Sei Institutional Investments Trust N-CSR Certified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-07257

SEI Institutional Investments Trust

(Exact name of registrant as specified in charter)

SEI Investments

One Freedom Valley Drive

Oaks, PA 19456

(Address of principal executive offices) (Zip code)

CT Corporation

101 Federal Street

Boston, MA 02110

(Name and address of agent for service)

Registrant’s telephone number, including area code: 1-800-342-5734

Date of fiscal year end: May 31, 2012

Date of reporting period: May 31, 2012

Item 1. Reports to Stockholders.

SEI Institutional Investments Trust

Annual Report as of May 31, 2012

Large Cap Fund

Large Cap Diversified Alpha Fund

Large Cap Disciplined Equity Fund

Large Cap Index Fund

Small Cap Fund

Small Cap II 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

Management’s Discussion and Analysis of Fund Performance	1
Summary Schedules of Investments/Schedules of Investments	25
Statements of Assets and Liabilities	190
Statements of Operations	194
Statements of Changes in Net Assets	198
Statement of Cash Flows	204
Financial Highlights	205
Notes to Financial Statements	208
Report of Independent Registered Public Accounting Firm	227
Trustees and Officers of the Trust	228
Disclosure of Fund Expenses	231
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements	233
Notice to Shareholders	236

The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q within sixty days after the end of the period. The Trust’s Forms N-Q are available on the Commission’s website at http://www.sec.gov, and may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission’s website at http://www.sec.gov.

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2012 (Unaudited)

Large Cap Fund

I. Objective

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

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of May 31, 2012: AQR Capital Management, LLC, Aronson + Johnson + Ortiz, L.P., Brown Investment Advisory Incorporated, Delaware Management Company, LSV Asset Management, Waddell & Reed Investment Management Company and WestEnd Advisors LLC.

During the fiscal year ended May 31, 2012, AQR Capital Management, LLC and Waddell & Reed Investment Management Company were added to the Fund. Legg Mason Capital Management, Inc., Neuberger Berman Management LLC and Quantitative Management Associates, LLC were terminated from the Fund.

III. Market Commentary

After digesting and reacting to civil unrest in the Middle East and the subsequent potential impact of high oil prices to the fragile U.S. economy in early 2011, the market began to once again focus on the Greek sovereign debt crisis and its broader implications for other challenged countries in peripheral Europe. In the U.S., a political stalemate regarding the raising of the country’s debt ceiling roiled the markets, as the potential for a U.S. default came within days of becoming a reality. The market sold off sharply, and correlations among stocks spiked to levels not seen since the Great Depression — an indication that company-specific fundamentals were no longer driving stock returns. Violent volatility plagued the market in the following weeks. In the midst of these events, Standard & Poor’s downgraded the rating of U.S. debt for the first time in history. Defensive sectors such as Utilities and Consumer Staples performed best, as market participants sought relative safety. The selloff and volatility continued through the end of the third quarter. The avoidance of a crisis in the U.S. sent the market rallying through October, but it lost momentum in November when Italy began to show signs of weakness as its borrowing costs rose to its highest level since the adoption of the single currency. In the U.S., the Congressional “Super Committee” failed to come to an agreement on a deficit reduction plan. This also weighed on the market. As 2012 began, the situation in Europe took a backseat to the positive impact of improving U.S. economic indicators, most notably the country’s unemployment rate. The rally that began in October continued through the first quarter and volatility declined. However, it again stalled in the following two months, as the situation in Europe took center stage yet again, with Spain beginning to show signs of weakness and the Greek populous protesting the country’s harsh austerity measures.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2012, the Fund underperformed the Russell 1000 Index (the “Index”), returning (1.69)% versus the Index return of (1.23)%.

V. Fund Attribution

Stock selection within Industrials, specifically the commercial services and capital goods industry groups, was the largest detractor from relative performance. Picks within Information Technology also detracted, as a few names sold off heavily during the period. The adverse effect of underweights to historically defensive sectors like Utilities and Consumer Staples was further exacerbated by subpar stock selection. As investors sought safety, these sectors were bid up to valuations viewed by many as unsustainable given the low growth prospects of the businesses. A notable exception was the Fund’s stock picking within Health Care, which tempered underperformance. Best-performing sectors included Telecommunications and Financials. Names within the former benefitted from the flight to safety, while results within the latter were generated largely by maintaining underweights to lagging names.

Large Cap Fund

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Large Cap Fund, Class A		(1.69)%		14.05%		(0.97)%		4.23%		6.05%
Russell 1000 Index		(1.23)%		15.28%		(0.75)%		4.52%		6.42%

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

¹  For the year ended May 31, 2012. Past performance is not an indication of future performance. Class A shares were offered beginning 6/14/96. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

SEI Institutional Investments Trust / Annual Report / May 31, 2012 1

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2012 (Unaudited)

Large Cap Diversified Alpha Fund

I. Objective

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

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of May 31, 2012: Aronson + Johnson + Ortiz, L.P., Delaware Management Company, INTECH Investment Management, LLC, Tocqueville Asset Management, L.P. and WestEnd Advisors LLC.

During the fiscal year ended May 31, 2012, Legg Mason Capital Management, Inc. was terminated from the Fund, while Tocqueville Asset Management, L.P. was added to the Fund.

III. Market Commentary

After digesting and reacting to civil unrest in the Middle East and the subsequent potential impact of high oil prices to the fragile U.S. economy in early 2011, the market began to once again focus on the Greek sovereign debt crisis and its broader implications for other challenged countries in peripheral Europe. In the U.S., a political stalemate regarding the raising of the country’s debt ceiling roiled the markets, as the potential for a U.S. default came within days of becoming a reality. The market sold off sharply, and correlations among stocks spiked to levels not seen since the Great Depression — an indication that company-specific fundamentals were no longer driving stock returns. Violent volatility plagued the market in the following weeks. In the midst of these events, Standard & Poor’s downgraded the rating of U.S. debt for the first time in history. Defensive sectors such as Utilities and Consumer Staples performed best, as market participants sought relative safety. The selloff and volatility continued through the end of the third quarter. The avoidance of a crisis in the U.S. sent the market rallying through October, but it lost momentum in November when Italy began to show signs of weakness as its borrowing costs rose to its highest level since the adoption of the single currency. In the U.S., the Congressional “Super Committee” failed to come to an agreement on a deficit reduction plan. This also weighed on the market. As 2012 began, the situation in Europe took a backseat to the positive impact of improving U.S. economic indicators, most notably the country’s unemployment rate. The rally that began in October continued through the first quarter and volatility declined. However, it again stalled in the following two months, as the situation in Europe took center stage yet again, with Spain beginning to show signs of weakness and the Greek populous protesting the country’s harsh austerity measures.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2012, the Fund outperformed the Russell 1000 Index (the “Index”), returning (0.24)% versus the Index return of (1.23)%.

V. Fund Attribution

Solid sector allocation decisions were augmented by individual stock selection decisions. Stock selection within Financials, primarily underweights to the large, diversified financial services names within the benchmark, helped results, as did an underweight to the lagging sector. The Fund’s overweight to and stock picking within Consumer Discretionary, most notably within the retailing and consumer durables industry groups, also contributed to results. An underweight to Energy further benefitted the Fund, as concerns about the global economy punished the sector. The Fund struggled with issue selection within Industrials, as a few individual names sold off heavily during the period. An overweight to Materials and an underweight to Consumer Staples also detracted.

Large Cap Diversified Alpha Fund

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
Large Cap Diversified Alpha Fund, Class A		(0.24)%		15.54%		(2.49)%		1.18%
Russell 1000 Index		(1.23)%		15.28%		(0.75)%		2.67%

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

¹  For the year ended May 31, 2012. Past performance is no indication of future performance. Class A shares were offered beginning 2/28/06. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

2 SEI Institutional Investments Trust / Annual Report / May 31, 2012

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2012 (Unaudited)

Large Cap Disciplined Equity Fund

I. Objective

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

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of May 31, 2012: Analytic Investors, Inc., GE Asset Management Incorporated, INTECH Investment Management, LLC, Lazard Asset Management LLC and Quantitative Management Associates, LLC. The SEI LIBOR Plus Portfolio L.P., which seeks to transport alpha generated in the U.S. fixed-income securitized sector market to the equity market, is managed by SIMC, which operates as a manager-of-managers and allocates the Portfolio’s assets to the following sub-advisers: Brookfield Investment Management, Inc. and Declaration Management & Research LLC.

During the fiscal year ended May 31, 2012, GE Asset Management Incorporated was added to the Fund.

III. Market Commentary

After digesting and reacting to civil unrest in the Middle East and the subsequent potential impact of high oil prices to the fragile U.S. economy in early 2011, the market began to once again focus on the Greek sovereign debt crisis and its broader implications for other challenged countries in peripheral Europe. In the U.S., a political stalemate regarding the raising of the country’s debt ceiling roiled the markets, as the potential for a U.S. default came within days of becoming a reality. The market sold off sharply, and correlations among stocks spiked to levels not seen since the Great Depression — an indication that company-specific fundamentals were no longer driving stock returns. Violent volatility plagued the market in the following weeks. In the midst of these events, Standard & Poor’s downgraded the rating of U.S. debt for the first time in history. Defensive sectors such as Utilities and Consumer Staples performed best, as market participants sought relative safety. The selloff and volatility continued through the end of the third quarter. The avoidance of a crisis in the U.S. sent the market rallying through October, but it lost momentum in November when Italy began to show signs of weakness as its borrowing costs rose to its highest level since the adoption of the single currency. In the U.S., the Congressional “Super Committee” failed to come to an agreement on a deficit reduction plan. This also weighed on the market. As 2012 began, the situation in Europe took a backseat to the positive impact of improving U.S. economic indicators, most notably the country’s unemployment rate. The rally that began in October continued through the first quarter and volatility declined. However, it again stalled in the following two months, as the situation in Europe took center stage yet

again, with Spain beginning to show signs of weakness and the Greek populous protesting the country’s harsh austerity measures.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2012, the Fund underperformed the S&P 500 Index (the “Index”), returning (1.14)% versus the Index return of (0.41)%.

V. Fund Attribution

Individual stock picks within the cyclically sensitive Energy and Materials sectors were the primary drivers of underperformance for the year. Slight overweights to these sectors also detracted from performance, though to a lesser extent. Underweights to the historically defensive Utilities, Telecommunications and Consumer Staples sectors proved detrimental to the Fund, as those sectors were bid up by investors seeking relative safety as well as yield, given the low interest rate environment. An overweight to Information Technology and an underweight to Financials, combined with superior stock picks in each of those sectors, were bright spots for the portfolio.

Large Cap Disciplined Equity Fund

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
Large Cap Disciplined Equity Fund, Class A		(1.14)%		14.88%		(3.25)%		4.12%
S&P 500 Index		(0.41)%		14.92%		(0.92)%		5.21%

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

¹  For the year ended May 31, 2012. Past performance is not an indication of future performance. Class A shares were offered beginning 8/28/03. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

SEI Institutional Investments Trust / Annual Report / May 31, 2012 3

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2012 (Unaudited)

Large Cap Index Fund

I. Objective

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

II. Manager Approach Statement

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

III. Market Commentary

After digesting and reacting to civil unrest in the Middle East and the subsequent potential impact of high oil prices to the fragile U.S. economy in early 2011, the market began to once again focus on the Greek sovereign debt crisis and its broader implications for other challenged countries in peripheral Europe. In the U.S., a political stalemate regarding the raising of the country’s debt ceiling roiled the markets, as the potential for a U.S. default came within days of becoming a reality. The market sold off sharply, and correlations among stocks spiked to levels not seen since the Great Depression — an indication that company-specific fundamentals were no longer driving stock returns. Violent volatility plagued the market in the following weeks. In the midst of these events, Standard & Poor’s downgraded the rating of U.S. debt for the first time in history. Defensive sectors such as Utilities and Consumer Staples performed best, as market participants sought relative safety. The selloff and volatility continued through the end of the third quarter. The avoidance of a crisis in the U.S. sent the market rallying through October, but it lost momentum in November when Italy began to show signs of weakness as its borrowing costs rose to its highest level since the adoption of the single currency. In the U.S., the Congressional “Super Committee” failed to come to an agreement on a deficit reduction plan. This also weighed on the market. As 2012 began, the situation in Europe took a backseat to the positive impact of improving U.S. economic indicators, most notably the country’s unemployment rate. The rally that began in October continued through the first quarter and volatility declined. However, it again stalled in the following two months, as the situation in Europe took center stage yet

again, with Spain beginning to show signs of weakness and the Greek populous protesting the country’s harsh austerity measures.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2012, the Fund slightly underperformed the Russell 1000 Index (the “Index”), returning (1.24)% versus the Index return of (1.23)%.

V. Fund Attribution

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

Large Cap Index Fund

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Large Cap Index Fund, Class A		(1.24)%		15.27%		(0.77)%		4.46%		3.68%
Russell 1000 Index		(1.23)%		15.28%		(0.75)%		4.52%		6.42%

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

¹  For the year ended May 31, 2012. Past performance is not an indication of future performance. Class A shares were offered beginning 4/1/02. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

4 SEI Institutional Investments Trust / Annual Report / May 31, 2012

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2012 (Unaudited)

Small Cap Fund

I. Objective

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

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying upon a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of May 31, 2012: AllianceBernstein L.P., Allianz Global Investors Capital LLC, AQR Capital Management, LLC, Artisan Partners Limited Partnership, 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., Timberline Asset Management, LLC, Wellington Management Company, LLP and William Blair & Company, LLC.

During the fiscal year ended May 31, 2012, Brown Investment Advisory Incorporated and Los Angeles Capital Management and Equity Research, Inc. were removed from the Fund. AllianceBernstein L.P. and Timberline Asset Management, LLC were added to the Fund.

III. Market Commentary

After digesting and reacting to civil unrest in the Middle East and the subsequent potential impact of high oil prices to the fragile U.S. economy in early 2011, the market began to once again focus on the Greek sovereign debt crisis and its broader implications for other challenged countries in peripheral Europe. In the U.S., a political stalemate regarding the raising of the country’s debt ceiling roiled the markets, as the potential for a U.S. default came within days of becoming a reality. The market sold off sharply, and correlations among stocks spiked to levels not seen since the Great Depression — an indication that company-specific fundamentals were no longer driving stock returns. Violent volatility plagued the market in the following weeks. In the midst of these events, Standard & Poor’s downgraded the rating of U.S. debt for the first time in history. Defensive sectors such as Utilities and Consumer Staples performed best, as market participants sought relative safety. The selloff and volatility continued through the end of the third quarter. The avoidance of a crisis in the U.S. sent the market rallying through October, but it lost momentum in November when Italy began to show signs of weakness as its borrowing costs rose to its highest level since the adoption of the single currency. In the U.S., the Congressional “Super Committee” failed to come to an agreement on a deficit reduction plan. This also weighed on the market. As 2012 began, the situation in Europe took a backseat to the positive impact of improving U.S. economic indicators, most notably the country’s unemployment rate. The rally that began in October continued through the first quarter and volatility declined. However, it again stalled in the following two months, as the situation in Europe took center stage yet

again, with Spain beginning to show signs of weakness and the Greek populous protesting the country’s harsh austerity measures.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2012, the Fund underperformed the Russell 2000 Index (the “Index”), returning (10.11)% versus the Index return of (8.88)%.

V. Fund Attribution

Stock selection within the Fund was beneficial during the fiscal year, but was offset by adverse sector positioning. The Fund’s overweight to the Energy sector and underweight to the Financials sector both weighed on performance during the year. Solid stock selection led to good performance contribution from the Industrials, Materials and Information Technology sectors, and favorable security selection offset the negative allocation effect within Financials. The Consumer Discretionary and Consumer Staples sectors were meaningful detractors due to weak stock selection, and the drag on performance from the overweight position to Energy was amplified by detrimental stock choices.

Small Cap Fund

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Small Cap Fund, Class A		(10.11)%		15.77%		(2.49)%		5.45%		6.71%
Russell 2000 Index		(8.88)%		16.47%		(0.73)%		5.94%		6.28%

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

¹  For the year ended May 31, 2012. Past performance is not an indication of future performance. Class A shares were offered beginning 6/14/96. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

SEI Institutional Investments Trust / Annual Report / May 31, 2012 5

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2012 (Unaudited)

Small Cap II Fund

I. Objective

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

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying upon a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of May 31, 2012: AllianceBernstein L.P., AQR Capital Management, LLC, Lee Munder Capital Group, LLC and Timberline Asset Management, LLC.

The Fund was launched in April 2012; therefore, all of the managers listed above were added during the period.

III. Market Commentary

After digesting and reacting to civil unrest in the Middle East and the subsequent potential impact of high oil prices to the fragile U.S. economy in early 2011, the market began to once again focus on the Greek sovereign debt crisis and its broader implications for other challenged countries in peripheral Europe. In the U.S., a political stalemate regarding the raising of the country’s debt ceiling roiled the markets, as the potential for a U.S. default came within days of becoming a reality. The market sold off sharply, and correlations among stocks spiked to levels not seen since the Great Depression — an indication that company-specific fundamentals were no longer driving stock returns. Violent volatility plagued the market in the following weeks. In the midst of these events, Standard & Poor’s downgraded the rating of U.S. debt for the first time in history. Defensive sectors such as Utilities and Consumer Staples performed best, as market participants sought relative safety. The selloff and volatility continued through the end of the third quarter. The avoidance of a crisis in the U.S. sent the market rallying through October, but it lost momentum in November when Italy began to show signs of weakness as its borrowing costs rose to its highest level since the adoption of the single currency. In the U.S., the Congressional “Super Committee” failed to come to an agreement on a deficit reduction plan. This also weighed on the market. As 2012 began, the

situation in Europe took a backseat to the positive impact of improving U.S. economic indicators, most notably the country’s unemployment rate. The rally that began in October continued through the first quarter and volatility declined. However, it again stalled in the following two months, as the situation in Europe took center stage yet again, with Spain beginning to show signs of weakness and the Greek populous protesting the country’s harsh austerity measures.

IV. Return vs. Benchmark

For the since-inception period from April 10, 2012 to May 31, 2012, the Fund underperformed the Russell 2000 Index (the “Index”), returning (3.80)% versus the Index return of (2.68)%.

V. Fund Attribution

The Fund’s relative performance since inception has been negatively impacted by weak stock selection in the Information Technology, Financials and Industrials sectors. This has been slightly offset by favorable security choices in the Materials and Health Care sectors. An underweight position to Financials, specifically the real estate segment, has hurt performance as well.

Small Cap II Fund

AVERAGE ANNUAL TOTAL RETURN¹

	Cumulative Inception to Date
Small Cap II Fund, Class A		(3.80)%
Russell 2000 Index		(2.68)%

¹  For the period ended May 31, 2012. Past performance is not an indication of future performance. Class A shares were offered beginning 4/10/12. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.

6 SEI Institutional Investments Trust / Annual Report / May 31, 2012

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2012 (Unaudited)

Small/Mid Cap Equity Fund

I. Objective

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

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying upon a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of May 31, 2012: AllianceBernstein L.P., 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 and William Blair & Company, LLC.

During the fiscal year ended May 31, 2012, Los Angeles Capital Management and Equity Research, Inc. was removed from the Fund, while AllianceBernstein L.P. and William Blair & Company, LLC were added to the Fund.

III. Market Commentary

After digesting and reacting to civil unrest in the Middle East and the subsequent potential impact of high oil prices to the fragile U.S. economy in early 2011, the market began to once again focus on the Greek sovereign debt crisis and its broader implications for other challenged countries in peripheral Europe. In the U.S., a political stalemate regarding the raising of the country’s debt ceiling roiled the markets, as the potential for a U.S. default came within days of becoming a reality. The market sold off sharply, and correlations among stocks spiked to levels not seen since the Great Depression — an indication that company-specific fundamentals were no longer driving stock returns. Violent volatility plagued the market in the following weeks. In the midst of these events, Standard & Poor’s downgraded the rating of U.S. debt for the first time in history. Defensive sectors such as Utilities and Consumer Staples performed best, as market participants sought relative safety. The selloff and volatility continued through the end of the third quarter. The avoidance of a crisis in the U.S. sent the market rallying through October, but it lost momentum in November when Italy began to show signs of weakness as its borrowing costs rose to its highest level since the adoption of the single currency. In the U.S., the Congressional “Super Committee” failed to come to an agreement on a deficit reduction plan. This also weighed on the market. As 2012 began, the situation in Europe took a backseat to the positive impact of improving U.S. economic indicators, most notably the country’s unemployment rate. The rally that began in October continued through the first

quarter and volatility declined. However, it again stalled in the following two months, as the situation in Europe took center stage yet again, with Spain beginning to show signs of weakness and the Greek populous protesting the country’s harsh austerity measures.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2012, the Fund underperformed the Russell 2500 Index (the “Index”), returning (8.71)% versus the Index return of (7.80)%.

V. Fund Attribution

Both sector positioning and stock selection were challenging during the year. The Fund’s underweight to the Utilities sector and overweight to the Information Technology sector proved detrimental to performance. In addition, the Fund’s stock selection in Consumer Staples, Information Technology and Materials weighed on results. These difficulties were partially offset by a favorable underweight to the Materials sector and good stock selection in the Industrials, Financials and Health Care sectors.

Small/Mid Cap Equity Fund

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
Small/Mid Cap Equity Fund, Class A		(8.71)%		17.24%		(1.56)%		5.75%
Russell 2500 Index		(7.80)%		18.09%		0.09%		6.58%

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

¹  For the year ended May 31, 2012. Past performance is not an indication of future performance. Class A shares were offered beginning 12/15/03. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

SEI Institutional Investments Trust / Annual Report / May 31, 2012 7

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2012 (Unaudited)

U.S. Managed Volatility Fund

I. Objective

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

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of May 31, 2012: Analytic Investors, LLC, Aronson + Johnson + Ortiz, LP and LSV Asset Management.

During the fiscal year ended May 31, 2012, LSV Asset Management was added to the Fund.

III. Market Commentary

After digesting and reacting to civil unrest in the Middle East and the subsequent potential impact of high oil prices to the fragile U.S. economy in early 2011, the market began to once again focus on the Greek sovereign debt crisis and its broader implications for other challenged countries in peripheral Europe. In the U.S., a political stalemate regarding the raising of the country’s debt ceiling roiled the markets, as the potential for a U.S. default came within days of becoming a reality. The market sold off sharply, and correlations among stocks spiked to levels not seen since the Great Depression — an indication that company-specific fundamentals were no longer driving stock returns. Violent volatility plagued the market in the following weeks. In the midst of these events, Standard & Poor’s downgraded the rating of U.S. debt for the first time in history. Defensive sectors such as Utilities and Consumer Staples performed best, as market participants sought relative safety. The selloff and volatility continued through the end of the third quarter. The avoidance of a crisis in the U.S. sent the market rallying through October, but it lost momentum in November when Italy began to show signs of weakness as its borrowing costs rose to its highest level since the adoption of the single currency. In the U.S., the Congressional “Super Committee” failed to come to an agreement on a deficit reduction plan. This also weighed on the market. As 2012 began, the situation in Europe took a backseat to the positive impact of improving U.S. economic indicators, most notably the country’s unemployment rate. The rally that began in October continued through the first quarter and volatility declined. However, it again stalled in the following two months, as the situation in Europe took center stage yet again, with Spain beginning to show signs of weakness and the Greek populous protesting the country’s harsh austerity measures.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2012, the Fund outperformed the Russell 3000 Index (the “Index”), returning 2.62% versus the Index return of (1.87)%.

V. Fund Attribution

Outperformance was driven by higher-quality defensive positioning. To achieve the primary objective of downside protection, managers targeted lower-beta names that are typically characterized by a stable earnings profile, lower leverage ratios and lower share-price volatility. As concerns about the strength of the global economic recovery intensified in summer 2011, investors rewarded quality stocks, which naturally provided tailwinds to the Fund’s low-volatility approach. Thus, lowest-quintile-by-beta (least volatile relative to the overall market) names outperformed both the market and the highest-beta names. Our overweight to that quintile accounted for all of the outperformance for the analyzed year.

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

Finally, the managers’ alpha models were unsuccessful in enhancing returns. Two out of the three managers focus on valuation, and their models struggled through what was a generally poor environment for value investing. Net of the low-beta positioning, stock selection detracted. From a more traditional sector perspective, the Fund benefited from underweights to Energy and Financials and overweights to Consumer Staples, Health Care and Utilities. Overall sector positioning contributed strongly.

U.S. Managed Volatility Fund

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized Inception to Date
U.S. Managed Volatility Fund, Class A		2.62%		17.03%		13.39%
Russell 3000 Index		(1.87)%		15.38%		14.64%

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

¹  For the period year May 31, 2012. Past performance is not an indication of future performance. Class A shares were offered beginning 12/31/08. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

8 SEI Institutional Investments Trust / Annual Report / May 31, 2012

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2012 (Unaudited)

International Equity Fund

I. Objective

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

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying upon a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of May 31, 2012: Acadian Asset Management LLC, Causeway Capital Management LLC, del Rey Global Investors, LLC, INTECH Investment Management, LLC, Neuberger Berman Management LLC, Schroder Investment Management North America, Inc. and Tradewinds Global Investors LLC.

For the fiscal year ended May 31, 2012, Quantitative Management Associates, LLC was terminated from the Fund.

III. Market Commentary

With the theme of uncertainty prevailing on a number of fronts, international equity markets experienced a sharp decline for the year under review. The largest concern entering the year was the eurozone sovereign debt saga. By the second half of 2011, however, the focus shifted from what would happen with Greece to questions regarding the financial strength of larger nations such as Germany and France, as it was assumed that they would ultimately have to step in and finance the debts of their weaker neighbors. The situation began to stabilize somewhat toward the end of the year, with the European Central Bank offering low interest rate loans to banks, which provided much needed liquidity. Entering 2012, eurozone debt fears waned temporarily, bringing strong results in January and February, despite the fact that spreads on European sovereign debt remained extremely high. Fears relating to the possible development of nuclear weapons by Iran and the nationalization of integrated oil company YPF SA by the Argentine government shook the Energy sector early in 2012, but the lack of a meaningful resolution to the debt crisis in Europe, which was exacerbated by fears of contagion to Portugal and possibly Spain, dragged equity markets down near the end of the year. Additionally, while there were releases that contained improved economic data throughout the year, fears persisted due to the prospects of a hard landing for the Chinese and other emerging market domestic economies, along with worldwide concern regarding the potential for a double-dip recession in the U.S.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2012, the Fund underperformed the Morgan Stanley Capital International (MSCI) EAFE Index (the “Index”), returning (21.10)% versus the Index return of (20.48)%.

V. Fund Attribution

From a country/regional perspective, the Fund’s overweight allocation to emerging markets was detrimental to performance, as holdings in Brazil in particular underperformed versus the developed regions over the year. The Fund’s underweight to Japan and the U.K. also detracted from results, as those countries were among the best performing countries in relative terms for the year. Regardless, our managers still believe there are long-term structural issues in Japan, so the underweight there is likely to persist. Exposure to Canadian Energy and Materials stocks also hurt performance. Despite these negatives, the Fund benefited from its underweight to Europe, particularly Spain and Italy, while strong stock selection within Germany aided results, likely due to a flight to quality as sovereign debt issues flared during the time period. From a sector perspective, stock selection drove underperformance. Results were mixed, but negative overall. The Fund experienced strong stock selection within Industrials and Telecommunications, but this was more than offset by weak selection in the Energy and Information Technology sectors. Allocation at the sector level had little net impact on results. The underweight to Financials was beneficial, but was offset by the underweight to Consumer Staples and the overweight to Materials.

International Equity Fund

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
International Equity Fund, Class A		(21.10)%		3.52%		(10.21)%		2.28%		2.31%
MSCI EAFE Index		(20.48)%		3.40%		(7.34)%		4.01%		3.06%

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

¹  For the year ended May 31, 2012. Past performance is not an indication of future performance. Class A shares were offered beginning 6/14/96. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

SEI Institutional Investments Trust / Annual Report / May 31, 2012 9

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2012 (Unaudited)

World Equity Ex-US Fund

I. Objective

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

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying upon a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of May 31, 2012: Acadian Asset Management LLC, EARNEST Partners LLC, JO Hambro Capital Management Limited, McKinley Capital Management, LLC, NFJ Investment Group LLC and Thornburg Investment Management LLC.

For the fiscal year ended May 31, 2012, EARNEST Partners was added to the Fund, while Artisan Partners LP and Quantitative Management Associates, LLC were terminated from the Fund.

III. Market Commentary

With the theme of uncertainty prevailing on a number of fronts, international equity markets experienced a sharp decline for the year under review. The largest concern entering the year was the eurozone sovereign debt saga. By the second half of 2011, however, the focus shifted from what would happen with Greece to questions regarding the financial strength of larger nations such as Germany and France, as it was assumed that they would ultimately have to step in and finance the debts of their weaker neighbors. The situation began to stabilize somewhat toward the end of the year, with the European Central Bank offering low interest rate loans to banks, which provided much needed liquidity. Entering 2012, the eurozone debt fears waned temporarily, bringing strong results in January and February, despite the fact that spreads on European sovereign debt remained extremely high. Fears relating to the possible development of nuclear weapons by Iran and the nationalization of integrated oil company YPF SA by the Argentine government shook the Energy sector early in 2012, but the lack of a meaningful resolution to the debt crisis in Europe, which was exacerbated by fears of contagion to Portugal and possibly Spain, dragged equity markets down near the end of the year. Additionally, while there were releases that contained improved economic data throughout the year, fears persisted due to the prospects of a hard landing for the Chinese and other emerging market domestic economies, along with worldwide concern regarding the potential for a double-dip recession in the U.S.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2012, the Fund outperformed the Morgan Stanley Capital International (MSCI) All Country World Ex-US

Index (the “Index”), returning (19.36)% versus the Index return of (20.49)%.

V. Fund Attribution

From a country/regional perspective, the Fund benefited strongly from stock selection within Germany — specifically consumer-driven stocks — as market participants flocked to the perceived safety of the country’s companies. Shrewd stock selection in Portugal also benefited the Fund, as did an underweight to Spain and Italy. Selection of Canadian Materials stocks also helped, as these held up better than the broad market. From a sector standpoint, the allocation among sectors drove performance, with stock selection having a mixed — but overall neutral — effect. An underweight to the Financials sector and an overweight to Health Care stocks had the greatest positive impact on performance, with most of the other sector positioning having marginally positive effects as well. In terms of stock selection, strong selection in the Energy sector was balanced by weak selection in Information Technology and Consumer Discretionary.

World Equity Ex-US Fund

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
World Equity Ex-US Fund, Class A		(19.36)%		5.40%		(7.78)%		1.82%
MSCI All Country World Ex-US Index		(20.49)%		4.56%		(5.55)%		3.02%

Comparison of Change in the Value of a $100,000 Investment in the World Equity Ex-US Fund, Class A, versus the Morgan Stanley Capital International (MSCI) All Country World Ex-US Index

¹  For the year ended May 31, 2012. Past performance is not an indication of future performance. Class A shares were offered beginning 3/28/05. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

10 SEI Institutional Investments Trust / Annual Report / May 31, 2012

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2012 (Unaudited)

Screened World Equity Ex-US Fund

I. Objective

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

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying upon a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of May 31, 2012: Acadian Asset Management LLC, EARNEST Partners, LLC, McKinley Capital Management, LLC and Thornburg Investment Management LLC.

For the fiscal year ended May 31, 2012, EARNEST Partners, LLC was added to the Fund, while Quantitative Management Associates, LLC was terminated from the Fund.

III. Market Commentary

With the theme of uncertainty prevailing on a number of fronts, international equity markets experienced a sharp decline for the year under review. The largest concern entering the year was the eurozone sovereign debt saga. By the second half of 2011, however, the focus shifted from what would happen with Greece to questions regarding the financial strength of larger nations such as Germany and France, as it was assumed that they would ultimately have to step in and finance the debts of their weaker neighbors. The situation began to stabilize somewhat toward the end of the year, with the European Central Bank offering low interest rate loans to banks, which provided much needed liquidity. Entering 2012, the eurozone debt fears waned temporarily, bringing strong results in January and February, despite the fact that spreads on European sovereign debt remained extremely high. Fears relating to the possible development of nuclear weapons by Iran and the nationalization of integrated oil company YPF SA by the Argentine government shook the Energy sector early in 2012, but the lack of a meaningful resolution to the debt crisis in Europe, which was exacerbated by fears of contagion to Portugal and possibly Spain, dragged equity markets down near the end of the year. Additionally, while there were releases that contained improved economic data throughout the year, fears persisted due to the prospects of a hard landing for the Chinese and other emerging market domestic economies, along with worldwide concern regarding the potential for a double-dip recession in the U.S.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2012, the Fund performed in line with the Morgan Stanley Capital International (MSCI) All Country World

Ex-US Index (the “Index”), returning (20.39)% versus the Index return of (20.49)%.

V. Fund Attribution

From a country/regional perspective, the Fund benefited strongly from stock selection in Japan, most notably in consumer-driven stocks. Within Germany, market participants flocked to the perceived safety of the country’s companies. This gave performance a notable boost as well. The underweight to Spain, Italy and Russia also benefited the Fund, as these countries drastically underperformed the broader market during the year. From a sector standpoint, allocation among sectors drove performance, with stock selection having a mixed — but overall negative — effect. The overweight to Health Care stocks made the largest positive contribution to performance, with most of the other sector positioning having marginally positive effects as well. The greatest contributor, however, was the combination of an overweight positioning to and strong stock selection within the Consumer Discretionary sector. Unfortunately, this positive effect was mitigated somewhat by weak selection within Materials and Financials.

Screened World Equity Ex-US Fund

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized Inception to Date
Screened World Equity Ex-US Fund, Class A		(20.39)%		4.71%		(7.24)%
MSCI All Country World Ex-US Index		(20.49)%		4.56%		(5.58)%

Comparison of Change in the Value of a $100,000 Investment in the Screened World Equity Ex-US Fund, Class A, versus the Morgan Stanley Capital International (MSCI) All Country World Ex-US Index

¹  For the year ended May 31, 2012. Past performance is not an indication of future performance. Class A shares were offered beginning 6/30/08. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

SEI Institutional Investments Trust / Annual Report / May 31, 2012 11

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2012 (Unaudited)

Enhanced LIBOR Opportunities Fund

I. Objective

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

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of May 31, 2012: Ares Management, LLC and Wellington Management Company, LLP.

During the fiscal year ended May 31, 2012, Declaration Management & Research LLC was terminated from the Fund.

III. Market Commentary

For the fiscal year ended May 31, 2012, the non-Treasury sectors of the U.S. fixed-income market experienced strong volatility. During the first half of the year, dual sovereign debt challenges on both sides of the Atlantic and the fear of another economic recession in the U.S. caused the credit market to sell off, with volatility picking up dramatically. On August 2, the U.S. Congress raised the debt ceiling by $2.1 trillion, alleviating the imminent risk of Treasury default. However, Standard and Poor’s subsequently downgraded U.S. Treasuries to AA+. In mid-September, the Federal Open Market Committee announced further accommodative measures through “Operation Twist,” effectively extending the maturity of its Treasury portfolio and reinvesting the proceeds of maturing agency debt and mortgage-backed securities (“MBS”) back into MBS rather than Treasuries. The market turned the corner coming into 2012, as encouraging U.S. economic data and positive developments in Europe increased investor risk appetite in the first quarter. Most importantly, the European Central Bank’s three-year Long-Term Refinancing Operation significantly improved market liquidity and alleviated short-term funding pressures. The “risk-on” environment helped all non-Treasury sectors outperform Treasuries in the first quarter, and almost recouped all losses from the earlier flight to quality. In the second quarter of 2012, renewed concerns about the eurozone and weaker global economic data triggered another flight to quality. The

fear that Greece would exit the eurozone, the recapitalization of Spanish banks and Moody’s Investors Services’ continuing bank downgrades set a pessimistic tone in the fixed-income market. U.S. Federal Reserve (“Fed”) Chairman Ben Bernanke clearly indicated that he stood ready to act should conditions worsen. Once again, the “risk-off” environment pushed all non-Treasury sectors to post negative excess returns. However, the fixed-income community appeared to be more conservatively positioned versus the fall of 2011. As a result, the degree of underperformance in non-Treasury assets in the second quarter of 2012 was much more modest as compared to what was seen in 2011.

Due to global macro concerns and a highly accommodative Fed monetary policy, 10-year Treasury yields fell to record lows at the end of the year, moving from 3.06% to 1.56% on a year-over-year basis. Although non-Treasury sectors experienced high volatility during the year, the fundamentals continued to improve. The investment corporate market continued to see active new issuance, and corporate earnings were solid. After a few years of de-leveraging, financial companies now have much stronger balance sheets. More stringent regulations should enhance banks’ capital ratios and are perceived to be bondholder-friendly. In the meantime, housing prices are starting to stabilize and delinquency rates are trending lower. The lack of supply, strong investor demand and stabilizing fundamentals continue to support the securitized market.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2012, the Fund outperformed the BofA Merrill Lynch U.S. Dollar 3-Month LIBOR Constant Maturity Index (the “Index”), returning 2.49% versus the Index return of 0.38%.

V. Fund Attribution

The Fund benefited from an allocation to bank loans, as the Credit Suisse Leveraged Loan Index returned 2.23% during the year. In addition, an allocation to and security selection within non-agency mortgage-backed securities, particularly shorter-tenor senior residential mortgage-backed securities, added to performance, as liquidity improved within the market and helped to improve pricing transparency. An allocation to and security selection within

12 SEI Institutional Investments Trust / Annual Report / May 31, 2012

commercial mortgage-backed securities also added to performance, with the asset class benefiting from fading tail risk, continued positive U.S. economic news and investor demand. The Fund used derivatives, primarily Treasury futures, as a way to manage duration, yield-curve positioning and spread duration in a more efficient manner.

Enhanced LIBOR Opportunities Fund

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
Enhanced LIBOR Opportunities Fund, Class A		2.49%		6.90%		(2.20)%		(1.48)%
BofA Merrill Lynch U.S. Dollar 3-Month LIBOR Constant Maturity Index		0.38%		0.39%		1.78%		2.09%

Comparison of Change in the Value of a $100,000 Investment in the Enhanced LIBOR Opportunities Fund, Class A, versus the BofA Merrill Lynch U.S. Dollar 3-Month LIBOR Constant Maturity Index

¹  For the year ended May 31, 2012. Past performance is not an indication of future performance. Class A shares were offered beginning 12/14/06. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

SEI Institutional Investments Trust / Annual Report / May 31, 2012 13

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2012 (Unaudited)

Core Fixed Income Fund

I. Objective

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

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of May 31, 2012: Jennison Associates LLC, J.P. Morgan Investment Management, Inc., Metropolitan West Asset Management, LLC, Wells Capital Management, Inc., Western Asset Management Company and Western Asset Management Company Limited. There were no manager changes during the year.

III. Market Commentary

For the fiscal year ended May 31, 2012, the non-Treasury sectors of the U.S. fixed-income market experienced strong volatility. During the first half of the year, dual sovereign debt challenges on both sides of the Atlantic and the fear of another economic recession in the U.S. caused the credit market to sell off, with volatility picking up dramatically. On August 2, the U.S. Congress raised the debt ceiling by $2.1 trillion, alleviating the imminent risk of Treasury default. However, Standard and Poor’s subsequently downgraded U.S. Treasuries to AA+. In mid-September, the Federal Open Market Committee announced further accommodative measures through “Operation Twist,” effectively extending the maturity of its Treasury portfolio and reinvesting the proceeds of maturing agency debt and mortgage-backed securities (“MBS”) back into MBS rather than Treasuries. The market turned the corner coming into 2012, as encouraging U.S. economic data and positive developments in Europe increased investor risk appetite in the first quarter. Most importantly, the European Central Bank’s three-year Long-Term Refinancing Operation significantly improved market liquidity and alleviated short-term funding pressures. The “risk-on” environment helped all non-Treasury sectors outperform Treasuries in the first quarter, and almost recouped all losses from the earlier flight to quality. In the second quarter of 2012, renewed concerns about the eurozone and weaker global economic data triggered another flight to quality. The

fear that Greece would exit the eurozone, the recapitalization of Spanish banks and Moody’s Investors Services’ continuing bank downgrades set a pessimistic tone in the fixed-income market. U.S. Federal Reserve (“Fed”) Chairman Ben Bernanke clearly indicated that he stood ready to act should conditions worsen. Once again, the “risk-off” environment pushed all non-Treasury sectors to post negative excess returns. However, the investor community was much more cautious this time, and most investors were able to weather the storm.

Due to global macro concerns and a highly accommodative Fed monetary policy, 10-year Treasury yields fell to record lows at the end of the year, moving from 3.06% to 1.56% on a year-over-year basis. Although non-Treasury sectors experienced high volatility during the year, the fundamentals continued to improve. The investment corporate market continued to see active new issuance, and corporate earnings were solid. After a few years of de-leveraging, financial companies now have much stronger balance sheets. More stringent regulations should enhance banks’ capital ratios and are perceived to be bondholder-friendly. In the meantime, housing prices are starting to stabilize and delinquency rates are trending lower. The lack of supply, strong investor demand and stabilizing fundamentals continue to support the securitized market.

IV. Return vs. Benchmark

For fiscal year ending May 31, 2012, the Fund outperformed the Barclays Capital Aggregate Bond Index (the “Index”), returning 7.98% versus the Index return of 7.12%.

V. Fund Attribution

The Fund’s tactical moves in sector allocation contributed to performance, as the market oscillated between “risk-on” and “risk-off” modes. Security selection within agency mortgage-backed securities (“MBS”) was also a major contributor. Overweight positions to corporate bonds (primarily Financials) and non-agency MBS detracted from performance as spreads widened. Credit default swaps were utilized to efficiently manage the Fund’s corporate exposure. An overweight to commercial mortgage-backed securities (“CMBS”) was a positive contributor. However, security selection offset some of the outperformance, as the Fund was invested in more

14 SEI Institutional Investments Trust / Annual Report / May 31, 2012

conservative securities relative to the benchmark (i.e., older-vintage, shorter-average-life securities). The Fund bought credit protection by utilizing credit default swaps on a basket of CMBS, which assisted in partially hedging systematic risk associated with the portfolio’s CMBS exposure. Duration exposure was a negative contributor due to the Fund’s shorter posture relative to the benchmark. However, this was offset by the Fund’s curve-flattening position, which outperformed as the Treasury yield curve flattened. Treasury futures were utilized to efficiently assist in managing the Fund’s duration and yield-curve exposure.

Core Fixed Income Fund

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Core Fixed Income Fund, Class A		7.98%		10.45%		7.60%		6.34%		6.85%
Barclays Capital Aggregate Bond Index		7.12%		7.12%		6.72%		5.72%		6.49%

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

¹  For the year ended May 31, 2012. Past performance is not an indication of future performance. Class A shares were offered beginning 6/14/96. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

SEI Institutional Investments Trust / Annual Report / May 31, 2012 15

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2012 (Unaudited)

High Yield Bond Fund

I. Objective

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

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of May 31, 2012: Ares Management, LLC, Brigade Capital Management, LLC, Delaware Management Company, Guggenheim Partners Asset Management, LLC and J.P. Morgan Investment Management, Inc. There were no manager changes during the year.

III. Market Commentary

For the fiscal year ended May 31, 2012, the high-yield market, as measured by the BofA Merrill Lynch U.S. High Yield Constrained Index, returned 3.3%. Credit quality spreads widened 186 basis points (“bps”) to finish the year at 696 bps through a combination of declining U.S. Treasury yields and rising yields on high-yield bonds. The Moody’s U.S. Speculative Default Rate rose marginally to 3.1% from 2.7% one year ago, but remains below the 4.5% historical average. Liquid markets and improving financial metrics will serve as the tailwind that keeps default rates low. Over the last 12 months, more than $262 billion in new issuance has come to market, with over 54.0% for refinancing purposes. With refinancing continuing to dominate the issuance of high-yield bonds and loans, companies can lower debt costs, alleviate the large amount of securities that were scheduled to mature over the next few years and keep net new issuance from expanding. The technical conditions of the market remained positive, as high-yield mutual funds recorded inflows. However, they were volatile given market concerns about potential contagion emanating from the periphery of Europe, causing periods in which risk assets sold off but subsequently rallied back. With investors’ risk appetite weaker over the course of the entire year, CCC-rated bonds were the worst performers (after posting two years of outperformance). For the year, BB-rated bonds returned 4.85%, B-rated bonds returned 3.42% and CCC-rated bonds returned (1.36)%.

The best-performing sectors last year had exposure to the U.S. consumer, as the economy held up better in the U.S. (despite some significant headwinds) and the country’s consumer displayed its penchant for spending. After beginning the year with disruptions in parts of the supply chain due to the devastating earthquake in Japan, auto sales rebounded over the second half of the year and propelled the Automotive sector to the highest return of 9.67%. U.S. consumers continued to spend more of their discretionary income, enabling the Consumer Cyclical sector to produce the second highest return for the year. Another top-performing sector was Health Care, which is viewed

as more defensive in nature. The sector benefited from a rebound after the market rationalized the impact of health-care legislation. The Utility sector, which struggled with record-low natural gas prices, underperformed. After posting strong returns in the prior year, the Insurance, Banking and Financial Services sectors underperformed, as concerns about the financial flexibility of banks pushed bond prices lower.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2012, the Fund outperformed the BofA Merrill Lynch U.S. High Yield Constrained Index (the “Index”), returning 5.09% versus the Index return of 3.30%.

V. Fund Attribution

The Fund’s security selection in the Technology sector enhanced relative performance. Security selection within the Basic Industry sector was also positive. An overweight to outperforming CCC-rated bonds helped results, as did an underweight to the underperforming Utility sector. An underweight to the outperforming Automotive sector detracted from returns.

High Yield Bond Fund

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
High Yield Bond Fund, Class A		5.09%		19.85%		7.70%		8.51%
BofA Merrill Lynch U.S. High Yield Constrained Index		3.30%		16.55%		7.54%		8.39%

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

¹  For the year ended May 31, 2012. Past performance is not an indication of future performance. Class A shares were offered beginning 12/5/05. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

16 SEI Institutional Investments Trust / Annual Report / May 31, 2012

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2012 (Unaudited)

Long Duration Fund

I. Objective

The Long Duration Fund (the “Fund”) seeks return characteristics similar to those of high-quality corporate bonds, with a duration range of between nine and fourteen years.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of May 31, 2012: Income Research & Management, Jennison Associates LLC, Legal & General Investment Management America, Inc. and Metropolitan West Asset Management LLC.

During the fiscal year ended May 31, 2012, Legal & General Investment Management America, Inc. was added to the Fund.

III. Market Commentary

For the fiscal year ended May 31, 2012, the non-Treasury sectors of the U.S. fixed-income market experienced strong volatility. During the first half of the year, dual sovereign debt challenges on both sides of the Atlantic and the fear of another economic recession in the U.S. caused the credit market to sell off, with volatility picking up dramatically. On August 2, the U.S. Congress raised the debt ceiling by $2.1 trillion, alleviating the imminent risk of Treasury default. However, Standard and Poor’s subsequently downgraded U.S. Treasurys to AA+. In mid-September, the Federal Open Market Committee announced further accommodative measures through “Operation Twist,” effectively extending the maturity of its Treasury portfolio and reinvesting the proceeds of maturing agency debt and mortgage-backed securities (“MBS”) back into MBS rather than Treasuries. The market turned the corner coming into 2012, as encouraging U.S. economic data and positive developments in Europe increased investor risk appetite in the first quarter. Most importantly, the European Central Bank’s three-year Long-Term Refinancing Operation significantly improved market liquidity and alleviated short-term funding pressures. The “risk-on” environment helped all non-Treasury sectors outperform Treasuries in the first quarter, and almost recouped all losses from the earlier flight to quality. In the

second quarter of 2012, renewed concerns about the eurozone and weaker global economic data triggered another flight to quality. The fear that Greece would exit the eurozone, the recapitalization of Spanish banks and Moody’s Investors Services’ continuing bank downgrades set a pessimistic tone in the fixed-income market. U.S. Federal Reserve (“Fed”) Chairman Ben Bernanke clearly indicated that he stood ready to act should conditions worsen. Once again, the “risk-off” environment pushed all non-Treasury sectors to post negative excess returns. However, the investor community was much more cautious this time, and most investors were able to weather the storm.

Due to global macro concerns and a highly accommodative Fed monetary policy, 10-year Treasury yields fell to record lows at the end of the year, moving from 3.06% to 1.56% on a year-over-year basis. Although non-Treasury sectors experienced high volatility during the year, the fundamentals continued to improve. The investment corporate market continued to see active new issuance, and corporate earnings were solid. After a few years of de-leveraging, financial companies now have much stronger balance sheets. More stringent regulations should enhance banks’ capital ratios and are perceived to be bondholder-friendly. In the meantime, housing prices are starting to stabilize and delinquency rates are trending lower. The lack of supply, strong investor demand and stabilizing fundamentals continue to support the securitized market.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2012, the Fund underperformed the Barclays Capital Long U.S. Government/Credit Index (the “Index”), returning 21.70% versus the Index return of 22.75%.

V. Attribution

Underperformance was the result of an overweight exposure to the corporate bond sector. The corporate overweight was focused on the Finance sector, which fared the worst among the other investment-grade corporate sectors. The Fund’s yield-curve flattening position helped offset some of the underperformance, as the Treasury yield curve flattened during the fiscal year. Treasury futures were utilized to efficiently assist in managing the Fund’s duration and yield-curve exposure. The Fund was underweight to Build America Bonds, which

SEI Institutional Investments Trust / Annual Report / May 31, 2012 17

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2012 (Unaudited)

Long Duration Fund (Concluded)

also contributed to performance due to the sector’s underperformance relative to Treasuries. The drop in intermediate- and longer-term Treasury yields served to support the Fund’s strong absolute return.

Long Duration Fund

AVERAGE ANNUAL TOTAL RETURN^1,2

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
Long Duration Fund, Class A		21.70%		16.76%		7.87%		6.55%
Barclays Capital Long U.S. Government/Credit Index		22.75%		15.60%		10.83%		8.71%

Comparison of Change in the Value of a $100,000 Investment in the Long Duration Fund, Class A, versus the Barclays Capital Long U.S. Government/Credit Index, the 60/40 Blended Benchmark Consisting of the BC U.S. Long Credit Index and the BC U.S. Long Government Index, the Barclays Capital U.S. Long Credit Index, and the Barclays Capital U.S. Long Government Index

¹  For the year ended May 31, 2012. Past performance is not an indication of future performance. Class A shares were offered beginning 4/21/04. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

²  This table compares the Fund’s average annual total returns to those of a broad-based index and the Fund’s 60/40 Blended Benchmark, which consists of the Barclays Capital U.S. Long Credit Index and the Barclays Capital U.S. Long Government Index. The Fund’s Blended Benchmark is designed to provide a useful comparison to the Fund’s overall performance and more accurately reflects the Fund’s investment strategy than the broad-based index.

18 SEI Institutional Investments Trust / Annual Report / May 31, 2012

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2012 (Unaudited)

Ultra Short Duration Bond Fund

I. Objective

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

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of May 31, 2012: Logan Circle Partners, L.P. and Wellington Management Company, LLP.

During the fiscal year ended May 31, 2012, Logan Circle Partners, L.P. was added to the Fund.

III. Market Review

For the fiscal year ended May 31, 2012, the non-Treasury sectors of the U.S. fixed-income market experienced strong volatility. During the first half of the year, dual sovereign debt challenges on both sides of the Atlantic and the fear of another economic recession in the U.S. caused the credit market to sell off, with volatility picking up dramatically. On August 2, the U.S. Congress raised the debt ceiling by $2.1 trillion, alleviating the imminent risk of Treasury default. However, Standard and Poor’s subsequently downgraded U.S. Treasuries to AA+. In mid-September, the Federal Open Market Committee announced further accommodative measures through “Operation Twist,” effectively extending the maturity of its Treasury portfolio and reinvesting the proceeds of maturing agency debt and mortgage-backed securities (“MBS”) back into MBS rather than Treasuries. The market turned the corner coming into 2012, as encouraging U.S. economic data and positive developments in Europe increased investor risk appetite in the first quarter. Most importantly, the European Central Bank’s three-year Long-Term Refinancing Operation significantly improved market liquidity and alleviated short-term funding pressures. The “risk-on” environment helped all non-Treasury sectors outperform Treasuries in the first quarter, and almost recouped all losses from the earlier flight to quality. In the second quarter of 2012, renewed concerns about the eurozone and weaker global economic data triggered another flight to quality. The fear that Greece would exit the eurozone, the recapitalization of Spanish banks and Moody’s Investors Services’ continuing bank downgrades set a pessimistic tone in the fixed-income market. U.S. Federal Reserve (“Fed”) Chairman Ben Bernanke clearly indicated that he stood ready to act should conditions worsen. Once again, the “risk-off” environment pushed all non-Treasury sectors to post negative excess returns. However, the investor community was much more cautious this time, and most investors were able to weather the storm.

Due to global macro concerns and a highly accommodative Fed monetary policy, 10-year Treasury yields fell to record lows at the end of the year, moving from 3.06% to 1.56% on a year-over-year basis. Although non-Treasury sectors experienced high volatility during the

year, the fundamentals continued to improve. The investment corporate market continued to see active new issuance, and corporate earnings were solid. After a few years of de-leveraging, financial companies now have much stronger balance sheets. More stringent regulations should enhance banks’ capital ratios and are perceived to be bondholder-friendly. In the meantime, housing prices are starting to stabilize and delinquency rates are trending lower. The lack of supply, strong investor demand and stabilizing fundamentals continue to support the securitized market.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2012, the Fund outperformed the Barclays Short U.S. Treasury 9-12 Month Index (the “Index”), returning 0.86% versus the Index return of 0.28%.

V. Fund Attribution

The Fund’s large allocation to non-Treasury sectors outperformed, specifically the portfolio’s allocations to non-agency MBS, asset-backed securities and corporate securities. A barbell curve position also helped performance, as the yield curve flattened materially during the year. The Fund used Treasury futures to efficiently manage duration and yield-curve exposure.

Ultra Short Duration Bond Fund

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized Inception to Date
Ultra Short Duration Bond Fund, Class A		0.86%		0.95%
Barclays Short U.S. Treasury 9-12 Month Index		0.28%		0.37%

Comparison of Change in the Value of a $100,000 Investment in the Ultra Short Duration Bond Fund, Class A, versus the Barclays Short U.S. Treasury 9-12 Month Index

¹  For the year ended May 31, 2012. Past performance is not an indication of future performance. Class A shares were offered beginning 2/28/11. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

SEI Institutional Investments Trust / Annual Report / May 31, 2012 19

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2012 (Unaudited)

Emerging Markets Debt Fund

I. Objective

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

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of May 31, 2012: Ashmore Investment Management Limited, ING Investment Management Advisors, B.V. and Stone Harbor Investment Partners, L.P. There were no manager changes during the year.

III. Market Commentary

Emerging market debt, as measured by the J.P. Morgan EMBI Global Diversified Index, returned 7.01% during the year ended May 31, 2012.

Emerging markets debt began the year off of its earlier highs due to the crisis in Europe and the political stalemate in the U.S. over the debt ceiling. These matters contributed to greater downside risk and ultimately led to investor risk aversion. The market advanced higher on a continued rally in U.S. Treasuries, in which yields declined on a still accommodative U.S. Federal Reserve and European Central Bank, while higher coupons mitigated small price declines. Performance for the year was mixed across credit qualities, although higher-yielding countries were the best and worst performers — not surprising given their high-beta trends and typically low correlation with U.S. Treasuries.

Emerging markets corporate and local currency debt posted returns of 3.83% and (6.46)%, respectively. They both underperformed external debt during the year, driven primarily by risk aversion (although fundamentals of both sectors are strong and continue to improve). External debt has weathered the global macroeconomic storm fairly well, while local and corporate debt have experienced greater volatility and mixed absolute returns during this time.

The asset class remains fundamentally strong and is constantly displaying improvements in fiscal and monetary policy, sustainable growth and manageable debt profiles. This has resulted in the

continuation of the credit upgrade trend, with countries like Indonesia, Latvia and Uruguay all receiving investment-grade status in the past year. A still sensitive macroeconomic environment could see volatility return, putting additional pressure on the asset class. However, emerging markets debt has proven itself as one of the better-positioned capital markets by recovering after each externally induced crisis. Risks from politics and inflation have historically haunted the asset class, but policy reform and commitment to policy continuity will help investors grow more comfortable with emerging markets debt as it evolves.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2012, the Fund underperformed the J.P. Morgan EMBI Global Diversified Index (the “Index”), returning 4.67% versus the Index return of 7.01%.

V. Fund Attribution

An allocation to corporate debt and an allocation to local currency debt detracted from returns. An overweight to higher-yielding countries also hurt, although security selection in higher-beta credits helped mitigate further underperformance.

A broad allocation to corporate debt, particularly in Brazil, China, Kazakhstan, Mexico and Russia, contributed to relative underperformance for the year. Local currency exposure, especially selection to Latin American currencies in Brazil and Mexico, added to negative relative returns. As the global growth outlook deteriorated, investors sold what they perceived to be riskier assets, pushing emerging markets foreign exchange valuations lower. The Mexican peso suffered from its correlation with a falling U.S. outlook, and the Brazilian real fell not only on growth outlooks, but also on various policy actions by the government to stem currency appreciation. An allocation to the Indian rupee also declined, as the country’s economy continues to learn to deal with inflation and growth problems. An overweight to Argentina subtracted from returns, as poor policy decisions and declining growth negatively impacted bond prices.

An underweight to higher-beta frontier countries added to returns, as most sold off on broader risk aversion. Security selection in Venezuela benefited as oil prices remained supportive and the prospect that

20 SEI Institutional Investments Trust / Annual Report / May 31, 2012

President Hugo Chavez could lose in the upcoming elections was well-received by the markets. An underweight to Hungary benefited, as the current account deficit, rising debt and political gridlock over financial aid caused its bonds to fall and its currency to depreciate.

Emerging Markets Debt Fund

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
Emerging Markets Debt Fund, Class A		4.67%		15.06%		8.69%		9.47%
J.P. Morgan EMBI Global Diversified Index		7.01%		12.38%		8.01%		8.40%

Comparison of Change in the Value of a $100,000 Investment in the Emerging Markets Debt Fund, Class A, versus the J.P. Morgan EMBI Global Diversified Index and the 50/50 Blended Benchmark Consisting of the J.P. Morgan EMBI Global Diversified Index and the J.P. Morgan GBI-EM Global Diversified Index

¹  For the year ended May 31, 2012. Past performance is not an indication of future performance. Class A shares were offered beginning 12/5/05. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

SEI Institutional Investments Trust / Annual Report / May 31, 2012 21

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2012 (Unaudited)

Real Return Fund

I. Objective

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

II. Multi-Manager Approach Statement

The Fund uses a sub-adviser to manage the Fund under the supervision of SEI Investments Management Corporation (“SIMC”). As of May 31, 2012, the Fund utilized Wellington Management Company, LLC. There were no manager changes during the year.

III. Market Commentary

For the fiscal year ended May 31, 2012, the non-Treasury sectors of the U.S. fixed-income market experienced strong volatility. During the first half of the year, dual sovereign debt challenges on both sides of the Atlantic and the fear of another economic recession in the U.S. caused the credit market to sell off, with volatility picking up dramatically. On August 2, the U.S. Congress raised the debt ceiling by $2.1 trillion, alleviating the imminent risk of Treasury default. However, Standard and Poor’s subsequently downgraded U.S. Treasuries to AA+. In mid-September, the Federal Open Market Committee announced further accommodative measures through “Operation Twist,” effectively extending the maturity of its Treasury portfolio and reinvesting the proceeds of maturing agency debt and mortgage-backed securities (“MBS”) back into MBS rather than Treasuries. The market turned the corner coming into 2012, as encouraging U.S. economic data and positive developments in Europe increased investor risk appetite in the first quarter. Most importantly, the European Central Bank’s three-year Long-Term Refinancing Operation significantly improved market liquidity and alleviated short-term funding pressures. The “risk-on” environment helped all non-Treasury sectors outperform Treasuries in the first quarter, and almost recouped all losses from the earlier flight to quality. In the second quarter of 2012, renewed concerns about the eurozone and weaker global economic data triggered another flight to quality. The fear that Greece would exit the eurozone, the recapitalization of Spanish banks and Moody’s Investors Services’ continuing bank downgrades set a pessimistic tone in the fixed-income market. U.S. Federal Reserve (“Fed”) Chairman Ben Bernanke clearly indicated that he stood ready to act should conditions worsen. Once again, the “risk-off” environment pushed all non-Treasury sectors to post negative excess returns. However, the fixed-income community appeared to be more conservatively positioned versus the fall of 2011. As a result, the degree of underperformance in non-Treasury assets in the second quarter of 2012 was much more modest as compared to what was seen in 2011.

Due to global macro concerns and a highly accommodative Fed monetary policy, 10-year Treasury yields fell to record lows at the end of the year, moving from 3.06% to 1.56% on a year-over-year basis. Similarly, the Treasury Inflation-Protected Securities (“TIPS”) market

experienced a higher level of volatility, as it faced geopolitical tension in the Middle East that resulted in higher energy prices. This was followed by weaker global economic data that led to lower demand and increased oil supply from Saudi Arabia, Iraq and the U.S. The five-year TIPS breakeven inflation rate, which is the difference in yield between nominal Treasuries and TIPs, narrowed from 2.10% to 1.70% for the fiscal year as inflation expectations decreased. This resulted in TIPS underperforming their nominal Treasury counterparts for the year.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2012, the Fund performed in line with the Barclays Capital U.S. Treasury Inflation Notes 1-5 Year Index (the “Index”), returning 2.15% versus the Index return of 2.15%.

V. Fund Attribution

The Fund performed in line with the benchmark, benefiting at the margin from tactical and timely allocations to nominal Treasuries. Security selection detracted from performance.

Real Return Fund

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
Real Return Fund, Class A		2.15%		4.82%		5.43%		5.39%
Barclays Capital U.S. Treasury Inflation Notes 1-5 Year Index		2.15%		4.82%		5.23%		5.12%

Comparison of Change in the Value of a $100,000 Investment in the Real Return Fund, Class A, versus the Barclays Capital U.S. Treasury Inflation Notes 1-5 Year Index, and the Barclays Capital U.S. Treasury Inflation Notes 1-10 Year Index

¹  For the year ended May 31, 2012. Past performance is not an indication of future performance. Class A shares were offered beginning 12/14/06. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

22 SEI Institutional Investments Trust / Annual Report / May 31, 2012

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2012 (Unaudited)

Dynamic Asset Allocation Fund

I. Objective

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

II. Manager Approach Statement

For the period June 1, 2011 to April 30, 2012, the Fund used a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers during this time: First Quadrant LP. and Goldman Sachs Asset Management, L.P. Credit Suisse Asset Management, LLC was terminated.

For the period May 1, 2012 to May 31, 2012, an investment strategy change saw portfolio management for the Fund transition to SIMC’s Portfolio Strategies Group (“PSG”). Asset allocation decisions are now made by PSG using SSgA Funds Management, Inc. as the implementation manager. Installation of an implementation manager provides a manager whose sole responsibility is to execute PSG’s views as directed.

III. Market Commentary

After digesting and reacting to civil unrest in the Middle East and the subsequent potential impact of high oil prices to the fragile U.S. economy in early 2011, the market began to once again focus on the Greek sovereign debt crisis and its broader implications for other challenged countries in peripheral Europe. In the U.S., a political stalemate regarding the raising of the country’s debt ceiling roiled the markets, as the potential for a U.S. default came within days of becoming a reality. The market sold off sharply, and correlations among stocks spiked to levels not seen since the Great Depression — an indication that company-specific fundamentals were no longer driving stock returns. Violent volatility plagued the market in the following weeks. In the midst of these events, Standard & Poor’s downgraded the rating of U.S. debt for the first time in history. Defensive sectors such as Utilities and Consumer Staples performed best, as market participants sought relative safety. The selloff and volatility continued through the end of the third quarter. The avoidance of a crisis in the U.S. sent the market rallying through October, but it lost momentum in November when Italy began to show signs of weakness as its borrowing costs rose to its highest level since the adoption of the single currency. In the U.S., the Congressional “Super Committee” failed to come to an agreement on a deficit reduction plan. This also weighed on the market. As 2012 began, the situation in Europe took a backseat to the positive impact of improving U.S. economic indicators, most notably the country’s unemployment rate. The rally that began in October continued through the first quarter and volatility declined. However, it again stalled in the following two months, as the situation in Europe took center stage yet again, with Spain beginning to show signs of weakness and the Greek populous protesting the country’s harsh austerity measures.

IV. Return vs. Benchmark

For the period June 1, 2011 to April 30, 2012, the Fund returned 5.15% compared to 8.16% for its blended benchmark of 50% S&P 500 Index/50% Barclays 10-Year Treasury Bellwether Index.

For the period May 1, 2012 to May 31, 2012, the Fund returned (0.98)% compared to (5.28)% for its blended benchmark of 80% S&P 500 Index/10% iBoxx $ Liquid High Yield Index/10% J.P. Morgan EMBI Global Core Index.

V. Fund Attribution

For the period June 1, 2011 to April 30, 2012, an overweight to equity strategies at the expense of fixed-income strategies was the largest contributor to results. The Fund was equity underweight in August and September of 2011.

For the period May 1, 2012 to May 31, 2012, the main contributor to performance was the U.S. dollar (“USD”) hedge against the euro currency. The hedge accounted for approximately 60% of the Fund’s notional value as of month end. As the USD/euro exchange rate moved from 1.32 to 1.24, the Fund benefited due to its meaningful position against the euro.

Dynamic Asset Allocation Fund

AVERAGE ANNUAL TOTAL RETURN^1,2

	One Year Return		Annualized Inception to Date
Dynamic Asset Allocation Fund, Class A		3.73%		9.91%
S&P 500 Index		(0.41)%		12.26%

Comparison of Change in the Value of a $100,000 Investment in the Dynamic Asset Allocation Fund, Class A, versus the S&P 500 Index, and the 80/10/10 Blended Benchmark Consisting of the S&P 500 Index, the iBoxx $ Liquid High Yield Index and the J.P. Morgan EMBI Global Core Index

¹  For the year ended May 31, 2012. Past performance is not an indication of future performance. Class A shares were offered beginning 7/30/10. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

²  This table compares the Fund’s average annual total returns to those of a broad-based index and the Fund’s 80/10/10 Blended Benchmark, which consists of the S&P 500 Index (80%), the iBoxx $ Liquid High Yield Index (10%) and the J.P. Morgan EMBI Global Core Index (10%). The Fund’s Blended Benchmark is designed to provide a useful comparison to the Fund’s overall performance and more accurately reflects the Fund’s investment strategy than the broad-based index.

SEI Institutional Investments Trust / Annual Report / May 31, 2012 23

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2012 (Unaudited)

Multi-Asset Real Return Fund

I. Objective

The Multi-Asset Real Return Fund (the “Fund”) seeks return exceeding the rate of inflation.

II. Manager Approach Statement

The Fund uses a sub-adviser to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). SIMC may also directly manage a portion of the Fund’s portfolio. As of May 31, 2012, the Fund utilized AllianceBernstein L.P.

The Fund was established in July 2011; therefore, the manager listed above was added during the period.

III. Market Commentary

Global markets favored high-quality fixed-income assets relative to equities and commodities during the fiscal year ended May 31, 2012. A strong fourth quarter in 2011 and first quarter in 2012 for risk assets was not enough to offset the market volatility witnessed in the third quarter of 2011 and May of 2012. Similar to the summer of 2011, markets in May became skittish regarding the possible effects on global growth from the European debt crisis and slowing growth in emerging market countries. The MSCI ACWI returned (12.29)% while the Barclays Global Aggregate Index returned 2.32% for the trailing year ended May 31, 2012.

U.S. Treasury Inflation-Protected Securities (TIPS) exhibited positive returns, with stronger performance seen in longer-dated TIPS issues. Much of this strong performance may have been driven by a flight to safety, as opposed to overall concern about inflation in the U.S. Commodities and commodity-related equities both had nearly equal poor performance due to lower demand and concerns about future consumption, as a number of European economies contracted and emerging markets continued to cool off. U.S. real estate investment trusts (REITS) were a bright spot, performing relatively well over the year versus U.S. equities. Some of the strength in the REIT market could be attributed to demand showing signs of strengthening, fundamentals gradually improving and a scarcity of new supply in most markets.

IV. Return vs. Benchmark

For the since-inception period from July 29, 2011 to May 31, 2012, the Fund underperformed the Barclays Capital U.S. Treasury Inflation Notes 1-5 Year Index (the “Index”), returning (7.37)% versus the Index return of 0.50%.

V. Fund Attribution

The Fund’s overall underperformance was largely the result of equities and commodities underperforming U.S. TIPS by a meaningful margin during the period.

Since inception, unfavorable security selection within equities detracted from performance, with top-down positioning impacting

overall performance relatively modestly. Fixed-income security selection had a neutral impact on performance, while unfavorable bottom-up stock selection within commodity stocks (and to a lesser extent within real estate) detracted from relative performance.

Top-down contribution from risk management trades involving shorting foreign currencies through the use of forward contracts and tactical hedging strategies using put options implemented in the first half of 2012, have been a positive contributor to performance. However, the impact of asset allocation decisions since inception has contributed negatively to overall top-down contribution, due primarily to the overweight position held in commodity stocks in 2012 having offset positive asset allocation contributions in 2011 (which was due principally to an overweight to fixed-income during August and September followed by a re-risking move into commodity stocks in the fall).

A strategic 50% hedge of the equity exposure through index total return swaps created a small drag on performance as U.S. equities posted positive returns over the period. Negative effects from short positions in Treasury futures and Treasury total return swaps were mostly offset from the positive duration effects from investment-grade credit holdings.

Multi-Asset Real Return Fund

AVERAGE ANNUAL TOTAL RETURN¹

	Cumulative Inception to Date
Multi-Asset Real Return Fund, Class A		(7.37)%
Barclays Capital U.S. Treasury Inflation Notes 1-5 Year Index		0.50%

Comparison of Change in the Value of a $100,000 Investment in the Multi-Asset Real Return Fund, Class A, versus the Barclays Capital U.S. Treasury Inflation Notes 1-5 Year Index

¹  For the period ended May 31, 2012. Past performance is not an indication of future performance. Class A shares were offered beginning 7/29/11. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.

24 SEI Institutional Investments Trust / Annual Report / May 31, 2012

SUMMARY SCHEDULE OF INVESTMENTS

Large Cap Fund

May 31, 2012

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK — 96.3%
Consumer Discretionary — 14.2%
Bed Bath & Beyond* (A)		0.6	%		137,372	$	9,925
CBS, Cl B		0.7			406,240		12,967
Coach		1.1			280,550		18,923
Johnson Controls (A)		0.5			318,299		9,593
Lowe’s		0.6			390,792		10,442
Macy’s		0.6			256,220		9,749
NIKE, Cl B		0.9			156,009		16,877
Nordstrom		0.5			201,300		9,536
priceline.com* (A)		0.6			16,200		10,133
Target		0.8			247,200		14,316
Time Warner Cable, Cl A (A)		0.6			144,010		10,859
Other Securities		6.7					117,608
							250,928
Consumer Staples — 9.0%
Costco Wholesale		1.2			246,647		21,308
Estee Lauder, Cl A		0.6			210,769		11,413
Mead Johnson Nutrition, Cl A		0.7			162,616		13,130
Philip Morris International		0.8			174,540		14,750
Whole Foods Market		0.8			157,588		13,964
Other Securities		4.9					85,785
							160,350
Energy — 8.7%
Chevron		1.4			252,400		24,813
ConocoPhillips (A)		0.8			264,720		13,808
EOG Resources		0.6			113,300		11,251
Exxon Mobil		1.1			255,100		20,058
Schlumberger (A)		0.6			164,496		10,404
Other Securities		4.2					74,726
							155,060
Financials — 14.2%
American Tower, Cl A‡		0.6			148,043		9,605
Capital One Financial		0.8			281,110		14,441
Citigroup		0.7			454,100		12,038

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
JPMorgan Chase		1.2	%		630,820	$	20,912
Wells Fargo		1.2			641,100		20,547
Other Securities		9.7					173,597
							251,140
Health Care — 11.8%
Allergan		0.9			169,400		15,288
Amgen		1.0			257,994		17,936
Celgene*		0.5			140,240		9,571
Merck		0.8			388,400		14,596
Pfizer		1.5			1,240,340		27,126
Other Securities		7.1					124,497
							209,014
Industrials — 8.4%
General Electric		1.0			917,030		17,506
Precision Castparts		0.6			67,614		11,238
Other Securities		6.8					119,630
							148,374
Information Technology — 22.2%
Adobe Systems*		1.0			566,527		17,591
Apple*		3.2			97,410		56,277
Autodesk*		0.5			301,729		9,661
Cisco Systems		0.6			655,700		10,708
EMC*		0.5			402,346		9,596
Google, Cl A*		1.4			42,980		24,965
Intel		1.5			1,009,044		26,074
International Business Machines		0.7			64,079		12,361
Intuit (A)		0.7			233,810		13,147
Mastercard, Cl A		1.3			58,166		23,645
Microsoft		0.6			352,500		10,289
Oracle		0.6			421,450		11,156
Qualcomm		1.6			501,191		28,723
Visa, Cl A		0.9			140,075		16,137
Other Securities		7.1					123,767
							394,097
Materials — 2.7%
Other Securities		2.7					48,416
Telecommunication Services — 3.0%
AT&T		1.2			655,760		22,407
Crown Castle International*		0.7			219,000		11,957
Verizon Communications		1.1			464,276		19,333
Other Securities		0.0					162
							53,859
Utilities — 2.1%
Other Securities		2.1					37,695
Total Common Stock (Cost $1,531,606) ($ Thousands)							1,708,933

SEI Institutional Investments Trust / Annual Report / May 31, 2012 25

SUMMARY SCHEDULE OF INVESTMENTS

Large Cap Fund (Concluded)

May 31, 2012

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
WARRANT — 0.0%
Other Securities		0.0	%			$	281
Total Warrant (Cost $235) ($ Thousands)							281
AFFILIATED PARTNERSHIP — 7.3%
SEI Liquidity Fund, L.P. 0.170%†** (B)		7.3			130,858,729		129,964
Total Affiliated Partnership (Cost $130,859) ($ Thousands)							129,964
CASH EQUIVALENTS — 2.9%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.100%†**		2.8			49,845,264		49,845
Other Securities		0.1					1,474
Total Cash Equivalents (Cost $51,319) ($ Thousands)							51,319
U.S. TREASURY OBLIGATIONS (C) — 0.4%
Other Securities		0.4					6,667
Total U.S. Treasury Obligations (Cost $6,667) ($ Thousands)							6,667
Total Investments — 106.9% (Cost $1,720,686) ($ Thousands)						$	1,897,164

A list of the open futures contracts held by the Fund at May 31, 2012, are as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Depreciation ($ Thousands)
S&P 500 Index E-MINI		525		Jun-2012	$	(1,537	)
S&P Mid 400 Index E-MINI		84		Jun-2012		(296	)
					$	(1,833	)

For the year ended May 31, 2012, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on a Net Assets of $1,774,178 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2012.

‡ Real Estate Investment Trust.

† Investment in Affiliated Security (see Note 5).

(A) This security or a partial position of this security is on loan at May 31, 2012. The total value of securities on loan at May 31, 2012 was $123,579 ($ Thousands).

(B) This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of May 31, 2012 was $129,964 ($ Thousands).

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

Cl — Class

L.P. — Limited Partnership

S&P — Standard & Poors

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 list of the inputs used as of May 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,708,933	$	—	$	—	$	1,708,933
Warrant		281		—		—		281
Affiliated Partnership		—		129,964		—		129,964
Cash Equivalents		49,845		1,474		—		51,319
U.S. Treasury Obligations		—		6,667		—		6,667
Total Investments in Securities	$	1,759,059	$	138,105	$	—	$	1,897,164

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(1,833	)	$	—	$	—	$	(1,833	)

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

For the year ended May 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2012, there were no 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.

26 SEI Institutional Investments Trust / Annual Report / May 31, 2012

SUMMARY SCHEDULE OF INVESTMENTS

Large Cap Diversified Alpha Fund

May 31, 2012

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK†† — 95.8%
Consumer Discretionary — 16.3%
Bed Bath & Beyond*		0.9	%		38,646	$	2,792
Coach		1.0			49,236		3,321
Home Depot		0.5			35,040		1,729
Johnson Controls		0.7			78,060		2,353
Lowe’s		0.8			91,274		2,439
NIKE, Cl B		1.5			45,066		4,875
Nordstrom		0.7			45,240		2,143
priceline.com*		0.8			4,075		2,549
Staples		0.6			145,325		1,910
Target		0.9			47,613		2,757
TJX		0.7			50,400		2,140
Other Securities		7.2					23,130
							52,138
Consumer Staples — 8.0%
Colgate-Palmolive		0.6			18,775		1,846
Costco Wholesale		0.8			29,038		2,509
Philip Morris International		0.8			31,800		2,687
Whole Foods Market		0.9			31,359		2,779
Other Securities		4.9					15,738
							25,559
Energy — 8.5%
Chevron		0.8			25,800		2,536
EOG Resources		0.9			28,550		2,835
Exxon Mobil		1.8			73,850		5,807
Kinder Morgan		0.8			70,982		2,427
Other Securities		4.2					13,784
							27,389
Financials — 8.7%
American Tower, Cl A‡		1.0			46,840		3,039
IntercontinentalExchange*		0.6			16,400		2,008
Progressive		0.7			96,200		2,090
Other Securities		6.4					20,785
							27,922

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Health Care — 10.0%
Allergan		0.9	%		33,300	$	3,005
Amgen		0.8			36,197		2,516
Celgene*		1.0			46,017		3,141
Novo Nordisk ADR		0.6			14,300		1,913
Pfizer		1.1			153,850		3,365
Other Securities		5.6					18,075
							32,015
Industrials — 7.9%
General Electric		0.8			137,400		2,623
Lockheed Martin		0.5			21,200		1,755
Northrop Grumman		0.6			33,875		1,990
Other Securities		6.0					18,969
							25,337
Information Technology — 25.1%
Adobe Systems*		1.7			175,606		5,453
Apple*		3.2			17,975		10,385
Autodesk*		0.6			62,083		1,988
Automatic Data Processing		0.7			40,900		2,133
Cisco Systems		1.0			193,175		3,155
EMC*		0.7			88,792		2,118
Google, Cl A*		1.4			7,675		4,458
Intel		1.8			220,052		5,686
International Business Machines		1.5			24,397		4,706
Intuit		0.7			40,700		2,289
Mastercard, Cl A		1.3			10,075		4,096
Microsoft		1.3			143,725		4,195
Oracle		0.9			101,954		2,699
Qualcomm		1.7			94,629		5,423
Teradata*		0.5			26,800		1,781
VeriSign*		0.7			53,850		2,059
Visa, Cl A		1.5			43,150		4,971
Other Securities		3.9					12,892
							80,487
Materials — 4.7%
Other Securities		4.7					15,225
Telecommunication Services — 2.6%
Crown Castle
International*		1.0			58,700		3,205
Verizon Communications		1.3			98,948		4,120
Other Securities		0.3					945
							8,270
Utilities — 4.0%
NextEra Energy		0.7			33,050		2,159
Other Securities		3.3					10,822
							12,981
Total Common Stock (Cost $288,244) ($ Thousands)							307,323

SEI Institutional Investments Trust / Annual Report / May 31, 2012 27

SUMMARY SCHEDULE OF INVESTMENTS

Large Cap Diversified Alpha Fund (Concluded)

May 31, 2012

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
EXCHANGE-TRADED FUND — 0.5%
Other Securities		0.5	%			$	1,694
Total Exchange-Traded Fund (Cost $1,662) ($ Thousands)							1,694
WARRANT — 0.0%
Other Securities		0.0					94
Total Warrant (Cost $79) ($ Thousands)							94
CASH EQUIVALENT — 3.2%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.100%†**		3.2			10,050,587		10,051
Total Cash Equivalent (Cost $10,051) ($ Thousands)							10,051
U.S. TREASURY OBLIGATIONS (A) — 0.2%
Other Securities		0.2					636
Total U.S. Treasury Obligations (Cost $636) ($ Thousands)							636
Total Investments — 99.7% (Cost $300,672) ($ Thousands)						$	319,798

A list of the open futures contracts held by the Fund at May 31, 2012, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Depreciation ($ Thousands)
S&P 500 Index E-MINI		102		Jun-2012	$	(457	)

For the year ended May 31, 2012, 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 $320,907 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2012.

‡ Real Estate Investment Trust.

† Investment in Affiliated Security (see Note 5).

†† More narrow industries are utilized for compliance purposes whereas broader sectors are utilized for reporting purposes.

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

ADR — American Depositary Receipt

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 list of inputs used as of May 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	307,323	$	—	$	—	$	307,323
Exchange-Traded Fund		1,694		—		—		1,694
Warrant		94		—		—		94
Cash Equivalent		10,051		—		—		10,051
U.S. Treasury Obligations		—		636		—		636
Total Investments in Securities	$	319,162	$	636	$	—	$	319,798

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(457	)	$	—	$	—	$	(457	)

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

For the year ended May 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2012, there were no 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.

28 SEI Institutional Investments Trust / Annual Report / May 31, 2012

SUMMARY SCHEDULE OF INVESTMENTS

Large Cap Disciplined Equity Fund

May 31, 2012

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK — 84.5%
Consumer Discretionary — 10.5%
Comcast, Cl A (A)		0.5	%		840,625	$	24,143
Home Depot (A)		0.5			528,056		26,054
Macy’s		0.6			907,664		34,537
McDonald’s		0.5			287,232		25,661
Ross Stores		0.6			522,260		33,023
Viacom, Cl B		0.7			738,728		35,260
Walt Disney		0.4			520,109		23,774
Other Securities		6.7					367,375
							569,827
Consumer Staples — 8.5%
Coca-Cola Enterprises		0.5			924,992		25,308
CVS Caremark		0.7			874,883		39,317
Kraft Foods, Cl A		0.8			1,082,529		41,428
PepsiCo		0.6			498,849		33,847
Philip Morris International		0.9			550,655		46,536
Wal-Mart Stores		0.9			774,199		50,958
Other Securities		4.1					225,468
							462,862
Energy — 9.3%
Chevron		1.9			1,057,872		103,999
ConocoPhillips (A)		0.7			717,391		37,419
Exxon Mobil		2.5			1,702,303		133,852
National Oilwell Varco		0.5			396,273		26,451
Occidental Petroleum		0.7			445,987		35,353
Schlumberger (A)		0.7			580,701		36,729
Other Securities		2.3					133,050
							506,853
Financials — 11.4%
American Express		0.8			745,993		41,649
Citigroup		1.1			2,244,350		59,498
Goldman Sachs Group		0.5			252,522		24,166
JPMorgan Chase		1.0			1,719,332		56,996
Wells Fargo		1.7			2,810,583		90,079
Other Securities		6.3					345,202
							617,590

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Health Care — 10.7%
Amgen		1.0	%		769,084	$	53,467
Eli Lilly		0.5			724,202		29,656
Gilead Sciences*		0.5			526,611		26,304
Johnson & Johnson		1.3			1,084,956		67,734
Merck		0.7			1,054,727		39,637
Pfizer		1.0			2,429,756		53,139
UnitedHealth Group		0.7			660,676		36,846
Other Securities		5.0					273,246
							580,029
Industrials — 7.7%
Caterpillar		0.5			274,856		24,083
General Electric		1.1			3,081,659		58,829
Honeywell International		1.0			984,304		54,786
Other Securities		5.1					280,222
							417,920
Information Technology — 18.9%
Apple*		4.4			413,364		238,813
Cisco Systems		1.2			4,003,049		65,370
Google, Cl A*		0.9			82,483		47,911
Intel		1.3			2,795,866		72,245
International Business Machines		2.1			576,144		111,138
Mastercard, Cl A		0.5			64,857		26,365
Microsoft		1.5			2,785,104		81,297
Oracle		1.0			2,003,477		53,032
Qualcomm		0.9			878,034		50,320
Texas Instruments		0.5			842,496		23,994
Visa, Cl A		0.5			236,982		27,300
Other Securities		4.1					232,103
							1,029,888
Materials — 3.4%
Freeport-McMoRan
Copper & Gold, Cl B		0.6			1,019,155		32,654
Other Securities		2.8					151,028
							183,682
Telecommunication Services — 1.5%
AT&T		0.7			1,074,620		36,720
Verizon Communications		0.7			912,664		38,003
Other Securities		0.1					7,932
							82,655
Utilities — 2.6%
AES*		0.6			2,676,395		32,358
Other Securities		2.0					108,916
							141,274
Total Common Stock (Cost $4,338,511) ($ Thousands)							4,592,580

SEI Institutional Investments Trust / Annual Report / May 31, 2012 29

SUMMARY SCHEDULE OF INVESTMENTS

Large Cap Disciplined Equity Fund (Concluded)

May 31, 2012

Description	Percentage of Net Assets (%)			Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
WARRANT — 0.0%
Other Securities		0.0	%			$	152
Total Warrant (Cost $127) ($ Thousands)							152
AFFILIATED PARTNERSHIPS — 16.3%
SEI LIBOR Plus Portfolio†		11.0			83,124,748		597,667
SEI Liquidity Fund, L.P. 0.170%†** (B)		5.3			298,225,493		291,203
Total Affiliated Partnerships (Cost $1,060,816) ($ Thousands)							888,870
CASH EQUIVALENT — 3.6%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.100%†**		3.6			196,311,256		196,311
Total Cash Equivalent (Cost $196,311) ($ Thousands)							196,311
U.S. TREASURY OBLIGATIONS (C) (D) — 1.4%
U.S. Treasury Bills
0.050%, 09/20/12		1.3		$	72,959		72,940
0.040%, 06/28/12		0.1			2,931		2,931
Total U.S. Treasury Obligations (Cost $75,877) ($ Thousands)							75,871
Total Investments — 105.8% (Cost $5,671,642) ($ Thousands)						$	5,753,784

A list of the open futures contracts held by the Fund at May 31, 2012, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Depreciation ($ Thousands)
S&P 500 Index E-MINI		1,746		Jun-2012	$	(6,708	)
S&P Composite Index		2,059		Jun-2012		(23,954	)
					$	(30,662	)

For the year ended May 31, 2012, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on a Net Assets of $5,436,390 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2012.

† Investment in Affiliated Security (see Note 5).

(A) This security or a partial position of this security is on loan at May 31, 2012. The total value of securities on loan at May 31, 2012 was $290,646 ($ Thousands).

(B) This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of May 31, 2012 was $291,203 ($ 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

LIBOR — London Interbank Offered Rate

L.P. — Limited Partnership

S&P — Standard & Poor’s

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest unaffiliated holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a list of inputs used as of May 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	4,592,580	$	—	$	—	$	4,592,580
Warrant		152		—		—		152
Affiliated Partnerships		597,667		291,203		—		888,870
Cash Equivalent		196,311		—		—		196,311
U.S. Treasury Obligations		—		75,871		—		75,871
Total Investments in Securities	$	5,386,710	$	367,074	$	—	$	5,753,784

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(30,662	)	$	—	$	—	$	(30,662	)

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

For the year ended May 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2012, there were no 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.

30 SEI Institutional Investments Trust / Annual Report / May 31, 2012

SUMMARY SCHEDULE OF INVESTMENTS

Large Cap Index Fund

May 31, 2012

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK — 97.2%
Consumer Discretionary — 11.8%
Amazon.com*		0.6	%		33,289	$	7,088
Comcast, Cl A		0.6			252,325		7,295
Home Depot (A)		0.6			146,215		7,214
McDonald’s		0.7			94,880		8,477
Walt Disney		0.6			163,772		7,486
Other Securities		8.7					111,192
							148,752
Consumer Staples — 10.1%
Altria Group		0.5			191,540		6,166
Coca-Cola		1.1			180,720		13,505
Coca-Cola Enterprises		0.0			27,915		764
CVS Caremark		0.4			117,252		5,269
Kraft Foods, Cl A		0.5			151,206		5,787
PepsiCo		0.8			144,552		9,808
Philip Morris International		1.1			162,668		13,747
Procter & Gamble		1.3			255,374		15,907
Wal-Mart Stores		0.9			162,379		10,688
Other Securities		3.5					45,715
							127,356
Energy — 9.8%
Chevron		1.4			183,902		18,079
ConocoPhillips (A)		0.5			121,476		6,336
Exxon Mobil		2.7			427,738		33,633
Occidental Petroleum		0.5			74,354		5,894
Schlumberger		0.6			124,163		7,853
Other Securities		4.1					51,296
							123,091
Financials — 14.5%
American Express		0.4			96,134		5,367
Bank of America		0.6			981,863		7,217
Berkshire Hathaway, Cl B*		1.0			160,100		12,706
Citigroup		0.6			265,804		7,046
JPMorgan Chase		1.0			363,534		12,051
SEI† (B)		0.0			14,442		259
US Bancorp		0.4			176,297		5,485

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Wells Fargo		1.2	%		449,966	$	14,421
Other Securities		9.3					116,979
							181,531
Health Care — 11.3%
Abbott Laboratories		0.7			142,176		8,785
Amgen		0.4			72,858		5,065
Bristol-Myers Squibb		0.4			156,059		5,203
Johnson & Johnson		1.3			250,809		15,658
Merck		0.8			282,343		10,610
Pfizer		1.2			684,980		14,980
UnitedHealth Group		0.5			99,120		5,528
Other Securities		6.0					76,684
							142,513
Industrials — 10.6%
3M (A)		0.4			65,033		5,489
Caterpillar (A)		0.4			58,988		5,169
General Electric		1.5			970,223		18,522
Union Pacific (A)		0.4			44,916		5,004
United Parcel Service, Cl B		0.4			67,241		5,039
United Technologies		0.5			83,690		6,202
Other Securities		7.0					87,211
							132,636
Information Technology — 18.7%
Apple*		3.9			84,645		48,902
Cisco Systems		0.7			503,127		8,216
Google, Cl A*		1.1			23,029		13,376
Intel		0.9			457,058		11,810
International Business Machines		1.7			110,798		21,373
Microsoft		1.6			678,900		19,817
Oracle		0.8			351,420		9,302
Qualcomm		0.7			152,759		8,755
Visa, Cl A		0.5			47,800		5,507
Other Securities		6.8					88,005
							235,063
Materials — 3.8%
Other Securities		3.8					47,423
Telecommunication Services — 2.9%
AT&T		1.5			541,733		18,511
Verizon Communications		0.9			258,776		10,775
Other Securities		0.5					6,949
							36,235
Utilities — 3.7%
Other Securities		3.7					46,151
Total Common Stock (Cost $1,081,582) ($ Thousands)							1,220,751

SEI Institutional Investments Trust / Annual Report / May 31, 2012 31

SUMMARY SCHEDULE OF INVESTMENTS

Large Cap Index Fund (Concluded)

May 31, 2012

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
WARRANT — 0.0%
Other Securities		0.0	%			$	101
Total Warrant (Cost $84) ($ Thousands)							101
AFFILIATED PARTNERSHIP — 9.9%
SEI Liquidity Fund, L.P. 0.170%†** (C)		9.9			125,197,658		124,102
Total Affiliated Partnership (Cost $125,198) ($ Thousands)							124,102
CASH EQUIVALENT — 3.3%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.100%†**		3.3			40,836,488		40,836
Total Cash Equivalent (Cost $40,836) ($ Thousands)							40,836
U.S. TREASURY OBLIGATION (D) — 0.2%
Other Securities		0.2					2,950
Total U.S. Treasury Obligation (Cost $2,950) ($ Thousands)							2,950
Total Investments — 110.6% (Cost $1,250,650) ($ Thousands)						$	1,388,740

A list of the open futures contracts held by the Fund at May 31, 2012, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Depreciation ($ Thousands)
S&P 500 Index E-MINI		631		Jun-2012	$	(3,065	)
S&P Mid 400 Index E-MINI		50		Jun-2012		(366	)
					$	(3,431	)

For the year ended May 31, 2012, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on a Net Assets of $1,255,669 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2012.

† Investment in Affiliated Security (see Note 5).

(A) This security or a partial position of this security is on loan at May 31, 2012. The total value of securities on loan at May 31, 2012 was $125,143 ($ Thousands).

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

(C) This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of May 31, 2012 was $124,102 ($ 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 unaffiliated holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not

required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a list of the inputs used as of May 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,220,751	$	—	$	—	$	1,220,751
Warrant		101		—		—		101
Affiliated Partnership		—		124,102		—		124,102
Cash Equivalent		40,836		—		—		40,836
U.S. Treasury Obligation		—		2,950		—		2,950
Total Investments in Securities	$	1,261,688	$	127,052	$	—	$	1,388,740

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(3,431	)	$	—	$	—	$	(3,431	)

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

For the year ended May 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2012, there were no 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.

32 SEI Institutional Investments Trust / Annual Report / May 31, 2012

SUMMARY SCHEDULE OF INVESTMENTS

Small Cap Fund

May 31, 2012

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK — 96.4%
Consumer Discretionary — 13.3%
BJ’s Restaurants* (A)		0.3	%		44,603	$	1,953
Francesca’s Holdings* (A)		0.3			81,230		1,906
Life Time Fitness* (A)		0.3			44,879		1,923
Matthews International, Cl A (A)		0.3			71,478		2,153
National CineMedia		0.4			202,315		2,729
Regis (A)		0.3			134,826		2,469
Scientific Games, Cl A*		0.2			222,435		1,900
Skullcandy* (A)		0.3			152,336		1,999
WMS Industries*		0.3			92,586		1,901
Zumiez* (A)		0.4			83,759		3,081
Other Securities		10.2					78,356
							100,370
Consumer Staples — 2.6%
Other Securities		2.6					19,777
Energy — 6.6%
Berry Petroleum, Cl A (A)		0.3			48,147		1,873
Comstock Resources* (A)		0.3			165,413		2,473
Goodrich Petroleum* (A)		0.3			165,807		2,449
World Fuel Services (A)		0.3			53,353		2,001
Other Securities		5.4					41,161
							49,957
Financials — 20.4%
Alterra Capital Holdings (A)		0.3			91,685		2,036
CNO Financial Group (A)		0.2			271,000		1,859
Endurance Specialty Holdings		0.3			53,719		2,098
Financial Engines* (A)		0.3			97,751		2,051
Jones Lang LaSalle		0.3			28,596		2,073
Mid-America Apartment Communities‡		0.4			42,162		2,841
ProAssurance		0.3			25,926		2,285
Signature Bank NY* (A)		0.3			32,744		2,011

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Simon Property Group‡		0.3	%		15,241	$	2,248
Other Securities		17.7					134,159
							153,661
Health Care — 11.8%
Ariad Pharmaceuticals* (A)		0.3			142,646		2,364
WellCare Health Plans*		0.3			35,213		1,988
Other Securities		11.2					84,719
							89,071
Industrials — 17.2%
Acacia Research*		0.3			53,668		1,866
EMCOR Group		0.3			94,450		2,583
FTI Consulting* (A)		0.3			65,500		2,068
G&K Services, Cl A		0.3			65,545		1,913
Polypore International* (A)		0.4			88,391		3,270
Tetra Tech* (A)		0.4			113,838		2,845
Wabash National* (A)		0.3			357,697		2,490
Wabtec		0.3			28,649		2,080
WESCO International* (A)		0.3			32,454		1,931
Other Securities		14.3					108,707
							129,753
Information Technology — 17.7%
Cavium* (A)		0.3			95,579		2,314
CoStar Group* (A)		0.4			35,183		2,600
Diebold		0.3			58,148		2,152
EarthLink		0.2			228,435		1,844
Gartner*		0.3			47,357		1,926
Jack Henry & Associates		0.3			71,763		2,369
Mellanox Technologies*		0.3			33,995		2,055
Parametric Technology*		0.5			170,084		3,436
SolarWinds* (A)		0.3			48,190		2,210
VistaPrint*		0.3			64,007		2,169
Other Securities		14.5					110,008
							133,083
Materials — 4.0%
PolyOne		0.3			143,570		1,900
Sensient Technologies		0.3			54,030		1,973
Other Securities		3.4					26,335
							30,208
Telecommunication Services — 0.7%
Other Securities		0.7					4,766
Utilities — 2.1%
Cleco		0.3			49,348		2,015
Portland General Electric		0.3			103,143		2,594
Other Securities		1.5					11,144
							15,753
Total Common Stock (Cost $744,594) ($ Thousands)							726,399

SEI Institutional Investments Trust / Annual Report / May 31, 2012 33

SUMMARY SCHEDULE OF INVESTMENTS

Small Cap Fund (Concluded)

May 31, 2012

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
EXCHANGE-TRADED FUNDS —0.4%
Other Securities		0.4	%			$	2,803
Total Exchange-Traded Funds (Cost $2,790) ($ Thousands)							2,803
CONVERTIBLE BONDS — 0.0%
Consumer Discretionary — 0.0%
Other Securities		0.0					28
Energy — 0.0%
Other Securities		0.0					143
Financials — 0.0%
Other Securities		0.0					2
Total Convertible Bonds (Cost $646) ($ Thousands)							173
PREFERRED STOCK — 0.0%
Consumer Discretionary — 0.0%
Other Securities		0.0					154
Energy — 0.0%
Other Securities		0.0					44
Financials — 0.0%
Other Securities		0.0					—
Total Preferred Stock (Cost $1,003) ($ Thousands)							198
WARRANTS — 0.0%
Other Securities		0.0					—
Total Warrants (Cost $—) ($ Thousands)							—
AFFILIATED PARTNERSHIP — 26.3%
SEI Liquidity Fund, L.P. 0.170%**† (B)		26.3			203,999,268		197,888
Total Affiliated Partnership (Cost $203,999) ($ Thousands)							197,888
CASH EQUIVALENT — 4.6%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.100%**†		4.6			34,817,439		34,817
Total Cash Equivalent (Cost $34,817) ($ Thousands)							34,817

Description	Percentage of Net Assets (%)			Face Amount ($ Thousands)		Market Value ($ Thousands)
U.S. TREASURY OBLIGATIONS — 0.5%
U.S. Treasury Bills 0.069%, 06/28/12 (C) (D)		0.4	%	$	2,810	$	2,810
Other Securities		0.1					758
Total U.S. Treasury Obligations (Cost $3,568) ($ Thousands)							3,568
Total Investments — 128.2% (Cost $991,417) ($ Thousands)						$	965,846

A list of the open futures contracts held by the Fund at May 31, 2012, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Depreciation ($ Thousands)
Russell 2000 Index E-MINI		397		Jun-2012	$	(2,010	)

For the year ended May 31, 2012, 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 $753,232 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2012.

‡ Real Estate Investment Trust.

† Investment in Affiliated Security (see Note 5).

(A) This security or a partial position of this security is on loan at May 31, 2012. The total value of securities on loan at May 31, 2012 was $197,048 ($ Thousands).

(B) This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of May 31, 2012 was $197,888 ($ 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

NY — New York

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 list of the inputs used as of May 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	726,209	$	3	$	187	$	726,399
Exchange-Traded Funds		2,803		—		—		2,803
Convertible Bonds		—		145		28		173
Preferred Stock		—		198		—		198
Warrants		—		—		—		—
Affiliated Partnership		—		197,888		—		197,888
Cash Equivalent		34,817		—		—		34,817
U.S. Treasury Obligations		—		3,568		—		3,568
Total Investments in Securities	$	763,829	$	201,802	$	215	$	965,846

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(2,010	)	$	—	$	—	$	(2,010	)

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

34 SEI Institutional Investments Trust / Annual Report / May 31, 2012

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands) as of May 31, 2012:

	Investments in Common Stock			Investments in Convertible Bonds
Beginning balance as of June 1, 2011	$	261		$	114
Accrued discounts/premiums		—			—
Realized gain/(loss)		—			152
Change in unrealized appreciation/(depreciation)		(74	)		(86	)
Purchases		—			—
Sales		—			(152	)
Net transfer into Level 3		—			—
Net transfer out of Level 3		—			—
Ending balance as of May 31, 2012	$	187		$	28
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	(74	)	$	(86	)

For the year ended May 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2012, there were no 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 / Annual Report / May 31, 2012 35

SUMMARY SCHEDULE OF INVESTMENTS

Small Cap II Fund

May 31, 2012

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK — 89.4%
Consumer Discretionary — 14.0%
ANN*		0.4	%		8,685	$	234
BJ’s Restaurants*		0.4			5,273		231
Cooper Tire & Rubber		0.5			19,953		309
Francesca’s Holdings*		0.3			7,947		186
Scientific Games, Cl A*		0.3			23,539		201
Select Comfort*		0.4			7,962		218
Zumiez*		0.4			6,532		240
Other Securities		11.3					7,080
							8,699
Consumer Staples — 4.6%
Casey’s General Stores		0.4			4,249		241
Fresh Del Monte Produce		0.3			8,400		197
Ingredion		0.4			4,798		245
Lancaster Colony		0.3			2,700		182
Other Securities		3.2					1,976
							2,841
Energy — 4.7%
Berry Petroleum, Cl A		0.4			6,195		241
Other Securities		4.3					2,683
							2,924
Financials — 18.3%
Employers Holdings		0.4			12,779		216
Endurance Specialty Holdings		0.4			6,152		240
Horace Mann Educators		0.4			15,596		267
Iberiabank		0.4			4,871		236
Infinity Property & Casualty		0.4			5,036		270
Mid-America Apartment Communities‡		0.6			5,265		355
National Penn Bancshares		0.3			23,164		206
PacWest Bancorp		0.4			10,873		248
Platinum Underwriters Holdings		0.3			5,307		193
ProAssurance		0.5			3,302		291
Signature Bank NY*		0.4			4,085		251
Zions Bancorporation		0.4			12,525		238
Other Securities		13.4					8,375
							11,386

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Health Care — 11.2%
Akorn*		0.5	%		21,038	$	287
HealthSouth*		0.3			10,125		194
HMS Holdings*		0.3			6,859		184
ICU Medical*		0.3			3,661		188
PDL BioPharma		0.4			34,500		224
Volcano*		0.3			7,362		210
Other Securities		9.1					5,692
							6,979
Industrials — 15.1%
Actuant, Cl A		0.4			9,262		242
Advisory Board*		0.4			2,354		228
G&K Services, Cl A		0.4			8,614		251
Genesee & Wyoming, Cl A*		0.3			3,739		187
Hexcel*		0.4			10,757		262
IDEX		0.5			7,206		286
Interface, Cl A		0.3			15,994		203
Teledyne Technologies*		0.4			4,315		257
Tetra Tech*		0.4			9,583		239
TrueBlue*		0.3			12,210		183
Other Securities		11.3					7,027
							9,365
Information Technology — 14.5%
Aspen Technology*		0.4			9,990		221
CoStar Group*		0.3			2,750		203
Emulex*		0.3			28,130		189
Parametric Technology*		0.6			19,541		395
QLIK Technologies*		0.3			7,949		181
SolarWinds*		0.3			4,704		216
Other Securities		12.3					7,601
							9,006
Materials — 3.9%
Other Securities		3.9					2,414
Telecommunication Services — 0.4%
Other Securities		0.4					217
Utilities — 2.7%
Cleco		0.4			5,627		230
Great Plains Energy		0.5			17,219		343
Portland General Electric		0.5			12,167		306
Other Securities		1.3					804
							1,683
Total Common Stock (Cost $57,509) ($ Thousands)							55,514

36 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
EXCHANGE-TRADED FUNDS — 0.7%
iShares Russell 2000 Index Fund		0.4	%		3,263	$	249
Other Securities		0.3					163
Total Exchange-Traded Funds (Cost $424) ($ Thousands)							412
CASH EQUIVALENT — 3.0%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.100%†**		3.0			1,833,696		1,834
Total Cash Equivalent (Cost $1,834) ($ Thousands)							1,834
U.S. TREASURY OBLIGATION (A) — 0.1%
Other Securities		0.1					82
Total U.S. Treasury Obligation (Cost $82) ($ Thousands)							82
Total Investments — 93.2% (Cost $59,849) ($ Thousands)						$	57,842

A list of the open futures contracts held by the Fund at May 31, 2012, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Depreciation ($ Thousands)
Russell 2000 Index E-MINI		68		Jun-2012	$	(23	)

For the year ended May 31, 2012, the total amount of all future contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on Net Assets of $62,066 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2012.

† Investment in Affiliated Security (see Note 5).

‡ Real Estate Investment Trust.

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

Cl — Class

NY — New York

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 list of the inputs used as of May 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	55,514	$	—	$	—	$	55,514
Exchange-Traded Funds		412		—		—		412
Cash Equivalent		1,834		—		—		1,834
U.S. Treasury Obligation		—		82		—		82
Total Investments in Securities	$	57,760	$	82	$	—	$	57,842

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(23	)	$	—	$	—	$	(23	)

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

For the year ended May 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2012, there were no 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 / Annual Report / May 31, 2012 37

SUMMARY SCHEDULE OF INVESTMENTS

Small/Mid Cap Equity Fund

May 31, 2012

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK — 95.4%
Consumer Discretionary — 14.0%
American Eagle Outfitters		0.3	%		344,098	$	6,645
Buffalo Wild Wings* (A)		0.3			75,110		6,393
Dick’s Sporting Goods (A)		0.3			133,550		6,210
DR Horton (A)		0.4			458,362		7,609
DSW, Cl A		0.4			136,720		8,159
Hibbett Sports* (A)		0.4			128,506		7,200
Penn National Gaming*		0.3			129,905		5,969
Wyndham Worldwide (A)		0.3			116,223		5,788
Other Securities		11.3					221,015
							274,988
Consumer Staples — 2.8%
Casey’s General Stores (A)		0.4			155,177		8,788
Other Securities		2.4					47,562
							56,350
Energy — 5.5%
Berry Petroleum, Cl A (A)		0.3			152,815		5,946
Dresser-Rand Group*		0.3			132,278		5,804
Dril-Quip* (A)		0.3			94,930		5,752
Other Securities		4.6					92,325
							109,827
Financials — 20.3%
American Financial Group		0.3			165,147		6,423
Equity Residential‡		0.3			89,000		5,438
Huntington Bancshares		0.3			866,089		5,664
Lexington Realty Trust‡ (A)		0.3			653,766		5,433
ProAssurance		0.3			66,767		5,885
Simon Property Group‡		0.4			49,879		7,358
Western Alliance Bancorp*		0.3			664,923		5,798
Zions Bancorporation (A)		0.5			483,287		9,197
Other Securities		17.6					352,078
							403,274

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Health Care — 11.8%
Cooper (A)		0.3	%		75,897	$	6,465
Gen-Probe* (A)		0.5			119,625		9,679
HealthSouth*		0.4			382,552		7,322
PAREXEL International*		0.3			236,769		6,336
Questcor Pharmaceuticals* (A)		0.4			188,301		7,796
Salix Pharmaceuticals* (A)		0.4			148,560		7,697
SXC Health Solutions* (A)		0.4			76,808		6,890
Volcano* (A)		0.4			254,091		7,264
WellCare Health Plans*		0.3			114,945		6,491
Other Securities		8.4					165,647
							231,587
Industrials — 15.9%
BE Aerospace*		0.5			206,082		8,927
Landstar System		0.5			176,658		9,310
MSC Industrial Direct, Cl A		0.4			112,545		8,071
Old Dominion Freight Line* (A)		0.4			191,937		8,361
Polypore International* (A)		0.5			283,865		10,500
Robbins & Myers		0.3			129,504		5,904
Roper Industries (A)		0.4			79,592		8,056
TransDigm Group*		0.3			45,822		5,636
Other Securities		12.6					254,869
							319,634
Information Technology — 16.6%
Cadence Design Systems* (A)		0.3			599,660		6,117
CoStar Group* (A)		0.4			103,975		7,683
Parametric Technology* (A)		0.3			324,702		6,559
SolarWinds* (A)		0.3			132,141		6,060
Solera Holdings		0.4			159,420		7,078
VistaPrint*		0.3			174,708		5,919
Other Securities		14.6					288,497
							327,913
Materials — 4.3%
PolyOne		0.3			477,004		6,311
Other Securities		4.0					77,741
							84,052
Telecommunication Services — 0.6%
Other Securities		0.6					12,421
Utilities — 3.6%
Great Plains Energy (A)		0.4			443,945		8,843
Portland General Electric		0.4			280,413		7,052
Other Securities		2.8					54,910
							70,805
Total Common Stock (Cost $1,842,162) ($ Thousands)							1,890,851

38 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
EXCHANGE-TRADED FUNDS — 0.6%
iShares Russell 2000 Growth Index Fund (A)		0.5	%		114	$	9,948
Other Securities		0.1					2,757
Total Exchange-Traded Funds (Cost $13,236) ($ Thousands)							12,705
CONVERTIBLE BONDS — 0.1%
Energy — 0.1%
Other Securities		0.1					974
Financials — 0.0%
Other Securities		0.0					6
Total Convertible Bonds (Cost $973) ($ Thousands)							980
PREFERRED STOCK — 0.0%
Consumer Discretionary — 0.0%
Other Securities		0.0					462
Energy — 0.0%
Other Securities		0.0					43
Financials — 0.0%
Other Securities		0.0					—
Total Preferred Stock (Cost $1,387) ($ Thousands)							505
WARRANTS — 0.0%
Other Securities		0.0					—
Total Warrants (Cost $—) ($ Thousands)							—
AFFILIATED PARTNERSHIP — 26.4%
SEI Liquidity Fund, L.P. 0.170%†** (B)		26.4			530,508,162		522,029
Total Affiliated Partnership (Cost $530,508) ($ Thousands)							522,029
CASH EQUIVALENT — 3.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.100%†**		3.4			67,835,123		67,835
Total Cash Equivalent (Cost $67,835) ($ Thousands)							67,835

Description	Percentage of Net Assets (%)			Face Amount ($ Thousands)		Market Value ($ Thousands)
U.S. TREASURY OBLIGATIONS — 0.4%
U.S. Treasury Bills 0.055%, 06/28/12 (C) (D)		0.3	%	$	6,128	$	6,128
Other Securities		0.1					2,137
Total U.S. Treasury Obligations (Cost $8,265) ($ Thousands)							8,265
Total Investments — 126.3% (Cost $2,464,366) ($ Thousands)						$	2,503,170

A list of the open futures contracts held by the Fund at May 31, 2012, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Depreciation ($ Thousands)
Russell 2000 Index E-MINI		122		Jun-2012	$	(831	)
S&P Mid 400 Index E-MINI		104		Jun-2012		(713	)
					$	(1,544	)

For the year ended May 31, 2012, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on a Net Assets of $1,981,358 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2012.

‡ Real Estate Investment Trust.

† Investment in Affiliated Security (see Note 5).

(A) This security or a partial position of this security is on loan at May 31, 2012. The total value of securities on loan at May 31, 2012 was $512,781 ($ 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 May 31, 2012 was $522,029 ($ 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 & Poor’s

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest unaffiliated holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a list of the inputs used as of May 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,890,689	$	14	$	148	$	1,890,851
Exchange Traded Funds		12,705		—		—		12,705
Convertible Bonds		—		980		—		980
Preferred Stock		—		505		—		505
Warrants		—		—		—		—
Affiliated Partnership		—		522,029		—		522,029
Cash Equivalent		67,835		—		—		67,835
U.S. Treasury Obligations		—		8,265		—		8,265
Total Investments in Securities	$	1,971,229	$	531,793	$	148	$	2,503,170

SEI Institutional Investments Trust / Annual Report / May 31, 2012 39

SUMMARY SCHEDULE OF INVESTMENTS

Small/Mid Cap Equity Fund (Concluded)

May 31, 2012

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(1,544	)	$	—	$	—	$	(1,544	)

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

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands) as of May 31, 2012:

	Investments in Common Stock
Beginning balance as of June 1, 2011	$	203
Accrued discounts/premiums		—
Realized gain/(loss)		—
Change in unrealized appreciation/(depreciation)		(55	)
Purchases		—
Sales		—
Net transfer into Level 3		—
Net transfer out of Level 3		—
Ending balance as of May 31, 2012	$	148
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	(55	)

For the year ended May 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2012, there were no 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.

40 SEI Institutional Investments Trust / Annual Report / May 31, 2012

SUMMARY SCHEDULE OF INVESTMENTS

U.S. Managed Volatility Fund

May 31, 2012

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK — 97.9%
Consumer Discretionary — 9.1%
Advance Auto Parts		0.6	%		62,935	$	4,590
AutoZone*		0.8			14,716		5,596
DIRECTV, Cl A*		0.7			120,200		5,343
Dollar Tree*		0.7			47,121		4,862
Target		0.7			83,200		4,818
Other Securities		5.6					40,589
							65,798
Consumer Staples — 19.7%
Altria Group		0.8			170,468		5,487
Church & Dwight		0.8			113,799		6,059
Clorox		0.8			78,621		5,409
ConAgra Foods		0.9			271,368		6,825
CVS Caremark		0.7			110,900		4,984
Hershey		0.8			87,357		5,841
Hormel Foods		1.2			296,470		8,867
Kimberly-Clark		0.8			72,200		5,729
Lorillard		1.1			64,150		7,929
Monster Beverage*		1.1			106,112		7,704
Philip Morris International		0.7			64,560		5,456
Reynolds American		1.1			194,279		8,129
Wal-Mart Stores		1.0			106,900		7,036
Other Securities		7.9					57,107
							142,562
Energy — 3.1%
Chevron		0.9			63,800		6,272
Exxon Mobil		1.1			101,400		7,973
Imperial Oil		0.2			43,400		1,743
Other Securities		0.9					6,348
							22,336
Financials — 11.2%
Everest Re Group		0.8			56,158		5,735
PartnerRe		0.7			74,353		5,269
RenaissanceRe Holdings		0.7			64,690		4,986
Other Securities		9.0					64,998
							80,988

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Health Care — 19.9%
Abbott Laboratories		1.3	%		150,595	$	9,305
Alexion Pharmaceuticals*		0.8			65,452		5,928
AmerisourceBergen		1.2			241,762		8,943
Amgen		1.7			174,682		12,144
Becton Dickinson		0.7			64,988		4,753
Cardinal Health		0.9			155,299		6,426
Eli Lilly		1.1			198,970		8,148
Johnson & Johnson		1.0			117,178		7,315
McKesson		1.2			95,514		8,336
Merck		1.1			209,100		7,858
Pfizer		0.9			293,400		6,417
Other Securities		8.0					57,934
							143,507
Industrials — 5.5%
L-3 Communications Holdings, Cl 3		0.7			76,300		5,203
Lockheed Martin		0.9			73,974		6,125
Raytheon		0.8			108,100		5,440
Other Securities		3.1					22,685
							39,453
Information Technology — 7.3%
Amdocs		0.7			159,889		4,597
IAC		0.7			111,364		5,002
Intel		0.8			225,700		5,832
International Business Machines		0.7			27,055		5,219
Other Securities		4.4					32,242
							52,892
Materials — 2.7%
Other Securities		2.7					19,131
Telecommunication Services — 3.5%
AT&T		1.3			270,000		9,226
Other Securities		2.2					16,157
							25,383
Utilities — 15.9%
Alliant Energy		0.7			118,714		5,187
American Water Works		0.9			194,629		6,658
CMS Energy		1.2			364,758		8,499
Consolidated Edison		0.8			89,298		5,390
DTE Energy		1.2			155,333		8,828
Hawaiian Electric Industries		0.7			172,993		4,776
PG&E		1.0			161,400		7,053
Pinnacle West Capital		0.8			111,361		5,499
Other Securities		8.6					62,889
							114,779
Total Common Stock (Cost $674,631) ($ Thousands)							706,829

SEI Institutional Investments Trust / Annual Report / May 31, 2012 41

SUMMARY SCHEDULE OF INVESTMENTS

U.S. Managed Volatility Fund (Concluded)

May 31, 2012

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
CASH EQUIVALENT — 1.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.100%†**		1.4	%		10,276,895	$	10,277
Total Cash Equivalent (Cost $10,277) ($ Thousands)							10,277
U.S. TREASURY OBLIGATIONS (A) — 0.3%
Other Securities		0.3					1,771
Total U.S. Treasury Obligations (Cost $1,771) ($ Thousands)							1,771
Total Investments — 99.6% (Cost $686,679) ($ Thousands)						$	718,877

A list of the open futures contracts held by the Fund at May 31, 2012, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Depreciation ($ Thousands)
S&P 500 Index E-MINI		107		Jun-2012	$	(199	)

For the year ended May 31, 2012, 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 $722,082 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2012.

† 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 and Poor’s

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a list of the inputs used as of, May 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	706,829	$	—	$	—	$	706,829
Cash Equivalent		10,277		—		—		10,277
U.S. Treasury Obligations		—		1,771		—		1,771
Total Investments in Securities	$	717,106	$	1,771	$	—	$	718,877

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(199	)	$	—	$	—	$	(199	)

* Future contracts are valued at the unrealized depreciation on the instrument.

For the year ended May 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2012, there were no 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.

42 SEI Institutional Investments Trust / Annual Report / May 31, 2012

SUMMARY SCHEDULE OF INVESTMENTS

International Equity Fund

May 31, 2012

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK — 97.8%
Argentina — 0.0%
Other Securities		0.0	%			$	10
Australia — 3.6%
Australia & New Zealand Banking Group		0.5			72,744		1,475
Newcrest Mining		0.6			75,114		1,815
Other Securities		2.5					8,401
							11,691
Austria — 0.0%
Other Securities		0.0					1
Belgium — 1.9%
InBev		1.0			49,514		3,352
Other Securities		0.9					2,664
							6,016
Brazil — 0.6%
Other Securities		0.6					2,041
Cambodia — 0.0%
Other Securities		0.0					7
Canada — 4.5%
Barrick Gold		0.6			49,674		1,940
Other Securities		3.9					12,501
							14,441
Chile — 0.2%
Other Securities		0.2					759
China — 0.8%
Other Securities		0.8					2,561
Colombia — 0.1%
Other Securities		0.1					144

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Czech Republic — 0.1%
Other Securities		0.1	%			$	347
Denmark — 1.1%
Novo-Nordisk, Cl B		0.5			11,737		1,561
Other Securities		0.6					1,984
							3,545
Finland — 0.5%
Other Securities		0.5					1,616
France — 8.4%
LVMH Moet Hennessy Louis Vuitton		0.6			12,881		1,902
Sanofi-Aventis		1.0			48,730		3,314
Schneider Electric		0.7			43,360		2,309
Sodexo		0.5			20,831		1,512
Total		0.5			40,536		1,742
Other Securities		5.1					16,508
							27,287
Germany — 7.7%
Deutsche Boerse		0.5			36,581		1,742
Linde		0.9			18,074		2,773
SAP (A)		0.6			32,017		1,837
Siemens		0.9			34,622		2,847
Other Securities		4.8					15,931
							25,130
Guernsey — 0.0%
Other Securities		0.0					69
Hong Kong — 3.3%
China Mobile		0.7			217,000		2,195
Jardine Strategic Holdings		0.5			48,021		1,454
Other Securities		2.1					7,177
							10,826
India — 0.3%
Other Securities		0.3					1,100
Indonesia — 0.2%
Other Securities		0.2					480
Ireland — 1.0%
Experian		0.4			105,085		1,464
Other Securities		0.6					1,871
							3,335
Israel — 0.3%
Other Securities		0.3					959

SEI Institutional Investments Trust / Annual Report / May 31, 2012 43

SUMMARY SCHEDULE OF INVESTMENTS

International Equity Fund (Continued)

May 31, 2012

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Italy — 1.0%
Other Securities		1.0	%			$	3,267
Japan — 18.2%
FANUC		0.7			12,800		2,207
Honda Motor		0.9			85,800		2,749
JGC		0.5			58,000		1,592
Jupiter Telecommunications		0.5			1,610		1,649
Nippon Telegraph & Telephone		0.6			48,100		2,073
Seven & I Holdings		1.0			103,600		3,117
SMC		0.5			10,700		1,757
Toyota Motor		0.9			72,600		2,814
Other Securities		12.6					40,972
							58,930
Jersey — 0.0%
Other Securities		0.0					42
Malaysia — 0.0%
Other Securities		0.0					8
Mexico — 0.0%
Other Securities		0.0					59
Netherlands — 5.0%
Akzo Nobel (A)		0.8			55,307		2,526
Koninklijke Ahold		0.5			130,136		1,529
Reed Elsevier		0.6			184,902		1,917
Unilever		0.4			45,723		1,439
Other Securities		2.7					8,784
							16,195
New Zealand — 0.2%
Other Securities		0.2					555
Norway — 0.7%
DnB		0.4			163,462		1,474
Other Securities		0.3					871
							2,345
Poland — 0.1%
Other Securities		0.1					193
Portugal — 0.0%
Other Securities		0.0					88
Russia — 0.5%
Other Securities		0.5					1,546
Singapore — 1.4%
Other Securities		1.4					4,662

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
South Africa — 0.8%
Other Securities		0.8	%			$	2,669
South Korea — 3.0%
KT&G		0.6			31,590		2,104
Samsung Electronics		0.7			2,360		2,421
Other Securities		1.7					5,169
							9,694
Spain — 1.5%
Other Securities		1.5					4,878
Sweden — 2.0%
Other Securities		2.0					6,479
Switzerland — 8.6%
Givaudan		0.8			2,678		2,482
Nestle		1.3			70,402		3,988
Novartis		1.2			73,070		3,793
Roche Holding		1.6			34,720		5,417
SGS		0.5			973		1,753
Zurich Financial Services		0.6			9,683		1,979
Other Securities		2.6					8,369
							27,781
Taiwan — 0.1%
Other Securities		0.1					423
Thailand — 0.0%
Other Securities		0.0					120
United Kingdom — 19.4%
AstraZeneca		0.6			49,648		2,000
BG Group		0.7			109,249		2,089
BHP Billiton		0.5			63,705		1,661
BP		0.6			328,327		1,996
British American Tobacco		0.7			49,461		2,328
Diageo		0.4			61,233		1,458
GlaxoSmithKline		0.8			121,264		2,684
HSBC Holdings		0.5			222,309		1,743
HSBC Holdings PLC		0.3			134,800		1,064
Petrofac		0.5			71,577		1,704
Shire		0.6			67,092		1,888
Tesco		1.0			683,353		3,182
Vodafone Group		1.3			1,562,136		4,160
Other Securities		10.9					34,910
							62,867
United States — 0.7%
Other Securities		0.7					2,352
Total Common Stock (Cost $365,619) ($ Thousands)							317,518

44 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Percentage of Net Assets (%)			Shares/Face Amount (1) (Thousands)			Market Value ($ Thousands)
PREFERRED STOCK — 0.2%
Germany — 0.2%
Other Securities		0.2	%				$	774
Total Preferred Stock (Cost $820) ($ Thousands)								774
RIGHTS — 0.0%
Australia — 0.0%
Other Securities		0.0						1
Italy — 0.0%
Other Securities		0.0						—
Spain — 0.0%
Other Securities		0.0						6
Total Rights (Cost $—) ($ Thousands)								7
AFFILIATED PARTNERSHIP — 4.9%
SEI Liquidity Fund, L.P. 0.170%†* (B)		4.9				16,701,883		15,926
Total Affiliated Partnership (Cost $16,702) ($ Thousands)								15,926
CASH EQUIVALENT — 1.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.100%†*		1.4				4,563,491		4,563
Total Cash Equivalent (Cost $4,563) ($ Thousands)								4,563
TIME DEPOSITS — 2.6%
United States — 2.6%
Brown Brothers Harriman
4.629%, 06/01/12					ZAR	1		1
2.968%, 06/01/12					AUD	9		9
1.650%, 06/01/12					NZD	—		—
0.650%, 06/01/12					NOK	—		—
0.650%, 06/01/12					SEK	—		—
0.242%, 06/01/12					CAD	—		—
0.068%, 06/01/12					GBP	5		5
0.040%, 06/01/12					EUR	296		296
0.030%, 06/01/12						7,830		7,830
0.010%, 06/01/12					DKK	—		—
0.010%, 06/01/12					JPY	39		39
0.010%, 06/01/12					SGD	—		—
0.005%, 06/01/12					CHF	147		147
0.005%, 06/01/12					HKD	2		2
Total Time Deposits (Cost $8,329) ($ Thousands)								8,329

Description	Percentage of Net Assets (%)			Market Value ($ Thousands)
U.S. TREASURY OBLIGATIONS (C) — 0.5%
Other Securities		0.5	%	$	1,539
Total U.S. Treasury Obligations (Cost $1,539) ($ Thousands)					1,539
Total Investments — 107.4% (Cost $397,572) ($ Thousands)				$	348,656

A list of the open futures contracts held by the Fund at May 31, 2012, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		107		Jun-2012	$	(379	)
FTSE 100 Index		30		Jun-2012		(209	)
Hang Seng Index		1		Jun-2012		1
SPI 200 Index		2		Jun-2012		(17	)
Topix Index		4		Jun-2012		(67	)
					$	(671	)

For the year ended May 31, 2012, 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 list of the open forward foreign currency contracts held by the Fund at May 31, 2012, is as follows:

Settlement Date	Currency to Deliver (Thousands)			Currency to Receive (Thousands)			Unrealized Appreciation ($ Thousands)
7/26/12		EUR	1,438		USD	1,901	$	122

A list of the counterparties for the open forward foreign currency contracts held by the Fund at May 31, 2012, is as follows:

Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation ($ Thousands)
State Street Bank	$	(1,779	)	$	1,901	$	122

For the year ended May 31, 2012, 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 year.

Percentages are based on a Net Assets of $324,696 ($ Thousands).

* The rate reported is the 7-day effective yield as of May 31, 2012.

† 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 May 31, 2012. The total value of securities on loan at May 31, 2012 was $15,672 ($ Thousands).

(B) This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of May 31, 2012 was $15,926 ($ Thousands).

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

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

DJ — Dow Jones

DKK — Danish Krone

EUR — Euro

SEI Institutional Investments Trust / Annual Report / May 31, 2012 45

SUMMARY SCHEDULE OF INVESTMENTS

International Equity Fund (Concluded)

May 31, 2012

FTSE — Financial Times and the London Stock Exchange

GBP — British Pound Sterling

HKD — Hong Kong Dollar

JPY — Japanese Yen

L.P. — Limited Partnership

NOK — Norwegian 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 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 list of the inputs used as of May 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	317,367	$	—	$	151	$	317,518
Preferred Stock		774		—		—		774
Rights		7		—		—		7
Affiliated Partnership		—		15,926		—		15,926
Cash Equivalent		4,563		—		—		4,563
Time Deposits		8,329		—		—		8,329
U.S. Treasury Obligations		—		1,539		—		1,539
Total Investments in Securities	$	331,040	$	17,465	$	151	$	348,656

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(671	)	$	—	$	—	$	(671	)
Forwards Contracts*		—			122		—		122
Total Other Financial Instruments	$	(671	)	$	122	$	—	$	(549	)

* 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) as of May 31, 2012:

	Investments in Common Stock
Beginning balance as of June 1, 2011	$	—
Accrued discounts/premiums		—
Realized gain/(loss)		—
Change in unrealized appreciation/(depreciation)		—
Purchases		—
Sales		—
Net transfer into Level 3		151
Net transfer out of Level 3		—
Ending balance as of May 31, 2012	$	151
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	(336	)

For the year ended May 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2012, there were 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.

46 SEI Institutional Investments Trust / Annual Report / May 31, 2012

SUMMARY SCHEDULE OF INVESTMENTS

World Equity Ex-US Fund

May 31, 2012

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK — 90.0%
Australia — 2.3%
Other Securities		2.3	%			$	104,397
Austria — 0.8%
Schoeller-Bleckmann Oilfield Equipment		0.4			245,070		19,999
Other Securities		0.4					17,187
							37,186
Belgium — 0.4%
Other Securities		0.4					19,147
Brazil — 5.3%
Amil Participacoes		0.5			2,515,300		22,970
Banco Bradesco ADR (A)		0.7			2,155,376		31,555
Cia de Saneamento Basico do Estado de Sao Paulo ADR		1.1			690,884		48,175
Cia Paranaense de Energia ADR		0.6			1,286,700		26,146
Other Securities		2.4					114,790
							243,636
Canada — 7.2%
Agrium		0.7			442,400		34,559
Canadian National Railway (A)		0.5			254,800		20,777
Toronto-Dominion Bank		0.6			344,900		26,337
Other Securities		5.4					250,198
							331,871
Chile — 0.1%
Other Securities		0.1					5,744
China — 3.9%
China Petroleum & Chemical		0.5			24,236,600		21,580

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Other Securities		3.4	%			$	157,987
							179,567
Colombia — 0.3%
Other Securities		0.3					15,785
Czech Republic — 0.2%
Other Securities		0.2					8,197
Denmark — 0.7%
Novo-Nordisk, Cl B (A)		0.5			179,519		23,883
Other Securities		0.2					6,768
							30,651
Finland — 0.2%
Other Securities		0.2					8,124
France — 3.0%
Other Securities		3.0					140,890
Germany — 5.9%
Adidas		0.4			273,108		20,325
BASF		0.5			326,666		22,772
Fresenius Medical Care (A)		0.5			309,528		20,548
SAP (A)		0.9			682,351		39,147
Other Securities		3.6					170,317
							273,109
Hong Kong — 3.2%
Other Securities		3.2					146,487
India — 0.7%
Other Securities		0.7					33,326
Indonesia — 1.1%
Other Securities		1.1					49,692
Ireland — 0.9%
Other Securities		0.9					42,148
Israel — 1.3%
Check Point Software Technologies*		0.7			618,698		31,702
Teva Pharmaceutical Industries ADR		0.5			617,950		24,218
Other Securities		0.1					6,368
							62,288
Italy — 0.5%
Other Securities		0.5					21,181
Japan — 12.4%
Fuji Heavy Industries ADR		0.5			1,467,000		22,416
Hitachi		1.1			8,735,900		50,021

SEI Institutional Investments Trust / Annual Report / May 31, 2012 47

SUMMARY SCHEDULE OF INVESTMENTS

World Equity Ex-US Fund (Continued)

May 31, 2012

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
KDDI		0.7	%		5,019	$	31,011
Komatsu		0.6			1,083,026		25,938
Mizuho Financial Group		0.4			13,223,000		19,392
Toyota Motor		0.4			546,069		21,170
Other Securities		8.7					404,258
							574,206
Malaysia — 0.1%
Other Securities		0.1					5,511
Mexico — 0.4%
Other Securities		0.4					17,878
Netherlands — 4.7%
Core Laboratories		0.8			288,000		36,835
Royal Dutch Shell, Cl A (GBP)		0.1			120,089		3,717
Royal Dutch Shell, Cl A		0.8			1,214,446		37,585
Royal Dutch Shell ADR, Cl A		0.5			368,700		22,926
Other Securities		2.5					115,508
							216,571
New Zealand — 0.1%
Other Securities		0.1					2,782
Norway — 2.0%
Seadrill		0.5			673,059		22,211
Statoil ADR (A)		0.7			1,456,600		33,065
Other Securities		0.8					36,318
							91,594
Peru — 0.3%
Other Securities		0.3					14,542
Poland — 0.2%
Other Securities		0.2					7,602
Portugal — 0.3%
Other Securities		0.3					15,385
Qatar — 0.3%
Other Securities		0.3					15,048
Russia — 0.5%
Other Securities		0.5					23,132
Singapore — 1.4%
United Overseas Bank ADR		0.5			719,200		19,692
Other Securities		0.9					43,101
							62,793
South Africa — 0.6%
Sasol ADR		0.5			573,300		24,354

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Other Securities		0.1	%			$	3,728
							28,082
South Korea — 3.9%
Hyundai Motor		0.6			131,503		27,186
Samsung Electronics		0.6			27,766		28,489
Other Securities		2.7					124,887
							180,562
Spain — 0.2%
Other Securities		0.2					9,386
Sweden — 1.6%
Other Securities		1.6					73,194
Switzerland — 3.4%
Nestle		0.5			397,377		22,512
Roche Holding		0.5			164,212		25,618
Zurich Insurance Group ADR (A)		0.6			1,226,000		25,268
Other Securities		1.8					86,264
							159,662
Taiwan — 1.0%
Advanced Semiconductor Engineering ADR (A)		0.4			4,330,676		20,051
Other Securities		0.6					25,144
							45,195
Thailand — 1.6%
Charoen Pokphand Foods		0.5			17,427,100		20,815
Other Securities		1.1					52,044
							72,859
Turkey — 0.6%
Other Securities		0.6					27,413
United Kingdom — 13.5%
ARM Holdings ADR		0.7			1,328,800		31,214
AstraZeneca ADR		0.5			597,600		24,149
BG Group		0.4			1,015,549		19,421
British American Tobacco		0.7			652,686		30,725
Diageo		0.6			1,197,278		28,508
Diageo ADR		0.5			216,600		20,651
Imperial Tobacco Group		0.8			1,033,455		37,253
Reckitt Benckiser Group		0.4			380,215		20,154
Rio Tinto ADR (A)		0.7			758,900		32,800
Shire		0.6			1,053,378		29,638
Unilever ADR (A)		0.8			1,096,300		34,621
Other Securities		6.8					314,323
							623,457

48 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Percentage of Net Assets (%)			Shares/Face Amount (1) (Thousands)		Market Value ($ Thousands)
United States — 2.9%
Axis Capital Holdings		0.5	%		619,200	$	20,371
Everest Re Group		0.4			190,000		19,403
Other Securities		2.0					94,808
							134,582
Total Common Stock (Cost $4,478,745) ($ Thousands)							4,154,862
PREFERRED STOCK — 1.1%
Brazil — 0.4%
Other Securities		0.4					19,098
Germany — 0.7%
Other Securities		0.7					33,065
Total Preferred Stock (Cost $47,563) ($ Thousands)							52,163
EXCHANGE-TRADED FUND — 0.4%
United States — 0.4%
iShares MSCI Emerging Markets Index Fund		0.4			525,700		19,819
Total Exchange-Traded Fund (Cost $22,548) ($ Thousands)							19,819
AFFILIATED PARTNERSHIP — 10.1%
SEI Liquidity Fund, L.P. 0.170%†** (B)		10.1			471,925,984		468,332
Total Affiliated Partnership (Cost $471,926) ($ Thousands)							468,332
CASH EQUIVALENT — 2.2%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.100%†**		2.2			102,836,494		102,836
Total Cash Equivalent (Cost $102,836) ($ Thousands)							102,836
TIME DEPOSITS — 0.7%
United States — 0.7%
Brown Brothers Harriman
4.629%, 06/01/12				ZAR	104		104
2.968%, 06/01/12				AUD	2,391		2,391
1.650%, 06/01/12				NZD	—		—
0.650%, 06/01/12				NOK	4		4
0.242%, 06/01/12				CAD	51		51
0.068%, 06/01/12				GBP	1,158		1,158
0.065%, 06/01/12				SEK	879		879

Description	Percentage of Net Assets (%)			Face Amount (1) (Thousands)		Market Value ($ Thousands)
0.040%, 06/01/12				EUR	1,811	$	1,811
0.030%, 06/01/12					22,949		22,949
0.010%, 06/01/12				DKK	56		56
0.010%, 06/01/12				JPY	1,265		1,265
0.010%, 06/01/12				SGD	387		387
0.005%, 06/01/12				CHF	1,692		1,692
0.005%, 06/01/12				HKD	186		186
Total Time Deposits (Cost $32,933) ($ Thousands)							32,933
U.S. TREASURY OBLIGATIONS (C) — 0.5%
Other Securities		0.5	%				23,391
Total U.S. Treasury Obligations (Cost $23,391) ($ Thousands)							23,391
Total Investments — 105.0% (Cost $5,179,942) ($ Thousands)						$	4,854,336

A list of the open futures contracts held by the Fund at May 31, 2012, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		1,223		Jun-2012	$	(5,517	)
FTSE 100 Index		339		Jun-2012		(3,185	)
Hang Seng Index		73		Jun-2012		57
S&P/TSX 60 Index		104		Jun-2012		(963	)
SPI 200 Index		184		Jun-2012		(946	)
Topix Index		493		Jun-2012		(4,416	)
					$	(14,970	)

For the year ended May 31, 2012, 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 list of the open forward foreign currency contracts held by the Fund at May 31, 2012, is as follows:

Settlement Date		Currency to Deliver (Thousands)			Currency to Receive (Thousands)		Unrealized Appreciation ($ Thousands)
6/18/12-11/8/12	EUR		61,617	USD		79,921	$	3,649

A list of the counterparties for the open forward foreign currency contracts held by the Fund at May 31, 2012, is as follows:

Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation ($ Thousands)
Brown Brothers Harriman	$	(25,332	)	$	26,039	$	707
State Street Bank		(50,940	)		53,882		2,942
						$	3,649

For the year ended May 31, 2012, 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 year.

Percentages are based on a Net Assets of $4,623,934 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2012.

SEI Institutional Investments Trust / Annual Report / May 31, 2012 49

SUMMARY SCHEDULE OF INVESTMENTS

World Equity Ex-US Fund (Concluded)

May 31, 2012

† 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 May 31, 2012. The total value of securities on loan at May 31, 2012 was $450,476 ($ Thousands).

(B) This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of May 31, 2012 was $468,332 ($ Thousands).

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

ADR — American Depositary Receipt

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

DJ — Dow Jones

DKK — Danish Krone

EUR — Euro

FTSE — Financial Times and 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 list of the inputs used as of May 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	4,154,816	$	—	$	46	$	4,154,862
Preferred Stock		52,163		—		—		52,163
Exchange-Traded Fund		19,819		—		—		19,819
Affiliated Partnership		—		468,332		—		468,332
Cash Equivalent		102,836		—		—		102,836
Time Deposits		32,933		—		—		32,933
U.S. Treasury Obligations		—		23,391		—		23,391
Total Investments in Securities	$	4,362,567	$	491,723	$	46	$	4,854,336

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(14,970	)	$	—	$	—	$	(14,970	)
Forwards Contracts*		—			3,649		—		3,649
Total Other Financial Instruments	$	(14,970	)	$	3,649	$	—	$	(11,321	)

* 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) as of May 31, 2012:

	Investments in Common Stock
Beginning balance as of June 1, 2011	$	—
Accrued discounts/premiums		—
Realized gain/(loss)		—
Change in unrealized appreciation/(depreciation)		(27	)
Purchases		66
Sales		—
Net transfer into Level 3		7
Net transfer out of Level 3		—
Ending balance as of May 31, 2012	$	46
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	(51	)

For the year ended May 31, 2012, there were 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.

For the year ended May 31, 2012, there were 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.

50 SEI Institutional Investments Trust / Annual Report / May 31, 2012

SUMMARY SCHEDULE OF INVESTMENTS

Screened World Equity Ex-US Fund

May 31, 2012

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK — 91.1%
Australia — 2.9%
BHP Billiton		0.9	%		13,406	$	416
BHP Billiton ADR		0.6			4,900		301
Rio Tinto		0.4			3,295		182
Other Securities		1.0					531
							1,430
Austria — 1.3%
Schoeller-Bleckmann Oilfield Equipment		0.7			3,991		326
Other Securities		0.6					304
							630
Belgium — 0.1%
Other Securities		0.1					31
Brazil — 2.9%
Amil Participacoes		0.8			40,500		370
Banco do Brasil		0.6			32,400		315
Other Securities		1.5					740
							1,425
Canada — 5.4%
Canadian Natural Resources		0.6			9,913		284
Potash Corp of Saskatchewan		0.6			7,448		294
Royal Bank of Canada		0.6			5,800		289
Other Securities		3.6					1,790
							2,657
China — 5.3%
Industrial & Commercial Bank of China		0.7			578,758		352
Weichai Power*		0.6			66,000		291
Other Securities		4.0					1,926
							2,569

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Colombia — 0.5%
Other Securities		0.5	%			$	268
Czech Republic — 0.3%
Other Securities		0.3					134
Denmark — 1.1%
Novo-Nordisk, Cl B		0.8			2,862		381
Other Securities		0.3					180
							561
Finland — 0.3%
Other Securities		0.3					139
France — 3.2%
Air Liquide		0.6			2,599		281
LVMH Moet Hennessy Louis Vuitton		0.6			2,093		309
Other Securities		2.0					952
							1,542
Germany — 5.9%
Adidas		0.7			4,515		336
BASF		1.0			6,837		477
Fresenius Medical Care		0.8			5,562		369
SAP		0.9			7,365		422
Other Securities		2.5					1,249
							2,853
Greece — 0.0%
Other Securities		0.0					5
Hong Kong — 4.2%
Orient Overseas International		0.6			52,500		284
Other Securities		3.6					1,768
							2,052
India — 0.6%
Other Securities		0.6					280
Indonesia — 0.1%
Other Securities		0.1					56
Ireland — 1.0%
Other Securities		1.0					468
Israel — 1.3%
Check Point Software Technologies*		0.6			5,651		290
Other Securities		0.7					357
							647

SEI Institutional Investments Trust / Annual Report / May 31, 2012 51

SUMMARY SCHEDULE OF INVESTMENTS

Screened World Equity Ex-US Fund (Continued)

May 31, 2012

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Italy — 0.4%
Other Securities		0.4	%			$	200
Japan — 12.1%
Denso		0.6			9,600		290
FANUC		0.6			1,701		293
Hitachi		0.8			64,000		367
Honda Motor ADR		0.6			9,300		296
Komatsu		0.6			11,729		281
Mitsubishi UFJ Financial Group		1.0			111,453		483
Secom		0.6			6,900		305
Toyota Motor		0.6			7,854		305
Other Securities		6.7					3,298
							5,918
Malaysia — 0.2%
Other Securities		0.2					86
Mexico — 1.6%
Other Securities		1.6					757
Netherlands — 2.5%
Core Laboratories		1.3			5,100		652
European Aeronautic Defense and Space		0.6			8,308		278
Other Securities		0.6					272
							1,202
Norway — 1.0%
Other Securities		1.0					470
Peru — 0.1%
Other Securities		0.1					74
Philippines — 0.2%
Other Securities		0.2					90
Poland — 0.4%
Other Securities		0.4					205
Russia — 0.1%
Other Securities		0.1					26
Singapore — 1.3%
Other Securities		1.3					655
South Africa — 0.0%
Other Securities		0.0					3
South Korea — 3.8%
Hyundai Motor		0.9			2,051		424
Samsung Electronics		0.9			439		450
Other Securities		2.0					997
							1,871

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Spain — 0.3%
Other Securities		0.3	%			$	150
Sweden — 2.2%
Getinge, Cl B		0.6			12,191		303
Other Securities		1.6					758
							1,061
Switzerland — 5.1%
Nestle		0.8			6,752		382
Roche Holding		1.0			3,232		504
Other Securities		3.3					1,595
							2,481
Taiwan — 2.0%
Advanced Semiconductor Engineering ADR		0.7			68,387		317
Other Securities		1.3					647
							964
Thailand — 1.2%
Other Securities		1.2					593
Turkey — 0.7%
Other Securities		0.7					318
United Kingdom — 16.9%
ARM Holdings		0.3			15,679		122
ARM Holdings ADR		1.1			21,800		512
BG Group		0.7		��	16,726		320
BHP Billiton		0.2			4,345		113
British American Tobacco		1.0			10,788		508
Diageo		1.0			20,835		496
HSBC Holdings		1.3			79,669		626
Imperial Tobacco Group		0.6			7,779		280
Reckitt Benckiser Group		0.7			6,437		341
Rio Tinto		0.5			5,930		254
Rio Tinto ADR		0.6			7,100		307
Shire		1.0			17,779		500
Standard Chartered		0.6			14,188		286
Unilever ADR		0.6			8,800		278
Vodafone Group		0.7			117,844		314
Other Securities		6.0					3,002
							8,259
United States — 2.6%
Everest Re Group		0.6			3,100		316
Other Securities		2.0					974
							1,290
Total Common Stock (Cost $49,300) ($ Thousands)							44,420

52 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Percentage of Net Assets (%)			Shares/ Face Amount (1) (Thousands)			Market Value ($ Thousands)
PREFERRED STOCK — 1.8%
Brazil — 1.1%
Other Securities		1.1	%				$	522
Canada — 0.1%
Other Securities		0.1						33
Germany — 0.6%
Other Securities		0.6						311
Total Preferred Stock (Cost $889) ($ Thousands)								866
EXCHANGE-TRADED FUND — 0.7%
United States — 0.7%
iShares MSCI Emerging Markets Index Fund		0.7				8,500		320
Total Exchange-Traded Fund (Cost $390) ($ Thousands)								320
TIME DEPOSITS — 2.6%
United States — 2.6%
Brown Brothers Harriman
4.629%, 06/01/12					ZAR	2		2
2.968%, 06/01/12					AUD	91		91
1.650%, 06/01/12					NZD	1		1
0.650%, 06/01/12					NOK	9		9
0.650%, 06/01/12					SEK	14		14
0.242%, 06/01/12					CAD	49		49
0.068%, 06/01/12					GBP	75		75
0.040%, 06/01/12					EUR	122		122
0.030%, 06/01/12						765		765
0.010%, 06/01/12					DKK	17		17
0.010%, 06/01/12					JPY	68		68
0.010%, 06/01/12					SGD	10		10
0.005%, 06/01/12					CHF	25		25
0.005%, 06/01/12					HKD	15		15
Total Time Deposits (Cost $1,263) ($ Thousands)								1,263
CASH EQUIVALENT — 0.9%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.100%†**		0.9				459,690		460
Total Cash Equivalent (Cost $460) ($ Thousands)								460

Description	Percentage of Net Assets (%)			Market Value ($ Thousands)
U.S. TREASURY OBLIGATIONS (A) — 0.8%
Other Securities		0.8	%	$	398
Total U.S. Treasury Obligations (Cost $398) ($ Thousands)					398
Total Investments — 97.9% (Cost $52,700) ($ Thousands)				$	47,727

A list of the open futures contracts held by the Fund at May 31, 2012, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		27		Jun-2012	$	(38	)
FTSE 100 Index		7		Jun-2012		(22	)
S&P/TSX 60 Index		3		Jun-2012		3
SPI 200 Index		1		Jun-2012		(8	)
Topix Index		2		Jun-2012		(18	)
					$	(83	)

For the year ended May 31, 2012, 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 list of the open forward foreign currency contracts held by the Fund at May 31, 2012, is as follows:

Settlement Date	Currency to Deliver (Thousands)			Currency to Receive (Thousands)			Unrealized Appreciation ($ Thousands)
6/18/12-11/8/12		EUR	1,086		USD	1,408	$	64

A list of the counterparties for the open forward foreign currency contracts held by the Fund at May 31, 2012, is as follows:

Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation ($ Thousands)
Brown Brothers Harriman	$	(1,344	)	$	1,408	$	64

For the year ended May 31, 2012, 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 year.

Percentages are based on a Net Assets of $48,756 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2012.

† 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

SEI Institutional Investments Trust / Annual Report / May 31, 2012 53

SUMMARY SCHEDULE OF INVESTMENTS

Screened World Equity Ex-US Fund (Concluded)

May 31, 2012

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 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 list of the inputs used as of May 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	44,420	$	—	$	—	$	44,420
Preferred Stock		866		—		—		866
Exchange-Traded Fund		320		—		—		320
Time Deposits		1,263		—		—		1,263
Cash Equivalent		460		—		—		460
U.S. Treasury Obligations		—		398		—		398
Total Investments in Securities	$	47,329	$	398	$	—	$	47,727

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(83	)	$	—	$	—	$	(83	)
Forwards Contracts*		—			64		—		64
Total Other Financial Instruments	$	(83	)	$	64	$	—	$	(19	)

* Futures and forwards contracts are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended May 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2012, there were no 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.

54 SEI Institutional Investments Trust / Annual Report / May 31, 2012

SCHEDULE OF INVESTMENTS

Enhanced LIBOR Opportunities Fund

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
LOAN PARTICIPATIONS — 29.7%
Advanstar Communications, 1st Lien
2.720%, 06/02/14	$	520	$	401
Advantage Sales & Marketing
5.250%, 12/17/17		990		977
Advantage Sales & Marketing, 2nd Lien
9.250%, 06/18/18		550		547
Affinion Group Holdings
5.000%, 10/09/16		490		453
Alliant Insurance Service
3.470%, 08/21/14		653		651
Allison Transmission
3.740%, 08/07/14		145		142
American Rock Salt, Term Loan B
5.500%, 04/19/17		529		502
0.000%, 04/19/17 (A)		220		208
AmWINS Hybrid, Term Loan
0.000%, 05/23/19 (A)		500		496
Aramark Facility
3.250%, 01/26/14		27		27
Aramark US
3.720%, 01/26/14		239		236
3.489%, 01/26/14		103		102
Arch Coal, Term Loan B
5.750%, 05/16/18		500		495
Asurion
5.500%, 06/10/18		472		464
Asurion LLC, 2nd Lien
9.000%, 05/20/19		1,000		1,004
Atlantic Broadband Finance, Term Loan B
5.250%, 03/20/19		900		896
Avaya, Term Loan B-1
3.217%, 10/26/14		164		154
Avaya, Term Loan B-3
4.967%, 10/26/17		824		726

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Biomet Dollar
3.474%, 03/25/15	$	247	$	241
3.239%, 03/25/15		179		175
Black Press US Partnership, Tranche B-1
2.467%, 08/02/13		386		356
Black Press US Partnership, Tranche B-2
2.467%, 08/02/13		235		216
Burlington Coat Factory, Term Loan B
5.500%, 02/23/17		508		503
Calpine
4.500%, 04/01/18		297		292
Cannery Casino
4.489%, 05/17/13		107		105
Cannery Casino, 1st Lien
4.489%, 05/17/13		130		127
CDW
3.739%, 10/12/14		252		248
Cedar Fair
4.000%, 12/15/17		533		529
Cengage Learning Holdco
2.490%, 06/28/14		977		882
Ceridian
3.239%, 11/08/14		491		464
Charter Communications, Term Loan C
3.720%, 09/06/16		402		396
Chesapeake Energy
8.500%, 12/02/17		560		550
Citco
5.500%, 05/24/18		1,092		1,079
Claire’s Stores
3.216%, 05/29/14		96		90
2.989%, 05/29/14		224		208
CommScope
4.250%, 01/14/18		297		295
Community Health Systems, Term Loan B
3.970%, 01/25/17		22		22
3.967%, 01/25/17		839		820
ConvaTec Dollar
5.750%, 12/30/16		1,262		1,253
Cristal Inorganic Chemicals US
6.220%, 11/15/14		500		498
DAE Aviation Holdings, Tranche B-1
5.470%, 07/31/14		522		513
DAE Aviation Holdings, Tranche B-2 Loan
5.470%, 09/27/14		497		488
Del Monte Foods
4.500%, 03/08/18		596		580
Dex Media West LLC
7.250%, 10/24/14		862		527
4.720%, 10/24/14		375		229

SEI Institutional Investments Trust / Annual Report / May 31, 2012 55

SCHEDULE OF INVESTMENTS

Enhanced LIBOR Opportunities Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Dole Food Company, Tranche B-2
6.000%, 07/08/18	$	6	$	6
5.000%, 07/08/18		133		132
Dunkin Brands
4.000%, 11/23/17		489		483
Eagle Parent, Term Loan B
0.000%, 05/16/18 (A)		600		586
Emergency Medical Services
6.000%, 05/25/18		21		21
5.250%, 04/27/18		369		364
Emergency Medical Services, Initial Term Loan
5.250%, 04/27/18		169		166
EMI Music Publishing
0.000%, 03/05/18 (A)		252		250
Energy Transfer Partners
3.750%, 03/23/17		250		243
EquiPower Resource Holdings, Term Loan B
5.750%, 01/26/18		332		325
First Data
4.239%, 03/24/18		636		575
First Data, Term Loan B-3
2.989%, 09/24/14		68		64
First Data, Tranche B-1
2.989%, 09/24/14		657		621
Firth Rixson, Term Loan B
4.970%, 12/18/15		250		237
Firth Rixson, Term Loan C
5.470%, 12/20/16		250		238
Freescale Semiconductor
4.489%, 12/01/16		852		798
Gibson Energy, Term Loan B
4.750%, 06/16/18		993		986
Global Cash Access
7.000%, 02/01/16		386		386
Goodman Global
5.750%, 10/28/16		326		325
Harbor Freight Tools USA, Term Loan B
0.000%, 11/10/17 (A)		500		495
Harron Communications L.P., Term Loan B
5.500%, 10/05/17		585		585
Hub International
4.970%, 06/14/17		489		486
Iasis Healthcare, 1st Lien
5.000%, 05/03/18		403		396
IMS Health
4.500%, 08/31/17		691		684
Ineos Holdings
6.500%, 04/27/18		600		588
Integra Telecom
9.250%, 04/07/15		560		542
Intelsat
3.239%, 02/01/14		450		439

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Intelsat Jackson Holdings, Term Loan B
5.250%, 04/03/18	$	301	$	299
Inventiv Health Incremental, Term Loan B-3
6.750%, 07/19/18		496		471
Inventiv Health, Term Loan B
6.500%, 08/04/16		1,116		1,045
J. Crew
4.750%, 03/07/18		749		730
J. Crew, Term Loan
4.750%, 01/26/18		241		234
Knology, Term Loan B
4.000%, 08/08/17		489		487
Lamar Media
4.000%, 10/01/16		249		249
Language Line, Term Loan B
6.250%, 06/20/16		469		465
Lawson Software, Term Loan B
6.250%, 04/05/18		850		848
Live Nation Entertainment
4.500%, 10/20/16		245		244
MedMedia USA, Term Loan B
2.490%, 10/05/13		301		283
Meg Energy
4.000%, 03/18/18		647		639
NCI Building Systems, Tranche B
6.500%, 04/18/14		646		642
Neiman Marcus Group
4.750%, 05/10/18		491		481
Nelson Education, Term Loan B-1
2.970%, 07/05/14		782		669
Nexstar Broadcasting, Term Loan B
5.000%, 09/30/16		445		442
Nielsen Finance
2.239%, 12/31/17		87		87
NRG Energy, Term Loan B
4.000%, 07/01/18		196		194
NXP BV
4.500%, 03/07/17		475		459
PACTIV
6.500%, 02/09/18		186		187
Proquest, Term Loan B
6.000%, 04/12/18		500		494
Quintiles Transnational, Term Loan B
5.000%, 06/08/18		654		644
Raycom TV Broadcasting, Tranche B
4.500%, 05/31/17		594		588
RE/MAX International
5.500%, 04/16/16		442		439
Realogy
4.489%, 10/10/16		1,283		1,169
0.389%, 10/10/16		130		118
Reynolds Group Holdings
6.500%, 02/09/18		680		681
Reynolds Group Holdings, Term Loan
6.500%, 02/09/18		10		10

56 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Roundy’s Supermarkets, Term Loan B
5.750%, 02/10/19	$	1,000	$	994
San Juan Cable Holdings LLC, Term Loan B
6.000%, 06/09/17		744		724
Schrader Luxco
0.000%, 04/27/18 (A)		311		312
Schrader US
0.000%, 04/27/18 (A)		239		240
Sealed Air
4.750%, 10/03/18		420		421
Sealed Air, Term Loan B
4.750%, 10/03/18		366		366
Sedgwick Claims Management
5.000%, 12/31/16		595		591
Sensata Technologies BV
4.000%, 05/10/18		993		976
Sequa
3.720%, 12/03/14		500		491
Smart Technologies
2.989%, 08/28/14		494		473
Solvest, Tranche C-2
6.000%, 07/08/18		6		6
5.000%, 07/08/18		209		207
4.000%, 07/08/18		33		33
Star West Generation LLC, Term Loan B
6.000%, 05/17/18		1,113		1,080
Sungard Data Systems
4.091%, 02/28/16		92		91
3.865%, 02/28/16		20		20
3.864%, 02/28/16		159		157
Sungard Data Systems, Term Loan B
3.864%, 02/28/16		46		46
Supervalu
1.614%, 06/02/12		39		39
Telesat Canada, Term Loan B
4.250%, 03/26/19		400		395
Terex
5.500%, 04/28/17		498		497
Texas Competitive
4.739%, 10/10/17		864		500
The Yankee Candle
5.250%, 04/02/19		750		744
Transdigm
4.000%, 02/14/17		494		490
TransUnion LLC
4.750%, 02/26/18		594		597
Tronox Pigments
0.000%, 02/08/18 (A) (D)		214		—
Tronox, Term Loan B
4.250%, 02/03/18		786		772
TWCC Holding
4.250%, 02/11/17		488		484

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
U.S. Telepacific
5.750%, 02/23/17	$	991	$	933
United Surgical Partners International
6.000%, 04/30/17		1,087		1,078
Universal Healthcare
5.000%, 11/15/16		1		1
3.750%, 11/16/16		406		403
Univision Communications, Term Loan B
4.489%, 03/31/17		1,194		1,094
Valeant Pharmaceuticals, Term Loan B
0.000%, 02/08/19 (A)		150		147
Vanguard Health
5.000%, 01/15/16		1,085		1,080
Verint Systems, Term Loan B
4.500%, 10/06/17		309		306
Walter Energy, Term Loan B
4.000%, 04/02/18		476		457
Warner Chilcott LLC, Term Loan B1
4.250%, 03/14/18		113		112
Warner Chilcott LLC, Term Loan B2
4.250%, 03/14/18		56		56
Warner Chilcott LLC, Term Loan B3
4.250%, 03/15/18		78		77
Waste Industries USA, Term Loan B
4.750%, 03/16/17		689		679
WCA Waste
5.500%, 03/23/18		499		496
WCA Waste Systems, Term Loan B
5.500%, 03/23/18		1		1
Weight Watchers International, Term Loan F
4.000%, 03/12/19		750		736
Wide Open West Finance, 1st Lien
2.740%, 06/30/14		533		528
Wide Open West Finance, Ser A
6.739%, 06/30/14		697		692
Total Loan Participations (Cost $66,516) ($ Thousands)				65,108
CORPORATE OBLIGATIONS — 4.9%
Consumer Discretionary — 0.3%
Rent-A-Center
6.625%, 11/15/20		433		455
Target
0.636%, 07/18/14 (B)		200		200
				655
Consumer Staples — 0.5%
American Renal Holdings
8.375%, 05/15/18		250		262
Anheuser-Busch InBev Worldwide
0.827%, 07/14/14 (B)		200		201

SEI Institutional Investments Trust / Annual Report / May 31, 2012 57

SCHEDULE OF INVESTMENTS

Enhanced LIBOR Opportunities Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Bottling Group LLC
4.625%, 11/15/12	$	55	$	56
Elizabeth Arden
7.375%, 03/15/21		100		109
Kraft Foods Group
1.625%, 06/04/15 (C)		125		127
PepsiCo
0.800%, 08/25/14		120		120
Reynolds Group Issuer
6.875%, 02/15/21 (C)		185		188
UR Financing Escrow
5.750%, 07/15/18 (C)		100		102
				1,165
Energy — 0.3%
Canadian Natural Resources
5.700%, 05/15/17		150		176
Energy Transfer Equity
7.500%, 10/15/20		500		540
				716
Financials — 2.0%
Allstate Life Global Funding Trusts MTN
5.375%, 04/30/13		100		104
American Express Credit
1.324%, 06/24/14 (B)		250		250
American Honda Finance
1.850%, 09/19/14 (C)		200		203
Bank of America MTN
1.886%, 01/30/14 (B)		200		197
Bank of Montreal MTN
0.936%, 04/29/14 (B)		125		125
BB&T
1.166%, 04/28/14 (B)		125		126
Caterpillar Financial Services MTN
1.375%, 05/20/14		95		96
Citigroup
0.745%, 06/09/16 (B)		150		127
General Electric Capital MTN
2.625%, 12/28/12		300		304
2.125%, 12/21/12		400		404
1.336%, 05/09/16 (B)		150		148
Goldman Sachs Group
1.466%, 02/07/14 (B)		150		146
HSBC Bank
0.897%, 05/15/13 (B) (C)		200		200
John Deere Capital MTN
0.617%, 07/15/13 (B)		250		251
JPMorgan Chase
2.125%, 12/26/12		150		151
JPMorgan Chase Capital XXI
1.416%, 02/02/37 (B)		250		179

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Monumental Global Funding
0.667%, 01/15/14 (B) (C)	$	230	$	226
Morgan Stanley MTN
0.769%, 01/09/14 (B)		200		189
Reinsurance Group of America
5.625%, 03/15/17		200		219
Royal Bank of Canada MTN
0.766%, 04/17/14 (B)		250		250
Standard Chartered
1.417%, 05/12/14 (B) (C)		200		200
Toronto-Dominion Bank
0.767%, 07/14/14 (B)		105		105
Unitrin
6.000%, 05/15/17		110		117
Wells Fargo MTN
1.250%, 02/13/15		100		100
				4,417
Health Care — 0.5%
Alere
9.000%, 05/15/16		800		800
Express Scripts
5.250%, 06/15/12		100		100
Sanofi
0.783%, 03/28/14 (B)		75		75
				975
Industrials — 0.5%
Caterpillar
1.375%, 05/27/14		100		101
Continental Airlines
0.834%, 06/02/13 (B)		142		138
Danaher
1.300%, 06/23/14		135		137
Packaging Dynamics
8.750%, 02/01/16 (C)		600		630
United Technologies
1.200%, 06/01/15		56		57
				1,063
Information Technology — 0.2%
Hewlett-Packard
0.867%, 05/30/14 (B)		175		173
Texas Instruments
0.647%, 05/15/13 (B)		150		151
Xerox
1.286%, 05/16/14 (B)		160		159
				483
Materials — 0.1%
E.I. du Pont de Nemours
0.894%, 03/25/14 (B)		70		71

58 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Telecommunication Services — 0.4%
Hughes Satellite Systems
6.500%, 06/15/19	$	250	$	254
Telesat Canada
6.000%, 05/15/17 (C)		600		589
				843
Utilities — 0.1%
DTE Energy
1.180%, 06/03/13 (B)		76		76
Georgia Power
1.300%, 09/15/13		150		151
				227
Total Corporate Obligations (Cost $10,642) ($ Thousands)				10,615
ASSET-BACKED SECURITIES — 3.6%
Automotive — 2.1%
Ally Auto Receivables Trust, Ser 2009-B, Cl A4
3.050%, 12/15/14 (C)		150		153
Ally Auto Receivables Trust, Ser 2011-4, Cl A2
0.650%, 03/17/14		53		53
Ally Auto Receivables Trust, Ser 2012-1, Cl A2
0.710%, 09/15/14		100		100
AmeriCredit Automobile Receivables Trust, Ser 2007- DF, Cl A4A
5.560%, 06/06/14		61		61
AmeriCredit Automobile Receivables Trust, Ser 2010-4, Cl B
1.990%, 10/08/15		180		181
AmeriCredit Automobile Receivables Trust, Ser 2010-A, Cl A3
3.510%, 07/06/17		74		76
AmeriCredit Automobile Receivables Trust, Ser 2011-1, Cl A2
0.840%, 06/09/14		49		49
AmeriCredit Automobile Receivables Trust, Ser 2011-2, Cl A2
0.900%, 09/08/14		21		21
AmeriCredit Automobile Receivables Trust, Ser 2011-3, Cl A3
1.170%, 01/08/16		100		101
AmeriCredit Automobile Receivables Trust, Ser 2011-4, Cl A2
0.920%, 03/09/15		62		62
Avis Budget Rental Car Funding LLC, Ser 2009-2A, Cl A
5.680%, 02/20/14 (C)		110		113

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Avis Budget Rental Car Funding LLC, Ser 2010-2A, Cl A
3.630%, 08/20/14 (C)	$	100	$	102
Bank of America Auto Trust, Ser 2009-1A, Cl A4
3.520%, 06/15/16 (C)		145		147
Bank of America Auto Trust, Ser 2010-1A, Cl A3
1.390%, 03/15/14 (C)		39		39
Bank of America Auto Trust, Ser 2010-2, Cl A3
1.310%, 07/15/14		128		128
Bank of America Auto Trust, Ser 2012-1, Cl A3
0.780%, 06/15/16		50		50
BMW Vehicle Lease Trust, Ser 2010-1, Cl A3
0.820%, 04/15/13		95		95
BMW Vehicle Lease Trust, Ser 2011-1, Cl A3
1.060%, 02/20/14		60		60
BMW Vehicle Owner Trust, Ser 2011-A, Cl A3
0.760%, 08/25/15		150		150
CarMax Auto Owner Trust, Ser 2009-2, Cl A4
2.820%, 12/15/14		210		215
CarMax Auto Owner Trust, Ser 2010-1, Cl A4
2.400%, 04/15/15		100		102
CarMax Auto Owner Trust, Ser 2012-1, Cl A3
0.890%, 09/15/16		45		45
Ford Credit Auto Lease Trust, Ser 2010-B, Cl A4
1.040%, 12/15/13 (C)		175		175
Ford Credit Auto Lease Trust, Ser 2011-A, Cl A2
0.740%, 09/15/13		91		91
Ford Credit Auto Lease Trust, Ser 2011-B, Cl A2
0.820%, 01/15/14		200		200
Ford Credit Auto Owner Trust, Ser 2009-D, Cl A4
2.980%, 08/15/14		105		107
Ford Credit Auto Owner Trust, Ser 2011-B, Cl A3
0.840%, 06/15/15		105		105
Ford Credit Floorplan Master Owner Trust, Ser 2012-1, Cl A
0.709%, 01/15/16 (B)		150		151
Harley-Davidson Motorcycle Trust, Ser 2009-4, Cl A4
2.400%, 07/15/14		105		105

SEI Institutional Investments Trust / Annual Report / May 31, 2012 59

SCHEDULE OF INVESTMENTS

Enhanced LIBOR Opportunities Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Harley-Davidson Motorcycle Trust, Ser 2011-1, Cl A3
0.960%, 05/16/16	$	165	$	165
Hertz Vehicle Financing LLC, Ser 2011-1A, Cl A1
2.200%, 03/25/16 (C)		150		153
Honda Auto Receivables Owner Trust, Ser 2011-2, Cl A3
0.940%, 03/18/15		90		90
Huntington Auto Trust, Ser 2009- 1A, Cl A4
5.730%, 01/15/14 (C)		43		43
Huntington Auto Trust, Ser 2011- 1A, Cl A3
1.010%, 01/15/16 (C)		100		100
Hyundai Auto Lease Securitization Trust, Ser 2011- A, Cl A2
0.690%, 11/15/13 (C)		89		89
Hyundai Auto Receivables Trust, Ser 2009-A, Cl A3
2.030%, 08/15/13		26		26
Hyundai Auto Receivables Trust, Ser 2011-B, Cl A2
0.590%, 03/15/14		57		57
Mercedes-Benz Auto Receivables Trust, Ser 2011-1, Cl A3
0.850%, 03/16/15		105		105
MMCA Automobile Trust, Ser 2012-A, Cl A2
0.810%, 08/15/14 (C)		125		125
Nissan Auto Lease Trust, Ser 2011-A, Cl A3
1.040%, 08/15/14		200		201
Nissan Auto Receivables Owner Trust, Ser 2011-A, Cl A2
0.650%, 12/16/13		105		105
Santander Consumer Acquired Receivables Trust, Ser 2011- WO, Cl A2
0.910%, 11/15/13 (C)		10		10
Santander Drive Auto Receivables Trust, Ser 2011-1, Cl A2
0.940%, 02/18/14		55		55
Santander Drive Auto Receivables Trust, Ser 2012-1, Cl A2
1.250%, 04/15/15		85		85
Toyota Auto Receivables Owner Trust, Ser 2012-A, Cl A3
0.750%, 02/16/16		100		100
Volkswagen Auto Loan Enhanced Trust, Ser 2012-1, Cl A2
0.610%, 10/20/14		31		31

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
World Omni Auto Receivables Trust, Ser 2011-A, Cl A2
0.640%, 11/15/13	$	14	$	14
World Omni Automobile Lease Securitization Trust, Ser 2011- A, Cl A2
0.810%, 10/15/13		68		68
				4,659
Credit Cards — 0.4%
American Express Credit Account Master Trust, Ser 2007-2, Cl B
0.419%, 09/15/16 (B)		145		144
Citibank Credit Card Issuance Trust, Ser 2007-B5, Cl B5
0.859%, 11/07/14 (B)		250		250
Citibank Omni Master Trust, Ser 2009-A12, Cl A12
3.350%, 08/15/16 (C)		250		252
Citibank Omni Master Trust, Ser 2009-A13, Cl A13
5.350%, 08/15/18 (C)		250		273
				919
Mortgage Related Securities — 0.4%
Morgan Stanley Home Equity Loan Trust, Ser 2005-3, Cl M1
0.689%, 08/25/35 (B)		350		297
Morgan Stanley Home Equity Loan Trust, Ser 2005-4, Cl M1
0.649%, 09/25/35 (B)		370		194
Option One Mortgage Loan Trust, Ser 2005-5, Cl M1
0.629%, 12/25/35 (B)		470		229
Residential Asset Securities, Ser 2005-KS12, Cl M1
0.679%, 01/25/36 (B)		375		186
				906
Other Asset-Backed Securities — 0.7%
Ally Master Owner Trust, Ser 2010-3, Cl A
2.880%, 04/15/15 (C)		250		253
CNH Equipment Trust, Ser 2011- A, Cl A2
0.620%, 06/16/14		4		4
Ford Credit Floorplan Master Owner Trust, Ser 2009-2, Cl A
1.789%, 09/15/14 (B)		175		176
Ford Credit Floorplan Master Owner Trust, Ser 2010-1, Cl B
2.489%, 12/15/14 (B) (C)		135		136

60 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Ford Credit Floorplan Master Owner Trust, Ser 2010-1, Cl M15
1.889%, 12/15/14 (B) (C)	$	200	$	202
GE Dealer Floorplan Master Note Trust, Ser 2009-2A, Cl A
1.789%, 10/20/14 (B) (C)		225		226
GE Equipment Midticket LLC, Ser 2010-1, Cl A3
0.940%, 07/14/14 (C)		89		89
John Deere Owner Trust, Ser 2011-A, Cl A2
0.640%, 06/16/14		45		45
Navistar Financial Dealer Note Master Trust, Ser 2009-1, Cl A
1.689%, 10/26/15 (B) (C)		200		201
SLM Student Loan Trust, Ser 2011-B, Cl A1
1.089%, 12/16/24 (B) (C)		102		102
				1,434
Total Asset-Backed Securities (Cost $8,597) ($ Thousands)				7,918
MORTGAGE-BACKED SECURITIES — 3.5%
Agency Mortgage-Backed Obligations — 2.2%
FHLMC TBA
4.000%, 06/15/41		1,000		1,061
FNMA
6.000%, 09/01/39 to
04/01/40		452		499
FNMA TBA
4.500%, 06/17/19		900		964
4.000%, 06/01/26		200		212
3.000%, 06/25/27		1,500		1,570
NCUA Guaranteed Notes
0.259%, 06/12/13 (B)		260		260
NCUA Guaranteed Notes CMO, Ser 2011-R6, Cl 1A
0.619%, 05/07/20 (B)		72		71
NCUA Guaranteed Notes, Ser 2010-R1, Cl 1A
0.689%, 10/07/20 (B)		270		271
				4,908
Non-Agency Mortgage-Backed Obligations — 1.3%
American Tower Trust, Ser 2007- 1A, Cl D
5.957%, 04/15/37 (C)		125		131
Banc of America Funding, Ser 2005-F, Cl 4A1
2.792%, 09/20/35 (B)		332		221

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Banc of America Funding, Ser 2006-D, Cl 3A1
3.108%, 05/20/36 (B)	$	265	$	195
Banc of America Large Loan, Ser 2007-BMB1, Cl A1
0.749%, 08/15/29 (B) (C)		16		16
Banc of America Mortgage Securities, Ser 2005-A, Cl 2A1
3.002%, 02/25/35 (B)		143		122
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2006-1, Cl A1
2.520%, 02/25/36 (B)		256		225
Commercial Mortgage Pass-Through Certificates, Ser 2006- FL12, Cl A2
0.339%, 12/15/20 (B) (C)		46		45
GMAC Mortgage Loan Trust, Ser 2006-AR1, Cl 1A1
3.097%, 04/19/36 (B)		298		204
JPMorgan Chase Commercial Mortgage Securities, Ser 2011- C4, Cl A1
1.525%, 07/15/46 (C)		81		82
JPMorgan Chase Commercial Mortgage Securities, Ser LDP4, Cl A3A2
4.903%, 10/15/42		200		200
JPMorgan Mortgage Trust, Ser 2007-A4, Cl 1A1
3.804%, 06/25/37 (B)		230		156
Master Adjustable Rate Mortgages Trust, Ser 2005-6, Cl 5A1
2.611%, 07/25/35 (B)		279		212
Merrill Lynch Mortgage-Backed Securities Trust, Ser 2007-2, Cl 1A1
2.569%, 08/25/36 (B)		269		187
Washington Mutual Mortgage Pass-Through Certificate, Ser 2005-AR14, Cl 1A4
2.457%, 12/25/35 (B)		273		235
Wells Fargo Commercial Mortgage Trust, Ser 2011-C3, Cl A1
1.988%, 03/15/44 (C)		87		89
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-Z, Cl 2A1
2.615%, 12/25/34 (B)		237		233
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005- AR16, Cl 6A3
2.706%, 10/25/35 (B)		94		88
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006- AR2, Cl 2A3
2.628%, 03/25/36 (B)		100		86
				2,727
Total Mortgage-Backed Securities (Cost $8,220) ($ Thousands)				7,635

SEI Institutional Investments Trust / Annual Report / May 31, 2012 61

SCHEDULE OF INVESTMENTS

Enhanced LIBOR Opportunities Fund (Concluded)

May 31, 2012

Description	Face Amount ($ Thousands)/Shares		Market Value ($ Thousands)
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.3%
FHLB
0.180%, 01/09/13	$	1,100	$	1,100
FHLMC
1.625%, 04/15/13		500		506
1.375%, 01/09/13		500		503
FNMA
1.000%, 12/27/12		700		703
Total U.S. Government Agency Obligations (Cost $2,811) ($ Thousands)				2,812
MUNICIPAL BOND — 0.1%
New Jersey State, Turnpike Authority, Ser B, RB, AMBAC
4.252%, 01/01/16		200		208
Total Municipal Bonds (Cost $208) ($ Thousands)				208
CERTIFICATE OF DEPOSIT — 0.1%
Canadian Imperial Bank of Commerce NY
0.420%, 06/29/12		200		200
Total Certificate of Deposit (Cost $200) ($ Thousands)				200
CASH EQUIVALENT — 7.8%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.100%†*		17,107,929		17,108
Total Cash Equivalent (Cost $17,108) ($ Thousands)				17,108
AFFILIATED PARTNERSHIP — 51.1%
SEI LIBOR Plus Portfolio†**		15,567,581		111,931
Total Affiliated Partnership (Cost $128,384) ($ Thousands)				111,931
Total Investments — 102.1% (Cost $242,686) ($ Thousands)			$	223,535

A list of the open futures contracts held by the Fund at May 31, 2012, is as follows:

Type of Contract	Number of Contracts Short			Expiration Date		Unrealized Depreciation ($ Thousands)
U.S. 2-Year Treasury Note		(3	)		Sep-2012	$	—
U.S. 5-Year Treasury Note		(7	)		Sep-2012		(3	)
U.S. 10-Year Treasury Note		(2	)		Sep-2012		(2	)
U.S. Long Treasury Bond		(1	)		Sep-2012		(2	)
						$	(7	)

For the year ended May 31, 2012, 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 $218,959 ($ Thousands).

* The rate reported is the 7-day effective yield as of May 31, 2012.

† Investment in Affiliated Security (see Note 5).

(A) Unsettled bank loan. Interest rate not available.

(B) Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of May 31, 2012. 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) Unfunded bank loan.

** 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.

AMBAC — American Municipal Bond Assurance Corporation

Cl — Class

CMO — Collateralized Mortgage Obligation

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

LIBOR — London Interbank Offered Rate

LLC — Limited Liability Company

L.P. — Limited Partnership

MTN — Medium Term Note

NCUA — National Credit Union Association

NY — New York

RB — Revenue Bond

Ser — Series

TBA — To Be Announced

The following is a list of the inputs used as of May 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Loan Participations	$	—	$	65,108	$	—	$	65,108
Corporate Obligations		—		10,615		—		10,615
Asset-Backed Securities		—		7,918		—		7,918
Mortgage-Backed Securities		—		7,635		—		7,635
U.S. Government Agency Obligations		—		2,812		—		2,812
Municipal Bond		—		208		—		208
Certificate of Deposit		—		200		—		200
Cash Equivalent		17,108		—		—		17,108
Affiliated Partnership		111,931		—		—		111,931
Total Investments in Securities	$	129,039	$	94,496	$	—	$	223,535

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(7	)	$	—	$	—	$	(7	)

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

For the year ended May 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2012, there were no 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.

62 SEI Institutional Investments Trust / Annual Report / May 31, 2012

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES — 41.8%
Agency Mortgage-Backed Obligations — 33.3%
FHLB CMO, Ser 2007-1067, Cl 1
5.300%, 06/15/12	$	488	$	488
FHLMC
11.000%, 02/17/21		1,093		1,161
10.000%, 03/17/26 to 10/01/30		2,527		2,902
7.500%, 08/01/30 to 09/01/38		1,988		2,405
7.000%, 11/01/15 to 09/01/25		129		151
6.500%, 06/01/17 to 09/01/39		9,788		11,053
6.000%, 05/01/17 to 10/01/38		29,379		32,733
5.625%, 11/23/35 (J)		1,581		1,802
5.500%, 12/01/13 to 10/01/39		60,237		66,673
5.125%, 11/17/17		5,000		6,064
5.000%, 04/18/17 to 08/01/41		54,172		59,509
4.500%, 07/01/26 to 06/15/42		71,848		78,629
4.000%, 11/01/31 to 06/15/42		102,204		110,048
3.500%, 12/01/25 to 06/01/41		37,375		39,399
0.650%, 05/15/42		2,000		2,006
FHLMC ARM (A)
6.436%, 12/01/36		387		419
6.415%, 11/01/37		310		337
6.393%, 02/01/37		326		354
6.211%, 05/01/37		534		572
6.187%, 09/01/36		334		361
6.046%, 10/01/37		906		961
6.024%, 11/01/36		599		638
6.012%, 04/01/37		191		208
6.007%, 02/01/37		196		209
5.992%, 04/01/37		810		865
5.960%, 05/01/37		2,925		3,108
5.924%, 03/01/37		140		152
5.832%, 11/01/37		7		8
5.826%, 08/01/37		796		853
5.769%, 04/01/38		223		237
5.661%, 11/01/39		8,828		9,571

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
5.626%, 06/01/37	$	551	$	598
5.609%, 10/01/38		525		569
5.542%, 05/01/36		821		883
5.462%, 08/01/37		1,537		1,631
5.126%, 01/01/36		2,020		2,172
5.055%, 07/01/36		767		822
4.989%, 01/01/35		288		309
4.015%, 05/01/37		405		434
3.798%, 05/01/37		190		202
3.531%, 05/01/37		1,424		1,521
3.477%, 05/01/37		226		240
3.425%, 05/01/36		632		672
3.408%, 11/01/36		546		580
3.239%, 05/01/38		563		602
3.226%, 03/01/37		329		351
3.220%, 03/01/37		611		652
3.204%, 04/01/37		135		145
3.125%, 05/01/37		623		666
3.063%, 12/01/36		323		343
2.929%, 12/01/36		749		799
2.886%, 11/01/36		164		176
2.860%, 02/01/37		904		957
2.807%, 09/01/36		947		1,014
2.627%, 01/01/37		1,342		1,427
2.567%, 09/01/36		366		389
2.499%, 11/01/36		464		495
2.488%, 08/01/36		1,171		1,247
2.483%, 10/01/36		1,665		1,776
2.480%, 10/01/36		744		790
2.470%, 12/01/36		634		679
2.466%, 10/01/36		962		1,029
2.448%, 05/01/36		418		440
2.414%, 07/01/36 to 12/01/36		1,490		1,588
2.411%, 09/01/36		4,253		4,541
2.345%, 10/01/36		188		201
2.336%, 08/01/36		441		468
2.300%, 04/01/37		228		243
FHLMC CMO, Ser 1988-1, Cl Z
9.300%, 04/15/19		15		17
FHLMC CMO, Ser 1991-1142, Cl IA
7.000%, 10/15/21		249		282
FHLMC CMO, Ser 1993-1611, Cl Z
6.500%, 11/15/23		8,400		9,400
FHLMC CMO, Ser 1998-2043, Cl CJ
6.500%, 04/15/28		927		1,059
FHLMC CMO, Ser 1998-2075, Cl D
6.500%, 08/15/28		1,060		1,095
FHLMC CMO, Ser 1999-2138, Cl KS, IO
7.460%, 02/15/29		792		49
FHLMC CMO, Ser 2001-2293, Cl ZA
6.000%, 03/15/31		1,114		1,247
FHLMC CMO, Ser 2001-2312, Cl Z
6.500%, 05/15/31		755		865

SEI Institutional Investments Trust / Annual Report / May 31, 2012 63

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FHLMC CMO, Ser 2001-2357, Cl ZJ
6.500%, 09/15/31	$	155	$	171
FHLMC CMO, Ser 2002-2434, Cl ZA
6.500%, 04/15/32		2,117		2,423
FHLMC CMO, Ser 2002-2456, Cl CJ
6.500%, 06/15/32		522		582
FHLMC CMO, Ser 2002-2458, Cl ZM
6.500%, 06/15/32		1,045		1,163
FHLMC CMO, Ser 2002-41, Cl 2A
6.976%, 07/25/32 (A)		764		875
FHLMC CMO, Ser 2002-42, Cl A5
7.500%, 02/25/42		1,007		1,227
FHLMC CMO, Ser 2002-48, Cl 1A
6.261%, 07/25/33 (A)		54		63
FHLMC CMO, Ser 2003-2551, Cl NS
14.043%, 01/15/33 (A)		539		662
FHLMC CMO, Ser 2003-2587, Cl CO, PO
0.000%, 03/15/32		186		185
FHLMC CMO, Ser 2003-2591, Cl QO
4.500%, 03/15/18		830		883
FHLMC CMO, Ser 2003-2631, Cl SA
14.412%, 06/15/33 (A)		423		524
FHLMC CMO, Ser 2003-2671, Cl S
14.318%, 09/15/33 (A)		414		508
FHLMC CMO, Ser 2003-2690, Cl SJ
8.792%, 10/15/33 (A)		245		254
FHLMC CMO, Ser 2003-2695, Cl OB, PO
0.100%, 10/15/33		72		69
FHLMC CMO, Ser 2003-2695, Cl SX
15.981%, 10/15/33 (A)		86		89
FHLMC CMO, Ser 2003-2725, Cl OP, PO
0.000%, 10/15/33		113		113
FHLMC CMO, Ser 2003-2725, Cl SC
8.717%, 11/15/33 (A)		219		253
FHLMC CMO, Ser 2003-54, Cl 2A
6.500%, 02/25/43		537		598
FHLMC CMO, Ser 2003-54, Cl 3A
7.000%, 02/25/43		679		811
FHLMC CMO, Ser 2003-57, Cl 1A1
6.500%, 07/25/43		610		699
FHLMC CMO, Ser 2003-57, Cl 1A2
7.000%, 07/25/43		736		850
FHLMC CMO, Ser 2003-57, Cl 1A3
7.500%, 07/25/43		605		702
FHLMC CMO, Ser 2003-58, Cl 4A
7.500%, 09/25/43		817		970
FHLMC CMO, Ser 2004-2764, Cl UG
5.000%, 03/15/34		1,500		1,739
FHLMC CMO, Ser 2004-2777, Cl KO, PO
0.000%, 02/15/33		653		649
FHLMC CMO, Ser 2004-2778, Cl JD
5.000%, 12/15/32		1,436		1,497
FHLMC CMO, Ser 2004-2812, Cl NO, PO
0.000%, 10/15/33		106		104

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FHLMC CMO, Ser 2004-2827, Cl CS
15.839%, 04/15/32 (A)	$	1	$	1
FHLMC CMO, Ser 2004-2835, Cl BO, PO
0.000%, 12/15/28		216		208
FHLMC CMO, Ser 2004-2864, Cl NB
5.500%, 07/15/33		2,000		2,257
FHLMC CMO, Ser 2004-59, Cl 1A3
7.500%, 10/25/43		826		950
FHLMC CMO, Ser 2004-60, Cl 1A2
7.000%, 03/25/44		629		733
FHLMC CMO, Ser 2004-60, Cl 1A3
7.500%, 03/25/44		844		968
FHLMC CMO, Ser 2005-2945, Cl SA
11.864%, 03/15/20 (A)		1,668		1,948
FHLMC CMO, Ser 2005-2950, Cl JO, PO
0.000%, 03/15/20		282		275
FHLMC CMO, Ser 2005-2981, Cl FA
0.640%, 05/15/35 (A)		576		576
FHLMC CMO, Ser 2005-2990, Cl LK
0.609%, 10/15/34 (A)		682		684
FHLMC CMO, Ser 2005-2991, Cl EG
5.500%, 11/15/34		970		1,002
FHLMC CMO, Ser 2005-3001, Cl HP
21.045%, 05/15/35 (A)		126		196
FHLMC CMO, Ser 2005-3006, Cl QS
19.504%, 07/15/35 (A)		657		966
FHLMC CMO, Ser 2005-3012, Cl GK
23.676%, 06/15/35 (A)		133		215
FHLMC CMO, Ser 2005-3049, Cl XF
0.589%, 05/15/33 (A)		748		748
FHLMC CMO, Ser 2005-3077, Cl TO, PO
0.000%, 04/15/35		467		451
FHLMC CMO, Ser 2006-3100, Cl PO, PO
0.000%, 01/15/36		776		754
FHLMC CMO, Ser 2006-3101, Cl UZ
6.000%, 01/15/36		2,180		2,502
FHLMC CMO, Ser 2006-3102, Cl FB
0.539%, 01/15/36 (A)		446		447
FHLMC CMO, Ser 2006-3137, Cl XP
6.000%, 04/15/36		820		925
FHLMC CMO, Ser 2006-3151, Cl PO, PO
0.000%, 05/15/36		435		419
FHLMC CMO, Ser 2006-3153, Cl EO, PO
0.000%, 05/15/36		710		681
FHLMC CMO, Ser 2006-3164, Cl MG
6.000%, 06/15/36		1,500		1,677
FHLMC CMO, Ser 2006-3189, Cl PC
6.000%, 08/15/35		2,000		2,166
FHLMC CMO, Ser 2006-3195, Cl PD
6.500%, 07/15/36		2,050		2,307
FHLMC CMO, Ser 2006-3200, Cl AY
5.500%, 08/15/36		1,000		1,117
FHLMC CMO, Ser 2006-3202, Cl HI, IO
6.411%, 08/15/36 (A)		966		173

64 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FHLMC CMO, Ser 2006-3217, Cl CX, IO
6.351%, 09/15/36 (A)	$	652	$	91
FHLMC CMO, Ser 2007-3262, Cl SG, IO
6.161%, 01/15/37 (A)		1,017		165
FHLMC CMO, Ser 2007-3312, Cl BP
5.500%, 01/15/31		223		227
FHLMC CMO, Ser 2007-3316, PO
0.000%, 05/15/37		170		157
FHLMC CMO, Ser 2007-3316, Cl GD
5.500%, 06/15/35		2,000		2,115
FHLMC CMO, Ser 2007-3342, Cl VG
6.000%, 11/15/23		1,000		1,087
FHLMC CMO, Ser 2007-3346, Cl FA
0.469%, 02/15/19 (A)		8,037		8,041
FHLMC CMO, Ser 2007-3373, Cl TO, PO
0.000%, 04/15/37		223		214
FHLMC CMO, Ser 2007-3383, Cl SA, IO
6.211%, 11/15/37 (A)		921		135
FHLMC CMO, Ser 2007-3385, Cl SN, IO
5.761%, 11/15/37 (A)		1,128		139
FHLMC CMO, Ser 2007-3387, Cl SA, IO
6.181%, 11/15/37 (A)		681		99
FHLMC CMO, Ser 2007-76, Cl 2A
4.754%, 10/25/37 (A)		1,254		1,272
FHLMC CMO, Ser 2008-3407, Cl B
5.500%, 01/15/38		1,947		2,150
FHLMC CMO, Ser 2008-3422, Cl SE
16.853%, 02/15/38 (A)		166		227
FHLMC CMO, Ser 2008-3451, Cl SA, IO
5.811%, 05/15/38 (A)		1,161		140
FHLMC CMO, Ser 2008-3451, Cl SB
5.791%, 05/15/38 (A)		6,108		705
FHLMC CMO, Ser 2008-3455, Cl SE, IO
5.961%, 06/15/38 (A)		2,779		437
FHLMC CMO, Ser 2008-3461, Cl LZ
6.000%, 06/15/38		632		708
FHLMC CMO, Ser 2009-3508, Cl PK
4.000%, 02/15/39		755		799
FHLMC CMO, Ser 2009-3510, Cl OD, PO
0.000%, 02/15/37		686		665
FHLMC CMO, Ser 2009-3515, Cl PIM15, IO
5.500%, 07/15/37		905		88
FHLMC CMO, Ser 2009-3523, Cl SD
19.006%, 06/15/36 (A)		518		722
FHLMC CMO, Ser 2009-3529, Cl AG
6.500%, 04/15/39		6,620		7,439
FHLMC CMO, Ser 2009-3546, Cl A
6.123%, 02/15/39 (A)		335		358
FHLMC CMO, Ser 2009-3598, Cl MA
4.500%, 11/15/38		1,611		1,679
FHLMC CMO, Ser 2009-3604, Cl PO, PO
0.000%, 05/15/36		648		622

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FHLMC CMO, Ser 2009-3607, Cl AO, PO
0.000%, 04/15/36	$	700	$	663
FHLMC CMO, Ser 2009-3607, Cl BOPO, PO
0.000%, 04/15/36		500		474
FHLMC CMO, Ser 2009-3607, Cl TO, PO
0.000%, 10/15/39		647		621
FHLMC CMO, Ser 2009-3608, Cl SC, IO
6.011%, 12/15/39 (A)		2,592		398
FHLMC CMO, Ser 2009-3611, Cl PO, PO
0.000%, 07/15/34		467		446
FHLMC CMO, Ser 2009-3613, Cl HJ
5.500%, 12/15/39		10,727		11,734
FHLMC CMO, Ser 2010-3621, IO
5.991%, 01/15/40 (A)		722		110
FHLMC CMO, Ser 2010-3621, Cl BO, PO
0.000%, 01/15/40		555		536
FHLMC CMO, Ser 2010-3622, Cl WA
5.500%, 09/15/39		3,898		4,238
FHLMC CMO, Ser 2010-3626, Cl MA
5.000%, 02/15/30		9,178		9,494
FHLMC CMO, Ser 2010-3631, Cl PA
4.000%, 02/15/40		3,658		3,867
FHLMC CMO, Ser 2010-3632, Cl BS
16.704%, 02/15/40 (A)		400		646
FHLMC CMO, Ser 2010-3659, Cl VE
5.000%, 03/15/26		3,638		4,073
FHLMC CMO, Ser 2010-3664, Cl DA
4.000%, 11/15/37		1,268		1,328
FHLMC CMO, Ser 2010-3680, Cl MA
4.500%, 07/15/39		1,760		1,929
FHLMC CMO, Ser 2010-3688, Cl NI, IO
5.000%, 04/15/32		2,171		265
FHLMC CMO, Ser 2010-3704, Cl CT
7.000%, 12/15/36		2,342		2,741
FHLMC CMO, Ser 2010-3704, Cl DT
7.500%, 11/15/36		760		893
FHLMC CMO, Ser 2010-3714, Cl IP, IO
5.000%, 08/15/40		1,760		272
FHLMC CMO, Ser 2010-3739, Cl LI, IO
4.000%, 03/15/34		2,147		184
FHLMC CMO, Ser 2010-3740, Cl SC, IO
5.761%, 10/15/40 (A)		1,812		385
FHLMC CMO, Ser 2010-3756, Cl IP, IO
4.000%, 08/15/35		2,618		140
FHLMC CMO, Ser 2010-3759, Cl HI, IO
4.000%, 08/15/37		2,244		236
FHLMC CMO, Ser 2010-3760, Cl GI, IO
4.000%, 10/15/37		1,787		155
FHLMC CMO, Ser 2011-3800, Cl AI, IO
4.000%, 11/15/29		2,556		232
FHLMC CMO, Ser 2011-3802, Cl LS, IO
4.245%, 01/15/40 (A)		3,327		185

SEI Institutional Investments Trust / Annual Report / May 31, 2012 65

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FHLMC CMO, Ser 2011-3819, Cl ZQ
6.000%, 04/15/36	$	1,072	$	1,247
FHLMC CMO, Ser 2011-3852, Cl QN
5.500%, 05/15/41 (A)		672		736
FHLMC CMO, Ser 2011-3895, Cl WA
5.694%, 10/15/38 (A)		739		819
FHLMC CMO, Ser 2012-4012, Cl FN
0.739%, 03/15/42 (A)		1,984		1,989
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser 2009-K003, Cl AAB
4.768%, 05/25/18		2,824		3,180
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser 2010-K005, Cl A2
4.317%, 11/25/19		2,596		2,955
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K006, Cl AX1, IO
1.223%, 01/25/20 (A)		18,800		1,188
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K007, Cl X1, IO
1.407%, 04/25/20 (A)		13,153		944
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K008, Cl X1, IO
1.837%, 06/25/20 (A)		11,139		1,110
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K009, Cl X1, IO
1.679%, 08/25/20 (A)		6,311		553
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K014, IO
1.456%, 04/25/21 (A)		6,074		519
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K015, IO
1.847%, 07/25/21 (A)		6,946		819
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K016, IO
1.585%, 10/25/21 (A)		2,295		262
FHLMC Multifamily Structured Pass- Through Certificates CMO, Ser K017, IO
1.460%, 12/25/21 (A)		3,617		373
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K702, IO
1.729%, 02/25/18 (A)		28,191		2,113
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K703, IO
2.094%, 05/25/18 (A)		8,689		889

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K704, IO
2.165%, 08/25/18 (A)	$	3,287	$	343
FHLMC Reference REMIC CMO, Ser 2006-R007, Cl ZA
6.000%, 05/15/36		3,150		3,711
FHLMC STRIPS CMO, Ser 1998- 197, Cl PO, PO
0.000%, 04/01/28		554		539
FHLMC STRIPS CMO, Ser 2006- 239, Cl S30, IO
7.461%, 08/15/36 (A)		2,625		349
FHLMC STRIPS CMO, Ser 2010- 3747, Cl HI, IO
4.500%, 07/15/37		3,890		466
FHLMC TBA
4.500%, 06/01/42 to 07/25/42		77,885		83,158
4.000%, 06/15/32 to 06/15/41		3,967		4,249
3.500%, 06/15/42		12,740		13,343
3.000%, 06/15/27 to 08/01/42		27,500		28,365
2.500%, 06/15/27		35,440		36,453
FHLMC-GNMA CMO, Ser 1993- 21, Cl L
6.250%, 10/25/23		648		681
FNMA
8.000%, 04/01/15 to 11/01/37		953		1,107
7.500%, 06/01/30 to 04/01/39		2,853		3,436
7.000%, 12/01/15 to 02/01/39		9,002		10,467
6.500%, 05/01/17 to 06/01/40		19,309		22,029
6.000%, 03/01/19 to 11/01/48		125,258		140,161
5.500%, 04/01/14 to 08/01/40		63,315		69,441
5.000%, 02/01/20 to 09/01/41		191,086		209,273
4.640%, 01/01/21		986		1,138
4.540%, 01/01/20		1,456		1,664
4.530%, 12/01/19		3,957		4,523
4.500%, 07/01/20 to 06/15/42		55,170		59,809
4.400%, 02/01/20		6,000		6,823
4.390%, 05/01/21		1,000		1,143
4.380%, 04/01/21		2,000		2,283
4.369%, 02/01/20 to 04/01/20		4,150		4,725
4.340%, 06/01/21		1,000		1,144
4.338%, 11/01/21		6,155		7,027
4.303%, 07/01/21		5,759		6,586
4.300%, 04/01/21		1,200		1,365
4.260%, 07/01/21		1,000		1,136
4.250%, 04/01/21		3,000		3,411
4.240%, 11/01/19 to 06/01/21		2,934		3,309
4.120%, 04/01/20		1,171		1,312
4.066%, 07/01/20		2,500		2,749
4.060%, 07/01/21		1,000		1,123
4.050%, 01/01/21		1,430		1,605
4.000%, 04/01/19 to 12/01/41		76,403		82,070
3.930%, 01/01/21		1,000		1,114
3.895%, 10/09/19 (B) (C)		1,930		1,589

66 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
3.820%, 06/01/17	$	1,942	$	2,122
3.800%, 03/01/18		1,968		2,163
3.740%, 07/01/20		1,393		1,535
3.632%, 12/01/20		4,109		4,526
3.630%, 01/01/18		2,000		2,183
3.590%, 12/01/20		978		1,071
3.584%, 09/01/20		6,939		7,613
3.520%, 01/01/18		2,986		3,247
3.505%, 09/01/20		4,870		5,304
3.500%, 02/01/26 to 11/01/41		39,452		41,848
3.460%, 06/01/17 (C)		1,500		1,421
3.430%, 10/01/20		1,959		2,123
3.380%, 01/01/18		1,500		1,626
3.290%, 10/01/20		1,000		1,081
3.230%, 11/01/20		1,500		1,609
3.000%, 03/01/27		14,121		14,867
2.970%, 11/01/18		1,463		1,556
2.940%, 06/15/42		1,000		1,035
2.790%, 07/01/22		1,000		1,019
2.690%, 10/01/17		1,500		1,582
2.600%, 07/02/42		1,000		1,009
2.370%, 07/30/42		1,000		1,026
2.200%, 07/13/42		2,500		2,539
2.100%, 07/02/42		1,000		1,011
FNMA ARM (A)
6.277%, 09/01/37		4,714		5,165
6.204%, 09/01/37		73		78
6.200%, 08/01/36		242		264
6.171%, 09/01/36		903		977
6.034%, 09/01/37		591		639
5.965%, 07/01/37		276		295
5.922%, 04/01/37		610		653
5.879%, 09/01/37		329		361
5.841%, 03/01/37		3,601		3,884
5.705%, 05/01/37		1,888		2,004
5.611%, 01/01/23		769		840
5.500%, 07/01/37		226		240
5.219%, 11/01/37		381		404
4.242%, 07/01/37		761		810
3.946%, 11/01/36		664		711
3.783%, 11/01/37		708		748
2.977%, 05/01/36		289		308
2.941%, 11/01/36		581		620
2.825%, 10/01/36		1,797		1,923
2.704%, 06/01/36		1,094		1,173
2.675%, 02/01/37		729		777
2.651%, 12/01/36		1,158		1,238
2.592%, 06/01/36		1,018		1,091
2.591%, 08/01/36		399		427
2.553%, 06/01/36		524		560
2.520%, 07/01/36		513		547
2.417%, 10/01/36		433		461
2.375%, 09/01/36		261		278
2.204%, 02/01/37		412		432

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
2.186%, 09/01/36	$	301	$	317
2.110%, 01/01/37		638		671
0.981%, 01/01/19		498		500
FNMA CMO, Ser 1991-113, Cl ZE
7.500%, 09/25/21		204		233
FNMA CMO, Ser 1992-143, Cl M
8.000%, 09/25/22		611		702
FNMA CMO, Ser 1992-41, Cl MA
8.000%, 08/25/22		722		820
FNMA CMO, Ser 1992-69, Cl Z
8.000%, 05/25/22		511		599
FNMA CMO, Ser 1993-149, Cl SH
11.500%, 08/25/23 (A)		220		281
FNMA CMO, Ser 1993-75, Cl ZQ
6.500%, 05/25/23		986		1,096
FNMA CMO, Ser 1993-99, Cl Z
7.000%, 07/25/23		1,153		1,314
FNMA CMO, Ser 1994-31, Cl ZC
6.500%, 02/25/24		800		902
FNMA CMO, Ser 1994-63, Cl PK
7.000%, 04/25/24		727		826
FNMA CMO, Ser 1997-32, Cl PG
6.500%, 04/25/27		525		609
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/29		912		1,003
FNMA CMO, Ser 2000-18, Cl EC, PO
0.000%, 10/25/23		221		206
FNMA CMO, Ser 2001-50, Cl BA
7.000%, 10/25/41		637		687
FNMA CMO, Ser 2001-71, Cl QE
6.000%, 12/25/16		791		845
FNMA CMO, Ser 2001-79, Cl BA
7.000%, 03/25/45		473		528
FNMA CMO, Ser 2002-10, Cl SB
18.627%, 03/25/17 (A)		94		120
FNMA CMO, Ser 2002-33, Cl A2
7.500%, 06/25/32		629		723
FNMA CMO, Ser 2002-81, Cl JO, PO
0.000%, 04/25/32		126		124
FNMA CMO, Ser 2002-90, Cl A1
6.500%, 06/25/42		744		877
FNMA CMO, Ser 2002-95, Cl DB
6.000%, 01/25/33		2,628		2,981
FNMA CMO, Ser 2003-129, Cl ME
5.000%, 08/25/23		1,000		1,076
FNMA CMO, Ser 2003-131, Cl SK
15.722%, 01/25/34 (A)		540		694
FNMA CMO, Ser 2003-17, Cl EQ
5.500%, 03/25/23		2,000		2,327
FNMA CMO, Ser 2003-23, Cl EQ
5.500%, 04/25/23		2,000		2,322
FNMA CMO, Ser 2003-23, Cl PG
5.500%, 01/25/32		447		456
FNMA CMO, Ser 2003-23, Cl Q0, PO
0.000%, 01/25/32		206		203

SEI Institutional Investments Trust / Annual Report / May 31, 2012 67

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FNMA CMO, Ser 2003-24, Cl MV
5.500%, 02/25/14	$	582	$	598
FNMA CMO, Ser 2003-30, Cl HS, IO
7.411%, 07/25/17 (A)		325		9
FNMA CMO, Ser 2003-35, Cl EA, PO
0.000%, 05/25/33		360		342
FNMA CMO, Ser 2003-49, Cl YD
5.500%, 06/25/23		791		870
FNMA CMO, Ser 2003-56, Cl AZ
5.500%, 08/25/31		806		824
FNMA CMO, Ser 2004-101, Cl HD
5.000%, 01/25/20		2,500		2,778
FNMA CMO, Ser 2004-17, Cl H
5.500%, 04/25/34		1,086		1,258
FNMA CMO, Ser 2004-46, Cl EP, PO
0.000%, 03/25/34		581		561
FNMA CMO, Ser 2004-52, Cl PX, PO
0.000%, 09/25/32		195		190
FNMA CMO, Ser 2004-61, Cl BO, PO
0.000%, 10/25/32		489		484
FNMA CMO, Ser 2004-61, Cl CO, PO
0.000%, 10/25/31		25		24
FNMA CMO, Ser 2005-100, Cl BQ
5.500%, 11/25/25		1,500		1,690
FNMA CMO, Ser 2005-106, Cl US
23.691%, 11/25/35 (A)		919		1,494
FNMA CMO, Ser 2005-118, Cl PN
6.000%, 01/25/32		1,653		1,712
FNMA CMO, Ser 2005-123, Cl FG
0.689%, 07/25/34 (A)		166		165
FNMA CMO, Ser 2005-14, Cl BA
4.500%, 04/25/19		492		502
FNMA CMO, Ser 2005-14, Cl BD
4.500%, 03/25/20		1,250		1,351
FNMA CMO, Ser 2005-45, Cl BG
4.500%, 06/25/25		54		54
FNMA CMO, Ser 2005-5, Cl PA
5.000%, 01/25/35		1,230		1,343
FNMA CMO, Ser 2005-64, Cl PL
5.500%, 07/25/35		1,360		1,532
FNMA CMO, Ser 2005-72, Cl SB
16.278%, 08/25/35 (A)		492		659
FNMA CMO, Ser 2005-74, Cl CS
19.363%, 05/25/35 (A)		486		721
FNMA CMO, Ser 2005-74, Cl SK
19.473%, 05/25/35 (A)		372		553
FNMA CMO, Ser 2005-90, Cl ES
16.278%, 10/25/35 (A)		347		497
FNMA CMO, Ser 2005-90, Cl PO, PO
0.000%, 09/25/35		307		292
FNMA CMO, Ser 2005-97, Cl HC
5.000%, 02/25/32		1,750		1,812
FNMA CMO, Ser 2006-117, Cl GS, IO
6.411%, 12/25/36 (A)		650		97

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FNMA CMO, Ser 2006-118, Cl A2
0.299%, 12/25/36 (A)	$	840	$	799
FNMA CMO, Ser 2006-15, Cl OP, PO
0.000%, 03/25/36		404		375
FNMA CMO, Ser 2006-23, Cl FK
0.489%, 04/25/36 (A)		430		430
FNMA CMO, Ser 2006-27, Cl OH, PO
0.000%, 04/25/36		460		431
FNMA CMO, Ser 2006-3, Cl D0, PO
0.000%, 03/25/36		493		471
FNMA CMO, Ser 2006-33, Cl LS
29.076%, 05/25/36 (A)		346		606
FNMA CMO, Ser 2006-43, Cl VB
6.500%, 10/25/17		317		321
FNMA CMO, Ser 2006-44, Cl FP
0.639%, 06/25/36 (A)		541		542
FNMA CMO, Ser 2006-44, Cl P, PO
0.000%, 12/25/33		292		281
FNMA CMO, Ser 2006-46, Cl SW
23.324%, 06/25/36 (A)		419		596
FNMA CMO, Ser 2006-56, Cl CA
6.000%, 07/25/36		652		744
FNMA CMO, Ser 2006-56, Cl FC
0.529%, 07/25/36 (A)		572		572
FNMA CMO, Ser 2006-56, Cl OA, PO
0.000%, 10/25/24		918		904
FNMA CMO, Ser 2006-56, Cl PF
0.589%, 07/25/36 (A)		713		715
FNMA CMO, Ser 2006-60, Cl DO, PO
0.000%, 04/25/35		526		514
FNMA CMO, Ser 2006-60, Cl UO, PO
0.000%, 07/25/36		895		858
FNMA CMO, Ser 2006-63, Cl ZH
6.500%, 07/25/36		954		1,171
FNMA CMO, Ser 2006-75, Cl VD
6.500%, 05/25/17		569		572
FNMA CMO, Ser 2006-78, Cl BZ
6.500%, 08/25/36		730		852
FNMA CMO, Ser 2006-90, Cl BE
6.000%, 04/25/35		2,000		2,215
FNMA CMO, Ser 2006-94, Cl GI, IO
6.411%, 10/25/26 (A)		1,385		220
FNMA CMO, Ser 2007-100, Cl SM, IO
6.211%, 10/25/37 (A)		2,181		316
FNMA CMO, Ser 2007-101, Cl A2
0.489%, 06/27/36 (A)		1,926		1,902
FNMA CMO, Ser 2007-112, Cl SA, IO
6.211%, 12/25/37 (A)		1,392		218
FNMA CMO, Ser 2007-114, Cl A6
0.439%, 10/27/37 (A)		1,600		1,591
FNMA CMO, Ser 2007-116, Cl HI, IO
5.837%, 01/25/38 (A)		1,597		79
FNMA CMO, Ser 2007-116, Cl PB
5.500%, 08/25/35		4,567		5,192

68 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FNMA CMO, Ser 2007-29, Cl SG
21.871%, 04/25/37 (A)	$	316	$	483
FNMA CMO, Ser 2007-43, Cl FL
0.539%, 05/25/37 (A)		331		330
FNMA CMO, Ser 2007-53, Cl SH, IO
5.861%, 06/25/37 (A)		1,509		214
FNMA CMO, Ser 2007-54, Cl FA
0.639%, 06/25/37 (A)		1,210		1,211
FNMA CMO, Ser 2007-60, Cl AX, IO
6.911%, 07/25/37 (A)		2,157		365
FNMA CMO, Ser 2007-65, Cl KI, IO
6.381%, 07/25/37 (A)		1,847		257
FNMA CMO, Ser 2007-72, Cl EK, IO
6.161%, 07/25/37 (A)		2,033		321
FNMA CMO, Ser 2007-75, Cl EO, PO
0.000%, 01/25/36		551		545
FNMA CMO, Ser 2007-79, Cl SB
23.141%, 08/25/37 (A)		165		249
FNMA CMO, Ser 2007-85, Cl SG
15.653%, 09/25/37 (A)		564		794
FNMA CMO, Ser 2007-92, Cl YS, IO
5.541%, 06/25/37 (A)		1,678		244
FNMA CMO, Ser 2008-1, Cl BI, IO
5.671%, 02/25/38 (A)		1,866		244
FNMA CMO, Ser 2008-20, Cl SA, IO
6.751%, 03/25/38 (A)		1,029		156
FNMA CMO, Ser 2008-22, Cl IO, IO
6.191%, 03/25/37 (A)		16,255		2,150
FNMA CMO, Ser 2008-24, Cl DY
5.000%, 04/25/23		1,500		1,679
FNMA CMO, Ser 2008-24, Cl PF
0.889%, 02/25/38 (A)		612		617
FNMA CMO, Ser 2008-32, Cl SA, IO
6.611%, 04/25/38 (A)		829		142
FNMA CMO, Ser 2008-35, Cl IM, IO
0.642%, 10/25/16 (A)		1,636		14
FNMA CMO, Ser 2008-4, Cl SD, IO
5.761%, 02/25/38 (A)		3,167		498
FNMA CMO, Ser 2008-53, Cl CA
5.000%, 07/25/23		3,500		3,885
FNMA CMO, Ser 2008-95, Cl BA
5.000%, 01/25/24		643		745
FNMA CMO, Ser 2009-103, Cl MB
4.000%, 12/25/39 (A)		778		832
FNMA CMO, Ser 2009-105, Cl CB
6.000%, 12/25/39		4,611		5,110
FNMA CMO, Ser 2009-11, Cl LC
4.500%, 03/25/49		2,873		3,054
FNMA CMO, Ser 2009-17, Cl QS, IO
6.411%, 03/25/39 (A)		986		154
FNMA CMO, Ser 2009-30, Cl AD
6.500%, 04/25/39		5,621		6,274
FNMA CMO, Ser 2009-52, Cl PI, IO
5.000%, 07/25/39		1,166		144

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FNMA CMO, Ser 2009-66, Cl KE
4.000%, 09/25/39	$	4,554	$	4,819
FNMA CMO, Ser 2009-70, Cl CO, PO
0.000%, 01/25/37		1,679		1,624
FNMA CMO, Ser 2009-84, Cl WS, IO
5.661%, 10/25/39 (A)		1,255		160
FNMA CMO, Ser 2009-86, Cl BO, PO
0.000%, 03/25/37		9,090		8,791
FNMA CMO, Ser 2009-86, Cl IP, IO
5.500%, 10/25/39		928		120
FNMA CMO, Ser 2009-86, Cl OT, PO
0.000%, 10/25/37		1,102		1,039
FNMA CMO, Ser 2009-86, Cl UI, IO
4.000%, 10/25/14		2,021		101
FNMA CMO, Ser 2009-93, Cl PD
4.500%, 09/25/39		1,448		1,557
FNMA CMO, Ser 2009-99, Cl SC, IO
5.941%, 12/25/39 (A)		1,303		158
FNMA CMO, Ser 2009-M1, Cl A2
4.287%, 07/25/19		3,931		4,421
FNMA CMO, Ser 2009-M2, Cl A3
4.001%, 01/25/19		4,202		4,652
FNMA CMO, Ser 2010-1, Cl WA
6.148%, 02/25/40 (A)		646		736
FNMA CMO, Ser 2010-111, Cl AE
5.500%, 04/25/38		2,711		2,895
FNMA CMO, Ser 2010-118, IO
6.261%, 10/25/40 (A)		3,452		525
FNMA CMO, Ser 2010-123, Cl PM
4.000%, 07/25/40		3,600		3,954
FNMA CMO, Ser 2010-133, Cl A
5.500%, 05/25/38		1,686		1,812
FNMA CMO, Ser 2010-135, Cl LM
4.000%, 12/25/40		489		520
FNMA CMO, Ser 2010-142, IO
6.291%, 12/25/40 (A)		3,237		531
FNMA CMO, Ser 2010-148, Cl MA
4.000%, 02/25/39		1,322		1,401
FNMA CMO, Ser 2010-150, IO
6.291%, 01/25/41 to 01/25/41 (A)		8,702		1,429
6.261%, 01/25/41 (A)		892		146
FNMA CMO, Ser 2010-16, Cl WA
6.428%, 03/25/40 (A)		697		799
FNMA CMO, Ser 2010-23, Cl KS, IO
6.861%, 02/25/40 (A)		1,488		206
FNMA CMO, Ser 2010-35, Cl SB, IO
6.181%, 04/25/40 (A)		1,803		219
FNMA CMO, Ser 2010-39, Cl OT, PO
0.000%, 10/25/35		557		534
FNMA CMO, Ser 2010-45, Cl BD
4.500%, 11/25/38		1,000		1,073
FNMA CMO, Ser 2010-54, Cl EA
4.500%, 06/25/40		4,239		4,551
FNMA CMO, Ser 2010-64, Cl DM
5.000%, 06/25/40		1,403		1,517

SEI Institutional Investments Trust / Annual Report / May 31, 2012 69

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FNMA CMO, Ser 2010-68, Cl SA, IO
4.761%, 07/25/40 (A)	$	3,455	$	475
FNMA CMO, Ser 2010-M1, Cl A2
4.450%, 09/25/19		1,374		1,563
FNMA CMO, Ser 2010-M3, Cl A3
4.332%, 03/25/20 (A)		8,896		10,065
FNMA CMO, Ser 2011-2, Cl WA
5.716%, 02/25/51 (A)		1,203		1,309
FNMA CMO, Ser 2011-30, Cl LS, IO
4.674%, 04/25/41 (A)		3,457		239
FNMA CMO, Ser 2011-43, Cl WA
5.899%, 05/25/51 (A)		1,620		1,793
FNMA CMO, Ser 2011-53, Cl DT
4.500%, 06/25/41		3,969		4,211
FNMA CMO, Ser 2011-53, Cl TN
4.000%, 06/25/41		19,566		20,717
FNMA CMO, Ser 2011-63, IO
6.441%, 07/25/41 (A)		4,300		693
FNMA CMO, Ser 2011-75, Cl FA
0.789%, 08/25/41 (A)		756		760
FNMA CMO, Ser 2011-87, IO
5.711%, 09/25/41 (A)		6,382		1,043
FNMA CMO, Ser 2011-90, IO
5.000%, 05/25/34		5,463		785
FNMA CMO, Ser 2011-96, IO
6.311%, 10/25/41 (A)		7,337		1,273
FNMA CMO, Ser 2011-M1, Cl A3
3.763%, 06/25/21		1,500		1,652
FNMA CMO, Ser 2011-M2, Cl A3
3.764%, 07/25/21		7,500		8,263
FNMA CMO, Ser 2011-M4, Cl A2
3.726%, 06/25/21		2,500		2,749
FNMA CMO, Ser 2012-30, Cl NB
6.500%, 04/25/42		4,242		4,711
FNMA CMO, Ser 2012-35, Cl MB
5.500%, 04/25/42		7,800		8,865
FNMA CMO, Ser 2012-66, IO
5.750%, 06/25/42 (A)		1,100		190
FNMA Grantor Trust CMO, Ser 2000-T6, Cl A1
7.500%, 06/25/30		975		1,140
FNMA Grantor Trust CMO, Ser 2001-T10, Cl A2
7.500%, 12/25/41		1,943		2,299
FNMA Grantor Trust CMO, Ser 2002-T19, Cl A2
7.000%, 07/25/42		645		732
FNMA Grantor Trust CMO, Ser 2004-T3, Cl 1A3
7.000%, 02/25/44		796		929
FNMA Interest STRIPS CMO, Ser 1997-293, Cl 1, PO
0.000%, 12/01/24		540		506

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FNMA Interest STRIPS CMO, Ser 1998-300, PO
0.000%, 09/01/24	$	342	$	321
FNMA Interest STRIPS CMO, Ser 2002-323, Cl 16, IO
7.000%, 01/25/32		727		114
FNMA Interest STRIPS CMO, Ser 2003-334, Cl 16, IO
6.500%, 02/01/33		1,147		209
FNMA TBA
6.000%, 06/01/37		5,500		6,054
5.500%, 07/01/37		9,000		9,804
5.000%, 06/01/38		200		217
4.500%, 07/01/37 to 06/14/42		30,286		32,551
4.000%, 06/01/39		37,600		40,026
3.500%, 06/15/26 to 06/25/42		21,605		22,689
3.000%, 08/25/26 to 06/13/42		65,685		68,184
2.500%, 06/25/27 to 08/25/27		47,500		48,750
FNMA Whole Loan CMO, Ser 2003-W1, Cl 2A
7.073%, 12/25/42 (A)		917		1,078
FNMA Whole Loan CMO, Ser 2003-W17, Cl 1A7
5.750%, 08/25/33		917		1,076
FNMA Whole Loan CMO, Ser 2003-W2, Cl 2A9
5.900%, 07/25/42		1,312		1,523
FNMA Whole Loan CMO, Ser 2003-W6, Cl 3A
6.500%, 09/25/42		542		624
FNMA Whole Loan CMO, Ser 2003-W8, Cl 2A
7.000%, 10/25/42		443		515
FNMA Whole Loan CMO, Ser 2004-W1, Cl 2A2
7.000%, 12/25/33		838		1,012
FNMA Whole Loan CMO, Ser 2004-W10, Cl A6
5.750%, 08/25/34		2,000		2,201
FNMA Whole Loan CMO, Ser 2004-W2, Cl 2A2
7.000%, 02/25/44		921		1,063
FNMA Whole Loan CMO, Ser 2004-W9, Cl 2A1
6.500%, 02/25/44		675		774
FNMA Whole Loan CMO, Ser 2005-W3, Cl 2AF
0.459%, 03/25/45 (A)		2,450		2,436
FNMA Whole Loan CMO, Ser 2006-W1, Cl 1A3
7.500%, 12/25/45		333		389
FNMA Whole Loan CMO, Ser 2006-W2, Cl 1AF1
0.459%, 02/25/36 (A)		578		574

70 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FNMA Whole Loan CMO, Ser 2007-W1, Cl 1AF1
0.499%, 11/25/46 (A)	$	1,271	$	1,266
FNMA Whole Loan CMO, Ser 2007-W7, Cl 1A4
37.747%, 07/25/37 (A)		72		128
FNMA Whole Loan CMO, Ser 2009-W1, Cl A
6.000%, 12/25/49		1,795		2,061
GNMA
9.500%, 12/15/20		7		7
7.500%, 10/15/37 to 09/20/38		1,166		1,392
7.000%, 04/15/26 to 06/15/35		3,745		4,412
6.500%, 01/15/24 to 02/15/39		7,002		8,128
6.000%, 12/15/23 to 10/20/40		32,525		36,676
5.000%, 10/20/39 to 11/20/40		11,203		12,424
4.500%, 01/20/40 to 03/20/41		28,856		31,866
3.500%, 12/20/40 to 03/20/41		3,156		3,324
GNMA ARM (A)
3.500%, 05/20/41 to 10/20/41		8,240		8,732
3.000%, 08/20/41 to 01/20/42		6,735		7,104
1.610%, 01/20/60		1,455		1,503
GNMA CMO, Ser 2001-18, Cl WH
31.548%, 04/20/31 (A)		103		206
GNMA CMO, Ser 2001-22, Cl PS
20.387%, 03/17/31 (A)		751		1,217
GNMA CMO, Ser 2001-61, Cl Z
6.500%, 12/20/31		1,786		2,090
GNMA CMO, Ser 2002-23, Cl SD
20.309%, 04/16/32 (A)		1,073		1,611
GNMA CMO, Ser 2002-51, Cl SG
31.461%, 04/20/31 (A)		91		182
GNMA CMO, Ser 2002-57, Cl SB
108.919%, 08/16/32		79		280
GNMA CMO, Ser 2002-69, Cl SC
15.973%, 02/20/32 (A)		170		189
GNMA CMO, Ser 2003-60, Cl GS
12.019%, 05/16/33 (A)		132		154
GNMA CMO, Ser 2003-75, Cl ZX
6.000%, 09/16/33		4,632		5,306
GNMA CMO, Ser 2003-79, Cl PV
5.500%, 10/20/23		1,094		1,210
GNMA CMO, Ser 2003-97, Cl SA, IO
6.311%, 11/16/33 (A)		540		106
GNMA CMO, Ser 2004-28, Cl SV
8.760%, 04/20/34 (A)		1,276		1,411
GNMA CMO, Ser 2004-34, Cl CS
19.245%, 02/20/34 (A)		64		93
GNMA CMO, Ser 2004-34, Cl JO, PO
0.000%, 02/20/34		210		208
GNMA CMO, Ser 2004-71, Cl ST
7.000%, 09/20/34 (A)		317		345
GNMA CMO, Ser 2004-85, Cl PO, PO
0.000%, 01/17/33		96		94

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GNMA CMO, Ser 2004-87, Cl SB
7.396%, 03/17/33 (A)	$	246	$	268
GNMA CMO, Ser 2005-3, Cl SB, IO
5.860%, 01/20/35 (A)		1,371		214
GNMA CMO, Ser 2005-7, Cl JM
16.195%, 05/18/34 (A)		251		305
GNMA CMO, Ser 2005-92, Cl PB
6.000%, 12/20/35		1,000		1,241
GNMA CMO, Ser 2006-34, Cl PO, PO
0.000%, 07/20/36		148		141
GNMA CMO, Ser 2006-38, Cl SG, IO
6.410%, 09/20/33 (A)		2,306		157
GNMA CMO, Ser 2006-38, Cl SW, IO
6.260%, 06/20/36 (A)		1,222		154
GNMA CMO, Ser 2007-17, Cl AF
0.439%, 04/16/37 (A)		746		746
GNMA CMO, Ser 2007-26, Cl SW, IO
5.960%, 05/20/37 (A)		2,383		379
GNMA CMO, Ser 2007-27, Cl SD, IO
5.960%, 05/20/37 (A)		854		125
GNMA CMO, Ser 2007-42, Cl SB, IO
6.510%, 07/20/37 (A)		1,183		188
GNMA CMO, Ser 2007-45, Cl QA, IO
6.400%, 07/20/37 (A)		769		123
GNMA CMO, Ser 2007-72, Cl USIO, IO
6.310%, 11/20/37 (A)		889		140
GNMA CMO, Ser 2007-78, Cl SA, IO
6.291%, 12/16/37 (A)		11,699		2,151
GNMA CMO, Ser 2007-81, Cl SP, IO
6.410%, 12/20/37 (A)		1,106		179
GNMA CMO, Ser 2007-82, Cl SA, IO
6.290%, 12/20/37 (A)		723		116
GNMA CMO, Ser 2007-9, Cl CI, IO
5.960%, 03/20/37 (A)		947		142
GNMA CMO, Ser 2008-10, Cl S, IO
5.590%, 02/20/38 (A)		1,314		192
GNMA CMO, Ser 2008-2, Cl MS, IO
6.921%, 01/16/38 (A)		792		125
GNMA CMO, Ser 2008-29, Cl PO, PO
0.000%, 02/17/33		334		312
GNMA CMO, Ser 2008-33, Cl XS, IO
7.461%, 04/16/38 (A)		554		84
GNMA CMO, Ser 2008-55, Cl SA, IO
5.960%, 06/20/38 (A)		1,278		191
GNMA CMO, Ser 2008-60, Cl SH, IO
5.911%, 07/16/38 (A)		724		116
GNMA CMO, Ser 2008-95, Cl DS, IO
7.060%, 12/20/38 (A)		1,925		305
GNMA CMO, Ser 2009-102, Cl SM, IO
6.161%, 06/16/39 (A)		2,670		321
GNMA CMO, Ser 2009-106, Cl AS, IO
6.161%, 11/16/39 (A)		1,839		303
GNMA CMO, Ser 2009-106, Cl KS, IO
6.160%, 11/20/39 (A)		19,354		2,981

SEI Institutional Investments Trust / Annual Report / May 31, 2012 71

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GNMA CMO, Ser 2009-106, Cl SU, IO
5.960%, 05/20/37 (A)	$	4,151	$	642
GNMA CMO, Ser 2009-14, Cl KI, IO
6.500%, 03/20/39		703		131
GNMA CMO, Ser 2009-14, Cl NI, IO
6.500%, 03/20/39		34		6
GNMA CMO, Ser 2009-18, Cl PI, IO
5.500%, 11/16/37		1,228		153
GNMA CMO, Ser 2009-22, Cl SA, IO
6.030%, 04/20/39 (A)		1,940		282
GNMA CMO, Ser 2009-24, Cl DS, IO
6.060%, 03/20/39 (A)		1,133		131
GNMA CMO, Ser 2009-25, Cl SE, IO
7.360%, 09/20/38 (A)		747		106
GNMA CMO, Ser 2009-31, Cl TS, IO
6.060%, 03/20/39 (A)		1,927		257
GNMA CMO, Ser 2009-33, Cl TI, IO
6.000%, 05/20/39		318		47
GNMA CMO, Ser 2009-42, Cl IY, IO
1.000%, 06/16/37 (A)		2,036		61
GNMA CMO, Ser 2009-42, Cl SC, IO
5.840%, 06/20/39 (A)		672		97
GNMA CMO, Ser 2009-43, Cl SA, IO
5.710%, 06/20/39 (A)		1,727		215
GNMA CMO, Ser 2009-44, Cl MV
6.000%, 04/20/20		1,185		1,347
GNMA CMO, Ser 2009-6, Cl SH, IO
5.800%, 02/20/39 (A)		1,442		203
GNMA CMO, Ser 2009-65, Cl IQ, IO
6.000%, 12/20/38		845		112
GNMA CMO, Ser 2009-65, Cl TS, IO
6.160%, 12/20/38 (A)		2,534		327
GNMA CMO, Ser 2009-66, Cl LC
6.000%, 08/16/39		2,245		2,810
GNMA CMO, Ser 2009-67, Cl SA, IO
5.811%, 08/16/39 (A)		1,777		218
GNMA CMO, Ser 2009-72, Cl SM, IO
6.011%, 08/16/39 (A)		2,262		282
GNMA CMO, Ser 2009-75, Cl VM
5.000%, 12/20/19		944		1,039
GNMA CMO, Ser 2009-79, Cl OK, PO
0.000%, 11/16/37		1,233		1,114
GNMA CMO, Ser 2009-83, Cl TS, IO
5.860%, 08/20/39 (A)		1,681		216
GNMA CMO, Ser 2009-87, Cl SI, IO
6.510%, 02/20/35 (A)		966		172
GNMA CMO, Ser 2009-87, Cl TS, IO
5.860%, 07/20/35 (A)		1,853		287
GNMA CMO, Ser 2010-113, Cl BS, IO
5.760%, 09/20/40 (A)		2,827		453
GNMA CMO, Ser 2010-121, IO
5.760%, 09/20/40 (A)		2,366		384
GNMA CMO, Ser 2010-14, Cl AO, PO
0.000%, 12/20/32		612		594

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GNMA CMO, Ser 2010-14, Cl BO, PO
0.000%, 11/20/35	$	651	$	608
GNMA CMO, Ser 2010-14, Cl CO, PO
0.000%, 08/20/35		425		375
GNMA CMO, Ser 2010-14, Cl EO, PO
0.000%, 06/16/33		263		258
GNMA CMO, Ser 2010-14, Cl QP
6.000%, 12/20/39		1,192		1,300
GNMA CMO, Ser 2010-14, Cl SA, IO
7.760%, 12/20/32 (A)		919		139
GNMA CMO, Ser 2010-14, Cl SH, IO
5.761%, 02/16/40 (A)		1,038		213
GNMA CMO, Ser 2010-144, Cl BI, IO
4.000%, 09/16/37		4,490		575
GNMA CMO, Ser 2010-157, Cl OP, PO
0.000%, 12/20/40		1,388		1,224
GNMA CMO, Ser 2010-167, Cl US, IO
6.390%, 11/20/38 (A)		1,017		134
GNMA CMO, Ser 2010-3, Cl MS, IO
6.310%, 11/20/38 (A)		2,770		412
GNMA CMO, Ser 2010-31, Cl GS, IO
6.260%, 03/20/39 (A)		1,216		179
GNMA CMO, Ser 2010-35, IO
5.510%, 03/20/40 (A)		4,268		695
GNMA CMO, Ser 2010-37, IO
5.460%, 03/20/40 (A)		5,114		815
GNMA CMO, Ser 2010-4, Cl NS, IO
6.151%, 01/16/40 (A)		25,382		4,034
GNMA CMO, Ser 2010-47, Cl PX, IO
6.460%, 06/20/37 (A)		3,381		555
GNMA CMO, Ser 2010-47, Cl XN, IO
6.311%, 04/16/34 (A)		1,120		70
GNMA CMO, Ser 2010-59, Cl LB
4.500%, 10/20/39		2,900		3,280
GNMA CMO, Ser 2010-7, Cl EA
5.000%, 06/16/38		895		1,030
GNMA CMO, Ser 2010-85, Cl HS, IO
6.410%, 01/20/40 (A)		1,881		300
GNMA CMO, Ser 2010-93, Cl PS
6.460%, 06/20/35 (A)		324		42
GNMA CMO, Ser 2010-H10, Cl FC
1.239%, 05/20/60 (A)		5,197		5,295
GNMA CMO, Ser 2010-H26, Cl LF
0.591%, 08/20/58 (A)		7,036		6,973
GNMA CMO, Ser 2011-11, IO
5.760%, 01/20/41 (A)		1,639		261
GNMA CMO, Ser 2011-32, IO
5.760%, 03/20/41 (A)		961		151
GNMA CMO, Ser 2011-32, Cl S, IO
5.761%, 03/16/41 (A)		622		86
GNMA CMO, Ser 2011-40, Cl SA, IO
5.891%, 02/16/36 (A)		3,728		490
GNMA CMO, Ser 2011-70, Cl BS, IO
6.461%, 12/16/36 (A)		2,198		335

72 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GNMA CMO, Ser 2011-H09, Cl AF
0.741%, 03/20/61 (A)	$	1,735	$	1,729
GNMA TBA
5.500%, 06/20/37		2,500		2,781
4.500%, 06/01/39		3,800		4,180
4.000%, 06/01/39		10,200		11,147
3.500%, 06/15/41 to 06/25/42		75,725		80,715
NCUA Guaranteed Notes CMO, Ser 2010-C1, Cl A2
2.900%, 10/29/20		1,100		1,166
NCUA Guaranteed Notes CMO, Ser 2010-C1, Cl APT
2.650%, 10/29/20		5,878		6,149
NCUA Guaranteed Notes CMO, Ser 2010-R1, Cl 1A
0.691%, 10/07/20 (A)		10,360		10,381
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 1A
0.609%, 11/06/17 (A)		4,403		4,405
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 2A
0.709%, 11/05/20 (A)		2,880		2,883
NCUA Guaranteed Notes CMO, Ser 2010-R3, Cl 1A
0.799%, 12/08/20 (A)		894		898
NCUA Guaranteed Notes CMO, Ser 2010-R3, Cl 3A
2.400%, 12/08/20		405		415
NCUA Guaranteed Notes, Ser 2010-A1, Cl A
0.589%, 12/07/20 (A)		238		239
				2,362,330
Non-Agency Mortgage-Backed Obligations — 8.5%
A10 Securitization LLC, Ser 2012-1, Cl A
3.492%, 04/15/24 (D)		1,000		1,000
AAM ACE Resecuritization Trust, Ser 2011-1, Cl A20
0.460%, 02/02/37 (A) (D)		703		679
American General Mortgage Loan Trust, Ser 2009-1, Cl A4
5.750%, 09/25/48 (A) (D)		1,325		1,336
American General Mortgage Loan Trust, Ser 2009-1, Cl A5
5.750%, 09/25/48 (A) (D)		900		915
American General Mortgage Loan Trust, Ser 2009-1, Cl A7
5.750%, 09/25/48 (A) (D)		1,500		1,537
American General Mortgage Loan Trust, Ser 2010-1A, Cl A1
5.150%, 03/25/58 (A) (D)		553		565
American General Mortgage Loan Trust, Ser 2010-1A, Cl A3
5.650%, 03/25/58 (A) (D)		570		597

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
American Home Mortgage Assets, Ser 2006-5, Cl A1
1.078%, 11/25/46 (A)	$	1,347	$	548
ASG Resecuritization Trust, Ser 2009-2, Cl A55
5.204%, 05/24/36 (A) (D)		528		523
ASG Resecuritization Trust, Ser 2009-2, Cl G60
5.204%, 05/24/36 (A) (D)		400		388
ASG Resecuritization Trust, Ser 2009-3, Cl A65
2.681%, 03/26/37 (A) (D)		1,387		1,365
ASG Resecuritization Trust, Ser 2009-4, Cl A60
6.000%, 06/28/37 (D)		1,005		1,037
ASG Resecuritization Trust, Ser 2010-3, Cl 2A22
0.520%, 10/28/36 (A) (D)		373		370
ASG Resecuritization Trust, Ser 2011-1, Cl 3A50
2.659%, 11/28/35 (A) (D)		480		464
Banc of America Alternative Loan Trust, Ser 2003-7, Cl 1CB1
5.500%, 09/25/33		440		447
Banc of America Alternative Loan Trust, Ser 2003-7, Cl 2A4
5.000%, 09/25/18		617		633
Banc of America Alternative Loan Trust, Ser 2003-9, Cl 1CB2
5.500%, 11/25/33		535		550
Banc of America Alternative Loan Trust, Ser 2004-1, Cl 5A1
5.500%, 02/25/19		412		420
Banc of America Alternative Loan Trust, Ser 2004-8, Cl 3A1
5.500%, 09/25/19		394		399
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 1A1
6.000%, 01/25/34		323		337
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 2A1
6.000%, 01/25/34		624		653
Banc of America Alternative Loan Trust, Ser 2006-8, Cl 3A1
6.257%, 11/25/21 (A)		194		178
Banc of America Alternative Loan Trust, Ser 2007-1, Cl 2A1
6.706%, 04/25/37 (A)		428		296
Banc of America Commercial Mortgage, Ser 2002-2, Cl B
5.271%, 07/11/43		681		681
Banc of America Commercial Mortgage, Ser 2002-PB2, Cl B
6.309%, 06/11/35		479		479

SEI Institutional Investments Trust / Annual Report / May 31, 2012 73

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Banc of America Commercial Mortgage, Ser 2004-6, Cl A3
4.512%, 12/10/42	$	363	$	366
Banc of America Commercial Mortgage, Ser 2005-2, Cl A5
4.857%, 07/10/43 (A)		6,060		6,585
Banc of America Commercial Mortgage, Ser 2005-3, Cl A4
4.668%, 07/10/43		500		543
Banc of America Commercial Mortgage, Ser 2005-3, Cl AM
4.727%, 07/10/43		1,319		1,352
Banc of America Commercial Mortgage, Ser 2005-5, Cl A4
5.115%, 10/10/45 (A)		300		333
Banc of America Commercial Mortgage, Ser 2006-1, Cl A4
5.372%, 09/10/45 (A)		500		554
Banc of America Commercial Mortgage, Ser 2006-3, Cl A4
5.889%, 07/10/44 (A)		6,635		7,450
Banc of America Commercial Mortgage, Ser 2006-4, Cl A4
5.634%, 07/10/46		800		896
Banc of America Commercial Mortgage, Ser 2006-5, Cl A4
5.414%, 09/10/47		4,026		4,428
Banc of America Funding, Ser 2004-2, Cl 1CB1
5.750%, 09/20/34		419		442
Banc of America Funding, Ser 2004-C, Cl 1A1
5.040%, 12/20/34 (A)		217		214
Banc of America Funding, Ser 2005-B, Cl 2A1
3.114%, 04/20/35 (A)		3,898		3,013
Banc of America Funding, Ser 2006-G, Cl 2A3
0.410%, 07/20/36 (A)		4,924		4,833
Banc of America Funding, Ser 2010-R5, Cl 1A1
5.500%, 10/26/37 (D)		564		584
Banc of America Funding, Ser 2010-R11A, Cl 1A6
5.538%, 08/26/35 (A) (D)		811		854
Banc of America Merrill Lynch Commercial Mortgage, Ser 2006-1, Cl AM
5.421%, 09/10/45 (A)		554		584
Banc of America Merrill Lynch Commercial Mortgage, Ser 2007-1, Cl A2
5.381%, 01/15/49		298		298

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Banc of America Mortgage Securities, Ser 2003-3, Cl 1A7
5.500%, 05/25/33	$	813	$	835
Banc of America Mortgage Securities, Ser 2003-3, Cl 2A1
0.789%, 05/25/18 (A)		192		184
Banc of America Mortgage Securities, Ser 2003-6, Cl 2A1
0.689%, 08/25/18 (A)		206		198
Banc of America Mortgage Securities, Ser 2003-E, Cl 2A2
2.888%, 06/25/33 (A)		306		299
Banc of America Mortgage Securities, Ser 2004-3, Cl 1A26
5.500%, 04/25/34		1,000		1,025
Banc of America Mortgage Securities, Ser 2004-3, Cl 3A1
5.000%, 04/25/19		219		224
Banc of America Mortgage Securities, Ser 2004-5, Cl 4A1
4.750%, 06/25/19		170		175
Banc of America Mortgage Securities, Ser 2004-9, Cl 3A1
6.500%, 09/25/32		156		165
BCAP LLC Trust, Ser 2009-RR5, Cl 8A1
5.500%, 11/26/34 (D)		757		800
BCAP LLC Trust, Ser 2009- RR10, Cl 17A1
5.750%, 06/26/37 (D)		847		855
BCAP LLC Trust, Ser 2009- RR13, Cl 11A1
5.250%, 05/26/37 (A) (D)		83		82
BCAP LLC Trust, Ser 2009- RR13, Cl 17A2
5.500%, 04/26/37 (A) (D)		902		937
BCAP LLC Trust, Ser 2010-RR5, Cl 2A5
5.097%, 04/26/37 (A) (D)		873		868
BCAP LLC Trust, Ser 2010-RR6, Cl 5A1
5.500%, 11/26/37 (A) (D)		253		252
BCAP LLC Trust, Ser 2010-RR7, Cl 1A5
5.006%, 04/26/35 (A) (D)		365		357
BCAP LLC Trust, Ser 2010-RR7, Cl 2A1
4.546%, 07/26/45 (A) (D)		953		893
BCAP LLC Trust, Ser 2010-RR7, Cl 15A1
1.039%, 01/26/36 (A) (D)		410		387
BCAP LLC Trust, Ser 2010-RR7, Cl 16A1
0.858%, 02/26/47 (A) (D)		423		393
BCAP LLC Trust, Ser 2010- RR12, Cl 2A5
4.500%, 01/26/36 (A) (D)		773		789

74 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
BCAP LLC Trust, Ser 2010-RR8, Cl 3A4
5.080%, 05/26/35 (A) (D)	$	700	$	625
BCAP LLC Trust, Ser 2011- RR10, Cl 2A1
1.065%, 09/26/37 (A) (D)		1,113		977
BCAP LLC Trust, Ser 2011-RR4, Cl 6A3
5.000%, 08/26/37 (A) (D)		888		875
BCAP LLC Trust, Ser 2011-RR5, Cl 11A3
0.389%, 05/28/36 (A) (D)		1,051		929
BCAP LLC Trust, Ser 2011-RR5, Cl 14A3
2.725%, 07/26/36 (A) (D)		959		910
BCAP LLC Trust, Ser 2012-RR2, Cl 1A1
0.409%, 08/26/36 (A) (D)		1,005		929
BCAP LLC Trust, Ser 2012-RR3, Cl 2A5
4.930%, 05/26/37 (D)		964		949
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 14A
5.085%, 05/25/34 (A)		268		266
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 24A
5.322%, 05/25/34 (A)		1,032		978
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-5, Cl A1
2.220%, 08/25/35 (A)		449		433
Bear Stearns Alternative Trust, Ser 2005-2, Cl 2A4
2.794%, 04/25/35 (A)		229		169
Bear Stearns Asset-Backed Securities Trust, Ser 2006- AC1, Cl 1A1
5.750%, 02/25/36		1,955		1,451
Bear Stearns Commercial Mortgage Securities, Ser 2002-TOP8, Cl A2
4.830%, 08/15/38		261		262
Bear Stearns Commercial Mortgage Securities, Ser 2003-T12, Cl A3
4.240%, 08/13/39 (A)		111		111
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR7, Cl A2
4.945%, 02/11/41		489		489
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR8, Cl X1, IO
0.286%, 06/11/41 (A) (D)		14,202		205
Bear Stearns Commercial Mortgage Securities, Ser 2005-T20, Cl A4A
5.299%, 10/12/42 (A)		7,280		8,094
Bear Stearns Commercial Mortgage Securities, Ser 2006-PW11, Cl A4
5.620%, 03/11/39 (A)		300		335

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Bear Stearns Commercial Mortgage Securities, Ser 2006-T22, Cl A4
5.714%, 04/12/38 (A)	$	4,110	$	4,643
Bear Stearns Commercial Mortgage Securities, Ser 2006-T24, Cl A4
5.537%, 10/12/41		300		341
Bear Stearns Commercial Mortgage Securities, Ser 2007-PW17, Cl A3
5.736%, 06/11/50		2,640		2,749
Bear Stearns Commercial Mortgage Securities, Ser 2007-PW17, Cl A4
5.694%, 06/11/50 (A)		110		125
CFCRE Commercial Mortgage Trust, Ser 2011-C2, Cl A2
3.061%, 12/15/47		984		1,020
CFCRE Commercial Mortgage Trust, Ser 2011-C2, Cl A4
3.834%, 12/15/47		1,659		1,749
Chase Mortgage Finance, Ser 2003-S9, Cl AP, PO
0.000%, 10/25/18		119		118
Chase Mortgage Finance, Ser 2003-S15, Cl 2A10
0.689%, 01/25/34 (A)		66		66
Chase Mortgage Finance, Ser 2005-A1, Cl 2A3
2.805%, 12/25/35 (A)		13,166		10,352
Chase Mortgage Finance, Ser 2007-A1, Cl 2A1
2.750%, 02/25/37 (A)		329		327
Chase Mortgage Finance, Ser 2007-A1, Cl 9A1
2.786%, 02/25/37 (A)		204		201
Chase Mortgage Finance, Ser 2007-A2, Cl 1A1
2.878%, 07/25/37 (A)		542		486
Citicorp Mortgage Securities, Ser 2004-4, Cl A4
5.500%, 06/25/34		570		598
Citigroup Commercial Mortgage Trust, Ser 2005-C3, Cl AM
4.830%, 05/15/43 (A)		440		458
Citigroup Commercial Mortgage Trust, Ser 2007-C6, Cl A4
5.885%, 12/10/49 (A)		5,860		6,699
Citigroup Mortgage Loan Trust, Ser 2004-UST1, Cl A6
5.071%, 08/25/34 (A)		273		277
Citigroup Mortgage Loan Trust, Ser 2005-2, Cl 2A11
5.500%, 05/25/35		402		393
Citigroup Mortgage Loan Trust, Ser 2008-AR4, Cl 1A1A
3.024%, 11/25/38 (A) (D)		954		947

SEI Institutional Investments Trust / Annual Report / May 31, 2012 75

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Citigroup Mortgage Loan Trust, Ser 2009-5, Cl 8A1
6.000%, 06/25/36 (D)	$	1,351	$	1,408
Citigroup Mortgage Loan Trust, Ser 2009-10, Cl 1A1
2.457%, 09/25/33 (A) (D)		630		624
Citigroup Mortgage Loan Trust, Ser 2009-11, Cl 3A1
5.750%, 05/25/37 (A) (D)		990		1,011
Citigroup Mortgage Loan Trust, Ser 2010-7, Cl 10A1
2.607%, 02/25/35 (A) (D)		347		346
Citigroup Mortgage Loan Trust, Ser 2010-8, Cl 5A6
4.000%, 11/25/36 (D)		2,809		2,882
Citigroup Mortgage Loan Trust, Ser 2010-8, Cl 6A6
4.500%, 12/25/36 (D)		3,007		3,101
Citigroup Mortgage Loan Trust, Ser 2010-12, Cl 4A1
0.460%, 07/20/36 (A) (D)		663		626
Citigroup Mortgage Loan Trust, Ser 2011-3, Cl 1A1
0.319%, 02/25/47 (A) (D)		492		485
Citigroup Mortgage Loan Trust, Ser 2011-5, Cl 1A1
0.429%, 02/25/46 (A) (D)		758		696
Citigroup, Ser 2005-CD1, Cl AM
5.400%, 07/15/44 (A)		1,624		1,728
Citigroup, Ser 2006-CD2, Cl X, IO
0.089%, 01/15/46 (A) (D)		72,609		155
Citigroup, Ser 2007-CD4, Cl XC, IO
0.224%, 12/11/49 (A) (D)		41,388		324
Commercial Mortgage Asset Trust, Ser 1999-C1, Cl A4
6.975%, 01/17/32 (A)		607		627
Commercial Mortgage Pass- Through Certificates, Ser CR1, Cl A3
3.391%, 05/15/45		2,770		2,796
Commercial Mortgage Pass- Through Certificates, Ser 2001-J2A, Cl A2
6.096%, 07/16/34 (D)		2		2
Commercial Mortgage Pass- Through Certificates, Ser 2001-J2A, Cl B
6.304%, 07/16/34 (D)		2,500		2,507
Commercial Mortgage Pass- Through Certificates, Ser 2005-LP5, Cl A4
4.982%, 05/10/43 (A)		600		655
Commercial Mortgage Pass- Through Certificates, Ser 2007-C9, Cl A4
5.811%, 12/10/49 (A)		1,310		1,507
Commercial Mortgage Pass- Through Certificates, Ser 2012-LC4, Cl A4
3.288%, 12/10/44		3,148		3,219

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Countrywide Alternative Loan Trust, Ser 2003-20CB, Cl 1A1
5.500%, 10/25/33	$	1,975	$	2,075
Countrywide Alternative Loan Trust, Ser 2004-27CB, Cl A1
6.000%, 12/25/34		1,925		1,890
Countrywide Alternative Loan Trust, Ser 2004-J1, Cl 1A1
6.000%, 02/25/34		201		205
Countrywide Alternative Loan Trust, Ser 2004-J6, Cl 2A1
6.500%, 11/25/31		901		953
Countrywide Alternative Loan Trust, Ser 2004-J6, Cl PO, PO
0.000%, 11/25/31		286		271
Countrywide Alternative Loan Trust, Ser 2005-27, Cl 2A1
1.508%, 08/25/35 (A)		3,594		1,950
Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2
1.258%, 08/25/35 (A)		783		368
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-34, Cl A6
5.250%, 09/25/33		106		106
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-39, Cl A6
5.000%, 10/25/33		917		912
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-56, Cl 6A1
2.812%, 12/25/33 (A)		490		411
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-J7, Cl 4A3
9.464%, 08/25/18 (A)		90		98
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-J13, Cl 1A7
5.250%, 01/25/34		1,541		1,592
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-5, Cl 1A4
5.500%, 06/25/34		729		760
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-8, Cl 2A1
4.500%, 06/25/19		798		813
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-20, Cl 2A1
2.844%, 09/25/34 (A)		70		44
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-20, Cl A7
5.250%, 12/25/27		745		642
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-R3, Cl AF
0.639%, 09/25/35 (A) (D)		4,706		3,902
Credit Suisse First Boston Mortgage Securities, Ser 2001-MH29, Cl A
5.600%, 09/25/31		241		244

76 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Credit Suisse First Boston Mortgage Securities, Ser 2002-CKS4, Cl A2
5.183%, 11/15/36	$	430	$	431
Credit Suisse First Boston Mortgage Securities, Ser 2002-CP3, Cl A3
5.603%, 07/15/35		15		15
Credit Suisse First Boston Mortgage Securities, Ser 2003-27, Cl 5A3
5.250%, 11/25/33		1,238		1,279
Credit Suisse First Boston Mortgage Securities, Ser 2003-27, Cl 5A4
5.250%, 11/25/33		507		526
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 5A1
7.000%, 12/25/33		264		281
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 8A1
6.000%, 11/25/18		441		455
Credit Suisse First Boston Mortgage Securities, Ser 2003-C4, Cl B
5.253%, 08/15/36 (A)		1,491		1,531
Credit Suisse First Boston Mortgage Securities, Ser 2004-4, Cl 2A4
5.500%, 09/25/34		675		706
Credit Suisse First Boston Mortgage Securities, Ser 2004-8, Cl 1A4
5.500%, 12/25/34		748		789
Credit Suisse First Boston Mortgage Securities, Ser 2004-AR5, Cl 7A2
2.859%, 06/25/34 (A)		653		628
Credit Suisse First Boston Mortgage Securities, Ser 2005-4, Cl 3A24
18.167%, 06/25/35 (A)		90		90
Credit Suisse First Boston Mortgage Securities, Ser 2005-C1, Cl A3
4.813%, 02/15/38		949		972
Credit Suisse First Boston Mortgage Securities, Ser 2005-C2, Cl A4
4.832%, 04/15/37		2,974		3,144
Credit Suisse First Boston Mortgage Securities, Ser 2005-C3, Cl AM
4.730%, 07/15/37		1,691		1,767
Credit Suisse Mortgage Capital Certificates, Ser 2006-C2, Cl A3
5.851%, 03/15/39 (A)		825		902
Credit Suisse Mortgage Capital Certificates, Ser 2006-C4, Cl A3
5.467%, 09/15/39		2,311		2,534
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3
5.311%, 12/15/39		8,048		8,867
Credit Suisse Mortgage Capital Certificates, Ser 2009-12R, Cl 7A1
5.500%, 10/27/35 (D)		115		114

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Credit Suisse Mortgage Capital Certificates, Ser 2010-1R, Cl 26A1
4.750%, 05/27/37 (D)	$	589	$	589
Credit Suisse Mortgage Capital Certificates, Ser 2010-11R, Cl A1
1.239%, 06/28/47 (A) (D)		200		199
Credit Suisse Mortgage Capital Certificates, Ser 2010-12R, Cl 14A1
2.721%, 09/26/46 (A) (D)		508		504
Credit Suisse Mortgage Capital Certificates, Ser 2010-15R, Cl 7A1
5.340%, 10/26/37 (A) (D)		157		154
Credit Suisse Mortgage Capital Certificates, Ser 2010-16, Cl A3
4.250%, 06/25/50 (A) (D)		400		366
Credit Suisse Mortgage Capital Certificates, Ser 2011-1R, Cl A1
1.239%, 02/27/47 (A) (D)		1,264		1,245
Credit Suisse Mortgage Capital Certificates, Ser 2011-6R, Cl 3A1
2.760%, 07/28/36 (A) (D)		775		730
Credit Suisse Mortgage Capital Certificates, Ser 2011-7R, Cl A1
1.489%, 08/28/47 (A) (D)		1,824		1,792
Credit Suisse Mortgage Capital Certificates, Ser 2011-9R, Cl A1
2.239%, 03/27/46 (A) (D)		2,481		2,461
Credit Suisse Mortgage Capital Certificates, Ser 2011-16R, Cl 7A3
3.500%, 12/27/36 (A) (D)		419		413
Credit Suisse Mortgage Capital Certificates, Ser 2012-3R, Cl 1A1
3.250%, 07/27/37 (A) (D)		1,436		1,440
CW Capital Cobalt, Ser 2006-C1, Cl A4
5.223%, 08/15/48		1,070		1,161
DBRR Trust, Ser 2011-LC2, Cl A4A
4.537%, 07/12/44 (A) (D)		2,540		2,859
DBUBS Mortgage Trust, Ser 2011-LC3A, Cl XA, IO
1.641%, 08/10/44 (A) (D)		6,782		365
Deutsche Mortgage Securities, Ser 2009-RS2, Cl 4A1
0.370%, 04/26/37 (A) (D)		328		317
Deutsche Mortgage Securities, Ser 2010-RS2, Cl A1
1.489%, 06/28/47 (A) (D)		313		311
Deutsche Securities Alternative Loan Trust, Ser 2005-1, Cl 2A1
5.801%, 02/25/20 (A)		277		286
Developers Diversified Realty, Ser 2009-DDR1, Cl A
3.807%, 10/14/22 (D)		5,630		5,917
DSLA Mortgage Loan Trust, Ser 2004-AR2, Cl A2B
0.640%, 11/19/44 (A)		1,866		1,026

SEI Institutional Investments Trust / Annual Report / May 31, 2012 77

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FDIC Structured Sale Guaranteed Notes, Ser 2010-C1, Cl A
2.980%, 12/06/20 (D)	$	1,160	$	1,197
FDIC Structured Sale Guaranteed Notes, Ser 2010-S1, Cl 1A
0.791%, 02/25/48 (A) (D)		4,108		4,111
First Horizon Asset Securities, Ser 2003-8, Cl 2A1
4.500%, 09/25/18		653		666
Fontainebleau Miami Beach Trust, Ser 2012-FBLU, Cl A
2.887%, 05/05/27 (D)		611		620
GE Capital Commercial Mortgage, Ser 2005-C1, Cl AJ
4.826%, 06/10/48 (A)		1,000		1,020
GE Capital Commercial Mortgage, Ser 2005-C1, Cl B
4.846%, 06/10/48 (A)		500		502
GE Capital Commercial Mortgage, Ser 2007-C1, Cl A4
5.543%, 12/10/49		1,530		1,669
GMAC Commercial Mortgage Securities, Ser 2001-C2, Cl B
6.790%, 04/15/34		387		387
GMAC Commercial Mortgage Securities, Ser 2002-C3, Cl A2
4.930%, 07/10/39		274		276
GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4
5.023%, 04/10/40		760		789
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl A4
5.238%, 11/10/45 (A)		700		758
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl AM
5.290%, 11/10/45 (A)		1,628		1,612
GMAC Commercial Mortgage Securities, Ser C2, Cl A1
4.576%, 05/10/40		1,214		1,233
GMAC Mortgage Loan Trust, Ser 2003-AR1, Cl A4
3.034%, 10/19/33 (A)		1,585		1,582
GMAC Mortgage Loan Trust, Ser 2003-GH2, Cl A4
5.000%, 10/25/33		521		516
GMAC Mortgage Loan Trust, Ser 2003-J7, Cl A7
5.000%, 11/25/33		907		945
GMAC Mortgage Loan Trust, Ser 2004-J5, Cl A7
6.500%, 01/25/35		652		668
GMAC Mortgage Loan Trust, Ser 2004-J6, Cl 1A1
5.000%, 01/25/20		292		300

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Greenwich Capital Commercial Funding, Ser 2002-C1, Cl A4
4.948%, 01/11/35	$	1,837	$	1,850
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A6
5.135%, 06/10/36 (A)		225		226
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A7
5.317%, 06/10/36 (A) (B)		7,150		7,578
Greenwich Capital Commercial Funding, Ser 2005-GG3, Cl AJ
4.859%, 08/10/42 (A)		220		223
Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl A5
5.224%, 04/10/37 (A)		4,640		5,045
Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl A4
5.874%, 07/10/38 (A)		12,495		14,100
Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl A4
5.444%, 03/10/39		10,357		11,295
Greenwich Capital Commercial Funding, Ser 2007-GG11, Cl A4
5.736%, 12/10/49		1,890		2,063
Greenwich Capital Commercial Funding, Ser GG7, Cl AM
5.874%, 07/10/38 (A)		1,010		1,035
GS Mortgage Securities II, Ser 2006-GG6, Cl A4
5.553%, 04/10/38 (A)		1,000		1,105
GS Mortgage Securities II, Ser 2006-GG8, Cl X, IO
0.814%, 11/10/39 (A) (D)		11,272		236
GS Mortgage Securities II, Ser 2011-GC5, IO
1.941%, 08/10/44 (A) (D)		2,173		198
GS Mortgage Securities II, Ser 2011-GC5, Cl A4
3.707%, 08/10/44		8,740		9,206
GS Mortgage Securities II, Ser 2012-GCJ7, Cl A4
3.377%, 05/10/45		1,385		1,407
GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A
8.000%, 09/19/27 (A) (D)		4		4
GSMPS Mortgage Loan Trust, Ser 2005-RP3, IO
5.079%, 09/25/35 (A) (D)		465		71
GSMPS Mortgage Loan Trust, Ser 2005-RP3, Cl 1AF
0.589%, 09/25/35 (A) (D)		582		456
GSMPS Mortgage Loan Trust, Ser 2006-RP2, Cl 1AF1
0.639%, 04/25/36 (A) (D)		1,807		1,465

78 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GSR Mortgage Loan Trust, Ser 2004-8F, Cl 2A3
6.000%, 09/25/34	$	710	$	746
GSR Mortgage Loan Trust, Ser 2005-5F, Cl 8A3
0.739%, 06/25/35 (A)		238		225
GSR Mortgage Loan Trust, Ser 2007-1F, Cl 2A4
5.500%, 01/25/37		122		118
Impac CMB Trust, Ser 2005-4, Cl 2A1
0.539%, 05/25/35 (A)		422		397
Impac Funding LLC, Ser 2010-1, Cl A1
5.314%, 01/25/51 (D)		4,537		4,953
Impac Secured Assets CMN Owner Trust, Ser 2003-2, Cl A1
5.500%, 08/25/33		662		701
Impac Secured Assets CMN Owner Trust, Ser 2006-1, Cl 2A1
0.589%, 05/25/36 (A)		527		487
Impac Secured Assets CMN Owner Trust, Ser 2006-2, Cl 2A1
0.589%, 08/25/36 (A)		1,449		1,302
Indymac INDA Mortgage Loan Trust, Ser 2007-AR7, Cl 1A1
5.642%, 11/25/37 (A)		1,332		1,058
JPMorgan Alternative Loan Trust, Ser 2006-A7, Cl 2A6
5.750%, 12/25/36 (A)		11,300		3,954
JPMorgan Chase Commercial Mortgage Securities, Ser 2001-CIB2, Cl D
6.847%, 04/15/35 (A)		851		865
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-C2, Cl A2
5.050%, 12/12/34		923		931
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-C2, Cl B
5.211%, 12/12/34 (A)		403		406
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-CB6, Cl A1
4.393%, 07/12/37		187		189
JPMorgan Chase Commercial Mortgage Securities, Ser 2004-LN2, Cl A2
5.115%, 07/15/41		3,808		4,026
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-CB11, Cl AJ
5.543%, 08/12/37 (A)		700		697
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP2, Cl A3A
4.678%, 07/15/42		363		369
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-CB15, Cl X1, IO
0.114%, 06/12/43 (A)		54,664		364
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP8, Cl A4
5.399%, 05/15/45		600		678

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP8, Cl AM
5.440%, 05/15/45	$	480	$	509
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A2
5.134%, 05/15/47		621		639
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A3
5.336%, 05/15/47		968		1,051
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A3SF
0.394%, 05/15/47 (A)		800		741
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD12, Cl A4
5.882%, 02/15/51 (A)		1,546		1,742
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-C1, Cl A1
3.853%, 06/15/43 (D)		6,241		6,605
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-CNTR, Cl A1
3.300%, 08/05/32 (D)		1,024		1,086
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-CNTR, Cl A2
4.311%, 08/05/32 (D)		1,668		1,774
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C5, Cl A3
4.171%, 08/15/46		410		449
JPMorgan Chase Commercial Mortgage Securities, Ser 2012-C6, Cl A3
3.507%, 05/15/45		2,459		2,552
JPMorgan Chase Commercial Mortgage Securities, Ser CB18, Cl A4
5.440%, 06/12/47		7,139		7,923
JPMorgan Chase Commercial Mortgage Securities, Ser LD11, Cl A4
5.817%, 06/15/49 (A) (B)		6,288		6,789
JPMorgan Mortgage Trust, Ser 2004-A3, Cl 4A1
2.755%, 07/25/34 (A)		164		161
JPMorgan Mortgage Trust, Ser 2004-A3, Cl SF3
2.281%, 06/25/34 (A)		2,107		2,069
JPMorgan Mortgage Trust, Ser 2004-A4, Cl 1A1
2.761%, 09/25/34 (A)		180		181
JPMorgan Mortgage Trust, Ser 2004-A5, Cl 4A2
2.438%, 12/25/34 (A)		352		352
JPMorgan Mortgage Trust, Ser 2004-A5, Cl 4A4
2.438%, 12/25/34 (A)		11,500		11,167
JPMorgan Mortgage Trust, Ser 2005-A1, Cl 3A4
5.008%, 02/25/35 (A)		1,000		989

SEI Institutional Investments Trust / Annual Report / May 31, 2012 79

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
JPMorgan Mortgage Trust, Ser 2005-A1, Cl 5A1
4.485%, 02/25/35 (A)	$	49	$	49
JPMorgan Mortgage Trust, Ser 2005-A2, Cl 5A2
4.299%, 04/25/35 (A)		360		357
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 2A2
5.457%, 04/25/36 (A)		13,082		10,809
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 4A1
2.747%, 08/25/34 (A)		1,538		1,489
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 5A3
2.649%, 11/25/33 (A)		1,279		1,266
JPMorgan Mortgage Trust, Ser 2006-A3, Cl 3A4
5.493%, 05/25/36 (A)		11,806		10,114
JPMorgan Mortgage Trust, Ser 2006-A3, Cl 6A1
2.778%, 08/25/34 (A)		678		633
JPMorgan Re-REMIC, Ser 2009- 6, Cl 4A1
5.660%, 09/26/36 (A) (D)		496		492
JPMorgan Re-REMIC, Ser 2010- 4, Cl 7A1
4.266%, 08/26/35 (A) (D)		379		371
LB Commercial Conduit Mortgage Trust, Ser 2007-C3, Cl A3
5.902%, 07/15/44 (A)		844		894
LB-UBS Commercial Mortgage Trust, Ser 2004-C7, Cl A5
4.628%, 10/15/29		772		789
LB-UBS Commercial Mortgage Trust, Ser 2005-C3
4.794%, 07/15/40		2,815		2,967
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl A4
5.156%, 02/15/31		350		388
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl XCL, IO
0.153%, 02/15/41 (A) (D)		24,472		276
LB-UBS Commercial Mortgage Trust, Ser 2006-C4, Cl A4
5.870%, 06/15/38 (A)		450		508
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A3
5.398%, 02/15/40		272		280
LB-UBS Commercial Mortgage Trust, Ser 2007-C6, Cl A4
5.858%, 07/15/40 (A)		2,910		3,298
LB-UBS Commercial Mortgage Trust, Ser 2007-C7, Cl A3
5.866%, 09/15/45 (A)		5,079		5,726

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
LB-UBS Commercial Mortgage Trust, Ser C1, Cl A4
5.424%, 02/15/40	$	190	$	214
LVII Resecuritization Trust, Ser 2009-2, Cl A4
2.754%, 09/27/37 (A) (D)		59		58
LVII Resecuritization Trust, Ser 2009-2, Cl A5
2.957%, 09/27/37 (A) (D)		1,000		1,000
LVII Resecuritization Trust, Ser 2009-3, Cl M3
5.601%, 11/27/37 (A) (D)		300		317
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A6
2.718%, 11/21/34 (A)		302		302
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A7
2.718%, 11/21/34 (A)		1,585		1,532
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A7A
2.718%, 11/21/34 (A)		11,650		11,604
Master Adjustable Rate Mortgages Trust, Ser 2007-3, Cl 12A1
0.439%, 05/25/47 (A)		5		3
Master Alternative Loans Trust, Ser 2004-4, Cl 1A1
5.500%, 05/25/34		2,131		2,239
Master Reperforming Loan Trust, Ser 2005-1, Cl 1A1
6.000%, 08/25/34 (D)		2,916		2,835
Master Reperforming Loan Trust, Ser 2005-2, Cl 1A1F
0.589%, 05/25/35 (A) (D)		586		456
Master Reperforming Loan Trust, Ser 2006-1, Cl 1A1F
0.599%, 07/25/35 (A) (D)		1,309		994
Master Resecuritization Trust, Ser 2005-PO, Cl 3PO, PO
0.000%, 05/28/35 (D)		283		221
MASTR Alternative Loans Trust, Ser 2003-9, Cl 2A1
6.000%, 12/25/33		389		411
MASTR Alternative Loans Trust, Ser 2006-3, Cl AA3
6.250%, 07/25/36		732		546
MASTR Asset Securitization Trust, Ser 2003-2, Cl 1A1
5.000%, 03/25/18		85		88
MASTR Asset Securitization Trust, Ser 2003-3, Cl 3A18
5.500%, 04/25/33		328		339
MASTR Asset Securitization Trust, Ser 2003-11, Cl 9A6
5.250%, 12/25/33		851		895

80 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Merrill Lynch Mortgage Investors, Ser 2003-A4, Cl 2A
2.737%, 07/25/33 (A)	$	192	$	193
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 2A1
2.676%, 02/25/34 (A)		187		181
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A
5.214%, 02/25/34 (A)		2,109		2,096
Merrill Lynch Mortgage Investors, Ser 2004-A4, Cl A2
2.627%, 08/25/34 (A)		356		344
Merrill Lynch Mortgage Trust, Ser 2005-CIP1, Cl A3A
4.949%, 07/12/38 (A)		1,069		1,114
Merrill Lynch Mortgage Trust, Ser 2005-LC1, Cl AJ
5.505%, 01/12/44 (A)		480		463
Merrill Lynch Mortgage Trust, Ser 2006-1, Cl 1A
2.281%, 02/25/36 (A)		354		293
Merrill Lynch Mortgage Trust, Ser 2006-C1, Cl A4
5.848%, 05/12/39 (A)		505		572
Merrill Lynch, Ser 2006-4, Cl XC, IO
0.249%, 12/12/49 (A) (D)		16,155		199
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-4, Cl A3
5.172%, 12/12/49 (A)		16,900		18,643
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-6, Cl A4
5.485%, 03/12/51 (A)		1,450		1,559
MLCC Mortgage Investors, Ser 2004-1, Cl 2A1
2.235%, 12/25/34 (A)		620		619
MLCC Mortgage Investors, Ser 2004-A, Cl A2
0.990%, 04/25/29 (A)		370		339
MLCC Mortgage Investors, Ser 2004-B, Cl A3
2.223%, 05/25/29 (A)		520		519
MLCC Mortgage Investors, Ser 2004-D, Cl A2
1.473%, 09/25/29 (A)		419		387
MLCC Mortgage Investors, Ser 2005-1, Cl 2A1
2.283%, 04/25/35 (A)		65		57
Morgan Stanley Capital I, Ser 2004-IQ8, Cl A4
4.900%, 06/15/40		20		20
Morgan Stanley Capital I, Ser 2004-T13, Cl A3
4.390%, 09/13/45		409		414

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Morgan Stanley Capital I, Ser 2005-HQ5, Cl AAB
5.037%, 01/14/42	$	281	$	286
Morgan Stanley Capital I, Ser 2005-HQ7, Cl AAB
5.350%, 11/14/42 (A)		284		287
Morgan Stanley Capital I, Ser 2005-T19, Cl A4A
4.890%, 06/12/47		6,545		7,165
Morgan Stanley Capital I, Ser 2006-HQ9, Cl A4
5.731%, 07/12/44 (A)		4,155		4,714
Morgan Stanley Capital I, Ser 2006-T21, Cl A4
5.162%, 10/12/52 (A)		11,485		12,780
Morgan Stanley Capital I, Ser 2006-T23, Cl A4
5.983%, 08/12/41 (A)		4,440		5,137
Morgan Stanley Capital I, Ser 2007-HQ11, Cl X, IO
0.403%, 02/12/44 (A) (D)		44,187		311
Morgan Stanley Capital I, Ser 2007-HQ13, Cl A1
5.357%, 12/15/44		161		160
Morgan Stanley Capital I, Ser 2007-IQ15, Cl A4
5.880%, 06/11/49 (A)		1,000		1,124
Morgan Stanley Capital I, Ser 2007-T27, Cl A4
5.817%, 06/11/42 (A)		300		347
Morgan Stanley Capital I, Ser 2011-C3, Cl A2
3.224%, 07/15/49		1,445		1,528
Morgan Stanley Capital I, Ser 2011-C3, Cl A3
4.054%, 07/15/49		340		367
Morgan Stanley Capital I, Ser 2011-C3, Cl A4
4.118%, 07/15/49		1,771		1,925
Morgan Stanley Capital I, Ser 2012-C4, Cl A4
3.244%, 03/15/45		2,709		2,814
Morgan Stanley Dean Witter Capital I, Ser 2001-TOP3, Cl A4
6.390%, 07/15/33		68		68
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl A2
4.920%, 03/12/35		1,060		1,079
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl B
5.040%, 03/12/35		721		733
Morgan Stanley Mortgage Loan Trust, Ser 2004-3, Cl 4A
5.657%, 04/25/34 (A)		666		679

SEI Institutional Investments Trust / Annual Report / May 31, 2012 81

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Morgan Stanley Mortgage Loan Trust, Ser 2007-3XS, Cl 2A3S
5.858%, 01/25/47	$	28	$	17
Morgan Stanley Mortgage Loan Trust, Ser 2007-6XS, Cl 2A1S
0.349%, 02/25/47 (A)		187		154
Morgan Stanley Re-REMIC Trust, Ser 2009-IO, Cl A1
3.000%, 07/17/56 (D)		197		198
Morgan Stanley Re-REMIC Trust, Ser 2009-IO, Cl A2
5.000%, 07/17/56 (D)		1,300		1,333
Morgan Stanley Re-REMIC Trust, Ser 2010-C30A, Cl A3A
3.250%, 12/17/43 (D)		122		122
Morgan Stanley Re-REMIC Trust, Ser 2010-HQ4B, Cl A7A
4.970%, 04/16/40 (D)		1,300		1,365
Morgan Stanley Re-REMIC Trust, Ser 2011-IO, Cl A
2.500%, 03/23/51 (D)		1,689		1,695
Morgan Stanley Re-REMIC Trust, Ser 2012-XA, Cl B
0.250%, 07/27/49		400		266
New York Mortgage Trust, Ser 2006-1, Cl 2A2
2.959%, 05/25/36 (A)		583		470
Nomura Asset Securities, Ser 1998-D6, Cl A2
7.077%, 03/15/30 (A)		2,754		2,824
Nomura Resecuritization Trust, Ser 2010-6RA, Cl 1A5
2.520%, 03/26/36 (A) (D)		699		690
PennyMac Loan Trust, Ser 2011- NPL1, Cl A
5.250%, 09/25/51 (A) (D)		339		340
Prime Mortgage Trust, Ser 2004- CL1, Cl 1A1
6.000%, 02/25/34		273		288
Prime Mortgage Trust, Ser 2004- CL1, Cl 1PO, PO
0.000%, 02/25/34		82		79
Prime Mortgage Trust, Ser 2006- DR1, Cl 2A1
5.500%, 05/25/35 (D)		2,456		2,147
RBSSP Resecuritization Trust, Ser 2010-9, Cl 7A5
4.000%, 05/26/37 (A) (D)		883		877
RBSSP Resecuritization Trust, Ser 2010-12, Cl 8A1
4.000%, 06/27/21 (D)		580		583
RBSSP Resecuritization Trust, Ser 2012-3, Cl 3A1
0.389%, 09/26/36 (A) (D)		987		865

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Residential Accredit Loans, Ser 2003-QS15, Cl A7
5.500%, 08/25/33	$	638	$	659
Residential Accredit Loans, Ser 2003-QS18, Cl A1
5.000%, 09/25/18		354		366
Residential Accredit Loans, Ser 2003-QS19, Cl A1
5.750%, 10/25/33		417		434
Residential Accredit Loans, Ser 2004-QS7, Cl A4
5.500%, 05/25/34		1,530		1,388
Residential Accredit Loans, Ser 2005-QO2, Cl A1
1.518%, 09/25/45 (A)		955		512
Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8
6.500%, 11/25/31		689		696
Residential Asset Mortgage Products, Ser 2004-SL3, Cl A2
6.500%, 12/25/31		1,152		1,150
Residential Asset Securitization Trust, Ser 2003-A5, Cl A1
5.500%, 06/25/33		446		466
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1
2.682%, 12/25/34 (A)		1,535		1,456
Residential Funding Mortgage Securities I, Ser 2003-S4, Cl A4
5.750%, 03/25/33		462		489
Residential Funding Mortgage Securities I, Ser 2004-S5, Cl 1A9
5.500%, 05/25/22		1,000		1,008
Salomon Brothers Mortgage Securities VII, Ser 2003-HYB1, Cl A
2.736%, 09/25/33 (A)		675		657
Sequoia Mortgage Trust, Ser 2004-12, Cl A3
1.055%, 01/20/35 (A)		853		657
Sequoia Mortgage Trust, Ser 2010-H1, Cl A1
3.750%, 02/25/40 (A)		339		345
Sequoia Mortgage Trust, Ser 2011-1, Cl A1
4.125%, 02/25/41 (A)		538		550
Springleaf Mortgage Loan Trust, Ser 2011-1A, Cl A1
4.050%, 01/25/58 (A) (D)		942		955
Springleaf Mortgage Loan Trust, Ser 2011-1A, Cl A2
5.450%, 01/25/58 (A) (D)		1,000		1,000
Springleaf Mortgage Loan Trust, Ser 2012-1A, Cl A
2.667%, 09/25/57 (A) (D)		442		444

82 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Springleaf Mortgage Loan Trust, Ser 2012-1A, Cl M3
6.000%, 09/25/57 (A) (D)	$	700	$	635
Structured Adjustable Rate Mortgage Loan Trust, Ser 2004-6, Cl 5A4
4.911%, 06/25/34 (A)		600		591
Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-19XS, Cl 1A1
0.559%, 10/25/35 (A)		4,243		2,488
Structured Asset Mortgage Investments, Ser 2004-AR5, Cl 1A1
0.900%, 10/19/34 (A)		306		269
Structured Asset Securities, Ser 2003-16, Cl A3
0.739%, 06/25/33 (A)		533		511
Structured Asset Securities, Ser 2003-31A, Cl 2A7
2.776%, 10/25/33 (A)		9,757		9,332
Structured Asset Securities, Ser 2003-32, Cl 1A1
5.273%, 11/25/33 (A)		201		211
Structured Asset Securities, Ser 2003-33H, Cl 1A1
5.500%, 10/25/33		789		798
Structured Asset Securities, Ser 2003-37A, Cl 2A
5.025%, 12/25/33 (A)		250		250
Structured Asset Securities, Ser 2004-5H, Cl A4
5.540%, 12/25/33		869		848
Thornburg Mortgage Securities Trust, Ser 2003-4, Cl A1
0.879%, 09/25/43 (A)		685		657
TIAA Seasoned Commercial Mortgage Trust, Ser 2007-C4, Cl A3
5.656%, 08/15/39 (A)		2,500		2,686
UBS Commercial Mortgage Trust, Ser 2012-C1, Cl A3
3.400%, 05/10/45		4,619		4,709
Vendee Mortgage Trust CMO, Ser 1993-1, Cl ZB
7.250%, 02/15/23		2,267		2,629
Vericrest Opportunity Loan Transferee, Ser 2011-NL1A, Cl A1
5.926%, 12/26/50 (A) (D)		331		332
Vericrest Opportunity Loan Transferee, Ser 2011-NL1A, Cl A2
9.077%, 12/26/50 (A) (D)		900		907
Vericrest Opportunity Loan Transferee, Ser 2011-NL2A, Cl A1
5.682%, 06/25/51 (A) (D)		162		163
Vericrest Opportunity Loan Transferee, Ser 2011-NL2A, Cl A2
9.317%, 06/25/51 (A) (D)		500		503

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Vericrest Opportunity Loan Transferee, Ser 2011-NL3A, Cl A1
5.194%, 09/25/51 (A) (D)	$	212	$	212
Vericrest Opportunity Loan Transferee, Ser 2011-NL3A, Cl A2
9.318%, 09/25/51 (A) (D)		167		168
Vericrest Opportunity Loan Transferee, Ser 2012-NL1A, Cl A1
4.213%, 03/25/49 (A) (D)		356		358
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C7, Cl A1
4.241%, 10/15/35 (D)		153		154
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A3
4.445%, 11/15/35		705		710
Wachovia Bank Commercial Mortgage Trust, Ser 2006- C26, Cl XC, IO
0.093%, 06/15/45 (A) (D)		83,653		221
Wachovia Bank Commercial Mortgage Trust, Ser 2006- C29, Cl A4
5.308%, 11/15/48		660		739
WaMu Mortgage Pass-Through Certificates, Ser 2002-AR18, Cl A
2.478%, 01/25/33 (A)		291		281
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR6, Cl A1
2.568%, 06/25/33 (A)		472		472
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR7, Cl A7
2.440%, 08/25/33 (A)		416		408
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR8, Cl A
2.485%, 08/25/33 (A)		256		254
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 1A6
2.459%, 09/25/33 (A)		885		889
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 2A
2.545%, 09/25/33 (A)		339		341
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR10, Cl A7
2.448%, 10/25/33 (A)		501		502
WaMu Mortgage Pass-Through Certificates, Ser 2003-MS1, Cl 1A
5.000%, 02/25/18		237		240
WaMu Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A10
16.806%, 06/25/33 (A)		99		111
WaMu Mortgage Pass-Through Certificates, Ser 2003-S9, Cl A8
5.250%, 10/25/33		2,095		2,197
WaMu Mortgage Pass-Through Certificates, Ser 2003-S11, Cl 2A5
16.393%, 11/25/33 (A)		213		219

SEI Institutional Investments Trust / Annual Report / May 31, 2012 83

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
WaMu Mortgage Pass-Through Certificates, Ser 2003-S13, Cl 21A1
4.500%, 12/25/18	$	300	$	311
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A1
2.586%, 06/25/34 (A)		250		248
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A2
2.586%, 06/25/34 (A)		327		323
WaMu Mortgage Pass-Through Certificates, Ser 2004-CB2, Cl 7A
5.500%, 08/25/19		546		571
WaMu Mortgage Pass-Through Certificates, Ser 2004-S1, Cl 1A3
0.639%, 03/25/34 (A)		124		121
WaMu Mortgage Pass-Through Certificates, Ser 2004-S2, Cl 2A4
5.500%, 06/25/34		765		783
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A1
0.529%, 10/25/45 (A)		3,411		2,706
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR15, Cl A1A2
0.519%, 11/25/45 (A)		5,332		3,848
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR16, Cl 1A4A
2.452%, 12/25/35 (A)		13,585		10,079
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR19, Cl A1A2
0.529%, 12/25/45 (A)		4,995		3,893
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR1, Cl 1A1B
1.229%, 01/25/46 (A)		2,912		826
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR4, Cl DA
1.128%, 06/25/46 (A)		1,144		455
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR13, Cl 2A
2.724%, 10/25/46 (A)		1,216		907
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR14, Cl 1A4
2.283%, 11/25/36 (A)		396		274
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 1A
0.999%, 11/25/46 (A)		2,639		1,688
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 1A1B
0.999%, 11/25/46 (A)		1,522		299
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 2A1B
2.706%, 11/25/46 (A)		1,635		529
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR17, Cl 1A1B
0.969%, 12/25/46 (A)		528		198

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR17, Cl 2A
2.706%, 12/25/46 (A)	$	552	$	404
WaMu Mortgage Pass-Through Certificates, Ser 2007-HY1, Cl 1A1
2.597%, 02/25/37 (A)		4,763		3,034
WaMu Mortgage Pass-Through Certificates, Ser 2007-OA6, Cl 1A
0.969%, 07/25/47 (A)		11,397		7,322
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser 2005-3, Cl CX, IO
5.500%, 05/25/35		681		116
Washington Mutual MSC Mortgage Pass-Through Certificates, Ser 2003-MS2, Cl 1A1
5.750%, 02/25/33		115		120
Washington Mutual MSC Mortgage Pass-Through Certificates, Ser 2003-MS8, Cl 1P, PO
0.000%, 05/25/33		212		200
Washington Mutual MSC Mortgage Pass-Through Certificates, Ser 2003-MS9, Cl 2P, PO
0.000%, 04/25/33		326		315
Wells Fargo Mortgage Loan Trust, Ser 2012-RR1, Cl A1
2.847%, 08/27/37 (A) (D)		579		574
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-15, Cl 1A1
4.750%, 12/25/18		952		986
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-J, Cl 2A5
4.425%, 10/25/33 (A)		85		86
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-K, Cl 1A1
4.438%, 11/25/33 (A)		641		646
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-B, Cl A1
4.936%, 02/25/34 (A)		426		433
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-E, Cl A2
4.500%, 05/25/34 (A)		110		110
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A1
2.697%, 12/25/34 (A)		712		712
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A2
2.697%, 12/25/34 (A)		475		474
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 3A1
2.758%, 12/25/34 (A)		227		231
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 3A2
2.758%, 12/25/34 (A)		341		348

84 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-I, Cl 1A1
2.702%, 07/25/34 (A)	$	769	$	758
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-O, Cl A1
4.903%, 08/25/34 (A)		325		333
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-P, Cl 2A1
2.672%, 09/25/34 (A)		1,329		1,325
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-V, Cl 1A1
2.704%, 10/25/34 (A)		623		615
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-V, Cl 1A2
2.704%, 10/25/34 (A)		499		495
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-1, Cl 2A1
5.000%, 01/25/20		277		283
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-13, Cl A1
5.000%, 11/25/20		237		248
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005- AR8, Cl 2A1
2.689%, 06/25/35 (A)		914		877
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005- AR9, Cl 2A1
2.666%, 10/25/33 (A)		290		286
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005- AR14, Cl A1
5.350%, 08/25/35 (A)		554		557
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006- AR18, Cl 1A1
5.614%, 11/25/36 (A)		705		655
WF-RBS Commercial Mortgage Trust, Ser 2011-C2, Cl XA, IO
1.350%, 02/15/44 (A) (D)		8,277		442
WF-RBS Commercial Mortgage Trust, Ser 2011-C5, Cl A4
3.667%, 11/15/44		3,935		4,206
WF-RBS Commercial Mortgage Trust, Ser C3, Cl A4
4.375%, 03/15/44 (D)		600		660
				599,466
Total Mortgage-Backed Securities (Cost $2,863,771) ($ Thousands)				2,961,796
CORPORATE OBLIGATIONS — 24.3%
Consumer Discretionary — 1.2%
CBS
8.875%, 05/15/19		125		167
7.875%, 07/30/30		160		213
5.750%, 04/15/20		92		107

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Comcast
6.500%, 01/15/15	$	3,425	$	3,885
6.500%, 01/15/17		5,055		6,010
6.500%, 11/15/35		300		371
6.450%, 03/15/37		200		246
5.650%, 06/15/35		230		260
4.950%, 06/15/16		4,125		4,645
Comcast Cable Communications Holdings
9.455%, 11/15/22		920		1,342
CVS
5.789%, 01/10/26 (D)		1,775		1,943
CVS Caremark
6.600%, 03/15/19		180		227
6.125%, 09/15/39 (B)		140		173
4.125%, 05/15/21		360		394
CVS Lease Pass-Through
6.036%, 12/10/28 (D)		2,642		3,002
CVS Pass-Through Trust
5.926%, 01/10/34 (D)		331		375
5.880%, 01/10/28		164		179
Daimler Finance North America LLC
2.625%, 09/15/16 (D)		389		401
1.875%, 09/15/14 (D)		4,575		4,602
1.650%, 04/10/15 (D)		4,317		4,316
DaimlerChrysler
6.500%, 11/15/13		460		495
Gap
5.950%, 04/12/21		2,498		2,579
Historic TW
9.150%, 02/01/23		500		689
Johnson Controls
5.250%, 12/01/41		440		496
4.250%, 03/01/21 (B)		265		288
3.750%, 12/01/21		289		304
Kohl’s
6.250%, 12/15/17		255		309
4.000%, 11/01/21 (B)		134		139
Lowe’s MTN
7.110%, 05/15/37		400		538
5.125%, 11/15/41		48		54
Macy’s Retail Holdings
7.450%, 07/15/17		120		147
6.900%, 04/01/29		100		118
5.125%, 01/15/42		54		56
3.875%, 01/15/22 (B)		108		113
McDonald’s MTN
5.350%, 03/01/18		1,300		1,572
NBC Universal
5.950%, 04/01/41		200		238
Newell Rubbermaid
4.700%, 08/15/20		176		191
News America
6.200%, 12/15/34		315		352
6.150%, 02/15/41		837		959

SEI Institutional Investments Trust / Annual Report / May 31, 2012 85

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Omnicom Group
3.625%, 05/01/22	$	630	$	641
Staples
9.750%, 01/15/14		305		344
Target
7.000%, 01/15/38 (B)		135		194
4.000%, 06/15/13		355		367
Thomson Reuters
4.700%, 10/15/19		250		286
Time Warner
7.625%, 04/15/31		4,830		6,291
6.250%, 03/29/41		277		328
5.375%, 10/15/41		37		40
4.750%, 03/29/21		920		1,032
4.700%, 01/15/21		820		916
Time Warner Cable
8.750%, 02/14/19		2,940		3,900
8.250%, 04/01/19		4,095		5,344
7.300%, 07/01/38		400		509
6.750%, 07/01/18		120		145
6.550%, 05/01/37		3,426		4,011
5.875%, 11/15/40		4,455		4,908
5.500%, 09/01/41		2,235		2,399
4.125%, 02/15/21		360		379
4.000%, 09/01/21 (B)		30		31
Time Warner Entertainment
8.375%, 03/15/23		232		312
8.375%, 07/15/33		100		138
United Business Media
5.750%, 11/03/20 (D)		1,070		1,102
Viacom
3.875%, 12/15/21 (B)		294		314
Volkswagen International Finance
1.625%, 08/12/13 (D)		100		101
Wal-Mart Stores
5.800%, 02/15/18		1,910		2,327
5.625%, 04/15/41 (B)		2,680		3,412
Wyndham Worldwide
4.250%, 03/01/22		2,400		2,439
2.950%, 03/01/17		1,065		1,066
				85,771
Consumer Staples — 1.9%
Altria Group
9.250%, 08/06/19		2,120		2,913
4.750%, 05/05/21		2,260		2,520
Anheuser-Busch InBev Worldwide
7.750%, 01/15/19 (B)		7,700		10,188
5.375%, 11/15/14		2,060		2,274
5.375%, 01/15/20		2,570		3,095
5.000%, 04/15/20		910		1,077
BAT International Finance
2.125%, 06/07/17		3,345		3,340
1.400%, 06/05/15 (D)		2,790		2,782

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Bunge Finance
8.500%, 06/15/19	$	350	$	445
5.900%, 04/01/17		107		121
Coca-Cola
1.800%, 09/01/16		3,334		3,437
Diageo Capital
4.828%, 07/15/20		300		353
Diageo Finance BV
5.500%, 04/01/13		300		312
Diageo Investment
2.875%, 05/11/22		8,095		8,232
ERAC USA Finance LLC
6.700%, 06/01/34 (D)		221		256
5.625%, 03/15/42 (D)		93		95
2.750%, 03/15/17 (D)		48		49
Express Scripts Holding
3.500%, 11/15/16 (D)		4,920		5,196
2.650%, 02/15/17 (D)		4,485		4,566
2.100%, 02/12/15 (D)		3,980		4,027
GlaxoSmithKline Capital
4.375%, 04/15/14		200		214
2.850%, 05/08/22		2,010		2,033
1.500%, 05/08/17		9,360		9,373
Kaiser Foundation Hospitals
3.500%, 04/01/22		1,612		1,679
Kellogg
3.125%, 05/17/22		178		179
1.750%, 05/17/17		805		803
Kimberly-Clark
2.400%, 03/01/22		36		36
Kraft Foods
6.500%, 08/11/17		300		363
6.500%, 02/09/40		1,420		1,809
6.125%, 08/23/18		700		844
5.375%, 02/10/20		6,995		8,269
5.000%, 06/04/42 (D)		2,791		2,779
Kraft Foods Group
3.500%, 06/06/22 (D)		16,585		16,876
Kroger
7.500%, 04/01/31		610		793
6.150%, 01/15/20		300		367
5.400%, 07/15/40		45		48
3.400%, 04/15/22 (B)		200		199
2.200%, 01/15/17		80		81
Molson Coors Brewing
3.500%, 05/01/22		240		245
PepsiCo
7.900%, 11/01/18		339		455
3.000%, 08/25/21 (B)		181		186
2.750%, 03/05/22		4,640		4,656
2.500%, 05/10/16		2,065		2,174
Pernod-Ricard
5.750%, 04/07/21 (D)		3,327		3,757
5.500%, 01/15/42 (D)		2,095		2,152

86 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
4.450%, 01/15/22 (D)	$	3,010	$	3,141
2.950%, 01/15/17 (D)		680		688
Philip Morris International
4.500%, 03/20/42		1,210		1,320
2.900%, 11/15/21		2,240		2,309
1.625%, 03/20/17		4,705		4,767
Reynolds American
7.250%, 06/01/12		2,010		2,010
SABMiller
5.500%, 08/15/13 (D)		320		336
SABMiller Holdings
3.750%, 01/15/22 (D)		2,200		2,331
Safeway
6.350%, 08/15/17 (B)		2,616		2,964
Teva Pharmaceutical Finance BV
3.650%, 11/10/21		1,020		1,069
Teva Pharmaceutical Finance IV BV
3.650%, 11/10/21		300		314
University of Pennsylvania
4.674%, 09/01/12		1,345		1,508
				138,405
Energy — 2.4%
Alberta Energy
7.375%, 11/01/31		200		239
Anadarko Finance
7.500%, 05/01/31		313		391
Anadarko Holding
7.150%, 05/15/28		150		170
Anadarko Petroleum
8.700%, 03/15/19		150		199
7.625%, 03/15/14		450		495
6.950%, 06/15/19		90		111
6.375%, 09/15/17		4,090		4,783
5.950%, 09/15/16		190		215
ANR Pipeline
9.625%, 11/01/21		100		152
Apache
6.900%, 09/15/18		180		227
6.000%, 09/15/13		3,170		3,376
5.625%, 01/15/17		370		437
4.750%, 04/15/43		115		126
3.250%, 04/15/22		2,026		2,111
Baker Hughes
7.500%, 11/15/18		2,200		2,902
BG Energy Capital
5.125%, 10/15/41 (D)		200		227
4.000%, 10/15/21 (D)		2,775		2,970
BP Capital Markets
5.250%, 11/07/13 (B)		3,230		3,425
3.875%, 03/10/15		630		673
3.625%, 05/08/14 (B)		100		105
3.561%, 11/01/21		210		220
3.245%, 05/06/22		4,400		4,469
1.846%, 05/05/17		5,504		5,508

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Burlington Resources
8.200%, 03/15/25	$	400	$	564
Canadian Natural Resources
7.200%, 01/15/32		150		204
6.450%, 06/30/33		200		255
Canadian Oil Sands
6.000%, 04/01/42 (D)		1,980		2,119
Conoco Funding
7.250%, 10/15/31		785		1,135
6.950%, 04/15/29		1,235		1,726
ConocoPhillips
6.000%, 01/15/20		460		585
DCP Midstream Operating
4.950%, 04/01/22		2,665		2,742
Devon Energy
6.300%, 01/15/19		330		407
5.600%, 07/15/41		3,940		4,551
4.750%, 05/15/42		157		164
3.250%, 05/15/22 (B)		2,540		2,576
1.875%, 05/15/17		1,060		1,057
El Paso
6.950%, 06/01/28		2,250		2,323
El Paso Pipeline Partners Operating LLC
7.500%, 11/15/40		840		1,063
6.500%, 04/01/20		3,265		3,778
4.100%, 11/15/15		2,130		2,217
Encana
6.500%, 05/15/19 (B)		250		302
5.150%, 11/15/41		3,325		3,171
Energen
4.625%, 09/01/21		2,250		2,309
Energy Transfer Partners
9.000%, 04/15/19		339		428
6.700%, 07/01/18		2,250		2,585
6.500%, 02/01/42		1,420		1,507
5.200%, 02/01/22		1,000		1,057
ENI
5.700%, 10/01/40 (D)		900		937
Enterprise Products Operating LLC
9.750%, 01/31/14		3,470		3,938
6.125%, 10/15/39		170		198
5.950%, 02/01/41		240		276
5.700%, 02/15/42		1,930		2,148
5.250%, 01/31/20		420		480
4.850%, 08/15/42		70		70
4.050%, 02/15/22 (B)		2,170		2,284
EOG Resources
4.100%, 02/01/21 (B)		300		331
Halliburton
6.150%, 09/15/19		300		373
Hess
8.125%, 02/15/19		3,250		4,223
Husky Energy
7.250%, 12/15/19		694		868

SEI Institutional Investments Trust / Annual Report / May 31, 2012 87

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Kerr-McGee
6.950%, 07/01/24	$	4,885	$	6,063
Kinder Morgan Energy Partners
6.000%, 02/01/17		590		682
5.000%, 12/15/13		1,190		1,252
3.950%, 09/01/22		2,105		2,126
Marathon Petroleum
6.500%, 03/01/41		1,913		2,121
Noble Energy
4.150%, 12/15/21		2,950		3,098
Noble Holding International
5.250%, 03/15/42		119		121
3.950%, 03/15/22		40		41
Occidental Petroleum
3.125%, 02/15/22		1,710		1,791
1.750%, 02/15/17		153		156
Panhandle Eastern Pipeline
8.125%, 06/01/19		1,086		1,355
Pemex Project Funding Master Trust
6.625%, 06/15/35		5,602		6,372
1.080%, 12/03/12 (A) (D)		201		200
Petrobras International Finance
6.125%, 10/06/16		1,300		1,449
5.750%, 01/20/20		1,127		1,228
5.375%, 01/27/21		4,680		4,994
2.875%, 02/06/15		1,885		1,906
Petrobras International Finance - Pifco
3.875%, 01/27/16		1,480		1,531
3.500%, 02/06/17		5,615		5,692
Petro-Canada
7.875%, 06/15/26		100		136
6.800%, 05/15/38		3,850		4,840
6.050%, 05/15/18		260		307
Petroleos Mexicanos
6.500%, 06/02/41 (D)		365		410
4.875%, 01/24/22 (D)		943		990
Phillips 66
5.875%, 05/01/42 (D)		1,670		1,782
4.300%, 04/01/22 (D)		57		59
2.950%, 05/01/17 (D)		976		995
Reliance Holdings USA
5.400%, 02/14/22 (D)		2,275		2,265
Schlumberger Investment
3.300%, 09/14/21 (D)		163		171
Shell International Finance BV
6.375%, 12/15/38		1,290		1,790
4.375%, 03/25/20		80		94
4.300%, 09/22/19		1,000		1,163
3.100%, 06/28/15		165		176
Sinopec Group Overseas Development 2012
2.750%, 05/17/17 (D)		1,150		1,168
Spectra Energy Capital LLC
8.000%, 10/01/19		702		913

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Statoil
5.250%, 04/15/19	$	460	$	553
4.250%, 11/23/41		80		84
3.150%, 01/23/22		100		104
3.125%, 08/17/17		200		215
Talisman Energy
7.750%, 06/01/19		1,855		2,317
Tennessee Gas Pipeline
8.000%, 02/01/16		3,205		3,784
Tosco
8.125%, 02/15/30		100		149
7.800%, 01/01/27		210		292
Total Capital
4.125%, 01/28/21		74		83
2.300%, 03/15/16		300		311
Total Capital International
2.875%, 02/17/22		138		140
TransCanada Pipelines
7.125%, 01/15/19		200		258
6.500%, 08/15/18		425		535
Transocean
7.350%, 12/15/41		888		1,097
6.500%, 11/15/20 (B)		485		561
6.375%, 12/15/21		1,887		2,167
Weatherford International
5.950%, 04/15/42		50		53
4.500%, 04/15/22		67		69
Western Gas Partners
5.375%, 06/01/21		1,940		2,141
Williams
8.750%, 03/15/32		2,302		3,208
7.875%, 09/01/21		1,232		1,600
7.750%, 06/15/31		339		429
7.500%, 01/15/31		9		11
Williams Partners
5.250%, 03/15/20		570		644
				168,724
Financials — 13.1%
ABB Treasury Center USA
2.500%, 06/15/16 (D)		6,360		6,565
ACE INA Holdings
5.600%, 05/15/15		380		426
Achmea Hypotheekbank
3.200%, 11/03/14 (D)		4,377		4,576
Aegon, Ser CMS
2.248%, 07/29/49 (A)		2,180		916
Aflac
8.500%, 05/15/19 (B)		165		218
6.450%, 08/15/40		92		107
4.000%, 02/15/22 (B)		227		236
AIG SunAmerica Global Financing X
6.900%, 03/15/32 (B) (D)		450		550

88 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Allstate
7.450%, 05/16/19	$	4,680	$	6,014
5.000%, 08/15/14		300		326
Ally Financial
2.688%, 12/01/14 (A)		4,579		4,386
1.750%, 10/30/12		3,960		3,984
American Express MTN
7.000%, 03/19/18 (B)		500		615
5.875%, 05/02/13		1,880		1,963
American Express Credit MTN
7.300%, 08/20/13		500		536
5.125%, 08/25/14		3,710		4,000
2.800%, 09/19/16		389		401
2.375%, 03/24/17		5,085		5,151
American Honda Finance MTN
7.625%, 10/01/18 (D)		150		192
3.875%, 09/21/20 (D)		2,840		3,062
2.600%, 09/20/16 (D)		246		255
2.375%, 03/18/13 (D)		150		152
American International Group
6.400%, 12/15/20		540		606
6.250%, 03/15/37		3,840		3,360
5.850%, 01/16/18		390		428
4.875%, 06/01/22		1,890		1,904
3.750%, 11/30/13 (D)		1,000		1,013
American Tower‡
5.050%, 09/01/20		777		816
4.500%, 01/15/18		2,690		2,858
ANZ National International
3.125%, 08/10/15 (D)		190		196
Aon
6.250%, 09/30/40		79		100
3.500%, 09/30/15		46		48
3.125%, 05/27/16		235		244
ASIF Global Financing XIX
4.900%, 01/17/13 (D)		1,633		1,651
Associates Corp of North America
6.950%, 11/01/18		650		727
Australia & New Zealand Banking Group
4.875%, 01/12/21 (B) (D)		137		153
3.250%, 03/01/16 (B) (D)		200		208
2.400%, 11/23/16 (B) (D)		453		466
0.878%, 10/29/49 (A)		1,400		756
BA Covered Bond Issuer
5.500%, 06/14/12 (D)		1,500		1,502
Bank of America
8.070%, 12/31/26 (D)		1,030		1,035
7.625%, 06/01/19		175		200
7.375%, 05/15/14		780		842
6.500%, 08/01/16		10,488		11,357
6.100%, 06/15/17		6,000		6,250
6.000%, 09/01/17		2,435		2,584
5.875%, 02/07/42		945		965
5.750%, 12/01/17		2,420		2,518
5.700%, 01/24/22		3,253		3,456

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
5.650%, 05/01/18	$	1,270	$	1,323
5.625%, 10/14/16		10,925		11,481
5.625%, 07/01/20		375		388
5.420%, 03/15/17		5,030		5,076
5.000%, 05/13/21		1,915		1,922
4.500%, 04/01/15 (B)		6,540		6,687
3.875%, 03/22/17		1,979		1,973
3.625%, 03/17/16		2,770		2,741
0.774%, 06/15/17 (A)		2,210		1,843
0.754%, 06/15/16 (A)		2,550		2,255
Bank of Montreal
2.850%, 06/09/15 (B) (D)		2,720		2,878
1.300%, 10/31/14 (B) (D)		321		325
Bank of New York Mellon MTN
4.600%, 01/15/20 (B)		160		181
3.550%, 09/23/21		144		154
3.100%, 01/15/15 (B)		125		132
2.950%, 06/18/15 (B)		500		525
2.400%, 01/17/17		398		409
Bank of Nova Scotia
3.400%, 01/22/15		478		503
1.650%, 10/29/15 (B) (D)		355		363
Bank of Tokyo-Mitsubishi UFJ
3.850%, 01/22/15 (D)		1,007		1,067
2.350%, 02/23/17 (D)		295		301
Barclays Bank
6.050%, 12/04/17 (D)		950		953
5.200%, 07/10/14 (B)		350		368
5.125%, 01/08/20 (B)		4,145		4,445
5.000%, 09/22/16 (B)		4,800		5,170
2.500%, 01/23/13 (B)		500		504
2.500%, 09/21/15 (B) (D)		365		362
2.250%, 05/10/17 (D)		2,766		2,765
0.875%, 08/07/49 (A)		380		171
BB&T MTN
6.850%, 04/30/19 (B)		115		145
5.700%, 04/30/14		620		675
4.900%, 06/30/17		400		437
3.950%, 04/29/16		555		603
3.850%, 07/27/12		80		80
3.375%, 09/25/13		70		72
BBVA US Senior SAU
3.250%, 05/16/14		2,680		2,572
Bear Stearns
7.250%, 02/01/18		2,930		3,455
6.400%, 10/02/17		3,660		4,177
4.650%, 07/02/18		3,000		3,165
Berkshire Hathaway
3.750%, 08/15/21 (B)		2,558		2,720
3.400%, 01/31/22		3,845		3,986
3.200%, 02/11/15		1,570		1,667
Berkshire Hathaway Finance
5.400%, 05/15/18 (B)		5,160		6,091
4.400%, 05/15/42		1,115		1,121

SEI Institutional Investments Trust / Annual Report / May 31, 2012 89

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
2.450%, 12/15/15	$	187	$	195
1.600%, 05/15/17		2,790		2,802
BlackRock
6.250%, 09/15/17 (B)		570		687
3.375%, 06/01/22		180		182
Blackstone Holdings Finance LLC
5.875%, 03/15/21 (D)		1,180		1,236
Boeing Capital
2.900%, 08/15/18		1,545		1,649
Boston Properties‡
3.850%, 02/01/23		3,120		3,113
3.700%, 11/15/18		1,145		1,196
Branch Banking & Trust
5.625%, 09/15/16		325		369
Caisse Centrale Desjardins du Quebec
2.550%, 03/24/16 (B) (D)		581		611
Canadian Imperial Bank of Commerce
2.600%, 07/02/15 (B) (D)		1,000		1,052
Capital One Bank USA
8.800%, 07/15/19		250		317
Capital One Financial
7.375%, 05/23/14		450		495
6.750%, 09/15/17		740		885
4.750%, 07/15/21 (B)		375		412
Caterpillar Financial Services MTN
7.150%, 02/15/19		250		328
6.200%, 09/30/13		3,440		3,689
5.850%, 09/01/17		580		696
2.850%, 06/01/22 (B)		155		157
CDP Financial
3.000%, 11/25/14 (D)		6,800		7,128
Cedar Brakes I LLC
8.500%, 02/15/14 (D)		475		499
Charles Schwab
4.950%, 06/01/14		100		108
Chase Capital VI
1.091%, 08/01/28 (A)		2,000		1,520
Citigroup
8.500%, 05/22/19 (B)		600		735
8.125%, 07/15/39 (B)		2,338		3,101
6.875%, 03/05/38		3,715		4,358
6.500%, 08/19/13		3,190		3,350
6.375%, 08/12/14 (B)		2,650		2,842
6.125%, 05/15/18		3,160		3,439
6.010%, 01/15/15		1,000		1,071
6.000%, 12/13/13		2,920		3,066
6.000%, 08/15/17		4,270		4,629
5.500%, 04/11/13		738		758
5.500%, 02/15/17		11,465		11,812
5.375%, 08/09/20		610		656
5.000%, 09/15/14		2,490		2,546
4.587%, 12/15/15		114		119
4.500%, 01/14/22		2,353		2,414
4.450%, 01/10/17		4,540		4,683

Description		Face Amount ($ Thousands)		Market Value ($ Thousands)
2.650%, 03/02/15		$	3,290	$	3,264
1.017%, 08/25/36 (A)			2,839		1,881
Citigroup Capital III
7.625%, 12/01/36			2,000		2,078
Citigroup Funding
1.875%, 10/22/12			5,355		5,391
CME Group
5.750%, 02/15/14 (B)			177		191
CNA Financial
5.875%, 08/15/20 (B)			274		300
5.850%, 12/15/14			200		215
Comerica
3.000%, 09/16/15			145		150
Commonwealth Bank of Australia MTN
5.000%, 10/15/19 (D)			900		998
3.750%, 10/15/14 (D)			1,030		1,077
2.250%, 03/16/17 (B) (D)			378		386
Commonwealth Bank of Australia NY
1.950%, 03/16/15			4,285		4,313
CommonWealth REIT
6.650%, 01/15/18			255		277
6.250%, 08/15/16			300		317
5.875%, 09/15/20			95		99
Cooperatieve Centrale Raiffeisen- Boerenleenbank BA
11.000%, 12/31/49 (A) (D)			2,713		3,384
5.800%, 09/30/10 (D)			300		309
4.500%, 01/11/21 (B)			300		318
3.875%, 02/08/22	��		1,885		1,880
3.375%, 01/19/17			1,610		1,650
3.200%, 03/11/15 (D)			700		722
Countrywide Financial
6.250%, 05/15/16 (B)			1,170		1,204
Credit Agricole
8.375%, 12/31/49 (A) (B) (D)			4,550		3,435
2.625%, 01/21/14 (D)			1,480		1,445
Credit Suisse
1.625%, 03/06/15 (D)			3,285		3,295
Credit Suisse NY
6.000%, 02/15/18 (B)			6,895		7,331
5.500%, 05/01/14			125		133
5.300%, 08/13/19 (B)			600		672
5.000%, 05/15/13 (B)			4,489		4,639
Credit Suisse USA
5.125%, 08/15/15			645		705
Deutsche Bank
4.875%, 05/20/13			2,260		2,331
3.875%, 08/18/14 (B)			295		307
2.375%, 01/11/13			2,500		2,513
Deutsche Bank Capital Funding Trust
5.628%, 01/19/49 (A) (B) (D)			4,789		3,855
Dexia Credit Local
2.750%, 04/29/14 (D)			13,575		13,166

90 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
DnB Boligkreditt
2.100%, 10/14/15 (D)	$	10,132	$	10,305
Dresdner Funding Trust I
8.151%, 06/30/31 (D)		365		287
ERAC USA Finance LLC
4.500%, 08/16/21 (D)		175		187
2.250%, 01/10/14 (D)		250		252
ERP Operating‡
5.750%, 06/15/17		500		578
5.125%, 03/15/16		1,000		1,104
4.625%, 12/15/21 (B)		236		257
Farmers Exchange Capital
7.200%, 07/15/48 (D)		2,519		2,757
7.050%, 07/15/28 (D)		1,063		1,235
Farmers Insurance Exchange
8.625%, 05/01/24 (D)		4,118		5,388
FDIC Structured Sale Guaranteed Notes
1.450%, 10/25/13 (C) (D)		1,570		1,557
First Chicago NBD Institutional Capital I
1.016%, 02/01/27 (A)		3,750		2,922
First Industrial MTN
7.500%, 12/01/17		1,765		1,832
FMR LLC
6.450%, 11/15/39 (D)		250		290
Ford Motor Credit LLC
5.875%, 08/02/21		1,840		2,090
2.750%, 05/15/15		4,540		4,616
FUEL Trust
4.207%, 04/15/16		401		420
3.984%, 06/15/16 (B)		555		576
General Electric Capital MTN
6.875%, 01/10/39		7,437		9,519
6.750%, 03/15/32		150		185
6.375%, 11/15/67 (A)		6,235		6,414
6.150%, 08/07/37		5,880		6,892
6.000%, 08/07/19		920		1,080
5.900%, 05/13/14		2,510		2,721
5.875%, 01/14/38		1,520		1,728
5.625%, 09/15/17		800		915
5.625%, 05/01/18		6,615		7,518
5.500%, 01/08/20		480		549
5.400%, 02/15/17		1,800		2,038
5.375%, 10/20/16 (B)		1,300		1,471
5.300%, 02/11/21 (B)		2,073		2,308
4.650%, 10/17/21		930		1,022
4.625%, 01/07/21		3,300		3,604
2.300%, 04/27/17		3,295		3,283
2.250%, 11/09/15		180		182
0.846%, 05/05/26 (A)		4,345		3,568
0.734%, 09/15/14 (A)		4,090		4,047
0.597%, 03/20/14 (A)		2,000		1,959
Glitnir Banki
7.451%, 09/14/16 (D) (E) (G) (I)		500		—
6.693%, 06/15/16 (D) (E)		4,480		—

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Goldman Sachs Capital II
5.793%, 06/01/43 (A)	$	13,260	$	8,752
Goldman Sachs Group
7.500%, 02/15/19 (B)		3,046		3,460
6.250%, 09/01/17		1,400		1,491
6.250%, 02/01/41		2,490		2,507
6.150%, 04/01/18		7,800		8,144
6.000%, 06/15/20		4,030		4,231
5.950%, 01/18/18		3,175		3,316
5.750%, 10/01/16		1,000		1,058
5.750%, 01/24/22		460		472
5.450%, 11/01/12		750		762
5.375%, 03/15/20		540		549
5.250%, 10/15/13		680		706
5.250%, 07/27/21		8,105		8,018
5.150%, 01/15/14		300		310
4.750%, 07/15/13		100		103
3.625%, 08/01/12 (B)		470		472
3.625%, 02/07/16 (B)		470		463
3.300%, 05/03/15		5,070		4,996
Goodman Funding Pty‡
6.000%, 03/22/22 (D)		935		957
GTP Acquisition Partners I LLC
4.347%, 06/15/16 (D)		606		635
Hartford Financial Services Group
6.625%, 04/15/42		975		1,014
5.125%, 04/15/22		365		372
HBOS MTN
6.750%, 05/21/18 (D)		5,100		4,673
HBOS Capital Funding
6.071%, 06/30/49 (A) (D)		1,920		1,190
HCP‡
6.700%, 01/30/18		4,478		5,227
6.000%, 01/30/17		6,000		6,745
5.650%, 12/15/13		2,845		3,001
5.375%, 02/01/21		105		117
3.750%, 02/01/19		2,951		2,964
Health Care REIT
6.500%, 03/15/41		2,693		2,968
5.250%, 01/15/22		1,600		1,721
4.950%, 01/15/21		4,910		5,199
Highwoods Properties‡
7.500%, 04/15/18		1,339		1,546
Hongkong & Shanghai Banking
0.563%, 07/22/49 (A)		195		91
HSBC Bank
4.750%, 01/19/21 (D)		400		435
4.125%, 08/12/20 (B) (D)		261		272
3.100%, 05/24/16 (D)		5,022		5,180
1.625%, 07/07/14 (D)		728		728
0.912%, 06/29/49 (A)		1,160		544
HSBC Bank USA NY
4.625%, 04/01/14		300		312

SEI Institutional Investments Trust / Annual Report / May 31, 2012 91

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
HSBC Finance
6.676%, 01/15/21 (B)	$	7,330	$	7,909
6.375%, 11/27/12 (B)		365		374
5.500%, 01/19/16 (B)		600		651
4.750%, 07/15/13 (B)		166		171
0.717%, 01/15/14 (A)		500		487
HSBC Holdings
6.800%, 06/01/38		1,469		1,666
5.100%, 04/05/21 (B)		111		123
4.875%, 01/14/22		300		329
4.000%, 03/30/22		2,530		2,575
HSBC USA
2.375%, 02/13/15		6,375		6,395
Hutchison Whampoa International 11
4.625%, 01/13/22 (D)		2,135		2,201
3.500%, 01/13/17 (D)		585		600
ILFC E-Capital Trust II
6.250%, 12/21/65 (A) (D)		1,200		864
ING Bank
3.750%, 03/07/17 (D)		457		449
International Lease Finance
6.750%, 09/01/16 (B) (D)		6,230		6,682
6.500%, 09/01/14 (D)		7,190		7,532
Intesa Sanpaolo
3.625%, 08/12/15 (D)		1,140		981
Jackson National Life Global Funding MTN
5.375%, 05/08/13 (D)		610		632
Jefferies Group
8.500%, 07/15/19 (B)		90		95
6.450%, 06/08/27		590		546
6.250%, 01/15/36		400		346
3.875%, 11/09/15 (B)		171		165
John Deere Capital
5.750%, 09/10/18		300		365
2.250%, 04/17/19		1,770		1,812
JPMorgan Chase
6.000%, 10/01/17		12,275		13,646
6.000%, 01/15/18		400		449
5.750%, 01/02/13		760		780
5.400%, 01/06/42		1,395		1,511
5.150%, 10/01/15		240		255
5.125%, 09/15/14		136		143
4.650%, 06/01/14		6,650		7,038
4.500%, 01/24/22		1,420		1,515
4.350%, 08/15/21		510		532
4.250%, 10/15/20		2,040		2,116
3.450%, 03/01/16		1,015		1,045
0.804%, 06/13/16 (A)		4,250		3,902
JPMorgan Chase Bank
6.000%, 07/05/17		2,300		2,561
JPMorgan Chase Capital XIII
1.420%, 09/30/34 (A)		1,440		1,086

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
JPMorgan Chase Capital XXII
6.450%, 02/02/37	$	480	$	474
JPMorgan Chase Capital XXIII
1.467%, 05/15/47 (A)		4,000		2,770
Kaupthing Bank MTN
7.625%, 02/28/15 (D) (E)		8,130		2,033
7.125%, 05/19/16 (D) (E) (G) (I)		12,000		1
5.750%, 10/04/11 (D) (E)		1,120		280
KeyBank
5.800%, 07/01/14		600		647
Kilroy Realty‡
6.625%, 06/01/20		535		621
5.000%, 11/03/15		830		886
4.800%, 07/15/18		1,260		1,341
Landsbanki Islands
6.100%, 08/25/11 (D) (E)		6,520		293
Lazard Group
7.125%, 05/15/15		2,880		3,136
6.850%, 06/15/17		4,415		4,852
Liberty Mutual Group
6.500%, 05/01/42 (D)		2,475		2,519
Lincoln National
4.850%, 06/24/21		58		61
Lloyds TSB Bank
6.375%, 01/21/21		1,775		1,915
4.200%, 03/28/17		5,060		5,053
Macquarie Bank
5.000%, 02/22/17 (D)		652		665
Macquarie Group MTN
7.300%, 08/01/14 (D)		480		510
6.250%, 01/14/21 (B) (D)		525		533
6.000%, 01/14/20 (D)		225		225
Manufacturers & Traders Trust
6.625%, 12/04/17		250		294
Massachusetts Mutual Life Insurance
8.875%, 06/01/39 (D)		3,745		5,500
5.375%, 12/01/41 (D)		66		73
MassMutual Global Funding II
3.625%, 07/16/12 (D)		300		301
2.875%, 04/21/14 (D)		122		126
2.300%, 09/28/15 (D)		100		103
MBNA Capital, Ser A
8.278%, 12/01/26		3,135		3,159
Merrill Lynch MTN
7.430%, 09/01/22		3		3
6.875%, 04/25/18		980		1,078
6.400%, 08/28/17		1,250		1,330
6.150%, 04/25/13		210		216
5.700%, 05/02/17		600		610
MetLife
7.717%, 02/15/19		1,750		2,225
6.750%, 06/01/16		2,950		3,471
6.400%, 12/15/36		6,730		6,394
5.700%, 06/15/35		930		1,101

92 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
MetLife Capital Trust X
9.250%, 04/08/38 (D)	$	2,700	$	3,213
MetLife Institutional Funding II
1.368%, 04/04/14 (A) (D)		153		154
Metropolitan Life Global Funding I
5.125%, 04/10/13 (D)		200		207
5.125%, 06/10/14 (D)		1,575		1,696
3.875%, 04/11/22 (D)		200		208
3.650%, 06/14/18 (D)		490		519
2.500%, 01/11/13 (D)		925		935
2.500%, 09/29/15 (D)		2,935		3,025
2.000%, 01/10/14 (D)		200		203
Monumental Global Funding
5.500%, 04/22/13 (D)		235		243
Morgan Stanley MTN
7.300%, 05/13/19		5,990		6,210
6.625%, 04/01/18		5,190		5,268
6.250%, 08/28/17		550		553
6.000%, 05/13/14		5,135		5,224
5.950%, 12/28/17		245		244
5.750%, 01/25/21		235		222
5.625%, 09/23/19		2,385		2,276
5.550%, 04/27/17		514		503
5.500%, 07/24/20		370		347
5.500%, 07/28/21		3,740		3,502
5.450%, 01/09/17		250		244
5.300%, 03/01/13 (B)		400		408
4.750%, 04/01/14 (B)		1,940		1,914
4.750%, 03/22/17		300		289
4.200%, 11/20/14 (B)		1,836		1,806
3.800%, 04/29/16		455		429
0.916%, 10/18/16 (A)		9,000		7,542
Murray Street Investment Trust I
4.647%, 03/09/17 (A)		7,805		7,739
National Australia Bank
5.350%, 06/12/13 (B) (D)		5,495		5,740
3.750%, 03/02/15 (D)		455		477
3.000%, 07/27/16 (B) (D)		1,000		1,030
2.500%, 01/08/13 (D)		550		556
National Bank of Canada
2.200%, 10/19/16 (D)		4,350		4,534
1.650%, 01/30/14 (B) (D)		271		276
National City
4.900%, 01/15/15		400		436
National City Bank
5.800%, 06/07/17 (B)		525		602
0.845%, 06/07/17 (A)		3,000		2,791
National Rural Utilities Cooperative Finance
10.375%, 11/01/18		230		335
2.625%, 09/16/12		95		96
Nationwide Mutual Insurance
9.375%, 08/15/39 (D)		460		605
6.600%, 04/15/34 (B) (D)		2,160		2,143

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
5.810%, 12/15/24 (A) (D)	$	3,900	$	3,557
New York Life Global Funding
4.650%, 05/09/13 (D)		300		310
3.000%, 05/04/15 (D)		5,380		5,652
New York Life Insurance
6.750%, 11/15/39 (D)		1,355		1,800
NIBC Bank MTN
2.800%, 12/02/14 (D)		2,350		2,433
Nomura Holdings
6.700%, 03/04/20 (B)		629		696
4.125%, 01/19/16 (B)		150		152
Nordea Bank
4.875%, 05/13/21 (B) (D)		4,965		4,840
3.700%, 11/13/14 (D)		900		934
3.125%, 03/20/17 (D)		490		493
2.250%, 03/20/15 (D)		3,795		3,801
1.750%, 10/04/13 (D)		200		200
Northern Trust
5.500%, 08/15/13		85		90
Northwestern Mutual Life Insurance
6.063%, 03/30/40 (D)		2,700		3,382
Oversea-Chinese Banking
1.625%, 03/13/15 (D)		200		200
PACCAR Financial MTN
1.600%, 03/15/17		164		165
1.550%, 09/29/14		140		142
Pacific Life Global Funding
5.150%, 04/15/13 (D)		370		383
5.000%, 05/15/17 (D)		170		180
Pacific Life Insurance
9.250%, 06/15/39 (D)		360		468
PNC Bank
6.000%, 12/07/17 (B)		250		291
PNC Funding
5.125%, 02/08/20 (B)		340		392
2.700%, 09/19/16		2,998		3,104
PPF Funding‡
5.500%, 01/15/14 (D)		5,000		5,105
Pricoa Global Funding I
5.450%, 06/11/14 (D)		300		322
Principal Life Global Funding I
5.050%, 03/15/15 (D)		750		806
Principal Life Income Funding Trusts MTN
5.100%, 04/15/14		600		636
Private Export Funding
4.375%, 03/15/19		4,660		5,531
2.125%, 07/15/16		4,760		4,997
Prudential Covered Trust 2012-1
2.997%, 09/30/15 (D)		3,515		3,570
Prudential Financial MTN
5.625%, 05/12/41		546		567
4.750%, 09/17/15		1,788		1,935

SEI Institutional Investments Trust / Annual Report / May 31, 2012 93

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Prudential Holdings LLC
8.695%, 12/18/23 (D)	$	2,500	$	3,088
1.349%, 12/18/17 (A) (D)		3,725		3,555
Prudential Insurance of America
8.300%, 07/01/25 (D)		600		800
Resona Preferred Global Securities Cayman
7.191%, 07/30/49 (A) (B) (D)		3,110		3,205
Royal Bank of Canada MTN
2.300%, 07/20/16 (B)		640		661
0.687%, 06/29/85 (A)		860		507
Royal Bank of Scotland
4.875%, 03/16/15		370		380
3.950%, 09/21/15		1,570		1,566
Royal Bank of Scotland Group MTN
7.640%, 09/29/17 (A)		1,000		630
6.400%, 10/21/19		2,390		2,471
Santander US Debt SAU
3.724%, 01/20/15 (D)		2,880		2,714
Security Benefit Life Insurance
8.750%, 05/15/16 (D)		5,200		5,408
Simon Property Group‡
10.350%, 04/01/19		520		731
6.750%, 05/15/14		165		180
5.650%, 02/01/20 (B)		133		157
4.375%, 03/01/21		130		142
4.125%, 12/01/21		108		117
SLM MTN
8.450%, 06/15/18		530		559
Societe Generale
0.844%, 11/29/49 (A)		680		326
0.844%, 11/29/49 (A)		180		86
Sparebank 1 Boligkreditt
2.300%, 06/30/17 (D)		9,280		9,373
Springleaf Finance MTN
6.900%, 12/15/17		170		133
Stadshypotek
1.450%, 09/30/13 (B) (D)		5,729		5,777
Standard Chartered
3.200%, 05/12/16 (D)		3,955		4,051
State Street
4.956%, 03/15/18		2,490		2,605
4.300%, 05/30/14		60		64
Sumitomo Mitsui Banking
3.150%, 07/22/15 (D)		2,380		2,493
3.100%, 01/14/16 (D)		640		672
SunTrust Preferred Capital I
4.000%, 12/31/49 (A)		2,533		1,748
Svenska Handelsbanken
3.125%, 07/12/16		282		289
2.875%, 04/04/17		4,720		4,783
Swedbank Hypotek
2.375%, 04/05/17 (D)		4,840		4,907

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Teachers Insurance & Annuity Association of America
6.850%, 12/16/39 (D)	$	1,890	$	2,480
Toronto-Dominion Bank MTN
2.500%, 07/14/16		538		559
2.200%, 07/29/15 (B) (D)		295		307
Toyota Motor Credit MTN
3.400%, 09/15/21		2,690		2,859
3.200%, 06/17/15		308		327
2.000%, 09/15/16		930		947
Travelers
5.900%, 06/02/19 (B)		145		181
Travelers Property Casualty
7.750%, 04/15/26		300		411
UBS MTN
5.875%, 12/20/17		520		572
5.750%, 04/25/18		150		164
3.875%, 01/15/15 (B)		1,170		1,208
2.250%, 08/12/13 (B)		250		251
2.250%, 01/28/14		1,690		1,692
UDR MTN‡
4.250%, 06/01/18		2,000		2,123
US Bancorp MTN
4.125%, 05/24/21		134		150
3.000%, 03/15/22		67		69
2.875%, 11/20/14 (B)		415		434
2.450%, 07/27/15		300		311
Ventas Realty‡
4.250%, 03/01/22		1,930		1,940
4.000%, 04/30/19		5,053		5,178
Wachovia
5.750%, 06/15/17		690		800
5.500%, 05/01/13		600		626
5.250%, 08/01/14		650		695
0.806%, 10/28/15 (A)		3,610		3,417
Wachovia Bank MTN
6.000%, 11/15/17		3,650		4,212
4.875%, 02/01/15		5,250		5,589
0.804%, 03/15/16 (A)		1,200		1,153
Wachovia Capital Trust III
5.570%, 12/31/49 (A)		5,292		4,922
WEA Finance LLC
7.125%, 04/15/18 (D)		3,655		4,356
6.750%, 09/02/19 (D)		366		436
4.625%, 05/10/21 (D)		1,065		1,124
Wells Fargo
5.625%, 12/11/17 (B)		350		406
5.000%, 11/15/14		1,085		1,156
4.600%, 04/01/21 (B)		840		924
3.676%, 06/15/16		3,170		3,361
2.100%, 05/08/17		3,180		3,148
Wells Fargo Bank
4.750%, 02/09/15 (B)		300		319

94 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Wells Fargo Capital X
5.950%, 12/15/36	$	1,350	$	1,345
Westpac Banking
4.875%, 11/19/19 (B)		604		661
2.450%, 11/28/16 (B) (D)		350		361
Woodbourne Capital Trust I
1.100%, 04/08/49 (A) (D)		625		225
WR Berkley
5.375%, 09/15/20		270		293
4.625%, 03/15/22		1,050		1,079
ZFS Finance USA Trust II
6.450%, 12/15/65 (A) (B) (D)		5,740		5,568
				925,321
Health Care — 0.8%
Abbott Laboratories
5.600%, 11/30/17		450		547
Aetna
4.500%, 05/15/42		71		71
Amgen
5.750%, 03/15/40		237		265
5.700%, 02/01/19		100		118
5.650%, 06/15/42		3,950		4,369
5.150%, 11/15/41		4,385		4,522
4.500%, 03/15/20		84		92
3.875%, 11/15/21		200		210
Boston Scientific
6.400%, 06/15/16		2,630		3,040
Coventry Health Care
5.950%, 03/15/17		3,478		3,986
Gilead Sciences
5.650%, 12/01/41		2,195		2,544
4.500%, 04/01/21		2,080		2,305
GlaxoSmithKline Capital
5.650%, 05/15/18		1,730		2,080
HCA
5.750%, 03/15/14		5,548		5,728
Hospira
6.400%, 05/15/15		20		22
Humana
7.200%, 06/15/18		2,120		2,566
Medco Health Solutions
7.125%, 03/15/18		250		310
2.750%, 09/15/15 (B)		135		139
Medtronic
4.450%, 03/15/20		1,320		1,530
Pharmacia
6.500%, 12/01/18		430		548
Roche Holdings
6.000%, 03/01/19 (D)		1,260		1,584
Thermo Fisher Scientific
3.600%, 08/15/21		770		827
3.200%, 03/01/16		1,425		1,526

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
UnitedHealth Group
6.875%, 02/15/38	$	300	$	415
5.800%, 03/15/36		560		675
5.700%, 10/15/40		910		1,115
3.875%, 10/15/20		980		1,070
3.375%, 11/15/21		225		237
WellPoint
5.875%, 06/15/17		350		414
4.625%, 05/15/42		1,809		1,823
3.700%, 08/15/21		2,790		2,924
3.125%, 05/15/22		2,854		2,846
Wyeth
5.950%, 04/01/37		2,460		3,235
				53,683
Industrials — 1.0%
ABB Finance USA
4.375%, 05/08/42		47		48
2.875%, 05/08/22		117		117
1.625%, 05/08/17		1,466		1,463
Air 2 US
8.027%, 10/01/19 (D)		1,489		1,549
Allied Waste North America
6.875%, 06/01/17		585		605
American Airlines Pass-Through Trust, Ser 2011-2, Cl A
8.625%, 10/15/21 (B)		4,150		4,357
American Airlines Pass-Through Trust, Ser 2011-1 Cl A
5.250%, 01/31/21 (B)		110		114
BAE Systems
5.800%, 10/11/41 (D)		90		103
4.750%, 10/11/21 (D)		5,540		6,014
Boeing
4.875%, 02/15/20		2,650		3,199
Burlington Northern Santa Fe LLC
7.290%, 06/01/36		200		267
5.650%, 05/01/17 (B)		200		235
5.400%, 06/01/41		200		230
4.700%, 10/01/19		375		430
3.450%, 09/15/21		60		63
Canadian National Railway
5.850%, 11/15/17 (B)		150		180
Cargill
7.350%, 03/06/19 (D)		400		510
3.300%, 03/01/22 (D)		200		206
Continental Airlines
5.983%, 04/19/22 (B)		2,877		3,122
Continental Airlines Pass-Through Trust, Ser 1999-1 Cl A
6.545%, 02/02/19		130		140
Continental Airlines Pass-Through Trust, Ser 1999-2 Cl C-2
7.256%, 03/15/20		1,178		1,279

SEI Institutional Investments Trust / Annual Report / May 31, 2012 95

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Continental Airlines Pass-Through Trust, Ser 2000-1 Cl A-1
8.048%, 11/01/20	$	2,325	$	2,581
CRH America
6.000%, 09/30/16		154		169
CSX
7.375%, 02/01/19 (B)		460		588
4.250%, 06/01/21		65		71
Danaher
3.900%, 06/23/21 (B)		266		299
Delta Air Lines Pass-Through Trust, Ser 2007-1 Cl A
6.821%, 08/10/22		1,759		1,909
Delta Air Lines Pass-Through Trust, Ser 2010-2 Cl A
4.950%, 05/23/19 (B)		257		271
Delta Air Lines Pass-Through Trust, Ser 2011-1 Cl A
5.300%, 04/15/19		81		86
Eaton
7.625%, 04/01/24		325		451
Fluor
3.375%, 09/15/21		308		321
General Electric
5.250%, 12/06/17		250		292
JetBlue Airways Private Trust, Ser 2004-2, Cl G1
0.842%, 08/15/16 (A)		4,102		3,753
Koninklijke Philips Electronics
7.200%, 06/01/26		300		407
5.750%, 03/11/18 (B)		100		118
3.750%, 03/15/22		1,379		1,437
Life Technologies
5.000%, 01/15/21		1,451		1,631
Lockheed Martin
5.720%, 06/01/40		405		486
3.350%, 09/15/21		3,435		3,529
2.125%, 09/15/16		187		192
Norfolk Southern
6.000%, 05/23/11		527		642
Northrop Grumman
1.850%, 11/15/15		3,205		3,255
Pitney Bowes MTN
5.600%, 03/15/18		100		102
5.000%, 03/15/15 (B)		225		235
4.875%, 08/15/14 (B)		325		339
Raytheon
3.125%, 10/15/20		780		821
Republic Services
3.550%, 06/01/22		125		127
Ryder System MTN
3.600%, 03/01/16		132		139
2.500%, 03/01/17 (B)		177		178

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Tyco International Finance
8.500%, 01/15/19	$	170	$	225
Tyco International Group
7.000%, 12/15/19 (B)		150		190
Union Pacific
4.163%, 07/15/22 (B)		437		490
Union Pacific Railroad 2003 Pass-Through Trust
4.698%, 01/02/24		162		178
United Parcel Service
4.500%, 01/15/13		1,670		1,710
United Parcel Service of America
8.375%, 04/01/20		140		197
United Technologies
8.875%, 11/15/19		400		560
5.400%, 05/01/35		640		758
4.500%, 06/01/42		4,175		4,471
3.100%, 06/01/22		5,575		5,789
1.800%, 06/01/17		1,875		1,900
1.200%, 06/01/15		935		945
Waste Management
7.125%, 12/15/17		1,650		2,002
4.750%, 06/30/20 (B)		299		337
2.600%, 09/01/16		1,015		1,055
				69,467
Information Technology — 0.2%
Arrow Electronics
6.875%, 07/01/13		80		85
6.875%, 06/01/18		270		317
6.000%, 04/01/20 (B)		225		250
3.375%, 11/01/15		60		63
BAE Systems Holdings
5.200%, 08/15/15 (D)		360		393
Cisco Systems
5.900%, 02/15/39		250		317
5.500%, 01/15/40		500		615
Dell
5.650%, 04/15/18 (B)		415		487
Fiserv
3.125%, 06/15/16		1,780		1,842
Hewlett-Packard
6.000%, 09/15/41		1,710		1,861
4.300%, 06/01/21		200		203
4.050%, 09/15/22 (B)		87		86
2.950%, 08/15/12		80		80
2.600%, 09/15/17		1,352		1,334
HP Enterprise Services LLC
7.450%, 10/15/29		500		620
Intel
4.800%, 10/01/41		293		327
3.300%, 10/01/21 (B)		312		332
International Business Machines
8.000%, 10/15/38		100		171

96 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
7.625%, 10/15/18	$	365	$	486
1.950%, 07/22/16		126		131
1.250%, 02/06/17		189		188
Intuit
5.750%, 03/15/17		765		884
Microsoft
4.500%, 10/01/40		61		70
1.625%, 09/25/15		405		419
National Semiconductor
6.600%, 06/15/17		500		621
3.950%, 04/15/15		500		544
Oracle
6.500%, 04/15/38		100		136
6.125%, 07/08/39		163		213
5.375%, 07/15/40 (B)		97		118
5.000%, 07/08/19		450		538
Xerox
8.250%, 05/15/14		320		359
4.500%, 05/15/21		80		82
2.950%, 03/15/17		65		66
				14,238
Materials — 0.7%
Barrick
3.850%, 04/01/22 (D)		3,045		3,138
Barrick Gold
6.950%, 04/01/19		1,660		2,066
Barrick North America Finance LLC
4.400%, 05/30/21		1,050		1,132
BHP Billiton Finance USA
6.500%, 04/01/19		445		568
4.125%, 02/24/42		147		150
3.250%, 11/21/21		4,560		4,768
1.625%, 02/24/17		111		112
Celulosa Arauco y Constitucion
4.750%, 01/11/22 (D)		1,150		1,167
Dow Chemical
8.550%, 05/15/19		947		1,253
7.600%, 05/15/14		410		458
5.250%, 11/15/41		1,380		1,484
4.250%, 11/15/20		118		125
E.I. du Pont de Nemours
5.600%, 12/15/36		275		353
4.900%, 01/15/41 (B)		125		145
1.950%, 01/15/16		162		168
Ecolab
4.350%, 12/08/21		620		678
Freeport-McMoRan Copper
3.550%, 03/01/22		3,005		2,980
2.150%, 03/01/17 (B)		404		398
Mosaic
4.875%, 11/15/41		117		124
3.750%, 11/15/21		98		103

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Nacional del Cobre de Chile
4.750%, 10/15/14 (D)	$	900	$	961
3.875%, 11/03/21 (D)		2,170		2,277
Placer Dome
6.450%, 10/15/35		200		233
Potash Corp of Saskatchewan
6.500%, 05/15/19		250		317
4.875%, 03/30/20		10		12
PPG Industries
9.000%, 05/01/21		515		707
6.650%, 03/15/18		695		861
5.750%, 03/15/13		595		618
Praxair
5.200%, 03/15/17		215		253
4.375%, 03/31/14		250		266
Rio Tinto Finance USA
8.950%, 05/01/14		265		304
6.500%, 07/15/18		4,120		5,085
4.125%, 05/20/21		770		841
3.750%, 09/20/21		1,530		1,635
3.500%, 11/02/20		77		81
Stauffer Chemical
5.831%, 04/15/17 (C) (D) (I)		350		132
5.702%, 04/15/18 (C) (D) (I)		860		265
Teck Resources
6.250%, 07/15/41		1,062		1,181
Union Carbide
7.750%, 10/01/96		200		231
7.500%, 06/01/25		200		241
Vale Overseas
8.250%, 01/17/34		365		468
6.875%, 11/21/36		2,958		3,385
4.375%, 01/11/22		7,325		7,322
				49,046
Telecommunication Services — 1.4%
America Movil
5.625%, 11/15/17		1,450		1,682
5.000%, 03/30/20		740		827
2.375%, 09/08/16 (B)		1,568		1,582
AT&T
8.000%, 11/15/31		43		64
6.700%, 11/15/13		500		545
6.550%, 02/15/39		1,890		2,413
6.400%, 05/15/38		930		1,158
6.300%, 01/15/38		8,590		10,628
5.600%, 05/15/18		590		704
5.550%, 08/15/41		90		105
5.500%, 02/01/18 (B)		2,980		3,523
5.350%, 09/01/40		2,421		2,728
5.100%, 09/15/14		2,310		2,525
4.850%, 02/15/14 (B)		500		534
3.875%, 08/15/21		460		503

SEI Institutional Investments Trust / Annual Report / May 31, 2012 97

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
1.600%, 02/15/17	$	2,825	$	2,835
0.875%, 02/13/15		4,230		4,216
BellSouth
6.875%, 10/15/31		150		185
6.550%, 06/15/34		200		237
4.750%, 11/15/12		190		194
BellSouth Telecommunications
6.300%, 12/15/15		185		196
British Telecommunications
9.625%, 12/15/30 (F)		155		234
5.950%, 01/15/18 (B)		1,611		1,869
Cellco Partnership
8.500%, 11/15/18		2,155		2,948
Centel Capital
9.000%, 10/15/19		325		379
CenturyLink
7.650%, 03/15/42		1,490		1,420
7.600%, 09/15/39		360		343
6.450%, 06/15/21 (B)		540		559
Comcast Cable Communications LLC
8.875%, 05/01/17		150		194
Comcast Cable Holdings LLC
10.125%, 04/15/22		190		281
COX Communications
5.450%, 12/15/14		1,075		1,184
Cox Enterprises
7.375%, 07/15/27 (D)		170		209
Crown Castle Towers LLC
3.214%, 08/15/15 (D)		290		296
Deutsche Telekom International Finance
5.750%, 03/23/16		2,085		2,348
Deutsche Telekom International Finance BV
6.000%, 07/08/19		600		715
2.250%, 03/06/17 (B) (D)		5,675		5,619
DIRECTV Holdings LLC
6.000%, 08/15/40		3,000		3,288
5.150%, 03/15/42		1,365		1,359
4.600%, 02/15/21		400		428
3.800%, 03/15/22		1,770		1,774
2.400%, 03/15/17		920		922
Discovery Communications LLC
4.950%, 05/15/42		1,235		1,291
4.375%, 06/15/21		344		373
France Telecom
8.500%, 03/01/31		370		509
2.750%, 09/14/16		1,430		1,449
GTE
8.750%, 11/01/21		600		855
6.840%, 04/15/18		800		983
NBCUniversal Media LLC
4.375%, 04/01/21		1,231		1,355
2.875%, 04/01/16		664		695

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
News America
7.300%, 04/30/28	$	500	$	573
6.650%, 11/15/37		385		444
6.150%, 03/01/37		4,490		5,061
News America Holdings
8.875%, 04/26/23		200		255
7.700%, 10/30/25		200		251
Pearson Funding Four
3.750%, 05/08/22 (B) (D)		1,795		1,820
Qwest
6.750%, 12/01/21		593		662
Reed Elsevier Capital
8.625%, 01/15/19		2,220		2,835
Sprint Capital
8.750%, 03/15/32		390		329
6.900%, 05/01/19		120		104
TCI Communications
8.750%, 08/01/15		701		853
7.125%, 02/15/28		400		512
Telecom Italia Capital
6.999%, 06/04/18 (B)		500		498
6.175%, 06/18/14		100		100
Telefonica Emisiones
6.421%, 06/20/16 (B)		100		98
Telefonica Emisiones SAU
6.221%, 07/03/17 (B)		590		569
5.877%, 07/15/19		295		275
5.462%, 02/16/21		69		62
5.134%, 04/27/20		680		601
Telefonica Moviles Chile
2.875%, 11/09/15 (D)		1,498		1,507
Telemar Norte Leste
5.500%, 10/23/20 (D)		714		703
Verizon Communications
8.750%, 11/01/18 (B)		194		265
6.100%, 04/15/18		3,649		4,434
5.850%, 09/15/35		850		1,040
5.500%, 02/15/18		2,530		2,995
3.500%, 11/01/21		775		824
Verizon Global Funding
7.750%, 12/01/30 (B)		3,940		5,556
Verizon Maryland
7.150%, 05/01/23		600		627
Virgin Media Secured Finance
6.500%, 01/15/18		140		153
Vodafone Group
5.450%, 06/10/19		226		271
1.625%, 03/20/17		240		239
WPP Finance UK
8.000%, 09/15/14		520		591
				106,370

98 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Utilities — 1.6%
AGL Capital
6.375%, 07/15/16	$	200	$	232
5.875%, 03/15/41		73		91
5.250%, 08/15/19 (B)		170		198
4.450%, 04/15/13		400		411
Alabama Power
6.125%, 05/15/38		69		92
5.875%, 12/01/22		275		348
Ameren
8.875%, 05/15/14		2,080		2,325
American Water Capital
6.085%, 10/15/17 (B)		400		471
Appalachian Power
5.950%, 05/15/33		200		230
4.600%, 03/30/21		150		168
Arizona Public Service
5.050%, 09/01/41		219		261
4.500%, 04/01/42		2,088		2,243
Arizona Public Services
8.000%, 12/30/15		352		373
Atmos Energy
4.950%, 10/15/14		260		282
Boston Gas
4.487%, 02/15/42 (D)		140		151
Carolina Power & Light
5.300%, 01/15/19		400		482
4.100%, 05/15/42		1,580		1,645
3.000%, 09/15/21		111		116
2.800%, 05/15/22		121		123
Cedar Brakes II LLC
9.875%, 09/01/13 (D)		1,300		1,346
CenterPoint Energy
6.500%, 05/01/18 (B)		271		325
CenterPoint Energy Houston Electric LLC
7.000%, 03/01/14		250		275
CenterPoint Energy Resources
6.125%, 11/01/17		320		375
4.500%, 01/15/21		246		270
Cleveland Electric Illuminating
8.875%, 11/15/18		2,230		2,943
7.880%, 11/01/17		310		387
CMS Energy
5.050%, 03/15/22		1,340		1,388
2.750%, 05/15/14		1,250		1,256
Comision Federal de Electricidad
5.750%, 02/14/42 (D)		605		614
4.875%, 05/26/21 (B) (D)		249		261
Consolidated Edison of New York
5.700%, 06/15/40		154		199
Consumers Energy
6.700%, 09/15/19		400		516
2.850%, 05/15/22		56		57

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Dominion Resources
8.875%, 01/15/19	$	3,265	$	4,500
6.400%, 06/15/18		300		367
5.700%, 09/17/12		3,420		3,469
5.250%, 08/01/33		300		357
4.900%, 08/01/41		48		54
1.950%, 08/15/16		950		967
Duke Energy
6.300%, 02/01/14		415		451
5.625%, 11/30/12		405		415
3.550%, 09/15/21		362		386
Duke Energy Carolinas LLC
4.300%, 06/15/20		195		225
4.250%, 12/15/41		120		128
3.900%, 06/15/21		200		224
Duke Energy Indiana
4.200%, 03/15/42		1,775		1,847
3.750%, 07/15/20		180		199
Enel Finance International
6.000%, 10/07/39 (D)		1,465		1,183
5.125%, 10/07/19 (D)		500		472
Exelon
5.625%, 06/15/35		2,415		2,670
Exelon Generation LLC
6.250%, 10/01/39		130		155
5.750%, 10/01/41		86		100
5.200%, 10/01/19		125		141
4.000%, 10/01/20 (B)		588		610
FirstEnergy, Ser C
7.375%, 11/15/31		4,175		5,315
Florida Power & Light
5.950%, 10/01/33		150		196
5.125%, 06/01/41		197		238
Georgia Power
4.300%, 03/15/42		1,480		1,526
Great Plains Energy
4.850%, 06/01/21		27		29
Indiana Michigan Power
7.000%, 03/15/19		170		214
Jersey Central Power & Light
7.350%, 02/01/19		500		644
John Sevier Combined Cycle Generation LLC
4.626%, 01/15/42		256		289
Kansas City Power & Light
5.300%, 10/01/41		350		391
KCP&L Greater Missouri Operations
11.875%, 07/01/12		3,660		3,686
8.270%, 11/15/21		2,894		3,642
Massachusetts Electric
5.900%, 11/15/39 (D)		210		276
MidAmerican Energy
5.300%, 03/15/18		750		886

SEI Institutional Investments Trust / Annual Report / May 31, 2012 99

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2012

Description		Face Amount ($ Thousands)		Market Value ($ Thousands)
MidAmerican Energy Holdings
6.500%, 09/15/37 (B)		$	3,470	$	4,628
Nevada Power
7.125%, 03/15/19			400		515
5.450%, 05/15/41			150		184
5.375%, 09/15/40			45		54
Niagara Mohawk Power
4.881%, 08/15/19 (D)			180		205
Nisource Finance
6.800%, 01/15/19			3,747		4,525
6.125%, 03/01/22			2,400		2,844
5.800%, 02/01/42			471		535
Northern States Power
6.250%, 06/01/36			350		483
5.350%, 11/01/39			56		71
Oncor Electric Delivery
6.800%, 09/01/18			4,660		5,552
Oncor Electric Delivery LLC
5.300%, 06/01/42 (D)			1,500		1,539
Pacific Gas & Electric
8.250%, 10/15/18			1,690		2,285
5.800%, 03/01/37			810		1,013
5.400%, 01/15/40			156		189
4.500%, 12/15/41			180		193
4.450%, 04/15/42			2,443		2,604
3.250%, 09/15/21			35		37
PacifiCorp
6.250%, 10/15/37			310		420
5.650%, 07/15/18			100		120
5.500%, 01/15/19			400		481
PPL Energy Supply LLC
4.600%, 12/15/21			230		240
PPL WEM Holdings	��
3.900%, 05/01/16 (D)			2,225		2,344
Progress Energy
6.000%, 12/01/39			200		250
3.150%, 04/01/22			2,155		2,177
PSEG Power LLC
5.500%, 12/01/15			445		501
5.320%, 09/15/16			126		142
5.125%, 04/15/20			120		135
4.150%, 09/15/21			72		76
2.750%, 09/15/16			1,055		1,091
Public Service Electric & Gas
5.375%, 11/01/39			97		124
2.700%, 05/01/15			135		142
Public Service of New Mexico
7.950%, 05/15/18			3,000		3,689
Public Service of Oklahoma
5.150%, 12/01/19			220		256
Puget Sound Energy
4.434%, 11/15/41			475		522
San Diego Gas & Electric
4.300%, 04/01/42			1,640		1,827
3.950%, 11/15/41			41		43

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Sempra Energy
9.800%, 02/15/19	$	100	$	140
8.900%, 11/15/13		400		444
6.500%, 06/01/16		135		161
6.000%, 10/15/39		170		216
Southern
4.150%, 05/15/14		85		90
1.950%, 09/01/16		130		133
Southern California Edison
6.650%, 04/01/29		200		265
5.500%, 03/15/40		170		215
4.650%, 04/01/15		200		220
4.050%, 03/15/42		915		953
Southern Power
5.150%, 09/15/41		44		49
Southern Union
8.250%, 11/15/29		3,945		4,840
Southwestern Electric Power
3.550%, 02/15/22		3,000		3,067
Southwestern Public Service
8.750%, 12/01/18		300		407
Tampa Electric
4.100%, 12/15/42		1,050		1,047
Texas-New Mexico Power
9.500%, 04/01/19 (D)		875		1,202
Virginia Electric and Power
5.400%, 04/30/18		300		361
Wisconsin Electric Power
2.950%, 09/15/21		14		15
				112,567
Total Corporate Obligations (Cost $1,654,932) ($ Thousands)				1,723,592
U.S. TREASURY OBLIGATIONS — 23.3%
U.S. Treasury Bills (C)
0.127%, 08/30/12		20,070		20,067
0.080%, 06/14/12 (J)		250		250
0.079%, 06/07/12 (B)		20,070		20,070
U.S. Treasury Bonds
8.875%, 08/15/17		5,960		8,461
8.750%, 05/15/20		5,245		8,274
8.750%, 08/15/20 (C)		19,700		22,167
8.500%, 02/15/20		1,000		1,546
7.625%, 02/15/25		8,635		14,296
6.750%, 08/15/26		250		397
6.625%, 02/15/27		300		475
6.500%, 11/15/26		100		156
6.375%, 08/15/27		200		313
6.250%, 05/15/30		400		641
6.125%, 11/15/27		250		384
6.125%, 08/15/29		100		157
6.000%, 02/15/26		100		148
5.500%, 08/15/28		200		292
5.375%, 02/15/31		1,300		1,924

100 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
5.293%, 02/15/21 (C)	$	450	$	395
4.625%, 02/15/17		19,790		23,434
4.500%, 02/15/16		3,000		3,441
4.500%, 02/15/36		12,885		17,580
4.477%, 05/15/28 (C)		300		204
4.375%, 05/15/41		47,166		64,072
4.357%, 11/15/24 (C)		450		346
4.250%, 11/15/40		5,210		6,934
3.750%, 08/15/41 (J)		54,370		66,688
3.712%, 08/15/18 (C)		800		756
3.500%, 02/15/39		4,000		4,708
3.268%, 11/15/21 (C)		1,900		1,628
3.250%, 12/31/16		3,560		3,979
3.125%, 11/15/41		149,867		163,870
3.125%, 02/15/42 (B)		80,079		87,561
3.021%, 02/15/18 (C)		1,850		1,764
3.000%, 05/15/42		2,330		2,488
2.750%, 10/31/13		29,285		30,315
2.721%, 02/15/15 (C)		200		198
2.625%, 04/30/16		1,000		1,081
1.750%, 05/15/22 (B)		22,959		23,318
U.S. Treasury Inflation-Protected Securities
3.875%, 04/15/29		600		981
2.125%, 02/15/41		7,877		11,428
1.750%, 01/15/28		367		466
0.625%, 04/15/13		7,461		7,524
U.S. Treasury Notes
4.750%, 08/15/17		5,705		6,884
4.750%, 02/15/37		450		638
4.625%, 07/31/12		4,000		4,017
4.000%, 11/15/12		3,000		3,052
3.500%, 02/15/18		2,500		2,874
3.125%, 05/15/19		279		319
3.000%, 09/30/16		46,390		50,358
2.750%, 05/31/17		22,644		22,918
2.750%, 12/31/17		3,000		3,321
2.625%, 08/15/20		30,242		33,474
2.375%, 02/28/15		22,562		23,801
2.125%, 11/30/14		13,948		14,568
2.000%, 11/15/21		38,735		40,396
2.000%, 02/15/22		44,619		46,421
1.875%, 02/28/14		4,560		4,687
1.750%, 07/31/15		11,396		11,877
1.750%, 10/31/18		900		946
1.500%, 06/30/16		18,932		19,657
1.500%, 08/31/18		1,000		1,036
1.375%, 09/15/12		12,415		12,460
1.375%, 10/15/12		48,955		49,181
1.375%, 11/30/18		1,795		1,845
1.250%, 04/30/19 (B)		75,772		76,997
1.125%, 05/31/19		2,580		2,597
1.000%, 08/31/16		6,280		6,393
0.875%, 01/31/17		90,580		91,620
0.875%, 04/30/17 (B)		123,342		124,653

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
0.375%, 08/31/12	$	1,000	$	1,001
0.375%, 03/15/15		1,249		1,250
0.375%, 04/15/15		82,352		82,410
0.250%, 10/31/13		71,430		71,436
0.250%, 05/31/14		20,113		20,107
0.250%, 05/15/15		81,826		81,583
U.S. Treasury STRIPS (C)
6.450%, 02/15/17		19,420		18,792
4.977%, 11/15/27		900		622
4.917%, 05/15/26		500		364
4.863%, 11/15/31		200		121
4.749%, 08/15/28		1,000		674
4.738%, 08/15/27		3,490		2,431
4.730%, 05/15/27		2,570		1,806
4.669%, 02/15/28		1,100		754
4.597%, 08/15/30		1,550		978
4.591%, 05/15/36		300		154
4.587%, 02/15/24		75		59
4.576%, 05/15/34		500		275
4.555%, 05/15/29		100		66
4.555%, 02/15/30		1,950		1,251
4.539%, 02/15/34		550		305
4.536%, 08/15/24		200		155
4.520%, 05/15/24		800		626
4.516%, 11/15/33		1,050		588
4.453%, 08/15/33		1,150		650
4.436%, 11/15/30		2,450		1,533
4.376%, 11/15/29		1,450		938
4.146%, 05/15/33		1,900		1,084
4.069%, 02/15/32		950		567
4.038%, 11/15/20 (B)		2,800		2,482
4.022%, 05/15/19		2,450		2,273
3.970%, 05/15/30		900		573
3.907%, 02/15/22		800		680
3.801%, 11/15/26		1,150		822
3.780%, 08/15/17		3,000		2,884
3.768%, 02/15/26		700		513
3.760%, 02/15/27		17,735		12,677
3.720%, 05/15/31		930		571
3.632%, 11/15/17		6,150		5,888
3.327%, 11/15/32		2,700		1,569
3.313%, 08/15/19		5,525		5,091
3.295%, 08/15/21		4,000		3,457
3.276%, 05/15/20		22,070		19,856
3.206%, 08/15/29		400		261
3.170%, 08/15/16		5,100		4,969
3.141%, 02/15/35		900		481
2.971%, 02/15/16		250		245
2.890%, 08/15/26		700		505
2.453%, 05/15/23		450		365
2.187%, 05/15/32		1,000		591
2.170%, 11/15/16		1,910		1,854
2.101%, 05/15/21		6,950		6,054

SEI Institutional Investments Trust / Annual Report / May 31, 2012 101

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
0.799%, 08/15/34	$	300	$	163
0.614%, 05/15/16		1,000		977
Total U.S. Treasury Obligations (Cost $1,561,244) ($ Thousands)				1,650,548
ASSET-BACKED SECURITIES — 7.8%
Automotive — 0.9%
Ally Auto Receivables Trust, Ser 2010-1, Cl A3
1.450%, 05/15/14		105		105
Ally Auto Receivables Trust, Ser 2010-3, Cl A4
1.550%, 08/17/15		357		361
Ally Auto Receivables Trust, Ser 2010-4, Cl A3
0.910%, 11/17/14		324		325
Ally Auto Receivables Trust, Ser 2011-1, Cl A2
0.810%, 10/15/13		77		77
Ally Auto Receivables Trust, Ser 2011-1, Cl A3
1.380%, 01/15/15		285		287
Ally Auto Receivables Trust, Ser 2011-4, Cl A2
0.650%, 03/17/14		1,426		1,426
Ally Auto Receivables Trust, Ser 2012-1, Cl A2
0.710%, 09/15/14		2,850		2,853
Ally Auto Receivables Trust, Ser 2012-1, Cl A3
0.930%, 02/16/16		355		356
Ally Auto Receivables Trust, Ser 2012-3, Cl A2
0.700%, 01/15/15		1,500		1,500
Ally Auto Receivables Trust, Ser 2012-3, Cl A3
0.850%, 08/15/16		347		347
Ally Master Owner Trust, Ser 2012-1, Cl A2
1.440%, 02/15/17		1,960		1,968
American Credit Acceptance Receivables Trust, Ser 2012- 1, Cl A1
1.960%, 01/15/14 (D)		192		192
American Credit Acceptance Receivables Trust, Ser 2012- 1, Cl A2
3.040%, 10/15/15 (D)		256		256
AmeriCredit Automobile Receivables Trust, Ser 2010- 1, Cl A3
1.770%, 03/17/14		18		18
AmeriCredit Automobile Receivables Trust, Ser 2010- 3, Cl A3
1.140%, 04/08/15		445		446

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
AmeriCredit Automobile Receivables Trust, Ser 2010- 4, Cl A2
0.960%, 05/08/14	$	129	$	129
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		157		157
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		632		633
AmeriCredit Automobile Receivables Trust, Ser 2012- 1, Cl A2
0.910%, 10/08/15		297		298
Avis Budget Rental Car Funding LLC, Ser 2010-3A, Cl A
4.640%, 05/20/16 (D)		1,000		1,081
Avis Budget Rental Car Funding LLC, Ser 2010-5A, Cl A
3.150%, 03/20/17 (D)		440		461
Avis Budget Rental Car Funding LLC, Ser 2012-2A, Cl A
2.802%, 05/20/18 (D)		1,050		1,066
Bank of America Auto Trust, Ser 2009-1A, Cl A4
3.520%, 06/15/16 (D)		145		147
Bank of America Auto Trust, Ser 2010-1A, Cl A4
2.180%, 02/15/17 (D)		310		314
Bank of America Auto Trust, Ser 2010-2, Cl A3
1.310%, 07/15/14		64		64
BMW Vehicle Lease Trust, Ser 2012-1, Cl A3
0.750%, 02/20/15		342		342
BMW Vehicle Owner Trust, Ser 2011-A, Cl A2
0.630%, 02/25/14		5,457		5,460
CarMax Auto Owner Trust, Ser 2010-1, Cl A3
1.560%, 07/15/14		129		130
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		545
CarMax Auto Owner Trust, Ser 2011-3, Cl A3
1.230%, 06/15/16		506		508

102 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
CarNow Auto Receivables Trust, Ser 2012-1A, Cl A
2.090%, 01/15/15 (D)	$	440	$	440
Chrysler Financial Auto Securitization Trust, Ser 2009- A, Cl A3
2.820%, 01/15/16		27		27
CPS Auto Trust, Ser 2011-B, Cl A
3.680%, 09/17/18 (D)		517		528
CPS Auto Trust, Ser 2011-C, Cl A
4.210%, 03/15/19 (D)		513		527
CPS Auto Trust, Ser 2012-A, Cl A
2.780%, 06/17/19 (D)		271		271
Ford Credit Auto Lease Trust, Ser 2011-A, Cl A2
0.740%, 09/15/13		673		674
Ford Credit Auto Owner Trust, Ser 2009-B, Cl A3
2.790%, 08/15/13		11		11
Ford Credit Auto Owner Trust, Ser 2009-B, Cl A4
4.942%, 07/15/14		300		306
Ford Credit Auto Owner Trust, Ser 2009-D, Cl A3
2.170%, 10/15/13		633		635
Ford Credit Auto Owner Trust, Ser 2012-A, Cl A3
0.840%, 08/15/16		351		352
Ford Credit Auto Owner Trust, Ser 2012-B, Cl A3
0.720%, 12/15/16		400		399
Ford Credit Floorplan Master Owner Trust, Ser 2012-1, Cl A
0.709%, 01/15/16 (A)		7,195		7,218
Harley-Davidson Motorcycle Trust, Ser 2009-1, Cl A4
4.550%, 01/15/17		97		97
Harley-Davidson Motorcycle Trust, Ser 2009-2, Cl A4
3.320%, 02/15/17		250		251
Harley-Davidson Motorcycle Trust, Ser 2009-3, Cl A4
2.540%, 04/15/17		209		210
Harley-Davidson Motorcycle Trust, Ser 2009-4, Cl A4
2.400%, 07/15/14		100		100
Harley-Davidson Motorcycle Trust, Ser 2010-1, Cl A3
1.160%, 02/15/15		285		286
Hertz Vehicle Financing LLC, Ser 2009-2A, Cl A2
5.290%, 03/25/16 (D)		2,100		2,305
Honda Auto Receivables Owner Trust, Ser 2009-2, Cl A4
4.430%, 07/15/15		2,859		2,884

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Honda Auto Receivables Owner Trust, Ser 2009-3, Cl A3
2.310%, 05/15/13	$	8	$	8
Honda Auto Receivables Owner Trust, Ser 2009-3, Cl A4
3.300%, 09/15/15		250		252
Honda Auto Receivables Owner Trust, Ser 2012-1, Cl A3
0.770%, 01/15/16		108		108
Honda Auto Receivables Owner Trust, Ser 2012-1, Cl A4
0.970%, 04/16/18		56		56
Honda Auto Receivables Owner Trust, Ser 2012-2, Cl A3
0.700%, 02/16/16		275		275
Huntington Auto Trust, Ser 2012-1, Cl A3
0.810%, 09/15/16		193		193
Hyundai Auto Receivables Trust, Ser 2010-B, Cl A3
0.970%, 04/15/15		285		286
Hyundai Auto Receivables Trust, Ser 2010-B, Cl A4
1.630%, 03/15/17		375		382
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		371
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
LAI Vehicle Lease Securitization Trust, Ser 2010-A, Cl A
2.550%, 09/15/16 (D)		301		301
MMCA Automobile Trust, Ser 2011-A, Cl A4
2.020%, 10/17/16 (D)		2,217		2,255
MMCA Automobile Trust, Ser 2012-A, Cl A4
1.890%, 08/15/17 (D)		700		711
Nissan Auto Receivables Owner Trust, Ser 2010-A, Cl A3
0.870%, 07/15/14		332		333
Nissan Auto Receivables Owner Trust, Ser 2010-A, Cl A4
1.310%, 09/15/16		300		302
Nissan Master Owner Trust Receivables, Ser 2012-A, Cl A
0.710%, 05/15/17 (A)		5,394		5,394

SEI Institutional Investments Trust / Annual Report / May 31, 2012 103

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Santander Drive Auto Receivables Trust, Ser 2010- A, Cl A4
2.390%, 06/15/17 (D)	$	400	$	409
Santander Drive Auto Receivables Trust, Ser 2011- S2A, Cl B
2.060%, 06/15/17 (D)		144		145
Santander Drive Auto Receivables Trust, Ser 2011-S2A, Cl D
3.350%, 06/15/17 (D)		231		231
Santander Drive Auto Receivables Trust, Ser 2012-1, Cl A2
1.250%, 04/15/15		449		451
Santander Drive Auto Receivables Trust, Ser 2012-2, Cl A2
0.910%, 05/15/15		250		250
Santander Drive Auto Receivables Trust, Ser 2012-2, Cl A3
1.220%, 12/15/15		1,556		1,557
Santander Drive Auto Receivables Trust, Ser 2012-3, Cl A2
0.830%, 04/15/15		666		666
Santander Drive Auto Receivables Trust, Ser 2012-3, Cl A3
1.080%, 04/15/16		165		165
Toyota Auto Receivables Owner Trust, Ser 2011-A, Cl A4
1.560%, 05/15/15		415		421
USAA Auto Owner Trust, Ser 2009-2, Cl A4
2.530%, 07/15/15		365		370
Volkswagen Auto Loan Enhanced Trust, Ser 2012-1, Cl A3
0.850%, 08/22/16		426		427
Westlake Automobile Receivables Trust, Ser 2011-1A, Cl A2
1.080%, 07/15/13 (D)		60		60
Westlake Automobile Receivables Trust, Ser 2011-1A, Cl A3
1.490%, 06/16/14 (D)		303		303
World Omni Auto Receivables Trust, Ser 2008-A, Cl A4
4.740%, 10/15/13		846		847
World Omni Auto Receivables Trust, Ser 2010-A, Cl A4
2.210%, 05/15/15		550		558
				59,312
Credit Cards — 0.5%
Capital One Multi-Asset Execution Trust, Ser 2004-A4, Cl A4
0.459%, 03/15/17 (A)		3,720		3,727
Capital One Multi-Asset Execution Trust, Ser 2005-A10, Cl A
0.319%, 09/15/15 (A)		690		690

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Capital One Multi-Asset Execution Trust, Ser 2005-A6, Cl A6
0.517%, 07/15/15 (A)	$	6,654	$	6,650
Capital One Multi-Asset Execution Trust, Ser 2006-A5, Cl A5
0.299%, 01/15/16 (A)		370		370
Capital One Multi-Asset Execution Trust, Ser 2007-A8, Cl A8
0.774%, 10/15/15 (A)		6,057		6,063
Chase Issuance Trust, Ser 2008-A13, Cl A13
1.974%, 09/15/15 (A)		2,620		2,671
Citibank Omni Master Trust, Ser 2009-A14A, Cl A14
2.989%, 08/15/18 (A) (D)		7,204		7,579
GE Capital Credit Card Master Note Trust, Ser 2009-2, Cl A
3.690%, 07/15/15		7,155		7,184
World Financial Network Credit Card Master Trust, Ser 2011-A, Cl A
1.680%, 08/15/18		2,327		2,329
				37,263
Mortgage Related Securities — 1.3%
ABS Home Equity, Ser 2001-HE3, Cl A1
0.779%, 11/15/31 (A)		210		170
Accredited Mortgage Loan Trust, Ser 2005-3, Cl A2D
0.609%, 09/25/35 (A)		1,616		1,503
ACE Securities, Ser 2006-SL3, Cl A1
0.339%, 06/25/36 (A)		5,873		1,036
AFC Home Equity Loan Trust, Ser 2000-1, Cl 2A
0.479%, 03/25/30 (A)		2,077		701
Arch Bay Asset-Backed Securities, Ser 2010-2, Cl A
4.125%, 04/25/57 (A) (D)		56		56
Argent Securities, Ser 2004-W5, Cl AV2
0.759%, 04/25/34 (A)		1,113		923
Asset-Backed Funding Certificates, Ser 2005-AQ1, Cl A4
5.010%, 06/25/35		653		647
Asset-Backed Securities Home Equity, Ser 2003-HE7, Cl M1
1.214%, 12/15/33 (A)		2,850		2,218
Bear Stearns Asset-Backed Securities Trust, Ser 2003-2, Cl A3
0.989%, 03/25/43 (A)		2,336		2,083
Bear Stearns Asset-Backed Securities Trust, Ser 2005-HE12, Cl 1A3
0.629%, 12/25/35 (A)		4,488		4,017
Bear Stearns Asset-Backed Securities Trust, Ser 2005-SD1, Cl 1A3
0.639%, 08/25/43 (A)		5,493		5,231

104 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Bear Stearns Asset-Backed Securities Trust, Ser 2005-TC2, Cl A3
0.609%, 08/25/35 (A)	$	7,109	$	6,552
Citicorp Residential Mortgage Securities, Ser 2006-2, Cl A4
5.775%, 09/25/36		5,342		5,183
Citigroup Mortgage Loan Trust, Ser 2007-AHL1, Cl A2A
0.279%, 12/25/36 (A)		101		99
Conseco Finance Home Loan Trust, Ser 2001-D, Cl A5
6.690%, 11/15/32 (A)		2,341		2,358
Contimortgage Home Equity Trust, Ser 1997-2, Cl A9
7.090%, 04/15/28		2		2
Delta Funding Home Equity Loan Trust, Ser 1999-3, Cl A1A
1.059%, 09/15/29 (A)		310		241
EMC Mortgage Loan Trust, Ser 2002-AA, Cl A1
0.709%, 05/25/39 (A) (D)		715		598
GSAA Trust, Ser 2005-6, Cl A3
0.609%, 06/25/35 (A)		4,100		3,163
Home Equity Asset Trust, Ser 2007-2, Cl 2A1
0.349%, 07/25/37 (A)		765		752
HSBC Home Equity Loan Trust, Ser 2005-2, Cl A1
0.510%, 01/20/35 (A)		3,722		3,473
HSBC Home Equity Loan Trust, Ser 2005-2, Cl M2
0.730%, 01/20/35 (A)		414		371
HSBC Home Equity Loan Trust, Ser 2006-1, Cl A1
0.400%, 01/20/36 (A)		5,903		5,420
HSBC Home Equity Loan Trust, Ser 2006-2, Cl A1
0.390%, 03/20/36 (A)		293		276
HSBC Home Equity Loan Trust, Ser 2007-1, Cl A2F
5.600%, 03/20/36		422		426
HSBC Home Equity Loan Trust, Ser 2007-1, Cl A2V
0.420%, 03/20/36 (A)		4,190		4,111
HSBC Home Equity Loan Trust, Ser 2007-1, Cl AS
0.440%, 03/20/36 (A)		235		215
HSBC Home Equity Loan Trust, Ser 2007-3, Cl APT
1.440%, 11/20/36 (A)		663		622
Lake Country Mortgage Loan Trust, Ser 2006-HE1, Cl A3
0.589%, 07/25/34 (A) (D)		764		735

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Master Asset-Backed Securities Trust, Ser 2005-WF1, Cl A2D
0.609%, 06/25/35 (A)	$	6,048	$	5,722
Morgan Stanley ABS Capital I, Ser 2004-WMC3, Cl M1
0.989%, 01/25/35 (A)		81		80
Morgan Stanley ABS Capital I, Ser 2007-HE2, Cl A2A
0.279%, 01/25/37 (A)		15		14
MSDWCC Heloc Trust, Ser 2003-1, Cl A
0.779%, 11/25/15 (A)		18		18
New Century Home Equity Loan Trust, Ser 2005-2, Cl M1
0.669%, 06/25/35 (A)		6,975		5,870
New Century Home Equity Loan Trust, Ser 2005-4, Cl A2C
0.609%, 09/25/35 (A)		7,600		7,238
Option One Mortgage Loan Trust, Ser 2001-4, Cl A
0.839%, 01/25/32 (A)		136		120
Option One Mortgage Loan Trust, Ser 2007-1, Cl 2A3
0.379%, 01/25/37 (A)		17,000		5,842
Renaissance Home Equity Loan Trust, Ser 2005-2, Cl AF3
4.499%, 08/25/35		510		489
Residential Asset Securities, Ser 2005-KS9, Cl A3
0.609%, 10/25/35 (A)		476		459
Residential Funding Mortgage Securities II, Ser 2000-HI1, Cl AI7
8.290%, 02/25/25		465		458
Salomon Brothers Mortgage Securities VII, Ser 2003-UP1, Cl A
3.950%, 04/25/32 (D)		210		177
Saxon Asset Securities Trust, Ser 2003-1, Cl AF6
4.795%, 06/25/33		289		289
Security National Mortgage Loan Trust, Ser 2007-1A, Cl 2A
0.589%, 04/25/37 (A) (D)		710		295
Stanwich Mortgage Loan Trust, Ser 2012-NPL3, Cl A
4.213%, 06/15/42 (D)		986		986
Structured Asset Securities, Ser 2002-AL1, Cl A2
3.450%, 02/25/32		290		265
Structured Asset Securities, Ser 2005-NC1, Cl A11
4.690%, 02/25/35		934		924
Terwin Mortgage Trust, Ser 2005-9HGS, Cl A1
4.000%, 08/25/35 (A) (D)		57		57

SEI Institutional Investments Trust / Annual Report / May 31, 2012 105

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
UCFC Home Equity Loan, Ser 1998-D, Cl MF1
6.905%, 04/15/30	$	779	$	787
Wells Fargo Home Equity Trust, Ser 2004-2, Cl AI6
5.000%, 10/25/34 (A)		7,000		7,078
				90,350
Other Asset-Backed Securities — 5.1%
Access Group, Ser 2005-2, Cl A3
0.647%, 11/22/24 (A)		100		96
Access Group, Ser 2006-1, Cl A2
0.577%, 08/25/23 (A)		4,030		3,931
AH Mortgage Advance Trust, Ser 2011-1, Cl A2, PO
3.370%, 05/10/43 (D)		2,334		2,339
AH Mortgage Advance Trust, Ser 2011-2, Cl A1
3.270%, 09/15/43 (D)		1,334		1,337
AH Mortgage Advance Trust, Ser 2011-2, Cl B1
6.900%, 09/15/43 (D)		400		398
AH Mortgage Advance Trust, Ser 2012-1, Cl A1R
2.230%, 05/10/43 (D)		723		723
AH Mortgage Advance Trust, Ser 2012-3, Cl 1A2
3.720%, 03/13/44 (D)		1,575		1,579
Aircastle Aircraft Lease Backed Trust, Ser 2007-1A, Cl G1
0.499%, 06/14/37 (A) (D)		4,336		3,815
Ally Master Owner Trust, Ser 2011-1, Cl A2
2.150%, 01/15/16		4,500		4,580
Ally Master Owner Trust, Ser 2011-3, Cl A2
1.810%, 05/15/16		2,325		2,355
Ally Master Owner Trust, Ser 2012-1, Cl A1
1.039%, 02/15/17 (A)		8,777		8,813
Amortizing Residential Collateral Trust CMO, Ser 2002-BC1, Cl A
0.919%, 01/25/32 (A)		365		271
Avalon IV Capital, Ser 2012-1A, Cl C
3.600%, 04/17/23 (A) (D)		1,375		1,338
Babcock & Brown Air Funding I, Ser 2007-1A, Cl G1
0.542%, 11/14/33 (A) (D)		4,386		3,597
Brazos Higher Education Authority, Ser 2005-1, Cl 1A3
0.584%, 09/26/22 (A)		4,300		4,214

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Brazos Higher Education Authority, Ser 2006-2, Cl A9
0.484%, 12/26/24 (A)	$	2,980	$	2,716
Brazos Higher Education Authority, Ser 2010-1, Cl A2
1.691%, 02/25/35 (A)		4,200		3,991
Carrington Mortgage Loan Trust, Ser 2005-NC4, Cl A3
0.639%, 09/25/35 (A)		5,241		5,034
CenterPoint Energy Transition Bond LLC, Ser 2008-A, Cl A1
4.192%, 02/01/20		1,225		1,319
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A4
4.499%, 11/25/34		312		318
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A5
5.350%, 11/25/34		500		444
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A7
4.277%, 11/25/34		770		722
CIT Education Loan Trust, Ser 2007-1, Cl A
0.564%, 03/25/42 (A) (D)		4,317		3,934
Citicorp Residential Mortgage Securities, Ser 2006-2, Cl A5
6.036%, 09/25/36		6,340		5,308
CNH Equipment Trust, Ser 2010-A, Cl A3
1.540%, 07/15/14		52		52
CNH Equipment Trust, Ser 2010-C, Cl A3
1.170%, 05/15/15		731		733
CNH Equipment Trust, Ser 2011-A, Cl A3
1.200%, 05/16/16		350		352
CNH Equipment Trust, Ser 2011-A, Cl A4
2.040%, 10/17/16		213		219
CNH Equipment Trust, Ser 2012-A, Cl A2
0.650%, 07/15/15		324		324
CNH Equipment Trust, Ser 2012-A, Cl A3
0.940%, 05/15/17		263		263
Conseco Finance Home Loan Trust, Ser 2000-E, Cl M1
8.130%, 08/15/31 (A)		988		960
Countrywide Asset-Backed Certificates, Ser 2002-BC1, Cl A
0.899%, 04/25/32 (A)		55		30

106 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Countrywide Asset-Backed Certificates, Ser 2003-BC2, Cl 2A1
0.839%, 06/25/33 (A)	$	115	$	101
Countrywide Asset-Backed Certificates, Ser 2005-11, Cl MV1
0.709%, 02/25/36 (A)		8,230		7,736
Countrywide Asset-Backed Certificates, Ser 2006-15, Cl A3
5.689%, 10/25/46 (A)		208		143
Countrywide Asset-Backed Certificates, Ser 2006-SD3, Cl A1
0.569%, 07/25/36 (A) (D)		387		170
Countrywide Asset-Backed Certificates, Ser 2007-5, Cl 2A1
0.339%, 09/25/47 (A)		235		234
Countrywide Asset-Backed Certificates, Ser 2007-QH1, Cl A1
0.439%, 02/25/37 (A) (D)		1,024		623
Countrywide Asset-Backed Certificates, Ser 2007-SD1, Cl A1
0.689%, 03/25/47 (A) (D)		803		343
Countrywide Home Equity Loan Trust, Ser 2004-K, Cl 2A
0.539%, 02/15/34 (A)		664		424
Credit-Based Asset Servicing and Securitization LLC, Ser 2006-CB2, Cl AF2
4.753%, 12/25/36		596		362
Credit-Based Asset Servicing and Securitization LLC, Ser 2006-CB2, Cl AF4
4.831%, 12/25/36		1,467		916
Credit-Based Asset Servicing and Securitization LLC, Ser 2007-RP1, Cl A
0.549%, 05/25/46 (A) (D)		10,986		5,333
Cronos Containers Program, Ser 2012-1A, Cl A
4.210%, 05/18/27 (D)		2,250		2,248
Educational Funding of the South, Ser 2011-1, Cl A2
1.116%, 04/25/35 (A)		3,000		2,895
EFS Volunteer No. 2 LLC, Ser 2012-1, Cl A2
1.590%, 03/25/36 (A) (D)		3,300		3,220
Equity One, Ser 2003-2, Cl M1
5.050%, 09/25/33 (A)		294		253
First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2005-FF8, Cl A2D
0.619%, 09/25/35 (A)		5,476		5,389
Ford Credit Floorplan Master Owner Trust, Ser 2009-2, Cl A
1.789%, 09/15/14 (A)		5,461		5,484

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	$	2,729
GE Seaco Finance, Ser 2005-1A, Cl A
0.489%, 11/17/20 (A) (D)		4,323		4,160
Genesis Funding, Ser 2006-1A, Cl G1
0.480%, 12/19/32 (A) (D)		4,986		4,369
Green Tree Financial, Ser 1996-5, Cl A6
7.750%, 07/15/27		215		219
Green Tree, Ser 2008-MH1, Cl A2
8.970%, 04/25/38 (A) (D)		5,050		5,534
Green Tree, Ser 2008-MH1, Cl A3
8.970%, 04/25/38 (A) (D)		4,467		4,945
Greenpoint Manufactured Housing, Ser 2001-2, Cl IA2
3.741%, 02/20/32 (A)		414		315
Greenpoint Manufactured Housing, Ser 2001-2, Cl IIA2
3.740%, 03/13/32 (A)		1,625		1,305
Iowa State Student Loan Liquidity
1.620%, 06/25/42 (A)		1,264		1,236
John Deere Owner Trust, Ser 2011-A, Cl A3
1.290%, 01/15/16		335		337
John Deere Owner Trust, Ser 2011-A, Cl A4
1.960%, 04/16/18		285		291
KeyCorp Student Loan Trust, Ser 2003-A, Cl 1A2
0.726%, 10/25/32 (A)		2,264		2,085
Lehman XS Trust, Ser 2005-7N, Cl 1A1B
0.539%, 12/25/35 (A)		2,603		688
Lehman XS Trust, Ser 2006- GP1, Cl A4A
0.569%, 05/25/46 (A)		7,319		1,161
Long Beach Mortgage Loan Trust, Ser 2005-1, Cl M2
1.034%, 02/25/35 (A)		8,585		7,519
Madison Avenue Manufactured Housing Contract, Ser 2002-A, Cl M2
2.489%, 03/25/32 (A)		328		302
Merit Securities, Ser 1999-13, Cl A4
7.904%, 12/28/33 (A)		2,276		2,433
Mid-State Trust, Ser 2003-11, Cl A1
4.864%, 07/15/38		3,209		3,285
Mid-State Trust, Ser 2006-1, Cl A
5.787%, 10/15/40 (D)		5,944		6,237

SEI Institutional Investments Trust / Annual Report / May 31, 2012 107

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Morgan Stanley Re-REMIC Trust
2.000%, 07/27/49	$	1,902	$	1,898
Nelnet Student Loan Trust, Ser 2002-2, Cl A4CP
0.480%, 09/25/24 (A)		1,739		1,717
Nelnet Student Loan Trust, Ser 2005-2, Cl A5
0.574%, 03/23/37 (A)		4,624		4,257
Nelnet Student Loan Trust, Ser 2005-3, Cl A5
0.594%, 12/24/35 (A)		4,000		3,653
Nelnet Student Loan Trust, Ser 2006-1, Cl A4
0.557%, 11/23/22 (A)		7,038		6,991
Nelnet Student Loan Trust, Ser 2006-2, Cl A4
0.546%, 10/26/26 (A)		8,422		8,368
Nelnet Student Loan Trust, Ser 2007-1, Cl A3
0.537%, 05/27/25 (A)		3,615		3,354
Nelnet Student Loan Trust, Ser 2007-2A, Cl A3L
0.824%, 03/25/26 (A) (D)		10,146		9,821
Newcastle Investment Trust, Ser 2011-MH1, Cl A
2.450%, 12/10/33 (D)		241		243
Northstar Education Finance, Ser 2007-1, Cl A3
0.526%, 01/29/46 (A)		4,000		3,619
Origen Manufactured Housing, Ser 2002-A, Cl A1
0.479%, 05/15/32 (A)		18		17
Park Place Securities, Ser 2004-MHQ1, Cl M1
0.939%, 12/25/34 (A)		3,980		3,951
Park Place Securities, Ser 2005-WCH1, Cl M2
0.759%, 01/25/36 (A)		3,883		3,606
Park Place Securities, Ser 2005- WCW1, Cl A3D
0.579%, 09/25/35 (A)		2,223		2,153
Pennsylvania Higher Education Assistance Agency, Ser 2005-1, Cl B1
2.511%, 04/25/45 (A)		4,150		3,486
Popular ABS Mortgage Pass-Through Trust, Ser 2007-A, Cl A3
0.549%, 06/25/47 (A)		10,380		3,717
Real Estate Asset Trust, Ser 2011-2A, Cl A1
5.750%, 05/25/49 (D)		210		210
Residential Asset Mortgage Products, Ser 2005-EFC5, Cl A3
0.579%, 10/25/35 (A)		600		518

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Residential Asset Mortgage Products, Ser 2005-RS8, Cl A2
0.529%, 10/25/33 (A)	$	4,874	$	4,799
Residential Asset Mortgage Products, Ser 2006-RZ1, Cl A2
0.429%, 03/25/36 (A)		8,376		8,305
Residential Asset Mortgage Products, Ser 2006-RZ1, Cl A3
0.539%, 03/25/36 (A)		1,100		944
Residential Credit Solutions Trust, Ser 2011-1, Cl A1
6.000%, 03/25/41 (D)		853		853
RSB Bondco LLC, Ser 2007-A, Cl A3
5.820%, 06/28/19		2,470		2,953
SLC Student Loan Trust, Ser 2010-1, Cl A
1.349%, 11/25/42 (A)		3,792		3,826
SLM Student Loan Trust, Ser 2003-11, Cl A6
0.764%, 12/15/25 (A) (D)		1,500		1,430
SLM Student Loan Trust, Ser 2003-4, Cl A5A
1.224%, 03/15/33 (A) (D)		76		73
SLM Student Loan Trust, Ser 2004-5, Cl A4
0.616%, 01/25/21 (A)		1,378		1,375
SLM Student Loan Trust, Ser 2004-6, Cl A5
0.636%, 04/27/20 (A)		5,062		5,047
SLM Student Loan Trust, Ser 2005-1, Cl A2
0.546%, 04/27/20 (A)		1,637		1,623
SLM Student Loan Trust, Ser 2005-5, Cl A3
0.566%, 04/25/25 (A)		3,279		3,211
SLM Student Loan Trust, Ser 2005-6, Cl A5B
1.666%, 07/27/26 (A)		2,017		2,034
SLM Student Loan Trust, Ser 2005-10, Cl A5
0.596%, 07/26/21 (A)		3,172		3,091
SLM Student Loan Trust, Ser 2006-5, Cl A5
0.576%, 01/25/27 (A)		2,830		2,671
SLM Student Loan Trust, Ser 2006-5, Cl A6B
0.586%, 10/25/40 (A)		4,130		3,511
SLM Student Loan Trust, Ser 2007-2, Cl A2
0.466%, 07/25/17 (A)		1,613		1,607
SLM Student Loan Trust, Ser 2008-5, Cl A4
2.166%, 07/25/23 (A)		5,086		5,284

108 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
SLM Student Loan Trust, Ser 2008-6, Cl A2
1.016%, 10/25/17 (A)	$	966	$	969
SLM Student Loan Trust, Ser 2008-9, Cl A
1.966%, 04/25/23 (A)		3,183		3,288
SLM Student Loan Trust, Ser 2011-C, Cl A1
1.639%, 12/15/23 (A) (D)		6,508		6,542
SLM Student Loan Trust, Ser 2012-2, Cl A
1.167%, 01/25/29 (A)		8,655		8,675
SLM Student Loan Trust, Ser 2012-3, Cl A
0.889%, 12/26/25 (A)		6,414		6,414
SLM Student Loan Trust, Ser 2012-A
1.639%, 08/15/25 (A) (D)		6,169		6,217
SLM Student Loan Trust, Ser 2012-B, Cl A1
1.339%, 12/15/21 (A) (D)		6,036		6,040
SLM Student Loan Trust, Ser 2012-C, Cl A1
1.340%, 08/15/23 (A) (D)		5,359		5,362
SMS Student Loan Trust, Ser 2000-A, Cl A2
0.656%, 10/28/28 (A)		2,145		2,138
SMS Student Loan Trust, Ser 2000-B, Cl A2
0.666%, 04/28/29 (A)		1,942		1,926
South Carolina Student Loan, Ser 2005, Cl A2
0.607%, 12/01/20 (A)		3,500		3,397
Structured Asset Investment Loan Trust, Ser 2005-5, Cl A9
0.509%, 06/25/35 (A)		291		277
Structured Asset Securities, Ser 2007-BC2, Cl A2
0.329%, 03/25/37 (A)		5,151		5,053
SunTrust Student Loan Trust, Ser 2006-1A, Cl A3
0.586%, 01/30/23 (A) (D)		6,000		5,851
Symphony CLO, Ser 2012-9A, Cl C
3.624%, 04/16/22 (A) (D)		1,500		1,434
TAL Advantage LLC, Ser 2006-1A, Cl A
0.430%, 04/20/21 (A) (D)		2,379		2,280
TAL Advantage LLC, Ser 2010-2A, Cl A
4.300%, 10/20/25 (D)		2,180		2,207
TAL Advantage LLC, Ser 2011-1A, Cl A
4.600%, 01/20/26 (D)		520		533
TAL Advantage LLC, Ser 2011-2A, Cl A
4.310%, 05/20/26 (D)		1,080		1,089

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Textainer Marine Containers, Ser 2005-1A, Cl A
0.490%, 05/15/20 (A) (D)	$	2,070	$	2,009
Textainer Marine Containers, Ser 2011-1A, Cl A
4.700%, 06/15/26 (D)		3,270		3,348
Trafigura Securitisation Finance, Ser 2012-1A, Cl A
2.653%, 10/15/15 (A) (D)		1,190		1,192
Trinity Rail Leasing, Ser 2006-1A, Cl A1
5.900%, 05/14/36 (D)		2,404		2,661
Trip Rail Master Funding LLC, Ser 2011-1A, Cl A1A
4.370%, 07/15/41 (D)		4,055		4,119
Triton Container Finance LLC, Ser 2006-1A, Cl NOTE
0.410%, 11/26/21 (A) (D)		3,082		2,930
Triton Container Finance LLC, Ser 2007-1A, Cl NOTE
0.380%, 02/26/19 (A) (D)		1,719		1,666
Triton Container Finance LLC, Ser 2012-1A, Cl A
4.210%, 05/14/27 (D)		3,000		3,000
VOLT LLC, Ser 2012-1A, Cl A1
4.949%, 04/25/17 (D)		1,897		1,897
Wells Fargo Home Equity Trust, Ser 2007-2, Cl A1
0.329%, 04/25/37 (A)		1,475		1,437
Westgate Resorts LLC, Ser 2012-1, Cl A
4.500%, 09/20/25 (D)		1,057		1,059
				360,355
Total Asset-Backed Securities (Cost $560,617) ($ Thousands)				547,280
U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.6%
FFCB
1.500%, 11/16/15		7,830		8,054
FHLB
5.500%, 07/15/36		3,810		5,242
3.625%, 10/18/13		1,400		1,464
0.100%, 06/01/12 (C)		20,320		20,320
FHLMC
6.750%, 03/15/31		2,570		3,971
0.110%, 06/05/12 (C)		6,610		6,610
FHLMC IO
5.710%, 05/31/42		600		139
FICO STRIPS, PO
9.800%, 04/06/18		7,590		11,136
9.700%, 04/05/19		5,100		7,719
8.600%, 09/26/19		5,655		8,272
0.000%, 11/30/17 to 09/26/19		31,160		28,312
FNMA
6.500%, 06/30/42		6,960		8,139
6.250%, 05/15/29		3,730		5,413

SEI Institutional Investments Trust / Annual Report / May 31, 2012 109

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
5.375%, 06/12/17	$	250	$	304
5.250%, 08/01/12		2,800		2,822
5.000%, 02/13/17		5,000		5,933
4.500%, 06/29/42		6,500		763
3.500%, 06/29/42		3,300		559
2.700%, 03/28/22		1,500		1,519
2.250%, 03/15/16		6,130		6,476
0.375%, 12/28/12		3,730		3,734
0.000%, 10/25/41 to 05/31/42		5,800		1,725
FNMA CMO, Ser 2004-61, Cl FH
7.000%, 02/25/42		4,087		4,609
6.500%, 06/25/39 to 03/25/42		1,300		1,528
6.000%, 05/25/42		4,200		4,777
4.000%, 08/25/41		929		983
1.039%, 11/25/32 (A)		1,050		1,063
0.689%, 08/25/37 to 12/25/40 (A)		1,974		1,976
0.639%, 05/25/27 (A)		4,948		4,958
GNMA CMO, Ser 2010-107, Cl GX
5.759%, 12/20/38 (A)		1,402		1,558
4.500%, 04/20/39		1,646		1,844
0.695%, 05/16/42 (A)		1,500		1,498
Residual Funding Corp. STRIPS
3.253%, 07/15/20 (C)		2,100		1,836
Tennessee Valley Authority
5.880%, 04/01/36		1,550		2,181
5.250%, 09/15/39		1,828		2,400
4.625%, 09/15/60		2,761		3,401
4.375%, 06/15/15		3,660		4,072
3.875%, 02/15/21		3,090		3,601
Tennessee Valley Authority Principal STRIP, PO
3.141%, 11/01/25 (C)		1,000		677
Total U.S. Government Agency Obligations (Cost $169,334) ($ Thousands)				181,588
MUNICIPAL BONDS — 0.7%
American Municipal Power, RB
7.499%, 02/15/50		495		673
American Municipal Power, Ser E, RB
6.270%, 02/15/50		210		245
City of San Francisco, Public Utilities Commission Water Revenue, Ser DE, RB
6.000%, 11/01/40		550		678
County of Clark, Airport System Revenue, Ser C-BUILD, RB
6.820%, 07/01/45		1,790		2,527
County of Cook, GO
6.229%, 11/15/34		240		275
Los Angeles, Community College District, Build America Project, GO
6.750%, 08/01/49		1,755		2,359

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Los Angeles, Department of Water & Power, Build America Project, GO
6.574%, 07/01/45	$	2,060	$	3,007
Municipal Electric Authority of Georgia, RB
6.637%, 04/01/57		1,457		1,698
New Jersey State, Turnpike Authority, Build America Project, RB
7.102%, 01/01/41		2,290		3,248
New York State, Dormitory Authority, RB
5.600%, 03/15/40		280		347
North Carolina State, Education Assistance Authority, RB
1.460%, 10/25/41 (A)		1,600		1,511
North Texas, Tollway Authority, Build America Project, RB
6.718%, 01/01/49		1,995		2,731
Ohio State University, Build America Project, Ser A, RB
4.800%, 06/01/11		1,304		1,469
Port Authority of New York & New Jersey, Build America Project, RB
5.647%, 11/01/40		490		621
Santa Clara Valley, Transportation Authority, Build America Project, RB
5.876%, 04/01/32		1,590		1,959
State of California, Build America Project, GO
7.600%, 11/01/40		2,020		2,638
7.550%, 04/01/39		1,035		1,337
7.300%, 10/01/39		4,080		5,086
6.650%, 03/01/22		1,700		2,079
State of Illinois, Build America Project, GO
5.100%, 06/01/33		5,590		5,277
State of Illinois, GO
5.877%, 03/01/19		920		1,028
5.665%, 03/01/18		5,207		5,792
5.365%, 03/01/17		1,065		1,172
Student Loan Funding, Ser A-6, AMT, RB Callable 07/06/12 @ 100
0.350%, 09/01/47 (A)		1,900		1,820
University of California, Build America Project, Ser AD, RB
4.858%, 05/15/12		1,440		1,505
Virginia, Housing Development Authority, Ser 2006-C, Cl CTFS, RB Callable 07/25/12 @ 100
6.000%, 06/25/34		438		477
Total Municipal Bonds (Cost $43,497) ($ Thousands)				51,559

110 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description		Face Amount (1) ($ Thousands)		Market Value ($ Thousands)
SOVEREIGN DEBT — 0.9%
African Development Bank
8.800%, 09/01/19		$	700	$	955
Andina de Fomento
3.750%, 01/15/16			564		587
Inter-American Development Bank MTN
3.875%, 10/28/41			2,730		3,044
Israel Government AID Bond (C)
3.196%, 11/01/24			1,000		711
2.110%, 08/15/17			1,000		941
2.010%, 08/15/18			1,000		921
Japan Finance Organization for Municipalities
4.000%, 01/13/21			3,600		4,166
Korea Development Bank
3.875%, 05/04/17			1,200		1,249
Mexican Bonos
8.000%, 06/11/20	MXP		85,590		6,815
6.500%, 06/09/22	MXP		114,580		8,187
Mexico Government International Bond MTN
4.750%, 03/08/44			242		246
Province of British Columbia Canada
1.200%, 04/25/17			2,740		2,769
Province of Manitoba Canada
2.125%, 04/22/13			162		164
1.750%, 05/30/19			1,845		1,860
Province of Ontario Canada
2.950%, 02/05/15			850		898
0.950%, 05/26/15			10,550		10,573
Province of Quebec Canada MTN
6.350%, 01/30/26			270		378
Slovakia Government International Bond
4.375%, 05/21/22 (D)			6,040		5,768
State of Qatar
5.750%, 01/20/42 (D)			885		987
Svensk Exportkredit
1.750%, 10/20/15			5,600		5,677
1.750%, 05/30/17			1,845		1,846
United Mexican States
7.500%, 04/08/33			218		304
6.050%, 01/11/40 (B)			394		480
5.750%, 10/12/10 (B)			2,293		2,442
5.625%, 01/15/17			84		96
United Mexican States MTN
6.375%, 01/16/13			350		361
United Mexican States, Ser A MTN
6.750%, 09/27/34			448		586
Total Sovereign Debt (Cost $62,411) ($ Thousands)					63,011

Description	Face Amount ($ Thousands)/Shares/ Contracts			Market Value ($ Thousands)
PURCHASED OPTIONS — 0.0%
December 2012 Eurodollar Future Option Put, Expires 12/22/12, Strike Price: $97.750*	$	448		$	34
December 2012 Eurodollar Future Option Put, Expires 12/22/12, Strike Price: $98.750*		595			111
December 2012 Eurodollar Future Option Put, Expires 12/22/12, Strike Price: $98.250 *		448			148
September 2012 Eurodollar Future Option Put, Expires 12/22/12, Strike Price: $98.875*		217			22
(Cost $911) ($ Thousands)					315
CASH EQUIVALENT — 6.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.100%†**		474,231,196			474,231
Total Cash Equivalent (Cost $474,231) ($ Thousands)					474,231
AFFILIATED PARTNERSHIP — 4.2%
SEI Liquidity Fund, L.P. 0.170%†** (H)		304,258,024			295,211
Total Affiliated Partnership (Cost $304,258) ($ Thousands)					295,211
Total Investments — 112.3% (Cost $7,695,206) ($ Thousands)				$	7,949,131
WRITTEN OPTIONS — 0.0%
December 2012 Eurodollar 2-Year Midcurve Put, Expires 12/15/12, Strike Price: $98.250*		(595	)		(41	)
December 2012 Eurodollar 3-Year Midcurve Put, Expires 12/14/12, Strike Price: $97.750*		(896	)		(140	)
July 2012 U.S. Treasury Bond Futures Call, Expires 7/31/12, Strike Price: $150*		(229)			(390	)
July 2012 U.S. Treasury Bond Futures Call, Expires 7/31/12, Strike Price: $151*		(161	)		(207	)

SEI Institutional Investments Trust / Annual Report / May 31, 2012 111

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Concluded)

May 31, 2012

Description	Contracts			Market Value ($ Thousands)
November 2020 U.S. CPI Urban Consumers NSA Call, Expires 11/23/20, Strike Inflation 0.00%*		(7,020,000	)	$	(16	)
September 2012 Eurodollar Time Deposit Future Option Put, Expires 9/17/12, Strike Price: $98.875*		(217	)		(9	)
Total Written Options (Premiums Received $1,021) ($ Thousands)				$	(803	)

A list of the open futures contracts held by the Fund at May 31, 2012, is as follows:

Type of Contract	Number of Contracts Long/(Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 2-Year Treasury Note		(589	)		Sep-2012	$	(104	)
U.S. 2-Year Treasury Note		396			Sep-2012		34
U.S. 5-Year Treasury Note		(5	)		Jun-2012		(1	)
U.S. 5-Year Treasury Note		(1,610	)		Oct-2012		(658	)
U.S. 10-Year Treasury Note		(1,013	)		Sep-2012		(1,202	)
U.S. 10-Year Treasury Note		222			Sep-2012		224
U.S. Long Treasury Bond		(742	)		Sep-2012		(2,026	)
U.S. Ultra Long Treasury		(250	)		Sep-2012		(989	)
						$	(4,722	)

For the year ended May 31, 2012, 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 list of the open forward foreign currency contracts held by the Fund at May 31, 2012, is as follows:

Settlement Date	Currency to Deliver (Thousands)			Currency to Receive (Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)
8/16/12		CAD	15,716		USD	15,504	$	353
8/16/12		EUR	24,980		USD	32,807		1,905
8/16/12		USD	15,729		CAD	15,716		(578	)
8/16/12		USD	1,987		EUR	1,511		(118	)
							$	1,562

A list of the counterparties for the open forward foreign currency contracts held by the Fund at May 31, 2012, is as follows:

Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
Barclays PLC	$	(17,716	)	$	17,020	$	(696	)
Citigroup		(19,158	)		19,706		548
JPMorgan Chase Bank		(26,895	)		28,605		1,710
						$	1,562

For the year ended May 31, 2012, 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 year.

A list of the open swap agreements held by the Fund at May 31, 2012, is as follows:

Credit Default Swaps
Counterparty	Reference Entity	Buy/Sell Protection	(Pays)/ Receives Rate			Termination Date		Notional Amount ($ Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)
Bank of America	CMBX.NA.AJ.1 Index	Buy		(0.84	)		10/12/52	$	2,535		$	(974	)
Barclays Bank PLC	CMBX.NA.AJ.1 Index	Buy		(0.84	)		10/12/52		2,000			185
Barclays Bank PLC	CMBX.NA.AJ.1 Index	Buy		(0.84	)		10/12/52		2,000			166
Barclays Bank PLC	CMBX.NA.AJ.1 Index	Buy		(0.84	)		10/12/52		4,880			(1,941	)
Barclays Bank PLC	France Government Bond	Sell		0.25			09/20/16		(6,145	)		(138	)
Credit Suisse	CMBX.NA.AJ.1 Index	Buy		(0.84	)		10/12/52		390			(153	)
Deutsche Bank	Metlife, Inc.	Sell		1.00			06/20/18		(3,560	)		(204	)
											$	(3,059	)

Total Return Swaps
Counterparty	Reference Entity	Fund Pays	Fund Receives		Termination Date		Notional Amount ($ Thousands)		Unrealized Depreciation ($ Thousands)
Deutsche Bank	IOS.FN30.450.10 Index	Price Return		1-Month USD LIBOR		01/12/41	$	8,507	$	(136	)
Morgan Stanley	IOS.FN30.500.10 Index	Price Return		1-Month USD LIBOR		01/12/41		4,358		(65	)
									$	(201	)

Interest Rate Swaps
Counterparty	Fund Pays	Fund Receives	Termination Date	Notional Amount ($ Thousands)		Unrealized Depreciation ($ Thousands)
Citigroup	2.92%	3 Month USD LIBOR	02/16/27	$	6,630	$	(808	)
Morgan Stanley	2.83%	3 Month USD LIBOR	02/18/42		7,645		(785	)
						$	(1,593	)

For the year ended May 31, 2012, the total amount of all open swap agreements, as presented in the tables above, are representative of the volume of activity for this derivative type during the year.

112 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Percentages are based on a Net Assets of $7,081,317 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2012.

‡ Real Estate Investment Trust.

† Investment in Affiliated Security (see Note 5).

(1) In U.S. dollars unless otherwise indicated.

(A) Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of May 31, 2012. The date reported on the Schedule of Investments is the final maturity date.

(B) This security or a partial position of this security is on loan at May 31, 2012. The total value of securities on loan at May 31, 2012 was $297,263 ($ Thousands).

(C) The rate reported is the effective yield at time of purchase.

(D) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees.

(E) Security in default on interest payments.

(F) Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on May 31, 2012. The coupon on a step bond changes on a specified date.

(G) Securities considered illiquid. The total value of such securities as of May 31, 2012 was $1 ($ Thousands) and represented 0.0% of Net Assets.

(H) This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of May 31, 2012 was $295,211 ($ Thousands).

(I) Security fair valued using methods determined in good faith by the valuation committee of the Board of Trustees. The total market value of such securities as of May 31, 2012 was $398 ($Thousands) and represented 0.0% of Net Assets.

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

ABS — Asset-Based Security

AID — Agency for International Development

AMT — Alternative Minimum Tax

ARM — Adjustable Rate Mortgage

CAD — Canadian Dollar

Cl — Class

CLO — Collateralized Loan Obligation

CMBX.NA — Commercial Mortgage-Backed Index — North America

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

GNMA — Government National Mortgage Association

GO — General Obligation

IO — Interest Only — face amount represents notional amount

IOS.FN — Synthetic Total Return Swap Index — Fannie Agency Pools Interest Component.

LIBOR — London Interbank Offered Rate

LLC — Limited Liability Company

L.P. — Limited Partnership

MTN — Medium Term Note

MXP — Mexican Peso

NCUA — National Credit Union Association

NY — New York

PLC — Public Limited Company

PO — Principal Only

RB — Revenue Bond

REIT — Real Estate Investment Trust

REMIC — Real Estate Mortgage Investment Conduit

Re-REMIC — Resecuritization of Real Estate Mortgage Investment Conduit

Ser — Series

STRIPS — Separately Traded Registered Interest and Principal Securities

TBA — To Be Announced

USD — U.S. Dollar

The following is a list of the inputs used as of May 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Mortgage-Backed Securities	$	—	$	2,961,796	$	—	$	2,961,796
Corporate Obligations		—		1,723,191		401		1,723,592
U.S. Treasury Obligations		—		1,650,548		—		1,650,548
Asset-Backed Securities		—		547,280		—		547,280
U.S. Government Agency Obligations		—		181,588		—		181,588
Municipal Bonds		—		51,559		—		51,559
Sovereign Debt		—		63,011		—		63,011
Purchased Options		315		—		—		315
Cash Equivalent		474,231		—		—		474,231
Affiliated Partnership		—		295,211		—		295,211
Total Investments in Securities	$	474,546	$	7,474,184	$	401	$	7,949,131

Securities Sold Short	Level 1			Level 2			Level 3		Total
Written Options	$	(787	)	$	(16	)	$	—	$	(803	)

Other Financial Instruments	Level 1			Level 2			Level 3		Total
Futures Contracts*	$	(4,722	)	$	—		$	—	$	(4,722	)
Forwards Contracts*		—			1,562			—		1,562
Credit Default Swaps*		—			(3,059	)		—		(3,059	)
Total Return Swaps*		—			(201	)		—		(201	)
Interest Rate Swaps*		—			(1,593	)		—		(1,593	)
Total Other Financial Instruments	$	(4,722	)	$	(3,291	)	$	—	$	(8,013	)

* Futures and 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) as of May 31, 2012:

	Investments in Corporate Obligations		Investments in Asset-Backed Securities
Beginning balance as of June 1, 2011	$	270	$	1,035
Accrued discounts/premiums		48		1
Realized gain/(loss)		—		—
Change in unrealized appreciation/(depreciation)		83		6
Purchases		—		—
Sales		—		(1,042	)
Transfer into Level 3		—		—
Transfer out of Level 3		—		—
Ending balance as of May 31, 2012	$	401	$	—
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	131	$	—

For the year ended May 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2012, there were no 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 / Annual Report / May 31, 2012 113

SCHEDULE OF INVESTMENTS

High Yield Bond Fund

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS — 78.8%
Consumer Discretionary — 16.6%
Academy
9.250%, 08/01/19 (A)	$	2,690	$	2,838
Adelphia Communications (escrow security) (B)
10.250%, 06/15/11		125		1
7.875%, 01/15/09		250		2
7.750%, 05/01/09		75		1
Adelphia Communications, Ser B (escrow security) (B)
9.500%, 02/15/04		25		—
Affinity Gaming LLC
9.000%, 05/15/18 (A)		2,755		2,755
Allison Transmission
7.125%, 05/15/19 (A)		3,260		3,407
AMC Entertainment
9.750%, 12/01/20		1,255		1,349
8.750%, 06/01/19		680		728
AMC Networks
7.750%, 07/15/21 (A)		5,745		6,377
American Axle & Manufacturing
9.250%, 01/15/17 (A)		99		109
7.875%, 03/01/17		1,330		1,368
7.750%, 11/15/19		1,345		1,419
American Standard Americas
10.750%, 01/15/16 (A)		1,500		1,170
American Tire Distributors
9.750%, 06/01/17		560		594
AmeriGas Finance LLC
7.000%, 05/20/22		4,056		3,975
Ameristar Casinos
7.500%, 04/15/21		1,375		1,427
Avis Budget Car Rental LLC
9.625%, 03/15/18		525		570

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
8.250%, 01/15/19	$	1,890	$	1,956
Beazer Homes USA
9.125%, 06/15/18		2,115		1,766
Belo
7.750%, 06/01/27		2,025		1,984
Bon-Ton Department Stores
10.250%, 03/15/14		425		293
Brands
6.625%, 04/01/21		385		413
5.625%, 02/15/22		1,285		1,295
Buffalo Thunder Development Authority
9.375%, 12/15/14 (A) (B)		2,050		748
Burlington Coat Factory Warehouse
10.000%, 02/15/19		10,675		11,022
Cablevision Systems
8.625%, 09/15/17		1,965		2,147
8.000%, 04/15/20		650		678
7.750%, 04/15/18		900		919
Caesars Entertainment Operating
11.250%, 06/01/17		8,535		9,068
10.000%, 12/15/18		1,038		701
5.750%, 10/01/17		400		208
Caesars Operating Escrow LLC
8.500%, 02/15/20 (A)		4,370		4,354
Carlson Wagonlit BV
6.875%, 06/15/19 (A)		1,365		1,358
Carmike Cinemas
7.375%, 05/15/19 (A)		950		979
Carrols Restaurant Group
11.250%, 05/15/18 (A)		1,310		1,333
Cedar Fair
9.125%, 08/01/18		1,600		1,772
Chester Downs & Marina LLC
9.250%, 02/01/20 (A)		2,150		2,215
Chrysler Group LLC
8.250%, 06/15/21		5,190		5,203
8.000%, 06/15/19		945		947
Chukchansi Economic Development Authority
4.230%, 11/15/12 (A) (C)		2,185		1,617
Cinemark USA
7.375%, 06/15/21		460		492
CityCenter Holdings LLC
7.625%, 01/15/16		1,315		1,361
CKE Restaurants
11.375%, 07/15/18		505		573
Claire’s Stores
9.000%, 03/15/19 (A)		960		960
8.875%, 03/15/19		810		684
Continental Airlines 2007-1 Class C Pass-Through Trust
7.339%, 04/19/14		1,178		1,190

114 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Dana Holding
6.750%, 02/15/21	$	1,304	$	1,395
6.500%, 02/15/19		1,304		1,369
Dave & Buster’s
11.000%, 06/01/18		1,390		1,494
Dave & Buster’s Entertainment
13.383%, 02/15/16 (A) (D)		7,825		5,282
Delphi
6.125%, 05/15/21		2,065		2,199
5.875%, 05/15/19		1,909		1,999
Delta Air Lines 2011-1 Class B Pass-Through Trust
7.125%, 10/15/14 (A)		2,000		2,033
Dex One PIK
14.000%, 01/29/17		1,215		301
Diamond Resorts
12.000%, 08/15/18		1,350		1,455
DineEquity
9.500%, 10/30/18		5,785		6,284
Dollar General PIK
11.875%, 07/15/17 (C)		1,520		1,626
Easton-Bell Sports
9.750%, 12/01/16		1,675		1,830
Eldorado Resorts LLC
8.625%, 06/15/19 (A)		5,460		5,119
Empire Today LLC
11.375%, 02/01/17 (A)		2,071		2,071
Entravision Communications
8.750%, 08/01/17		1,858		1,942
Equinox Holdings
9.500%, 02/01/16 (A)		1,255		1,337
Expedia
5.950%, 08/15/20		1,000		1,060
Ferrellgas
9.125%, 10/01/17		2,500		2,587
6.500%, 05/01/21		2,825		2,528
Fifth & Pacific
10.500%, 04/15/19 (A)		1,810		2,032
Fontainebleau Las Vegas
11.000%, 06/15/15 (A) (B)		3,500		2
Global Aviation Holdings
14.000%, 08/15/13 (B)		2,598		831
Goodyear Tire & Rubber
8.750%, 08/15/20		110		117
8.250%, 08/15/20		1,295		1,348
7.000%, 05/15/22		3,895		3,817
GRD Holdings III
10.750%, 06/01/19 (A)		2,450		2,413
Greektown Superholdings
13.000%, 07/01/15		1,850		2,016
13.000%, 07/01/15		3,390		3,695
GWR Operating Partnership LLP
10.875%, 04/01/17		870		983

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Gymboree
9.125%, 12/01/18	$	1,235	$	1,096
Hanesbrands
8.000%, 12/15/16		310		340
6.375%, 12/15/20		1,282		1,309
HD Supply
11.000%, 04/15/20 (A)		2,365		2,442
8.125%, 04/15/19 (A)		1,500		1,564
Hillman Group
10.875%, 06/01/18		960		1,001
Inergy
7.000%, 10/01/18		1,300		1,326
Intcomex
13.250%, 12/15/14		4,515		4,605
International Automotive Components Group
9.125%, 06/01/18 (A)		1,540		1,390
J Crew Group
8.125%, 03/01/19		1,115		1,119
Jaguar Land Rover
8.125%, 05/15/21 (A)		1,440		1,454
Jarden
7.500%, 05/01/17		705		779
JC Penney
7.950%, 04/01/17		950		959
5.750%, 02/15/18		120		111
Lamar Media
7.875%, 04/15/18		625		672
5.875%, 02/01/22 (A)		530		533
Landry’s
9.375%, 05/01/20 (A)		1,605		1,609
Lear
7.875%, 03/15/18		405		442
Levi Strauss
6.875%, 05/01/22 (A)		860		854
Libbey Glass
10.000%, 02/15/15		120		128
6.875%, 05/15/20 (A)		545		546
Lions Gate Entertainment
10.250%, 11/01/16 (A)		4,515		4,916
Live Nation Entertainment
8.125%, 05/15/18 (A)		1,500		1,566
Logan’s Roadhouse
10.750%, 10/15/17		2,105		1,979
M/I Homes
8.625%, 11/15/18		2,150		2,177
Marina District Finance
9.875%, 08/15/18		1,760		1,643
9.500%, 10/15/15		445		422
McClatchy
11.500%, 02/15/17		4,475		4,520
MDC Partners
11.000%, 11/01/16		4,510		4,871

SEI Institutional Investments Trust / Annual Report / May 31, 2012 115

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
MediMedia USA
11.375%, 11/15/14 (A)	$	2,400	$	2,196
Meritage Homes
7.000%, 04/01/22 (A)		330		335
MGM Resorts International
11.375%, 03/01/18		5,275		6,079
9.000%, 03/15/20		6,260		6,855
8.625%, 02/01/19 (A)		775		820
7.750%, 03/15/22		1,010		1,007
7.625%, 01/15/17		2,050		2,073
7.500%, 06/01/16		500		511
Michaels Stores
13.000%, 11/01/16 (E)		897		955
11.375%, 11/01/16 (A)		21		22
11.375%, 11/01/16		495		526
7.750%, 11/01/18		1,950		2,033
Midwest Gaming Borrower LLC
11.625%, 04/15/16 (A)		2,360		2,596
MTR Gaming Group
11.500%, 08/01/19		6,256		6,319
NAI Entertainment Holdings LLC
8.250%, 12/15/17 (A)		2,021		2,203
Niska Gas Storage US LLC
8.875%, 03/15/18		2,805		2,672
OSI Restaurant Partners
10.000%, 06/15/15		755		776
Peninsula Gaming LLC
10.750%, 08/15/17		180		206
Penske Automotive Group
7.750%, 12/15/16		1,700		1,759
Petco Animal Supplies
9.250%, 12/01/18 (A)		1,075		1,156
Phillips-Van Heusen
7.375%, 05/15/20		3,825		4,179
Pinnacle Entertainment
8.750%, 05/15/20		885		962
7.750%, 04/01/22		1,425		1,503
PulteGroup
6.000%, 02/15/35		1,500		1,234
Quebecor Media
7.750%, 03/15/16		2,230		2,291
Quebecor Media/Escrow Security (B)
0.000%, 11/15/13		1,800		18
0.000%, 03/15/16		2,175		22
QVC
7.375%, 10/15/20 (A)		400		436
Regal Entertainment Group
9.125%, 08/15/18		1,215		1,321
Rent-A-Center
6.625%, 11/15/20		694		729
RJ Tower
12.000%, 06/01/13 (B)		210		1
Sabre
8.500%, 05/15/19 (A)		870		863

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Sabre Holdings
8.350%, 03/15/16	$	1,850	$	1,693
Salem Communications
9.625%, 12/15/16		919		1,006
Sally Holdings LLC
6.875%, 11/15/19 (A)		2,982		3,176
5.750%, 06/01/22		270		273
Sealy Mattress
8.250%, 06/15/14		4,145		4,010
Seneca Gaming
8.250%, 12/01/18 (A)		4,840		4,907
Service International
7.625%, 10/01/18		450		504
7.500%, 04/01/27		785		789
7.000%, 05/15/19		620		654
ServiceMaster
8.000%, 02/15/20 (A)		2,700		2,832
7.450%, 08/15/27		840		708
7.250%, 03/01/38		3,170		2,243
7.100%, 03/01/18		750		704
ServiceMaster PIK
10.750%, 07/15/15 (A) (C)		1,923		1,993
Seven Seas Cruises LLC
9.125%, 05/15/19 (A)		1,620		1,669
Shingle Springs Tribal Group
9.375%, 06/15/15 (A)		300		224
Simmons Bedding
11.250%, 07/15/15 (A)		2,315		2,393
Sirius XM Radio
9.750%, 09/01/15 (A)		1,380		1,463
8.750%, 04/01/15 (A)		1,950		2,199
Stanadyne Holdings
12.000%, 02/15/15 (E)		1,500		1,087
Stanadyne Holdings, Ser 1
10.000%, 08/15/14		1,275		1,100
Standard Pacific
10.750%, 09/15/16		525		613
Steinway Musical Instruments
7.000%, 03/01/14 (A)		1,110		1,111
Stewart Enterprises
6.500%, 04/15/19		575		589
Suburban Propane Partners
7.375%, 03/15/20		500		525
Sugarhouse HSP Gaming Prop Mezz
8.625%, 04/15/16 (A)		892		941
Taylor Morrison Communities
7.750%, 04/15/20 (A)		1,470		1,514
Tomkins LLC
9.000%, 10/01/18		1,010		1,110
Travelport LLC
11.875%, 09/01/16		1,535		549
9.875%, 09/01/14		2,275		1,587
UAL 1995 Pass-Through Trust A, Ser 95A1
9.020%, 04/19/12 (B)		430		112

116 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
UAL 2009-1 Pass-Through Trust
10.400%, 11/01/16	$	1,179	$	1,350
UCI International
8.625%, 02/15/19		1,185		1,209
United Air Lines
12.000%, 11/01/13 (A)		1,735		1,824
Univision Communications
8.500%, 05/15/21 (A)		5,560		5,365
7.875%, 11/01/20 (A)		2,750		2,812
Vail Resorts
6.500%, 05/01/19		845		885
Visteon
6.750%, 04/15/19		1,130		1,126
VWR Funding PIK
10.250%, 07/15/15 (C)		1,215		1,250
WMG Acquisition
11.500%, 10/01/18		2,355		2,508
9.500%, 06/15/16		980		1,046
Wynn Las Vegas LLC
7.750%, 08/15/20		3,050		3,313
Yankee Candle, Ser B
9.750%, 02/15/17		2,615		2,680
				318,168
Consumer Staples — 12.0%
Accellent
10.000%, 11/01/17		1,090		877
8.375%, 02/01/17		2,625		2,599
American Achievement
10.875%, 04/15/16 (A)		3,055		2,154
American Renal Associates Holdings
9.750%, 03/01/16		2,372		2,467
American Renal Holdings
8.375%, 05/15/18		4,130		4,337
Apria Healthcare Group
12.375%, 11/01/14		1,650		1,580
11.250%, 11/01/14		600		616
Armored Autogroup
9.250%, 11/01/18 (A)		2,700		2,305
Aurora Diagnostics Holdings
10.750%, 01/15/18		5,125		5,022
B&G Foods
7.625%, 01/15/18		900		963
Beverages & More
9.625%, 10/01/14 (A)		3,900		4,056
BI-LO LLC
9.250%, 02/15/19 (A)		3,545		3,740
Biomet
11.625%, 10/15/17		1,370		1,452
Bumble Bee Acquisition
9.000%, 12/15/17 (A)		1,573		1,561
Bumble Bee Holdco SCA PIK
9.625%, 03/15/18 (A)		3,750		3,450

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Central Garden and Pet
8.250%, 03/01/18	$	5,975	$	5,975
CHS
8.000%, 11/15/19		2,250		2,298
Constellation Brands
7.250%, 05/15/17		1,250		1,416
6.000%, 05/01/22		1,295		1,376
Cott Beverages
8.375%, 11/15/17		2,975		3,206
8.125%, 09/01/18		900		970
Dean Foods
7.000%, 06/01/16		700		729
Del Monte
7.625%, 02/15/19		6,185		5,999
DJO Finance LLC
9.750%, 10/15/17		4,753		3,410
8.750%, 03/15/18 (A)		930		935
7.750%, 04/15/18		4,670		3,771
Dole Food
8.000%, 10/01/16 (A)		210		220
DynCorp International
10.375%, 07/01/17		3,980		3,413
Elizabeth Arden
7.375%, 03/15/21		240		262
Emergency Medical Services
8.125%, 06/01/19		7,121		7,263
Fleming
10.125%, 04/01/08 (B)		974		—
Fresenius Medical Care US Finance II
5.875%, 01/31/22 (A)		175		174
5.625%, 07/31/19 (A)		3,960		3,930
Grifols
8.250%, 02/01/18		900		957
HCA
8.000%, 10/01/18		650		718
7.500%, 02/15/22		5,695		5,969
6.500%, 02/15/20		2,000		2,113
5.875%, 03/15/22		2,400		2,382
Hertz
7.500%, 10/15/18		1,860		1,937
Immucor
11.125%, 08/15/19		6,765		7,340
INC Research LLC
11.500%, 07/15/19 (A)		4,085		3,865
Interactive Data
10.250%, 08/01/18		855		947
JBS USA LLC
8.250%, 02/01/20 (A)		1,520		1,452
Kinetic Concepts
12.500%, 11/01/19 (A)		1,160		1,032
10.500%, 11/01/18 (A)		3,405		3,439
Knowledge Universe Education LLC
7.750%, 02/01/15 (A)		775		635

SEI Institutional Investments Trust / Annual Report / May 31, 2012 117

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Lantheus Medical Imaging
9.750%, 05/15/17	$	995	$	896
Laureate Education
12.750%, 08/15/17 (A)		1,100		1,166
11.000%, 08/15/15 (A)		525		541
Mead Products LLC
6.750%, 04/30/20 (A)		355		365
Michael Foods Group
9.750%, 07/15/18		1,160		1,256
Monitronics International
9.125%, 04/01/20 (A)		3,015		2,925
Multiplan
9.875%, 09/01/18 (A)		2,015		2,136
NBTY
9.000%, 10/01/18		2,530		2,739
OnCure Holdings
11.750%, 05/15/17		1,000		737
Pharmaceutical Product Development
9.500%, 12/01/19 (A)		2,550		2,716
Physio-Control International
9.875%, 01/15/19 (A)		400		424
Physiotherapy Associates Holdings
11.875%, 05/01/19 (A)		595		595
Pinnacle Foods Finance LLC
8.250%, 09/01/17		1,250		1,306
Post Holdings
7.375%, 02/15/22 (A)		1,050		1,068
Radiation Therapy Services
9.875%, 04/15/17		1,125		866
8.875%, 01/15/17 (A)		580		558
Radnet Management
10.375%, 04/01/18		720		713
Reynolds Group Issuer (A)
9.875%, 08/15/19		4,900		4,888
9.875%, 08/15/19		3,785		3,776
9.000%, 04/15/19		5,055		4,853
8.500%, 05/15/18		450		422
8.500%, 02/15/21		865		802
7.875%, 08/15/19		130		137
7.750%, 10/15/16		2,500		2,638
6.875%, 02/15/21		1,305		1,325
Rite Aid
9.750%, 06/12/16		530		578
9.500%, 06/15/17		565		542
9.250%, 03/15/20 (A)		4,840		4,646
9.250%, 03/15/20 (A)		265		254
8.000%, 08/15/20		11,585		12,671
7.700%, 02/15/27		1,160		945
7.500%, 03/01/17		590		584
Rural
10.125%, 07/15/19 (A)		2,900		2,672
Seminole Indian Tribe of Florida
7.750%, 10/01/17 (A)		3,450		3,709
6.535%, 10/01/20 (A)		1,450		1,453

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Spectrum Brands
9.500%, 06/15/18	$	3,885	$	4,293
9.500%, 06/15/18 (A)		460		508
6.750%, 03/15/20 (A)		440		445
STHI Holding
8.000%, 03/15/18 (A)		1,275		1,339
Supervalu
8.000%, 05/01/16		1,035		1,032
Symbion PIK
11.000%, 08/23/15		1,292		1,253
Ticketmaster Entertainment LLC
10.750%, 08/01/16		5,215		5,528
U.S. Oncology (Escrow Security)
0.000%, 08/15/17		2,130		32
United Surgical Partners International
9.000%, 04/01/20 (A)		1,240		1,286
UR Financing Escrow (A)
7.625%, 04/15/22		820		838
7.375%, 05/15/20		170		174
5.750%, 07/15/18		550		560
UR Merger Sub
9.250%, 12/15/19		1,055		1,163
8.375%, 09/15/20		575		586
8.250%, 02/01/21		5,135		5,430
US Foods
8.500%, 06/30/19 (A)		1,700		1,713
Valeant Pharmaceuticals International (A)
7.250%, 07/15/22		1,370		1,288
7.000%, 10/01/20		8,165		7,900
6.875%, 12/01/18		2,035		2,010
6.750%, 10/01/17		675		675
Vanguard Health Holding II LLC
8.000%, 02/01/18		3,230		3,165
7.750%, 02/01/19 (A)		3,300		3,234
YCC Holdings LLC PIK
10.250%, 02/15/16		1,300		1,303
				228,969
Energy — 8.8%
American Petroleum Tankers Parent LLC
10.250%, 05/01/15		1,173		1,220
Antero Resources Finance
9.375%, 12/01/17		1,235		1,334
Arch Coal
8.750%, 08/01/16		965		926
7.250%, 06/15/21 (A)		675		575
7.000%, 06/15/19 (A)		510		437
Atwood Oceanics
6.500%, 02/01/20		438		453
Berry Petroleum
6.375%, 09/15/22		585		597
Bill Barrett
9.875%, 07/15/16		1,000		1,100

118 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
7.625%, 10/01/19	$	2,000	$	1,995
7.000%, 10/15/22		450		427
Bluewater Holding BV
3.466%, 07/17/14 (A) (C)		1,400		1,190
BreitBurn Energy Partners
8.625%, 10/15/20		640		664
7.875%, 04/15/22 (A)		1,810		1,774
Bristow Group
7.500%, 09/15/17		2,260		2,339
Calumet Specialty Products Partners
9.375%, 05/01/19		2,440		2,495
Chaparral Energy
8.250%, 09/01/21		1,595		1,691
Chesapeake Energy
9.500%, 02/15/15		650		686
6.875%, 08/15/18		1,175		1,119
6.625%, 08/15/20		2,190		2,059
6.125%, 02/15/21		270		254
Chesapeake Midstream Partners
6.125%, 07/15/22		555		527
5.875%, 04/15/21		1,465		1,399
Chesapeake Oilfield Operating LLC
6.625%, 11/15/19 (A)		1,725		1,492
Cimarex Energy
5.875%, 05/01/22		150		154
Cloud Peak Energy Resources LLC
8.250%, 12/15/17		810		828
Comstock Resources
9.500%, 06/15/20		1,650		1,573
7.750%, 04/01/19		860		791
Consol Energy
8.250%, 04/01/20		680		680
8.000%, 04/01/17		815		817
Copano Energy LLC
7.750%, 06/01/18		3,000		3,127
7.125%, 04/01/21		520		536
Crestwood Midstream Partners
7.750%, 04/01/19		3,500		3,526
Crosstex Energy
8.875%, 02/15/18		2,235		2,347
7.125%, 06/01/22 (A)		705		700
Denbury Resources
8.250%, 02/15/20		639		690
Dresser-Rand Group
6.500%, 05/01/21		600		612
Eagle Rock Energy Partners
8.375%, 06/01/19		1,805		1,805
El Paso
7.250%, 06/01/18		740		839
7.000%, 06/15/17		270		303
Energy Transfer Equity
7.500%, 10/15/20		2,928		3,162
EV Energy Partners
8.000%, 04/15/19		1,465		1,480

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Everest Acquisition LLC
9.375%, 05/01/20 (A)	$	4,085	$	4,187
6.875%, 05/01/19 (A)		3,910		4,008
Exterran Holdings
7.250%, 12/01/18		2,500		2,375
Forest Oil
8.500%, 02/15/14		50		53
7.250%, 06/15/19		5,475		4,982
FTS International Services LLC
7.125%, 11/15/18 (A)		1,000		990
GMX Resources
11.000%, 12/01/17		1,093		913
Hercules Offshore
10.500%, 10/15/17 (A)		1,945		1,945
7.125%, 04/01/17 (A)		390		376
Hilcorp Energy I
8.000%, 02/15/20 (A)		1,280		1,363
7.625%, 04/15/21 (A)		125		131
Holly Energy Partners
6.500%, 03/01/20 (A)		450		448
Hornbeck Offshore Services
5.875%, 04/01/20 (A)		2,500		2,450
James River Coal
7.875%, 04/01/19		925		509
Kodiak Oil & Gas
8.125%, 12/01/19 (A)		2,755		2,838
Laredo Petroleum
9.500%, 02/15/19		4,475		4,967
7.375%, 05/01/22 (A)		1,300		1,329
Linn Energy LLC
8.625%, 04/15/20		1,375		1,457
7.750%, 02/01/21		475		486
6.500%, 05/15/19 (A)		1,130		1,096
6.250%, 11/01/19 (A)		2,320		2,210
Magnum Hunter Resources
9.750%, 05/15/20 (A)		340		334
MEG Energy
6.500%, 03/15/21 (A)		326		333
Milagro Oil & Gas
10.500%, 05/15/16		1,950		1,501
Murray Energy
10.250%, 10/15/15 (A)		1,315		1,170
Newfield Exploration
7.125%, 05/15/18		3,635		3,853
6.875%, 02/01/20		1,075		1,140
NFR Energy LLC
9.750%, 02/15/17 (A)		1,710		1,419
Oasis Petroleum
7.250%, 02/01/19		1,300		1,339
Ocean Rig UDW
9.500%, 04/27/16		5,500		5,390
Parker Drilling
9.125%, 04/01/18		1,610		1,707

SEI Institutional Investments Trust / Annual Report / May 31, 2012 119

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Peabody Energy
6.250%, 11/15/21 (A)	$	2,840	$	2,833
6.000%, 11/15/18 (A)		860		858
Penn Virginia
10.375%, 06/15/16		400		380
7.250%, 04/15/19		1,000		860
Penn Virginia Resource Partners
8.375%, 06/01/20 (A)		2,050		2,050
Petroleum Development
12.000%, 02/15/18		2,415		2,596
Pioneer Drilling
9.875%, 03/15/18		1,300		1,365
9.875%, 03/15/18 (A)		550		577
Plains Exploration & Production
10.000%, 03/01/16		1,140		1,237
7.625%, 06/01/18		350		368
7.625%, 04/01/20		2,475		2,599
Quicksilver Resources
11.750%, 01/01/16		3,000		3,075
9.125%, 08/15/19		870		805
7.125%, 04/01/16		1,300		1,137
Range Resources
8.000%, 05/15/19		4,575		4,987
5.000%, 08/15/22		2,525		2,424
Regency Energy Partners
6.875%, 12/01/18		2,900		3,030
Resolute Energy
8.500%, 05/01/20 (A)		2,625		2,579
Samson Investment
9.750%, 02/15/20 (A)		1,530		1,522
SandRidge Energy
8.750%, 01/15/20		70		72
8.125%, 10/15/22 (A)		3,940		3,881
8.000%, 06/01/18 (A)		370		370
7.500%, 03/15/21		2,810		2,726
SESI LLC
7.125%, 12/15/21 (A)		4,000		4,360
Targa Resources
7.875%, 10/15/18		2,445		2,628
Targa Resources Partners
11.250%, 07/15/17		3,475		3,909
6.375%, 08/01/22 (A)		1,000		995
Tesoro
9.750%, 06/01/19		1,350		1,519
Thermon Industries
9.500%, 05/01/17		1,038		1,142
Trinidad Drilling
7.875%, 01/15/19 (A)		880		924
Vanguard Natural Resources LLC
7.875%, 04/01/20		765		755
Venoco
8.875%, 02/15/19		645		593
WPX Energy
6.000%, 01/15/22 (A)		1,080		1,040
				168,218

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Financials — 8.5%
Alliant Holdings
11.000%, 05/01/15 (A)	$	3,400	$	3,527
Ally Financial
8.000%, 11/01/31		5,658		6,365
7.500%, 09/15/20		850		933
6.250%, 12/01/17		3,880		3,981
5.500%, 02/15/17		660		661
American Capital
7.960%, 12/31/13		196		197
American International Group
8.175%, 05/15/58 (C)		2,250		2,337
6.250%, 03/15/37		2,760		2,415
Aventine (Escrow Security)
0.000%, 10/15/49 (B) (F) (G) (H)		2,600		11
Bank of America
8.000%, 12/29/49 (C)		1,885		1,895
Cemex Finance LLC
9.500%, 12/14/16 (A)		335		307
CIT Group
7.000%, 05/02/16 (A)		711		710
7.000%, 05/02/17 (A)		3,297		3,293
6.625%, 04/01/18 (A)		300		311
5.500%, 02/15/19 (A)		1,920		1,867
5.250%, 03/15/18		1,520		1,497
5.000%, 05/15/17		720		707
Citigroup Capital XXI
8.300%, 12/21/57 (C)		1,065		1,077
City National Bank
9.000%, 08/12/19		4,062		4,944
CKE Holdings
10.500%, 03/14/16 (A)		2,750		2,963
CNH Capital LLC
6.250%, 11/01/16 (A)		320		334
CNO Financial Group
9.000%, 01/15/18 (A)		1,600		1,696
Credit Acceptance
9.125%, 02/01/17		4,000		4,300
E*TRADE Financial
7.875%, 12/01/15		2,950		2,994
E*TRADE Financial PIK
12.500%, 11/30/17		1,285		1,475
Energy Future Intermediate Holding LLC
10.000%, 12/01/20		910		981
Essar Steel Algoma
9.875%, 06/15/15 (A)		1,725		1,561
Express LLC
8.750%, 03/01/18		790		854
Ford Motor Credit LLC
6.625%, 08/15/17		1,370		1,591
5.000%, 05/15/18		2,825		3,086
Fresenius US Finance II
9.000%, 07/15/15 (A)		800		914

120 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
HBOS Capital Funding No. 2
6.071%, 06/30/49 (A) (C)	$	5,520	$	3,422
HUB International Holdings
10.250%, 06/15/15 (A)		582		589
9.000%, 12/15/14 (A)		2,490		2,515
Icahn Enterprises
8.000%, 01/15/18		2,800		2,965
7.750%, 01/15/16		4,500		4,725
ILFC E-Capital Trust I
5.030%, 12/21/65 (A) (C)		800		539
ILFC E-Capital Trust II
6.250%, 12/21/65 (A) (C)		2,695		1,940
ING Groep
5.775%, 12/29/49 (C)		3,250		2,714
Ironshore Holdings US
8.500%, 05/15/20 (A)		5,000		5,492
Jefferies Group
8.500%, 07/15/19		820		869
Kennedy-Wilson
8.750%, 04/01/19		3,800		3,914
Liberty Mutual Group
7.000%, 03/15/37 (A) (C)		2,405		2,140
Lloyds Banking Group
6.267%, 11/14/16 (A) (C)		1,435		811
5.920%, 09/29/49 (A) (C)		955		530
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		4,218
National Life Insurance
10.500%, 09/15/39 (A)		1,100		1,480
Nationstar Mortgage LLC
9.625%, 05/01/19 (A)		867		902
Neuberger Berman Group LLC
5.875%, 03/15/22 (A)		985		1,000
5.625%, 03/15/20 (A)		305		311
Norcraft
10.500%, 12/15/15		975		921
Nuveen Investments
10.500%, 11/15/15		11,475		11,590
Offshore Group Investments
11.500%, 08/01/15		1,120		1,193
11.500%, 08/01/15 (A)		370		394
Ohio Casualty
7.300%, 06/15/14		1,050		1,154
Omega Healthcare Investors‡
7.500%, 02/15/20		3,505		3,785
Ono Finance II
10.875%, 07/15/19 (A)		4,251		3,401
PHH
9.250%, 03/01/16		1,295		1,347
PNC Preferred Funding Trust II
1.696%, 03/29/49 (A) (C)		5,640		4,322

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
RBS Capital Trust I
4.709%, 12/29/49 (C)	$	1,820	$	1,010
Realogy
7.875%, 02/15/19 (A)		700		665
7.625%, 01/15/20 (A)		520		534
Regions Bank
7.500%, 05/15/18		750		840
Regions Financing Trust II
6.625%, 05/15/47 (C)		3,800		3,529
RESPARCS Funding I MTN
1.362%, 12/29/49		830		241
Rivers Pittsburgh Borrower
9.500%, 06/15/19 (A)		725		725
Sabra Health Care
8.125%, 11/01/18‡		4,125		4,352
Snoqualmie Entertainment Authority
9.125%, 02/01/15 (A)		3,065		3,080
4.532%, 02/01/14 (A) (C)		275		257
Spencer Spirit Holdings
11.000%, 05/01/17 (A)		2,660		2,750
Susquehanna Capital II
11.000%, 03/23/40		1,300		1,365
Synovus Financial
7.875%, 02/15/19		1,860		1,948
Tops Holdings
10.125%, 10/15/15		1,430		1,523
USB Realty
1.614%, 12/29/49 (A) (C)		5,700		4,320
USI Holdings
9.750%, 05/15/15 (A)		4,812		4,776
XL Capital
6.500%, 12/31/49 (C)		2,615		2,014
				162,896
Health Care — 3.7%
Acadia Healthcare
12.875%, 11/01/18		2,600		2,886
Alere
9.000%, 05/15/16		5,615		5,615
Biomet
10.000%, 10/15/17		7,375		7,845
Biomet PIK
10.375%, 10/15/17		5,765		6,136
BioScrip
10.250%, 10/01/15		3,815		4,130
Community Health Systems
8.875%, 07/15/15		478		490
DaVita
6.625%, 11/01/20		850		861
6.375%, 11/01/18		2,070		2,096
Endo Health Solutions
7.250%, 01/15/22		2,100		2,194
7.000%, 07/15/19		3,395		3,548

SEI Institutional Investments Trust / Annual Report / May 31, 2012 121

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
HCA
9.875%, 02/15/17	$	110	$	120
8.500%, 04/15/19		2,640		2,914
HCA Holdings
7.750%, 05/15/21		3,920		4,028
Health Management Associates
7.375%, 01/15/20 (A)		3,355		3,439
6.125%, 04/15/16		1,105		1,157
HealthSouth
8.125%, 02/15/20		3,210		3,427
7.750%, 09/15/22		890		934
7.250%, 10/01/18		865		902
inVentiv Health
10.000%, 08/15/18 (A)		450		378
Kindred Healthcare
8.250%, 06/01/19		5,845		5,085
Mylan
7.875%, 07/15/20 (A)		2,388		2,627
6.000%, 11/15/18 (A)		1,085		1,120
PSS World Medical
6.375%, 03/01/22 (A)		950		959
Surgical Care Affiliates PIK
8.875%, 07/15/15 (A)		1,636		1,652
Tenet Healthcare
9.250%, 02/01/15		865		955
8.000%, 08/01/20		1,445		1,443
6.250%, 11/01/18 (A)		1,955		1,975
Universal Health Services
7.000%, 10/01/18		2,500		2,675
				71,591
Industrials — 9.0%
Accuride
9.500%, 08/01/18		4,280		4,473
ACL I
10.625%, 02/15/16 (A)		2,681		2,654
Actuant
5.625%, 06/15/22 (A)		4,000		4,040
Air Canada
9.250%, 08/01/15 (A)		3,070		2,970
Aircastle
9.750%, 08/01/18		660		718
9.750%, 08/01/18 (A)		235		254
7.625%, 04/15/20 (A)		150		150
6.750%, 04/15/17 (A)		440		436
Alion Science & Technology
10.250%, 02/01/15		1,405		562
Alion Science & Technology PIK
12.000%, 11/01/14		2,112		1,943
Alliant Techsystems
6.750%, 04/01/16		2,400		2,448
American Airlines Pass-Through Trust, Ser 2011-2, Cl A
8.625%, 10/15/21		4,915		5,161

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
AMGH Merger Sub
9.250%, 11/01/18 (A)	$	3,793	$	3,840
Amsted Industries
8.125%, 03/15/18 (A)		870		922
Anixter
5.625%, 05/01/19		370		376
ARD Finance PIK
11.125%, 06/01/18 (A)		2,297		2,159
Ardagh Packaging Finance
9.125%, 10/15/20 (A)		1,890		1,966
7.375%, 10/15/17 (A)		500		532
Associated Materials LLC
9.125%, 11/01/17		1,270		1,110
Atkore International
9.875%, 01/01/18		2,325		2,313
AWAS Aviation Capital
7.000%, 10/17/16 (A)		1,019		1,052
Baker & Taylor
11.500%, 07/01/13 (A)		1,170		690
Belden
9.250%, 06/15/19		760		834
Berry Plastics
10.250%, 03/01/16		825		844
9.750%, 01/15/21		2,657		2,763
Boart Longyear Management
7.000%, 04/01/21 (A)		500		516
Bombardier
5.750%, 03/15/22 (A)		1,450		1,410
Building Materials Corp of America
6.875%, 08/15/18 (A)		2,360		2,437
6.750%, 05/01/21 (A)		700		716
BWAY Holding
10.000%, 06/15/18		1,390		1,529
Case New Holland
7.875%, 12/01/17		1,065		1,214
Casella Waste Systems
11.000%, 07/15/14		30		32
7.750%, 02/15/19		1,565		1,534
Cemex Espana Luxembourg
9.250%, 05/12/20 (A)		1,793		1,416
CEVA Group
11.625%, 10/01/16 (A)		3,155		3,313
11.500%, 04/01/18 (A)		2,500		2,400
8.375%, 12/01/17 (A)		2,365		2,300
Coleman Cable
9.000%, 02/15/18		2,945		3,055
CPM Holdings
10.625%, 09/01/14		1,250		1,325
DAE Aviation Holdings
11.250%, 08/01/15 (A)		1,380		1,421
Delta Air Lines
12.250%, 03/15/15 (A)		3,905		4,217
Esterline Technologies
7.000%, 08/01/20		1,755		1,944

122 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FGI Operating LLC
7.875%, 05/01/20 (A)	$	880	$	904
Florida East Coast Railway
8.125%, 02/01/17		750		769
General Cable
7.125%, 04/01/17		1,100		1,127
Geo Group
7.750%, 10/15/17		1,355		1,446
6.625%, 02/15/21		75		77
Graphic Packaging International
7.875%, 10/01/18		1,620		1,786
Great Lakes Dredge & Dock
7.375%, 02/01/19		1,215		1,227
Griffon
7.125%, 04/01/18		750		754
Huntington Ingalls Industries
7.125%, 03/15/21		600		623
6.875%, 03/15/18		600		621
Interface
7.625%, 12/01/18		1,015		1,089
Interline Brands
7.000%, 11/15/18		1,486		1,531
International Lease Finance
8.750%, 03/15/17		3,280		3,641
8.625%, 09/15/15		485		529
6.250%, 05/15/19		165		165
5.875%, 04/01/19		2,085		2,048
5.750%, 05/15/16		230		230
4.875%, 04/01/15		295		291
International Wire Group Holdings
9.750%, 04/15/15 (A)		1,105		1,160
Iron Mountain
8.750%, 07/15/18		1,140		1,177
7.750%, 10/01/19		2,625		2,796
Kansas City Southern de Mexico
8.000%, 02/01/18		910		1,010
6.125%, 06/15/21		460		498
Kratos Defense & Security Solutions
10.000%, 06/01/17		1,525		1,617
Liberty Tire Recycling
11.000%, 10/01/16 (A)		3,900		3,549
Manitowoc
9.500%, 02/15/18		1,230		1,344
8.500%, 11/01/20		1,215		1,303
Marquette Transportation
10.875%, 01/15/17		1,500		1,568
Masonite International
8.250%, 04/15/21 (A)		2,030		2,066
Meritor
10.625%, 03/15/18		1,000		1,082
8.125%, 09/15/15		675		718
Midwest Vanadium
11.500%, 02/15/18 (A)		1,350		837

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Mobile Mini
7.875%, 12/01/20	$	1,190	$	1,249
Mueller Water Products
8.750%, 09/01/20		567		627
7.375%, 06/01/17		1,455		1,448
Nortek
8.500%, 04/15/21		1,510		1,465
NXP BV
10.000%, 07/15/13 (A)		598		642
9.750%, 08/01/18 (A)		2,805		3,163
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		1,635		1,794
8.250%, 03/01/17		1,725		1,895
Packaging Dynamics
8.750%, 02/01/16 (A)		2,724		2,860
Ply Gem Industries
13.125%, 07/15/14		810		804
8.250%, 02/15/18		885		850
Polymer Group
7.750%, 02/01/19		1,565		1,628
Polypore International
7.500%, 11/15/17		1,185		1,238
Quality Distribution LLC
9.875%, 11/01/18		4,770		5,187
RBS Global
8.500%, 05/01/18		1,205		1,280
Sequa
11.750%, 12/01/15 (A)		715		759
Sequa PIK
13.500%, 12/01/15 (A)		500		531
Spirit Aerosystems
7.500%, 10/01/17		1,135		1,214
Swift Services Holdings
10.000%, 11/15/18		475		511
syncreon Global Ireland
9.500%, 05/01/18 (A)		2,467		2,461
Tekni-Plex
9.750%, 06/01/19 (A)		655		650
Tempel Steel
12.000%, 08/15/16 (A)		1,100		1,067
Terex
8.000%, 11/15/17		1,260		1,282
6.500%, 04/01/20		345		344
Thermadyne Holdings
9.000%, 12/15/17		2,453		2,502
9.000%, 12/15/17 (A)		1,350		1,377
Titan International
7.875%, 10/01/17		4,335		4,487
Trimas
9.750%, 12/15/17		1,020		1,114

SEI Institutional Investments Trust / Annual Report / May 31, 2012 123

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
United Maritime Group LLC
11.750%, 06/15/15	$	4,400	$	4,796
USG
9.750%, 08/01/14 (A)		2,095		2,325
8.375%, 10/15/18 (A)		1,535		1,596
6.300%, 11/15/16		1,975		1,876
Viasystems
7.875%, 05/01/19 (A)		1,515		1,481
				172,075
Information Technology — 4.2%
Amkor Technology
7.375%, 05/01/18		735		735
Aspect Software
10.625%, 05/15/17		4,680		4,914
Audatex North America
6.750%, 06/15/18 (A)		1,205		1,241
Cardtronics
8.250%, 09/01/18		625		688
CDW LLC
12.535%, 10/12/17		2,285		2,445
8.500%, 04/01/19 (A)		735		755
8.500%, 04/01/19		740		760
8.000%, 12/15/18		2,800		2,968
Compucom Systems
12.500%, 10/01/15 (A)		4,425		4,613
Epicor Software
8.625%, 05/01/19		2,860		2,867
Fidelity National Information Services
7.875%, 07/15/20		825		914
7.625%, 07/15/17		1,070		1,165
7.625%, 07/15/17 (A)		125		135
5.000%, 03/15/22 (A)		1,770		1,719
First Data
12.625%, 01/15/21		2,652		2,500
11.250%, 03/31/16		3,510		3,054
8.875%, 08/15/20 (A)		625		667
7.375%, 06/15/19 (A)		595		595
First Data PIK
10.550%, 09/24/15		705		702
8.750%, 01/15/22 (A)		6,607		6,392
Freescale Semiconductor
10.125%, 03/15/18 (A)		30		32
9.250%, 04/15/18 (A)		6,075		6,394
8.050%, 02/01/20		520		494
iGATE
9.000%, 05/01/16		4,759		5,044
Kemet
10.500%, 05/01/18 (A)		1,910		1,986
Lawson Software
11.500%, 07/15/18 (A)		1,000		1,098
9.375%, 04/01/19 (A)		8,845		9,110
MagnaChip Semiconductor
10.500%, 04/15/18		2,995		3,339

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Mantech International
7.250%, 04/15/18	$	700	$	739
MEMC Electronic Materials
7.750%, 04/01/19		765		484
Sensata Technologies
6.500%, 05/15/19 (A)		4,568		4,579
SSI Investments II
11.125%, 06/01/18		1,020		1,140
STATS ChipPAC
7.500%, 08/12/15 (A)		2,200		2,354
Stratus Technologies Bermuda
12.000%, 03/29/15		2,512		2,211
Stream Global Services
11.250%, 10/01/14		700		723
SunGard Data Systems
7.375%, 11/15/18		975		992
				80,548
Materials — 4.5%
AK Steel
7.625%, 05/15/20		1,610		1,489
Aleris International
7.625%, 02/15/18		975		992
AM Castle
12.750%, 12/15/16 (A)		730		781
APERAM
7.750%, 04/01/18 (A)		3,230		2,923
Ashland
9.125%, 06/01/17		2,565		2,815
Ball
5.000%, 03/15/22		1,550		1,565
Boise Paper Holdings LLC
9.000%, 11/01/17		1,670		1,841
Celanese US Holdings LLC
6.625%, 10/15/18		750		793
Cemex
9.000%, 01/11/18 (A)		210		174
Chemtura
7.875%, 09/01/18		2,165		2,246
Clearwater Paper
7.125%, 11/01/18		175		184
Domtar
10.750%, 06/01/17		1,500		1,940
9.500%, 08/01/16		250		300
FMG Resources
8.250%, 11/01/19 (A)		615		635
7.000%, 11/01/15 (A)		220		220
6.875%, 02/01/18 (A)		1,515		1,488
FMG Resources August 2006 Pty
6.875%, 04/01/22 (A)		2,670		2,570
6.375%, 02/01/16 (A)		605		591
Headwaters
7.625%, 04/01/19		1,435		1,378

124 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Hexion US Finance
9.000%, 11/15/20	$	1,650	$	1,440
8.875%, 02/01/18		1,470		1,463
Huntsman International LLC
8.625%, 03/15/20		535		597
8.625%, 03/15/21		670		750
5.500%, 06/30/16		755		755
Ineos Finance
8.375%, 02/15/19 (A)		750		771
7.500%, 05/01/20 (A)		1,805		1,787
Ineos Group Holdings
8.500%, 02/15/16 (A)		5,215		4,707
Inmet Mining
8.750%, 06/01/20 (A)		1,425		1,389
JMC Steel Group
8.250%, 03/15/18 (A)		1,425		1,439
Kinove German Bondco GmbH
9.625%, 06/15/18 (A)		2,145		2,193
Longview Fibre Paper & Packaging
8.000%, 06/01/16 (A)		1,645		1,633
LyondellBasell Industries
5.750%, 04/15/24 (A)		1,545		1,584
MacDermid
9.500%, 04/15/17 (A)		1,820		1,888
Millar Western Forest Products
8.500%, 04/01/21		1,145		950
Mirabela Nickel
8.750%, 04/15/18 (A)		1,055		760
Momentive Performance Materials
11.500%, 12/01/16		1,130		847
9.000%, 01/15/21		900		680
Momentive PIK
1.885%,
06/04/17 (D) (F) (G)		2,560		2,086
Neenah Foundry PIK
15.000%, 07/29/15		129		127
New
7.000%, 04/15/20 (A)		800		816
Nexeo Solutions LLC
8.375%, 03/01/18 (A)		874		839
Noranda Aluminum Acquisition PIK
4.730%, 05/15/15 (C)		1,472		1,406
Novelis
8.750%, 12/15/20		465		492
8.375%, 12/15/17		3,510		3,703
PolyOne
7.375%, 09/15/20		775		818
Rain CII Carbon LLC
8.000%, 12/01/18 (A)		390		408
Reichhold Industries
9.000%, 05/08/17 (A)		2,897		1,738
Ryerson
12.000%, 11/01/15		1,725		1,760

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Ryerson Holding
28.763%, 02/01/15 (D)	$	2,410	$	1,295
Scotts Miracle-Gro
7.250%, 01/15/18		385		412
Sealed Air
8.375%, 09/15/21 (A)		1,610		1,771
8.125%, 09/15/19 (A)		1,820		1,975
Solutia
8.750%, 11/01/17		1,685		1,896
7.875%, 03/15/20		1,000		1,170
Standard Steel LLC
12.000%, 05/01/15 (A)		3,470		3,938
Taminco Global Chemical
9.750%, 03/31/20 (A)		1,490		1,516
Verso Paper Holdings LLC
8.750%, 02/01/19		3,385		1,202
Vertellus Specialties
9.375%, 10/01/15 (A)		6,110		5,163
Vulcan Materials
7.500%, 06/15/21		305		329
6.500%, 12/01/16		305		316
				85,734
Telecommunication Services — 9.7%
Affinion Group
11.500%, 10/15/15		1,900		1,606
7.875%, 12/15/18		1,795		1,517
Alcatel-Lucent USA
6.500%, 01/15/28		1,320		901
Avaya
9.750%, 11/01/15		1,520		1,254
7.000%, 04/01/19 (A)		1,360		1,217
Avaya PIK
10.125%, 11/01/15		5,071		4,183
Block Communications
7.250%, 02/01/20 (A)		680		677
CCO Holdings LLC
8.125%, 04/30/20		2,511		2,762
7.875%, 04/30/18		1,690		1,813
7.375%, 06/01/20		280		300
7.250%, 10/30/17		190		204
7.000%, 01/15/19		2,170		2,284
Cengage Learning Acquisitions
11.500%, 04/15/20 (A)		1,950		1,945
Cengage Learning Holdco PIK
13.750%, 07/15/15 (A)		4,382		3,484
CenturyLink
5.800%, 03/15/22		1,020		1,006
Cequel Communications Holdings I LLC and Cequel Capital
8.625%, 11/15/17 (A)		650		685
Cincinnati Bell
8.375%, 10/15/20		1,410		1,385

SEI Institutional Investments Trust / Annual Report / May 31, 2012 125

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Clear Channel Communications
9.000%, 03/01/21	$	4,165	$	3,582
Clear Channel Worldwide Holdings
9.250%, 12/15/17		2,800		3,010
7.625%, 03/15/20 (A)		1,755		1,676
7.625%, 03/15/20 (A)		255		240
Clearwire Communications LLC (A)
14.750%, 12/01/16		140		134
12.000%, 12/01/15		3,344		2,901
12.000%, 12/01/15		1,245		1,086
Cogent Communications Group
8.375%, 02/15/18 (A)		705		756
Columbus International
11.500%, 11/20/14 (A)		1,265		1,303
CommScope
8.250%, 01/15/19 (A)		1,270		1,307
Cricket Communications
7.750%, 10/15/20		2,075		1,899
CSC Holdings LLC
8.625%, 02/15/19		2,650		2,955
6.750%, 11/15/21 (A)		2,250		2,278
DCP LLC
10.750%, 08/15/15 (A)		3,000		2,655
Digicel
12.000%, 04/01/14 (A)		600		660
8.250%, 09/01/17 (A)		4,214		4,235
Digicel Group
10.500%, 04/15/18 (A)		2,500		2,550
8.875%, 01/15/15 (A)		470		463
DISH DBS
7.875%, 09/01/19		4,950		5,507
6.750%, 06/01/21		910		940
5.875%, 07/15/22 (A)		395		385
4.625%, 07/15/17 (A)		525		511
Eileme 2
11.625%, 01/31/20 (A)		655		642
GCI
8.625%, 11/15/19		860		914
6.750%, 06/01/21		500		492
GXS Worldwide
9.750%, 06/15/15		7,736		7,504
Houghton Mifflin Harcourt Publishing
10.500%, 06/01/19 (A) (B)		1,750		945
Hughes Satellite Systems
7.625%, 06/15/21		2,484		2,571
6.500%, 06/15/19		630		639
Inmarsat Finance
7.375%, 12/01/17 (A)		2,450		2,609
Integra Telecom Holdings
10.750%, 04/15/16 (A)		1,660		1,589
Intelsat Jackson Holdings
7.250%, 04/01/19		1,240		1,238
7.250%, 10/15/20 (A)		940		933
7.250%, 10/15/20		1,180		1,174

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Intelsat Luxembourg
11.250%, 02/04/17	$	3,455	$	3,395
Intelsat Luxembourg PIK
11.500%, 02/04/17		3,032		2,979
11.500%, 02/04/17 (A)		2,977		2,895
inVentiv Health
10.000%, 08/15/18 (A)		610		515
iPCS PIK
3.716%, 05/01/14 (C)		116		111
ITC Deltacom
10.500%, 04/01/16		840		884
Level 3 Communications
11.875%, 02/01/19		1,410		1,512
Level 3 Financing
10.000%, 02/01/18		3,455		3,723
9.375%, 04/01/19		1,280		1,360
8.625%, 07/15/20 (A)		560		571
8.125%, 07/01/19		1,075		1,075
4.506%, 02/15/15 (C)		1,500		1,429
Liberty Interactive LLC
8.250%, 02/01/30		2,240		2,279
Lucent Technologies
6.450%, 03/15/29		3,455		2,375
MetroPCS Wireless
7.875%, 09/01/18		1,560		1,576
6.625%, 11/15/20		780		755
Nara Cable Funding
8.875%, 12/01/18 (A)		846		719
8.875%, 12/01/18 (A)		560		490
Nexstar/Mission Broadcast
8.875%, 04/15/17		2,100		2,195
Nielsen Finance LLC
7.750%, 10/15/18		2,070		2,225
NII Capital
7.625%, 04/01/21		690		581
Open Solutions
9.750%, 02/01/15 (A)		5,090		4,416
PAETEC Holding
9.875%, 12/01/18		2,055		2,255
8.875%, 06/30/17		555		597
Sable International Finance MTN
8.750%, 02/01/20 (A)		80		83
7.750%, 02/15/17 (A)		2,645		2,685
Satmex Escrow
9.500%, 05/15/17		690		718
9.500%, 05/15/17 (A)		70		73
SBA Telecommunications
8.250%, 08/15/19		441		478
Sinclair Television Group
9.250%, 11/01/17 (A)		895		984
8.375%, 10/15/18		2,820		3,024
Sitel LLC
11.000%, 08/01/17 (A)		1,085		1,052

126 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Sprint Capital
8.750%, 03/15/32	$	7,895	$	6,652
6.900%, 05/01/19		420		365
Sprint Nextel
9.125%, 03/01/17 (A)		1,860		1,846
9.000%, 11/15/18 (A)		1,480		1,602
8.375%, 08/15/17		330		317
7.000%, 03/01/20 (A)		1,660		1,672
Telesat Canada
12.500%, 11/01/17		935		1,045
6.000%, 05/15/17 (A)		2,500		2,456
Unitymedia Hessen GmbH & KG
7.500%, 03/15/19 (A)		2,000		2,055
UPC Holding BV
9.875%, 04/15/18 (A)		3,715		4,012
UPCB Finance III
6.625%, 07/01/20 (A)		1,535		1,512
UPCB Finance V
7.250%, 11/15/21 (A)		2,235		2,257
UPCB Finance VI
6.875%, 01/15/22 (A)		1,452		1,427
Videotron Ltee
5.000%, 07/15/22 (A)		2,205		2,150
Virgin Media Finance
8.375%, 10/15/19		750		821
Visant
10.000%, 10/01/17		1,300		1,229
West
7.875%, 01/15/19		1,380		1,383
Wind Acquisition Finance (A)
11.750%, 07/15/17		2,200		1,870
7.250%, 02/15/18		2,015		1,723
7.250%, 02/15/18		1,285		1,099
Windstream
8.125%, 09/01/18		685		711
7.750%, 10/01/21		795		797
7.500%, 04/01/23		1,215		1,166
Wolverine Healthcare Analytics
10.625%, 06/01/20 (A)		595		586
XM Satellite Radio Holdings
7.625%, 11/01/18 (A)		4,030		4,312
Zayo Group LLC
10.250%, 03/15/17		1,085		1,207
				185,787
Utilities — 1.8%
AES
9.750%, 04/15/16		1,030		1,208
7.375%, 07/01/21 (A)		715		772
Calpine
7.875%, 07/31/20 (A)		3,203		3,395
7.875%, 01/15/23 (A)		595		629
7.500%, 02/15/21 (A)		2,904		3,035

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Elwood Energy LLC
8.159%, 07/05/26	$	774	$	788
Energy Future Holdings
10.000%, 01/15/20		585		622
GenOn Americas Generation LLC
8.500%, 10/01/21		710		607
GenOn Energy
9.875%, 10/15/20		1,015		939
North American Energy Alliance LLC
10.875%, 06/01/16		1,300		1,423
NRG Energy
8.250%, 09/01/20		435		428
7.875%, 05/15/21		1,745		1,680
7.625%, 01/15/18		845		843
7.625%, 05/15/19		1,000		978
7.375%, 01/15/17		225		232
NSG Holdings LLC
7.750%, 12/15/25 (A)		2,100		2,100
Public Service of New Mexico
7.950%, 05/15/18		2,800		3,443
Sabine Pass LNG L.P.
7.500%, 11/30/16 (A)		1,880		1,913
7.500%, 11/30/16		8,450		8,936
				33,971
Total Corporate Obligations (Cost $1,494,221) ($ Thousands)				1,507,957
COLLATERALIZED DEBT OBLIGATIONS — 10.2%
Other Asset-Backed Securities — 10.2%
AMMC CDO, Ser 2011-9A
0.000%, 01/15/22 (A)		2,881		2,564
AMMC CDO, Ser 2012-10A
0.000%, 04/11/22 (A)		3,316		2,984
Claris III
0.766%, 08/04/21		4,588		3,625
CIT CLO, Ser 2007-1A, Cl D
2.474%, 06/20/21 (A) (C)		3,000		2,160
Commercial Industrial Finance, Ser 2006-2A, Cl B2L
4.488%, 03/01/21 (A) (C)		3,487		2,423
Commercial Industrial Finance, Ser 2007-1A, Cl B2L
4.366%, 05/10/21 (C)		2,215		1,495
Commercial Industrial Finance, Ser 2007-3A, Cl B
1.716%, 07/26/21 (A) (C)		2,700		2,101
FM Leveraged Capital Fund, Ser 2006-2A, Cl D
2.067%, 11/15/20 (A) (C)		915		650
Freeport Loan Trust, Ser 2006-1, Cl D
2.116%, 10/20/20 (A) (C)		5,078		5,014

SEI Institutional Investments Trust / Annual Report / May 31, 2012 127

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Friedbergmilstein Private Capital Fund, Ser 2004-1A, Cl D1
2.967%, 01/15/19 (A) (C)	$	3,517	$	2,972
Grayson CLO, Ser 2006-1A, Cl B
1.166%, 11/01/21 (A) (C)		5,866		3,710
GSC Partners CDO Fund, Ser 2007-8A, Cl B
1.216%, 04/17/21 (A) (C)		2,614		1,843
ICE EM CLO, Ser 2007-1A, Cl A2
1.356%, 08/15/22 (A) (C)		7,331		5,718
ICE EM CLO, Ser 2007-1A, Cl A3
1.606%, 08/15/22 (A) (C)		4,345		3,259
Jasper CLO, Ser 2005-1A, Cl B
1.046%, 08/01/17 (A) (C)		2,228		1,894
Lightpoint CLO, Ser 2007-7A, Cl D
4.467%, 05/15/21 (A) (C)		3,284		2,317
Newstar Trust, Ser 2007-1A, Cl A1
0.707%, 09/30/22 (A) (C)		9,221		8,576
NXT Capital CLO LLC, Ser 2012- 1A, Cl E
7.966%, 07/20/22 (A) (C)		3,047		2,788
Red River CLO, Ser 2006-1A, Cl C
1.186%, 07/27/18 (C)		7,544		5,055
Red River CLO, Ser 2006-1A, Cl D
2.116%, 07/27/18 (C)		7,527		4,516
Rockwall CDO, Ser 2006-1A, Cl A1LA
0.766%, 08/01/21 (A) (C)		13,155		11,182
Rockwall CDO, Ser 2006-1A, Cl A1LB
0.966%, 08/01/21 (A) (C)		23,922		18,420
Rockwall CDO, Ser 2006-1A, Cl A2L
1.116%, 08/01/21 (A) (C)		4,045		2,872
Rockwall CDO, Ser 2007-1A, Cl A1LA
0.716%, 08/01/24 (A) (C)		87,470		73,475
Stone Tower CDO, Ser 2004-1A, Cl A2L
1.716%, 01/29/40 (A) (C)		4,761		3,809
Syniverse Holdings
9.125%, 01/15/19		1,545		1,657
Tricadia CDO, Ser 2007-1AR, Cl A2L
0.967%, 02/28/16 (A) (C)		6,977		6,227
Tricadia CDO, Ser 2005-4A, Cl A1LA
0.864%, 12/11/22 (A) (C)		9,198		8,002
Venture CDO, Ser 2012-10A
0.000%, 07/20/22 (A)		2,486		2,256
Westwood CDO, Ser 2007-2A, Cl D
2.266%, 04/25/22 (A) (C)		3,693		2,400
Total Collateralized Debt Obligations (Cost $192,074) ($ Thousands)				195,964

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
LOAN PARTICIPATIONS — 5.8%
Amscan Holdings
0.000%, 12/02/17 (I)	$	480	$	480
API Technologies, Term Loan B
8.750%, 06/27/16		898		893
Asurion
5.500%, 06/10/18		1,401		1,377
Asurion LLC, 2nd Lien
9.000%, 05/20/19		3,600		3,616
Brock Holdings III, 2nd Lien
10.000%, 03/16/18		460		436
Caribbean Restaurants LLC, Term Loan B
9.000%, 02/15/17		125		125
Central Parking
2.400%, 05/22/14		616		604
Central Parking, 1st Lien Term Loan
2.750%, 05/22/14		1,674		1,641
Chesapeake Energy
8.500%, 12/02/17		1,600		1,570
CKX
9.000%, 06/21/17		544		435
Clear Channel
3.889%, 01/29/16		1,053		819
Consolidated Container
5.750%, 09/28/14		1,645		1,629
Crestwood Holdings
9.750%, 03/20/18		1,750		1,757
Cristal Inorganic Chemicals US
6.220%, 11/15/14		2,500		2,487
Dex Media West LLC
7.250%, 10/24/14		1,863		1,140
4.720%, 10/24/14		810		496
Dynegy Midwest Generation
9.250%, 08/05/16		5,074		5,173
Dynegy Midwest Generation LLC, 1st Lien
0.000%, 08/05/16 (I)		195		199
Dynegy Power, 1st Lien Term Loan
9.250%, 08/05/16		1,222		1,259
Expert Global
9.000%, 04/02/18		3,000		2,976
Fairway Group
7.500%, 02/11/17		2,285		2,254
First Data
4.239%, 03/24/18		1,504		1,359
Global Aviation
12.000%, 09/27/12		716		719
Global Aviation Holdings
0.500%, 09/27/12 (J)		347		(2	)
Guitar Center
5.730%, 04/09/17		3,086		2,887

128 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Harrah’s Entertainment, Term Loan B3
0.000%, 01/28/15 (I)	$	165	$	151
Harrah’s Entertainment, Term Loan B6
5.488%, 01/28/18		936		824
Harrah’s Operating
0.000%, 01/28/15 (I)		1,790		1,633
Harrah’s Operating, Term Loan B-4
9.500%, 10/31/16		2,933		2,952
Harrah’s Operating, Term B-2
6.536%, 01/28/15		555		506
Harrah’s Propco
0.000%, 02/13/13 (I)		1,800		1,362
Hologic
0.000%, 02/25/13 (I) (J)		1,050		—
0.000%, 04/29/19 (I)		715		715
Inc Research, Term Loan B
7.000%, 07/12/18		2,157		2,135
Ineos Holdings
6.500%, 04/27/18		800		784
Infor Global Solutions
8.250%, 04/05/17		1,140		1,178
Intelsat Jackson Holdings
2.740%, 02/01/14		2,400		2,307
Kalispel Tribal Economic Authority
7.500%, 01/31/17		3,123		3,060
Lone Star
11.000%, 09/02/19		1,790		1,818
Medical Card
12.000%, 09/15/15		1,973		1,569
Merrill Communications LLC
7.750%, 12/24/12		1,400		1,314
Metroflag, 2nd Lien
0.000%, 01/06/09 (B)		325		—
Mohegan Tribal Gaming Authority, Term Loan B
5.500%, 02/28/16		2,739		2,812
Mohegan Tribal Gaming Authority, Term Loan B 1st Lien
0.000%, 02/28/16 (I)		115		118
Nelson Education, Term Loan B-1
2.970%, 07/05/14		1,466		1,254
Novell
11.000%, 11/22/18		2,750		2,671
Nuveen Investments
8.250%, 02/23/19		1,050		1,056
Nuveen Investments Extended Term Loan
0.000%, 05/13/17 (I)		345		340
Nuveen Investments, Term Loan B
7.250%, 05/13/17		2,375		2,369
Obsidian Natural Gas Trust
7.000%, 11/02/15		1,865		1,865

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Ocwen Financial, Term Loan B
7.000%, 09/01/16	$	892	$	890
PF Changs China Bistro
0.000%, 11/07/12 (I) (J)		3,250		—
0.000%, 05/15/13 (I)		1,710		1,710
PQ
6.739%, 06/14/14		1,450		1,359
Realogy
4.489%, 10/10/16		850		775
Rite Aid, 1st Lien
4.500%, 02/17/18		2,430		2,381
Sabre Holdings
5.989%, 09/29/17		1,172		1,102
SpringLeaf Financial
5.500%, 05/10/17		3,425		3,158
Summit Materials LLC, Term Loan B
6.000%, 01/24/19		1,000		997
Sun Healthcare, Term Loan B
8.750%, 09/23/16		2,046		1,983
Targa Resources
3.239%, 02/09/15		1,555		1,555
Targus Group
11.000%, 05/24/16		499		499
Texas Competitive
4.739%, 10/10/17		5,190		3,007
3.739%, 10/10/14		5,881		3,584
Texas Competitive, Term Loan B
0.000%, 10/10/14 (I)		1,265		771
The Telx Group, Term Loan B
7.750%, 09/22/17		1,120		1,115
United Rentals Bridge Loan
0.000%, 09/15/12 (I) (J)		2,880		—
Univision Communications, Term Loan B
4.489%, 03/31/17		3,900		3,574
Vertafore
9.750%, 10/27/17		780		776
Walter Investment Management, Term Loan B
7.750%, 06/30/16		4,143		4,144
Web.com Group, Term Loan B
7.000%, 10/27/17		1,962		1,940
Wide Open West Finance
6.490%, 06/27/15		3,292		3,243
Zayo Group Bridge Loan, 1st Lien
0.000%, 10/30/19 (I)		435		435
Zayo Group Bridge Loan, Senior
0.000%, 04/30/20 (I)		290		290
Zuffa
7.500%, 06/19/15		1,760		1,750
Total Loan Participations (Cost $112,773) ($ Thousands)				112,160

SEI Institutional Investments Trust / Annual Report / May 31, 2012 129

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Concluded)

May 31, 2012

Description	Face Amount ($ Thousands)/Shares		Market Value ($ Thousands)
MUNICIPAL BONDS — 0.8%
Buckeye Tobacco Settlement Financing Authority, Ser A-2, RB Callable 06/01/17 @ 100
5.875%, 06/01/30	$	710	$	562
California State, Tobacco Securitization, Ser A-1, RB Callable 06/01/17 @ 100
5.750%, 06/01/47		2,200		1,755
5.125%, 06/01/47		1,975		1,423
New Jersey State, Tobacco Settlement, Ser 1A, RB Callable 06/01/17 @ 100
4.750%, 06/01/34		3,695		2,844
Ohio State, Tobacco Settlement, Ser A-2, RB Callable 06/01/17 @ 100
5.375%, 06/01/24		730		595
5.125%, 06/01/24		1,080		864
Tobacco Settlement, Ser 1A, RB Callable 06/01/17 @ 100
5.000%, 06/01/41		8,280		6,421
Total Municipal Bonds (Cost $12,391) ($ Thousands)				14,464
PREFERRED STOCK — 0.4%
Ally Financial, 7.00% (A) (C)		13		6,767
Dana Holding, 4.00% (A)		6		659
General Motors CV to 1.2626,
0.00%		6		215
GMAC Capital Trust I,
0.00% (C)		28		642
Total Preferred Stock (Cost $6,665) ($ Thousands)				8,283
CONVERTIBLE BONDS — 0.3%
Liberty Media LLC CV to 16.7764
4.000%, 11/15/29		2,025		1,134
3.750%, 02/15/30		3,680		1,914
Mirant CV to 14.7167
0.000%, 06/15/21 (B)		1,950		4
Nortel Networks CV to 31.25
2.125%, 04/15/14 (B)		2,070		2,049
Vector Group CV to 48.8281
12.921%, 06/15/26 (C)		369		394
Total Convertible Bonds (Cost $5,714) ($ Thousands)				5,495
AUCTION RATE PREFERRED SECURITIES — 0.3%
Invesco Insured Municipal Income Trust		22,000		2,156

Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
Invesco Van Kampen Senior Income Trust		25,000	$	2,450
Total Auction Rate Preferred Securities (Cost $4,148) ($ Thousands)				4,606
ASSET-BACKED SECURITIES — 0.2%
Other Asset-Backed Securities — 0.2%
Airplanes Pass-Through Trust, Ser 2001-1A, Cl A9
0.789%, 03/15/19 (C) (G)	$	1,892		1,159
Cajun Global LLC, Ser 2011-1A, Cl A2
5.955%, 02/20/41 (A)		1,535		1,641
Dominos Pizza Master Issuer LLC, Ser 2012-1A, Cl A2
5.216%, 01/25/42 (A)		498		519
Total Asset-Backed Securities (Cost $3,286) ($ Thousands)				3,319
	Number of Warrants
WARRANTS — 0.1%
Alion Science & Technology, Expires 03/15/17*		2,025		—
CUI Acquisition††* (F) (G)		46,959		2,137
Total Warrants (Cost $3,901) ($ Thousands)				2,137
COMMON STOCK — 0.1%
Aventine Renewable Energy
Holdings* (A)		66,719		120
Core-Mark Holding		691		30
Dana Holdings		70,421		938
Delta Air Lines*		2,369		29
GMX Resources*		24,693		24
Neenah Enterprises* (F) (G)		21,556		97
Quad, Cl A		267		3
United Continental Holdings*		21		1
VSS AHC, Cl A* (F) (G) (H)		29,628		353
Total Common Stock (Cost $3,511) ($ Thousands)				1,595
CASH EQUIVALENT — 1.9%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.100%†**		36,950,012		36,950
Total Cash Equivalent (Cost $36,950) ($ Thousands)				36,950
Total Investments — 98.9% (Cost $1,875,634) ($ Thousands)			$	1,892,930

130 SEI Institutional Investments Trust / Annual Report / May 31, 2012

A list of the open swap agreements held by the Fund at May 31, 2012, is as follows:

Credit Default Swaps
Counterparty	Reference Entity	Buy/Sell Protection	(Pays)/ Receives Rate		Termination Date		Notional Amount ($ Thousands)		Unrealized Depreciation ($ Thousands)
Barclays Bank PLC	CDX.NA.IG.17-V1 Index	Buy		5.00		12/20/16	$	19,885	$	(407	)

For the year ended May 31, 2012, 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 year.

Percentages are based on a Net Assets of $1,914,780 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2012.

‡ Real Estate Investment Trust.

† Investment in Affiliated Security (see Note 5).

†† Expiration date unavailable.

(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 May 31, 2012. The date reported on the Schedule of Investments is the final maturity date.

(D) The rate reported is the effective yield at time of purchase.

(E) Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on May 31, 2012. The coupon on a step bond changes on a specified date.

(F) Securities considered illiquid. The total value of such securities as of May 31, 2012 was $4,684 ($ Thousands) and represented 0.24% of Net Assets.

(G) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of May 31, 2012 was $5,843 ($ Thousands) and represented 0.31% of Net Assets.

(H) Securities considered restricted. The total value of such securities as of May 31, 2012 was $364 ($ Thousands) and represented 0.02% of Net Assets.

(I) Unsettled bank loan. Interest rate not available.

(J) Unfunded bank loan.

CDO — Collateralized Debt Obligation

CDX.NA.IG — Credit Derivatives Index — North American Investment Grade

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 list of the inputs used as of May 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Corporate Obligations	$	—	$	1,503,438	$	4,519	$	1,507,957
Collateralized Debt Obligations		—		1,657		194,307		195,964
Loan Participations		—		104,380		7,780		112,160
Municipal Bonds		—		14,464		—		14,464
Preferred Stock		874		7,409		—		8,283
Convertible Bonds		—		5,491		4		5,495
Auction Rate Preferred Securities		—		—		4,606		4,606
Asset-Backed Securities		—		3,319		—		3,319
Warrants		—		—		2,137		2,137
Common Stock		1,025		120		450		1,595
Cash Equivalent		36,950		—		—		36,950
Total Investments in Securities	$	38,849	$	1,640,278	$	213,803	$	1,892,930

Other Financial Instruments	Level 1		Level 2			Level 3		Total
Credit Default Swaps*	$	—	$	(407	)	$	—	$	(407	)

* Swaps are valued at the unrealized depreciation on the instrument.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands) as of May 31, 2012:

	Investments in Corporate Obligations			Investments in Collateralized Debt Obligations			Investments in Loan Participations			Investments in Convertible Bonds			Investments in Asset-Backed Securities			Investments in Auction  Rate Preferred Securities			Investments in Warrants			Investments in Common Stock
Beginning balance as June 1, 2011	$	15,193		$	122,852		$	18,592		$	4		$	5,066		$	10,075		$	—		$	860
Accrued discounts/premiums		(459	)		2,104			37			—			(6	)		—			—			—
Realized gain/(loss)		(6,866	)		5,203			(151	)		4			69			1,031			3,901			—
Change in unrealized appreciation/ (depreciation)		3,970			(4,693	)		(379	)		—			6			50			(1,764	)		(165	)
Purchases		5,245			126,690			3,519			—			—			—			—			—
Sales		(8,079	)		(57,849	)		(12,042	)		(4	)		(3,497	)		(6,550	)		—			—
Net transfer into Level 3		2,244			—			—			—			—			—			—			—
Net transfer out of Level 3		(6,729	)		—			(1,796	)		—			(1,638	)		—			—			(245	)
Ending balance as of May 31, 2012	$	4,519		$	194,307		$	7,780		$	4		$	—		$	4,606		$	2,137		$	450
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	(478	)	$	(198	)	$	(546	)	$	—		$	—		$	420		$	(1,764	)	$	(165	)

For the year ended May 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2012, there were 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 / Annual Report / May 31, 2012 131

SCHEDULE OF INVESTMENTS

Long Duration Fund

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS — 56.8%
Consumer Discretionary — 6.8%
Comcast
6.950%, 08/15/37	$	1,780	$	2,298
6.550%, 07/01/39		300		373
6.500%, 01/15/17		100		119
6.450%, 03/15/37		15,430		18,974
6.400%, 05/15/38		9,516		11,701
5.900%, 03/15/16		100		115
5.700%, 07/01/19		100		119
Comcast Cable Communications Holdings
9.455%, 11/15/22		5,200		7,585
COX Communications
8.375%, 03/01/39 (A)		5,215		7,555
6.950%, 06/01/38 (A)		4,883		6,080
5.450%, 12/15/14		25		27
CVS Caremark
6.250%, 06/01/27		2,540		3,176
6.125%, 09/15/39		7,205		8,880
5.750%, 05/15/41		6,225		7,390
CVS Pass-Through Trust
8.353%, 07/10/31 (A)		9,263		12,232
DIRECTV Holdings LLC
6.375%, 03/01/41		1,865		2,136
6.350%, 03/15/40		1,035		1,184
6.000%, 08/15/40		8,310		9,108
5.150%, 03/15/42		6,945		6,916
Discovery Communications LLC
4.950%, 05/15/42		1,750		1,829
Grupo Televisa
6.625%, 01/15/40		1,430		1,711
Historic TW
6.625%, 05/15/29		2,645		3,212
Home Depot
5.950%, 04/01/41		6,191		7,958
5.875%, 12/16/36		5,902		7,441

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Lowe’s
7.110%, 05/15/37	$	1,402	$	1,886
6.875%, 02/15/28		100		130
5.800%, 04/15/40		155		187
5.125%, 11/15/41		4,965		5,538
Macy’s Retail Holdings
7.450%, 07/15/17		40		49
McDonald’s MTN
6.300%, 03/01/38		6,145		8,568
4.875%, 07/15/40		1,410		1,693
3.700%, 02/15/42		740		725
NBC Universal
6.400%, 04/30/40		3,025		3,713
5.950%, 04/01/41		12,301		14,655
News America
8.150%, 10/17/36		2,605		3,271
7.850%, 03/01/39		6,275		7,923
7.625%, 11/30/28		4,666		5,564
7.430%, 10/01/26		1,450		1,764
6.900%, 08/15/39		5,750		6,900
6.750%, 01/09/38		2,260		2,598
6.650%, 11/15/37		8,480		9,772
6.400%, 12/15/35		1,500		1,706
6.150%, 02/15/41		6,300		7,221
Target
7.000%, 01/15/38		3,410		4,887
6.650%, 08/01/28		700		912
TCI Communications
7.875%, 02/15/26		3,190		4,250
Time Warner
7.700%, 05/01/32		5,718		7,574
7.625%, 04/15/31		12,920		16,828
6.950%, 01/15/28		290		361
6.250%, 03/29/41		8,908		10,556
6.100%, 07/15/40		1,835		2,105
5.375%, 10/15/41		7,245		7,840
Time Warner Cable
8.750%, 02/14/19		3,500		4,643
8.250%, 02/14/14		75		84
7.300%, 07/01/38		2,312		2,943
6.750%, 06/15/39		3,830		4,676
5.875%, 11/15/40		6,620		7,293
5.500%, 09/01/41		3,575		3,838
Time Warner Entertainment
8.375%, 03/15/23		100		134
8.375%, 07/15/33		7,520		10,380
Viacom
6.875%, 04/30/36		8,130		10,559
4.500%, 02/27/42		3,006		2,993
Wal-Mart Stores
7.550%, 02/15/30		1,300		1,942
6.200%, 04/15/38		2,650		3,523
5.625%, 04/01/40		12,715		16,171
5.625%, 04/15/41		14,040		17,876

132 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
5.250%, 09/01/35	$	50	$	59
5.000%, 10/25/40		12,945		15,161
Walt Disney
4.125%, 12/01/41		100		105
Yum! Brands
6.875%, 11/15/37		3,765		5,078
				374,753
Consumer Staples — 4.4%
Ahold Finance USA LLC
6.875%, 05/01/29		1,365		1,724
Altria Group
10.200%, 02/06/39		5,930		9,604
9.950%, 11/10/38		810		1,293
Anheuser-Busch InBev Worldwide
8.200%, 01/15/39		10,640		17,427
8.000%, 11/15/39		2,490		4,025
6.375%, 01/15/40		3,835		5,351
Anheuser-Busch LLC
6.450%, 09/01/37		2,300		3,160
5.950%, 01/15/33		220		279
Bestfoods
7.250%, 12/15/26		270		396
6.625%, 04/15/28		285		394
Diageo Capital
5.875%, 09/30/36		1,268		1,631
Dr. Pepper Snapple Group
7.450%, 05/01/38		395		573
Energizer Holdings
4.700%, 05/19/21		3,825		4,072
4.700%, 05/24/22		3,275		3,413
General Mills
5.400%, 06/15/40		1,320		1,575
HJ Heinz Finance
7.125%, 08/01/39 (A)		7,270		9,934
Kellogg
3.125%, 05/17/22		2,965		2,984
Kimberly-Clark
5.300%, 03/01/41		555		704
Kraft Foods
7.000%, 08/11/37		1,965		2,535
6.875%, 02/01/38		14,505		19,081
6.875%, 01/26/39		865		1,138
6.500%, 02/09/40		12,575		16,019
5.000%, 06/04/42 (A)		17,095		17,755
Kroger
6.400%, 08/15/17		40		48
5.000%, 04/15/42		4,465		4,522
Lorillard Tobacco
7.000%, 08/04/41		1,855		2,085
Massachusetts Institute of Technology
5.600%, 07/01/11		5,810		8,030
Molson Coors Brewing
5.000%, 05/01/42		4,186		4,459

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Pepsi Bottling Group
7.000%, 03/01/29	$	555	$	769
PepsiCo
5.500%, 01/15/40		2,585		3,196
4.875%, 11/01/40		1,855		2,116
4.000%, 03/05/42		12,235		12,241
3.000%, 08/25/21		16		16
Pernod-Ricard
5.500%, 01/15/42 (A)		2,250		2,311
Philip Morris International
6.375%, 05/16/38		3,550		4,835
4.500%, 03/20/42		9,000		9,817
President and Fellows of Harvard College
6.500%, 01/15/39 (A)		100		153
5.625%, 10/01/38		5,015		6,827
Procter & Gamble
8.000%, 09/01/24		3,210		4,777
Ralcorp Holdings
6.625%, 08/15/39		5,515		5,771
SABMiller
5.700%, 01/15/14 (A)		15		16
SABMiller Holdings
4.950%, 01/15/42 (A)		16,039		17,640
3.750%, 01/15/22 (A)		1,645		1,743
Safeway
7.250%, 02/01/31		550		615
4.750%, 12/01/21		1,680		1,670
Tufts University
5.017%, 04/15/12		10,700		12,153
Unilever Capital
5.900%, 11/15/32		1,465		2,024
University of Southern California
5.250%, 10/01/11		5,950		7,661
				240,562
Energy — 7.7%
Anadarko Finance
7.500%, 05/01/31		2,302		2,874
Anadarko Petroleum
6.450%, 09/15/36		2,440		2,851
Apache
6.900%, 09/15/18		10		13
5.250%, 02/01/42		310		361
5.100%, 09/01/40		3,090		3,515
4.750%, 04/15/43		10,570		11,587
BG Energy Capital
5.125%, 10/15/41 (A)		7,440		8,435
BP Capital Markets
3.561%, 11/01/21		2,695		2,823
Burlington Resources Finance
7.200%, 08/15/31		195		277
Cameron International
5.950%, 06/01/41		1,500		1,812

SEI Institutional Investments Trust / Annual Report / May 31, 2012 133

SCHEDULE OF INVESTMENTS

Long Duration Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Canadian Natural Resources
6.750%, 02/01/39	$	2,660	$	3,475
6.500%, 02/15/37		390		493
6.250%, 03/15/38		3,700		4,573
5.850%, 02/01/35		150		176
Cenovus Energy
6.750%, 11/15/39		10,165		12,991
CenterPoint Energy Resources
6.250%, 02/01/37		1,525		1,907
5.850%, 01/15/41		245		302
4.500%, 01/15/21		40		44
CNOOC Finance 2012
3.875%, 05/02/22 (A)		5,050		5,131
Conoco Funding
7.250%, 10/15/31		1,355		1,959
6.950%, 04/15/29		2,650		3,704
ConocoPhillips
6.500%, 02/01/39		21,245		29,176
5.900%, 10/15/32		375		476
5.900%, 05/15/38		6,895		8,962
Devon Energy
7.950%, 04/15/32		1,385		1,969
6.300%, 01/15/19		50		62
5.600%, 07/15/41		7,310		8,444
4.750%, 05/15/42		1,510		1,580
Devon Energy Financing
7.875%, 09/30/31		145		207
Diamond Offshore Drilling
5.700%, 10/15/39		11,378		13,682
Encana
6.625%, 08/15/37		705		805
6.500%, 02/01/38		4,625		5,176
5.150%, 11/15/41		1,615		1,540
Eni
5.700%, 10/01/40 (A)		5,550		5,776
Eni USA
7.300%, 11/15/27		2,330		3,045
Enterprise Products Operating LLC
6.650%, 10/15/34		3,570		4,431
6.125%, 10/15/39		275		320
5.700%, 02/15/42		14,007		15,591
4.850%, 08/15/42		2,150		2,144
Halliburton
7.600%, 08/15/96 (A)		1,275		1,921
4.500%, 11/15/41		495		523
Hess
7.875%, 10/01/29		5,113		6,755
7.300%, 08/15/31		2,555		3,250
6.000%, 01/15/40		2,409		2,721
5.600%, 02/15/41		4,865		5,231
Kinder Morgan Energy Partners
6.950%, 01/15/38		1,700		2,019
6.375%, 03/01/41		11,675		13,313
3.950%, 09/01/22		6,205		6,266

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Marathon Oil
6.600%, 10/01/37	$	6,185	$	7,815
Marathon Petroleum
6.500%, 03/01/41		14,193		15,740
Motiva Enterprises LLC
6.850%, 01/15/40 (A)		8,250		10,540
Noble Energy
4.150%, 12/15/21		2,210		2,321
Noble Holding International
6.200%, 08/01/40		2,810		3,299
6.050%, 03/01/41		145		164
3.950%, 03/15/22		11		11
ONEOK Partners
6.850%, 10/15/37		135		164
Panhandle Eastern Pipeline
8.125%, 06/01/19		1,600		1,996
Petrobras International Finance
6.875%, 01/20/40		5,490		6,410
6.750%, 01/27/41		7,875		9,076
5.875%, 03/01/18		600		663
Petro-Canada
7.875%, 06/15/26		55		75
6.800%, 05/15/38		4,150		5,217
5.950%, 05/15/35		760		882
Petroleos Mexicanos
6.500%, 06/02/41		1,750		1,964
6.500%, 06/02/41 (A)		765		859
Phillips 66
5.875%, 05/01/42 (A)		3,465		3,698
4.300%, 04/01/22 (A)		3,000		3,124
Reliance Holdings USA
5.400%, 02/14/22 (A)		3,300		3,285
Schlumberger Investment
3.300%, 09/14/21 (A)		2,225		2,338
Shell International Finance
6.375%, 12/15/38		7,118		9,878
5.500%, 03/25/40		6,550		8,415
3.100%, 06/28/15		100		107
Sinopec Group Overseas Development 2012
3.900%, 05/17/22 (A)		2,725		2,774
Southern Natural Gas
7.350%, 02/15/31		870		1,072
Spectra Energy Capital LLC
7.500%, 09/15/38		3,173		4,268
6.750%, 02/15/32		3,000		3,675
Statoil
6.800%, 01/15/28		620		848
6.500%, 12/01/28 (A)		1,630		2,198
5.250%, 04/15/19		50		60
3.150%, 01/23/22		1,005		1,049
Suncor Energy
6.850%, 06/01/39		2,400		3,051
6.500%, 06/15/38		6,125		7,498

134 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Talisman Energy
5.500%, 05/15/42	$	2,530	$	2,595
Tennessee Gas Pipeline
8.375%, 06/15/32		8,555		11,496
7.000%, 10/15/28		6,130		7,713
Texaco Capital
8.625%, 11/15/31		5,005		8,210
Texas Eastern Transmission
7.000%, 07/15/32		1,523		2,031
Total Capital
2.300%, 03/15/16		75		78
Total Capital International
2.875%, 02/17/22		1,930		1,954
TransCanada Pipelines
7.625%, 01/15/39		2,800		4,139
7.250%, 08/15/38		3,100		4,449
6.100%, 06/01/40		3,985		5,211
Transcontinental Gas Pipeline LLC
7.250%, 12/01/26		2,490		3,516
5.400%, 08/15/41		2,335		2,731
Valero Energy
10.500%, 03/15/39		5,173		7,820
6.625%, 06/15/37		3,720		4,135
6.125%, 02/01/20		3,007		3,507
Weatherford International
5.950%, 04/15/42		5,385		5,681
Williams
8.750%, 03/15/32		472		658
7.875%, 09/01/21		1,603		2,082
7.750%, 06/15/31		1,818		2,303
7.500%, 01/15/31		60		76
Williams Partners
4.000%, 11/15/21		375		389
XTO Energy
6.375%, 06/15/38		195		294
6.100%, 04/01/36		1,742		2,471
				422,761
Financials — 16.7%
ABB Treasury Center USA
4.000%, 06/15/21 (A)		5,900		6,393
ACE INA Holdings
6.700%, 05/15/36		4,677		6,479
Aflac
6.900%, 12/17/39		8,565		10,542
6.450%, 08/15/40		2,510		2,931
AIG SunAmerica Global Financing X
6.900%, 03/15/32 (A)		10		12
Alexandria Real Estate Equities‡
4.600%, 04/01/22		2,150		2,212
Allstate
5.550%, 05/09/35		75		87
5.200%, 01/15/42		9,421		10,466

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Alta Wind Holdings
7.000%, 06/30/35 (A)	$	4,723	$	5,263
American Express
8.150%, 03/19/38		8,255		13,058
7.250%, 05/20/14		125		139
5.875%, 05/02/13		75		78
American Express Credit MTN
2.800%, 09/19/16		33		34
American International Group
5.850%, 01/16/18		800		877
4.875%, 06/01/22		4,640		4,675
ASIF Global Financing XIX
4.900%, 01/17/13 (A)		100		101
Assurant
6.750%, 02/15/34		4,835		5,464
Bank of America MTN
8.070%, 12/31/26 (A)		5,095		5,120
7.800%, 09/15/16		65		71
6.500%, 08/01/16		50		54
6.000%, 09/01/17		355		377
6.000%, 10/15/36		14,670		14,380
5.875%, 02/07/42		12,326		12,584
5.750%, 12/01/17		6,300		6,555
5.650%, 05/01/18		6,860		7,146
5.625%, 07/01/20		150		155
5.000%, 05/13/21		5,450		5,469
4.900%, 05/01/13		40		41
3.625%, 03/17/16		260		257
1.886%, 01/30/14 (B)		1,700		1,673
Bank of New York Mellon
4.600%, 01/15/20		50		57
4.150%, 02/01/21		50		55
3.550%, 09/23/21		59		63
Barclays Bank
5.200%, 07/10/14		150		158
5.125%, 01/08/20		130		139
2.750%, 02/23/15		100		100
Bear Stearns
7.250%, 02/01/18		400		472
6.400%, 10/02/17		9,175		10,471
Berkshire Hathaway
3.750%, 08/15/21		98		104
3.400%, 01/31/22		116		120
Berkshire Hathaway Finance
4.400%, 05/15/42		7,000		7,038
2.450%, 12/15/15		13		14
BlackRock
3.375%, 06/01/22		4,965		5,026
Blackstone Holdings Finance LLC
6.625%, 08/15/19 (A)		7,974		8,768
Boston Properties‡
3.850%, 02/01/23		3,700		3,692
BRE Properties‡
5.500%, 03/15/17		750		831

SEI Institutional Investments Trust / Annual Report / May 31, 2012 135

SCHEDULE OF INVESTMENTS

Long Duration Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Camden Property Trust‡
4.625%, 06/15/21	$	3,425	$	3,707
Capital One Capital V
10.250%, 08/15/39		275		285
Capital One Capital VI
8.875%, 05/15/40		4,550		4,640
Capital One Financial
6.750%, 09/15/17		200		239
CDP Financial
5.600%, 11/25/39 (A)		12,105		15,442
Chase Capital II
0.966%, 02/01/27 (B)		4,984		3,590
Chase Capital VI
1.091%, 08/01/28 (B)		2,695		2,048
Chubb
6.500%, 05/15/38		7,275		10,045
Citigroup
8.500%, 05/22/19		75		92
8.125%, 07/15/39		8,860		11,751
6.875%, 03/05/38		20,862		24,473
6.875%, 02/15/98		1,765		1,864
6.625%, 06/15/32		600		643
6.375%, 08/12/14		50		54
6.125%, 11/21/17		100		108
6.125%, 08/25/36		7,480		7,384
6.010%, 01/15/15		50		54
6.000%, 12/13/13		125		131
6.000%, 08/15/17		50		54
5.875%, 05/29/37		5,261		5,664
5.875%, 01/30/42		2,000		2,128
5.850%, 12/11/34		700		734
5.500%, 02/15/17		9,005		9,278
4.587%, 12/15/15		39		41
2.650%, 03/02/15		150		149
Citigroup Capital XXI
8.300%, 12/21/57 (B)		1,100		1,112
CNA Financial
5.875%, 08/15/20		25		27
Commonwealth Bank of Australia
5.000%, 10/15/19 (A)		4,250		4,712
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA
5.800%, 09/30/10 (A)		12,855		13,247
4.500%, 01/11/21		75		79
Credit Suisse NY MTN
5.400%, 01/14/20		270		274
Deutsche Bank MTN
4.875%, 05/20/13		50		52
Deutsche Bank Capital Funding Trust
5.628%, 01/19/49 (A) (B)		3,195		2,572
Deutsche Bank Financial LLC MTN
5.375%, 03/02/15		25		26
Devon OEI Operating LLC
7.500%, 09/15/27		1,550		2,056

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Discover Bank
8.700%, 11/18/19	$	6,275	$	8,006
7.000%, 04/15/20		250		292
ERP Operating‡
4.625%, 12/15/21		55		60
Farmers Exchange Capital
7.050%, 07/15/28 (A)		17,515		20,356
First Union
7.575%, 08/01/26 (C)		5,735		7,404
FleetBoston Financial
6.875%, 01/15/28		3,250		3,363
FMR
6.500%, 12/14/40 (A)		1,000		1,169
General Electric Capital MTN
6.875%, 01/10/39		30,240		38,704
6.750%, 03/15/32		9,050		11,132
6.150%, 08/07/37		800		938
6.000%, 08/07/19		150		176
5.875%, 01/14/38		26,445		30,069
5.625%, 09/15/17		125		143
5.625%, 05/01/18		200		227
4.750%, 09/15/14		225		242
4.625%, 01/07/21		650		710
General Electric Capital Services
7.500%, 08/21/35		385		509
Goldman Sachs Group
7.500%, 02/15/19		376		427
6.750%, 10/01/37		21,020		20,674
6.250%, 09/01/17		600		639
6.250%, 02/01/41		21,478		21,628
6.150%, 04/01/18		1,100		1,148
6.125%, 02/15/33		5,210		5,220
5.950%, 01/15/27		2,940		2,867
5.750%, 01/24/22		6,830		7,007
5.375%, 03/15/20		175		178
5.250%, 07/27/21		123		122
3.700%, 08/01/15		55		55
3.625%, 02/07/16		45		44
Guardian Life Insurance of America
7.375%, 09/30/39 (A)		8,450		11,059
Hartford Financial Services Group
6.625%, 03/30/40		2,110		2,194
6.625%, 04/15/42		4,020		4,179
6.100%, 10/01/41		8,090		7,877
HBOS MTN
6.750%, 05/21/18 (A)		5,900		5,406
HCP‡
6.750%, 02/01/41		6,175		7,759
6.700%, 01/30/18		2,295		2,679
6.300%, 09/15/16		2,195		2,484
3.750%, 02/01/19		17		17
Health Care REIT
6.500%, 03/15/41		11,510		12,687
4.950%, 01/15/21		2,025		2,144

136 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Healthcare Realty Trust‡
5.750%, 01/15/21	$	1,275	$	1,361
HSBC Bank
4.750%, 01/19/21 (A)		150		163
HSBC Bank USA
7.000%, 01/15/39		3,075		3,564
5.875%, 11/01/34		500		520
HSBC Finance
5.000%, 06/30/15		100		107
4.750%, 07/15/13		100		103
HSBC Holdings
6.800%, 06/01/38		335		380
6.500%, 09/15/37		11,880		13,286
5.100%, 04/05/21		4,581		5,068
4.000%, 03/30/22		2,300		2,341
ING Bank
1.868%, 06/09/14 (A) (B)		1,800		1,775
International Lease Finance
7.125%, 09/01/18 (A)		1,500		1,650
6.750%, 09/01/16 (A)		3,700		3,968
Jefferies Group
8.500%, 07/15/19		2,710		2,873
6.875%, 04/15/21		1,768		1,706
JPMorgan Chase
6.400%, 05/15/38		10,380		12,197
6.300%, 04/23/19		3,775		4,386
6.000%, 10/01/17		2,890		3,213
5.600%, 07/15/41		10,965		11,937
5.400%, 01/06/42		8,800		9,531
4.625%, 05/10/21		2,160		2,289
4.500%, 01/24/22		2,580		2,752
0.804%, 06/13/16 (B)		2,000		1,836
JPMorgan Chase Capital XIII
1.420%, 09/30/34 (B)		3,650		2,754
JPMorgan Chase Capital XXV
6.800%, 10/01/37		220		222
JPMorgan Chase Capital XXVII
7.000%, 11/01/39		315		315
KKR Group Finance
6.375%, 09/29/20 (A)		4,670		5,026
Liberty Mutual Group
6.500%, 05/01/42 (A)		9,835		10,008
Lincoln National
7.000%, 06/15/40		1,440		1,719
6.300%, 10/09/37		220		243
6.150%, 04/07/36		95		102
Lloyds TSB Bank
6.375%, 01/21/21		4,000		4,314
Macquarie Bank MTN
6.625%, 04/07/21 (A)		9,140		9,184
5.000%, 02/22/17 (A)		65		66
Macquarie Group
7.300%, 08/01/14 (A)		50		53
6.250%, 01/14/21 (A)		40		41
6.000%, 01/14/20 (A)		100		100

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Massachusetts Mutual Life Insurance
8.875%, 06/01/39 (A)	$	6,875	$	10,096
5.375%, 12/01/41 (A)		5,795		6,449
Merrill Lynch
8.950%, 05/18/17 (B)		1,340		1,484
8.680%, 05/02/17 (B)		1,305		1,442
7.750%, 05/14/38		3,970		4,513
6.110%, 01/29/37		5,925		5,680
MetLife
10.750%, 08/01/39		405		555
7.800%, 11/01/25 (A)		5,100		6,762
6.400%, 12/15/36		5,520		5,245
6.375%, 06/15/34		615		768
5.875%, 02/06/41		6,425		7,903
Metropolitan Life Global Funding I
3.125%, 01/11/16 (A)		100		105
2.000%, 01/09/15 (A)		250		254
Morgan Stanley MTN
7.300%, 05/13/19		1,683		1,745
7.250%, 04/01/32		150		155
6.625%, 04/01/18		7,065		7,171
6.250%, 08/28/17		200		201
6.000%, 04/28/15		100		102
5.950%, 12/28/17		100		100
5.750%, 01/25/21		150		141
5.625%, 09/23/19		15,775		15,051
5.500%, 01/26/20		5,798		5,449
National Australia Bank MTN
4.375%, 12/10/20 (A)		5,690		6,194
3.750%, 03/02/15 (A)		100		105
3.000%, 07/27/16 (A)		150		155
National Bank of Canada
1.650%, 01/30/14 (A)		250		254
National City
4.900%, 01/15/15		50		55
National Rural Utilities Cooperative Finance MTN
8.000%, 03/01/32		620		916
Nationwide Mutual Insurance
9.375%, 08/15/39 (A)		550		723
7.875%, 04/01/33 (A)		3,659		4,152
6.600%, 04/15/34 (A)		1,767		1,753
New York Life Global Funding MTN
5.375%, 09/15/13 (A)		50		53
2.450%, 07/14/16 (A)		50		52
New York Life Insurance
6.750%, 11/15/39 (A)		15,145		20,113
Northwestern Mutual Life Insurance
6.063%, 03/30/40 (A)		10,880		13,629
PACCAR Financial MTN
1.600%, 03/15/17		33		33
Pacific Life Insurance
9.250%, 06/15/39 (A)		25		32

SEI Institutional Investments Trust / Annual Report / May 31, 2012 137

SCHEDULE OF INVESTMENTS

Long Duration Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
PNC Funding
6.700%, 06/10/19	$	100	$	125
5.125%, 02/08/20		1,510		1,742
Prudential Financial MTN
6.625%, 06/21/40		1,000		1,170
6.200%, 11/15/40		1,315		1,459
5.700%, 12/14/36		5,385		5,681
Prudential Holdings LLC
8.695%, 12/18/23 (A)		9,287		11,472
Prudential Insurance of America
8.300%, 07/01/25 (A)		5,830		7,774
Raymond James Financial
5.625%, 04/01/24		1,950		2,061
Royal Bank of Scotland Group
7.648%, 08/31/49 (B)		1,900		1,449
Security Benefit Life
7.450%, 10/01/33 (A)		6,575		5,852
Siemens Financieringsmaatschappij
6.125%, 08/17/26 (A)		600		759
Simon Property Group‡
10.350%, 04/01/19		1,995		2,806
6.750%, 02/01/40		8,135		10,103
4.750%, 03/15/42		7,275		7,429
4.375%, 03/01/21		100		109
SL Green Realty‡
5.000%, 08/15/18		4,000		4,090
Teachers Insurance & Annuity Association of America
6.850%, 12/16/39 (A)		11,800		15,480
Toyota Motor Credit MTN
3.400%, 09/15/21		4,480		4,762
Travelers
5.350%, 11/01/40		6,090		7,341
UBS MTN
5.750%, 04/25/18		200		219
US Bancorp MTN
4.125%, 05/24/21		22		25
Ventas Realty‡
4.750%, 06/01/21		4,000		4,181
Wachovia MTN
5.750%, 06/15/17		150		174
5.750%, 02/01/18		350		405
Wachovia Bank
6.600%, 01/15/38		12,440		15,576
5.850%, 02/01/37		5,230		5,963
5.000%, 08/15/15		250		271
WEA Finance LLC
7.125%, 04/15/18 (A)		25		30
6.750%, 09/02/19 (A)		4,815		5,730
Wells Fargo MTN
4.600%, 04/01/21		100		110
3.676%, 06/15/16 (C)		100		106
Wells Fargo Bank
5.950%, 08/26/36		900		1,031

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Westpac Banking
4.875%, 11/19/19	$	3,840	$	4,202
Weyerhaeuser‡
7.375%, 03/15/32		500		565
ZFS Finance USA Trust II
6.450%, 12/15/65 (A) (B)		3,650		3,541
ZFS Finance USA Trust IV
2.281%, 05/09/32 (A) (B)		4,250		4,244
				919,330
Health Care — 3.8%
Abbott Laboratories
6.150%, 11/30/37		515		684
5.300%, 05/27/40		6,195		7,464
Aetna
6.750%, 12/15/37		2,970		3,871
4.500%, 05/15/42		3,990		3,979
Amgen
6.400%, 02/01/39		3,400		4,064
5.650%, 06/15/42		5,425		6,000
5.375%, 05/15/43		9,160		9,834
5.150%, 11/15/41		14,450		14,902
4.950%, 10/01/41		825		829
3.875%, 11/15/21		1,225		1,283
Aristotle Holding
6.125%, 11/15/41 (A)		11,590		14,004
3.900%, 02/15/22 (A)		1,640		1,702
AstraZeneca
6.450%, 09/15/37		6,297		8,591
Becton Dickinson
3.125%, 11/08/21		1,010		1,055
Boston Scientific
7.375%, 01/15/40		2,610		3,519
6.000%, 01/15/20		1,275		1,513
Celgene
5.700%, 10/15/40		7,047		7,956
Cigna
5.875%, 03/15/41		455		522
Eli Lilly
7.125%, 06/01/25		410		576
GlaxoSmithKline Capital
6.375%, 05/15/38		6,355		8,692
2.850%, 05/08/22		4,940		4,996
Highmark
6.125%, 05/15/41 (A)		3,405		3,729
4.750%, 05/15/21 (A)		1,330		1,381
Johnson & Johnson
5.950%, 08/15/37		1,235		1,724
5.850%, 07/15/38		3,105		4,303
Kaiser Foundation Hospitals
4.875%, 04/01/42		6,875		7,515
Mead Johnson Nutrition
5.900%, 11/01/39		2,220		2,802

138 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description		Face Amount ($ Thousands)		Market Value ($ Thousands)
Memorial Sloan-Kettering Cancer Center
5.000%, 07/01/42		$	2,845	$	3,318
Merck MTN
6.550%, 09/15/37			1,265		1,840
6.500%, 12/01/33			605		865
6.400%, 03/01/28			275		380
5.950%, 12/01/28			390		515
5.850%, 06/30/39			8,070		10,890
5.760%, 05/03/37			3,336		4,404
Pfizer
7.200%, 03/15/39			10,225		15,556
Roche Holdings
7.000%, 03/01/39 (A)			13,510		19,932
UnitedHealth Group
6.625%, 11/15/37			4,355		5,791
6.500%, 06/15/37			800		1,054
5.800%, 03/15/36			215		259
WellPoint
5.950%, 12/15/34			710		836
5.875%, 06/15/17			50		59
4.625%, 05/15/42			2,400		2,419
2.375%, 02/15/17			20		20
Wyeth
6.000%, 02/15/36			2,985		3,956
5.950%, 04/01/37			5,361		7,050
					206,634
Industrials — 4.0%
American Airlines Pass-Through Trust, Ser 2011-1, Cl A
5.250%, 01/31/21			15		15
American Airlines Pass-Through Trust, Ser 2011-2, Cl A
8.625%, 10/15/21			14		14
BAA Funding	��
4.875%, 07/15/21 (A)			5,570		5,926
BAE Systems
5.800%, 10/11/41 (A)			8,555		9,824
BAE Systems Holdings
5.200%, 08/15/15 (A)			15		16
Boeing
6.875%, 03/15/39			821		1,222
6.625%, 02/15/38			1,110		1,592
5.875%, 02/15/40			5,085		6,706
Burlington Northern Santa Fe LLC
7.290%, 06/01/36			2,228		2,976
6.200%, 08/15/36			5,600		7,075
6.150%, 05/01/37			1,660		2,092
5.750%, 05/01/40			510		611
5.650%, 05/01/17			2,830		3,320
4.400%, 03/15/42			8,745		8,763
3.450%, 09/15/21			10		10
Caterpillar
5.200%, 05/27/41			8,555		10,345

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Continental Airlines
5.983%, 04/19/22	$	10,405	$	11,289
Continental Airlines 2012-1 Cl A Pass-Through Trusts
4.150%, 04/11/24		3,940		3,891
Continental Airlines Pass-Through Trust, Ser 2009-1
9.000%, 07/08/16		5,773		6,610
CSX
6.150%, 05/01/37		730		882
4.750%, 05/30/42		9,845		10,055
DaimlerChrysler
8.500%, 01/18/31		300		458
Deere
7.125%, 03/03/31		456		653
Delta Air Lines Pass-Through Trust, Ser 2009-1, Cl A
7.750%, 12/17/19		1,286		1,469
Delta Air Lines Pass-Through Trust, Ser 2011-1, Cl A
5.300%, 04/15/19		8		9
Dover
5.375%, 03/01/41		2,045		2,544
Ford Motor
7.400%, 11/01/46		9,815		11,778
Honeywell International
5.700%, 03/15/37		300		376
5.375%, 03/01/41		295		363
Lockheed Martin
5.720%, 06/01/40		2,432		2,916
5.500%, 11/15/39		7,145		8,293
Norfolk Southern
6.000%, 03/15/05		5,503		6,838
6.000%, 05/23/11		10,946		13,337
5.900%, 06/15/19		4,395		5,387
5.590%, 05/17/25		545		665
Pitney Bowes
6.250%, 03/15/19		15		15
5.000%, 03/15/15		50		52
Raytheon
4.700%, 12/15/41		300		323
Republic Services
6.200%, 03/01/40		90		108
5.700%, 05/15/41		6,325		7,224
3.550%, 06/01/22		2,890		2,929
Union Pacific
6.625%, 02/01/29		2,151		2,906
5.780%, 07/15/40		5,314		6,643
4.163%, 07/15/22		108		121
United Technologies
6.125%, 07/15/38		250		324
5.700%, 04/15/40		13,905		17,239
4.500%, 06/01/42		15,555		16,660
3.100%, 06/01/22		3,075		3,193

SEI Institutional Investments Trust / Annual Report / May 31, 2012 139

SCHEDULE OF INVESTMENTS

Long Duration Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
US Airways 2012-1 Cl A Pass-Through Trust
5.900%, 10/01/24	$	2,500	$	2,541
US Airways Pass-Through Trust, Ser 2011-1, Cl A
7.125%, 10/22/23		1,968		2,086
Waste Management
7.750%, 05/15/32		200		283
7.375%, 03/11/19		25		32
7.100%, 08/01/26		130		172
7.000%, 07/15/28		420		568
6.125%, 11/30/39		3,590		4,461
4.600%, 03/01/21		4,307		4,812
				221,012
Information Technology — 1.6%
Applied Materials
5.850%, 06/15/41		5,484		6,589
Cisco Systems
5.900%, 02/15/39		2,450		3,102
5.500%, 01/15/40		4,470		5,501
Fiserv
4.750%, 06/15/21		2,090		2,277
4.625%, 10/01/20		720		774
Hewlett-Packard
6.000%, 09/15/41		395		430
4.650%, 12/09/21		2,465		2,555
HP Enterprise Services LLC
6.000%, 08/01/13		85		90
Intel
4.800%, 10/01/41		11,015		12,309
International Business Machines
6.220%, 08/01/27		3,370		4,445
5.875%, 11/29/32		790		1,049
5.600%, 11/30/39		7,095		9,354
Intuit
5.750%, 03/15/17		25		29
Juniper Networks
5.950%, 03/15/41		7,430		8,798
Microsoft
5.300%, 02/08/41		2,390		3,054
5.200%, 06/01/39		495		621
4.500%, 10/01/40		525		602
Oracle
6.500%, 04/15/38		8,400		11,434
6.125%, 07/08/39		6,290		8,217
5.375%, 07/15/40		5,460		6,649
				87,879
Materials — 1.3%
Alcoa
5.950%, 02/01/37		2,700		2,660

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
ArcelorMittal
7.000%, 10/15/39	$	8,055	$	7,754
6.750%, 03/01/41		2,025		1,890
6.250%, 02/25/22		400		397
Barrick North America Finance LLC
5.700%, 05/30/41		235		264
BHP Billiton Finance USA
3.250%, 11/21/21		555		580
2.875%, 02/24/22		6,970		7,050
Dow Chemical
7.375%, 11/01/29		2,791		3,697
5.250%, 11/15/41		350		376
Newcrest Finance
5.750%, 11/15/41 (A)		5,000		5,250
Newmont Mining
5.875%, 04/01/35		100		108
4.875%, 03/15/42		13,674		13,109
PPG Industries
6.650%, 03/15/18		130		161
Rio Tinto Finance USA
9.000%, 05/01/19		150		206
7.125%, 07/15/28		135		186
3.750%, 09/20/21		682		729
3.500%, 11/02/20		50		53
3.500%, 03/22/22		5,200		5,460
Rohm & Haas
7.850%, 07/15/29		1,175		1,537
Southern Copper
7.500%, 07/27/35		4,574		5,166
6.750%, 04/16/40		90		94
Teck Resources
6.250%, 07/15/41		2,410		2,679
6.000%, 08/15/40		180		196
5.200%, 03/01/42		2,835		2,732
Union Carbide
7.750%, 10/01/96		25		29
Vale Overseas
6.875%, 11/21/36		4,020		4,600
6.875%, 11/10/39		1,200		1,382
Xstrata Canada Financial
6.000%, 11/15/41 (A)		5,800		5,907
				74,252
Telecommunication Services — 3.7%
Alltel
7.875%, 07/01/32		1,765		2,694
6.800%, 05/01/29		750		1,011
America Movil
6.375%, 03/01/35		130		157
6.125%, 03/30/40		10		12
AT&T
8.000%, 11/15/31		1,723		2,558
6.550%, 02/15/39		6,175		7,883
6.500%, 09/01/37		5,245		6,607

140 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
6.400%, 05/15/38	$	2,670	$	3,324
6.300%, 01/15/38		12,850		15,899
5.600%, 05/15/18		100		119
5.550%, 08/15/41		14,290		16,748
5.350%, 09/01/40		15,232		17,165
5.100%, 09/15/14		50		55
4.950%, 01/15/13		100		103
3.000%, 02/15/22		50		51
AT&T Mobility LLC
7.125%, 12/15/31		275		370
BellSouth
5.200%, 09/15/14		50		54
BellSouth Capital Funding
7.120%, 07/15/97		6,890		8,522
BellSouth Telecommunications
7.000%, 12/01/95		6,159		7,490
0.000%, 12/15/15 (C)		1,265		1,201
British Telecommunications
9.625%, 12/15/30 (C)		4,485		6,779
Centel Capital
9.000%, 10/15/19		25		29
CenturyLink
7.650%, 03/15/42		5,745		5,475
7.600%, 09/15/39		3,340		3,179
Corning
5.750%, 08/15/40		900		1,063
Deutsche Telekom International Finance BV
9.250%, 06/01/32		1,125		1,675
8.750%, 06/15/30		4,010		5,536
4.875%, 03/06/42 (A)		8,250		7,897
Embarq
7.995%, 06/01/36		575		589
France Telecom
5.375%, 01/13/42		4,700		4,884
GTE
8.750%, 11/01/21		100		143
6.940%, 04/15/28		2,040		2,595
Koninklijke KPN
8.375%, 10/01/30		270		362
Motorola Solutions
7.500%, 05/15/25		1,170		1,458
New Cingular Wireless Services
8.750%, 03/01/31		955		1,470
Telecom Italia Capital
7.721%, 06/04/38		8,325		7,326
7.200%, 07/18/36		3,645		3,116
6.375%, 11/15/33		60		48
6.175%, 06/18/14		50		50
6.000%, 09/30/34		5,375		4,139
Telefonica Emisiones
6.421%, 06/20/16		75		74
Telefonica Emisiones SAU
7.045%, 06/20/36		4,340		3,851
6.221%, 07/03/17		65		63

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
5.462%, 02/16/21	$	152	$	136
5.134%, 04/27/20		165		146
Verizon Communications
8.950%, 03/01/39		550		890
8.750%, 11/01/18		165		226
7.350%, 04/01/39		5,760		8,212
6.900%, 04/15/38		100		136
6.400%, 02/15/38		9,358		12,063
6.250%, 04/01/37		1,465		1,857
6.000%, 04/01/41		4,620		5,841
5.500%, 02/15/18		100		118
4.750%, 11/01/41		15,705		17,136
4.600%, 04/01/21		2,760		3,162
Verizon Global Funding
7.750%, 12/01/30		1,000		1,410
Vodafone Group
6.250%, 11/30/32		220		277
6.150%, 02/27/37		300		380
				205,814
Utilities — 6.8%
AGL Capital
6.375%, 07/15/16		100		116
5.875%, 03/15/41		3,718		4,653
3.500%, 09/15/21		68		71
Alabama Power
6.125%, 05/15/38		24		32
American Transmission Systems
5.250%, 01/15/22 (A)		1,135		1,300
American Water Capital
6.085%, 10/15/17		25		29
Appalachian Power
7.000%, 04/01/38		600		820
6.700%, 08/15/37		50		65
5.800%, 10/01/35		125		147
4.600%, 03/30/21		605		678
Arizona Public Service
8.750%, 03/01/19		2,705		3,612
4.500%, 04/01/42		12		13
Baltimore Gas & Electric
6.350%, 10/01/36		125		170
5.200%, 06/15/33		4,225		4,813
Black Hills Power
6.125%, 11/01/39		1,800		2,464
Boston Gas
4.487%, 02/15/42 (A)		3,472		3,753
Bruce Mansfield Unit
6.850%, 06/01/34		2,764		3,031
Cedar Brakes II LLC
9.875%, 09/01/13 (A)		436		451
CenterPoint Energy
6.500%, 05/01/18		130		156
CenterPoint Energy Houston Electric LLC
7.000%, 03/01/14		25		27

SEI Institutional Investments Trust / Annual Report / May 31, 2012 141

SCHEDULE OF INVESTMENTS

Long Duration Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Connecticut Light & Power
5.650%, 05/01/18	$	35	$	42
Consolidated Edison of New York
6.750%, 04/01/38		3,470		4,985
6.300%, 08/15/37		1,440		1,958
Coso Geothermal Power Holdings
7.000%, 07/15/26 (A)		2,701		1,625
Detroit Edison
3.900%, 06/01/21		30		34
Dominion Resources
5.250%, 08/01/33		8,305		9,887
4.900%, 08/01/41		13,598		15,271
Duke Energy
3.550%, 09/15/21		17		18
2.150%, 11/15/16		25		26
Duke Energy Carolinas LLC
6.100%, 06/01/37		5,000		6,662
6.000%, 12/01/28		75		94
5.300%, 02/15/40		10,585		13,045
3.900%, 06/15/21		50		56
Duke Energy Indiana
6.350%, 08/15/38		2,150		2,980
Duquesne Light Holdings
6.250%, 08/15/35		3,750		3,672
Elm Road Generating Station Supercritical LLC
5.848%, 01/19/41 (A)		3,007		3,630
Enel Finance International
6.000%, 10/07/39 (A)		4,605		3,718
Entergy Louisiana LLC
4.800%, 05/01/21		1,000		1,133
Entergy Texas
7.125%, 02/01/19		2,215		2,728
Exelon Generation LLC
6.250%, 10/01/39		4,480		5,334
5.750%, 10/01/41		14,111		16,413
5.200%, 10/01/19		100		112
FirstEnergy, Ser C
7.375%, 11/15/31		7,355		9,364
Florida Power
6.400%, 06/15/38		525		721
6.350%, 09/15/37		2,940		3,965
Florida Power & Light
5.960%, 04/01/39		4,665		6,286
5.400%, 09/01/35		3,200		3,947
4.050%, 06/01/42		6,000		6,248
Georgia Power
5.950%, 02/01/39		3,850		5,023
5.400%, 06/01/40		8,980		10,969
4.300%, 03/15/42		7,065		7,285
Iberdrola Finance Ireland
5.000%, 09/11/19 (A)		3,700		3,436
Iberdrola International BV
6.750%, 07/15/36		245		240

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Indiana Michigan Power
6.050%, 03/15/37	$	500	$	614
Indianapolis Power & Light
6.050%, 10/01/36 (A)		2,001		2,509
4.875%, 11/01/41 (A)		3,290		3,695
John Sevier Combined Cycle Generation LLC
4.626%, 01/15/42		94		106
Kansas City Power & Light
7.150%, 04/01/19		2,680		3,442
5.300%, 10/01/41		775		866
KCP&L Greater Missouri Operations
8.270%, 11/15/21		5,100		6,418
Kentucky Utilities
5.125%, 11/01/40		3,035		3,660
KeySpan Gas East
5.819%, 04/01/41 (A)		9,585		12,227
MidAmerican Energy MTN
6.750%, 12/30/31		625		836
5.800%, 10/15/36		1,270		1,585
MidAmerican Energy Holdings
6.500%, 09/15/37		9,765		13,025
6.125%, 04/01/36		1,555		1,971
5.950%, 05/15/37		555		698
Midamerican Funding LLC
6.927%, 03/01/29		170		224
Nevada Power
6.750%, 07/01/37		350		483
6.650%, 04/01/36		110		150
5.450%, 05/15/41		36		44
5.375%, 09/15/40		310		369
NextEra Energy Capital Holdings
6.000%, 03/01/19		4,000		4,708
4.500%, 06/01/21		4,350		4,743
Nisource Finance
6.250%, 12/15/40		5,320		6,219
5.950%, 06/15/41		4,270		4,943
5.800%, 02/01/42		2,000		2,272
Northern States Power
5.350%, 11/01/39		20		25
Oncor Electric Delivery
6.800%, 09/01/18		35		42
Oncor Electric Delivery LLC
7.250%, 01/15/33		245		307
7.000%, 09/01/22		175		215
7.000%, 05/01/32		428		522
5.300%, 06/01/42 (A)		12,015		12,331
5.250%, 09/30/40		5,165		5,330
4.550%, 12/01/41 (A)		2,425		2,269
4.100%, 06/01/22 (A)		3,570		3,626
Pacific Gas & Electric
6.350%, 02/15/38		1,000		1,347
6.250%, 03/01/39		5,300		7,069

142 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
6.050%, 03/01/34	$	5,195	$	6,628
5.800%, 03/01/37		3,426		4,284
4.500%, 12/15/41		1,660		1,783
3.250%, 09/15/21		18		19
PacifiCorp
6.000%, 01/15/39		1,700		2,248
5.750%, 04/01/37		75		96
5.500%, 01/15/19		310		373
Pennsylvania Electric
6.150%, 10/01/38		10,020		12,085
6.050%, 09/01/17		50		58
Potomac Electric Power
6.500%, 11/15/37		165		230
PPL Energy Supply LLC
4.600%, 12/15/21		100		104
Progress Energy
7.050%, 03/15/19		4,500		5,727
4.400%, 01/15/21		25		28
PSEG Power LLC
5.125%, 04/15/20		50		56
4.150%, 09/15/21		127		135
Public Service of Colorado
6.500%, 08/01/38		725		1,037
6.250%, 09/01/37		2,440		3,372
4.750%, 08/15/41		2,400		2,769
Public Service of Oklahoma
4.400%, 02/01/21		27		30
Puget Sound Energy
5.795%, 03/15/40		300		392
5.764%, 07/15/40		340		443
San Diego Gas & Electric
6.000%, 06/01/26		625		831
5.350%, 05/15/40		1,350		1,745
3.950%, 11/15/41		27		28
Sempra Energy
9.800%, 02/15/19		50		70
6.000%, 10/15/39		3,720		4,719
South Carolina Electric & Gas
6.625%, 02/01/32		210		279
6.050%, 01/15/38		400		518
5.450%, 02/01/41		85		103
Southern
1.950%, 09/01/16		27		28
Southern California Edison
6.650%, 04/01/29		50		66
6.050%, 03/15/39		7,050		9,530
6.000%, 01/15/34		385		505
5.950%, 02/01/38		510		677
5.500%, 08/15/18		25		30
5.500%, 03/15/40		160		203
Southern Union
8.250%, 11/15/29		3,075		3,772
Southwestern Electric Power
6.200%, 03/15/40		6,680		8,264

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Southwestern Public Service
8.750%, 12/01/18	$	40	$	54
Texas-New Mexico Power
9.500%, 04/01/19 (A)		4,582		6,294
Union Electric
8.450%, 03/15/39		3,725		6,418
Wisconsin Electric Power
2.950%, 09/15/21		3		3
Xcel Energy
4.800%, 09/15/41		1		1
				372,233
Total Corporate Obligations (Cost $2,816,492) ($ Thousands)				3,125,230
MUNICIPAL BONDS — 4.6%
Bay Area, Toll Authority, Build America Project, RB
6.263%, 04/01/49		5,395		7,475
City of Gainesville, Build America Project, RB
6.024%, 10/01/40		3,350		4,251
City of Houston, Utility System Revenue, Ser A, RB Callable 05/15/19 @ 100
5.250%, 11/15/33		500		572
City of New York, Build America Project, GO
5.968%, 03/01/36		120		152
City of New York, Build America Project, GO Callable 10/01/20 @ 100
6.646%, 12/01/31		2,200		2,645
5.817%, 10/01/31		2,950		3,404
Commonwealth of Massachusetts, Build America Project, RB
5.731%, 06/01/40		970		1,297
Dallas Area, Rapid Transit, Ser Senior Lien, RB, AMBAC
5.250%, 12/01/30		5,080		6,600
Dallas Convention Center Hotel Development, RB
7.088%, 01/01/42		600		721
Dallas County, Hospital District, Build America Project, Ser C, GO
5.621%, 08/15/44		7,528		9,662
Dallas, Independent School District, Build America Project, GO Callable 02/15/21 @ 100
6.450%, 02/15/35		3,415		4,184
East Bay, Municipal Utility District, RB
5.874%, 06/01/40		260		348
Florida State, Department of Transportation, RB Callable 07/01/19 @ 100
6.800%, 07/01/39		900		1,038

SEI Institutional Investments Trust / Annual Report / May 31, 2012 143

SCHEDULE OF INVESTMENTS

Long Duration Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Indianapolis, Local Public Improvement Bond Bank, Build America Project, RB
6.116%, 01/15/40	$	6,605	$	8,649
Las Vegas Valley, Water District, GO
7.013%, 06/01/39		600		804
Los Angeles, California Community College District, Build America Project, GO
6.750%, 08/01/49		600		806
Los Angeles, Department of Water & Power, Build America Project, RB
6.574%, 07/01/45		3,300		4,818
6.008%, 07/01/39		5,000		6,342
Los Angeles, Unified School District, Build America Project, GO
6.758%, 07/01/34		4,770		6,319
Maryland State, Transportation Authority, RB
5.888%, 07/01/43		500		663
Massachusetts Bay, Transportation Authority, Ser A, RB
5.000%, 07/01/31		3,795		4,771
Metropolitan Transportation Authority, RB
6.814%, 11/15/40		1,100		1,430
Missouri, Joint Municipal Electric Utility Commission, RB
6.890%, 01/01/42		600		761
New Hampshire State, Turnpike System, Build America Project, RB
6.009%, 11/01/39		2,005		2,517
New Jersey State, Turnpike Authority, Build America Project, RB
7.102%, 01/01/41		5,765		8,178
New York City, Municipal Water Finance Authority, Build America Project, RB Callable 06/15/20 @ 100
6.491%, 06/15/42		6,630		7,773
New York City, Municipal Water Finance Authority, Build America Project, RB
5.724%, 06/15/42		3,290		4,194
5.440%, 06/15/43		5,040		6,194
New York City, Municipal Water Finance Authority, Ser GG, RB Callable 06/15/21 @ 100
5.000%, 06/15/43		1,100		1,223
New York City, Transitional Finance Authority Future Tax Secured Revenue, RB
5.508%, 08/01/37		900		1,114
New York City, Transitional Finance Authority, Build America Project, RB
5.572%, 11/01/38		2,195		2,690

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
New York State, Dormitory Authority, Build America Project, RB
5.500%, 03/15/30	$	3,295	$	3,878
North Texas, Tollway Authority, Build America Project, RB
6.718%, 01/01/49		6,762		9,257
Ohio State University, Build America Project, RB
4.910%, 06/01/40		4,470		5,386
Ohio State University, Build America Project, Ser A, RB
4.800%, 06/01/11		2,583		2,909
Port Authority of New York & New Jersey, Build America Project, RB
5.647%, 11/01/40		3,750		4,755
4.926%, 10/01/51		725		826
San Diego County, Water Authority, Build America Project, RB
6.138%, 05/01/49		6,040		8,136
Santa Clara Valley, Transportation Authority, Build America Project, RB
5.876%, 04/01/32		2,580		3,178
State of California, Build America Project, GO
7.625%, 03/01/40		4,200		5,453
7.600%, 11/01/40		3,760		4,911
7.550%, 04/01/39		12,635		16,317
7.300%, 10/01/39		7,640		9,523
State of California, GO
7.500%, 04/01/34		500		629
State of Illinois, Build America Project, GO
7.350%, 07/01/35		1,325		1,536
6.630%, 02/01/35		3,275		3,548
5.100%, 06/01/33		16,085		15,184
State of Illinois, GO
6.725%, 04/01/35		590		645
State of Iowa, RB Callable 06/01/19 @ 100
6.750%, 06/01/34		300		351
State of New York, Build America Project, RB
5.770%, 03/15/39		7,825		9,622
State of Texas, Build America Project, GO
5.517%, 04/01/39		700		918
State of Texas, Transportation Communication Authority, Build America Project, Ser B, RB
5.178%, 04/01/30		6,835		8,374
State of Virginia, Build America Project, RB
5.000%, 09/01/40		7,255		8,965

144 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
State of Washington, Build America Project, Ser D, GO
5.481%, 08/01/39	$	2,455	$	3,116
Triborough Bridge & Tunnel Authority, Build America Project, RB
5.450%, 11/15/32		3,000		3,540
University of California, Build America Project, RB
5.770%, 05/15/43		330		403
University of California, Build America Project, Ser AD, RB
4.858%, 05/15/12		9,015		9,425
University of Missouri, RB
5.960%, 11/01/39		220		291
Total Municipal Bonds (Cost $214,993) ($ Thousands)				252,671
U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.4%
FHLB
0.500%, 05/15/14		15,225		15,226
FICO STRIPS
4.882%, 03/26/19 (D)		12,000		10,729
1.984%, 04/05/19 (D)		1,500		1,346
FICO STRIPS, PO
3.558%, 08/03/18 to 09/26/19 (D)		36,575		33,040
Residual Funding Corp. STRIPS
3.275%, 04/15/30 (D)		14,210		8,782
2.098%, 07/15/20 (D)		600		525
Tennessee Valley Authority
7.125%, 05/01/30		10,580		16,397
5.880%, 04/01/36		13,625		19,175
5.375%, 04/01/56		1,500		2,099
5.250%, 09/15/39		9,960		13,076
4.625%, 09/15/60		7,105		8,753
Tennessee Valley Authority STRIPS, PO
0.000%, 01/15/38 (D)		3,700		1,534
Total U.S. Government Agency Obligations (Cost $116,940) ($ Thousands)				130,682
MORTGAGE-BACKED SECURITIES — 1.4%
Agency Mortgage-Backed Obligations — 0.8%
FHLMC CMO, Ser 2004-2748, Cl ZT
5.500%, 02/15/24		593		680
FHLMC CMO, Ser 2010-3756, Cl PZ
4.000%, 11/15/40		5,309		5,569
FNMA
3.841%, 09/01/20		5,585		6,211
3.763%, 12/01/20		5,435		6,023
3.665%, 10/01/20		5,641		6,220
3.584%, 09/01/20		2,039		2,237
FNMA CMO, Ser 2004-12, Cl ZX
6.000%, 03/25/34		786		1,002

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FNMA CMO, Ser 2004-80, Cl XZ
5.000%, 11/25/34	$	452	$	502
GNMA ARM
2.375%, 06/20/32 (B)		148		153
GNMA CMO, Ser 2010-164, Cl JZ
4.000%, 12/20/40		8,360		8,987
GNMA CMO, Ser 2011-70, Cl BO
3.607%, 05/20/41 (D)		10,425		7,010
				44,594
Non-Agency Mortgage-Backed Obligations — 0.6%
Bayview Commercial Asset Trust, Ser 2004-2, Cl A
0.669%, 08/25/34 (A) (B)		2,413		2,029
Bayview Commercial Asset Trust, Ser 2007-3, Cl A1
0.479%, 07/25/37 (A) (B)		1,851		1,286
Countrywide Alternative Loan Trust, Ser 2005-16, Cl A5
0.519%, 06/25/35 (B) (C)		372		119
Countrywide Home Loans, Ser 2005-2, Cl 1A1
0.559%, 03/25/35 (B)		184		93
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3
5.311%, 12/15/39		2,505		2,760
DSLA Mortgage Loan Trust, Ser 2005-AR2, Cl 2A1A
0.450%, 03/19/45 (B) (C)		261		171
GS Mortgage Securities
3.551%, 04/10/22		6,725		6,823
GS Mortgage Securities II, Ser 2011-GC5, Cl A4
3.707%, 08/10/44		5,720		6,025
Harborview Mortgage Loan Trust, Ser 2004-8, Cl 2A4A
0.640%, 11/19/34 (B)		325		204
Harborview Mortgage Loan Trust, Ser 2005-11, Cl 2A1A
0.550%, 08/19/45 (B) (C)		459		306
Indymac Index Mortgage Loan Trust, Ser 2004-AR5, Cl 2A1B
1.039%, 08/25/34 (B)		92		57
Indymac Index Mortgage Loan Trust, Ser 2004-AR7, Cl A2
1.099%, 09/25/34 (B)		38		24
Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl A1
1.019%, 12/25/34 (B)		164		99
Indymac Index Mortgage Loan Trust, Ser 2005-AR18, Cl 2A1A
0.549%, 10/25/36 (B)		19		11

SEI Institutional Investments Trust / Annual Report / May 31, 2012 145

SCHEDULE OF INVESTMENTS

Long Duration Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP7, Cl A4
5.870%, 04/15/45 (B)	$	535	$	607
Morgan Stanley Capital I, Ser 2011-C3, Cl A4
4.118%, 07/15/49		5,710		6,205
WaMu Alternative Mortgage Pass-Through Certificates, Ser 2007-OA3, Cl 4A1
0.928%, 04/25/47 (B)		206		114
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR2, Cl 2A21
0.569%, 01/25/45 (B)		236		190
WF-RBS Commercial Mortgage Trust, Ser 2011-C5, Cl A4
3.667%, 11/15/44		3,330		3,559
				30,682
Total Mortgage-Backed Securities (Cost $67,041) ($ Thousands)				75,276
ASSET-BACKED SECURITIES — 0.5%
Mortgage Related Securities — 0.1%
Citigroup Mortgage Loan Trust, Ser 2006-AMC1, Cl A2B
0.399%, 09/25/36 (B)		8,110		3,095
Other Asset-Backed Securities — 0.4%
Cronos Containers Program, Ser 2012-1A, Cl A
4.210%, 05/18/27 (A)		2,375		2,373
TAL Advantage LLC, Ser 2006-1A, Cl A
0.430%, 04/20/21 (A) (B)		2,644		2,533
TAL Advantage LLC, Ser 2010-2A, Cl A
4.300%, 10/20/25 (A)		1,978		2,003
TAL Advantage LLC, Ser 2011-1A, Cl A
4.600%, 01/20/26 (A)		477		489
Textainer Marine Containers, Ser 2011-1A, Cl A
4.700%, 06/15/26 (A)		2,998		3,069
Trinity Rail Leasing, Ser 2004-1A, Cl A
5.270%, 08/14/27 (A)		1,667		1,785
Trip Rail Master Funding LLC, Ser 2011-1A, Cl A1A
4.370%, 07/15/41 (A)		3,784		3,844
Triton Container Finance LLC, Ser 2006-1A, Cl NOTE
0.410%, 11/26/21 (A) (B)		2,703		2,569
Triton Container Finance LLC, Ser 2007-1A, Cl NOTE
0.380%, 02/26/19 (A) (B)		1,203		1,166

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Triton Container Finance LLC, Ser 2012-1A, Cl A
4.210%, 05/14/27 (A)	$	3,200	$	3,199
				23,030
Total Asset-Backed Securities (Cost $27,021) ($ Thousands)				26,125
SOVEREIGN DEBT — 0.3%
Banco Nacional de Desenvolvimento Economico e Social
5.500%, 07/12/20 (A)		1,300		1,440
Federal Republic of Brazil
7.125%, 01/20/37		2,230		3,077
5.625%, 01/07/41		1,570		1,833
Israel Government AID Bond
5.500%, 09/18/33		1,400		1,906
Mexico Government International Bond
5.750%, 10/12/10		854		910
4.750%, 03/08/44		80		81
Province of Quebec Canada MTN
6.350%, 01/30/26		4,880		6,834
United Mexican States MTN
6.050%, 01/11/40		600		730
5.950%, 03/19/19		1,300		1,553
Total Sovereign Debt (Cost $17,240) ($ Thousands)				18,364
U.S. TREASURY OBLIGATIONS — 31.7%
U.S. Treasury Bills (D)
0.127%, 08/30/12		2,594		2,594
0.112%, 08/09/12		700		700
0.080%, 06/14/12 (E)		10,150		10,150
0.080%, 06/28/12		20,100		20,100
0.079%, 06/21/12		300		300
U.S. Treasury Bonds
6.250%, 05/15/30		19,700		31,578
6.125%, 11/15/27		1,755		2,693
6.125%, 08/15/29		3,700		5,806
5.500%, 08/15/28		4,000		5,848
5.375%, 02/15/31		118,547		175,487
5.250%, 11/15/28		4,100		5,860
5.250%, 02/15/29		12,600		18,059
4.500%, 05/15/38		400		550
3.875%, 08/15/40		46,175		57,834
3.750%, 08/15/41 (E)		158,010		193,809
3.125%, 11/15/41		380,835		416,419
3.125%, 02/15/42		634,606		693,902
2.125%, 08/15/21		16,636		17,581
1.750%, 05/15/22		18,535		18,825

146 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)/Shares		Market Value ($ Thousands)
U.S. Treasury Inflation-Protected Security
2.125%, 02/15/41	$	8,291	$	12,028
U.S. Treasury STRIPS (D)
4.183%, 11/15/21		41,889		36,233
2.187%, 05/15/32		11,280		6,670
0.360%, 08/15/14		12,000		11,920
Total U.S. Treasury Obligations (Cost $1,568,070) ($ Thousands)				1,744,946
CASH EQUIVALENT — 2.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.100%†*		147,478,000		147,478
Total Cash Equivalent (Cost $147,478) ($ Thousands)				147,478
Total Investments — 100.4% (Cost $4,975,275) ($ Thousands)			$	5,520,772

A list of the open futures contracts held by the Fund at May 31, 2012, is as follows:

Type of Contract	Number of Contracts Long/(Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 2-Year Treasury Note		155			Sep-2012	$	1
U.S. 5-Year Treasury Note		(2,852	)		Sep-2012		(1,156	)
U.S. 10-Year Treasury Note		(570	)		Sep-2012		(608	)
U.S. Long Treasury Bond		525			Sep-2012		1,454
U.S. Ultra Long Treasury Bond		419			Sep-2012		1,625
						$	1,316

For the year ended May 31, 2012, 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.

SEI Institutional Investments Trust / Annual Report / May 31, 2012 147

SCHEDULE OF INVESTMENTS

Long Duration Fund (Concluded)

May 31, 2012

A list of the open swap agreements held by the Fund at May 31, 2012, is as follows:

Credit Default Swap
Counterparty	Reference Entity/Obligation	Buy/Sell Protection	(Pays)/ Receives Rate			Termination Date		Notional Amount ($ Thousands)		Unrealized Appreciation ($ Thousands)
JPMorgan Chase	Goldman Sachs Group	Buy		1.00	%		09/20/16	$	5,000	$	120

For the year ended May 31, 2012, 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 year.

Percentages are based on a Net Assets of $5,497,375 ($ Thousands).

* The rate reported is the 7-day effective yield as of May 31, 2012.

‡ 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 May 31, 2012. 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 May 31, 2012. The coupon on a step bond changes on a specified date.

(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.

AID — Agency for International Development

AMBAC — American Municipal Bond Assurance Corporation

ARM — Adjustable Rate Mortgage

Cl — Class

CMO — Collateralized Mortgage Obligation

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FICO — Financing Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

GO — General Obligation

LLC — Limited Liability Company

MTN — Medium Term Note

NY — New York

PO — Principal Only

RB — Revenue Bond

REIT — Real Estate Investment Trust

Ser — Series

STRIPS — Separately Traded Registered Interest and Principal Securities

The following is a list of the inputs used as of May 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Corporate Obligations	$	—	$	3,125,230	$	—	$	3,125,230
Municipal Bonds		—		252,671		—		252,671
U.S. Government Agency Obligations		—		130,682		—		130,682
Mortgage-Backed Securities		—		75,276		—		75,276
Asset-Backed Securities		—		26,125		—		26,125
Sovereign Debt		—		18,364		—		18,364
U.S. Treasury Obligations		—		1,744,946		—		1,744,946
Cash Equivalent		147,478		—		—		147,478
Total Investments in Securities	$	147,478	$	5,373,294	$	—	$	5,520,772

Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	1,316	$	—	$	—	$	1,316
Credit Default Swaps*		—		120		—		120
Total Other Financial Instruments	$	1,316	$	120	$	—	$	1,436

* Futures contracts and swaps are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2012, there were no 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.

148 SEI Institutional Investments Trust / Annual Report / May 31, 2012

SCHEDULE OF INVESTMENTS

Ultra Short Duration Bond Fund

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS — 38.1%
Consumer Discretionary — 1.3%
Best Buy
6.750%, 07/15/13	$	530	$	554
DIRECTV Holdings LLC
3.500%, 03/01/16		322		339
NBCUniversal Media LLC
2.100%, 04/01/14		1,016		1,036
Staples
9.750%, 01/15/14		674		759
Time Warner Cable
6.200%, 07/01/13		832		878
Viacom
1.250%, 02/27/15		415		415
				3,981
Consumer Staples — 3.9%
Anheuser-Busch InBev Worldwide
0.827%, 07/14/14 (A)		1,000		1,005
BAT International Finance
2.085%, 06/15/15		750		748
1.400%, 06/05/15 (B)		215		214
Coca-Cola Enterprises
0.767%, 02/18/14 (A)		1,451		1,452
General Mills
5.250%, 08/15/13		1,074		1,132
Kraft Foods
1.344%, 07/10/13 (A)		1,500		1,508
Kraft Foods Group
1.625%, 06/04/15 (B)		750		759
PepsiCo
0.800%, 08/25/14		1,490		1,491
Philip Morris International
2.500%, 05/16/16		750		789
President and Fellows of Harvard College
3.700%, 04/01/13		769		777

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
SABMiller Holdings
1.850%, 01/15/15 (B)	$	1,400	$	1,421
				11,296
Energy — 0.7%
BP Capital Markets
1.074%, 03/11/14 (A)		1,500		1,510
Valero Energy
4.750%, 06/15/13		530		549
				2,059
Financials — 24.1%
Allstate Life Global Funding Trusts MTN
5.375%, 04/30/13		1,350		1,408
American Express Credit
1.324%, 06/24/14 (A)		2,000		2,001
American Honda Finance
1.850%, 09/19/14 (B)		1,500		1,522
0.916%, 05/08/14 (A) (B)		350		351
American International Group
4.250%, 09/15/14		1,350		1,398
ANZ National International
2.375%, 12/21/12 (B)		237		239
Bank of America MTN
1.886%, 01/30/14 (A)		1,485		1,462
Bank of Montreal MTN
2.125%, 06/28/13		696		706
1.300%, 10/31/14 (B)		1,050		1,064
0.936%, 04/29/14 (A)		750		752
Bank of Nova Scotia
1.850%, 01/12/15		1,250		1,274
Bank of Tokyo-Mitsubishi UFJ
2.600%, 01/22/13 (B)		1,024		1,033
Barclays Bank
1.509%, 01/13/14 (A)		510		510
BB&T MTN
3.375%, 09/25/13		871		898
1.166%, 04/28/14 (A)		725		729
Berkshire Hathaway Finance
0.799%, 01/10/14 (A)		290		291
BNP Paribas MTN
2.125%, 12/21/12		754		756
BPCE
2.375%, 10/04/13 (B)		696		682
Caisse Centrale Desjardins du Quebec
1.700%, 09/16/13 (B)		840		848
Canadian Imperial Bank of Commerce
0.900%, 09/19/14 (B)		700		703
Caterpillar Financial Services MTN
1.100%, 05/29/15		600		603
0.816%, 02/09/15 (A)		870		874
CDP Financial
3.000%, 11/25/14 (B)		560		587

SEI Institutional Investments Trust / Annual Report / May 31, 2012 149

SCHEDULE OF INVESTMENTS

Ultra Short Duration Bond Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Citigroup
5.125%, 05/05/14	$	500	$	524
1.398%, 04/01/14 (A)		1,500		1,471
Credit Agricole Home Loan SFH
1.216%, 07/21/14 (A) (B)		800		786
Credit Suisse NY
1.427%, 01/14/14 (A)		840		840
Daimler Finance North America LLC
2.300%, 01/09/15 (B)		1,650		1,678
Danske Bank MTN
1.517%, 04/14/14 (A) (B)		1,575		1,538
Deutsche Bank
2.375%, 01/11/13		435		437
ERAC USA Finance LLC
2.750%, 07/01/13 (B)		734		744
2.250%, 01/10/14 (B)		186		187
Fifth Third Bank
0.576%, 05/17/13 (A)		350		348
Ford Motor Credit LLC
3.875%, 01/15/15		560		583
General Electric Capital MTN
2.625%, 12/28/12		1,350		1,368
1.336%, 05/09/16 (A)		625		615
1.319%, 01/07/14 (A)		1,285		1,289
0.474%, 12/21/12 (A)		1,435		1,437
Genworth Financial
5.650%, 06/15/12		650		650
Goldman Sachs Group
1.466%, 02/07/14 (A)		865		844
HSBC Bank
1.266%, 01/17/14 (A) (B)		1,277		1,280
HSBC USA
2.375%, 02/13/15		485		487
ING Bank
2.650%, 01/14/13 (B)		725		729
2.000%, 10/18/13 (B)		871		867
JPMorgan Chase
4.650%, 06/01/14		1,306		1,382
1.266%, 01/24/14 (A)		1,161		1,162
Kimco Realty‡
6.000%, 11/30/12		1,016		1,036
MassMutual Global Funding II
0.856%, 01/14/14 (A) (B)		1,312		1,312
MBIA Insurance
14.000%, 01/15/33 (A) (B)		290		148
Metropolitan Life Global Funding I
2.000%, 01/09/15 (B)		1,200		1,220
1.219%, 01/10/14 (A) (B)		1,161		1,162
Monumental Global Funding
0.667%, 01/15/14 (A) (B)		522		513
Morgan Stanley
4.200%, 11/20/14		1,161		1,142
0.769%, 01/09/14 (A)		348		328

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
National City Bank
4.625%, 05/01/13	$	250	$	258
National Rural Utilities Cooperative Finance
1.000%, 02/02/15		1,500		1,511
New York Life Global Funding
1.300%, 01/12/15 (B)		1,500		1,507
Nissan Motor Acceptance
3.250%, 01/30/13 (B)		1,468		1,483
Nordea Bank
1.750%, 10/04/13 (B)		871		871
Principal Life Income Funding Trusts MTN
5.300%, 04/24/13		910		947
Prudential Financial MTN
5.100%, 09/20/14		638		687
2.750%, 01/14/13		725		733
Royal Bank of Canada MTN
0.766%, 04/17/14 (A)		1,500		1,503
Royal Bank of Scotland
3.400%, 08/23/13		1,161		1,172
Societe Generale
2.200%, 09/14/13 (B)		725		714
Standard Chartered
1.417%, 05/12/14 (A) (B)		1,500		1,498
State Street
0.825%, 03/07/14 (A)		1,181		1,186
Sun Life Financial Global Funding III
0.719%, 10/06/13 (A) (B)		845		837
Swedbank Hypotek
0.923%, 03/28/14 (A) (B)		925		924
Toronto-Dominion Bank
0.767%, 07/14/14 (A)		1,030		1,034
Toyota Motor Credit MTN
1.375%, 08/12/13		581		586
0.919%, 10/11/13 (A)		250		251
UBS
1.875%, 01/23/15 (B)		825		833
1.466%, 01/28/14 (A)		281		279
Ventas Realty‡
3.125%, 11/30/15		717		734
Volkswagen International Finance
1.078%, 04/01/14 (A) (B)		1,950		1,945
Wells Fargo MTN
1.250%, 02/13/15		1,750		1,742
				72,033
Health Care — 2.3%
Covidien International Finance
1.875%, 06/15/13		730		744
Express Scripts Holding
2.750%, 11/21/14 (B)		2,000		2,047
GlaxoSmithKline Capital
4.850%, 05/15/13		247		257

150 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Mount Sinai Hospital
2.210%, 07/01/12	$	805	$	806
Quest Diagnostics
1.324%, 03/24/14 (A)		450		453
Sanofi
0.783%, 03/28/14 (A)		1,400		1,406
Teva Pharmaceutical Finance III BV
0.974%, 03/21/14 (A)		830		831
Thermo Fisher Scientific
2.050%, 02/21/14		378		386
				6,930
Industrials — 1.4%
Danaher
1.300%, 06/23/14		1,070		1,087
Johnson Controls
0.876%, 02/04/14 (A)		1,040		1,043
Tyco Electronics
5.950%, 01/15/14		945		1,013
United Technologies
1.200%, 06/01/15		325		328
0.737%, 12/02/13 (A)		750		753
				4,224
Information Technology — 1.2%
Hewlett-Packard
0.867%, 05/30/14 (A)		1,550		1,535
Texas Instruments
0.647%, 05/15/13 (A)		750		752
Xerox
1.286%, 05/16/14 (A)		1,435		1,425
				3,712
Materials — 0.2%
Anglo American Capital
2.150%, 09/27/13 (B)		519		522
Telecommunication Services — 1.0%
Cellco Partnership
5.550%, 02/01/14		840		902
Telefonica Emisiones
2.582%, 04/26/13		490		483
Verizon Communications
1.250%, 11/03/14		1,500		1,515
				2,900
Utilities — 2.0%
Commonwealth Edison
1.625%, 01/15/14		1,278		1,297
Dominion Resources
1.800%, 03/15/14		770		784
DTE Energy
1.180%, 06/03/13 (A)		761		762

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Georgia Power
1.300%, 09/15/13	$	625	$	630
NextEra Energy Capital Holdings
1.611%, 06/01/14		350		351
Pacific Gas & Electric
6.250%, 12/01/13		1,000		1,081
Sempra Energy
1.234%, 03/15/14 (A)		1,200		1,200
				6,105
Total Corporate Obligations (Cost $113,530) ($ Thousands)				113,762
ASSET-BACKED SECURITIES — 32.7%
Automotive — 26.5%
Ally Auto Receivables Trust, Ser 2009-A, Cl A3
2.330%, 06/17/13 (B)		366		367
Ally Auto Receivables Trust, Ser 2009-A, Cl A4
3.000%, 10/15/15 (B)		490		496
Ally Auto Receivables Trust, Ser 2010-2, Cl A3
1.380%, 07/15/14		276		277
Ally Auto Receivables Trust, Ser 2010-4, Cl A3
0.910%, 11/17/14		489		490
Ally Auto Receivables Trust, Ser 2011-4, Cl A2
0.650%, 03/17/14		530		530
Ally Auto Receivables Trust, Ser 2011-5, Cl A2
0.800%, 06/16/14		955		956
Ally Auto Receivables Trust, Ser 2012-1, Cl A2
0.710%, 09/15/14		1,960		1,962
Ally Master Owner Trust, Ser 2010-1, Cl A
1.989%, 01/15/15 (A) (B)		1,306		1,318
Ally Master Owner Trust, Ser 2010-3, Cl A
2.880%, 04/15/15 (B)		1,026		1,040
Ally Master Owner Trust, Ser 2011-1, Cl A1
1.109%, 01/15/16 (A)		888		893
Ally Master Owner Trust, Ser 2011-4, Cl A2
1.540%, 09/15/16		792		799
Ally Master Owner Trust, Ser 2012-1, Cl A2
1.440%, 02/15/17		1,000		1,004
AmeriCredit Automobile Receivables Trust, Ser 2010-1, Cl B
3.720%, 11/17/14		453		459

SEI Institutional Investments Trust / Annual Report / May 31, 2012 151

SCHEDULE OF INVESTMENTS

Ultra Short Duration Bond Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
AmeriCredit Automobile Receivables Trust, Ser 2010-3, Cl A3
1.140%, 04/08/15	$	654	$	656
AmeriCredit Automobile Receivables Trust, Ser 2010-4, Cl B
1.990%, 10/08/15		1,556		1,567
AmeriCredit Automobile Receivables Trust, Ser 2010-A, Cl A3
3.510%, 07/06/17		700		719
AmeriCredit Automobile Receivables Trust, Ser 2010-B, Cl A2
1.180%, 02/06/14		21		22
AmeriCredit Automobile Receivables Trust, Ser 2011-1, Cl A2
0.840%, 06/09/14		262		262
AmeriCredit Automobile Receivables Trust, Ser 2011-2, Cl A2
0.900%, 09/08/14		260		261
AmeriCredit Automobile Receivables Trust, Ser 2011-3, Cl A3
1.170%, 01/08/16		650		653
AmeriCredit Automobile Receivables Trust, Ser 2011-4, Cl A2
0.920%, 03/09/15		982		983
AmeriCredit Automobile Receivables Trust, Ser 2012-1, Cl A2
0.910%, 10/08/15		290		291
Americredit Prime Automobile Receivable, Ser 2009-1, Cl A3
2.210%, 01/15/14		47		47
ARI Fleet Lease Trust 2010-A, Ser 2012-A, Cl A
0.789%, 03/15/20 (A) (B)		185		185
Avis Budget Rental Car Funding LLC, Ser 2009-1A, Cl A
9.310%, 10/20/13 (B)		1,123		1,142
Avis Budget Rental Car Funding LLC, Ser 2009-2A, Cl A
5.680%, 02/20/14 (B)		1,447		1,481
Avis Budget Rental Car Funding LLC, Ser 2010-2A, Cl A
3.630%, 08/20/14 (B)		238		243
Avis Budget Rental Car Funding LLC, Ser 2011-1A, Cl A11
1.850%, 11/20/14 (B)		845		846
Bank of America Auto Trust, Ser 2009-2A, Cl A4
3.030%, 10/15/16 (B)		586		592
Bank of America Auto Trust, Ser 2010-1A, Cl A3
1.390%, 03/15/14 (B)		302		302
Bank of America Auto Trust, Ser 2010-2, Cl A3
1.310%, 07/15/14		152		152

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Bank of America Auto Trust, Ser 2010-2, Cl A4
1.940%, 06/15/17	$	1,205	$	1,222
BMW Vehicle Lease Trust, Ser 2011-1, Cl A3
1.060%, 02/20/14		691		693
BMW Vehicle Owner Trust, Ser 2011-A, Cl A3
0.760%, 08/25/15		1,770		1,770
CarMax Auto Owner Trust, Ser 2009-2, Cl A4
2.820%, 12/15/14		178		182
CarMax Auto Owner Trust, Ser 2010-1, Cl A3
1.560%, 07/15/14		371		372
CarMax Auto Owner Trust, Ser 2010-1, Cl A4
2.400%, 04/15/15		985		1,003
CarMax Auto Owner Trust, Ser 2010-2, Cl A3
1.410%, 02/16/15		676		679
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		816		817
CarMax Auto Owner Trust, Ser 2012-1, Cl A3
0.890%, 09/15/16		347		347
Chesapeake Funding LLC, Ser 2011-2A, Cl A
1.489%, 04/07/24 (A) (B)		445		449
Chesapeake Funding LLC, Ser 2012-1A
0.989%, 11/07/23 (A) (B)		800		800
Enterprise Fleet Financing LLC, Ser 2012-1, Cl A2
1.140%, 11/20/17 (B)		310		310
Ford Credit Auto Lease Trust, Ser 2010-B, Cl A3
0.910%, 07/15/13 (B)		509		509
Ford Credit Auto Lease Trust, Ser 2010-B, Cl A4
1.040%, 12/15/13 (B)		638		640
Ford Credit Auto Lease Trust, Ser 2011-A, Cl A2
0.740%, 09/15/13		835		835
Ford Credit Auto Lease Trust, Ser 2011-B, Cl A2
0.820%, 01/15/14		1,250		1,251
Ford Credit Auto Owner Trust, Ser 2009-B, Cl A3
2.790%, 08/15/13		38		38

152 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Ford Credit Auto Owner Trust, Ser 2010-A, Cl A3
1.320%, 06/15/14	$	376	$	377
Ford Credit Auto Owner Trust, Ser 2010-B, Cl A3
0.980%, 10/15/14		371		372
Ford Credit Auto Owner Trust, Ser 2011-B, Cl A3
0.840%, 06/15/15		420		421
Ford Credit Floorplan Master Owner Trust, Ser 2010-1, Cl B
2.489%, 12/15/14 (A) (B)		1,934		1,952
Ford Credit Floorplan Master Owner Trust, Ser 2011-1, Cl A2
0.839%, 02/15/16 (A)		287		289
Ford Credit Floorplan Master Owner Trust, Ser 2012-1, Cl A
0.709%, 01/15/16 (A)		1,623		1,628
GE Dealer Floorplan Master Note Trust, Ser 2009-2A, Cl A
1.789%, 10/20/14 (A) (B)		2,882		2,899
GE Dealer Floorplan Master Note Trust, Ser 2012-1, Cl A
0.810%, 02/20/17 (A)		1,605		1,610
Harley-Davidson Motorcycle Trust, Ser 2009-4, Cl A3
1.870%, 02/15/14		53		53
Harley-Davidson Motorcycle Trust, Ser 2010-1, Cl A3
1.160%, 02/15/15		500		501
Harley-Davidson Motorcycle Trust, Ser 2011-1, Cl A3
0.960%, 05/16/16		2,025		2,028
Harley-Davidson Motorcycle Trust, Ser 2011-2, Cl A2
0.710%, 05/15/15		905		905
Hertz Vehicle Financing LLC, Ser 2009-2A, Cl A1
4.260%, 03/25/14 (B)		1,347		1,374
Hertz Vehicle Financing LLC, Ser 2010-1A, Cl A1
2.600%, 02/25/15 (B)		1,155		1,173
Hertz Vehicle Financing LLC, Ser 2011-1A, Cl A1
2.200%, 03/25/16 (B)		593		604
Honda Auto Receivables Owner Trust, Ser 2010-2, Cl A3
1.340%, 03/18/14		377		378
Honda Auto Receivables Owner Trust, Ser 2011-1, Cl A2
0.650%, 06/17/13		200		200
Honda Auto Receivables Owner Trust, Ser 2011-2, Cl A3
0.940%, 03/18/15		780		782

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Honda Auto Receivables Owner Trust, Ser 2012-1, Cl A3
0.770%, 01/15/16	$	297	$	297
Huntington Auto Trust, Ser 2009-1A, Cl A4
5.730%, 01/15/14 (B)		451		454
Huntington Auto Trust, Ser 2011-1A, Cl A3
1.010%, 01/15/16 (B)		1,165		1,169
Hyundai Auto Lease Securitization Trust, Ser 2011-A, Cl A2
0.690%, 11/15/13 (B)		1,058		1,059
Hyundai Auto Receivables Trust, Ser 2009-A, Cl A3
2.030%, 08/15/13		29		29
Hyundai Auto Receivables Trust, Ser 2010-A, Cl A3
1.500%, 10/15/14		314		316
Hyundai Auto Receivables Trust, Ser 2010-B, Cl A3
0.970%, 04/15/15		657		659
Hyundai Auto Receivables Trust, Ser 2011-A, Cl A2
0.690%, 11/15/13		262		262
Hyundai Auto Receivables Trust, Ser 2011-C, Cl A3
0.830%, 12/15/15		1,500		1,501
Mercedes-Benz Auto Lease Trust, Ser 2012-A, Cl A3
0.880%, 11/17/14		675		679
Mercedes-Benz Auto Receivables Trust, Ser 2011-1, Cl A3
0.850%, 03/16/15		1,055		1,057
MMCA Automobile Trust, Ser 2012-A, Cl A2
0.810%, 08/15/14 (B)		2,491		2,491
Navistar Financial Dealer Note Master Trust, Ser 2009-1, Cl A
1.689%, 10/26/15 (A) (B)		1,100		1,106
Nissan Auto Lease Trust, Ser 2010-B, Cl A2
0.900%, 05/15/13		30		30
Nissan Auto Lease Trust, Ser 2011-A, Cl A3
1.040%, 08/15/14		2,400		2,409
Nissan Auto Lease Trust, Ser 2012-A, Cl A3
0.980%, 05/15/15		675		674
Nissan Auto Receivables Owner Trust, Ser 2011-A, Cl A2
0.650%, 12/16/13		517		518
Nissan Auto Receivables Owner Trust, Ser 2012-A, Cl A3
0.730%, 05/16/16		257		257

SEI Institutional Investments Trust / Annual Report / May 31, 2012 153

SCHEDULE OF INVESTMENTS

Ultra Short Duration Bond Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Nissan Master Owner Trust Receivables, Ser 2012-A, Cl A
0.710%, 05/15/17 (A)	$	750	$	750
Santander Consumer Acquired Receivables Trust, Ser 2011- WO, Cl A2
0.910%, 11/15/13 (B)		108		108
Santander Consumer Acquired Receivables Trust, Ser 2011- WO, Cl A3
1.400%, 10/15/14 (B)		2,400		2,404
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		30		30
Santander Drive Auto Receivables Trust, Ser 2011-1, Cl A2
0.940%, 02/18/14		651		651
Santander Drive Auto Receivables Trust, Ser 2012-1, Cl A2
1.250%, 04/15/15		1,740		1,746
Toyota Auto Receivables Owner Trust, Ser 2010-B, Cl A3
1.040%, 02/18/14		288		288
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		967		970
Volkswagen Auto Loan Enhanced Trust, Ser 2010-1, Cl A3
1.310%, 01/20/14		160		160
Volkswagen Auto Loan Enhanced Trust, Ser 2010-1, Cl A4
2.140%, 08/22/16		902		914
Volkswagen Auto Loan Enhanced Trust, Ser 2012-1, Cl A2
0.610%, 10/20/14		620		620
World Omni Auto Receivables Trust, Ser 2008-A, Cl A4
4.740%, 10/15/13		284		284
World Omni Auto Receivables Trust, Ser 2010-A, Cl A3
1.340%, 12/16/13		61		61
World Omni Automobile Lease Securitization Trust, Ser 2011- A, Cl A2
0.810%, 10/15/13		814		815
World Omni Automobile Lease Securitization Trust, Ser 2011- A, Cl A3
1.490%, 10/15/14		1,125		1,131

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
World Omni Automobile Lease Securitization Trust, Ser 2011- A, Cl A4
1.780%, 09/15/16	$	1,095	$	1,107
				79,273
Credit Cards — 1.2%
Capital One Multi-Asset Execution Trust, Ser 2005-A7, Cl A7
4.700%, 06/15/15		553		558
Capital One Multi-Asset Execution Trust, Ser 2007-A8, Cl A8
0.774%, 10/15/15 (A)		754		755
Chase Issuance Trust, Ser 2005- A11, Cl A
0.309%, 12/15/14 (A)		100		100
Discover Card Master Trust, Ser 2012-A1, Cl A1
0.810%, 08/15/17		1,101		1,100
GE Capital Credit Card Master Note Trust, Ser 2011-1, Cl A
0.789%, 01/15/17 (A)		857		862
				3,375
Mortgage Related Securities — 0.3%
HSBC Home Equity Loan Trust, Ser 2006-2, Cl A1
0.390%, 03/20/36 (A)		541		510
Option One Mortgage Loan Trust, Ser 2003-3, Cl A2
0.839%, 06/25/33 (A)		49		40
Option One Mortgage Loan Trust, Ser 2005-5, Cl A3
0.449%, 12/25/35 (A)		289		265
Option One Mortgage Loan Trust, Ser 2007-FXD1, Cl 3A3
5.611%, 01/25/37 (A)		177		84
				899
Other Asset-Backed Securities — 4.7%
ACAS Business Loan Trust, Ser 2007-1A, Cl C
1.316%, 08/16/19 (A) (B)		412		268
Babson CLO, Ser 2007-1A, Cl A1
0.691%, 01/18/21 (A) (B)		653		615
CapitalSource Commercial Loan Trust, Ser 2006-1A, Cl C
0.790%, 08/22/16 (A) (B)		33		33
CNH Equipment Trust, Ser 2009- B, Cl A4
5.170%, 10/15/14		424		429
CNH Equipment Trust, Ser 2010- C, Cl A3
1.170%, 05/15/15		611		613

154 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
CNH Equipment Trust, Ser 2011-A, Cl A2
0.620%, 06/16/14	$	38	$	38
CNH Equipment Trust, Ser 2011-C, Cl A2
0.900%, 04/15/15		2,500		2,505
CNH Wholesale Master Note Trust, Ser 2011-1A, Cl A
1.039%, 12/15/15 (A) (B)		1,277		1,280
GE Equipment Midticket LLC, Ser 2010-1, Cl A3
0.940%, 07/14/14 (B)		721		721
GE Equipment Midticket LLC, Ser 2010-1, Cl A4
1.470%, 07/14/15 (B)		1,205		1,213
GE Equipment Small Ticket LLC, Ser 2011-1A, Cl A2
0.880%, 08/21/13 (B)		451		452
GE Equipment Small Ticket LLC, Ser 2012-1A, Cl A2
0.850%, 11/21/14 (B)		500		500
GE Equipment Transportation LLC, Ser 2011-1, Cl A4
1.330%, 05/20/19		335		336
GE Equipment Transportation LLC, Ser 2012-1, Cl A3
0.990%, 11/23/15		112		112
John Deere Owner Trust, Ser 2011-A, Cl A2
0.640%, 06/16/14		226		226
Katonah, Ser 2005-7A, Cl B
0.887%, 11/15/17 (A) (B)		696		555
Lambda Finance, Ser 2005-1A, Cl B3
0.837%, 11/15/29 (A) (B)		488		479
Madison Park Funding I, Ser 2007-4A, Cl A1B
0.774%, 03/22/21 (A) (B)		580		496
Morgan Stanley ABS Capital I, Ser 2006-WMC1, Cl A2B
0.439%, 12/25/35 (A)		37		36
Prima Capital CDO, Ser 2006-1, Cl A
5.417%, 12/28/48 (B)		162		164
Sierra Receivables Funding LLC, Ser 2007-2A, Cl A2
1.240%, 09/20/19 (A) (B)		92		90
SLM Student Loan Trust, Ser 2006-4, Cl A4
0.546%, 04/25/23 (A)		445		443
SLM Student Loan Trust, Ser 2007-2, Cl A2
0.466%, 07/25/17 (A)		447		446
SLM Student Loan Trust, Ser 2008-5, Cl A2
1.566%, 10/25/16 (A)		710		716

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
SLM Student Loan Trust, Ser 2011-A, Cl A1
1.239%, 10/15/24 (A) (B)	$	257	$	257
SLM Student Loan Trust, Ser 2011-B, Cl A1
1.089%, 12/16/24 (A) (B)		810		807
				13,830
Total Asset-Backed Securities (Cost $97,410) ($ Thousands)				97,377
MORTGAGE-BACKED SECURITIES — 20.4%
Agency Mortgage-Backed Obligations — 9.1%
FHLMC
0.375%, 04/28/14		2,500		2,501
FHLMC ARM
2.216%, 02/01/30 (A)		254		267
2.204%, 02/01/22 (A)		352		373
FHLMC CMO, Ser 1993-1599, Cl C
6.100%, 10/15/23		36		37
FHLMC CMO, Ser 2004-2791, Cl UD
5.000%, 05/15/18		167		169
FHLMC TBA
4.000%, 06/15/41		2,700		2,864
FNMA
6.000%, 01/01/27 to 04/01/40		1,972		2,176
5.000%, 04/01/21 to 03/01/25		5,620		6,086
FNMA ARM (A)
2.340%, 01/01/29		34		36
2.334%, 09/01/24		194		204
2.306%, 11/01/23		105		109
2.274%, 11/01/25		30		32
2.251%, 09/01/24		76		78
2.036%, 05/01/28		204		214
1.480%, 11/01/21		46		47
FNMA CMO, Ser 1993-220, Cl FA
0.850%, 11/25/13 (A)		11		11
FNMA CMO, Ser 1993-58, Cl H
5.500%, 04/25/23		57		63
FNMA CMO, Ser 2001-33, Cl FA
0.689%, 07/25/31 (A)		67		68
FNMA CMO, Ser 2002-64, Cl FG
0.490%, 10/18/32 (A)		48		48
FNMA CMO, Ser 2002-77, Cl CB
5.000%, 12/25/17		167		179
FNMA CMO, Ser 2004-21, Cl QD
4.500%, 02/25/29		233		235
FNMA TBA
3.000%, 06/25/27		6,000		6,279
NCUA Guaranteed Notes CMO
0.259%, 06/12/13 (A)		765		765
NCUA Guaranteed Notes CMO, Ser 2010-R1, Cl 1A
0.691%, 10/07/20 (A)		1,387		1,390

SEI Institutional Investments Trust / Annual Report / May 31, 2012 155

SCHEDULE OF INVESTMENTS

Ultra Short Duration Bond Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
NCUA Guaranteed Notes CMO, Ser 2010-R1, Cl 2A
1.840%, 10/07/20	$	88	$	89
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 1A
0.609%, 11/06/17 (A)		355		355
NCUA Guaranteed Notes CMO, Ser 2011-R1, Cl 1A
0.691%, 01/08/20 (A)		299		299
NCUA Guaranteed Notes CMO, Ser 2011-R2, Cl 1A
0.639%, 02/06/20 (A)		475		476
NCUA Guaranteed Notes CMO, Ser 2011-R4, Cl 1A
0.621%, 03/06/20 (A)		597		597
NCUA Guaranteed Notes CMO, Ser 2011-R6, Cl 1A
0.619%, 05/07/20 (A)		897		897
				26,944
Non-Agency Mortgage-Backed Obligations — 11.3%
American Tower Trust, Ser 2007-1A, Cl AFX
5.420%, 04/15/37 (B)		700		745
Arkle Master Issuer, Ser 2010-2A, Cl 1A1
1.866%, 05/17/60 (A) (B)		956		961
Banc of America Large Loan, Ser 2007-BMB1, Cl A1
0.749%, 08/15/29 (A) (B)		28		27
Banc of America Merrill Lynch Commercial Mortgage, Ser 2003-2, Cl A4
5.061%, 03/11/41 (A)		425		441
Banc of America Mortgage Securities, Ser 2005-F, Cl 2A2
2.870%, 07/25/35 (A)		755		624
Banc of America Mortgage Securities, Ser 2005-J, Cl 2A1
2.795%, 11/25/35 (A)		90		70
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-3, Cl 2A1
2.868%, 06/25/35 (A)		290		220
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-6, Cl 3A1
2.773%, 08/25/35 (A)		473		298
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-12, Cl 11A1
2.778%, 02/25/36 (A)		214		128
Bear Stearns Commercial Mortgage Securities, Ser PW18, Cl A2
5.613%, 06/11/50		435		447

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Bear Stearns Commercial Mortgage Securities, Ser T26, Cl A2
5.330%, 01/12/45	$	40	$	40
Citigroup Mortgage Loan Trust, Ser 2004-HYB3, Cl 1A
2.801%, 09/25/34 (A)		145		143
Citigroup Mortgage Loan Trust, Ser 2006-AR2, Cl 1A1
2.943%, 03/25/36 (A)		392		254
Commercial Mortgage Acceptance, Ser 1998-C2, Cl F
5.440%, 09/15/30 (A) (B)		297		306
Commercial Mortgage Pass-Through Certificates, Ser 2006-FL12, Cl A2
0.339%, 12/15/20 (A) (B)		402		395
Commercial Mortgage Pass-Through Certificates, Ser 2011-STRT, Cl A
2.555%, 12/10/24 (B)		1,270		1,275
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-29, Cl 1A1
0.779%, 02/25/35 (A)		53		44
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-HY10, Cl 3A1A
2.678%, 02/20/36 (A)		386		243
Credit Suisse First Boston Mortgage Securities, Ser 2003-C4, Cl A4
5.137%, 08/15/36 (A)		524		541
Credit Suisse First Boston Mortgage Securities, Ser 2003-C5, Cl A4
4.900%, 12/15/36 (A)		510		529
Credit Suisse First Boston Mortgage Securities, Ser 2003-CK2, Cl A4
4.801%, 03/15/36		795		807
FDIC, Ser 2012-CI, CI A
0.841%, 05/25/35		1,320		1,318
Fosse Master Issuer, Ser 2011-1A, CI A
1.866%, 10/18/54 (A) (B)		800		805
GE Capital Commercial Mortgage, Ser 2002-3A, Cl A2
4.996%, 12/10/37		525		530
GE Capital Commercial Mortgage, Ser C1, Cl A4
4.819%, 01/10/38		425		432
GMAC Commercial Mortgage Securities, Ser 2003-C2, Cl A2
5.453%, 05/10/40 (A)		702		731
GMAC Commercial Mortgage Securities, Ser 2004-C3, Cl A4
4.547%, 12/10/41		80		80
GMAC Mortgage Loan Trust, Ser 2005-AR6, Cl 2A1
3.078%, 11/19/35 (A)		402		290

156 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Greenwich Capital Commercial Funding, Ser 2003-C2, Cl A4
4.915%, 01/05/36	$	250	$	259
GS Mortgage Securities II, Ser 2007-EOP, Cl A1
1.103%, 03/06/20 (A) (B)		770		764
GS Mortgage Securities II, Ser 2007-EOP, Cl A3
1.456%, 03/06/20 (A) (B)		1,016		1,003
GS Mortgage Securities II, Ser GC3, Cl A1
2.331%, 03/10/44 (B)		1,104		1,125
GS Mortgage Securities II, Ser GG10, Cl A2
5.778%, 08/10/45 (A)		262		265
GSR Mortgage Loan Trust, Ser 2005-AR4, Cl 2A1
2.804%, 07/25/35 (A)		537		385
GSR Mortgage Loan Trust, Ser 2006-AR1, Cl 2A1
2.691%, 01/25/36 (A)		666		520
GSR Mortgage Loan Trust, Ser 2007-AR2, Cl 1A1
3.342%, 05/25/47 (A)		512		313
Impac CMB Trust, Ser 2004-9, Cl 1A1
0.999%, 01/25/35 (A)		132		101
Impac CMB Trust, Ser 2005-2, Cl 1A1
0.759%, 04/25/35 (A)		148		122
Impac CMB Trust, Ser 2005-3, Cl A1
0.719%, 08/25/35 (A)		137		91
Impac CMB Trust, Ser 2005-5, Cl A1
0.879%, 08/25/35 (A)		110		76
Impac CMB Trust, Ser 2005-8, Cl 1A
0.499%, 02/25/36 (A)		357		246
JPMorgan Chase Commercial Mortgage Securities, Ser 2004-C1, Cl A3
4.719%, 01/15/38		415		434
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C4, Cl A1
1.525%, 07/15/46 (B)		686		691
JPMorgan Chase Commercial Mortgage Securities, Ser LDP4, Cl A3A2
4.903%, 10/15/42		2,000		2,001
JPMorgan Mortgage Trust, Ser 2005-A6, Cl 7A1
2.727%, 08/25/35 (A)		303		234
JPMorgan Mortgage Trust, Ser 2007-A3, Cl 1A1
2.956%, 05/25/37 (A)		418		257

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
LB-UBS Commercial Mortgage Trust, Ser 2002-C4, Cl A5
4.853%, 09/15/31	$	563	$	564
LB-UBS Commercial Mortgage Trust, Ser 2003-C3, Cl A4
4.166%, 05/15/32		140		143
LB-UBS Commercial Mortgage Trust, Ser 2003-C5, Cl A4
4.685%, 07/15/32 (A)		220		227
LB-UBS Commercial Mortgage Trust, Ser 2003-C8, Cl A4
5.124%, 11/15/32 (A)		265		276
Merrill Lynch Mortgage Investors, Ser 2005-A2, Cl A2
2.518%, 02/25/35 (A)		806		727
Merrill Lynch Mortgage Investors, Ser 2005-A3, Cl A1
0.509%, 04/25/35 (A)		152		121
Merrill Lynch Mortgage Trust, Ser 2004-BPC1, Cl A5
4.855%, 10/12/41 (A)		871		931
Merrill Lynch Mortgage-Backed Securities Trust, Ser 2007-3, Cl 2A1
4.475%, 06/25/37 (A)		573		383
Morgan Stanley Capital I, Ser 2004-HQ3, Cl A4
4.800%, 01/13/41		385		398
Morgan Stanley Capital I, Ser 2004-T13, Cl A4
4.660%, 09/13/45		1,277		1,330
Morgan Stanley Capital I, Ser 2006-HQ9, Cl A2
5.618%, 07/12/44		93		93
Morgan Stanley Dean Witter Capital I, Ser 2001-TOP3, Cl A4
6.390%, 07/15/33		23		23
MortgageIT Trust, Ser 2005-2, Cl 1A1
0.499%, 05/25/35 (A)		113		95
MortgageIT Trust, Ser 2005-5, Cl A1
0.499%, 12/25/35 (A)		492		329
Nomura Asset Securities, Ser 1998-D6, Cl A1C
6.690%, 03/15/30		218		220
Paragon Mortgages, Ser 2006-12A, Cl A2C
0.687%, 11/15/38 (A) (B)		177		137
Paragon Mortgages, Ser 2007-15A, Cl A2C
0.584%, 12/15/39 (A) (B)		428		323
Permanent Master Issuer, Ser 2010-1A, Cl 1A
1.617%, 07/15/42 (A) (B)		557		558
Residential Funding Mortgage Securities, Ser 2007-SA3, Cl 2A1
5.156%, 07/27/37 (A)		425		289

SEI Institutional Investments Trust / Annual Report / May 31, 2012 157

SCHEDULE OF INVESTMENTS

Ultra Short Duration Bond Fund (Concluded)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Sequoia Mortgage Trust, Ser 2004-12, Cl A1
0.510%, 01/20/35 (A)	$	58	$	48
Silverstone Master Issuer, Ser 2012-1A, Cl 1A
2.016%, 01/21/55 (A) (B)		225		227
Thornburg Mortgage Securities Mortgage Trust, Ser 2012-C6, Cl A1
1.081%, 04/15/45		249		248
TIAA Seasoned Commercial Mortgage Trust, Ser 2007-C4, Cl A2
5.375%, 08/15/39 (A)		212		213
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A4
4.964%, 11/15/35 (A)		550		575
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR2, Cl 1A1
2.459%, 03/25/36 (A)		552		410
Wells Fargo Commercial Mortgage Trust, Ser 2011-C3, Cl A1
1.988%, 03/15/44 (B)		779		788
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-BB, Cl A2
2.619%, 01/25/35 (A)		308		270
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR1, Cl 2A1
2.607%, 02/25/35 (A)		255		228
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR4, Cl 2A2
2.689%, 04/25/35 (A)		213		195
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 6A3
2.706%, 10/25/35 (A)		672		634
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR5, Cl 2A1
2.616%, 04/25/36 (A)		382		298
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR6, Cl 3A1
2.662%, 03/25/36 (A)		471		401
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR10, Cl 2A1
2.677%, 07/25/36 (A)		470		318
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR12, Cl 1A1
2.806%, 09/25/36 (A)		369		269
				33,900
Total Mortgage-Backed Securities (Cost $61,741) ($ Thousands)				60,844

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
U.S. GOVERNMENT AGENCY OBLIGATIONS — 4.7%
FHLB
2.375%, 03/14/14	$	2,500	$	2,591
0.500%, 12/13/13		1,000		1,002
0.400%, 06/19/13		2,250		2,252
0.350%, 06/07/13		1,045		1,046
FHLMC
2.500%, 01/07/14		2,500		2,589
1.625%, 04/15/13		1,306		1,322
0.450%, 02/21/14		2,500		2,503
FNMA
1.500%, 09/30/16		694		695
Total U.S. Government Agency Obligations (Cost $13,979) ($ Thousands)				14,000
MUNICIPAL BONDS — 2.8%
County of Clark Nevada, Airport System Revenue, Sub-Ser Junior E-2, RB
5.000%, 07/01/12		915		918
Kalamazoo, Hospital Finance Authority, Ser B, RB
3.125%, 05/15/41 (A)		1,270		1,281
Louisa, Industrial Development Authority, Ser A, AMT, RB
2.500%, 03/01/31 (A)		870		879
Louisiana, Local Government Environmental Facilities & Community Development Authority, RB
1.110%, 02/01/16		601		601
New Jersey State, Turnpike Authority, Ser B, RB, AMBAC
4.252%, 01/01/16		2,045		2,123
New Jersey, Economic Development Authority, Build America Project, RB
1.474%, 06/15/13 (A)		580		582
State of Illinois, GO
4.071%, 01/01/14		1,000		1,035
University of California, Build America Project, RB
1.988%, 05/15/50 (A)		515		522
West Virginia, Economic Development Authority, Ser A, AMT, RB
2.000%, 01/01/41 (A)		250		250
Total Municipal Bonds (Cost $8,166) ($ Thousands)				8,191

158 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)/Shares		Market Value ($ Thousands)
REPURCHASE AGREEMENT (C) — 3.8%
BNP Paribas 0.210%, dated 05/31/12, to be repurchased on 06/01/12, repurchase price $11,300,066 (collateralized by various FNMA obligations, ranging in par value $5,377,506 - $8,427,660, 3.500% - 6.000%, 11/01/38 - 03/01/42; with total market value $11,526,000)	$	11,300	$	11,300
Total Repurchase Agreement (Cost $11,300) ($ Thousands)				11,300
CASH EQUIVALENT — 0.9%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.100%†*		2,808,373		2,808
Total Cash Equivalent (Cost $2,808) ($ Thousands)				2,808
CERTIFICATE OF DEPOSIT — 0.3%
Intesa Sanpaolo NY
2.375%, 12/21/12		871		846
Total Certificate of Deposit (Cost $873) ($ Thousands)				846
Total Investments — 103.7% (Cost $309,807) ($ Thousands)			$	309,128

A list of the open futures contracts held by the Fund at May 31, 2012, is as follows:

Type of Contract	Number of Contracts Short			Expiration Date		Unrealized Depreciation ($ Thousands)
U.S. 2-Year Treasury Note		(9	)		Sep-2012	$	(1	)
U.S. 5-Year Treasury Note		(15	)		Oct-2012		(1	)
U.S. 10-Year Treasury Note		(12	)		Sep-2012		(11	)
						$	(13	)

For the year ended May 31, 2012, 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 $298,223 ($ Thousands).

* The rate reported is the 7-day effective yield as of May 31, 2012.

‡ Real Estate Investment Trust.

† Investment in Affiliated Security (see Note 5).

(A) Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of May 31, 2012. The date reported on the Schedule of Investments is the final maturity date.

(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) Tri-party Repurchase Agreement.

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

FDIC — Federal Deposit Insurance Corporation

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GO — General Obligation

LLC — Limited Liability Company

MTN — Medium Term Note

NCUA — National Credit Union Association

NY — New York

RB — Revenue Bond

Ser — Series

TBA — To Be Announced

The following is a list of the inputs used as of May 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands).

Investments in Securities	Level 1		Level 2		Level 3		Total
Corporate Obligations	$	—	$	113,762	$	—	$	113,762
Asset-Backed Securities		—		96,822		555		97,377
Mortgage-Backed Securities		—		60,844		—		60,844
U.S. Government Agency
Obligations		—		14,000		—		14,000
Municipal Bonds		—		8,191		—		8,191
Repurchase Agreement		—		11,300		—		11,300
Cash Equivalent		2,808		—		—		2,808
Certificate of Deposit		—		846		—		846
Total Investments in Securities	$	2,808	$	305,765	$	555	$	309,128

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(13	)	$	—	$	—	$	(13	)

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

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands) as of May 31, 2012:

	Investments in Asset-Backed Securities
Beginning balance as of June 1, 2011	$	1,540
Accrued discounts/premiums		22
Realized gain/(loss)		5
Change in unrealized appreciation/(depreciation)		(13	)
Purchases		—
Sales		(151	)
Net transfer into Level 3		—
Net transfer out of Level 3		(848	)
Ending balance as of May 31, 2012	$	555
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	10

For the year ended May 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2012, there were 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 / Annual Report / May 31, 2012 159

SCHEDULE OF INVESTMENTS

Emerging Markets Debt Fund

May 31, 2012

Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
GLOBAL BONDS — 93.0%
Argentina — 3.2%
Capex
10.000%, 03/10/18 (A)			594	$	386
City of Buenos Aires Argentina
9.950%, 03/01/17 (A)			1,875		1,350
Empresa Distribuidora Y Comercializadora Norte
9.750%, 10/25/22 (A)			680		272
IRSA Inversiones y Representaciones
11.500%, 07/20/20 (A)			416		371
Provincia de Buenos Aires
9.625%, 04/18/28			535		294
9.625%, 04/18/28 (A)			1,160		638
9.375%, 09/14/18			1,000		545
Provincia de Mendoza Argentina
5.500%, 09/04/18			247		194
Provincia de Neuquen Argentina
8.656%, 10/18/14 (A)			85		87
Republic of Argentina
8.750%, 06/02/17			740		585
8.280%, 12/31/33			2,336		1,378
8.280%, 12/31/33			987		562
7.820%, 12/31/33	EUR		12,344		7,479
7.820%, 12/31/33 (B)	EUR		9,570		5,798
7.000%, 10/03/15			6,353		4,745
7.000%, 10/03/15			90		68
6.000%, 03/31/23 (C)			172		129
5.830%, 12/31/33 (B)	ARS		6,959		1,751
4.191%, 12/15/35 (B)	EUR		18,890		1,985
2.500%, 03/31/19 (D)			8,916		2,519
0.467%, 08/03/12 (B)			7,200		878
0.044%, 12/15/35 (B) (E)			6,116		581
0.000%, 03/31/23 (B) (C)			1,680		1,176
Transportadora Gas Norte
7.500%, 12/31/12 (C)			100		47
7.500%, 12/31/12 (C)			350		165

Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
7.500%, 12/31/12 (A) (C)			210	$	99
6.500%, 12/31/12 (C)			60		28
6.500%, 12/31/12 (C)			60		28
6.500%, 12/31/12 (A) (C)			30		14
WPE International Tief
10.375%, 09/30/20			600		504
10.375%, 09/30/20 (A)			550		462
					35,118
Australia — 0.0%
Mirabela Nickel
8.750%, 04/15/18 (A)			241		174
Azerbaijan — 0.1%
State Oil of the Azerbaijan Republic
5.450%, 02/09/17			850		850
Bahrain — 0.0%
Kingdom of Bahrain
5.500%, 03/31/20			390		381
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		351
					3,372
Belarus — 0.3%
Republic of Belarus
8.950%, 01/26/18			1,850		1,656
8.750%, 08/03/15			2,300		2,165
					3,821
Belize — 0.0%
Government of Belize
6.000%, 02/20/29			361		192
Bosnia and Herzegovina — 0.1%
Republic of Bosnia & Herzegovina
2.063%, 12/11/21 (B)	DEM		1,667		790
Brazil — 6.9%
Banco Cruzeiro do Sul
8.875%, 09/22/20			424		263
8.875%, 09/22/20 (A)			1,334		827
Banco Nacional de Desenvolvimento Economico e Social
6.500%, 06/10/19 (A)			1,450		1,682
5.500%, 07/12/20 (A)			400		443

160 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
BM&F Bovespa
5.500%, 07/16/20 (A)			706	$	736
BR Malls International Finance
8.500%, 12/31/49 (A)			217		225
BR Properties
9.000%, 12/31/49 (A)			580		597
Brasil Telcom
5.750%, 02/10/22 (A)			650		635
Braskem Finance
7.375%, 10/04/49			200		196
Brazil Notas do Tesouro Nacional Serie B
6.000%, 08/15/20	BRL		4,970		5,916
Brazil Notas do Tesouro Nacional Serie F
10.000%, 01/01/14	BRL		1,389		698
10.000%, 01/01/17	BRL		12,740		6,335
10.000%, 01/01/21	BRL		15,425		7,566
10.000%, 01/01/23	BRL		9,000		4,511
Federal Republic of Brazil
11.000%, 08/17/40			100		129
10.250%, 01/10/28	BRL		2,360		1,420
10.125%, 05/15/27			2,993		5,004
8.875%, 04/15/24			760		1,148
8.500%, 01/05/24	BRL		400		209
8.250%, 01/20/34			5,979		9,103
7.125%, 01/20/37			1,945		2,684
5.875%, 01/15/19			850		1,014
5.625%, 01/07/41			1,419		1,657
4.875%, 01/22/21			5,330		6,055
Fibria Overseas Finance
7.500%, 05/04/20 (A)			2,197		2,208
6.750%, 03/03/21			1,000		963
General Shopping Finance
10.000%, 12/31/49 (A)			66		64
Globo Comunicacao e Participacoes
6.250%, 07/20/15 (D)			162		172
Hypermarcas
6.500%, 04/20/21 (A)			768		707
Itau Unibanco Holding
5.650%, 03/19/22 (A)			432		423
JBS Finance
8.250%, 01/29/18			1,200		1,104
8.250%, 01/29/18 (A)			2,110		1,941
Marfrig Holding Europe
8.375%, 05/09/18			642		456
Marfrig Overseas
9.500%, 05/04/20			1,000		720
Minerva Luxembourg
12.250%, 02/10/22 (A)			800		784
Minerva Overseas
10.875%, 11/15/19			363		348
10.875%, 11/15/19 (A)			164		157

Description	Face Amount (1) (Thousands)		Market Value ($ Thousands)
NET Servicos de Comunicacao
7.500%, 01/27/20		500	$	568
Odebrecht Drilling Norbe VIII
6.350%, 06/30/21		402		415
6.350%, 06/30/21 (A)		389		402
OGX Austria GmbH
8.375%, 04/01/22 (A)		542		514
OGX Petroleo e Gas Participacoes
8.500%, 06/01/18 (A)		603		580
OSX 3 Leasing BV
9.250%, 03/20/15 (A)		300		307
Petrobras International Finance
5.375%, 01/27/21		662		706
2.875%, 02/06/15		223		225
QGOG Atlantic
5.250%, 07/30/18 (A)		700		695
Schahin II Finance SPV
5.875%, 09/25/22 (A)		1,110		1,088
Telemar Norte Leste
5.500%, 10/23/20 (A)		751		740
Virgolino de Oliveira Finance
10.500%, 01/28/18		216		171
Voto-Votorantim
6.750%, 04/05/21 (A)		365		392
Voto-Votorantim Overseas Trading Operations
6.625%, 09/25/19 (A)		600		646
				76,549
Chile — 0.9%
Banco del Estado de Chile
4.125%, 10/07/20		500		517
4.125%, 10/07/20 (A)		300		310
3.875%, 02/08/22 (A)		1,293		1,320
BRT Escrow
8.000%, 08/18/18 (A)		1,159		1,119
Chile Government International Bond
3.250%, 09/14/21		410		428
Empresa Nacional del Petroleo
6.250%, 07/08/19		100		113
6.250%, 07/08/19 (A)		800		906
5.250%, 08/10/20 (A)		450		480
Nacional del Cobre de Chile
7.500%, 01/15/19		450		574
6.150%, 10/24/36		857		1,063
6.150%, 10/24/36 (A)		905		1,122
3.875%, 11/03/21 (A)		1,050		1,102
3.750%, 11/04/20		120		125
3.750%, 11/04/20 (A)		750		781
				9,960

SEI Institutional Investments Trust / Annual Report / May 31, 2012 161

SCHEDULE OF INVESTMENTS

Emerging Markets Debt Fund (Continued)

May 31, 2012

Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
China — 1.6%
Agile Property Holdings
8.875%, 04/28/17			500	$	470
China Liansu Group Holdings
7.875%, 05/13/16 (A)			563		504
China Overseas Finance Cayman II
5.500%, 11/10/20			200		202
China Resources Gas Group
4.500%, 04/05/22 (A)			335		330
China Shanshui Cement Group
10.500%, 04/27/17 (A)			750		746
CNPC HK Overseas Capital
5.950%, 04/28/41			400		477
5.950%, 04/28/41 (A)			500		597
Country Garden Holdings
11.250%, 04/22/17			600		586
ENN Energy Holdings
6.000%, 05/13/21			200		201
Evergrande
13.000%, 01/27/15			476		452
13.000%, 01/27/15 (A)			922		876
Evergrande Real Estate Group
9.250%, 01/19/16	CNY		5,600		715
7.500%, 01/19/14	CNY		3,280		463
Franshion Development
6.750%, 04/15/21 (A)			1,000		898
Hidili Industry International Development
8.625%, 11/04/15			400		307
Kaisa Group Holdings
13.500%, 04/28/15			261		247
Mega Advance Investments
5.000%, 05/12/21 (A)			406		424
MIE Holdings
9.750%, 05/12/16 (A)			550		527
Sinochem Overseas Capital
6.300%, 11/12/40			450		452
4.500%, 11/12/20			580		577
4.500%, 11/12/20 (A)			3,115		3,098
Sinopec Group Overseas Development 2012
4.875%, 05/17/42 (A)			1,801		1,817
3.900%, 05/17/22 (A)			1,600		1,629
Tencent Holdings
4.625%, 12/12/16			200		203
Texhong Textile Group
7.625%, 01/19/16 (A)			309		246
West China Support
7.500%, 01/25/16 (A)			300		258
					17,302

Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
Colombia — 4.7%
BanColombia
5.950%, 06/03/21			300	$	311
5.950%, 06/03/21 (A)			831		860
Ecopetrol
7.625%, 07/23/19 (A)			500		617
Empresa de Energia de Bogota
6.125%, 11/10/21			700		723
Grupo Aval
5.250%, 02/01/17 (A)			400		410
Gruposura Finance
5.700%, 05/18/21 (A)			972		994
Republic of Colombia
11.750%, 02/25/20			3,518		5,567
10.375%, 01/28/33			100		172
8.125%, 05/21/24			2,430		3,426
7.375%, 01/27/17			2,755		3,378
7.375%, 03/18/19			3,040		3,883
7.375%, 09/18/37			8,742		12,304
6.125%, 01/18/41			7,600		9,405
4.375%, 07/12/21			1,897		2,070
Santa Fe de Bogota
9.750%, 07/26/28 (A)	COP		10,518,000		7,635
Transportadora de Gas Internacional ESP
5.700%, 03/20/22 (A)			400		408
					52,163
Croatia — 1.5%
Republic of Croatia
6.750%, 11/05/19			2,455		2,345
6.625%, 07/14/20			1,975		1,862
6.625%, 07/14/20 (A) (E)			2,189		2,063
6.375%, 03/24/21			1,050		971
6.375%, 03/24/21 (A)			6,668		6,151
6.250%, 04/27/17 (A)			2,601		2,512
Zagrebacki Holding
5.500%, 07/10/17	EUR		1,300		1,278
					17,182
Czech Republic — 0.1%
Central European Media Enterprises
11.625%, 09/15/16 (A)	EUR		600		768
Dominican Republic — 0.3%
Cap Cana
10.000%, 04/30/16 (C)			1,054		158
10.000%, 04/30/16 (C)			1,007		252
Republic of Dominican Republic
7.500%, 05/06/21			1,200		1,265

162 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount (1) (Thousands)		Market Value ($ Thousands)
7.500%, 05/06/21 (A)		1,320	$	1,391
				3,066
Ecuador — 0.1%
Republic of Ecuador
9.375%, 12/15/15		600		579
Egypt — 0.2%
Arab Republic of Egypt
6.875%, 04/30/40		460		394
5.750%, 04/29/20		200		187
5.750%, 04/29/20 (A)		950		891
Nile Finance
5.250%, 08/05/15		850		812
				2,284
El Salvador — 0.7%
Republic of El Salvador
8.250%, 04/10/32		2,548		2,790
7.750%, 01/24/23		367		399
7.650%, 06/15/35		110		113
7.650%, 06/15/35		2,525		2,595
7.625%, 02/01/41 (A)		1,150		1,170
7.375%, 12/01/19		200		217
7.375%, 12/01/19 (A)		250		272
Telemovil Finance
8.000%, 10/01/17 (A)		500		505
				8,061
Gabon — 0.0%
Gabonese Republic
8.200%, 12/12/17		100		116
Georgia — 0.1%
Georgian Railway LLC
9.875%, 07/22/15		700		759
Republic of Georgia
6.875%, 04/12/21 (A)		750		795
				1,554
Germany — 0.2%
Deutsche Bank, CLN, (Cablevision) MTN
9.375%, 02/13/18 (A)		2,084		2,022
Ghana — 0.2%
Republic of Ghana
8.500%, 10/04/17		1,874		2,076
8.500%, 10/04/17 (A)		450		498
				2,574

Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
Hong Kong — 0.7%
Bank of China Hong Kong
5.550%, 02/11/20 (A)			2,000	$	2,150
Central China Real Estate
12.250%, 10/20/15			300		305
China Oriental Group
8.000%, 08/18/15			100		87
8.000%, 08/18/15 (A)			650		564
CITIC Bank International MTN
6.875%, 06/24/20			200		210
Hutchison Whampoa International 10
6.000%, 12/31/49 (B)			564		564
Hutchison Whampoa International 11
4.625%, 01/13/22 (A)			900		928
Industrial & Commercial Bank of China Asia MTN
5.125%, 11/30/20			500		515
PCCW-HKT Capital No. 4
4.250%, 02/24/16			737		756
Sino-Forest
10.250%, 07/28/14 (C)			1,140		302
10.250%, 07/28/14 (A) (C)			160		43
6.250%, 10/21/17 (C)			2,140		556
6.250%, 10/21/17 (A) (C)			158		41
Swire Pacific Financing MTN
4.500%, 02/28/22			700		710
Yancoal International Resources Development
5.730%, 05/16/22 (A)			608		590
					8,321
Hungary — 1.1%
Republic of Hungary
7.625%, 03/29/41			2,152		1,921
6.375%, 03/29/21			1,410		1,287
6.250%, 01/29/20			1,080		981
6.000%, 01/11/19	EUR		704		764
5.750%, 06/11/18	EUR		2,248		2,438
5.500%, 05/06/14	GBP		73		107
5.000%, 03/30/16	GBP		253		339
4.750%, 02/03/15			281		263
4.500%, 01/29/14	EUR		870		1,029
4.375%, 07/04/17	EUR		1,046		1,088
3.500%, 07/18/16	EUR		1,819		1,905
					12,122
India — 0.2%
Axis Bank MTN
7.125%, 06/28/22 (B)			196		175
Bank of India MTN
6.994%, 12/31/49 (B)			213		193

SEI Institutional Investments Trust / Annual Report / May 31, 2012 163

SCHEDULE OF INVESTMENTS

Emerging Markets Debt Fund (Continued)

May 31, 2012

Description	Face Amount (1) (Thousands)		Market Value ($ Thousands)
ICICI Bank
5.750%, 11/16/20 (A)		327	$	319
Reliance Holdings USA
6.250%, 10/19/40		550		501
5.400%, 02/14/22 (A)		550		548
Vedanta Resources
9.500%, 07/18/18		300		286
8.250%, 06/07/21		200		173
8.250%, 06/07/21 (A)		468		405
				2,600
Indonesia — 4.9%
Adaro Indonesia MTN
7.625%, 10/22/19		209		221
7.625%, 10/22/19 (A)		580		613
Berau Capital Resources
12.500%, 07/08/15		700		768
Berau Coal Energy
7.250%, 03/13/17 (A)		621		593
Indosat Palapa
7.375%, 07/29/20 (A)		440		475
Listrindo Capital
6.950%, 02/21/19 (A)		446		451
Majapahit Holding
8.000%, 08/07/19 (A)		700		807
7.875%, 06/29/37 (A)		415		472
7.750%, 10/17/16		960		1,080
7.750%, 01/20/20 (A)		750		855
Pertamina Persero
6.500%, 05/27/41 (A)		470		465
6.000%, 05/03/42 (A)		1,455		1,364
4.875%, 05/03/22 (A)		650		624
Perusahaan Listrik Negara
5.500%, 11/22/21 (A)		1,610		1,586
Republic of Indonesia
11.625%, 03/04/19		6,746		9,681
11.625%, 03/04/19		1,108		1,590
11.625%, 03/04/19 (A)		2,650		3,803
10.375%, 05/04/14		400		455
8.500%, 10/12/35		1,200		1,668
8.500%, 10/12/35		831		1,155
8.500%, 10/12/35		4,410		6,130
7.750%, 01/17/38		4,610		6,028
7.500%, 01/15/16		1,290		1,480
6.875%, 01/17/18		3,142		3,641
6.875%, 01/17/18 (A)		750		869
6.750%, 03/10/14		390		415
6.625%, 02/17/37		300		347
6.625%, 02/17/37		100		116
5.875%, 03/13/20 (A)		1,490		1,665
4.875%, 05/05/21		600		631
4.875%, 05/05/21 (A)		1,350		1,419
3.750%, 04/25/22 (A)		2,325		2,244

Description	Face Amount (1) (Thousands)		Market Value ($ Thousands)
Sable International Finance
8.750%, 02/01/20 (A)		300	$	311
Star Energy
11.500%, 02/12/15 (A)		300		322
				54,344
Iraq — 1.2%
Republic of Iraq
5.800%, 01/15/28		16,845		13,223
5.800%, 01/15/28 (A)		620		487
				13,710
Ivory Coast — 0.8%
Government of Ivory Coast
3.750%, 12/31/32 (C)		12,917		8,816
Jamaica — 0.3%
Digicel
8.250%, 09/01/17		133		134
Digicel Group
10.500%, 04/15/18		600		612
9.125%, 01/15/15 (A)		923		909
8.875%, 01/15/15		700		689
8.875%, 01/15/15 (A)		750		739
				3,083
Jordan — 0.2%
Kingdom of Jordan
3.875%, 11/12/15		1,850		1,813
Kazakhstan — 3.9%
BTA Bank
10.750%, 07/01/18 (C)		5,870		1,027
10.750%, 07/01/18 (A) (C)		1,502		263
0.000%, 06/30/20 (A)		2,772		229
Citigroup Global Markets for Kazkommertsbank
8.700%, 04/07/14 (B) (D)		600		510
Development Bank of Kazakhstan
5.500%, 12/20/15 (A)		600		617
Halyk Savings Bank of Kazakhstan
7.250%, 01/28/21 (A)		1,000		982
Kazakhstan Temir Zholy Finance
6.375%, 10/06/20		1,550		1,666
Kazatomprom
6.250%, 05/20/15		850		886
6.250%, 05/20/15 (A)		900		938
Kazkommertsbank MTN
8.000%, 11/03/15		950		873
7.875%, 04/07/14		200		195
7.500%, 11/29/16		2,650		2,252

164 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount (1) (Thousands)		Market Value ($ Thousands)
KazMunayGas National
11.750%, 01/23/15		2,196	$	2,570
11.750%, 01/23/15 (A)		3,563		4,170
9.125%, 07/02/18		1,673		2,003
9.125%, 07/02/18 (A)		4,328		5,183
8.375%, 07/02/13		5,793		6,067
7.000%, 05/05/20		2,563		2,794
7.000%, 05/05/20 (A)		1,391		1,516
6.375%, 04/09/21		1,250		1,321
6.375%, 04/09/21 (A)		4,315		4,561
Tengizchevroil Finance
6.124%, 11/15/14		229		235
Zhaikmunai Finance
10.500%, 10/19/15		850		837
10.500%, 10/19/15 (A)		2,100		2,069
				43,764
Kuwait — 0.1%
Kuwait Projects MTN
9.375%, 07/15/20		1,000		1,092
Latvia — 0.0%
Republic of Latvia
5.250%, 06/16/21 (A)		540		521
Lebanon — 0.6%
Republic of Lebanon MTN
9.000%, 03/20/17		160		185
8.250%, 04/12/21		1,530		1,775
6.600%, 11/27/26		1,030		1,035
6.375%, 03/09/20		1,890		1,947
6.100%, 10/04/22		1,200		1,200
5.150%, 11/12/18		420		411
				6,553
Lithuania — 2.2%
Republic of Lithuania
7.375%, 02/11/20		2,561		2,909
7.375%, 02/11/20 (A)		800		909
6.750%, 01/15/15 (A)		1,089		1,165
6.625%, 02/01/22		920		998
6.625%, 02/01/22 (A)		4,267		4,630
6.125%, 03/09/21		8,643		9,097
6.125%, 03/09/21 (A)		3,926		4,132
5.125%, 09/14/17		250		258
5.125%, 09/14/17 (A)		940		970
				25,068
Malaysia — 2.1%
Axiata SPV1 Labuan
5.375%, 04/28/20		680		731
Penerbangan Malaysia Berhad
5.625%, 03/15/16		741		825

Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
Petroliam Nasional
7.750%, 08/15/15			1,460	$	1,725
7.625%, 10/15/26			1,430		2,035
Petronas Capital
7.875%, 05/22/22			2,462		3,392
7.875%, 05/22/22 (A)			250		344
5.250%, 08/12/19			1,460		1,673
5.250%, 08/12/19 (A)			9,303		10,660
4.250%, 08/12/14 (A)			365		383
Petronas Capital Registered
7.875%, 05/22/22			46		63
Wakala Global Sukuk
4.646%, 07/06/21 (A)			1,050		1,163
					22,994
Mexico — 8.0%
America Movil
2.375%, 09/08/16			2,000		2,018
Axtel
9.000%, 09/22/19			612		398
7.625%, 02/01/17 (A)			291		189
Bank of New York Mellon Institucion de Banca Multiple
9.625%, 05/02/21 (A)			1,478		1,285
BBVA Bancomer
6.008%, 05/17/22 (B)			1,150		1,068
Cemex
9.000%, 01/11/18 (A)			844		701
5.470%, 09/30/15 (A) (B)			799		663
Cemex Espana Luxembourg
9.500%, 12/14/16			400		367
9.250%, 05/12/20			100		79
9.250%, 05/12/20 (A)			859		679
Comision Federal de Electricidad
5.750%, 02/14/42 (A)			1,000		1,015
4.875%, 05/26/21 (A)			700		733
Corporation Geo
9.250%, 06/30/20			400		395
9.250%, 06/30/20 (A)			200		198
Desarrolladora Homex
9.750%, 03/25/20 (A)			700		697
GEO
8.875%, 03/27/22 (A)			200		192
Grupo Bimbo
4.875%, 06/30/20 (A)			415		452
4.500%, 01/25/22 (A)			100		105
Grupo Senda
10.500%, 10/03/15			4,390		4,302
Grupo Televisa
6.000%, 05/15/18			274		316
Mexican Bonos
10.000%, 11/20/36	MXP		56,600		5,077

SEI Institutional Investments Trust / Annual Report / May 31, 2012 165

SCHEDULE OF INVESTMENTS

Emerging Markets Debt Fund (Continued)

May 31, 2012

Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
8.500%, 05/31/29	MXP		37,100	$	2,975
7.750%, 05/29/31	MXP		68,600		5,064
6.500%, 06/10/21	MXP		52,990		3,823
NII Capital
10.000%, 08/15/16			1,065		1,108
7.625%, 04/01/21			476		401
Oceanografia
11.250%, 07/15/15			1,386		839
Pemex Finance
9.150%, 11/15/18			1,895		2,442
Pemex Project Funding Master Trust
6.625%, 06/15/35			2,717		3,091
5.750%, 03/01/18			1,794		2,005
Petroleos Mexicanos
8.000%, 05/03/19			860		1,071
6.500%, 06/02/41			150		168
6.500%, 06/02/41 (A)			530		595
6.500%, 06/02/41 (A)			1,350		1,515
6.000%, 03/05/20			120		135
6.000%, 03/05/20 (A)			350		395
4.875%, 01/24/22 (A)			700		735
Southern Copper
6.750%, 04/16/40			362		378
United Mexican States MTN
8.300%, 08/15/31			3,681		5,475
8.000%, 09/24/22			2,510		3,439
7.500%, 04/08/33			950		1,325
6.050%, 01/11/40			6,124		7,456
5.950%, 03/19/19			1,406		1,680
5.750%, 10/12/10			7,012		7,468
5.625%, 01/15/17			1,048		1,200
5.125%, 01/15/20			3,916		4,472
3.625%, 03/15/22			730		752
United Mexican States, Ser A MTN
6.750%, 09/27/34			5,762		7,534
Urbi Desarrollos Urbanos
9.750%, 02/03/22 (A)			700		684
9.500%, 01/21/20			200		198
					89,352
Mongolia — 0.1%
Mongolian Mining MTN
8.875%, 03/29/17 (A)			1,006		976
Morocco — 0.2%
Kingdom of Morocco
4.500%, 10/05/20	EUR		1,650		1,938
Nigeria — 0.2%
Afren
11.500%, 02/01/16			200		208
11.500%, 02/01/16 (A)			700		730
10.250%, 04/08/19 (A)			400		404

Description	Face Amount (1) (Thousands)		Market Value ($ Thousands)
Republic of Nigeria
6.750%, 01/28/21 (A)		750	$	803
UBS
7.396%, 09/04/17 (A) (B)		800		493
				2,638
Oman — 0.0%
Blue City Investments
13.750%, 11/07/13 (C) (H) (I)		2,750		137
Pakistan — 0.2%
Pakistan Mobile Communications
8.625%, 11/13/13 (A)		330		312
Republic of Pakistan
7.125%, 03/31/16		1,050		898
6.875%, 06/01/17		100		78
6.875%, 06/01/17		1,470		1,146
				2,434
Panama — 2.0%
Republic of Panama
9.375%, 01/16/23		595		840
9.375%, 04/01/29		6,856		10,970
8.875%, 09/30/27		1,590		2,417
8.125%, 04/28/34		2,249		3,109
7.250%, 03/15/15		795		910
7.125%, 01/29/26		339		449
6.700%, 01/26/36		2,641		3,414
				22,109
Peru — 2.0%
Banco de Credito del Peru
5.375%, 09/16/20 (A)		626		629
Inkia Energy
8.375%, 04/04/21 (A)		348		362
Interoceanica IV Finance
2.823%, 11/30/18		555		444
3.431%, 11/30/18 (A) (F)		293		235
3.914%, 11/30/25 (A) (F)		686		391
Peru Enhanced Pass-Through Finance
3.194%, 05/31/18 (F)		323		278
3.111%, 05/31/18 (A) (F)		365		314
4.179%, 06/02/25 (A) (F)		1,000		595
Republic of Peru
8.750%, 11/21/33		7,807		12,335
8.375%, 05/03/16		890		1,103
7.350%, 07/21/25		2,230		3,061
7.125%, 03/30/19		250		317
6.550%, 03/14/37		120		156
5.625%, 11/18/50		1,784		2,051

166 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
Volcan Cia Minera SAA
5.375%, 02/02/22 (A)			312	$	317
					22,588
Philippines — 4.0%
Development Bank of Philippines
5.500%, 03/25/21			860		901
National Power
9.625%, 05/15/28			1,100		1,540
Power Sector
7.390%, 12/02/24 (A)			850		1,066
7.250%, 05/27/19 (A)			100		122
Power Sector Assets & Liabilities Management
7.390%, 12/02/24			700		878
Republic of Philippines
10.625%, 03/16/25			3,726		6,008
9.500%, 02/02/30			7,988		12,571
8.375%, 06/17/19			840		1,111
7.750%, 01/14/31			3,443		4,734
7.500%, 09/25/24			750		976
6.500%, 01/20/20			1,950		2,364
6.375%, 10/23/34			1,811		2,228
5.500%, 03/30/26			1,646		1,893
5.000%, 01/13/37			380		399
4.000%, 01/15/21			7,675		8,068
					44,859
Poland — 2.9%
Eileme 2
11.625%, 01/31/20 (A)			1,350		1,323
Polish Television Holding
11.000%, 11/15/14 (A) (D)	EUR		700		840
Republic of Poland
6.375%, 07/15/19			12,428		14,250
5.125%, 04/21/21			1,255		1,329
5.000%, 03/23/22			13,678		14,307
TVN Finance II
10.750%, 11/15/17 (A)	EUR		200		252
TVN Finance
10.750%, 11/15/17	EUR		200		252
					32,553
Qatar — 2.3%
Qtel International Finance MTN
7.875%, 06/10/19			2,410		2,964
6.500%, 06/10/14 (A)			150		164
5.000%, 10/19/25			200		204
5.000%, 10/19/25 (A)			972		991
4.750%, 02/16/21			700		730
4.750%, 02/16/21 (A)			504		526

Description	Face Amount (1) (Thousands)			Market Value ($ Thousands)
State of Qatar
9.750%, 06/15/30		957		$	1,531
6.550%, 04/09/19		1,728			2,080
6.400%, 01/20/40		1,686			2,049
6.400%, 01/20/40 (A)		705			857
5.750%, 01/20/42 (A)		850			948
5.250%, 01/20/20		2,303			2,591
5.250%, 01/20/20 (A)		5,186			5,834
4.500%, 01/20/22 (A)		3,500			3,757
					25,226
Romania — 0.2%
Romanian Government International Bond MTN
6.750%, 02/07/22		462			463
6.750%, 02/07/22 (A)		1,702			1,705
					2,168
Russia — 9.2%
Alfa Bank Via Alfa Bond Issuance
7.875%, 09/25/17 (A)		371			366
7.750%, 04/28/21 (A)		910			852
Alfa Invest MTN
9.250%, 06/24/13 (A)		1,200			1,250
Alfa Issuance MTN
8.000%, 03/18/15		208			215
ALROSA Finance
7.750%, 11/03/20		460			476
BOM Capital
6.699%, 03/11/15		1,300			1,323
Credit Suisse, CLN (Russian Government Bond)
7.600%, 04/14/21		61,800			1,746
Edel Capital for Sinek Capital SA
7.700%, 08/03/15		600			623
Evraz Group
9.500%, 04/24/18		700	��		732
7.400%, 04/24/17 (A)		300			292
6.750%, 04/27/18 (A)		600			553
Lukoil International Finance
6.656%, 06/07/22		600			647
Metalloinvest Finance
6.500%, 07/21/16		1,200			1,175
6.500%, 07/21/16 (A)		611			598
MTS International
8.625%, 06/22/20 (A)		1,550			1,715
MTS International Funding
8.625%, 06/22/20		200			221
Novatek Finance
6.604%, 02/03/21 (A)		1,443			1,536
5.326%, 02/03/16		375			384
OAO TMK Capital
7.750%, 01/27/18		1,200			1,107

SEI Institutional Investments Trust / Annual Report / May 31, 2012 167

SCHEDULE OF INVESTMENTS

Emerging Markets Debt Fund (Continued)

May 31, 2012

Description	Face Amount (1) (Thousands)		Market Value ($ Thousands)
RSHB Capital for Russian Agricultural Bank
7.750%, 05/29/18		800	$	889
Russian Federation
12.750%, 06/24/28		3,556		6,264
7.500%, 03/31/30 (D)		39,580		46,556
Russian Foreign Bond - Eurobond
7.500%, 03/31/30 (D)		2,818		3,314
5.625%, 04/04/42 (A)		1,800		1,861
5.000%, 04/29/20		800		848
5.000%, 04/29/20 (A)		500		530
3.250%, 04/04/17 (A)		1,200		1,199
Sberbank of Russia Via SB Capital
6.125%, 02/07/22 (A)		400		410
6.125%, 02/07/22 (A)		600		615
SCF Capital
5.375%, 10/27/17 (A)		3,031		2,845
Severstal OAO Via Steel Capital
6.700%, 10/25/17		200		196
Severstal via Steel Capital
6.250%, 07/26/16		901		878
Teorema Holding
11.000%, 10/27/09 (C) (I)		2,000		200
UBS (Vimpelcom)
8.250%, 05/23/16		190		195
VEB-Leasing Via VEB Leasing Investment
5.125%, 05/27/16		800		788
VimpelCom Holdings
7.504%, 03/01/22 (A)		600		544
6.255%, 03/01/17		200		185
VIP Finance Ireland for Vimpel Communications
9.125%, 04/30/18		1,300		1,346
9.125%, 04/30/18 (A)		400		414
7.748%, 02/02/21 (A)		2,330		2,177
Vnesheconombank Via VEB Finance
6.902%, 07/09/20		3,700		3,934
6.902%, 07/09/20 (A)		2,305		2,451
6.800%, 11/22/25		1,800		1,849
6.800%, 11/22/25 (A)		600		616
5.450%, 11/22/17 (A)		800		825
VTB Bank Via VTB Capital
6.315%, 02/22/18		846		848
6.000%, 04/12/17 (A)		1,200		1,203
VTB Capital
6.551%, 10/13/20 (A)		960		946
6.250%, 06/30/35		1,094		1,127
				101,864

Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
Saudi Arabia — 0.1%
Dar Al-Arkan International Sukuk
10.750%, 02/18/15			500	$	512
10.750%, 02/18/15 (A)			750		768
					1,280
Senegal — 0.2%
Republic of Senegal
8.750%, 05/13/21			400		434
8.750%, 05/13/21 (A)			1,250		1,358
					1,792
Serbia — 0.2%
Republic of Serbia
7.250%, 09/28/21			900		900
7.250%, 09/28/21 (A)			1,150		1,150
					2,050
Singapore — 0.5%
Bakrie Telecom
11.500%, 05/07/15			592		403
MMI International
8.000%, 03/01/17			250		255
PSA International MTN
3.875%, 02/11/21			100		104
Sea Production
4.743%, 02/14/14			5,107		4,494
STATS ChipPac
5.375%, 03/31/16 (A)			224		229
Yanlord Land Group
9.500%, 05/04/17			300		257
					5,742
Slovak Republic — 0.3%
Slovakia Government International Bond
4.375%, 05/21/22 (A)			3,211		3,066
South Africa — 2.7%
African Bank MTN
8.125%, 02/24/17			500		512
Edcon Proprietary
4.126%, 06/15/14 (B)	EUR		925		961
Eskom Holdings
5.750%, 01/26/21 (A)			2,683		2,804
Gold Field Orogen
4.875%, 10/07/20			1,255		1,188
Myriad International Holding
6.375%, 07/28/17			540		593
6.375%, 07/28/17 (A)			735		807
Republic of South Africa
8.500%, 06/23/17			3,038		3,740
6.875%, 05/27/19			4,627		5,529

168 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount (1) (Thousands)		Market Value ($ Thousands)
6.500%, 06/02/14		386	$	425
6.250%, 03/08/41		685		806
5.875%, 05/30/22		2,023		2,311
5.500%, 03/09/20		4,830		5,373
4.665%, 01/17/24		3,959		4,052
Transnet MTN
4.500%, 02/10/16 (A)		720		733
				29,834
South Korea — 0.2%
Export-Import Bank of Korea
4.375%, 09/15/21		810		841
Korea Electric Power
3.000%, 10/05/15 (A)		200		203
Korea Hydro & Nuclear Power
4.750%, 07/13/21		400		427
Korea Western Power MTN
3.125%, 05/10/17 (A)		662		665
KT
3.875%, 01/20/17		400		412
				2,548
Sri Lanka — 0.3%
Bank of Ceylon
6.875%, 05/03/17 (A)		850		808
Democratic Socialist Republic of Sri Lanka
7.400%, 01/22/15 (A)		400		421
6.250%, 10/04/20		950		936
6.250%, 07/27/21 (A)		750		735
				2,900
Supra-National — 0.1%
Andina de Fomento
8.125%, 06/04/19		565		715
Trinidad & Tobago — 0.3%
Petroleum of Trinidad & Tobago
9.750%, 08/14/19 (A)		1,153		1,410
6.000%, 05/08/22		1,704		1,757
6.000%, 05/08/22 (A)		525		541
				3,708
Tunisia — 0.0%
Banque Centrale de Tunisie
8.250%, 09/19/27		220		261
Turkey — 3.9%
Export Credit Bank of Turkey
5.875%, 04/24/19 (A)		645		642
5.375%, 11/04/16 (A)		1,000		998

Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
Republic of Turkey
11.875%, 01/15/30			1,145	$	1,926
9.000%, 03/08/17	TRY		2,570		1,376
8.000%, 02/14/34			2,700		3,362
7.500%, 07/14/17			2,475		2,828
7.500%, 11/07/19			1,777		2,072
7.375%, 02/05/25			4,887		5,710
7.250%, 03/15/15			940		1,027
7.250%, 03/05/38			540		621
7.000%, 09/26/16			1,059		1,174
7.000%, 03/11/19			650		734
7.000%, 06/05/20			663		754
6.875%, 03/17/36			3,335		3,669
6.750%, 04/03/18			6,177		6,880
6.750%, 05/30/40			2,391		2,600
6.250%, 09/26/22			2,685		2,873
6.000%, 01/14/41			670		653
5.625%, 03/30/21			1,683		1,759
5.125%, 03/25/22			1,947		1,937
Yuksel Insaat
9.500%, 11/10/15			658		543
					44,138
Ukraine — 2.8%
Biz Finance for Ukreximbank
8.375%, 04/27/15			6,177		5,498
Credit Suisse First Boston International (Export/Import - Ukraine)
6.800%, 10/04/12			800		794
DTEK Finance
9.500%, 04/28/15			700		658
9.500%, 04/28/15 (A)			790		743
Ferrexpo Finance
7.875%, 04/07/16			1,500		1,335
7.875%, 04/07/16 (A)			405		360
Financing of Infrastrucural Projects State Enterprise
8.375%, 11/03/17 (A)			650		545
Government of Ukraine
7.950%, 02/23/21 (A)			350		306
7.750%, 09/23/20			613		530
7.650%, 06/11/13			2,396		2,333
6.875%, 09/23/15			301		272
6.875%, 09/23/15 (A)			3,233		2,926
6.750%, 11/14/17			300		260
6.580%, 11/21/16			570		496
6.250%, 06/17/16			346		301
6.250%, 06/17/16 (A)			3,193		2,778
Metinvest
8.750%, 02/14/18			600		529
8.750%, 02/14/18 (A)			741		654

SEI Institutional Investments Trust / Annual Report / May 31, 2012 169

SCHEDULE OF INVESTMENTS

Emerging Markets Debt Fund (Continued)

May 31, 2012

Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
MHP
10.250%, 04/29/15			553	$	523
10.250%, 04/29/15 (A)			1,865		1,765
Mriya Agro Holding
10.950%, 03/30/16 (A)			617		527
NAK Naftogaz Ukraine
9.500%, 09/30/14			6,273		5,952
Oschadbank Via SSB #1
8.250%, 03/10/16			1,000		840
					30,925
United Arab Emirates — 3.0%
Abu Dhabi National Energy MTN
5.875%, 12/13/21 (A)			455		491
Atlantic Finance
10.750%, 05/27/14			1,036		1,124
Dolphin Energy
5.888%, 06/15/19			337		366
5.888%, 06/15/19			1,011		1,097
5.888%, 06/15/19 (A)			84		91
5.500%, 12/15/21 (A)			200		216
DP World MTN
6.850%, 07/02/37			1,910		1,800
DP World Sukuk
6.250%, 07/02/17			200		211
Dubai DOF Sukuk MTN
6.396%, 11/03/14			800		842
Dubai Electricity & Water Authority
8.500%, 04/22/15			1,102		1,207
8.500%, 04/22/15 (A)			2,300		2,519
7.375%, 10/21/20			130		137
7.375%, 10/21/20 (A)			2,770		2,914
Dubai Holding Commercial Operations MTN
4.750%, 01/30/14	EUR		1,850		2,099
Dubai Holding MTN
6.000%, 02/01/17	GBP		750		941
Dubai Sukuk Centre
0.849%, 06/13/12 (B)			2,350		2,335
Emirate of Abu Dhabi MTN
7.750%, 10/05/20			1,000		1,088
6.750%, 04/08/19			800		998
6.750%, 04/08/19 (A)			670		836
6.700%, 10/05/15			480		509
Emirates Airlines
5.125%, 06/08/16			750		764
IPIC GMTN
6.875%, 11/01/41 (A)			563		608
5.500%, 03/01/22 (A)			417		440
3.750%, 03/01/17 (A)			750		766
Jafz Sukuk
2.991%, 11/27/12 (B)	AED		25,100		6,765

Description	Face Amount (1) (Thousands)		Market Value ($ Thousands)
MAF SUKUK MTN
5.850%, 02/07/17		500	$	525
Pyrus
7.500%, 12/20/15		1,700		1,751
				33,440
Uruguay — 1.5%
Republic of Uruguay PIK
7.875%, 01/15/33		2,168		2,992
Republic of Uruguay
8.000%, 11/18/22		4,768		6,484
7.625%, 03/21/36		3,840		5,241
6.875%, 09/28/25		1,389		1,775
				16,492
Venezuela — 5.6%
Government of Venezuela
13.625%, 08/15/18		2,130		2,173
13.625%, 08/15/18		1,049		1,070
12.750%, 08/23/22		7,762		7,277
11.950%, 08/05/31		6,848		5,855
11.750%, 10/21/26		4,418		3,744
10.750%, 09/19/13		900		922
9.375%, 01/13/34		2,220		1,626
9.250%, 09/15/27		2,695		2,048
9.250%, 05/07/28		1,700		1,245
9.000%, 05/07/23		3,530		2,648
8.500%, 10/08/14		1,170		1,147
8.250%, 10/13/24		2,040		1,382
7.750%, 10/13/19		1,350		1,009
7.650%, 04/21/25		1,550		1,015
7.000%, 03/31/38		200		126
6.000%, 12/09/20		900		592
Petroleos de Venezuela
12.750%, 02/17/22		1,750		1,579
8.500%, 11/02/17		1,469		1,161
8.500%, 11/02/17		1,272		1,005
5.500%, 04/12/37		2,160		1,156
5.375%, 04/12/27		6,095		3,291
5.250%, 04/12/17		6,182		4,204
5.000%, 10/28/15		1,700		1,318
4.900%, 10/28/14		17,405		15,011
				62,604
Vietnam — 0.2%
Socialist Republic of Vietnam
6.875%, 01/15/16		800		836
6.750%, 01/29/20		1,350		1,414

170 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description		Face Amount (1) (Thousands)/Shares		Market Value ($ Thousands)
Vietnam Joint Stock Commercial Bank for Industry and Trade
8.000%, 05/17/17 (A)			400	$	381
					2,631
Total Global Bonds (Cost $994,756) ($ Thousands)					1,036,647
LOAN PARTICIPATIONS — 0.7%
Angola — 0.1%
Republic of Angola
3.667%, 04/30/16 (H) (I)	EUR		975		1,121
Brazil — 0.1%
Virgolino de Oliveira
5.551%, 11/03/15			494		473
Indonesia — 0.2%
PT Bumi Resources
11.243%, 08/07/13			1,973		2,008
PT Bumi, Ser Tranche A
15.000%, 04/22/13			394		347
PT Bumi, Ser Tranche B
15.000%, 04/22/12			315		277
					2,632
Singapore — 0.2%
Morton Bay Senior
6.220%, 01/31/13 (H) (I)			3,020		2,574
United Arab Emirates — 0.1%
Dubai World
1.000%, 09/30/15			500		250
1.000%, 09/30/18			1,015		467
					717
Total Loan Participations (Cost $8,316) ($ Thousands)					7,517
CONVERTIBLE BONDS — 0.5%
Dana Gas Sukuk CV to 19.076 Shares
7.500%, 10/31/12			1,100		775
FirstSource Solutions CV to 42,549.14 Shares
6.298%, 12/04/12 (F)			2,100		2,394
Sino-Forest CV to 47.2619 Shares
4.250%, 12/15/16 (C)			50		14
4.250%, 12/15/16 (A) (C)			781		219
Suzlon Energy CV to 22.6830 Shares
4.014%, 06/12/12 (F)			1,159		1,507

Description		Face Amount (1) (Thousands)/Shares		Market Value ($ Thousands)
Suzlon Energy CV to 533.2762 Shares
2.592%, 07/25/14 (F)			500	$	425
Total Convertible Bonds (Cost $5,049) ($ Thousands)					5,334
TIME DEPOSITS — 3.4%
United States — 3.4%
Brown Brothers Harriman
0.040%, 06/01/12	EUR		364		364
0.030%, 06/01/12			37,807		37,807
Total Time Deposits (Cost $38,171) ($ Thousands)					38,171
AFFILIATED PARTNERSHIP — 0.0%
United States — 0.0%
SEI Liquidity Fund, L.P.
0.170%†* (G)			465,195		256
Total Affiliated Partnership (Cost $465) ($ Thousands)					256
Total Investments — 97.6% (Cost $1,046,757) ($ Thousands)				$	1,087,925

A list of the open futures contracts held by the Fund at May 31, 2012, is as follows:

Type of Contract	Number of Contracts Long/(Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
Euro-Buxl 30 Year Bond		(15	)		Jun-2012	$	(324	)
U.S. 10-Year Treasury Note		27			Sep-2012		29
U.S. Ultra Long Treasury Bond		(2	)		Sep-2012		(9	)
						$	(304	)

For the year ended May 31, 2012, the total amount of all open future contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.

SEI Institutional Investments Trust / Annual Report / May 31, 2012 171

SCHEDULE OF INVESTMENTS

Emerging Markets Debt Fund (Concluded)

May 31, 2012

A list of the open forward foreign currency contracts held by the Fund at May 31, 2012, is as follows:

Settlement Date	Currency to Deliver (Thousands)			Currency to Receive (Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)
6/1/12-6/26/12		USD	8,460		COP	15,334,500	$	(116	)
6/1/12-6/29/12		COP	30,979,000		USD	17,167		327
6/1/12-7/19/12		KRW	7,770,672		USD	6,768		188
6/1/12-7/19/12		USD	6,667		KRW	7,770,672		(88	)
6/4/12		USD	19		MYR	60		—
6/5/12-6/29/12		EUR	37,137		USD	47,558		1,640
6/4/12-7/6/12		MYR	90		USD	29		—
6/4/12-7/12/12		USD	16,582		BRL	33,859		105
6/4/12-9/5/12		BRL	77,732		USD	39,767		1,633
6/5/12-6/29/12		USD	8,935		EUR	7,013		(263	)
6/8/12		EUR	931		HUF	266,000		(65	)
6/8/12		HUF	777,000		EUR	2,622		68
6/8/12-7/17/12		USD	2,306		RUB	69,290		(245	)
6/13/12		INR	136,000		USD	2,483		65
6/13/12		USD	2,511		INR	135,000		(112	)
6/18/12		USD	933		MXP	12,800		(40	)
6/18/12-7/20/12		MXP	209,795		USD	15,250		650
6/19/12		CZK	91,700		EUR	3,681		158
6/20/12		USD	2,184		ILS	8,150		(96	)
6/20/12-6/26/12		ILS	8,150		USD	2,172		84
6/27/12-7/19/12		USD	5,838		SGD	7,358		(127	)
6/29/12		GBP	924		USD	1,463		41
7/13/12		EUR	1,724		PLN	7,310		(88	)
7/13/12		PLN	7,500		EUR	1,754		73
7/17/12		RUB	69,600		USD	2,269		206
7/19/12		SGD	7,360		USD	5,796		83
7/20/12		TRY	2,280		USD	1,227		17
7/20/12		USD	1,118		TRY	2,050		(30	)
8/3/12		USD	1,207		PEI	3,200		(29	)
12/3/12		USD	3,506		CNY	22,360		(4	)
							$	4,035

A list of the counterparties for the open forward foreign currency contracts held by the Fund at May 31, 2012, is as follows:

Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation ($ Thousands)
Barclays PLC	$	(49,586	)	$	50,390	$	804
Citigroup		(70,204	)		70,523		319
HSBC		(36,523	)		37,720		1,197
JP Morgan Chase		(44,639	)		45,999		1,360
UBS		(9,274	)		9,629		355
						$	4,035

For the year ended May 31, 2012, 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 year.

Percentages are based on a Net Assets of $1,114,918 ($ Thousands).

* The rate reported is the 7-day effective yield as of May 31, 2012.

† 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 May 31, 2012. 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 May 31, 2012. The coupon on a step bond changes on a specified date.

(E) This security or a partial position of this security is on loan at May 31, 2012. The total value of securities on loan at May 31, 2012 was $389 ($ Thousands).

(F) The rate reported 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 May 31, 2012 was $256 ($ Thousands).

(H) Securities considered illiquid. The total value of such securities as of May 31, 2012 was $3,832 ($ Thousands) and represented 0.34% of Net Assets.

(I) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of May 31, 2012 was $4,032 ($ Thousands) and represented 0.36% 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

L.P. — Limited Partnership

MTN — Medium Term Note

MXP — Mexican Peso

MYR — Malaysian Ringgit

PEI — Peruvian Inca

PIK — Payment-in-Kind

PLC — Public Limited Company

PLN — Polish Zloty

RUB — Russian Ruble

Ser — Series

SGD — Singapore Dollar

TRY — New Turkish Lira

USD — U.S. Dollar

The following is a list of the inputs used as of May 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Global Bonds	$	—	$	1,036,647	$	—	$	1,036,647
Loan Participations		—		717		6,800		7,517
Convertible Bonds		—		5,334		—		5,334
Time Deposits		38,171		—		—		38,171
Affiliated Partnership		—		256		—		256
Total Investments in Securities	$	38,171	$	1,042,954	$	6,800	$	1,087,925

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(304	)	$	—	$	—	$	(304	)
Forwards Contracts*		—			4,035		—		4,035
Total Other Financial Instruments	$	(304	)	$	4,035	$	—	$	3,731

* Future and forwards contracts are valued at the unrealized appreciation (depreciation) on the instrument.

172 SEI Institutional Investments Trust / Annual Report / May 31, 2012

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands) as of May 31, 2012:

	Investments in Loan Participations
Beginning balance as of June 1, 2011	$	7,038
Accrued discounts/premiums		24
Realized gain/(loss)		375
Change in unrealized appreciation/(depreciation)		(731	)
Purchases		709
Sales		(3,096	)
Net transfer into Level 3		2,481
Net transfer out of Level 3		—
Ending balance as of May 31, 2012	$	6,800
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	(641	)

For the year ended May 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2012, there were 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 / Annual Report / May 31, 2012 173

SCHEDULE OF INVESTMENTS

Real Return Fund

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
U.S. TREASURY OBLIGATIONS — 98.1%
U.S. Treasury Inflation-Protected Securities
2.375%, 01/15/17		$17,859	$	20,783
2.000%, 01/15/14		24,424		25,558
2.000%, 07/15/14		15,682		16,740
2.000%, 01/15/16		17,539		19,563
1.875%, 07/15/13		13,451		13,885
1.875%, 07/15/15		20,167		22,101
1.625%, 01/15/15		22,706		24,300
1.250%, 04/15/14		22,735		23,632
0.500%, 04/15/15		27,442		28,638
0.125%, 04/15/16		38,608		40,439
0.125%, 04/15/17		21,335		22,606
U.S. Treasury Note
3.125%, 04/30/17		16,400		18,328
Total U.S. Treasury Obligations (Cost $270,345) ($ Thousands)				276,573
TIME DEPOSIT — 1.7%
Brown Brothers Harriman
0.030%, 06/01/12		4,624		4,624
Total Time Deposit (Cost $4,624) ($ Thousands)				4,624
Total Investments — 99.8% (Cost $274,969) ($ Thousands)			$	281,197

Percentages are based on Net Assets of $281,861 ($ Thousands).

As of May 31, 2012, all of the Fund’s investments were considered Level 2, in accordance with ASC-820.

For the year ended May 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

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

174 SEI Institutional Investments Trust / Annual Report / May 31, 2012

SCHEDULE OF INVESTMENTS

Dynamic Asset Allocation Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 76.5%
Consumer Discretionary — 8.6%
Abercrombie & Fitch, Cl A		2,800	$	94
Amazon.com*		13,100		2,789
Apollo Group, Cl A*		3,700		118
AutoNation*		1,400		50
AutoZone*		1,000		380
Bed Bath & Beyond*		8,500		614
Best Buy		9,400		176
Big Lots*		2,200		81
BorgWarner*		4,000		287
Cablevision Systems, Cl A		7,200		82
Carmax*		8,600		243
Carnival		16,300		523
CBS, Cl B		23,200		741
Chipotle Mexican Grill, Cl A*		1,100		454
Coach		10,300		695
Comcast, Cl A		96,900		2,801
Darden Restaurants		4,300		222
DeVry		2,000		55
DIRECTV, Cl A*		24,100		1,071
Discovery Communications, Cl A*		9,300		466
Dollar Tree*		4,400		454
DR Horton		9,200		153
Expedia		3,100		142
Family Dollar Stores		4,300		291
Ford Motor		135,200		1,428
Fossil*		1,900		139
GameStop, Cl A		4,500		86
Gannett		7,900		103
Gap		12,100		321
Genuine Parts		5,600		353
Goodyear Tire & Rubber*		8,100		85
H&R Block		9,700		148
Harley-Davidson		8,300		400
Harman International Industries		2,300		90
Hasbro		3,800		134
Home Depot		55,400		2,733
International Game Technology		9,900		142
Interpublic Group		14,800		154

Description	Shares		Market Value ($ Thousands)
J.C. Penney		4,800	$	126
Johnson Controls		24,400		735
Kohl’s		9,100		417
Leggett & Platt		4,600		95
Lennar, Cl A		5,400		147
Limited Brands		9,100		404
Lowe’s		44,200		1,181
Macy’s		14,900		567
Marriott International, Cl A		9,700		376
Mattel		12,300		383
McDonald’s		36,600		3,270
McGraw-Hill		10,000		434
NetFlix*		1,800		114
Newell Rubbermaid		9,600		177
News, Cl A		76,600		1,471
NIKE, Cl B		13,100		1,417
Nordstrom		5,800		275
Omnicom Group		9,900		472
O’Reilly Automotive*		4,600		441
priceline.com*		1,800		1,126
PulteGroup*		11,200		105
Ralph Lauren, Cl A		2,400		357
Ross Stores		8,200		518
Scripps Networks Interactive, Cl A		3,200		175
Sears Holdings*		1,300		64
Staples		25,100		330
Starbucks		26,800		1,471
Starwood Hotels & Resorts Worldwide		7,100		375
Target		23,900		1,384
Tiffany		4,600		255
Time Warner		34,500		1,189
Time Warner Cable, Cl A		11,200		845
TJX		26,900		1,142
TripAdvisor*		3,100		133
Urban Outfitters*		3,700		104
VF		3,100		437
Viacom, Cl B		19,300		921
Walt Disney		64,400		2,944
Washington Post, Cl B		200		70
Whirlpool		2,500		155
Wyndham Worldwide		5,400		269
Wynn Resorts		2,700		278
Yum! Brands		16,400		1,154
				47,601
Consumer Staples — 8.8%
Altria Group		73,600		2,369
Archer-Daniels-Midland		23,700		756
Avon Products		15,700		260
Beam		5,700		345
Brown-Forman, Cl B		3,600		314
Campbell Soup		5,900		187

SEI Institutional Investments Trust / Annual Report / May 31, 2012 175

SCHEDULE OF INVESTMENTS

Dynamic Asset Allocation Fund (Continued)

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Clorox		4,700	$	323
Coca-Cola		81,100		6,060
Coca-Cola Enterprises		11,000		301
Colgate-Palmolive		17,100		1,681
ConAgra Foods		14,900		375
Constellation Brands, Cl A*		5,700		110
Costco Wholesale		15,500		1,339
CVS Caremark		46,300		2,081
Dean Foods*		6,100		95
Dr. Pepper Snapple Group		7,700		318
Estee Lauder, Cl A		8,100		438
General Mills		23,000		881
Hershey		5,600		374
HJ Heinz		11,500		610
Hormel Foods		4,500		135
JM Smucker		4,200		322
Kellogg		8,900		434
Kimberly-Clark		14,000		1,111
Kraft Foods, Cl A		63,600		2,434
Kroger		20,700		456
Lorillard		4,700		581
McCormick		5,000		282
Mead Johnson Nutrition, Cl A		7,300		589
Molson Coors Brewing, Cl B		5,900		227
PepsiCo		56,400		3,827
Philip Morris International		61,800		5,223
Procter & Gamble		98,800		6,154
Reynolds American		12,000		502
Safeway		8,900		169
Sara Lee		21,300		445
Sysco		21,000		586
Tyson Foods, Cl A		9,700		188
Walgreen		31,200		952
Wal-Mart Stores		62,700		4,127
Whole Foods Market		5,800		514
				48,475
Energy — 8.1%
Alpha Natural Resources*		7,300		77
Anadarko Petroleum		17,700		1,080
Apache		13,700		1,115
Baker Hughes		15,700		655
Cabot Oil & Gas		7,900		257
Cameron International*		8,900		406
Chesapeake Energy		23,900		404
Chevron		70,900		6,970
ConocoPhillips		46,000		2,399
Consol Energy		8,300		233
Denbury Resources*		14,300		216
Devon Energy		14,400		857
Diamond Offshore Drilling		2,300		134
EOG Resources		9,600		953
EQT		5,000		232
Exxon Mobil		168,800		13,273

Description	Shares		Market Value ($ Thousands)
FMC Technologies*		8,600	$	346
Halliburton		32,900		989
Helmerich & Payne		3,600		163
Hess		10,900		476
Kinder Morgan		15,678		536
Marathon Oil		25,200		628
Marathon Petroleum		12,500		451
Murphy Oil		7,000		326
Nabors Industries*		9,600		130
National Oilwell Varco		15,100		1,008
Newfield Exploration*		4,400		132
Noble		9,200		288
Noble Energy		6,300		532
Occidental Petroleum		29,200		2,315
Peabody Energy		9,900		231
Phillips 66*		22,900		688
Pioneer Natural Resources		4,400		425
QEP Resources		5,900		155
Range Resources		5,700		327
Rowan, Cl A*		4,100		123
Schlumberger		47,900		3,030
Southwestern Energy*		12,600		353
Spectra Energy		23,300		669
Sunoco		3,500		163
Tesoro*		4,600		102
Valero Energy		20,000		422
Williams		22,800		696
WPX Energy*		6,600		97
				45,062
Financials — 10.7%
ACE		12,000		868
Aflac		16,700		669
Allstate		17,900		608
American Express		36,500		2,038
American International Group*		22,700		662
American Tower, Cl A‡		14,100		915
Ameriprise Financial		8,000		383
Aon		11,700		544
Apartment Investment & Management, Cl A‡		5,200		141
Assurant		2,900		97
AvalonBay Communities‡		3,400		475
Bank of America		385,700		2,835
Bank of New York Mellon		43,000		876
BB&T		24,900		752
Berkshire Hathaway, Cl B*		63,100		5,008
BlackRock, Cl A		4,541		776
Boston Properties‡		5,300		545
Capital One Financial		19,700		1,012
CBRE Group, Cl A*		10,900		179
Charles Schwab		38,900		485
Chubb		9,700		699
Cincinnati Financial		5,400		195

176 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Shares		Market Value ($ Thousands)
Citigroup		105,300	$	2,792
CME Group, Cl A		2,400		618
Comerica		7,500		228
Discover Financial Services		19,000		629
E*Trade Financial*		8,400		71
Equity Residential‡		10,800		660
Federated Investors, Cl B		3,100		62
Fifth Third Bancorp		33,200		443
First Horizon National		8,500		72
Franklin Resources		5,100		545
Genworth Financial, Cl A*		16,300		85
Goldman Sachs Group		17,600		1,684
Hartford Financial Services Group		16,000		269
HCP‡		14,700		600
Health Care REIT		7,600		421
Host Hotels & Resorts‡		25,600		391
Hudson City Bancorp		17,500		109
Huntington Bancshares		28,600		187
IntercontinentalExchange*		2,600		318
Invesco		16,100		350
JPMorgan Chase		137,000		4,542
Keycorp		35,800		269
Kimco Realty‡		14,900		267
Legg Mason		4,100		104
Leucadia National		6,600		134
Lincoln National		9,700		200
Loews		11,000		428
M&T Bank		4,600		374
Marsh & McLennan		19,500		624
MetLife		37,800		1,104
Moody’s		7,200		263
Morgan Stanley		54,400		727
NASDAQ OMX Group		4,100		90
Northern Trust		8,700		376
NYSE Euronext		8,600		209
People’s United Financial		11,900		138
Plum Creek Timber‡		6,100		223
PNC Financial Services Group		18,800		1,155
Principal Financial Group		11,000		270
Progressive		22,000		478
ProLogis‡		16,500		528
Prudential Financial		16,800		780
Public Storage‡		5,100		681
Regions Financial		51,300		323
Simon Property Group‡		10,900		1,608
SLM		19,100		267
SunTrust Banks		19,200		440
T. Rowe Price Group		9,100		524
Torchmark		3,300		154
Travelers		14,000		875
Unum Group		9,600		192
US Bancorp		67,900		2,112
Ventas‡		10,400		612
Vornado Realty Trust‡		6,600		541

Description	Shares		Market Value ($ Thousands)
Wells Fargo		189,100	$	6,061
Weyerhaeuser‡		19,400		386
XL Group, Cl A		10,500		215
Zions Bancorporation		6,100		116
				59,686
Health Care — 9.1%
Abbott Laboratories		56,500		3,491
Aetna		12,600		515
Agilent Technologies		12,500		508
Alexion Pharmaceuticals*		6,600		598
Allergan		10,900		984
AmerisourceBergen		9,400		348
Amgen		28,100		1,953
Baxter International		20,000		1,012
Becton Dickinson		7,500		548
Biogen Idec*		8,500		1,111
Boston Scientific*		52,800		303
Bristol-Myers Squibb		60,000		2,000
C.R. Bard		2,900		282
Cardinal Health		12,400		513
CareFusion*		7,400		179
Celgene*		15,600		1,065
Cerner*		5,400		421
CIGNA		10,300		452
Coventry Health Care		4,700		143
Covidien		17,300		896
DaVita*		3,400		276
Dentsply International		4,700		174
Edwards Lifesciences*		4,200		359
Eli Lilly		36,300		1,487
Express Scripts Holding*		28,400		1,482
Forest Laboratories*		9,700		340
Gilead Sciences*		27,000		1,349
Hospira*		5,500		172
Humana		5,900		451
Intuitive Surgical*		1,400		732
Johnson & Johnson		98,400		6,143
Laboratory Corp of America Holdings*		3,500		292
Life Technologies*		6,500		266
McKesson		8,800		768
Medtronic		37,000		1,363
Merck		109,200		4,104
Mylan Laboratories*		15,500		336
Patterson		2,900		96
PerkinElmer		3,800		101
Perrigo		3,400		353
Pfizer		270,300		5,911
Quest Diagnostics		5,800		330
St. Jude Medical		11,600		446
Stryker		11,600		597
Tenet Healthcare*		13,600		64
Thermo Fisher Scientific		13,100		661
UnitedHealth Group		37,100		2,069

SEI Institutional Investments Trust / Annual Report / May 31, 2012 177

SCHEDULE OF INVESTMENTS

Dynamic Asset Allocation Fund (Continued)

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Varian Medical Systems*		4,100	$	241
Waters*		3,000		240
Watson Pharmaceuticals*		4,600		328
WellPoint		12,000		809
Zimmer Holdings		6,400		388
				50,050
Industrials — 8.1%
3M		24,700		2,085
Avery Dennison		3,500		102
Boeing		26,500		1,845
C.H. Robinson Worldwide		5,900		344
Caterpillar		23,000		2,015
Cintas		3,700		137
Cooper Industries, Cl A		5,500		388
CSX		37,600		786
Cummins		6,900		669
Danaher		20,400		1,060
Deere		14,300		1,056
Dover		6,600		373
Dun & Bradstreet		1,600		108
Eaton		12,000		512
Emerson Electric		26,200		1,226
Equifax		4,000		181
Expeditors International of Washington		7,700		295
Fastenal		10,600		469
FedEx		11,200		998
Flowserve		1,800		185
Fluor		6,100		286
General Dynamics		12,800		819
General Electric		379,200		7,239
Goodrich		4,500		566
Honeywell International		27,600		1,536
Illinois Tool Works		17,300		971
Ingersoll-Rand		10,700		442
Iron Mountain		5,700		162
Jacobs Engineering Group*		4,300		153
Joy Global		4,000		224
L-3 Communications Holdings, Cl 3		3,700		252
Lockheed Martin		9,500		787
Masco		11,800		149
Norfolk Southern		11,800		773
Northrop Grumman		9,100		535
Paccar		12,800		481
Pall		4,400		245
Parker Hannifin		5,400		441
Pitney Bowes		6,600		90
Precision Castparts		5,200		864
Quanta Services*		7,000		158
Raytheon		12,200		614
Republic Services, Cl A		11,500		303
Robert Half International		4,700		134

Description	Shares		Market Value ($ Thousands)
Rockwell Automation		4,900	$	355
Rockwell Collins		5,400		272
Roper Industries		3,500		354
RR Donnelley & Sons		5,900		63
Ryder System		1,700		73
Snap-on		1,900		115	��
Southwest Airlines		29,100		263
Stanley Black & Decker		6,100		404
Stericycle*		3,100		270
Textron		10,500		248
Tyco International		16,500		877
Union Pacific		17,100		1,905
United Parcel Service, Cl B		34,500		2,585
United Technologies		32,700		2,423
Waste Management		16,600		538
WW Grainger		2,100		406
Xylem		6,100		155
				44,364
Information Technology — 15.1%
Accenture, Cl A		23,000		1,313
Adobe Systems*		17,700		550
Advanced Micro Devices*		19,400		118
Akamai Technologies*		5,900		173
Altera		11,700		391
Amphenol, Cl A		5,900		314
Analog Devices		10,800		393
Apple*		33,400		19,296
Applied Materials		46,400		479
Autodesk*		8,200		263
Automatic Data Processing		17,500		913
BMC Software*		6,200		262
Broadcom, Cl A		17,600		569
CA		13,200		328
Cisco Systems		193,500		3,160
Citrix Systems*		6,700		490
Cognizant Technology Solutions, Cl A*		10,900		635
Computer Sciences		5,100		136
Corning		54,500		708
Dell*		54,600		673
eBay*		40,700		1,595
Electronic Arts*		11,000		150
EMC*		72,900		1,739
F5 Networks*		2,700		279
Fidelity National Information Services		8,800		288
First Solar*		1,900		24
Fiserv*		5,000		337
FLIR Systems		5,100		109
Google, Cl A*		9,100		5,286
Harris		3,800		151
Hewlett-Packard		70,300		1,594
Intel		179,200		4,630
International Business Machines		41,500		8,005
Intuit		10,600		596

178 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Shares		Market Value ($ Thousands)
Jabil Circuit		6,100	$	116
JDS Uniphase*		7,600		77
Juniper Networks*		19,000		327
Kla-Tencor		6,100		280
Lexmark International, Cl A		2,300		58
Linear Technology		8,600		250
LSI*		18,800		125
Mastercard, Cl A		3,800		1,545
Microchip Technology		6,400		198
Micron Technology*		32,700		191
Microsoft		267,600		7,811
Molex		4,500		104
Motorola Solutions		10,600		510
NetApp*		13,100		390
Novellus Systems*		2,300		96
Nvidia*		22,400		278
Oracle		140,700		3,724
Paychex		11,700		351
Qualcomm		60,700		3,479
Red Hat*		7,000		360
SAIC		9,200		102
Salesforce.com*		4,800		665
SanDisk*		8,800		288
Symantec*		26,300		390
TE Connectivity		15,300		481
Teradata*		6,200		412
Teradyne*		6,200		90
Texas Instruments		40,800		1,162
Total System Services		5,300		123
VeriSign*		5,300		203
Visa, Cl A		17,700		2,039
Western Digital*		8,500		267
Western Union		22,400		367
Xerox		48,200		348
Xilinx		9,500		304
Yahoo!*		43,500		663
				84,121
Materials — 2.6%
Air Products & Chemicals		7,600		601
Airgas		2,300		200
Alcoa		38,600		330
Allegheny Technologies		3,500		112
Ball		5,200		208
Bemis		3,400		103
CF Industries Holdings		2,300		393
Cliffs Natural Resources		5,200		249
Dow Chemical		42,200		1,311
E.I. du Pont de Nemours		33,100		1,597
Eastman Chemical		5,000		233
Ecolab		10,400		657
FMC		5,200		265
Freeport-McMoRan Copper & Gold, Cl B		33,800		1,083
International Flavors & Fragrances		2,700		152

Description	Shares		Market Value ($ Thousands)
International Paper		15,700	$	458
MeadWestvaco		5,700		157
Monsanto		19,100		1,475
Mosaic		10,700		510
Newmont Mining		17,700		835
Nucor		11,400		408
Owens-Illinois*		5,400		106
PPG Industries		5,500		569
Praxair		10,600		1,126
Sealed Air		6,400		100
Sherwin-Williams		3,100		402
Sigma-Aldrich		4,400		305
Titanium Metals		2,700		31
United States Steel		4,800		97
Vulcan Materials		4,300		149
				14,222
Telecommunication Services — 2.5%
AT&T		212,500		7,261
CenturyLink		22,100		867
Crown Castle International*		9,000		492
Frontier Communications		33,000		123
MetroPCS Communications*		9,700		62
Sprint Nextel*		112,200		288
Verizon Communications		101,800		4,239
Windstream		19,400		182
				13,514
Utilities — 2.9%
AES*		23,600		285
AGL Resources		3,900		146
Ameren		8,900		287
American Electric Power		17,300		666
Centerpoint Energy		15,500		313
CMS Energy		8,500		198
Consolidated Edison		10,500		634
Dominion Resources		20,300		1,057
DTE Energy		6,100		347
Duke Energy		47,700		1,048
Edison International		11,700		526
Entergy		6,400		413
Exelon		30,300		1,121
FirstEnergy		15,000		702
Integrys Energy Group		2,600		141
NextEra Energy		14,900		974
NiSource		10,600		266
Northeast Utilities		11,300		407
NRG Energy*		7,500		115
ONEOK		3,600		299
Pepco Holdings		7,500		143
PG&E		14,800		647
Pinnacle West Capital		3,600		178
PPL		20,800		569
Progress Energy		10,600		581

SEI Institutional Investments Trust / Annual Report / May 31, 2012 179

SCHEDULE OF INVESTMENTS

Dynamic Asset Allocation Fund (Concluded)

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Public Service Enterprise Group		18,200	$	568
SCANA		4,400		206
Sempra Energy		8,600		559
Southern		30,800		1,414
TECO Energy		7,200		125
Wisconsin Energy		8,400		318
Xcel Energy		17,600		493
				15,746
Total Common Stock (Cost $450,909) ($ Thousands)				422,841
EXCHANGE-TRADED FUNDS — 18.9%
iShares iBoxx High Yield Fund		591,646		51,929
iShares JPMorgan Emerging Markets Bond Fund		477,161		52,812
Total Exchange-Traded Funds (Cost $108,383) ($ Thousands)				104,741
	Number of Warrants
WARRANT — 0.0%
Kinder Morgan, Expires 02/17/17*		17,664		40
Total Warrant (Cost $34) ($ Thousands)				40
CASH EQUIVALENT — 0.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.100%†**		3,706,936		3,707
Total Cash Equivalent (Cost $3,707) ($ Thousands)				3,707
Total Investments — 96.1% (Cost $563,033) ($ Thousands)			$	531,329

A list of the open forward foreign currency contracts held by the Fund at May 31, 2012, is as follows:

Maturity Date	Currency to Deliver (Thousands)			Currency to Receive (Thousands)			Unrealized Appreciation ($ Thousands)
7/27/12		EUR	280,334		USD	370,439	$	23,729

A list of the counterparties for the open forward foreign currency contracts held by the Fund at May 31, 2012, is as follows:

Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation ($ Thousands)
JPMorgan Chase Bank	$	(346,710	)	$	370,439	$	23,729

Percentages are based on a Net Assets of $552,649 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2012.

‡ Real Estate Investment Trust.

† Investment in Affiliated Security (see Note 5).

Cl — Class

EUR — Euro

REIT — Real Estate Investment Trust

USD — U.S. Dollar

The following is a list of the inputs used as of May 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	422,841	$	—	$	—	$	422,841
Exchange-Traded Funds		104,741		—		—		104,741
Warrant		40		—		—		40
Cash Equivalent		3,707		—		—		3,707
Total Investments in Securities	$	531,329	$	—	$	—	$	531,329

Other Financial Instruments	Level 1		Level 2		Level 3		Total
Forwards Contracts*	$	—	$	23,729	$	—	$	23,729

* Forwards contracts are valued at the unrealized appreciation on the instrument.

For the year ended May 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2012, there were no 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.

180 SEI Institutional Investments Trust / Annual Report / May 31, 2012

SCHEDULE OF INVESTMENTS

Multi-Asset Real Return Fund

May 31, 2012

Description	Face Amount ($ Thousands)/Shares		Market Value ($ Thousands)
U.S. TREASURY OBLIGATIONS — 49.0%
U.S. Treasury Inflation-Protected Securities
2.625%, 07/15/17	$	4,543	$	5,439
2.500%, 07/15/16 (A)		10,990		12,695
2.375%, 01/15/17		2,224		2,588
2.000%, 01/15/14 (A)		2,968		3,106
2.000%, 07/15/14 (A)		10,350		11,049
2.000%, 01/15/16		2,988		3,332
1.875%, 07/15/13 (A)		7,576		7,821
1.875%, 07/15/15 (A)		9,264		10,152
1.625%, 01/15/15		6,998		7,489
1.375%, 07/15/18		117		135
1.250%, 04/15/14		1,317		1,369
0.500%, 04/15/15		2,006		2,093
0.125%, 04/15/16		1,341		1,404
Total U.S. Treasury Obligations (Cost $68,549) ($ Thousands)				68,672
REGISTERED INVESTMENT COMPANY — 16.8%
United States — 16.8%
Credit Suisse Commodity Return Strategy Fund		3,146,814		23,507
Total Registered Investment Company (Cost $28,726) ($ Thousands)				23,507
FOREIGN COMMON STOCK — 14.8%
Australia — 0.8%
BHP Billiton		28,140		873
OneSteel		68,280		70
Rio Tinto		4,230		233
				1,176
Brazil — 0.8%
Petroleo Brasileiro ADR		40,330		789
Petroleo Brasileiro ADR, Cl A		18,830		356
				1,145
Canada — 3.8%
Agrium		6,840		534

Description	Shares		Market Value ($ Thousands)
Allied Properties, Cl Trust Unit‡		4,360	$	121
Boardwalk, Cl Trust Unit‡		2,390		136
Cameco		10,960		210
Canadian‡		1,690		64
Cominar‡		3,380		77
Dundee (Canada)‡		5,070		176
Goldcorp		23,990		873
Kinross Gold		63,890		511
Morguard‡		3,380		54
New Gold*		44,220		390
Nexen		19,630		307
Primaris Retail, Cl Trust Unit‡		1,960		43
RioCan, Cl Trust Unit‡		4,591		119
Suncor Energy		32,170		871
Teck Cominco, Cl B		15,970		477
Yamana Gold		22,620		331
				5,294
China — 0.5%
China Petroleum & Chemical		648,000		577
Evergrande Real Estate Group		154,000		84
				661
France — 0.3%
Total		9,310		400
Germany — 0.3%
BASF		5,270		367
Hong Kong — 0.0%
Great Eagle Holdings		20,000		50
Link REIT		770		3
				53
Italy — 0.3%
ENI		23,320		450
Japan — 0.2%
JFE Holdings		18,200		295
Netherlands — 1.8%
Koninklijke DSM		7,810		372
LyondellBasell Industries, Cl A		1		—
Royal Dutch Shell, Cl A		53,019		1,641
Royal Dutch Shell, Cl B		16,801		537
				2,550
Norway — 0.3%
Seadrill		13,560		453
Russia — 0.6%
Gazprom OAO ADR		97,730		857

SEI Institutional Investments Trust / Annual Report / May 31, 2012 181

SCHEDULE OF INVESTMENTS

Multi-Asset Real Return Fund (Continued)

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Singapore — 0.1%
UOL Group		17,000	$	58
South Africa — 0.3%
Exxaro Resources		20,290		448
Switzerland — 0.3%
Transocean		9,310		380
Thailand — 0.4%
Banpu		18,700		264
PTT NVDR		27,800		274
				538
Turkey — 0.1%
Koza Altin Isletmeleri		8,200		139
United Kingdom — 3.9%
Anglo American		27,400		831
BG Group		57,840		1,106
BHP Billiton		10,230		267
BP		282,660		1,718
Ensco, Cl A		4,760		214
Intercontinental Hotels Group		2,660		63
Mondi		29,620		231
Rio Tinto		24,990		1,069
				5,499
Total Foreign Common Stock (Cost $24,039) ($ Thousands)				20,763
COMMON STOCK — 14.4%
Consumer Staples — 0.3%
Bunge		3,670		218
Tyson Foods, Cl A		12,840		249
				467
Energy — 6.2%
Anadarko Petroleum		8,500		519
Cabot Oil & Gas		5,050		164
Chevron		12,570		1,236
Devon Energy		8,730		520
EOG Resources		4,880		485
Exxon Mobil		41,400		3,255
Halliburton		10,540		317
Hess		6,320		276
Marathon Oil		12,560		313
Noble Energy		2,490		210
Occidental Petroleum		10,085		799
Schlumberger		6,880		435
				8,529

Description	Shares		Market Value ($ Thousands)
Financials — 7.1%
American Campus Communities‡		1,860	$	82
AvalonBay Communities‡		2,350		328
Boston Properties‡		3,640		375
Brandywine Realty Trust‡		4,940		55
BRE Properties‡		1,830		90
Camden Property Trust‡		1,910		124
Corporate Office Properties Trust‡		1,796		40
CubeSmart‡		4,680		53
DDR‡		6,742		94
Digital Realty Trust‡		4,190		297
Douglas Emmett‡		6,240		134
Duke Realty‡		15,610		216
EastGroup Properties‡		3,470		172
Entertainment Properties Trust‡		1,890		78
Equity Residential‡		7,210		441
Essex Property Trust‡		830		125
Extra Space Storage‡		7,027		199
Federal Realty Investment Trust‡		1,540		151
FelCor Lodging Trust‡*		16,550		69
Forest City Enterprises, Cl A*		3,053		41
General Growth Properties‡		15,360		257
Glimcher Realty Trust‡		9,662		89
HCP‡		7,460		305
Health Care REIT		5,350		297
Host Hotels & Resorts‡		8,900		136
Kilroy Realty‡		2,840		130
LaSalle Hotel Properties‡		7,921		218
Lexington Realty Trust‡		15,641		130
Liberty Property Trust‡		2,940		102
LTC Properties‡		2,300		74
Macerich‡		1,400		80
Mack-Cali Realty‡		2,140		58
National Retail Properties‡		4,740		126
Omega Healthcare Investors‡		5,320		112
Pebblebrook Hotel Trust‡		7,480		164
Post Properties‡		1,330		64
ProLogis‡		11,570		370
PS Business Parks‡		430		28
Public Storage‡		2,790		372
Realty Income‡		2,870		110
Regency Centers‡		3,438		151
Retail Opportunity Investments‡		10,268		123
RLJ Lodging Trust‡		1,650		29
Senior Housing Properties Trust‡		6,660		138
Simon Property Group‡		8,610		1,270
SL Green Realty‡		2,100		158
Sovran Self Storage‡		2,920		144
Strategic Hotels & Resorts‡*		27,220		170
Tanger Factory Outlet Centers‡		5,660		175
Taubman Centers‡		680		50
UDR‡		9,550		247
Ventas‡		8,020		472
Vornado Realty Trust‡		4,520		370

182 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
Weingarten Realty Investors‡		3,290	$	84
				9,967
Industrials — 0.0%
Iron Mountain		1,890		54
Materials — 0.8%
Commercial Metals		25,810		301
Freeport-McMoRan Copper &
Gold, Cl B		4,090		131
Monsanto		7,570		584
United States Steel		5,810		118
				1,134
Total Common Stock (Cost $19,827) ($ Thousands)				20,151
CORPORATE OBLIGATIONS — 6.5%
Consumer Discretionary — 1.2%
CBS
5.750%, 04/15/20	$	145		169
3.375%, 03/01/22		106		106
Comcast
6.450%, 03/15/37		40		49
5.300%, 01/15/14		65		69
DIRECTV Holdings LLC
4.600%, 02/15/21		60		64
3.800%, 03/15/22 (B)		110		110
Interpublic Group of
4.000%, 03/15/22		18		18
Macy’s Retail Holdings
3.875%, 01/15/22		170		177
Marriott International
3.000%, 03/01/19		147		150
News America
6.150%, 02/15/41		75		86
4.500%, 02/15/21		90		97
Omnicom Group
3.625%, 05/01/22		58		59
Time Warner
4.700%, 01/15/21		130		145
Time Warner Cable
4.125%, 02/15/21		65		69
4.000%, 09/01/21		75		78
Viacom
4.500%, 03/01/21		130		145
Wynn Las Vegas LLC
5.375%, 03/15/22 (B)		105		102
				1,693
Consumer Staples — 0.1%
Bunge Finance
4.100%, 03/15/16		125		132

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Energy — 1.3%
Anadarko Petroleum
5.950%, 09/15/16	$	145	$	165
Cimarex Energy
5.875%, 05/01/22		54		55
Energy Transfer Partners
5.950%, 02/01/15		50		55
4.650%, 06/01/21		85		87
Enterprise Products Operating LLC
5.200%, 09/01/20		60		68
Kinder Morgan Energy Partners
4.150%, 03/01/22		48		49
3.950%, 09/01/22		121		122
Marathon Petroleum
5.125%, 03/01/21		107		119
Nabors Industries
9.250%, 01/15/19		84		111
Noble Energy
8.250%, 03/01/19		100		129
ONEOK
4.250%, 02/01/22		170		178
Phillips 66
4.300%, 04/01/22 (B)		175		182
Southwestern Energy
4.100%, 03/15/22 (B)		48		49
Spectra Energy Capital LLC
6.200%, 04/15/18		115		135
Valero Energy
6.125%, 02/01/20		84		98
Weatherford International
5.125%, 09/15/20		155		168
				1,770
Financials — 2.1%
American International Group
6.400%, 12/15/20		60		67
5.600%, 10/18/16		60		65
American Tower‡
5.050%, 09/01/20		145		152
Bank of America
3.875%, 03/22/17		105		104
3.625%, 03/17/16		65		64
Capital One Financial
4.750%, 07/15/21		55		60
Citigroup
6.875%, 03/05/38		40		47
4.500%, 01/14/22		190		195
Fifth Third Bancorp
3.500%, 03/15/22		67		68
Goldman Sachs Group
6.750%, 10/01/37		40		39
5.750%, 01/24/22		110		113
5.375%, 03/15/20		40		41
3.625%, 02/07/16		40		39

SEI Institutional Investments Trust / Annual Report / May 31, 2012 183

SCHEDULE OF INVESTMENTS

Multi-Asset Real Return Fund (Continued)

May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Hartford Financial Services Group
5.500%, 03/30/20	$	80	$	84
5.125%, 04/15/22		85		87
HCP‡
5.375%, 02/01/21		155		173
Health Care REIT
5.250%, 01/15/22		160		172
Host Hotels & Resorts‡
5.250%, 03/15/22 (B)		70		70
HSBC Finance
6.676%, 01/15/21 (B)		60		65
JPMorgan Chase
6.400%, 05/15/38		40		47
4.500%, 01/24/22		190		203
Markel
7.125%, 09/30/19		115		135
Marsh & McLennan
5.750%, 09/15/15		60		67
4.800%, 07/15/21		65		72
MetLife
7.717%, 02/15/19		50		64
5.700%, 06/15/35		65		77
Morgan Stanley
5.500%, 07/28/21		168		157
4.750%, 04/01/14		40		40
Nationwide Financial Services
5.375%, 03/25/21 (B)		130		137
SLM MTN
7.250%, 01/25/22		165		162
				2,866
Health Care — 0.1%
Humana
6.450%, 06/01/16		115		131
Industrials — 0.4%
BE Aerospace
5.250%, 04/01/22		105		106
CSX
4.750%, 05/30/42		165		169
Republic Services
3.800%, 05/15/18		130		139
Ryder System MTN
3.500%, 06/01/17		130		137
United Technologies
3.100%, 06/01/22		52		54
				605
Information Technology — 0.2%
Hewlett-Packard
4.650%, 12/09/21		73		76
Intel
4.800%, 10/01/41		95		106

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Xerox
4.500%, 05/15/21	$	110	$	114
2.950%, 03/15/17		22		22
				318
Materials — 0.4%
Alcoa
5.400%, 04/15/21		100		103
Ball
5.000%, 03/15/22		105		106
Dow Chemical
5.900%, 02/15/15		55		62
5.250%, 11/15/41		30		32
4.250%, 11/15/20		65		69
Eastman Chemical
3.600%, 08/15/22		19		19
2.400%, 06/01/17		46		46
International Paper
7.950%, 06/15/18		110		138
				575
Telecommunication Services — 0.3%
AT&T
5.350%, 09/01/40		113		127
U.S. Cellular
6.700%, 12/15/33		70		74
Verizon Communications
7.350%, 04/01/39		125		178
				379
Utilities — 0.4%
CMS Energy
5.050%, 03/15/22		52		54
Constellation Energy Group
5.150%, 12/01/20		60		66
FirstEnergy Solutions
6.800%, 08/15/39		60		65
6.050%, 08/15/21		55		62
MidAmerican Energy Holdings
6.125%, 04/01/36		140		177
Nisource Finance
6.125%, 03/01/22		100		119
Pacific Gas & Electric
4.500%, 12/15/41		65		70
				613
Total Corporate Obligations (Cost $8,948) ($ Thousands)				9,082

184 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES — 4.1%
Agency Mortgage-Backed Obligations — 1.8%
FHLMC ARM
3.259%, 10/01/39 (C)	$	4	$	4
FNMA
6.000%, 10/01/40		1,371		1,514
3.500%, 12/01/41		896		942
				2,460
Non-Agency Mortgage-Backed Obligations — 2.3%
Banc of America Commercial Mortgage, Ser 2006-5, Cl A4
5.414%, 09/10/47		300		330
CW Capital Cobalt, Ser 2007-C3, Cl A4
5.813%, 05/15/46 (C)		310		343
Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl A4
5.444%, 03/10/39		315		343
GS Mortgage Securities II, Ser 2012-GCJ7, Cl A4
3.377%, 05/10/45		345		350
JPMorgan Chase Commercial Mortgage Securities, Ser 2010- C2, Cl A1
2.749%, 11/15/43 (B)		154		159
JPMorgan Chase Commercial Mortgage Securities, Ser LD11, Cl A4
5.817%, 06/15/49 (C)		310		335
LB-UBS Commercial Mortgage Trust, Ser C1, Cl A4
5.424%, 02/15/40		305		343
LB-UBS Commercial Mortgage Trust, Ser C2, Cl A3
5.430%, 02/15/40		310		339
Merrill Lynch Mortgage Trust, Ser 2005-CIP1, Cl A2
4.960%, 07/12/38		170		172
Merrill Lynch, Ser 2007-9, Cl A4
5.700%, 09/12/49		300		326
Morgan Stanley Capital I, Ser IQ12, Cl A4
5.332%, 12/15/43		150		169
				3,209
Total Mortgage-Backed Securities (Cost $5,596) ($ Thousands)				5,669
ASSET-BACKED SECURITIES — 3.2%
Automotive — 2.2%
AmeriCredit Automobile Receivables Trust, Ser 2011-3, Cl A2
0.840%, 11/10/14		351		352

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
AmeriCredit Automobile Receivables Trust, Ser 2011-4, Cl A2
0.920%, 03/09/15	$	89	$	89
Bank of America Auto Trust, Ser 2012-1, Cl A4
1.030%, 12/15/16		170		170
CarMax Auto Owner Trust, Ser 2011-3, Cl A3
1.070%, 06/15/16		70		70
Exeter Automobile Receivables Trust, Ser 2012-1A
2.020%, 08/15/16 (B)		122		122
Ford Credit Auto Lease Trust, Ser 2011-B, Cl A2
0.820%, 01/15/14		160		160
Ford Credit Floorplan Master Owner Trust, Ser 2012-1, Cl A
0.709%, 01/15/16 (C)		326		327
GE Dealer Floorplan Master Note Trust, Ser 2012-2, Cl A
0.989%, 04/22/19 (C)		255		255
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)		111		111
Mercedes-Benz Auto Lease Trust, Ser 2011-B, Cl A2
0.900%, 01/15/14 (B)		195		195
Mercedes-Benz Auto Lease Trust, Ser 2012-A, Cl A2
0.660%, 04/15/14		214		214
Nissan Auto Lease Trust, Ser 2012-A, Cl A2A
0.680%, 07/15/14		155		155
Nissan Master Owner Trust Receivables, Ser 2012-A, Cl A
0.710%, 05/15/17 (C)		331		331
Porsche Innovative Lease Owner Trust, Ser 2011-1
1.090%, 09/22/14 (B)		185		185
Santander Drive Auto Receivables Trust, Ser 2012-3, Cl A2
0.830%, 04/15/15		260		260
				3,131
Credit Cards — 0.8%
American Express Credit Account Master Trust, Ser 2011-1, Cl A
0.409%, 04/17/17 (C)		285		285

SEI Institutional Investments Trust / Annual Report / May 31, 2012 185

SCHEDULE OF INVESTMENTS

Multi-Asset Real Return Fund (Continued)

May 31, 2012

Description	Face Amount (1) ($ Thousands)		Market Value ($ Thousands)
GE Capital Credit Card Master Note Trust, Ser 2011-2, Cl A
0.719%, 05/15/19 (C)	$	420	$	422
Penarth Master Issuer, Ser 2010- 2A, Cl A2
0.990%, 12/18/14 (B) (C)		200		200
Penarth Master Issuer, Ser 2012- 1A, Cl A1
0.810%, 03/18/14 (B) (C)		174		174
				1,081
Other Asset-Backed Securities — 0.2%
CIT Equipment Collateral, Ser 2012-VT1, Cl A3
1.100%, 08/22/16 (B)		170		170
CNH Equipment Trust, Ser 2012- A, Cl A3
0.940%, 05/15/17		132		133
				303
Total Asset-Backed Securities (Cost $4,513) ($ Thousands)				4,515
FOREIGN BONDS — 2.7%
AngloGold Ashanti Holdings
5.375%, 04/15/20		95		97
ArcelorMittal
5.500%, 03/01/21		60		57
Asciano Finance
5.000%, 04/07/18 (B)		130		136
Barclays Bank
5.125%, 01/08/20		100		107
BBVA US Senior SAU
3.250%, 05/16/14		135		130
British Telecommunications
5.950%, 01/15/18		145		168
Delhaize Group
6.500%, 06/15/17		115		129
Deutsche Telekom International Finance BV
8.750%, 06/15/30		100		138
4.875%, 03/06/42 (B)		170		163
DNB Bank
3.200%, 04/03/17 (B)		200		202
Encana
3.900%, 11/15/21		170		170
Gazprom OAO Via Gaz Capital MTN
6.212%, 11/22/16		130		140
Globo Comunicacao e Participacoes
5.307%, 05/11/17 (B) (C)		200		211
HSBC Holdings
5.100%, 04/05/21		40		44
4.000%, 03/30/22		60		61

Description	Face Amount (1) ($ Thousands)/Shares/ Contracts		Market Value ($ Thousands)
KazMunayGas National
7.000%, 05/05/20 (B)		120	$	131
Korea National Oil
3.125%, 04/03/17 (B)		200		201
Lloyds TSB Bank
4.200%, 03/28/17		170		170
Perusahaan Listrik Negara
5.500%, 11/22/21 (B)		200		197
Petrobras International Finance
5.750%, 01/20/20		115		125
Petronas Capital
5.250%, 08/12/19 (B)		125		143
Royal Bank of Scotland
4.875%, 03/16/15		100		103
Talent Yield Investments
4.500%, 04/25/22 (B)		200		200
Teck Resources
4.750%, 01/15/22		61		65
Telecom Italia Capital
7.175%, 06/18/19		60		60
5.250%, 10/01/15		65		63
Telefonaktiebolaget LM Ericsson
4.125%, 05/15/22		176		178
Telefonica Emisiones SAU
5.462%, 02/16/21		70		62
Vodafone Group
6.150%, 02/27/37		140		178
Total Foreign Bonds (Cost $3,841) ($ Thousands)				3,829
PREFERRED STOCK — 0.7%
Materials — 0.7%
Vale ADR, Cl B		55,610		1,008
Total Preferred Stock (Cost $1,300) ($ Thousands)				1,008
U.S. GOVERNMENT AGENCY OBLIGATION — 0.6%
FHLMC
2.375%, 01/13/22		746		768
Total U.S. Government Agency Obligation (Cost $742) ($ Thousands)				768
PURCHASED OPTIONS — 0.2%
United States — 0.2%
July 2012 SPX U.S. Index, Expires 07/21/12, Strike Price: $1,275*		15		43
September 2012 SPX U.S. Index, Expires 09/22/12, Strike Price: $1,275*		9		48

186 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Description	Contracts/Face Amount (1) ($ Thousands)			Market Value ($ Thousands)
December 2012 SPX U.S. Index, Expires 12/22/12, Strike Price: $1,275*		21		$	168
Total Purchased Options (Cost $297) ($ Thousands)					259
SOVEREIGN DEBT — 0.1%
State of Qatar
4.50%, 01/20/22 (B)		200			215
Total Sovereign Debt (Cost $210) ($ Thousands)					215
Total Investments — 113.1% (Cost $166,588) ($ Thousands)				$	158,438
WRITTEN OPTIONS — 0.1%
United States — 0.1%
July 2012 SPX U.S. Index, Expires 07/21/12, Strike Price: $1,075*		(15	)		(7	)
September 2012 SPX U.S. Index, Expires 09/22/12, Strike Price: $1,075*		(9	)		(14	)
December 2012 SPX U.S. Index, Expires 12/22/12, Strike Price: $1,075*		(21	)		(72	)
Total Written Options (Premiums Received $102) ($ Thousands)				$	(93	)

A list of the open futures contracts held by the Fund at May 31, 2012, is as follows:

Type of Contract	Number of Contracts Short			Expiration Date		Unrealized Depreciation ($ Thousands)
U.S. 2-Year Treasury Note		(6	)		Sep-2012	$	(1	)
U.S. 5-Year Treasury Note		(8	)		Sep-2012		(3	)
U.S. 10-Year Treasury Note		(37	)		Sep-2012		(51	)
U.S. Long Treasury Bond		(12	)		Sep-2012		(34	)
						$	(89	)

For the year ended May 31, 2012, 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 list of the open forward foreign currency contracts held by the Fund at May 31, 2012, is as follows:

Settlement Date		Currency to Deliver (Thousands)			Currency to Receive (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
6/4/12-6/15/12	CNY		38,158	USD		6,023	$	32
6/4/12-7/10/12	USD		8,153	CNY		51,624		(49	)
6/5/12	USD		2,056	BRL		4,161		(2	)
6/5/12-7/3/12	BRL		8,322	USD		4,226		129
6/15/12	AUD		3,981	USD		4,029		173
6/15/12	CAD		9,510	USD		9,468		289
6/15/12	CHF		227	USD		246		12
6/15/12	EUR		4,768	USD		6,208		313
6/15/12	GBP		6,270	USD		10,020		371
6/15/12	HKD		1,388	USD		179		—
6/15/12	JPY		144,069	USD		1,765		(73	)
6/15/12	NOK		1,812	USD		310		14
6/15/12	RUB		25,320	USD		838		84
6/15/12	SGD		158	USD		127		4
6/15/12	THB		16,438	USD		529		12
6/15/12	TRY		273	USD		151		5
6/15/12	USD		378	CAD		380		(11	)
6/15/12	USD		3,819	GBP		2,409		(112	)
6/15/12	USD		85	HKD		657		—
6/15/12	USD		1,382	JPY		111,026		35
6/15/12	USD		66	SGD		84		(1	)
6/15/12	ZAR		2,118	USD		266		19
							$	1,244

A list of the counterparties for the open forward foreign currency contracts held by the Fund at May 31, 2012, is as follows:

Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
Barclays PLC	$	(296	)	$	310	$	14
Brown Brothers Harriman		(13,223	)		13,237		14
Citigroup		(1,080	)		1,123		43
CSFB		(8,928	)		9,022		94
Deutsche Bank		(11,537	)		11,883		346
HSBC		(558	)		571		13
JPMorgan Chase		(247	)		266		19
Royal Bank of Canada		(398	)		380		(18	)
Royal Bank of Scotland		(7,589	)		7,875		286
Standard Chartered Bank		(5,507	)		5,494		(13	)
UBS		(9,576	)		10,022		446
						$	1,244

For the year ended May 31, 2012, 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 year.

SEI Institutional Investments Trust / Annual Report / May 31, 2012 187

SCHEDULE OF INVESTMENTS

Multi-Asset Real Return Fund (Concluded)

May 31, 2012

A list of the open swap agreements held by the Fund at May 31, 2012, is as follows:

Credit Default Swap
Counterparty	Reference Entity	Buy/Sell Protection	(Pays)/ Receives Rate			Termination Date		Notional Amount ($ Thousands)		Unrealized Appreciation ($ Thousands)
Morgan Stanley	CDX.NA.IG.17-V1 Index	Sell		1.00	%		12/20/16	$	(890)	$	11

Total Return Swaps
Counterparty	Reference Entity	Fund Pays	Fund Receives		Termination Date		Notional Amount ($ Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
UBS Warburg	S&P 500 Total Return Index	Index Return		1-Month LIBOR Plus 11 Bps		08/15/12	$	5,827	$	83
UBS Warburg	S&P 500 Total Return Index	Index Return		1-Month LIBOR Plus 11 Bps		08/15/12		5,650		80
UBS Warburg	S&P 500 Total Return Index	Index Return		1-Month LIBOR Plus 11 Bps		08/15/12		681		10
UBS Warburg	S&P 500 Total Return Index	Index Return		1-Month LIBOR Plus 8 Bps		08/15/12		1,319		19
UBS Warburg	S&P 500 Total Return Index	Index Return		1-Month LIBOR Plus 4 Bps		08/15/12		1,574		22
UBS Warburg	S&P 500 Total Return Index	Index Return		1-Month LIBOR Plus 6.5 Bps		09/17/12		776		11
UBS Warburg	S&P 500 Total Return Index	Index Return		1-Month LIBOR Plus 10 Bps		10/15/12		115		2
UBS Warburg	S&P 500 Total Return Index	Index Return		1-Month LIBOR Minus 6 Bps		10/15/12		483		7
UBS Warburg	S&P 500 Total Return Index	Index Return		1-Month LIBOR Plus 6 Bps		12/17/12		1,167		16
Barclays Bank PLC	S&P 500 Total Return Index	Index Return		1-Month LIBOR Plus 3 Bps		12/17/12		251		4
JPMorgan Chase Bank	S&P 500 Total Return Index	Index Return		1-Month LIBOR Plus 16 Bps		04/15/13		456		6
JPMorgan Chase Bank	S&P 500 Total Return Index	Index Return		1-Month LIBOR Plus 15 Bps		04/15/13		1,135		16
UBS Warburg	S&P 500 Total Return Index	Index Return		1-Month LIBOR Plus 12 Bps		05/15/13		801		11
Morgan Stanley	S&P 500 Total Return Index	Index Return		1-Month LIBOR Plus 12 Bps		05/15/13		501		15
UBS Warburg	S&P 500 Total Return Index	Index Return		1-Month LIBOR Plus 12 Bps		05/15/13		196		3
UBS Warburg	S&P 500 Total Return Index	Index Return		1-Month LIBOR Plus 13 Bps		06/17/13		375		(3	)
									$	302

Interest Rate Swaps
Counterparty	Fund Pays	Fund Receives	Termination Date	Notional Amount ($ Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
Barclays Bank PLC	1.10%	3 Month LIBOR	02/21/17	$	500	$	(5	)
Credit Suisse	3 Month LIBOR	2.09%	03/12/22		250		9
JPMorgan Chase	0.69%	3 Month LIBOR	10/13/13		4,910		(7	)
JPMorgan Chase	2.08%	3 Month LIBOR	04/26/22		590		(19	)
Morgan Stanley	0.56%	3 Month LIBOR	03/12/14		3,880		2
Morgan Stanley	3 Month CAD LIBOR	2.54%	04/24/22		CAD    750		32
Morgan Stanley	2.81%	3 Month LIBOR	02/21/42		450		(44	)
Morgan Stanley	2.80%	3 Month LIBOR	03/06/42		330		(31	)
						$	(63	)

For the year ended May 31, 2012, the total amount of all open swap agreements, as presented in the tables above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on a Net Assets of $140,063 ($ 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 futures contracts and 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 May 31, 2012. The date reported on the Schedule of Investments is the final maturity date.

ADR — American Depositary Receipt

ARM — Adjustable Rate Mortgage

AUD — Australian Dollar

BRL — Brazilian Real

Bps — Basis Points

CAD — Canadian Dollar

CDX.NA.IG — Credit Derivatives Index — North American Investment Grade

CHF — Swiss Franc

Cl — Class

CNY — Chinese Yuan

EUR — Euro

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GBP — British Pound Sterling

HKD — Hong Kong Dollar

JPY — Japanese Yen

LIBOR — London Interbank Offered Rate

LLC — Limited Liability Company

MTN — Medium Term Note

NOK — Norwegian Krone

NVDR — Non-Voting Depositary Receipt

PLC — Public Limited Company

REIT — Real Estate Investment Trust

RUB — Russian Ruble

S&P — Standard & Poor’s

Ser — Series

SGD — Singapore Dollar

188 SEI Institutional Investments Trust / Annual Report / May 31, 2012

SPX — Standard & Poor’s 500 Index

THB — Thai Baht

TRY — New Turkish Lira

USD — U.S. Dollar

ZAR — South African Rand

The following is a list of the inputs used as of May 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
U.S. Treasury Obligations	$	—	$	68,672	$	—	$	68,672
Registered Investment Company		23,507		—		—		23,507
Foreign Common Stock		20,763		—		—		20,763
Common Stock		20,151		—		—		20,151
Corporate Obligations		—		9,082		—		9,082
Mortgage-Backed Securities		—		5,669		—		5,669
Asset-Backed Securities		—		4,515		—		4,515
Foreign Bonds		—		3,829		—		3,829
Preferred Stock		1,008		—		—		1,008
U.S. Government Agency Obligation		—		768		—		768
Purchased Options		259		—		—		259
Sovereign Debt		—		215		—		215
Total Investments in Securities	$	65,688	$	92,750	$	—	$	158,438

Securities Sold Short	Level 1			Level 2		Level 3			Total
Written Options	$	(93	)	$	—	$	—	��	$	(93	)

Other Financial Instruments	Level 1			Level 2			Level 3		Total
Futures Contracts*	$	(89	)	$	—		$	—	$	(89	)
Forwards Contracts*		—			1,244			—		1,244
Credit Default Swaps*		—			11			—		11
Total Return Swaps*		—			302			—		302
Interest Rate Swaps*		—			(63	)		—		(63	)
Reverse Repurchase Agreements		—			23,477			—		23,477
Total Other Financial Instruments	$	(89	)	$	24,971		$	—	$	24,882

* Futures and forwards contracts and swaps are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended May 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2012, there were no 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 / Annual Report / May 31, 2012 189

Statements of Assets and Liabilities ($ Thousands)

May 31, 2012

	Large Cap Fund			Large Cap Diversified Alpha Fund			Large Cap Disciplined Equity Fund
ASSETS:
Investments, at value†		$1,717,355	*		$ 309,747			$4,668,603	*
Affiliated investment, at value††		179,809			10,051			1,085,181
Cash		2,798			939			1,510
Foreign currency, at value†††		—			—			—
Receivable for fund shares sold		131,394			289			24,578
Receivable for investment securities sold		9,397			2,187			312,417
Dividends and interest receivable		3,590			750			13,052
Receivable for variation margin		20			4			424
Foreign tax reclaim receivable		1			1			2
Unrealized gain on foreign spot currency contracts		—			—			—
Unrealized gain on forward foreign currency contracts		—			—			—
Prepaid expenses		9			2			39
Total Assets		2,044,373			323,970			6,105,806
LIABILITIES:
Payable upon return on securities loaned		130,859			—			298,225
Payable to custodian		—			—			—
Payable for investment securities purchased		132,709			2,790			37,392
Payable for fund shares redeemed		6,183			176			332,691
Payable for variation margin		15			—			4
Unrealized loss on foreign spot currency contracts		—			—			—
Unrealized loss on forward foreign currency contracts		—			—			—
Investment advisory fees payable		350			82			855
Chief Compliance Officer fees payable		4			1			16
Accrued expense payable		75			14			233
Total Liabilites		270,195			3,063			669,416
Net Assets		$1,774,178			$ 320,907			$5,436,390
†Cost of investments		1,539,982			290,621			4,414,515
††Cost of affiliated investments		180,704			10,051			1,257,127
†††Cost of foreign currency		—			—			—
* Includes market value of securities on loan		123,579			—			290,646
NET ASSETS:
Paid-in-Capital — (unlimited authorization — no par value)		$1,597,941			$ 420,322			$6,237,393
Undistributed net investment income		5,122			1,216			18,169
Accumulated net realized gain (loss) on investments, option contracts, futures contracts, securities sold short, swap contracts and foreign currency		(3,530	)		(119,300	)		(870,653	)
Net unrealized appreciation (depreciation) on investments and option contracts		176,478			19,126			82,142
Net unrealized depreciation on futures contracts		(1,833	)		(457	)		(30,661	)
Net unrealized depreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies		—			—			—
Net Assets		$1,774,178			$ 320,907			$5,436,390
Net Asset Value, Offering and Redemption Price Per Share — Class A		$17.07			$9.41			$10.58
		($1,774,178,186÷ 103,960,169 shares	)		($320,907,271÷ 34,099,006 shares	)		($5,436,390,248÷ 513,850,613 shares	)

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

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

190 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Large Cap Index Fund			Small Cap Fund			Small Cap II Fund			Small/Mid Cap Equity Fund			U.S. Managed Volatility Fund			International Equity Fund
	$1,223,802	*		$ 733,141	*		$56,008			$1,913,306	*		$708,600			$ 328,167	*
	164,938			232,705			1,834			589,864			10,277			20,489
	1,007			—			—			—			—			—
	—			—			—			—			25			726
	9,013			25,947			10,135			9,636			1,263			14,633
	3,312			23,787			160			15,875			894			16,981
	2,947			430			33			1,455			2,088			1,874
	5			63			6			21			3			3
	—			—			—			—			—			801
	—			—			—			—			—			3,172
	—			—			—			—			—			122
	6			4			—			11			2			2
	1,405,030			1,016,077			68,176			2,530,168			723,152			386,970
	125,198			203,999			—			530,508			—			16,702
	—			—			—			—			—			220
	17,965			52,645			6,081			16,322			585			2,811
	6,099			5,826			—			1,043			254			39,048
	—			—			—			6			—			61
	—			—			—			—			—			3,167
	—			—			—			2			—			—
	22			337			23			842			176			132
	3			2			—			5			2			1
	74			36			6			82			53			132
	149,361			262,845			6,110			548,810			1,070			62,274
	$1,255,669			$ 753,232			$62,066			$1,981,358			$722,082			$ 324,696
	1,084,616			752,601			58,015			1,866,023			676,402			376,307
	166,034			238,816			1,834			598,343			10,277			21,265
	—			—			—			—			26			741
	125,143			197,048			—			512,781			—			15,672
	$1,113,181			$ 993,910			$64,135			$1,974,078			$681,132			$ 790,106
	4,580			2,209			81			8,634			2,688			6,204
	3,249			(215,306	)		(120	)		(38,614	)		6,265			(421,918	)
	138,090			(25,571	)		(2,007	)		38,804			32,198			(48,916	)
	(3,431	)		(2,010	)		(23	)		(1,544	)		(199	)		(671	)
	��			—			—			—			(2	)		(109	)
	$1,255,669			$ 753,232			$62,066			$1,981,358			$722,082			$ 324,696
	$113.85			$12.04			$9.62			$12.34			$11.39			$6.20
	($1,255,669,023 ÷ 11,029,282 shares	)		($753,231,525÷ 62,556,639 shares	)		($62,066,454 ÷ 6,453,575 shares	)		($1,981,357,896 ÷ 160,543,942 shares	)		($722,081,821 ÷ 63,394,834 shares	)		($324,696,351 ÷ 52,399,284 shares	)

SEI Institutional Investments Trust / Annual Report / May 31, 2012 191

Statements of Assets and Liabilities ($ Thousands)

May 31, 2012

	World Equity Ex-US Fund			Screened World Equity Ex-US Fund			Enhanced LIBOR Opportunities Fund			Core Fixed Income Fund
ASSETS:
Investments, at value†	$	4,283,168	*	$	47,267		$	94,496		$	7,179,689	*
Affiliated investment, at value††		571,168			460			129,039			769,442
Repurchase agreements		—			—			—			—
Cash		71,545			441			1,576			1,968
Foreign currency, at value†††		10,673			71			—			1,162
Cash pledged as collateral for forward foreign currency contracts, futures contracts and swap contracts		—			—			45			1,945
Receivable for fund shares sold		148,994			448			54			47,107
Receivable for investment securities sold		15,562			1,032			330			485,938
Dividends and interest receivable		20,962			167			464			37,894
Receivable for variation margin		640			3			1			121
Foreign tax reclaim receivable		3,382			65			—			—
Unrealized gain on foreign spot currency contracts		10,792			161			—			—
Unrealized gain on forward foreign currency contracts		3,649			64			—			2,258
Swap contracts, at value††††		—			—			—			2,057
Prepaid expenses		26			—			1			37
Total Assets		5,140,561			50,179			226,006			8,529,618
LIABILITIES:
Payable upon return on securities loaned		471,926			—			—			304,258
Payable for investment securities purchased		18,714			164			6,715			1,097,917
Payable for fund shares redeemed		12,585			1,027			244			38,598
Income distribution payable		—			—			—			585
Swap contracts, at value††††		—			—			—			2,629
Options written, at value†††††		—			—			—			803
Reverse repurchase agreements		—			—			—			—
Payable to custodian		—			—			—			—
Payable for variation margin		434			10			2			1,740
Unrealized loss on foreign spot currency contracts		10,779			160			—			—
Unrealized loss on forward foreign currency contracts		—			—			—			696
Investment advisory fees payable		1,751			28			71			799
Chief Compliance Officer fees payable		12			—			1			17
Accrued expense payable		426			34			14			259
Total Liabilities		516,627			1,423			7,047			1,448,301
Net Assets	$	4,623,934		$	48,756		$	218,959		$	7,081,317
†Cost of investments and repurchase agreements		4,605,180			52,240			97,194			6,916,717
††Cost of affiliated investments		574,762			460			145,492			778,489
†††Cost of foreign currency		11,051			77			—			1,211
††††Swap premiums received		—			—			—			4,281
†††††Option premiums received		—			—			—			1,021
* Includes market value of securities on loan		450,476			—			—			297,263
NET ASSETS:
Paid-in-Capital — (unlimited authorization — no par value)	$	5,581,441		$	70,789		$	265,382		$	6,878,118
Undistributed (distribution in excess of) net investment income		56,700			508			6,855			(5,117	)
Accumulated net realized gain (loss) on investments, option contracts, swaptions, futures contracts, securities sold short, swap contracts and foreign currency		(676,911	)		(17,543	)		(34,120	)		(37,738	)
Net unrealized appreciation (depreciation) on investments and option contracts		(325,606	)		(4,973	)		(19,151	)		254,143
Net unrealized appreciation (depreciation) on futures contracts		(14,970	)		(83	)		(7	)		(4,722	)
Net unrealized appreciation (depreciation) on swap contracts		—			—			—			(4,853	)
Net unrealized appreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies		3,280			58			—			1,486
Net Assets	$	4,623,934		$	48,756		$	218,959		$	7,081,317
Net Asset Value, Offering and Redemption Price Per Share — Class A		$9.24			$7.02			$7.97			$10.63
		($4,623,934,143 ÷ 500,528,948 shares	)		($48,756,403 ÷ 6,943,689 shares	)		($218,959,414 ÷ 27,471,615 shares	)		($7,081,316,656 ÷ 666,071,661 shares	)

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

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

192 SEI Institutional Investments Trust / Annual Report / May 31, 2012

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
$	1,855,980		$	5,373,294		$	295,020		$	1,087,669	*	$	281,197		$	527,622		$	158,438
	36,950			147,478			2,808			256			—			3,707			—
	—			—			11,300			—			—			—			—
	693			—			443			—			—			401			2,953
	—			—			—			167			—			—			100
	—			—			25			1,589			—			—			12
	8,183			68,358			33			8,785			163			2,290			456
	9,124			54,825			5,863			1,297			—			3,877			57
	33,315			53,637			902			18,791			1,085			1,076			798
	—			972			—			6			—			—			—
	—			—			—			—			—			1			2
	—			—			—			3,079			—			—			—
	—			—			—			5,338			—			23,729			1,492
	944			436			—			—			—			—			305
	6			23			3			3			2			3			—
	1,945,195			5,699,023			316,397			1,126,980			282,447			562,706			164,613
	—			—			—			465			—			—			—
	20,373			120,725			17,819			3,455			—			3,684			536
	9,015			79,310			296			2,367			530			6,122			51
	383			130			4			—			—			—			—
	—			—			—			—			—			—			70
	—			—			—			—			—			—			93
	—			—			—			—			—			—			23,477
	—			—			—			778			—			—			—
	—			461			4			34			—			—			17
	—			—			—			3,078			—			—			—
	—			—			—			1,303			—			—			248
	536			734			37			496			45			222			34
	5			12			1			3			1			1			—
	103			276			13			83			10			28			24
	30,415			201,648			18,174			12,062			586			10,057			24,550
$	1,914,780		$	5,497,375		$	298,223		$	1,114,918		$	281,861		$	552,649		$	140,063
	1,838,684			4,827,797			306,999			1,046,292			274,969			559,326			166,588
	36,950			147,478			2,808			465			—			3,707			—
	—			—			—			162			—			—			102
	—			316			—			—			—			—			(15	)
	—			—			—			—			—			—			(102	)
	—			—			—			389			—			—			—
$	1,945,274		$	4,897,929		$	299,631		$	1,056,160		$	270,311		$	530,709		$	149,354
	2,053			12			(33	)		7,259			3,155			(492	)		(279	)
	(49,436	)		52,501			(683	)		6,841			2,167			30,407			(2,272	)
	17,296			545,497			(679	)		41,168			6,228			(31,704	)		(8,141	)
	—			1,316			(13	)		(304	)		—			—			(89	)
	(407	)		120			—			—			—			—			250
	—			—			—			3,794			—			23,729			1,240
$	1,914,780		$	5,497,375		$	298,223		$	1,114,918		$	281,861		$	552,649		$	140,063
	$9.30			$9.65			$9.95			$11.22			$10.29			$11.14			$9.25
	($1,914,780,230 ÷ 205,949,422 shares	)		($5,497,374,811 ÷ 569,534,372 shares	)		($298,223,214 ÷ 29,957,367 shares	)		($1,114,918,180 ÷ 99,361,641 shares	)		($281,861,462 ÷ 27,389,003 shares	)		($552,649,150÷ 49,607,727 shares	)		($140,062,862 ÷ 15,137,165 shares	)

SEI Institutional Investments Trust / Annual Report / May 31, 2012 193

Statements of Operations ($ Thousands)

For the year ended May 31, 2012

	Large Cap Fund			Large Cap Diversified Alpha Fund			Large Cap Disciplined Equity Fund
Investment Income
Dividends	$	27,450		$	5,598		$	114,359
Dividends from Affiliated Registered Investment Company		27			4			137
Interest Income		4			—			58
Security Lending Income — Net		403			—			589
Less: Foreign Taxes Withheld		(99	)		(28	)		(60	)
		27,785			5,574			115,083
Expenses:
Investment Advisory Fees		6,451			1,307			26,838
Administration Fees		806			163			3,355
Trustee Fees		16			3			69
Chief Compliance Officer Fees		8			2			29
Custodian/Wire Agent Fees		91			18			371
Professional Fees		66			13			255
Printing Fees		16			3			60
Registration Fees		14			1			42
Interest Expense		1			—			1
Overdraft Fees		—			—			—
Other Expenses		44			16			206
Total Expenses		7,513			1,526			31,226
Less:
Waiver of Investment Advisory Fees		(2,498	)		(334	)		(15,389	)
Waiver of Administration Fees		(806	)		(163	)		(3,355	)
Fees Paid Indirectly(1)		(75	)		(9	)		(247	)
Net Expenses		4,134			1,020			12,235
Net Investment Income		23,651			4,554			102,848
Net Realized and Change in Unrealized Gain (Loss) on Investments:
Net Realized Gain (Loss) on:
Investments		63,872			20,920			732,362
Affiliated Investments		—			—			30,438
Futures Contracts		6,185			275			44,400
Foreign Currency Transactions		(41	)		—			—
Net Change in Unrealized Appreciation (Depreciation) on:
Investments		(99,395	)		(27,187	)		(910,950	)
Affiliated Investments		(307	)		—			(15,370	)
Futures Contracts		(3,333	)		(583	)		(55,910	)
Foreign Currency Transactions and Translation of Other Assets and Liabilities Denominated in Foreign Currencies		—			—			—
Net Increase (Decrease) in Net Assets Resulting From Operations	$	(9,368	)	$	(2,021	)	$	(72,182	)

(1) See Note 5 in the Notes to Financial Statements.

(2) Commenced operations on April 10, 2012.

(3) Includes realized gain of $4,996 ($ Thousands) from in-kind redemptions (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.

194 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Large Cap Index Fund			Small Cap Fund			Small Cap  II Fund(2)			Small/Mid Cap Equity Fund			U.S. Managed Volatility Fund			International Equity Fund
$	18,856		$	8,509		$	123		$	23,476		$	9,348		$	12,974
	2			15			—			33			6			3
	19			90			—			275			1			2
	175			1,220			—			2,359			—			456
	(21	)		(17	)		—			(52	)		(54	)		(1,179	)
	19,031			9,817			123			26,091			9,301			12,256
	1,562			4,514			48			13,447			2,329			2,117
	459			347			4			1,034			179			210
	8			7			—			21			3			4
	3			3			—			9			3			2
	52			39			1			114			19			261
	43			28			1			82			19			26
	10			7			—			19			5			4
	31			7			3			7			31			2
	—			—			—			—			—			—
	—			—			—			—			—			20
	32			28			1			63			11			83
	2,200			4,980			58			14,796			2,599			2,729
	(1,182	)		(876	)		(10	)		(3,397	)		(1,163	)		(642	)
	(459	)		(347	)		(4	)		(1,034	)		(179	)		(210	)
	(12	)		(41	)		—			(163	)		—			—
	547			3,716			44			10,202			1,257			1,877
	18,484			6,101			79			15,889			8,044			10,379
	51,338			57,199			(118	)		176,810	(3)		8,067			(16,126	)
	—			—			—			—			—			—
	2,033			2,634			—			2,540			701			(1,693	)
	—			(4	)		—			(54	)		20			(648	)
	(76,555	)		(125,948	)		(2,007	)		(380,606	)		5,176			(107,502	)
	(544	)		(497	)		(23	)		(1,017	)		—			38
	(4,391	)		(2,382	)		—			(2,917	)		(276	)		(641	)
	—			—			—			—			(2	)		(5	)
$	(9,635	)	$	(62,897	)	$	(2,069	)	$	(189,355	)	$	21,730		$	(116,198	)

SEI Institutional Investments Trust / Annual Report / May 31, 2012 195

Statements of Operations ($ Thousands)

For the year ended May 31, 2012

	World Equity Ex-US Fund			Screened World Equity Ex-US Fund			Enhanced LIBOR Opportunities Fund			Core Fixed Income Fund
Investment Income
Dividends	$	132,450		$	1,291		$	—		$	—
Dividends from Affiliated Registered Investment Company		68			1			5			191
Interest Income		17			1			5,766			219,733
Security Lending Income — Net		5,170			—			—			478
Less: Foreign Taxes Withheld		(10,284	)		(116	)		—			(15	)
		127,421			1,177			5,771			220,387
Expenses:
Investment Advisory Fees		25,716			323			1,106			19,744
Administration Fees		2,338			25			123			3,291
Trustee Fees		47			1			3			64
Chief Compliance Officer Fees		22			—			1			34
Custodian/Wire Agent Fees		705			61			14			361
Professional Fees		214			10			9			266
Printing Fees		43			1			2			63
Registration Fees		40			1			4			44
Interest Expense		—			—			—			—
Overdraft Fees		66			1			—			—
Other Expenses		185			41			35			195
Total Expenses		29,376			464			1,297			24,062
Reimbursement of Investment
Advisory Fees previously waived		—			—			—			—
Less:
Waiver of Investment Advisory Fees		(5,872	)		(73	)		(157	)		(11,494	)
Waiver of Administration Fees		(2,338	)		(25	)		(123	)		(3,291	)
Fees Paid Indirectly(1)		(73	)		—			—			—
Net Expenses		21,093			366			1,017			9,277
Net Investment Income (Loss)		106,328			811			4,754			211,110
Net Realized and Change in Unrealized Gain (Loss) on Investments:
Net Realized Gain (Loss) on:
Investments		(116,880	)		(679	)		178			208,010
Affiliated Investments		—			—			810			—
Futures Contracts		7,004			85			(291	)		(30,556	)
Written Options		—			—			—			1,526
Swap Contracts		—			—			—			(15,726	)
Foreign Currency Transactions		(4,166	)		6			—			3,946
Net Change in Unrealized Appreciation (Depreciation) on:
Investments		(972,305	)		(11,533	)		(2,831	)		129,122
Affiliated Investments		(870	)		—			1,676			(516	)
Futures Contracts		(16,403	)		(102	)		8			(3,307	)
Written Options		—			—			—			315
Swap Contracts		—			—		��	—			6,148
Foreign Capital Gains Tax		126			—			—			—
Foreign Currency Transactions and Translation of Other Assets and Liabilities Denominated in Foreign Currencies		2,877			44			—			1,067
Net Increase (Decrease) in Net Assets Resulting From Operations	$	(994,289	)	$	(11,368	)	$	4,304		$	511,139

(1) See Note 5 in the Notes to Financial Statements.

(2) Commenced operations on July 29, 2011.

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

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

196 SEI Institutional Investments Trust / Annual Report / May 31, 2012

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)
$	642		$	—		$	—		$	—		$	—		$	1,656		$	965
	28			52			—			—			—			146			—
	162,950			182,694			5,575			74,108			8,752			128			760
	—			—			—			18			—			—			—
	(17	)		—			(1	)		—			—			(1	)		(33	)
	163,603			182,746			5,574			74,126			8,752			1,929			1,692
	9,593			11,804			640			9,041			654			2,905			567
	984			1,967			213			532			149			242			52
	19			36			4			11			3			4			1
	10			23			2			6			1			3			1
	109			216			25			91			6			27			26
	81			174			15			38			11			20			4
	20			42			4			10			3			5			1
	7			102			2			9			1			12			8
	1			—			—			—			—			—			21
	—			—			—			7			—			—			—
	178			202			8			132			11			13			2
	11,002			14,566			913			9,877			839			3,231			683
	—			—			1			—			—			—			—
	(3,109	)		(4,694	)		—			(3,477	)		(92	)		(563	)		(206	)
	(984	)		(1,967	)		(213	)		(532	)		(149	)		(242	)		(52	)
	—			—			—			—			—			—			—
	6,909			7,905			701			5,868			598			2,426			425
	156,694			174,841			4,873			68,258			8,154			(497	)		1,267
	38,413			269,474			1,431			26,472			7,901			1,209			(1,749	)
	(1,921	)		—			—			—			—			—			—
	—			25,027			(1,377	)		(2,186	)		16			41,130			(495	)
	—			—			—			—			—			—			(15	)
	(846	)		163			—			418			—			—			(1,589	)
	—			—			—			(142	)		—			—			196
	(88,510	)		315,753			(829	)		(49,702	)		(9,367	)		(31,712	)		(8,150	)
	—			—			—			5			—			—			—
	—			3,643			98			(279	)		—			(11,912	)		(89	)
	—			—			—			—			—			—			9
	1,426			120			—			(450	)		—			—			250
	—			—			—			—			—			—			—
	—			—			—			3,983			—			23,729			1,240
$	105,256		$	789,021		$	4,196		$	46,377		$	6,704		$	21,947		$	(9,125	)

SEI Institutional Investments Trust / Annual Report / May 31, 2012 197

Statements of Changes in Net Assets ($ Thousands)

For the years or periods ended May 31,

	Large Cap Fund						Large Cap Diversified Alpha Fund
	2012			2011			2012			2011
Operations:
Net Investment Income	$	23,651		$	19,855		$	4,554		$	4,660
Net Realized Gain (Loss) from Investments, Affiliated Investments and Futures Contracts		70,057			106,580			21,195			35,602
Net Realized Loss on Foreign Currency Transactions		(41	)		—			—			—
Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments and Futures Contracts		(103,035	)		214,966			(27,770	)		44,228
Net Change in Unrealized Appreciation on Foreign Currency Transactions and Transactions of Other Assets and Liabilities Denominated in Foreign Currencies		—			—			—			—
Net Increase (Decrease) in Net Assets Resulting from Operations		(9,368	)		341,401			(2,021	)		84,490
Dividends and Distributions From:
Net Investment Income:
Class A		(22,774	)		(19,157	)		(3,329	)		(6,446	)
Net Realized Gains:
Class A		(66,801	)		—			—			—
Total Dividends and Distributions		(89,575	)		(19,157	)		(3,329	)		(6,446	)
Capital Share Transactions:(1)
Class A:
Proceeds from Shares Issued		728,348			591,342	(2)		50,166			57,093
Reinvestment of Dividends & Distributions		87,922			18,866			2,988			5,368
Cost of Shares Redeemed		(559,756	)		(546,227	)		(91,077	)		(128,825	)
Increase (Decrease) in Net Assets Derived from Capital Share Transactions		256,514			63,981			(37,923	)		(66,364	)
Net Increase (Decrease) in Net Assets		157,571			386,225			(43,273	)		11,680
Net Assets:
Beginning of Period		1,616,607			1,230,382			364,180			352,500
End of Period	$	1,774,178		$	1,616,607		$	320,907		$	364,180
Undistributed Net Investment Income Included in Net Assets at Period End	$	5,122		$	4,171		$	1,216		$	—

(1) See Note 6 in the Notes to Financial Statements.

(2) Includes subscriptions/redemptions as a result of an in-kind transfer of securities (see Note 10).

(3) Commenced operations on April 10, 2012.

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

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

198 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Large Cap Disciplined Equity Fund						Large Cap Index Fund						Small Cap Fund						Small Cap  II Fund(3)
2012			2011			2012			2011			2012			2011			2012
$	102,848		$	115,542		$	18,484		$	10,788		$	6,101		$	7,961		$	79
	807,200			854,105			53,371			(6,346	)		59,833			304,274			(118	)
	—			—			—			—			(4	)		(38	)		—
	(982,230	)		760,090			(81,490	)		126,009			(128,827	)		(49,725	)		(2,030	)
	—			—			—			—			—			1			—
	(72,182	)		1,729,737			(9,635	)		130,451			(62,897	)		262,473			(2,069	)
	(106,581	)		(166,228	)		(16,211	)		(10,513	)		(4,874	)		(10,045	)		—
	—			—			—			—			—			—			—
	(106,581	)		(166,228	)		(16,211	)		(10,513	)		(4,874	)		(10,045	)		—
	1,161,661			1,560,223			721,565	(2)		246,729			332,632			225,296			64,135
	105,099			163,690			15,668			10,184			4,151			8,883			—
	(3,425,587	)		(2,474,204	)		(225,853	)		(115,836	)		(238,605	)		(1,103,530	)(2)		—
	(2,158,827	)		(750,291	)		511,380			141,077			98,178			(869,351	)		64,135
	(2,337,590	)		813,218			485,534			261,015			30,407			(616,923	)		62,066
	7,773,980			6,960,762			770,135			509,120			722,825			1,339,748			—
$	5,436,390		$	7,773,980		$	1,255,669		$	770,135		$	753,232		$	722,825		$	62,066
$	18,169		$	3,140		$	4,580		$	2,178		$	2,209		$	325		$	81

SEI Institutional Investments Trust / Annual Report / May 31, 2012 199

Statements of Changes in Net Assets ($ Thousands)

For the years ended May 31,

	Small/Mid Cap Equity Fund						U.S. Managed Volatility Fund
	2012			2011			2012			2011
Operations:
Net Investment Income	$	15,889		$	14,553		$	8,044		$	2,916
Net Realized Gain (Loss) from Investments, Affiliated Investments, Futures Contracts and Swap Contracts		179,350			405,720			8,768			46,574
Net Realized Gain (Loss) on Foreign Currency Transactions		(54	)		(455	)		20			1
Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Future Contracts and Swap Contracts		(384,540	)		133,639			4,900			(10,653	)
Net Change in Unrealized Appreciation (Depreciation) on Foreign Cap Gains Tax		—			—			—			—
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions and Translation of Other Assets and Liabilities Denominated in Foreign Currencies		—			3			(2	)		—
Net Increase (Decrease) in Net Assets Resulting from Operations		(189,355	)		553,460			21,730			38,838
Dividends and Distributions From:
Net Investment Income:
Class A		(15,466	)		(10,170	)		(5,773	)		(3,434	)
Net Realized Gains:
Class A		—			—			(25,157	)		(19,896	)
Total Dividends and Distributions		(15,466	)		(10,170	)		(30,930	)		(23,330	)
Capital Share Transactions:(1)
Class A:
Proceeds from Shares Issued		425,868			606,822			671,544			44,630
Reinvestment of Dividends & Distributions		15,310			10,055			30,591			23,067
Cost of Shares Redeemed		(570,081	)		(909,528	)		(104,664	)		(204,488	)(2)
Increase (Decrease) in Net Assets Derived from Capital Share Transactions		(128,903	)		(292,651	)		597,471			(136,791	)
Net Increase (Decrease) in Net Assets		(333,724	)		250,639			588,271			(121,283	)
Net Assets:
Beginning of Year		2,315,082			2,064,443			133,811			255,094
End of Year	$	1,981,358		$	2,315,082		$	722,082		$	133,811
Undistributed Net Investment Income Included in Net Assets at Year End	$	8,634		$	6,997		$	2,688		$	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.

200 SEI Institutional Investments Trust / Annual Report / May 31, 2012

International Equity Fund						World Equity Ex-US Fund						Screened World Equity Ex-US Fund						Enhanced LIBOR Opportunities Fund
2012			2011			2012			2011			2012			2011			2012			2011
$	10,379		$	14,060		$	106,328		$	97,293		$	811		$	948		$	4,754		$	2,692
	(17,819	)		60,595			(109,876	)		380,241			(594	)		7,774			697			(1,262	)
	(648	)		(6,136	)		(4,166	)		(22,943	)		6			(93	)		—			—
	(108,105	)		93,026			(989,578	)		762,360			(11,635	)		9,850			(1,147	)		6,416
	—			—			126			(14	)		—			—			—			—
	(5	)		208			2,877			468			44			17			—			—
	(116,198	)		161,753			(994,289	)		1,217,405			(11,368	)		18,496			4,304			7,846
	(9,424	)		(22,384	)		(92,739	)		(82,847	)		(992	)		(1,216	)		(5,179	)		(3,019	)
	—			—			—			—			—			—			—			—
	(9,424	)		(22,384	)		(92,739	)		(82,847	)		(992	)		(1,216	)		(5,179	)		(3,019	)
	106,213			83,444			1,951,943			1,352,139			16,382			9,127			15,632			194,729
	8,534			19,996			90,489			80,707			806			1,081			5,015			2,853
	(210,941	)		(301,776	)		(1,460,559	)		(1,150,929	)		(10,916	)		(41,387	)		(96,090	)		(22,651	)
	(96,194	)		(198,336	)		581,873			281,917			6,272			(31,179	)		(75,443	)		174,931
	(221,816	)		(58,967	)		(505,155	)		1,416,475			(6,088	)		(13,899	)		(76,318	)		179,758
	546,512			605,479			5,129,089			3,712,614			54,844			68,743			295,277			115,519
$	324,696		$	546,512		$	4,623,934		$	5,129,089		$	48,756		$	54,844		$	218,959		$	295,277
$	6,204		$	5,637		$	56,700		$	45,254		$	508		$	590		$	6,855		$	4,196

SEI Institutional Investments Trust / Annual Report / May 31, 2012 201

Statements of Changes in Net Assets ($ Thousands)

For the years or periods ended May 31,

	Core Fixed Income Fund						High Yield Bond Fund						Long Duration Fund
	2012			2011			2012			2011			2012			2011
Operations:
Net Investment Income (Loss)	$	211,110		$	218,860		$	156,694		$	158,503		$	174,841		$	146,800
Net Realized Gain (Loss) from Investments, Affiliated Investments, Written Options, Futures Contracts and Swap Contracts		163,254			88,477			35,646			77,298			294,664			91,481
Net Realized Gain (Loss) on Foreign Currency Transactions		3,946			(1,844	)		—			—			—			—
Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Written Options, Futures Contracts and Swap Contracts		131,762			169,016			(87,084	)		87,877			319,516			74,924
Net Change in Unrealized Appreciation on Foreign Currency Transactions and Translation of Other Assets and Liabilities Denominated in Foreign Currencies		1,067			281			—			—			—			—
Net Increase (Decrease) in Net Assets Resulting from Operations		511,139			474,790			105,256			323,678			789,021			313,205
Dividends and Distributions From:
Net Investment Income:
Class A		(225,294	)		(228,272	)		(153,356	)		(154,212	)		(174,335	)		(143,104	)
Net Realized Gains:
Class A		(122,557	)		(221,862	)		(3,009	)		(974	)		(218,280	)		(103,135	)
Total Dividends and Distributions		(347,851	)		(450,134	)		(156,365	)		(155,186	)		(392,615	)		(246,239	)
Capital Share Transactions:(1)
Class A:
Proceeds from Shares Issued		1,895,597			2,335,978			692,062			637,137			2,181,318	(2)		1,051,417
Reinvestment of Dividends & Distributions		334,995			420,406			152,411			150,486			388,384			242,862
Cost of Shares Redeemed		(2,073,962	)		(1,725,349	)		(817,607	)		(651,700	)		(991,887	)		(574,278	)
Increase (Decrease) in Net Assets Derived from Capital Share Transactions		156,630			1,031,035			26,866			135,923			1,577,815			720,001
Net Increase (Decrease) in Net Assets		319,918			1,055,691			(24,243	)		304,415			1,974,221			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	$	7,081,317		$	6,761,399		$	1,914,780		$	1,939,023		$	5,497,375		$	3,523,154
Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Period End	$	(5,117	)	$	(6,585	)	$	2,053		$	5,359		$	12		$	2

(1) See Note 6 in the Notes to Financial Statements.

(2) Includes subscriptions as a result of an in-kind transfer of securities (see Note 10).

(3) Commenced operations on February 28, 2011.

(4) Commenced operations on July 30, 2010.

(5) Commenced operations on July 29, 2011.

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

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

202 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Ultra Short Duration Bond Fund(3)						Emerging Markets Debt Fund						Real Return Fund						Dynamic Asset Allocation Fund(4)						Multi-Asset Real  Return Fund(5)
2012			2011			2012			2011			2012			2011			2012			2011			2012
$	4,873		$	1,218		$	68,258		$	71,219		$	8,154		$	10,561		$	(497	)	$	(659	)	$	1,267
	54			(310	)		24,704			55,523			7,917			3,156			42,339			12,956			(3,848	)
	—			—			(142	)		(2,128	)		—			—			—			—			196
	(731	)		39			(50,426	)		29,646			(9,367	)		9,862			(43,624	)		11,920			(7,980	)
	—			—			3,983			1,119			—			—			23,729			—			1,240
	4,196			947			46,377			155,379			6,704			23,579			21,947			24,217			(9,125	)
	(5,251	)		(1,266	)		(70,422	)		(51,025	)		(10,472	)		(7,114	)		—			—			(166	)
	—			—			(10,680	)		—			(6,909	)		(6,626	)		(22,339	)		(1,885	)		—
	(5,251	)		(1,266	)		(81,102	)		(51,025	)		(17,381	)		(13,740	)		(22,339	)		(1,885	)		(166	)
	315,607			324,455			330,816			356,572			60,444			162,486			201,504			387,308			173,818
	5,230			1,242			78,720			49,210			15,092			11,996			19,948			1,843			161
	(334,917	)		(12,020	)		(288,584	)		(471,043	)		(152,230	)		(141,847	)		(75,756	)		(4,138	)		(24,625	)
	(14,080	)		313,677			120,952			(65,261	)		(76,694	)		32,635			145,696			385,013			149,354
	(15,135	)		313,358			86,227			39,093			(87,371	)		42,474			145,304			407,345			140,063
	313,358			—			1,028,691			989,598			369,232			326,758			407,345			—			—
$	298,223		$	313,358		$	1,114,918		$	1,028,691		$	281,861		$	369,232		$	552,649		$	407,345		$	140,063
$	(33	)	$	(1	)	$	7,259		$	11,233		$	3,155		$	5,358		$	(492	)	$	—		$	(279	)

SEI Institutional Investments Trust / Annual Report / May 31, 2012 203

Statement of Cash Flows ($ Thousands)

For the period ended May 31, 2012

	Multi-Asset Real Return Fund*
Cash Flows from Operating Activities:
Net Decrease in Net Assets Resulting from Operations	$	(9,125	)
Adjustments to Reconcile Net Decrease in Net Assets Resulting from Operations to Net Cash Used in Operating Activities:
Purchases of Investment Securities		(244,712	)
Proceeds from Investment Securities		75,789
Net Realized Loss on Investments		1,749
Net Change in Unrealized Depreciation on Investments		8,150
Amortization/Accretion of Premiums/Discounts		586
Proceeds from Written Options		208
Cost to Close Written Options		(121	)
Net Realized Loss on Written Options		15
Net Change in Unrealized Appreciation on Written Options		(9	)
Swap Contracts, at Value		(235	)
Increase in Foreign Currency, at Value		(100	)
Increase in Cash Pledged as Collateral for Forward Foreign Currency Contracts, Futures Contracts and Swap Contracts		(12	)
Increase in Receivable for Investment Securities Sold		(57	)
Increase in Dividends and Interest Receivable		(798	)
Increase in Foreign Tax Reclaim Receivable		(2	)
Unrealized Gain on Forward Foreign Currency Contracts		(1,244	)
Increase in Payable for Investment Securities Purchased		536
Increase in Reverse Repurchase Agreements		23,477
Increase in Payable for Variation Margin		17
Increase in Investment Advisory Fees Payable		34
Increase in Accrued Expense Payable		24
Net Cash Used in Operating Activities		(145,830	)
Cash Flows from Financing Activities:
Proceeds from Capital Shares Issued		173,362
Payments on Capital Shares Redeemed		(24,574	)
Distributions from Net Investment Income		(5	)
Net Cash Provided by Financing Activities		148,783
Net Change in Cash		2,953
Cash at Beginning of Period		—
Cash at End of Period	$	2,953
Supplemental Information Cash Flows from Non-Operating Activities:
Interest Paid	$	21

* Commenced operations on July 29, 2011.

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

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

204 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Financial Highlights

For the years or periods ended May 31,

For a share outstanding throughout each period

	Net Asset Value, Beginning of Period		Net Investment Income(1)		Net Realized and Unrealized Gains (Losses)  on Securities(1)			Total from Operations			Dividends from Net Investment Income			Distributions from Realized Capital Gains			Total Dividends and Distributions			Net Asset Value, End of Period		Total Return†			Net Assets End of Period ($ Thousands)		Ratio of Net Expenses to Average Net Assets			Ratio of Expenses to Average Net  Assets (Excluding Fees Paid Indirectly and Including Waivers)			Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers)			Ratio of Net Investment Income to Average Net  Assets			Portfolio Turnover Rate†
Large Cap Fund
Class A
2012	$	18.40	$	0.25	$	(0.61	)	$	(0.36	)	$	(0.24	)	$	(0.73	)	$	(0.97	)	$	17.07		(1.69	)%	$	1,774,178		0.26	%(3)		0.26	%(3)		0.47	%(3)		1.47	%		83	%
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
Large Cap Diversified Alpha Fund
Class A
2012	$	9.53	$	0.13	$	(0.16	)	$	(0.03	)	$	(0.09	)	$	—		$	(0.09	)	$	9.41		(0.24	)%	$	320,907		0.31	%		0.31	%		0.47	%		1.40	%		101	%
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
Large Cap Disciplined Equity Fund
Class A
2012	$	10.87	$	0.16	$	(0.29	)	$	(0.13	)	$	(0.16	)	$	—		$	(0.16	)	$	10.58		(1.14	)%	$	5,436,390		0.18	%(4)		0.18	%(4)		0.47	%(4)		1.54	%		93	%
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
Large Cap Index Fund
Class A
2012	$	117.49	$	2.26	$	(3.78	)	$	(1.52	)	$	(2.12	)	$	—		$	(2.12	)	$	113.85		(1.24	)%	$	1,255,669		0.06	%		0.06	%		0.24	%		2.01	%		12	%
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
Small Cap Fund
Class A
2012	$	13.49	$	0.11	$	(1.47	)	$	(1.36	)	$	(0.09	)	$	—		$	(0.09	)	$	12.04		(10.11	)%	$	753,232		0.54	%		0.54	%		0.72	%		0.88	%		85	%
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
Small Cap II Fund
Class A
2012(2)	$	10.00	$	0.02	$	(0.40	)	$	(0.38	)	$	—		$	—		$	—		$	9.62		(3.80	)%	$	62,066		0.59	%		0.59	%		0.78	%		1.07	%		9	%

* The expense ratio includes dividend and interest expenses on short sales. Had these expenses been excluded, the ratios would have been 0.31% and 0.32% for the years ended May 31, 2009 and 2008, 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.

(1) Per share net investment income and net realized and unrealized gains (losses) calculated using average shares.

(2) Commenced operations on April 10, 2012. All ratios for the period have been annualized.

(3) The expense ratio includes interest expense. Had this expense been excluded, the ratios would have been 0.26%, 0.26% and 0.47%, respectively.

(4) The expense ratio includes interest expense. Had this expense been excluded, the ratios would have been 0.18%, 0.18% 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.

SEI Institutional Investments Trust / Annual Report / May 31, 2012 205

Financial Highlights

For the years or periods ended May 31,

For a share outstanding throughout each period

	Net Asset Value, Beginning of Period		Net Investment Income(1)		Net Realized and Unrealized Gains (Losses) on Securities(1)			Total from Operations			Dividends from Net Investment Income			Distributions from Realized Capital Gains			Total Dividends and Distributions			Net Asset Value, End of Period		Total Return†			Net Assets End of Period ($ Thousands)		Ratio of Net Expenses to Average Net Assets			Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Including Waivers)			Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers)			Ratio of Net Investment Income to Average Net Assets			Portfolio Turnover Rate†
Small/Mid Cap Equity Fund
Class A
2012	$	13.62	$	0.09	$	(1.28	)	$	(1.19	)	$	(0.09	)	$	—		$	(0.09	)	$	12.34		(8.71	)%	$	1,981,358		0.49	%		0.49	%		0.72	%		0.77	%		84	%
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
U.S. Managed Volatility Fund
Class A
2012	$	12.15	$	0.25	$	0.01		$	0.26		$	(0.21	)	$	(0.81	)	$	(1.02	)	$	11.39		2.62	%	$	722,082		0.35	%		0.35	%		0.73	%		2.25	%		44	%
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
2012	$	8.07	$	0.17	$	(1.87	)	$	(1.70	)	$	(0.17	)	$	—		$	(0.17	)	$	6.20		(21.10	)%	$	324,696		0.45	%		0.45	%		0.65	%		2.48	%		59	%
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	(5)		0.39	(5)		0.61	(5)		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	(4)		0.41	(4)		0.62	(4)		2.99			145
World Equity Ex-US Fund
Class A
2012	$	11.71	$	0.23	$	(2.50	)	$	(2.27	)	$	(0.20	)	$	—		$	(0.20	)	$	9.24		(19.36	)%	$	4,623,934		0.45	%		0.45	%		0.63	%		2.28	%		56	%
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	(6)		0.45	(6)		0.66	(6)		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
Screened World Equity Ex-US Fund
Class A
2012	$	9.01	$	0.13	$	(1.97	)	$	(1.84	)	$	(0.15	)	$	—		$	(0.15	)	$	7.02		(20.39	)%	$	48,756		0.74	%		0.74	%		0.93	%		1.63	%		76	%
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(3)		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
2012	$	7.95	$	0.15	$	0.04		$	0.19		$	(0.17	)	$	—		$	(0.17	)	$	7.97		2.49	%	$	218,959		0.41	%		0.41	%		0.53	%		1.94	%		58	%
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

* 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.

(1) Per share net investment income and net realized and unrealized gains (losses) calculated using average shares.

(2) Commenced operations on December 30, 2008. All ratios for the period have been annualized.

(3) Commenced operations on June 30, 2008. All ratios for the period have been annualized.

(4) 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.

(5) 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.

(6) 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.

206 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Financial Highlights

For the years or periods ended May 31,

For a share outstanding throughout each period

	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(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 (Loss) to Average Net Assets			Portfolio Turnover Rate†
Core Fixed Income Fund
Class A
2012	$	10.39	$	0.34		$	0.47		$	0.81		$	(0.36	)	$	(0.21	)	$	(0.57	)	$	10.63		7.98	%	$	7,081,317		0.14	%		0.14	%		0.37	%		3.21	%		386	%
2011		10.35		0.38			0.44			0.82			(0.39	)		(0.39	)		(0.78	)		10.39		8.17			6,761,399		0.16	(3)		0.16	(3)		0.38	(3)		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
High Yield Bond Fund
Class A
2012	$	9.58	$	0.74		$	(0.29	)	$	0.45		$	(0.72	)	$	(0.01	)	$	(0.73	)	$	9.30		5.09	%	$	1,914,780		0.35	%(8)		0.35	%(8)		0.56	%(8)		7.97	%		50	%
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
Long Duration Fund
Class A
2012	$	8.83	$	0.41		$	1.42		$	1.83		$	(0.42	)	$	(0.59	)	$	(1.01	)	$	9.65		21.70	%	$	5,497,375		0.20	%		0.20	%		0.37	%		4.45	%		121	%
2011		8.69		0.44			0.46			0.90			(0.43	)		(0.33	)		(0.76	)		8.83		10.74			3,523,154		0.20	(5)		0.20	(5)		0.37	(5)		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
Ultra Short Duration Bond Fund
Class A
2012	$	9.99	$	0.11		$	(0.02	)	$	0.09		$	(0.13	)	$	—		$	(0.13	)	$	9.95		0.86	%	$	298,223		0.16	%		0.16	%		0.21	%		1.14	%		222	%
2011(4)		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
2012	$	11.60	$	0.73		$	(0.22	)	$	0.51		$	(0.77	)	$	(0.12	)	$	(0.89	)	$	11.22		4.67	%	$	1,114,918		0.55	%		0.55	%		0.93	%		6.43	%		55	%
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
Real Return Fund
Class A
2012	$	10.67	$	0.29		$	(0.07	)	$	0.22		$	(0.35	)	$	(0.25	)	$	(0.60	)	$	10.29		2.15	%	$	281,861		0.20	%		0.20	%		0.28	%		2.75	%		96	%
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
Dynamic Asset Allocation Fund
Class A
2012	$	11.26	$	(0.01	)	$	0.39		$	0.38		$	—		$	(0.50	)	$	(0.50	)	$	11.14		3.73	%	$	552,649		0.50	%		0.50	%		0.67	%		(0.10	)%		140	%
2011(2)		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
2012(6)	$	10.00	$	0.10		$	(0.84	)	$	(0.74	)	$	(0.01	)	$	—		$	(0.01	)	$	9.25		(7.37	)%	$	140,063		0.41	%(7)		0.41	%(7)		0.66	%(7)		1.23	%		58	%

* 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) Per share net investment income (loss) and net realized and unrealized gains (losses) calculated using average shares.

(2) Commenced operations on July 30, 2010. All ratios for the period have been annualized.

(3) The expense ratio includes interest expense. Had this expense been excluded, the ratios would have been 0.14%, 0.14% and 0.36%, respectively.

(4) Commenced operations on February 28, 2011. All ratios for the period have been annualized.

(5) The expense ratio includes interest expense. Had this expense been excluded, the ratios would have been 0.20%, 0.20% and 0.37%, respectively.

(6) Commenced operations on July 29, 2011. 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%, 0.39% and 0.64%, respectively.

(8) The expense ratio includes interest expense. Had this expense been excluded, the ratios would have been 0.35%, 0.35% and 0.56%, 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 / Annual Report / May 31, 2012 207

Notes to Financial Statements

May 31, 2012

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 25 registered funds: Large Cap, Large Cap Diversified Alpha, Large Cap Disciplined Equity, Large Cap Index, Small Cap, Small Cap II, 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 May 31, 2012, the Strategic U.S. Large Cap Equity, Emerging Markets Equity, Global Equity, Extended Market Index and Long Duration Corporate Bond 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 (“U.S. GAAP”), requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation — Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on NASDAQ) are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded, or, if there is no such reported sale, at the most recent quoted bid price. For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. Debt securities are priced based upon valuations provided by independent, third-party pricing agents, if available. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Debt obligations acquired with remaining maturities of sixty days or less may be valued

at their amortized cost, which approximates market value. The prices for foreign securities are reported in local currency and converted to U.S. dollars using currency exchange rates. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent, third-party pricing agent, the Funds seek to obtain a bid price from at least one independent broker.

Securities for which market prices are not “readily available” are valued in accordance with Fair Value Procedures established by the Trust’s Board of Trustees. The Trust’s Fair Value Procedures are implemented through a Fair Value Committee (the “Committee”) designated by the Trust’s Board of Trustees. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: the security’s trading has been halted or suspended; the security has been de-listed from a national exchange; the security’s primary trading market is temporarily closed at a time when under normal conditions it would be open; or the security’s primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee.

For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security’s last trade and the time at which a Fund calculates its net asset value. The closing prices of such securities may no longer reflect their market value at the time a Fund calculates net asset value if an event that could materially affect the value of those securities (a “Significant Event”) has occurred between the time of the security’s last close and the time that a Fund calculates net asset value. A Significant Event may relate to a single issuer or to an entire market sector. If the adviser or sub-adviser of a Fund becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which a Fund calculates net asset value, the adviser or sub-adviser may request that a Fair Value Committee Meeting be called. In addition, the Trust’s administrator monitors price movements among certain selected indices, securities and/or baskets of securities that may be an indicator that the closing prices received earlier from foreign exchanges or markets may not reflect market value at the time a Fund calculates net asset value. If price movements in a monitored index or security exceed levels established by the administrator, the administrator notifies the adviser or sub-adviser for any Fund holding the relevant securities that such limits have been exceeded. In such event, the adviser or sub-adviser makes the determination whether a Fair Value Committee Meeting should be called based on the information provided.

The International Equity, World Equity Ex-US, Screened World Equity Ex-US and Multi-Asset Real Return Funds that hold international securities also use a third-party fair valuation vendor. The vendor provides a

208 SEI Institutional Investments Trust / Annual Report / May 31, 2012

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 U.S. 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)

In May 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“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. Management has evaluated the implications of ASU 2011-04 and does not believe adoption will have a material impact on the financial statements.

The valuation techniques used by the Funds to measure fair value during the year ended May 31, 2012 maximized the use of observable inputs and minimized the use of unobservable inputs.

For the year ended May 31, 2012, 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.

SEI Institutional Investments Trust / Annual Report / May 31, 2012 209

Notes to Financial Statements (Continued)

May 31, 2012

In April 2011, the FASB issued ASU No. 2011-03 “Reconsideration of Effective Control of Repurchase Agreements”. ASU 2011-03 is an amendment to Topic 860 “Transfers and Servicing”. These amendments simplify the accounting for repurchase agreements by eliminating the requirement that the transferor demonstrate it has adequate collateral to fund substantially all the cost of purchasing replacement assets. As a result, more arrangements could be accounted for as secured borrowings rather than sales. The guidance applies to public and nonpublic companies and is effective for interim and annual reporting periods beginning on or after December 15, 2011. The guidance should be applied prospectively to transactions or modifications of existing transactions that occur on or after the effective date. Early adoption is not allowed. Management has evaluated the implications of ASU 2011-03 and does not believe adoption will have a material impact on the financial statements.

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. Reverse repurchase agreements outstanding as of May 31, 2012 were as follows:

Multi-Asset Real Return Fund
Principal Amount ($ Thousands)	Counterparty	Value ($ Thousands)
$11,736	Bank of America Securities, 0.23%	$	11,736
3,075	Goldman Sachs, 0.23%		3,075
6,695	Barclays Capital, 0.20%		6,695
1,971	UBS, AG, 0.17%		1,971
		$	23,477

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 May 31, 2012, if applicable.

Futures Contracts — 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. These Funds’ investments in futures contracts are designed to enable the Funds to more closely approximate the performance of their benchmark indices. 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

210 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Investments or Summary Schedule of Investments for details regarding open futures contracts as of May 31, 2012, 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 May 31, 2012, 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 each Fund’s Schedule of Investments or Summary Schedule of Investments for details regarding open option/swaption contracts as of May 31, 2012, 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 May 31, 2012, none of the Funds held any short positions.

Swap Agreements — To the extent consistent with its investment objective and strategies, a Fund may investment in swap contracts mainly 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

SEI Institutional Investments Trust / Annual Report / May 31, 2012 211

Notes to Financial Statements (Continued)

May 31, 2012

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 May 31, 2012, if applicable.

Forward Treasury Commitments — To the extent consistent with its investment objective and strategies, a Fund may invest in commitments to purchase U.S. Treasury securities on an extended settlement basis. Such transactions involve the commitment to purchase a security with payment and delivery taking place in the future, sometimes a month or more after the transaction date. The Funds account for such transactions as purchases and sales and record an unrealized gain or loss each day equal to the difference between the cost of the purchase commitment and the current market value. Realized gains or losses are recorded upon closure or settlement of such commitments. No interest is earned prior to settlement of the transaction. These instruments are subject to market fluctuation due to changes in interest rates and the market value at the time of settlement could be higher or lower than the purchase price. A Fund may incur losses due to changes in the value of the underlying treasury securities from interest rate fluctuations or as a result of counterparty nonperformance.

Delayed Delivery Transactions — To the extent consistent with its investment objective and strategies, a Fund may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by those Funds to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When purchasing a security on a delayed delivery basis, that Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when

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 — To the extent consistent with its investment objective and strategies, 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

212 SEI Institutional Investments Trust / Annual Report / May 31, 2012

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 Cap II, Small/Mid Cap Equity, U.S. Managed Volatility, Enhanced LIBOR Opportunities, Emerging Markets Debt, Real Return 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 and Dynamic Asset Allocation Funds. Dividends and distributions are recorded on the ex-dividend date. Any net realized capital gains will be distributed at least annually by the Funds.

Illiquid Securities — A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of a Fund. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed.

Restricted Securities — As of May 31, 2012, 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 May 31, 2012, 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
Titanium Asset PP		122,200		8/6/07		8/6/07	$	729	$	100		0.01	%
Value Creation		119,600		2/29/08		2/29/08		1,225		87		0.01
							$	1,954	$	187		0.02	%
Small/Mid Cap Equity Fund
Titanium Asset PP		105,000		8/6/07		8/6/07	$	625	$	86		0.00	%
Value Creation		85,600		2/29/08		2/29/08		871		62		0.00
							$	1,496	$	148		0.00	%
High Yield Bond Fund
Aventine (Escrow Security)		2,600		11/30/10		11/30/10	$	—	$	11		0.00	%
VSS AHC, Cl A		29,628		9/25/09		9/25/09		551		353		0.02
							$	551	$	364		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.

SEI Institutional Investments Trust / Annual Report / May 31, 2012 213

Notes to Financial Statements (Continued)

May 31, 2012

The buyer of a credit default swap is generally obligated to pay the seller a periodic stream of payments over the term of the contract in return for a contingent payment upon the occurrence of a credit event with respect to an underlying reference obligation. Generally, a credit event for corporate or sovereign reference obligations means bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down.

If a Fund is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will generally either (i) pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index.

If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.

Certain Funds are party to International Swap Dealers Association, Inc. Master Agreements (“ISDA Master Agreements”). These agreements are with select counterparties and they govern transactions, including certain over-the-counter derivative and foreign exchange contracts, entered into by the Funds and the counterparty.

As of May 31, 2012, the Core Fixed Income, High Yield Bond and Long Duration Funds are the buyers (“receiving protection”) on a total notional amount of $11.8 million, $19.9 million and $5.0 million, respectively, and the Core Fixed Income and Multi-Asset Real Return Funds are the sellers (“providing protection”) on a total notional amount of $9.7 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	$	(352,392	)	$	(434,854	)		—		—	$	(787,246	)
Maximum potential amount of future payments	$	(3,560,000	)	$	(6,145,000	)		—		—	$	(9,705,000	)
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		—		—		—		—		—		—
> than 200		—		—	$	6,145,000	$	3,560,000		—	$	9,705,000
Total					$	6,145,000	$	3,560,000			$	9,705,000

* 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		—		—		—	$	(3,843	)	$	(3,843	)
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.

214 SEI Institutional Investments Trust / Annual Report / May 31, 2012

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)
0-200		—		—	$	890,000		—		—	$	890,000
> than 200		—		—		—		—		—		—
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.

4. DERIVATIVE TRANSACTIONS

The fair value of derivative instruments as of May 31, 2012 was as follows:

	Asset Derivatives				Liability Derivatives
	Year ended May 31, 2012 ($ Thousands)				Year ended May 31, 2012 ($ Thousands)
	Statement of Assets and Liabilities Location	Fair Value			Statement of Assets and Liabilities Location	Fair Value
Derivatives not accounted for as hedging instruments:
International Equity Fund
Equity contracts	Net Assets — Unrealized appreciation on futures contracts	$	1	*	Net Assets — Unrealized depreciation on futures contracts	$	672	*
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts		122		Unrealized loss on forward foreign currency contracts		—
Total Derivatives not accounted for as hedging instruments		$	123			$	672
World Equity Ex-US Fund
Equity contracts	Net Assets — Unrealized appreciation on futures contracts	$	57	*	Net Assets — Unrealized depreciation on futures contracts	$	15,027	*
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts		3,649		Unrealized loss on forward foreign currency contracts		—
Total Derivatives not accounted for as hedging instruments		$	3,706			$	15,027
Screened World Equity Ex-US Fund
Equity contracts	Net Assets — Unrealized appreciation on futures contracts	$	3	*	Net Assets — Unrealized depreciation on futures contracts	$	86	*
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts		64		Unrealized loss on forward foreign currency contracts		—
Total Derivatives not accounted for as hedging instruments		$	67			$	86
Core Fixed Income Fund
Interest rate contracts	Net Assets — Unrealized appreciation on futures contracts	$	258	*	Net Assets — Unrealized depreciation on futures contracts	$	4,980	*
	Net Assets — Unrealized appreciation on swap contracts		—	†	Net Assets — Unrealized depreciation on swap contracts		1,593	†
	Investments, at value		315		Options written, at value		803
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts		2,258		Unrealized loss on forward foreign currency contracts		696
Credit contracts	Net Assets — Unrealized appreciation on swap contracts		351	†	Net Assets — Unrealized depreciation on swap contracts		3,410	†
Equity contracts	Net Assets — Unrealized appreciation on swap contracts		—	†	Net Assets — Unrealized depreciation on swap contracts		201	†
Total Derivatives not accounted for as hedging instruments		$	3,182			$	11,683
Long Duration Fund
Interest rate contracts	Net Assets — Unrealized appreciation on futures contracts	$	3,080	*	Net Assets — Unrealized depreciation on futures contracts	$	1,764	*
Credit contracts	Net Assets — Unrealized appreciation on swap contracts		120	†	Net Assets — Unrealized depreciation on swap contracts		—	†
Total Derivatives not accounted for as hedging instruments		$	3,200			$	1,764

SEI Institutional Investments Trust / Annual Report / May 31, 2012 215

Notes to Financial Statements (Continued)

May 31, 2012

	Asset Derivatives				Liability Derivatives
	Year ended May 31, 2012 ($ Thousands)				Year ended May 31, 2012 ($ Thousands)
	Statement of Assets and Liabilities Location	Fair Value			Statement of Assets and Liabilities Location	Fair Value
Emerging Markets Debt Fund
Interest rate contracts	Net Assets — Unrealized appreciation on futures contracts	$	29	*	Net Assets — Unrealized depreciation on futures contracts	$	333	*
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts		5,338		Unrealized loss on forward foreign currency contracts		1,303
Total Derivatives not accounted for as hedging instruments		$	5,367			$	1,636
Multi-Asset Real Return Fund
Interest rate contracts	Net Assets — Unrealized appreciation on futures contracts	$	—	*	Net Assets — Unrealized depreciation on futures contracts	$	89	*
	Net Assets — Unrealized appreciation on swap contracts		43	†	Net Assets — Unrealized depreciation on swap contracts		106	†
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts		1,492		Unrealized loss on forward foreign currency contracts		248
Credit contracts	Net Assets — Unrealized appreciation on swap contracts		11	†	Net Assets — Unrealized depreciation on swap contracts		—	†
Equity contracts	Net Assets — Unrealized appreciation on swap contracts		305	†	Net Assets — Unrealized depreciation on swap contracts		3	†
	Investments, at value		259		Options written, at value		93
Total Derivatives not accounted for as hedging instruments		$	2,110			$	539

* Includes cumulative appreciation/depreciation of futures contracts as reported in the Summary Schedules of Investments/Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets & Liabilities.

† Includes cumulative appreciation/depreciation of swap contracts as reported in the Schedules of Investments. Market Value is reported within the Statements of Assets & Liabilities for swap contracts that have paid premiums.

The effect of derivative instruments on the Statements of Operations for the year ended May 31, 2012.

Amount of realized gain or (loss) on derivatives recognized in income ($ Thousands):

Derivatives Not Accounted for as Hedging Instruments	Options		Futures			Forward Currency Contracts		Swaps			Total
International Equity Fund
Foreign exchange contracts	$	—	$	—		$	237	$	—		$	237
Equity contracts		—		(1,693	)		—		—			(1,693	)
Total	$	—	$	(1,693	)	$	237	$	—		$	(1,456	)
World Equity Ex-US Fund
Foreign exchange contracts	$	—	$	—		$	4,822	$	—		$	4,822
Equity contracts		—		7,004			—		—			7,004
Total	$	—	$	7,004		$	4,822	$	—		$	11,826
Screened World Equity Ex-US Fund
Foreign exchange contracts	$	—	$	—		$	73	$	—		$	73
Equity contracts		—		85			—		—			85
Total	$	—	$	85		$	73	$	—		$	158
Core Fixed Income Fund
Interest rate contracts	$	1,526	$	(30,556	)	$	—	$	(14,855	)	$	(43,885	)
Foreign exchange contracts		—		—			3,935		—			3,935
Equity contracts		—		—			—		1,065			1,065
Credit contracts		—		—			—		(1,936	)		(1,936	)
Total	$	1,526	$	(30,556	)	$	3,935	$	(15,726	)	$	(40,821	)
Long Duration Fund
Interest rate contracts	$	—	$	25,027		$	—	$	248		$	25,275
Credit contracts		—		—			—		(85	)		(85	)
Total	$	—	$	25,027		$	—	$	163		$	25,190
Emerging Markets Debt Fund
Interest rate contracts	$	—	$	(2,186	)	$	—	$	—		$	(2,186	)
Foreign exchange contracts		—		—			2,720		—			2,720
Equity contracts		—		—			—		418			418
Total	$	—	$	(2,186	)	$	2,720	$	418		$	952

216 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Derivatives Not Accounted for as Hedging Instruments	Options			Futures			Forward Currency Contracts		Swaps			Total
Dynamic Asset Allocation Fund
Interest rate contracts	$	—		$	14,841		$	—	$	—		$	14,841
Equity contracts		—			26,289			—		—			26,289
Total	$	—		$	41,130		$	—	$	—		$	41,130
Multi-Asset Real Return Fund
Interest rate contracts	$	—		$	(497	)	$	—	$	25		$	(472	)
Foreign exchange contracts		—			—			250		—			250
Credit contracts		—			—			—		(21	)		(21	)
Equity contracts		(34	)		2			—		(1,593	)		(1,625	)
Total	$	(34	)	$	(495	)	$	250	$	(1,589	)	$	(1,868	)
Change in unrealized appreciation or (depreciation) on derivatives recognized in income ($ Thousands):
Derivatives Not Accounted for as Hedging Instruments	Options			Futures			Forward Currency Contracts		Swaps			Total
International Equity Fund
Foreign exchange contracts	$	—		$	—		$	122	$	—		$	122
Equity contracts		—			(641	)		—		—			(641	)
Total	$	—		$	(641	)	$	122	$	—		$	(519	)
World Equity Ex-US Fund
Foreign exchange contracts	$	—		$	—		$	3,649	$	—		$	3,649
Equity contracts		—			(16,403	)		—		—			(16,403	)
Total	$	—		$	(16,403	)	$	3,649	$	—		$	(12,754	)
Screened World Equity Ex-US Fund
Foreign exchange contracts	$	—		$	—		$	64	$	—		$	64
Equity contracts		—			(102	)		—		—			(102	)
Total	$	—		$	(102	)	$	64	$	—		$	(38	)
Core Fixed Income Fund
Interest rate contracts	$	(281	)	$	(3,307	)	$	—	$	2,275		$	(1,313	)
Foreign exchange contracts		—			—			1,233		—			1,233
Equity contracts		—			—			—		(190	)		(190	)
Credit contracts		—			—			—		4,063			4,063
Total	$	(281	)	$	(3,307	)	$	1,233	$	6,148		$	3,793
Long Duration Fund
Interest rate contracts	$	—		$	3,643		$	—	$	—		$	3,643
Credit contracts		—			—			—		120			120
Total	$	—		$	3,643		$	—	$	120		$	3,763
Emerging Markets Debt Fund
Interest rate contracts	$	—		$	(279	)	$	—	$	—		$	(279	)
Foreign exchange contracts		—			—			4,335		—			4,335
Equity contracts		—			—			—		(450	)		(450	)
Total	$	—		$	(279	)	$	4,335	$	(450	)	$	3,606
Multi-Asset Real Return Fund
Interest rate contracts	$	—		$	(89	)	$	—	$	(63	)	$	(152	)
Foreign exchange contracts		—			—			1,244		—			1,244
Credit contracts		—			—			—		11			11
Equity contracts		(29	)		—			—		302			273
Total	$	(29	)	$	(89	)	$	1,244	$	250		$	1,376

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.

SEI Institutional Investments Trust / Annual Report / May 31, 2012 217

Notes to Financial Statements (Continued)

May 31, 2012

Written options transactions entered into during the year ended May 31, 2012, are summarized as follows:

Core Fixed Income Fund
	Number of Contracts			Premium ($ Thousands)
Balance at beginning of year		7,020,180		$	260
Written		4,306			2,736
Expired		(890	)		(1,098	)
Closing buys		(1,498	)		(877	)
Balance at end of year		7,022,098		$	1,021

Multi-Asset Real Return Fund
	Number of Contracts			Premium ($ Thousands)
Balance at beginning of year		—		$	—
Written		72			208
Closing buys		(27	)		(106	)
Balance at end of year		45		$	102

As of May 31, 2012, 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 year ended May 31, 2012, the Administrator has voluntarily agreed to waive all of its fee.

Investment Advisory Agreement — SEI Investments Management Corporation (“SIMC”) serves as investment adviser (the “Adviser”) to

each Fund. In connection with serving as Adviser, SIMC is entitled to a fee that is calculated daily and paid monthly, based on the average daily net assets of each Fund. SIMC has voluntarily agreed to waive a portion of its fee so that the total annual expenses of each Fund, exclusive of acquired fund fees expenses, will not exceed certain voluntary expense limitations adopted by SIMC. These waivers may be terminated at any time. Accordingly, the advisory fee and voluntary expense limitations for each Fund are as follows:

	Advisory Fees			Voluntary Expense Limitations
Large Cap Fund		0.400	%		0.26	%
Large Cap Diversified Alpha Fund		0.400			0.31
Large Cap Disciplined Equity Fund		0.400			0.18
Large Cap Index Fund		0.170			0.06
Small Cap Fund		0.650			0.54
Small Cap II Fund		0.650			0.59
Small/Mid Cap Equity Fund		0.650			0.50
U.S. Managed Volatility Fund		0.650			0.35

	Advisory Fees			Voluntary Expense Limitations
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 May 31, 2012, 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.

Brown Investment Advisory Incorporated

Delaware Management Company

LSV Asset Management

Waddell & Reed Investment Management Company

WestEnd Advisors LLC

Large Cap Diversified Alpha Fund

Aronson + Johnson + Ortiz, L.P.

Delaware Management Company

INTECH Investment Management, LLC

Tocqueville Asset Management, L.P.

WestEnd Advisors LLC

Large Cap Disciplined Equity Fund

Analytic Investors, Inc.

GE Asset Management Incorporated

INTECH Investment Management, LLC

Lazard Asset Management LLC

Quantitative Management Associates, LLC

Large Cap Index Fund

SSgA Funds Management, Inc.

218 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Investment Sub-Adviser

Small Cap Fund

AllianceBernstein L.P.

Allianz Global Investors Capital LLC

AQR Capital Management, LLC

Artisan Partners Limited Partnership

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.

Timberline Asset Management, LLC

Wellington Management Company, LLP

William Blair & Company, LLC

Small Cap II Fund

Alliance Bernstein L.P.

AQR Capital Management, LLC

Lee Munder Capital Group, LLC

Timberline Asset Management, LLC

Small/Mid Cap Equity Fund

AllianceBernstein L.P.

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

Schroder Investment Management North America, Inc.

Tradewinds Global Investors LLC

World Equity Ex-US Fund

Acadian Asset Management LLC

EARNEST Partners, LLC

JO Hambro Capital Management Limited

McKinley Capital Management, LLC

NFJ Investment Group 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

Investment Sub-Adviser

Enhanced LIBOR Opportunities Fund

Ares Management, LLC

Wellington Management Company, LLP

Core Fixed Income Fund

Jennison Associates LLC

J.P. Morgan Investment Management, Inc.

Metropolitan West Asset Management, LLC

Wells Capital Management, Inc.

Western Asset Management Company

Western Asset Management Company Limited

High Yield Bond Fund

Ares Management, LLC

Brigade Capital Management, LLC

Delaware Management Company

Guggenheim Partners Asset Management, LLC

J.P. Morgan Investment Management, Inc.

Long Duration Fund

Income Research & Management

Jennison Associates LLC

Legal & General Investment Management America, Inc.

Metropolitan West Asset Management LLC

Ultra Short Duration Bond Fund

Logan Circle Partners, L.P.

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

SSgA Funds Management, Inc.

Multi-Asset Real Return Fund

AllianceBernstein 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.

SEI Institutional Investments Trust / Annual Report / May 31, 2012 219

Notes to Financial Statements (Continued)

May 31, 2012

Such commissions for the year ended May 31, 2012, were as follows ($ Thousands):

Large Cap Fund	$	119
Large Cap Diversified Alpha Fund		25
Large Cap Disciplined Equity Fund		40
Large Cap Index Fund		16
Small Cap Fund		144
Small Cap II Fund		—
Small/Mid Cap Equity Fund		41
World Equity Ex-US Fund		411
Screened World Equity Ex-US Fund		6

Payments to Affiliates — Certain officers and/or trustees of the Trust are also officers of the Distributor, the Adviser or the Administrator. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly and interim 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 year ended May 31, 2012, were as follows ($ Thousands):

Large Cap Fund	$	336
Small Cap Fund		193
Small/Mid Cap Equity Fund		873
U.S. Managed Volatility Fund		372

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 year ended May 31, 2012, 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 year ended May 31, 2012, 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	$	112		0.28	%
Large Cap Fund		11/14/2011		11,000		165		0.27
Large Cap Fund		05/01/2012		21,500		430		0.36
Large Cap Disciplined Equity Fund		04/02/2012		43,722		802		0.33
U.S. Managed Volatility Fund		09/30/2011		9,500		230		0.29
U.S. Managed Volatility Fund		12/01/2011		10,200		79		0.28
High Yield Bond Fund		05/01/2012		41,119		411		0.36
High Yield Bond Fund		05/02/2012		41,211		412		0.36
High Yield Bond Fund		05/03/2012		28,450		285		0.36

The Trust had no outstanding borrowings or loans under the Program at May 31, 2012.

220 SEI Institutional Investments Trust / Annual Report / May 31, 2012

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
	2012			2011			2012			2011			2012			2011			2012			2011
Class A:
Shares Issued		42,736			37,117	(1)		5,503			6,666			114,099			160,494			6,272	(1)		2,208
Shares Issued In Lieu of Dividends and Distributions		5,311			1,172			335			619			10,479			16,671			140			100
Shares Redeemed		(31,943	)		(33,338	)		(9,960	)		(14,906	)		(326,008	)		(247,363	)		(1,938	)		(1,139	)
Increase (Decrease) in Net Assets Derived from Class A Transactions		16,104			4,951			(4,122	)		(7,621	)		(201,430	)		(70,198	)		4,474			1,169
	Small Cap Fund						Small Cap II Fund(5)						Small/Mid Cap Equity Fund						U.S. Managed Volatility Fund
	2012			2011						2012			2012			2011			2012			2011
Class A:
Shares Issued		27,655			19,322						6,454			35,194			51,210			58,784			3,870
Shares Issued In Lieu of Dividends and Distributions		349			784						—			1,269			898			2,791			2,142
Shares Redeemed		(19,023	)		(91,837	)(1)					—			(45,867	)(1)		(78,171	)		(9,190	)(1)		(17,863	)(1)
Increase (Decrease) in Net Assets Derived from Class A Transactions		8,981			(71,731	)					6,454			(9,404	)		(26,063	)		52,385			(11,851	)

	International Equity Fund						World Equity Ex-US Fund						Screened World Equity Ex-US Fund						Enhanced LIBOR Opportunities Fund
	2012			2011			2012			2011			2012			2011			2012			2011
Class A:
Shares Issued		15,813			11,746			196,762			129,071			2,166			1,100			1,980			24,643
Shares Issued In Lieu of Dividends and Distributions		1,352			2,652			9,741			7,364			114			128			641			367
Shares Redeemed		(32,505	)		(41,784	)		(143,869	)		(107,044	)		(1,425	)		(4,900	)		(12,270	)		(2,910	)
Increase (Decrease) in Net Assets Derived from Class A Transactions		(15,340	)		(27,386	)		62,634			29,391			855			(3,672	)		(9,649	)		22,100
	Core Fixed Income Fund						High Yield Bond Fund						Long Duration Fund						Ultra Short Duration Bond Fund(2)
	2012			2011			2012			2011			2012			2011			2012			2011
Class A:
Shares Issued		180,742			224,643			75,270			69,442			234,974	(1)		120,233			31,725			32,449
Shares Issued In Lieu of Dividends and Distributions		32,031			40,542			16,538			16,229			42,344			27,703			526			124
Shares Redeemed		(197,496	)		(165,472	)		(88,223	)		(70,299	)		(106,591	)		(63,847	)		(33,664	)		(1,203	)
Increase (Decrease) in Net Assets Derived from Class A Transactions		15,277			99,713			3,585			15,372			170,727			84,089			(1,413	)		31,370
	Emerging Markets Debt Fund						Real Return Fund						Dynamic Asset Allocation Fund(3)						Multi-Asset Real Return Fund(4)
	2012			2011			2012			2011			2012			2011			2012
Class A:
Shares Issued		29,078			31,615			5,802			15,526			18,573			36,372			17,690
Shares Issued In Lieu of Dividends and Distributions		7,110			4,483			1,459			1,154			1,918			176			17
Shares Redeemed		(25,495	)		(41,911	)		(14,483	)		(13,464	)		(7,054	)		(376	)		(2,570	)
Increase (Decrease) in Net Assets Derived from Class A Transactions		10,693			(5,813	)		(7,222	)		3,216			13,437			36,172			15,137

(1) Includes subscriptions/redemptions as a result of in-kind transfers of securities (see Note 10).

(2) Fund commenced operations on February 28, 2011.

(3) Fund commenced operations on July 30, 2010.

(4) Fund commenced operations on July 29, 2011.

(5) Fund commenced operations on April 10, 2012.

SEI Institutional Investments Trust / Annual Report / May 31, 2012 221

Notes to Financial Statements (Continued)

May 31, 2012

7. INVESTMENT TRANSACTIONS

The cost of security purchases and proceeds from the sale and maturities of securities other than temporary cash investments, during the year ended May 31, 2012, were as follows:

	U.S. Gov’t ($ Thousands)		Other ($ Thousands)		Total ($ Thousands)
Large Cap Fund
Purchases	$	—	$	1,477,650	$	1,477,650
Sales		—		1,297,350		1,297,350
Large Cap Diversified Alpha Fund
Purchases		—		321,138		321,138
Sales		—		358,341		358,341
Large Cap Disciplined Equity Fund
Purchases		—		5,893,877		5,893,877
Sales		—		7,934,819		7,934,819
Large Cap Index Fund*
Purchases		—		605,891		605,891
Sales		—		106,779		106,779
Small Cap Fund
Purchases		—		660,463		660,463
Sales		—		566,364		566,364
Small Cap II Fund(2)
Purchases		—		62,845		62,845
Sales		—		4,792		4,792
Small/Mid Cap Equity Fund*
Purchases		—		1,672,634		1,672,634
Sales		—		1,793,373		1,793,373
U.S. Managed Volatility Fund
Purchases		—		714,131		714,131
Sales		—		151,668		151,668
International Equity Fund
Purchases		—		241,315		241,315
Sales		—		327,043		327,043
World Equity Ex-US Fund
Purchases		—		2,938,820		2,938,820
Sales		—		2,483,973		2,483,973
Screened World Equity Ex-US Fund
Purchases		—		40,765		40,765
Sales		—		35,320		35,320
Enhanced LIBOR Opportunities Fund
Purchases		57,786		36,813		94,599
Sales		62,081		95,764		157,845
Core Fixed Income Fund
Purchases		21,753,919		2,217,548		23,971,467
Sales		21,852,664		2,145,085		23,997,749
High Yield Bond Fund
Purchases		—		817,657		817,657
Sales		—		901,368		901,368
Long Duration Fund*
Purchases		3,857,283		2,083,694		5,940,977
Sales		3,362,498		1,213,367		4,575,865
Ultra Short Duration Bond Fund
Purchases		384,797		338,706		723,503
Sales		402,459		309,722		712,181
Emerging Markets Debt Fund
Purchases		—		610,474		610,474
Sales		—		522,495		522,495
Real Return Fund
Purchases		283,903		89		283,992
Sales		379,723		89		379,812

	U.S. Gov’t ($ Thousands)		Other ($ Thousands)		Total ($ Thousands)
Dynamic Asset Allocation Fund
Purchases	$	61,279	$	565,191	$	626,470
Sales		61,530		5,702		67,232
Multi-Asset Real Return Fund(1)
Purchases		99,809		139,446		239,255
Sales		26,665		44,714		71,379

(1) Commenced operations on July 29, 2011.

(2) Commenced operations on April 10, 2012.

* Includes in-kind transactions (see Note 10).

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 U.S. 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.

Accordingly, the following permanent differences, primarily attributable to different treatment for gains and losses on paydowns of mortgage and asset-backed securities for tax purposes, defaulted bond basis adjustments, reclassification of long term capital gain distributions on Real Estate Investment Trust securities, reclassification of income and expense from swap transactions, basis adjustments for investments in partnerships, and gains and losses on passive foreign investment companies and certain foreign currency related transactions and non taxable in-kind redemption, have been reclassified to/ from the following accounts as of May 31, 2012:

	Undistributed Net Investment Income (Loss) ($ Thousands)			Accumulated Realized Gain (Loss) ($ Thousands)			Paid-in Capital ($ Thousands)
Large Cap Fund	$	74		$	(74	)	$	—
Large Cap Diversified Alpha Fund		(9	)		9			—
Large Cap Disciplined Equity Fund		18,762			(18,762	)		—
Large Cap Index Fund		129			(129	)		—
Small Cap Fund		657			(524	)		(133	)
Small Cap II Fund		2			(2	)		—
Small/Mid Cap Equity Fund		1,214			(5,344	)		4,130
U.S. Managed Volatility Fund		84			(84	)		—
International Equity Fund		(388	)		388			—
World Equity Ex-US Fund		(2,143	)		2,143			—
Screened World Equity Ex-US Fund		99			(99	)		—
Enhanced LIBOR Opportunities Fund		3,084			(3,084	)		—
Core Fixed Income Fund		15,652			(15,677	)		25
High Yield Bond Fund		(6,644	)		5,678			966
Long Duration Fund		(496	)		496			—
Ultra Short Duration Fund		346			(373	)		27
Emerging Markets Debt Fund		(1,810	)		1,810			—
Real Return Fund		115			(115	)		—
Dynamic Asset Allocation Fund		5			(5	)		—
Multi-Asset Real Return Fund		(1,380	)		1,380			—

These reclassifications have no impact on net assets or net asset value per share.

222 SEI Institutional Investments Trust / Annual Report / May 31, 2012

The tax character of dividends and distributions paid during the last two years or periods ended May 31, 2012 were as follows:

			Ordinary Income ($ Thousands)		Long-Term Capital Gain ($ Thousands)		Return of Capital ($ Thousands)		Total ($ Thousands)
Large Cap Fund		2012	$	22,774	$	66,801	$	—	$	89,575
		2011		19,157		—		—		19,157
Large Cap Diversified Alpha Fund		2012		3,329		—		—		3,329
		2011		6,446		—		—		6,446
Large Cap Disciplined Equity Fund		2012		106,581		—		—		106,581
		2011		166,228		—		—		166,228
Large Cap Index Fund		2012		16,211		—		—		16,211
		2011		10,513		—		—		10,513
Small Cap Fund		2012		4,874		—		—		4,874
		2011		10,045		—		—		10,045
Small Cap II Fund		2012		—		—		—		—
Small/Mid Cap Equity Fund		2012		15,466		—		—		15,466
		2011		10,170		—		—		10,170
U.S. Managed Volatility Fund		2012		10,441		20,489		—		30,930
		2011		15,274		8,056		—		23,330
International Equity Fund	��	2012		9,424		—		—		9,424
		2011		22,384		—		—		22,384
World Equity Ex-US Fund		2012		92,739		—		—		92,739
		2011		82,847		—		—		82,847
Screened World Equity Ex-US Fund		2012		992		—		—		992
		2011		1,216		—		—		1,216
Enhanced LIBOR Opportunities Fund		2012		5,179		—		—		5,179
		2011		3,019		—		—		3,019
Core Fixed Income Fund		2012		347,851		—				347,851
		2011		434,055		16,079		—		450,134
High Yield Bond Fund		2012		156,365		—		—		156,365
		2011		155,186		—		—		155,186
Long Duration Bond Fund		2012		312,089		80,526		—		392,615
		2011		212,017		34,222		—		246,239
Ultra Short Duration Fund		2012		5,251		—		—		5,251
		2011		1,266		—		—		1,266
Emerging Markets Debt Fund		2012		70,422		10,680		—		81,102
		2011		51,025		—		—		51,025
Real Return Fund		2012		13,005		4,376		—		17,381
		2011		12,369		1,371		—		13,740
Dynamic Asset Allocation Fund		2012		8,638		13,701		—		22,339
		2011		696		1,189		—		1,885
Multi-Asset Real Return Fund		2012		166		—		—		166

SEI Institutional Investments Trust / Annual Report / May 31, 2012 223

Notes to Financial Statements (Continued)

May 31, 2012

As of May 31, 2012, 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)			Late Year Losses ($ Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)			Other Temporary Differences ($ Thousands)			Total Distributable Earnings (Accumulated Losses) ($ Thousands)
Large Cap Fund	$	5,344	$	28,766	$	—		$	—		$	—	$	142,127		$	—		$	176,237
Large Cap Diversified Alpha Fund		1,203		—		(116,016	)		—			—		15,398			—			(99,415	)
Large Cap Disciplined Equity Fund		18,083		—		(1,234,115	)		—			—		415,029			—			(801,003	)
Large Cap Index Fund		4,580		15,086		—			—			—		122,822			—			142,488
Small Cap Fund		2,652		—		(207,236	)		—			—		(36,093	)		(1	)		(240,678	)
Small Cap II Fund		91		—		—			(73	)		—		(2,087	)		—			(2,069	)
Small/Mid Cap Equity Fund		9,758		—		(11,100	)		—			—		8,620			2			7,280
U.S. Managed Volatility Fund		6,983		2,361		—			—			—		31,609			(3	)		40,950
International Equity Fund		6,573		—		(406,551	)		(10,190	)		—		(55,115	)		(127	)		(465,410	)
World Equity Ex-US Fund		62,763		—		(623,915	)		(35,797	)		—		(356,906	)		(3,652	)		(957,507	)
Screened World Equity Ex-US Fund		653		—		(17,047	)		(324	)		—		(5,250	)		(65	)		(22,033	)
Enhanced LIBOR Opportunities Fund		6,853		—		(55,079	)		(316	)		—		2,119			—			(46,423	)
Core Fixed Income Fund		104,316		—		—			(41,741	)		—		249,517			(108,893	)		203,199
High Yield Bond Fund		14,567		—		(46,260	)		—			—		13,914			(12,715	)		(30,494	)
Long Duration Fund		141,481		40,888		—			—			—		535,027			(117,950	)		599,446
Ultra Short Duration Fund		331		—		(277	)		(419	)		—		(679	)		(364	)		(1,408	)
Emerging Markets Debt Fund		12,337		13,793		—			(1,557	)		—		38,694			(4,509	)		58,758
Real Return Fund		4,017		2,716		—			—			—		6,047			(1,230	)		11,550
Dynamic Asset Allocation Fund		36,289		17,524		—			—			—		(8,143	)		(23,730	)		21,940
Multi-Asset Real Return Fund		888		—		(1,417	)		(277	)		—		(6,950	)		(1,535	)		(9,291	)

Post-October losses represent losses realized on investment transactions from November 1, 2011 through May 31, 2012 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 2016 ($ Thousands)		Expires 2017 ($ Thousands)		Expires 2018 ($ Thousands)		Expires 2019 ($ Thousands)		Total Capital Loss Carryforwards May 31, 2012 ($ Thousands)
Large Cap Diversified Alpha Fund	$	—	$	20,549	$	95,467	$	—	$	116,016
Large Cap Disciplined Equity Fund		—		130,919		1,103,196		—		1,234,115
Small Cap Fund		—		—		207,236		—		207,236
Small/Mid Cap Equity Fund		—		—		11,100		—		11,100
International Equity Fund		—		119,559		278,108		—		397,667
World Equity Ex-US Fund		—		97,688		441,774		—		539,462
Screened World Equity Ex-US Fund		—		31		16,407		—		16,438
Enhanced LIBOR Opportunities Fund		1,487		10,404		23,512		19,071		54,474
High Yield Bond Fund		—		—		46,260		—		46,260

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. Losses carried forward under these new provisions are as follows:

	Short-Term Loss		Long- Term Loss		Total*
International Equity Fund	$	8,884	$	—	$	8,884
World Equity Ex-US Fund		84,453		—		84,453
Screened World Equity Ex-US Fund		609		—		609
Enhanced LIBOR Opportunities Fund		—		605		605
Ultra Short Duration Fund		—		277		277
Multi-Asset Real Return Fund		1,417		—		1,417

* This table should be used in conjunction with the capital loss carryforwards table.

224 SEI Institutional Investments Trust / Annual Report / May 31, 2012

During the fiscal year ended May 31, 2012, the following Funds utilized capital loss carryforwards to offset capital gains:

	Amount Utilized ($ Thousands)
Large Cap Index Fund	$	32,021
Large Cap Diversified Alpha Fund		16,204
Large Cap Disciplined Equity Fund		610,007
Small Cap Fund		51,308
Small/Mid Cap Equity Fund		162,836
High Yield Bond Fund		38,853
Emerging Markets Debt Fund		1,454

For Federal income tax purposes, the cost of securities owned at May 31, 2012, 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 bond and wash sales which cannot be used for Federal income tax purposes in the current year and have been deferred for use in future years. The aggregate gross unrealized appreciation and depreciation on total investments held by the Funds at May 31, 2012, was as follows:

	Federal Tax Cost ($ Thousands)		Appreciated Securities ($ Thousands)		Depreciated Securities ($ Thousands)			Net Unrealized Appreciation (Depreciation) ($  Thousands)
Large Cap Fund	$	1,755,037	$	235,852	$	(93,725	)	$	142,127
Large Cap Diversified Alpha Fund		304,399		32,898		(17,500	)		15,398
Large Cap Disciplined Equity Fund		5,338,756		898,284		(483,255	)		415,029
Large Cap Index Fund		1,265,919		183,801		(60,979	)		122,822
Small Cap Fund		1,001,939		65,883		(101,976	)		(36,093	)
Small Cap II Fund		59,929		1,269		(3,356	)		(2,087	)
Small/Mid Cap Equity Fund		2,494,550		224,219		(215,599	)		8,620
U.S. Managed Volatility Fund		687,268		49,330		(17,721	)		31,609
International Equity Fund		402,991		13,042		(67,377	)		(54,335	)
World Equity Ex-US Fund		5,199,552		231,620		(576,836	)		(345,216	)
Screened World Equity Ex-US Fund		52,952		2,062		(7,287	)		(5,225	)
Enhanced LIBOR Opportunities Fund		221,416		21,682		(19,563	)		2,119
Core Fixed Income Fund		7,696,825		380,009		(127,703	)		252,306
High Yield Bond Fund		1,878,609		69,182		(54,861	)		14,321
Long Duration Fund		4,985,865		558,504		(23,597	)		534,907
Ultra Short Duration Fund		309,807		1,125		(1,804	)		(679	)
Emerging Markets Debt Fund		1,052,721		76,818		(41,614	)		35,204
Real Return Fund		275,150		7,753		(1,706	)		6,047
Dynamic Asset Allocation Fund		563,201		1,727		(33,599	)		(31,872	)
Multi-Asset Real Return Fund		166,801		1,949		(10,312	)		(8,363	)

Management has analyzed the Funds’ tax positions taken on Federal income tax returns for all open tax years and has concluded that as of May 31, 2012, 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 year ended May 31, 2012, the Large Cap Index, Small/Mid Cap Equity and Long Duration 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) (Thousands)			Value ($ Thousands)			Gain (Loss) ($ Thousands)
Large Cap Index Fund
01/05/2012		272		$	29,489		$	—
02/03/2012		176			20,013			—
Small/Mid Cap Equity Fund
08/03/2011		(2,758	)		(35,388	)		4,996
Long Duration Fund
08/03/2011		4,633			41,416			—
02/03/2012		34,942			327,759			—
04/13/2012		37,389			345,848			—

During the year ended May 31, 2011, the Large Cap, Small Cap and U.S. Managed Volatility Funds issued shares of beneficial interest in

SEI Institutional Investments Trust / Annual Report / May 31, 2012 225

Notes to Financial Statements (Concluded)

May 31, 2012

exchange for securities. These securities were transferred at their current value on the date of such transactions.

	Shares Issued (Redeemed) (Thousands)			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 PRONOUNCEMENT

In December 2011, the FASB issued a further update to the guidance “Balance Sheet — Disclosures about Offsetting Assets and Liabilities”. The amendments to this standard require an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position. The amended guidance is effective for interim and annual reporting periods beginning after January 1, 2013. At this time, management is evaluating the implications of this update and its impact on the financial statements has not been determined.

13. SUBSEQUENT EVENTS

Management has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. Based on this evaluation, no adjustments were required to the financial statements as of May 31, 2012.

226 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Report of Independent Registered Public Accounting Firm

The Board of Directors and Shareholders

SEI Institutional Investments Trust:

We have audited the accompanying statements of assets and liabilities of the SEI Institutional Investments Trust comprising the Large Cap Fund, Large Cap Diversified Alpha Fund, Large Cap Disciplined Equity Fund, Large Cap Index Fund, Small Cap Fund, Small Cap II 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 and Multi-Asset Real Return Fund (collectively, the “Funds”), as of May 31, 2012, including the schedules of investments or summary schedules of investments, as applicable, and the related statements of operations for the year or period then ended, the statements of changes in net assets for each of the years or periods in the two-year period then ended, the statement of cash flows for the period then ended for the Multi-Asset Real Return Fund and the financial highlights for each of the years or periods in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of May 31, 2012, by correspondence with custodians and brokers or other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the funds comprising the SEI Institutional Investments Trust as of May 31, 2012, the results of their operations for the year or period then ended, the changes in their net assets for each of the years or periods in the two-year period then ended, the cash flows for the period then ended for the Multi-Asset Real Return Fund and the financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

Philadelphia, Pennsylvania

July 27, 2012

SEI Institutional Investments Trust / Annual Report / May 31, 2012 227

TRUSTEES AND OFFICERS OF THE TRUST (Unaudited)

The following chart lists Trustees and Officers as of May 31, 2012.

Set forth below are the names, addresses, ages, position with the Trust, Term of Office and Length of Time Served, the principal occupations for the last five years, number of portfolios in fund complex overseen by trustee, and other directorships outside the fund complex of each of the persons currently serving as Trustees and Officers of the Trust. The Trust’s Statement of Additional Information (“SAI”) includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling 1-800-342-5734.

Name Address, and Age	Position(s) Held with Trusts	Term of Office and Length of Time Served1	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen by Trustee2	Other Directorships Held by Trustee
INTERESTED TRUSTEES
Robert A. Nesher One Freedom Valley Drive Oaks, PA 19456 65 yrs. old	Chairman of the Board of Trustees*	since 1982	Currently performs various services on behalf of SEI for which Mr. Nesher is compensated.	90	Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, Director of SEI Global Master Fund, plc, SEI Global Assets Fund, plc, SEI Global Investments Fund, plc, SEI Investments Global, Limited, SEI Investments — Global Fund Services, Limited, SEI Investments (Europe), Limited, SEI Global Nominee Ltd., SEI Structured Credit Fund, L.P.
William M. Doran One Freedom Valley Drive Oaks, PA 19456 71 yrs. old	Trustee*	since 1982	Self-employed consultant since 2003. Partner, Morgan, Lewis & Bockius LLP (law firm) from 1976 to 2003, counsel to the Trust, SEI, SIMC, the Administrator and the Distributor. Secretary of SEI since 1978.	90	Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, Director of SEI since 1974. Director of the Distributor since 2003. Director of SEI Investments — Global Fund Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe), Limited, SEI Investments (Asia), SEI Global Nominee Ltd., Limited and SEI Asset Korea Co., Ltd.
TRUSTEES
George J. Sullivan, Jr. One Freedom Valley Drive Oaks, PA 19456 69 yrs. old	Trustee	since 1996	Retired since January 2012. Self- Employed Consultant, Newfound Consultants Inc. since April 1997- December 2011.	90	Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, State Street Navigator Securities Lending Trust, and SEI Structured Credit Fund, L.P., member of the independent review committee for SEI’s Canadian-registered mutual funds.

* Messrs. Nesher and Doran are Trustees who may be deemed as “interested” persons of the Trust as that term is defined in the 1940 Act by virtue of their affiliation with SIMC and the Trust’s Distributor.

¹  Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust’s Declaration of Trust.

²  The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, Adviser Managed Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Liquid Asset Trust, SEI Tax Exempt Trust, SEI Alpha Strategy Portfolios, L.P. and New Covenant Funds.

228 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Name Address, and Age	Position(s) Held with Trusts	Term of Office and Length of Time Served1	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen by Trustee2	Other Directorships Held by Trustee
TRUSTEES (continued)
Rosemarie B. Greco One Freedom Valley Drive Oaks, PA 19456 65 yrs. old	Trustee	since 1999	Director, Governor’s Office of Health Care Reform, Commonwealth of Pennsylvania since 2003.	90	Director, Sunoco, Inc.; Director, Excelon Corporation; Trustee, Pennsylvania Real Estate Investment Trust.
Nina Lesavoy One Freedom Valley Drive Oaks, PA 19456 54 yrs. old	Trustee	since 2003	Founder and Managing Director, Avec Capital since 2008. Managing Director, Cue Capital from March 2002-March 2008.	90	Director of SEI Structured Credit Fund, L.P.
James M. Williams One Freedom Valley Drive Oaks, PA 19456 64 yrs. old	Trustee	since 2004	Vice President and Chief Investment Officer, J. Paul Getty Trust, Non-Profit Foundation for Visual Arts, since December 2002.	90	Trustee/Director of Ariel Mutual Funds, and SEI Strucured Credit Fund, L.P.
Mitchell A. Johnson One Freedom Valley Drive Oaks, PA 19456 70 yrs. old	Trustee	Since 2007	Private Investor since 1994.	90	Trustee of the Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, and Bishop Street Funds
Hubert L. Harris, Jr. One Freedom Valley Drive Oaks, PA 19456 68 yrs. old	Trustee	since 2008	Retired since December 2005. Chief Executive Officer and Chair of the Board of Directors, AMVESCAP Retirement, Inc., 1997-December 2005. Chief Executive Officer, INVESCO North America, September 2003-December 2005.	90	Director of Colonial BancGroup, Inc. and St. Joseph’s Translational Research Institute; Chair of the Board of Trustees, Georgia Tech Foundation, Inc. (nonprofit corporation); Board of Councilors of the Carter Center.
OFFICERS
Robert A. Nesher One Freedom Valley Drive Oaks, PA 19456 65 yrs. old	President and CEO	since 2005	Currently performs various services on behalf of SEI for which Mr. Nesher is compensated.	N/A	N/A
Peter A. Rodriguez One Freedom Valley Drive Oaks, PA 19456 50 yrs. old	Controller and Chief Financial Officer	since 2011	Director, Fund Accounting, SEI Investments Global Funds Services (March 2011, September 2002 to March 2005 and 1997- 2002); Director, Mutual Fund Trading, SEI Private Trust Company (May 2009 to February 2011); Director, Asset Data Services, Global Wealth Services (June 2006 to April 2009); Director, Portfolio Accounting, SEI Investments Global Funds Services (March 2005 to June 2006)	N/A	N/A
Russell Emery One Freedom Valley Drive Oaks, PA 19456 49 yrs. old	Chief Compliance Officer	since 2006	Chief Compliance Officer of SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional International Trust, SEI Liquid Asset Trust, SEI Tax Exempt Trust, SEI Institutional Investments Trust, The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, and Bishop Street Funds, since March 2006. Chief Compliance Officer of SEI Structured Credit Fund, LP and SEI Alpha Strategy Portfolios, LP since June 2007. Chief Compliance Officer of Adviser Managed Trust since December 2010. Chief Compliance Officer of New Covenant Funds since February 2012.	N/A	N/A

SEI Institutional Investments Trust / Annual Report / May 31, 2012 229

TRUSTEES AND OFFICERS OF THE TRUST (Unaudited)

Name Address, and Age	Position(s) Held with Trusts	Term of Office and Length of Time Served1	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen by Trustee2	Other Directorships Held by Trustee
OFFICERS (continued)
Timothy D. Barto One Freedom Valley Drive Oaks, PA 19456 44 yrs. old	Vice President and Secretary	since 2002	General Counsel, Vice President and Secretary of SIMC and the Administrator since 2004. Vice President and Assistant Secretary of SEI since 2001. Vice President of SIMC and the Administrator since 1999.	N/A	N/A
Aaron Buser One Freedom Valley Drive Oaks, PA 19456 41 yrs. old	Vice President and Assistant Secretary	since 2008	Vice President and Assistant Secretary of SIMC since 2007. Associate at Stark & Stark (2004-2007).	N/A	N/A
David F. McCann One Freedom Valley Drive Oaks, PA 19456 36 yrs. old	Vice President and Assistant Secretary	since 2009	Vice President and Assistant Secretary of SIMC since 2008. Attorney, Drinker Biddle & Reath, LLP (law firm), May 2005-October 2008. Attorney, Pepper Hamilton, LLP (law firm), September 2001-May 2005.	N/A	N/A
John J. McCue One Freedom Valley Drive Oaks, PA 19456 48 yrs. old	Vice President	since 2004	Director of Portfolio Implementation for SIMC since 1995. Managing Director of Money Market Investments for SIMC since 2003.	N/A	N/A
Keri E. Rohn One Freedom Valley Drive Oaks, PA 19456 31 yrs. old	Privacy Officer and Anti-Money Laundering Compliance Officer	since 2009	Compliance Officer of SEI Investments Company since June 2003.	N/A	N/A

¹  Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust’s Declaration of Trust.

²  The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, Adviser Managed Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Liquid Asset Trust, SEI Tax Exempt Trust, SEI Alpha Strategy Portfolios, L.P. and New Covenant Funds.

230 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Disclosure of Fund Expenses (Unaudited)

May 31, 2012

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 12/1/2011		Ending Account Value 5/31/2012		Annualized Expense Ratios			Expense Paid During Period*
Large Cap Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,060.70		0.26	%	$	1.34
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	$	1,063.30		0.31	%	$	1.60
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	$	1,063.90		0.18	%	$	0.93
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	$	1,062.20		0.06	%	$	0.31
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.70		0.06	%	$	0.30

	Beginning Account Value 12/1/2011		Ending Account Value 5/31/2012		Annualized Expense Ratios			Expense Paid During Period*
Small Cap Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,032.00		0.53	%	$	2.69
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.35		0.53	%	$	2.68
Small Cap II Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	962.00		0.59	%	$	0.82	**
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.05		0.59	%	$	2.98	*
Small/Mid Cap Equity Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,043.30		0.49	%	$	2.50
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.55		0.49	%	$	2.48
U.S. Managed Volatility Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,058.10		0.35	%	$	1.80
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.25		0.35	%	$	1.77

SEI Institutional Investments Trust / Annual Report / May 31, 2012 231

Disclosure of Fund Expenses (Unaudited) (Concluded)

May 31, 2012

	Beginning Account Value 12/1/2011		Ending Account Value 5/31/2012		Annualized Expense Ratios			Expense Paid During Period*
International Equity Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	947.40		0.45	%	$	2.29
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.65		0.45	%	$	2.38
World Equity Ex-US Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	961.50		0.45	%	$	2.21
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	$	966.70		0.74	%	$	3.29
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,021.65		0.74	%	$	3.39
Enhanced LIBOR Opportunities Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,033.90		0.41	%	$	2.08
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	$	1,047.70		0.14	%	$	0.72
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	$	1,084.10		0.35	%	$	1.82
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	$	1,101.50		0.20	%	$	1.05
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.00		0.20	%	$	1.01
Ultra Short Duration Bond Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,011.70		0.16	%	$	0.80
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.20		0.16	%	$	0.81
Emerging Markets Debt Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,053.90		0.55	%	$	2.82
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	$	1,008.50		0.20	%	$	1.00
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	$	1,082.50		0.50	%	$	2.60
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	$	966.20		0.42	%	$	2.06
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.90		0.42	%	$	2.12

* 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 52/366 (to reflect the period since inception to period end).

232 SEI Institutional Investments Trust / Annual Report / May 31, 2012

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.

At the December 6 – 7, 2011 and March 27 – 28, 2012 meetings of the Board of Trustees, the Trustees, including a majority of the Independent Trustees, approved the Investment Advisory Agreements and approved the selection of SIMC and the

SEI Institutional Investments Trust / Annual Report / May 31, 2012 233

Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) (Continued)

Sub-Advisers to act in their respective capacities for the Funds. The Board’s approval was based on its consideration and evaluation of a variety of specific factors discussed at the meetings and at prior meetings, including:

• the nature, extent and quality of the services provided to the Funds under the Investment Advisory Agreements, including the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds;

• the Funds’ investment performance and how it compared to that of other comparable mutual funds;

• the Funds’ expenses under each Investment Advisory Agreement and how those expenses compared to those of other comparable mutual funds;

• the profitability of SIMC and the Sub-Advisers and their affiliates with respect to the Funds, including both direct and indirect benefits accruing to SIMC and the Sub-Advisers and their affiliates; and

• the extent to which economies of scale would be realized as the Funds grow and whether fee levels in the Investment Advisory Agreements reflect those economies of scale for the benefit of Fund investors.

Nature, Extent and Quality of Services. The Board considered the nature, extent and quality of the services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, SIMC’s and each Sub-Adviser’s personnel, experience, track record and compliance program. The Trustees found the level of SIMC’s and each Sub-Adviser’s professional staff and culture of compliance satisfactory. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds supported renewal of the Investment Advisory Agreements.

Fund Performance. The Board of Trustees considered Fund performance in determining whether to renew the Investment Advisory Agreements. Specifically, the Trustees considered the Funds’ performance relative to their peer groups and appropriate indices/benchmarks in light of total return, yield and market trends. As part of this review, the Trustees considered the composition of each peer group and selection criteria. In evaluating performance, the Trustees considered both market risk and shareholder risk expectations for the Funds. The Trustees found Fund performance satisfactory, and, where performance was below the benchmark, the Trustees were satisfied that appropriate steps were being taken. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds supported renewal of the Investment Advisory Agreements.

Fund Expenses. With respect to the Funds’ expenses under the Investment Advisory Agreements, the Trustees considered the rate of compensation called for by the Investment Advisory Agreements and the Funds’ net operating expense ratio in comparison to those of other comparable mutual funds. The Trustees also considered information about average expense ratios of comparable mutual funds in the Funds’ respective peer groups. The Trustees further considered the fact that the comparative fee analysis either showed that the various fees were below average or that there was a reasonable basis for the fee level. Finally, the Trustees considered the effects of SIMC’s voluntary waiver of management and other fees and the Sub-Advisers’ fees to prevent total Fund expenses from exceeding a specified cap and concluded that SIMC and the Sub-Advisers, through waivers, have maintained the Funds’ net operating expenses at competitive levels for their respective distribution channels. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported renewal of the Investment Advisory Agreements.

Profitability. With regard to profitability, the Trustees considered all compensation flowing to SIMC and the Sub-Advisers and their affiliates, directly or indirectly. The Trustees considered whether the varied levels of compensation and profitability under the Investment Advisory Agreements and other service agreements were reasonable and justified in light of the quality of all services rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. The Trustees found that profitability was reasonable and that the margin was not increasing despite growth in assets. When considering the profitability of the Sub-Advisers, the Board

234 SEI Institutional Investments Trust / Annual Report / May 31, 2012

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 each of SIMC and the Sub-Advisers is reasonable and supported renewal of the Investment Advisory Agreements.

Economies of Scale. The Trustees considered the existence of any economies of scale and whether those were passed along to the Funds’ shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by SIMC and its affiliates. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the Funds obtain reasonable benefit from economies of scale.

Based on the Trustees’ deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, unanimously approved the continuation of the Investment Advisory Agreements and concluded that the compensation under the Investment Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of their deliberations, the Trustees did not identify any particular information that was all-important or controlling.

SEI Institutional Investments Trust / Annual Report / May 31, 2012 235

Notice to Shareholders (Unaudited)

For shareholders who do not have a May 31, 2012, taxable year end, this notice is for informational purposes only. For shareholders with a May 31, 2012, taxable year end, please consult your tax adviser as to the pertinence of this notice.

For the fiscal year ended May 31, 2012, the Funds are designating long term and qualifying dividend income with regard to distributions paid during the year as follows:

	(A) Long Term Capital Gains Distributions (Tax Basis)			(B) Ordinary Income Distributions (Tax Basis)			Total Distributions (Tax Basis)			(C) Dividends Qualifying for Corporate Dividends Rec. Deduction (1)			(D) Qualifying Dividend Income (15% Tax Rate for QDI) (2)
Large Cap Fund		75	%		25	%		100	%		99	%		98	%
Large Cap Diversified Alpha Fund		0	%		100	%		100	%		100	%		100	%
Large Cap Disciplined Equity Fund		0	%		100	%		100	%		81	%		80	%
Large Cap Index Fund		0	%		100	%		100	%		85	%		85	%
Small Cap Fund		0	%		100	%		100	%		78	%		79	%
Small Cap II Fund		0	%		0	%		0	%		0	%		0	%
Small/Mid Cap Equity Fund		0	%		100	%		100	%		75	%		75	%
U.S. Managed Volatility Fund		66	%		34	%		100	%		47	%		46	%
International Equity Fund(6)		0	%		100	%		100	%		0	%		56	%
World Equity Ex-US Fund(7)		0	%		100	%		100	%		0	%		77	%
Screened World Equity Ex-US Fund(8)		0	%		100	%		100	%		0	%		100	%
Enhanced LIBOR Opportunities Fund		0	%		100	%		100	%		0	%		0	%
Core Fixed Income Fund		0	%		100	%		100	%		0	%		0	%
High Yield Bond Fund		0	%		100	%		100	%		1	%		1	%
Long Duration Fund		21	%		79	%		100	%		0	%		0	%
Ultra Short Duration Fund		0	%		100	%		100	%		0	%		0	%
Emerging Markets Debt Fund		13	%		87	%		100	%		0	%		0	%
Real Return Fund		25	%		75	%		100	%		0	%		0	%
Dynamic Asset Allocation Fund		61	%		39	%		100	%		0	%		0	%
Multi-Asset Real Return Fund		0	%		100	%		100	%		31	%		83	%
	(E) U.S. Government Interest (3)			Interest Related Dividends (4)			Short-Term Capital Gain Dividends (5)
Large Cap Fund		0	%		0	%		0	%
Large Cap Diversified Alpha Fund		0	%		0	%		0	%
Large Cap Disciplined Equity Fund		0	%		15	%		0	%
Large Cap Index Fund		0	%		0	%		0	%
Small Cap Fund		0	%		1	%		0	%
Small Cap II Fund		0	%		0	%		0	%
Small/Mid Cap Equity Fund		0	%		1	%		0	%
U.S. Managed Volatility Fund		0	%		0	%		100	%
International Equity Fund(6)		0	%		1	%		0	%
World Equity Ex-US Fund(7)		0	%		0	%		0	%
Screened World Equity Ex-US Fund(8)		0	%		0	%		0	%
Enhanced LIBOR Opportunities Fund		0	%		100	%		0	%
Core Fixed Income Fund		8	%		54	%		100	%
High Yield Bond Fund		0	%		100	%		0	%
Long Duration Fund		12	%		42	%		100	%
Ultra Short Duration Fund		3	%		97	%		0	%
Emerging Markets Debt Fund		0	%		0	%		0	%
Real Return Fund		63	%		0	%		100	%
Dynamic Asset Allocation Fund		1	%		1	%		100	%
Multi-Asset Real Return Fund		35	%		51	%		0	%

(1) Qualifying dividends represent dividends which qualify for the corporate dividends received deduction.

(2) The percentage in this column represents the amount of “Qualifying Dividend Income” is reflected as a percentage of “Ordinary Income Distributions.” It is the intention of each of the aforementioned funds to designate the maximum amount permitted by the law. The information reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2012. Complete information will be computed and reported in conjunction with your 2012 Form 1099-DIV.

(3) “U.S. Government Interest” represents the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short term capital gain and net investment income distributions). Generally, interest from direct U.S. Government obligations is exempt from state income tax. However, for shareholders who are residents of California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income.

(4) The percentage in this column represents the amount of “Interest Related Dividend” is reflected as a percentage of net investment income distributions that is exempt from U.S. withholding tax when paid to foreign investors.

(5) The percentage in this column represents the amount of “Short-Term Capital Gain” is reflected as a percentage of short-term capital gain distributions that is exempt from U.S. withholding tax when paid to foreign investors.

(6) The Fund intends to pass through a foreign tax credit to shareholders. For fiscal year ended 2012, the total amount of foreign source income is $7,362,987. The total amount of foreign tax to be paid is $632,778. Your allocable share of the foreign tax credit will be reported on Form 1099 DIV.

236 SEI Institutional Investments Trust / Annual Report / May 31, 2012

(7) The Fund intends to pass through a foreign tax credit to shareholders. For fiscal year ended 2012, the total amount of foreign source income is $105,557,505. The total amount of foreign tax to be paid is $6,307,809. Your allocable share of the foreign tax credit will be reported on Form 1099 DIV.

(8) The Fund intends to pass through a foreign tax credit to shareholders. For fiscal year ended 2012, the total amount of foreign source income is $941,195. The total amount of foreign tax paid is $114,703. Your allocable share of the foreign tax credit will be reported on Form 1099 DIV.

Items (A) and (B) are based on the percentage of each Fund’s total distribution.

Items (C) and (D) are based on the percentage of ordinary income distributions of each Fund. Item (E) is based on the percentage of gross income of each Fund.

Please consult your tax adviser for proper treatment of this information. This notification should be kept with your permanent tax records.

SEI Institutional Investments Trust / Annual Report / May 31, 2012 237

SEI INSTITUTIONAL INVESTMENTS TRUST ANNUAL REPORT MAY 31, 2012

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)

SEI Investments Distribution Co.

Oaks, PA 19456    1.800.DIAL.SEI (1.800.342.5734)

SEI-F-140 (5/12)

Item 2. Code of Ethics.

The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, comptroller or principal accounting officer, and any person who performs a similar function.

Item 3. Audit Committee Financial Expert.

(a)(1) The Registrant’s Board of Trustees has determined that the Registrant has at least two audit committee financial experts serving on the audit committee.

(a) (2) The audit committee financial experts are George J. Sullivan, Jr. and Hubert L. Harris, Jr. Messrs. Sullivan and Harris are independent as defined in Form N-CSR Item 3 (a) (2).

Item 4. Principal Accountant Fees and Services.

Fees billed by KPMG LLP (“KPMG”) related to the Registrant.

KPMG billed the Registrant aggregate fees for services rendered to the Registrant for the fiscal years 2012 and 2011 as follows:

		Fiscal 2012						Fiscal 2011
		All fees and services to  the Registrant that were pre- approved		All fees and services to service affiliates that were pre- approved		All other fees and services to service affiliates that did not require pre-approval		All fees and services to  the Registrant that were pre- approved		All fees and services to service affiliates that were pre- approved		All other fees and services  to service affiliates that did not require pre-approval
(a)	Audit Fees(1)	$	572,700		N/A	$	0	$	525,000		N/A	$	0
(b)	Audit-Related Fees	$	0	$	0	$	0	$	0	$	0	$	0
(c)	Tax Fees (Tax return review services)	$	0	$	5,000	$	0	$	0	$	0	$	0
(d)	All Other Fees(2)	$	0	$	261,000	$	0	$	0	$	244,500	$	0

Notes:

(1) Audit fees include amounts related to the audit of the Registrant’s annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings.

(2) See Item 4(g) for a description of the services comprising the fees disclosed under this category.

(e)(1) The Registrant’s Audit Committee has adopted an Audit and Non-Audit Services Pre-Approval Policy (the “Policy”), which sets forth the procedures and the conditions pursuant to which services proposed to be performed by the independent auditor of the Registrant may be pre-approved.

The Policy provides that all requests or applications for proposed services to be provided by the independent auditor must be submitted to the Registrant’s Chief Financial Officer (“CFO”) and must include a detailed description of the services proposed to be rendered. The CFO will determine whether such services: (1) require specific pre-approval; (2) are included within the list of services that have received the general pre-approval of the Audit Committee pursuant to the Policy; or (3) have been previously pre-approved in connection with the independent auditor’s annual engagement letter for the applicable year or otherwise. In any instance where services require pre-approval, the Audit Committee will consider whether such services are consistent with SEC’s rules and whether the provision of such services would impair the auditor’s independence.

Requests or applications to provide services that require specific pre-approval by the Audit Committee will be submitted to the Audit Committee by the CFO. The Audit Committee will be informed by the CFO on a quarterly basis of all services rendered by the independent auditor. The Audit Committee has delegated specific pre-approval authority to either the Audit Committee Chair or financial experts, provided that the estimated fee for any such proposed pre-approved service does not exceed $100,000 and any pre-approval decisions are reported to the Audit Committee at its next regularly scheduled meeting.

Services that have received the general pre-approval of the Audit Committee are identified and described in the Policy. In addition, the Policy sets forth a maximum fee per engagement with respect to each identified service that has received general pre-approval.

All services to be provided by the independent auditor shall be provided pursuant to a signed written engagement letter with the Registrant, the investment advisor or applicable control affiliate (except that matters as to which an engagement letter would be impractical because of timing issues or because the matter is small may not be the subject of an engagement letter) that sets forth both the services to be provided by the independent auditor and the total fees to be paid to the independent auditor for those services.

In addition, the Audit Committee has determined to take additional measures on an annual basis to meet its responsibility to oversee the work of the independent auditor and to assure the auditor’s independence from the Registrant, such as reviewing a formal written statement from the independent auditor delineating all relationships between the independent auditor and the Registrant, and discussing with the independent auditor its methods and procedures for ensuring independence.

(e)(2) Percentage of fees billed applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:

	Fiscal 2012			Fiscal 2011
Audit-Related Fees		0	%		0	%
Tax Fees		0	%		0	%
All Other Fees		0	%		0	%

(f) Not Applicable.

(g) The aggregate non-audit fees and services billed by KPMG for the fiscal years 2012 and 2011 were $261,000 and $244,500, respectively. Non-audit fees consist of SSAE No. 16 review of fund accounting and administration operations, attestation report in accordance with Rule 17Ad-13, agreed upon

procedures report over certain internal controls related to compliance with federal securities laws and regulations and tax consulting services for various service affiliates of the registrant.

(h) During the past fiscal year, Registrant’s principal accountant provided certain non-audit services to Registrant’s investment adviser or to entities controlling, controlled by, or under common control with Registrant’s investment adviser that provide ongoing services to Registrant that were not subject to pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X. The Audit Committee of Registrant’s Board of Trustees reviewed and considered these non-audit services provided by Registrant’s principal accountant to Registrant’s affiliates, including whether the provision of these non-audit services is compatible with maintaining the principal accountant’s independence.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments

(a) The Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Large Cap Fund, Large Cap Diversified Alpha Fund, Large Cap Disciplined Equity Fund, Large Cap Index Fund, Small Cap Fund, Small Cap II Fund, Small/Mid Cap Equity Fund, U.S. Managed Volatility Fund, International Equity Fund, World Equity Ex-US Fund and Screened World Equity Ex-US Fund are listed below. The Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Enhanced LIBOR Opportunities Fund, Core Fixed Income Fund, High Yield Bond Fund, Long Duration Fund, Ultra Short 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.

Schedule of Investments

Large Cap Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 96.3%
Consumer Discretionary — 14.2%
Amazon.com *		13,580	$	2,891
Apollo Group, Cl A *		186,927		5,948
Autoliv (A)		25,300		1,463
Bed Bath & Beyond * (A)		137,372		9,925
Best Buy (A)		143,200		2,681
Big Lots *		30,400		1,117
Career Education *		108,809		712
CBS, Cl B		406,240		12,967
Coach		280,550		18,923
Comcast, Cl A (A)		100,500		2,906
Cooper Tire & Rubber		32,100		497
Ctrip.com International ADR * (A)		13,600		250
Dillard’s, Cl A (A)		12,200		820
DIRECTV, Cl A *		109,600		4,872
Discovery Communications, Cl A * (A)		92,600		4,639
DISH Network, Cl A		60,100		1,685
Foot Locker		99,600		3,161
Ford Motor (A)		215,300		2,274
Fossil *		68,785		5,032
GameStop, Cl A (A)		90,700		1,740
Gannett (A)		85,400		1,115
Gap		194,400		5,152
General Motors * (A)		66,100		1,467
Guess?		16,500		440
H&R Block		53,000		809
Harley-Davidson		192,075		9,254
Harman International Industries		17,200		674
Hasbro (A)		21,700		769
Home Depot (A)		108,860		5,371
Interpublic Group		221,400		2,300
ITT Educational Services * (A)		16,300		927
Johnson Controls (A)		318,299		9,593
Kohl’s (A)		65,100		2,983
Lear		60,600		2,415
Limited Brands		18,400		816
Lowe’s		390,792		10,442
Macy’s		256,220		9,749
McDonald’s		91,100		8,139
MGM Resorts International *		22,500		244
News, Cl A		295,900		5,681
NIKE, Cl B		156,009		16,877
Nordstrom		201,300		9,536
priceline.com * (A)		16,200		10,133
RadioShack (A)		76,500		355
Ralph Lauren, Cl A		20,180		3,003
Service International		23,577		270
Staples (A)		377,200		4,956
Starbucks		50,990		2,799
Target		247,200		14,316
Time Warner		52,800		1,820
Time Warner Cable, Cl A (A)		144,010		10,859
TRW Automotive Holdings *		19,200		740
Tupperware Brands		5,900		319
Under Armour, Cl A * (A)		43,500		4,382
Washington Post, Cl B (A)		1,200		419
Whirlpool		55,700		3,447

Description	Shares		Market Value ($ Thousands)
Wyndham Worldwide (A)		77,400	$	3,854
				250,928
Consumer Staples — 9.0%
Altria Group		104,600		3,367
Anheuser-Busch InBev ADR		86,384		5,848
Archer-Daniels-Midland		231,200		7,371
Beam		75,390		4,566
Bunge		35,000		2,082
Church & Dwight		29,010		1,545
Clorox (A)		11,300		777
Coca-Cola		34,900		2,608
Coca-Cola Enterprises		36,400		996
ConAgra Foods		70,800		1,781
Constellation Brands, Cl A *		7,800		151
Costco Wholesale		246,647		21,308
CVS Caremark		197,600		8,880
Dean Foods *		173,000		2,706
Dr. Pepper Snapple Group (A)		22,400		924
Estee Lauder, Cl A		210,769		11,413
Herbalife		18,500		828
Ingredion		20,300		1,037
Kimberly-Clark		42,800		3,396
Kraft Foods, Cl A		18,200		696
Kroger		256,000		5,635
Lorillard		11,400		1,409
Mead Johnson Nutrition, Cl A		162,616		13,130
Nu Skin Enterprises, Cl A (A)		20,700		888
PepsiCo		29,700		2,015
Philip Morris International		174,540		14,750
Procter & Gamble		113,400		7,064
Reynolds American		25,900		1,084
Safeway (A)		129,800		2,469
Smithfield Foods *		68,900		1,355
SUPERVALU (A)		60,800		275
Sysco (A)		9,200		257
Tyson Foods, Cl A (A)		129,400		2,506
Walgreen		199,100		6,076
Wal-Mart Stores		78,900		5,193
Whole Foods Market		157,588		13,964
				160,350
Energy — 8.7%
Apache		26,900		2,189
Canadian Natural Resources		198,458		5,672
Chevron		252,400		24,813
ConocoPhillips (A)		264,720		13,808
Core Laboratories		49,240		6,298
Devon Energy		31,400		1,869
EOG Resources		113,300		11,251
Exxon Mobil		255,100		20,058
FMC Technologies * (A)		164,039		6,601
Halliburton		85,570		2,572
Hess		66,500		2,906
HollyFrontier		28,600		843
Kinder Morgan (A)		235,247		8,043
Marathon Oil		184,100		4,586
Marathon Petroleum		69,400		2,503
McDermott International *		30,800		313
Murphy Oil		118,800		5,538
National Oilwell Varco		36,910		2,464
Noble Energy		47,000		3,970
Occidental Petroleum		30,000		2,378

1 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Large Cap Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Patterson-UTI Energy		80,300	$	1,214
Phillips 66 *		148,560		4,461
Quicksilver Resources * (A)		14,900		67
Schlumberger (A)		164,496		10,404
Tesoro *		156,100		3,453
Valero Energy		321,600		6,786
				155,060
Financials — 14.2%
ACE		87,100		6,300
Aflac		106,200		4,256
Allied World Assurance Holdings		2,300		177
Allstate		176,600		5,994
American Capital *		140,400		1,300
American Express		19,000		1,061
American Financial Group		32,294		1,256
American Tower, Cl A ‡		148,043		9,605
Ameriprise Financial		86,900		4,164
Annaly Capital Management ‡ (A)		65,800		1,094
Associated Banc		13,800		175
Assurant		155,800		5,201
AvalonBay Communities ‡ (A)		1,800		251
Axis Capital Holdings		9,100		299
Bank of America		706,100		5,190
Bank of New York Mellon		120,200		2,447
BB&T		54,000		1,632
Berkshire Hathaway, Cl B *		30,900		2,452
BlackRock, Cl A		1,100		188
Boston Properties ‡ (A)		2,900		298
Brandywine Realty Trust ‡ (A)		56,000		629
Capital One Financial		281,110		14,441
CBL & Associates Properties ‡ (A)		65,600		1,145
Charles Schwab (A)		406,098		5,060
Chubb		43,400		3,128
Citigroup		454,100		12,038
CME Group, Cl A		26,200		6,748
CNA Financial		21,600		615
Commerce Bancshares		3,235		125
Discover Financial Services		252,200		8,350
Endurance Specialty Holdings		19,600		766
Equity Residential ‡		5,800		354
Everest Re Group		37,800		3,860
Fifth Third Bancorp		511,000		6,822
Genworth Financial, Cl A *		48,500		254
Goldman Sachs Group (A)		31,500		3,015
Hartford Financial Services Group		87,200		1,467
HCC Insurance Holdings		13,100		409
HCP ‡		8,000		327
Health Care REIT		4,000		222
Hospitality Properties Trust ‡		76,300		1,794
Host Hotels & Resorts ‡ (A)		14,300		218
Huntington Bancshares		855,700		5,596
IntercontinentalExchange *		65,050		7,965
JPMorgan Chase		630,820		20,912
Keycorp		1,082,200		8,117
Kimco Realty ‡		5,500		99
Lincoln National (A)		156,100		3,227
Loews		29,200		1,136

Description	Shares		Market Value ($ Thousands)
Macerich ‡		1,800	$	103
MetLife		51,800		1,513
Montpelier Re Holdings		49,200		1,027
Morgan Stanley		42,300		565
PartnerRe		37,200		2,636
PNC Financial Services Group		121,000		7,432
Popular *		20,960		320
Progressive		382,200		8,305
Prologis ‡ (A)		9,000		288
Protective Life (A)		96,200		2,536
Prudential Financial		59,400		2,759
Public Storage ‡		2,700		360
Regions Financial		545,200		3,429
Reinsurance Group of America, Cl A		27,100		1,360
RenaissanceRe Holdings		16,000		1,233
Simon Property Group ‡		6,200		915
SLM		124,500		1,739
State Street		44,100		1,818
SunTrust Banks		43,500		997
Torchmark		41,650		1,943
Travelers		106,800		6,674
Unum Group		125,300		2,500
US Bancorp		198,500		6,175
Validus Holdings		31,300		982
Ventas ‡		4,915		289
Vornado Realty Trust ‡		3,600		295
Wells Fargo		641,100		20,547
Weyerhaeuser ‡		11,100		221
				251,140
Health Care — 11.8%
Abbott Laboratories		75,700		4,678
Aetna		171,900		7,029
Alexion Pharmaceuticals *		32,610		2,953
Allergan		169,400		15,288
AmerisourceBergen		72,800		2,693
Amgen		257,994		17,936
Boston Scientific *		172,700		991
Bristol-Myers Squibb		8,200		273
Cardinal Health		51,000		2,110
Celgene *		140,240		9,571
CIGNA		28,400		1,247
Community Health Systems *		37,800		832
Covance *		108,886		5,052
Coventry Health Care		34,100		1,037
Covidien		72,700		3,765
DaVita *		83,147		6,756
Eli Lilly		121,000		4,955
Endo Health Solutions *		14,300		465
Express Scripts Holding *		171,137		8,932
Gilead Sciences *		46,600		2,328
HCA Holdings		72,700		1,889
Health Net *		121,100		3,103
Hill-Rom Holdings		25,700		756
Humana		54,770		4,184
Idexx Laboratories * (A)		69,218		5,873
Intuitive Surgical *		10,767		5,632
Johnson & Johnson		146,100		9,121
Laboratory Corp of America Holdings *		2,400		200
LifePoint Hospitals *		12,800		471

2 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Large Cap Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
McKesson		45,200	$	3,945
Medtronic		21,900		807
Merck		388,400		14,596
Novo Nordisk ADR (A)		56,730		7,590
Omnicare		60,200		1,898
PDL BioPharma (A)		49,300		320
Perrigo (A)		45,100		4,686
Pfizer		1,240,340		27,126
United Therapeutics *		24,300		1,075
UnitedHealth Group		66,800		3,725
Warner Chilcott, Cl A *		72,600		1,369
WellPoint		128,300		8,646
Zimmer Holdings		51,300		3,111
				209,014
Industrials — 8.4%
3M		6,600		557
AGCO *		85,200		3,426
Alliant Techsystems (A)		12,556		615
Avery Dennison		2,600		76
Caterpillar		41,500		3,636
Copa Holdings, Cl A		4,200		349
Danaher		150,243		7,808
Deere		36,700		2,711
Delta Air Lines *		434,200		5,254
Exelis (A)		16,200		162
Expeditors International of Washington		118,200		4,521
FedEx		23,700		2,113
Fluor		140,123		6,569
General Cable * (A)		20,700		589
General Dynamics		30,900		1,978
General Electric		917,030		17,506
Harsco		10,900		219
Honeywell International		69,360		3,861
Ingersoll-Rand		7,200		298
ITT		11,450		235
Kansas City Southern		47,660		3,145
KBR		109,200		2,781
L-3 Communications Holdings, Cl 3		77,200		5,264
Lockheed Martin (A)		69,700		5,771
Navistar International *		19,700		550
Norfolk Southern		33,300		2,182
Northrop Grumman		156,700		9,206
Pall		97,400		5,421
Parker Hannifin (A)		18,800		1,537
Precision Castparts		67,614		11,238
Raytheon (A)		91,000		4,579
Roper Industries		65,735		6,654
RR Donnelley & Sons (A)		91,000		979
Ryder System		34,100		1,473
Southwest Airlines		8,600		78
Stericycle * (A)		99,471		8,680
Textron (A)		42,200		997
Timken		53,100		2,533
Union Pacific (A)		67,750		7,547
United Continental Holdings * (A)		94,900		2,388
United Technologies		16,800		1,245
URS		22,269		806

Description	Shares		Market Value ($ Thousands)
Waste Management (A)		25,800	$	837
				148,374
Information Technology — 22.2%
Accenture, Cl A		152,246		8,693
Adobe Systems *		566,527		17,591
Altera		135,920		4,541
Amdocs		31,500		906
Amphenol, Cl A		113,546		6,039
Ansys *		98,179		6,075
Apple *		97,410		56,277
Applied Materials		186,500		1,926
Autodesk *		301,729		9,661
BMC Software *		146,350		6,193
Brocade Communications Systems *		113,200		526
CA		226,200		5,626
Cisco Systems		655,700		10,708
Citrix Systems *		64,449		4,710
Cognizant Technology Solutions, Cl A *		108,942		6,346
Computer Sciences		30,900		823
Comverse Technology *		43		—
Corning		165,100		2,145
Dell *		216,900		2,674
DST Systems		14,504		741
EMC *		402,346		9,596
Fidelity National Information Services		20,600		675
Fiserv * (A)		8,200		553
Genpact *		249,559		3,891
Google, Cl A *		42,980		24,965
Harris (A)		23,600		939
Hewlett-Packard		187,900		4,261
Ingram Micro, Cl A *		68,300		1,218
Intel		1,009,044		26,074
International Business Machines		64,079		12,361
Intuit (A)		233,810		13,147
Jabil Circuit		10,900		209
Lender Processing Services		47,300		1,092
Lexmark International, Cl A		22,800		570
Mastercard, Cl A		58,166		23,645
Microchip Technology (A)		136,680		4,240
Microsoft		352,500		10,289
Molex (A)		4,300		99
National Instruments (A)		198,330		5,165
NetApp * (A)		254,914		7,586
Oracle		421,450		11,156
Polycom *		201,500		2,305
Qualcomm		501,191		28,723
SAIC (A)		151,500		1,683
Salesforce.com *		38,711		5,366
Seagate Technology		41,100		963
Symantec *		189,400		2,811
TE Connectivity		29,200		917
Tech Data *		26,200		1,247
Teradata *		97,500		6,482
Total System Services		9,500		221
VeriSign *		213,750		8,172
Visa, Cl A		140,075		16,137
Vishay Intertechnology * (A)		90,200		958

3 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Large Cap Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Western Digital *		79,600	$	2,499
Xerox		232,800		1,681
				394,097
Materials — 2.7%
Agrium		33,600		2,626
AK Steel Holding (A)		121,200		731
Alcoa (A)		21,900		187
Ashland (A)		13,900		889
CF Industries Holdings		35,300		6,035
Commercial Metals		21,900		256
Domtar		28,700		2,270
Dow Chemical		148,620		4,616
Eastman Chemical		33,300		1,550
Freeport-McMoRan Copper & Gold, Cl B		106,800		3,422
Huntsman		273,000		3,494
International Paper		35,300		1,031
LyondellBasell Industries, Cl A		81,500		3,216
Monsanto		78,870		6,089
Newmont Mining		6,400		302
Owens-Illinois *		45,900		897
PPG Industries		5,500		569
Rock-Tenn, Cl A		12,550		647
Sherwin-Williams		6,470		839
Steel Dynamics		165,200		1,741
Syngenta ADR		98,791		6,353
United States Steel		32,300		656
				48,416
Telecommunication Services — 3.0%
AT&T		655,760		22,407
Crown Castle International *		219,000		11,957
Telephone & Data Systems		8,152		162
Verizon Communications		464,276		19,333
				53,859
Utilities — 2.1%
AES *		233,000		2,817
Ameren		181,800		5,874
American Electric Power		175,900		6,774
Consolidated Edison		12,700		767
DTE Energy		40,300		2,290
Edison International		81,600		3,669
Entergy		115,300		7,440
Exelon		40,800		1,509
NV Energy		84,000		1,453
Public Service Enterprise Group		107,100		3,340
Sempra Energy		27,100		1,762
				37,695
Total Common Stock (Cost $1,531,606) ($ Thousands)				1,708,933
	Number Of Warrants
WARRANTS — 0.0%
Kinder Morgan, Expires 2017		123,200		281
Total Warrants (Cost $235) ($ Thousands)				281
AFFILIATED PARTNERSHIP — 7.3%
SEI Liquidity Fund, L.P.
0.170% † ** (B)		130,858,729		129,964

Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
Total Affiliated Partnership (Cost $130,859) ($ Thousands)			$	129,964
CASH EQUIVALENTS — 2.9%
Investors Cash Trust - Treasury Portfolio - DWS US Treasury Money Fund
0.010% **		1,473,844		1,474
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.100% † **		49,845,264		49,845
Total Cash Equivalents (Cost $51,319) ($ Thousands)				51,319
U.S. TREASURY OBLIGATIONS (C) (D) — 0.4%
U.S. Treasury Bills
0.070%, 06/28/12	$	656		656
0.060%, 06/14/12		2,878		2,878
0.050%, 09/20/12		3,134		3,133
Total U.S. Treasury Obligations (Cost $6,667) ($ Thousands)				6,667
Total Investments — 106.9% (Cost $1,720,686) ($ Thousands)			$	1,897,164

A list of the open futures contracts held by the Fund at May 31, 2012, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Unrealized (Depreciation) ($ Thousands)
S&P 500 Index E-MINI		525		Jun-2012	$	(1,537	)
S&P Mid 400 Index E-MINI		84		Jun-2012		(296	)
					$	(1,833	)

For the year ended May 31, 2012, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on a Net Assets of $1,774,178 ($ Thousands)

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2012.

† Investment in Affiliated Security (see Note 5).

‡ Real Estate Investment Trust.

(A) This security or a partial position of this security is on loan at May 31, 2012. The total value of securities on loan at May 31, 2012 was $123,579 ($ Thousands).

(B) This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of May 31, 2012 was $129,964 ($ Thousands).

(C) Security, or a 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.

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

REIT — Real Estate Investment Trust

S&P — Standard & Poors

4 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Large Cap Fund

May 31, 2012

The following is a list of the inputs used as of May 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,708,933	$	—	$	—	$	1,708,933
Warrant		281		—		—		281
Affiliated Partnership		—		129,964		—		129,964
Cash Equivalents		49,845		1,474		—		51,319
U.S. Treasury Obligations		—		6,667		—		6,667
Total Investments in Securities	$	1,759,059	$	138,105	$	—	$	1,897,164

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(1,833	)	$	—	$	—	$	(1,833	)

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

For the year ended May 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2012, there were no 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.

5 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Large Cap Diversified Alpha Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
COMMON STOCK†† — 95.8%
Consumer Discretionary — 16.3%
Abercrombie & Fitch, Cl A		600	$	20
Advance Auto Parts		4,100		299
Amazon.com *		100		21
American Eagle Outfitters		5,600		108
Apollo Group, Cl A *		46,275		1,473
Ascena Retail Group *		13,600		257
AutoNation *		600		22
AutoZone *		1,200		456
Bed Bath & Beyond *		38,646		2,792
Best Buy		15,800		296
Big Lots *		1,500		55
Carter’s *		5,500		297
CBS, Cl B		20,400		651
Chipotle Mexican Grill, Cl A *		800		330
Coach		49,236		3,321
Comcast, Cl A		16,200		468
Ctrip.com International ADR *		3,500		64
Darden Restaurants		400		21
Delphi Automotive *		22,150		643
DIRECTV, Cl A *		25,500		1,133
Discovery Communications, Cl A *		3,100		155
Dollar General *		5,100		250
Dollar Tree *		6,650		686
DR Horton		12,200		202
Expedia		2,500		115
Foot Locker		19,100		606
GameStop, Cl A		1,600		31
Gap		27,400		726
Garmin		4,300		185
General Motors *		10,800		240
Gentex		32,200		718
Genuine Parts		3,400		214
Goodyear Tire & Rubber *		12,100		126
H&R Block		5,400		82
Harley-Davidson		900		43
Home Depot		35,040		1,729
International Game Technology		7,100		101
Interpublic Group		46,200		480
J.C. Penney		2,600		68
Johnson Controls		78,060		2,353
Lamar Advertising, Cl A *		800		20
Las Vegas Sands		2,400		111
Lennar, Cl A		7,800		213
Liberty Media - Liberty Capital, Cl A *		900		76
Limited Brands		7,300		324
LKQ *		5,700		208
Lowe’s		91,274		2,439
Macy’s		19,700		750
Marriott International, Cl A		5,800		224
Mattel		1,300		41
McDonald’s		15,700		1,403
McGraw-Hill		18,870		819
MGM Resorts International *		10,600		115
Mohawk Industries *		1,700		116
Newell Rubbermaid		1,900		35
News, Cl A		14,400		277
NIKE, Cl B		45,066		4,875
Nordstrom		45,240		2,143

Description	Shares		Market Value ($ Thousands)
O’Reilly Automotive *		6,200	$	594
PetSmart		1,900		122
Polaris Industries		3,700		281
priceline.com *		4,075		2,549
PulteGroup *		15,700		147
PVH		2,300		186
Ralph Lauren, Cl A		100		15
Ross Stores		13,500		854
Sally Beauty Holdings *		3,900		103
Signet Jewelers		1,100		48
Staples		145,325		1,910
Starbucks		5,900		324
Starwood Hotels & Resorts Worldwide		2,300		122
Target		47,613		2,757
Tempur-Pedic International *		500		23
Tesla Motors *		700		21
Time Warner		1,500		52
Time Warner Cable, Cl A		8,900		671
TJX		50,400		2,140
Toll Brothers *		800		22
Tractor Supply		400		36
TripAdvisor *		1,600		69
Under Armour, Cl A *		200		20
VF		5,100		719
Viacom, Cl B		600		29
Whirlpool		7,300		451
Wyndham Worldwide		24,800		1,235
Yum! Brands		8,700		612
				52,138
Consumer Staples — 8.0%
Altria Group		24,000		773
Archer-Daniels-Midland		14,800		472
Bunge		6,100		363
Campbell Soup		35,525		1,126
Church & Dwight		400		21
Clorox		200		14
Coca-Cola		19,475		1,455
Colgate-Palmolive		18,775		1,846
ConAgra Foods		12,600		317
Costco Wholesale		29,038		2,509
CVS Caremark		35,600		1,600
Dean Foods *		19,600		307
Dr. Pepper Snapple Group		1,400		58
Energizer Holdings *		400		29
Herbalife		13,200		591
Hershey		1,800		120
HJ Heinz		100		5
Ingredion		5,300		271
Kimberly-Clark		4,600		365
Kraft Foods, Cl A		16,500		631
Kroger		35,900		790
Lorillard		6,300		779
Mead Johnson Nutrition, Cl A		7,100		573
Molson Coors Brewing, Cl B		1,800		69
Monster Beverage *		13,000		944
PepsiCo		9,780		664
Philip Morris International		31,800		2,687
Procter & Gamble		4,400		274
Sysco		300		8
Tyson Foods, Cl A		3,400		66
Unilever		18,150		569

1 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Large Cap Diversified Alpha Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Walgreen		32,500	$	992
Wal-Mart Stores		22,675		1,492
Whole Foods Market		31,359		2,779
				25,559
Energy — 8.5%
Apache		9,525		775
Atwood Oceanics *		2,200		84
Baker Hughes		22,345		932
Cabot Oil & Gas		6,900		225
Cameron International *		3,900		178
Chevron		25,800		2,536
Cobalt International Energy *		3,100		70
Concho Resources *		3,300		290
ConocoPhillips		17,900		934
Continental Resources *		2,300		168
Core Laboratories		1,100		141
Denbury Resources *		2,500		38
Devon Energy		9,250		551
Dresser-Rand Group *		2,000		88
Energen		100		5
EOG Resources		28,550		2,835
EQT		6,600		306
Exxon Mobil		73,850		5,807
FMC Technologies *		11,900		479
Halliburton		1,100		33
Helmerich & Payne		1,600		73
Hess		4,700		205
HollyFrontier		700		21
Kinder Morgan		70,982		2,427
Marathon Oil		22,500		560
Marathon Petroleum		15,050		543
Murphy Oil		33,175		1,547
National Oilwell Varco		8,200		547
Noble Energy		1,400		118
Oceaneering International		4,400		203
Oil States International *		3,400		226
Phillips 66 *		8,950		269
Pioneer Natural Resources		500		48
Plains Exploration & Production *		4,700		168
Range Resources		3,800		218
SandRidge Energy *		6,500		41
Schlumberger		13,415		849
SM Energy		2,600		141
Spectra Energy		17,000		488
Sunoco		1,000		46
Tesoro *		29,100		644
Valero Energy		33,100		698
Weatherford International *		57,625		692
Williams		4,200		128
WPX Energy *		966		14
				27,389
Financials — 8.7%
ACE		8,600		622
Aflac		21,750		872
Allied World Assurance Holdings		600		46
American Express		26,975		1,506
American Financial Group		10,000		389
American Tower, Cl A ‡		46,840		3,039
Ameriprise Financial		5,300		254
Aon		600		28
Arthur J Gallagher		5,000		174
Assurant		14,700		491

Description	Shares		Market Value ($ Thousands)
AvalonBay Communities ‡		200	$	28
BB&T		5,200		157
BlackRock, Cl A		100		17
CBRE Group, Cl A *		58,725		966
Chubb		4,400		317
Cincinnati Financial		4,200		151
Citigroup		16,400		435
CME Group, Cl A		6,600		1,700
Digital Realty Trust ‡		6,000		425
Discover Financial Services		26,100		864
Essex Property Trust ‡		700		105
Everest Re Group		1,900		194
Fidelity National Financial, Cl A		76,275		1,437
Fifth Third Bancorp		48,300		645
First Horizon National		5,900		50
HCP ‡		4,100		167
Health Care REIT		1,200		67
Host Hotels & Resorts ‡		12,600		192
Huntington Bancshares		133,100		870
IntercontinentalExchange *		16,400		2,008
Invesco		900		20
JPMorgan Chase		35,400		1,174
Keycorp		93,000		698
Lazard, Cl A		37,519		865
Marsh & McLennan		1,600		51
MBIA *		9,100		82
Moody’s		1,100		40
People’s United Financial		4,000		47
Progressive		96,200		2,090
Protective Life		3,400		90
Public Storage ‡		1,400		187
Rayonier ‡		1,800		77
Regions Financial		98,100		617
Simon Property Group ‡		400		59
StanCorp Financial Group		900		31
Torchmark		600		28
US Bancorp		18,200		566
Wells Fargo		51,700		1,657
Weyerhaeuser ‡		63,675		1,268
White Mountains Insurance Group		100		51
WR Berkley		200		8
				27,922
Health Care — 10.0%
Aetna		20,300		830
Alexion Pharmaceuticals *		6,300		570
Allergan		33,300		3,005
AmerisourceBergen		18,400		681
Amgen		36,197		2,516
Baxter International		6,000		304
Biogen Idec *		9,200		1,203
BioMarin Pharmaceutical *		4,100		146
Bristol-Myers Squibb		14,900		497
Cardinal Health		17,400		720
Celgene *		46,017		3,141
Cerner *		1,500		117
CIGNA		600		26
Eli Lilly		16,800		688
Forest Laboratories *		37,525		1,313
Gilead Sciences *		24,100		1,204
Health Net *		20,800		533
Henry Schein *		700		52

2 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Large Cap Diversified Alpha Fund

May 31, 2012

Description	Shares		Market Value ($Thousands)
Humana		6,300	$	481
Intuitive Surgical *		1,000		523
Johnson & Johnson		17,350		1,083
McKesson		6,800		593
Merck		19,400		729
Myriad Genetics *		23,995		579
Novo Nordisk ADR		14,300		1,913
Perrigo		12,500		1,299
Pfizer		153,850		3,365
St. Jude Medical		23,100		888
SXC Health Solutions *		300		27
Teleflex		14,575		866
Thoratec *		1,100		33
UnitedHealth Group		15,900		887
Watson Pharmaceuticals *		900		64
WellPoint		16,900		1,139
				32,015
Industrials — 7.9%
AGCO *		7,900		318
BE Aerospace *		4,500		195
Boeing		8,825		614
Carlisle		100		5
Caterpillar		16,600		1,454
Chicago Bridge & Iron		5,000		180
Cintas		900		33
Con-way		900		32
Copa Holdings, Cl A		600		50
Copart *		12,800		347
Corrections Corp of America		1,900		49
CSX		200		4
Cummins		5,200		504
Danaher		200		10
Deere		3,400		251
Delta Air Lines *		59,600		721
Donaldson		5,300		190
Dun & Bradstreet		400		27
Emerson Electric		18,375		860
Equifax		2,300		104
Expeditors International of Washington		29,700		1,136
Fastenal		13,500		597
Flowserve		400		41
Fluor		7,200		338
Fortune Brands Home & Security *		100		2
Gardner Denver		500		27
GATX		2,800		107
General Cable *		700		20
General Dynamics		3,200		205
General Electric		137,400		2,623
Goodrich		1,500		189
GrafTech International *		68,640		732
Hubbell, Cl B		1,500		118
IHS, Cl A *		200		20
Illinois Tool Works		16,475		925
Ingersoll-Rand		31,560		1,304
Iron Mountain		3,300		94
ITT		35,440		728
Joy Global		4,800		268
Kansas City Southern		5,700		376
KBR		14,700		374
Kennametal		2,700		94

Description	Shares		Market Value ($Thousands)
Kirby *		3,000	$	158
Landstar System		1,400		74
Lincoln Electric Holdings		3,300		157
Lockheed Martin		21,200		1,755
Manitowoc		6,900		72
Masco		9,100		116
MSC Industrial Direct, Cl A		900		65
Norfolk Southern		400		26
Northrop Grumman		33,875		1,990
Oshkosh Truck *		3,700		76
Pall		1,500		83
Parker Hannifin		300		25
Precision Castparts		1,500		249
Raytheon		8,200		413
Robert Half International		2,100		60
Roper Industries		500		51
Ryder System		3,000		130
Spirit Aerosystems Holdings, Cl A *		1,900		44
Terex *		5,800		96
Timken		12,300		587
Toro		300		22
Towers Watson, Cl A		1,800		108
Trinity Industries		4,900		121
Union Pacific		6,100		679
United Continental Holdings *		1,000		25
Verisk Analytics, Cl A *		6,200		297
Wabtec		200		14
Waste Connections		800		25
WESCO International *		1,500		89
WW Grainger		3,500		678
Xylem		31,025		786
				25,337
Information Technology — 25.1%
Accenture, Cl A		4,000		228
Activision Blizzard		15,600		183
Adobe Systems *		175,606		5,453
Akamai Technologies *		3,200		94
Alliance Data Systems *		2,200		277
Amdocs		22,000		632
Ansys *		700		43
Apple *		17,975		10,385
Autodesk *		62,083		1,988
Automatic Data Processing		40,900		2,133
Avnet *		8,900		271
BMC Software *		36,875		1,561
Brocade Communications Systems *		70,800		329
CA		32,800		816
Cadence Design Systems *		3,500		36
Cisco Systems		193,175		3,155
Cree *		11,500		288
Dell *		18,900		233
Electronic Arts *		7,100		97
EMC *		88,792		2,118
Equinix *		600		98
F5 Networks *		4,100		424
Genpact *		2,300		36
Google, Cl A *		7,675		4,458
IAC		2,400		108
Intel		220,052		5,686
International Business Machines		24,397		4,706

3 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Large Cap Diversified Alpha Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Intuit		40,700	$	2,289
Jabil Circuit		6,800		130
Kla-Tencor		9,800		449
Lam Research *		1,200		45
Lender Processing Services		1,700		39
LSI *		129,710		863
Mastercard, Cl A		10,075		4,096
Micros Systems *		500		26
Microsoft		143,725		4,195
Molex		1,600		37
Motorola Solutions		1,500		72
NCR *		14,100		302
NeuStar, Cl A *		4,200		135
Novellus Systems *		3,000		125
Nuance Communications *		14,600		302
Oracle		101,954		2,699
Polycom *		50,700		580
Qualcomm		94,629		5,423
Rackspace Hosting *		1,800		89
Red Hat *		10,200		524
Riverbed Technology *		18,600		305
SanDisk *		8,800		288
Silicon Laboratories *		1,500		52
Symantec *		47,400		703
Synopsys *		2,000		59
Tech Data *		7,800		371
Teradata *		26,800		1,781
Teradyne *		6,300		91
TIBCO Software *		2,200		59
Total System Services		55,200		1,285
Trimble Navigation *		500		24
VeriSign *		53,850		2,059
Visa, Cl A		43,150		4,971
VMware, Cl A *		800		74
Xilinx		3,400		109
				80,487
Materials — 4.7%
Agrium		10,200		797
Air Products & Chemicals		1,300		103
Airgas		4,800		417
Ashland		2,300		147
BHP Billiton ADR		8,002		492
Carpenter Technology		1,300		59
Celanese, Cl A		1,700		68
CF Industries Holdings		6,600		1,128
CRH ADR		46,525		797
Domtar		3,100		245
E.I. Du Pont de Nemours		22,900		1,105
Ecolab		16,900		1,068
Freeport-McMoRan Copper & Gold, Cl B		300		10
Huntsman		19,100		244
International Paper		600		18
LyondellBasell Industries, Cl A		6,600		260
Monsanto		500		39
Newmont Mining		32,825		1,548
Nucor		4,400		157
Owens-Illinois *		44,350		867
PPG Industries		5,400		559
Praxair		6,500		691
Rockwood Holdings *		1,100		53
Royal Gold		2,300		155

Description	Shares		Market Value ($ Thousands)
RPM International		4,000	$	105
Sealed Air		45,118		706
Sherwin-Williams		400		52
Sigma-Aldrich		4,300		298
Southern Copper		600		17
Syngenta ADR		25,000		1,608
Valspar		2,600		125
Vulcan Materials		10,750		372
WR Grace *		17,420		915
				15,225
Telecommunication Services — 2.6%
AT&T		23,545		805
Crown Castle International *		58,700		3,205
SBA Communications, Cl A *		2,700		140
Verizon Communications		98,948		4,120
				8,270
Utilities — 4.0%
AES *		32,700		395
AGL Resources		3,500		131
Ameren		12,400		401
American Electric Power		8,900		343
Centerpoint Energy		3,500		71
CMS Energy		3,400		79
Consolidated Edison		2,700		163
Dominion Resources		18,800		979
Duke Energy		21,400		470
Edison International		22,700		1,021
Entergy		15,200		981
Exelon		15,778		583
FirstEnergy		5,269		247
Great Plains Energy		1,200		24
NextEra Energy		33,050		2,159
NiSource		14,600		366
NRG Energy *		2,800		43
NV Energy		23,400		405
ONEOK		3,700		307
Pinnacle West Capital		400		20
PPL		30,400		832
Progress Energy		11,300		619
Public Service Enterprise Group		36,100		1,126
Questar		9,000		181
SCANA		5,000		235
Sempra Energy		4,000		260
Southern		4,500		207
Vectren		2,500		73
Xcel Energy		9,300		260
				12,981
Total Common Stock (Cost $288,244) ($ Thousands)				307,323
EXCHANGE TRADED FUND — 0.5%
SPDR Gold Trust		11,175		1,694
Total Exchange Traded Fund (Cost $1,662) ($ Thousands)				1,694
	Number Of Warrants
WARRANTS — 0.0%
Kinder Morgan, Expires 2017		41,344		94
Total Warrants (Cost $79) ($ Thousands)				94

4 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Large Cap Diversified Alpha Fund

May 31, 2012

Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
CASH EQUIVALENT — 3.2%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.100% † **		10,050,587	$	10,051
Total Cash Equivalent (Cost $10,051) ($ Thousands)				10,051
U.S. TREASURY OBLIGATIONS (A) (B) — 0.2%
U.S. Treasury Bills
0.070%, 11/15/12	$	39		39
0.050%, 09/20/12		140		140
0.015%, 06/28/12		187		187
0.013%, 06/21/12		270		270
Total U.S. Treasury Obligations (Cost $636) ($ Thousands)				636
Total Investments — 99.7% (Cost $300,672) ($ Thousands)			$	319,798

A list of the open futures contracts held by the Fund at May 31, 2012, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Depreciation ($ Thousands)
S&P 500 Index E-MINI		102		Jun-2012	$	(457	)
					$	(457	)

For the year ended May 31, 2012, 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 $320,907 ($ Thousands)

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2012.

† Investment in Affiliated Security (see Note 5).

†† More narrow industries are utilized for compliance purposes whereas broader sectors are utilized for reporting purposes.

‡ 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

REIT — Real Estate Investment Trust

S&P — Standard & Poor’s

SPDR — Standard & Poor’s Depository Receipt

The following is a list of inputs used as of May 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	307,323	$	—	$	—	$	307,323
Exchange Traded Fund		1,694		—		—		1,694
Warrant		94		—		—		94
Cash Equivalent		10,051		—		—		10,051
U.S. Treasury Obligations		—		636		—		636
Total Investments in Securities	$	319,162	$	636	$	—	$	319,798

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(457	)	$	—	$	—	$	(457	)

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

For the year ended May 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2012, there were no 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.

5 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Large Cap Disciplined Equity Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 84.5%
Consumer Discretionary — 10.5%
Aaron’s		60,551	$	1,608
Abercrombie & Fitch, Cl A		10,200		342
Advance Auto Parts		69,281		5,053
Amazon.com *		47,111		10,030
American Eagle Outfitters		153,880		2,971
ANN * (A)		78,200		2,103
Apollo Group, Cl A * (A)		17,000		541
Ascena Retail Group *		78,800		1,492
AutoNation * (A)		13,500		486
AutoZone *		44,967		17,099
Bally Technologies * (A)		26,110		1,215
Bed Bath & Beyond *		18,400		1,329
Best Buy (A)		40,300		754
Big Lots *		12,700		467
Biglari Holdings *		400		157
Blyth (A)		2,100		157
Bob Evans Farms		7,500		304
BorgWarner *		7,800		560
Brown Shoe (A)		123,390		1,467
CBS, Cl B		136,000		4,341
Chipotle Mexican Grill, Cl A * (A)		4,900		2,024
Coach		201,636		13,600
Comcast, Cl A (A)		1,614,325		46,511
Darden Restaurants		2,200		114
DeVry		23,400		640
Dillard’s, Cl A (A)		86,376		5,808
DIRECTV, Cl A *		399,357		17,751
Discovery Communications, Cl A * (A)		26,700		1,338
Dollar Tree *		56,000		5,778
DR Horton (A)		149,000		2,473
Expedia (A)		154,027		7,068
Family Dollar Stores		4,900		332
Foot Locker		178,810		5,676
Ford Motor (A)		764,917		8,078
Fossil *		4,100		300
GameStop, Cl A (A)		33,700		646
Gannett (A)		132,954		1,736
General Motors * (A)		15,328		340
Genuine Parts		109,200		6,880
Goodyear Tire & Rubber * (A)		159,800		1,670
H&R Block		120,900		1,846
Harley-Davidson		30,400		1,465
Harman International Industries		6,200		243
Home Depot (A)		528,056		26,054
HSN		7,800		304
Iconix Brand Group * (A)		76,630		1,148
International Game Technology		188,200		2,691
Interval Leisure Group		12,900		215
J.C. Penney (A)		50,800		1,332
Johnson Controls		9,236		278
Kohl’s		8,743		401
Lear		170,595		6,798
Lennar, Cl A (A)		88,900		2,426
Limited Brands (A)		110,100		4,884
Lowe’s		676,256		18,070
Macy’s		907,664		34,537
Marriott International, Cl A (A)		150,334		5,819
Mattel		6,300		196
Matthews International, Cl A (A)		40,120		1,208

Description	Shares		Market Value ($ Thousands)
McDonald’s		287,232	$	25,661
McGraw-Hill		325,775		14,132
Modine Manufacturing *		143,940		933
Newell Rubbermaid		186,365		3,429
News, Cl A (A)		98,000		1,882
NIKE, Cl B		58,000		6,274
Nordstrom		8,900		421
Omnicom Group (A)		335,087		15,977
O’Reilly Automotive *		37,400		3,583
Panera Bread, Cl A *		12,800		1,881
Pier 1 Imports		6,200		101
Polaris Industries (A)		18,700		1,421
priceline.com * (A)		18,401		11,510
PulteGroup * (A)		219,500		2,055
Ralph Lauren, Cl A		5,000		744
Ross Stores		522,260		33,023
Select Comfort *		9,700		265
Starbucks		41,900		2,300
Starwood Hotels & Resorts Worldwide		34,400		1,818
Target		321,548		18,621
Tempur-Pedic International * (A)		17,600		813
Tenneco *		29,650		805
Texas Roadhouse, Cl A		63,970		1,163
Thor Industries (A)		29,900		919
Tiffany		4,400		244
Time Warner (A)		653,799		22,536
Time Warner Cable, Cl A		3,860		291
TJX		364,200		15,464
TripAdvisor * (A)		27,800		1,192
True Religion Apparel		33,900		994
Tupperware Brands		24,200		1,308
Ulta Salon Cosmetics & Fragrance		18,700		1,671
Vera Bradley * (A)		46,900		1,026
VF		40,900		5,769
Viacom, Cl B		738,728		35,260
Walt Disney		520,109		23,774
Whirlpool (A)		111,100		6,875
Wyndham Worldwide (A)		33,200		1,653
Wynn Resorts		1,500		155
Yum! Brands		152,500		10,730
				569,827
Consumer Staples — 8.5%
Altria Group		336,373		10,828
Archer-Daniels-Midland		700,050		22,318
Brown-Forman, Cl B		3,800		331
Bunge (A)		104,100		6,194
Central Garden and Pet, Cl A * (A)		176,660		1,629
Coca-Cola		305,787		22,852
Coca-Cola Enterprises		924,992		25,308
Colgate-Palmolive		67,400		6,625
ConAgra Foods		787,895		19,816
Constellation Brands, Cl A *		146,262		2,821
Costco Wholesale		32,200		2,782
CVS Caremark		874,883		39,317
Darling International *		52,700		738
Dean Foods *		26,300		411
Dr. Pepper Snapple Group (A)		5,900		243
Energizer Holdings *		111,350		8,119
Estee Lauder, Cl A		26,100		1,413

1 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Large Cap Disciplined Equity Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Herbalife		82,366	$	3,689
Hershey		26,600		1,778
HJ Heinz (A)		1,000		53
Hormel Foods		51,700		1,546
Ingredion		112,801		5,763
JM Smucker		4,200		322
Kellogg		1,600		78
Kimberly-Clark		56,372		4,473
Kraft Foods, Cl A		1,082,529		41,428
Kroger		386,300		8,503
Lorillard		128,783		15,917
Mead Johnson Nutrition, Cl A		118,185		9,542
Molson Coors Brewing, Cl B		138,595		5,329
Monster Beverage *		135,134		9,811
PepsiCo		498,849		33,847
Philip Morris International		550,655		46,536
Pilgrim’s Pride *		17,500		144
Procter & Gamble		343,101		21,372
Ralcorp Holdings *		125,085		7,949
Reynolds American		21,600		904
Safeway (A)		10,502		200
Sara Lee		96,500		2,017
Sysco (A)		306,030		8,541
Tyson Foods, Cl A (A)		450,432		8,725
Walgreen		11,900		363
Wal-Mart Stores		774,199		50,958
Whole Foods Market		15,000		1,329
				462,862
Energy — 9.3%
Alpha Natural Resources *		34,700		364
Anadarko Petroleum		201,903		12,316
Apache		79,200		6,445
Baker Hughes (A)		30,419		1,270
Cabot Oil & Gas (A)		56,800		1,848
Cameron International *		23,000		1,051
Chevron		1,057,872		103,999
Cimarex Energy (A)		14,160		754
ConocoPhillips (A)		717,391		37,419
Consol Energy (A)		5,700		160
Denbury Resources *		125,000		1,890
Devon Energy		268,125		15,959
EOG Resources		4,400		437
EQT		57,600		2,671
Exxon Mobil		1,702,303		133,852
FMC Technologies * (A)		41,900		1,686
Gulfmark Offshore, Cl A *		27,000		964
Halliburton		94,000		2,826
Helix Energy Solutions Group * (A)		6,200		106
Helmerich & Payne (A)		60,200		2,727
Hess		357,104		15,605
Kinder Morgan		43,960		1,503
Marathon Oil		667,156		16,619
Marathon Petroleum		97,177		3,505
Murphy Oil		35,300		1,646
Nabors Industries *		91,800		1,244
National Oilwell Varco		396,273		26,451
Noble Energy		6,400		541
Occidental Petroleum		445,987		35,353
Phillips 66 *		494,152		14,839
Pioneer Natural Resources		37,100		3,588
Range Resources		15,100		867

Description	Shares		Market Value ($ Thousands)
Rosetta Resources * (A)		22,500	$	871
Rowan, Cl A *		54,000		1,620
Schlumberger (A)		580,701		36,729
SEACOR Holdings *		1,600		138
Spectra Energy		45,300		1,301
Sunoco		9,200		427
Tesoro *		173,581		3,840
Unit *		3,300		131
Valero Energy		412,704		8,708
Williams		84,600		2,583
				506,853
Financials — 11.4%
ACE		221,324		16,008
Aflac		33,700		1,351
Alleghany *		3,170		1,043
American Capital *		77,216		715
American Capital Agency ‡		33,200		1,085
American Express		745,993		41,649
American Financial Group		14,400		560
American International Group *		441,078		12,871
American Tower, Cl A ‡		158,402		10,277
Ameriprise Financial		252,761		12,112
Aon		23,800		1,107
Arch Capital Group *		36,600		1,399
Assurant (A)		256,845		8,573
Assured Guaranty		246,810		2,947
AvalonBay Communities ‡ (A)		600		84
Bank of America		472,473		3,472
Bank of New York Mellon (A)		62,038		1,263
BB&T		38,900		1,176
Berkshire Hathaway, Cl B *		89,174		7,077
BlackRock, Cl A		1,800		307
Camden Property Trust ‡		18,000		1,172
Capital One Financial		436,227		22,409
CBRE Group, Cl A *		199,100		3,275
Cincinnati Financial		15,000		541
Citigroup		2,244,350		59,498
CME Group, Cl A		15,510		3,995
Comerica		34,200		1,040
CommonWealth ‡		50,500		891
Discover Financial Services		577,175		19,110
E*Trade Financial *		38,500		327
East West Bancorp		68,900		1,543
Equity Residential ‡		1,100		67
Essex Property Trust ‡ (A)		10,800		1,625
Extra Space Storage ‡		62,300		1,767
Fifth Third Bancorp		528,300		7,053
First Horizon National (A)		122,800		1,041
Franklin Resources		8,700		929
Genworth Financial, Cl A *		521,200		2,731
Goldman Sachs Group		252,522		24,166
Government Properties Income Trust ‡		7,600		162
Hartford Financial Services Group		8,300		140
HCP ‡		17,800		727
Health Care REIT		5,600		310
Hospitality Properties Trust ‡		186,421		4,383
Host Hotels & Resorts ‡ (A)		114,200		1,743
Hudson City Bancorp		39,500		245
Huntington Bancshares		382,500		2,501
Inland Real Estate ‡ (A)		50,200		413

2 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Large Cap Disciplined Equity Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Invesco		825,078	$	17,945
Janus Capital Group		140,500		1,026
Jones Lang LaSalle		25,600		1,856
JPMorgan Chase		1,719,332		56,996
Keycorp		1,375,588		10,317
Kilroy Realty ‡ (A)		39,880		1,831
LaSalle Hotel Properties ‡ (A)		31,060		857
Legg Mason		4,900		125
Leucadia National		73,700		1,497
Lincoln National		31,800		657
Macerich ‡ (A)		28,330		1,616
Marsh & McLennan		318,605		10,189
MetLife (A)		138,093		4,034
Moody’s (A)		51,700		1,892
Morgan Stanley		715,200		9,555
Nelnet, Cl A		20,800		486
PacWest Bancorp (A)		82,210		1,875
People’s United Financial		109,500		1,273
PNC Financial Services Group		293,420		18,022
Principal Financial Group		23,300		572
ProAssurance		7,400		652
Progressive (A)		330,250		7,176
ProLogis ‡		6,815		218
Prudential Financial		210,263		9,767
PS Business Parks ‡ (A)		27,300		1,799
Public Storage ‡		7,700		1,028
Rayonier ‡ (A)		226,843		9,747
Regions Financial		148,100		931
Signature Bank NY * (A)		28,100		1,726
Simon Property Group ‡		28,057		4,139
SL Green Realty ‡ (A)		117,970		8,849
SLM		328,800		4,593
State Street		340,657		14,039
SunTrust Banks		198,900		4,559
Symetra Financial		60,700		686
T. Rowe Price Group		51,600		2,972
Torchmark		18,400		859
Travelers		36,600		2,287
US Bancorp		191,566		5,960
Validus Holdings		53,200		1,669
Wells Fargo		2,810,583		90,079
Weyerhaeuser ‡		193,172		3,846
Willis Group Holdings		30,500		1,076
Winthrop Realty Trust ‡		20,200		208
Wintrust Financial (A)		60,660		2,063
XL Group, Cl A		247,500		5,054
Zions Bancorporation (A)		5,600		107
				617,590
Health Care — 10.7%
Abbott Laboratories		258,516		15,974
Aetna		152,700		6,244
Agilent Technologies		119,510		4,859
Alexion Pharmaceuticals * (A)		69,876		6,329
Allergan		63,914		5,768
AMERIGROUP *		8,500		530
AmerisourceBergen		401,988		14,869
Amgen		769,084		53,467
Baxter International		347,935		17,613
Becton Dickinson (A)		9,300		680
Biogen Idec *		141,881		18,551
Bristol-Myers Squibb		418,651		13,958
C.R. Bard		3,700		360

Description	Shares		Market Value ($ Thousands)
Cardinal Health		37,972	$	1,571
CareFusion *		231,755		5,618
Celgene *		254,177		17,347
Cerner * (A)		16,900		1,318
CIGNA		11,400		501
Coventry Health Care		4,500		137
Covidien		410,413		21,251
Dentsply International (A)		5,900		218
Eli Lilly		724,202		29,656
Express Scripts Holding *		387,759		20,237
Forest Laboratories *		111,641		3,907
Gilead Sciences *		526,611		26,304
Haemonetics *		26,440		1,843
Henry Schein *		14,400		1,070
Hill-Rom Holdings		52,500		1,544
Humana		49,700		3,797
Intuitive Surgical *		19,200		10,044
Johnson & Johnson		1,084,956		67,734
Laboratory Corp of America Holdings * (A)		200		17
Life Technologies *		21,000		859
McKesson		265,492		23,172
Medicis Pharmaceutical, Cl A (A)		47,600		1,718
Medtronic		66,476		2,449
Merck		1,054,727		39,637
Mettler Toledo International *		1,100		172
Myriad Genetics *		6,700		162
PerkinElmer		480,820		12,790
Pfizer		2,429,756		53,139
Quest Diagnostics		38,460		2,188
St. Jude Medical (A)		30,100		1,156
Stryker		9,700		499
Thermo Fisher Scientific		116,300		5,871
United Therapeutics *		7,100		314
UnitedHealth Group		660,676		36,846
VCA Antech *		76,200		1,641
Vertex Pharmaceuticals *		178,590		10,722
Watson Pharmaceuticals *		31,500		2,245
WellPoint		165,196		11,133
				580,029
Industrials — 7.7%
3M		78,566		6,632
AGCO *		58,900		2,368
Alaska Air Group *		9,600		329
Alliant Techsystems (A)		20,900		1,023
American Reprographics *		164,700		852
Applied Industrial Technologies		21,800		822
BE Aerospace *		33,840		1,466
Boeing		198,923		13,847
C.H. Robinson Worldwide		4,100		239
Caterpillar		274,856		24,083
Cintas (A)		36,300		1,339
Cooper Industries, Cl A		175,784		12,393
Copart *		28,900		784
Corrections Corp of America		28,425		741
Crane		2,800		106
CSX		390,300		8,153
Cummins		173,903		16,860
Danaher		6,200		322
Deere		147,100		10,866
Delta Air Lines *		624,307		7,554
Dover		4,400		249

3 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Large Cap Disciplined Equity Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Dun & Bradstreet		5,100	$	345
Eaton (A)		37,300		1,591
Emerson Electric (A)		165,708		7,750
EnerSys *		12,900		425
Equifax		3,600		163
Fastenal (A)		74,300		3,286
FedEx		140,526		12,527
Flowserve		5,200		534
Fluor		6,400		300
General Dynamics		55,000		3,521
General Electric		3,081,659		58,829
Goodrich		22,000		2,767
Harsco		70,090		1,409
Honeywell International		984,304		54,786
HUB Group, Cl A *		38,219		1,336
Hubbell, Cl B		25,148		1,985
Ingersoll-Rand		6,000		248
Iron Mountain		54,900		1,556
Joy Global		32,100		1,793
L-3 Communications Holdings, Cl 3		57,800		3,941
Landstar System		77,304		4,074
Lincoln Electric Holdings		26,132		1,243
Lockheed Martin (A)		28,800		2,385
Masco (A)		136,600		1,731
MasTec * (A)		80,200		1,311
Middleby *		7,800		798
MSC Industrial Direct, Cl A		8,500		609
Nielsen Holdings *		299,866		8,318
Norfolk Southern		106,000		6,945
Northrop Grumman		72,100		4,236
Oshkosh Truck *		9,800		201
Owens Corning * (A)		26,500		818
Paccar		22,400		842
Pall		8,500		473
Parker Hannifin		145,780		11,916
Precision Castparts		6,500		1,080
Quanta Services * (A)		85,160		1,923
Regal-Beloit		26,880		1,621
Republic Services, Cl A		277,558		7,316
Robbins & Myers		3,400		155
Robert Half International (A)		64,899		1,844
Rockwell Automation		4,800		348
Roper Industries		15,100		1,528
Ryder System		36,700		1,586
SPX (A)		17,800		1,279
Stericycle * (A)		4,300		375
Team *		47,760		1,274
Textron		29,200		690
Timken		31,300		1,493
Toro		8,000		596
Trimas *		75,040		1,502
Union Pacific (A)		210,735		23,476
United Continental Holdings * (A)		51,200		1,289
United Parcel Service, Cl B		263,601		19,754
United Technologies		252,376		18,704
Valmont Industries		20,988		2,403
WESCO International * (A)		100,028		5,951
WW Grainger (A)		29,500		5,713
				417,920

Description	Shares		Market Value ($ Thousands)
Information Technology — 18.9%
Accenture, Cl A		253,807	$	14,492
Adobe Systems *		5,700		177
Akamai Technologies *		120,830		3,545
Analog Devices		8,400		306
Apple *		413,364		238,813
Applied Materials		205,300		2,121
Arrow Electronics *		55,493		1,882
Autodesk *		59,600		1,908
Automatic Data Processing		94,500		4,928
Avnet *		123,865		3,776
Baidu ADR *		172,682		20,337
BMC Software *		24,900		1,054
Broadcom, Cl A		15,100		488
CA		452,392		11,251
Cisco Systems		4,003,049		65,370
Citrix Systems *		18,000		1,316
Cognizant Technology Solutions, Cl A *		12,500		728
Compuware *		144,900		1,304
Comverse Technology *		430		3
Dell *		696,633		8,590
Dolby Laboratories, Cl A *		5,800		249
eBay *		44,100		1,728
Echo Global Logistics * (A)		71,559		1,217
Electronic Arts *		145,000		1,975
EMC *		857,150		20,443
F5 Networks *		168,326		17,418
Fidelity National Information Services		4,100		135
Fiserv * (A)		72,725		4,904
FLIR Systems (A)		63,800		1,361
Google, Cl A *		82,483		47,911
Hewlett-Packard		458,031		10,388
IAC (A)		84,201		3,783
Ingram Micro, Cl A *		19,400		346
Intel		2,795,866		72,245
International Business Machines		576,144		111,138
Intuit		146,500		8,238
j2 Global (A)		57,670		1,395
Jabil Circuit		493,093		9,433
JDS Uniphase * (A)		38,000		386
Kla-Tencor		238,250		10,919
Lexmark International, Cl A		90,900		2,273
LSI *		640,848		4,262
Mastercard, Cl A		64,857		26,365
Microchip Technology (A)		35,500		1,101
Micron Technology *		36,000		210
Microsemi *		25,900		457
Microsoft		2,785,104		81,297
Molex (A)		38,800		895
Motorola Solutions		149,900		7,207
NCR *		52,200		1,118
Netscout Systems *		86,900		1,742
Novellus Systems * (A)		32,100		1,343
Nvidia *		14,300		178
ON Semiconductor *		219,160		1,477
Oracle		2,003,477		53,032
Paychex (A)		26,000		779
Polycom *		70,960		812
Qualcomm		878,034		50,320
Quest Software *		31,720		793

4 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Large Cap Disciplined Equity Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Red Hat *		71,710	$	3,685
SAIC (A)		16,900		188
Salesforce.com *		2,000		277
SanDisk *		52,500		1,717
SS&C Technologies Holdings * (A)		46,026		1,085
Symantec *		338,299		5,020
TE Connectivity		49,200		1,546
Tech Data *		5,600		266
Teradata *		29,200		1,941
Teradyne * (A)		94,400		1,364
Texas Instruments		842,496		23,994
Total System Services		29,600		689
Vantiv, Cl A *		38,100		845
VeriSign *		7,900		302
Visa, Cl A		236,982		27,300
Western Digital *		247,028		7,754
Western Union		178,053		2,920
Xerox		225,200		1,626
Xilinx		87,380		2,794
Yahoo! *		59,900		913
				1,029,888
Materials — 3.4%
Air Products & Chemicals		12,800		1,012
Airgas		28,500		2,474
Alcoa (A)		341,200		2,917
Allegheny Technologies		248,165		7,971
Ball		109,881		4,392
Carpenter Technology		26,700		1,203
CF Industries Holdings		60,100		10,275
Cliffs Natural Resources (A)		21,100		1,008
Coeur d’Alene Mines *		22,200		375
Commercial Metals		153,658		1,795
Compass Minerals International (A)		13,300		947
Cytec Industries		24,700		1,493
Dow Chemical		65,800		2,044
E.I. Du Pont de Nemours		376,666		18,178
Eastman Chemical		77,034		3,587
Ecolab (A)		75,800		4,791
FMC		61,823		3,151
Freeport-McMoRan Copper & Gold, Cl B		1,019,155		32,654
International Paper		33,200		969
Kronos Worldwide (A)		4,200		71
LyondellBasell Industries, Cl A		89,400		3,528
Monsanto		242,082		18,689
Mosaic		179,030		8,536
Newmont Mining		4,200		198
Nucor		41,900		1,498
Owens-Illinois *		219,900		4,297
PPG Industries		51,100		5,286
Praxair		177,713		18,880
Reliance Steel & Aluminum		20,700		977
Rock-Tenn, Cl A		15,260		787
Rockwood Holdings *		24,680		1,194
Royal Gold		62,085		4,200
Schweitzer-Mauduit International (A)		24,780		1,658
Sherwin-Williams		2,000		259
Sigma-Aldrich (A)		43,200		2,997
Silver Wheaton		42,045		1,071

Description	Shares		Market Value ($ Thousands)
Southern Copper		74,500	$	2,120
Steel Dynamics (A)		293,300		3,091
Titanium Metals (A)		5,400		62
US Silica Holdings * (A)		84,400		1,027
Walter Industries		17,000		824
Westlake Chemical (A)		21,945		1,196
				183,682
Telecommunication Services — 1.5%
AT&T		1,074,620		36,720
CenturyLink (A)		112,820		4,425
Crown Castle International *		38,900		2,124
tw telecom, Cl A *		59,628		1,383
Verizon Communications		912,664		38,003
				82,655
Utilities — 2.6%
AES *		2,676,395		32,358
AGL Resources		53,759		2,015
Ameren		109,300		3,532
American Electric Power		194,844		7,503
American Water Works		80,300		2,747
California Water Service Group		58,000		1,010
Calpine *		61,799		1,038
Centerpoint Energy		45,200		914
CMS Energy (A)		326,583		7,609
Consolidated Edison (A)		13,300		803
Dominion Resources		158,300		8,241
DTE Energy		66,946		3,805
Duke Energy (A)		89,700		1,972
Edison International		20,900		940
El Paso Electric		21,500		660
Entergy		53,500		3,452
Exelon		114,489		4,234
FirstEnergy		50,256		2,351
New Jersey Resources		38,260		1,606
NextEra Energy		304,901		19,922
NiSource (A)		125,600		3,151
Northeast Utilities		9,000		324
Northwest Natural Gas		21,700		1,006
NRG Energy *		175,200		2,684
ONEOK		50,500		4,191
Pepco Holdings		6,900		132
PPL		154,700		4,234
Progress Energy		53,511		2,933
Public Service Enterprise Group		217,000		6,768
SCANA (A)		31,300		1,470
Sempra Energy		21,100		1,372
Southern		105,700		4,853
Wisconsin Energy (A)		12,800		484
Xcel Energy		34,300		960
				141,274
Total Common Stock (Cost $4,338,511) ($ Thousands)				4,592,580
	Number Of Warrants
WARRANTS — 0.0%
Kinder Morgan, Expires 2017		66,496		152
Total Warrants (Cost $127) ($ Thousands)				152

5 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Large Cap Disciplined Equity Fund

May 31, 2012

Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
AFFILIATED PARTNERSHIPS — 16.3%
SEI LIBOR Plus Portfolio †		83,124,748	$	597,667
SEI Liquidity Fund, L.P. 0.170% † ** (B)		298,225,493		291,203
Total Affiliated Partnerships (Cost $1,060,816) ($ Thousands)				888,870
CASH EQUIVALENT — 3.6%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.100% † **		196,311,256		196,311
Total Cash Equivalent (Cost $196,311) ($ Thousands)				196,311
U.S. TREASURY OBLIGATIONS (C) (D) — 1.4%
U.S. Treasury Bills
0.040%, 06/28/12	$	2,931		2,931
0.050%, 09/20/12		72,959		72,940
Total U.S. Treasury Obligations (Cost $75,877) ($ Thousands)				75,871
Total Investments — 105.8% (Cost $5,671,642) ($ Thousands)			$	5,753,784

A list of the open futures contracts held by the Fund at May 31, 2012, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Depreciation ($ Thousands)
S&P 500 Index E-MINI		1,746		Jun-2012	$	(6,708	)
S&P Composite Index		2,059		Jun-2012		(23,954	)
					$	(30,662	)

For the year ended May 31, 2012, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on a Net Assets of $5,436,390 ($ Thousands)

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2012.

† Investment in Affiliated Security (see Note 5).

‡ Real Estate Investment Trust.

(A) This security or a partial position of this security is on loan at May 31, 2012. The total value of securities on loan at May 31, 2012 was $290,646 ($ Thousands).

(B) This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of May 31, 2012 was $291,203 ($ 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

S&P — Standard & Poor’s

The following is a list of the inputs used as of May 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1			Level 2		Level 3		Total
Common Stock	$	4,592,580		$	—	$	—	$	4,592,580
Warrant		152			—		—		152
Affiliated Partnerships		597,667			291,203		—		888,870
Cash Equivalent		196,311			—		—		196,311
U.S. Treasury Obligations		—			75,871		—		75,871
Total Investments in Securities	$	5,386,711		$	367,074	$	—	$	5,753,784
Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(30,662	)	$	—	$	—	$	(30,662	)

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

For the year ended May 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2012, there were no 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 / Annual Report / May 31, 2012

Schedule of Investments

Large Cap Index Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 97.2%
Consumer Discretionary — 11.8%
Aaron’s		6,900	$	183
Abercrombie & Fitch, Cl A		9,602		322
Advance Auto Parts		6,408		467
Amazon.com *		33,289		7,088
AMC Networks, Cl A *		4,885		189
American Eagle Outfitters		17,471		337
Apollo Group, Cl A *		9,564		305
Autoliv (A)		8,418		487
AutoNation * (A)		2,832		102
AutoZone *		2,307		877
Bally Technologies *		4,500		209
Bed Bath & Beyond * (A)		22,615		1,634
Best Buy (A)		27,547		516
Big Lots *		5,500		202
BorgWarner * (A)		10,082		723
Brinker International		7,283		235
Cablevision Systems, Cl A (A)		21,442		245
Career Education *		3,259		21
Carmax *		20,660		583
Carnival		38,800		1,245
CBS, Cl B		60,269		1,924
Charter Communications, Cl A *		4,900		307
Chico’s FAS		15,400		225
Chipotle Mexican Grill, Cl A * (A)		2,819		1,164
Choice Hotels International (A)		2,584		94
Clear Channel Outdoor Holdings, Cl A		700		4
Coach		26,467		1,785
Comcast, Cl A		252,325		7,295
Darden Restaurants (A)		12,022		622
Deckers Outdoor * (A)		3,500		195
Delphi Automotive *		11,200		325
DeVry		4,900		134
Dick’s Sporting Goods		8,658		403
Dillard’s, Cl A (A)		2,800		188
DIRECTV, Cl A *		59,939		2,664
Discovery Communications, Cl A * (A)		24,100		1,207
DISH Network, Cl A		18,662		523
Dollar General *		9,500		465
Dollar Tree *		10,629		1,097
DR Horton		25,168		418
DreamWorks Animation SKG, Cl A * (A)		6,434		114
DSW, Cl A		2,000		119
Dunkin’ Brands Group (A)		3,100		101
Education Management * (A)		1,500		12
Expedia (A)		9,567		439
Family Dollar Stores		11,362		770
Federal Mogul, Cl A *		1,500		17
Foot Locker		14,069		447
Ford Motor (A)		340,884		3,600
Fossil *		4,900		358
GameStop, Cl A (A)		14,000		269
Gannett (A)		21,659		283
Gap		32,621		865
Garmin		9,600		412

Description	Shares		Market Value ($ Thousands)
General Motors * (A)		68,600	$	1,523
Gentex (A)		13,932		311
Genuine Parts		14,171		893
Goodyear Tire & Rubber *		24,452		255
Guess?		5,100		136
H&R Block		29,025		443
Hanesbrands *		8,643		241
Harley-Davidson		21,603		1,041
Harman International Industries		6,668		262
Hasbro (A)		11,067		392
Home Depot (A)		146,215		7,214
Hyatt Hotels, Cl A *		3,800		141
International Game Technology		28,443		407
Interpublic Group		41,475		431
ITT Educational Services * (A)		1,921		109
J.C. Penney (A)		14,051		369
Jarden (A)		8,200		333
John Wiley & Sons, Cl A		4,242		193
Johnson Controls		61,145		1,843
Kohl’s		23,119		1,059
Lamar Advertising, Cl A * (A)		4,840		119
Las Vegas Sands		35,293		1,630
Lear		10,000		398
Leggett & Platt (A)		14,019		291
Lennar, Cl A (A)		14,430		394
Liberty Global, Cl A *		25,171		1,163
Liberty Interactive, Cl A *		51,147		857
Liberty Media - Liberty Capital, Cl A *		10,720		909
Limited Brands (A)		22,757		1,010
LKQ *		14,000		510
Lowe’s		109,710		2,931
Macy’s		38,530		1,466
Madison Square Garden, Cl A *		6,260		235
Marriott International, Cl A (A)		23,287		901
Marriott Vacations Worldwide *		1,668		47
Mattel (A)		31,742		988
McDonald’s		94,880		8,477
McGraw-Hill		25,339		1,099
MGM Resorts International *		33,539		363
Michael Kors Holdings * (A)		4,900		193
Mohawk Industries *		5,066		345
Morningstar (A)		2,100		118
NetFlix * (A)		5,000		317
Newell Rubbermaid		27,665		509
News, Cl A		197,785		3,797
NIKE, Cl B		32,617		3,528
Nordstrom		14,212		673
NVR *		524		422
Omnicom Group (A)		25,544		1,218
Orchard Supply Hardware Stores, Cl A *		114		2
O’Reilly Automotive *		11,740		1,125
Panera Bread, Cl A *		2,762		406
Penn National Gaming *		6,089		280
PetSmart		10,573		681
Polaris Industries (A)		6,200		471
priceline.com * (A)		4,500		2,815
PulteGroup * (A)		31,245		292
PVH		5,600		454
RadioShack (A)		5,571		26

1 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Large Cap Index Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Ralph Lauren, Cl A		5,780	$	860
Regal Entertainment Group, Cl A (A)		7,388		102
Ross Stores		21,353		1,350
Royal Caribbean Cruises		10,900		257
Sally Beauty Holdings *		7,800		206
Scripps Networks Interactive, Cl A		8,172		448
Sears Holdings * (A)		3,428		169
Service International		17,994		206
Signet Jewelers		7,800		341
Sirius XM Radio * (A)		361,000		682
Staples		65,164		856
Starbucks		68,606		3,766
Starwood Hotels & Resorts Worldwide		18,984		1,003
Target		63,085		3,653
Tempur-Pedic International * (A)		6,000		277
Tesla Motors * (A)		7,200		212
Thomson Reuters		36,700		1,008
Thor Industries		3,800		117
Tiffany		11,825		655
Time Warner		91,579		3,157
Time Warner Cable, Cl A		28,684		2,163
TJX		70,608		2,998
Toll Brothers * (A)		14,351		392
Tractor Supply		6,200		566
TripAdvisor * (A)		9,467		406
TRW Automotive Holdings *		9,193		355
Tupperware Brands		6,500		351
Ulta Salon Cosmetics & Fragrance		4,052		362
Under Armour, Cl A * (A)		3,300		332
Urban Outfitters * (A)		10,720		300
VF		7,917		1,117
Viacom, Cl B		50,469		2,409
Virgin Media (A)		25,120		553
Visteon *		4,300		172
Walt Disney		163,772		7,486
Washington Post, Cl B (A)		657		229
Weight Watchers International (A)		1,962		111
Wendy’s		26,800		123
Whirlpool (A)		6,687		414
Williams-Sonoma		9,462		330
WMS Industries *		5,100		105
Wyndham Worldwide (A)		13,668		681
Wynn Resorts		5,896		607
Yum! Brands		42,548		2,994
				148,752
Consumer Staples — 10.1%
Altria Group		191,540		6,166
Archer-Daniels-Midland		60,879		1,941
Avon Products		38,706		641
Beam		14,220		861
Brown-Forman, Cl B		9,518		830
Bunge (A)		13,500		803
Campbell Soup (A)		16,678		529
Church & Dwight		14,507		772

Description	Shares		Market Value ($ Thousands)
Clorox (A)		12,303	$	847
Coca-Cola		180,720		13,505
Coca-Cola Enterprises		27,915		764
Colgate-Palmolive		44,675		4,392
ConAgra Foods		39,786		1,001
Constellation Brands, Cl A *		13,631		263
Costco Wholesale		39,981		3,454
CVS Caremark		117,252		5,269
Dean Foods *		14,187		222
Dr. Pepper Snapple Group (A)		20,400		842
Energizer Holdings *		6,241		455
Estee Lauder, Cl A		20,508		1,110
Flowers Foods (A)		10,050		221
General Mills		57,392		2,197
Green Mountain Coffee Roasters * (A)		11,600		274
Herbalife		11,000		493
Hershey		13,698		916
HJ Heinz (A)		29,137		1,546
Hormel Foods		12,578		376
Ingredion		8,300		424
JM Smucker		10,411		797
Kellogg		22,403		1,093
Kimberly-Clark		35,918		2,850
Kraft Foods, Cl A		151,206		5,787
Kroger		51,973		1,144
Lorillard		12,250		1,514
McCormick (A)		12,093		681
Mead Johnson Nutrition, Cl A		18,486		1,492
Molson Coors Brewing, Cl B		11,562		444
Monster Beverage *		12,600		915
PepsiCo		144,552		9,808
Philip Morris International		162,668		13,747
Post Holdings *		1,950		59
Procter & Gamble		255,374		15,907
Ralcorp Holdings *		6,100		388
Reynolds American		30,520		1,277
Safeway (A)		25,320		481
Sara Lee		53,351		1,115
Smithfield Foods * (A)		16,175		318
SUPERVALU (A)		13,089		59
Sysco (A)		52,848		1,475
Tyson Foods, Cl A		28,365		549
Walgreen		78,925		2,409
Wal-Mart Stores		162,379		10,688
Whole Foods Market		14,052		1,245
				127,356
Energy — 9.8%
Alpha Natural Resources *		20,365		213
Anadarko Petroleum		45,540		2,778
Apache		35,059		2,853
Arch Coal (A)		19,012		121
Atwood Oceanics * (A)		5,600		214
Baker Hughes (A)		39,340		1,642
Cabot Oil & Gas (A)		19,100		622
Cameron International *		22,344		1,021
CARBO Ceramics (A)		1,700		138
Chesapeake Energy (A)		59,666		1,008
Chevron		183,902		18,079
Cimarex Energy (A)		7,500		400

2 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Large Cap Index Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Cobalt International Energy *		9,300	$	211
Concho Resources *		9,500		834
ConocoPhillips (A)		121,476		6,336
Consol Energy (A)		21,044		591
Continental Resources * (A)		4,800		350
Core Laboratories		4,700		601
Denbury Resources *		36,724		555
Devon Energy		38,713		2,304
Diamond Offshore Drilling (A)		6,209		361
Dresser-Rand Group *		6,734		295
Energen		7,037		311
EOG Resources		24,545		2,437
EQT		11,466		532
EXCO Resources (A)		13,400		96
Exxon Mobil		427,738		33,633
FMC Technologies *		21,920		882
Forest Oil * (A)		6,514		54
Halliburton		83,697		2,516
Helmerich & Payne		8,350		378
Hess		27,412		1,198
HollyFrontier		17,126		505
Kinder Morgan		44,222		1,512
Marathon Oil		64,176		1,599
Marathon Petroleum		32,288		1,165
McDermott International *		19,600		199
Murphy Oil		18,954		884
Nabors Industries *		25,700		348
National Oilwell Varco		38,680		2,582
Newfield Exploration *		12,099		363
Noble Energy		15,962		1,348
Occidental Petroleum		74,354		5,894
Oceaneering International		10,200		471
Oil States International *		4,700		313
Patterson-UTI Energy		15,532		235
Peabody Energy		24,774		579
Phillips 66 *		59,688		1,792
Pioneer Natural Resources (A)		11,244		1,087
Plains Exploration & Production *		11,491		411
QEP Resources		15,746		414
Quicksilver Resources * (A)		5,102		23
Range Resources		14,439		829
Rowan, Cl A *		11,686		351
RPC (A)		5,550		58
SandRidge Energy * (A)		36,900		234
Schlumberger		124,163		7,853
SEACOR Holdings *		1,700		147
SM Energy		7,000		379
Southwestern Energy *		31,876		893
Spectra Energy		58,609		1,683
Sunoco		10,456		486
Superior Energy Services *		14,100		305
Teekay		3,800		102
Tesoro *		13,946		309
Tidewater (A)		4,670		211
Ultra Petroleum * (A)		13,700		254
Unit *		3,727		148
Valero Energy		51,836		1,094
Whiting Petroleum *		10,100		436
Williams		55,846		1,705

Description	Shares		Market Value ($ Thousands)
WPX Energy *		22,248	$	326
				123,091
Financials — 14.5%
ACE		30,400		2,199
Affiliated Managers Group *		4,720		486
Aflac		42,156		1,690
Alexandria Real Estate Equities ‡ (A)		5,900		404
Alleghany *		1,604		528
Allied World Assurance Holdings		3,800		292
Allstate		44,425		1,508
American Capital *		30,100		279
American Capital Agency ‡		27,659		904
American Express		96,134		5,367
American Financial Group		6,914		269
American International Group *		40,223		1,174
American National Insurance		222		15
American Tower, Cl A ‡		35,722		2,318
Ameriprise Financial		20,600		987
Annaly Capital Management ‡ (A)		86,411		1,436
Aon		29,944		1,392
Apartment Investment & Management, Cl A ‡		12,199		330
Arch Capital Group *		11,900		455
Ares Capital (A)		20,840		314
Arthur J Gallagher (A)		11,304		393
Aspen Insurance Holdings		9,500		269
Associated Banc		15,584		197
Assurant (A)		6,993		233
Assured Guaranty		14,000		167
AvalonBay Communities ‡ (A)		8,541		1,194
Axis Capital Holdings		14,200		467
Bank of America		981,863		7,217
Bank of Hawaii (A)		3,582		166
Bank of New York Mellon (A)		113,609		2,313
BankUnited		3,500		82
BB&T		62,806		1,898
Berkshire Hathaway, Cl B *		160,100		12,706
BlackRock, Cl A (A)		7,785		1,330
BOK Financial (A)		2,275		127
Boston Properties ‡ (A)		13,184		1,357
Brandywine Realty Trust ‡ (A)		12,200		137
BRE Properties ‡		6,720		331
Brown & Brown		10,424		267
Camden Property Trust ‡		7,047		459
Capital One Financial		45,625		2,344
CapitalSource		19,982		126
Capitol Federal Financial		17,624		205
CBOE Holdings		4,700		119
CBRE Group, Cl A *		27,517		453
Charles Schwab (A)		95,085		1,185
Chimera Investment ‡		92,300		258
Chubb		24,618		1,774
Cincinnati Financial (A)		13,886		501
CIT Group *		18,300		626
Citigroup		265,804		7,046
City National		5,838		290
CME Group, Cl A		6,074		1,564

3 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Large Cap Index Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
CNA Financial		1,700	$	48
Comerica		18,853		573
Commerce Bancshares		6,941		269
CommonWealth ‡		6,325		112
Corporate Office Properties Trust ‡ (A)		4,700		103
Cullen/Frost Bankers		4,768		271
DDR ‡ (A)		17,600		244
Digital Realty Trust ‡ (A)		9,900		701
Discover Financial Services		49,289		1,632
Douglas Emmett ‡		12,500		268
Duke Realty ‡ (A)		23,709		328
E*Trade Financial *		19,900		169
East West Bancorp		14,100		316
Eaton Vance (A)		10,910		266
Endurance Specialty Holdings		3,300		129
Equity Residential ‡		26,687		1,631
Erie Indemnity, Cl A		2,119		152
Essex Property Trust ‡ (A)		2,969		447
Everest Re Group		4,400		449
Federal Realty Investment Trust ‡		5,396		530
Federated Investors, Cl B (A)		9,458		190
Fidelity National Financial, Cl A		21,604		407
Fifth Third Bancorp		83,682		1,117
First Citizens BancShares, Cl A		300		51
First Horizon National (A)		21,256		180
First Niagara Financial Group		31,800		257
First Republic Bank *		7,200		226
Forest City Enterprises, Cl A *		12,542		168
Franklin Resources		13,103		1,399
Fulton Financial		15,295		155
General Growth Properties ‡		51,853		869
Genworth Financial, Cl A *		44,092		231
Goldman Sachs Group		47,375		4,534
Green Dot, Cl A * (A)		1,800		38
Greenhill		2,700		94
Hanover Insurance Group		6,193		242
Hartford Financial Services Group		40,910		688
HCC Insurance Holdings		10,441		326
HCP ‡		36,774		1,502
Health Care REIT		19,483		1,081
Hospitality Properties Trust ‡		12,166		286
Host Hotels & Resorts ‡ (A)		62,840		959
Howard Hughes *		1,873		112
Hudson City Bancorp		39,028		242
Huntington Bancshares		81,434		533
Interactive Brokers Group, Cl A		2,200		31
IntercontinentalExchange *		6,800		833
Invesco		42,200		918
Janus Capital Group		16,465		120
Jefferies Group (A)		12,114		162
Jones Lang LaSalle		3,500		254
JPMorgan Chase		363,534		12,051
Kemper		4,460		131
Keycorp		86,995		652
Kimco Realty ‡ (A)		37,244		669
Lazard, Cl A		10,100		233
Legg Mason		12,981		330
Leucadia National		17,420		354

Description	Shares		Market Value ($ Thousands)
Liberty Property Trust ‡ (A)		10,606	$	368
Lincoln National (A)		27,088		560
Loews		28,936		1,125
LPL Investment Holdings		2,400		78
M&T Bank (A)		12,234		995
Macerich ‡ (A)		12,211		697
Mack-Cali Realty ‡		7,998		218
Markel *		950		417
Marsh & McLennan		49,665		1,588
MBIA * (A)		13,559		122
Mercury General		2,396		105
MetLife (A)		75,109		2,194
Moody’s		18,227		667
Morgan Stanley		138,578		1,851
MSCI, Cl A *		10,900		368
NASDAQ OMX Group		11,100		243
New York Community Bancorp (A)		37,872		468
Northern Trust		19,505		842
NYSE Euronext		24,300		591
Old Republic International		19,690		194
PartnerRe		6,500		461
People’s United Financial		35,834		417
Piedmont Office Realty Trust, Cl A ‡		15,800		261
Plum Creek Timber ‡ (A)		13,821		504
PNC Financial Services Group		48,122		2,956
Popular *		10,653		163
Principal Financial Group		28,108		690
Progressive (A)		56,380		1,225
ProLogis ‡		41,618		1,331
Protective Life		6,609		174
Prudential Financial		44,463		2,065
Public Storage ‡		12,668		1,691
Raymond James Financial (A)		9,821		336
Rayonier ‡ (A)		11,504		494
Realty Income ‡ (A)		11,700		448
Regency Centers ‡		8,108		355
Regions Financial		130,187		819
Reinsurance Group of America, Cl A		6,799		341
RenaissanceRe Holdings		5,000		385
Rouse Properties ‡ * (A)		1,543		20
SEI † (B)		14,442		259
Senior Housing Properties Trust ‡		14,600		301
Simon Property Group ‡		26,881		3,965
SL Green Realty ‡ (A)		8,268		620
SLM		44,214		618
St. Joe * (A)		3,961		63
StanCorp Financial Group (A)		3,742		130
State Street		45,394		1,871
SunTrust Banks		48,946		1,122
Synovus Financial (A)		70,572		135
T. Rowe Price Group (A)		23,480		1,352
Taubman Centers ‡		5,400		394
TCF Financial (A)		14,501		171
TD Ameritrade Holding (A)		20,645		354
TFS Financial *		3,700		35
Torchmark		8,925		416
Travelers		35,375		2,211

4 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Large Cap Index Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
UDR ‡		22,693	$	588
Unum Group		27,205		543
US Bancorp		176,297		5,485
Validus Holdings		5,826		183
Valley National Bancorp (A)		16,917		189
Ventas ‡		22,992		1,352
Vornado Realty Trust ‡ (A)		16,736		1,371
Waddell & Reed Financial, Cl A		7,600		218
Washington Federal		8,863		145
Weingarten Realty Investors ‡ (A)		11,967		306
Wells Fargo		449,966		14,421
Weyerhaeuser ‡		49,192		979
White Mountains Insurance Group		447		230
WR Berkley		10,514		403
XL Group, Cl A		26,900		549
Zions Bancorporation (A)		16,502		314
				181,531
Health Care — 11.3%
Abbott Laboratories		142,176		8,785
Aetna		31,734		1,298
Agilent Technologies		31,564		1,283
Alere * (A)		5,300		97
Alexion Pharmaceuticals *		16,600		1,503
Allergan		27,896		2,518
Allscripts Healthcare Solutions *		17,100		185
AMERIGROUP *		4,000		250
AmerisourceBergen		23,724		878
Amgen		72,858		5,065
Amylin Pharmaceuticals * (A)		13,900		368
Baxter International		52,175		2,641
Becton Dickinson (A)		19,844		1,451
Biogen Idec *		22,100		2,890
BioMarin Pharmaceutical * (A)		10,300		367
Bio-Rad Laboratories, Cl A *		1,800		179
Boston Scientific *		134,139		770
Bristol-Myers Squibb		156,059		5,203
Brookdale Senior Living, Cl A *		8,900		147
Bruker *		7,600		113
C.R. Bard		7,885		766
Cardinal Health		31,829		1,317
CareFusion *		23,364		566
Catalyst Health Solutions *		4,200		365
Celgene *		40,180		2,742
Cerner * (A)		13,048		1,017
Charles River Laboratories International * (A)		4,443		148
CIGNA		25,955		1,140
Community Health Systems * (A)		9,062		199
Cooper		4,204		358
Covance *		4,536		210
Coventry Health Care		14,062		428
Covidien		45,400		2,351
DaVita *		8,808		716
Dendreon * (A)		14,100		99
Dentsply International (A)		12,298		455
Edwards Lifesciences *		10,614		906
Eli Lilly		93,561		3,831

Description	Shares		Market Value ($ Thousands)
Endo Health Solutions *		11,197	$	364
Express Scripts Holding *		73,636		3,843
Forest Laboratories *		24,573		860
Gen-Probe *		4,027		326
Gilead Sciences * (A)		72,017		3,597
HCA Holdings		11,200		291
Health Management Associates, Cl A *		22,722		146
Health Net *		8,102		208
Henry Schein *		8,484		630
Hill-Rom Holdings		4,724		139
Hologic * (A)		24,700		414
Hospira *		15,781		493
Human Genome Sciences * (A)		17,000		232
Humana		15,275		1,167
Idexx Laboratories *		5,452		463
Illumina * (A)		11,205		482
Intuitive Surgical *		3,600		1,883
Johnson & Johnson		250,809		15,658
Laboratory Corp of America Holdings *		9,011		750
Life Technologies *		16,470		674
LifePoint Hospitals *		6,576		242
Lincare Holdings (A)		7,040		161
McKesson		21,566		1,882
MEDNAX *		4,700		287
Medtronic		97,885		3,606
Merck		282,343		10,610
Mettler Toledo International *		2,836		443
Mylan Laboratories *		40,319		874
Myriad Genetics *		11,300		273
Omnicare (A)		12,831		404
Patterson		7,383		245
PerkinElmer		9,834		262
Perrigo (A)		7,600		790
Pfizer		684,980		14,980
QIAGEN *		21,000		336
Quest Diagnostics		14,144		805
Regeneron Pharmaceuticals * (A)		6,700		909
ResMed * (A)		13,235		410
Sirona Dental Systems *		5,600		240
St. Jude Medical		29,846		1,147
Stryker		28,404		1,461
SXC Health Solutions * (A)		6,300		565
Techne		3,341		227
Teleflex		3,040		181
Tenet Healthcare *		37,494		177
Thermo Fisher Scientific		34,525		1,743
Thoratec * (A)		4,200		128
United Therapeutics *		3,800		168
UnitedHealth Group		99,120		5,528
Universal Health Services, Cl B		8,776		340
Varian Medical Systems * (A)		10,730		629
VCA Antech *		6,939		149
Vertex Pharmaceuticals *		19,100		1,147
Warner Chilcott, Cl A *		15,200		287
Waters *		8,472		676
Watson Pharmaceuticals *		11,418		814
WellPoint		31,331		2,111

5 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Large Cap Index Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Zimmer Holdings		17,325	$	1,051
				142,513
Industrials — 10.6%
3M (A)		65,033		5,489
AECOM Technology *		8,100		132
AGCO *		8,300		334
Air Lease, Cl A *		3,700		77
Alexander & Baldwin		3,882		198
Alliant Techsystems (A)		2,736		134
Ametek		14,720		747
Armstrong World Industries		1,900		89
Avery Dennison		10,510		306
Babcock & Wilcox *		11,250		277
BE Aerospace *		8,266		358
Boeing		67,491		4,698
C.H. Robinson Worldwide		15,186		885
Carlisle		5,566		289
Caterpillar (A)		58,988		5,169
Chicago Bridge & Iron		9,600		345
Cintas (A)		12,357		456
CNH Global		2,400		92
Con-way		4,423		156
Cooper Industries, Cl A		14,800		1,043
Copa Holdings, Cl A		2,900		241
Copart *		11,118		301
Corrections Corp of America		7,800		203
Covanta Holding		10,200		160
Crane		4,200		159
CSX		93,496		1,953
Cummins		17,712		1,717
Danaher		50,202		2,609
Deere		38,419		2,838
Delta Air Lines *		76,000		919
Donaldson		13,144		470
Dover		17,057		965
Dun & Bradstreet		4,456		301
Eaton (A)		30,852		1,316
Emerson Electric		68,720		3,214
Equifax		11,056		499
Exelis (A)		16,602		166
Expeditors International of Washington		19,548		748
Fastenal (A)		26,724		1,182
FedEx		28,844		2,571
Flowserve		4,900		504
Fluor		15,708		737
Fortune Brands Home & Security *		15,120		342
Gardner Denver		4,100		222
GATX		3,600		138
General Cable * (A)		4,700		134
General Dynamics		29,872		1,912
General Electric		970,223		18,522
Goodrich		11,292		1,420
Graco		5,524		266
GrafTech International *		11,500		123
Harsco		7,570		152
Hertz Global Holdings * (A)		22,000		299
Honeywell International		71,990		4,007
Hubbell, Cl B		5,792		457

Description	Shares		Market Value ($ Thousands)
Huntington Ingalls Industries * (A)		4,096	$	151
IDEX		8,093		322
IHS, Cl A *		4,700		465
Illinois Tool Works (A)		40,780		2,290
Ingersoll-Rand		28,500		1,177
Iron Mountain		12,963		368
ITT		8,251		169
Jacobs Engineering Group *		11,102		394
JB Hunt Transport Services (A)		8,172		467
Joy Global		9,633		538
Kansas City Southern		10,200		673
KAR Auction Services *		2,100		31
KBR		12,680		323
Kennametal		8,000		278
Kirby *		5,200		274
L-3 Communications Holdings, Cl 3		9,277		633
Landstar System		3,965		209
Lennox International (A)		4,200		180
Lincoln Electric Holdings		8,200		390
Lockheed Martin (A)		23,829		1,973
Manitowoc		12,100		126
Manpower		6,584		237
Masco (A)		38,709		490
MSC Industrial Direct, Cl A		4,120		296
Navistar International *		6,100		170
Nielsen Holdings *		6,000		166
Nordson		5,200		279
Norfolk Southern		29,733		1,948
Northrop Grumman (A)		23,678		1,391
Oshkosh Truck *		8,159		167
Owens Corning *		11,200		346
Paccar		33,070		1,242
Pall		10,645		593
Parker Hannifin		13,804		1,128
Pentair (A)		8,861		361
Pitney Bowes (A)		18,085		247
Polypore International * (A)		3,600		133
Precision Castparts		12,946		2,152
Quanta Services *		23,400		528
Raytheon		32,168		1,619
Regal-Beloit		4,900		295
Republic Services, Cl A		28,842		760
Robert Half International (A)		14,076		400
Rockwell Automation		13,204		957
Rockwell Collins (A)		14,579		734
Roper Industries		8,800		891
RR Donnelley & Sons (A)		15,677		169
Ryder System		6,306		273
Shaw Group *		5,000		127
Snap-on		5,591		338
Southwest Airlines		74,120		669
Spirit Aerosystems Holdings, Cl A *		9,100		210
SPX		4,711		338
Stanley Black & Decker		15,293		1,013
Stericycle *		8,026		700
Terex * (A)		9,848		164
Textron		25,622		606
Timken		7,569		361

6 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Large Cap Index Fund

May 31, 2012

Description	Shares			Market Value ($ Thousands)
Toro		3,160		$	236
Towers Watson, Cl A		5,600			338
TransDigm Group *		4,400			541
Trinity Industries		6,500			161
Tyco International		42,200			2,243
Union Pacific (A)		44,916			5,004
United Continental Holdings * (A)		30,900			778
United Parcel Service, Cl B		67,241			5,039
United Technologies		83,690	��		6,202
URS		7,600			275
UTi Worldwide		9,200			144
Valmont Industries		1,800			206
Verisk Analytics, Cl A *		10,600			508
WABCO Holdings *		6,024			312
Wabtec		4,300			312
Waste Connections		10,650			330
Waste Management (A)		42,994			1,395
WESCO International * (A)		3,300			196
WW Grainger		5,181			1,003
Xylem		17,502			443
					132,636
Information Technology — 18.7%
Accenture, Cl A		59,100			3,375
Acme Packet * (A)		4,900			112
Activision Blizzard		40,056			470
Adobe Systems *		45,702			1,419
Advanced Micro Devices *		49,834			303
Akamai Technologies *		16,118			473
Alliance Data Systems * (A)		4,812			606
Altera		29,373			981
Amdocs		15,300			440
Amphenol, Cl A		15,192			808
Analog Devices		27,412			997
Ansys *		8,000			495
AOL *		12,134			333
Apple *		84,645			48,902
Applied Materials		119,455			1,234
Ariba *		8,700			391
Arrow Electronics *		10,989			373
Atmel *		36,900			258
Autodesk *		21,137			677
Automatic Data Processing		45,692			2,383
Avago Technologies		17,800			589
Avnet *		15,510			473
AVX		1,424			15
BMC Software *		15,389			651
Broadcom, Cl A		48,368			1,565
Broadridge Financial Solutions		12,273			248
Brocade Communications Systems *		47,500			221
CA		34,538			859
Cadence Design Systems *		24,163			246
Ciena * (A)		8,514			115
Cisco Systems		503,127			8,216
Citrix Systems *		17,087			1,249
Cognizant Technology Solutions, Cl A *		27,388			1,595
Computer Sciences		14,864			396
Compuware *		17,151			154

Description	Shares		Market Value ($ Thousands)
Comverse Technology *		15	$	—
CoreLogic *		8,684		147
Corning		141,558		1,839
Cree * (A)		8,922		224
Cypress Semiconductor		14,100		186
Dell *		137,743		1,698
Diebold		4,929		182
Dolby Laboratories, Cl A *		4,843		208
DST Systems		4,595		235
eBay *		105,411		4,131
EchoStar, Cl A *		2,132		60
Electronic Arts *		31,365		427
EMC *		188,197		4,488
Equinix *		4,400		718
F5 Networks *		7,438		770
Factset Research Systems (A)		4,400		464
Fairchild Semiconductor International, Cl A *		11,500		152
Fidelity National Information Services		22,990		754
First Solar * (A)		3,600		45
Fiserv * (A)		12,869		868
FleetCor Technologies *		1,400		53
FLIR Systems (A)		14,400		307
Fortinet *		10,300		219
Freescale Semiconductor Holdings I * (A)		3,500		32
Fusion-io * (A)		2,300		48
Gartner *		9,400		382
Genpact *		11,500		179
Global Payments		7,834		333
Google, Cl A *		23,029		13,376
Harris (A)		10,689		425
Hewlett-Packard		181,770		4,122
IAC		8,632		388
Informatica *		9,700		402
Ingram Micro, Cl A *		13,723		245
Intel		457,058		11,810
International Business Machines		110,798		21,373
International Rectifier *		6,255		118
Intersil, Cl A		11,261		119
Intuit		27,386		1,540
IPG Photonics * (A)		2,700		116
Itron *		4,300		154
Jabil Circuit		14,874		284
JDS Uniphase * (A)		20,740		210
Juniper Networks *		48,725		838
Kla-Tencor		15,509		711
Lam Research * (A)		11,791		440
Lender Processing Services		9,214		213
Lexmark International, Cl A		6,386		160
Linear Technology		21,157		614
LinkedIn, Cl A *		1,100		106
LSI *		51,148		340
Marvell Technology Group		47,100		590
Mastercard, Cl A		9,800		3,984
Maxim Integrated Products		27,300		687
MEMC Electronic Materials * (A)		10,338		17
Microchip Technology (A)		17,422		540
Micron Technology *		73,916		432

7 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Large Cap Index Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Micros Systems *		7,800	$	412
Microsoft		678,900		19,817
Molex (A)		12,170		281
Monster Worldwide *		11,618		100
Motorola Solutions		23,533		1,131
National Instruments		6,904		180
NCR *		15,589		334
NetApp *		33,355		993
NeuStar, Cl A *		6,177		199
Novellus Systems * (A)		6,277		263
Nuance Communications * (A)		20,700		428
Nvidia *		54,956		683
ON Semiconductor *		35,900		242
Oracle		351,420		9,302
Paychex (A)		29,007		869
PMC - Sierra *		21,000		134
Polycom *		16,700		191
QLogic *		8,380		114
Qualcomm		152,759		8,755
Rackspace Hosting * (A)		9,700		480
Red Hat *		17,627		906
Riverbed Technology *		11,800		194
Rovi *		11,000		269
SAIC (A)		23,100		257
Salesforce.com *		12,038		1,669
SanDisk *		21,769		712
Silicon Laboratories *		3,800		131
Skyworks Solutions *		17,000		457
Solera Holdings		7,000		311
SunPower, Cl A * (A)		6,368		32
Symantec *		68,748		1,020
Synopsys *		14,082		416
Tech Data *		5,350		255
Tellabs		32,689		120
Teradata *		15,389		1,023
Teradyne * (A)		16,963		245
Texas Instruments		106,208		3,025
TIBCO Software *		15,700		420
Total System Services		15,791		367
Trimble Navigation *		11,514		543
VeriFone Holdings *		9,100		329
VeriSign *		14,985		573
Visa, Cl A		47,800		5,507
Vishay Intertechnology *		12,950		137
VistaPrint *		2,700		91
VMware, Cl A *		7,800		725
WebMD Health, Cl A *		3,510		81
Western Digital *		21,330		670
Western Union		57,828		948
Xerox		135,596		979
Xilinx		24,457		782
Yahoo! *		109,681		1,671
Zebra Technologies, Cl A *		3,625		121
Zynga, Cl A * (A)		7,000		44
				235,063
Materials — 3.8%
Air Products & Chemicals		19,094		1,509
Airgas		7,215		626
AK Steel Holding (A)		5,300		32
Albemarle		8,044		488

Description	Shares		Market Value ($ Thousands)
Alcoa (A)		97,502	$	834
Allegheny Technologies		10,197		328
Allied Nevada Gold * (A)		6,700		174
Aptargroup		6,500		329
Ashland		7,576		484
Ball		14,050		562
Bemis (A)		10,274		312
Cabot		6,573		248
Carpenter Technology		4,000		180
Celanese, Cl A		14,283		569
CF Industries Holdings		5,966		1,020
Cliffs Natural Resources (A)		13,100		626
Commercial Metals		9,800		114
Compass Minerals International (A)		3,000		213
Crown Holdings *		13,451		459
Cytec Industries		4,281		259
Domtar		4,200		332
Dow Chemical		107,570		3,341
E.I. Du Pont de Nemours		84,992		4,102
Eastman Chemical		13,184		614
Ecolab (A)		27,108		1,713
FMC		13,120		669
Freeport-McMoRan Copper & Gold, Cl B		86,624		2,775
Greif, Cl A		3,500		153
Huntsman		23,129		296
International Flavors & Fragrances (A)		7,691		434
International Paper		39,655		1,158
Intrepid Potash *		3,900		77
LyondellBasell Industries, Cl A		28,500		1,125
Martin Marietta Materials (A)		4,163		281
MeadWestvaco		15,058		414
Molycorp * (A)		7,600		150
Monsanto		49,050		3,787
Mosaic		24,978		1,191
Newmont Mining		43,733		2,062
Nucor		28,790		1,030
Owens-Illinois *		14,991		293
Packaging Corp of America		9,299		249
PPG Industries		14,323		1,482
Praxair		27,725		2,945
Reliance Steel & Aluminum		6,700		316
Rock-Tenn, Cl A		7,500		387
Rockwood Holdings *		5,700		276
Royal Gold		5,200		352
RPM International (A)		11,969		315
Schnitzer Steel Industries, Cl A (A)		1,000		26
Scotts Miracle-Gro, Cl A		3,806		164
Sealed Air		21,568		338
Sherwin-Williams (A)		8,237		1,068
Sigma-Aldrich (A)		11,248		780
Silgan Holdings		5,100		213
Solutia		11,200		308
Sonoco Products		9,846		303
Southern Copper		15,168		432
Steel Dynamics		16,600		175
Titanium Metals		7,458		86
United States Steel (A)		12,883		261

8 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Large Cap Index Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Valspar		8,664	$	418
Vulcan Materials		12,157		421
Walter Industries		6,100		296
Westlake Chemical (A)		1,900		103
WR Grace *		6,600		346
				47,423
Telecommunication Services — 2.9%
AT&T		541,733		18,511
CenturyLink (A)		55,054		2,159
Clearwire, Cl A * (A)		8,300		10
Crown Castle International *		26,396		1,441
Frontier Communications (A)		89,295		334
Groupon, Cl A * (A)		2,500		27
Level 3 Communications * (A)		15,246		324
MetroPCS Communications *		25,400		162
NII Holdings *		13,620		157
SBA Communications, Cl A * (A)		11,100		577
Sprint Nextel *		276,544		711
Telephone & Data Systems		8,880		176
tw telecom, Cl A *		14,800		343
US Cellular *		831		31
Verizon Communications		258,776		10,775
Windstream (A)		53,047		497
				36,235
Utilities — 3.7%
AES *		59,024		713
AGL Resources		10,247		384
Alliant Energy		10,576		462
Ameren		22,390		723
American Electric Power		43,550		1,677
American Water Works		15,500		530
Aqua America (A)		16,277		376
Atmos Energy		10,891		361
Calpine *		33,200		558
Centerpoint Energy		38,915		787
CMS Energy (A)		23,842		556
Consolidated Edison (A)		26,516		1,601
Dominion Resources		52,712		2,744
DTE Energy		15,264		867
Duke Energy (A)		121,819		2,678
Edison International		29,679		1,334
Entergy		16,298		1,052
Exelon		76,476		2,828
FirstEnergy		37,827		1,770
GenOn Energy *		49,375		85
Great Plains Energy		10,471		209
Hawaiian Electric Industries (A)		8,746		242
Integrys Energy Group		7,202		390
ITC Holdings (A)		4,900		338
MDU Resources Group		17,621		396
National Fuel Gas		7,989		345
NextEra Energy		38,573		2,520
NiSource (A)		25,621		643
Northeast Utilities		28,608		1,030
NRG Energy *		20,800		319
NV Energy		22,900		396
OGE Energy		9,268		493
ONEOK		9,929		824

Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
Pepco Holdings		20,344	$	388
PG&E		38,118		1,666
Pinnacle West Capital		10,292		508
PPL		52,326		1,432
Progress Energy		26,761		1,467
Public Service Enterprise Group		45,952		1,433
Questar		17,346		348
SCANA (A)		10,920		513
Sempra Energy		21,723		1,412
Southern		77,703		3,567
TECO Energy		19,700		343
UGI		11,050		317
Vectren		6,091		179
Westar Energy		10,200		292
Wisconsin Energy (A)		21,598		817
Xcel Energy		44,181		1,238
				46,151
Total Common Stock (Cost $1,081,582) ($ Thousands)				1,220,751
	Number Of Warrants
WARRANTS — 0.0%
Kinder Morgan, Expires 2017		44,354		101
Total Warrants (Cost $84) ($ Thousands)				101
AFFILIATED PARTNERSHIP — 9.9%
SEI Liquidity Fund, L.P. 0.170% † ** (C)		125,197,658		124,102
Total Affiliated Partnership (Cost $125,198) ($ Thousands)				124,102
CASH EQUIVALENT — 3.3%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.100% † **		40,836,488		40,836
Total Cash Equivalent (Cost $40,836) ($ Thousands)				40,836
U.S. TREASURY OBLIGATION — 0.2%
U.S. Treasury Bill 0.112%, 08/09/12 (D) (E)	$	2,950		2,950
Total U.S. Treasury Obligation (Cost $2,950) ($ Thousands)				2,950
Total Investments — 110.6% (Cost $1,250,650) ($ Thousands)			$	1,388,740

9 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Large Cap Index Fund

May 31, 2012

A list of the open futures contracts held by the Fund at May 31, 2012, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Depreciation ($ Thousands)
S&P 500 Index E-MINI		631		Jun-2012	$	(3,065	)
S&P Mid 400 Index E-MINI		50		Jun-2012		(366	)
					$	(3,431	)

For the year ended May 31, 2012, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on a Net Assets of $1,255,669 ($ Thousands)

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2012.

† Investment in Affiliated Security (see Note 5).

‡ Real Estate Investment Trust.

(A) This security or a partial position of this security is on loan at May 31, 2012. The total value of securities on loan at May 31, 2012 was $125,143 ($ Thousands).

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

(C) This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of May 31, 2012 was $124,102 ($ Thousands).

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

(E) The rate reported is the effective yield at time of purchase.

Cl — Class

L.P. — Limited Partnership

REIT — Real Estate Investment Trust

S&P — Standard and Poor’s

The following is a list of the inputs used as of May 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands).

Investments in Securities	Level 1			Level 2		Level 3		Total
Common Stock	$	1,220,751		$	—	$	—	$	1,220,751
Warrant		101			—		—		101
Affiliated Partnership		—			124,102		—		124,102
Cash Equivalent		40,836			—		—		40,836
U.S. Treasury Obligation		—			2,950		—		2,950
Total Investments in Securities	$	1,261,688		$	127,052	$	—	$	1,388,740
Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(3,431	)	$	—	$	—	$	(3,431	)

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

For the year ended May 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2012, there were no 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 / Annual Report / May 31, 2012

Schedule of Investments

Small Cap Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 96.4%
Consumer Discretionary — 13.3%
AFC Enterprises *		36,759	$	785	��
American Eagle Outfitters		32,649		630
American Greetings, Cl A (A)		16,000		224
American Public Education * (A)		39,169		1,114
Ameristar Casinos		17,200		322
ANN * (A)		43,685		1,175
Arbitron		11,000		368
Arctic Cat *		12,100		437
Asbury Automotive Group *		10,600		283
Bally Technologies * (A)		17,200		801
Beazer Homes USA * (A)		51,700		135
Belo, Cl A		129,178		747
Big Lots *		13,500		496
Biglari Holdings *		1,220		478
BJ’s Restaurants * (A)		44,603		1,953
Bob Evans Farms		26,400		1,070
Boyd Gaming * (A)		16,000		122
Bravo Brio Restaurant Group *		32,262		530
Bridgepoint Education * (A)		11,900		233
Brinker International		14,300		462
Brunswick		15,300		335
Cabela’s *		13,060		462
Callaway Golf (A)		98,180		542
Capella Education *		14,885		457
Career Education *		61,700		403
Carmike Cinemas *		21,300		301
Casual Male Retail Group *		162,300		495
Cato, Cl A (A)		31,200		895
CEC Entertainment		9,300		325
Cheesecake Factory * (A)		3,800		123
Chico’s FAS		43,655		638
Children’s Place Retail Stores * (A)		19,935		916
Christopher & Banks		25,600		31
Coinstar * (A)		12,400		762
Coldwater Creek * (A)		46,900		39
Columbia Sportswear		9,149		440
Cooper Tire & Rubber		87,616		1,356
Core-Mark Holding		17,113		744
Corinthian Colleges * (A)		95,200		261
Cracker Barrel Old Country Store		1,800		110
Crocs *		32,650		552
CSS Industries		10,800		206
Dana Holdings (A)		17,900		239
Denny’s *		59,300		256
Destination Maternity		5,100		99
Dick’s Sporting Goods		30,275		1,408
Dillard’s, Cl A		1,500		101
DreamWorks Animation SKG, Cl A * (A)		47,000		836
Ethan Allen Interiors (A)		53,268		1,199
EW Scripps, Cl A * (A)		14,800		133
Exide Technologies *		23,000		53
Express *		20,000		370
Federal Mogul, Cl A *		13,400		150
Fifth & Pacific *		18,900		226
Finish Line, Cl A		27,000		557
Foot Locker		7,400		235
Francesca’s Holdings * (A)		81,230		1,906

Description	Shares		Market Value ($ Thousands)
Fred’s, Cl A (A)		35,200	$	484
Gentex (A)		16,300		364
Grand Canyon Education *		39,395		714
Group 1 Automotive		1,000		52
hhgregg * (A)		62,562		673
Hibbett Sports * (A)		14,220		797
Hillenbrand		8,400		158
HomeAway * (A)		23,400		550
Hot Topic		69,100		685
Ignite Restaurant Group *		1,700		30
International Speedway, Cl A		3,200		77
ITT Educational Services * (A)		4,900		279
Jack in the Box *		33,200		858
JAKKS Pacific (A)		16,800		311
Jones Group		92,100		888
Journal Communications, Cl A * (A)		71,000		301
Kirkland’s * (A)		21,100		229
La-Z-Boy, Cl Z * (A)		39,300		554
Libbey * (A)		120,200		1,739
Life Time Fitness * (A)		44,879		1,923
Lincoln Educational Services (A)		30,500		177
Live Nation *		101,637		950
LKQ *		18,310		667
Lumber Liquidators Holdings * (A)		38,900		1,132
Matthews International, Cl A (A)		71,478		2,153
McClatchy, Cl A * (A)		25,600		56
MDC Partners, Cl A		157,700		1,531
Men’s Wearhouse		43,768		1,575
Meredith (A)		47,780		1,414
Modine Manufacturing *		22,400		145
Monro Muffler Brake (A)		1,550		52
Morgans Hotel Group *		92,600		416
National CineMedia		202,315		2,729
Nutrisystem (A)		15,700		161
Orient-Express Hotels, Cl A *		58,252		492
Oxford Industries (A)		8,800		405
Pacific Sunwear of California * (A)		81,500		117
Pandora Media * (A)		71,930		773
Panera Bread, Cl A *		4,310		633
Papa John’s International *		5,400		251
Peet’s Coffee & Tea * (A)		800		48
Penske Auto Group (A)		8,600		211
Perry Ellis International *		10,400		196
PetMed Express (A)		19,400		221
PF Chang’s China Bistro		12,400		636
Pier 1 Imports (A)		95,831		1,562
Pinnacle Entertainment *		124,700		1,220
PulteGroup *		7,900		74
Quiksilver *		421,858		1,160
RadioShack (A)		67,500		313
ReachLocal *		51,800		523
Red Robin Gourmet Burgers *		16,048		514
Regis (A)		134,826		2,469
Rent-A-Center, Cl A		49,000		1,650
Ruby Tuesday *		31,400		225
Rue21 * (A)		25,400		673
Saks * (A)		115,313		1,137
Scholastic (A)	��	21,400		577
School Specialty * (A)		45,835		138

1 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Small Cap Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Scientific Games, Cl A *		222,435	$	1,900
Select Comfort *		44,914		1,229
Service International		27,900		319
Shoe Carnival *		4,600		97
Shuffle Master *		27,825		441
Shutterfly * (A)		33,022		911
Sinclair Broadcast Group, Cl A		43,300		352
Six Flags Entertainment		2,400		109
Skechers U.S.A., Cl A * (A)		69,700		1,184
Skullcandy * (A)		152,336		1,999
SodaStream International *		46,030		1,427
Sotheby’s		19,500		595
Stage Stores		25,300		435
Starwood Hotels & Resorts Worldwide		6,700		354
Steiner Leisure *		3,700		169
Steven Madden *		5,125		208
Stewart Enterprises, Cl A (A)		55,500		342
Strayer Education (A)		1,800		162
Sturm Ruger (A)		14,800		577
Superior Industries International		20,500		344
Teavana Holdings *		45,335		602
Tenneco *		39,112		1,062
Tesla Motors * (A)		30,742		907
Thor Industries		3,400		104
Tilly’s, Cl A *		10,200		166
True Religion Apparel		62,844		1,843
Tumi Holdings * (A)		17,200		297
Ulta Salon Cosmetics & Fragrance		5,620		502
Unifi *		2,600		29
Universal Electronics *		15,100		198
Universal Technical Institute		8,800		107
Vail Resorts (A)		14,134		614
Valassis Communications * (A)		5,400		107
Vera Bradley * (A)		40,925		895
Vitamin Shoppe *		11,154		552
Warnaco Group *		24,972		1,111
Wet Seal, Cl A *		214,700		610
Whistler Blackcomb Holdings		6,600		69
Winnebago Industries *		26,100		234
WMS Industries *		92,586		1,901
Wolverine World Wide		15,450		657
Zumiez * (A)		83,759		3,081
				100,370
Consumer Staples — 2.6%
Andersons		7,200		314
B&G Foods, Cl A (A)		9,500		229
Cal-Maine Foods (A)		8,934		318
Casey’s General Stores (A)		25,739		1,458
Central Garden and Pet *		34,504		311
Central Garden and Pet, Cl A *		38,948		359
Chefs’ Warehouse * (A)		23,192		442
Chiquita Brands International *		206,100		1,117
Coca-Cola Bottling		6,800		417
Cosan Industria e Comercio (Brazil)		4,200		61
Darling International *		27,500		385
Dean Foods *		19,300		302
Diamond Foods (A)		12,231		258
Dole Food * (A)		117,961		1,048

Description	Shares		Market Value ($ Thousands)
Elizabeth Arden *		5,400	$	186
Fresh Del Monte Produce		48,100		1,129
Fresh Market *		25,299		1,470
Ingles Markets, Cl A		11,100		173
Ingredion		25,497		1,303
J&J Snack Foods		12,495		688
Lancaster Colony (A)		13,300		895
Medifast * (A)		43,625		788
Nash Finch		19,500		402
Nu Skin Enterprises, Cl A		2,900		124
Omega Protein *		14,300		95
Pantry *		51,373		663
Prestige Brands Holdings *		43,471		597
Rite Aid * (A)		169,200		220
Sanderson Farms		12,443		684
Snyders-Lance (A)		21,065		543
Spartan Stores (A)		65,852		1,103
Spectrum Brands Holdings *		7,200		248
United Natural Foods *		9,830		498
Universal		10,200		461
USANA Health Sciences * (A)		3,600		145
WD-40		2,000		94
Weis Markets		5,700		249
				19,777
Energy — 6.6%
Alberta Oilsands *		536,100		83
Approach Resources *		16,800		471
ATP Oil & Gas * (A)		24,000		127
Berry Petroleum, Cl A (A)		48,147		1,873
Bill Barrett *		13,695		265
Bonanza Creek Energy *		4,200		72
BPZ Resources * (A)		33,100		102
C&J Energy Services * (A)		5,600		100
Cal Dive International *		19,500		50
Callon Petroleum *		41,600		179
Carrizo Oil & Gas * (A)		64,594		1,428
Cheniere Energy * (A)		17,531		246
Clayton Williams Energy * (A)		900		51
Cloud Peak Energy * (A)		75,000		1,161
Comstock Resources * (A)		165,413		2,473
Contango Oil & Gas *		2,500		131
CVR Energy * (A)		7,900		201
Delek US Holdings		21,200		342
Dresser-Rand Group *		33,121		1,453
Dril-Quip * (A)		25,890		1,569
Energy Partners *		71,300		1,126
Energy XXI Bermuda (A)		21,336		663
Forest Oil * (A)		77,500		647
Forum Energy Technologies * (A)		36,120		776
GeoMet * (A)		9,550		3
Goodrich Petroleum * (A)		165,807		2,449
Green Plains Renewable Energy * (A)		16,900		120
Gulf Island Fabrication		11,400		285
Gulfmark Offshore, Cl A *		18,300		653
Harvest Natural Resources * (A)		16,000		88
Heckmann * (A)		145,000		490
Helix Energy Solutions Group * (A)		46,400		795
Karoon Gas Australia *		14,167		67
Key Energy Services *		133,308		1,321

2 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Small Cap Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Kinder Morgan Escrow *		58,213	$	—
KiOR, Cl A * (A)		36,784		333
Laredo Petroleum Holdings * (A)		27,700		583
Lone Pine Resources *		111,146		351
Lufkin Industries		3,488		200
Magnum Hunter Resources * (A)		274,081		1,105
Matador Resources *		39,810		400
Matrix Service *		60,200		626
McDermott International *		36,091		366
Midstates Petroleum *		7,000		100
Newpark Resources * (A)		235,110		1,361
Northern Oil And Gas * (A)		22,070		396
Oasis Petroleum * (A)		63,628		1,635
Oceaneering International		13,150		608
Oil States International *		8,285		552
Oilsands Quest * (A) (B) (C)		906,800		162
Parker Drilling *		173,600		849
Patriot Coal * (A)		47,200		112
Penn Virginia (A)		49,000		275
Petroleum Development *		37,975		943
Petroquest Energy * (A)		23,100		114
Pioneer Drilling *		70,759		526
Quicksilver Resources * (A)		218,842		978
REX American Resources *		1,500		28
Rosetta Resources * (A)		25,958		1,004
Scorpio Tankers * (A)		273,295		1,528
SEACOR Holdings *		12,200		1,052
SemGroup, Cl A *		2,100		63
SM Energy		9,320		504
StealthGas *		52,200		290
Stone Energy *		14,000		330
Superior Energy Services *		66,304		1,435
Swift Energy *		46,748		931
Synergy Resources *		18,500		50
Targa Resources		26,075		1,156
Tesco * (A)		64,595		776
Tesoro *		15,500		343
Tetra Technologies *		39,200		251
Tidewater (A)		16,800		757
Triangle Petroleum * (A)		14,600		75
Unit *		22,200		883
USEC * (A)		36,800		27
Vaalco Energy *		100,600		858
W&T Offshore (A)		26,300		404
Warren Resources *		41,600		89
Western Refining (A)		31,200		603
Willbros Group *		14,700		84
World Fuel Services (A)		53,353		2,001
				49,957
Financials — 20.4%
1st Source		6,200		132
Acadia Realty Trust ‡		3,700		83
Affiliated Managers Group *		14,060		1,449
Agree Realty ‡ (A)		20,000		418
Alexander’s ‡		200		78
Alliance Financial		3,900		122
Allied World Assurance Holdings		5,900		454
Alterra Capital Holdings (A)		91,685		2,036
American Campus Communities ‡ (A)		8,500		373

Description	Shares		Market Value ($ Thousands)
American Capital Mortgage Investment ‡		8,300	$	197
American Equity Investment Life Holding (A)		85,400		904
Amtrust Financial Services (A)		14,900		428
Anworth Mortgage Asset ‡		96,000		646
Apartment Investment & Management, Cl A ‡		35,731		967
Apollo Investments *		14,400		107
Ares Capital		1,950		29
Argo Group International Holdings		9,600		269
Ashford Hospitality Trust ‡		21,500		184
Aspen Insurance Holdings		10,800		305
Associated Banc		32,900		416
Associated Estates Realty ‡		14,400		228
Assured Guaranty		22,300		266
Astoria Financial (A)		5,900		53
AvalonBay Communities ‡ (A)		7,562		1,057
Banco Latinoamericano de Comercio Exterior, Cl E		29,500		575
Bancorpsouth (A)		27,067		365
Bank of Hawaii (A)		5,400		250
Bank of the Ozarks (A)		27,395		796
BBCN Bancorp *		6,700		72
Berkshire Hills Bancorp		28,015		611
BGC Partners, Cl A (A)		63,000		376
BioMed Realty Trust ‡ (A)		75,615		1,365
BlackRock Kelso Capital (A)		10,700		101
Boston Private Financial Holdings (A)		149,142		1,345
Boston Properties ‡ (A)		7,578		780
Brandywine Realty Trust ‡ (A)		91,675		1,030
Brasil Brokers Participacoes		20,700		61
BRE Properties ‡		11,450		564
Camden National		4,600		148
Campus Crest Communities ‡ (A)		100,500		1,083
CapitalSource		124,543		788
CapLease ‡		78,800		310
Capstead Mortgage ‡ (A)		33,800		465
Cardinal Financial		45,118		514
Cash America International		14,043		625
CBL & Associates Properties ‡		68,053		1,188
Central Pacific Financial *		31,300		402
Chatham Lodging Trust ‡		15,800		205
Chemical Financial		3,000		61
Chesapeake Lodging Trust ‡		27,915		504
Citizens Republic Bancorp *		18,250		297
City Holding (A)		4,900		158
City National		2,500		124
CNO Financial Group (A)		271,000		1,859
CoBiz Financial		75,545		459
Cohen & Steers (A)		22,400		725
Colonial Properties Trust ‡ (A)		27,050		574
Columbia Banking System (A)		18,300		332
CommonWealth ‡		20,500		362
Community Bank System (A)		11,300		301
Community Trust Bancorp		8,400		277
Corestite Realty ‡		15,185		362
Corporate Office Properties Trust ‡		17,950		395
CreXus Investment ‡		50,800		498

3 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Small Cap Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
CubeSmart ‡		7,500	$	85
CVB Financial (A)		64,364		701
CYS Investments ‡ (A)		58,500		800
DFC Global * (A)		63,096		1,040
DiamondRock Hospitality ‡		4,992		50
Dime Community Bancshares		24,300		317
Douglas Emmett ‡		35,200		753
Dynex Capital ‡		28,900		268
Eagle Bancorp * (A)		41,623		668
East West Bancorp		35,240		789
EastGroup Properties ‡		19,265		955
Eaton Vance (A)		32,216		784
Education Realty Trust ‡		132,373		1,459
Employers Holdings (A)		68,042		1,150
Endurance Specialty Holdings		53,719		2,098
Entertainment Properties Trust ‡ (A)		4,000		165
Equity Lifestyle Properties ‡		2,400		158
Equity One ‡		42,990		854
Equity Residential ‡		27,237		1,664
EverBank Financial *		10,200		114
Excel Trust ‡ (A)		55,688		651
Extra Space Storage ‡		18,300		519
FBR Capital Markets * (A)		249,800		664
Federal Realty Investment Trust ‡		2,705		266
Fifth Street Finance (A)		9,700		92
Financial Engines * (A)		97,751		2,051
First Commonwealth Financial		88,800		557
First Financial Bancorp		20,811		320
First Financial Holdings		2,200		21
First Horizon National (A)		91,013		772
First Industrial Realty Trust ‡ *		5,700		68
First Merchants		16,500		194
First Midwest Bancorp		128,443		1,296
First Potomac Realty Trust ‡		2,100		25
FirstMerit (A)		44,842		713
Flushing Financial		35,500		458
FNB (Pennsylvania) (A)		13,400		142
Forest City Enterprises, Cl A *		47,900		641
Franklin Financial *		900		14
Fulton Financial		50,600		513
Gain Capital Holdings (A)		11,900		58
General Growth Properties ‡		42,976		720
Getty Realty ‡ (A)		10,500		169
GFI Group		39,000		106
Gladstone Commercial ‡		5,200		82
Global Indemnity, Cl A *		32,900		687
Government Properties Income Trust ‡		31,700		678
Great American Group *		92,182		17
Hancock Holding (A)		53,166		1,621
Hanover Insurance Group		17,615		687
Hatteras Financial ‡		36,100		1,031
HCP ‡		29,748		1,215
Health Care ‡		15,500		860
Healthcare Realty Trust ‡		5,700		125
Highwoods Properties ‡ (A)		49,660		1,602
Home Bancshares		26,300		740
Home Loan Servicing Solutions (A)		26,600		356
Home Properties ‡		10,700		641

Description	Shares		Market Value ($ Thousands)
HomeStreet *		20,500	$	677
Horace Mann Educators		98,654		1,688
Hospitality Properties Trust ‡		8,200		193
Host Hotels & Resorts ‡ (A)		56,759		866
Hudson Valley Holding		6,626		111
Iberiabank		25,312		1,227
Infinity Property & Casualty		34,010		1,825
Inland Real Estate ‡ (A)		34,700		285
International Bancshares (A)		42,000		776
Invesco Mortgage Capital ‡		4,400		80
Investment Technology Group *		33,500		318
Investors Real Estate Trust ‡ (A)		6,900		49
iStar Financial ‡ *		8,400		48
Jones Lang LaSalle		28,596		2,073
Kemper		12,000		352
Kennedy-Wilson Holdings (A)		89,100		1,162
Kite Realty Group Trust ‡		56,200		266
Knight Capital Group, Cl A * (A)		70,500		886
LaSalle Hotel Properties ‡		28,415		784
Lexington Realty Trust ‡ (A)		174,376		1,449
LPL Investment Holdings (A)		38,762		1,255
LTC Properties ‡		17,600		568
Macerich ‡		10,586		604
Mack-Cali Realty ‡		53,238		1,450
Maiden Holdings		162,200		1,320
MainSource Financial Group		29,400		325
MarketAxess Holdings		29,228		944
MB Financial		5,200		106
MCG Capital (A)		116,400		513
Meadowbrook Insurance Group (A)		172,300		1,532
Medallion Financial		23,200		239
Medical Properties Trust ‡		8,000		72
Mercury General		1,300		57
MFA Mortgage Investments ‡		147,350		1,123
Mid-America Apartment Communities ‡		42,162		2,841
Montpelier Re Holdings		22,600		472
MSCI, Cl A *		37,524		1,269
National Financial Partners * (A)		45,020		599
National Health Investors ‡ (A)		2,500		121
National Penn Bancshares (A)		91,758		818
National Retail Properties ‡ (A)		36,140		957
NBT Bancorp		7,300		145
Nelnet, Cl A		75,600		1,764
Netspend Holdings * (A)		84,711		628
Northwest Bancshares		10,700		123
OceanFirst Financial		10,300		145
Ocwen Financial *		79,000		1,266
Old National Bancorp		116,488		1,350
Omega Healthcare Investors ‡ (A)		7,800		165
OmniAmerican Bancorp *		20,822		412
One Liberty Properties ‡		13,400		238
Oriental Financial Group		26,400		276
PacWest Bancorp (A)		67,251		1,534
Parkway Properties ‡ (A)		16,400		173
PennantPark Investment		81,104		791
Pennsylvania Real Estate Investment Trust ‡		18,600		236
PennyMac Mortgage Investment Trust ‡		24,200		447

4 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Small Cap Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
PHH * (A)		9,100	$	151
PICO Holdings *		23,958		531
Platinum Underwriters Holdings		44,034		1,598
Popular *		4,920		75
Post Properties ‡		4,300		208
Potlatch ‡ (A)		20,500		588
Presidential Life		11,000		97
Primerica *		11,200		270
PrivateBancorp, Cl A		29,700		437
ProAssurance		25,926		2,285
ProLogis ‡		43,717		1,398
Prosperity Bancshares (A)		23,805		1,017
Provident Financial Services		20,700		289
PS Business Parks ‡ (A)		5,600		369
Public Storage ‡		10,821		1,444
RAIT Financial Trust ‡ (A)		6,566		27
Ramco-Gershenson Properties ‡		42,000		500
Redwood Trust ‡ (A)		7,500		91
Regency Centers ‡		15,715		688
Reinsurance Group of America, Cl A		13,516		678
Republic Bancorp, Cl A		11,400		241
Retail Opportunity Investments ‡ (A)		6,500		78
Sabra Health Care ‡		9,666		139
Safeguard Scientifics *		53,378		809
Safety Insurance Group		4,000		160
Sandy Spring Bancorp		36,104		642
Saul Centers ‡		900		36
SCBT Financial		10,000		339
Signature Bank NY * (A)		32,744		2,011
Simon Property Group ‡		15,241		2,248
SL Green Realty ‡ (A)		11,445		859
Solar Capital		5,400		118
Southside Bancshares		9,555		200
Sovran Self Storage ‡		4,000		197
STAG Industrial ‡		5,700		78
Starwood Property Trust ‡		24,600		493
Stifel Financial * (A)		31,800		1,011
Summit Hotel Properties ‡		13,300		106
Sun Communities ‡		1,000		41
Sunstone Hotel Investors ‡ *		60,300		604
Susquehanna Bancshares		101,000		973
SVB Financial Group * (A)		11,455		683
SWS Group		27,800		160
Symetra Financial		11,900		134
Synovus Financial (A)		136,955		262
Tanger Factory Outlet Centers ‡		21,190		657
TCF Financial (A)		36,368		429
THL Credit		35,900		455
TICC Capital		9,300		88
Titanium Asset * (B) (C) (D)		122,200		100
Titanium Asset Management *		10,500		3
Tompkins Financial		4,200		154
Tower Group (A)		19,800		389
Two Harbors Investment ‡		50,600		523
UDR ‡		24,350		631
UMB Financial (A)		4,000		195
Umpqua Holdings		19,500		250
Union First Market Bankshares		15,200		212
United Financial Bancorp		18,600		256

Description	Shares		Market Value ($ Thousands)
Universal Health Realty Income Trust ‡		1,300	$	50
Uranium Participation *		13,500		68
Urstadt Biddle Properties, Cl A ‡		16,500		294
Validus Holdings		36,900		1,158
Value Creation * (B) (C) (D)		119,600		87
Ventas ‡ (A)		20,090		1,182
ViewPoint Financial Group		51,500		785
Virginia Commerce Bancorp *		46,100		380
Vornado Realty Trust ‡		7,800		639
Washington Federal		13,400		220
Washington Real Estate Investment Trust ‡ (A)		7,900		222
Webster Financial		62,490		1,267
West Coast Bancorp *		15,760		296
Western Alliance Bancorp *		197,355		1,721
Winthrop Realty Trust ‡		45,400		467
WisdomTree Investments *		267,672		1,788
World Acceptance * (A)		4,100		280
WSFS Financial		16,500		614
Zillow, Cl A * (A)		10,800		423
Zions Bancorporation (A)		66,739		1,270
				153,661
Health Care — 11.8%
ABIOMED * (A)		34,575		703
Acadia Healthcare * (A)		100,929		1,807
Accuray * (A)		22,700		142
Achillion Pharmaceuticals * (A)		93,522		671
Acorda Therapeutics *		14,000		308
Aegerion Pharmaceuticals *		29,000		441
Affymetrix *		105,300		499
Akorn * (A)		127,417		1,739
Alere * (A)		54,200		996
Align Technology * (A)		31,206		975
Allos Therapeutics *		81,300		145
Almost Family * (A)		14,100		313
Amarin ADR * (A)		79,155		938
AMERIGROUP * (A)		10,089		630
Amsurg, Cl A *		32,508		888
Amylin Pharmaceuticals * (A)		30,351		805
Arena Pharmaceuticals * (A)		20,182		135
Ariad Pharmaceuticals * (A)		142,646		2,364
Arqule *		43,380		258
ArthroCare *		12,300		322
athenahealth * (A)		20,631		1,500
AVEO Pharmaceuticals * (A)		28,730		366
BioMarin Pharmaceutical * (A)		20,755		740
BioScrip *		14,800		100
Bruker *		47,700		707
Cambrex *		47,400		341
Catalyst Health Solutions *		8,600		747
Centene *		17,210		622
Cepheid * (A)		17,320		655
Charles River Laboratories International *		6,400		214
Chemed (A)		10,100		561
Community Health Systems *		7,900		174
Computer Programs & Systems		3,500		190
CONMED		51,188		1,371
Cross Country Healthcare *		18,600		84
CryoLife *		26,600		123

5 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Small Cap Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Cubist Pharmaceuticals * (A)		38,600	$	1,549
Cyberonics *		16,127		622
Depomed *		15,900		82
DexCom *		48,471		521
DynaVox, Cl A *		63,244		81
Emergent Biosolutions *		63,502		916
Emeritus * (A)		47,500		722
Ensign Group (A)		14,600		371
Enzon Pharmaceuticals *		28,400		183
eResearch Technology *		72,100		570
Five Star Quality Care *		28,700		89
Fluidigm * (A)		35,664		496
Gentiva Health Services *		12,700		71
Greatbatch *		60,256		1,251
Haemonetics *		15,188		1,059
Halozyme Therapeutics * (A)		44,300		338
Health Net *		24,200		620
HealthSouth *		72,754		1,393
Healthways *		34,600		227
HeartWare International * (A)		11,257		916
Hill-Rom Holdings		28,100		826
Hi-Tech Pharmacal * (A)		21,200		612
HMS Holdings * (A)		42,458		1,137
ICON ADR *		28,385		609
ICU Medical *		17,731		912
Impax Laboratories *		24,900		516
Imris *		116,320		370
Incyte * (A)		43,525		927
Insulet * (A)		75,750		1,395
Invacare		22,300		332
IPC The Hospitalist *		12,700		444
Ironwood Pharmaceuticals, Cl A * (A)		24,610		293
ISTA Pharmaceuticals * (A)		63,100		574
Keryx Biopharmaceuticals * (A)		91,914		162
Kindred Healthcare * (A)		113,400		938
LHC Group *		12,500		209
LifePoint Hospitals *		17,200		633
Magellan Health Services *		25,685		1,083
MAP Pharmaceuticals * (A)		52,127		614
Masimo *		91,172		1,715
Medical Action Industries *		95,200		410
Medicines *		26,700		587
Medicis Pharmaceutical, Cl A (A)		10,100		365
MEDNAX *		28,726		1,753
MELA Sciences * (A)		64,100		170
Merit Medical Systems *		8,000		104
Metropolitan Health Networks *		36,400		317
Momenta Pharmaceuticals * (A)		16,400		226
Myriad Genetics *		71,966		1,737
Natus Medical *		5,000		56
Nektar Therapeutics * (A)		56,700		380
Neurocrine Biosciences *		35,200		235
Novadaq Technologies *		52,000		312
NxStage Medical * (A)		32,230		490
Omnicare (A)		31,711		1,000
Omnicell *		50,463		661
Onyx Pharmaceuticals *		26,910		1,232
Optimer Pharmaceuticals * (A)		19,760		295
OraSure Technologies *		78,711		815
Orexigen Therapeutics * (A)		52,000		174
Orthofix International *		7,800		296

Description	Shares		Market Value ($ Thousands)
Owens & Minor (A)		2,200	$	63
Par Pharmaceutical *		15,900		570
PAREXEL International *		45,913		1,229
PDL BioPharma (A)		202,700		1,315
PerkinElmer		23,542		626
Pharmacyclics * (A)		7,780		244
PharMerica *		27,400		272
Providence Service *		36,600		487
PSS World Medical * (A)		75,632		1,530
Questcor Pharmaceuticals * (A)		39,480		1,634
Quidel * (A)		66,965		1,053
Rigel Pharmaceuticals * (A)		10,300		77
Sagent Pharmaceuticals * (A)		29,100		464
Salix Pharmaceuticals *		32,780		1,698
Sangamo Biosciences * (A)		77,463		344
Savient Pharmaceuticals * (A)		2,300		2
Sciclone Pharmaceuticals *		37,200		234
Seattle Genetics * (A)		27,119		528
Select Medical Holdings *		20,600		190
Sirona Dental Systems *		14,300		612
Skilled Healthcare Group, Cl A * (A)		68,400		377
Spectranetics *		43,896		433
Spectrum Pharmaceuticals * (A)		52,005		603
STERIS		37,893		1,131
Sun Healthcare Group * (A)		26,700		130
SXC Health Solutions * (A)		8,610		772
Symmetry Medical *		97,100		752
Synageva BioPharma *		2,000		78
Syneron Medical *		85,394		908
Synta Pharmaceuticals *		23,500		113
Targacept *		27,700		115
Techne		16,116		1,094
Teleflex		20,458		1,215
Threshold Pharmaceuticals * (A)		113,959		835
Tornier *		34,958		690
Trinity Biotech ADR		16,100		185
Trius Therapeutics *		70,079		359
Unilife * (A)		188,800		787
ViroPharma * (A)		26,200		528
Volcano *		43,324		1,239
WellCare Health Plans *		35,213		1,988
				89,071
Industrials — 17.2%
AAR (A)		9,300		112
ABM Industries		24,400		524
Acacia Research *		53,668		1,866
ACCO Brands *		35,800		327
Actuant, Cl A		57,551		1,506
Acuity Brands (A)		30,535		1,664
Advisory Board * (A)		14,430		1,398
Aegean Marine Petroleum Network (A)		74,200		360
Aerovironment *		6,800		151
Air Transport Services Group *		153,900		780
Aircastle		76,900		854
Alamo Group		11,300		350
Alaska Air Group *		36,400		1,249
Albany International, Cl A		23,700		432
Allegiant Travel, Cl A * (A)		3,500		227
Alliant Techsystems		14,300		700

6 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Small Cap Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Altra Holdings *		5,200	$	87
Amerco		1,200		101
Ametek		4,400		223
Ampco-Pittsburgh		9,900		154
Applied Industrial Technologies		14,200		535
Arkansas Best		17,300		219
Armstrong World Industries		16,100		750
Astec Industries *		15,700		431
Atlas Air Worldwide Holdings *		20,700		940
BE Aerospace *		25,775		1,116
Belden		55,844		1,745
Brady, Cl A		27,684		760
Briggs & Stratton (A)		7,300		123
Brink’s		55,500		1,264
CAI International *		5,100		95
Carlisle		19,900		1,034
Cascade		12,700		634
Celadon Group		60,152		969
Ceradyne		25,800		650
Chart Industries *		11,645		727
CIRCOR International		4,800		154
CLARCOR		9,830		480
Clean Harbors *		14,200		881
Columbus McKinnon *		47,300		730
Comfort Systems USA		55,586		505
Consolidated Graphics *		3,600		105
Copa Holdings, Cl A		6,121		508
Corrections Corp of America		2,300		60
Courier		14,941		163
CRA International *		12,945		243
Cubic		27,619		1,199
Curtiss-Wright		24,300		738
Deluxe		20,000		462
Dycom Industries *		38,350		751
Dynamic Materials		37,418		632
EMCOR Group		94,450		2,583
Encore Capital Group *		52,003		1,261
Encore Wire		7,300		183
Ennis		7,900		112
EnPro Industries *		14,423		556
ESCO Technologies		23,781		830
Exponent *		3,500		165
Flow International *		100,400		296
FreightCar America		6,200		123
FTI Consulting * (A)		65,500		2,068
G&K Services, Cl A		65,545		1,913
Gardner Denver		28,706		1,552
Genco Shipping & Trading * (A)		28,200		88
GenCorp * (A)		44,900		275
General Cable * (A)		25,419		723
Genesee & Wyoming, Cl A * (A)		22,532		1,129
Geo Group *		58,400		1,271
GeoEye *		6,000		115
Gibraltar Industries *		48,600		497
Global Power Equipment Group (A)		36,000		663
Graco		11,300		544
GrafTech International *		124,255		1,326
Granite Construction		26,300		603
Great Lakes Dredge & Dock		29,700		193
Greenbrier *		36,575		506
H&E Equipment Services * (A)		5,500		87

Description	Shares		Market Value ($ Thousands)
Harsco		15,500	$	312
Hawaiian Holdings * (A)		190,873		1,103
Heico, Cl A		39,585		1,326
HEICO		19,762		823
Heidrick & Struggles International		4,300		71
Hexcel *		65,078		1,587
HNI (A)		7,900		183
Huntington Ingalls Industries * (A)		8,100		298
ICF International *		47,400		1,067
IDEX		37,393		1,486
IHS, Cl A *		8,832		874
Insperity		13,600		342
Interface, Cl A		129,960		1,649
John Bean Technologies		35,575		496
Kadant *		48,998		1,112
Kaydon		44,590		995
Kelly Services, Cl A		1,900		22
KEYW Holding * (A)		39,700		366
Kforce *		20,400		272
Kirby *		14,150		747
Landstar System		29,432		1,551
Layne Christensen *		9,800		184
LB Foster, Cl A		7,800		216
Lincoln Electric Holdings		14,030		668
LS Starrett, Cl A		700		8
Manitowoc		22,475		234
Marten Transport		35,600		729
Meritor *		42,700		231
Metalico *		45,100		114
Michael Baker *		4,600		106
Middleby *		17,520		1,792
Miller Industries		11,200		163
Mistras Group *		29,000		654
Mobile Mini * (A)		55,724		766
Moog, Cl A *		20,380		775
Mueller Industries		18,600		790
MYR Group *		8,400		128
NACCO Industries, Cl A		6,600		692
National Presto Industries (A)		1,500		101
Navigant Consulting *		104,135		1,246
Navistar International *		7,792		218
Northwest Pipe *		19,600		399
Old Dominion Freight Line *		34,971		1,523
Orbital Sciences *		23,300		261
Orion Marine Group *		207,184		1,384
Oshkosh Truck *		3,800		78
Pacer International *		80,800		456
Polypore International * (A)		88,391		3,270
Quad, Cl A (A)		16,700		211
Quality Distribution *		8,600		91
Quanex Building Products		68,885		1,137
RailAmerica *		2,600		62
Rand Logistics * (A)		22,200		166
RBC Bearings *		13,345		619
Resources Connection		74,278		891
Rexnord *		31,770		629
Robbins & Myers		31,539		1,438
RPX *		38,340		511
Rush Enterprises, Cl A *		50,637		839
Ryder System		22,500		972

7 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Small Cap Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Sauer-Danfoss		7,600	$	275
SeaCube Container Leasing		5,900		107
Simpson Manufacturing		54,540		1,516
SkyWest		16,164		114
Spirit Aerosystems Holdings, Cl A *		34,000		784
Spirit Airlines *		40,100		826
Standard Parking *		48,368		919
Standex International		1,300		53
Steelcase, Cl A (A)		61,800		542
Sun Hydraulics		15,600		364
Swift Transportation, Cl A *		74,875		795
Sykes Enterprises *		67,400		1,014
TAL International Group (A)		24,665		807
Teledyne Technologies *		23,761		1,416
Terex * (A)		23,055		383
Tetra Tech * (A)		113,838		2,845
Textainer Group Holdings (A)		2,700		89
Thermon Group Holdings * (A)		19,880		404
Titan International (A)		26,400		591
Titan Machinery *		16,503		509
TMS International, Cl A *		71,300		791
Towers Watson, Cl A		23,339		1,406
TransDigm Group *		7,617		937
Trex * (A)		27,200		791
Trimas *		20,215		404
Trinity Industries		6,000		148
Triumph Group (A)		9,941		595
TrueBlue *		85,610		1,280
Tutor Perini *		129,700		1,458
Unifirst		1,000		57
United Rentals * (A)		37,747		1,304
United Stationers (A)		3,000		76
US Airways Group * (A)		17,600		233
US Ecology		42,945		739
USA Truck *		21,700		126
UTi Worldwide		32,163		503
Valmont Industries		6,180		708
Viad		7,600		135
Vitran, Cl A *		54,720		383
Wabash National * (A)		357,697		2,490
WABCO Holdings *		14,490		750
Wabtec		28,649		2,080
Watsco (A)		10,700		788
Watts Water Technologies, Cl A		22,336		738
Werner Enterprises (A)		5,900		144
WESCO International * (A)		32,454		1,931
Woodward		17,000		641
YRC Worldwide *		1		—
				129,753
Information Technology — 17.7%
ACI Worldwide *		9,493		362
Acme Packet * (A)		56,975		1,304
Acxiom *		7,900		111
ADTRAN		40,833		1,194
Advent Software * (A)		36,856		962
Aeroflex Holding * (A)		24,100		156
Amkor Technology * (A)		65,000		308
Amtech Systems *		17,600		80
ANADIGICS *		45,100		90
Ancestry.com * (A)		3,800		82

Description	Shares		Market Value ($ Thousands)
Arris Group * (A)		26,700	$	329
Arrow Electronics *		23,700		804
Aruba Networks * (A)		104,080		1,368
Aspen Technology *		44,167		976
Atmel *		106,343		744
Audience *		27,275		483
AVX		15,800		172
Bazaarvoice * (A)		39,969		691
Benchmark Electronics *		39,797		539
Black Box		8,700		195
Brightpoint *		23,900		116
BroadSoft * (A)		66,070		1,804
Brooks Automation		10,600		99
CACI International, Cl A * (A)		39,575		1,694
Cadence Design Systems *		77,280		788
Cardtronics *		28,119		788
Cavium * (A)		95,579		2,314
Ceva * (A)		49,141		854
CIBER *		297,400		1,065
Ciena * (A)		30,695		416
Coherent *		20,794		918
CommVault Systems *		10,600		497
Computer Task Group *		39,800		484
Compuware *		27,300		246
Comtech Telecommunications (A)		34,297		990
Comverse Technology *		12,500		76
Concur Technologies * (A)		13,900		860
Constant Contact * (A)		45,577		923
Convergys (A)		46,348		646
CoreLogic *		20,700		352
Cornerstone OnDemand * (A)		76,868		1,541
CoStar Group * (A)		35,183		2,600
CSG Systems International *		13,800		228
CTS		21,700		203
Cymer * (A)		14,100		764
Daktronics		17,100		112
DealerTrack Holdings *		63,160		1,724
Demandware * (A)		12,100		376
Dice Holdings * (A)		61,789		607
Diebold		58,148		2,152
Digi International *		105,700		955
Digital River *		86,075		1,257
Diodes * (A)		51,147		1,001
DTS * (A)		29,155		806
EarthLink		228,435		1,844
Electronics for Imaging *		8,400		124
Emulex *		112,818		758
Entegris * (A)		81,530		629
Envestnet *		120,918		1,434
Euronet Worldwide *		67,134		1,208
ExactTarget *		23,425		464
Exar *		52,900		415
ExlService Holdings *		22,197		481
Extreme Networks *		28,100		105
Fabrinet *		7,300		85
Fairchild Semiconductor International, Cl A *		42,149		557
FARO Technologies *		10,425		481
FEI * (A)		13,499		618
Finisar * (A)		14,858		213
FormFactor *		9,400		56

8 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Small Cap Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Forrester Research		6,100	$	197
Fortinet *		53,750		1,142
Fusion-io * (A)		21,730		454
Gartner *		47,357		1,926
GT Advanced Technologies * (A)		44,000		185
Hittite Microwave * (A)		22,230		1,096
Imation *		18,700		106
Immersion *		65,957		370
Imperva *		13,800		355
Infoblox *		30,400		602
Informatica *		2,450		101
Inphi * (A)		155,900		1,296
Insight Enterprises *		24,700		368
Integrated Device Technology *		95,988		527
Interactive Intelligence Group * (A)		18,709		483
Intermec *		109,909		649
Internap Network Services *		101,608		724
International Rectifier *		51,978		979
Intersil, Cl A		95,300		1,005
IPG Photonics * (A)		28,150		1,205
Ixia *		29,400		311
j2 Global (A)		20,350		492
Jack Henry & Associates		71,763		2,369
JDA Software Group *		3,800		105
Kemet *		34,400		198
Kenexa * (A)		24,824		724
Kulicke & Soffa Industries * (A)		45,400		478
Lattice Semiconductor *		8,800		40
Lender Processing Services		73,725		1,702
Lexmark International, Cl A		33,100		828
Limelight Networks * (A)		23,500		64
Logitech International *		16,800		172
LTX-Credence *		61,000		433
Manhattan Associates *		25,200		1,197
Mantech International, Cl A (A)		17,000		371
MAXIMUS		14,400		655
Measurement Specialties *		37,117		1,213
Mellanox Technologies *		33,995		2,055
MEMC Electronic Materials * (A)		23,800		40
Micrel (A)		4,900		48
Micros Systems *		14,613		771
Microsemi *		4,100		72
MicroStrategy, Cl A *		13,675		1,668
Mindspeed Technologies * (A)		127,520		395
Mitek Systems * (A)		68,940		146
Mitel Networks *		20,100		80
MKS Instruments		9,800		256
Monolithic Power Systems *		39,612		744
Monotype Imaging Holdings *		4,300		59
Move *		19,850		164
MTS Systems		1,600		62
Multi-Fineline Electronix *		8,850		219
Nanometrics *		4,900		76
NETGEAR *		20,770		652
Netscout Systems *		5,700		114
NetSuite * (A)		13,800		647
Newport *		13,300		158
NIC (A)		34,000		370
Oclaro * (A)		18,700		48
OCZ Technology Group * (A)		60,294		270
ON Semiconductor *		96,775		652

Description	Shares		Market Value ($ Thousands)
OpenTable * (A)		11,800	$	469
Oplink Communications *		22,100		283
Opnet Technologies (A)		34,449		860
Opnext *		116,300		120
OSI Systems *		5,210		332
Parametric Technology *		170,084		3,436
Park Electrochemical		15,600		366
Parkervision * (A)		58,571		111
Photronics * (A)		61,700		370
Plantronics		22,200		668
PMC - Sierra *		11,700		75
Power-One * (A)		81,500		338
Progress Software *		58,390		1,122
PROS Holdings *		55,822		839
Pulse Electronics (A)		23,000		45
QLIK Technologies *		65,006		1,478
QLogic *		50,700		690
Quantum *		623,472		1,216
Quest Software *		10,800		270
Rackspace Hosting * (A)		13,300		658
RealNetworks		17,250		153
RealPage * (A)		72,653		1,297
RF Micro Devices *		139,498		526
Rogers *		12,865		519
Rosetta Stone * (A)		53,890		744
Rudolph Technologies * (A)		57,180		493
Saba Software *		94,300		787
Seachange International *		11,800		95
Semtech *		28,980		698
ServiceSource International * (A)		147,388		1,769
Silicon Laboratories *		14,560		503
SolarWinds * (A)		48,190		2,210
Solera Holdings		28,205		1,252
Sonus Networks *		358,958		872
Sourcefire * (A)		24,519		1,352
Splunk * (A)		6,900		225
SS&C Technologies Holdings *		52,496		1,238
STEC * (A)		9,400		66
STR Holdings * (A)		26,000		99
Sycamore Networks *		98,140		1,301
Synaptics * (A)		1,700		46
Synchronoss Technologies * (A)		12,880		231
SYNNEX * (A)		7,200		240
Synopsys *		26,588		786
Take-Two Interactive Software *		77,200		889
Tech Data *		28,500		1,357
TeleCommunication Systems, Cl A *		38,700		57
TeleNav *		23,900		144
TeleTech Holdings *		13,600		202
Tellabs		23,800		87
Teradyne *		40,290		582
Tessco Technologies		9,400		180
Tessera Technologies		4,000		54
THQ * (A)		111,300		73
TIBCO Software * (A)		47,610		1,274
TiVo * (A)		40,544		346
TNS *		33,281		595
Travelzoo * (A)		5,100		119
TTM Technologies *		9,300		86
Tyler Technologies *		37,820		1,411
Ultra Clean Holdings *		64,135		382

9 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Small Cap Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Ultratech *		37,000	$	1,122
Unisys *		10,000		157
United Online (A)		42,500		168
Veeco Instruments * (A)		16,970		589
Viasystems North America		27,500		357
Vishay Intertechnology * (A)		84,433		897
VistaPrint *		64,007		2,169
Websense * (A)		41,400		769
Wright Express *		4,304		241
XO Group *		9,500		84
Xyratex		86,566		990
Zebra Technologies, Cl A *		26,516		888
				133,083
Materials — 4.0%
A. Schulman		4,700		101
AK Steel Holding (A)		15,900		96
Allied Nevada Gold *		3,400		88
American Vanguard		24,525		661
Aptargroup		1,200		61
Boise (A)		70,800		489
Buckeye Technologies (A)		24,000		665
Coeur d’Alene Mines *		7,600		128
Compass Minerals International		7,974		567
Cytec Industries		12,406		750
EcoSynthetix *		16,800		67
Ferro *		67,792		301
Georgia Gulf		10,600		316
Glatfelter		24,200		367
Globe Specialty Metals (A)		106,280		1,246
Greif, Cl A		15,056		659
GSE Holding *		60,100		655
H.B. Fuller (A)		49,300		1,499
Haynes International		16,901		862
Headwaters *		92,000		424
Horsehead Holding * (A)		140,090		1,241
Huntsman		42,045		538
Innophos Holdings		15,673		791
Innospec *		21,200		560
Kaiser Aluminum (A)		13,726		659
KapStone Paper and Packaging *		3,000		46
Koppers Holdings		2,000		70
Kraton Performance Polymers *		27,542		526
LSB Industries *		7,100		198
Materion		4,300		95
McEwen Mining * (A)		30,500		72
Minerals Technologies		27,790		1,758
Neenah Paper		18,700		487
New Gold * (A)		10,300		90
NewMarket		2,400		501
Noranda Aluminum Holding		47,200		363
Olympic Steel (A)		3,700		61
OM Group *		43,032		784
Owens-Illinois *		32,877		642
Packaging Corp of America		30,991		831
PolyOne		143,570		1,900
Quaker Chemical		4,100		171
Rock-Tenn, Cl A		3,800		196
Romarco Minerals *		100,000		61
RTI International Metals * (A)		83,176		1,746

Description	Shares		Market Value ($ Thousands)
Schnitzer Steel Industries, Cl A (A)		25,000	$	652
Schweitzer-Mauduit International		19,100		1,278
Sensient Technologies		54,030		1,973
Silgan Holdings		20,080		839
Stepan		3,000		271
TPC Group *		5,300		167
Tredegar		16,800		228
Universal Stainless & Alloy *		2,200		89
Wausau Paper		7,600		70
Worthington Industries (A)		15,500		252
				30,208
Telecommunication Services — 0.7%
Atlantic Telegraph-Network		12,400		408
Boingo Wireless *		85,500		819
Cogent Communications Group *		23,475		416
IDT, Cl B		15,800		131
Leap Wireless International * (A)		13,300		77
Neutral Tandem *		127,500		1,730
Premiere Global Services * (A)		25,000		209
tw telecom, Cl A *		21,315		494
USA Mobility		38,800		482
				4,766
Utilities — 2.1%
ALLETE		15,155		592
Avista		15,200		386
Cadiz * (A)		49,600		375
CH Energy Group		900		59
Chesapeake Utilities		11,666		493
Cleco		49,348		2,015
Dynegy, Cl A * (A)		73,800		36
El Paso Electric		8,900		273
Empire District Electric		28,900		579
Great Plains Energy		91,546		1,824
IDACORP		13,177		518
Laclede Group (A)		9,600		366
MGE Energy		4,100		185
Northwest Natural Gas (A)		13,083		606
NorthWestern		20,100		714
Piedmont Natural Gas (A)		20,500		622
PNM Resources		6,500		121
Portland General Electric		103,143		2,594
Southwest Gas		15,841		665
UIL Holdings (A)		20,600		696
UNS Energy		18,500		694
Westar Energy		18,014		516
WGL Holdings		21,169		824
				15,753
Total Common Stock (Cost $744,594) ($ Thousands)				726,399
EXCHANGE TRADED FUNDS — 0.4%
iShares Russell 2000 Growth Index Fund (A)		17,037		1,483
iShares Russell 2000 Index Fund (A)		17,341		1,320
Total Exchange Traded Funds (Cost $2,790) ($ Thousands)				2,803

10 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Small Cap Fund

May 31, 2012

Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
PREFERRED STOCK — 0.0%
Consumer Discretionary — 0.0%
Callaway Golf (E)		1,600	$	154
Energy — 0.0%
GeoMet		10,170		44
Financials — 0.0%
Grubb & Ellis *		7,900		—
Total Preferred Stock (Cost $1,003) ($ Thousands)				198
CONVERTIBLE BONDS — 0.0%
Eddie Bauer Holdings
5.250%, 04/01/14 (F)		2,856		28
Grubb & Ellis
7.950%, 05/01/15 (E) (F)		103		2
Rentech
4.000%, 04/15/13		145		143
Total Convertible Bonds (Cost $646) ($ Thousands)				173
	Number Of Warrants
WARRANTS — 0.0%
Kulim, Expires 10/14/13		16,709		—
Magnum Hunter Resource, Expires 08/29/14 *		17,967		—
Total Warrants (Cost $—) ($ Thousands)				—
AFFILIATED PARTNERSHIP — 26.3%
SEI Liquidity Fund, L.P. 0.170% † ** (G)		203,999,268		197,888
Total Affiliated Partnership (Cost $203,999) ($ Thousands)				197,888
CASH EQUIVALENT — 4.6%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.100% † **		34,817,439		34,817
Total Cash Equivalent (Cost $34,817) ($ Thousands)				34,817
U.S. TREASURY OBLIGATIONS (H) (I) — 0.5%
U.S. Treasury Bills
0.085%, 09/20/12	$	758		758
0.069%, 06/28/12		2,810		2,810
Total U.S. Treasury Obligations (Cost $3,568) ($ Thousands)				3,568
Total Investments — 128.2% (Cost $991,417) ($ Thousands)			$	965,846

A list of the open futures contracts held by the Fund at May 31, 2012, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Depreciation ($ Thousands)
Russell 2000 Index E-MINI		397		Jun-2012	$	(2,010	)

For the year ended May 31, 2012, 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 $753,232 ($ Thousands)

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2012.

† Investment in Affiliated Security (see Note 5).

‡ Real Estate Investment Trust.

(A) This security or a partial position of this security is on loan at May 31, 2012. The total value of securities on loan at May 31, 2012 was $197,048 ($ Thousands).

(B) Securities considered illiquid. The total value of such securities as of May 31, 2012 was $349 ($ Thousands) and represented 0.05% of Net Assets.

(C) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of May 31, 2012 was $349 ($ Thousands) and represented 0.05% of Net Assets.

(D) Securities considered restricted. The total value of such securities as of May 31, 2012 was $187 ($ Thousands) and represented 0.02% of Net Assets.

(E) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees.

(F) Security in default on interest payments.

(G) This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of May 31, 2012 was $197,888 ($ Thousands).

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

(I) The rate reported is the effective yield at time of purchase.

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

NY — New York

The following is a list of the inputs used as of May 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands).

Investments in Securities	Level 1			Level 2		Level 3		Total
Common Stock	$	726,209		$	3	$	187	$	726,399
Exchange Traded Funds		2,803			—		—		2,803
Preferred Stock		—			198		—		198
Convertible Bonds		—			145		28		173
Warrants		—			—		—		—
Affiliated Partnership		—			197,888		—		197,888
Cash Equivalent		34,817			—		—		34,817
U.S. Treasury Obligations		—			3,568		—		3,568
Total Investments in Securities	$	763,829		$	201,802	$	215	$	965,846
Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(2,010	)	$	—	$	—	$	(2,010	)
Total other financial instruments	$	(2,010	)	$	—	$	—	$	(2,010	)

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

11 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Small Cap Fund

May 31, 2012

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands) as of May 31, 2012:

	Investments in Common Stock			Investments in Convertible Bonds
Beginning balance as of June 1, 2011	$	261		$	114
Accrued discounts/premiums		—			—
Realized gain/(loss)		—			152
Change in unrealized appreciation/(depreciation)		(74	)		(86	)
Purchases		—			—
Sales		—			(152	)
Net transfer in and/or out of Level 3		—			—
Ending balance as of May 31, 2012	$	187		$	28
					��
Changes in unrealized gains/(losses)included in earnings related to securities still held at reporting date	$	(74	)	$	(86	)

For the year ended May 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2012, there were no 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 / Annual Report / May 31, 2012

Schedule of Investments

Small Cap II Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 89.4%
Consumer Discretionary — 14.0%
Aaron’s		1,500	$	40
American Eagle Outfitters		6,126		118
American Public Education *		800		23
Ameristar Casinos		5,200		97
ANN *		8,685		234
Beazer Homes USA *		7,300		19
Bebe Stores		3,200		20
Belo, Cl A		18,490		107
Big Lots *		1,500		55
Biglari Holdings *		70		27
BJ’s Restaurants *		5,273		231
Bob Evans Farms		3,400		138
Bridgepoint Education *		900		18
Brinker International		3,500		113
Brown Shoe		3,700		44
Cabela’s *		2,615		92
Callaway Golf		20,222		112
Capella Education *		1,927		59
Career Education *		13,300		87
Cato, Cl A		4,400		126
CEC Entertainment		500		18
Cheesecake Factory *		400		13
Chico’s FAS		3,000		44
Children’s Place Retail Stores *		1,800		83
Christopher & Banks		25,700		31
Cinemark Holdings		500		12
Coldwater Creek *		29,100		24
Columbia Sportswear		1,714		82
Cooper Tire & Rubber		19,953		309
Core-Mark Holding		900		39
Corinthian Colleges *		37,200		102
Cracker Barrel Old Country Store		500		31
Dana Holdings		2,400		32
Denny’s *		24,900		107
Dick’s Sporting Goods		2,960		138
DSW, Cl A		400		24
Entercom Communications, Cl A *		5,400		27
Ethan Allen Interiors		6,831		154
Exide Technologies *		9,300		22
Express *		800		15
Fifth & Pacific *		2,100		25
Finish Line, Cl A		1,400		29
Francesca’s Holdings *		7,947		186
Fred’s, Cl A		5,200		72
Furniture Brands International *		15,300		18
Grand Canyon Education *		9,601		174
Harte-Hanks		900		8
hhgregg *		13,886		149
Hibbett Sports *		2,820		158
Hillenbrand		1,300		24
Hot Topic		11,400		113
International Speedway, Cl A		3,900		94
ITT Educational Services *		700		40
Jack in the Box *		400		10
JAKKS Pacific		5,700		105
Kirkland’s *		3,700		40
La-Z-Boy, Cl Z *		5,900		83
Life Time Fitness *		4,210		180
LKQ *		3,620		132
Matthews International, Cl A		3,033		91

Description	Shares		Market Value ($ Thousands)
McClatchy, Cl A *		16,300	$	36
Men’s Wearhouse		3,871		139
Modine Manufacturing *		11,400		74
Monro Muffler		300		10
National CineMedia		8,520		115
Nutrisystem		800		8
Orient-Express Hotels, Cl A *		14,640		124
Oxford Industries		1,200		55
Pandora Media *		5,290		57
Panera Bread, Cl A *		845		124
Papa John’s International *		1,800		84
Penn National Gaming *		400		18
PF Chang’s China Bistro		1,700		87
Pier 1 Imports		7,066		115
Pool		500		19
PulteGroup *		4,700		44
Red Robin Gourmet Burgers *		4,005		128
Regal Entertainment Group, Cl A		3,900		54
Regis		8,636		158
Rent-A-Center, Cl A		2,200		74
Ryland Group		1,000		22
Scholastic		600		16
School Specialty *		6,311		19
Scientific Games, Cl A *		23,539		201
Select Comfort *		7,962		218
Service International		4,500		52
Shuffle Master *		1,100		17
Shutterfly *		2,279		63
Skechers U.S.A., Cl A *		3,600		61
Skullcandy *		6,510		85
SodaStream International *		2,561		79
Sotheby’s		2,400		73
Stewart Enterprises, Cl A		6,500		40
Strayer Education		200		18
Sturm Ruger		1,400		55
Superior Industries International		4,900		82
Tenneco *		1,880		51
Thor Industries		1,900		58
True Religion Apparel		3,400		100
Ulta Salon Cosmetics & Fragrance		1,110		99
Universal Technical Institute		700		9
Vail Resorts		1,915		83
Valassis Communications *		2,100		42
Valuevision Media, Cl A *		900		2
Vitamin Shoppe *		2,040		101
Warnaco Group *		2,955		132
Wet Seal, Cl A *		39,500		112
Winnebago Industries *		3,400		30
WMS Industries *		8,032		165
Wolverine World Wide		300		13
World Wrestling Entertainment, Cl A		5,100		40
Zumiez *		6,532		240
				8,699
Consumer Staples — 4.6%
Andersons		3,400		148
Casey’s General Stores		4,249		241
Central Garden and Pet *		6,500		59
Central Garden and Pet, Cl A *		5,829		54
Chefs’ Warehouse *		4,590		87
Chiquita Brands International *		8,000		43

1 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Small Cap II Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Coca-Cola Bottling		1,100	$	67
Dean Foods *		6,400		100
Diamond Foods		1,664		35
Dole Food *		12,344		110
Elizabeth Arden *		2,500		86
Fresh Del Monte Produce		8,400		197
Fresh Market *		1,836		107
Harris Teeter Supermarkets		1,500		56
Ingredion		4,798		245
J&J Snack Foods		500		28
Lancaster Colony		2,700		182
Medifast *		2,000		36
Nash Finch		5,000		103
Nu Skin Enterprises, Cl A		500		21
Pantry *		9,485		122
Pilgrim’s Pride *		1,700		14
Prestige Brands Holdings *		11,946		164
Rite Aid *		31,400		41
Sanderson Farms		2,342		129
Snyders-Lance		2,853		74
Spectrum Brands Holdings *		800		28
United Natural Foods *		1,338		68
USANA Health Sciences *		3,600		145
WD-40		1,100		51
				2,841
Energy — 4.7%
Alon USA Energy		2,400		20
ATP Oil & Gas *		3,100		16
Basic Energy Services *		1,700		19
Berry Petroleum, Cl A		6,195		241
Bristow Group		800		32
Callon Petroleum *		7,900		34
Carrizo Oil & Gas *		2,317		51
Cheniere Energy *		2,382		34
Contango Oil & Gas *		200		11
Crosstex Energy		900		12
Dawson Geophysical *		500		11
Delek US Holdings		1,200		19
Dril-Quip *		1,880		114
Energy Partners *		3,400		54
Energy XXI Bermuda		2,894		90
Forum Energy Technologies *		1,832		39
Goodrich Petroleum *		10,635		157
Gulf Island Fabrication		800		20
Harvest Natural Resources *		4,300		24
Helix Energy Solutions Group *		4,600		79
Key Energy Services *		16,911		168
KiOR, Cl A *		4,936		45
Laredo Petroleum Holdings *		1,810		38
Lufkin Industries		472		27
Matador Resources *		7,890		79
Matrix Service *		3,000		31
McDermott International *		6,786		69
Nordic American Tanker		600		8
Oasis Petroleum *		6,473		166
Oceaneering International		2,600		120
Oil States International *		1,640		109
Parker Drilling *		14,100		69
Patriot Coal *		15,300		36
Penn Virginia		13,900		78
Pioneer Drilling *		9,599		71
Rosetta Resources *		1,294		50

Description	Shares		Market Value ($ Thousands)
Ship Finance International		3,300	$	51
SM Energy		1,850		100
Stone Energy *		1,400		33
Superior Energy Services *		4,590		99
Swift Energy *		7,220		144
Teekay Tankers, Cl A		600		3
USEC *		27,200		20
Vaalco Energy *		6,600		56
Western Refining		2,300		45
Willbros Group *		23,000		132
				2,924
Financials — 18.3%
Affiliated Managers Group *		1,330		137
Agree Realty ‡		6,000		126
Argo Group International Holdings		2,800		78
Artio Global Investors, Cl A		7,500		23
Aspen Insurance Holdings		2,300		65
Associated Banc		7,200		91
Associated Estates Realty ‡		7,400		117
Assured Guaranty		4,400		53
Astoria Financial		4,900		44
Bancorpsouth		5,091		69
Bank of Hawaii		800		37
BGC Partners, Cl A		3,700		22
BioMed Realty Trust ‡		3,600		65
BlackRock Kelso Capital		7,200		68
Boston Private Financial Holdings		10,458		94
Brandywine Realty Trust ‡		1,900		21
Brookline Bancorp		400		3
Capitol Federal Financial		8,300		97
CapLease ‡		18,500		73
Cardinal Financial		8,507		97
Cash America International		1,898		84
CBL & Associates Properties ‡		7,016		122
Cedar Realty Trust ‡		2,200		11
Chemical Financial		2,800		57
Citizens Republic Bancorp *		6,100		99
City Holding		2,300		74
City National		1,000		50
CNO Financial Group		5,300		36
Cohen & Steers		300		10
Columbia Banking System		4,700		85
CommonWealth ‡		1,900		34
Community Bank System		1,900		51
Credit Acceptance *		200		17
CubeSmart ‡		1,400		16
CVB Financial		6,681		73
DCT Industrial Trust ‡		400		2
DFC Global *		7,589		125
EastGroup Properties ‡		2,350		116
Education Realty Trust ‡		10,897		120
Employers Holdings		12,779		216
Endurance Specialty Holdings		6,152		240
Entertainment Properties Trust ‡		1,800		74
Equity Lifestyle Properties ‡		200		13
Equity One ‡		8,094		161
First American Financial		4,400		69
First Commonwealth Financial		4,700		29
First Financial Bancorp		3,913		60
First Horizon National		17,145		145
First Industrial Realty Trust ‡ *		1,400		17

2 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Small Cap II Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
First Midwest Bancorp		15,968	$	161
First Potomac Realty Trust ‡		4,500		54
FirstMerit		9,042		144
Fulton Financial		7,000		71
Getty Realty ‡		2,600		42
Government Properties Income Trust ‡		4,000		86
Hancock Holding		5,909		180
Hanover Insurance Group		600		23
Healthcare Realty Trust ‡		100		2
Home Properties ‡		1,200		72
Horace Mann Educators		15,596		267
Hospitality Properties Trust ‡		2,000		47
Iberiabank		4,871		236
Independent Bank		2,300		62
Infinity Property & Casualty		5,036		270
Inland Real Estate ‡		12,100		99
International Bancshares		4,800		89
Investment Technology Group *		10,400		99
Jones Lang LaSalle		1,753		127
Kemper		300		9
Knight Capital Group, Cl A *		6,600		83
Lexington Realty Trust ‡		17,413		145
LTC Properties ‡		3,800		123
Mack-Cali Realty ‡		2,900		79
MCG Capital		19,900		88
Meadowbrook Insurance Group		10,100		90
Mercury General		1,800		78
MFA Mortgage Investments ‡		21,135		161
Mid-America Apartment Communities ‡		5,265		355
Montpelier Re Holdings		3,000		63
National Health Investors ‡		900		43
National Penn Bancshares		23,164		206
National Retail Properties ‡		2,400		64
Navigators Group *		600		29
NBT Bancorp		5,100		101
Nelnet, Cl A		4,500		105
Netspend Holdings *		11,491		85
Northwest Bancshares		6,900		79
Old National Bancorp		4,100		47
Oritani Financial		4,400		60
PacWest Bancorp		10,873		248
Parkway Properties ‡		1,300		14
Pennsylvania Real Estate Investment Trust ‡		4,100		52
Piper Jaffray *		1,200		26
Platinum Underwriters Holdings		5,307		193
Post Properties ‡		800		39
Potlatch ‡		4,800		138
Primerica *		4,300		103
ProAssurance		3,302		291
Prospect Capital		2,900		31
Prosperity Bancshares		900		38
Protective Life		100		3
Provident Financial Services		3,700		52
PS Business Parks ‡		1,500		99
Ramco-Gershenson Properties ‡		8,200		98
Reinsurance Group of America, Cl A		2,548		128
RLI		400		27
Sabra Health Care ‡		6,200		89
Safety Insurance Group		1,400		56

Description	Shares		Market Value ($ Thousands)
Saul Centers ‡		400	$	16
Signature Bank NY *		4,085		251
Solar Capital		2,700		59
Sovran Self Storage ‡		200		10
Stifel Financial *		3,460		110
Strategic Hotels & Resorts ‡ *		3,000		19
Sunstone Hotel Investors ‡ *		4,000		40
Susquehanna Bancshares		3,500		34
SVB Financial Group *		400		24
Symetra Financial		5,800		66
Synovus Financial		25,803		49
Tanger Factory Outlet Centers ‡		3,140		97
TCF Financial		6,832		81
Tower Group		4,800		94
UMB Financial		1,400		68
Umpqua Holdings		6,200		80
Urstadt Biddle Properties, Cl A ‡		2,500		44
Washington Federal		7,700		126
Washington Real Estate Investment Trust ‡		2,900		82
Webster Financial		4,000		81
Weingarten Realty Investors ‡		400		10
Westamerica Bancorporation		1,100		49
Winthrop Realty Trust ‡		4,000		41
World Acceptance *		1,200		82
Zions Bancorporation		12,525		238
				11,386
Health Care — 11.2%
Acadia Healthcare *		4,984		89
Achillion Pharmaceuticals *		5,240		38
Acorda Therapeutics *		300		7
Affymetrix *		24,100		114
Akorn *		21,038		287
Almost Family *		1,600		36
Amarin ADR *		4,250		50
Amedisys *		3,600		39
AMERIGROUP *		2,000		125
Amsurg, Cl A *		5,682		155
Amylin Pharmaceuticals *		4,117		109
Analogic		1,200		79
Ariad Pharmaceuticals *		10,359		172
Arqule *		8,610		51
ArthroCare *		2,000		52
athenahealth *		1,192		87
Auxilium Pharmaceuticals *		3,800		73
AVEO Pharmaceuticals *		2,240		29
BioMimetic Therapeutics *		5,600		14
Catalyst Health Solutions *		1,535		133
Centene *		3,380		122
Cepheid *		3,430		130
Charles River Laboratories International *		1,500		50
Chemed		2,100		117
Community Health Systems *		2,600		57
Computer Programs & Systems		1,700		92
CONMED		3,000		80
Cubist Pharmaceuticals *		200		8
Cyberonics *		2,190		84
DexCom *		6,592		71
Emergent Biosolutions *		900		13
Enzon Pharmaceuticals *		400		3
Gentiva Health Services *		8,500		48

3 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Small Cap II Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Geron *		6,200	$	8
HealthSouth *		10,125		194
Healthways *		6,700		44
Hill-Rom Holdings		2,100		62
Hi-Tech Pharmacal *		1,300		38
HMS Holdings *		6,859		184
ICU Medical *		3,661		188
Invacare		3,700		55
Ironwood Pharmaceuticals, Cl A *		4,870		58
Keryx Biopharmaceuticals *		12,468		22
LifePoint Hospitals *		1,100		40
Magellan Health Services *		300		13
MAP Pharmaceuticals *		8,269		97
Masimo *		3,341		63
MedAssets *		1,800		20
Medicines *		4,300		95
Medicis Pharmaceutical, Cl A		2,100		76
MEDNAX *		2,796		171
Momenta Pharmaceuticals *		6,600		91
Natus Medical *		3,800		43
Neurocrine Biosciences *		10,200		68
NuVasive *		600		12
NxStage Medical *		6,400		97
Onyx Pharmaceuticals *		1,950		89
Optimer Pharmaceuticals *		3,910		58
OraSure Technologies *		4,537		47
Orthofix International *		1,800		68
Pain Therapeutics *		14,500		54
PAREXEL International *		3,738		100
PDL BioPharma		34,500		224
PerkinElmer		4,431		118
Pharmacyclics *		1,530		48
PharMerica *		3,000		30
PSS World Medical *		500		10
Questcor Pharmaceuticals *		3,098		128
Salix Pharmaceuticals *		2,491		129
Sangamo Biosciences *		10,508		47
Sirona Dental Systems *		2,600		111
Skilled Healthcare Group, Cl A *		12,100		67
Spectranetics *		5,981		59
Spectrum Pharmaceuticals *		7,055		82
STERIS		5,045		151
SXC Health Solutions *		1,710		153
Synageva BioPharma *		420		16
Syneron Medical *		5,800		62
Targacept *		11,200		46
Teleflex		2,820		168
Thoratec *		600		18
Threshold Pharmaceuticals *		8,856		65
Trius Therapeutics *		9,506		49
ViroPharma *		1,900		38
Volcano *		7,362		210
WellCare Health Plans *		3,009		170
Zalicus *		11,100		11
				6,979
Industrials — 15.1%
ABM Industries		1,200		26
Acacia Research *		3,348		116
ACCO Brands *		5,000		46
Actuant, Cl A		9,262		242
Acuity Brands		3,032		165
Advisory Board *		2,354		228

Description	Shares		Market Value ($ Thousands)
Air Transport Services Group *		8,500	$	43
Aircastle		13,200		147
Alaska Air Group *		4,200		144
Albany International, Cl A		5,000		91
Allegiant Travel, Cl A *		900		58
Alliant Techsystems		1,900		93
American Science & Engineering		1,000		48
Ametek		870		44
Applied Industrial Technologies		500		19
Arkansas Best		6,400		81
Barnes Group		1,800		42
BE Aerospace *		3,911		169
Belden		5,287		165
Brady, Cl A		5,199		143
Cascade		500		25
Celadon Group		1,200		19
Ceradyne		3,900		98
Chart Industries *		1,917		120
CLARCOR		1,331		65
Comfort Systems USA		6,000		54
Consolidated Graphics *		2,900		85
Con-way		300		11
Corporate Executive Board		400		15
Courier		2,815		31
Curtiss-Wright		1,400		43
Dollar Thrifty Automotive Group *		100		8
Dycom Industries *		7,990		156
Eagle Bulk Shipping *		300		1
EMCOR Group		2,800		77
Encore Capital Group *		700		17
EnerSys *		700		23
EnPro Industries *		2,714		105
Excel Maritime Carriers *		9,900		7
Excel Maritime Carriers, Cl A *		9,800		7
Exponent *		1,800		85
Federal Signal *		2,200		11
FreightCar America		2,100		42
G&K Services, Cl A		8,614		251
Gardner Denver		1,510		82
GenCorp *		12,800		78
General Cable *		4,488		128
Genesee & Wyoming, Cl A *		3,739		187
GeoEye *		2,800		54
Gibraltar Industries *		900		9
Granite Construction		2,300		53
Great Lakes Dredge & Dock		9,300		60
Harsco		1,000		20
Hawaiian Holdings *		1,800		10
Heidrick & Struggles International		3,700		61
Hexcel *		10,757		262
IDEX		7,206		286
Insperity		1,100		28
Interface, Cl A		15,994		203
Interline Brands *		1,000		25
Kadant *		5,423		123
Kaydon		3,169		71
KEYW Holding *		7,710		71
Kforce *		1,500		20
Kirby *		2,790		147
Knoll		400		5
Layne Christensen *		900		17
LB Foster, Cl A		2,200		61
Lincoln Electric Holdings		2,510		119

4 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Small Cap II Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Meritor *		9,200	$	50
Middleby *		1,440		147
Mine Safety Appliances		200		8
Mueller Industries		700		30
Mueller Water Products, Cl A		7,600		27
MYR Group *		2,900		44
NACCO Industries, Cl A		600		63
National Presto Industries		900		60
Navigant Consulting *		7,271		87
Navistar International *		1,056		30
NN *		1,000		8
Old Dominion Freight Line *		1,861		81
Orion Marine Group *		18,248		122
Pacer International *		16,600		94
RBC Bearings *		2,640		122
Republic Airways Holdings *		12,200		66
Resources Connection		3,300		40
Robbins & Myers		2,730		124
Rollins		600		13
RPX *		7,610		101
Sauer-Danfoss		500		18
Simpson Manufacturing		2,670		74
SkyWest		4,900		35
Steelcase, Cl A		9,900		87
Sun Hydraulics		2,300		54
Sykes Enterprises *		3,300		50
TAL International Group		700		23
Teledyne Technologies *		4,315		257
Terex *		4,736		79
Tetra Tech *		9,583		239
Thermon Group Holdings *		3,920		80
Towers Watson, Cl A		2,213		133
Trimas *		4,693		94
Triumph Group		1,866		112
TrueBlue *		12,210		183
United Rentals *		4,530		157
US Airways Group *		7,200		95
US Ecology		5,812		100
USG *		1,200		18
UTi Worldwide		4,363		68
Valmont Industries		1,220		140
Watts Water Technologies, Cl A		4,203		139
Werner Enterprises		1,600		39
WESCO International *		2,155		128
				9,365
Information Technology — 14.5%
ACI Worldwide *		200		8
Acxiom *		5,900		83
Advanced Energy Industries *		3,000		41
Amtech Systems *		2,800		13
ANADIGICS *		7,400		15
Ancestry.com *		1,100		24
Arris Group *		5,000		62
Aruba Networks *		1,730		23
Aspen Technology *		9,990		221
Audience *		2,864		51
AVX		1,600		17
Bazaarvoice *		3,240		56
Black Box		1,900		42
Brightpoint *		3,800		18
BroadSoft *		1,665		45
Cabot Microelectronics		300		9

Description	Shares		Market Value ($ Thousands)
CACI International, Cl A *		3,763	$	161
Cadence Design Systems *		15,340		156
Calix *		5,100		41
Cavium *		4,277		104
Ciena *		6,121		83
Coherent *		3,915		173
CommVault Systems *		200		9
Comtech Telecommunications		3,444		99
Convergys		7,701		107
CoStar Group *		2,750		203
CSG Systems International *		4,100		68
Daktronics		3,400		22
DealerTrack Holdings *		6,370		174
Dice Holdings *		11,882		117
Diebold		3,698		137
Digital River *		9,719		142
Diodes *		3,924		77
DST Systems		600		31
Emulex *		28,130		189
Entegris *		7,660		59
Entropic Communications *		1,600		6
ExactTarget *		1,330		26
ExlService Holdings *		3,011		65
Fairchild Semiconductor International, Cl A *		8,340		110
FEI *		1,827		84
Finisar *		1,971		28
FormFactor *		9,500		57
Fortinet *		4,800		102
Global Cash Access Holdings *		4,900		34
Harmonic *		6,800		30
Heartland Payment Systems		1,600		47
Hittite Microwave *		1,335		66
Immersion *		8,961		50
Informatica *		480		20
Ingram Micro, Cl A *		1,500		27
Insight Enterprises *		5,500		82
Integrated Silicon Solution *		2,000		19
Interactive Intelligence Group *		2,536		65
Intermec *		18,575		110
Internap Network Services *		13,749		98
Jack Henry & Associates		3,023		100
Kemet *		1,100		6
Kenexa *		3,681		107
Kulicke & Soffa Industries *		4,100		43
Lender Processing Services		1,700		39
Limelight Networks *		21,900		60
Loral Space & Communications		500		30
Manhattan Associates *		1,000		47
MAXIMUS		1,100		50
Mellanox Technologies *		2,570		155
Mentor Graphics *		2,600		37
Micros Systems *		2,890		152
MicroStrategy, Cl A *		849		104
Mindspeed Technologies *		17,325		54
Monotype Imaging Holdings *		2,400		33
Move *		2,900		24
Nanometrics *		500		8
NETGEAR *		3,480		109
Netscout Systems *		1,300		26
NIC		3,000		33
Novatel Wireless *		13,600		28
Oclaro *		12,500		32

5 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Small Cap II Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
OCZ Technology Group *		8,158	$	37
Oplink Communications *		5,000		64
Opnet Technologies		4,174		104
OSI Systems *		704		45
Parametric Technology *		19,541		395
Photronics *		2,600		16
Plexus *		700		20
Progress Software *		600		11
QLIK Technologies *		7,949		181
Quantum *		84,725		165
Quest Software *		1,700		42
RealNetworks		8,000		71
RF Micro Devices *		26,251		99
Rogers *		1,729		70
Rudolph Technologies *		5,000		43
Sanmina-SCI *		3,700		26
Semtech *		5,760		139
ServiceSource International *		8,126		97
Sigma Designs *		2,000		12
Smith Micro Software *		8,500		14
SolarWinds *		4,704		216
Sonus Networks *		48,752		118
Sourcefire *		1,425		79
Standard Microsystems *		1,000		37
STEC *		5,400		38
STR Holdings *		16,200		62
Synaptics *		2,100		56
Synchronoss Technologies *		2,550		46
SYNNEX *		400		13
Synopsys *		5,000		148
Take-Two Interactive Software *		600		7
Tech Data *		700		33
TeleCommunication Systems, Cl A *		1,900		3
TeleNav *		6,300		38
TeleTech Holdings *		2,600		39
Tellabs		7,300		27
Teradyne *		7,970		115
Tessera Technologies		700		9
THQ *		52,900		35
TIBCO Software *		3,800		102
TiVo *		6,100		52
TNS *		6,263		112
Tyler Technologies *		200		7
Unisys *		1,700		27
United Online		8,400		33
Veeco Instruments *		3,280		114
Vishay Intertechnology *		12,376		131
WebMD Health, Cl A *		500		11
Wright Express *		584		33
Xyratex		14,299		164
Zebra Technologies, Cl A *		4,986		167
				9,006
Materials — 3.9%
A. Schulman		4,900		105
AK Steel Holding		5,300		32
Boise		3,300		23
Buckeye Technologies		1,600		44
Coeur d’Alene Mines *		400		7
Compass Minerals International		1,501		107
Cytec Industries		2,526		153
Ferro *		10,425		46

Description	Shares		Market Value ($ Thousands)
Georgia Gulf		800	$	24
Glatfelter		3,000		45
Greif, Cl A		2,835		124
Haynes International		400		20
Headwaters *		19,000		88
Horsehead Holding *		3,000		27
Huntsman		7,912		101
Innophos Holdings		2,905		147
Innospec *		1,400		37
Kaiser Aluminum		1,859		89
Koppers Holdings		700		24
Kraton Performance Polymers *		6,436		123
LSB Industries *		1,100		31
Materion		1,900		42
Minerals Technologies		800		51
Neenah Paper		1,100		29
NewMarket		100		21
Noranda Aluminum Holding		8,500		65
OM Group *		3,165		58
Omnova Solutions *		1,300		9
Owens-Illinois *		6,170		120
Packaging Corp of America		5,080		136
PolyOne		7,300		97
RTI International Metals *		7,563		159
Sensient Technologies		2,800		102
Thompson Creek Metals *		6,200		21
TPC Group *		1,700		54
Wausau Paper		5,800		53
				2,414
Telecommunication Services — 0.4%
Cbeyond *		7,200		43
IDT, Cl B		4,500		37
Neutral Tandem *		800		11
NTELOS Holdings		2,100		40
Premiere Global Services *		2,900		24
USA Mobility		5,000		62
				217
Utilities — 2.7%
American States Water		1,700		63
Atlantic Power		2,500		33
Avista		100		3
Cleco		5,627		230
Dynegy, Cl A *		29,800		14
El Paso Electric		1,500		46
Great Plains Energy		17,219		343
IDACORP		2,479		98
Laclede Group		2,600		99
MGE Energy		2,200		99
New Jersey Resources		1,200		50
Northwest Natural Gas		1,000		46
Otter Tail		2,000		42
PNM Resources		5,800		108
Portland General Electric		12,167		306
Vectren		400		12
Westar Energy		3,164		91
				1,683
Total Common Stock (Cost $57,508) ($ Thousands)				55,514
EXCHANGE-TRADED FUNDS — 0.7%
iShares Russell 2000 Growth Index Fund		1,874		163

6 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Small Cap II Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
iShares Russell 2000 Index Fund		3,263	$	249
Total Exchange-Traded Funds (Cost $424) ($ Thousands)				412
CASH EQUIVALENT — 3.0%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.100% †**		1,833,696		1,834
Total Cash Equivalent (Cost $1,834) ($ Thousands)				1,834
U.S. TREASURY OBLIGATION (A)(B) — 0.1%
U.S. Treasury Bill
0.107%, 09/20/12		82		82
Total U.S. Treasury Obligation (Cost $82) ($ Thousands)				82
Total Investments — 93.2% (Cost $59,848) ($ Thousands)			$	57,842

A list of the open futures contracts held by the Fund at May 31, 2012, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Depreciation ($ Thousands)
Russell 2000 Index E-MINI		68		Jun-2012	$	(23	)

For the year ended May 31, 2012, the total amount of all future contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on Net Assets of $62,066 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2012.

† Investment in Affiliated Security (see Note 5).

‡ Real Estate Investment Trust.

(A) The rate reported is the effective yield at time of purchase.

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

ADR — American Depositary Receipt

Cl — Class

NY — New York

The following is a list of the inputs used as of May 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands).

Investments in Securities	Level 1			Level 2		Level 3		Total
Common Stock	$	55,514		$	—	$	—	$	55,514
Exchange-Traded Funds		412			—		—		412
Cash Equivalent		1,834			—		—		1,834
U.S. Treasury Obligation		—			82		—		82
Total Investments in Securities	$	57,760		$	82	$	—	$	57,842
Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(23	)	$	—	$	—	$	(23	)

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

For the year ended May 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2012, there were no 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.

7 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Small/Mid Cap Equity Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 95.4%
Consumer Discretionary — 14.0%
AFC Enterprises *		179,416	$	3,832
American Eagle Outfitters		344,098		6,645
American Greetings, Cl A (A)		33,400		469
American Public Education * (A)		90,681		2,578
ANN * (A)		50,925		1,369
Asbury Automotive Group *		51,426		1,375
Ascena Retail Group *		98,708		1,869
Autoliv (A)		36,100		2,087
Belo, Cl A		204,827		1,184
Big 5 Sporting Goods (A)		11,600		76
Big Lots *		50,600		1,859
BJ’s Restaurants * (A)		33,261		1,456
Bob Evans Farms		41,100		1,666
Brinker International		20,900		675
Brunswick		36,230		793
Buffalo Wild Wings * (A)		75,110		6,393
Cabela’s *		36,400		1,286
Callaway Golf (A)		181,310		1,001
Carmike Cinemas *		18,300		259
Carter’s *		43,989		2,372
Casual Male Retail Group *		139,800		426
Cato, Cl A		59,900		1,719
CEC Entertainment		53,594		1,874
Cheesecake Factory * (A)		98,300		3,189
Chico’s FAS		72,255		1,056
Children’s Place Retail Stores * (A)		111,021		5,104
Columbia Sportswear (A)		19,111		919
Cooper Tire & Rubber		210,357		3,256
Core-Mark Holding		21,539		937
Cracker Barrel Old Country Store		6,800		417
Crocs *		57,450		971
Dana Holdings (A)		261,255		3,480
Deckers Outdoor * (A)		85,412		4,755
Destination Maternity		19,200		374
Dick’s Sporting Goods (A)		133,550		6,210
Dillard’s, Cl A (A)		29,800		2,004
DR Horton (A)		458,362		7,609
DSW, Cl A		136,720		8,159
Ethan Allen Interiors (A)		53,606		1,207
Express *		175,878		3,254
Francesca’s Holdings * (A)		77,800		1,825
GameStop, Cl A (A)		38,200		733
Gannett (A)		186,016		2,429
Gaylord Entertainment * (A)		49,960		1,896
GNC Holdings, Cl A		121,552		4,683
Grand Canyon Education *		109,896		1,991
H&R Block		51,400		785
Hanesbrands *		132,120		3,681
Harley-Davidson		37,322		1,798
Hasbro (A)		71,974		2,549
hhgregg * (A)		72,837		783
Hibbett Sports * (A)		128,506		7,200
HomeAway * (A)		39,500		928
Hot Topic		31,200		309
Ignite Restaurant Group *		16,500		295
International Game Technology		61,337		877
Interpublic Group		172,054		1,788
Jones Group		130,200		1,255
Lamar Advertising, Cl A * (A)		147,050		3,619

Description		Shares		Market Value ($ Thousands)
Leapfrog Enterprises, Cl A *			114,293	$	1,191
Libbey *			103,500		1,498
Life Time Fitness * (A)			107,119		4,591
Lincoln Educational Services			41,174		239
LKQ *			51,024		1,859
Lumber Liquidators Holdings * (A)			36,248		1,054
Maidenform Brands *	��		88,913		1,716
Matthews International, Cl A (A)			75,787		2,283
Mattress Firm Holding * (A)			34,260		1,173
MDC Partners, Cl A			135,700		1,318
Men’s Wearhouse			81,369		2,928
Meredith (A)			40,520		1,199
Meritage Homes * (A)			45,470		1,364
Monro Muffler (A)			40,672		1,374
National CineMedia			391,521		5,281
Newell Rubbermaid			153,223		2,819
Nutrisystem (A)			13,100		134
O’Reilly Automotive *			18,280		1,751
Orient-Express Hotels, Cl A *			162,347		1,370
Pandora Media * (A)			165,623		1,779
Panera Bread, Cl A *			12,010		1,765
Penn National Gaming *			129,905		5,969
Penske Auto Group (A)			7,400		182
PetMed Express (A)			24,700		282
Pier 1 Imports (A)			296,155		4,827
Pinnacle Entertainment *			227,155		2,221
Polaris Industries (A)			30,967		2,353
PulteGroup * (A)			298,750		2,796
RadioShack (A)			65,700		305
Red Robin Gourmet Burgers *			29,030		929
Regis (A)			136,820		2,505
Rent-A-Center, Cl A			93,910		3,162
Royal Caribbean Cruises			68,283		1,608
Ruby Tuesday * (A)			204,087		1,465
Rue21 * (A)			88,515		2,344
Ryland Group (A)			154,721		3,459
Sally Beauty Holdings *			172,900		4,570
Scholastic (A)			45,700		1,231
School Specialty * (A)			70,244		211
Scientific Games, Cl A *			112,733		963
Scripps Networks Interactive, Cl A			36,346		1,991
Select Comfort *			86,012		2,353
Shoe Carnival *			18,450		391
Shuffle Master *			56,375		894
Shutterfly * (A)			133,940		3,693
Sinclair Broadcast Group, Cl A			93,100		758
Skechers U.S.A., Cl A * (A)			23,100		392
Skullcandy * (A)			151,340		1,986
Stage Stores			71,200		1,224
Starwood Hotels & Resorts Worldwide			21,850		1,155
Steiner Leisure *			7,700		353
Steven Madden * (A)			64,747		2,625
Strayer Education (A)			20,450		1,837
Tempur-Pedic International * (A)			37,257		1,722
Tenneco *			90,015		2,444
Tesla Motors * (A)			46,800		1,381
TripAdvisor * (A)			70,104		3,006
True Religion Apparel			14,100		414
TRW Automotive Holdings *			49,200		1,898
Tumi Holdings * (A)			34,835		601

1 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Small/Mid Cap Equity Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Ulta Salon Cosmetics & Fragrance		15,670	$	1,400
Urban Outfitters *		124,153		3,473
Vera Bradley * (A)		18,525		405
Vitamin Shoppe *		31,078		1,539
Warnaco Group *		34,820		1,550
Wet Seal, Cl A *		52,400		149
Whirlpool		37,300		2,308
Whistler Blackcomb Holdings		25,300		264
Winnebago Industries *		15,700		141
WMS Industries * (A)		217,469		4,465
Wolverine World Wide		113,073		4,807
Wyndham Worldwide (A)		116,223		5,788
Zumiez * (A)		52,320		1,925
				274,988
Consumer Staples — 2.8%
B&G Foods, Cl A (A)		90,550		2,181
Casey’s General Stores (A)		155,177		8,788
Central Garden and Pet *		72,089		650
Central Garden and Pet, Cl A *		64,660		596
Chefs’ Warehouse * (A)		64,635		1,231
Chiquita Brands International *		156,300		847
Coca-Cola Enterprises		60,300		1,650
Constellation Brands, Cl A *		109,754		2,117
Cosan Industria e Comercio (Brazil)		17,700		259
Darling International *		19,800		277
Dole Food * (A)		178,012		1,581
Elizabeth Arden * (A)		77,170		2,659
Fresh Del Monte Produce		57,800		1,357
Hain Celestial Group *		59,771		3,317
Ingredion		53,248		2,720
J&J Snack Foods		18,700		1,030
JM Smucker		22,855		1,750
Kroger		105,362		2,319
Medifast *		61,850		1,117
Molson Coors Brewing, Cl B		60,801		2,338
Omega Protein *		145,600		971
Pantry *		97,514		1,259
Prestige Brands Holdings *		78,253		1,074
Safeway (A)		108,400		2,062
Sanderson Farms (A)		25,992		1,428
Smithfield Foods *		65,800		1,294
Snyders-Lance (A)		44,052		1,136
Spartan Stores (A)		85,498		1,432
Spectrum Brands Holdings *		4,600		159
SUPERVALU (A)		94,000		425
Sysco (A)		77,276		2,157
TreeHouse Foods *		37,472		2,136
USANA Health Sciences * (A)		31,200		1,261
Weis Markets		17,700		772
				56,350
Energy — 5.5%
Alberta Oilsands *		1,600,500		247
Approach Resources *		14,400		404
Atwood Oceanics * (A)		74,280		2,838
Berry Petroleum, Cl A (A)		152,815		5,946
Bill Barrett * (A)		22,670		438
Bonanza Creek Energy *		32,042		547
BPZ Resources * (A)		126,400		391
C&J Energy Services * (A)		25,100		449
CARBO Ceramics (A)		24,414		1,986
Carrizo Oil & Gas * (A)		95,925		2,121
Comstock Resources * (A)		237,209		3,546

Description	Shares		Market Value ($ Thousands)
Core Laboratories		17,584	$	2,249
Dresser-Rand Group *		132,278		5,804
Dril-Quip * (A)		94,930		5,752
Energen		40,800		1,801
Energy Partners *		46,000		726
EQT		27,181		1,261
Forum Energy Technologies * (A)		25,699		552
GeoMet * (A)		9,300		3
Goodrich Petroleum * (A)		282,406		4,171
Gulfmark Offshore, Cl A *		61,711		2,202
Gulfport Energy *		89,745		1,658
Heckmann * (A)		124,800		422
Karoon Gas Australia *		57,406		270
Key Energy Services * (A)		299,948		2,973
Kinder Morgan Escrow *		58,118		—
Kodiak Oil & Gas, Cl rad Korean * (A)		233,970		1,898
Laredo Petroleum Holdings *		25,360		534
Magnum Hunter Resources * (A)		226,111		911
Matador Resources * (A)		110,950		1,115
Matrix Service *		23,600		245
McDermott International *		170,680		1,733
Midstates Petroleum *		26,600		381
Murphy Oil		23,746		1,107
Nabors Industries *		77,897		1,056
Newfield Exploration *		60,147		1,802
Newpark Resources * (A)		198,805		1,151
Northern Oil And Gas * (A)		36,580		656
Oasis Petroleum * (A)		55,730		1,432
Oceaneering International		36,640		1,694
Oil States International *		23,100		1,538
Oilsands Quest * (A) (B) (C)		2,380,424		426
Parker Drilling *		176,000		861
Petroleum Development *		31,150		774
Pioneer Natural Resources (A)		24,337		2,353
Porto Energy *		939,500		82
Quicksilver Resources * (A)		443,622		1,983
Range Resources		29,749		1,709
Rex Energy * (A)		225,830		2,272
Rosetta Resources * (A)		65,127		2,520
Scorpio Tankers * (A)		360,822		2,017
SM Energy		25,990		1,406
StealthGas *		45,000		250
Superior Energy Services *		158,859		3,438
Swift Energy * (A)		97,388		1,939
Synergy Resources *		73,600		199
Targa Resources		52,233		2,316
Tesco * (A)		128,074		1,540
Tesoro *		80,900		1,790
Tidewater (A)		47,700		2,150
Tourmaline Oil *		81,010		1,857
Triangle Petroleum * (A)		55,000		280
Ultra Petroleum * (A)		48,580		900
USEC * (A)		61,099		44
W&T Offshore (A)		84,200		1,294
Warren Resources *		159,000		342
Western Refining (A)		113,200		2,189
Whiting Petroleum *		74,500		3,219
World Fuel Services (A)		97,796		3,667
				109,827
Financials — 20.3%
1st Source		800		17

2 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Small/Mid Cap Equity Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Affiliated Managers Group *		18,830	$	1,941
Allied World Assurance Holdings		19,500		1,500
Allstate		93,374		3,169
Alterra Capital Holdings (A)		90,780		2,016
American Campus Communities ‡ (A)		4,900		215
American Capital Mortgage Investment ‡		7,100		169
American Equity Investment Life Holding (A)		47,600		504
American Financial Group		165,147		6,423
Ameriprise Financial		80,171		3,842
Anworth Mortgage Asset ‡		46,100		310
Apartment Investment & Management, Cl A ‡		116,908		3,165
Arch Capital Group *		107,583		4,113
Ares Capital		8,677		131
Arthur J Gallagher		56,025		1,946
Aspen Insurance Holdings (A)		42,000		1,187
Associated Banc		349,600		4,426
AvalonBay Communities ‡ (A)		24,663		3,447
Banco Latinoamericano de Comercio Exterior, Cl E		80,200		1,564
Bancorpsouth (A)		314,082		4,237
Bank of the Ozarks (A)		33,590		975
BankUnited		102,770		2,424
Berkshire Hills Bancorp		46,370		1,012
BGC Partners, Cl A (A)		64,900		387
BioMed Realty Trust ‡ (A)		137,165		2,476
Boston Private Financial Holdings (A)		196,703		1,774
Boston Properties ‡		24,900		2,563
Brandywine Realty Trust ‡ (A)		242,955		2,728
Brasil Brokers Participacoes		98,800		289
BRE Properties ‡		48,688		2,397
Brown & Brown		72,961		1,868
Campus Crest Communities ‡ (A)		86,500		932
CapLease ‡		210,800		828
Capstead Mortgage ‡		23,500		324
Cardinal Financial		94,225		1,074
CBL & Associates Properties ‡ (A)		205,761		3,593
Central Pacific Financial *		26,900		345
Chatham Lodging Trust ‡		13,800		179
Chesapeake Lodging Trust ‡		46,205		834
Chimera Investment ‡ (A)		245,200		686
CNA Financial		54,600		1,553
CNO Financial Group (A)		356,632		2,446
CoBiz Financial		125,040		760
Colonial Properties Trust ‡		79,600		1,688
Comerica		65,933		2,006
Commerce Bancshares		1		—
CommonWealth ‡		67,750		1,196
Community Trust Bancorp		15,687		518
Corestite Realty ‡ (A)		119,420		2,848
Corporate Office Properties Trust ‡ (A)		57,400		1,263
Credit Acceptance *		13,347		1,128
CreXus Investment ‡		35,700		350
CubeSmart ‡		236,775		2,678
CVB Financial (A)		121,908		1,328
CYS Investments ‡ (A)		29,800		408
DDR ‡ (A)		170,135		2,363

Description	Shares		Market Value ($ Thousands)
DFC Global * (A)		26,300	$	434
DiamondRock Hospitality ‡		322,129		3,202
Digital Realty Trust ‡ (A)		35,955		2,544
Dime Community Bancshares		50,900		665
Eagle Bancorp * (A)		68,959		1,106
East West Bancorp		140,180		3,139
Eaton Vance (A)		75,326		1,833
Education Realty Trust ‡		232,427		2,561
Employers Holdings (A)		142,161		2,403
Endurance Specialty Holdings		113,396		4,429
Epoch Holding		84,477		1,941
Equity One ‡		89,819		1,784
Equity Residential ‡		89,000		5,438
Essex Property Trust ‡		7,528		1,133
EverBank Financial *		38,900		432
Everest Re Group		22,700		2,318
Excel Trust ‡ (A)		92,176		1,077
Extra Space Storage ‡		47,350		1,343
FBR Capital Markets * (A)		215,100		572
Federal Realty Investment Trust ‡		24,050		2,364
Fidelity National Financial, Cl A		94,355		1,778
Fifth Street Finance (A)		40,700		387
Fifth Third Bancorp		206,296		2,754
Financial Engines * (A)		133,801		2,807
First Financial Bancorp (A)		163,257		2,508
First Horizon National (A)		550,599		4,669
First Midwest Bancorp (A)		215,363		2,173
First Niagara Financial Group		218,560		1,764
FirstMerit (A)		93,648		1,489
Flushing Financial		97,100		1,253
Forest City Enterprises, Cl A * (A)		79,280		1,061
Franklin Financial *		800		12
Gain Capital Holdings (A)		56,200		277
General Growth Properties ‡ (A)		140,420		2,352
GFI Group		157,800		429
Glacier Bancorp (A)		128,581		1,845
Gladstone Commercial ‡		23,300		369
Global Indemnity, Cl A *		28,200		589
Government Properties Income Trust ‡		18,100		387
Great American Group *		91,400		17
Hancock Holding (A)		101,610		3,098
Hanover Insurance Group		87,271		3,404
HCP ‡		97,350		3,976
Health Care ‡		50,600		2,807
Highwoods Properties ‡ (A)		55,360		1,786
Home Bancshares		22,700		639
Home Loan Servicing Solutions (A)		22,300		298
HomeStreet *		17,700		584
Horace Mann Educators		157,655		2,697
Hospitality Properties Trust ‡ (A)		109,600		2,577
Host Hotels & Resorts ‡ (A)		331,628		5,061
Hudson City Bancorp		173,707		1,077
Hudson Valley Holding		24,780		414
Huntington Bancshares		866,089		5,664
Iberiabank (A)		61,013		2,959
Infinity Property & Casualty		35,957		1,929
International Bancshares (A)		47,046		869
Investment Technology Group *		288,990		2,740
Janus Capital Group (A)		174,097		1,271
Jones Lang LaSalle		31,999		2,320
KBW		86,325		1,399

3 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Small/Mid Cap Equity Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Kemper		18,900	$	554
Kennedy-Wilson Holdings (A)		76,900		1,003
Keycorp		255,123		1,913
Knight Capital Group, Cl A * (A)		304,091		3,822
LaSalle Hotel Properties ‡ (A)		48,745		1,344
Lexington Realty Trust ‡ (A)		653,766		5,433
Liberty Property Trust ‡		75,434		2,615
LPL Investment Holdings		86,046		2,786
Macerich ‡		34,648		1,977
Mack-Cali Realty ‡		98,100		2,672
Maiden Holdings		112,800		918
Manning & Napier, Cl A		35,500		493
MarketAxess Holdings		73,532		2,374
MB Financial		20,070		408
Meadowbrook Insurance Group		189,900		1,688
Medical Properties Trust ‡		243,180		2,189
MFA Mortgage Investments ‡		445,334		3,393
Mid-America Apartment Communities ‡		52,758		3,555
Montpelier Re Holdings		75,900		1,585
Moody’s (A)		112,450		4,115
MSCI, Cl A *		131,691		4,452
National Financial Partners * (A)		74,580		992
National Penn Bancshares (A)		420,569		3,747
National Retail Properties ‡ (A)		46,910		1,243
Nelnet, Cl A		101,000		2,357
Netspend Holdings * (A)		59,960		444
NorthStar Realty Finance ‡ (A)		430,410		2,229
Ocwen Financial *		68,100		1,092
Old National Bancorp		123,235		1,428
OmniAmerican Bancorp *		17,400		344
Oriental Financial Group		50,000		523
PacWest Bancorp (A)		118,430		2,701
PartnerRe		45,711		3,240
Pebblebrook Hotel Trust ‡		94,710		2,079
Pennsylvania Real Estate Investment Trust ‡		44,700		567
Platinum Underwriters Holdings		53,326		1,936
PrivateBancorp, Cl A		82,670		1,218
ProAssurance		66,767		5,885
ProLogis ‡		142,809		4,567
Prosperity Bancshares (A)		30,465		1,301
Public Storage ‡		35,228		4,702
Radian Group (A)		34,500		85
RAIT Financial Trust ‡ (A)		22,999		94
Regency Centers ‡		51,250		2,245
Regions Financial		213,300		1,342
Reinsurance Group of America, Cl A		88,046		4,417
Republic Bancorp, Cl A (A)		37,026		781
Safeguard Scientifics *		88,350		1,339
Sandy Spring Bancorp		59,762		1,063
SCBT Financial		8,600		291
Signature Bank NY * (A)		43,099		2,647
Simon Property Group ‡		49,879		7,358
SL Green Realty ‡ (A)		37,350		2,802
Southside Bancshares (A)		37,926		796
STAG Industrial ‡		21,000		289
StanCorp Financial Group (A)		36,700		1,278
Starwood Property Trust ‡		17,100		343
Stifel Financial *		48,770		1,550
Strategic Hotels & Resorts ‡ * (A)		33,970		212

Description	Shares			Market Value ($ Thousands)
Summit Hotel Properties ‡		48,400		$	386
Sunstone Hotel Investors ‡ * (A)		269,142			2,694
SunTrust Banks		87,950			2,016
Susquehanna Bancshares (A)		399,327			3,846
SVB Financial Group * (A)		38,864			2,319
Synovus Financial (A)		1,544,852			2,951
TCF Financial (A)		189,856			2,238
THL Credit		29,500			374
Titanium Asset * (B) (C) (D)		105,000			86
Titanium Asset Management *		42,000			14
Tower Group (A)		45,400			891
Two Harbors Investment ‡		43,600			451
UDR ‡		188,585			4,884
United Financial Bancorp		15,000			207
Unum Group (A)		232,463			4,638
Uranium Participation *		61,900			313
Validus Holdings		56,800			1,782
Value Creation * (B) (C) (D)		85,600			62
Ventas ‡ (A)		65,700			3,864
ViewPoint Financial Group		44,300			675
Vornado Realty Trust ‡		25,400	��		2,081
Waddell & Reed Financial, Cl A (A)		134,935			3,874
Webster Financial		64,090			1,299
WesBanco		53,800			1,094
West Coast Bancorp *		30,711			577
Western Alliance Bancorp *		664,923			5,798
Willis Group Holdings		66,298			2,338
Winthrop Realty Trust ‡		91,000			936
Wintrust Financial (A)		107,536			3,657
WisdomTree Investments *		294,100			1,965
WR Berkley		69,650			2,669
WSFS Financial		14,300			532
Zions Bancorporation (A)		483,287			9,197
					403,274
Health Care — 11.8%
Abiomed * (A)		108,330			2,202
Accuray * (A)		19,500			122
Achillion Pharmaceuticals * (A)		73,452			527
Akorn * (A)		166,874			2,278
Alere * (A)		46,700			858
Algeta *		37,054			885
Align Technology * (A)		63,249			1,975
Alkermes *		54,822			856
Amarin ADR * (A)		176,770			2,095
AMERIGROUP * (A)		28,112			1,754
AmerisourceBergen		40,935			1,514
Amsurg, Cl A *		74,664			2,040
Amylin Pharmaceuticals * (A)		69,670			1,847
Arena Pharmaceuticals * (A)		208,945			1,398
Ariad Pharmaceuticals * (A)		231,284			3,832
Arqule *		120,900			718
athenahealth * (A)		32,046			2,329
AVEO Pharmaceuticals * (A)		31,570			402
BioMarin Pharmaceutical * (A)		35,257			1,257
CareFusion *		96,530			2,340
Catalyst Health Solutions *		23,970			2,082
Centene *		47,960			1,733
Cepheid *		48,270			1,826
CONMED		38,385			1,028
Cooper (A)		75,897			6,465
Coventry Health Care		33,800			1,028
Cross Country Healthcare *		16,000			73
Cubist Pharmaceuticals * (A)		21,687			870

4 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Small/Mid Cap Equity Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Cyberonics *		122,050	$	4,705
Emergent Biosolutions *		128,640		1,855
Endo Health Solutions * (A)		37,600		1,223
Endologix * (A)		114,274		1,553
Ensign Group (A)		42,600		1,082
eResearch Technology *		62,100		491
Gen-Probe * (A)		119,625		9,679
Greatbatch *		62,055		1,288
Hanger Orthopedic Group *		51,150		1,103
Health Management Associates, Cl A *		227,538		1,459
Health Net *		46,940		1,203
HealthSouth *		382,552		7,322
HeartWare International * (A)		57,705		4,695
Henry Schein *		50,100		3,723
Hill-Rom Holdings		27,800		818
HMS Holdings * (A)		49,780		1,334
Humana		24,900		1,902
ICU Medical *		7,400		381
Idexx Laboratories * (A)		17,877		1,517
Immunogen * (A)		194,614		2,727
Impax Laboratories *		50,661		1,051
Incyte * (A)		183,439		3,909
Insulet * (A)		174,200		3,209
Invacare (A)		43,477		647
IPC The Hospitalist * (A)		25,800		903
Ironwood Pharmaceuticals, Cl A * (A)		204,110		2,433
Jazz Pharmaceuticals *		73,450		3,173
Kindred Healthcare * (A)		113,600		939
LHC Group *		19,200		322
LifePoint Hospitals * (A)		71,499		2,633
Magellan Health Services *		47,293		1,994
MAP Pharmaceuticals * (A)		53,860		634
Masimo *		168,393		3,168
Medical Action Industries *		82,000		353
Medicines *		59,500		1,308
Medicis Pharmaceutical, Cl A (A)		55,280		1,995
MEDNAX *		50,090		3,056
Merit Medical Systems *		33,000		429
Metropolitan Health Networks *		162,000		1,409
Mettler Toledo International *		7,876		1,230
MWI Veterinary Supply *		29,100		2,705
Myriad Genetics *		70,100		1,692
NPS Pharmaceuticals *		170,280		1,343
NxStage Medical * (A)		89,830		1,365
Omnicare		83,930		2,646
Onyx Pharmaceuticals *		66,960		3,065
Optimer Pharmaceuticals * (A)		133,610		1,996
OraSure Technologies *		92,025		952
Owens & Minor		22,531		641
Par Pharmaceutical *		58,300		2,089
PAREXEL International *		236,769		6,336
Patterson		53,661		1,784
PDL BioPharma (A)		117,800		765
PerkinElmer		49,178		1,308
Pharmacyclics * (A)		66,015		2,074
PharMerica *		51,500		511
Providence Service *		31,500		419
PSS World Medical * (A)		141,306		2,859
Quest Diagnostics		39,426		2,243
Questcor Pharmaceuticals * (A)		188,301		7,796
Quidel * (A)		80,153		1,260
ResMed *		113,900		3,529

Description	Shares		Market Value ($ Thousands)
Rigel Pharmaceuticals * (A)		40,800	$	303
Salix Pharmaceuticals * (A)		148,560		7,697
Sciclone Pharmaceuticals * (A)		183,521		1,156
Seattle Genetics * (A)		174,950		3,408
Sirona Dental Systems *		36,519		1,562
Skilled Healthcare Group, Cl A *		98,400		542
STERIS (A)		98,109		2,930
SXC Health Solutions * (A)		76,808		6,890
Symmetry Medical *		77,200		598
Synageva BioPharma *		5,645		220
Techne (A)		32,600		2,212
Teleflex (A)		71,724		4,260
Trinity Biotech ADR		13,800		159
United Therapeutics *		31,500		1,394
Varian Medical Systems * (A)		59,363		3,482
Vivus * (A)		18,250		452
Volcano * (A)		254,091		7,264
WellCare Health Plans *		114,945		6,491
				231,587
Industrials — 15.9%
AAR (A)		47,800		576
ABM Industries		21,000		451
Acacia Research *		58,800		2,044
ACCO Brands *		18,200		166
Actuant, Cl A		165,529		4,332
Acuity Brands		17,790		969
Advisory Board * (A)		53,830		5,214
Aegean Marine Petroleum Network (A)		63,900		310
AGCO *		53,100		2,135
Air Transport Services Group *		85,700		435
Aircastle		119,900		1,332
Alaska Air Group *		8,600		295
Albany International, Cl A		37,800		689
Altra Holdings *		20,700		347
Amerco		15,600		1,312
Ametek		12,260		622
Applied Industrial Technologies		7,700		290
BE Aerospace *		206,082		8,927
Belden		86,328		2,698
Brady, Cl A		57,979		1,591
Brink’s		47,800		1,088
CAI International *		21,300		395
Carlisle		6,700		348
Cascade		10,046		502
Celadon Group		67,743		1,091
Chart Industries * (A)		15,650		978
Cintas		62,400		2,303
Colfax *		72,210		2,046
Columbus McKinnon *		33,300		514
Consolidated Graphics *		62,001		1,809
Con-way		39,080		1,381
Copa Holdings, Cl A		12,373		1,027
Courier		31,216		341
Crane		86,698		3,285
Cubic		23,371		1,014
Curtiss-Wright		29,615		900
Deluxe (A)		199,775		4,619
DigitalGlobe *		161,550		2,611
Dover		37,287		2,109
DXP Enterprises *		28,830		1,355
Dycom Industries *		218,721		4,282
Dynamic Materials		75,819		1,280
EMCOR Group		148,618		4,065

5 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Small/Mid Cap Equity Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Encore Capital Group *		83,040	$	2,013
EnPro Industries *		30,122		1,160
ESCO Technologies		39,386		1,375
Esterline Technologies *		64,105		4,140
Flow International *		86,400		255
Flowserve (A)		17,562		1,805
Fluor		36,915		1,731
FTI Consulting * (A)		22,800		720
G&K Services, Cl A		103,562		3,022
Gardner Denver		65,725		3,554
General Cable *		45,568		1,297
Genesee & Wyoming, Cl A *		88,880		4,454
Geo Group *		50,300		1,095
Global Power Equipment Group (A)		31,000		571
GrafTech International *		242,795		2,591
Greenbrier *		74,075		1,025
H&E Equipment Services * (A)		20,700		328
Hawaiian Holdings * (A)		125,689		727
Heico, Cl A		142,705		4,781
Hexcel *		159,262		3,883
ICF International *		28,700		646
IDEX (A)		90,584		3,599
Interface, Cl A		285,305		3,620
Iron Mountain		88,511		2,509
ITT		11,860		244
John Bean Technologies		71,960		1,002
Kadant *		80,422		1,826
Kansas City Southern		59,800		3,946
Kaydon (A)		35,273		787
KBR		116,800		2,975
Kennametal		80,478		2,797
KEYW Holding * (A)		109,740		1,012
Kirby *		54,675		2,886
L-3 Communications Holdings, Cl 3		37,800		2,578
Landstar System		176,658		9,310
Lincoln Electric Holdings		39,100		1,860
Lydall *		48,100		599
Manitowoc		45,500		473
Michael Baker *		17,600		406
Middleby *		28,537		2,919
Mobile Mini * (A)		112,830		1,550
Moog, Cl A *		105,775		4,022
MSC Industrial Direct, Cl A		112,545		8,071
Navigant Consulting *		43,500		521
Navistar International *		25,600		715
NN *		85,100		657
Nordson		100,929		5,411
Northwest Pipe *		32,460		661
Old Dominion Freight Line * (A)		191,937		8,361
Orion Marine Group *		200,123		1,337
Oshkosh Truck *		51,500		1,054
Owens Corning * (A)		70,307		2,170
Polypore International * (A)		283,865		10,500
Quality Distribution *		33,200		353
Quanex Building Products (A)		62,745		1,036
Rand Logistics * (A)		19,600		147
RBC Bearings * (A)		37,193		1,726
Republic Services, Cl A		113,784		2,999
Resources Connection		191,563		2,299
Rexnord *		118,900		2,354
Ritchie Bros Auctioneers (A)		117,963		2,338
Robbins & Myers		129,504		5,904
Roper Industries (A)		79,592		8,056

Description	Shares		Market Value ($ Thousands)
RPX *		106,860	$	1,425
Rush Enterprises, Cl B *		19,457		265
Ryder System		17,100		739
Sauer-Danfoss		26,700		965
SeaCube Container Leasing		22,400		408
Sensata Technologies Holding *		143,786		4,416
Simpson Manufacturing		41,640		1,157
SkyWest		49,700		350
Spirit Aerosystems Holdings, Cl A *		216,094		4,985
Spirit Airlines *		224,410		4,625
Standard Parking *		76,240		1,449
Standex International		5,300		216
Stanley Black & Decker		36,906		2,445
Swift Transporation, Cl A *		117,375		1,245
Sykes Enterprises *		141,067		2,123
TAL International Group (A)		71,205		2,329
Teledyne Technologies *		75,996		4,528
Terex * (A)		48,148		801
Tetra Tech * (A)		161,046		4,025
Textainer Group Holdings (A)		10,700		352
Thermon Group Holdings * (A)		55,277		1,123
Timken		18,800		897
Titan Machinery * (A)		33,550		1,035
TMS International, Cl A *		61,400		682
Towers Watson, Cl A		56,315		3,394
TransDigm Group *		45,822		5,636
Trex * (A)		78,163		2,274
Trimas *		42,216		845
Trinity Industries		5,200		128
Triumph Group (A)		20,760		1,242
TrueBlue *		150,530		2,250
Tutor Perini *		125,800		1,414
United Rentals * (A)		129,377		4,470
United Stationers (A)		13,600		343
URS		64,100		2,318
USA Truck *		18,200		106
Valmont Industries (A)		17,212		1,971
Vitran, Cl A *		110,885		776
Wabash National * (A)		529,942		3,688
WABCO Holdings *		34,050		1,762
Wabtec		33,827		2,456
Watsco		26,303		1,936
Watts Water Technologies, Cl A (A)		46,648		1,542
WESCO International * (A)		80,787		4,806
Westport Innovations * (A)		34,863		851
				319,634
Information Technology — 16.6%
Acme Packet * (A)		115,450		2,641
Adobe Systems *		75,381		2,341
ADTRAN		43,128		1,261
Aeroflex Holding * (A)		20,800		135
Akamai Technologies *		126,050		3,698
Alliance Data Systems * (A)		30,250		3,812
Amdocs		44,400		1,276
Analog Devices (A)		52,444		1,907
Ansys *		63,150		3,907
Arris Group * (A)		186,126		2,295
Aruba Networks * (A)		134,640		1,769
Aspen Technology *		115,293		2,548
Atmel * (A)		336,209		2,353
Audience *		40,346		715
Avnet *		34,300		1,046

6 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Small/Mid Cap Equity Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Bazaarvoice * (A)		45,622	$	789
Benchmark Electronics *		228,051		3,088
Black Box (A)		42,000		940
Blackbaud		109,984		2,843
Bottomline Technologies *		60,290		1,078
Broadridge Financial Solutions		105,757		2,140
BroadSoft * (A)		179,678		4,907
CACI International, Cl A * (A)		48,739		2,086
Cadence Design Systems * (A)		599,660		6,117
Cardtronics *		159,700		4,475
Cavium * (A)		89,875		2,176
Ciber *		256,000		917
Ciena * (A)		186,177		2,523
Coherent * (A)		91,666		4,046
Computer Sciences		33,500		892
Computer Task Group *		34,300		417
Compuware *		86,035		774
Comtech Telecommunications (A)		50,543		1,460
Comverse Technology *		52,300		320
Concur Technologies * (A)		48,370		2,992
Constant Contact * (A)		92,354		1,870
Convergys (A)		158,089		2,205
CoStar Group * (A)		103,975		7,683
CTS		60,100		564
Cypress Semiconductor		181,350		2,392
DealerTrack Holdings *		168,880		4,611
Diebold		41,042		1,519
Digi International *		91,000		823
Digital River *		120,848		1,764
Diodes * (A)		19,100		374
DTS * (A)		98,891		2,732
EarthLink		244,390		1,972
Emulex *		235,902		1,585
Entegris *		90,660		699
Euronet Worldwide *		171,565		3,086
ExactTarget *		52,578		1,042
Exar *		45,600		358
Extreme Networks *		111,000		414
F5 Networks *		30,818		3,189
Fabrinet *		182,895		2,132
Factset Research Systems (A)		12,463		1,314
Fairchild Semiconductor International, Cl A *		392,865		5,190
FARO Technologies *		21,125		974
Fidelity National Information Services		78,668		2,579
Finisar * (A)		177,430		2,546
Fortinet *		67,852		1,442
Gartner *		70,828		2,881
Global Payments		79,786		3,389
GT Advanced Technologies * (A)		154,200		648
Guidewire Software * (A)		24,570		637
Harris (A)		61,400		2,442
Higher One Holdings * (A)		85,600		1,088
IAC		75,100		3,374
Imation *		41,300		234
Imperva *		55,040		1,415
Informatica *		6,830		283
Ingram Micro, Cl A *		190,404		3,395
Inphi * (A)		179,575		1,492
Insight Enterprises *		72,500		1,080
Integrated Device Technology *		542,636		2,979
Intermec *		171,876		1,016

Description	Shares		Market Value ($ Thousands)
International Rectifier *		106,527	$	2,007
Intersil, Cl A		252,160		2,660
IPG Photonics * (A)		100,160		4,287
Ixia * (A)		188,350		1,993
j2 Global (A)		33,685		815
Jabil Circuit		153,590		2,938
Jack Henry & Associates		84,784		2,799
JDA Software Group *		14,900		412
Jive Software * (A)		90,760		1,520
Juniper Networks *		117,410		2,019
Kla-Tencor		20,700		949
Lattice Semiconductor *		410,824		1,877
Lender Processing Services		119,000		2,747
Lexmark International, Cl A (A)		49,300		1,233
LivePerson * (A)		185,984		3,210
LSI *		115,300		767
Measurement Specialties *		78,269		2,557
Mellanox Technologies *		36,221		2,190
Micros Systems * (A)		40,744		2,150
Microsemi *		17,100		302
MicroStrategy, Cl A *		18,430		2,248
Mitek Systems * (A)		139,662		296
Mitel Networks *		76,030		301
Molex (A)		61,154		1,411
Monolithic Power Systems *		65,573		1,232
NETGEAR *		61,960		1,945
Netscout Systems *		100,100		2,007
NXP Semiconductor *		163,800		3,458
ON Semiconductor *		272,818		1,839
Parametric Technology * (A)		324,702		6,559
Park Electrochemical		15,600		366
Parkervision * (A)		182,285		344
Pegasystems (A)		62,761		1,945
Plantronics		10,900		328
Plexus *		71,840		2,011
PMC - Sierra *		45,800		292
Power Integrations (A)		114,400		4,669
Progress Software *		24,475		470
Pulse Electronics (A)		43,000		84
QLIK Technologies *		123,390		2,805
RealD * (A)		226,673		2,713
RealPage * (A)		171,273		3,057
RF Micro Devices *		291,331		1,098
Rosetta Stone * (A)		71,298		984
Saba Software *		81,200		678
SAIC (A)		116,700		1,297
Sapient (A)		367,398		4,041
Seachange International *		44,900		363
Seagate Technology		92,200		2,160
Semtech *		80,770		1,946
ServiceSource International * (A)		199,144		2,390
Silicon Laboratories *		24,100		832
Skyworks Solutions *		131,820		3,541
SolarWinds * (A)		132,141		6,060
Solera Holdings		159,420		7,078
Splunk * (A)		21,000		684
SS&C Technologies Holdings *		177,078		4,176
Sycamore Networks *		177,800		2,358
Symantec *		162,853		2,417
Synchronoss Technologies * (A)		35,890		643
Synopsys *		171,723		5,074
Syntel		45,460		2,541
Tangoe *		74,430		1,437
Tech Data *		23,700		1,128

7 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Small/Mid Cap Equity Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Teradyne *		250,445	$	3,619
TIBCO Software * (A)		53,550		1,432
TNS *		69,505		1,243
Trimble Navigation * (A)		46,962		2,215
TTM Technologies * (A)		229,157		2,117
Ubiquiti Networks * (A)		11,540		215
Ultra Clean Holdings *		106,181		633
Ultratech *		63,612		1,929
United Online (A)		147,700		583
Universal Display * (A)		50,820		1,431
Veeco Instruments * (A)		46,180		1,601
VeriFone Holdings *		33,960		1,226
Vishay Intertechnology * (A)		326,111		3,463
VistaPrint *		174,708		5,919
Web.com Group * (A)		109,000		1,735
Western Digital *		56,100		1,761
Wright Express *		50,500		2,831
XO Group * (A)		40,809		360
Xyratex		79,740		912
Zebra Technologies, Cl A *		55,377		1,854
				327,913
Materials — 4.3%
Alcoa (A)		117,139		1,002
Allegheny Technologies		83,368		2,678
Allied Nevada Gold * (A)		13,500		350
American Vanguard		49,675		1,339
Aptargroup		4,500		228
Ashland (A)		19,600		1,253
Boise (A)		135,600		936
Buckeye Technologies (A)		58,800		1,629
Carpenter Technology (A)		38,960		1,756
Compass Minerals International		41,930		2,984
Cytec Industries		25,920		1,567
Domtar		18,100		1,432
Eastman Chemical		50,700		2,361
EcoSynthetix *		66,000		262
Ferro *		115,684		514
Flotek Industries * (A)		102,014		1,086
Globe Specialty Metals		188,754		2,212
Greif, Cl A		70,406		3,080
GSE Holding *		51,800		565
Haynes International		21,605		1,102
Horsehead Holding * (A)		237,851		2,107
Huntsman		278,868		3,569
Innophos Holdings		87,832		4,434
Intrepid Potash * (A)		83,900		1,647
Kaiser Aluminum		40,890		1,962
LSB Industries *		10,500		292
Methanex		98,630		2,759
Minerals Technologies		20,835		1,318
New Gold * (A)		39,800		348
NewMarket		6,100		1,274
Noranda Aluminum Holding		191,810		1,475
Nucor		52,062		1,862
OM Group *		89,151		1,623
Owens-Illinois *		164,645		3,217
Packaging Corp of America		128,812		3,456
PolyOne		477,004		6,311
Reliance Steel & Aluminum		34,882		1,647
Rockwood Holdings *		38,630		1,870
Romarco Minerals *		438,500		267
RTI International Metals * (A)		232,706		4,884
Schweitzer-Mauduit International		16,500		1,104

Description	Shares		Market Value ($ Thousands)
Sensient Technologies		38,785	$	1,416
Silgan Holdings		33,240		1,389
Steel Dynamics		137,500		1,449
Stillwater Mining *		193,650		1,644
TPC Group *		34,036		1,075
UFP Technologies *		60,200		979
Universal Stainless & Alloy *		8,400		338
				84,052
Telecommunication Services — 0.6%
Cogent Communications Group * (A)		47,800		848
Leap Wireless International * (A)		54,900		317
Neutral Tandem *		56,500		767
SBA Communications, Cl A * (A)		91,867		4,773
tw telecom, Cl A *		205,720		4,771
USA Mobility		76,117		945
				12,421
Utilities — 3.6%
AGL Resources		71,199		2,668
Allete		25,090		980
Ameren		42,000		1,357
Avista		54,700		1,390
Cadiz * (A)		42,700		323
Chesapeake Utilities		19,311		816
Cleco		94,215		3,848
CMS Energy (A)		75,800		1,766
Edison International		39,135		1,760
El Paso Electric		68,974		2,117
Empire District Electric		24,900		499
Great Plains Energy (A)		443,945		8,843
IDACORP		93,293		3,665
Northeast Utilities		65,994		2,376
Northwest Natural Gas (A)		21,660		1,004
NorthWestern		13,400		476
NRG Energy *		102,198		1,566
NV Energy		251,724		4,355
Piedmont Natural Gas (A)		15,800		479
Pinnacle West Capital		32,800		1,620
PNM Resources		150,336		2,804
Portland General Electric		280,413		7,052
SCANA (A)		56,037		2,631
Southwest Gas		26,215		1,100
TECO Energy (A)		125,477		2,183
UGI		185,097		5,309
UIL Holdings (A)		17,800		602
Vectren		81,933		2,402
Westar Energy		44,714		1,280
WGL Holdings		26,100		1,017
Xcel Energy		89,831		2,517
				70,805
Total Common Stock (Cost $1,842,162) ($ Thousands)				1,890,851
EXCHANGE TRADED FUNDS — 0.6%
iShares Russell 2000 Growth Index Fund (A)		114,255		9,948
iShares Russell 2000 Index Fund (A)		36,231		2,757
Total Exchange Traded Funds (Cost $13,236) ($ Thousands)				12,705

8 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Small/Mid Cap Equity Fund

May 31, 2012

Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
CONVERTIBLE BONDS — 0.1%
Energy — 0.1%
Rentech
4.000%, 04/15/13	$	990	$	974
Financials — 0.0%
Grubb & Ellis
7.950%, 05/01/15 (E) (F)		288		6
Total Convertible Bonds (Cost $973) ($ Thousands)				980
PREFERRED STOCK — 0.0%
Consumer Discretionary — 0.0%
Callaway Golf (F)		4,800		462
Energy — 0.0%
GeoMet		9,996		43
Financials — 0.0%
Grubb & Ellis *		8,000		—
Total Preferred Stock (Cost $1,387) ($ Thousands)				505
	Number Of Warrants
WARRANTS — 0.0%
Kulim, Expires 10/14/13		51,500		—
Magnum Hunter Resource, Expires 08/29/14 *		18,718		—
Total Warrants (Cost $—) ($ Thousands)				—
AFFILIATED PARTNERSHIP — 26.4%
SEI Liquidity Fund, L.P. 0.170% † ** (G)		530,508,162		522,029
Total Affiliated Partnership (Cost $530,508) ($ Thousands)				522,029
CASH EQUIVALENT — 3.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.100% † **		67,835,123		67,835
Total Cash Equivalent (Cost $67,835) ($ Thousands)				67,835
U.S. TREASURY OBLIGATIONS (H) (I) — 0.4%
U.S. Treasury Bills
0.070%, 11/15/12	$	230		230
0.066%, 08/23/12		420		420
0.055%, 06/28/12		6,128		6,128
0.050%, 09/20/12		1,488		1,487
Total U.S. Treasury Obligations (Cost $8,265) ($ Thousands)				8,265
Total Investments — 126.3% (Cost $2,464,366) ($ Thousands)			$	2,503,170

A list of the open futures contracts held by the Fund at May 31, 2012, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Depreciation ($ Thousands)
Russell 2000 Index E-MIN		122		Jun-2012	$	(831	)
S&P Mid 400 Index E-MIN		104		Jun-2012		(713	)
					$	(1,544	)

For the year ended May 31, 2012, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on a Net Assets of $1,981,358 ($ Thousands)

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2012.

† Investment in Affiliated Security (see Note 5).

‡ Real Estate Investment Trust.

(A) This security or a partial position of this security is on loan at May 31, 2012. The total value of securities on loan at May 31, 2012 was $512,781 ($ Thousands).

(B) Securities considered illiquid. The total value of such securities as of May 31, 2012 was $574 ($ Thousands) and represented 0.03% of Net Assets.

(C) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of May 31, 2012 was $574 ($ Thousands) and represented 0.03% of Net Assets.

(D) Securities considered restricted. The total value of such securities as of May 31, 2012 was $148 ($ Thousands) and represented 0.00% of Net Assets.

(E) Security in default on interest payments.

(F) 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.

(G) This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of May 31, 2012 was $522,029 ($ Thousands).

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

(I) The rate reported is the effective yield at time of purchase.

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

S&P — Standard & Poor’s

The following is a list of the inputs used as of May 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1			Level 2		Level 3		Total
Common Stock	$	1,890,689		$	14	$	148	$	1,890,851
Exchange Traded Funds		12,705			—		—		12,705
Convertible Bonds		—			980		—		980
Preferred Stock		—			505		—		505
Warrants		—			—		—		—
Affiliated Partnership		—			522,029		—		522,029
Cash Equivalent		67,835			—		—		67,835
U.S. Treasury Obligations		—			8,265		—		8,265
Total Investments in Securities	$	1,971,229		$	531,793	$	148	$	2,503,170
Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(1,544	)	$	—	$	—	$	(1,544	)

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

9 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Small/Mid Cap Equity Fund

May 31, 2012

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands) as of May 31, 2012:

	Investments in Common  Stock
Beginning balance as of June 1, 2011	$	203
Accrued discounts/premiums		—
Realized gain/(loss)		—
Change in unrealized appreciation/(depreciation)		(55	)
Purchases		—
Sales		—
Net transfer into Level 3		—
Net transfer out of Level 3		—
Ending balance as of May 31, 2012	$	148
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	(55	)

For the year ended May 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2012, there were no 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.

10 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

U.S. Managed Volatility Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 97.9%
Consumer Discretionary — 9.1%
Aaron’s		17,000	$	451
Advance Auto Parts		62,935		4,590
AutoZone *		14,716		5,596
Best Buy		37,000		693
Big Lots *		18,900		695
Canadian Tire, Cl A		24,400		1,583
Choice Hotels International		52,900		1,925
Cinemark Holdings		58,200		1,342
Cogeco Cable		13,400		596
DIRECTV, Cl A *		120,200		5,343
Discovery Communications, Cl A *		19,300		967
DISH Network, Cl A		30,100		844
Dollar General *		74,257		3,632
Dollar Tree *		47,121		4,862
Expedia		66,707		3,061
GameStop, Cl A		145,600		2,793
Gap		29,400		779
Genuine Parts		10,200		642
H&R Block		186,700		2,851
Hasbro		40,200		1,424
Kohl’s		64,400		2,951
O’Reilly Automotive *		4,245		407
Panera Bread, Cl A *		12,800		1,881
PetMed Express		46,500		530
priceline.com *		5,445		3,406
Regal Entertainment Group, Cl A		59,500		818
Shaw Communications, Cl B		104,300		1,990
Target		83,200		4,818
Time Warner Cable, Cl A		27,500		2,073
Viacom, Cl B		7,046		336
Washington Post, Cl B		5,500		1,919
				65,798
Consumer Staples — 19.7%
Altria Group		170,468		5,487
Archer-Daniels-Midland		32,400		1,033
Brown-Forman, Cl B		14,748		1,286
Bunge		6,094		363
Cal-Maine Foods		34,600		1,230
Campbell Soup		68,051		2,157
Church & Dwight		113,799		6,059
Clorox		78,621		5,409
Coca-Cola Enterprises		160,204		4,383
ConAgra Foods		271,368		6,825
Costco Wholesale		31,109		2,688
CVS Caremark		110,900		4,984
Dr. Pepper Snapple Group		82,100		3,387
Flowers Foods		80,639		1,776
Fresh Del Monte Produce		34,400		807
General Mills		53,200		2,036
Harris Teeter Supermarkets		26,800		1,006
Hershey		87,357		5,841
Hormel Foods		296,470		8,867
Ingredion		1,159		59
Kellogg		22,800		1,112
Kimberly-Clark		72,200		5,729
Kraft Foods, Cl A		27,700		1,060

Description	Shares		Market Value ($ Thousands)
Kroger		136,100	$	2,996
Lorillard		64,150		7,929
McCormick		40,399		2,277
Mead Johnson Nutrition, Cl A		40,809		3,295
Metro, Cl A		59,600		2,935
Molson Coors Brewing, Cl B		65,700		2,526
Monster Beverage *		106,112		7,704
Nash Finch		16,500		340
Philip Morris International		64,560		5,456
Ralcorp Holdings *		18,824		1,196
Reynolds American		194,279		8,129
Safeway		175,356		3,335
Sysco		27,347		763
TreeHouse Foods *		15,200		867
Tyson Foods, Cl A		235,260		4,557
Universal		35,500		1,603
Walgreen		144,800		4,419
Wal-Mart Stores		106,900		7,036
Weis Markets		37,000		1,615
				142,562
Energy — 3.1%
Chevron		63,800		6,272
ConocoPhillips		45,500		2,374
Diamond Offshore Drilling		11,900		692
Exxon Mobil		101,400		7,973
FMC Technologies *		12,300		495
Imperial Oil		43,400		1,743
Phillips 66 *		22,750		683
Sunoco		45,300		2,104
				22,336
Financials — 11.2%
Alleghany *		2,821		928
Allied World Assurance Holdings		50,165		3,858
American Campus Communities ‡		46,400		2,037
American Capital Agency ‡		48,775		1,593
Arch Capital Group *		95,868		3,665
Associated Banc		155,100		1,964
Assurant		9,000		300
BOK Financial		21,298		1,187
Brown & Brown		62,600		1,602
Capitol Federal Financial		25,153		293
CBOE Holdings		5,855		148
Chubb		23,100		1,665
Commerce Bancshares		90,929		3,523
CreXus Investment ‡		156,200		1,531
Endurance Specialty Holdings		40,800		1,594
Equity Lifestyle Properties ‡		30,300		1,996
Everest Re Group		56,158		5,735
Federated Investors, Cl B		91,800		1,844
First Citizens BancShares, Cl A		4,347		732
First Niagara Financial Group		49,500		399
Genworth MI Canada		22,800		408
Government Properties Income Trust ‡		56,000		1,198
Hanover Insurance Group		30,500		1,190
HCC Insurance Holdings		27,700		866
Health Care ‡		38,700		2,147
Hudson City Bancorp		329,800		2,045
Maiden Holdings		59,335		483

1 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

U.S. Managed Volatility Fund

May 31, 2012

Description	Shares			Market Value ($ Thousands)
Main Street Capital		52,900		$	1,228
Mercury General		9,567			417
MFA Mortgage Investments ‡		223,500			1,703
NASDAQ OMX Group		12,600			276
National Bank of Canada		24,500			1,742
PartnerRe		74,353			5,269
PennyMac Mortgage Investment Trust ‡		84,900			1,568
People’s United Financial		203,066			2,362
Prosperity Bancshares		6,100			261
Realty Income ‡		55,200			2,116
RenaissanceRe Holdings		64,690			4,986
Senior Housing Properties Trust ‡		35,200			727
Signature Bank NY *		32,700			2,008
Tanger Factory Outlet Centers ‡		63,900			1,981
TFS Financial *		218,100			2,044
Tompkins Financial		22,059			808
Tower Group		18,700			367
Travelers		20,400			1,275
Two Harbors Investment ‡		108,100			1,118
Validus Holdings		93,200			2,924
Washington Federal		28,790			472
Washington Real Estate Investment Trust ‡		14,400			405
					80,988
Health Care — 19.9%			��
Abbott Laboratories		150,595			9,305
Aetna		84,900			3,472
Alexion Pharmaceuticals *		65,452			5,928
AmerisourceBergen		241,762			8,943
Amgen		174,682			12,144
AstraZeneca ADR		107,100			4,328
Baxter International		23,300			1,179
Becton Dickinson		64,988			4,753
Biogen Idec *		32,037			4,189
Cardinal Health		155,299			6,426
Celgene *		24,246			1,655
Chemed		23,100			1,283
Cooper		11,100			946
Coventry Health Care		30,100			915
Covidien		21,500			1,113
Edwards Lifesciences *		6,600			563
Eli Lilly		198,970			8,148
Endo Health Solutions *		88,500			2,878
Gilead Sciences *		27,700			1,383
Greatbatch *		40,900			849
Health Net *		20,500			525
Henry Schein *		11,823			879
Humana		12,600			963
Johnson & Johnson		117,178			7,315
Life Technologies *		11,900			487
LifePoint Hospitals *		29,600			1,090
Lincare Holdings		40,100			919
Magellan Health Services *		33,800			1,425
McKesson		95,514			8,336
Medtronic		47,400			1,746
Merck		209,100			7,858
Myriad Genetics *		82,386			1,988
Orthofix International *		17,400			660
Par Pharmaceutical *		20,000			717

Description	Shares		Market Value ($ Thousands)
Patterson		63,300	$	2,104
PDL BioPharma		156,300		1,014
Pfizer		293,400		6,417
Quest Diagnostics		20,800		1,184
Stryker		21,000		1,080
SXC Health Solutions *		37,131		3,331
Techne		41,085		2,788
United Therapeutics *		95,100		4,207
UnitedHealth Group		21,900		1,221
WellPoint		27,000		1,820
Zimmer Holdings		50,000		3,033
				143,507
Industrials — 5.5%
Alliant Techsystems		21,700		1,062
C.H. Robinson Worldwide		35,300		2,057
CLARCOR		10,800		527
Clean Harbors *		6,100		379
Copa Holdings, Cl A		9,978		828
CSX		43,700		913
FTI Consulting *		42,400		1,338
General Dynamics		38,200		2,445
Hubbell, Cl B		4,300		339
L-3 Communications Holdings, Cl 3		76,300		5,203
Landstar System		39,400		2,077
Lockheed Martin		73,974		6,125
Northrop Grumman		40,000		2,350
Progressive Waste Solutions		104,900		2,049
Raytheon		108,100		5,440
Rollins		101,700		2,160
Stericycle *		7,893		689
Waste Connections		8,960		277
Watsco		28,000		2,061
Werner Enterprises		46,600		1,134
				39,453
Information Technology — 7.3%
Activision Blizzard		259,300		3,044
Amdocs		159,889		4,597
BMC Software *		28,800		1,219
CACI International, Cl A *		15,800		676
CGI Group, Cl A *		56,800		1,318
Cisco Systems		135,600		2,215
Computer Sciences		26,800		714
CSG Systems International *		36,600		604
Dell *		109,300		1,348
Diebold		13,900		514
FLIR Systems		70,200		1,498
Global Payments		18,400		782
Harris		62,100		2,470
Hewlett-Packard		34,500		782
IAC		111,364		5,002
Ingram Micro, Cl A *		111,100		1,981
Intel		225,700		5,832
International Business Machines		27,055		5,219
Jack Henry & Associates		13,500		446
Mantech International, Cl A		24,900		543
Maxim Integrated Products		19,800		498
Microsoft		155,500		4,539
NeuStar, Cl A *		11,847		381
SAIC		294,800		3,275

2 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

U.S. Managed Volatility Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Tech Data *		23,238	$	1,106
Total System Services		91,300		2,125
Zebra Technologies, Cl A *		4,900		164
				52,892
Materials — 2.7%
Aptargroup		22,900		1,160
Ball		52,500		2,099
Barrick Gold		35,900		1,407
Bemis		45,400		1,378
Compass Minerals International		29,100	��	2,071
Greif, Cl A		11,500		503
Newmont Mining		40,753		1,922
Packaging Corp of America		51,100		1,371
PPG Industries		10,200		1,055
Royal Gold		62,235		4,209
Silgan Holdings		46,800		1,956
				19,131
Telecommunication Services — 3.5%
AT&T		270,000		9,226
BCE		66,500		2,647
Iridium Communications *		110,800		941
NTT DoCoMo ADR		91,700		1,465
Rogers Communications, Cl B		44,000		1,500
SBA Communications, Cl A *		12,200		634
SK Telecom ADR		121,400		1,353
Telephone & Data Systems		86,400		1,715
Verizon Communications		50,500		2,103
Vodafone Group ADR		141,800		3,799
				25,383
Utilities — 15.9%
AGL Resources		47,000		1,762
Alliant Energy		118,714		5,187
Ameren		80,800		2,611
American Electric Power		100,005		3,851
American Water Works		194,629		6,658
Atmos Energy		109,000		3,612
Avista		31,700		805
Cia de Saneamento Basico do Estado de Sao Paulo ADR		16,100		1,123
CMS Energy		364,758		8,499
Consolidated Edison		89,298		5,390
DTE Energy		155,333		8,828
Duke Energy		166,100		3,651
Edison International		48,100		2,163
El Paso Electric		25,000		767
Entergy		48,600		3,136
Exelon		85,100		3,147
Great Plains Energy		104,300		2,078
Hawaiian Electric Industries		172,993		4,776
IDACORP		23,400		919
Integrys Energy Group		19,390		1,049
ITC Holdings		32,639		2,250
Laclede Group		33,100		1,261
NextEra Energy		49,310		3,222
Northeast Utilities		31,578		1,137
PG&E		161,400		7,053
Piedmont Natural Gas		18,200		552
Pinnacle West Capital		111,361		5,499
Portland General Electric		86,900		2,186

Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
Public Service Enterprise Group		140,229	$	4,374
SCANA		18,458		867
Sempra Energy		33,100		2,152
Southern		72,808		3,343
TECO Energy		42,900		746
UGI		87,586		2,512
Vectren		96,843		2,839
Westar Energy		21,747		622
WGL Holdings		26,000		1,013
Wisconsin Energy		82,964		3,139
				114,779
Total Common Stock (Cost $674,631) ($ Thousands)				706,829
CASH EQUIVALENT — 1.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.100% † **		10,276,895		10,277
Total Cash Equivalent (Cost $10,277) ($ Thousands)				10,277
U.S. TREASURY OBLIGATIONS (A) (B) — 0.3%
U.S. Treasury Bills
0.107%, 09/20/12	$	1,099		1,099
0.079%, 06/21/12		9		9
0.055%, 06/28/12		663		663
Total U.S. Treasury Obligations (Cost $1,771) ($ Thousands)				1,771
Total Investments — 99.6% (Cost $686,679) ($ Thousands)			$	718,877

A list of the open futures contracts held by the Fund at May 31, 2012, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Depreciation ($ Thousands)
S&P 500 Index E-MINI		107		Jun-2012	$	(199	)

For the year ended May 31, 2012, 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 $722,082 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2012.

† Investment in Affiliated Security (see Note 5).

‡ Real Estate Investment Trust.

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

(B) The rate reported is the effective yield at time of purchase.

ADR — American Depositary Receipt

Cl — Class

S&P — Standard and Poor’s

3 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

U.S. Managed Volatility Fund

May 31, 2012

The following is a list of the inputs used as of May 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1			Level 2		Level 3		Total
Common Stock	$	706,829		$	—	$	—	$	706,829
Cash Equivalent		10,277			—		—		10,277
U.S. Treasury Obligations		—			1,771		—		1,771
Total Investments in Securities	$	717,106		$	1,771	$	—	$	718,877
Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(199	)	$	—	$	—	$	(199	)

* Future contracts are valued at the unrealized depreciation on the instrument.

For the year ended May 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2012, there were no 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 / Annual Report / May 31, 2012

Schedule of Investments

International Equity Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 97.8%
Argentina — 0.0%
Tenaris		639	$	10
Australia — 3.6%
AGL Energy		830		12
Alumina		254,443		243
Amcor		29,694		215
AMP		5,929		22
APA Group		19,477		95
Asciano Group		1,801		8
ASX		1,008		29
Atlas Iron		464,518		978
Australia & New Zealand Banking Group		72,744		1,475
Beach Energy		103,394		110
Bega Cheese		4,582		7
Bendigo Bank		4,424		31
BGP Holdings *		39,545		—
BHP Billiton		27,532		854
BHP Billiton ADR		7,300		449
Boral		10,645		36
Brambles		23,923		155
Caltex Australia		20,626		273
Campbell Brothers		2,089		118
CFS Retail Property Trust ‡		19,461		36
Coca-Cola Amatil		1,977		25
Commonwealth Bank of Australia		4,561		219
Crown		5,171		43
CSL		31,657		1,156
Dexus Property Group ‡		168,289		153
Goodman Group ‡		18,686		61
GPT Group ‡		15,763		50
Iluka Resources		45,952		597
Leighton Holdings		5,983		103
Lend Lease Group		5,099		36
Macquarie Group		1,052		28
Metcash		17,437		65
National Australia Bank		1,859		40
Newcrest Mining		75,114		1,815
Northern Star Resources *		34,662		23
Orica		2,509		60
OZ Minerals		785		7
Ramsay Health Care		3,463		72
Rio Tinto		1,784		98
Santos		48,093		559
Sims Group		1,208		13
Sonic Healthcare		4,205		50
Stockland ‡		17,926		55
Suncorp Group		20,872		157
TABCORP Holdings		5,197		15
Tatts Group		47,403		120
Telstra		108,462		374
Toll Holdings		13,907		62
Transurban Group		33,784		186
Wesfarmers		3,295		93
Westfield Group ‡		5,243		46
Westfield Retail Trust ‡		18,883		50
Westpac Banking		1,991		39
Whitehaven Coal		1,700		7
Woolworths		429		11

Description	Shares			Market Value ($ Thousands)
WorleyParsons		2,304		$	57
					11,691
Austria — 0.0%
OMV		50			1
Belgium — 1.9%
Ageas		159,862			253
Belgacom		53,362			1,405
Colruyt		21,575			867
Groupe Bruxelles Lambert		201			12
InBev		49,514			3,352
Solvay		202			21
UCB		1,681			79
Umicore		562			27
					6,016
Brazil — 0.6%
Banco Bradesco ADR		1,399	��		21
BRF - Brasil Foods		59,640			919
Centrais Eletricas Brasileiras ADR		48,687			319
Petroleo Brasileiro ADR		39,994			782
					2,041
Cambodia — 0.0%
NagaCorp		18,000			7
Canada — 4.5%
Barrick Gold		49,674			1,940
Brookfield Asset Management, Cl A		3,631			116
Brookfield Real Estate Services		618			7
Cameco		34,110			654
Cenovus Energy		16,144			507
Cogeco		200			8
Cott *		1,100			8
Domtar		4,800			380
EnCana		4,200			84
Enghouse Systems		600			8
Goldcorp		20,900			761
Imperial Oil		600			24
Intertape Polymer Group *		980			7
Kinross Gold		131,322			1,046
Lassonde Industries, Cl Common Subscription Recei		200			14
Magna International, Cl A		20,600			830
New Gold *		78,500			692
Nexen		49,348			771
Niko Resources		9,655			285
Onex		5,700			210
Potash Saskatchewan		25,509			1,008
Precision Drilling *		62,200			484
Royal Bank of Canada		1,300			65
Silver Wheaton		24,200			620
Suncor Energy		66,089			1,787
Talisman Energy		30,045			316
Toronto-Dominion Bank		14,399			1,099
Transcontinental, Cl A		1,000			9
Vermilion Energy (A)		16,700			701
					14,441

1 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

International Equity Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Chile — 0.2%
Sociedad Quimica y Minera de
Chile ADR		14,600	$	759
China — 0.8%
Dongfeng Motor Group		382,200		650
Huaneng Power International		1,568,000		996
Industrial & Commercial Bank of China		1,492,000		907
PetroChina		6,000		8
				2,561
Colombia — 0.1%
Ecopetrol ADR		2,415		144
Czech Republic — 0.1%
Komercni Banka		2,339		347
Denmark — 1.1%
AP Moller - Maersk, Cl A		2		12
AP Moller - Maersk, Cl B		59		366
Coloplast, Cl B		77		13
Jyske Bank *		23,235		603
Novo-Nordisk, Cl B		11,737		1,561
Novozymes, Cl B		640		17
TrygVesta (A)		17,991		944
William Demant Holding *		322		29
				3,545
Finland — 0.5%
Elisa, Cl A		2,044		40
Fortum		485		9
Kone, Cl B		259		15
Metso		2,398		78
Nokia		130,010		341
Nokia ADR (A)		117,572		314
Nokian Renkaat		801		30
Pohjola Bank, Cl A		1,850		19
Sampo, Cl A		940		22
Stora Enso, Cl R		123,251		668
Wartsila, Cl B		2,445		80
				1,616
France — 8.4%
Aeroports de Paris		213		15
Air Liquide		7,485		810
Alcatel-Lucent * (A)		670,270		1,043
Alstom		7,861		228
Areva		17,290		201
Arkema		13,797		902
AtoS		67		4
AXA		82,410		925
BNP Paribas (A)		45,113		1,435
Bureau Veritas		133		11
Carrefour		34,173		589
Christian Dior		397		52
Cie Generale de Geophysique- Veritas *		3,888		84
Cie Generale d’Optique Essilor International (A)		16,729		1,429
Compagnie de St.-Gobain		378		13

Description	Shares		Market Value ($ Thousands)
Compagnie Generale des Etablissements Michelin, Cl B		15,483	$	905
Danone		902		58
Dassault Systemes		447		41
Edenred (A)		1,354		36
Electricite de France (A)		19,492		375
Eutelsat Communications		26,025		681
France Telecom		366		4
Iliad		619		80
Legrand (A)		36,999		1,113
L’Oreal		9,929		1,116
LVMH Moet Hennessy Louis Vuitton		12,881		1,902
Maisons France Confort		282		7
Nexity		300		6
Pernod-Ricard		287		28
PPR		273		39
Publicis Groupe		1,137		53
Renault		4,216		177
Rexel (A)		46,430		826
Safran (A)		35,524		1,220
Sanofi-Aventis		48,730		3,314
Schneider Electric		43,360		2,309
SCOR		1,559		34
SES Global		1,625		36
Societe BIC		89		8
Sodexo		20,831		1,512
Technip		13,010		1,186
Tessi		124		11
Thales (A)		12,584		372
Total		40,536		1,742
Unibail-Rodamco ‡		188		31
Vinci		581		23
Vivendi (A)		18,614		301
				27,287
Germany — 7.7%
Adidas		930		69
Allianz		3,839		347
BASF		13,314		928
Bayer		21,466		1,357
Bayerische Motoren Werke		4,174		316
Beiersdorf		66		4
Brenntag		10,997		1,239
Celesio		1,374		19
Continental (A)		6,614		551
DaimlerChrysler		20,703		958
Deutsche Bank (A)		9,322		335
Deutsche Boerse		36,581		1,742
Deutsche Lufthansa		27,076		284
Deutsche Post		65,902		1,085
Deutsche Telekom		68,211		673
E.ON		400		7
Fresenius		843		80
Fresenius Medical Care (A)		21,079		1,399
GEA Group		44,230		1,125
Hannover Rueckversicherung		1,169		62
HeidelbergCement		1,975		86
Henkel		465		26
Infineon Technologies		44,444		351
Kabel Deutschland Holding *		22,147		1,256
Lanxess		1,424		95
Leifheit		252		7

2 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

International Equity Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Linde		18,074	$	2,773
Merck KGaA		2,445		226
Muenchener Rueckversicherungs		7,645		948
SAP (A)		32,017		1,837
SAP ADR		14,400		825
Schuler		267		7
Siemens		34,622		2,847
Suedzucker		5,065		154
Symrise		37,366		1,050
United Internet		1,242		21
Volkswagen		272		41
				25,130
Guernsey — 0.0%
Resolution		23,374		69
Hong Kong — 3.3%
AIA Group		325,600		1,061
ASM Pacific Technology (A)		4,400		54
Chaoda Modern Agriculture * (A)		1,048,000		149
Cheung Kong Infrastructure Holdings		7,000		38
China Merchants Holdings International		48,000		146
China Mobile		217,000		2,195
China Mobile ADR		17,500		888
CLP Holdings		67,900		553
CNOOC		321,000		581
CSI Properties		170,000		6
First Pacific		258,900		267
Galaxy Entertainment Group * (A)		16,000		39
Hang Lung Group		8,000		46
Hang Seng Bank		100		1
Hong Kong & China Gas		15,000		35
Hongkong Land Holdings		51,000		286
Hutchison Telecommunications Hong Kong Holdings		236,000		104
Hutchison Whampoa		54,600		449
Jardine Strategic Holdings		48,021		1,454
Lai Sun Development *		584,000		8
Li & Fung		120,000		220
New World Development		50,000		54
Orient Overseas International		6,500		35
Power Assets Holdings		8,000		56
Sino-Forest, Cl A * (A)		21,000		2
SJM Holdings		14,000		25
Sun Hung Kai Properties		76,000		861
TAI Cheung Holdings		13,000		9
Yue Yuen Industrial Holdings		387,000		1,204
				10,826
India — 0.3%
Idea Cellular *		598,195		810
Tata Motors ADR		13,972		290
				1,100
Indonesia — 0.2%
Bank Mandiri		469,800		345
Telekomunikasi Indonesia ADR		4,137		135
				480

Description	Shares		Market Value ($ Thousands)
Ireland — 1.0%
CRH		15,880	$	267
Elan *		17,607		252
Experian		105,085		1,464
James Hardie Industries		16,309		118
Kerry Group, Cl A		786		34
Ryanair Holdings ADR *		23,100		709
Smurfit Kappa Group		78,047		491
				3,335
Israel — 0.3%
Check Point Software Technologies *		17,929		919
NICE Systems *		1,073		40
				959
Italy — 1.0%
Banca Intesa		313,908		389
Banche Popolari Unite		29,568		82
Enel		58,060		165
ENI		6,010		116
ERG		20,368		114
Exor		2,333		50
Fiat		1,858		9
Fiat Industrial		6,392		64
Luxottica Group		2,420		78
Pirelli		3,144		31
Saipem		1,437		56
Snam Rete Gas		169,691		685
Telecom Italia		2,055,615		1,406
Terna Rete Elettrica Nazionale		764		3
UniCredit		6,233		19
				3,267
Japan — 18.2%
Aeon		1,400		17
Aeon Credit Service		500		8
Aeon Mall		500		10
Air Water		6,000		69
Aisin Seiki		1,800		56
Ajinomoto		1,000		13
Alfresa Holdings		1,400		68
Alinco		1,200		8
Alpen		2,900		55
Amuse		1,200		15
Aoyama Trading		1,500		35
Arc Land Sakamoto		3,200		50
Asahi Breweries		1,300		28
ASKA Pharmaceutical		2,000		10
Astellas Pharma		1,700		67
AT-Group		3,000		41
Autobacs Seven		500		26
Belluna		1,600		12
Bridgestone		34,100		729
Bunka Shutter		3,000		12
Calsonic Kansei		39,000		226
Canon		500		20
Central Automotive Products		2,000		12
Central Glass		13,000		52
Central Japan Railway		71		578
Chiba Bank		5,000		28
Chiyoda		6,000		71
Chuetsu Pulp & Paper		4,000		7

3 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

International Equity Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Chugoku Bank		6,000	$	71
Chugoku Electric Power		2,600		41
Citizen Holdings		9,100		52
Coca-Cola West		44,500		747
Corona		600		7
Cosmo Oil		4,000		10
Credit Saison		4,500		86
DA Consortium		25		7
Dai Nippon Printing		166,500		1,259
Daicel		49,000		279
Daido Steel		7,000		42
Daihatsu Motor		8,000		137
Dai-ichi Life Insurance		3		3
Daiichi Sankyo		16,200		261
Daikin Industries		300		8
Daikoku Denki		500		9
Dainichi		900		7
Dainippon Sumitomo Pharma		30,000		287
Daito Trust Construction		7,400		651
Daiwa House Industry		42,000		536
Dena		97		2
Dentsu		300		8
EDION		24,200		128
Eisai		1,200		49
FANUC		12,800		2,207
Fast Retailing		300		67
Fuji Heavy Industries		8,000		62
Fuji Kiko *		3,000		9
FUJIFILM Holdings		66,300		1,242
Fujitsu		32,000		140
Fukuoka Financial Group		27,000		100
Geo		40		47
Gree (A)		5,000		80
Gunma Bank		5,000		22
Hachijuni Bank		62,000		297
Hakuhodo DY Holdings		300		19
Hamamatsu Photonics		300		11
Happinet		1,000		9
Hino Motors		75,000		498
Hiroshima Bank		16,000		54
HIS		2,700		86
Hitachi		148,100		848
Hitachi Chemical		1,300		21
Hitachi Construction Machinery		500		10
Hitachi High-Technologies		2,300		51
Hitachi Metals		1,000		12
Hokkaido Coca-Cola Bottling		2,000		10
Hokkan Holdings		3,000		9
Hokuriku Electric Power		1,800		28
Honda Motor		85,800		2,749
Idemitsu Kosan		500		45
IHI		82,000		168
Iida Home Max		8,800		62
Inabata		1,700		10
Information Services International-Dentsu		1,100		8
Inpex		32		185
Isetan Mitsukoshi Holdings		7,000		70
Isuzu Motors		9,000		48
IT Holdings		10,100		113
Itfor		2,200		8
Itochu		6,400		70

Description	Shares		Market Value ($ Thousands)
Itochu Techno-Solutions		600	$	28
Iyo Bank		8,000		60
J Front Retailing		10,000		47
J Trust		3,400		35
Japan Carlit		1,700		8
Japan Petroleum Exploration		400		15
Japan Steel Works		46,000		242
Japan Tobacco		29		162
JFE Shoji Trade		6,000		26
JGC		58,000		1,592
Joyo Bank		13,000		54
JS Group		1,100		20
JSR		2,200		38
Jupiter Telecommunications		1,610		1,649
Justsystems *		2,800		7
JVC Kenwood Holdings		18,800		63
JX Holdings		300		2
Kajima		20,000		52
Kamei		1,000		10
Kamigumi		1,000		8
Kanematsu *		41,000		43
Kansai Paint		84,600		810
Kao		12,700		328
Kasumi		1,400		9
KDDI		202		1,248
Keikyu		10,000		87
Keio		20,000		137
Keisei Electric Railway		10,000		78
Keyence		1,700		385
Kikkoman		2,000		24
Kintetsu (A)		31,000		108
Koito Manufacturing		1,000		13
Komatsu		9,600		230
Konaka		1,500		22
Konami		3,000		63
Konica Minolta Holdings		6,000		43
Kubota		10,000		86
Kuraray		1,800		23
Kurita Water Industries		300		7
Kyokuto Kaihatsu Kogyo		800		7
Kyowa Hakko Kirin		10,000		98
Lawson		600		42
Mabuchi Motor		35,100		1,354
Macnica		300		6
Makita		1,100		37
Marubeni		74,000		474
Marui Group		2,900		21
Maruka Machinery		900		10
Maxvalu Tokai		500		7
Medipal Holdings		5,400		68
Megane TOP		3,050		35
MEIJI Holdings		200		8
Melco Holdings		400		8
Mikuni Coca-Cola Bottling		800		7
Mirait Holdings		1,100		8
Mitani		600		7
Mitsubishi		50,800		994
Mitsubishi Chemical Holdings		4,200		19
Mitsubishi Gas Chemical		1,000		6
Mitsubishi Heavy Industries		23,000		93
Mitsubishi Materials		23,000		63
Mitsubishi Motors *		24,000		24

4 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

International Equity Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Mitsubishi Shokuhin		400	$	9
Mitsubishi UFJ Financial Group		78,000		338
Mitsubishi UFJ Lease & Finance		1,080		41
Mitsui		600		9
Mitsui Chemicals		4,000		10
Mitsui Sumitomo Insurance Group Holdings		55,300		849
Mitsui Trust Holdings		246,310		622
Mizuho Financial Group		13,200		19
Murakami		1,000		13
Murata Manufacturing		300		16
Nabtesco		900		20
Nafco		400		7
Namco Bandai Holdings		13,400		163
NEC		15,000		22
NEC Fielding		1,400		17
NEC Networks & System Integration		3,600		56
NET One Systems		5,800		80
NHK Spring		4,300		46
Nichiha		1,300		13
Nichii Gakkan		4,500		44
Nidec		400		33
Nikon		1,500		42
Nintendo		8,500		990
Nippo		8,000		75
Nippon Paper Group		400		6
Nippon Telegraph & Telephone		48,100		2,073
Nippon Telegraph & Telephone ADR		40,116		859
Nishio Rent All		900		10
Nissan Motor		12,100		117
Nissei Plastic Industrial		1,900		8
Nissin Food Products		400		15
Nitto Denko		300		12
NOK		3,400		72
Nomura Real Estate Holdings		12,900		202
NTT Data		15		43
NTT DoCoMo		2		3
Odakyu Electric Railway, Cl B		8,000		73
OJI Paper		4,000		15
Ono Pharmaceutical		1,400		79
Oriental Land		300		33
ORIX		40		3
Otsuka		200		16
Otsuka Holdings		12,000		377
Panasonic		33,400		222
Press Kogyo		1,000		5
Rakuten		42		45
Relo Holdings		1,800		52
Resona Holdings		7,800		29
Ricoh Leasing		2,800		64
Riken		2,000		8
Rinnai		400		26
Rohm		15,900		577
Rokko Butter		1,900		11
Sankyo		19,200		926
Sankyo Frontier		2,000		10
Sanrio (A)		1,800		58
Sanshin Electronics		1,100		7
Santen Pharmaceutical		300		11
Sapporo Hokuyo Holdings		85,000		245

Description	Shares		Market Value ($ Thousands)
Sasebo Heavy Industries		15,000	$	18
SBI Holdings		105		7
Secom		14,200		627
Sega Sammy Holdings		26,900		478
Seika		3,000		9
Seino Holdings		11,000		72
Sekisui Chemical		159,000		1,357
Sekisui House		47,000		397
Seven & I Holdings		103,600		3,117
Sharp		4,000		21
Shikoku Electric Power		6,100		143
Shin Nippon Air Technologies		1,400		8
Shin-Etsu Chemical		13,900		714
Ship Healthcare Holdings		2,300		54
Shiseido		76,200		1,198
Shizuoka Bank		6,000		59
Shobunsha Publications		2,100		14
Showa Denko		9,000		18
SMC		10,700		1,757
SNT		2,000		10
Softbank		33,000		1,031
Sojitz		85,600		135
Sony Financial Holdings		81,400		1,167
Square Enix Holdings		900		14
Stanley Electric		2,400		33
Sumitomo		8,000		107
Sumitomo Densetsu		1,000		7
Sumitomo Heavy Industries		3,000		13
Sumitomo Mitsui Financial Group		43,600		1,273
Sumitomo Precision Products		7,000		35
Sumitomo Rubber Industries		2,100		26
Suruga Bank		2,000		18
Suzuken		5,200		162
Suzuki Motor		4,300		89
Taiho Kogyo, Cl A		2,000		24
Taisei		4,000		10
Taisho Pharmaceutical Holdings		100		8
Takamatsu Construction Group		500		7
Takashimaya		6,000		42
TBK		1,000		6
TDK		200		9
Tobu Railway		35,000		171
Toho		4,000		64
Toho Holdings		3,800		73
Tokai		500		11
Tokyo Electron		16,800		758
Tokyo Energy & Systems		2,000		9
Tokyo Sangyo		2,000		7
Tokyu		14,000		62
Tokyu Construction		4,690		9
Tokyu Land		14,000		62
TonenGeneral Sekiyu		1,000		9
Toppan Printing		5,000		31
Topre		900		8
Toray Industries		5,000		33
Toshiba		2,000		7
Toshiba TEC		18,000		63
Totetsu Kogyo		3,000		31
TOTO		1,000		7
Toyo Seikan Kaisha		700		8
Toyo Suisan Kaisha		1,000		26
Toyota Motor		72,600		2,814

5 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

International Equity Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Toyota Motor ADR		5,483	$	422
Toyota Tsusho		18,500		341
Trend Micro		1,400		38
TS Tech		400		7
Ube Industries		6,000		14
Unicharm		1,200		65
Unipres		4,200		116
USS		700		71
Wacoal Holdings		38,723		439
Warabeya Nichiyo		2,000		31
Yakult Honsha		400		14
Yamaguchi Financial Group		2,000		16
Yamato Holdings		2,600		41
Yamato Kogyo		1,000		27
Yamazaki Baking		1,000		14
Yaskawa Electric		131,000		982
Yokogawa Electric		3,700		31
Yorozu		500		8
Yurtec		2,000		7
Zeon		13,000		100
				58,930
Jersey — 0.0%
Randgold Resources		530		42
Malaysia — 0.0%
Telekom Malaysia		4,600		8
Mexico — 0.0%
America Movil ADR, Ser L		277		7
Grupo Simec ADR *		1,904		17
Industrias, Ser B *		8,800		35
				59
Netherlands — 5.0%
Aegon		1,711		7
Akzo Nobel (A)		55,307		2,526
ASML Holding		10,292		472
Boskalis Westminster		2,016		60
European Aeronautic Defense and Space		23,754		795
Gemalto		9,442		601
Heineken		8,882		423
Heineken Holding		359		15
Imtech		28,025		724
ING Groep *		174,462		1,008
Koninklijke Ahold		130,136		1,529
Koninklijke Vopak		2,447		144
Reed Elsevier		184,902		1,917
Royal Dutch Shell, Cl B		40,158		1,285
Royal Dutch Shell, Cl A (GBP)		13,326		412
Royal Dutch Shell, Cl A		43,232		1,338
SBM Offshore		2,447		32
TNT		174,276		587
Unilever		45,723		1,439
Wolters Kluwer		60,652		881
				16,195
New Zealand — 0.2%
Chorus *		38,975		95
Contact Energy *		2,163		8
Fletcher Building		2,407		11

Description	Shares		Market Value ($ Thousands)
Telecom of New Zealand		227,243	$	441
				555
Norway — 0.7%
DnB		163,462		1,474
Gjensidige Forsikring		1,805		19
Marine Harvest *		593,906		290
Orkla		2,403		16
Seadrill		9,822		324
Statoil		7,904		178
Telenor (A)		3,013		44
				2,345
Poland — 0.1%
KGHM Polska Miedz		5,375		193
Portugal — 0.0%
Cimpor Cimentos de Portugal *		1,549		10
Energias de Portugal		12,327		26
Galp Energia SGPS, Cl B		556		7
Jeronimo Martins		2,537		45
				88
Russia — 0.5%
Gazprom OAO ADR		53,064		466
Lukoil OAO ADR		125		6
NovaTek OAO GDR		4,175		397
Sberbank of Russia ADR		68,314		677
				1,546
Singapore — 1.4%
City Developments		1,000		8
ComfortDelGro		7,000		8
DBS Group Holdings		66,000		677
Fraser and Neave		29,000		144
Golden Agri-Resources		13,000		7
GP Batteries International		5,000		4
Jardine Cycle & Carriage		4,000		131
Keppel		27,180		211
Oversea-Chinese Banking		20,000		130
Popular Holdings		43,000		7
QAF		13,000		7
SembCorp Industries		86,000		322
SembCorp Marine		240,000		832
Singapore Airlines		107,000		863
Singapore Press Holdings		10,200		30
Singapore Telecommunications		48,000		115
Transpac Industrial Holdings		12,000		14
United Overseas Bank		54,000		741
Wheelock Properties Singapore		25,000		32
Wilmar International		28,000		79
Yangzijiang Shipbuilding Holdings		373,000		300
				4,662
South Africa — 0.8%
AngloGold Ashanti		8,500		306
AngloGold Ashanti ADR		21,547		777
Gold Fields		86,903		1,159
Impala Platinum Holdings		27,237		427
				2,669
South Korea — 3.0%
Hana Financial Group		210		7

6 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

International Equity Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Hyundai Heavy Industries		3,563	$	806
Hyundai Mobis		3,772		885
Hyundai Motor		2,064		427
Kia Motors		5,666		385
Korea Electric Power ADR		53,956		507
KT ADR		69,200		806
KT&G		31,590		2,104
Samsung Electronics		2,360		2,421
Shinhan Financial Group		19,030		612
SK Telecom ADR		65,852		734
				9,694
Spain — 1.5%
Abertis Infraestructuras		12,023		153
Acciona		781		41
Amadeus IT Holding, Cl A		1,219		22
Banco Bilbao Vizcaya Argentaria		12,300		70
Banco de Sabadell (A)		36,754		60
Banco Popular Espanol (A)		90,787		183
Banco Santander Central Hispano		103,637		551
Bankinter (A)		6,216		19
CaixaBank * (A)		4,996		6
Distribuidora Internacional de Alimentacion *		19,749		86
EDP Renovaveis *		2,039		7
Enagas		57,338		896
Endesa		442		7
Ferrovial (A)		14,378		136
Fomento de Construcciones y Contratas (A)		1,445		18
Gas Natural		13,665		148
Grifols		947		21
Iberdrola		1,398		5
Inditex		1,294		107
Indra Sistemas (A)		90,300		810
Mapfre		8,934		17
Red Electrica		10,601		392
Repsol		15,641		234
Tecnicas Reunidas		23,762		851
Telefonica *		2,344		9
Zardoya Otis		2,629		29
				4,878
Sweden — 2.0%
Alfa Laval		1,504		25
Assa Abloy, Cl B		4,219		109
Atlas Copco, Cl B		9,478		170
Atlas Copco, Cl A		9,197		185
Boliden		6,150		78
Electrolux, Cl B		1,262		24
Elekta, Cl B		19,365		928
Getinge, Cl B		3,166		78
Hennes & Mauritz, Cl B		2,157		64
Hexagon, Cl B		2,459		44
Husqvarna, Cl B		4,605		21
Industrivarden, Cl C (A)		3,566		44
Investor, Cl B		1,390		24
Kinnevik Investment, Cl B		1,599		28
Lundin Petroleum *		8,987		158
Millicom International Cellular		1,208		103
Nordea Bank		62,195		459

Description	Shares		Market Value ($ Thousands)
Sandvik		76,990	$	958
Securitas, Cl B		3,813		28
Skandinaviska Enskilda Banken, Cl A		154,928		856
Skanska, Cl B		5,279		70
Svenska Cellulosa, Cl B		2,384		34
Svenska Handelsbanken, Cl A		1,315		37
Swedbank, Cl A		14,138		201
Swedish Match		5,193		197
Tele2, Cl B		1,464		22
Telefonaktiebolaget LM Ericsson, Cl B		147,020		1,248
Telefonaktiebolaget LM Ericsson ADR		31,174		264
Volvo, Cl B		1,964		22
				6,479
Switzerland — 8.6%
ABB		280		4
Aryzta		254		12
Baloise Holding		181		11
Compagnie Financiere Richemont		7,640		435
Credit Suisse Group		28,244		535
Geberit		117		23
Georg Fischer		475		166
Givaudan		2,678		2,482
Glencore International		2,557		14
Helvetia Holding		23		6
Informa		149,309		784
Julius Baer Group		32,266		1,011
Kuehne + Nagel International		253		27
Lindt & Spruengli		19		87
Lonza Group		206		7
Nestle		70,402		3,988
Novartis		73,070		3,793
OC Oerlikon		33,854		282
Partners Group Holding		2,309		383
Roche Holding		34,720		5,417
Schindler Holding		125		14
SGS		973		1,753
Sika		481		869
Sonova Holding		450		42
Sulzer		11,654		1,389
Swatch Group, Cl B		365		141
Swiss Life Holding		1,980		159
Swiss Re		1,870		108
Swisscom		136		49
Syngenta		589		188
Synthes (B)		1,917		313
UBS		115,838		1,310
Zurich Financial Services		9,683		1,979
				27,781
Taiwan — 0.1%
Taiwan Semiconductor Manufacturing ADR		9,397		129
United Microelectronics ADR (A)		139,360		294
				423

7 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

International Equity Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Thailand — 0.0%
Total Access Communication		49,700	$	120
United Kingdom — 19.4%
Aggreko		6,003		203
Amec		88,771		1,320
Amlin		200,552		982
Anglo American		251		8
Antofagasta		1,401		22
ARM Holdings		21,395		167
Associated British Foods		8,603		157
AstraZeneca		49,648		2,000
Aviva		252,627		1,017
Babcock International Group		12,929		169
BAE Systems		226,241		950
Balfour Beatty		240,980		1,006
Barclays		334,839		909
Berendsen PLC		10,445		76
BG Group		109,249		2,089
BHP Billiton		63,705		1,661
Bodycote		4,257		25
BP		328,327		1,996
BP PLC ADR		9,717		354
British American Tobacco		49,461		2,328
British Land ‡		5,246		39
British Sky Broadcasting Group		13,674		145
BT Group, Cl A		229,245		728
Bunzl		91,047		1,433
Burberry Group		6,812		143
Cairn Energy		103,080		453
Capita Group		101,458		965
Carnival		303		10
Centrica		275,770		1,314
Compass Group		11,863		116
Diageo		61,233		1,458
Eurasian Natural Resources		101,218		658
Fresnillo		4,013		83
Gem Diamonds *		8,627		27
GKN		11,182		31
GlaxoSmithKline		121,264		2,684
Group 4 Securicor		29,034		124
Hammerson ‡		635		4
Hogg Robinson Group		10,837		10
Home Retail Group		861,456		1,035
HSBC Holdings		222,309		1,743
HSBC Holdings PLC		134,800		1,064
ICAP		124,785		654
Imperial Tobacco Group		26,489		955
Intercontinental Hotels Group		5,484		129
International Power		11,644		74
Intertek Group		3,900		159
ITV		126,804		142
Johnson Matthey		5,149		172
Kazakhmys		24,890		255
Kingfisher		273,501		1,187
Land Securities Group ‡		6,332		69
Legal & General Group		100,339		170
Lloyds Banking Group *		648,514		253
London Stock Exchange Group		3,024		47
Meggitt		12,582		73
Michael Page International		105,848		580

Description	Shares		Market Value ($ Thousands)
Micro Focus International		3,405	$	23
Mondi		12,534		98
National Grid		4,523		45
Next		4,087		191
Old Mutual		41,824		91
Pearson		10,671		187
Petrofac		71,577		1,704
Polyus Gold International GDR		112,264		276
Premier Oil *		168,520		883
Prudential		130,056		1,357
QinetiQ		28,251		67
Reed Elsevier		117,926		868
Rexam		159,249		988
Rio Tinto		27,420		1,173
Rio Tinto ADR		14,600		631
Rolls-Royce Holdings		107,877		1,365
Royal Bank of Scotland Group *		93,975		29
SABMiller		7,031		259
Sage Group		220,275		870
Savills		4,724		23
Severn Trent		7,150		189
Shire		67,092		1,888
Smith & Nephew		185		2
SSE		5,884		120
Standard Chartered		2,628		53
Standard Life		19,716		62
Subsea 7		45,365		893
Tate & Lyle		11,860		123
Tesco		683,353		3,182
TUI Travel		11,079		28
Tullow Oil		49,065		1,074
Unilever		2,505		79
United Utilities Group		135,290		1,368
Valiant Petroleum *		1,288		8
Vodafone Group		1,562,136		4,160
Weir Group		5,592		133
Whitbread		702		20
William Hill		58,917		245
Willis Group Holdings		28,800		1,016
WM Morrison Supermarkets		27,143		116
Wolseley		6,260		213
WPP		11,965		142
				62,867
United States — 0.7%
Apple *		1,008		582
Axis Capital Holdings		14,332		472
Capital One Financial		3,026		155
Georgia Gulf		1,213		36
Marcus		2,706		36
Newmont Mining		21,300		1,005
Nutraceutical International *		446		7
PDL BioPharma		3,178		21
Phillips 66 *		232		7
TGC Industries *		794		7
Thomas Properties Group		5,126		24
				2,352
Total Common Stock (Cost $365,619) ($ Thousands)				317,518

8 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

International Equity Fund

May 31, 2012

Description	Shares/Face Amount (1) ($Thousands)		Market Value ($Thousands)
PREFERRED STOCK — 0.2%
Germany — 0.2%
Bayerische Motoren Werke		837	$	43
Draegerwerk		177		18
Henkel		5,088		331
Porsche Automobil Holding		521		27
ProSiebenSat.1 Media		3,479		73
Volkswagen (A)		1,769		282
Total Preferred Stock (Cost $820) ($ Thousands)				774
	Number Of Rights
RIGHTS — 0.0%
Australia — 0.0%
AGL Energy, Expires 06/14/12		228		1
Italy — 0.0%
Fiat Industrial, Expires 06/22/12		4,761		—
Fiat Industrial, Expires 06/22/12		4,761		—
Fiat Spa, Expires 06/22/12		4,672		—
Fiat Spa, Expires 06/22/12		4,672		—
				—
Spain — 0.0%
Gas Natural SDG *		13,665		6
Total Rights (Cost $—) ($ Thousands)				7
AFFILIATED PARTNERSHIP — 4.9%
SEI Liquidity Fund, L.P. 0.170% †** (C)		16,701,883		15,926
Total Affiliated Partnership (Cost $16,702) ($ Thousands)				15,926
CASH EQUIVALENT — 1.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.100% †**		4,563,491		4,563
Total Cash Equivalent (Cost $4,563) ($ Thousands)				4,563
TIME DEPOSITS — 2.6%
United States — 2.6%
Brown Brothers Harriman
4.629%, 06/01/12	ZAR	1		1
2.968%, 06/01/12	AUD	9		9
1.650%, 06/01/12	NZD	—		—
0.650%, 06/01/12	NOK	—		—
0.650%, 06/01/12	SEK	—		—
0.242%, 06/01/12	CAD	—		—
0.068%, 06/01/12	GBP	5		5
0.040%, 06/01/12	EUR	296		296
0.030%, 06/01/12		7,830		7,830
0.010%, 06/01/12	DKK	—		—
0.010%, 06/01/12	JPY	39		39
0.010%, 06/01/12	SGD	—		—
0.005%, 06/01/12	CHF	147		147

Description	Face Amount (1) ($ Thousands)		Market Value ($ Thousands)
0.005%, 06/01/12	HKD	2	$	2
Total Time Deposits (Cost $8,329) ($ Thousands)				8,329
U.S. TREASURY OBLIGATIONS (D) (E) — 0.5%
U.S. Treasury Bills
0.040%, 08/23/12	$	1,273		1,273
0.011%, 06/28/12		266		266
Total U.S. Treasury Obligations (Cost $1,539) ($ Thousands)				1,539
Total Investments — 107.4% (Cost $397,572) ($ Thousands)			$	348,656

A list of the open futures contracts held by the Fund at May 31, 2012, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		107		Jun-2012	$	(379	)
FTSE 100 Index		30		Jun-2012		(209	)
Hang Seng Index		1		Jun-2012		1
SPI 200 Index		2		Jun-2012		(17	)
Topix Index		4		Jun-2012		(67	)
					$	(671	)

For the year ended May 31, 2012, 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 list of the open forward foreign currency contracts held by the Fund at May 31, 2012, is as follows:

Settlement Date	Currency to Deliver (Thousands)		Currency to Receive (Thousands)		Unrealized Appreciation ($ Thousands)
7/26/12	EUR	1,438	USD	1,901	$	122

A list of the counterparties for the open forward foreign currency contracts held by the Fund at May 31, 2012, is as follows:

Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation ($ Thousands)
State Street Bank	$	(1,779	)	$	1,901	$	122

For the year ended May 31, 2012, 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 year.

9 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

International Equity Fund

May 31, 2012

Percentages are based on a Net Assets of $324,696 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2012.

‡ Real Estate Investment Trust.

† 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 May 31, 2012. The total value of securities on loan at May 31, 2012 was $15,672 ($ 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) This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of May 31, 2012 was $15,926 ($ Thousands).

(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.

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

Ser — Series

SGD — Singapore Dollar

SPI — Share Price Index

USD — U.S. Dollar

ZAR — South African Rand

The following is a list of the inputs used as of May 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1			Level 2		Level 3		Total
Common Stock	$	317,367		$	—	$	151	$	317,518
Preferred Stock		774			—		—		774
Rights		7			—		—		7
Affiliated Partnership		—			15,926		—		15,926
Cash Equivalent		4,563			—		—		4,563
Time Deposits		8,329			—		—		8,329
U.S. Treasury Obligations		—			1,539		—		1,539
Total Investments in Securities	$	331,040		$	17,465	$	151	$	348,656
Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts *	$	(671	)	$	—	$	—	$	(671	)
Forwards Contracts *		—			122		—		122
Total Other Financial Instruments	$	(671	)	$	122	$	—	$	(549	)

* 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) as of May 31, 2012:

	Investments in Common Stock
Beginning balance as of June 1, 2011	$	—
Accrued discounts/premiums		—
Realized gain/(loss)		—
Change in unrealized appreciation/(depreciation)		—
Purchases		—
Sales		—
Net transfer into Level 3		151
Net transfer out of Level 3		—
Ending balance as of May 31, 2012	$	151
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	(336	)

For the year ended May 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2012, there were 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 / Annual Report / May 31, 2012

Schedule of Investments

World Equity Ex-US Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 90.0%
Australia — 2.3%
Aditya Birla Minerals		166,691	$	87
Amcor		622,194		4,508
Australia & New Zealand Banking Group		183,023		3,710
Australia & New Zealand Banking Group ADR (A)		925,600		18,836
Beach Energy		1,020,311		1,089
BGP Holdings *		239,898		—
BHP Billiton		255,775		7,931
BHP Billiton ADR (A)		297,200		18,287
Caltex Australia		597,526		7,911
Challenger		480,279		1,528
Iluka Resources		738,052		9,593
Rio Tinto		29,800		1,644
Santos		1,106,651		12,870
Sigma Pharmaceuticals		489,088		289
Telstra		1,206,220		4,153
Telstra ADR		694,600		11,961
				104,397
Austria — 0.8%
Andritz		5,155		273
Conwert Immobilien Invest		842,551		8,855
Erste Group Bank (A)		434,973		7,516
Schoeller-Bleckmann Oilfield Equipment		245,070		19,999
Voestalpine		21,741		543
				37,186
Belgium — 0.4%
Delhaize Group ADR		265,800		9,723
D’ieteren		17,247		653
InBev		129,567		8,771
				19,147
Brazil — 5.3%
Amil Participacoes		2,515,300		22,970
Banco Bradesco ADR (A)		2,155,376		31,555
Banco do Brasil		1,938,800		18,874
BM&F Bovespa		1,175,440		5,605
BR Malls Participacoes		1,425,607		15,674
BRF - Brasil Foods		159,100		2,452
Cia de Saneamento Basico do Estado de Sao Paulo ADR		690,884		48,175
Cia Paranaense de Energia ADR		1,286,700		26,146
Cia Vale do Rio Doce ADR, Cl B (A)		834,400		15,278
Cosan Industria e Comercio (Brazil)		43,700		640
Embraer ADR		295,900		8,344
Natura Cosmeticos		488,900		10,357
Petroleo Brasileiro ADR		630,200		12,327
Tim Participacoes ADR (A)		431,074		10,540
Totvs		826,265		14,699
				243,636
Canada — 7.2%
Aecon Group		24,400		280
Agrium		442,400		34,559
Alimentation Couche Tard, Cl B		105,830		4,174
Aurizon Mines *		57,876		278

Description	Shares		Market Value ($ Thousands)
BCE (A)		66,997	$	2,672
Brookfield Asset Management, Cl A		125,439		4,005
Canadian National Railway (A)		254,800		20,777
Canadian Natural Resources		359,642		10,298
Canyon Services Group		1,102,783		11,456
Cascades		32,900		140
Celestica *		139,300		1,010
Cenovus Energy		246,317		7,741
Centerra Gold		120,000		1,250
CGI Group, Cl A *		203,900		4,715
Domtar		59,590		4,714
Dorel Industries, Cl B		21,800		548
Empire, Cl A		32,200		1,713
Enbridge (A)		197,760		7,792
EnCana (A)		154,900		3,087
Goldcorp		78,870		2,858
Imperial Oil		55,900		2,240
Magna International, Cl A (A)		409,200		16,492
Manitoba Telecom Services (A)		13,200		430
Manulife Financial (A)		1,432,600		15,358
Methanex		149,300		4,163
MI Developments		102,230		3,334
National Bank of Canada		11,600		825
Nexen (A)		1,028,800		16,080
Onex		49,300		1,814
Poseidon Concepts (A)		1,198,812		16,666
Potash Corp of Saskatchewan		307,250		12,145
Quebecor, Cl B		36,700		1,338
Rogers Communications, Cl B (A)		263,500		9,041
Saputo (A)		89,700		3,706
Suncor Energy		306,800		8,302
TELUS, Cl A		74,900		4,242
Toronto-Dominion Bank		344,900		26,337
Trican Well Service		1,370,482		16,195
Valeant Pharmaceuticals International *		313,723		15,286
West Fraser Timber		17,200		779
Yamana Gold		2,262,134		33,031
				331,871
Chile — 0.1%
CFR Pharmaceuticals		20,196,530		4,110
Enersis ADR		94,993		1,634
				5,744
China — 3.9%
Anhui Conch Cement (A)		4,596,000		14,154
Baidu ADR *		98,192		11,564
China Life Insurance		2,643,774		6,207
China Merchants Bank		5,155,227		9,951
China National Building Material (A)		2,182,000		2,648
China Oilfield Services		9,989,400		13,876
China Petroleum & Chemical		24,236,600		21,580
China Shipping Container Lines * (A)		37,869,900		9,515
China Telecom		4,282,000		1,964
Industrial & Commercial Bank of China		29,561,800		17,979
Lenovo Group		4,190,000		3,563

1 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

World Equity Ex-US Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Mindray Medical International ADR (A)		468,800	$	14,153
PetroChina		10,120,000		12,805
Shanghai Friendship Group, Cl B		241,620		320
Sinopharm Group (A)		2,702,586		6,122
Tencent Holdings		303,935		8,357
Weichai Power * (A)		4,044,000		17,847
Yanzhou Coal Mining ADR * (A)		346,100		5,766
Zhaojin Mining Industry		1,015,500		1,196
				179,567
Colombia — 0.3%
BanColombia ADR, Cl R		266,600		15,785
Czech Republic — 0.2%
Komercni Banka		55,200		8,197
Denmark — 0.7%
AP Moller - Maersk, Cl B		322		1,997
Carlsberg, Cl B		7,818		583
Coloplast, Cl B		8,042		1,382
FLSmidth (A)		48,450		2,545
GN Store Nord		22,253		261
Novo-Nordisk, Cl B (A)		179,519		23,883
				30,651
Finland — 0.2%
Konecranes (A)		71,750		1,713
Stora Enso, Cl R		838,126		4,545
UPM-Kymmene		182,128		1,866
				8,124
France — 3.0%
Air Liquide		150,068		16,230
Alstom		73,340		2,131
Arkema (A)		110,054		7,198
BNP Paribas (A)		222,936		7,091
Capital Gemini (A)		266,500		8,979
Compagnie Generale des Etablissements Michelin, Cl B (A)		119,717		6,994
Faurecia		36,200		593
France Telecom ADR (A)		1,460,000		18,440
LVMH Moet Hennessy Louis Vuitton		122,676		18,111
Peugeot		198,919		1,962
Publicis Groupe		251,641		11,640
Sanofi-Aventis (A)		275,800		18,756
Societe Generale		232,161		4,610
Teleperformance		86,530		2,068
Thales (A)		23,515		695
Total		253,162		10,882
Valeo		26,885		1,136
Vallourec (A)		74,100		2,767
Wendel		9,263		607
				140,890
Germany — 5.9%
Aareal Bank *		15,893		236
Adidas		273,108		20,325
Allianz		116,900		10,568

Description	Shares		Market Value ($ Thousands)
BASF		326,666	$	22,772
Bayer		157,603		9,966
Bayerische Motoren Werke		78,050		5,897
Celesio (A)		82,099		1,131
Commerzbank *		457,668		755
Deutsche Boerse		148,700		7,081
Deutsche Lufthansa		847,268		8,886
Deutsche Post		544,799		8,973
Deutz *		43,415		226
Dialog Semiconductor *		746,428		14,421
Duerr		23,660		1,330
Freenet		141,397		1,943
Fresenius Medical Care (A)		309,528		20,548
GEA Group		559,149		14,228
Gildemeister		37,137		614
Hannover Rueckversicherung		10,006		535
Henkel		272,532		14,946
Infineon Technologies		784,154		6,193
Kabel Deutschland Holding *		290,003		16,451
Lanxess		77,232		5,117
Leoni		33,135		1,355
Muenchener Rueckversicherungs		102,248		12,674
Norddeutsche Affinerie		119,040		5,430
Rheinmetall		23,105		953
SAP (A)		682,351		39,147
Siemens		166,601		13,701
Stada Arzneimittel (A)		6,763		192
Suedzucker		214,271		6,515
				273,109
Hong Kong — 3.2%
AIA Group		1,846,400		6,019
Chaoda Modern Agriculture *		52,790		7
China Mobile		1,783,000		18,035
CLP Holdings		1,187,500		9,670
CNOOC		8,650,097		15,649
First Pacific		17,190,027		17,720
Hang Seng Bank		749,700		9,689
Hengdeli Holdings		40,130,000		11,789
Hong Kong Exchanges and Clearing		931,600		13,156
Hongkong Land Holdings		90,000		504
Jardine Matheson Holdings		293,475		14,204
Jardine Strategic Holdings		11,000		333
Melco Crown Entertainment ADR *		308,412		3,624
New World Development		512,000		552
Orient Overseas International		3,266,500		17,678
Power Assets Holdings		581,500		4,065
RCG Holdings *		54,383		5
SJM Holdings		1,437,000		2,551
Yue Yuen Industrial Holdings		397,500		1,237
				146,487
India — 0.7%
Allahabad Bank		402,797		939
Andhra Bank		163,260		316
ICICI Bank ADR		269,600		7,589
Indian Bank *		128,394		387
Indian Overseas Bank		123,917		179
ITC		957,670		3,911
JBF Industries		28,129		56

2 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

World Equity Ex-US Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Oriental Bank of Commerce		87,986	$	359
Petronet LNG		996,930		2,271
Tata Motors		1,888,821		7,837
Tata Motors ADR (A)		453,500		9,428
Zuari Holdings *		6,801		39
Zuari Industries		6,801		15
				33,326
Indonesia — 1.1%
Altisource Portfolio Solutions *		24,955		1,444
Bank Negara Indonesia Persero		1,570,000		618
Bank Rakyat Indonesia Persero		26,798,248		16,107
Charoen Pokphand Indonesia		54,346,500		15,176
Kalbe Farma		36,679,979		15,121
Telekomunikasi Indonesia ADR (A)		37,644		1,226
				49,692
Ireland — 0.9%
Accenture, Cl A		6,200		354
Covidien		228,200		11,816
Experian		1,065,996		14,849
ICON ADR *		704,667		15,129
				42,148
Israel — 1.3%
Bank Hapoalim		891,142		2,846
Ceragon Networks *		345,741		2,897
Check Point Software Technologies *		618,698		31,702
Israel Discount Bank, Cl A *		570,084		625
Teva Pharmaceutical Industries ADR		617,950		24,218
				62,288
Italy — 0.5%
Enel		637,034		1,813
Exor		139,466		2,975
Lottomatica		96,564		1,680
Tod’s (A)		149,489		14,713
				21,181
Japan — 12.4%
Aeon		782,500		9,480
Aisin Seiki		79,000		2,473
Alfresa Holdings		63,200		3,063
Alpine Electronics		80,100		867
Arnest One		25,200		294
Asahi Glass ADR		842,100		5,634
Autobacs Seven		13,500		699
Brother Industries		151,600		1,661
Calsonic Kansei		753,000		4,369
Canon		281,276		11,299
Central Glass		71,000		285
Central Japan Railway		381		3,100
Daicel		586,000		3,333
Daihatsu Motor		432,000		7,426
Dai-ichi Life Insurance		7,730		7,748
Daiichikosho		23,200		479
Daikyo		1,523,000		3,360
Dainippon Screen Manufacturing		201,000		1,451
Dainippon Sumitomo Pharma		505,300		4,833
Daito Trust Construction		115,800		10,190

Description	Shares		Market Value ($ Thousands)
Daiwa House Industry		1,146,000	$	14,614
DCM Japan Holdings		66,300		448
Dena		409,700		8,548
Denso		585,200		17,680
EDION (A)		243,300		1,291
FamilyMart		55,700		2,529
FANUC		61,750		10,647
Fuji Heavy Industries ADR		1,467,000		22,416
Fuji Media Holdings		2,086		3,325
Fujitsu		1,230,000		5,380
Geo		200		235
GMO internet		73,600		339
Gulliver International		6,900		220
Hino Motors		336,000		2,232
HIS		49,300		1,570
Hitachi		8,735,900		50,021
Honda Motor ADR		567,800		18,051
Idemitsu Kosan		22,600		2,046
IHI		1,284,000		2,636
Isetan Mitsukoshi Holdings		169,500		1,705
IT Holdings		142,200		1,585
Itochu Techno-Solutions		13,700		634
Izumi		37,000		749
Japan Securities Finance		2,382,001		11,392
JGC		115,000		3,156
JVC Kenwood Holdings		63,300		211
Kaken Pharmaceutical		24,000		312
Kao		28,200		729
KDDI		5,019		31,011
Komatsu		1,083,026		25,938
Konica Minolta Holdings		518,500		3,716
Kyorin		9,000		186
Maeda Road Construction		71,000		752
Medipal Holdings		374,800		4,751
Megane TOP		38,400		440
Melco Holdings		14,100		289
Miraca Holdings		51,900		1,981
Misawa Homes *		59,600		825
Mitsubishi Estate		245,000		3,809
Mitsubishi UFJ Financial Group		3,787,708		16,423
Mitsui ADR		62,200		17,609
Mitsui Matsushima		258,000		424
Mizuho Financial Group		13,223,000		19,392
Nagase		53,000		618
Namco Bandai Holdings		185,500		2,257
NEC Networks & System Integration		39,800		622
NET One Systems		136,000		1,880
Nichii Gakkan		280,900		2,744
Nippo		166,000		1,554
Nippon Express		102,000		399
Nippon Flour Mills		78,000		330
Nippon Light Metal		1,181,000		1,581
Nippon Steel		4,780,000		10,729
Nippon Telegraph & Telephone		158,100		6,815
Nissan Motor		533,400		5,156
Nitto Denko ADR		468,030		18,829
Nomura Real Estate Holdings		44,100		689
NTT Data		613		1,761
Oki Electric Industry, Cl B *		146,000		203
Osaka Securities Exchange (A)		2,391		13,843
Otsuka		10,000		795

3 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

World Equity Ex-US Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Otsuka Holdings		10,200	$	321
Pioneer * (A)		612,800		2,321
Sapporo Hokuyo Holdings		224,800		648
Secom		419,800		18,550
Sega Sammy Holdings		491,000		8,722
Seino Holdings		201,000		1,310
Sekisui Chemical		27,000		230
Shimachu		24,700		513
Ship Healthcare Holdings		33,900		798
SKY Perfect JSAT Holdings		3,769		1,541
Softbank		527,983		16,496
Sojitz		1,141,600		1,805
Suzuken		92,600		2,879
Sysmex		363,916		14,944
Toagosei		341,000		1,266
Toho Holdings		134,600		2,602
Tokyo Seimitsu		60,500		1,051
Tokyu Land		51,000		226
Toshiba TEC		168,000		591
Toyo Seikan Kaisha		69,500		787
Toyota Motor		546,069		21,170
Toyota Tsusho		19,300		356
TS Tech		18,700		331
Unipres		53,700		1,483
United Arrows		19,300		480
Watabe Wedding		7,955		72
Xebio		17,600		424
Zeon		937,000		7,193
				574,206
Malaysia — 0.1%
Affin Holdings		236,400		229
DiGi.Com		523,000		660
Hong Leong Financial Group		94,700		358
RHB Capital		310,300		727
Telekom Malaysia		2,081,500		3,537
				5,511
Mexico — 0.4%
Alfa, Cl A		134,504		1,680
Fomento Economico Mexicano		89,100		702
Fomento Economico Mexicano ADR		62,430		4,921
Wal-Mart de Mexico		4,403,900		10,575
				17,878
Netherlands — 4.7%
ASML Holding		261,100		11,977
Chicago Bridge & Iron		411,566		14,792
Core Laboratories		288,000		36,835
European Aeronautic Defense and Space		395,164		13,226
Heineken		180,700		8,612
ING Groep *		336,110		1,941
LyondellBasell Industries, Cl A		386,546		15,253
NXP Semiconductor *		752,547		15,887
Reed Elsevier		1,742,300		18,070
Royal Dutch Shell, Cl A (GBP)		120,089		3,717
Royal Dutch Shell, Cl A		1,214,446		37,585
Royal Dutch Shell ADR, Cl A		368,700		22,926
Royal KPN (A)		710,828		6,719
Unilever		137,110		4,314

Description	Shares		Market Value ($ Thousands)
Yandex, Cl A *		236,700	$	4,717
				216,571
New Zealand — 0.1%
Chorus *		229,090		561
Telecom of New Zealand		1,145,450		2,221
				2,782
Norway — 2.0%
DnB		1,847,508		16,655
Norsk Hydro		2,680,900		11,128
Seadrill		673,059		22,211
Statoil		344,817		7,780
Statoil ADR (A)		1,456,600		33,065
STX OSV Holdings		671,000		755
				91,594
Peru — 0.3%
Cementos Pacasmayo ADR *		1,005,841		10,974
Credicorp		28,600		3,568
				14,542
Poland — 0.2%
KGHM Polska Miedz		191,110		6,868
Polski Koncern Naftowy Orlen		37,153		347
Tauron Polska Energia		321,681		387
				7,602
Portugal — 0.3%
Jeronimo Martins		866,194		15,385
Qatar — 0.3%
Industries Qatar QSC		400,190		15,048
Russia — 0.5%
Lukoil ADR		150,832		7,901
Mail.ru Group GDR *		407,672		12,789
NovaTek OAO GDR		25,710		2,442
				23,132
Singapore — 1.4%
Avago Technologies		506,774		16,774
DBS Group Holdings		1,414,000		14,505
Ho Bee Investment		9,620,849		8,361
Oversea-Chinese Banking		148,000		960
United Overseas Bank		71,000		974
United Overseas Bank ADR		719,200		19,692
UOB-Kay Hian Holdings		55,000		68
Yangzijiang Shipbuilding
Holdings		1,817,000		1,459
				62,793
South Africa — 0.6%
Exxaro Resources		138,010		3,049
Sasol ADR		573,300		24,354
Telkom		253,773		679
				28,082
South Korea — 3.9%
Daum Communications		129,416		11,086
Hana Financial Group		312,560		9,852
Hanjin Shipping		455,210		5,188
Hyundai Mobis		67,429		15,825

4 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

World Equity Ex-US Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Hyundai Motor		131,503	$	27,186
Kia Motors		269,810		18,334
KISCO Holdings		616		18
Korea Zinc		7,684		2,311
POSCO		37,295		11,439
POSCO ADR (A)		199,700		15,123
Samsung Electronics		27,766		28,489
SK Holdings		60,747		6,305
SK Telecom		10,484		1,071
SK Telecom ADR		1,520,315		16,936
Woori Finance Holdings		347,520		3,239
Woori Finance Holdings ADR (A)		290,600		8,160
				180,562
Spain — 0.2%
Amadeus IT Holding, Cl A		13,236		242
Banco Popular Espanol		180		—
Mapfre		4,722,287		9,144
				9,386
Sweden — 1.6%
Billerud		58,221		447
Getinge, Cl B (A)		744,498		18,482
Hennes & Mauritz, Cl B		444,305		13,187
Industrivarden, Cl C (A)		30,611		372
Kinnevik Investment, Cl B		287,209		5,037
Saab, Cl B		16,556		256
Sandvik		268,260		3,339
Scania, Cl B		54,326		861
Svenska Cellulosa ADR		571,900		8,195
Svenska Handelsbanken, Cl A		204,400		5,707
Swedbank, Cl A		218,237		3,098
Telefonaktiebolaget LM Ericsson ADR		1,605,800		13,617
Trelleborg, Cl B		61,194		596
				73,194
Switzerland — 3.4%
Clariant		99,297		1,011
Credit Suisse Group		1,908		36
Credit Suisse Group ADR (A)		468,800		8,968
Forbo Holding		3,531		2,280
Georg Fischer		4,141		1,449
Julius Baer Group		267,591		8,388
Nestle		397,377		22,512
Novartis		280,912		14,584
Novartis ADR		232,900		12,118
OC Oerlikon		491,748		4,104
Roche Holding		164,212		25,618
STMicroelectronics		542,479		2,763
Swatch Group, Cl B		30,246		11,625
Swiss Life Holding		11,788		944
Syngenta		24,560		7,860
Transocean		248,200		10,134
Zurich Insurance Group ADR (A)		1,226,000		25,268
				159,662
Taiwan — 1.0%
Advanced Semiconductor
Engineering ADR (A) Far EasTone		4,330,676		20,051
Telecommunications		130,000		289

Description		Shares		Market Value ($ Thousands)
Fubon Financial Holding			8,617,612	$	8,560
Hiwin Technologies			178,680		1,790
Hwa Fong Rubber *			616,000		106
Long Bon International			488,000		208
Taishin Financial Holding			2,193,211		823
Taiwan Semiconductor Manufacturing ADR (A)			654,500		8,986
United Microelectronics			4,159,000		1,825
United Microelectronics ADR (A)			1,211,600		2,557
					45,195
Thailand — 1.6%
Advanced Info Service			2,296,700		12,922
Bangkok Bank			1,564,600		8,852
Charoen Pokphand Foods			17,427,100		20,815
CP ALL			13,438,426		14,467
Krung Thai Bank			5,781,800		2,726
Siam Commercial Bank			841,000		3,714
Total Access Communication			3,868,600		9,363
					72,859
Turkey — 0.6%
Akbank			3,381,563		10,343
Arcelik			125,831		528
KOC Holding ADR			521,850		8,480
Turkiye Garanti Bankasi			1,590,229		5,103
Turkiye Halk Bankasi			72,305		444
Turkiye Vakiflar Bankasi Tao, Cl D			1,578,333		2,515
					27,413
	��
United Kingdom — 13.5%
Aberdeen Asset Management			964,640		3,608
Anglo American			101,690		3,085
ARM Holdings			1,090,492		8,501
ARM Holdings ADR			1,328,800		31,214
AstraZeneca			417,952		16,841
AstraZeneca ADR			597,600		24,149
BAE Systems ADR (A)			999,000		17,003
Barclays			347,941		944
BG Group			1,015,549		19,421
BHP Billiton			60,506		1,578
Bodycote			40,421		236
BP			848,613		5,158
BP PLC ADR			197,128		7,187
British American Tobacco			652,686		30,725
Cairn Energy			88,671		390
Cape			55,700		207
Carnival			473,650		15,207
Centrica			427,289		2,035
Debenhams			294,774		351
Diageo			1,197,278		28,508
Diageo ADR			216,600		20,651
Drax Group			152,300		1,283
EnQuest *			204,336		382
Eurasian Natural Resources			399,770		2,600
GlaxoSmithKline			200,100		4,429
HSBC Holdings			3,216,736		25,321
Imagination Technologies Group *			1,461,377		11,087
Imperial Tobacco Group			1,033,455		37,253
Intercontinental Hotels Group			61,280		1,439

5 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

World Equity Ex-US Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Intermediate Capital Group		3,035,019	$	11,538
Investec		207,487		1,059
Kazakhmys		527,054		5,394
Kingfisher		2,933,584		12,733
London Stock Exchange Group		20,125		310
Marks & Spencer Group ADR		910,700		9,253
Micro Focus International		83,889		574
Mondi		255,259		1,992
Pearson		759,524		13,292
Petrofac		202,690		4,826
QinetiQ		172,274		406
Reckitt Benckiser Group		380,215		20,154
Rio Tinto		220,814		9,448
Rio Tinto ADR (A)		758,900		32,800
Rolls-Royce Holdings		792,740		10,030
SABMiller		255,288		9,410
Sage Group ADR (A)		540,400		8,587
Shire		1,053,378		29,638
Standard Chartered		875,041		17,630
Tate & Lyle		31,867		330
Tesco		3,234,562		15,062
Unilever ADR (A)		1,096,300		34,621
Vodafone Group		6,787,140		18,072
Weir Group (A)		623,906		14,827
WH Smith		40,700		301
William Hill		559,001		2,328
Wolseley		82,280		2,796
WPP		1,192,649		14,208
Xyratex		91,346		1,045
				623,457
United States — 2.9%
Andersons		20,748		904
Apple *		15,143		8,748
Arctic Cat *		14,662		530
Axis Capital Holdings		619,200		20,371
Boise (A)		405,023		2,795
Calamos Asset Management, Cl A		36,343		395
Cambrex *		100,750		724
Carnival (A)		398,300		12,782
Central Garden and Pet *		35,753		322
Everest Re Group		190,000		19,403
Golden Star Resources * (A)		377,686		402
Momenta Pharmaceuticals * (A)		90,449		1,247
PDL BioPharma (A)		136,930		889
PHH *		66,186		1,097
Phillips 66 *		24,467		735
RenaissanceRe Holdings (A)		114,400		8,817
Schlumberger (A)		262,620		16,611
Tyson Foods, Cl A		365,003		7,070
Universal		47,434		2,143
Virgin Media (A)		688,779		15,174
Western Refining		23,380		452
World Acceptance * (A)		28,434		1,946
Yum! Brands		156,700		11,025
				134,582
Total Common Stock (Cost $4,478,745) ($ Thousands)				4,154,862

Description	Shares/Face Amount (1) ($ Thousands)		Market Value ($ Thousands)
PREFERRED STOCK — 1.1%
Brazil — 0.4%
Cia de Bebidas das Americas ADR		308,542	$	11,833
Itau Unibanco Holding ADR		502,100		7,265
				19,098
Germany — 0.7%
Hugo Boss (A)		181,383		17,616
ProSiebenSat.1 Media		32,669		685
Volkswagen (A)		92,490		14,764
				33,065
Total Preferred Stock (Cost $47,563) ($ Thousands)				52,163
EXCHANGE-TRADED FUND — 0.4%
United States — 0.4%
iShares MSCI Emerging Markets Index Fund		525,700		19,819
Total Exchange-Traded Fund (Cost $22,548) ($ Thousands)				19,819
AFFILIATED PARTNERSHIP — 10.1%
SEI Liquidity Fund, L.P. 0.170% †** (B)		471,925,984		468,332
Total Affiliated Partnership (Cost $471,926) ($ Thousands)				468,332
CASH EQUIVALENT — 2.2%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.100% †**		102,836,494		102,836
Total Cash Equivalent (Cost $102,836) ($ Thousands)				102,836
TIME DEPOSITS — 0.7%
United States — 0.7%
Brown Brothers Harriman
4.629%, 06/01/12	ZAR	104		104
2.968%, 06/01/12	AUD	2,391		2,391
1.650%, 06/01/12	NZD	—		—
0.650%, 06/01/12	NOK	4		4
0.242%, 06/01/12	CAD	51		51
0.068%, 06/01/12	GBP	1,158		1,158
0.065%, 06/01/12	SEK	879		879
0.040%, 06/01/12	EUR	1,811		1,811
0.030%, 06/01/12		22,949		22,949
0.010%, 06/01/12	DKK	56		56
0.010%, 06/01/12	JPY	1,265		1,265
0.010%, 06/01/12	SGD	387		387
0.005%, 06/01/12	CHF	1,692		1,692
0.005%, 06/01/12	HKD	186		186
Total Time Deposits (Cost $32,933) ($ Thousands)				32,933

6 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

World Equity Ex-US Fund

May 31, 2012

Description	Face Amount (1) ($ Thousands)		Market Value ($ Thousands)
U.S. TREASURY OBLIGATIONS (C) (D) — 0.5%
U.S. Treasury Bills
0.074%, 09/20/12	$	13,192	$	13,189
0.060%, 06/14/12		2,382		2,382
0.040%, 08/23/12		1,351		1,351
0.017%, 06/28/12		6,469		6,469
Total U.S. Treasury Obligations (Cost $23,391) ($ Thousands)				23,391
Total Investments — 105.0% (Cost $5,179,942) ($ Thousands)			$	4,854,336

The open futures contracts held by the Fund at May 31, 2012, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		1,223		Jun-2012	$	(5,517	)
FTSE 100 Index		339		Jun-2012		(3,185	)
Hang Seng Index		73		Jun-2012		57
S&P/TSX 60 Index		104		Jun-2012		(963	)
SPI 200 Index		184		Jun-2012		(946	)
Topix Index		493		Jun-2012		(4,416	)
					$	(14,970	)

For the year ended May 31, 2012, 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 list of the open forward foreign currency contracts held by the Fund at May 31, 2012, is as follows:

Settlement Date	Currency to Deliver (Thousands)		Currency to Receive (Thousands)		Unrealized Appreciation ($ Thousands)
6/18/12-11/8/12	EUR	61,617	USD	79,921	$	3,649

A list of the counterparties for the open forward foreign currency contracts held by the Fund at May 31, 2012, is as follows:

Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation ($ Thousands)
Brown Brothers Harriman	$	(25,332	)	$	26,039	$	707
State Street Bank		(50,940	)		53,882		2,942
						$	3,649

For the year ended May 31, 2012, 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 year.

Percentages are based on a Net Assets of $4,623,934 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2012.

† 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 May 31, 2012. The total value of securities on loan at May 31, 2012 was $450,476 ($ Thousands).

(B) This security was purchased with cash collateral held from securities on loan (see
Note 11). The total value of such securities as of May 31, 2012 was $468,332 ($ 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

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

DJ — Dow Jones

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

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 list of the inputs used as of May 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1			Level 2		Level 3		Total
Common Stock	$	4,154,816		$	—	$	46	$	4,154,862
Preferred Stock		52,163			—		—		52,163
Exchange-Traded Fund		19,819			—		—		19,819
Affiliated Partnership		—			468,332		—		468,332
Cash Equivalent		102,836			—		—		102,836
Time Deposits		32,933			—		—		32,933
U.S. Treasury Obligations		—			23,391		—		23,391
Total Investments in Securities	$	4,362,567		$	491,723	$	46	$	4,854,336
Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts *	$	(14,970	)	$	—	$	—	$	(14,970	)
Forwards Contracts *		—			3,649		—		3,649
Total Other Financial Instruments	$	(14,970	)	$	3,649	$	—	$	(11,321	)

* 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) as of May 31, 2012:

	Investments in Common Stock
Beginning balance as of June 1, 2011	$	—
Accrued discounts/premiums		—
Realized gain/(loss)		—
Change in unrealized appreciation/(depreciation)		(27	)
Purchases		66
Sales		—
Net transfer into Level 3		7
Net transfer out of Level 3		—
Ending balance as of May 31, 2012	$	46
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	(51	)

For the year ended May 31, 2012, there were 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.

7 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

World Equity Ex-US Fund

May 31, 2012

For the year ended May 31, 2012, there were 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 / Annual Report / May 31, 2012

Schedule of Investments

Screened World Equity Ex-US Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 91.1%
Australia — 2.9%
Amcor		8,000	$	58
Australia & New Zealand Banking Group		432		9
BGP Holdings *		4,500		—
BHP Billiton		13,406		416
BHP Billiton ADR		4,900		301
Rio Tinto		3,295		182
Santos		15,426		179
Telstra		20,700		71
WDS		10,184		5
Westpac Banking		134		3
Woodside Petroleum		6,600		206
				1,430
Austria — 1.3%
Conwert Immobilien Invest		13,803		145
Erste Group Bank		7,059		122
Schoeller-Bleckmann Oilfield Equipment		3,991		326
Strabag		1,589		35
Voestalpine		106		2
				630
Belgium — 0.1%
Recticel		5,843		31
Brazil — 2.9%
Amil Participacoes		40,500		370
Banco Bradesco ADR		13,700		201
Banco do Brasil		32,400		315
BM&F Bovespa		20,999		100
Cia de Saneamento Basico do Estado de Sao Paulo		1,700		59
Cielo		2,300		61
Embraer ADR		4,952		140
Natura Cosmeticos		8,465		179
				1,425
Canada — 5.4%
Agrium		800		63
Bank of Montreal		2,000		107
Brookfield Real Estate Services		1,108		13
Canadian National Railway		3,134		256
Canadian Natural Resources		9,913		284
Cenovus Energy		4,974		156
Cogeco		400		16
Enbridge		2,720		107
EnCana		7,400		147
Imperial Oil		5,600		224
Intertape Polymer Group *		22,619		154
Magellan Aerospace *		1,300		4
Nexen		9,400		147
Onex		100		4
Potash Corp of Saskatchewan		7,448		294
Rogers Communications, Cl B		4,300		148
Royal Bank of Canada		5,800		289
Toronto-Dominion Bank		3,200		244
				2,657

Description	Shares		Market Value ($ Thousands)
China — 5.3%
Agricultural Bank of China		10,000	$	4
Anhui Conch Cement		76,000		234
Baidu ADR *		1,787		210
Bank of China		412,000		159
China Life Insurance		43,367		102
China Merchants Bank		88,475		171
China National Building Material		60,000		73
China Oilfield Services		163,800		227
China Shipping Container Lines *		623,000		157
Dongyue Group		66,000		43
Industrial & Commercial Bank of China		578,758		352
Lenovo Group		84,000		71
Mindray Medical International ADR		7,700		232
Sinopharm Group		44,825		102
Tencent Holdings		5,125		141
Weichai Power *		66,000		291
				2,569
Colombia — 0.5%
BanColombia ADR, Cl R		4,400		260
Ecopetrol ADR		129		8
				268
Czech Republic — 0.3%
Komercni Banka		900		134
Denmark — 1.1%
AP Moller - Maersk, Cl B		29		180
Novo-Nordisk, Cl B		2,862		381
				561
Finland — 0.3%
Metso		3,528		115
Norvestia, Cl B		38		—
Tieto		1,555		24
				139
France — 3.2%
Air Liquide		2,599		281
AXA		10,982		123
BNP Paribas		3,271		104
Compagnie Generale des Etablissements Michelin, Cl B		2,435		142
Danone		1,380		89
Les Nouveaux Constructeurs Investissement		2,195		14
L’Oreal		730		82
LVMH Moet Hennessy Louis Vuitton		2,093		309
Publicis Groupe		4,135		191
Societe Generale		3,601		72
UBISOFT Entertainment *		11,900		80
Vallourec		1,250		47
Vivendi		519		8
				1,542
Germany — 5.9%
Adidas		4,515		336
Allianz		2,104		190
Aurelius		449		19

1 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Screened World Equity Ex-US Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
BASF		6,837	$	477
Bayer		3,813		241
Bayerische Motoren Werke		1,400		106
Continental		980		82
Fresenius Medical Care		5,562		369
Infineon Technologies		6,920		55
Kabel Deutschland Holding *		1,050		59
Leifheit		196		5
SAP		7,365		422
Schuler		1,956		49
Siemens		2,780		229
Suedzucker		1,370		42
Volkswagen		1,142		172
				2,853
Greece — 0.0%
OPAP		901		5
Hong Kong — 4.2%
AIA Group		38,200		125
Alco Holdings		38,415		13
Allan International Holdings		11,683		3
China Mobile		24,500		248
CLP Holdings		2,500		20
CNOOC		149,912		271
CSI Properties		1,960,000		76
First Pacific		56,000		58
Hong Kong Exchanges and Clearing		16,721		236
Hong Kong Ferry Holdings		10,000		8
Jardine Matheson Holdings		3,600		174
Jardine Strategic Holdings		1,842		56
Luen Thai Holdings		115,000		15
Melco Crown Entertainment ADR *		3,560		42
Orient Overseas International		52,500		284
Pacific Textile Holdings		25,000		16
Power Assets Holdings		8,000		56
Sincere Watch Hong Kong		132,000		36
SJM Holdings		43,000		76
TAI Cheung Holdings		208,000		137
Wing On International		30,111		66
Yue Yuen Industrial Holdings		11,500		36
				2,052
India — 0.6%
ICICI Bank ADR		5,211		146
Tata Motors ADR		6,431		134
				280
Indonesia — 0.1%
Asahimas Flat Glass		3,000		2
Media Nusantara Citra		273,500		54
				56
Ireland — 1.0%
Accenture, Cl A		100		5
Covidien		4,111		213
ICON ADR *		11,633		250
				468
Israel — 1.3%
Ceragon Networks *		9,659		81

Description	Shares		Market Value ($ Thousands)
Check Point Software
Technologies *		5,651	$	290
Teva Pharmaceutical Industries ADR		7,045		276
				647
Italy — 0.4%
Danieli & C Officine Meccaniche		620		13
Enel		33,760		96
Exor		2,305		49
Impregilo		10,455		42
				200
Japan — 12.1%
Arc Land Sakamoto		4,500		71
Argo Graphics		3,000		41
AT-Group		4,000		55
Belluna		5,450		41
Best Denki		14,000		26
Canon		4,657		187
Chuo Spring		3,000		10
Create Restaurants Holdings		1,000		7
Daihatsu Motor		4,500		77
Dai-ichi Life Insurance		95		95
Daito Trust Construction		700		62
Daiwa House Industry		4,000		51
Denso		9,600		290
Faith		198		21
FamilyMart		1,200		55
FANUC		1,701		293
Fuji Kiko *		2,000		6
Fujitec		4,000		26
Fujitsu		18,000		79
Futaba Industrial		11,000		48
Gamecard-Joyco Holdings		1,000		15
Happinet		9,400		88
HIS		5,200		166
Hitachi		64,000		367
Hokkaido Coca-Cola Bottling		1,000		5
Hokkan Holdings		5,000		14
Hokuriku Gas		8,000		21
Honda Motor ADR		9,300		296
IT Holdings		200		2
J Trust		330		3
Japan Tobacco		36		201
JGC		2,000		55
Justsystems *		8,800		21
Kamei		4,000		40
KDDI		35		216
Keiyo Gas		1,000		5
Komatsu		11,729		281
KRS		900		10
Marubun		2,400		10
Maruzen - General Commercial Kitchen Appliances & Equipment		2,000		13
Mimasu Semiconductor Industry		1,500		12
Mitani		4,800		57
Mitsubishi Estate		5,000		78
Mitsubishi UFJ Financial Group		111,453		483
Murakami		1,000		13
Nagawa		300		4
Nakano		2,500		4

2 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Screened World Equity Ex-US Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Nakayo Telecommunications		5,000	$	19
Namura Shipbuilding		7,200		22
NET One Systems		4,200		58
Nichireki		4,000		19
NIFTY		20		27
Nihon Tokushu Toryo		1,600		6
Nippon Steel		79,000		177
Nippon Telegraph & Telephone		5,300		229
Nisshin Fudosan		5,200		29
Nissin Sugar Holdings		2,300		44
Nittan Valve		1,300		5
Otsuka Holdings		3,400		107
Pacific Industrial		4,000		26
Rokko Butter		3,000		18
San-Ai Oil		3,000		13
Sankyo Frontier		2,000		10
Secom		6,900		305
Seino Holdings		20,000		130
Senshu Electric		2,400		30
Shidax		2,600		11
Shin Nippon Air Technologies		2,000		11
Shiroki		9,000		23
Soken Chemical & Engineering		700		6
Starts		1,500		8
TBK		2,000		11
Tokai		4,200		91
Tokyu Construction		36,270		71
Toyota Motor		7,854		305
Toyota Tsusho		200		4
Warabeya Nichiyo		4,400		69
Yachiyo Industry		600		3
Zuken		1,500		10
				5,918
Malaysia — 0.2%
AMMB Holdings		31,700		62
DRB-Hicom		18,300		14
Hong Leong Financial Group		2,700		10
				86
Mexico — 1.6%
America Movil ADR, Ser L		9,250		218
Fomento Economico Mexicano ADR		1,270		100
Grupo KUO De		9,900		18
Grupo Simec, Ser B, Cl B *		5,900		17
Industrias, Ser B *		54,100		217
Wal-Mart de Mexico		78,005		187
				757
Netherlands — 2.5%
Core Laboratories		5,100		652
European Aeronautic Defense and Space		8,308		278
ING Groep *		288		2
Royal KPN		11,635		110
SNS Reaal *		1,762		2
Unilever		2,850		90
Yandex, Cl A *		3,414		68
				1,202
Norway — 1.0%
DnB		30,350		273
Kvaerner		6,592		14

Description	Shares		Market Value ($ Thousands)
Norsk Hydro		44,058	$	183
				470
Peru — 0.1%
Credicorp		590		74
Philippines — 0.2%
Megaworld		968,000		45
Metropolitan Bank & Trust		21,700		45
				90
Poland — 0.4%
Getin Holding *		3,605		2
KGHM Polska Miedz		3,304		119
Polski Koncern Naftowy Orlen		9,007		84
				205
Russia — 0.1%
Surgutneftegaz ADR		3,407		26
Singapore — 1.3%
Bukit Sembawang Estates		11,000		39
DBS Group Holdings		23,000		236
Golden Agri-Resources		8,000		4
GP Batteries International		17,000		14
Ho Bee Investment		7,000		6
Keppel		8,000		62
Oversea-Chinese Banking		2,000		13
Popular Holdings		41,000		7
QAF		39,000		20
United Industrial		89,000		174
United Overseas Bank		2,000		27
UOB-Kay Hian Holdings		43,000		53
				655
South Africa — 0.0%
MTN Group		163		3
South Korea — 3.8%
Hana Financial Group		880		28
Hanjin Shipping		6,616		75
Hyundai Mobis		1,129		265
Hyundai Motor		2,051		424
Kia Motors		3,175		216
KyungDong City Gas		297		15
Nexen		601		31
Nong Shim Holdings		126		6
POSCO		526		161
Samsung Electronics		439		450
SK Holdings		926		96
Taekwang Industrial		123		82
YESCO		1,030		22
				1,871
Spain — 0.3%
Mapfre		77,665		150
Sweden — 2.2%
Billerud		1,324		10
Getinge, Cl B		12,191		303
Hennes & Mauritz, Cl B		7,433		221

3 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Screened World Equity Ex-US Fund

May 31, 2012

Description	Shares		Market Value ($ Thousands)
Sandvik		5,440	$	68
Svenska Cellulosa, Cl B		243		3
Svenska Handelsbanken, Cl A		5,359		150
Swedbank, Cl A		5,940		84
Telefonaktiebolaget LM Ericsson ADR		26,200		222
				1,061
Switzerland — 5.1%
Clariant		2,237		23
Credit Suisse Group		33		1
Credit Suisse Group ADR		7,700		147
Givaudan		80		74
Julius Baer Group		4,485		141
Nestle		6,752		382
Novartis		4,933		256
Novartis ADR		3,800		198
OC Oerlikon		13,246		111
Roche Holding		3,232		504
Swatch Group, Cl B		570		219
Swiss Re		1,620		93
Syngenta		516		165
Transocean		4,100		167
				2,481
Taiwan — 2.0%
Advanced Semiconductor
Engineering ADR		68,387		317
Asia Polymer		37,500		39
Asustek Computer		1,647		16
Catcher Technology		12,000		76
CMC Magnetics *		78,000		13
Elitegroup Computer Systems		52,000		19
Formosa Chemicals & Fibre		5,000		13
Formosa Petrochemical		7,000		19
HON HAI Precision Industry		7,392		22
Nan Ya Plastics		6,000		10
Pegatron		3,633		5
Quanta Computer		8,000		21
Taiwan Semiconductor Manufacturing ADR		19,526		268
United Microelectronics ADR		41,062		87
Yageo		72,000		22
Zenitron		23,000		17
				964
Thailand — 1.2%
Advanced Info Service		47,400		267
Bangchak Petroleum		7,700		6
Charoen Pokphand Foods		54,800		65
Siam Commercial Bank		17,600		78
Total Access Communication		73,200		177
				593
Turkey — 0.7%
Akbank		55,634		170
Turkiye Garanti Bankasi		26,125		84
Turkiye Halk Bankasi		10,490		64
				318
United Kingdom — 16.9%
Aberdeen Asset Management		14,850		56
Amec		4,400		65
Anglo American		2,260		69

Description	Shares		Market Value ($ Thousands)
ARM Holdings		15,679	$	122
ARM Holdings ADR		21,800		512
AstraZeneca		6,874		277
Barclays		43,067		117
BG Group		16,726		320
BHP Billiton		4,345		113
BP		21,255		129
BP PLC ADR		4,764		174
British American Tobacco		10,788		508
Carnival		7,571		243
Dart Group		7,297		7
Diageo		20,835		496
Elementis		32,114		100
Eurasian Natural Resources		10,767		70
Gem Diamonds *		15,406		48
GKN		20,060		57
GlaxoSmithKline		4,940		109
HSBC Holdings		79,669		626
Imperial Tobacco Group		7,779		280
Johnson Service Group		14,781		7
Kazakhmys		6,821		70
Kingfisher		50,867		221
Meggitt		15,370		89
Pearson		11,989		210
QinetiQ		2,709		6
Reckitt Benckiser Group		6,437		341
Rio Tinto		5,930		254
Rio Tinto ADR		7,100		307
Rolls-Royce Holdings		19,460		246
SABMiller		4,460		164
Shire		17,779		500
Standard Chartered		14,188		286
Subsea 7		8,000		158
Tesco		54,103		252
Unilever ADR		8,800		278
Vodafone Group		117,844		314
William Hill		13,800		58
				8,259
United States — 2.6%
Adams Resources & Energy		276		10
Apple *		417		241
Calamos Asset Management, Cl A		3,425		37
Carnival		6,500		209
Everest Re Group		3,100		316
Exxon Mobil		1,131		89
Flexsteel Industries		1,169		23
Golden Star Resources *		1,195		1
Multimedia Games Holding *		2,039		26
Philip Morris International		1,749		148
Yum! Brands		2,700		190
				1,290
Total Common Stock (Cost $49,300) ($ Thousands)				44,420
PREFERRED STOCK — 1.8%
Brazil — 1.1%
Cia de Bebidas das Americas ADR		6,258		240
Cia Energetica do Ceara		8,900		156

4 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Screened World Equity Ex-US Fund

May 31, 2012

Description	Shares/Face Amount (1) (Thousands)		Market Value ($ Thousands)
Itau Unibanco Holding ADR		8,700	$	126
				522
Canada — 0.1%
Primero Mining, Cl Common Subscription Recei *		11,900		33
Germany — 0.6%
Draegerwerk		200		20
Hugo Boss		510		50
RWE		88		3
Volkswagen		1,493		238
				311
Total Preferred Stock (Cost $889) ($ Thousands)				866
EXCHANGE-TRADED FUND — 0.7%
United States — 0.7%
iShares MSCI Emerging Markets Index Fund		8,500		320
Total Exchange-Traded Fund (Cost $390) ($ Thousands)				320
TIME DEPOSITS — 2.6%
United States — 2.6%
Brown Brothers Harriman
4.629%, 06/01/12	ZAR	2		2
2.968%, 06/01/12	AUD	91		91
1.650%, 06/01/12	NZD	1		1
0.650%, 06/01/12	NOK	9		9
0.650%, 06/01/12	SEK	14		14
0.242%, 06/01/12	CAD	49		49
0.068%, 06/01/12	GBP	75		75
0.040%, 06/01/12	EUR	122		122
0.030%, 06/01/12		765		765
0.010%, 06/01/12	DKK	17		17
0.010%, 06/01/12	JPY	68		68
0.010%, 06/01/12	SGD	10		10
0.005%, 06/01/12	CHF	25		25
0.005%, 06/01/12	HKD	15		15
Total Time Deposits (Cost $1,263) ($ Thousands)				1,263
CASH EQUIVALENT — 0.9%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.100% †**		459,690		460
Total Cash Equivalent (Cost $460) ($ Thousands)				460

Description	Face Amount (1) ($ Thousands)		Market Value ($ Thousands)
U.S. TREASURY OBLIGATIONS (A) (B) — 0.8%
U.S. Treasury Bills
0.107%, 09/20/12	$	175	$	175
0.072%, 08/23/12		15		15
0.059%, 06/28/12		208		208
Total U.S. Treasury Obligations (Cost $398) ($ Thousands)				398
Total Investments — 97.9% (Cost $52,700) ($ Thousands)			$	47,727

The open futures contracts held by the Fund at May 31, 2012, is as follows:

Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		27		Jun-2012	$	(38	)
FTSE 100 Index		7		Jun-2012		(22	)
S&P/TSX 60 Index		3		Jun-2012		3
SPI 200 Index		1		Jun-2012		(8	)
Topix Index		2		Jun-2012		(18	)
					$	(83	)

For the year ended May 31, 2012, 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 list of the open forward foreign currency contracts held by the Fund at May 31, 2012, is as follows:

Settlement Date	Currency to Deliver (Thousands)		Currency to Receive (Thousands)		Unrealized ($ Thousands) Appreciation
6/18/12-11/8/12	EUR	1,086		USD  1,408	$	64

A list of the counterparties for the open forward foreign currency contracts held by the Fund at May 31, 2012, is as follows:

Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation ($ Thousands)
Brown Brothers Harriman	$	(1,344	)	$	1,408	$	64

For the year ended May 31, 2012, 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 year.

Percentages are based on a Net Assets of $48,756 ($ Thousands).

* Non-income producing security.

** The rate reported is the 7-day effective yield as of May 31, 2012.

† Investment in Affiliated Security (see Note 5).

(1) In U.S. dollars unless otherwise indicated.

(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.

5 SEI Institutional Investments Trust / Annual Report / May 31, 2012

Schedule of Investments

Screened World Equity Ex-US Fund

May 31, 2012

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

PLC — Public Limited Company

S&P — Standard & Poor’s

SEK — Swedish Krone

Ser — Series

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 list of the inputs used as of May 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1			Level 2		Level 3		Total
Common Stock	$	44,420		$	—	$	—	$	44,420
Preferred Stock		866			—		—		866
Exchange-Traded Fund		320			—		—		320
Time Deposits		1,263			—		—		1,263
Cash Equivalent		460			—		—		460
U.S. Treasury Obligations		—			398		—		398
Total Investments in Securities	$	47,329		$	398	$	—	$	47,727
Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts *	$	(83	)	$	—	$	—	$	(83	)
Forwards Contracts *		—			64		—		64
Total Other Financial Instruments	$	(83	)	$	64	$	—	$	(19	)

* Futures and forwards contracts are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended May 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2012, there were no 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 / Annual Report / May 31, 2012

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders

SEI Institutional Investments Trust:

We have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the financial statements of SEI Institutional Investments Trust, comprising the Large Cap Fund, Large Cap Diversified Alpha Fund, Large Cap Disciplined Equity Fund, Large Cap Index Fund, Small Cap Fund, Small Cap II 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 and Multi-Asset Real Return Fund (collectively, the “Funds”), as of and for the year or period ended May 31, 2012, and have issued our unqualified report thereon dated July 27, 2012 (which report and financial statements are included in Item 1 of this Certified Shareholder Report on Form N-CSR). Our audits included an audit of the Funds’ schedules of investments in securities (the “Schedules”) as of May 31, 2012 appearing in Item 6 of this Form N-CSR. These Schedules are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these Schedules based on our audits.

In our opinion, the Schedules referred to above, when read in conjunction with the financial statements of the Funds referred to above, present fairly, in all material respects, the information set forth therein.

/s/ KPMG LLP

Philadelphia, Pennsylvania

July 27, 2012

(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 fiscal year ended May 31, 2012.

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 Governance Committee (the “Committee”) currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Registrant’s Board of Trustees (the “Board”). Pursuant to the Committee’s Charter, adopted on June 18, 2004, as amended, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Registrant’s office.

Item 11. Controls and Procedures.

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

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

Items 12. Exhibits.

(a)(1) Code of Ethics attached hereto.

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

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

SIGNATURES

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

	SEI Institutional Investments Trust
By	/s/    Robert A. Nesher
	Robert A. Nesher
	President & CEO

Date: August 8, 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: August 8, 2012

By	/s/    Peter A. Rodriguez
	Peter A. Rodriguez
	Controller & CFO

Date: August 8, 2012