | |||||
Jones Lang LaSalle | 15,500 | 999 | ||||||
JPMorgan Chase | 3,132,011 | 96,998 | ||||||
Keycorp | 297,500 | 2,169 | ||||||
Kilroy Realty ‡ (A) | 75,880 | 2,739 | ||||||
LaSalle Hotel Properties ‡ (A) | 110,460 | 2,586 | ||||||
Leucadia National | 176,300 | 4,129 | ||||||
M&T Bank | 3,000 | 219 | ||||||
Macerich ‡ | 56,530 | 2,832 | ||||||
Marsh & McLennan | 305,709 | 9,229 | ||||||
MetLife | 200,293 | 6,305 | ||||||
Moody’s (A) | 97,800 | 3,395 | ||||||
Morgan Stanley | 694,056 | 10,265 | ||||||
NASDAQ OMX Group * | 120,914 | 3,174 | ||||||
Nelnet, Cl A | 22,100 | 506 | ||||||
NYSE Euronext | 36,275 | 1,036 | ||||||
PacWest Bancorp (A) | 128,410 | 2,399 | ||||||
People’s United Financial | 106,100 | 1,321 | ||||||
Plum Creek Timber ‡ (A) | 28,500 | 1,050 | ||||||
PNC Financial Services Group | 182,900 | 9,915 | ||||||
Progressive | 443,157 | 8,358 | ||||||
ProLogis ‡ | 11,115 | 309 | ||||||
Prosperity Bancshares | 44,200 | 1,768 | ||||||
Prudential Financial | 316,037 | 16,004 | ||||||
Public Storage ‡ | 109,913 | 14,498 | ||||||
Rayonier ‡ (A) | 284,235 | 11,551 | ||||||
Regions Financial | 327,526 | 1,346 | ||||||
Signature Bank NY * | 34,400 | 2,010 | ||||||
Simon Property Group ‡ | 20,889 | 2,597 | ||||||
SLM | 168,100 | 2,165 | ||||||
StanCorp Financial Group | 5,400 | 190 | ||||||
State Street | 421,941 | 16,730 | ||||||
Stifel Financial * | 57,800 | 1,832 | ||||||
SunTrust Banks | 73,700 | 1,336 | ||||||
Symetra Financial | 77,100 | 728 | ||||||
T. Rowe Price Group (A) | 313,305 | 17,783 | ||||||
Tanger Factory Outlet Centers ‡ (A) | 84,600 | 2,398 | ||||||
Torchmark | 25,600 | 1,090 | ||||||
Travelers | 330,440 | 18,587 | ||||||
Unum Group | 3,700 | 83 | ||||||
US Bancorp | 616,061 | 15,968 | ||||||
Waddell & Reed Financial, Cl A | 50,000 | 1,359 | ||||||
Wells Fargo | 3,764,885 | 97,360 | ||||||
Weyerhaeuser ‡ (A) | 604,019 | 10,141 | ||||||
Winthrop Realty Trust ‡ | 30,300 | 283 | ||||||
Wintrust Financial (A) | 76,960 | 2,139 | ||||||
XL Group, Cl A | 200,300 | 4,130 | ||||||
Zions Bancorporation | 17,300 | 278 | ||||||
|
| |||||||
741,456 | ||||||||
|
| |||||||
Health Care — 11.1% | ||||||||
Abbott Laboratories | 298,216 | 16,268 | ||||||
Aetna | 580,860 | 24,292 | ||||||
Agilent Technologies * | 370,323 | 13,887 | ||||||
Alexion Pharmaceuticals * | 88,409 | 6,070 | ||||||
Allergan | 12,400 | 1,038 | ||||||
AmerisourceBergen (A) | 428,269 | 15,910 | ||||||
Amgen | 1,273,179 | 73,730 | ||||||
Baxter International | 195,000 | 10,074 | ||||||
Becton Dickinson | 80,000 | 5,902 | ||||||
Biogen Idec * | 90,195 | 10,368 | ||||||
Boston Scientific * | 25,000 | 148 |
Description | Shares | Market Value ($ Thousands) | ||||||
Bristol-Myers Squibb | 1,024,592 | $ | 33,525 | |||||
C.R. Bard | 59,800 | 5,214 | ||||||
Cardinal Health | 449,250 | 19,075 | ||||||
CareFusion * | 251,700 | 6,237 | ||||||
Celgene * | 157,700 | 9,948 | ||||||
Cerner * (A) | 44,000 | 2,683 | ||||||
CIGNA | 66,900 | 2,959 | ||||||
Coventry Health Care * | 60,400 | 1,929 | ||||||
Covidien | 1,142,216 | 52,028 | ||||||
DaVita * | 12,600 | 960 | ||||||
Dentsply International | 52,500 | 1,896 | ||||||
Edwards Lifesciences * | 17,300 | 1,142 | ||||||
Eli Lilly | 526,916 | 19,944 | ||||||
Express Scripts * (A) | 412,179 | 18,816 | ||||||
Gilead Sciences * | 854,341 | 34,045 | ||||||
Haemonetics * (A) | 37,640 | 2,229 | ||||||
Hill-Rom Holdings | 52,000 | 1,643 | ||||||
Humana | 35,100 | 3,113 | ||||||
Intuitive Surgical * | 2,700 | 1,172 | ||||||
Johnson & Johnson | 1,184,269 | 76,646 | ||||||
Laboratory Corp of America | 34,200 | 2,932 | ||||||
Life Technologies * | 95,600 | 3,703 | ||||||
McKesson | 169,282 | 13,764 | ||||||
Medco Health Solutions * | 16,248 | 921 | ||||||
Medicis Pharmaceutical, Cl A | 83,100 | 2,713 | ||||||
Medtronic | 89,876 | 3,274 | ||||||
Merck | 1,269,862 | 45,397 | ||||||
Mylan Laboratories * | 79,300 | 1,549 | ||||||
Myriad Genetics * | 9,499 | 202 | ||||||
Par Pharmaceutical * | 22,500 | 729 | ||||||
PerkinElmer | 617,465 | 11,682 | ||||||
Pfizer | 3,945,083 | 79,178 | ||||||
Quest Diagnostics | 124,860 | 7,324 | ||||||
St. Jude Medical | 112,500 | 4,325 | ||||||
Stryker | 186,400 | 9,102 | ||||||
SXC Health Solutions * | 55,600 | 3,271 | ||||||
Thermo Fisher Scientific * | 415,230 | 19,620 | ||||||
UnitedHealth Group | 736,526 | 35,920 | ||||||
Varian Medical Systems * (A) | 13,900 | 865 | ||||||
VCA Antech * | 80,400 | 1,581 | ||||||
Warner Chilcott, Cl A * | 205,620 | 3,232 | ||||||
Waters * (A) | 25,000 | 2,000 | ||||||
Watson Pharmaceuticals * (A) | 67,200 | 4,342 | ||||||
WellPoint | 230,496 | 16,261 | ||||||
Zimmer Holdings * | 98,400 | 4,974 | ||||||
|
| |||||||
751,752 | ||||||||
|
| |||||||
Industrials — 8.6% | ||||||||
3M | 51,266 | 4,154 | ||||||
AECOM Technology * | 96,188 | 2,063 | ||||||
AGCO * | 62,700 | 2,869 | ||||||
Alliant Techsystems (A) | 10,700 | 630 | ||||||
American Reprographics * | 202,500 | 954 | ||||||
Ametek | 15,300 | 655 | ||||||
Avery Dennison | 14,500 | 380 | ||||||
BE Aerospace * (A) | 71,540 | 2,786 | ||||||
Boeing | 406,273 | 27,907 | ||||||
C.H. Robinson Worldwide (A) | 11,000 | 754 | ||||||
Caterpillar | 310,181 | 30,361 | ||||||
Chicago Bridge & Iron | 220,416 | 9,114 | ||||||
Cooper Industries, Cl A (A) | 304,826 | 16,927 | ||||||
Copart * | 3,500 | 157 |
3 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Corrections Corp of America * | 189,280 | $ | 3,975 | |||||
CSX | 656,300 | 14,248 | ||||||
Cubic | 5,900 | 250 | ||||||
Cummins | 147,254 | 14,185 | ||||||
Danaher | 58,900 | 2,850 | ||||||
Deere | 134,200 | 10,635 | ||||||
Delta Air Lines * | 715,292 | 5,808 | ||||||
Dover | 177,255 | 9,744 | ||||||
Dun & Bradstreet | 18,000 | 1,257 | ||||||
Eaton | 95,500 | 4,289 | ||||||
Emerson Electric | 355,911 | 18,596 | ||||||
EnerSys * | 12,000 | 289 | ||||||
Equifax | 65,000 | 2,415 | ||||||
Exelis | 129,600 | 1,159 | ||||||
Fastenal (A) | 22,000 | 916 | ||||||
FedEx | 121,885 | 10,126 | ||||||
Fluor | 31,563 | 1,730 | ||||||
Gardner Denver | 11,451 | 982 | ||||||
General Dynamics | 310,862 | 20,536 | ||||||
General Electric | 3,394,322 | 54,004 | ||||||
Goodrich | 6,200 | 756 | ||||||
Harsco (A) | 90,090 | 1,859 | ||||||
Honeywell International | 1,206,652 | 65,340 | ||||||
Illinois Tool Works (A) | 136,450 | 6,200 | ||||||
Ingersoll-Rand | 52,500 | 1,739 | ||||||
Iron Mountain (A) | 164,000 | 4,981 | ||||||
ITT | 233,945 | 4,719 | ||||||
Jacobs Engineering Group * | 116,807 | 4,852 | ||||||
Joy Global | 8,649 | 789 | ||||||
KBR | 10,500 | 304 | ||||||
Kennametal | 31,700 | 1,208 | ||||||
L-3 Communications Holdings, Cl 3 | 81,500 | 5,403 | ||||||
Lennox International | 7,900 | 262 | ||||||
Lockheed Martin (A) | 52,849 | 4,130 | ||||||
Manpower | 27,100 | 993 | ||||||
Masco (A) | 143,300 | 1,373 | ||||||
MasTec * | 49,100 | 786 | ||||||
Middleby * (A) | 18,000 | 1,643 | ||||||
Norfolk Southern | 128,700 | 9,722 | ||||||
Northrop Grumman (A) | 162,900 | 9,297 | ||||||
Owens Corning * (A) | 86,800 | 2,491 | ||||||
Pall | 10,000 | 545 | ||||||
Parker Hannifin | 114,900 | 9,511 | ||||||
Precision Castparts | 2,000 | 330 | ||||||
Quanta Services * | 145,160 | 2,989 | ||||||
Raytheon | 117,350 | 5,348 | ||||||
Regal-Beloit | 33,630 | 1,771 | ||||||
Republic Services, Cl A | 75,050 | 2,060 | ||||||
Rockwell Automation | 49,000 | 3,677 | ||||||
Roper Industries (A) | 15,700 | 1,338 | ||||||
RR Donnelley & Sons (A) | 4,000 | 60 | ||||||
Snap-on | 22,900 | 1,175 | ||||||
Stericycle * (A) | 41,200 | 3,338 | ||||||
Team * | 57,760 | 1,580 | ||||||
Thomas & Betts * | 16,500 | 858 | ||||||
Timken | 105,058 | 4,413 | ||||||
Trimas * | 93,240 | 1,903 | ||||||
Tyco International | 6,300 | 302 | ||||||
Union Pacific | 379,085 | 39,201 | ||||||
United Continental Holdings * (A) | 446,778 | 8,029 | ||||||
United Parcel Service, Cl B | 305,081 | 21,889 |
Description | Shares | Market Value ($ Thousands) | ||||||
United Technologies | 770,038 | $ | 58,985 | |||||
URS * | 143,742 | 5,195 | ||||||
UTi Worldwide | 73,140 | 1,138 | ||||||
WW Grainger (A) | 8,500 | 1,589 | ||||||
Xylem | 56,000 | 1,338 | ||||||
|
| |||||||
585,114 | ||||||||
|
| |||||||
Information Technology — 17.8% | ||||||||
Accenture, Cl A | 399,040 | 23,116 | ||||||
Activision Blizzard (A) | 42,400 | 527 | ||||||
Adobe Systems * | 79,700 | 2,185 | ||||||
Advanced Micro Devices * (A) | 634,908 | 3,613 | ||||||
Akamai Technologies * | 41,300 | 1,194 | ||||||
Altera | 104,600 | 3,940 | ||||||
Analog Devices | 6,200 | 216 | ||||||
Apple * | 572,631 | 218,860 | ||||||
Applied Materials | 198,748 | 2,142 | ||||||
Arrow Electronics * | 15,800 | 578 | ||||||
Autodesk * | 61,300 | 2,089 | ||||||
Automatic Data Processing | 130,200 | 6,652 | ||||||
Avago Technologies | 100,497 | 3,007 | ||||||
Baidu ADR * | 203,938 | 26,714 | ||||||
Black Box | 6,100 | 174 | ||||||
Blue Coat Systems * | 49,300 | 887 | ||||||
BMC Software * | 58,700 | 2,093 | ||||||
CA | 281,800 | 5,974 | ||||||
Cisco Systems | 3,232,186 | 60,248 | ||||||
Citrix Systems * | 21,900 | 1,563 | ||||||
Cognizant Technology Solutions, | 123,909 | 8,345 | ||||||
Compuware * (A) | 127,800 | 1,056 | ||||||
Corning | 483,500 | 6,416 | ||||||
Dell * | 1,312,900 | 20,691 | ||||||
eBay * | 80,000 | 2,367 | ||||||
Echo Global Logistics * | 117,659 | 1,850 | ||||||
Electronic Arts * | 302,023 | 7,004 | ||||||
EMC * | 1,119,385 | 25,757 | ||||||
F5 Networks * | 6,000 | 678 | ||||||
Fidelity National Information Services | 35,900 | 865 | ||||||
Fiserv * | 33,600 | 1,937 | ||||||
FLIR Systems (A) | 106,000 | 2,847 | ||||||
Freescale Semiconductor | 43,703 | 554 | ||||||
Google, Cl A * | 113,551 | 68,061 | ||||||
Harris (A) | 10,300 | 367 | ||||||
Hewlett-Packard | 714,019 | 19,957 | ||||||
IAC | 3,551 | 148 | ||||||
Ingram Micro, Cl A * | 8,800 | 158 | ||||||
Intel | 4,093,729 | 101,975 | ||||||
International Business Machines (A) | 681,079 | 128,043 | ||||||
Intuit | 107,300 | 5,713 | ||||||
j2 Global Communications (A) | 66,170 | 1,794 | ||||||
Jabil Circuit | 276,340 | 5,601 | ||||||
JDS Uniphase * | 68,500 | 752 | ||||||
Kla-Tencor | 24,503 | 1,130 | ||||||
Lexmark International, Cl A | 138,200 | 4,624 | ||||||
LSI * | 96,600 | 543 | ||||||
Mastercard, Cl A | 41,100 | 15,394 | ||||||
Microchip Technology (A) | 63,600 | 2,220 | ||||||
Micron Technology * | 36,000 | 216 | ||||||
Microsoft | 3,287,776 | 84,101 |
4 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Molex (A) | 22,140 | $ | 552 | |||||
Motorola Solutions | 204,784 | 9,557 | ||||||
NCR * | 105,400 | 1,844 | ||||||
NetApp * | 4,700 | 173 | ||||||
Nvidia * | 498,464 | 7,791 | ||||||
ON Semiconductor * (A) | 272,660 | 2,053 | ||||||
Oracle | 3,498,247 | 109,670 | ||||||
Paychex (A) | 208,400 | 6,067 | ||||||
Polycom * | 109,760 | 1,855 | ||||||
Qualcomm | 1,327,623 | 72,754 | ||||||
Quest Software * | 116,420 | 2,104 | ||||||
Rackspace Hosting * (A) | 17,957 | 779 | ||||||
Red Hat * | 34,910 | 1,748 | ||||||
SAIC * | 164,100 | 1,978 | ||||||
Salesforce.com * | 600 | 71 | ||||||
SanDisk * | 94,000 | 4,635 | ||||||
SS&C Technologies Holdings * (A) | 138,326 | 2,220 | ||||||
Symantec * | 120,600 | 1,972 | ||||||
TE Connectivity | 36,600 | 1,161 | ||||||
Tech Data * | 5,000 | 246 | ||||||
Teradata * | 63,900 | 3,465 | ||||||
Teradyne * (A) | 7,600 | 102 | ||||||
Texas Instruments (A) | 531,474 | 15,997 | ||||||
Total System Services | 40,400 | 810 | ||||||
VeriSign | 30,700 | 1,031 | ||||||
Visa, Cl A (A) | 440,263 | 42,692 | ||||||
Vishay Intertechnology * (A) | 527,755 | 5,220 | ||||||
Western Union | 488,378 | 8,517 | ||||||
Xerox | 715,000 | 5,827 | ||||||
Xilinx (A) | 103,480 | 3,385 | ||||||
Yahoo! * | 63,700 | 1,001 | ||||||
|
| |||||||
1,204,213 | ||||||||
|
| |||||||
Materials — 3.3% | ||||||||
Air Products & Chemicals | 1,100 | 92 | ||||||
Alcoa (A) | 48,100 | 482 | ||||||
Allegheny Technologies | 395,477 | 19,861 | ||||||
Ball | 257,015 | 9,024 | ||||||
Bemis (A) | 174,205 | 5,137 | ||||||
Carpenter Technology | 19,100 | 1,034 | ||||||
CF Industries Holdings | 53,100 | 7,423 | ||||||
Cliffs Natural Resources | 18,500 | 1,255 | ||||||
Coeur d’Alene Mines * | 66,000 | 1,932 | ||||||
Compass Minerals International (A) | 18,800 | 1,441 | ||||||
Cytec Industries | 28,800 | 1,358 | ||||||
Dow Chemical | 133,000 | 3,685 | ||||||
E.I. Du Pont de Nemours (A) | 244,091 | 11,648 | ||||||
Eastman Chemical | 234,300 | 9,283 | ||||||
Freeport-McMoRan Copper & | 1,024,985 | 40,589 | ||||||
Huntsman | 473,766 | 5,178 | ||||||
International Flavors & Fragrances | 21,800 | 1,183 | ||||||
International Paper | 45,754 | 1,299 | ||||||
Kronos Worldwide (A) | 186,964 | 3,648 | ||||||
LyondellBasell Industries, Cl A | 99,100 | 3,238 | ||||||
MeadWestvaco | 7,000 | 209 | ||||||
Monsanto | 355,944 | 26,144 | ||||||
Mosaic | 256,992 | 13,559 | ||||||
Newmont Mining | 191,784 | 13,210 | ||||||
Owens-Illinois * | 58,300 | 1,139 |
Description | Shares | Market Value ($ Thousands) | ||||||
PPG Industries (A) | 17,500 | $ | 1,536 | |||||
Praxair (A) | 230,686 | 23,530 | ||||||
Reliance Steel & Aluminum (A) | 10,500 | 516 | ||||||
Rock-Tenn, Cl A | 28,060 | 1,635 | ||||||
Rockwood Holdings * | 37,680 | 1,679 | ||||||
Schweitzer-Mauduit | 36,580 | 2,605 | ||||||
Sealed Air | 93,500 | 1,647 | ||||||
Sherwin-Williams (A) | 6,900 | 599 | ||||||
Sigma-Aldrich | 2,900 | 188 | ||||||
Solutia * (A) | 102,170 | 1,627 | ||||||
Steel Dynamics (A) | 312,100 | 4,113 | ||||||
|
| |||||||
222,726 | ||||||||
|
| |||||||
Telecommunication Services — 2.5% |
| |||||||
American Tower, Cl A * | 318,238 | 18,776 | ||||||
AT&T | 3,292,056 | 95,404 | ||||||
CenturyLink (A) | 282,420 | 10,596 | ||||||
Level 3 Communications * | 107,145 | 2,208 | ||||||
MetroPCS Communications * | 570,570 | 4,781 | ||||||
Sprint Nextel * | 520,000 | 1,404 | ||||||
Verizon Communications | 1,013,011 | 38,221 | ||||||
Windstream (A) | 92,213 | 1,085 | ||||||
|
| |||||||
172,475 | ||||||||
|
| |||||||
Utilities — 1.9% | ||||||||
AES * | 1,686,253 | 20,370 | ||||||
AGL Resources (A) | 39,200 | 1,617 | ||||||
Ameren | 14,400 | 487 | ||||||
American Electric Power | 90,500 | 3,591 | ||||||
American Water Works | 111,000 | 3,449 | ||||||
California Water Service Group | 84,700 | 1,561 | ||||||
Centerpoint Energy | 45,900 | 913 | ||||||
CMS Energy (A) | 760,927 | 15,919 | ||||||
Consolidated Edison (A) | 22,500 | 1,337 | ||||||
Constellation Energy Group | 33,700 | 1,353 | ||||||
Dominion Resources | 106,200 | 5,482 | ||||||
DTE Energy | 19,600 | 1,032 | ||||||
Duke Energy (A) | 28,800 | 600 | ||||||
Entergy (A) | 83,400 | 5,868 | ||||||
Exelon (A) | 20,282 | 899 | ||||||
FirstEnergy | 66,956 | 2,978 | ||||||
Hawaiian Electric Industries (A) | 136,454 | 3,535 | ||||||
New Jersey Resources (A) | 35,260 | 1,668 | ||||||
NextEra Energy (A) | 62,200 | 3,448 | ||||||
Nicor | 15,700 | 881 | ||||||
NiSource (A) | 21,900 | 502 | ||||||
Northeast Utilities | 97,300 | 3,368 | ||||||
NRG Energy * | 65,600 | 1,291 | ||||||
NV Energy | 1,097,271 | 16,832 | ||||||
ONEOK | 78,200 | 6,503 | ||||||
Pepco Holdings (A) | 66,100 | 1,307 | ||||||
PG&E | 186,600 | 7,248 | ||||||
Pinnacle West Capital | 14,000 | 664 | ||||||
PPL (A) | 17,500 | 525 | ||||||
Progress Energy | 22,261 | 1,211 | ||||||
Public Service Enterprise Group | 9,600 | 316 | ||||||
Sempra Energy | 43,100 | 2,292 | ||||||
Southern (A) | 107,900 | 4,738 | ||||||
TECO Energy | 75,223 | 1,413 | ||||||
Wisconsin Energy | 34,300 | 1,138 |
5 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund
November 30, 2011
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Xcel Energy | 37,600 | $ | 988 | |||||
|
| |||||||
127,324 | ||||||||
|
| |||||||
Total Common Stock |
| 5,778,986 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIPS — 15.2% |
| |||||||
SEI LIBOR Plus Portfolio † | 95,101,742 | 664,761 | ||||||
SEI Liquidity Fund, L.P. | ||||||||
0.140% † ** (B) | 374,240,510 | 366,716 | ||||||
|
| |||||||
Total Affiliated Partnerships |
| 1,031,477 | ||||||
|
| |||||||
CASH EQUIVALENT — 3.2% |
| |||||||
SEI Daily Income Trust, | ||||||||
0.030% † ** | 215,321,680 | 215,322 | ||||||
|
| |||||||
Total Cash Equivalent |
| 215,322 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 1.3% |
| |||||||
U.S. Treasury Bills | ||||||||
0.065%, 12/22/11 | $ | 12,947 | 12,947 | |||||
0.063%, 06/28/12 | 381 | 381 | ||||||
0.050%, 12/15/11 | 70,896 | 70,895 | ||||||
0.020%, 05/03/12 | 2,138 | 2,138 | ||||||
0.005%, 01/05/12 | 2,000 | 2,000 | ||||||
Total U.S. Treasury Obligations |
| 88,361 | ||||||
|
| |||||||
Total Investments — 104.9% |
| $ | 7,114,146 | |||||
|
|
The open futures contracts held by the Fund at November 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index EMINI | 2,213 | Dec-2011 | $ | 1,687 | ||||||||
S&P Composite Index | 2,694 | Dec-2011 | 57,409 | |||||||||
|
| |||||||||||
$ | 59,096 | |||||||||||
|
|
For the period ended November 30, 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.
Percentages are based on a Net Assets of $6,780,070 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 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 November 30, 2011. The total value of securities on loan at November 30, 2011 was $382,419 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2011 was $366,716 ($ Thousands). |
(C) | The rate reported is the effective yield at time of purchase. |
(D) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
LIBOR — London Interbank Offered Rate
L.P. — Limited Partnership
REIT — Real Estate Investment Trust
S&P — Standard & Poor’s
The following is a summary of the inputs used as of November 30, 2011, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 5,778,986 | $ | — | $ | — | $ | 5,778,986 | ||||||||
Affiliated Partnerships | 664,761 | 366,716 | — | 1,031,477 | ||||||||||||
Cash Equivalent | 215,322 | — | — | 215,322 | ||||||||||||
U.S. Treasury Obligations | — | 88,361 | — | 88,361 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 6,659,069 | $ | 455,077 | $ | — | $ | 7,114,146 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures | $ | 59,096 | $ | — | $ | — | $ | 59,096 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial | $ | 59,096 | $ | — | $ | — | $ | 59,096 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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 Note to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
6 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.0% |
| |||||||
Consumer Discretionary — 11.2% |
| |||||||
Aaron’s | 5,200 | $ | 137 | |||||
Abercrombie & Fitch, Cl A | 4,802 | 230 | ||||||
Advance Auto Parts | 4,708 | 326 | ||||||
Amazon.com * | 22,389 | 4,305 | ||||||
AMC Networks, Cl A * | 3,285 | 118 | ||||||
American Eagle Outfitters | 14,071 | 196 | ||||||
Apollo Group, Cl A * | 6,964 | 338 | ||||||
Autoliv (A) | 4,818 | 257 | ||||||
AutoNation * (A) | 2,832 | 102 | ||||||
AutoZone * | 1,707 | 561 | ||||||
Bally Technologies * | 2,100 | 80 | ||||||
Bed Bath & Beyond * | 14,715 | 890 | ||||||
Best Buy (A) | 17,947 | 486 | ||||||
Big Lots * | 5,500 | 221 | ||||||
BorgWarner * (A) | 6,882 | 454 | ||||||
Brinker International | 4,483 | 108 | ||||||
Cablevision Systems, Cl A | 13,142 | 197 | ||||||
Career Education * | 3,259 | 23 | ||||||
Carmax * (A) | 14,460 | 416 | ||||||
Carnival | 26,200 | 870 | ||||||
CBS, Cl B | 40,769 | 1,062 | ||||||
Charter Communications, | 3,000 | 159 | ||||||
Chico’s FAS | 8,600 | 89 | ||||||
Chipotle Mexican Grill, | 1,900 | 611 | ||||||
Choice Hotels | 1,484 | 53 | ||||||
Clear Channel Outdoor | 700 | 8 | ||||||
Coach | 17,867 | 1,118 | ||||||
Comcast, Cl A | 167,325 | 3,793 | ||||||
Darden Restaurants (A) | 7,622 | 364 | ||||||
Deckers Outdoor * | 2,600 | 283 | ||||||
DeVry | 4,900 | 169 | ||||||
Dick’s Sporting Goods | 5,158 | 203 | ||||||
Dillard’s, Cl A (A) | 1,700 | 80 | ||||||
DIRECTV, Cl A * | 47,729 | 2,254 | ||||||
Discovery Communications, | 16,600 | 697 | ||||||
DISH Network, Cl A | 10,962 | 269 | ||||||
Dollar General * | 6,800 | 276 | ||||||
Dollar Tree * | 7,629 | 622 | ||||||
DR Horton (A) | 20,168 | 240 | ||||||
DreamWorks Animation | 3,434 | 64 | ||||||
DSW, Cl A | 2,000 | 90 | ||||||
Dunkin’ Brands Group * (A) | 2,800 | 71 | ||||||
Education Management * (A) | 1,500 | 33 | ||||||
Expedia (A) | 11,734 | 326 | ||||||
Family Dollar Stores | 7,862 | 467 | ||||||
Federal Mogul, Cl A * | 1,500 | 22 | ||||||
Foot Locker | 9,569 | 226 | ||||||
Ford Motor * (A) | 229,884 | 2,437 | ||||||
Fossil * | 2,900 | 260 | ||||||
GameStop, Cl A * (A) | 8,700 | 201 | ||||||
Gannett | 17,059 | 185 | ||||||
Gap | 21,859 | 409 | ||||||
Garmin (A) | 6,600 | 241 | ||||||
General Motors * | 46,100 | 982 | ||||||
Gentex | 8,032 | 237 |
Description | Shares | Market Value ($ Thousands) | ||||||
Genuine Parts | 10,271 | $ | 601 | |||||
Goodyear Tire & Rubber * | 14,752 | 206 | ||||||
Guess? | 2,900 | 82 | ||||||
H&R Block (A) | 17,525 | 276 | ||||||
Hanesbrands * | 6,543 | 161 | ||||||
Harley-Davidson | 13,903 | 511 | ||||||
Harman International Industries | 4,068 | 168 | ||||||
Hasbro | 6,967 | 250 | ||||||
Home Depot | 97,015 | 3,805 | ||||||
Hyatt Hotels, Cl A * | 2,100 | 75 | ||||||
International Game Technology | 19,843 | 339 | ||||||
Interpublic Group | 26,775 | 251 | ||||||
ITT Educational Services * (A) | 1,921 | 105 | ||||||
J.C. Penney (A) | 11,151 | 357 | ||||||
Jarden | 6,600 | 206 | ||||||
John Wiley & Sons, Cl A | 3,242 | 156 | ||||||
Johnson Controls | 41,745 | 1,314 | ||||||
Kohl’s | 15,819 | 851 | ||||||
Lamar Advertising, Cl A * (A) | 2,540 | 62 | ||||||
Las Vegas Sands * | 24,393 | 1,139 | ||||||
Lear | 5,700 | 239 | ||||||
Leggett & Platt | 8,719 | 195 | ||||||
Lennar, Cl A (A) | 12,330 | 227 | ||||||
Liberty Global, Cl A * | 16,171 | 637 | ||||||
Liberty Interactive, Cl A * | 35,347 | 575 | ||||||
Liberty Media - Liberty | 7,720 | 589 | ||||||
Limited Brands | 15,557 | 659 | ||||||
LKQ * | 9,500 | 290 | ||||||
Lowe’s | 79,810 | 1,916 | ||||||
Macy’s | 27,230 | 880 | ||||||
Madison Square Garden, | 2,860 | 83 | ||||||
Marriott International, Cl A | 15,687 | 480 | ||||||
Marriott Vacations | 1,569 | 25 | ||||||
Mattel | 20,442 | 589 | ||||||
McDonald’s | 63,780 | 6,092 | ||||||
McGraw-Hill | 19,039 | 813 | ||||||
MGM Resorts | 24,039 | 247 | ||||||
Mohawk Industries * | 3,266 | 178 | ||||||
Morningstar (A) | 2,100 | 126 | ||||||
NetFlix * (A) | 3,100 | 200 | ||||||
Newell Rubbermaid | 15,565 | 238 | ||||||
News, Cl A | 141,585 | 2,469 | ||||||
NIKE, Cl B | 21,648 | 2,082 | ||||||
Nordstrom | 10,312 | 467 | ||||||
NVR * | 324 | 217 | ||||||
Omnicom Group | 16,344 | 705 | ||||||
O’Reilly Automotive * | 8,340 | 644 | ||||||
Panera Bread, Cl A * | 1,562 | 224 | ||||||
Penn National Gaming * | 4,889 | 181 | ||||||
PetSmart | 6,573 | 317 | ||||||
Polaris Industries | 3,400 | 204 | ||||||
priceline.com * | 3,000 | 1,458 | ||||||
PulteGroup * (A) | 15,545 | 95 | ||||||
PVH | 4,100 | 279 | ||||||
RadioShack | 5,571 | 64 | ||||||
Ralph Lauren, Cl A | 3,680 | 522 | ||||||
Regal Entertainment Group, | 4,188 | 60 | ||||||
Ross Stores | 7,571 | 674 | ||||||
Royal Caribbean Cruises | 7,500 | 208 |
1 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Sally Beauty Holdings * | 4,600 | $ | 92 | |||||
Scripps Networks | 5,372 | 214 | ||||||
Sears Holdings * (A) | 2,528 | 152 | ||||||
Service International (A) | 11,194 | 115 | ||||||
Signet Jewelers | 5,200 | 230 | ||||||
Sirius XM Radio * (A) | 254,800 | 459 | ||||||
Staples | 45,264 | 652 | ||||||
Starbucks | 46,106 | 2,005 | ||||||
Starwood Hotels & Resorts Worldwide | 12,284 | 586 | ||||||
Target | 42,785 | 2,255 | ||||||
Tempur-Pedic | 3,900 | 213 | ||||||
Tesla Motors * (A) | 2,700 | 88 | ||||||
Thomson Reuters | 23,000 | 623 | ||||||
Thor Industries (A) | 1,900 | 46 | ||||||
Tiffany | 7,925 | 531 | ||||||
Time Warner (A) | 66,479 | 2,315 | ||||||
Time Warner Cable, Cl A | 20,284 | 1,227 | ||||||
TJX | 23,254 | 1,435 | ||||||
Toll Brothers * | 9,151 | 186 | ||||||
Tractor Supply | 4,200 | 303 | ||||||
TRW Automotive Holdings * | 6,493 | 212 | ||||||
Tupperware Brands | 3,600 | 210 | ||||||
Ulta Salon Cosmetics & | 2,300 | 160 | ||||||
Under Armour, Cl A * (A) | 1,800 | 147 | ||||||
Urban Outfitters * | 6,520 | 176 | ||||||
VF | 5,417 | 751 | ||||||
Viacom, Cl B | 35,969 | 1,610 | ||||||
Virgin Media (A) | 18,320 | 406 | ||||||
Visteon * | 2,600 | 145 | ||||||
Walt Disney (A) | 114,672 | 4,111 | ||||||
Washington Post, Cl B (A) | 257 | 92 | ||||||
Weight Watchers | 1,662 | 98 | ||||||
Wendy’s | 26,800 | 133 | ||||||
Whirlpool (A) | 4,987 | 245 | ||||||
Williams-Sonoma | 5,662 | 214 | ||||||
WMS Industries * | 2,600 | 55 | ||||||
Wyndham Worldwide | 9,868 | 350 | ||||||
Wynn Resorts (A) | 4,696 | 566 | ||||||
Yum! Brands | 28,648 | 1,605 | ||||||
|
| |||||||
90,992 | ||||||||
|
| |||||||
Consumer Staples — 10.0% | ||||||||
Altria Group | 127,168 | 3,648 | ||||||
Archer-Daniels-Midland | 41,079 | 1,237 | ||||||
Avon Products | 28,306 | 481 | ||||||
Beam | 9,120 | 479 | ||||||
Brown-Forman, Cl B | 6,518 | 520 | ||||||
Bunge | 9,700 | 606 | ||||||
Campbell Soup (A) | 9,778 | 319 | ||||||
Church & Dwight | 8,064 | 357 | ||||||
Clorox | 8,303 | 539 | ||||||
Coca-Cola | 120,520 | 8,103 | ||||||
Coca-Cola Enterprises | 20,215 | 528 | ||||||
Colgate-Palmolive | 30,075 | 2,752 | ||||||
ConAgra Foods | 25,486 | 644 | ||||||
Constellation Brands, Cl A * | 10,531 | 205 | ||||||
Corn Products International | 4,200 | 218 | ||||||
Costco Wholesale | 26,381 | 2,250 |
Description | Shares | Market Value ($ Thousands) | ||||||
CVS Caremark | 82,452 | $ | 3,203 | |||||
Dean Foods * | 8,087 | 82 | ||||||
Dr. Pepper Snapple Group | 12,600 | 460 | ||||||
Energizer Holdings * | 4,541 | 328 | ||||||
Estee Lauder, Cl A | 7,254 | 856 | ||||||
Flowers Foods (A) | 7,050 | 139 | ||||||
General Mills | 39,992 | 1,598 | ||||||
Green Mountain Coffee | ||||||||
Roasters * (A) | 6,900 | 362 | ||||||
Hansen Natural * | 4,300 | 396 | ||||||
Herbalife | 6,800 | 376 | ||||||
Hershey | 9,198 | 531 | ||||||
HJ Heinz | 20,337 | 1,071 | ||||||
Hormel Foods | 7,778 | 234 | ||||||
JM Smucker | 7,011 | 533 | ||||||
Kellogg | 14,603 | 718 | ||||||
Kimberly-Clark | 24,118 | 1,724 | ||||||
Kraft Foods, Cl A | 100,315 | 3,626 | ||||||
Kroger | 35,873 | 832 | ||||||
Lorillard | 8,250 | 921 | ||||||
McCormick | 8,593 | 418 | ||||||
Mead Johnson Nutrition, | 12,486 | 941 | ||||||
Molson Coors Brewing, | 8,662 | 352 | ||||||
PepsiCo | 97,152 | 6,218 | ||||||
Philip Morris International | 108,468 | 8,270 | ||||||
Procter & Gamble | 170,074 | 10,981 | ||||||
Ralcorp Holdings * | 3,100 | 252 | ||||||
Reynolds American | 21,020 | 880 | ||||||
Safeway | 22,920 | 458 | ||||||
Sara Lee | 36,351 | 689 | ||||||
Smithfield Foods * | 10,775 | 264 | ||||||
SUPERVALU (A) | 13,089 | 96 | ||||||
Sysco (A) | 35,248 | 1,006 | ||||||
Tyson Foods, Cl A | 16,865 | 340 | ||||||
Walgreen | 55,425 | 1,869 | ||||||
Wal-Mart Stores | 108,979 | 6,419 | ||||||
Whole Foods Market | 9,752 | 664 | ||||||
|
| |||||||
80,993 | ||||||||
|
| |||||||
Energy — 11.6% | ||||||||
Alpha Natural Resources * | 15,465 | 371 | ||||||
Anadarko Petroleum | 30,840 | 2,506 | ||||||
Apache | 23,859 | 2,373 | ||||||
Arch Coal | 12,212 | 200 | ||||||
Atwood Oceanics * (A) | 2,800 | 115 | ||||||
Baker Hughes | 26,640 | 1,455 | ||||||
Brigham Exploration * | 7,900 | 288 | ||||||
Cabot Oil & Gas | 6,100 | 540 | ||||||
Cameron International * | 15,044 | 812 | ||||||
CARBO Ceramics | 1,000 | 142 | ||||||
Chesapeake Energy | 41,366 | 1,048 | ||||||
Chevron | 123,102 | 12,657 | ||||||
Cimarex Energy | 5,300 | 356 | ||||||
Cobalt International | 4,300 | 46 | ||||||
Concho Resources * | 6,500 | 661 | ||||||
ConocoPhillips | 86,876 | 6,196 | ||||||
Consol Energy | 14,344 | 597 | ||||||
Continental Resources * (A) | 2,900 | 205 | ||||||
Core Laboratories (A) | 2,500 | 290 | ||||||
Denbury Resources * (A) | 24,824 | 420 | ||||||
Devon Energy | 25,913 | 1,696 |
2 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Diamond Offshore | 4,109 | $ | 247 | |||||
Dresser-Rand Group * | 5,434 | 283 | ||||||
El Paso | 48,403 | 1,211 | ||||||
Energen | 4,737 | 240 | ||||||
EOG Resources | 16,445 | 1,706 | ||||||
EQT | 7,966 | 494 | ||||||
EXCO Resources (A) | 6,800 | 81 | ||||||
Exxon Mobil | 301,242 | 24,232 | ||||||
FMC Technologies * (A) | 14,020 | 734 | ||||||
Forest Oil * | 6,514 | 105 | ||||||
Halliburton | 56,997 | 2,098 | ||||||
Helmerich & Payne (A) | 6,250 | 356 | ||||||
Hess | 18,712 | 1,127 | ||||||
HollyFrontier | 11,026 | 256 | ||||||
Kinder Morgan (A) | 11,400 | 336 | ||||||
Marathon Oil | 44,276 | 1,238 | ||||||
Marathon Petroleum | 21,088 | 704 | ||||||
McDermott International * | 12,300 | 139 | ||||||
Murphy Oil | 11,954 | 668 | ||||||
Nabors Industries * | 18,700 | 335 | ||||||
National Oilwell Varco | 25,880 | 1,856 | ||||||
Newfield Exploration * | 8,099 | 371 | ||||||
Noble Energy | 10,462 | 1,029 | ||||||
Occidental Petroleum | 49,554 | 4,901 | ||||||
Oceaneering International | 6,000 | 285 | ||||||
Oil States International * | 2,900 | 218 | ||||||
Patterson-UTI Energy | 8,832 | 186 | ||||||
Peabody Energy | 16,074 | 631 | ||||||
Pioneer Natural | 6,844 | 647 | ||||||
Plains Exploration & | 7,591 | 270 | ||||||
QEP Resources | 11,346 | 370 | ||||||
Quicksilver | 5,102 | 41 | ||||||
Range Resources (A) | 10,039 | 720 | ||||||
Rowan * | 7,186 | 244 | ||||||
RPC (A) | 3,700 | 72 | ||||||
SandRidge Energy * (A) | 27,400 | 201 | ||||||
Schlumberger | 83,366 | 6,280 | ||||||
SEACOR Holdings | 1,700 | 148 | ||||||
SM Energy | 3,600 | 286 | ||||||
Southern Union | 7,268 | 300 | ||||||
Southwestern Energy * | 20,676 | 787 | ||||||
Spectra Energy | 41,009 | 1,207 | ||||||
Sunoco | 7,356 | 286 | ||||||
Superior Energy | 5,800 | 172 | ||||||
Teekay (A) | 2,100 | 58 | ||||||
Tesoro * | 9,846 | 235 | ||||||
Tidewater (A) | 3,470 | 175 | ||||||
Ultra Petroleum * | 8,500 | 299 | ||||||
Unit * | 2,227 | 113 | ||||||
Valero Energy | 33,836 | 754 | ||||||
Whiting Petroleum * | 7,600 | 353 | ||||||
Williams | 37,146 | 1,199 | ||||||
|
| |||||||
94,258 | ||||||||
|
| |||||||
Financials — 13.5% | ||||||||
ACE | 20,700 | 1,439 | ||||||
Affiliated Managers | 2,833 | 268 | ||||||
Aflac | 29,256 | 1,271 | ||||||
Alexandria Real Estate | 4,400 | 289 | ||||||
Alleghany * | 446 | 129 |
Description | Shares | Market Value ($ Thousands) | ||||||
Allied World Assurance Holdings | 2,100 | $ | 125 | |||||
Allstate | 32,725 | 877 | ||||||
American Capital * | 18,000 | 125 | ||||||
American Capital Agency ‡ | 11,100 | 319 | ||||||
American Express | 63,834 | 3,067 | ||||||
American Financial Group | 5,814 | 209 | ||||||
American International Group * | 26,423 | 616 | ||||||
American National Insurance | 222 | 16 | ||||||
Ameriprise Financial | 14,500 | 666 | ||||||
Annaly Capital Management ‡ (A) | 57,811 | 929 | ||||||
Aon | 19,544 | 899 | ||||||
Apartment Investment & Management, Cl A ‡ | 6,399 | 139 | ||||||
Arch Capital Group * | 7,800 | 295 | ||||||
Ares Capital | 11,889 | 185 | ||||||
Arthur J Gallagher | 7,304 | 226 | ||||||
Aspen Insurance Holdings | 3,700 | 98 | ||||||
Associated Banc | 10,584 | 110 | ||||||
Assurant | 5,093 | 200 | ||||||
Assured Guaranty (A) | 8,700 | 84 | ||||||
AvalonBay | 6,041 | 754 | ||||||
Axis Capital Holdings | 6,900 | 220 | ||||||
Bank of America | 618,818 | 3,366 | ||||||
Bank of Hawaii | 3,582 | 152 | ||||||
Bank of New York Mellon | 76,109 | 1,481 | ||||||
BankUnited (A) | 3,500 | 76 | ||||||
BB&T (A) | 41,106 | 953 | ||||||
Berkshire Hathaway, | 106,800 | 8,412 | ||||||
BlackRock, Cl A | 5,085 | 875 | ||||||
BOK Financial (A) | 2,275 | 125 | ||||||
Boston Properties ‡ | 9,084 | 866 | ||||||
Brandywine Realty Trust ‡ | 6,600 | 58 | ||||||
BRE Properties ‡ | 4,320 | 210 | ||||||
Brown & Brown | 6,824 | 142 | ||||||
Camden Property Trust ‡ | 3,747 | 216 | ||||||
Capital One Financial (A) | 28,325 | 1,265 | ||||||
CapitalSource | 19,982 | 129 | ||||||
Capitol Federal Financial | 8,324 | 94 | ||||||
CBOE Holdings | 4,700 | 126 | ||||||
CBRE Group, Cl A * | 19,517 | 328 | ||||||
Charles Schwab (A) | 65,485 | 783 | ||||||
Chimera Investment ‡ (A) | 72,500 | 194 | ||||||
Chubb | 17,518 | 1,181 | ||||||
Cincinnati Financial (A) | 8,186 | 243 | ||||||
CIT Group * | 13,400 | 454 | ||||||
Citigroup | 178,904 | 4,916 | ||||||
City National (A) | 2,738 | 116 | ||||||
CME Group, Cl A | 3,974 | 991 | ||||||
CNA Financial | 1,700 | 45 | ||||||
Comerica | 12,453 | 314 | ||||||
Commerce Bancshares | 5,542 | 206 | ||||||
CommonWealth ‡ | 6,325 | 106 | ||||||
Corporate Office | 4,700 | 98 | ||||||
Cullen/Frost Bankers (A) | 3,868 | 196 | ||||||
DDR ‡ (A) | 12,000 | 140 | ||||||
Digital Realty Trust ‡ (A) | 6,600 | 419 | ||||||
Discover Financial Services | 32,989 | 786 | ||||||
Douglas Emmett ‡ (A) | 9,300 | 167 | ||||||
Duke Realty ‡ | 14,709 | 171 | ||||||
E*Trade Financial * | 12,900 | 118 |
3 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
East West Bancorp | 8,700 | $ | 170 | |||||
Eaton Vance (A) | 8,610 | 207 | ||||||
Endurance Specialty Holdings | 3,300 | 119 | ||||||
Equity Residential ‡ | 18,687 | 1,031 | ||||||
Erie Indemnity, Cl A | 2,119 | 156 | ||||||
Essex Property Trust ‡ | 1,869 | 248 | ||||||
Everest Re Group | 3,000 | 263 | ||||||
Federal Realty Investment | 3,996 | 353 | ||||||
Federated Investors, | 3,658 | 58 | ||||||
Fidelity National | 15,404 | 245 | ||||||
Fifth Third Bancorp | 53,982 | 653 | ||||||
First Citizens BancShares, | 300 | 52 | ||||||
First Horizon National | 11,356 | 88 | ||||||
First Niagara Financial Group | 17,500 | 154 | ||||||
First Republic Bank * | 3,700 | 105 | ||||||
Forest City Enterprises, | 8,842 | 107 | ||||||
Franklin Resources | 8,703 | 877 | ||||||
Fulton Financial | 15,295 | 143 | ||||||
General Growth Properties ‡ | 35,553 | 501 | ||||||
Genworth Financial, Cl A * | 25,792 | 170 | ||||||
Goldman Sachs Group | 31,475 | 3,017 | ||||||
Green Dot, Cl A * (A) | 1,800 | 60 | ||||||
Greenhill (A) | 1,200 | 46 | ||||||
Hanover Insurance Group | 2,193 | 79 | ||||||
Hartford Financial Services Group | 27,010 | 480 | ||||||
HCC Insurance Holdings | 6,741 | 181 | ||||||
HCP ‡ (A) | 23,974 | 927 | ||||||
Health Care REIT ‡ (A) | 10,683 | 536 | ||||||
Hospitality Properties | 7,466 | 165 | ||||||
Host Hotels & | 43,340 | 613 | ||||||
Howard Hughes * | 1,873 | 87 | ||||||
Hudson City Bancorp | 25,028 | 140 | ||||||
Huntington Bancshares | 48,834 | 256 | ||||||
Interactive Brokers | 2,200 | 33 | ||||||
IntercontinentalExchange * | 4,400 | 536 | ||||||
Invesco | 26,400 | 535 | ||||||
Janus Capital Group | 6,865 | 45 | ||||||
Jefferies Group (A) | 8,314 | 95 | ||||||
Jones Lang LaSalle | 2,400 | 155 | ||||||
JPMorgan Chase | 242,434 | 7,508 | ||||||
Kemper | 2,460 | 68 | ||||||
Keycorp | 62,995 | 459 | ||||||
Kimco Realty ‡ (A) | 26,044 | 411 | ||||||
Lazard, Cl A | 8,400 | 217 | ||||||
Legg Mason (A) | 8,581 | 228 | ||||||
Leucadia National | 13,020 | 305 | ||||||
Liberty Property Trust ‡ | 6,906 | 206 | ||||||
Lincoln National | 20,388 | 411 | ||||||
Loews | 19,336 | 743 | ||||||
LPL Investment Holdings * | 2,400 | 72 | ||||||
M&T Bank (A) | 7,534 | 550 | ||||||
Macerich ‡ | 8,111 | 406 | ||||||
Mack-Cali Realty ‡ | 6,398 | 163 | ||||||
Markel * | 650 | 261 | ||||||
Marsh & McLennan | 32,365 | 977 | ||||||
MBIA * (A) | 6,559 | 64 | ||||||
Mercury General | 1,196 | 54 | ||||||
MetLife | 50,309 | 1,584 | ||||||
Moody’s (A) | 12,927 | 449 |
Description | Shares | Market Value ($ Thousands) | ||||||
Morgan Stanley | 94,578 | $ | 1,399 | |||||
MSCI, Cl A * | 6,400 | 216 | ||||||
NASDAQ OMX Group * | 8,300 | 218 | ||||||
New York Community | 28,472 | 343 | ||||||
Northern Trust | 13,205 | 497 | ||||||
NYSE Euronext | 16,000 | 457 | ||||||
Old Republic | 12,190 | 100 | ||||||
PartnerRe | 4,600 | 302 | ||||||
People’s United Financial | 20,134 | 251 | ||||||
Piedmont Office Realty | 8,900 | 148 | ||||||
Plum Creek Timber ‡ (A) | 10,521 | 388 | ||||||
PNC Financial Services Group | 32,222 | 1,747 | ||||||
Popular * | 48,330 | 72 | ||||||
Principal Financial Group | 19,118 | 461 | ||||||
Progressive | 40,580 | 765 | ||||||
ProLogis ‡ | 28,818 | 802 | ||||||
Protective Life | 6,609 | 147 | ||||||
Prudential Financial | 29,763 | 1,507 | ||||||
Public Storage ‡ | 8,868 | 1,170 | ||||||
Raymond James | 5,821 | 174 | ||||||
Rayonier ‡ | 6,904 | 281 | ||||||
Realty Income ‡ (A) | 8,100 | 274 | ||||||
Regency Centers ‡ (A) | 4,808 | 179 | ||||||
Regions Financial | 82,987 | 341 | ||||||
Reinsurance Group of | 4,199 | 216 | ||||||
RenaissanceRe Holdings | 3,200 | 235 | ||||||
SEI † | 8,542 | 144 | ||||||
Senior Housing Properties | 11,600 | 254 | ||||||
Simon Property Group ‡ | 17,881 | 2,223 | ||||||
SL Green Realty ‡ (A) | 4,968 | 327 | ||||||
SLM | 35,214 | 453 | ||||||
St. Joe * | 3,961 | 57 | ||||||
StanCorp Financial | 2,042 | 72 | ||||||
State Street | 31,294 | 1,241 | ||||||
SunTrust Banks | 33,046 | 599 | ||||||
Synovus Financial (A) | 38,472 | 57 | ||||||
T. Rowe Price Group | 15,780 | 896 | ||||||
Taubman Centers ‡ | 3,200 | 199 | ||||||
TCF Financial (A) | 11,001 | 111 | ||||||
TD Ameritrade Holding | 13,045 | 212 | ||||||
TFS Financial * (A) | 3,700 | 34 | ||||||
Torchmark | 5,625 | 240 | ||||||
Transatlantic Holdings (A) | 3,555 | 194 | ||||||
Travelers | 25,244 | 1,420 | ||||||
UDR ‡ | 13,293 | 312 | ||||||
Unum Group | 17,205 | 387 | ||||||
US Bancorp | 117,143 | 3,036 | ||||||
Validus Holdings (A) | 3,726 | 112 | ||||||
Valley National | 8,411 | 99 | ||||||
Ventas ‡ (A) | 14,992 | 791 | ||||||
Vornado Realty Trust ‡ | 11,436 | 851 | ||||||
Waddell & Reed Financial, | 4,100 | 111 | ||||||
Washington Federal | 8,863 | 115 | ||||||
Weingarten Realty | 7,167 | 148 | ||||||
Wells Fargo | 300,066 | 7,760 | ||||||
Weyerhaeuser ‡ | 34,192 | 574 | ||||||
White Mountains Insurance Group | 347 | 147 |
4 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
WR Berkley (A) | 7,014 | $ | 239 | |||||
XL Group, Cl A | 17,200 | 355 | ||||||
Zions Bancorporation (A) | 9,702 | 156 | ||||||
|
| |||||||
109,511 | ||||||||
|
| |||||||
Health Care — 11.2% | ||||||||
Abbott Laboratories | 95,576 | 5,214 | ||||||
Aetna | 23,634 | 988 | ||||||
Agilent Technologies * | 21,164 | 794 | ||||||
Alere * | 5,300 | 124 | ||||||
Alexion Pharmaceuticals * | 11,300 | 776 | ||||||
Allergan | 18,696 | 1,565 | ||||||
Allscripts Healthcare | 13,000 | 253 | ||||||
AMERIGROUP * | 2,200 | 126 | ||||||
AmerisourceBergen (A) | 16,424 | 610 | ||||||
Amgen | 52,867 | 3,062 | ||||||
Amylin Pharmaceuticals * (A) | 6,100 | 66 | ||||||
Baxter International | 34,575 | 1,786 | ||||||
Becton Dickinson | 13,844 | 1,021 | ||||||
Biogen Idec * | 14,800 | 1,701 | ||||||
BioMarin Pharmaceutical * | 6,200 | 215 | ||||||
Bio-Rad Laboratories, Cl A * | 1,200 | 113 | ||||||
Boston Scientific * | 89,439 | 528 | ||||||
Bristol-Myers Squibb | 103,661 | 3,392 | ||||||
Brookdale Senior Living, | 6,100 | 95 | ||||||
Bruker * | 4,100 | 51 | ||||||
C.R. Bard | 5,585 | 487 | ||||||
Cardinal Health | 21,429 | 910 | ||||||
CareFusion * | 13,664 | 339 | ||||||
Catalyst Health Solutions * | 2,100 | 109 | ||||||
Celgene * | 28,380 | 1,790 | ||||||
Cerner * | 8,348 | 509 | ||||||
Charles River Laboratories | 2,843 | 81 | ||||||
CIGNA | 16,055 | 710 | ||||||
Community Health Systems * | 4,062 | 81 | ||||||
Cooper | 3,204 | 196 | ||||||
Covance * | 3,036 | 139 | ||||||
Coventry Health Care * | 8,462 | 270 | ||||||
Covidien | 30,500 | 1,389 | ||||||
DaVita * | 5,408 | 412 | ||||||
Dendreon * (A) | 7,800 | 67 | ||||||
Dentsply International | 8,098 | 292 | ||||||
Edwards Lifesciences * | 7,314 | 483 | ||||||
Eli Lilly | 63,061 | 2,387 | ||||||
Endo Pharmaceuticals | 8,097 | 277 | ||||||
Express Scripts * (A) | 30,044 | 1,372 | ||||||
Forest Laboratories * | 16,773 | 503 | ||||||
Gen-Probe * | 3,027 | 191 | ||||||
Gilead Sciences * | 48,150 | 1,919 | ||||||
HCA Holdings * | 6,900 | 168 | ||||||
Health Management | 12,422 | 102 | ||||||
Health Net * | 4,702 | 146 | ||||||
Henry Schein * | 5,984 | 385 | ||||||
Hill-Rom Holdings | 4,724 | 149 | ||||||
Hologic * | 14,700 | 259 | ||||||
Hospira * | 9,981 | 281 | ||||||
Human Genome Sciences * (A) | 10,200 | 78 | ||||||
Humana | 10,575 | 938 | ||||||
Idexx Laboratories * | 3,152 | 237 |
Description | Shares | Market Value ($ Thousands) | ||||||
Illumina * (A) | 7,100 | $ | 197 | |||||
Intuitive Surgical * | 2,400 | 1,042 | ||||||
Johnson & Johnson | 168,009 | 10,874 | ||||||
Laboratory Corp of America Holdings * | 6,311 | 541 | ||||||
Life Technologies * | 11,370 | 440 | ||||||
LifePoint Hospitals * | 2,376 | 93 | ||||||
Lincare Holdings (A) | 4,540 | 108 | ||||||
McKesson | 15,766 | 1,282 | ||||||
Medco Health Solutions * | 25,020 | 1,418 | ||||||
Mednax * | 2,900 | 195 | ||||||
Medtronic | 66,385 | 2,418 | ||||||
Merck | 189,543 | 6,776 | ||||||
Mettler Toledo International * | 1,936 | 309 | ||||||
Mylan Laboratories * | 28,319 | 553 | ||||||
Myriad Genetics * | 4,500 | 96 | ||||||
Omnicare (A) | 8,131 | 265 | ||||||
Patterson | 7,383 | 223 | ||||||
PerkinElmer | 5,634 | 107 | ||||||
Perrigo (A) | 5,300 | 519 | ||||||
Pfizer | 481,480 | 9,663 | ||||||
Pharmaceutical Product Development | 5,684 | 189 | ||||||
Pharmasset * | 4,800 | 629 | ||||||
QIAGEN * | 12,100 | 180 | ||||||
Quest Diagnostics | 9,344 | 548 | ||||||
Regeneron | 4,500 | 267 | ||||||
ResMed * (A) | 8,710 | 227 | ||||||
Sirona Dental Systems * | 2,800 | 124 | ||||||
St. Jude Medical | 19,446 | 748 | ||||||
Stryker | 18,504 | 904 | ||||||
SXC Health Solutions * | 3,800 | 224 | ||||||
Techne | 2,341 | 158 | ||||||
Teleflex (A) | 3,040 | 185 | ||||||
Tenet Healthcare * (A) | 26,294 | 122 | ||||||
Thermo Fisher Scientific * | 23,125 | 1,093 | ||||||
Thoratec * (A) | 4,200 | 128 | ||||||
United Therapeutics * | 3,800 | 155 | ||||||
UnitedHealth Group | 65,829 | 3,211 | ||||||
Universal Health Services, | 6,176 | 248 | ||||||
Varian Medical Systems * | 7,530 | 469 | ||||||
VCA Antech * | 3,539 | 70 | ||||||
Vertex Pharmaceuticals * | 11,600 | 336 | ||||||
Warner Chilcott, Cl A * | 11,400 | 179 | ||||||
Waters * | 5,772 | 462 | ||||||
Watson Pharmaceuticals * | 7,518 | 486 | ||||||
WellPoint | 22,531 | 1,590 | ||||||
Zimmer Holdings * | 12,125 | 613 | ||||||
|
| |||||||
90,800 | ||||||||
|
| |||||||
Industrials — 10.6% | ||||||||
3M | 43,146 | 3,496 | ||||||
AECOM Technology * | 8,100 | 174 | ||||||
AGCO * | 5,300 | 242 | ||||||
Air Lease, Cl A * (A) | 3,700 | 83 | ||||||
Alexander & Baldwin | 1,782 | 68 | ||||||
Alliant Techsystems (A) | 2,736 | 161 | ||||||
Ametek | 10,320 | 442 | ||||||
Armstrong World | 700 | 28 | ||||||
Avery Dennison | 6,310 | 165 | ||||||
Babcock & Wilcox * | 6,750 | 153 |
5 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
BE Aerospace * | 5,600 | $ | 218 | |||||
Boeing | 44,891 | 3,084 | ||||||
C.H. Robinson | 10,186 | 698 | ||||||
Carlisle | 4,566 | 203 | ||||||
Caterpillar | 39,088 | 3,826 | ||||||
Chicago Bridge & Iron | 6,800 | 281 | ||||||
Cintas (A) | 6,157 | 187 | ||||||
CNH Global * | 1,100 | 44 | ||||||
Con-way | 2,223 | 62 | ||||||
Cooper Industries, Cl A (A) | 9,800 | 544 | ||||||
Copa Holdings, Cl A | 2,200 | 142 | ||||||
Copart * | 2,909 | 131 | ||||||
Corrections Corp of | 7,800 | 164 | ||||||
Covanta Holding | 6,200 | 93 | ||||||
Crane | 2,400 | 115 | ||||||
CSX | 67,696 | 1,470 | ||||||
Cummins | 11,812 | 1,138 | ||||||
Danaher | 33,702 | 1,631 | ||||||
Deere | 25,518 | 2,022 | ||||||
Delta Air Lines * | 54,700 | 444 | ||||||
Donaldson | 4,872 | 333 | ||||||
Dover | 10,857 | 597 | ||||||
Dun & Bradstreet | 2,856 | 199 | ||||||
Eaton | 20,152 | 905 | ||||||
Emerson Electric | 46,620 | 2,436 | ||||||
Equifax | 7,256 | 270 | ||||||
Exelis | 10,502 | 94 | ||||||
Expeditors International of Washington | 12,748 | 555 | ||||||
Fastenal (A) | 17,324 | 721 | ||||||
FedEx (A) | 18,844 | 1,566 | ||||||
Flowserve | 3,700 | 380 | ||||||
Fluor | 10,208 | 559 | ||||||
Fortune Brands Home & | 9,120 | 152 | ||||||
Gardner Denver | 3,000 | 257 | ||||||
GATX | 2,100 | 90 | ||||||
General Cable * (A) | 2,500 | 66 | ||||||
General Dynamics | 20,772 | 1,372 | ||||||
General Electric | 646,123 | 10,280 | ||||||
Goodrich | 7,892 | 963 | ||||||
Graco | 4,524 | 194 | ||||||
GrafTech International * | 6,500 | 94 | ||||||
Harsco | 3,470 | 72 | ||||||
Hertz Global Holdings * | 17,300 | 196 | ||||||
Honeywell International | 48,490 | 2,626 | ||||||
Hubbell, Cl B | 3,892 | 255 | ||||||
Huntington Ingalls | 2,096 | 67 | ||||||
IDEX | 4,993 | 182 | ||||||
IHS, Cl A * | 2,900 | 256 | ||||||
Illinois Tool Works (A) | 26,980 | 1,226 | ||||||
Ingersoll-Rand | 19,800 | 656 | ||||||
Iron Mountain | 11,963 | 363 | ||||||
ITT | 5,251 | 106 | ||||||
Jacobs Engineering | 8,402 | 349 | ||||||
JB Hunt Transport Services | 5,272 | 241 | ||||||
Joy Global | 6,833 | 624 | ||||||
Kansas City Southern * | 7,100 | 483 | ||||||
KAR Auction Services * | 2,100 | 28 | ||||||
KBR | 8,884 | 257 | ||||||
Kennametal | 5,100 | 194 |
Description | Shares | Market Value ($ Thousands) | ||||||
Kirby * | 3,600 | $ | 231 | |||||
L-3 Communications | 5,977 | 396 | ||||||
Landstar System | 3,765 | 174 | ||||||
Lennox International | 2,300 | 76 | ||||||
Lincoln Electric Holdings | 5,000 | 197 | ||||||
Lockheed Martin (A) | 17,629 | 1,378 | ||||||
Manitowoc | 5,700 | 63 | ||||||
Manpower | 4,684 | 172 | ||||||
Masco (A) | 19,509 | 187 | ||||||
MSC Industrial Direct, | 2,620 | 182 | ||||||
Navistar International * | 3,700 | 138 | ||||||
Nielsen Holdings * | 6,000 | 174 | ||||||
Nordson | 3,100 | 146 | ||||||
Norfolk Southern | 21,633 | 1,634 | ||||||
Northrop Grumman (A) | 16,378 | 935 | ||||||
Oshkosh Truck * | 4,259 | 87 | ||||||
Owens Corning * | 6,600 | 190 | ||||||
Paccar | 21,670 | 879 | ||||||
Pall | 7,445 | 406 | ||||||
Parker Hannifin | 9,904 | 820 | ||||||
Pentair (A) | 5,661 | 215 | ||||||
Pitney Bowes (A) | 11,185 | 208 | ||||||
Polypore International * | 2,000 | 98 | ||||||
Precision Castparts | 8,846 | 1,457 | ||||||
Quanta Services * | 12,100 | 249 | ||||||
Raytheon | 21,468 | 978 | ||||||
Regal-Beloit | 2,300 | 121 | ||||||
Republic Services, Cl A | 19,242 | 528 | ||||||
Robert Half International (A) | 10,176 | 270 | ||||||
Rockwell Automation | 8,504 | 638 | ||||||
Rockwell Collins (A) | 9,762 | 536 | ||||||
Roper Industries | 5,900 | 503 | ||||||
RR Donnelley & Sons (A) | 9,677 | 145 | ||||||
Ryder System | 3,206 | 168 | ||||||
Shaw Group * | 5,000 | 124 | ||||||
Snap-on | 3,391 | 174 | ||||||
Southwest Airlines | 44,920 | 377 | ||||||
Spirit Aerosystems | 9,100 | 177 | ||||||
SPX | 2,911 | 185 | ||||||
Stanley Black & Decker | 9,793 | 641 | ||||||
Stericycle * | 5,726 | 464 | ||||||
Terex * | 6,348 | 98 | ||||||
Textron (A) | 15,322 | 298 | ||||||
Thomas & Betts * | 3,167 | 165 | ||||||
Timken | 4,960 | 208 | ||||||
Toro | 1,560 | 88 | ||||||
Towers Watson, Cl A | 3,700 | 241 | ||||||
TransDigm Group * | 3,300 | 318 | ||||||
Trinity Industries | 6,500 | 186 | ||||||
Tyco International | 28,100 | 1,348 | ||||||
Union Pacific | 29,816 | 3,083 | ||||||
United Continental | 20,500 | 368 | ||||||
United Parcel Service, Cl B | 44,641 | 3,203 | ||||||
United Technologies | 55,866 | 4,279 | ||||||
URS * | 4,500 | 163 | ||||||
UTi Worldwide | 5,100 | 79 | ||||||
Valmont Industries | 1,000 | 85 | ||||||
Verisk Analytics, Cl A * | 7,600 | 299 | ||||||
WABCO Holdings * | 4,524 | 213 |
6 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Wabtec | 3,400 | $ | 232 | |||||
Waste Connections | 6,850 | 224 | ||||||
Waste Management (A) | 28,694 | 898 | ||||||
WESCO International * | 2,000 | 102 | ||||||
WW Grainger (A) | 3,681 | 688 | ||||||
Xylem | 10,502 | 251 | ||||||
|
| |||||||
85,611 | ||||||||
|
| |||||||
Information Technology — 18.2% |
| |||||||
Accenture, Cl A | 40,100 | 2,323 | ||||||
Acme Packet * | 2,700 | 90 | ||||||
Activision Blizzard | 27,856 | 346 | ||||||
Adobe Systems * | 31,502 | 864 | ||||||
Advanced Micro | 34,134 | 194 | ||||||
Akamai Technologies * | 12,318 | 356 | ||||||
Alliance Data | 2,912 | 298 | ||||||
Altera | 19,673 | 741 | ||||||
Amdocs * (A) | 10,900 | 308 | ||||||
Amphenol, Cl A | 10,492 | 476 | ||||||
Analog Devices | 17,512 | 610 | ||||||
Ansys * | 5,200 | 322 | ||||||
AOL * (A) | 5,034 | 72 | ||||||
Apple * | 56,523 | 21,603 | ||||||
Applied Materials | 79,755 | 860 | ||||||
Ariba * | 4,900 | 149 | ||||||
Arrow Electronics * | 6,589 | 241 | ||||||
Atmel * | 24,400 | 216 | ||||||
Autodesk * | 14,137 | 482 | ||||||
Automatic Data Processing | 30,692 | 1,568 | ||||||
Avago Technologies | 12,100 | 362 | ||||||
Avnet * | 8,210 | 244 | ||||||
AVX | 1,424 | 18 | ||||||
BMC Software * | 11,189 | 399 | ||||||
Broadcom, Cl A | 33,368 | 1,013 | ||||||
Broadridge Financial Solutions | 7,573 | 171 | ||||||
Brocade Communications | 28,000 | 151 | ||||||
CA | 25,338 | 537 | ||||||
Cadence Design Systems * | 18,963 | 208 | ||||||
Ciena * | 4,114 | 50 | ||||||
Cisco Systems | 337,927 | 6,299 | ||||||
Citrix Systems * | 11,687 | 834 | ||||||
Cognizant Technology | 18,388 | 1,238 | ||||||
Computer Sciences | 10,364 | 253 | ||||||
Compuware * | 9,351 | 77 | ||||||
CoreLogic * | 4,584 | 61 | ||||||
Corning | 94,658 | 1,256 | ||||||
Cree * (A) | 6,022 | 150 | ||||||
Cypress Semiconductor | 10,200 | 195 | ||||||
Dell * | 100,543 | 1,585 | ||||||
Diebold | 4,929 | 149 | ||||||
Dolby Laboratories, Cl A * | 3,743 | 123 | ||||||
DST Systems | 1,695 | 81 | ||||||
eBay * | 71,711 | 2,122 | ||||||
EchoStar, Cl A * | 2,132 | 47 | ||||||
Electronic Arts * | 20,965 | 486 | ||||||
EMC * | 125,064 | 2,878 | ||||||
Equinix * (A) | 2,600 | 260 | ||||||
F5 Networks * | 5,038 | 570 | ||||||
Factset Research | 2,700 | 252 |
Description | Shares | Market Value ($ Thousands) | ||||||
Fairchild Semiconductor International, Cl A * | 7,600 | $ | 98 | |||||
Fidelity National Information Services | 14,690 | 354 | ||||||
First Solar * (A) | 3,600 | 172 | ||||||
Fiserv * | 9,069 | 523 | ||||||
FLIR Systems (A) | 8,700 | 234 | ||||||
Fortinet * | 6,100 | 146 | ||||||
Freescale Semiconductor | 3,500 | 44 | ||||||
Fusion-io * (A) | 2,300 | 77 | ||||||
Gartner * | 6,300 | 238 | ||||||
Genpact * | 9,000 | 140 | ||||||
Global Payments | 5,134 | 227 | ||||||
Google, Cl A * | 15,444 | 9,257 | ||||||
Harris (A) | 6,889 | 245 | ||||||
Hewlett-Packard | 120,701 | 3,374 | ||||||
IAC (A) | 5,332 | 223 | ||||||
Informatica * | 6,000 | 270 | ||||||
Ingram Micro, Cl A * | 10,823 | 195 | ||||||
Intel | 323,358 | 8,055 | ||||||
International Business Machines | 74,198 | 13,949 | ||||||
International Rectifier * | 3,355 | 71 | ||||||
Intersil, Cl A | 5,361 | 57 | ||||||
Intuit | 18,486 | 984 | ||||||
IPG Photonics * | 1,400 | 54 | ||||||
Itron * | 1,900 | 67 | ||||||
Jabil Circuit | 11,474 | 233 | ||||||
JDS Uniphase * | 16,240 | 178 | ||||||
Juniper Networks * | 31,825 | 723 | ||||||
Kla-Tencor | 10,709 | 494 | ||||||
Lam Research * | 8,591 | 350 | ||||||
Lender Processing Services | 3,614 | 69 | ||||||
Lexmark International, Cl A | 4,286 | 143 | ||||||
Linear Technology | 14,057 | 431 | ||||||
LinkedIn, Cl A * | 1,000 | 66 | ||||||
LSI * | 35,248 | 198 | ||||||
Marvell Technology | 30,600 | 432 | ||||||
Mastercard, Cl A | 6,600 | 2,472 | ||||||
Maxim Integrated | 19,200 | 492 | ||||||
MEMC Electronic | 10,338 | 43 | ||||||
Microchip Technology (A) | 11,722 | 409 | ||||||
Micron Technology * | 55,916 | 335 | ||||||
Micros Systems * | 4,900 | 231 | ||||||
Microsoft | 454,600 | 11,629 | ||||||
Molex (A) | 9,570 | 239 | ||||||
Monster Worldwide * | 5,218 | 38 | ||||||
Motorola Mobility | 15,266 | 595 | ||||||
Motorola Solutions | 17,833 | 832 | ||||||
National Instruments | 6,904 | 181 | ||||||
NCR * | 10,189 | 178 | ||||||
NetApp * (A) | 21,755 | 801 | ||||||
NeuStar, Cl A * | 3,600 | 122 | ||||||
Novellus Systems * (A) | 4,977 | 172 | ||||||
Nuance | 16,200 | 398 | ||||||
Nvidia * | 35,656 | 557 | ||||||
ON Semiconductor * | 24,800 | 187 | ||||||
Oracle | 235,767 | 7,391 | ||||||
Paychex (A) | 19,107 | 556 | ||||||
PMC - Sierra * | 10,900 | 61 | ||||||
Polycom * | 10,400 | 176 |
7 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
QLogic * | 8,380 | $ | 125 | |||||
Qualcomm | 102,650 | 5,625 | ||||||
Rackspace Hosting * (A) | 7,000 | 304 | ||||||
Red Hat * | 11,727 | 587 | ||||||
Riverbed Technology * | 10,900 | 284 | ||||||
Rovi * (A) | 7,400 | 206 | ||||||
SAIC * | 16,400 | 198 | ||||||
Salesforce.com * | 8,038 | 952 | ||||||
SanDisk * | 14,043 | 692 | ||||||
Silicon Laboratories * (A) | 2,200 | 95 | ||||||
Skyworks Solutions * | 10,100 | 165 | ||||||
Solera Holdings | 4,100 | 194 | ||||||
SunPower, Cl A * | 6,368 | 50 | ||||||
Symantec * | 44,848 | 733 | ||||||
Synopsys * | 9,482 | 265 | ||||||
Tech Data * | 2,250 | 111 | ||||||
Tellabs | 17,289 | 69 | ||||||
Teradata * | 10,589 | 574 | ||||||
Teradyne * (A) | 13,263 | 179 | ||||||
Texas Instruments (A) | 70,208 | 2,113 | ||||||
TIBCO Software * | 11,500 | 315 | ||||||
Total System Services | 10,891 | 218 | ||||||
Trimble Navigation * | 6,814 | 293 | ||||||
VeriFone Holdings * | 6,600 | 289 | ||||||
VeriSign | 9,285 | 312 | ||||||
Visa, Cl A | 31,800 | 3,084 | ||||||
Vishay Intertechnology * | 7,150 | 71 | ||||||
VistaPrint * (A) | 2,700 | 88 | ||||||
VMware, Cl A * | 5,100 | 493 | ||||||
WebMD Health, Cl A * | 3,510 | 127 | ||||||
Western Digital * | 15,730 | 457 | ||||||
Western Union | 38,928 | 679 | ||||||
Xerox | 83,596 | 682 | ||||||
Xilinx (A) | 16,757 | 548 | ||||||
Yahoo! * | 80,881 | 1,271 | ||||||
Zebra Technologies, Cl A * | 3,625 | 137 | ||||||
|
| |||||||
147,239 | ||||||||
|
| |||||||
Materials — 4.0% | ||||||||
Air Products & Chemicals | 13,394 | 1,122 | ||||||
Airgas | 4,715 | 363 | ||||||
AK Steel Holding (A) | 5,300 | 45 | ||||||
Albemarle | 6,144 | 335 | ||||||
Alcoa | 61,402 | 615 | ||||||
Allegheny Technologies | 6,997 | 351 | ||||||
Allied Nevada Gold * (A) | 4,500 | 162 | ||||||
Aptargroup | 4,000 | 203 | ||||||
Ashland | 4,476 | 249 | ||||||
Ball | 9,550 | 335 | ||||||
Bemis (A) | 6,774 | 200 | ||||||
Cabot | 3,873 | 128 | ||||||
Carpenter Technology | 2,700 | 146 | ||||||
Celanese, Cl A | 8,783 | 408 | ||||||
CF Industries Holdings | 4,366 | 610 | ||||||
Cliffs Natural Resources | 8,500 | 576 | ||||||
Commercial Metals | 4,900 | 69 | ||||||
Compass Minerals | 2,000 | 153 | ||||||
Crown Holdings * | 9,151 | 296 | ||||||
Cytec Industries | 2,381 | 112 | ||||||
Domtar | 2,500 | 196 |
Description | Shares | Market Value ($ Thousands) | ||||||
Dow Chemical | 71,170 | $ | 1,972 | |||||
E.I. Du Pont de Nemours | 56,892 | 2,715 | ||||||
Eastman Chemical | 8,084 | 320 | ||||||
Ecolab (A) | 14,891 | 849 | ||||||
FMC | 4,660 | 391 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 58,824 | 2,330 | ||||||
Greif, Cl A | 2,500 | 117 | ||||||
Huntsman | 12,129 | 133 | ||||||
International Flavors & Fragrances | 4,391 | 238 | ||||||
International Paper | 26,755 | 760 | ||||||
Intrepid Potash * (A) | 3,900 | 90 | ||||||
LyondellBasell Industries, Cl A | 18,700 | 611 | ||||||
Martin Marietta Materials (A) | 2,663 | 208 | ||||||
MeadWestvaco | 10,058 | 300 | ||||||
Molycorp * (A) | 2,800 | 95 | ||||||
Monsanto | 33,050 | 2,428 | ||||||
Mosaic | 17,078 | 901 | ||||||
Nalco Holding | 7,617 | 295 | ||||||
Newmont Mining | 29,733 | 2,048 | ||||||
Nucor | 19,390 | 765 | ||||||
Owens-Illinois * | 9,491 | 185 | ||||||
Packaging Corp of America | 7,299 | 190 | ||||||
PPG Industries | 10,123 | 888 | ||||||
Praxair (A) | 18,525 | 1,890 | ||||||
Reliance Steel & Aluminum | 4,100 | 201 | ||||||
Rock-Tenn, Cl A | 5,000 | 291 | ||||||
Rockwood Holdings * | 3,500 | 156 | ||||||
Royal Gold (A) | 3,200 | 261 | ||||||
RPM International | 9,869 | 233 | ||||||
Schnitzer Steel Industries, | 1,000 | 46 | ||||||
Scotts Miracle-Gro, Cl A (A) | 2,006 | 88 | ||||||
Sealed Air | 13,268 | 234 | ||||||
Sherwin-Williams (A) | 5,137 | 446 | ||||||
Sigma-Aldrich | 7,448 | 483 | ||||||
Silgan Holdings | 2,500 | 97 | ||||||
Solutia * | 6,200 | 99 | ||||||
Sonoco Products | 5,846 | 190 | ||||||
Southern Copper | 11,248 | 350 | ||||||
Steel Dynamics | 12,100 | 160 | ||||||
Temple-Inland | 6,575 | 209 | ||||||
Titanium Metals | 3,358 | 52 | ||||||
United States Steel (A) | 7,483 | 204 | ||||||
Valspar | 5,764 | 213 | ||||||
Vulcan Materials (A) | 7,257 | 236 | ||||||
Walter Industries | 4,000 | 287 | ||||||
Westlake Chemical (A) | 1,900 | 80 | ||||||
WR Grace * | 3,700 | 154 | ||||||
|
| |||||||
32,163 | ||||||||
|
| |||||||
Telecommunication Services — 2.9% |
| |||||||
American Tower, Cl A * | 24,822 | 1,464 | ||||||
AT&T | 360,733 | 10,454 | ||||||
CenturyLink | 37,654 | 1,413 | ||||||
Clearwire, Cl A * (A) | 8,300 | 15 | ||||||
Crown Castle International * | 17,896 | 757 | ||||||
Frontier Communications (A) | 60,695 | 347 | ||||||
Level 3 Communications * | 9,846 | 203 | ||||||
MetroPCS Communications * | 18,500 | 155 |
8 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2011
Description | Shares |
Market Value | ||||||
NII Holdings * | 9,420 | $ | 217 | |||||
SBA Communications, | 6,700 | 274 | ||||||
Sprint Nextel * | 183,644 | 496 | ||||||
Telephone & Data Systems | 5,502 | 149 | ||||||
tw telecom, Cl A * | 9,000 | 169 | ||||||
US Cellular * | 831 | 36 | ||||||
Verizon Communications | 173,815 | 6,558 | ||||||
Windstream (A) | 28,747 | 338 | ||||||
|
| |||||||
23,045 | ||||||||
|
| |||||||
Utilities — 3.8% | ||||||||
AES * | 37,224 | 450 | ||||||
AGL Resources | 4,647 | 192 | ||||||
Alliant Energy | 6,176 | 261 | ||||||
Ameren | 15,290 | 517 | ||||||
American Electric Power | 29,950 | 1,188 | ||||||
American Water Works | 11,600 | 360 | ||||||
Aqua America (A) | 9,177 | 201 | ||||||
Atmos Energy | 5,591 | 191 | ||||||
Calpine * | 23,900 | 359 | ||||||
Centerpoint Energy | 25,715 | 512 | ||||||
CMS Energy (A) | 14,042 | 294 | ||||||
Consolidated Edison (A) | 18,116 | 1,076 | ||||||
Constellation Energy Group | 12,458 | 500 | ||||||
Dominion Resources | 35,312 | 1,823 | ||||||
DTE Energy | 10,264 | 540 | ||||||
Duke Energy (A) | 83,119 | 1,733 | ||||||
Edison International | 20,079 | 789 | ||||||
Entergy (A) | 11,398 | 802 | ||||||
Exelon (A) | 41,129 | 1,822 | ||||||
FirstEnergy | 26,027 | 1,157 | ||||||
GenOn Energy * | 49,375 | 134 | ||||||
Great Plains Energy | 10,471 | 220 | ||||||
Hawaiian Electric Industries | 6,746 | 175 | ||||||
Integrys Energy Group | 4,502 | 232 | ||||||
ITC Holdings | 2,900 | 214 | ||||||
MDU Resources Group | 11,421 | 245 | ||||||
National Fuel Gas | 5,389 | 312 | ||||||
NextEra Energy | 25,173 | 1,396 | ||||||
NiSource (A) | 16,421 | 376 | ||||||
Northeast Utilities | 9,907 | 343 | ||||||
NRG Energy * | 13,800 | 272 | ||||||
NSTAR | 6,128 | 279 | ||||||
NV Energy | 15,400 | 236 | ||||||
OGE Energy | 5,568 | 295 | ||||||
ONEOK | 6,729 | 560 | ||||||
Pepco Holdings | 13,544 | 268 | ||||||
PG&E | 23,418 | 910 | ||||||
Pinnacle West Capital | 6,192 | 294 | ||||||
PPL (A) | 36,526 | 1,097 | ||||||
Progress Energy | 17,461 | 950 | ||||||
Public Service Enterprise Group | 32,052 | 1,056 | ||||||
Questar | 11,146 | 215 | ||||||
SCANA | 6,520 | 284 | ||||||
Sempra Energy | 15,123 | 804 | ||||||
Southern | 52,703 | 2,314 | ||||||
TECO Energy | 12,400 | 233 | ||||||
UGI | 6,650 | 199 | ||||||
Vectren | 6,091 | 177 | ||||||
Westar Energy (A) | 8,100 | 224 | ||||||
Wisconsin Energy | 14,798 | 491 |
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Xcel Energy | 30,981 | $ | 815 | |||||
|
| |||||||
30,387 | ||||||||
|
| |||||||
Total Common Stock |
| 784,999 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 7.1% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.140% † ** (B) | 58,757,387 | 57,962 | ||||||
|
| |||||||
Total Affiliated Partnership |
| 57,962 | ||||||
|
| |||||||
Number of Warrants | ||||||||
WARRANT — 0.0% |
| |||||||
American International Group, Expires 01/19/21 | 1 | — | ||||||
|
| |||||||
Total Warrant |
| — | ||||||
|
| |||||||
CASH EQUIVALENT — 2.5% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, | ||||||||
0.030% † ** | 20,061,199 | 20,061 | ||||||
|
| |||||||
Total Cash Equivalent |
| 20,061 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C) (D)— 0.2% |
| |||||||
U.S. Treasury Bill | ||||||||
0.020%, 03/29/12 | $ | 110 | 110 | |||||
0.010%, 02/23/12 | 700 | 700 | ||||||
0.001%, 01/12/12 | 878 | 878 | ||||||
Total U.S. Treasury Obligations |
| 1,688 | ||||||
|
| |||||||
Total Investments — 106.8% |
| $ | 864,710 | |||||
|
|
The open futures contracts held by the Fund at November 30, 2011, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index EMINI | 372 | Dec-2011 | $ | 1,218 | ||||||||
S&P Mid 400 Index E-MINI | 30 | Dec-2011 | 131 | |||||||||
|
| |||||||||||
$ | 1,349 | |||||||||||
|
|
For the period ended November 30, 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.
Percentages are based on a Net Assets of $809,470 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2011. |
† | Investment in affiliated security (see Note 5). |
9 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2011
‡ | Real Estate Investment Trust. |
(A) | This security or a partial position of this security is on loan at November 30, 2011. The total value of securities on loan at November 30, 2011 was $59,809 |
($ Thousands).
(B) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2011 was $57,962 |
($ Thousands).
(C) | The rate reported 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 & Poors
The following is a summary of the inputs used as of November 30, 2011, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | 784,999 | — | — | 784,999 | ||||||||||||
Affiliated Partnership | — | 57,962 | — | 57,962 | ||||||||||||
Warrant | — | — | — | — | ||||||||||||
Cash Equivalent | 20,061 | — | — | 20,061 | ||||||||||||
U.S. Treasury Obligations | — | 1,688 | — | 1,688 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 805,060 | $ | 59,650 | $ | — | $ | 864,710 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures | $ | 1,349 | $ | — | $ | — | $ | 1,349 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 1,349 | $ | — | $ | — | $ | 1,349 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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 Note to Financial Statements.
Amounts designated as “—” are $O or have been rounded to $O.
The accompanying notes are an integral part of the financial statements.
10 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 95.4% | ||||||||
Consumer Discretionary — 12.8% |
| |||||||
AFC Enterprises * | 28,862 | $ | 453 | |||||
American Eagle Outfitters | 57,410 | 799 | ||||||
American Greetings, Cl A (A) | 46,345 | 787 | ||||||
American Public | 60,930 | 2,335 | ||||||
Ameristar Casinos | 6,900 | 121 | ||||||
ANN * (A) | 35,824 | 840 | ||||||
Arbitron | 6,700 | 252 | ||||||
Arctic Cat * | 20,600 | 409 | ||||||
Asbury Automotive Group * | 9,000 | 178 | ||||||
Bally Technologies * | 16,600 | 636 | ||||||
Barnes & Noble (A) | 18,100 | 316 | ||||||
Belo, Cl A | 80,211 | 469 | ||||||
Big Lots * | 10,600 | 425 | ||||||
Biglari Holdings * | 1,220 | 419 | ||||||
BJ’s Restaurants * (A) | 21,720 | 1,044 | ||||||
Bob Evans Farms (A) | 24,500 | 820 | ||||||
Body Central * | 12,900 | 276 | ||||||
Boyd Gaming * (A) | 8,400 | 56 | ||||||
Bravo Brio Restaurant Group * | 28,262 | 487 | ||||||
Bridgepoint Education * (A) | 11,900 | 262 | ||||||
Brinker International (A) | 14,300 | 344 | ||||||
Brown Shoe (A) | 64,900 | 545 | ||||||
Cabela’s * (A) | 26,233 | 618 | ||||||
Callaway Golf (A) | 98,180 | 555 | ||||||
Capella Education * | 5,100 | 173 | ||||||
Career Education * | 14,600 | 103 | ||||||
Casual Male Retail | 106,000 | 342 | ||||||
Cato, Cl A (A) | 33,700 | 862 | ||||||
Cheesecake Factory * (A) | 3,800 | 108 | ||||||
Chico’s FAS | 36,880 | 384 | ||||||
Childrens Place Retail | 11,220 | 604 | ||||||
Christopher & Banks | 25,600 | 73 | ||||||
Coinstar * (A) | 12,900 | 551 | ||||||
Coldwater Creek * (A) | 46,900 | 41 | ||||||
Cooper Tire & Rubber | 83,663 | 1,121 | ||||||
Core-Mark Holding | 13,055 | 504 | ||||||
Cracker Barrel Old Country | 1,800 | 86 | ||||||
CROCS * | 16,900 | 262 | ||||||
CSS Industries | 7,600 | 162 | ||||||
Deckers Outdoor * | 6,240 | 680 | ||||||
Denny’s * (A) | 59,300 | 202 | ||||||
Destination Maternity | 10,800 | 158 | ||||||
Dick’s Sporting Goods | 29,285 | 1,151 | ||||||
Dillard’s, Cl A | 1,500 | 71 | ||||||
DreamWorks Animation SKG, | 29,300 | 544 | ||||||
Eastman Kodak * (A) | 38,900 | 42 | ||||||
Ethan Allen Interiors (A) | 55,864 | 1,134 | ||||||
EW Scripps, Cl A * (A) | 21,800 | 185 | ||||||
Express | 14,500 | 329 | ||||||
Federal Mogul, Cl A * | 13,400 | 196 | ||||||
Finish Line, Cl A (A) | 35,500 | 748 | ||||||
Foot Locker | 7,400 | 175 | ||||||
Francesca’s Holdings * (A) | 15,600 | 257 | ||||||
Fred’s, Cl A (A) | 35,200 | 474 | ||||||
Gaylord Entertainment * | 8,000 | 170 | ||||||
Gentex (A) | 16,600 | 489 |
Description | Shares | Market Value ($ Thousands) | ||||||
G-III Apparel Group * | 7,800 | $ | 144 | |||||
hhgregg * (A) | 39,562 | 627 | ||||||
Hibbett Sports * (A) | 21,610 | 984 | ||||||
Hillenbrand | 12,700 | 289 | ||||||
HomeAway * (A) | 14,800 | 387 | ||||||
HOT Topic | 71,400 | 507 | ||||||
Hyatt Hotels, Cl A * | 8,311 | 297 | ||||||
International Speedway, Cl A | 15,010 | 369 | ||||||
ITT Educational Services * (A) | 4,900 | 269 | ||||||
Jack in the Box * | 28,000 | 574 | ||||||
Jakks Pacific (A) | 8,200 | 157 | ||||||
Jones Group (A) | 71,845 | 779 | ||||||
Journal Communications, | 56,700 | 238 | ||||||
K12 * (A) | 20,990 | 524 | ||||||
Kirkland’s * (A) | 21,100 | 263 | ||||||
La-Z-Boy, Cl Z * (A) | 71,000 | 703 | ||||||
Libbey * (A) | 79,400 | 965 | ||||||
Life Time Fitness * (A) | 55,579 | 2,264 | ||||||
Lincoln Educational | 31,300 | 230 | ||||||
Live Nation * (A) | 73,202 | 632 | ||||||
Liz Claiborne * (A) | 150,900 | 1,248 | ||||||
LKQ * | 16,680 | 509 | ||||||
Lumber Liquidators | 35,800 | 607 | ||||||
Matthews International, Cl A | 29,984 | 995 | ||||||
Mattress Firm Holding * | 9,600 | 212 | ||||||
McClatchy, Cl A * (A) | 25,600 | 30 | ||||||
MDC Partners, Cl A | 52,400 | 760 | ||||||
Men’s Wearhouse | 34,898 | 971 | ||||||
Meredith (A) | 33,420 | 969 | ||||||
Modine Manufacturing * | 5,600 | 54 | ||||||
Monro Muffler Brake (A) | 1,550 | 62 | ||||||
Morgans Hotel Group * | 94,300 | 586 | ||||||
Morningstar (A) | 6,500 | 392 | ||||||
National CineMedia | 165,175 | 2,154 | ||||||
New Frontier Media * | 28,000 | 31 | ||||||
Orient-Express Hotels, Cl A * | 60,042 | 432 | ||||||
Oxford Industries (A) | 22,800 | 865 | ||||||
Pacific Sunwear of California * | 81,500 | 113 | ||||||
Pandora Media * (A) | 28,794 | 293 | ||||||
Panera Bread, Cl A * | 3,900 | 559 | ||||||
Papa John’s International * | 5,400 | 205 | ||||||
Peet’s Coffee & Tea * (A) | 800 | 46 | ||||||
Penn National Gaming * | 1,200 | 45 | ||||||
Penske Auto Group (A) | 18,200 | 369 | ||||||
PEP Boys-Manny Moe & | 39,271 | 446 | ||||||
PetMed Express (A) | 41,500 | 387 | ||||||
PF Chang’s China Bistro | 10,700 | 325 | ||||||
Pier 1 Imports * (A) | 38,700 | 526 | ||||||
Pinnacle Entertainment * (A) | 85,315 | 902 | ||||||
PulteGroup * (A) | 14,800 | 91 | ||||||
Quiksilver * | 267,328 | 826 | ||||||
RadioShack (A) | 48,800 | 560 | ||||||
ReachLocal * (A) | 89,475 | 725 | ||||||
Regal Entertainment Group, | 33,500 | 477 | ||||||
Regis (A) | 115,606 | 1,875 | ||||||
Rent-A-Center, Cl A | 43,400 | 1,560 | ||||||
Ruby Tuesday * | 31,400 | 230 | ||||||
Saks * (A) | 148,153 | 1,410 |
1 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Scholastic (A) | 28,600 | $ | 774 | |||||
School Specialty * (A) | 64,921 | 272 | ||||||
Scientific Games, Cl A * | 57,808 | 497 | ||||||
Select Comfort * | 41,840 | 775 | ||||||
Service International | 27,900 | 286 | ||||||
Shutterfly * (A) | 37,626 | 1,019 | ||||||
Sinclair Broadcast Group, Cl A (A) | 43,300 | 448 | ||||||
Six Flags Entertainment (A) | 5,500 | 209 | ||||||
Skechers U.S.A., Cl A * (A) | 45,900 | 618 | ||||||
Skullcandy * (A) | 83,551 | 1,238 | ||||||
SodaStream International * (A) | 16,160 | 482 | ||||||
Sotheby’s | 15,500 | 487 | ||||||
Stage Stores | 20,600 | 258 | ||||||
Steiner Leisure * | 5,300 | 249 | ||||||
Steven Madden * | 13,650 | 487 | ||||||
Stewart Enterprises, Cl A (A) | 64,000 | 398 | ||||||
Strayer Education (A) | 1,800 | 175 | ||||||
Sturm Ruger (A) | 18,700 | 601 | ||||||
Superior Industries International | 20,500 | 334 | ||||||
Teavana Holdings * (A) | 27,860 | 556 | ||||||
Tempur-Pedic International * | 7,760 | 424 | ||||||
Tenneco * | 32,800 | 950 | ||||||
Tesla Motors * (A) | 46,192 | 1,512 | ||||||
Texas Roadhouse, Cl A (A) | 42,075 | 563 | ||||||
Tractor Supply | 7,040 | 509 | ||||||
True Religion Apparel * | 43,769 | 1,541 | ||||||
Ulta Salon Cosmetics & | 6,580 | 458 | ||||||
Unifi * | 9,700 | 75 | ||||||
Universal Electronics * | 10,800 | 176 | ||||||
Universal Technical Institute * | 8,800 | 112 | ||||||
Vail Resorts (A) | 16,500 | 734 | ||||||
Vera Bradley * (A) | 39,700 | 1,524 | ||||||
Warnaco Group * | 15,500 | 786 | ||||||
Wet Seal, Cl A * | 152,300 | 526 | ||||||
Whistler Blackcomb Holdings | 16,500 | 158 | ||||||
Winnebago Industries * (A) | 3,400 | 22 | ||||||
WMS Industries * | 38,768 | 813 | ||||||
Zumiez * (A) | 83,386 | 1,962 | ||||||
|
| |||||||
82,884 | ||||||||
|
| |||||||
Consumer Staples — 2.4% | ||||||||
Andersons | 3,800 | 168 | ||||||
B&G Foods, Cl A (A) | 18,200 | 404 | ||||||
Cal-Maine Foods (A) | 13,534 | 458 | ||||||
Casey’s General | 12,306 | 657 | ||||||
Central Garden and Pet, | 38,948 | 346 | ||||||
Central Garden and Pet * | 34,504 | 298 | ||||||
Chefs’ Warehouse * | 29,140 | 390 | ||||||
Chiquita Brands | 117,500 | 976 | ||||||
Coca-Cola Bottling | 5,900 | 330 | ||||||
Corn Products International | 24,479 | 1,273 | ||||||
Cosan Industria e Comercio (Brazil) | 9,700 | 145 | ||||||
Darling International * | 24,000 | 345 | ||||||
Dole Food * (A) | 85,085 | 719 | ||||||
Elizabeth Arden * | 5,400 | 204 | ||||||
Fresh Del Monte Produce | 43,500 | 1,091 | ||||||
Fresh Market * (A) | 35,350 | 1,387 | ||||||
Imperial Sugar | 2,400 | 11 | ||||||
Ingles Markets, Cl A | 11,100 | 171 |
Description | Shares | Market Value ($ Thousands) | ||||||
J&J Snack Foods | 8,180 | $ | 424 | |||||
Lancaster Colony (A) | 21,751 | 1,531 | ||||||
Medifast * (A) | 9,600 | 133 | ||||||
Nash Finch | 14,600 | 405 | ||||||
Omega Protein * | 22,000 | 186 | ||||||
Pantry * | 70,473 | 872 | ||||||
Prestige Brands | 59,795 | 591 | ||||||
Rite Aid * (A) | 132,800 | 162 | ||||||
Sanderson Farms (A) | 7,376 | 380 | ||||||
Spartan Stores (A) | 46,956 | 847 | ||||||
Spectrum Brands Holdings * | 12,800 | 359 | ||||||
Universal | 4,900 | 232 | ||||||
USANA Health | 1,400 | 48 | ||||||
Weis Markets | 5,700 | 228 | ||||||
Winn-Dixie Stores * (A) | 19,600 | 108 | ||||||
|
| |||||||
15,879 | ||||||||
|
| |||||||
Energy — 7.4% | ||||||||
Alberta Oilsands * | 611,100 | 96 | ||||||
Alon USA Energy | 9,600 | 82 | ||||||
Approach Resources * (A) | 29,500 | 923 | ||||||
Basic Energy Services * | 3,400 | 64 | ||||||
Berry Petroleum, Cl A (A) | 33,268 | 1,460 | ||||||
Bill Barrett * | 8,715 | 340 | ||||||
BPZ Resources * (A) | 93,300 | 298 | ||||||
C&J Energy Services * (A) | 9,500 | 187 | ||||||
Cabot Oil & Gas | 3,200 | 283 | ||||||
Cal Dive International * | 80,683 | 190 | ||||||
Callon Petroleum * | 41,600 | 223 | ||||||
CARBO Ceramics (A) | 4,100 | 584 | ||||||
Carrizo Oil & Gas * (A) | 44,980 | 1,280 | ||||||
Clayton Williams | 3,400 | 251 | ||||||
Cloud Peak Energy * (A) | 48,400 | 1,034 | ||||||
Complete Production | 28,875 | 1,007 | ||||||
Comstock Resources * (A) | 145,813 | 2,425 | ||||||
Contango Oil & Gas * | 2,500 | 158 | ||||||
CVR Energy * | 16,300 | 297 | ||||||
Delek US Holdings (A) | 21,200 | 233 | ||||||
Dresser-Rand Group * | 22,597 | 1,177 | ||||||
Dril-Quip * | 24,620 | 1,751 | ||||||
Energy Partners * | 38,700 | 535 | ||||||
Forest Oil * | 36,300 | 582 | ||||||
GeoMet * | 110,150 | 118 | ||||||
Global Geophysical | 44,161 | 307 | ||||||
Global Industries * | 13,500 | 108 | ||||||
Golar LNG | 1,100 | 48 | ||||||
Goodrich Petroleum * (A) | 190,182 | 2,773 | ||||||
Green Plains Renewable | 16,900 | 178 | ||||||
Gulf Island Fabrication | 9,500 | 270 | ||||||
Gulfmark Offshore, Cl A * | 14,300 | 641 | ||||||
Harvest Natural | 17,400 | 159 | ||||||
Helix Energy Solutions | 46,400 | 823 | ||||||
Karoon Gas Australia * | 33,141 | 160 | ||||||
Key Energy Services * | 98,146 | 1,482 | ||||||
Kinder Morgan Escrow * | 58,213 | — | ||||||
Lone Pine Resources * | 111,046 | 832 | ||||||
Magnum Hunter | 186,425 | 897 | ||||||
Matrix Service * | 83,600 | 782 | ||||||
Newpark Resources * (A) | 60,055 | 538 | ||||||
Northern Oil And Gas * | 8,505 | 208 |
2 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Oasis Petroleum * (A) | 28,090 | $ | 856 | |||||
Oceaneering International | 13,020 | 619 | ||||||
Oil States International * | 6,400 | 482 | ||||||
Oilsands Quest * (A) | 906,800 | 162 | ||||||
Parker Drilling * | 125,500 | 873 | ||||||
Patriot Coal * (A) | 12,500 | 130 | ||||||
Penn Virginia (A) | 66,800 | 354 | ||||||
Petroleum Development * (A) | 43,025 | 1,444 | ||||||
Petroquest Energy * (A) | 47,200 | 324 | ||||||
Pioneer Drilling * | 28,500 | 313 | ||||||
Porto Energy * | 490,600 | 116 | ||||||
Quicksilver Resources * (A) | 222,367 | 1,801 | ||||||
Resolute Energy * (A) | 37,340 | 506 | ||||||
Rosetta Resources * | 1,200 | 65 | ||||||
Scorpio Tankers * (A) | 239,257 | 1,593 | ||||||
SEACOR Holdings | 12,100 | 1,050 | ||||||
SemGroup, Cl A * | 2,100 | 59 | ||||||
SM Energy | 7,190 | 572 | ||||||
StealthGas * | 38,100 | 147 | ||||||
Stone Energy * | 14,000 | 396 | ||||||
Superior Energy | 38,000 | 1,129 | ||||||
Swift Energy * (A) | 45,857 | 1,348 | ||||||
Targa Resources (A) | 26,760 | 925 | ||||||
Tesco (A) | 58,495 | 780 | ||||||
Tesoro * | 15,500 | 370 | ||||||
Tetra Technologies * | 39,200 | 360 | ||||||
Tidewater (A) | 13,800 | 696 | ||||||
Triangle Petroleum * (A) | 27,500 | 158 | ||||||
Unit * | 2,400 | 121 | ||||||
USEC * (A) | 36,800 | 52 | ||||||
Vaalco Energy * | 124,700 | 786 | ||||||
Vantage Drilling * (A) | 48,400 | 58 | ||||||
Venoco * | 11,200 | 104 | ||||||
W&T Offshore (A) | 35,200 | 705 | ||||||
Warren Resources * | 52,200 | 149 | ||||||
Western Refining * (A) | 27,100 | 322 | ||||||
World Fuel Services (A) | 51,223 | 2,196 | ||||||
|
| |||||||
47,905 | ||||||||
|
| |||||||
Financials — 18.7% | ||||||||
1st Source | 6,200 | 156 | ||||||
Acadia Realty Trust ‡ | 3,700 | 72 | ||||||
Advance America Cash Advance Centers | 63,000 | 537 | ||||||
Affiliated Managers Group * | 14,490 | 1,370 | ||||||
Agree Realty ‡ (A) | 26,200 | 639 | ||||||
Alexander’s ‡ | 200 | 79 | ||||||
Alliance Financial | 3,900 | 116 | ||||||
Allied World Assurance Holdings | 4,800 | 286 | ||||||
Alterra Capital Holdings (A) | 62,915 | 1,444 | ||||||
American Campus | 7,700 | 303 | ||||||
American Capital | 24,600 | 706 | ||||||
American Equity Investment Life Holding (A) | 15,900 | 176 | ||||||
Anworth Mortgage | 75,500 | 478 | ||||||
Apartment Investment & Management, Cl A ‡ | 38,131 | 831 | ||||||
Apollo Investments * | 14,400 | 104 | ||||||
Ares Capital | 1,950 | 30 | ||||||
Argo Group International Holdings | 7,100 | 208 |
Description | Shares | Market Value ($ Thousands) | ||||||
Ashford Hospitality | 21,500 | $ | 171 | |||||
Aspen Insurance Holdings | 7,400 | 196 | ||||||
Associated Banc | 14,000 | 146 | ||||||
Associated Estates Realty ‡ | 4,300 | 69 | ||||||
AvalonBay | 8,612 | 1,075 | ||||||
Banco Latinoamericano de Comercio Exterior, Cl E | 29,500 | 483 | ||||||
Bancorpsouth (A) | 27,067 | 265 | ||||||
Bank of Hawaii (A) | 5,400 | 230 | ||||||
Bank of the Ozarks (A) | 26,205 | 743 | ||||||
Berkshire Hills Bancorp | 17,305 | 345 | ||||||
BGC Partners, Cl A (A) | 72,900 | 461 | ||||||
BioMed Realty Trust ‡ | 39,815 | 709 | ||||||
Boston Private Financial | 192,632 | 1,497 | ||||||
Boston Properties ‡ | 7,978 | 761 | ||||||
Brandywine Realty Trust ‡ | 95,630 | 833 | ||||||
Brasil Brokers Participacoes | 30,800 | 104 | ||||||
BRE Properties ‡ | 16,600 | 808 | ||||||
Camden National | 4,600 | 136 | ||||||
Campus Crest | 84,700 | 854 | ||||||
CapitalSource | 89,708 | 579 | ||||||
CapLease ‡ | 60,000 | 249 | ||||||
Capstead Mortgage ‡ | 39,700 | 495 | ||||||
Cardinal Financial | 38,537 | 412 | ||||||
Cash Store Financial Services | 47,733 | 305 | ||||||
Cathay General | 11,200 | 155 | ||||||
CBL & Associates | 74,606 | 1,066 | ||||||
Central Pacific Financial * | 630 | 8 | ||||||
Chatham Lodging Trust ‡ | 13,700 | 147 | ||||||
Chemical Financial | 3,000 | 62 | ||||||
Citizens Republic Bancorp * | 7,450 | 81 | ||||||
City Holding (A) | 4,900 | 160 | ||||||
CNO Financial Group * (A) | 166,100 | 1,050 | ||||||
CoBiz Financial | 75,280 | 401 | ||||||
Cohen & Steers (A) | 25,900 | 705 | ||||||
Colonial Properties Trust ‡ | 35,300 | 700 | ||||||
Columbia Banking System | 18,300 | 329 | ||||||
CommonWealth ‡ | 42,145 | 706 | ||||||
Community Bank | 11,300 | 299 | ||||||
Community Trust Bancorp | 6,800 | 192 | ||||||
Corporate Office Properties | 24,750 | 516 | ||||||
CreXus Investment ‡ (A) | 76,900 | 751 | ||||||
CubeSmart ‡ | 7,500 | 75 | ||||||
CVB Financial (A) | 68,405 | 672 | ||||||
CYS Investments ‡ (A) | 19,500 | 256 | ||||||
Delphi Financial Group, | 26,300 | 723 | ||||||
DFC Global * | 9,850 | 179 | ||||||
DiamondRock Hospitality ‡ | 4,992 | 44 | ||||||
Dime Community Bancshares | 20,200 | 239 | ||||||
Douglas Emmett ‡ (A) | 21,000 | 378 | ||||||
Dynex Capital ‡ | 17,300 | 154 | ||||||
Eagle Bancorp * (A) | 31,269 | 464 | ||||||
EastGroup Properties ‡ | 6,400 | 272 | ||||||
Eaton Vance (A) | 23,206 | 558 | ||||||
Education Realty Trust ‡ | 103,973 | 969 | ||||||
Employers Holdings | 68,042 | 1,182 | ||||||
Encore Bancshares * (A) | 33,800 | 408 | ||||||
Encore Capital Group * | 30,003 | 654 | ||||||
Endurance Specialty Holdings | 46,616 | 1,686 |
3 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Entertainment Properties | 4,000 | $ | 179 | |||||
Equity Lifestyle | 2,400 | 148 | ||||||
Equity One ‡ (A) | 42,990 | 718 | ||||||
Equity Residential ‡ | 28,587 | 1,578 | ||||||
ESSA Bancorp (A) | 19,100 | 212 | ||||||
Excel Trust ‡ (A) | 41,013 | 451 | ||||||
Extra Space Storage ‡ | 24,350 | 587 | ||||||
FBL Financial Group, | 13,900 | 472 | ||||||
FBR Capital Markets * (A) | 187,700 | 355 | ||||||
Federal Realty Investment | 2,855 | 252 | ||||||
Federated Investors, Cl B (A) | 31,523 | 500 | ||||||
Financial Engines * (A) | 78,891 | 1,733 | ||||||
First Commonwealth Financial | 88,800 | 413 | ||||||
First Financial Bancorp | 34,811 | 553 | ||||||
First Financial Holdings | 8,100 | 66 | ||||||
First Horizon National (A) | 91,013 | 701 | ||||||
First Industrial Realty | 5,700 | 54 | ||||||
First Merchants | 4,100 | 33 | ||||||
First Midwest Bancorp | 91,271 | 867 | ||||||
First Potomac Realty | 38,525 | 490 | ||||||
FirstMerit (A) | 90,547 | 1,323 | ||||||
Flushing Financial | 30,600 | 396 | ||||||
FNB (Pennsylvania) (A) | 17,000 | 181 | ||||||
Fulton Financial | 12,200 | 114 | ||||||
Gain Capital Holdings (A) | 26,300 | 175 | ||||||
General Growth Properties ‡ | 66,926 | 942 | ||||||
Getty Realty ‡ (A) | 4,000 | 64 | ||||||
GFI Group | 39,000 | 166 | ||||||
Gladstone Commercial ‡ | 10,900 | 186 | ||||||
Global Indemnity, Cl A * | 33,100 | 624 | ||||||
Government Properties Income Trust ‡ (A) | 23,900 | 520 | ||||||
Great American Group * | 115,882 | 13 | ||||||
Greenhill (A) | 11,380 | 439 | ||||||
Hancock Holding (A) | 46,480 | 1,419 | ||||||
Hanover Insurance Group | 14,040 | 507 | ||||||
Hatteras Financial ‡ (A) | 30,000 | 804 | ||||||
HCP ‡ (A) | 36,948 | 1,428 | ||||||
Health Care REIT ‡ (A) | 11,850 | 595 | ||||||
Healthcare Realty Trust ‡ | 5,700 | 100 | ||||||
Highwoods Properties ‡ | 38,300 | 1,105 | ||||||
Home Bancshares | 28,000 | 696 | ||||||
Home Properties ‡ (A) | 9,900 | 544 | ||||||
Horace Mann Educators | 91,654 | 1,119 | ||||||
Hospitality Properties | 8,200 | 181 | ||||||
Host Hotels & | 66,309 | 938 | ||||||
Hudson Valley Holding | 8,126 | 165 | ||||||
Iberiabank | 23,832 | 1,187 | ||||||
Infinity Property & Casualty | 35,510 | 2,039 | ||||||
Inland Real Estate ‡ | 23,500 | 174 | ||||||
International | 42,000 | 751 | ||||||
Invesco Mortgage | 4,400 | 69 | ||||||
Investment Technology | 33,500 | 357 | ||||||
Investors Real Estate | 6,900 | 48 | ||||||
iStar Financial ‡ * (A) | 8,400 | 47 | ||||||
Jones Lang LaSalle | 11,300 | 728 | ||||||
Kemper | 12,000 | 331 | ||||||
Kennedy-Wilson | 84,100 | 930 | ||||||
Knight Capital Group, | 46,300 | 585 | ||||||
LaSalle Hotel Properties ‡ | 25,430 | 595 |
Description | Shares | Market Value ($ Thousands) | ||||||
Lexington Realty | 72,000 | $ | 546 | |||||
LPL Investment | 32,167 | 965 | ||||||
LTC Properties ‡ | 17,600 | 506 | ||||||
Macerich ‡ | 11,086 | 555 | ||||||
Mack-Cali Realty ‡ | 24,688 | 629 | ||||||
Maiden Holdings | 130,100 | 1,132 | ||||||
MainSource Financial | 9,700 | 80 | ||||||
MarketAxess Holdings | 49,961 | 1,446 | ||||||
MB Financial | 11,300 | 192 | ||||||
MCG Capital (A) | 116,400 | 514 | ||||||
Meadowbrook Insurance | 208,536 | 2,127 | ||||||
Medallion Financial | 20,200 | 237 | ||||||
Medical Properties Trust ‡ | 14,100 | 135 | ||||||
MFA Mortgage Investments ‡ | 119,611 | 823 | ||||||
Mid-America Apartment | 23,541 | 1,349 | ||||||
Monmouth Real Estate | 21,100 | 179 | ||||||
Montpelier Re Holdings | 17,700 | 301 | ||||||
MSCI, Cl A * | 27,024 | 912 | ||||||
Nara Bancorp * | 6,700 | 63 | ||||||
National Financial | 31,945 | 441 | ||||||
National Health | 2,500 | 106 | ||||||
National Penn | 84,858 | 707 | ||||||
National Retail | 25,305 | 670 | ||||||
NBT Bancorp | 4,800 | 102 | ||||||
Nelnet, Cl A | 70,300 | 1,611 | ||||||
Northwest Bancshares (A) | 10,700 | 133 | ||||||
OceanFirst Financial | 5,950 | 77 | ||||||
Ocwen Financial * | 63,600 | 838 | ||||||
Old National Bancorp | 62,008 | 696 | ||||||
Omega Healthcare | 7,800 | 140 | ||||||
OmniAmerican Bancorp * | 7,000 | 104 | ||||||
Oriental Financial Group | 14,600 | 160 | ||||||
PacWest Bancorp (A) | 40,216 | 751 | ||||||
Park National (A) | 3,200 | 195 | ||||||
Parkway Properties ‡ (A) | 16,400 | 166 | ||||||
Pebblebrook Hotel Trust ‡ | 5,719 | 106 | ||||||
PennantPark Investment | 70,935 | 752 | ||||||
Pennsylvania Real Estate Investment Trust ‡ (A) | 24,400 | 228 | ||||||
PennyMac Mortgage Investment Trust ‡ | 15,300 | 247 | ||||||
PHH * | 9,100 | 140 | ||||||
PICO Holdings * | 19,558 | 433 | ||||||
Piedmont Office Realty Trust, | 22,157 | 369 | ||||||
Platinum Underwriters Holdings | 42,732 | 1,471 | ||||||
PMI Group * (A) | 63,400 | 1 | ||||||
Post Properties ‡ | 4,300 | 172 | ||||||
Potlatch ‡ (A) | 18,800 | 605 | ||||||
Presidential Life | 9,773 | 100 | ||||||
Primerica * | 2,200 | 51 | ||||||
ProAssurance | 20,871 | 1,662 | ||||||
ProLogis ‡ | 46,267 | 1,287 | ||||||
Prosperity Bancshares (A) | 16,940 | 677 | ||||||
Provident Financial Services | 20,700 | 271 | ||||||
PS Business Parks ‡ | 5,600 | 295 | ||||||
Public Storage ‡ | 5,521 | 728 | ||||||
RAIT Financial Trust ‡ (A) | 6,566 | 29 |
4 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Ramco-Gershenson Properties ‡ (A) | 42,000 | $ | 357 | |||||
Redwood Trust ‡ (A) | 7,500 | 78 | ||||||
Regency Centers ‡ (A) | 16,465 | 612 | ||||||
Reinsurance Group of America, Cl A | 13,516 | 696 | ||||||
Republic Bancorp, Cl A | 11,400 | 242 | ||||||
Retail Opportunity Investments ‡ | 6,500 | 77 | ||||||
Sabra Health Care REIT ‡ | 9,666 | 102 | ||||||
Safeguard Scientifics * | 32,958 | 555 | ||||||
Safety Insurance Group | 4,000 | 167 | ||||||
Sandy Spring Bancorp | 18,747 | 324 | ||||||
Saul Centers ‡ | 900 | 31 | ||||||
SCBT Financial | 13,900 | 396 | ||||||
Selective Insurance Group | 9,900 | 163 | ||||||
Signature Bank NY * | 23,191 | 1,355 | ||||||
Simmons First National, Cl A | 15,080 | 400 | ||||||
Simon Property Group ‡ | 13,391 | 1,665 | ||||||
SL Green Realty ‡ (A) | 13,645 | 898 | ||||||
Solar Capital | 5,400 | 124 | ||||||
Sovran Self Storage ‡ | 4,000 | 167 | ||||||
Starwood Property Trust ‡ | 19,100 | 341 | ||||||
Stifel Financial * | 30,940 | 981 | ||||||
Summit Hotel Properties ‡ | 17,100 | 144 | ||||||
Sun Communities ‡ | 1,000 | 36 | ||||||
Sunstone Hotel Investors ‡ * | 43,000 | 328 | ||||||
Susquehanna Bancshares (A) | 80,080 | 634 | ||||||
SVB Financial Group * | 12,480 | 587 | ||||||
SWS Group | 27,800 | 178 | ||||||
Symetra Financial | 11,900 | 112 | ||||||
Synovus Financial (A) | 136,955 | 204 | ||||||
Tanger Factory Outlet Centers ‡ | 7,600 | 215 | ||||||
TCF Financial (A) | 69,733 | 701 | ||||||
THL Credit | 29,300 | 352 | ||||||
TICC Capital | 9,300 | 83 | ||||||
Titanium | 122,200 | 79 | ||||||
Titanium Asset Management * | 10,500 | 4 | ||||||
Tompkins Financial (A) | 4,200 | 168 | ||||||
Tower Group (A) | 19,800 | 416 | ||||||
UMB Financial | 4,000 | 143 | ||||||
Union First Market Bankshares | 15,200 | 199 | ||||||
United Financial Bancorp | 15,900 | 268 | ||||||
Universal Health Realty Income Trust ‡ | 1,300 | 48 | ||||||
Uranium Participation * | 21,400 | 125 | ||||||
Urstadt Biddle Properties, Cl A ‡ | 16,500 | 278 | ||||||
Validus Holdings (A) | 34,400 | 1,035 | ||||||
Value | 119,600 | 134 | ||||||
Ventas ‡ (A) | 19,340 | 1,020 | ||||||
ViewPoint Financial Group | 46,900 | 602 | ||||||
Virginia Commerce Bancorp * (A) | 46,100 | 308 | ||||||
Walter Investment Management | 11,277 | 252 | ||||||
Washington Federal | 3,900 | 51 | ||||||
Washington Real Estate Investment Trust ‡ (A) | 5,400 | 147 | ||||||
Webster Financial | 48,515 | 956 | ||||||
Western Alliance Bancorp * | 162,835 | 1,024 | ||||||
Winthrop Realty Trust ‡ | 41,400 | 387 | ||||||
WisdomTree Investments * (A) | 125,550 | 782 |
Description | Shares | Market Value ($ Thousands) | ||||||
World Acceptance * (A) | 4,100 | $ | 281 | |||||
WSFS Financial | 12,200 | 446 | ||||||
Zions Bancorporation (A) | 66,739 | 1,074 | ||||||
|
| |||||||
121,393 | ||||||||
|
| |||||||
Health Care — 11.3% | ||||||||
ABIOMED * (A) | 15,200 | 306 | ||||||
Accuray * (A) | 80,300 | 322 | ||||||
Achillion Pharmaceuticals * (A) | 48,379 | 322 | ||||||
Acorda Therapeutics * | 14,200 | 329 | ||||||
Aegerion Pharmaceuticals * | 24,600 | 394 | ||||||
Affymetrix * | 59,500 | 269 | ||||||
Alere * (A) | 28,900 | 676 | ||||||
Align Technology * (A) | 32,781 | 803 | ||||||
Alkermes * | 18,400 | 281 | ||||||
Allos Therapeutics * | 81,300 | 108 | ||||||
Almost Family * (A) | 16,300 | 244 | ||||||
Amarin ADR * (A) | 44,810 | 313 | ||||||
AMERIGROUP * | 9,800 | 560 | ||||||
AMN Healthcare Services * | 53,960 | 248 | ||||||
Amsurg, Cl A * | 35,608 | 929 | ||||||
Ardea Biosciences * (A) | 8,450 | 158 | ||||||
Arena Pharmaceuticals * (A) | 127,482 | 201 | ||||||
Ariad Pharmaceuticals * (A) | 70,910 | 857 | ||||||
Arqule * | 39,780 | 223 | ||||||
Arthrocare * | 12,300 | 367 | ||||||
athenahealth * (A) | 17,388 | 1,033 | ||||||
AVEO Pharmaceuticals * (A) | 37,880 | 640 | ||||||
BioMarin Pharmaceutical * (A) | 14,955 | 518 | ||||||
BioScrip * | 14,800 | 91 | ||||||
Bruker * | 48,000 | 601 | ||||||
Cambrex * | 47,400 | 328 | ||||||
Catalyst Health Solutions * | 13,100 | 681 | ||||||
Centene * (A) | 21,280 | 824 | ||||||
Cepheid * | 12,920 | 443 | ||||||
Charles River Laboratories International * | 4,800 | 136 | ||||||
Chemed | 10,100 | 542 | ||||||
Community Health Systems * | 7,900 | 157 | ||||||
Computer Programs & Systems | 2,500 | 113 | ||||||
Conmed * | 45,543 | 1,197 | ||||||
Cross Country Healthcare * | 18,000 | 93 | ||||||
CryoLife * | 30,700 | 127 | ||||||
Cubist Pharmaceuticals * (A) | 50,675 | 1,955 | ||||||
Depomed * (A) | 15,900 | 77 | ||||||
DynaVox, Cl A * | 78,344 | 311 | ||||||
Emergent Biosolutions * | 37,927 | 646 | ||||||
Emeritus * (A) | 47,900 | 762 | ||||||
Ensign Group (A) | 17,100 | 405 | ||||||
Enzon Pharmaceuticals * (A) | 23,200 | 164 | ||||||
eResearch Technology * | 131,000 | 600 | ||||||
Five Star Quality Care * | 28,700 | 74 | ||||||
Fluidigm * | 35,764 | 482 | ||||||
Gen-Probe * | 11,401 | 718 | ||||||
Greatbatch * | 50,320 | 1,113 | ||||||
Haemonetics * (A) | 10,933 | 648 | ||||||
Halozyme Therapeutics * | 71,200 | 675 | ||||||
Hansen Medical * (A) | 196,055 | 467 | ||||||
Health Net * | 24,400 | 760 | ||||||
Healthsouth * (A) | 53,734 | 929 | ||||||
Healthspring * | 24,110 | 1,317 | ||||||
Healthways * | 34,600 | 225 |
5 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
HeartWare International * (A) | 8,117 | $ | 560 | |||||
Hill-Rom Holdings | 21,000 | 664 | ||||||
Hi-Tech Pharmacal * | 22,800 | 947 | ||||||
HMS Holdings * | 28,040 | 850 | ||||||
ICON ADR * | 13,685 | 233 | ||||||
ICU Medical * (A) | 12,100 | 533 | ||||||
Idenix Pharmaceuticals * (A) | 45,100 | 343 | ||||||
Impax Laboratories * | 22,200 | 447 | ||||||
Imris * | 118,220 | 345 | ||||||
Incyte * (A) | 41,545 | 572 | ||||||
Insulet * (A) | 80,300 | 1,492 | ||||||
InterMune * (A) | 8,930 | 162 | ||||||
Invacare (A) | 19,223 | 395 | ||||||
IPC The Hospitalist * | 28,135 | 1,297 | ||||||
Ironwood Pharmaceuticals, Cl A * | 16,860 | 204 | ||||||
ISTA Pharmaceuticals * | 101,500 | 381 | ||||||
Kensey Nash * | 4,100 | 104 | ||||||
Kindred Healthcare * (A) | 14,800 | 184 | ||||||
LHC Group * | 17,200 | 239 | ||||||
LifePoint Hospitals * (A) | 5,400 | 212 | ||||||
Magellan Health Services * | 20,170 | 1,022 | ||||||
MAKO Surgical * (A) | 12,100 | 348 | ||||||
MAP Pharmaceuticals * | 16,950 | 233 | ||||||
Masimo | 54,869 | 1,134 | ||||||
Medical Action Industries * | 74,800 | 355 | ||||||
Medicines * | 25,400 | 480 | ||||||
Medicis Pharmaceutical, Cl A | 15,100 | 493 | ||||||
Mednax * | 18,075 | 1,218 | ||||||
MELA Sciences * (A) | 46,500 | 224 | ||||||
Metropolitan Health Networks * | 44,100 | 319 | ||||||
Momenta Pharmaceuticals * | 3,900 | 59 | ||||||
MWI Veterinary Supply * | 5,335 | 369 | ||||||
Myriad Genetics * | 58,396 | 1,241 | ||||||
Natus Medical * | 67,300 | 563 | ||||||
Nektar Therapeutics * (A) | 57,700 | 288 | ||||||
Neurocrine Biosciences * (A) | 35,200 | 230 | ||||||
NuVasive * (A) | 128,863 | 1,778 | ||||||
NxStage Medical * (A) | 20,960 | 410 | ||||||
Omnicare (A) | 27,886 | 909 | ||||||
Omnicell * | 108,348 | 1,751 | ||||||
Onyx Pharmaceuticals * | 22,140 | 976 | ||||||
Optimer Pharmaceuticals * | 11,330 | 131 | ||||||
Orexigen Therapeutics * (A) | 52,000 | 93 | ||||||
Owens & Minor (A) | 2,200 | 68 | ||||||
Par Pharmaceutical * | 24,100 | 781 | ||||||
PDL BioPharma (A) | 164,100 | 1,050 | ||||||
PerkinElmer | 2,500 | 47 | ||||||
Pharmacyclics * (A) | 16,410 | 250 | ||||||
PharMerica * | 3,550 | 56 | ||||||
Providence Service * | 78,600 | 920 | ||||||
PSS World Medical * (A) | 58,302 | 1,421 | ||||||
Questcor Pharmaceuticals * (A) | 41,000 | 1,843 | ||||||
Quidel * (A) | 48,235 | 875 | ||||||
Rigel Pharmaceuticals * | 22,700 | 173 | ||||||
Sagent Pharmaceuticals * (A) | 30,700 | 635 | ||||||
Salix Pharmaceuticals * | 33,332 | 1,471 | ||||||
Savient Pharmaceuticals * (A) | 2,300 | 6 | ||||||
Seattle Genetics * (A) | 19,539 | 325 | ||||||
Sirona Dental Systems * | 11,700 | 520 | ||||||
Skilled Healthcare Group, Cl A * (A) | 59,600 | 254 |
Description | Shares | Market Value ($ Thousands) | ||||||
STERIS | 33,157 | $ | 997 | |||||
Sun Healthcare Group * (A) | 26,700 | 82 | ||||||
SXC Health Solutions * | 8,650 | 509 | ||||||
Symmetry Medical * | 44,900 | 352 | ||||||
Syneron Medical * | 85,994 | 929 | ||||||
Techne | 11,616 | 784 | ||||||
Teleflex | 25,463 | 1,550 | ||||||
Thoratec * | 13,570 | 413 | ||||||
Tornier * (A) | 35,158 | 632 | ||||||
Unilife * | 123,200 | 506 | ||||||
Viropharma * (A) | 30,800 | 740 | ||||||
Volcano * | 16,140 | 398 | ||||||
WellCare Health Plans * | 14,000 | 818 | ||||||
Zoll Medical * | 33,630 | 1,548 | ||||||
|
| |||||||
73,503 | ||||||||
|
| |||||||
Industrials — 18.3% | ||||||||
AAR | 4,700 | 86 | ||||||
ABM Industries (A) | 25,300 | 550 | ||||||
Acacia Research - Acacia | ||||||||
Technologies * | 9,000 | 314 | ||||||
ACCO Brands * | 22,300 | 210 | ||||||
Actuant, Cl A | 23,460 | 538 | ||||||
Acuity Brands | 20,300 | 1,020 | ||||||
Aegean Marine Petroleum Network (A) | 133,800 | 603 | ||||||
AerCap Holdings * | 92,790 | 998 | ||||||
Aerovironment * (A) | 6,800 | 207 | ||||||
Air Transport Services Group * | 133,800 | 648 | ||||||
Aircastle (A) | 33,200 | 386 | ||||||
Alamo Group | 9,300 | 264 | ||||||
Alaska Air Group * | 15,100 | 1,048 | ||||||
Albany International, Cl A | 23,700 | 575 | ||||||
Allegiant Travel, Cl A * | 3,600 | 188 | ||||||
Alliant Techsystems | 2,400 | 141 | ||||||
Altra Holdings * | 9,500 | 169 | ||||||
Amerco * | 1,200 | 94 | ||||||
Ametek | 13,630 | 584 | ||||||
Ampco-Pittsburgh | 9,900 | 203 | ||||||
Applied Industrial Technologies | 17,900 | 618 | ||||||
Astec Industries * | 14,000 | 468 | ||||||
Atlas Air Worldwide Holdings * | 28,340 | 1,197 | ||||||
Avis Budget Group * (A) | 67,700 | 799 | ||||||
BE Aerospace * | 17,266 | 672 | ||||||
Belden | 44,078 | 1,456 | ||||||
Brady, Cl A | 37,127 | 1,112 | ||||||
Briggs & Stratton (A) | 7,300 | 110 | ||||||
Carlisle | 20,500 | 914 | ||||||
Cascade | 10,100 | 439 | ||||||
Celadon Group | 85,602 | 915 | ||||||
Ceradyne * | 19,500 | 580 | ||||||
Clean Harbors * (A) | 18,795 | 1,127 | ||||||
Columbus McKinnon * | 66,000 | 829 | ||||||
Comfort Systems USA | 46,586 | 486 | ||||||
Consolidated Graphics * | 1,300 | 66 | ||||||
Copa Holdings, Cl A | 14,846 | 958 | ||||||
Corporate Executive Board | 15,675 | 614 | ||||||
Corrections Corp of America * | 11,100 | 233 | ||||||
CoStar Group * (A) | 38,868 | 2,586 | ||||||
Courier (A) | 14,941 | 165 | ||||||
CRA International * | 9,945 | 203 | ||||||
Cubic | 23,584 | 1,001 |
6 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Curtiss-Wright | 14,700 | $ | 484 | |||||
Deluxe | 17,600 | 402 | ||||||
DigitalGlobe * | 29,900 | 445 | ||||||
Dycom Industries * | 26,870 | 539 | ||||||
Dynamic Materials | 44,318 | 947 | ||||||
EMCOR Group | 86,420 | 2,215 | ||||||
Encore Wire | 3,800 | 99 | ||||||
EnerSys * | 18,800 | 452 | ||||||
Ennis | 7,900 | 117 | ||||||
EnPro Industries * (A) | 4,900 | 164 | ||||||
ESCO Technologies | 10,666 | 289 | ||||||
Exponent * | 3,500 | 166 | ||||||
Flow International * | 54,200 | 142 | ||||||
Force Protection * | 140,200 | 774 | ||||||
FTI Consulting * (A) | 55,400 | 2,376 | ||||||
G&K Services, Cl A | 56,387 | 1,686 | ||||||
Gardner Denver (A) | 14,806 | 1,269 | ||||||
Genco Shipping & Trading * (A) | 4,800 | 36 | ||||||
GenCorp * (A) | 32,000 | 174 | ||||||
General Cable * (A) | 48,696 | 1,291 | ||||||
Genesee & Wyoming, Cl A * | 9,910 | 605 | ||||||
Geo Group * (A) | 94,600 | 1,675 | ||||||
Gibraltar Industries * | 48,600 | 658 | ||||||
Global Power Equipment Group * (A) | 17,500 | 407 | ||||||
Graco | 8,900 | 383 | ||||||
GrafTech International * | 10,000 | 144 | ||||||
Granite Construction | 21,300 | 530 | ||||||
Great Lakes Dredge & Dock | 30,900 | 187 | ||||||
H&E Equipment Services * | 15,000 | 191 | ||||||
Harsco | 9,600 | 198 | ||||||
Hawaiian Holdings * (A) | 276,085 | 1,643 | ||||||
Heico, Cl A | 23,409 | 959 | ||||||
HEICO (A) | 24,510 | 1,454 | ||||||
Heidrick & Struggles International | 1,400 | 30 | ||||||
Hexcel * | 29,900 | 745 | ||||||
HNI (A) | 7,900 | 207 | ||||||
Huntington Ingalls Industries * (A) | 10,100 | 321 | ||||||
Huron Consulting Group * | 14,582 | 506 | ||||||
ICF International * | 31,700 | 822 | ||||||
IDEX | 31,694 | 1,156 | ||||||
IHS, Cl A * | 6,362 | 562 | ||||||
Innerworkings * (A) | 105,356 | 957 | ||||||
Insperity | 13,600 | 337 | ||||||
Interface, Cl A | 98,340 | 1,131 | ||||||
John Bean Technologies | 15,165 | 250 | ||||||
Kadant * | 41,743 | 853 | ||||||
Kaydon | 63,535 | 2,006 | ||||||
Kelly Services, Cl A | 10,300 | 149 | ||||||
Keyw Holding * (A) | 39,700 | 323 | ||||||
Kforce * | 25,900 | 317 | ||||||
Kirby * | 19,190 | 1,234 | ||||||
Knight Transportation | 1,370 | 20 | ||||||
Kratos Defense & Security Solutions * | 31,200 | 156 | ||||||
Landstar System | 25,222 | 1,167 | ||||||
Layne Christensen * | 9,800 | 245 | ||||||
LB Foster, Cl A | 5,100 | 146 | ||||||
Lincoln Electric Holdings | 17,050 | 673 | ||||||
LS Starrett, Cl A | 700 | 9 |
Description | Shares | Market Value ($ Thousands) | ||||||
M&F Worldwide * | 8,500 | $ | 212 | |||||
Marten Transport | 48,945 | 904 | ||||||
Michael Baker * | 8,700 | 173 | ||||||
Middleby * | 18,180 | 1,659 | ||||||
Miller Industries | 11,200 | 180 | ||||||
Mistras Group * | 29,200 | 687 | ||||||
Mobile Mini * | 62,992 | 1,136 | ||||||
Moog, Cl A * | 12,045 | 504 | ||||||
Mueller Industries | 18,400 | 702 | ||||||
MYR Group * | 5,300 | 93 | ||||||
NACCO Industries, Cl A | 6,600 | 524 | ||||||
National Presto Industries (A) | 800 | 76 | ||||||
Navigant Consulting * | 86,100 | 970 | ||||||
Northwest Pipe * | 10,620 | 247 | ||||||
Old Dominion Freight Line * | 23,100 | 896 | ||||||
Orbital Sciences * | 17,300 | 257 | ||||||
Orion Marine Group * | 184,884 | 1,111 | ||||||
Oshkosh Truck * | 7,900 | 162 | ||||||
Pacer International * | 80,800 | 346 | ||||||
Polypore International * (A) | 28,191 | 1,383 | ||||||
Quad, Cl A (A) | 13,600 | 218 | ||||||
Quanex Building Products | 52,085 | 785 | ||||||
RailAmerica * | 2,600 | 37 | ||||||
Rand Logistics * | 23,400 | 151 | ||||||
Raven Industries | 1,400 | 85 | ||||||
RBC Bearings * | 13,690 | 578 | ||||||
Resources Connection | 49,108 | 526 | ||||||
Robbins & Myers | 18,779 | 999 | ||||||
RPX * | 30,870 | 436 | ||||||
RSC Holdings * (A) | 16,600 | 202 | ||||||
Rush Enterprises, Cl A * | 46,937 | 899 | ||||||
Ryder System | 15,300 | 800 | ||||||
Sauer-Danfoss * | 14,400 | 541 | ||||||
SeaCube Container Leasing | 11,500 | 177 | ||||||
Simpson Manufacturing | 62,620 | 2,073 | ||||||
Skywest | 16,164 | 196 | ||||||
Spirit Aerosystems Holdings, Cl A * | 30,500 | 595 | ||||||
Spirit Airlines * | 89,800 | 1,449 | ||||||
Standard Parking * | 52,623 | 953 | ||||||
Standex International | 5,200 | 166 | ||||||
Steelcase, Cl A | 34,100 | 267 | ||||||
Sun Hydraulics | 15,600 | 393 | ||||||
Swift Transportation, Cl A * | 47,400 | 404 | ||||||
SYKES Enterprises * | 56,900 | 927 | ||||||
TAL International Group (A) | 23,830 | 627 | ||||||
Teledyne Technologies * | 25,014 | 1,418 | ||||||
Terex * (A) | 29,355 | 453 | ||||||
Tetra Tech * | 96,333 | 2,157 | ||||||
Textainer Group Holdings (A) | 6,100 | 165 | ||||||
Thermon Group Holdings * | 24,990 | 386 | ||||||
Titan International (A) | 21,500 | 463 | ||||||
Titan Machinery * (A) | 27,150 | 589 | ||||||
TMS International, Cl A * | 72,300 | 723 | ||||||
Towers Watson, Cl A | 25,541 | 1,664 | ||||||
TransDigm Group * | 11,292 | 1,089 | ||||||
Trex * (A) | 27,400 | 612 | ||||||
Trinity Industries | 12,200 | 349 | ||||||
Triumph Group (A) | 12,200 | 726 | ||||||
TrueBlue * | 79,020 | 1,017 | ||||||
Tutor Perini * | 89,300 | 1,473 | ||||||
Unifirst | 1,800 | 104 |
7 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
United Rentals * (A) | 87,052 | $ | 2,450 | |||||
United Stationers | 5,200 | 175 | ||||||
US Airways Group * (A) | 97,300 | 459 | ||||||
Valmont Industries (A) | 6,170 | 526 | ||||||
Viad | 7,600 | 141 | ||||||
Vitran, Cl A * | 51,195 | 292 | ||||||
Wabash National * (A) | 468,547 | 3,439 | ||||||
WABCO Holdings * | 13,385 | 629 | ||||||
Wabtec | 28,449 | 1,941 | ||||||
Watsco | 10,400 | 660 | ||||||
Watts Water Technologies, Cl A (A) | 20,721 | 792 | ||||||
Werner Enterprises (A) | 5,900 | 138 | ||||||
WESCO International * | 35,501 | 1,809 | ||||||
Woodward | 15,300 | 648 | ||||||
YRC Worldwide * | 552 | — | ||||||
Zipcar * (A) | 39,300 | 627 | ||||||
|
| |||||||
118,617 | ||||||||
|
| |||||||
Information Technology — 17.4% |
| |||||||
ACI Worldwide * (A) | 8,900 | 268 | ||||||
Acme Packet * | 31,100 | 1,040 | ||||||
ADTRAN | 32,305 | 1,067 | ||||||
Advent Software * (A) | 26,546 | 717 | ||||||
Aeroflex Holding * | 82,100 | 791 | ||||||
Amkor Technology * (A) | 30,800 | 137 | ||||||
Amtech Systems * | 17,600 | 160 | ||||||
Anadigics * | 45,100 | 101 | ||||||
Ancestry.com * (A) | 45,785 | 1,086 | ||||||
Arris Group * | 33,000 | 355 | ||||||
Arrow Electronics * | 19,400 | 709 | ||||||
Aruba Networks * (A) | 58,425 | 1,233 | ||||||
AsiaInfo-Linkage * (A) | 30,111 | 263 | ||||||
Aspen Technology * | 46,830 | 836 | ||||||
Atmel * | 90,983 | 807 | ||||||
AVX | 19,200 | 248 | ||||||
Benchmark Electronics * | 35,097 | 485 | ||||||
Black Box | 8,700 | 248 | ||||||
Blue Coat Systems * | 21,800 | 392 | ||||||
Booz Allen Hamilton Holding, Cl A * | 18,000 | 251 | ||||||
Brightpoint * | 32,560 | 325 | ||||||
BroadSoft * (A) | 69,319 | 2,432 | ||||||
Brocade Communications | 141,003 | 759 | ||||||
Brooks Automation | 10,600 | 101 | ||||||
CACI International, Cl A * | 25,745 | 1,452 | ||||||
Cadence Design Systems * | 69,730 | 763 | ||||||
Cardtronics * | 22,839 | 621 | ||||||
Cavium * (A) | 35,525 | 1,160 | ||||||
CDC Software ADR * | 99,700 | 187 | ||||||
Ceva * (A) | 29,584 | 852 | ||||||
Ciber * | 231,000 | 956 | ||||||
Coherent * | 20,794 | 1,056 | ||||||
CommVault Systems * | 9,475 | 470 | ||||||
Compuware * | 27,300 | 226 | ||||||
Comtech | ||||||||
Telecommunications (A) | 32,523 | 985 | ||||||
Concur Technologies * (A) | 23,200 | 1,096 | ||||||
Constant Contact * (A) | 64,577 | 1,413 | ||||||
Convergys * (A) | 27,200 | 351 | ||||||
CoreLogic * | 24,300 | 323 |
Description | Shares | Market Value ($ Thousands) | ||||||
Cornerstone OnDemand * (A) | 71,743 | $ | 1,156 | |||||
CSG Systems International * | 13,800 | 209 | ||||||
CTS | 14,800 | 126 | ||||||
Cymer * (A) | 28,725 | 1,285 | ||||||
Daktronics | 17,100 | 161 | ||||||
DDi | 27,500 | 248 | ||||||
DealerTrack Holdings * | 65,500 | 1,696 | ||||||
Diebold (A) | 55,226 | 1,666 | ||||||
Digi International * | 63,400 | 697 | ||||||
Digital River * (A) | 78,467 | 1,255 | ||||||
DTS * | 31,360 | 903 | ||||||
Earthlink | 143,205 | 902 | ||||||
Electronics for Imaging * | 8,400 | 124 | ||||||
Emulex * (A) | 109,318 | 864 | ||||||
Entegris * (A) | 111,140 | 937 | ||||||
Envestnet * | 43,968 | 459 | ||||||
Euronet Worldwide * | 62,314 | 1,122 | ||||||
Fabrinet * (A) | 11,900 | 169 | ||||||
Fairchild Semiconductor | 41,140 | 533 | ||||||
Forrester Research | 6,100 | 197 | ||||||
Fortinet * | 41,100 | 986 | ||||||
Fusion-io * (A) | 13,730 | 460 | ||||||
Gartner * | 34,117 | 1,291 | ||||||
Glu Mobile * (A) | 20,200 | 62 | ||||||
GT Advanced Technologies * (A) | 44,000 | 340 | ||||||
Hackett Group * | 157,710 | 596 | ||||||
Hittite Microwave * | 21,290 | 1,158 | ||||||
Imation * | 18,700 | 110 | ||||||
Imperva * | 3,200 | 89 | ||||||
Informatica * | 3,200 | 144 | ||||||
Inphi * (A) | 175,520 | 1,894 | ||||||
Insight Enterprises * | 21,200 | 310 | ||||||
Integrated Device Technology * (A) | 74,998 | 435 | ||||||
Intermec * | 109,216 | 802 | ||||||
International Rectifier * (A) | 55,018 | 1,157 | ||||||
Intersil, Cl A (A) | 68,500 | 728 | ||||||
InvenSense, Cl A * | 700 | 8 | ||||||
IPG Photonics * | 15,550 | 596 | ||||||
Ixia * | 24,000 | 264 | ||||||
j2 Global Communications (A) | 12,570 | 341 | ||||||
Jack Henry & Associates | 45,685 | 1,517 | ||||||
JDA Software Group * | 5,400 | 170 | ||||||
Kemet * | 34,400 | 285 | ||||||
KIT Digital * (A) | 18,000 | 160 | ||||||
Kulicke & Soffa Industries * (A) | 56,100 | 511 | ||||||
Lattice Semiconductor * | 33,400 | 230 | ||||||
Lender Processing Services | 9,500 | 180 | ||||||
Lexmark International, Cl A | 28,200 | 943 | ||||||
Littelfuse | 9,353 | 437 | ||||||
LogMeIn * (A) | 17,700 | 761 | ||||||
LTX-Credence * | 69,200 | 421 | ||||||
Magma Design Automation * | 9,800 | 56 | ||||||
Magnachip Semiconductor * | 29,090 | 233 | ||||||
Manhattan Associates * | 31,000 | 1,399 | ||||||
Mantech International, Cl A (A) | 14,400 | 487 | ||||||
MAXIMUS | 14,400 | 599 | ||||||
Measurement Specialties * | 40,337 | 1,151 | ||||||
Mellanox Technologies * (A) | 59,493 | 2,083 | ||||||
MEMC Electronic Materials * | 23,800 | 99 | ||||||
Micrel (A) | 10,100 | 105 |
8 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Micros Systems * | 10,910 | $ | 515 | |||||
Microsemi * | 8,400 | 149 | ||||||
MicroStrategy, Cl A * | 5,024 | 619 | ||||||
Mitek Systems * (A) | 63,315 | 464 | ||||||
Mitel Networks * (A) | 67,000 | 172 | ||||||
MKS Instruments | 9,800 | 263 | ||||||
Monolithic Power Systems * | 24,818 | 299 | ||||||
Monotype Imaging Holdings * | 4,300 | 64 | ||||||
Move * | 19,850 | 129 | ||||||
MTS Systems | 1,600 | 64 | ||||||
Multi-Fineline Electronix * | 8,850 | 185 | ||||||
Netgear * | 18,350 | 697 | ||||||
Netlogic Microsystems * | 10,230 | 506 | ||||||
Netscout Systems * | 5,700 | 101 | ||||||
NetSuite * (A) | 19,800 | 803 | ||||||
Newport * | 24,700 | 322 | ||||||
NIC (A) | 34,000 | 442 | ||||||
Nuance Communications * (A) | 24,900 | 612 | ||||||
ON Semiconductor * | 80,500 | 606 | ||||||
OpenTable * (A) | 8,900 | 315 | ||||||
Oplink Communications * | 22,100 | 365 | ||||||
Opnet Technologies | 5,700 | 203 | ||||||
Opnext * | 116,300 | 122 | ||||||
Orbotech * | 11,110 | 114 | ||||||
OSI Systems * | 3,900 | 186 | ||||||
Parametric Technology * | 60,789 | 1,266 | ||||||
Park Electrochemical | 17,800 | 488 | ||||||
Parkervision * (A) | 169,071 | 169 | ||||||
Photronics * (A) | 36,700 | 212 | ||||||
Plantronics (A) | 20,700 | 713 | ||||||
PMC - Sierra * | 25,500 | 143 | ||||||
Power-One * (A) | 45,200 | 193 | ||||||
Progress Software * | 33,500 | 682 | ||||||
PROS Holdings * | 40,207 | 644 | ||||||
Pulse Electronics (A) | 23,000 | 70 | ||||||
QLIK Technologies * (A) | 44,998 | 1,232 | ||||||
QLogic * | 41,200 | 615 | ||||||
Quantum * | 39,100 | 105 | ||||||
Quest Software * | 10,800 | 195 | ||||||
Rackspace Hosting * (A) | 15,000 | 651 | ||||||
Radisys * | 18,200 | 79 | ||||||
RealD * (A) | 36,300 | 348 | ||||||
RealNetworks | 17,250 | 131 | ||||||
RealPage * (A) | 76,483 | 1,914 | ||||||
Riverbed Technology * | 16,400 | 426 | ||||||
Rosetta Stone * (A) | 92,540 | 641 | ||||||
Rudolph Technologies * | 68,760 | 540 | ||||||
S1 * | 4,400 | 43 | ||||||
Saba Software * | 38,100 | 257 | ||||||
Sapient | 40,900 | 502 | ||||||
Seachange International * | 16,400 | 131 | ||||||
ServiceSource International * | 124,130 | 1,656 | ||||||
Silicon Graphics International * (A) | 2,400 | 36 | ||||||
Silicon Laboratories * (A) | 8,990 | 389 | ||||||
SolarWinds * (A) | 49,710 | 1,630 | ||||||
Solera Holdings | 11,895 | 563 | ||||||
Sourcefire * (A) | 26,400 | 874 | ||||||
SS&C Technologies Holdings * | 53,046 | 851 | ||||||
STR Holdings * (A) | 16,489 | 151 | ||||||
SuccessFactors * (A) | 41,150 | 1,053 | ||||||
Sycamore Networks | 111,065 | 2,199 |
Description | Shares | Market Value ($ Thousands) | ||||||
Synaptics * (A) | 1,700 | $ | 55 | |||||
SYNNEX * (A) | 7,200 | 211 | ||||||
Synopsys * | 31,351 | 877 | ||||||
Take-Two Interactive Software * (A) | 3,200 | 45 | ||||||
Taleo, Cl A * | 43,242 | 1,401 | ||||||
Tech Data * | 19,900 | 980 | ||||||
Tekelec * | 52,900 | 583 | ||||||
TeleCommunication Systems, Cl A * | 38,700 | 104 | ||||||
TeleNav * (A) | 23,900 | 196 | ||||||
TeleTech Holdings * | 21,000 | 370 | ||||||
Teradyne * (A) | 98,560 | 1,327 | ||||||
Tessera Technologies * | 4,000 | 69 | ||||||
THQ * (A) | 50,500 | 86 | ||||||
TIBCO Software * | 41,740 | 1,144 | ||||||
TNS * | 38,794 | 758 | ||||||
Travelzoo * (A) | 5,100 | 143 | ||||||
Trimble Navigation * | 16,493 | 711 | ||||||
Tyler Technologies * (A) | 27,250 | 873 | ||||||
Ultra Clean Holdings * | 40,540 | 229 | ||||||
Ultratech * | 34,000 | 789 | ||||||
Unisys * (A) | 7,300 | 176 | ||||||
United Online (A) | 42,500 | 224 | ||||||
Veeco Instruments * (A) | 2,900 | 72 | ||||||
VeriFone Holdings * | 4,460 | 196 | ||||||
Vishay Intertechnology * | 30,400 | 301 | ||||||
VistaPrint * (A) | 69,397 | 2,270 | ||||||
Vocus * | 43,151 | 916 | ||||||
Websense * (A) | 25,800 | 467 | ||||||
XO Group * (A) | 16,100 | 119 | ||||||
Xyratex (A) | 81,766 | 1,109 | ||||||
Zebra Technologies, Cl A * | 18,102 | 685 | ||||||
|
| |||||||
112,624 | ||||||||
|
| |||||||
Materials — 4.3% | ||||||||
Allied Nevada Gold * | 4,500 | 161 | ||||||
Aptargroup | 2,500 | 127 | ||||||
Boise (A) | 29,100 | 174 | ||||||
Buckeye Technologies (A) | 27,000 | 836 | ||||||
Carpenter Technology | 3,100 | 168 | ||||||
Coeur d’Alene Mines * | 7,600 | 222 | ||||||
Commercial Metals | 6,400 | 89 | ||||||
Cytec Industries | 12,406 | 585 | ||||||
Eagle Materials | 11,000 | 255 | ||||||
EcoSynthetix * | 19,300 | 133 | ||||||
Ferro * | 80,191 | 466 | ||||||
Georgia Gulf * (A) | 7,800 | 150 | ||||||
Glatfelter | 15,900 | 231 | ||||||
Globe Specialty Metals (A) | 153,680 | 2,294 | ||||||
Great Basin Gold * (A) | 160,475 | 149 | ||||||
Greif, Cl A | 16,956 | 790 | ||||||
H.B. Fuller (A) | 46,800 | 1,079 | ||||||
Haynes International | 6,200 | 372 | ||||||
Headwaters * (A) | 72,300 | 185 | ||||||
Hecla Mining | 1,500 | 9 | ||||||
Horsehead Holding * (A) | 275,149 | 2,556 | ||||||
Huntsman | 46,444 | 508 | ||||||
Innophos Holdings | 29,934 | 1,474 | ||||||
Innospec * | 41,500 | 1,206 | ||||||
KapStone Paper and Packaging * | 20,600 | 342 |
9 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Koppers Holdings (A) | 2,000 | $ | 66 | |||||
LSB Industries * | 4,300 | 134 | ||||||
Minerals Technologies | 21,600 | 1,253 | ||||||
Neenah Paper | 15,200 | 284 | ||||||
New Gold * | 12,400 | 138 | ||||||
NewMarket (A) | 3,400 | 673 | ||||||
Noranda Aluminum Holding | 47,200 | 388 | ||||||
Olympic Steel | 3,700 | 88 | ||||||
OM Group * | 48,379 | 1,100 | ||||||
Owens-Illinois * | 31,117 | 608 | ||||||
Packaging Corp of America | 29,307 | 762 | ||||||
PolyOne (A) | 89,430 | 962 | ||||||
Quaker Chemical | 4,100 | 159 | ||||||
Rock-Tenn, Cl A | 3,800 | 221 | ||||||
Romarco Minerals * | 154,700 | 148 | ||||||
RTI International Metals * (A) | 42,663 | 1,165 | ||||||
Sandstorm Gold * | 57,800 | 77 | ||||||
Schnitzer Steel Industries, Cl A | 7,800 | 362 | ||||||
Schweitzer-Mauduit | 11,070 | 788 | ||||||
Sensient Technologies | 41,770 | 1,578 | ||||||
Silgan Holdings (A) | 12,915 | 503 | ||||||
Solutia * | 33,710 | 537 | ||||||
Stepan | 3,000 | 244 | ||||||
TPC Group * | 3,700 | 89 | ||||||
Tredegar | 16,800 | 367 | ||||||
Universal Stainless & Alloy * | 4,900 | 185 | ||||||
US Gold * (A) | 30,500 | 127 | ||||||
Wausau Paper | 7,600 | 59 | ||||||
Worthington Industries (A) | 18,400 | 324 | ||||||
|
| |||||||
27,950 | ||||||||
|
| |||||||
Telecommunication Services — 0.7% |
| |||||||
Atlantic Telegraph-Network | 10,000 | 414 | ||||||
Boingo Wireless * | 66,800 | 568 | ||||||
Cincinnati Bell * (A) | 62,100 | 182 | ||||||
Fairpoint Communications * (A) | 43,700 | 208 | ||||||
IDT, Cl B | 9,400 | 122 | ||||||
Leap Wireless International * (A) | 14,100 | 128 | ||||||
Neutral Tandem * | 95,000 | 1,027 | ||||||
Premiere Global Services * | 25,000 | 207 | ||||||
SBA Communications, Cl A * | 15,586 | 637 | ||||||
tw telecom, Cl A * | 16,470 | 309 | ||||||
USA Mobility | 38,800 | 545 | ||||||
|
| |||||||
4,347 | ||||||||
|
| |||||||
Utilities — 2.1% | ||||||||
AGL Resources | 28,578 | 1,178 | ||||||
Allete | 4,452 | 178 | ||||||
Avista | 15,200 | 380 | ||||||
Cadiz * (A) | 40,500 | 346 | ||||||
Central Vermont Public Service | 1,000 | 35 | ||||||
CH Energy Group | 900 | 51 | ||||||
Chesapeake Utilities | 7,201 | 310 | ||||||
Cia de Saneamento de Minas | 5,300 | 95 | ||||||
Cleco | 15,798 | 571 | ||||||
Dynegy, Cl A * | 11,400 | 33 | ||||||
El Paso Electric | 8,900 | 307 | ||||||
Genie Energy, Cl B * | 9,400 | 68 | ||||||
Great Plains Energy | 91,546 | 1,926 | ||||||
IDACORP | 10,792 | 442 | ||||||
Laclede Group (A) | 9,600 | 385 |
Description | Shares/Face Amount ($ thousands) | Market Value ($ Thousands) | ||||||
MGE Energy | 4,100 | $ | 184 | |||||
Nicor | 4,900 | 275 | ||||||
Northwest Natural Gas (A) | 7,268 | 342 | ||||||
NorthWestern | 4,500 | 157 | ||||||
Piedmont Natural Gas (A) | 2,200 | 73 | ||||||
Portland General Electric | 127,180 | 3,186 | ||||||
Southwest Gas | 9,786 | 396 | ||||||
UIL Holdings (A) | 17,995 | 627 | ||||||
Unisource Energy | 20,500 | 756 | ||||||
Vectren | 5,600 | 163 | ||||||
Westar Energy (A) | 18,658 | 515 | ||||||
WGL Holdings | 15,149 | 649 | ||||||
|
| |||||||
13,628 | ||||||||
|
| |||||||
Total Common Stock |
| 618,730 | ||||||
|
| |||||||
PREFERRED STOCK — 0.1% |
| |||||||
Consumer Discretionary — 0.1% |
| |||||||
Callaway Golf (C) | 2,800 | 270 | ||||||
|
| |||||||
Energy — 0.0% | ||||||||
GeoMet (C) | 12,249 | 125 | ||||||
|
| |||||||
Financials — 0.0% | ||||||||
Grubb & Ellis * | 7,900 | 101 | ||||||
|
| |||||||
Total Preferred Stock |
| 496 | ||||||
|
| |||||||
EXCHANGE TRADED FUND — 0.1% |
| |||||||
iShares Russell 2000 Index Fund (A) | 12,387 | 913 | ||||||
|
| |||||||
Total Exchange Traded Fund |
| 913 | ||||||
|
| |||||||
CONVERTIBLE BONDS — 0.1% |
| |||||||
Consumer Discretionary — 0.0% |
| |||||||
Eddie Bauer Holdings | ||||||||
5.250%, 04/01/14 (B) (F) (G) | $ | 2,856 | 193 | |||||
|
| |||||||
Energy — 0.1% | ||||||||
Rentech | ||||||||
4.000%, 04/15/13 | 312 | 294 | ||||||
|
| |||||||
Financials — 0.0% | ||||||||
Grubb & Ellis (C) | ||||||||
7.950%, 05/01/15 | 103 | 70 | ||||||
|
| |||||||
Total Convertible Bonds |
| 557 | ||||||
|
|
10 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2011
Description | Number Of Rights/Warrants | Market Value ($ Thousands) | ||||||
RIGHTS — 0.0% |
| |||||||
United States — 0.0% |
| |||||||
Ligand Pharma, Expires | ||||||||
01/05/12 | 64,529 | — | ||||||
|
| |||||||
Total Rights |
| — | ||||||
|
| |||||||
WARRANTS — 0.0% |
| |||||||
Kulim, Expires 10/14/13* | 21,800 | — | ||||||
|
| |||||||
Magnum Hunter Resource, Expires 08/29/14 * | 17,967 | — | ||||||
|
| |||||||
Rentech, Expires 04/25/12 * (C) (F) (G) (H) | 16,100 | — | ||||||
|
| |||||||
Sandstorm Gold, Expires 04/23/14 * | 127,125 | 99 | ||||||
|
| |||||||
Total Warrants |
| 99 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 28.3% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.140% †† **(I) | 189,370,061 | 183,262 | ||||||
|
| |||||||
Total Affiliated Partnership |
| 183,262 | ||||||
|
| |||||||
CASH EQUIVALENT — 2.8% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.040% †† ** | 17,994,741 | 17,995 | ||||||
|
| |||||||
Total Cash Equivalent |
| 17,995 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 0.9% |
| |||||||
U.S. Treasury Bill (D) (E) | ||||||||
0.080%, 09/20/12 | $ | 598 | 597 | |||||
0.063%, 12/15/11 | 2,012 | 2,012 | ||||||
0.058%, 06/28/12 | 3,287 | 3,286 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 5,895 | ||||||
|
| |||||||
Total Investments — 127.7% |
| $ | 827,947 | |||||
|
|
The open futures contracts held by the Fund at November 30, 2011, is as follows:
Type of Contract | Number Of Contracts | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Russell 2000 Index | 335 | Dec-2011 | $ | 361 | ||||||||
|
|
For the period ended November 30, 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.
A summary of the open forward foreign currency contracts held by the Fund at November 30, 2011, is as follows:
Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
12/6/11-12/12/11 | CAD 66 | USD 64 | $ | (1 | ) | |||||||
|
|
A summary of the counterparties for the open forward foreign currency contracts held by the Fund at November 30, 2011, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||
Barlclays PLC | (17 | ) | 17 | $ | — | |||||||
UBS | (48 | ) | 47 | (1 | ) | |||||||
|
| |||||||||||
(1 | ) | |||||||||||
|
|
For the period ended November 30, 2011 , the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $648,176 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 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 November 30, 2011. The total value of securities on loan at November 30, 2011 was $192,781 ($ Thousands). |
(B) | Security in default on interest payments. |
(C) | 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. |
(D) | The rate reported is the effective yield at time of purchase. |
(E) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(F) | Securities considered illiquid. The total value of such securities as of November 30, 2011 was $406 ($ Thousands) and represented 0.06% 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 November 30, 2011, was $406 ($ Thousands) and represented 0.06% of net assets. |
(H) | Securities considered restricted. The total value of such securities as of November 30, 2011, was $213 ($ Thousands) and represented 0.03% of net assets (I) This security was purchased with collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2011, was $183,262 ($ Thousands). |
ADR — American Depositary Receipt
CAD— Canadian Dollar
Cl — Class
L.P.— Limited Partnership
PLC— Public Limited Company
REIT— Real Estate Investment Trust
USD— United States Dollar
11 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2011
The following is a summary of the inputs used as of November 30, 2011, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 618,513 | $ | 4 | $ | 213 | $ | 618,730 | ||||||||
Preferred Stock | — | 496 | — | 496 | ||||||||||||
Exchange Traded Fund | 913 | — | — | 913 | ||||||||||||
Convertible Bonds | — | 364 | 193 | 557 | ||||||||||||
Rights | — | — | — | — | ||||||||||||
Warrants | — | 99 | — | 99 | ||||||||||||
Affiliated Partnership | — | 183,262 | — | 183,262 | ||||||||||||
Cash Equivalent | 17,995 | — | — | 17,995 | ||||||||||||
U.S. Treasury Obligations | — | 5,895 | — | 5,895 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 637,421 | $ | 190,120 | $ | 406 | $ | 827,947 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 361 | $ | — | $ | — | $ | 361 | ||||||||
Forwards Contracts* | $ | — | $ | (1 | ) | $ | — | $ | (1 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Securities Sold Short | $ | 361 | $ | (1 | ) | $ | — | $ | 360 | |||||||
|
|
|
|
|
|
|
|
* | Futures and forwards contracts are valued at the unrealized appreciation (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 Common Stock | Investments in Convertible Bonds | |||||||
Beginning balance as of June 1, 2011 | $ | 261 | $ | 114 | ||||
Accrued discounts/premiums | — | — | ||||||
Realized gain/(loss) | — | — | ||||||
Change in unrealized appreciation/(depreciation) | (48 | ) | 79 | |||||
Net purchases/sales | — | — | ||||||
Net transfer into Level 3 | — | — | ||||||
Net transfer out of Level 3 | — | — | ||||||
|
|
|
| |||||
Ending balance as of November 30, 2011 | $ | 213 | $ | 193 | ||||
|
|
|
| |||||
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date | $ | 20 | $ | 79 | ||||
|
|
|
|
For the period ended November 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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.
Amounts designated as “—” are $O or have been rounded to $O.
The accompanying notes are an integral part of the financial statements.
12 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 95.7% | ||||||||
Consumer Discretionary — 12.4% |
| |||||||
AFC Enterprises * | 129,265 | $ | 2,029 | |||||
AMC Networks, Cl A * | 78,170 | 2,814 | ||||||
American Eagle Outfitters | 284,191 | 3,953 | ||||||
American Greetings, Cl A (A) | 92,440 | 1,571 | ||||||
American Public Education * (A) | 80,554 | 3,087 | ||||||
ANN * (A) | 52,529 | 1,232 | ||||||
Arctic Cat * | 68,000 | 1,352 | ||||||
Autoliv (A) | 36,100 | 1,924 | ||||||
Belo, Cl A | 173,216 | 1,013 | ||||||
Big 5 Sporting Goods (A) | 11,600 | 106 | ||||||
Big Lots * | 64,400 | 2,583 | ||||||
BJ’s Restaurants * (A) | 31,460 | 1,513 | ||||||
Bob Evans Farms | 41,100 | 1,376 | ||||||
Body Central * | 12,200 | 261 | ||||||
Brinker International | 56,300 | 1,356 | ||||||
Brown Shoe (A) | 61,400 | 515 | ||||||
Brunswick (A) | 163,450 | 3,043 | ||||||
Buffalo Wild Wings * (A) | 63,250 | 4,078 | ||||||
Cabela’s * (A) | 48,178 | 1,136 | ||||||
Callaway Golf (A) | 187,406 | 1,059 | ||||||
Carter’s * (A) | 64,464 | 2,564 | ||||||
Casual Male Retail Group * (A) | 100,200 | 324 | ||||||
Cato, Cl A | 70,800 | 1,812 | ||||||
CEC Entertainment | 59,360 | 1,999 | ||||||
Cheesecake Factory * (A) | 70,680 | 2,005 | ||||||
Chico’s FAS | 75,415 | 784 | ||||||
Childrens Place Retail Stores * (A) | 105,931 | 5,707 | ||||||
Collective Brands * (A) | 103,539 | 1,444 | ||||||
Columbia Sportswear (A) | 27,850 | 1,415 | ||||||
Cooper Tire & Rubber (A) | 207,043 | 2,774 | ||||||
Core-Mark Holding | 24,305 | 937 | ||||||
Cracker Barrel Old Country Store (A) | 6,800 | 323 | ||||||
Dana Holdings * | 123,510 | 1,539 | ||||||
Deckers Outdoor * | 30,460 | 3,318 | ||||||
Destination Maternity | 46,400 | 680 | ||||||
Dick’s Sporting Goods | 143,940 | 5,658 | ||||||
Dillard’s, Cl A (A) | 29,800 | 1,401 | ||||||
Dollar Tree * | 48,000 | 3,911 | ||||||
Domino’s Pizza UK & IRL | 97,478 | 688 | ||||||
DR Horton (A) | 268,850 | 3,202 | ||||||
DSW, Cl A | 125,710 | 5,657 | ||||||
Dufry Group | 3,992 | 399 | ||||||
Estacio Participacoes | 120,865 | 1,221 | ||||||
Ethan Allen Interiors (A) | 61,051 | 1,239 | ||||||
Express | 181,010 | 4,107 | ||||||
GameStop, Cl A * (A) | 38,200 | 883 | ||||||
Gannett (A) | 186,016 | 2,020 | ||||||
Gaylord Entertainment * (A) | 86,960 | 1,845 | ||||||
G-III Apparel Group * | 26,500 | 488 | ||||||
GNC Holdings, Cl A * (A) | 148,802 | 4,058 | ||||||
H&R Block (A) | 51,400 | 808 | ||||||
Hanesbrands * | 160,630 | 3,956 | ||||||
Harley-Davidson | 49,743 | 1,829 | ||||||
Hasbro | 52,720 | 1,888 | ||||||
hhgregg * (A) | 75,265 | 1,192 | ||||||
Hibbett Sports * (A) | 127,594 | 5,807 | ||||||
HOT Topic | 78,100 | 555 |
Description | Shares | Market Value ($ Thousands) | ||||||
Hyatt Hotels, Cl A * | 29,676 | $ | 1,059 | |||||
International Game Technology | 63,421 | 1,082 | ||||||
International Speedway, Cl A | 32,291 | 794 | ||||||
Interpublic Group | 198,989 | 1,867 | ||||||
Jones Group (A) | 378,912 | 4,111 | ||||||
K12 * (A) | 58,180 | 1,453 | ||||||
La-Z-Boy, Cl Z * (A) | 30,000 | 297 | ||||||
Libbey * | 75,100 | 913 | ||||||
Life Time Fitness * (A) | 82,664 | 3,367 | ||||||
Lincoln Educational Services (A) | 45,600 | 335 | ||||||
LKQ * | 46,484 | 1,419 | ||||||
Lululemon Athletica * (A) | 32,750 | 1,628 | ||||||
Maidenform Brands * | 153,618 | 2,833 | ||||||
Matthews International, Cl A | 19,160 | 635 | ||||||
MDC Partners, Cl A | 49,500 | 718 | ||||||
Men’s Wearhouse | 83,321 | 2,319 | ||||||
Meredith (A) | 41,050 | 1,191 | ||||||
Monro Muffler (A) | 29,113 | 1,169 | ||||||
National CineMedia | 422,774 | 5,513 | ||||||
New Frontier Media * | 27,900 | 30 | ||||||
Newell Rubbermaid | 191,652 | 2,932 | ||||||
NVR * | 1,526 | 1,022 | ||||||
O’Reilly Automotive * | 51,300 | 3,962 | ||||||
Orient-Express Hotels, Cl A * | 166,107 | 1,194 | ||||||
Pandora Media * (A) | 80,246 | 817 | ||||||
Panera Bread, Cl A * | 10,870 | 1,559 | ||||||
Penn National Gaming * | 47,987 | 1,781 | ||||||
Penske Auto Group (A) | 17,200 | 349 | ||||||
PEP Boys-Manny Moe & Jack (A) | 106,624 | 1,211 | ||||||
PetMed Express (A) | 57,800 | 539 | ||||||
Pier 1 Imports * | 290,600 | 3,949 | ||||||
Pinnacle Entertainment * (A) | 90,990 | 962 | ||||||
Polaris Industries (A) | 58,134 | 3,494 | ||||||
RadioShack (A) | 65,700 | 754 | ||||||
ReachLocal * (A) | 105,325 | 853 | ||||||
Regis (A) | 163,235 | 2,648 | ||||||
Rent-A-Center, Cl A | 39,900 | 1,434 | ||||||
Royal Caribbean Cruises | 66,953 | 1,855 | ||||||
Ruby Tuesday * (A) | 204,087 | 1,496 | ||||||
Rue21 * (A) | 91,995 | 2,212 | ||||||
Ryland Group (A) | 130,416 | 1,961 | ||||||
Sally Beauty Holdings * | 142,250 | 2,859 | ||||||
Scholastic (A) | 45,700 | 1,237 | ||||||
School Specialty * (A) | 88,385 | 369 | ||||||
Scientific Games, Cl A * | 124,869 | 1,074 | ||||||
Scripps Networks Interactive, Cl A | 44,904 | 1,788 | ||||||
Select Comfort * | 116,590 | 2,161 | ||||||
Shutterfly * (A) | 172,988 | 4,684 | ||||||
Sinclair Broadcast Group, Cl A | 93,100 | 963 | ||||||
Skechers U.S.A., Cl A * (A) | 50,200 | 676 | ||||||
Skullcandy * (A) | 61,030 | 905 | ||||||
Stage Stores | 71,200 | 893 | ||||||
Steiner Leisure * | 13,800 | 649 | ||||||
Steven Madden * (A) | 87,533 | 3,121 | ||||||
Tempur-Pedic International * | 175,193 | 9,567 | ||||||
Tenneco * | 172,447 | 4,994 | ||||||
Tesla Motors * (A) | 76,150 | 2,493 | ||||||
Texas Roadhouse, Cl A (A) | 77,350 | 1,036 | ||||||
Tractor Supply (A) | 19,580 | 1,414 | ||||||
TRW Automotive Holdings * | 49,200 | 1,607 |
1 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Ulta Salon Cosmetics & Fragrance * | 18,340 | $ | 1,277 | |||||
Under Armour, Cl A * (A) | 15,384 | 1,251 | ||||||
Urban Outfitters * (A) | 54,082 | 1,459 | ||||||
Vera Bradley * | 23,200 | 891 | ||||||
Weight Watchers International (A) | 54,157 | 3,183 | ||||||
Whirlpool (A) | 41,100 | 2,016 | ||||||
Whistler Blackcomb Holdings | 45,700 | 438 | ||||||
WMS Industries * (A) | 206,058 | 4,321 | ||||||
Wolverine World Wide (A) | 97,164 | 3,580 | ||||||
Wyndham Worldwide | 116,223 | 4,120 | ||||||
Zumiez * (A) | 62,900 | 1,480 | ||||||
|
| |||||||
252,661 | ||||||||
|
| |||||||
Consumer Staples — 3.0% | ||||||||
Casey’s General Stores (A) | 122,241 | 6,525 | ||||||
Central Garden and Pet, Cl A * | 66,227 | 588 | ||||||
Central Garden and Pet * | 73,524 | 636 | ||||||
Chefs’ Warehouse * | 81,230 | 1,087 | ||||||
Chiquita Brands International * | 86,500 | 719 | ||||||
Constellation Brands, Cl A * | 95,123 | 1,852 | ||||||
Corn Products International | 52,850 | 2,748 | ||||||
Cosan Industria e Comercio (Brazil) | 39,800 | 594 | ||||||
Darling International * | 37,000 | 532 | ||||||
Diamond Foods (A) | 40,400 | 1,121 | ||||||
Dole Food * (A) | 138,732 | 1,172 | ||||||
Elizabeth Arden * | 73,550 | 2,780 | ||||||
Fresh Del Monte Produce | 57,800 | 1,450 | ||||||
Fresh Market * (A) | 27,125 | 1,064 | ||||||
Green Mountain Coffee Roasters * (A) | 42,559 | 2,231 | ||||||
Hain Celestial Group * (A) | 59,771 | 2,232 | ||||||
Herbalife | 67,400 | 3,727 | ||||||
J&J Snack Foods | 18,950 | 983 | ||||||
Kroger | 99,886 | 2,315 | ||||||
Molson Coors Brewing, Cl B | 71,342 | 2,896 | ||||||
Omega Protein * | 164,200 | 1,384 | ||||||
Pantry * | 122,813 | 1,519 | ||||||
Prestige Brands Holdings * (A) | 129,120 | 1,276 | ||||||
Safeway (A) | 108,400 | 2,168 | ||||||
Sanderson Farms (A) | 44,869 | 2,309 | ||||||
Snyders-Lance (A) | 72,226 | 1,526 | ||||||
Spartan Stores (A) | 88,936 | 1,604 | ||||||
Spectrum Brands Holdings * | 10,300 | 289 | ||||||
SUPERVALU (A) | 94,000 | 691 | ||||||
Sysco (A) | 76,399 | 2,180 | ||||||
TreeHouse Foods * (A) | 37,472 | 2,471 | ||||||
United Natural Foods * | 102,400 | 3,925 | ||||||
Viterra, Cl Common Subscription Recei | 51,700 | 530 | ||||||
Weis Markets | 17,700 | 707 | ||||||
|
| |||||||
59,831 | ||||||||
|
| |||||||
Energy — 6.9% | ||||||||
Alberta Oilsands * | 1,600,500 | 252 | ||||||
Approach Resources * (A) | 27,900 | 873 | ||||||
Atwood Oceanics * (A) | 64,930 | 2,662 | ||||||
Berry Petroleum, Cl A (A) | 121,711 | 5,341 | ||||||
Bill Barrett * | 23,655 | 923 | ||||||
BPZ Resources * (A) | 221,700 | 707 | ||||||
C&J Energy Services * (A) | 39,000 | 766 |
Description | Shares | Market Value ($ Thousands) | ||||||
Cabot Oil & Gas | 10,500 | $ | 930 | |||||
CARBO Ceramics (A) | 31,150 | 4,433 | ||||||
Carrizo Oil & Gas * (A) | 164,230 | 4,674 | ||||||
Clayton Williams Energy * (A) | 15,500 | 1,146 | ||||||
Complete Production Services * | 205,273 | 7,158 | ||||||
Comstock Resources * (A) | 214,784 | 3,572 | ||||||
Core Laboratories (A) | 20,110 | 2,334 | ||||||
Dresser-Rand Group * | 122,698 | 6,389 | ||||||
Dril-Quip * | 85,030 | 6,048 | ||||||
Energen | 40,800 | 2,069 | ||||||
Energy Partners * | 26,800 | 370 | ||||||
EQT | 28,102 | 1,743 | ||||||
GeoMet * (A) | 106,800 | 114 | ||||||
Global Geophysical Services * | 4,700 | 33 | ||||||
Goodrich Petroleum * (A) | 367,191 | 5,354 | ||||||
Gulfmark Offshore, Cl A * | 60,740 | 2,723 | ||||||
Gulfport Energy * | 69,468 | 2,206 | ||||||
Hornbeck Offshore Services * (A) | 69,570 | 2,347 | ||||||
ION Geophysical * (A) | 190,670 | 1,108 | ||||||
Karoon Gas Australia * | 131,406 | 634 | ||||||
Key Energy Services * | 319,307 | 4,821 | ||||||
Kinder Morgan Escrow * | 58,118 | — | ||||||
Kodiak Oil & Gas * (A) | 359,684 | 3,194 | ||||||
Magnum Hunter Resources * (A) | 165,400 | 796 | ||||||
Matrix Service * | 47,900 | 448 | ||||||
Murphy Oil | 28,495 | 1,593 | ||||||
Nabors Industries * | 80,539 | 1,445 | ||||||
Newfield Exploration * | 44,157 | 2,022 | ||||||
Newpark Resources * (A) | 116,285 | 1,042 | ||||||
Northern Oil And Gas * | 23,090 | 565 | ||||||
Oasis Petroleum * (A) | 45,400 | 1,383 | ||||||
Oceaneering International | 35,960 | 1,710 | ||||||
Oil States International * | 20,900 | 1,573 | ||||||
Oilsands Quest * (A) | 2,380,424 | 426 | ||||||
Petroleum Development * | 37,225 | 1,249 | ||||||
Pioneer Drilling * | 123,643 | 1,358 | ||||||
Pioneer Natural Resources (A) | 27,064 | 2,559 | ||||||
Porto Energy * | 1,155,000 | 272 | ||||||
Quicksilver Resources * (A) | 408,847 | 3,312 | ||||||
Range Resources (A) | 26,340 | 1,889 | ||||||
Resolute Energy * (A) | 103,220 | 1,399 | ||||||
Rosetta Resources * (A) | 75,787 | 4,118 | ||||||
Scorpio Tankers * (A) | 307,647 | 2,049 | ||||||
SM Energy | 19,880 | 1,580 | ||||||
StealthGas * | 36,000 | 139 | ||||||
Swift Energy * (A) | 104,585 | 3,074 | ||||||
Targa Resources (A) | 103,572 | 3,580 | ||||||
Tesco (A) | 95,024 | 1,267 | ||||||
Tesoro * (A) | 80,900 | 1,933 | ||||||
Tidewater (A) | 55,290 | 2,787 | ||||||
Triangle Petroleum * (A) | 109,100 | 627 | ||||||
Ultra Petroleum * | 55,559 | 1,956 | ||||||
USEC * (A) | 61,099 | 86 | ||||||
Vantage Drilling * (A) | 67,500 | 81 | ||||||
W&T Offshore (A) | 99,300 | 1,988 | ||||||
Warren Resources * | 209,800 | 598 | ||||||
Western Refining * (A) | 113,200 | 1,346 | ||||||
Whiting Petroleum * | 128,930 | 5,997 | ||||||
World Fuel Services (A) | 138,996 | 5,959 | ||||||
|
| |||||||
139,130 | ||||||||
|
| |||||||
Financials — 18.9% | ||||||||
1st Source | 800 | 20 |
2 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Advance America Cash Advance Centers | 104,300 | $ | 889 | |||||
Affiliated Managers Group * | 17,090 | 1,616 | ||||||
Allied World Assurance Holdings | 19,500 | 1,160 | ||||||
Allstate | 83,293 | 2,231 | ||||||
Alterra Capital Holdings (A) | 83,110 | 1,907 | ||||||
American Campus Communities ‡ | 4,900 | 193 | ||||||
American Capital Agency ‡ (A) | 23,300 | 668 | ||||||
American Financial Group | 165,147 | 5,945 | ||||||
Ameriprise Financial | 77,001 | 3,535 | ||||||
Annaly Capital Management ‡ | 38,000 | 611 | ||||||
Anworth Mortgage Asset ‡ | 66,900 | 423 | ||||||
Apartment Investment & Management, Cl A ‡ | 128,658 | 2,802 | ||||||
Arch Capital Group * | 123,108 | 4,650 | ||||||
Ares Capital | 8,677 | 135 | ||||||
Aspen Insurance Holdings | 42,000 | 1,114 | ||||||
Associated Banc | 36,400 | 378 | ||||||
AvalonBay Communities ‡ (A) | 29,313 | 3,660 | ||||||
Banco Latinoamericano de Comercio Exterior, Cl E (A) | 80,200 | 1,312 | ||||||
Bancorpsouth (A) | 315,979 | 3,097 | ||||||
Bank of the Ozarks (A) | 46,170 | 1,309 | ||||||
BankUnited (A) | 102,770 | 2,229 | ||||||
Berkshire Hills Bancorp | 46,975 | 936 | ||||||
BGC Partners, Cl A (A) | 99,000 | 626 | ||||||
BioMed Realty Trust ‡ (A) | 83,655 | 1,490 | ||||||
Boston Private Financial Holdings (A) | 263,905 | 2,050 | ||||||
Boston Properties ‡ (A) | 27,000 | 2,575 | ||||||
Brandywine Realty Trust ‡ | 381,095 | 3,319 | ||||||
Brasil Brokers Participacoes | 105,400 | 356 | ||||||
BRE Properties ‡ | 66,188 | 3,221 | ||||||
Campus Crest Communities ‡ (A) | 80,100 | 807 | ||||||
CapLease ‡ | 210,800 | 875 | ||||||
Capstead Mortgage ‡ | 37,000 | 462 | ||||||
Cardinal Financial | 83,237 | 890 | ||||||
Cash Store Financial Services | 68,542 | 439 | ||||||
CBL & Associates Properties ‡ (A) | 242,245 | 3,462 | ||||||
Chatham Lodging Trust ‡ | 13,800 | 148 | ||||||
Chimera Investment ‡ (A) | 245,200 | 655 | ||||||
CNA Financial | 54,600 | 1,428 | ||||||
CNO Financial Group * (A) | 294,532 | 1,862 | ||||||
CoBiz Financial (A) | 204,385 | 1,089 | ||||||
Colonial Properties Trust ‡ | 110,150 | 2,185 | ||||||
Comerica (A) | 112,741 | 2,843 | ||||||
Commerce Bancshares | 1 | — | ||||||
CommonWealth ‡ | 153,825 | 2,575 | ||||||
Community Trust Bancorp | 15,687 | 442 | ||||||
Corporate Office Properties Trust ‡ (A) | 81,900 | 1,708 | ||||||
Cowen Group, Cl A * (A) | 80,600 | 198 | ||||||
Credit Acceptance * | 24,957 | 2,027 | ||||||
CreXus Investment ‡ | 118,000 | 1,152 | ||||||
CubeSmart ‡ | 236,775 | 2,361 | ||||||
CVB Financial (A) | 147,744 | 1,452 | ||||||
DDR ‡ (A) | 160,680 | 1,878 | ||||||
Delphi Financial Group, Cl A | 18,800 | 517 | ||||||
DFC Global * | 36,600 | 664 | ||||||
DiamondRock Hospitality ‡ (A) | 322,129 | 2,828 |
Description | Shares | Market Value ($ Thousands) | ||||||
Digital Realty Trust ‡ (A) | 37,200 | $ | 2,362 | |||||
Dime Community Bancshares | 50,900 | 603 | ||||||
Duff & Phelps, Cl A | 26,855 | 397 | ||||||
Eagle Bancorp * (A) | 84,895 | 1,260 | ||||||
East West Bancorp | 174,280 | 3,411 | ||||||
Eaton Vance (A) | 86,149 | 2,070 | ||||||
Education Realty Trust ‡ | 237,645 | 2,215 | ||||||
Employers Holdings | 146,939 | 2,552 | ||||||
Encore Bancshares * | 32,000 | 386 | ||||||
Encore Capital Group * | 44,340 | 967 | ||||||
Endurance Specialty Holdings | 102,972 | 3,724 | ||||||
Epoch Holding | 130,335 | 3,171 | ||||||
Equity One ‡ | 92,857 | 1,552 | ||||||
Equity Residential ‡ | 96,500 | 5,326 | ||||||
ESSA Bancorp (A) | 18,100 | 201 | ||||||
Essex Property Trust ‡ (A) | 28,250 | 3,753 | ||||||
Everest Re Group | 22,700 | 1,992 | ||||||
Excel Trust ‡ (A) | 111,346 | 1,224 | ||||||
Extra Space Storage ‡ | 69,300 | 1,670 | ||||||
FBR Capital Markets * (A) | 177,500 | 336 | ||||||
Federal Realty Investment Trust ‡ | 24,800 | 2,193 | ||||||
Federated Investors, Cl B (A) | 171,634 | 2,724 | ||||||
Fifth Third Bancorp | 266,431 | 3,221 | ||||||
Financial Engines * (A) | 125,141 | 2,749 | ||||||
First Financial Bancorp (A) | 180,076 | 2,860 | ||||||
First Horizon National (A) | 448,954 | 3,457 | ||||||
First Midwest Bancorp | 205,745 | 1,955 | ||||||
First Potomac Realty Trust ‡ (A) | 98,890 | 1,259 | ||||||
FirstMerit (A) | 217,671 | 3,180 | ||||||
Flushing Financial | 125,100 | 1,619 | ||||||
Gain Capital Holdings (A) | 115,500 | 770 | ||||||
General Growth Properties ‡ | 226,320 | 3,187 | ||||||
General Shopping Brasil (Brazil) * | 32,200 | 211 | ||||||
GFI Group | 157,800 | 671 | ||||||
Glacier Bancorp (A) | 128,581 | 1,544 | ||||||
Gladstone Commercial ‡ | 53,000 | 906 | ||||||
Global Indemnity, Cl A * | 31,300 | 590 | ||||||
Gluskin Sheff + Associates | 108,327 | 1,545 | ||||||
Government Properties Income Trust ‡ (A) | 18,100 | 394 | ||||||
Great American Group * | 115,000 | 13 | ||||||
Greenhill (A) | 6,910 | 266 | ||||||
Hancock Holding (A) | 196,334 | 5,995 | ||||||
Hanover Insurance Group | 96,231 | 3,472 | ||||||
HCP ‡ (A) | 124,700 | 4,820 | ||||||
Health Care REIT ‡ (A) | 84,371 | 4,233 | ||||||
Highwoods Properties ‡ (A) | 96,062 | 2,770 | ||||||
Home Bancshares | 26,500 | 659 | ||||||
Horace Mann Educators | 160,615 | 1,961 | ||||||
Hospitality Properties Trust ‡ | 117,000 | 2,577 | ||||||
Host Hotels & Resorts ‡ (A) | 375,482 | 5,313 | ||||||
Hudson City Bancorp | 173,707 | 971 | ||||||
Hudson Valley Holding | 31,181 | 634 | ||||||
Huntington Bancshares | 866,089 | 4,547 | ||||||
Iberiabank (A) | 57,870 | 2,883 | ||||||
Infinity Property & Casualty (A) | 37,172 | 2,135 | ||||||
Inland Real Estate ‡ (A) | 229,232 | 1,701 | ||||||
International Bancshares (A) | 47,046 | 841 | ||||||
Janus Capital Group (A) | 174,097 | 1,149 | ||||||
Jones Lang LaSalle | 30,249 | 1,949 |
3 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Justice Holdings * | 133,845 | $ | 1,870 | |||||
Kemper | 51,000 | 1,405 | ||||||
Kennedy-Wilson Holdings (A) | 79,500 | 879 | ||||||
Keycorp | 255,123 | 1,860 | ||||||
Knight Capital Group, Cl A * | 167,350 | 2,114 | ||||||
LaSalle Hotel Properties ‡ | 57,090 | 1,336 | ||||||
Lexington Realty Trust ‡ (A) | 504,113 | 3,821 | ||||||
Liberty Property Trust ‡ | 78,041 | 2,326 | ||||||
LPL Investment Holdings * | 100,481 | 3,014 | ||||||
Macerich ‡ (A) | 37,598 | 1,884 | ||||||
Mack-Cali Realty ‡ | 73,250 | 1,866 | ||||||
Maiden Holdings | 93,400 | 813 | ||||||
Manning & Napier * | 84,200 | 1,069 | ||||||
MarketAxess Holdings | 151,428 | 4,382 | ||||||
MB Financial | 33,770 | 573 | ||||||
Meadowbrook Insurance Group (A) | 317,005 | 3,234 | ||||||
Medical Properties Trust ‡ | 49,200 | 470 | ||||||
MFA Mortgage Investments ‡ | 398,288 | 2,740 | ||||||
Mid-America Apartment Communities ‡ (A) | 47,860 | 2,743 | ||||||
Montpelier Re Holdings | 75,900 | 1,292 | ||||||
Moody’s (A) | 115,150 | 3,997 | ||||||
MSCI, Cl A * | 150,613 | 5,083 | ||||||
National Financial Partners * (A) | 86,725 | 1,197 | ||||||
National Penn Bancshares (A) | 423,846 | 3,531 | ||||||
National Retail Properties ‡ (A) | 85,415 | 2,260 | ||||||
Nelnet, Cl A | 101,300 | 2,321 | ||||||
Netspend Holdings * (A) | 177,118 | 1,117 | ||||||
Northwest Bancshares | 50,600 | 628 | ||||||
Ocwen Financial * (A) | 60,100 | 791 | ||||||
Old National Bancorp | 133,320 | 1,496 | ||||||
OmniAmerican Bancorp * | 6,700 | 99 | ||||||
Oriental Financial Group | 50,000 | 549 | ||||||
PacWest Bancorp (A) | 86,865 | 1,623 | ||||||
PartnerRe | 43,040 | 2,829 | ||||||
Pennsylvania Real Estate Investment Trust ‡ (A) | 44,700 | 417 | ||||||
Piedmont Office Realty Trust, Cl A ‡ (A) | 74,800 | 1,245 | ||||||
Pinnacle Financial Partners * (A) | 83,960 | 1,259 | ||||||
Platinum Underwriters Holdings | 72,350 | 2,491 | ||||||
PrivateBancorp, Cl A | 40,934 | 393 | ||||||
ProAssurance | 67,796 | 5,397 | ||||||
ProLogis ‡ | 156,259 | 4,347 | ||||||
Prosperity Bancshares (A) | 31,325 | 1,253 | ||||||
Public Storage ‡ | 18,528 | 2,444 | ||||||
Radian Group (A) | 34,500 | 74 | ||||||
RAIT Financial Trust ‡ (A) | 22,999 | 103 | ||||||
Regency Centers ‡ (A) | 55,600 | 2,066 | ||||||
Regions Financial | 213,300 | 877 | ||||||
Reinsurance Group of America, Cl A | 87,882 | 4,526 | ||||||
Republic Bancorp, Cl A (A) | 37,026 | 785 | ||||||
Safeguard Scientifics * | 89,480 | 1,508 | ||||||
Sandy Spring Bancorp | 50,900 | 881 | ||||||
SCBT Financial | 13,200 | 376 | ||||||
Signature Bank NY * (A) | 92,932 | 5,430 | ||||||
Simmons First National, Cl A | 14,300 | 379 | ||||||
Simon Property Group ‡ | 45,179 | 5,618 | ||||||
SL Green Realty ‡ (A) | 44,900 | 2,956 | ||||||
Southside Bancshares (A) | 36,120 | 783 |
Description | Shares | Market Value ($ Thousands) | ||||||
StanCorp Financial Group (A) | 36,700 | $ | 1,294 | |||||
Starwood Property Trust ‡ | 14,100 | 252 | ||||||
Stifel Financial * | 45,440 | 1,440 | ||||||
Summit Hotel Properties ‡ | 69,800 | 588 | ||||||
Sunstone Hotel Investors ‡ * (A) | 319,067 | 2,431 | ||||||
Susquehanna Bancshares (A) | 416,187 | 3,296 | ||||||
SVB Financial Group * (A) | 44,449 | 2,091 | ||||||
Synovus Financial (A) | 2,078,918 | 3,098 | ||||||
TCF Financial (A) | 345,438 | 3,475 | ||||||
THL Credit | 29,500 | 354 | ||||||
Titanium Asset * (C) (G) (H) | 105,000 | 68 | ||||||
Titanium Asset Management * | 42,000 | 15 | ||||||
Tower Group (A) | 45,400 | 953 | ||||||
Trustmark (A) | 63,520 | 1,420 | ||||||
UDR ‡ | 109,185 | 2,566 | ||||||
United Financial Bancorp | 15,000 | 253 | ||||||
Unum Group | 214,451 | 4,827 | ||||||
Uranium Participation * | 48,900 | 285 | ||||||
Uranium Participation * | 24,100 | 141 | ||||||
Validus Holdings (A) | 56,800 | 1,709 | ||||||
Value Creation * (C) (G) (H) | 85,600 | 96 | ||||||
Ventas ‡ (A) | 65,450 | 3,453 | ||||||
ViewPoint Financial Group | 44,300 | 569 | ||||||
Waddell & Reed Financial, Cl A | 68,171 | 1,853 | ||||||
Webster Financial | 67,095 | 1,322 | ||||||
WesBanco | 53,800 | 1,057 | ||||||
Western Alliance Bancorp * | 728,628 | 4,583 | ||||||
Willis Group Holdings (A) | 62,245 | 2,195 | ||||||
Winthrop Realty Trust ‡ | 91,000 | 850 | ||||||
Wintrust Financial (A) | 107,536 | 2,988 | ||||||
WisdomTree Investments * (A) | 230,775 | 1,438 | ||||||
World Acceptance * (A) | 29,307 | 2,011 | ||||||
WR Berkley (A) | 69,650 | 2,376 | ||||||
WSFS Financial | 11,400 | 417 | ||||||
Zions Bancorporation (A) | 538,228 | 8,660 | ||||||
|
| |||||||
389,744 | ||||||||
|
| |||||||
Health Care — 12.1% | ||||||||
Accuray * (A) | 75,900 | 304 | ||||||
Alere * (A) | 27,300 | 638 | ||||||
Alexion Pharmaceuticals * | 57,950 | 3,979 | ||||||
Align Technology * (A) | 60,299 | 1,477 | ||||||
Allscripts Healthcare Solutions * (A) | 332,150 | 6,464 | ||||||
Amarin ADR * (A) | 124,890 | 872 | ||||||
AMERIGROUP * | 48,586 | 2,778 | ||||||
AmerisourceBergen (A) | 34,262 | 1,273 | ||||||
AMN Healthcare Services * | 51,000 | 234 | ||||||
Amsurg, Cl A * | 88,535 | 2,309 | ||||||
Ardea Biosciences * (A) | 74,887 | 1,399 | ||||||
Arena Pharmaceuticals * (A) | 415,045 | 656 | ||||||
Ariad Pharmaceuticals * (A) | 212,297 | 2,567 | ||||||
Arqule * | 110,520 | 620 | ||||||
athenahealth * (A) | 50,274 | 2,986 | ||||||
AVEO Pharmaceuticals * (A) | 43,850 | 741 | ||||||
BioMarin Pharmaceutical * (A) | 40,323 | 1,396 | ||||||
CareFusion * | 237,058 | 5,874 | ||||||
Catalyst Health Solutions * | 84,710 | 4,407 | ||||||
Centene * | 59,330 | 2,297 | ||||||
Cepheid * | 35,910 | 1,232 | ||||||
Conmed * | 43,025 | 1,131 | ||||||
Cooper | 137,967 | 8,452 | ||||||
Coventry Health Care * | 123,500 | 3,944 |
4 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Cross Country Healthcare * | 16,600 | $ | 86 | |||||
Cubist Pharmaceuticals * (A) | 33,612 | 1,296 | ||||||
Cyberonics * | 144,500 | 4,383 | ||||||
Emergent Biosolutions * | 65,140 | 1,110 | ||||||
Endo Pharmaceuticals Holdings * | 37,600 | 1,287 | ||||||
Ensign Group (A) | 54,500 | 1,292 | ||||||
eResearch Technology * | 123,900 | 567 | ||||||
Exelixis * (A) | 140,670 | 648 | ||||||
Forest Laboratories * | 33,700 | 1,010 | ||||||
Gen-Probe * | 155,070 | 9,768 | ||||||
Greatbatch * | 71,845 | 1,589 | ||||||
Hansen Medical * (A) | 352,250 | 838 | ||||||
Health Management Associates, Cl A * | 283,683 | 2,332 | ||||||
Health Net * | 164,909 | 5,135 | ||||||
Healthsouth * (A) | 352,022 | 6,083 | ||||||
Healthspring * | 30,130 | 1,646 | ||||||
HeartWare International * (A) | 54,919 | 3,789 | ||||||
HMS Holdings * | 78,501 | 2,381 | ||||||
Hologic * | 123,095 | 2,168 | ||||||
Humana | 24,900 | 2,208 | ||||||
ICU Medical * (A) | 19,500 | 858 | ||||||
Idexx Laboratories * (A) | 20,445 | 1,537 | ||||||
Immunogen * (A) | 234,449 | 2,849 | ||||||
Impax Laboratories * | 63,163 | 1,271 | ||||||
Incyte * (A) | 238,347 | 3,282 | ||||||
Insulet * (A) | 155,980 | 2,898 | ||||||
InterMune * (A) | 25,180 | 457 | ||||||
Invacare (A) | 110,663 | 2,273 | ||||||
IPC The Hospitalist * | 63,630 | 2,933 | ||||||
Ironwood Pharmaceuticals, Cl A * (A) | 177,010 | 2,136 | ||||||
Kensey Nash * | 4,800 | 122 | ||||||
Kindred Healthcare * (A) | 28,800 | 357 | ||||||
LHC Group * | 38,100 | 529 | ||||||
LifePoint Hospitals * | 86,104 | 3,378 | ||||||
Magellan Health Services * | 84,468 | 4,279 | ||||||
MAKO Surgical * (A) | 33,720 | 971 | ||||||
MAP Pharmaceuticals * | 46,890 | 645 | ||||||
Masimo (A) | 187,648 | 3,877 | ||||||
Medical Action Industries * | 70,700 | 336 | ||||||
Medicines * | 39,900 | 754 | ||||||
Medicis Pharmaceutical, Cl A | 73,690 | 2,406 | ||||||
Mednax * | 51,140 | 3,447 | ||||||
Metropolitan Health Networks * | 197,591 | 1,430 | ||||||
Mettler Toledo International * (A) | 9,008 | 1,440 | ||||||
MWI Veterinary Supply * | 26,850 | 1,856 | ||||||
Myriad Genetics * | 57,925 | 1,231 | ||||||
Natus Medical * | 63,600 | 532 | ||||||
NuVasive * (A) | 280,487 | 3,871 | ||||||
NxStage Medical * (A) | 58,260 | 1,141 | ||||||
Omnicare (A) | 95,990 | 3,130 | ||||||
Onyx Pharmaceuticals * | 69,480 | 3,064 | ||||||
Optimer Pharmaceuticals * | 31,570 | 364 | ||||||
Par Pharmaceutical * | 81,200 | 2,632 | ||||||
Parexel International * | 113,598 | 2,278 | ||||||
Patterson | 55,482 | 1,674 | ||||||
PDL BioPharma (A) | 117,800 | 754 | ||||||
Pharmacyclics * (A) | 45,440 | 692 | ||||||
PharMerica * | 31,100 | 487 | ||||||
Providence Service * | 74,300 | 870 |
Description | Shares | Market Value ($ Thousands) | ||||||
PSS World Medical * (A) | 173,122 | $ | 4,221 | |||||
Quest Diagnostics | 41,691 | 2,446 | ||||||
Questcor Pharmaceuticals * (A) | 175,950 | 7,909 | ||||||
Rigel Pharmaceuticals * (A) | 71,500 | 545 | ||||||
Salix Pharmaceuticals * (A) | 231,920 | 10,237 | ||||||
Sciclone Pharmaceuticals * (A) | 183,521 | 828 | ||||||
Seattle Genetics * (A) | 199,713 | 3,321 | ||||||
Sirona Dental Systems * | 29,250 | 1,300 | ||||||
Skilled Healthcare Group, Cl A * | 98,400 | 420 | ||||||
STERIS | 119,827 | 3,603 | ||||||
SXC Health Solutions * | 99,990 | 5,881 | ||||||
Symmetry Medical * | 41,800 | 327 | ||||||
Techne | 37,284 | 2,516 | ||||||
Teleflex (A) | 79,955 | 4,868 | ||||||
Tornier * (A) | 63,110 | 1,134 | ||||||
Varian Medical Systems * | 76,658 | 4,771 | ||||||
Volcano * (A) | 207,420 | 5,117 | ||||||
WellCare Health Plans * | 92,690 | 5,418 | ||||||
WuXi PharmaTech Cayman ADR * (A) | 93,480 | 1,122 | ||||||
Zoll Medical * | 111,184 | 5,118 | ||||||
|
| |||||||
247,789 | ||||||||
|
| |||||||
Industrials — 17.1% | ||||||||
AAR (A) | 47,800 | 873 | ||||||
ABM Industries (A) | 23,900 | 519 | ||||||
Acacia Research - Acacia Technologies * | 16,300 | 568 | ||||||
ACCO Brands * | 72,400 | 683 | ||||||
Actuant, Cl A (A) | 223,324 | 5,119 | ||||||
Advisory Board * (A) | 73,240 | 5,301 | ||||||
AECOM Technology * | 64,240 | 1,378 | ||||||
Aegean Marine Petroleum Network (A) | 124,200 | 560 | ||||||
AerCap Holdings * | 170,643 | 1,836 | ||||||
AGCO * | 148,800 | 6,808 | ||||||
Air Transport Services Group * | 75,100 | 363 | ||||||
Aircastle (A) | 119,900 | 1,393 | ||||||
Alaska Air Group * (A) | 4,400 | 306 | ||||||
Albany International, Cl A | 37,800 | 917 | ||||||
Altra Holdings * | 34,000 | 603 | ||||||
Amerco * | 15,600 | 1,217 | ||||||
Ametek | 37,680 | 1,614 | ||||||
Applied Industrial Technologies | 18,000 | 622 | ||||||
Atlas Air Worldwide Holdings * | 25,610 | 1,082 | ||||||
Avery Dennison | 73,543 | 1,928 | ||||||
BE Aerospace * | 248,801 | 9,691 | ||||||
Belden | 81,378 | 2,689 | ||||||
Brady, Cl A | 88,387 | 2,646 | ||||||
Carlisle | 16,000 | 713 | ||||||
Celadon Group | 101,243 | 1,082 | ||||||
Ceradyne * | 18,035 | 536 | ||||||
Chart Industries * (A) | 61,750 | 3,758 | ||||||
Cintas (A) | 70,880 | 2,155 | ||||||
Clean Harbors * (A) | 20,715 | 1,242 | ||||||
Columbus McKinnon * | 54,300 | 682 | ||||||
Consolidated Graphics * | 62,001 | 3,159 | ||||||
Copa Holdings, Cl A | 55,038 | 3,553 | ||||||
Corporate Executive Board | 28,825 | 1,130 | ||||||
Corrections Corp of America * | 181,795 | 3,818 | ||||||
CoStar Group * (A) | 122,595 | 8,158 | ||||||
Courier (A) | 32,275 | 357 | ||||||
Crane | 93,188 | 4,472 |
5 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Cubic | 24,386 | $ | 1,035 | |||||
Curtiss-Wright | 90,301 | 2,975 | ||||||
Deluxe | 171,470 | 3,920 | ||||||
DigitalGlobe * | 155,050 | 2,310 | ||||||
Dover | 43,402 | 2,386 | ||||||
Dycom Industries * | 211,271 | 4,236 | ||||||
Dynamic Materials | 81,444 | 1,740 | ||||||
EMCOR Group | 199,813 | 5,121 | ||||||
EnPro Industries * | 20,700 | 693 | ||||||
ESCO Technologies | 28,961 | 785 | ||||||
Esterline Technologies * | 22,700 | 1,223 | ||||||
Flow International * | 50,900 | 133 | ||||||
Flowserve (A) | 21,428 | 2,202 | ||||||
Fluor | 38,111 | 2,089 | ||||||
Force Protection * | 123,800 | 683 | ||||||
Foster Wheeler * | 63,070 | 1,170 | ||||||
FTI Consulting * (A) | 40,275 | 1,727 | ||||||
G&K Services, Cl A | 107,269 | 3,207 | ||||||
Gardner Denver (A) | 55,410 | 4,750 | ||||||
General Cable * (A) | 56,556 | 1,499 | ||||||
Genesee & Wyoming, Cl A * | 28,090 | 1,715 | ||||||
Geo Group * | 184,877 | 3,272 | ||||||
Global Power Equipment Group * (A) | 16,400 | 382 | ||||||
GrafTech International * | 9,300 | 134 | ||||||
Great Lakes Dredge & Dock | 48,300 | 292 | ||||||
H&E Equipment Services * (A) | 58,500 | 743 | ||||||
Hawaiian Holdings * (A) | 255,230 | 1,519 | ||||||
Heico, Cl A | 101,110 | 4,140 | ||||||
Hexcel * | 157,170 | 3,917 | ||||||
Huron Consulting Group * | 26,775 | 930 | ||||||
ICF International * | 16,600 | 431 | ||||||
IDEX (A) | 79,679 | 2,905 | ||||||
Innerworkings * (A) | 193,760 | 1,759 | ||||||
Interface, Cl A | 250,620 | 2,882 | ||||||
Iron Mountain (A) | 101,229 | 3,074 | ||||||
JB Hunt Transport Services (A) | 61,975 | 2,834 | ||||||
John Bean Technologies | 41,180 | 678 | ||||||
Joy Global | 24,128 | 2,202 | ||||||
Kadant * | 89,075 | 1,821 | ||||||
Kansas City Southern * | 60,150 | 4,092 | ||||||
Kaydon (A) | 113,994 | 3,600 | ||||||
Kennametal | 104,000 | 3,963 | ||||||
Keyw Holding * (A) | 109,740 | 892 | ||||||
Kirby * (A) | 82,375 | 5,295 | ||||||
Knight Transportation | 3,810 | 57 | ||||||
Kratos Defense & Security Solutions * (A) | 107,226 | 536 | ||||||
L-3 Communications Holdings, Cl 3 | 34,100 | 2,261 | ||||||
Landstar System | 103,376 | 4,783 | ||||||
Lincoln Electric Holdings | 47,570 | 1,878 | ||||||
Localiza Rent a Car | 94,530 | 1,437 | ||||||
Lydall * | 48,100 | 433 | ||||||
Marten Transport | 35,695 | 659 | ||||||
Meritor * (A) | 181,634 | 1,081 | ||||||
Michael Baker * | 31,100 | 617 | ||||||
Middleby * | 18,910 | 1,726 | ||||||
Mobile Mini * | 115,876 | 2,089 | ||||||
Moog, Cl A * (A) | 90,175 | 3,771 | ||||||
MSC Industrial Direct, Cl A | 76,295 | 5,305 | ||||||
Navigant Consulting * | 81,400 | 917 |
Description | Shares | Market Value ($ Thousands) | ||||||
Navistar International * | 36,648 | $ | 1,364 | |||||
NN * | 85,100 | 561 | ||||||
Nordson | 57,598 | 2,711 | ||||||
Northwest Pipe * | 28,830 | 672 | ||||||
Old Dominion Freight Line * (A) | 226,859 | 8,804 | ||||||
Orion Marine Group * | 278,614 | 1,675 | ||||||
Oshkosh Truck * | 51,500 | 1,057 | ||||||
Owens Corning * | 171,892 | 4,933 | ||||||
Polypore International * (A) | 51,825 | 2,542 | ||||||
Quanex Building Products (A) | 65,460 | 987 | ||||||
Rand Logistics * | 21,800 | 141 | ||||||
RBC Bearings * | 39,200 | 1,656 | ||||||
Republic Services, Cl A | 113,031 | 3,103 | ||||||
Resources Connection | 199,737 | 2,137 | ||||||
Ritchie Bros Auctioneers (A) | 134,912 | 2,775 | ||||||
Robbins & Myers | 51,562 | 2,743 | ||||||
Roper Industries | 94,063 | 8,013 | ||||||
RPX * | 86,040 | 1,215 | ||||||
RSC Holdings * (A) | 65,600 | 798 | ||||||
Rush Enterprises, Cl B * | 76,715 | 1,209 | ||||||
Ryder System | 17,100 | 894 | ||||||
Sauer-Danfoss * | 4,400 | 165 | ||||||
SeaCube Container Leasing | 45,100 | 694 | ||||||
Sensata Technologies Holding * (A) | 250,453 | 7,827 | ||||||
Simpson Manufacturing | 48,420 | 1,603 | ||||||
Skywest | 49,700 | 603 | ||||||
Spirit Aerosystems Holdings, Cl A * (A) | 218,811 | 4,269 | ||||||
Spirit Airlines * (A) | 84,900 | 1,369 | ||||||
Standard Parking * | 94,706 | 1,714 | ||||||
Standex International | 31,600 | 1,009 | ||||||
Swift Transporation, Cl A * | 229,180 | 1,953 | ||||||
SYKES Enterprises * | 149,867 | 2,441 | ||||||
TAL International Group (A) | 90,930 | 2,393 | ||||||
Teledyne Technologies * | 70,147 | 3,976 | ||||||
Terex * (A) | 63,377 | 978 | ||||||
Tetra Tech * | 166,971 | 3,739 | ||||||
Textainer Group Holdings (A) | 26,900 | 729 | ||||||
Thermon Group Holdings * | 69,668 | 1,077 | ||||||
Titan Machinery * (A) | 49,875 | 1,082 | ||||||
TMS International, Cl A * | 67,800 | 678 | ||||||
Towers Watson, Cl A | 68,945 | 4,492 | ||||||
TransDigm Group * | 57,546 | 5,549 | ||||||
Trex * (A) | 74,943 | 1,674 | ||||||
Trinity Industries | 11,500 | 329 | ||||||
Triumph Group (A) | 26,352 | 1,568 | ||||||
TrueBlue * | 141,900 | 1,826 | ||||||
Tutor Perini * | 106,400 | 1,755 | ||||||
United Rentals * (A) | 299,665 | 8,433 | ||||||
United Stationers | 19,000 | 637 | ||||||
URS * | 70,100 | 2,533 | ||||||
US Airways Group * (A) | 92,000 | 434 | ||||||
Valmont Industries | 17,192 | 1,464 | ||||||
Vitran, Cl A * | 94,235 | 537 | ||||||
Wabash National * (A) | 723,342 | 5,309 | ||||||
WABCO Holdings * | 28,973 | 1,362 | ||||||
Wabtec | 47,343 | 3,231 | ||||||
Watts Water Technologies, Cl A (A) | 44,735 | 1,709 | ||||||
WESCO International * (A) | 96,250 | 4,905 |
6 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Zipcar * (A) | 11,700 | $ | 187 | |||||
|
| |||||||
344,660 | ||||||||
|
| |||||||
Information Technology — 16.4% |
| |||||||
Acme Packet * | 171,455 | 5,732 | ||||||
Adobe Systems * | 89,495 | 2,454 | ||||||
ADTRAN (A) | 88,910 | 2,937 | ||||||
Aeroflex Holding * | 77,600 | 748 | ||||||
Akamai Technologies * | 135,950 | 3,930 | ||||||
Analog Devices | 54,219 | 1,890 | ||||||
Ancestry.com * (A) | 77,228 | 1,831 | ||||||
Ansys * | 77,500 | 4,803 | ||||||
Applied Micro Circuits * (A) | 161,590 | 1,205 | ||||||
Ariba * | 86,520 | 2,626 | ||||||
Arris Group * | 154,790 | 1,664 | ||||||
Aruba Networks * (A) | 172,200 | 3,633 | ||||||
Aspen Technology * | 122,720 | 2,191 | ||||||
Atmel * | 384,519 | 3,411 | ||||||
Avnet * | 34,300 | 1,022 | ||||||
Benchmark Electronics * | 209,361 | 2,891 | ||||||
Black Box (A) | 24,000 | 685 | ||||||
Booz Allen Hamilton Holding, Cl A * | 48,875 | 683 | ||||||
Broadridge Financial Solutions | 120,615 | 2,722 | ||||||
BroadSoft * (A) | 175,463 | 6,155 | ||||||
Brocade Communications Systems * | 683,902 | 3,679 | ||||||
CACI International, Cl A * (A) | 28,381 | 1,600 | ||||||
Cadence Design Systems * (A) | 706,230 | 7,726 | ||||||
Cardtronics * | 168,550 | 4,581 | ||||||
Cavium * (A) | 73,700 | 2,406 | ||||||
CDC Software ADR * (A) | 100,500 | 189 | ||||||
Ceva * (A) | 108,778 | 3,134 | ||||||
Ciber * | 218,400 | 904 | ||||||
Coherent * | 44,896 | 2,281 | ||||||
CommVault Systems * | 17,425 | 865 | ||||||
Computer Sciences | 33,500 | 818 | ||||||
Comtech Telecommunications (A) | 47,631 | 1,443 | ||||||
Comverse Technology * | 67,200 | 440 | ||||||
Concur Technologies * (A) | 74,530 | 3,520 | ||||||
Constant Contact * (A) | 118,754 | 2,598 | ||||||
Convergys * (A) | 118,100 | 1,526 | ||||||
CTS | 66,600 | 567 | ||||||
Cymer * (A) | 32,575 | 1,457 | ||||||
Cypress Semiconductor (A) | 125,060 | 2,385 | ||||||
DealerTrack Holdings * | 87,810 | 2,274 | ||||||
Dice Holdings * | 67,280 | 523 | ||||||
Diebold (A) | 51,030 | 1,539 | ||||||
Digi International * | 59,900 | 658 | ||||||
Digital River * (A) | 156,492 | 2,502 | ||||||
DTS * (A) | 132,386 | 3,811 | ||||||
Earthlink | 198,745 | 1,252 | ||||||
Emulex * | 285,637 | 2,257 | ||||||
Entegris * | 145,300 | 1,225 | ||||||
Euronet Worldwide * | 250,541 | 4,510 | ||||||
F5 Networks * | 47,618 | 5,382 | ||||||
Fabrinet * | 76,234 | 1,082 | ||||||
Factset Research Systems (A) | 14,254 | 1,329 | ||||||
Fairchild Semiconductor International, Cl A * | 428,060 | 5,543 | ||||||
Finisar * (A) | 82,660 | 1,524 | ||||||
Forrester Research | 14,080 | 456 |
Description | Shares | Market Value ($ Thousands) | ||||||
Fortinet * | 46,552 | $ | 1,117 | |||||
Gartner * | 81,006 | 3,065 | ||||||
Global Payments | 93,171 | 4,121 | ||||||
GT Advanced Technologies * (A) | 154,200 | 1,190 | ||||||
Hackett Group * | 149,100 | 564 | ||||||
Harris (A) | 61,400 | 2,186 | ||||||
Hittite Microwave * (A) | 24,770 | 1,348 | ||||||
IAC (A) | 103,620 | 4,340 | ||||||
Imation * | 41,300 | 243 | ||||||
Informatica * | 8,910 | 401 | ||||||
Ingram Micro, Cl A * | 190,404 | 3,429 | ||||||
Inphi * (A) | 262,890 | 2,837 | ||||||
Insight Enterprises * | 72,500 | 1,061 | ||||||
Integrated Device Technology * (A) | 460,771 | 2,672 | ||||||
Intermec * | 183,530 | 1,347 | ||||||
International Rectifier * (A) | 116,311 | 2,446 | ||||||
InvenSense, Cl A * | 22,900 | 258 | ||||||
IPG Photonics * | 77,375 | 2,966 | ||||||
Ixia * (A) | 163,230 | 1,795 | ||||||
j2 Global Communications (A) | 34,135 | 926 | ||||||
Jabil Circuit | 241,490 | 4,895 | ||||||
Jack Henry & Associates | 96,967 | 3,220 | ||||||
JDA Software Group * | 87,362 | 2,754 | ||||||
KIT Digital * (A) | 80,331 | 717 | ||||||
Kla-Tencor (A) | 27,500 | 1,268 | ||||||
Lattice Semiconductor * | 274,694 | 1,893 | ||||||
Lexmark International, Cl A | 49,300 | 1,650 | ||||||
Liquidity Services * | 25,700 | 875 | ||||||
Littelfuse | 20,193 | 944 | ||||||
LivePerson * (A) | 183,404 | 2,307 | ||||||
LogMeIn * (A) | 60,950 | 2,621 | ||||||
LSI * | 260,500 | 1,464 | ||||||
Magnachip Semiconductor * | 81,080 | 649 | ||||||
Measurement Specialties * | 93,563 | 2,669 | ||||||
Mellanox Technologies * (A) | 86,228 | 3,019 | ||||||
Micros Systems * | 30,410 | 1,434 | ||||||
Microsemi * | 36,000 | 639 | ||||||
MicroStrategy, Cl A * | 18,740 | 2,307 | ||||||
Mindspeed Technologies * (A) | 153,780 | 792 | ||||||
Mitek Systems * (A) | 116,437 | 853 | ||||||
Mitel Networks * | 215,530 | 552 | ||||||
Molex (A) | 87,759 | 2,189 | ||||||
Monolithic Power Systems * | 67,373 | 811 | ||||||
Netgear * | 57,500 | 2,184 | ||||||
Netlogic Microsystems * | 11,790 | 583 | ||||||
ON Semiconductor * | 312,020 | 2,350 | ||||||
OpenTable * (A) | 49,311 | 1,744 | ||||||
OSI Systems * | 20,000 | 956 | ||||||
Parametric Technology * (A) | 273,621 | 5,699 | ||||||
Park Electrochemical | 24,500 | 672 | ||||||
Parkervision * (A) | 458,785 | 459 | ||||||
Plantronics | 10,900 | 376 | ||||||
Plexus * | 69,023 | 1,874 | ||||||
PMC - Sierra * (A) | 90,000 | 503 | ||||||
Polycom * | 35,290 | 596 | ||||||
Power Integrations (A) | 117,450 | 4,128 | ||||||
Pulse Electronics (A) | 43,000 | 130 | ||||||
QLIK Technologies * (A) | 161,660 | 4,425 | ||||||
Quest Software * | 93,170 | 1,684 | ||||||
RealD * (A) | 264,701 | 2,536 | ||||||
RealPage * (A) | 183,514 | 4,593 |
7 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Riverbed Technology * | 144,100 | $ | 3,747 | |||||
Rosetta Stone * (A) | 138,220 | 958 | ||||||
Saba Software * | 35,400 | 239 | ||||||
SAIC * | 116,700 | 1,406 | ||||||
Sapient (A) | 557,821 | 6,850 | ||||||
Seachange International * | 98,700 | 791 | ||||||
Seagate Technology | 105,400 | 1,802 | ||||||
ServiceSource International * (A) | 185,105 | 2,469 | ||||||
Silicon Laboratories * (A) | 24,410 | 1,055 | ||||||
Skyworks Solutions * | 184,880 | 3,015 | ||||||
SolarWinds * (A) | 244,980 | 8,033 | ||||||
Solera Holdings | 48,120 | 2,277 | ||||||
SS&C Technologies Holdings * | 153,960 | 2,471 | ||||||
SuccessFactors * (A) | 75,575 | 1,935 | ||||||
Sycamore Networks | 184,675 | 3,657 | ||||||
Symantec * | 135,224 | 2,211 | ||||||
Synopsys * | 175,810 | 4,917 | ||||||
Syntel | 114,087 | 5,458 | ||||||
Taleo, Cl A * | 34,940 | 1,132 | ||||||
Tech Data * | 23,700 | 1,167 | ||||||
Teradyne * (A) | 221,085 | 2,976 | ||||||
TIBCO Software * | 50,560 | 1,385 | ||||||
TNS * (A) | 83,778 | 1,636 | ||||||
Trimble Navigation * | 63,383 | 2,731 | ||||||
TTM Technologies * | 192,657 | 2,121 | ||||||
Ultra Clean Holdings * | 110,070 | 622 | ||||||
United Online (A) | 147,700 | 780 | ||||||
Universal Display * (A) | 33,040 | 1,287 | ||||||
VeriFone Holdings * (A) | 183,560 | 8,049 | ||||||
Vishay Intertechnology * | 152,560 | 1,509 | ||||||
VistaPrint * (A) | 223,602 | 7,314 | ||||||
Western Digital * | 56,100 | 1,631 | ||||||
XO Group * (A) | 64,409 | 475 | ||||||
Xyratex | 82,399 | 1,117 | ||||||
Zebra Technologies, Cl A * | 39,082 | 1,480 | ||||||
|
| |||||||
336,228 | ||||||||
|
| |||||||
Materials — 4.4% | ||||||||
Alcoa | 105,841 | 1,061 | ||||||
Allegheny Technologies | 59,784 | 3,002 | ||||||
Allied Nevada Gold * | 13,100 | 470 | ||||||
Aptargroup | 11,500 | 584 | ||||||
Ashland | 34,700 | 1,930 | ||||||
Boise (A) | 135,600 | 810 | ||||||
Buckeye Technologies (A) | 58,800 | 1,822 | ||||||
Carpenter Technology (A) | 44,593 | 2,414 | ||||||
Cytec Industries | 26,793 | 1,264 | ||||||
Detour Gold * | 71,550 | 2,092 | ||||||
Domtar | 18,100 | 1,421 | ||||||
Eastman Chemical | 66,200 | 2,623 | ||||||
EcoSynthetix * | 77,000 | 530 | ||||||
Ferro * | 146,239 | 850 | ||||||
Globe Specialty Metals | 217,229 | 3,243 | ||||||
Great Basin Gold * (A) | 285,525 | 266 | ||||||
Greif, Cl A | 80,229 | 3,740 | ||||||
Horsehead Holding * (A) | 392,612 | 3,647 | ||||||
Huntsman | 249,923 | 2,732 | ||||||
Innophos Holdings | 82,576 | 4,067 | ||||||
Intrepid Potash * (A) | 127,050 | 2,942 | ||||||
Methanex | 115,430 | 2,822 | ||||||
Minerals Technologies | 21,995 | 1,276 | ||||||
New Gold * | 41,800 | 463 | ||||||
NewMarket (A) | 12,900 | 2,553 |
Description | Shares | Market Value ($ Thousands) | ||||||
Noranda Aluminum Holding | 153,792 | $ | 1,264 | |||||
Nucor (A) | 57,298 | 2,259 | ||||||
OM Group * | 56,130 | 1,277 | ||||||
Owens-Illinois * | 188,065 | 3,673 | ||||||
Packaging Corp of America | 136,326 | 3,546 | ||||||
PolyOne | 450,889 | 4,852 | ||||||
Rockwood Holdings * | 35,936 | 1,601 | ||||||
Romarco Minerals * | 473,500 | 452 | ||||||
RTI International Metals * (A) | 138,316 | 3,776 | ||||||
Sandstorm Resources * | 348,400 | 463 | ||||||
Schweitzer-Mauduit International | 17,226 | 1,227 | ||||||
Sensient Technologies | 40,920 | 1,545 | ||||||
Silgan Holdings (A) | 35,070 | 1,366 | ||||||
Solutia * | 205,101 | 3,265 | ||||||
Sonoco Products | 25,600 | 831 | ||||||
Steel Dynamics | 353,850 | 4,664 | ||||||
UFP Technologies * | 60,200 | 920 | ||||||
Universal Stainless & Alloy * | 17,500 | 662 | ||||||
|
| |||||||
86,267 | ||||||||
|
| |||||||
Telecommunication Services — 0.8% |
| |||||||
AboveNet (A) | 64,500 | 3,853 | ||||||
Cincinnati Bell * (A) | 198,400 | 583 | ||||||
Fairpoint Communications * (A) | 40,300 | 192 | ||||||
Leap Wireless International * (A) | 55,300 | 502 | ||||||
Neutral Tandem * | 88,300 | 954 | ||||||
SBA Communications, Cl A * (A) | 176,916 | 7,234 | ||||||
tw telecom, Cl A * | 44,715 | 840 | ||||||
USA Mobility | 76,117 | 1,067 | ||||||
|
| |||||||
15,225 | ||||||||
|
| |||||||
Utilities — 3.7% | ||||||||
AGL Resources (A) | 136,564 | 5,631 | ||||||
Ameren | 42,000 | 1,420 | ||||||
Atmos Energy | 15,000 | 513 | ||||||
Avista | 54,700 | 1,368 | ||||||
Cadiz * (A) | 38,300 | 327 | ||||||
Chesapeake Utilities | 19,551 | 840 | ||||||
Cia de Saneamento de Minas Gerais-COPASA (Brazil) | 24,600 | 440 | ||||||
Cleco | 48,645 | 1,758 | ||||||
CMS Energy (A) | 75,800 | 1,586 | ||||||
Edison International | 40,463 | 1,591 | ||||||
El Paso Electric | 68,974 | 2,381 | ||||||
Great Plains Energy (A) | 355,111 | 7,472 | ||||||
IDACORP (A) | 89,078 | 3,651 | ||||||
Northeast Utilities | 123,134 | 4,262 | ||||||
Northwest Natural Gas (A) | 19,730 | 928 | ||||||
NRG Energy * (A) | 102,198 | 2,011 | ||||||
NV Energy | 251,724 | 3,861 | ||||||
Pinnacle West Capital | 32,800 | 1,555 | ||||||
PNM Resources | 150,336 | 2,873 | ||||||
Portland General Electric | 328,048 | 8,218 | ||||||
SCANA (A) | 64,278 | 2,804 | ||||||
Southwest Gas | 26,570 | 1,074 | ||||||
TECO Energy (A) | 120,338 | 2,260 | ||||||
UGI | 185,097 | 5,546 | ||||||
UIL Holdings (A) | 36,285 | 1,264 | ||||||
Unisource Energy | 14,100 | 520 | ||||||
Vectren | 87,233 | 2,538 | ||||||
Westar Energy (A) | 49,609 | 1,370 | ||||||
WGL Holdings | 26,465 | 1,135 |
8 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2011
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Xcel Energy (A) | 92,941 | $ | 2,443 | |||||
|
| |||||||
73,640 | ||||||||
|
| |||||||
Total Common Stock | 1,945,175 | |||||||
|
| |||||||
PREFERRED STOCK — 0.1% |
| |||||||
Consumer Discretionary — 0.1% |
| |||||||
Callaway Golf (B) | 8,800 | 847 | ||||||
|
| |||||||
Energy — 0.0% | ||||||||
GeoMet (B) | 12,062 | 123 | ||||||
|
| |||||||
Financials — 0.0% |
| |||||||
Grubb & Ellis * | 8,000 | 103 | ||||||
|
| |||||||
Total Preferred Stock | 1,073 | |||||||
|
| |||||||
CONVERTIBLE BONDS — 0.1% |
| |||||||
Energy — 0.1% | ||||||||
Rentech | ||||||||
4.000%, 04/15/13 | $ | 990 | 933 | |||||
|
| |||||||
Financials — 0.0% | ||||||||
Grubb & Ellis | ||||||||
7.950%, 05/01/15 (B) | 288 | 197 | ||||||
|
| |||||||
Total Convertible Bonds | 1,130 | |||||||
|
| |||||||
EXCHANGE TRADED FUNDS — 0.3% |
| |||||||
iShares Russell 2000 Growth Index Fund (A) | 61,140 | 5,179 | ||||||
iShares Russell 2000 Index Fund (A) | 25,630 | 1,889 | ||||||
|
| |||||||
Total Exchange Traded Funds | 7,068 | |||||||
|
| |||||||
Number of Warrants | ||||||||
WARRANTS — 0.0% |
| |||||||
Kulim, Expires 10/14/13 * | 51,500 | — | ||||||
|
| |||||||
Magnum Hunter Resource, | ||||||||
Expires 08/29/14 * | 18,718 | — | ||||||
|
| |||||||
Rentech, Expires 04/25/12 * (C) (G) (H) | 13,800 | — | ||||||
|
| |||||||
Sandstorm Resources, | ||||||||
Expires 04/23/14 * | 158,125 | 123 | ||||||
|
| |||||||
Total Warrants | 123 | |||||||
|
|
Description | Shares/ Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
AFFILIATED PARTNERSHIP — 26.1% |
| |||||
SEI Liquidity Fund, L.P. | ||||||
0.140% †** (D) | 540,265,714 | $ | 531,544 | |||
|
| |||||
Total Affiliated Partnership | 531,544 | |||||
|
| |||||
CASH EQUIVALENT — 3.6% |
| |||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||
0.040% †** | 73,677,132 | 73,677 | ||||
|
| |||||
Total Cash Equivalent | 73,677 | |||||
|
| |||||
U.S. TREASURY OBLIGATIONS (E) (F) — 0.6% | ||||||
U.S. Treasury Bills | ||||||
0.068%, 08/23/12 | 400 | 400 | ||||
0.062%, 12/15/11 | 3,475 | 3,475 | ||||
0.055%, 06/28/12 | 6,128 | 6,126 | ||||
0.007%, 12/08/11 | 1,705 | 1,705 | ||||
|
| |||||
Total U.S. Treasury Obligations | 11,706 | |||||
|
| |||||
Total Investments — 126.5% | $ | 2,571,496 | ||||
|
|
The open futures contracts held by the Fund at November 30,
| ||||||||||||
Type of Contract | Number Of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 387 | Dec-2011 | $ | 1,158 | ||||||||
S&P Mid 400 Index E-MINI | 286 | Dec-2011 | 672 | |||||||||
|
| |||||||||||
$ | 1,830 | |||||||||||
|
|
For the period ended November 30, 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.
Percentages are based on a Net Assets of $2,033,028 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 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 November 30, 2011. The total value of securities on loan at November 30, 2011 was $551,703 ($Thousands). |
(B) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(C) | Securities considered restricted. The total value of such securities as of November 30, 2011 was $164 ($ Thousands) and represented 0.01% of Net Assets. |
(D) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2011 was $531,544($ Thousands). |
(E) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
9 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2011
(F) | The rate reported on the Schedule of Investments is the effective yield at time of purchase. |
(G) | Securities considered illiquid. The total value of such securities as of November 30, 2011 was $164 ($ Thousands) and represented 0.01% of Net Assets. |
(H) | 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 November 30, 2011 was $164 ($ Thousands) and represented 0.1% of Net Assets. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
NY — New York
REIT — Real Estate Investment Trust
S&P — Standard & Poor’s
The following is a summary of the inputs used as of
| ||||||||||||||||
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,945,011 | $ | — | $ | 164 | $ | 1,945,175 | ||||||||
Preferred Stock | — | 1,073 | — | 1,073 | ||||||||||||
Convertible Bonds | — | 1,130 | — | 1,130 | ||||||||||||
Exchange Traded Funds | 7,068 | — | — | 7,068 | ||||||||||||
Warrants | — | 123 | — | 123 | ||||||||||||
Affiliated Partnership | — | 531,544 | — | 531,544 | ||||||||||||
Cash Equivalent | 73,677 | — | — | 73,677 | ||||||||||||
U.S. Treasury Obligations | — | 11,706 | — | 11,706 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,025,756 | $ | 545,576 | $ | 164 | $ | 2,571,496 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 1,830 | $ | — | $ | — | $ | 1,830 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 1,830 | $ | — | $ | — | $ | 1,830 | ||||||||
|
|
|
|
|
|
|
|
* | 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 | ||||
Beginning balance as of June 1, 2011 | $ | 203 | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | (39 | ) | ||
Net purchases/sales | — | |||
Net transfer in and/or out of Level 3 | — | |||
|
| |||
Ending balance as of November 30, 2011 | $ | 164 | ||
|
| |||
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date | $ | 9 | ||
|
|
For the period ended November 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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.
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
10 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.5% | ||||||||
Consumer Discretionary — 8.6% |
| |||||||
Aaron’s | 26,691 | $ | 702 | |||||
Advance Auto Parts | 28,475 | 1,971 | ||||||
Amazon.com * | 6,470 | 1,244 | ||||||
Apollo Group, Cl A * | 7,600 | 368 | ||||||
AutoZone * | 1,986 | 652 | ||||||
Best Buy | 37,000 | 1,002 | ||||||
Big Lots * | 14,200 | 570 | ||||||
Bridgepoint Education * | 28,600 | 629 | ||||||
Buckle | 6,400 | 256 | ||||||
Carter’s * | 25,000 | 994 | ||||||
Choice Hotels International | 28,200 | 1,012 | ||||||
Cinemark Holdings | 18,300 | 359 | ||||||
Cogeco Cable | 13,400 | 670 | ||||||
DeVry | 9,900 | 342 | ||||||
DIRECTV, Cl A * | 34,100 | 1,610 | ||||||
Discovery Communications, | 13,600 | 571 | ||||||
DISH Network, Cl A | 13,600 | 334 | ||||||
Dollar Tree * | 721 | 59 | ||||||
DreamWorks Animation SKG, Cl A * | 9,200 | 171 | ||||||
Family Dollar Stores | 9,500 | 564 | ||||||
GameStop, Cl A * | 52,900 | 1,223 | ||||||
Gap | 18,300 | 342 | ||||||
H&R Block | 123,600 | 1,944 | ||||||
Hillenbrand | 29,500 | 671 | ||||||
Hyatt Hotels, Cl A * | 26,300 | 939 | ||||||
ITT Educational Services * | 4,100 | 225 | ||||||
Kohl’s | 22,500 | 1,211 | ||||||
Liberty Media - Liberty Capital, Cl A | 25,373 | 1,935 | ||||||
Panera Bread, Cl A * | 3,800 | 545 | ||||||
priceline.com * | 4,634 | 2,252 | ||||||
Regal Entertainment Group, | 33,400 | 476 | ||||||
Shaw Communications, Cl B | 45,100 | 930 | ||||||
Target | 43,500 | 2,292 | ||||||
TJX | 19,400 | 1,197 | ||||||
Washington Post, Cl B | 2,100 | 754 | ||||||
|
| |||||||
31,016 | ||||||||
|
| |||||||
Consumer Staples — 20.1% | ||||||||
Altria Group | 78,444 | 2,251 | ||||||
Archer-Daniels-Midland | 32,400 | 976 | ||||||
Brown-Forman, Cl B | 10,339 | 825 | ||||||
Bunge | 6,094 | 381 | ||||||
Campbell Soup | 68,051 | 2,219 | ||||||
Church & Dwight | 30,642 | 1,356 | ||||||
Clorox | 42,220 | 2,742 | ||||||
Coca-Cola Enterprises | 120,904 | 3,158 | ||||||
ConAgra Foods | 44,300 | 1,119 | ||||||
Costco Wholesale | 10,937 | 933 | ||||||
CVS Caremark | 28,100 | 1,091 | ||||||
Dean Foods * | 8,100 | 82 | ||||||
Dr. Pepper Snapple Group | 33,800 | 1,235 | ||||||
Flowers Foods | 59,039 | 1,167 | ||||||
Fresh Del Monte Produce | 20,800 | 522 | ||||||
Hansen Natural * | 30,963 | 2,855 | ||||||
Hershey | 68,009 | 3,923 | ||||||
HJ Heinz | 2,425 | 128 | ||||||
Hormel Foods | 148,993 | 4,486 |
Description | Shares | Market Value ($ Thousands) | ||||||
Kellogg | 13,300 | $ | 654 | |||||
Kimberly-Clark | 70,123 | 5,012 | ||||||
Kraft Foods, Cl A | 27,700 | 1,001 | ||||||
Kroger | 167,887 | 3,892 | ||||||
Lorillard | 42,558 | 4,750 | ||||||
McCormick | 20,020 | 975 | ||||||
Mead Johnson Nutrition, Cl A | 2,293 | 173 | ||||||
Metro, Cl A | 18,900 | 958 | ||||||
Nash Finch | 7,100 | 197 | ||||||
Philip Morris International | 42,497 | 3,240 | ||||||
Ralcorp Holdings * | 37,300 | 3,033 | ||||||
Reynolds American | 87,915 | 3,680 | ||||||
Ruddick | 21,600 | 861 | ||||||
Safeway | 90,056 | 1,801 | ||||||
Sysco | 27,347 | 780 | ||||||
TreeHouse Foods * | 15,200 | 1,002 | ||||||
Tyson Foods, Cl A | 165,596 | 3,335 | ||||||
Walgreen | 71,400 | 2,408 | ||||||
Wal-Mart Stores | 54,000 | 3,181 | ||||||
Weis Markets | 7,300 | 291 | ||||||
|
| |||||||
72,673 | ||||||||
|
| |||||||
Energy — 2.8% | ||||||||
Berry Petroleum, Cl A | 16,400 | 720 | ||||||
Chevron | 22,500 | 2,313 | ||||||
ConocoPhillips | 9,500 | 678 | ||||||
Dresser-Rand Group * | 11,300 | 588 | ||||||
Exxon Mobil | 39,500 | 3,177 | ||||||
HollyFrontier | 8,000 | 186 | ||||||
Lufkin Industries | 11,800 | 827 | ||||||
Murphy Oil | 12,300 | 688 | ||||||
Range Resources | 10,000 | 717 | ||||||
Sunoco | 9,500 | 369 | ||||||
|
| |||||||
10,263 | ||||||||
|
| |||||||
Financials — 10.3% | ||||||||
Alexander’s ‡ | 400 | 159 | ||||||
Allied World Assurance Holdings | 28,756 | 1,711 | ||||||
American Campus Communities ‡ | 24,300 | 956 | ||||||
American Capital Agency ‡ | 43,074 | 1,236 | ||||||
Arch Capital Group * | 84,935 | 3,208 | ||||||
Associated Banc | 25,400 | 264 | ||||||
Assurant | 9,000 | 353 | ||||||
BOK Financial | 15,498 | 850 | ||||||
Brown & Brown | 40,900 | 853 | ||||||
Capitol Federal Financial | 17,883 | 202 | ||||||
CBOE Holdings | 23,981 | 646 | ||||||
Chubb | 31,372 | 2,116 | ||||||
Commerce Bancshares | 64,995 | 2,420 | ||||||
Corporate Office Properties Trust ‡ | 6,000 | 125 | ||||||
Endurance Specialty Holdings | 29,120 | 1,053 | ||||||
Equity Lifestyle Properties ‡ | 8,200 | 507 | ||||||
Erie Indemnity, Cl A | 6,600 | 487 | ||||||
Everest Re Group | 17,625 | 1,546 | ||||||
Federated Investors, Cl B | 25,000 | 397 | ||||||
First Citizens BancShares, Cl A | 1,295 | 222 | ||||||
First Niagara Financial Group | 49,500 | 436 | ||||||
Genworth MI Canada | 22,800 | 457 | ||||||
Hanover Insurance Group | 19,500 | 704 | ||||||
HCC Insurance Holdings | 7,500 | 202 | ||||||
Hudson City Bancorp | 165,900 | 927 | ||||||
M&T Bank | 1,380 | 101 |
1 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Maiden Holdings | 59,335 | $ | 516 | |||||
Main Street Capital * | 30,300 | 591 | ||||||
MFA Mortgage Investments ‡ | 77,200 | 531 | ||||||
National Bank of Canada | 7,000 | 457 | ||||||
New York Community Bancorp | 29,583 | 356 | ||||||
PartnerRe | 20,000 | 1,314 | ||||||
PennyMac Mortgage Investment Trust ‡ | 39,600 | 638 | ||||||
Piedmont Office Realty Trust, | 55,500 | 924 | ||||||
Prosperity Bancshares | 6,100 | 244 | ||||||
Realty Income ‡ | 26,400 | 894 | ||||||
RenaissanceRe Holdings | 13,300 | 977 | ||||||
Signature Bank NY * | 16,800 | 981 | ||||||
Tanger Factory Outlet | 34,500 | 978 | ||||||
TFS Financial * | 102,800 | 952 | ||||||
Tower Group | 18,700 | 393 | ||||||
Transatlantic Holdings | 5,000 | 273 | ||||||
Travelers | 20,400 | 1,147 | ||||||
Validus Holdings | 48,700 | 1,465 | ||||||
Ventas ‡ | 2,753 | 145 | ||||||
Washington Real Estate | ||||||||
Investment Trust ‡ | 14,400 | 392 | ||||||
WR Berkley | 31,100 | 1,061 | ||||||
|
| |||||||
37,367 | ||||||||
|
| |||||||
Health Care — 20.0% | ||||||||
Abbott Laboratories | 88,673 | 4,837 | ||||||
Aetna | 40,000 | 1,673 | ||||||
Alexion Pharmaceuticals * | 50,344 | 3,457 | ||||||
AmerisourceBergen | 118,986 | 4,420 | ||||||
Amgen | 91,318 | 5,288 | ||||||
AstraZeneca ADR | 45,000 | 2,069 | ||||||
Baxter International | 15,200 | 785 | ||||||
Becton Dickinson | 42,588 | 3,142 | ||||||
Biogen Idec * | 4,837 | 556 | ||||||
C.R. Bard | 6,930 | 604 | ||||||
Cardinal Health | 88,340 | 3,751 | ||||||
Coventry Health Care * | 9,800 | 313 | ||||||
Edwards Lifesciences * | 1,100 | 73 | ||||||
Eli Lilly | 104,479 | 3,955 | ||||||
Endo Pharmaceuticals Holdings * | 41,400 | 1,417 | ||||||
Gilead Sciences * | 75,970 | 3,027 | ||||||
Greatbatch * | 21,100 | 467 | ||||||
Health Net * | 15,100 | 470 | ||||||
Henry Schein * | 11,823 | 761 | ||||||
Humana | 6,900 | 612 | ||||||
Johnson & Johnson | 54,978 | 3,558 | ||||||
LifePoint Hospitals * | 15,900 | 624 | ||||||
Lincare Holdings | 31,900 | 756 | ||||||
Magellan Health Services * | 13,200 | 669 | ||||||
McKesson | 66,122 | 5,377 | ||||||
Medtronic | 17,300 | 630 | ||||||
Merck | 103,600 | 3,704 | ||||||
Myriad Genetics * | 28,403 | 603 | ||||||
Orthofix International * | 17,400 | 596 | ||||||
Owens & Minor | 2,900 | 89 | ||||||
Par Pharmaceutical * | 7,000 | 227 | ||||||
Patterson | 19,800 | 597 | ||||||
PDL BioPharma | 112,300 | 719 | ||||||
Pfizer | 137,500 | 2,760 | ||||||
SXC Health Solutions * | 37,131 | 2,184 |
Description | Shares | Market Value ($ Thousands) | ||||||
Techne | 23,385 | $ | 1,578 | |||||
United Therapeutics * | 22,000 | 900 | ||||||
UnitedHealth Group | 16,800 | 819 | ||||||
Watson Pharmaceuticals * | 25,665 | 1,658 | ||||||
WellPoint | 27,000 | 1,905 | ||||||
Zimmer Holdings * | 17,200 | 870 | ||||||
|
| |||||||
72,500 | ||||||||
|
| |||||||
Industrials — 6.6% | ||||||||
Alliant Techsystems | 15,100 | 889 | ||||||
C.H. Robinson Worldwide | 13,700 | 938 | ||||||
Cintas | 29,600 | 900 | ||||||
CSX | 33,400 | 725 | ||||||
General Dynamics | 21,500 | 1,420 | ||||||
ITT | 54,679 | 1,103 | ||||||
KAR Auction Services * | 19,500 | 256 | ||||||
KBR | 29,200 | 844 | ||||||
L-3 Communications Holdings, Cl 3 | 36,900 | 2,446 | ||||||
Landstar System | 20,500 | 949 | ||||||
Lennox International | 4,400 | 146 | ||||||
Lincoln Electric Holdings | 21,700 | 857 | ||||||
Lockheed Martin | 39,080 | 3,054 | ||||||
Northrop Grumman | 25,900 | 1,478 | ||||||
Old Dominion Freight Line * | 24,300 | 943 | ||||||
Raytheon | 53,300 | 2,429 | ||||||
Rollins | 47,100 | 1,046 | ||||||
Stericycle * | 15,919 | 1,290 | ||||||
Verisk Analytics, Cl A * | 45,601 | 1,791 | ||||||
Waste Connections | 8,960 | 293 | ||||||
Woodward Governor | 7,300 | 309 | ||||||
|
| |||||||
24,106 | ||||||||
|
| |||||||
Information Technology — 7.9% | ||||||||
Activision Blizzard | 154,700 | 1,922 | ||||||
ADTRAN | 30,600 | 1,011 | ||||||
Amdocs * | 35,589 | 1,005 | ||||||
Avago Technologies | 20,700 | 620 | ||||||
AVX | 25,100 | 325 | ||||||
Booz Allen Hamilton Holding, Cl A * | 8,179 | 114 | ||||||
CACI International, Cl A * | 12,100 | 682 | ||||||
Cisco Systems | 37,500 | 699 | ||||||
Computer Sciences | 8,500 | 208 | ||||||
CSG Systems International * | 24,300 | 369 | ||||||
Dell * | 109,300 | 1,723 | ||||||
DST Systems | 7,400 | 352 | ||||||
EchoStar, Cl A * | 6,400 | 141 | ||||||
FLIR Systems | 19,100 | 513 | ||||||
Harris | 23,500 | 836 | ||||||
Hewlett-Packard | 34,500 | 964 | ||||||
IAC | 74,133 | 3,104 | ||||||
Ingram Micro, Cl A * | 50,600 | 911 | ||||||
Intel | 113,100 | 2,817 | ||||||
International Business Machines | 9,230 | 1,735 | ||||||
Mantech International, Cl A | 9,900 | 335 | ||||||
Microsoft | 88,200 | 2,256 | ||||||
NeuStar, Cl A * | 5,700 | 192 | ||||||
SAIC * | 248,992 | 3,000 | ||||||
TE Connectivity | 18,900 | 600 | ||||||
Tech Data * | 17,738 | 873 | ||||||
Total System Services | 26,700 | 535 | ||||||
WebMD Health, Cl A * | 14,600 | 529 |
2 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Zebra Technologies, Cl A * | 4,900 | $ | 185 | |||||
|
| |||||||
28,556 | ||||||||
|
| |||||||
Materials — 2.8% |
| |||||||
Aptargroup | 18,600 | 944 | ||||||
Ball | 29,000 | 1,018 | ||||||
Barrick Gold | 29,600 | 1,574 | ||||||
Compass Minerals International | 12,200 | 935 | ||||||
Greif, Cl A | 13,100 | 611 | ||||||
Newmont Mining | 40,753 | 2,807 | ||||||
PPG Industries | 6,300 | 553 | ||||||
Royal Gold | 12,270 | 999 | ||||||
Sealed Air | 16,900 | 298 | ||||||
Silgan Holdings | 13,300 | 518 | ||||||
|
| |||||||
10,257 | ||||||||
|
| |||||||
Telecommunication Services — 3.6% |
| |||||||
AT&T | 50,000 | 1,449 | ||||||
BCE | 20,000 | 787 | ||||||
MetroPCS Communications * | 116,700 | 978 | ||||||
NTT DoCoMo ADR | 91,700 | 1,629 | ||||||
Rogers Communications, Cl B | 44,000 | 1,637 | ||||||
SK Telecom ADR | 21,100 | 312 | ||||||
Sprint Nextel * | 133,500 | 360 | ||||||
Telephone & Data Systems | 18,600 | 502 | ||||||
TELUS, Cl A | 21,600 | 1,112 | ||||||
Verizon Communications | 110,435 | 4,167 | ||||||
|
| |||||||
12,933 | ||||||||
|
| |||||||
Utilities — 13.8% | ||||||||
AGL Resources | 7,400 | 305 | ||||||
Alliant Energy | 36,300 | 1,532 | ||||||
Ameren | 50,300 | 1,701 | ||||||
American Electric Power | 37,500 | 1,488 | ||||||
American Water Works | 74,290 | 2,308 | ||||||
Atmos Energy | 56,200 | 1,923 | ||||||
Avista | 19,300 | 483 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo ADR | 16,100 | 889 | ||||||
CMS Energy | 16,682 | 349 | ||||||
Consolidated Edison | 42,579 | 2,530 | ||||||
DTE Energy | 65,609 | 3,454 | ||||||
Duke Energy | 98,400 | 2,052 | ||||||
Edison International | 23,000 | 904 | ||||||
El Paso Electric | 14,300 | 494 | ||||||
Entergy | 21,700 | 1,527 | ||||||
Great Plains Energy | 47,500 | 999 | ||||||
Hawaiian Electric Industries | 133,693 | 3,464 | ||||||
IDACORP | 11,700 | 479 | ||||||
Integrys Energy Group | 19,390 | 998 | ||||||
ITC Holdings | 17,323 | 1,280 | ||||||
NSTAR | 29,569 | 1,345 | ||||||
NV Energy | 9,688 | 149 | ||||||
Pepco Holdings | 32,100 | 635 | ||||||
PG&E | 82,200 | 3,193 | ||||||
Piedmont Natural Gas | 18,200 | 600 | ||||||
Pinnacle West Capital | 58,702 | 2,783 | ||||||
Portland General Electric | 38,400 | 962 | ||||||
Public Service Enterprise Group | 28,300 | 932 | ||||||
SCANA | 18,458 | 805 | ||||||
Sempra Energy | 12,900 | 686 | ||||||
Southern | 48,485 | 2,129 | ||||||
TECO Energy | 17,200 | 323 |
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
UGI | 87,586 | $ | 2,624 | |||||
Vectren | 34,059 | 991 | ||||||
WGL Holdings | 21,900 | 939 | ||||||
Wisconsin Energy | 52,864 | 1,754 | ||||||
|
| |||||||
50,009 | ||||||||
|
| |||||||
Total Common Stock |
| 349,680 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (A) (B) — 0.3% |
| |||||||
U.S. Treasury Bills | ||||||||
0.066%, 12/15/11 | $ | 236 | 236 | |||||
0.055%, 06/28/12 | 640 | 640 | ||||||
0.030%, 12/22/11 | 4 | 4 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 880 | ||||||
|
| |||||||
CASH EQUIVALENT — 2.4% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.040% †** | 8,785,988 | 8,786 | ||||||
|
| |||||||
Total Cash Equivalent |
| 8,786 | ||||||
|
| |||||||
Total Investments — 99.2% |
| $ | 359,346 | |||||
|
|
The open futures contracts held by the Fund at November 30, 2011, is as follows:
Type of Contract | Number Of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index | 74 | Dec-2011 | $ | 460 | ||||||||
|
|
For the period ended November 30, 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.
Percentages are based on a Net Assets of $362,392
($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2011. |
† | Investment in Affiliated Security (see Note 5). |
‡ | Real Estate Investment Trust. |
(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. |
ADR — American Depositary Receipt
Cl — Class
NY — New York
S&P — Standard & Poor’s
3 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund
November 30, 2011
The following is a summary of the inputs used as of November 30, 2011, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 349,680 | $ | — | $ | — | $ | 349,680 | ||||||||
U.S. Treasury Obligations | — | 880 | — | 880 | ||||||||||||
Cash Equivalent | 8,786 | — | — | 8,786 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 358,466 | $ | 880 | $ | — | $ | 359,346 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 460 | $ | — | $ | — | $ | 460 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 460 | $ | — | $ | — | $ | 460 | ||||||||
|
|
|
|
|
|
|
|
* | Future contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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.
Amounts designated as “—” are $O or have been rounded to $O.
The accompanying notes are an integral part of the financial statements.
4 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.2% | ||||||||
Australia — 3.2% | ||||||||
Alumina | 320,831 | $ | 468 | |||||
Amcor | 27,787 | 212 | ||||||
AMP | 14,405 | 64 | ||||||
Atlas Iron | 387,526 | 1,220 | ||||||
Australia & New Zealand Banking Group | 4,617 | 98 | ||||||
Bendigo Bank | 8,916 | 84 | ||||||
BGP Holdings * | 39,545 | — | ||||||
BHP Billiton | 27,591 | 1,033 | ||||||
Brambles | 14,915 | 111 | ||||||
Caltex Australia | 26,535 | 361 | ||||||
CFS Retail Property Trust ‡ | 35,522 | 69 | ||||||
Coca-Cola Amatil | 3,319 | 40 | ||||||
Cochlear | 521 | 31 | ||||||
Commonwealth Bank of Australia | 9,646 | 482 | ||||||
Crown | 5,393 | 47 | ||||||
CSL | 29,103 | 948 | ||||||
Dexus Property Group ‡ | 85,629 | 77 | ||||||
Echo Entertainment Group * | 13,897 | 54 | ||||||
Fortescue Metals Group | 13,080 | 65 | ||||||
Foster’s Group | 5,579 | 31 | ||||||
Goodman Group ‡ | 54,936 | 35 | ||||||
GPT Group ‡ | 19,194 | 63 | ||||||
Iluka Resources | 14,956 | 241 | ||||||
Incitec Pivot | 27,121 | 94 | ||||||
Leighton Holdings | 1,357 | 29 | ||||||
Lend Lease Group | 19,745 | 152 | ||||||
Lynas * | 43,299 | 58 | ||||||
MAp Group | 8,581 | 31 | ||||||
Metcash | 27,023 | 113 | ||||||
National Australia Bank | 22,490 | 563 | ||||||
Newcrest Mining | 59,172 | 2,156 | ||||||
OneSteel | 70,514 | 63 | ||||||
Orica | 1,531 | 41 | ||||||
OZ Minerals | 4,315 | 49 | ||||||
Qantas Airways * | 22,978 | 37 | ||||||
QBE Insurance Group | 5,472 | 78 | ||||||
Ramsay Health Care | 4,978 | 96 | ||||||
Rio Tinto | 9,889 | 673 | ||||||
Santos | 42,945 | 600 | ||||||
Sonic Healthcare | 10,162 | 123 | ||||||
Stockland ‡ | 14,624 | 52 | ||||||
Suncorp Group | 26,479 | 230 | ||||||
TABCORP Holdings | 35,189 | 104 | ||||||
Tatts Group | 15,041 | 36 | ||||||
Telstra | 48,166 | 158 | ||||||
Transurban Group | 48,884 | 287 | ||||||
Washington H Soul Pattinson | 2,929 | 42 | ||||||
Wesfarmers | 5,841 | 188 | ||||||
Westfield Group ‡ | 5,734 | 49 | ||||||
Westpac Banking | 5,437 | 119 | ||||||
Woolworths | 4,457 | 114 | ||||||
WorleyParsons | 3,015 | 83 | ||||||
|
| |||||||
12,252 | ||||||||
|
| |||||||
Austria — 0.2% | ||||||||
OMV | 326 | 11 | ||||||
Verbund, Cl A | 411 | 11 |
Description | Shares | Market Value ($ Thousands) | ||||||
Vienna Insurance Group | 14,841 | $ | 533 | |||||
Voestalpine | 1,891 | 55 | ||||||
|
| |||||||
610 | ||||||||
|
| |||||||
Belgium — 1.7% | ||||||||
Belgacom | 53,489 | 1,702 | ||||||
Colruyt (A) | 20,662 | 784 | ||||||
Delhaize Group | 9,883 | 584 | ||||||
Groupe Bruxelles Lambert | 2,728 | 195 | ||||||
InBev | 41,000 | 2,456 | ||||||
KBC Groep | 4,909 | 55 | ||||||
Mobistar | 1,363 | 75 | ||||||
Solvay | 1,792 | 168 | ||||||
Telenet Group Holding | 4,240 | 159 | ||||||
UCB | 4,520 | 189 | ||||||
|
| |||||||
6,367 | ||||||||
|
| |||||||
Brazil — 0.9% | ||||||||
Anhanguera Educacional Participacoes | 69,094 | 671 | ||||||
Brasil Telecom ADR | 19,192 | 342 | ||||||
Centrais Eletricas Brasileiras ADR | 57,500 | 534 | ||||||
Embraer | 28,600 | 179 | ||||||
HRT Participacoes em Petroleo * | 800 | 295 | ||||||
Petroleo Brasileiro ADR | 39,994 | 1,080 | ||||||
Tim Participacoes ADR | 11,794 | 281 | ||||||
|
| |||||||
3,382 | ||||||||
|
| |||||||
Canada — 4.7% | ||||||||
Barrick Gold | 44,583 | 2,358 | ||||||
Cameco | 49,109 | 930 | ||||||
Cenovus Energy | 14,766 | 495 | ||||||
Cogeco | 400 | 20 | ||||||
Constellation Software | 400 | 27 | ||||||
Domtar | 5,668 | 445 | ||||||
Goldcorp | 19,600 | 1,059 | ||||||
Kinross Gold | 106,991 | 1,495 | ||||||
Lassonde Industries, Cl Common Subscription Recei | 200 | 13 | ||||||
Magna International, Cl A | 21,000 | 748 | ||||||
New Gold * | 73,600 | 827 | ||||||
Nexen | 66,268 | 1,098 | ||||||
Niko Resources | 8,481 | 432 | ||||||
Onex | 4,400 | 151 | ||||||
Peyto Exploration & Development (A) | 35,000 | 843 | ||||||
Potash Saskatchewan | 42,774 | 1,871 | ||||||
Precision Drilling * | 29,500 | 342 | ||||||
Silver Wheaton | 22,700 | 766 | ||||||
Suncor Energy | 59,099 | 1,782 | ||||||
Talisman Energy | 27,677 | 376 | ||||||
Toronto-Dominion | 14,971 | 1,082 | ||||||
Transcontinental, Cl A | 2,300 | 27 | ||||||
Vermilion Energy | 15,700 | 736 | ||||||
|
| |||||||
17,923 | ||||||||
|
| |||||||
Chile — 0.2% | ||||||||
Sociedad Quimica y Minera de Chile ADR | 13,700 | 786 | ||||||
|
|
1 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
China — 0.6% | ||||||||
Baoye Group | 16,000 | $ | 7 | |||||
China Petroleum & Chemical | 254,000 | 269 | ||||||
China Shenhua Energy | 217,500 | 958 | ||||||
China Telecom | 28,000 | 17 | ||||||
Huaneng Power International | 2,172,000 | 1,142 | ||||||
|
| |||||||
2,393 | ||||||||
|
| |||||||
Denmark — 1.2% | ||||||||
AP Moller - Maersk, Cl A | 22 | 144 | ||||||
AP Moller - Maersk, Cl B | 100 | 686 | ||||||
Coloplast, Cl B | 482 | 74 | ||||||
Jyske Bank * | 21,785 | 649 | ||||||
Novo-Nordisk, Cl B | 16,959 | 1,929 | ||||||
Novozymes, Cl B | 2,290 | 74 | ||||||
TrygVesta (A) | 17,762 | 1,027 | ||||||
William Demant Holding * | 112 | 9 | ||||||
|
| |||||||
4,592 | ||||||||
|
| |||||||
Finland — 0.8% | ||||||||
Fortum | 6,794 | 157 | ||||||
Kesko, Cl B | 1,262 | 44 | ||||||
Kone, Cl B | 136 | 8 | ||||||
Nokia ADR | 127,435 | 738 | ||||||
Nokia | 155,348 | 899 | ||||||
Nokian Renkaat | 3,530 | 117 | ||||||
Orion, Cl B | 4,391 | 89 | ||||||
Rautaruukki (A) | 7,440 | 73 | ||||||
Sampo, Cl A | 2,747 | 72 | ||||||
Stora Enso, Cl R | 123,246 | 773 | ||||||
UPM-Kymmene | 8,842 | 104 | ||||||
Wartsila, Cl B | 1,351 | 44 | ||||||
|
| |||||||
3,118 | ||||||||
|
| |||||||
France — 9.5% | ||||||||
Accor | 2,572 | 72 | ||||||
Aeroports de Paris | 533 | 39 | ||||||
Air Liquide | 9,397 | 1,191 | ||||||
Alcatel-Lucent * (A) | 556,350 | 933 | ||||||
Alstom | 12,199 | 423 | ||||||
Areva | 11,669 | 329 | ||||||
Arkema | 9,229 | 674 | ||||||
AtoS | 192 | 9 | ||||||
AXA | 160,035 | 2,321 | ||||||
BNP Paribas | 48,842 | 1,948 | ||||||
Bouygues | 1,916 | 63 | ||||||
Bureau Veritas | 137 | 10 | ||||||
Capital Gemini | 252 | 10 | ||||||
Carrefour | 33,325 | 889 | ||||||
Casino Guichard Perrachon | 514 | 46 | ||||||
Christian Dior (A) | 655 | 85 | ||||||
Cie Generale de Geophysique- Veritas * | 4,163 | 96 | ||||||
Cie Generale d’Optique Essilor International | 17,271 | 1,237 | ||||||
CNP Assurances | 10,447 | 141 | ||||||
Compagnie de St.-Gobain | 5,260 | 223 | ||||||
Compagnie Generale des | ||||||||
Etablissements Michelin, | 18,433 | 1,177 | ||||||
Credit Agricole | 38,393 | 247 | ||||||
Danone | 2,654 | 176 | ||||||
Edenred | 6,969 | 186 | ||||||
Eiffage | 1,978 | 50 |
Description | Shares | Market Value ($ Thousands) | ||||||
Electricite de France | 20,759 | $ | 567 | |||||
Eutelsat Communications | 29,233 | 1,138 | ||||||
Fonciere Des Regions ‡ | 1,303 | 87 | ||||||
France Telecom | 12,703 | 220 | ||||||
Gaz de France | 45,507 | 1,278 | ||||||
Gecina ‡ | 1,744 | 151 | ||||||
Groupe Eurotunnel | 1,105 | 9 | ||||||
ICADE ‡ | 1,974 | 158 | ||||||
Iliad | 764 | 93 | ||||||
Legrand | 45,135 | 1,464 | ||||||
L’Oreal | 1,391 | 151 | ||||||
LVMH Moet Hennessy Louis Vuitton (A) | 13,414 | 2,116 | ||||||
Natixis | 20,640 | 60 | ||||||
Neopost | 304 | 22 | ||||||
Pernod-Ricard | 508 | 48 | ||||||
Peugeot | 11,199 | 210 | ||||||
PPR | 479 | 72 | ||||||
Safran | 44,375 | 1,319 | ||||||
Sanofi-Aventis | 70,860 | 4,965 | ||||||
Schneider Electric | 42,412 | 2,416 | ||||||
SCOR | 5,245 | 126 | ||||||
SES Global | 4,563 | 113 | ||||||
Societe Generale | 22,799 | 558 | ||||||
Societe Television Francaise 1 | 472 | 5 | ||||||
Sodexo | 20,152 | 1,468 | ||||||
Technip | 14,520 | 1,386 | ||||||
Tessi | 124 | 11 | ||||||
Thales | 17,153 | 543 | ||||||
Total | 20,597 | 1,065 | ||||||
Unibail-Rodamco‡ | 274 | 51 | ||||||
Veolia Environnement | 46,338 | 594 | ||||||
Vinci | 14,903 | 667 | ||||||
Vivendi | 30,485 | 704 | ||||||
Wendel | 1,558 | 112 | ||||||
|
| |||||||
36,522 | ||||||||
|
| |||||||
Germany — 7.1% | ||||||||
Adidas | 211 | 15 | ||||||
Allianz | 5,676 | 591 | ||||||
BASF | 11,207 | 820 | ||||||
Bayer | 29,313 | 1,932 | ||||||
Bayerische Motoren Werke | 7,016 | 533 | ||||||
Beiersdorf | 869 | 50 | ||||||
Brenntag | 10,707 | 1,030 | ||||||
DaimlerChrysler | 9,137 | 416 | ||||||
Deutsche Bank | 9,523 | 373 | ||||||
Deutsche Boerse * | 21,286 | 1,308 | ||||||
Deutsche Lufthansa | 32,805 | 426 | ||||||
Deutsche Post | 124,051 | 1,879 | ||||||
Deutsche Telekom | 66,481 | 865 | ||||||
Fraport Frankfurt Airport Services | ||||||||
Worldwide | 1,091 | 62 | ||||||
Fresenius | 1,766 | 170 | ||||||
Fresenius Medical Care | 21,585 | 1,482 | ||||||
GEA Group | 39,935 | 1,184 | ||||||
Hannover Rueckversicherung | 982 | 51 | ||||||
HeidelbergCement | 958 | 41 | ||||||
Henkel | 910 | 45 | ||||||
Infineon Technologies | 25,199 | 210 | ||||||
K+S | 556 | 30 |
2 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Kabel Deutschland Holding * | 20,761 | $ | 1,156 | |||||
Lanxess | 364 | 21 | ||||||
Linde | 19,862 | 3,067 | ||||||
MAN | 752 | 66 | ||||||
Merck KGaA | 1,899 | 189 | ||||||
Metro | 1,745 | 86 | ||||||
Muenchener Rueckversicherungs | 11,280 | 1,428 | ||||||
Norddeutsche Affinerie | 3,264 | 186 | ||||||
RWE | 2,535 | 105 | ||||||
SAP | 37,286 | 2,237 | ||||||
SAP ADR | 13,500 | 809 | ||||||
Siemens | 34,870 | 3,535 | ||||||
Suedzucker | 10,613 | 339 | ||||||
ThyssenKrupp | 5,706 | 148 | ||||||
United Internet | 604 | 12 | ||||||
Volkswagen | 1,191 | 182 | ||||||
|
| |||||||
27,079 | ||||||||
|
| |||||||
Greece — 0.2% | ||||||||
Hellenic Telecommunications Organization | 2,996 | 13 | ||||||
OPAP | 78,691 | 707 | ||||||
|
| |||||||
720 | ||||||||
|
| |||||||
Guernsey — 0.0% | ||||||||
Resolution | 35,919 | 134 | ||||||
|
| |||||||
Hong Kong — 2.4% | ||||||||
ASM Pacific Technology | 6,800 | 76 | ||||||
BOC Hong Kong Holdings | 25,473 | 58 | ||||||
Cathay Pacific Airways | 38,052 | 69 | ||||||
Chaoda Modern | 1,048,000 | 148 | ||||||
Cheung Kong Holdings | 4,063 | 47 | ||||||
Cheung Kong Infrastructure Holdings | 24,056 | 135 | ||||||
China Mobile | 169,500 | 1,670 | ||||||
China Mobile ADR | 16,400 | 815 | ||||||
CLP Holdings | 69,400 | 616 | ||||||
First Pacific | 160,000 | 179 | ||||||
Galaxy Entertainment | 52,000 | 103 | ||||||
Guoco Group | 1,000 | 9 | ||||||
Hang Seng Bank | 7,096 | 87 | ||||||
Henderson Land Development | 7,000 | 35 | ||||||
Hong Kong & China Gas | 7,000 | 16 | ||||||
Hong Kong Exchanges and Clearing | 600 | 10 | ||||||
Hongkong Land Holdings | 45,000 | 209 | ||||||
Hopewell Holdings | 19,705 | 51 | ||||||
Hutchison Whampoa | 73,600 | 645 | ||||||
Hysan Development | 6,900 | 22 | ||||||
Jardine Strategic Holdings | 47,788 | 1,417 | ||||||
Lai Sun Development * | 930,000 | 13 | ||||||
Li & Fung | 15,855 | 33 | ||||||
MTR | 10,500 | 35 | ||||||
NagaCorp | 72,000 | 18 | ||||||
New World Development | 66,000 | 56 | ||||||
NWS Holdings | 23,848 | 34 | ||||||
Orient Overseas International | 9,039 | 42 | ||||||
Power Assets Holdings | 16,500 | 123 | ||||||
Sino-Forest, Cl A * (A) | 21,000 | 2 |
Description | Shares | Market Value ($ Thousands) | ||||||
SJM Holdings | 76,000 | $ | 130 | |||||
Sun Hung Kai Properties | 78,351 | 973 | ||||||
Swire Pacific, Cl A | 500 | 6 | ||||||
Vedan International Holdings | 140,000 | 9 | ||||||
Wheelock | 12,739 | 34 | ||||||
Wynn Macau * (A) | 13,200 | 39 | ||||||
Yue Yuen Industrial Holdings | 455,000 | 1,325 | ||||||
|
| |||||||
9,289 | ||||||||
|
| |||||||
Indonesia — 0.1% | ||||||||
Telekomunikasi Indonesia ADR | 10,858 | 356 | ||||||
|
| |||||||
Ireland — 0.8% | ||||||||
CRH | 7,880 | 151 | ||||||
Elan * | 17,607 | 192 | ||||||
Experian | 95,104 | 1,268 | ||||||
Kerry Group, Cl A | 1,374 | 51 | ||||||
Ryanair Holdings ADR * | 33,400 | 1,005 | ||||||
Smurfit Kappa Group * | 78,047 | 474 | ||||||
|
| |||||||
3,141 | ||||||||
|
| |||||||
Israel — 0.4% | ||||||||
Bezeq Israeli Telecommunication | 9,076 | 17 | ||||||
Check Point Software Technologies * | 20,877 | 1,155 | ||||||
Israel Chemicals | 4,782 | 52 | ||||||
NICE Systems * | 404 | 14 | ||||||
Teva Pharmaceutical Industries | 3,490 | 138 | ||||||
|
| |||||||
1,376 | ||||||||
|
| |||||||
Italy — 1.5% | ||||||||
A2A | 39,084 | 41 | ||||||
Atlantia | 2,604 | 40 | ||||||
Banca Carige (A) | 33,992 | 68 | ||||||
Banca Intesa | 323,428 | 538 | ||||||
Banca Intesa RNC | 70,699 | 91 | ||||||
Banca Monte dei Paschi di Siena | 200,186 | 68 | ||||||
De’Longhi | 8,795 | 94 | ||||||
Enel | 190,418 | 813 | ||||||
ENI | 1,972 | 42 | ||||||
Fiat | 31,424 | 163 | ||||||
Fiat Industrial * | 19,459 | 175 | ||||||
Finmeccanica | 6,376 | 28 | ||||||
Mediaset | 26,393 | 78 | ||||||
Mediobanca | 683 | 4 | ||||||
Reno de Medici * | 28,314 | 7 | ||||||
Saipem | 3,571 | 160 | ||||||
Servizi Italia | 358 | 2 | ||||||
Snam Rete Gas | 184,993 | 860 | ||||||
Telecom Italia | 2,056,547 | 2,013 | ||||||
Telecom Italia | 47,658 | 54 | ||||||
Terna Rete Elettrica Nazionale | 26,821 | 96 | ||||||
UniCredito Italiano | 128,946 | 135 | ||||||
|
| |||||||
5,570 | ||||||||
|
| |||||||
Japan — 17.3% | ||||||||
Aeon | 47,000 | 642 | ||||||
Aichi Bank | 100 | 6 | ||||||
Aisin Seiki | 600 | 18 | ||||||
Ajinomoto | 6,000 | 72 | ||||||
All Nippon Airways (A) | 17,000 | 51 |
3 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Alps Logistics | 1,200 | $ | 11 | |||||
Amada | 1,000 | 6 | ||||||
Amuse | 500 | 6 | ||||||
Aoyama Trading | 3,400 | 55 | ||||||
Asahi Glass | 10,000 | 86 | ||||||
Asahi Kasei | 36,000 | 218 | ||||||
Asahi Kogyosha | 5,000 | 21 | ||||||
Asics | 7,100 | 85 | ||||||
ASKA Pharmaceutical | 2,000 | 13 | ||||||
Astellas Pharma | 3,200 | 123 | ||||||
AT-Group | 1,000 | 12 | ||||||
Autobacs Seven | 900 | 42 | ||||||
Belluna | 3,200 | 24 | ||||||
Bic Camera | 146 | 80 | ||||||
Bridgestone | 25,200 | 583 | ||||||
Brother Industries | 41,900 | 566 | ||||||
Bunka Shutter | 4,000 | 14 | ||||||
Calsonic Kansei | 47,000 | 271 | ||||||
Canon | 2,800 | 126 | ||||||
Capcom | 2,900 | 74 | ||||||
Central Automotive Products | 2,000 | 10 | ||||||
Central Glass | 5,000 | 25 | ||||||
Central Japan Railway | 106 | 849 | ||||||
Century Tokyo Leasing | 6,500 | 129 | ||||||
Chiba Bank | 1,000 | 7 | ||||||
Chiyoda | 4,000 | 44 | ||||||
Chubu Electric Power | 1,900 | 36 | ||||||
Chuetsu Pulp & Paper | 7,000 | 11 | ||||||
Chugai Pharmaceutical | 2,500 | 38 | ||||||
Chugoku Bank | 2,000 | 28 | ||||||
Coca-Cola Central Japan | 700 | 9 | ||||||
Coca-Cola West | 37,600 | 637 | ||||||
Corona | 1,000 | 16 | ||||||
Cosmo Oil | 25,000 | 69 | ||||||
Dai Nippon Printing | 193,000 | 1,892 | ||||||
Daicel | 29,000 | 162 | ||||||
Daido Steel | 1,000 | 6 | ||||||
Daihatsu Motor | 1,000 | 17 | ||||||
Dai-ichi Life Insurance | 134 | 149 | ||||||
Daiichi Sankyo | 19,300 | 348 | ||||||
Daiichikosho | 1,700 | 32 | ||||||
Dainippon Screen Manufacturing | 2,000 | 15 | ||||||
Dainippon Sumitomo Pharma | 3,800 | 39 | ||||||
Daito Trust Construction | 6,800 | 606 | ||||||
Daiwa House Industry | 31,000 | 375 | ||||||
Dena | 3,700 | 115 | ||||||
Denso | 1,600 | 46 | ||||||
East Japan Railway | 2,500 | 153 | ||||||
EDION | 17,000 | 133 | ||||||
Eighteenth Bank | 3,000 | 8 | ||||||
Eisai | 4,300 | 166 | ||||||
Elpida Memory * (A) | 20,800 | 104 | ||||||
FANUC | 12,900 | 2,118 | ||||||
Fast Retailing | 300 | 49 | ||||||
Fuji Kiko * | 5,000 | 14 | ||||||
FUJIFILM Holdings | 68,300 | 1,656 | ||||||
Fujitsu | 8,000 | 43 | ||||||
FuKoKu | 1,000 | 8 | ||||||
Fukuoka Financial Group | 2,000 | 8 | ||||||
Fuso Chemical | 300 | 8 | ||||||
Gree | 3,200 | 107 |
Description | Shares | Market Value ($ Thousands) | ||||||
Gulliver International | 250 | $ | 11 | |||||
Gunma Bank | 2,000 | 11 | ||||||
Hachijuni Bank | 68,000 | 401 | ||||||
Hamamatsu Photonics | 2,500 | 92 | ||||||
Happinet | 1,600 | 14 | ||||||
Haseko | 313,500 | 203 | ||||||
Hino Motors | 65,000 | 399 | ||||||
Hiroshima Bank | 4,000 | 19 | ||||||
Hitachi | 183,100 | 1,015 | ||||||
Hitachi Metals | 1,000 | 11 | ||||||
Honda Motor | 106,700 | 3,383 | ||||||
H-One | 1,600 | 9 | ||||||
Hoya | 1,700 | 36 | ||||||
Ibiden | 600 | 14 | ||||||
IBJ Leasing | 300 | 6 | ||||||
Idemitsu Kosan | 1,500 | 160 | ||||||
IHI | 76,000 | 178 | ||||||
Iida Home Max | 8,800 | 71 | ||||||
Imasen Electric Industrial | 700 | 9 | ||||||
Inabata | 1,700 | 10 | ||||||
Inpex | 47 | 317 | ||||||
IT Holdings | 11,400 | 128 | ||||||
ITC Networks | 400 | 3 | ||||||
Itfor | 4,400 | 15 | ||||||
Itochu | 4,200 | 43 | ||||||
Itochu Techno-Solutions | 400 | 17 | ||||||
Iyo Bank | 9,000 | 89 | ||||||
J Trust | 2,300 | 13 | ||||||
Japan Petroleum Exploration | 100 | 4 | ||||||
Japan Prime Realty Investment, Cl A ‡ | 39 | 95 | ||||||
Japan Retail Fund Investment, Cl A ‡ | 36 | 55 | ||||||
Japan Steel Works | 33,000 | 221 | ||||||
Japan Tobacco | 35 | 168 | ||||||
JFE Holdings | 9,800 | 180 | ||||||
JFE Shoji Holdings | 6,000 | 25 | ||||||
JGC | 74,000 | 1,863 | ||||||
Jowa Holdings | 600 | 9 | ||||||
JS Group | 9,500 | 180 | ||||||
JTEKT | 1,300 | 13 | ||||||
Jupiter Telecommunications | 1,541 | 1,496 | ||||||
JVC Kenwood Holdings * (A) | 18,800 | 79 | ||||||
JX Holdings | 800 | 5 | ||||||
Kajima | 6,000 | 18 | ||||||
Kamei | 4,000 | 35 | ||||||
Kamigumi | 4,000 | 33 | ||||||
Kansai Electric Power | 4,200 | 63 | ||||||
Kansai Paint | 36,500 | 347 | ||||||
Kao | 900 | 24 | ||||||
Kawasaki Heavy Industries | 45,000 | 117 | ||||||
Kawasumi Laboratories | 1,300 | 8 | ||||||
KDDI | 379 | 2,509 | ||||||
Keyence | 100 | 26 | ||||||
Kintetsu (A) | 9,000 | 33 | ||||||
Kobe Steel | 42,000 | 67 | ||||||
Komatsu | 21,600 | 552 | ||||||
Konaka | 2,200 | 12 | ||||||
Konami | 1,100 | 33 | ||||||
K’s Holdings | 7,300 | 287 | ||||||
Kyocera | 800 | 72 |
4 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Kyokuto Kaihatsu Kogyo | 3,100 | $ | 19 | |||||
Lawson | 1,100 | 65 | ||||||
Mabuchi Motor | 37,100 | 1,640 | ||||||
Maezawa Kasei Industries | 800 | 8 | ||||||
Maezawa Kyuso Industries | 600 | 8 | ||||||
Makita | 4,900 | 171 | ||||||
Marubeni | 58,000 | 358 | ||||||
Matsuya Foods | 400 | 8 | ||||||
Maxvalu Tokai | 800 | 11 | ||||||
Megane TOP | 1,350 | 16 | ||||||
Mikuni Coca-Cola Bottling | 1,200 | 10 | ||||||
Miraca Holdings | 500 | 19 | ||||||
Mirait Holdings | 3,300 | 26 | ||||||
Mitani | 1,100 | 13 | ||||||
Mitsubishi | 47,400 | 979 | ||||||
Mitsubishi Chemical Holdings | 31,700 | 184 | ||||||
Mitsubishi Electric | 9,500 | 90 | ||||||
Mitsubishi Gas Chemical | 9,000 | 54 | ||||||
Mitsubishi Heavy Industries | 42,000 | 176 | ||||||
Mitsubishi UFJ Financial Group | 44,700 | 196 | ||||||
Mitsubishi UFJ Lease & Finance | 220 | 9 | ||||||
Mitsui | 10,600 | 167 | ||||||
Mitsui OSK Lines | 8,000 | 25 | ||||||
Mitsui Sumitomo Insurance Group Holdings | 64,900 | 1,273 | ||||||
Mitsui Trust Holdings | 263,310 | 806 | ||||||
Mizuho Financial Group | 83,100 | 109 | ||||||
Murakami | 1,000 | 10 | ||||||
Murata Manufacturing | 4,200 | 249 | ||||||
Nabtesco | 1,900 | 42 | ||||||
Nafco | 400 | 7 | ||||||
Namco Bandai Holdings | 10,500 | 151 | ||||||
NEC Fielding | 2,000 | 25 | ||||||
NET One Systems | 17 | 44 | ||||||
NGK Insulators | 2,000 | 22 | ||||||
Nichiha | 2,500 | 27 | ||||||
Nichii Gakkan | 2,400 | 27 | ||||||
Nichireki | 2,000 | 10 | ||||||
Nintendo | 9,700 | 1,476 | ||||||
Nippon Building Fund, Cl A ‡ | 8 | 73 | ||||||
Nippon Electric Glass | 4,000 | 41 | ||||||
Nippon Express | 2,000 | 8 | ||||||
Nippon Meat Packers | 5,000 | 63 | ||||||
Nippon Sheet Glass | 42,000 | 81 | ||||||
Nippon Steel | 86,000 | 209 | ||||||
Nippon Synthetic Chemical Industry | 1,000 | 6 | ||||||
Nippon Telegraph & Telephone | 44,200 | 2,178 | ||||||
Nippon Telegraph & Telephone ADR | 44,839 | 1,107 | ||||||
Nippon Yusen | 26,000 | 58 | ||||||
Nishi-Nippon City Bank | 2,000 | 6 | ||||||
Nishio Rent All | 1,600 | 11 | ||||||
Nissan Motor | 7,300 | 67 | ||||||
Nisshin Steel | 63,000 | 90 | ||||||
Nissin Food Products | 700 | 27 | ||||||
Nitto Denko | 4,600 | 191 | ||||||
Nomura Real Estate Holdings | 7,300 | 113 | ||||||
Nomura Real Estate Office Fund, Cl A ‡ | 23 | 118 | ||||||
Nomura Research Institute | 4,300 | 95 |
Description | Shares | Market Value ($ Thousands) | ||||||
NTT Data | 5 | $ | 16 | |||||
NTT DoCoMo | 620 | 1,095 | ||||||
Oenon Holdings | 3,000 | 7 | ||||||
OJI Paper | 1,000 | 5 | ||||||
Ono Pharmaceutical | 3,500 | 182 | ||||||
ORIX | 240 | 20 | ||||||
Otsuka Holdings | 3,000 | 82 | ||||||
Pacific Industrial | 2,000 | 9 | ||||||
PanaHome | 6,000 | 42 | ||||||
Panasonic | 35,500 | 340 | ||||||
PIA * | 900 | 9 | ||||||
Pioneer | 1,700 | 8 | ||||||
Press Kogyo | 11,000 | 52 | ||||||
Rakuten | 109 | 117 | ||||||
Resona Holdings | 2,100 | 10 | ||||||
Ricoh Leasing | 1,000 | 23 | ||||||
Rinnai | 700 | 53 | ||||||
Rohm | 23,600 | 1,129 | ||||||
San-Ai Oil | 2,000 | 9 | ||||||
Sankyo | 9,500 | 474 | ||||||
Sankyo Frontier | 2,000 | 10 | ||||||
Sanoh Industrial | 700 | 5 | ||||||
Santen Pharmaceutical | 2,900 | 109 | ||||||
Sanyo Housing Nagoya | 18 | 17 | ||||||
Sapporo Hokuyo Holdings | 99,300 | 345 | ||||||
Sasebo Heavy Industries | 11,000 | 16 | ||||||
Scroll | 2,300 | 8 | ||||||
Secom | 200 | 9 | ||||||
Sega Sammy Holdings | 22,100 | 452 | ||||||
Seino Holdings | 11,000 | 80 | ||||||
Sekisui Chemical | 121,000 | 908 | ||||||
Sekisui House | 128,000 | 1,124 | ||||||
Sekisui Jushi | 1,000 | 9 | ||||||
Senshu Electric | 600 | 7 | ||||||
Senshukai | 2,300 | 15 | ||||||
Seven & I Holdings | 109,300 | 3,049 | ||||||
Seven Bank | 24,000 | 48 | ||||||
Sharp | 3,000 | 31 | ||||||
Shimadzu | 3,000 | 25 | ||||||
Shin-Etsu Chemical | 16,800 | 844 | ||||||
Ship Healthcare Holdings | 1,900 | 45 | ||||||
Shiseido | 70,200 | 1,304 | ||||||
Shizuoka Bank | 1,000 | 10 | ||||||
Showa Shell Sekiyu | 8,800 | 59 | ||||||
SKY Perfect JSAT Holdings | 14 | 7 | ||||||
SMC | 11,600 | 1,925 | ||||||
Softbank | 7,200 | 243 | ||||||
Sojitz (A) | 170,400 | 267 | ||||||
Sony | 1,300 | 24 | ||||||
Sony Financial Holdings | 116,500 | 1,925 | ||||||
Sumco | 4,800 | 41 | ||||||
Sumitomo | 4,700 | 63 | ||||||
Sumitomo Chemical | 2,000 | 8 | ||||||
Sumitomo Electric Industries | 3,200 | 35 | ||||||
Sumitomo Metal Industries | 48,000 | 85 | ||||||
Sumitomo Mitsui Financial Group | 52,900 | 1,470 | ||||||
Sumitomo Precision Products | 5,000 | 35 | ||||||
Sumitomo Rubber Industries | 900 | 11 | ||||||
Systena | 16 | 11 | ||||||
T&D Holdings | 250 | 3 | ||||||
T&K Toka | 300 | 3 |
5 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Taisho Pharmaceutical Holdings | 100 | $ | 7 | |||||
Takagi Securities | 10,000 | 8 | ||||||
Takamatsu Construction Group | 1,600 | 24 | ||||||
Takeda Pharmaceutical | 9,100 | 374 | ||||||
Tanabe Seiyaku | 1,800 | 28 | ||||||
Teijin | 1,000 | 3 | ||||||
Toho | 1,800 | 31 | ||||||
Toho Gas | 1,000 | 6 | ||||||
Tokai | 1,100 | 25 | ||||||
Token | 180 | 7 | ||||||
Tokyo Derica | 1,300 | 9 | ||||||
Tokyo Electric Power | 9,300 | 35 | ||||||
Tokyo Electron | 14,900 | 814 | ||||||
Tokyo Energy & Systems | 3,000 | 16 | ||||||
Tokyo Gas | 6,000 | 26 | ||||||
Tokyu | 8,000 | 38 | ||||||
Tokyu Construction | 3,300 | 8 | ||||||
TonenGeneral Sekiyu | 20,000 | 228 | ||||||
Toppan Printing | 5,000 | 37 | ||||||
Topre | 1,300 | 13 | ||||||
Toray Industries | 8,000 | 60 | ||||||
Toshiba | 18,000 | 83 | ||||||
Toshiba TEC | 26,000 | 98 | ||||||
Tosoh | 5,000 | 15 | ||||||
TOTO | 1,000 | 8 | ||||||
Toyo Suisan Kaisha | 4,000 | 98 | ||||||
Toyoda Gosei | 600 | 10 | ||||||
Toyota Motor | 52,400 | 1,724 | ||||||
Toyota Motor ADR | 7,672 | 506 | ||||||
Toyota Tsusho | 11,200 | 188 | ||||||
Transcosmos | 1,700 | 20 | ||||||
Ube Industries | 24,000 | 68 | ||||||
Unicharm | 200 | 9 | ||||||
Unipres | 2,300 | 64 | ||||||
Wacoal Holdings | 40,723 | 529 | ||||||
Wakita | 1,000 | 6 | ||||||
West Japan Railway | 1,600 | 66 | ||||||
Yachiyo Industry | 1,500 | 8 | ||||||
Yahoo! Japan | 256 | 81 | ||||||
Yamada Denki | 1,200 | 87 | ||||||
Yamaguchi Financial Group | 2,000 | 19 | ||||||
Yamato Holdings | 10,300 | 165 | ||||||
Yamato International | 4,300 | 20 | ||||||
Yamaya | 1,800 | 19 | ||||||
Yamazaki Baking | 5,000 | 66 | ||||||
Yaskawa Electric | 7,000 | 60 | ||||||
Yorozu | 900 | 19 | ||||||
Zeon | 13,000 | 110 | ||||||
|
| |||||||
66,178 | ||||||||
|
| |||||||
Malaysia — 0.2% | ||||||||
Axiata Group | 375,600 | 613 | ||||||
Telekom Malaysia | 10,000 | 14 | ||||||
|
| |||||||
627 | ||||||||
|
| |||||||
Mexico — 0.0% | ||||||||
Industrias Bachoco | 5,800 | 10 | ||||||
|
| |||||||
Netherlands — 5.0% | ||||||||
Aegon * | 75,400 | 330 | ||||||
Akzo Nobel (A) | 57,987 | 2,940 |
Description | Shares | Market Value ($ Thousands) | ||||||
ASML Holding | 2,580 | $ | 102 | |||||
Corio ‡ | 945 | 42 | ||||||
Delta Lloyd | 9,015 | 159 | ||||||
European Aeronautic Defense and Space | 27,249 | 819 | ||||||
Gemalto | 22,023 | 1,091 | ||||||
Heineken | 3,870 | 181 | ||||||
Heineken Holding | 3,571 | 144 | ||||||
Imtech (A) | 26,275 | 677 | ||||||
ING Groep * | 121,857 | 952 | ||||||
Koninklijke Ahold | 85,938 | 1,096 | ||||||
Koninklijke DSM | 517 | 25 | ||||||
Koninklijke Philips Electronics | 2,164 | 44 | ||||||
QIAGEN * | 4,868 | 72 | ||||||
Reed Elsevier | 200,306 | 2,365 | ||||||
Royal Dutch Shell, Cl A | 42,079 | 1,472 | ||||||
Royal Dutch Shell, Cl A (GBP) | 19,528 | 685 | ||||||
Royal Dutch Shell, Cl B | 40,879 | 1,477 | ||||||
Royal KPN | 6,736 | 83 | ||||||
SBM Offshore | 5,886 | 127 | ||||||
TNT | 200,989 | 701 | ||||||
TNT Express | 142,817 | 1,031 | ||||||
Unilever | 43,496 | 1,485 | ||||||
Wolters Kluwer | 68,168 | 1,188 | ||||||
|
| |||||||
19,288 | ||||||||
|
| |||||||
New Zealand — 0.5% | ||||||||
Chorus * | 185,256 | 474 | ||||||
Fletcher Building | 28,918 | 136 | ||||||
Telecom of New Zealand | 926,278 | 1,462 | ||||||
|
| |||||||
2,072 | ||||||||
|
| |||||||
Norway — 1.1% | ||||||||
Aker Kvaerner | 3,567 | 42 | ||||||
DnB | 153,598 | 1,573 | ||||||
Gjensidige Forsikring | 10,660 | 124 | ||||||
Marine Harvest | 778,238 | 339 | ||||||
Norsk Hydro | 6,927 | 33 | ||||||
Seadrill | 5,093 | 178 | ||||||
Statoil | 81,496 | 2,110 | ||||||
|
| |||||||
4,399 | ||||||||
|
| |||||||
Poland — 0.1% | ||||||||
KGHM Polska Miedz | 8,181 | 326 | ||||||
|
| |||||||
Portugal — 0.1% | ||||||||
Banco Espirito Santo | �� | 32,131 | 50 | |||||
Cimpor Cimentos de Portugal | 5,882 | 41 | ||||||
Energias de Portugal | 36,284 | 117 | ||||||
Galp Energia SGPS, Cl B | 1,084 | 18 | ||||||
Jeronimo Martins | 5,435 | 99 | ||||||
Portugal Telecom | 12,005 | 74 | ||||||
|
| |||||||
399 | ||||||||
|
| |||||||
Russia — 0.5% | ||||||||
Gazprom OAO ADR | 54,545 | 627 | ||||||
NovaTek OAO GDR | 2,300 | 353 | ||||||
Sberbank of Russia ADR | 91,394 | 1,083 | ||||||
|
| |||||||
2,063 | ||||||||
|
| |||||||
Singapore — 1.5% | ||||||||
CSE Global | 14,000 | 9 |
6 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
DBS Group Holdings | 67,000 | $ | 666 | |||||
Golden Agri-Resources | 610,000 | 345 | ||||||
GP Batteries International | 5,000 | 4 | ||||||
Jardine Cycle & Carriage | 7,000 | 256 | ||||||
Keppel | 32,180 | 239 | ||||||
Oversea-Chinese Banking | 46,000 | 293 | ||||||
Popular Holdings | 64,000 | 8 | ||||||
QAF | 39,000 | 18 | ||||||
SembCorp Industries | 69,000 | 232 | ||||||
SembCorp Marine | 315,000 | 947 | ||||||
Singapore Airlines | 125,000 | 1,025 | ||||||
Singapore Press Holdings | 16,200 | 50 | ||||||
Singapore Telecommunications | 13,000 | 32 | ||||||
Transpac Industrial Holdings | 9,000 | 11 | ||||||
United Overseas Bank | 91,000 | 1,104 | ||||||
UOL Group | 12,000 | 40 | ||||||
Wheelock Properties Singapore | 35,370 | 45 | ||||||
Yangzijiang Shipbuilding Holdings | 373,000 | 269 | ||||||
|
| |||||||
5,593 | ||||||||
|
| |||||||
South Africa — 1.1% | ||||||||
AngloGold Ashanti | 13,700 | 650 | ||||||
AngloGold Ashanti ADR | 21,547 | 1,033 | ||||||
Gold Fields | 72,903 | 1,231 | ||||||
Impala Platinum Holdings | 13,600 | 290 | ||||||
MTN Group | 54,310 | 980 | ||||||
|
| |||||||
4,184 | ||||||||
|
| |||||||
South Korea — 3.1% | ||||||||
Honda Motor GDR * | 307 | 9 | ||||||
Hyundai Heavy Industries | 4,364 | 1,089 | ||||||
Hyundai Mobis | 7,368 | 2,043 | ||||||
Hyundai Motor | 2,050 | 399 | ||||||
Kia Motors | 6,101 | 388 | ||||||
Korea Electric Power ADR | 60,484 | 671 | ||||||
KT ADR | 18,500 | 297 | ||||||
KT&G | 31,590 | 2,140 | ||||||
Samsung Electronics | 2,406 | 2,190 | ||||||
Shinhan Financial Group | 17,840 | 665 | ||||||
SK Holdings | 987 | 128 | ||||||
SK Telecom ADR | 115,330 | 1,706 | ||||||
YESCO | 400 | 9 | ||||||
|
| |||||||
11,734 | ||||||||
|
| |||||||
Spain — 1.9% | ||||||||
Abertis Infraestructuras | 8,269 | 132 | ||||||
Acciona | 968 | 90 | ||||||
Acerinox | 708 | 10 | ||||||
ACS Actividades Construccionesy Servicios | 1,306 | 43 | ||||||
Amadeus IT Holding, Cl A | 2,118 | 36 | ||||||
Banco Bilbao Vizcaya Argentaria | 6,088 | 52 | ||||||
Banco de Sabadell | 21,230 | 71 | ||||||
Banco Popular Espanol (A) | 70,132 | 300 | ||||||
Banco Santander Central Hispano | 108,812 | 818 | ||||||
Bankia * | 4,200 | 21 | ||||||
Bankinter (A) | 3,345 | 19 | ||||||
CaixaBank (A) | 57,345 | 294 | ||||||
EDP Renovaveis * | 7,808 | 45 | ||||||
Enagas | 70,529 | 1,326 |
Description | Shares | Market Value ($ Thousands) | ||||||
Endesa | 1,001 | $ | 22 | |||||
Ferrovial (A) | 14,252 | 177 | ||||||
Fomento de Construcciones y Contratas (A) | 3,280 | 85 | ||||||
Gas Natural | 13,930 | 243 | ||||||
Grifols | 6,637 | 107 | ||||||
Iberdrola | 20,630 | 137 | ||||||
Inditex | 1,754 | 149 | ||||||
Indra Sistemas (A) | 71,777 | 1,014 | ||||||
Mapfre | 39,844 | 134 | ||||||
Red Electrica | 4,881 | 215 | ||||||
Repsol | 15,852 | 479 | ||||||
Tecnicas Reunidas (A) | 24,100 | 876 | ||||||
Telefonica | 22,377 | 421 | ||||||
|
| |||||||
7,316 | ||||||||
|
| |||||||
Sweden — 1.4% | ||||||||
Alfa Laval | 1,504 | 29 | ||||||
Atlas Copco, Cl A | 11,348 | 244 | ||||||
Atlas Copco, Cl B | 14,667 | 281 | ||||||
Elekta, Cl B | 23,635 | 1,010 | ||||||
Getinge, Cl B | 2,555 | 66 | ||||||
Hennes & Mauritz, Cl B | 7,462 | 238 | ||||||
Hexagon, Cl B | 2,630 | 40 | ||||||
Industrivarden, Cl C | 12,671 | 155 | ||||||
Investor, Cl B | 760 | 14 | ||||||
Millicom International Cellular | 395 | 43 | ||||||
Nordea Bank | 66,008 | 527 | ||||||
Sandvik | 444 | 6 | ||||||
Scania, Cl B | 2,769 | 43 | ||||||
Skandinaviska Enskilda Banken, Cl A | 159,037 | 930 | ||||||
Skanska, Cl B | 1,993 | 31 | ||||||
SKF, Cl B | 914 | 20 | ||||||
Svenska Cellulosa, Cl B | 2,303 | 34 | ||||||
Swedbank, Cl A | 22,132 | 297 | ||||||
Swedish Match | 6,395 | 211 | ||||||
Telefonaktiebolaget LM Ericsson, Cl B | 93,471 | 1,001 | ||||||
Volvo, Cl B | 11,737 | 135 | ||||||
|
| |||||||
5,355 | ||||||||
|
| |||||||
Switzerland — 8.9% | ||||||||
ABB | 4,378 | 83 | ||||||
Actelion | 217 | 8 | ||||||
Adecco | 238 | 10 | ||||||
Aryzta | 2,142 | 104 | ||||||
Baloise Holding | 1,865 | 133 | ||||||
Clariant | 25,402 | 251 | ||||||
Compagnie Financiere Richemont | 12,991 | 708 | ||||||
Credit Suisse Group | 32,176 | 779 | ||||||
Geberit | 579 | 112 | ||||||
Givaudan | 2,860 | 2,668 | ||||||
Glencore International | 3,964 | 25 | ||||||
Holcim | 582 | 33 | ||||||
Informa | 142,289 | 812 | ||||||
Julius Baer Group | 29,882 | 1,074 | ||||||
Julius Baer Holding | 4,050 | 48 | ||||||
Kuehne + Nagel International | 786 | 96 | ||||||
Lindt & Spruengli | 36 | 207 |
7 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Lonza Group | 300 | $ | 19 | |||||
Nestle | 83,970 | 4,731 | ||||||
Novartis | 109,301 | 5,925 | ||||||
Pargesa Holding | 1,205 | 87 | ||||||
Roche Holding | 33,812 | 5,399 | ||||||
Schindler Holding | 181 | 22 | ||||||
SGS | 914 | 1,552 | ||||||
Sika | 478 | 900 | ||||||
STMicroelectronics | 18,446 | 117 | ||||||
Straumann Holding | 328 | 58 | ||||||
Sulzer | 11,878 | 1,331 | ||||||
Swatch Group, Cl B | 952 | 373 | ||||||
Swatch Group | 1,062 | 75 | ||||||
Swiss Life Holding | 1,434 | 151 | ||||||
Swiss Re | 613 | 32 | ||||||
Swisscom | 541 | 205 | ||||||
Syngenta | 937 | 277 | ||||||
Synthes (B) | 2,803 | 465 | ||||||
Transocean | 731 | 32 | ||||||
UBS | 177,883 | 2,204 | ||||||
Uster Technologies | 203 | 9 | ||||||
Xstrata | 91,103 | 1,466 | ||||||
Zurich Financial Services | 6,061 | 1,340 | ||||||
|
| |||||||
33,921 | ||||||||
|
| |||||||
Taiwan — 0.1% | ||||||||
Chunghwa Telecom ADR | 1,301 | 44 | ||||||
United Microelectronics ADR | 157,328 | 360 | ||||||
|
| |||||||
404 | ||||||||
|
| |||||||
Thailand — 0.1% | ||||||||
Advanced Info Service | 6,900 | 32 | ||||||
Total Access Communication | 115,700 | 303 | ||||||
|
| |||||||
335 | ||||||||
|
| |||||||
United Kingdom — 17.1% | ||||||||
Admiral Group | 2,033 | 30 | ||||||
Aggreko | 693 | 21 | ||||||
Amec | 91,098 | 1,250 | ||||||
Amlin | 180,489 | 956 | ||||||
Anglo American | 3,173 | 121 | ||||||
Antofagasta | 2,417 | 45 | ||||||
ARM Holdings | 48,200 | 454 | ||||||
AstraZeneca | 59,374 | 2,741 | ||||||
Aviva | 269,915 | 1,328 | ||||||
Babcock International Group | 8,700 | 100 | ||||||
BAE Systems | 229,006 | 991 | ||||||
Balfour Beatty | 246,384 | 978 | ||||||
Barclays | 401,802 | 1,160 | ||||||
Berendsen PLC | 10,445 | 73 | ||||||
BG Group | 115,629 | 2,486 | ||||||
BHP Billiton | 37,862 | 1,167 | ||||||
Bodycote | 7,026 | 30 | ||||||
BP | 398,336 | 2,892 | ||||||
BP PLC ADR | 9,717 | 423 | ||||||
British American Tobacco | 57,384 | 2,670 | ||||||
British Land ‡ | 24,539 | 192 | ||||||
British Polythene Industries | 2,667 | 14 | ||||||
British Sky Broadcasting Group | 36,314 | 438 | ||||||
BT Group, Cl A | 179,346 | 538 | ||||||
Bunzl | 79,747 | 1,045 | ||||||
Burberry Group | 9,674 | 194 |
Description | Shares | Market Value ($ Thousands) | ||||||
Cairn Energy * | 14,098 | $ | 61 | |||||
Capita Group | 120,239 | 1,195 | ||||||
Carnival | 781 | 27 | ||||||
Centrica | 21,222 | 101 | ||||||
Compass Group | 11,327 | 106 | ||||||
Diageo | 76,409 | 1,640 | ||||||
Eurasian Natural Resources | 89,915 | 947 | ||||||
Fresnillo | 192 | 5 | ||||||
Gem Diamonds * | 4,776 | 15 | ||||||
GKN | 1,557 | 5 | ||||||
GlaxoSmithKline | 123,605 | 2,746 | ||||||
Group 4 Securicor | 17,224 | 69 | ||||||
Hammerson ‡ | 7,911 | 49 | ||||||
Hogg Robinson Group | 12,217 | 11 | ||||||
Home Retail Group | 709,546 | 1,005 | ||||||
HSBC Holdings | 223,366 | 1,747 | ||||||
HSBC Holdings | 149,200 | 1,162 | ||||||
Imperial Tobacco Group | 27,785 | 1,002 | ||||||
International Power | 3,235 | 17 | ||||||
J Sainsbury | 22,637 | 108 | ||||||
Kingfisher | 400,686 | 1,619 | ||||||
Land Securities Group ‡ | 23,801 | 258 | ||||||
Legal & General Group | 107,642 | 180 | ||||||
Lloyds Banking Group * | 824,134 | 323 | ||||||
London Stock Exchange Group | 5,641 | 77 | ||||||
Marks & Spencer Group | 8,703 | 46 | ||||||
Michael Page International | 116,986 | 709 | ||||||
Micro Focus International | 11,228 | 64 | ||||||
National Grid | 11,234 | 111 | ||||||
Next | 1,141 | 48 | ||||||
NWF Group | 4,113 | 8 | ||||||
Pearson | 12,001 | 218 | ||||||
Petrofac | 77,329 | 1,772 | ||||||
Polyus Gold International GDR * | 112,264 | 328 | ||||||
Prudential | 124,736 | 1,231 | ||||||
Reckitt Benckiser Group | 1,982 | 101 | ||||||
Reed Elsevier | 116,655 | 973 | ||||||
Rexam | 244,921 | 1,331 | ||||||
Rio Tinto | 62,674 | 3,308 | ||||||
Rio Tinto ADR | 13,700 | 727 | ||||||
Rolls-Royce Holdings | 158,678 | 1,829 | ||||||
Royal & Sun Alliance Insurance Group | 25,420 | 43 | ||||||
Royal Bank of Scotland Group * | 843,624 | 281 | ||||||
SABMiller | 4,573 | 162 | ||||||
Sage Group | 176,778 | 810 | ||||||
Savills | 2,868 | 14 | ||||||
Schroders | 5,051 | 107 | ||||||
Severn Trent | 7,150 | 174 | ||||||
Shire | 21,502 | 725 | ||||||
Smith & Nephew | 3,690 | 34 | ||||||
SSE | 23,467 | 487 | ||||||
Subsea 7 | 43,488 | 861 | ||||||
Tesco | 485,731 | 3,109 | ||||||
TUI Travel | 11,826 | 32 | ||||||
Tullow Oil | 45,216 | 991 | ||||||
Unilever | 3,938 | 133 | ||||||
United Utilities Group | 147,186 | 1,461 | ||||||
Vedanta Resources | 2,594 | 44 | ||||||
Vodafone Group | 1,873,342 | 5,084 | ||||||
Weir Group | 334 | 11 |
8 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2011
Description | Shares/Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
William Hill | 6,280 | $ | 20 | |||||
Willis Group Holdings | 27,000 | 952 | ||||||
WM Morrison Supermarkets | 33,020 | 168 | ||||||
Wolseley | 4,557 | 137 | ||||||
WPP | 7,751 | 82 | ||||||
|
| |||||||
65,538 | ||||||||
|
| |||||||
United States — 0.7% |
| |||||||
Advance America Cash Advance | ||||||||
Centers | 1,382 | 12 | ||||||
Asta Funding | 1,234 | 10 | ||||||
Axis Capital Holdings | 18,290 | 584 | ||||||
Buckeye Technologies | 340 | 11 | ||||||
Capital One Financial | 11,286 | 504 | ||||||
Cbeyond * | 1,213 | 9 | ||||||
CNO Financial | 9,028 | 57 | ||||||
Discover Financial Services | 339 | 8 | ||||||
Newmont Mining | 14,800 | 1,019 | ||||||
Philip Morris International | 4,523 | 345 | ||||||
UnitedHealth Group | 250 | 12 | ||||||
|
| |||||||
2,571 | ||||||||
|
| |||||||
Total Common Stock |
| 367,923 | ||||||
|
| |||||||
PREFERRED STOCK — 0.1% |
| |||||||
Germany — 0.1% | ||||||||
Bayerische Motoren Werke | 686 | 36 | ||||||
Draegerwerk | 177 | 16 | ||||||
Henkel | 364 | 22 | ||||||
RWE | 697 | 26 | ||||||
Volkswagen | 1,769 | 306 | ||||||
|
| |||||||
406 | ||||||||
|
| |||||||
Total Preferred Stock |
| 406 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 3.8% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.140% †** (E) | 15,434,327 | 14,659 | ||||||
|
| |||||||
Total Affiliated Partnership |
| 14,659 | ||||||
|
| |||||||
TIME DEPOSITS — 2.1% |
| |||||||
United States — 2.1% |
| |||||||
Brown Brothers Harriman | ||||||||
4.850%, 12/01/11 | ZAR | 90 | 11 | |||||
3.783%, 12/01/11 | AUD | 10 | 10 | |||||
1.750%, 12/01/11 | NZD | — | — | |||||
1.064%, 12/01/11 | SEK | 1 | — | |||||
0.950%, 12/01/11 | NOK | 1 | — | |||||
0.250%, 12/01/11 | CAD | 1 | 1 | |||||
0.137%, 12/01/11 | DKK | — | — | |||||
0.099%, 12/01/11 | GBP | 78 | 122 | |||||
0.096%, 12/01/11 | EUR | 202 | 272 | |||||
0.030%, 12/01/11 | 7,703 | 7,703 | ||||||
0.010%, 12/01/11 | JPY | 6,305 | 81 | |||||
0.010%, 12/01/11 | SGD | — | — | |||||
0.005%, 12/01/11 | CHF | — | — | |||||
0.005%, 12/01/11 | HKD | 480 | 62 | |||||
|
|
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Total Time Deposits |
| $ | 8,262 | |||||
|
| |||||||
CASH EQUIVALENT — 0.3% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.040% †** | 1,059,032 | 1,059 | ||||||
|
| |||||||
Total Cash Equivalent |
| 1,059 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.7% |
| |||||||
U.S. Treasury Bills | ||||||||
0.053%, 06/28/12 | $ | 1,287 | 1,287 | |||||
0.038%, 12/15/11 | 1,190 | 1,190 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 2,477 | ||||||
|
| |||||||
Total Investments — 103.2% |
| $ | 394,786 | |||||
|
|
The open futures contracts held by the Fund at November 30, 2011, is as follows:
Type of Contract | Number Of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 50 | Dec-2011 | $ | (2 | ) | |||||||
FTSE 100 Index | 17 | Dec-2011 | 7 | |||||||||
Hang Seng Index | 5 | Dec-2011 | 10 | |||||||||
Nikkei 225 Index | 1 | Dec-2011 | (1 | ) | ||||||||
SPI 200 Index | 11 | Dec-2011 | (27 | ) | ||||||||
Topix Index | 28 | Dec-2011 | (38 | ) | ||||||||
|
| |||||||||||
$ | (51 | ) | ||||||||||
|
|
For the period ended November 30, 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.
A summary of the open forward foreign currency contracts held by the Fund at November 30, 2011, is as follows:
Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||
12/21/11 | EUR | 2,936 | USD | 4,052 | $ | 100 | ||||||
|
| |||||||||||
A summary of the counterparties for the open forward foreign currency contracts held by the Fund at November 30, 2011, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||
BNY Mellon | (3,952 | ) | 4,052 | $ | 100 | |||||||
|
|
For the period ended November 30, 2011, the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $382,695 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2011. |
9 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2011
† | Investment in Affiliated Security (see Note 5). |
‡ | Real Estate Investment Trust. |
(1) | In U.S. dollars unless otherwise indicated. |
(A) | This security or a partial position of this security is on loan at November 30, 2011. The total value of securities on loan at November 30, 2011 was $13,679 ($ Thousands). |
(B) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(C) | 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 (see Note 11). The total value of such securities as of November 30, 2011 was $14,659 ($ 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 Depositary Receipt
HKD — Hong Kong Dollar
JPY — Japanese Yen
L.P. — Limited Partnership
NOK — Norwegian Krone
NZD — New Zealand Dollar
PLC — Public Limited Company
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 November 30, 2011, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 44,966 | $ | 322,807 | $ | 150 | $ | 367,923 | ||||||||
Preferred Stock | — | 406 | — | 406 | ||||||||||||
Affiliated Partnership | — | 14,659 | — | 14,659 | ||||||||||||
Time Deposits | 8,262 | — | — | 8,262 | ||||||||||||
Cash Equivalent | 1,059 | — | — | 1,059 | ||||||||||||
U.S. Treasury Obligations | — | 2,477 | — | 2,477 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 54,287 | $ | 340,349 | $ | 150 | $ | 394,786 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | (51 | ) | $ | — | $ | — | $ | (51 | ) | ||||||
Forwards Contracts * | — | 100 | — | 100 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (51 | ) | $ | 100 | $ | — | $ | 49 | |||||||
|
|
|
|
|
|
|
|
* | Futures and forwards contracts are valued at the unrealized appreciation (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 Common Stock | ||||
Beginning balance as of June 1, 2011 | $ | — | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | — | |||
Net purchases/sales | — | |||
Net transfer in and/or out of Level 3 | 150 | |||
|
| |||
Ending balance as of November 30, 2011 | $ | 150 | ||
|
| |||
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date | $ | 9 | ||
|
|
For the period ended November 30, 2011, there were significant transfers between Level 1 and Level 2 assets and liabilities. The primary reason for changes in the classifications between Levels 1 and 2 occurs when foreign equity securities are fair valued using other observable market-based inputs in place of the closing exchange price due to events occurring after the close of the exchange or market on which the investment is principally traded (see Note 2).
For the period ended November 30, 2011, there were significant transfers between Level 2 and Level 3 assets and liabilities. The transfers 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 $O or have been rounded to $O.
The accompanying notes are an integral part of the financial statements.
10 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 94.9% | ||||||||
Australia — 3.3% | ||||||||
Aditya Birla Minerals | 166,691 | $ | 141 | |||||
Ansell | 52,149 | 779 | ||||||
Australia & New Zealand Banking Group ADR | 925,600 | 19,437 | ||||||
Beach Energy | 1,020,311 | 1,546 | ||||||
Bendigo Bank | 298,441 | 2,821 | ||||||
BGP Holdings * | 239,898 | — | ||||||
BHP Billiton | 783,903 | 29,339 | ||||||
BHP Billiton ADR | 286,100 | 21,506 | ||||||
Caltex Australia | 597,526 | 8,136 | ||||||
Campbell Brothers | 7,063 | 363 | ||||||
Challenger | 295,127 | 1,316 | ||||||
Commonwealth Bank of Australia | 34,799 | 1,741 | ||||||
Flight Centre | 25,132 | 504 | ||||||
Iluka Resources | 330,655 | 5,330 | ||||||
National Australia Bank | 252,118 | 6,306 | ||||||
Rio Tinto | 198,506 | 13,503 | ||||||
Santos | 1,106,651 | 15,459 | ||||||
Sigma Pharmaceuticals | 489,088 | 335 | ||||||
Suncorp Group | 280,237 | 2,439 | ||||||
TABCORP Holdings | 246,649 | 731 | ||||||
Telstra | 1,079,300 | 3,542 | ||||||
Telstra ADR | 734,600 | 12,055 | ||||||
|
| |||||||
147,329 | ||||||||
|
| |||||||
Austria — 1.0% | ||||||||
Conwert Immobilien Invest | 813,051 | 9,497 | ||||||
Erste Group Bank | 434,973 | 7,560 | ||||||
Schoeller-Bleckmann Oilfield Equipment | 328,370 | 29,226 | ||||||
Voestalpine | 28,191 | 821 | ||||||
|
| |||||||
47,104 | ||||||||
|
| |||||||
Belgium — 0.4% | ||||||||
Delhaize Group | 53,647 | 3,170 | ||||||
Delhaize Group ADR | 265,800 | 15,695 | ||||||
D’ieteren | 17,247 | 817 | ||||||
|
| |||||||
19,682 | ||||||||
|
| |||||||
Brazil — 5.6% | ||||||||
Amil Participacoes | 2,021,400 | 18,843 | ||||||
Banco Bradesco ADR | 1,853,200 | 30,578 | ||||||
Banco Santander Brasil ADR | 232,135 | 1,792 | ||||||
BM&F Bovespa | 1,608,400 | 8,817 | ||||||
BR Malls Participacoes | 1,226,707 | 12,463 | ||||||
Brasil Telecom ADR | 64,300 | 1,146 | ||||||
BRF - Brasil Foods | 142,400 | 2,789 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo ADR | 846,455 | 46,741 | ||||||
Cia Paranaense de Energia ADR | 1,286,700 | 25,927 | ||||||
Cia Vale do Rio Doce ADR, Cl B | 853,952 | 19,854 | ||||||
Embraer ADR | 359,224 | 9,167 | ||||||
Fleury | 85,800 | 981 | ||||||
Julio Simoes Logistica | 123,900 | 591 | ||||||
Natura Cosmeticos | 488,900 | 9,847 | ||||||
Petroleo Brasileiro ADR | 618,400 | 16,691 | ||||||
Telefonica Brasil ADR | 207,015 | 5,583 |
Description | Shares | Market Value ($ Thousands) | ||||||
Telegraph Norte Leste | 1,429,700 | $ | 13,525 | |||||
Tim Participacoes ADR | 485,448 | 11,559 | ||||||
Totvs | 725,265 | 13,119 | ||||||
|
| |||||||
250,013 | ||||||||
|
| |||||||
Canada — 5.7% | ||||||||
Agrium | 259,800 | 18,183 | ||||||
Agrium | 85,200 | 5,999 | ||||||
Alimentation Couche Tard, Cl B | 73,530 | 2,119 | ||||||
AuRico Gold * | 137,144 | 1,370 | ||||||
Canadian National Railway (A) | 189,600 | 14,707 | ||||||
Canadian Natural Resources | 337,342 | 12,711 | ||||||
Canadian Oil Sands | 47,103 | 994 | ||||||
Canyon Services Group | 1,102,783 | 13,460 | ||||||
Cascades | 32,900 | 139 | ||||||
Celestica * | 107,000 | 893 | ||||||
Cenovus Energy | 246,317 | 8,264 | ||||||
Centerra Gold | 120,000 | 2,686 | ||||||
CGI Group, Cl A * | 141,000 | 2,600 | ||||||
CI Financial (A) | 35,800 | 722 | ||||||
Domtar | 59,590 | 4,680 | ||||||
Dorel Industries, Cl B | 21,800 | 514 | ||||||
Empire, Cl A | 32,200 | 1,938 | ||||||
Enbridge (A) | 177,560 | 6,311 | ||||||
Endeavour Silver * | 80,300 | 954 | ||||||
Goldcorp | 90,960 | 4,884 | ||||||
Imperial Oil | 0 | — | ||||||
Magna International, Cl A | 201,300 | 7,205 | ||||||
Manitoba Telecom Services | 13,200 | 389 | ||||||
Manulife Financial | 684,200 | 7,369 | ||||||
MI Developments | 11,306 | 361 | ||||||
Minefinders * | 52,888 | 634 | ||||||
Nexen | 392,000 | 6,495 | ||||||
Nexen | 82,543 | 1,379 | ||||||
Nordion | 47 | — | ||||||
Onex | 54,200 | 1,860 | ||||||
Pan American Silver | 63,600 | 1,661 | ||||||
Potash Corp of Saskatchewan | 268,440 | 11,634 | ||||||
Potash Saskatchewan | 50,100 | 2,191 | ||||||
Quebecor, Cl B | 24,700 | 787 | ||||||
Rogers Communications, Cl B | 253,600 | 9,391 | ||||||
Saputo (A) | 96,500 | 3,606 | ||||||
Suncor Energy | 104,200 | 3,148 | ||||||
Teck Cominco, Cl B | 17,000 | 625 | ||||||
TMX Group | 22,600 | 987 | ||||||
Toronto-Dominion Bank (A) | 239,500 | 16,983 | ||||||
Toronto-Dominion Bank (A) | 25,100 | 1,814 | ||||||
Trican Well Service | 699,676 | 11,981 | ||||||
Valeant Pharmaceuticals | 339,849 | 15,777 | ||||||
West Fraser Timber | 17,200 | 791 | ||||||
Yamana Gold | 1,411,061 | 23,870 | ||||||
Yamana Gold | 1,324,400 | 22,290 | ||||||
|
| |||||||
257,356 | ||||||||
|
| |||||||
Chile — 0.6% | ||||||||
CFR Pharmaceuticals * | 55,584,517 | 13,477 | ||||||
Enersis ADR | 131,127 | 2,330 |
1 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
SACI Falabella | 1,104,187 | $ | 9,385 | |||||
|
| |||||||
25,192 | ||||||||
|
| |||||||
China — 4.2% | ||||||||
Anhui Conch Cement (A) | 4,516,000 | 14,746 | ||||||
Baidu ADR * | 25,120 | 3,291 | ||||||
China Life Insurance | 2,643,774 | 7,126 | ||||||
China Merchants Bank (A) | 10,324,727 | 19,470 | ||||||
China Oilfield Services | 9,577,400 | 14,821 | ||||||
China Petroleum & Chemical | 24,236,600 | 25,640 | ||||||
China Shipping Container Lines * | 15,378,000 | 3,014 | ||||||
China Telecom | 9,084,000 | 5,567 | ||||||
CITIC Securities * (B) | 404,000 | 662 | ||||||
Dongfeng Motor Group (A) | 1,868,000 | 2,803 | ||||||
Industrial & Commercial Bank of China | 35,608,800 | 20,744 | ||||||
Mindray Medical International ADR | 451,200 | 12,173 | ||||||
Noah Holdings ADR * | 19,200 | 161 | ||||||
PetroChina | 3,036,000 | 3,956 | ||||||
Shanghai Friendship Group | 241,620 | 307 | ||||||
Sinopharm Group (A) | 2,702,586 | 6,589 | ||||||
Tencent Holdings | 374,086 | 7,305 | ||||||
Weichai Power (A) | 3,878,000 | 18,110 | ||||||
Yanzhou Coal Mining ADR | 346,100 | 8,469 | ||||||
Zhaojin Mining Industry | 6,814,000 | 11,799 | ||||||
|
| |||||||
186,753 | ||||||||
|
| |||||||
Colombia — 0.3% | ||||||||
BanColombia ADR, Cl R | 256,600 | 14,821 | ||||||
|
| |||||||
Czech Republic — 0.1% | ||||||||
Komercni Banka | 21,500 | 3,577 | ||||||
|
| |||||||
Denmark — 0.5% | ||||||||
AP Moller - Maersk, Cl B | 153 | 1,051 | ||||||
Novo-Nordisk, Cl B | 178,119 | 20,255 | ||||||
|
| |||||||
21,306 | ||||||||
|
| |||||||
Finland — 0.2% | ||||||||
Stora Enso, Cl R | 838,126 | 5,258 | ||||||
UPM-Kymmene | 195,473 | 2,292 | ||||||
|
| |||||||
7,550 | ||||||||
|
| |||||||
France — 4.0% | ||||||||
Air Liquide | 132,625 | 16,812 | ||||||
Alstom | 65,850 | 2,284 | ||||||
Arkema | 110,054 | 8,031 | ||||||
BNP Paribas | 177,629 | 7,084 | ||||||
Capital Gemini | 266,500 | 10,140 | ||||||
France Telecom ADR | 1,460,000 | 25,214 | ||||||
LVMH Moet Hennessy Louis Vuitton (A) | 135,626 | 21,394 | ||||||
Peugeot | 569,030 | 10,674 | ||||||
Publicis Groupe | 251,641 | 12,042 | ||||||
Safran | 67,896 | 2,018 | ||||||
Sanofi-Aventis | 275,800 | 19,326 | ||||||
Societe BIC | 3,747 | 333 | ||||||
Societe Generale | 232,161 | 5,683 | ||||||
Teleperformance | 19,385 | 383 | ||||||
Thales | 19,600 | 621 |
Description | Shares | Market Value ($ Thousands) | ||||||
Total | 324,236 | $ | 16,759 | |||||
Vallourec | 84,700 | 5,825 | ||||||
Vivendi | 558,034 | 12,895 | ||||||
Wendel | 9,263 | 669 | ||||||
|
| |||||||
178,187 | ||||||||
|
| |||||||
Germany — 5.6% | ||||||||
Adidas | 285,612 | 20,178 | ||||||
Allianz | 125,800 | 13,098 | ||||||
BASF | 195,413 | 14,302 | ||||||
Bayer | 79,617 | 5,248 | ||||||
Bayerische Motoren Werke | 177,368 | 13,470 | ||||||
Celesio (A) | 53,600 | 859 | ||||||
Commerzbank (A) | 1,134,149 | 2,136 | ||||||
Deutsche Lufthansa | 697,183 | 9,056 | ||||||
Deutsche Post | 317,497 | 4,808 | ||||||
Dialog Semiconductor * | 750,588 | 13,929 | ||||||
Fresenius Medical Care | 301,068 | 20,677 | ||||||
GEA Group | 446,137 | 13,230 | ||||||
Henkel | 257,015 | 12,570 | ||||||
Infineon Technologies | 784,154 | 6,531 | ||||||
Kabel Deutschland Holding * | 226,007 | 12,586 | ||||||
Muenchener Rueckversicherungs | 113,461 | 14,365 | ||||||
Norddeutsche Affinerie | 72,090 | 4,121 | ||||||
SAP | 692,392 | 41,535 | ||||||
Siemens | 221,651 | 22,472 | ||||||
Suedzucker | 207,321 | 6,617 | ||||||
|
| |||||||
251,788 | ||||||||
|
| |||||||
Hong Kong — 4.0% | ||||||||
AIA Group | 1,647,200 | 5,173 | ||||||
Cathay Pacific Airways | 9,363,400 | 16,902 | ||||||
Chaoda Modern Agriculture | 52,790 | 8 | ||||||
China Mobile | 1,632,000 | 16,079 | ||||||
China Unicom | 980,000 | 2,126 | ||||||
CLP Holdings | 1,397,000 | 12,403 | ||||||
CNOOC | 8,908,597 | 17,291 | ||||||
First Pacific | 15,476,027 | 17,301 | ||||||
Hengdeli Holdings | 34,958,000 | 13,665 | ||||||
Hong Kong Exchanges and Clearing | 865,300 | 14,275 | ||||||
Hongkong Land Holdings | 122,000 | 568 | ||||||
Jardine Matheson Holdings | 238,675 | 12,072 | ||||||
Jardine Strategic Holdings | 19,000 | 563 | ||||||
Lenovo Group | 3,756,000 | 2,685 | ||||||
L’Occitane International | 5,967,220 | 10,904 | ||||||
Luk Fook Holdings International | 3,379,000 | 14,161 | ||||||
Melco Crown Entertainment | 152,290 | 1,511 | ||||||
New World Development | 512,000 | 437 | ||||||
Orient Overseas International | 3,088,000 | 14,255 | ||||||
Power Assets Holdings | 519,500 | 3,889 | ||||||
RCG Holdings * | 137,229 | 13 | ||||||
SJM Holdings | 1,285,000 | 2,208 | ||||||
Yue Yuen Industrial Holdings | 397,500 | 1,157 | ||||||
|
| |||||||
179,646 | ||||||||
|
| |||||||
India — 0.8% | ||||||||
Allahabad Bank | 623,168 | 1,843 | ||||||
Andhra Bank | 341,124 | 657 | ||||||
ICICI Bank ADR | 259,500 | 7,554 |
2 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
IDBI Bank | 539,862 | $ | 978 | |||||
Idea Cellular * | 445,746 | 851 | ||||||
Indian Bank | 128,394 | 474 | ||||||
Indian Overseas Bank | 440,079 | 792 | ||||||
ITC | 854,820 | 3,329 | ||||||
JBF Industries | 55,021 | 121 | ||||||
Oriental Bank of Commerce | 324,746 | 1,689 | ||||||
Petronet LNG | 892,520 | 2,846 | ||||||
Tata Motors ADR | 807,300 | 13,886 | ||||||
Vijaya Bank | 1,055,305 | 1,040 | ||||||
VIP Industries | 328,110 | 761 | ||||||
Zuari Industries | 8,087 | 80 | ||||||
|
| |||||||
36,901 | ||||||||
|
| |||||||
Indonesia — 1.5% | ||||||||
Astra International | 1,592,276 | 12,789 | ||||||
Bank Mandiri | 1,394,000 | 1,015 | ||||||
Bank Negara Indonesia Persero | 2,007,000 | 864 | ||||||
Bank Rakyat Indonesia Persero | 20,555,248 | 15,222 | ||||||
Charoen Pokphand Indonesia | 41,654,000 | 10,974 | ||||||
HM Sampoerna | 17,500 | 76 | ||||||
Indofood Sukses Makmur | 22,367,283 | 11,948 | ||||||
Kalbe Farma | 32,571,619 | 12,888 | ||||||
|
| |||||||
65,776 | ||||||||
|
| |||||||
Ireland — 0.8% | ||||||||
Covidien | 261,300 | 11,902 | ||||||
Experian | 1,103,040 | 14,705 | ||||||
ICON ADR * | 678,267 | 11,537 | ||||||
|
| |||||||
38,144 | ||||||||
|
| |||||||
Israel — 1.3% | ||||||||
Bank Hapoalim | 1,054,336 | 3,623 | ||||||
Ceragon Networks * | 345,741 | 2,766 | ||||||
Check Point Software | 477,928 | 26,448 | ||||||
Israel Discount Bank, Cl A * | 822,716 | 1,215 | ||||||
Teva Pharmaceutical Industries ADR | 626,250 | 24,806 | ||||||
|
| |||||||
58,858 | ||||||||
|
| |||||||
Italy — 0.6% | ||||||||
Enel (A) | 2,513,722 | 10,730 | ||||||
Exor | 42,594 | 908 | ||||||
Lottomatica * | 85,954 | 1,329 | ||||||
Tod’s | 127,859 | 11,930 | ||||||
|
| |||||||
24,897 | ||||||||
|
| |||||||
Japan — 12.1% | ||||||||
Aeon | 380,300 | 5,192 | ||||||
Aisin Seiki | 43,500 | 1,313 | ||||||
Alfresa Holdings | 41,000 | 1,511 | ||||||
Alpen | 11,000 | 188 | ||||||
Alpine Electronics | 80,100 | 931 | ||||||
Asahi Glass ADR | 842,100 | 7,049 | ||||||
Autobacs Seven | 13,500 | 624 | ||||||
Brother Industries | 20,500 | 277 | ||||||
Calsonic Kansei | 545,000 | 3,143 | ||||||
Canon | 279,516 | 12,528 | ||||||
Capcom | 113,900 | 2,919 | ||||||
Central Glass | 71,000 | 347 | ||||||
Central Japan Railway | 381 | 3,050 |
Description | Shares | Market Value ($ Thousands) | ||||||
Daicel | 586,000 | $ | 3,281 | |||||
Daihatsu Motor | 334,000 | 5,847 | ||||||
Dai-ichi Life Insurance | 5,830 | 6,498 | ||||||
Daiichikosho | 23,200 | 430 | ||||||
Daikyo | 1,116,000 | 2,155 | ||||||
Dainippon Screen Manufacturing | 771,000 | 5,879 | ||||||
Dainippon Sumitomo Pharma | 451,100 | 4,648 | ||||||
Daito Trust Construction | 115,800 | 10,319 | ||||||
Daiwa House Industry | 878,000 | 10,616 | ||||||
Dena | 432,800 | 13,424 | ||||||
Denso | 561,200 | 16,060 | ||||||
Ebara | 190,000 | 694 | ||||||
EDION (A) | 243,300 | 1,904 | ||||||
Elpida Memory * (A) | 163,900 | 816 | ||||||
FamilyMart | 50,100 | 1,997 | ||||||
FANUC | 87,028 | 14,286 | ||||||
Fuji Heavy Industries ADR | 293,400 | 16,982 | ||||||
Fuji Media Holdings | 919 | 1,262 | ||||||
Fujitsu | 1,041,000 | 5,535 | ||||||
Gulliver International | 6,900 | 292 | ||||||
Heiwa | 40,100 | 720 | ||||||
Hino Motors | 336,000 | 2,065 | ||||||
HIS | 30,500 | 756 | ||||||
Hitachi | 9,206,600 | 51,040 | ||||||
Honda Motor ADR | 545,700 | 17,271 | ||||||
Idemitsu Kosan | 22,600 | 2,415 | ||||||
IHI | 1,337,000 | 3,137 | ||||||
IT Holdings | 106,600 | 1,202 | ||||||
Itochu Techno-Solutions | 13,700 | 591 | ||||||
Japan Securities Finance | 2,606,801 | 12,313 | ||||||
JGC | 101,000 | 2,543 | ||||||
Kaken Pharmaceutical | 67,000 | 812 | ||||||
Kao | 44,700 | 1,182 | ||||||
KDDI | 3,421 | 22,647 | ||||||
Komatsu | 865,726 | 22,135 | ||||||
Konica Minolta Holdings | 138,500 | 1,046 | ||||||
K’s Holdings | 207,100 | 8,156 | ||||||
KYB (A) | 247,000 | 1,183 | ||||||
Maeda Road Construction | 71,000 | 703 | ||||||
Medipal Holdings | 218,200 | 2,143 | ||||||
Megane TOP | 17,200 | 209 | ||||||
Melco Holdings | 14,100 | 378 | ||||||
Miraca Holdings | 88,900 | 3,411 | ||||||
Mitsubishi Estate | 222,000 | 3,703 | ||||||
Mitsubishi UFJ Financial Group | 3,587,708 | 15,700 | ||||||
Mitsui ADR | 62,200 | 19,373 | ||||||
Mizuho Financial Group | 13,223,000 | 17,391 | ||||||
Nagase | 53,000 | 578 | ||||||
Namco Bandai Holdings | 185,500 | 2,672 | ||||||
NEC Networks & System Integration | 39,800 | 610 | ||||||
NET One Systems | 680 | 1,752 | ||||||
Nichii Gakkan | 247,500 | 2,815 | ||||||
Nippo | 62,000 | 539 | ||||||
Nippon Flour Mills | 78,000 | 346 | ||||||
Nippon Light Metal | 1,264,000 | 1,679 | ||||||
Nippon Steel | 4,685,000 | 11,363 | ||||||
Nippon Telegraph & Telephone | 158,100 | 7,790 | ||||||
Nissan Motor | 478,300 | 4,389 | ||||||
Nitto Denko ADR | 468,030 | 19,250 | ||||||
Nomura Research Institute | 30,200 | 666 |
3 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Osaka Securities Exchange (A) | 2,524 | $ | 14,468 | |||||
Otsuka Holdings | 10,200 | 280 | ||||||
Pioneer | 777,300 | 3,810 | ||||||
Rengo | 122,000 | 867 | ||||||
Saizeriya | 75,900 | 1,244 | ||||||
Sanrio | 75,500 | 3,924 | ||||||
Sapporo Hokuyo Holdings | 224,800 | 782 | ||||||
Secom | 403,900 | 18,200 | ||||||
Seino Holdings | 165,000 | 1,198 | ||||||
Sekisui Chemical | 84,000 | 631 | ||||||
Shionogi | 62,500 | 734 | ||||||
Ship Healthcare Holdings | 33,900 | 806 | ||||||
SKY Perfect JSAT Holdings | 2,957 | 1,510 | ||||||
Softbank | 382,983 | 12,923 | ||||||
Sojitz (A) | 1,141,600 | 1,789 | ||||||
Suzuken | 34,700 | 894 | ||||||
Suzuki Motor | 18,100 | 385 | ||||||
Sysmex | 404,316 | 13,905 | ||||||
Toagosei | 341,000 | 1,462 | ||||||
Toho Holdings | 103,600 | 1,323 | ||||||
Toshiba TEC | 168,000 | 634 | ||||||
Toyo Seikan Kaisha | 77,000 | 1,072 | ||||||
Toyota Motor | 473,647 | 15,583 | ||||||
Unipres | 45,800 | 1,269 | ||||||
United Arrows | 19,300 | 345 | ||||||
Watabe Wedding | 7,955 | 65 | ||||||
Xebio | 17,600 | 407 | ||||||
Yamada Denki | 36,510 | 2,638 | ||||||
Yamato Holdings | 112,900 | 1,811 | ||||||
Zeon | 937,000 | 7,960 | ||||||
|
| |||||||
543,590 | ||||||||
|
| |||||||
Jersey — 0.1% | ||||||||
Randgold Resources ADR | 24,246 | 2,592 | ||||||
|
| |||||||
Malaysia — 0.2% | ||||||||
Affin Holdings | 236,400 | 223 | ||||||
DiGi.Com | 790,000 | 883 | ||||||
Hong Leong Bank | 137,933 | 458 | ||||||
Hong Leong Financial Group | 94,700 | 346 | ||||||
Proton Holdings | 131,700 | 128 | ||||||
RHB Capital | 885,500 | 2,064 | ||||||
Telekom Malaysia | 2,081,500 | 2,862 | ||||||
|
| |||||||
6,964 | ||||||||
|
| |||||||
Mexico — 1.1% | ||||||||
Alfa, Cl A | 150,804 | 1,778 | ||||||
Fomento Economico Mexicano | 89,100 | 611 | ||||||
Fomento Economico Mexicano ADR | 55,830 | 3,808 | ||||||
Genomma Lab Internacional, Cl B * | 6,623,762 | 14,150 | ||||||
Grupo Elektra | 153,987 | 15,091 | ||||||
Grupo Lamosa * | 17,900 | 20 | ||||||
Wal-Mart de Mexico | 4,903,900 | 13,262 | ||||||
|
| |||||||
48,720 | ||||||||
|
| |||||||
Netherlands — 4.7% | ||||||||
ASML Holding | 301,100 | 11,909 | ||||||
Chicago Bridge & Iron | 272,701 | 11,276 | ||||||
Core Laboratories | 277,200 | 32,169 |
Description | Shares | Market Value ($ Thousands) | ||||||
European Aeronautic Defense and Space | 377,321 | $ | 11,341 | |||||
Heineken | 180,700 | 8,476 | ||||||
ING Groep * | 1,235,570 | 9,654 | ||||||
Koninklijke DSM | 115,103 | 5,615 | ||||||
Nutreco | 20,644 | 1,356 | ||||||
Reed Elsevier | 1,742,300 | 20,575 | ||||||
Royal Dutch Shell, Cl A | 1,159,561 | 40,576 | ||||||
Royal Dutch Shell, Cl A (GBP) | 120,089 | 4,210 | ||||||
Royal Dutch Shell ADR, Cl A | 446,100 | 31,227 | ||||||
Royal KPN | 681,628 | 8,358 | ||||||
Unilever | 207,810 | 7,091 | ||||||
Yandex, Cl A * | 236,700 | 5,203 | ||||||
|
| |||||||
209,036 | ||||||||
|
| |||||||
New Zealand — 0.1% | ||||||||
Chorus * | 229,090 | 586 | ||||||
Telecom of New Zealand | 1,145,450 | 1,808 | ||||||
|
| |||||||
2,394 | ||||||||
|
| |||||||
Norway — 2.4% | ||||||||
DnB | 1,813,308 | 18,567 | ||||||
Norsk Hydro | 1,838,600 | 8,869 | ||||||
Seadrill | 711,650 | 24,886 | ||||||
Statoil | 547,142 | 14,167 | ||||||
Statoil ADR | 1,432,000 | 37,117 | ||||||
Yara International | 70,964 | 2,892 | ||||||
|
| |||||||
106,498 | ||||||||
|
| |||||||
Pakistan — 0.0% | ||||||||
Pakistan Telecommunication | 657,405 | 79 | ||||||
|
| |||||||
Peru — 0.1% | ||||||||
Credicorp | 25,590 | 2,780 | ||||||
|
| |||||||
Philippines — 0.0% | ||||||||
Metropolitan Bank & Trust | 283,390 | 438 | ||||||
|
| |||||||
Poland — 0.3% | ||||||||
KGHM Polska Miedz | 207,260 | 8,273 | ||||||
Polski Koncern Naftowy Orlen | 268,177 | 3,246 | ||||||
Tauron Polska Energia | 413,417 | 674 | ||||||
|
| |||||||
12,193 | ||||||||
|
| |||||||
Portugal — 0.3% | ||||||||
Jeronimo Martins | 728,944 | 13,324 | ||||||
|
| |||||||
Russia — 0.7% | ||||||||
Gazprom OAO ADR | 451,621 | 5,194 | ||||||
Globaltrans Investment GDR | 16,499 | 250 | ||||||
Lukoil ADR | 211,673 | 11,898 | ||||||
Mail.ru Group GDR * | 20,397 | 628 | ||||||
Mail.ru Group GDR * | 364,730 | 11,291 | ||||||
NovaTek OAO GDR | 21,390 | 3,277 | ||||||
|
| |||||||
32,538 | ||||||||
|
| |||||||
Singapore — 0.9% | ||||||||
DBS Group Holdings | 954,000 | 9,490 | ||||||
Ho Bee Investment | 10,486,849 | 9,988 | ||||||
United Overseas Bank | 40,000 | 485 |
4 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
United Overseas Bank ADR | 719,200 | $ | 17,527 | |||||
UOB-Kay Hian Holdings | 55,000 | 67 | ||||||
Wilmar International | 693,000 | 2,813 | ||||||
Yangzijiang Shipbuilding Holdings | 1,817,000 | 1,309 | ||||||
|
| |||||||
41,679 | ||||||||
|
| |||||||
South Africa — 0.8% | ||||||||
Exxaro Resources | 117,080 | 2,618 | ||||||
Mpact * | 122,944 | 217 | ||||||
MTN Group | 63,821 | 1,152 | ||||||
Sasol ADR | 631,200 | 30,241 | ||||||
Telkom | 253,773 | 911 | ||||||
|
| |||||||
35,139 | ||||||||
|
| |||||||
South Korea — 4.0% | ||||||||
Daum Communications | 103,196 | 13,558 | ||||||
Hana Financial Group | 272,820 | 9,870 | ||||||
Hanjin Shipping | 455,210 | 3,539 | ||||||
Hyundai Hysco | 54,990 | 2,080 | ||||||
Hyundai Motor | 150,826 | 29,338 | ||||||
Kia Motors | 263,040 | 16,734 | ||||||
KISCO Holdings | 4,036 | 117 | ||||||
Korea Exchange Bank | 73,170 | 535 | ||||||
Korea Zinc | 6,874 | 2,119 | ||||||
KT | 15,560 | 498 | ||||||
LG | 83,791 | 4,716 | ||||||
LG Hausys | 1,304 | 100 | ||||||
Lock & Lock | 400,443 | 13,066 | ||||||
NCSoft | 8,050 | 2,190 | ||||||
POSCO | 23,695 | 7,986 | ||||||
POSCO ADR | 199,700 | 17,104 | ||||||
Samsung Electronics | 11,349 | 10,329 | ||||||
Shinhan Financial Group | 45,509 | 1,697 | ||||||
SK C&C | 5,226 | 642 | ||||||
SK Holdings | 51,809 | 6,749 | ||||||
SK Telecom | 10,484 | 1,405 | ||||||
SK Telecom ADR | 1,546,211 | 22,868 | ||||||
Woori Finance Holdings | 347,520 | 3,113 | ||||||
Woori Finance Holdings ADR | 290,600 | 7,718 | ||||||
|
| |||||||
178,071 | ||||||||
|
| |||||||
Spain — 0.5% | ||||||||
Banco Pastor | 164 | 1 | ||||||
Mapfre (A) | 4,528,187 | 15,185 | ||||||
Telefonica | 468,034 | 8,805 | ||||||
|
| |||||||
23,991 | ||||||||
|
| |||||||
Sweden — 2.0% | ||||||||
Billerud | 58,221 | 479 | ||||||
Getinge, Cl B | 713,898 | 18,465 | ||||||
Hennes & Mauritz, Cl B | 507,305 | 16,173 | ||||||
Industrivarden, Cl C | 76,064 | 931 | ||||||
Kinnevik Investment, Cl B | 278,241 | 5,684 | ||||||
Lundin Petroleum * | 16,491 | 427 | ||||||
Sandvik | 240,120 | 3,088 | ||||||
Svenska Cellulosa ADR | 1,398,200 | 20,707 | ||||||
Svenska Handelsbanken, Cl A | 158,200 | 4,191 | ||||||
Swedbank, Cl A | 78,830 | 1,058 |
Description | Shares | Market Value ($ Thousands) | ||||||
Telefonaktiebolaget LM Ericsson ADR | 1,545,000 | $ | 16,423 | |||||
|
| |||||||
87,626 | ||||||||
|
| |||||||
Switzerland — 4.1% | ||||||||
ABB | 99,013 | 1,884 | ||||||
Clariant | 207,430 | 2,047 | ||||||
Credit Suisse Group | 979,731 | 23,736 | ||||||
Credit Suisse Group ADR | 451,200 | 10,923 | ||||||
Forbo Holding | 2,368 | 1,045 | ||||||
Julius Baer Group | 218,591 | 7,857 | ||||||
Meyer Burger Technology * (A) | 49,995 | 974 | ||||||
Nestle | 386,537 | 21,776 | ||||||
Novartis ADR | 224,100 | 12,128 | ||||||
Novartis | 351,712 | 19,066 | ||||||
OC Oerlikon * | 184,930 | 1,048 | ||||||
Roche Holding | 166,910 | 26,652 | ||||||
Schindler Holding | 16,619 | 2,006 | ||||||
STMicroelectronics | 635,624 | 4,036 | ||||||
Swatch Group, Cl B | 23,726 | 9,289 | ||||||
Swiss Life Holding | 8,311 | 874 | ||||||
Transocean | 238,900 | 10,237 | ||||||
UBS | 87,363 | 1,080 | ||||||
Zurich Financial Services ADR | 1,276,000 | 28,008 | ||||||
|
| |||||||
184,666 | ||||||||
|
| |||||||
Taiwan — 1.3% | ||||||||
Advanced Semiconductor Engineering ADR | 3,941,176 | 17,735 | ||||||
Chinatrust Financial Holding | 67,364 | 38 | ||||||
Far Eastern Textile | 14,495 | 16 | ||||||
Far EasTone Telecommunications | 264,000 | 503 | ||||||
Fubon Financial Holding | 8,617,612 | 8,982 | ||||||
High Tech Computer | 643,078 | 10,587 | ||||||
Hiwin Technologies | 160,680 | 1,327 | ||||||
Hwa Fong Rubber * | 616,000 | 125 | ||||||
Long Bon International | 488,000 | 168 | ||||||
Mega Financial Holding | 864,980 | 579 | ||||||
Taishin Financial Holding | 2,193,211 | 818 | ||||||
Taiwan Semiconductor Manufacturing ADR | 914,700 | 11,818 | ||||||
United Microelectronics | 4,159,000 | 1,845 | ||||||
United Microelectronics ADR | 1,211,600 | 2,775 | ||||||
|
| |||||||
57,316 | ||||||||
|
| |||||||
Thailand — 1.4% | ||||||||
Advanced Info Service | 1,679,000 | 7,661 | ||||||
Bangkok Bank | 1,564,600 | 7,457 | ||||||
Charoen Pokphand Foods | 17,648,800 | 19,079 | ||||||
CP ALL | 8,149,463 | 13,340 | ||||||
Kasikornbank | 375,500 | 1,449 | ||||||
Krung Thai Bank | 6,538,300 | 3,149 | ||||||
Siam Commercial Bank | 752,700 | 2,690 | ||||||
Total Access Communication | 3,431,800 | 8,990 | ||||||
|
| |||||||
63,815 | ||||||||
|
| |||||||
Turkey — 0.9% | ||||||||
Akbank | 3,242,563 | 11,501 | ||||||
Arcelik | 553,608 | 1,880 | ||||||
KOC Holding ADR | 497,000 | 8,598 | ||||||
Turk Ekonomi Bankasi * | 480,817 | 395 |
5 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Turkiye Garanti Bankasi | 3,696,198 | $ | 12,691 | |||||
Turkiye Halk Bankasi | 668,723 | 4,055 | ||||||
Turkiye Sinai Kalkinma Bankasi | 600,403 | 652 | ||||||
Turkiye Vakiflar Bankasi Tao, Cl D | 1,578,333 | 2,349 | ||||||
|
| |||||||
42,121 | ||||||||
|
| |||||||
United Kingdom — 13.7% | ||||||||
ARM Holdings | 939,992 | 8,855 | ||||||
ARM Holdings ADR | 1,271,300 | 35,939 | ||||||
AstraZeneca | 417,952 | 19,298 | ||||||
AstraZeneca ADR | 622,600 | 28,627 | ||||||
BAE Systems | 779,191 | 3,372 | ||||||
BAE Systems ADR | 999,000 | 17,043 | ||||||
Barclays | 107,925 | 312 | ||||||
Barclays ADR | 519,800 | 6,055 | ||||||
BG Group | 1,107,269 | 23,808 | ||||||
BHP Billiton | 212,996 | 6,566 | ||||||
BP | 1,063,813 | 7,724 | ||||||
BP PLC ADR | 221,818 | 9,660 | ||||||
British American Tobacco | 649,356 | 30,210 | ||||||
British Land ‡ | 351,590 | 2,751 | ||||||
Cape | 75,514 | 388 | ||||||
Carnival | 451,850 | 15,601 | ||||||
Catlin Group | 87,949 | 574 | ||||||
Centrica | 1,116,304 | 5,320 | ||||||
Diageo | 1,131,338 | 24,291 | ||||||
Diageo ADR | 269,800 | 23,098 | ||||||
Drax Group | 152,300 | 1,345 | ||||||
HSBC Holdings | 1,263,176 | 9,878 | ||||||
IG Group Holdings | 76,881 | 584 | ||||||
Imagination Technologies Group * | 1,771,405 | 13,876 | ||||||
Imperial Tobacco Group | 1,168,045 | 42,127 | ||||||
Intermediate Capital Group | 3,611,364 | 13,712 | ||||||
Investec | 239,276 | 1,378 | ||||||
Kingfisher | 3,446,084 | 13,923 | ||||||
Marks & Spencer Group ADR | 910,700 | 9,380 | ||||||
Pearson | 771,434 | 14,049 | ||||||
Reckitt Benckiser Group | 364,515 | 18,539 | ||||||
Rio Tinto | 210,974 | 11,135 | ||||||
Rio Tinto ADR | 742,800 | 39,420 | ||||||
Rolls-Royce Holdings | 533,940 | 6,153 | ||||||
SABMiller | 290,288 | 10,275 | ||||||
Sage Group ADR | 540,400 | 9,738 | ||||||
Shire | 1,001,158 | 33,750 | ||||||
Standard Chartered | 862,441 | 18,823 | ||||||
Tate & Lyle | 57,079 | 606 | ||||||
Tesco | 3,517,572 | 22,514 | ||||||
Unilever ADR | 1,171,300 | 39,391 | ||||||
Vodafone Group | 4,457,240 | 12,096 | ||||||
WH Smith | 40,700 | 337 | ||||||
William Hill | 559,001 | 1,784 | ||||||
Xyratex | 45,828 | 621 | ||||||
|
| |||||||
614,926 | ||||||||
|
| |||||||
United States — 2.7% | ||||||||
Advance America Cash Advance Centers | 171,640 | 1,462 | ||||||
Axis Capital Holdings | 619,200 | 19,771 | ||||||
Boise | 405,023 | 2,418 |
Description | Shares | Market Value ($ Thousands) | ||||||
Briggs & Stratton | 18,816 | $ | 284 | |||||
CACI International, Cl A * | 7,654 | 432 | ||||||
Calamos Asset Management, Cl A | 36,343 | 430 | ||||||
Capital One Financial | 280,000 | 12,505 | ||||||
Carnival | 383,400 | 12,729 | ||||||
Cash America International | 13,535 | 673 | ||||||
CBOE Holdings | 48,508 | 1,306 | ||||||
Centene * | 32,925 | 1,274 | ||||||
Central Garden and Pet * | 45,888 | 397 | ||||||
Chemed | 13,413 | 720 | ||||||
Discover Financial Services | 22,009 | 524 | ||||||
Everest Re Group | 182,800 | 16,037 | ||||||
Golden Star Resources * | 377,686 | 780 | ||||||
Jakks Pacific | 20,501 | 391 | ||||||
Medifast * | 27,957 | 389 | ||||||
PHH * | 66,186 | 1,016 | ||||||
Philip Morris International | 53,092 | 4,048 | ||||||
RenaissanceRe Holdings | 161,600 | 11,868 | ||||||
Schlumberger | 248,650 | 18,731 | ||||||
Virgin Media | 531,407 | 11,776 | ||||||
World Acceptance * | 33,970 | 2,331 | ||||||
|
| |||||||
122,292 | ||||||||
|
| |||||||
Total Common Stock |
| 4,247,668 | ||||||
|
| |||||||
PREFERRED STOCK — 1.2% |
| |||||||
Brazil — 0.4% | ||||||||
Cia de Bebidas das Americas ADR | 308,542 | 10,608 | ||||||
Itau Unibanco Holding ADR | 659,100 | 11,732 | ||||||
|
| |||||||
22,340 | ||||||||
|
| |||||||
Germany — 0.8% | ||||||||
Hugo Boss | 168,420 | 15,360 | ||||||
Volkswagen | 111,190 | 19,248 | ||||||
|
| |||||||
34,608 | ||||||||
|
| |||||||
Total Preferred Stock |
| 56,948 | ||||||
|
| |||||||
Number Of Warrants | ||||||||
WARRANTS — 0.2% | ||||||||
Qatar — 0.2% | ||||||||
Industries Qatar, | 331,940 | 11,983 | ||||||
|
| |||||||
Total Warrants |
| 11,983 | ||||||
|
| |||||||
EXCHANGE TRADED FUND — 0.4% |
| |||||||
United States — 0.4% | ||||||||
iShares MSCI Emerging Markets Index Fund | 504,600 | 20,204 | ||||||
|
| |||||||
Total Exchange Traded Fund |
| 20,204 | ||||||
|
|
6 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund
November 30, 2011
Description | Shares/Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
AFFILIATED PARTNERSHIP — 8.4% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.140% †** (E) | 377,466,754 | $ | 374,193 | |||||
|
| |||||||
Total Affiliated Partnership |
| 374,193 | ||||||
|
| |||||||
TIME DEPOSITS — 0.7% |
| |||||||
United States — 0.7% |
| |||||||
Brown Brothers Harriman | ||||||||
4.850%, 12/01/11 | ZAR | 454 | 56 | |||||
3.783%, 12/01/11 | AUD | 11 | 11 | |||||
1.750%, 12/01/11 | NZD | — | — | |||||
1.064%, 12/01/11 | SEK | 795 | 118 | |||||
0.950%, 12/01/11 | NOK | 2 | 1 | |||||
0.250%, 12/01/11 | CAD | 2,001 | 1,968 | |||||
0.137%, 12/01/11 | DKK | 2 | — | |||||
0.099%, 12/01/11 | GBP | 653 | 1,027 | |||||
0.096%, 12/01/11 | EUR | 256 | 344 | |||||
0.030%, 12/01/11 | 24,599 | 24,599 | ||||||
0.010%, 12/01/11 | JPY | 103,251 | 1,330 | |||||
0.010%, 12/01/11 | SGD | 24 | 19 | |||||
0.005%, 12/01/11 | CHF | 414 | 455 | |||||
0.005%, 12/01/11 | HKD | 1,365 | 176 | |||||
|
| |||||||
Total Time Deposits |
| 30,104 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATION (C) (D) — 0.1% |
| |||||||
U.S. Treasury Bills | ||||||||
0.016%, 06/28/12 | $ | 4,784 | 4,783 | |||||
|
| |||||||
Total U.S. Treasury Obligation |
| 4,783 | ||||||
|
| |||||||
Total Investments — 105.9% |
| $ | 4,745,883 | |||||
|
|
The open futures contracts held by the Fund at November 30, 2011, is as follows:
Type of Contract | Number Of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 269 | Dec-2011 | $ | (106 | ) | |||||||
FTSE 100 Index | 78 | Dec-2011 | (47 | ) | ||||||||
Hang Seng Index | 25 | Dec-2011 | 33 | |||||||||
S&P/TSX 60 Index | 25 | Dec-2011 | (49 | ) | ||||||||
SPI 200 Index | 56 | Dec-2011 | (82 | ) | ||||||||
Topix Index | 149 | Dec-2011 | (196 | ) | ||||||||
|
| |||||||||||
$ | (447 | ) | ||||||||||
|
|
For the period ended November 30, 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.
A summary of the open forward foreign currency contracts held by the Fund at November 30, 2011, is as follows:
Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
12/23/11-5/9/12 | EUR | 71,058 | USD | 96,265 | $ | 519 | ||||||
5/9/12 | USD | 8,982 | EUR | 6,629 | (44 | ) | ||||||
|
| |||||||||||
$ | 475 | |||||||||||
|
|
A summary of the counterparties for the open forward foreign currency contracts held by the Fund at November 30, 2011, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||
SSB (State Street) | (104,728 | ) | 105,203 | $ | 475 | |||||||
|
|
For the period ended November 30, 2011, the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $4,480,359 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2011. |
† | Investment in Affiliated Security (see Note 5). |
‡ | Real Estate Investment Trust. |
(1) | In U.S. dollars unless otherwise indicated. |
(A) | This security or a partial position of this security is on loan at November 30, 2011. The total value of securities on loan at November 30, 2011 was $381,218 ($ Thousands). |
(B) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(C) | 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 (see Note 11). The total value of such securities as of November 30, 2011 was $374,193 ($ 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 — Morgan Stanley Capital International
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
TSX — Toronto Stock Exchange (formerly TSE)
USD — U.S. Dollar
ZAR — South African Rand
7 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund
November 30, 2011
The following is a summary of the inputs used as of November 30, 2011, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,614,275 | $ | 2,633,385 | $ | 8 | $ | 4,247,668 | ||||||||
Preferred Stock | 22,340 | 34,608 | — | 56,948 | ||||||||||||
Warrants | 11,983 | — | — | 11,983 | ||||||||||||
Exchange Traded Fund | 20,204 | — | — | 20,204 | ||||||||||||
Affiliated Partnership | — | 374,193 | — | 374,193 | ||||||||||||
Time Deposits | 30,104 | — | — | 30,104 | ||||||||||||
U.S. Treasury Obligation | — | 4,783 | — | 4,783 | ||||||||||||
Total Investments in Securities | $ | 1,698,906 | $ | 3,046,969 | $ | 8 | $ | 4,745,883 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures | $ | (447 | ) | $ | — | $ | — | $ | (447 | ) | ||||||
Forwards Contracts * | — | 475 | — | 475 | ||||||||||||
Total Other Financial Instruments | $ | (447 | ) | $ | 475 | $ | — | $ | 28 |
* | Futures and forwards contracts are valued at the unrealized appreciation (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 Common Stock | ||||
Beginning balance as of June 1, 2011 | $ | — | ||
Accrued discounts/premiums | — | |||
Realized gain/(loss) | — | |||
Change in unrealized appreciation/(depreciation) | — | |||
Net purchases/sales | — | |||
Net transfer in and/or out of Level 3 | 8 | |||
|
| |||
Ending balance as of November 30, 2011 | $ | 8 | ||
|
| |||
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date | $ | (33 | ) | |
|
|
For the period ended November 30, 2011, there were significant transfers between Level 1 and Level 2 assets and liabilities. The primary reason for changes in the classifications between Levels 1 and 2 occurs when foreign equity securities are fair valued using other observable market-based inputs in place of the closing exchange price due to events occurring after the close of the exchange or market on which the investment is principally traded (see Note 2).
For the period ended November 30, 2011, there were significant transfers between Level 2 and Level 3 assets and liabilities. The transfers 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 $O or have been rounded to $O.
The accompanying notes are an integral part of the financial statements.
8 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 91.7% | ||||||||
Australia — 4.8% | ||||||||
BGP Holdings * | 4,500 | $ | — | |||||
BHP Billiton | 15,165 | 568 | ||||||
BHP Billiton ADR | 4,300 | 323 | ||||||
Caltex Australia | 7,465 | 102 | ||||||
Commonwealth Bank of Australia | 3,647 | 182 | ||||||
Iluka Resources | 2,760 | 45 | ||||||
National Australia Bank | 6,629 | 166 | ||||||
Rio Tinto | 3,795 | 258 | ||||||
Santos | 15,426 | 215 | ||||||
Suncorp Group | 5,590 | 49 | ||||||
Telstra | 20,700 | 68 | ||||||
WDS | 17,485 | 11 | ||||||
Westpac Banking | 134 | 3 | ||||||
Woodside Petroleum | 6,600 | 230 | ||||||
|
| |||||||
2,220 | ||||||||
|
| |||||||
Austria — 1.7% | ||||||||
Conwert Immobilien Invest | 12,203 | 142 | ||||||
Erste Group Bank | 6,259 | 109 | ||||||
Schoeller-Bleckmann Oilfield Equipment | �� | 5,091 | 453 | |||||
Strabag | 1,589 | 48 | ||||||
Voestalpine | 1,070 | 31 | ||||||
|
| |||||||
783 | ||||||||
|
| |||||||
Belgium — 0.1% | ||||||||
KBC Groep | 2,998 | 33 | ||||||
Recticel | 5,843 | 32 | ||||||
|
| |||||||
65 | ||||||||
|
| |||||||
Brazil — 2.8% | ||||||||
Amil Participacoes | 30,700 | 286 | ||||||
Banco Bradesco ADR | 12,100 | 200 | ||||||
BM&F Bovespa | 27,499 | 151 | ||||||
BRF - Brasil Foods | 2,700 | 53 | ||||||
Cia Vale do Rio Doce ADR, Cl B | 10,593 | 246 | ||||||
Embraer ADR | 4,952 | 127 | ||||||
Natura Cosmeticos | 6,765 | 136 | ||||||
Tim Participacoes ADR | 5,339 | 127 | ||||||
|
| |||||||
1,326 | ||||||||
|
| |||||||
Canada — 4.6% | ||||||||
Barrick Gold | 500 | 27 | ||||||
Brookfield Real Estate Services | 2,000 | 26 | ||||||
Canadian National Railway | 3,204 | 248 | ||||||
Canadian Natural Resources | 5,273 | 199 | ||||||
Canadian Oil Sands | 1,062 | 22 | ||||||
Cenovus Energy | 4,974 | 167 | ||||||
Cogeco | 400 | 20 | ||||||
Domtar | 479 | 38 | ||||||
Enbridge | 9,420 | 335 | ||||||
Goldcorp | 3,140 | 169 | ||||||
High Liner Foods | 400 | 6 | ||||||
Imperial Oil | 1,700 | 73 | ||||||
Magellan Aerospace * | 1,300 | 4 | ||||||
Magna International, Cl A | 3,000 | 107 | ||||||
Nexen | 9,406 | 157 | ||||||
Nordion | 3 | — | ||||||
Onex | 100 | 3 | ||||||
Petrominerales | 1,006 | 20 | ||||||
Potash Corp of Saskatchewan | 6,138 | 266 |
Description | Shares | Market Value ($ Thousands) | ||||||
Potash Saskatchewan | 1,038 | $ | 45 | |||||
Primero Mining, Cl Common Subscription Recei * | 11,900 | 41 | ||||||
Rogers Communications, Cl B | 3,800 | 141 | ||||||
Tembec * | 1,000 | 3 | ||||||
|
| |||||||
2,117 | ||||||||
|
| |||||||
China — 4.7% | ||||||||
Agricultural Bank of China | 10,000 | 4 | ||||||
Anhui Conch Cement | 66,000 | 215 | ||||||
Baidu ADR * | 480 | 63 | ||||||
Bank of China | 412,000 | 134 | ||||||
China Life Insurance | 43,367 | 117 | ||||||
China Merchants Bank | 166,975 | 315 | ||||||
China Oilfield Services | 147,800 | 229 | ||||||
China Shipping Container Lines * | 213,000 | 42 | ||||||
China Telecom | 62,000 | 38 | ||||||
CITIC Securities * (A) | 5,900 | 10 | ||||||
Industrial & Commercial Bank of China | 550,758 | 321 | ||||||
Mindray Medical International ADR | 6,800 | 183 | ||||||
Sinopharm Group | 44,825 | 109 | ||||||
Tencent Holdings | 6,064 | 118 | ||||||
Weichai Power | 59,000 | 276 | ||||||
|
| |||||||
2,174 | ||||||||
|
| |||||||
Colombia — 0.5% | ||||||||
BanColombia ADR, Cl R | 3,900 | 225 | ||||||
Ecopetrol ADR | 352 | 15 | ||||||
|
| |||||||
240 | ||||||||
|
| |||||||
Cyprus — 0.1% | ||||||||
Bank of Cyprus | 49,690 | 36 | ||||||
|
| |||||||
Czech Republic — 0.2% | ||||||||
Komercni Banka | 500 | 83 | ||||||
|
| |||||||
Denmark — 1.1% | ||||||||
AP Moller - Maersk, Cl B | 29 | 199 | ||||||
Novo-Nordisk, Cl B | 2,927 | 333 | ||||||
|
| |||||||
532 | ||||||||
|
| |||||||
Finland — 0.0% | ||||||||
Norvestia, Cl B | 38 | — | ||||||
|
| |||||||
France — 3.7% | ||||||||
Air Liquide | 2,058 | 261 | ||||||
Arkema | 611 | 45 | ||||||
AXA | 9,963 | 145 | ||||||
BNP Paribas | 2,561 | 102 | ||||||
Danone | 980 | 65 | ||||||
Les Nouveaux Constructeurs Investissement | 2,195 | 15 | ||||||
LVMH Moet Hennessy Louis Vuitton | 2,218 | 350 | ||||||
Natixis | 175 | — | ||||||
Peugeot | 3,938 | 74 | ||||||
Publicis Groupe | 4,210 | 201 | ||||||
Sanofi-Aventis | 4,226 | 296 | ||||||
Societe Generale | 3,201 | 78 | ||||||
Vallourec | 1,300 | 89 |
1 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Vivendi | 588 | $ | 14 | |||||
|
| |||||||
1,735 | ||||||||
|
| |||||||
Germany — 5.6% | ||||||||
Adidas | 4,495 | 318 | ||||||
Allianz | 1,779 | 185 | ||||||
Aurelius | 449 | 15 | ||||||
BASF | 5,917 | 433 | ||||||
Bayer | 2,006 | 132 | ||||||
Bayerische Motoren Werke | 1,978 | 150 | ||||||
E.ON | 2,783 | 69 | ||||||
Fresenius Medical Care | 5,122 | 352 | ||||||
Infineon Technologies | 2,341 | 20 | ||||||
Leifheit | 196 | 5 | ||||||
SAP | 9,405 | 564 | ||||||
Siemens | 2,715 | 275 | ||||||
Suedzucker | 1,130 | 36 | ||||||
Volkswagen | 157 | 24 | ||||||
|
| |||||||
2,578 | ||||||||
|
| |||||||
Greece — 0.0% | ||||||||
OPAP | 901 | 8 | ||||||
|
| |||||||
Hong Kong — 3.6% | ||||||||
AIA Group | 31,600 | 99 | ||||||
Alco Holdings | 42,000 | 14 | ||||||
Allan International Holdings | 11,683 | 3 | ||||||
China Mobile | 22,500 | 222 | ||||||
China Unicom | 28,000 | 61 | ||||||
CLP Holdings | 2,500 | 22 | ||||||
CNOOC | 125,412 | 243 | ||||||
First Pacific | 56,000 | 63 | ||||||
Hong Kong Exchanges and Clearing | 14,121 | 233 | ||||||
Hong Kong Ferry Holdings | 10,000 | 8 | ||||||
Hongkong Land Holdings | 14,000 | 65 | ||||||
Jardine Strategic Holdings | 1,842 | 55 | ||||||
Lenovo Group | 72,000 | 51 | ||||||
Melco Crown Entertainment ADR* | 2,920 | 29 | ||||||
Orient Overseas International | 46,500 | 215 | ||||||
Pacific Textile Holdings | 75,000 | 48 | ||||||
Power Assets Holdings | 10,000 | 75 | ||||||
SJM Holdings | 39,000 | 67 | ||||||
TAI Cheung Holdings | 25,000 | 16 | ||||||
Wing On International | 30,111 | 59 | ||||||
Yue Yuen Industrial Holdings | 11,500 | 34 | ||||||
|
| |||||||
1,682 | ||||||||
|
| |||||||
India — 0.2% | ||||||||
ICICI Bank ADR | 3,900 | 114 | ||||||
|
| |||||||
Indonesia — 0.2% | ||||||||
Asahimas Flat Glass | 3,000 | 3 | ||||||
Bank Rakyat Indonesia Persero | 72,000 | 53 | ||||||
Indosat | 83,000 | 50 | ||||||
|
| |||||||
106 | ||||||||
|
| |||||||
Ireland — 0.7% | ||||||||
Covidien | 3,736 | 170 |
Description | Shares | Market Value ($ Thousands) | ||||||
ICON ADR * | 10,233 | $ | 174 | |||||
|
| |||||||
344 | ||||||||
|
| |||||||
Israel — 1.2% | ||||||||
Ceragon Networks * | 9,659 | 77 | ||||||
Check Point Software | 3,810 | 211 | ||||||
Teva Pharmaceutical Industries ADR | 6,475 | 257 | ||||||
|
| |||||||
545 | ||||||||
|
| |||||||
Italy — 0.4% | ||||||||
Danieli & C Officine Meccaniche | 620 | 14 | ||||||
Enel | 33,760 | 144 | ||||||
Exor | 965 | 21 | ||||||
Lottomatica * | 1,586 | 24 | ||||||
UniCredito Italiano | 4,760 | 5 | ||||||
|
| |||||||
208 | ||||||||
|
| |||||||
Japan — 12.3% | ||||||||
Aeon | 1,300 | 18 | ||||||
Arc Land Sakamoto | 4,500 | 77 | ||||||
Asahi Kogyosha | 7,000 | 29 | ||||||
AT-Group | 2,000 | 25 | ||||||
Belluna | 5,450 | 41 | ||||||
Best Denki | 14,000 | 38 | ||||||
Brother Industries | 7,700 | 104 | ||||||
Canon | 4,667 | 209 | ||||||
C’BON COSMETICS | 200 | 4 | ||||||
Century Tokyo Leasing | 2,900 | 57 | ||||||
Chuo Spring | 3,000 | 10 | ||||||
Daihatsu Motor | 3,500 | 61 | ||||||
Dai-ichi Life Insurance | 95 | 106 | ||||||
Daito Trust Construction | 700 | 62 | ||||||
Daiwa House Industry | 4,000 | 48 | ||||||
Denso | 8,500 | 243 | ||||||
Faith | 198 | 22 | ||||||
FamilyMart | 1,000 | 40 | ||||||
FANUC | 1,699 | 279 | ||||||
Fields | 16 | 24 | ||||||
First Juken | 300 | 2 | ||||||
Fujitec | 4,000 | 22 | ||||||
Futaba Industrial | 11,000 | 67 | ||||||
Gamecard-Joyco Holdings | 1,000 | 14 | ||||||
Happinet | 4,200 | 38 | ||||||
Hinokiya Holdings | 600 | 8 | ||||||
HIS | 5,200 | 129 | ||||||
Hitachi | 71,000 | 394 | ||||||
Hokkaido Coca-Cola Bottling | 1,000 | 5 | ||||||
Hokkan Holdings | 5,000 | 15 | ||||||
Hokuriku Gas | 5,000 | 13 | ||||||
Honda Motor ADR | 8,400 | 266 | ||||||
IT Holdings | 200 | 2 | ||||||
Itfor | 1,800 | 6 | ||||||
JGC | 2,000 | 50 | ||||||
Kamei | 4,000 | 36 | ||||||
KDDI | 30 | 199 | ||||||
Keiyo Gas | 1,000 | 4 | ||||||
Kikuchi | 600 | 8 | ||||||
Komatsu | 14,631 | 374 | ||||||
KRS | 900 | 10 | ||||||
K’s Holdings | 4,600 | 181 |
2 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Maruzen -General Commercial Kitchen Appliances & Equipment | 2,000 | $ | 13 | |||||
MCJ | 4,000 | 6 | ||||||
Mitani | 4,800 | 56 | ||||||
Mitsubishi Estate | 4,000 | 67 | ||||||
Mitsubishi UFJ Financial Group | 106,453 | 466 | ||||||
Murakami | 1,000 | 10 | ||||||
Nagawa | 300 | 3 | ||||||
Nakano | 2,500 | 5 | ||||||
Nichireki | 4,000 | 20 | ||||||
NIFTY | 20 | 24 | ||||||
Nippon Steel | 69,000 | 167 | ||||||
Nippon Telegraph & Telephone | 5,400 | 266 | ||||||
Nisshin Fudosan | 4,800 | 27 | ||||||
Nissin Sugar Holdings * | 2,300 | 46 | ||||||
Nittan Valve | 1,300 | 4 | ||||||
Obayashi Road | 8,000 | 19 | ||||||
Pacific Industrial | 4,000 | 18 | ||||||
Raysum | 28 | 3 | ||||||
San-Ai Oil | 3,000 | 12 | ||||||
Sanoh Industrial | 800 | 6 | ||||||
Sanrio | 1,400 | 73 | ||||||
Secom | 6,100 | 275 | ||||||
Seino Holdings | 20,000 | 145 | ||||||
Senshu Electric | 1,600 | 19 | ||||||
Shidax | 2,600 | 11 | ||||||
Shoei Foods | 100 | 1 | ||||||
Soken Chemical & Engineering | 700 | 6 | ||||||
Starts | 1,500 | 7 | ||||||
Sumitomo Mitsui Financial Group | 100 | 3 | ||||||
Takagi Securities | 5,000 | 4 | ||||||
Takano | 800 | 4 | ||||||
Takeda Pharmaceutical | 800 | 33 | ||||||
TBK | 2,000 | 9 | ||||||
Tokai | 4,200 | 95 | ||||||
Tokyu Construction | 44,750 | 111 | ||||||
Toyota Motor | 7,724 | 254 | ||||||
Toyota Tsusho | 200 | 3 | ||||||
West Japan Railway | 297 | 12 | ||||||
Yachiyo Industry | 600 | 3 | ||||||
Yamato Holdings | 2,100 | 34 | ||||||
Yamato International | 600 | 3 | ||||||
Yellow Hat | 1,000 | 17 | ||||||
|
| |||||||
5,700 | ||||||||
|
| |||||||
Malaysia — 0.3% | ||||||||
DRB-Hicom | 151,100 | 99 | ||||||
Hong Leong Financial Group | 7,200 | 26 | ||||||
|
| |||||||
125 | ||||||||
|
| |||||||
Mexico — 1.9% | ||||||||
Alfa, Cl A | 4,500 | 53 | ||||||
America Movil, Ser L | 70,400 | 84 | ||||||
Fomento Economico Mexicano ADR | 1,070 | 73 | ||||||
Fomento Economico Mexicano | 1,700 | 12 | ||||||
Gruma, Ser B, Cl B * | 81,000 | 167 | ||||||
Grupo Elektra | 2,303 | 226 | ||||||
Grupo KUO De | 9,900 | 14 | ||||||
Grupo Simec, Ser B, | 5,900 | 14 | ||||||
Industrias Bachoco | 4,617 | 8 | ||||||
Industrias Bachoco ADR | 587 | 12 |
Description | Shares | Market Value ($ Thousands) | ||||||
Wal-Mart de Mexico | 78,005 | $ | 211 | |||||
|
| |||||||
874 | ||||||||
|
| |||||||
Netherlands — 2.7% | ||||||||
Core Laboratories | 4,540 | 527 | ||||||
European Aeronautic Defense and Space | 7,098 | 213 | ||||||
ING Groep * | 21,311 | 166 | ||||||
Royal KPN | 10,335 | 127 | ||||||
Unilever | 3,980 | 136 | ||||||
Yandex, Cl A * | 3,414 | 75 | ||||||
|
| |||||||
1,244 | ||||||||
|
| |||||||
New Zealand — 0.2% | ||||||||
Chorus * | 7,146 | 18 | ||||||
Telecom of New Zealand | 35,732 | 57 | ||||||
75 | ||||||||
Norway — 1.0% | ||||||||
DnB | 26,850 | 275 | ||||||
Norsk Hydro | 26,958 | 130 | ||||||
Yara International | 1,360 | 55 | ||||||
|
| |||||||
460 | ||||||||
|
| |||||||
Peru — 0.1% | ||||||||
Credicorp | 490 | 53 | ||||||
Poland — 0.8% | ||||||||
Getin Holding * | 3,605 | 7 | ||||||
KGHM Polska Miedz | 3,614 | 144 | ||||||
Polski Koncern Naftowy Orlen | 9,007 | 109 | ||||||
Tauron Polska Energia | 54,387 | 89 | ||||||
|
| |||||||
349 | ||||||||
|
| |||||||
Russia — 0.2% | ||||||||
NovaTek OAO GDR | 400 | 61 | ||||||
Surgutneftegaz ADR | 3,407 | 32 | ||||||
|
| |||||||
93 | ||||||||
|
| |||||||
Singapore — 1.5% | ||||||||
Bukit Sembawang Estates | 11,000 | 36 | ||||||
DBS Group Holdings | 19,000 | 189 | ||||||
Golden Agri-Resources | 8,000 | 4 | ||||||
GP Batteries International | 17,000 | 13 | ||||||
Hiap Seng Engineering | 16,647 | 3 | ||||||
Ho Bee Investment | 16,000 | 15 | ||||||
Keppel | 7,000 | 52 | ||||||
Oversea-Chinese Banking | 2,000 | 13 | ||||||
Popular Holdings | 41,000 | 5 | ||||||
QAF | 39,000 | 18 | ||||||
United Industrial | 89,000 | 191 | ||||||
United Overseas Bank | 7,000 | 85 | ||||||
Wilmar International | 13,000 | 53 | ||||||
|
| |||||||
677 | ||||||||
|
| |||||||
South Africa — 0.3% | ||||||||
Exxaro Resources | 2,230 | 50 | ||||||
MTN Group | 4,320 | 78 | ||||||
|
| |||||||
128 | ||||||||
|
| |||||||
South Korea — 3.3% | ||||||||
Dae Han Flour Mills | 108 | 13 | ||||||
Hana Financial Group | 370 | 13 | ||||||
Hanjin Shipping | 6,616 | 51 |
3 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund
November 30, 2011
Description | Shares | Market Value ($ Thousands) | ||||||
Hyundai Hysco | 1,030 | $ | 39 | |||||
Hyundai Motor | 723 | 141 | ||||||
Ilshin Spinning | 222 | 17 | ||||||
Kia Motors | 3,895 | 248 | ||||||
Kolon Industries | 480 | 9 | ||||||
Korea Zinc | 131 | 40 | ||||||
KyungDong City Gas | 297 | 13 | ||||||
NCSoft | 155 | 42 | ||||||
Nexen | 1,031 | 73 | ||||||
Nong Shim Holdings | 604 | 27 | ||||||
POSCO | 326 | 110 | ||||||
Samsung Electronics | 439 | 400 | ||||||
SK Holdings | 926 | 121 | ||||||
Taekwang Industrial | 129 | 146 | ||||||
YESCO | 1,030 | 22 | ||||||
|
| |||||||
1,525 | ||||||||
|
| |||||||
Spain — 0.8% | ||||||||
Banco Pastor | 23 | — | ||||||
Mapfre | 68,665 | 230 | ||||||
Telefonica | 7,419 | 140 | ||||||
|
| |||||||
370 | ||||||||
|
| |||||||
Sweden — 2.3% | ||||||||
Billerud | 1,324 | 11 | ||||||
Getinge, Cl B | 10,791 | 279 | ||||||
Hennes & Mauritz, Cl B | 8,933 | 285 | ||||||
Nordea Bank | 2,650 | 21 | ||||||
Sandvik | 4,600 | 59 | ||||||
Svenska Cellulosa, Cl B | 243 | 4 | ||||||
Svenska Handelsbanken, Cl A | 2,500 | 66 | ||||||
Swedbank, Cl A | 4,960 | 67 | ||||||
Telefonaktiebolaget LM Ericsson ADR | 23,700 | 252 | ||||||
|
| |||||||
1,044 | ||||||||
|
| |||||||
Switzerland — 5.1% | ||||||||
Clariant | 2,237 | 22 | ||||||
Credit Suisse Group | 7,458 | 181 | ||||||
Credit Suisse Group ADR | 6,900 | 167 | ||||||
Julius Baer Group | 3,760 | 135 | ||||||
Nestle | 7,800 | 439 | ||||||
Novartis | 6,931 | 376 | ||||||
Novartis ADR | 3,400 | 184 | ||||||
Roche Holding | 2,802 | 447 | ||||||
Schindler Holding | 479 | 58 | ||||||
Swatch Group, Cl B | 490 | 192 | ||||||
Transocean | 3,600 | 154 | ||||||
|
| |||||||
2,355 | ||||||||
|
| |||||||
Taiwan — 2.3% | ||||||||
Advanced Semiconductor Engineering ADR | 59,787 | 269 | ||||||
Asia Polymer | 37,500 | 38 | ||||||
Asustek Computer | 1,647 | 12 | ||||||
Chunghwa Telecom ADR | 6,563 | 219 | ||||||
CMC Magnetics * | 78,000 | 13 | ||||||
Elitegroup Computer Systems | 52,000 | 11 | ||||||
Formosa Chemicals & Fibre | 5,000 | 13 | ||||||
Formosa Petrochemical | 7,000 | 22 | ||||||
High Tech Computer | 12,740 | 210 | ||||||
Hiwin Technologies | 3,090 | 26 | ||||||
HON HAI Precision Industry | 7,392 | 20 | ||||||
Mega Financial Holding | 94,860 | 63 |
Description | Shares | Market Value ($ Thousands) | ||||||
Nan Ya Plastics | 6,000 | $ | 11 | |||||
Pegatron | 3,633 | 4 | ||||||
Quanta Computer | 8,000 | 16 | ||||||
United Microelectronics ADR | 41,062 | 94 | ||||||
Yageo | 72,000 | 21 | ||||||
Zenitron | 23,000 | 14 | ||||||
|
| |||||||
1,076 | ||||||||
|
| |||||||
Thailand — 0.7% | ||||||||
Bangchak Petroleum | 7,700 | 4 | ||||||
Charoen Pokphand Foods | 89,600 | 97 | ||||||
Siam Commercial Bank | 14,300 | 51 | ||||||
Total Access Communication | 73,200 | 192 | ||||||
|
| |||||||
344 | ||||||||
|
| |||||||
Turkey — 0.9% | ||||||||
Akbank | 49,934 | 177 | ||||||
Turkiye Garanti Bankasi | 58,507 | 201 | ||||||
Turkiye Halk Bankasi | 8,920 | 54 | ||||||
|
| |||||||
432 | ||||||||
|
| |||||||
United Kingdom — 16.6% | ||||||||
ARM Holdings | 14,679 | 138 | ||||||
ARM Holdings ADR | 19,600 | 554 | ||||||
AstraZeneca | 6,499 | 300 | ||||||
Aviva | 10,955 | 54 | ||||||
BAE Systems | 3,357 | 14 | ||||||
Barclays | 19,305 | 56 | ||||||
BG Group | 22,666 | 487 | ||||||
BHP Billiton | 5,925 | 183 | ||||||
BP | 21,255 | 154 | ||||||
BP PLC ADR | 4,764 | 207 | ||||||
British American Tobacco | 11,108 | 517 | ||||||
British Land ‡ | 6,610 | 52 | ||||||
Carnival | 7,431 | 257 | ||||||
Dart Group | 7,297 | 8 | ||||||
Diageo | 18,075 | 388 | ||||||
HSBC Holdings | 34,896 | 273 | ||||||
Imperial Tobacco Group | 7,847 | 283 | ||||||
Johnson Service Group | 14,781 | 6 | ||||||
Kingfisher | 57,067 | 231 | ||||||
Legal & General Group | 24,658 | 41 | ||||||
Meggitt | 12,990 | 78 | ||||||
Pearson | 14,309 | 261 | ||||||
QinetiQ | 2,709 | 5 | ||||||
Reckitt Benckiser Group | 5,802 | 295 | ||||||
Rio Tinto | 5,500 | 290 | ||||||
Rio Tinto ADR | 6,200 | 329 | ||||||
Rolls-Royce Holdings | 13,360 | 154 | ||||||
Royal Bank of Scotland Group * | 208,913 | 70 | ||||||
SABMiller | 4,460 | 158 | ||||||
Shire | 15,629 | 527 | ||||||
Standard Chartered | 14,098 | 308 | ||||||
Subsea 7 | 7,300 | 144 | ||||||
Tesco | 61,705 | 395 | ||||||
Unilever ADR | 7,900 | 266 | ||||||
Vodafone Group | 71,340 | 194 | ||||||
|
| |||||||
7,677 | ||||||||
|
| |||||||
United States — 2.2% | ||||||||
Apple * | 139 | 53 | ||||||
Capital One Financial | 4,071 | 182 | ||||||
Carnival | 5,900 | 196 | ||||||
Chevron | 305 | 31 |
4 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund
November 30, 2011
Description | Shares/Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
ConocoPhillips | 1,867 | $ | 133 | |||||
Discover Financial Services | 508 | 12 | ||||||
Everest Re Group | 2,800 | 246 | ||||||
Golden Star Resources * | 1,195 | 3 | ||||||
Philip Morris International | 2,033 | 155 | ||||||
|
| |||||||
1,011 | ||||||||
|
| |||||||
Total Common Stock | 42,508 | |||||||
|
| |||||||
PREFERRED STOCK — 1.4% |
| |||||||
Brazil — 0.7% | ||||||||
Cia de Bebidas das Americas ADR | 4,472 | 154 | ||||||
Itau Unibanco Holding ADR | 10,000 | 178 | ||||||
|
| |||||||
332 | ||||||||
|
| |||||||
Germany — 0.7% | ||||||||
Hugo Boss | 420 | 38 | ||||||
RWE | 88 | 3 | ||||||
Volkswagen | 1,648 | 285 | ||||||
WMF Wuerttembergische Metallwarenfabrik | 186 | 7 | ||||||
|
| |||||||
333 | ||||||||
|
| |||||||
Total Preferred Stock | 665 | |||||||
|
| |||||||
EXCHANGE TRADED FUND — 0.7% |
| |||||||
United States — 0.7% |
| |||||||
iShares MSCI Emerging Markets Index Fund | 7,700 | 309 | ||||||
|
| |||||||
Total Exchange Traded Fund | 309 | |||||||
|
| |||||||
TIME DEPOSITS — 2.4% |
| |||||||
United States — 2.4% |
| |||||||
Brown Brothers Harriman | ||||||||
4.850%, 12/01/11 | ZAR | — | — | |||||
3.783%, 12/01/11 | AUD | 54 | 55 | |||||
1.750%, 12/01/11 | NZD | 4 | 3 | |||||
1.064%, 12/01/11 | SEK | 97 | 14 | |||||
0.950%, 12/01/11 | NOK | 53 | 9 | |||||
0.250%, 12/01/11 | CAD | 60 | 59 | |||||
0.137%, 12/01/11 | DKK | 83 | 15 | |||||
0.099%, 12/01/11 | GBP | 45 | 71 | |||||
0.096%, 12/01/11 | EUR | 85 | 115 | |||||
0.030%, 12/01/11 | 645 | 645 | ||||||
0.010%, 12/01/11 | JPY | 5,692 | 73 | |||||
0.010%, 12/01/11 | SGD | 11 | 9 | |||||
0.005%, 12/01/11 | CHF | 23 | 25 | |||||
0.005%, 12/01/11 | HKD | 129 | 17 | |||||
|
| |||||||
Total Time Deposits | 1,110 | |||||||
|
| |||||||
CASH EQUIVALENT — 3.5% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.040% †** | 1,603,340 | 1,603 | ||||||
|
|
Description | Shares/Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Total Cash Equivalent | $ | 1,603 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (B) (C) — 0.8% |
| |||||||
U.S. Treasury Bills | ||||||||
0.072%, 08/23/12 | $ | 15 | 15 | |||||
0.059%, 06/28/12 | 208 | 208 | ||||||
0.031%, 12/15/11 | 175 | 175 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 398 | |||||||
|
| |||||||
Total Investments — 100.5% | $ | 46,593 | ||||||
|
|
The open futures contracts held by the Fund at November 30, 2011, is as follows:
Type of Contract | Number Of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 11 | Dec-2011 | $ | 10 | ||||||||
FTSE 100 Index | 3 | Dec-2011 | 3 | |||||||||
Hang Seng Index | 1 | Dec-2011 | 3 | |||||||||
S&P/TSX 60 Index | 2 | Dec-2011 | 1 | |||||||||
SPI 200 Index | 2 | Dec-2011 | (5 | ) | ||||||||
Topix Index | 5 | Dec-2011 | (17 | ) | ||||||||
|
| |||||||||||
$ | (5 | ) | ||||||||||
|
|
For the period ended November 30, 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.
A summary of the open forward foreign currency contracts held by the Fund at November 30, 2011, is as follows:
Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||
12/23/11-5/9/12 | EUR | 1,060 | USD | 1,436 | $ | 7 | ||||||
|
|
A summary of the counterparties for the open forward foreign currency contracts held by the Fund at November 30, 2011, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||
SSB (State Street) | (1,429 | ) | 1,436 | $ | 7 | |||||||
|
|
For the period ended November 30, 2011, the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $46,366 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2011. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 5). |
(1) | In U.S. dollars unless otherwise indicated. |
(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) | The rate reported on the Schedule of Investments is the effective yield at time of purchase. (C) Security, or portion thereof, has been pledged as collateral on open futures contracts. |
5 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund
November 30, 2011
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 Depositary Receipt
HKD — Hong Kong Dollar
JPY — Japanese Yen
MSCI — Morgan Stanley Capital International
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
TSX — Toronto Stock Exchange (formerly TSE)
USD — U.S. Dollar
ZAR — South African Rand
The following is a summary of the inputs used as of November 30, 2011, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 10,977 | $ | 31,531 | $ | — | $ | 42,508 | ||||||||
Preferred Stock | 332 | 333 | — | 665 | ||||||||||||
Exchange Traded Fund | 309 | — | — | 309 | ||||||||||||
Time Deposits | 1,110 | — | — | 1,110 | ||||||||||||
Cash Equivalent | 1,603 | — | — | 1,603 | ||||||||||||
U.S. Treasury Obligations | — | 398 | — | 398 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 14,331 | $ | 32,262 | $ | — | $ | 46,593 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures | $ | (5 | ) | $ | — | $ | — | $ | (5 | ) | ||||||
Forwards | — | 7 | — | 7 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (5 | ) | $ | 7 | $ | — | $ | 2 | |||||||
|
|
|
|
|
|
|
|
* | Futures and forwards contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended November 30, 2011, there were significant transfers between Level 1 and Level 2 assets and liabilities. The primary reason for changes in the classifications between Levels 1 and 2 occurs when foreign equity securities are fair valued using other observable market-based inputs in place of the closing exchange price due to events occurring after the close of the exchange or market on which the investment is principally traded (see Note 2).
For the period ended November 30, 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.
Amounts designated as “—” are $O or have been rounded to $O.
The accompanying notes are an integral part of the financial statements.
6 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2011 |
Table of Contents
(b) In accordance with Section 13(c) of the Investment Company Act of 1940 the Screened World Equity Ex-US Fund did not hold any divested securities during the period ended November 30, 2011.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
The Registrant has a standing Nominating Committee (the “Committee”) currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Registrant’s Board of Trustees (the “Board”). Pursuant to the Committee’s Charter, adopted on June 18th 2004, as amended, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Registrant’s office.
Item 11. | Controls and Procedures. |
(a) The Registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 as of a date within 90 days of the filing date of this report.
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrants internal control over financial reporting.
Items 12. | Exhibits. |
(a)(1) Not applicable for semi-annual report.
(a)(2) A separate certification for the principal executive officer and the principal financial officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an exhibit.
Table of Contents
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: January 30, 2012 |
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: January 30, 2012 | ||||||
By | /s/ Peter A. Rodriguez | |||||
Peter A. Rodriguez, Controller & CFO | ||||||
Date: January 30, 2012 |