UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSRS
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-07257
SEI Institutional Investments Trust
(Exact name of registrant as specified in charter)
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Address of principal executive offices) (Zip code)
CT Corporation
155 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, 2013
Date of reporting period: November 30, 2012
Item 1. | Reports to Stockholders. |
November 30, 2012
SEMI-ANNUAL REPORT
SEI Institutional Investments Trust
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
Long Duration Corporate Bond Fund
Ultra Short Duration Bond Fund
Emerging Markets Debt Fund
Real Return Fund
Dynamic Asset Allocation Fund
Multi-Asset Real Return Fund
1 | ||||
200 | ||||
204 | ||||
208 | ||||
214 | ||||
215 | ||||
218 | ||||
238 | ||||
Board of Trustees Considerations in Approving | 240 |
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.
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund
November 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.8% |
| |||||||||||
Consumer Discretionary — 14.9% |
| |||||||||||
CBS, Cl B | 0.7 | % | 350,090 | $ | 12,596 | |||||||
Coach | 1.0 | 302,740 | 17,510 | |||||||||
Lowe’s | 0.8 | 392,821 | 14,177 | |||||||||
NIKE, Cl B | 0.8 | 154,992 | 15,109 | |||||||||
Target | 1.0 | 273,268 | 17,251 | |||||||||
Time Warner Cable, Cl A | 0.5 | 104,790 | 9,944 | |||||||||
Other Securities | 10.1 | 183,229 | ||||||||||
|
| |||||||||||
269,816 | ||||||||||||
|
| |||||||||||
Consumer Staples — 9.7% |
| |||||||||||
Costco Wholesale | 1.1 | 191,972 | 19,963 | |||||||||
CVS Caremark | 0.6 | 240,200 | 11,171 | |||||||||
Estee Lauder, Cl A | 1.1 | 345,402 | 20,120 | |||||||||
Mead Johnson Nutrition, Cl A | 0.7 | 191,077 | 13,030 | |||||||||
Philip Morris International | 0.6 | 124,180 | 11,161 | |||||||||
Walgreen | 0.8 | 436,000 | 14,785 | |||||||||
Whole Foods Market | 0.7 | 134,156 | 12,525 | |||||||||
Other Securities | 4.1 | 71,840 | ||||||||||
|
| |||||||||||
174,595 | ||||||||||||
|
| |||||||||||
Energy — 10.3% |
| |||||||||||
Chevron | 1.5 | 253,600 | 26,803 | |||||||||
ConocoPhillips | 0.8 | 268,040 | 15,262 | |||||||||
EOG Resources | 0.7 | 107,750 | 12,673 | |||||||||
Exxon Mobil | 2.0 | 417,900 | 36,834 | |||||||||
Kinder Morgan | 0.6 | 302,946 | 10,242 | |||||||||
Marathon Petroleum (A) | 0.7 | 199,900 | 11,902 | |||||||||
Schlumberger | 0.6 | 159,408 | 11,417 | |||||||||
Other Securities | 3.4 | 60,708 | ||||||||||
|
| |||||||||||
185,841 | ||||||||||||
|
| |||||||||||
Financials — 14.8% |
| |||||||||||
Capital One Financial | 0.8 | 236,730 | 13,635 | |||||||||
Citigroup | 0.7 | 371,300 | 12,836 | |||||||||
Discover Financial Services | 0.5 | 237,700 | 9,891 | |||||||||
Goldman Sachs Group | 0.6 | 84,500 | 9,953 | |||||||||
JPMorgan Chase | 1.7 | 742,040 | 30,483 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Wells Fargo | 1.2 | % | 657,400 | $ | 21,701 | |||||||
Other Securities | 9.3 | 168,501 | ||||||||||
|
| |||||||||||
267,000 | ||||||||||||
|
| |||||||||||
Health Care — 11.7% |
| |||||||||||
Allergan | 0.8 | 146,550 | 13,593 | |||||||||
Amgen (A) | 1.2 | 238,798 | 21,205 | |||||||||
Celgene* | 0.8 | 184,300 | 14,484 | |||||||||
Express Scripts Holding* | 0.5 | 183,057 | 9,858 | |||||||||
Merck | 0.6 | 251,800 | 11,155 | |||||||||
Pfizer | 1.5 | 1,068,060 | 26,723 | |||||||||
Other Securities | 6.3 | 115,425 | ||||||||||
|
| |||||||||||
212,443 | ||||||||||||
|
| |||||||||||
Industrials — 8.2% |
| |||||||||||
General Electric | 0.9 | 737,600 | 15,586 | |||||||||
Northrop Grumman | 0.5 | 150,300 | 10,025 | |||||||||
Other Securities | 6.8 | 122,585 | ||||||||||
|
| |||||||||||
148,196 | ||||||||||||
|
| |||||||||||
Information Technology — 21.0% |
| |||||||||||
Accenture, Cl A | 0.6 | 159,344 | 10,823 | |||||||||
Adobe Systems* | 1.1 | 548,018 | 18,967 | |||||||||
Apple | 2.9 | 88,561 | 51,833 | |||||||||
Autodesk* | 0.6 | 304,286 | 10,081 | |||||||||
Cisco Systems | 0.6 | 539,300 | 10,198 | |||||||||
Google, Cl A* | 1.1 | 29,939 | 20,908 | |||||||||
Intel | 0.7 | 656,758 | 12,853 | |||||||||
International Business Machines | 0.6 | 56,875 | 10,810 | |||||||||
Intuit | 0.7 | 216,535 | 12,973 | |||||||||
Mastercard, Cl A | 1.5 | 54,235 | 26,504 | |||||||||
Microsoft | 0.6 | 385,700 | 10,267 | |||||||||
Oracle | 0.6 | 352,794 | 11,325 | |||||||||
Qualcomm | 1.7 | 477,355 | 30,370 | |||||||||
Visa, Cl A | 0.8 | 93,525 | 14,002 | |||||||||
Other Securities | 6.9 | 127,399 | ||||||||||
|
| |||||||||||
379,313 | ||||||||||||
|
| |||||||||||
Materials — 2.9% |
| |||||||||||
Other Securities | 2.9 | 53,405 | ||||||||||
|
| |||||||||||
Telecommunication Services — 2.4% |
| |||||||||||
AT&T | 0.8 | 428,200 | 14,614 | |||||||||
Crown Castle International* | 1.3 | 328,415 | 22,175 | |||||||||
Other Securities | 0.3 | 6,199 | ||||||||||
|
| |||||||||||
42,988 | ||||||||||||
|
| |||||||||||
Utilities — 1.9% |
| |||||||||||
Other Securities | 1.9 | 34,055 | ||||||||||
|
| |||||||||||
Total Common Stock |
| 1,767,652 | ||||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 1 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund (Concluded)
November 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
WARRANT — 0.0% |
| |||||||||||
Other Securities | 0.0 | % | $ | 416 | ||||||||
|
| |||||||||||
Total Warrant |
| 416 | ||||||||||
|
| |||||||||||
CASH EQUIVALENTS — 5.3% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 5.2 | 94,706,670 | 94,707 | |||||||||
Other Securities | 0.1 | 1,181 | ||||||||||
|
| |||||||||||
Total Cash Equivalents |
| 95,888 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 4.7% |
| |||||||||||
SEI Liquidity Fund, L.P. | 4.7 | 84,358,158 | 84,358 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 84,358 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS — 0.1% |
| |||||||||||
Other Securities | 0.1 | 2,409 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 2,409 | ||||||||||
|
| |||||||||||
Total Investments — 107.9% |
| $ | 1,950,723 | |||||||||
|
|
Percentages are based on a Net Assets of $1,807,770 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2012. |
† | Investment in Affiliated Security (see Note 5). |
(A) | This security or a partial position of this security is on loan at November 30, 2012. The total value of securities on loan at November 30, 2012 was $82,113 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2012 was $84,358 ($ Thousands). |
Cl — Class
L.P. — Limited Partnership
The Condensed 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 November 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,767,652 | $ | — | $ | — | $ | 1,767,652 | ||||||||
Warrant | 416 | — | — | 416 | ||||||||||||
Cash Equivalents | 94,707 | 1,181 | — | 95,888 | ||||||||||||
Affiliated Partnership | — | 84,358 | — | 84,358 | ||||||||||||
U.S. Treasury Obligations | — | 2,409 | — | 2,409 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,862,775 | $ | 87,948 | $ | — | $ | 1,950,723 | ||||||||
|
|
|
|
|
|
|
|
For the period ended November 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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 Note to Financial Statements.
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
2 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund
November 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 94.8% |
| |||||||||||
Consumer Discretionary — 17.7% |
| |||||||||||
Bed Bath & Beyond* | 0.6 | % | 31,803 | $ | 1,867 | |||||||
Coach | 0.8 | 37,202 | 2,152 | |||||||||
Home Depot | 0.8 | 37,700 | 2,453 | |||||||||
Liberty Interactive, Cl A* | 0.7 | 102,575 | 1,980 | |||||||||
Lowe’s | 1.4 | 110,337 | 3,982 | |||||||||
NIKE, Cl B | 1.2 | 35,416 | 3,453 | |||||||||
Nordstrom | 0.7 | 38,052 | 2,058 | |||||||||
priceline.com* | 0.8 | 3,475 | 2,304 | |||||||||
Target | 0.9 | 39,258 | 2,478 | |||||||||
TJX | 1.0 | 63,200 | 2,802 | |||||||||
Walt Disney | 1.4 | 78,419 | 3,894 | |||||||||
Other Securities | 7.4 | 21,089 | ||||||||||
|
| |||||||||||
50,512 | ||||||||||||
|
| |||||||||||
Consumer Staples — 7.8% |
| |||||||||||
Costco Wholesale | 0.8 | 22,438 | 2,333 | |||||||||
Estee Lauder, Cl A | 0.8 | 36,265 | 2,113 | |||||||||
Philip Morris International | 0.7 | 20,900 | 1,879 | |||||||||
Walgreen | 0.9 | 71,175 | 2,414 | |||||||||
Whole Foods Market | 0.7 | 22,559 | 2,106 | |||||||||
Other Securities | 3.9 | 11,556 | ||||||||||
|
| |||||||||||
22,401 | ||||||||||||
|
| |||||||||||
Energy — 7.1% |
| |||||||||||
EOG Resources | 1.0 | 24,850 | 2,923 | |||||||||
Exxon Mobil | 1.6 | 52,910 | 4,664 | |||||||||
Kinder Morgan | 1.0 | 82,306 | 2,783 | |||||||||
Other Securities | 3.5 | 9,898 | ||||||||||
|
| |||||||||||
20,268 | ||||||||||||
|
| |||||||||||
Financials — 11.1% |
| |||||||||||
IntercontinentalExchange* | 0.7 | 14,250 | 1,883 | |||||||||
Progressive | 0.6 | 83,750 | 1,780 | |||||||||
Wells Fargo | 0.7 | 58,200 | 1,921 | |||||||||
Weyerhaeuser‡ | 0.6 | 62,575 | 1,725 | |||||||||
Other Securities | 8.5 | 24,371 | ||||||||||
|
| |||||||||||
31,680 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 11.1% |
| |||||||||||
Allergan | 0.8 | % | 26,100 | $ | 2,421 | |||||||
Amgen | 1.3 | 40,539 | 3,600 | |||||||||
Celgene* | 1.3 | 48,244 | 3,792 | |||||||||
Novo Nordisk ADR | 0.6 | 11,000 | 1,745 | |||||||||
Pfizer | 1.1 | 122,750 | 3,071 | |||||||||
Other Securities | 6.0 | 17,107 | ||||||||||
|
| |||||||||||
31,736 | ||||||||||||
|
| |||||||||||
Industrials — 7.6% |
| |||||||||||
General Electric | 0.9 | 118,910 | 2,513 | |||||||||
Ingersoll-Rand | 0.6 | 34,615 | 1,689 | |||||||||
Northrop Grumman | 0.7 | 30,030 | 2,003 | |||||||||
Raytheon | 0.6 | 29,400 | 1,680 | |||||||||
Other Securities | 4.8 | 13,699 | ||||||||||
|
| |||||||||||
21,584 | ||||||||||||
|
| |||||||||||
Information Technology — 24.1% |
| |||||||||||
Adobe Systems* | 1.9 | 153,958 | 5,329 | |||||||||
Apple | 2.9 | 14,325 | 8,384 | |||||||||
Autodesk* | 0.8 | 67,261 | 2,228 | |||||||||
BMC Software* | 0.8 | 55,175 | 2,260 | |||||||||
Cisco Systems | 0.9 | 133,080 | 2,516 | |||||||||
EMC* | 0.7 | 80,527 | 1,999 | |||||||||
Google, Cl A* | 1.4 | 5,740 | 4,009 | |||||||||
Intel | 0.9 | 129,364 | 2,532 | |||||||||
International Business Machines | 1.1 | 16,791 | 3,191 | |||||||||
Intuit | 0.7 | 35,275 | 2,113 | |||||||||
Mastercard, Cl A | 1.1 | 6,460 | 3,157 | |||||||||
Microsoft | 1.2 | 128,240 | 3,414 | |||||||||
Oracle | 1.2 | 104,894 | 3,367 | |||||||||
Qualcomm | 1.7 | 79,533 | 5,060 | |||||||||
Visa, Cl A | 1.5 | 29,225 | 4,375 | |||||||||
Other Securities | 5.3 | 15,105 | ||||||||||
|
| |||||||||||
69,039 | ||||||||||||
|
| |||||||||||
Materials — 3.9% |
| |||||||||||
Syngenta ADR | 0.6 | 19,800 | 1,583 | |||||||||
Other Securities | 3.3 | 9,552 | ||||||||||
|
| |||||||||||
11,135 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 3.2% |
| |||||||||||
Crown Castle International* | 2.0 | 84,120 | 5,680 | |||||||||
Verizon Communications | 0.5 | 33,400 | 1,473 | |||||||||
Other Securities | 0.7 | 2,121 | ||||||||||
|
| |||||||||||
9,274 | ||||||||||||
|
| |||||||||||
Utilities — 1.2% |
| |||||||||||
Other Securities | 1.2 | 3,401 | ||||||||||
|
| |||||||||||
Total Common Stock |
| 271,030 | ||||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 3 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Concluded)
November 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
EXCHANGE TRADED FUND — 0.5% |
| |||||||||||
Other Securities | 0.5 | % | $ | 1,344 | ||||||||
|
| |||||||||||
Total Exchange Traded Fund (Cost $1,231) ($ Thousands) |
| 1,344 | ||||||||||
|
| |||||||||||
WARRANT — 0.0% |
| |||||||||||
Other Securities | 0.0 | 107 | ||||||||||
|
| |||||||||||
Total Warrant |
| 107 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 7.8% |
| |||||||||||
SEI Daily Income Trust, | 7.8 | 22,373,357 | 22,373 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 22,373 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (A) — 0.3% |
| |||||||||||
Other Securities | 0.3 | 959 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations | 959 | |||||||||||
|
| |||||||||||
Total Investments — 103.4% | $ | 295,813 | ||||||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index EMINI | 36 | Dec-2012 | $ | 22 | ||||||||
|
| |||||||||||
$ | 22 | |||||||||||
|
|
For the period ended November 30, 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 period.
Percentages are based on a Net Assets of $285,976 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2012. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 5). |
(A) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR | — American Depositary Receipt |
Cl | — Class |
S&P | — Standard & Poor’s |
The Condensed 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 November 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 271,030 | $ | — | $ | — | $ | 271,030 | ||||||||
Exchange Traded Fund | 1,344 | — | — | 1,344 | ||||||||||||
Warrant | 107 | — | — | 107 | ||||||||||||
Cash Equivalent | 22,373 | — | — | 22,373 | ||||||||||||
U.S. Treasury Obligations | — | 959 | — | 959 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 294,854 | $ | 959 | $ | — | $ | 295,813 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 22 | $ | — | $ | — | $ | 22 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total other financial instruments | $ | 22 | $ | — | $ | — | $ | 22 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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 Note to Financial Statements.
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
4 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund
November 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 88.8% |
| |||||||||||
Consumer Discretionary — 11.4% |
| |||||||||||
AutoZone* | 0.6 | % | 83,946 | $ | 32,216 | |||||||
Comcast, Cl A | 1.0 | 1,553,263 | 56,883 | |||||||||
Ford Motor (A) | 0.6 | 2,983,590 | 34,162 | |||||||||
Home Depot | 0.7 | 640,130 | 41,653 | |||||||||
Macy’s | 0.8 | 1,101,532 | 42,629 | |||||||||
TJX | 0.5 | 683,030 | 30,286 | |||||||||
Viacom, Cl B | 0.8 | 876,321 | 45,227 | |||||||||
Walt Disney | 0.5 | 624,187 | 30,997 | |||||||||
Other Securities | 5.9 | 345,814 | ||||||||||
|
| |||||||||||
659,867 | ||||||||||||
|
| |||||||||||
Consumer Staples — 9.2% |
| |||||||||||
Altria Group | 0.5 | 809,591 | 27,372 | |||||||||
CVS Caremark | 0.7 | 798,633 | 37,144 | |||||||||
Dr. Pepper Snapple Group (A) | 0.4 | 587,326 | 26,342 | |||||||||
Philip Morris International | 1.7 | 1,085,651 | 97,578 | |||||||||
Procter & Gamble | 0.5 | 405,136 | 28,291 | |||||||||
Wal-Mart Stores | 1.3 | 1,033,708 | 74,448 | |||||||||
Other Securities | 4.1 | 242,846 | ||||||||||
|
| |||||||||||
534,021 | ||||||||||||
|
| |||||||||||
Energy — 9.0% |
| |||||||||||
Chevron | 2.3 | 1,232,683 | 130,282 | |||||||||
ConocoPhillips | 0.8 | 848,279 | 48,301 | |||||||||
Exxon Mobil | 2.2 | 1,432,109 | 126,226 | |||||||||
National Oilwell Varco | 0.6 | 535,520 | 36,576 | |||||||||
Schlumberger | 0.5 | 426,547 | 30,549 | |||||||||
Other Securities | 2.6 | 148,655 | ||||||||||
|
| |||||||||||
520,589 | ||||||||||||
|
| |||||||||||
Financials — 12.9% |
| |||||||||||
American Express | 0.7 | 698,854 | 39,066 | |||||||||
CIT Group* | 0.6 | 908,800 | 33,671 | |||||||||
Citigroup | 1.8 | 2,920,431 | 100,959 | |||||||||
Discover Financial Services | 0.5 | 708,977 | 29,500 | |||||||||
JPMorgan Chase | 1.2 | 1,699,541 | 69,817 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Wells Fargo | 0.6 | % | 1,002,814 | $ | 33,103 | |||||||
Other Securities | 7.5 | 439,566 | ||||||||||
|
| |||||||||||
745,682 | ||||||||||||
|
| |||||||||||
Health Care — 11.6% |
| |||||||||||
Abbott Laboratories | 0.7 | 669,906 | 43,544 | |||||||||
Amgen (A) | 0.8 | 501,442 | 44,528 | |||||||||
Covidien | 0.7 | 655,110 | 38,068 | |||||||||
Johnson & Johnson (A) | 0.8 | 628,943 | 43,856 | |||||||||
Merck | 0.6 | 728,127 | 32,256 | |||||||||
Pfizer | 1.7 | 3,901,636 | 97,619 | |||||||||
UnitedHealth Group | 0.5 | 527,840 | 28,709 | |||||||||
Other Securities | 5.8 | 339,343 | ||||||||||
|
| |||||||||||
667,923 | ||||||||||||
|
| |||||||||||
Industrials — 9.1% |
| |||||||||||
Boeing | 0.6 | 457,673 | 33,996 | |||||||||
CSX | 0.5 | 1,456,410 | 28,779 | |||||||||
General Electric | 1.4 | 3,875,115 | 81,881 | |||||||||
Honeywell International | 0.6 | 535,998 | 32,873 | |||||||||
United Parcel Service, Cl B | 0.7 | 582,293 | 42,571 | |||||||||
Other Securities | 5.3 | 306,111 | ||||||||||
|
| |||||||||||
526,211 | ||||||||||||
|
| |||||||||||
Information Technology — 18.1% |
| |||||||||||
Apple | 4.2 | 418,441 | 244,905 | |||||||||
Cisco Systems | 1.4 | 4,296,418 | 81,245 | |||||||||
eBay* | 0.8 | 887,800 | 46,894 | |||||||||
Google, Cl A* | 0.9 | 71,166 | 49,700 | |||||||||
International Business Machines | 2.2 | 666,443 | 126,671 | |||||||||
Microsoft | 1.2 | 2,585,121 | 68,816 | |||||||||
Oracle | 1.0 | 1,740,276 | 55,863 | |||||||||
Qualcomm | 0.8 | 742,530 | 47,240 | |||||||||
Other Securities | 5.6 | 323,935 | ||||||||||
|
| |||||||||||
1,045,269 | ||||||||||||
|
| |||||||||||
Materials — 3.3% |
| |||||||||||
Freeport-McMoRan Copper & Gold, Cl B | 0.6 | 845,732 | 32,992 | |||||||||
Other Securities | 2.7 | 156,020 | ||||||||||
|
| |||||||||||
189,012 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 2.1% |
| |||||||||||
AT&T | 0.6 | 1,001,689 | 34,188 | |||||||||
Verizon Communications | 0.9 | 1,230,200 | 54,276 | |||||||||
Other Securities | 0.6 | 34,365 | ||||||||||
|
| |||||||||||
122,829 | ||||||||||||
|
| |||||||||||
Utilities — 2.1% |
| |||||||||||
Other Securities | 2.1 | 120,168 | ||||||||||
|
| |||||||||||
Total Common Stock |
| 5,131,571 | ||||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 5 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund (Concluded)
November 30, 2012
Description | Percentage of Net Assets (%) | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | |||||||||
PREFERRED STOCK — 0.0% |
| |||||||||||
Consumer Staples — 0.0% |
| |||||||||||
Other Securities | 0.0 | % | $ | 2,879 | ||||||||
|
| |||||||||||
Total Preferred Stock |
| 2,879 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIPS — 12.2% |
| |||||||||||
SEI LIBOR Plus Portfolio† | 6.3 | 48,536,455 | 361,596 | |||||||||
SEI Liquidity Fund, L.P. | 5.9 | 342,406,786 | 342,407 | |||||||||
|
| |||||||||||
Total Affiliated Partnerships |
| 704,003 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 4.7% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 4.7 | 269,682,685 | 269,683 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 269,683 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.7% |
| |||||||||||
U.S. Treasury Bills | 0.7 | $39,509 | 39,506 | |||||||||
0.132%, 12/20/2012 | 0.0 | 2,400 | 2,400 | |||||||||
0.130%, 07/25/2013 | 0.0 | 557 | 556 | |||||||||
|
| |||||||||||
Total U.S. Treasury Obligations (Cost $42,456) ($ Thousands) |
| 42,462 | ||||||||||
|
| |||||||||||
Total Investments — 106.4% (Cost $5,827,818) ($ Thousands) |
| $ | 6,150,598 | |||||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index EMINI | 560 | Dec-2012 | $ | (134 | ) | |||||||
S&P Composite Index | 1,237 | Dec-2012 | (8,996 | ) | ||||||||
|
| |||||||||||
$ | (9,130 | ) | ||||||||||
|
|
For the period ended November 30, 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 period.
Percentages are based on a Net Assets of $5,779,316 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2012. |
† | Investment in Affiliated Security (see Note 5). |
(A) | This security or a partial position of this security is on loan at November 30, 2012. The total value of securities on loan at November 30, 2012 was $334,417 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2012 was $342,407 ($ Thousands). |
(C) | The rate reported on the Schedule of Investments is the effective yield at time of purchase. |
(D) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
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 November 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 5,131,571 | $ | — | $ | — | $ | 5,131,571 | ||||||||
Preferred Stock | 2,879 | — | — | 2,879 | ||||||||||||
Affiliated Partnerships | 361,596 | 342,407 | — | 704,003 | ||||||||||||
Cash Equivalent | 269,683 | — | — | 269,683 | ||||||||||||
U.S. Treasury Obligations | — | 42,462 | — | 42,462 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 5,765,729 | $ | 384,869 | $ | — | $ | 6,150,598 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (9,130 | ) | $ | — | $ | — | $ | (9,130 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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 $0.
The accompanying notes are an integral part of the financial statements.
6 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 96.6% |
| |||||||||||
Consumer Discretionary — 12.0% |
| |||||||||||
Amazon.com* | 0.6 | % | 44,789 | $ | 11,289 | |||||||
Comcast, Cl A | 0.7 | 336,825 | 12,523 | |||||||||
Home Depot | 0.7 | 192,015 | 12,494 | |||||||||
McDonald’s | 0.6 | 125,680 | 10,939 | |||||||||
Walt Disney | 0.6 | 221,072 | 10,978 | |||||||||
Other Securities | 8.8 | 165,213 | ||||||||||
|
| |||||||||||
223,436 | ||||||||||||
|
| |||||||||||
Consumer Staples — 9.8% |
| |||||||||||
Altria Group | 0.5 | 252,540 | 8,538 | |||||||||
Coca-Cola | 1.0 | 486,140 | 18,434 | |||||||||
Coca-Cola Enterprises | 0.1 | 35,715 | 1,114 | |||||||||
CVS Caremark | 0.4 | 159,352 | 7,411 | |||||||||
PepsiCo | 0.7 | 196,052 | 13,765 | |||||||||
Philip Morris International | 1.0 | 213,368 | 19,178 | |||||||||
Procter & Gamble | 1.3 | 340,074 | 23,747 | |||||||||
Wal-Mart Stores | 0.8 | 211,679 | 15,245 | |||||||||
Other Securities | 4.0 | 74,566 | ||||||||||
|
| |||||||||||
181,998 | ||||||||||||
|
| |||||||||||
Energy — 9.9% |
| |||||||||||
Chevron | 1.4 | 246,502 | 26,053 | |||||||||
ConocoPhillips | 0.5 | 156,876 | 8,933 | |||||||||
Exxon Mobil | 2.8 | 583,238 | 51,407 | |||||||||
Occidental Petroleum | 0.4 | 100,654 | 7,570 | |||||||||
Schlumberger | 0.7 | 164,963 | 11,815 | |||||||||
Other Securities | 4.1 | 78,762 | ||||||||||
|
| |||||||||||
184,540 | ||||||||||||
|
| |||||||||||
Financials — 15.4% |
| |||||||||||
American Express | 0.4 | 124,534 | 6,961 | |||||||||
Bank of America | 0.7 | 1,351,163 | 13,322 | |||||||||
Berkshire Hathaway, Cl B* | 1.1 | 222,800 | 19,624 | |||||||||
Citigroup | 0.7 | 367,504 | 12,705 | |||||||||
Goldman Sachs Group | 0.4 | 61,275 | 7,218 | |||||||||
JPMorgan Chase | 1.1 | 476,134 | 19,560 | |||||||||
SEI† (A) | 0.0 | 14,442 | 318 | |||||||||
US Bancorp | 0.4 | 235,397 | 7,594 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Wells Fargo | 1.1 | % | 612,766 | $ | 20,227 | |||||||
Other Securities | 9.5 | 178,207 | ||||||||||
|
| |||||||||||
285,736 | ||||||||||||
|
| |||||||||||
Health Care — 11.5% |
| |||||||||||
Abbott Laboratories | 0.7 | 197,276 | 12,823 | |||||||||
Amgen | 0.5 | 96,558 | 8,574 | |||||||||
Gilead Sciences* (B) | 0.4 | 94,517 | 7,089 | |||||||||
Johnson & Johnson (B) | 1.3 | 343,209 | 23,932 | |||||||||
Merck | 0.9 | 380,743 | 16,867 | |||||||||
Pfizer | 1.2 | 929,280 | 23,251 | |||||||||
UnitedHealth Group | 0.4 | 129,020 | 7,017 | |||||||||
Other Securities | 6.1 | 114,668 | ||||||||||
|
| |||||||||||
214,221 | ||||||||||||
|
| |||||||||||
Industrials — 10.3% |
| |||||||||||
3M | 0.4 | 86,233 | 7,843 | |||||||||
Boeing | 0.4 | 93,291 | 6,930 | |||||||||
Caterpillar | 0.3 | 81,188 | 6,920 | |||||||||
General Electric | 1.5 | 1,323,523 | 27,966 | |||||||||
Union Pacific | 0.4 | 59,216 | 7,271 | |||||||||
United Technologies | 0.5 | 113,090 | 9,060 | |||||||||
Other Securities | 6.8 | 126,691 | ||||||||||
|
| |||||||||||
192,681 | ||||||||||||
|
| |||||||||||
Information Technology — 17.8% |
| |||||||||||
Apple | 3.7 | 116,545 | 68,211 | |||||||||
Cisco Systems | 0.7 | 662,627 | 12,530 | |||||||||
eBay* | 0.4 | 144,211 | 7,617 | |||||||||
Google, Cl A* | 1.2 | 32,329 | 22,578 | |||||||||
Intel | 0.7 | 630,558 | 12,340 | |||||||||
International Business Machines | 1.4 | 136,198 | 25,887 | |||||||||
Microsoft | 1.4 | 940,300 | 25,031 | |||||||||
Oracle | 0.8 | 478,620 | 15,364 | |||||||||
Qualcomm | 0.7 | 214,959 | 13,676 | |||||||||
Visa, Cl A | 0.5 | 64,900 | 9,716 | |||||||||
Other Securities | 6.3 | 118,701 | ||||||||||
|
| |||||||||||
331,651 | ||||||||||||
|
| |||||||||||
Materials — 3.7% |
| |||||||||||
Other Securities | 3.7 | 69,467 | ||||||||||
|
| |||||||||||
Telecommunication Services — 2.8% |
| |||||||||||
AT&T | 1.4 | 732,633 | 25,005 | |||||||||
Verizon Communications | 0.9 | 355,776 | 15,697 | |||||||||
Other Securities | 0.5 | 11,747 | ||||||||||
|
| |||||||||||
52,449 | ||||||||||||
|
| |||||||||||
Utilities — 3.4% |
| |||||||||||
Other Securities | 3.4 | 62,503 | ||||||||||
|
| |||||||||||
Total Common Stock |
| 1,798,682 | ||||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 7 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund (Concluded)
November 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
AFFILIATED PARTNERSHIP — 8.4% |
| |||||||||||
SEI Liquidity Fund, L.P. | 8.4 | % | 156,295,236 | $ | 156,295 | |||||||
|
| |||||||||||
Total Affiliated Partnership |
| 156,295 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 3.0% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.060%**† | 3.0 | 55,673,192 | 55,673 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 55,673 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (D) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 3,150 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 3,150 | ||||||||||
|
| |||||||||||
Total Investments — 108.2% |
| $ | 2,013,800 | |||||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P 500 Index EMINI | 790 | Dec-2012 | $ | (884 | ) | |||||||
S&P Mid 400 Index E-MINI | 62 | Dec-2012 | (13 | ) | ||||||||
|
| |||||||||||
$ | (897 | ) | ||||||||||
|
|
For the period ended November 30, 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 period.
Percentages are based on a Net Assets of $1,860,375 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2012. |
† | Investment in Affiliated Security (see Note 5). |
(A) | The Fund may purchase securities of certain companies with which it is affiliated to the extent these companies are represented in its benchmark index. |
(B) | This security or a partial position of this security is on loan at November 30, 2012. The total value of securities on loan at November 30, 2012 was $152,486 ($ Thousands). |
(C) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2012 was $156,295 ($ 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 November 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,798,682 | $ | — | $ | — | $ | 1,798,682 | ||||||||
Affiliated Partnership | — | 156,295 | — | 156,295 | ||||||||||||
Cash Equivalent | 55,673 | — | — | 55,673 | ||||||||||||
U.S. Treasury Obligation | — | 3,150 | — | 3,150 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,854,355 | $ | 159,445 | $ | — | $ | 2,013,800 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (897 | ) | $ | — | $ | — | $ | (897 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the period ended November 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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 Note to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
8 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 94.6% |
| |||||||||||
Consumer Discretionary — 13.9% |
| |||||||||||
Hibbett Sports* (A) | 0.3 | % | 41,323 | $ | 2,221 | |||||||
Libbey* (A) | 0.3 | 109,300 | 2,134 | |||||||||
Lumber Liquidators Holdings* (A) | 0.3 | 39,940 | 2,144 | |||||||||
National CineMedia | 0.4 | 191,389 | 2,737 | |||||||||
Pier 1 Imports (A) | 0.3 | 104,021 | 1,996 | |||||||||
Vail Resorts (A) | 0.3 | 37,019 | 2,085 | |||||||||
Vitamin Shoppe* | 0.3 | 40,244 | 2,385 | |||||||||
Wolverine World Wide (A) | 0.4 | 65,428 | 2,832 | |||||||||
Other Securities | 11.3 | 89,511 | ||||||||||
|
| |||||||||||
108,045 | ||||||||||||
|
| |||||||||||
Consumer Staples — 2.7% |
| |||||||||||
Other Securities | 2.7 | 21,177 | ||||||||||
|
| |||||||||||
Energy — 6.0% |
| |||||||||||
Dril-Quip* (A) | 0.4 | 41,356 | 2,910 | |||||||||
Oasis Petroleum* | 0.4 | 94,281 | 2,849 | |||||||||
World Fuel Services (A) | 0.3 | 55,262 | 2,152 | |||||||||
Other Securities | 4.9 | 38,752 | ||||||||||
|
| |||||||||||
46,663 | ||||||||||||
|
| |||||||||||
Financials — 20.0% |
| |||||||||||
Alterra Capital Holdings (A) | 0.4 | 118,983 | 2,784 | |||||||||
CNO Financial Group (A) | 0.3 | 291,700 | 2,655 | |||||||||
Financial Engines* (A) | 0.3 | 74,843 | 1,962 | |||||||||
Horace Mann Educators | 0.3 | 106,195 | 2,030 | |||||||||
Nelnet, Cl A | 0.3 | 82,100 | 2,347 | |||||||||
Netspend Holdings* (A) | 0.3 | 196,545 | 2,290 | |||||||||
Platinum Underwriters Holdings | 0.4 | 62,517 | 2,783 | |||||||||
Simon Property Group‡ | 0.3 | 14,741 | 2,243 | |||||||||
Other Securities | 17.4 | 135,979 | ||||||||||
|
| |||||||||||
155,073 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 11.6% |
| |||||||||||
Acadia Healthcare* | 0.3 | % | 93,586 | $ | 2,148 | �� | ||||||
HealthSouth* | 0.3 | 115,712 | 2,544 | |||||||||
HMS Holdings* (A) | 0.3 | 85,491 | 1,981 | |||||||||
Masimo | 0.3 | 126,499 | 2,621 | |||||||||
MEDNAX* (A) | 0.3 | 30,137 | 2,381 | |||||||||
Volcano* | 0.4 | 104,725 | 2,855 | |||||||||
Other Securities | 9.7 | 75,422 | ||||||||||
|
| |||||||||||
89,952 | ||||||||||||
|
| |||||||||||
Industrials — 18.1% |
| |||||||||||
Actuant, Cl A | 0.4 | 93,083 | 2,678 | |||||||||
Acuity Brands | 0.3 | 35,434 | 2,344 | |||||||||
EMCOR Group | 0.4 | 87,495 | 2,874 | |||||||||
FTI Consulting* (A) | 0.4 | 89,359 | 2,762 | |||||||||
G&K Services, Cl A | 0.3 | 61,656 | 2,090 | |||||||||
Genesee & Wyoming, Cl A* (A) | 0.3 | 34,979 | 2,552 | |||||||||
Hexcel* (A) | 0.3 | 91,966 | 2,377 | |||||||||
Landstar System | 0.3 | 38,891 | 1,967 | |||||||||
Middleby* | 0.3 | 16,775 | 2,137 | |||||||||
Old Dominion Freight Line* | 0.4 | 104,791 | 3,504 | |||||||||
Polypore International* (A) | 0.3 | 56,812 | 2,332 | |||||||||
Tetra Tech* | 0.3 | 97,642 | 2,515 | |||||||||
WESCO International* (A) | 0.3 | 34,376 | 2,222 | |||||||||
Other Securities | 13.9 | 107,881 | ||||||||||
|
| |||||||||||
140,235 | ||||||||||||
|
| |||||||||||
Information Technology — 15.8% |
| |||||||||||
ADTRAN (A) | 0.3 | 100,378 | 1,971 | |||||||||
Cavium* (A) | 0.3 | 59,522 | 2,097 | |||||||||
CoStar Group* (A) | 0.3 | 27,489 | 2,388 | |||||||||
DealerTrack Holdings* | 0.3 | 74,400 | 2,001 | |||||||||
Diebold | 0.3 | 69,891 | 2,090 | |||||||||
Parametric Technology* | 0.3 | 125,368 | 2,538 | |||||||||
RealPage* (A) | 0.3 | 106,373 | 2,105 | |||||||||
Other Securities | 13.7 | 107,492 | ||||||||||
|
| |||||||||||
122,682 | ||||||||||||
|
| |||||||||||
Materials — 4.1% |
| |||||||||||
Intrepid Potash* | 0.3 | 93,482 | 1,989 | |||||||||
PolyOne | 0.3 | 120,375 | 2,424 | |||||||||
Sensient Technologies | 0.3 | 61,465 | 2,225 | |||||||||
Other Securities | 3.2 | 24,660 | ||||||||||
|
| |||||||||||
31,298 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.3% |
| |||||||||||
Other Securities | 0.3 | 2,234 | ||||||||||
|
| |||||||||||
Utilities — 2.1% |
| |||||||||||
Portland General Electric | 0.4 | 106,514 | 2,879 | |||||||||
Other Securities | 1.7 | 13,090 | ||||||||||
|
| |||||||||||
15,969 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 733,328 | ||||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 9 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Concluded)
November 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
EXCHANGE TRADED FUNDS — 0.6% |
| |||||||||||
iShares Russell 2000 Value Index Fund (A) | 0.4 | % | 40 | $ | 2,899 | |||||||
Other Securities | 0.2 | 1,916 | ||||||||||
|
| |||||||||||
Total Exchange Traded Funds |
| 4,815 | ||||||||||
|
| |||||||||||
RIGHT — 0.0% |
| |||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Right |
| — | ||||||||||
|
| |||||||||||
CONVERTIBLE BOND — 0.0% |
| |||||||||||
Consumer Discretionary — 0.0% |
| |||||||||||
Other Securities | 0.0 | 29 | ||||||||||
|
| |||||||||||
Total Convertible Bond |
| 29 | ||||||||||
|
| |||||||||||
WARRANTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | 3 | ||||||||||
|
| |||||||||||
Total Warrants |
| 3 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 25.8% |
| |||||||||||
SEI Liquidity Fund, L.P. | ||||||||||||
0.180%†** (B) | 25.8 | 199,684,499 | 199,684 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 199,684 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 3.3% |
| |||||||||||
SEI Daily Income Trust, | 3.3 | 25,636,773 | 25,637 | |||||||||
�� |
|
| ||||||||||
Total Cash Equivalent |
| 25,637 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (C) — 0.3% |
| |||||||||||
Other Securities | 0.3 | 1,858 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 1,858 | ||||||||||
|
| |||||||||||
Total Investments — 124.6% (Cost $954,365) ($ Thousands) |
| $ | 965,354 | |||||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2012, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 309 | Dec-2012 | $ | (325 | ) | |||||||
|
|
For the period ended November 30, 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 period.
Percentages are based on a Net Assets of $774,806 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 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 November 30, 2012. The total value of securities on loan at November 30, 2012 was $193,370 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2012 was $199,684 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
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 November 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Common Stock | $ | 733,223 | $ | 105 | $ | — | $ | 733,328 | ||||||||
Exchange Traded Funds | 4,815 | — | — | 4,815 | ||||||||||||
Warrants | 3 | — | — | 3 | ||||||||||||
Convertible Bond | — | — | 29 | 29 | ||||||||||||
Affiliated Partnership | — | 199,684 | — | 199,684 | ||||||||||||
Cash Equivalent | 25,637 | — | — | 25,637 | ||||||||||||
U.S. Treasury Obligation | — | 1,858 | — | 1,858 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 763,678 | $ | 201,647 | $ | 29 | $ | 965,354 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (325 | ) | $ | — | $ | — | $ | (325 | ) | ||||||
|
|
|
|
|
|
|
|
(1) | A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to the net assets. |
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities. For the period ended November 30, 2012, the transfers out of Level 3 were due to changes in the availability of observable inputs to determine fair value.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Note to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
10 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap II Fund
November 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 89.4% |
| |||||||||||
Consumer Discretionary — 15.1% |
| |||||||||||
ANN* | 0.3 | % | 21,450 | $ | 720 | |||||||
Francesca’s Holdings* (A) | 0.4 | 31,598 | 823 | |||||||||
Pier 1 Imports (A) | 0.4 | 50,182 | 963 | |||||||||
Select Comfort* | 0.4 | 32,960 | 883 | |||||||||
Vail Resorts | 0.4 | 17,066 | 961 | |||||||||
Vitamin Shoppe* | 0.5 | 18,279 | 1,083 | |||||||||
Other Securities | 12.7 | 27,541 | ||||||||||
|
| |||||||||||
32,974 | ||||||||||||
|
| |||||||||||
Consumer Staples — 3.8% |
| |||||||||||
Ingredion | 0.3 | 10,997 | 714 | |||||||||
Other Securities | 3.5 | 7,644 | ||||||||||
|
| |||||||||||
8,358 | ||||||||||||
|
| |||||||||||
Energy — 4.3% |
| |||||||||||
Oasis Petroleum* (A) | 0.4 | 30,554 | 923 | |||||||||
Rosetta Resources* (A) | 0.3 | 16,748 | 753 | |||||||||
Other Securities | 3.6 | 7,737 | ||||||||||
|
| |||||||||||
9,413 | ||||||||||||
|
| |||||||||||
Financials — 18.4% |
| |||||||||||
EastGroup Properties‡ | 0.4 | 15,178 | 793 | |||||||||
FirstMerit (A) | 0.3 | 53,619 | 755 | |||||||||
Horace Mann Educators | 0.4 | 42,723 | 817 | |||||||||
Iberiabank | 0.4 | 16,587 | 809 | |||||||||
Infinity Property & Casualty | 0.3 | 13,079 | 716 | |||||||||
Lexington Realty Trust‡ | 0.5 | 113,059 | 1,084 | |||||||||
Netspend Holdings* | 0.5 | 85,409 | 995 | |||||||||
Platinum Underwriters Holdings | 0.5 | 24,563 | 1,093 | |||||||||
Susquehanna Bancshares | 0.4 | 89,572 | 921 | |||||||||
TCF Financial | 0.3 | 59,479 | 707 | |||||||||
Webster Financial | 0.3 | 36,200 | 754 | |||||||||
Other Securities | 14.1 | 30,674 | ||||||||||
|
| |||||||||||
40,118 | ||||||||||||
|
| |||||||||||
Health Care — 10.9% |
| |||||||||||
Akorn* (A) | 0.3 | 53,286 | 719 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
HealthSouth* | 0.4 | % | 40,449 | $ | 889 | |||||||
HMS Holdings* | 0.4 | 38,324 | 888 | |||||||||
Masimo | 0.3 | 33,990 | 704 | |||||||||
MEDNAX* (A) | 0.4 | 10,289 | 813 | |||||||||
PAREXEL International* | 0.5 | 31,254 | 1,009 | |||||||||
Team Health Holdings* | 0.5 | 36,697 | 1,027 | |||||||||
Teleflex | 0.4 | 12,906 | 893 | |||||||||
Other Securities | 7.7 | 16,754 | ||||||||||
|
| |||||||||||
23,696 | ||||||||||||
|
| |||||||||||
Industrials — 16.2% |
| |||||||||||
Actuant, Cl A | 0.6 | 46,282 | 1,332 | |||||||||
Acuity Brands | 0.3 | 10,614 | 702 | |||||||||
Advisory Board* | 0.3 | 16,484 | 746 | |||||||||
Beacon Roofing Supply* | 0.4 | 24,476 | 755 | |||||||||
Belden | 0.4 | 23,371 | 881 | |||||||||
Chart Industries* | 0.5 | 17,645 | 1,067 | |||||||||
Dycom Industries* | 0.3 | 39,520 | 710 | |||||||||
G&K Services, Cl A | 0.4 | 22,878 | 776 | |||||||||
Genesee & Wyoming, Cl A* (A) | 0.5 | 15,988 | 1,166 | |||||||||
Hexcel* | 0.7 | 55,216 | 1,427 | |||||||||
IDEX | 0.4 | 18,498 | 832 | |||||||||
Old Dominion Freight Line* | 0.4 | 24,110 | 806 | |||||||||
Teledyne Technologies* | 0.4 | 12,989 | 818 | |||||||||
Other Securities | 10.6 | 23,347 | ||||||||||
|
| |||||||||||
35,365 | ||||||||||||
|
| |||||||||||
Information Technology — 14.0% |
| |||||||||||
Aspen Technology* | 0.4 | 30,030 | 780 | |||||||||
FEI | 0.4 | 16,384 | 902 | |||||||||
OSI Systems* | 0.3 | 11,994 | 735 | |||||||||
Parametric Technology* | 0.5 | 49,147 | 995 | |||||||||
Semtech* | 0.3 | 27,140 | 742 | |||||||||
Tangoe* | 0.4 | 60,002 | 782 | |||||||||
Other Securities | 11.7 | 25,547 | ||||||||||
|
| |||||||||||
30,483 | ||||||||||||
|
| |||||||||||
Materials — 4.4% |
| |||||||||||
Other Securities | 4.4 | 9,680 | ||||||||||
|
| |||||||||||
Telecommunication Services — 0.1% |
| |||||||||||
Other Securities | 0.1 | 121 | ||||||||||
|
| |||||||||||
Utilities — 2.2% |
| |||||||||||
Great Plains Energy | 0.4 | 40,050 | 811 | |||||||||
Portland General Electric | 0.4 | 29,427 | 796 | |||||||||
Other Securities | 1.4 | 3,159 | ||||||||||
|
| |||||||||||
4,766 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 194,974 | ||||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 11 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap II Fund (Concluded)
November 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
EXCHANGE TRADED FUND — 0.4% |
| |||||||||||
iShares Russell 2000 Index Fund (A) | 0.4 | % | 10 | $ | 860 | |||||||
|
| |||||||||||
Total Exchange Traded Fund (Cost $834) ($ Thousands) |
| 860 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 16.3% |
| |||||||||||
SEI Liquidity Fund, L.P. | 16.3 | 35,519,550 | 35,520 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 35,520 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 5.5% |
| |||||||||||
SEI Daily Income Trust, | 5.5 | 11,881,460 | 11,881 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 11,881 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.4% |
| |||||||||||
Other Securities | 0.4 | 885 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 885 | ||||||||||
|
| |||||||||||
Total Investments — 112.0% |
| $ | 244,120 | |||||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 216 | Dec-2012 | $ | 69 | ||||||||
|
|
For the period ended November 30, 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 period.
Percentages are based on a Net Assets of $217,904 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 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 November 30, 2012. The total value of securities on loan at November 30, 2012 was $34,456 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2012 was $35,520 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
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 und’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 November 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 194,974 | $ | — | $ | — | $ | 194,974 | ||||||||
Exchange Traded Fund | 860 | — | — | 860 | ||||||||||||
Affiliated Partnership | — | 35,520 | — | 35,520 | ||||||||||||
Cash Equivalent | 11,881 | — | — | 11,881 | ||||||||||||
U.S. Treasury Obligations | — | 885 | — | 885 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 207,715 | $ | 36,405 | $ | — | $ | 244,120 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 69 | $ | — | $ | — | $ | 69 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument |
During the period ended November 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
During the period ended November 30, 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 $0.
The accompanying notes are an integral part of the financial statements.
12 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.3% |
| |||||||||||
Consumer Discretionary — 14.8% |
| |||||||||||
Dick’s Sporting Goods | 0.3 | % | 123,880 | $ | 6,505 | |||||||
DR Horton (A) | 0.3 | 381,338 | 7,421 | |||||||||
DSW, Cl A | 0.3 | 96,780 | 6,584 | |||||||||
Francesca’s Holdings* (A) | 0.3 | 237,548 | 6,183 | |||||||||
Hanesbrands* | 0.4 | 236,128 | 8,524 | |||||||||
Hibbett Sports* (A) | 0.3 | 134,865 | 7,248 | |||||||||
National CineMedia | 0.3 | 471,558 | 6,743 | |||||||||
Pier 1 Imports (A) | 0.3 | 307,307 | 5,897 | |||||||||
Vitamin Shoppe* | 0.4 | 156,252 | 9,260 | |||||||||
Whirlpool | 0.4 | 96,352 | 9,813 | |||||||||
Other Securities | 11.3 | 256,641 | ||||||||||
|
| |||||||||||
330,819 | ||||||||||||
|
| |||||||||||
Consumer Staples — 3.0% |
| |||||||||||
Other Securities | 3.1 | 67,288 | ||||||||||
|
| |||||||||||
Energy — 5.8% |
| |||||||||||
Dresser-Rand Group* | 0.3 | 143,062 | 7,555 | |||||||||
Dril-Quip* (A) | 0.4 | 111,088 | 7,817 | |||||||||
Gulfport Energy* | 0.3 | 177,197 | 6,741 | |||||||||
Other Securities | 4.8 | 106,338 | ||||||||||
|
| |||||||||||
128,451 | ||||||||||||
|
| |||||||||||
Financials — 20.4% |
| |||||||||||
American Campus Communities‡ (A) | 0.3 | 144,022 | 6,308 | |||||||||
American Financial Group | 0.3 | 173,920 | 6,896 | |||||||||
First Horizon National (A) | 0.3 | 726,781 | 6,875 | |||||||||
Jones Lang LaSalle (A) | 0.3 | 77,182 | 6,330 | |||||||||
Lexington Realty Trust‡ (A) | 0.3 | 727,376 | 6,976 | |||||||||
Simon Property Group‡ | 0.4 | 55,779 | 8,486 | |||||||||
Western Alliance Bancorp* | 0.3 | 595,533 | 6,051 | |||||||||
Zions Bancorporation (A) | 0.4 | 449,674 | 9,025 | |||||||||
Other Securities | 17.9 | 398,865 | ||||||||||
|
| |||||||||||
455,812 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 11.7% |
| |||||||||||
Cyberonics* | 0.3 | % | 116,945 | $ | 6,046 | |||||||
HealthSouth* | 0.5 | 541,436 | 11,906 | |||||||||
MEDNAX* (A) | 0.5 | 125,863 | 9,943 | |||||||||
PAREXEL International* (A) | 0.4 | 253,769 | 8,194 | |||||||||
Volcano* (A) | 0.4 | 326,762 | 8,907 | |||||||||
Other Securities | 9.6 | 216,154 | ||||||||||
|
| |||||||||||
261,150 | ||||||||||||
|
| |||||||||||
Industrials — 16.2% |
| |||||||||||
Actuant, Cl A | 0.3 | 206,655 | 5,945 | |||||||||
BE Aerospace* | 0.5 | 218,836 | 10,364 | |||||||||
Deluxe (A) | 0.3 | 210,345 | 6,058 | |||||||||
DigitalGlobe* (A) | 0.3 | 260,183 | 6,489 | |||||||||
Genesee & Wyoming, Cl A* (A) | 0.5 | 149,364 | 10,896 | |||||||||
Hexcel* | 0.3 | 290,430 | 7,508 | |||||||||
Landstar System | 0.3 | 154,264 | 7,801 | |||||||||
MSC Industrial Direct, Cl A (A) | 0.5 | 143,303 | 10,412 | |||||||||
Nordson | 0.3 | 114,990 | 7,036 | |||||||||
Old Dominion Freight Line* (A) | 0.6 | 388,020 | 12,975 | |||||||||
Polypore International* (A) | 0.4 | 239,271 | 9,822 | |||||||||
Sensata Technologies Holding* | 0.3 | 191,728 | 5,917 | |||||||||
United Rentals* (A) | 0.3 | 161,374 | 6,702 | |||||||||
WESCO International* (A) | 0.4 | 135,012 | 8,729 | |||||||||
Other Securities | 10.9 | 245,725 | ||||||||||
|
| |||||||||||
362,379 | ||||||||||||
|
| |||||||||||
Information Technology — 16.1% |
| |||||||||||
BroadSoft* (A) | 0.4 | 264,600 | 8,369 | |||||||||
Cadence Design Systems* (A) | 0.5 | 950,351 | 12,098 | |||||||||
CoStar Group* (A) | 0.4 | 94,235 | 8,185 | |||||||||
Parametric Technology* | 0.4 | 440,134 | 8,908 | |||||||||
Solera Holdings | 0.4 | 183,992 | 9,523 | |||||||||
Other Securities | 13.9 | 312,592 | ||||||||||
|
| |||||||||||
359,675 | ||||||||||||
|
| |||||||||||
Materials — 5.5% |
| |||||||||||
PolyOne | 0.4 | 490,860 | 9,886 | |||||||||
Other Securities | 5.2 | 112,125 | ||||||||||
|
| |||||||||||
122,011 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.5% |
| |||||||||||
Other Securities | 0.5 | 10,136 | ||||||||||
|
| |||||||||||
Utilities — 3.3% |
| |||||||||||
Great Plains Energy | 0.4 | 446,876 | 9,049 | |||||||||
Portland General Electric | 0.3 | 276,122 | 7,464 | |||||||||
UGI | 0.3 | 196,296 | 6,521 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 13 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund (Concluded)
November 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Other Securities | 2.3 | % | $ | 51,241 | ||||||||
|
| |||||||||||
74,275 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 2,171,996 | ||||||||||
|
| |||||||||||
EXCHANGE TRADED FUNDS — 0.8% |
| |||||||||||
iShares Russell 2000 Growth Index Fund (A) | 0.4 | 114 | 10,624 | |||||||||
Other Securities | 0.3 | 6,561 | ||||||||||
|
| |||||||||||
Total Exchange Traded Funds |
| 17,185 | ||||||||||
|
| |||||||||||
WARRANT — 0.0% |
| |||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Warrant |
| — | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 23.5% |
| |||||||||||
SEI Liquidity Fund, L.P. | 23.6 | 525,465,736 | 525,466 | |||||||||
|
| |||||||||||
Total Affiliated Partnership (Cost $525,466) ($ Thousands) |
| 525,466 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 4.8% |
| |||||||||||
SEI Daily Income Trust, | 4.8 | 106,853,078 | 106,853 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 106,853 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 3,996 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations (Cost $3,996) ($ Thousands) |
| 3,996 | ||||||||||
|
| |||||||||||
Total Investments — 126.6% |
| $ | 2,825,496 | |||||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 32 | Dec-2012 | $ | (111 | ) | |||||||
S&P Mid 400 Index E-MINI | 25 | Dec-2012 | (50 | ) | ||||||||
|
| |||||||||||
$ | (161 | ) | ||||||||||
|
|
For the period ended November 30, 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 period.
Percentages are based on a Net Assets of $2,232,568 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 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 November 30, 2012. The total value of securities on loan at November 30, 2012 was $509,878 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2012 was $525,466 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard & Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest 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 November 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 2,171,880 | $ | 116 | $ | — | $ | 2,171,996 | ||||||||
Exchange Traded Funds | 17,185 | — | — | 17,185 | ||||||||||||
Affiliated Partnership | — | 525,466 | — | 525,466 | ||||||||||||
Cash Equivalent | 106,853 | — | — | 106,853 | ||||||||||||
Warrant | — | — | — | — | ||||||||||||
U.S. Treasury Obligations | — | 3,996 | — | 3,996 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,295,918 | $ | 529,578 | $ | — | $ | 2,825,496 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (161 | ) | $ | — | $ | — | $ | (161 | ) | ||||||
|
|
|
|
|
|
|
|
* | 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):
For the period ended November 30, 2012, there have been no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2012, there have been 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 $0.
The accompanying notes are an integral part of the financial statements.
14 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund
November 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 96.1% |
| |||||||||||
Consumer Discretionary — 7.7% |
| |||||||||||
DIRECTV* | 0.9 | % | 161,800 | $ | 8,041 | |||||||
PetSmart | 0.7 | 84,932 | 6,001 | |||||||||
Target | 0.6 | 88,800 | 5,606 | |||||||||
Other Securities | 5.5 | 50,135 | ||||||||||
|
| |||||||||||
69,783 | ||||||||||||
|
| |||||||||||
Consumer Staples — 19.3% |
| |||||||||||
Altria Group | 0.8 | 200,320 | 6,773 | |||||||||
Campbell Soup | 0.9 | 210,700 | 7,743 | |||||||||
Church & Dwight | 0.8 | 140,267 | 7,595 | |||||||||
Clorox | 0.7 | 77,684 | 5,931 | |||||||||
ConAgra Foods | 1.4 | 426,340 | 12,730 | |||||||||
CVS Caremark | 0.7 | 137,600 | 6,400 | |||||||||
Hershey | 0.7 | 87,357 | 6,401 | |||||||||
Hormel Foods | 1.1 | 327,370 | 10,152 | |||||||||
Kimberly-Clark | 1.3 | 142,530 | 12,218 | |||||||||
Philip Morris International | 0.7 | 73,750 | 6,629 | |||||||||
Reynolds American | 0.9 | 182,034 | 7,958 | |||||||||
Wal-Mart Stores | 1.0 | 119,467 | 8,604 | |||||||||
Other Securities | 8.3 | 75,435 | ||||||||||
|
| |||||||||||
174,569 | ||||||||||||
|
| |||||||||||
Energy — 3.3% |
| |||||||||||
Chevron | 0.9 | 80,700 | 8,529 | |||||||||
ConocoPhillips | 0.7 | 106,100 | 6,041 | |||||||||
Exxon Mobil | 1.2 | 123,100 | 10,850 | |||||||||
Imperial Oil | 0.3 | 51,700 | 2,207 | |||||||||
Other Securities | 0.2 | 1,888 | ||||||||||
|
| |||||||||||
29,515 | ||||||||||||
|
| |||||||||||
Financials — 14.4% |
| |||||||||||
Allied World Assurance Holdings | 1.0 | 106,863 | 8,674 | |||||||||
Chubb | 0.6 | 75,000 | 5,774 | |||||||||
Everest Re Group | 1.0 | 79,207 | 8,592 | |||||||||
PartnerRe | 1.3 | 146,970 | 12,181 | |||||||||
RenaissanceRe Holdings | 1.1 | 114,982 | 9,516 | |||||||||
Other Securities | 9.4 | 85,719 | ||||||||||
|
| |||||||||||
130,456 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Health Care — 17.0% |
| |||||||||||
Abbott Laboratories | 1.0 | % | 141,095 | $ | 9,171 | |||||||
AmerisourceBergen | 1.2 | 249,764 | 10,545 | |||||||||
Amgen | 1.6 | 165,901 | 14,732 | |||||||||
Becton Dickinson | 0.8 | 93,888 | 7,198 | |||||||||
Cardinal Health | 0.9 | 209,691 | 8,482 | |||||||||
Eli Lilly | 0.6 | 112,915 | 5,537 | |||||||||
Johnson & Johnson | 1.0 | 129,956 | 9,062 | |||||||||
McKesson | 1.2 | 113,079 | 10,683 | |||||||||
Merck | 1.0 | 209,100 | 9,263 | |||||||||
Pfizer | 1.0 | 349,100 | 8,734 | |||||||||
Other Securities | 6.7 | 60,258 | ||||||||||
|
| |||||||||||
153,665 | ||||||||||||
|
| |||||||||||
Industrials — 5.8% |
| |||||||||||
L-3 Communications Holdings, Cl 3 | 0.7 | 86,600 | 6,655 | |||||||||
Lockheed Martin | 0.8 | 73,974 | 6,902 | |||||||||
Raytheon | 0.8 | 122,800 | 7,016 | |||||||||
Other Securities | 3.5 | 32,091 | ||||||||||
|
| |||||||||||
52,664 | ||||||||||||
|
| |||||||||||
Information Technology — 8.8% |
| |||||||||||
Amdocs | 0.7 | 203,789 | 6,819 | |||||||||
Harris | 0.6 | 122,600 | 5,778 | |||||||||
IAC | 0.7 | 123,772 | 5,836 | |||||||||
International Business Machines | 0.8 | 40,251 | 7,651 | |||||||||
Microsoft | 0.7 | 227,200 | 6,048 | |||||||||
Other Securities | 5.3 | 47,480 | ||||||||||
|
| |||||||||||
79,612 | ||||||||||||
|
| |||||||||||
Materials — 2.1% |
| |||||||||||
Other Securities | 2.1 | 18,480 | ||||||||||
|
| |||||||||||
Telecommunication Services — 3.0% |
| |||||||||||
AT&T | 1.1 | 281,300 | 9,601 | |||||||||
Other Securities | 1.9 | 17,890 | ||||||||||
|
| |||||||||||
27,491 | ||||||||||||
|
| |||||||||||
Utilities — 14.7% |
| |||||||||||
American Electric Power | 0.7 | 144,905 | 6,180 | |||||||||
American Water Works | 0.9 | 212,080 | 8,095 | |||||||||
Consolidated Edison | 0.7 | 124,498 | 6,946 | |||||||||
DTE Energy | 1.2 | 177,014 | 10,723 | |||||||||
PG&E | 0.9 | 192,300 | 7,875 | |||||||||
Pinnacle West Capital | 0.6 | 111,361 | 5,731 | |||||||||
PPL | 0.6 | 194,300 | 5,703 | |||||||||
Public Service Enterprise Group | 0.6 | 189,729 | 5,709 | |||||||||
Other Securities | 8.5 | 76,163 | ||||||||||
|
| |||||||||||
133,125 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 869,360 | ||||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 15 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund (Concluded)
November 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
CASH EQUIVALENT — 3.9% |
| |||||||||||
SEI Daily Income Trust, | 3.9 | % | 35,530,856 | $ | 35,531 | |||||||
|
| |||||||||||
Total Cash Equivalent |
| 35,531 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (A) — 0.3% |
| |||||||||||
Other Securities | 0.3 | 3,002 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 3,002 | ||||||||||
|
| |||||||||||
Total Investments — 100.3% |
| $ | 907,893 | |||||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index EMINI | 356 | Dec-2012 | $ | 1,068 | ||||||||
|
|
For the period ended November 30, 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 period.
Percentages are based on a Net Assets of $905,068 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 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, November 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 869,360 | $ | — | $ | — | $ | 869,360 | ||||||||
Cash Equivalent | 35,531 | — | — | 35,531 | ||||||||||||
U.S. Treasury Obligations | — | 3,002 | — | 3,002 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 904,891 | $ | 3,002 | $ | — | $ | 907,893 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 1,068 | $ | — | $ | — | $ | 1,068 | ||||||||
|
|
|
|
|
|
|
|
* | Future contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2012, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2012, there were no significant transfers between Level��2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
16 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 92.2% |
| |||||||||||
Argentina — 0.0% |
| |||||||||||
Other Securities | 0.0 | % | $ | 8 | ||||||||
|
| |||||||||||
Australia — 3.1% |
| |||||||||||
Australia & New Zealand Banking Group | 0.6 | 89,071 | 2,263 | |||||||||
Newcrest Mining | 0.5 | 70,855 | 1,896 | |||||||||
Other Securities | 2.0 | 7,492 | ||||||||||
|
| |||||||||||
11,651 | ||||||||||||
|
| |||||||||||
Austria — 0.1% |
| |||||||||||
Other Securities | 0.1 | 194 | ||||||||||
|
| |||||||||||
Belgium — 1.6% | ||||||||||||
InBev | 0.6 | 26,546 | 2,327 | |||||||||
Other Securities | 1.0 | 3,484 | ||||||||||
|
| |||||||||||
5,811 | ||||||||||||
|
| |||||||||||
Brazil — 0.1% |
| |||||||||||
Other Securities | 0.1 | 420 | ||||||||||
|
| |||||||||||
Canada — 3.3% |
| |||||||||||
Barrick Gold (A) | 0.4 | 46,835 | 1,617 | |||||||||
Other Securities | 2.9 | 10,670 | ||||||||||
|
| |||||||||||
12,287 | ||||||||||||
|
| |||||||||||
Chile — 0.2% |
| |||||||||||
Other Securities | 0.2 | 818 | ||||||||||
|
| |||||||||||
China — 0.2% |
| |||||||||||
Other Securities | 0.2 | 702 | ||||||||||
|
| |||||||||||
Colombia — 0.1% |
| |||||||||||
Other Securities | 0.1 | 506 | ||||||||||
|
| |||||||||||
Czech Republic — 0.1% | ||||||||||||
Other Securities | 0.1 | 222 | ||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Denmark — 1.1% |
| |||||||||||
Novo-Nordisk, Cl B | 0.5 | % | 12,514 | $ | 1,988 | |||||||
Other Securities | 0.6 | 2,251 | ||||||||||
|
| |||||||||||
4,239 | ||||||||||||
|
| |||||||||||
Finland — 0.3% |
| |||||||||||
Other Securities | 0.3 | 1,096 | ||||||||||
|
| |||||||||||
France — 9.4% |
| |||||||||||
Arkema | 0.5 | 16,561 | 1,694 | |||||||||
BNP Paribas | 0.7 | 43,518 | 2,431 | |||||||||
Compagnie Generale des Etablissements Michelin, Cl B | 0.4 | 17,697 | 1,646 | |||||||||
Sanofi-Aventis | 1.6 | 67,221 | 6,003 | |||||||||
Schneider Electric | 0.9 | 51,511 | 3,620 | |||||||||
Total | 0.5 | 36,869 | 1,845 | |||||||||
Other Securities | 4.8 | 18,101 | ||||||||||
|
| |||||||||||
35,340 | ||||||||||||
|
| |||||||||||
Germany — 8.6% |
| |||||||||||
Bayer | 0.5 | 20,620 | 1,865 | |||||||||
DaimlerChrysler | 0.6 | 48,350 | 2,388 | |||||||||
Deutsche Boerse | 0.6 | 39,627 | 2,232 | |||||||||
Infineon Technologies | 0.4 | 215,899 | 1,656 | |||||||||
Linde | 0.8 | 17,656 | 3,053 | |||||||||
Muenchener Rueckversicherungs | 0.5 | 9,972 | 1,702 | |||||||||
Siemens | 0.8 | 28,043 | 2,892 | |||||||||
Other Securities | 4.4 | 16,517 | ||||||||||
|
| |||||||||||
32,305 | ||||||||||||
|
| |||||||||||
Hong Kong — 2.5% |
| |||||||||||
Other Securities | 2.5 | 9,505 | ||||||||||
|
| |||||||||||
India — 0.4% |
| |||||||||||
Other Securities | 0.4 | 1,395 | ||||||||||
|
| |||||||||||
Indonesia — 0.1% |
| |||||||||||
Other Securities | 0.1 | 391 | ||||||||||
|
| |||||||||||
Ireland — 1.0% |
| |||||||||||
Other Securities | 1.0 | 3,843 | ||||||||||
|
| |||||||||||
Israel — 1.1% |
| |||||||||||
Check Point Software Technologies | 0.6 | 50,441 | 2,329 | |||||||||
Other Securities | 0.5 | 1,641 | ||||||||||
|
| |||||||||||
3,970 | ||||||||||||
|
| |||||||||||
Italy — 0.9% |
| |||||||||||
Other Securities | 0.9 | 3,356 | ||||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 17 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund (Continued)
November 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Japan — 15.4% |
| |||||||||||
Chugai Pharmaceutical | 0.0 | % | 5,300 | $ | 105 | |||||||
Daihatsu Motor | 0.0 | 4,000 | 71 | |||||||||
FANUC | 0.9 | 20,000 | 3,371 | |||||||||
Hino Motors | 0.2 | 72,000 | 618 | |||||||||
JGC | 0.5 | 57,000 | 1,877 | |||||||||
Jupiter Telecommunications | 0.6 | 1,728 | 2,259 | |||||||||
Nippon Telegraph & Telephone | 0.5 | 45,300 | 2,024 | |||||||||
Seven & I Holdings | 0.5 | 69,700 | 2,030 | |||||||||
Sumitomo Mitsui Financial Group | 0.5 | 56,200 | 1,809 | |||||||||
Toyota Motor ADR | 0.1 | 4,790 | 412 | |||||||||
Toyota Motor | 0.8 | 70,000 | 3,000 | |||||||||
Other Securities | 10.8 | 40,062 | ||||||||||
|
| |||||||||||
57,638 | ||||||||||||
|
| |||||||||||
Jersey — 0.0% |
| |||||||||||
Other Securities | 0.0 | 174 | ||||||||||
|
| |||||||||||
Mexico — 0.4% |
| |||||||||||
Other Securities | 0.4 | 1,360 | ||||||||||
|
| |||||||||||
Netherlands — 3.5% |
| |||||||||||
Akzo Nobel | 0.9 | 55,933 | 3,196 | |||||||||
Reed Elsevier | 0.6 | 164,081 | 2,370 | |||||||||
Other Securities | 2.0 | 7,670 | ||||||||||
|
| |||||||||||
13,236 | ||||||||||||
|
| |||||||||||
New Zealand — 0.1% |
| |||||||||||
Other Securities | 0.1 | 434 | ||||||||||
|
| |||||||||||
Norway — 1.1% |
| |||||||||||
DnB | 0.6 | 172,531 | 2,149 | |||||||||
Other Securities | 0.5 | 2,061 | ||||||||||
|
| |||||||||||
4,210 | ||||||||||||
|
| |||||||||||
Philippines — 0.0% |
| |||||||||||
Other Securities | 0.0 | 9 | ||||||||||
|
| |||||||||||
Poland — 0.1% |
| |||||||||||
Other Securities | 0.1 | 455 | ||||||||||
|
| |||||||||||
Portugal — 0.0% |
| |||||||||||
Other Securities | 0.0 | 24 | ||||||||||
|
| |||||||||||
Russia — 0.7% |
| |||||||||||
Other Securities | 0.7 | 2,685 | ||||||||||
|
| |||||||||||
Singapore — 1.4% |
| |||||||||||
Other Securities | 1.4 | 5,379 | ||||||||||
|
| |||||||||||
South Africa — 0.6% |
| |||||||||||
Other Securities | 0.6 | 2,161 | ||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares/Face Amount (1) (Thousands) | Market Value ($ Thousands) | |||||||||
South Korea — 2.9% |
| |||||||||||
KT&G | 0.5 | % | 23,738 | $ | 1,879 | |||||||
Samsung Electronics | 1.0 | 2,815 | 3,655 | |||||||||
Other Securities | 1.4 | 5,421 | ||||||||||
|
| |||||||||||
10,955 | ||||||||||||
|
| |||||||||||
Spain — 1.0% |
| |||||||||||
Other Securities | 1.0 | 3,902 | ||||||||||
|
| |||||||||||
Sweden — 2.1% |
| |||||||||||
Other Securities | 2.1 | 7,789 | ||||||||||
|
| |||||||||||
Switzerland — 9.1% |
| |||||||||||
Credit Suisse Group | 0.5 | 89,980 | 2,131 | |||||||||
Givaudan | 0.7 | 2,607 | 2,618 | |||||||||
Nestle | 1.1 | 61,275 | 4,012 | |||||||||
Novartis | 1.1 | 65,892 | 4,079 | |||||||||
Roche Holding | 1.7 | 32,900 | 6,478 | |||||||||
SGS | 0.5 | 916 | 2,056 | |||||||||
Sulzer | 0.5 | 11,069 | 1,715 | |||||||||
Zurich Insurance Group | 0.6 | 9,378 | 2,394 | |||||||||
Other Securities | 2.4 | 8,843 | ||||||||||
|
| |||||||||||
34,326 | ||||||||||||
|
| |||||||||||
Taiwan — 0.1% |
| |||||||||||
Other Securities | 0.1 | 192 | ||||||||||
|
| |||||||||||
Thailand — 0.1% |
| |||||||||||
Other Securities | 0.1 | 208 | ||||||||||
|
| |||||||||||
United Kingdom — 18.3% |
| |||||||||||
BG Group | 0.9 | 190,069 | 3,259 | |||||||||
BHP Billiton | 0.7 | 87,781 | 2,760 | |||||||||
British American Tobacco | 0.6 | 45,553 | 2,390 | |||||||||
Diageo | 0.4 | 56,505 | 1,682 | |||||||||
HSBC Holdings | 0.5 | 164,843 | 1,685 | |||||||||
Petrofac | 0.5 | 76,578 | 1,998 | |||||||||
Prudential | 0.5 | 128,460 | 1,863 | |||||||||
Shire | 0.5 | 64,409 | 1,864 | |||||||||
Tesco | 0.9 | 643,081 | 3,351 | |||||||||
Vodafone Group | 0.8 | 1,142,649 | 2,951 | |||||||||
Other Securities | 12.0 | 44,911 | ||||||||||
|
| |||||||||||
68,714 | ||||||||||||
|
| |||||||||||
United States — 1.1% |
| |||||||||||
Other Securities | 1.1 | 4,123 | ||||||||||
|
| |||||||||||
Total Common Stock |
| 346,033 | ||||||||||
|
| |||||||||||
PREFERRED STOCK — 0.4% |
| |||||||||||
Brazil — 0.0% |
| |||||||||||
Other Securities | 0.0 | 143 | ||||||||||
|
|
18 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Percentage of Net Assets (%) | Shares/Face Amount ($ Thousands) (1) | Market Value ($ Thousands) | |||||||||
Germany — 0.4% |
| |||||||||||
Other Securities | 0.4 | % | $ | 1,406 | ||||||||
|
| |||||||||||
Total Preferred Stock |
| 1,549 | ||||||||||
|
| |||||||||||
Number of Rights | ||||||||||||
RIGHT — 0.0% | ||||||||||||
Switzerland — 0.0% |
| |||||||||||
Swiss Prime Site, Expires 12/05/12 | 0.0 | — | — | |||||||||
|
| |||||||||||
Total Right |
| — | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 2.0% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.180%†** (B) | 2.0 | 7,397,422 | 7,397 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 7,397 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 4.5% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A |
| |||||||||||
0.060%†** | 4.5 | 16,878,614 | 16,879 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 16,879 | ||||||||||
|
| |||||||||||
TIME DEPOSITS — 2.4% |
| |||||||||||
Brown Brothers Harriman | ||||||||||||
4.150%, 12/01/2012 | ZAR | 6 | 1 | |||||||||
2.404%, 12/01/2012 | AUD | 19 | 20 | |||||||||
1.550%, 12/01/2012 | NZD | — | — | |||||||||
0.550%, 12/01/2012 | NOK | 147 | 26 | |||||||||
0.350%, 12/01/2012 | SEK | 62 | 9 | |||||||||
0.198%, 12/01/2012 | CAD | 10 | 10 | |||||||||
0.071%, 12/01/2012 | GBP | 48 | 77 | |||||||||
0.030%, 12/01/2012 | 8,605 | 8,605 | ||||||||||
0.010%, 12/01/2012 | JPY | 2,658 | 32 | |||||||||
0.010%, 12/01/2012 | SGD | 29 | 24 | |||||||||
0.005%, 12/01/2012 | CHF | 42 | 46 | |||||||||
0.005%, 12/01/2012 | HKD | 34 | 5 | |||||||||
(0.150)%, 12/01/2012 | DKK | 74 | 13 | |||||||||
(0.030)%, 12/01/2012 | EUR | 23 | 29 | |||||||||
|
| |||||||||||
Total Time Deposits |
| 8,897 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (C) — 0.3% |
| |||||||||||
Other Securities | 0 .3 | 1,100 | ||||||||||
|
|
Description | Market Value ($ Thousands) | |||||||
Total U.S. Treasury Obligation | $ | 1,100 | ||||||
|
| |||||||
Total Investments — 101.8% | $ | 381,855 | ||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 171 | Dec-2012 | $ | 111 | ||||||||
FTSE 100 Index | 59 | Dec-2012 | 71 | |||||||||
Hang Seng Index | 7 | Dec-2012 | 2 | |||||||||
SPI 200 Index | 17 | Dec-2012 | 28 | |||||||||
Topix Index | 43 | Dec-2012 | 216 | |||||||||
|
| |||||||||||
$ | 428 | |||||||||||
|
|
For the period ended November 30, 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 period.
A list of the open forward foreign currency contracts held by the Fund at November 30, 2012, is as follows:
Settlement Date | Currency to Deliver | Currency to Receive (Thousands) | Unrealized (Depreciation) ($ Thousands) | |||||||||||||||||
2/9/13-2/19/13 | EUR | 1,103 | USD | 1,409 | $ | (27 | ) | |||||||||||||
|
|
A list of the counterparties for the open forward foreign currency contracts held by the Fund at November 30, 2012, is as follows:
Counterparty | Currency to ($ Thousands) | Currency to ($ Thousands) | Unrealized (Depreciation) ($ Thousands) | |||||||||
Brown Brothers Harriman | (1,436 | ) | 1,409 | $ | (27 | ) | ||||||
|
|
For the period ended November 30, 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 period.
Percentages are based on a Net Assets of $375,266 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 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 November 30, 2012. The total value of securities on loan at November 30, 2012 was $7,111 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2012 was $7,397 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
AUD — Australian Dollar
CAD — Canadian Dollar
CHF — Swiss Franc
Cl — Class
DJ — Dow Jones
DKK — Danish Krone
EUR — Euro
FTSE — Financial Times and the London Stock Exchange
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 19 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund (Concluded)
November 30, 2012
GBP — British Pound Sterling
HKD — Hong Kong Dollar
JPY — Japanese Yen
L.P. — Limited Partnership
NOK — Norwegian Krone
NZD — New Zealand Dollar
SEK — Swedish Krone
SGD — Singapore Dollar
SPI — Share Price Index
USD — U.S. Dollar
ZAR — South African Rand
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of November 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Common Stock | $ | 340,439 | $ | 5,443 | $ | 151 | $ | 346,033 | ||||||||
Preferred Stock | 1,542 | 7 | — | 1,549 | ||||||||||||
Right | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 7,397 | — | 7,397 | ||||||||||||
Cash Equivalent | 16,879 | — | — | 16,879 | ||||||||||||
Time Deposits | 8,897 | — | — | 8,897 | ||||||||||||
U.S. Treasury Obligation | — | 1,100 | — | 1,100 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 367,757 | $ | 13,947 | $ | 151 | $ | 381,855 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 428 | $ | — | $ | — | $ | 428 | ||||||||
Forwards Contracts* | — | (27 | ) | — | (27 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 428 | $ | (27 | ) | $ | — | $ | 401 | |||||||
|
|
|
|
|
|
|
|
(1) | A reconciliation of Level 3 instruments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. |
* | Futures and forwards contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended November 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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.
Amounts designated as "—" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
20 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund
November 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 94.8% |
| |||||||||||
Argentina — 0.0% |
| |||||||||||
Other Securities | 0.0 | % | $ | 619 | ||||||||
|
| |||||||||||
Australia — 1.6% |
| |||||||||||
Other Securities | 1.6 | 97,107 | ||||||||||
|
| |||||||||||
Austria — 0.9% |
| |||||||||||
Schoeller-Bleckmann Oilfield | ||||||||||||
Equipment | 0.5 | 266,870 | 27,653 | |||||||||
Other Securities | 0.4 | 26,735 | ||||||||||
|
| |||||||||||
54,388 | ||||||||||||
|
| |||||||||||
Belgium — 0.4% |
| |||||||||||
Other Securities | 0.4 | 26,104 | ||||||||||
|
| |||||||||||
Brazil — 4.3% |
| |||||||||||
Banco Bradesco ADR | 0.7 | 2,447,700 | 41,219 | |||||||||
Cia de Saneamento Basico do | ||||||||||||
Estado de Sao Paulo ADR | 0.8 | 604,451 | 49,184 | |||||||||
Other Securities | 2.8 | 167,602 | ||||||||||
|
| |||||||||||
258,005 | ||||||||||||
|
| |||||||||||
Canada — 5.0% |
| |||||||||||
Other Securities | 5.0 | 299,621 | ||||||||||
|
| |||||||||||
Chile — 0.0% |
| |||||||||||
Other Securities | 0.0 | 2,183 | ||||||||||
|
| |||||||||||
China — 3.6% |
| |||||||||||
China Oilfield Services | 0.4 | 11,649,400 | 23,269 | |||||||||
China Petroleum & Chemical | 0.6 | 32,732,900 | 34,718 | |||||||||
China Telecom | 0.0 | 3,914,000 | 2,131 | |||||||||
Industrial & Commercial Bank of China | 0.5 | 41,283,645 | 27,860 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Other Securities | 2.1 | % | $ | 129,234 | ||||||||
|
| |||||||||||
217,212 | ||||||||||||
|
| |||||||||||
Colombia — 0.3% |
| |||||||||||
Other Securities | 0.3 | 19,982 | ||||||||||
|
| |||||||||||
Czech Republic — 0.2% |
| |||||||||||
Other Securities | 0.2 | 12,813 | ||||||||||
|
| |||||||||||
Denmark — 1.0% |
| |||||||||||
Novo-Nordisk, Cl B | 0.5 | 193,919 | 30,800 | |||||||||
Other Securities | 0.5 | 31,300 | ||||||||||
|
| |||||||||||
62,100 | ||||||||||||
|
| |||||||||||
Finland — 0.1% |
| |||||||||||
Other Securities | 0.1 | 8,709 | ||||||||||
|
| |||||||||||
France — 3.6% |
| |||||||||||
LVMH Moet Hennessy Louis Vuitton | 0.5 | 160,676 | 28,191 | |||||||||
Sanofi-Aventis | 0.7 | 461,008 | 41,167 | |||||||||
Other Securities | 2.4 | 146,367 | ||||||||||
|
| |||||||||||
215,725 | ||||||||||||
|
| |||||||||||
Germany — 8.4% |
| |||||||||||
Adidas | 0.5 | 320,308 | 28,170 | |||||||||
Hugo Boss | 0.4 | 247,714 | 25,980 | |||||||||
Kabel Deutschland Holding | 0.4 | 356,717 | 25,795 | |||||||||
SAP | 1.0 | 729,719 | 56,982 | |||||||||
Siemens | 0.8 | 462,401 | 47,691 | |||||||||
Symrise | 0.5 | 796,885 | 27,750 | |||||||||
Other Securities | 4.8 | 294,330 | ||||||||||
|
| |||||||||||
506,698 | ||||||||||||
|
| |||||||||||
Hong Kong — 3.1% |
| |||||||||||
China Mobile | 0.2 | 1,363,500 | 15,588 | |||||||||
Other Securities | 2.9 | 171,701 | ||||||||||
|
| |||||||||||
187,289 | ||||||||||||
|
| |||||||||||
India — 1.1% |
| |||||||||||
ICICI Bank ADR | 0.7 | 972,700 | 39,871 | |||||||||
Other Securities | 0.4 | 23,937 | ||||||||||
|
| |||||||||||
63,808 | ||||||||||||
|
| |||||||||||
Indonesia — 1.4% |
| |||||||||||
Other Securities | 1.4 | 81,727 | ||||||||||
|
| |||||||||||
Ireland — 1.3% |
| |||||||||||
Other Securities | 1.3 | 77,981 | ||||||||||
|
| |||||||||||
Israel — 1.3% | ||||||||||||
Teva Pharmaceutical Industries ADR | 0.7 | 1,060,950 | 42,809 | |||||||||
Other Securities | 0.6 | 32,134 | ||||||||||
|
| |||||||||||
74,943 | ||||||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 21 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Italy — 0.6% |
| |||||||||||
Other Securities | 0.6 | % | $ | 34,464 | ||||||||
|
| |||||||||||
Japan — 11.6% |
| |||||||||||
Dena | 0.5 | 756,946 | 27,765 | |||||||||
Fuji Heavy Industries ADR | 0.5 | 1,379,000 | 31,014 | |||||||||
Hitachi | 0.9 | 9,565,300 | 55,209 | |||||||||
KDDI | 0.7 | 618,847 | 45,774 | |||||||||
Komatsu | 0.5 | 1,401,363 | 31,385 | |||||||||
Nitto Denko ADR (A) | 0.5 | 1,039,060 | �� | 27,223 | ||||||||
Softbank | 0.5 | 746,483 | 27,969 | |||||||||
Toyota Motor | 0.5 | 738,369 | 31,649 | |||||||||
Other Securities | 7.0 | 416,560 | ||||||||||
|
| |||||||||||
694,548 | ||||||||||||
|
| |||||||||||
Jersey — 0.0% |
| |||||||||||
Other Securities | 0.0 | 794 | ||||||||||
|
| |||||||||||
Malaysia — 0.1% |
| |||||||||||
Other Securities | 0.1 | 8,733 | ||||||||||
|
| |||||||||||
Mexico — 0.9% |
| |||||||||||
Other Securities | 0.9 | 51,383 | ||||||||||
|
| |||||||||||
Netherlands — 3.0% |
| |||||||||||
Core Laboratories | 0.6 | 335,800 | 34,648 | |||||||||
Other Securities | 2.4 | 148,010 | ||||||||||
|
| |||||||||||
182,658 | ||||||||||||
|
| |||||||||||
New Zealand — 0.1% |
| |||||||||||
Other Securities | 0.1 | 2,811 | ||||||||||
|
| |||||||||||
Norway — 2.3% |
| |||||||||||
DnB | 0.5 | 2,253,837 | 28,076 | |||||||||
Seadrill | 0.6 | 1,008,557 | 38,822 | |||||||||
Statoil ADR | 0.7 | 1,658,000 | 40,438 | |||||||||
Other Securities | 0.5 | 27,847 | ||||||||||
|
| |||||||||||
135,183 | ||||||||||||
|
| |||||||||||
Poland — 0.2% |
| |||||||||||
Other Securities | 0.2 | 14,168 | ||||||||||
|
| |||||||||||
Qatar — 0.4% |
| |||||||||||
Other Securities | 0.4 | 24,410 | ||||||||||
|
| |||||||||||
Russia — 0.6% |
| |||||||||||
Other Securities | 0.6 | 38,384 | ||||||||||
|
| |||||||||||
Singapore — 1.8% |
| |||||||||||
Other Securities | 1.8 | 106,663 | ||||||||||
|
| |||||||||||
South Africa — 0.6% |
| |||||||||||
Sasol ADR | 0.5 | 775,100 | 32,825 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Other Securities | 0.1 | % | $ | 4,671 | ||||||||
|
| |||||||||||
37,496 | ||||||||||||
|
| |||||||||||
South Korea — 4.2% |
| |||||||||||
Hyundai Motor | 0.4 | 127,912 | 26,637 | |||||||||
Samsung Electronics | 1.1 | 52,846 | 68,617 | |||||||||
Other Securities | 2.7 | 155,362 | ||||||||||
|
| |||||||||||
250,616 | ||||||||||||
|
| |||||||||||
Spain — 0.4% |
| |||||||||||
Other Securities | 0.4 | 22,919 | ||||||||||
|
| |||||||||||
Sweden — 2.5% |
| |||||||||||
Getinge, Cl B | 0.6 | 1,111,198 | 35,796 | |||||||||
Hexagon, Cl B | 0.4 | 1,056,844 | 26,125 | |||||||||
Other Securities | 1.5 | 89,218 | ||||||||||
|
| |||||||||||
151,139 | ||||||||||||
|
| |||||||||||
Switzerland — 4.1% |
| |||||||||||
Roche Holding | 0.6 | 171,688 | 33,804 | |||||||||
Zurich Insurance Group | 0.6 | 1,348,600 | 34,497 | |||||||||
Other Securities | 2.9 | 176,723 | ||||||||||
|
| |||||||||||
245,024 | ||||||||||||
|
| |||||||||||
Taiwan — 1.1% |
| |||||||||||
Other Securities | 1.1 | 67,173 | ||||||||||
|
| |||||||||||
Thailand — 1.4% |
| |||||||||||
Other Securities | 1.4 | 86,050 | ||||||||||
|
| |||||||||||
Turkey — 1.3% |
| |||||||||||
Other Securities | 1.3 | 75,302 | ||||||||||
|
| |||||||||||
United Kingdom — 16.9% |
| |||||||||||
ARM Holdings | 0.2 | 1,090,492 | 13,527 | |||||||||
ARM Holdings ADR | 1.0 | 1,504,053 | 56,131 | |||||||||
AstraZeneca ADR | 0.6 | 736,000 | 34,989 | |||||||||
Barclays | 0.7 | 10,019,196 | 39,501 | |||||||||
British American Tobacco | 0.5 | 570,177 | 29,918 | |||||||||
Diageo ADR | 0.4 | 203,600 | 24,344 | |||||||||
Diageo | 0.7 | 1,382,918 | 41,157 | |||||||||
HSBC Holdings | 1.1 | 6,467,878 | 65,973 | |||||||||
Imperial Tobacco Group | 0.7 | 1,039,295 | 41,590 | |||||||||
Reckitt Benckiser Group | 0.5 | 431,315 | 27,131 | |||||||||
Rio Tinto ADR (A) | 0.8 | 968,600 | 48,236 | |||||||||
Royal Dutch Shell, Cl A | 0.8 | 1,388,919 | 46,551 | |||||||||
Royal Dutch Shell, Cl A (GBP) | 0.1 | 120,089 | 4,022 | |||||||||
Royal Dutch Shell ADR, Cl A | 0.5 | 493,300 | 33,036 | |||||||||
Shire | 0.5 | 1,068,368 | 30,923 | |||||||||
Other Securities | 7.8 | 476,303 | ||||||||||
|
| |||||||||||
1,013,332 | ||||||||||||
|
|
22 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Percentage of Net Assets (%) | Shares/Face Amount (1) (Thousands) | Market Value ($ Thousands) | |||||||||
United States — 3.1% |
| |||||||||||
Schlumberger | 0.5 | % | 376,020 | $ | 26,931 | |||||||
Virgin Media (A) | 0.4 | 753,022 | 26,484 | |||||||||
Other Securities | 2.2 | 135,636 | ||||||||||
|
| |||||||||||
189,051 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 5,699,315 | ||||||||||
|
| |||||||||||
PREFERRED STOCK — 0.7% |
| |||||||||||
Brazil — 0.2% |
| |||||||||||
Other Securities | 0.2 | 12,192 | ||||||||||
|
| |||||||||||
Germany — 0.5% | ||||||||||||
Other Securities | 0.5 | 28,640 | ||||||||||
|
| |||||||||||
Total Preferred Stock |
| 40,832 | ||||||||||
|
| |||||||||||
EXCHANGE TRADED FUND — 0.4% |
| |||||||||||
iShares MSCI Emerging Markets Index Fund | 0.4 | 553,400 | 23,132 | |||||||||
|
| |||||||||||
Total Exchange Traded Fund |
| 23,132 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 6.6% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.180% †* (B) | 6.6 | 395,260,256 | 395,260 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 395,260 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 1.4% |
| |||||||||||
SEI Daily Income Trust, |
| |||||||||||
0.060%†* | 1.4 | 83,200,953 | 83,201 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 83,201 | ||||||||||
|
| |||||||||||
TIME DEPOSITS — 1.9% |
| |||||||||||
Brown Brothers Harriman | ||||||||||||
4.150%, 12/01/2012 | ZAR | 53 | 6 | |||||||||
2.404%, 12/01/2012 | AUD | 433 | 452 | |||||||||
1.550%, 12/01/2012 | NZD | — | — | |||||||||
0.550%, 12/01/2012 | NOK | 3,362 | 594 | |||||||||
0.350%, 12/01/2012 | SEK | 1 | — | |||||||||
0.198%, 12/01/2012 | CAD | 334 | 337 | |||||||||
0.071%, 12/01/2012 | GBP | 742 | 1,189 | |||||||||
0.030%, 12/01/2012 | 111,575 | 111,575 | ||||||||||
0.010%, 12/01/2012 | JPY | 68,854 | 835 | |||||||||
0.010%, 12/01/2012 | SGD | 34 | 28 | |||||||||
0.005%, 12/01/2012 | CHF | 10 | 10 | |||||||||
0.005%, 12/01/2012 | HKD | 610 | 79 |
Description | Percentage of Net Assets (%) | Face Amount (1) (Thousands) | Market Value ($ Thousands) | |||||||||
(0.150)%, 12/01/2012 | DKK | 2 | $ | — | ||||||||
(0.030)%, 12/01/2012 | EUR | 1,148 | 1,493 | |||||||||
|
| |||||||||||
Total Time Deposits |
| 116,598 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.4% |
| |||||||||||
Other Securities | 0.4 | % | 22,798 | |||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 22,798 | ||||||||||
|
| |||||||||||
Total Investments — 106.2% |
| $ | 6,381,136 | |||||||||
|
|
The open futures contracts held by the Fund at May 31, 2012, is as follows:
A list of the open futures contracts held by the Fund at November 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 1,040 | Dec-2012 | $ | 22 | ||||||||
FTSE 100 Index | 351 | Dec-2012 | 177 | |||||||||
Hang Seng Index | 45 | Dec-2012 | 8 | |||||||||
S&P TSX 60 Index | 106 | Dec-2012 | (91 | ) | ||||||||
SPI 200 Index | 114 | Dec-2012 | 142 | |||||||||
Topix Index | 303 | Dec-2012 | 955 | |||||||||
|
| |||||||||||
$ | 1,213 | |||||||||||
|
|
For the period ended November 30, 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 period.
A list of the open forward foreign currency contracts held by the Fund at November 30, 2012, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized (Depreciation) ($ Thousands) | |||||||||
5/8/13 | EUR | 17,652 | USD | 22,644 | $ | (348 | ) | |||||
|
|
A list of the counterparties for the open forward foreign currency contracts held by the Fund at November 30, 2012, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized (Depreciation) ($Thousands) | |||||||||
State Street | (22,992 | ) | 22,644 | $ | (348 | ) | ||||||
|
|
For the period ended November 30, 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 period.
Percentages are based on a Net Assets of $6,009,158 ($ Thousands).
* | The rate reported is the 7-day effective yield as of November 30, 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 November 30, 2012. The total value of securities on loan at November 30, 2012 was $383,918 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2012 was $395,620 ($ Thousands). |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 23 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Concluded)
November 30, 2012
(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 summary of the inputs used as of November 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Common Stock | $ | 5,634,616 | $ | 64,651 | $ | 48 | $ | 5,699,315 | ||||||||
Affiliated Partnership | — | 395,260 | — | 395,260 | ||||||||||||
Preferred Stock | 40,832 | — | — | 40,832 | ||||||||||||
Exchange Traded Fund | 23,132 | — | — | 23,132 | ||||||||||||
Time Deposits | 116,598 | — | — | 116,598 | ||||||||||||
U.S. Treasury Obligations | — | 22,798 | — | 22,798 | ||||||||||||
Cash Equivalent | 83,201 | — | — | 83,201 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 5,898,379 | $ | 482,709 | $ | 48 | $ | 6,381,136 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 1,213 | $ | — | $ | — | $ | 1,213 | ||||||||
Forwards Contracts* | — | (348 | ) | — | (348 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 1,213 | $ | (348 | ) | $ | — | $ | 865 | |||||||
|
|
|
|
|
|
|
|
(1) | A reconciliation of Level 3 instruments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. |
* | Futures and forwards contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended November 30, 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 period ended November 30, 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.
Amounts designated as “—” are $O or have been rounded to $O.
The accompanying notes are an integral part of the financial statements.
24 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund
November 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 90.3% |
| |||||||||||
Argentina — 0.0% | ||||||||||||
Other Securities | 0.0 | % | $ | 14 | ||||||||
|
| |||||||||||
Australia — 2.3% | ||||||||||||
Australia & New Zealand | 0.5 | 13,401 | 341 | |||||||||
BHP Billiton ADR | 0.6 | 5,200 | 375 | |||||||||
Commonwealth Bank of Australia | 0.6 | 5,675 | 353 | |||||||||
Other Securities | 0.6 | 360 | ||||||||||
|
| |||||||||||
1,429 | ||||||||||||
|
| |||||||||||
Austria — 1.9% | ||||||||||||
Schoeller-Bleckmann | 0.7 | 4,191 | 434 | |||||||||
Other Securities | 1.2 | 733 | ||||||||||
|
| |||||||||||
1,167 | ||||||||||||
|
| |||||||||||
Belgium — 0.0% | ||||||||||||
Other Securities | 0.0 | 30 | ||||||||||
|
| |||||||||||
Brazil — 2.4% | ||||||||||||
Banco do Brasil | 0.6 | 37,200 | 387 | |||||||||
Other Securities | 1.8 | 1,088 | ||||||||||
|
| |||||||||||
1,475 | ||||||||||||
|
| |||||||||||
Canada — 4.5% | ||||||||||||
Other Securities | 4.5 | 2,798 | ||||||||||
|
| |||||||||||
Chile — 0.1% | ||||||||||||
Other Securities | 0.1 | 48 | ||||||||||
|
| |||||||||||
China — 5.1% | ||||||||||||
China Oilfield | 0.6 | 173,800 | 347 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Industrial & Commercial | 1.1 | % | 983,222 | $ | 664 | |||||||
Other Securities | 3.4 | 2,147 | ||||||||||
|
| |||||||||||
3,158 | ||||||||||||
|
| |||||||||||
Colombia — 0.5% | ||||||||||||
Other Securities | 0.5 | 302 | ||||||||||
|
| |||||||||||
Czech Republic — 0.3% | ||||||||||||
Other Securities | 0.3 | 199 | ||||||||||
|
| |||||||||||
Denmark — 0.9% | ||||||||||||
Novo-Nordisk, Cl B | 0.9 | 3,542 | 563 | |||||||||
|
| |||||||||||
Finland — 0.1% | ||||||||||||
Other Securities | 0.1 | 34 | ||||||||||
|
| |||||||||||
France — 4.0% | ||||||||||||
Compagnie Generale des | ||||||||||||
Etablissements | ||||||||||||
Michelin, Cl B | 0.9 | 6,057 | 563 | |||||||||
LVMH Moet Hennessy Louis Vuitton | 0.7 | 2,403 | 422 | |||||||||
Other Securities | 2.4 | 1,507 | ||||||||||
|
| |||||||||||
2,492 | ||||||||||||
|
| |||||||||||
Germany — 6.2% | ||||||||||||
Adidas | 0.7 | 4,745 | 417 | |||||||||
BASF | 1.0 | 7,037 | 631 | |||||||||
Fresenius Medical Care | 0.6 | 5,702 | 392 | |||||||||
SAP | 0.9 | 6,752 | 527 | |||||||||
Siemens | 0.6 | 3,510 | 362 | |||||||||
Other Securities | 2.4 | 1,504 | ||||||||||
|
| |||||||||||
3,833 | ||||||||||||
|
| |||||||||||
Hong Kong — 4.3% | ||||||||||||
China Mobile | 0.5 | 26,000 | 297 | |||||||||
CNOOC | 0.6 | 166,030 | 355 | |||||||||
Orient Overseas International | 0.6 | 55,500 | 352 | |||||||||
Other Securities | 2.6 | 1,676 | ||||||||||
|
| |||||||||||
2,680 | ||||||||||||
|
| |||||||||||
India — 1.2% | ||||||||||||
ICICI Bank ADR | 1.0 | 15,300 | 627 | |||||||||
Other Securities | 0.2 | 138 | ||||||||||
|
| |||||||||||
765 | ||||||||||||
|
| |||||||||||
Indonesia — 0.3% | ||||||||||||
Other Securities | 0.3 | 194 | ||||||||||
|
| |||||||||||
Ireland — 1.3% | ||||||||||||
ICON ADR * | 0.6 | 12,433 | 343 | |||||||||
Other Securities | 0.7 | 481 | ||||||||||
|
| |||||||||||
824 | ||||||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 25 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund (Continued)
November 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Israel — 1.0% | ||||||||||||
Other Securities | 1.0 | % | $ | 612 | ||||||||
|
| |||||||||||
Italy — 0.6% | ||||||||||||
Other Securities | 0.6 | 353 | ||||||||||
|
| |||||||||||
Japan — 10.3% | ||||||||||||
Denso | 0.6 | 10,200 | 335 | |||||||||
Hitachi | 0.8 | 86,000 | 496 | |||||||||
Honda Motor ADR | 0.5 | 9,900 | 330 | |||||||||
Mitsubishi UFJ Financial Group | 0.9 | 123,919 | 566 | |||||||||
Secom | 0.6 | 7,400 | 379 | |||||||||
Toyota Motor | 0.6 | 8,154 | 350 | |||||||||
Other Securities | 6.3 | 3,942 | ||||||||||
|
| |||||||||||
6,398 | ||||||||||||
|
| |||||||||||
Malaysia — 0.4% | ||||||||||||
Other Securities | 0.4 | 273 | ||||||||||
|
| |||||||||||
Mexico — 1.0% | ||||||||||||
Other Securities | 1.0 | 605 | ||||||||||
|
| |||||||||||
Netherlands — 2.3% | ||||||||||||
Core Laboratories | 0.8 | 5,000 | 516 | |||||||||
Unilever | 0.8 | 13,303 | 505 | |||||||||
Other Securities | 0.7 | 420 | ||||||||||
|
| |||||||||||
1,441 | ||||||||||||
|
| |||||||||||
Norway — 1.0% | ||||||||||||
DnB | 0.6 | 32,350 | 403 | |||||||||
Other Securities | 0.4 | 225 | ||||||||||
|
| |||||||||||
628 | ||||||||||||
|
| |||||||||||
Peru — 0.1% | ||||||||||||
Other Securities | 0.1 | 83 | ||||||||||
|
| |||||||||||
Philippines — 0.4% | ||||||||||||
Other Securities | 0.4 | 278 | ||||||||||
|
| |||||||||||
Poland — 0.7% | ||||||||||||
Other Securities | 0.7 | 449 | ||||||||||
|
| |||||||||||
Russia — 0.0% | ||||||||||||
Other Securities | 0.0 | 29 | ||||||||||
|
| |||||||||||
Singapore — 1.4% | ||||||||||||
Other Securities | 1.4 | 867 | ||||||||||
|
| |||||||||||
South Africa — 0.4% | ||||||||||||
Other Securities | 0.4 | 256 | ||||||||||
|
| |||||||||||
South Korea — 4.2% | ||||||||||||
Hyundai Motor | 0.7 | 1,941 | 404 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Samsung Electronics | 1.7 | % | 834 | $ | 1,083 | |||||||
Other Securities | 1.8 | 1,117 | ||||||||||
|
| |||||||||||
2,604 | ||||||||||||
|
| |||||||||||
Spain — 0.4% | ||||||||||||
Other Securities | 0.4 | 268 | ||||||||||
|
| |||||||||||
Sweden — 2.2% | ||||||||||||
Getinge, Cl B | 0.8 | 16,691 | 538 | |||||||||
Other Securities | 1.4 | 843 | ||||||||||
|
| |||||||||||
1,381 | ||||||||||||
|
| |||||||||||
Switzerland — 5.2% | ||||||||||||
Nestle | 0.7 | 6,212 | 407 | |||||||||
Roche Holding | 1.3 | 4,023 | 792 | |||||||||
Transocean | 0.5 | 7,100 | 328 | |||||||||
Other Securities | 2.7 | 1,686 | ||||||||||
|
| |||||||||||
3,213 | ||||||||||||
|
| |||||||||||
Taiwan — 1.8% | ||||||||||||
Advanced Semiconductor | 0.6 | 83,153 | 343 | |||||||||
Taiwan Semiconductor | 0.6 | 19,526 | 337 | |||||||||
Other Securities | 0.6 | 463 | ||||||||||
|
| |||||||||||
1,143 | ||||||||||||
|
| |||||||||||
Thailand — 1.1% | ||||||||||||
Other Securities | 1.1 | 657 | ||||||||||
|
| |||||||||||
Turkey — 1.2% | ||||||||||||
Other Securities | 1.2 | 730 | ||||||||||
|
| |||||||||||
United Kingdom — 16.1% | ||||||||||||
ARM Holdings | 0.4 | 17,979 | 223 | |||||||||
ARM Holdings ADR | 1.4 | 23,177 | 865 | |||||||||
British American Tobacco | 0.8 | 9,691 | 508 | |||||||||
Diageo | 1.0 | 21,735 | 647 | |||||||||
HSBC Holdings | 1.3 | 75,069 | 765 | |||||||||
Reckitt Benckiser Group | 0.7 | 6,447 | 405 | |||||||||
Rio Tinto ADR | 0.6 | 7,600 | 378 | |||||||||
Shire | 0.9 | 19,059 | 552 | |||||||||
Unilever ADR | 0.6 | 9,400 | 360 | |||||||||
Vodafone Group | 0.5 | 130,244 | 336 | |||||||||
Other Securities | 7.9 | 4,962 | ||||||||||
|
| |||||||||||
10,001 | ||||||||||||
|
| |||||||||||
United States — 3.1% | ||||||||||||
Everest Re Group | 0.6 | 3,300 | 358 | |||||||||
Schlumberger | 0.6 | 5,300 | 380 | |||||||||
Other Securities | 1.9 | 1,218 | ||||||||||
|
| |||||||||||
1,956 | ||||||||||||
|
|
26 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Percentage of Net Assets (%) | Shares/Face Amount (1) (Thousands) | Market Value ($ Thousands) | |||||||||
Total Common Stock |
| $ | 56,230 | |||||||||
|
| |||||||||||
PREFERRED STOCK — 1.9% |
| |||||||||||
Brazil — 1.0% | ||||||||||||
Other Securities | 1.0 | % | 640 | |||||||||
|
| |||||||||||
Canada — 0.1% | ||||||||||||
Other Securities | 0 .1 | 73 | ||||||||||
|
| |||||||||||
Germany — 0 .8% | ||||||||||||
Volkswagen | 0 .5 | 1,543 | 334 | |||||||||
Other Securities | 0 .3 | 158 | ||||||||||
|
| |||||||||||
492 | ||||||||||||
|
| |||||||||||
Total Preferred Stock |
| 1,205 | ||||||||||
|
| |||||||||||
EXCHANGE TRADED FUND — 0.2% |
| |||||||||||
iShares MSCI Emerging Markets Index Fund | 0.2 | 3,900 | 163 | |||||||||
|
| |||||||||||
Total Exchange Traded Fund |
| 163 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 3.5% |
| |||||||||||
SEI Daily Income Trust, |
| |||||||||||
0.060%†** | 3 .5 | 2,169,403 | 2,169 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 2,169 | ||||||||||
|
| |||||||||||
TIME DEPOSITS — 3.4% |
| |||||||||||
Brown Brothers Harriman | ||||||||||||
4.150%, 12/01/2012 | ZAR | — | — | |||||||||
2.404%, 12/01/2012 | AUD | 54 | 56 | |||||||||
1.550%, 12/01/2012 | NZD | 2 | 1 | |||||||||
0.550%, 12/01/2012 | NOK | 54 | 10 | |||||||||
0.350%, 12/01/2012 | SEK | 98 | 15 | |||||||||
0.198%, 12/01/2012 | CAD | 18 | 18 | |||||||||
0.071%, 12/01/2012 | GBP | 44 | 71 | |||||||||
0.030%, 12/01/2012 | 1,645 | 1,645 | ||||||||||
0.010%, 12/01/2012 | JPY | 6,337 | 77 | |||||||||
0.010%, 12/01/2012 | SGD | 14 | 12 | |||||||||
0.005%, 12/01/2012 | CHF | 23 | 25 | |||||||||
0.005%, 12/01/2012 | HKD | 79 | 10 | |||||||||
(0.150)%, 12/01/2012 | DKK | 80 | 14 | |||||||||
(0.030)%, 12/01/2012 | EUR | 112 | 146 | |||||||||
|
| |||||||||||
Total Time Deposits |
| 2,100 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (A) — 0.3% |
| |||||||||||
Other Securities | 0.3 | 170 | ||||||||||
|
|
Description | Market Value ($ Thousands) | |||||||
Total U.S. Treasury Obligation | $ | 170 | ||||||
|
| |||||||
Total Investments — 99.6% | $ | 62,037 | ||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 20 | Dec-2012 | $ | 3 | ||||||||
FTSE 100 Index | 7 | Dec-2012 | 8 | |||||||||
S&P TSX 60 Index | 2 | Dec-2012 | — | |||||||||
SPI 200 Index | 2 | Dec-2012 | 3 | |||||||||
Topix Index | 5 | Dec-2012 | 18 | |||||||||
|
| |||||||||||
$ | 32 | |||||||||||
|
|
For the period ended November 30, 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 period.
A list of the open forward foreign currency contracts held by the Fund at November 30, 2012, is as follows:
Settlement Date | Currency to Deliver | Currency to Receive (Thousands) | Unrealized (Depreciation) ($ Thousands) | |||||||||||||||||
5/8/13 | EUR | 263 | USD | 337 | $ | (5 | ) | |||||||||||||
|
|
A list of the counterparties for the open forward foreign currency contracts held by the Fund at November 30, 2012, is as follows:
Counterparty | Currency to Deliver | Currency to Receive | Unrealized (Depreciation) ($ Thousands) | |||||||||
Brown Brothers Harriman | (342 | ) | 337 | $ | (5 | ) | ||||||
|
|
For the period ended November 30, 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 period.
Percentages are based on a Net Assets of $62,260 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 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
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
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 27 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund (Concluded)
November 30, 2012
NZD — New Zealand Dollar
S&P — Standard & Poor’s
SEK — Swedish Krone
SGD — Singapore Dollar
SPI — Share Price Index
TSX — Toronto Stock Exchange (formerly TSE)
USD — U.S. Dollar
ZAR — South African Rand
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of November 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 54,838 | $ | 1,392 | $ | — | $ | 56,230 | ||||||||
Preferred Stock | 1,205 | — | — | 1,205 | ||||||||||||
Exchange Traded Fund | 163 | — | — | 163 | ||||||||||||
Time Deposits | 2,100 | — | — | 2,100 | ||||||||||||
U.S. Treasury | ||||||||||||||||
Obligation | — | 170 | — | 170 | ||||||||||||
Cash Equivalent | 2,169 | — | — | 2,169 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 60,475 | $ | 1,562 | $ | — | $ | 62,037 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 32 | $ | — | $ | — | $ | 32 | ||||||||
Forwards Contracts * | — | (5 | ) | — | (5 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 32 | $ | (5 | ) | $ | — | $ | 27 | |||||||
|
|
|
|
|
|
|
|
* | Futures and forwards contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended November 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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 $O.
The accompanying notes are an integral part of the financial statements.
28 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced LIBOR Opportunities Fund
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
LOAN PARTICIPATIONS — 24.9% |
| |||||||
Acquisitions Gogeco Cable II, | ||||||||
0.000%, 09/20/2019 (A) | $ | 250 | $ | 252 | ||||
Advanstar Communications, 1st Lien | ||||||||
2.620%, 06/02/2014 | 517 | 435 | ||||||
Advantage Sales & Marketing | ||||||||
5.250%, 12/17/2017 | 984 | 989 | ||||||
Advantage Sales & Marketing, | ||||||||
9.250%, 06/18/2018 | 550 | 550 | ||||||
0.000%, 06/18/2018 (A) | 250 | 250 | ||||||
Affinion Group Holdings | ||||||||
5.000%, 10/09/2016 | 986 | 908 | ||||||
Air Medical Group Holdings | ||||||||
0.000%, 05/16/2018 (A) | 1,400 | 1,386 | ||||||
Alliant Insurance Service | ||||||||
3.362%, 08/21/2014 | 653 | 653 | ||||||
Allison Transmission | ||||||||
4.250%, 08/15/2019 | 998 | 1,002 | ||||||
2.710%, 08/07/2014 | 145 | 145 | ||||||
American Rock Salt, Term Loan B | ||||||||
5.500%, 04/19/2017 | 745 | 735 | ||||||
Ameristar Casinos, Term Loan B | ||||||||
0.000%, 04/11/2018 (A) | 300 | 303 | ||||||
Amwins Group | ||||||||
6.750%, 05/23/2019 | 348 | 351 | ||||||
5.750%, 06/06/2019 | 151 | 152 | ||||||
Aramark US | ||||||||
3.612%, 01/26/2014 | 239 | 239 | ||||||
3.466%, 01/26/2014 | 103 | 103 | ||||||
0.096%, 07/26/2016 | 27 | 28 | ||||||
Assuramed, 1st Lien | ||||||||
9.250%, 04/19/2020 | 700 | 651 | ||||||
5.500%, 10/23/2019 | 600 | 604 | ||||||
Asurion LLC, 1st Lien | ||||||||
0.000%, 06/10/2018 (A) | 200 | 202 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Asurion, 1st Lien | ||||||||
5.500%, 06/10/2018 | $ | 472 | $ | 475 | ||||
Asurion, 2nd Lien | ||||||||
9.000%, 05/20/2019 | 446 | 458 | ||||||
Atlantic Broadband Finance, | ||||||||
5.250%, 03/20/2019 | 898 | 908 | ||||||
August Lux UK Holding | ||||||||
6.250%, 04/27/2018 | 593 | 599 | ||||||
August US Holding | ||||||||
6.250%, 04/27/2018 | 457 | 461 | ||||||
Avaya, Term Loan B-1 | ||||||||
3.177%, 10/26/2014 | 163 | 154 | ||||||
Avaya, Term Loan B-3 | ||||||||
4.927%, 10/26/2017 | 820 | 717 | ||||||
Biomet Dollar | ||||||||
3.468%, 03/25/2015 | 247 | 248 | ||||||
3.245%, 03/25/2015 | 177 | 178 | ||||||
BJ’s Wholesale Club | ||||||||
5.750%, 09/20/2019 | 1,250 | 1,264 | ||||||
Black Press US Partnership, Tranche B-1 | ||||||||
2.422%, 08/02/2013 | 367 | 355 | ||||||
Black Press US Partnership, Tranche B-2 | ||||||||
2.422%, 08/02/2013 | 223 | 215 | ||||||
Booz Allen Hamilton, Term Loan B | ||||||||
4.500%, 07/27/2019 | 400 | 403 | ||||||
Boyd Acquisition | ||||||||
5.750%, 11/14/2017 | 1,000 | 990 | ||||||
Burlington Coat Factory, Term Loan B | ||||||||
5.500%, 02/23/2017 | 508 | 512 | ||||||
Calpine | ||||||||
4.500%, 04/01/2018 | 296 | 297 | ||||||
Cannery Casino Resorts LLC | ||||||||
6.000%, 09/25/2018 | 300 | 299 | ||||||
CDW | ||||||||
3.724%, 10/12/2014 | 252 | 253 | ||||||
Cedar Fair | ||||||||
4.000%, 12/15/2017 | 529 | 533 | ||||||
Cedar Fair LP, Term Loan | ||||||||
0.000%, 12/15/2017 (A) | 300 | 303 | ||||||
Cengage Learning Holdco | ||||||||
2.470%, 06/28/2014 | 971 | 740 | ||||||
Ceridian | ||||||||
5.977%, 11/08/2014 | 293 | 292 | ||||||
5.964%, 05/09/2017 | 345 | 344 | ||||||
Charter Communications, | ||||||||
3.470%, 09/06/2016 | 400 | 402 | ||||||
Citco | ||||||||
5.500%, 05/24/2018 | 1,086 | 1,097 | ||||||
Citco, Term Loan B | ||||||||
0.000%, 05/24/2018 (A) | 300 | 304 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 29 |
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced LIBOR Opportunities Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CommScope | ||||||||
4.250%, 01/14/2018 | $ | 296 | $ | 296 | ||||
Commscope, Term Loan | ||||||||
0.000%, 01/14/2018 (A) | 250 | 252 | ||||||
Community Health Systems, | ||||||||
3.992%, 01/25/2017 | 839 | 845 | ||||||
3.961%, 01/25/2017 | 22 | 23 | ||||||
ConvaTec Dollar | ||||||||
5.750%, 12/30/2016 | 1,262 | 1,269 | ||||||
Cristal Inorganic Chemicals US | ||||||||
6.112%, 11/15/2014 | 500 | 498 | ||||||
Cumulus Media Holdings | ||||||||
0.000%, 09/16/2018 (A) | 500 | 503 | ||||||
DAE Aviation Holdings, Term Loan B1 | ||||||||
6.250%, 10/19/2018 | 688 | 686 | ||||||
David’s Bridal | ||||||||
5.000%, 10/05/2019 | 300 | 299 | ||||||
David’s Bridal, Term Loan B | ||||||||
0.000%, 10/05/2019 (A) | 800 | 796 | ||||||
Davita, Term Loan B2 | ||||||||
4.000%, 08/21/2019 | 1,000 | 1,002 | ||||||
Del Monte Foods | ||||||||
4.500%, 03/08/2018 | 1,075 | 1,076 | ||||||
Del Monte, Term Loan | ||||||||
0.000%, 02/26/2018 (A) | 250 | 250 | ||||||
Dex Media West | ||||||||
7.250%, 10/24/2014 | 1,157 | 778 | ||||||
Dole Food, Tranche B-2 | ||||||||
6.000%, 07/08/2018 | 5 | 5 | ||||||
5.000%, 07/08/2018 | 133 | 132 | ||||||
Dunkin Brands | ||||||||
4.000%, 11/23/2017 | 486 | 489 | ||||||
Dunkin Brands, Term Loan B2 | ||||||||
0.000%, 11/23/2017 (A) | 200 | 201 | ||||||
Eagle Parent | ||||||||
5.000%, 05/16/2018 | 595 | 597 | ||||||
Eagle Parent, Term Loan B | ||||||||
0.000%, 05/16/2018 (A) | 800 | 802 | ||||||
Emergency Medical Services | ||||||||
0.000%, 04/27/2018 (A) | 750 | 759 | ||||||
Emergency Medical Services, | ||||||||
5.250%, 04/27/2018 | 493 | 497 | ||||||
Endurance International Group, Term Loan B | ||||||||
0.000%, 04/20/2018 (A) | 727 | 725 | ||||||
Endurance International, 2nd Lien | ||||||||
10.250%, 11/06/2019 | 217 | 216 | ||||||
Energy Transfer Partners | ||||||||
3.750%, 03/23/2017 | 250 | 251 | ||||||
0.000%, 03/23/2017 (A) | 300 | 301 | ||||||
EP Energy LLC | ||||||||
5.000%, 04/10/2018 | 800 | 807 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Equinox Fitness Clubs | ||||||||
0.000%, 11/19/2019 (A) | $ | 1,500 | $ | 1,496 | ||||
Essential Power | ||||||||
5.500%, 08/07/2019 | 800 | 807 | ||||||
Fibertech Networks LLC, Term Loan B | ||||||||
0.000%, 11/26/2019 (A) | 978 | 984 | ||||||
First Data | ||||||||
4.217%, 03/24/2018 | 436 | 415 | ||||||
First Data, Term Loan B-3 | ||||||||
2.967%, 09/24/2014 | 3 | 3 | ||||||
First Data, Tranche B-1 | ||||||||
2.997%, 09/24/2014 | 29 | 29 | ||||||
Firth Rixson, Term Loan B | ||||||||
4.961%, 12/18/2015 | 250 | 246 | ||||||
Firth Rixson, Term Loan C | ||||||||
5.461%, 12/20/2016 | 250 | 248 | ||||||
Fortescue Metals Group Ltd. | ||||||||
5.250%, 10/12/2017 | 550 | 551 | ||||||
Foxco Acquistion LLC | ||||||||
5.500%, 07/14/2017 | 1,000 | 1,011 | ||||||
Freescale Semiconductor | ||||||||
4.480%, 12/01/2016 | 852 | 825 | ||||||
Generac Power Systems, Term Loan B | ||||||||
6.250%, 06/22/2018 | 652 | 665 | ||||||
Genpact International, Term Loan B | ||||||||
4.250%, 08/17/2019 | 1,250 | 1,259 | ||||||
Gibson Energy, Term Loan B | ||||||||
4.750%, 06/16/2018 | 988 | 998 | ||||||
Global Cash Access | ||||||||
7.000%, 02/01/2016 | 356 | 358 | ||||||
Go Daddy Operating Company LLC | ||||||||
5.500%, 12/17/2018 | 997 | 995 | ||||||
Gray Television, Term Loan B | ||||||||
0.000%, 10/11/2019 (A) | 1,000 | 1,002 | ||||||
Guitar Center | ||||||||
5.620%, 04/09/2017 | 1,000 | 954 | ||||||
Harbor Freights Tools | ||||||||
5.500%, 11/14/2017 | 995 | 1,001 | ||||||
Harron Communications, Term Loan B | ||||||||
5.500%, 10/05/2017 | 585 | 586 | ||||||
HCA, Term Loan B | ||||||||
0.000%, 03/31/2017 (A) | 300 | 300 | ||||||
Hologic, Term Loan B | ||||||||
4.500%, 07/19/2019 | 499 | 504 | ||||||
Hub International | ||||||||
4.732%, 06/14/2017 | 1,133 | 1,139 | ||||||
Iasis Healthcare, 1st Lien | ||||||||
5.000%, 05/03/2018 | 401 | 401 | ||||||
IMS Health | ||||||||
4.500%, 08/31/2017 | 887 | 894 | ||||||
IMS Health, Term Loan B | ||||||||
0.000%, 07/18/2017 (A) | 200 | 202 |
30 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ineos Holdings | ||||||||
6.500%, 04/27/2018 | $ | 597 | $ | 604 | ||||
Intelsat | ||||||||
3.221%, 02/01/2014 | 450 | 448 | ||||||
Intelsat Jackson Holdings, Term Loan B | ||||||||
5.250%, 04/03/2018 | 550 | 551 | ||||||
Intelsat Jackson Holdings, Term Loan B1 | ||||||||
4.500%, 04/02/2018 | 195 | 196 | ||||||
Inventiv Health, Incremental Term Loan B-3 | ||||||||
7.000%, 07/19/2018 | 494 | 481 | ||||||
Inventiv Health, Term Loan B | ||||||||
6.500%, 08/04/2016 | 1,111 | 1,047 | ||||||
J. Crew | ||||||||
4.750%, 01/26/2018 | 236 | 236 | ||||||
4.750%, 03/07/2018 | 749 | 751 | ||||||
Korons, 1st Lien | ||||||||
5.500%, 10/26/2019 | 1,000 | 1,007 | ||||||
Lamar Media | ||||||||
4.000%, 10/01/2016 | 248 | 250 | ||||||
Language Line, Term Loan B | ||||||||
6.250%, 06/20/2016 | 461 | 457 | ||||||
Lawson Software, Term Loan B | ||||||||
5.250%, 04/05/2018 | 848 | 856 | ||||||
0.000%, 04/05/2018 (A) | 300 | 303 | ||||||
Leslie’s Poolmart, Term Loan B | ||||||||
5.250%, 10/16/2019 | 92 | 92 | ||||||
0.000%, 10/11/2019 (A) | 8 | — | ||||||
Level 3 Communications | ||||||||
5.250%, 08/01/2019 | 600 | 604 | ||||||
Live Nation Entertainment | ||||||||
4.500%, 10/20/2016 | 828 | 831 | ||||||
MedMedia USA, Term Loan B | ||||||||
6.250%, 10/05/2013 | 299 | 275 | ||||||
Meg Energy, Initial Term Loan | ||||||||
4.000%, 03/18/2018 | 644 | 646 | ||||||
Midcontinent Communications LLC, Term Loan B | ||||||||
0.000%, 12/31/2016 (A) | 500 | 503 | ||||||
MTL Publishing, Term Loan B | ||||||||
5.500%, 03/05/2018 | 750 | 757 | ||||||
Navistar International | ||||||||
7.000%, 08/16/2017 | 1,350 | 1,353 | ||||||
NCI Building Systems | ||||||||
0.000%, 06/22/2018 (A) | 250 | 250 | ||||||
NCI Building Systems, Tranche B | ||||||||
8.000%, 04/18/2014 | 643 | 642 | ||||||
Neiman Marcus Group | ||||||||
4.750%, 05/10/2018 | 741 | 741 | ||||||
Nelson Education, Term Loan B-1 | ||||||||
2.862%, 07/05/2014 | 782 | 598 | ||||||
Newpage | ||||||||
0.000%, 11/16/2018 (A) | 600 | 597 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Nielsen Finance | ||||||||
2.219%, 12/31/2017 | $ | 87 | $ | 87 | ||||
NRG Energy, Term Loan B | ||||||||
4.000%, 07/01/2018 | 195 | 197 | ||||||
0.000%, 06/10/2018 (A) | 250 | 253 | ||||||
NXP | ||||||||
4.500%, 03/07/2017 | 473 | 477 | ||||||
Penn National Gaming, Term Loan B | ||||||||
3.750%, 06/14/2018 | 500 | 501 | ||||||
Progressive Waste Solutions, Term Loan B | ||||||||
0.000%, 10/22/2019 (A) | 150 | 151 | ||||||
Proquest, Term Loan B | ||||||||
6.000%, 04/12/2018 | 498 | 498 | ||||||
Quintiles Transnational, Term Loan B | ||||||||
5.000%, 06/08/2018 | 650 | 652 | ||||||
0.000%, 06/08/2018 (A) | 400 | 400 | ||||||
Raycom TV Broadcasting, Tranche B | ||||||||
4.500%, 05/31/2017 | 591 | 588 | ||||||
Re/Max International | ||||||||
5.500%, 04/16/2016 | 440 | 438 | ||||||
Re/Max International, Term Loan B | ||||||||
0.000%, 04/16/2016 (A) | 250 | 251 | ||||||
Realogy | ||||||||
4.499%, 10/10/2016 | 98 | 98 | ||||||
4.478%, 10/10/2016 | 988 | 986 | ||||||
Roundy’s Supermarkets, Term Loan B | ||||||||
5.750%, 02/10/2019 | 995 | 932 | ||||||
San Juan Cable Holdings, Term Loan B | ||||||||
6.000%, 06/09/2017 | 741 | 742 | ||||||
San Juan Cable LLC, Term Loan B | ||||||||
0.000%, 06/09/2017 (A) | 250 | 251 | ||||||
Sealed Air, Term Loan B | ||||||||
0.000%, 10/03/2018 (A) | 600 | 605 | ||||||
Seaworld Parks & Entertainment, Term Loan B | ||||||||
0.000%, 08/08/2017 (A) | 400 | 404 | ||||||
Sedgwick Claims Management | ||||||||
5.000%, 12/31/2016 | 594 | 595 | ||||||
Sedgwick Claims Management Services | ||||||||
0.000%, 12/31/2016 (A) | 500 | 501 | ||||||
Sensata Technologies | ||||||||
4.000%, 05/10/2018 | 988 | 989 | ||||||
Sequa | ||||||||
3.720%, 12/03/2014 | 469 | 467 | ||||||
3.690%, 12/03/2014 | 31 | 31 | ||||||
Serta Simmons Holdings, Term Loan B | ||||||||
5.000%, 09/19/2019 | 500 | 499 | ||||||
Sheridan Healthcare | ||||||||
6.000%, 06/29/2018 | 499 | 502 | ||||||
0.000%, 06/29/2018 (A) | 200 | 202 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 31 |
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced LIBOR Opportunities Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Sheridan Holdings | ||||||||
9.000%, 06/29/2019 | $ | 250 | $ | 253 | ||||
Smart & Final | ||||||||
0.000%, 11/08/2019 (A) | 1,000 | 997 | ||||||
Smart Technologies | ||||||||
2.996%, 08/28/2014 | 491 | 466 | ||||||
Sohos Public Ltd. | ||||||||
0.000%, 05/04/2019 (A) | 1,250 | 1,258 | ||||||
Solvest, Tranche C-2 | ||||||||
6.000%, 07/08/2018 | 5 | 5 | ||||||
5.000%, 07/08/2018 | 242 | 240 | ||||||
Standard Aero, Term Loan B2 | ||||||||
6.250%, 10/19/2018 | 312 | 311 | ||||||
Star West Generation, Term Loan B | ||||||||
6.000%, 05/17/2018 | 1,113 | 1,112 | ||||||
Stations Casinos LLC, Term Loan B | ||||||||
5.500%, 09/18/2019 | 1,000 | 1,003 | ||||||
Sungard Data Systems | ||||||||
4.064%, 02/28/2016 | 92 | 92 | ||||||
3.860%, 02/28/2016 | 20 | 20 | ||||||
3.859%, 02/28/2016 | 159 | 159 | ||||||
Sungard Data Systems, Term Loan B | ||||||||
3.846%, 02/28/2016 | 46 | 46 | ||||||
Surgical Care Affiliates LLC, Term Loan B | ||||||||
0.000%, 12/29/2017 (A) | 1,400 | 1,386 | ||||||
Telesat Canada, Term Loan B | ||||||||
4.250%, 03/26/2019 | 399 | 401 | ||||||
Terex | ||||||||
0.000%, 04/28/2017 (A) | 495 | 499 | ||||||
Texas Competitive | ||||||||
4.938%, 10/10/2017 | 173 | 112 | ||||||
4.776%, 10/10/2017 | 120 | 78 | ||||||
4.718%, 10/10/2017 | 571 | 372 | ||||||
The Pantry, Term Loan B | ||||||||
5.750%, 07/31/2019 | 750 | 759 | ||||||
0.000%, 07/26/2019 (A) | 250 | 253 | ||||||
The Yankee Candle | ||||||||
5.250%, 04/02/2019 | 746 | 753 | ||||||
Trans Union LLC, Term Loan B | ||||||||
0.000%, 02/26/2018 (A) | 500 | 508 | ||||||
Transdigm, Term Loan | ||||||||
4.000%, 02/14/2017 | 491 | 493 | ||||||
Transdigm, Term Loan B | ||||||||
0.000%, 02/14/2017 (A) | 500 | 502 | ||||||
TransUnion LLC, Term Loan | ||||||||
5.500%, 02/26/2018 | 585 | 593 | ||||||
Tronox, 1st Lien | ||||||||
5.500%, 03/03/2017 | 997 | 1,014 | ||||||
4.250%, 02/08/2018 | 214 | 215 | ||||||
Tronox, Term Loan B | ||||||||
4.250%, 02/03/2018 | 784 | 788 | ||||||
TWCC Holding, Term Loan | ||||||||
4.250%, 02/11/2017 | 488 | 492 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
TWCC Holding, Term Loan B | ||||||||
0.000%, 02/11/2017 (A) | $ | 300 | $ | 304 | ||||
U.S. Telepacific, Term Loan | ||||||||
5.750%, 02/23/2017 | 987 | 973 | ||||||
United Surgical Partners International, Term Loan | ||||||||
5.250%, 04/30/2017 | 1,082 | 1,083 | ||||||
Universal Health Services, Term Loan B | ||||||||
3.750%, 11/15/2016 | 210 | 210 | ||||||
Univision Communications, Term Loan B | ||||||||
4.462%, 03/31/2017 | 955 | 932 | ||||||
Valeant Pharmaceuticals International, Term Loan B | ||||||||
4.750%, 02/13/2019 | 149 | 150 | ||||||
0.000%, 09/27/2019 (A) | 1,000 | 1,003 | ||||||
Vanguard Health, Term Loan | ||||||||
5.000%, 01/15/2016 | 1,080 | 1,087 | ||||||
0.000%, 01/15/2016 (A) | 200 | 202 | ||||||
Verint Systems, Term Loan B | ||||||||
4.500%, 10/06/2017 | 308 | 309 | ||||||
VRW Funding, Term Loan B | ||||||||
0.000%, 04/03/2017 (A) | 400 | 402 | ||||||
Walter Energy, Term Loan B | ||||||||
4.000%, 04/02/2018 | 351 | 351 | ||||||
0.000%, 03/04/2018 (A) | 300 | 301 | ||||||
Warner Chilcott, Term Loan B1 | ||||||||
4.250%, 03/15/2018 | 74 | 74 | ||||||
4.250%, 03/14/2018 | 290 | 291 | ||||||
Warner Chilcott, Term Loan B2 | ||||||||
4.250%, 03/14/2018 | 145 | 146 | ||||||
Warner Chilcott, Term Loan B3 | ||||||||
4.250%, 03/15/2018 | 199 | 200 | ||||||
Waste Industries USA, Term Loan B | ||||||||
4.750%, 03/16/2017 | 685 | 687 | ||||||
0.000%, 03/16/2017 (A) | 300 | 302 | ||||||
WCA Waste | ||||||||
5.500%, 03/23/2018 | 496 | 499 | ||||||
WCA Waste Systems, Term Loan B | ||||||||
5.500%, 03/23/2018 | 1 | 1 | ||||||
Web.com Group, Term Loan B | ||||||||
0.000%, 10/27/2017 (A) | 1,000 | 994 | ||||||
Weight Watchers International, Term Loan F | ||||||||
3.750%, 03/12/2019 | 746 | 750 | ||||||
West, Term Loan B | ||||||||
5.750%, 06/02/2018 | 846 | 859 | ||||||
0.000%, 06/02/2018 (A) | 150 | 153 | ||||||
Wide Open West Finance | ||||||||
6.250%, 07/17/2018 | 399 | 403 | ||||||
Zayo Group, Term Loan B | ||||||||
7.125%, 07/02/2019 | 264 | 266 | ||||||
|
| |||||||
Total Loan Participations | 110,452 | |||||||
|
|
32 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 4.2% |
| |||||||
Consumer Discretionary — 0.2% |
| |||||||
Amazon.com | ||||||||
0.650%, 11/27/2015 | $ | 150 | $ | 150 | ||||
Comcast | ||||||||
5.850%, 11/15/2015 | 100 | 114 | ||||||
Newell Rubbermaid | ||||||||
2.000%, 06/15/2015 | 125 | 126 | ||||||
Target | ||||||||
0.495%, 07/18/2014 (B) | 200 | 201 | ||||||
Viacom | ||||||||
1.250%, 02/27/2015 | 95 | 96 | ||||||
Walt Disney MTN | ||||||||
0.450%, 12/01/2015 | 200 | 199 | ||||||
|
| |||||||
886 | ||||||||
|
| |||||||
Consumer Staples — 0.8% |
| |||||||
AbbVie | ||||||||
1.072%, 11/06/2015 (B) (C) | 125 | 126 | ||||||
American Renal Holdings | ||||||||
8.375%, 05/15/2018 | 250 | 264 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
0.800%, 07/15/2015 | 100 | 100 | ||||||
0.700%, 07/14/2014 (B) | 100 | 101 | ||||||
Ashtead Capital | ||||||||
6.500%, 07/15/2022 (C) | 500 | 533 | ||||||
Ceridian | ||||||||
8.875%, 07/15/2019 (C) | 300 | 321 | ||||||
CHS | ||||||||
7.125%, 07/15/2020 | 375 | 397 | ||||||
ConAgra Foods | ||||||||
1.350%, 09/10/2015 | 10 | 10 | ||||||
Costco Wholesale | ||||||||
0.650%, 12/07/2015 | 225 | 225 | ||||||
Elizabeth Arden | ||||||||
7.375%, 03/15/2021 | 100 | 111 | ||||||
ERAC USA Finance LLC | ||||||||
1.400%, 04/15/2016 (C) | 25 | 25 | ||||||
Heineken | ||||||||
0.800%, 10/01/2015 (C) | 75 | 75 | ||||||
Kraft Foods Group | ||||||||
1.625%, 06/04/2015 (C) | 125 | 127 | ||||||
PepsiCo | ||||||||
0.800%, 08/25/2014 | 120 | 121 | ||||||
Reynolds American | ||||||||
7.250%, 06/01/2013 | 100 | 103 | ||||||
1.050%, 10/30/2015 | 50 | 50 | ||||||
Reynolds Group Issuer | ||||||||
6.875%, 02/15/2021 | 185 | 199 | ||||||
5.750%, 10/15/2020 (C) | 415 | 424 | ||||||
UR Financing Escrow | ||||||||
5.750%, 07/15/2018 (C) | 100 | 108 | ||||||
|
| |||||||
3,420 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Energy — 0.5% | ||||||||
Canadian Natural Resources | ||||||||
5.700%, 05/15/2017 | $ | 150 | $ | 178 | ||||
Energy Transfer Equity | ||||||||
7.500%, 10/15/2020 | 500 | 567 | ||||||
EP Energy LLC | ||||||||
7.750%, 09/01/2022 (C) | 215 | 223 | ||||||
MEG Energy | ||||||||
6.375%, 01/30/2023 (C) | 1,000 | 1,038 | ||||||
|
| |||||||
2,006 | ||||||||
|
| |||||||
Financials — 1.2% | ||||||||
Allstate Life Global Funding Trusts MTN | ||||||||
5.375%, 04/30/2013 | 100 | 102 | ||||||
American Express Credit MTN | ||||||||
1.504%, 06/12/2015 (B) | 206 | 210 | ||||||
American Honda Finance | ||||||||
1.850%, 09/19/2014 (C) | 200 | 204 | ||||||
American International Group | ||||||||
4.250%, 09/15/2014 | 150 | 159 | ||||||
Bank of America | ||||||||
1.500%, 10/09/2015 | 200 | 201 | ||||||
Bank of Montreal MTN | ||||||||
0.878%, 09/11/2015 (B) | 125 | 126 | ||||||
Bank of New York Mellon MTN | ||||||||
3.100%, 01/15/2015 | 140 | 147 | ||||||
Bank of Nova Scotia | ||||||||
0.525%, 10/10/2014 (B) | 150 | 150 | ||||||
BB&T | ||||||||
1.013%, 04/28/2014 (B) | 125 | 126 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
0.900%, 10/01/2015 | 125 | 126 | ||||||
Capital One Financial | ||||||||
2.150%, 03/23/2015 | 150 | 153 | ||||||
Caterpillar Financial Services MTN | ||||||||
1.375%, 05/20/2014 | 95 | 96 | ||||||
Citigroup | ||||||||
0.678%, 06/09/2016 (B) | 150 | 142 | ||||||
General Electric Capital MTN | ||||||||
1.180%, 05/09/2016 (B) | 150 | 150 | ||||||
Goldman Sachs Group MTN | ||||||||
1.600%, 11/23/2015 | 150 | 150 | ||||||
Hartford Financial Services Group | ||||||||
4.625%, 07/15/2013 | 81 | 83 | ||||||
HSBC Bank | ||||||||
0.740%, 05/15/2013 (B) (C) | 200 | 200 | ||||||
HSBC USA | ||||||||
2.375%, 02/13/2015 | 150 | 154 | ||||||
Hyundai Capital America | ||||||||
1.625%, 10/02/2015 (C) | 35 | 35 | ||||||
John Deere Capital | ||||||||
0.950%, 06/29/2015 | 150 | 151 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 33 |
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced LIBOR Opportunities Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Capital XXI | ||||||||
1.263%, 02/02/2037 (B) | $ | 250 | $ | 187 | ||||
Metropolitan Life Global Funding I | ||||||||
1.700%, 06/29/2015 (C) | 175 | 179 | ||||||
Monumental Global Funding | ||||||||
0.540%, 01/15/2014 (B) (C) | 230 | 230 | ||||||
Morgan Stanley MTN | ||||||||
0.651%, 01/09/2014 (B) | 200 | 198 | ||||||
Principal Life Global Funding II | ||||||||
0.976%, 07/09/2014 (B) (C) | 50 | 50 | ||||||
Reinsurance Group of America | ||||||||
5.625%, 03/15/2017 | 200 | 227 | ||||||
Royal Bank of Canada MTN | ||||||||
0.630%, 04/17/2014 (B) | 250 | 250 | ||||||
Royal Bank of Scotland Group | ||||||||
2.550%, 09/18/2015 | 55 | 56 | ||||||
Standard Chartered | ||||||||
1.260%, 05/12/2014 (B) (C) | 200 | 201 | ||||||
Toronto-Dominion Bank | ||||||||
0.640%, 07/14/2014 (B) | 105 | 105 | ||||||
Toyota Motor Credit | ||||||||
0.875%, 07/17/2015 | 100 | 100 | ||||||
UBS | ||||||||
1.875%, 01/23/2015 (C) | 250 | 256 | ||||||
Unitrin | ||||||||
6.000%, 05/15/2017 | 110 | 121 | ||||||
Ventas Realty | ||||||||
3.125%, 11/30/2015‡ | 150 | 159 | ||||||
Wells Fargo | ||||||||
1.500%, 07/01/2015 | 125 | 127 | ||||||
|
| |||||||
5,311 | ||||||||
|
| |||||||
Health Care — 0.5% |
| |||||||
Alere | ||||||||
9.000%, 05/15/2016 | 1,000 | 1,050 | ||||||
Biomet | ||||||||
6.500%, 08/01/2020 (C) | 375 | 392 | ||||||
Hologic | ||||||||
6.250%, 08/01/2020 (C) | 630 | 669 | ||||||
McKesson | ||||||||
0.950%, 12/04/2015 | 80 | 80 | ||||||
Sanofi | ||||||||
0.672%, 03/28/2014 (B) | 75 | 75 | ||||||
WellPoint | ||||||||
1.250%, 09/10/2015 | 41 | 42 | ||||||
|
| |||||||
2,308 | ||||||||
|
| |||||||
Industrials — 0.5% |
| |||||||
Caterpillar | ||||||||
1.375%, 05/27/2014 | 100 | 101 | ||||||
Clean Harbors | ||||||||
5.250%, 08/01/2020 | 900 | 925 | ||||||
Continental Airlines | ||||||||
0.768%, 06/02/2013 (B) | 142 | 139 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Danaher | ||||||||
1.300%, 06/23/2014 | $ | 160 | $ | 162 | ||||
Packaging Dynamics | ||||||||
8.750%, 02/01/2016 (C) | 600 | 632 | ||||||
Penske Truck Leasing | ||||||||
2.500%, 07/11/2014 (C) | 15 | 15 | ||||||
Pentair Finance | ||||||||
1.350%, 12/01/2015 (C) | 80 | 80 | ||||||
United Technologies | ||||||||
1.200%, 06/01/2015 | 56 | 57 | ||||||
|
| |||||||
2,111 | ||||||||
|
| |||||||
Information Technology — 0.1% |
| |||||||
Hewlett-Packard | ||||||||
0.823%, 05/30/2014 (B) | 175 | 171 | ||||||
Texas Instruments | ||||||||
0.490%, 05/15/2013 (B) | 150 | 150 | ||||||
Xerox | ||||||||
1.130%, 05/16/2014 (B) | 160 | 160 | ||||||
|
| |||||||
481 | ||||||||
|
| |||||||
Materials — 0.1% |
| |||||||
E.I. du Pont de Nemours | ||||||||
0.789%, 03/25/2014 (B) | 70 | 70 | ||||||
Smurfit Kappa Acquisitions | ||||||||
4.875%, 09/15/2018 (C) | 400 | 403 | ||||||
Xstrata Finance Canada | ||||||||
1.800%, 10/23/2015 (C) | 125 | 125 | ||||||
Yara International | ||||||||
5.250%, 12/15/2014 (C) | 100 | 108 | ||||||
|
| |||||||
706 | ||||||||
|
| |||||||
Telecommunication Services — 0.2% |
| |||||||
Hughes Satellite Systems | ||||||||
6.500%, 06/15/2019 | 250 | 269 | ||||||
Telesat Canada | ||||||||
6.000%, 05/15/2017 (C) | 600 | 627 | ||||||
|
| |||||||
896 | ||||||||
|
| |||||||
Utilities — 0.1% |
| |||||||
DTE Energy | ||||||||
1.118%, 06/03/2013 (B) | 76 | 76 | ||||||
Georgia Power | ||||||||
1.300%, 09/15/2013 | 150 | 151 | ||||||
|
| |||||||
227 | ||||||||
|
| |||||||
Total Corporate Obligations |
| 18,352 | ||||||
|
| |||||||
ASSET-BACKED SECURITIES — 2.1% |
| |||||||
Automotive — 1.3% |
| |||||||
Ally Auto Receivables Trust, Ser 2011-1, Cl A4 | ||||||||
2.230%, 03/15/2016 | 200 | 205 |
34 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ally Auto Receivables Trust, |
| |||||||
0.700%, 12/21/2015 | $ | 75 | $ | 75 | ||||
Ally Auto Receivables Trust, | ||||||||
3.050%, 12/15/2014 (C) | 134 | 136 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.650%, 03/17/2014 | 14 | 14 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.710%, 09/15/2014 | 64 | 64 | ||||||
Ally Auto Receivables Trust, Ser 2012-4, Cl A3 | ||||||||
0.590%, 01/17/2017 | 101 | 101 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
1.640%, 11/15/2016 (C) | 170 | 170 | ||||||
AmeriCredit Automobile Receivables | ||||||||
1.990%, 10/08/2015 | 180 | 182 | ||||||
AmeriCredit Automobile Receivables | ||||||||
3.510%, 07/06/2017 | 57 | 59 | ||||||
AmeriCredit Automobile Receivables | ||||||||
0.900%, 09/08/2014 | 5 | 5 | ||||||
AmeriCredit Automobile Receivables | ||||||||
1.170%, 01/08/2016 | 100 | 101 | ||||||
AmeriCredit Automobile Receivables | ||||||||
0.920%, 03/09/2015 | 33 | 34 | ||||||
AmeriCredit Automobile Receivables | ||||||||
0.620%, 06/08/2017 | 125 | 125 | ||||||
Avis Budget Rental Car Funding, Ser 2009-2A, Cl A | ||||||||
5.680%, 02/20/2014 (C) | 55 | 55 | ||||||
Avis Budget Rental Car Funding, Ser 2010-2A, Cl A | ||||||||
3.630%, 08/20/2014 (C) | 100 | 101 | ||||||
Bank of America Auto Trust, Ser 2010-2, Cl A3 | ||||||||
1.310%, 07/15/2014 | 37 | 37 | ||||||
Bank of America Auto Trust, Ser 2012-1, Cl A3 | ||||||||
0.780%, 06/15/2016 | 50 | 50 | ||||||
BMW Vehicle Lease Trust, | ||||||||
1.060%, 02/20/2014 | 37 | 37 | ||||||
BMW Vehicle Owner Trust, | ||||||||
0.760%, 08/25/2015 | 150 | 150 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CarMax Auto Owner Trust, | ||||||||
2.820%, 12/15/2014 | $ | 210 | $ | 213 | ||||
CarMax Auto Owner Trust, | ||||||||
2.170%, 07/17/2017 | 150 | 156 | ||||||
CarMax Auto Owner Trust, | ||||||||
0.890%, 09/15/2016 | 45 | 45 | ||||||
CarMax Auto Owner Trust, | ||||||||
0.520%, 07/17/2017 | 75 | 75 | ||||||
Ford Credit Auto Lease Trust, Ser 2010-B, Cl A4 | ||||||||
1.040%, 12/15/2013 (C) | — | — | ||||||
Ford Credit Auto Lease Trust, Ser 2011-A, Cl A2 | ||||||||
0.740%, 09/15/2013 | 26 | 26 | ||||||
Ford Credit Auto Lease Trust, Ser 2011-B, Cl A2 | ||||||||
0.820%, 01/15/2014 | 127 | 127 | ||||||
Ford Credit Auto Lease Trust, Ser 2011-B, Cl A4 | ||||||||
1.420%, 01/15/2015 | 150 | 152 | ||||||
Ford Credit Auto Lease Trust, Ser 2012-B, Cl A2 | ||||||||
0.540%, 11/15/2014 | 100 | 100 | ||||||
Ford Credit Auto Owner Trust, Ser 2009-D, Cl A4 | ||||||||
2.980%, 08/15/2014 | 80 | 81 | ||||||
Ford Credit Auto Owner Trust, Ser 2011-B, Cl A3 | ||||||||
0.840%, 06/15/2015 | 105 | 105 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
1.880%, 08/15/2017 | 175 | 180 | ||||||
Ford Credit Floorplan Master Owner | ||||||||
1.361%, 01/15/2016 (B) | 150 | 151 | ||||||
Ford Credit Floorplan Master Owner | ||||||||
1.920%, 01/15/2019 | 175 | 180 | ||||||
GE Dealer Floorplan Master Note | ||||||||
0.698%, 06/20/2017 (B) | 115 | 115 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2011-1, Cl A3 | ||||||||
0.960%, 05/16/2016 | 165 | 166 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2012-1, Cl A3 | ||||||||
0.680%, 04/15/2017 | 175 | 176 | ||||||
Hertz Vehicle Financing LLC, | ||||||||
2.200%, 03/25/2016 (C) | 150 | 154 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 35 |
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced LIBOR Opportunities Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Honda Auto Receivables Owner | ||||||||
0.940%, 03/18/2015 | $ | 80 | $ | 80 | ||||
Honda Auto Receivables Owner | ||||||||
0.520%, 08/18/2016 | 110 | 110 | ||||||
Huntington Auto Trust, | ||||||||
0.510%, 04/17/2017 | 110 | 110 | ||||||
Hyundai Auto Lease Securitization | ||||||||
0.690%, 11/15/2013 (C) | 5 | 5 | ||||||
Hyundai Auto Lease Securitization | ||||||||
0.920%, 08/17/2015 (C) | 125 | 126 | ||||||
Hyundai Auto Receivables Trust, Ser 2011-A, Cl B | ||||||||
2.450%, 04/15/2016 | 70 | 72 | ||||||
Hyundai Auto Receivables Trust, Ser 2011-B, Cl A2 | ||||||||
0.590%, 03/17/2014 | 13 | 13 | ||||||
Hyundai Auto Receivables Trust, Ser 2012-B, Cl A3 | ||||||||
0.620%, 09/15/2016 | 50 | 50 | ||||||
Hyundai Auto Receivables Trust, Ser 2012-C, Cl A3 | ||||||||
0.530%, 04/17/2017 | 125 | 125 | ||||||
Mercedes-Benz Auto Receivables Trust, Ser 2011-1, Cl A3 | ||||||||
0.850%, 03/16/2015 | 105 | 105 | ||||||
Mercedes-Benz Auto Receivables Trust, Ser 2012-1, Cl A3 | ||||||||
0.470%, 10/17/2016 | 110 | 110 | ||||||
MMCA Auto Owner Trust, | ||||||||
0.810%, 08/15/2014 (C) | 98 | 98 | ||||||
Nissan Auto Lease Trust, | ||||||||
1.040%, 08/15/2014 | 200 | 201 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2011-A, Cl A2 | ||||||||
0.650%, 12/16/2013 | 18 | 18 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2012-B, Cl A3 | ||||||||
0.460%, 10/17/2016 | 125 | 125 | ||||||
Porsche Innovative Lease Owner Trust, Ser 2012-1, Cl A3 | ||||||||
0.540%, 12/21/2015 (C) | 126 | 126 | ||||||
Santander Drive Auto Receivables Trust, Ser 2011-1, Cl A2 | ||||||||
0.940%, 02/18/2014 | 11 | 11 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-1, Cl A2 | ||||||||
1.250%, 04/15/2015 | 61 | 61 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Toyota Auto Receivables Owner Trust, Ser 2012-A, Cl A3 | ||||||||
0.750%, 02/16/2016 | $ | 100 | $ | 100 | ||||
Toyota Auto Receivables Owner Trust, Ser 2012-B, Cl A3 | ||||||||
0.460%, 07/15/2016 | 120 | 120 | ||||||
Volkswagen Auto Lease Trust, | ||||||||
0.870%, 07/20/2015 | 65 | 65 | ||||||
Volkswagen Auto Loan Enhanced Trust, Ser 2012-1, Cl A2 | ||||||||
0.610%, 10/20/2014 | 24 | 25 | ||||||
World Omni Auto Receivables Trust, Ser 2012-A, Cl A3 | ||||||||
0.640%, 02/15/2017 | 41 | 41 | ||||||
World Omni Automobile Lease Securitization Trust, | ||||||||
0.810%, 10/15/2013 | 29 | 29 | ||||||
World Omni Automobile Lease Securitization Trust, | ||||||||
0.930%, 11/16/2015 | 20 | 20 | ||||||
|
| |||||||
5,849 | ||||||||
|
| |||||||
Credit Cards — 0.2% | ||||||||
American Express Credit Account Master Trust, Ser 2007-2, Cl B | ||||||||
0.388%, 09/15/2016 (B) | 145 | 145 | ||||||
American Express Credit Account Master Trust, Ser 2012-2, Cl B | ||||||||
0.990%, 03/15/2018 | 100 | 100 | ||||||
Chase Issuance Trust, | ||||||||
0.590%, 08/15/2017 | 225 | 226 | ||||||
Citibank Omni Master Trust, | ||||||||
5.350%, 08/15/2018 (C) | 250 | 270 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2012-5, Cl A | ||||||||
0.950%, 06/15/2018 | 120 | 121 | ||||||
Golden Credit Card Trust, | ||||||||
0.790%, 09/15/2017 (C) | 125 | 125 | ||||||
|
| |||||||
987 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 0.6% |
| |||||||
Ally Master Owner Trust, | ||||||||
2.880%, 04/15/2015 (C) | 250 | 252 | ||||||
Ally Master Owner Trust, | ||||||||
1.210%, 06/15/2017 | 110 | 111 |
36 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CNH Equipment Trust, | ||||||||
1.170%, 05/15/2015 | $ | 268 | $ | 269 | ||||
CNH Equipment Trust, | ||||||||
0.940%, 05/15/2017 | 286 | 288 | ||||||
CNH Equipment Trust, | ||||||||
0.860%, 09/15/2017 | 55 | 56 | ||||||
CNH Equipment Trust, | ||||||||
0.570%, 12/15/2017 | 70 | 70 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2010-1, Cl B | ||||||||
0.727%, 12/15/2014 (B) (C) | 135 | 135 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2010-1, Cl M15 | ||||||||
1.858%, 12/15/2014 (B) (C) | 200 | 200 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-4, Cl A2 | ||||||||
0.558%, 09/15/2016 (B) | 120 | 120 | ||||||
GE Equipment Midticket, Ser 2010-1, Cl A3 | ||||||||
0.940%, 07/14/2014 (C) | 28 | 28 | ||||||
GE Equipment Midticket LLC | ||||||||
1.000%, 08/24/2015 | 302 | 304 | ||||||
GE Equipment Midticket LLC, Ser 2012-1, Cl A3 | ||||||||
0.600%, 05/23/2016 | 70 | 70 | ||||||
GE Equipment Small Ticket LLC, Ser 2012-1A, Cl A2 | ||||||||
0.850%, 11/21/2014 (C) | 150 | 150 | ||||||
GE Equipment Transportation LLC, Ser 2012-2, Cl A3 | ||||||||
0.620%, 07/25/2016 | 95 | 95 | ||||||
John Deere Owner Trust, Ser 2012-B, Cl A3 | ||||||||
0.530%, 07/15/2016 | 160 | 160 | ||||||
MMAF Equipment Finance LLC, Ser 2012-AA, Cl A2 | ||||||||
0.840%, 01/12/2015 (C) | 200 | 200 | ||||||
SLM Student Loan Trust, Ser 2011-B, Cl A1 | ||||||||
0.685%, 12/16/2024 (B) (C) | 92 | 92 | ||||||
|
| |||||||
2,600 | ||||||||
|
| |||||||
Total Asset-Backed Securities (Cost $9,431) ($ Thousands) | 9,436 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 2.0% |
| |||||||
Agency Mortgage-Backed Obligations — 1.1% |
| |||||||
FHLMC TBA | ||||||||
2.500%, 12/15/2027 | 500 | 522 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA | ||||||||
6.000%, 09/01/2039 to 04/01/2040 | $ | 367 | $ | 403 | ||||
FNMA TBA | ||||||||
3.500%, 12/01/2040 | 500 | 534 | ||||||
3.000%, 12/25/2026 | 1,500 | 1,582 | ||||||
2.500%, 12/01/2027 | 1,100 | 1,151 | ||||||
NCUA Guaranteed Notes CMO | ||||||||
0.229%, 06/12/2013 (B) | 260 | 260 | ||||||
NCUA Guaranteed Notes CMO, Ser 2010-R1, Cl 1A | ||||||||
0.668%, 10/07/2020 (B) | 247 | 248 | ||||||
NCUA Guaranteed Notes CMO, Ser 2011-R6, Cl 1A | ||||||||
0.589%, 05/07/2020 (B) | 50 | 50 | ||||||
|
| |||||||
4,750 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 0.9% |
| |||||||
American Tower Trust, Ser 2007-1A, Cl D | ||||||||
5.957%, 04/15/2037 (C) | 125 | 128 | ||||||
Banc of America Funding, Ser 2005-F, Cl 4A1 | ||||||||
3.080%, 09/20/2035 (B) | 312 | 234 | ||||||
Banc of America Funding, Ser 2006-D, Cl 3A1 | ||||||||
3.108%, 05/20/2036 (B) | 245 | 200 | ||||||
Banc of America Large Loan, Ser 2007-BMB1, Cl A1 | ||||||||
0.758%, 08/15/2029 (B) (C) | 7 | 7 | ||||||
Banc of America Mortgage Securities, Ser 2005-A, Cl 2A1 | ||||||||
3.002%, 02/25/2035 (B) | 132 | 126 | ||||||
Bear Stearns ARM Trust 2006-1, Ser 2006-1, Cl A1 | ||||||||
2.370%, 02/25/2036 (B) | — | — | ||||||
Citigroup Commercial Mortgage Trust, Ser 2012-GC8, Cl A1 | ||||||||
0.685%, 09/10/2045 | 107 | 107 | ||||||
COMM Mortgage Trust, Ser 2012-CR1, Cl A1 | ||||||||
1.116%, 05/15/2045 | 206 | 207 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2006-FL12, Cl A2 | ||||||||
0.658%, 12/15/2020 (B) (C) | 28 | 28 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2010-C1, Cl A1 | ||||||||
3.156%, 07/10/2046 (C) | 207 | 218 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR4, Cl A1 | ||||||||
0.704%, 10/15/2045 | 105 | 105 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser CR2, Cl A1 | ||||||||
0.824%, 08/15/2045 | 81 | 82 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 37 |
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced LIBOR Opportunities Fund (Concluded)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
DBUBS Mortgage Trust, Ser 2011-LC1A, Cl A1 | ||||||||
3.742%, 11/10/2046 (C) | $ | 120 | $ | 131 | ||||
GS Mortgage Securities II, | ||||||||
5.279%, 08/10/2038 (B) | 49 | 50 | ||||||
GS Mortgage Securities II, Ser 2010-C2, Cl A1 | ||||||||
3.849%, 12/10/2043 (C) | 119 | 129 | ||||||
GS Mortgage Securities II, Ser 2012-GCJ9, Cl A1 | ||||||||
0.662%, 11/10/2045 | 75 | 75 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
3.853%, 06/15/2043 (C) | 119 | 126 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
2.749%, 11/15/2043 (C) | 194 | 203 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
1.525%, 07/15/2046 (C) | 71 | 72 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
1.600%, 08/15/2046 | 120 | 122 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
0.705%, 10/15/2045 | 54 | 54 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
4.903%, 10/15/2042 | 198 | 197 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.994%, 06/25/2037 (B) | 204 | 159 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2003-C5, Cl A4 | ||||||||
4.685%, 07/15/2032 (B) | 120 | 122 | ||||||
Master Adjustable Rate Mortgages Trust, Ser 2005-6, Cl 5A1 | ||||||||
2.857%, 07/25/2035 (B) | 257 | 213 | ||||||
Morgan Stanley Capital I, | ||||||||
5.110%, 06/15/2040 (B) | 88 | 93 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C3, Cl A1 | ||||||||
0.726%, 08/10/2049 | 122 | 122 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
5.012%, 12/15/2035 (B) | 144 | 148 |
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
Washington Mutual Mortgage | ||||||||
2.503%, 12/25/2035 (B) | $ | 257 | $ | 237 | ||||
Wells Fargo Commercial Mortgage Trust, Ser 2011-C3, Cl A1 | ||||||||
1.988%, 03/15/2044 (C) | 78 | 79 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2012-LC5, Cl A1 | ||||||||
0.687%, 10/15/2045 | 122 | 122 | ||||||
WF-RBS Commercial Mortgage Trust, Ser C9, Cl A1 | ||||||||
0.673%, 11/15/2045 | 124 | 124 | ||||||
|
| |||||||
4,020 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities | 8,770 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.8% |
| |||||||
FHLB | ||||||||
4.875%, 12/13/2013 | 400 | 419 | ||||||
0.320%, 12/11/2013 | 850 | 851 | ||||||
0.180%, 01/09/2013 | 1,100 | 1,100 | ||||||
FHLMC | ||||||||
4.875%, 11/15/2013 | 600 | 627 | ||||||
1.625%, 04/15/2013 | 500 | 503 | ||||||
1.375%, 01/09/2013 | 500 | 500 | ||||||
0.500%, 10/15/2013 | 700 | 702 | ||||||
0.450%, 01/09/2014 | 500 | 501 | ||||||
FNMA | ||||||||
1.750%, 05/07/2013 | 1,500 | 1,509 | ||||||
1.000%, 09/23/2013 | 450 | 453 | ||||||
0.750%, 12/18/2013 | 550 | 553 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 7,718 | ||||||
|
| |||||||
MUNICIPAL BOND — 0.0% |
| |||||||
New Jersey State, Turnpike Authority, Ser B, RB, AMBAC | ||||||||
4.252%, 01/01/2016 | 200 | 208 | ||||||
|
| |||||||
Total Municipal Bonds | 208 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 58.0% |
| |||||||
SEI LIBOR Plus Portfolio | ||||||||
0.180%†* | 34,539,811 | 257,322 | ||||||
|
| |||||||
Total Affiliated Partnership | 257,322 | |||||||
|
|
38 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CASH EQUIVALENT — 7.5% |
| |||||||
SEI Daily Income Trust, | ||||||||
0.060%†* | 33,110,012 | $ | 33,110 | |||||
|
| |||||||
Total Cash Equivalent | 33,110 | |||||||
|
| |||||||
REPURCHASE AGREEMENT — 1.1% |
| |||||||
BNP Paribas (D) | ||||||||
0.230%, dated 11/30/12, to be repurchased on 12/03/2012, repurchase price $5,000,096 (collateralized by a GNMA obligation, par value 5,086,840, 3.500%, 08/20/42; with total market value $5,100,000) | $ | 5,000 | 5,000 | |||||
|
| |||||||
Total Repurchase Agreement | 5,000 | |||||||
|
| |||||||
Total Investments — 101.6% | $ | 450,368 | ||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized (Depreciation) ($ Thousands) | |||||||||
U.S. 10-Year Treasury Note | (7 | ) | Mar-2013 | $ | (2 | ) | ||||||
U.S. 2-Year Treasury Note | (4 | ) | Mar-2013 | — | ||||||||
U.S. 5-Year Treasury Note | (13 | ) | Mar-2013 | (2 | ) | |||||||
U.S. Long Treasury Bond | (1 | ) | Mar-2013 | (1 | ) | |||||||
|
| |||||||||||
$ | (5 | ) | ||||||||||
|
|
For the period ended November 30, 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 period.
Percentages are based on a Net Assets of $443,403 ($ Thousands).
* | The rate reported is the 7-day effective yield as of November 30, 2012 |
† | Investment in Affiliated Security (see Note 5). |
‡ | Real Estate Investment Trust. |
(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 November 30, 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) | Tri-Party Repurchase Agreement |
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
FNMA — Federal National Mortgage Association
GNMA —Government National Mortgage Association
LLC — Limited Liability Company
LIBOR — London Interbank Offered Rate
LP — Limited Partnership
Ltd. — Limited
MTN — Medium Term Note
NCUA — National Credit Union Association
RB — Revenue Bond
Ser — Series
TBA — To Be Announced
The following is a list of the inputs used as of November 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Loan Participations | $ | — | $ | 110,452 | $ | — | $ | 110,452 | ||||||||
Corporate Obligations | — | 18,352 | — | 18,352 | ||||||||||||
Asset-Backed Securities | — | 9,436 | — | 9,436 | ||||||||||||
Mortgage-Backed Securities | — | 8,770 | — | 8,770 | ||||||||||||
U.S. Government Agency Obligations | — | 7,718 | — | 7,718 | ||||||||||||
Municipal Bond | — | 208 | — | 208 | ||||||||||||
Affiliated Partnership | 257,322 | — | — | 257,322 | ||||||||||||
Repurchase Agreement | — | 5,000 | — | 5,000 | ||||||||||||
Cash Equivalent | 33,110 | — | — | 33,110 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 290,432 | $ | 159,936 | $ | — | $ | 450,368 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (5 | ) | $ | — | $ | — | $ | (5 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the period ended November 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 39 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 38.1% |
| |||||||
Agency Mortgage-Backed Obligations — 31.5% |
| |||||||
FHLMC | ||||||||
11.000%, 02/17/2021 | $ | 867 | $ | 911 | ||||
10.000%, 03/17/2026 to 10/01/2030 | 2,230 | 2,546 | ||||||
8.000%, 06/01/2030 | 5 | 6 | ||||||
7.500%, 08/01/2030 to 09/01/2038 | 1,728 | 2,089 | ||||||
7.000%, 11/01/2015 to 04/01/2032 | 365 | 430 | ||||||
6.750%, 03/15/2031 | 2,570 | 4,022 | ||||||
6.500%, 06/01/2017 to 09/01/2039 | 9,123 | 10,309 | ||||||
6.000%, 04/01/2017 to 08/01/2038 | 24,264 | 26,742 | ||||||
5.625%, 11/23/2035 | 1,581 | 1,804 | ||||||
5.500%, 12/01/2013 to 12/01/2038 | 48,043 | 53,150 | ||||||
5.000%, 02/01/2019 to 04/01/2042 | 53,022 | 58,258 | ||||||
4.500%, 07/01/2026 to 09/01/2042 | 69,087 | 76,736 | ||||||
4.000%, 10/01/2025 to 11/01/2042 | 131,002 | 145,509 | ||||||
3.500%, 12/01/2025 to 12/01/2041 | 18,538 | 19,932 | ||||||
3.000%, 07/01/2032 to 09/01/2042 | 4,755 | 5,030 | ||||||
2.470%, 10/01/2036 (A) | 961 | 1,028 | ||||||
0.125%, 01/14/2013 to 03/01/2013 | 28,050 | 28,045 | ||||||
FHLMC ARM (A) | ||||||||
6.448%, 02/01/2037 | 191 | 207 | ||||||
6.386%, 12/01/2036 | 217 | 235 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.367%, 11/01/2037 | $ | 243 | $ | 265 | ||||
6.211%, 05/01/2037 | 448 | 480 | ||||||
6.108%, 09/01/2036 | 162 | 175 | ||||||
6.034%, 11/01/2036 | 427 | 463 | ||||||
6.012%, 04/01/2037 | 98 | 106 | ||||||
6.007%, 02/01/2037 | 160 | 170 | ||||||
5.992%, 04/01/2037 | 635 | 679 | ||||||
5.960%, 05/01/2037 | 2,453 | 2,602 | ||||||
5.924%, 05/01/2037 | 76 | 82 | ||||||
5.883%, 03/01/2037 | 80 | 87 | ||||||
5.826%, 08/01/2037 | 716 | 769 | ||||||
5.769%, 04/01/2038 | 211 | 225 | ||||||
5.720%, 11/01/2037 | 6 | 7 | ||||||
5.639%, 06/01/2037 | 482 | 522 | ||||||
5.580%, 10/01/2038 | 417 | 452 | ||||||
5.542%, 05/01/2036 | 528 | 567 | ||||||
5.126%, 01/01/2036 | 1,995 | 2,121 | ||||||
5.055%, 07/01/2036 | 580 | 627 | ||||||
4.989%, 01/01/2035 | 209 | 225 | ||||||
3.427%, 05/01/2036 | 537 | 574 | ||||||
3.292%, 05/01/2037 | 1,384 | 1,482 | ||||||
3.286%, 11/01/2036 | 451 | 481 | ||||||
3.283%, 03/01/2037 | 283 | 300 | ||||||
3.225%, 12/01/2036 | 300 | 321 | ||||||
3.220%, 03/01/2037 | 541 | 574 | ||||||
3.210%, 04/01/2037 | 127 | 137 | ||||||
3.143%, 05/01/2038 | 530 | 566 | ||||||
3.111%, 05/01/2037 | 598 | 638 | ||||||
2.978%, 05/01/2037 | 346 | 372 | ||||||
2.940%, 12/01/2036 | 586 | 624 | ||||||
2.935%, 09/01/2036 | 864 | 929 | ||||||
2.886%, 11/01/2036 | 164 | 177 | ||||||
2.871%, 09/01/2036 | 349 | 372 | ||||||
2.870%, 05/01/2037 | 178 | 191 | ||||||
2.860%, 02/01/2037 | 903 | 966 | ||||||
2.758%, 10/01/2036 | 1,493 | 1,603 | ||||||
2.729%, 09/01/2036 | 4,070 | 4,364 | ||||||
2.714%, 10/01/2036 | 155 | 166 | ||||||
2.693%, 08/01/2037 | 1,433 | 1,534 | ||||||
2.671%, 12/01/2036 | 628 | 673 | ||||||
2.627%, 01/01/2037 | 1,340 | 1,430 | ||||||
2.590%, 10/01/2036 | 702 | 750 | ||||||
2.572%, 12/01/2036 | 809 | 865 | ||||||
2.552%, 10/01/2037 | 639 | 682 | ||||||
2.532%, 11/01/2036 | 422 | 449 | ||||||
2.488%, 08/01/2036 | 1,139 | 1,215 | ||||||
2.467%, 07/01/2036 | 596 | 636 | ||||||
2.375%, 08/01/2036 | 404 | 430 | ||||||
2.370%, 05/01/2036 | 375 | 399 | ||||||
2.306%, 05/01/2037 | 209 | 223 | ||||||
2.300%, 04/01/2037 | 228 | 243 | ||||||
FHLMC CMO, | ||||||||
9.300%, 04/15/2019 | 13 | 14 |
40 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, | ||||||||
7.000%, 10/15/2021 | $ | 229 | $ | 259 | ||||
FHLMC CMO, | ||||||||
6.500%, 11/15/2023 | 7,405 | 8,278 | ||||||
FHLMC CMO, | ||||||||
6.500%, 04/15/2028 | 837 | 957 | ||||||
FHLMC CMO, | ||||||||
6.500%, 08/15/2028 | 937 | 1,072 | ||||||
FHLMC CMO, | ||||||||
7.492%, 02/15/2029 (A) | 599 | 39 | ||||||
FHLMC CMO, | ||||||||
6.000%, 07/15/2029 | 65 | 73 | ||||||
FHLMC CMO, | ||||||||
6.000%, 03/15/2031 | 970 | 1,093 | ||||||
FHLMC CMO, | ||||||||
6.500%, 05/15/2031 | 666 | 764 | ||||||
FHLMC CMO, | ||||||||
6.500%, 09/15/2031 | 139 | 153 | ||||||
FHLMC CMO, | ||||||||
6.500%, 01/15/2032 | 225 | 260 | ||||||
FHLMC CMO, | ||||||||
6.500%, 04/15/2032 | 1,874 | 2,149 | ||||||
FHLMC CMO, | ||||||||
6.500%, 06/15/2032 | 443 | 494 | ||||||
FHLMC CMO, | ||||||||
6.500%, 06/15/2032 | 964 | 1,104 | ||||||
FHLMC CMO, | ||||||||
6.976%, 07/25/2032 (A) | 732 | 838 | ||||||
FHLMC CMO, | ||||||||
7.500%, 02/25/2042 | 957 | 1,141 | ||||||
FHLMC CMO, | ||||||||
6.200%, 07/25/2033 (A) | 54 | 63 | ||||||
FHLMC CMO, | ||||||||
14.102%, 01/15/2033 (A) | 439 | 555 | ||||||
FHLMC CMO, | ||||||||
4.500%, 05/15/2032 | 1 | 1 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, | ||||||||
0.000%, 03/15/2032 | $ | 21 | $ | 21 | ||||
FHLMC CMO, | ||||||||
4.500%, 03/15/2018 | 658 | 695 | ||||||
FHLMC CMO, | ||||||||
14.469%, 06/15/2033 (A) | 339 | 427 | ||||||
FHLMC CMO, | ||||||||
14.377%, 09/15/2033 (A) | 333 | 431 | ||||||
FHLMC CMO, | ||||||||
4.000%, 10/15/2033 | 762 | 821 | ||||||
FHLMC CMO, | ||||||||
8.838%, 10/15/2033 (A) | 99 | 101 | ||||||
FHLMC CMO, | ||||||||
0.000%, 10/15/2033 | 5 | 5 | ||||||
FHLMC CMO, | ||||||||
16.048%, 10/15/2033 (A) | 6 | 6 | ||||||
FHLMC CMO, | ||||||||
0.000%, 10/15/2033 | 13 | 13 | ||||||
FHLMC CMO, | ||||||||
8.753%, 11/15/2033 (A) | 219 | 248 | ||||||
FHLMC CMO, | ||||||||
6.500%, 02/25/2043 | 514 | 612 | ||||||
FHLMC CMO, | ||||||||
7.000%, 02/25/2043 | 642 | 772 | ||||||
FHLMC CMO, | ||||||||
6.500%, 07/25/2043 | 580 | 665 | ||||||
FHLMC CMO, | ||||||||
7.000%, 07/25/2043 | 694 | 800 | ||||||
FHLMC CMO, | ||||||||
7.500%, 07/25/2043 | 603 | 699 | ||||||
FHLMC CMO, Ser 2003-58, Cl 4A | ||||||||
7.500%, 09/25/2043 | 785 | 935 | ||||||
FHLMC CMO, | ||||||||
5.000%, 01/15/2034 | 909 | 1,013 | ||||||
FHLMC CMO, | ||||||||
5.000%, 03/15/2034 | 1,500 | 1,724 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 41 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, | ||||||||
0.000%, 02/15/2033 | $ | 437 | $ | 430 | ||||
FHLMC CMO, | ||||||||
5.000%, 12/15/2032 | 948 | 978 | ||||||
FHLMC CMO, | ||||||||
0.000%, 10/15/2033 | 8 | 8 | ||||||
FHLMC CMO, | ||||||||
0.000%, 12/15/2028 | 171 | 166 | ||||||
FHLMC CMO, | ||||||||
5.500%, 07/15/2033 | 2,000 | 2,232 | ||||||
FHLMC CMO, | ||||||||
7.500%, 10/25/2043 | 819 | 941 | ||||||
FHLMC CMO, | ||||||||
7.000%, 03/25/2044 | 609 | 715 | ||||||
FHLMC CMO, | ||||||||
7.500%, 03/25/2044 | 847 | 1,023 | ||||||
FHLMC CMO, | ||||||||
5.000%, 05/15/2033 | 1,066 | 1,087 | ||||||
FHLMC CMO, | ||||||||
4.000%, 06/15/2018 | 102 | 103 | ||||||
FHLMC CMO, | ||||||||
11.920%, 03/15/2020 (A) | 1,399 | 1,714 | ||||||
FHLMC CMO, | ||||||||
0.000%, 03/15/2020 | 227 | 224 | ||||||
FHLMC CMO, | ||||||||
6.000%, 05/15/2035 | 442 | 498 | ||||||
FHLMC CMO, | ||||||||
0.608%, 05/15/2035 (A) | 503 | 505 | ||||||
FHLMC CMO, | ||||||||
0.578%, 10/15/2034 (A) | 629 | 632 | ||||||
FHLMC CMO, | ||||||||
5.500%, 11/15/2034 | 661 | 682 | ||||||
FHLMC CMO, | ||||||||
21.168%, 05/15/2035 (A) | 116 | 158 | ||||||
FHLMC CMO, | ||||||||
19.596%, 07/15/2035 (A) | 592 | 817 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, | ||||||||
23.814%, 06/15/2035 (A) | $ | 126 | $ | 187 | ||||
FHLMC CMO, | ||||||||
0.558%, 05/15/2033 (A) | 634 | 637 | ||||||
FHLMC CMO, | ||||||||
0.000%, 04/15/2035 | 394 | 385 | ||||||
FHLMC CMO, | ||||||||
0.000%, 01/15/2036 | 697 | 666 | ||||||
FHLMC CMO, | ||||||||
6.000%, 01/15/2036 | 2,258 | 2,544 | ||||||
FHLMC CMO, | ||||||||
0.508%, 01/15/2036 (A) | 391 | 393 | ||||||
FHLMC CMO, | ||||||||
6.000%, 04/15/2036 | 729 | 819 | ||||||
FHLMC CMO, | ||||||||
0.000%, 05/15/2036 | 358 | 345 | ||||||
FHLMC CMO, | ||||||||
0.000%, 05/15/2036 | 594 | 564 | ||||||
FHLMC CMO, | ||||||||
6.000%, 06/15/2036 | 926 | 1,037 | ||||||
FHLMC CMO, | ||||||||
6.000%, 08/15/2035 | 1,826 | 1,923 | ||||||
FHLMC CMO, | ||||||||
6.500%, 07/15/2036 | 1,735 | 1,949 | ||||||
FHLMC CMO, | ||||||||
5.500%, 08/15/2036 | 912 | 1,002 | ||||||
FHLMC CMO, | ||||||||
6.442%, 08/15/2036 (A) | 876 | 148 | ||||||
FHLMC CMO, | ||||||||
6.382%, 09/15/2036 (A) | 569 | 84 | ||||||
FHLMC CMO, | ||||||||
6.482%, 12/15/2036 (A) | 2,337 | 415 | ||||||
FHLMC CMO, | ||||||||
6.192%, 01/15/2037 (A) | 859 | 137 | ||||||
FHLMC CMO, | ||||||||
5.500%, 01/15/2031 | 95 | 95 |
42 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, | ||||||||
5.500%, 06/15/2035 | $ | 1,995 | $ | 2,050 | ||||
FHLMC CMO, | ||||||||
0.000%, 05/15/2037 | 135 | 130 | ||||||
FHLMC CMO, | ||||||||
6.000%, 11/15/2023 | 1,000 | 1,056 | ||||||
FHLMC CMO, | ||||||||
0.408%, 11/15/2036 (A) | 125 | 125 | ||||||
FHLMC CMO, | ||||||||
0.388%, 05/15/2036 (A) | 142 | 142 | ||||||
FHLMC CMO, | ||||||||
0.438%, 02/15/2019 (A) | 6,474 | 6,487 | ||||||
FHLMC CMO, | ||||||||
0.000%, 04/15/2037 | 184 | 180 | ||||||
FHLMC CMO, | ||||||||
6.242%, 11/15/2037 (A) | 740 | 104 | ||||||
FHLMC CMO, | ||||||||
5.792%, 11/15/2037 (A) | 828 | 87 | ||||||
FHLMC CMO, | ||||||||
6.206%, 11/15/2037 (A) | 582 | 89 | ||||||
FHLMC CMO, Ser 2007-76, Cl 2A | ||||||||
3.470%, 10/25/2037 (A) | 1,185 | 1,209 | ||||||
FHLMC CMO, | ||||||||
5.500%, 01/15/2038 | 1,947 | 2,104 | ||||||
FHLMC CMO, | ||||||||
16.930%, 02/15/2038 (A) | 139 | 178 | ||||||
FHLMC CMO, | ||||||||
5.822%, 05/15/2038 (A) | 4,555 | 452 | ||||||
FHLMC CMO, | ||||||||
5.842%, 05/15/2038 (A) | 866 | 104 | ||||||
FHLMC CMO, | ||||||||
5.986%, 06/15/2038 (A) | 2,340 | 404 | ||||||
FHLMC CMO, | ||||||||
6.000%, 06/15/2038 | 468 | 520 | ||||||
FHLMC CMO, | ||||||||
0.000%, 02/15/2037 | 604 | 560 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, | ||||||||
5.500%, 07/15/2037 | $ | 633 | $ | 46 | ||||
FHLMC CMO, | ||||||||
19.074%, 06/15/2036 (A) | 394 | 548 | ||||||
FHLMC CMO, | ||||||||
6.500%, 04/15/2039 | 5,195 | 5,874 | ||||||
FHLMC CMO, | ||||||||
6.123%, 02/15/2039 (A) | 293 | 312 | ||||||
FHLMC CMO, | ||||||||
0.000%, 05/15/2036 | 556 | 513 | ||||||
FHLMC CMO, | ||||||||
0.000%, 04/15/2036 | 629 | 598 | ||||||
FHLMC CMO, | ||||||||
0.000%, 04/15/2036 | 449 | 427 | ||||||
FHLMC CMO, | ||||||||
0.000%, 10/15/2039 | 592 | 531 | ||||||
FHLMC CMO, | ||||||||
6.036%, 12/15/2039 (A) | 2,225 | 340 | ||||||
FHLMC CMO, | ||||||||
0.000%, 07/15/2034 | 378 | 358 | ||||||
FHLMC CMO, | ||||||||
6.022%, 01/15/2040 (A) | 614 | 88 | ||||||
FHLMC CMO, | ||||||||
0.000%, 01/15/2040 | 472 | 456 | ||||||
FHLMC CMO, | ||||||||
5.500%, 09/15/2039 | 3,542 | 3,896 | ||||||
FHLMC CMO, | ||||||||
5.000%, 02/15/2030 | 7,561 | 7,896 | ||||||
FHLMC CMO, | ||||||||
6.032%, 02/15/2040 (A) | 1,764 | 298 | ||||||
FHLMC CMO, | ||||||||
16.807%, 02/15/2040 (A) | 400 | 598 | ||||||
FHLMC CMO, | ||||||||
5.000%, 03/15/2026 | 3,545 | 3,966 | ||||||
FHLMC CMO, | ||||||||
4.000%, 11/15/2037 | 1,174 | 1,206 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 43 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, | ||||||||
4.500%, 07/15/2039 | $ | 1,637 | $ | 1,834 | ||||
FHLMC CMO, | ||||||||
5.000%, 04/15/2032 | 1,973 | 240 | ||||||
FHLMC CMO, | ||||||||
7.000%, 12/15/2036 | 2,177 | 2,637 | ||||||
FHLMC CMO, | ||||||||
7.500%, 11/15/2036 | 708 | 824 | ||||||
FHLMC CMO, | ||||||||
5.000%, 08/15/2040 | 1,649 | 256 | ||||||
FHLMC CMO, | ||||||||
4.000%, 03/15/2034 | 1,966 | 100 | ||||||
FHLMC CMO, | ||||||||
5.792%, 10/15/2040 (A) | 1,682 | 417 | ||||||
FHLMC CMO, | ||||||||
4.000%, 08/15/2035 | 2,024 | 65 | ||||||
FHLMC CMO, | ||||||||
4.000%, 08/15/2037 | 2,104 | 140 | ||||||
FHLMC CMO, | ||||||||
4.000%, 10/15/2037 | 1,513 | 104 | ||||||
FHLMC CMO, | ||||||||
4.000%, 11/15/2029 | 2,188 | 188 | ||||||
FHLMC CMO, | ||||||||
4.136%, 01/15/2040 (A) | 2,731 | 166 | ||||||
FHLMC CMO, | ||||||||
6.000%, 04/15/2036 | 1,105 | 1,291 | ||||||
FHLMC CMO, | ||||||||
5.500%, 05/15/2041 (A) | 648 | 703 | ||||||
FHLMC CMO, | ||||||||
3.000%, 02/15/2026 | 1,749 | 1,807 | ||||||
FHLMC CMO, | ||||||||
5.742%, 05/15/2041 (A) | 4,339 | 517 | ||||||
FHLMC CMO, | ||||||||
5.696%, 10/15/2038 (A) | 684 | 753 | ||||||
FHLMC CMO, | ||||||||
0.739%, 03/15/2042 (A) | 1,917 | 1,935 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, | ||||||||
6.402%, 04/15/2042 (A) | $ | 359 | $ | 56 | ||||
FHLMC CMO, | ||||||||
0.642%, 10/15/2041 (A) | 1,914 | 1,924 | ||||||
FHLMC CMO, | ||||||||
0.631%, 07/15/2037 (A) | 1,853 | 1,862 | ||||||
FHLMC CMO, | ||||||||
5.842%, 04/15/2039 (A) | 6,689 | 1,509 | ||||||
FHLMC CMO, | ||||||||
5.742%, 06/15/2042 (A) | 581 | 135 | ||||||
FHLMC CMO, | ||||||||
5.792%, 06/15/2042 (A) | 6,299 | 1,590 | ||||||
FHLMC CMO, | ||||||||
5.792%, 07/15/2042 (A) | 3,464 | 907 | ||||||
FHLMC CMO, | ||||||||
3.000%, 09/15/2031 | 4,217 | 455 | ||||||
FHLMC CMO, | ||||||||
6.392%, 09/15/2042 (A) | 2,673 | 814 | ||||||
FHLMC CMO, | ||||||||
3.500%, 10/15/2032 | 1,595 | 295 | ||||||
FHLMC GNMA CMO, | ||||||||
6.250%, 10/25/2023 | 589 | 669 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser 2012-K020, Cl A2 | ||||||||
2.373%, 05/25/2022 | 8,950 | 9,183 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K020, Cl X1, IO | ||||||||
1.615%, 05/25/2022 (A) | 1 | — | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K021, Cl X1, IO | ||||||||
1.515%, 06/25/2022 (A) | 5,970 | 676 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser 2009-K003, Cl AAB | ||||||||
4.768%, 05/25/2018 | 2,824 | 3,191 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser 2010-K005, Cl A2 | ||||||||
4.317%, 11/25/2019 | 2,596 | 3,042 |
44 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser 2011-K010, Cl A1 | ||||||||
3.320%, 07/25/2020 | $ | 80 | $ | 88 | ||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K006, Cl AX1, IO | ||||||||
1.052%, 01/25/2020 (A) | 18,669 | 1,128 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K007, Cl X1, IO | ||||||||
1.230%, 04/25/2020 (A) | 13,060 | 889 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K008, Cl X1, IO | ||||||||
1.676%, 06/25/2020 (A) | 11,064 | 1,056 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K009, Cl X1, IO | ||||||||
1.508%, 08/25/2020 (A) | 6,268 | 525 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K014, Cl X1, IO | ||||||||
1.456%, 04/25/2021 (A) | 6,043 | 514 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K015, Cl X1, IO | ||||||||
1.676%, 07/25/2021 (A) | 6,921 | 790 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K016, Cl X1, IO | ||||||||
1.583%, 10/25/2021 (A) | 2,288 | 253 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K017, Cl X1, IO | ||||||||
1.457%, 12/25/2021 (A) | 3,599 | 363 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K702, Cl X1, IO | ||||||||
1.559%, 02/25/2018 (A) | 28,065 | 1,947 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K703, Cl X1, IO | ||||||||
2.094%, 05/25/2018 (A) | 8,664 | 847 | ||||||
FHLMC Reference REMIC CMO, Ser 2006-R007, Cl ZA | ||||||||
6.000%, 05/15/2036 | 3,246 | 3,757 | ||||||
FHLMC STRIPS CMO, Ser 1998-197, Cl PO, PO | ||||||||
0.000%, 04/01/2028 | 470 | 435 | ||||||
FHLMC STRIPS CMO, | ||||||||
7.492%, 08/15/2036 (A) | 1,954 | 283 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC STRIPS CMO, | ||||||||
4.500%, 07/15/2037 | $ | 3,590 | $ | 266 | ||||
FHLMC STRIPS CMO, | ||||||||
3.500%, 07/15/2042 | 3,474 | 3,758 | ||||||
FHLMC STRIPS CMO, | ||||||||
0.708%, 08/15/2042 (A) | 2,970 | 2,986 | ||||||
FHLMC TBA | ||||||||
3.000%, 02/15/2042 to 01/15/2043 | 44,015 | 46,076 | ||||||
2.500%, 12/15/2027 to 01/15/2028 | 74,100 | 77,228 | ||||||
FNMA | ||||||||
8.000%, 04/01/2015 to 11/01/2037 | 778 | 905 | ||||||
7.500%, 06/01/2030 to 04/01/2039 | 2,500 | 2,987 | ||||||
7.000%, 12/01/2015 to 02/01/2039 | 7,618 | 8,960 | ||||||
6.500%, 05/01/2017 to 07/01/2039 | 17,041 | 19,631 | ||||||
6.000%, 06/01/2016 to 11/01/2048 | 100,835 | 111,925 | ||||||
5.500%, 04/01/2014 to 07/01/2039 | 48,937 | 53,502 | ||||||
5.000%, 02/01/2020 to 09/01/2041 | 193,385 | 213,362 | ||||||
4.762%, 02/01/2020 | 741 | 874 | ||||||
4.672%, 07/01/2020 | 751 | 887 | ||||||
4.640%, 01/01/2021 | 981 | 1,164 | ||||||
4.540%, 01/01/2020 | 1,447 | 1,698 | ||||||
4.530%, 12/01/2019 | 3,930 | 4,667 | ||||||
4.500%, 07/01/2020 to 12/01/2041 | 42,368 | 46,118 | ||||||
4.399%, 02/01/2020 | 6,000 | 7,003 | ||||||
4.390%, 05/01/2021 | 1,000 | 1,177 | ||||||
4.380%, 04/01/2021 | 2,000 | 2,349 | ||||||
4.369%, 02/01/2020 | 1,940 | 2,266 | ||||||
4.368%, 04/01/2020 | 2,182 | 2,554 | ||||||
4.340%, 06/01/2021 | 1,000 | 1,178 | ||||||
4.338%, 11/01/2021 | 6,117 | 7,180 | ||||||
4.317%, 07/01/2021 | 1,279 | 1,506 | ||||||
4.303%, 07/01/2021 | 5,803 | 6,832 | ||||||
4.300%, 04/01/2021 | 1,200 | 1,405 | ||||||
4.260%, 07/01/2021 | 1,000 | 1,169 | ||||||
4.250%, 04/01/2021 | 3,000 | 3,512 | ||||||
4.240%, 11/01/2019 to 06/01/2021 | 2,920 | 3,396 | ||||||
4.120%, 04/01/2020 | 1,164 | 1,338 | ||||||
4.066%, 07/01/2020 | 2,489 | 2,869 | ||||||
4.060%, 07/01/2021 | 1,000 | 1,155 | ||||||
4.050%, 01/01/2021 | 1,430 | 1,651 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 45 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.000%, 04/01/2019 to 11/01/2042 | $ | 167,555 | $ | 185,107 | ||||
3.975%, 11/01/2020 | 797 | 914 | ||||||
3.940%, 07/01/2021 | 1,500 | 1,727 | ||||||
3.930%, 01/01/2021 | 1,000 | 1,145 | ||||||
3.820%, 06/01/2017 | 1,926 | 2,136 | ||||||
3.800%, 03/01/2018 | 1,954 | 2,191 | ||||||
3.770%, 09/01/2021 | 3,000 | 3,416 | ||||||
3.740%, 07/01/2020 | 1,381 | 1,557 | ||||||
3.632%, 12/01/2020 | 4,078 | 4,591 | ||||||
3.630%, 01/01/2018 | 2,000 | 2,226 | ||||||
3.590%, 12/01/2020 | 970 | 1,086 | ||||||
3.583%, 09/01/2020 | 6,890 | 7,727 | ||||||
3.520%, 01/01/2018 | 2,966 | 3,289 | ||||||
3.505%, 09/01/2020 | 4,830 | 5,374 | ||||||
3.500%, 01/01/2026 to 12/01/2042 | 66,236 | 71,789 | ||||||
3.430%, 10/01/2020 | 1,944 | 2,154 | ||||||
3.380%, 01/01/2018 | 1,500 | 1,660 | ||||||
3.290%, 10/01/2020 | 1,000 | 1,100 | ||||||
3.230%, 11/01/2020 | 1,500 | 1,646 | ||||||
3.030%, 12/01/2021 | 1,479 | 1,602 | ||||||
3.000%, 03/01/2027 to 01/15/2043 | 53,307 | 56,474 | ||||||
2.970%, 11/01/2018 | 1,450 | 1,576 | ||||||
2.940%, 05/01/2022 | 992 | 1,067 | ||||||
2.790%, 07/01/2022 | 1,000 | 1,065 | ||||||
2.690%, 10/01/2017 | 1,498 | 1,608 | ||||||
2.670%, 07/01/2022 | 994 | 1,051 | ||||||
2.646%, 10/01/2022 | 8,456 | 8,907 | ||||||
2.600%, 06/01/2022 | 992 | 1,044 | ||||||
2.520%, 10/01/2022 | 2,000 | 2,090 | ||||||
2.500%, 10/01/2022 to 10/01/2042 | 18,018 | 18,751 | ||||||
2.470%, 09/01/2022 | 1,496 | 1,558 | ||||||
2.370%, 07/01/2019 to 11/01/2022 | 2,000 | 2,096 | ||||||
2.320%, 12/01/2022 | 1,500 | 1,529 | ||||||
2.280%, 11/01/2022 | 2,000 | 2,052 | ||||||
2.200%, 07/01/2019 | 2,488 | 2,621 | ||||||
2.100%, 06/01/2019 | 1,000 | 1,049 | ||||||
2.030%, 08/01/2019 | 2,030 | 2,111 | ||||||
1.940%, 07/01/2019 | 1,000 | 1,023 | ||||||
1.580%, 01/01/2020 | 2,000 | 2,022 | ||||||
1.400%, 07/01/2017 | 2,500 | 2,562 | ||||||
0.695%, 10/20/2062 | 1,500 | 1,500 | ||||||
FNMA ARM (A) | ||||||||
6.277%, 09/01/2037 | 4,135 | 4,536 | ||||||
6.200%, 08/01/2036 | 215 | 235 | ||||||
6.171%, 09/01/2036 | 635 | 683 | ||||||
6.034%, 09/01/2037 | 473 | 509 | ||||||
5.922%, 04/01/2037 | 589 | 631 | ||||||
5.879%, 09/01/2037 | 265 | 290 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.841%, 03/01/2037 | $ | 3,188 | $ | 3,440 | ||||
5.779%, 05/01/2037 | 116 | 127 | ||||||
5.725%, 06/01/2036 | 44 | 48 | ||||||
5.705%, 05/01/2037 | 1,728 | 1,841 | ||||||
5.612%, 01/01/2023 | 391 | 429 | ||||||
5.500%, 07/01/2037 | 213 | 228 | ||||||
3.871%, 11/01/2036 | 661 | 711 | ||||||
3.554%, 11/01/2037 | 675 | 722 | ||||||
3.192%, 10/01/2036 | 1,417 | 1,518 | ||||||
3.188%, 10/01/2036 | 234 | 250 | ||||||
3.026%, 11/01/2036 | 448 | 479 | ||||||
2.977%, 05/01/2036 | 277 | 296 | ||||||
2.940%, 06/01/2036 | 982 | 1,056 | ||||||
2.919%, 08/01/2036 | 371 | 398 | ||||||
2.878%, 07/01/2036 | 482 | 515 | ||||||
2.864%, 09/01/2037 | 59 | 64 | ||||||
2.843%, 07/01/2037 | 697 | 748 | ||||||
2.835%, 06/01/2036 | 913 | 978 | ||||||
2.780%, 02/01/2037 | 681 | 721 | ||||||
2.776%, 06/01/2036 | 465 | 495 | ||||||
2.753%, 09/01/2036 | 246 | 262 | ||||||
2.682%, 10/01/2036 | 366 | 392 | ||||||
2.666%, 05/01/2032 | 2 | 2 | ||||||
2.660%, 12/01/2036 | 1,030 | 1,106 | ||||||
2.619%, 11/01/2037 | 319 | 342 | ||||||
2.400%, 12/01/2022 | 1,200 | 1,218 | ||||||
2.380%, 12/01/2022 | 2,000 | 2,045 | ||||||
2.340%, 01/01/2023 | 1,200 | 1,223 | ||||||
2.330%, 02/01/2034 | 8 | 8 | ||||||
2.275%, 01/01/2033 | 10 | 11 | ||||||
2.231%, 01/31/2043 | 1,750 | 1,785 | ||||||
2.217%, 01/01/2037 | 580 | 613 | ||||||
2.215%, 02/01/2037 | 395 | 417 | ||||||
2.211%, 01/31/2043 | 1,750 | 1,783 | ||||||
2.191%, 12/25/2023 | 1,500 | 1,526 | ||||||
2.185%, 09/01/2036 | 301 | 318 | ||||||
2.118%, 01/01/2043 | 3,685 | 3,717 | ||||||
2.074%, 07/01/2037 | 265 | 284 | ||||||
2.074%, 01/01/2023 | 2,000 | 2,018 | ||||||
2.000%, 12/01/2023 | 1,500 | 1,521 | ||||||
1.675%, 03/01/2034 | 129 | 130 | ||||||
1.509%, 12/25/2020 | 2,000 | 2,022 | ||||||
1.408%, 01/25/2023 | 1,500 | 1,505 | ||||||
0.971%, 01/01/2019 | 494 | 497 | ||||||
0.654%, 09/01/2022 | 1,170 | 1,173 | ||||||
0.608%, 10/01/2022 | 3,000 | 3,006 | ||||||
0.502%, 11/01/2022 | 2,000 | 2,004 | ||||||
0.482%, 11/01/2022 | 1,000 | 1,002 | ||||||
0.000%, 12/01/2035 | 215 | 231 | ||||||
FNMA CMO, Ser 1991-113, Cl ZE | ||||||||
7.500%, 09/25/2021 | 176 | 201 | ||||||
FNMA CMO, Ser 1992-143, Cl M | ||||||||
8.000%, 09/25/2022 | 535 | 613 |
46 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 1992-41, Cl MA | ||||||||
8.000%, 08/25/2022 | $ | 651 | $ | 741 | ||||
FNMA CMO, Ser 1992-69, Cl Z | ||||||||
8.000%, 05/25/2022 | 452 | 528 | ||||||
FNMA CMO, | ||||||||
0.000%, 05/25/2022 | — | — | ||||||
FNMA CMO, Ser 1993-149, Cl SH | ||||||||
11.500%, 08/25/2023 (A) | 195 | 250 | ||||||
FNMA CMO, Ser 1993-75, Cl ZQ | ||||||||
6.500%, 05/25/2023 | 883 | 981 | ||||||
FNMA CMO, Ser 1993-99, Cl Z | ||||||||
7.000%, 07/25/2023 | 973 | 1,108 | ||||||
FNMA CMO, Ser 1994-31, Cl ZC | ||||||||
6.500%, 02/25/2024 | 721 | 813 | ||||||
FNMA CMO, Ser 1994-63, Cl PK | ||||||||
7.000%, 04/25/2024 | 652 | 741 | ||||||
FNMA CMO, Ser 1997-32, Cl PG | ||||||||
6.500%, 04/25/2027 | 461 | 534 | ||||||
FNMA CMO, Ser 1999-11, Cl Z | ||||||||
5.500%, 03/25/2029 | 655 | 726 | ||||||
FNMA CMO, | ||||||||
0.000%, 10/25/2023 | 196 | 179 | ||||||
FNMA CMO, Ser 2001-50, Cl BA | ||||||||
7.000%, 10/25/2041 | 583 | 621 | ||||||
FNMA CMO, Ser 2001-52, Cl YZ | ||||||||
6.500%, 10/25/2031 | 65 | 74 | ||||||
FNMA CMO, Ser 2001-71, Cl QE | ||||||||
6.000%, 12/25/2016 | 632 | 671 | ||||||
FNMA CMO, Ser 2001-79, Cl BA | ||||||||
7.000%, 03/25/2045 | 439 | 518 | ||||||
FNMA CMO, Ser 2002-10, Cl SB | ||||||||
18.702%, 03/25/2017 (A) | 76 | 91 | ||||||
FNMA CMO, Ser 2002-33, Cl A2 | ||||||||
7.500%, 06/25/2032 | 640 | 784 | ||||||
FNMA CMO, | ||||||||
0.000%, 04/25/2032 | 64 | 64 | ||||||
FNMA CMO, Ser 2002-90, Cl A1 | ||||||||
6.500%, 06/25/2042 | 715 | 842 | ||||||
FNMA CMO, Ser 2002-95, Cl DB | ||||||||
6.000%, 01/25/2033 | 2,776 | 3,144 | ||||||
FNMA CMO, Ser 2003-124, Cl TS | ||||||||
9.800%, 01/25/2034 (A) | 41 | 49 | ||||||
FNMA CMO, | ||||||||
5.000%, 08/25/2023 | 907 | 962 | ||||||
FNMA CMO, Ser 2003-131, Cl SK | ||||||||
15.785%, 01/25/2034 (A) | 460 | 620 | ||||||
FNMA CMO, Ser 2003-17, Cl EQ | ||||||||
5.500%, 03/25/2023 | 2,000 | 2,331 | ||||||
FNMA CMO, Ser 2003-23, Cl EQ | ||||||||
5.500%, 04/25/2023 | 2,000 | 2,334 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2003-23, Cl PG | ||||||||
5.500%, 01/25/2032 | $ | 191 | $ | 193 | ||||
FNMA CMO, | ||||||||
0.000%, 01/25/2032 | 88 | 87 | ||||||
FNMA CMO, Ser 2003-24, Cl MV | ||||||||
5.500%, 02/25/2014 | 412 | 415 | ||||||
FNMA CMO, | ||||||||
7.442%, 07/25/2017 (A) | 80 | 1 | ||||||
FNMA CMO, | ||||||||
0.000%, 05/25/2033 | 285 | 272 | ||||||
FNMA CMO, Ser 2003-42, Cl EP | ||||||||
4.000%, 11/25/2022 | 146 | 149 | ||||||
FNMA CMO, Ser 2003-49, Cl YD | ||||||||
5.500%, 06/25/2023 | 678 | 741 | ||||||
FNMA CMO, Ser 2003-56, Cl AZ | ||||||||
5.500%, 08/25/2031 | 491 | 498 | ||||||
FNMA CMO, Ser 2003-68, Cl QT | ||||||||
4.000%, 07/25/2022 | 6 | 6 | ||||||
FNMA CMO, | ||||||||
5.000%, 01/25/2020 | 2,500 | 2,729 | ||||||
FNMA CMO, Ser 2004-17, Cl H | ||||||||
5.500%, 04/25/2034 | 1,086 | 1,275 | ||||||
FNMA CMO, | ||||||||
0.000%, 03/25/2034 | 508 | 488 | ||||||
FNMA CMO, Ser 2004-52, Cl NE | ||||||||
4.500%, 07/25/2033 | 275 | 288 | ||||||
FNMA CMO, | ||||||||
0.000%, 09/25/2032 | 153 | 148 | ||||||
FNMA CMO, | ||||||||
0.000%, 10/25/2032 | 366 | 361 | ||||||
FNMA CMO, Ser 2004-61, Cl FH | ||||||||
1.007%, 11/25/2032 (A) | 934 | 948 | ||||||
FNMA CMO, | ||||||||
5.500%, 11/25/2025 | 1,500 | 1,669 | ||||||
FNMA CMO, Ser 2005-106, Cl US | ||||||||
23.806%, 11/25/2035 (A) | 822 | 1,260 | ||||||
FNMA CMO, | ||||||||
6.000%, 01/25/2032 | 941 | 964 | ||||||
FNMA CMO, Ser 2005-123, Cl FG | ||||||||
0.658%, 07/25/2034 (A) | 6 | 6 | ||||||
FNMA CMO, Ser 2005-14, Cl BA | ||||||||
4.500%, 04/25/2019 | 283 | 287 | ||||||
FNMA CMO, Ser 2005-14, Cl BD | ||||||||
4.500%, 03/25/2020 | 1,250 | 1,344 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 47 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2005-5, Cl PA | ||||||||
5.000%, 01/25/2035 | $ | 1,054 | $ | 1,147 | ||||
FNMA CMO, Ser 2005-64, Cl PL | ||||||||
5.500%, 07/25/2035 | 1,219 | 1,376 | ||||||
FNMA CMO, Ser 2005-72, Cl SB | ||||||||
16.356%, 08/25/2035 (A) | 408 | 514 | ||||||
FNMA CMO, Ser 2005-74, Cl CS | ||||||||
19.449%, 05/25/2035 (A) | 438 | 633 | ||||||
FNMA CMO, Ser 2005-74, Cl SK | ||||||||
19.559%, 05/25/2035 (A) | 335 | 485 | ||||||
FNMA CMO, Ser 2005-90, Cl ES | ||||||||
16.356%, 10/25/2035 (A) | 309 | 414 | ||||||
FNMA CMO, | ||||||||
0.000%, 09/25/2035 | 266 | 249 | ||||||
FNMA CMO, Ser 2005-97, Cl HC | ||||||||
5.000%, 02/25/2032 | 1,563 | 1,587 | ||||||
FNMA CMO, | ||||||||
6.393%, 11/25/2036 (A) | 1,715 | 379 | ||||||
FNMA CMO, | ||||||||
6.442%, 12/25/2036 (A) | 513 | 76 | ||||||
FNMA CMO, Ser 2006-118, Cl A2 | ||||||||
0.277%, 12/25/2036 (A) | 768 | 733 | ||||||
FNMA CMO, | ||||||||
6.993%, 01/25/2037 (A) | 2,937 | 475 | ||||||
FNMA CMO, | ||||||||
0.000%, 03/25/2036 | 375 | 350 | ||||||
FNMA CMO, Ser 2006-23, Cl FK | ||||||||
0.457%, 04/25/2036 (A) | 397 | 398 | ||||||
FNMA CMO, | ||||||||
0.000%, 04/25/2036 | 404 | 372 | ||||||
FNMA CMO, | ||||||||
0.000%, 03/25/2036 | 448 | 420 | ||||||
FNMA CMO, Ser 2006-31, Cl PD | ||||||||
5.500%, 11/25/2034 | 417 | 430 | ||||||
FNMA CMO, Ser 2006-33, Cl LS | ||||||||
29.216%, 05/25/2036 (A) | 305 | 546 | ||||||
FNMA CMO, Ser 2006-44, Cl FP | ||||||||
0.608%, 06/25/2036 (A) | 452 | 455 | ||||||
FNMA CMO, | ||||||||
0.000%, 12/25/2033 | 228 | 218 | ||||||
FNMA CMO, Ser 2006-46, Cl SW | ||||||||
23.438%, 06/25/2036 (A) | 341 | 479 | ||||||
FNMA CMO, | ||||||||
6.442%, 03/25/2036 (A) | 476 | 85 | ||||||
FNMA CMO, Ser 2006-56, Cl CA | ||||||||
6.000%, 07/25/2036 | 611 | 680 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2006-56, Cl FC | ||||||||
0.497%, 07/25/2036 (A) | $ | 499 | $ | 501 | ||||
FNMA CMO, | ||||||||
0.000%, 10/25/2024 | 333 | 332 | ||||||
FNMA CMO, Ser 2006-56, Cl PF | ||||||||
0.557%, 07/25/2036 (A) | 613 | 618 | ||||||
FNMA CMO, | ||||||||
0.000%, 04/25/2035 | 454 | 430 | ||||||
FNMA CMO, | ||||||||
0.000%, 07/25/2036 | 816 | 796 | ||||||
FNMA CMO, Ser 2006-63, Cl ZH | ||||||||
6.500%, 07/25/2036 | 980 | 1,139 | ||||||
FNMA CMO, Ser 2006-78, Cl BZ | ||||||||
6.500%, 08/25/2036 | 754 | 888 | ||||||
FNMA CMO, | ||||||||
6.293%, 09/25/2036 (A) | 2,856 | 498 | ||||||
FNMA CMO, Ser 2006-90, Cl BE | ||||||||
6.000%, 04/25/2035 | 2,000 | 2,169 | ||||||
FNMA CMO, | ||||||||
6.442%, 10/25/2026 (A) | 1,199 | 183 | ||||||
FNMA CMO, | ||||||||
6.243%, 10/25/2037 (A) | 1,838 | 299 | ||||||
FNMA CMO, Ser 2007-101, Cl A2 | ||||||||
0.457%, 06/27/2036 (A) | 1,610 | 1,595 | ||||||
FNMA CMO, | ||||||||
6.243%, 12/25/2037 (A) | 1,222 | 220 | ||||||
FNMA CMO, Ser 2007-114, Cl A6 | ||||||||
0.407%, 10/27/2037 (A) | 1,600 | 1,591 | ||||||
FNMA CMO, | ||||||||
2.276%, 01/25/2038 (A) | 1,430 | 104 | ||||||
FNMA CMO, Ser 2007-116, Cl PB | ||||||||
5.500%, 08/25/2035 | 4,567 | 5,168 | ||||||
FNMA CMO, Ser 2007-29, Cl SG | ||||||||
21.975%, 04/25/2037 (A) | 286 | 400 | ||||||
FNMA CMO, Ser 2007-43, Cl FL | ||||||||
0.507%, 05/25/2037 (A) | 264 | 265 | ||||||
FNMA CMO, | ||||||||
5.893%, 06/25/2037 (A) | 1,254 | 198 | ||||||
FNMA CMO, Ser 2007-54, Cl FA | ||||||||
0.608%, 06/25/2037 (A) | 1,036 | 1,044 | ||||||
FNMA CMO, Ser 2007-54, Cl PF | ||||||||
0.459%, 06/25/2037 (A) | 917 | 918 | ||||||
FNMA CMO, | ||||||||
6.942%, 07/25/2037 (A) | 1,928 | 389 |
48 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2007-64, Cl FA | ||||||||
0.677%, 07/25/2037 (A) | $ | 112 | $ | 110 | ||||
FNMA CMO, | ||||||||
6.413%, 07/25/2037 (A) | 1,392 | 190 | ||||||
FNMA CMO, | ||||||||
6.493%, 07/25/2037 (A) | 1,580 | 239 | ||||||
FNMA CMO, | ||||||||
6.193%, 07/25/2037 (A) | 1,687 | 248 | ||||||
FNMA CMO, | ||||||||
0.000%, 01/25/2036 | 381 | 379 | ||||||
FNMA CMO, Ser 2007-79, Cl SB | ||||||||
23.256%, 08/25/2037 (A) | 142 | 198 | ||||||
FNMA CMO, Ser 2007-85, Cl SG | ||||||||
15.731%, 09/25/2037 (A) | 493 | 651 | ||||||
FNMA CMO, | ||||||||
5.573%, 06/25/2037 (A) | 1,419 | 181 | ||||||
FNMA CMO, | ||||||||
5.703%, 02/25/2038 (A) | 1,535 | 200 | ||||||
FNMA CMO, | ||||||||
6.783%, 03/25/2038 (A) | 865 | 156 | ||||||
FNMA CMO, | ||||||||
6.222%, 03/25/2037 (A) | 14,918 | 2,009 | ||||||
FNMA CMO, Ser 2008-24, Cl DY | ||||||||
5.000%, 04/25/2023 | 1,500 | 1,664 | ||||||
FNMA CMO, Ser 2008-24, Cl NA | ||||||||
6.750%, 06/25/2037 | 387 | 440 | ||||||
FNMA CMO, Ser 2008-24, Cl PF | ||||||||
0.857%, 02/25/2038 (A) | 565 | 573 | ||||||
FNMA CMO, | ||||||||
6.643%, 04/25/2038 (A) | 624 | 82 | ||||||
FNMA CMO, | ||||||||
0.642%, 10/25/2016 (A) | 1,388 | 14 | ||||||
FNMA CMO, | ||||||||
5.793%, 02/25/2038 (A) | 2,722 | 380 | ||||||
FNMA CMO, Ser 2008-53, Cl CA | ||||||||
5.000%, 07/25/2023 | 3,500 | 3,827 | ||||||
FNMA CMO, Ser 2008-95, Cl BA | ||||||||
5.000%, 01/25/2024 | 643 | 743 | ||||||
FNMA CMO, | ||||||||
4.000%, 12/25/2039 (A) | 678 | 728 | ||||||
FNMA CMO, | ||||||||
6.442%, 03/25/2039 (A) | 783 | 109 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2009-30, Cl AD | ||||||||
6.500%, 04/25/2039 | $ | 4,657 | $ | 5,074 | ||||
FNMA CMO, | ||||||||
5.000%, 07/25/2039 | 925 | 117 | ||||||
FNMA CMO, | ||||||||
0.000%, 01/25/2037 | 1,498 | 1,465 | ||||||
FNMA CMO, | ||||||||
5.693%, 10/25/2039 (A) | 999 | 117 | ||||||
FNMA CMO, | ||||||||
0.000%, 03/25/2037 | 8,150 | 7,834 | ||||||
FNMA CMO, | ||||||||
5.500%, 10/25/2039 | 721 | 103 | ||||||
FNMA CMO, | ||||||||
0.000%, 10/25/2037 | 964 | 890 | ||||||
FNMA CMO, | ||||||||
4.000%, 10/25/2014 | 1,551 | 67 | ||||||
FNMA CMO, Ser 2009-93, Cl PD | ||||||||
4.500%, 09/25/2039 | 1,289 | 1,404 | ||||||
FNMA CMO, | ||||||||
5.973%, 12/25/2039 (A) | 1,011 | 112 | ||||||
FNMA CMO, Ser 2009-M1, Cl A2 | ||||||||
4.287%, 07/25/2019 | 3,931 | 4,571 | ||||||
FNMA CMO, Ser 2009-M2, Cl A3 | ||||||||
4.001%, 01/25/2019 | 4,202 | 4,796 | ||||||
FNMA CMO, Ser 2010-1, Cl WA | ||||||||
6.162%, 02/25/2040 (A) | 582 | 643 | ||||||
FNMA CMO, | ||||||||
6.442%, 09/25/2040 (A) | 3,540 | 626 | ||||||
FNMA CMO, Ser 2010-111, Cl AE | ||||||||
5.500%, 04/25/2038 | 2,411 | 2,639 | ||||||
FNMA CMO, | ||||||||
6.293%, 10/25/2040 (A) | 2,856 | 452 | ||||||
FNMA CMO, | ||||||||
4.000%, 07/25/2040 | 3,600 | 4,048 | ||||||
FNMA CMO, Ser 2010-133, Cl A | ||||||||
5.500%, 05/25/2038 | 1,580 | 1,711 | ||||||
FNMA CMO, | ||||||||
5.793%, 12/25/2040 (A) | 2,539 | 433 | ||||||
FNMA CMO, | ||||||||
6.323%, 12/25/2040 (A) | 2,501 | 370 | ||||||
FNMA CMO, | ||||||||
4.000%, 02/25/2039 | 1,142 | 1,188 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 49 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, | ||||||||
6.291%, 01/25/2041 (A) | $ | 7,577 | $ | 1,285 | ||||
FNMA CMO, Ser 2010-16, Cl WA | ||||||||
6.428%, 03/25/2040 (A) | 649 | 746 | ||||||
FNMA CMO, | ||||||||
6.892%, 02/25/2040 (A) | 1,187 | 165 | ||||||
FNMA CMO, | ||||||||
6.272%, 04/25/2040 (A) | 4,607 | 745 | ||||||
FNMA CMO, | ||||||||
6.212%, 04/25/2040 (A) | 1,432 | 200 | ||||||
FNMA CMO, | ||||||||
0.000%, 10/25/2035 | 476 | 444 | ||||||
FNMA CMO, Ser 2010-45, Cl BD | ||||||||
4.500%, 11/25/2038 | 1,000 | 1,060 | ||||||
FNMA CMO, Ser 2010-54, Cl EA | ||||||||
4.500%, 06/25/2040 | 3,842 | 4,202 | ||||||
FNMA CMO, Ser 2010-64, Cl DM | ||||||||
5.000%, 06/25/2040 | 1,246 | 1,389 | ||||||
FNMA CMO, | ||||||||
4.793%, 07/25/2040 (A) | 3,270 | 585 | ||||||
FNMA CMO, Ser 2010-M1, Cl A2 | ||||||||
4.450%, 09/25/2019 | 1,374 | 1,577 | ||||||
FNMA CMO, Ser 2010-M3, Cl A3 | ||||||||
4.332%, 03/25/2020 (A) | 8,896 | 10,370 | ||||||
FNMA CMO, Ser 2010-M5, Cl A1 | ||||||||
2.259%, 07/25/2020 | 72 | 75 | ||||||
FNMA CMO, Ser 2011-2, Cl WA | ||||||||
5.716%, 02/25/2051 (A) | 934 | 1,016 | ||||||
FNMA CMO, | ||||||||
4.478%, 04/25/2041 (A) | 2,634 | 199 | ||||||
FNMA CMO, Ser 2011-43, Cl WA | ||||||||
5.899%, 05/25/2051 (A) | 1,377 | 1,503 | ||||||
FNMA CMO, | ||||||||
5.713%, 06/25/2041 (A) | 3,005 | 427 | ||||||
FNMA CMO, Ser 2011-53, Cl DT | ||||||||
4.500%, 06/25/2041 | 3,301 | 3,532 | ||||||
FNMA CMO, Ser 2011-53, Cl TN | ||||||||
4.000%, 06/25/2041 | 16,990 | 17,917 | ||||||
FNMA CMO, | ||||||||
6.473%, 07/25/2041 (A) | 3,524 | 572 | ||||||
FNMA CMO, Ser 2011-75, Cl FA | ||||||||
0.758%, 08/25/2041 (A) | 635 | 641 | ||||||
FNMA CMO, | ||||||||
5.743%, 09/25/2041 (A) | 6,092 | 1,086 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, | ||||||||
5.000%, 05/25/2034 | $ | 4,975 | $ | 700 | ||||
FNMA CMO, | ||||||||
6.343%, 10/25/2041 (A) | 6,508 | 1,228 | ||||||
FNMA CMO, Ser 2011-M1, Cl A3 | ||||||||
3.763%, 06/25/2021 | 1,500 | 1,676 | ||||||
FNMA CMO, Ser 2011-M2, Cl A3 | ||||||||
3.764%, 07/25/2021 | 7,500 | 8,473 | ||||||
FNMA CMO, Ser 2011-M4, Cl A2 | ||||||||
3.726%, 06/25/2021 | 2,500 | 2,836 | ||||||
FNMA CMO, Ser 2012-101, Cl FC | ||||||||
0.708%, 09/25/2042 (A) | 994 | 1,002 | ||||||
FNMA CMO, Ser 2012-137, Cl CF | ||||||||
0.540%, 08/25/2041 (A) | 1,500 | 1,499 | ||||||
FNMA CMO, Ser 2012-14, Cl FB | ||||||||
0.658%, 08/25/2037 (A) | 925 | 929 | ||||||
FNMA CMO, Ser 2012-14, Cl FL | ||||||||
0.658%, 12/25/2040 (A) | 960 | 967 | ||||||
FNMA CMO, | ||||||||
6.243%, 03/25/2042 (A) | 269 | 51 | ||||||
FNMA CMO, | ||||||||
6.492%, 07/25/2026 (A) | 2,802 | 487 | ||||||
FNMA CMO, Ser 2012-25, Cl B | ||||||||
6.500%, 03/25/2042 | 1,000 | 1,175 | ||||||
FNMA CMO, Ser 2012-28, Cl B | ||||||||
6.500%, 06/25/2039 | 300 | 335 | ||||||
FNMA CMO, Ser 2012-3, Cl CD | ||||||||
7.000%, 02/25/2042 | 3,239 | 3,607 | ||||||
FNMA CMO, | ||||||||
6.393%, 04/25/2042 (A) | 1,023 | 191 | ||||||
FNMA CMO, Ser 2012-35, Cl MB | ||||||||
5.500%, 04/25/2042 | 7,800 | 8,723 | ||||||
FNMA CMO, Ser 2012-46, Cl BA | ||||||||
6.000%, 05/25/2042 | 4,200 | 4,716 | ||||||
FNMA CMO, Ser 2012-47, Cl HF | ||||||||
0.608%, 05/25/2027 (A) | 4,596 | 4,632 | ||||||
FNMA CMO, | ||||||||
6.343%, 03/25/2039 (A) | 2,841 | 744 | ||||||
FNMA CMO, | ||||||||
5.793%, 06/25/2042 (A) | 994 | 171 | ||||||
FNMA CMO, | ||||||||
6.443%, 03/25/2042 (A) | 2,900 | 584 | ||||||
FNMA CMO, | ||||||||
0.000%, 03/25/2042 | 200 | 179 | ||||||
FNMA CMO, | ||||||||
6.443%, 03/25/2042 (A) | 2,300 | 444 |
50 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, | ||||||||
6.392%, 07/25/2042 (A) | $ | 1,146 | $ | 260 | ||||
FNMA CMO, | ||||||||
0.000%, 03/25/2042 | 400 | 358 | ||||||
FNMA CMO, Ser 2012-76, Cl AC | ||||||||
6.500%, 07/25/2042 | 6,960 | 7,872 | ||||||
FNMA CMO, | ||||||||
5.793%, 08/25/2042 (A) | 7,247 | 970 | ||||||
FNMA CMO, Ser 2012-89, Cl FD | ||||||||
0.658%, 04/25/2039 (A) | 1,480 | 1,487 | ||||||
FNMA CMO, | ||||||||
6.492%, 02/25/2027 (A) | 2,653 | 535 | ||||||
FNMA CMO, | ||||||||
3.000%, 09/25/2027 | 10,853 | 1,314 | ||||||
FNMA CMO, Ser 2012-97, Cl FB | ||||||||
0.708%, 09/25/2042 (A) | 1,494 | 1,505 | ||||||
FNMA CMO, | ||||||||
0.744%, 08/25/2019 (A) | 2,463 | 2,485 | ||||||
FNMA CMO, | ||||||||
2.935%, 08/25/2022 (A) | 11,998 | 12,923 | ||||||
FNMA CMO, Ser 2012-M15, Cl A | ||||||||
2.746%, 10/25/2022 (A) | 9,218 | 9,775 | ||||||
FNMA CMO, | ||||||||
1.520%, 12/25/2019 | 505 | 518 | ||||||
FNMA CMO, | ||||||||
1.801%, 12/25/2019 | 400 | 413 | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.500%, 06/25/2030 | 937 | 1,104 | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.500%, 12/25/2041 | 1,832 | 2,247 | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.000%, 07/25/2042 | 603 | 730 | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.000%, 02/25/2044 | 766 | 895 | ||||||
FNMA Interest STRIPS CMO, | ||||||||
0.000%, 12/01/2024 | 471 | 434 | ||||||
FNMA Interest STRIPS CMO, | ||||||||
0.000%, 09/01/2024 | 299 | 275 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA Interest STRIPS CMO, | ||||||||
7.000%, 01/25/2032 | $ | 675 | $ | 119 | ||||
FNMA Interest STRIPS CMO, | ||||||||
6.500%, 02/01/2033 | 1,030 | 153 | ||||||
FNMA Interest STRIPS CMO, | ||||||||
4.500%, 11/25/2039 | 5,393 | 691 | ||||||
FNMA Interest STRIPS CMO, | ||||||||
3.500%, 11/25/2041 | 2,842 | 298 | ||||||
FNMA Interest STRIPS CMO, | ||||||||
3.000%, 11/25/2026 to 04/25/2027 | 12,353 | 1,005 | ||||||
FNMA Interest STRIPS CMO, | ||||||||
0.708%, 08/25/2042 (A) | 1,489 | 1,501 | ||||||
FNMA TBA | ||||||||
4.000%, 12/14/2039 | 10,200 | 10,928 | ||||||
3.500%, 12/25/2042 | 5,207 | 5,654 | ||||||
3.000%, 12/12/2042 to 02/25/2043 | 117,395 | 123,343 | ||||||
2.500%, 01/01/2026 to 12/01/2042 | 158,340 | 165,097 | ||||||
FNMA Whole Loan CMO, | ||||||||
6.985%, 12/25/2042 (A) | 877 | 1,033 | ||||||
FNMA Whole Loan CMO, | ||||||||
5.750%, 08/25/2033 | 917 | 1,073 | ||||||
FNMA Whole Loan CMO, | ||||||||
5.900%, 07/25/2042 | 1,230 | 1,435 | ||||||
FNMA Whole Loan CMO, | ||||||||
6.500%, 09/25/2042 | 513 | 617 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.000%, 10/25/2042 | 418 | 487 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.000%, 12/25/2033 | 801 | 968 | ||||||
FNMA Whole Loan CMO, | ||||||||
5.750%, 08/25/2034 | 2,000 | 2,240 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.000%, 02/25/2044 | 854 | 986 | ||||||
FNMA Whole Loan CMO, | ||||||||
6.500%, 02/25/2044 | 645 | 738 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 51 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA Whole Loan CMO, | ||||||||
0.428%, 03/25/2045 (A) | $ | 2,258 | $ | 2,250 | ||||
FNMA Whole Loan CMO, | ||||||||
7.500%, 12/25/2045 | 307 | 370 | ||||||
FNMA Whole Loan CMO, | ||||||||
0.428%, 02/25/2036 (A) | 523 | 520 | ||||||
FNMA Whole Loan CMO, | ||||||||
0.467%, 11/25/2046 (A) | 1,132 | 1,127 | ||||||
FNMA Whole Loan CMO, | ||||||||
37.935%, 07/25/2037 (A) | 63 | 108 | ||||||
FNMA Whole Loan CMO, | ||||||||
6.000%, 12/25/2049 | 1,603 | 1,838 | ||||||
GNMA | ||||||||
9.500%, 12/15/2020 | 6 | 6 | ||||||
7.500%, 10/15/2037 to 09/20/2038 | 1,060 | 1,269 | ||||||
7.000%, 12/20/2017 to 06/15/2035 | 3,466 | 4,105 | ||||||
6.500%, 01/15/2024 to 02/15/2039 | 6,105 | 7,132 | ||||||
6.000%, 12/15/2023 to 10/20/2040 | 28,268 | 32,103 | ||||||
5.000%, 10/20/2039 to 11/20/2040 | 9,774 | 10,817 | ||||||
4.500%, 01/20/2040 to 03/20/2041 | 25,537 | 28,147 | ||||||
3.782%, 01/25/2053 | 1,000 | 1,103 | ||||||
GNMA ARM (A) | ||||||||
3.500%, 05/20/2041 to 10/20/2041 | 2,150 | 2,300 | ||||||
3.000%, 08/20/2041 to 01/20/2042 | 3,425 | 3,665 | ||||||
1.750%, 04/20/2028 to 07/20/2034 | 552 | 577 | ||||||
1.630%, 01/20/2060 | 1,420 | 1,467 | ||||||
1.625%, 03/20/2032 to 03/20/2034 | 282 | 294 | ||||||
GNMA CMO, | ||||||||
31.698%, 04/20/2031 (A) | 96 | 204 | ||||||
GNMA CMO, Ser 2001-22, Cl PS | ||||||||
20.468%, 03/17/2031 (A) | 682 | 1,100 | ||||||
GNMA CMO, Ser 2001-61, Cl Z | ||||||||
6.500%, 12/20/2031 | 1,615 | 1,904 | ||||||
GNMA CMO, Ser 2002-23, Cl SD | ||||||||
20.391%, 04/16/2032 (A) | 948 | 1,486 | ||||||
GNMA CMO, Ser 2002-51, Cl SG | ||||||||
31.601%, 04/20/2031 (A) | 83 | 174 | ||||||
GNMA CMO, Ser 2002-57, Cl SB | ||||||||
109.387%, 08/16/2032 | 73 | 349 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, Ser 2002-69, Cl SC | ||||||||
16.044%, 02/20/2032 (A) | $ | 122 | $ | 134 | ||||
GNMA CMO, Ser 2003-60, Cl GS | ||||||||
12.071%, 05/16/2033 (A) | 111 | 137 | ||||||
GNMA CMO, Ser 2003-75, Cl ZX | ||||||||
6.000%, 09/16/2033 | 4,153 | 4,807 | ||||||
GNMA CMO, Ser 2003-79, Cl PV | ||||||||
5.500%, 10/20/2023 | 1,125 | 1,243 | ||||||
GNMA CMO, | ||||||||
6.343%, 11/16/2033 (A) | 495 | 106 | ||||||
GNMA CMO, Ser 2004-17, Cl MZ | ||||||||
5.500%, 03/16/2034 | 1,076 | 1,311 | ||||||
GNMA CMO, Ser 2004-28, Cl SV | ||||||||
8.789%, 04/20/2034 (A) | 1,062 | 1,193 | ||||||
GNMA CMO, Ser 2004-34, Cl CS | ||||||||
19.363%, 02/20/2034 (A) | 57 | 76 | ||||||
GNMA CMO, | ||||||||
0.000%, 02/20/2034 | 112 | 112 | ||||||
GNMA CMO, Ser 2004-71, Cl ST | ||||||||
7.000%, 09/20/2034 (A) | 274 | 299 | ||||||
GNMA CMO, | ||||||||
0.000%, 01/17/2033 | 63 | 61 | ||||||
GNMA CMO, Ser 2004-87, Cl SB | ||||||||
7.434%, 03/17/2033 (A) | 202 | 226 | ||||||
GNMA CMO, Ser 2004-93, Cl PC | ||||||||
5.000%, 04/16/2034 | 95 | 105 | ||||||
GNMA CMO, | ||||||||
5.893%, 01/20/2035 (A) | 1,186 | 186 | ||||||
GNMA CMO, Ser 2005-7, Cl JM | ||||||||
16.264%, 05/18/2034 (A) | 203 | 248 | ||||||
GNMA CMO, Ser 2005-92, Cl PB | ||||||||
6.000%, 12/20/2035 | 1,000 | 1,244 | ||||||
GNMA CMO, | ||||||||
6.783%, 04/20/2036 (A) | 1,515 | 274 | ||||||
GNMA CMO, | ||||||||
0.000%, 07/20/2036 | 122 | 115 | ||||||
GNMA CMO, | ||||||||
6.439%, 09/20/2033 (A) | 1,807 | 120 | ||||||
GNMA CMO, | ||||||||
6.293%, 06/20/2036 (A) | 1,036 | 130 | ||||||
GNMA CMO, Ser 2007-17, Cl AF | ||||||||
0.407%, 04/16/2037 (A) | 687 | 689 | ||||||
GNMA CMO, | ||||||||
5.989%, 05/20/2037 (A) | 2,004 | 300 | ||||||
GNMA CMO, | ||||||||
5.989%, 05/20/2037 (A) | 732 | 114 |
52 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, | ||||||||
6.542%, 07/20/2037 (A) | $ | 1,035 | $ | 167 | ||||
GNMA CMO, | ||||||||
6.433%, 07/20/2037 (A) | 663 | 107 | ||||||
GNMA CMO, | ||||||||
6.343%, 11/20/2037 (A) | 761 | 110 | ||||||
GNMA CMO, | ||||||||
6.323%, 12/16/2037 (A) | 11,654 | 1,941 | ||||||
GNMA CMO, | ||||||||
6.442%, 12/20/2037 (A) | 954 | 161 | ||||||
GNMA CMO, | ||||||||
6.319%, 12/20/2037 (A) | 624 | 100 | ||||||
GNMA CMO, | ||||||||
5.992%, 03/20/2037 (A) | 813 | 115 | ||||||
GNMA CMO, | ||||||||
5.619%, 02/20/2038 (A) | 1,134 | 157 | ||||||
GNMA CMO, | ||||||||
6.953%, 01/16/2038 (A) | 682 | 110 | ||||||
GNMA CMO, | ||||||||
0.000%, 02/17/2033 | 267 | 260 | ||||||
GNMA CMO, | ||||||||
7.493%, 04/16/2038 (A) | 448 | 83 | ||||||
GNMA CMO, | ||||||||
5.989%, 06/20/2038 (A) | 1,083 | 166 | ||||||
GNMA CMO, | ||||||||
7.093%, 12/20/2038 (A) | 1,636 | 279 | ||||||
GNMA CMO, | ||||||||
6.193%, 06/16/2039 (A) | 2,054 | 234 | ||||||
GNMA CMO, | ||||||||
6.193%, 11/16/2039 (A) | 1,621 | 282 | ||||||
GNMA CMO, | ||||||||
6.193%, 11/20/2039 (A) | 18,585 | 2,972 | ||||||
GNMA CMO, | ||||||||
6.343%, 05/20/2037 (A) | 3,498 | 519 | ||||||
GNMA CMO, | ||||||||
6.500%, 03/20/2039 | 608 | 115 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, | ||||||||
6.500%, 03/20/2039 | $ | 30 | $ | 6 | ||||
GNMA CMO, | ||||||||
5.500%, 11/16/2037 | 1,120 | 144 | ||||||
GNMA CMO, | ||||||||
6.063%, 04/20/2039 (A) | 1,644 | 229 | ||||||
GNMA CMO, | ||||||||
6.089%, 03/20/2039 (A) | 888 | 94 | ||||||
GNMA CMO, | ||||||||
7.389%, 09/20/2038 (A) | 634 | 110 | ||||||
GNMA CMO, | ||||||||
6.092%, 03/20/2039 (A) | 1,594 | 212 | ||||||
GNMA CMO, | ||||||||
6.000%, 05/20/2039 | 267 | 42 | ||||||
GNMA CMO, | ||||||||
1.000%, 06/16/2037 (A) | 1,834 | 49 | ||||||
GNMA CMO, | ||||||||
5.873%, 06/20/2039 (A) | 554 | 76 | ||||||
GNMA CMO, | ||||||||
5.739%, 06/20/2039 (A) | 1,417 | 215 | ||||||
GNMA CMO, Ser 2009-44, Cl MV | ||||||||
6.000%, 04/20/2020 | 1,125 | 1,272 | ||||||
GNMA CMO, | ||||||||
5.829%, 02/20/2039 (A) | 1,192 | 160 | ||||||
GNMA CMO, | ||||||||
6.000%, 12/20/2038 | 729 | 101 | ||||||
GNMA CMO, | ||||||||
6.189%, 12/20/2038 (A) | 2,186 | 340 | ||||||
GNMA CMO, Ser 2009-66, Cl XS, IO | ||||||||
6.593%, 07/16/2039 (A) | 209 | 27 | ||||||
GNMA CMO, Ser 2009-66, Cl LC | ||||||||
6.000%, 08/16/2039 | 2,245 | 2,829 | ||||||
GNMA CMO, | ||||||||
5.843%, 08/16/2039 (A) | 1,440 | 178 | ||||||
GNMA CMO, | ||||||||
6.036%, 08/16/2039 (A) | 1,893 | 273 | ||||||
GNMA CMO, | ||||||||
5.000%, 12/20/2019 | 892 | 963 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 53 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, | ||||||||
0.000%, 11/16/2037 | $ | 1,067 | $ | 1,019 | ||||
GNMA CMO, Ser 2009-8, Cl PS | ||||||||
6.093%, 08/16/2038 (A) | 160 | 25 | ||||||
GNMA CMO, | ||||||||
5.889%, 08/20/2039 (A) | 1,383 | 166 | ||||||
GNMA CMO, | ||||||||
4.043%, 09/20/2040 (A) | 2,471 | 380 | ||||||
GNMA CMO, | ||||||||
3.500%, 09/16/2040 | 1,531 | 1,662 | ||||||
GNMA CMO, | ||||||||
6.423%, 09/20/2040 (A) | 2,084 | 348 | ||||||
GNMA CMO, | ||||||||
0.000%, 12/20/2032 | 526 | 510 | ||||||
GNMA CMO, | ||||||||
0.000%, 11/20/2035 | 580 | 541 | ||||||
GNMA CMO, | ||||||||
0.000%, 08/20/2035 | 425 | 372 | ||||||
GNMA CMO, | ||||||||
0.000%, 06/16/2033 | 167 | 165 | ||||||
GNMA CMO, Ser 2010-14, Cl QP | ||||||||
6.000%, 12/20/2039 | 958 | 1,053 | ||||||
GNMA CMO, | ||||||||
5.473%, 02/16/2040 (A) | 928 | 191 | ||||||
GNMA CMO, | ||||||||
4.000%, 09/16/2037 | 4,216 | 455 | ||||||
GNMA CMO, | ||||||||
0.000%, 12/20/2040 | 1,326 | 1,151 | ||||||
GNMA CMO, | ||||||||
5.923%, 11/20/2038 (A) | 900 | 113 | ||||||
GNMA CMO, | ||||||||
6.042%, 02/20/2040 (A) | 3,970 | 692 | ||||||
GNMA CMO, | ||||||||
5.943%, 02/20/2040 (A) | 4,330 | 728 | ||||||
GNMA CMO, | ||||||||
6.043%, 02/20/2040 (A) | 71 | 13 | ||||||
GNMA CMO, | ||||||||
7.792%, 11/20/2038 (A) | 2,482 | 315 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, | ||||||||
5.793%, 03/20/2039 (A) | $ | 1,091 | $ | 171 | ||||
GNMA CMO, | ||||||||
6.293%, 03/20/2040 (A) | 3,803 | 556 | ||||||
GNMA CMO, | ||||||||
5.473%, 03/20/2040 (A) | 7,617 | 1,221 | ||||||
GNMA CMO, Ser 2010-4, Cl SL, IO | ||||||||
6.186%, 01/16/2040 (A) | 467 | 79 | ||||||
GNMA CMO, | ||||||||
6.182%, 01/16/2040 (A) | 22,288 | 3,610 | ||||||
GNMA CMO, | ||||||||
6.489%, 06/20/2037 (A) | 2,898 | 462 | ||||||
GNMA CMO, | ||||||||
5.793%, 04/16/2034 (A) | 766 | 39 | ||||||
GNMA CMO, Ser 2010-59, Cl LB | ||||||||
4.500%, 10/20/2039 | 2,900 | 3,327 | ||||||
GNMA CMO, Ser 2010-7, Cl EA | ||||||||
5.000%, 06/16/2038 | 895 | 1,041 | ||||||
GNMA CMO, | ||||||||
6.442%, 01/20/2040 (A) | 1,645 | 276 | ||||||
GNMA CMO, | ||||||||
6.492%, 06/20/2035 (A) | 291 | 30 | ||||||
GNMA CMO, | ||||||||
1.211%, 05/20/2060 (A) | 5,071 | 5,176 | ||||||
GNMA CMO, | ||||||||
5.246%, 07/20/2060 (A) | 1,680 | 1,993 | ||||||
GNMA CMO, | ||||||||
0.565%, 08/20/2058 (A) | 6,894 | 6,856 | ||||||
GNMA CMO, | ||||||||
5.793%, 01/20/2041 (A) | 1,433 | 221 | ||||||
GNMA CMO, | ||||||||
5.000%, 11/16/2041 | 157 | 33 | ||||||
GNMA CMO, | ||||||||
5.767%, 12/20/2038 (A) | 1,100 | 1,227 | ||||||
GNMA CMO, | ||||||||
5.893%, 03/20/2041 (A) | 840 | 130 | ||||||
GNMA CMO, | ||||||||
6.492%, 03/16/2041 (A) | 456 | 49 |
54 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, | ||||||||
5.793%, 02/16/2036 (A) | $ | 3,080 | $ | 376 | ||||
GNMA CMO, | ||||||||
0.467%, 12/16/2036 (A) | 1,833 | 251 | ||||||
GNMA CMO, | ||||||||
0.714%, 03/20/2061 (A) | 1,711 | 1,712 | ||||||
GNMA CMO, Ser 2012-61, Cl FM | ||||||||
0.608%, 05/16/2042 (A) | 1,438 | 1,447 | ||||||
GNMA CMO, | ||||||||
3.500%, 02/20/2038 | 2,827 | 488 | ||||||
GNMA CMO, | ||||||||
5.893%, 06/20/2042 (A) | 2,156 | 530 | ||||||
GNMA CMO, | ||||||||
0.665%, 05/20/2062 (A) | 1,477 | 1,476 | ||||||
GNMA CMO, | ||||||||
0.915%, 05/20/2061 (A) | 2,240 | 2,257 | ||||||
GNMA CMO, | ||||||||
0.865%, 05/20/2061 (A) | 1,499 | 1,510 | ||||||
GNMA CMO, | ||||||||
0.685%, 01/20/2061 (A) | 2,499 | 2,502 | ||||||
GNMA CMO, | ||||||||
0.665%, 03/20/2060 (A) | 1,499 | 1,498 | ||||||
GNMA CMO, | ||||||||
0.815%, 10/20/2062 (A) | 1,531 | 1,530 | ||||||
GNMA CMO, | ||||||||
0.645%, 04/20/2060 (A) | 2,500 | 2,499 | ||||||
GNMA CMO, | ||||||||
0.760%, 07/20/2062 (A) | 1,515 | 1,515 | ||||||
GNMA CMO, | ||||||||
0.716%, 10/20/2062 (A) | 3,489 | 3,486 | ||||||
GNMA CMO, | ||||||||
0.810%, 09/20/2062 (A) | 2,503 | 2,503 | ||||||
GNMA TBA | ||||||||
3.500%, 12/01/2040 to 12/20/2042 | 28,820 | 31,415 | ||||||
3.000%, 12/01/2042 to 12/20/2042 | 39,175 | 41,796 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.559%, 12/07/2020 (A) | 209 | 210 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
2.900%, 10/29/2020 | $ | 1,100 | $ | 1,178 | ||||
NCUA Guaranteed Notes CMO, | ||||||||
2.650%, 10/29/2020 | 5,789 | 6,131 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.659%, 10/07/2020 (A) | 10,558 | 10,595 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.679%, 11/06/2017 (A) | 4,852 | 4,862 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.659%, 11/05/2020 (A) | 3,389 | 3,401 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.769%, 12/08/2020 (A) | 1,460 | 1,467 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.771%, 12/08/2020 (A) | 513 | 517 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
2.400%, 12/08/2020 | 362 | 374 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.609%, 01/08/2020 (A) | 79 | 79 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.619%, 02/06/2020 (A) | 909 | 912 | ||||||
|
| |||||||
2,616,428 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 6.6% |
| |||||||
A10 Securitization LLC, | ||||||||
3.492%, 04/15/2024 (B) | 856 | 860 | ||||||
AAM ACE Resecuritization Trust, | ||||||||
0.435%, 02/02/2037 (A) (B) | 529 | 510 | ||||||
American General Mortgage Loan Trust, Ser 2009-1, Cl A4 | ||||||||
5.750%, 09/25/2048 (A) (B) | 879 | 883 | ||||||
American General Mortgage Loan Trust, Ser 2009-1, Cl A5 | ||||||||
5.750%, 09/25/2048 (A) (B) | 900 | 917 | ||||||
American General Mortgage Loan Trust, Ser 2009-1, Cl A7 | ||||||||
5.750%, 09/25/2048 (A) (B) | 1,500 | 1,564 | ||||||
American General Mortgage Loan Trust, Ser 2010-1A, Cl A1 | ||||||||
5.150%, 03/25/2058 (A) (B) | 436 | 451 | ||||||
American General Mortgage Loan Trust, Ser 2010-1A, Cl A3 | ||||||||
5.650%, 03/25/2058 (A) (B) | 570 | 604 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 55 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
American Home Mortgage Assets, Ser 2006-5, Cl A1 | ||||||||
1.074%, 11/25/2046 (A) | $ | 1,293 | $ | 687 | ||||
American Home Mortgage Assets, | ||||||||
0.332%, 03/25/2047 (A) | 83 | 54 | ||||||
ASG Resecuritization Trust, | ||||||||
5.130%, 05/24/2036 (A) (B) | 426 | 433 | ||||||
ASG Resecuritization Trust, | ||||||||
5.130%, 05/24/2036 (A) (B) | 400 | 410 | ||||||
ASG Resecuritization Trust, | ||||||||
2.582%, 03/26/2037 (A) (B) | 1,242 | 1,241 | ||||||
ASG Resecuritization Trust, | ||||||||
6.000%, 06/28/2037 (B) | 825 | 850 | ||||||
ASG Resecuritization Trust, | ||||||||
0.412%, 10/28/2036 (A) (B) | 237 | 235 | ||||||
ASG Resecuritization Trust, | ||||||||
2.727%, 11/28/2035 (A) (B) | 473 | 461 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 1A1 | ||||||||
6.000%, 01/25/2034 | 297 | 310 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 2A1 | ||||||||
6.000%, 01/25/2034 | 568 | 593 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-7, Cl 1CB1 | ||||||||
5.500%, 09/25/2033 | 405 | 412 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-7, Cl 2A4 | ||||||||
5.000%, 09/25/2018 | 533 | 546 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-9, Cl 1CB2 | ||||||||
5.500%, 11/25/2033 | 426 | 436 | ||||||
Banc of America Alternative Loan Trust, Ser 2004-1, Cl 5A1 | ||||||||
5.500%, 02/25/2019 | 363 | 370 | ||||||
Banc of America Alternative Loan Trust, Ser 2004-8, Cl 3A1 | ||||||||
5.500%, 09/25/2019 | 332 | 337 | ||||||
Banc of America Alternative Loan Trust, Ser 2006-8, Cl 3A1 | ||||||||
6.196%, 11/25/2021 (A) | 172 | 170 | ||||||
Banc of America Alternative Loan Trust, Ser 2007-1, Cl 2A1 | ||||||||
6.406%, 04/25/2037 (A) | 411 | 314 | ||||||
Banc of America Commercial Mortgage, Ser 2002-PB2, Cl B | ||||||||
6.309%, 06/11/2035 | 150 | 150 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Banc of America Commercial Mortgage, Ser 2004-6, Cl A3 | ||||||||
4.512%, 12/10/2042 | $ | 197 | $ | 199 | ||||
Banc of America Commercial Mortgage, Ser 2005-2, Cl A5 | ||||||||
4.857%, 07/10/2043 (A) | 6,915 | 7,524 | ||||||
Banc of America Commercial Mortgage, Ser 2005-3, Cl A4 | ||||||||
4.668%, 07/10/2043 | 500 | 545 | ||||||
Banc of America Commercial Mortgage, Ser 2005-3, Cl AM | ||||||||
4.727%, 07/10/2043 | 1,050 | 1,117 | ||||||
Banc of America Commercial Mortgage, Ser 2005-5, Cl A4 | ||||||||
5.115%, 10/10/2045 (A) | 300 | 335 | ||||||
Banc of America Commercial Mortgage, Ser 2006-1, Cl A4 | ||||||||
5.372%, 09/10/2045 (A) | 500 | 562 | ||||||
Banc of America Commercial Mortgage, Ser 2006-1, Cl AM | ||||||||
5.421%, 09/10/2045 (A) | 554 | 604 | ||||||
Banc of America Commercial Mortgage, Ser 2006-3, Cl A4 | ||||||||
5.889%, 07/10/2044 (A) | 825 | 947 | ||||||
Banc of America Commercial Mortgage, Ser 2006-4, Cl A4 | ||||||||
5.634%, 07/10/2046 | 800 | 919 | ||||||
Banc of America Commercial Mortgage, Ser 2006-5, Cl A4 | ||||||||
5.414%, 09/10/2047 | 490 | 557 | ||||||
Banc of America Funding, Ser 2003-2, Cl 1A1 | ||||||||
6.500%, 06/25/2032 | 32 | 33 | ||||||
Banc of America Funding, Ser 2004-2, Cl 1CB1 | ||||||||
5.750%, 09/20/2034 | 373 | 393 | ||||||
Banc of America Funding, Ser 2004-C, Cl 1A1 | ||||||||
5.056%, 12/20/2034 (A) | 204 | 206 | ||||||
Banc of America Funding, Ser 2005-B, Cl 2A1 | ||||||||
3.114%, 04/20/2035 (A) | 3,696 | 3,253 | ||||||
Banc of America Funding, Ser 2006-G, Cl 2A3 | ||||||||
0.377%, 07/20/2036 (A) | 4,472 | 4,416 | ||||||
Banc of America Funding, Ser 2010-R11A, Cl 1A6 | ||||||||
5.538%, 08/26/2035 (A) (B) | 675 | 715 | ||||||
Banc of America Funding, Ser 2010-R5, Cl 1A1 | ||||||||
5.500%, 10/26/2037 (B) | 407 | 425 | ||||||
Banc of America Funding, Ser 2012-R6, Cl 1A1 | ||||||||
3.000%, 10/26/2039 (B) | 1,989 | 1,985 |
56 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Banc of America Merrill Lynch Commercial Mortgage, Ser 2005-6, Cl A4 | ||||||||
5.190%, 09/10/2047 (A) | $ | 70 | $ | 78 | ||||
Banc of America Mortgage Securities, Ser 2003-3, Cl 1A7 | ||||||||
5.500%, 05/25/2033 | 622 | 641 | ||||||
Banc of America Mortgage Securities, Ser 2003-3, Cl 2A1 | ||||||||
0.758%, 05/25/2018 (A) | 169 | 161 | ||||||
Banc of America Mortgage Securities, Ser 2003-6, Cl 2A1 | ||||||||
0.658%, 08/25/2018 (A) | 158 | 151 | ||||||
Banc of America Mortgage Securities, Ser 2003-A, Cl 2A2 | ||||||||
3.197%, 02/25/2033 (A) | 4 | 4 | ||||||
Banc of America Mortgage Securities, Ser 2003-E, Cl 2A2 | ||||||||
3.133%, 06/25/2033 (A) | 282 | 285 | ||||||
Banc of America Mortgage Securities, Ser 2004-3, Cl 1A26 | ||||||||
5.500%, 04/25/2034 | 1,000 | 1,021 | ||||||
Banc of America Mortgage Securities, Ser 2004-3, Cl 3A1 | ||||||||
5.000%, 04/25/2019 | 155 | 159 | ||||||
Banc of America Mortgage Securities, Ser 2004-5, Cl 4A1 | ||||||||
4.750%, 06/25/2019 | 129 | 134 | ||||||
Banc of America Mortgage Securities, Ser 2004-9, Cl 3A1 | ||||||||
6.500%, 09/25/2032 | 125 | 132 | ||||||
Banc of America Re-Remic Trust, Ser 2012-PARK, Cl A | ||||||||
2.959%, 12/10/2030 (B) | 411 | 423 | ||||||
Bayview Commercial Asset Trust, Ser 2005-3A, Cl A1 | ||||||||
0.528%, 11/25/2035 (A) (B) | 5,527 | 4,331 | ||||||
Bayview Commercial Asset Trust, Ser 2006-4A, Cl A1 | ||||||||
0.438%, 12/25/2036 (A) (B) | 2,348 | 1,850 | ||||||
BB-UBS Trust, | ||||||||
2.892%, 06/05/2030 (B) | 1,500 | 1,539 | ||||||
BCAP LLC Trust, Ser 2012-RR10, Cl 3A1 | ||||||||
0.426%, 05/26/2036 | 2,046 | 1,893 | ||||||
BCAP LLC Trust, | ||||||||
5.750%, 06/26/2037 (B) | 680 | 696 | ||||||
BCAP LLC Trust, | ||||||||
5.250%, 05/26/2037 (A) (B) | — | — | ||||||
BCAP LLC Trust, | ||||||||
5.500%, 04/26/2037 (A) (B) | 775 | 760 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BCAP LLC Trust, | ||||||||
5.500%, 11/26/2034 (B) | $ | 789 | $ | 839 | ||||
BCAP LLC Trust, | ||||||||
4.500%, 01/26/2036 (A) (B) | 656 | 669 | ||||||
BCAP LLC Trust, | ||||||||
5.249%, 04/26/2037 (A) (B) | 774 | 778 | ||||||
BCAP LLC Trust, | ||||||||
5.500%, 11/26/2037 (A) (B) | 192 | 192 | ||||||
BCAP LLC Trust, | ||||||||
5.003%, 04/26/2035 (A) (B) | 278 | 272 | ||||||
BCAP LLC Trust, | ||||||||
2.690%, 07/26/2045 (A) (B) | 920 | 872 | ||||||
BCAP LLC Trust, | ||||||||
1.010%, 01/26/2036 (A) (B) | 295 | 282 | ||||||
BCAP LLC Trust, | ||||||||
0.854%, 02/26/2047 (A) (B) | 358 | 344 | ||||||
BCAP LLC Trust, | ||||||||
5.063%, 05/26/2035 (A) (B) | 700 | 645 | ||||||
BCAP LLC Trust, | ||||||||
3.262%, 09/26/2037 (A) (B) | 1,020 | 906 | ||||||
BCAP LLC Trust, | ||||||||
5.000%, 08/26/2037 (A) (B) | 839 | 836 | ||||||
BCAP LLC Trust, | ||||||||
0.361%, 05/28/2036 (A) (B) | 931 | 831 | ||||||
BCAP LLC Trust, | ||||||||
2.933%, 07/26/2036 (A) (B) | 627 | 608 | ||||||
BCAP LLC Trust, | ||||||||
0.377%, 08/26/2036 (A) (B) | 860 | 821 | ||||||
BCAP LLC Trust, | ||||||||
4.930%, 05/26/2037 (B) | 841 | 830 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, | ||||||||
5.090%, 05/25/2034 (A) | 218 | 224 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, | ||||||||
5.321%, 05/25/2034 (A) | 694 | 693 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 57 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, | ||||||||
2.240%, 08/25/2035 (A) | $ | 391 | $ | 393 | ||||
Bear Stearns Alt-A Trust, Ser 2004-13, Cl A1 | ||||||||
0.948%, 11/25/2034 (A) | 48 | 47 | ||||||
Bear Stearns Alternative Trust, Ser 2005-2, Cl 2A4 | ||||||||
2.892%, 04/25/2035 (A) | 218 | 179 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
4.830%, 08/15/2038 | 17 | 17 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
5.186%, 05/11/2039 (A) | 3,121 | 3,188 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
4.945%, 02/11/2041 | 93 | 94 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
0.248%, 06/11/2041 (A) (B) | 13,721 | 187 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
4.933%, 02/13/2042 (A) | 163 | 177 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
5.150%, 10/12/2042 (A) | 8,280 | 9,226 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
5.452%, 03/11/2039 (A) | 300 | 339 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
5.755%, 04/12/2038 (A) | 4,815 | 5,476 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
5.537%, 10/12/2041 | 300 | 347 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
5.405%, 12/11/2040 (A) | 400 | 448 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
5.736%, 06/11/2050 | 2,366 | 2,467 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
5.694%, 06/11/2050 (A) | $ | 110 | $ | 130 | ||||
CC Funding, Ser 2004-1A, Cl A1 | ||||||||
0.488%, 01/25/2035 (A) (B) | 38 | 31 | ||||||
CD Commercial Mortgage Trust, Ser 2005-CD1, Cl AJ | ||||||||
5.393%, 07/15/2044 (A) | 600 | 632 | ||||||
CD Commercial Mortgage Trust, Ser 2006-CD2, Cl AM | ||||||||
5.530%, 01/15/2046 (A) | 200 | 216 | ||||||
CD Commercial Mortgage Trust, Ser 2006-CD2, Cl X, IO | ||||||||
0.078%, 01/15/2046 (A) (B) | 71,620 | 134 | ||||||
CD Commercial Mortgage Trust, Ser 2007-CD4, Cl A3 | ||||||||
5.293%, 12/11/2049 | 134 | 139 | ||||||
CD Commercial Mortgage Trust, Ser 2007-CD4, Cl XC, IO | ||||||||
0.146%, 12/11/2049 (A) (B) | 40,324 | 311 | ||||||
CFCRE Commercial Mortgage Trust, Ser 2011-C2, Cl A4 | ||||||||
3.834%, 12/15/2047 | 1,659 | 1,831 | ||||||
Chase Mortgage Finance, Ser 2003-S15, Cl 2A10 | ||||||||
0.658%, 01/25/2034 (A) | 46 | 46 | ||||||
Chase Mortgage Finance, Ser 2003-S9, Cl AP, PO | ||||||||
0.000%, 10/25/2018 | 88 | 84 | ||||||
Chase Mortgage Finance, Ser 2007-A1, Cl 2A1 | ||||||||
2.995%, 02/25/2037 (A) | 282 | 287 | ||||||
Chase Mortgage Finance, Ser 2007-A1, Cl 9A1 | ||||||||
2.980%, 02/25/2037 (A) | 188 | 192 | ||||||
Chase Mortgage Finance, Ser 2007-A2, Cl 1A1 | ||||||||
3.084%, 07/25/2037 (A) | 487 | 484 | ||||||
Citicorp Mortgage Securities, Ser 2004-4, Cl A4 | ||||||||
5.500%, 06/25/2034 | 498 | 521 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2005-C3, Cl A4 | ||||||||
4.860%, 05/15/2043 | 2,624 | 2,839 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2005-C3, Cl AM | ||||||||
4.830%, 05/15/2043 (A) | 440 | 472 | ||||||
Citigroup Mortgage Loan Trust, Ser 2004-HYB1, Cl A41 | ||||||||
3.171%, 02/25/2034 (A) | 69 | 58 | ||||||
Citigroup Mortgage Loan Trust, Ser 2004-RR2, Cl A2 | ||||||||
4.703%, 05/25/2034 (A) (B) | 912 | 947 |
58 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Citigroup Mortgage Loan Trust, Ser 2004-UST1, Cl A6 | ||||||||
5.085%, 08/25/2034 (A) | $ | 213 | $ | 216 | ||||
Citigroup Mortgage Loan Trust, Ser 2005-2, Cl 2A11 | ||||||||
5.500%, 05/25/2035 | 365 | 374 | ||||||
Citigroup Mortgage Loan Trust, Ser 2007-AHL1, Cl A2A | ||||||||
0.248%, 12/25/2036 (A) | 5 | 5 | ||||||
Citigroup Mortgage Loan Trust, Ser 2008-AR4, Cl 1A1A | ||||||||
3.032%, 11/25/2038 (A) (B) | 821 | 836 | ||||||
Citigroup Mortgage Loan Trust, Ser 2009-10, Cl 1A1 | ||||||||
2.447%, 09/25/2033 (A) (B) | 569 | 576 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
5.750%, 05/25/2037 (A) (B) | 918 | 962 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
6.000%, 06/25/2036 (B) | 1,281 | 1,347 | ||||||
Citigroup Mortgage Loan Trust, Ser 2010-12, Cl 4A1 | ||||||||
0.428%, 07/20/2036 (A) (B) | 543 | 521 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
2.610%, 02/25/2035 (A) (B) | 290 | 295 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
4.000%, 11/25/2036 (B) | 2,389 | 2,481 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
4.500%, 12/25/2036 (B) | 2,573 | 2,693 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
0.287%, 02/25/2047 (A) (B) | 328 | 325 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
0.398%, 02/25/2046 (A) (B) | 641 | 593 | ||||||
COBALT CMBS Commercial Mortgage Trust, | ||||||||
5.223%, 08/15/2048 | 1,070 | 1,215 | ||||||
Commercial Mortgage Asset Trust, Ser 1999-C1, Cl A4 | ||||||||
6.975%, 01/17/2032 (A) | 390 | 392 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2001-J2A, Cl A2 | ||||||||
6.096%, 07/16/2034 (B) | 1 | 1 | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
6.304%, 07/16/2034 (B) | 2,500 | 2,500 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
4.982%, 05/10/2043 (A) | $ | 600 | $ | 658 | ||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
5.666%, 03/15/2039 (A) | 825 | 933 | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
5.311%, 12/15/2039 | 13,368 | 15,185 | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
3.391%, 05/15/2045 | 2,770 | 2,980 | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
2.137%, 08/15/2045 (A) | 1,227 | 157 | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
2.752%, 08/15/2045 | 2,464 | 2,589 | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
2.822%, 11/15/2045 | 4,173 | 4,274 | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
2.372%, 11/15/2045 | 1,833 | 1,890 | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
3.288%, 12/10/2044 | 3,148 | 3,367 | ||||||
Countrywide Alternative Loan Trust, Ser 2003-20CB, Cl 1A1 | ||||||||
5.500%, 10/25/2033 | 1,817 | 1,918 | ||||||
Countrywide Alternative Loan Trust, Ser 2004-27CB, Cl A1 | ||||||||
6.000%, 12/25/2034 | 1,800 | 1,757 | ||||||
Countrywide Alternative Loan Trust, Ser 2004-J1, Cl 1A1 | ||||||||
6.000%, 02/25/2034 | 177 | 181 | ||||||
Countrywide Alternative Loan Trust, Ser 2004-J6, Cl 2A1 | ||||||||
6.500%, 11/25/2031 | 765 | 804 | ||||||
Countrywide Alternative Loan Trust, Ser 2004-J6, Cl PO, PO | ||||||||
0.000%, 11/25/2031 | 259 | 246 | ||||||
Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2 | ||||||||
1.254%, 08/25/2035 (A) | 789 | 457 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 59 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-39, Cl A6 | ||||||||
5.000%, 10/25/2033 | $ | 792 | $ | 820 | ||||
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-56, Cl 6A1 | ||||||||
2.816%, 12/25/2033 (A) | 436 | 418 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-J13, Cl 1A7 | ||||||||
5.250%, 01/25/2034 | 1,176 | 1,215 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-J7, Cl 4A3 | ||||||||
9.505%, 08/25/2018 (A) | 73 | 77 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-14, Cl 4A1 | ||||||||
4.935%, 08/25/2034 (A) | 508 | 514 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-20, Cl 2A1 | ||||||||
2.823%, 09/25/2034 (A) | 61 | 49 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-5, Cl 1A4 | ||||||||
5.500%, 06/25/2034 | 665 | 693 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-8, Cl 2A1 | ||||||||
4.500%, 06/25/2019 | 597 | 618 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-20, Cl A7 | ||||||||
5.250%, 12/25/2027 | 729 | 676 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-R3, Cl AF | ||||||||
0.608%, 09/25/2035 (A) (B) | 4,355 | 3,654 | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
5.600%, 09/25/2031 | 203 | 206 | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
5.250%, 11/25/2033 | 1,015 | 1,045 | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
5.250%, 11/25/2033 | 421 | 438 | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
7.000%, 12/25/2033 | 243 | 260 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
6.000%, 11/25/2018 | $ | 399 | $ | 409 | ||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
5.500%, 09/25/2034 | 611 | 653 | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
5.500%, 12/25/2034 | 664 | 698 | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
2.925%, 06/25/2034 (A) | 537 | 540 | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
18.248%, 06/25/2035 (A) | 37 | 38 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C1, Cl A3 | ||||||||
4.813%, 02/15/2038 | 664 | 682 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C2, Cl A4 | ||||||||
4.832%, 04/15/2037 | 2,974 | 3,196 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C3, Cl AM | ||||||||
4.730%, 07/15/2037 | 400 | 431 | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
0.718%, 03/25/2045 (A) (B) | 60 | 60 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-6, Cl 2A1 | ||||||||
0.808%, 07/25/2036 (A) | — | — | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2009-12R, Cl 7A1 | ||||||||
5.500%, 10/27/2035 (B) | 8 | 8 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-12R, Cl 14A1 | ||||||||
2.936%, 09/26/2046 (A) (B) | 391 | 390 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-15R, Cl 7A1 | ||||||||
5.340%, 10/26/2037 (A) (B) | 58 | 57 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-16, Cl A3 | ||||||||
4.250%, 06/25/2050 (A) (B) | 400 | 385 |
60 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-1R, Cl 26A1 | ||||||||
4.750%, 05/27/2037 (B) | $ | 450 | $ | 451 | ||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-16R, Cl 7A3 | ||||||||
3.500%, 12/27/2036 (A) (B) | 334 | 331 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-1R, Cl A1 | ||||||||
1.211%, 02/27/2047 (A) (B) | 1,008 | 999 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-6R, Cl 3A1 | ||||||||
2.968%, 07/28/2036 (A) (B) | 642 | 607 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-7R, Cl A1 | ||||||||
1.465%, 08/28/2047 (A) (B) | 1,358 | 1,345 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-9R, Cl A1 | ||||||||
2.211%, 03/27/2046 (A) (B) | 2,073 | 2,055 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2012-11R, Cl A6 | ||||||||
1.212%, 06/28/2047 (A) (B) | 4,650 | 4,423 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2012-3R, Cl 1A1 | ||||||||
3.250%, 07/27/2037 (A) (B) | 1,262 | 1,276 | ||||||
DBRR Trust, Ser 2011-LC2, Cl A4A | ||||||||
4.537%, 07/12/2044 (A) (B) | 2,845 | 3,315 | ||||||
DBRR Trust, Ser EZ1, Cl A | ||||||||
0.946%, 09/25/2045 (B) | 7,036 | 7,060 | ||||||
DBUBS Mortgage Trust, Ser 2011-LC2A, Cl A4 | ||||||||
4.537%, 07/10/2044 (B) | 4,245 | 4,930 | ||||||
DBUBS Mortgage Trust, Ser 2011-LC3A, Cl XA, IO | ||||||||
1.465%, 08/10/2044 (A) (B) | 6,616 | 315 | ||||||
Deutsche Mortgage Securities, | ||||||||
0.347%, 04/26/2037 (A) (B) | 252 | 245 | ||||||
Deutsche Mortgage Securities, Ser 2010-RS2, Cl A1 | ||||||||
1.462%, 06/28/2047 (A) (B) | 136 | 136 | ||||||
Deutsche Securities Alternative Loan Trust, Ser 2005-1, Cl 2A1 | ||||||||
5.620%, 02/25/2020 (A) | 239 | 246 | ||||||
Developers Diversified Realty, Ser 2009-DDR1, Cl A | ||||||||
3.807%, 10/14/2022 (B) | 5,562 | 5,839 | ||||||
DSLA Mortgage Loan Trust, Ser 2004-AR2, Cl A2B | ||||||||
0.608%, 11/19/2044 (A) | 1,743 | 957 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FDIC Structured Sale Guaranteed Notes, Ser 2010-C1, Cl A | ||||||||
2.980%, 12/06/2020 (B) | $ | 972 | $ | 1,022 | ||||
FDIC Structured Sale Guaranteed Notes, Ser 2010-S1, Cl 1A | ||||||||
0.762%, | 3,332 | 3,339 | ||||||
First Horizon Alternative Mortgage Securities, Ser 2004-AA3, Cl A1 | ||||||||
2.558%, 09/25/2034 (A) | 468 | 459 | ||||||
First Horizon Mortgage Pass-Through Trust, Ser 2003-8, Cl 2A1 | ||||||||
4.500%, 09/25/2018 | 501 | 516 | ||||||
Fontainebleau Miami Beach Trust, Ser 2012-FBLU, Cl A | ||||||||
2.887%, 05/05/2027 (B) | 1,011 | 1,041 | ||||||
GE Business Loan Trust, Ser 2003-2A, Cl A | ||||||||
0.578%, | 1,752 | 1,636 | ||||||
GE Business Loan Trust, Ser 2005-2A, Cl B | ||||||||
0.708%, 11/15/2033 (A) (B) | 1,750 | 1,412 | ||||||
GE Capital Commercial Mortgage, Ser 2005-C1, Cl A5 | ||||||||
4.772%, 06/10/2048 (A) | 75 | 81 | ||||||
GE Capital Commercial Mortgage, | ||||||||
4.826%, 06/10/2048 (A) | 1,000 | 1,056 | ||||||
GE Capital Commercial Mortgage, | ||||||||
4.846%, 06/10/2048 (A) | 500 | 518 | ||||||
GE Capital Commercial Mortgage, | ||||||||
5.543%, 12/10/2049 | 900 | 1,030 | ||||||
GMAC Commercial Mortgage Securities, Ser 2001-C2, Cl B | ||||||||
6.790%, 04/15/2034 | 148 | 147 | ||||||
GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4 | ||||||||
5.023%, 04/10/2040 | 754 | 773 | ||||||
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl A4 | ||||||||
5.238%, 11/10/2045 (A) | 700 | 775 | ||||||
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl AM | ||||||||
5.290%, 11/10/2045 (A) | 1,628 | 1,750 | ||||||
GMAC Commercial Mortgage Securities, Ser C2, Cl A1 | ||||||||
4.576%, 05/10/2040 | 211 | 212 | ||||||
GMAC Mortgage Loan Trust, Ser 2003-AR1, Cl A4 | ||||||||
3.417%, 10/19/2033 (A) | 1,397 | 1,438 | ||||||
GMAC Mortgage Loan Trust, Ser 2003-GH2, Cl A4 | ||||||||
5.000%, 10/25/2033 | 459 | 465 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 61 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GMAC Mortgage Loan Trust, Ser 2003-J7, Cl A7 | ||||||||
5.000%, 11/25/2033 | $ | 724 | $ | 756 | ||||
GMAC Mortgage Loan Trust, Ser 2004-J5, Cl A7 | ||||||||
6.500%, 01/25/2035 | 580 | 598 | ||||||
GMAC Mortgage Loan Trust, Ser 2004-J6, Cl 1A1 | ||||||||
5.000%, 01/25/2020 | 243 | 250 | ||||||
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A7 | ||||||||
5.317%, 06/10/2036 (A) (C) | 8,104 | 8,472 | ||||||
Greenwich Capital Commercial Funding, Ser 2005-GG3, Cl AJ | ||||||||
4.859%, 08/10/2042 (A) | 220 | 233 | ||||||
Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl A5 | ||||||||
5.224%, 04/10/2037 (A) | 5,905 | 6,523 | ||||||
Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl A4 | ||||||||
5.867%, 07/10/2038 (A) | 5,306 | 6,124 | ||||||
Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl A4 | ||||||||
5.444%, 03/10/2039 | 3,334 | 3,845 | ||||||
Greenwich Capital Commercial Funding, Ser GG7, Cl AM | ||||||||
5.867%, 07/10/2038 (A) | 1,160 | 1,291 | ||||||
GS Mortgage Securities II, Ser 2006-GG6, Cl A4 | ||||||||
5.553%, 04/10/2038 (A) | 1,000 | 1,130 | ||||||
GS Mortgage Securities II, | ||||||||
0.604%, | 10,799 | 203 | ||||||
GS Mortgage Securities II, | ||||||||
4.592%, 08/10/2043 (B) | 1,553 | 1,816 | ||||||
GS Mortgage Securities II, | ||||||||
1.761%, | 2,159 | 189 | ||||||
GS Mortgage Securities II, | ||||||||
3.707%, 08/10/2044 | 10,105 | 11,290 | ||||||
GS Mortgage Securities II, | ||||||||
2.773%, 11/10/2045 | 3,655 | 3,741 | ||||||
GS Mortgage Securities II, | ||||||||
2.999%, 08/10/2044 | 55 | 59 | ||||||
GSMPS Mortgage Loan Trust, | ||||||||
8.000%, 09/19/2027 (A) (B) | 4 | 4 | ||||||
GSMPS Mortgage Loan Trust, | ||||||||
5.022%, 09/25/2035 (A) (B) | 442 | 67 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GSMPS Mortgage Loan Trust, | ||||||||
0.557%, 09/25/2035 (A) (B) | $ | 552 | $ | 462 | ||||
GSR Mortgage Loan Trust, | ||||||||
6.000%, 09/25/2034 | 684 | 715 | ||||||
GSR Mortgage Loan Trust, | ||||||||
0.708%, 06/25/2035 (A) | 170 | 161 | ||||||
GSR Mortgage Loan Trust, | ||||||||
5.500%, 01/25/2037 | 116 | 119 | ||||||
Homestar Mortgage Acceptance, | ||||||||
0.658%, 10/25/2034 (A) | 874 | 844 | ||||||
Impac CMB Trust, | ||||||||
0.507%, 05/25/2035 (A) | 398 | 392 | ||||||
Impac Funding LLC, | ||||||||
5.314%, 01/25/2051 (B) | 4,483 | 5,099 | ||||||
Impac Secured Assets CMN Owner Trust, Ser 2003-2, Cl A1 | ||||||||
5.500%, 08/25/2033 | 601 | 630 | ||||||
Impac Secured Assets Trust, | ||||||||
0.557%, 05/25/2036 (A) | 492 | 486 | ||||||
Impac Secured Assets Trust, | ||||||||
0.557%, 08/25/2036 (A) | 1,306 | 1,307 | ||||||
Indymac INDA Mortgage Loan Trust, | ||||||||
3.445%, 11/25/2037 (A) | 1,304 | 1,127 | ||||||
Indymac Index Mortgage Loan Trust, | ||||||||
3.059%, 10/25/2034 (A) | 28 | 28 | ||||||
Indymac Index Mortgage Loan Trust, | ||||||||
0.538%, 09/25/2034 (A) | 39 | 28 | ||||||
Indymac Index Mortgage Loan Trust, | ||||||||
1.007%, 11/25/2034 (A) | 61 | 47 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
6.847%, 04/15/2035 (A) | 851 | 852 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-C2, Cl B | ||||||||
5.211%, 12/12/2034 (A) | 282 | 283 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2004-C3, Cl A5 | ||||||||
4.878%, 01/15/2042 | 85 | 91 |
62 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2004-LN2, Cl A2 | ||||||||
5.115%, 07/15/2041 | $ | 3,808 | $ | 4,028 | ||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-CB11, Cl AJ | ||||||||
5.363%, 08/12/2037 (A) | 700 | 751 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP2, Cl A3A | ||||||||
4.678%, 07/15/2042 | 342 | 346 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-CB15, Cl X1, IO | ||||||||
0.073%, 06/12/2043 (A) | 50,699 | 352 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.399%, 05/15/2045 | 680 | 784 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP8, Cl AM | ||||||||
5.440%, 05/15/2045 | 749 | 840 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A2 | ||||||||
5.134%, 05/15/2047 | 557 | 584 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A3 | ||||||||
5.336%, 05/15/2047 | 1,150 | 1,314 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A3SF | ||||||||
0.363%, 05/15/2047 (A) | 800 | 764 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-C1, Cl A4 | ||||||||
5.716%, 02/15/2051 | 1,167 | 1,382 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-CNTR, Cl A1 | ||||||||
3.300%, 08/05/2032 (B) | 978 | 1,049 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-CNTR, Cl A2 | ||||||||
4.311%, 08/05/2032 (B) | 1,668 | 1,857 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C3, Cl A4 | ||||||||
4.717%, 02/16/2046 (B) | 1,530 | 1,788 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C5, Cl A2 | ||||||||
3.149%, 08/15/2046 | 740 | 800 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2012-C8, Cl ASB | ||||||||
2.379%, 10/15/2045 | $ | 1,972 | $ | 2,033 | ||||
JPMorgan Chase Commercial Mortgage Securities, Ser CB18, Cl A4 | ||||||||
5.440%, 06/12/2047 | 150 | 173 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser LD11, Cl A4 | ||||||||
6.003%, 06/15/2049 (A) | 2,408 | 2,809 | ||||||
JPMorgan Mortgage Trust, Ser 2004-A3, Cl 4A1 | ||||||||
3.047%, 07/25/2034 (A) | 137 | 138 | ||||||
JPMorgan Mortgage Trust, Ser 2004-A3, Cl SF3 | ||||||||
2.393%, 06/25/2034 (A) | 1,927 | 1,948 | ||||||
JPMorgan Mortgage Trust, Ser 2004-A4, Cl 1A1 | ||||||||
3.035%, 09/25/2034 (A) | 142 | 145 | ||||||
JPMorgan Mortgage Trust, Ser 2004-A5, Cl 4A4 | ||||||||
2.565%, 12/25/2034 (A) | 11,349 | 11,519 | ||||||
JPMorgan Mortgage Trust, Ser 2005-A1, Cl 3A4 | ||||||||
4.997%, 02/25/2035 (A) | 872 | 894 | ||||||
JPMorgan Mortgage Trust, Ser 2005-A2, Cl 5A2 | ||||||||
4.281%, 04/25/2035 (A) | 360 | 366 | ||||||
JPMorgan Mortgage Trust, Ser 2005-A3, Cl 3A3 | ||||||||
2.589%, 06/25/2035 (A) | 12 | 12 | ||||||
JPMorgan Mortgage Trust, Ser 2005-A3, Cl 5A3 | ||||||||
2.835%, 06/25/2035 (A) | 595 | 556 | ||||||
JPMorgan Mortgage Trust, Ser 2005-A5, Cl 3A2 | ||||||||
2.752%, 08/25/2035 (A) | 188 | 189 | ||||||
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 4A1 | ||||||||
3.014%, 08/25/2034 (A) | 1,356 | 1,367 | ||||||
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 5A3 | ||||||||
2.857%, 11/25/2033 (A) | 1,132 | 1,146 | ||||||
JPMorgan Mortgage Trust, Ser 2006-A3, Cl 6A1 | ||||||||
3.009%, 08/25/2034 (A) | 546 | 539 | ||||||
JPMorgan Re-REMIC, Ser 2009-6, Cl 4A1 | ||||||||
5.479%, 09/26/2036 (A) (B) | 422 | 417 | ||||||
JPMorgan Re-REMIC, Ser 2010-4, Cl 7A1 | ||||||||
1.865%, 08/26/2035 (A) (B) | 324 | 321 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 63 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
LB Commercial Conduit Mortgage Trust, Ser 2007-C3, Cl A3 | ||||||||
5.879%, 07/15/2044 (A) | $ | 844 | $ | 888 | ||||
LB-UBS Commercial Mortgage Trust, Ser 2004-C7, Cl A5 | ||||||||
4.628%, 10/15/2029 | 338 | 345 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2004-C8, Cl A6 | ||||||||
4.799%, 12/15/2029 (A) | 441 | 466 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2005-C3, Cl AM | ||||||||
4.794%, 07/15/2040 | 2,815 | 3,041 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl A4 | ||||||||
5.156%, 02/15/2031 | 350 | 391 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl XCL, IO | ||||||||
0.144%, 02/15/2041 (A) (B) | 23,299 | 241 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C4, Cl A4 | ||||||||
5.866%, 06/15/2038 (A) | 450 | 520 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A3 | ||||||||
5.398%, 02/15/2040 | 258 | 268 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl AM | ||||||||
5.455%, 02/15/2040 | 150 | 167 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C6, Cl A4 | ||||||||
5.858%, 07/15/2040 (A) | 1,740 | 2,081 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C7, Cl A3 | ||||||||
5.866%, 09/15/2045 (A) | 490 | 588 | ||||||
LB-UBS Commercial Mortgage Trust, Ser C1, Cl A4 | ||||||||
5.424%, 02/15/2040 | 324 | 377 | ||||||
LVII Resecuritization Trust, Ser 2009-2, Cl A5 | ||||||||
3.000%, 09/27/2037 (A) (B) | 362 | 364 | ||||||
LVII Resecuritization Trust, Ser 2009-3, Cl M3 | ||||||||
5.553%, 11/27/2037 (A) (B) | 300 | 319 | ||||||
Master Alternative Loans Trust, Ser 2004-4, Cl 1A1 | ||||||||
5.500%, 05/25/2034 | 1,955 | 2,054 | ||||||
Master Reperforming Loan Trust, Ser 2006-1, Cl 1A1F | ||||||||
0.568%, 07/25/2035 (A) (B) | 1,238 | 958 | ||||||
Master Resecuritization Trust Ser 2005-PO, Cl 3PO, PO | ||||||||
0.000%, 05/28/2035 (B) | 224 | 179 | ||||||
Master Seasoned Securities Trust, Ser 2004-2, Cl A2 | ||||||||
6.500%, 08/25/2032 | 17 | 18 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Master Seasoned Securities Trust, Ser 2005-1, Cl 4A1 | ||||||||
2.511%, 10/25/2032 (A) | $ | 122 | $ | 123 | ||||
MASTR Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A6 | ||||||||
2.627%, 11/21/2034 (A) | 114 | 115 | ||||||
MASTR Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A7 | ||||||||
2.627%, 11/21/2034 (A) | 1,585 | 1,642 | ||||||
MASTR Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A7A | ||||||||
2.627%, 11/21/2034 (A) | 11,650 | 11,990 | ||||||
MASTR Adjustable Rate Mortgages Trust, Ser 2004-5, Cl 3A1 | ||||||||
3.118%, 06/25/2034 (A) | 48 | 45 | ||||||
MASTR Alternative Loans Trust, Ser 2003-9, Cl 2A1 | ||||||||
6.000%, 12/25/2033 | 304 | 321 | ||||||
MASTR Alternative Loans Trust, Ser 2006-3, Cl AA3 | ||||||||
6.250%, 07/25/2036 | 710 | 566 | ||||||
MASTR Asset Securitization Trust, Ser 2003-11, Cl 9A6 | ||||||||
5.250%, 12/25/2033 | 880 | 917 | ||||||
MASTR Asset Securitization Trust, Ser 2003-2, Cl 1A1 | ||||||||
5.000%, 03/25/2018 | 72 | 74 | ||||||
MASTR Asset Securitization Trust, Ser 2003-3, Cl 3A18 | ||||||||
5.500%, 04/25/2033 | 278 | 287 | ||||||
MASTR Reperforming Loan Trust, Ser 2005-1, Cl 1A1 | ||||||||
6.000%, 08/25/2034 (B) | 2,770 | 2,710 | ||||||
MASTR Reperforming Loan Trust, Ser 2005-2, Cl 1A1F | ||||||||
0.557%, 05/25/2035 (A) (B) | 548 | 432 | ||||||
MASTR Seasoned Securities Trust, Ser 2004-1, Cl 4A1 | ||||||||
2.850%, 10/25/2032 (A) | 13 | 13 | ||||||
Merrill Lynch Mortgage Investors, Ser 2003-A4, Cl 2A | ||||||||
2.753%, 07/25/2033 (A) | 158 | 162 | ||||||
Merrill Lynch Mortgage Investors, Ser 2004-1, Cl 2A1 | ||||||||
2.515%, 12/25/2034 (A) | 580 | 586 | ||||||
Merrill Lynch Mortgage Investors, Ser 2004-A, Cl A2 | ||||||||
0.905%, 04/25/2029 (A) | 363 | 344 | ||||||
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 2A1 | ||||||||
2.724%, 02/25/2034 (A) | 168 | 169 |
64 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A | ||||||||
5.182%, 02/25/2034 (A) | $ | 1,494 | $ | 1,543 | ||||
Merrill Lynch Mortgage Investors, Ser 2004-A4, Cl A2 | ||||||||
2.580%, 08/25/2034 (A) | 326 | 330 | ||||||
Merrill Lynch Mortgage Investors, Ser 2004-B, Cl A3 | ||||||||
2.344%, 05/25/2029 (A) | 518 | 516 | ||||||
Merrill Lynch Mortgage Investors, Ser 2004-D, Cl A2 | ||||||||
1.434%, 09/25/2029 (A) | 407 | 392 | ||||||
Merrill Lynch Mortgage Investors, Ser 2005-1, Cl 2A1 | ||||||||
2.499%, 04/25/2035 (A) | 59 | 58 | ||||||
Merrill Lynch Mortgage Investors, Ser 2006-1, Cl 1A | ||||||||
2.774%, 02/25/2036 (A) | 343 | 306 | ||||||
Merrill Lynch Mortgage Trust, Ser 2005-CIP1, Cl A3A | ||||||||
4.949%, 07/12/2038 (A) | 1,069 | 1,125 | ||||||
Merrill Lynch Mortgage Trust, Ser 2005-LC1, Cl A4 | ||||||||
5.291%, 01/12/2044 (A) | 1,170 | 1,303 | ||||||
Merrill Lynch Mortgage Trust, Ser 2005-LC1, Cl AJ | ||||||||
5.382%, 01/12/2044 (A) | 480 | 521 | ||||||
Merrill Lynch Mortgage Trust, Ser 2006-C1, Cl A4 | ||||||||
5.685%, 05/12/2039 (A) | 505 | 579 | ||||||
Merrill Lynch Mortgage Trust, Ser 2007-C1, Cl A4 | ||||||||
6.041%, 06/12/2050 (A) | 30 | 35 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-4, Cl A3 | ||||||||
5.172%, 12/12/2049 (A) | 4,893 | 5,560 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-4, Cl AM | ||||||||
5.204%, 12/12/2049 (A) | 360 | 393 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-4, Cl XC, IO | ||||||||
0.195%, 12/12/2049 (A) (B) | 15,244 | 190 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-6, Cl A4 | ||||||||
5.485%, 03/12/2051 (A) | 450 | 519 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-9, Cl A4 | ||||||||
5.700%, 09/12/2049 | 300 | 351 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C5, IO | ||||||||
1.941%, 08/15/2045 (A) (B) | $ | 5,160 | $ | 587 | ||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C5, Cl A3 | ||||||||
2.825%, 08/15/2045 | 1,481 | 1,557 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C6, Cl A3 | ||||||||
2.506%, 11/15/2045 | 3,654 | 3,749 | ||||||
Morgan Stanley Capital I, Ser 2004-T13, Cl A3 | ||||||||
4.390%, 09/13/2045 | 165 | 166 | ||||||
Morgan Stanley Capital I, Ser 2005-HQ5, Cl AAB | ||||||||
5.037%, 01/14/2042 | 208 | 211 | ||||||
Morgan Stanley Capital I, Ser 2005-HQ7, Cl AAB | ||||||||
5.188%, 11/14/2042 (A) | 225 | 225 | ||||||
Morgan Stanley Capital I, Ser 2005-T19, Cl A4A | ||||||||
4.890%, 06/12/2047 | 7,400 | 8,105 | ||||||
Morgan Stanley Capital I, Ser 2006-HQ9, Cl A4 | ||||||||
5.731%, 07/12/2044 (A) | 4,685 | 5,398 | ||||||
Morgan Stanley Capital I, Ser 2006-T21, Cl A4 | ||||||||
5.162%, 10/12/2052 (A) | 11,945 | 13,355 | ||||||
Morgan Stanley Capital I, Ser 2006-T23, Cl A4 | ||||||||
5.983%, 08/12/2041 (A) | 6,350 | 7,392 | ||||||
Morgan Stanley Capital I, Ser 2007-HQ11, Cl X, IO | ||||||||
0.226%, 02/12/2044 (A) (B) | 42,553 | 262 | ||||||
Morgan Stanley Capital I, Ser 2007-IQ15, Cl A4 | ||||||||
5.880%, 06/11/2049 (A) | 1,000 | 1,183 | ||||||
Morgan Stanley Capital I, Ser 2007-T27, Cl A4 | ||||||||
5.820%, 06/11/2042 (A) | 300 | 357 | ||||||
Morgan Stanley Capital I, Ser 2011-C3, Cl A2 | ||||||||
3.224%, 07/15/2049 | 1,620 | 1,748 | ||||||
Morgan Stanley Capital I, Ser 2011-C3, Cl A3 | ||||||||
4.054%, 07/15/2049 | 340 | 384 | ||||||
Morgan Stanley Capital I, Ser 2011-C3, Cl A4 | ||||||||
4.118%, 07/15/2049 | 950 | 1,079 | ||||||
Morgan Stanley Capital I, Ser 2012-C4, Cl A4 | ||||||||
3.244%, 03/15/2045 | 5,227 | 5,594 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 65 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2001-TOP3, Cl A4 | ||||||||
6.390%, 07/15/2033 | $ | 47 | $ | 47 | ||||
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl A2 | ||||||||
4.920%, 03/12/2035 | 363 | 363 | ||||||
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl B | ||||||||
5.040%, 03/12/2035 | 721 | 724 | ||||||
Morgan Stanley Mortgage Loan Trust, Ser 2004-3, Cl 4A | ||||||||
5.671%, 04/25/2034 (A) | 602 | 629 | ||||||
Morgan Stanley Mortgage Loan Trust, Ser 2007-3XS, Cl 2A3S | ||||||||
5.858%, 01/25/2047 | 27 | 20 | ||||||
Morgan Stanley Mortgage Loan Trust, Ser 2007-6XS, Cl 2A1S | ||||||||
0.322%, 02/25/2047 (A) | 170 | 150 | ||||||
Morgan Stanley Re-REMIC Trust | ||||||||
2.000%, 07/27/2049 | 2,971 | 3,007 | ||||||
Morgan Stanley Re-REMIC Trust, Ser 2009-IO, Cl A1 | ||||||||
3.000%, 07/17/2056 (B) | 48 | 48 | ||||||
Morgan Stanley Re-REMIC Trust, Ser 2009-IO, Cl A2 | ||||||||
5.000%, 07/17/2056 (B) | 1,300 | 1,324 | ||||||
Morgan Stanley Re-REMIC Trust, Ser 2010-C30A, Cl A3A | ||||||||
3.250%, 12/17/2043 (B) | 120 | 120 | ||||||
Morgan Stanley Re-REMIC Trust, Ser 2010-HQ4B, Cl A7A | ||||||||
4.970%, 04/16/2040 (B) | 1,300 | 1,369 | ||||||
Morgan Stanley Re-REMIC Trust, Ser 2011-IO, Cl A | ||||||||
2.500%, 03/23/2051 (B) | 1,220 | 1,233 | ||||||
Morgan Stanley Re-REMIC Trust, Ser 2012-XA, Cl B | ||||||||
0.250%, 07/27/2049 | 400 | 299 | ||||||
Motel 6 Trust, Ser MTL6, Cl A2 | ||||||||
1.948%, 10/05/2025 (B) | 4,434 | 4,450 | ||||||
MYMT Residential LLC | ||||||||
0.450%, 01/20/2063 | 1,500 | 1,499 | ||||||
New York Mortgage Trust, Ser 2006-1, Cl 2A2 | ||||||||
2.976%, 05/25/2036 (A) | 541 | 453 | ||||||
Nomura Resecuritization Trust, Ser 2010-6RA, Cl 1A5 | ||||||||
2.520%, 03/26/2036 (A) (B) | 647 | 650 | ||||||
NorthStar Mortgage Trust, Ser 2012-1, Cl A | ||||||||
1.408%, 08/25/2029 (A) (B) | 1,119 | 1,113 | ||||||
Prime Mortgage Trust, | ||||||||
6.000%, 02/25/2034 | 247 | 272 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Prime Mortgage Trust, | ||||||||
0.000%, 02/25/2034 | $ | 72 | $ | 61 | ||||
Prime Mortgage Trust, | ||||||||
5.500%, 05/25/2035 (B) | 2,291 | 2,282 | ||||||
RALI Trust, Ser 2003-QS17, Cl NB1 | ||||||||
5.250%, 09/25/2033 | 5 | 5 | ||||||
RALI Trust, Ser 2005-QO5 | ||||||||
1.154%, 01/25/2046 (A) | 1,275 | 803 | ||||||
RAMP Trust, Ser 2004-SL1, Cl A7 | ||||||||
7.000%, 11/25/2031 | 178 | 187 | ||||||
RAMP Trust, Ser 2005-SL1, Cl A5 | ||||||||
6.500%, 05/25/2032 | 58 | 57 | ||||||
RBSSP Resecuritization Trust, Ser 2010-12, Cl 8A1 | ||||||||
4.000%, 06/27/2021 (B) | 423 | 426 | ||||||
RBSSP Resecuritization Trust, Ser 2010-9, Cl 7A5 | ||||||||
4.000%, 05/26/2037 (A) (B) | 774 | 774 | ||||||
RBSSP Resecuritization Trust, Ser 2012-3, Cl 3A1 | ||||||||
0.358%, 09/26/2036 (A) (B) | 877 | 800 | ||||||
RCMC LLC, Ser CRE1, Cl A | ||||||||
5.624%, 11/15/2044 (B) | 989 | 994 | ||||||
Residential Accredit Loans, Ser 2003-QS15, Cl A7 | ||||||||
5.500%, 08/25/2033 | 661 | 683 | ||||||
Residential Accredit Loans, Ser 2003-QS18, Cl A1 | ||||||||
5.000%, 09/25/2018 | 298 | 308 | ||||||
Residential Accredit Loans, Ser 2003-QS19, Cl A1 | ||||||||
5.750%, 10/25/2033 | 375 | 390 | ||||||
Residential Accredit Loans, Ser 2004-QS7, Cl A4 | ||||||||
5.500%, 05/25/2034 | 1,594 | 1,475 | ||||||
Residential Accredit Loans, Ser 2005-QO2, Cl A1 | ||||||||
1.514%, 09/25/2045 (A) | 922 | 672 | ||||||
Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8 | ||||||||
6.500%, 11/25/2031 | 635 | 655 | ||||||
Residential Asset Mortgage Products, Ser 2004-SL3, Cl A2 | ||||||||
6.500%, 12/25/2031 | 1,216 | 1,222 | ||||||
Residential Asset Securitization Trust, Ser 2003-A5, Cl A1 | ||||||||
5.500%, 06/25/2033 | 388 | 405 | ||||||
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 | ||||||||
2.780%, 12/25/2034 (A) | 1,447 | 1,454 | ||||||
Residential Funding Mortgage Securities I, Ser 2003-S4, Cl A4 | ||||||||
5.750%, 03/25/2033 | 347 | 354 |
66 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Residential Funding Mortgage Securities I, Ser 2004-S5, Cl 1A9 | ||||||||
5.500%, 05/25/2022 | $ | 497 | $ | 498 | ||||
Salomon Brothers Mortgage Securities VII, Ser 2003-HYB1, Cl A | ||||||||
3.099%, 09/25/2033 (A) | 606 | 615 | ||||||
Sequoia Mortgage Trust, Ser 2004-12, Cl A3 | ||||||||
1.057%, 01/20/2035 (A) | 802 | 648 | ||||||
Sequoia Mortgage Trust, Ser 2010-H1, Cl A1 | ||||||||
3.750%, 02/25/2040 (A) | 192 | 194 | ||||||
Sequoia Mortgage Trust, Ser 2011-1, Cl A1 | ||||||||
4.125%, 02/25/2041 (A) | 349 | 355 | ||||||
Springleaf Mortgage Loan Trust, Ser 2011-1A, Cl A1 | ||||||||
4.050%, 01/25/2058 (A) (B) | 844 | 869 | ||||||
Springleaf Mortgage Loan Trust, Ser 2011-1A, Cl A2 | ||||||||
5.450%, 01/25/2058 (A) (B) | 1,000 | 1,054 | ||||||
Springleaf Mortgage Loan Trust, Ser 2012-1A, Cl A | ||||||||
2.667%, 09/25/2057 (A) (B) | 384 | 389 | ||||||
Springleaf Mortgage Loan Trust, Ser 2012-1A, Cl M3 | ||||||||
6.000%, 09/25/2057 (A) (B) | 700 | 692 | ||||||
Springleaf Mortgage Loan Trust, Ser 2012-2A, Cl A | ||||||||
2.220%, 10/25/2057 (A) (B) | 1,350 | 1,364 | ||||||
Springleaf Mortgage Loan Trust, Ser 2012-2A, Cl M4 | ||||||||
6.000%, 10/25/2057 (A) (B) | 800 | 801 | ||||||
Springleaf Mortgage Loan Trust, Ser 2012-3A, Cl A | ||||||||
1.570%, 12/25/2059 (A) (B) | 1,857 | 1,863 | ||||||
Springleaf Mortgage Loan Trust, Ser 2012-3A, Cl M1 | ||||||||
2.660%, 12/25/2059 (A) (B) | 432 | 433 | ||||||
Springleaf Mortgage Loan Trust, Ser 2012-3A, Cl M2 | ||||||||
3.560%, 12/25/2059 (A) (B) | 330 | 330 | ||||||
Springleaf Mortgage Loan Trust, Ser 2012-3A, Cl M3 | ||||||||
4.440%, 12/25/2059 (A) (B) | 253 | 254 | ||||||
Springleaf Mortgage Loan Trust, Ser 2012-3A, Cl M4 | ||||||||
4.440%, 12/25/2059 (A) (B) | 121 | 121 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Ser 2004-6, Cl 5A4 | ||||||||
4.902%, 06/25/2034 (A) | 600 | 605 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Structured Adjustable Rate Mortgage Loan Trust, | ||||||||
0.298%, 10/25/2035 (A) | $ | 3,939 | $ | 3,009 | ||||
Structured Asset Mortgage Investments, Ser 2004-AR5, Cl 1A1 | ||||||||
0.867%, 10/19/2034 (A) | 296 | 285 | ||||||
Structured Asset Securities, Ser 2001-15A, Cl 4A1 | ||||||||
2.560%, 10/25/2031 (A) | 54 | 54 | ||||||
Structured Asset Securities, Ser 2003-16, Cl A3 | ||||||||
0.708%, 06/25/2033 (A) | 415 | 401 | ||||||
Structured Asset Securities, Ser 2003-31A, Cl 2A7 | ||||||||
2.802%, 10/25/2033 (A) | 9,076 | 9,067 | ||||||
Structured Asset Securities, Ser 2003-32, Cl 1A1 | ||||||||
5.326%, 11/25/2033 (A) | 161 | 171 | ||||||
Structured Asset Securities, Ser 2003-33H, Cl 1A1 | ||||||||
5.500%, 10/25/2033 | 688 | 696 | ||||||
Structured Asset Securities, Ser 2003-37A, Cl 2A | ||||||||
4.986%, 12/25/2033 (A) | 235 | 240 | ||||||
Structured Asset Securities, Ser 2004-5H, Cl A4 | ||||||||
5.540%, 12/25/2033 | 759 | 757 | ||||||
Thornburg Mortgage Securities Trust, Ser 2003-4, Cl A1 | ||||||||
0.848%, 09/25/2043 (A) | 624 | 620 | ||||||
TIAA Seasoned Commercial Mortgage Trust, Ser 2007-C4, Cl A3 | ||||||||
5.585%, 08/15/2039 (A) | 2,358 | 2,498 | ||||||
UBS-BAMLL Trust, | ||||||||
3.663%, 06/10/2030 (B) | 866 | 925 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, Cl A4 | ||||||||
3.525%, 05/10/2063 | 416 | 451 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, Cl XA, IO | ||||||||
1.987%, 05/10/2063 (A) (B) | 3,728 | 397 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C3, Cl A3 | ||||||||
2.728%, 08/10/2049 | 2,058 | 2,152 | ||||||
Vendee Mortgage Trust CMO, Ser 1993-1, Cl ZB | ||||||||
7.250%, 02/15/2023 | 2,099 | 2,485 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 67 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Vericrest Opportunity Loan Transferee, Ser 2012-NL1A, Cl A1 | ||||||||
4.213%, 03/25/2049 (A) (B) | $ | 84 | $ | 84 | ||||
Vericrest Opportunity Loan Transferee, Ser 2012-NL2A, Cl A1 | ||||||||
2.487%, 02/26/2052 (B) | 1,011 | 1,013 | ||||||
Vericrest Opportunity Loan Transferee, Ser 2012-NL3A, Cl A | ||||||||
2.734%, 11/25/2060 (A) (B) | 1,820 | 1,820 | ||||||
VNO Mortgage Trust, | ||||||||
2.996%, 11/15/2030 (B) | 777 | 796 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C7, Cl A1 | ||||||||
4.241%, 10/15/2035 (B) | 75 | 75 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A3 | ||||||||
4.445%, 11/15/2035 | 230 | 232 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2005-C20, Cl A7 | ||||||||
5.118%, 07/15/2042 (A) | 130 | 143 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2005-C22, Cl A4 | ||||||||
5.469%, 12/15/2044 (A) | 1,000 | 1,120 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2006-C26, Cl XC, IO | ||||||||
0.042%, 06/15/2045 (A) (B) | 83,182 | 199 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2006-C29, Cl A4 | ||||||||
5.308%, 11/15/2048 | 660 | 761 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2002-AR18, Cl A | ||||||||
2.492%, 01/25/2033 (A) | 336 | 339 | ||||||
Wamu Mortgage Pass-Through Certificates, Ser 2002-AR6, Cl A | ||||||||
1.560%, 06/25/2042 (A) | 26 | 24 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR10, Cl A7 | ||||||||
2.513%, 10/25/2033 (A) | 447 | 460 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR6, Cl A1 | ||||||||
2.444%, 06/25/2033 (A) | 431 | 443 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR7, Cl A7 | ||||||||
2.318%, 08/25/2033 (A) | $ | 376 | $ | 376 | ||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR8, Cl A | ||||||||
2.462%, 08/25/2033 (A) | 234 | 239 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 1A6 | ||||||||
2.447%, 09/25/2033 (A) | 803 | 819 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 2A | ||||||||
2.544%, 09/25/2033 (A) | 313 | 314 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-MS1, Cl 1A | ||||||||
5.000%, 02/25/2018 | 179 | 181 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-S11, Cl 2A5 | ||||||||
16.479%, 11/25/2033 (A) | 46 | 46 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-S13, Cl 21A1 | ||||||||
4.500%, 12/25/2018 | 258 | 267 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A10 | ||||||||
16.892%, 06/25/2033 (A) | 89 | 109 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-S9, Cl A8 | ||||||||
5.250%, 10/25/2033 | 1,749 | 1,835 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A1 | ||||||||
2.579%, 06/25/2034 (A) | 222 | 226 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A2 | ||||||||
2.579%, 06/25/2034 (A) | 291 | 296 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-CB2, Cl 7A | ||||||||
5.500%, 08/25/2019 | 491 | 513 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-S1, Cl 1A3 | ||||||||
0.608%, 03/25/2034 (A) | 81 | 80 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-S2, Cl 2A4 | ||||||||
5.500%, 06/25/2034 | 793 | 838 |
68 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A1 | ||||||||
0.637%, 10/25/2045 (A) | $ | 3,217 | $ | 2,937 | ||||
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR15, Cl A1A2 | ||||||||
0.488%, 11/25/2045 (A) | 5,036 | 4,323 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR19, Cl A1A2 | ||||||||
0.497%, 12/25/2045 (A) | 4,762 | 4,336 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR1, Cl 1A1B | ||||||||
1.224%, 01/25/2046 (A) | 2,816 | 998 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR13, Cl 2A | ||||||||
2.569%, 10/25/2046 (A) | 1,149 | 1,020 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR14, Cl 1A4 | ||||||||
2.298%, 11/25/2036 (A) | 370 | 293 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 1A1B | ||||||||
0.994%, 11/25/2046 (A) | 1,449 | 271 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 2A1B | ||||||||
2.569%, 11/25/2046 (A) | 1,543 | 448 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR17, Cl 1A1B | ||||||||
0.964%, 12/25/2046 (A) | 504 | 236 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR17, Cl 2A | ||||||||
2.569%, 12/25/2046 (A) | 519 | 441 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR4, Cl DA | ||||||||
1.124%, 06/25/2046 (A) | 1,084 | 517 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2007-HY1, Cl 1A1 | ||||||||
2.526%, 02/25/2037 (A) | 4,361 | 3,143 | ||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser 2005-3, | ||||||||
5.500%, 05/25/2035 | 631 | 173 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates, Ser 2003-MS2, Cl 1A1 | ||||||||
5.750%, 02/25/2033 | $ | 99 | $ | 104 | ||||
Washington Mutual MSC Mortgage Pass-Through Certificates, Ser 2003-MS8, Cl 1P, PO | ||||||||
0.000%, 05/25/2033 | 194 | 182 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates, Ser 2003-MS9, Cl 2P, PO | ||||||||
0.000%, 04/25/2033 | 281 | 257 | ||||||
Wells Fargo Mortgage Loan Trust, Ser 2012-RR1, Cl A1 | ||||||||
2.847%, 08/27/2037 (A) (B) | 493 | 500 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-15, Cl 1A1 | ||||||||
4.750%, 12/25/2018 | 722 | 747 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-17, Cl 2A10 | ||||||||
5.500%, 01/25/2034 | 396 | 416 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-J, Cl 2A5 | ||||||||
4.427%, 10/25/2033 (A) | 42 | 43 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-K, Cl 1A1 | ||||||||
4.435%, 11/25/2033 (A) | 522 | 535 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-B, Cl A1 | ||||||||
4.974%, 02/25/2034 (A) | 348 | 357 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-E, Cl A2 | ||||||||
4.500%, 05/25/2034 (A) | 91 | 93 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A1 | ||||||||
2.626%, 12/25/2034 (A) | 646 | 666 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A2 | ||||||||
2.626%, 12/25/2034 (A) | 431 | 444 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 3A1 | ||||||||
3.036%, 12/25/2034 (A) | 198 | 205 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 69 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 3A2 | ||||||||
3.036%, 12/25/2034 (A) | $ | 297 | $ | 309 | ||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-I, Cl 1A1 | ||||||||
2.772%, 07/25/2034 (A) | 711 | 719 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-O, Cl A1 | ||||||||
4.921%, 08/25/2034 (A) | 269 | 280 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-P, Cl 2A1 | ||||||||
2.616%, 09/25/2034 (A) | 1,203 | 1,215 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-V, Cl 1A1 | ||||||||
2.654%, 10/25/2034 (A) | 564 | 577 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-V, Cl 1A2 | ||||||||
2.654%, 10/25/2034 (A) | 451 | 464 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-1, Cl 2A1 | ||||||||
5.000%, 01/25/2020 | 234 | 247 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-13, Cl A1 | ||||||||
5.000%, 11/25/2020 | 175 | 185 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
5.338%, 08/25/2035 (A) | 490 | 494 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR8, Cl 2A1 | ||||||||
2.727%, 06/25/2035 (A) | 833 | 850 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR9, Cl 2A1 | ||||||||
2.742%, 10/25/2033 (A) | 269 | 274 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR18, Cl 1A1 | ||||||||
5.522%, 11/25/2036 (A) | 616 | 602 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR8, Cl 1A3 | ||||||||
2.678%, 04/25/2036 (A) | 698 | 688 | ||||||
Wells Fargo Re-REMIC Trust, Ser 2012-IO, Cl A | ||||||||
1.750%, 08/20/2021 (B) | 1,280 | 1,278 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WF-RBS Commercial Mortgage Trust, Ser 2011-C2, Cl XA, IO | ||||||||
1.156%, 02/15/2044 (A) (B) | $ | 8,228 | $ | 408 | ||||
WF-RBS Commercial Mortgage Trust, Ser 2011-C3, Cl A4 | ||||||||
4.375%, 03/15/2044 (B) | 600 | 685 | ||||||
WF-RBS Commercial Mortgage Trust, Ser 2011-C5, Cl A4 | ||||||||
3.667%, 11/15/2044 | 4,610 | 5,064 | ||||||
WF-RBS Commercial Mortgage Trust, Ser 2012-C7, Cl A2 | ||||||||
3.431%, 06/15/2045 | 4,920 | 5,302 | ||||||
WF-RBS Commercial Mortgage Trust, Ser 2012-C7, Cl XA, IO | ||||||||
1.765%, 06/15/2045 to 06/15/2045 (A) (B) | 3,225 | 356 | ||||||
WF-RBS Commercial Mortgage Trust, Ser 2012-C8, Cl A3 | ||||||||
3.001%, 08/15/2045 | 3,740 | 3,906 | ||||||
|
| |||||||
546,143 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities (Cost $3,044,249) ($ Thousands) |
| 3,162,571 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 26.7% |
| |||||||
U.S. Treasury Bills (D) | ||||||||
0.133%, 05/16/2013 | 8,900 | 8,895 | ||||||
0.104%, 12/13/2012 | 405 | 405 | ||||||
0.100%, 01/10/2013 | 10,620 | 10,620 | ||||||
U.S. Treasury Bonds | ||||||||
8.875%, 08/15/2017 | 5,960 | 8,259 | ||||||
8.750%, 05/15/2020 | 5,245 | 8,140 | ||||||
8.750%, 08/15/2020 | 6,550 | 10,250 | ||||||
8.500%, 02/15/2020 | 1,000 | 1,520 | ||||||
7.625%, 02/15/2025 | 21,635 | 35,421 | ||||||
6.750%, 08/15/2026 | 250 | 393 | ||||||
6.625%, 02/15/2027 | 300 | 470 | ||||||
6.500%, 11/15/2026 | 100 | 154 | ||||||
6.375%, 08/15/2027 | 200 | 309 | ||||||
6.250%, 05/15/2030 | 400 | 631 | ||||||
6.125%, 11/15/2027 | 250 | 378 | ||||||
6.125%, 08/15/2029 | 100 | 155 | ||||||
6.000%, 02/15/2026 | 100 | 147 | ||||||
5.500%, 08/15/2028 | 200 | 288 | ||||||
5.375%, 02/15/2031 | 1,300 | 1,896 | ||||||
4.500%, 02/15/2036 | 2,250 | 3,024 | ||||||
4.500%, 05/15/2038 | 10,847 | 14,659 | ||||||
4.375%, 05/15/2041 | 8,346 | 11,134 | ||||||
3.500%, 02/15/2039 | 4,000 | 4,630 | ||||||
3.125%, 11/15/2041 | 92,140 | 98,950 | ||||||
3.125%, 02/15/2042 | 81,510 | 87,470 | ||||||
3.000%, 05/15/2042 | 27,560 | 28,826 | ||||||
2.750%, 08/15/2042 | 158,095 | 156,835 | ||||||
2.750%, 11/15/2042 | 18,958 | 18,783 | ||||||
2.625%, 11/15/2020 | 3,000 | 3,322 |
70 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. Treasury Inflation-Protected Securities | ||||||||
3.875%, 04/15/2029 | $ | 605 | $ | 1,015 | ||||
2.125%, 02/15/2041 | 8,934 | 13,442 | ||||||
2.000%, 01/15/2014 | 1,252 | 1,293 | ||||||
1.875%, 07/15/2013 | 11,818 | 12,018 | ||||||
1.750%, 01/15/2028 | 370 | 484 | ||||||
1.625%, 01/15/2015 | 236 | 251 | ||||||
1.250%, 04/15/2014 | 547 | 6,291 | ||||||
0.750%, 02/15/2042 | 15,679 | 17,549 | ||||||
0.625%, 04/15/2013 | 1,095 | 8,019 | ||||||
0.500%, 04/15/2015 | 2,990 | 5,956 | ||||||
U.S. Treasury Notes | ||||||||
4.750%, 08/15/2017 | 6,905 | 8,245 | ||||||
4.750%, 02/15/2037 | 1,500 | 2,091 | ||||||
4.625%, 02/15/2017 | 19,790 | 23,185 | ||||||
4.500%, 02/15/2016 | 3,000 | 3,395 | ||||||
3.875%, 02/15/2013 | 1,300 | 1,310 | ||||||
3.500%, 02/15/2018 | 6,700 | 7,668 | ||||||
3.500%, 05/15/2020 | 4,000 | 4,687 | ||||||
3.375%, 07/31/2013 | 1,600 | 1,634 | ||||||
3.250%, 12/31/2016 | 3,560 | 3,959 | ||||||
3.125%, 04/30/2013 | 3,000 | 3,037 | ||||||
3.125%, 05/15/2019 | 279 | 318 | ||||||
3.000%, 09/30/2016 | 98,166 | 103,056 | ||||||
2.875%, 01/31/2013 | 1,000 | 1,004 | ||||||
2.750%, 10/31/2013 | 316,255 | 319,680 | ||||||
2.750%, 05/31/2017 | 3,135 | 3,444 | ||||||
2.750%, 12/31/2017 | 3,000 | 3,318 | ||||||
2.625%, 04/30/2016 | 1,000 | 1,076 | ||||||
2.625%, 08/15/2020 | 3,500 | 3,877 | ||||||
2.500%, 03/31/2015 | 190 | 200 | ||||||
2.375%, 02/28/2015 | 16,678 | 17,456 | ||||||
2.250%, 01/31/2015 | 810 | 844 | ||||||
1.875%, 02/28/2014 | 2,500 | 2,551 | ||||||
1.875%, 04/30/2014 | 1,000 | 1,023 | ||||||
1.750%, 04/15/2013 | 3,000 | 3,018 | ||||||
1.750%, 01/31/2014 | 53,814 | 53,851 | ||||||
1.750%, 03/31/2014 | 14,578 | 14,870 | ||||||
1.750%, 05/31/2016 | 2,405 | 2,518 | ||||||
1.750%, 10/31/2018 | 900 | 949 | ||||||
1.625%, 08/15/2022 (C) | 124,605 | 125,257 | ||||||
1.625%, 11/15/2022 (C) | 42,381 | 42,454 | ||||||
1.500%, 08/31/2018 | 5,200 | 5,409 | ||||||
1.375%, 01/15/2013 | 1,000 | 1,001 | ||||||
1.375%, 09/30/2018 | 390 | 403 | ||||||
1.375%, 11/30/2018 | 1,795 | 1,853 | ||||||
1.250%, 03/15/2014 | 11,368 | 11,515 | ||||||
1.250%, 10/31/2015 | 1,650 | 1,694 | ||||||
1.250%, 10/31/2019 (C) | 60,263 | 61,214 | ||||||
1.000%, 09/30/2019 (C) | 62,000 | 62,019 | ||||||
0.875%, 01/31/2017 | 18,940 | 19,239 | ||||||
0.750%, 06/30/2017 | 97,681 | 98,566 | ||||||
0.750%, 10/31/2017 | 119,598 | 120,448 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
0.625%, 12/31/2012 | $ | 1,000 | $ | 1,000 | ||||
0.625%, 09/30/2017 | 60,229 | 60,323 | ||||||
0.500%, 10/15/2013 | 2,000 | 2,005 | ||||||
0.375%, 04/15/2015 | 3,407 | 3,414 | ||||||
0.375%, 11/15/2015 | 50,283 | 50,361 | ||||||
0.250%, 05/31/2014 | 46,950 | 46,957 | ||||||
0.250%, 10/31/2014 (C) | 77,634 | 77,634 | ||||||
0.250%, 01/15/2015 | 11,876 | 11,869 | ||||||
0.250%, 05/15/2015 | 18,230 | 18,213 | ||||||
0.250%, 07/15/2015 | 330 | 330 | ||||||
0.250%, 09/15/2015 | 28,449 | 28,398 | ||||||
0.250%, 10/15/2015 | 36,848 | 36,776 | ||||||
U.S. Treasury Strips (D) | ||||||||
6.322%, 05/15/2024 | 800 | 637 | ||||||
5.493%, 05/15/2026 | 500 | 369 | ||||||
5.407%, 11/15/2031 | 200 | 121 | ||||||
5.225%, 05/15/2036 | 300 | 153 | ||||||
5.156%, 05/15/2029 | 100 | 66 | ||||||
5.105%, 02/15/2024 | 75 | 60 | ||||||
5.045%, 08/15/2024 | 200 | 158 | ||||||
5.019%, 08/15/2028 | 1,000 | 677 | ||||||
4.857%, 05/15/2028 | 300 | 205 | ||||||
4.811%, 05/15/2034 | 500 | 275 | ||||||
4.778%, 08/15/2030 | 1,550 | 977 | ||||||
4.773%, 02/15/2030 | 1,950 | 1,252 | ||||||
4.770%, 11/15/2024 | 450 | 351 | ||||||
4.745%, 11/15/2033 | 1,050 | 588 | ||||||
4.660%, 11/15/2030 | 2,450 | 1,531 | ||||||
4.552%, 11/15/2029 | 1,450 | 939 | ||||||
4.414%, 05/15/2019 | 2,450 | 2,301 | ||||||
4.352%, 05/15/2027 | 2,570 | 1,823 | ||||||
4.134%, 02/15/2022 | 800 | 692 | ||||||
4.094%, 05/15/2030 | 900 | 573 | ||||||
4.059%, 08/15/2033 | 1,150 | 650 | ||||||
4.033%, 11/15/2017 | 6,150 | 5,949 | ||||||
4.027%, 08/15/2027 | 3,490 | 2,453 | ||||||
3.980%, 08/15/2018 | 800 | 764 | ||||||
3.957%, 02/15/2017 | 19,420 | 18,983 | ||||||
3.922%, 11/15/2026 | 1,150 | 832 | ||||||
3.687%, 02/15/2032 | 1,350 | 807 | ||||||
3.670%, 05/15/2033 | 2,950 | 1,683 | ||||||
3.644%, 02/15/2028 | 2,100 | 1,448 | ||||||
3.492%, 02/15/2027 | 6,800 | 4,868 | ||||||
3.461%, 11/15/2021 | 1,900 | 1,659 | ||||||
3.454%, 08/15/2019 | 5,525 | 5,160 | ||||||
3.442%, 08/15/2016 | 5,100 | 5,015 | ||||||
3.423%, 02/15/2034 | 1,350 | 749 | ||||||
3.403%, 08/15/2020 | 13,150 | 11,951 | ||||||
3.373%, 02/15/2026 | 700 | 521 | ||||||
3.338%, 11/15/2032 | 2,700 | 1,569 | ||||||
3.337%, 08/15/2021 | 4,000 | 3,522 | ||||||
3.190%, 08/15/2034 | 300 | 163 | ||||||
3.153%, 05/15/2031 | 1,930 | 1,185 | ||||||
3.137%, 02/15/2018 | 1,850 | 1,781 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 71 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
3.115%, 08/15/2017 | $ | 3,000 | $ | 2,913 | ||||
3.113%, 02/15/2016 | 250 | 247 | ||||||
2.962%, 02/15/2035 | 2,100 | 1,122 | ||||||
2.876%, 02/15/2015 | 200 | 199 | ||||||
2.850%, 11/15/2034 | 1,850 | 998 | ||||||
2.826%, 08/15/2026 | 700 | 511 | ||||||
2.805%, 05/15/2035 | 1,350 | 715 | ||||||
2.723%, 11/15/2027 | 19,520 | 13,668 | ||||||
2.649%, 11/15/2028 | 800 | 537 | ||||||
2.640%, 08/15/2029 | 2,400 | 1,568 | ||||||
2.634%, 05/15/2032 | 1,500 | 888 | ||||||
2.579%, 02/15/2029 | 1,800 | 1,197 | ||||||
2.575%, 05/15/2020 | 24,370 | 22,295 | ||||||
2.484%, 05/15/2023 | 450 | 372 | ||||||
2.092%, 11/15/2020 | 1,830 | 1,652 | ||||||
1.808%, 05/15/2021 | 10,950 | 9,718 | ||||||
1.640%, 02/15/2021 | 5,120 | 4,580 | ||||||
1.280%, 02/15/2020 | 1,000 | 921 | ||||||
1.014%, 11/15/2016 | 1,910 | 1,873 | ||||||
0.919%, 05/15/2018 | 5,000 | 4,795 | ||||||
0.626%, 05/15/2016 | 1,000 | 986 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 2,220,113 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 23.4% |
| |||||||
Consumer Discretionary — 1.2% |
| |||||||
Amazon.com | ||||||||
2.500%, 11/29/2022 | 1,660 | 1,652 | ||||||
AutoZone | ||||||||
2.875%, 01/15/2023 | 335 | 330 | ||||||
CBS | ||||||||
8.875%, 05/15/2019 | 125 | 170 | ||||||
7.875%, 07/30/2030 | 160 | 224 | ||||||
5.750%, 04/15/2020 | 92 | 110 | ||||||
Comcast | ||||||||
6.500%, 01/15/2015 | 3,155 | 3,522 | ||||||
6.500%, 01/15/2017 | 5,055 | 6,135 | ||||||
6.500%, 11/15/2035 | 300 | 388 | ||||||
6.450%, 03/15/2037 | 250 | 325 | ||||||
5.850%, 11/15/2015 | 648 | 740 | ||||||
5.650%, 06/15/2035 | 230 | 269 | ||||||
4.950%, 06/15/2016 | 4,125 | 4,674 | ||||||
CVS | ||||||||
5.789%, 01/10/2026 (B) | 1,730 | 1,968 | ||||||
CVS Caremark | ||||||||
6.600%, 03/15/2019 | 180 | 235 | ||||||
6.125%, 09/15/2039 | 140 | 179 | ||||||
4.125%, 05/15/2021 | 360 | 408 | ||||||
2.750%, 12/01/2022 | 230 | 231 | ||||||
CVS Lease Pass-Through | ||||||||
6.036%, 12/10/2028 (B) | 2,594 | 3,062 | ||||||
CVS Pass-Through Trust | ||||||||
5.926%, 01/10/2034 (B) | 327 | 397 | ||||||
5.880%, 01/10/2028 | 160 | 188 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Daimler Finance North America LLC | ||||||||
2.625%, 09/15/2016 (B) | $ | 389 | $ | 406 | ||||
1.875%, 09/15/2014 (B) | 4,320 | 4,383 | ||||||
1.650%, 04/10/2015 (B) | 337 | 342 | ||||||
1.300%, 07/31/2015 (B) | 8,855 | 8,915 | ||||||
DaimlerChrysler | ||||||||
6.500%, 11/15/2013 | 460 | 485 | ||||||
Gap | ||||||||
5.950%, 04/12/2021 (C) | 4,217 | 4,810 | ||||||
Historic TW | ||||||||
9.150%, 02/01/2023 | 500 | 734 | ||||||
Johnson Controls | ||||||||
5.250%, 12/01/2041 | 440 | 507 | ||||||
4.250%, 03/01/2021 | 265 | 293 | ||||||
3.750%, 12/01/2021 | 289 | 310 | ||||||
Kohl’s | ||||||||
6.250%, 12/15/2017 | 255 | 312 | ||||||
4.000%, 11/01/2021 | 134 | 144 | ||||||
Lowe’s MTN | ||||||||
7.110%, 05/15/2037 | 400 | 550 | ||||||
5.125%, 11/15/2041 | 48 | 57 | ||||||
LVMH Moet Hennessy Louis Vuitton | ||||||||
1.625%, 06/29/2017 (B) | 3,902 | 3,946 | ||||||
Macy’s Retail Holdings | ||||||||
7.450%, 07/15/2017 | 120 | 150 | ||||||
6.900%, 04/01/2029 | 100 | 121 | ||||||
5.125%, 01/15/2042 | 54 | 60 | ||||||
2.875%, 02/15/2023 | 232 | 230 | ||||||
McDonald’s MTN | ||||||||
5.350%, 03/01/2018 | 1,300 | 1,582 | ||||||
NBC Universal Media | ||||||||
5.950%, 04/01/2041 | 200 | 245 | ||||||
4.450%, 01/15/2043 | 1,823 | 1,829 | ||||||
4.375%, 04/01/2021 | 150 | 170 | ||||||
2.875%, 01/15/2023 | 2,545 | 2,560 | ||||||
Newell Rubbermaid | ||||||||
4.700%, 08/15/2020 | 176 | 196 | ||||||
News America | ||||||||
6.200%, 12/15/2034 | 315 | 385 | ||||||
6.150%, 02/15/2041 | 964 | 1,213 | ||||||
Omnicom Group | ||||||||
3.625%, 05/01/2022 | 2,360 | 2,473 | ||||||
Staples | ||||||||
9.750%, 01/15/2014 | 305 | 334 | ||||||
Target | ||||||||
7.000%, 01/15/2038 | 135 | 199 | ||||||
4.000%, 06/15/2013 | 355 | 361 | ||||||
Thomson Reuters | ||||||||
4.700%, 10/15/2019 | 250 | 284 | ||||||
Time Warner | ||||||||
7.625%, 04/15/2031 | 3,085 | 4,233 | ||||||
6.250%, 03/29/2041 | 677 | 850 | ||||||
5.375%, 10/15/2041 | 37 | 42 |
72 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.750%, 03/29/2021 | $ | 920 | $ | 1,064 | ||||
4.700%, 01/15/2021 | 820 | 942 | ||||||
Time Warner Cable | ||||||||
8.750%, 02/14/2019 | 2,940 | 3,992 | ||||||
8.250%, 04/01/2019 | 3,745 | 4,995 | ||||||
7.300%, 07/01/2038 (C) | 400 | 534 | ||||||
6.750%, 07/01/2018 | 440 | 551 | ||||||
6.550%, 05/01/2037 | 3,426 | 4,271 | ||||||
5.875%, 11/15/2040 | 1,720 | 1,991 | ||||||
5.500%, 09/01/2041 (C) | 1,228 | 1,365 | ||||||
4.500%, 09/15/2042 | 1,695 | 1,654 | ||||||
4.125%, 02/15/2021 | 360 | 395 | ||||||
Time Warner Entertainment | ||||||||
8.375%, 07/15/2033 | 100 | 146 | ||||||
UBM | ||||||||
5.750%, 11/03/2020 (B) | 1,070 | 1,136 | ||||||
Viacom | ||||||||
3.875%, 12/15/2021 | 294 | 324 | ||||||
Volkswagen International Finance | ||||||||
1.625%, 08/12/2013 (B) | 100 | 101 | ||||||
Wal-Mart Stores | ||||||||
5.800%, 02/15/2018 | 1,910 | 2,358 | ||||||
Walt Disney MTN | ||||||||
4.700%, 12/01/2012 | 20 | 20 | ||||||
1.100%, 12/01/2017 | 1,665 | 1,661 | ||||||
0.450%, 12/01/2015 | 125 | 124 | ||||||
Wyndham Worldwide | ||||||||
4.250%, 03/01/2022 | 2,807 | 2,905 | ||||||
2.950%, 03/01/2017 | 1,185 | 1,195 | ||||||
|
| |||||||
100,642 | ||||||||
|
| |||||||
Consumer Staples — 1.9% |
| |||||||
AbbVie | ||||||||
2.900%, 11/06/2022 (B) | 8,535 | 8,715 | ||||||
1.750%, 11/06/2017 (B) (C) | 6,207 | 6,294 | ||||||
1.200%, 11/06/2015 (B) | 5,575 | 5,600 | ||||||
Altria Group | ||||||||
9.250%, 08/06/2019 | 2,120 | 2,953 | ||||||
4.750%, 05/05/2021 | 2,260 | 2,578 | ||||||
2.850%, 08/09/2022 | 2,130 | 2,109 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
7.750%, 01/15/2019 | 7,700 | 10,347 | ||||||
5.375%, 01/15/2020 | 2,570 | 3,156 | ||||||
5.000%, 04/15/2020 | 910 | 1,099 | ||||||
2.500%, 07/15/2022 | 2,080 | 2,090 | ||||||
1.375%, 07/15/2017 | 5,864 | 5,928 | ||||||
0.800%, 07/15/2015 | 7,125 | 7,150 | ||||||
Bunge Finance | ||||||||
8.500%, 06/15/2019 | 350 | 453 | ||||||
5.900%, 04/01/2017 | 107 | 121 | ||||||
Cargill | ||||||||
6.000%, 11/27/2017 (B) | 500 | 602 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CHS | ||||||||
8.000%, 11/15/2019 | $ | 200 | $ | 218 | ||||
7.125%, 07/15/2020 | �� | 190 | 201 | |||||
Coca-Cola | ||||||||
1.800%, 09/01/2016 | 3,949 | 4,089 | ||||||
ConAgra Foods | ||||||||
2.100%, 03/15/2018 | 86 | 86 | ||||||
1.350%, 09/10/2015 | 1,470 | 1,471 | ||||||
Costco Wholesale | ||||||||
0.650%, 12/07/2015 | 340 | 340 | ||||||
Diageo Capital | ||||||||
4.828%, 07/15/2020 | 300 | 357 | ||||||
Diageo Finance BV | ||||||||
5.500%, 04/01/2013 | 300 | 305 | ||||||
Diageo Investment | ||||||||
2.875%, 05/11/2022 | 4,790 | 4,999 | ||||||
ERAC USA Finance LLC | ||||||||
6.700%, 06/01/2034 (B) | 221 | 272 | ||||||
5.625%, 03/15/2042 (B) (C) | 2,621 | 2,946 | ||||||
4.500%, 08/16/2021 (B) | 175 | 193 | ||||||
3.300%, 10/15/2022 (B) | 806 | 809 | ||||||
2.750%, 03/15/2017 (B) | 48 | 50 | ||||||
2.250%, 01/10/2014 (B) | 250 | 253 | ||||||
1.400%, 04/15/2016 (B) | 11 | 11 | ||||||
Experian Finance | ||||||||
2.375%, 06/15/2017 (B) | 1,465 | 1,506 | ||||||
GlaxoSmithKline Capital | ||||||||
4.375%, 04/15/2014 | 200 | 211 | ||||||
2.850%, 05/08/2022 | 2,010 | 2,106 | ||||||
HCA | ||||||||
7.250%, 09/15/2020 | 1,165 | 1,299 | ||||||
Heineken | ||||||||
1.400%, 10/01/2017 (B) | 2,505 | 2,510 | ||||||
Ingredion | ||||||||
1.800%, 09/25/2017 | 590 | 589 | ||||||
Kellogg | ||||||||
5.125%, 12/03/2012 | 125 | 125 | ||||||
3.125%, 05/17/2022 (C) | 178 | 187 | ||||||
1.750%, 05/17/2017 | 805 | 826 | ||||||
Kimberly-Clark | ||||||||
2.400%, 03/01/2022 | 36 | 37 | ||||||
Kraft Foods | ||||||||
6.500%, 08/11/2017 | 300 | 369 | ||||||
6.125%, 02/01/2018 | 380 | 465 | ||||||
5.375%, 02/10/2020 | 3,348 | 4,074 | ||||||
5.000%, 06/04/2042 (B) | 1,421 | 1,594 | ||||||
Kraft Foods Group | ||||||||
6.500%, 02/09/2040 (B) | 1,685 | 2,230 | ||||||
6.125%, 08/23/2018 (B) | 700 | 863 | ||||||
5.375%, 02/10/2020 (B) | 2,452 | 2,967 | ||||||
3.500%, 06/06/2022 (B) | 10,460 | 11,170 | ||||||
Kroger | ||||||||
7.500%, 04/01/2031 | 610 | 801 | ||||||
6.150%, 01/15/2020 | 1,025 | 1,259 | ||||||
5.400%, 07/15/2040 | 45 | 51 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 73 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
3.400%, 04/15/2022 (C) | $ | 200 | $ | 208 | ||||
2.200%, 01/15/2017 | 80 | 83 | ||||||
Molson Coors Brewing | ||||||||
3.500%, 05/01/2022 | 240 | 254 | ||||||
Mondelez International | ||||||||
6.000%, 02/11/2013 | 365 | 368 | ||||||
Novartis Capital | ||||||||
2.400%, 09/21/2022 | 2,320 | 2,338 | ||||||
PepsiCo | ||||||||
7.900%, 11/01/2018 | 339 | 464 | ||||||
3.000%, 08/25/2021 | 181 | 194 | ||||||
2.750%, 03/05/2022 | 4,165 | 4,318 | ||||||
2.500%, 05/10/2016 | 2,470 | 2,619 | ||||||
1.250%, 08/13/2017 (C) | 4,550 | 4,606 | ||||||
0.700%, 08/13/2015 | 2,790 | 2,796 | ||||||
Pernod-Ricard | ||||||||
5.750%, 04/07/2021 (B) | 3,157 | 3,766 | ||||||
4.450%, 01/15/2022 (B) | 2,740 | 3,019 | ||||||
2.950%, 01/15/2017 (B) | 680 | 718 | ||||||
Pharmacia | ||||||||
8.700%, 10/15/2021 | 350 | 488 | ||||||
Philip Morris International | ||||||||
5.650%, 05/16/2018 | 510 | 623 | ||||||
4.500%, 03/20/2042 | 1,210 | 1,327 | ||||||
2.900%, 11/15/2021 | 2,240 | 2,338 | ||||||
2.500%, 08/22/2022 | 1,780 | 1,793 | ||||||
1.125%, 08/21/2017 | 3,078 | 3,084 | ||||||
Reynolds American | ||||||||
3.250%, 11/01/2022 | 880 | 895 | ||||||
SABMiller | ||||||||
5.500%, 08/15/2013 (B) | 320 | 330 | ||||||
SABMiller Holdings | ||||||||
3.750%, 01/15/2022 (B) | 565 | 613 | ||||||
Safeway | ||||||||
6.350%, 08/15/2017 (C) | 2,616 | 2,993 | ||||||
Teva Pharmaceutical Finance BV | ||||||||
3.650%, 11/10/2021 | 1,020 | 1,105 | ||||||
Teva Pharmaceutical Finance IV BV | ||||||||
3.650%, 11/10/2021 | 300 | 325 | ||||||
Tyson Foods | ||||||||
4.500%, 06/15/2022 | 4,010 | 4,320 | ||||||
University of Pennsylvania | ||||||||
4.674%, 09/01/2112 | 1,670 | 1,918 | ||||||
Walgreen | ||||||||
3.100%, 09/15/2022 | 234 | 238 | ||||||
Wal-Mart Stores | ||||||||
7.250%, 06/01/2013 | 187 | 193 | ||||||
5.625%, 04/15/2041 | 1,080 | 1,436 | ||||||
|
| |||||||
160,804 | ||||||||
|
| |||||||
Energy — 2.4% |
| |||||||
Alberta Energy | ||||||||
7.375%, 11/01/2031 | 200 | 258 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Anadarko Holding | ||||||||
7.150%, 05/15/2028 | $ | 150 | $ | 181 | ||||
Anadarko Petroleum | ||||||||
8.700%, 03/15/2019 | 150 | 205 | ||||||
7.625%, 03/15/2014 | 450 | 486 | ||||||
6.950%, 06/15/2019 | 90 | 115 | ||||||
6.375%, 09/15/2017 | 4,090 | 4,911 | ||||||
5.950%, 09/15/2016 | 190 | 220 | ||||||
ANR Pipeline | ||||||||
9.625%, 11/01/2021 | 100 | 150 | ||||||
Apache | ||||||||
6.900%, 09/15/2018 | 180 | 228 | ||||||
6.000%, 09/15/2013 | 3,170 | 3,303 | ||||||
5.625%, 01/15/2017 | 370 | 436 | ||||||
4.750%, 04/15/2043 | 115 | 126 | ||||||
4.250%, 01/15/2044 | 1,560 | 1,590 | ||||||
3.250%, 04/15/2022 | 76 | 81 | ||||||
2.625%, 01/15/2023 | 4,351 | 4,369 | ||||||
Arch Coal | ||||||||
7.000%, 06/15/2019 (C) | 380 | 341 | ||||||
Baker Hughes | ||||||||
7.500%, 11/15/2018 | 2,200 | 2,937 | ||||||
BG Energy Capital | ||||||||
5.125%, 10/15/2041 (B) | 200 | 235 | ||||||
4.000%, 10/15/2021 (B) | 2,775 | 3,063 | ||||||
BP Capital Markets | ||||||||
5.250%, 11/07/2013 | 3,230 | 3,371 | ||||||
3.875%, 03/10/2015 | 630 | 673 | ||||||
3.625%, 05/08/2014 | 100 | 104 | ||||||
3.561%, 11/01/2021 | 210 | 228 | ||||||
3.245%, 05/06/2022 | 2,100 | 2,208 | ||||||
2.500%, 11/06/2022 | 2,075 | 2,063 | ||||||
1.846%, 05/05/2017 | 1,439 | 1,472 | ||||||
1.375%, 11/06/2017 (C) | 3,852 | 3,867 | ||||||
Burlington Resources | ||||||||
8.200%, 03/15/2025 | 400 | 566 | ||||||
Canadian Natural Resources | ||||||||
7.200%, 01/15/2032 | 150 | 205 | ||||||
6.450%, 06/30/2033 | 200 | 259 | ||||||
5.700%, 05/15/2017 | 228 | 271 | ||||||
Canadian Oil Sands | ||||||||
6.000%, 04/01/2042 (B) | 2,407 | 2,834 | ||||||
Cenovus Energy | ||||||||
4.450%, 09/15/2042 | 77 | 80 | ||||||
3.000%, 08/15/2022 | 45 | 46 | ||||||
Chevron | ||||||||
1.104%, 12/05/2017 | 4,075 | 4,101 | ||||||
Conoco Funding | ||||||||
7.250%, 10/15/2031 | 785 | 1,178 | ||||||
6.950%, 04/15/2029 | 1,235 | 1,749 | ||||||
ConocoPhillips | ||||||||
6.000%, 01/15/2020 (C) | 460 | 590 | ||||||
5.750%, 02/01/2019 | 50 | 62 |
74 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
DCP Midstream Operating | ||||||||
4.950%, 04/01/2022 | $ | 3,079 | $ | 3,328 | ||||
2.500%, 12/01/2017 | 3,665 | 3,661 | ||||||
Devon Energy | ||||||||
6.300%, 01/15/2019 | 330 | 413 | ||||||
5.600%, 07/15/2041 | 3,940 | 4,742 | ||||||
4.750%, 05/15/2042 | 157 | 169 | ||||||
3.250%, 05/15/2022 | 2,540 | 2,654 | ||||||
El Paso | ||||||||
6.950%, 06/01/2028 | 2,250 | 2,284 | ||||||
El Paso Pipeline Partners Operating LLC | ||||||||
6.500%, 04/01/2020 | 3,265 | 3,974 | ||||||
4.700%, 11/01/2042 | 1,120 | 1,104 | ||||||
4.100%, 11/15/2015 | 2,095 | 2,256 | ||||||
Encana | ||||||||
6.500%, 05/15/2019 (C) | 250 | 310 | ||||||
5.150%, 11/15/2041 | 2,525 | 2,671 | ||||||
Energen | ||||||||
4.625%, 09/01/2021 | 2,365 | 2,499 | ||||||
Energy Transfer Partners | ||||||||
6.500%, 02/01/2042 | 922 | 1,078 | ||||||
Eni | ||||||||
5.700%, 10/01/2040 (B) | 900 | 953 | ||||||
Enterprise Products Operating | ||||||||
6.125%, 10/15/2039 | 170 | 206 | ||||||
5.700%, 02/15/2042 | 1,930 | 2,228 | ||||||
Enterprise Products Operating LLC | ||||||||
9.750%, 01/31/2014 | 3,470 | 3,820 | ||||||
5.950%, 02/01/2041 | 250 | 292 | ||||||
5.250%, 01/31/2020 | 70 | 84 | ||||||
EOG Resources | ||||||||
4.100%, 02/01/2021 (C) | 300 | 346 | ||||||
2.625%, 03/15/2023 | 844 | 857 | ||||||
FMC Technologies | ||||||||
3.450%, 10/01/2022 | 45 | 46 | ||||||
Halliburton | ||||||||
6.150%, 09/15/2019 | 300 | 380 | ||||||
Hess | ||||||||
8.125%, 02/15/2019 | 3,250 | 4,305 | ||||||
7.875%, 10/01/2029 | 215 | 302 | ||||||
Husky Energy | ||||||||
7.250%, 12/15/2019 | 689 | 909 | ||||||
Kerr-McGee | ||||||||
6.950%, 07/01/2024 | 4,870 | 6,292 | ||||||
Kinder Morgan Energy Partners | ||||||||
6.000%, 02/01/2017 | 590 | 693 | ||||||
5.000%, 12/15/2013 | 1,190 | 1,238 | ||||||
5.000%, 08/15/2042 | 932 | 954 | ||||||
Marathon Petroleum | ||||||||
6.500%, 03/01/2041 | 1,110 | 1,380 | ||||||
Murphy Oil | ||||||||
3.700%, 12/01/2022 | 2,325 | 2,326 | ||||||
2.500%, 12/01/2017 | 1,745 | 1,755 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Nabors Industries | ||||||||
9.250%, 01/15/2019 | $ | 250 | $ | 333 | ||||
5.000%, 09/15/2020 | 310 | 341 | ||||||
National Oilwell Varco | ||||||||
1.350%, 12/01/2017 | 81 | 82 | ||||||
Newfield Exploration | ||||||||
5.625%, 07/01/2024 | 435 | 465 | ||||||
Noble Energy | ||||||||
4.150%, 12/15/2021 | 2,950 | 3,235 | ||||||
Noble Holding International | ||||||||
5.250%, 03/15/2042 | 119 | 129 | ||||||
3.950%, 03/15/2022 | 40 | 42 | ||||||
Occidental Petroleum | ||||||||
3.125%, 02/15/2022 | 1,710 | 1,837 | ||||||
2.700%, 02/15/2023 | 2,024 | 2,094 | ||||||
1.750%, 02/15/2017 | 153 | 158 | ||||||
ONEOK Partners | ||||||||
6.125%, 02/01/2041 | 925 | 1,123 | ||||||
2.000%, 10/01/2017 | 1,910 | 1,932 | ||||||
Panhandle Eastern Pipeline | ||||||||
8.125%, 06/01/2019 | 1,161 | 1,455 | ||||||
Pemex Project Funding Master Trust | ||||||||
6.625%, 06/15/2035 | 5,602 | 7,087 | ||||||
1.018%, 12/03/2012 (A) (B) | 201 | 201 | ||||||
Petrobras International Finance | ||||||||
6.125%, 10/06/2016 | 1,300 | 1,479 | ||||||
5.750%, 01/20/2020 | 1,127 | 1,288 | ||||||
5.375%, 01/27/2021 (C) | 4,680 | 5,263 | ||||||
2.875%, 02/06/2015 | 1,885 | 1,940 | ||||||
Petrobras International Finance - Pifco | ||||||||
3.875%, 01/27/2016 | 1,480 | 1,568 | ||||||
3.500%, 02/06/2017 | 5,550 | 5,847 | ||||||
Petro-Canada | ||||||||
7.875%, 06/15/2026 | 100 | 144 | ||||||
6.800%, 05/15/2038 | 3,850 | 5,191 | ||||||
6.050%, 05/15/2018 | 260 | 317 | ||||||
Petroleos Mexicanos | ||||||||
5.500%, 06/27/2044 (B) | 1,050 | 1,155 | ||||||
2.000%, 12/20/2022 | 1,125 | 1,153 | ||||||
1.950%, 12/20/2022 | 3,582 | 3,662 | ||||||
1.700%, 12/20/2022 | 3,392 | 3,426 | ||||||
Phillips 66 | ||||||||
4.300%, 04/01/2022 (B) | 57 | 63 | ||||||
2.950%, 05/01/2017 (B) | 76 | 81 | ||||||
QEP Resources | ||||||||
5.375%, 10/01/2022 | 550 | 580 | ||||||
Schlumberger Investment | ||||||||
3.300%, 09/14/2021 (B) | 163 | 176 | ||||||
Shell International Finance | ||||||||
6.375%, 12/15/2038 | 1,290 | 1,859 | ||||||
3.100%, 06/28/2015 | 165 | 175 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 75 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Shell International Finance BV | ||||||||
4.375%, 03/25/2020 | $ | 80 | $ | 94 | ||||
4.300%, 09/22/2019 | 1,000 | 1,164 | ||||||
Sinopec Group Overseas Development 2012 | ||||||||
2.750%, 05/17/2017 (B) | 1,150 | 1,199 | ||||||
Spectra Energy Capital LLC | ||||||||
8.000%, 10/01/2019 | 702 | 924 | ||||||
Statoil | ||||||||
5.250%, 04/15/2019 | 460 | 556 | ||||||
4.250%, 11/23/2041 | 80 | 87 | ||||||
3.150%, 01/23/2022 | 100 | 107 | ||||||
3.125%, 08/17/2017 (C) | 200 | 217 | ||||||
2.450%, 01/17/2023 | 159 | 159 | ||||||
1.200%, 01/17/2018 | 3,665 | 3,683 | ||||||
Talisman Energy | ||||||||
7.750%, 06/01/2019 | 1,840 | 2,374 | ||||||
Tennessee Gas Pipeline | ||||||||
8.000%, 02/01/2016 | 3,205 | 3,839 | ||||||
Texas Eastern Transmission | ||||||||
2.800%, 10/15/2022 (B) | 415 | 420 | ||||||
Tosco | ||||||||
8.125%, 02/15/2030 | 100 | 150 | ||||||
7.800%, 01/01/2027 | 210 | 312 | ||||||
Total Capital | ||||||||
4.125%, 01/28/2021 | 74 | 84 | ||||||
2.300%, 03/15/2016 | 300 | 314 | ||||||
Total Capital International | ||||||||
2.875%, 02/17/2022 | 138 | 144 | ||||||
1.550%, 06/28/2017 | 1,387 | 1,416 | ||||||
0.750%, 01/25/2016 | 45 | 45 | ||||||
TransCanada Pipelines | ||||||||
7.125%, 01/15/2019 | 200 | 258 | ||||||
6.500%, 08/15/2018 | 425 | 540 | ||||||
Transocean | ||||||||
7.350%, 12/15/2041 | 33 | 43 | ||||||
6.500%, 11/15/2020 | 485 | 584 | ||||||
6.375%, 12/15/2021 | 3,367 | 4,068 | ||||||
Valero Energy | ||||||||
7.500%, 04/15/2032 | 710 | 919 | ||||||
Weatherford International | ||||||||
9.875%, 03/01/2039 | 250 | 344 | ||||||
5.950%, 04/15/2042 | 50 | 50 | ||||||
4.500%, 04/15/2022 | 67 | 69 | ||||||
Western Gas Partners | ||||||||
5.375%, 06/01/2021 | 694 | 796 | ||||||
4.000%, 07/01/2022 | 1,238 | 1,297 | ||||||
Williams | ||||||||
8.750%, 03/15/2032 | 2,302 | 3,137 | ||||||
7.875%, 09/01/2021 | 1,262 | 1,630 | ||||||
7.750%, 06/15/2031 | 339 | 427 | ||||||
7.500%, 01/15/2031 | 9 | 11 | ||||||
Williams Partners | ||||||||
5.250%, 03/15/2020 | 570 | 663 | ||||||
|
| |||||||
197,676 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Financials — 12.1% |
| |||||||
ABB Treasury Center USA | ||||||||
2.500%, 06/15/2016 (B) | $ | 2,975 | $ | 3,091 | ||||
Abbey National Treasury Services | ||||||||
2.875%, 04/25/2014 | 750 | 763 | ||||||
ACE INA Holdings | ||||||||
5.875%, 06/15/2014 | 290 | 313 | ||||||
5.600%, 05/15/2015 | 380 | 423 | ||||||
Achmea Hypotheekbank | ||||||||
3.200%, 11/03/2014 (B) | 4,377 | 4,584 | ||||||
Aegon, Ser CMS | ||||||||
1.866%, 07/29/2049 (A) | 2,180 | 1,162 | ||||||
Aflac | ||||||||
8.500%, 05/15/2019 (C) | 165 | 225 | ||||||
6.450%, 08/15/2040 | 92 | 115 | ||||||
4.000%, 02/15/2022 | 227 | 248 | ||||||
AIG SunAmerica Global Financing X | ||||||||
6.900%, 03/15/2032 (B) | 450 | 603 | ||||||
Allstate | ||||||||
7.450%, 05/16/2019 | 4,680 | 6,184 | ||||||
5.000%, 08/15/2014 | 300 | 322 | ||||||
Ally Financial | ||||||||
5.500%, 02/15/2017 | 750 | 799 | ||||||
2.618%, 12/01/2014 (A) | 4,579 | 4,561 | ||||||
American Express | ||||||||
7.000%, 03/19/2018 | 500 | 639 | ||||||
5.875%, 05/02/2013 | 1,880 | 1,921 | ||||||
American Express Credit MTN | ||||||||
7.300%, 08/20/2013 | 500 | 524 | ||||||
5.125%, 08/25/2014 | 3,710 | 3,989 | ||||||
2.800%, 09/19/2016 (C) | 389 | 413 | ||||||
1.750%, 06/12/2015 | 5,585 | 5,703 | ||||||
American Honda Finance MTN | ||||||||
7.625%, 10/01/2018 (B) | 150 | 196 | ||||||
3.875%, 09/21/2020 (B) | 2,840 | 3,154 | ||||||
2.600%, 09/20/2016 (B) | 246 | 259 | ||||||
2.375%, 03/18/2013 (B) | 150 | 151 | ||||||
1.000%, 08/11/2015 (B) | 2,610 | 2,627 | ||||||
American International Group | ||||||||
6.400%, 12/15/2020 | 1,570 | 1,925 | ||||||
6.250%, 03/15/2037 | 3,840 | 3,926 | ||||||
4.875%, 06/01/2022 | 2,079 | 2,339 | ||||||
3.750%, 11/30/2013 (B) | 1,000 | 1,028 | ||||||
American Tower‡ | ||||||||
5.050%, 09/01/2020 | 952 | 1,071 | ||||||
4.500%, 01/15/2018 | 3,310 | 3,634 | ||||||
Anadarko Finance | ||||||||
7.500%, 05/01/2031 | 313 | 418 | ||||||
ANZ National International | ||||||||
6.200%, 07/19/2013 (B) | 475 | 489 | ||||||
3.125%, 08/10/2015 (B) | 190 | 200 | ||||||
1.850%, 10/15/2015 (B) | 1,150 | 1,173 |
76 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Aon | ||||||||
6.250%, 09/30/2040 | $ | 79 | $ | 105 | ||||
3.500%, 09/30/2015 | 46 | 49 | ||||||
3.125%, 05/27/2016 | 235 | 249 | ||||||
ASIF Global Financing XIX | ||||||||
4.900%, 01/17/2013 (B) | 1,633 | 1,640 | ||||||
Associates Corp of North America | ||||||||
6.950%, 11/01/2018 | 418 | 506 | ||||||
Australia & New Zealand Banking Group | ||||||||
4.875%, 01/12/2021 (B) (C) | 137 | 161 | ||||||
3.250%, 03/01/2016 (B) | 200 | 214 | ||||||
2.400%, 11/23/2016 (B) | 453 | 478 | ||||||
1.000%, 10/06/2015 (B) | 2,650 | 2,668 | ||||||
0.693%, 10/29/2049 (A) | 1,400 | 742 | ||||||
Banco Santander Mexico | ||||||||
4.125%, 11/09/2022 (B) | 2,665 | 2,685 | ||||||
Bank of America MTN | ||||||||
7.625%, 06/01/2019 | 175 | 224 | ||||||
7.375%, 05/15/2014 | 980 | 1,064 | ||||||
6.500%, 08/01/2016 (C) | 8,755 | 10,169 | ||||||
6.100%, 06/15/2017 | 6,825 | 7,822 | ||||||
6.000%, 09/01/2017 | 2,920 | 3,398 | ||||||
5.875%, 01/05/2021 | 1,035 | 1,237 | ||||||
5.750%, 12/01/2017 | 3,230 | 3,735 | ||||||
5.700%, 01/24/2022 | 545 | 663 | ||||||
5.650%, 05/01/2018 (C) | 1,350 | 1,564 | ||||||
5.625%, 10/14/2016 | 7,865 | 8,949 | ||||||
5.625%, 07/01/2020 (C) | 375 | 443 | ||||||
5.420%, 03/15/2017 | 5,030 | 5,489 | ||||||
5.000%, 05/13/2021 | 75 | 86 | ||||||
4.500%, 04/01/2015 | 6,540 | 6,983 | ||||||
3.875%, 03/22/2017 (C) | 610 | 663 | ||||||
3.625%, 03/17/2016 | 2,770 | 2,938 | ||||||
1.500%, 10/09/2015 | 8,385 | 8,415 | ||||||
0.689%, 06/15/2017 (A) | 2,710 | 2,537 | ||||||
0.669%, 06/15/2016 (A) | 2,700 | 2,574 | ||||||
Bank of Montreal MTN | ||||||||
2.850%, 06/09/2015 (B) (C) | — | — | ||||||
2.550%, 11/06/2022 | 511 | 510 | ||||||
1.400%, 09/11/2017 | 689 | 692 | ||||||
1.300%, 10/31/2014 (B) | 321 | 326 | ||||||
Bank of New York Mellon MTN | ||||||||
4.600%, 01/15/2020 (C) | 160 | 186 | ||||||
3.550%, 09/23/2021 | 144 | 158 | ||||||
3.100%, 01/15/2015 | 125 | 131 | ||||||
2.950%, 06/18/2015 (C) | 500 | 528 | ||||||
2.400%, 01/17/2017 | 398 | 420 | ||||||
Bank of Nova Scotia | ||||||||
3.400%, 01/22/2015 (C) | 478 | 506 | ||||||
1.650%, 10/29/2015 (B) (C) | 355 | 366 | ||||||
0.750%, 10/09/2015 | 1,160 | 1,159 | ||||||
Bank of Tokyo-Mitsubishi UFJ | ||||||||
3.850%, 01/22/2015 (B) | 707 | 750 | ||||||
2.350%, 02/23/2017 (B) | 295 | 308 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Barclays Bank | ||||||||
6.050%, 12/04/2017 (B) | $ | 950 | $ | 1,041 | ||||
5.200%, 07/10/2014 | 350 | 373 | ||||||
5.000%, 09/22/2016 | 4,970 | 5,589 | ||||||
2.500%, 09/21/2015 (B) (C) | 365 | 381 | ||||||
2.250%, 05/10/2017 (B) | 221 | 229 | ||||||
0.938%, 08/07/2049 (A) | 380 | 179 | ||||||
BB&T MTN | ||||||||
6.850%, 04/30/2019 (C) | 115 | 146 | ||||||
5.700%, 04/30/2014 | 620 | 664 | ||||||
4.900%, 06/30/2017 | 400 | 455 | ||||||
3.950%, 04/29/2016 (C) | 555 | 608 | ||||||
3.375%, 09/25/2013 | 70 | 72 | ||||||
1.450%, 01/12/2018 | 4,700 | 4,722 | ||||||
BBVA US Senior SAU | ||||||||
4.664%, 10/09/2015 | 4,050 | 4,122 | ||||||
3.250%, 05/16/2014 | 2,680 | 2,680 | ||||||
Bear Stearns | ||||||||
7.250%, 02/01/2018 | 3,430 | 4,279 | ||||||
6.400%, 10/02/2017 | 3,660 | 4,427 | ||||||
4.650%, 07/02/2018 | 3,000 | 3,424 | ||||||
Berkshire Hathaway | ||||||||
3.750%, 08/15/2021 (C) | 1,213 | 1,349 | ||||||
3.200%, 02/11/2015 | 1,570 | 1,657 | ||||||
2.200%, 08/15/2016 | 75 | 78 | ||||||
Berkshire Hathaway Finance | ||||||||
5.400%, 05/15/2018 (C) | 5,160 | 6,237 | ||||||
4.400%, 05/15/2042 | 860 | 899 | ||||||
2.450%, 12/15/2015 | 187 | 197 | ||||||
BlackRock | ||||||||
6.250%, 09/15/2017 (C) | 570 | 700 | ||||||
3.375%, 06/01/2022 | 180 | 193 | ||||||
Blackstone Holdings Finance LLC | ||||||||
5.875%, 03/15/2021 (B) | 1,180 | 1,330 | ||||||
BNP Paribas MTN | ||||||||
2.375%, 09/14/2017 | 1,910 | 1,945 | ||||||
Boston Properties‡ | ||||||||
3.850%, 02/01/2023 | 2,610 | 2,774 | ||||||
Branch Banking & Trust | ||||||||
5.625%, 09/15/2016 | 325 | 370 | ||||||
Caisse Centrale Desjardins du Quebec | ||||||||
2.550%, 03/24/2016 (B) | 581 | 616 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
2.600%, 07/02/2015 (B) (C) | 1,000 | 1,053 | ||||||
Capital One Bank USA | ||||||||
8.800%, 07/15/2019 | 250 | 339 | ||||||
Capital One Financial | ||||||||
7.375%, 05/23/2014 | 450 | 492 | ||||||
6.750%, 09/15/2017 | 740 | 914 | ||||||
4.750%, 07/15/2021 | 375 | 434 | ||||||
Caterpillar Financial Services MTN | ||||||||
7.150%, 02/15/2019 | 250 | 329 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 77 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.200%, 09/30/2013 | $ | 3,440 | $ | 3,600 | ||||
5.850%, 09/01/2017 | 580 | 701 | ||||||
2.850%, 06/01/2022 | 155 | 160 | ||||||
Cedar Brakes I LLC | ||||||||
8.500%, 02/15/2014 (B) | 475 | 494 | ||||||
Charles Schwab | ||||||||
3.225%, 09/01/2022 (B) | 100 | 101 | ||||||
Chase Capital VI | ||||||||
0.938%, 08/01/2028 (A) | 2,050 | 1,604 | ||||||
Citigroup | ||||||||
8.500%, 05/22/2019 | 600 | 803 | ||||||
8.125%, 07/15/2039 (C) | 400 | 604 | ||||||
6.875%, 03/05/2038 | 3,715 | 4,976 | ||||||
6.500%, 08/19/2013 | 3,260 | 3,390 | ||||||
6.375%, 08/12/2014 | 3,285 | 3,559 | ||||||
6.125%, 05/15/2018 | 1,296 | 1,551 | ||||||
6.010%, 01/15/2015 | 1,900 | 2,082 | ||||||
6.000%, 12/13/2013 | 2,920 | 3,073 | ||||||
6.000%, 08/15/2017 | 4,345 | 5,111 | ||||||
6.000%, 10/31/2033 | 70 | 75 | ||||||
5.875%, 01/30/2042 | 1,130 | 1,409 | ||||||
5.850%, 07/02/2013 | 655 | 674 | ||||||
5.850%, 08/02/2016 | 300 | 345 | ||||||
5.500%, 04/11/2013 | 893 | 908 | ||||||
5.500%, 02/15/2017 | 11,465 | 12,723 | ||||||
5.375%, 08/09/2020 (C) | 2,488 | 2,936 | ||||||
5.000%, 09/15/2014 | 2,490 | 2,622 | ||||||
4.700%, 05/29/2015 | 1,488 | 1,607 | ||||||
4.587%, 12/15/2015 (C) | 114 | 125 | ||||||
4.500%, 01/14/2022 | 4,657 | 5,239 | ||||||
4.450%, 01/10/2017 | 3,639 | 4,038 | ||||||
2.650%, 03/02/2015 | 1,699 | 1,749 | ||||||
0.862%, 08/25/2036 (A) | 3,239 | 2,384 | ||||||
Citigroup Capital III | ||||||||
7.625%, 12/01/2036 | 2,000 | 2,166 | ||||||
CME Group | ||||||||
5.750%, 02/15/2014 | 177 | 188 | ||||||
3.000%, 09/15/2022 | 400 | 410 | ||||||
CNA Financial | ||||||||
5.875%, 08/15/2020 | 274 | 322 | ||||||
5.850%, 12/15/2014 | 200 | 217 | ||||||
Comerica | ||||||||
3.000%, 09/16/2015 | 145 | 153 | ||||||
CommonWealth‡ | ||||||||
6.650%, 01/15/2018 | 255 | 288 | ||||||
6.250%, 08/15/2016 | 300 | 329 | ||||||
5.875%, 09/15/2020 | 95 | 102 | ||||||
Commonwealth Bank of Australia | ||||||||
5.000%, 10/15/2019 (B) | 900 | 1,053 | ||||||
3.750%, 10/15/2014 (B) | 1,810 | 1,906 | ||||||
2.250%, 03/16/2017 (B) (C) | 378 | 396 | ||||||
Commonwealth Bank of Australia NY | ||||||||
1.250%, 09/18/2015 | 3,130 | 3,158 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA MTN | ||||||||
11.000%, 12/31/2049 (A) (B) | $ | 2,223 | $ | 3,013 | ||||
5.800%, 09/30/2110 (B) | 300 | 355 | ||||||
4.500%, 01/11/2021 (C) | 300 | 340 | ||||||
3.950%, 11/09/2022 | 5,075 | 5,143 | ||||||
3.200%, 03/11/2015 (B) | 700 | 734 | ||||||
Countrywide Financial | ||||||||
6.250%, 05/15/2016 (C) | 1,170 | 1,291 | ||||||
Credit Agricole | ||||||||
8.375%, 12/31/2049 (A) (B) (C) | 4,110 | 4,259 | ||||||
2.625%, 01/21/2014 (B) | 990 | 1,003 | ||||||
Credit Suisse NY MTN | ||||||||
6.000%, 02/15/2018 (C) | 7,754 | 8,936 | ||||||
5.500%, 05/01/2014 | 125 | 133 | ||||||
5.000%, 05/15/2013 (C) | 4,489 | 4,579 | ||||||
Credit Suisse USA | ||||||||
5.125%, 08/15/2015 | 645 | 716 | ||||||
DDR | ||||||||
4.625%, 07/15/2022‡ | 2,475 | 2,694 | ||||||
Deutsche Bank MTN | ||||||||
4.875%, 05/20/2013 | 740 | 755 | ||||||
3.875%, 08/18/2014 | 295 | 311 | ||||||
2.375%, 01/11/2013 (C) | 300 | 301 | ||||||
Deutsche Bank Capital Funding Trust | ||||||||
5.628%, 01/19/2049 (A) (B) (C) | 4,789 | 4,460 | ||||||
DnB Boligkreditt | ||||||||
2.100%, 10/14/2015 (B) (C) | 1,057 | 1,097 | ||||||
Dresdner Funding Trust I | ||||||||
8.151%, 06/30/2031 (B) | 365 | 345 | ||||||
Equity One‡ | ||||||||
3.750%, 11/15/2022 | 1,046 | 1,045 | ||||||
ERP Operating‡ | ||||||||
5.750%, 06/15/2017 | 500 | 593 | ||||||
5.125%, 03/15/2016 | 1,000 | 1,117 | ||||||
4.625%, 12/15/2021 | 236 | 266 | ||||||
Farmers Exchange Capital | ||||||||
7.200%, 07/15/2048 (B) | 2,519 | 3,119 | ||||||
7.050%, 07/15/2028 (B) | 1,713 | 2,146 | ||||||
Farmers Insurance Exchange | ||||||||
8.625%, 05/01/2024 (B) | 4,253 | 5,871 | ||||||
FDIC Structured Sale Guaranteed Notes | ||||||||
1.480%, 10/25/2013 (B) (D) | 1,570 | 1,567 | ||||||
Federal Realty Investment Trust‡ | ||||||||
3.000%, 08/01/2022 | 1,220 | 1,214 | ||||||
First Chicago NBD Institutional Capital I | ||||||||
0.863%, 02/01/2027 (A) | 3,750 | 2,934 | ||||||
First Industrial MTN | ||||||||
7.500%, 12/01/2017 | 1,765 | 1,996 |
78 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FMR LLC | ||||||||
6.450%, 11/15/2039 (B) | $ | 250 | $ | 312 | ||||
Ford Motor Credit LLC | ||||||||
8.125%, 01/15/2020 | 1,710 | 2,173 | ||||||
5.875%, 08/02/2021 | 9,302 | 10,660 | ||||||
4.250%, 09/20/2022 (C) | 260 | 270 | ||||||
4.207%, 04/15/2016 | 401 | 426 | ||||||
3.984%, 06/15/2016 | 555 | 586 | ||||||
3.000%, 06/12/2017 (C) | 1,173 | 1,195 | ||||||
2.750%, 05/15/2015 | 5,270 | 5,366 | ||||||
General Electric Capital MTN | ||||||||
6.875%, 01/10/2039 | 5,282 | 7,166 | ||||||
6.750%, 03/15/2032 | 450 | 587 | ||||||
6.375%, 11/15/2067 (A) | 6,235 | 6,613 | ||||||
6.150%, 08/07/2037 (C) | 5,880 | 7,357 | ||||||
6.000%, 08/07/2019 | 920 | 1,125 | ||||||
5.900%, 05/13/2014 | 2,510 | 2,696 | ||||||
5.875%, 01/14/2038 | 2,560 | 3,104 | ||||||
5.625%, 09/15/2017 (C) | 800 | 945 | ||||||
5.625%, 05/01/2018 | 6,950 | 8,281 | ||||||
5.550%, 05/04/2020 | 2,580 | 3,074 | ||||||
5.500%, 01/08/2020 | 480 | 574 | ||||||
5.400%, 02/15/2017 | 1,800 | 2,080 | ||||||
5.375%, 10/20/2016 | 1,500 | 1,725 | ||||||
5.300%, 02/11/2021 (C) | 1,753 | 2,030 | ||||||
4.625%, 01/07/2021 (C) | 3,300 | 3,744 | ||||||
3.150%, 09/07/2022 (C) | 8,193 | 8,383 | ||||||
2.300%, 04/27/2017 | 600 | 620 | ||||||
2.250%, 11/09/2015 | 180 | 186 | ||||||
1.625%, 07/02/2015 | 4,290 | 4,351 | ||||||
1.212%, 05/22/2013 (A) | 315 | 316 | ||||||
0.693%, 05/05/2026 (A) | 4,620 | 4,026 | ||||||
0.649%, 09/15/2014 (A) | 4,090 | 4,080 | ||||||
0.582%, 08/07/2018 (A) | 888 | 848 | ||||||
0.564%, 03/20/2014 (A) | 2,000 | 1,982 | ||||||
Glitnir Banki | ||||||||
7.451%, 09/14/2016 | 500 | — | ||||||
6.693%, | 4,480 | 56 | ||||||
Goldman Sachs Capital II | ||||||||
4.000%, 06/01/2043 (A) | 13,260 | 10,290 | ||||||
Goldman Sachs Group | ||||||||
7.500%, 02/15/2019 | 1,520 | 1,908 | ||||||
6.750%, 10/01/2037 | 805 | 896 | ||||||
6.250%, 09/01/2017 (C) | 1,400 | 1,636 | ||||||
6.250%, 02/01/2041 | 3,555 | 4,321 | ||||||
6.150%, 04/01/2018 (C) | 10,605 | 12,388 | ||||||
6.000%, 05/01/2014 | 690 | 737 | ||||||
6.000%, 06/15/2020 (C) | 1,935 | 2,294 | ||||||
5.950%, 01/18/2018 | 500 | 579 | ||||||
5.750%, 10/01/2016 | 1,505 | 1,716 | ||||||
5.750%, 01/24/2022 | 1,040 | 1,234 | ||||||
5.375%, 03/15/2020 | 2,635 | 3,018 | ||||||
5.250%, 10/15/2013 | 680 | 705 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.250%, 07/27/2021 | $ | 12,135 | $ | 13,876 | ||||
5.150%, 01/15/2014 | 300 | 313 | ||||||
4.750%, 07/15/2013 | 100 | 102 | ||||||
3.625%, 02/07/2016 | 470 | 498 | ||||||
0.719%, 07/22/2015 (A) | 45 | 44 | ||||||
Goodman Funding Pty‡ | ||||||||
6.000%, 03/22/2022 (B) | 935 | 1,044 | ||||||
Hartford Financial Services Group | ||||||||
6.625%, 04/15/2042 | 730 | 916 | ||||||
HBOS MTN | ||||||||
6.750%, 05/21/2018 (B) | 5,100 | 5,419 | ||||||
HBOS Capital Funding | ||||||||
6.071%, 06/30/2049 (A) (B) (C) | 1,220 | 994 | ||||||
HCP MTN‡ | ||||||||
6.700%, 01/30/2018 | 456 | 549 | ||||||
6.300%, 09/15/2016 | 940 | 1,083 | ||||||
6.000%, 01/30/2017 | 6,000 | 6,912 | ||||||
5.650%, 12/15/2013 | 2,845 | 2,980 | ||||||
5.375%, 02/01/2021 (C) | 105 | 121 | ||||||
3.750%, 02/01/2019 | 3,936 | 4,168 | ||||||
2.625%, 02/01/2020 | 8,930 | 8,898 | ||||||
Health Care‡ | ||||||||
6.500%, 03/15/2041 | 1,650 | 1,969 | ||||||
5.250%, 01/15/2022 | 1,825 | 2,056 | ||||||
4.950%, 01/15/2021 | 6,340 | 7,005 | ||||||
4.700%, 09/15/2017 | 225 | 251 | ||||||
Healthcare Realty Trust‡ | ||||||||
6.500%, 01/17/2017 | 85 | 98 | ||||||
5.750%, 01/15/2021 | 60 | 67 | ||||||
Highwoods Properties‡ | ||||||||
7.500%, 04/15/2018 | 1,339 | 1,628 | ||||||
Hongkong & Shanghai Banking | ||||||||
0.563%, 07/22/2049 (A) | 195 | 96 | ||||||
HSBC Bank | ||||||||
4.750%, 01/19/2021 (B) | 400 | 466 | ||||||
4.125%, 08/12/2020 (B) | 261 | 291 | ||||||
3.100%, 05/24/2016 (B) | 5,097 | 5,421 | ||||||
1.625%, 07/07/2014 (B) (C) | 728 | 743 | ||||||
0.850%, 06/29/2049 (A) | 1,160 | 579 | ||||||
HSBC Bank USA NY | ||||||||
4.625%, 04/01/2014 | 300 | 314 | ||||||
HSBC Finance | ||||||||
6.676%, 01/15/2021 (C) | 6,630 | 7,881 | ||||||
5.500%, 01/19/2016 | 600 | 667 | ||||||
4.750%, 07/15/2013 | 166 | 170 | ||||||
0.590%, 01/15/2014 (A) | 500 | 498 | ||||||
HSBC Holdings | ||||||||
5.100%, 04/05/2021 | 201 | 239 | ||||||
4.875%, 01/14/2022 | 300 | 350 | ||||||
4.000%, 03/30/2022 | 490 | 539 | ||||||
HSBC USA | ||||||||
2.375%, 02/13/2015 | 3,161 | 3,255 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 79 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Hutchison Whampoa International 11 | ||||||||
4.625%, 01/13/2022 (B) | $ | 2,135 | $ | 2,390 | ||||
3.500%, 01/13/2017 (B) | 785 | 836 | ||||||
Hutchison Whampoa International 12 II | ||||||||
3.250%, 11/08/2022 (B) | 294 | 298 | ||||||
Hyundai Capital America | ||||||||
2.125%, 10/02/2017 (B) | 710 | 719 | ||||||
ILFC E-Capital Trust II | ||||||||
6.250%, 12/21/2065 (A) (B) | 1,200 | 972 | ||||||
ING Bank | ||||||||
3.750%, 03/07/2017 (B) | 457 | 486 | ||||||
2.000%, 09/25/2015 (B) | 200 | 201 | ||||||
International Lease Finance | ||||||||
6.750%, 09/01/2016 (B) | 5,970 | 6,657 | ||||||
6.500%, 09/01/2014 (B) | 7,190 | 7,657 | ||||||
Intesa Sanpaolo | ||||||||
3.625%, 08/12/2015 (B) | 1,140 | 1,135 | ||||||
Itau Unibanco Holding | ||||||||
5.125%, 05/13/2023 (B) | 3,050 | 3,096 | ||||||
Jackson National Life Global Funding MTN | ||||||||
5.375%, 05/08/2013 (B) | 610 | 623 | ||||||
Jefferies Group | ||||||||
8.500%, 07/15/2019 | 90 | 106 | ||||||
6.450%, 06/08/2027 | 590 | 622 | ||||||
6.250%, 01/15/2036 | 400 | 408 | ||||||
3.875%, 11/09/2015 (C) | 171 | 175 | ||||||
John Deere Capital | ||||||||
5.750%, 09/10/2018 | 300 | 369 | ||||||
2.250%, 04/17/2019 | 1,400 | 1,451 | ||||||
1.700%, 01/15/2020 | 65 | 65 | ||||||
1.200%, 10/10/2017 | 196 | 197 | ||||||
JPMorgan Chase | ||||||||
6.400%, 05/15/2038 | 385 | 520 | ||||||
6.000%, 10/01/2017 | 10,755 | 12,738 | ||||||
6.000%, 01/15/2018 | 400 | 477 | ||||||
5.750%, 01/02/2013 | 760 | 763 | ||||||
5.400%, 01/06/2042 | 1,129 | 1,368 | ||||||
5.150%, 10/01/2015 | 240 | 264 | ||||||
5.125%, 09/15/2014 | 136 | 145 | ||||||
4.750%, 05/01/2013 | 40 | 41 | ||||||
4.650%, 06/01/2014 | 3,207 | 3,387 | ||||||
4.500%, 01/24/2022 | 1,660 | 1,878 | ||||||
4.350%, 08/15/2021 | 510 | 572 | ||||||
3.450%, 03/01/2016 | 1,015 | 1,082 | ||||||
3.250%, 09/23/2022 (C) | 1,070 | 1,107 | ||||||
2.000%, 08/15/2017 | 4,270 | 4,350 | ||||||
1.100%, 10/15/2015 | 8,072 | 8,067 | ||||||
0.729%, 06/13/2016 (A) | 4,250 | 4,124 | ||||||
JPMorgan Chase Bank | ||||||||
6.000%, 07/05/2017 | 3,365 | 3,959 | ||||||
JPMorgan Chase Capital XIII | ||||||||
1.312%, 09/30/2034 (A) | 2,150 | 1,681 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Capital XXIII | ||||||||
0.578%, 05/15/2047 (A) | $ | 4,697 | $ | 3,467 | ||||
Kaupthing Bank | ||||||||
7.125%, 05/19/2016 (B) (E) (F) (G) | 12,000 | 1 | ||||||
KeyBank | ||||||||
5.800%, 07/01/2014 | 600 | 644 | ||||||
Landsbanki Islands | ||||||||
6.100%, 08/25/2011 (B) (F) | 6,520 | 391 | ||||||
Landwirtschaftliche Rentenbank | ||||||||
1.375%, 10/23/2019 | 2,150 | 2,156 | ||||||
Lazard Group | ||||||||
7.125%, 05/15/2015 | 2,880 | 3,193 | ||||||
6.850%, 06/15/2017 | 4,185 | 4,833 | ||||||
Liberty Mutual Group | ||||||||
6.500%, 05/01/2042 (B) | 1,409 | 1,560 | ||||||
4.950%, 05/01/2022 (B) | 87 | 94 | ||||||
Lincoln National | ||||||||
4.850%, 06/24/2021 | 58 | 64 | ||||||
Lloyds TSB Bank MTN | ||||||||
5.800%, 01/13/2020 (B) | 200 | 234 | ||||||
Macquarie Bank | ||||||||
5.000%, 02/22/2017 (B) (C) | 652 | 711 | ||||||
Macquarie Group MTN | ||||||||
7.625%, 08/13/2019 (B) (C) | 150 | 177 | ||||||
7.300%, 08/01/2014 (B) | 480 | 520 | ||||||
6.250%, 01/14/2021 (B) (C) | 525 | 577 | ||||||
6.000%, 01/14/2020 (B) | 225 | 244 | ||||||
Manufacturers & Traders Trust | ||||||||
6.625%, 12/04/2017 | 250 | 304 | ||||||
Markel | ||||||||
4.900%, 07/01/2022 | 1,375 | 1,495 | ||||||
Massachusetts Mutual Life Insurance | ||||||||
8.875%, 06/01/2039 (B) | 3,745 | 5,757 | ||||||
5.375%, 12/01/2041 (B) | 66 | 78 | ||||||
MassMutual Global Funding II | ||||||||
2.875%, 04/21/2014 (B) | 122 | 126 | ||||||
2.500%, 10/17/2022 (B) | 363 | 361 | ||||||
2.300%, 09/28/2015 (B) | 100 | 104 | ||||||
Merrill Lynch MTN | ||||||||
6.875%, 04/25/2018 | 980 | 1,180 | ||||||
6.400%, 08/28/2017 | 1,600 | 1,874 | ||||||
6.150%, 04/25/2013 | 210 | 214 | ||||||
5.700%, 05/02/2017 | 600 | 656 | ||||||
MetLife | ||||||||
7.717%, 02/15/2019 | 1,750 | 2,303 | ||||||
6.750%, 06/01/2016 | 2,950 | 3,524 | ||||||
6.400%, 12/15/2036 | 4,740 | 5,036 | ||||||
4.125%, 08/13/2042 | 834 | 832 | ||||||
MetLife Capital Trust X | ||||||||
9.250%, 04/08/2038 (B) | 2,700 | 3,726 | ||||||
MetLife Institutional Funding II | ||||||||
1.254%, 04/04/2014 (A) (B) | 153 | 154 |
80 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Metropolitan Life Global Funding I | ||||||||
5.125%, 04/10/2013 (B) | $ | 200 | $ | 203 | ||||
5.125%, 06/10/2014 (B) | 1,575 | 1,680 | ||||||
3.875%, 04/11/2022 (B) | 1,125 | 1,223 | ||||||
3.650%, 06/14/2018 (B) | 490 | 540 | ||||||
2.500%, 01/11/2013 (B) | 925 | 927 | ||||||
2.500%, 09/29/2015 (B) | 2,935 | 3,068 | ||||||
2.000%, 01/10/2014 (B) | 200 | 203 | ||||||
1.700%, 06/29/2015 (B) | 497 | 508 | ||||||
0.731%, 03/19/2014 (A) (B) | 10,375 | 10,385 | ||||||
Monumental Global Funding | ||||||||
5.500%, 04/22/2013 (B) | 235 | 239 | ||||||
Morgan Stanley | ||||||||
7.300%, 05/13/2019 | 4,160 | 5,049 | ||||||
6.625%, 04/01/2018 | 6,290 | 7,325 | ||||||
6.250%, 08/28/2017 | 550 | 619 | ||||||
6.000%, 05/13/2014 | 5,705 | 6,048 | ||||||
5.750%, 10/18/2016 | 190 | 210 | ||||||
5.750%, 01/25/2021 (C) | 235 | 268 | ||||||
5.625%, 09/23/2019 | 2,170 | 2,447 | ||||||
5.550%, 04/27/2017 | 514 | 569 | ||||||
5.500%, 07/24/2020 | 1,095 | 1,236 | ||||||
5.500%, 07/28/2021 (C) | 2,889 | 3,304 | ||||||
5.450%, 01/09/2017 | 350 | 386 | ||||||
5.375%, 10/15/2015 | 100 | 108 | ||||||
5.300%, 03/01/2013 | 752 | 760 | ||||||
4.750%, 04/01/2014 (C) | 1,940 | 2,008 | ||||||
4.750%, 03/22/2017 | 300 | 325 | ||||||
4.200%, 11/20/2014 | 1,851 | 1,936 | ||||||
0.775%, 10/18/2016 (A) | 8,835 | 8,347 | ||||||
Murray Street Investment Trust I | ||||||||
4.647%, 03/09/2017 (H) | 8,040 | 8,632 | ||||||
National Australia Bank | ||||||||
5.350%, 06/12/2013 (B) | 6,095 | 6,246 | ||||||
3.750%, 03/02/2015 (B) | 455 | 483 | ||||||
3.000%, 07/27/2016 (B) | 1,000 | 1,062 | ||||||
2.500%, 01/08/2013 (B) | 150 | 150 | ||||||
2.000%, 06/20/2017 (B) | 3,750 | 3,891 | ||||||
1.600%, 08/07/2015 | 1,080 | 1,099 | ||||||
National Bank of Canada | ||||||||
2.200%, 10/19/2016 (B) | 4,350 | 4,588 | ||||||
1.650%, 01/30/2014 (B) | 271 | 275 | ||||||
National Capital Trust II | ||||||||
5.486%, 12/29/2049 (A) (B) | 40 | 40 | ||||||
National City | ||||||||
4.900%, 01/15/2015 | 400 | 435 | ||||||
National City Bank MTN | ||||||||
5.800%, 06/07/2017 | 525 | 622 | ||||||
0.780%, 06/07/2017 (A) | 3,000 | 2,930 | ||||||
National Rural Utilities Cooperative Finance | ||||||||
10.375%, 11/01/2018 | 1,530 | 2,272 | ||||||
Nationwide Mutual Insurance | ||||||||
9.375%, 08/15/2039 (B) | 460 | 662 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.600%, 04/15/2034 (B) (C) | $ | 2,535 | $ | 2,560 | ||||
5.810%, 12/15/2024 (A) (B) | 4,407 | 4,205 | ||||||
New York Life Global Funding | ||||||||
4.650%, 05/09/2013 (B) | 300 | 306 | ||||||
3.000%, 05/04/2015 (B) | 400 | 422 | ||||||
New York Life Insurance | ||||||||
6.750%, 11/15/2039 (B) | 1,355 | 1,912 | ||||||
NIBC Bank MTN | ||||||||
2.800%, 12/02/2014 (B) | 2,350 | 2,444 | ||||||
Nomura Holdings | ||||||||
6.700%, 03/04/2020 | 629 | 742 | ||||||
4.125%, 01/19/2016 | 150 | 158 | ||||||
Nordea Bank MTN | ||||||||
4.875%, 05/13/2021 (B) (C) | 5,210 | 5,531 | ||||||
3.700%, 11/13/2014 (B) | 900 | 947 | ||||||
2.250%, 03/20/2015 (B) | 3,795 | 3,894 | ||||||
1.750%, 10/04/2013 (B) | 200 | 202 | ||||||
Northern Trust | ||||||||
5.500%, 08/15/2013 | 85 | 88 | ||||||
Northwestern Mutual Life Insurance | ||||||||
6.063%, 03/30/2040 (B) | 2,700 | 3,545 | ||||||
OneBeacon US Holdings | ||||||||
4.600%, 11/09/2022 | 2,940 | 2,983 | ||||||
Oversea-Chinese Banking | ||||||||
1.625%, 03/13/2015 (B) | 200 | 203 | ||||||
PACCAR Financial MTN | ||||||||
1.600%, 03/15/2017 | 164 | 167 | ||||||
1.550%, 09/29/2014 | 140 | 142 | ||||||
Pacific Life Global Funding | ||||||||
5.150%, 04/15/2013 (B) | 370 | 376 | ||||||
5.000%, 05/15/2017 (B) | 170 | 182 | ||||||
Pacific Life Insurance | ||||||||
9.250%, 06/15/2039 (B) | 560 | 796 | ||||||
PNC Bank | ||||||||
6.000%, 12/07/2017 (C) | 250 | 303 | ||||||
2.700%, 11/01/2022 | 985 | 989 | ||||||
PNC Financial Services Group | ||||||||
8.729%, 11/09/2022 (H) | 2,582 | 2,635 | ||||||
PNC Funding | ||||||||
5.125%, 02/08/2020 (C) | 340 | 407 | ||||||
2.700%, 09/19/2016 | 88 | 93 | ||||||
Post Apartment Homes | ||||||||
4.750%, 10/15/2017 | 70 | 78 | ||||||
PPF Funding‡ | ||||||||
5.500%, 01/15/2014 (B) | 5,000 | 5,156 | ||||||
Pricoa Global Funding I | ||||||||
5.450%, 06/11/2014 (B) | 300 | 322 | ||||||
Principal Life Global Funding I | ||||||||
5.050%, 03/15/2015 (B) | 750 | 820 | ||||||
Principal Life Income Funding Trusts MTN | ||||||||
5.100%, 04/15/2014 | 600 | 635 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 81 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Private Export Funding | ||||||||
4.375%, 03/15/2019 | $ | 4,660 | $ | 5,597 | ||||
2.450%, 07/15/2024 | 3,698 | 3,799 | ||||||
2.125%, 07/15/2016 | 4,760 | 5,037 | ||||||
2.050%, 11/15/2022 | 6,709 | 6,749 | ||||||
1.450%, 08/15/2019 | 4,833 | 4,898 | ||||||
Prudential Financial MTN | ||||||||
5.625%, 05/12/2041 | 671 | 767 | ||||||
5.625%, 06/15/2043 (A) (C) | 2,195 | 2,200 | ||||||
Prudential Holdings | ||||||||
8.695%, 12/18/2023 (B) | 3,060 | 4,049 | ||||||
Prudential Holdings LLC | ||||||||
1.260%, 12/18/2017 (A) (B) | 4,550 | 4,373 | ||||||
Prudential Insurance of America | ||||||||
8.300%, 07/01/2025 (B) | 600 | 816 | ||||||
Reckson Operating Partnership‡ | ||||||||
6.000%, 03/31/2016 | 95 | 105 | ||||||
Royal Bank of Canada | ||||||||
2.300%, 07/20/2016 (C) | 640 | 670 | ||||||
1.200%, 09/19/2017 | 1,126 | 1,133 | ||||||
0.625%, 12/04/2015 | 2,970 | 2,971 | ||||||
0.563%, 06/29/2085 (A) | 860 | 516 | ||||||
Royal Bank of Scotland Group | ||||||||
7.640%, 09/29/2017 (A) | 800 | 684 | ||||||
6.400%, 10/21/2019 | 2,200 | 2,604 | ||||||
6.125%, 12/15/2022 | 2,910 | 2,984 | ||||||
2.550%, 09/18/2015 | 9,864 | 10,093 | ||||||
Safina | ||||||||
1.550%, 01/15/2022 | 1,865 | 1,869 | ||||||
Santander US Debt SAU | ||||||||
3.724%, 01/20/2015 (B) | 2,880 | 2,889 | ||||||
Security Benefit Life Insurance | ||||||||
8.750%, 05/15/2016 (B) | 5,200 | 5,463 | ||||||
Shurgard Storage Centers LLC‡ | ||||||||
5.875%, 03/15/2013 | 154 | 156 | ||||||
Simon Property Group‡ | ||||||||
10.350%, 04/01/2019 | 940 | 1,358 | ||||||
6.750%, 05/15/2014 | 165 | 177 | ||||||
5.650%, 02/01/2020 (C) | 133 | 160 | ||||||
4.375%, 03/01/2021 | 130 | 148 | ||||||
4.125%, 12/01/2021 | 108 | 122 | ||||||
SLM MTN | ||||||||
8.450%, 06/15/2018 | 530 | 616 | ||||||
3.875%, 09/10/2015 | 1,390 | 1,421 | ||||||
Societe Generale | ||||||||
0.811%, 11/29/2049 (A) | 680 | 313 | ||||||
0.603%, 11/29/2049 (A) | 180 | 83 | ||||||
Sparebank 1 Boligkreditt | ||||||||
1.750%, 11/15/2019 (B) | 3,971 | 3,945 | ||||||
Stadshypotek | ||||||||
1.875%, 10/02/2019 (B) (C) | 5,851 | 5,887 | ||||||
1.450%, 09/30/2013 (B) (C) | 1,394 | 1,405 | ||||||
State Street | ||||||||
4.956%, 03/15/2018 | 2,490 | 2,824 | ||||||
4.300%, 05/30/2014 | 60 | 63 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Sumitomo Mitsui Banking | ||||||||
3.150%, 07/22/2015 (B) | $ | 1,980 | $ | 2,089 | ||||
3.100%, 01/14/2016 (B) | 640 | 684 | ||||||
SunTrust Preferred Capital I | ||||||||
4.000%, 12/31/2049 (A) | 2,533 | 2,064 | ||||||
Svenska Handelsbanken | ||||||||
3.125%, 07/12/2016 | 282 | 299 | ||||||
2.875%, 04/04/2017 | 3,127 | 3,314 | ||||||
Swedbank MTN | ||||||||
2.125%, 09/29/2017 (B) | 4,346 | 4,410 | ||||||
Swiss Re Treasury US | ||||||||
4.250%, 12/06/2042 (B) | 1,260 | 1,252 | ||||||
2.875%, 12/06/2022 (B) | 1,260 | 1,260 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.850%, 12/16/2039 (B) | 1,890 | 2,614 | ||||||
Temasek Financial I | ||||||||
2.375%, 01/23/2023 (B) | 1,660 | 1,649 | ||||||
Toronto-Dominion Bank MTN | ||||||||
2.500%, 07/14/2016 (C) | 538 | 567 | ||||||
2.200%, 07/29/2015 (B) | 295 | 308 | ||||||
Toyota Motor Credit MTN | ||||||||
3.400%, 09/15/2021 | 2,690 | 2,963 | ||||||
3.200%, 06/17/2015 | 308 | 327 | ||||||
2.050%, 01/12/2017 | 215 | 224 | ||||||
2.000%, 09/15/2016 | 930 | 964 | ||||||
1.250%, 10/05/2017 | 2,980 | 3,001 | ||||||
Travelers | ||||||||
5.900%, 06/02/2019 | 145 | 181 | ||||||
Travelers Property Casualty | ||||||||
7.750%, 04/15/2026 | 300 | 424 | ||||||
UBS MTN | ||||||||
5.875%, 12/20/2017 | 520 | 619 | ||||||
5.750%, 04/25/2018 | 150 | 179 | ||||||
3.875%, 01/15/2015 | 1,170 | 1,237 | ||||||
2.250%, 08/12/2013 (C) | 250 | 253 | ||||||
2.250%, 01/28/2014 | 1,690 | 1,716 | ||||||
UDR MTN | ||||||||
6.050%, 06/01/2013‡ | 370 | 379 | ||||||
5.250%, 01/15/2015‡ | 75 | 81 | ||||||
4.250%, 06/01/2018‡ | 2,000 | 2,194 | ||||||
US Bancorp MTN | ||||||||
4.125%, 05/24/2021 | 134 | 155 | ||||||
3.000%, 03/15/2022 | 67 | 71 | ||||||
2.875%, 11/20/2014 | 415 | 434 | ||||||
2.450%, 07/27/2015 | 300 | 315 | ||||||
Ventas Realty‡ | ||||||||
4.000%, 04/30/2019 | 3,553 | 3,824 | ||||||
Verizon Global Funding | ||||||||
7.750%, 12/01/2030 | 3,940 | 5,796 | ||||||
Vesey Street Investment Trust I | ||||||||
0.000%, 09/01/2016 (H) | 870 | 940 | ||||||
Wachovia | ||||||||
5.750%, 06/15/2017 | 690 | 820 | ||||||
5.750%, 02/01/2018 | 350 | 422 |
82 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.500%, 05/01/2013 (C) | $ | 644 | $ | 658 | ||||
5.250%, 08/01/2014 | 650 | 696 | ||||||
0.653%, 10/28/2015 (A) | 3,610 | 3,559 | ||||||
Wachovia Bank MTN | ||||||||
6.000%, 11/15/2017 | 3,950 | 4,760 | ||||||
0.719%, 03/15/2016 (A) | 1,200 | 1,182 | ||||||
Wachovia Capital Trust III | ||||||||
5.570%, 12/31/2049 (A) | 4,792 | 4,774 | ||||||
WEA Finance | ||||||||
7.125%, 04/15/2018 (B) (C) | 3,655 | 4,512 | ||||||
6.750%, 09/02/2019 (B) | 721 | 893 | ||||||
WEA Finance LLC | ||||||||
4.625%, 05/10/2021 (B) | 930 | 1,038 | ||||||
3.375%, 10/03/2022 (B) | 1,814 | 1,847 | ||||||
Wells Fargo | ||||||||
5.625%, 12/11/2017 | 830 | 996 | ||||||
5.000%, 11/15/2014 | 1,085 | 1,167 | ||||||
4.600%, 04/01/2021 | 840 | 975 | ||||||
3.676%, 06/15/2016 (C) (H) | 3,170 | 3,451 | ||||||
2.100%, 05/08/2017 | 1,240 | 1,286 | ||||||
Wells Fargo Bank | ||||||||
4.750%, 02/09/2015 | 300 | 323 | ||||||
Wells Fargo Capital X | ||||||||
5.950%, 12/15/2036 | 1,350 | 1,367 | ||||||
Westpac Banking MTN | ||||||||
4.875%, 11/19/2019 (C) | 604 | 707 | ||||||
2.450%, 11/28/2016 (B) (C) | 350 | 370 | ||||||
1.092%, 03/31/2014 (A) (B) | 725 | 730 | ||||||
Woodbourne Capital Trust I | ||||||||
1.100%, 04/08/2049 (A) (B) | 625 | 269 | ||||||
WR Berkley | ||||||||
4.625%, 03/15/2022 | 1,286 | 1,381 | ||||||
ZFS Finance USA Trust II | ||||||||
6.450%, 12/15/2065 (A) (B) | 6,290 | 6,699 | ||||||
|
| |||||||
1,000,522 | ||||||||
|
| |||||||
Health Care — 1.0% | ||||||||
Aetna | ||||||||
6.750%, 12/15/2037 | 60 | 83 | ||||||
4.500%, 05/15/2042 | 71 | 75 | ||||||
Amgen | ||||||||
5.750%, 03/15/2040 (C) | 237 | 286 | ||||||
5.700%, 02/01/2019 | 100 | 121 | ||||||
5.650%, 06/15/2042 | 3,950 | 4,792 | ||||||
5.375%, 05/15/2043 | 2,715 | 3,209 | ||||||
5.150%, 11/15/2041 | 4,035 | 4,602 | ||||||
4.850%, 11/18/2014 | 50 | 54 | ||||||
4.500%, 03/15/2020 | 84 | 96 | ||||||
3.875%, 11/15/2021 (C) | 200 | 220 | ||||||
AstraZeneca | ||||||||
1.950%, 09/18/2019 | 2,165 | 2,214 | ||||||
Boston Scientific | ||||||||
6.400%, 06/15/2016 | 2,130 | 2,464 | ||||||
Celgene | ||||||||
3.250%, 08/15/2022 | 4,250 | 4,365 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
1.900%, 08/15/2017 | $ | 337 | $ | 345 | ||||
Coventry Health Care | ||||||||
5.950%, 03/15/2017 | 2,788 | 3,262 | ||||||
Express Scripts Holding | ||||||||
3.500%, 11/15/2016 (B) | 4,920 | 5,289 | ||||||
2.650%, 02/15/2017 (B) | 812 | 848 | ||||||
2.100%, 02/12/2015 (B) | 4,635 | 4,727 | ||||||
Gilead Sciences | ||||||||
4.500%, 04/01/2021 | 1,980 | 2,280 | ||||||
GlaxoSmithKline Capital | ||||||||
5.650%, 05/15/2018 | 1,730 | 2,122 | ||||||
HCA | ||||||||
5.750%, 03/15/2014 | 5,548 | 5,798 | ||||||
Hospira | ||||||||
6.400%, 05/15/2015 | 20 | 22 | ||||||
Humana | ||||||||
7.200%, 06/15/2018 | 2,120 | 2,631 | ||||||
Life Technologies | ||||||||
5.000%, 01/15/2021 | 1,651 | 1,874 | ||||||
Medco Health Solutions | ||||||||
7.125%, 03/15/2018 | 250 | 314 | ||||||
2.750%, 09/15/2015 (C) | 135 | 141 | ||||||
Medtronic | ||||||||
4.450%, 03/15/2020 | 1,320 | 1,542 | ||||||
Merck | ||||||||
2.400%, 09/15/2022 | 156 | 158 | ||||||
Pharmacia | ||||||||
6.500%, 12/01/2018 | 430 | 556 | ||||||
Roche Holdings | ||||||||
6.000%, 03/01/2019 (B) | 1,260 | 1,584 | ||||||
Thermo Fisher Scientific | ||||||||
3.600%, 08/15/2021 | 770 | 827 | ||||||
3.200%, 03/01/2016 | 1,425 | 1,522 | ||||||
UnitedHealth Group | ||||||||
6.625%, 11/15/2037 | 360 | 488 | ||||||
5.800%, 03/15/2036 | 560 | 688 | ||||||
5.700%, 10/15/2040 | 910 | 1,112 | ||||||
4.875%, 02/15/2013 | 322 | 325 | ||||||
3.950%, 10/15/2042 | 655 | 650 | ||||||
3.875%, 10/15/2020 | 980 | 1,097 | ||||||
3.375%, 11/15/2021 | 225 | 242 | ||||||
2.750%, 02/15/2023 | 125 | 127 | ||||||
1.400%, 10/15/2017 | 1,458 | 1,468 | ||||||
Watson Pharmaceuticals | ||||||||
3.250%, 10/01/2022 | 112 | 115 | ||||||
1.875%, 10/01/2017 | 2,738 | 2,789 | ||||||
WellPoint | ||||||||
6.000%, 02/15/2014 | 383 | 407 | ||||||
5.875%, 06/15/2017 | 350 | 416 | ||||||
4.625%, 05/15/2042 | 1,204 | 1,257 | ||||||
3.700%, 08/15/2021 | 2,790 | 2,963 | ||||||
3.300%, 01/15/2023 | 133 | 137 | ||||||
3.125%, 05/15/2022 | 2,607 | 2,654 | ||||||
1.875%, 01/15/2018 | 1,205 | 1,227 | ||||||
1.250%, 09/10/2015 | 1,460 | 1,473 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 83 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Wyeth | ||||||||
5.950%, 04/01/2037 | $ | 2,460 | $ | 3,299 | ||||
|
| |||||||
81,357 | ||||||||
|
| |||||||
Industrials — 0.9% | ||||||||
ABB Finance USA | ||||||||
4.375%, 05/08/2042 | 47 | 53 | ||||||
2.875%, 05/08/2022 | 117 | 121 | ||||||
1.625%, 05/08/2017 | 81 | 82 | ||||||
ADT | ||||||||
4.875%, 07/15/2042 (B) | 111 | 112 | ||||||
3.500%, 07/15/2022 (B) | 105 | 105 | ||||||
Air 2 US | ||||||||
8.027%, 10/01/2019 (B) | 1,426 | 1,455 | ||||||
American Airlines Pass-Through Trust, | ||||||||
5.250%, 01/31/2021 | 107 | 110 | ||||||
American Airlines Pass-Through Trust, | ||||||||
8.625%, 10/15/2021 | 259 | 265 | ||||||
BAE Systems | ||||||||
5.800%, 10/11/2041 (B) | 90 | 111 | ||||||
4.750%, 10/11/2021 (B) | 3,955 | 4,471 | ||||||
BAE Systems Holdings | ||||||||
5.200%, 08/15/2015 (B) | 360 | 395 | ||||||
Boeing | ||||||||
4.875%, 02/15/2020 | 2,650 | 3,226 | ||||||
Burlington Northern Santa Fe | ||||||||
7.290%, 06/01/2036 | 200 | 274 | ||||||
5.650%, 05/01/2017 | 200 | 238 | ||||||
4.375%, 09/01/2042 | 150 | 161 | ||||||
3.450%, 09/15/2021 | 60 | 65 | ||||||
Burlington Northern Santa Fe LLC | ||||||||
5.400%, 06/01/2041 | 200 | 243 | ||||||
4.700%, 10/01/2019 | 375 | 436 | ||||||
3.050%, 09/01/2022 (C) | 300 | 315 | ||||||
Canadian National Railway | ||||||||
5.850%, 11/15/2017 | 150 | 181 | ||||||
5.550%, 05/15/2018 | 385 | 467 | ||||||
Cargill | ||||||||
7.350%, 03/06/2019 (B) | 400 | 506 | ||||||
3.300%, 03/01/2022 (B) | 200 | 208 | ||||||
Caterpillar | ||||||||
2.600%, 06/26/2022 | 123 | 125 | ||||||
Continental Airlines | ||||||||
5.983%, 04/19/2022 | 2,822 | 3,154 | ||||||
Continental Airlines Pass-Through Trust, Ser 1997-4, Cl A | ||||||||
6.900%, 01/02/2018 | 147 | 158 | ||||||
Continental Airlines Pass-Through Trust, Ser 1999-1, Cl A | ||||||||
6.545%, 02/02/2019 | 476 | 526 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Continental Airlines Pass-Through Trust, Ser 1999-2, Cl C-2 | ||||||||
7.256%, 03/15/2020 | $ | 1,166 | $ | 1,268 | ||||
Continental Airlines Pass-Through Trust, Ser 2001-1, Cl A-1 | ||||||||
8.048%, 11/01/2020 | 2,307 | 2,610 | ||||||
Continental Airlines Pass-Through Trust, Ser 2012-2, Cl A | ||||||||
4.000%, 10/29/2024 (C) | 127 | 134 | ||||||
CRH America | ||||||||
6.000%, 09/30/2016 | 154 | 173 | ||||||
CSX | ||||||||
7.375%, 02/01/2019 (C) | 460 | 589 | ||||||
4.250%, 06/01/2021 | 65 | 74 | ||||||
Danaher | ||||||||
3.900%, 06/23/2021 (C) | 266 | 300 | ||||||
Deere | ||||||||
3.900%, 06/09/2042 | 64 | 66 | ||||||
2.600%, 06/08/2022 | 74 | 76 | ||||||
Delta Air Lines Pass-Through Trust, Ser 2007-1, Cl A | ||||||||
6.821%, 08/10/2022 | 1,703 | 1,909 | ||||||
Delta Air Lines Pass-Through Trust, Ser 2010-2, Cl A | ||||||||
4.950%, 05/23/2019 (C) | 243 | 265 | ||||||
Delta Air Lines Pass-Through Trust, Ser 2011-1, Cl A | ||||||||
5.300%, 04/15/2019 | 75 | 82 | ||||||
Delta Air Lines Pass-Through Trust, Ser 2012-1, Cl A | ||||||||
4.750%, 05/07/2020 | 102 | 108 | ||||||
Eaton | ||||||||
7.625%, 04/01/2024 | 325 | 429 | ||||||
Fluor | ||||||||
3.375%, 09/15/2021 | 308 | 332 | ||||||
General Electric | ||||||||
5.250%, 12/06/2017 | 250 | 296 | ||||||
4.125%, 10/09/2042 | 155 | 162 | ||||||
0.850%, 10/09/2015 | 1,240 | 1,241 | ||||||
Illinois Tool Works | ||||||||
3.900%, 09/01/2042 (C) | 960 | 1,001 | ||||||
Ingersoll-Rand | ||||||||
6.391%, 11/15/2027 | 425 | 519 | ||||||
JetBlue Airways Private Trust, Ser 2004-2, Cl G1 | ||||||||
0.398%, 08/15/2016 (A) | 3,555 | 3,359 | ||||||
Koninklijke Philips Electronics | ||||||||
7.200%, 06/01/2026 | 300 | 404 | ||||||
5.750%, 03/11/2018 | 100 | 122 | ||||||
3.750%, 03/15/2022 | 424 | 468 | ||||||
Lockheed Martin | ||||||||
5.720%, 06/01/2040 | 405 | 524 | ||||||
3.350%, 09/15/2021 | 3,435 | 3,670 | ||||||
2.125%, 09/15/2016 | 187 | 195 |
84 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Norfolk Southern | ||||||||
6.000%, 05/23/2111 | $ | 527 | $ | 647 | ||||
3.950%, 10/01/2042 | 129 | 131 | ||||||
Northrop Grumman | ||||||||
1.850%, 11/15/2015 | 2,380 | 2,448 | ||||||
Owens Corning | ||||||||
4.200%, 12/15/2022 | 1,558 | 1,580 | ||||||
Pitney Bowes MTN | ||||||||
5.600%, 03/15/2018 | 100 | 106 | ||||||
5.000%, 03/15/2015 (C) | 225 | 234 | ||||||
4.875%, 08/15/2014 | 325 | 339 | ||||||
Raytheon | ||||||||
3.125%, 10/15/2020 | 780 | 837 | ||||||
Republic Services | ||||||||
3.550%, 06/01/2022 | 125 | 132 | ||||||
Ryder System MTN | ||||||||
3.600%, 03/01/2016 | 132 | 140 | ||||||
2.500%, 03/01/2017 | 177 | 181 | ||||||
Turlock | ||||||||
4.150%, 11/02/2042 (B) | 1,080 | 1,102 | ||||||
4.000%, 11/02/2032 (B) | 929 | 946 | ||||||
2.750%, 11/02/2022 (B) | 4,960 | 4,996 | ||||||
1.500%, 11/02/2017 (B) | 1,142 | 1,147 | ||||||
0.950%, 11/02/2015 (B) | 2,960 | 2,960 | ||||||
Union Pacific | ||||||||
4.875%, 01/15/2015 | 497 | 539 | ||||||
4.300%, 06/15/2042 | 100 | 108 | ||||||
4.163%, 07/15/2022 | 437 | 498 | ||||||
Union Pacific Railroad 2003 Pass-Through Trust | ||||||||
4.698%, 01/02/2024 | 157 | 175 | ||||||
United Parcel Service | ||||||||
4.500%, 01/15/2013 | 1,670 | 1,678 | ||||||
2.450%, 10/01/2022 | 100 | 102 | ||||||
United Parcel Service of America | ||||||||
8.375%, 04/01/2020 | 140 | 194 | ||||||
United Technologies | ||||||||
8.875%, 11/15/2019 | 400 | 548 | ||||||
5.400%, 05/01/2035 | 640 | 808 | ||||||
4.500%, 06/01/2042 | 1,570 | 1,785 | ||||||
3.100%, 06/01/2022 | 230 | 248 | ||||||
US Airways Pass-Through Trust, Ser 2012-1, Cl A | ||||||||
5.900%, 10/01/2024 | 50 | 54 | ||||||
US Airways Pass-Through Trust, Ser 2012-2, Cl A | ||||||||
4.625%, 06/03/2025 | 5,270 | 5,270 | ||||||
Waste Management | ||||||||
7.125%, 12/15/2017 | 1,650 | 2,021 | ||||||
4.750%, 06/30/2020 | 299 | 345 | ||||||
2.600%, 09/01/2016 | 1,015 | 1,069 | ||||||
|
| |||||||
71,307 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Information Technology — 0.2% |
| |||||||
Arrow Electronics | ||||||||
6.875%, 07/01/2013 | $ | 80 | $ | 83 | ||||
6.875%, 06/01/2018 | 270 | 320 | ||||||
6.000%, 04/01/2020 | 225 | 256 | ||||||
3.375%, 11/01/2015 | 60 | 62 | ||||||
Baidu | ||||||||
3.500%, 11/28/2022 | 1,575 | 1,594 | ||||||
Cisco Systems | ||||||||
5.900%, 02/15/2039 | 250 | 330 | ||||||
5.500%, 01/15/2040 | 500 | 637 | ||||||
eBay | ||||||||
4.000%, 07/15/2042 | 84 | 82 | ||||||
2.600%, 07/15/2022 | 74 | 75 | ||||||
Hewlett-Packard | ||||||||
6.000%, 09/15/2041 | 400 | 376 | ||||||
4.650%, 12/09/2021 | 87 | 84 | ||||||
4.300%, 06/01/2021 | 200 | 189 | ||||||
2.600%, 09/15/2017 | 187 | 178 | ||||||
HP Enterprise Services LLC | ||||||||
7.450%, 10/15/2029 | 500 | 592 | ||||||
Intel | ||||||||
4.800%, 10/01/2041 | 293 | 325 | ||||||
3.300%, 10/01/2021 | 312 | 337 | ||||||
International Business Machines | ||||||||
7.625%, 10/15/2018 | 365 | 491 | ||||||
4.000%, 06/20/2042 | 169 | 179 | ||||||
1.950%, 07/22/2016 | 126 | 131 | ||||||
1.250%, 02/06/2017 | 189 | 191 | ||||||
Intuit | ||||||||
5.750%, 03/15/2017 | 765 | 888 | ||||||
Microsoft | ||||||||
4.500%, 10/01/2040 | 61 | 69 | ||||||
1.625%, 09/25/2015 | 405 | 417 | ||||||
0.875%, 11/15/2017 | 54 | 54 | ||||||
National Semiconductor | ||||||||
6.600%, 06/15/2017 | 500 | 621 | ||||||
3.950%, 04/15/2015 (C) | 500 | 538 | ||||||
Oracle | ||||||||
6.500%, 04/15/2038 | 100 | 141 | ||||||
6.125%, 07/08/2039 | 163 | 221 | ||||||
5.375%, 07/15/2040 | 97 | 123 | ||||||
5.000%, 07/08/2019 | 450 | 541 | ||||||
2.500%, 10/15/2022 | 1,568 | 1,588 | ||||||
1.200%, 10/15/2017 | 6,495 | 6,509 | ||||||
Xerox | ||||||||
8.250%, 05/15/2014 | 320 | 351 | ||||||
4.500%, 05/15/2021 | 80 | 84 | ||||||
2.950%, 03/15/2017 | 165 | 169 | ||||||
|
| |||||||
18,826 | ||||||||
|
| |||||||
Materials — 0.8% | ||||||||
Barrick | ||||||||
3.850%, 04/01/2022 | 1,779 | 1,900 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 85 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Barrick Gold | ||||||||
6.950%, 04/01/2019 | $ | 1,660 | $ | 2,078 | ||||
Barrick North America Finance LLC | ||||||||
4.400%, 05/30/2021 | 1,050 | 1,163 | ||||||
BHP Billiton Finance USA | ||||||||
6.500%, 04/01/2019 | 445 | 573 | ||||||
4.125%, 02/24/2042 | 147 | 158 | ||||||
3.250%, 11/21/2021 | 4,560 | 4,930 | ||||||
Celulosa Arauco y Constitucion | ||||||||
4.750%, 01/11/2022 | 1,150 | 1,227 | ||||||
Cliffs Natural Resources | ||||||||
4.875%, 04/01/2021 (C) | 320 | 315 | ||||||
Dow Chemical | ||||||||
8.550%, 05/15/2019 | 377 | 510 | ||||||
7.600%, 05/15/2014 | 410 | 449 | ||||||
5.250%, 11/15/2041 | 1,525 | 1,697 | ||||||
4.250%, 11/15/2020 (C) | 118 | 130 | ||||||
3.000%, 11/15/2022 | 5,405 | 5,393 | ||||||
E.I. du Pont de Nemours | ||||||||
5.600%, 12/15/2036 | 275 | 358 | ||||||
4.900%, 01/15/2041 | 125 | 151 | ||||||
1.950%, 01/15/2016 | 162 | 168 | ||||||
Ecolab | ||||||||
4.350%, 12/08/2021 | 620 | 695 | ||||||
Freeport-McMoRan Copper | ||||||||
3.550%, 03/01/2022 | 3,005 | 3,057 | ||||||
2.150%, 03/01/2017 | 404 | 413 | ||||||
Mosaic | ||||||||
4.875%, 11/15/2041 | 117 | 133 | ||||||
3.750%, 11/15/2021 | 98 | 105 | ||||||
Nacional del Cobre de Chile | ||||||||
4.750%, 10/15/2014 (B) | 900 | 953 | ||||||
Placer Dome | ||||||||
6.450%, 10/15/2035 | 200 | 243 | ||||||
Potash Corp of Saskatchewan | ||||||||
6.500%, 05/15/2019 | 250 | 316 | ||||||
4.875%, 03/30/2020 | 10 | 12 | ||||||
PPG Industries | ||||||||
9.000%, 05/01/2021 | 515 | 719 | ||||||
6.650%, 03/15/2018 | 695 | 870 | ||||||
5.750%, 03/15/2013 | 595 | 604 | ||||||
Praxair | ||||||||
5.250%, 11/15/2014 | 205 | 223 | ||||||
5.200%, 03/15/2017 | 215 | 253 | ||||||
4.375%, 03/31/2014 | 250 | 263 | ||||||
Rio Tinto Finance USA | ||||||||
8.950%, 05/01/2014 | 265 | 295 | ||||||
6.500%, 07/15/2018 | 3,720 | 4,676 | ||||||
4.125%, 05/20/2021 | 770 | 855 | ||||||
3.750%, 09/20/2021 | 1,530 | 1,657 | ||||||
3.500%, 11/02/2020 | 77 | 83 | ||||||
Rock-Tenn | ||||||||
4.000%, 03/01/2023 (B) | 690 | 701 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
3.500%, 03/01/2020 (B) | $ | 570 | $ | 590 | ||||
Southern Copper | ||||||||
5.250%, 11/08/2042 | 3,910 | 3,829 | ||||||
Stauffer Chemical | ||||||||
7.062%, 04/15/2018 | 860 | 289 | ||||||
6.877%, 04/15/2017 (D) (G) | 350 | 143 | ||||||
Teck Resources | ||||||||
6.250%, 07/15/2041 | 1,272 | 1,451 | ||||||
Union Carbide | ||||||||
7.750%, 10/01/2096 | 200 | 244 | ||||||
7.500%, 06/01/2025 | 200 | 247 | ||||||
Vale | ||||||||
5.625%, 09/11/2042 | 1,638 | 1,769 | ||||||
Vale Overseas | ||||||||
8.250%, 01/17/2034 | 365 | 497 | ||||||
6.875%, 11/21/2036 | 2,958 | 3,660 | ||||||
4.375%, 01/11/2022 | 4,015 | 4,253 | ||||||
Xstrata Finance Canada | ||||||||
2.450%, 10/25/2017 (B) | 7,490 | 7,558 | ||||||
1.800%, 10/23/2015 (B) | 6,918 | 6,949 | ||||||
|
| |||||||
69,805 | ||||||||
|
| |||||||
Telecommunication Services — 1.3% |
| |||||||
America Movil | ||||||||
5.625%, 11/15/2017 | 1,450 | 1,754 | ||||||
5.000%, 03/30/2020 | 740 | 870 | ||||||
3.125%, 07/16/2022 | 5,605 | 5,755 | ||||||
2.375%, 09/08/2016 | 1,838 | 1,920 | ||||||
AT&T | ||||||||
8.000%, 11/15/2031 | 43 | 67 | ||||||
6.800%, 05/15/2036 | 300 | 405 | ||||||
6.550%, 02/15/2039 | 1,890 | 2,514 | ||||||
6.300%, 01/15/2038 | 7,595 | 9,747 | ||||||
5.800%, 02/15/2019 | 500 | 617 | ||||||
5.600%, 05/15/2018 | 660 | 800 | ||||||
5.550%, 08/15/2041 | 4,240 | 5,085 | ||||||
5.500%, 02/01/2018 | 3,350 | 4,017 | ||||||
5.350%, 09/01/2040 | 1,431 | 1,665 | ||||||
5.100%, 09/15/2014 | 2,310 | 2,491 | ||||||
3.875%, 08/15/2021 | 460 | 517 | ||||||
1.600%, 02/15/2017 | 3,290 | 3,345 | ||||||
BellSouth | ||||||||
6.875%, 10/15/2031 | 150 | 185 | ||||||
6.550%, 06/15/2034 | 200 | 244 | ||||||
Bellsouth Capital Funding | ||||||||
7.120%, 07/15/2097 | 366 | 467 | ||||||
BellSouth Telecommunications | ||||||||
7.000%, 12/01/2095 | 184 | 231 | ||||||
6.300%, 12/15/2015 | 165 | 174 | ||||||
British Telecommunications | ||||||||
5.950%, 01/15/2018 | 1,611 | 1,937 | ||||||
CCO Holdings LLC | ||||||||
7.000%, 01/15/2019 | 410 | 444 |
86 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Cellco Partnership | ||||||||
8.500%, 11/15/2018 | $ | 240 | $ | 332 | ||||
Centel Capital | ||||||||
9.000%, 10/15/2019 | 325 | 389 | ||||||
CenturyLink | ||||||||
7.650%, 03/15/2042 | 1,145 | 1,194 | ||||||
7.600%, 09/15/2039 | 360 | 373 | ||||||
6.450%, 06/15/2021 | 540 | 594 | ||||||
Comcast Cable Communications Holdings | ||||||||
9.455%, 11/15/2022 | 920 | 1,377 | ||||||
Comcast Cable Communications LLC | ||||||||
8.875%, 05/01/2017 | 150 | 195 | ||||||
Comcast Cable Holdings LLC | ||||||||
10.125%, 04/15/2022 | 190 | 280 | ||||||
COX Communications | ||||||||
5.450%, 12/15/2014 | 1,075 | 1,176 | ||||||
Cox Enterprises | ||||||||
7.375%, 07/15/2027 (B) | 170 | 217 | ||||||
Crown Castle Towers LLC | ||||||||
3.214%, 08/15/2015 (B) | 290 | 303 | ||||||
Deutsche Telekom International Finance | ||||||||
5.750%, 03/23/2016 | 2,085 | 2,376 | ||||||
Deutsche Telekom International Finance BV | ||||||||
6.000%, 07/08/2019 | 600 | 739 | ||||||
2.250%, 03/06/2017 (B) (C) | 4,740 | 4,875 | ||||||
DIRECTV Holdings | ||||||||
6.000%, 08/15/2040 | 3,000 | 3,271 | ||||||
5.150%, 03/15/2042 | 565 | 568 | ||||||
4.600%, 02/15/2021 | 400 | 434 | ||||||
DIRECTV Holdings LLC | ||||||||
3.800%, 03/15/2022 | 1,975 | 2,016 | ||||||
Discovery Communications | ||||||||
4.950%, 05/15/2042 | 115 | 125 | ||||||
Discovery Communications LLC | ||||||||
4.375%, 06/15/2021 | 344 | 389 | ||||||
France Telecom | ||||||||
8.500%, 03/01/2031 | 370 | 549 | ||||||
2.750%, 09/14/2016 | 140 | 147 | ||||||
Frontier Communications | ||||||||
6.625%, 03/15/2015 (C) | 490 | 534 | ||||||
GTE | ||||||||
8.750%, 11/01/2021 | 600 | 853 | ||||||
6.840%, 04/15/2018 | 800 | 1,012 | ||||||
GTP Acquisition Partners I LLC | ||||||||
4.347%, 06/15/2016 (B) | 606 | 644 | ||||||
Intelsat Jackson Holdings | ||||||||
7.250%, 04/01/2019 | 485 | 518 | ||||||
News America | ||||||||
7.300%, 04/30/2028 | 500 | 642 | ||||||
6.650%, 11/15/2037 | 385 | 495 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.150%, 03/01/2037 | $ | 4,690 | $ | 5,737 | ||||
News America Holdings | ||||||||
8.875%, 04/26/2023 | 200 | 268 | ||||||
7.700%, 10/30/2025 | 200 | 270 | ||||||
Nippon Telegraph & Telephone | ||||||||
1.400%, 07/18/2017 | 200 | 203 | ||||||
Pearson Funding Four | ||||||||
3.750%, 05/08/2022 (B) | 1,254 | 1,333 | ||||||
Qwest | ||||||||
6.750%, 12/01/2021 | 593 | 696 | ||||||
Reed Elsevier Capital | ||||||||
3.125%, 10/15/2022 (B) | 2,355 | 2,339 | ||||||
Sprint Capital | ||||||||
8.750%, 03/15/2032 | 390 | 463 | ||||||
TCI Communications | ||||||||
8.750%, 08/01/2015 | 701 | 844 | ||||||
7.125%, 02/15/2028 | 400 | 535 | ||||||
Telecom Italia Capital | ||||||||
6.999%, 06/04/2018 | 500 | 563 | ||||||
6.175%, 06/18/2014 | 100 | 105 | ||||||
5.250%, 11/15/2013 | 370 | 380 | ||||||
Telefonica Chile | ||||||||
3.875%, 10/12/2022 (B) | 1,850 | 1,826 | ||||||
Telefonica Emisiones | ||||||||
6.421%, 06/20/2016 | 230 | 248 | ||||||
5.855%, 02/04/2013 | 295 | 296 | ||||||
Telefonica Emisiones SAU | ||||||||
6.221%, 07/03/2017 (C) | 690 | 745 | ||||||
5.877%, 07/15/2019 | 295 | 310 | ||||||
5.462%, 02/16/2021 | 69 | 70 | ||||||
5.134%, 04/27/2020 | 1,280 | 1,283 | ||||||
Telefonica Moviles Chile | ||||||||
2.875%, 11/09/2015 (B) | 1,078 | 1,097 | ||||||
Time Warner Entertainment | ||||||||
8.375%, 03/15/2023 | 232 | 331 | ||||||
Verizon Communications | ||||||||
8.750%, 11/01/2018 | 634 | 886 | ||||||
6.100%, 04/15/2018 | 1,909 | 2,365 | ||||||
5.850%, 09/15/2035 | 150 | 190 | ||||||
5.500%, 02/15/2018 | 2,460 | 2,970 | ||||||
3.850%, 11/01/2042 | 1,935 | 1,932 | ||||||
2.450%, 11/01/2022 | 3,660 | 3,674 | ||||||
Verizon Maryland | ||||||||
7.150%, 05/01/2023 | 600 | 612 | ||||||
Verizon New England | ||||||||
7.875%, 11/15/2029 | 500 | 671 | ||||||
Verizon Virginia | ||||||||
4.625%, 03/15/2013 | 50 | 51 | ||||||
Virgin Media Secured Finance | ||||||||
6.500%, 01/15/2018 | 140 | 152 | ||||||
Vodafone Group | ||||||||
5.450%, 06/10/2019 | 226 | 276 | ||||||
1.625%, 03/20/2017 | 240 | 244 | ||||||
1.250%, 09/26/2017 | 2,690 | 2,693 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 87 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Windstream | ||||||||
8.125%, 09/01/2018 (C) | $ | 365 | $ | 396 | ||||
WPP Finance 2010 | ||||||||
5.125%, 09/07/2042 | 513 | 516 | ||||||
WPP Finance UK | ||||||||
8.000%, 09/15/2014 | 520 | 577 | ||||||
|
| |||||||
110,015 | ||||||||
|
| |||||||
Utilities — 1.6% |
| |||||||
AGL Capital | ||||||||
6.375%, 07/15/2016 | 200 | 237 | ||||||
5.875%, 03/15/2041 | 73 | 97 | ||||||
5.250%, 08/15/2019 | 170 | 204 | ||||||
4.450%, 04/15/2013 | 400 | 406 | ||||||
Alabama Power | ||||||||
6.125%, 05/15/2038 | 69 | 93 | ||||||
5.875%, 12/01/2022 | 275 | 348 | ||||||
5.500%, 10/15/2017 | 810 | 976 | ||||||
3.850%, 12/01/2042 | 1,460 | 1,457 | ||||||
Alabama Power Capital Trust V | ||||||||
3.460%, 10/01/2042 (A) | 100 | 100 | ||||||
Ameren | ||||||||
8.875%, 05/15/2014 | 2,080 | 2,294 | ||||||
Ameren Illinois | ||||||||
2.700%, 09/01/2022 | 3,185 | 3,224 | ||||||
American Electric Power | ||||||||
1.650%, 12/15/2017 | 3,232 | 3,241 | ||||||
American Water Capital | ||||||||
6.085%, 10/15/2017 (C) | 400 | 475 | ||||||
Appalachian Power | ||||||||
5.950%, 05/15/2033 | 200 | 234 | ||||||
4.600%, 03/30/2021 | 150 | 175 | ||||||
APT Pipelines | ||||||||
3.875%, 10/11/2022 (B) | 2,918 | 2,913 | ||||||
Arizona Public Service | ||||||||
8.000%, 12/30/2015 | 302 | 313 | ||||||
5.050%, 09/01/2041 | 219 | 254 | ||||||
4.500%, 04/01/2042 | 1,488 | 1,592 | ||||||
Atmos Energy | ||||||||
4.950%, 10/15/2014 | 260 | 280 | ||||||
Boston Gas | ||||||||
4.487%, 02/15/2042 (B) | 140 | 150 | ||||||
Carolina Power & Light | ||||||||
5.300%, 01/15/2019 | 400 | 486 | ||||||
5.125%, 09/15/2013 | 790 | 819 | ||||||
4.100%, 05/15/2042 | 1,265 | 1,334 | ||||||
3.000%, 09/15/2021 | 111 | 118 | ||||||
2.800%, 05/15/2022 (C) | 121 | 126 | ||||||
Cedar Brakes II | ||||||||
9.875%, 09/01/2013 (B) | 886 | 913 | ||||||
CenterPoint Energy | ||||||||
6.500%, 05/01/2018 (C) | 271 | 332 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CenterPoint Energy Resources | ||||||||
6.125%, 11/01/2017 | $ | 320 | $ | 387 | ||||
4.500%, 01/15/2021 | 246 | 282 | ||||||
Cleveland Electric Illuminating | ||||||||
7.880%, 11/01/2017 | 310 | 391 | ||||||
CMS Energy | ||||||||
2.750%, 05/15/2014 | 1,250 | 1,269 | ||||||
Comision Federal de Electricidad | ||||||||
5.750%, 02/14/2042 (B) | 805 | 916 | ||||||
4.875%, 05/26/2021 (B) | 249 | 281 | ||||||
Consolidated Edison of New York | ||||||||
6.650%, 04/01/2019 | 650 | 836 | ||||||
5.700%, 06/15/2040 | 154 | 200 | ||||||
4.875%, 02/01/2013 | 710 | 715 | ||||||
Consumers Energy | ||||||||
6.700%, 09/15/2019 | 400 | 526 | ||||||
2.850%, 05/15/2022 | 56 | 59 | ||||||
Detroit Edison | ||||||||
5.400%, 08/01/2014 | 50 | 53 | ||||||
2.650%, 06/15/2022 | 66 | 68 | ||||||
Dominion Resources | ||||||||
8.875%, 01/15/2019 | 2,295 | 3,134 | ||||||
6.400%, 06/15/2018 | 460 | 576 | ||||||
5.250%, 08/01/2033 | 1,135 | 1,326 | ||||||
4.900%, 08/01/2041 | 48 | 56 | ||||||
1.950%, 08/15/2016 | 950 | 984 | ||||||
DPL | ||||||||
7.250%, 10/15/2021 (B) | 8 | 8 | ||||||
Duke Energy | ||||||||
3.550%, 09/15/2021 | 362 | 386 | ||||||
1.625%, 08/15/2017 | 1,570 | 1,586 | ||||||
Duke Energy Carolinas | ||||||||
3.900%, 06/15/2021 | 200 | 228 | ||||||
Duke Energy Carolinas LLC | ||||||||
6.000%, 01/15/2038 | 48 | 64 | ||||||
5.100%, 04/15/2018 | 385 | 464 | ||||||
4.300%, 06/15/2020 | 195 | 225 | ||||||
4.250%, 12/15/2041 | 120 | 127 | ||||||
Duke Energy Indiana | ||||||||
4.200%, 03/15/2042 | 2,695 | 2,840 | ||||||
3.750%, 07/15/2020 | 180 | 201 | ||||||
Enel Finance International | ||||||||
5.125%, 10/07/2019 (B) | 500 | 521 | ||||||
Entergy Louisiana LLC | ||||||||
6.500%, 09/01/2018 | 500 | 614 | ||||||
Exelon | ||||||||
5.625%, 06/15/2035 | 2,415 | 2,786 | ||||||
Exelon Generation | ||||||||
5.750%, 10/01/2041 | 86 | 95 | ||||||
Exelon Generation LLC | ||||||||
4.000%, 10/01/2020 (C) | 588 | 628 | ||||||
FirstEnergy, Ser C | ||||||||
7.375%, 11/15/2031 | 4,175 | 5,478 | ||||||
Florida Gas Transmission LLC | ||||||||
3.875%, 07/15/2022 (B) | 3,600 | 3,808 |
88 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Florida Power | ||||||||
3.850%, 11/15/2042 | $ | 5,710 | $ | 5,620 | ||||
Florida Power & Light | ||||||||
5.950%, 10/01/2033 | 150 | 199 | ||||||
5.125%, 06/01/2041 | 197 | 243 | ||||||
Great Plains Energy | ||||||||
4.850%, 06/01/2021 | 27 | 30 | ||||||
Indiana Michigan Power | ||||||||
7.000%, 03/15/2019 | 170 | 217 | ||||||
Jersey Central Power & Light | ||||||||
7.350%, 02/01/2019 | 500 | 649 | ||||||
John Sevier Combined Cycle Generation | ||||||||
4.626%, 01/15/2042 | 254 | 292 | ||||||
Kansas City Power & Light | ||||||||
5.300%, 10/01/2041 | 350 | 411 | ||||||
KCP&L Greater Missouri Operations | ||||||||
8.270%, 11/15/2021 | 2,894 | 3,664 | ||||||
Massachusetts Electric | ||||||||
5.900%, 11/15/2039 (B) | 210 | 278 | ||||||
MidAmerican Energy | ||||||||
5.300%, 03/15/2018 | 750 | 902 | ||||||
MidAmerican Energy Holdings | ||||||||
6.500%, 09/15/2037 | 3,895 | 5,273 | ||||||
Mirant Mid Atlantic Pass-Through Trust C | ||||||||
10.060%, 12/30/2028 | 229 | 254 | ||||||
Nevada Power | ||||||||
7.125%, 03/15/2019 | 400 | 523 | ||||||
6.500%, 08/01/2018 | 290 | 365 | ||||||
5.450%, 05/15/2041 | 150 | 190 | ||||||
5.375%, 09/15/2040 | 45 | 56 | ||||||
NextEra Energy Capital Holdings | ||||||||
5.350%, 06/15/2013 | 125 | 128 | ||||||
Niagara Mohawk Power | ||||||||
4.881%, 08/15/2019 (B) | 180 | 212 | ||||||
4.119%, 11/28/2042 (B) | 1,250 | 1,260 | ||||||
Nisource Finance | ||||||||
6.800%, 01/15/2019 | 3,747 | 4,570 | ||||||
5.800%, 02/01/2042 (C) | 471 | 537 | ||||||
Northern Natural Gas | ||||||||
4.100%, 09/15/2042 (B) | 1,535 | 1,578 | ||||||
Northern States Power | ||||||||
6.250%, 06/01/2036 | 350 | 493 | ||||||
5.350%, 11/01/2039 | 56 | 72 | ||||||
NRG Energy | ||||||||
7.625%, 01/15/2018 | 780 | 862 | ||||||
7.625%, 05/15/2019 | 110 | 117 | ||||||
Oncor Electric Delivery | ||||||||
6.800%, 09/01/2018 | 4,660 | 5,775 | ||||||
5.300%, 06/01/2042 | 1,500 | 1,674 | ||||||
Pacific Gas & Electric | ||||||||
8.250%, 10/15/2018 | 1,690 | 2,310 | ||||||
5.800%, 03/01/2037 | 810 | 1,022 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.400%, 01/15/2040 | $ | 156 | $ | 191 | ||||
4.500%, 12/15/2041 | 180 | 198 | ||||||
4.450%, 04/15/2042 | 2,443 | 2,681 | ||||||
3.250%, 09/15/2021 | 35 | 38 | ||||||
PacifiCorp | ||||||||
6.250%, 10/15/2037 | 310 | 423 | ||||||
5.650%, 07/15/2018 | 600 | 739 | ||||||
5.500%, 01/15/2019 | 400 | 490 | ||||||
PG&E | ||||||||
5.750%, 04/01/2014 | 80 | 85 | ||||||
PPL Capital Funding | ||||||||
3.500%, 12/01/2022 | 1,755 | 1,791 | ||||||
PPL Energy Supply | ||||||||
4.600%, 12/15/2021 (C) | 230 | 252 | ||||||
Progress Energy | ||||||||
6.000%, 12/01/2039 | 200 | 246 | ||||||
3.150%, 04/01/2022 | 1,129 | 1,154 | ||||||
PSEG Power | ||||||||
5.125%, 04/15/2020 | 120 | 138 | ||||||
4.150%, 09/15/2021 | 72 | 79 | ||||||
PSEG Power LLC | ||||||||
5.500%, 12/01/2015 | 445 | 499 | ||||||
5.320%, 09/15/2016 | 126 | 143 | ||||||
2.750%, 09/15/2016 | 1,055 | 1,099 | ||||||
Public Service Electric & Gas | ||||||||
5.375%, 11/01/2039 | 97 | 123 | ||||||
3.650%, 09/01/2042 | 113 | 112 | ||||||
2.700%, 05/01/2015 | 135 | 141 | ||||||
Public Service of Colorado | ||||||||
3.600%, 09/15/2042 | 2,640 | 2,597 | ||||||
Public Service of New Mexico | ||||||||
7.950%, 05/15/2018 | 3,000 | 3,648 | ||||||
Public Service of Oklahoma | ||||||||
5.150%, 12/01/2019 | 220 | 259 | ||||||
Sabine Pass LNG L.P. | ||||||||
7.500%, 11/30/2016 | 710 | 767 | ||||||
7.500%, 11/30/2016 (B) | 230 | 239 | ||||||
San Diego Gas & Electric | ||||||||
6.000%, 06/01/2026 | 400 | 551 | ||||||
3.950%, 11/15/2041 | 41 | 44 | ||||||
Sempra Energy | ||||||||
9.800%, 02/15/2019 | 100 | 140 | ||||||
8.900%, 11/15/2013 | 400 | 430 | ||||||
6.500%, 06/01/2016 | 135 | 160 | ||||||
6.000%, 10/15/2039 | 170 | 220 | ||||||
2.875%, 10/01/2022 | 140 | 141 | ||||||
2.000%, 03/15/2014 | 234 | 238 | ||||||
Sierra Pacific Power | ||||||||
5.450%, 09/01/2013 | 500 | 518 | ||||||
Southern | ||||||||
4.150%, 05/15/2014 | 85 | 89 | ||||||
1.950%, 09/01/2016 | 130 | 135 | ||||||
Southern California Edison | ||||||||
6.650%, 04/01/2029 | 200 | 268 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 89 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.500%, 03/15/2040 | $ | 170 | $ | 219 | ||||
4.650%, 04/01/2015 | 200 | 219 | ||||||
Southern Power | ||||||||
5.150%, 09/15/2041 | 44 | 51 | ||||||
Southern Star Central Gas Pipeline | ||||||||
6.000%, 06/01/2016 (B) | 655 | 728 | ||||||
Southern Union | ||||||||
8.250%, 11/15/2029 | 4,295 | 5,480 | ||||||
3.330%, 11/01/2066 (A) | 485 | 416 | ||||||
Southwestern Electric Power | ||||||||
6.450%, 01/15/2019 | 672 | 825 | ||||||
3.550%, 02/15/2022 | 3,415 | 3,619 | ||||||
Southwestern Public Service | ||||||||
8.750%, 12/01/2018 | 300 | 411 | ||||||
Texas-New Mexico Power | ||||||||
9.500%, 04/01/2019 (B) | 1,487 | 2,013 | ||||||
Virginia Electric and Power | ||||||||
5.400%, 04/30/2018 | 695 | 847 | ||||||
2.950%, 01/15/2022 | 1,600 | 1,704 | ||||||
Western Massachusetts Electric | ||||||||
3.500%, 09/15/2021 | 710 | 762 | ||||||
Wisconsin Electric Power | ||||||||
2.950%, 09/15/2021 | 14 | 15 | ||||||
|
| |||||||
133,460 | ||||||||
|
| |||||||
Total Corporate Obligations (Cost $1,819,377) ($ Thousands) | 1,944,414 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 9.0% |
| |||||||
Automotive — 1.3% | ||||||||
Ally Auto Receivables Trust, Ser 2010-1, Cl A3 | ||||||||
1.450%, 05/15/2014 | 27 | 27 | ||||||
Ally Auto Receivables Trust, Ser 2010-3, Cl A4 | ||||||||
1.550%, 08/17/2015 | 357 | 361 | ||||||
Ally Auto Receivables Trust, Ser 2010-4, Cl A3 | ||||||||
0.910%, 11/17/2014 | 174 | 175 | ||||||
Ally Auto Receivables Trust, | ||||||||
1.750%, 03/15/2016 | 5,646 | 5,758 | ||||||
Ally Auto Receivables Trust, | ||||||||
1.380%, 01/15/2015 | 195 | 195 | ||||||
Ally Auto Receivables Trust, | ||||||||
2.230%, 03/15/2016 | 6,948 | 7,137 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.650%, 03/17/2014 | 371 | 371 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ally Auto Receivables Trust, | ||||||||
0.710%, 09/15/2014 | $ | 1,835 | $ | 1,838 | ||||
Ally Auto Receivables Trust, | ||||||||
0.930%, 02/16/2016 | 355 | 357 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.700%, 01/15/2015 | 1,500 | 1,503 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.850%, 08/15/2016 | 347 | 349 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.480%, 05/15/2015 | 8,221 | 8,229 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.450%, 07/15/2015 | 12,067 | 12,064 | ||||||
Ally Master Owner Trust, | ||||||||
1.440%, 02/15/2017 | 1,960 | 1,986 | ||||||
American Credit Acceptance Receivables Trust, Ser 2012-1, Cl A2 | ||||||||
3.040%, 10/15/2015 (B) | 251 | 251 | ||||||
American Credit Acceptance Receivables Trust, Ser 2012-2, Cl A | ||||||||
1.890%, 07/15/2016 (B) | 1,008 | 1,013 | ||||||
American Credit Acceptance Receivables Trust, Ser 2012-3, Cl A | ||||||||
1.640%, 11/15/2016 (B) | 845 | 845 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-3, Cl A3 | ||||||||
1.140%, 04/08/2015 | 255 | 255 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-4, Cl A3 | ||||||||
1.270%, 04/08/2015 | 203 | 203 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
1.390%, 09/08/2015 | 183 | 184 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.840%, 11/10/2014 | 250 | 250 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.910%, 10/08/2015 | 240 | 241 |
90 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.710%, 12/08/2015 | $ | 480 | $ | 481 | ||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.960%, 01/09/2017 | 299 | 301 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.490%, 04/08/2016 | 3,715 | 3,716 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.670%, 06/08/2017 | 2,170 | 2,172 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.510%, 01/08/2016 | 700 | 700 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.620%, 06/08/2017 | 232 | 232 | ||||||
Avis Budget Rental Car Funding LLC, Ser 2010-5A, Cl A | ||||||||
3.150%, 03/20/2017 (B) | 440 | 466 | ||||||
Avis Budget Rental Car Funding LLC, Ser 2012-2A, Cl A | ||||||||
2.802%, 05/20/2018 (B) | 1,050 | 1,110 | ||||||
Avis Budget Rental Car Funding LLC, Ser 2012-3A, Cl A | ||||||||
2.100%, 03/20/2019 (B) | 1,700 | 1,741 | ||||||
Bank of America Auto Trust, | ||||||||
3.520%, 06/15/2016 (B) | 38 | 38 | ||||||
Bank of America Auto Trust, | ||||||||
2.180%, 02/15/2017 (B) | 251 | 253 | ||||||
Bank of America Auto Trust, | ||||||||
1.310%, 07/15/2014 | 18 | 18 | ||||||
BMW Vehicle Lease Trust, | ||||||||
0.750%, 02/20/2015 | 342 | 343 | ||||||
California Republic Auto Receivables Trust, Ser 2012-1, Cl A | ||||||||
1.180%, 08/15/2017 (B) | 1,054 | 1,053 | ||||||
CarMax Auto Owner Trust, | ||||||||
1.560%, 07/15/2014 | 37 | 37 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CarMax Auto Owner Trust, | ||||||||
1.380%, 09/15/2015 | $ | 388 | $ | 391 | ||||
CarMax Auto Owner Trust, Ser 2011-1, Cl A4 | ||||||||
2.290%, 09/15/2016 | 530 | 546 | ||||||
CarMax Auto Owner Trust, Ser 2011-3, Cl A3 | ||||||||
1.230%, 06/15/2016 | 506 | 510 | ||||||
CarMax Auto Owner Trust, Ser 2012-3, Cl A2 | ||||||||
0.430%, 09/15/2015 | 1,078 | 1,078 | ||||||
CarNow Auto Receivables Trust, Ser 2012-1A, Cl A | ||||||||
2.090%, 01/15/2015 (B) | 208 | 208 | ||||||
CPS Auto Trust, Ser 2011-B, Cl A | ||||||||
3.680%, 09/17/2018 (B) | 423 | 435 | ||||||
CPS Auto Trust, Ser 2011-C, Cl A | ||||||||
4.210%, 03/15/2019 (B) | 424 | 443 | ||||||
CPS Auto Trust, Ser 2012-A, Cl A | ||||||||
2.780%, 06/17/2019 (B) | 195 | 195 | ||||||
CPS Auto Trust, Ser 2012-B, Cl A | ||||||||
3.090%, 09/16/2019 (B) | 1,114 | 1,120 | ||||||
CPS Auto Trust, Ser 2012-C, Cl A | ||||||||
1.820%, 12/16/2019 (B) | 766 | 767 | ||||||
Credit Acceptance Auto Loan Trust, Ser 2012-2A, Cl A | ||||||||
1.520%, 03/16/2020 (B) | 605 | 605 | ||||||
DT Auto Owner Trust, | ||||||||
0.910%, 11/16/2015 (B) | 316 | 316 | ||||||
Exeter Automobile Receivables Trust, Ser 2012-2A, Cl A | ||||||||
1.300%, 06/15/2017 (B) | 684 | 684 | ||||||
First Investors Auto Owner Trust, | ||||||||
1.470%, 05/15/2018 (B) | 600 | 601 | ||||||
Ford Credit Auto Lease Trust, Ser 2011-A, Cl A2 | ||||||||
0.740%, 09/15/2013 | 191 | 191 | ||||||
Ford Credit Auto Owner Trust, Ser 2009-B, Cl A4 | ||||||||
4.942%, 07/15/2014 | 173 | 175 | ||||||
Ford Credit Auto Owner Trust, Ser 2012-A, Cl A3 | ||||||||
0.840%, 08/15/2016 | 351 | 353 | ||||||
Ford Credit Auto Owner Trust, Ser 2012-B, Cl A3 | ||||||||
1.010%, 12/15/2016 | 400 | 402 | ||||||
Ford Credit Auto Owner Trust, Ser 2012-C, Cl A2 | ||||||||
0.470%, 04/15/2015 | 1,555 | 1,556 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 91 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ford Credit Auto Owner Trust, Ser 2012-D, Cl A2 | ||||||||
0.400%, 09/15/2015 | $ | 609 | $ | 609 | ||||
Ford Credit Auto Owner Trust, Ser 2012-D, Cl A3 | ||||||||
0.510%, 04/15/2017 | 451 | 451 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2009-2, Cl A4 | ||||||||
3.320%, 02/15/2017 | 4 | 4 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2010-1, Cl A3 | ||||||||
1.160%, 02/15/2015 | 128 | 128 | ||||||
Hertz Vehicle Financing LLC, Ser 2009-2A, Cl A2 | ||||||||
5.290%, 03/25/2016 (B) | 2,100 | 2,294 | ||||||
Honda Auto Receivables Owner Trust, Ser 2009-3, Cl A4 | ||||||||
3.300%, 09/15/2015 | 118 | 118 | ||||||
Honda Auto Receivables Owner Trust, Ser 2010-3, Cl A4 | ||||||||
0.940%, 12/21/2016 | 4,993 | 5,016 | ||||||
Honda Auto Receivables Owner Trust, Ser 2012-1, Cl A3 | ||||||||
0.770%, 01/15/2016 | 108 | 108 | ||||||
Honda Auto Receivables Owner Trust, Ser 2012-1, Cl A4 | ||||||||
0.970%, 04/16/2018 | 56 | 57 | ||||||
Honda Auto Receivables Owner Trust, Ser 2012-2, Cl A3 | ||||||||
0.700%, 02/16/2016 | 275 | 276 | ||||||
Honda Auto Receivables Owner Trust, Ser 2012-3, Cl A2 | ||||||||
0.460%, 12/15/2014 | 2,577 | 2,579 | ||||||
Huntington Auto Trust, | ||||||||
0.810%, 09/15/2016 | 193 | 194 | ||||||
Huntington Auto Trust, | ||||||||
0.380%, 09/15/2015 | 1,374 | 1,375 | ||||||
Hyundai Auto Receivables Trust, Ser 2010-B, Cl A3 | ||||||||
0.970%, 04/15/2015 | 175 | 176 | ||||||
Hyundai Auto Receivables Trust, Ser 2010-B, Cl A4 | ||||||||
1.630%, 03/15/2017 | 375 | 383 | ||||||
Hyundai Auto Receivables Trust, Ser 2011-A, Cl A3 | ||||||||
1.160%, 04/15/2015 | 293 | 294 | ||||||
Hyundai Auto Receivables Trust, Ser 2011-A, Cl A4 | ||||||||
1.780%, 12/15/2015 | 365 | 372 | ||||||
Hyundai Auto Receivables Trust, Ser 2011-B, Cl A3 | ||||||||
1.040%, 09/15/2015 | 257 | 259 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Hyundai Auto Receivables Trust, Ser 2011-B, Cl A4 | ||||||||
1.650%, 02/15/2017 | $ | 288 | $ | 294 | ||||
Hyundai Auto Receivables Trust, Ser 2012-B, Cl A2 | ||||||||
0.540%, 01/15/2015 | 580 | 581 | ||||||
Hyundai Auto Receivables Trust, Ser 2012-B, Cl A3 | ||||||||
0.620%, 09/15/2016 | 508 | 509 | ||||||
LAI Vehicle Lease Securitization Trust, | ||||||||
2.550%, 09/15/2016 (B) | 171 | 171 | ||||||
Mercedes-Benz Auto Receivables Trust, | ||||||||
0.370%, 03/16/2015 | 413 | 413 | ||||||
MMCA Automobile Trust, Ser 2011-A, Cl A4 | ||||||||
2.020%, 10/17/2016 (B) | 2,217 | 2,259 | ||||||
MMCA Automobile Trust, Ser 2012-A, Cl A4 | ||||||||
1.890%, 08/15/2017 (B) | 700 | 709 | ||||||
Nissan Auto Lease Trust, Ser 2012-B, Cl A2A | ||||||||
0.450%, 06/15/2015 | 626 | 626 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
0.870%, 07/15/2014 | 171 | 172 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
1.310%, 09/15/2016 | 300 | 303 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
2.390%, 06/15/2017 (B) | 400 | 410 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
2.060%, 06/15/2017 (B) | 108 | 108 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
3.350%, 06/15/2017 (B) | 172 | 173 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
1.250%, 04/15/2015 | 321 | 323 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
0.910%, 05/15/2015 | 211 | 211 |
92 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-2, Cl A3 | ||||||||
1.220%, 12/15/2015 | $ | 133 | $ | 134 | ||||
Santander Drive Auto Receivables Trust, Ser 2012-3, Cl A2 | ||||||||
1.060%, 04/15/2015 | 3,158 | 3,165 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-3, Cl A3 | ||||||||
1.080%, 04/15/2016 | 165 | 166 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-5, Cl A2 | ||||||||
0.570%, 12/15/2015 | 2,282 | 2,284 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-5, Cl A3 | ||||||||
0.830%, 12/15/2016 | 1,331 | 1,335 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-6, Cl A2 | ||||||||
0.470%, 09/15/2015 | 2,000 | 2,000 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-6, Cl A3 | ||||||||
0.620%, 07/15/2016 | 1,663 | 1,663 | ||||||
SNAAC Auto Receivables Trust, Ser 2012-1A, Cl A | ||||||||
1.780%, 06/15/2016 (B) | 208 | 208 | ||||||
Toyota Auto Receivables Owner Trust, Ser 2011-A, Cl A4 | ||||||||
1.560%, 05/15/2015 | 415 | 421 | ||||||
United Auto Credit Securitization Trust, Ser 2012-1, Cl A2 | ||||||||
1.100%, 03/16/2015 (B) | 330 | 330 | ||||||
USAA Auto Owner Trust, Ser 2009-2, Cl A4 | ||||||||
2.530%, 07/15/2015 | 263 | 265 | ||||||
USAA Auto Owner Trust, Ser 2012-1, Cl A2 | ||||||||
0.380%, 06/15/2015 | 206 | 206 | ||||||
Volkswagen Auto Lease Trust, | ||||||||
0.660%, 11/20/2014 | 1,380 | 1,383 | ||||||
Volkswagen Auto Lease Trust, | ||||||||
0.870%, 07/20/2015 | 687 | 692 | ||||||
Volkswagen Auto Loan Enhanced Trust, Ser 2012-1, Cl A3 | ||||||||
0.850%, 08/22/2016 | 426 | 429 | ||||||
Westlake Automobile Receivables Trust, Ser 2011-1A, Cl A3 | ||||||||
1.490%, 06/16/2014 (B) | 201 | 201 | ||||||
World Omni Auto Receivables Trust, Ser 2010-A, Cl A4 | ||||||||
2.210%, 05/15/2015 | 477 | 482 | ||||||
World Omni Auto Receivables Trust, Ser 2012-A, Cl A2 | ||||||||
0.520%, 06/15/2015 | 440 | 440 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
World Omni Auto Receivables Trust, Ser 2012-A, Cl A3 | ||||||||
0.640%, 02/15/2017 | $ | 439 | $ | 440 | ||||
World Omni Auto Receivables Trust, Ser 2012-B, Cl A2 | ||||||||
0.430%, 11/16/2015 | 820 | 820 | ||||||
World Omni Automobile Lease Securitization Trust, | ||||||||
0.710%, 01/15/2015 | 244 | 244 | ||||||
World Omni Automobile Lease Securitization Trust, | ||||||||
0.930%, 11/16/2015 | 181 | 182 | ||||||
|
| |||||||
106,274 | ||||||||
|
| |||||||
Credit Cards — 1.1% | ||||||||
American Express Credit Account Master Trust, Ser 2009-2, Cl A | ||||||||
1.458%, 03/15/2017 (A) | 2,532 | 2,585 | ||||||
American Express Credit Account Master Trust, Ser 2012-3, Cl A | ||||||||
0.358%, 03/15/2018 (A) | 3,727 | 3,727 | ||||||
American Express Credit Account Master Trust, Ser 2012-4, Cl A | ||||||||
0.449%, 05/15/2020 (A) | 9,889 | 9,889 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2006-A5, Cl A5 | ||||||||
0.268%, 01/15/2016 (A) | 835 | 835 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2007-A8, Cl A8 | ||||||||
0.689%, 10/15/2015 (A) | 6,057 | 6,058 | ||||||
Chase Issuance Trust, | ||||||||
1.889%, 09/15/2015 (A) | 5,921 | 5,992 | ||||||
Chase Issuance Trust, | ||||||||
0.298%, 05/15/2015 (A) | 14,657 | 14,666 | ||||||
Chase Issuance Trust, | ||||||||
0.338%, 08/15/2017 (A) | 30,039 | 30,056 | ||||||
Discover Card Master Trust, | ||||||||
0.729%, 06/15/2015 (A) | 2,592 | 2,592 | ||||||
Discover Card Master Trust, | ||||||||
0.558%, 08/15/2016 (A) | 10,491 | 10,525 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2011-1, Cl A | ||||||||
0.758%, 01/17/2017 (A) | 1,756 | 1,766 | ||||||
|
| |||||||
88,691 | ||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 93 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Mortgage Related Securities — 1.0% |
| |||||||
Aames Mortgage Trust, | ||||||||
6.637%, 06/25/2032 | $ | 46 | $ | 43 | ||||
Accredited Mortgage Loan Trust, | ||||||||
0.580%, 09/25/2035 (A) | 1,413 | 1,396 | ||||||
ACE Securities, Ser 2006-SL3, Cl A1 | ||||||||
0.308%, 06/25/2036 (A) | 5,727 | 1,032 | ||||||
AFC Home Equity Loan Trust, | ||||||||
0.448%, 03/25/2030 (A) | 1,981 | 680 | ||||||
Argent Securities, Ser 2004-W5, Cl AV2 | ||||||||
0.727%, 04/25/2034 (A) | 1,113 | 1,043 | ||||||
Asset-Backed Funding Certificates, Ser 2005-AQ1, Cl A4 | ||||||||
5.010%, 06/25/2035 | 627 | 635 | ||||||
Asset-Backed Funding Certificates, Ser 2005-WMC1, Cl M1 | ||||||||
0.868%, 06/25/2035 (A) | 70 | 68 | ||||||
Asset-Backed Securities Home Equity, Ser 2003-HE7, Cl M1 | ||||||||
1.183%, 12/15/2033 (A) | 2,850 | 2,560 | ||||||
Asset-Backed Securities Home Equity, Ser 2005-HE6, Cl M2 | ||||||||
0.718%, 07/25/2035 (A) | 977 | 956 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2003-2, Cl A3 | ||||||||
0.957%, 03/25/2043 (A) | 2,163 | 2,087 | ||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||
0.597%, 12/25/2035 (A) | 4,488 | 4,191 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2005-TC2, Cl A3 | ||||||||
0.578%, 08/25/2035 (A) | 6,856 | 6,630 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2006-HE1, Cl 1A2 | ||||||||
0.428%, 12/25/2035 (A) | 21 | 20 | ||||||
Centex Home Equity, Ser 2003-B, Cl AF4 | ||||||||
3.235%, 02/25/2032 | 96 | 89 | ||||||
Centex Home Equity, Ser 2003-B, Cl AF6 | ||||||||
3.173%, 06/25/2033 (A) | 76 | 76 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Centex Home Equity, Ser 2006-A, Cl AV4 | ||||||||
0.458%, 06/25/2036 (A) | $ | 75 | $ | 59 | ||||
Citicorp Residential Mortgage Securities, Ser 2006-2, Cl A4 | ||||||||
5.775%, 09/25/2036 | 4,668 | 4,531 | ||||||
Conseco Finance Home Loan Trust, Ser 2001-D, Cl A5 | ||||||||
6.690%, 11/15/2032 (A) | 1,827 | 1,838 | ||||||
Contimortgage Home Equity Trust, Ser 1997-2, Cl A9 | ||||||||
7.090%, 04/15/2028 | 1 | 1 | ||||||
Delta Funding Home Equity Loan Trust, Ser 1999-3, Cl A1A | ||||||||
1.028%, 09/15/2029 (A) | 310 | 256 | ||||||
EMC Mortgage Loan Trust, Ser 2002-AA, Cl A1 | ||||||||
0.677%, 05/25/2039 (A) (B) | 626 | 552 | ||||||
GSAA Trust, Ser 2005-6, Cl A3 | ||||||||
0.578%, 06/25/2035 (A) | 3,985 | 3,505 | ||||||
Home Equity Asset Trust, Ser 2007-2, Cl 2A1 | ||||||||
0.988%, 07/25/2037 (A) | 490 | 485 | ||||||
HSBC Home Equity Loan Trust, Ser 2005-2, Cl A1 | ||||||||
0.478%, 01/20/2035 (A) | 3,450 | 3,353 | ||||||
HSBC Home Equity Loan Trust, Ser 2005-2, Cl M2 | ||||||||
0.698%, 01/20/2035 (A) | 384 | 355 | ||||||
HSBC Home Equity Loan Trust, Ser 2005-3, Cl A1 | ||||||||
0.468%, 01/20/2035 (A) | 82 | 80 | ||||||
HSBC Home Equity Loan Trust, Ser 2006-1, Cl A1 | ||||||||
0.367%, 01/20/2036 (A) | 6,002 | 5,912 | ||||||
HSBC Home Equity Loan Trust, Ser 2006-1, Cl A2 | ||||||||
0.388%, 01/20/2036 (A) | 71 | 68 | ||||||
HSBC Home Equity Loan Trust, Ser 2006-2, Cl A1 | ||||||||
0.358%, 03/20/2036 (A) | 270 | 266 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.358%, 03/20/2036 (A) | 78 | 77 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
5.600%, 03/20/2036 | 227 | 228 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.388%, 03/20/2036 (A) | 2,314 | 2,288 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.407%, 03/20/2036 (A) | 214 | 206 |
94 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.367%, 07/20/2036 (A) | $ | 179 | $ | 178 | ||||
HSBC Home Equity Loan Trust, | ||||||||
1.407%, 11/20/2036 (A) | 606 | 596 | ||||||
IXIS Real Estate Capital Trust, | ||||||||
0.943%, 06/25/2035 (A) | 5 | 5 | ||||||
Lake Country Mortgage Loan Trust, Ser 2006-HE1, Cl A3 | ||||||||
0.557%, 07/25/2034 (A) (B) | 636 | 628 | ||||||
MASTR Asset-Backed Securities Trust, Ser 2005-WF1, Cl A2D | ||||||||
0.402%, 06/25/2035 (A) | 6,159 | 6,017 | ||||||
MASTR Asset-Backed Securities Trust, Ser 2006-WMC3, Cl A4 | ||||||||
0.367%, 08/25/2036 (A) | 1,146 | 406 | ||||||
Morgan Stanley ABS Capital I, | ||||||||
0.957%, 01/25/2035 (A) | 31 | 31 | ||||||
Morgan Stanley Home Equity Loan Trust, Ser 2005-3, Cl A3 | ||||||||
0.587%, 08/25/2035 (A) | 266 | 265 | ||||||
New Century Home Equity Loan Trust, Ser 2005-2, Cl M1 | ||||||||
0.808%, 06/25/2035 (A) | 6,975 | 6,242 | ||||||
New Century Home Equity Loan Trust, Ser 2005-4, Cl A2C | ||||||||
0.578%, 09/25/2035 (A) | 7,695 | 7,414 | ||||||
Option One Mortgage Loan Trust, Ser 2001-4, Cl A | ||||||||
0.888%, 01/25/2032 (A) | 132 | 129 | ||||||
Renaissance Home Equity Loan Trust, Ser 2005-2, Cl AF3 | ||||||||
4.499%, 08/25/2035 | 446 | 447 | ||||||
Residential Asset Securities, Ser 2005-KS9, Cl A3 | ||||||||
0.578%, 10/25/2035 (A) | 327 | 319 | ||||||
Residential Funding Mortgage Securities II, Ser 2000-HI1, Cl AI7 | ||||||||
8.290%, 02/25/2025 | 402 | 398 | ||||||
RMAT, Ser 2012-1A, Cl A1 | ||||||||
2.734%, 08/26/2052 (A) (B) | 1,097 | 1,107 | ||||||
Salomon Brothers Mortgage Securities VII, Ser 2003-UP1, Cl A | ||||||||
3.950%, 04/25/2032 (B) | 174 | 171 | ||||||
Saxon Asset Securities Trust, Ser 2003-1, Cl AF6 | ||||||||
4.795%, 06/25/2033 | 248 | 247 | ||||||
Security National Mortgage Loan Trust, Ser 2007-1A, Cl 2A | ||||||||
0.557%, 04/25/2037 (A) (B) | 656 | 311 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Soundview Home Equity Loan Trust, Ser 2007-OPT1, Cl 2A2 | ||||||||
0.358%, 06/25/2037 (A) | $ | 128 | $ | 61 | ||||
Structured Asset Securities, | ||||||||
3.450%, 02/25/2032 | 271 | 266 | ||||||
Structured Asset Securities, | ||||||||
4.690%, 02/25/2035 | 934 | 926 | ||||||
Structured Asset Securities, | ||||||||
0.358%, 07/25/2036 (A) | 614 | 596 | ||||||
UCFC Home Equity Loan, | ||||||||
6.905%, 04/15/2030 | 779 | 785 | ||||||
Wells Fargo Home Equity Trust, Ser 2004-2, Cl AI6 | ||||||||
5.000%, 10/25/2034 (A) | 7,748 | 7,852 | ||||||
Wells Fargo Home Equity Trust, Ser 2005-2, Cl AI1B | ||||||||
0.497%, 08/25/2035 (A) | 25 | 25 | ||||||
|
| |||||||
80,988 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 5.6% |
| |||||||
Academic Loan Funding Trust, Ser 2012-1A, Cl A1 | ||||||||
1.008%, 12/27/2022 (A) (B) | 421 | 424 | ||||||
Access Group, Ser 2006-1, Cl A2 | ||||||||
0.421%, 08/25/2023 (A) | 3,294 | 3,239 | ||||||
AH Mortgage Advance Trust, | ||||||||
3.370%, 05/10/2043 (B) | 2,334 | 2,334 | ||||||
AH Mortgage Advance Trust, | ||||||||
3.270%, 09/15/2043 (B) | 1,334 | 1,349 | ||||||
AH Mortgage Advance Trust, | ||||||||
6.900%, 09/15/2043 (B) | 400 | 401 | ||||||
AH Mortgage Advance Trust, Ser 2012-1, Cl A1R | ||||||||
2.230%, 05/10/2043 (B) | 723 | 726 | ||||||
AH Mortgage Advance Trust, Ser 2012-3, Cl 1A2 | ||||||||
3.720%, 03/13/2044 (B) | 1,575 | 1,599 | ||||||
Aircastle Aircraft Lease Backed Trust, Ser 2007-1A, Cl G1 | ||||||||
0.519%, 06/14/2037 (A) (B) | 3,954 | 3,638 | ||||||
Ally Master Owner Trust, Ser 2011-1, Cl A2 | ||||||||
2.150%, 01/15/2016 | 3,250 | 3,308 | ||||||
Ally Master Owner Trust, Ser 2011-3, Cl A2 | ||||||||
1.810%, 05/15/2016 | 2,325 | 2,362 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 95 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ally Master Owner Trust, Ser 2012-1, Cl A1 | ||||||||
1.008%, 02/15/2017 (A) | $ | 4,511 | $ | 4,531 | ||||
Ally Master Owner Trust, Ser 2012-3, Cl A1 | ||||||||
0.908%, 06/15/2017 (A) | 2,903 | 2,910 | ||||||
Ally Master Owner Trust, Ser 2012-5, Cl A | ||||||||
1.540%, 09/15/2019 | 5,598 | 5,607 | ||||||
Alm Loan Funding, Ser 2012-7A, Cl A1 | ||||||||
1.701%, 10/19/2024 (A) (B) | 4,350 | 4,350 | ||||||
Ameriquest Mortgage Securities, | ||||||||
0.438%, 01/25/2036 (A) | 132 | 132 | ||||||
Ameriquest Mortgage Securities, | ||||||||
0.407%, 08/25/2035 (A) | 32 | 31 | ||||||
Amortizing Residential Collateral Trust CMO, Ser 2002-BC1, Cl A | ||||||||
0.888%, 01/25/2032 (A) | 347 | 281 | ||||||
Apidos CDO II, Ser 2005-2A, Cl C | ||||||||
2.113%, 12/21/2018 (A) (B) | 1,750 | 1,548 | ||||||
Ascentium Equipment Receivables LLC, | ||||||||
1.830%, 09/15/2019 (B) | 490 | 490 | ||||||
Babcock & Brown Air Funding I, | ||||||||
0.542%, 11/14/2033 (A) (B) | 4,391 | 3,688 | ||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||
0.608%, 08/25/2043 (A) | 5,446 | 5,225 | ||||||
BMW Floorplan Master Owner Trust, Ser 2012-1A, Cl A | ||||||||
0.608%, 09/15/2017 (A) (B) | 2,654 | 2,650 | ||||||
Brazos Education Loan Authority, | ||||||||
0.911%, 12/26/2035 (A) | 5,254 | 5,129 | ||||||
Brazos Higher Education Authority, Ser 2005-1, Cl 1A3 | ||||||||
0.474%, 09/26/2022 (A) | 4,300 | 4,240 | ||||||
Brazos Higher Education Authority, Ser 2006-2, Cl A9 | ||||||||
0.584%, 12/26/2024 (A) | 1,183 | 1,090 | ||||||
Brazos Higher Education Authority, Ser 2010-1, Cl A2 | ||||||||
1.511%, 02/25/2035 (A) | 4,835 | 4,808 | ||||||
Brazos Higher Education Authority, Ser 2011-1, Cl A2 | ||||||||
1.112%, 02/25/2030 (A) | 3,000 | 3,024 | ||||||
Brazos Higher Education Authority, Ser 2011-2, Cl A3 | ||||||||
1.315%, 10/27/2036 (A) | 3,520 | 3,406 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BXG Receivables Note Trust, Ser 2012-A, Cl A | ||||||||
2.660%, 12/02/2027 (B) | $ | 480 | $ | 484 | ||||
Carrington Mortgage Loan Trust, | ||||||||
0.528%, 09/25/2035 (A) | 4,966 | 4,799 | ||||||
Castle Trust, Ser 2003-1AW, Cl A1 | ||||||||
0.958%, 05/15/2027 (A) (B) | 135 | 125 | ||||||
CenterPoint Energy Transition Bond LLC, Ser 2008-A, Cl A1 | ||||||||
4.192%, 02/01/2020 | 1,116 | 1,198 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A4 | ||||||||
4.499%, 11/25/2034 | 237 | 241 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A5 | ||||||||
5.350%, 11/25/2034 | 500 | 468 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A7 | ||||||||
4.277%, 11/25/2034 | 704 | 679 | ||||||
CIT Education Loan Trust, Ser 2007-1, Cl A | ||||||||
0.459%, 03/25/2042 (A) (B) | 3,986 | 3,705 | ||||||
Citicorp Residential Mortgage Securities, Ser 2006-2, Cl A5 | ||||||||
6.036%, 09/25/2036 | 6,465 | 5,731 | ||||||
Citicorp Residential Mortgage Securities, Ser 2007-1, Cl A5 | ||||||||
6.046%, 03/25/2037 | 990 | 898 | ||||||
CNH Equipment Trust, Ser 2010-C, Cl A3 | ||||||||
1.170%, 05/15/2015 | 318 | 319 | ||||||
CNH Equipment Trust, Ser 2011-A, Cl A3 | ||||||||
1.200%, 05/16/2016 | 305 | 307 | ||||||
CNH Equipment Trust, Ser 2011-A, Cl A4 | ||||||||
2.040%, 10/17/2016 | 213 | 219 | ||||||
CNH Equipment Trust, Ser 2012-A, Cl A2 | ||||||||
0.650%, 07/15/2015 | 324 | 325 | ||||||
CNH Equipment Trust, Ser 2012-A, Cl A3 | ||||||||
0.940%, 05/15/2017 | 263 | 265 | ||||||
CNH Equipment Trust, Ser 2012-C, Cl A2 | ||||||||
0.440%, 02/16/2016 | 1,187 | 1,187 | ||||||
Conseco Finance Home Loan Trust, Ser 2000-E, Cl M1 | ||||||||
8.130%, 08/15/2031 (A) | 826 | 808 |
96 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Conseco Financial, Ser 1997-2, Cl A6 | ||||||||
7.240%, 06/15/2028 (A) | $ | 17 | $ | 19 | ||||
Conseco Financial, Ser 1998-2, Cl A5 | ||||||||
6.240%, 12/01/2028 (A) | 125 | 130 | ||||||
Countrywide Asset-Backed Certificates, Ser 2002-BC1, Cl A | ||||||||
0.867%, 04/25/2032 (A) | 53 | 31 | ||||||
Countrywide Asset-Backed Certificates, Ser 2003-BC2, Cl 2A1 | ||||||||
0.808%, 06/25/2033 (A) | 115 | 106 | ||||||
Countrywide Asset-Backed Certificates, Ser 2005-11, Cl MV1 | ||||||||
0.677%, 02/25/2036 (A) | 8,230 | 7,977 | ||||||
Countrywide Asset-Backed Certificates, Ser 2005-4, Cl MV1 | ||||||||
0.668%, 10/25/2035 (A) | 268 | 262 | ||||||
Countrywide Asset-Backed Certificates, Ser 2006-15, Cl A3 | ||||||||
5.689%, 10/25/2046 (A) | 208 | 169 | ||||||
Countrywide Asset-Backed Certificates, Ser 2006-SD3, Cl A1 | ||||||||
0.538%, 07/25/2036 (A) (B) | 366 | 213 | ||||||
Countrywide Asset-Backed Certificates, Ser 2007-13, Cl 2A1 | ||||||||
1.108%, 10/25/2047 (A) | 100 | 73 | ||||||
Countrywide Asset-Backed Certificates, Ser 2007-QH1, Cl A1 | ||||||||
0.407%, 02/25/2037 (A) (B) | 935 | 518 | ||||||
Countrywide Asset-Backed Certificates, Ser 2007-SD1, Cl A1 | ||||||||
0.658%, 03/25/2047 (A) (B) | 764 | 365 | ||||||
Countrywide Home Equity Loan Trust, Ser 2004-K, Cl 2A | ||||||||
0.508%, 02/15/2034 (A) | 631 | 529 | ||||||
Credit-Based Asset Servicing and Securitization LLC, | ||||||||
3.379%, 12/25/2032 | 92 | 85 | ||||||
Credit-Based Asset Servicing and Securitization LLC, | ||||||||
5.501%, 12/25/2036 | 570 | 347 | ||||||
Credit-Based Asset Servicing and Securitization LLC, | ||||||||
4.384%, 12/25/2036 | 1,429 | 966 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Credit-Based Asset Servicing and Securitization LLC, | ||||||||
0.518%, 05/25/2046 (A) (B) | $ | 10,796 | $ | 4,838 | ||||
Cronos Containers Program, Ser 2012-1A, Cl A | ||||||||
4.210%, 05/18/2027 (B) | 2,375 | 2,434 | ||||||
Cronos Containers Program, Ser 2012-2A, Cl A | ||||||||
3.810%, 09/18/2027 (B) | 2,458 | 2,523 | ||||||
Educational Funding of the South, Ser 2011-1, Cl A2 | ||||||||
0.965%, 04/25/2035 (A) | 1,580 | 1,582 | ||||||
EFS Volunteer No. 2 LLC, Ser 2012-1, Cl A2 | ||||||||
1.558%, 03/25/2036 (A) (B) | 2,500 | 2,509 | ||||||
EFS Volunteer No. 3 LLC, Ser 2012-1, Cl A3 | ||||||||
1.208%, 04/25/2033 (A) (B) | 4,600 | 4,686 | ||||||
Equity One, Ser 2003-2, Cl M1 | ||||||||
5.050%, 09/25/2033 (A) | 231 | 217 | ||||||
First Franklin Mortgage Loan Trust, Ser 2004-FF7, Cl A5 | ||||||||
1.208%, 09/25/2034 (A) | 66 | 63 | ||||||
First Franklin Mortgage Loan Trust, Ser 2005-FF8, Cl A2D | ||||||||
0.587%, 09/25/2035 (A) | 4,467 | 4,396 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2011-1, Cl A1 | ||||||||
2.120%, 02/15/2016 | 2,675 | 2,725 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-4, Cl A1 | ||||||||
0.740%, 09/15/2016 | 4,875 | 4,877 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-4, Cl A2 | ||||||||
0.558%, 09/15/2016 (A) | 7,720 | 7,720 | ||||||
GE Equipment Midticket LLC, Ser 2012-1, Cl A2 | ||||||||
0.470%, 01/22/2015 | 525 | 525 | ||||||
GE Equipment Midticket LLC, Ser 2012-1, Cl A3 | ||||||||
0.600%, 05/23/2016 | 1,000 | 1,000 | ||||||
GE Equipment Midticket LLC, Ser 2012-1, Cl A4 | ||||||||
0.780%, 09/22/2020 | 300 | 300 | ||||||
GE Equipment Transportation LLC, Ser 2012-2, Cl A2 | ||||||||
0.470%, 04/24/2015 | 604 | 604 | ||||||
GE Seaco Finance, Ser 2005-1A, Cl A | ||||||||
0.457%, 11/17/2020 (A) (B) | 4,140 | 4,080 | ||||||
Genesis Funding, Ser 2006-1A, Cl G1 | ||||||||
0.448%, 12/19/2032 (A) (B) | 4,681 | 4,086 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 97 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Green Tree Financial, Ser 1996-5, Cl A6 | ||||||||
7.750%, 07/15/2027 | $ | 161 | $ | 164 | ||||
Green Tree, Ser 2008-MH1, Cl A2 | ||||||||
8.970%, 04/25/2038 (A) (B) | 4,702 | 5,101 | ||||||
Green Tree, Ser 2008-MH1, Cl A3 | ||||||||
8.970%, 04/25/2038 (A) (B) | 3,919 | 4,308 | ||||||
Greenpoint Manufactured Housing, Ser 2001-2, Cl IA2 | ||||||||
3.719%, 02/20/2032 (A) | 927 | 743 | ||||||
Greenpoint Manufactured Housing, Ser 2001-2, Cl IIA2 | ||||||||
3.724%, 03/13/2032 (A) | 1,507 | 1,262 | ||||||
HLSS Servicer Advance Receivables Backed Notes, Ser 2012-T2, Cl A1 | ||||||||
1.340%, 10/15/2043 (B) | 927 | 929 | ||||||
HLSS Servicer Advance Receivables Backed Notes, Ser 2012-T2, Cl A2 | ||||||||
1.990%, 10/15/2045 (B) | 730 | 738 | ||||||
Indymac Residential Asset- Backed Trust, Ser 2007-A, Cl 2A4A | ||||||||
0.528%, 04/25/2047 (A) | 1,200 | 626 | ||||||
John Deere Owner Trust, Ser 2011-A, Cl A3 | ||||||||
1.290%, 01/15/2016 | 321 | 323 | ||||||
John Deere Owner Trust, Ser 2011-A, Cl A4 | ||||||||
1.960%, 04/16/2018 | 285 | 292 | ||||||
John Deere Owner Trust, Ser 2012-B, Cl A2 | ||||||||
0.430%, 02/17/2015 | 549 | 549 | ||||||
John Deere Owner Trust, Ser 2012-B, Cl A4 | ||||||||
0.690%, 01/15/2019 | 581 | 583 | ||||||
JPMorgan Mortgage Acquisition, Ser 2007-CH1, Cl AV4 | ||||||||
0.338%, 11/25/2036 (A) | 5,385 | 5,258 | ||||||
KeyCorp Student Loan Trust, Ser 2003-A, Cl 1A2 | ||||||||
0.575%, 10/25/2032 (A) | 2,153 | 1,984 | ||||||
Latitude CLO II, Ser 2006-2A, Cl A2 | ||||||||
0.719%, 12/15/2018 (A) (B) | 2,200 | 2,057 | ||||||
Lehman ABS Manufactured Housing Contract Trust, Ser 2001-B, Cl A4 | ||||||||
5.270%, 04/15/2040 | 344 | 375 | ||||||
Lehman XS Trust, Ser 2005-6, Cl 1A3 | ||||||||
0.467%, 11/25/2035 (A) | 131 | 130 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Lehman XS Trust, Ser 2005-7N, Cl 1A1B | ||||||||
0.507%, 12/25/2035 (A) | $ | 2,313 | $ | 820 | ||||
Long Beach Mortgage Loan Trust, Ser 2005-1, Cl M2 | ||||||||
1.002%, 02/25/2035 (A) | 8,900 | 8,171 | ||||||
Macquarie Equipment Funding Trust, Ser 2012-A, Cl A2 | ||||||||
0.610%, 04/20/2015 (B) | 2,000 | 1,999 | ||||||
Madison Avenue Manufactured Housing Contract, Ser 2002-A, Cl M2 | ||||||||
2.458%, 03/25/2032 (A) | 328 | 306 | ||||||
Merrill Lynch First Franklin Mortgage Loan Trust, Ser 2007-3, Cl A2C | ||||||||
0.388%, 06/25/2037 (A) | 104 | 48 | ||||||
Mid-State Trust, Ser 2003-11, Cl A1 | ||||||||
4.864%, 07/15/2038 | 3,257 | 3,360 | ||||||
Mid-State Trust, Ser 2004-1, Cl A | ||||||||
6.005%, 08/15/2037 | 508 | 549 | ||||||
Mid-State Trust, Ser 2006-1, Cl A | ||||||||
5.787%, 10/15/2040 (B) | 5,786 | 6,136 | ||||||
Morgan Stanley ABS Capital I, Ser 2005-WMC6, Cl M1 | ||||||||
0.687%, 07/25/2035 (A) | 155 | 154 | ||||||
Nelnet Student Loan Trust, Ser 2002-2, Cl A4CP | ||||||||
0.512%, 09/25/2024 (A) | 1,579 | 1,575 | ||||||
Nelnet Student Loan Trust, Ser 2005-1, Cl A5 | ||||||||
0.425%, 10/25/2033 (A) | 5,802 | 5,391 | ||||||
Nelnet Student Loan Trust, Ser 2005-2, Cl A5 | ||||||||
0.473%, 03/23/2037 (A) | 10,015 | 9,374 | ||||||
Nelnet Student Loan Trust, Ser 2005-3, Cl A5 | ||||||||
0.493%, 12/24/2035 (A) | 4,000 | 3,678 | ||||||
Nelnet Student Loan Trust, Ser 2006-1, Cl A4 | ||||||||
0.381%, 11/23/2022 (A) | 8,592 | 8,567 | ||||||
Nelnet Student Loan Trust, Ser 2006-2, Cl A4 | ||||||||
0.395%, 10/26/2026 (A) | 12,723 | 12,708 | ||||||
Nelnet Student Loan Trust, Ser 2007-1, Cl A1 | ||||||||
0.322%, 11/27/2018 (A) | 382 | 381 | ||||||
Nelnet Student Loan Trust, Ser 2007-1, Cl A3 | ||||||||
0.572%, 05/27/2025 (A) | 3,615 | 3,408 | ||||||
Nelnet Student Loan Trust, Ser 2007-2A, Cl A3L | ||||||||
0.719%, 03/25/2026 (A) (B) | 10,146 | 9,870 |
98 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Nelnet Student Loan Trust, Ser 2012-5A, Cl A | ||||||||
0.809%, 10/27/2036 (A) (B) | $ | 5,547 | $ | 5,510 | ||||
Neptune Finance CCS, Ser 2008-1A, Cl A | ||||||||
0.934%, 04/20/2020 (A) (B) | 4,400 | 4,339 | ||||||
Newcastle Investment Trust, Ser 2011-MH1, Cl A | ||||||||
2.450%, 12/10/2033 (B) | 195 | 197 | ||||||
Nissan Master Owner Trust Receivables, Ser 2012-A, Cl A | ||||||||
0.678%, 05/15/2017 (A) | 1,659 | 1,663 | ||||||
Oakwood Mortgage Investors, Ser 1998-B, Cl A4 | ||||||||
6.350%, 03/15/2017 | 10 | 10 | ||||||
Octagon Investment Partners XI, Ser 2007-1X, Cl A1B | ||||||||
0.572%, 08/25/2021 (A) | 3,750 | 3,525 | ||||||
Origen Manufactured Housing, Ser 2002-A, Cl A1 | ||||||||
0.448%, 05/15/2032 (A) | 15 | 14 | ||||||
Park Place Securities, | ||||||||
0.907%, 12/25/2034 (A) | 3,531 | 3,529 | ||||||
Park Place Securities, | ||||||||
0.888%, 09/25/2034 (A) | 905 | 888 | ||||||
Park Place Securities, | ||||||||
0.828%, 10/25/2034 (A) | 59 | 58 | ||||||
Park Place Securities, | ||||||||
0.888%, 12/25/2034 (A) | 85 | 85 | ||||||
Park Place Securities, | ||||||||
0.727%, 01/25/2036 (A) | 3,667 | 3,591 | ||||||
Park Place Securities, | ||||||||
0.547%, 09/25/2035 (A) | 2,156 | 2,099 | ||||||
Pennsylvania Higher Education Assistance Agency, Ser 2005-1, Cl B1 | ||||||||
2.420%, 04/25/2045 (A) | 4,150 | 3,486 | ||||||
PennyMac Loan Trust, | ||||||||
5.250%, 09/25/2051 (A) (B) | 146 | 146 | ||||||
PennyMac Loan Trust, | ||||||||
3.422%, 05/28/2052 (A) (B) | 627 | 627 | ||||||
Popular ABS Mortgage Pass-Through Trust, Ser 2004-5, Cl AF4 | ||||||||
4.655%, 12/25/2034 (A) | 99 | 100 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Popular ABS Mortgage Pass-Through Trust, Ser 2007-A, Cl A3 | ||||||||
0.518%, 06/25/2047 (A) | $ | 11,530 | $ | 5,864 | ||||
Race Point CLO, Ser 2012-7A, Cl A | ||||||||
1.730%, 11/08/2024 (A) (B) | 4,500 | 4,500 | ||||||
RAMP Trust, Ser 2002-RS4, Cl AI5 | ||||||||
6.163%, 08/25/2032 | 3 | 2 | ||||||
RAMP Trust, Ser 2003-RS10, Cl AI6 | ||||||||
5.860%, 11/25/2033 | 668 | 651 | ||||||
RAMP Trust, Ser 2003-RS11, Cl AI6A | ||||||||
5.980%, 12/25/2033 | 508 | 503 | ||||||
Real Estate Asset Trust, Ser 2011-2A, Cl A1 | ||||||||
5.750%, 05/25/2049 (B) | 88 | 88 | ||||||
Residential Asset Mortgage Products, Ser 2005-EFC5, Cl A3 | ||||||||
0.547%, 10/25/2035 (A) | 600 | 557 | ||||||
Residential Asset Mortgage Products, Ser 2005-RS8, Cl A2 | ||||||||
0.497%, 10/25/2033 (A) | 3,941 | 3,893 | ||||||
Residential Asset Mortgage Products, Ser 2006-RZ1, Cl A2 | ||||||||
0.398%, 03/25/2036 (A) | 5,082 | 5,052 | ||||||
Residential Asset Mortgage Products, Ser 2006-RZ1, Cl A3 | ||||||||
0.507%, 03/25/2036 (A) | 1,100 | 971 | ||||||
Residential Credit Solutions Trust, Ser 2011-1, Cl A1 | ||||||||
6.000%, 03/25/2041 (B) | 771 | 773 | ||||||
Resort Finance Timeshare, Ser 2012-1, Cl A1 | ||||||||
6.250%, 08/06/2018 | 1,467 | 1,467 | ||||||
Resort Finance Timeshare, Ser 2012-2, Cl A | ||||||||
5.750%, 09/05/2018 | 882 | 882 | ||||||
RSB Bondco LLC, Ser 2007-A, Cl A3 | ||||||||
5.820%, 06/28/2019 | 2,470 | 2,935 | ||||||
SLM Student Loan Trust, Ser 2003-11, Cl A6 | ||||||||
0.679%, 12/15/2025 (A) (B) | 1,500 | 1,465 | ||||||
SLM Student Loan Trust, Ser 2003-12, Cl A5 | ||||||||
0.669%, 09/15/2022 (A) (B) | 4,199 | 4,200 | ||||||
SLM Student Loan Trust, Ser 2003-4, Cl A5A | ||||||||
1.139%, 03/15/2033 (A) (B) | 72 | 71 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 99 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SLM Student Loan Trust, Ser 2004-6, Cl A5 | ||||||||
0.485%, 04/27/2020 (A) | $ | — | $ | — | ||||
SLM Student Loan Trust, Ser 2005-5, Cl A3 | ||||||||
0.415%, 04/25/2025 (A) | 421 | 416 | ||||||
SLM Student Loan Trust, Ser 2005-6, Cl A5B | ||||||||
1.515%, 07/27/2026 (A) | 2,017 | 2,042 | ||||||
SLM Student Loan Trust, Ser 2005-9, Cl A4 | ||||||||
0.415%, 01/25/2023 (A) | 1,129 | 1,129 | ||||||
SLM Student Loan Trust, Ser 2006-5, Cl A5 | ||||||||
0.425%, 01/25/2027 (A) | 2,830 | 2,744 | ||||||
SLM Student Loan Trust, Ser 2006-6, Cl A2 | ||||||||
0.395%, 10/25/2022 (A) | 2,278 | 2,275 | ||||||
SLM Student Loan Trust, Ser 2006-8, Cl A4 | ||||||||
0.395%, 10/25/2021 (A) | 5,720 | 5,699 | ||||||
SLM Student Loan Trust, Ser 2007-2, Cl A2 | ||||||||
0.315%, 07/25/2017 (A) | 1,225 | 1,222 | ||||||
SLM Student Loan Trust, Ser 2007-4, Cl A3 | ||||||||
0.375%, 01/25/2022 (A) | 7,549 | 7,553 | ||||||
SLM Student Loan Trust, Ser 2008-6, Cl A2 | ||||||||
0.865%, 10/25/2017 (A) | 524 | 527 | ||||||
SLM Student Loan Trust, Ser 2011-2, Cl A2 | ||||||||
1.407%, 10/25/2034 (A) | 495 | 506 | ||||||
SLM Student Loan Trust, Ser 2011-B, Cl A2 | ||||||||
3.740%, 02/15/2029 (B) | 1,052 | 1,137 | ||||||
SLM Student Loan Trust, Ser 2011-C, Cl A1 | ||||||||
1.608%, 12/15/2023 (A) (B) | 5,728 | 5,787 | ||||||
SLM Student Loan Trust, Ser 2012-2, Cl A | ||||||||
0.608%, 01/25/2029 (A) | 5,829 | 5,904 | ||||||
SLM Student Loan Trust, Ser 2012-3, Cl A | ||||||||
0.367%, 12/26/2025 (A) | 5,605 | 5,665 | ||||||
SLM Student Loan Trust, Ser 2012-6, Cl A3 | ||||||||
0.958%, 05/26/2026 (A) | 800 | 808 | ||||||
SLM Student Loan Trust, Ser 2012-A | ||||||||
1.608%, 08/15/2025 (A) (B) | 5,574 | 5,636 | ||||||
SLM Student Loan Trust, Ser 2012-B, Cl A1 | ||||||||
1.308%, 12/15/2021 (A) (B) | 5,230 | 5,270 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SLM Student Loan Trust, Ser 2012-C, Cl A1 | ||||||||
1.308%, 08/15/2023 (A) (B) | $ | 4,654 | $ | 4,685 | ||||
SLM Student Loan Trust, Ser 2012-E, Cl A1 | ||||||||
0.964%, 10/16/2023 (A) (B) | 11,895 | 11,898 | ||||||
SLM Student Loan Trust, Ser 2012-E, Cl A2B | ||||||||
1.964%, 06/15/2045 (A) (B) | 5,352 | 5,353 | ||||||
SMS Student Loan Trust, Ser 2000-A, Cl A2 | ||||||||
0.503%, 10/28/2028 (A) | 1,857 | 1,852 | ||||||
SMS Student Loan Trust, Ser 2000-B, Cl A2 | ||||||||
0.513%, 04/28/2029 (A) | 1,679 | 1,666 | ||||||
Sound Point CLO, Ser 2012-1A, Cl C | ||||||||
3.684%, 10/20/2023 (A) (B) | 1,750 | 1,750 | ||||||
South Carolina Student Loan, Ser 2005-2005, Cl A2 | ||||||||
0.538%, 12/01/2020 (A) | 3,975 | 3,919 | ||||||
Stanwich Mortgage Loan Trust, Ser 2012-NPL3, Cl A | ||||||||
4.213%, 06/15/2042 (B) | 238 | 239 | ||||||
Stanwich Mortgage Loan Trust, Ser 2012-NPL4, Cl A | ||||||||
2.981%, 09/15/2042 (B) | 1,519 | 1,520 | ||||||
Stanwich Mortgage Loan Trust, Ser 2012-NPL5, Cl A | ||||||||
2.981%, 10/18/2042 (B) | 2,448 | 2,452 | ||||||
Structured Asset Investment Loan Trust, Ser 2005-5, Cl A9 | ||||||||
0.478%, 06/25/2035 (A) | 201 | 199 | ||||||
Structured Asset Securities, Ser 2005-WF2, Cl A3 | ||||||||
0.508%, 05/25/2035 (A) | 3,224 | 3,176 | ||||||
Structured Asset Securities, Ser 2005-WF3, Cl A2 | ||||||||
0.438%, 07/25/2035 (A) | 109 | 107 | ||||||
Structured Asset Securities, Ser 2005-WF4, Cl A4 | ||||||||
0.568%, 11/25/2035 (A) | 6,288 | 6,254 | ||||||
Structured Asset Securities, Ser 2006-BC6, Cl A2 | ||||||||
0.288%, 01/25/2037 (A) | 1 | 1 | ||||||
Structured Asset Securities, Ser 2007-BC2, Cl A2 | ||||||||
0.377%, 03/25/2037 (A) | 3,234 | 3,191 | ||||||
SunTrust Student Loan Trust, Ser 2006-1A, Cl A3 | ||||||||
0.433%, 01/30/2023 (A) (B) | 6,000 | 5,922 | ||||||
Symphony CLO, Ser 2012-9A, Cl C | ||||||||
3.584%, 04/16/2022 (A) (B) | 1,500 | 1,465 |
100 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
TAL Advantage LLC, Ser 2006-1A, Cl A | ||||||||
0.398%, 04/20/2021 (A) (B) | $ | 2,366 | $ | 2,323 | ||||
TAL Advantage LLC, Ser 2010-2A, Cl A | ||||||||
4.300%, 10/20/2025 (B) | 2,264 | 2,294 | ||||||
TAL Advantage LLC, Ser 2011-1A, Cl A | ||||||||
4.600%, 01/20/2026 (B) | 490 | 517 | ||||||
TAL Advantage LLC, Ser 2011-2A, Cl A | ||||||||
4.310%, 05/20/2026 (B) | 1,211 | 1,248 | ||||||
Textainer Marine Containers, Ser 2005-1A, Cl A | ||||||||
0.460%, 05/15/2020 (A) (B) | 1,850 | 1,829 | ||||||
Textainer Marine Containers, Ser 2011-1A, Cl A | ||||||||
4.700%, 06/15/2026 (B) | 3,433 | 3,575 | ||||||
Trafigura Securitisation Finance, Ser 2012-1A, Cl A | ||||||||
2.608%, 10/15/2015 (A) (B) | 1,190 | 1,209 | ||||||
Trinity Rail Leasing, Ser 2004-1A, Cl A | ||||||||
5.270%, 08/14/2027 (B) | 179 | 197 | ||||||
Trinity Rail Leasing, Ser 2006-1A, Cl A1 | ||||||||
5.900%, 05/14/2036 (B) | 2,341 | 2,642 | ||||||
Trip Rail Master Funding, Ser 2011-1A, Cl A1A | ||||||||
4.370%, 07/15/2041 (B) | 4,194 | 4,488 | ||||||
Triton Container Finance LLC, | ||||||||
0.377%, 11/26/2021 (A) (B) | 3,120 | 3,052 | ||||||
Triton Container Finance LLC, | ||||||||
0.428%, 02/26/2019 (A) (B) | 1,406 | 1,382 | ||||||
Triton Container Finance LLC, Ser 2012-1A, Cl A | ||||||||
4.210%, 05/14/2027 (B) | 3,159 | 3,285 | ||||||
VOLT LLC, Ser 2012-1A, Cl A1 | ||||||||
4.949%, 04/25/2017 (B) | 1,444 | 1,444 | ||||||
VOLT LLC, Ser 2012-RLF1, Cl A | ||||||||
3.475%, 12/25/2017 (B) | 1,500 | 1,500 | ||||||
VOLT LLC, Ser 2012-RP2A, Cl A1 | ||||||||
4.704%, 06/26/2017 (B) | 837 | 849 | ||||||
VOLT LLC, Ser 2012-RP2A, Cl A2 | ||||||||
8.836%, 06/26/2017 (B) | 100 | 103 | ||||||
VOLT LLC, Ser 2012-RP3A, Cl A1 | ||||||||
3.475%, 11/27/2017 (A) | 719 | 721 | ||||||
Wells Fargo Home Equity Trust, Ser 2006-1, Cl A3 | ||||||||
0.358%, 05/25/2036 (A) | 17 | 17 | ||||||
Wells Fargo Home Equity Trust, Ser 2007-2, Cl A1 | ||||||||
0.298%, 04/25/2037 (A) | 1,013 | 993 |
Description | Face Amount (1) ($ Thousands) | Market Value ($ Thousands) | ||||||
Westgate Resorts LLC, | ||||||||
4.500%, 09/20/2025 (B) | $ | 855 | $ | 867 | ||||
Westgate Resorts LLC, | ||||||||
3.000%, 01/20/2025 (B) | 947 | 952 | ||||||
Wind River CLO, Ser 2004-1A, Cl B1 | ||||||||
1.481%, 12/19/2016 (A) (B) | 1,900 | 1,788 | ||||||
|
| |||||||
468,135 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 744,088 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.8% |
| |||||||
Farmer Mac | ||||||||
2.375%, 07/22/2015 | 170 | 178 | ||||||
2.125%, 09/15/2015 | 175 | 182 | ||||||
FFCB | ||||||||
4.625%, 11/03/2014 | 150 | 162 | ||||||
1.500%, 11/16/2015 | 7,830 | 8,099 | ||||||
FHLB | ||||||||
5.500%, 07/15/2036 | 3,810 | 5,352 | ||||||
3.625%, 10/18/2013 | 1,400 | 1,442 | ||||||
1.000%, 11/15/2017 | 2,370 | 2,376 | ||||||
FHLMC | ||||||||
5.125%, 11/17/2017 | 5,000 | 6,069 | ||||||
5.000%, 04/18/2017 | 5,000 | 5,938 | ||||||
FICO STRIPS, PO | ||||||||
0.000%, 11/30/2017 to 09/26/2019 (D) | 58,910 | 64,422 | ||||||
FNMA | ||||||||
8.200%, 03/10/2016 | 950 | 1,186 | ||||||
6.894%, 10/09/2019 (D) | 670 | 591 | ||||||
6.250%, 05/15/2029 | 3,730 | 5,451 | ||||||
5.375%, 06/12/2017 | 250 | 303 | ||||||
5.000%, 02/13/2017 | 5,000 | 5,920 | ||||||
3.650%, 06/01/2017 (D) | 1,500 | 1,442 | ||||||
2.700%, 03/28/2022 | 1,500 | 1,510 | ||||||
0.700%, 06/26/2015 | 1,370 | 1,370 | ||||||
0.375%, 12/28/2012 | 3,730 | 3,731 | ||||||
0.360%, 12/03/2012 (A) (D) | 290 | 290 | ||||||
FNMA PO | ||||||||
0.000%, 05/15/2030 | 1,000 | 578 | ||||||
Residual Funding Corp. STRIPS | ||||||||
1.927%, 07/15/2020 (D) | 10,900 | 9,708 | ||||||
1.676%, 10/15/2020 | 1,500 | 1,324 | ||||||
Resolution Funding Corp. STRIPS | ||||||||
1.656%, 01/15/2021 | 1,029 | 899 | ||||||
1.472%, 10/15/2019 (D) | 5,000 | 4,567 | ||||||
Tennessee Valley Authority | ||||||||
5.880%, 04/01/2036 | 1,550 | 2,210 | ||||||
5.250%, 09/15/2039 | 1,828 | 2,458 | ||||||
4.625%, 09/15/2060 | 2,761 | 3,411 | ||||||
3.875%, 02/15/2021 | 3,090 | 3,626 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 101 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2012
Description | Face Amount (1) ($ Thousands) | Market Value ($ Thousands) | ||||||
Tennessee Valley Authority Principal STRIP, PO | ||||||||
0.000%, 11/01/2025 (D) | $ | 1,000 | $ | 687 | ||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 145,482 | ||||||
|
| |||||||
SOVEREIGN DEBT — 1.3% |
| |||||||
African Development Bank | ||||||||
8.800%, 09/01/2019 | 700 | 945 | ||||||
Andina de Fomento | ||||||||
3.750%, 01/15/2016 | 564 | 592 | ||||||
Chile Government International Bond | ||||||||
3.625%, 10/30/2042 | 1,625 | 1,633 | ||||||
FMS Wertmanagement AoeR | ||||||||
1.000%, 11/21/2017 | 1,660 | 1,664 | ||||||
Inter-American Development Bank MTN | ||||||||
3.875%, 10/28/2041 | 2,671 | 2,943 | ||||||
Israel Government AID Bond | ||||||||
5.500%, 09/18/2033 | 1,000 | 1,375 | ||||||
3.248%, 11/01/2024 | 1,000 | 725 | ||||||
2.157%, 08/15/2017 (D) | 1,000 | 953 | ||||||
2.031%, 08/15/2018 (D) | 1,000 | 932 | ||||||
Japan Finance Organization for Municipalities | ||||||||
4.000%, 01/13/2021 | 3,600 | 4,194 | ||||||
Japan Treasury Discount Bill | ||||||||
0.097%, 12/10/2012 | JPY | 2,070,000 | 25,100 | |||||
Mexican Bonos | ||||||||
8.000%, 06/11/2020 | MXP | 85,590 | 7,729 | |||||
6.500%, 06/09/2022 | MXP | 115,650 | 9,613 | |||||
Mexico Cetes | ||||||||
4.394%, 12/13/2012 | MXP | 1,135,000 | 8,769 | |||||
Mexico Government International Bond | ||||||||
5.750%, 10/12/2110 | 2,947 | 3,566 | ||||||
Province of Manitoba Canada | ||||||||
2.125%, 04/22/2013 | 162 | 163 | ||||||
Province of Ontario Canada | ||||||||
2.950%, 02/05/2015 | 850 | 895 | ||||||
1.650%, 09/27/2019 | 6,395 | 6,432 | ||||||
0.950%, 05/26/2015 | 3,100 | 3,139 | ||||||
Province of Quebec Canada MTN | ||||||||
6.350%, 01/30/2026 | 270 | 369 | ||||||
Slovakia Government International Bond | ||||||||
4.375%, 05/21/2022 (B) | 5,480 | 5,896 | ||||||
Slovenia Government International Bond | ||||||||
5.500%, 10/26/2022 (B) | 3,010 | 3,004 | ||||||
Svensk Exportkredit | ||||||||
1.750%, 05/30/2017 | 2,160 | 2,225 | ||||||
1.750%, 10/20/2015 | 5,600 | 5,755 |
Description | Face Amount (1) ($ Thousands) | Market Value ($ Thousands) | ||||||
Tunisia Government AID Bonds | ||||||||
1.686%, 07/16/2019 | $ | 3,133 | $ | 3,116 | ||||
United Mexican States MTN | ||||||||
6.375%, 01/16/2013 | 350 | 352 | ||||||
6.050%, 01/11/2040 | 394 | 532 | ||||||
5.625%, 01/15/2017 | 84 | 98 | ||||||
4.750%, 03/08/2044 | 1,098 | 1,256 | ||||||
|
| |||||||
Total Sovereign Debt (Cost $102,347) ($ Thousands) | 103,965 | |||||||
|
| |||||||
MUNICIPAL BONDS — 0.7% | ||||||||
American Municipal Power, RB | ||||||||
7.499%, 02/15/2050 | 495 | 678 | ||||||
Bay Area, Toll Authority, Build America Project, RB | ||||||||
6.263%, 04/01/2049 | 660 | 924 | ||||||
Build America Bonds, GO | ||||||||
7.350%, 07/01/2035 | 230 | 283 | ||||||
City of Houston, Ser A, GO | ||||||||
6.290%, 03/01/2032 | 4,750 | 5,974 | ||||||
City of Los Angeles, Department of |
| |||||||
6.582%, 05/15/2039 | 180 | 236 | ||||||
County of Clark, Airport System Revenue, Ser C-BUILD, RB | ||||||||
6.820%, 07/01/2045 | 1,870 | 2,703 | ||||||
Los Angeles, Community College District, Build America Project, GO | ||||||||
6.750%, 08/01/2049 | 2,170 | 3,065 | ||||||
Los Angeles, Department of Water & Power, Build America Project, GO | ||||||||
6.574%, 07/01/2045 | 75 | 106 | ||||||
New Jersey State, Turnpike Authority, Build America Project, RB | ||||||||
7.102%, 01/01/2041 | 2,754 | 3,955 | ||||||
New York State, Dormitory Authority, RB | ||||||||
5.600%, 03/15/2040 | 280 | 355 | ||||||
North Texas, Tollway Authority, Build America Project, RB | ||||||||
6.718%, 01/01/2049 | 2,225 | 3,054 | ||||||
Northstar Education Finance, RB | ||||||||
0.543%, 01/29/2046 (A) | 50 | 46 | ||||||
Ohio State University, Build America Project, Ser A, RB | ||||||||
4.800%, 06/01/2111 | 1,304 | 1,510 | ||||||
Port Authority of New York & New Jersey, Build America Project | ||||||||
4.458%, 10/01/2062 | 3,485 | 3,494 |
102 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
Port Authority of New York & New Jersey, Build America Project, RB | ||||||||
5.647%, 11/01/2040 | $ | 490 | $ | 596 | ||||
State of California, Build America Project, GO | ||||||||
7.600%, 11/01/2040 | 4,915 | 7,204 | ||||||
7.550%, 04/01/2039 | 1,093 | 1,579 | ||||||
7.300%, 10/01/2039 | 2,620 | 3,637 | ||||||
6.650%, 03/01/2022 | 625 | 783 | ||||||
6.200%, 10/01/2019 | 80 | 98 | ||||||
State of Illinois, Build America Project, GO | ||||||||
6.200%, 07/01/2021 | 1,500 | 1,694 | ||||||
5.100%, 06/01/2033 | 4,600 | 4,642 | ||||||
State of Illinois, GO | ||||||||
5.877%, 03/01/2019 | 980 | 1,130 | ||||||
5.665%, 03/01/2018 | 6,207 | 7,101 | ||||||
5.365%, 03/01/2017 | 1,150 | 1,294 | ||||||
4.950%, 06/01/2023 | 562 | 592 | ||||||
4.350%, 06/01/2018 | 60 | 64 | ||||||
Student Loan Funding, Ser A-6, AMT, RB | ||||||||
0.350%, 09/01/2047 (A) | 700 | 694 | ||||||
Virginia, Housing Development Authority, Ser 2006-C, RB | ||||||||
6.000%, 06/25/2034 | 403 | 441 | ||||||
|
| |||||||
Total Municipal Bonds | 57,932 | |||||||
|
| |||||||
CASH EQUIVALENT — 5.5% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.060%**† | 459,323,067 | 459,323 | ||||||
|
| |||||||
Total Cash Equivalent | 459,323 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 2.3% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.180% (I)**† | 188,730,268 | 188,730 | ||||||
|
| |||||||
Total Affiliated Partnership | 188,730 | |||||||
|
| |||||||
COMMERCIAL PAPER — 0.3% |
| |||||||
Lloyds TSB Bank | ||||||||
0.300%, 02/13/2013 | 10,390 | 10,384 | ||||||
RBS Holdings USA | ||||||||
0.380%, 03/19/2013 (B) | 17,000 | 16,983 | ||||||
|
| |||||||
Total Commercial Paper (Cost $27,365) ($ Thousands) | 27,367 | |||||||
|
| |||||||
Total Investments — 109.1% (Cost $8,738,958) ($ Thousands) | $ | 9,053,985 | ||||||
|
|
Description | Contracts | Market Value ($ Thousands) | ||||||
PURCHASED OPTIONS — 0.0% |
| |||||||
December 2012 Eurodollar 2-Year Midcurve Put, | 115 | $ | 1 | |||||
December 2012 Eurodollar Future Option Put, | 448 | 3 | ||||||
December 2012 Eurodollar Future Option Put, | 480 | 3 | ||||||
December 2012 Eurodollar Future Option Put, | 448 | 3 | ||||||
February 2013 US 10-Year Future Options Put, | 300 | 127 | ||||||
February 2013 US 10-Year Future Options Put, | 107 | 95 | ||||||
February 2013 US 10-Year Future Options Put, | 125 | 146 | ||||||
September 2012 Eurodollar Future Option Put, | 217 | 1 | ||||||
|
| |||||||
Total Purchased Options | $ | 379 | ||||||
|
| |||||||
WRITTEN OPTIONS — 0.0% |
| |||||||
December 2012 Eurodollar 2-Year Midcurve Put, | (115 | ) | (1 | ) | ||||
December 2012 Eurodollar 2-Year Midcurve Put, | (480 | ) | (3 | ) | ||||
December 2012 Eurodollar 3-Year Midcurve Put, | (896 | ) | (6 | ) | ||||
February 2013 U.S. 10-Year Put, Expires 01/25/13 | (107 | ) | (23 | ) | ||||
February 2013 U.S. 10-Year Put, Expires 01/25/13 | (107 | ) | (30 | ) |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 103 |
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Concluded)
November 30, 2012
Description | Contracts | Market Value ($ Thousands) | ||||||
November 2020 U.S. CPI Urban Consumers NSA Call, | (7,020,000 | ) | $ | (8 | ) | |||
|
| |||||||
Total Written Options |
| $ | (71 | ) | ||||
|
|
A list of the futures contracts held by the Fund at November 30, 2012, are as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
90-Day Euro$ | 340 | Jun-2014 | $ | 41 | ||||||||
90-Day Euro$ | (340 | ) | Jun-2015 | (65 | ) | |||||||
Euro-Bund | 21 | Dec-2012 | 60 | |||||||||
U.S. 10-Year Treasury Note | (1,505 | ) | Mar-2013 | (637 | ) | |||||||
U.S. 10-Year Treasury Note | 83 | Mar-2013 | 39 | |||||||||
U.S. 2-Year Treasury Note | (649 | ) | Mar-2013 | (60 | ) | |||||||
U.S. 5-Year Treasury Note | 35 | Mar-2013 | 6 | |||||||||
U.S. 5-Year Treasury Note | (764 | ) | Mar-2013 | (224 | ) | |||||||
U.S. Long Treasury Bond | (648 | ) | Mar-2013 | (720 | ) | |||||||
U.S. Ultra Long Treasury Bond | 31 | Mar-2013 | (2 | ) | ||||||||
U.S. Ultra Long Treasury Bond | (316 | ) | Mar-2013 | (124 | ) | |||||||
|
| |||||||||||
$ | (1,686 | ) | ||||||||||
|
|
For the period ended November 30, 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 period.
A list of the open forward foreign currency contracts held by the Fund at November 30, 2012, is as follows:
Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized (Depreciation) ($ Thousands) | |||||||||||||||||
12/10/12-2/15/13 | JPY | 4,173,797 | USD | 51,916 | $ | 1,275 | ||||||||||||||
12/13/12 | MXP | 113,500 | USD | 8,652 | (122 | ) | ||||||||||||||
1/25/13-2/15/13 | EUR | 36,010 | USD | 46,086 | (778 | ) | ||||||||||||||
2/15/13 | GBP | 10,892 | USD | 17,365 | (84 | ) | ||||||||||||||
2/15/13 | USD | 1,937 | EUR | 1,511 | 30 | |||||||||||||||
|
| |||||||||||||||||||
$ | 321 | |||||||||||||||||||
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at November 30, 2012, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency ($ Thousands) | Unrealized ($ Thousands) | |||||||||
Barclays PLC | (22,888 | ) | 23,693 | $ | 805 | |||||||
Citigroup | (57,340 | ) | 57,090 | (250 | ) | |||||||
JPMorgan Chase Bank | (45,436 | ) | 45,203 | (234 | ) | |||||||
|
| |||||||||||
$ | 321 | |||||||||||
|
|
For the period ended November 30, 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 period.
A list of the open swap agreements held by the Fund at November 30, 2012, is as follows:
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized (Depreciation) ($ Thousands) | |||||||||
Barclays Bank PLC | 2.48% | 3 Month LIBOR | 11/15/27 | $ | 4,105 | $ | (194 | ) | ||||||
Barclays Bank PLC | 2.42 | 3 Month LIBOR | 11/15/27 | 4,110 | (158 | ) | ||||||||
Citigroup | 2.71 | 3-Month LIBOR | 08/15/42 | 8,210 | (329 | ) | ||||||||
|
| |||||||||||||
$ | (681 | ) | ||||||||||||
|
|
Credit Default Swaps | ||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount (Thousands) | Net Unrealized (Depreciation) ($ Thousands) | ||||||||||||||
Deutsche Bank | Metlife, Inc. | SELL | 1.00 | % | 06/20/18 | $ | (3,560 | ) | $ | (25 | ) | |||||||||
|
|
Total Return Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Deutsche Bank | REF: IOS.FN30.450.10 INDEX | 1 Month USD LIBOR | 01/12/41 | $ | 7,220 | $ | 20 | |||||||
Morgan Stanley | REF: IOS.FN30.500.10 INDEX | 1 Month USD LIBOR | 01/12/41 | 3,855 | (14 | ) | ||||||||
|
| |||||||||||||
$ | 6 | |||||||||||||
|
|
For the period ended November 30, 2012, the total amount of open swap agreements, as presented in the tables above, are representative of the volume of activity for this derivative type during the period.
104 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Percentages | are based on a Net Assets of $8,299,824 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2012. |
† | Investment in Affiliated Security (see Note 5) |
‡ | Real Estate Investment Trust. |
(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 November 30, 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) | This security or a partial position of this security is on loan at November 30, 2012. The total value of securities on loan at November 30, 2012 was $184,195 ($ Thousands). |
(D) | The rate reported is the effective yield at time of purchase. |
(E) | Securities considered illiquid. The total value of such securities as of November 30, 2012 was $1 ($ Thousands) and represented 0.00% of Net Assets. |
(F) | Security in default on interest payments. |
(G) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of November 30, 2012 was $433 ($ Thousands) and represented 0.01% of Net Assets. |
(H) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on November 30, 2012. The coupon on a step bond changes on a specified date. |
(I) | This security was purchased with cash collateral held from securities on loan (see Note 9). The total value of such securities as of November 30, 2012 was $188,370 ($ Thousands). |
ABS — Asset-Based Security
AID — Agency for International Development
AMT — Alternative Minimum Tax
ARM — Adjustable Rate Mortgage
CDO — Collateralized Debt Obligation
Cl — Class
CLO — Collateralized Loan Obligation
CMBS — Commercial Mortgage-Backed Securities
CMO — Collateralized Mortgage Obligation
CPI — Consumer Price Index
EUR — Euro
FFCB — Federal Farm Credit Bank
FHLB — Federal Home Loan Bank
FHLMC — Federal Home Loan Mortgage Corporation
FICO — Financing Corporation
FNMA — Federal National Mortgage Association
GBP — British Pound Sterling
GNMA — Government National Mortgage Association
GO — General Obligation
IO — Interest Only
JPY — Japanese Yen
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
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 — United States Dollar
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Mortgage-Backed Securities | $ | — | $ | 3,162,571 | $ | — | $ | 3,162,571 | ||||||||
Corporate Obligations | — | 1,943,982 | 432 | 1,944,414 | ||||||||||||
Asset-Backed Securities | — | 744,088 | — | 744,088 | ||||||||||||
U.S. Government Agency Obligations | — | 145,482 | — | 145,482 | ||||||||||||
Sovereign Debt | — | 103,965 | — | 103,965 | ||||||||||||
Municipal Bonds | — | 57,932 | — | 57,932 | ||||||||||||
Commercial Paper | — | 27,367 | — | 27,367 | ||||||||||||
Affiliated Partnership | — | 188,730 | — | 188,730 | ||||||||||||
Cash Equivalent | 459,323 | — | — | 459,323 | ||||||||||||
U.S. Treasury Obligations | — | 2,220,113 | — | 2,220,113 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 459,323 | $ | 8,594,230 | $ | 432 | $ | 9,053,985 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options Contracts* | $ | — | $ | (71 | ) | $ | — | $ | (71 | ) | ||||||
Purchased Options | — | 379 | — | 379 | ||||||||||||
Futures Contracts* | (1,686 | ) | — | — | (1,686 | ) | ||||||||||
Forwards Contracts* | — | 321 | — | 321 | ||||||||||||
Interest Rate Swaps* | — | (675 | ) | — | (675 | ) | ||||||||||
Credit Default Swaps* | — | (25 | ) | — | (25 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (1,686 | ) | $ | (71 | ) | $ | — | $ | (1,757 | ) | |||||
|
|
|
|
|
|
|
|
(1) | A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to the net assets. |
* | Futures contracts, forward contracts and swaps are valued at the unrealized appreciation (depreciation) of the instrument. |
For the period ended November 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 105 |
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 76.5% |
| |||||||
Consumer Discretionary — 16.0% |
| |||||||
Academy | ||||||||
9.250%, 08/01/2019 (A) | $ | 2,390 | $ | 2,635 | ||||
Adelphia Communications (escrow security) (B) | ||||||||
10.250%, 06/15/2011 | 125 | 1 | ||||||
7.875%, 01/15/2009 | 250 | �� | 2 | |||||
7.750%, 05/01/2009 | 75 | 1 | ||||||
Adelphia Communications, Ser B (escrow security) (B) | ||||||||
9.500%, 02/15/2004 | 25 | — | ||||||
Affinity Gaming LLC | ||||||||
9.000%, 05/15/2018 (A) | 2,605 | 2,709 | ||||||
Algeco Scotsman Global Finance | ||||||||
8.500%, 10/15/2018 (A) | 3,380 | 3,490 | ||||||
Allison Transmission | ||||||||
7.125%, 05/15/2019 (A) | 1,956 | 2,083 | ||||||
AMC Entertainment | ||||||||
9.750%, 12/01/2020 | 1,255 | 1,412 | ||||||
8.750%, 06/01/2019 | 680 | 748 | ||||||
AMC Networks | ||||||||
7.750%, 07/15/2021 | 775 | 880 | ||||||
American Axle & Manufacturing | ||||||||
9.250%, 01/15/2017 (A) | 88 | 97 | ||||||
7.875%, 03/01/2017 | 1,010 | 1,045 | ||||||
7.750%, 11/15/2019 | 1,370 | 1,507 | ||||||
American Standard Americas | ||||||||
10.750%, 01/15/2016 (A) | 1,650 | 1,594 | ||||||
American Tire Distributors | ||||||||
9.750%, 06/01/2017 | 560 | 588 | ||||||
AmeriGas Finance LLC | ||||||||
7.000%, 05/20/2022 | 5,456 | 5,947 | ||||||
Ameristar Casinos | ||||||||
7.500%, 04/15/2021 | 1,375 | 1,464 | ||||||
Avis Budget Car Rental LLC | ||||||||
9.625%, 03/15/2018 | 175 | 195 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
8.250%, 01/15/2019 | $ | 1,905 | $ | 2,107 | ||||
Beazer Homes USA | ||||||||
9.125%, 06/15/2018 | 3,165 | 3,260 | ||||||
6.625%, 04/15/2018 (A) | 1,965 | 2,093 | ||||||
Belo | ||||||||
7.750%, 06/01/2027 | 2,025 | 2,055 | ||||||
Brands | ||||||||
6.625%, 04/01/2021 | 655 | 751 | ||||||
5.625%, 02/15/2022 | 1,285 | 1,388 | ||||||
Buffalo Thunder Development Authority | ||||||||
9.375%, 12/15/2014 (A) (B) | 2,050 | 717 | ||||||
Burlington Coat Factory Warehouse | ||||||||
10.000%, 02/15/2019 | 10,675 | 11,689 | ||||||
Cablevision Systems | ||||||||
8.625%, 09/15/2017 | 1,085 | 1,245 | ||||||
8.000%, 04/15/2020 | 650 | 718 | ||||||
7.750%, 04/15/2018 | 900 | 983 | ||||||
Caesars Entertainment Operating | ||||||||
11.250%, 06/01/2017 | 2,130 | 2,288 | ||||||
10.000%, 12/15/2018 | 1,038 | 662 | ||||||
9.000%, 02/15/2020 (A) | 905 | 903 | ||||||
8.500%, 02/15/2020 (A) | 4,130 | 4,047 | ||||||
5.750%, 10/01/2017 | 400 | 188 | ||||||
Carlson Wagonlit BV | ||||||||
6.875%, 06/15/2019 (A) | 1,365 | 1,426 | ||||||
Carmike Cinemas | ||||||||
7.375%, 05/15/2019 | 950 | 1,016 | ||||||
Carrols Restaurant Group | ||||||||
11.250%, 05/15/2018 (A) | 1,310 | 1,438 | ||||||
CDR DB Sub | ||||||||
7.750%, 10/15/2020 (A) | 1,820 | 1,793 | ||||||
Checkers Drive-In Restaurants | ||||||||
11.000%, 12/01/2017 (A) | 650 | 658 | ||||||
Chester Downs & Marina LLC | ||||||||
9.250%, 02/01/2020 (A) | 2,145 | 2,118 | ||||||
Choice Hotels International | ||||||||
5.750%, 07/01/2022 | 255 | 279 | ||||||
Chrysler Group LLC | ||||||||
8.250%, 06/15/2021 | 4,190 | 4,614 | ||||||
8.000%, 06/15/2019 | 945 | 1,031 | ||||||
Chukchansi Economic Development Authority | ||||||||
9.750%, 05/30/2020 (A) | 2,064 | 1,156 | ||||||
Cinemark USA | ||||||||
7.375%, 06/15/2021 | 640 | 701 | ||||||
CityCenter Holdings LLC | ||||||||
10.750%, 01/15/2017 | 725 | 781 | ||||||
7.625%, 01/15/2016 | 1,315 | 1,400 | ||||||
Claire’s Stores | ||||||||
9.000%, 03/15/2019 (A) | 1,505 | 1,601 | ||||||
8.875%, 03/15/2019 | 785 | 732 | ||||||
Continental Airlines 2007-1 Class C Pass-Through Trust | ||||||||
7.339%, 04/19/2014 | 881 | 916 |
106 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Continental Rubber of America | ||||||||
4.500%, 09/15/2019 (A) | $ | 1,550 | $ | 1,566 | ||||
Dana Holding | ||||||||
6.750%, 02/15/2021 | 1,304 | 1,395 | ||||||
6.500%, 02/15/2019 | 2,099 | 2,222 | ||||||
Dave & Buster’s | ||||||||
11.000%, 06/01/2018 | 3,105 | 3,470 | ||||||
Dave & Buster’s Entertainment | ||||||||
11.828%, 02/15/2016 (A) | 9,645 | 7,198 | ||||||
Delphi | ||||||||
6.125%, 05/15/2021 | 2,065 | 2,282 | ||||||
5.875%, 05/15/2019 | 1,909 | 2,061 | ||||||
Delta Air Lines 2011-1 Class B Pass-Through Trust | ||||||||
7.125%, 10/15/2014 | 2,000 | 2,047 | ||||||
Dex One PIK | ||||||||
12.000%, 01/29/2017 | 1,257 | 365 | ||||||
Diamond Resorts | ||||||||
12.000%, 08/15/2018 | 1,350 | 1,458 | ||||||
DineEquity | ||||||||
9.500%, 10/30/2018 | 5,165 | 5,843 | ||||||
Dufry Finance SCA | ||||||||
5.500%, 10/15/2020 (A) | 665 | 688 | ||||||
Easton-Bell Sports | ||||||||
9.750%, 12/01/2016 | 1,675 | 1,805 | ||||||
Eldorado Resorts LLC | ||||||||
8.625%, 06/15/2019 (A) | 5,460 | 5,269 | ||||||
Empire Today LLC | ||||||||
11.375%, 02/01/2017 (A) | 2,071 | 2,211 | ||||||
Entravision Communications | ||||||||
8.750%, 08/01/2017 | 1,858 | 2,011 | ||||||
Equinox Holdings | ||||||||
9.500%, 02/01/2016 (A) | 1,255 | 1,330 | ||||||
Expedia | ||||||||
5.950%, 08/15/2020 | 1,000 | 1,092 | ||||||
Ferrellgas | ||||||||
9.125%, 10/01/2017 | 2,500 | 2,688 | ||||||
6.500%, 05/01/2021 | 2,150 | 2,086 | ||||||
Fifth & Pacific | ||||||||
10.500%, 04/15/2019 (A) | 1,925 | 2,132 | ||||||
10.500%, 04/15/2019 (A) | 1,810 | 2,005 | ||||||
Fontainebleau Las Vegas | ||||||||
11.000%, 06/15/2015 (A) (B) | 3,500 | 2 | ||||||
Global Aviation Holdings | ||||||||
14.000%, 08/15/2013 (B) | 2,598 | 760 | ||||||
Goodyear Tire & Rubber | ||||||||
8.750%, 08/15/2020 | 185 | 209 | ||||||
8.250%, 08/15/2020 | 1,295 | 1,418 | ||||||
7.000%, 05/15/2022 | 3,350 | 3,576 | ||||||
Graton Economic Development Authority | ||||||||
9.625%, 09/01/2019 (A) | 4,200 | 4,484 | ||||||
GRD Holdings III | ||||||||
10.750%, 06/01/2019 (A) | 2,990 | 3,057 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Greektown Superholdings | ||||||||
13.000%, 07/01/2015 | $ | 1,850 | $ | 1,980 | ||||
13.000%, 07/01/2015 | 3,390 | 3,627 | ||||||
GWR Operating Partnership LLP | ||||||||
10.875%, 04/01/2017 | 870 | 994 | ||||||
Gymboree | ||||||||
9.125%, 12/01/2018 | 1,005 | 922 | ||||||
Hanesbrands | ||||||||
8.000%, 12/15/2016 | 310 | 344 | ||||||
6.375%, 12/15/2020 | 1,282 | 1,409 | ||||||
HD Supply | ||||||||
11.500%, 07/15/2020 (A) | 740 | 808 | ||||||
11.000%, 04/15/2020 (A) | 3,770 | 4,354 | ||||||
8.125%, 04/15/2019 (A) | 1,795 | 2,024 | ||||||
Hillman Group | ||||||||
10.875%, 06/01/2018 | 960 | 1,033 | ||||||
INTCOMEX | ||||||||
13.250%, 12/15/2014 | 4,515 | 4,594 | ||||||
International Automotive Components Group | ||||||||
9.125%, 06/01/2018 (A) | 1,540 | 1,432 | ||||||
J Crew Group | ||||||||
8.125%, 03/01/2019 | 1,115 | 1,171 | ||||||
Jaguar Land Rover | ||||||||
8.125%, 05/15/2021 (A) | 1,440 | 1,577 | ||||||
Jarden | ||||||||
7.500%, 05/01/2017 | 705 | 794 | ||||||
JC Penney | ||||||||
7.950%, 04/01/2017 | 380 | 362 | ||||||
6.375%, 10/15/2036 | 710 | 538 | ||||||
5.750%, 02/15/2018 | 120 | 104 | ||||||
Lamar Media | ||||||||
7.875%, 04/15/2018 | 625 | 690 | ||||||
5.000%, 05/01/2023 (A) | 2,500 | 2,506 | ||||||
Landry’s | ||||||||
9.375%, 05/01/2020 (A) | 935 | 991 | ||||||
Levi Strauss | ||||||||
6.875%, 05/01/2022 | 860 | 902 | ||||||
Libbey Glass | ||||||||
6.875%, 05/15/2020 (A) | 545 | 583 | ||||||
Lions Gate Entertainment | ||||||||
10.250%, 11/01/2016 (A) | 4,515 | 5,023 | ||||||
Live Nation Entertainment | ||||||||
7.000%, 09/01/2020 (A) | 1,880 | 1,955 | ||||||
Logan’s Roadhouse | ||||||||
10.750%, 10/15/2017 | 2,335 | 2,189 | ||||||
M/I Homes | ||||||||
8.625%, 11/15/2018 | 2,150 | 2,327 | ||||||
Marina District Finance | ||||||||
9.875%, 08/15/2018 | 1,655 | 1,576 | ||||||
9.500%, 10/15/2015 | 180 | 174 | ||||||
McClatchy | ||||||||
11.500%, 02/15/2017 | 4,475 | 4,934 | ||||||
MDC Partners | ||||||||
11.000%, 11/01/2016 | 4,510 | 4,950 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 107 |
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Meritage Homes | ||||||||
7.000%, 04/01/2022 | $ | 330 | $ | 358 | ||||
MGM Resorts International | ||||||||
11.375%, 03/01/2018 | 2,500 | 2,969 | ||||||
9.000%, 03/15/2020 | 3,425 | 3,810 | ||||||
8.625%, 02/01/2019 (A) | 1,235 | 1,352 | ||||||
7.625%, 01/15/2017 | 1,530 | 1,626 | ||||||
6.750%, 10/01/2020 (A) | 2,815 | 2,836 | ||||||
Michaels Stores | ||||||||
11.375%, 11/01/2016 | 495 | 518 | ||||||
11.375%, 11/01/2016 (A) | 21 | 22 | ||||||
7.750%, 11/01/2018 (A) | 270 | 293 | ||||||
7.750%, 11/01/2018 | 1,300 | 1,409 | ||||||
Midwest Gaming Borrower LLC | ||||||||
11.625%, 04/15/2016 (A) | 2,360 | 2,584 | ||||||
Mohegan Tribal Gaming Authority | ||||||||
11.000%, 09/15/2018 (A) | 1,895 | 1,402 | ||||||
MTR Gaming Group | ||||||||
11.500%, 08/01/2019 | 4,850 | 5,092 | ||||||
NAI Entertainment Holdings LLC | ||||||||
8.250%, 12/15/2017 (A) | 1,527 | 1,687 | ||||||
Niska Gas Storage US LLC | ||||||||
8.875%, 03/15/2018 | 4,160 | 4,222 | ||||||
Party City Holdings | ||||||||
8.875%, 08/01/2020 (A) | 2,740 | 2,904 | ||||||
Peninsula Gaming LLC | ||||||||
10.750%, 08/15/2017 | 180 | 202 | ||||||
Petco Animal Supplies | ||||||||
9.250%, 12/01/2018 (A) | 1,075 | 1,193 | ||||||
Pinnacle Entertainment | ||||||||
7.750%, 04/01/2022 | 665 | 712 | ||||||
PulteGroup | ||||||||
6.000%, 02/15/2035 | 1,500 | 1,373 | ||||||
Quebecor Escrow (B) | ||||||||
0.00%, 11/15/2013 | 1,800 | 18 | ||||||
0.00%, 03/15/2016 | 2,175 | 22 | ||||||
Quebecor Media | ||||||||
7.750%, 03/15/2016 | 1,220 | 1,257 | ||||||
5.750%, 01/15/2023 (A) | 2,270 | 2,355 | ||||||
Radio Systems | ||||||||
8.375%, 11/01/2019 (A) | 2,135 | 2,186 | ||||||
Regal Entertainment Group | ||||||||
9.125%, 08/15/2018 | 1,215 | 1,346 | ||||||
Royal Caribbean Cruises | ||||||||
5.250%, 11/15/2022 | 1,325 | 1,388 | ||||||
Ryland Group | ||||||||
5.375%, 10/01/2022 | 2,625 | 2,671 | ||||||
Sabre | ||||||||
8.500%, 05/15/2019 (A) | 1,700 | 1,798 | ||||||
Sabre Holdings | ||||||||
8.350%, 03/15/2016 | 1,850 | 1,924 | ||||||
Sally Holdings LLC | ||||||||
6.875%, 11/15/2019 | 2,437 | 2,711 | ||||||
5.750%, 06/01/2022 | 355 | 384 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Sealy Mattress | ||||||||
8.250%, 06/15/2014 | $ | 4,145 | $ | 4,161 | ||||
Seneca Gaming | ||||||||
8.250%, 12/01/2018 (A) | 4,840 | 5,046 | ||||||
Serta Simmons Holdings LLC | ||||||||
8.125%, 10/01/2020 (A) | 3,640 | 3,663 | ||||||
Service International | ||||||||
7.625%, 10/01/2018 | 450 | 537 | ||||||
7.500%, 04/01/2027 | 785 | 836 | ||||||
7.000%, 05/15/2019 | 620 | 679 | ||||||
ServiceMaster | ||||||||
8.000%, 02/15/2020 | 2,700 | 2,747 | ||||||
7.450%, 08/15/2027 | 840 | 672 | ||||||
7.250%, 03/01/2038 | 3,170 | 2,496 | ||||||
7.100%, 03/01/2018 | 750 | 713 | ||||||
7.000%, 08/15/2020 (A) | 935 | 915 | ||||||
Seven Seas Cruises S de RL LLC | ||||||||
9.125%, 05/15/2019 | 1,620 | 1,685 | ||||||
Shingle Springs Tribal Group | ||||||||
9.375%, 06/15/2015 (A) | 3,125 | 3,008 | ||||||
Stanadyne Holdings | ||||||||
12.000%, 02/15/2015 (C) | 1,500 | 990 | ||||||
Stanadyne Holdings, Ser 1 | ||||||||
10.000%, 08/15/2014 | 1,475 | 1,342 | ||||||
Standard Pacific | ||||||||
10.750%, 09/15/2016 | 525 | 643 | ||||||
Steinway Musical Instruments | ||||||||
7.000%, 03/01/2014 (A) | 1,110 | 1,111 | ||||||
Stewart Enterprises | ||||||||
6.500%, 04/15/2019 | 575 | 618 | ||||||
Suburban Propane Partners | ||||||||
7.500%, 10/01/2018 (A) | 1,097 | 1,174 | ||||||
7.375%, 03/15/2020 | 500 | 535 | ||||||
Sugarhouse HSP Gaming Prop Mezz | ||||||||
8.625%, 04/15/2016 (A) | 1,390 | 1,486 | ||||||
Taylor Morrison Communities | ||||||||
7.750%, 04/15/2020 (A) | 1,470 | 1,544 | ||||||
Tomkins LLC | ||||||||
9.000%, 10/01/2018 | 365 | 409 | ||||||
Toys R Us | ||||||||
10.375%, 08/15/2017 | 1,355 | 1,387 | ||||||
Travelport LLC | ||||||||
11.875%, 09/01/2016 | 1,535 | 568 | ||||||
9.875%, 09/01/2014 | 2,275 | 1,786 | ||||||
UAL 1995 Pass-Through Trust A, Ser 95A1 | ||||||||
9.020%, 04/19/2012 (B) | 422 | 110 | ||||||
UAL 2009-1 Pass-Through Trust | ||||||||
10.400%, 11/01/2016 | 1,030 | 1,181 | ||||||
UCI International | ||||||||
8.625%, 02/15/2019 | 1,185 | 1,145 | ||||||
United Air Lines | ||||||||
12.000%, 11/01/2013 (A) | 1,735 | 1,759 |
108 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Univision Communications | ||||||||
8.500%, 05/15/2021 (A) | $ | 4,365 | $ | 4,496 | ||||
7.875%, 11/01/2020 (A) | 2,750 | 2,936 | ||||||
Vail Resorts | ||||||||
6.500%, 05/01/2019 | 845 | 909 | ||||||
Viking Cruises | ||||||||
8.500%, 10/15/2022 (A) | 180 | 191 | ||||||
Visteon | ||||||||
6.750%, 04/15/2019 | 1,155 | 1,219 | ||||||
William Lyon Homes | ||||||||
8.500%, 11/15/2020 (A) | 3,135 | 3,182 | ||||||
WMG Acquisition | ||||||||
11.500%, 10/01/2018 | 3,370 | 3,808 | ||||||
6.000%, 01/15/2021 (A) | 1,375 | 1,409 | ||||||
Wok Acquisition | ||||||||
10.250%, 06/30/2020 (A) | 4,135 | 4,352 | ||||||
Wolverine World Wide | ||||||||
6.125%, 10/15/2020 (A) | 115 | 119 | ||||||
Wynn Las Vegas LLC | ||||||||
7.750%, 08/15/2020 | 3,050 | 3,500 | ||||||
Yankee Candle, Ser B | ||||||||
9.750%, 02/15/2017 | 1,920 | 1,997 | ||||||
|
| |||||||
334,437 | ||||||||
|
| |||||||
Consumer Staples — 11.8% |
| |||||||
Accellent | ||||||||
10.000%, 11/01/2017 | 1,090 | 845 | ||||||
8.375%, 02/01/2017 | 2,640 | 2,680 | ||||||
Albea Beauty Holdings | ||||||||
8.375%, 11/01/2019 (A) | 745 | 760 | ||||||
American Achievement | ||||||||
10.875%, 04/15/2016 (A) | 3,055 | 2,536 | ||||||
American Renal Associates Holdings | ||||||||
9.750%, 03/01/2016 | 2,496 | 2,640 | ||||||
American Renal Holdings | ||||||||
8.375%, 05/15/2018 | 2,300 | 2,432 | ||||||
Apria Healthcare Group | ||||||||
12.375%, 11/01/2014 | 3,825 | 3,749 | ||||||
11.250%, 11/01/2014 | 850 | 879 | ||||||
Armored Autogroup | ||||||||
9.250%, 11/01/2018 | 2,700 | 2,136 | ||||||
Ashtead Capital | ||||||||
6.500%, 07/15/2022 (A) | 1,795 | 1,912 | ||||||
Aurora Diagnostics Holdings | ||||||||
10.750%, 01/15/2018 | 5,125 | 4,971 | ||||||
Avis Budget Car Rental LLC | ||||||||
4.875%, 11/15/2017 (A) | 390 | 390 | ||||||
Beverages & More | ||||||||
9.625%, 10/01/2014 (A) | 3,900 | 3,998 | ||||||
BI-LO LLC | ||||||||
9.250%, 02/15/2019 (A) | 550 | 573 | ||||||
Biomet | ||||||||
6.500%, 10/01/2020 (A) | 1,500 | 1,485 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Brickman Group Holdings | ||||||||
9.125%, 11/01/2018 (A) | $ | 80 | $ | 82 | ||||
Bumble Bee Acquisition | ||||||||
9.000%, 12/15/2017 (A) | 1,953 | 2,060 | ||||||
Bumble Bee Holdco SCA PIK | ||||||||
9.625%, 03/15/2018 (A) | 3,750 | 3,694 | ||||||
CDRT Holding | ||||||||
9.250%, 10/01/2017 (A) | 730 | 730 | ||||||
Central Garden and Pet | ||||||||
8.250%, 03/01/2018 | 5,975 | 6,296 | ||||||
Ceridian | ||||||||
8.875%, 07/15/2019 (A) | 3,075 | 3,290 | ||||||
CHS | ||||||||
8.000%, 11/15/2019 | 2,055 | 2,237 | ||||||
7.125%, 07/15/2020 | 2,900 | 3,067 | ||||||
5.125%, 08/15/2018 | 2,935 | 3,089 | ||||||
Constellation Brands | ||||||||
4.625%, 03/01/2023 | 705 | 726 | ||||||
Cott Beverages | ||||||||
8.375%, 11/15/2017 | 2,975 | 3,235 | ||||||
8.125%, 09/01/2018 | 900 | 995 | ||||||
Dean Foods | ||||||||
7.000%, 06/01/2016 | 700 | 751 | ||||||
Del Monte | ||||||||
7.625%, 02/15/2019 | 6,310 | 6,484 | ||||||
DJO Finance LLC | ||||||||
9.875%, 04/15/2018 (A) | 1,455 | 1,459 | ||||||
9.750%, 10/15/2017 | 3,250 | 2,763 | ||||||
8.750%, 03/15/2018 (A) | 1,060 | 1,155 | ||||||
7.750%, 04/15/2018 | 3,530 | 3,292 | ||||||
DynCorp International | ||||||||
10.375%, 07/01/2017 | 3,980 | 3,512 | ||||||
Elizabeth Arden | ||||||||
7.375%, 03/15/2021 | 240 | 267 | ||||||
Emergency Medical Services | ||||||||
8.125%, 06/01/2019 | 6,121 | 6,534 | ||||||
Fleming | ||||||||
10.125%, 04/01/2008 (B) | 974 | — | ||||||
Fresenius Medical Care US Finance II | ||||||||
5.625%, 07/31/2019 (A) | 3,960 | 4,227 | ||||||
Grifols | ||||||||
8.250%, 02/01/2018 | 900 | 996 | ||||||
HCA | ||||||||
8.500%, 04/15/2019 | 2,640 | 2,963 | ||||||
8.000%, 10/01/2018 | 500 | 580 | ||||||
7.500%, 02/15/2022 | 5,035 | 5,727 | ||||||
6.500%, 02/15/2020 | 2,000 | 2,245 | ||||||
5.875%, 03/15/2022 | 2,400 | 2,610 | ||||||
HCA Holdings | ||||||||
7.750%, 05/15/2021 | 3,920 | 4,253 | ||||||
HDTFS | ||||||||
5.875%, 10/15/2020 (A) | 445 | 459 | ||||||
Hertz | ||||||||
7.500%, 10/15/2018 | 1,580 | 1,730 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 109 |
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Immucor | ||||||||
11.125%, 08/15/2019 | $ | 6,765 | $ | 7,594 | ||||
INC Research LLC | ||||||||
11.500%, 07/15/2019 (A) | 4,085 | 4,126 | ||||||
Interactive Data | ||||||||
10.250%, 08/01/2018 | 915 | 1,026 | ||||||
Jaguar Holding II | ||||||||
9.500%, 12/01/2019 (A) | 2,550 | 2,869 | ||||||
JBS USA LLC | ||||||||
8.250%, 02/01/2020 (A) | 1,520 | 1,577 | ||||||
Kinetic Concepts | ||||||||
12.500%, 11/01/2019 (A) | 1,160 | 1,090 | ||||||
10.500%, 11/01/2018 (A) | 3,405 | 3,541 | ||||||
Knowledge Universe Education LLC | ||||||||
7.750%, 02/01/2015 (A) | 775 | 705 | ||||||
Land O’ Lakes | ||||||||
6.000%, 11/15/2022 (A) | 340 | 352 | ||||||
Lantheus Medical Imaging | ||||||||
9.750%, 05/15/2017 | 1,345 | 1,258 | ||||||
Laureate Education | ||||||||
11.000%, 08/15/2015 (A) | 525 | 539 | ||||||
9.250%, 09/01/2019 (A) | 1,900 | 1,938 | ||||||
Logo Merger Sub | ||||||||
8.375%, 10/15/2020 (A) | 450 | 457 | ||||||
Mead Products LLC | ||||||||
6.750%, 04/30/2020 (A) | 355 | 368 | ||||||
Michael Foods Group | ||||||||
9.750%, 07/15/2018 | 1,160 | 1,288 | ||||||
Monitronics International | ||||||||
9.125%, 04/01/2020 | 1,010 | 1,035 | ||||||
9.125%, 04/01/2020 (A) | 3,015 | 3,090 | ||||||
MultiPlan | ||||||||
9.875%, 09/01/2018 (A) | 1,265 | 1,401 | ||||||
NBTY | ||||||||
9.000%, 10/01/2018 | 2,530 | 2,846 | ||||||
OnCure Holdings | ||||||||
11.750%, 05/15/2017 | 1,000 | 515 | ||||||
Pantry | ||||||||
8.375%, 08/01/2020 (A) | 1,440 | 1,487 | ||||||
Physio-Control International | ||||||||
9.875%, 01/15/2019 (A) | 400 | 437 | ||||||
Physiotherapy Associates Holdings | ||||||||
11.875%, 05/01/2019 (A) | 1,010 | 1,000 | ||||||
Pilgrim’s Pride | ||||||||
7.875%, 12/15/2018 | 1,030 | 1,030 | ||||||
Pinnacle Foods Finance LLC | ||||||||
8.250%, 09/01/2017 | 1,250 | 1,313 | ||||||
Post Holdings | ||||||||
7.375%, 02/15/2022 (A) | 1,270 | 1,357 | ||||||
Radiation Therapy Services | ||||||||
9.875%, 04/15/2017 | 1,125 | 821 | ||||||
8.875%, 01/15/2017 | 665 | 662 | ||||||
Radnet Management | ||||||||
10.375%, 04/01/2018 | 720 | 729 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Reynolds Group Issuer | ||||||||
9.875%, 08/15/2019 | $ | 6,365 | $ | 6,747 | ||||
9.000%, 04/15/2019 | 5,095 | 5,248 | ||||||
8.250%, 02/15/2021 | 205 | 203 | ||||||
7.875%, 08/15/2019 | 620 | 682 | ||||||
6.875%, 02/15/2021 | 1,000 | 1,078 | ||||||
5.750%, 10/15/2020 (A) | 3,550 | 3,630 | ||||||
Rite Aid | ||||||||
9.750%, 06/12/2016 | 530 | 575 | ||||||
9.250%, 03/15/2020 | 6,660 | 6,793 | ||||||
8.000%, 08/15/2020 | 7,150 | 8,026 | ||||||
7.700%, 02/15/2027 | 2,635 | 2,068 | ||||||
7.500%, 03/01/2017 | 590 | 603 | ||||||
Rural | ||||||||
10.125%, 07/15/2019 (A) | 2,900 | 2,726 | ||||||
Seminole Indian Tribe of Florida | ||||||||
7.750%, 10/01/2017 (A) | 3,450 | 3,761 | ||||||
6.535%, 10/01/2020 (A) | 1,450 | 1,562 | ||||||
Sky Growth Acquisition | ||||||||
7.375%, 10/15/2020 (A) | 2,265 | 2,234 | ||||||
Smithfield Foods | ||||||||
6.625%, 08/15/2022 | 670 | 710 | ||||||
Spectrum Brands | ||||||||
9.500%, 06/15/2018 | 1,095 | 1,247 | ||||||
9.500%, 06/15/2018 (A) | 310 | 353 | ||||||
6.750%, 03/15/2020 (A) | 440 | 459 | ||||||
Spectrum Brands Escrow | ||||||||
6.625%, 11/15/2022 (A) | 1,565 | 1,639 | ||||||
6.375%, 11/15/2020 (A) | 885 | 918 | ||||||
STHI Holding | ||||||||
8.000%, 03/15/2018 (A) | 1,275 | 1,387 | ||||||
SUPERVALU | ||||||||
8.000%, 05/01/2016 | 3,310 | 3,045 | ||||||
Symbion PIK | ||||||||
11.000%, 08/23/2015 | 1,292 | 1,330 | ||||||
TransUnion Holding | ||||||||
8.125%, 06/15/2018 (A) | 2,349 | 2,372 | ||||||
U.S. Oncology (Escrow Security) | ||||||||
9.125%, 08/15/2017 | 2,130 | 37 | ||||||
United Rentals North America | ||||||||
9.250%, 12/15/2019 | 1,055 | 1,200 | ||||||
8.375%, 09/15/2020 | 575 | 635 | ||||||
8.250%, 02/01/2021 | 5,135 | 5,751 | ||||||
7.625%, 04/15/2022 (A) | 590 | 653 | ||||||
7.375%, 05/15/2020 (A) | 170 | 186 | ||||||
6.125%, 06/15/2023 | 1,030 | 1,058 | ||||||
United Surgical Partners International | ||||||||
9.000%, 04/01/2020 | 1,570 | 1,731 | ||||||
UR Financing Escrow | ||||||||
5.750%, 07/15/2018 (A) | 550 | 593 | ||||||
US Foods | ||||||||
8.500%, 06/30/2019 (A) | 2,950 | 2,980 | ||||||
8.500%, 06/30/2019 | 1,235 | 1,254 |
110 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Valeant Pharmaceuticals International | ||||||||
7.250%, 07/15/2022 (A) | $ | 1,370 | $ | 1,495 | ||||
7.000%, 10/01/2020 (A) | 845 | 919 | ||||||
6.875%, 12/01/2018 (A) | 905 | 979 | ||||||
6.750%, 10/01/2017 (A) | 675 | 731 | ||||||
6.750%, 08/15/2021 (A) | 970 | 1,040 | ||||||
Vanguard Health Holding II LLC | ||||||||
7.750%, 02/01/2019 (A) | 2,300 | 2,369 | ||||||
VPI Escrow | ||||||||
6.375%, 10/15/2020 (A) | 885 | 940 | ||||||
YCC Holdings LLC PIK | ||||||||
10.250%, 02/15/2016 | 1,235 | 1,278 | ||||||
|
| |||||||
245,170 | ||||||||
|
| |||||||
Energy — 8.9% |
| |||||||
Access Midstream Partners | ||||||||
6.125%, 07/15/2022 | 555 | 588 | ||||||
5.875%, 04/15/2021 | 2,030 | 2,121 | ||||||
American Petroleum Tankers Parent LLC | ||||||||
10.250%, 05/01/2015 | 1,173 | 1,230 | ||||||
Antero Resources Finance | ||||||||
9.375%, 12/01/2017 | 1,235 | 1,358 | ||||||
Arch Coal | ||||||||
8.750%, 08/01/2016 | 875 | 884 | ||||||
7.250%, 06/15/2021 | 675 | 604 | ||||||
7.000%, 06/15/2019 | 510 | 458 | ||||||
Atlas Pipeline Partners | ||||||||
6.625%, 10/01/2020 (A) | 595 | 619 | ||||||
Atwood Oceanics | ||||||||
6.500%, 02/01/2020 | 438 | 468 | ||||||
Berry Petroleum | ||||||||
6.375%, 09/15/2022 | 430 | 443 | ||||||
Bill Barrett | ||||||||
7.625%, 10/01/2019 | 2,000 | 2,070 | ||||||
7.000%, 10/15/2022 | 450 | 451 | ||||||
Bluewater Holding BV | ||||||||
3.330%, 07/17/2014 (A) (D) | 1,400 | 1,298 | ||||||
BreitBurn Energy Partners | ||||||||
8.625%, 10/15/2020 | 640 | 690 | ||||||
7.875%, 04/15/2022 (A) | 3,435 | 3,529 | ||||||
Calumet Specialty Products Partners | ||||||||
9.375%, 05/01/2019 | 2,440 | 2,629 | ||||||
Carrizo Oil & Gas | ||||||||
7.500%, 09/15/2020 | 400 | 406 | ||||||
Chaparral Energy | ||||||||
8.250%, 09/01/2021 | 1,595 | 1,715 | ||||||
7.625%, 11/15/2022 (A) | 730 | 743 | ||||||
Chesapeake Energy | ||||||||
6.875%, 08/15/2018 | 675 | 709 | ||||||
6.625%, 08/15/2020 | 2,630 | 2,755 | ||||||
6.125%, 02/15/2021 | 270 | 273 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Chesapeake Oilfield Operating LLC | ||||||||
6.625%, 11/15/2019 (A) | $ | 630 | $ | 592 | ||||
Cloud Peak Energy Resources LLC | ||||||||
8.250%, 12/15/2017 | 580 | 623 | ||||||
Comstock Resources | ||||||||
7.750%, 04/01/2019 | 860 | 866 | ||||||
CONSOL Energy | ||||||||
8.250%, 04/01/2020 | 680 | 726 | ||||||
8.000%, 04/01/2017 | 815 | 872 | ||||||
Copano Energy LLC | ||||||||
7.750%, 06/01/2018 | 3,000 | 3,154 | ||||||
7.125%, 04/01/2021 | 520 | 548 | ||||||
Crestwood Midstream Partners | ||||||||
7.750%, 04/01/2019 | 3,500 | 3,570 | ||||||
7.750%, 04/01/2019 (A) | 300 | 306 | ||||||
Crosstex Energy | ||||||||
8.875%, 02/15/2018 | 2,235 | 2,425 | ||||||
7.125%, 06/01/2022 (A) | 725 | 739 | ||||||
CVR Refining LLC | ||||||||
6.500%, 11/01/2022 (A) | 1,035 | 1,019 | ||||||
Denbury Resources | ||||||||
8.250%, 02/15/2020 | 909 | 1,027 | ||||||
Dresser-Rand Group | ||||||||
6.500%, 05/01/2021 | 600 | 630 | ||||||
Drill Rigs Holdings | ||||||||
6.500%, 10/01/2017 (A) | 2,325 | 2,308 | ||||||
Eagle Rock Energy Partners | ||||||||
8.375%, 06/01/2019 | 1,725 | 1,751 | ||||||
8.375%, 06/01/2019 (A) | 5,710 | 5,796 | ||||||
El Paso LLC | ||||||||
7.250%, 06/01/2018 | 740 | 855 | ||||||
7.000%, 06/15/2017 | 270 | 309 | ||||||
EP Energy LLC | ||||||||
9.375%, 05/01/2020 (A) | 1,600 | 1,772 | ||||||
7.750%, 09/01/2022 (A) | 560 | 581 | ||||||
6.875%, 05/01/2019 (A) | 3,140 | 3,399 | ||||||
EPL Oil & Gas | ||||||||
8.250%, 02/15/2018 (A) | 2,625 | 2,605 | ||||||
EV Energy Partners | ||||||||
8.000%, 04/15/2019 | 1,465 | 1,538 | ||||||
Exterran Holdings | ||||||||
7.250%, 12/01/2018 | 3,300 | 3,465 | ||||||
Foresight Energy LLC | ||||||||
9.625%, 08/15/2017 (A) | 2,060 | 2,142 | ||||||
Forest Oil | ||||||||
8.500%, 02/15/2014 | 25 | 27 | ||||||
7.250%, 06/15/2019 | 6,245 | 6,245 | ||||||
FTS International Services LLC | ||||||||
7.125%, 11/15/2018 (A) | 727 | 749 | ||||||
Halcon Resources | ||||||||
8.875%, 05/15/2021 (A) | 3,720 | 3,850 | ||||||
Hercules Offshore | ||||||||
10.500%, 10/15/2017 (A) | 2,055 | 2,183 | ||||||
10.250%, 04/01/2019 (A) | 85 | 90 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 111 |
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Hiland Partners | ||||||||
7.250%, 10/01/2020 (A) | $ | 925 | $ | 968 | ||||
Hilcorp Energy I | ||||||||
8.000%, 02/15/2020 (A) | 1,280 | 1,402 | ||||||
7.625%, 04/15/2021 (A) | 125 | 135 | ||||||
Holly Energy Partners | ||||||||
6.500%, 03/01/2020 (A) | 450 | 472 | ||||||
Inergy Midstream | ||||||||
6.000%, 12/15/2020 (A) | 340 | 346 | ||||||
James River Coal | ||||||||
7.875%, 04/01/2019 | 925 | 530 | ||||||
Kodiak Oil & Gas | ||||||||
8.125%, 12/01/2019 (A) | 2,630 | 2,867 | ||||||
Laredo Petroleum | ||||||||
9.500%, 02/15/2019 | 4,475 | 5,012 | ||||||
7.375%, 05/01/2022 | 980 | 1,061 | ||||||
Legacy Reserves | ||||||||
8.000%, 12/01/2020 (A) | 1,800 | 1,804 | ||||||
Linn Energy LLC | ||||||||
8.625%, 04/15/2020 | 1,375 | 1,502 | ||||||
7.750%, 02/01/2021 | 475 | 501 | ||||||
6.500%, 05/15/2019 | 1,130 | 1,147 | ||||||
6.250%, 11/01/2019 (A) | 1,320 | 1,325 | ||||||
Magnum Hunter Resources | ||||||||
9.750%, 05/15/2020 (A) | 2,640 | 2,706 | ||||||
MarkWest Energy Partners | ||||||||
5.500%, 02/15/2023 | 805 | 847 | ||||||
MEG Energy | ||||||||
6.500%, 03/15/2021 (A) | 326 | 340 | ||||||
6.375%, 01/30/2023 (A) | 3,035 | 3,149 | ||||||
Midstates Petroleum | ||||||||
10.750%, 10/01/2020 (A) | 5,002 | 5,277 | ||||||
Milagro Oil & Gas | ||||||||
10.500%, 05/15/2016 | 1,950 | 1,463 | ||||||
Murray Energy | ||||||||
10.250%, 10/15/2015 (A) | 1,315 | 1,249 | ||||||
Newfield Exploration | ||||||||
6.875%, 02/01/2020 | 675 | 726 | ||||||
Oasis Petroleum | ||||||||
7.250%, 02/01/2019 | 1,130 | 1,203 | ||||||
Ocean Rig UDW | ||||||||
9.500%, 04/27/2016 (A) | 6,100 | 6,192 | ||||||
Parker Drilling | ||||||||
9.125%, 04/01/2018 | 1,610 | 1,715 | ||||||
PDC Energy | ||||||||
7.750%, 10/15/2022 (A) | 1,805 | 1,823 | ||||||
Peabody Energy | ||||||||
6.250%, 11/15/2021 (A) | 1,940 | 2,013 | ||||||
6.000%, 11/15/2018 (A) | 860 | 899 | ||||||
Penn Virginia | ||||||||
10.375%, 06/15/2016 | 400 | 420 | ||||||
7.250%, 04/15/2019 | 1,000 | 963 | ||||||
Penn Virginia Resource Partners | ||||||||
8.375%, 06/01/2020 (A) | 2,125 | 2,231 | ||||||
8.250%, 04/15/2018 | 1,265 | 1,322 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Pioneer Energy Services | ||||||||
9.875%, 03/15/2018 | $ | 1,850 | $ | 2,003 | ||||
Plains Exploration & Production | ||||||||
10.000%, 03/01/2016 | 1,140 | 1,213 | ||||||
7.625%, 06/01/2018 | 350 | 371 | ||||||
7.625%, 04/01/2020 | 2,475 | 2,617 | ||||||
6.875%, 02/15/2023 | 905 | 932 | ||||||
6.500%, 11/15/2020 | 1,940 | 1,979 | ||||||
QR Energy | ||||||||
9.250%, 08/01/2020 | 725 | 743 | ||||||
Quicksilver Resources | ||||||||
11.750%, 01/01/2016 | 1,100 | 1,092 | ||||||
9.125%, 08/15/2019 | 870 | 792 | ||||||
Range Resources | ||||||||
8.000%, 05/15/2019 | 4,575 | 5,033 | ||||||
5.000%, 08/15/2022 | 2,525 | 2,632 | ||||||
Regency Energy Partners | ||||||||
6.875%, 12/01/2018 | 2,900 | 3,147 | ||||||
5.500%, 04/15/2023 | 720 | 756 | ||||||
Samson Investment | ||||||||
9.750%, 02/15/2020 (A) | 1,530 | 1,618 | ||||||
SandRidge Energy | ||||||||
8.750%, 01/15/2020 | 70 | 76 | ||||||
8.125%, 10/15/2022 (A) | 3,940 | 4,216 | ||||||
8.000%, 06/01/2018 (A) | 370 | 391 | ||||||
7.500%, 03/15/2021 (A) | 575 | 599 | ||||||
7.500%, 03/15/2021 | 2,810 | 2,929 | ||||||
7.500%, 02/15/2023 (A) | 595 | 619 | ||||||
SESI LLC | ||||||||
7.125%, 12/15/2021 | 4,000 | 4,450 | ||||||
Shelf Drilling Holdings | ||||||||
8.625%, 11/01/2018 (A) | 725 | 729 | ||||||
Targa Resources Partners | ||||||||
7.875%, 10/15/2018 | 2,445 | 2,671 | ||||||
6.375%, 08/01/2022 (A) | 2,250 | 2,441 | ||||||
5.250%, 05/01/2023 (A) | 260 | 266 | ||||||
Tesoro Logistics | ||||||||
5.875%, 10/01/2020 (A) | 725 | 754 | ||||||
Thermon Industries | ||||||||
9.500%, 05/01/2017 | 1,038 | 1,159 | ||||||
Trinidad Drilling | ||||||||
7.875%, 01/15/2019 (A) | 880 | 931 | ||||||
Vanguard Natural Resources LLC | ||||||||
7.875%, 04/01/2020 | 1,085 | 1,109 | ||||||
Venoco | ||||||||
8.875%, 02/15/2019 | 645 | 569 | ||||||
WPX Energy | ||||||||
6.000%, 01/15/2022 | 1,080 | 1,156 | ||||||
|
| |||||||
186,406 | ||||||||
|
| |||||||
Financials — 8.3% |
| |||||||
Alliant Holdings | ||||||||
11.000%, 05/01/2015 (A) | 3,400 | 3,508 | ||||||
Ally Financial | ||||||||
8.000%, 11/01/2031 | 1,900 | 2,413 |
112 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
7.500%, 09/15/2020 | $ | 850 | $ | 1,024 | ||||
6.250%, 12/01/2017 | 3,675 | 4,059 | ||||||
5.500%, 02/15/2017 | 1,430 | 1,523 | ||||||
4.625%, 06/26/2015 | 860 | 897 | ||||||
Alphabet Holding | ||||||||
7.750%, 11/01/2017 (A) | 4,135 | 4,218 | ||||||
American International Group | ||||||||
8.175%, 05/15/2058 (D) | 2,250 | 2,813 | ||||||
6.250%, 03/15/2037 | 2,760 | 2,822 | ||||||
Aventine (Escrow Security) | ||||||||
0.000%, 10/15/2049 1 (B) (E) (F) (G) | 2,600 | 2 | ||||||
Bank of America | ||||||||
8.000%, 12/29/2049 (D) | 1,885 | 2,079 | ||||||
Barclays Bank | ||||||||
7.625%, 11/21/2022 | 1,510 | 1,495 | ||||||
Boyd Acquisition Sub LLC | ||||||||
8.375%, 02/15/2018 (A) | 2,750 | 2,839 | ||||||
Cemex Finance LLC | ||||||||
9.500%, 12/14/2016 (A) | 1,908 | 2,051 | ||||||
CIT Group | ||||||||
6.625%, 04/01/2018 (A) | 300 | 336 | ||||||
5.500%, 02/15/2019 (A) | 1,920 | 2,045 | ||||||
5.250%, 03/15/2018 | 1,520 | 1,613 | ||||||
5.000%, 05/15/2017 | 720 | 754 | ||||||
4.250%, 08/15/2017 | 1,730 | 1,768 | ||||||
City National Bank | ||||||||
9.000%, 08/12/2019 | 4,062 | 4,946 | ||||||
CKE Holdings | ||||||||
10.500%, 03/14/2016 (A) | 2,905 | 3,093 | ||||||
CNH Capital LLC | ||||||||
6.250%, 11/01/2016 (A) | 610 | 666 | ||||||
3.875%, 11/01/2015 (A) | 350 | 359 | ||||||
Credit Acceptance | ||||||||
9.125%, 02/01/2017 | 4,000 | 4,370 | ||||||
E*TRADE Financial | ||||||||
7.875%, 12/01/2015 | 2,950 | 2,989 | ||||||
6.375%, 11/15/2019 | 1,575 | 1,589 | ||||||
E*TRADE Financial PIK | ||||||||
12.500%, 11/30/2017 | 640 | 720 | ||||||
Entertainment Properties Trust‡ | ||||||||
5.750%, 08/15/2022 | 865 | 913 | ||||||
Fresenius US Finance II | ||||||||
9.000%, 07/15/2015 (A) | 800 | 922 | ||||||
Global Investments Group Finance | ||||||||
11.000%, 09/24/2017 | 3,000 | 2,933 | ||||||
HBOS Capital Funding | ||||||||
6.071%, 06/30/2049 (A) (D) | 1,190 | 970 | ||||||
HBOS Capital Funding No. 2 | ||||||||
6.071%, 06/30/2049 (A) (D) | 5,520 | 4,499 | ||||||
Hub International | ||||||||
8.125%, 10/15/2018 (A) | 6,550 | 6,796 | ||||||
Icahn Enterprises | ||||||||
8.000%, 01/15/2018 | 2,800 | 2,975 | ||||||
7.750%, 01/15/2016 | 4,500 | 4,691 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
ILFC E-Capital Trust II | ||||||||
6.250%, 12/21/2065 (A) (D) | $ | 1,900 | $ | 1,539 | ||||
ING Groep | ||||||||
5.775%, 12/29/2049 (D) | 3,250 | 3,043 | ||||||
Ironshore Holdings US | ||||||||
8.500%, 05/15/2020 (A) | 5,000 | 5,545 | ||||||
Jefferies Group | ||||||||
8.500%, 07/15/2019 | 820 | 961 | ||||||
Kennedy-Wilson | ||||||||
8.750%, 04/01/2019 | 3,500 | 3,736 | ||||||
Lancashire Holdings | ||||||||
5.700%, 10/01/2022 (A) | 1,200 | 1,427 | ||||||
Liberty Mutual Group | ||||||||
7.000%, 03/15/2037 (A) (D) | 1,565 | 1,549 | ||||||
Lloyds Banking Group | ||||||||
6.267%, 11/14/2016 (A) (D) | 1,435 | 1,062 | ||||||
5.920%, 09/29/2049 (A) (D) | 955 | 697 | ||||||
Marlin Water Trust II | ||||||||
6.310%, 07/15/2003 (A) (B) | 4,000 | — | ||||||
Mattamy Group | ||||||||
6.500%, 11/15/2020 (A) | 1,575 | 1,575 | ||||||
Millennium Escrow | ||||||||
7.625%, 11/15/2026 (B) | 200 | — | ||||||
MPT Operating Partnership‡ | ||||||||
6.875%, 05/01/2021 | 4,095 | 4,443 | ||||||
National Life Insurance | ||||||||
10.500%, 09/15/2039 (A) | 1,100 | 1,556 | ||||||
Nationstar Mortgage LLC | ||||||||
9.625%, 05/01/2019 (A) | 915 | 1,013 | ||||||
7.875%, 10/01/2020 (A) | 3,725 | 3,860 | ||||||
Norcraft | ||||||||
10.500%, 12/15/2015 | 975 | 975 | ||||||
Nuveen Investments | ||||||||
9.500%, 10/15/2020 (A) | 6,515 | 6,580 | ||||||
9.125%, 10/15/2017 (A) | 3,935 | 3,905 | ||||||
Offshore Group Investment | ||||||||
11.500%, 08/01/2015 | 671 | 738 | ||||||
Ohio Casualty | ||||||||
7.300%, 06/15/2014 | 1,050 | 1,131 | ||||||
Omega Healthcare Investors | ||||||||
7.500%, 02/15/2020‡ | 3,505 | 3,873 | ||||||
Ono Finance II | ||||||||
10.875%, 07/15/2019 (A) | 3,236 | 2,848 | ||||||
PHH | ||||||||
9.250%, 03/01/2016 | 725 | 844 | ||||||
7.375%, 09/01/2019 | 775 | 841 | ||||||
PNC Preferred Funding Trust II | ||||||||
1.611%, 03/29/2049 (A) (D) | 5,640 | 4,850 | ||||||
RBS Capital Trust I | ||||||||
4.709%, 12/29/2049 (D) | 2,280 | 1,664 | ||||||
RBS Capital Trust III | ||||||||
5.512%, 09/30/2049 (D) | 420 | 309 | ||||||
Realogy | ||||||||
7.875%, 02/15/2019 (A) | 950 | 1,007 | ||||||
7.625%, 01/15/2020 (A) | 520 | 580 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 113 |
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Regions Financing Trust II | ||||||||
6.625%, 05/15/2047 (D) | $ | 2,710 | $ | 2,706 | ||||
Rivers Pittsburgh Borrower | ||||||||
9.500%, 06/15/2019 (A) | 725 | 778 | ||||||
Sabra Health Care‡ | ||||||||
8.125%, 11/01/2018 | 4,125 | 4,387 | ||||||
8.125%, 11/01/2018 (A) | 415 | 440 | ||||||
Snoqualmie Entertainment Authority | ||||||||
9.125%, 02/01/2015 (A) | 2,606 | 2,632 | ||||||
4.476%, 02/01/2014 (A) (D) | 275 | 272 | ||||||
Spencer Spirit Holdings | ||||||||
11.000%, 05/01/2017 (A) | 2,660 | 2,820 | ||||||
Synovus Financial | ||||||||
7.875%, 02/15/2019 | 1,865 | 2,052 | ||||||
Tops Holdings | ||||||||
10.125%, 10/15/2015 | 780 | 823 | ||||||
USB Realty | ||||||||
1.487%, 12/29/2049 (A) (D) | 5,700 | 4,903 | ||||||
USI Holdings | ||||||||
9.750%, 05/15/2015 (A) | 4,812 | 4,956 | ||||||
XL Capital | ||||||||
6.500%, 12/31/2049 (D) | 2,615 | 2,369 | ||||||
|
| |||||||
172,979 | ||||||||
|
| |||||||
Health Care — 2.8% |
| |||||||
Acadia Healthcare | ||||||||
12.875%, 11/01/2018 | 2,600 | 3,120 | ||||||
Alere | ||||||||
9.000%, 05/15/2016 | 5,615 | 5,896 | ||||||
7.250%, 07/01/2018 (A) | 790 | 790 | ||||||
Amsurg | ||||||||
5.625%, 11/30/2020 (A) | 3,075 | 3,106 | ||||||
Biomet | ||||||||
6.500%, 08/01/2020 (A) | 5,751 | 6,010 | ||||||
BioScrip | ||||||||
10.250%, 10/01/2015 | 3,815 | 4,082 | ||||||
DaVita | ||||||||
6.625%, 11/01/2020 | 1,435 | 1,544 | ||||||
6.375%, 11/01/2018 | 1,455 | 1,557 | ||||||
5.750%, 08/15/2022 | 125 | 131 | ||||||
Endo Health Solutions | ||||||||
7.000%, 07/15/2019 | 1,000 | 1,067 | ||||||
Health Management Associates | ||||||||
7.375%, 01/15/2020 | 3,355 | 3,623 | ||||||
6.125%, 04/15/2016 | 515 | 559 | ||||||
HealthSouth | ||||||||
8.125%, 02/15/2020 | 3,415 | 3,756 | ||||||
7.750%, 09/15/2022 | 801 | 878 | ||||||
7.250%, 10/01/2018 | 388 | 420 | ||||||
5.750%, 11/01/2024 | 265 | 265 | ||||||
Hologic | ||||||||
6.250%, 08/01/2020 (A) | 4,930 | 5,238 | ||||||
inVentiv Health | ||||||||
10.250%, 08/15/2018 (A) | 610 | 531 | ||||||
10.000%, 08/15/2018 (A) | 450 | 392 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Kindred Healthcare | ||||||||
8.250%, 06/01/2019 | $ | 5,275 | $ | 5,117 | ||||
Mylan | ||||||||
7.875%, 07/15/2020 (A) | 1,388 | 1,640 | ||||||
Surgical Care Affiliates PIK | ||||||||
8.875%, 07/15/2015 (A) | 1,636 | 1,664 | ||||||
Tenet Healthcare | ||||||||
8.000%, 08/01/2020 | 2,645 | 2,837 | ||||||
6.250%, 11/01/2018 | 1,090 | 1,199 | ||||||
Universal Health Services | ||||||||
7.000%, 10/01/2018 | 2,500 | 2,700 | ||||||
|
| |||||||
58,122 | ||||||||
|
| |||||||
Industrials — 8.0% |
| |||||||
313 Group | ||||||||
6.375%, 12/01/2019 (A) | 645 | 635 | ||||||
ACL I | ||||||||
10.625%, 02/15/2016 | 2,156 | 2,167 | ||||||
Actuant | ||||||||
5.625%, 06/15/2022 | 4,000 | 4,120 | ||||||
ADS Waste Holdings | ||||||||
8.250%, 10/01/2020 (A) | 2,125 | 2,221 | ||||||
Air Canada | ||||||||
9.250%, 08/01/2015 (A) | 3,965 | 4,124 | ||||||
Air Medical Group Holdings | ||||||||
9.250%, 11/01/2018 | 690 | 745 | ||||||
Aircastle | ||||||||
9.750%, 08/01/2018 | 865 | 977 | ||||||
7.625%, 04/15/2020 | 150 | 163 | ||||||
6.750%, 04/15/2017 | 440 | 465 | ||||||
Alion Science & Technology | ||||||||
10.250%, 02/01/2015 | 1,405 | 717 | ||||||
Alion Science & Technology PIK | ||||||||
12.000%, 11/01/2014 | 2,133 | 1,984 | ||||||
American Airlines Pass-Through Trust, Ser 2011-2, Cl A | ||||||||
8.625%, 10/15/2021 | 1,034 | 1,055 | ||||||
AMGH Merger Sub | ||||||||
9.250%, 11/01/2018 | 4,250 | 4,590 | ||||||
Amsted Industries | ||||||||
8.125%, 03/15/2018 (A) | 870 | 927 | ||||||
Anixter | ||||||||
5.625%, 05/01/2019 | 395 | 414 | ||||||
ARD Finance PIK | ||||||||
11.125%, 06/01/2018 (A) | 1,406 | 1,463 | ||||||
Ardagh Packaging Finance | ||||||||
9.125%, 10/15/2020 (A) | 2,090 | 2,257 | ||||||
7.375%, 10/15/2017 (A) | 500 | 545 | ||||||
7.375%, 10/15/2017 (A) | 200 | 218 | ||||||
Associated Materials LLC | ||||||||
9.125%, 11/01/2017 | 920 | 922 | ||||||
Atkore International | ||||||||
9.875%, 01/01/2018 | 2,315 | 2,358 | ||||||
AWAS Aviation Capital | ||||||||
7.000%, 10/17/2016 (A) | 962 | 1,014 |
114 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Belden | ||||||||
5.500%, 09/01/2022 (A) | $ | 825 | $ | 835 | ||||
Berry Plastics | ||||||||
10.250%, 03/01/2016 | 825 | 853 | ||||||
9.750%, 01/15/2021 | 785 | 893 | ||||||
Boart Longyear Management | ||||||||
7.000%, 04/01/2021 (A) | 3,600 | 3,564 | ||||||
BOE Merger | ||||||||
9.500%, 11/01/2017 (A) | 290 | 284 | ||||||
Bombardier | ||||||||
7.750%, 03/15/2020 (A) | 230 | 258 | ||||||
5.750%, 03/15/2022 (A) | 1,450 | 1,479 | ||||||
Builders FirstSource | ||||||||
3.000%, 02/15/2016 (A) (D) | 410 | 405 | ||||||
Building Materials Corp of America | ||||||||
6.875%, 08/15/2018 (A) | 2,360 | 2,531 | ||||||
6.750%, 05/01/2021 (A) | 700 | 766 | ||||||
BWAY Holding | ||||||||
10.000%, 06/15/2018 | 1,390 | 1,543 | ||||||
Case New Holland | ||||||||
7.875%, 12/01/2017 | 605 | 712 | ||||||
Cemex Espana Luxembourg | ||||||||
9.250%, 05/12/2020 (A) | 1,793 | 1,905 | ||||||
Cequel Communications Escrow 1 LLC | ||||||||
6.375%, 09/15/2020 (A) | 1,460 | 1,500 | ||||||
CEVA Group | ||||||||
11.625%, 10/01/2016 (A) | 3,155 | 3,218 | ||||||
11.500%, 04/01/2018 (A) | 2,500 | 2,112 | ||||||
8.375%, 12/01/2017 (A) | 3,995 | 3,875 | ||||||
Clean Harbors | ||||||||
5.250%, 08/01/2020 (A) | 4,515 | 4,639 | ||||||
Coleman Cable | ||||||||
9.000%, 02/15/2018 | 2,995 | 3,193 | ||||||
Consolidated Container LLC | ||||||||
10.125%, 07/15/2020 (A) | 1,445 | 1,539 | ||||||
Esterline Technologies | ||||||||
7.000%, 08/01/2020 | 1,755 | 1,948 | ||||||
FGI Operating LLC | ||||||||
7.875%, 05/01/2020 (A) | 880 | 959 | ||||||
Florida East Coast Railway | ||||||||
8.125%, 02/01/2017 | 750 | 794 | ||||||
General Cable | ||||||||
5.750%, 10/01/2022 (A) | 485 | 495 | ||||||
Geo Group | ||||||||
7.750%, 10/15/2017 | 1,355 | 1,463 | ||||||
6.625%, 02/15/2021 | 75 | 83 | ||||||
Graphic Packaging International | ||||||||
7.875%, 10/01/2018 | 1,620 | 1,790 | ||||||
Great Lakes Dredge & Dock | ||||||||
7.375%, 02/01/2019 | 1,215 | 1,300 | ||||||
Griffon | ||||||||
7.125%, 04/01/2018 | 750 | 794 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
H&E Equipment Services | ||||||||
7.000%, 09/01/2022 (A) | $ | 1,985 | $ | 2,094 | ||||
Huntington Ingalls Industries | ||||||||
7.125%, 03/15/2021 | 600 | 649 | ||||||
6.875%, 03/15/2018 | 600 | 644 | ||||||
Interline Brands | ||||||||
10.000%, 11/15/2018 (A) | 310 | 334 | ||||||
7.500%, 11/15/2018 | 1,486 | 1,609 | ||||||
International Lease Finance | ||||||||
8.750%, 03/15/2017 | 3,280 | 3,752 | ||||||
8.625%, 09/15/2015 | 330 | 368 | ||||||
6.250%, 05/15/2019 | 345 | 365 | ||||||
5.875%, 04/01/2019 | 2,860 | 2,948 | ||||||
5.750%, 05/15/2016 | 230 | 240 | ||||||
Iron Mountain | ||||||||
7.750%, 10/01/2019 | 2,625 | 2,947 | ||||||
5.750%, 08/15/2024 | 2,500 | 2,494 | ||||||
Kansas City Southern de Mexico | ||||||||
8.000%, 02/01/2018 | 910 | 1,001 | ||||||
6.125%, 06/15/2021 | 460 | 518 | ||||||
Kratos Defense & Security Solutions | ||||||||
10.000%, 06/01/2017 | 1,525 | 1,662 | ||||||
Liberty Tire Recycling | ||||||||
11.000%, 10/01/2016 (A) | 3,900 | 3,783 | ||||||
Manitowoc | ||||||||
8.500%, 11/01/2020 | 1,180 | 1,322 | ||||||
Marquette Transportation | ||||||||
10.875%, 01/15/2017 | 1,650 | 1,728 | ||||||
Masonite International | ||||||||
8.250%, 04/15/2021 (A) | 2,030 | 2,172 | ||||||
Meritor | ||||||||
8.125%, 09/15/2015 | 675 | 715 | ||||||
Midwest Vanadium | ||||||||
11.500%, 02/15/2018 (A) | 1,350 | 844 | ||||||
Mobile Mini | ||||||||
7.875%, 12/01/2020 | 1,190 | 1,293 | ||||||
Mueller Water Products | ||||||||
8.750%, 09/01/2020 | 567 | 646 | ||||||
7.375%, 06/01/2017 | 1,455 | 1,502 | ||||||
Nortek | ||||||||
8.500%, 04/15/2021 (A) | 1,950 | 2,111 | ||||||
8.500%, 04/15/2021 | 1,510 | 1,642 | ||||||
NXP BV | ||||||||
9.750%, 08/01/2018 (A) | 808 | 935 | ||||||
Old AII | ||||||||
10.000%, 12/15/2016 (B) | 1,675 | — | ||||||
Old AII PIK | ||||||||
9.000%, 12/15/2014 (B) | 950 | — | ||||||
Oshkosh | ||||||||
8.500%, 03/01/2020 | 1,765 | 1,964 | ||||||
8.250%, 03/01/2017 | 1,645 | 1,797 | ||||||
Packaging Dynamics | ||||||||
8.750%, 02/01/2016 (A) | 2,724 | 2,867 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 115 |
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ply Gem Industries | ||||||||
9.375%, 04/15/2017 (A) | $ | 705 | $ | 744 | ||||
8.250%, 02/15/2018 | 885 | 940 | ||||||
Polymer Group | ||||||||
7.750%, 02/01/2019 | 1,565 | 1,675 | ||||||
Polypore International | ||||||||
7.500%, 11/15/2017 | 980 | 1,062 | ||||||
Quality Distribution LLC | ||||||||
9.875%, 11/01/2018 | 4,770 | 5,152 | ||||||
RBS Global | ||||||||
8.500%, 05/01/2018 | 1,205 | 1,307 | ||||||
Sequa | ||||||||
11.750%, 12/01/2015 (A) | 715 | 740 | ||||||
Sequa PIK | ||||||||
13.500%, 12/01/2015 (A) | 500 | 520 | ||||||
Swift Services Holdings | ||||||||
10.000%, 11/15/2018 | 1,490 | 1,639 | ||||||
syncreon Global Ireland | ||||||||
9.500%, 05/01/2018 (A) | 2,467 | 2,541 | ||||||
Syniverse Holdings | ||||||||
9.125%, 01/15/2019 | 1,420 | 1,516 | ||||||
Tekni-Plex | ||||||||
9.750%, 06/01/2019 (A) | 725 | 783 | ||||||
Tempel Steel | ||||||||
12.000%, 08/15/2016 (A) | 1,100 | 990 | ||||||
Terex | ||||||||
6.500%, 04/01/2020 | 450 | 473 | ||||||
6.000%, 05/15/2021 | 2,755 | 2,858 | ||||||
Thermadyne Holdings | ||||||||
9.000%, 12/15/2017 | 3,803 | 4,031 | ||||||
Titan International | ||||||||
7.875%, 10/01/2017 | 4,335 | 4,563 | ||||||
TRAC Intermodal LLC | ||||||||
11.000%, 08/15/2019 (A) | 1,910 | 1,958 | ||||||
TransDigm | ||||||||
5.500%, 10/15/2020 (A) | 2,100 | 2,147 | ||||||
USG | ||||||||
8.375%, 10/15/2018 (A) | 1,535 | 1,689 | ||||||
6.300%, 11/15/2016 | 1,975 | 2,034 | ||||||
Viasystems | ||||||||
7.875%, 05/01/2019 (A) | 1,600 | 1,556 | ||||||
|
| |||||||
167,675 | ||||||||
|
| |||||||
Information Technology — 4.1% |
| |||||||
Amkor Technology | ||||||||
7.375%, 05/01/2018 | 735 | 753 | ||||||
Aspect Software | ||||||||
10.625%, 05/15/2017 | 4,680 | 4,259 | ||||||
Audatex North America | ||||||||
6.750%, 06/15/2018 (A) | 1,205 | 1,292 | ||||||
Cardtronics | ||||||||
8.250%, 09/01/2018 | 625 | 697 | ||||||
CDW LLC | ||||||||
12.535%, 10/12/2017 | 810 | 867 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
8.500%, 04/01/2019 | $ | 2,955 | $ | 3,184 | ||||
8.000%, 12/15/2018 | 2,800 | 3,080 | ||||||
8.000%, 12/15/2018 | 65 | 72 | ||||||
Epicor Software | ||||||||
8.625%, 05/01/2019 | 2,860 | 2,982 | ||||||
Fidelity National Information Services | ||||||||
7.875%, 07/15/2020 | 825 | 928 | ||||||
7.625%, 07/15/2017 | 1,070 | 1,166 | ||||||
5.000%, 03/15/2022 | 1,770 | 1,850 | ||||||
First Data | ||||||||
12.625%, 01/15/2021 | 2,522 | 2,654 | ||||||
11.250%, 03/31/2016 | 2,780 | 2,745 | ||||||
8.875%, 08/15/2020 (A) | 625 | 684 | ||||||
7.375%, 06/15/2019 (A) | 300 | 308 | ||||||
6.750%, 11/01/2020 (A) | 680 | 685 | ||||||
First Data PIK | ||||||||
8.750%, 01/15/2022 (A) | 7,312 | 7,422 | ||||||
Freescale Semiconductor | ||||||||
9.250%, 04/15/2018 (A) | 6,025 | 6,484 | ||||||
iGATE | ||||||||
9.000%, 05/01/2016 | 4,759 | 5,175 | ||||||
IMS Health | ||||||||
6.000%, 11/01/2020 (A) | 1,745 | 1,802 | ||||||
Infor US | ||||||||
11.500%, 07/15/2018 | 755 | 876 | ||||||
9.375%, 04/01/2019 | 5,315 | 5,926 | ||||||
j2 Global | ||||||||
8.000%, 08/01/2020 (A) | 2,115 | 2,178 | ||||||
Legend Acquisition Sub | ||||||||
10.750%, 08/15/2020 (A) | 1,160 | 1,102 | ||||||
MagnaChip Semiconductor | ||||||||
10.500%, 04/15/2018 | 2,955 | 3,317 | ||||||
Mantech International | ||||||||
7.250%, 04/15/2018 | 730 | 770 | ||||||
MEMC Electronic Materials | ||||||||
7.750%, 04/01/2019 | 765 | 624 | ||||||
NCR | ||||||||
5.000%, 07/15/2022 (A) | 1,950 | 1,974 | ||||||
Nuance Communications | ||||||||
5.375%, 08/15/2020 (A) | 4,325 | 4,455 | ||||||
Sensata Technologies | ||||||||
6.500%, 05/15/2019 (A) | 5,068 | 5,346 | ||||||
SSI Investments II | ||||||||
11.125%, 06/01/2018 | 1,020 | 1,127 | ||||||
STATS ChipPAC | ||||||||
7.500%, 08/12/2015 (A) | 1,700 | 1,811 | ||||||
Stratus Technologies Bermuda | ||||||||
12.000%, 03/29/2015 | 2,637 | 2,512 | ||||||
Stream Global Services | ||||||||
11.250%, 10/01/2014 | 1,745 | 1,832 | ||||||
SunGard Data Systems | ||||||||
7.375%, 11/15/2018 | 975 | 1,040 | ||||||
6.625%, 11/01/2019 (A) | 1,250 | 1,275 | ||||||
|
| |||||||
85,254 | ||||||||
|
|
116 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Materials — 4.6% |
| |||||||
AK Steel | ||||||||
8.750%, 12/01/2018 (A) | $ | 1,015 | $ | 1,086 | ||||
7.625%, 05/15/2020 | 795 | 662 | ||||||
Aleris International | ||||||||
7.625%, 02/15/2018 | 470 | 472 | ||||||
AM Castle | ||||||||
12.750%, 12/15/2016 | 730 | 843 | ||||||
APERAM | ||||||||
7.750%, 04/01/2018 (A) | 3,230 | 2,762 | ||||||
ArcelorMittal | ||||||||
6.125%, 06/01/2018 | 1,460 | 1,457 | ||||||
Ball | ||||||||
5.000%, 03/15/2022 | 1,550 | 1,643 | ||||||
Boise Paper Holdings LLC | ||||||||
9.000%, 11/01/2017 | 1,670 | 1,820 | ||||||
Celanese US Holdings LLC | ||||||||
6.625%, 10/15/2018 | 750 | 823 | ||||||
Cemex | ||||||||
9.000%, 01/11/2018 (A) | 210 | 222 | ||||||
Chemtura | ||||||||
7.875%, 09/01/2018 | 2,165 | 2,311 | ||||||
Clearwater Paper | ||||||||
7.125%, 11/01/2018 | 175 | 190 | ||||||
Edgen Murray | ||||||||
8.750%, 11/01/2020 (A) | 2,155 | 2,155 | ||||||
Essar Steel Algoma | ||||||||
9.375%, 03/15/2015 (A) | 825 | 747 | ||||||
FMG Resources | ||||||||
8.250%, 11/01/2019 (A) | 940 | 961 | ||||||
6.875%, 02/01/2018 (A) | 1,450 | 1,428 | ||||||
FMG Resources August 2006 Pty | ||||||||
6.875%, 04/01/2022 (A) | 1,540 | 1,501 | ||||||
6.000%, 04/01/2017 (A) | 395 | 384 | ||||||
Headwaters | ||||||||
7.625%, 04/01/2019 | 1,435 | 1,510 | ||||||
Hexion US Finance | ||||||||
9.000%, 11/15/2020 | 785 | 697 | ||||||
8.875%, 02/01/2018 | 3,165 | 3,197 | ||||||
6.625%, 04/15/2020 | 500 | 499 | ||||||
Horsehead Holding | ||||||||
10.500%, 06/01/2017 (A) | 1,150 | 1,196 | ||||||
Huntsman International LLC | ||||||||
8.625%, 03/15/2020 | 535 | 599 | ||||||
8.625%, 03/15/2021 | 670 | 759 | ||||||
IAMGOLD | ||||||||
6.750%, 10/01/2020 (A) | 6,295 | 6,169 | ||||||
Ineos Finance | ||||||||
8.375%, 02/15/2019 (A) | 1,620 | 1,727 | ||||||
7.500%, 05/01/2020 (A) | 735 | 759 | ||||||
Ineos Group Holdings | ||||||||
8.500%, 02/15/2016 (A) | 4,325 | 4,238 | ||||||
Inmet Mining | ||||||||
8.750%, 06/01/2020 (A) | 1,425 | 1,539 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JMC Steel Group | ||||||||
8.250%, 03/15/2018 (A) | $ | 1,425 | $ | 1,468 | ||||
Longview Fibre Paper & Packaging | ||||||||
8.000%, 06/01/2016 (A) | 1,645 | 1,723 | ||||||
MacDermid | ||||||||
9.500%, 04/15/2017 (A) | 1,820 | 1,893 | ||||||
Millar Western Forest Products | ||||||||
8.500%, 04/01/2021 | 1,145 | 1,002 | ||||||
Mirabela Nickel | ||||||||
8.750%, 04/15/2018 (A) | 1,055 | 886 | ||||||
Momentive PIK | ||||||||
1.794%, 06/04/2017 2 (E) (F) (H) | 2,701 | 1,891 | ||||||
Neenah Foundry PIK | ||||||||
15.000%, 07/29/2015 | 129 | 117 | ||||||
New | ||||||||
7.000%, 04/15/2020 (A) | 800 | 850 | ||||||
6.250%, 11/15/2022 (A) | 2,540 | 2,597 | ||||||
Nexeo Solutions LLC | ||||||||
8.375%, 03/01/2018 | 874 | 830 | ||||||
Noranda Aluminum Acquisition PIK | ||||||||
4.524%, 05/15/2015 (D) | 1,262 | 1,186 | ||||||
Novelis | ||||||||
8.750%, 12/15/2020 | 265 | 297 | ||||||
8.375%, 12/15/2017 | 3,510 | 3,861 | ||||||
Orion Engineered Carbons Bondco GmbH | ||||||||
9.625%, 06/15/2018 (A) | 1,928 | 2,087 | ||||||
Perstorp Holding | ||||||||
8.750%, 05/15/2017 (A) | 1,940 | 1,950 | ||||||
PolyOne | ||||||||
7.375%, 09/15/2020 | 775 | 841 | ||||||
Rain CII Carbon LLC | ||||||||
8.000%, 12/01/2018 (A) | 390 | 389 | ||||||
Reichhold Industries | ||||||||
9.000%, 05/08/2017 (A) | 2,314 | 1,695 | ||||||
Rockwood Specialties Group | ||||||||
4.625%, 10/15/2020 | 2,400 | 2,454 | ||||||
Ryerson | ||||||||
11.250%, 10/15/2018 (A) | 405 | 385 | ||||||
9.000%, 10/15/2017 (A) | 955 | 945 | ||||||
Sappi Papier Holding GmbH | ||||||||
8.375%, 06/15/2019 (A) | 1,470 | 1,558 | ||||||
7.750%, 07/15/2017 (A) | 600 | 642 | ||||||
Scotts Miracle-Gro | ||||||||
7.250%, 01/15/2018 | 385 | 415 | ||||||
6.625%, 12/15/2020 | 375 | 406 | ||||||
Sealed Air | ||||||||
8.375%, 09/15/2021 (A) | 2,570 | 2,891 | ||||||
8.125%, 09/15/2019 (A) | 1,485 | 1,648 | ||||||
6.500%, 12/01/2020 (A) | 450 | 470 | ||||||
Smurfit Kappa Acquisitions | ||||||||
4.875%, 09/15/2018 (A) | 1,400 | 1,410 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 117 |
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Standard Steel LLC | ||||||||
12.000%, 05/01/2015 (A) | $ | 3,470 | $ | 3,956 | ||||
Steel Dynamics | ||||||||
6.375%, 08/15/2022 (A) | 745 | 779 | ||||||
6.125%, 08/15/2019 (A) | 740 | 773 | ||||||
Taminco Global Chemical | ||||||||
9.750%, 03/31/2020 (A) | 1,490 | 1,609 | ||||||
Tronox Finance LLC | ||||||||
6.375%, 08/15/2020 (A) | 1,880 | 1,852 | ||||||
Verso Paper Holdings LLC | ||||||||
8.750%, 02/01/2019 | 3,385 | 1,016 | ||||||
8.750%, 02/01/2019 | 340 | 102 | ||||||
Vertellus Specialties | ||||||||
9.375%, 10/01/2015 (A) | 1,300 | 1,086 | ||||||
Vulcan Materials | ||||||||
7.500%, 06/15/2021 | 305 | 345 | ||||||
6.500%, 12/01/2016 | 305 | 337 | ||||||
Walter Energy | ||||||||
9.875%, 12/15/2020 (A) | 1,670 | 1,737 | ||||||
|
| |||||||
96,735 | ||||||||
|
| |||||||
Telecommunication Services — 9.8% |
| |||||||
Affinion Group | ||||||||
11.500%, 10/15/2015 | 2,313 | 1,874 | ||||||
Alcatel-Lucent USA | ||||||||
6.500%, 01/15/2028 | 1,320 | 861 | ||||||
Avaya | ||||||||
9.750%, 11/01/2015 | 1,105 | 876 | ||||||
7.000%, 04/01/2019 (A) | 1,510 | 1,355 | ||||||
Avaya PIK | ||||||||
10.125%, 11/01/2015 | 3,381 | 2,688 | ||||||
Baker & Taylor Acquisitions | ||||||||
15.000%, 04/01/2017 (A) | 1,105 | 829 | ||||||
Block Communications | ||||||||
7.250%, 02/01/2020 (A) | 745 | 790 | ||||||
CCO Holdings LLC | ||||||||
8.125%, 04/30/2020 | 751 | 845 | ||||||
7.875%, 04/30/2018 | 1,190 | 1,285 | ||||||
7.375%, 06/01/2020 | 1,100 | 1,224 | ||||||
7.000%, 01/15/2019 | 2,170 | 2,349 | ||||||
5.250%, 09/30/2022 | 1,440 | 1,451 | ||||||
Cengage Learning Acquisitions | ||||||||
11.500%, 04/15/2020 (A) | 950 | 788 | ||||||
Cengage Learning Holdco PIK | ||||||||
13.750%, 07/15/2015 (A) | 1,197 | 347 | ||||||
CenturyLink | ||||||||
5.800%, 03/15/2022 | 1,020 | 1,078 | ||||||
Cincinnati Bell | ||||||||
8.375%, 10/15/2020 | 408 | 441 | ||||||
Clear Channel Communications | ||||||||
9.000%, 03/01/2021 | 2,965 | 2,617 | ||||||
Clear Channel Worldwide Holdings | ||||||||
7.625%, 03/15/2020 | 2,135 | 2,092 | ||||||
7.625%, 03/15/2020 | 255 | 246 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.500%, 11/15/2022 (A) | $ | 4,960 | $ | 4,985 | ||||
6.500%, 11/15/2022 (A) | 1,015 | 1,010 | ||||||
Clearwire Communications LLC | ||||||||
14.750%, 12/01/2016 (A) | 870 | 1,083 | ||||||
12.000%, 12/01/2015 (A) | 585 | 617 | ||||||
Cogent Communications Group | ||||||||
8.375%, 02/15/2018 (A) | 605 | 656 | ||||||
Columbus International | ||||||||
11.500%, 11/20/2014 (A) | 1,265 | 1,404 | ||||||
CommScope | ||||||||
8.250%, 01/15/2019 (A) | 1,270 | 1,381 | ||||||
Cricket Communications | ||||||||
7.750%, 10/15/2020 | 745 | 769 | ||||||
Crown Castle International | ||||||||
5.250%, 01/15/2023 (A) | 7,365 | 7,696 | ||||||
CSC Holdings LLC | ||||||||
8.625%, 02/15/2019 | 2,040 | 2,407 | ||||||
6.750%, 11/15/2021 (A) | 1,000 | 1,100 | ||||||
DCP LLC | ||||||||
10.750%, 08/15/2015 (A) | 3,000 | 3,120 | ||||||
Digicel Group | ||||||||
10.500%, 04/15/2018 (A) | 1,405 | 1,545 | ||||||
8.250%, 09/01/2017 (A) | 3,729 | 3,999 | ||||||
8.250%, 09/30/2020 (A) | 606 | 644 | ||||||
DISH DBS | ||||||||
7.875%, 09/01/2019 | 4,413 | 5,218 | ||||||
6.750%, 06/01/2021 | 1,235 | 1,396 | ||||||
5.875%, 07/15/2022 | 1,415 | 1,516 | ||||||
4.625%, 07/15/2017 | 510 | 527 | ||||||
Eileme 2 | ||||||||
11.625%, 01/31/2020 (A) | 655 | 750 | ||||||
GCI | ||||||||
8.625%, 11/15/2019 | 965 | 1,033 | ||||||
Griffey Intermediate | ||||||||
7.000%, 10/15/2020 (A) | 3,690 | 3,745 | ||||||
GXS Worldwide | ||||||||
9.750%, 06/15/2015 | 7,371 | 7,694 | ||||||
Houghton Mifflin Harcourt Publishing | ||||||||
10.500%, 06/01/2019 (A) (B) | 1,750 | 927 | ||||||
Hughes Satellite Systems | ||||||||
7.625%, 06/15/2021 | 2,484 | 2,770 | ||||||
6.500%, 06/15/2019 | 630 | 677 | ||||||
Inmarsat Finance | ||||||||
7.375%, 12/01/2017 (A) | 2,450 | 2,609 | ||||||
Integra Telecom Holdings | ||||||||
10.750%, 04/15/2016 (A) | 890 | 917 | ||||||
Intelsat Jackson Holdings | ||||||||
7.250%, 04/01/2019 | 220 | 235 | ||||||
7.250%, 10/15/2020 (A) | 940 | 1,001 | ||||||
7.250%, 10/15/2020 | 1,180 | 1,260 | ||||||
6.625%, 12/15/2022 (A) | 2,035 | 2,035 | ||||||
Intelsat Luxembourg | ||||||||
11.250%, 02/04/2017 | 3,080 | 3,265 |
118 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Intelsat Luxembourg PIK | ||||||||
11.500%, 02/04/2017 | $ | 3,082 | $ | 3,271 | ||||
iPCS PIK | ||||||||
3.563%, 05/01/2014 (D) | 116 | 116 | ||||||
ITC Deltacom | ||||||||
10.500%, 04/01/2016 | 840 | 899 | ||||||
Level 3 Communications | ||||||||
11.875%, 02/01/2019 | 2,025 | 2,309 | ||||||
8.875%, 06/01/2019 (A) | 1,410 | 1,481 | ||||||
Level 3 Financing | ||||||||
10.000%, 02/01/2018 | 2,000 | 2,223 | ||||||
9.375%, 04/01/2019 | 670 | 749 | ||||||
8.625%, 07/15/2020 | 810 | 881 | ||||||
8.125%, 07/01/2019 | 1,075 | 1,150 | ||||||
7.000%, 06/01/2020 (A) | 695 | 707 | ||||||
4.469%, 02/15/2015 (D) | 1,500 | 1,496 | ||||||
Liberty Interactive LLC | ||||||||
8.250%, 02/01/2030 | 2,240 | 2,419 | ||||||
Lucent Technologies | ||||||||
6.450%, 03/15/2029 | 5,040 | 3,326 | ||||||
MetroPCS Wireless | ||||||||
7.875%, 09/01/2018 | 1,240 | 1,339 | ||||||
Nara Cable Funding | ||||||||
8.875%, 12/01/2018 (A) | 1,326 | 1,246 | ||||||
8.875%, 12/01/2018 (A) | 760 | 726 | ||||||
Nexstar Broadcasting | ||||||||
6.875%, 11/15/2020 (A) | 1,580 | 1,588 | ||||||
Nexstar/Mission Broadcast | ||||||||
8.875%, 04/15/2017 | 940 | 1,027 | ||||||
Nielsen Finance LLC | ||||||||
7.750%, 10/15/2018 | 2,070 | 2,308 | ||||||
4.500%, 10/01/2020 (A) | 2,135 | 2,130 | ||||||
Open Solutions | ||||||||
9.750%, 02/01/2015 (A) | 5,090 | 4,097 | ||||||
PAETEC Holding | ||||||||
9.875%, 12/01/2018 | 1,135 | 1,280 | ||||||
8.875%, 06/30/2017 | 555 | 598 | ||||||
Sable International Finance | ||||||||
8.750%, 02/01/2020 (A) | 80 | 92 | ||||||
7.750%, 02/15/2017 (A) | 2,645 | 2,843 | ||||||
Satelites Mexicanos | ||||||||
9.500%, 05/15/2017 | 760 | 804 | ||||||
SBA Telecommunications | ||||||||
8.250%, 08/15/2019 | 441 | 495 | ||||||
Sinclair Television Group | ||||||||
9.250%, 11/01/2017 (A) | 895 | 985 | ||||||
8.375%, 10/15/2018 | 2,820 | 3,144 | ||||||
6.125%, 10/01/2022 (A) | 2,190 | 2,283 | ||||||
Sitel LLC | ||||||||
11.000%, 08/01/2017 (A) | 1,085 | 1,090 | ||||||
Sprint Capital | ||||||||
8.750%, 03/15/2032 | 7,895 | 9,375 | ||||||
Sprint Nextel | ||||||||
9.125%, 03/01/2017 | 1,455 | 1,710 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
9.000%, 11/15/2018 (A) | $ | 1,890 | $ | 2,329 | ||||
8.375%, 08/15/2017 | 330 | 383 | ||||||
6.000%, 11/15/2022 | 95 | 96 | ||||||
Telesat Canada | ||||||||
6.000%, 05/15/2017 (A) | 2,500 | 2,613 | ||||||
Truven Health Analytics | �� | |||||||
10.625%, 06/01/2020 (A) | 595 | 637 | ||||||
TW Telecom Holdings | ||||||||
5.375%, 10/01/2022 (A) | 2,050 | 2,122 | ||||||
Unitymedia Hessen GmbH & KG | ||||||||
7.500%, 03/15/2019 (A) | 2,000 | 2,200 | ||||||
5.500%, 01/15/2023 (A) | 4,620 | 4,620 | ||||||
UPC Holding BV | ||||||||
9.875%, 04/15/2018 (A) | 3,428 | 3,835 | ||||||
UPCB Finance III | ||||||||
6.625%, 07/01/2020 (A) | 1,535 | 1,646 | ||||||
UPCB Finance V | ||||||||
7.250%, 11/15/2021 (A) | 2,235 | 2,447 | ||||||
UPCB Finance VI | ||||||||
6.875%, 01/15/2022 (A) | 1,992 | 2,151 | ||||||
Videotron Ltee | ||||||||
5.000%, 07/15/2022 | 2,205 | 2,271 | ||||||
Virgin Media Finance | ||||||||
4.875%, 02/15/2022 | 2,685 | 2,759 | ||||||
Visant | ||||||||
10.000%, 10/01/2017 | 1,215 | 1,057 | ||||||
West | ||||||||
8.625%, 10/01/2018 | 500 | 516 | ||||||
7.875%, 01/15/2019 | 1,380 | 1,397 | ||||||
Wind Acquisition Finance | ||||||||
11.750%, 07/15/2017 (A) | 1,395 | 1,426 | ||||||
7.250%, 02/15/2018 (A) | 2,415 | 2,391 | ||||||
7.250%, 02/15/2018 (A) | 1,285 | 1,269 | ||||||
Windstream | ||||||||
8.125%, 09/01/2018 | 5 | 5 | ||||||
7.750%, 10/01/2021 | 250 | 264 | ||||||
7.500%, 06/01/2022 | 860 | 892 | ||||||
7.500%, 04/01/2023 | 1,215 | 1,254 | ||||||
XM Satellite Radio Holdings | ||||||||
7.625%, 11/01/2018 (A) | 2,705 | 2,989 | ||||||
Zayo Group LLC | ||||||||
10.125%, 07/01/2020 | 3,980 | 4,458 | ||||||
8.125%, 01/01/2020 | 2,047 | 2,236 | ||||||
|
| |||||||
204,477 | ||||||||
|
| |||||||
Utilities — 2.2% |
| |||||||
AES | ||||||||
9.750%, 04/15/2016 | 1,030 | 1,226 | ||||||
8.000%, 10/15/2017 | 150 | 172 | ||||||
8.000%, 06/01/2020 | 90 | 104 | ||||||
7.375%, 07/01/2021 | 715 | 792 | ||||||
Calpine | ||||||||
7.875%, 07/31/2020 (A) | 1,843 | 2,046 | ||||||
7.875%, 01/15/2023 (A) | 220 | 245 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 119 |
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
7.500%, 02/15/2021 (A) | $ | 1,822 | $ | 2,013 | ||||
Elwood Energy LLC | ||||||||
8.159%, 07/05/2026 | 739 | 761 | ||||||
Energy Future Holdings | ||||||||
10.000%, 01/15/2020 | 4,000 | 4,250 | ||||||
10.000%, 01/15/2020 | 585 | 622 | ||||||
Energy Future Intermediate Holding LLC | ||||||||
11.750%, 03/01/2022 (A) | 2,155 | 2,193 | ||||||
11.000%, 10/01/2021 | 4,205 | 4,142 | ||||||
10.000%, 12/01/2020 | 636 | 709 | ||||||
6.875%, 08/15/2017 (A) | 205 | 210 | ||||||
GenOn Energy | ||||||||
9.875%, 10/15/2020 | 1,580 | 1,789 | ||||||
NRG Energy | ||||||||
8.250%, 09/01/2020 | 435 | 483 | ||||||
7.875%, 05/15/2021 | 1,000 | 1,105 | ||||||
7.625%, 01/15/2018 | 1,455 | 1,608 | ||||||
7.625%, 05/15/2019 | 1,000 | 1,065 | ||||||
6.625%, 03/15/2023 (A) | 1,892 | 1,958 | ||||||
NSG Holdings LLC | ||||||||
7.750%, 12/15/2025 (A) | 2,100 | 2,152 | ||||||
Public Service of New Mexico | ||||||||
7.950%, 05/15/2018 | 2,800 | 3,405 | ||||||
Sabine Pass LNG L.P. | ||||||||
7.500%, 11/30/2016 (A) | 1,880 | 1,955 | ||||||
7.500%, 11/30/2016 | 10,095 | 10,903 | ||||||
|
| |||||||
45,908 | ||||||||
|
| |||||||
Total Corporate Obligations | 1,597,163 | |||||||
|
| |||||||
LOAN PARTICIPATIONS — 9.1% |
| |||||||
Academy Sports, Term Loan | ||||||||
6.000%, 08/03/2018 | 613 | 615 | ||||||
Advanced Disposal Services, Cov-Lite 2nd Lien | ||||||||
0.144%, 09/25/2019 | 1,015 | 1,026 | ||||||
Advantage Sales & Marketing 2nd Lien Term Loan | ||||||||
0.000%, 06/18/2018 (I) | 700 | 700 | ||||||
API Technologies, Term Loan B | ||||||||
8.750%, 06/27/2016 | 894 | 876 | ||||||
Arctic Glacier Holdings, Term Loan | ||||||||
8.500%, 07/27/2018 | 499 | 502 | ||||||
Astoria Generating Acquisitions | ||||||||
0.000%, 10/26/2017 (I) | 3,345 | 3,347 | ||||||
Astoria Generating, Term Loan Term Loan | ||||||||
8.500%, 10/26/2017 | 1,500 | 1,501 | ||||||
Asurion, 1st Lien | ||||||||
5.500%, 06/10/2018 | 1,401 | 1,412 | ||||||
Asurion, 2nd Lien | ||||||||
9.000%, 05/20/2019 | 1,605 | 1,650 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BJs Wholesale Club, Cov-Lite 2nd Lien | ||||||||
9.750%, 09/20/2020 | $ | 290 | $ | 298 | ||||
Blue Coat Systems, Term Loan | ||||||||
0.092%, 02/15/2018 | 3,990 | 4,002 | ||||||
Brock Holdings III, 2nd Lien | ||||||||
10.000%, 03/16/2018 | 460 | 462 | ||||||
Caesars Entertainment Operating | ||||||||
3.236%, 01/28/2015 | 895 | 867 | ||||||
Caribbean Restaurants LLC, Term Loan B | ||||||||
9.000%, 02/15/2017 | 118 | 118 | ||||||
Cequel Communications, Bridge Loan | ||||||||
0.000%, 12/31/2012 (I) (J) | 1,000 | — | ||||||
Ceridian | ||||||||
5.964%, 05/09/2017 | 2,424 | 2,417 | ||||||
Chesapeake Energy | ||||||||
8.500%, 12/02/2017 | 1 | 1 | ||||||
CKX | ||||||||
9.000%, 06/21/2017 | 544 | 462 | ||||||
Clean Harbors, Bridge Loan | ||||||||
0.000%, 04/29/2013 (I) (J) | 1,000 | — | ||||||
Clear Channel | ||||||||
3.881%, 01/29/2016 | 3,573 | 2,899 | ||||||
Cleveland Unlimited, Term Loan | ||||||||
10.000%, 07/25/2016 | 648 | 654 | ||||||
Constellation, Bridge Loan | ||||||||
0.000%, 12/30/2013 (I) (J) | 1,500 | — | ||||||
Crestwood Holdings | ||||||||
9.750%, 03/20/2018 | 1,677 | 1,705 | ||||||
Cristal Inorganic Chemicals US | ||||||||
6.112%, 11/15/2014 | 2,500 | 2,492 | ||||||
DAE Aviation Holdings, Term Loan B1 | ||||||||
6.250%, 10/19/2018 | 1,720 | 1,714 | ||||||
Davids Bridal, Bridge Loan | ||||||||
0.000%, 01/31/2013 (I) (J) | 700 | — | ||||||
Deltek Systems, Term Loan 2nd Lien | ||||||||
10.000%, 10/04/2019 | 1,000 | 1,014 | ||||||
Dex Media West | ||||||||
7.250%, 10/24/2014 | 2,502 | 1,683 | ||||||
DJO Finance, Term Loan B3 | ||||||||
0.000%, 09/15/2017 (I) | 3,095 | 3,106 | ||||||
Dynegy Midwest Generation | ||||||||
9.250%, 08/05/2016 | 6,472 | 6,679 | ||||||
Dynegy Power, 1st Lien Term Loan | ||||||||
9.250%, 08/05/2016 | 939 | 977 | ||||||
Endurance International, 2nd Lien | ||||||||
10.250%, 11/06/2019 | 4,225 | 4,204 |
120 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ep Energy, Term Loan | ||||||||
6.500%, 04/10/2018 | $ | 3,995 | $ | 4,032 | ||||
Equipower Resources | ||||||||
0.000%, 06/20/2019 | 560 | 570 | ||||||
Essential Power | ||||||||
5.500%, 08/07/2019 | 5,628 | 5,677 | ||||||
Expert Global | ||||||||
8.000%, 04/02/2018 | 2,985 | 3,006 | ||||||
Fairway Food Market, Term Loan | ||||||||
8.250%, 08/17/2018 | 2,000 | 2,013 | ||||||
First Data | ||||||||
4.217%, 03/24/2018 | 1,504 | 1,431 | ||||||
Fly Leasing | ||||||||
6.750%, 08/07/2018 | 1,728 | 1,735 | ||||||
Fortescue Metals Group Ltd. | ||||||||
5.250%, 10/12/2017 | 2,650 | 2,657 | ||||||
GCA Services Group, Cov-Lite Term Loan 2nd Lien | ||||||||
9.250%, 10/11/2020 | 800 | 792 | ||||||
GenCorp, Bridge Loan | ||||||||
0.000%, 07/22/2013 (I) | 1,685 | 1,685 | ||||||
Getty Images, Bridge Loan | ||||||||
0.000%, 02/10/2013 (I) (J) | 1,625 | — | ||||||
Global Aviation Holdings | ||||||||
12.000%, 09/27/2012 | 832 | 823 | ||||||
0.500%, 09/27/2012 | 232 | 2 | ||||||
Go Daddy Operating Company LLC | ||||||||
5.500%, 12/17/2018 | 2,139 | 2,134 | ||||||
GoGo | ||||||||
11.250%, 06/21/2017 | 745 | 745 | ||||||
Graton Economic Development Authority | ||||||||
0.000%, 08/14/2018 (I) | 105 | 108 | ||||||
Graton Economic Development Authority, Term Loan | ||||||||
9.000%, 08/14/2018 | 3,070 | 3,149 | ||||||
Guitar Center | ||||||||
5.620%, 04/09/2017 | 3,086 | 2,945 | ||||||
Harrah’s Entertainment, Term Loan B6 | ||||||||
5.486%, 01/28/2018 | 936 | 839 | ||||||
Harrah’s Entertainment, Term Loan B 1st Lien | ||||||||
2.797%, 01/26/2018 | 3,740 | 3,350 | ||||||
Harrah’s Las Vegas Propco | ||||||||
3.240%, 02/13/2013 | 3,180 | 2,670 | ||||||
Harrah’s Operating, Term Loan B-4 | ||||||||
9.500%, 10/31/2016 | 2,918 | 2,974 | ||||||
Harrah’s Operating, Ser B-2 | ||||||||
3.211%, 01/28/2015 | 360 | 348 | ||||||
Harrah’s Propco | ||||||||
0.000%, 02/13/2013 (I) | 3,385 | 2,842 | ||||||
Hertz | ||||||||
0.000%, 08/26/2013 (I) (J) | 3,700 | — |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Hologic, Term Loan B | ||||||||
4.500%, 07/19/2019 | $ | 1,297 | $ | 1,309 | ||||
Inc Research, Term Loan B | ||||||||
7.000%, 07/12/2018 | 2,146 | 2,155 | ||||||
Ineos Holdings | ||||||||
6.500%, 04/27/2018 | 796 | 805 | ||||||
Kalispel Tribal Economic Authority | ||||||||
7.500%, 01/31/2017 | 3,047 | 3,002 | ||||||
Lawson Software, Term Loan B | ||||||||
5.250%, 04/05/2018 | 571 | 576 | ||||||
Lone Star | ||||||||
11.000%, 09/02/2019 | 540 | 571 | ||||||
Medical Card | ||||||||
12.000%, 09/15/2015 | 1,921 | 1,613 | ||||||
Medquist | ||||||||
6.750%, 08/16/2019 | 1,000 | 985 | ||||||
Metroflag, 2nd Lien | ||||||||
14.000%, 01/06/2009 (B) | 325 | — | ||||||
Mohegan Tribal Gaming Authority, Term Loan | ||||||||
5.500%, 03/31/2015 | 2,322 | 2,301 | ||||||
Mohegan Tribal Gaming Authority, Term Loan B | ||||||||
5.500%, 02/28/2016 | 3,950 | 4,019 | ||||||
Navistar International | ||||||||
7.000%, 08/16/2017 | 2,520 | 2,525 | ||||||
Nelson Education, Term Loan B-1 | ||||||||
2.862%, 07/05/2014 | 1,466 | 1,122 | ||||||
Newpage | ||||||||
0.000%, 11/16/2018 (I) | 2,300 | 2,289 | ||||||
Novell | ||||||||
11.000%, 11/22/2018 | 2,750 | 2,693 | ||||||
Nuveen Investments | ||||||||
8.250%, 02/23/2019 | 1,050 | 1,066 | ||||||
5.961%, 05/13/2017 | 188 | 188 | ||||||
5.947%, 05/13/2017 | 139 | 139 | ||||||
5.925%, 05/13/2017 | 19 | 19 | ||||||
Nuveen Investments, Term Loan B | ||||||||
7.250%, 05/13/2017 | 2,375 | 2,387 | ||||||
Obsidian Natural Gas Trust | ||||||||
7.000%, 11/02/2015 | 1,577 | 1,577 | ||||||
Ocwen Financial, Term Loan B | ||||||||
7.000%, 09/01/2016 | 658 | 659 | ||||||
One Call Medical | ||||||||
7.000%, 08/22/2019 | 2,500 | 2,503 | ||||||
Panolam Industries International | ||||||||
7.250%, 08/23/2017 | 978 | 970 | ||||||
Pierre Food, Term Loan 2nd Lien | ||||||||
0.500%, 10/02/2017 | 4,475 | 4,553 | ||||||
Plains Exploration, Bridge Loan | ||||||||
0.000%, 03/31/2013 (I) (J) | 2,500 | — | ||||||
Realogy | ||||||||
4.478%, 10/10/2016 | 850 | 848 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 121 |
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Reynolds Group Holdings, Term Loan | ||||||||
4.750%, 09/28/2018 | $ | 1,495 | $ | 1,506 | ||||
Sabre Holdings | ||||||||
5.962%, 09/29/2017 | 1,166 | 1,168 | ||||||
0.185%, 12/29/2017 | 2,250 | 2,272 | ||||||
Sheridan Healthcare | ||||||||
6.000%, 06/29/2018 | 998 | 1,004 | ||||||
Silver II Acquisition, Bridge Loan | ||||||||
0.000%, 09/25/2020 (I) | 2,430 | 2,430 | ||||||
Smart & Final, Cov-Lite 2nd Lien | ||||||||
0.375%, 11/08/2020 | 1,645 | 1,604 | ||||||
Spectrum Brands, Bridge Loan | ||||||||
0.000%, 12/31/2012 (I) (J) | 1,025 | — | ||||||
SpringLeaf Financial | ||||||||
5.500%, 05/10/2017 | 3,425 | 3,383 | ||||||
Standard Aero, Term Loan B2 | ||||||||
6.250%, 10/19/2018 | 780 | 777 | ||||||
Summit Materials LLC, Term Loan B | ||||||||
6.000%, 01/24/2019 | 995 | 1,003 | ||||||
Sumtotal Systems, Cov-Lite Term Loan | ||||||||
6.250%, 10/25/2019 | 1,000 | 993 | ||||||
Sun Healthcare, Term Loan B | ||||||||
8.750%, 09/23/2016 | 2,046 | 2,031 | ||||||
SUPERVALU | ||||||||
0.000%, 08/10/2018 (I) | 1,580 | 1,593 | ||||||
SUPERVALU, Cov-Lite Term Loan | ||||||||
8.000%, 08/10/2018 | 3,800 | 3,833 | ||||||
Targus Group | ||||||||
11.000%, 05/24/2016 | 496 | 501 | ||||||
Telx Group, Term Loan B 1st Lien | ||||||||
6.250%, 09/25/2017 | 1,114 | 1,122 | ||||||
Tempur-Pedic International | ||||||||
0.000%, 09/27/2013 (I) | 1,680 | 1,680 | ||||||
Texas Competitive | ||||||||
4.718%, 10/10/2017 | 6,661 | 4,333 | ||||||
3.728%, 10/10/2014 | 7,146 | 4,889 | ||||||
The Pantry, Term Loan B | ||||||||
5.750%, 07/31/2019 | 2,250 | 2,278 | ||||||
TPC Group, Bridge Loan | ||||||||
0.000%, 08/27/2013 (I) | 7,035 | 4,985 | ||||||
Transtar Industries, Term Loan 2nd Lien | ||||||||
9.750%, 10/02/2019 | 900 | 900 | ||||||
United Rentals, Bridge Loan | ||||||||
0.000%, 09/15/2012 (I) (J) | 2,880 | — | ||||||
Univision Communications, Term Loan B | ||||||||
4.462%, 03/31/2017 | 3,118 | 3,043 | ||||||
Vertafore | ||||||||
9.750%, 10/27/2017 | 780 | 780 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Wall Street Systems, Cov-Lite Term Loan 2nd Lien | ||||||||
9.250%, 04/24/2020 | $ | 2,150 | $ | 2,150 | ||||
Walter Investment Management, Term Loan B | ||||||||
0.000%, 06/17/2016 (I) | 2,515 | 2,522 | ||||||
Warner Music Group, Cov-Lite Term Loan | ||||||||
5.250%, 10/25/2018 | 395 | 398 | ||||||
Wide Open West Finance | ||||||||
6.250%, 07/17/2018 | 1,102 | 1,114 | ||||||
Wolverine | ||||||||
0.000%, 02/01/2013 (I) (J) | 3,350 | — | ||||||
|
| |||||||
Total Loan Participations | 189,076 | |||||||
|
| |||||||
COLLATERALIZED DEBT OBLIGATIONS — 8.8% |
| |||||||
Other Asset-Backed Securities — 8.8% |
| |||||||
AMMC CDO, Ser 11A | ||||||||
0.00%, 10/30/2023 (A) | 3,785 | 3,293 | ||||||
AMMC CDO, Ser 2011-9A | ||||||||
0.00%, 01/15/2022 (A) | 2,881 | 2,622 | ||||||
AMMC CDO, Ser 2012-10A | ||||||||
0.00%, 04/11/2022 (A) | 3,316 | 3,117 | ||||||
Claris III | ||||||||
0.613%, 08/04/2021 | 8,252 | 7,344 | ||||||
Grayson CLO, Ser 2006-1A, Cl B | ||||||||
1.013%, 11/01/2021 (A) (D) | 5,866 | 4,370 | ||||||
ICE EM CLO, Ser 2007-1A, Cl A3 | ||||||||
1.569%, 08/15/2022 (A) (D) | 4,345 | 3,463 | ||||||
ICE EM CLO, Ser 2007-1A, Cl A2 | ||||||||
1.319%, 08/15/2022 (A) (D) | 6,738 | 5,862 | ||||||
KVK CLO, Ser 2A | ||||||||
0.000%, 02/15/2025 (A) | 2,956 | 2,661 | ||||||
Lightpoint CLO, Ser 2007-7A, Cl D | ||||||||
4.310%, 05/15/2021 (A) (D) | 3,284 | 2,751 | ||||||
Neuberger Berman CLO, Ser 13A | ||||||||
0.00%, 01/23/2024 (A) | 2,886 | 2,193 | ||||||
Neuberger Berman CLO, Ser 2012-12A | ||||||||
0.00%, 07/25/2023 (A) | 3,984 | 3,267 | ||||||
Neuberger Berman CLO, Ser 2012-12A, Cl E | ||||||||
7.651%, 07/25/2023 (A) (D) | 1,202 | 1,142 | ||||||
Newstar Trust, Ser 2007-1A, Cl A1 | ||||||||
0.551%, 09/30/2022 (A) (D) | 9,221 | 8,806 | ||||||
NXT Capital CLO LLC, Ser 2012-1A, Cl E | ||||||||
7.819%, 07/20/2022 (A) (D) | 3,047 | 2,819 | ||||||
OCP CLO, Ser 2A | ||||||||
0.000%, 11/22/2023 (A) | 2,940 | 2,734 | ||||||
Red River CLO, Ser 2006-1A, Cl C | ||||||||
1.033%, 07/27/2018 (D) | 7,544 | 5,771 |
122 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
Red River CLO, Ser 2006-1A, Cl D | ||||||||
1.963%, 07/27/2018 (D) | $ | 7,527 | $ | 5,344 | ||||
Rockwall CDO, Ser 2006-1A, Cl A1LB | ||||||||
0.813%, 08/01/2021 (A) (D) | 23,922 | 19,616 | ||||||
Rockwall CDO, Ser 2006-1A, Cl A2L | ||||||||
0.963%, 08/01/2021 (A) (D) | 4,045 | 3,034 | ||||||
Rockwall CDO, Ser 2006-1A, Cl A1LA | ||||||||
0.613%, 08/01/2021 (A) (D) | 11,647 | 10,715 | ||||||
Rockwall CDO, Ser 2007-1A, Cl A1LA | ||||||||
0.563%, 08/01/2024 (A) (D) | 87,470 | 76,974 | ||||||
Venture CDO, Ser 11A | ||||||||
0.000%, 11/14/2022 (A) | 4,583 | 3,987 | ||||||
Venture CDO, Ser 2012-10A | ||||||||
0.000%, 07/20/2022 (A) | 2,034 | 1,953 | ||||||
|
| |||||||
Total Collateralized Debt Obligations |
| 183,838 | ||||||
|
| |||||||
PREFERRED STOCK — 0.7% |
| |||||||
Ally Financial, 7.000% | 15 | 9,830 | ||||||
Dana Holding, 4.000% | 6 | 696 | ||||||
General Motors CV to 1.2626, 4.750% | 6 | 237 | ||||||
GMAC Capital Trust I, 8.125% | 28 | 729 | ||||||
Regions Financial, 6.375% | 149,200 | 3,696 | ||||||
|
| |||||||
Total Preferred Stock |
| 15,188 | ||||||
|
| |||||||
MUNICIPAL BONDS — 0.7% |
| |||||||
Buckeye Tobacco Settlement Financing Authority, Ser A-2, RB Callable 06/01/17 @ 100 | ||||||||
5.875%, 06/01/2030 | 710 | 640 | ||||||
California State, Tobacco Securitization, Ser A-1, RB Callable 06/01/17 @ 100 | ||||||||
5.750%, 06/01/2047 | 2,200 | 2,051 | ||||||
New Jersey State, Tobacco Settlement, Ser 1A, RB Callable 06/01/17 @ 100 | ||||||||
4.750%, 06/01/2034 | 3,695 | 3,326 | ||||||
Ohio State, Tobacco Settlement, Ser A-2, RB Callable 06/01/17 @ 100 | ||||||||
5.375%, 06/01/2024 | 730 | 671 | ||||||
5.125%, 06/01/2024 | 1,080 | 969 | ||||||
Tobacco Settlement, Ser 1A, RB Callable 06/01/17 @ 100 | ||||||||
5.000%, 06/01/2041 | 8,280 | 7,447 | ||||||
|
| |||||||
Total Municipal Bonds |
| 15,104 | ||||||
|
|
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES — 0.2% |
| |||||||
Other Asset-Backed Securities — 0.2% |
| |||||||
Airplanes Pass-Through Trust, Ser 2001-1A, Cl A9 | ||||||||
0.758%, 03/15/2019 (D) (F) | $ | 1,862 | $ | 894 | ||||
Cajun Global LLC, Ser 2011-1A, Cl A2 | ||||||||
5.955%, 02/20/2041 (A) | 1,505 | 1,611 | ||||||
Dominos Pizza Master Issuer LLC, Ser 2012-1A, Cl A2 | ||||||||
5.216%, 01/25/2042 (A) | 494 | 556 | ||||||
|
| |||||||
Total Asset-Backed Securities (Cost $8,605) ($ Thousands) |
| 3,061 | ||||||
|
| |||||||
CONVERTIBLE BONDS — 0.2% |
| |||||||
Liberty Media LLC CV to 16.7764 | ||||||||
4.000%, 11/15/2029 | 2,025 | 1,316 | ||||||
3.750%, 02/15/2030 | 3,680 | 2,309 | ||||||
Meritor | ||||||||
0.000%, 02/15/2019 (C) | 1,047 | 772 | ||||||
Mirant CV to 14.7167 | ||||||||
0.000%, 06/15/2021 | 1,950 | — | ||||||
Vector Group CV to 48.8281 | ||||||||
13.850%, 06/15/2026 (D) | 369 | 395 | ||||||
|
| |||||||
Total Convertible Bonds | 4,792 | |||||||
|
| |||||||
Number of | ||||||||
WARRANTS — 0.1% |
| |||||||
Alion Science & Technology, Expires 03/15/17* | 2,025 | — | ||||||
CUI Acquisition* (E) (F)†† | 46,959 | 2,137 | ||||||
|
| |||||||
Total Warrants | 2,137 | |||||||
|
| |||||||
COMMON STOCK — 0.1% |
| |||||||
Aventine Renewable Energy Holdings* | 1,334 | 16 | ||||||
Core-Mark Holding | 691 | 32 | ||||||
Dana Holdings | 70,421 | 998 | ||||||
Delta Air Lines* | 2,369 | 24 | ||||||
GMX Resources* | 24,693 | 16 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 123 |
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Concluded)
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Neenah Enterprises* (E) (F) | 21,556 | $ | 156 | |||||
United Continental Holdings* | 21 | — | ||||||
VSS AHC, Cl A* (E) (F) (G) | 29,628 | 354 | ||||||
|
| |||||||
Total Common Stock | 1,596 | |||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
CASH EQUIVALENT — 4.0% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.060%**† | 82,524,822 | $ | 82,525 | |||||
|
| |||||||
Total Cash Equivalent (Cost $82,525) ($ Thousands) | 82,525 | |||||||
|
| |||||||
Total Investments — 100.4% (Cost $2,014,428) ($ Thousands) | $ | 2,094,480 | ||||||
|
|
The open swap agreements held by the Fund at November 30, 2012, is as follows:
Credit Default Swaps | ||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount (Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||||||||
Barclays Bank PLC | CDX.NA.HY.17-V1 Index | BUY | 5.00 | % | 12/20/16 | $ | 19,680 | $ | (1,844 | ) | ||||||||||
|
| |||||||||||||||||||
$ | (1,844 | ) | ||||||||||||||||||
|
|
For the period ended November 30, 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 period.
Percentages are based on a Net Assets of $2,086,111 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield. |
‡ | 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) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on November 30, 2012. The coupon on a step bond changes on a specified date. |
(D) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of November 30, 2012. The date reported on the Schedule of Investments is the final maturity date. |
(E) | Securities considered illiquid. The total value of such securities as of November 30, 2012 was $4,538 ($ Thousands) and represented 0.22% of Net Assets. |
(F) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of November 30, 2012 was $5,432 ($ Thousands) and represented 0.26% of Net Assets. |
(G) | Securities considered restricted. The total value of such securities as of November 30, 2012 was $356 ($ Thousands) and represented 0.02% of Net Assets. |
(H) | The rate reported is the effective yield at the time of purchase. |
(I) | Unsettled bank loan. Interest rate not available. |
(J) | Unfunded bank loan. |
CDO — Collateralized Debt Obligation
Cl — Class
CLO — Collateralized Loan Obligation
CV — Convertible Security
LLC — Limited Liability Company
LLP — Limited Liability Partnership
L.P. — Limited Partnership
Ltd. — Limited
PIK — Payment-in-Kind
PLC — Public Limited Company
RB — Revenue Bond
Ser — Series
Amounts designated as “—” are $0 or have been rounded to $0.
The following is a list of the inputs used as of November 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 (1) | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 1,592,621 | $ | 4,542 | $ | 1,597,163 | ||||||||
Loan Participations | — | 175,074 | 14,002 | 189,076 | ||||||||||||
Collateralized Debt Obligations | — | — | 183,838 | 183,838 | ||||||||||||
Preferred Stock | 1,790 | 13,398 | — | 15,188 | ||||||||||||
Municipal Bonds | — | 15,104 | — | 15,104 | ||||||||||||
Asset-Backed Securities | — | 3,061 | — | 3,061 | ||||||||||||
Convertible Bonds | — | 4,792 | — | 4,792 | ||||||||||||
Warrant | — | — | 2,137 | 2,137 | ||||||||||||
Common Stock | 1,086 | — | 510 | 1,596 | ||||||||||||
Cash Equivalent | 82,525 | — | — | 82,525 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 85,401 | $ | 1,804,050 | $ | 205,029 | $ | 2,094,480 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Credit Default Swaps* | $ | — | $ | (1,844 | ) | $ | — | $ | (1,844 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | — | $ | (1,844 | ) | $ | — | $ | (1,844 | ) | ||||||
|
|
|
|
|
|
|
|
* | Swaps are valued at the unrealized depreciation on the instrument. |
(1) | Of the $205,029 in Level 3 securities as of November 30, 2012, $5,432 or |
124 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Investments in Corporate Obligations | Investments in Loan Participations | Investments in Collateralized Debt Obligations | Investments in Convertible Bonds | Investments in Auction Rate Preferred Securities | Investments in Warrants | Investments in Common Stock | ||||||||||||||||||||||
Beginning balance as June 1, 2012 | $ | 4,518 | $ | 7,780 | $ | 194,307 | $ | 4 | $ | 4,606 | $ | 2,137 | $ | 450 | ||||||||||||||
Accrued discounts/premiums | 25 | 9 | 1,775 | — | — | — | — | |||||||||||||||||||||
Realized gain/(loss) | (134 | ) | 2 | 2,658 | — | 552 | — | — | ||||||||||||||||||||
Change in unrealized appreciation/ (depreciation) | 22 | 102 | 9,445 | (4 | ) | (458 | ) | — | 60 | |||||||||||||||||||
Purchases | 18,796 | 12,215 | 22,003 | — | — | — | — | |||||||||||||||||||||
Sales | (18,663 | ) | (6,108 | ) | (46,350 | ) | — | — | — | — | ||||||||||||||||||
Net transfer into Level 3 | — | 2 | — | — | (4,700 | ) | — | — | ||||||||||||||||||||
Net transfer out of Level 3 | (22 | ) | — | — | — | — | — | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Ending balance as of November 30, 2012 | $ | 4,542 | $ | 14,002 | $ | 183,838 | $ | — | $ | — | $ | 2,137 | $ | 510 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date | $ | 221 | $ | 104 | $ | 10,890 | $ | 4 | $ | — | $ | — | $ | 59 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period ended November 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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.
Amounts designated as “—” are either $0 or have been rounded to $0.
For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 125 |
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 53.6% |
| |||||||
Consumer Discretionary — 6.2% |
| |||||||
CCO Holdings LLC | ||||||||
7.000%, 01/15/2019 | $ | 500 | $ | 541 | ||||
Comcast | ||||||||
6.950%, 08/15/2037 | 1,150 | 1,566 | ||||||
6.500%, 01/15/2017 | 100 | 121 | ||||||
6.450%, 03/15/2037 | 9,450 | 12,271 | ||||||
6.400%, 05/15/2038 | 6,116 | 7,955 | ||||||
5.900%, 03/15/2016 | 100 | 116 | ||||||
5.700%, 07/01/2019 | 100 | 123 | ||||||
4.650%, 07/15/2042 | 2,325 | 2,464 | ||||||
Comcast Cable Communications Holdings | ||||||||
9.455%, 11/15/2022 | 3,450 | 5,164 | ||||||
COX Communications | ||||||||
7.625%, 06/15/2025 | 300 | 394 | ||||||
6.950%, 06/01/2038 (A) | 3,183 | 4,264 | ||||||
4.700%, 12/15/2042 (A) | 4,400 | 4,515 | ||||||
CVS Caremark | ||||||||
6.250%, 06/01/2027 | 1,640 | 2,190 | ||||||
6.125%, 09/15/2039 | 2,625 | 3,362 | ||||||
5.750%, 05/15/2041 | 1,360 | 1,679 | ||||||
CVS Pass-Through Trust | ||||||||
8.353%, 07/10/2031 (A) | 6,243 | 8,753 | ||||||
DIRECTV Holdings | ||||||||
6.350%, 03/15/2040 | 410 | 468 | ||||||
6.000%, 08/15/2040 | 8,270 | 9,016 | ||||||
5.150%, 03/15/2042 | 2,215 | 2,225 | ||||||
Discovery Communications | ||||||||
4.950%, 05/15/2042 | 1,330 | 1,445 | ||||||
Lowe’s | ||||||||
6.875%, 02/15/2028 | 100 | 133 | ||||||
5.125%, 11/15/2041 | 3,865 | 4,552 | ||||||
McDonald’s MTN | ||||||||
6.300%, 03/01/2038 | 3,645 | 5,145 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.875%, 07/15/2040 | $ | 910 | $ | 1,096 | ||||
3.700%, 02/15/2042 | 480 | 485 | ||||||
NBC Universal Media | ||||||||
6.400%, 04/30/2040 | 3,025 | 3,879 | ||||||
5.950%, 04/01/2041 | 7,221 | 8,834 | ||||||
4.450%, 01/15/2043 | 1,750 | 1,756 | ||||||
News America | ||||||||
8.150%, 10/17/2036 | 1,835 | 2,542 | ||||||
7.850%, 03/01/2039 | 5,255 | 7,500 | ||||||
7.750%, 01/20/2024 | 125 | 159 | ||||||
7.625%, 11/30/2028 | 4,616 | 6,035 | ||||||
7.430%, 10/01/2026 | 200 | 265 | ||||||
6.900%, 08/15/2039 | 4,250 | 5,671 | ||||||
6.750%, 01/09/2038 | 1,250 | 1,546 | ||||||
6.650%, 11/15/2037 | 1,935 | 2,489 | ||||||
6.400%, 12/15/2035 | 875 | 1,094 | ||||||
6.150%, 02/15/2041 | 6,070 | 7,638 | ||||||
Target | ||||||||
7.000%, 01/15/2038 | 2,200 | 3,249 | ||||||
6.650%, 08/01/2028 | 450 | 582 | ||||||
4.000%, 07/01/2042 | 3,925 | 4,035 | ||||||
TCI Communications | ||||||||
7.875%, 02/15/2026 | 3,000 | 4,315 | ||||||
Time Warner | ||||||||
7.700%, 05/01/2032 | 3,658 | 5,103 | ||||||
7.625%, 04/15/2031 | 11,985 | 16,446 | ||||||
6.250%, 03/29/2041 | 5,400 | 6,782 | ||||||
6.100%, 07/15/2040 | 1,835 | 2,260 | ||||||
Time Warner Cable | ||||||||
8.750%, 02/14/2019 | 3,500 | 4,752 | ||||||
6.750%, 06/15/2039 | 3,830 | 4,889 | ||||||
5.875%, 11/15/2040 | 1,645 | 1,904 | ||||||
5.500%, 09/01/2041 | 1,475 | 1,640 | ||||||
4.500%, 09/15/2042 | 4,610 | 4,499 | ||||||
Time Warner Entertainment | ||||||||
8.375%, 07/15/2033 | 3,880 | 5,656 | ||||||
Viacom | ||||||||
6.875%, 04/30/2036 | 5,230 | 7,147 | ||||||
4.500%, 02/27/2042 | 815 | 815 | ||||||
4.375%, 03/15/2043 (A) | 2,841 | 2,751 | ||||||
Wal-Mart Stores | ||||||||
7.550%, 02/15/2030 | 840 | 1,256 | ||||||
6.200%, 04/15/2038 | 2,650 | 3,669 | ||||||
5.625%, 04/01/2040 | 5,390 | 7,075 | ||||||
5.625%, 04/15/2041 | 7,095 | 9,435 | ||||||
5.250%, 09/01/2035 | 50 | 62 | ||||||
5.000%, 10/25/2040 | 3,870 | 4,725 | ||||||
Walt Disney MTN | ||||||||
3.700%, 12/01/2042 | 2,040 | 2,040 | ||||||
Yum! Brands | ||||||||
6.875%, 11/15/2037 | 2,325 | 3,258 | ||||||
|
| |||||||
237,796 | ||||||||
|
|
126 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Consumer Staples — 4.2% |
| |||||||
Ahold Finance USA | ||||||||
6.875%, 05/01/2029 | $ | 885 | $ | 1,143 | ||||
Altria Group | ||||||||
10.200%, 02/06/2039 | 3,730 | 6,285 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
8.200%, 01/15/2039 | 4,565 | 7,506 | ||||||
8.000%, 11/15/2039 | 2,490 | 4,042 | ||||||
6.375%, 01/15/2040 | 2,075 | 2,912 | ||||||
3.750%, 07/15/2042 | 3,125 | 3,153 | ||||||
2.500%, 07/15/2022 | 5,100 | 5,123 | ||||||
Bestfoods | ||||||||
7.250%, 12/15/2026 | 170 | 253 | ||||||
Bowdoin College | ||||||||
4.693%, 07/01/2112 | 12,240 | 12,352 | ||||||
Diageo Capital | ||||||||
5.875%, 09/30/2036 | 783 | 1,011 | ||||||
General Mills | ||||||||
5.400%, 06/15/2040 | 815 | 1,022 | ||||||
Heineken | ||||||||
2.750%, 04/01/2023 (A) | 4,250 | 4,210 | ||||||
HJ Heinz Finance | ||||||||
7.125%, 08/01/2039 (A) | 4,495 | 6,280 | ||||||
Kellogg | ||||||||
3.125%, 05/17/2022 | 1,830 | 1,920 | ||||||
Kraft Foods | ||||||||
7.000%, 08/11/2037 | 1,265 | 1,752 | ||||||
6.875%, 02/01/2038 | 6,690 | 9,193 | ||||||
6.875%, 01/26/2039 (A) | 865 | 1,172 | ||||||
6.500%, 02/09/2040 | 9,595 | 12,978 | ||||||
5.000%, 06/04/2042 (A) | 5,645 | 6,332 | ||||||
Kroger | ||||||||
5.000%, 04/15/2042 | 2,760 | 2,982 | ||||||
Lorillard Tobacco | ||||||||
7.000%, 08/04/2041 | 1,900 | 2,299 | ||||||
Massachusetts Institute of Technology | ||||||||
5.600%, 07/01/2111 | 3,472 | 5,141 | ||||||
Molson Coors Brewing | ||||||||
5.000%, 05/01/2042 | 2,786 | 3,125 | ||||||
Pepsi Bottling Group | ||||||||
7.000%, 03/01/2029 | 355 | 520 | ||||||
PepsiCo | ||||||||
5.500%, 01/15/2040 | 1,675 | 2,147 | ||||||
4.875%, 11/01/2040 | 1,590 | 1,870 | ||||||
4.000%, 03/05/2042 | 2,505 | 2,620 | ||||||
3.600%, 08/13/2042 | 3,425 | 3,339 | ||||||
Pernod-Ricard | ||||||||
5.500%, 01/15/2042 (A) | 750 | 867 | ||||||
4.450%, 01/15/2022 (A) | 350 | 386 | ||||||
Philip Morris International | ||||||||
6.375%, 05/16/2038 | 1,815 | 2,514 | ||||||
4.500%, 03/20/2042 | 4,935 | 5,412 | ||||||
3.875%, 08/21/2042 | 2,505 | 2,543 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
President and Fellows of Harvard College | ||||||||
6.500%, 01/15/2039 (A) | $ | 60 | $ | 90 | ||||
5.625%, 10/01/2038 | 3,625 | 4,860 | ||||||
Procter & Gamble | ||||||||
8.000%, 09/01/2024 | 1,527 | 2,296 | ||||||
Ralcorp Holdings | ||||||||
6.625%, 08/15/2039 | 3,015 | 3,596 | ||||||
SABMiller Holdings | ||||||||
4.950%, 01/15/2042 (A) | 8,874 | 10,249 | ||||||
3.750%, 01/15/2022 (A) | 415 | 450 | ||||||
Tufts University | ||||||||
5.017%, 04/15/2112 | 7,900 | 9,013 | ||||||
Unilever Capital | ||||||||
5.900%, 11/15/2032 | 945 | 1,322 | ||||||
University of Notre Dame | ||||||||
3.720%, 03/01/2043 | 1,000 | 1,013 | ||||||
University of Southern California | ||||||||
5.250%, 10/01/2111 | 1,715 | 2,240 | ||||||
|
| |||||||
159,533 | ||||||||
|
| |||||||
Energy — 7.6% |
| |||||||
Anadarko Petroleum | ||||||||
6.450%, 09/15/2036 | 590 | 741 | ||||||
Apache | ||||||||
5.250%, 02/01/2042 | 310 | 365 | ||||||
4.750%, 04/15/2043 | 4,725 | 5,173 | ||||||
4.250%, 01/15/2044 | 9,120 | 9,293 | ||||||
BG Energy Capital | ||||||||
5.125%, 10/15/2041 (A) | 4,600 | 5,411 | ||||||
Canadian Natural Resources | ||||||||
6.500%, 02/15/2037 | 390 | 515 | ||||||
6.250%, 03/15/2038 | 3,850 | 5,007 | ||||||
5.850%, 02/01/2035 | 150 | 185 | ||||||
Cenovus Energy | ||||||||
6.750%, 11/15/2039 | 4,500 | 6,011 | ||||||
4.450%, 09/15/2042 | 1,245 | 1,295 | ||||||
CenterPoint Energy Resources | ||||||||
6.625%, 11/01/2037 | 490 | 664 | ||||||
6.250%, 02/01/2037 | 2,841 | 3,725 | ||||||
CNOOC Finance 2012 | ||||||||
3.875%, 05/02/2022 (A) | 2,550 | 2,750 | ||||||
Conoco Funding | ||||||||
7.250%, 10/15/2031 | 875 | 1,313 | ||||||
6.950%, 04/15/2029 | 1,710 | 2,422 | ||||||
ConocoPhillips | ||||||||
6.500%, 02/01/2039 | 13,155 | 18,703 | ||||||
5.900%, 05/15/2038 | 4,388 | 5,813 | ||||||
Devon Energy | ||||||||
7.950%, 04/15/2032 | 995 | 1,462 | ||||||
5.600%, 07/15/2041 | 4,690 | 5,644 | ||||||
4.750%, 05/15/2042 | 1,810 | 1,947 | ||||||
Diamond Offshore Drilling | ||||||||
5.700%, 10/15/2039 | 7,378 | 9,606 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 127 |
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
El Paso Natural Gas | ||||||||
7.500%, 11/15/2026 | $ | 3,170 | $ | 4,283 | ||||
Encana | ||||||||
6.500%, 02/01/2038 | 4,625 | 5,735 | ||||||
Eni | ||||||||
5.700%, 10/01/2040 (A) | 3,430 | 3,633 | ||||||
Eni USA | ||||||||
7.300%, 11/15/2027 | 1,510 | 2,081 | ||||||
Enterprise Products Operating | ||||||||
6.650%, 10/15/2034 | 2,310 | 2,885 | ||||||
6.125%, 10/15/2039 | 275 | 334 | ||||||
5.700%, 02/15/2042 | 7,727 | 8,920 | ||||||
4.850%, 08/15/2042 | 2,350 | 2,448 | ||||||
4.450%, 02/15/2043 | 2,910 | 2,876 | ||||||
EQT | ||||||||
4.875%, 11/15/2021 | 155 | 167 | ||||||
Gulf South Pipeline | ||||||||
4.000%, 06/15/2022 (A) | 2,580 | 2,754 | ||||||
Halliburton | ||||||||
7.600%, 08/15/2096 (A) | 825 | 1,282 | ||||||
Hess | ||||||||
7.875%, 10/01/2029 | 1,613 | 2,265 | ||||||
7.300%, 08/15/2031 | 2,555 | 3,488 | ||||||
6.000%, 01/15/2040 | 2,409 | 2,963 | ||||||
5.600%, 02/15/2041 | 3,005 | 3,535 | ||||||
Kinder Morgan Energy Partners | ||||||||
6.375%, 03/01/2041 | 7,475 | 9,217 | ||||||
3.950%, 09/01/2022 | 5,230 | 5,577 | ||||||
Marathon Oil | ||||||||
6.600%, 10/01/2037 | 3,820 | 5,149 | ||||||
Marathon Petroleum | ||||||||
6.500%, 03/01/2041 | 7,723 | 9,599 | ||||||
Motiva Enterprises | ||||||||
6.850%, 01/15/2040 (A) | 6,215 | 8,624 | ||||||
Nexen | ||||||||
7.500%, 07/30/2039 | 2,440 | 3,520 | ||||||
Noble Energy | ||||||||
4.150%, 12/15/2021 | 1,355 | 1,486 | ||||||
Noble Holding International | ||||||||
6.200%, 08/01/2040 | 2,810 | 3,414 | ||||||
Panhandle Eastern Pipeline | ||||||||
8.125%, 06/01/2019 | 725 | 908 | ||||||
Petrobras International Finance | ||||||||
6.875%, 01/20/2040 | 5,360 | 6,805 | ||||||
6.750%, 01/27/2041 | 4,330 | 5,475 | ||||||
5.875%, 03/01/2018 | 600 | 690 | ||||||
Petro-Canada | ||||||||
7.875%, 06/15/2026 | 35 | 51 | ||||||
6.800%, 05/15/2038 | 2,405 | 3,242 | ||||||
5.950%, 05/15/2035 | 760 | 934 | ||||||
Phillips 66 | ||||||||
4.300%, 04/01/2022 (A) | 3,400 | 3,767 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Rosneft Oil via Rosneft International Finance | ||||||||
4.199%, 03/06/2022 (A) | $ | 2,000 | $ | 2,000 | ||||
Schlumberger Investment | ||||||||
3.300%, 09/14/2021 (A) | 1,375 | 1,481 | ||||||
Shell International Finance | ||||||||
6.375%, 12/15/2038 | 4,118 | 5,935 | ||||||
5.500%, 03/25/2040 | 4,050 | 5,296 | ||||||
2.250%, 01/06/2023 | 2,750 | 2,735 | ||||||
Sinopec Group Overseas Development 2012 | ||||||||
3.900%, 05/17/2022 (A) | 975 | 1,058 | ||||||
Southern Natural Gas | ||||||||
8.000%, 03/01/2032 | 655 | 967 | ||||||
7.350%, 02/15/2031 | 600 | 821 | ||||||
Spectra Energy Capital | ||||||||
7.500%, 09/15/2038 | 2,573 | 3,595 | ||||||
6.750%, 02/15/2032 | 3,450 | 4,343 | ||||||
Statoil | ||||||||
6.800%, 01/15/2028 | 400 | 560 | ||||||
6.500%, 12/01/2028 (A) | 1,050 | 1,449 | ||||||
2.450%, 01/17/2023 | 2,375 | 2,369 | ||||||
Suncor Energy | ||||||||
6.850%, 06/01/2039 | 1,550 | 2,125 | ||||||
6.500%, 06/15/2038 | 3,785 | 5,004 | ||||||
Talisman Energy | ||||||||
5.500%, 05/15/2042 | 1,355 | 1,534 | ||||||
Tennessee Gas Pipeline | ||||||||
8.375%, 06/15/2032 | 5,555 | 8,201 | ||||||
7.000%, 10/15/2028 | 3,960 | 5,494 | ||||||
TransCanada Pipelines | ||||||||
7.625%, 01/15/2039 | 1,800 | 2,745 | ||||||
7.250%, 08/15/2038 | 1,670 | 2,452 | ||||||
6.100%, 06/01/2040 | 2,000 | 2,676 | ||||||
Transcontinental Gas Pipeline | ||||||||
7.250%, 12/01/2026 | 1,610 | 2,351 | ||||||
5.400%, 08/15/2041 | 1,505 | 1,807 | ||||||
Valero Energy | ||||||||
10.500%, 03/15/2039 | 5,173 | 8,241 | ||||||
7.500%, 04/15/2032 | 1,275 | 1,650 | ||||||
6.625%, 06/15/2037 | 1,000 | 1,214 | ||||||
Weatherford International | ||||||||
5.950%, 04/15/2042 | 4,595 | 4,633 | ||||||
Williams | ||||||||
8.750%, 03/15/2032 | 472 | 643 | ||||||
7.875%, 09/01/2021 | 1,603 | 2,070 | ||||||
7.750%, 06/15/2031 | 1,150 | 1,450 | ||||||
7.500%, 01/15/2031 | 380 | 469 | ||||||
|
| |||||||
293,520 | ||||||||
|
| |||||||
Financials — 15.3% |
| |||||||
ABB Treasury Center USA | ||||||||
4.000%, 06/15/2021 (A) | 2,970 | 3,320 |
128 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
ACE INA Holdings | ||||||||
6.700%, 05/15/2036 | $ | 2,677 | $ | 3,801 | ||||
Aflac | ||||||||
6.900%, 12/17/2039 | 2,900 | 3,790 | ||||||
6.450%, 08/15/2040 | 2,510 | 3,127 | ||||||
AIG SunAmerica Global Financing X | ||||||||
6.900%, 03/15/2032 (A) | 2,867 | 3,841 | ||||||
Allstate | ||||||||
5.550%, 05/09/2035 | 75 | 92 | ||||||
5.200%, 01/15/2042 | 6,101 | 7,294 | ||||||
Alta Wind Holdings | ||||||||
7.000%, 06/30/2035 (A) | 2,545 | 2,739 | ||||||
American Express | ||||||||
8.150%, 03/19/2038 | 4,675 | 7,862 | ||||||
American International Group | ||||||||
4.875%, 06/01/2022 | 1,710 | 1,924 | ||||||
Anadarko Finance | ||||||||
7.500%, 05/01/2031 | 3,062 | 4,092 | ||||||
Assurant | ||||||||
6.750%, 02/15/2034 | 2,634 | 3,028 | ||||||
Bank of America MTN | ||||||||
7.800%, 09/15/2016 | 65 | 76 | ||||||
6.000%, 09/01/2017 | 355 | 413 | ||||||
6.000%, 10/15/2036 | 4,840 | 5,903 | ||||||
5.875%, 02/07/2042 | 3,119 | 3,943 | ||||||
5.750%, 12/01/2017 | 6,300 | 7,286 | ||||||
5.700%, 01/24/2022 | 725 | 882 | ||||||
5.650%, 05/01/2018 | 6,860 | 7,949 | ||||||
5.625%, 07/01/2020 | 675 | 797 | ||||||
5.000%, 05/13/2021 | 500 | 573 | ||||||
4.900%, 05/01/2013 | 40 | 41 | ||||||
3.625%, 03/17/2016 | 260 | 276 | ||||||
Bear Stearns | ||||||||
7.250%, 02/01/2018 | 400 | 499 | ||||||
6.400%, 10/02/2017 | 5,415 | 6,549 | ||||||
Berkshire Hathaway Finance | ||||||||
4.400%, 05/15/2042 | 2,300 | 2,405 | ||||||
BlackRock | ||||||||
3.375%, 06/01/2022 | 3,205 | 3,439 | ||||||
Blackstone Holdings Finance | ||||||||
6.625%, 08/15/2019 (A) | 2,929 | 3,422 | ||||||
6.250%, 08/15/2042 (A) | 2,555 | 2,818 | ||||||
Boston Properties‡ | ||||||||
3.850%, 02/01/2023 | 1,325 | 1,408 | ||||||
Camden Property Trust‡ | ||||||||
4.625%, 06/15/2021 | 1,325 | 1,476 | ||||||
Capital One Capital VI | ||||||||
8.875%, 05/15/2040 | 2,050 | 2,061 | ||||||
CDP Financial | ||||||||
5.600%, 11/25/2039 (A) | 7,560 | 9,633 | ||||||
Chase Capital II | ||||||||
0.813%, 02/01/2027 (B) | 3,859 | 3,020 | ||||||
Chase Capital III | ||||||||
0.968%, 03/01/2027 (B) | 250 | 195 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Chubb | ||||||||
6.500%, 05/15/2038 | $ | 3,835 | $ | 5,384 | ||||
Citigroup | ||||||||
8.500%, 05/22/2019 | 75 | 100 | ||||||
8.125%, 07/15/2039 | 5,015 | 7,577 | ||||||
6.875%, 03/05/2038 | 4,391 | 5,881 | ||||||
6.875%, 02/15/2098 | 4,559 | 5,577 | ||||||
6.625%, 06/15/2032 | 600 | 694 | ||||||
6.375%, 08/12/2014 | 50 | 54 | ||||||
6.125%, 11/21/2017 | 100 | 119 | ||||||
6.125%, 08/25/2036 | 3,350 | 3,706 | ||||||
6.010%, 01/15/2015 | 50 | 55 | ||||||
6.000%, 12/13/2013 | 125 | 132 | ||||||
6.000%, 08/15/2017 | 50 | 59 | ||||||
5.875%, 05/29/2037 | 320 | 389 | ||||||
5.850%, 12/11/2034 | 249 | 300 | ||||||
5.500%, 02/15/2017 | 5,680 | 6,303 | ||||||
4.587%, 12/15/2015 | 39 | 43 | ||||||
4.500%, 01/14/2022 | 2,000 | 2,250 | ||||||
2.650%, 03/02/2015 | 150 | 154 | ||||||
0.862%, 08/25/2036 (B) | 850 | 626 | ||||||
Commonwealth Bank of Australia | ||||||||
5.000%, 10/15/2019 (A) | 1,750 | 2,047 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
5.800%, 09/30/2110 (A) | 8,380 | 9,925 | ||||||
Deutsche Bank Capital Funding Trust | ||||||||
5.628%, 01/19/2049 (A) (B) | 945 | 880 | ||||||
Devon OEI Operating | ||||||||
7.500%, 09/15/2027 | 1,000 | 1,487 | ||||||
Discover Bank | ||||||||
8.700%, 11/18/2019 | 1,014 | 1,344 | ||||||
Discover Financial Services | ||||||||
3.850%, 11/21/2022 (A) | 3,261 | 3,286 | ||||||
Duke Realty‡ | ||||||||
3.875%, 10/15/2022 | 1,590 | 1,624 | ||||||
Farmers Exchange Capital | ||||||||
7.200%, 07/15/2048 (A) | 825 | 1,022 | ||||||
7.050%, 07/15/2028 (A) | 12,307 | 15,418 | ||||||
First Union | ||||||||
7.575%, 08/01/2026 (C) | 3,735 | 5,210 | ||||||
FMR | ||||||||
6.500%, 12/14/2040 (A) | 525 | 658 | ||||||
General Electric Capital MTN | ||||||||
7.500%, 08/21/2035 | 385 | 555 | ||||||
6.875%, 01/10/2039 | 15,300 | 20,759 | ||||||
6.750%, 03/15/2032 | 6,162 | 8,040 | ||||||
6.150%, 08/07/2037 | 800 | 1,001 | ||||||
5.875%, 01/14/2038 | 21,860 | 26,503 | ||||||
Goldman Sachs Group | ||||||||
6.750%, 10/01/2037 | 14,360 | 15,979 | ||||||
6.250%, 02/01/2041 | 9,918 | 12,055 | ||||||
6.125%, 02/15/2033 | 3,635 | 4,207 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 129 |
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.950%, 01/15/2027 | $ | 4,901 | $ | 5,272 | ||||
5.750%, 01/24/2022 | 2,330 | 2,766 | ||||||
Guardian Life Insurance of America | ||||||||
7.375%, 09/30/2039 (A) | 4,075 | 5,579 | ||||||
Hartford Financial Services Group | ||||||||
6.625%, 03/30/2040 | 1,360 | 1,697 | ||||||
6.625%, 04/15/2042 | 2,600 | 3,261 | ||||||
6.100%, 10/01/2041 | 3,285 | 3,839 | ||||||
HBOS MTN | ||||||||
6.750%, 05/21/2018 (A) | 4,050 | 4,303 | ||||||
HBOS Capital Funding | ||||||||
6.071%, 06/30/2049 (A) (B) | 100 | 81 | ||||||
HCP‡ | ||||||||
6.750%, 02/01/2041 | 2,225 | 2,874 | ||||||
6.300%, 09/15/2016 | 2,195 | 2,528 | ||||||
3.750%, 02/01/2019 | 2,620 | 2,775 | ||||||
Health Care‡ | ||||||||
6.500%, 03/15/2041 | 7,850 | 9,365 | ||||||
5.125%, 03/15/2043 | 2,320 | 2,283 | ||||||
4.950%, 01/15/2021 | 2,025 | 2,237 | ||||||
Healthcare Realty Trust‡ | ||||||||
5.750%, 01/15/2021 | 525 | 588 | ||||||
Heathrow Funding | ||||||||
4.875%, 07/15/2021 (A) | 3,070 | 3,380 | ||||||
HSBC Bank USA | ||||||||
7.000%, 01/15/2039 | 2,405 | 3,245 | ||||||
5.875%, 11/01/2034 | 320 | 374 | ||||||
5.625%, 08/15/2035 | 1,290 | 1,483 | ||||||
HSBC Holdings | ||||||||
6.800%, 06/01/2038 | 335 | 422 | ||||||
6.500%, 09/15/2037 | 6,460 | 7,880 | ||||||
5.100%, 04/05/2021 | 3,531 | 4,195 | ||||||
HSBC Holdings, Ser 2006 | ||||||||
6.500%, 05/02/2036 | 390 | 473 | ||||||
ING Bank | ||||||||
1.808%, 06/09/2014 (A) (B) | 1,050 | 1,056 | ||||||
International Lease Finance | ||||||||
7.125%, 09/01/2018 (A) | 425 | 492 | ||||||
JPMorgan Chase | ||||||||
6.400%, 05/15/2038 | 6,348 | 8,567 | ||||||
6.300%, 04/23/2019 | 1,775 | 2,193 | ||||||
5.600%, 07/15/2041 | 7,260 | 9,027 | ||||||
5.400%, 01/06/2042 | 2,750 | 3,333 | ||||||
4.500%, 01/24/2022 | 1,230 | 1,392 | ||||||
3.250%, 09/23/2022 | 1,365 | 1,412 | ||||||
0.729%, 06/13/2016 (B) | 2,000 | 1,940 | ||||||
JPMorgan Chase Capital XIII | ||||||||
1.312%, 09/30/2034 (B) | 3,900 | 3,049 | ||||||
KKR Group Finance | ||||||||
6.375%, 09/29/2020 (A) | 2,670 | 3,127 | ||||||
Liberty Mutual Group | ||||||||
6.500%, 05/01/2042 (A) | 6,955 | 7,701 | ||||||
Macquarie Bank MTN | ||||||||
6.625%, 04/07/2021 (A) | 7,090 | 7,801 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Massachusetts Mutual Life Insurance | ||||||||
8.875%, 06/01/2039 (A) | $ | 2,840 | $ | 4,366 | ||||
5.375%, 12/01/2041 (A) | 3,210 | 3,785 | ||||||
Merrill Lynch | ||||||||
8.950%, 05/18/2017 (B) | 1,340 | 1,559 | ||||||
8.680%, 05/02/2017 (B) | 1,305 | 1,506 | ||||||
7.750%, 05/14/2038 | 410 | 536 | ||||||
6.110%, 01/29/2037 | 3,660 | 4,061 | ||||||
MetLife | ||||||||
7.800%, 11/01/2025 (A) | 3,520 | 4,686 | ||||||
6.400%, 12/15/2036 | 3,520 | 3,740 | ||||||
6.375%, 06/15/2034 | 395 | 518 | ||||||
5.875%, 02/06/2041 | 3,530 | 4,480 | ||||||
4.125%, 08/13/2042 | 6,490 | 6,473 | ||||||
Metropolitan Life Global Funding I | ||||||||
3.875%, 04/11/2022 (A) | 435 | 473 | ||||||
Morgan Stanley MTN | ||||||||
6.625%, 04/01/2018 | 4,365 | 5,083 | ||||||
6.375%, 07/24/2042 | 6,175 | 7,234 | ||||||
5.625%, 09/23/2019 | 11,775 | 13,280 | ||||||
National Australia Bank | ||||||||
1.600%, 08/07/2015 | 2,990 | 3,043 | ||||||
National Capital Trust II | ||||||||
5.486%, 12/29/2049 (A) (B) | 500 | 501 | ||||||
Nationwide Mutual Insurance | ||||||||
7.875%, 04/01/2033 (A) | 4,016 | 4,953 | ||||||
New York Life Insurance | ||||||||
6.750%, 11/15/2039 (A) | 8,525 | 12,029 | ||||||
Northwestern Mutual Life Insurance | ||||||||
6.063%, 03/30/2040 (A) | 6,725 | 8,828 | ||||||
Pacific Life Insurance | ||||||||
9.250%, 06/15/2039 (A) | 340 | 483 | ||||||
PNC Bank | ||||||||
2.700%, 11/01/2022 | 2,540 | 2,550 | ||||||
PNC Financial Services Group | ||||||||
8.729%, 11/09/2022 (C) | 815 | 832 | ||||||
PNC Funding | ||||||||
5.125%, 02/08/2020 | 935 | 1,119 | ||||||
Principal Financial Group | ||||||||
4.350%, 05/15/2043 | 1,285 | 1,268 | ||||||
Prudential Financial MTN | ||||||||
6.200%, 11/15/2040 | 1,345 | 1,643 | ||||||
5.700%, 12/14/2036 | 3,385 | 3,848 | ||||||
Prudential Holdings | ||||||||
8.695%, 12/18/2023 (A) | 5,962 | 7,889 | ||||||
Prudential Insurance of America | ||||||||
8.300%, 07/01/2025 (A) | 4,500 | 6,120 | ||||||
Royal Bank of Scotland Group | ||||||||
7.648%, 08/31/2049 (B) | 1,900 | 1,895 | ||||||
Security Benefit Life | ||||||||
7.450%, 10/01/2033 (A) | 6,575 | 6,049 |
130 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Siemens Financieringsmaatschappij | ||||||||
6.125%, 08/17/2026 (A) | $ | 320 | $ | 420 | ||||
Simon Property Group‡ | ||||||||
6.750%, 02/01/2040 | 4,740 | 6,523 | ||||||
4.750%, 03/15/2042 | 3,360 | 3,620 | ||||||
SL Green Realty‡ | ||||||||
5.000%, 08/15/2018 | 1,000 | 1,082 | ||||||
Sydney Airport Finance Pty | ||||||||
3.900%, 03/22/2023 (A) | 4,500 | 4,586 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.850%, 12/16/2039 (A) | 7,290 | 10,083 | ||||||
Toyota Motor Credit MTN | ||||||||
3.400%, 09/15/2021 | 2,770 | 3,051 | ||||||
Travelers | ||||||||
5.350%, 11/01/2040 | 3,835 | 4,829 | ||||||
Turlock | ||||||||
4.000%, 11/02/2032 (A) | 3,475 | 3,537 | ||||||
Ventas Realty‡ | ||||||||
4.750%, 06/01/2021 | 2,500 | 2,778 | ||||||
Verizon Global Funding | ||||||||
7.750%, 12/01/2030 | 650 | 956 | ||||||
Wachovia Bank | ||||||||
6.600%, 01/15/2038 | 5,830 | 8,090 | ||||||
6.000%, 11/15/2017 | 300 | 361 | ||||||
5.850%, 02/01/2037 | 3,930 | 5,006 | ||||||
WEA Finance | ||||||||
7.125%, 04/15/2018 (A) | 25 | 31 | ||||||
6.750%, 09/02/2019 (A) | 2,090 | 2,587 | ||||||
ZFS Finance USA Trust II | ||||||||
6.450%, 12/15/2065 (A) (B) | 1,939 | 2,065 | ||||||
|
| |||||||
587,802 | ||||||||
|
| |||||||
Health Care — 3.9% |
| |||||||
AbbVie | ||||||||
4.400%, 11/06/2042 (A) | 11,780 | 12,491 | ||||||
2.900%, 11/06/2022 (A) | 3,590 | 3,666 | ||||||
Aetna | ||||||||
2.750%, 11/15/2022 | 1,310 | 1,316 | ||||||
Amgen | ||||||||
6.400%, 02/01/2039 | 3,400 | 4,362 | ||||||
5.750%, 03/15/2040 | 500 | 603 | ||||||
5.650%, 06/15/2042 | 2,490 | 3,021 | ||||||
5.375%, 05/15/2043 | 3,790 | 4,480 | ||||||
5.150%, 11/15/2041 | 5,390 | 6,147 | ||||||
4.950%, 10/01/2041 | 825 | 907 | ||||||
3.875%, 11/15/2021 | 1,225 | 1,349 | ||||||
AstraZeneca | ||||||||
6.450%, 09/15/2037 | 3,522 | 4,843 | ||||||
4.000%, 09/18/2042 | 3,320 | 3,444 | ||||||
Becton Dickinson | ||||||||
3.125%, 11/08/2021 | 625 | 675 | ||||||
Bristol-Myers Squibb | ||||||||
6.875%, 08/01/2097 | 1,800 | 2,711 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Catholic Health Initiatives | ||||||||
4.350%, 11/01/2042 | $ | 5,611 | $ | 5,770 | ||||
Celgene | ||||||||
5.700%, 10/15/2040 | 4,547 | 5,352 | ||||||
Coventry Health Care | ||||||||
5.450%, 06/15/2021 | 500 | 594 | ||||||
Express Scripts Holding | ||||||||
6.125%, 11/15/2041 (A) | 1,315 | 1,687 | ||||||
GlaxoSmithKline Capital | ||||||||
6.375%, 05/15/2038 | 4,285 | 6,013 | ||||||
Highmark | ||||||||
6.125%, 05/15/2041 (A) | 3,205 | 3,391 | ||||||
Johnson & Johnson | ||||||||
5.950%, 08/15/2037 | 795 | 1,117 | ||||||
5.850%, 07/15/2038 | 1,605 | 2,246 | ||||||
Kaiser Foundation Hospitals | ||||||||
4.875%, 04/01/2042 | 5,250 | 5,989 | ||||||
Mead Johnson Nutrition | ||||||||
5.900%, 11/01/2039 | 990 | 1,225 | ||||||
Memorial Sloan-Kettering Cancer Center | ||||||||
5.000%, 07/01/2042 | 1,845 | 2,163 | ||||||
Merck MTN | ||||||||
6.550%, 09/15/2037 | 815 | 1,179 | ||||||
6.500%, 12/01/2033 | 395 | 576 | ||||||
5.850%, 06/30/2039 | 5,005 | 6,931 | ||||||
5.760%, 05/03/2037 | 2,236 | 2,985 | ||||||
3.600%, 09/15/2042 | 1,780 | 1,790 | ||||||
North Shore Long Island Jewish Health Care | ||||||||
4.800%, 11/01/2042 | 4,615 | 4,960 | ||||||
Novartis Capital | ||||||||
2.400%, 09/21/2022 | 3,105 | 3,129 | ||||||
Pfizer | ||||||||
7.200%, 03/15/2039 | 3,690 | 5,747 | ||||||
Roche Holdings | ||||||||
7.000%, 03/01/2039 (A) | 7,570 | 11,503 | ||||||
St. Barnabas Health Care System | ||||||||
4.000%, 07/01/2028 | 2,375 | 2,284 | ||||||
Thermo Fisher Scientific | ||||||||
3.150%, 01/15/2023 | 3,020 | 3,108 | ||||||
UnitedHealth Group | ||||||||
6.625%, 11/15/2037 | 1,855 | 2,514 | ||||||
6.500%, 06/15/2037 | 520 | 692 | ||||||
Watson Pharmaceuticals | ||||||||
4.625%, 10/01/2042 | 2,120 | 2,238 | ||||||
3.250%, 10/01/2022 | 1,705 | 1,754 | ||||||
WellPoint | ||||||||
5.950%, 12/15/2034 | 460 | 555 | ||||||
5.850%, 01/15/2036 | 485 | 583 | ||||||
4.650%, 01/15/2043 | 4,350 | 4,566 | ||||||
Wyeth | ||||||||
6.000%, 02/15/2036 | 2,985 | 3,991 | ||||||
5.950%, 04/01/2037 | 936 | 1,255 | ||||||
|
| |||||||
147,902 | ||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 131 |
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Industrials — 4.1% |
| |||||||
American Airlines Pass-Through Trust, Ser 2011-2, Cl A | ||||||||
8.625%, 10/15/2021 | $ | 13 | $ | 13 | ||||
BAE Systems | ||||||||
5.800%, 10/11/2041 (A) | 4,995 | 6,141 | ||||||
Boeing | ||||||||
6.875%, 03/15/2039 | 531 | 820 | ||||||
6.625%, 02/15/2038 | 720 | 1,071 | ||||||
5.875%, 02/15/2040 | 3,385 | 4,684 | ||||||
Burlington Northern Santa Fe | ||||||||
6.200%, 08/15/2036 | 5,600 | 7,280 | ||||||
6.150%, 05/01/2037 | 1,070 | 1,412 | ||||||
5.750%, 05/01/2040 | 485 | 610 | ||||||
5.650%, 05/01/2017 | 2,830 | 3,364 | ||||||
4.400%, 03/15/2042 | 4,430 | 4,763 | ||||||
4.375%, 09/01/2042 | 2,295 | 2,467 | ||||||
3.450%, 09/15/2021 | 10 | 11 | ||||||
Caterpillar | ||||||||
5.200%, 05/27/2041 | 1,035 | 1,277 | ||||||
3.803%, 08/15/2042 (A) | 4,158 | 4,167 | ||||||
Continental Airlines Pass-Through Trust, Ser 2007-1, CI A | ||||||||
5.983%, 04/19/2022 | 5,286 | 5,907 | ||||||
Continental Airlines, Pass-Through Trust, CI, A Ser 2009-1 | ||||||||
9.000%, 07/08/2016 | 5,595 | 6,476 | ||||||
Continental Airlines 2012-2 Class A Pass-Through Certificates | ||||||||
4.000%, 10/29/2024 | 2,940 | 3,098 | ||||||
CSX | ||||||||
6.150%, 05/01/2037 | 730 | 934 | ||||||
4.750%, 05/30/2042 | 5,980 | 6,528 | ||||||
DaimlerChrysler | ||||||||
8.500%, 01/18/2031 | 1,200 | 1,881 | ||||||
Deere | ||||||||
3.900%, 06/09/2042 | 2,390 | 2,470 | ||||||
Dover | ||||||||
5.375%, 03/01/2041 | 1,325 | 1,715 | ||||||
FedEx | ||||||||
3.875%, 08/01/2042 | 4,667 | 4,696 | ||||||
Ford Motor | ||||||||
7.400%, 11/01/2046 | 5,905 | 7,130 | ||||||
General Dynamics | ||||||||
3.600%, 11/15/2042 | 760 | 749 | ||||||
General Electric | ||||||||
4.125%, 10/09/2042 | 8,770 | 9,148 | ||||||
Lockheed Martin | ||||||||
5.720%, 06/01/2040 | 2,432 | 3,145 | ||||||
5.500%, 11/15/2039 | 4,415 | 5,344 | ||||||
Norfolk Southern | ||||||||
6.000%, 03/15/2105 | 3,503 | 4,306 | ||||||
6.000%, 05/23/2111 | 9,295 | 11,410 | ||||||
5.900%, 06/15/2019 | 2,715 | 3,331 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.590%, 05/17/2025 | $ | 68 | $ | 85 | ||||
2.903%, 02/15/2023 (A) | 316 | 322 | ||||||
Northwest Airlines, Ser 1A-1, Cl A | ||||||||
7.041%, 04/01/2022 | 271 | 300 | ||||||
Republic Services | ||||||||
5.700%, 05/15/2041 | 3,835 | 4,632 | ||||||
3.550%, 06/01/2022 | 740 | 781 | ||||||
Union Pacific | ||||||||
6.625%, 02/01/2029 | 1,391 | 1,909 | ||||||
5.780%, 07/15/2040 | 3,314 | 4,260 | ||||||
United Parcel Service | ||||||||
3.625%, 10/01/2042 | 1,085 | 1,086 | ||||||
United Technologies | ||||||||
5.700%, 04/15/2040 | 9,285 | 12,385 | ||||||
4.500%, 06/01/2042 | 5,305 | 6,032 | ||||||
3.100%, 06/01/2022 | 1,985 | 2,136 | ||||||
US Airways Pass-Through Trust, Ser 2011-1, Cl A | ||||||||
7.125%, 10/22/2023 | 1,887 | 2,104 | ||||||
Waste Management | ||||||||
6.125%, 11/30/2039 | 2,220 | 2,834 | ||||||
4.600%, 03/01/2021 | 2,662 | 3,043 | ||||||
|
| |||||||
158,257 | ||||||||
|
| |||||||
Information Technology — 1.2% |
| |||||||
Applied Materials | ||||||||
5.850%, 06/15/2041 | 3,184 | 3,966 | ||||||
Cisco Systems | ||||||||
5.900%, 02/15/2039 | 1,350 | 1,780 | ||||||
5.500%, 01/15/2040 | 2,380 | 3,033 | ||||||
Corning | ||||||||
5.750%, 08/15/2040 | 555 | 670 | ||||||
eBay | ||||||||
4.000%, 07/15/2042 | 1,805 | 1,759 | ||||||
Fiserv | ||||||||
4.750%, 06/15/2021 | 2,090 | 2,337 | ||||||
Intel | ||||||||
4.800%, 10/01/2041 | 1,745 | 1,938 | ||||||
International Business Machines | ||||||||
5.875%, 11/29/2032 | 510 | 684 | ||||||
4.000%, 06/20/2042 | 7,472 | 7,914 | ||||||
Juniper Networks | ||||||||
5.950%, 03/15/2041 | 4,430 | 5,221 | ||||||
Microsoft | ||||||||
4.500%, 10/01/2040 | 335 | 381 | ||||||
3.500%, 11/15/2042 | 4,115 | 4,018 | ||||||
2.125%, 11/15/2022 | 1,175 | 1,173 | ||||||
Motorola Solutions | ||||||||
7.500%, 05/15/2025 | 760 | 988 | ||||||
Oracle | ||||||||
6.500%, 04/15/2038 | 4,700 | 6,618 | ||||||
5.375%, 07/15/2040 | 2,427 | 3,067 | ||||||
|
| |||||||
45,547 | ||||||||
|
|
132 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Materials — 1.7% |
| |||||||
ArcelorMittal | ||||||||
7.500%, 10/15/2039 | $ | 8,355 | $ | 7,647 | ||||
7.250%, 03/01/2041 | 350 | 313 | ||||||
6.250%, 02/25/2022 | 400 | 416 | ||||||
BHP Billiton Finance USA | ||||||||
2.875%, 02/24/2022 | 4,500 | 4,731 | ||||||
Dow Chemical | ||||||||
7.375%, 11/01/2029 | 1,801 | 2,412 | ||||||
4.375%, 11/15/2042 | 5,000 | 4,930 | ||||||
Newcrest Finance | ||||||||
5.750%, 11/15/2041 (A) | 5,020 | 5,376 | ||||||
Newmont Mining | ||||||||
4.875%, 03/15/2042 | 9,686 | 10,124 | ||||||
Rio Tinto Finance USA | ||||||||
4.125%, 08/21/2042 | 1,800 | 1,826 | ||||||
Rohm & Haas | ||||||||
7.850%, 07/15/2029 | 755 | 1,030 | ||||||
Southern Copper | ||||||||
7.500%, 07/27/2035 | 2,824 | 3,550 | ||||||
Teck Resources | ||||||||
6.250%, 07/15/2041 | 725 | 827 | ||||||
6.000%, 08/15/2040 | 180 | 200 | ||||||
5.400%, 02/01/2043 | 3,515 | 3,632 | ||||||
5.200%, 03/01/2042 | 1,895 | 1,870 | ||||||
Vale | ||||||||
5.625%, 09/11/2042 | 3,590 | 3,877 | ||||||
Vale Overseas | ||||||||
6.875%, 11/21/2036 | 2,545 | 3,149 | ||||||
Xstrata Finance Canada | ||||||||
6.000%, 11/15/2041 (A) | 5,706 | 6,195 | ||||||
5.300%, 10/25/2042 (A) | 3,100 | 3,151 | ||||||
|
| |||||||
65,256 | ||||||||
|
| |||||||
Telecommunication Services — 2.9% |
| |||||||
Alltel | ||||||||
7.875%, 07/01/2032 | 1,145 | 1,804 | ||||||
6.800%, 05/01/2029 | 480 | 662 | ||||||
America Movil | ||||||||
4.375%, 07/16/2042 | 2,950 | 3,062 | ||||||
3.125%, 07/16/2022 | 1,225 | 1,258 | ||||||
AT&T | ||||||||
8.000%, 11/15/2031 | 1,113 | 1,732 | ||||||
6.550%, 02/15/2039 | 3,175 | 4,224 | ||||||
6.500%, 09/01/2037 | 4,055 | 5,309 | ||||||
6.400%, 05/15/2038 | 1,730 | 2,250 | ||||||
6.300%, 01/15/2038 | 3,910 | 5,018 | ||||||
5.550%, 08/15/2041 | 11,465 | 13,750 | ||||||
5.350%, 09/01/2040 | 9,119 | 10,612 | ||||||
British Telecommunications | ||||||||
9.625%, 12/15/2030 | 2,070 | 3,325 | ||||||
CenturyLink | ||||||||
7.650%, 03/15/2042 | 4,035 | 4,209 | ||||||
7.600%, 09/15/2039 | 1,275 | 1,321 | ||||||
5.800%, 03/15/2022 | 350 | 370 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Deutsche Telekom International Finance | ||||||||
9.250%, 06/01/2032 | $ | 725 | $ | 1,164 | ||||
8.750%, 06/15/2030 | 2,590 | 3,898 | ||||||
4.875%, 03/06/2042 (A) | 5,100 | 5,487 | ||||||
France Telecom | ||||||||
5.375%, 01/13/2042 | 2,105 | 2,440 | ||||||
GTE | ||||||||
6.940%, 04/15/2028 | 1,320 | 1,782 | ||||||
Koninklijke KPN | ||||||||
8.375%, 10/01/2030 | 1,920 | 2,584 | ||||||
New Cingular Wireless Services | ||||||||
8.750%, 03/01/2031 | 615 | 1,020 | ||||||
Telecom Italia Capital | ||||||||
7.721%, 06/04/2038 | 3,635 | 3,808 | ||||||
7.200%, 07/18/2036 | 825 | 837 | ||||||
6.000%, 09/30/2034 | 3,375 | 3,113 | ||||||
Verizon Communications | ||||||||
7.350%, 04/01/2039 | 2,890 | 4,356 | ||||||
6.400%, 02/15/2038 | 6,718 | 9,185 | ||||||
6.250%, 04/01/2037 | 760 | 1,001 | ||||||
6.000%, 04/01/2041 | 495 | 656 | ||||||
4.750%, 11/01/2041 | 5,075 | 5,800 | ||||||
3.850%, 11/01/2042 | 3,985 | 3,978 | ||||||
|
| |||||||
110,015 | ||||||||
|
| |||||||
Utilities — 6.5% | ||||||||
AGL Capital | ||||||||
5.875%, 03/15/2041 | 3,318 | 4,407 | ||||||
Arizona Public Services | ||||||||
8.000%, 12/30/2015 | 102 | 106 | ||||||
Baltimore Gas & Electric | ||||||||
5.200%, 06/15/2033 | 2,735 | 3,052 | ||||||
Boston Gas | ||||||||
4.487%, 02/15/2042 (A) | 2,147 | 2,303 | ||||||
Bruce Mansfield Unit | ||||||||
6.850%, 06/01/2034 | 1,702 | 1,840 | ||||||
Cleco Power LLC | ||||||||
6.000%, 12/01/2040 | 3,625 | 4,560 | ||||||
Consolidated Edison of New York | ||||||||
6.750%, 04/01/2038 | 1,725 | 2,515 | ||||||
6.300%, 08/15/2037 | 1,440 | 1,988 | ||||||
Coso Geothermal Power Holdings | ||||||||
7.000%, 07/15/2026 (A) | 2,670 | 1,016 | ||||||
Dominion Resources | ||||||||
5.250%, 08/01/2033 | 6,405 | 7,483 | ||||||
4.900%, 08/01/2041 | 6,923 | 8,019 | ||||||
Duke Energy Carolinas | ||||||||
6.100%, 06/01/2037 | 3,090 | 3,933 | ||||||
5.300%, 02/15/2040 | 6,885 | 8,321 | ||||||
4.000%, 09/30/2042 | 2,050 | 2,097 | ||||||
3.050%, 08/15/2022 | 2,205 | 2,241 | ||||||
Duke Energy Indiana | ||||||||
6.350%, 08/15/2038 | 1,390 | 1,887 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 133 |
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Duquesne Light Holdings | ||||||||
6.250%, 08/15/2035 | $ | 3,125 | $ | 3,656 | ||||
5.900%, 12/01/2021 (A) | 750 | 900 | ||||||
Elm Road Generating Station Supercritical | ||||||||
5.848%, 01/19/2041 (A) | 2,007 | 2,431 | ||||||
Entergy Louisiana LLC | ||||||||
6.300%, 09/01/2035 | 300 | 300 | ||||||
4.440%, 01/15/2026 | 3,120 | 3,476 | ||||||
Entergy Texas | ||||||||
7.125%, 02/01/2019 | 1,435 | 1,820 | ||||||
Exelon Generation | ||||||||
6.250%, 10/01/2039 | 200 | 232 | ||||||
5.750%, 10/01/2041 | 6,231 | 6,899 | ||||||
5.600%, 06/15/2042 (A) | 9,975 | 10,748 | ||||||
FirstEnergy, Ser C | ||||||||
7.375%, 11/15/2031 | 5,705 | 7,485 | ||||||
Florida Power | ||||||||
6.350%, 09/15/2037 | 1,900 | 2,601 | ||||||
Florida Power & Light | ||||||||
5.960%, 04/01/2039 | 2,925 | 3,976 | ||||||
5.400%, 09/01/2035 | 3,200 | 3,980 | ||||||
4.050%, 06/01/2042 | 1,000 | 1,066 | ||||||
Georgia Power | ||||||||
5.950%, 02/01/2039 | 3,850 | 5,068 | ||||||
5.400%, 06/01/2040 | 4,610 | 5,689 | ||||||
4.300%, 03/15/2042 | 1,855 | 1,954 | ||||||
Iberdrola Finance Ireland | ||||||||
5.000%, 09/11/2019 (A) | 2,200 | 2,295 | ||||||
Indianapolis Power & Light | ||||||||
6.050%, 10/01/2036 (A) | 1,291 | 1,639 | ||||||
4.875%, 11/01/2041 (A) | 2,130 | 2,392 | ||||||
John Sevier Combined Cycle Generation | ||||||||
4.626%, 01/15/2042 | 93 | 107 | ||||||
Kansas City Power & Light | ||||||||
5.300%, 10/01/2041 | 150 | 176 | ||||||
KCP&L Greater Missouri Operations | ||||||||
8.270%, 11/15/2021 | 2,600 | 3,292 | ||||||
Kentucky Utilities | ||||||||
5.125%, 11/01/2040 | 1,965 | 2,434 | ||||||
KeySpan Gas East | ||||||||
5.819%, 04/01/2041 (A) | 5,985 | 7,832 | ||||||
Metropolitan Edison | ||||||||
7.700%, 01/15/2019 | 350 | 451 | ||||||
MidAmerican Energy MTN | ||||||||
6.750%, 12/30/2031 | 405 | 560 | ||||||
5.800%, 10/15/2036 | 820 | 1,062 | ||||||
MidAmerican Energy Holdings | ||||||||
6.500%, 09/15/2037 | 5,640 | 7,636 | ||||||
6.125%, 04/01/2036 | 1,555 | 2,000 | ||||||
Midamerican Funding | ||||||||
6.927%, 03/01/2029 | 170 | 229 | ||||||
Nevada Power | ||||||||
5.450%, 05/15/2041 | 550 | 697 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
NextEra Energy Capital Holdings | ||||||||
6.000%, 03/01/2019 | $ | 2,470 | $ | 2,942 | ||||
4.500%, 06/01/2021 | 4,005 | 4,498 | ||||||
Niagara Mohawk Power | ||||||||
4.119%, 11/28/2042 (A) | 2,000 | 2,017 | ||||||
2.721%, 11/28/2022 (A) | 700 | 705 | ||||||
Nisource Finance | ||||||||
5.950%, 06/15/2041 | 545 | 637 | ||||||
5.250%, 02/15/2043 | 1,670 | 1,791 | ||||||
Northern States Power | ||||||||
3.400%, 08/15/2042 | 1,015 | 971 | ||||||
Oncor Electric Delivery | ||||||||
7.500%, 09/01/2038 | 600 | 822 | ||||||
5.300%, 06/01/2042 | 7,445 | 8,307 | ||||||
5.250%, 09/30/2040 | 2,165 | 2,395 | ||||||
4.100%, 06/01/2022 | 2,310 | 2,507 | ||||||
Pacific Gas & Electric | ||||||||
6.350%, 02/15/2038 | 1,000 | 1,358 | ||||||
6.250%, 03/01/2039 | 2,570 | 3,463 | ||||||
6.050%, 03/01/2034 | 3,345 | 4,354 | ||||||
5.800%, 03/01/2037 | 2,226 | 2,808 | ||||||
4.500%, 12/15/2041 | 1,660 | 1,826 | ||||||
PacifiCorp | ||||||||
6.000%, 01/15/2039 | 1,100 | 1,478 | ||||||
Pennsylvania Electric | ||||||||
6.150%, 10/01/2038 | 6,420 | 7,870 | ||||||
Petroleos Mexicanos | ||||||||
5.500%, 06/27/2044 (A) | 3,000 | 3,300 | ||||||
5.500%, 06/27/2044 | 4,215 | 4,637 | ||||||
Progress Energy | ||||||||
7.050%, 03/15/2019 | 2,780 | 3,537 | ||||||
Public Service Electric & Gas MTN | ||||||||
3.650%, 09/01/2042 | 2,750 | 2,715 | ||||||
Public Service of Colorado | ||||||||
6.500%, 08/01/2038 | 725 | 1,030 | ||||||
6.250%, 09/01/2037 | 1,580 | 2,216 | ||||||
4.750%, 08/15/2041 | 2,400 | 2,778 | ||||||
San Diego Gas & Electric | ||||||||
5.350%, 05/15/2040 | 1,350 | 1,757 | ||||||
Sempra Energy | ||||||||
6.000%, 10/15/2039 | 2,420 | 3,131 | ||||||
South Carolina Electric & Gas | ||||||||
6.050%, 01/15/2038 | 400 | 530 | ||||||
Southern California Edison | ||||||||
6.050%, 03/15/2039 | 4,355 | 6,029 | ||||||
Southern California Gas | ||||||||
3.750%, 09/15/2042 | 1,325 | 1,364 | ||||||
Southern Union | ||||||||
8.250%, 11/15/2029 | 1,825 | 2,329 | ||||||
Southwestern Electric Power | ||||||||
6.200%, 03/15/2040 | 5,095 | 6,505 | ||||||
Texas-New Mexico Power | ||||||||
9.500%, 04/01/2019 (A) | 2,082 | 2,819 | ||||||
Union Electric | ||||||||
8.450%, 03/15/2039 | 2,405 | 4,200 |
134 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Xcel Energy | ||||||||
4.800%, 09/15/2041 | $ | 1 | $ | 1 | ||||
|
| |||||||
250,478 | ||||||||
|
| |||||||
Total Corporate Obligations |
| 2,056,106 | ||||||
|
| |||||||
MUNICIPAL BONDS — 5.8% | ||||||||
Bay Area, Toll Authority, Build America Project, RB | ||||||||
6.263%, 04/01/2049 | 4,610 | 6,451 | ||||||
City of Gainesville, Build America Project, RB | ||||||||
6.024%, 10/01/2040 | 3,650 | 4,642 | ||||||
City of Houston, Ser A, GO | ||||||||
6.290%, 03/01/2032 | 3,935 | 4,949 | ||||||
City of Houston, Utility System Revenue, Ser A, RB, Callable 05/15/19 @ 100 | ||||||||
5.250%, 11/15/2033 | 320 | 376 | ||||||
City of New York, Build America Project, GO Callable 10/01/20 @ 100 | ||||||||
6.646%, 12/01/2031 | 2,200 | 2,685 | ||||||
5.817%, 10/01/2031 | 2,950 | 3,437 | ||||||
City of Sacramento, RB | ||||||||
6.156%, 05/15/2036 | 100 | 124 | ||||||
City of San Francisco, California Public Utilities Commission Water Revenue, Ser DE, RB | ||||||||
6.000%, 11/01/2040 | 2,440 | 3,073 | ||||||
Commonwealth of Massachusetts, Build America Project, RB | ||||||||
5.731%, 06/01/2040 | 1,160 | 1,535 | ||||||
Dallas, Convention Center Hotel Development, RB | ||||||||
7.088%, 01/01/2042 | 600 | 733 | ||||||
Dallas, Independent School District, Build America Project, GO, Callable 02/15/21 @ 100 | ||||||||
6.450%, 02/15/2035 | 3,415 | 4,290 | ||||||
Florida State, Department of Transportation, RB Callable 07/01/19 @ 100 | ||||||||
6.800%, 07/01/2039 | 580 | 689 | ||||||
Indianapolis, Local Public Improvement Bond Bank, Build America Project, RB | ||||||||
6.116%, 01/15/2040 | 4,860 | 6,466 | ||||||
Las Vegas, Valley Water District, GO | ||||||||
7.013%, 06/01/2039 | 390 | 535 | ||||||
Los Angeles, Community College District, Ser D, GO | ||||||||
6.680%, 08/01/2036 | 2,965 | 3,855 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Los Angeles, Community College District, Build America Project, GO | ||||||||
6.750%, 08/01/2049 | $ | 390 | $ | 551 | ||||
Los Angeles, Department of Water & Power, Build America Project, RB | ||||||||
6.574%, 07/01/2045 | 1,795 | 2,548 | ||||||
6.008%, 07/01/2039 | 5,000 | 6,418 | ||||||
Los Angeles, Unified School District, Build America Project, GO | ||||||||
6.758%, 07/01/2034 | 3,080 | 4,144 | ||||||
Maryland State, Transportation Authority, RB | ||||||||
5.888%, 07/01/2043 | 320 | 429 | ||||||
Massachusetts Bay, Transportation Authority, Ser A, RB | ||||||||
5.000%, 07/01/2031 | 2,595 | 3,545 | ||||||
Metropolitan Transportation Authority, RB | ||||||||
6.814%, 11/15/2040 | 710 | 953 | ||||||
Michigan State University, RB Callable 02/15/30 @ 100 | ||||||||
6.173%, 02/15/2050 | 1,300 | 1,599 | ||||||
Missouri, Joint Municipal Electric Utility Commission, RB | ||||||||
6.890%, 01/01/2042 | 600 | 774 | ||||||
New Hampshire State, Turnpike System, Build America Project, RB | ||||||||
6.009%, 11/01/2039 | 2,005 | 2,550 | ||||||
New Jersey State, Turnpike Authority, Build America Project, RB | ||||||||
7.102%, 01/01/2041 | 5,685 | 8,164 | ||||||
New York City, Municipal Water Finance Authority, Build America Project, RB | ||||||||
6.491%, 06/15/2042 | 6,630 | 7,960 | ||||||
5.724%, 06/15/2042 | 2,570 | 3,399 | ||||||
5.440%, 06/15/2043 | 3,260 | 4,162 | ||||||
New York City, Municipal Water Finance Authority, RB | ||||||||
5.375%, 06/15/2043 | 600 | 736 | ||||||
New York City, Municipal Water Finance Authority, Ser GG, RB Callable 06/15/21 @ 100 | ||||||||
5.000%, 06/15/2043 | 710 | 826 | ||||||
New York City, Transitional Finance Authority, Build America Project, RB | ||||||||
5.572%, 11/01/2038 | 2,195 | 2,759 | ||||||
New York City, Transitional Finance Authority, Future Tax Secured Revenue, RB | ||||||||
5.508%, 08/01/2037 | 580 | 728 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 135 |
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
New York State, Dormitory Authority, Build America Project, RB | ||||||||
5.500%, 03/15/2030 | $ | 3,295 | $ | 3,989 | ||||
North Texas, Tollway Authority, Build America Project, RB | ||||||||
6.718%, 01/01/2049 | 7,207 | 9,894 | ||||||
Ohio State University, Build America Project, RB | ||||||||
4.910%, 06/01/2040 | 2,785 | 3,317 | ||||||
Ohio State University, Build America Project, Ser A, RB | ||||||||
4.800%, 06/01/2111 | 2,583 | 2,992 | ||||||
Port Authority of New York & New Jersey, Build America Project, RB | ||||||||
4.926%, 10/01/2051 | 725 | 815 | ||||||
4.458%, 10/01/2062 | 3,000 | 3,007 | ||||||
San Diego County, Water Authority, Build America Project, RB | ||||||||
6.138%, 05/01/2049 | 6,060 | 8,168 | ||||||
Santa Clara Valley, Transportation Authority, Build America Project, RB | ||||||||
5.876%, 04/01/2032 | 2,580 | 3,174 | ||||||
State of California, Build America Project, GO | ||||||||
7.625%, 03/01/2040 | 4,200 | 6,087 | ||||||
7.600%, 11/01/2040 | 580 | 850 | ||||||
7.550%, 04/01/2039 | 11,735 | 16,951 | ||||||
7.500%, 04/01/2034 | 2,705 | 3,779 | ||||||
7.300%, 10/01/2039 | 6,280 | 8,718 | ||||||
State of California, GO | ||||||||
7.350%, 11/01/2039 | 4,010 | 5,600 | ||||||
State of Illinois, Build America Project, GO | ||||||||
7.350%, 07/01/2035 | 745 | 918 | ||||||
6.725%, 04/01/2035 | 380 | 445 | ||||||
6.630%, 02/01/2035 | 3,475 | 4,031 | ||||||
State of Illinois, GO | ||||||||
5.100%, 06/01/2033 | 14,065 | 14,192 | ||||||
State of New York, Build America Project, RB | ||||||||
5.770%, 03/15/2039 | 5,445 | 6,720 | ||||||
State of Texas, Build America Project, GO | ||||||||
5.517%, 04/01/2039 | 450 | 597 | ||||||
State of Texas, Transportation Communication Authority, Build America Project, Ser B, RB | ||||||||
5.178%, 04/01/2030 | 5,105 | 6,285 | ||||||
State of Washington, Build America Project, Ser D, GO | ||||||||
5.481%, 08/01/2039 | 1,640 | 2,084 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Triborough Bridge & Tunnel Authority, Build America Project, RB | ||||||||
5.450%, 11/15/2032 | $ | 3,300 | $ | 3,930 | ||||
University of California, Build America Project, Ser AD, RB | ||||||||
4.858%, 05/15/2112 | 10,785 | 11,596 | ||||||
�� |
|
| ||||||
Total Municipal Bonds | 224,224 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 3.9% |
| |||||||
FFCB | ||||||||
5.750%, 05/11/2026 | 6,525 | 8,992 | ||||||
FHLB | ||||||||
5.625%, 06/11/2021 | 960 | 1,267 | ||||||
0.450%, 07/30/2014 | 5,265 | 5,267 | ||||||
FHLMC | ||||||||
6.750%, 03/15/2031 | 1,080 | 1,690 | ||||||
FICO STRIPS | ||||||||
4.991%, 03/26/2019 (D) | 12,000 | 10,889 | ||||||
2.004%, 04/05/2019 (D) | 1,500 | 1,364 | ||||||
FICO STRIPS, PO, | ||||||||
1.702%, 09/26/2019 | 130 | 117 | ||||||
1.351%, 08/03/2018 (D) | 20,000 | 18,513 | ||||||
0.000%, 12/27/2018 to 09/26/2019 (D) | 16,445 | 14,832 | ||||||
Residual Funding Corp. STRIPS | ||||||||
0.000%, 07/15/2020 to 04/15/2030 (D) | 15,916 | 10,256 | ||||||
Tennessee Valley Authority | ||||||||
7.125%, 05/01/2030 | 11,165 | 17,462 | ||||||
5.880%, 04/01/2036 | 13,625 | 19,424 | ||||||
5.500%, 06/15/2038 | 305 | 422 | ||||||
5.375%, 04/01/2056 | 12,593 | 17,621 | ||||||
5.250%, 09/15/2039 | 6,530 | 8,782 | ||||||
4.875%, 01/15/2048 | 635 | 815 | ||||||
4.625%, 09/15/2060 | 7,645 | 9,446 | ||||||
Tennessee Valley Authority STRIPS, PO | ||||||||
4.544%, 01/15/2038 | 3,700 | 1,522 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 148,681 | ||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 1.7% |
| |||||||
Agency Mortgage-Backed Obligations — 1.2% |
| |||||||
FHLMC | ||||||||
3.386%, 12/17/2029 (D) | 8,300 | 4,775 | ||||||
FHLMC CMO, Ser 2004-2733, Cl ME | ||||||||
5.000%, 01/15/2034 | 366 | 408 | ||||||
FHLMC CMO, Ser 2004-2748, Cl ZT | ||||||||
5.500%, 02/15/2024 | 609 | 697 |
136 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 2010-3756, Cl PZ | ||||||||
4.000%, 11/15/2040 | $ | 5,416 | $ | 5,853 | ||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser 2012-K019, Cl A2 | ||||||||
2.272%, 03/25/2022 | 6,000 | 6,121 | ||||||
FNMA | ||||||||
3.841%, 09/01/2020 | 3,879 | 4,424 | ||||||
3.762%, 12/01/2020 | 3,935 | 4,500 | ||||||
3.665%, 10/01/2020 | 3,943 | 4,450 | ||||||
3.583%, 09/01/2020 | 2,025 | 2,271 | ||||||
FNMA CMO, Ser 2004-12, Cl ZX | ||||||||
6.000%, 03/25/2034 | 810 | 1,024 | ||||||
FNMA CMO, Ser 2004-80, Cl XZ | ||||||||
5.000%, 11/25/2034 | 463 | 513 | ||||||
FNMA CMO, Ser 2007-68, IO | ||||||||
0.608%, 07/25/2037 (B) | 216 | 33 | ||||||
GNMA | ||||||||
2.307%, 11/16/2051 (B) | 3,500 | 3,475 | ||||||
GNMA ARM | ||||||||
1.750%, 06/20/2032 (B) | 140 | 147 | ||||||
GNMA CMO, Ser 2004-93, Cl PC | ||||||||
5.000%, 04/16/2034 | 210 | 233 | ||||||
GNMA CMO, Ser 2009-8, Cl PS | ||||||||
0.518%, 08/16/2038 (B) | 353 | 56 | ||||||
GNMA CMO, Ser 2010-4, Cl NS, IO | ||||||||
6.182%, 01/16/2040 (B) | 372 | 60 | ||||||
GNMA CMO, Ser 2011-70, Cl BO, PO | ||||||||
0.000%, 05/20/2041 (D) | 10,425 | 7,774 | ||||||
|
| |||||||
46,814 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 0.5% |
| |||||||
Bayview Commercial Asset Trust, Ser 2004-2, Cl A | ||||||||
3.720%, 08/25/2034 (A) (B) | 2,142 | 1,894 | ||||||
Bayview Commercial Asset Trust, Ser 2007-3, Cl A1 | ||||||||
0.428%, 07/25/2037 (A) (B) | 1,727 | 1,300 | ||||||
Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2 | ||||||||
1.254%, 08/25/2035 (B) | 25 | 15 | ||||||
Countrywide Home Loans, Ser 2005-2, Cl 1A1 | ||||||||
0.367%, 03/25/2035 (B) | 173 | 111 | ||||||
DSLA Mortgage Loan Trust, Ser 2005-AR2, Cl 2A1A | ||||||||
6.092%, 03/19/2045 (B) | 247 | 197 | ||||||
GS Mortgage Securities II, | ||||||||
3.707%, 08/10/2044 | 4,540 | 5,072 | ||||||
Harborview Mortgage Loan Trust, Ser 2004-8, Cl 2A4A | ||||||||
0.317%, 11/19/2034 (B) | 309 | 245 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Harborview Mortgage Loan Trust, Ser 2005-11, Cl 2A1A | ||||||||
0.518%, 08/19/2045 (B) | $ | 447 | $ | 358 | ||||
Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl A1 | ||||||||
1.068%, 12/25/2034 (B) | 156 | 111 | ||||||
Indymac Index Mortgage Loan Trust, Ser 2004-AR5, Cl 2A1B | ||||||||
0.348%, 08/25/2034 (B) | 86 | 66 | ||||||
Indymac Index Mortgage Loan Trust, Ser 2004-AR6, Cl 6A1 | ||||||||
3.062%, 10/25/2034 (B) | 141 | 139 | ||||||
Indymac Index Mortgage Loan Trust, Ser 2004-AR7, Cl A2 | ||||||||
0.538%, 09/25/2034 (B) | 36 | 26 | ||||||
Indymac Index Mortgage Loan Trust, Ser 2005-AR18, Cl 2A1A | ||||||||
1.007%, 10/25/2036 (B) | 18 | 13 | ||||||
JPMorgan Mortgage Trust, Ser 2005-A3, Cl 3A3 | ||||||||
2.586%, 06/25/2035 (B) | 61 | 61 | ||||||
Master Seasoned Securities Trust, Ser 2004-2, Cl A2 | ||||||||
6.500%, 08/25/2032 | 88 | 93 | ||||||
Morgan Stanley Capital I, Ser 2011-C3, Cl A4 | ||||||||
4.118%, 07/15/2049 | 4,410 | 5,010 | ||||||
RAMP Trust, Ser 2004-SL1, Cl A7 | ||||||||
7.000%, 11/25/2031 | 52 | 55 | ||||||
Residential Asset Mortgage Products, Ser 2004-SL3, Cl A2 | ||||||||
6.500%, 12/25/2031 | 80 | 81 | ||||||
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 | ||||||||
2.780%, 12/25/2034 (B) | 100 | 100 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR2, Cl 2A21 | ||||||||
0.758%, 01/25/2045 (B) | 224 | 211 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR8, Cl 1A3 | ||||||||
2.667%, 04/25/2036 (B) | 273 | 269 | ||||||
WF-RBS Commercial Mortgage Trust, Ser 2011-C5, Cl A4 | ||||||||
3.667%, 11/15/2044 | 3,590 | 3,943 | ||||||
|
| |||||||
19,370 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities |
| 66,184 | ||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 137 |
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES — 0.6% |
| |||||||
Mortgage Related Securities — 0.1% |
| |||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2006-HE1, Cl 1A2 | ||||||||
0.862%, 12/25/2035 (B) | $ | 26 | $ | 26 | ||||
Citicorp Residential Mortgage Securities, Ser 2007-1, Cl A5 | ||||||||
6.046%, 03/25/2037 | 180 | 163 | ||||||
Citigroup Mortgage Loan Trust, Ser 2006-AMC1, Cl A2B | ||||||||
6.492%, 09/25/2036 (B) | 3,922 | 1,873 | ||||||
Home Equity Asset Trust, Ser 2007-2, Cl 2A1 | ||||||||
0.988%, 07/25/2037 (B) | 9 | 9 | ||||||
Oakwood Mortgage Investors, Ser 1998-B, Cl A4 | ||||||||
6.350%, 03/15/2017 | 23 | 23 | ||||||
|
| |||||||
2,094 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 0.5% |
| |||||||
Beacon Container Finance LLC, Ser 2012-1A, Cl A | ||||||||
3.720%, 09/20/2027 (A) | 2,211 | 2,281 | ||||||
CAL Funding II, Ser 2012-1A, Cl A | ||||||||
3.470%, 10/25/2027 (A) | 3,223 | 3,285 | ||||||
Conseco Financial, Ser 1998-2, Cl A5 | ||||||||
6.240%, 12/01/2028 (B) | 103 | 108 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2001-MH29, Cl A | ||||||||
5.600%, 09/25/2031 | 28 | 29 | ||||||
Cronos Containers Program, Ser 2012-1A, Cl A | ||||||||
4.210%, 05/18/2027 (A) | 2,256 | 2,312 | ||||||
Cronos Containers Program, Ser 2012-2A, Cl A | ||||||||
3.810%, 09/18/2027 (A) | 983 | 1,009 | ||||||
TAL Advantage, Ser 2010-2A, Cl A | ||||||||
4.300%, 10/20/2025 (A) | 1,860 | 1,885 | ||||||
TAL Advantage, Ser 2011-1A, Cl A | ||||||||
4.600%, 01/20/2026 (A) | 449 | 474 | ||||||
Textainer Marine Containers, Ser 2011-1A, Cl A | ||||||||
4.700%, 06/15/2026 (A) | 2,833 | 2,949 | ||||||
Trip Rail Master Funding, | ||||||||
4.370%, 07/15/2041 (A) | 2,265 | 2,424 | ||||||
Triton Container Finance, Ser 2007-1A, Cl NOTE | ||||||||
0.428%, 02/26/2019 (A) (B) | 984 | 967 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Triton Container Finance, | ||||||||
4.210%, 05/14/2027 (A) | $ | 3,040 | $ | 3,161 | ||||
|
| |||||||
20,884 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 22,978 | |||||||
|
| |||||||
SOVEREIGN DEBT — 0.4% |
| |||||||
Banco Nacional de Desenvolvimento Economico e Social | ||||||||
5.500%, 07/12/2020 (A) | 1,300 | 1,527 | ||||||
International Bank for Reconstruction & Development MTN | ||||||||
3.424%, 10/31/2030 (D) | 5,850 | 3,174 | ||||||
Israel Government AID Bond | ||||||||
5.500%, 09/18/2033 | 1,400 | 1,925 | ||||||
Province of Quebec Canada MTN | ||||||||
6.350%, 01/30/2026 | 2,880 | 3,935 | ||||||
United Mexican States MTN | ||||||||
6.050%, 01/11/2040 | 390 | 527 | ||||||
5.950%, 03/19/2019 | 1,300 | 1,606 | ||||||
5.750%, 10/12/2110 | 554 | 670 | ||||||
|
| |||||||
Total Sovereign Debt | 13,364 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 31.0% |
| |||||||
U.S. Treasury Bills (D) | ||||||||
0.098%, 12/13/2012 | 2,150 | 2,150 | ||||||
U.S. Treasury Bonds | ||||||||
6.250%, 05/15/2030 | 7,880 | 12,438 | ||||||
6.125%, 08/15/2029 | 24,481 | 37,854 | ||||||
5.500%, 08/15/2028 | 2,580 | 3,719 | ||||||
5.375%, 02/15/2031 | 121,284 | 176,885 | ||||||
5.250%, 11/15/2028 | 2,650 | 3,736 | ||||||
5.250%, 02/15/2029 | 13,035 | 18,422 | ||||||
3.875%, 08/15/2040 | 29,835 | 36,730 | ||||||
3.750%, 08/15/2041 | 4,430 | 5,337 | ||||||
3.125%, 11/15/2041 | 307,050 | 329,743 | ||||||
3.125%, 02/15/2042 | 75,181 | 80,679 | ||||||
3.000%, 05/15/2042 | 23,265 | 24,334 | ||||||
2.750%, 08/15/2042 | 360,230 | 357,359 | ||||||
U.S. Treasury Inflation-Protected Securities | ||||||||
2.125%, 02/15/2041 | 8,871 | 13,347 | ||||||
1.250%, 04/15/2014 | 2,280 | 2,349 | ||||||
0.625%, 04/15/2013 | 2,288 | 2,287 | ||||||
U.S. Treasury Notes | ||||||||
2.125%, 08/15/2021 | 31,686 | 33,651 | ||||||
1.625%, 08/15/2022 | 5,250 | 5,277 | ||||||
1.625%, 11/15/2022 | 37,015 | 37,079 |
138 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
U.S. Treasury STRIPS | ||||||||
2.653%, 11/15/2027 (D) | $ | 8,300 | $ | 5,830 | ||||
|
| |||||||
Total U.S. Treasury Obligations | 1,189,206 | |||||||
|
| |||||||
CASH EQUIVALENT — 2.5% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 95,647,120 | 95,647 | ||||||
|
| |||||||
Total Cash Equivalent | 95,647 | |||||||
|
| |||||||
COMMERCIAL PAPER (D) — 0.4% |
| |||||||
Lloyds TSB Bank | ||||||||
0.300%, 02/13/2013 | 6,370 | 6,366 | ||||||
RBS Holdings USA | ||||||||
0.380%, 03/19/2013 (A) | 8,970 | 8,961 | ||||||
|
| |||||||
Total Commercial Paper | 15,327 | |||||||
|
| |||||||
Total Investments — 99.9% |
| $ | 3,831,717 | |||||
|
|
The open futures contracts held by the Fund at November 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
U.S. 10-Year Treasury Note | (986 | ) | Mar-2013 | $ | (466 | ) | ||||||
U.S. 2-Year Treasury Note | 167 | Mar-2013 | 6 | |||||||||
U.S. 5-Year Treasury Note | (1,628 | ) | Mar-2013 | (477 | ) | |||||||
U.S. Long Treasury Bond | 389 | Mar-2013 | 527 | |||||||||
U.S. Ultra Long Treasury Bond | 489 | Mar-2013 | 175 | |||||||||
U.S. Ultra Long Treasury Bond | (70 | ) | Mar-2013 | (27 | ) | |||||||
|
| |||||||||||
$ | (262 | ) | ||||||||||
|
|
For the period ended November 30, 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 period.
A list of the open swap agreements held by the Fund at November 30, 2012, is as follows:
Credit Default Swaps | ||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount ($ Thousands) | Net Unrealized (Depreciation) ($ Thousands) | ||||||||||||||
JPMorgan Chase Bank | GOLDMAN SACHS GROUP, INC. | BUY | 1.00 | 09/20/16 | $ | 5,000 | $ | (198 | ) | |||||||||||
|
|
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount ($ Thousands) | Net Unrealized (Depreciation) ($ Thousands) | |||||||||
Barclays Bank PLC | 2.48% | 3 Month LIBOR | 11/15/27 | $ | 2,605 | $ | (124 | ) | ||||||
Barclays Bank PLC | 2.42% | 3 Month LIBOR | 11/15/27 | 2,630 | (101 | ) | ||||||||
Citigroup | 2.71% | 3-Month LIBOR | 08/15/42 | 5,255 | (212 | ) | ||||||||
|
| |||||||||||||
$ | (437 | ) | ||||||||||||
|
|
For the period ended November 30, 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 period.
Percentages are based on a Net Assets of $3,836,520 ($ Thousands).
* | The rate reported is the 7-day effective yield as of November 30, 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 November 30, 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 November 30, 2012. The coupon on a step bond changes on a specified date. |
(D) | The rate reported is the effective yield at time of purchase. |
AID | — Agency for International Development |
ARM | — Adjustable Rate Mortgage |
Cl | — Class |
CMO | — Collateralized Mortgage Obligation |
FFCB | — Federal Farm Credit Bank |
FHLB | — Federal Home Loan Bank |
FHLMC | — Federal Home Loan Mortgage Corporation |
FICO | — Financing Corporation |
FNMA | — Federal National Mortgage Association |
GNMA | — Government National Mortgage Association |
GO | — General Obligation |
IO | — Interest Only |
LLC | — Limited Liability Company |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 139 |
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Concluded)
November 30, 2012
MTN | — Medium Term Note |
PO | — Principal Only |
RB | — Revenue Bond |
Ser | — Series |
STRIPS | — Separately Traded Registered Interest and Principal Securities |
The following is a list of the inputs used as of November 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 2,056,106 | $ | — | $ | 2,056,106 | ||||||||
Municipal Bonds | — | 224,224 | — | 224,224 | ||||||||||||
U.S. Government Agency Obligations | — | 148,681 | — | 148,681 | ||||||||||||
Mortgage-Backed Securities | — | 66,184 | — | 66,184 | ||||||||||||
Asset-Backed Securities | — | 22,978 | — | 22,978 | ||||||||||||
Sovereign Debt | — | 13,364 | — | 13,364 | ||||||||||||
U.S. Treasury Obligations | — | 1,189,206 | — | 1,189,206 | ||||||||||||
Cash Equivalent | 95,647 | — | — | 95,647 | ||||||||||||
Commercial Paper | — | 15,327 | — | 15,327 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 95,647 | $ | 3,736,070 | $ | — | $ | 3,831,717 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (262 | ) | $ | — | $ | — | $ | (262 | ) | ||||||
Credit Default Swaps* | — | (198 | ) | — | (198 | ) | ||||||||||
Interest Rate Swaps* | — | (437 | ) | — | (437 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (262 | ) | $ | (635 | ) | $ | — | $ | (897 | ) | |||||
|
|
|
|
|
|
|
|
* | Futures contracts and swaps are valued at the unrealized depreciation on the instrument. |
For the period ended November 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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 $0.
The accompanying notes are an integral part of the financial statements.
140 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Corporate Bond Fund
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 90.8%†† |
| |||||||
Consumer Discretionary — 11.4% |
| |||||||
CBS | ||||||||
4.850%, 07/01/2042 | $ | 1,345 | $ | 1,412 | ||||
Comcast | ||||||||
7.050%, 03/15/2033 | 900 | 1,224 | ||||||
6.950%, 08/15/2037 | 1,805 | 2,458 | ||||||
6.550%, 07/01/2039 | 2,445 | 3,245 | ||||||
6.450%, 03/15/2037 | 5,595 | 7,265 | ||||||
6.400%, 05/15/2038 | 6,400 | 8,324 | ||||||
Comcast Cable Communications Holdings | ||||||||
9.455%, 11/15/2022 | 2,000 | 2,994 | ||||||
COX Communications | ||||||||
8.375%, 03/01/2039 (A) | 700 | 1,065 | ||||||
6.950%, 06/01/2038 (A) | 1,700 | 2,277 | ||||||
5.450%, 12/15/2014 | 25 | 27 | ||||||
4.700%, 12/15/2042 (A) | 1,300 | 1,334 | ||||||
CVS Caremark | ||||||||
6.250%, 06/01/2027 | 2,210 | 2,951 | ||||||
6.125%, 09/15/2039 | 3,690 | 4,727 | ||||||
5.750%, 05/15/2041 | 3,250 | 4,013 | ||||||
CVS Pass-Through Trust | ||||||||
8.353%, 07/10/2031 (A) | 3,566 | 4,999 | ||||||
DIRECTV Holdings | ||||||||
6.375%, 03/01/2041 | 1,865 | 2,157 | ||||||
6.350%, 03/15/2040 | 510 | 583 | ||||||
5.150%, 03/15/2042 | 7,090 | 7,121 | ||||||
Discovery Communications | ||||||||
4.950%, 05/15/2042 | 700 | 761 | ||||||
Home Depot | ||||||||
5.950%, 04/01/2041 | 2,250 | 3,070 | ||||||
Lowe’s MTN | ||||||||
7.110%, 05/15/2037 | 1,892 | 2,602 | ||||||
5.125%, 11/15/2041 | 2,580 | 3,038 | ||||||
4.650%, 04/15/2042 | 320 | 358 | ||||||
Macy’s Retail Holdings | ||||||||
7.450%, 07/15/2017 | 40 | 50 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
McDonald’s MTN | ||||||||
6.300%, 03/01/2038 | $ | 2,500 | $ | 3,529 | ||||
4.875%, 07/15/2040 | 650 | 782 | ||||||
3.700%, 02/15/2042 | 745 | 753 | ||||||
NBC Universal Media | ||||||||
5.950%, 04/01/2041 | 5,080 | 6,215 | ||||||
4.450%, 01/15/2043 | 3,780 | 3,792 | ||||||
4.375%, 04/01/2021 | 65 | 74 | ||||||
News America | ||||||||
8.150%, 10/17/2036 | 1,181 | 1,636 | ||||||
7.430%, 10/01/2026 | 1,450 | 1,918 | ||||||
7.125%, 04/08/2028 | 400 | 499 | ||||||
6.900%, 08/15/2039 | 1,500 | 2,002 | ||||||
6.750%, 01/09/2038 | 3,010 | 3,723 | ||||||
6.650%, 11/15/2037 | 6,220 | 8,001 | ||||||
6.400%, 12/15/2035 | 1,500 | 1,876 | ||||||
6.150%, 02/15/2041 | 2,450 | 3,083 | ||||||
Target | ||||||||
7.000%, 01/15/2038 | 4,160 | 6,143 | ||||||
6.650%, 08/01/2028 | 325 | 421 | ||||||
4.000%, 07/01/2042 | 1,400 | 1,439 | ||||||
TCI Communications | ||||||||
7.875%, 02/15/2026 | 900 | 1,295 | ||||||
Time Warner | ||||||||
7.700%, 05/01/2032 | 3,470 | 4,841 | ||||||
7.625%, 04/15/2031 | 4,320 | 5,928 | ||||||
6.250%, 03/29/2041 | 3,256 | 4,089 | ||||||
5.375%, 10/15/2041 | 11,250 | 12,713 | ||||||
4.900%, 06/15/2042 | 1,600 | 1,707 | ||||||
Time Warner Cable | ||||||||
8.250%, 02/14/2014 | 75 | 82 | ||||||
7.300%, 07/01/2038 | 100 | 134 | ||||||
6.550%, 05/01/2037 | 30 | 37 | ||||||
5.875%, 11/15/2040 | 9,680 | 11,206 | ||||||
5.500%, 09/01/2041 | 7,610 | 8,461 | ||||||
4.500%, 09/15/2042 | 1,665 | 1,625 | ||||||
Time Warner Entertainment | ||||||||
8.375%, 03/15/2023 | 530 | 757 | ||||||
8.375%, 07/15/2033 | 4,175 | 6,086 | ||||||
Viacom | ||||||||
6.875%, 04/30/2036 | 2,900 | 3,963 | ||||||
4.500%, 02/27/2042 | 471 | 471 | ||||||
4.375%, 03/15/2043 (A) | 2,130 | 2,062 | ||||||
Wal-Mart Stores | ||||||||
7.550%, 02/15/2030 | 1,010 | 1,510 | ||||||
6.500%, 08/15/2037 | 855 | 1,217 | ||||||
5.625%, 04/01/2040 | 4,500 | 5,906 | ||||||
5.625%, 04/15/2041 | 7,620 | 10,134 | ||||||
5.000%, 10/25/2040 | 13,180 | 16,092 | ||||||
Walt Disney MTN | ||||||||
4.125%, 12/01/2041 | 100 | 107 | ||||||
2.350%, 12/01/2022 | 3,960 | 3,975 | ||||||
Yum! Brands | ||||||||
6.875%, 11/15/2037 | 1,440 | 2,018 | ||||||
|
| |||||||
220,357 | ||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 141 |
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Corporate Bond Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Consumer Staples — 6.2% |
| |||||||
Ahold Finance USA | ||||||||
6.875%, 05/01/2029 | $ | 635 | $ | 820 | ||||
Altria Group | ||||||||
10.200%, 02/06/2039 | 1,500 | 2,527 | ||||||
9.950%, 11/10/2038 | 910 | 1,505 | ||||||
4.250%, 08/09/2042 | 65 | 65 | ||||||
Anheuser-Busch | ||||||||
6.450%, 09/01/2037 | 2,300 | 3,198 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
8.200%, 01/15/2039 | 3,770 | 6,199 | ||||||
8.000%, 11/15/2039 | 610 | 990 | ||||||
6.375%, 01/15/2040 | 210 | 295 | ||||||
3.750%, 07/15/2042 | 7,295 | 7,360 | ||||||
Bestfoods | ||||||||
7.250%, 12/15/2026 | 170 | 253 | ||||||
Bowdoin College | ||||||||
4.693%, 07/01/2112 | 5,275 | 5,323 | ||||||
Campbell Soup | ||||||||
3.800%, 08/02/2042 | 2,725 | 2,725 | ||||||
Cargill | ||||||||
4.100%, 11/01/2042 (A) | 1,750 | 1,768 | ||||||
Diageo Capital | ||||||||
5.875%, 09/30/2036 | 485 | 626 | ||||||
Diageo Investment | ||||||||
4.250%, 05/11/2042 | 1,130 | 1,226 | ||||||
Dr. Pepper Snapple Group | ||||||||
7.450%, 05/01/2038 | 395 | 586 | ||||||
Energizer Holdings | ||||||||
4.700%, 05/19/2021 | 730 | 788 | ||||||
Estee Lauder | ||||||||
3.700%, 08/15/2042 | 3,335 | 3,253 | ||||||
General Mills | ||||||||
5.400%, 06/15/2040 | 505 | 633 | ||||||
Heineken | ||||||||
4.000%, 10/01/2042 (A) | 4,330 | 4,191 | ||||||
HJ Heinz Finance | ||||||||
7.125%, 08/01/2039 (A) | 2,775 | 3,877 | ||||||
Kellogg | ||||||||
3.125%, 05/17/2022 | 1,135 | 1,191 | ||||||
Kimberly-Clark | ||||||||
5.300%, 03/01/2041 | 555 | 728 | ||||||
Kraft Foods | ||||||||
7.000%, 08/11/2037 | 1,045 | 1,448 | ||||||
6.875%, 02/01/2038 | 5,170 | 7,105 | ||||||
6.875%, 01/26/2039 | 1,375 | 1,908 | ||||||
6.500%, 02/09/2040 | 5,775 | 7,811 | ||||||
5.000%, 06/04/2042 (A) | 5,865 | 6,579 | ||||||
Kroger | ||||||||
5.000%, 04/15/2042 | 1,705 | 1,842 | ||||||
Lorillard Tobacco | ||||||||
7.000%, 08/04/2041 | 1,560 | 1,888 | ||||||
Mead Johnson Nutrition | ||||||||
5.900%, 11/01/2039 | 620 | 767 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Molson Coors Brewing | ||||||||
5.000%, 05/01/2042 | $ | 1,400 | $ | 1,570 | ||||
Pepsi Bottling Group | ||||||||
7.000%, 03/01/2029 | 350 | 512 | ||||||
PepsiCo | ||||||||
5.500%, 01/15/2040 | 2,145 | 2,750 | ||||||
4.875%, 11/01/2040 | 1,300 | 1,529 | ||||||
4.000%, 03/05/2042 | 5,045 | 5,277 | ||||||
3.000%, 08/25/2021 | 16 | 17 | ||||||
2.750%, 03/05/2022 | 415 | 430 | ||||||
Pernod-Ricard | ||||||||
5.500%, 01/15/2042 (A) | 1,750 | 2,023 | ||||||
Philip Morris International | ||||||||
6.375%, 05/16/2038 | 420 | 582 | ||||||
4.500%, 03/20/2042 | 5,540 | 6,076 | ||||||
3.875%, 08/21/2042 | 1,590 | 1,614 | ||||||
President and Fellows of Harvard College | ||||||||
6.500%, 01/15/2039 (A) | 40 | 60 | ||||||
5.625%, 10/01/2038 | 1,390 | 1,863 | ||||||
Ralcorp Holdings | ||||||||
6.625%, 08/15/2039 | 2,500 | 2,982 | ||||||
SABMiller | ||||||||
5.700%, 01/15/2014 (A) | 15 | 16 | ||||||
SABMiller Holdings | ||||||||
4.950%, 01/15/2042 (A) | 5,915 | 6,831 | ||||||
Tufts University | ||||||||
5.017%, 04/15/2112 | 3,314 | 3,781 | ||||||
Unilever Capital | ||||||||
5.900%, 11/15/2032 | 1,225 | 1,714 | ||||||
University of Notre Dame | ||||||||
3.720%, 03/01/2043 | 2,000 | 2,025 | ||||||
|
| |||||||
121,127 | ||||||||
|
| |||||||
Energy — 11.9% |
| |||||||
Anadarko Petroleum | ||||||||
6.450%, 09/15/2036 | 2,000 | 2,511 | ||||||
Apache | ||||||||
6.900%, 09/15/2018 | 10 | 13 | ||||||
5.100%, 09/01/2040 | 3,525 | 4,061 | ||||||
4.750%, 04/15/2043 | 2,290 | 2,507 | ||||||
4.250%, 01/15/2044 | 6,165 | 6,282 | ||||||
BG Energy Capital | ||||||||
5.125%, 10/15/2041 (A) | 5,540 | 6,516 | ||||||
Canadian Natural Resources | ||||||||
6.750%, 02/01/2039 | 2,660 | 3,656 | ||||||
6.250%, 03/15/2038 | 1,500 | 1,951 | ||||||
Cenovus Energy | ||||||||
6.750%, 11/15/2039 | 5,030 | 6,719 | ||||||
4.450%, 09/15/2042 | 770 | 801 | ||||||
CenterPoint Energy Resources | ||||||||
6.625%, 11/01/2037 | 1,925 | 2,609 | ||||||
4.500%, 01/15/2021 | 40 | 46 | ||||||
CNOOC Finance 2012 | ||||||||
3.875%, 05/02/2022 (A) | 2,500 | 2,696 |
142 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Conoco Funding | ||||||||
7.250%, 10/15/2031 | $ | 890 | $ | 1,335 | ||||
6.950%, 04/15/2029 | 1,840 | 2,605 | ||||||
ConocoPhillips | ||||||||
6.500%, 02/01/2039 | 9,750 | 13,862 | ||||||
5.900%, 05/15/2038 | 2,400 | 3,179 | ||||||
ConocoPhillips Canada Funding I | ||||||||
5.950%, 10/15/2036 | 1,040 | 1,352 | ||||||
Devon Energy | ||||||||
7.950%, 04/15/2032 | 715 | 1,051 | ||||||
6.300%, 01/15/2019 | 50 | 63 | ||||||
5.600%, 07/15/2041 | 2,620 | 3,153 | ||||||
4.750%, 05/15/2042 | 1,940 | 2,087 | ||||||
Devon Energy Financing | ||||||||
7.875%, 09/30/2031 | 145 | 212 | ||||||
Diamond Offshore Drilling | ||||||||
5.700%, 10/15/2039 | 4,000 | 5,208 | ||||||
El Paso Natural Gas | ||||||||
8.375%, 06/15/2032 | 1,320 | 1,905 | ||||||
7.500%, 11/15/2026 | 725 | 980 | ||||||
Encana | ||||||||
6.625%, 08/15/2037 | 705 | 879 | ||||||
5.150%, 11/15/2041 | 1,220 | 1,290 | ||||||
Eni | ||||||||
5.700%, 10/01/2040 (A) | 2,120 | 2,246 | ||||||
Eni USA | ||||||||
7.300%, 11/15/2027 | 1,515 | 2,088 | ||||||
Enterprise Products Operating | ||||||||
6.650%, 10/15/2034 | 2,760 | 3,446 | ||||||
5.950%, 02/01/2041 | 85 | 99 | ||||||
5.700%, 02/15/2042 | 6,280 | 7,249 | ||||||
4.850%, 08/15/2042 | 1,840 | 1,917 | ||||||
4.450%, 02/15/2043 | 1,040 | 1,028 | ||||||
Gulf South Pipeline | ||||||||
4.000%, 06/15/2022 (A) | 2,650 | 2,829 | ||||||
Halliburton | ||||||||
7.600%, 08/15/2096 (A) | 925 | 1,437 | ||||||
Hess | ||||||||
7.875%, 10/01/2029 | 3,500 | 4,914 | ||||||
5.600%, 02/15/2041 | 1,860 | 2,188 | ||||||
Husky Energy | ||||||||
6.800%, 09/15/2037 | 1,655 | 2,193 | ||||||
Kinder Morgan Energy Partners | ||||||||
6.950%, 01/15/2038 | 1,700 | 2,160 | ||||||
6.375%, 03/01/2041 | 4,200 | 5,179 | ||||||
5.000%, 08/15/2042 | 90 | 92 | ||||||
3.950%, 09/01/2022 | 975 | 1,040 | ||||||
Marathon Oil | ||||||||
6.600%, 10/01/2037 | 2,365 | 3,188 | ||||||
2.800%, 11/01/2022 | 1,225 | 1,228 | ||||||
Marathon Petroleum | ||||||||
6.500%, 03/01/2041 | 4,100 | 5,096 | ||||||
Motiva Enterprises | ||||||||
6.850%, 01/15/2040 (A) | 5,805 | 8,055 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Nexen | ||||||||
7.500%, 07/30/2039 | $ | 2,070 | $ | 2,987 | ||||
Noble Energy | ||||||||
4.150%, 12/15/2021 | 855 | 938 | ||||||
Noble Holding International | ||||||||
3.950%, 03/15/2022 | 11 | 12 | ||||||
ONEOK Partners | ||||||||
6.850%, 10/15/2037 | 135 | 173 | ||||||
Panhandle Eastern Pipeline | ||||||||
8.125%, 06/01/2019 | 1,000 | 1,253 | ||||||
Petrobras International Finance | ||||||||
6.750%, 01/27/2041 | 830 | 1,049 | ||||||
Petro-Canada | ||||||||
7.875%, 06/15/2026 | 20 | 29 | ||||||
6.800%, 05/15/2038 | 1,745 | 2,353 | ||||||
Phillips 66 | ||||||||
5.875%, 05/01/2042 (A) | 5,725 | 6,884 | ||||||
Plains All American Pipeline | ||||||||
5.150%, 06/01/2042 | 1,000 | 1,140 | ||||||
Rosneft Oil via Rosneft International Finance | ||||||||
4.199%, 03/06/2022 (A) | 750 | 750 | ||||||
Schlumberger Investment | ||||||||
3.300%, 09/14/2021 (A) | 850 | 915 | ||||||
Shell International Finance | ||||||||
6.375%, 12/15/2038 | 3,585 | 5,167 | ||||||
5.500%, 03/25/2040 | 2,500 | 3,269 | ||||||
3.625%, 08/21/2042 | 2,165 | 2,186 | ||||||
Sinopec Group Overseas Development 2012 | ||||||||
3.900%, 05/17/2022 (A) | 1,750 | 1,899 | ||||||
Southern Natural Gas | ||||||||
8.000%, 03/01/2032 | 400 | 590 | ||||||
7.350%, 02/15/2031 | 1,060 | 1,450 | ||||||
Spectra Energy Capital | ||||||||
7.500%, 09/15/2038 | 1,000 | 1,397 | ||||||
6.750%, 02/15/2032 | 1,000 | 1,259 | ||||||
Statoil | ||||||||
6.500%, 12/01/2028 (A) | 1,105 | 1,525 | ||||||
5.250%, 04/15/2019 | 50 | 60 | ||||||
3.150%, 01/23/2022 | 1,005 | 1,072 | ||||||
2.450%, 01/17/2023 | 3,325 | 3,317 | ||||||
Suncor Energy | ||||||||
7.150%, 02/01/2032 | 625 | 853 | ||||||
6.850%, 06/01/2039 | 1,640 | 2,249 | ||||||
6.500%, 06/15/2038 | 2,340 | 3,093 | ||||||
Talisman Energy | ||||||||
6.250%, 02/01/2038 | 2,310 | 2,781 | ||||||
5.500%, 05/15/2042 | 2,500 | 2,830 | ||||||
Tennessee Gas Pipeline | ||||||||
8.375%, 06/15/2032 | 3,000 | 4,429 | ||||||
7.000%, 10/15/2028 | 3,590 | 4,980 | ||||||
Texas Eastern Transmission | ||||||||
7.000%, 07/15/2032 | 1,000 | 1,357 | ||||||
2.800%, 10/15/2022 (A) | 2,470 | 2,500 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 143 |
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Corporate Bond Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Total Capital International | ||||||||
2.700%, 01/25/2023 | $ | 2,475 | $ | 2,533 | ||||
TransCanada Pipelines | ||||||||
7.625%, 01/15/2039 | 1,300 | 1,982 | ||||||
7.250%, 08/15/2038 | 1,490 | 2,188 | ||||||
6.100%, 06/01/2040 | 2,705 | 3,619 | ||||||
Transcontinental Gas Pipeline | ||||||||
7.250%, 12/01/2026 | 880 | 1,285 | ||||||
5.400%, 08/15/2041 | 1,370 | 1,645 | ||||||
4.450%, 08/01/2042 (A) | 650 | 681 | ||||||
Valero Energy | ||||||||
10.500%, 03/15/2039 | 1,160 | 1,848 | ||||||
6.625%, 06/15/2037 | 2,000 | 2,427 | ||||||
6.125%, 02/01/2020 | 1,574 | 1,916 | ||||||
Weatherford International | ||||||||
5.950%, 04/15/2042 | 4,395 | 4,431 | ||||||
Williams | ||||||||
7.750%, 06/15/2031 | 2,568 | 3,237 | ||||||
7.500%, 01/15/2031 | 60 | 74 | ||||||
Williams Partners | ||||||||
4.000%, 11/15/2021 | 375 | 403 | ||||||
|
| |||||||
232,216 | ||||||||
|
| |||||||
Financials — 25.5% |
| |||||||
ABB Treasury Center USA | ||||||||
4.000%, 06/15/2021 (A) | 1,840 | 2,057 | ||||||
ACE INA Holdings | ||||||||
6.700%, 05/15/2036 | 2,000 | 2,840 | ||||||
Aflac | ||||||||
6.900%, 12/17/2039 | 4,000 | 5,228 | ||||||
AIG SunAmerica Global Financing X | ||||||||
6.900%, 03/15/2032 (A) | 4,890 | 6,552 | ||||||
Alexandria Real Estate Equities‡ | ||||||||
4.600%, 04/01/2022 | 2,150 | 2,314 | ||||||
Allstate | ||||||||
5.550%, 05/09/2035 | 185 | 227 | ||||||
5.200%, 01/15/2042 | 5,220 | 6,241 | ||||||
Alta Wind Holdings | ||||||||
7.000%, 06/30/2035 (A) | 2,000 | 2,152 | ||||||
American Express | ||||||||
8.150%, 03/19/2038 | 3,105 | 5,221 | ||||||
American Express Credit MTN | ||||||||
2.800%, 09/19/2016 | 33 | 35 | ||||||
American International Group | ||||||||
8.175%, 05/15/2058 (B) | 1,560 | 1,950 | ||||||
Anadarko Finance | ||||||||
7.500%, 05/01/2031 | 3,085 | 4,123 | ||||||
ASIF Global Financing XIX | ||||||||
4.900%, 01/17/2013 (A) | 100 | 100 | ||||||
Assurant | ||||||||
6.750%, 02/15/2034 | 1,750 | 2,012 | ||||||
Bank of America MTN | ||||||||
6.000%, 10/15/2036 | 7,380 | 9,001 | ||||||
5.700%, 01/24/2022 | 1,580 | 1,922 | ||||||
5.000%, 05/13/2021 | 5,450 | 6,250 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bank of New York Mellon MTN | ||||||||
4.600%, 01/15/2020 | $ | 50 | $ | 58 | ||||
4.150%, 02/01/2021 | 50 | 56 | ||||||
Barclays Bank | ||||||||
5.200%, 07/10/2014 | 150 | 160 | ||||||
2.750%, 02/23/2015 | 100 | 104 | ||||||
Bear Stearns | ||||||||
6.400%, 10/02/2017 | 3,760 | 4,548 | ||||||
Berkshire Hathaway | ||||||||
3.750%, 08/15/2021 | 98 | 109 | ||||||
3.400%, 01/31/2022 | 116 | 125 | ||||||
Berkshire Hathaway Finance | ||||||||
5.750%, 01/15/2040 | 2,455 | 3,063 | ||||||
4.400%, 05/15/2042 | 5,000 | 5,229 | ||||||
2.450%, 12/15/2015 | 13 | 14 | ||||||
Blackstone Holdings Finance (A) | ||||||||
6.625%, 08/15/2019 | 2,946 | 3,442 | ||||||
6.250%, 08/15/2042 | 3,615 | 3,986 | ||||||
Boston Properties‡ | ||||||||
3.850%, 02/01/2023 | 1,750 | 1,860 | ||||||
BRE Properties‡ | ||||||||
5.500%, 03/15/2017 | 750 | 855 | ||||||
Camden Property Trust‡ | ||||||||
4.625%, 06/15/2021 | 2,500 | 2,786 | ||||||
CDP Financial | ||||||||
5.600%, 11/25/2039 (A) | 4,795 | 6,110 | ||||||
Chase Capital VI | ||||||||
0.938%, 08/01/2028 (B) | 2,695 | 2,108 | ||||||
Chubb | ||||||||
6.500%, 05/15/2038 | 2,275 | 3,194 | ||||||
Citigroup | ||||||||
8.125%, 07/15/2039 | 1,145 | 1,730 | ||||||
6.875%, 03/05/2038 | 12,202 | 16,344 | ||||||
6.875%, 02/15/2098 | 2,545 | 3,113 | ||||||
6.125%, 08/25/2036 | 3,575 | 3,955 | ||||||
5.875%, 05/29/2037 | 5,141 | 6,253 | ||||||
5.850%, 12/11/2034 | 142 | 171 | ||||||
5.500%, 02/15/2017 | 3,325 | 3,690 | ||||||
CNA Financial | ||||||||
5.875%, 08/15/2020 | 25 | 29 | ||||||
Commonwealth Bank of Australia | ||||||||
5.000%, 10/15/2019 (A) | 2,500 | 2,925 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
5.800%, 09/30/2110 (A) | 4,875 | 5,774 | ||||||
5.250%, 05/24/2041 | 255 | 302 | ||||||
4.500%, 01/11/2021 | 75 | 85 | ||||||
3.875%, 02/08/2022 | 125 | 136 | ||||||
Credit Suisse NY MTN | ||||||||
5.400%, 01/14/2020 | 270 | 304 | ||||||
DDR‡ | ||||||||
4.625%, 07/15/2022 | 1,610 | 1,753 | ||||||
Deutsche Bank Capital Funding Trust | ||||||||
5.628%, 01/19/2049 (A) (B) | 2,250 | 2,095 |
144 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Deutsche Bank Financial MTN | ||||||||
5.375%, 03/02/2015 | $ | 25 | $ | 26 | ||||
Devon OEI Operating | ||||||||
7.500%, 09/15/2027 | 735 | 1,093 | ||||||
Discover Bank | ||||||||
8.700%, 11/18/2019 | 474 | 628 | ||||||
7.000%, 04/15/2020 | 250 | 314 | ||||||
Discover Financial Services | ||||||||
3.850%, 11/21/2022 (A) | 1,526 | 1,538 | ||||||
Duke Realty‡ | ||||||||
3.875%, 10/15/2022 | 925 | 945 | ||||||
ERP Operating‡ | ||||||||
4.625%, 12/15/2021 | 55 | 62 | ||||||
Farmers Exchange Capital | ||||||||
7.050%, 07/15/2028 (A) | 5,000 | 6,264 | ||||||
Farmers Insurance Exchange | ||||||||
8.625%, 05/01/2024 (A) | 250 | 345 | ||||||
First Union | ||||||||
7.575%, 08/01/2026 (C) | 2,375 | 3,313 | ||||||
FleetBoston Financial | ||||||||
6.875%, 01/15/2028 | 3,250 | 3,697 | ||||||
FMR | ||||||||
6.500%, 12/14/2040 (A) | 1,000 | 1,253 | ||||||
General Electric Capital MTN | ||||||||
6.875%, 01/10/2039 | 14,055 | 19,070 | ||||||
6.750%, 03/15/2032 | 8,455 | 11,032 | ||||||
6.000%, 08/07/2019 | 150 | 183 | ||||||
5.875%, 01/14/2038 | 13,860 | 16,804 | ||||||
5.625%, 09/15/2017 | 125 | 148 | ||||||
5.625%, 05/01/2018 | 200 | 238 | ||||||
4.625%, 01/07/2021 | 650 | 738 | ||||||
Goldman Sachs Group | ||||||||
6.750%, 10/01/2037 | 8,540 | 9,503 | ||||||
6.250%, 09/01/2017 | 600 | 701 | ||||||
6.250%, 02/01/2041 | 6,855 | 8,332 | ||||||
6.150%, 04/01/2018 | 1,100 | 1,285 | ||||||
6.125%, 02/15/2033 | 9,085 | 10,514 | ||||||
5.950%, 01/15/2027 | 3,350 | 3,604 | ||||||
5.375%, 03/15/2020 | 175 | 200 | ||||||
5.250%, 07/27/2021 | 123 | 141 | ||||||
3.700%, 08/01/2015 | 55 | 58 | ||||||
Guardian Life Insurance of America | ||||||||
7.375%, 09/30/2039 (A) | 3,500 | 4,791 | ||||||
Hartford Financial Services Group | ||||||||
6.625%, 03/30/2040 | 1,870 | 2,333 | ||||||
6.625%, 04/15/2042 | 3,030 | 3,800 | ||||||
6.100%, 10/01/2041 | 2,620 | 3,062 | ||||||
Heathrow Funding | ||||||||
4.875%, 07/15/2021 (A) | 2,500 | 2,752 | ||||||
HBOS MTN | ||||||||
6.750%, 05/21/2018 (A) | 2,000 | 2,125 | ||||||
HCP‡ | ||||||||
6.750%, 02/01/2041 | 4,500 | 5,813 | ||||||
3.750%, 02/01/2019 | 17 | 18 | ||||||
3.150%, 08/01/2022 | 100 | 98 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Health Care‡ | ||||||||
6.500%, 03/15/2041 | $ | 4,500 | $ | 5,369 | ||||
5.125%, 03/15/2043 | 1,370 | 1,348 | ||||||
3.750%, 03/15/2023 | 3,404 | 3,408 | ||||||
Healthcare Realty Trust‡ | ||||||||
5.750%, 01/15/2021 | 1,275 | 1,428 | ||||||
HSBC Bank | ||||||||
4.750%, 01/19/2021 (A) | 150 | 175 | ||||||
HSBC Bank USA MTN | ||||||||
7.000%, 01/15/2039 | 1,825 | 2,463 | ||||||
5.875%, 11/01/2034 | 235 | 275 | ||||||
5.625%, 08/15/2035 | 1,785 | 2,052 | ||||||
HSBC Holdings | ||||||||
6.800%, 06/01/2038 | 2,240 | 2,821 | ||||||
6.500%, 09/15/2037 | 5,990 | 7,307 | ||||||
6.100%, 01/14/2042 | 265 | 354 | ||||||
5.100%, 04/05/2021 | 2,000 | 2,376 | ||||||
HSBC Holdings, Ser 2006 | ||||||||
6.500%, 05/02/2036 | 1,115 | 1,351 | ||||||
International Lease Finance (A) | ||||||||
7.125%, 09/01/2018 | 1,500 | 1,736 | ||||||
6.750%, 09/01/2016 | 3,700 | 4,126 | ||||||
JPMorgan Chase | ||||||||
6.400%, 05/15/2038 | 6,150 | 8,300 | ||||||
5.600%, 07/15/2041 | 3,000 | 3,730 | ||||||
5.400%, 01/06/2042 | 8,830 | 10,701 | ||||||
4.500%, 01/24/2022 | 460 | 520 | ||||||
KKR Group Finance | ||||||||
6.375%, 09/29/2020 (A) | 3,095 | 3,624 | ||||||
Liberty Mutual Group | ||||||||
6.500%, 05/01/2042 (A) | 5,750 | 6,367 | ||||||
Lincoln National | ||||||||
6.300%, 10/09/2037 | 220 | 262 | ||||||
6.150%, 04/07/2036 | 95 | 110 | ||||||
Macquarie Bank MTN (A) | ||||||||
6.625%, 04/07/2021 | 2,500 | 2,751 | ||||||
5.000%, 02/22/2017 | 65 | 71 | ||||||
Macquarie Group (A) | ||||||||
7.300%, 08/01/2014 | 50 | 54 | ||||||
6.250%, 01/14/2021 | 40 | 44 | ||||||
6.000%, 01/14/2020 | 100 | 109 | ||||||
Massachusetts Mutual Life Insurance | ||||||||
8.875%, 06/01/2039 (A) | 4,035 | 6,203 | ||||||
Merrill Lynch | ||||||||
7.750%, 05/14/2038 | 1,770 | 2,315 | ||||||
6.110%, 01/29/2037 | 2,265 | 2,513 | ||||||
MetLife | ||||||||
10.750%, 08/01/2039 | 405 | 619 | ||||||
7.800%, 11/01/2025 (A) | 2,000 | 2,663 | ||||||
6.500%, 12/15/2032 | 350 | 459 | ||||||
6.400%, 12/15/2036 | 2,000 | 2,125 | ||||||
6.375%, 06/15/2034 | 320 | 420 | ||||||
5.875%, 02/06/2041 | 4,145 | 5,261 | ||||||
4.125%, 08/13/2042 | 1,055 | 1,052 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 145 |
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Corporate Bond Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MetLife Global Funding I MTN | ||||||||
3.125%, 01/11/2016 (A) | $ | 100 | $ | 106 | ||||
Morgan Stanley | ||||||||
7.250%, 04/01/2032 | 2,035 | 2,537 | ||||||
6.625%, 04/01/2018 | 2,700 | 3,144 | ||||||
6.375%, 07/24/2042 | 8,600 | 10,074 | ||||||
6.250%, 08/28/2017 | 200 | 225 | ||||||
6.250%, 08/09/2026 | 190 | 220 | ||||||
6.000%, 04/28/2015 | 100 | 109 | ||||||
5.950%, 12/28/2017 | 100 | 113 | ||||||
National Australia Bank | ||||||||
3.750%, 03/02/2015 (A) | 100 | 106 | ||||||
3.000%, 07/27/2016 (A) | 150 | 159 | ||||||
National City | ||||||||
4.900%, 01/15/2015 | 50 | 54 | ||||||
National Rural Utilities Cooperative Finance MTN | ||||||||
8.000%, 03/01/2032 | 620 | 936 | ||||||
Nationwide Mutual Insurance (A) | ||||||||
9.375%, 08/15/2039 | 550 | 792 | ||||||
6.600%, 04/15/2034 | 1,767 | 1,784 | ||||||
New York Life Global Funding (A) | ||||||||
5.375%, 09/15/2013 | 50 | 52 | ||||||
2.450%, 07/14/2016 | 50 | 52 | ||||||
New York Life Insurance | ||||||||
6.750%, 11/15/2039 (A) | 10,095 | 14,245 | ||||||
Northwestern Mutual Life Insurance | ||||||||
6.063%, 03/30/2040 (A) | 4,155 | 5,455 | ||||||
Pacific Life Insurance | ||||||||
9.250%, 06/15/2039 (A) | 25 | 35 | ||||||
PNC Bank | ||||||||
2.700%, 11/01/2022 | 1,520 | 1,526 | ||||||
PNC Financial Services Group | ||||||||
2.854%, 11/09/2022 (C) | 485 | 495 | ||||||
PNC Funding | ||||||||
6.700%, 06/10/2019 | 100 | 129 | ||||||
5.125%, 02/08/2020 | 575 | 688 | ||||||
Post Apartment Homes | ||||||||
3.375%, 12/01/2022 | 1,100 | 1,112 | ||||||
Principal Financial Group | ||||||||
4.625%, 09/15/2042 | 2,575 | 2,653 | ||||||
Prudential Financial MTN | ||||||||
6.625%, 06/21/2040 | 1,000 | 1,281 | ||||||
6.200%, 11/15/2040 | 895 | 1,093 | ||||||
5.700%, 12/14/2036 | 2,325 | 2,643 | ||||||
Prudential Holdings | ||||||||
8.695%, 12/18/2023 (A) | 4,000 | 5,293 | ||||||
Prudential Insurance of America | ||||||||
8.300%, 07/01/2025 (A) | 1,330 | 1,809 | ||||||
Raymond James Financial | ||||||||
5.625%, 04/01/2024 | 1,950 | 2,197 | ||||||
Realty Income‡ | ||||||||
3.250%, 10/15/2022 | 2,775 | 2,750 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Siemens Financieringsmaatschappij | ||||||||
6.125%, 08/17/2026 (A) | $ | 470 | $ | 617 | ||||
Simon Property Group‡ | ||||||||
10.350%, 04/01/2019 | 1,995 | 2,881 | ||||||
6.750%, 02/01/2040 | 3,000 | 4,128 | ||||||
4.750%, 03/15/2042 | 2,395 | 2,580 | ||||||
4.375%, 03/01/2021 | 100 | 114 | ||||||
SL Green Realty‡ | ||||||||
5.000%, 08/15/2018 | 3,000 | 3,247 | ||||||
Swiss Re Treasury US | ||||||||
4.250%, 12/06/2042 (A) | 2,581 | 2,564 | ||||||
Sydney Airport Finance Pty | ||||||||
3.900%, 03/22/2023 (A) | 2,500 | 2,547 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.850%, 12/16/2039 (A) | 4,690 | 6,487 | ||||||
Toyota Motor Credit MTN | ||||||||
3.400%, 09/15/2021 | 1,710 | 1,884 | ||||||
Travelers | ||||||||
6.250%, 06/15/2037 | 245 | 331 | ||||||
5.350%, 11/01/2040 | 2,255 | 2,839 | ||||||
Turlock | ||||||||
4.000%, 11/02/2032 (A) | 4,660 | 4,744 | ||||||
UBS MTN | ||||||||
5.750%, 04/25/2018 | 200 | 239 | ||||||
US Bancorp | ||||||||
4.125%, 05/24/2021 | 22 | 25 | ||||||
Ventas Realty‡ | ||||||||
4.750%, 06/01/2021 | 2,000 | 2,222 | ||||||
4.000%, 04/30/2019 | 3,250 | 3,498 | ||||||
Verizon Global Funding | ||||||||
7.750%, 12/01/2030 | 590 | 868 | ||||||
Wachovia | ||||||||
5.750%, 06/15/2017 | 150 | 178 | ||||||
5.750%, 02/01/2018 | 350 | 422 | ||||||
Wachovia Bank | ||||||||
6.600%, 01/15/2038 | 5,560 | 7,715 | ||||||
6.180%, 02/15/2036 | 1,401 | 1,752 | ||||||
5.850%, 02/01/2037 | 865 | 1,102 | ||||||
WEA Finance | ||||||||
6.750%, 09/02/2019 (A) | 3,000 | 3,714 | ||||||
Weingarten Realty Investors‡ | ||||||||
3.375%, 10/15/2022 | 1,884 | 1,887 | ||||||
Wells Fargo MTN | ||||||||
4.600%, 04/01/2021 | 100 | 116 | ||||||
3.500%, 03/08/2022 | 525 | 566 | ||||||
Wells Fargo Bank | ||||||||
5.950%, 08/26/2036 | 1,400 | 1,805 | ||||||
Weyerhaeuser‡ | ||||||||
7.375%, 03/15/2032 | 500 | 639 | ||||||
ZFS Finance USA Trust II | ||||||||
6.450%, 12/15/2065 (A) (B) | 2,500 | 2,662 | ||||||
|
| |||||||
496,614 | ||||||||
|
|
146 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Health Care — 7.4% |
| |||||||
AbbVie | ||||||||
4.400%, 11/06/2042 (A) | $ | 10,650 | $ | 11,293 | ||||
Aetna | ||||||||
4.500%, 05/15/2042 | 1,115 | 1,173 | ||||||
2.750%, 11/15/2022 | 3,470 | 3,486 | ||||||
Amgen | ||||||||
5.750%, 03/15/2040 | 35 | 42 | ||||||
5.650%, 06/15/2042 | 4,360 | 5,289 | ||||||
5.375%, 05/15/2043 | 3,615 | 4,273 | ||||||
5.150%, 11/15/2041 | 10,020 | 11,428 | ||||||
AstraZeneca | ||||||||
6.450%, 09/15/2037 | 3,745 | 5,149 | ||||||
4.000%, 09/18/2042 | 1,580 | 1,639 | ||||||
Becton Dickinson | ||||||||
3.125%, 11/08/2021 | 385 | 416 | ||||||
Boston Scientific | ||||||||
7.375%, 01/15/2040 | 900 | 1,251 | ||||||
Bristol-Myers Squibb | ||||||||
6.875%, 08/01/2097 | 1,435 | 2,161 | ||||||
Catholic Health Initiatives | ||||||||
4.350%, 11/01/2042 | 1,250 | 1,285 | ||||||
Celgene | ||||||||
5.700%, 10/15/2040 | 2,500 | 2,942 | ||||||
Eli Lilly | ||||||||
7.125%, 06/01/2025 | 410 | 587 | ||||||
Express Scripts Holding | ||||||||
6.125%, 11/15/2041 (A) | 2,070 | 2,655 | ||||||
GlaxoSmithKline Capital | ||||||||
6.375%, 05/15/2038 | 575 | 807 | ||||||
2.850%, 05/08/2022 | 5,090 | 5,332 | ||||||
Highmark (A) | ||||||||
6.125%, 05/15/2041 | 1,000 | 1,058 | ||||||
4.750%, 05/15/2021 | 1,330 | 1,371 | ||||||
Johnson & Johnson | ||||||||
5.950%, 08/15/2037 | 1,040 | 1,461 | ||||||
5.850%, 07/15/2038 | 1,500 | 2,099 | ||||||
Kaiser Foundation Hospitals | ||||||||
4.875%, 04/01/2042 | 4,000 | 4,563 | ||||||
Laboratory Corp of America Holdings | ||||||||
3.750%, 08/23/2022 | 1,400 | 1,491 | ||||||
Mayo Clinic Rochester | ||||||||
3.774%, 11/15/2043 | 2,000 | 1,987 | ||||||
Memorial Sloan-Kettering Cancer Center | ||||||||
5.000%, 07/01/2042 | 1,000 | 1,172 | ||||||
Merck | ||||||||
6.550%, 09/15/2037 | 1,350 | 1,952 | ||||||
6.500%, 12/01/2033 | 490 | 715 | ||||||
5.850%, 06/30/2039 | 3,465 | 4,799 | ||||||
5.760%, 05/03/2037 | 1,100 | 1,469 | ||||||
3.600%, 09/15/2042 | 2,800 | 2,815 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
North Shore Long Island Jewish Health Care | ||||||||
4.800%, 11/01/2042 | $ | 2,400 | $ | 2,580 | ||||
Novartis Capital | ||||||||
3.700%, 09/21/2042 | 830 | 836 | ||||||
NYU Hospitals Center | ||||||||
4.428%, 07/01/2042 | 1,900 | 1,909 | ||||||
Pfizer | ||||||||
7.200%, 03/15/2039 | 3,530 | 5,497 | ||||||
Roche Holdings | ||||||||
7.000%, 03/01/2039 (A) | 9,350 | 14,207 | ||||||
St. Barnabas Health Care System | ||||||||
4.000%, 07/01/2028 | 1,490 | 1,433 | ||||||
Thermo Fisher Scientific | ||||||||
3.150%, 01/15/2023 | 3,340 | 3,438 | ||||||
UnitedHealth Group | ||||||||
6.875%, 02/15/2038 | 1,411 | 1,969 | ||||||
6.625%, 11/15/2037 | 2,500 | 3,389 | ||||||
6.500%, 06/15/2037 | 365 | 486 | ||||||
5.950%, 02/15/2041 | 215 | 274 | ||||||
5.800%, 03/15/2036 | 325 | 399 | ||||||
5.700%, 10/15/2040 | 1,005 | 1,228 | ||||||
4.375%, 03/15/2042 | 70 | 74 | ||||||
3.950%, 10/15/2042 | 1,180 | 1,172 | ||||||
Watson Pharmaceuticals | ||||||||
4.625%, 10/01/2042 | 1,635 | 1,726 | ||||||
3.250%, 10/01/2022 | 760 | 782 | ||||||
WellPoint | ||||||||
5.950%, 12/15/2034 | 697 | 842 | ||||||
5.875%, 06/15/2017 | 50 | 59 | ||||||
5.850%, 01/15/2036 | 670 | 806 | ||||||
4.650%, 01/15/2043 | 5,480 | 5,752 | ||||||
2.375%, 02/15/2017 | 20 | 21 | ||||||
Wyeth | ||||||||
6.000%, 02/15/2036 | 535 | 715 | ||||||
5.950%, 04/01/2037 | 4,625 | 6,203 | ||||||
|
| |||||||
143,957 | ||||||||
|
| |||||||
Industrials — 6.1% |
| |||||||
American Airlines, Pass-Through Trust, Ser 2011-1, Cl A | ||||||||
5.250%, 01/31/2021 | 9 | 10 | ||||||
BAE Systems | ||||||||
5.800%, 10/11/2041 (A) | 3,565 | 4,383 | ||||||
BAE Systems Holdings | ||||||||
5.200%, 08/15/2015 (A) | 15 | 16 | ||||||
Boeing | ||||||||
6.875%, 03/15/2039 | 600 | 926 | ||||||
6.625%, 02/15/2038 | 800 | 1,190 | ||||||
5.875%, 02/15/2040 | 1,990 | 2,754 | ||||||
Burlington Northern Santa Fe | ||||||||
7.290%, 06/01/2036 | 2,228 | 3,055 | ||||||
6.150%, 05/01/2037 | 3,140 | 4,144 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 147 |
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Corporate Bond Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.400%, 03/15/2042 | $ | 5,840 | $ | 6,279 | ||||
4.375%, 09/01/2042 | 1,360 | 1,462 | ||||||
Caterpillar | ||||||||
5.200%, 05/27/2041 | 640 | 790 | ||||||
3.803%, 08/15/2042 (A) | 2,126 | 2,131 | ||||||
Continental Airlines Pass-Through Trust, Ser 2007-1, CI A | ||||||||
5.983%, 04/19/2022 | 4,920 | 5,498 | ||||||
Continental Airlines Pass-Through | ||||||||
4.000%, 10/29/2024 | 825 | 869 | ||||||
CSX | ||||||||
4.750%, 05/30/2042 | 3,865 | 4,219 | ||||||
DaimlerChrysler | ||||||||
8.500%, 01/18/2031 | 800 | 1,254 | ||||||
Deere | ||||||||
3.900%, 06/09/2042 | 1,810 | 1,871 | ||||||
Delta Air Lines, Pass-Through Trust, Ser 2009-1, Cl A | ||||||||
7.750%, 12/17/2019 | 1,204 | 1,379 | ||||||
Dover | ||||||||
5.375%, 03/01/2041 | 720 | 931 | ||||||
FedEx | ||||||||
3.875%, 08/01/2042 | 4,037 | 4,062 | ||||||
Ford Motor | ||||||||
7.400%, 11/01/2046 | 3,390 | 4,093 | ||||||
General Dynamics | ||||||||
3.600%, 11/15/2042 | 3,202 | 3,156 | ||||||
General Electric | ||||||||
4.125%, 10/09/2042 | 5,190 | 5,413 | ||||||
Honeywell International | ||||||||
5.700%, 03/15/2037 | 300 | 403 | ||||||
5.375%, 03/01/2041 | 295 | 385 | ||||||
Lockheed Martin | ||||||||
5.720%, 06/01/2040 | 200 | 259 | ||||||
5.500%, 11/15/2039 | 2,730 | 3,304 | ||||||
4.850%, 09/15/2041 | 2,185 | 2,472 | ||||||
Norfolk Southern | ||||||||
6.000%, 03/15/2105 | 2,000 | 2,459 | ||||||
6.000%, 05/23/2111 | 4,825 | 5,923 | ||||||
5.900%, 06/15/2019 | 1,680 | 2,061 | ||||||
5.590%, 05/17/2025 | 37 | 46 | ||||||
2.903%, 02/15/2023 (A) | 223 | 227 | ||||||
Pitney Bowes | ||||||||
6.250%, 03/15/2019 | 15 | 16 | ||||||
Raytheon | ||||||||
4.700%, 12/15/2041 | 300 | 345 | ||||||
Republic Services | ||||||||
5.700%, 05/15/2041 | 3,490 | 4,216 | ||||||
3.550%, 06/01/2022 | 1,425 | 1,503 | ||||||
Stanley Black & Decker | ||||||||
2.900%, 11/01/2022 | 1,430 | 1,464 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Union Pacific | ||||||||
6.625%, 02/01/2029 | $ | 1,345 | $ | 1,846 | ||||
5.780%, 07/15/2040 | 2,000 | 2,571 | ||||||
4.163%, 07/15/2022 | 108 | 123 | ||||||
United Parcel Service | ||||||||
3.625%, 10/01/2042 | 650 | 650 | ||||||
United Technologies | ||||||||
5.700%, 04/15/2040 | 5,480 | 7,310 | ||||||
4.500%, 06/01/2042 | 12,385 | 14,082 | ||||||
US Airways, Pass-Through Trust, Ser 2012-1, Cl A | ||||||||
5.900%, 10/01/2024 | 2,500 | 2,725 | ||||||
Waste Management | ||||||||
7.750%, 05/15/2032 | 200 | 287 | ||||||
7.375%, 03/11/2019 | 25 | 32 | ||||||
7.100%, 08/01/2026 | 130 | 177 | ||||||
6.125%, 11/30/2039 | 1,370 | 1,749 | ||||||
4.600%, 03/01/2021 | 1,645 | 1,880 | ||||||
|
| |||||||
118,400 | ||||||||
|
| |||||||
Information Technology — 2.3% |
| |||||||
Applied Materials | ||||||||
5.850%, 06/15/2041 | 2,300 | 2,865 | ||||||
Cisco Systems | ||||||||
5.500%, 01/15/2040 | 4,015 | 5,115 | ||||||
Corning | ||||||||
5.750%, 08/15/2040 | 345 | 417 | ||||||
4.750%, 03/15/2042 | 70 | 73 | ||||||
eBay | ||||||||
4.000%, 07/15/2042 | 1,175 | 1,145 | ||||||
HP Enterprise Services | ||||||||
6.000%, 08/01/2013 | 85 | 87 | ||||||
Intel | ||||||||
4.800%, 10/01/2041 | 3,895 | 4,325 | ||||||
International Business Machines | ||||||||
6.220%, 08/01/2027 | 3,345 | 4,583 | ||||||
5.875%, 11/29/2032 | 280 | 375 | ||||||
5.600%, 11/30/2039 | 19 | 25 | ||||||
4.000%, 06/20/2042 | 1,193 | 1,264 | ||||||
Intuit | ||||||||
5.750%, 03/15/2017 | 25 | 29 | ||||||
Juniper Networks | ||||||||
5.950%, 03/15/2041 | 3,000 | 3,536 | ||||||
Microsoft | ||||||||
5.300%, 02/08/2041 | 895 | 1,141 | ||||||
4.500%, 10/01/2040 | 250 | 284 | ||||||
3.500%, 11/15/2042 | 4,130 | 4,032 | ||||||
Motorola Solutions | ||||||||
7.500%, 05/15/2025 | 640 | 832 | ||||||
Oracle | ||||||||
6.500%, 04/15/2038 | 3,645 | 5,133 | ||||||
6.125%, 07/08/2039 | 2,110 | 2,861 | ||||||
5.375%, 07/15/2040 | 2,275 | 2,875 |
148 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Telefonaktiebolaget LM Ericsson | ||||||||
4.125%, 05/15/2022 | $ | 4,003 | $ | 4,147 | ||||
|
| |||||||
45,144 | ||||||||
|
| |||||||
Materials — 2.8% |
| |||||||
ArcelorMittal | ||||||||
7.250%, 03/01/2041 | 2,025 | 1,808 | ||||||
Barrick North America Finance LLC | ||||||||
7.500%, 09/15/2038 | 35 | 49 | ||||||
BHP Billiton Finance USA | ||||||||
2.875%, 02/24/2022 | 5,150 | 5,414 | ||||||
Dow Chemical | ||||||||
7.375%, 11/01/2029 | 1,315 | 1,761 | ||||||
5.250%, 11/15/2041 | 350 | 389 | ||||||
4.375%, 11/15/2042 | 4,630 | 4,565 | ||||||
Freeport-McMoRan Copper | ||||||||
3.550%, 03/01/2022 | 3,800 | 3,866 | ||||||
Newcrest Finance | ||||||||
5.750%, 11/15/2041 (A) | 4,387 | 4,698 | ||||||
Newmont Mining | ||||||||
5.875%, 04/01/2035 | 100 | 116 | ||||||
4.875%, 03/15/2042 | 5,250 | 5,487 | ||||||
Rio Tinto Finance USA | ||||||||
9.000%, 05/01/2019 | 150 | 206 | ||||||
5.200%, 11/02/2040 | 320 | 380 | ||||||
4.750%, 03/22/2042 | 205 | 229 | ||||||
4.125%, 08/21/2042 | 1,375 | 1,395 | ||||||
3.500%, 11/02/2020 | 50 | 53 | ||||||
3.500%, 03/22/2022 | 1,295 | 1,378 | ||||||
Rohm & Haas | ||||||||
7.850%, 07/15/2029 | 560 | 764 | ||||||
Southern Copper | ||||||||
7.500%, 07/27/2035 | 1,750 | 2,200 | ||||||
6.750%, 04/16/2040 | 90 | 106 | ||||||
Teck Resources | ||||||||
6.250%, 07/15/2041 | 1,950 | 2,224 | ||||||
5.400%, 02/01/2043 | 4,250 | 4,392 | ||||||
5.200%, 03/01/2042 | 1,040 | 1,026 | ||||||
Union Carbide | ||||||||
7.750%, 10/01/2096 | 25 | 31 | ||||||
Vale | ||||||||
5.625%, 09/11/2042 | 2,290 | 2,473 | ||||||
Vale Overseas | ||||||||
6.875%, 11/21/2036 | 2,000 | 2,475 | ||||||
Xstrata Finance Canada (A) | ||||||||
6.000%, 11/15/2041 | 4,504 | 4,890 | ||||||
5.300%, 10/25/2042 | 1,735 | 1,764 | ||||||
|
| |||||||
54,139 | ||||||||
|
| |||||||
Telecommunication Services — 5.8% |
| |||||||
Alltel | ||||||||
7.875%, 07/01/2032 | 1,045 | 1,647 | ||||||
6.800%, 05/01/2029 | 970 | 1,339 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
America Movil | ||||||||
6.375%, 03/01/2035 | $ | 100 | $ | 132 | ||||
6.125%, 03/30/2040 | 500 | 657 | ||||||
4.375%, 07/16/2042 | 2,190 | 2,273 | ||||||
3.125%, 07/16/2022 | 1,250 | 1,283 | ||||||
AT&T | ||||||||
8.000%, 11/15/2031 | 1,325 | 2,062 | ||||||
6.800%, 05/15/2036 | 70 | 95 | ||||||
6.550%, 02/15/2039 | 3,075 | 4,091 | ||||||
6.500%, 09/01/2037 | 3,910 | 5,119 | ||||||
6.400%, 05/15/2038 | 2,055 | 2,673 | ||||||
6.300%, 01/15/2038 | 11,340 | 14,554 | ||||||
5.600%, 05/15/2018 | 100 | 121 | ||||||
5.550%, 08/15/2041 | 8,055 | 9,660 | ||||||
5.350%, 09/01/2040 | 6,660 | 7,750 | ||||||
3.000%, 02/15/2022 | 50 | 52 | ||||||
BellSouth | ||||||||
6.875%, 10/15/2031 | 105 | 130 | ||||||
6.000%, 11/15/2034 | 130 | 148 | ||||||
5.200%, 09/15/2014 | 50 | 54 | ||||||
Bellsouth Capital Funding | ||||||||
7.875%, 02/15/2030 | 305 | 408 | ||||||
7.120%, 07/15/2097 | 100 | 127 | ||||||
British Telecommunications | ||||||||
9.625%, 12/15/2030 | 2,620 | 4,208 | ||||||
Centel Capital | ||||||||
9.000%, 10/15/2019 | 25 | 30 | ||||||
CenturyLink | ||||||||
7.650%, 03/15/2042 | 3,200 | 3,338 | ||||||
7.600%, 09/15/2039 | 1,285 | 1,331 | ||||||
Deutsche Telekom International Finance | ||||||||
9.250%, 06/01/2032 | 400 | 642 | ||||||
8.750%, 06/15/2030 | 1,845 | 2,777 | ||||||
4.875%, 03/06/2042 (A) | 3,150 | 3,389 | ||||||
France Telecom | ||||||||
5.375%, 01/13/2042 | 1,795 | 2,081 | ||||||
GTE | ||||||||
8.750%, 11/01/2021 | 100 | 142 | ||||||
6.940%, 04/15/2028 | 1,210 | 1,634 | ||||||
Koninklijke KPN | ||||||||
8.375%, 10/01/2030 | 2,575 | 3,466 | ||||||
New Cingular Wireless Services | ||||||||
8.750%, 03/01/2031 | 745 | 1,235 | ||||||
Qwest | ||||||||
7.250%, 09/15/2025 | 1,000 | 1,179 | ||||||
Telecom Italia Capital | ||||||||
7.721%, 06/04/2038 | 2,430 | 2,546 | ||||||
7.200%, 07/18/2036 | 145 | 147 | ||||||
6.175%, 06/18/2014 | 50 | 52 | ||||||
6.000%, 09/30/2034 | 2,000 | 1,845 | ||||||
Telefonica Emisiones | ||||||||
6.421%, 06/20/2016 | 75 | 81 | ||||||
Telefonica Emisiones SAU | ||||||||
6.221%, 07/03/2017 | 65 | 70 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 149 |
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Corporate Bond Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.462%, 02/16/2021 | $ | 152 | $ | 154 | ||||
Verizon Communications | ||||||||
8.750%, 11/01/2018 | 165 | 231 | ||||||
7.350%, 04/01/2039 | 3,000 | 4,522 | ||||||
6.900%, 04/15/2038 | 100 | 142 | ||||||
6.400%, 02/15/2038 | 3,925 | 5,366 | ||||||
6.000%, 04/01/2041 | 3,105 | 4,113 | ||||||
4.750%, 11/01/2041 | 8,040 | 9,188 | ||||||
3.850%, 11/01/2042 | 3,175 | 3,169 | ||||||
Vodafone Group | ||||||||
6.150%, 02/27/2037 | 300 | 403 | ||||||
|
| |||||||
111,856 | ||||||||
|
| |||||||
Utilities — 11.4% |
| |||||||
AGL Capital | ||||||||
6.375%, 07/15/2016 | 100 | 118 | ||||||
5.875%, 03/15/2041 | 2,000 | 2,656 | ||||||
3.500%, 09/15/2021 | 68 | 74 | ||||||
Alabama Power | ||||||||
5.200%, 06/01/2041 | 335 | 417 | ||||||
American Transmission Systems | ||||||||
5.250%, 01/15/2022 (A) | 1,135 | 1,322 | ||||||
American Water Capital | ||||||||
6.085%, 10/15/2017 | 25 | 30 | ||||||
Appalachian Power | ||||||||
7.000%, 04/01/2038 | 600 | 821 | ||||||
6.700%, 08/15/2037 | 50 | 66 | ||||||
5.800%, 10/01/2035 | 125 | 152 | ||||||
4.600%, 03/30/2021 | 605 | 704 | ||||||
Arizona Public Service | ||||||||
8.750%, 03/01/2019 | 2,705 | 3,601 | ||||||
4.500%, 04/01/2042 | 12 | 13 | ||||||
Baltimore Gas & Electric | ||||||||
6.350%, 10/01/2036 | 125 | 169 | ||||||
5.200%, 06/15/2033 | 1,490 | 1,663 | ||||||
Boston Gas | ||||||||
4.487%, 02/15/2042 (A) | 1,325 | 1,421 | ||||||
Bruce Mansfield Unit | ||||||||
6.850%, 06/01/2034 | 1,952 | 2,110 | ||||||
Carolina Power & Light | ||||||||
6.300%, 04/01/2038 | 130 | 180 | ||||||
4.100%, 05/15/2042 | 710 | 749 | ||||||
Cedar Brakes II | ||||||||
9.875%, 09/01/2013 (A) | 253 | 261 | ||||||
CenterPoint Energy | ||||||||
6.500%, 05/01/2018 | 130 | 159 | ||||||
Cleco Power LLC | ||||||||
6.000%, 12/01/2040 | 1,750 | 2,201 | ||||||
Connecticut Light & Power | ||||||||
5.650%, 05/01/2018 | 35 | 42 | ||||||
Consolidated Edison of New York | ||||||||
6.750%, 04/01/2038 | 1,915 | 2,792 | ||||||
6.200%, 06/15/2036 | 145 | 196 | ||||||
5.700%, 06/15/2040 | 100 | 130 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.500%, 12/01/2039 | $ | 75 | $ | 95 | ||||
4.200%, 03/15/2042 | 325 | 345 | ||||||
Detroit Edison | ||||||||
3.950%, 06/15/2042 | 180 | 188 | ||||||
3.900%, 06/01/2021 | 30 | 34 | ||||||
Dominion Resources | ||||||||
5.250%, 08/01/2033 | 5,050 | 5,900 | ||||||
4.900%, 08/01/2041 | 3,235 | 3,747 | ||||||
4.050%, 09/15/2042 | 1,000 | 1,016 | ||||||
DTE Energy | ||||||||
6.375%, 04/15/2033 | 120 | 158 | ||||||
Duke Energy | ||||||||
3.550%, 09/15/2021 | 17 | 18 | ||||||
3.050%, 08/15/2022 | 3,380 | 3,435 | ||||||
2.150%, 11/15/2016 | 25 | 26 | ||||||
Duke Energy Carolinas | ||||||||
6.100%, 06/01/2037 | 2,140 | 2,724 | ||||||
5.300%, 02/15/2040 | 3,840 | 4,641 | ||||||
3.900%, 06/15/2021 | 50 | 57 | ||||||
Duke Energy Carolinas LLC | ||||||||
6.450%, 10/15/2032 | 230 | 303 | ||||||
4.250%, 12/15/2041 | 315 | 335 | ||||||
4.000%, 09/30/2042 | 4,015 | 4,107 | ||||||
Duke Energy Indiana | ||||||||
6.350%, 08/15/2038 | 1,585 | 2,151 | ||||||
Duquesne Light Holdings | ||||||||
6.250%, 08/15/2035 | 2,500 | 2,925 | ||||||
Elm Road Generating Station Supercritical | ||||||||
5.848%, 01/19/2041 (A) | 1,000 | 1,211 | ||||||
Entergy Louisiana | ||||||||
4.800%, 05/01/2021 | 1,000 | 1,152 | ||||||
Entergy Louisiana LLC | ||||||||
4.440%, 01/15/2026 | 1,390 | 1,549 | ||||||
Exelon Generation | ||||||||
6.250%, 10/01/2039 | 4,480 | 5,199 | ||||||
5.750%, 10/01/2041 | 4,350 | 4,816 | ||||||
5.600%, 06/15/2042 (A) | 3,095 | 3,335 | ||||||
5.200%, 10/01/2019 | 100 | 115 | ||||||
FirstEnergy, Ser C | ||||||||
7.375%, 11/15/2031 | 1,750 | 2,296 | ||||||
Florida Power | ||||||||
6.400%, 06/15/2038 | 350 | 481 | ||||||
6.350%, 09/15/2037 | 1,440 | 1,972 | ||||||
Florida Power & Light | ||||||||
5.960%, 04/01/2039 | 2,300 | 3,127 | ||||||
5.690%, 03/01/2040 | 3,013 | 4,011 | ||||||
4.050%, 06/01/2042 | 5,000 | 5,331 | ||||||
Georgia Power | ||||||||
5.650%, 03/01/2037 | 225 | 285 | ||||||
5.400%, 06/01/2040 | 5,570 | 6,874 | ||||||
4.300%, 03/15/2042 | 5,885 | 6,198 | ||||||
Iberdrola Finance Ireland | ||||||||
5.000%, 09/11/2019 (A) | 1,500 | 1,565 |
150 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Indiana Michigan Power | ||||||||
6.050%, 03/15/2037 | $ | 500 | $ | 619 | ||||
Indianapolis Power & Light (A) | ||||||||
6.050%, 10/01/2036 | 710 | 901 | ||||||
4.875%, 11/01/2041 | 1,290 | 1,449 | ||||||
Kansas City Power & Light | ||||||||
5.300%, 10/01/2041 | 775 | 911 | ||||||
KCP&L Greater Missouri Operations | ||||||||
8.270%, 11/15/2021 | 2,500 | 3,165 | ||||||
Kentucky Utilities | ||||||||
5.125%, 11/01/2040 | 2,235 | 2,768 | ||||||
KeySpan Gas East | ||||||||
5.819%, 04/01/2041 (A) | 3,600 | 4,711 | ||||||
Massachusetts Electric | ||||||||
5.900%, 11/15/2039 (A) | 70 | 93 | ||||||
MidAmerican Energy MTN | ||||||||
6.750%, 12/30/2031 | 465 | 643 | ||||||
5.800%, 10/15/2036 | 786 | 1,018 | ||||||
MidAmerican Energy Holdings | ||||||||
6.500%, 09/15/2037 | 4,125 | 5,585 | ||||||
6.125%, 04/01/2036 | 1,500 | 1,929 | ||||||
5.950%, 05/15/2037 | 555 | 703 | ||||||
Nevada Power | ||||||||
6.650%, 04/01/2036 | 210 | 288 | ||||||
NextEra Energy Capital Holdings | ||||||||
6.000%, 03/01/2019 | 1,530 | 1,822 | ||||||
Niagara Mohawk Power | ||||||||
4.119%, 11/28/2042 (A) | 2,000 | 2,017 | ||||||
Nisource Finance | ||||||||
5.950%, 06/15/2041 | 500 | 585 | ||||||
5.800%, 02/01/2042 | 2,000 | 2,279 | ||||||
Northern States Power | ||||||||
7.125%, 07/01/2025 | 285 | 403 | ||||||
6.200%, 07/01/2037 | 2,500 | 3,508 | ||||||
3.400%, 08/15/2042 | 605 | 579 | ||||||
Oglethorpe Power | ||||||||
5.375%, 11/01/2040 | 1,605 | 1,916 | ||||||
5.250%, 09/01/2050 | 65 | 77 | ||||||
Oncor Electric Delivery | ||||||||
7.000%, 09/01/2022 | 175 | 223 | ||||||
6.800%, 09/01/2018 | 35 | 43 | ||||||
5.300%, 06/01/2042 | 3,295 | 3,677 | ||||||
5.250%, 09/30/2040 | 4,050 | 4,481 | ||||||
4.100%, 06/01/2022 | 1,980 | 2,149 | ||||||
Oncor Electric Delivery LLC | ||||||||
4.550%, 12/01/2041 | 3,240 | 3,245 | ||||||
Pacific Gas & Electric | ||||||||
6.250%, 03/01/2039 | 3,880 | 5,228 | ||||||
6.050%, 03/01/2034 | 2,330 | 3,033 | ||||||
5.800%, 03/01/2037 | 1,205 | 1,520 | ||||||
3.250%, 09/15/2021 | 18 | 19 | ||||||
PacifiCorp | ||||||||
6.000%, 01/15/2039 | 1,695 | 2,278 | ||||||
5.500%, 01/15/2019 | 310 | 380 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Pennsylvania Electric | ||||||||
6.150%, 10/01/2038 | $ | 3,600 | $ | 4,413 | ||||
6.050%, 09/01/2017 | 50 | 59 | ||||||
Petroleos Mexicanos | ||||||||
5.500%, 06/27/2044 (A) | 2,235 | 2,459 | ||||||
PPL Electric Utilities | ||||||||
5.200%, 07/15/2041 | 100 | 127 | ||||||
PPL Energy Supply | ||||||||
4.600%, 12/15/2021 | 100 | 110 | ||||||
Progress Energy | ||||||||
7.050%, 03/15/2019 | 1,720 | 2,188 | ||||||
4.400%, 01/15/2021 | 25 | 28 | ||||||
PSEG Power | ||||||||
5.125%, 04/15/2020 | 50 | 58 | ||||||
4.150%, 09/15/2021 | 127 | 139 | ||||||
Public Service Electric & Gas MTN | ||||||||
3.650%, 09/01/2042 | 3,935 | 3,886 | ||||||
Public Service of Colorado | ||||||||
6.250%, 09/01/2037 | 1,800 | 2,525 | ||||||
Public Service of Oklahoma | ||||||||
4.400%, 02/01/2021 | 27 | 31 | ||||||
Puget Sound Energy | ||||||||
5.795%, 03/15/2040 | 300 | 396 | ||||||
San Diego Gas & Electric | ||||||||
6.000%, 06/01/2026 | 625 | 861 | ||||||
Sempra Energy | ||||||||
9.800%, 02/15/2019 | 50 | 70 | ||||||
6.000%, 10/15/2039 | 3,500 | 4,529 | ||||||
South Carolina Electric & Gas | ||||||||
6.625%, 02/01/2032 | 210 | 282 | ||||||
5.450%, 02/01/2041 | 85 | 105 | ||||||
Southern California Edison | ||||||||
6.050%, 03/15/2039 | 2,770 | 3,835 | ||||||
6.000%, 01/15/2034 | 385 | 517 | ||||||
5.950%, 02/01/2038 | 510 | 693 | ||||||
5.500%, 08/15/2018 | 25 | 31 | ||||||
5.500%, 03/15/2040 | 160 | 206 | ||||||
4.050%, 03/15/2042 | 6,405 | 6,815 | ||||||
Southern California Gas | ||||||||
3.750%, 09/15/2042 | 2,310 | 2,377 | ||||||
Southern Union | ||||||||
8.250%, 11/15/2029 | 1,500 | 1,914 | ||||||
Southwestern Electric Power | ||||||||
6.200%, 03/15/2040 | 1,734 | 2,214 | ||||||
Southwestern Public Service | ||||||||
8.750%, 12/01/2018 | 40 | 55 | ||||||
Texas-New Mexico Power | ||||||||
9.500%, 04/01/2019 (A) | 2,500 | 3,385 | ||||||
Tucson Electric Power | ||||||||
3.850%, 03/15/2023 | 2,250 | 2,306 | ||||||
Union Electric | ||||||||
8.450%, 03/15/2039 | 2,760 | 4,819 | ||||||
3.900%, 09/15/2042 | 1,600 | 1,646 | ||||||
Virginia Electric and Power | ||||||||
8.875%, 11/15/2038 | 235 | 414 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 151 |
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Corporate Bond Fund (Concluded)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Wisconsin Electric Power | ||||||||
2.950%, 09/15/2021 | $ | 3 | $ | 3 | ||||
|
| |||||||
221,510 | ||||||||
|
| |||||||
Total Corporate Obligations (Cost $1,695,492) ($ Thousands) |
| 1,765,320 | ||||||
|
| |||||||
MUNICIPAL BONDS — 2.1% |
| |||||||
City of Houston, Ser A, GO | ||||||||
6.290%, 03/01/2032 | 3,650 | 4,591 | ||||||
Indianapolis, Local Public Improvement Bond Bank, Build America Project, RB | ||||||||
6.116%, 01/15/2040 | 1,745 | 2,322 | ||||||
Los Angeles, Community College District, Ser D, GO | ||||||||
6.680%, 08/01/2036 | 1,000 | 1,300 | ||||||
Los Angeles, Department of Water & Power, Build America Project, RB | ||||||||
6.574%, 07/01/2045 | 150 | 213 | ||||||
Los Angeles, Unified School District, Build America Project, GO | ||||||||
6.758%, 07/01/2034 | 500 | 673 | ||||||
Massachusetts Bay, Transportation Authority, Ser A, RB | ||||||||
5.000%, 07/01/2031 | 1,200 | 1,639 | ||||||
New Jersey State, Turnpike Authority, RB | ||||||||
7.414%, 01/01/2040 | 100 | 148 | ||||||
New Jersey, State Turnpike Authority, Build America Project, RB | ||||||||
7.102%, 01/01/2041 | 100 | 144 | ||||||
New York City, Municipal Water Finance Authority, RB | ||||||||
6.011%, 06/15/2042 | 100 | 137 | ||||||
New York City, Build America Project, GO | ||||||||
5.206%, 10/01/2031 | 1,500 | 1,776 | ||||||
Ohio State University, Build America Project, RB | ||||||||
4.910%, 06/01/2040 | 1,685 | 2,007 | ||||||
Port Authority of New York & New Jersey, Build America Project, RB | ||||||||
4.926%, 10/01/2051 | 495 | 557 | ||||||
4.458%, 10/01/2062 | 600 | 601 | ||||||
San Diego County, Water Authority, Build America Project, RB | ||||||||
6.138%, 05/01/2049 | 1,910 | 2,575 | ||||||
San Francisco, Public Utilities, RB | ||||||||
6.000%, 11/01/2040 | 1,250 | 1,568 | ||||||
State of California, Build America Project, GO | ||||||||
7.625%, 03/01/2040 | 1,225 | 1,775 | ||||||
7.600%, 11/01/2040 | 2,510 | 3,679 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
7.550%, 04/01/2039 | $ | 90 | $ | 130 | ||||
7.500%, 04/01/2034 | 530 | 740 | ||||||
State of Connecticut, Ser A, GO | ||||||||
5.850%, 03/15/2032 | 2,210 | 2,823 | ||||||
State of Illinois, Build America Project, GO | ||||||||
5.100%, 06/01/2033 | 2,900 | 2,926 | ||||||
State of Missouri, Health & Education, Ser A, RB | ||||||||
3.685%, 02/15/2047 | 1,135 | 1,128 | ||||||
State of New York, Build America Project, RB | ||||||||
5.770%, 03/15/2039 | 2,380 | 2,938 | ||||||
State of Texas, Transportation Communication Authority, Build America Project, Ser B, RB | ||||||||
5.178%, 04/01/2030 | 1,730 | 2,130 | ||||||
State of Washington, Build America Project, Ser D, GO | ||||||||
5.481%, 08/01/2039 | 815 | 1,036 | ||||||
University of California, Build America Project, RB | ||||||||
5.770%, 05/15/2043 | 250 | 309 | ||||||
University of California, Build America Project, Ser AD, RB | ||||||||
4.858%, 05/15/2112 | 1,000 | 1,075 | ||||||
|
| |||||||
Total Municipal Bonds |
| 40,940 | ||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATION — 0.3% |
| |||||||
Tennessee Valley Authority | ||||||||
5.375%, 04/01/2056 | 3,935 | 5,506 | ||||||
|
| |||||||
Total U.S. Government Agency Obligation |
| 5,506 | ||||||
|
| |||||||
SOVEREIGN DEBT — 0.2% | ||||||||
International Bank for Reconstruction & Development MTN | ||||||||
3.424%, 10/31/2030 (D) | 2,605 | 1,413 | ||||||
Province of Quebec Canada MTN | ||||||||
6.350%, 01/30/2026 | 2,000 | 2,733 | ||||||
|
| |||||||
Total Sovereign Debt (Cost $4,104) ($ Thousands) | 4,146 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 3.1% |
| |||||||
U.S. Treasury Bills (D) | ||||||||
0.144%, 05/16/2013 | 15 | 15 | ||||||
0.108%, 04/04/2013 | 40 | 40 | ||||||
0.098%, 12/13/2012 | 850 | 850 | ||||||
U.S. Treasury Bonds | ||||||||
3.125%, 02/15/2042 | 11,700 | 12,555 | ||||||
2.750%, 08/15/2042 | 31,015 | 30,768 |
152 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
U.S. Treasury Notes | ||||||||
1.625%, 08/15/2022-11/15/2022 | $ | 16,265 | $ | 16,312 | ||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $60,730) ($ Thousands) | 60,540 | |||||||
|
| |||||||
CASH EQUIVALENT — 1.5% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.060%†* | 29,337,641 | 29,338 | ||||||
|
| |||||||
Total Cash Equivalent (Cost $29,338) ($ Thousands) | 29,338 | |||||||
|
| |||||||
Total Investments — 98.0% (Cost $1,834,744) ($ Thousands) | $ | 1,905,790 | ||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
U.S. 10-Year Treasury Note | (360 | ) | Mar-2013 | $ | (170 | ) | ||||||
U.S. 2-Year Treasury Note | (1 | ) | Mar-2013 | — | ||||||||
U.S. 5-Year Treasury Note | (632 | ) | Mar-2013 | (185 | ) | |||||||
U.S. Long Treasury Bond | 87 | Mar-2013 | 118 | |||||||||
U.S. Ultra Long Treasury Bond | 184 | Mar-2013 | 106 | |||||||||
|
| |||||||||||
$ | (131 | ) | ||||||||||
|
|
For the period ended November 30, 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 period.
Percentages | are based on a Net Assets of $1,945,150 ($ Thousands). |
* | The rate reported is the 7-day effective yield as of November 30, 2012. |
† | Investment in Affiliated Security (see Note 5). |
†† | More narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting purposes. |
‡ | Real Estate Investment Trust. |
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(B) | Variable Rate Security - The rate reported on the Schedule of Investments is the rate in effect as of November 30, 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 November 30, 2012. The coupon on a step bond changes on a specified date. |
(D) | The rate reported is the effective yield at time of purchase. |
Cl — Class
GO — General Obligation
LLC — Limited Liability Company
MTN — Medium Term Note
NY — New York
RB — Revenue Bond
Ser — Series
The following is a list of the inputs used as of November 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 1,765,320 | $ | — | $ | 1,765,320 | ||||||||
Municipal Bonds | — | 40,940 | — | 40,940 | ||||||||||||
U.S. Government Agency Obligation | — | 5,506 | — | 5,506 | ||||||||||||
Sovereign Debt | — | 4,146 | — | 4,146 | ||||||||||||
U.S. Treasury Obligations | — | 60,540 | — | 60,540 | ||||||||||||
Cash Equivalent | 29,338 | — | — | 29,338 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 29,338 | $ | 1,876,452 | $ | — | $ | 1,905,790 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (131 | ) | $ | — | $ | — | $ | (131 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (131 | ) | $ | — | $ | — | $ | (131 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the period ended November 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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 $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 153 |
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Duration Fund
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 34.8% |
| |||||||
Consumer Discretionary — 2.3% |
| |||||||
Amazon.com | ||||||||
0.650%, 11/27/2015 | $ | 825 | $ | 823 | ||||
Best Buy | ||||||||
6.750%, 07/15/2013 | 530 | 534 | ||||||
Comcast | ||||||||
5.850%, 11/15/2015 | 350 | 400 | ||||||
DIRECTV Holdings LLC | ||||||||
3.500%, 03/01/2016 | 322 | 343 | ||||||
Hasbro | ||||||||
6.125%, 05/15/2014 | 300 | 323 | ||||||
Johnson Controls | ||||||||
0.723%, 02/04/2014 (A) | 1,140 | 1,144 | ||||||
NBCUniversal Media LLC | ||||||||
2.100%, 04/01/2014 | 1,616 | 1,647 | ||||||
Newell Rubbermaid | ||||||||
2.000%, 06/15/2015 | 700 | 709 | ||||||
Staples | ||||||||
9.750%, 01/15/2014 | 674 | 737 | ||||||
Time Warner Cable | ||||||||
7.500%, 04/01/2014 | 685 | 745 | ||||||
Viacom | ||||||||
1.250%, 02/27/2015 | 590 | 596 | ||||||
Walt Disney MTN | ||||||||
0.450%, 12/01/2015 | 1,000 | 995 | ||||||
|
| |||||||
8,996 | ||||||||
|
| |||||||
Consumer Staples — 3.2% |
| |||||||
Anheuser-Busch InBev Worldwide | ||||||||
0.863%, 01/27/2014 (A) | 150 | 151 | ||||||
0.800%, 07/15/2015 | 500 | 502 | ||||||
0.700%, 07/14/2014 (A) | 855 | 858 | ||||||
BAT International Finance | ||||||||
1.400%, 06/05/2015 (B) | 1,365 | 1,379 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Campbell Soup | ||||||||
0.613%, 08/01/2014 (A) | $ | 950 | $ | 953 | ||||
Coca-Cola Enterprises | ||||||||
0.819%, 02/18/2014 (A) | 725 | 727 | ||||||
ConAgra Foods | ||||||||
1.350%, 09/10/2015 | 65 | 65 | ||||||
Costco Wholesale | ||||||||
0.650%, 12/07/2015 | 2,155 | 2,158 | ||||||
Covidien International Finance | ||||||||
1.875%, 06/15/2013 | 950 | 957 | ||||||
Heineken | ||||||||
0.800%, 10/01/2015 (B) | 390 | 390 | ||||||
Kraft Foods Group | ||||||||
1.625%, 06/04/2015 (B) | 750 | 762 | ||||||
PepsiCo | ||||||||
0.800%, 08/25/2014 | 745 | 749 | ||||||
Philip Morris International | ||||||||
2.500%, 05/16/2016 | 750 | 793 | ||||||
Reynolds American | ||||||||
7.250%, 06/01/2013 | 650 | 670 | ||||||
1.050%, 10/30/2015 | 310 | 310 | ||||||
SABMiller Holdings | ||||||||
1.850%, 01/15/2015 (B) | 700 | 713 | ||||||
Walgreen | ||||||||
0.899%, 03/13/2014 (A) | 500 | 502 | ||||||
|
| |||||||
12,639 | ||||||||
|
| |||||||
Energy — 0.9% |
| |||||||
BP Capital Markets | ||||||||
1.008%, 03/11/2014 (A) | 245 | 247 | ||||||
0.700%, 11/06/2015 | 1,820 | 1,815 | ||||||
Schlumberger Investment | ||||||||
0.954%, 09/12/2014 (A) (B) | 870 | 875 | ||||||
Schlumberger Norge | ||||||||
1.250%, 08/01/2017 (B) | 205 | 206 | ||||||
Total Capital | ||||||||
1.625%, 01/28/2014 | 120 | 121 | ||||||
Valero Energy | ||||||||
4.750%, 06/15/2013 | 405 | 414 | ||||||
|
| |||||||
3,678 | ||||||||
|
| |||||||
Financials — 20.8% | ||||||||
Allstate Life Global Funding Trusts MTN | ||||||||
5.375%, 04/30/2013 | 700 | 714 | ||||||
American Express Centurion Bank | ||||||||
0.760%, 11/13/2015 (A) | 860 | 859 | ||||||
American Express Credit MTN | ||||||||
1.504%, 06/12/2015 (A) | 825 | 840 | ||||||
American Honda Finance | ||||||||
2.500%, 09/21/2015 (B) | 500 | 522 | ||||||
1.850%, 09/19/2014 (B) | 750 | 763 | ||||||
0.762%, 05/08/2014 (A) (B) | 835 | 839 | ||||||
American International Group | ||||||||
4.250%, 09/15/2014 | 1,350 | 1,426 |
154 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
ASIF Global Financing XIX | ||||||||
4.900%, 01/17/2013 (B) | $ | 325 | $ | 326 | ||||
Bank of America | ||||||||
1.733%, 01/30/2014 (A) | 570 | 575 | ||||||
1.500%, 10/09/2015 | 1,215 | 1,219 | ||||||
Bank of Montreal | ||||||||
1.300%, 10/31/2014 (B) | 1,625 | 1,652 | ||||||
0.878%, 09/11/2015 (A) | 500 | 503 | ||||||
0.783%, 04/29/2014 (A) | 975 | 980 | ||||||
Bank of New York Mellon MTN | ||||||||
3.100%, 01/15/2015 | 800 | 839 | ||||||
0.583%, 07/28/2014 (A) | 925 | 927 | ||||||
Bank of Nova Scotia | ||||||||
1.850%, 01/12/2015 | 625 | 641 | ||||||
1.450%, 07/26/2013 (B) | 200 | 201 | ||||||
0.848%, 09/11/2015 (A) | 625 | 626 | ||||||
0.525%, 10/10/2014 (A) | 425 | 425 | ||||||
Bank of Tokyo-Mitsubishi UFJ | ||||||||
2.600%, 01/22/2013 (B) | 1,139 | 1,142 | ||||||
BB&T MTN | ||||||||
3.375%, 09/25/2013 | 871 | 891 | ||||||
1.013%, 04/28/2014 (A) | 880 | 886 | ||||||
Berkshire Hathaway Finance | ||||||||
0.680%, 01/10/2014 (A) | 1,205 | 1,209 | ||||||
BPCE | ||||||||
2.375%, 10/04/2013 (B) | 696 | 702 | ||||||
Caisse Centrale Desjardins du Quebec | ||||||||
1.700%, 09/16/2013 (B) | 1,345 | 1,358 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
2.000%, 02/04/2013 (B) | 280 | 281 | ||||||
0.900%, 09/19/2014 (B) | 1,600 | 1,614 | ||||||
0.900%, 10/01/2015 | 525 | 528 | ||||||
Capital One Financial | ||||||||
2.150%, 03/23/2015 | 800 | 818 | ||||||
Caterpillar Financial Services MTN | ||||||||
1.100%, 05/29/2015 | 600 | 606 | ||||||
CDP Financial | ||||||||
3.000%, 11/25/2014 (B) | 1,210 | 1,265 | ||||||
Citigroup | ||||||||
2.250%, 08/07/2015 | 750 | 770 | ||||||
1.290%, 04/01/2014 (A) | 895 | 899 | ||||||
Credit Agricole Home Loan SFH | ||||||||
1.069%, 07/21/2014 (A) (B) | 800 | 801 | ||||||
Credit Suisse NY | ||||||||
2.200%, 01/14/2014 | 475 | 483 | ||||||
1.300%, 01/14/2014 (A) | 840 | 845 | ||||||
Daimler Finance North America LLC | ||||||||
2.300%, 01/09/2015 (B) | 825 | 846 | ||||||
1.130%, 04/10/2014 (A) (B) | 550 | 552 | ||||||
Danske Bank MTN | ||||||||
1.390%, 04/14/2014 (A) (B) | 775 | 768 | ||||||
Deutsche Bank | ||||||||
2.375%, 01/11/2013 | 218 | 218 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
ERAC USA Finance LLC | ||||||||
2.750%, 07/01/2013 (B) | $ | 352 | $ | 356 | ||||
2.250%, 01/10/2014 (B) | 186 | 188 | ||||||
1.400%, 04/15/2016 (B) | 335 | 338 | ||||||
Fifth Third Bank | ||||||||
0.421%, 05/17/2013 (A) | 950 | 950 | ||||||
General Electric Capital MTN | ||||||||
2.625%, 12/28/2012 | 800 | 801 | ||||||
1.389%, 07/02/2015 (A) | 1,635 | 1,655 | ||||||
1.180%, 05/09/2016 (A) | 625 | 626 | ||||||
0.376%, 12/21/2012 (A) | 250 | 250 | ||||||
Goldman Sachs Group MTN | ||||||||
1.600%, 11/23/2015 | 875 | 877 | ||||||
1.312%, 11/21/2014 (A) | 810 | 811 | ||||||
0.843%, 01/12/2015 (A) | 570 | 562 | ||||||
Hartford Financial Services Group | ||||||||
4.625%, 07/15/2013 | 455 | 465 | ||||||
HSBC Bank | ||||||||
1.130%, 01/17/2014 (A) (B) | 1,277 | 1,287 | ||||||
HSBC USA | ||||||||
2.375%, 02/13/2015 | 750 | 772 | ||||||
Hyundai Capital America | ||||||||
1.625%, 10/02/2015 (B) | 870 | 876 | ||||||
ING Bank | ||||||||
2.650%, 01/14/2013 (B) | 362 | 363 | ||||||
2.009%, 09/25/2015 (A) (B) | 490 | 496 | ||||||
2.000%, 10/18/2013 (B) | 435 | 437 | ||||||
John Deere Capital MTN | ||||||||
0.531%, 03/03/2014 (A) | 1,450 | 1,452 | ||||||
JPMorgan Chase MTN | ||||||||
4.650%, 06/01/2014 | 653 | 690 | ||||||
1.116%, 01/24/2014 (A) | 130 | 131 | ||||||
0.985%, 10/15/2015 (A) | 1,840 | 1,841 | ||||||
0.617%, 12/26/2012 (A) | 900 | 900 | ||||||
MassMutual Global Funding II | ||||||||
0.720%, 01/14/2014 (A) (B) | 1,312 | 1,316 | ||||||
MBIA Insurance | ||||||||
14.000%, 01/15/2033 (A) (B) | 290 | 70 | ||||||
Metropolitan Life Global Funding I | ||||||||
1.100%, 01/10/2014 (A) (B) | 1,431 | 1,439 | ||||||
Metropolitan Life Global Funding I | ||||||||
1.700%, 06/29/2015 (B) | 1,000 | 1,022 | ||||||
Monumental Global Funding | ||||||||
0.540%, 01/15/2014 (A) (B) | 697 | 696 | ||||||
Morgan Stanley | ||||||||
4.200%, 11/20/2014 | 1,161 | 1,214 | ||||||
1.916%, 01/24/2014 (A) | 50 | 50 | ||||||
0.651%, 01/09/2014 (A) | 348 | 345 | ||||||
National Bank of Canada | ||||||||
1.650%, 01/30/2014 (B) | 2,000 | 2,029 | ||||||
National Rural Utilities Cooperative Finance | ||||||||
1.000%, 02/02/2015 | 750 | 757 | ||||||
0.604%, 04/04/2014 (A) | 200 | 201 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 155 |
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Duration Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
New York Life Global Funding | ||||||||
1.850%, 12/13/2013 (B) | $ | 250 | $ | 253 | ||||
1.300%, 01/12/2015 (B) | 1,200 | 1,218 | ||||||
Nissan Motor Acceptance | ||||||||
4.500%, 01/30/2015 (B) | 335 | 358 | ||||||
3.250%, 01/30/2013 (B) | 734 | 737 | ||||||
Nordea Bank | ||||||||
1.750%, 10/04/2013 (B) | 435 | 439 | ||||||
PACCAR Financial MTN | ||||||||
0.561%, 06/05/2014 (A) | 315 | 316 | ||||||
Pentair Finance | ||||||||
1.350%, 12/01/2015 (B) | 345 | 345 | ||||||
Pricoa Global Funding I | ||||||||
5.450%, 06/11/2014 (B) | 200 | 214 | ||||||
Principal Life Global Funding II | ||||||||
0.976%, 07/09/2014 (A) (B) | 700 | 700 | ||||||
Principal Life Income Funding Trusts MTN | ||||||||
5.100%, 04/15/2014 | 540 | 571 | ||||||
0.492%, 11/08/2013 (A) | 250 | 250 | ||||||
Prudential Financial MTN | ||||||||
5.100%, 09/20/2014 | 638 | 684 | ||||||
2.750%, 01/14/2013 | 725 | 726 | ||||||
Royal Bank of Canada MTN | ||||||||
0.630%, 04/17/2014 (A) | 1,700 | 1,703 | ||||||
Royal Bank of Scotland | ||||||||
3.400%, 08/23/2013 | 581 | 591 | ||||||
Royal Bank of Scotland Group | ||||||||
2.550%, 09/18/2015 | 295 | 302 | ||||||
Societe Generale | ||||||||
2.200%, 09/14/2013 (B) | 725 | 728 | ||||||
SSIF Nevada | ||||||||
1.040%, 04/14/2014 (A) (B) | 100 | 100 | ||||||
Standard Chartered | ||||||||
1.260%, 05/12/2014 (A) (B) | 775 | 778 | ||||||
State Street | ||||||||
0.760%, 03/07/2014 (A) | 590 | 592 | ||||||
Sumitomo Mitsui Banking | ||||||||
1.350%, 07/18/2015 | 400 | 405 | ||||||
Sun Life Financial Global Funding III | ||||||||
0.588%, 10/06/2013 (A) (B) | 795 | 793 | ||||||
Swedbank Hypotek | ||||||||
0.812%, 03/28/2014 (A) (B) | 925 | 925 | ||||||
Toronto-Dominion Bank | ||||||||
0.875%, 09/12/2014 (B) | 1,275 | 1,285 | ||||||
0.640%, 07/14/2014 (A) | 1,250 | 1,254 | ||||||
Toyota Motor Credit MTN | ||||||||
0.875%, 07/17/2015 | 650 | 652 | ||||||
0.797%, 10/11/2013 (A) | 1,000 | 1,004 | ||||||
UBS | ||||||||
1.875%, 01/23/2015 (B) | 825 | 846 | ||||||
US Bank | ||||||||
0.620%, 10/14/2014 (A) | 1,140 | 1,141 | ||||||
USAA Capital | ||||||||
3.500%, 07/17/2014 (B) | 450 | 470 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ventas Realty‡ | ||||||||
3.125%, 11/30/2015 | $ | 717 | $ | 758 | ||||
Volkswagen International Finance | ||||||||
0.970%, 04/01/2014 (A) (B) | 2,050 | 2,057 | ||||||
Wells Fargo | ||||||||
1.500%, 07/01/2015 | 750 | 762 | ||||||
|
| |||||||
82,579 | ||||||||
|
| |||||||
Health Care — 1.6% | ||||||||
AbbVie | ||||||||
1.200%, 11/06/2015 (B) | 700 | 703 | ||||||
1.072%, 11/06/2015 (A) (B) | 690 | 695 | ||||||
Express Scripts Holding | ||||||||
2.750%, 11/21/2014 (B) | 1,400 | 1,446 | ||||||
McKesson | ||||||||
0.950%, 12/04/2015 | 395 | 396 | ||||||
Quest Diagnostics | ||||||||
1.223%, 03/24/2014 (A) | 850 | 855 | ||||||
Sanofi | ||||||||
0.672%, 03/28/2014 (A) | 200 | 201 | ||||||
Teva Pharmaceutical Finance III BV | ||||||||
0.876%, 03/21/2014 (A) | 1,590 | 1,599 | ||||||
Thermo Fisher Scientific | ||||||||
2.050%, 02/21/2014 | 189 | 192 | ||||||
WellPoint | ||||||||
1.250%, 09/10/2015 | 211 | 213 | ||||||
|
| |||||||
6,300 | ||||||||
|
| |||||||
Industrials — 0.8% | ||||||||
Danaher | ||||||||
1.300%, 06/23/2014 | 1,170 | 1,184 | ||||||
0.626%, 06/21/2013 (A) | 100 | 100 | ||||||
General Electric | ||||||||
0.850%, 10/09/2015 | 955 | 955 | ||||||
Penske Truck Leasing | ||||||||
2.500%, 07/11/2014 (B) | 85 | 86 | ||||||
Tyco Electronics Group | ||||||||
5.950%, 01/15/2014 | 445 | 471 | ||||||
United Technologies | ||||||||
1.200%, 06/01/2015 | 325 | 331 | ||||||
0.581%, 12/02/2013 (A) | 130 | 130 | ||||||
|
| |||||||
3,257 | ||||||||
|
| |||||||
Information Technology — 1.2% | ||||||||
Dell | ||||||||
0.960%, 04/01/2014 (A) | 1,200 | 1,207 | ||||||
Hewlett-Packard | ||||||||
0.823%, 05/30/2014 (A) | 1,550 | 1,512 | ||||||
Xerox | ||||||||
1.130%, 05/16/2014 (A) | 1,935 | 1,931 | ||||||
|
| |||||||
4,650 | ||||||||
|
|
156 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Materials — 1.2% | ||||||||
Anglo American Capital | ||||||||
2.150%, 09/27/2013 (B) | $ | 869 | $ | 875 | ||||
E.I. du Pont de Nemours | ||||||||
0.789%, 03/25/2014 (A) | 790 | 794 | ||||||
Rio Tinto Finance USA | ||||||||
8.950%, 05/01/2014 | 1,000 | 1,115 | ||||||
Xstrata Finance Canada | ||||||||
1.800%, 10/23/2015 (B) | 1,675 | 1,682 | ||||||
Yara International | ||||||||
5.250%, 12/15/2014 (B) | 450 | 484 | ||||||
|
| |||||||
4,950 | ||||||||
|
| |||||||
Telecommunication Services — 1.0% |
| |||||||
BellSouth | ||||||||
5.200%, 09/15/2014 | 361 | 390 | ||||||
British Telecommunications | ||||||||
1.504%, 12/20/2013 (A) | 300 | 302 | ||||||
Cellco Partnership | ||||||||
5.550%, 02/01/2014 | 1,090 | 1,147 | ||||||
Telefonica Emisiones | ||||||||
2.582%, 04/26/2013 | 490 | 492 | ||||||
Verizon Communications | ||||||||
1.250%, 11/03/2014 | 750 | 760 | ||||||
0.700%, 11/02/2015 | 1,060 | 1,061 | ||||||
|
| |||||||
4,152 | ||||||||
|
| |||||||
Utilities — 1.8% | ||||||||
Appalachian Power | ||||||||
0.658%, 08/16/2013 (A) | 850 | 851 | ||||||
Commonwealth Edison | ||||||||
1.625%, 01/15/2014 | 1,414 | 1,432 | ||||||
Dominion Resources | ||||||||
1.800%, 03/15/2014 | 1,100 | 1,115 | ||||||
DTE Energy | ||||||||
1.118%, 06/03/2013 (A) | 1,180 | 1,183 | ||||||
Duke Energy Carolinas LLC | ||||||||
5.750%, 11/15/2013 | 175 | 184 | ||||||
Georgia Power | ||||||||
1.300%, 09/15/2013 | 225 | 227 | ||||||
NextEra Energy Capital Holdings | ||||||||
1.611%, 06/01/2014 | 350 | 353 | ||||||
Pacific Gas & Electric | ||||||||
6.250%, 12/01/2013 | 500 | 528 | ||||||
Sempra Energy | ||||||||
1.149%, 03/15/2014 (A) | 1,200 | 1,206 | ||||||
|
| |||||||
7,079 | ||||||||
|
| |||||||
Total Corporate Obligations (Cost $137,869) ($ Thousands) | 138,280 | |||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES — 25.5% |
| |||||||
Automotive — 16.9% |
| |||||||
Ally Auto Receivables Trust 2011-1, Ser 2011-1, Cl A4 | ||||||||
2.230%, 03/15/2016 | $ | 1,000 | $ | 1,027 | ||||
Ally Auto Receivables Trust 2012-SN1, Ser 2012-SN1, Cl A2 | ||||||||
0.510%, 12/22/2014 | 385 | 385 | ||||||
Ally Auto Receivables Trust 2012-SN1, Ser 2012-SN1, Cl A4 | ||||||||
0.700%, 12/21/2015 | 325 | 325 | ||||||
Ally Auto Receivables Trust, | ||||||||
1.380%, 07/15/2014 | 264 | 265 | ||||||
Ally Auto Receivables Trust, | ||||||||
1.007%, 11/17/2014 | 263 | 264 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.650%, 03/17/2014 | 138 | 138 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.710%, 09/15/2014 | 834 | 835 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.590%, 01/17/2017 | 675 | 676 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.620%, 03/15/2017 | 700 | 701 | ||||||
Ally Master Owner Trust, | ||||||||
1.958%, 01/15/2015 (A) (B) | 1,156 | 1,158 | ||||||
Ally Master Owner Trust, | ||||||||
2.880%, 04/15/2015 (B) | 501 | 506 | ||||||
Ally Master Owner Trust, | ||||||||
1.078%, 01/15/2016 (A) | 1,833 | 1,846 | ||||||
Ally Master Owner Trust, | ||||||||
1.540%, 09/15/2016 | 517 | 524 | ||||||
Ally Master Owner Trust, | ||||||||
1.440%, 02/15/2017 | 500 | 507 | ||||||
Ally Master Owner Trust, | ||||||||
1.210%, 06/15/2017 | 515 | 518 | ||||||
AmeriCredit Automobile Receivables Trust 2012-2, Ser 2012-2, Cl A3 | ||||||||
1.050%, 10/11/2016 | 140 | 141 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-1, Cl B | ||||||||
3.720%, 11/17/2014 | 276 | 278 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 157 |
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Duration Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-3, Cl A3 | ||||||||
1.140%, 04/08/2015 | $ | 187 | $ | 188 | ||||
AmeriCredit Automobile Receivables Trust, Ser 2010-4, Cl B | ||||||||
1.990%, 10/08/2015 | 1,453 | 1,467 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-A, Cl A3 | ||||||||
3.510%, 07/06/2017 | 541 | 555 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-1, Cl A3 | ||||||||
1.390%, 09/08/2015 | 1,201 | 1,207 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-2, Cl A2 | ||||||||
0.900%, 09/08/2014 | 90 | 90 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-3, Cl A2 | ||||||||
0.840%, 11/10/2014 | 21 | 21 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-3, Cl A3 | ||||||||
1.170%, 01/08/2016 | 1,330 | 1,337 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-4, Cl A2 | ||||||||
0.920%, 03/09/2015 | 529 | 529 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-1, Cl A2 | ||||||||
0.910%, 10/08/2015 | 316 | 316 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-3, Cl A2 | ||||||||
0.710%, 12/08/2015 | 690 | 692 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-5, Cl A3 | ||||||||
0.620%, 06/08/2017 | 675 | 675 | ||||||
ARI Fleet Lease Trust 2010-A, Ser 2012-A, Cl A | ||||||||
0.758%, 03/15/2020 (A) (B) | 143 | 143 | ||||||
ARI Fleet Lease Trust 2010-A, Ser 2012-B, Cl A | ||||||||
0.508%, 01/15/2021 (A) (B) | 1,525 | 1,528 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Ser 2011-1A, Cl A11 | ||||||||
0.748%, 11/20/2014 (B) | 422 | 427 | ||||||
Avis Budget Rental Car Funding, Ser 2009-2A, Cl A | ||||||||
5.680%, 02/20/2014 (B) | 249 | 251 | ||||||
Avis Budget Rental Car Funding, Ser 2010-2A, Cl A | ||||||||
3.630%, 08/20/2014 (B) | 238 | 241 | ||||||
Bank of America Auto Trust, | ||||||||
3.030%, 10/15/2016 (B) | 112 | 113 | ||||||
Bank of America Auto Trust, | ||||||||
1.310%, 07/15/2014 | 44 | 44 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BMW Vehicle Lease Trust, | ||||||||
1.060%, 02/20/2014 | $ | 215 | $ | 215 | ||||
CarMax Auto Owner Trust, | ||||||||
2.820%, 12/15/2014 | 178 | 181 | ||||||
CarMax Auto Owner Trust, | ||||||||
1.410%, 02/16/2015 | 382 | 384 | ||||||
CarMax Auto Owner Trust, | ||||||||
0.990%, 02/17/2015 | 562 | 563 | ||||||
CarMax Auto Owner Trust, | ||||||||
2.170%, 07/17/2017 | 875 | 907 | ||||||
CarMax Auto Owner Trust, | ||||||||
0.890%, 09/15/2016 | 347 | 349 | ||||||
CarMax Auto Owner Trust, | ||||||||
0.520%, 07/17/2017 | 385 | 385 | ||||||
Chesapeake Funding LLC, | ||||||||
1.458%, 04/07/2024 (A) (B) | 645 | 654 | ||||||
Chesapeake Funding LLC, | ||||||||
0.958%, 11/07/2023 (A) (B) | 1,600 | 1,609 | ||||||
Chesapeake Funding LLC, | ||||||||
0.661%, 05/07/2024 (A) (B) | 900 | 900 | ||||||
Enterprise Fleet Financing LLC, | ||||||||
1.140%, 11/20/2017 (B) | 510 | 513 | ||||||
Ford Credit Auto Lease Trust, | ||||||||
0.740%, 09/15/2013 | 292 | 292 | ||||||
Ford Credit Auto Lease Trust, | ||||||||
0.820%, 01/15/2014 | 709 | 710 | ||||||
Ford Credit Auto Lease Trust, | ||||||||
1.420%, 01/15/2015 | 750 | 759 | ||||||
Ford Credit Auto Lease Trust, | ||||||||
0.540%, 11/15/2014 | 410 | 410 | ||||||
Ford Credit Auto Lease Trust, | ||||||||
0.570%, 09/15/2015 | 520 | 521 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
1.320%, 06/15/2014 | 119 | 119 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.980%, 10/15/2014 | 212 | 212 |
158 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.840%, 06/15/2015 | $ | 420 | $ | 421 | ||||
Ford Credit Auto Owner Trust, | ||||||||
1.880%, 08/15/2017 | 875 | 901 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.580%, 12/15/2016 | 386 | 387 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2010-1, Cl B | ||||||||
0.727%, 12/15/2014 (A) (B) | 1,484 | 1,485 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2010-1, Cl M15 | ||||||||
1.858%, 12/15/2014 (A) (B) | 1,000 | 1,001 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2011-1, Cl A2 | ||||||||
0.407%, 02/15/2016 (A) | 387 | 389 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-1, Cl A | ||||||||
1.361%, 01/15/2016 (A) | 1,738 | 1,745 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-2, Cl A | ||||||||
1.920%, 01/15/2019 | 875 | 901 | ||||||
GE Dealer Floorplan Master Note Trust, Ser 2011-1 | ||||||||
0.808%, 07/20/2016 (A) | 670 | 673 | ||||||
GE Dealer Floorplan Master Note Trust, Ser 2012-1, Cl A | ||||||||
0.467%, 02/20/2017 (A) | 1,578 | 1,584 | ||||||
GE Dealer Floorplan Master Note Trust, Ser 2012-3, Cl A | ||||||||
0.698%, 06/20/2017 (A) | 1,625 | 1,625 | ||||||
GE Dealer Floorplan Master Note Trust, Ser 2012-4, Cl A | ||||||||
0.649%, 10/20/2017 (A) | 440 | 441 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
1.160%, 02/15/2015 | 224 | 225 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
0.960%, 05/16/2016 | 1,100 | 1,105 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
0.710%, 05/15/2015 | 245 | 245 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
0.680%, 04/15/2017 | 1,700 | 1,706 | ||||||
Hertz Vehicle Financing LLC, | ||||||||
4.260%, 03/25/2014 (B) | 332 | 334 | ||||||
Hertz Vehicle Financing LLC, | ||||||||
2.600%, 02/25/2015 (B) | 402 | 410 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Hertz Vehicle Financing LLC, | ||||||||
2.200%, 03/25/2016 (B) | $ | 418 | $ | 428 | ||||
Honda Auto Receivables Owner Trust, | ||||||||
1.340%, 03/18/2014 | 136 | 137 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
0.940%, 03/18/2015 | 691 | 693 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
0.770%, 01/15/2016 | 297 | 298 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
0.560%, 05/15/2016 | 450 | 451 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
0.520%, 08/18/2016 | 585 | 585 | ||||||
Huntington Auto Trust, | ||||||||
1.010%, 01/15/2016 (B) | 583 | 586 | ||||||
Huntington Auto Trust, | ||||||||
0.510%, 04/17/2017 | 545 | 545 | ||||||
Hyundai Auto Lease Securitization Trust, Ser 2011-A, Cl A2 | ||||||||
0.690%, 11/15/2013 (B) | 57 | 57 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
1.500%, 10/15/2014 | 149 | 149 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
0.970%, 04/15/2015 | 236 | 237 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
2.450%, 04/15/2016 | 425 | 439 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
0.530%, 04/17/2017 | 675 | 675 | ||||||
Mercedes-Benz Auto Lease Trust, | ||||||||
0.880%, 11/17/2014 | 500 | 502 | ||||||
Mercedes-Benz Auto Receivables Trust, Ser 2011-1, Cl A2 | ||||||||
0.318%, 11/15/2013 (A) | 394 | 394 | ||||||
Mercedes-Benz Auto Receivables Trust, Ser 2011-1, Cl A3 | ||||||||
0.850%, 03/16/2015 | 680 | 682 | ||||||
Mercedes-Benz Auto Receivables Trust, Ser 2012-1, Cl A3 | ||||||||
0.470%, 10/17/2016 | 455 | 455 | ||||||
MMCA Automobile Trust, | ||||||||
0.810%, 08/15/2014 (B) | 890 | 892 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 159 |
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Duration Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Navistar Financial Owner Trust, | ||||||||
0.850%, 03/18/2015 (B) | $ | 1,095 | $ | 1,098 | ||||
Nissan Auto Lease Trust, | ||||||||
1.040%, 08/15/2014 | 500 | 502 | ||||||
Nissan Auto Lease Trust, | ||||||||
0.980%, 05/15/2015 | 500 | 504 | ||||||
Nissan Auto Lease Trust, | ||||||||
0.450%, 06/15/2015 | 331 | 331 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
1.310%, 09/15/2016 | 1,200 | 1,211 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
0.650%, 12/16/2013 | 87 | 87 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
0.460%, 10/17/2016 | 150 | 150 | ||||||
Nissan Master Owner Trust Receivables, Ser 2010-AA, Cl A | ||||||||
1.358%, 01/15/2015 (A) (B) | 260 | 260 | ||||||
Nissan Master Owner Trust Receivables, Ser 2012-A, Cl A | ||||||||
0.678%, 05/15/2017 (A) | 1,120 | 1,123 | ||||||
Porsche Financial Auto Securitization Trust, Ser 2011-1, Cl A3 | ||||||||
0.840%, 01/16/2015 (B) | 77 | 77 | ||||||
Porsche Innovative Lease Owner Trust, Ser 2011-1 | ||||||||
1.090%, 09/22/2014 (B) | 400 | 402 | ||||||
Porsche Innovative Lease Owner Trust, Ser 2012-1, Cl A3 | ||||||||
0.540%, 12/21/2015 (B) | 430 | 430 | ||||||
Santander Drive Auto Receivables Trust 2011-2, Ser 2011-2, Cl A2 | ||||||||
1.040%, 04/15/2014 | 393 | 393 | ||||||
Santander Drive Auto Receivables Trust, Ser 2010-2, Cl A3 | ||||||||
1.240%, 02/17/2014 | 329 | 329 | ||||||
Santander Drive Auto Receivables Trust, Ser 2011-1, Cl A2 | ||||||||
0.940%, 02/18/2014 | 161 | 161 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-1, Cl A2 | ||||||||
1.250%, 04/15/2015 | 605 | 608 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-4, Cl A2 | ||||||||
0.790%, 08/17/2015 | 750 | 752 | ||||||
Toyota Auto Receivables Owner Trust, | ||||||||
1.040%, 02/18/2014 | 53 | 53 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Toyota Auto Receivables Owner Trust, | ||||||||
0.460%, 07/15/2016 | $ | 480 | $ | 480 | ||||
USAA Auto Owner Trust, | ||||||||
2.530%, 07/15/2015 | 50 | 51 | ||||||
Volkswagen Auto Loan Enhanced Trust, Ser 2012-1, Cl A2 | ||||||||
0.610%, 10/20/2014 | 490 | 490 | ||||||
World Omni Auto Receivables Trust, | ||||||||
0.610%, 06/15/2017 | 700 | 700 | ||||||
World Omni Automobile Lease Securitization Trust, | ||||||||
0.810%, 10/15/2013 | 511 | 511 | ||||||
World Omni Automobile Lease Securitization Trust, | ||||||||
1.490%, 10/15/2014 | 500 | 503 | ||||||
World Omni Automobile Lease Securitization Trust, | ||||||||
1.780%, 09/15/2016 | 247 | 250 | ||||||
World Omni Automobile Lease Securitization Trust, | ||||||||
0.930%, 11/16/2015 | 2,199 | 2,213 | ||||||
|
| |||||||
67,053 | ||||||||
|
| |||||||
Credit Cards — 3.5% |
| |||||||
American Credit Acceptance Receivables Trust, Ser 2012-3, Cl A | ||||||||
1.640%, 11/15/2016 (B) | 880 | 880 | ||||||
American Express Credit Account Master Trust, Ser 2007-2, Cl B | ||||||||
0.388%, 09/15/2016 (A) | 585 | 584 | ||||||
American Express Credit Account Master Trust, Ser 2009-2, Cl A | ||||||||
1.458%, 03/15/2017 (A) | 250 | 255 | ||||||
American Express Credit Account Master Trust, Ser 2012-2, Cl B | ||||||||
0.990%, 03/15/2018 | 565 | 567 | ||||||
BA Credit Card Trust, | ||||||||
0.508%, 09/15/2015 (A) | 125 | 125 | ||||||
Bank of America Credit Card Trust, | ||||||||
0.268%, 04/15/2016 (A) | 400 | 400 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2007-A8, Cl A8 | ||||||||
0.689%, 10/15/2015 (A) | 754 | 754 | ||||||
Chase Issuance Trust, | ||||||||
1.889%, 09/15/2015 (A) | 200 | 202 |
160 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Chase Issuance Trust, | ||||||||
0.790%, 06/15/2017 | $ | 825 | $ | 831 | ||||
Chase Issuance Trust, | ||||||||
0.590%, 08/15/2017 | 1,125 | 1,128 | ||||||
Citibank Omni Master Trust, | ||||||||
5.350%, 08/15/2018 (B) | 750 | 809 | ||||||
Citibank Omni Master Trust, | ||||||||
2.958%, 08/15/2018 (A) (B) | 500 | 521 | ||||||
Discover Card Master Trust, | ||||||||
0.418%, 11/16/2015 (A) | 565 | 566 | ||||||
Discover Card Master Trust, | ||||||||
0.810%, 08/15/2017 | 550 | 555 | ||||||
Discover Card Master Trust, | ||||||||
0.860%, 11/15/2017 | 301 | 303 | ||||||
Dryrock Issuance Trust, | ||||||||
0.358%, 08/15/2017 (A) | 425 | 425 | ||||||
Dryrock Issuance Trust, | ||||||||
0.640%, 08/15/2018 | 565 | 565 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2011-1, Cl A | ||||||||
0.758%, 01/15/2017 (A) | 659 | 663 | ||||||
Golden Credit Card Trust, | ||||||||
0.658%, 07/17/2017 (A) (B) | 765 | 769 | ||||||
Golden Credit Card Trust, | ||||||||
0.790%, 09/15/2017 (B) | 675 | 675 | ||||||
Master Credit Card Trust, | ||||||||
0.780%, 04/21/2017 (B) | 420 | 421 | ||||||
MBNA Credit Card Master Note Trust, | ||||||||
0.268%, 06/15/2015 (A) | 275 | 275 | ||||||
Penarth Master Issuer, | ||||||||
0.858%, 05/18/2015 (A) (B) | 1,500 | 1,502 | ||||||
|
| |||||||
13,775 | ||||||||
|
| |||||||
Mortgage Related Securities — 0.6% |
| |||||||
Ameriquest Mortgage Securities, | ||||||||
0.408%, 05/25/2035 (A) | 125 | 125 | ||||||
Asset-Backed Securities Home Equity, | ||||||||
0.648%, 04/25/2035 (A) | 322 | 321 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.498%, 01/20/2034 (A) | $ | 346 | $ | 326 | ||||
HSBC Home Equity Loan Trust, | ||||||||
0.368%, 01/20/2036 (A) | 1,221 | 1,202 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.358%, 03/20/2036 (A) | 498 | 491 | ||||||
|
| |||||||
2,465 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 4.5% |
| |||||||
ACAS Business Loan Trust, | ||||||||
1.160%, 08/16/2019 (A) (B) | 373 | 335 | ||||||
CapitalSource Commercial Loan Trust, | ||||||||
0.758%, 08/22/2016 (A) (B) | 12 | 12 | ||||||
CNH Equipment Trust, | ||||||||
2.490%, 01/15/2016 | 1,122 | 1,133 | ||||||
CNH Equipment Trust, | ||||||||
1.170%, 05/15/2015 | 397 | 398 | ||||||
CNH Equipment Trust, | ||||||||
0.900%, 04/15/2015 | 321 | 322 | ||||||
CNH Equipment Trust, | ||||||||
0.570%, 12/15/2017 | 280 | 280 | ||||||
GE Equipment Midticket LLC, | ||||||||
1.470%, 07/14/2015 (B) | 602 | 605 | ||||||
GE Equipment Midticket LLC, | ||||||||
0.470%, 01/22/2015 | 285 | 285 | ||||||
GE Equipment Midticket LLC, | ||||||||
0.600%, 05/23/2016 | 270 | 270 | ||||||
GE Equipment Midticket, | ||||||||
0.940%, 07/14/2014 (B) | 225 | 225 | ||||||
GE Equipment Small Ticket LLC | ||||||||
1.140%, 06/23/2014 (B) | 94 | 94 | ||||||
GE Equipment Small Ticket LLC, | ||||||||
0.850%, 11/21/2014 (B) | 350 | 351 | ||||||
GE Equipment Transportation LLC, | ||||||||
1.330%, 05/20/2019 | 335 | 338 | ||||||
GE Equipment Transportation LLC, | ||||||||
0.990%, 11/23/2015 | 312 | 314 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 161 |
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Duration Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GE Equipment Transportation LLC, | ||||||||
0.620%, 07/25/2016 | $ | 1,036 | $ | 1,037 | ||||
JCP&L Transition Funding LLC, | ||||||||
5.810%, 12/05/2015 | 122 | 126 | ||||||
John Deere Owner Trust, | ||||||||
0.430%, 02/17/2015 | 630 | 630 | ||||||
John Deere Owner Trust, | ||||||||
0.530%, 07/15/2016 | 605 | 606 | ||||||
Katonah, Ser 2005-7A, Cl B | ||||||||
0.478%, 11/15/2017 (A) (B) | 696 | 617 | ||||||
Macquarie Equipment Funding Trust, | ||||||||
0.610%, 04/20/2015 (B) | 525 | 525 | ||||||
Madison Park Funding I, | ||||||||
0.673%, 03/22/2021 (A) (B) | 580 | 532 | ||||||
Massachusetts RRB Special Purpose Trust 2005-1, Ser 2005-1, Cl A4 | ||||||||
4.400%, 03/15/2015 | 75 | 76 | ||||||
MMAF Equipment Finance LLC, | ||||||||
0.900%, 04/15/2014 (B) | 37 | 37 | ||||||
MMAF Equipment Finance LLC, | ||||||||
0.840%, 01/12/2015 (B) | 1,000 | 1,002 | ||||||
Morgan Stanley ABS Capital I, | ||||||||
0.407%, 12/25/2035 (A) | 26 | 26 | ||||||
Navistar Financial Dealer Note Master Trust, Ser 2011-1, Cl A | ||||||||
1.358%, 10/25/2016 (A) (B) | 450 | 454 | ||||||
PSE&G Transition Funding LLC, Ser 2001-1, Cl A6 | ||||||||
6.610%, 06/15/2015 | 212 | 215 | ||||||
Public Service New Hampshire Funding LLC, Ser 2001-1, Cl A3 | ||||||||
6.480%, 05/01/2015 | 51 | 52 | ||||||
Securitized Asset-Backed Receivables LLC Trust, Ser 2005-FR4, Cl M1 | ||||||||
0.688%, 01/25/2036 (A) | 91 | 90 | ||||||
Sierra Receivables Funding LLC, | ||||||||
1.208%, 09/20/2019 (A) (B) | 70 | 69 | ||||||
SLM Student Loan Trust, | ||||||||
0.395%, 10/25/2021 (A) | 92 | 92 | ||||||
SLM Student Loan Trust, | ||||||||
0.405%, 07/25/2022 (A) | 72 | 72 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SLM Student Loan Trust, | ||||||||
0.415%, 01/25/2023 (A) | $ | 890 | $ | 890 | ||||
SLM Student Loan Trust, | ||||||||
0.395%, 04/25/2023 (A) | 868 | 867 | ||||||
SLM Student Loan Trust, | ||||||||
0.345%, 07/25/2018 (A) | 85 | 85 | ||||||
SLM Student Loan Trust, | ||||||||
0.315%, 07/25/2017 (A) | 498 | 497 | ||||||
SLM Student Loan Trust, | ||||||||
0.325%, 10/25/2017 (A) | 165 | 165 | ||||||
SLM Student Loan Trust, | ||||||||
0.515%, 01/25/2016 (A) | 119 | 119 | ||||||
SLM Student Loan Trust, | ||||||||
1.415%, 10/25/2016 (A) | 677 | 681 | ||||||
SLM Student Loan Trust, | ||||||||
0.865%, 10/25/2017 (A) | 123 | 124 | ||||||
SLM Student Loan Trust, | ||||||||
0.728%, 03/25/2026 (A) | 494 | 496 | ||||||
SLM Student Loan Trust, | ||||||||
1.130%, 10/15/2024 (A) (B) | 233 | 234 | ||||||
SLM Student Loan Trust, | ||||||||
0.685%, 12/16/2024 (A) (B) | 727 | 729 | ||||||
SLM Student Loan Trust, | ||||||||
0.408%, 11/25/2016 (A) | 1,513 | 1,514 | ||||||
SLM Student Loan Trust, | ||||||||
0.369%, 02/27/2017 (A) | 545 | 545 | ||||||
|
| |||||||
18,166 | ||||||||
|
| |||||||
Total Asset-Backed Securities (Cost $100,992) ($ Thousands) | 101,459 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 20.8% |
| |||||||
Agency Mortgage-Backed Obligations — 9.7% |
| |||||||
FHLMC ARM | ||||||||
2.375%, 05/01/2036 (A) | 231 | 246 | ||||||
2.203%, 02/01/2022 (A) | 306 | 327 | ||||||
2.186%, 02/01/2030 (A) | 229 | 244 | ||||||
FHLMC CMO, Ser 1993-1599, Cl C | ||||||||
6.100%, 10/15/2023 | 27 | 27 | ||||||
FHLMC CMO, Ser 2003-2654, Cl OG | ||||||||
5.000%, 02/15/2032 | 242 | 247 |
162 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 2004-2791, Cl UD | ||||||||
5.000%, 05/15/2018 | $ | 66 | $ | 66 | ||||
FHLMC CMO, Ser 2005-2931, Cl AM | ||||||||
4.500%, 07/15/2019 | 517 | 533 | ||||||
FHLMC CMO, Ser 2005-3019, Cl DB | ||||||||
4.500%, 05/15/2019 | 153 | 155 | ||||||
FHLMC CMO, Ser 2007-3349, Cl HB | ||||||||
5.500%, 06/15/2031 | 2 | 2 | ||||||
FHLMC CMO, Ser 2778, Cl JD | ||||||||
5.000%, 12/15/2032 | 163 | 168 | ||||||
FHLMC TBA | ||||||||
2.500%, 12/15/2027 | 1,400 | 1,460 | ||||||
FNMA | ||||||||
6.000%, 01/01/2027 to 04/01/2040 | 1,599 | 1,757 | ||||||
5.396%, 11/01/2013 | 591 | 593 | ||||||
5.000%, 04/01/2021 to 03/01/2025 | 2,624 | 2,854 | ||||||
4.710%, 03/01/2014 | 1,181 | 1,217 | ||||||
2.990%, 01/01/2015 | 1,215 | 1,217 | ||||||
1.990%, 01/01/2017 | 425 | 432 | ||||||
1.940%, 01/01/2017 | 502 | 516 | ||||||
FNMA ARM (A) | ||||||||
2.340%, 01/01/2029 | 33 | 35 | ||||||
2.286%, 09/01/2024 | 184 | 194 | ||||||
2.274%, 11/01/2023 | 92 | 95 | ||||||
2.245%, 11/01/2025 | 27 | 29 | ||||||
2.182%, 09/01/2024 | 73 | 75 | ||||||
2.022%, 05/01/2028 | 180 | 191 | ||||||
1.470%, 11/01/2021 | 43 | 44 | ||||||
FNMA Benchmark REMIC CMO, Ser 2007-B1, Cl BE | ||||||||
5.450%, 12/25/2020 | 283 | 289 | ||||||
FNMA CMO, Ser 1993-220, Cl FA | ||||||||
0.819%, 11/25/2013 (A) | 6 | 6 | ||||||
FNMA CMO, Ser 1993-58, Cl H | ||||||||
5.500%, 04/25/2023 | 51 | 56 | ||||||
FNMA CMO, Ser 2001-33, Cl FA | ||||||||
0.658%, 07/25/2031 (A) | 59 | 60 | ||||||
FNMA CMO, Ser 2002-64, Cl FG | ||||||||
0.967%, 10/18/2032 (A) | 44 | 45 | ||||||
FNMA CMO, Ser 2002-77, Cl CB | ||||||||
5.000%, 12/25/2017 | 476 | 508 | ||||||
FNMA CMO, Ser 2008-68, Cl VM | ||||||||
5.500%, 07/25/2019 | 181 | 183 | ||||||
FNMA CMO, Ser 2009-12, Cl KA | ||||||||
5.500%, 02/25/2038 | 105 | 106 | ||||||
FNMA CMO, Ser 2009-M2, Cl A1 | ||||||||
2.387%, 01/25/2019 | 704 | 714 | ||||||
FNMA CMO, Ser 2010-64, Cl EH | ||||||||
5.000%, 10/25/2035 | 208 | 217 | ||||||
FNMA CMO, Ser 2011-109, Cl PK | ||||||||
4.000%, 08/25/2041 | 592 | 612 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA TBA | ||||||||
3.500%, 12/01/2040 to 12/01/2040 | $ | 2,200 | $ | 2,344 | ||||
3.000%, 12/25/2026 | 8,028 | 8,465 | ||||||
2.500%, 12/01/2027 | 5,889 | 6,160 | ||||||
GNMA ARM | ||||||||
4.500%, 09/20/2039 (A) | 285 | 305 | ||||||
GNMA CMO, Ser 2009-104, Cl NJ | ||||||||
4.250%, 07/20/2036 | 649 | 674 | ||||||
GNMA CMO, Ser 2009-24, Cl A | ||||||||
4.500%, 03/20/2034 | 192 | 194 | ||||||
GNMA CMO, Ser 2010-122, Cl A | ||||||||
1.897%, 01/16/2032 | 330 | 334 | ||||||
GNMA CMO, Ser 2011-110, Cl A | ||||||||
2.237%, 03/16/2033 | 273 | 279 | ||||||
NCUA Guaranteed Notes CMO | ||||||||
0.229%, 06/12/2013 (A) | 382 | 382 | ||||||
NCUA Guaranteed Notes CMO, Ser 2010-R1, Cl 1A | ||||||||
0.659%, 10/07/2020 (A) | 1,370 | 1,375 | ||||||
NCUA Guaranteed Notes CMO, Ser 2010-R1, Cl 2A | ||||||||
1.840%, 10/07/2020 | 35 | 36 | ||||||
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 1A | ||||||||
0.679%, 11/06/2017 (A) | 464 | 465 | ||||||
NCUA Guaranteed Notes CMO, Ser 2011-R1, Cl 1A | ||||||||
0.668%, 01/08/2020 (A) | 279 | 279 | ||||||
NCUA Guaranteed Notes CMO, Ser 2011-R2, Cl 1A | ||||||||
0.619%, 02/06/2020 (A) | 624 | 627 | ||||||
NCUA Guaranteed Notes CMO, Ser 2011-R4, Cl 1A | ||||||||
0.598%, 03/06/2020 (A) | 499 | 500 | ||||||
NCUA Guaranteed Notes CMO, Ser 2011-R6, Cl 1A | ||||||||
0.589%, 05/07/2020 (A) | 627 | 629 | ||||||
|
| |||||||
38,568 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 11.1% |
| |||||||
American Tower Trust, | ||||||||
5.420%, 04/15/2037 (B) | 350 | 361 | ||||||
Arkle Master Issuer, | ||||||||
1.850%, 05/17/2060 (A) (B) | 956 | 964 | ||||||
Arkle Master Issuer, | ||||||||
1.561%, 05/17/2060 (A) (B) | 550 | 554 | ||||||
Banc of America Large Loan, Ser 2007-BMB1, Cl A1 | ||||||||
0.758%, 08/15/2029 (A) (B) | 13 | 13 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 163 |
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Duration Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Banc of America Merrill Lynch Commercial Mortgage, Ser 2003-2, Cl A4 | ||||||||
5.061%, 03/11/2041 (A) | $ | 825 | $ | 840 | ||||
Banc of America Mortgage Securities, Ser 2005-F, Cl 2A2 | ||||||||
3.100%, 07/25/2035 (A) | 699 | 650 | ||||||
Banc of America Mortgage Securities, Ser 2005-J, Cl 2A1 | ||||||||
3.015%, 11/25/2035 (A) | 84 | 72 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, | ||||||||
3.002%, 02/25/2036 (A) | 201 | 142 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-3, Cl 2A1 | ||||||||
2.999%, 06/25/2035 (A) | 270 | 237 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-6, Cl 3A1 | ||||||||
2.937%, 08/25/2035 (A) | 443 | 347 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2003-PWR2, Cl A4 | ||||||||
5.186%, 05/11/2039 (A) | 589 | 602 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser PW18, Cl A2 | ||||||||
5.613%, 06/11/2050 | 186 | 191 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser T26, Cl A2 | ||||||||
5.330%, 01/12/2045 | 29 | 29 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2012-GC8, Cl A1 | ||||||||
0.685%, 09/10/2045 | 452 | 452 | ||||||
Citigroup Commercial Mortgage Trust, Ser C2, Cl A5 | ||||||||
4.733%, 10/15/2041 | 535 | 568 | ||||||
Citigroup Mortgage Loan Trust, Ser 2004-HYB3, Cl 1A | ||||||||
2.860%, 09/25/2034 (A) | 130 | 131 | ||||||
Citigroup Mortgage Loan Trust, Ser 2006-AR2, Cl 1A1 | ||||||||
2.989%, 03/25/2036 (A) | 375 | 283 | ||||||
Commercial Mortgage Acceptance, Ser 1998-C2, Cl F | ||||||||
5.440%, 09/15/2030 (B) | 223 | 227 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2006-FL12, Cl A2 | ||||||||
0.658%, 12/15/2020 (A) (B) | 122 | 121 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2010-C1, Cl A1 | ||||||||
3.156%, 07/10/2046 (B) | 1,011 | 1,068 | ||||||
Commercial Mortgage Pass-Through Certificates 2012-CCRE1 Mortgage Trust, Ser 2012-CR1, Cl A1 | ||||||||
1.116%, 05/15/2045 | 1,075 | 1,083 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR3, Cl A1 | ||||||||
0.666%, 11/15/2045 | $ | 292 | $ | 292 | ||||
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR4, Cl A1 | ||||||||
0.704%, 10/15/2045 | 670 | 670 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser CR2, Cl A1 | ||||||||
0.824%, 08/15/2045 | 335 | 336 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
0.748%, 02/25/2035 (A) | 52 | 47 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-HY10, Cl 3A1A | ||||||||
2.764%, 02/20/2036 (A) | 344 | 259 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-C4, Cl A4 | ||||||||
5.137%, 08/15/2036 (A) | 503 | 510 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-C5, Cl A4 | ||||||||
4.900%, 12/15/2036 (A) | 457 | 469 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-CK2, Cl A4 | ||||||||
4.801%, 03/15/2036 | 289 | 289 | ||||||
Deutsche Bank-UBS Mortgage Trust, Ser 2011-LC1A, Cl A1 | ||||||||
3.742%, 11/10/2046 (B) | 770 | 835 | ||||||
FDIC Structured Sale Guaranteed Notes, Ser 2010-S1, Cl 1A | ||||||||
0.759%, 02/25/2048 (A) (B) | 466 | 467 | ||||||
FDIC Trust, Ser 2012-C1, Cl A | ||||||||
0.841%, 05/25/2035 (A) (B) | 1,085 | 1,088 | ||||||
Fosse Master Issuer, Ser 2011-1A | ||||||||
1.725%, 10/18/2054 (A) (B) | 943 | 957 | ||||||
GE Capital Commercial Mortgage, Ser 2003-C2, Cl A4 | ||||||||
5.145%, 07/10/2037 | 467 | 473 | ||||||
GE Capital Commercial Mortgage, Ser C1, Cl A4 | ||||||||
4.819%, 01/10/2038 | 129 | 129 | ||||||
GMAC Commercial Mortgage Securities, Ser 2003-C2, Cl A2 | ||||||||
5.457%, 05/10/2040 (A) | 702 | 715 | ||||||
GMAC Commercial Mortgage Securities, Ser 2004-C3, Cl A4 | ||||||||
4.547%, 12/10/2041 | 67 | 67 | ||||||
GMAC Mortgage Loan Trust, Ser 2005-AR6, Cl 2A1 | ||||||||
3.739%, 11/19/2035 (A) | 391 | 337 | ||||||
Greenwich Capital Commercial Funding, Ser 2003-C2, Cl A4 | ||||||||
4.915%, 01/05/2036 | 250 | 256 |
164 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A7 | ||||||||
5.317%, 06/10/2036 (A) | $ | 79 | $ | 82 | ||||
GS Mortgage Securities II, Ser 2004-GG2, Cl A5 | ||||||||
5.279%, 08/10/2038 (A) | 213 | 215 | ||||||
GS Mortgage Securities II, | ||||||||
1.103%, 03/06/2020 (A) (B) | 571 | 572 | ||||||
GS Mortgage Securities II, | ||||||||
1.456%, 03/06/2020 (A) (B) | 1,016 | 1,018 | ||||||
GS Mortgage Securities II, Ser 2010-C2, Cl A1 | ||||||||
3.849%, 12/10/2043 (B) | 738 | 802 | ||||||
GS Mortgage Securities II, | ||||||||
0.662%, 11/10/2045 | 400 | 400 | ||||||
GS Mortgage Securities II, | ||||||||
2.331%, 03/10/2044 (B) | 485 | 497 | ||||||
GSR Mortgage Loan Trust, | ||||||||
3.087%, 07/25/2035 (A) | 501 | 387 | ||||||
GSR Mortgage Loan Trust, | ||||||||
2.716%, 01/25/2036 (A) | 624 | 531 | ||||||
GSR Mortgage Loan Trust, | ||||||||
3.082%, 05/25/2047 (A) | 458 | 333 | ||||||
Impac CMB Trust, Ser 2004-9, Cl 1A1 | ||||||||
0.968%, 01/25/2035 (A) | 124 | 111 | ||||||
Impac CMB Trust, Ser 2005-2, Cl 1A1 | ||||||||
0.727%, 04/25/2035 (A) | 140 | 127 | ||||||
Impac CMB Trust, Ser 2005-3, Cl A1 | ||||||||
0.687%, 08/25/2035 (A) | 130 | 96 | ||||||
Impac CMB Trust, Ser 2005-5, Cl A1 | ||||||||
0.848%, 08/25/2035 (A) | 106 | 86 | ||||||
Impac CMB Trust, Ser 2005-8, Cl 1A | ||||||||
0.467%, 02/25/2036 (A) | 336 | 276 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
4.920%, 10/15/2037 (A) | 700 | 716 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
4.719%, 01/15/2038 | 715 | 739 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
3.853%, 06/15/2043 (B) | 759 | 809 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
2.749%, 11/15/2043 (B) | $ | 863 | $ | 904 | ||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
1.525%, 07/15/2046 (B) | 599 | 605 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
1.600%, 08/15/2046 | 670 | 681 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser C8, Cl A1 | ||||||||
0.705%, 10/15/2045 | 224 | 224 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
4.903%, 10/15/2042 | 988 | 987 | ||||||
JPMorgan Mortgage Trust, | ||||||||
3.028%, 08/25/2035 (A) | 285 | 250 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.852%, 05/25/2037 (A) | 372 | 271 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2003-C3, Cl A4 | ||||||||
4.166%, 05/15/2032 | 123 | 124 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2003-C5, Cl A4 | ||||||||
4.685%, 07/15/2032 (A) | 220 | 224 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2003-C8, Cl A4 | ||||||||
5.124%, 11/15/2032 (A) | 265 | 272 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2004-C8 | ||||||||
4.799%, 12/15/2029 (A) | 415 | 439 | ||||||
Merrill Lynch Mortgage Investors, Ser 2005-A3, Cl A1 | ||||||||
0.478%, 04/25/2035 (A) | 137 | 122 | ||||||
Merrill Lynch Mortgage Trust, Ser 2004-BPC1, Cl A5 | ||||||||
4.855%, 10/12/2041 (A) | 871 | 929 | ||||||
Merrill Lynch Mortgage-Backed Securities Trust, Ser 2007-3, Cl 2A1 | ||||||||
3.396%, 06/25/2037 (A) | 536 | 400 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
0.664%, 11/15/2045 | 188 | 188 | ||||||
Morgan Stanley Capital I, | ||||||||
5.150%, 06/13/2041 | 716 | 727 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 165 |
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Duration Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Morgan Stanley Capital I, | ||||||||
4.800%, 01/13/2041 | $ | 556 | $ | 572 | ||||
Morgan Stanley Capital I, | ||||||||
5.110%, 06/15/2040 (A) | 440 | 462 | ||||||
Morgan Stanley Capital I, | ||||||||
4.660%, 09/13/2045 | 638 | 658 | ||||||
Morgan Stanley Dean Witter Capital I, | ||||||||
6.390%, 07/15/2033 | 15 | 15 | ||||||
MortgageIT Trust, Ser 2005-5, Cl A1 | ||||||||
0.467%, 12/25/2035 (A) | 471 | 397 | ||||||
Mortgage-Linked Amortizing Notes CMO, Ser 2012-1, Cl A10 | ||||||||
2.060%, 01/15/2022 | 289 | 296 | ||||||
Paragon Mortgages, | ||||||||
1.130%, 11/15/2038 (A) (B) | 175 | 153 | ||||||
Paragon Mortgages, | ||||||||
0.499%, 12/15/2039 (A) (B) | 422 | 365 | ||||||
Permanent Master Issuer, | ||||||||
1.490%, 07/15/2042 (A) (B) | 557 | 558 | ||||||
Residential Funding Mortgage Securities, Ser 2007-SA3, Cl 2A1 | ||||||||
4.070%, 07/27/2037 (A) | 399 | 318 | ||||||
Sequoia Mortgage Trust, | ||||||||
0.408%, 01/20/2035 (A) | 57 | 51 | ||||||
Silverstone Master Issuer, | ||||||||
1.869%, 01/21/2055 (A) (B) | 225 | 232 | ||||||
Thornburg Mortgage Securities Mortgage Trust, Ser 2012-C6, Cl A1 | ||||||||
1.081%, 04/15/2045 | 225 | 226 | ||||||
UBS-Barclays Commercial Mortgage | ||||||||
0.726%, 08/10/2049 | 510 | 511 | ||||||
UBS-Citigroup Commercial Mortgage Trust 2011-C1, Ser 2011-C1, Cl A1 | ||||||||
1.524%, 01/10/2045 | 1,149 | 1,168 | ||||||
Wachovia Bank Commercial Mortgage | ||||||||
4.964%, 11/15/2035 (A) | 550 | 569 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR2, Cl 1A1 | ||||||||
2.471%, 03/25/2036 (A) | 534 | 458 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2011-C3, Cl A1 | ||||||||
1.988%, 03/15/2044 (B) | 692 | 707 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2012-LC5, Cl A1 | ||||||||
0.687%, 10/15/2045 | $ | 513 | $ | 513 | ||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.624%, 01/25/2035 (A) | 288 | 281 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.615%, 07/25/2036 (A) | 438 | 363 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.806%, 09/25/2036 (A) | 341 | 288 | ||||||
WF-RBS Commercial Mortgage Trust, | ||||||||
0.734%, 12/15/2045 | 1,380 | 1,380 | ||||||
WF-RBS Commercial Mortgage Trust, | ||||||||
0.673%, 11/15/2045 | 1,250 | 1,250 | ||||||
|
| |||||||
44,066 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities (Cost $82,364) ($ Thousands) |
| 82,634 | ||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 13.3% |
| |||||||
FHLB | ||||||||
4.875%, 12/13/2013 | 1,500 | 1,572 | ||||||
3.125%, 12/13/2013 | 800 | 824 | ||||||
2.750%, 03/13/2015 | 750 | 791 | ||||||
0.320%, 12/11/2013 | 5,800 | 5,804 | ||||||
FHLMC | ||||||||
4.875%, 11/15/2013 | 5,900 | 6,164 | ||||||
1.020%, 06/19/2015 | 1,000 | 1,000 | ||||||
0.875%, 12/19/2014 | 1,565 | 1,568 | ||||||
0.800%, 12/19/2014 | 1,000 | 1,000 | ||||||
0.500%, 10/15/2013 to 01/24/2014 | 8,550 | 8,566 | ||||||
0.450%, 01/09/2014 to 02/21/2014 | 5,400 | 5,409 | ||||||
0.375%, 04/28/2014 | 500 | 501 | ||||||
FNMA | ||||||||
1.650%, 12/14/2016 | 1,025 | 1,025 | ||||||
1.050%, 12/14/2015 | 100 | 100 | ||||||
0.750%, 12/18/2013 | 10,224 | 10,283 | ||||||
0.700%, 06/26/2015 | 5,910 | 5,912 | ||||||
0.625%, 01/30/2015 | 600 | 601 | ||||||
0.600%, 10/23/2014 to 07/24/2015 | 1,795 | 1,795 | ||||||
0.221%, 05/17/2013 (A) | 200 | 200 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations (Cost $53,113) ($ Thousands) |
| 53,115 | ||||||
|
|
166 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MUNICIPAL BONDS — 4.4% |
| |||||||
Buncombe County, Metropolitan Sewerage District, Ser A, RB | ||||||||
Callable 01/02/13 @ 100 | ||||||||
0.180%, 07/01/2031 (A) | $ | 400 | $ | 400 | ||||
Colorado, Health Facilities Authority, | ||||||||
Callable 12/05/12 @ 100 | ||||||||
0.250%, 11/01/2028 (A) | 100 | 100 | ||||||
Colorado, Housing & Finance Authority, RB | ||||||||
Callable 12/05/12 @ 100 | ||||||||
0.180%, 05/01/2041 (A) | 300 | 300 | ||||||
Connecticut, Housing Finance Authority, Sub-Ser B-4, RB Callable 12/06/12 @ 100 | ||||||||
0.210%, 11/15/2038 (A) | 300 | 300 | ||||||
County of Forsyth, Ser A, GO Callable 12/05/12 @ 100 | ||||||||
0.180%, 03/01/2025 (A) | 900 | 900 | ||||||
El Paso, Taxable Pension, GO | ||||||||
3.610%, 08/15/2014 | 530 | 556 | ||||||
Iowa, Finance Authority, | ||||||||
0.170%, 01/01/2039 (A) | 300 | 300 | ||||||
Kalamazoo, Hospital Finance Authority, Ser B, RB | ||||||||
3.125%, 05/15/2041 (A) | 1,270 | 1,299 | ||||||
Kentucky Housing, Ser W, RB Callable 12/05/12 @ 100 | ||||||||
0.630%, 07/01/2037 (A) | 300 | 300 | ||||||
Louisa, Industrial Development Authority, Ser A, AMT, RB | ||||||||
2.500%, 03/01/2031 (A) | 870 | 873 | ||||||
Louisiana, Local Government Environmental Facilities & Community Development Authority, RB | ||||||||
1.110%, 02/01/2016 | 226 | 227 | ||||||
Maine State, Housing Authority, | ||||||||
0.210%, 11/15/2027 (A) | 300 | 300 | ||||||
Metropolitan State, Louis Sewer District, Ser B, RB | ||||||||
3.000%, 05/01/2013 | 1,000 | 1,011 | ||||||
Minnesota, Housing Finance Agency, | ||||||||
0.180%, 07/01/2038 (A) | 400 | 400 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
New Hampshire, Business Finance Authority, Ser B, RB Callable 12/05/12 @ 100 | ||||||||
0.200%, 11/01/2020 (A) | $ | 200 | $ | 200 | ||||
New Jersey State, Turnpike Authority, | ||||||||
4.252%, 01/01/2016 | 2,045 | 2,130 | ||||||
New Jersey, Economic Development Authority, Build America Project, RB | ||||||||
1.389%, 06/15/2013 (A) | 580 | 581 | ||||||
New York, Dormitory Authority, RB | ||||||||
5.600%, 12/15/2014 | 175 | 192 | ||||||
New York, Urban Development, RB | ||||||||
2.626%, 12/15/2014 | 605 | 629 | ||||||
New York, Sub-Ser I-3, GO | ||||||||
1.520%, 08/01/2013 | 465 | 469 | ||||||
North Texas, Tollway Authority, Ser L-2, RB | ||||||||
6.000%, 01/01/2038 | 1,000 | 1,004 | ||||||
Oregon, Housing and Community Services, RB | ||||||||
0.230%, 07/01/2036 | 400 | 400 | ||||||
Philadelphia Industrial Development Authority, RB | ||||||||
1.200%, 04/01/2014 | 205 | 205 | ||||||
Shelby County, GO | ||||||||
0.160%, 04/01/2030 | 400 | 400 | ||||||
State of California, GO | ||||||||
5.450%, 04/01/2015 | 305 | 336 | ||||||
State of Illinois, GO | ||||||||
4.071%, 01/01/2014 | 1,000 | 1,032 | ||||||
State of Massachusetts, Ser D, GO | ||||||||
3.000%, 07/01/2013 | 370 | 376 | ||||||
State of Texas, GO | ||||||||
0.200%, 12/01/2023 (A) | 150 | 150 | ||||||
University of California, Build America Project, RB | ||||||||
1.988%, 05/15/2050 (A) | 260 | 262 | ||||||
University of Southern Indiana, | ||||||||
0.270%, 10/01/2019 | 200 | 200 | ||||||
Washington State Housing Finance Commission, RB, AMT | ||||||||
0.190%, 08/15/2039 (A) | 300 | 300 | ||||||
Wisconsin State, General Fund, RB | ||||||||
0.798%, 05/01/2015 | 820 | 819 | ||||||
Wisconsin, Housing and Economic Development Authority, RB | ||||||||
0.270%, 05/01/2035 | 355 | 355 | ||||||
0.220%, 11/01/2030 | 200 | 200 | ||||||
|
| |||||||
Total Municipal Bonds |
| 17,506 | ||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 167 |
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Duration Fund (Concluded)
November 30, 2012
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
REPURCHASE AGREEMENT (C) — 3.0% |
| |||||||
BNP Paribas | $ | 12,000 | $ | 12,000 | ||||
|
| |||||||
Total Repurchase Agreement |
| 12,000 | ||||||
|
| |||||||
COMMERCIAL PAPER — 2.4% |
| |||||||
AllianceBernstein | ||||||||
0.300%, 12/03/2012 (B) | 2,685 | 2,685 | ||||||
AT&T | ||||||||
0.200%, 12/03/2012 (B) | 2,685 | 2,685 | ||||||
NYSE Euronext | ||||||||
0.370%, 12/04/2012 (B) | 4,200 | 4,200 | ||||||
|
| |||||||
Total Commercial Paper |
| 9,570 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 1.4% |
| |||||||
U.S. Treasury Notes | ||||||||
1.500%, 12/31/2013 | 2,815 | 2,854 | ||||||
0.500%, 10/15/2014 | 2,600 | 2,612 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 5,466 | ||||||
|
| |||||||
CASH EQUIVALENT — 0.8% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.060%*† | 3,103,487 | 3,103 | ||||||
|
| |||||||
Total Cash Equivalent |
| 3,103 | ||||||
|
| |||||||
CERTIFICATE OF DEPOSIT — 0.2% |
| |||||||
Intesa Sanpaolo NY | ||||||||
2.375%, 12/21/2012 | 871 | 871 | ||||||
|
| |||||||
Total Certificate of Deposit |
| 871 | ||||||
|
| |||||||
Total Investments — 106.6% |
| $ | 424,004 | |||||
|
|
The open futures contracts held by the Fund at November 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized (Depreciation) ($ Thousands) | |||||||||
U.S. 10-Year Treasury Note | (38 | ) | Mar-2013 | $ | (14 | ) | ||||||
U.S. 2-Year Treasury Note | (12 | ) | Mar-2013 | (1 | ) | |||||||
U.S. 5-Year Treasury Note | (47 | ) | Mar-2013 | (7 | ) | |||||||
|
| |||||||||||
$ | (22 | ) | ||||||||||
|
|
For the period ended November 30, 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 period.
Percentages are based on a Net Assets of $397,673 ($ Thousands).
* | The rate reported is the 7-day effective yield as of November 30, 2012 |
† | Investment in Affiliated Security (see Note 5). |
‡ | Real Estate Investment Trust. |
(A) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of November 30, 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 |
Cl | — Class |
CMO | — Collateralized Mortgage Obligation |
FHLB | — Federal Home Loan Bank |
FHLMC | — Federal Home Loan Mortgage Corporation |
FNMA | — Federal National Mortgage Association |
GNMA | — Government 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 |
REMIC | — Real Estate Mortgage Investment Conduit |
Ser | — Series |
TBA | — To Be Announced |
The following is a list of the inputs used as of November 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands).
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 138,280 | $ | — | $ | 138,280 | ||||||||
Asset-Backed Securities | — | 101,459 | — | 101,459 | ||||||||||||
Mortgage-Backed Securities | — | 82,634 | — | 82,634 | ||||||||||||
U.S. Government Agency Obligations | — | 53,115 | — | 53,115 | ||||||||||||
Municipal Bonds | — | 17,506 | — | 17,506 | ||||||||||||
Repurchase Agreement | — | 12,000 | — | 12,000 | ||||||||||||
Commercial Paper | — | 9,570 | — | 9,570 | ||||||||||||
U.S. Treasury Obligations | — | 5,466 | — | 5,466 | ||||||||||||
Cash Equivalent | 3,103 | — | — | 3,103 | ||||||||||||
Certificate of Deposit | — | 871 | — | 871 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 3,103 | $ | 420,901 | $ | — | $ | 424,004 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (22 | ) | $ | — | $ | — | $ | (22 | ) | ||||||
|
|
|
|
|
|
|
|
168 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
* | Futures contracts are valued at the unrealized depreciation on the instrument |
During the period ended November 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
During the period ended November 30, 2012, the transfers out of Level 3 were due to changes in the availability of observable inputs used to determine fair value.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 169 |
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund
November 30, 2012
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
GLOBAL BONDS — 87.6% |
| |||||||||||||
Angola — 0.1% | ||||||||||||||
Republic of Angola Via Northern | ||||||||||||||
7.000%, 08/16/2019 | 1,313 | $ | 1,457 | |||||||||||
|
| |||||||||||||
Argentina — 1.2% | ||||||||||||||
Argentina Bonos | ||||||||||||||
7.000%, 09/12/2013 | 86 | 81 | ||||||||||||
Capex | ||||||||||||||
10.000%, 03/10/2018 (A) | 494 | 312 | ||||||||||||
City of Buenos Aires Argentina | ||||||||||||||
9.950%, 03/01/2017 (A) | 1,571 | 1,312 | ||||||||||||
Empresa Distribuidora Y Comercializadora Norte | ||||||||||||||
9.750%, 10/25/2022 (A) | 680 | 279 | ||||||||||||
Provincia de Buenos Aires | ||||||||||||||
9.625%, 04/18/2028 | 535 | 300 | ||||||||||||
9.625%, 04/18/2028 (A) | 1,160 | 650 | ||||||||||||
9.375%, 09/14/2018 | 1,000 | 665 | ||||||||||||
Provincia de Mendoza Argentina | ||||||||||||||
5.500%, 09/04/2018 | 231 | 166 | ||||||||||||
Provincia de Neuquen Argentina | ||||||||||||||
8.656%, 10/18/2014 (A) | 9 | 9 | ||||||||||||
Republic of Argentina | ||||||||||||||
8.750%, 06/02/2017 | 392 | 310 | ||||||||||||
8.280%, 12/31/2033 | 1,924 | 1,212 | ||||||||||||
8.280%, 12/31/2033 | 528 | 316 | ||||||||||||
7.820%, 12/31/2033 | EUR | 5,265 | 3,581 | |||||||||||
7.820%, 12/31/2033 | EUR | 1,356 | 945 | |||||||||||
7.000%, 10/03/2015 | 90 | 76 | ||||||||||||
7.000%, 10/03/2015 | 1,342 | 1,132 | ||||||||||||
6.000%, 03/31/2023 (B) | 172 | 138 | ||||||||||||
4.191%, 12/15/2035 (C) | EUR | 8,100 | 764 | |||||||||||
2.500%, 03/31/2019 (D) | 3,468 | 1,130 | ||||||||||||
2.260%, 03/31/2019 (D) | EUR | 270 | 105 | |||||||||||
0.000%, 03/31/2023 (B) (C) | 1,680 | 1,277 | ||||||||||||
WPE International Tief | ||||||||||||||
10.375%, 09/30/2020 | 600 | 516 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
10.375%, 09/30/2020 (A) | 550 | $ | 473 | |||||||||||
|
| |||||||||||||
15,749 | ||||||||||||||
|
| |||||||||||||
Azerbaijan — 0.1% | ||||||||||||||
State Oil of the Azerbaijan Republic | ||||||||||||||
5.450%, 02/09/2017 | 679 | 742 | ||||||||||||
|
| |||||||||||||
Barbados — 0.1% | ||||||||||||||
Columbus International | ||||||||||||||
11.500%, 11/20/2014 (A) | 1,400 | 1,554 | ||||||||||||
|
| |||||||||||||
Belarus — 0.2% | ||||||||||||||
Republic of Belarus | ||||||||||||||
8.950%, 01/26/2018 | 1,390 | 1,378 | ||||||||||||
8.750%, 08/03/2015 | 1,180 | 1,186 | ||||||||||||
|
| |||||||||||||
2,564 | ||||||||||||||
|
| |||||||||||||
Bermuda — 0.1% | ||||||||||||||
Bermuda Government International Bond | ||||||||||||||
4.138%, 01/03/2023 (A) | 880 | 941 | ||||||||||||
|
| |||||||||||||
Bolivia — 0.0% | ||||||||||||||
Bolivian Government International Bond | ||||||||||||||
4.875%, 10/29/2022 (A) | 500 | 496 | ||||||||||||
|
| |||||||||||||
Bosnia and Herzegovina — 0.1% | ||||||||||||||
Republic of Bosnia & Herzegovina | ||||||||||||||
2.063%, 12/11/2021 (C) | DEM | 1,583 | 832 | |||||||||||
|
| |||||||||||||
Brazil — 6.2% | ||||||||||||||
Banco Cruzeiro do Sul | ||||||||||||||
8.875%, 09/22/2020 (B) | 261 | — | ||||||||||||
8.875%, 09/22/2020 (A) (B) | 1,334 | 1 | ||||||||||||
Banco do Brasil | ||||||||||||||
3.875%, 10/10/2022 | 230 | 230 | ||||||||||||
Banco Nacional de Desenvolvimento Economico e Social | ||||||||||||||
6.500%, 06/10/2019 (A) | 720 | 882 | ||||||||||||
5.500%, 07/12/2020 | 100 | 117 | ||||||||||||
5.500%, 07/12/2020 (A) | 400 | 470 | ||||||||||||
Barclays, CLN (Nota do Tesouro Nacional) | ||||||||||||||
10.000%, 01/01/2017 | BRL | 8,230 | 4,071 | |||||||||||
10.000%, 01/01/2021 | BRL | 7,120 | 3,512 | |||||||||||
10.000%, 01/01/2021 | BRL | 900 | 463 | |||||||||||
6.000%, 05/15/2015 | BRL | 2,230 | 2,545 | |||||||||||
6.000%, 05/15/2015 | BRL | 1,040 | 1,187 | |||||||||||
6.000%, 08/15/2020 | BRL | 940 | 1,179 | |||||||||||
BM&F Bovespa | ||||||||||||||
5.500%, 07/16/2020 (A) | 406 | 459 | ||||||||||||
BR Properties | ||||||||||||||
9.000%, 12/31/2049 (A) | 180 | 194 |
170 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
Braskem Finance | ||||||||||||||
7.375%, 10/04/2049 | 100 | $ | 104 | |||||||||||
Brazil Letras do Tesouro Nacional | ||||||||||||||
8.370%, 01/01/2015 | 11,400 | 4,608 | ||||||||||||
Brazil Notas do Tesouro Nacional | ||||||||||||||
13.199%, 05/15/2015 | BRL | 5,476 | 6,250 | |||||||||||
10.674%, 08/15/2020 | BRL | 6,359 | 7,978 | |||||||||||
6.000%, 08/15/2016 | BRL | 3,321 | 3,904 | |||||||||||
6.000%, 08/15/2050 | BRL | 2,170 | 3,161 | |||||||||||
Caixa Economica Federal | ||||||||||||||
3.500%, 11/07/2022 (A) | 159 | 161 | ||||||||||||
2.375%, 11/06/2017 (A) | 250 | 248 | ||||||||||||
Cia Energetica de Sao Paulo MTN | ||||||||||||||
9.750%, 01/15/2015 | BRL | 670 | 484 | |||||||||||
Federal Republic of Brazil | ||||||||||||||
11.000%, 08/17/2040 | 100 | 126 | ||||||||||||
10.250%, 01/10/2028 | BRL | 1,270 | 772 | |||||||||||
10.125%, 05/15/2027 | 1,613 | 2,972 | ||||||||||||
8.875%, 04/15/2024 | 420 | 683 | ||||||||||||
8.500%, 01/05/2024 | BRL | 12,150 | 6,759 | |||||||||||
8.250%, 01/20/2034 | 2,219 | 3,761 | ||||||||||||
8.000%, 01/15/2018 | 1,200 | 1,401 | ||||||||||||
7.125%, 01/20/2037 | 1,375 | 2,131 | ||||||||||||
5.875%, 01/15/2019 | 260 | 322 | ||||||||||||
5.625%, 01/07/2041 | 1,509 | 1,992 | ||||||||||||
4.875%, 01/22/2021 | 977 | 1,183 | ||||||||||||
2.625%, 01/05/2023 | 450 | 455 | ||||||||||||
Fibria Overseas Finance | ||||||||||||||
6.750%, 03/03/2021 | 900 | 981 | ||||||||||||
General Shopping Finance | ||||||||||||||
10.000%, 12/31/2049 (A) | 66 | 65 | ||||||||||||
Globo Comunicacao e Participacoes | ||||||||||||||
6.250%, 07/20/2015 (D) | 162 | 174 | ||||||||||||
Hypermarcas | ||||||||||||||
6.500%, 04/20/2021 (A) | 200 | 213 | ||||||||||||
Itau Unibanco Holding | ||||||||||||||
5.650%, 03/19/2022 (A) | 232 | 244 | ||||||||||||
5.125%, 05/13/2023 (A) | 388 | 394 | ||||||||||||
JBS Finance | ||||||||||||||
8.250%, 01/29/2018 | 100 | 104 | ||||||||||||
8.250%, 01/29/2018 (A) | 1,410 | 1,470 | ||||||||||||
JPMorgan Chase, CLN (Nota do Tesouro Nacional) | ||||||||||||||
10.000%, 01/01/2023 | BRL | 2,000 | 971 | |||||||||||
6.000%, 05/15/2015 | BRL | 2,750 | 3,139 | |||||||||||
Marfrig Holding Europe | ||||||||||||||
8.375%, 05/09/2018 | 642 | 536 | ||||||||||||
Marfrig Overseas | ||||||||||||||
9.500%, 05/04/2020 | 1,000 | 850 | ||||||||||||
Minerva Luxembourg | ||||||||||||||
12.250%, 02/10/2022 | 200 | 236 | ||||||||||||
12.250%, 02/10/2022 (A) | 1,100 | 1,301 | ||||||||||||
Minerva Overseas II | ||||||||||||||
10.875%, 11/15/2019 (A) | 164 | 184 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
Morgan Stanley | ||||||||||||||
10.090%, 05/03/2017 (A) | BRL | 2,800 | $ | 1,449 | ||||||||||
NET Servicos de Comunicacao | ||||||||||||||
7.500%, 01/27/2020 | 300 | 346 | ||||||||||||
Odebrecht Drilling Norbe VIII | ||||||||||||||
6.350%, 06/30/2021 | 402 | 451 | ||||||||||||
6.350%, 06/30/2021 (A) | 90 | 101 | ||||||||||||
Odebrecht Finance | ||||||||||||||
7.125%, 06/26/2042 | 210 | 243 | ||||||||||||
5.125%, 06/26/2022 (A) | 200 | 215 | ||||||||||||
OGX Austria GmbH | ||||||||||||||
8.375%, 04/01/2022 (A) | 700 | 571 | ||||||||||||
OGX Petroleo e Gas Participacoes | ||||||||||||||
8.500%, 06/01/2018 (A) | 742 | 646 | ||||||||||||
OSX 3 Leasing BV | ||||||||||||||
9.250%, 03/20/2015 (A) | 300 | 311 | ||||||||||||
QGOG Atlantic | ||||||||||||||
5.250%, 07/30/2018 (A) | 356 | 371 | ||||||||||||
Samarco Mineracao | ||||||||||||||
4.125%, 11/01/2022 | 542 | 542 | ||||||||||||
Schahin II Finance SPV | ||||||||||||||
5.875%, 09/25/2022 (A) | 710 | 740 | ||||||||||||
Vale | ||||||||||||||
5.625%, 09/11/2042 | 340 | 367 | ||||||||||||
Vale Overseas | ||||||||||||||
8.250%, 01/17/2034 | 260 | 354 | ||||||||||||
6.875%, 11/21/2036 | 280 | 346 | ||||||||||||
Voto-Votorantim Overseas Trading Operations | ||||||||||||||
6.625%, 09/25/2019 (A) | 600 | 698 | ||||||||||||
|
| |||||||||||||
83,378 | ||||||||||||||
|
| |||||||||||||
Chile — 0.8% | ||||||||||||||
Banco del Estado de Chile | ||||||||||||||
4.125%, 10/07/2020 | 160 | 174 | ||||||||||||
4.125%, 10/07/2020 (A) | 300 | 326 | ||||||||||||
3.875%, 02/08/2022 (A) | 250 | 266 | ||||||||||||
BRT Escrow | ||||||||||||||
8.000%, 08/18/2018 (A) | 1,123 | 1,179 | ||||||||||||
Cencosud | ||||||||||||||
4.875%, 01/20/2023 (A) | 200 | 198 | ||||||||||||
Chile Government International Bond | ||||||||||||||
5.500%, 08/05/2020 | CLP | 650,000 | 1,479 | |||||||||||
3.250%, 09/14/2021 | 596 | 651 | ||||||||||||
Empresa Nacional del Petroleo | ||||||||||||||
6.250%, 07/08/2019 | 200 | 230 | ||||||||||||
6.250%, 07/08/2019 (A) | 30 | 35 | ||||||||||||
5.250%, 08/10/2020 (A) | 280 | 309 | ||||||||||||
Nacional del Cobre de Chile | ||||||||||||||
7.500%, 01/15/2019 | 190 | 245 | ||||||||||||
6.150%, 10/24/2036 | 958 | 1,234 | ||||||||||||
6.150%, 10/24/2036 (A) | 569 | 733 | ||||||||||||
4.250%, 07/17/2042 (A) | 1,136 | 1,142 | ||||||||||||
3.875%, 11/03/2021 | 447 | 486 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 171 |
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
November 30, 2012
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
3.875%, 11/03/2021 (A) | 450 | $ | 490 | |||||||||||
3.750%, 11/04/2020 | 120 | 129 | ||||||||||||
3.750%, 11/04/2020 (A) | 310 | 334 | ||||||||||||
3.000%, 07/17/2022 (A) | 960 | 972 | ||||||||||||
Telefonica Chile | ||||||||||||||
3.875%, 10/12/2022 (A) | 401 | 396 | ||||||||||||
|
| |||||||||||||
11,008 | ||||||||||||||
|
| |||||||||||||
China — 1.0% | ||||||||||||||
Agile Property Holdings | ||||||||||||||
8.875%, 04/28/2017 | 900 | 972 | ||||||||||||
China Overseas Finance Cayman II | ||||||||||||||
5.500%, 11/10/2020 | 100 | 111 | ||||||||||||
China Shanshui Cement Group | ||||||||||||||
10.500%, 04/27/2017 (A) | 750 | 844 | ||||||||||||
CNPC HK Overseas Capital | ||||||||||||||
5.950%, 04/28/2041 | 400 | 516 | ||||||||||||
Country Garden Holdings | ||||||||||||||
11.250%, 04/22/2017 | 1,150 | 1,299 | ||||||||||||
Evergrande Real Estate Group | ||||||||||||||
13.000%, 01/27/2015 | 200 | 215 | ||||||||||||
13.000%, 01/27/2015 | 300 | 323 | ||||||||||||
13.000%, 01/27/2015 (A) | 350 | 376 | ||||||||||||
9.250%, 01/19/2016 | CNY | 5,600 | 873 | |||||||||||
7.500%, 01/19/2014 | CNY | 3,280 | 523 | |||||||||||
Franshion Development | ||||||||||||||
6.750%, 04/15/2021 (A) | 430 | 449 | ||||||||||||
Hidili Industry International Development | ||||||||||||||
8.625%, 11/04/2015 | 900 | 697 | ||||||||||||
Mega Advance Investments | ||||||||||||||
5.000%, 05/12/2021 (A) | 200 | 225 | ||||||||||||
MIE Holdings | ||||||||||||||
9.750%, 05/12/2016 (A) | 200 | 216 | ||||||||||||
Sinochem Offshore Capital | ||||||||||||||
1.800%, 01/18/2014 | CNY | 3,000 | 472 | |||||||||||
Sinochem Overseas Capital | ||||||||||||||
6.300%, 11/12/2040 | 190 | 230 | ||||||||||||
4.500%, 11/12/2020 | 925 | 996 | ||||||||||||
4.500%, 11/12/2020 (A) | 2,311 | 2,487 | ||||||||||||
Sinopec Group Overseas Development 2012 | ||||||||||||||
4.875%, 05/17/2042 (A) | 320 | 375 | ||||||||||||
3.900%, 05/17/2022 (A) | 310 | 336 | ||||||||||||
Tencent Holdings | ||||||||||||||
4.625%, 12/12/2016 | 200 | 215 | ||||||||||||
3.375%, 03/05/2018 | 230 | 237 | ||||||||||||
|
| |||||||||||||
12,987 | ||||||||||||||
|
| |||||||||||||
Colombia — 4.3% |
| |||||||||||||
BanColombia | ||||||||||||||
5.950%, 06/03/2021 | 200 | 230 | ||||||||||||
5.950%, 06/03/2021 (A) | 431 | 497 | ||||||||||||
5.125%, 09/11/2022 | 184 | 191 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
Bogota Distrito Capital | ||||||||||||||
9.750%, 07/26/2028 | COP | 300,000 | $ | 247 | ||||||||||
9.750%, 07/26/2028 (A) | COP | 10,518,000 | 8,662 | |||||||||||
Citigroup Funding, CLN (Republic of Colombia) MTN | ||||||||||||||
11.000%, 07/27/2020 | COP | 9,180,000 | 6,692 | |||||||||||
Colombia Telecomunicaciones ESP | ||||||||||||||
5.375%, 09/27/2022 (A) | 540 | 545 | ||||||||||||
Colombian TES | ||||||||||||||
7.500%, 08/26/2026 | COP | 1,848,000 | 1,145 | |||||||||||
Ecopetrol | ||||||||||||||
7.625%, 07/23/2019 (A) | 210 | 271 | ||||||||||||
Emgesa ESP | ||||||||||||||
8.750%, 01/25/2021 | COP | 940,000 | 592 | |||||||||||
Empresa de Energia de Bogota | ||||||||||||||
6.125%, 11/10/2021 | 200 | 225 | ||||||||||||
Empresas Publicas de Medellin ESP | ||||||||||||||
8.375%, 02/01/2021 | COP | 334,000 | 208 | |||||||||||
Grupo Aval | ||||||||||||||
5.250%, 02/01/2017 (A) | 200 | 212 | ||||||||||||
4.750%, 09/26/2022 (A) | 234 | 236 | ||||||||||||
Gruposura Finance | ||||||||||||||
5.700%, 05/18/2021 (A) | 472 | 523 | ||||||||||||
Republic of Colombia | ||||||||||||||
12.000%, 10/22/2015 | COP | 5,096,000 | 3,438 | |||||||||||
11.750%, 02/25/2020 | 2,838 | 4,595 | ||||||||||||
10.375%, 01/28/2033 | 130 | 241 | ||||||||||||
9.850%, 06/28/2027 | COP | 6,620,000 | 5,654 | |||||||||||
8.125%, 05/21/2024 | 1,210 | 1,820 | ||||||||||||
7.750%, 04/14/2021 | COP | 6,097,000 | 4,267 | |||||||||||
7.375%, 01/27/2017 | 785 | 973 | ||||||||||||
7.375%, 03/18/2019 | 1,310 | 1,727 | ||||||||||||
7.375%, 09/18/2037 | 5,670 | 8,834 | ||||||||||||
6.125%, 01/18/2041 | 1,230 | 1,697 | ||||||||||||
4.375%, 07/12/2021 | 450 | 521 | ||||||||||||
4.375%, 03/21/2023 | COP | 3,443,000 | 1,902 | |||||||||||
Titulos de Tesoreria | ||||||||||||||
7.000%, 02/25/2015 | COP | 620,000 | 776 | |||||||||||
Transportadora de Gas Internacional ESP | ||||||||||||||
5.700%, 03/20/2022 (A) | 200 | 221 | ||||||||||||
|
| |||||||||||||
57,142 | ||||||||||||||
|
| |||||||||||||
Costa Rica — 0.1% |
| |||||||||||||
Costa Rica Government International Bond | ||||||||||||||
4.250%, 01/26/2023 (A) | 890 | 895 | ||||||||||||
|
| |||||||||||||
Croatia — 1.0% |
| |||||||||||||
Agrokor | ||||||||||||||
9.125%, 02/01/2020 (A) | EUR | 140 | 191 | |||||||||||
8.875%, 02/01/2020 (A) | 200 | 213 |
172 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
Hrvatska Elektroprivreda | ||||||||||||||
6.000%, 11/09/2017 (A) | 245 | $ | 259 | |||||||||||
Republic of Croatia | ||||||||||||||
6.750%, 11/05/2019 | 2,555 | 2,957 | ||||||||||||
6.625%, 07/14/2020 | 2,155 | 2,484 | ||||||||||||
6.625%, 07/14/2020 (A) | 1,834 | 2,114 | ||||||||||||
6.375%, 03/24/2021 | 1,130 | 1,295 | ||||||||||||
6.375%, 03/24/2021 (A) | 836 | 958 | ||||||||||||
6.250%, 04/27/2017 (A) | 1,216 | 1,341 | ||||||||||||
5.875%, 07/09/2018 | EUR | 170 | 238 | |||||||||||
Zagrebacki Holding | ||||||||||||||
5.500%, 07/10/2017 | EUR | 1,300 | 1,479 | |||||||||||
|
| |||||||||||||
13,529 | ||||||||||||||
|
| |||||||||||||
Czech Republic — 0.1% |
| |||||||||||||
Central European Media Enterprises | ||||||||||||||
11.625%, 09/15/2016 (A) | EUR | 600 | 814 | |||||||||||
|
| |||||||||||||
Dominican Republic — 0.2% |
| |||||||||||||
Capital Cana | ||||||||||||||
10.000%, 04/30/2016 (B) | 1,054 | 158 | ||||||||||||
10.000%, 04/30/2016 (B) | 1,007 | 252 | ||||||||||||
Republic of Dominican Republic | ||||||||||||||
9.040%, 01/23/2018 | 786 | 890 | ||||||||||||
7.500%, 05/06/2021 | 658 | 769 | ||||||||||||
7.500%, 05/06/2021 (A) | 520 | 608 | ||||||||||||
|
| |||||||||||||
2,677 | ||||||||||||||
|
| |||||||||||||
Ecuador — 0.0% | ||||||||||||||
Republic of Ecuador | ||||||||||||||
9.375%, 12/15/2015 | 380 | 382 | ||||||||||||
|
| |||||||||||||
Egypt — 0.1% | ||||||||||||||
Arab Republic of Egypt | ||||||||||||||
6.875%, 04/30/2040 | 300 | 298 | ||||||||||||
5.750%, 04/29/2020 | 100 | 104 | ||||||||||||
5.750%, 04/29/2020 (A) | 270 | 281 | ||||||||||||
Nile Finance | ||||||||||||||
5.250%, 08/05/2015 | 360 | 362 | ||||||||||||
|
| |||||||||||||
1,045 | ||||||||||||||
|
| |||||||||||||
El Salvador — 0.3% | ||||||||||||||
Republic of El Salvador | ||||||||||||||
8.250%, 04/10/2032 | 110 | 130 | ||||||||||||
7.750%, 01/24/2023 | 367 | 430 | ||||||||||||
7.650%, 06/15/2035 | 1,350 | 1,494 | ||||||||||||
7.650%, 06/15/2035 | 110 | 122 | ||||||||||||
7.625%, 02/01/2041 (A) | 410 | 456 | ||||||||||||
7.375%, 12/01/2019 (A) | 250 | 284 | ||||||||||||
5.875%, 01/30/2025 (A) | 410 | 412 | ||||||||||||
Telemovil Finance | ||||||||||||||
8.000%, 10/01/2017 | 500 | 529 | ||||||||||||
|
| |||||||||||||
3,857 | ||||||||||||||
|
|
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
Georgia — 0.1% | ||||||||||||
Georgian Railway JSC | ||||||||||||
7.750%, 07/11/2022 (A) | 420 | $ | 474 | |||||||||
Republic of Georgia | ||||||||||||
6.875%, 04/12/2021 | 200 | 232 | ||||||||||
6.875%, 04/12/2021 (A) | 310 | 360 | ||||||||||
|
| |||||||||||
1,066 | ||||||||||||
|
| |||||||||||
Germany — 0.4% | ||||||||||||
Desarrolladora Homex MTN | ||||||||||||
10.000%, 01/06/2021 | 3,500 | 3,791 | ||||||||||
Deutsche Bank, CLN, (Cablevision) MTN | ||||||||||||
9.375%, 02/13/2018 (A) | 1,684 | 1,305 | ||||||||||
|
| |||||||||||
5,096 | ||||||||||||
|
| |||||||||||
Ghana — 0.1% | ||||||||||||
Republic of Ghana | ||||||||||||
8.500%, 10/04/2017 | 944 | 1,086 | ||||||||||
8.500%, 10/04/2017 (A) | 300 | 345 | ||||||||||
|
| |||||||||||
1,431 | ||||||||||||
|
| |||||||||||
Hong Kong — 0.5% | ||||||||||||
Bank of China Hong Kong | ||||||||||||
5.550%, 02/11/2020 (A) | 930 | 1,050 | ||||||||||
Central China Real Estate | ||||||||||||
12.250%, 10/20/2015 | 300 | 333 | ||||||||||
China Oriental Group | ||||||||||||
8.000%, 08/18/2015 | 600 | 603 | ||||||||||
8.000%, 08/18/2015 (A) | 650 | 653 | ||||||||||
Fosun International | ||||||||||||
7.500%, 05/12/2016 | 600 | 617 | ||||||||||
Hutchison Whampoa International 10 | ||||||||||||
6.000%, 12/31/2049 (C) | 264 | 276 | ||||||||||
Hutchison Whampoa International 11 | ||||||||||||
4.625%, 01/13/2022 (A) | 500 | 560 | ||||||||||
Hutchison Whampoa International 12 II | ||||||||||||
2.000%, 11/08/2017 (A) | 200 | 200 | ||||||||||
Industrial & Commercial Bank of China Asia MTN | ||||||||||||
5.125%, 11/30/2020 | 310 | 343 | ||||||||||
PCCW-HKT Capital No. 4 | ||||||||||||
4.250%, 02/24/2016 | 337 | 361 | ||||||||||
Sino-Forest | ||||||||||||
10.250%, 07/28/2014 (B) | 1,140 | 182 | ||||||||||
10.250%, 07/28/2014 (A) (B) | 160 | 26 | ||||||||||
6.250%, 10/21/2017 (B) | 2,140 | 342 | ||||||||||
6.250%, 10/21/2017 (A) (B) | 158 | 25 | ||||||||||
Swire Pacific Financing MTN | ||||||||||||
4.500%, 02/28/2022 | 400 | 441 | ||||||||||
Yancoal International Resources Development | ||||||||||||
5.730%, 05/16/2022 (A) | 308 | 315 | ||||||||||
|
| |||||||||||
6,327 | ||||||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 173 |
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
November 30, 2012
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
Hungary — 3.7% | ||||||||||||||
Hungary Treasury Bills | ||||||||||||||
6.816%, 01/02/2013 | HUF | 607,590 | $ | 2,797 | ||||||||||
Republic of Hungary | ||||||||||||||
8.000%, 02/12/2015 | HUF | 1,392,200 | 6,725 | |||||||||||
7.750%, 08/24/2015 | HUF | 2,988,620 | 14,404 | |||||||||||
7.625%, 03/29/2041 | 930 | 1,065 | ||||||||||||
7.000%, 06/24/2022 | HUF | 690,300 | 3,224 | |||||||||||
6.750%, 02/24/2017 | HUF | 980,000 | 4,598 | |||||||||||
6.750%, 11/24/2017 | HUF | 1,212,120 | 5,694 | |||||||||||
6.500%, 06/24/2019 | HUF | 167,000 | 774 | |||||||||||
6.375%, 03/29/2021 | 1,586 | 1,750 | ||||||||||||
6.250%, 01/29/2020 | 790 | 868 | ||||||||||||
6.000%, 01/11/2019 | EUR | 704 | 938 | |||||||||||
5.750%, 06/11/2018 | EUR | 2,448 | 3,238 | |||||||||||
5.500%, 05/06/2014 | GBP | 598 | 971 | |||||||||||
5.000%, 03/30/2016 | GBP | 253 | 400 | |||||||||||
3.500%, 07/18/2016 | EUR | 1,819 | 2,272 | |||||||||||
|
| |||||||||||||
49,718 | ||||||||||||||
|
| |||||||||||||
India — 0.1% | ||||||||||||||
ICICI Bank | ||||||||||||||
5.750%, 11/16/2020 | 100 | 108 | ||||||||||||
5.750%, 11/16/2020 (A) | 127 | 138 | ||||||||||||
Reliance Holdings USA | ||||||||||||||
6.250%, 10/19/2040 | 550 | 640 | ||||||||||||
5.400%, 02/14/2022 (A) | 250 | 275 | ||||||||||||
Vedanta Resources | ||||||||||||||
8.250%, 06/07/2021 | 200 | 216 | ||||||||||||
8.250%, 06/07/2021 (A) | 200 | 216 | ||||||||||||
|
| |||||||||||||
1,593 | ||||||||||||||
|
| |||||||||||||
Indonesia — 5.1% | ||||||||||||||
Adaro Indonesia | ||||||||||||||
7.625%, 10/22/2019 (A) | 480 | 530 | ||||||||||||
Deutsche Bank, CLN (Republic of Indonesia) | ||||||||||||||
7.000%, 05/15/2022 | IDR | 6,000,000 | 699 | |||||||||||
Indosat Palapa | ||||||||||||||
7.375%, 07/29/2020 (A) | 210 | 236 | ||||||||||||
JPMorgan Chase, CLN (Republic of Indonesia) | ||||||||||||||
7.000%, 05/15/2022 | IDR | 127,400,000 | 14,843 | |||||||||||
5.625%, 05/15/2023 | IDR | 15,200,000 | 1,619 | |||||||||||
5.250%, 05/15/2018 | IDR | 22,300,000 | 2,364 | |||||||||||
Majapahit Holding | ||||||||||||||
8.000%, 08/07/2019 | 100 | 126 | ||||||||||||
8.000%, 08/07/2019 (A) | 350 | 440 | ||||||||||||
7.875%, 06/29/2037 (A) | 215 | 295 | ||||||||||||
7.750%, 10/17/2016 | 250 | 297 | ||||||||||||
7.750%, 10/17/2016 | 160 | 190 | ||||||||||||
7.750%, 01/20/2020 (A) | 320 | 402 | ||||||||||||
Pertamina Persero | ||||||||||||||
6.500%, 05/27/2041 (A) | 820 | 974 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
6.000%, 05/03/2042 (A) | 1,450 | $ | 1,638 | |||||||||||
4.875%, 05/03/2022 (A) | 550 | 599 | ||||||||||||
Perusahaan Listrik Negara | ||||||||||||||
5.500%, 11/22/2021 (A) | 390 | 438 | ||||||||||||
5.250%, 10/24/2042 (A) | 200 | 206 | ||||||||||||
Republic of Indonesia | ||||||||||||||
11.625%, 03/04/2019 | 408 | 620 | ||||||||||||
11.625%, 03/04/2019 | 1,981 | 3,011 | ||||||||||||
11.625%, 03/04/2019 (A) | 1,960 | 2,979 | ||||||||||||
11.000%, 10/15/2014 | IDR | 5,300,000 | 613 | |||||||||||
10.375%, 05/04/2014 | 170 | 191 | ||||||||||||
8.500%, 10/12/2035 | 1,970 | 3,177 | ||||||||||||
8.500%, 10/12/2035 | 1,200 | 1,935 | ||||||||||||
8.500%, 10/12/2035 | 831 | 1,340 | ||||||||||||
8.250%, 06/15/2032 | IDR | 71,748,000 | 9,169 | |||||||||||
7.750%, 01/17/2038 | 3,280 | 4,994 | ||||||||||||
7.750%, 01/17/2038 | 170 | 259 | ||||||||||||
7.500%, 01/15/2016 | 550 | 643 | ||||||||||||
7.000%, 05/15/2022 | IDR | 24,500,000 | 2,854 | |||||||||||
6.875%, 01/17/2018 | 1,924 | 2,352 | ||||||||||||
6.875%, 01/17/2018 (A) | 100 | 122 | ||||||||||||
6.625%, 05/15/2033 | IDR | 18,369,000 | 2,006 | |||||||||||
6.625%, 02/17/2037 | 70 | 95 | ||||||||||||
6.625%, 02/17/2037 | 100 | 136 | ||||||||||||
6.250%, 04/15/2017 | IDR | 17,400,000 | 1,901 | |||||||||||
5.875%, 03/13/2020 (A) | 790 | 956 | ||||||||||||
5.625%, 05/15/2023 | IDR | 8,980,000 | 956 | |||||||||||
4.875%, 05/05/2021 | 400 | 462 | ||||||||||||
4.875%, 05/05/2021 (A) | 550 | 635 | ||||||||||||
3.750%, 04/25/2022 | 476 | 512 | ||||||||||||
Sable International Finance | ||||||||||||||
8.750%, 02/01/2020 (A) | 300 | 343 | ||||||||||||
Star Energy | ||||||||||||||
11.500%, 02/12/2015 (A) | 300 | 321 | ||||||||||||
|
| |||||||||||||
68,478 | ||||||||||||||
|
| |||||||||||||
Iraq — 0.5% |
| |||||||||||||
Republic of Iraq | ||||||||||||||
5.800%, 01/15/2028 | 5,757 | 5,411 | ||||||||||||
5.800%, 01/15/2028 (A) | 620 | 583 | ||||||||||||
|
| |||||||||||||
5,994 | ||||||||||||||
|
| |||||||||||||
Israel — 0.2% |
| |||||||||||||
Israel Government Bond - Fixed | ||||||||||||||
5.500%, 01/31/2022 | ILS | 9,600 | 2,950 | |||||||||||
|
| |||||||||||||
Ivory Coast — 0.4% |
| |||||||||||||
Government of Ivory Coast | ||||||||||||||
3.750%, 12/31/2032 (B) | 6,497 | 5,912 | ||||||||||||
|
| |||||||||||||
Jamaica — 0.2% |
| |||||||||||||
Digicel Group | ||||||||||||||
10.500%, 04/15/2018 | 500 | 550 | ||||||||||||
8.250%, 09/30/2020 | 1,300 | 1,381 |
174 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
8.250%, 09/30/2020 (A) | 200 | $ | 213 | |||||||||
|
| |||||||||||
2,144 | ||||||||||||
|
| |||||||||||
Jordan — 0.1% |
| |||||||||||
Kingdom of Jordan | ||||||||||||
3.875%, 11/12/2015 | 790 | 769 | ||||||||||
|
| |||||||||||
Kazakhstan — 1.9% |
| |||||||||||
ATF Bank JSC | ||||||||||||
9.000%, 05/11/2016 | 400 | 395 | ||||||||||
BTA Bank | ||||||||||||
10.750%, 07/01/2018 (B) | 4,300 | 1,725 | ||||||||||
10.750%, 07/01/2018 (A) (B) | 1,502 | 603 | ||||||||||
0.000%, 06/30/2020 (A) (B) | 2,772 | 319 | ||||||||||
Development Bank of Kazakhstan | ||||||||||||
5.500%, 12/20/2015 (A) | 400 | 437 | ||||||||||
4.125%, 12/10/2022 (A) | 530 | 523 | ||||||||||
Halyk Savings Bank of Kazakhstan | ||||||||||||
7.250%, 01/28/2021 (A) | 700 | 742 | ||||||||||
Kazakhstan Temir Zholy Finance | ||||||||||||
6.950%, 07/10/2042 | 500 | 619 | ||||||||||
6.375%, 10/06/2020 | 660 | 787 | ||||||||||
Kazatomprom | ||||||||||||
6.250%, 05/20/2015 | 250 | 273 | ||||||||||
6.250%, 05/20/2015 (A) | 900 | 984 | ||||||||||
Kazkommertsbank MTN | ||||||||||||
7.500%, 11/29/2016 | 800 | 707 | ||||||||||
Kazkommertsbank JSC Via Citigroup Global Markets | ||||||||||||
8.700%, 04/07/2014 (C) (D) | 600 | 557 | ||||||||||
KazMunayGas National | ||||||||||||
11.750%, 01/23/2015 | 1,604 | 1,923 | ||||||||||
11.750%, 01/23/2015 (A) | 180 | 216 | ||||||||||
9.125%, 07/02/2018 | 968 | 1,275 | ||||||||||
9.125%, 07/02/2018 (A) | 2,828 | 3,726 | ||||||||||
8.375%, 07/02/2013 | 770 | 799 | ||||||||||
7.000%, 05/05/2020 | 600 | 747 | ||||||||||
7.000%, 05/05/2020 (A) | 1,331 | 1,657 | ||||||||||
6.375%, 04/09/2021 | 200 | 244 | ||||||||||
6.375%, 04/09/2021 (A) | 3,065 | 3,744 | ||||||||||
Tengizchevroil Finance | ||||||||||||
6.124%, 11/15/2014 | 229 | 238 | ||||||||||
Zhaikmunai Via Zhaikmunai International BV | ||||||||||||
7.125%, 11/13/2019 (A) | 1,570 | 1,611 | ||||||||||
|
|
| ||||||||||
24,851 | ||||||||||||
|
|
| ||||||||||
Kuwait — 0.1% |
| |||||||||||
Kuwait Projects MTN | ||||||||||||
9.375%, 07/15/2020 | 700 | 848 | ||||||||||
|
|
| ||||||||||
Latvia — 0.1% |
| |||||||||||
Republic of Latvia | ||||||||||||
5.250%, 06/16/2021 (A) | 540 | 626 | ||||||||||
|
|
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
Lithuania — 1.2% | ||||||||||||||
Republic of Lithuania | ||||||||||||||
7.375%, 02/11/2020 | 761 | $ | 984 | |||||||||||
7.375%, 02/11/2020 (A) | 800 | 1,034 | ||||||||||||
6.625%, 02/01/2022 | 1,300 | 1,654 | ||||||||||||
6.625%, 02/01/2022 (A) | 750 | 954 | ||||||||||||
6.125%, 03/09/2021 | 5,790 | 7,086 | ||||||||||||
6.125%, 03/09/2021 (A) | 1,716 | 2,100 | ||||||||||||
5.125%, 09/14/2017 | 350 | 394 | ||||||||||||
5.125%, 09/14/2017 (A) | 540 | 607 | ||||||||||||
4.850%, 02/07/2018 | EUR | 1,050 | 1,526 | |||||||||||
|
| |||||||||||||
16,339 | ||||||||||||||
|
| |||||||||||||
Malaysia — 4.4% | ||||||||||||||
Axiata SPV1 Labuan | ||||||||||||||
5.375%, 04/28/2020 | 290 | 330 | ||||||||||||
IOI Investment L MTN | ||||||||||||||
4.375%, 06/27/2022 | 200 | 207 | ||||||||||||
Malaysia Government Bond | ||||||||||||||
4.392%, 04/15/2026 | MYR | 10,900 | 3,864 | |||||||||||
4.262%, 09/15/2016 | MYR | 29,050 | 9,919 | |||||||||||
4.160%, 07/15/2021 | MYR | 11,520 | 3,958 | |||||||||||
4.012%, 09/15/2017 | MYR | 30,580 | 10,391 | |||||||||||
3.892%, 03/15/2027 | MYR | 1,122 | 377 | |||||||||||
3.580%, 09/28/2018 | MYR | 7,300 | 2,431 | |||||||||||
3.492%, 03/31/2020 | MYR | 683 | 225 | |||||||||||
3.418%, 08/15/2022 | MYR | 15,686 | 5,126 | |||||||||||
3.314%, 10/31/2017 | MYR | 7,270 | 2,396 | |||||||||||
3.197%, 10/15/2015 | MYR | 34,030 | 11,216 | |||||||||||
Penerbangan Malaysia Berhad | ||||||||||||||
5.625%, 03/15/2016 | 741 | 837 | ||||||||||||
Petronas Capital | ||||||||||||||
7.875%, 05/22/2022 | 858 | 1,240 | ||||||||||||
5.250%, 08/12/2019 | 150 | 180 | ||||||||||||
5.250%, 08/12/2019 (A) | 4,444 | 5,342 | ||||||||||||
Petronas Capital Registered | ||||||||||||||
7.875%, 05/22/2022 | 46 | 67 | ||||||||||||
Wakala Global Sukuk | ||||||||||||||
4.646%, 07/06/2021 (A) | 410 | 474 | ||||||||||||
|
| |||||||||||||
58,580 | ||||||||||||||
|
| |||||||||||||
Mexico — 8.6% | ||||||||||||||
Alpek | ||||||||||||||
4.500%, 11/20/2022 | 200 | 206 | ||||||||||||
America Movil | ||||||||||||||
3.125%, 07/16/2022 | 200 | 206 | ||||||||||||
2.375%, 09/08/2016 | 250 | 261 | ||||||||||||
Banco Santander Mexico Institucion de Banca Multiple Grupo Financiero Santand | ||||||||||||||
4.125%, 11/09/2022 (A) | 232 | 234 | ||||||||||||
Bank of New York Mellon Institucion de Banca Multiple | ||||||||||||||
9.625%, 05/02/2021 (A) | 1,472 | 1,384 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 175 |
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
November 30, 2012
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
BBVA Bancomer | ||||||||||||||
6.750%, 09/30/2022 (A) | 500 | $ | 559 | |||||||||||
6.008%, 05/17/2022 (C) | 600 | 615 | ||||||||||||
Cemex | ||||||||||||||
9.000%, 01/11/2018 | 250 | 264 | ||||||||||||
9.000%, 01/11/2018 (A) | 344 | 364 | ||||||||||||
Cemex Espana Luxembourg | ||||||||||||||
9.500%, 12/14/2016 | 400 | 430 | ||||||||||||
9.250%, 05/12/2020 | 500 | 531 | ||||||||||||
9.250%, 05/12/2020 (A) | 789 | 838 | ||||||||||||
Cemex Finance LLC | ||||||||||||||
9.375%, 10/12/2022 (A) | 200 | 215 | ||||||||||||
Comision Federal de Electricidad | ||||||||||||||
5.750%, 02/14/2042 (A) | 570 | 648 | ||||||||||||
4.875%, 05/26/2021 | 200 | 226 | ||||||||||||
4.875%, 05/26/2021 (A) | 300 | 339 | ||||||||||||
Desarrolladora Homex | ||||||||||||||
9.750%, 03/25/2020 (A) | 700 | 742 | ||||||||||||
GEO | ||||||||||||||
9.250%, 06/30/2020 | 398 | 418 | ||||||||||||
8.875%, 03/27/2022 (A) | 200 | 210 | ||||||||||||
Grupo Bimbo | ||||||||||||||
4.875%, 06/30/2020 (A) | 215 | 245 | ||||||||||||
4.500%, 01/25/2022 (A) | 100 | 110 | ||||||||||||
Grupo Senda | ||||||||||||||
10.500%, 10/03/2015 | 4,390 | 4,522 | ||||||||||||
Grupo Televisa | ||||||||||||||
6.000%, 05/15/2018 | 174 | 208 | ||||||||||||
Mexican Bonos | ||||||||||||||
10.000%, 11/20/2036 | MXP | 44,600 | 4,876 | |||||||||||
8.500%, 05/31/2029 | MXP | 43,730 | 4,189 | |||||||||||
8.500%, 11/18/2038 | MXP | 77,800 | 7,450 | |||||||||||
8.000%, 12/17/2015 | MXP | 16,488 | 1,385 | |||||||||||
8.000%, 06/11/2020 | MXP | 1,800 | 163 | |||||||||||
7.750%, 05/29/2031 | MXP | 66,354 | 5,905 | |||||||||||
7.750%, 11/13/2042 | MXP | 11,800 | 1,047 | |||||||||||
7.500%, 06/03/2027 | MXP | 104,150 | 9,211 | |||||||||||
7.000%, 06/19/2014 | MXP | 9,439 | 754 | |||||||||||
6.500%, 06/10/2021 | MXP | 61,903 | 5,156 | |||||||||||
6.500%, 06/09/2022 | MXP | 138,560 | 11,517 | |||||||||||
6.250%, 06/16/2016 | MXP | 25,280 | 2,034 | |||||||||||
6.000%, 06/18/2015 | MXP | 47,300 | 3,756 | |||||||||||
5.000%, 06/15/2017 | MXP | 14,610 | 1,125 | |||||||||||
Mexican Udibonos | ||||||||||||||
2.500%, 12/10/2020 | MXP | 20,670 | 8,389 | |||||||||||
Mexichem | ||||||||||||||
6.750%, 09/19/2042 (A) | 419 | 457 | ||||||||||||
4.875%, 09/19/2022 | 200 | 211 | ||||||||||||
Mexico Cetes | ||||||||||||||
4.394%, 12/13/2012 | MXP | 440,000 | 3,400 | |||||||||||
NII Capital | ||||||||||||||
10.000%, 08/15/2016 | 1,065 | 905 | ||||||||||||
7.625%, 04/01/2021 | 476 | 328 | ||||||||||||
Oceanografia | ||||||||||||||
11.250%, 07/15/2015 | 1,386 | 1,040 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
Pemex Finance | ||||||||||||||
9.150%, 11/15/2018 | 1,895 | $ | 2,368 | |||||||||||
Pemex Project Funding Master Trust | ||||||||||||||
6.625%, 06/15/2035 | 1,670 | 2,113 | ||||||||||||
5.750%, 03/01/2018 | 934 | 1,093 | ||||||||||||
Petroleos Mexicanos | ||||||||||||||
8.000%, 05/03/2019 | 410 | 538 | ||||||||||||
6.500%, 06/02/2041 | 150 | 189 | ||||||||||||
6.500%, 06/02/2041 (A) | 30 | 38 | ||||||||||||
6.500%, 06/02/2041 (A) | 980 | 1,232 | ||||||||||||
6.000%, 03/05/2020 | 120 | 144 | ||||||||||||
6.000%, 03/05/2020 (A) | 80 | 96 | ||||||||||||
5.500%, 06/27/2044 (A) | 190 | 209 | ||||||||||||
Southern Copper | ||||||||||||||
6.750%, 04/16/2040 | 162 | 191 | ||||||||||||
5.250%, 11/08/2042 | 225 | 220 | ||||||||||||
3.500%, 11/08/2022 | 99 | 101 | ||||||||||||
United Mexican States MTN | ||||||||||||||
8.300%, 08/15/2031 | 400 | 648 | ||||||||||||
7.500%, 04/08/2033 | 450 | 688 | ||||||||||||
6.050%, 01/11/2040 | 2,134 | 2,883 | ||||||||||||
5.950%, 03/19/2019 | 400 | 494 | ||||||||||||
5.750%, 10/12/2110 | 7,168 | 8,673 | ||||||||||||
5.625%, 01/15/2017 | 466 | 543 | ||||||||||||
5.125%, 01/15/2020 | 1,040 | 1,245 | ||||||||||||
4.750%, 03/08/2044 | 1,424 | 1,628 | ||||||||||||
3.625%, 03/15/2022 | 310 | 341 | ||||||||||||
United Mexican States, Ser A MTN | ||||||||||||||
6.750%, 09/27/2034 | 1,219 | 1,757 | ||||||||||||
Urbi Desarrollos Urbanos | ||||||||||||||
9.750%, 02/03/2022 (A) | 800 | 722 | ||||||||||||
9.500%, 01/21/2020 | 100 | 90 | ||||||||||||
|
| |||||||||||||
115,317 | ||||||||||||||
|
| |||||||||||||
Mongolia — 0.1% | ||||||||||||||
Mongolia Government International Bond | ||||||||||||||
5.125%, 12/05/2022 (A) | 400 | 401 | ||||||||||||
Mongolian Mining MTN | ||||||||||||||
8.875%, 03/29/2017 | 400 | 413 | ||||||||||||
|
| |||||||||||||
814 | ||||||||||||||
|
| |||||||||||||
Morocco — 0.0% | ||||||||||||||
Kingdom of Morocco | ||||||||||||||
4.500%, 10/05/2020 | EUR | 200 | 259 | |||||||||||
|
| |||||||||||||
Nigeria — 0.4% | ||||||||||||||
Afren | ||||||||||||||
11.500%, 02/01/2016 | 400 | 464 | ||||||||||||
11.500%, 02/01/2016 (A) | 700 | 812 | ||||||||||||
10.250%, 04/08/2019 (A) | 400 | 465 | ||||||||||||
Republic of Nigeria | ||||||||||||||
16.390%, 01/27/2022 | NGN | 80,000 | 623 | |||||||||||
16.000%, 06/29/2019 | NGN | 186,000 | 1,360 | |||||||||||
16.000%, 06/29/2019 | NGN | 50,000 | 365 | |||||||||||
6.750%, 01/28/2021 (A) | 750 | 876 |
176 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
UBS | ||||||||||||||
7.396%, 09/04/2017 (A) (C) | 800 | $ | 554 | |||||||||||
|
| |||||||||||||
5,519 | ||||||||||||||
|
| |||||||||||||
Pakistan — 0.1% | ||||||||||||||
Pakistan Mobile Communications | ||||||||||||||
8.625%, 11/13/2013 (A) | 330 | 322 | ||||||||||||
Republic of Pakistan | ||||||||||||||
7.125%, 03/31/2016 | 450 | 417 | ||||||||||||
6.875%, 06/01/2017 | 630 | 575 | ||||||||||||
|
| |||||||||||||
1,314 | ||||||||||||||
|
| |||||||||||||
Panama — 1.0% | ||||||||||||||
ENA Norte Trust | ||||||||||||||
4.950%, 04/25/2023 | 300 | 308 | ||||||||||||
Republic of Panama | ||||||||||||||
9.375%, 01/16/2023 | 595 | 870 | ||||||||||||
9.375%, 04/01/2029 | 2,424 | 4,139 | ||||||||||||
8.875%, 09/30/2027 | 1,495 | 2,437 | ||||||||||||
8.125%, 04/28/2034 | 2,249 | 3,244 | ||||||||||||
7.250%, 03/15/2015 | 405 | 458 | ||||||||||||
7.125%, 01/29/2026 | 100 | 143 | ||||||||||||
6.700%, 01/26/2036 | 810 | 1,155 | ||||||||||||
|
| |||||||||||||
12,754 | ||||||||||||||
|
| |||||||||||||
Peru — 1.6% | ||||||||||||||
Ajecorp | ||||||||||||||
6.500%, 05/14/2022 (A) | 200 | 216 | ||||||||||||
Azucarera del Peru | ||||||||||||||
6.375%, 08/02/2022 | 124 | 134 | ||||||||||||
Banco de Credito del Peru | ||||||||||||||
5.375%, 09/16/2020 | 10 | 11 | ||||||||||||
5.375%, 09/16/2020 (A) | 306 | 341 | ||||||||||||
BBVA Banco Continental | ||||||||||||||
5.000%, 08/26/2022 (A) | 195 | 210 | ||||||||||||
CFG Investment SAC | ||||||||||||||
9.750%, 07/30/2019 | 550 | 452 | ||||||||||||
Inkia Energy | ||||||||||||||
8.375%, 04/04/2021 (A) | 348 | 384 | ||||||||||||
Interoceanica IV Finance | ||||||||||||||
3.989%, 11/30/2025 (A) | 686 | 449 | ||||||||||||
3.244%, 11/30/2018 (A) | 272 | 236 | ||||||||||||
2.664%, 11/30/2018 | 515 | 446 | ||||||||||||
Peru Enhanced Pass- Through Finance | ||||||||||||||
6.527%, 05/31/2018 | 323 | 291 | ||||||||||||
4.266%, 06/02/2025 (A) | 1,000 | 670 | ||||||||||||
3.172%, 05/31/2018 (A) | 365 | 328 | ||||||||||||
Republic of Peru | ||||||||||||||
8.750%, 11/21/2033 | 3,644 | 6,393 | ||||||||||||
8.600%, 08/12/2017 | PEI | 2,260 | 1,077 | |||||||||||
8.375%, 05/03/2016 | 380 | 471 | ||||||||||||
8.200%, 08/12/2026 | PEI | 5,440 | 2,913 | |||||||||||
7.840%, 08/12/2020 | PEI | 8,498 | 4,088 | |||||||||||
7.350%, 07/21/2025 | 1,170 | 1,708 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
7.125%, 03/30/2019 | 140 | $ | 184 | |||||||||||
6.950%, 08/12/2031 | PEI | 1,500 | 721 | |||||||||||
Volcan Cia Minera SAA | ||||||||||||||
5.375%, 02/02/2022 (A) | 112 | 121 | ||||||||||||
|
| |||||||||||||
21,844 | ||||||||||||||
|
| |||||||||||||
Philippines — 2.1% | ||||||||||||||
Development Bank of Philippines | ||||||||||||||
5.500%, 03/25/2021 | 370 | 425 | ||||||||||||
National Power | ||||||||||||||
9.625%, 05/15/2028 | 1,100 | 1,749 | ||||||||||||
Power Sector | ||||||||||||||
7.390%, 12/02/2024 (A) | 650 | 915 | ||||||||||||
Power Sector Assets & Liabilities Management | ||||||||||||||
7.390%, 12/02/2024 | 150 | 211 | ||||||||||||
Republic of Philippines | ||||||||||||||
10.625%, 03/16/2025 | 1,636 | 2,883 | ||||||||||||
9.500%, 02/02/2030 | 4,788 | 8,379 | ||||||||||||
8.375%, 06/17/2019 | 360 | 500 | ||||||||||||
7.750%, 01/14/2031 | 2,427 | 3,756 | ||||||||||||
6.500%, 01/20/2020 | 640 | 825 | ||||||||||||
6.375%, 10/23/2034 | 600 | 848 | ||||||||||||
6.250%, 01/14/2036 | PHP | 64,000 | 1,861 | |||||||||||
6.125%, 10/24/2037 | PHP | 47,895 | 1,238 | |||||||||||
5.500%, 03/30/2026 | 620 | 789 | ||||||||||||
5.000%, 01/13/2037 | 500 | 610 | ||||||||||||
4.950%, 01/15/2021 | PHP | — | — | |||||||||||
4.000%, 01/15/2021 | 1,093 | 1,239 | ||||||||||||
3.900%, 11/26/2022 | PHP | 67,000 | 1,675 | |||||||||||
|
| |||||||||||||
27,903 | ||||||||||||||
|
| |||||||||||||
Poland — 6.3% | ||||||||||||||
CEDC Finance International | ||||||||||||||
8.875%, 12/01/2016 | EUR | 500 | 327 | |||||||||||
Eileme 2 | ||||||||||||||
11.625%, 01/31/2020 (A) | 1,350 | 1,546 | ||||||||||||
Polish Television Holding MTN | ||||||||||||||
11.000%, 11/15/2014 (A) (D) | EUR | 700 | 972 | |||||||||||
Republic of Poland | ||||||||||||||
6.375%, 07/15/2019 | 7,772 | 9,715 | ||||||||||||
6.250%, 10/24/2015 | PLN | 3,300 | 1,123 | |||||||||||
5.750%, 04/25/2014 | PLN | 1,040 | 339 | |||||||||||
5.750%, 10/25/2021 | PLN | 16,535 | 5,941 | |||||||||||
5.750%, 09/23/2022 | PLN | 24,132 | 8,750 | |||||||||||
5.500%, 04/25/2015 | PLN | 25,160 | 8,337 | |||||||||||
5.500%, 10/25/2019 | PLN | 8,000 | 2,807 | |||||||||||
5.250%, 10/25/2017 | PLN | 4,988 | 1,701 | |||||||||||
5.125%, 04/21/2021 | 200 | 237 | ||||||||||||
5.000%, 10/24/2013 | PLN | 3,850 | 1,232 | |||||||||||
5.000%, 04/25/2016 | PLN | 15,750 | 5,223 | |||||||||||
5.000%, 03/23/2022 | 5,229 | 6,179 | ||||||||||||
4.750%, 10/25/2016 | PLN | 5,500 | 1,819 | |||||||||||
4.750%, 04/25/2017 | PLN | 20,930 | 6,952 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 177 |
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
November 30, 2012
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
4.566%, 01/25/2014 | PLN | 23,410 | $ | 7,118 | ||||||||||
3.000%, 08/24/2016 | PLN | 29,282 | 9,845 | |||||||||||
3.000%, 03/17/2023 | 750 | 749 | ||||||||||||
2.750%, 08/25/2023 | PLN | 6,499 | 2,261 | |||||||||||
1.335%, 07/25/2013 | PLN | 1,710 | 529 | |||||||||||
TVN Finance II | ||||||||||||||
10.750%, 11/15/2017 | EUR | 200 | 286 | |||||||||||
10.750%, 11/15/2017 (A) | EUR | 200 | 286 | |||||||||||
|
| |||||||||||||
84,274 | ||||||||||||||
|
| |||||||||||||
Qatar — 1.0% | ||||||||||||||
Doha Finance MTN | ||||||||||||||
3.500%, 03/14/2017 | 300 | 310 | ||||||||||||
Qtel International Finance MTN | ||||||||||||||
7.875%, 06/10/2019 | 860 | 1,114 | ||||||||||||
5.000%, 10/19/2025 | 200 | 223 | ||||||||||||
5.000%, 10/19/2025 (A) | 372 | 416 | ||||||||||||
4.750%, 02/16/2021 | 300 | 336 | ||||||||||||
4.750%, 02/16/2021 (A) | 504 | 564 | ||||||||||||
3.375%, 10/14/2016 | 200 | 209 | ||||||||||||
Ras Laffan Liquefied Natural Gas II | ||||||||||||||
5.298%, 09/30/2020 | 399 | 447 | ||||||||||||
Ras Laffan Liquefied Natural Gas III | ||||||||||||||
5.832%, 09/30/2016 | 162 | 178 | ||||||||||||
State of Qatar | ||||||||||||||
9.750%, 06/15/2030 | 707 | 1,269 | ||||||||||||
6.550%, 04/09/2019 | 348 | 437 | ||||||||||||
6.400%, 01/20/2040 | 230 | 322 | ||||||||||||
6.400%, 01/20/2040 (A) | 438 | 613 | ||||||||||||
5.750%, 01/20/2042 (A) | 850 | 1,105 | ||||||||||||
5.250%, 01/20/2020 | 1,208 | 1,443 | ||||||||||||
5.250%, 01/20/2020 (A) | 3,236 | 3,867 | ||||||||||||
|
| |||||||||||||
12,853 | ||||||||||||||
|
| |||||||||||||
Romania — 0.6% | ||||||||||||||
Romanian Government International Bond MTN | ||||||||||||||
6.750%, 02/07/2022 | 2,788 | 3,293 | ||||||||||||
6.750%, 02/07/2022 (A) | 390 | 461 | ||||||||||||
6.500%, 06/18/2018 | EUR | 2,450 | 3,527 | |||||||||||
6.000%, 10/19/2013 | RON | 2,050 | 589 | |||||||||||
5.850%, 07/28/2014 | RON | 1,280 | 365 | |||||||||||
|
| |||||||||||||
8,235 | ||||||||||||||
|
| |||||||||||||
Russia — 6.3% | ||||||||||||||
Alfa Bank Via Alfa Bond Issuance | ||||||||||||||
7.750%, 04/28/2021 (A) | 1,110 | 1,215 | ||||||||||||
7.500%, 09/26/2019 | 450 | 468 | ||||||||||||
7.500%, 09/26/2019 (A) | 475 | 495 | ||||||||||||
Brunswick Rail Finance | ||||||||||||||
6.500%, 11/01/2017 (A) | 650 | 662 | ||||||||||||
Credit Suisse, CLN (Russian Foreign Bond) | ||||||||||||||
7.600%, 04/14/2021 | RUB | 245,200 | 8,316 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
Edel Capital for Sinek Capital SA | ||||||||||||||
7.700%, 08/03/2015 | 600 | $ | 632 | |||||||||||
Evraz Group | ||||||||||||||
9.500%, 04/24/2018 | 700 | 781 | ||||||||||||
6.750%, 04/27/2018 | 600 | 600 | ||||||||||||
6.750%, 04/27/2018 (A) | 200 | 200 | ||||||||||||
Gazprom Neft OAO Via GPN Capital | ||||||||||||||
4.375%, 09/19/2022 (A) | 600 | 606 | ||||||||||||
Gazprom OAO Via Gaz Capital | ||||||||||||||
4.950%, 07/19/2022 (A) | 932 | 991 | ||||||||||||
Lukoil International Finance | ||||||||||||||
6.656%, 06/07/2022 | 100 | 120 | ||||||||||||
6.125%, 11/09/2020 | 200 | 227 | ||||||||||||
Metalloinvest Finance | ||||||||||||||
6.500%, 07/21/2016 | 400 | 413 | ||||||||||||
MTS International | ||||||||||||||
8.625%, 06/22/2020 (A) | 1,550 | 1,932 | ||||||||||||
Novatek Finance | ||||||||||||||
5.326%, 02/03/2016 | 375 | 400 | ||||||||||||
OAO TMK Capital | ||||||||||||||
7.750%, 01/27/2018 | 1,200 | 1,232 | ||||||||||||
Promsvyazbank Via PSB Finance | ||||||||||||||
10.200%, 11/06/2019 (A) | 450 | 449 | ||||||||||||
8.500%, 04/25/2017 | 200 | 203 | ||||||||||||
Rosneft Oil via Rosneft International Finance | ||||||||||||||
4.199%, 03/06/2022 (A) | 820 | 820 | ||||||||||||
Russian Agricultural Bank Via RSHB Capital | ||||||||||||||
5.298%, 12/27/2017 (A) | 415 | 439 | ||||||||||||
Russian Foreign Bond - Eurobond | ||||||||||||||
12.750%, 06/24/2028 | 1,974 | 3,933 | ||||||||||||
7.850%, 03/10/2018 | RUB | 350,000 | 12,264 | |||||||||||
7.600%, 07/20/2022 | RUB | 40,900 | 1,378 | |||||||||||
7.500%, 03/15/2018 | RUB | 106,200 | 3,568 | |||||||||||
7.500%, 03/31/2030 (D) | 14,892 | 18,930 | ||||||||||||
7.500%, 03/31/2030 (D) | 1,932 | 2,456 | ||||||||||||
5.625%, 04/04/2042 (A) | 1,000 | 1,243 | ||||||||||||
5.000%, 04/29/2020 | 200 | 234 | ||||||||||||
3.250%, 04/04/2017 (A) | 1,200 | 1,273 | ||||||||||||
Russian Railways via RZD Capital | ||||||||||||||
5.700%, 04/05/2022 | 399 | 447 | ||||||||||||
Russian Standard Bank Via Russian Standard Finance | ||||||||||||||
9.250%, 07/11/2017 | 500 | 512 | ||||||||||||
Sberbank of Russia Via SB Capital | ||||||||||||||
6.125%, 02/07/2022 | 300 | 336 | ||||||||||||
6.125%, 02/07/2022 (A) | 200 | 224 | ||||||||||||
6.125%, 02/07/2022 (A) | 290 | 325 | ||||||||||||
5.125%, 10/29/2022 (A) | 275 | 277 | ||||||||||||
SCF Capital | ||||||||||||||
5.375%, 10/27/2017 (A) | 900 | 900 | ||||||||||||
Severstal OAO Via Steel Capital | ||||||||||||||
6.700%, 10/25/2017 | 304 | 324 |
178 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
5.900%, 10/17/2022 | 200 | $ | 198 | |||||||||
5.900%, 10/17/2022 (A) | 202 | 200 | ||||||||||
Severstal via Steel Capital | ||||||||||||
6.250%, 07/26/2016 | 901 | 948 | ||||||||||
Teorema Holding | ||||||||||||
11.000%, 10/27/2009 (B) (E) | 2,000 | 200 | ||||||||||
VEB-Leasing Via VEB Leasing Investment | ||||||||||||
5.125%, 05/27/2016 | 340 | 356 | ||||||||||
VimpelCom Holdings | ||||||||||||
7.504%, 03/01/2022 | 200 | 218 | ||||||||||
7.504%, 03/01/2022 (A) | 600 | 655 | ||||||||||
6.255%, 03/01/2017 | 200 | 209 | ||||||||||
VIP Finance Ireland for Vimpel Communications | ||||||||||||
9.125%, 04/30/2018 | 500 | 584 | ||||||||||
9.125%, 04/30/2018 (A) | 400 | 468 | ||||||||||
7.748%, 02/02/2021 (A) | 1,490 | 1,652 | ||||||||||
Vnesheconombank Via VEB Finance | ||||||||||||
6.902%, 07/09/2020 | 1,420 | 1,674 | ||||||||||
6.902%, 07/09/2020 (A) | 835 | 984 | ||||||||||
6.800%, 11/22/2025 | 130 | 153 | ||||||||||
6.800%, 11/22/2025 (A) | 600 | 706 | ||||||||||
6.025%, 07/05/2022 (A) | 1,060 | 1,186 | ||||||||||
5.450%, 11/22/2017 (A) | 340 | 370 | ||||||||||
VTB Bank Via VTB Capital | ||||||||||||
6.315%, 02/22/2018 | 846 | 908 | ||||||||||
6.000%, 04/12/2017 (A) | 1,500 | 1,586 | ||||||||||
VTB Capital | ||||||||||||
6.875%, 05/29/2018 | 370 | 405 | ||||||||||
6.551%, 10/13/2020 (A) | 960 | 1,032 | ||||||||||
6.250%, 06/30/2035 | 396 | 422 | ||||||||||
|
| |||||||||||
84,939 | ||||||||||||
|
| |||||||||||
Saudi Arabia — 0.1% | ||||||||||||
Dar Al-Arkan International Sukuk | ||||||||||||
10.750%, 02/18/2015 | 500 | 542 | ||||||||||
10.750%, 02/18/2015 (A) | 150 | 163 | ||||||||||
Saudi Electricity Global Sukuk | ||||||||||||
4.211%, 04/03/2022 | 500 | 541 | ||||||||||
2.665%, 04/03/2017 | 200 | 206 | ||||||||||
|
| |||||||||||
1,452 | ||||||||||||
|
| |||||||||||
Senegal — 0.1% | ||||||||||||
Republic of Senegal | ||||||||||||
8.750%, 05/13/2021 | 400 | 474 | ||||||||||
8.750%, 05/13/2021 (A) | 650 | 770 | ||||||||||
|
| |||||||||||
1,244 | ||||||||||||
|
| |||||||||||
Serbia — 0.1% | ||||||||||||
Republic of Serbia | ||||||||||||
7.250%, 09/28/2021 | 900 | 1,015 | ||||||||||
7.250%, 09/28/2021 (A) | 600 | 676 | ||||||||||
5.250%, 11/21/2017 (A) | 200 | 205 | ||||||||||
|
| |||||||||||
1,896 | ||||||||||||
|
|
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
Singapore — 0.5% | ||||||||||||||
Bakrie Telecom | ||||||||||||||
11.500%, 05/07/2015 | 442 | $ | 192 | |||||||||||
DBS Bank | ||||||||||||||
3.625%, 09/21/2022 (C) | 200 | 210 | ||||||||||||
MMI International | ||||||||||||||
8.000%, 03/01/2017 | 250 | 265 | ||||||||||||
Oversea-Chinese Banking | ||||||||||||||
3.150%, 03/11/2023 (A) (C) | 219 | 222 | ||||||||||||
PSA International Pte MTN | ||||||||||||||
3.875%, 02/11/2021 | 100 | 110 | ||||||||||||
Sea Production | ||||||||||||||
4.743%, 02/14/2014 | 5,107 | 4,545 | ||||||||||||
SingTel Group Treasury Pte | ||||||||||||||
4.500%, 09/08/2021 | 200 | 230 | ||||||||||||
SP PowerAssets MTN | ||||||||||||||
2.700%, 09/14/2022 | 300 | 296 | ||||||||||||
Yanlord Land Group | ||||||||||||||
9.500%, 05/04/2017 | 300 | 322 | ||||||||||||
|
| |||||||||||||
6,392 | ||||||||||||||
|
| |||||||||||||
Slovak Republic — 0.1% | ||||||||||||||
Slovakia Government International Bond | ||||||||||||||
4.375%, 05/21/2022 (A) | 1,403 | 1,510 | ||||||||||||
|
| |||||||||||||
Slovenia — 0.1% | ||||||||||||||
Slovenia Government International Bond | ||||||||||||||
5.500%, 10/26/2022 (A) | 991 | 989 | ||||||||||||
|
| |||||||||||||
South Africa — 7.0% | ||||||||||||||
African Bank MTN | ||||||||||||||
8.125%, 02/24/2017 | 500 | 545 | ||||||||||||
AngloGold Ashanti Holdings | ||||||||||||||
5.125%, 08/01/2022 | 225 | 224 | ||||||||||||
Edcon Pty | ||||||||||||||
9.500%, 03/01/2018 | EUR | 500 | 603 | |||||||||||
3.502%, 06/15/2014 (C) | EUR | 925 | 1,141 | |||||||||||
Eskom Holdings | ||||||||||||||
5.750%, 01/26/2021 (A) | 683 | 765 | ||||||||||||
Gold Field Orogen | ||||||||||||||
4.875%, 10/07/2020 | 200 | 194 | ||||||||||||
Myriad International Holding | ||||||||||||||
6.375%, 07/28/2017 | 340 | 386 | ||||||||||||
Republic of South Africa | ||||||||||||||
13.500%, 09/15/2015 | ZAR | 34,700 | 4,702 | |||||||||||
10.500%, 12/21/2026 | ZAR | 92,291 | 12,984 | |||||||||||
8.500%, 06/23/2017 | 3,038 | 3,794 | ||||||||||||
8.250%, 09/15/2017 | ZAR | 41,800 | 5,149 | |||||||||||
8.000%, 12/21/2018 | ZAR | 165,980 | 20,353 | |||||||||||
7.750%, 02/28/2023 | ZAR | 98,026 | 11,546 | |||||||||||
7.250%, 01/15/2020 | ZAR | 28,800 | 3,379 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 179 |
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
November 30, 2012
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
7.000%, 02/28/2031 | ZAR | 43,309 | $ | 4,351 | ||||||||||
6.875%, 05/27/2019 | 4,767 | 6,033 | ||||||||||||
6.750%, 03/31/2021 | ZAR | 95,790 | 10,852 | |||||||||||
6.500%, 02/28/2041 | ZAR | 9,900 | 887 | |||||||||||
6.250%, 03/08/2041 | 390 | 527 | ||||||||||||
5.875%, 05/30/2022 | 700 | 870 | ||||||||||||
5.500%, 03/09/2020 | 1,054 | 1,257 | ||||||||||||
4.665%, 01/17/2024 | 1,500 | 1,703 | ||||||||||||
Sappi Papier Holding GmbH | ||||||||||||||
8.375%, 06/15/2019 (A) | 400 | 424 | ||||||||||||
Transnet MTN | ||||||||||||||
4.500%, 02/10/2016 (A) | 370 | 392 | ||||||||||||
Transnet SOC | ||||||||||||||
4.000%, 07/26/2022 (A) | 305 | 304 | ||||||||||||
|
| |||||||||||||
93,365 | ||||||||||||||
|
| |||||||||||||
South Korea — 0.2% |
| |||||||||||||
Industrial Bank of Korea | ||||||||||||||
2.375%, 07/17/2017 (A) | 200 | 204 | ||||||||||||
Korea East-West Power | ||||||||||||||
2.500%, 07/16/2017 (A) | 202 | 206 | ||||||||||||
Korea Electric Power | ||||||||||||||
3.000%, 10/05/2015 (A) | 200 | 209 | ||||||||||||
Korea Expressway | ||||||||||||||
1.875%, 10/22/2017 | 200 | 199 | ||||||||||||
Korea Hydro & Nuclear Power | ||||||||||||||
4.750%, 07/13/2021 | 200 | 228 | ||||||||||||
3.000%, 09/19/2022 (A) | 294 | 293 | ||||||||||||
Korea Western Power MTN | ||||||||||||||
3.125%, 05/10/2017 (A) | 362 | 379 | ||||||||||||
KT | ||||||||||||||
3.875%, 01/20/2017 | 200 | 214 | ||||||||||||
SK Telecom MTN | ||||||||||||||
2.125%, 05/01/2018 (A) | 203 | 204 | ||||||||||||
|
| |||||||||||||
2,136 | ||||||||||||||
|
| |||||||||||||
Sri Lanka — 0.2% |
| |||||||||||||
Bank of Ceylon | ||||||||||||||
6.875%, 05/03/2017 (A) | 360 | 383 | ||||||||||||
Democratic Socialist Republic of | ||||||||||||||
7.400%, 01/22/2015 (A) | 170 | 184 | ||||||||||||
6.250%, 10/04/2020 | 650 | 712 | ||||||||||||
6.250%, 07/27/2021 (A) | 530 | 580 | ||||||||||||
5.875%, 07/25/2022 (A) | 200 | 215 | ||||||||||||
|
| |||||||||||||
2,074 | ||||||||||||||
|
| |||||||||||||
Supra-National — 0.2% |
| |||||||||||||
Andina de Fomento | ||||||||||||||
4.375%, 06/15/2022 | 816 | 885 | ||||||||||||
Inter-American Development Bank MTN |
| |||||||||||||
0.000%, 08/20/2015 | IDR | 18,690,000 | 1,672 | |||||||||||
|
| |||||||||||||
2,557 | ||||||||||||||
|
|
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
Thailand — 2.9% |
| |||||||||||||
Bangkok Bank | ||||||||||||||
2.750%, 03/27/2018 (A) | 202 | $ | 203 | |||||||||||
PTT | ||||||||||||||
4.500%, 10/25/2042 (A) | 205 | 206 | ||||||||||||
PTT Global Chemical | ||||||||||||||
4.250%, 09/19/2022 (A) | 200 | 206 | ||||||||||||
PTTEP Canada International Finance MTN | ||||||||||||||
5.692%, 04/05/2021 | 200 | 230 | ||||||||||||
Thailand Government Bond | ||||||||||||||
5.670%, 03/13/2028 | THB | 3,000 | 118 | |||||||||||
3.775%, 06/25/2032 | THB | 31,000 | 973 | |||||||||||
3.650%, 12/17/2021 | THB | 188,110 | 6,198 | |||||||||||
3.625%, 05/22/2015 | THB | 313,560 | 10,393 | |||||||||||
3.625%, 06/16/2023 | THB | 65,983 | 2,155 | |||||||||||
3.580%, 12/17/2027 | THB | 35,211 | 1,116 | |||||||||||
3.450%, 03/08/2019 | THB | 44,700 | 1,471 | |||||||||||
3.250%, 06/16/2017 | THB | 223,563 | 7,332 | |||||||||||
2.800%, 10/10/2017 | THB | 112,000 | 3,595 | |||||||||||
Thailand Government Index-Linked Bond | ||||||||||||||
1.200%, 07/14/2021 | THB | 155,134 | 5,126 | |||||||||||
|
| |||||||||||||
39,322 | ||||||||||||||
|
| |||||||||||||
Trinidad & Tobago — 0.2% |
| |||||||||||||
Petroleum of Trinidad & Tobago | ||||||||||||||
9.750%, 08/14/2019 (A) | 1,153 | 1,525 | ||||||||||||
6.000%, 05/08/2022 | 479 | 522 | ||||||||||||
|
| |||||||||||||
2,047 | ||||||||||||||
|
| |||||||||||||
Turkey — 6.6% |
| |||||||||||||
Akbank | ||||||||||||||
5.000%, 10/24/2022 (A) | 230 | 244 | ||||||||||||
3.875%, 10/24/2017 (A) | 150 | 154 | ||||||||||||
Anadolu Efes Biracilik Ve Malt Sanayii | ||||||||||||||
3.375%, 11/01/2022 (A) | 200 | 199 | ||||||||||||
Export Credit Bank of Turkey | ||||||||||||||
5.875%, 04/24/2019 (A) | 200 | 228 | ||||||||||||
5.375%, 11/04/2016 (A) | 410 | 447 | ||||||||||||
Republic of Turkey | ||||||||||||||
11.875%, 01/15/2030 | 665 | 1,326 | ||||||||||||
10.500%, 01/15/2020 | TRY | 5,800 | 3,920 | |||||||||||
10.000%, 12/04/2013 | TRY | 1,400 | 816 | |||||||||||
10.000%, 06/17/2015 | TRY | 1,600 | 981 | |||||||||||
9.500%, 01/12/2022 | TRY | 6,250 | 4,101 | |||||||||||
9.000%, 03/05/2014 | TRY | 590 | 343 | |||||||||||
9.000%, 05/21/2014 | TRY | 7,310 | 4,699 | |||||||||||
9.000%, 01/27/2016 | TRY | 2,710 | 1,639 | |||||||||||
9.000%, 03/08/2017 | TRY | 11,610 | 7,157 | |||||||||||
8.695%, 07/17/2013 | TRY | 14,185 | 7,663 | |||||||||||
8.000%, 02/14/2034 | 1,380 | 2,106 | ||||||||||||
7.500%, 09/24/2014 | TRY | 3,420 | 1,968 |
180 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
7.500%, 07/14/2017 | 1,905 | $ | 2,328 | |||||||||||
7.500%, 11/07/2019 | 1,437 | 1,870 | ||||||||||||
7.375%, 02/05/2025 | 1,020 | 1,402 | ||||||||||||
7.250%, 03/15/2015 | 460 | 515 | ||||||||||||
7.250%, 03/05/2038 | 490 | 713 | ||||||||||||
7.000%, 09/26/2016 | 460 | 541 | ||||||||||||
7.000%, 03/11/2019 | 280 | 350 | ||||||||||||
7.000%, 06/05/2020 | 110 | 141 | ||||||||||||
6.875%, 03/17/2036 | 1,210 | 1,666 | ||||||||||||
6.858%, 05/15/2013 | TRY | 4,500 | 2,455 | |||||||||||
6.750%, 04/03/2018 | 4,787 | 5,798 | ||||||||||||
6.750%, 05/30/2040 | 414 | 570 | ||||||||||||
6.649%, 03/20/2013 | TRY | 3,898 | 2,147 | |||||||||||
6.250%, 09/26/2022 | 260 | 326 | ||||||||||||
6.000%, 01/14/2041 | 1,140 | 1,459 | ||||||||||||
5.625%, 03/30/2021 | 310 | 371 | ||||||||||||
5.125%, 03/25/2022 | 3,237 | 3,780 | ||||||||||||
4.500%, 02/11/2015 | TRY | 5,123 | 3,176 | |||||||||||
4.000%, 04/29/2015 | TRY | 12,285 | 7,539 | |||||||||||
4.000%, 04/01/2020 | TRY | 3,436 | 2,290 | |||||||||||
3.000%, 02/23/2022 | TRY | 15,236 | 9,819 | |||||||||||
Turkiye Garanti Bankasi | ||||||||||||||
5.250%, 09/13/2022 (A) | 200 | 219 | ||||||||||||
4.000%, 09/13/2017 (A) | 300 | 311 | ||||||||||||
Turkiye Is Bankasi | ||||||||||||||
3.875%, 11/07/2017 (A) | 310 | 321 | ||||||||||||
Yapi Ve Kredi Bankasi | ||||||||||||||
5.500%, 12/06/2022 | 200 | 200 | ||||||||||||
Yuksel Insaat | ||||||||||||||
9.500%, 11/10/2015 | 358 | 279 | ||||||||||||
|
| |||||||||||||
88,577 | ||||||||||||||
|
| |||||||||||||
Ukraine — 1.9% |
| |||||||||||||
Biz Finance for Ukreximbank | ||||||||||||||
8.375%, 04/27/2015 | 5,247 | 5,168 | ||||||||||||
DTEK Finance | ||||||||||||||
9.500%, 04/28/2015 | 700 | 697 | ||||||||||||
9.500%, 04/28/2015 (A) | 490 | 488 | ||||||||||||
Ferrexpo Finance | ||||||||||||||
7.875%, 04/07/2016 | 1,500 | 1,447 | ||||||||||||
7.875%, 04/07/2016 (A) | 205 | 198 | ||||||||||||
Financing of Infrastrucural Projects State Enterprise | ||||||||||||||
9.000%, 12/07/2017 (A) | 744 | 744 | ||||||||||||
8.375%, 11/03/2017 (A) | 650 | 644 | ||||||||||||
Government of Ukraine | ||||||||||||||
9.250%, 07/24/2017 | 1,850 | 2,017 | ||||||||||||
9.250%, 07/24/2017 (A) | 2,161 | 2,364 | ||||||||||||
7.950%, 02/23/2021 (A) | 350 | 371 | ||||||||||||
7.800%, 11/28/2022 (A) | 2,131 | 2,179 | ||||||||||||
7.750%, 09/23/2020 | 400 | 419 | ||||||||||||
6.875%, 09/23/2015 | 150 | 151 | ||||||||||||
6.875%, 09/23/2015 (A) | 1,211 | 1,215 | ||||||||||||
6.580%, 11/21/2016 | 240 | 239 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
6.250%, 06/17/2016 | 200 | $ | 198 | |||||||||||
6.250%, 06/17/2016 (A) | 700 | 694 | ||||||||||||
Metinvest | ||||||||||||||
10.250%, 05/20/2015 | 1,200 | 1,221 | ||||||||||||
8.750%, 02/14/2018 | 600 | 571 | ||||||||||||
8.750%, 02/14/2018 (A) | 341 | 324 | ||||||||||||
MHP | ||||||||||||||
10.250%, 04/29/2015 (A) | 1,600 | 1,636 | ||||||||||||
Mriya Agro Holding | ||||||||||||||
10.950%, 03/30/2016 (A) | 317 | 312 | ||||||||||||
NAK Naftogaz Ukraine | ||||||||||||||
9.500%, 09/30/2014 | 1,533 | 1,571 | ||||||||||||
Oschadbank Via SSB #1 | ||||||||||||||
8.250%, 03/10/2016 | 430 | 410 | ||||||||||||
|
| |||||||||||||
25,278 | ||||||||||||||
|
| |||||||||||||
United Arab Emirates — 1.1% |
| |||||||||||||
Atlantic Finance | ||||||||||||||
10.750%, 05/27/2014 (D) | 750 | 819 | ||||||||||||
Dolphin Energy | ||||||||||||||
5.888%, 06/15/2019 | 84 | 95 | ||||||||||||
5.888%, 06/15/2019 | 368 | 415 | ||||||||||||
5.888%, 06/15/2019 (A) | 84 | 95 | ||||||||||||
DP World MTN | ||||||||||||||
6.850%, 07/02/2037 | 1,800 | 2,007 | ||||||||||||
DP World Sukuk | ||||||||||||||
6.250%, 07/02/2017 | 200 | 225 | ||||||||||||
Dubai DOF Sukuk MTN | ||||||||||||||
6.396%, 11/03/2014 | 340 | 366 | ||||||||||||
Dubai Electricity & Water Authority | ||||||||||||||
8.500%, 04/22/2015 | 1,052 | 1,190 | ||||||||||||
8.500%, 04/22/2015 (A) | 170 | 192 | ||||||||||||
7.375%, 10/21/2020 | 340 | 410 | ||||||||||||
7.375%, 10/21/2020 (A) | 1,610 | 1,943 | ||||||||||||
Dubai Holding Commercial Operations MTN | ||||||||||||||
4.750%, 01/30/2014 | EUR | 1,600 | 2,019 | |||||||||||
Dubai Holding MTN | ||||||||||||||
6.000%, 02/01/2017 | GBP | 50 | 77 | |||||||||||
Emirate of Abu Dhabi MTN | ||||||||||||||
7.750%, 10/05/2020 | 860 | 1,062 | ||||||||||||
6.700%, 10/05/2015 | 200 | 221 | ||||||||||||
Emirates Airlines | ||||||||||||||
5.125%, 06/08/2016 | 320 | 336 | ||||||||||||
IPIC GMTN MTN | ||||||||||||||
5.500%, 03/01/2022 | 400 | 464 | ||||||||||||
5.500%, 03/01/2022 (A) | 217 | 252 | ||||||||||||
3.750%, 03/01/2017 (A) | 350 | 372 | ||||||||||||
Jafz Sukuk | ||||||||||||||
7.000%, 06/19/2019 | 250 | 284 | ||||||||||||
MAF Global Securities MTN | ||||||||||||||
5.250%, 07/05/2019 | 950 | 999 | ||||||||||||
MAF SUKUK MTN | ||||||||||||||
5.850%, 02/07/2017 | 200 | 219 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 181 |
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
November 30, 2012
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
Pyrus | ||||||||||||
7.500%, 12/20/2015 | 700 | $ | 782 | |||||||||
|
| |||||||||||
14,844 | ||||||||||||
|
| |||||||||||
United States — 0.5% | ||||||||||||
Citigroup Funding MTN | ||||||||||||
16.390%, 01/31/2022 (A) | 1,300 | 1,384 | ||||||||||
7.000%, 10/25/2019 (A) | 1,100 | 1,170 | ||||||||||
6.000%, 08/16/2018 | 4,745 | 4,649 | ||||||||||
|
| |||||||||||
7,203 | ||||||||||||
|
| |||||||||||
Uruguay — 0.6% | ||||||||||||
Republic of Uruguay PIK | ||||||||||||
7.875%, 01/15/2033 | 978 | 1,514 | ||||||||||
Republic of Uruguay | ||||||||||||
8.000%, 11/18/2022 | 1,087 | 1,584 | ||||||||||
7.625%, 03/21/2036 | 2,444 | 3,787 | ||||||||||
6.875%, 09/28/2025 | 364 | 513 | ||||||||||
4.125%, 11/20/2045 | 150 | 150 | ||||||||||
|
| |||||||||||
7,548 | ||||||||||||
|
| |||||||||||
Venezuela — 2.7% | ||||||||||||
Government of Venezuela | ||||||||||||
13.625%, 08/15/2018 | 497 | 549 | ||||||||||
13.625%, 08/15/2018 | 2,130 | 2,439 | ||||||||||
12.750%, 08/23/2022 | 7,365 | 8,238 | ||||||||||
11.950%, 08/05/2031 | 3,772 | 3,989 | ||||||||||
11.950%, 08/05/2031 | 12 | 13 | ||||||||||
11.750%, 10/21/2026 | 2,418 | 2,534 | ||||||||||
10.750%, 09/19/2013 | 210 | 217 | ||||||||||
9.250%, 09/15/2027 | 783 | 736 | ||||||||||
9.250%, 05/07/2028 | 570 | 524 | ||||||||||
9.000%, 05/07/2023 | 1,244 | 1,141 | ||||||||||
8.500%, 10/08/2014 | 500 | 514 | ||||||||||
8.250%, 10/13/2024 | 550 | 472 | ||||||||||
7.750%, 10/13/2019 | 580 | 528 | ||||||||||
7.650%, 04/21/2025 | 330 | 272 | ||||||||||
7.000%, 12/01/2018 | 1,409 | 1,271 | ||||||||||
7.000%, 03/31/2038 | 90 | 68 | ||||||||||
6.000%, 12/09/2020 | 380 | 304 | ||||||||||
Petroleos de Venezuela | ||||||||||||
12.750%, 02/17/2022 | 320 | 346 | ||||||||||
8.500%, 11/02/2017 | 1,600 | 1,512 | ||||||||||
5.500%, 04/12/2037 | 590 | 392 | ||||||||||
5.375%, 04/12/2027 | 940 | 639 | ||||||||||
5.250%, 04/12/2017 | 430 | 359 | ||||||||||
5.000%, 10/28/2015 | 781 | 699 | ||||||||||
4.900%, 10/28/2014 | 141 | 133 | ||||||||||
4.900%, 10/28/2014 | 9,264 | 8,778 | ||||||||||
|
| |||||||||||
36,667 | ||||||||||||
|
| |||||||||||
Vietnam — 0.1% | ||||||||||||
Socialist Republic of Vietnam | ||||||||||||
6.875%, 01/15/2016 | 440 | 484 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
6.750%, 01/29/2020 | 580 | $ | 669 | |||||||||||
Vietnam Joint Stock Commercial Bank for Industry and Trade | ||||||||||||||
8.000%, 05/17/2017 (A) | 400 | 388 | ||||||||||||
|
| |||||||||||||
1,541 | ||||||||||||||
|
| |||||||||||||
Zambia — 0.0% | ||||||||||||||
First Quantum Minerals | ||||||||||||||
7.250%, 10/15/2019 (A) | 250 | 251 | ||||||||||||
Zambia Government International Bond | ||||||||||||||
5.375%, 09/20/2022 | 300 | 299 | ||||||||||||
|
| |||||||||||||
550 | ||||||||||||||
|
| |||||||||||||
Total Global Bonds |
| 1,177,988 | ||||||||||||
|
| |||||||||||||
LOAN PARTICIPATIONS — 0.5% |
| |||||||||||||
Angola — 0.1% | ||||||||||||||
Republic of Angola | ||||||||||||||
3.667%, 04/30/2016 (E) (F) | EUR | 867 | 1,051 | |||||||||||
|
| |||||||||||||
Brazil — 0.0% | ||||||||||||||
Virgolino de Oliveira | ||||||||||||||
5.551%, 11/03/2015 | 459 | 450 | ||||||||||||
|
| |||||||||||||
Indonesia — 0.2% | ||||||||||||||
PT Bumi Resources | ||||||||||||||
11.243%, 08/07/2013 | 1,973 | 1,886 | ||||||||||||
PT Bumi, Ser Tranche A | ||||||||||||||
15.000%, 01/18/2013 | 394 | 177 | ||||||||||||
PT Bumi, Ser Tranche B | ||||||||||||||
15.000%, 01/18/2013 | 315 | 142 | ||||||||||||
|
| |||||||||||||
2,205 | ||||||||||||||
|
| |||||||||||||
Singapore — 0.1% | ||||||||||||||
Morton Bay Senior | ||||||||||||||
6.220%, 01/31/2013 (E) (F) | 3,020 | 2,184 | ||||||||||||
|
| |||||||||||||
United Arab Emirates — 0.1% | ||||||||||||||
Dubai World | ||||||||||||||
1.000%, 09/30/2018 | 1,008 | 544 | ||||||||||||
1.000%, 09/30/2015 | 500 | 290 | ||||||||||||
|
| |||||||||||||
834 | ||||||||||||||
|
| |||||||||||||
Total Loan Participations | 6,724 | |||||||||||||
|
| |||||||||||||
CONVERTIBLE BONDS — 0.1% | ||||||||||||||
Dana Gas Sukuk CV to 19.076 Shares | ||||||||||||||
7.500%, 10/31/2012 | 1,100 | 892 | ||||||||||||
Sino-Forest CV to 47.2619 Shares | ||||||||||||||
4.250%, 12/15/2016 (B) | 50 | 8 | ||||||||||||
4.250%, 12/15/2016 (A) (B) | 1,981 | 317 |
182 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||||
Suzlon Energy CV to 533.2762 Shares | ||||||||||||||||
5.248%, 07/25/2014 | $ | 500 | $ | 275 | ||||||||||||
|
| |||||||||||||||
Total Convertible Bonds | 1,492 | |||||||||||||||
|
| |||||||||||||||
TIME DEPOSITS — 5.0% | ||||||||||||||||
Brown Brothers Harriman | ||||||||||||||||
4.150%, 12/01/2012 | ZAR | 688 | 77 | |||||||||||||
0.030%, 12/01/2012 | 65,795 | 65,795 | ||||||||||||||
0.010%, 12/01/2012 | SGD | — | — | |||||||||||||
0.005%, 12/01/2012 | CHF | — | — | |||||||||||||
(0.030)%, 12/01/2012 | EUR | 996 | 1,295 | |||||||||||||
|
| |||||||||||||||
Total Time Deposits | 67,167 | |||||||||||||||
|
| |||||||||||||||
Total Investments — 93.2% | $ | 1,253,371 | ||||||||||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Euro-Buxl 30 Year Bond | (9 | ) | Dec-2012 | $ | 6 | |||||||
U.S. 10-Year Treasury Note | 33 | Mar-2013 | 7 | |||||||||
U.S. Ultra Long Treasury Bond | (2 | ) | Mar-2013 | (1 | ) | |||||||
|
| |||||||||||
$ | 12 | |||||||||||
|
|
For the period ended November 30, 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 period.
A list of the open forward foreign currency contracts held by the Fund at November 30, 2012, is as follows:
Settlement Date | Currency (Thousands) | Currency (Thousands) | Unrealized (Depreciation) | |||||||||||||||||
12/3/12-2/27/13 | USD | 46,674 | RUB | 1,473,064 | $ | 663 | ||||||||||||||
12/3/12-5/28/13 | CNY | 36,690 | USD | 5,778 | (104 | ) | ||||||||||||||
12/3/12-7/25/13 | USD | 4,116 | CNY | 26,260 | 97 | |||||||||||||||
12/4/12-2/4/13 | USD | 31,574 | BRL | 65,178 | (765 | ) | ||||||||||||||
12/4/12-3/4/13 | BRL | 71,674 | USD | 34,345 | 485 | |||||||||||||||
12/5/12-12/31/12 | EUR | 35,106 | USD | 44,944 | (718 | ) | ||||||||||||||
12/5/12-12/31/12 | USD | 7,245 | EUR | 5,620 | 65 | |||||||||||||||
12/5/12-2/8/13 | PHP | 98,068 | USD | 2,384 | (19 | ) | ||||||||||||||
12/5/12-2/11/13 | INR | 876,946 | USD | 15,893 | (111 | ) | ||||||||||||||
12/5/12-2/28/13 | USD | 15,913 | INR | 864,964 | (117 | ) | ||||||||||||||
12/5/12-3/15/13 | USD | 9,142 | PHP | 376,403 | 82 | |||||||||||||||
12/6/12-12/21/12 | COP | 17,510,840 | USD | 9,624 | (14 | ) | ||||||||||||||
12/6/12-2/1/13 | RUB | 704,805 | USD | 22,314 | (326 | ) | ||||||||||||||
12/6/12-2/28/13 | USD | 9,103 | COP | 16,713,023 | 69 | |||||||||||||||
12/7/12-1/14/13 | PEI | 5,555 | USD | 2,133 | (19 | ) | ||||||||||||||
12/7/12-1/18/13 | CLP | 869,336 | USD | 1,804 | 1 | |||||||||||||||
12/7/12-1/18/13 | USD | 2,369 | PEI | 6,169 | 21 | |||||||||||||||
12/7/12-1/31/13 | PLN | 36,582 | USD | 11,403 | (118 | ) | ||||||||||||||
12/7/12-1/31/13 | USD | 17,444 | PLN | 56,516 | 393 | |||||||||||||||
12/7/12-2/7/13 | PLN | 53,742 | EUR | 13,039 | (22 | ) | ||||||||||||||
12/7/12-2/15/13 | MXP | 247,253 | USD | 18,806 | (271 | ) | ||||||||||||||
12/7/12-2/15/13 | USD | 38,424 | MXP | 501,577 | 252 |
Settlement Date | Currency (Thousands) | Currency (Thousands) | Unrealized (Depreciation) | |||||||||||||||||
12/7/12-2/28/13 | EUR | 20,712 | PLN | 85,795 | $ | 91 | ||||||||||||||
12/13/12-1/23/13 | TRY | 24,390 | USD | 13,608 | (27 | ) | ||||||||||||||
12/13/12-1/31/13 | USD | 18,401 | TRY | 33,241 | 143 | |||||||||||||||
12/18/12 | EUR | 239 | HUF | 67,952 | 3 | |||||||||||||||
12/18/12 | KRW | 1,333,765 | USD | 1,220 | (12 | ) | ||||||||||||||
12/18/12-1/22/13 | USD | 3,408 | CLP | 1,643,189 | 1 | |||||||||||||||
12/18/12-1/28/13 | USD | 1,501 | RON | 5,297 | 17 | |||||||||||||||
12/18/12-2/14/13 | HUF | 1,688,058 | EUR | 5,871 | (137 | ) | ||||||||||||||
12/18/12-2/15/13 | USD | 13,041 | KRW | 14,286,767 | 148 | |||||||||||||||
12/19/12 | MYR | 2,021 | USD | 656 | (8 | ) | ||||||||||||||
12/19/12 | THB | 95,663 | USD | 3,097 | (18 | ) | ||||||||||||||
12/19/12 | USD | 1,077 | IDR | 10,390,767 | 5 | |||||||||||||||
12/19/12-1/14/13 | USD | 3,199 | THB | 98,494 | 6 | |||||||||||||||
12/19/12-1/17/13 | IDR | 98,102,570 | USD | 10,169 | (20 | ) | ||||||||||||||
12/19/12-2/22/13 | USD | 23,708 | MYR | 72,951 | 200 | |||||||||||||||
12/20/12 | EUR | 1,014 | CZK | 25,828 | 12 | |||||||||||||||
12/20/12-1/14/13 | CZK | 113,955 | EUR | 4,524 | 13 | |||||||||||||||
12/31/12 | GBP | 911 | USD | 1,448 | (12 | ) | ||||||||||||||
1/10/13 | ILS | 4,100 | USD | 1,048 | (27 | ) | ||||||||||||||
1/14/13 | TWD | 184,952 | USD | 6,384 | 16 | |||||||||||||||
1/31/13 | CZK | 36,896 | USD | 1,896 | (6 | ) | ||||||||||||||
1/31/13 | HUF | 794,107 | USD | 3,637 | (12 | ) | ||||||||||||||
1/31/13 | USD | 1,953 | CZK | 37,632 | (13 | ) | ||||||||||||||
1/31/13-2/8/13 | ZAR | 60,468 | USD | 6,737 | (14 | ) | ||||||||||||||
2/8/13 | USD | 1,542 | ZAR | 13,789 | (4 | ) | ||||||||||||||
2/21/13 | USD | 950 | ILS | 3,763 | 35 | |||||||||||||||
3/4/13 | USD | 504 | ARS | 2,599 | (1 | ) | ||||||||||||||
7/17/13-7/17/15 | CNH | 224,004 | USD | 34,290 | (1,302 | ) | ||||||||||||||
7/17/13-7/17/15 | USD | 34,223 | CNH | 224,004 | 1,368 | |||||||||||||||
|
| |||||||||||||||||||
$ | (31 | ) | ||||||||||||||||||
|
|
A list of the counterparties for the open forward foreign currency is as follows: contracts held by the Fund at November 30, 2012,
Counterparty | Currency to ($Thousands) | Currency to ($Thousands) | Unrealized Appreciation ($Thousands) | |||||||||
Bank of America | (12,062 | ) | 12,240 | $ | 178 | |||||||
Barclays PLC | (143,894 | ) | 144,012 | 118 | ||||||||
Citigroup | (178,891 | ) | 178,895 | 4 | ||||||||
Deutsche Bank | (60,980 | ) | 60,803 | (177 | ) | |||||||
Goldman Sachs | (7,418 | ) | 7,423 | 5 | ||||||||
HSBC | (90,023 | ) | 90,167 | 144 | ||||||||
JPMorgan Chase Bank | (55,280 | ) | 55,050 | (230 | ) | |||||||
Standard Bank | (6,080 | ) | 6,100 | 20 | ||||||||
UBS | (46,358 | ) | 46,265 | (93 | ) | |||||||
|
| |||||||||||
$ | (31 | ) | ||||||||||
|
|
For the period ended November 30, 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 period.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 183 |
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
November 30, 2012
A list of outstanding swap agreements held by the Fund at November 30, 2012, is as follows:
Interest Rate Swaps | ||||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Currency | Notional Amount ($ Thousands) | Net Unrealized (Depreciation) | ||||||||||
Barclays Bank PLC | Singapore Swap Offer Rate Fixing 6-Month | 2.77% | 06/14/32 | SGD | 2,380 | $ | 55 | |||||||||
Barclays Bank PLC | 1.86% | Singapore Swap Offer Rate Fixing 6-Month | 06/14/22 | SGD | 4,110 | (81 | ) | |||||||||
Barclays Bank PLC | Brazil Interbank Deposit Rate | 9.04% | 01/02/17 | BRL | 4,135 | 35 | ||||||||||
HSBC | Brazil Interbank Deposit Rate | 9.14% | 01/02/17 | BRL | 2,162 | 23 | ||||||||||
|
| |||||||||||||||
$ | 32 | |||||||||||||||
|
|
Credit Default Swaps | ||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount ($ Thousands) | Net Unrealized Appreciation | ||||||||||||||
Citibank | CDX.EM.15-V1 Index | SELL | 1.00 | % | 12/20/22 | $ | (700 | ) | $ | 4 | ||||||||||
|
|
Total Return Swaps | ||||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Fund Pays | Fund Receives | Termination Date | Currency | Notional Amount ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||
Deutsche Bank | Russia Government Bond - Ofz , 7.1%, 3/13/2014 | Cash Deposit Of Notional Amount | Price Return | 03/13/2014 | RUB | 223 | $ | 412 | ||||||||||||||
Deutsche Bank | Russia Government Bond - Ofz , 7.1%, 3/13/2014 | Cash Deposit Of Notional Amount | Price Return | 03/13/2014 | RUB | 15 | 33 | |||||||||||||||
Deutsche Bank | Russia Government Bond - Ofz , 6.9%, 8/3/2016 | Cash Deposit Of Notional Amount | Price Return | 08/03/2016 | RUB | 384 | 1,106 | |||||||||||||||
Deutsche Bank | Russia Government Bond - Ofz , 6.9%, 8/3/2016 | Cash Deposit Of Notional Amount | Price Return | 08/03/2016 | RUB | 47 | 151 | |||||||||||||||
Deutsche Bank | Russia Government Bond - Ofz , 7.4%, 4/19/2017 | Cash Deposit Of Notional Amount | Price Return | 04/19/2017 | RUB | 40 | 71 | |||||||||||||||
Deutsche Bank | Russia Government Bond - Ofz , 7.4%, 4/19/2017 | Cash Deposit Of Notional Amount | Price Return | 04/19/2017 | RUB | 23 | 39 | |||||||||||||||
HSBC | Russia Government Bond - Ofz , 7.4%, 6/14/2017 | Cash Deposit Of Notional Amount | Price Return | 06/14/2017 | RUB | 59 | 158 | |||||||||||||||
HSBC | Russia Government Bond - Ofz , 7.4%, 6/14/2017 | Cash Deposit Of Notional Amount | Price Return | 06/14/2017 | RUB | 50 | 131 | |||||||||||||||
Deutsche Bank | Russia Government Bond - Ofz , 7.5%, 3/15/2018 | Cash Deposit Of Notional Amount | Price Return | 03/15/2018 | RUB | 23 | 56 | |||||||||||||||
Deutsche Bank | Russia Government Bond - Ofz , 7.5%, 3/15/2018 | Cash Deposit Of Notional Amount | Price Return | 03/15/2018 | RUB | 5 | 11 | |||||||||||||||
HSBC | Russia Government Bond - Ofz , 7.5%, 2/27/2019 | Cash Deposit Of Notional Amount | Price Return | 02/27/2019 | RUB | 197 | 730 | |||||||||||||||
HSBC | Russia Government Bond - Ofz , 7.5%, 2/27/2019 | Cash Deposit Of Notional Amount | Price Return | 02/27/2019 | RUB | 23 | 58 | |||||||||||||||
HSBC | Russia Government Bond - Ofz , 7.5%, 2/27/2019 | Cash Deposit Of Notional Amount | Price Return | 02/27/2019 | RUB | 26 | 83 | |||||||||||||||
HSBC | Indonesia Government Bond, 11.500%, 9/15/2019 | Cash Deposit Of Notional Amount | Price Return | 09/15/2019 | IDR | 79,600 | 112 | |||||||||||||||
HSBC | Indonesia Government Bond, 11.500%, 9/15/2019 | Cash Deposit Of Notional Amount | Price Return | 09/15/2019 | IDR | 4,600 | 7 |
184 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Total Return Swaps | ||||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Fund Pays | Fund Receives | Termination Date | Currency | Notional Amount ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||
Standard Chartered London | India Government Bond 7.8% 04/11/2021 | Cash Deposit Of Notional Amount | Price Return | 04/11/2021 | INR | 302 | (48 | ) | ||||||||||||||
Deutsche Bank | Russia Government Bond - Ofz , 7.6%, 4/14/2021 | Cash Deposit Of Notional Amount | Price Return | 04/14/2021 | RUB | 93 | 371 | |||||||||||||||
Deutsche Bank | Russia Government Bond - Ofz , 7.6%, 4/14/2021 | Cash Deposit Of Notional Amount | Price Return | 04/14/2021 | RUB | 21 | 67 | |||||||||||||||
Standard Chartered London | Indonesia Government Bond, 12.800%, 6/15/2021 | Cash Deposit Of Notional Amount | Price Return | 06/15/2021 | IDR | 8,200 | 67 | |||||||||||||||
HSBC | Russia Government Bond - Ofz , 7.6%, 7/20/2022 | Cash Deposit Of Notional Amount | Price Return | 07/20/2022 | RUB | 42 | 180 | |||||||||||||||
HSBC | Indonesia Government Bond, 8.375%, 9/15/2026 | Cash Deposit Of Notional Amount | Price Return | 09/15/2026 | IDR | 18,900 | 104 | |||||||||||||||
HSBC | Russia Government Bond - Ofz, 8.150%, 2/3/2027 | Cash Deposit Of Notional Amount | Price Return | 02/03/2027 | RUB | 40 | 209 | |||||||||||||||
HSBC | Russia Government Bond - Ofz, 8.150%, 2/3/2027 | Cash Deposit Of Notional Amount | Price Return | 02/03/2027 | RUB | 39 | 196 | |||||||||||||||
HSBC | Indonesia Government Bond, 10.500%, 8/15/2030 | Cash Deposit Of Notional Amount | Price Return | 08/15/2030 | IDR | 29,500 | 219 | |||||||||||||||
Standard Chartered London | Indonesia Government Bond, 10.500%, 8/15/2030 | Cash Deposit Of Notional Amount | Price Return | 08/15/2030 | IDR | 11,600 | 67 | |||||||||||||||
HSBC | Indonesia Government Bond, 9.500%, 7/15/2031 | Cash Deposit Of Notional Amount | Price Return | 07/15/2031 | IDR | 6,600 | 56 | |||||||||||||||
HSBC | Indonesia Government Bond, 8.250%, 6/15/2032 | Cash Deposit Of Notional Amount | Price Return | 06/15/2032 | IDR | 19,400 | 129 | |||||||||||||||
Standard Chartered London | Indonesia Government Bond, 8.250%, 6/15/2032 | Cash Deposit Of Notional Amount | Price Return | 06/15/2032 | IDR | 14,500 | 100 | |||||||||||||||
Standard Chartered London | Indonesia Government Bond, 8.250%, 6/15/2032 | Cash Deposit Of Notional Amount | Price Return | 06/15/2032 | IDR | 12,600 | 75 | |||||||||||||||
|
| |||||||||||||||||||||
$ | 4,950 | |||||||||||||||||||||
|
|
For the period ended November 30, 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 period.
Percentages are based on a Net Assets of $1,344,190 ($ Thousands).
(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) | Security in default on interest payments. |
(C) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of November 30, 2012. The date reported on the Schedule of Investments is the final maturity date. |
(D) | Step Bonds —The rate reflected on the Schedule of Investments is the effective yield on November 30, 2012. The coupon on a step bond changes on a specified date. |
(E) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of November 30, 2012 was $3,435 ($ Thousands) and represented 0.26% of Net Assets. |
(F) | Securities considered illiquid. The total value of such securities as of November 30, 2012 was $3,235 ($ Thousands) and represented 0.24% of Net Assets. |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 185 |
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Concluded)
November 30, 2012
ARS — Argentine Peso
BRL — Brazilian Real
CHF — Swiss Franc
CLN — Credit-Linked Note
CLP — Chilean Peso
CNY — Chinese Yuan
COP — Colombian Peso
CV — Convertible Security
CZK — Czech Koruna
DEM — German Mark
EUR — Euro
GBP — British Pound Sterling
HUF — Hungarian Forint
IDR — Indonesian Rupiah
ILS — Israeli New Sheckel
INR — Indian Rupee
KRW — South Korean Won
LLC — Limited Liability Company
MTN — Medium Term Note
MXP — Mexican Peso
MYR — Malaysian Ringgit
NGN — Nigerian Naira
PEI — Peruvian Inca
PHP — Philippine Peso
PIK — Payment-in-Kind
PLC — Public Limited Company
PLN — Polish Zloty
RON — Romanian Leu
RUB — Russian Ruble
Ser — Series
SGD — Singapore Dollar
THB — Thai Baht
TRY — New Turkish Lira
TWD — Taiwan Dollar
USD — U.S. Dollar
ZAR — South African Rand
The following is a summary of the inputs used as of November 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Global Bonds | $ | — | $ | 1,175,434 | $ | 2,554 | $ | 1,177,988 | ||||||||
Loan Participations | — | 834 | 5,890 | 6,724 | ||||||||||||
Convertible Bonds | — | 1,492 | — | 1,492 | ||||||||||||
Time Deposits | 67,167 | — | — | 67,167 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 67,167 | $ | 1,177,760 | $ | 8,444 | $ | 1,253,371 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | $ | 12 | $ | — | $ | — | $ | 12 | ||||||||
Forwards Contracts* | — | (31 | ) | — | (31 | ) | ||||||||||
Interest Rate Swaps * | — | 32 | — | 32 | ||||||||||||
Credit Default Swaps * | — | 4 | — | 4 | ||||||||||||
Total Return Swaps * | — | 4,950 | — | 4,950 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 12 | $ | 4,955 | $ | — | $ | 4,967 | ||||||||
|
|
|
|
|
|
|
|
(1) | A reconciliation of Level 3 instruments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. |
* | Futures contracts, forwards contracts and swaps are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended November 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
186 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Real Return Fund
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 98.2% |
| |||||||
U.S. Treasury Inflation-Protected Securities | ||||||||
2.500%, 07/15/2016 | $ | 15,440 | $ | 17,776 | ||||
2.375%, 01/15/2017 | 13,856 | 16,155 | ||||||
2.000%, 07/15/2014 | 18,397 | 19,396 | ||||||
2.000%, 01/15/2016 | 21,424 | 23,790 | ||||||
1.875%, 07/15/2015 | 19,303 | 21,034 | ||||||
1.625%, 01/15/2015 | 21,299 | 22,605 | ||||||
1.250%, 04/15/2014 | 20,311 | 20,923 | ||||||
0.500%, 04/15/2015 | 19,327 | 20,149 | ||||||
0.125%, 04/15/2016 | 37,086 | 39,071 | ||||||
0.125%, 04/15/2017 | 42,205 | 45,282 | ||||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $240,666) ($ Thousands) | 246,181 | |||||||
|
| |||||||
Total Investments — 98.2% | $ | 246,181 | ||||||
|
|
Percentages are based on Net Assets of $250,612 ($ Thousands).
As of November 30, 2012, all of the Fund’s investments were considered Level 2, in accordance with ASC-820.
For the period ended November 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 187 |
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Dynamic Asset Allocation Fund
November 30, 2012
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 79.3% |
| |||||||||||
Consumer Discretionary — 9.1% |
| |||||||||||
Amazon.com* | 0.6 | % | 17,000 | $ | 4,285 | |||||||
Comcast, Cl A | 0.6 | 125,500 | 4,666 | |||||||||
Home Depot | 0.6 | 70,700 | 4,600 | |||||||||
McDonald’s | 0.6 | 47,300 | 4,117 | |||||||||
Walt Disney | 0.6 | 84,200 | 4,181 | |||||||||
Other Securities | 6.1 | 46,108 | ||||||||||
|
| |||||||||||
67,957 | ||||||||||||
|
| |||||||||||
Consumer Staples — 8.8% |
| |||||||||||
Altria Group | 0.4 | 95,500 | 3,229 | |||||||||
Coca-Cola | 0.9 | 181,400 | 6,879 | |||||||||
CVS Caremark | 0.4 | 59,800 | 2,781 | |||||||||
PepsiCo | 0.7 | 73,000 | 5,125 | |||||||||
Philip Morris International | 1.0 | 79,000 | 7,101 | |||||||||
Procter & Gamble | 1.2 | 129,000 | 9,008 | |||||||||
Wal-Mart Stores | 0.7 | 78,800 | 5,675 | |||||||||
Other Securities | 3.5 | 25,647 | ||||||||||
|
| |||||||||||
65,445 | ||||||||||||
|
| |||||||||||
Energy — 8.7% |
| |||||||||||
Chevron | 1.3 | 91,900 | 9,713 | |||||||||
ConocoPhillips | 0.4 | 57,000 | 3,246 | |||||||||
Exxon Mobil | 2.6 | 215,900 | 19,029 | |||||||||
Occidental Petroleum | 0.4 | 38,100 | 2,866 | |||||||||
Schlumberger | 0.6 | 62,200 | 4,455 | |||||||||
Other Securities | 3.5 | 26,040 | ||||||||||
|
| |||||||||||
65,349 | ||||||||||||
|
| |||||||||||
Financials — 11.8% |
| |||||||||||
Bank of America | 0.7 | 505,300 | 4,982 | |||||||||
Berkshire Hathaway, Cl B* | 1.0 | 85,900 | 7,566 | |||||||||
Citigroup | 0.6 | 137,500 | 4,753 | |||||||||
JPMorgan Chase | 1.0 | 177,900 | 7,308 | |||||||||
US Bancorp | 0.4 | 89,100 | 2,874 | |||||||||
Wells Fargo | 1.0 | 230,100 | 7,596 | |||||||||
Other Securities | 7.1 | 52,825 | ||||||||||
|
| |||||||||||
87,904 | ||||||||||||
|
| |||||||||||
Health Care — 9.7% |
| |||||||||||
Abbott Laboratories | 0.6 | 73,600 | 4,784 | |||||||||
Amgen | 0.5 | 36,200 | 3,215 | |||||||||
Gilead Sciences* | 0.4 | 35,600 | 2,670 | |||||||||
Johnson & Johnson | 1.2 | 129,100 | 9,002 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Merck | 0.8 | % | 142,700 | $ | 6,322 | |||||||
Pfizer | 1.2 | 349,700 | 8,749 | |||||||||
UnitedHealth Group | 0.3 | 48,500 | 2,638 | |||||||||
Other Securities | 4.8 | 34,702 | ||||||||||
|
| |||||||||||
72,082 | ||||||||||||
|
| |||||||||||
Industrials — 8.0% |
| |||||||||||
3M | 0.4 | 29,900 | 2,719 | |||||||||
Caterpillar | 0.4 | 30,700 | 2,617 | |||||||||
General Electric | 1.4 | 494,300 | 10,445 | |||||||||
Union Pacific | 0.4 | 22,300 | 2,738 | |||||||||
United Technologies | 0.4 | 39,400 | 3,156 | |||||||||
Other Securities | 4.9 | 37,862 | ||||||||||
|
| |||||||||||
59,537 | ||||||||||||
|
| |||||||||||
Information Technology — 15.2% |
| |||||||||||
Apple | 3.4 | 43,800 | 25,635 | |||||||||
Cisco Systems | 0.6 | 248,100 | 4,692 | |||||||||
eBay* | 0.4 | 54,500 | 2,879 | |||||||||
Google, Cl A* | 1.2 | 12,400 | 8,660 | |||||||||
Intel | 0.6 | 234,600 | 4,591 | |||||||||
International Business Machines | 1.3 | 50,300 | 9,561 | |||||||||
Microsoft | 1.3 | 353,200 | 9,402 | |||||||||
Oracle | 0.8 | 178,500 | 5,730 | |||||||||
Qualcomm | 0.7 | 79,900 | 5,083 | |||||||||
Visa, Cl A | 0.5 | 24,500 | 3,668 | |||||||||
Other Securities | 4.3 | 33,507 | ||||||||||
|
| |||||||||||
113,408 | ||||||||||||
|
| |||||||||||
Materials — 2.8% |
| |||||||||||
Other Securities | 2.8 | 20,994 | ||||||||||
|
| |||||||||||
Telecommunication Services — 2.5% |
| |||||||||||
AT&T | 1.2 | 270,100 | 9,218 | |||||||||
Verizon Communications | 0.8 | 133,500 | 5,890 | |||||||||
Other Securities | 0.5 | 3,501 | ||||||||||
|
| |||||||||||
18,609 | ||||||||||||
|
| |||||||||||
Utilities — 2.7% |
| |||||||||||
Other Securities | 2.7 | 20,366 | ||||||||||
|
| |||||||||||
Total Common Stock |
| 591,651 | ||||||||||
|
| |||||||||||
EXCHANGE TRADED FUNDS —19.4% |
| |||||||||||
iShares iBoxx High Yield Fund | 9.7 | 779 | 72,481 | |||||||||
iShares JPMorgan Emerging Markets Bond Fund | 9.7 | 590 | 72,395 | |||||||||
|
| |||||||||||
Total Exchange Traded Funds |
| 144,876 | ||||||||||
|
|
188 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Percentage of Net Assets (%) | Contracts | Market Value ($ Thousands) | |||||||||
CASH EQUIVALENT — 0.5% |
| |||||||||||
SEI Daily Income Trust, | 0.5 | % | $ | 3,786 | ||||||||
|
| |||||||||||
Total Cash Equivalent | 3,786 | |||||||||||
|
| |||||||||||
Total Investments — 99.2% |
| $ | 740,313 | |||||||||
|
| |||||||||||
PURCHASED OPTION — 0.4% |
| |||||||||||
January 2013 S&P 500 Index Future Option Put, Expires 1/19/2013, Strike Price $1,380 |
| 1,500 | $ | 2,850 | ||||||||
|
| |||||||||||
Total Purchased Option |
| $ | 2,850 | |||||||||
|
| |||||||||||
WRITTEN OPTION — (0.2)% |
| |||||||||||
January 2013 S&P 500 Index |
| (1,500 | ) | $ | (1,005 | ) | ||||||
|
| |||||||||||
Total Written Option |
| $ | (1,005 | ) | ||||||||
|
|
A list of the outstanding forward foreign currency contracts held by the Fund at November 30, 2012, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||||||||||
1/25/13 | EUR | 258,652 | USD | 338,226 | $ | 1,680 | ||||||||||||||
1/25/13 | USD | 14,080 | EUR | 10,836 | 13 | |||||||||||||||
|
| |||||||||||||||||||
$ | 1,693 | |||||||||||||||||||
|
|
A summary of the counterparties for the outstanding forward foreign currency contracts held by the Fund at November 30, 2012, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
UBS | (22,141 | ) | 22,132 | $ | (9 | ) | ||||||
Citigroup | (314,405 | ) | 316,094 | 1,689 | ||||||||
Credit Suisse First Boston | (14,080 | ) | 14,093 | 13 | ||||||||
|
| |||||||||||
$ | 1,693 | |||||||||||
|
|
For the period ended November 30, 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 period.
Percentages are based on a Net Assets of $746,298 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2012. |
† | Investment in Affiliated Security (see Note 5). |
Cl | — Class |
EUR | — Euro |
USD | — United States Dollar |
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a list of the inputs used as of November 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 591,651 | $ | — | $ | — | $ | 591,651 | ||||||||
Exchange Traded Funds | 144,876 | — | — | 144,876 | ||||||||||||
Cash Equivalent | 3,786 | — | — | 3,786 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 740,313 | $ | — | $ | — | $ | 740,313 | ||||||||
|
|
|
|
|
|
|
|
Securities Sold Short | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Purchased Option Contracts* | $ | 2,850 | $ | — | $ | — | $ | 2,850 | ||||||||
Written Option Contracts* | (1,005 | ) | — | — | (1,005 | ) | ||||||||||
Forwards Contracts* | 1,693 | — | — | 1,693 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Securities Sold Short | $ | 3,538 | $ | — | $ | — | $ | 3,538 | ||||||||
|
|
|
|
|
|
|
|
* | Options and forwards contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended November 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 3 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $O or have been rounded to $O.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 189 |
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Real Return Fund
November 30, 2012
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 47.7% |
| |||||||
U.S. Treasury Bills (D) (F) | ||||||||
0.092%, 12/13/2012 | $ | 940 | $ | 940 | ||||
U.S. Treasury Inflation-Protected Securities | ||||||||
2.625%, 07/15/2017 | 9,697 | 11,657 | ||||||
2.500%, 07/15/2016 | 11,923 | 13,726 | ||||||
2.375%, 01/15/2017 | 4,337 | 5,057 | ||||||
2.000%, 01/15/2014 | 1,917 | 1,979 | ||||||
2.000%, 07/15/2014 | 15,401 | 16,237 | ||||||
2.000%, 01/15/2016 | 3,014 | 3,347 | ||||||
1.875%, 07/15/2013 | 2,628 | 2,673 | ||||||
1.875%, 07/15/2015 | 13,336 | 14,532 | ||||||
1.625%, 01/15/2015 | 11,665 | 12,380 | ||||||
1.375%, 07/15/2018 | 4,003 | 4,678 | ||||||
1.250%, 04/15/2014 | 1,329 | 1,369 | ||||||
0.500%, 04/15/2015 | 2,023 | 2,109 | ||||||
0.125%, 04/15/2016 | 1,352 | 1,425 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 92,109 | ||||||
|
| |||||||
REGISTERED INVESTMENT COMPANY — 17.6% |
| |||||||
United States — 17.6% |
| |||||||
Credit Suisse Commodity Return Strategy Fund | 4,131,410 | 34,043 | ||||||
|
| |||||||
Total Registered Investment Company |
| 34,043 | ||||||
|
| |||||||
FOREIGN COMMON STOCK — 15.5% |
| |||||||
Australia — 1.0% |
| |||||||
Arrium | 152,060 | 130 | ||||||
BHP Billiton | 37,970 | 1,363 | ||||||
Rio Tinto | 6,330 | 388 | ||||||
Stockland‡ | 11,640 | 41 | ||||||
|
| |||||||
1,922 | ||||||||
|
| |||||||
Brazil — 0.8% |
| |||||||
Petroleo Brasileiro ADR, Cl A | 25,570 | 449 | ||||||
Petroleo Brasileiro ADR | 55,890 | 1,004 | ||||||
|
| |||||||
1,453 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Canada — 3.4% |
| |||||||
Agnico-Eagle Mines | 6,070 | $ | 338 | |||||
Agrium | 4,063 | 415 | ||||||
Allied Properties‡ | 2,780 | 88 | ||||||
Artis Real Estate Investment Trust, | 1,530 | 24 | ||||||
Cameco | 19,220 | 351 | ||||||
Cominar, Cl Trust Unit‡ | 3,910 | 86 | ||||||
Dundee (Canada)‡ | 4,560 | 166 | ||||||
Goldcorp | 27,040 | 1,054 | ||||||
Granite Real Estate‡ | 3,570 | 132 | ||||||
Kinross Gold | 68,690 | 696 | ||||||
Morguard‡ | 2,820 | 51 | ||||||
New Gold* | 43,180 | 458 | ||||||
North American Palladium* | 160,770 | 243 | ||||||
Primaris Retail, Cl Trust Unit‡ | 5,490 | 127 | ||||||
RioCan, Cl Trust Unit‡ | 2,931 | 80 | ||||||
Suncor Energy | 36,250 | 1,184 | ||||||
Teck Cominco, Cl B | 20,580 | 697 | ||||||
Yamana Gold | 21,580 | 407 | ||||||
|
| |||||||
6,597 | ||||||||
|
| |||||||
China — 0.5% |
| |||||||
China Petroleum & Chemical | 864,000 | 916 | ||||||
Evergrande Real Estate Group | 105,000 | 53 | ||||||
|
| |||||||
969 | ||||||||
|
| |||||||
France — 0.3% |
| |||||||
Total | 10,900 | 545 | ||||||
|
| |||||||
Germany — 0.4% |
| |||||||
BASF | 6,390 | 573 | ||||||
K+S | 5,100 | 230 | ||||||
|
| |||||||
803 | ||||||||
|
| |||||||
Hong Kong — 0.0% |
| |||||||
KWG Property Holding | 75,700 | 55 | ||||||
|
| |||||||
Italy — 0.6% |
| |||||||
Eni | 49,260 | 1,165 | ||||||
|
| |||||||
Japan — 0.2% |
| |||||||
JFE Holdings | 29,700 | 460 | ||||||
|
| |||||||
Netherlands — 1.9% |
| |||||||
Koninklijke DSM | 10,369 | 597 | ||||||
LyondellBasell Industries, Cl A | 1 | — | ||||||
Royal Dutch Shell, Cl A | 70,686 | 2,369 | ||||||
Royal Dutch Shell, Cl A (GBP) | 358 | 12 | ||||||
Royal Dutch Shell, Cl B | 21,660 | 748 | ||||||
|
| |||||||
3,726 | ||||||||
|
|
190 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Shares | Market Value ($ Thousands) | ||||||
Norway — 0.5% |
| |||||||
Seadrill | 16,410 | $ | 632 | |||||
Statoil | 11,810 | 289 | ||||||
|
| |||||||
921 | ||||||||
|
| |||||||
Russia — 0.6% |
| |||||||
Gazprom OAO ADR | 134,770 | 1,198 | ||||||
|
| |||||||
Singapore — 0.0% |
| |||||||
Mapletree Commercial Trust‡ | 44,000 | 43 | ||||||
UOL Group | 9,000 | 43 | ||||||
|
| |||||||
86 | ||||||||
|
| |||||||
South Africa — 0.3% |
| |||||||
Exxaro Resources | 34,260 | 596 | ||||||
|
| |||||||
Sweden — 0.2% |
| |||||||
Lundin Petroleum* | 13,530 | 319 | ||||||
|
| |||||||
Switzerland — 0.30% |
| |||||||
Trausocean | 11,930 | 551 | ||||||
|
| |||||||
Thailand — 0.5% |
| |||||||
Banpu | 37,350 | 481 | ||||||
PTT NVDR | 41,200 | 429 | ||||||
|
| |||||||
910 | ||||||||
|
| |||||||
Turkey — 0.1% |
| |||||||
Koza Altin Isletmeleri | 8,200 | 205 | ||||||
|
| |||||||
United Kingdom — 3.9% |
| |||||||
Anglo American | 44,560 | 1,237 | ||||||
BG Group | 67,930 | 1,165 | ||||||
BHP Billiton | 14,060 | 442 | ||||||
BP | 342,710 | 2,370 | ||||||
Ensco, Cl A | 5,630 | 328 | ||||||
InterContinental Hotels Group | 1,773 | 47 | ||||||
Mondi | 29,620 | 305 | ||||||
Rio Tinto | 31,500 | 1,562 | ||||||
|
| |||||||
7,456 | ||||||||
|
| |||||||
Total Foreign Common Stock |
| 29,937 | ||||||
|
| |||||||
COMMON STOCK — 11.5% |
| |||||||
Consumer Discretionary — 0.1% |
| |||||||
Meritage Homes* | 1,150 | 40 | ||||||
NVR* | 55 | 50 | ||||||
PulteGroup* | 2,780 | 47 | ||||||
|
| |||||||
137 | ||||||||
|
| |||||||
Consumer Staples — 0.2% |
| |||||||
Bunge | 4,380 | 320 | ||||||
|
| |||||||
Energy — 6.2% |
| |||||||
Anadarko Petroleum | 10,910 | 799 | ||||||
Cabot Oil & Gas | 4,470 | 211 |
Description | Shares | Market Value ($ Thousands) | ||||||
Chevron | 16,910 | $ | 1,787 | |||||
Devon Energy | 8,250 | 426 | ||||||
EOG Resources | 5,570 | 655 | ||||||
Exxon Mobil | 52,830 | 4,657 | ||||||
Halliburton | 12,890 | 430 | ||||||
Hess | 8,740 | 434 | ||||||
Marathon Oil | 14,340 | 442 | ||||||
Noble Energy | 3,370 | 329 | ||||||
Occidental Petroleum | 14,615 | 1,099 | ||||||
Schlumberger | 9,120 | 653 | ||||||
|
| |||||||
11,922 | ||||||||
|
| |||||||
Financials — 4.1% |
| |||||||
Ashford Hospitality Trust‡ | 9,140 | 83 | ||||||
Associated Estates Realty‡ | 6,800 | 103 | ||||||
AvalonBay Communities‡ | 1,125 | 148 | ||||||
BioMed Realty Trust, Cl Use trader currency‡ | 5,160 | 99 | ||||||
Boston Properties‡ | 2,120 | 218 | ||||||
Brandywine Realty Trust‡ | 6,420 | 77 | ||||||
BRE Properties‡ | 1,370 | 67 | ||||||
CBL & Associates Properties‡ | 1,090 | 25 | ||||||
Chesapeake Lodging Trust‡ | 4,910 | 93 | ||||||
Corporate Office Properties Trust‡ | 3,086 | 76 | ||||||
DDR‡ | 5,812 | 89 | ||||||
DiamondRock Hospitality‡ | 9,300 | 81 | ||||||
Douglas Emmett‡ | 3,920 | 89 | ||||||
Duke Realty‡ | 12,670 | 171 | ||||||
EPR Properties‡ | 870 | 40 | ||||||
Equity Residential‡ | 4,040 | 224 | ||||||
Essex Property Trust‡ | 720 | 101 | ||||||
Extra Space Storage‡ | 3,312 | 116 | ||||||
Federal Realty Investment Trust‡ | 350 | 36 | ||||||
Forest City Enterprises, Cl A* | 3,183 | 48 | ||||||
General Growth Properties‡ | 13,510 | 262 | ||||||
Glimcher Realty Trust‡ | 6,572 | 71 | ||||||
HCP‡ | 6,000 | 270 | ||||||
Health Care‡ | 4,110 | 242 | ||||||
Home Properties‡ | 1,020 | 60 | ||||||
Host Hotels & Resorts‡ | 12,130 | 178 | ||||||
Inland Real Estate‡ | 3,170 | 25 | ||||||
Kilroy Realty‡ | 1,490 | 67 | ||||||
Kimco Realty‡ | 5,350 | 103 | ||||||
Kite Realty Group Trust‡ | 9,780 | 52 | ||||||
Lexington Realty Trust‡ | 10,461 | 100 | ||||||
Liberty Property Trust‡ | 2,140 | 75 | ||||||
LTC Properties‡ | 3,320 | 109 | ||||||
Macerich‡ | 990 | 56 | ||||||
Mack-Cali Realty‡ | 3,640 | 92 | ||||||
Mid-America Apartment Communities‡ | 2,150 | 134 | ||||||
National Retail Properties‡ | 2,080 | 64 | ||||||
Omega Healthcare Investors‡ | 2,200 | 50 | ||||||
Parkway Properties‡ | 6,865 | 92 | ||||||
Pebblebrook Hotel Trust‡ | 1,110 | 23 | ||||||
Pennsylvania Real Estate Investment Trust‡ | 2,530 | 42 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 191 |
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Real Return Fund (Continued)
November 30, 2012
Description | Shares/Face Amount $ Thousands | Market Value ($ Thousands) | ||||||
Post Properties‡ | 1,490 | $ | 73 | |||||
Prologis‡ | 7,720 | 262 | ||||||
PS Business Parks‡ | 290 | 19 | ||||||
Public Storage‡ | 1,750 | 246 | ||||||
Realogy Holdings* | 4,138 | 156 | ||||||
Realty Income‡ | 2,680 | 109 | ||||||
Regency Centers‡ | 3,818 | 179 | ||||||
Retail Opportunity Investments‡ | 7,678 | 97 | ||||||
RLJ Lodging Trust‡ | 7,200 | 134 | ||||||
Select Income‡ | 3,540 | 89 | ||||||
Senior Housing Properties Trust‡ | 7,440 | 166 | ||||||
Simon Property Group‡ | 5,930 | 902 | ||||||
SL Green Realty‡ | 510 | 38 | ||||||
Sovran Self Storage‡ | 1,360 | 84 | ||||||
Spirit Realty Capital‡* | 7,702 | 125 | ||||||
STAG Industrial‡ | 3,070 | 58 | ||||||
Strategic Hotels & Resorts‡* | 12,050 | 75 | ||||||
Sunstone Hotel Investors‡* | 6,445 | 67 | ||||||
Tanger Factory Outlet Centers‡ | 3,080 | 101 | ||||||
UDR‡ | 1,510 | 35 | ||||||
Ventas‡ | 5,460 | 348 | ||||||
Vornado Realty Trust‡ | 3,170 | 242 | ||||||
Weingarten Realty Investors‡ | 5,475 | 149 | ||||||
Weyerhaeuser‡ | 3,230 | 89 | ||||||
|
| |||||||
7,994 | ||||||||
|
| |||||||
Industrials — 0.0% | ||||||||
Fortune Brands Home & Security* | 1,650 | 49 | ||||||
|
| |||||||
Materials — 0.9% | ||||||||
Commercial Metals | 33,330 | 452 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 5,380 | 210 | ||||||
Monsanto | 9,990 | 915 | ||||||
United States Steel | 11,570 | 249 | ||||||
|
| |||||||
1,826 | ||||||||
|
| |||||||
Total Common Stock | ||||||||
(Cost $20,646) ($ Thousands) | 22,248 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 5.7% |
| |||||||
Consumer Discretionary — 0.9% | ||||||||
CBS | ||||||||
5.750%, 04/15/2020 | $ | 145 | 174 | |||||
3.375%, 03/01/2022 | 21 | 22 | ||||||
Comcast | ||||||||
6.450%, 03/15/2037 | 40 | 52 | ||||||
5.300%, 01/15/2014 | 65 | 68 | ||||||
DIRECTV Holdings | ||||||||
4.600%, 02/15/2021 | 60 | 65 | ||||||
3.800%, 03/15/2022 (A) | 110 | 112 | ||||||
DIRECTV Holdings LLC | ||||||||
3.800%, 03/15/2022 | 55 | 56 | ||||||
Dollar General | ||||||||
4.125%, 07/15/2017 | 29 | 30 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Kohl’s | ||||||||
3.250%, 02/01/2023 | $ | 72 | $ | 72 | ||||
Macy’s Retail Holdings | ||||||||
3.875%, 01/15/2022 | 170 | 183 | ||||||
Marriott International | ||||||||
3.000%, 03/01/2019 | 147 | 152 | ||||||
News America | ||||||||
6.150%, 02/15/2041 | 75 | 94 | ||||||
4.500%, 02/15/2021 | 90 | 103 | ||||||
Omnicom Group | ||||||||
3.625%, 05/01/2022 | 58 | 61 | ||||||
Time Warner | ||||||||
4.700%, 01/15/2021 | 130 | 149 | ||||||
Time Warner Cable | ||||||||
4.125%, 02/15/2021 | 65 | 71 | ||||||
4.000%, 09/01/2021 | 75 | 82 | ||||||
Wynn Las Vegas | ||||||||
5.375%, 03/15/2022 (A) | 105 | 111 | ||||||
|
| |||||||
1,657 | ||||||||
|
| |||||||
Consumer Staples — 0.3% | ||||||||
Bunge Finance | ||||||||
4.100%, 03/15/2016 | 125 | 134 | ||||||
Kroger | ||||||||
3.400%, 04/15/2022 | 153 | 159 | ||||||
Reynolds American | ||||||||
3.250%, 11/01/2022 | 107 | 109 | ||||||
Tyson Foods | ||||||||
4.500%, 06/15/2022 | 210 | 226 | ||||||
|
| |||||||
628 | ||||||||
|
| |||||||
Energy — 1.0% | ||||||||
Cimarex Energy | ||||||||
5.875%, 05/01/2022 | 54 | 58 | ||||||
DCP Midstream | ||||||||
4.750%, 09/30/2021 (A) | 75 | 80 | ||||||
Energy Transfer Partners | ||||||||
5.950%, 02/01/2015 | 50 | 55 | ||||||
5.200%, 02/01/2022 | 80 | 90 | ||||||
4.650%, 06/01/2021 | 85 | 93 | ||||||
Enterprise Products Operating | ||||||||
5.200%, 09/01/2020 | 60 | 72 | ||||||
EQT | ||||||||
4.875%, 11/15/2021 | 150 | 162 | ||||||
Kinder Morgan Energy Partners | ||||||||
4.150%, 03/01/2022 | 48 | 52 | ||||||
3.950%, 09/01/2022 | 121 | 129 | ||||||
Marathon Petroleum | ||||||||
5.125%, 03/01/2021 | 107 | 126 | ||||||
Nabors Industries | ||||||||
9.250%, 01/15/2019 | 84 | 112 |
192 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Noble Energy | ||||||||
8.250%, 03/01/2019 | $ | 100 | $ | 132 | ||||
Phillips 66 | ||||||||
4.300%, 04/01/2022 (A) | 175 | 194 | ||||||
Spectra Energy Capital | ||||||||
6.200%, 04/15/2018 | 115 | 140 | ||||||
Transocean | ||||||||
2.500%, 10/15/2017 | 93 | 94 | ||||||
Valero Energy | ||||||||
6.125%, 02/01/2020 | 84 | 102 | ||||||
Weatherford International | ||||||||
5.125%, 09/15/2020 | 155 | 164 | ||||||
Williams Partners | ||||||||
4.000%, 11/15/2021 | 150 | 161 | ||||||
|
| |||||||
2,016 | ||||||||
|
| |||||||
Financials — 1.9% | ||||||||
American International Group | ||||||||
6.400%, 12/15/2020 | 60 | 74 | ||||||
5.600%, 10/18/2016 | 60 | 68 | ||||||
American Tower‡ | ||||||||
5.050%, 09/01/2020 | 145 | 163 | ||||||
Bank of America MTN | ||||||||
5.000%, 05/13/2021 | 200 | 229 | ||||||
Capital One Financial | ||||||||
4.750%, 07/15/2021 | 145 | 168 | ||||||
Citigroup | ||||||||
6.875%, 03/05/2038 | 40 | 54 | ||||||
4.500%, 01/14/2022 | 190 | 214 | ||||||
Fifth Third Bancorp | ||||||||
3.500%, 03/15/2022 | 67 | 71 | ||||||
Ford Motor Credit | ||||||||
5.000%, 05/15/2018 | 200 | 219 | ||||||
Goldman Sachs Group | ||||||||
6.750%, 10/01/2037 | 40 | 45 | ||||||
5.750%, 01/24/2022 | 5 | 6 | ||||||
5.375%, 03/15/2020 | 40 | 46 | ||||||
5.250%, 07/27/2021 | 110 | 126 | ||||||
3.625%, 02/07/2016 | 40 | 42 | ||||||
Hartford Financial Services Group | ||||||||
5.500%, 03/30/2020 | 80 | 92 | ||||||
5.125%, 04/15/2022 | 85 | 97 | ||||||
HCP‡ | ||||||||
5.375%, 02/01/2021 | 205 | 236 | ||||||
Health Care‡ | ||||||||
5.250%, 01/15/2022 | 240 | 270 | ||||||
Host Hotels & Resorts‡ | ||||||||
5.250%, 03/15/2022 (A) | 70 | 77 | ||||||
HSBC Finance | ||||||||
6.676%, 01/15/2021 (A) | 60 | 71 | ||||||
JPMorgan Chase | ||||||||
6.400%, 05/15/2038 | 40 | 54 | ||||||
4.500%, 01/24/2022 | 140 | 158 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Marsh & McLennan | ||||||||
5.750%, 09/15/2015 | $ | 60 | $ | 68 | ||||
4.800%, 07/15/2021 | 65 | 74 | ||||||
MetLife | ||||||||
7.717%, 02/15/2019 | 50 | 66 | ||||||
5.700%, 06/15/2035 | 65 | 80 | ||||||
Morgan Stanley MTN | ||||||||
5.500%, 07/28/2021 | 168 | 192 | ||||||
4.750%, 03/22/2017 | 40 | 43 | ||||||
Nationwide Financial Services | ||||||||
5.375%, 03/25/2021 (A) | 130 | 138 | ||||||
Prudential Financial | ||||||||
5.625%, 06/15/2043 (B) | 115 | 115 | ||||||
SLM MTN | ||||||||
7.250%, 01/25/2022 | 165 | 181 | ||||||
Vesey Street Investment Trust I | ||||||||
4.404%, 09/01/2016 (C) | 67 | 72 | ||||||
|
| |||||||
3,609 | ||||||||
|
| |||||||
Health Care — 0.2% | ||||||||
AbbVie | ||||||||
1.750%, 11/06/2017 (A) | 17 | 17 | ||||||
Humana | ||||||||
6.450%, 06/01/2016 | 115 | 131 | ||||||
Laboratory Corp of America Holdings | ||||||||
2.200%, 08/23/2017 | 26 | 27 | ||||||
Watson Pharmaceuticals | ||||||||
3.250%, 10/01/2022 | 77 | 79 | ||||||
WellPoint | ||||||||
3.300%, 01/15/2023 | 75 | 77 | ||||||
|
| |||||||
331 | ||||||||
|
| |||||||
Industrials — 0.3% | ||||||||
ADT | ||||||||
3.500%, 07/15/2022 (A) | 29 | 29 | ||||||
BE Aerospace | ||||||||
5.250%, 04/01/2022 | 105 | 111 | ||||||
CSX | ||||||||
4.750%, 05/30/2042 | 165 | 180 | ||||||
Republic Services | ||||||||
3.800%, 05/15/2018 | 130 | 144 | ||||||
Ryder System MTN | ||||||||
3.500%, 06/01/2017 | 130 | 139 | ||||||
|
| |||||||
603 | ||||||||
|
| |||||||
Information Technology — 0.1% |
| |||||||
Hewlett-Packard | ||||||||
4.650%, 12/09/2021 | 73 | 71 | ||||||
Intel | ||||||||
4.800%, 10/01/2041 | 95 | 105 | ||||||
|
| |||||||
176 | ||||||||
|
| |||||||
Materials — 0.4% |
| |||||||
Alcoa | ||||||||
5.400%, 04/15/2021 | 100 | 105 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 193 |
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Real Return Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ball | ||||||||
5.000%, 03/15/2022 | $ | 105 | $ | 111 | ||||
Dow Chemical | ||||||||
5.900%, 02/15/2015 | 55 | 61 | ||||||
5.250%, 11/15/2041 | 30 | 33 | ||||||
4.250%, 11/15/2020 | 65 | 72 | ||||||
4.125%, 11/15/2021 | 85 | 93 | ||||||
International Paper | ||||||||
7.950%, 06/15/2018 | 110 | 142 | ||||||
4.750%, 02/15/2022 | 85 | 97 | ||||||
|
| |||||||
714 | ||||||||
|
| |||||||
Telecommunication Services — 0.2% |
| |||||||
AT&T | ||||||||
5.350%, 09/01/2040 | 113 | 132 | ||||||
U.S. Cellular | ||||||||
6.700%, 12/15/2033 | 70 | 75 | ||||||
Verizon Communications | ||||||||
7.350%, 04/01/2039 | 125 | 188 | ||||||
|
| |||||||
395 | ||||||||
|
| |||||||
Utilities — 0.4% |
| |||||||
CMS Energy | ||||||||
5.050%, 03/15/2022 | 52 | 58 | ||||||
Constellation Energy Group | ||||||||
5.150%, 12/01/2020 | 26 | 30 | ||||||
FirstEnergy Solutions | ||||||||
6.800%, 08/15/2039 | 60 | 68 | ||||||
6.050%, 08/15/2021 | 55 | 63 | ||||||
MidAmerican Energy Holdings | ||||||||
6.125%, 04/01/2036 | 140 | 180 | ||||||
Nisource Finance | ||||||||
6.125%, 03/01/2022 | 100 | 121 | ||||||
ONEOK | ||||||||
4.250%, 02/01/2022 | 170 | 186 | ||||||
Pacific Gas & Electric | ||||||||
4.500%, 12/15/2041 | 65 | 72 | ||||||
|
| |||||||
778 | ||||||||
|
| |||||||
Total Corporate Obligations | 10,907 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 3.6% |
| |||||||
Automotive — 2.4% |
| |||||||
Ally Master Owner Trust, | ||||||||
1.810%, 05/15/2016 | 385 | 391 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-3, Cl A2 | ||||||||
0.840%, 11/10/2014 | 139 | 139 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-4, Cl A2 | ||||||||
0.920%, 03/09/2015 | 48 | 48 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-3, Cl A3 | ||||||||
0.960%, 01/09/2017 | $ | 210 | $ | 211 | ||||
AmeriCredit Automobile Receivables Trust, Ser 2012-4, Cl A2 | ||||||||
0.490%, 04/08/2016 | 310 | 310 | ||||||
Avis Budget Rental Car Funding, | ||||||||
2.100%, 03/20/2019 (A) | 150 | 154 | ||||||
Bank of America Auto Trust, Ser 2012-1, Cl A4 | ||||||||
1.030%, 12/15/2016 | 170 | 172 | ||||||
BMW Floorplan Master Owner Trust, Ser 2012-1A, Cl A | ||||||||
0.608%, 09/15/2017 (A) (B) | 425 | 424 | ||||||
CarMax Auto Owner Trust, Ser 2011-3, Cl A3 | ||||||||
1.230%, 06/15/2016 | 70 | 70 | ||||||
Exeter Automobile Receivables Trust, Ser 2012-1A | ||||||||
2.020%, 08/15/2016 (A) | 84 | 85 | ||||||
Exeter Automobile Receivables Trust, Ser 2012-2A, Cl A | ||||||||
1.300%, 06/15/2017 (A) | 187 | 187 | ||||||
Ford Credit Auto Lease Trust, | ||||||||
0.820%, 01/15/2014 | 102 | 102 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
1.010%, 05/15/2018 | 100 | 100 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2010-3, Cl A2 | ||||||||
1.908%, 02/15/2017 (A) (B) | 450 | 464 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-4, Cl A1 | ||||||||
0.740%, 09/15/2016 | 480 | 480 | ||||||
GE Dealer Floorplan Master Note Trust, Ser 2012-3, Cl A | ||||||||
0.698%, 06/20/2017 (B) | 255 | 255 | ||||||
Huntington Auto Trust, | ||||||||
1.010%, 01/15/2016 (A) | 135 | 136 | ||||||
Hyundai Auto Lease Securitization Trust, Ser 2011-A, Cl A2 | ||||||||
0.690%, 11/15/2013 (A) | 6 | 6 | ||||||
Mercedes-Benz Auto Lease Trust, | ||||||||
0.900%, 01/15/2014 (A) | 105 | 105 | ||||||
Navistar Financial Owner Trust, | ||||||||
0.850%, 03/18/2015 (A) | 210 | 211 | ||||||
Nissan Auto Lease Trust, | ||||||||
0.680%, 07/15/2014 | 150 | 151 |
194 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Porsche Innovative Lease Owner Trust, Ser 2011-1 | ||||||||
1.090%, 09/22/2014 (A) | $ | 185 | $ | 186 | ||||
Santander Drive Auto Receivables Trust, Ser 2012-6, Cl A2 | ||||||||
0.470%, 09/15/2015 | 220 | 220 | ||||||
SMART Trust, Ser 2012-4US, Cl A2A | ||||||||
0.670%, 06/14/2015 | 155 | 155 | ||||||
|
| |||||||
4,762 | ||||||||
|
| |||||||
Credit Cards — 1.0% |
| |||||||
American Express Credit Account Master Trust, Ser 2012-5, Cl A | ||||||||
0.590%, 05/15/2018 | 270 | 270 | ||||||
Chase Issuance Trust, | ||||||||
0.540%, 10/16/2017 | 230 | 230 | ||||||
Discover Card Master Trust, | ||||||||
0.578%, 11/15/2019 (B) | 205 | 206 | ||||||
Dryrock Issuance Trust, Ser 2012-2, Cl A | ||||||||
0.640%, 08/15/2018 | 275 | 275 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2012-6, Cl A | ||||||||
1.360%, 08/17/2020 | 250 | 253 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2012-7, Cl A | ||||||||
1.760%, 09/15/2022 | 215 | 215 | ||||||
Penarth Master Issuer, | ||||||||
0.963%, 12/18/2014 (A) (B) | 200 | 200 | ||||||
Penarth Master Issuer, | ||||||||
0.807%, 03/18/2014 (A) (B) | 174 | 175 | ||||||
|
| |||||||
1,824 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 0.2% |
| |||||||
CIT Equipment Collateral, | ||||||||
1.100%, 08/22/2016 (A) | 170 | 170 | ||||||
CNH Equipment Trust, Ser 2012-A, Cl A3 | ||||||||
0.940%, 05/15/2017 | 132 | 133 | ||||||
|
| |||||||
�� | 303 | |||||||
|
| |||||||
Total Asset-Backed Securities (Cost $6,873) ($ Thousands) | 6,889 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 3.1% |
| |||||||
Agency Mortgage-Backed Obligations — 1.0% |
| |||||||
FNMA | ||||||||
6.000%, 10/01/2040 to 05/01/41 | 1,763 | 1,938 | ||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Non-Agency Mortgage-Backed Obligations — 2.1% |
| |||||||
Banc of America Commercial Mortgage, Ser 2006-5, Cl A4 | ||||||||
5.414%, 09/10/2047 | $ | 300 | $ | 341 | ||||
CW Capital Cobalt, Ser 2007-C3, Cl A4 | ||||||||
5.804%, 05/15/2046 (B) | 310 | 364 | ||||||
Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl A4 | ||||||||
5.444%, 03/10/2039 | 315 | 363 | ||||||
GS Mortgage Securities II, | ||||||||
5.553%, 04/10/2038 (B) | 215 | 243 | ||||||
GS Mortgage Securities II, | ||||||||
3.377%, 05/10/2045 | 345 | 373 | ||||||
GS Mortgage Securities II, | ||||||||
2.773%, 11/10/2045 | 327 | 335 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-C2, Cl A1 | ||||||||
2.749%, 11/15/2043 (A) | 149 | 156 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser LD11, Cl A4 | ||||||||
6.003%, 06/15/2049 (B) | 310 | 362 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
5.424%, 02/15/2040 | 305 | 355 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
5.430%, 02/15/2040 | 310 | 358 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
4.960%, 07/12/2038 | 109 | 111 | ||||||
Merrill Lynch, Ser 2007-9, Cl A4 | ||||||||
5.700%, 09/12/2049 | 300 | 351 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2006-WL7A | ||||||||
0.328%, 09/15/2021 (A) (B) | 254 | 249 | ||||||
WFRBS, Ser 2012-C10, Cl A3 | ||||||||
2.600%, 12/15/2045 | 155 | 159 | ||||||
|
| |||||||
4,120 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities | 6,058 | |||||||
|
| |||||||
FOREIGN BONDS — 2.6% |
| |||||||
AngloGold Ashanti Holdings | ||||||||
5.375%, 04/15/2020 | 95 | 97 | ||||||
ArcelorMittal | ||||||||
5.500%, 03/01/2021 | 60 | 60 | ||||||
Asciano Finance | ||||||||
5.000%, 04/07/2018 (A) | 130 | 139 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 195 |
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Real Return Fund (Continued)
November 30, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Baidu | ||||||||
2.250%, 11/28/2017 | $ | 200 | $ | 202 | ||||
Barclays Bank MTN | ||||||||
7.625%, 11/21/2022 | 250 | 248 | ||||||
6.625%, 03/30/2022 | 130 | 195 | ||||||
Basell Finance BV | ||||||||
8.100%, 03/15/2027 (A) | 70 | 95 | ||||||
BBVA US Senior SAU | ||||||||
3.250%, 05/16/2014 | 135 | 135 | ||||||
British Telecommunications | ||||||||
5.950%, 01/15/2018 | 145 | 174 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
3.950%, 11/09/2022 | 250 | 253 | ||||||
Delhaize Group | ||||||||
6.500%, 06/15/2017 | 115 | 131 | ||||||
Deutsche Telekom International Finance | ||||||||
8.750%, 06/15/2030 | 100 | 150 | ||||||
4.875%, 03/06/2042 (A) | 170 | 183 | ||||||
DnB Bank | ||||||||
3.200%, 04/03/2017 (A) | 200 | 213 | ||||||
Embraer | ||||||||
5.150%, 06/15/2022 | 48 | 52 | ||||||
Encana | ||||||||
3.900%, 11/15/2021 | 170 | 183 | ||||||
Gazprom OAO Via Gaz Capital MTN | ||||||||
6.212%, 11/22/2016 | 130 | 146 | ||||||
Globo Comunicacao e Participacoes | ||||||||
7.250%, 05/11/2017 (A) (C) | 200 | 216 | ||||||
HSBC Holdings | ||||||||
5.100%, 04/05/2021 | 40 | 47 | ||||||
4.000%, 03/30/2022 | 110 | 121 | ||||||
ING Bank | ||||||||
2.000%, 09/25/2015 (A) | 220 | 221 | ||||||
KazMunayGas National | ||||||||
7.000%, 05/05/2020 (A) | 120 | 149 | ||||||
Korea National Oil | ||||||||
3.125%, 04/03/2017 (A) | 200 | 211 | ||||||
Perusahaan Listrik Negara | ||||||||
5.500%, 11/22/2021 (A) | 200 | 225 | ||||||
Petrobras International Finance | ||||||||
5.750%, 01/20/2020 | 115 | 131 | ||||||
Petronas Capital | ||||||||
5.250%, 08/12/2019 (A) | 125 | 150 | ||||||
Talent Yield Investments | ||||||||
4.500%, 04/25/2022 (A) | 200 | 219 | ||||||
Telecom Italia Capital | ||||||||
7.175%, 06/18/2019 | 60 | 68 | ||||||
Telefonaktiebolaget LM Ericsson | ||||||||
4.125%, 05/15/2022 | 180 | 187 | ||||||
Telefonica Emisiones SAU | ||||||||
5.462%, 02/16/2021 | 70 | 71 | ||||||
Vale | ||||||||
5.625%, 09/11/2042 | 210 | 227 |
Description | Shares/Face Amount ($ Thousands)/ Contracts | Market Value ($ Thousands) | ||||||
Vodafone Group | ||||||||
6.150%, 02/27/2037 | $ | 140 | $ | 189 | ||||
|
| |||||||
Total Foreign Bonds | 5,088 | |||||||
|
| |||||||
PREFERRED STOCK — 0.7% |
| |||||||
Materials — 0.7% |
| |||||||
Vale ADR, Cl B | 77,750 | 1,329 | ||||||
|
| |||||||
Total Preferred Stock | 1,329 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATION — 0.4% |
| |||||||
FHLMC | ||||||||
2.375%, 01/13/2022 | 746 | 784 | ||||||
|
| |||||||
Total U.S. Government Agency Obligation (Cost $742) ($ Thousands) | 784 | |||||||
|
| |||||||
SOVEREIGN DEBT — 0.1% |
| |||||||
Qatar Government International Bond | ||||||||
4.500%, 01/20/2022 (A) | 200 | 229 | ||||||
|
| |||||||
Total Sovereign Debt | 229 | |||||||
|
| |||||||
Total Investments — 108.5% | $ | 209,621 | ||||||
|
| |||||||
PURCHASED OPTION — 0.1% |
| |||||||
United States — 0.1% |
| |||||||
March 2013 SPX U.S. Index, Expires 03/16/13, | 25 | $ | 92 | |||||
|
| |||||||
Total Purchased Option | $ | 92 | ||||||
|
| |||||||
WRITTEN OPTION — 0.0% |
| |||||||
United States — 0.0% |
| |||||||
March 2013 SPX U.S. Index, Expires 03/16/13, | (25 | ) | $ | (18 | ) | |||
|
| |||||||
Total Written Option |
| $ | (18 | ) | ||||
|
|
The open futures contracts held by the Fund at November 30, 2012, are as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized (Depreciation) ($ Thousands) | |||||||||
U.S. 10-Year Treasury Note | (52 | ) | Mar-2013 | $ | (30 | ) | ||||||
U.S. 2-Year Treasury Note | (4 | ) | Mar-2013 | — | ||||||||
U.S. 5-Year Treasury Note | (8 | ) | Mar-2013 | (2 | ) | |||||||
U.S. Long Treasury Bond | (11 | ) | Mar-2013 | (9 | ) | |||||||
|
| |||||||||||
$ | (41 | ) | ||||||||||
|
|
For the period ended November 30, 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 period.
196 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
A list of the open forward foreign currency contracts held by the Fund at November 30, 2012, is as follows:
Maturity Date | Currency (Thousands) | Currency (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
12/4/12-1/3/13 | BRL | 10,802 | USD | 5,222 | $ | 110 | ||||||||||||||
12/4/12-1/15/13 | GBP | 9,646 | USD | 15,416 | (41 | ) | ||||||||||||||
12/4/12-1/15/13 | RUB | 65,944 | USD | 2,094 | (31 | ) | ||||||||||||||
12/6/12-12/14/12 | EUR | 6,348 | USD | 8,086 | (170 | ) | ||||||||||||||
12/14/12 | AUD | 3,597 | USD | 3,736 | (12 | ) | ||||||||||||||
12/14/12 | CAD | 8,373 | USD | 8,395 | (32 | ) | ||||||||||||||
12/14/12 | CHF | 443 | USD | 469 | (10 | ) | ||||||||||||||
12/14/12 | CNY | 5,382 | USD | 854 | (9 | ) | ||||||||||||||
12/14/12 | JPY | 253,933 | USD | 3,180 | 100 | |||||||||||||||
12/14/12 | NOK | 5,237 | USD | 912 | (13 | ) | ||||||||||||||
12/14/12 | SEK | 2,085 | USD | 311 | (2 | ) | ||||||||||||||
12/14/12 | SGD | 112 | USD | 92 | — | |||||||||||||||
12/14/12 | THB | 24,035 | USD | 781 | (1 | ) | ||||||||||||||
12/14/12 | TRY | 273 | USD | 152 | — | |||||||||||||||
12/14/12 | USD | 4,582 | CNY | 28,871 | 49 | |||||||||||||||
12/14/12 | ZAR | 4,243 | USD | 484 | 7 | |||||||||||||||
|
| |||||||||||||||||||
$ | (55 | ) | ||||||||||||||||||
|
|
A summary of the counterparties for the outstanding forward foreign currency contracts held by the Fund at November 30, 2012, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency ($ Thousands) | Unrealized (Depreciation) ($ Thousands) | |||||||||
Brown Brothers Harriman | (9,270 | ) | 9,098 | $ | (172 | ) | ||||||
Citigroup | (1,066 | ) | 1,042 | (24 | ) | |||||||
Credit Suisse First Boston | (11,280 | ) | 11,248 | (32 | ) | |||||||
Deutsche Bank | (479 | ) | 469 | (10 | ) | |||||||
Goldman Sachs | (5,493 | ) | 5,528 | 35 | ||||||||
JPMorgan Chase Bank | (1,058 | ) | 1,051 | (7 | ) | |||||||
Royal Bank of Canada | (10,684 | ) | 10,657 | (27 | ) | |||||||
Royal Bank of Scotland | (2,623 | ) | 2,704 | 81 | ||||||||
Standard Charter Bank | (1,109 | ) | 1,129 | 20 | ||||||||
UBS | (11,810 | ) | 11,891 | 81 | ||||||||
|
| |||||||||||
$ | (55 | ) | ||||||||||
|
|
For the period ended November 30, 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 period.
A list of the open swap agreements held by the Fund at November 30, 2012, is as follows:
Credit Default Swaps | ||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($Thousands) | ||||||||||||||
Bank of America | CDX.NA.IG 19-V1 Index | Sell | 1.00 | % | 12/20/17 | $ | (690 | ) | $ | — | ||||||||||
Bank of America | Societe Generale | Sell | 3.00 | 12/20/17 | (200 | ) | 3 | |||||||||||||
Deutsche Bank | Anadarko Petroleum Corporation | Sell | 1.00 | 09/20/17 | (170 | ) | 3 | |||||||||||||
Deutsche Bank | Bank Of America Corporation | Sell | 1.00 | 09/20/17 | (170 | ) | 7 | |||||||||||||
|
| |||||||||||||||||||
$ | 13 | |||||||||||||||||||
|
|
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Barclays Bank PLC | 1.10% | 3 Month USD LIBOR | 02/21/17 | $ | 500 | $ | (11 | ) | ||||||
Credit Suisse | 3 Month USD LIBOR | 2.09% | 03/12/22 | 250 | 13 | |||||||||
Deutsche Bank | 0.69% | 3 Month USD LIBOR | 10/13/13 | 4,910 | (2 | ) | ||||||||
Morgan Stanley | 2.80% | 3 Month USD LIBOR | 03/06/42 | 330 | (19 | ) | ||||||||
Morgan Stanley | 2.81% | 3 Month USD LIBOR | 02/21/42 | 450 | (28 | ) | ||||||||
Morgan Stanley | 0.56% | 3 Month USD LIBOR | 03/12/14 | 3,880 | (7 | ) | ||||||||
|
| |||||||||||||
$ | (54 | ) | ||||||||||||
|
|
Total Return Swaps | ||||||||||||||||||
Counterparty | Reference Entity/Obligation | Fund Pays | Fund Receives | Termination Date | Notional Amount ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||||||
Bank of America | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 10 Bps | 09/16/13 | $ | 521 | $ | (25 | ) | |||||||||
Barclays Bank PLC | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 3 Bps | 12/18/12 | 258 | (14 | ) | |||||||||||
JPMorgan Chase Bank | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 15 Bps | 04/15/13 | 1,168 | (56 | ) | |||||||||||
JPMorgan Chase Bank | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 16 Bps | 04/15/13 | 469 | (22 | ) | |||||||||||
JPMorgan Chase Bank | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 11 Bps | 09/16/13 | 1,336 | (64 | ) | |||||||||||
Morgan Stanley | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 12 Bps | 05/15/13 | 507 | (24 | ) | |||||||||||
UBS Warburg | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 6 Bps | 12/18/12 | 1,200 | (57 | ) | |||||||||||
UBS Warburg | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 12 Bps | 05/15/13 | 201 | (10 | ) | |||||||||||
UBS Warburg | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 12 Bps | 05/15/13 | 825 | (39 | ) | |||||||||||
UBS Warburg | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 13 Bps | 06/17/13 | 396 | (18 | ) | |||||||||||
UBS Warburg | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 11 Bps | 08/15/13 | 3,389 | (160 | ) | |||||||||||
UBS Warburg | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 10 Bps | 08/15/13 | 15,283 | (724 | ) | |||||||||||
UBS Warburg | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 10 Bps | 09/16/13 | 798 | (37 | ) | |||||||||||
UBS Warburg | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 12 Bps | 09/16/13 | 936 | (44 | ) | |||||||||||
UBS Warburg | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 12 Bps | 09/16/13 | 841 | (40 | ) | |||||||||||
UBS Warburg | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 12 Bps | 10/15/13 | 329 | (16 | ) |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 197 |
SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Real Return Fund (Concluded)
November 30, 2012
Total Return Swaps | ||||||||||||||||||
Counterparty | Reference Entity/Obligation | Fund Pays | Fund Receives | Termination Date | Notional Amount ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||||||
UBS Warburg | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 12 Bps | 10/15/13 | $ | 616 | $ | (29 | ) | |||||||||
UBS Warburg | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 13.5 Bps | 10/15/13 | 287 | (13 | ) | |||||||||||
UBS Warburg | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 13 Bps | 10/15/13 | 287 | (13 | ) | |||||||||||
UBS Warburg | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 17 Bps | 10/15/13 | 901 | (20 | ) | |||||||||||
|
| |||||||||||||||||
$ | (1,425 | ) | ||||||||||||||||
|
|
For the period ended November 30, 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 period.
Percentages | are based on a Net Assets of $193,297 ($ Thousands). |
* | Non-income producing security. |
‡ | Real Estate Investment Trust. |
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(B) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of November 30, 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 November 30, 2012. The coupon on a step bond changes on a specified date. Effective yield at time of purchase. |
(D) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(F) | The rate reported is the effective yield at time of purchase. |
ADR — American Depositary Receipt
AUD — Australian Dollar
BRL — Brazilian Real
CAD — Canadian Dollar
CHF — Swiss Franc
CI — Class
CNY — Chinese Yuan
EUR — Euro
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
GBP — British Pound Sterling
JPY — Japanese Yen
LIBOR — London Interbank Offered Rate
LLC — Limited Liability Company
MTN — Medium Term Note
NOK — Norwegian Kroner
NVDR — Non-Voting Depositary Receipt
PLC — Public Limited Company
RUB — Russian Rouble
S&P — Standard & Poor’s
SEK — Swedish Krona
Ser — Series
SGD — Singapore Dollar
SPX — Standard & Poor’s 500 Index
THB — Thai Baht
TRY — Turkish New Lira
USD — United States Dollar
ZAR — South African Rand
The following is a summary of the inputs used as of November 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
U.S. Treasury Obligations | $ | — | $ | 92,109 | $ | — | $ | 92,109 | ||||||||
Registered Investment Company | 34,043 | — | — | 34,043 | ||||||||||||
Foreign Common Stock | 29,495 | 442 | — | 29,937 | ||||||||||||
Common Stock | 22,248 | — | — | 22,248 | ||||||||||||
Corporate Obligations | — | 10,907 | — | 10,907 | ||||||||||||
Asset-Backed Securities | — | 6,889 | — | 6,889 | ||||||||||||
Mortgage-Backed Securities | — | 5,899 | 159 | 6,058 | ||||||||||||
Foreign Bonds | — | 5,088 | — | 5,088 | ||||||||||||
Preferred Stock | 1,329 | — | — | 1,329 | ||||||||||||
U.S. Government Agency Obligation | — | 784 | — | 784 | ||||||||||||
Sovereign Debt | — | 229 | — | 229 | ||||||||||||
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Total Investments in Securities | $ | 87,115 | $ | 122,347 | $ | 159 | $ | 209,621 | ||||||||
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Securities Sold Short | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Option | $ | (18 | ) | $ | — | $ | — | $ | (18 | ) | ||||||
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Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (41 | ) | $ | — | $ | — | $ | (41 | ) | ||||||
Forwards Contracts* | — | (55 | ) | — | (55 | ) | ||||||||||
Credit Default Swaps* | — | 13 | — | 13 | ||||||||||||
Total Return Swaps* | — | (1,425 | ) | — | (1,425 | ) | ||||||||||
Interest Rate Swaps* | — | (54 | ) | — | (54 | ) | ||||||||||
Purchased Option | 92 | — | — | 92 | ||||||||||||
Reverse Repurchase Agreements | — | 26,615 | — | 26,615 | ||||||||||||
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Total Other Financial Instruments | $ | 51 | $ | 25,094 | $ | — | $ | 25,145 | ||||||||
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(1) | A reconciliation of Level 3 instruments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. |
* | Futures contracts, forwards contracts and swaps are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended November 30, 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 period ended November 30, 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 $0.
The accompanying notes are an integral part of the financial statements.
198 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
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Statements of Assets and Liabilities ($ Thousands) (Unaudited)
November 30, 2012
Large Cap Fund | Large Cap Diversified Alpha Fund | Large Cap Disciplined Equity Fund | Large Cap Index Fund | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at value† | $ | 1,771,658 | * | $ | 273,440 | $ | 5,176,912 | * | $ | 1,801,832 | * | |||||
Affiliated investment, at value†† | 179,065 | 22,373 | 973,686 | 211,968 | ||||||||||||
Cash | — | 4 | 109 | — | ||||||||||||
Foreign currency, at value††† | — | — | — | — | ||||||||||||
Receivable for fund shares sold | 222 | 433 | 1,352 | 1,245 | ||||||||||||
Receivable for investment securities sold | 30,544 | 120 | 6,072 | 4,569 | ||||||||||||
Dividends and interest receivable | 4,691 | 678 | 12,744 | — | ||||||||||||
Receivable for variation margin | — | 1 | — | — | ||||||||||||
Foreign tax reclaim receivable | 27 | 3 | 30 | 1 | ||||||||||||
Unrealized gain on foreign spot currency contracts | — | — | — | — | ||||||||||||
Prepaid expenses | 17 | 2 | 39 | 14 | ||||||||||||
Total Assets | 1,986,224 | 297,054 | 6,170,944 | 2,019,629 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Payable upon return on securities loaned | 84,358 | — | 342,407 | 156,295 | ||||||||||||
Payable to custodian | — | — | — | — | ||||||||||||
Payable for investment securities purchased | 2,465 | 164 | 1,371 | — | ||||||||||||
Payable for fund shares redeemed | 90,658 | 10,825 | 39,884 | 1,870 | ||||||||||||
Payable for securities lending collateral | 555 | — | 6,553 | 959 | ||||||||||||
Payable to custodian | — | — | — | — | ||||||||||||
Payable for variation margin | 84 | 20 | 504 | 76 | ||||||||||||
Unrealized loss on foreign spot currency contracts | — | — | — | — | ||||||||||||
Unrealized loss on forward foreign currency contracts | — | — | — | — | ||||||||||||
Investment advisory fees payable | 281 | 56 | 706 | 15 | ||||||||||||
CCO fees payable | 6 | 1 | 21 | 5 | ||||||||||||
Trustees fees payable | — | — | 2 | — | ||||||||||||
Accrued expense payable | 47 | 12 | 180 | 34 | ||||||||||||
Total Liabilities | 178,454 | 11,078 | 391,628 | 159,254 | ||||||||||||
Net Assets | $ | 1,807,770 | $ | 285,976 | $ | 5,779,316 | $ | 1,860,375 | ||||||||
†Cost of investments | 1,469,364 | 246,775 | 4,730,364 | 1,547,797 | ||||||||||||
††Cost of affiliated investments | 179,065 | 22,373 | 1,097,454 | 211,968 | ||||||||||||
†††Cost of foreign currency | — | — | — | — | ||||||||||||
* Includes market value of securities on loan | 82,113 | — | 334,417 | 152,486 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Paid-in-Capital — (unlimited authorization — no par value) | $ | 1,475,617 | $ | 360,316 | $ | 6,084,972 | $ | 1,598,453 | ||||||||
Undistributed net investment income | 7,367 | 1,435 | 20,944 | 7,571 | ||||||||||||
Accumulated net realized gain (loss) on investments, option contracts, swaptions, futures, securities sold short, swap contracts and foreign currency | 22,492 | (102,462 | ) | (640,250 | ) | 1,213 | ||||||||||
Net unrealized appreciation on investments and option contracts | 302,294 | 26,665 | 322,780 | 254,035 | ||||||||||||
Net unrealized appreciation (depreciation) on futures contracts | — | 22 | (9,130 | ) | (897 | ) | ||||||||||
Net unrealized depreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies | — | — | — | — | ||||||||||||
Net Assets | $ | 1,807,770 | $ | 285,976 | $ | 5,779,316 | $ | 1,860,375 | ||||||||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $18.55 | $10.18 | $11.55 | $123.25 | ||||||||||||
| ($1,807,770,317÷ 97,480,199 shares | ) | | ($285,976,215÷ 28,104,288 shares | ) | | ($5,779,315,960÷ 500,494,635 shares | ) | | ($1,860,374,878÷ 15,094,565 shares | ) |
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 / Semi-Annual Report / November 30, 2012 |
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 | |||||||||||||||||
$ 740,033 | * | $196,719 | * | $2,193,177 | * | $872,362 | $ 357,579 | * | $5,902,675 | * | ||||||||||||
225,321 | 47,401 | 632,319 | 35,531 | 24,276 | 478,461 | |||||||||||||||||
— | — | 21 | 340 | — | — | |||||||||||||||||
— | — | — | 20 | 208 | 14,767 | |||||||||||||||||
50,082 | 1,459 | 1,883 | 18,692 | 1 | 57,433 | |||||||||||||||||
17,132 | 9,351 | 14,296 | — | 387 | 10,706 | |||||||||||||||||
925 | 209 | 3,090 | 2,599 | 945 | 11,010 | |||||||||||||||||
— | — | — | — | 16 | 126 | |||||||||||||||||
4 | — | — | — | 815 | 3,617 | |||||||||||||||||
— | — | — | — | 1 | 267 | |||||||||||||||||
6 | 1 | 18 | 7 | 3 | 43 | |||||||||||||||||
1,033,503 | 255,140 | 2,844,804 | 929,551 | 384,231 | 6,479,105 | |||||||||||||||||
199,684 | 35,520 | 525,466 | — | 7,397 | 395,260 | |||||||||||||||||
— | — | — | — | 3 | — | |||||||||||||||||
17,430 | 1,597 | 15,934 | 9,555 | 486 | 17,070 | |||||||||||||||||
35,377 | �� | — | 62,269 | 14,715 | 99 | 45,482 | ||||||||||||||||
5,744 | — | 7,495 | — | 714 | 2,583 | |||||||||||||||||
18 | 6 | — | — | — | 6,563 | |||||||||||||||||
118 | 32 | 167 | 43 | 2 | 27 | |||||||||||||||||
— | — | — | — | 1 | 732 | |||||||||||||||||
— | — | — | — | 27 | 348 | |||||||||||||||||
294 | 76 | 827 | 155 | 105 | 1,546 | |||||||||||||||||
3 | — | 7 | 2 | 1 | 17 | |||||||||||||||||
— | — | 1 | — | — | 1 | |||||||||||||||||
29 | 5 | 70 | 13 | 130 | 318 | |||||||||||||||||
258,697 | 37,236 | 612,236 | 24,483 | 8,965 | 469,947 | |||||||||||||||||
$ 774,806 | $217,904 | $2,232,568 | $905,068 | $ 375,266 | $6,009,158 | |||||||||||||||||
729,044 | 189,810 | 2,038,992 | 801,274 | 351,874 | 5,497,997 | |||||||||||||||||
225,321 | 47,401 | 632,319 | 35,531 | 24,276 | 478,461 | |||||||||||||||||
— | — | — | 20 | 207 | 14,839 | |||||||||||||||||
193,370 | 34,456 | 509,878 | — | 7,111 | 383,918 | |||||||||||||||||
$ 965,078 | $211,775 | $2,081,947 | $810,783 | $ 785,768 | $6,194,128 | |||||||||||||||||
2,830 | 252 | 11,583 | 3,569 | 9,102 | 105,088 | |||||||||||||||||
(203,766 | ) | (1,101 | ) | (14,986 | ) | 18,560 | (425,728 | ) | (694,938 | ) | ||||||||||||
10,989 | 6,909 | 154,185 | 71,088 | 5,705 | 404,678 | |||||||||||||||||
(325 | ) | 69 | (161 | ) | 1,068 | 428 | 1,213 | |||||||||||||||
— | — | — | — | (9 | ) | (1,011 | ) | |||||||||||||||
$ 774,806 | $217,904 | $2,232,568 | $905,068 | $ 375,266 | $6,009,158 | |||||||||||||||||
$12.83 | $10.27 | $13.22 | $12.19 | $7.23 | $10.69 | |||||||||||||||||
| ($774,805,585÷ 60,389,691 shares | ) | | ($217,903,855÷ 21,210,823 shares | ) | | ($2,232,567,497÷ 168,861,370 shares | ) | | ($905,068,063÷ 74,258,325 shares | ) | | ($375,266,027÷ 51,874,966 shares | ) | | ($6,009,158,465÷ 561,967,762 shares | ) |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 201 |
Statements of Assets and Liabilities ($ Thousands) (Unaudited)
November 30, 2012
Screened World Equity Ex-US Fund | Enhanced LIBOR Opportunities Fund | Core Fixed Income Fund | High Yield Bond Fund | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at value† | $ | 59,868 | $ | 154,936 | $ | 8,405,932 | * | $ | 2,011,955 | |||||||
Affiliated investment, at value†† | 2,169 | 290,432 | 648,053 | 82,525 | ||||||||||||
Repurchase agreements | — | 5,000 | — | — | ||||||||||||
Cash | 11 | — | 918 | — | ||||||||||||
Foreign currency, at value††† | 50 | — | 3,538 | — | ||||||||||||
Cash pledged as collateral for forward foreign currency contracts, future contracts and swap contracts | — | 45 | 704 | — | ||||||||||||
Receivable for fund shares sold | 2 | 23,100 | 200,707 | 43,432 | ||||||||||||
Receivable for investment securities sold | 79 | 1,409 | 571,838 | 25,917 | ||||||||||||
Dividends and interest receivable | 112 | 839 | 38,079 | 32,718 | ||||||||||||
Receivable for variation margin | 2 | — | 78 | — | ||||||||||||
Foreign tax reclaim receivable | 66 | — | 1 | 9 | ||||||||||||
Unrealized gain on foreign spot currency contracts | — | — | — | — | ||||||||||||
Unrealized gain on forward foreign currency contracts | — | — | 1,305 | — | ||||||||||||
Swap contracts at value†††† | — | — | — | — | ||||||||||||
Options purchased, at value††††† | — | — | 379 | — | ||||||||||||
Prepaid expenses | — | 2 | 60 | 15 | ||||||||||||
Total Assets | 62,359 | 475,763 | 9,871,592 | 2,196,571 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Payable upon return on securities loaned | — | — | 188,730 | — | ||||||||||||
Payable for investment securities purchased | 36 | 30,431 | 1,291,722 | 63,009 | ||||||||||||
Payable for fund shares redeemed | 1 | 200 | 79,120 | 33,694 | ||||||||||||
Payable for securities lending collateral | — | — | 8,358 | — | ||||||||||||
Income distribution payable | — | — | 474 | 12,055 | ||||||||||||
Swap contracts at value†††† | — | — | 876 | 655 | ||||||||||||
Options written, at value††††† | — | — | 71 | — | ||||||||||||
Payable to custodian | — | 1,658 | — | 477 | ||||||||||||
Payable for variation margin | — | 2 | 421 | — | ||||||||||||
Unrealized loss on foreign spot currency contracts | — | — | — | — | ||||||||||||
Unrealized loss on forward foreign currency contracts | 5 | — | 984 | — | ||||||||||||
Reverse repurchase agreements | — | — | — | — | ||||||||||||
Investment advisory fees payable | 14 | 56 | 804 | 479 | ||||||||||||
CCO fees payable | — | 1 | 25 | 7 | ||||||||||||
Trustees fees payable | — | — | 2 | 1 | ||||||||||||
Accrued expense payable | 43 | 12 | 181 | 83 | ||||||||||||
Total Liabilities | 99 | 32,360 | 1,571,768 | 110,460 | ||||||||||||
Net Assets | $ | 62,260 | $ | 443,403 | $ | 8,299,824 | $ | 2,086,111 | ||||||||
†Cost of investments and repurchase agreements | 57,050 | 159,955 | 8,090,905 | 1,931,903 | ||||||||||||
††Cost of affiliated investments | 2,169 | 302,094 | 648,053 | 82,525 | ||||||||||||
†††Cost of foreign currency | 50 | — | 3,453 | — | ||||||||||||
††††Swap Premiums received | — | — | 176 | 1,189 | ||||||||||||
†††††Option Premiums paid/(received) | — | — | 483 | — | ||||||||||||
* Includes market value of securities on loan | — | — | 184,195 | — | ||||||||||||
NET ASSETS: | ||||||||||||||||
Paid-in-Capital — (unlimited authorization — no par value) | $ | 76,256 | $ | 482,590 | $ | 7,938,285 | $ | 2,031,799 | ||||||||
Undistributed (distributions in excess of) net investment income | 883 | 7,152 | (12,002 | ) | 4,431 | |||||||||||
Accumulated net realized gain (loss) on investments, option contracts, swaptions, futures, securities sold short, swap contracts and foreign currency | (17,723 | ) | (34,653 | ) | 60,669 | (28,327 | ) | |||||||||
Net unrealized appreciation (depreciation) on investments and option contracts | 2,818 | (11,681 | ) | 314,852 | 80,052 | |||||||||||
Net unrealized appreciation (depreciation) on futures contracts | 32 | (5 | ) | (1,686 | ) | — | ||||||||||
Net unrealized appreciation (depreciation) on swap contracts | — | — | (700 | ) | (1,844 | ) | ||||||||||
Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies | (6 | ) | — | 406 | — | |||||||||||
Net Assets | $ | 62,260 | $ | 443,403 | $ | 8,299,824 | $ | 2,086,111 | ||||||||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $8.13 | $8.19 | $10.86 | $9.72 | ||||||||||||
| ($62,259,942 ÷ 7,658,068 shares | ) | | ($443,402,540 ÷ 54,153,584 shares | ) | | ($8,299,823,956 ÷ 764,249,959 shares | ) | | ($2,086,111,414 ÷ 214,689,420 shares | ) |
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 / Semi-Annual Report / November 30, 2012 |
Long Duration Fund | Long Duration Corporate Bond Fund | Ultra Short Duration Bond Fund | Emerging Markets Debt Fund | Real Return Fund | Dynamic Asset Allocation Fund | Multi-Asset Real Return Fund | ||||||||||||||||||||
$ | 3,736,070 | $ | 1,876,452 | $ | 408,901 | $ | 1,253,371 | $ | 246,181 | $ | 736,527 | $ | 209,621 | |||||||||||||
95,647 | 29,338 | 3,103 | — | — | 3,786 | — | ||||||||||||||||||||
— | — | 12,000 | — | — | — | — | ||||||||||||||||||||
11 | — | 127 | — | 14,945 | — | 2,641 | ||||||||||||||||||||
— | — | — | 1,871 | — | — | 116 | ||||||||||||||||||||
— | — | 26 | 433 | — | 20 | — | ||||||||||||||||||||
42,792 | 41,491 | 37,678 | 20,954 | 1,438 | 54,396 | 8,979 | ||||||||||||||||||||
115,291 | 20,318 | 657 | 7,879 | — | — | 178 | ||||||||||||||||||||
35,329 | 20,868 | 1,017 | 19,768 | 896 | 1,498 | 940 | ||||||||||||||||||||
143 | 48 | — | 8 | — | — | — | ||||||||||||||||||||
— | — | 2 | — | — | 2 | 2 | ||||||||||||||||||||
— | — | — | 89 | — | — | 30 | ||||||||||||||||||||
— | — | — | 4,185 | — | 1,693 | 266 | ||||||||||||||||||||
81 | — | — | 80,453 | — | — | 30 | ||||||||||||||||||||
— | — | — | — | — | 2,850 | 92 | ||||||||||||||||||||
31 | — | 2 | 9 | 2 | 6 | 2 | ||||||||||||||||||||
4,025,395 | 1,988,515 | 463,513 | 1,389,020 | 263,462 | 800,778 | 222,897 | ||||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
110,136 | 43,001 | 65,744 | 13,746 | — | 52,725 | 700 | ||||||||||||||||||||
77,303 | — | 39 | 23,363 | 12,821 | 699 | 353 | ||||||||||||||||||||
— | — | — | 218 | — | — | — | ||||||||||||||||||||
128 | 1 | 7 | — | — | — | — | ||||||||||||||||||||
437 | — | — | 137 | — | — | 1,498 | ||||||||||||||||||||
— | — | — | — | — | 1,005 | 18 | ||||||||||||||||||||
— | — | — | 2,505 | — | — | — | ||||||||||||||||||||
273 | 94 | 9 | 1 | — | — | 8 | ||||||||||||||||||||
— | — | — | 154 | — | — | 24 | ||||||||||||||||||||
— | — | — | 4,217 | — | — | 321 | ||||||||||||||||||||
— | — | — | — | — | — | 26,615 | ||||||||||||||||||||
449 | 220 | 25 | 472 | 20 | 34 | 42 | ||||||||||||||||||||
17 | 1 | 1 | 4 | 1 | 2 | 1 | ||||||||||||||||||||
3 | 2 | — | — | — | — | — | ||||||||||||||||||||
129 | 46 | 15 | 13 | 8 | 15 | 20 | ||||||||||||||||||||
188,875 | 43,365 | 65,840 | 44,830 | 12,850 | 54,480 | 29,600 | ||||||||||||||||||||
$ | 3,836,520 | $ | 1,945,150 | $ | 397,673 | $ | 1,344,190 | $ | 250,612 | $ | 746,298 | $ | 193,297 | |||||||||||||
3,341,896 | 1,805,406 | 419,692 | 1,159,487 | 240,666 | 724,801 | 209,344 | ||||||||||||||||||||
95,647 | 29,338 | 3,103 | — | — | 3,786 | — | ||||||||||||||||||||
— | — | — | 1,849 | — | — | 116 | ||||||||||||||||||||
279 | — | — | 75,330 | — | — | 2 | ||||||||||||||||||||
— | — | — | — | — | 2,559 | 129 | ||||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
$ | 3,129,151 | $ | 1,859,970 | $ | 397,044 | $ | 1,180,297 | $ | 239,513 | $ | 693,363 | $ | 197,903 | |||||||||||||
251 | (25 | ) | (307 | ) | 9,096 | 1,091 | 8,097 | (422 | ) | |||||||||||||||||
313,841 | 14,290 | (251 | ) | 56,016 | 4,493 | 32,133 | (2,852 | ) | ||||||||||||||||||
394,174 | 71,046 | 1,209 | 93,884 | 5,515 | 11,012 | 222 | ||||||||||||||||||||
(262 | ) | (131 | ) | (22 | ) | 12 | — | — | (41 | ) | ||||||||||||||||
(635 | ) | — | — | 4,986 | — | — | (1,466 | ) | ||||||||||||||||||
| — |
| — | — | (101 | ) | — | 1,693 | (47 | ) | ||||||||||||||||
$ | 3,836,520 | $ | 1,945,150 | $ | 397,673 | $ | 1,344,190 | $ | 250,612 | $ | 746,298 | $ | 193,297 | |||||||||||||
$9.97 | $10.53 | $10.04 | $12.25 | $10.28 | $11.80 | $9.55 | ||||||||||||||||||||
| ($3,836,519,531 ÷ 384,933,497 shares | ) | | ($1,945,150,091 ÷ 184,740,319 shares | ) | | ($397,673,102 ÷ 39,611,418 shares | ) | | ($1,344,190,277 ÷ 109,710,128 shares | ) | | ($250,611,873 ÷ 24,388,725 shares | ) | | ($746,297,697 ÷ 63,267,117 shares | ) | | ($193,296,634 ÷ 20,250,466 shares | ) |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 203 |
Statements of Operations ($ Thousands) (Unaudited)
For the period ended November 30, 2012
Large Cap Fund | Large Cap Diversified Alpha Fund | Large Cap Disciplined Equity Fund | Large Cap Index Fund | |||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 19,011 | $ | 2,813 | $ | 54,354 | $ | 18,357 | ||||||||
Dividends from Affiliated Registered Investment Company | 25 | 4 | 85 | 15 | ||||||||||||
Interest Income | 1 | 15 | 23 | 6 | ||||||||||||
Security Lending Income — Net | 391 | — | 159 | 158 | ||||||||||||
Less: Foreign Taxes Withheld | (48 | ) | (12 | ) | — | (8 | ) | |||||||||
19,380 | 2,820 | 54,621 | 18,528 | |||||||||||||
Expenses: | ||||||||||||||||
Investment Advisory Fees | 3,832 | 632 | 11,532 | 1,391 | ||||||||||||
Administration Fees | 479 | 79 | 1,441 | 409 | ||||||||||||
Trustee Fees | 9 | 2 | 29 | 7 | ||||||||||||
Chief Compliance Officer Fees | 4 | 1 | 12 | 3 | ||||||||||||
Custodian/Wire Agent Fees | 46 | 8 | 166 | 30 | ||||||||||||
Professional Fees | 31 | 6 | 101 | 26 | ||||||||||||
Printing Fees | 8 | 1 | 27 | 7 | ||||||||||||
Registration Fees | 6 | 1 | 20 | 8 | ||||||||||||
Interest Expense | — | — | 1 | — | ||||||||||||
Overdraft Fees | — | — | — | — | ||||||||||||
Other Expenses | 22 | 6 | �� | 82 | 18 | |||||||||||
Total Expenses | 4,437 | 736 | 13,411 | 1,899 | ||||||||||||
Less: | ||||||||||||||||
Waiver of Investment Advisory Fees | (2,007 | ) | (250 | ) | (7,118 | ) | (1,270 | ) | ||||||||
Waiver of Administration Fees | (479 | ) | (79 | ) | (1,441 | ) | (409 | ) | ||||||||
Fees Paid Indirectly(1) | (22 | ) | (11 | ) | (61 | ) | (4 | ) | ||||||||
Net Expenses | 1,929 | 396 | 4,791 | 216 | ||||||||||||
Net Investment Income | 17,451 | 2,424 | 49,830 | 18,312 | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||||||
Investments | 24,559 | 16,415 | 209,935 | (2,506 | ) | |||||||||||
Affiliated Investments | (555 | ) | — | (28,778 | ) | (960 | ) | |||||||||
Futures Contracts | 2,018 | 423 | 49,248 | 1,430 | ||||||||||||
Foreign Currency Transactions | — | — | (2 | ) | — | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||
Investments | 124,921 | 7,539 | 192,460 | 114,849 | ||||||||||||
Affiliated Investments | 895 | — | 48,178 | 1,096 | ||||||||||||
Futures Contracts | 1,833 | 479 | 21,531 | 2,534 | ||||||||||||
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currencies | — | — | — | — | ||||||||||||
Net Increase in Net Assets Resulting From Operations | $ | 171,122 | $ | 27,280 | $ | 542,402 | $ | 134,755 |
(1) | See Note 5 in the Notes to Financial Statements. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
204 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
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 | |||||||||||||||||
$ | 5,134 | $ | 897 | $ | 15,072 | $ | 11,458 | $ | 3,742 | $ | 58,690 | |||||||||||
12 | 3 | 34 | 8 | 3 | 74 | |||||||||||||||||
4 | — | 29 | 1 | 5 | 21 | |||||||||||||||||
807 | — | 1,431 | — | 237 | 3,876 | |||||||||||||||||
— | — | (11 | ) | (56 | ) | (256 | ) | (4,562 | ) | |||||||||||||
5,957 | 900 | 16,555 | 11,411 | 3,731 | 58,099 | |||||||||||||||||
2,592 | 475 | 7,002 | 2,586 | 908 | 14,951 | |||||||||||||||||
199 | 37 | 539 | 199 | 90 | 1,359 | |||||||||||||||||
4 | — | 10 | 4 | 2 | 25 | |||||||||||||||||
2 | — | 4 | 2 | 1 | 11 | |||||||||||||||||
21 | 2 | 54 | 13 | 144 | 330 | |||||||||||||||||
14 | 2 | 36 | 14 | 6 | 92 | |||||||||||||||||
4 | 1 | 10 | 3 | 2 | 23 | |||||||||||||||||
3 | 2 | 7 | 1 | 1 | 21 | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
— | — | 1 | — | 10 | 33 | |||||||||||||||||
13 | 2 | 32 | 7 | 41 | 92 | |||||||||||||||||
2,852 | 521 | 7,695 | 2,829 | 1,205 | 16,937 | |||||||||||||||||
(717 | ) | (129 | ) | (2,096 | ) | (1,638 | ) | (282 | ) | (5,843 | ) | |||||||||||
(199 | ) | (37 | ) | (539 | ) | (199 | ) | (90 | ) | (1,359 | ) | |||||||||||
(21 | ) | — | (92 | ) | — | — | (24 | ) | ||||||||||||||
1,915 | 355 | 4,968 | 992 | 833 | 9,711 | |||||||||||||||||
4,042 | 545 | 11,587 | 10,419 | 2,898 | 48,388 | |||||||||||||||||
16,975 | (2,124 | ) | 27,965 | 11,373 | (3,228 | ) | (33,092 | ) | ||||||||||||||
(5,744 | ) | — | (7,495 | ) | — | (714 | ) | (2,583 | ) | |||||||||||||
308 | 1,143 | 3,149 | 935 | 195 | 17,674 | |||||||||||||||||
1 | — | 9 | (13 | ) | (63 | ) | (26 | ) | ||||||||||||||
30,449 | 8,916 | 106,902 | 38,890 | 53,845 | 726,690 | |||||||||||||||||
6,111 | — | 8,479 | — | 776 | 3,594 | |||||||||||||||||
1,685 | 92 | 1,383 | 1,267 | 1,099 | 16,183 | |||||||||||||||||
| — | | — | — | 2 | 100 | (4,291 | ) | ||||||||||||||
$ | 53,827 | $ | 8,572 | $ | 151,979 | $ | 62,873 | $ | 54,908 | $ | 772,537 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 205 |
Statements of Operations ($ Thousands) (Unaudited)
For the period ended November 30, 2012
Screened World Equity Ex-US Fund | Enhanced LIBOR Opportunities Fund | Core Fixed Income Fund | High Yield Bond Fund | |||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 560 | $ | — | $ | 195 | $ | 110 | ||||||||
Dividends from Affiliated Registered Investment Company | — | — | — | — | ||||||||||||
Interest Income | 1 | 689 | 103,056 | 72,269 | ||||||||||||
Security Lending Income — Net | — | 1,954 | 64 | 4,944 | ||||||||||||
Less: Foreign Taxes Withheld | (36 | ) | — | (7 | ) | (15 | ) | |||||||||
525 | 2,643 | 103,308 | 77,308 | |||||||||||||
Expenses: | ||||||||||||||||
Investment Advisory Fees | 180 | 639 | 11,628 | 4,786 | ||||||||||||
Administration Fees | 14 | 71 | 1,938 | 491 | ||||||||||||
Trustee Fees | — | 1 | 36 | 9 | ||||||||||||
Chief Compliance Officer Fees | — | 1 | 16 | 4 | ||||||||||||
Custodian/Wire Agent Fees | 30 | 5 | 170 | 51 | ||||||||||||
Professional Fees | 5 | 4 | 136 | 33 | ||||||||||||
Printing Fees | — | 1 | 35 | 9 | ||||||||||||
Registration Fees | — | 2 | 27 | 5 | ||||||||||||
Interest Expense | — | — | — | 1 | ||||||||||||
Overdraft Fees | — | — | — | — | ||||||||||||
Other Expenses | 24 | 16 | 95 | 86 | ||||||||||||
Total Expenses | 253 | 740 | 14,081 | 5,475 | ||||||||||||
Less: | ||||||||||||||||
Waiver of Investment Advisory Fees | (89 | ) | (345 | ) | (7,267 | ) | (1,958 | ) | ||||||||
Waiver of Administration Fees | (14 | ) | (71 | ) | (1,938 | ) | (491 | ) | ||||||||
Fees Paid Indirectly(1) | — | — | — | — | ||||||||||||
Net Expenses | 150 | 324 | 4,876 | 3,026 | ||||||||||||
Net Investment Income | 375 | 2,319 | 98,432 | 74,282 | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||||||
Investments | (367 | ) | (513 | ) | 115,218 | 21,606 | ||||||||||
Affiliated Investments | — | — | (8,358 | ) | — | |||||||||||
Futures Contracts | 145 | (20 | ) | (4,157 | ) | — | ||||||||||
Purchased and Written Options | — | — | 746 | — | ||||||||||||
Swap Contracts | — | — | (5,604 | ) | (497 | ) | ||||||||||
Foreign Currency Transactions | 42 | — | 562 | — | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||
Investments | 7,791 | 2,680 | 50,802 | 62,756 | ||||||||||||
Affiliated Investments | — | 4,790 | 9,048 | — | ||||||||||||
Futures Contracts | 115 | 2 | 3,036 | — | ||||||||||||
Purchased and Written Options | — | — | 859 | — | ||||||||||||
Swap Contracts | — | — | 4,153 | (1,437 | ) | |||||||||||
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currencies | (64 | ) | — | (1,080 | ) | — | ||||||||||
Net Increase in Net Assets Resulting From Operations | $ | 8,037 | $ | 9,258 | $ | 263,657 | $ | 156,710 |
(1) | See Note 5 in the Notes to Financial Statements. |
(2) | Commenced operations on June 29, 2012. |
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 / Semi-Annual Report / November 30, 2012 |
Long Duration Fund | Long Duration Corporate Bond Fund(2) | Ultra Short Duration Bond Fund | Emerging Markets Debt Fund | Real Return Fund | Dynamic Asset Allocation Fund | Multi-Asset Real Return Fund | ||||||||||||||||||||
$ | — | $ | — | $ | — | $ | — | $ | — | $ | 9,005 | $ | 721 | |||||||||||||
24 | 9 | 3 | — | — | 2 | — | ||||||||||||||||||||
80,944 | 30,380 | 1,726 | 32,237 | 1,842 | — | 654 | ||||||||||||||||||||
— | — | — | 1 | — | — | — | ||||||||||||||||||||
— | — | — | (299 | ) | — | — | (55 | ) | ||||||||||||||||||
80,968 | 30,389 | 1,729 | 31,939 | 1,842 | 9,007 | 1,320 | ||||||||||||||||||||
|
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| |||||||||||||
6,112 | 2,151 | 199 | 5,265 | 297 | 1,849 | 461 | ||||||||||||||||||||
1,019 | 358 | 66 | 310 | 68 | 154 | 42 | ||||||||||||||||||||
24 | 2 | 1 | 6 | 1 | 3 | 1 | ||||||||||||||||||||
11 | 1 | 1 | 2 | 1 | 1 | — | ||||||||||||||||||||
108 | 4 | 10 | 46 | 2 | 13 | 14 | ||||||||||||||||||||
92 | 8 | 5 | 21 | 5 | 10 | 3 | ||||||||||||||||||||
22 | 3 | 1 | 5 | 1 | 3 | 1 | ||||||||||||||||||||
6 | 28 | 1 | 4 | 1 | 2 | — | ||||||||||||||||||||
— | — | — | — | — | — | 33 | ||||||||||||||||||||
— | — | — | 5 | — | — | — | ||||||||||||||||||||
110 | 3 | 5 | 62 | 5 | 7 | 1 | ||||||||||||||||||||
7,504 | 2,558 | 289 | 5,726 | 381 | 2,042 | 556 | ||||||||||||||||||||
(3,048 | ) | (1,147 | ) | (54 | ) | (2,512 | ) | (153 | ) | (1,470 | ) | (215 | ) | |||||||||||||
(1,019 | ) | (358 | ) | (66 | ) | (310 | ) | (68 | ) | (154 | ) | (42 | ) | |||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
3,437 | 1,053 | 169 | 2,904 | 160 | 418 | 299 | ||||||||||||||||||||
77,531 | 29,336 | 1,560 | 29,035 | 1,682 | 8,589 | 1,021 | ||||||||||||||||||||
260,989 | 15,629 | 480 | 45,421 | 2,326 | (1,366 | ) | 185 | |||||||||||||||||||
— | — | — | (218 | ) | — | — | — | |||||||||||||||||||
413 | (1,339 | ) | (48 | ) | (144 | ) | — | — | (120 | ) | ||||||||||||||||
— | — | — | — | — | — | (144 | ) | |||||||||||||||||||
(62 | ) | — | — | 192 | — | — | (530 | ) | ||||||||||||||||||
— | — | — | 3,924 | — | 3,092 | 29 | ||||||||||||||||||||
(151,323 | ) | 71,046 | 1,888 | 52,716 | (713 | ) | 43,430 | 8,389 | ||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
(1,578 | ) | (131 | ) | (9 | ) | 316 | — | — | 48 | |||||||||||||||||
— | — | — | — | — | (714 | ) | (26 | ) | ||||||||||||||||||
(755 | ) | — | — | 4,986 | — | — | (1,716 | ) | ||||||||||||||||||
| — | | — | — | (3,895 | ) | — | (22,036 | ) | (1,287 | ) | |||||||||||||||
$ | 185,215 | $ | 114,541 | $ | 3,871 | $ | 132,333 | $ | 3,295 | $ | 30,995 | $ | 5,849 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 207 |
Statements of Changes in Net Assets ($ Thousands)
For the period ended November 30, 2012 (unaudited) and the year ended May 31, 2012
Large Cap Fund | Large Cap Diversified Alpha Fund | |||||||||||||||
06/01/12 to | 06/01/11 to | 06/01/12 to | 06/01/11 to | |||||||||||||
Operations: | ||||||||||||||||
Net Investment Income | $ | 17,451 | $ | 23,651 | $ | 2,424 | $ | 4,554 | ||||||||
Net Realized Gain (Loss) from Investments, Affiliated Investments and Futures Contracts | 26,022 | 70,057 | | 16,838 | | 21,195 | ||||||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | — | (41 | ) | — | — | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments and Futures Contracts | 127,649 | (103,035 | ) | 8,018 | (27,770 | ) | ||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 171,122 | (9,368 | ) | 27,280 | (2,021 | ) | ||||||||||
Dividends and Distributions From: | ||||||||||||||||
Net Investment Income: | ||||||||||||||||
Class A | (15,206 | ) | (22,774 | ) | | (2,205 | ) | (3,329 | ) | |||||||
Net Realized Gains: | ||||||||||||||||
Class A | — | (66,801 | ) | — | — | |||||||||||
Total Dividends and Distributions | (15,206 | ) | (89,575 | ) | (2,205 | ) | (3,329 | ) | ||||||||
Capital Share Transactions:(1) | ||||||||||||||||
Class A: | ||||||||||||||||
Proceeds from Shares Issued | 208,472 | 728,348 | 24,770 | 50,166 | ||||||||||||
Reinvestment of Dividends & Distributions | 14,987 | 87,922 | 1,903 | 2,988 | ||||||||||||
Cost of Shares Redeemed | (345,783 | ) | (559,756 | ) | (86,679 | ) | (91,077 | ) | ||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | (122,324 | ) | 256,514 | (60,006 | ) | (37,923 | ) | |||||||||
Net Increase (Decrease) in Net Assets | 33,592 | 157,571 | (34,931 | ) | (43,273 | ) | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 1,774,178 | 1,616,607 | 320,907 | 364,180 | ||||||||||||
End of Period | $ | 1,807,770 | $ | 1,774,178 | $ | 285,976 | $ | 320,907 | ||||||||
Undistributed Net Investment Income Included in Net Assets at Period End | $ | 7,367 | $ | 5,122 | $ | 1,435 | $ | 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.
208 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Large Cap Disciplined Equity Fund | Large Cap Index Fund | Small Cap Fund | Small Cap II Fund(3) | |||||||||||||||||||||||||||
06/01/12 to 11/30/12 | 06/01/11 to 05/31/12 | 06/01/12 to 11/30/12 | 06/01/11 to 05/31/12 | 06/01/12 to 11/30/12 | 06/01/11 to 05/31/12 | 06/01/12 to 11/30/12 | 04/10/12 to 05/31/12 | |||||||||||||||||||||||
$ | 49,830 | $ | 102,848 | $ | 18,312 | $ | 18,484 | $ | 4,042 | $ | 6,101 | $ | 545 | $ | 79 | |||||||||||||||
230,405 | 807,200 | (2,036 | ) | 53,371 | 11,539 | 59,833 | (981 | ) | (118 | ) | ||||||||||||||||||||
(2 | ) | — | — | — | 1 | (4 | ) | — | — | |||||||||||||||||||||
262,169 |
| (982,230 | ) | 118,479 | (81,490 | ) | 38,245 | (128,827 | ) | 9,008 | (2,030 | ) | ||||||||||||||||||
542,402 | (72,182 | ) | 134,755 | (9,635 | ) | 53,827 | (62,897 | ) | 8,572 | (2,069 | ) | |||||||||||||||||||
(47,055 | ) | (106,581 | ) | (15,321 | ) | (16,211 | ) | (3,421 | ) | (4,874 | ) | (374 | ) | — | ||||||||||||||||
— | — | — | — | — | — | — | — | |||||||||||||||||||||||
(47,055 | ) | (106,581 | ) | (15,321 | ) | (16,211 | ) | (3,421 | ) | (4,874 | ) | (374 | ) | — | ||||||||||||||||
617,540 | 1,161,661 | 572,722 | 721,565 | (2) | 70,195 | 332,632 | 160,614 | 64,135 | ||||||||||||||||||||||
46,358 | 105,099 | 15,102 | 15,668 | 2,959 | 4,151 | 374 | — | |||||||||||||||||||||||
(816,319 | ) | (3,425,587 | ) | (102,552 | ) | (225,853 | ) | (101,986 | ) | (238,605 | ) | (13,348 | ) | — | ||||||||||||||||
(152,421 | ) | (2,158,827 | ) | 485,272 | 511,380 | (28,832 | ) | 98,178 | 147,640 | 64,135 | ||||||||||||||||||||
342,926 | (2,337,590 | ) | 604,706 | 485,534 | 21,574 | 30,407 | 155,838 | 62,066 | ||||||||||||||||||||||
5,436,390 | 7,773,980 | 1,255,669 | 770,135 | 753,232 | 722,825 | 62,066 | — | |||||||||||||||||||||||
$ | 5,779,316 | $ | 5,436,390 | $ | 1,860,375 | $ | 1,255,669 | $ | 774,806 | $ | 753,232 | $ | 217,904 | $ | 62,066 | |||||||||||||||
$ | 20,944 | $ | 18,169 | $ | 7,571 | $ | 4,580 | $ | 2,830 | $ | 2,209 | $ | 252 | $ | 81 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 209 |
Statements of Changes in Net Assets ($ Thousands)
For the period ended November 30, 2012 (unaudited) and the year ended May 31, 2012
Small/Mid Cap Equity Fund | U.S. Managed Volatility Fund | |||||||||||||||
06/1/12 to | 06/1/11 to | 06/1/12 to | 06/1/11 to | |||||||||||||
Operations: | ||||||||||||||||
Net Investment Income | $ | 11,587 | $ | 15,889 | $ | 10,419 | $ | 8,044 | ||||||||
Net Realized Gain (Loss) from Investments, Affiliated Investments, Futures Contracts and Swap Contracts | 23,619 | 179,350 | 12,308 | 8,768 | ||||||||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | 9 | (54 | ) | (13 | ) | 20 | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Futures Contracts and Swap Contracts | 116,764 | (384,540 | ) | 40,157 | 4,900 | |||||||||||
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 | — | — | 2 | (2 | ) | |||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 151,979 | (189,355 | ) | 62,873 | 21,730 | |||||||||||
Dividends and Distributions From: | ||||||||||||||||
Net Investment Income: | ||||||||||||||||
Class A | (8,638 | ) | (15,466 | ) | (9,538 | ) | (5,773 | ) | ||||||||
Net Realized Gains: | ||||||||||||||||
Class A | — | — | — | (25,157 | ) | |||||||||||
Total Dividends and Distributions | (8,638 | ) | (15,466 | ) | (9,538 | ) | (30,930 | ) | ||||||||
Capital Share Transactions:(1) | ||||||||||||||||
Class A: | ||||||||||||||||
Proceeds from Shares Issued | 296,752 | 425,868 | 197,692 | 671,544 | ||||||||||||
Reinvestment of Dividends & Distributions | 8,571 | 15,310 | 9,175 | 30,591 | ||||||||||||
Cost of Shares Redeemed | (197,454 | ) | (570,081 | )(2) | (77,216 | ) | (104,664 | ) | ||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | 107,869 | (128,903 | ) | 129,651 | 597,471 | |||||||||||
Net Increase (Decrease) in Net Assets | 251,210 | (333,724 | ) | 182,986 | 588,271 | |||||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 1,981,358 | 2,315,082 | 722,082 | 133,811 | ||||||||||||
End of Period | $ | 2,232,568 | $ | 1,981,358 | $ | 905,068 | $ | 722,082 | ||||||||
Undistributed Net Investment Income Included in Net Assets at Period End | $ | 11,583 | $ | 8,634 | $ | 3,569 | $ | 2,688 |
(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.
210 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
International Equity Fund | World Equity Ex-US Fund | Screened World Equity Ex-US Fund | Enhanced LIBOR Opportunities Fund | |||||||||||||||||||||||||||
06/1/12 to | 06/1/11 to | 06/1/12 to | 06/1/11 to | 06/1/12 to | 06/1/11 to | 06/1/12 to | 06/1/11 to | |||||||||||||||||||||||
$ | 2,898 | $ | 10,379 | $ | 48,388 | $ | 106,328 | $ | 375 | $ | 811 | $ | 2,319 | $ | 4,754 | |||||||||||||||
(3,747 | ) |
| (17,819 | ) | (18,001 | ) | (109,876 | ) | (222 | ) | (594 | ) | (533 | ) | 697 | |||||||||||||||
(63 | ) | (648 | ) | (26 | ) | (4,166 | ) | 42 | 6 | — | — | |||||||||||||||||||
55,720 |
| (108,105 | ) | 746,467 | (989,578 | ) | 7,906 | (11,635 | ) | 7,472 | (1,147 | ) | ||||||||||||||||||
— |
| — |
| — | 126 | — | — | — | — | |||||||||||||||||||||
100 |
| (5 | ) | (4,291 | ) | 2,877 | (64 | ) | 44 | — | — | |||||||||||||||||||
54,908 | (116,198 | ) | 772,537 | (994,289 | ) | 8,037 | (11,368 | ) | 9,258 | 4,304 | ||||||||||||||||||||
— | (9,424 | ) | — | (92,739 | ) | — | (992 | ) | (2,022 | ) | (5,179 | ) | ||||||||||||||||||
— | — | — | — | — | — | — | — | |||||||||||||||||||||||
— | (9,424 | ) | — | (92,739 | ) | — | (992 | ) | (2,022 | ) | (5,179 | ) | ||||||||||||||||||
41,452 | 106,213 | 1,106,886 | 1,951,943 | 7,565 | 16,382 | 226,152 | 15,632 | |||||||||||||||||||||||
— | 8,534 | — | 90,489 | — | 806 | 1,947 | 5,015 | |||||||||||||||||||||||
(45,790 | ) | (210,941 | ) | (494,199 | ) | (1,460,559 | ) | (2,098 | ) | (10,916 | ) | (10,891 | ) | (96,090 | ) | |||||||||||||||
(4,338 | ) |
| (96,194 | ) | 612,687 | 581,873 | 5,467 | 6,272 | 217,208 | (75,443 | ) | |||||||||||||||||||
50,570 | (221,816 | ) | 1,385,224 | (505,155 | ) | 13,504 | (6,088 | ) | 224,444 | (76,318 | ) | |||||||||||||||||||
324,696 | 546,512 | 4,623,934 | 5,129,089 | 48,756 | 54,844 | 218,959 | 295,277 | |||||||||||||||||||||||
$ | 375,266 | $ | 324,696 | $ | 6,009,158 | $ | 4,623,934 | $ | 62,260 | $ | 48,756 | $ | 443,403 | $ | 218,959 | |||||||||||||||
$ | 9,102 | $ | 6,204 |
| $ | 105,088 | $ | 56,700 | $ | 883 | $ | 508 | $ | 7,152 | $ | 6,855 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 211 |
Statements of Changes in Net Assets ($ Thousands)
For the period ended November 30, 2012 (unaudited) and the year ended May 31, 2012
Core Fixed | High Yield Bond Fund | Long Duration Fund | Long Duration Corporate Bond Fund(3) | |||||||||||||||||||||||||
06/1/12 to | 06/1/11 to | 06/1/12 to | 06/1/11 to | 06/1/12 to | 06/1/11 to | 06/29/12 to | ||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||
Net Investment Income (Loss) | $ | 98,432 | $ | 211,110 | $ | 74,282 | $ | 156,694 | $ | 77,531 | $ | 174,841 | $ | 29,336 | ||||||||||||||
Net Realized Gain (Loss) from Investments, Affiliated Investments, Written Options, Futures Contracts and Swap Contracts | 97,845 | 163,254 | 21,109 | 35,646 | 261,340 | 294,664 | 14,290 | |||||||||||||||||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | 562 | 3,946 | — | — | — | — | — | |||||||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Written Options, Futures Contracts and Swap Contracts | 67,898 | 131,762 | 61,319 | (87,084 | ) | (153,656 | ) | 319,516 | 70,915 | |||||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions and Translation of Other Assets and Liabilities Denominated in Foreign Currencies | (1,080 | ) | 1,067 | — | — | — | — | — | ||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 263,657 | 511,139 | 156,710 | 105,256 | 185,215 | 789,021 | 114,541 | |||||||||||||||||||||
Dividends and Distributions From: | ||||||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||||||
Class A | (105,317 | ) | (225,294 | ) | (71,904 | ) | (153,356 | ) | (77,292 | ) | (174,335 | ) | (29,361 | ) | ||||||||||||||
Net Realized Gains: | ||||||||||||||||||||||||||||
Class A | — | (122,557 | ) | — | (3,009 | ) | — | (218,280 | ) | — | ||||||||||||||||||
Total Dividends and Distributions | (105,317 | ) | (347,851 | ) | (71,904 | ) | (156,365 | ) | (77,292 | ) | (392,615 | ) | (29,361 | ) | ||||||||||||||
Capital Share Transactions:(1) | ||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||
Proceeds from Shares Issued | 1,947,618 | (2) | 1,895,597 | 335,945 | 692,062 | 402,807 | (2) | 2,181,318 | (2) | 1,871,664 | (2) | |||||||||||||||||
Reinvestment of Dividends & Distributions | 102,129 | 334,995 | 69,264 | 152,411 | 74,250 | 388,384 | 29,334 | |||||||||||||||||||||
Cost of Shares Redeemed | (989,580 | ) | (2,073,962 | ) | (318,684 | ) | (817,607 | ) | (2,245,835 | ) | (991,887 | ) | (41,028 | ) | ||||||||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | 1,060,167 | 156,630 | 86,525 | 26,866 | (1,768,778 | ) | 1,577,815 | 1,859,970 | ||||||||||||||||||||
Net Increase (Decrease) in Net Assets | 1,218,507 | 319,918 | 171,331 | (24,243 | ) | (1,660,855 | ) | 1,974,221 | 1,945,150 | |||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||
Beginning of Period | 7,081,317 | 6,761,399 | 1,914,780 | 1,939,023 | 5,497,375 | 3,523,154 | — | |||||||||||||||||||||
End of Period | $ | 8,299,824 | $ | 7,081,317 | $ | 2,086,111 | $ | 1,914,780 | $ | 3,836,520 | $ | 5,497,375 | $ | 1,945,150 | ||||||||||||||
Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Period End | $ | (12,002 | ) | $ | (5,117 | ) | $ | 4,431 | $ | 2,053 | $ | 251 | $ | 12 | $ | (25 | ) |
(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 June 29, 2012. |
(4) | 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.
212 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Ultra Short Duration Bond Fund | Emerging Markets Debt Fund | Real Return Fund | Dynamic Asset Allocation Fund | Multi-Asset Real Return Fund(4) | ||||||||||||||||||||||||||||||||||
06/1/12 to | 06/1/11 to | 06/1/12 to | 06/1/11 to | 06/1/12 to | 06/1/11 to | 06/1/12 to | 06/1/11 to | 06/1/12 to | 07/29/11 to 05/31/12 | |||||||||||||||||||||||||||||
$ | 1,560 | $ | 4,873 | $ | 29,035 | $ | 68,258 | $ | 1,682 | $ | 8,154 | $ | 8,589 | $ | (497 | ) | $ | 1,021 | $ | 1,267 | ||||||||||||||||||
432 | | 54 | | 45,251 | 24,704 | 2,326 | 7,917 | (1,366 | ) | 42,339 | (609 | ) | (3,848 | ) | ||||||||||||||||||||||||
— | | — | | 3,924 | (142 | ) | — | — | 3,092 | — | 29 | 196 | ||||||||||||||||||||||||||
1,879 |
| (731 | ) | 58,018 | (50,426 | ) | (713 | ) | (9,367 | ) | 42,716 | (43,624 | ) | 6,695 | (7,980 | ) | ||||||||||||||||||||||
— |
| — |
| (3,895 | ) | 3,983 | — | — | (22,036 | ) | 23,729 | (1,287 | ) | 1,240 | ||||||||||||||||||||||||
3,871 | | 4,196 | | 132,333 | 46,377 | 3,295 | 6,704 | 30,995 | 21,947 | 5,849 | (9,125 | ) | ||||||||||||||||||||||||||
(1,834 | ) | (5,251 | ) | (27,198 | ) | (70,422 | ) | (3,746 | ) | (10,472 | ) | — | — | (1,164 | ) | (166 | ) | |||||||||||||||||||||
— | — | — | (10,680 | ) | — | (6,909 | ) | — | (22,339 | ) | — | — | ||||||||||||||||||||||||||
(1,834 | ) | (5,251 | ) | (27,198 | ) | (81,102 | ) | (3,746 | ) | (17,381 | ) | — | (22,339 | ) | (1,164 | ) | (166 | ) | ||||||||||||||||||||
287,712 | (2) | 315,607 | 227,154 | 330,816 | 12,524 | 60,444 | 198,614 | 201,504 | 63,534 | 173,818 | ||||||||||||||||||||||||||||
1,741 | | 5,230 | | 26,396 | 78,720 | 3,283 | 15,092 | — | 19,948 | 1,056 | 161 | |||||||||||||||||||||||||||
(192,040 | ) | (334,917 | ) | (129,413 | ) | (288,584 | ) | (46,605 | ) | (152,230 | ) | (35,960 | ) | (75,756 | ) | (16,041 | ) | (24,625 | ) | |||||||||||||||||||
97,413 |
| (14,080 | ) | 124,137 | 120,952 | (30,798 | ) | (76,694 | ) | 162,654 | 145,696 | 48,549 | 149,354 | |||||||||||||||||||||||||
99,450 | (15,135 | ) | 229,272 | 86,227 | (31,249 | ) | (87,371 | ) | 193,649 | 145,304 | 53,234 | 140,063 | ||||||||||||||||||||||||||
298,223 | 313,358 | 1,114,918 | 1,028,691 | 281,861 | 369,232 | 552,649 | 407,345 | 140,063 | — | |||||||||||||||||||||||||||||
$ | 397,673 | $ | 298,223 | $ | 1,344,190 | $ | 1,114,918 | $ | 250,612 | $ | 281,861 | $ | 746,298 | $ | 552,649 | $ | 193,297 | $ | 140,063 | |||||||||||||||||||
$ | (307 | ) | $ | (33 | ) | $ | 9,096 | $ | 7,259 | $ | 1,091 | $ | 3,155 | $ | 8,097 | $ | (492 | ) | $ | (422 | ) | $ | (279 | ) |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 213 |
Statement of Cash Flows ($ Thousands) (unaudited)
For the period ended November 30, 2012
Multi-Asset Real Return Fund | ||||
Cash Flows from Operating Activities: | ||||
Net Increase in Net Asset Resulting from Operations | $ | 5,849 | ||
Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to Net Cash from Operating Activities: | ||||
Purchases of Investment in Securities | (70,871 | ) | ||
Proceeds from Sale of Investment Securities | 27,460 | |||
Net Realized Gain from Investments | (185 | ) | ||
Net Change in Unrealized Appreciation on Investments | (8,389 | ) | ||
Amortization/Accretion of Premiums/Discounts | 543 | |||
Purchases of Written & Purchased Options | (129 | ) | ||
Proceeds from Sale of Written & Purchased Options | 51 | |||
Net Realized Loss on Written & Purchased Options | 144 | |||
Net Change in Unrealized Depreciation on Written & Purchased Options | 26 | |||
Swap Contracts, at Value | 1,703 | |||
Increase in Foreign Currency | (16 | ) | ||
Decrease in Cash Pledged as Collateral | 12 | |||
Increase in Receivable for Investment Securities Sold | (121 | ) | ||
Increase in Accrued Income | (142 | ) | ||
Unrealized Gain on Forward Foreign Currency Contracts | 1,299 | |||
Unrealized Gain on Spot Contracts | (6 | ) | ||
Increase in Prepaid Expenses | (2 | ) | ||
Increase in Payable for Investment Securities Purchased | 164 | |||
Increase in Reverse Repurchase Agreements | 3,138 | |||
Decrease in Variation Margin Payable | (9 | ) | ||
Increase in Payable from Investment Advisor | 8 | |||
Increase in CCO fees Payable | 1 | |||
Decrease in Accrued Expenses | (4 | ) | ||
Net Cash Used in Operating Activities | (39,476 | ) | ||
Cash Flows from Financing Activities: | ||||
Proceeds from Capital Shares Sold | 55,011 | |||
Payments on Capital Shares Redeemed | (15,739 | ) | ||
Distributions from Net Investment Income | (108 | ) | ||
Net Cash Provided by Financing Activities | 39,164 | |||
Net Change in Cash | (312 | ) | ||
Cash at Beginning of Period | 2,953 | |||
Cash at End of Period | $ | 2,641 | ||
Supplemental Information Cash Flows from Net Operating Activities | ||||
Interest Paid | $ | 34 |
The accompanying notes are an integral part of the financial statements.
214 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
For the period ended November 30, 2012 (unaudited) and the years or periods ended May 31,
For a share outstanding throughout each period
Net Asset Value, Beginning of Period | Net Investment Income(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@ | $ | 17.07 | $ | 0.16 | $ | 1.46 | $ | 1.62 | $ | (0.14 | ) | $ | — | $ | (0.14 | ) | $ | 18.55 | 9.52 | % | $ | 1,807,770 | 0.20 | % | 0.20 | % | 0.46 | % | 1.82 | % | 22 | % | ||||||||||||||||||||||||||||
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@ | $ | 9.41 | $ | 0.08 | $ | 0.76 | $ | 0.84 | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | $ | 10.18 | 8.93 | % | $ | 285,976 | 0.25 | % | 0.26 | % | 0.46 | % | 1.53 | % | 36 | % | ||||||||||||||||||||||||||||
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@ | $ | 10.58 | $ | 0.10 | $ | 0.96 | $ | 1.06 | $ | (0.09 | ) | $ | — | $ | (0.09 | ) | $ | 11.55 | 10.05 | % | $ | 5,779,316 | 0.17 | %(5) | 0.17 | %(5) | 0.46 | %(5) | 1.72 | % | 59 | % | ||||||||||||||||||||||||||||
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@ | $ | 113.85 | $ | 1.35 | $ | 9.22 | $ | 10.57 | $ | (1.17 | ) | $ | — | $ | (1.17 | ) | $ | 123.25 | 9.30 | % | $ | 1,860,375 | 0.03 | % | 0.03 | % | 0.23 | % | 2.23 | % | 2 | % | ||||||||||||||||||||||||||||
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@ | $ | 12.04 | $ | 0.06 | $ | 0.78 | $ | 0.84 | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | $ | 12.83 | 7.01 | % | $ | 774,806 | 0.48 | % | 0.48 | % | 0.71 | % | 1.01 | % | 48 | % | ||||||||||||||||||||||||||||
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@ | $ | 9.62 | $ | 0.04 | $ | 0.64 | $ | 0.68 | $ | (0.03 | ) | $ | — | $ | (0.03 | ) | $ | 10.27 | 7.09 | % | $ | 217,904 | 0.49 | % | 0.49 | % | 0.71 | % | 0.74 | % | 56 | % | ||||||||||||||||||||||||||||
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 |
@ | For the six-month period ended November 30, 2012. All ratios for the period have been annualized. |
* | The expense ratio includes dividend and interest expenses on short sales. Had these expenses been excluded, the ratios would have been 0.31% 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. |
(5) | The expense ratio includes interest expense. Had this expense been excluded, the ratios would have been 0.17%, 0.17% and 0.46%, respectively. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 215 |
Financial Highlights
For the period ended November 30, 2012 (unaudited) and the years or periods ended May 31,
For a share outstanding throughout each period
Net Asset Value, Beginning of Period | Net Investment Income(1) | Net | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($ Thousands) | Ratio of Net Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Including Waivers) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
Small/Mid Cap Equity Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012@ | $ | 12.34 | $ | 0.07 | $ | 0.86 | $ | 0.93 | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | $ | 13.22 | 7.55 | % | $ | 2,232,568 | 0.46 | % | 0.46 | % | 0.71 | % | 1.07 | % | 43 | % | ||||||||||||||||||||||||||||
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@ | $ | 11.39 | $ | 0.16 | $ | 0.78 | $ | 0.94 | $ | (0.14 | ) | $ | — | $ | (0.14 | ) | $ | 12.19 | 8.30 | % | $ | 905,068 | 0.25 | % | 0.25 | % | 0.71 | % | 2.61 | % | 16 | % | ||||||||||||||||||||||||||||
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@ | $ | 6.20 | $ | 0.06 | $ | 0.97 | $ | 1.03 | $ | — | $ | — | $ | — | $ | 7.23 | 16.61 | % | $ | 375,266 | 0.46 | % | 0.46 | % | 0.67 | % | 1.61 | % | 25 | % | ||||||||||||||||||||||||||||||
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@ | $ | 9.24 | $ | 0.09 | $ | 1.36 | $ | 1.45 | $ | — | $ | — | $ | — | $ | 10.69 | 15.69 | % | $ | 6,009,158 | 0.36 | % | 0.36 | % | 0.62 | % | 1.78 | % | 19 | % | ||||||||||||||||||||||||||||||
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@ | $ | 7.02 | $ | 0.05 | $ | 1.06 | $ | 1.11 | $ | — | $ | — | $ | — | $ | 8.13 | 15.81 | % | $ | 62,260 | 0.54 | % | 0.54 | % | 0.91 | % | 1.35 | % | 24 | % | ||||||||||||||||||||||||||||||
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@ | $ | 7.97 | $ | 0.07 | $ | 0.21 | $ | 0.28 | $ | (0.06 | ) | $ | — | $ | (0.06 | ) | $ | 8.19 | 3.53 | % | $ | 443,403 | 0.23 | % | 0.23 | % | 0.52 | % | 1.64 | % | 20 | % | ||||||||||||||||||||||||||||
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 |
@ | For the six-month period ended November 30, 2012. All ratios for the period have been annualized. |
* | Includes a return of capital of $0.04 per share. |
† | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
(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 $0.
The accompanying notes are an integral part of the financial statements.
216 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Financial Highlights
For the period ended November 30, 2012 (unaudited) and the years or periods ended May 31,
For a share outstanding throughout each period
Net Asset Value, Beginning of Period | Net Investment | Net | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($ Thousands) | Ratio of Net Assets | Ratio of Net Assets | Ratio of Net Assets | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||||||||||||
Core Fixed Income Fund |
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Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012@ | $ | 10.63 | $ | 0.14 | $ | 0.24 | $ | 0.38 | $ | (0.15 | ) | $ | — | $ | (0.15 | ) | $ | 10.86 | 3.56 | % | $ | 8,299,824 | 0.13 | % | 0.13 | % | 0.36 | % | 2.53 | % | 150 | % | ||||||||||||||||||||||||||||
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@ | $ | 9.30 | $ | 0.36 | $ | 0.41 | $ | 0.77 | $ | (0.35 | ) | $ | — | $ | (0.35 | ) | $ | 9.72 | 8.40 | % | $ | 2,086,111 | 0.31 | %(10) | 0.31 | %(10) | 0.56 | %(10) | 7.59 | % | 33 | % | ||||||||||||||||||||||||||||
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@ | $ | 9.65 | $ | 0.19 | $ | 0.32 | $ | 0.51 | $ | (0.19 | ) | $ | — | $ | (0.19 | ) | $ | 9.97 | 5.28 | % | $ | 3,836,520 | 0.17 | % | 0.17 | % | 0.37 | % | 3.80 | % | 48 | % | ||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Long Duration Corporate Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012@(9) | $ | 10.00 | $ | 0.18 | $ | 0.53 | $ | 0.71 | $ | (0.18 | ) | $ | — | $ | (0.18 | ) | $ | 10.53 | 7.08 | % | $ | 1,945,150 | 0.15 | % | 0.15 | % | 0.35 | % | 4.05 | % | 55 | % | ||||||||||||||||||||||||||||
Ultra Short Duration Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2012@ | $ | 9.95 | $ | 0.06 | $ | 0.10 | $ | 0.16 | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | $ | 10.04 | 1.62 | % | $ | 397,673 | 0.13 | % | 0.13 | % | 0.22 | % | 1.17 | % | 101 | % | ||||||||||||||||||||||||||||
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@ | $ | 11.22 | $ | 0.28 | $ | 1.01 | $ | 1.29 | $ | (0.26 | ) | $ | — | $ | (0.26 | ) | $ | 12.25 | 11.61 | % | $ | 1,344,190 | 0.47 | % | 0.47 | % | 0.92 | % | 4.68 | % | 73 | % | ||||||||||||||||||||||||||||
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 |
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Class A |
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2012@ | $ | 10.29 | $ | 0.06 | $ | 0.07 | $ | 0.13 | $ | (0.14 | ) | $ | — | $ | (0.14 | ) | $ | 10.28 | 1.30 | % | $ | 250,612 | 0.12 | % | 0.12 | % | 0.28 | % | 1.24 | % | 53 | % | ||||||||||||||||||||||||||||
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 |
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Class A |
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2012@ | $ | 11.14 | $ | 0.16 | $ | 0.50 | $ | 0.66 | $ | — | $ | — | $ | — | $ | 11.80 | 5.92 | % | $ | 746,298 | 0.14 | % | 0.14 | % | 0.66 | % | 2.79 | % | 7 | % | ||||||||||||||||||||||||||||||
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 |
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Class A |
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2012@ | $ | 9.25 | $ | 0.06 | $ | 0.31 | $ | 0.37 | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | $ | 9.55 | 3.99 | % | $ | 193,297 | 0.36 | %(11) | 0.36 | %(11) | 0.66 | %(11) | 1.22 | % | 38 | % | ||||||||||||||||||||||||||||
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 |
@ | For the six-month period ended November 30, 2012. All ratios for the period have been annualized. |
* | Includes a return of capital of $0.06 per share. |
** | Amount represents less than $0.01. |
† | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
(1) | 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. |
(9) | Commenced operations on June 29, 2012. All ratios for the period have been annualized. |
(10) | The expense ratio includes interest expense. Had this expense been excluded, the ratios would have been 0.31%, 0.31% and 0.56% respectively. |
(11) | The expense ratio includes interest expense on reverse repurchase agreements. Had this expense been excluded, the ratio would have been 0.32%, 0.32% and 0.66%, respectively. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 217 |
Notes to Financial Statements (Unaudited)
November 30, 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, Long Duration Corporate Bond, Ultra Short Duration Bond, Emerging Markets Debt, Real Return, Dynamic Asset Allocation, Multi-Asset Real Return, Strategic U.S. Large Cap Equity, Extended Market Index Equity, Emerging Markets Equity and Global Equity Funds (each a “Fund,” collectively, the “Funds”) each of which are diversified Funds with the exception of the Emerging Markets Debt Fund. The Trust is registered to offer Class A shares of all Funds. The assets of each Fund are segregated, and a shareholder’s interest is limited to the Fund in which shares are held. The Trust’s prospectus provides a description of each Fund’s investment objectives, policies, and strategies.
As of November 30, 2012, the Strategic U.S. Large Cap Equity, Emerging Markets Equity, Global Equity and Extended Market Index 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. SEI Investments Management Corporation (“SIMC”) or a Sub-Adviser, as applicable, reasonably believes that prices provided by independent pricing agents are reliable. However, there can be no assurance that such pricing service’s prices will be reliable. SIMC or a Sub-Adviser, as applicable, continuously monitors the reliability of prices obtained from any pricing service and will notify the Funds’ administrator if it believes that a particular pricing service is no longer a reliable source of prices. The Funds’ administrator, in turn, will notify the Trust’s Fair Value Committee (the “Committee”) if it receives such notification from SIMC or a Sub-Adviser, as applicable, or if the Funds’ administrator reasonably believes that a particular pricing service is no longer a reliable source for prices. 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 determined to be unreliable or cannot be valued using methodologies described above 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 the Committee designated by the Trust’s Board of Trustees. The Committee is currently composed of two members of the Board of Trustees, as well as representatives from SIMC and its affiliates. The Committee provides regular reports to the Board concerning investments for which market prices are not readily available or may be unreliable. 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. Examples of factors the Committee may consider are: (i) the facts giving rise to the need to fair value; (ii) the last trade price; (iii) the performance of the market or the issuer’s industry; (iv) the liquidity of the security; (v) the size of the holding in a Fund; or (vi) any other appropriate information. The determination of a security’s fair value price often involves the consideration of a number of subjective factors and is therefore subject to the unavoidable risk that the value assigned to a security may be higher or lower than the security’s value would be if a reliable market quotation for the security was readily available.
218 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
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 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) |
Investments are classified within the level of the lowest significant input considered in determining fair value. Investments classified within Level 3 whose fair value measurement considers several inputs may include Level 1 or Level 2 inputs as components of the overall fair value measurement.
Debt securities are valued in accordance with the evaluated bid price supplied by the pricing service and generally categorized as Level 2 in the hierarchy. Other securities that are categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, warrants, swaps and forward contracts. The Fund may use a
systematic fair valuation model provided by an independent pricing service to value foreign equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the New York Stock Exchange. These are generally categorized as Level 2 in the hierarchy.
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. For certain collateralized debt obligations, corporate obligations, mortgage backed securities, auction rate preferred securities and loan participations where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.
The valuation techniques used by the Funds to measure fair value during the six-month period ended November 30, 2012 maximized the use of observable inputs and minimized the use of unobservable inputs.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 219 |
Notes to Financial Statements (Unaudited) (Continued)
November 30, 2012
For the six-month period ended November 30, 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 — To the extent consistent with its investment objective and strategies, a Fund may agree to purchase securities from financial institutions subject to the seller’s agreement to repurchase them at a mutually agreed upon date and price. It is the Fund’s policy that repurchase agreements are fully collateralized by U.S. Treasury and Government Agency securities. All collateral is held by the Fund’s custodian bank or a bank with which the custodian bank has entered into a subcustodian agreement, or is segregated in the Federal Reserve Book Entry System. In connection with transactions in repurchase agreements, if the seller defaults and the value of the collateral declines, or if the seller enters an insolvency proceeding, realization of the collateral by the Fund may be delayed or limited.
Reverse Repurchase Agreements — To the extent consistent with its investment objective and strategies, a Fund may issue reverse repurchase agreements. A reverse repurchase agreement involves the sale of portfolio assets together with an agreement to repurchase the same assets later at a fixed price. Additional assets are maintained in an account with the broker. The segregated assets may consist of cash, U.S. Government securities, or other liquid securities at least equal in value to the obligations under the reverse repurchase agreements. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, a Fund’s 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 November 30, 2012 were as follows:
Multi-Asset Real Return Fund | ||||||
Principal Amount ($ Thousands) | Counterparty | Value ($ Thousands) | ||||
$11,814 | Bank of America Securities, 0.30% | $ | 11,814 | |||
10,162 | Bank of America Securities, 0.32% | 10,162 | ||||
3,628 | UBS, AG, 0.31% | 3,629 | ||||
1,010 | Bank of America Securities, 0.26% | 1,010 | ||||
|
| |||||
$ | 26,615 | |||||
|
|
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.
220 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments or Summary Schedule of Investments for details regarding open forward foreign currency contracts as of November 30, 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 Investments or Summary Schedule of Investments for details regarding open futures contracts as of November 30, 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, Dynamic Asset Allocation and Multi-Asset Real Return Funds had options contracts as of November 30, 2012, as disclosed in the Funds’ Schedules of Investments or Summary Schedule of Investments.
The risk in writing a call option/swaption is a Fund may give up the opportunity for profit if the market price of the security increases. The risk in writing a put option/swaption is a Fund may incur a loss if the market price of the security decreases and the option/swaption is exercised. The risk in purchasing an option/swaption is a Fund may pay a premium whether or not the option/swaption is exercised. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option/swaption contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes.
Finally, the risk exists that losses on written options could exceed amounts disclosed on the Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments or Summary Schedule of Investments for details regarding open option/swaption contracts as of November 30, 2012, if applicable.
Securities Sold Short — To the extent consistent with its investment objective and strategies, a Fund may engage in short sales. Short sales are transactions under which a Fund sells a security it does not own. To complete such a transaction, a Fund must borrow the security to make delivery to the buyer. That Fund then is obligated to replace the security borrowed by purchasing the security at the market price at the time of the replacement. The price at such time may be more or less than the price at which the security was sold by a Fund. Until the security is replaced, a Fund is required to pay the lender amounts equal to any dividends or interest that accrue during the period of the loan. Dividends and interest are shown as an expense for financial reporting purposes. To borrow the security, a Fund also may be required to pay a premium, which would decrease proceeds of the security sold. The proceeds of the short sale are retained by the broker, to the extent necessary to meet margin requirements, until the short position is closed out. A gain, limited to the price at which a Fund sold the security short, or a loss, unlimited in size, will be recognized upon the close of a short sale.
Until a Fund closes its short position or replaces the borrowed security, that Fund will: (a) maintain a segregated account containing cash or liquid securities at such a level that (i) the amount deposited in the account plus the amount deposited with the broker as collateral will equal the current value of the security sold short; and (ii) the amount deposited in the segregated account plus the amount deposited with the broker as collateral will not be less than the market value of the security at the time the security was sold short, or (b) otherwise cover a Fund’s short positions. As of November 30, 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
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 221 |
Notes to Financial Statements (Unaudited) (Continued)
November 30, 2012
returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or “basket” of securities representing a particular index. Credit default swaps involve the periodic payment by a Fund or counterparty of interest based on a specified rate multiplied by a notional amount assigned to an underlying debt instrument or group of debt instruments in exchange for the assumption of credit risk on the same instruments. In the event of a credit event, usually in the form of a credit rating downgrade, the party receiving periodic payments (i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the outstanding principal of the downgraded debt instrument. Total return swaps allow an investor to benefit from the cash flow without ever actually owning the underlying security. The receiver must pay any decline in value to the payer at the end of the total return swap. However, the investor does not need to make a payment if there is no decline in price. Payments can be made on various indices, bonds (i.e. mortgage-backed securities, bank debt and corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying asset versus the accrued income payment based on LIBOR (London Interbank Offered Rate) or some other form of index on the notional amount. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal to manage a Fund’s exposure to interest rates. Payments received or made are recorded as realized gains or losses. A Fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. In connection with swap agreements, securities/cash may be set aside as collateral by a Fund’s custodian. A Fund may enter into swap agreements in order to, among other things, change the maturity or duration of the investment portfolio; protect a Fund’s value from changes in interest rates; or expose a Fund to a different security or market.
Swaps are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as unrealized gains or losses in the Statements of Operations. Net payments of interest are recorded as realized gains or losses.
Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform and that there may be unfavorable changes in the fluctuation of interest rates. Risks also arise from potential losses from adverse market movements.
This risk is mitigated by having a master netting arrangement between a Fund and the counterparty and by having the counterparty post collateral to cover a Fund’s exposure to the counterparty. See Note 3 for further details. Refer to each Fund’s Schedule of Investments or Summary Schedule of Investments for details regarding open swap agreements as of November 30, 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.
222 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
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 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, High Yield Bond, Long Duration, Long Duration Corporate Bond and Ultra Short Duration 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 November 30, 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 November 30, 2012, were as follows:
Face Amount ($ Thousands)/ Number of Shares | Acquisition Date | Right to Acquire Date | Cost ($ Thousands) | Market Value ($ Thousands) | % of Net Assets | |||||||||||||||||||
High Yield Bond Fund | ||||||||||||||||||||||||
Aventine (Escrow Security) | 2,600 | 11/30/10 | 11/30/10 | $ | — | $ | 2 | 0.00 | % | |||||||||||||||
VSS AHC, Cl A | 29,628 | 9/25/09 | 9/25/09 | 551 | 354 | 0.02 | ||||||||||||||||||
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$ | 551 | $ | 356 | 0.02 | % | |||||||||||||||||||
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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.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 223 |
Notes to Financial Statements (Unaudited) (Continued)
November 30, 2012
3. CREDIT DERIVATIVES
To the extent consistent with its investment objective and strategies, a Fund may enter into credit default swaps to simulate long and short bond positions that are either unavailable or considered to be less attractively priced in the bond market. A Fund uses these swaps to reduce risk where a Fund has exposure to the issuer, or to take an active long or short position with respect to the likelihood of an event of default. The reference obligation of the swap can be a single issuer, a “basket” of issuers, or an index. The underlying referenced assets are corporate debt, sovereign debt and asset-backed securities.
The buyer of a credit default swap is generally obligated to pay the seller a periodic stream of payments over the term of the contract in return for a contingent payment upon the occurrence of a credit event with respect to an underlying reference obligation. Generally, a credit event for corporate or sovereign reference obligations means bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down.
If a Fund is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will generally either (i) pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities
comprising a referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index.
If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
Certain Funds are party to International Swap Dealers Association, Inc. Master Agreements (“ISDA Master Agreements”). These agreements are with select counterparties and they govern transactions, including certain over-the-counter derivative and foreign exchange contracts, entered into by the Funds and the counterparty.
As of November 30, 2012, the High Yield Bond and Long Duration Funds are the buyers (“receiving protection”) on a total notional amount of $19.7 million and $5.0 million, respectively, and the Core Fixed Income, Emerging Markets Debt, and Multi-Asset Real Return Funds are the sellers (“providing protection”) on a total notional amount of $3.6 million, $0.7 million, and $1.3 million, respectively. The notional amounts of the swaps are not recorded in the financial statements; however the notional amounts approximate the maximum potential amount of future payments that the Fund could be required to make if the Fund was the seller of protection and a credit event were to occur. Those credit default swaps (“CDS”) for which the Fund is providing protection at balance sheet date are summarized as follows:
CORE FIXED INCOME FUND WRITTEN CREDIT DERIVATIVE CONTRACTS | SINGLE NAME CDS | CDS ON AN INDEX | ||||||||||||||||||
REFERENCE ASSET | CORP US$ | SOVEREIGN US$ | ABS US$ | CORP US$ | Total | |||||||||||||||
Fair value of written credit derivatives | $ | (161,035 | ) | — | — | — | $ | (161,035 | ) | |||||||||||
Maximum potential amount of future payments | $ | 3,560,000 | — | — | — | $ | 3,560,000 | |||||||||||||
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection)1 | — | — | — | — | — | |||||||||||||||
Collateral held by the Fund can obtain upon occurrence of triggering event | — | — | — | — | — |
1 | Potential recoveries would include purchased credit derivatives to the extent they offset written credit derivatives which have an identical underlying, or a netting arrangement or credit support annex with the counterparty. There may be other potential recoveries from recourse provisions where agreements cover multiple derivative arrangements but those amounts have not been included. |
MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM | ||||||||||||||||||||||||
CORE FIXED INCOME FUND | 0-6 MONTHS | 6-12 MONTHS | 1-5 YEARS | 5-10 YEARS | > 10 YEARS | Total | ||||||||||||||||||
Current credit spread* on underlying (in basis points) | ||||||||||||||||||||||||
0-100 | — | — | — | — | — | — | ||||||||||||||||||
> than 100 | — | — | — | $ | 3,560,000 | — | $ | 3,560,000 | ||||||||||||||||
Total | $ | 3,560,000 | $ | 3,560,000 |
* | 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. |
224 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
EMERGING MARKETS DEBT 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 | — | $ | (55,391 | ) | — | — | $ | (55,391 | ) | |||||||||||
Maximum potential amount of future payments | — | $ | 700,000 | — | — | $ | 700,000 | |||||||||||||
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 | ||||||||||||||||||||||||
EMERGING MARKETS DEBT FUND | 0-6 MONTHS | 6-12 MONTHS | 1-5 YEARS | 5-10 YEARS | > 10 YEARS | Total | ||||||||||||||||||
Current credit spread* on underlying (in basis points) | ||||||||||||||||||||||||
0-100 | — | — | — | — | — | — | ||||||||||||||||||
> than 100 | — | — | — | — | $ | 700,000 | $ | 700,000 | ||||||||||||||||
Total | $ | 700,000 | $ | 700,000 |
* | 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 | $ | 9,089 | — | — | $ | 1,728 | $ | 10,817 | ||||||||||||
Maximum potential amount of future payments | $ | 260,119 | — | — | $ | 690,000 | $ | 950,119 | ||||||||||||
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection)1 | — | — | — | — | — | |||||||||||||||
Collateral held by the Fund can obtain upon occurrence of triggering event | — | — | — | — | — |
1 | Potential recoveries would include purchased credit derivatives to the extent they offset written credit derivatives which have an identical underlying, or a netting arrangement or credit support annex with the counterparty. There may be other potential recoveries from recourse provisions where agreements cover multiple derivative arrangements but those amounts have not been included. |
MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM | ||||||||||||||||||||||||
MULTI-ASSET REAL RETURN FUND | 0-6 MONTHS | 6-12 MONTHS | 1-5 YEARS | 5-10 YEARS | > 10 YEARS | Total | ||||||||||||||||||
Current credit spread* on underlying (in basis points) | ||||||||||||||||||||||||
0-100 | — | — | — | $ | 690,000 | — | $ | 690,000 | ||||||||||||||||
> than 100 | — | — | $ | 340,000 | $ | 260,119 | — | $ | 600,119 | |||||||||||||||
Total | — | — | $ | 340,000 | $ | 950,119 | — | $ | 1,290,119 |
* | The credit spread on the underlying asset is generally indicative of the current status of the underlying risk of the Fund having to perform. The spread also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into a contract. Higher credit spreads with a shorter contract term is indicative of a higher likelihood of performance by the Fund. |
The credit spread disclosed above for each reference obligation where the Fund is the seller of protection is a representation of the current payment/performance risk of the swap.
4. DERIVATIVE TRANSACTIONS
The fair value of derivative instruments as of November 30, 2012 was as follows:
Asset Derivatives | Liability Derivatives | |||||||||||
Six-month period ended November 30, 2012 ($ Thousands) | Six-month period ended November 30, 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 | $ | 428 | * | Net Assets — Unrealized depreciation on futures contracts | $ | — | * | ||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | — | Unrealized loss on forward foreign currency contracts | 27 | ||||||||
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Total Derivatives not accounted for as hedging instruments | $ | 428 | $ | 27 | ||||||||
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World Equity Ex-US Fund | ||||||||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 1,304 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 91 | * | ||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | — | Unrealized loss on forward foreign currency contracts | 348 | ||||||||
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| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 1,304 | $ | 439 | ||||||||
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SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 225 |
Notes to Financial Statements (Unaudited) (Continued)
November 30, 2012
Asset Derivatives | Liability Derivatives | |||||||||||
Six-month period ended November 30, 2012 ($ Thousands) | Six-month period ended November 30, 2012 ($ Thousands) | |||||||||||
Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | |||||||||
Screened World Equity Ex-US Fund | ||||||||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 32 | * | Net Assets — Unrealized depreciation on futures contracts | $ | — | |||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | — | Unrealized loss on forward foreign currency contracts | 5 | ||||||||
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Total Derivatives not accounted for as hedging instruments | $ | 32 | $ | 5 | ||||||||
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Core Fixed Income Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 146 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 1,832 | * | ||||
Net Assets — Unrealized appreciation on swap contracts | 20 | † | Net Assets — Unrealized depreciation on swap contracts | 695 | † | |||||||
Options purchased, at value | 379 | Options written, at value | 71 | |||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 1,305 | Unrealized loss on forward foreign currency contracts | 984 | ||||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | — | Net Assets — Unrealized depreciation on swap contracts | 25 | † | |||||||
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| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 1,850 | $ | 3,607 | ||||||||
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Long Duration Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 708 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 970 | * | ||||
Net Assets — Unrealized appreciation on swap contracts | — | Net Assets — Unrealized depreciation on swap contracts | 437 | † | ||||||||
Credit contracts | Net Assets — Unrealized depreciation on swap contracts | — | Net Assets — Unrealized depreciation on swap contracts | 198 | † | |||||||
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| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 708 | $ | 1,605 | ||||||||
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Emerging Markets Debt Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 13 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 1 | * | ||||
Net Assets — Unrealized appreciation on swap contracts | 113 | † | Net Assets — Unrealized depreciation on swap contracts | 81 | † | |||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 4,186 | Unrealized loss on forward foreign currency contracts | 4,217 | ||||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | 4 | † | Net Assets — Unrealized depreciation on swap contracts | — | |||||||
Equity contracts | Net Assets — Unrealized appreciation on swap contracts | 4,998 | † | Net Assets — Unrealized depreciation on swap contracts | 48 | † | ||||||
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| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 9,314 | $ | 4,347 | ||||||||
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| |||||||||
Dynamic Asset Allocation Fund | ||||||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | $ | 1,693 | Unrealized loss on forward foreign currency contracts | $ | — | ||||||
Equity contracts | Options purchased, at value | 2,850 | Options written, at value | 1,005 | ||||||||
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| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 4,543 | $ | 1,005 | ||||||||
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Multi-Asset Real Return Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | — | Net Assets — Unrealized depreciation on futures contracts | $ | 41 | * | |||||
Net Assets — Unrealized appreciation on swap contracts | 13 | † | Net Assets — Unrealized depreciation on swap contracts | 67 | † | |||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 266 | Unrealized loss on forward foreign currency contracts | 321 | ||||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | 13 | † | Net Assets — Unrealized depreciation on swap contracts | — | |||||||
Equity contracts | Net Assets — Unrealized appreciation on swap contracts | — | † | Net Assets — Unrealized depreciation on swap contracts | 1,425 | † | ||||||
Options purchased, at value | 92 | Options written, at value | 18 | |||||||||
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| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 384 | $ | 1,872 | ||||||||
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|
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets & Liabilities. |
† | Includes cumulative appreciation/depreciation of swap contracts as reported in the Schedules of Investments. Market Value is reported within the Statements of Assets & Liabilities for swap contracts that have paid premiums. |
226 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
The effect of derivative instruments on the Statements of Operations for the six-month period ended November 30, 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 | $ | — | $ | — | $ | (10 | ) | $ | — | $ | (10 | ) | ||||||||
Equity contracts | — | 195 | — | — | 195 | |||||||||||||||
Total | $ | — | $ | 195 | $ | (10 | ) | $ | — | $ | 185 | |||||||||
World Equity Ex-US Fund | ||||||||||||||||||||
Foreign exchange contracts | $ | — | $ | — | $ | 1,233 | $ | — | $ | 1,233 | ||||||||||
Equity contracts | — | 17,674 | — | — | 17,674 | |||||||||||||||
Total | $ | — | $ | 17,674 | $ | 1,233 | $ | — | $ | 18,907 | ||||||||||
Screened World Equity Ex-US Fund | ||||||||||||||||||||
Foreign exchange contracts | $ | — | $ | — | $ | 32 | $ | — | $ | 32 | ||||||||||
Equity contracts | — | 145 | — | — | 145 | |||||||||||||||
Total | $ | — | $ | 145 | $ | 32 | $ | — | $ | 177 | ||||||||||
Core Fixed Income Fund | ||||||||||||||||||||
Interest rate contracts | $ | 627 | $ | (4,157 | ) | $ | — | $ | (2,185 | ) | $ | (5,715 | ) | |||||||
Foreign exchange contracts | — | — | 370 | — | 370 | |||||||||||||||
Equity contracts | — | — | — | — | — | |||||||||||||||
Credit contracts | 119 | — | — | (3,577 | ) | (3,458 | ) | |||||||||||||
Total | $ | 746 | $ | (4,157 | ) | $ | 370 | $ | (5,762 | ) | $ | (8,803 | ) | |||||||
Long Duration Fund | ||||||||||||||||||||
Interest rate contracts | $ | — | $ | 413 | $ | — | $ | — | $ | 413 | ||||||||||
Credit contracts | — | — | — | (62 | ) | (62 | ) | |||||||||||||
Total | $ | — | $ | 413 | $ | — | $ | (62 | ) | $ | 351 | |||||||||
Emerging Markets Debt Fund | ||||||||||||||||||||
Interest rate contracts | $ | — | $ | (144 | ) | $ | — | $ | 193 | $ | 49 | |||||||||
Foreign exchange contracts | — | — | 3,599 | — | 3,599 | |||||||||||||||
Credit contracts | — | — | — | (1 | ) | (1 | ) | |||||||||||||
Total | $ | — | $ | (144 | ) | $ | 3,599 | $ | 192 | $ | 3,647 | |||||||||
Multi-Asset Real Return Fund | ||||||||||||||||||||
Interest rate contracts | $ | — | $ | (120 | ) | $ | — | $ | (26 | ) | $ | (146 | ) | |||||||
Foreign exchange contracts | — | — | (648 | ) | — | (648 | ) | |||||||||||||
Credit contracts | — | — | — | 28 | 28 | |||||||||||||||
Equity contracts | (144 | ) | — | — | (532 | ) | (676 | ) | ||||||||||||
Total | $ | (144 | ) | $ | (120 | ) | $ | (648 | ) | $ | (530 | ) | $ | (1,442 | ) |
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 | $ | — | $ | — | $ | (149 | ) | $ | — | $ | (149 | ) | ||||||||
Equity contracts | — | 1,099 | — | — | 1,099 | |||||||||||||||
Total | $ | — | $ | 1,099 | $ | (149 | ) | $ | — | $ | 950 | |||||||||
World Equity Ex-US Fund | ||||||||||||||||||||
Foreign exchange contracts | $ | — | $ | — | $ | (3,997 | ) | $ | — | $ | (3,997 | ) | ||||||||
Equity contracts | — | 16,183 | — | — | 16,183 | |||||||||||||||
Total | $ | — | $ | 16,183 | $ | (3,997 | ) | $ | — | $ | 12,186 | |||||||||
Screened World Equity Ex-US Fund | ||||||||||||||||||||
Foreign exchange contracts | $ | — | $ | — | $ | (69 | ) | $ | — | $ | (69 | ) | ||||||||
Equity contracts | — | 115 | — | — | 115 | |||||||||||||||
Total | $ | — | $ | 115 | $ | (69 | ) | $ | — | $ | 46 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 227 |
Notes to Financial Statements (Unaudited) (Continued)
November 30, 2012
Derivatives Not Accounted for as Hedging Instruments | Options | Futures | Forward Currency Contracts | Swaps | Total | |||||||||||||||
Core Fixed Income Fund | ||||||||||||||||||||
Interest rate contracts | $ | 796 | $ | 3,036 | $ | — | $ | 918 | $ | 4,750 | ||||||||||
Foreign exchange contracts | — | — | (1,241 | ) | — | (1,241 | ) | |||||||||||||
Equity contracts | — | — | — | 201 | 201 | |||||||||||||||
Credit contracts | — | — | — | 3,034 | 3,034 | |||||||||||||||
Total | $ | 796 | $ | 3,036 | $ | (1,241 | ) | $ | 4,153 | $ | 6,744 | |||||||||
Long Duration Fund | ||||||||||||||||||||
Interest rate contracts | $ | — | $ | (1,578 | ) | $ | — | $ | (437 | ) | $ | (2,015 | ) | |||||||
Credit contracts | — | — | — | (318 | ) | (318 | ) | |||||||||||||
Total | $ | — | $ | (1,578 | ) | $ | — | $ | (755 | ) | $ | (2,333 | ) | |||||||
Emerging Markets Debt Fund | ||||||||||||||||||||
Interest rate contracts | $ | — | $ | 316 | $ | — | $ | 32 | $ | 348 | ||||||||||
Foreign exchange contracts | — | — | (4,066 | ) | — | (4,066 | ) | |||||||||||||
Equity contracts | — | — | — | 4,950 | 4,950 | |||||||||||||||
Credit contracts | — | — | — | 4 | 4 | |||||||||||||||
Total | $ | — | $ | 316 | $ | (4,066 | ) | $ | 4,986 | $ | 1,236 | |||||||||
Dynamic Asset Allocation Fund | ||||||||||||||||||||
Foreign exchange contracts | $ | — | $ | — | $ | (22,036 | ) | $ | — | $ | (22,036 | ) | ||||||||
Equity contracts | (714 | ) | — | — | — | (714 | ) | |||||||||||||
Total | $ | (714 | ) | $ | — | $ | (22,036 | ) | $ | — | $ | (22,750 | ) | |||||||
Multi-Asset Real Return Fund | ||||||||||||||||||||
Interest rate contracts | $ | — | $ | 48 | $ | — | $ | 9 | $ | 57 | ||||||||||
Foreign exchange contracts | — | — | (1,299 | ) | — | (1,299 | ) | |||||||||||||
Credit contracts | — | — | — | 2 | 2 | |||||||||||||||
Equity contracts | (26 | ) | — | — | (1,727 | ) | (1,753 | ) | ||||||||||||
Total | $ | (26 | ) | $ | 48 | $ | (1,299 | ) | $ | (1,716 | ) | $ | (2,993 | ) |
The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral, and events of default or termination. The occurrence of a specified event of termination may give a counterparty the right to terminate all of its contracts and affect settlement of all outstanding transactions under the applicable ISDA Master Agreement.
Written options transactions entered into during the six-month period ended November 30, 2012, are summarized as follows:
Core Fixed Income Fund | ||||||||
Number of Contracts | Premium ($ Thousands) | |||||||
Balance at beginning of period | 7,022,098 | $ | 1,021 | |||||
Written | 1,661 | 771 | ||||||
Expired | (217 | ) | (62 | ) | ||||
Closing buys | (1,837 | ) | (1,038 | ) | ||||
Balance at end of period | 7,021,705 | $ | 692 |
Dynamic Asset Allocation Fund | ||||||||
Number of Contracts | Premium ($ Thousands) | |||||||
Balance at beginning of period | — | $ | — | |||||
Written | 1,500 | 2,696 | ||||||
Balance at end of period | 1,500 | $ | 2,696 |
Multi-Asset Real Return Fund | ||||||||
Number of Contracts | Premium ($ Thousands) | |||||||
Balance at beginning of period | 45 | $ | 102 | |||||
Written | 25 | 99 | ||||||
Expired | (15 | ) | (11 | ) | ||||
Closing buys | (30 | ) | (90 | ) | ||||
Balance at end of period | 25 | $ | 100 |
As of November 30, 2012, the Funds had cash and/or securities at least equal to the value of written options.
5. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Administration and Transfer Agency Agreement — SEI Investments Global Funds Services (the “Administrator”) serves as administrator to the Funds. The Administrator provides certain administrative and shareholder servicing for an annual fee of 0.05% of the average daily net assets of each Fund. For the six-month period ended November 30, 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 and the Administrator plan to voluntarily waive a portion of its fees in order to keep investment advisory and administration fees at a specified level. The voluntary waivers may be discontinued at any time.
228 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
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 | ||||||
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 | ||||||
Long Duration Corporate Bond 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 |
* | Effective July 1st 2012, voluntary expense waivers were discontinued. |
As of November 30, 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 |
AJO, L.P. |
AQR Capital Management, LLC |
Brown Advisory LLC |
Delaware Management Company |
LSV Asset Management |
Waddell & Reed Investment Management Company |
WestEnd Advisors LLC |
Large Cap Diversified Alpha Fund |
AJO,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. |
INTECH Investment Management, LLC |
Lazard Asset Management LLC |
Oppenheimer Funds, Inc. |
Quantitative Management Associates, LLC |
Large Cap Index Fund |
SSgA Funds Management, Inc. |
Small Cap Fund |
AllianceBernstein L.P. |
AQR Capital Management, LLC |
Investment Sub-Adviser |
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 |
William Blair & Company, LLC |
Small Cap II Fund |
Alliance Bernstein L.P. |
AQR Capital Management, LLC |
Fiduciary Management Associates, LLC |
Lee Munder Capital Group, LLC |
Timberline Asset Management, LLC |
Small/Mid Cap Equity Fund |
AllianceBernstein L.P. |
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 |
AJO, L.P. |
Analytic Investors, LLC |
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 |
Enhanced LIBOR Opportunities Fund |
Ares Management, LLC |
Wellington Management Company, LLP |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 229 |
Notes to Financial Statements (Unaudited) (Continued)
November 30, 2012
Investment Sub-Adviser |
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 |
Long Duration Corporate Bond 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.
Such commissions for the six-month period ended November 30, 2012, were as follows ($ Thousands):
Large Cap Fund | $ | 8 | ||
Large Cap Diversified Alpha Fund | 2 | |||
Large Cap Disciplined Equity Fund | 167 |
Large Cap Index Fund | $ | 4 | ||
Small Cap Fund | 163 | |||
Small Cap II Fund | 4 | |||
Small/Mid Cap Equity Fund | 15 | |||
World Equity Ex-US Fund | 21 |
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 six-month period ended November 30, 2012, were as follows ($ Thousands):
Large Cap Fund | $ | 187 | ||
Small Cap Fund | 116 | |||
Small/Mid Cap Equity Fund | 443 | |||
U.S. Managed Volatility Fund | 436 |
Fees Paid Indirectly — The Funds may direct certain fund trades to the Distributor who pays a portion of each Fund’s expenses. Accordingly, the expenses reduced, which were used to pay third party expenses, can be found on the Statements of Operations and the effect on each Fund’s expense ratio, as a percentage of each Fund’s average daily net assets for the six-month period ended November 30, 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.
230 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
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 reviewed by the Board of Trustees annually. The interest rate imposed on interfund loans is the average of the Repo Rate and the Bank Loan Rate.
During the six-month period ended November 30, 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 ($Thousands) | Interest Paid | Rate | |||||||||||||
Large Cap Disciplined Equity | 10/02/2012 | $ | 45,000 | $ | 900 | 0.36 | % | |||||||||
Small Cap II Fund | 08/01/2012 | 5,000 | 97 | 0.35 | ||||||||||||
High Yield Bond Fund | 07/02/2012 | 24,751 | 254 | 0.37 | ||||||||||||
High Yield Bond Fund | 07/03/2012 | 17,974 | 389 | 0.39 |
The Trust had no outstanding borrowings or loans under the Program at November 30, 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 | |||||||||||||||||||||||||||||
6/1/12 to 11/30/12 (Unaudited) | 6/1/11 to 5/31/12 | 6/1/12 to 11/30/12 (Unaudited) | 6/1/11 to 5/31/12 | 6/1/12 to 11/30/12 (Unaudited) | 6/1/11 to 5/31/12 | 6/1/12 to 11/30/12 (Unaudited) | 6/1/11 to 5/31/12 | |||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||
Shares Issued | 11,683 | 42,736 | 2,499 | 5,503 | 53,915 | 114,099 | 4,782 | 6,272 | (1) | |||||||||||||||||||||||
Shares Issued In Lieu of Dividends and Distributions | 820 | 5,311 | 190 | 335 | 4,079 | 10,479 | 124 | 140 | ||||||||||||||||||||||||
Shares Redeemed | (18,982 | ) | (31,943 | ) | (8,684 | ) | (9,960 | ) | (71,350 | ) | (326,008 | ) | (840 | ) | (1,938 | ) | ||||||||||||||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | (6,479 | ) | 16,104 | (5,995 | ) | (4,122 | ) | (13,356 | ) | (201,430 | ) | 4,066 | 4,474 | |||||||||||||||||||
Small Cap Fund | Small Cap II Fund(2) | Small/Mid Cap Equity Fund | U.S. Managed Volatility Fund | |||||||||||||||||||||||||||||
6/1/12 to 11/30/12 (Unaudited) | 6/1/11 to 5/31/12 | 6/1/12 to 11/30/12 (Unaudited) | 4/10/12 to 5/31/12 | 6/1/12 to 11/30/12 (Unaudited) | 6/1/11 to | 6/1/12 to 11/30/12 (Unaudited) | 6/1/11 to 5/31/12 | |||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||
Shares Issued | 5,596 | 27,655 | 16,044 | 6,454 | 22,763 | 35,194 | | 16,512 | | 58,784 | ||||||||||||||||||||||
Shares Issued In Lieu of Dividends and Distributions | 230 | 349 | 36 | — | 653 | 1,269 | 759 | 2,791 | ||||||||||||||||||||||||
Shares Redeemed | (7,993 | ) | (19,023 | ) | (1,323 | ) | — | (15,099 | ) | (45,867 | )(1) | (6,408 | ) | (9,190 | ) | |||||||||||||||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | (2,167 | ) | 8,981 | 14,757 | 6,454 | 8,317 | (9,404 | ) | 10,863 | 52,385 |
International Equity Fund | World Equity Ex-US Fund | Screened World Equity Ex-US Fund | Enhanced LIBOR Opportunities Fund | |||||||||||||||||||||||||||||
6/1/12 to 11/30/12 (Unaudited) | 6/1/11 to 5/31/12 | 6/1/12 to 11/30/12 (Unaudited) | 6/1/11 to 5/31/12 | 6/1/12 to 11/30/12 (Unaudited) | 6/1/11 to 5/31/12 | 6/1/12 to 11/30/12 (Unaudited) | 6/1/11 to 5/31/12 | |||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||
Shares Issued | 6,043 | 15,813 | 109,785 | 196,762 | 988 | 2,166 | 27,782 | 1,980 | ||||||||||||||||||||||||
Shares Issued In Lieu of Dividends and Distributions | — | 1,352 | — | 9,741 | — | 114 | 241 | 641 | ||||||||||||||||||||||||
Shares Redeemed | (6,567 | ) | (32,505 | ) | (48,346 | ) | (143,869 | ) | (274 | ) | (1,425 | ) | (1,340 | ) | (12,270 | ) | ||||||||||||||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | (524 | ) | (15,340 | ) | 61,439 | 62,634 | 714 | 855 | 26,683 | (9,649 | ) |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 231 |
Notes to Financial Statements (Unaudited) (Continued)
November 30, 2012
Core Fixed Income Fund | High Yield Bond Fund | Long Duration Fund | Long Duration Corporate Bond Fund(3) | Ultra Short Duration Bond Fund | ||||||||||||||||||||||||||||||||
6/1/12 to 11/30/12 (Unaudited) | 6/1/11 to 5/31/12 | 6/1/12 to 11/30/12 (Unaudited) | 6/1/11 to 5/31/12 | 6/1/12 to 11/30/12 (Unaudited) | 6/1/11 to 5/31/12 | 6/29/12 to 11/30/12 (Unaudited) | 6/1/12 to 11/30/12 (Unaudited) | 6/1/11 to 5/31/12 | ||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||||||
Shares Issued | 180,454 | (1) | 180,742 | 34,963 | 75,270 | 40,947 | (1) | 234,974 | (1) | 185,892 | (1) | 28,709 | (1) | 31,725 | ||||||||||||||||||||||
Shares Issued In Lieu of Dividends and Distributions | 9,461 | 32,031 | 7,220 | 16,538 | 7,518 | 42,344 | 2,792 | 174 | 526 | |||||||||||||||||||||||||||
Shares Redeemed | (91,737 | ) | (197,496 | ) | (33,443 | ) | (88,223 | ) | (233,066 | ) | (106,591 | ) | (3,944 | ) | (19,229 | ) | (33,664 | ) | ||||||||||||||||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | 98,178 | 15,277 | 8,740 | 3,585 | (184,601 | ) | 170,727 | 184,740 | 9,654 | (1,413 | ) |
Emerging Markets Debt Fund | Real Return Fund | Dynamic Asset Allocation Fund | Multi-Asset Real Return Fund(4) | |||||||||||||||||||||||||||||
6/1/12 to 11/30/12 (Unaudited) | 6/1/11 to 5/31/12 | 6/1/12 to 11/30/12 (Unaudited) | 6/1/11 to 5/31/12 | 6/1/12 to 11/30/12 (Unaudited) | 6/1/11 to 5/31/12 | 6/1/12 to 11/30/12 (Unaudited) | 7/29/11 to | |||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||
Shares Issued | 18,934 | 29,078 | 1,223 | 5,802 | 16,715 | 18,573 | 6,686 | 17,690 | ||||||||||||||||||||||||
Shares Issued In Lieu of Dividends | 2,233 | 7,110 | 323 | 1,459 | — | 1,918 | 112 | 17 | ||||||||||||||||||||||||
Shares Redeemed | (10,819 | ) | (25,495 | ) | (4,546 | ) | (14,483 | ) | (3,056 | ) | (7,054 | ) | (1,684 | ) | (2,570 | ) | ||||||||||||||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | 10,348 | 10,693 | (3,000 | ) | (7,222 | ) | 13,659 | 13,437 | 5,114 | 15,137 |
(1) | Includes subscriptions/redemptions as a result of in-kind transfers of securities (see Note 10). |
(2) | Fund commenced operations on April 10, 2012. |
(3) | Fund commenced operations on July 29, 2012. |
(4) | Fund commenced operations on July 29, 2011. |
7. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale and maturities of securities other than temporary cash investments, during the six-month period ended November 30, 2012, were as follows:
U.S. Gov’t ($ Thousands) | Other ($ Thousands) | Total ($ Thousands) | ||||||||||
Large Cap Fund | ||||||||||||
Purchases | $ | — | $ | 400,754 | $ | 400,754 | ||||||
Sales | — | 491,036 | 491,036 | |||||||||
Large Cap Diversified Alpha Fund | ||||||||||||
Purchases | — | 107,942 | 107,942 | |||||||||
Sales | — | 168,511 | 168,511 | |||||||||
Large Cap Disciplined Equity Fund | ||||||||||||
Purchases | — | 3,194,529 | 3,194,529 | |||||||||
Sales | — | 3,309,957 | 3,309,957 | |||||||||
Large Cap Index Fund | ||||||||||||
Purchases | — | 492,325 | 492,325 | |||||||||
Sales | — | 26,654 | 26,654 | |||||||||
Small Cap Fund | ||||||||||||
Purchases | — | 362,133 | 362,133 | |||||||||
Sales | — | 400,600 | 400,600 | |||||||||
Small Cap II Fund | ||||||||||||
Purchases | — | 205,393 | 205,393 | |||||||||
Sales | — | 72,245 | 72,245 | |||||||||
Small/Mid Cap Fund | ||||||||||||
Purchases | — | 1,036,251 | 1,036,251 | |||||||||
Sales | — | 886,238 | 886,238 | |||||||||
U.S. Managed Volatility Fund | ||||||||||||
Purchases | — | 239,063 | 239,063 | |||||||||
Sales | — | 126,637 | 126,637 |
U.S. Gov’t ($ Thousands) | Other ($ Thousands) | Total ($ Thousands) | ||||||||||
International Equity Fund | ||||||||||||
Purchases | $ | — | $ | 85,643 | $ | 85,643 | ||||||
Sales | — | 107,195 | 107,195 | |||||||||
World Equity Ex-US Fund | ||||||||||||
Purchases | — | 1,824,189 | 1,824,189 | |||||||||
Sales | — | 981,352 | 981,352 | |||||||||
Screened World Equity Ex-US Fund | ||||||||||||
Purchases | — | 17,232 | 17,232 | |||||||||
Sales | — | 12,666 | 12,666 | |||||||||
Enhanced LIBOR Opportunities Fund | ||||||||||||
Purchases | 30,304 | 187,167 | 217,471 | |||||||||
Sales | 28,725 | 9,321 | 38,046 | |||||||||
Core Fixed Income Fund | ||||||||||||
Purchases | 9,820,384 | 1,900,581 | 11,720,965 | |||||||||
Sales | 9,105,615 | 1,549,709 | 10,655,324 | |||||||||
High Yield Bond Fund | ||||||||||||
Purchases | — | 602,843 | 602,843 | |||||||||
Sales | — | 520,869 | 520,869 | |||||||||
Long Duration Fund | ||||||||||||
Purchases | 1,278,122 | 702,361 | 1,980,483 | |||||||||
Sales | 1,782,403 | 1,916,721 | 3,699,124 | |||||||||
Long Duration Corporate Bond Fund(1) | ||||||||||||
Purchases | 656,614 | 2,081,983 | 2,738,597 | |||||||||
Sales | 604,271 | 344,725 | 948,996 | |||||||||
Ultra Short Duration Bond Fund | ||||||||||||
Purchases | 126,085 | 146,162 | 272,247 | |||||||||
Sales | 95,414 | 113,300 | 208,714 | |||||||||
Emerging Markets Debt Fund | ||||||||||||
Purchases | — | 776,440 | 776,440 | |||||||||
Sales | — | 746,701 | 746,701 |
232 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
U.S. Gov’t ($ Thousands) | Other ($ Thousands) | Total ($ Thousands) | ||||||||||
Real Return Fund | ||||||||||||
Purchases | $ | 140,789 | $ | — | $ | 140,789 | ||||||
Sales | 172,965 | — | 172,965 | |||||||||
Dynamic Asset Allocation Fund | ||||||||||||
Purchases | — | 206,696 | 206,696 | |||||||||
Sales | — | 39,829 | 39,829 | |||||||||
Multi-Asset Real Return Fund | ||||||||||||
Purchases | 29,762 | 72,896 | 102,658 | |||||||||
Sales | 7,963 | 62,181 | 70,144 |
(1) | Fund commenced operations on July 29, 2012. |
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 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.
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 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 233 |
Notes to Financial Statements (Unaudited) (Concluded)
November 30, 2012
Ordinary Income ($ Thousands) | Long-Term Capital Gain ($ Thousands) | Return of Capital ($ Thousands) | Total ($ Thousands) | |||||||||||||||||
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 |
As of May 31, 2012, the components of distributable earnings/(accumulated losses) were as follows:
Undistributed | Undistributed | Capital Loss | Post October | Late Year | Unrealized | Other | Total Distributable | |||||||||||||||||||||||||
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 losses incurred in taxable years beginning before December 22, 2010 may be carried forward for a maximum period of eight years and applied against future net capital gains as follows:
Expires 2016 | Expires 2017 | Expires 2018 | Expires 2019 | Total Capital | ||||||||||||||||
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 |
234 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Expires 2016 | Expires 2017 | Expires 2018 | Expires 2019 | Total Capital | ||||||||||||||||
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. |
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 November 30, 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 November 30, 2012, was as follows:
Federal Tax Cost ($ Thousands) | Appreciated Securities ($ Thousands) | Depreciated Securities ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($Thousands) | |||||||||||||
Large Cap Fund | $ | 1,648,429 | $ | 330,700 | $ | (28,406 | ) | $ | 302,294 | |||||||
Large Cap Diversified Alpha Fund | 269,148 | 34,526 | (7,861 | ) | 26,665 | |||||||||||
Large Cap Disciplined Equity Fund | 5,827,818 | 550,117 | (227,337 | ) | 322,780 | |||||||||||
Large Cap Index Fund | 1,759,765 | 287,245 | (33,210 | ) | 254,035 | |||||||||||
Small Cap Fund | 954,365 | 72,015 | (61,026 | ) | 10,989 | |||||||||||
Small Cap Fund II | 237,211 | 13,781 | (6,872 | ) | 6,909 | |||||||||||
Small/Mid Cap Equity Fund | 2,671,311 | 268,871 | (114,686 | ) | 154,185 | |||||||||||
U.S. Managed Volatility Fund | 836,805 | 85,390 | (14,302 | ) | 71,088 | |||||||||||
International Equity Fund | 376,150 | 34,764 | (29,059 | ) | 5,705 | |||||||||||
World Equity Ex-US Fund | 5,976,458 | 664,357 | (259,679 | ) | 404,678 | |||||||||||
Screened World Equity Ex-US Fund | 59,219 | 5,958 | (3,140 | ) | 2,818 | |||||||||||
Enhanced LIBOR Opportunities Fund | 462,049 | 1,546 | (13,227 | ) | (11,681 | ) | ||||||||||
Core Fixed Income Fund | 8,738,958 | 384,478 | (69,451 | ) | 315,027 | |||||||||||
High Yield Bond Fund | 2,014,428 | 117,728 | (37,676 | ) | 80,052 | |||||||||||
Long Duration Fund | 3,437,543 | 401,793 | (7,619 | ) | 394,174 | |||||||||||
Long Duration Corporate Bond Fund | 1,834,744 | 76,699 | (5,653 | ) | 71,046 | |||||||||||
Ultra Short Duration Bond Fund | 422,795 | 1,795 | (586 | ) | 1,209 | |||||||||||
Emerging Markets Debt Fund | 1,159,487 | 112,530 | (18,646 | ) | 93,884 | |||||||||||
Real Return Fund | 240,666 | 5,566 | (51 | ) | 5,515 | |||||||||||
Dynamic Asset Allocation Fund | 728,587 | 32,247 | (20,521 | ) | 11,726 | |||||||||||
Multi-Asset Real Return Fund | 209,344 | 5,204 | (4,927 | ) | 277 |
Management has analyzed the Funds’ tax positions taken on Federal income tax returns for all open tax years and has concluded that as of November 30, 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
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 235 |
Notes to Financial Statements (Unaudited) (Concluded)
November 30, 2012
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, High Yield Bond, Long Duration, Long Duration Corporate Bond, Ultra Short Duration Bond and Multi-Asset Real Return Funds’ investments may change in response to interest rate changes and other factors. During periods of falling interest rates, the values of fixed income securities generally rise. Conversely, during periods of rising interest rates, the values of
such securities generally decline. Changes by recognized rating agencies in the ratings of any fixed income security and in the ability of an issuer to make payments of interest and principal may also affect the value of these investments.
The International Equity, World Equity Ex-US, Screened World Equity Ex-US, Emerging Markets Debt and Multi-Asset Real Return Funds concentrate their investments in securities of foreign issuers in various countries. These investments may involve certain considerations and risks not typically associated with investments in the United States, as a result of, among other factors, the possibility of future political and economic developments and the level of governmental supervision and regulation of securities markets in the respective countries.
10. IN-KIND TRANSFERS OF SECURITIES
During the six-month period ended November 30, 2012, the Core Fixed Income, Long Duration, Long Duration Corporate Bond, and Ultra Short 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) | ||||||||||
Core Fixed Income | ||||||||||||
7/31/2012 | 18,108 | $ | 195,406 | $ | — | |||||||
9/28/2012 | 7,720 | 83,603 | — | |||||||||
Long Duration Fund | ||||||||||||
7/31/2012 | 7,281 | 72,886 | — | |||||||||
Long Duration Corporate Bond Fund | ||||||||||||
9/28/2012 | 5,819 | 60,636 | — | |||||||||
Ultra Short Duration Bond Fund | ||||||||||||
11/30/2012 | 2,511 | 25,206 | — |
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 | ||||||||||||
1/5/2012 | 272 | $ | 29,489 | $ | — | |||||||
2/3/2012 | 176 | 20,013 | — |
Shares Issued (Redeemed) (Thousands) | Value ($ Thousands) | Gain (Loss) ($ Thousands) | ||||||||||
Small/Mid Cap Equity Fund | ||||||||||||
8/3/2011 | (2,758 | ) | $ | (35,388 | ) | $ | 4,996 | |||||
Long Duration Fund | ||||||||||||
8/3/2011 | 4,633 | 41,416 | — | |||||||||
2/3/2012 | 34,942 | 327,759 | — | |||||||||
4/13/2012 | 37,389 | 345,848 | — |
11. SECURITIES LENDING
To the extent consistent with its investment objective and strategies, a 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.
236 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
13. SUBSEQUENT EVENTS
Management has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. Based on this evaluation, no adjustments were required to the financial statements as of November 30, 2012, with the exception of the following; At a meeting held on December 4, 2012, the Board of Trustees of SEI Institutional Investments Trust approved changing the name of the Trust’s Enhanced LIBOR Opportunities Fund to the Opportunistic Income Fund effective January 1, 2013.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 237 |
Disclosure of Fund Expenses (Unaudited)
November 30, 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 6/1/2012 | Ending Account Value 11/30/2012 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Large Cap Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,095.20 | 0.20 | % | $ | 1.05 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,024.07 | 0.20 | % | $ | 1.01 | ||||||||
Large Cap Diversified Alpha Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,089.30 | 0.25 | % | $ | 1.31 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,023.82 | 0.25 | % | $ | 1.27 | ||||||||
Large Cap Disciplined Equity Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,100.50 | 0.17 | % | $ | 0.90 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,024.22 | 0.17 | % | $ | 0.86 | ||||||||
Large Cap Index Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,093.00 | 0.03 | % | $ | 0.16 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,024.92 | 0.03 | % | $ | 0.15 |
Beginning Account Value 6/1/2012 | Ending Account Value 11/30/2012 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Small Cap Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,070.10 | 0.48 | % | $ | 2.49 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.66 | 0.48 | % | $ | 2.43 | ||||||||
Small Cap II Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,070.90 | 0.49 | % | $ | 0.72 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.61 | 0.49 | % | $ | 2.48 | ||||||||
Small/Mid Cap Equity Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,075.50 | 0.46 | % | $ | 2.39 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.76 | 0.46 | % | $ | 2.33 | ||||||||
U.S. Managed Volatility Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,083.00 | 0.25 | % | $ | 1.31 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,023.82 | 0.25 | % | $ | 1.27 |
238 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
Beginning Account Value 6/1/2012 | Ending Account Value 11/30/2012 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
International Equity Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,166.10 | 0.46 | % | $ | 2.50 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.76 | 0.46 | % | $ | 2.33 | ||||||||
World Equity Ex-US Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,156.90 | 0.36 | % | $ | 1.95 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,023.26 | 0.36 | % | $ | 1.83 | ||||||||
Screened World Equity Ex-US Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,158.10 | 0.54 | % | $ | 2.92 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.36 | 0.54 | % | $ | 2.74 | ||||||||
Enhanced LIBOR Opportunities Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,035.30 | 0.23 | % | $ | 1.17 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,023.92 | 0.23 | % | $ | 1.17 | ||||||||
Core Fixed Income Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,035.60 | 0.13 | % | $ | 0.66 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,024.42 | 0.13 | % | $ | 0.66 | ||||||||
High Yield Bond Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,084.00 | 0.31 | % | $ | 1.62 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,023.51 | 0.31 | % | $ | 1.57 | ||||||||
Long Duration Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,052.80 | 0.17 | % | $ | 0.87 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,024.22 | 0.17 | % | $ | 0.86 |
Beginning Account Value 6/1/2012 | Ending Account Value 11/30/2012 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Long Duration Corporate Bond Fund — Commenced operations 6/29/12 |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.80 | 0.15 | % | $ | 0.64 | ** | |||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,024.32 | 0.15 | % | $ | 0.76 | * | |||||||
Ultra Short Duration Bond Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,016.20 | 0.13 | % | $ | 0.66 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,024.42 | 0.13 | % | $ | 0.66 | ||||||||
Emerging Markets Debt Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,116.10 | 0.47 | % | $ | 2.49 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.71 | 0.47 | % | $ | 2.38 | ||||||||
Real Return Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,013.00 | 0.12 | % | $ | 0.61 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,024.47 | 0.12 | % | $ | 0.61 | ||||||||
Dynamic Asset Allocation Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,059.20 | 0.14 | % | $ | 0.72 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,024.37 | 0.14 | % | $ | 0.71 | ||||||||
Multi-Asset Real Return Fund |
| |||||||||||||||
Actual Fund Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,039.90 | 0.36 | % | $ | 1.84 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,023.26 | 0.36 | % | $ | 1.83 |
* | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183/365 (to reflect 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 155/365 (to reflect the period since inception to period end). |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 239 |
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.
240 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
At the June 27-28, 2012 and the September 19-20, 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 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.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 | 241 |
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) (Concluded)
Profitability. With regard to profitability, the Trustees considered all compensation flowing to SIMC and the Sub-Advisers and their affiliates, directly or indirectly. The Trustees considered whether the varied levels of compensation and profitability under the Investment Advisory Agreements and other service agreements were reasonable and justified in light of the quality of all services rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. The Trustees found that profitability was reasonable and that the margin was not increasing despite growth in assets. When considering the profitability of the Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC and not by the Funds directly, and such compensation with respect to any Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of 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.
242 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SEI INSTITUTIONAL INVESTMENTS TRUST SEMI-ANNUAL REPORT NOVEMBER 30, 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
Stephen G. MacRae
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-F-120 (11/12)
Item 2. | Code of Ethics. |
Not applicable for semi-annual report.
Item 3. | Audit Committee Financial Expert. |
Not applicable for semi-annual report.
Item 4. | Principal Accountant Fees and Services. |
Not applicable for semi-annual report.
Item 5. | Audit Committee of Listed Registrants. |
Not applicable for semi-annual report.
Item 6. | Schedule of Investments. |
(a) The Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Large Cap Fund, Large Cap Diversified Alpha Fund, Large Cap Disciplined Equity Fund, Large Cap Index Fund, Small Cap Fund, Small Cap II Fund, Small/Mid Cap Fund, U.S. Managed Volatility Fund, International Equity Fund, World Equity Ex-US Fund, Screened World Equity Ex-US and Dynamic Asset Allocation Fund are listed below. The Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Enhanced LIBOR Opportunities Fund, Core Fixed Income Fund, High Yield Bond Fund, Long Duration Bond Fund, Long Duration Corporate Bond Fund, Emerging Markets Debt Fund, Real Return 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 (Unaudited)
Large Cap Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.8% |
| |||||||
Consumer Discretionary — 14.9% |
| |||||||
Amazon.com* | 18,820 | $ | 4,744 | |||||
American Eagle Outfitters | 4,800 | 102 | ||||||
Apollo Group, Cl A* | 185,564 | 3,561 | ||||||
Autoliv (A) | 21,400 | 1,292 | ||||||
Bed Bath & Beyond* | 143,874 | 8,448 | ||||||
Best Buy (A) | 76,900 | 1,008 | ||||||
Big Lots* (A) | 40,000 | 1,126 | ||||||
Brinker International | 13,500 | 404 | ||||||
Cablevision Systems, Cl A | 53,400 | 739 | ||||||
CBS, Cl B | 350,090 | 12,596 | ||||||
Charter Communications, Cl A* | 45,390 | 3,216 | ||||||
Chico’s FAS | 15,100 | 282 | ||||||
Coach | 302,740 | 17,510 | ||||||
Comcast, Cl A | 125,800 | 4,677 | ||||||
Cooper Tire & Rubber | 32,100 | 802 | ||||||
Dillard’s, Cl A (A) | 47,000 | 4,179 | ||||||
DIRECTV* | 142,600 | 7,087 | ||||||
Discovery Communications, Cl A* | 78,600 | 4,748 | ||||||
Expedia | 5,500 | 340 | ||||||
Foot Locker | 88,900 | 3,186 | ||||||
Ford Motor | 167,800 | 1,921 | ||||||
Fossil* | 65,976 | 5,703 | ||||||
GameStop, Cl A (A) | 128,600 | 3,376 | ||||||
Gannett (A) | 159,400 | 2,853 | ||||||
Gap | 157,800 | 5,438 | ||||||
General Motors* | 66,100 | 1,711 | ||||||
Guess? (A) | 14,600 | 378 | ||||||
Harley-Davidson | 172,615 | 8,106 | ||||||
Harman International Industries | 16,300 | 645 | ||||||
Home Depot | 100,910 | 6,566 | ||||||
ITT Educational Services* (A) | 14,800 | 268 | ||||||
Kohl’s | 61,600 | 2,751 | ||||||
Lear | 60,600 | 2,646 | ||||||
Liberty Interactive, Cl A* | 443,950 | 8,568 | ||||||
Lowe’s | 392,821 | 14,177 | ||||||
Macy’s | 84,000 | 3,251 | ||||||
Newell Rubbermaid | 10,900 | 238 | ||||||
News, Cl B | 146,980 | 3,707 | ||||||
News, Cl A | 227,840 | 5,614 | ||||||
NIKE, Cl B | 154,992 | 15,109 | ||||||
Nordstrom | 172,144 | 9,311 | ||||||
PetSmart | 13,100 | 926 | ||||||
Polaris Industries | 31,000 | 2,629 | ||||||
priceline.com* | 13,225 | 8,770 | ||||||
PulteGroup* (A) | 18,100 | 304 | ||||||
RadioShack (A) | 27,400 | 56 | ||||||
Ralph Lauren, Cl A | 27,680 | 4,348 | ||||||
Sally Beauty Holdings* | 105,600 | 2,677 | ||||||
Staples (A) | 340,275 | 3,981 | ||||||
Starbucks | 151,737 | 7,871 | ||||||
Target | 273,268 | 17,251 | ||||||
Time Warner (A) | 30,700 | 1,452 | ||||||
Time Warner Cable, Cl A | 104,790 | 9,944 | ||||||
TJX | 31,000 | 1,374 | ||||||
TRW Automotive Holdings* | 19,200 | 972 | ||||||
Tupperware Brands | 15,900 | 1,031 |
Description | Shares | Market Value ($ Thousands) | ||||||
Under Armour, Cl A* (A) | 65,320 | $ | 3,386 | |||||
Walt Disney | 193,710 | 9,620 | ||||||
Whirlpool | 70,100 | 7,139 | ||||||
Wyndham Worldwide | 75,400 | 3,701 | ||||||
|
| |||||||
269,816 | ||||||||
|
| |||||||
Consumer Staples — 9.7% |
| |||||||
Altria Group | 86,800 | 2,935 | ||||||
Anheuser-Busch InBev ADR | 89,674 | 7,889 | ||||||
Archer-Daniels-Midland | 232,700 | 6,213 | ||||||
Beam | 79,710 | 4,472 | ||||||
Bunge (A) | 4,100 | 300 | ||||||
Clorox | 11,300 | 863 | ||||||
Coca-Cola | 69,800 | 2,647 | ||||||
Coca-Cola Enterprises | 36,400 | 1,135 | ||||||
ConAgra Foods | 70,800 | 2,114 | ||||||
Constellation Brands, Cl A* | 7,800 | 280 | ||||||
Costco Wholesale | 191,972 | 19,963 | ||||||
CVS Caremark | 240,200 | 11,171 | ||||||
Dean Foods* (A) | 98,800 | 1,693 | ||||||
Dr. Pepper Snapple Group (A) | 20,000 | 897 | ||||||
Estee Lauder, Cl A | 345,402 | 20,120 | ||||||
Herbalife (A) | 18,500 | 850 | ||||||
Hillshire Brands (A) | 5,600 | 156 | ||||||
Ingredion | 35,900 | 2,332 | ||||||
Kimberly-Clark | 41,900 | 3,592 | ||||||
Kroger | 265,500 | 6,967 | ||||||
Mead Johnson Nutrition, Cl A | 191,077 | 13,030 | ||||||
Mondelez International, Cl A* | 148,700 | 3,850 | ||||||
PepsiCo | 29,700 | 2,085 | ||||||
Philip Morris International | 124,180 | 11,161 | ||||||
Procter & Gamble | 93,700 | 6,543 | ||||||
Reynolds American | 16,200 | 708 | ||||||
Safeway (A) | 74,500 | 1,274 | ||||||
Smithfield Foods* | 85,400 | 1,910 | ||||||
SUPERVALU (A) | 60,800 | 145 | ||||||
Tyson Foods, Cl A | 246,100 | 4,718 | ||||||
Walgreen | 436,000 | 14,785 | ||||||
Wal-Mart Stores | 73,200 | 5,272 | ||||||
Whole Foods Market | 134,156 | 12,525 | ||||||
|
| |||||||
174,595 | ||||||||
|
| |||||||
Energy — 10.3% |
| |||||||
Alpha Natural Resources* (A) | 168,200 | 1,258 | ||||||
Apache | 19,600 | 1,511 | ||||||
Canadian Natural Resources | 75,745 | 2,158 | ||||||
Chevron | 253,600 | 26,803 | ||||||
Cobalt International Energy* | 1,400 | 33 | ||||||
ConocoPhillips | 268,040 | 15,262 | ||||||
Core Laboratories (A) | 55,877 | 5,765 | ||||||
EOG Resources | 107,750 | 12,673 | ||||||
Exxon Mobil | 417,900 | 36,834 | ||||||
FMC Technologies* | 157,595 | 6,439 | ||||||
Hess | 33,000 | 1,637 | ||||||
HollyFrontier | 99,000 | 4,488 | ||||||
Kinder Morgan | 302,946 | 10,242 | ||||||
Marathon Oil | 100,900 | 3,113 | ||||||
Marathon Petroleum (A) | 199,900 | 11,902 | ||||||
Murphy Oil | 118,800 | 6,741 | ||||||
Nabors Industries* | 24,200 | 356 | ||||||
National Oilwell Varco | 32,100 | 2,193 |
1 | SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Newfield Exploration* | 17,500 | $ | 426 | |||||
Noble Energy | 48,710 | 4,761 | ||||||
Occidental Petroleum | 20,100 | 1,512 | ||||||
Patterson-UTI Energy (A) | 80,300 | 1,426 | ||||||
Phillips 66 | 140,600 | 7,363 | ||||||
Schlumberger | 159,408 | 11,417 | ||||||
Valero Energy | 245,100 | 7,907 | ||||||
Western Refining (A) | 55,800 | 1,621 | ||||||
|
| |||||||
185,841 | ||||||||
|
| |||||||
Financials — 14.8% | ||||||||
ACE | 25,000 | 1,981 | ||||||
Aflac | 100,600 | 5,331 | ||||||
Allied World Assurance Holdings | 25,700 | 2,086 | ||||||
Allstate | 174,600 | 7,068 | ||||||
American Capital* | 140,400 | 1,682 | ||||||
American Express | 19,000 | 1,062 | ||||||
American Financial Group | 32,294 | 1,280 | ||||||
Ameriprise Financial | 108,800 | 6,601 | ||||||
Annaly Capital Management‡ | 65,800 | 969 | ||||||
Associated Banc (A) | 95,600 | 1,228 | ||||||
Assurant | 146,200 | 5,001 | ||||||
AvalonBay Communities‡ | 1,800 | 237 | ||||||
Axis Capital Holdings | 15,700 | 565 | ||||||
Bank of America | 794,400 | 7,833 | ||||||
Bank of New York Mellon | 135,900 | 3,254 | ||||||
Berkshire Hathaway, Cl B* | 30,900 | 2,722 | ||||||
BlackRock, Cl A | 1,000 | 197 | ||||||
Boston Properties‡ (A) | 2,900 | 298 | ||||||
Brandywine Realty Trust‡ | 56,000 | 668 | ||||||
Capital One Financial | 236,730 | 13,635 | ||||||
CBL & Associates Properties‡ (A) | 65,600 | 1,477 | ||||||
Charles Schwab | 444,610 | 5,824 | ||||||
Citigroup | 371,300 | 12,836 | ||||||
CME Group, Cl A | 87,850 | 4,855 | ||||||
CNA Financial | 21,600 | 610 | ||||||
Comerica | 6,000 | 178 | ||||||
Commerce Bancshares (A) | 9,067 | 324 | ||||||
Discover Financial Services | 237,700 | 9,891 | ||||||
Endurance Specialty Holdings | 19,600 | 788 | ||||||
Equity Residential‡ | 5,800 | 322 | ||||||
Everest Re Group | 53,100 | 5,760 | ||||||
Fifth Third Bancorp | 511,000 | 7,481 | ||||||
Goldman Sachs Group | 84,500 | 9,953 | ||||||
Hartford Financial Services Group | 64,800 | 1,372 | ||||||
HCC Insurance Holdings | 12,700 | 468 | ||||||
HCP‡ | 8,000 | 360 | ||||||
Health Care‡ | 4,000 | 235 | ||||||
Hospitality Properties Trust‡ | 35,500 | 806 | ||||||
Host Hotels & Resorts‡ | 14,300 | 210 | ||||||
Huntington Bancshares | 965,100 | 5,935 | ||||||
IntercontinentalExchange* | 62,000 | 8,193 | ||||||
JPMorgan Chase | 742,040 | 30,483 | ||||||
Keycorp | 1,026,000 | 8,290 | ||||||
Kimco Realty‡ (A) | 5,500 | 106 | ||||||
Lincoln National | 196,200 | 4,846 | ||||||
Loews | 4,000 | 164 | ||||||
Macerich‡ | 1,800 | 102 | ||||||
MetLife | 51,400 | 1,706 |
Description | Shares | Market Value ($ Thousands) | ||||||
Montpelier Re Holdings | 49,200 | $ | 1,077 | |||||
Morgan Stanley | 42,300 | 714 | ||||||
PartnerRe | 63,500 | 5,263 | ||||||
PNC Financial Services Group | 53,200 | 2,987 | ||||||
Popular* | 35,860 | 709 | ||||||
Progressive (A) | 361,375 | 7,679 | ||||||
Prologis‡ | 9,000 | 305 | ||||||
Protective Life (A) | 97,200 | 2,639 | ||||||
Prudential Financial | 47,300 | 2,465 | ||||||
Public Storage‡ | 2,700 | 380 | ||||||
Regions Financial | 545,200 | 3,636 | ||||||
Reinsurance Group of America, Cl A | 38,000 | 1,946 | ||||||
RenaissanceRe Holdings | 16,000 | 1,324 | ||||||
Simon Property Group‡ | 6,200 | 943 | ||||||
SLM | 212,500 | 3,517 | ||||||
State Street | 44,100 | 1,960 | ||||||
SunTrust Banks | 112,140 | 3,045 | ||||||
Travelers | 128,000 | 9,065 | ||||||
Unum Group (A) | 118,500 | 2,416 | ||||||
US Bancorp | 122,500 | 3,952 | ||||||
Validus Holdings (A) | 31,300 | 1,110 | ||||||
Ventas‡ | 4,915 | 313 | ||||||
Vornado Realty Trust‡ | 3,600 | 275 | ||||||
Wells Fargo | 657,400 | 21,701 | ||||||
Weyerhaeuser‡ | 11,100 | 306 | ||||||
|
| |||||||
267,000 | ||||||||
|
| |||||||
Health Care — 11.7% | ||||||||
Abbott Laboratories | 75,700 | 4,920 | ||||||
Aetna | 172,100 | 7,433 | ||||||
Alexion Pharmaceuticals* | 26,570 | 2,551 | ||||||
Allergan | 146,550 | 13,593 | ||||||
Amgen (A) | 238,798 | 21,205 | ||||||
Baxter International | 20,800 | 1,378 | ||||||
Boston Scientific* | 172,700 | 957 | ||||||
Cardinal Health | 62,700 | 2,536 | ||||||
Celgene* | 184,300 | 14,484 | ||||||
Charles River Laboratories International* | 8,600 | 330 | ||||||
CIGNA | 20,700 | 1,082 | ||||||
Community Health Systems* | 29,300 | 863 | ||||||
Covance* | 97,721 | 5,571 | ||||||
Covidien | 67,900 | 3,946 | ||||||
DaVita* | 47,548 | 5,135 | ||||||
Eli Lilly | 79,800 | 3,913 | ||||||
Endo Health Solutions* | 14,300 | 410 | ||||||
Express Scripts Holding* | 183,057 | 9,858 | ||||||
Forest Laboratories* | 3,100 | 110 | ||||||
HCA Holdings | 96,100 | 3,051 | ||||||
Hill-Rom Holdings | 14,700 | 411 | ||||||
Humana | 87,570 | 5,728 | ||||||
Idexx Laboratories* (A) | 53,650 | 5,015 | ||||||
Intuitive Surgical* | 13,409 | 7,093 | ||||||
Johnson & Johnson (A) | 94,500 | 6,589 | ||||||
McKesson | 45,200 | 4,270 | ||||||
Medtronic | 21,900 | 922 | ||||||
Merck | 251,800 | 11,155 | ||||||
Novo Nordisk ADR | 47,480 | 7,534 | ||||||
Omnicare | 55,400 | 2,008 | ||||||
Perrigo | 42,650 | 4,414 |
2 | SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Pfizer | 1,068,060 | $ | 26,723 | |||||
Quest Diagnostics | 7,600 | 439 | ||||||
United Therapeutics* | 59,500 | 3,127 | ||||||
UnitedHealth Group | 138,200 | 7,517 | ||||||
Vertex Pharmaceuticals* | 6,300 | 251 | ||||||
Warner Chilcott, Cl A | 487,800 | 5,688 | ||||||
WellPoint | 128,300 | 7,172 | ||||||
Zimmer Holdings | 46,400 | 3,061 | ||||||
|
| |||||||
212,443 | ||||||||
|
| |||||||
Industrials — 8.2% | ||||||||
3M | 1,200 | 109 | ||||||
AECOM Technology* | 26,200 | 592 | ||||||
AGCO* | 88,400 | 4,080 | ||||||
Alliant Techsystems | 19,756 | 1,185 | ||||||
Avery Dennison | 11,200 | 374 | ||||||
Caterpillar | 69,025 | 5,884 | ||||||
Cintas | 2,600 | 108 | ||||||
Copa Holdings, Cl A | 15,900 | 1,508 | ||||||
Danaher | 132,760 | 7,165 | ||||||
Deere | 36,700 | 3,085 | ||||||
Delta Air Lines* | 407,400 | 4,074 | ||||||
Engility Holdings* | 6,500 | 119 | ||||||
Exelis | 16,200 | 183 | ||||||
FedEx | 19,100 | 1,710 | ||||||
Fluor | 133,783 | 7,101 | ||||||
General Cable* | 11,300 | 325 | ||||||
General Dynamics | 21,400 | 1,423 | ||||||
General Electric | 737,600 | 15,586 | ||||||
Harsco | 9,800 | 197 | ||||||
Ingersoll-Rand | 14,100 | 688 | ||||||
ITT | 52,500 | 1,174 | ||||||
Kansas City Southern | 55,350 | 4,326 | ||||||
KBR | 50,600 | 1,407 | ||||||
L-3 Communications Holdings, Cl 3 | 77,200 | 5,933 | ||||||
Lockheed Martin | 47,500 | 4,432 | ||||||
Norfolk Southern | 30,300 | 1,830 | ||||||
Northrop Grumman | 150,300 | 10,025 | ||||||
Oshkosh Truck* | 1,500 | 44 | ||||||
Pall | 126,200 | 7,506 | ||||||
Parker Hannifin | 16,800 | 1,380 | ||||||
Pentair | 149,450 | 7,247 | ||||||
Precision Castparts | 36,534 | 6,700 | ||||||
Raytheon | 145,100 | 8,290 | ||||||
Roper Industries | 65,167 | 7,268 | ||||||
RR Donnelley & Sons (A) | 91,000 | 855 | ||||||
Southwest Airlines | 281,500 | 2,682 | ||||||
Stericycle* | 78,653 | 7,352 | ||||||
Textron | 42,200 | 991 | ||||||
Timken | 54,300 | 2,446 | ||||||
Union Pacific | 67,800 | 8,324 | ||||||
United Continental Holdings* (A) | 71,800 | 1,452 | ||||||
Waste Management (A) | 31,800 | 1,036 | ||||||
|
| |||||||
148,196 | ||||||||
|
| |||||||
Information Technology — 21.0% | ||||||||
Accenture, Cl A | 159,344 | 10,823 | ||||||
Adobe Systems* | 548,018 | 18,967 | ||||||
Altera | 156,100 | 5,056 |
Description | Shares | Market Value ($ Thousands) | ||||||
Amdocs | 83,000 | $ | 2,777 | |||||
Amphenol, Cl A | 98,773 | 6,116 | ||||||
Ansys* | 65,595 | 4,351 | ||||||
Apple | 88,561 | 51,833 | ||||||
Autodesk* | 304,286 | 10,081 | ||||||
Avnet* | 3,100 | 91 | ||||||
BMC Software* | 226,350 | 9,271 | ||||||
Broadridge Financial Solutions | 7,900 | 186 | ||||||
Brocade Communications Systems* | 296,800 | 1,686 | ||||||
CA | 204,100 | 4,523 | ||||||
Cisco Systems | 539,300 | 10,198 | ||||||
Citrix Systems* | 67,501 | 4,128 | ||||||
Cognizant Technology Solutions, Cl A* | 104,662 | 7,036 | ||||||
Comverse* | 4 | — | ||||||
Comverse Technology* | 43 | — | ||||||
CoreLogic* | 36,200 | 935 | ||||||
Corning | 177,200 | 2,167 | ||||||
Dell (A) | 149,100 | 1,437 | ||||||
EMC* | 364,300 | 9,042 | ||||||
Facebook, Cl A* (A) | 108,490 | 3,038 | ||||||
Fidelity National Information Services | 33,900 | 1,224 | ||||||
Fiserv* (A) | 8,200 | 631 | ||||||
Genpact | 237,895 | 3,818 | ||||||
Google, Cl A* | 29,939 | 20,908 | ||||||
Harris | 23,600 | 1,112 | ||||||
Hewlett-Packard | 129,700 | 1,685 | ||||||
IAC | 25,500 | 1,202 | ||||||
Ingram Micro, Cl A* | 79,300 | 1,285 | ||||||
Intel | 656,758 | 12,853 | ||||||
International Business Machines | 56,875 | 10,810 | ||||||
Intuit | 216,535 | 12,973 | ||||||
Jabil Circuit | 10,900 | 207 | ||||||
Lender Processing Services | 100,100 | 2,487 | ||||||
Marvell Technology Group | 59,100 | 501 | ||||||
Mastercard, Cl A | 54,235 | 26,504 | ||||||
Microsoft | 385,700 | 10,267 | ||||||
Motorola Solutions | 27,000 | 1,470 | ||||||
National Instruments | 152,475 | 3,708 | ||||||
NetApp* | 186,640 | 5,918 | ||||||
Oracle | 352,794 | 11,325 | ||||||
Polycom* | 231,725 | 2,424 | ||||||
Qualcomm | 477,355 | 30,370 | ||||||
SAIC (A) | 269,000 | 3,102 | ||||||
Salesforce.com* (A) | 36,474 | 5,751 | ||||||
Seagate Technology (A) | 41,100 | 1,032 | ||||||
Symantec* | 132,400 | 2,484 | ||||||
TE Connectivity | 29,200 | 1,027 | ||||||
Tech Data* | 46,300 | 2,045 | ||||||
Teradata* | 92,600 | 5,508 | ||||||
Texas Instruments (A) | 71,960 | 2,121 | ||||||
Total System Services | 11,300 | 248 | ||||||
VeriFone Holdings* | 96,900 | 2,945 | ||||||
VeriSign* | 148,450 | 5,067 | ||||||
Visa, Cl A | 93,525 | 14,002 | ||||||
Vishay Intertechnology* (A) | 90,200 | 875 | ||||||
Western Digital | 100,900 | 3,374 | ||||||
Xerox | 231,800 | 1,580 |
3 | SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Yahoo!* | 38,800 | $ | 728 | |||||
|
| |||||||
379,313 | ||||||||
|
| |||||||
Materials — 2.9% | ||||||||
Agrium | 38,000 | 3,877 | ||||||
Ashland (A) | 9,500 | 674 | ||||||
CF Industries Holdings | 33,700 | 7,213 | ||||||
Commercial Metals | 21,900 | 297 | ||||||
Domtar | 29,100 | 2,331 | ||||||
Dow Chemical | 125,100 | 3,777 | ||||||
Eastman Chemical | 24,000 | 1,460 | ||||||
Ecolab | 35,465 | 2,556 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 43,500 | 1,697 | ||||||
Huntsman | 342,700 | 5,634 | ||||||
LyondellBasell Industries, Cl A | 66,600 | 3,312 | ||||||
Monsanto | 76,390 | 6,996 | ||||||
Newmont Mining | 6,400 | 301 | ||||||
Owens-Illinois* | 45,900 | 920 | ||||||
PPG Industries | 4,000 | 497 | ||||||
Rock-Tenn, Cl A | 12,550 | 816 | ||||||
Sherwin-Williams | 22,140 | 3,377 | ||||||
Steel Dynamics | 64,000 | 827 | ||||||
Syngenta ADR | 85,566 | 6,843 | ||||||
|
| |||||||
53,405 | ||||||||
|
| |||||||
Telecommunication Services — 2.4% | ||||||||
AT&T | 428,200 | 14,614 | ||||||
Crown Castle International* | 328,415 | 22,175 | ||||||
MetroPCS Communications* | 43,500 | 463 | ||||||
Verizon Communications | 130,000 | 5,736 | ||||||
|
| |||||||
42,988 | ||||||||
|
| |||||||
Utilities — 1.9% | ||||||||
AES | 323,300 | 3,450 | ||||||
Ameren | 181,800 | 5,449 | ||||||
American Electric Power | 134,100 | 5,719 | ||||||
Consolidated Edison | 5,300 | 296 | ||||||
DTE Energy | 7,500 | 454 | ||||||
Duke Energy | 8,100 | 517 | ||||||
Edison International | 73,200 | 3,329 | ||||||
Entergy | 99,200 | 6,303 | ||||||
Exelon | 40,800 | 1,233 | ||||||
NV Energy | 84,000 | 1,540 | ||||||
Pinnacle West Capital | 6,200 | 319 | ||||||
Public Service Enterprise Group | 181,000 | 5,446 | ||||||
|
| |||||||
34,055 | ||||||||
|
| |||||||
Total Common Stock | 1,767,652 | |||||||
|
| |||||||
Number Of | ||||||||
WARRANTS — 0.0% | ||||||||
Kinder Morgan, Expires 2017 | 110,000 | 416 | ||||||
|
| |||||||
Total Warrants | 416 | |||||||
|
| |||||||
CASH EQUIVALENTS — 5.3% | ||||||||
Investors Cash Trust - Treasury Portfolio - DWS US Treasury Money Fund | 1,180,869 | 1,181 |
Description | Shares | Market Value ($ Thousands) | ||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | $ | 94,706,670 | $ | 94,707 | ||||
|
| |||||||
Total Cash Equivalents | 95,888 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 4.7% |
| |||||||
SEI Liquidity Fund, L.P. | 84,358,158 | 84,358 | ||||||
|
| |||||||
Total Affiliated Partnership | 84,358 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C) — 0.1% |
| |||||||
U.S. Treasury Bills | ||||||||
0.125%, 02/07/2013 | 570 | 570 | ||||||
0.120%, 06/27/2013 | 637 | 636 | ||||||
0.078%, 01/31/2013 | 1,203 | 1,203 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 2,409 | |||||||
|
| |||||||
Total Investments — 107.9% | $ | 1,950,723 | ||||||
|
|
Percentages are based on a Net Assets of $1,807,770 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 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 November 30, 2012. The total value of securities on loan at November 30, 2012 was $82,113 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2012 was $84,358 ($ Thousands). |
(C) | 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
Amounts designated as “—” are $O or have been rounded to $O.
The following is a list of the inputs used as of November 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | 1,767,652 | — | — | 1,767,652 | ||||||||||||
Warrant | 416 | — | — | 416 | ||||||||||||
Affiliated Partnership | — | 84,358 | — | 84,358 | ||||||||||||
Cash Equivalents | 94,707 | 1,181 | — | 95,888 | ||||||||||||
U.S. Treasury Obligations | — | 2,409 | — | 2,409 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,862,775 | $ | 87,948 | $ | — | $ | 1,950,723 | ||||||||
|
|
|
|
|
|
|
|
For the period ended November 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
4 | SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund
November 30, 2012
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 $O.
The accompanying notes are an integral part of the financial statements.
5 | SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 94.8% | ||||||||
Consumer Discretionary — 17.7% | ||||||||
Aaron’s | 8,600 | $ | 247 | |||||
American Eagle Outfitters | 10,800 | 229 | ||||||
Apollo Group, Cl A* | 26,900 | 516 | ||||||
AutoNation* | 300 | 12 | ||||||
Bally Technologies* | 900 | 41 | ||||||
Bed Bath & Beyond* | 31,803 | 1,867 | ||||||
Big Lots* | 1,100 | 31 | ||||||
Brinker International | 600 | 18 | ||||||
Cablevision Systems, Cl A | 41,315 | 572 | ||||||
Carnival | 1,300 | 50 | ||||||
Carter’s* | 2,400 | 127 | ||||||
CBS, Cl B | 11,500 | 414 | ||||||
Charter Communications, Cl A* | 1,500 | 106 | ||||||
Chico’s FAS | 19,100 | 356 | ||||||
Cinemark Holdings | 900 | 24 | ||||||
Coach | 37,202 | 2,152 | ||||||
Comcast, Cl A | 38,800 | 1,443 | ||||||
Delphi Automotive* | 18,775 | 638 | ||||||
Dillard’s, Cl A | 3,000 | 267 | ||||||
DIRECTV* | 17,900 | 890 | ||||||
Discovery Communications, Cl A* | 1,900 | 115 | ||||||
Dollar General* | 1,300 | 65 | ||||||
Dollar Tree* | 6,700 | 280 | ||||||
DR Horton | 15,400 | 300 | ||||||
DSW, Cl A | 200 | 14 | ||||||
Dunkin’ Brands Group | 2,900 | 92 | ||||||
Expedia | 3,500 | 216 | ||||||
Foot Locker | 21,300 | 763 | ||||||
Gap | 38,400 | 1,323 | ||||||
Gentex | 34,530 | 613 | ||||||
GNC Holdings, Cl A | 3,100 | 109 | ||||||
H&R Block | 2,800 | 51 | ||||||
Harley-Davidson | 1,100 | 52 | ||||||
Home Depot | 37,700 | 2,453 | ||||||
Jarden | 2,200 | 116 | ||||||
Lamar Advertising, Cl A* | 400 | 16 | ||||||
Lear | 7,100 | 310 | ||||||
Lennar, Cl A | 7,100 | 270 | ||||||
Liberty Global, Cl A* | 800 | 45 | ||||||
Liberty Interactive, Cl A* | 102,575 | 1,980 | ||||||
Liberty Media - Liberty Capital, Cl A* | 400 | 44 | ||||||
Lowe’s | 110,337 | 3,982 | ||||||
Macy’s | 6,800 | 263 | ||||||
Madison Square Garden, Cl A* | 3,100 | 136 | ||||||
Marriott International, Cl A | 13,200 | 479 | ||||||
Mattel | 5,400 | 203 | ||||||
McGraw-Hill | 13,555 | 720 | ||||||
Michael Kors Holdings* | 700 | 37 | ||||||
Mohawk Industries* | 500 | 43 | ||||||
Newell Rubbermaid | 400 | 9 | ||||||
News, Cl A | 29,800 | 734 | ||||||
NIKE, Cl B | 35,416 | 3,453 | ||||||
Nordstrom | 38,052 | 2,058 | ||||||
NVR* | 200 | 180 | ||||||
Omnicom Group | 2,800 | 139 | ||||||
O’Reilly Automotive* | 1,900 | 179 | ||||||
PetSmart | 2,700 | 191 | ||||||
priceline.com* | 3,475 | 2,304 |
Description | Shares | Market Value ($ Thousands) | ||||||
PulteGroup* | 9,900 | $ | 166 | |||||
Ross Stores | 12,100 | 689 | ||||||
Sally Beauty Holdings* | 31,075 | 788 | ||||||
Scripps Networks Interactive, Cl A | 3,600 | 212 | ||||||
Service International | 4,900 | 68 | ||||||
Staples | 118,660 | 1,388 | ||||||
Starbucks | 700 | 36 | ||||||
Target | 39,258 | 2,478 | ||||||
Thomson Reuters | 4,400 | 121 | ||||||
Time Warner Cable, Cl A | 14,300 | 1,357 | ||||||
TJX | 63,200 | 2,802 | ||||||
Toll Brothers* | 6,400 | 204 | ||||||
TripAdvisor* | 2,400 | 92 | ||||||
Ulta Salon Cosmetics & Fragrance | 700 | 70 | ||||||
Under Armour, Cl A* | 2,300 | 119 | ||||||
Walt Disney | 78,419 | 3,894 | ||||||
Whirlpool | 3,900 | 397 | ||||||
Wyndham Worldwide | 22,800 | 1,119 | ||||||
Yum! Brands | 2,600 | 175 | ||||||
|
| |||||||
50,512 | ||||||||
|
| |||||||
Consumer Staples — 7.8% | ||||||||
Altria Group | 16,000 | 541 | ||||||
Archer-Daniels-Midland | 18,600 | 497 | ||||||
Beam | 3,900 | 219 | ||||||
Brown-Forman, Cl B | 900 | 63 | ||||||
Campbell Soup | 25,900 | 952 | ||||||
Church & Dwight | 3,300 | 179 | ||||||
Coca-Cola | 29,330 | 1,112 | ||||||
Colgate-Palmolive | 9,325 | 1,012 | ||||||
Costco Wholesale | 22,438 | 2,333 | ||||||
CVS Caremark | 27,300 | 1,270 | ||||||
Dean Foods* | 24,000 | 411 | ||||||
Dr. Pepper Snapple Group | 300 | 13 | ||||||
Estee Lauder, Cl A | 36,265 | 2,113 | ||||||
Fresh Market* | 1,200 | 62 | ||||||
Herbalife | 7,600 | 349 | ||||||
Hershey | 800 | 58 | ||||||
Ingredion | 5,300 | 344 | ||||||
Kimberly-Clark | 4,200 | 360 | ||||||
Kroger | 35,900 | 942 | ||||||
Lorillard | 2,700 | 327 | ||||||
McCormick | 2,600 | 168 | ||||||
Monster Beverage* | 9,300 | 484 | ||||||
PepsiCo | 6,775 | 476 | ||||||
Philip Morris International | 20,900 | 1,879 | ||||||
Unilever | 13,155 | 498 | ||||||
Walgreen | 71,175 | 2,414 | ||||||
Wal-Mart Stores | 16,930 | 1,219 | ||||||
Whole Foods Market | 22,559 | 2,106 | ||||||
|
| |||||||
22,401 | ||||||||
|
| |||||||
Energy — 7.1% | ||||||||
Apache | 9,660 | 745 | ||||||
Baker Hughes | 15,480 | 668 | ||||||
Chesapeake Energy | 33,730 | 575 | ||||||
Chevron | 8,500 | 898 | ||||||
ConocoPhillips | 17,900 | 1,019 | ||||||
EOG Resources | 24,850 | 2,923 | ||||||
Exxon Mobil | 52,910 | 4,664 | ||||||
HollyFrontier | 25,200 | 1,142 |
1 | SEI Institutional Investments Trust / Semi-Annual Report/ November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Kinder Morgan | 82,306 | $ | 2,783 | |||||
Marathon Petroleum | 16,600 | 988 | ||||||
Murphy Oil | 19,170 | 1,088 | ||||||
Pioneer Natural Resources | 100 | 11 | ||||||
Schlumberger | 9,305 | 666 | ||||||
Spectra Energy | 3,300 | 92 | ||||||
Tesoro | 1,300 | 55 | ||||||
Valero Energy | 28,400 | 916 | ||||||
Western Refining | 10,200 | 296 | ||||||
Williams | 22,500 | 739 | ||||||
|
| |||||||
20,268 | ||||||||
|
| |||||||
Financials — 11.1% | ||||||||
Aflac | 21,880 | 1,159 | ||||||
Alleghany* | 100 | 35 | ||||||
Allied World Assurance Holdings | 6,400 | 520 | ||||||
Allstate | 12,300 | 498 | ||||||
American Capital* | 13,300 | 159 | ||||||
American Capital Agency‡ | 12,600 | 398 | ||||||
American Express | 12,825 | 717 | ||||||
American International Group* | 5,200 | 172 | ||||||
American Tower, Cl A‡ | 4,500 | 337 | ||||||
Ameriprise Financial | 5,100 | 310 | ||||||
Apartment Investment & Management, Cl A‡ | 2,700 | 68 | ||||||
Arthur J Gallagher | 1,100 | 40 | ||||||
Associated Banc | 4,600 | 59 | ||||||
Bank of America | 8,500 | 84 | ||||||
BB&T | 37,200 | 1,048 | ||||||
BlackRock, Cl A | 1,400 | 276 | ||||||
Brandywine Realty Trust‡ | 7,500 | 89 | ||||||
Brown & Brown | 3,400 | 91 | ||||||
Camden Property Trust‡ | 200 | 13 | ||||||
Capital One Financial | 3,300 | 190 | ||||||
Capitol Federal Financial | 1,800 | 21 | ||||||
CBL & Associates Properties‡ | 6,100 | 137 | ||||||
CBRE Group, Cl A* | 45,360 | 858 | ||||||
Charles Schwab | 9,800 | 128 | ||||||
Cincinnati Financial | 7,600 | 308 | ||||||
Citigroup | 15,700 | 543 | ||||||
City National | 1,700 | 83 | ||||||
CME Group, Cl A | 20,375 | 1,126 | ||||||
Comerica | 2,900 | 86 | ||||||
DDR‡ | 3,900 | 60 | ||||||
Digital Realty Trust‡ | 2,000 | 129 | ||||||
Discover Financial Services | 33,800 | 1,406 | ||||||
Douglas Emmett‡ | 5,700 | 129 | ||||||
Duke Realty‡ | 10,200 | 138 | ||||||
East West Bancorp | 600 | 13 | ||||||
Everest Re Group | 7,700 | 835 | ||||||
Extra Space Storage‡ | 4,800 | 169 | ||||||
Federal Realty Investment Trust‡ | 600 | 62 | ||||||
Federated Investors, Cl B | 4,000 | 79 | ||||||
Fidelity National Financial, Cl A | 38,955 | 943 | ||||||
Fifth Third Bancorp | 36,100 | 528 | ||||||
First Republic Bank | 3,800 | 129 | ||||||
General Growth Properties‡ | 11,000 | 213 | ||||||
Goldman Sachs Group | 8,000 | 942 | ||||||
HCC Insurance Holdings | 2,800 | 103 | ||||||
HCP‡ | 400 | 18 | ||||||
Health Care‡ | 400 | 24 | ||||||
Howard Hughes* | 1,300 | 96 | ||||||
Hudson City Bancorp | 3,200 | 26 |
Description | Shares | Market Value ($ Thousands) | ||||||
Huntington Bancshares | 116,200 | $ | 715 | |||||
IntercontinentalExchange* | 14,250 | 1,883 | ||||||
Invesco | 5,400 | 135 | ||||||
JPMorgan Chase | 23,600 | 969 | ||||||
Keycorp | 93,000 | 751 | ||||||
Kilroy Realty‡ | 4,200 | 189 | ||||||
Lazard, Cl A | 27,244 | 802 | ||||||
Liberty Property Trust‡ | 1,700 | 59 | ||||||
LPL Financial Holdings | 2,100 | 59 | ||||||
M&T Bank | 500 | 49 | ||||||
Macerich‡ | 300 | 17 | ||||||
MFA Mortgage Investments‡ | 11,900 | 100 | ||||||
MSCI, Cl A* | 16,540 | 480 | ||||||
Northern Trust | 700 | 34 | ||||||
PartnerRe | 2,000 | 166 | ||||||
Post Properties‡ | 1,700 | 83 | ||||||
Progressive | 83,750 | 1,780 | ||||||
Prologis‡ | 1,100 | 37 | ||||||
Protective Life | 1,900 | 52 | ||||||
Raymond James Financial | 1,100 | 42 | ||||||
Realty Income‡ | 5,200 | 212 | ||||||
Regency Centers‡ | 3,000 | 141 | ||||||
Regions Financial | 121,200 | 808 | ||||||
Simon Property Group‡ | 600 | 91 | ||||||
SunTrust Banks | 6,200 | 168 | ||||||
SVB Financial Group* | 900 | 50 | ||||||
T. Rowe Price Group | 200 | 13 | ||||||
Taubman Centers‡ | 2,900 | 225 | ||||||
Torchmark | 2,800 | 146 | ||||||
Travelers | 6,600 | 467 | ||||||
US Bancorp | 41,200 | 1,329 | ||||||
Validus Holdings | 400 | 14 | ||||||
Ventas‡ | 800 | 51 | ||||||
Washington Federal | 3,100 | 50 | ||||||
Weingarten Realty Investors‡ | 4,300 | 117 | ||||||
Wells Fargo | 58,200 | 1,921 | ||||||
Weyerhaeuser‡ | 62,575 | 1,725 | ||||||
White Mountains Insurance Group | 300 | 155 | ||||||
|
| |||||||
31,680 | ||||||||
|
| |||||||
Health Care — 11.1% | ||||||||
Abbott Laboratories | 3,800 | 247 | ||||||
Aetna | 19,200 | 829 | ||||||
Agilent Technologies | 1,100 | 42 | ||||||
Alexion Pharmaceuticals* | 9,500 | 912 | ||||||
Allergan | 26,100 | 2,421 | ||||||
Amgen | 40,539 | 3,600 | ||||||
Ariad Pharmaceuticals* | 6,900 | 154 | ||||||
Biogen Idec* | 6,100 | 910 | ||||||
C.R. Bard | 2,600 | 257 | ||||||
Cardinal Health | 9,100 | 368 | ||||||
Catamaran* | 8,600 | 419 | ||||||
Celgene* | 48,244 | 3,792 | ||||||
Charles River Laboratories International* | 800 | 31 | ||||||
Community Health Systems* | 2,800 | 82 | ||||||
Covidien | 7,200 | 418 | ||||||
DaVita* | 3,000 | 324 | ||||||
Edwards Lifesciences* | 4,600 | 399 | ||||||
Express Scripts Holding* | 10,900 | 587 | ||||||
Forest Laboratories* | 26,980 | 957 | ||||||
HCA Holdings | 8,100 | 257 |
2 | SEI Institutional Investments Trust / Semi-Annual Report/ November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Hologic* | 27,240 | $ | 520 | |||||
Humana | 11,600 | 759 | ||||||
Idexx Laboratories* | 200 | 19 | ||||||
Incyte* | 3,200 | 56 | ||||||
Intuitive Surgical* | 900 | 476 | ||||||
Johnson & Johnson | 11,535 | 804 | ||||||
McKesson | 10,000 | 945 | ||||||
Medivation* | 3,800 | 198 | ||||||
Merck | 4,800 | 213 | ||||||
Mylan Laboratories* | 1,100 | 30 | ||||||
Novo Nordisk ADR | 11,000 | 1,745 | ||||||
Patterson | 1,600 | 55 | ||||||
PerkinElmer | 5,600 | 177 | ||||||
Perrigo | 10,375 | 1,074 | ||||||
Pfizer | 122,750 | 3,071 | ||||||
QIAGEN* | 8,700 | 161 | ||||||
Regeneron Pharmaceuticals* | 3,400 | 600 | ||||||
ResMed | 1,800 | 74 | ||||||
Salix Pharmaceuticals* | 800 | 34 | ||||||
St. Jude Medical | 23,595 | 809 | ||||||
Stryker | 3,300 | 179 | ||||||
Teleflex | 10,655 | 738 | ||||||
United Therapeutics* | 500 | 26 | ||||||
UnitedHealth Group | 17,600 | 957 | ||||||
VCA Antech* | 1,600 | 33 | ||||||
Warner Chilcott, Cl A | 55,100 | 643 | ||||||
Watson Pharmaceuticals* | 800 | 70 | ||||||
Zimmer Holdings | 4,000 | 264 | ||||||
|
| |||||||
31,736 | ||||||||
|
| |||||||
Industrials — 7.6% | ||||||||
3M | 3,600 | 327 | ||||||
AGCO* | 6,800 | 314 | ||||||
Ametek | 5,500 | 205 | ||||||
Avery Dennison | 1,500 | 50 | ||||||
Boeing | 6,085 | 452 | ||||||
Carlisle | 2,400 | 136 | ||||||
Caterpillar | 9,425 | 803 | ||||||
Con-way | 800 | 23 | ||||||
Cooper Industries, Cl A | 400 | 30 | ||||||
Corrections Corp of America | 5,600 | 190 | ||||||
Covanta Holding | 1,700 | 32 | ||||||
Cummins | 3,100 | 304 | ||||||
Delta Air Lines* | 70,900 | 709 | ||||||
Dun & Bradstreet | 200 | 16 | ||||||
Emerson Electric | 13,120 | 659 | ||||||
Equifax | 5,700 | 292 | ||||||
Exelis | 1,400 | 16 | ||||||
Fastenal | 100 | 4 | ||||||
Flowserve | 700 | 97 | ||||||
Fortune Brands Home & Security* | 7,300 | 219 | ||||||
General Dynamics | 3,200 | 213 | ||||||
General Electric | 118,910 | 2,513 | ||||||
Graco | 1,400 | 69 | ||||||
GrafTech International* | 86,565 | 840 | ||||||
Honeywell International | 300 | 18 | ||||||
Hubbell, Cl B | 3,100 | 261 | ||||||
Huntington Ingalls Industries | 2,300 | 94 | ||||||
IHS, Cl A* | 1,900 | 175 | ||||||
Illinois Tool Works | 22,325 | 1,375 | ||||||
Ingersoll-Rand | 34,615 | 1,689 | ||||||
Iron Mountain | 500 | 16 |
Description | Shares | Market Value ($ Thousands) | ||||||
ITT | 34,700 | $ | 776 | |||||
JB Hunt Transport Services | 3,400 | 202 | ||||||
L-3 Communications Holdings, Cl 3 | 2,400 | 184 | ||||||
Landstar System | 800 | 40 | ||||||
Lennox International | 2,600 | 137 | ||||||
Lincoln Electric Holdings | 2,800 | 133 | ||||||
Lockheed Martin | 4,400 | 410 | ||||||
Masco | 15,200 | 258 | ||||||
Northrop Grumman | 30,030 | 2,003 | ||||||
Pall | 400 | 24 | ||||||
Raytheon | 29,400 | 1,680 | ||||||
Regal-Beloit | 1,300 | 91 | ||||||
Robert Half International | 5,300 | 150 | ||||||
Rockwell Collins | 14,625 | 836 | ||||||
Roper Industries | 300 | 33 | ||||||
Snap-on | 2,400 | 190 | ||||||
Spirit Aerosystems Holdings, Cl A* | 1,500 | 24 | ||||||
SPX | 300 | 20 | ||||||
Stanley Black & Decker | 400 | 29 | ||||||
Textron | 3,100 | 73 | ||||||
Timken | 1,400 | 63 | ||||||
Toro | 9,500 | 426 | ||||||
TransDigm Group | 2,100 | 286 | ||||||
Union Pacific | 5,700 | 700 | ||||||
United Continental Holdings* | 1,000 | 20 | ||||||
Valmont Industries | 1,100 | 154 | ||||||
Verisk Analytics, Cl A* | 8,100 | 404 | ||||||
WESCO International* | 1,500 | 97 | ||||||
|
| |||||||
21,584 | ||||||||
|
| |||||||
Information Technology — 24.1% | ||||||||
Accenture, Cl A | 12,700 | 863 | ||||||
Adobe Systems* | 153,958 | 5,329 | ||||||
Alliance Data Systems* | 2,500 | 356 | ||||||
Amdocs | 20,900 | 699 | ||||||
Amphenol, Cl A | 200 | 12 | ||||||
Ansys* | 300 | 20 | ||||||
AOL* | 4,600 | 173 | ||||||
Apple | 14,325 | 8,384 | ||||||
Autodesk* | 67,261 | 2,228 | ||||||
Automatic Data Processing | 19,450 | 1,104 | ||||||
BMC Software* | 55,175 | 2,260 | ||||||
Brocade Communications Systems* | 56,100 | 319 | ||||||
CA | 29,900 | 663 | ||||||
Cisco Systems | 133,080 | 2,516 | ||||||
Computer Sciences | 8,600 | 327 | ||||||
CoreLogic* | 17,200 | 444 | ||||||
Diebold | 800 | 24 | ||||||
Dolby Laboratories, Cl A* | 1,400 | 47 | ||||||
eBay* | 4,800 | 253 | ||||||
EMC* | 80,527 | 1,999 | ||||||
Equinix* | 2,500 | 464 | ||||||
Facebook, Cl A* | 2,700 | 76 | ||||||
Fidelity National Information Services | 5,600 | 202 | ||||||
Fiserv* | 100 | 8 | ||||||
FleetCor Technologies* | 2,400 | 125 | ||||||
Gartner* | 2,400 | 115 | ||||||
Google, Cl A* | 5,740 | 4,009 | ||||||
Harris | 5,000 | 236 |
3 | SEI Institutional Investments Trust / Semi-Annual Report/ November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Intel | 129,364 | $ | 2,532 | |||||
International Business Machines | 16,791 | 3,191 | ||||||
Intuit | 35,275 | 2,113 | ||||||
Lender Processing Services | 15,900 | 395 | ||||||
LinkedIn, Cl A* | 1,300 | 140 | ||||||
LSI* | 84,435 | 569 | ||||||
Mastercard, Cl A | 6,460 | 3,157 | ||||||
Microsoft | 128,240 | 3,414 | ||||||
Motorola Solutions | 11,900 | 648 | ||||||
NCR* | 4,000 | 96 | ||||||
Oracle | 104,894 | 3,367 | ||||||
Paychex | 5,500 | 179 | ||||||
Polycom* | 53,650 | 561 | ||||||
Qualcomm | 79,533 | 5,060 | ||||||
Red Hat* | 300 | 15 | ||||||
Riverbed Technology* | 29,815 | 534 | ||||||
SAIC | 33,800 | 390 | ||||||
Skyworks Solutions* | 10,000 | 226 | ||||||
SolarWinds* | 1,800 | 101 | ||||||
Symantec* | 47,400 | 889 | ||||||
Teradata* | 21,350 | 1,270 | ||||||
Total System Services | 19,570 | 430 | ||||||
Trimble Navigation* | 700 | 39 | ||||||
VeriFone Holdings* | 22,350 | 679 | ||||||
VeriSign* | 41,425 | 1,414 | ||||||
Visa, Cl A | 29,225 | 4,375 | ||||||
|
| |||||||
69,039 | ||||||||
|
| |||||||
Materials — 3.9% | ||||||||
Agrium | 8,100 | 826 | ||||||
Airgas | 1,800 | 160 | ||||||
Albemarle | 500 | 30 | ||||||
Ashland | 1,400 | 99 | ||||||
Cabot | 2,300 | 87 | ||||||
CF Industries Holdings | 3,700 | 792 | ||||||
Cytec Industries | 300 | 21 | ||||||
Domtar | 3,100 | 248 | ||||||
Dow Chemical | 8,600 | 260 | ||||||
E.I. du Pont de Nemours | 16,650 | 718 | ||||||
Eastman Chemical | 2,600 | 158 | ||||||
Ecolab | 5,800 | 418 | ||||||
FMC | 2,000 | 111 | ||||||
Huntsman | 32,700 | 538 | ||||||
International Paper | 100 | 4 | ||||||
LyondellBasell Industries, Cl A | 15,700 | 781 | ||||||
Newmont Mining | 23,085 | 1,087 | ||||||
Owens-Illinois* | 32,320 | 647 | ||||||
PPG Industries | 1,000 | 124 | ||||||
RPM International | 2,900 | 84 | ||||||
Sealed Air | 35,268 | 593 | ||||||
Sherwin-Williams | 4,100 | 625 | ||||||
Syngenta ADR | 19,800 | 1,583 | ||||||
Valspar | 4,300 | 270 | ||||||
WR Grace* | 13,305 | 871 | ||||||
|
| |||||||
11,135 | ||||||||
|
| |||||||
Telecommunication Services — 3.2% | ||||||||
AT&T | 30,900 | 1,055 | ||||||
Crown Castle International* | 84,120 | 5,680 | ||||||
SBA Communications, Cl A* | 5,700 | 392 | ||||||
Sprint Nextel* | 91,600 | 525 | ||||||
tw telecom, Cl A* | 5,800 | 149 |
Description | Shares | Market Value ($ Thousands) | ||||||
Verizon Communications | 33,400 | $ | 1,473 | |||||
|
| |||||||
9,274 | ||||||||
|
| |||||||
Utilities — 1.2% | ||||||||
AES | 23,900 | 255 | ||||||
Aqua America | 2,000 | 51 | ||||||
Atmos Energy | 1,100 | 39 | ||||||
DTE Energy | 1,000 | 61 | ||||||
Duke Energy | 1,073 | 69 | ||||||
Edison International | 12,300 | 560 | ||||||
Entergy | 7,900 | 502 | ||||||
FirstEnergy | 500 | 21 | ||||||
Hawaiian Electric Industries | 1,100 | 27 | ||||||
NextEra Energy | 2,900 | 199 | ||||||
NRG Energy | 1,800 | 38 | ||||||
NV Energy | 26,200 | 480 | ||||||
PG&E | 500 | 20 | ||||||
Pinnacle West Capital | 800 | 41 | ||||||
Public Service Enterprise Group | 12,800 | 385 | ||||||
SCANA | 100 | 5 | ||||||
Sempra Energy | 9,200 | 629 | ||||||
Wisconsin Energy | 500 | 19 | ||||||
|
| |||||||
3,401 | ||||||||
|
| |||||||
Total Common Stock |
| 271,030 | ||||||
|
| |||||||
EXCHANGE TRADED FUND — 0.5% |
| |||||||
SPDR Gold Trust | 8,095 | 1,344 | ||||||
|
| |||||||
Total Exchange Traded Fund |
| 1,344 | ||||||
|
| |||||||
Number Of Warrants | ||||||||
WARRANTS — 0.0% | ||||||||
Kinder Morgan, Expires 2017 | 28,240 | 107 | ||||||
|
| |||||||
Total Warrants | 107 | |||||||
|
| |||||||
CASH EQUIVALENT — 7.8% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.060%†** | 22,373,357 | 22,373 | ||||||
|
| |||||||
Total Cash Equivalent |
| 22,373 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (A) (B) — 0.3% |
| |||||||
U.S. Treasury Bills | ||||||||
0.759%, 01/31/2013 | 774 | 774 | ||||||
0.125%, 02/07/2013 | 65 | 65 | ||||||
0.120%, 06/27/2013 | 120 | 120 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 959 | |||||||
|
| |||||||
Total Investments — 103.4% | $ | 295,813 | ||||||
|
|
4 | SEI Institutional Investments Trust / Semi-Annual Report/ November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund
November 30, 2012
A list of the open futures contracts held by the Fund at November 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index EMINI | 36 | Dec-2012 | $ | 22 | ||||||||
|
| |||||||||||
$ | 22 | |||||||||||
|
|
For the year ended November 30, 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 period.
Percentages are based on a Net Assets of $285,976 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2012. |
† | Investment in Affiliated Security (see Note 3). |
‡ | 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
L.P. — Limited Partnership
S&P — Standard & Poor’s
SPDR — Standard & Poor’s Depository Receipt
SPX — Standard & Poor’s 500 Index
Amounts designated as “—” are $O or have been rounded to $O.
The following is a list of inputs used as of November 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | 271,030 | — | — | 271,030 | ||||||||||||
Exchange Traded Fund | 1,344 | — | — | 1,344 | ||||||||||||
Warrant | 107 | — | — | 107 | ||||||||||||
Cash Equivalent | 22,373 | — | — | 22,373 | ||||||||||||
U.S. Treasury Obligations | — | 959 | — | 959 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 294,854 | $ | 959 | $ | — | $ | 295,813 | ||||||||
|
|
|
|
|
|
| �� |
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 22 | $ | — | $ | — | $ | 22 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total other financial instruments | $ | 22 | $ | — | $ | — | $ | 22 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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 $0.
The accompanying notes are an integral part of the financial statements.
5 | SEI Institutional Investments Trust / Semi-Annual Report/ November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 88.8% | ||||||||
Consumer Discretionary — 11.4% | ||||||||
Aeropostale* | 126,200 | $ | 1,743 | |||||
Amazon.com* | 500 | 126 | ||||||
American Eagle Outfitters | 358,874 | 7,608 | ||||||
ANN* (A) | 39,900 | 1,339 | ||||||
Apollo Group, Cl A* | 48,300 | 927 | ||||||
AutoZone* | 83,946 | 32,216 | ||||||
Bally Technologies* | 39,460 | 1,781 | ||||||
Bed Bath & Beyond* | 2,800 | 164 | ||||||
Belo, Cl A (A) | 33,400 | 241 | ||||||
Big Lots* (A) | 54,700 | 1,540 | ||||||
Biglari Holdings* | 300 | 109 | ||||||
Brinker International | 226,083 | 6,771 | ||||||
Cablevision Systems, Cl A | 19,800 | 274 | ||||||
Carmax* (A) | 394,910 | 14,319 | ||||||
Carnival | 6,300 | 244 | ||||||
Carter’s* | 25,200 | 1,337 | ||||||
CBS, Cl B | 287,500 | 10,344 | ||||||
Chipotle Mexican Grill, Cl A* (A) | 2,200 | 580 | ||||||
Churchill Downs | 14,200 | 898 | ||||||
Coach | 147,200 | 8,514 | ||||||
Comcast, Cl A | 1,553,263 | 56,883 | ||||||
Delphi Automotive* | 476,918 | 16,210 | ||||||
Dillard’s, Cl A | 40,300 | 3,583 | ||||||
DIRECTV* | 252,757 | 12,562 | ||||||
Discovery Communications, Cl A* | 32,500 | 1,963 | ||||||
Dollar General* | 8,200 | 410 | ||||||
Dollar Tree* | 176,800 | 7,380 | ||||||
DR Horton (A) | 202,200 | 3,935 | ||||||
Expedia (A) | 85,134 | 5,266 | ||||||
Family Dollar Stores | 9,700 | 691 | ||||||
Ford Motor (A) | 2,983,590 | 34,162 | ||||||
Fossil* | 800 | 69 | ||||||
Gannett | 117,800 | 2,109 | ||||||
Gap (A) | 365,400 | 12,592 | ||||||
Genuine Parts | 400 | 26 | ||||||
H&R Block (A) | 193,500 | 3,489 | ||||||
Harley-Davidson | 31,500 | 1,479 | ||||||
Harman International Industries | 5,000 | 198 | ||||||
Hasbro (A) | 68,700 | 2,642 | ||||||
Home Depot | 640,130 | 41,653 | ||||||
Iconix Brand Group* (A) | 134,530 | 2,712 | ||||||
Interpublic Group | 21,700 | 235 | ||||||
Interval Leisure Group (A) | 7,900 | 149 | ||||||
Lear | 19,545 | 853 | ||||||
Leggett & Platt | 9,600 | 267 | ||||||
Lennar, Cl A (A) | 106,600 | 4,055 | ||||||
Liberty Interactive, Cl A* | 120,614 | 2,328 | ||||||
Limited Brands | 83,300 | 4,344 | ||||||
Lowe’s | 585,000 | 21,113 | ||||||
Macy’s | 1,101,532 | 42,629 | ||||||
Marriott International, Cl A (A) | 102,200 | 3,709 | ||||||
Marriott Vacations Worldwide* | 3,200 | 127 | ||||||
Mattel | 37,500 | 1,407 | ||||||
Matthews International, Cl A (A) | 70,320 | 2,127 | ||||||
McDonald’s | 185,532 | 16,149 | ||||||
McGraw-Hill | 468,770 | 24,896 | ||||||
Modine Manufacturing* | 201,968 | 1,495 | ||||||
Movado Group | 3,900 | 135 |
Description | Shares | Market Value ($ Thousands) | ||||||
Newell Rubbermaid | 173,865 | $ | 3,792 | |||||
News, Cl A | 97,200 | 2,395 | ||||||
NIKE, Cl B | 171,200 | 16,689 | ||||||
Omnicom Group (A) | 119,825 | 5,960 | ||||||
O’Reilly Automotive* | 47,800 | 4,497 | ||||||
Panera Bread, Cl A* | 12,800 | 2,054 | ||||||
PetSmart | 26,700 | 1,887 | ||||||
Polaris Industries | 25,700 | 2,179 | ||||||
priceline.com* | 6,800 | 4,510 | ||||||
PulteGroup* (A) | 171,900 | 2,890 | ||||||
Ross Stores | 403,205 | 22,950 | ||||||
Scripps Networks Interactive, Cl A | 29,500 | 1,742 | ||||||
Staples (A) | 22,300 | 261 | ||||||
Starbucks | 81,100 | 4,207 | ||||||
Starwood Hotels & Resorts Worldwide | 17,100 | 923 | ||||||
Target | 103,112 | 6,509 | ||||||
Tenneco* | 45,050 | 1,445 | ||||||
Texas Roadhouse, Cl A | 116,270 | 1,931 | ||||||
Thor Industries | 56,800 | 2,144 | ||||||
Time Warner (A) | 45,100 | 2,133 | ||||||
Time Warner Cable, Cl A | 24,489 | 2,324 | ||||||
TJX | 683,030 | 30,286 | ||||||
TripAdvisor* (A) | 63,700 | 2,433 | ||||||
Tupperware Brands | 24,200 | 1,569 | ||||||
Urban Outfitters* | 10,300 | 388 | ||||||
Vera Bradley* (A) | 110,900 | 3,073 | ||||||
VF (A) | 8,100 | 1,300 | ||||||
Viacom, Cl B | 876,321 | 45,227 | ||||||
Virgin Media (A) | 65,209 | 2,293 | ||||||
Walt Disney | 624,187 | 30,997 | ||||||
Whirlpool | 54,900 | 5,591 | ||||||
Wyndham Worldwide (A) | 87,000 | 4,271 | ||||||
Yum! Brands | 177,550 | 11,910 | ||||||
|
| |||||||
659,867 | ||||||||
|
| |||||||
Consumer Staples — 9.2% | ||||||||
Altria Group | 809,591 | 27,372 | ||||||
Archer-Daniels-Midland | 310,500 | 8,290 | ||||||
Beam | 25,400 | 1,425 | ||||||
Brown-Forman, Cl B | 5,700 | 400 | ||||||
Bunge (A) | 220,495 | 16,131 | ||||||
Cal-Maine Foods | 2,100 | 96 | ||||||
Campbell Soup (A) | 332,656 | 12,225 | ||||||
Central Garden and Pet, Cl A* | 206,160 | 2,418 | ||||||
Coca-Cola | 560,974 | 21,272 | ||||||
Coca-Cola Enterprises | 344,197 | 10,732 | ||||||
Colgate-Palmolive | 26,000 | 2,821 | ||||||
ConAgra Foods | 9,100 | 272 | ||||||
Costco Wholesale | 32,100 | 3,338 | ||||||
CVS Caremark | 798,633 | 37,144 | ||||||
Darling International* | 29,200 | 493 | ||||||
Dean Foods* | 268,818 | 4,608 | ||||||
Dr. Pepper Snapple Group (A) | 587,326 | 26,342 | ||||||
Estee Lauder, Cl A | 2,700 | 158 | ||||||
Herbalife | 11,100 | 510 | ||||||
Ingredion | 44,554 | 2,894 | ||||||
JM Smucker | 244,005 | 21,585 | ||||||
Kimberly-Clark | 250,227 | 21,449 | ||||||
Kraft Foods Group* | 241,440 | 10,918 | ||||||
Kroger | 280,600 | 7,363 | ||||||
Lorillard (A) | 5,500 | 667 |
1 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
McCormick | 10,400 | $ | 671 | |||||
Mead Johnson Nutrition, Cl A | 34,200 | 2,332 | ||||||
Molson Coors Brewing, Cl B | 20,595 | 854 | ||||||
Mondelez International, Cl A* | 687,253 | 17,793 | ||||||
Monster Beverage* | 63,500 | 3,305 | ||||||
PepsiCo | 294,229 | 20,658 | ||||||
Philip Morris International | 1,085,651 | 97,578 | ||||||
Procter & Gamble | 405,136 | 28,291 | ||||||
Ralcorp Holdings* | 91,785 | 8,182 | ||||||
Safeway (A) | 740,000 | 12,661 | ||||||
Sysco (A) | 438,180 | 13,868 | ||||||
Tyson Foods, Cl A | 367,000 | 7,035 | ||||||
Walgreen | 126,292 | 4,283 | ||||||
Wal-Mart Stores | 1,033,708 | 74,448 | ||||||
Whole Foods Market | 12,200 | 1,139 | ||||||
|
| |||||||
534,021 | ||||||||
|
| |||||||
Energy — 9.0% | ||||||||
Anadarko Petroleum | 8,400 | 615 | ||||||
Apache | 101,500 | 7,825 | ||||||
Bill Barrett* (A) | 95,600 | 1,661 | ||||||
Cabot Oil & Gas | 35,200 | 1,658 | ||||||
CARBO Ceramics | 600 | 46 | ||||||
Chevron | 1,232,683 | 130,282 | ||||||
ConocoPhillips | 848,279 | 48,301 | ||||||
Consol Energy | 7,100 | 223 | ||||||
Denbury Resources* | 58,500 | 903 | ||||||
Diamondback Energy* | 50,900 | 916 | ||||||
Ensco, Cl A (A) | 55,400 | 3,226 | ||||||
EOG Resources | 2,600 | 306 | ||||||
Exxon Mobil | 1,432,109 | 126,226 | ||||||
Geospace Technologies* | 2,100 | 160 | ||||||
Halliburton | 7,400 | 247 | ||||||
Helmerich & Payne | 4,100 | 214 | ||||||
Hess | 119,400 | 5,923 | ||||||
Key Energy Services* | 167,300 | 1,119 | ||||||
Kinder Morgan | 500,700 | 16,929 | ||||||
Marathon Oil | 170,677 | 5,265 | ||||||
Marathon Petroleum | 223,207 | 13,290 | ||||||
Murphy Oil | 43,100 | 2,445 | ||||||
Nabors Industries* | 56,200 | 826 | ||||||
National Oilwell Varco | 535,520 | 36,576 | ||||||
Noble | 7,000 | 242 | ||||||
Noble Energy | 220,440 | 21,548 | ||||||
Occidental Petroleum | 233,909 | 17,592 | ||||||
Peabody Energy | 258,770 | 6,498 | ||||||
Phillips 66 | 161,975 | 8,483 | ||||||
Pioneer Natural Resources (A) | 39,000 | 4,173 | ||||||
Rosetta Resources* (A) | 31,000 | 1,393 | ||||||
Rowan, Cl A* | 69,900 | 2,218 | ||||||
Schlumberger | 426,547 | 30,549 | ||||||
Spectra Energy | 39,000 | 1,090 | ||||||
Targa Resources | 31,800 | 1,593 | ||||||
Tesoro | 339,521 | 14,355 | ||||||
Tidewater | 2,500 | 112 | ||||||
Unit* | 4,900 | 220 | ||||||
Valero Energy | 10,200 | 329 | ||||||
Williams | 140,800 | 4,624 | ||||||
WPX Energy* | 24,600 | 388 | ||||||
|
| |||||||
520,589 | ||||||||
|
| |||||||
Financials — 12.9% | ||||||||
ACE | 29,900 | 2,369 |
Description | Shares | Market Value ($ Thousands) | ||||||
Aflac | 5,300 | $ | 281 | |||||
Allied World Assurance Holdings | 27,947 | 2,269 | ||||||
Allstate | 301,195 | 12,192 | ||||||
American Express | 698,854 | 39,066 | ||||||
American International Group* | 749,466 | 24,830 | ||||||
American Tower, Cl A‡ | 33,500 | 2,510 | ||||||
Ameriprise Financial | 346,076 | 20,997 | ||||||
Apartment Investment & Management, Cl A‡ | 29,300 | 735 | ||||||
Arch Capital Group* | 75,200 | 3,392 | ||||||
Associated Banc | 177,500 | 2,281 | ||||||
Assurant | 41,900 | 1,433 | ||||||
Bank of America | 2,296,193 | 22,640 | ||||||
Bank of New York Mellon | 26,238 | 628 | ||||||
BB&T | 360,617 | 10,159 | ||||||
Berkshire Hathaway, Cl B* | 89,274 | 7,863 | ||||||
BlackRock, Cl A | 39,400 | 7,763 | ||||||
Camden Property Trust‡ | 7,000 | 460 | ||||||
Capital One Financial | 275,050 | 15,843 | ||||||
CBRE Group, Cl A* | 13,400 | 254 | ||||||
Charles Schwab | 136,800 | 1,792 | ||||||
Chimera Investment‡ | 358,697 | 983 | ||||||
Chubb | 13,200 | 1,016 | ||||||
Cincinnati Financial | 115,200 | 4,668 | ||||||
CIT Group* | 908,800 | 33,671 | ||||||
Citigroup | 2,920,431 | 100,959 | ||||||
CME Group, Cl A (A) | 311,520 | 17,218 | ||||||
Comerica | 66,400 | 1,965 | ||||||
CommonWealth‡ | 60,700 | 918 | ||||||
Discover Financial Services | 708,977 | 29,500 | ||||||
E*Trade Financial* | 38,500 | 324 | ||||||
East West Bancorp | 108,300 | 2,291 | ||||||
Equity Residential‡ | 9,200 | 511 | ||||||
Essex Property Trust‡ (A) | 13,100 | 1,840 | ||||||
Everest Re Group | 1,045 | 113 | ||||||
Extra Space Storage‡ (A) | 82,900 | 2,914 | ||||||
Federal Realty Investment Trust‡ | 14,079 | 1,465 | ||||||
Federated Investors, Cl B (A) | 66,600 | 1,322 | ||||||
Fifth Third Bancorp | 126,000 | 1,845 | ||||||
First Horizon National | 185,000 | 1,750 | ||||||
Franklin Resources | 2,100 | 277 | ||||||
General Growth Properties‡ | 72,000 | 1,395 | ||||||
Genworth Financial, Cl A* | 307,900 | 1,832 | ||||||
Goldman Sachs Group | 163,947 | 19,311 | ||||||
HCP‡ (A) | 61,100 | 2,753 | ||||||
Health Care‡ | 9,500 | 559 | ||||||
Hospitality Properties Trust‡ | 63,200 | 1,435 | ||||||
Host Hotels & Resorts‡ | 120,800 | 1,775 | ||||||
Hudson City Bancorp | 189,100 | 1,524 | ||||||
Huntington Bancshares | 485,500 | 2,986 | ||||||
Inland Real Estate‡ | 50,200 | 400 | ||||||
IntercontinentalExchange* | 11,430 | 1,511 | ||||||
Invesco | 114,900 | 2,871 | ||||||
Janus Capital Group (A) | 93,400 | 766 | ||||||
Jones Lang LaSalle | 19,500 | 1,599 | ||||||
JPMorgan Chase | 1,699,541 | 69,817 | ||||||
Keycorp | 1,869,188 | 15,103 | ||||||
Kilroy Realty‡ (A) | 47,680 | 2,150 | ||||||
Kimco Realty‡ | 24,000 | 462 | ||||||
Lincoln National | 142,430 | 3,518 | ||||||
M&T Bank (A) | 32,310 | 3,518 |
2 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Macerich‡ | 48,530 | $ | 2,742 | |||||
Marsh & McLennan | 583,730 | 20,559 | ||||||
MetLife | 188,593 | 6,259 | ||||||
MFA Mortgage Investments‡ | 239,362 | 2,013 | ||||||
Mid-America Apartment Communities‡ (A) | 32,300 | 2,013 | ||||||
Moody’s (A) | 22,000 | 1,069 | ||||||
Morgan Stanley | 26,300 | 444 | ||||||
MSCI, Cl A* (A) | 209,440 | 6,074 | ||||||
Nelnet, Cl A | 20,800 | 595 | ||||||
Northern Trust | 12,400 | 596 | ||||||
PacWest Bancorp (A) | 124,510 | 3,101 | ||||||
PartnerRe | 175,521 | 14,547 | ||||||
Plum Creek Timber‡ (A) | 300,425 | 12,873 | ||||||
PNC Financial Services Group | 352,620 | 19,796 | ||||||
Popular* | 90,919 | 1,797 | ||||||
ProAssurance | 5,900 | 535 | ||||||
Progressive (A) | 10,200 | 217 | ||||||
Prologis‡ | 21,915 | 744 | ||||||
Prudential Financial | 25,500 | 1,329 | ||||||
PS Business Parks‡ (A) | 32,800 | 2,115 | ||||||
Public Storage‡ | 4,200 | 591 | ||||||
Raymond James Financial (A) | 71,400 | 2,695 | ||||||
Rayonier‡ (A) | 43,045 | 2,145 | ||||||
Realogy Holdings* | 87,500 | 3,300 | ||||||
Regions Financial | 1,337,485 | 8,921 | ||||||
RLJ Lodging Trust‡ | 5,000 | 93 | ||||||
Signature Bank NY* (A) | 40,900 | 2,869 | ||||||
Simon Property Group‡ | 29,489 | 4,486 | ||||||
SLM | 496,855 | 8,223 | ||||||
State Street | 4,600 | 205 | ||||||
SunTrust Banks | 65,500 | 1,778 | ||||||
Symetra Financial | 50,600 | 619 | ||||||
T. Rowe Price Group | 16,200 | 1,048 | ||||||
Torchmark | 51,600 | 2,683 | ||||||
Travelers | 32,700 | 2,316 | ||||||
US Bancorp | 551,144 | 17,780 | ||||||
Validus Holdings (A) | 87,900 | 3,117 | ||||||
Ventas‡ | 4,400 | 280 | ||||||
Vornado Realty Trust‡ | 16,800 | 1,284 | ||||||
Waddell & Reed Financial, Cl A | 76,800 | 2,495 | ||||||
Wells Fargo | 1,002,814 | 33,103 | ||||||
Weyerhaeuser‡ | 757,599 | 20,879 | ||||||
Winthrop Realty Trust‡ | 20,200 | 226 | ||||||
Wintrust Financial (A) | 87,060 | 3,203 | ||||||
XL Group, Cl A | 69,600 | 1,693 | ||||||
|
| |||||||
745,682 | ||||||||
|
| |||||||
Health Care — 11.6% | ||||||||
Abbott Laboratories | 669,906 | 43,544 | ||||||
Aetna | 71,200 | 3,075 | ||||||
Agilent Technologies | 33,000 | 1,263 | ||||||
Alexion Pharmaceuticals* | 68,500 | 6,578 | ||||||
Allergan | 2,900 | 269 | ||||||
AmerisourceBergen (A) | 349,481 | 14,755 | ||||||
Amgen (A) | 501,442 | 44,528 | ||||||
Baxter International | 293,635 | 19,459 | ||||||
Biogen Idec* | 107,492 | 16,026 | ||||||
Boston Scientific* | 19,000 | 105 | ||||||
Bristol-Myers Squibb | 610,157 | 19,909 | ||||||
C.R. Bard | 21,400 | 2,119 | ||||||
Cardinal Health | 363,249 | 14,693 | ||||||
CareFusion* | 180,865 | 5,050 |
Description | Shares | Market Value ($ Thousands) | ||||||
Catamaran* | 103,785 | $ | 5,053 | |||||
Celgene* | 179,200 | 14,083 | ||||||
Charles River Laboratories International* | 31,116 | 1,194 | ||||||
Coventry Health Care | 11,252 | 492 | ||||||
Covidien | 655,110 | 38,068 | ||||||
DaVita* | 18,300 | 1,976 | ||||||
Edwards Lifesciences* | 26,200 | 2,273 | ||||||
Eli Lilly | 342,316 | 16,787 | ||||||
Endo Health Solutions* | 40,700 | 1,167 | ||||||
Express Scripts Holding* | 396,500 | 21,352 | ||||||
Gilead Sciences* (A) | 181,041 | 13,578 | ||||||
Haemonetics* (A) | 46,040 | 3,731 | ||||||
HCA Holdings (A) | 303,317 | 9,630 | ||||||
Henry Schein* | 27,578 | 2,228 | ||||||
Hill-Rom Holdings | 23,700 | 663 | ||||||
Hospira* | 11,600 | 346 | ||||||
Humana | 86,500 | 5,658 | ||||||
Intuitive Surgical* | 20,200 | 10,686 | ||||||
Johnson & Johnson (A) | 628,943 | 43,856 | ||||||
Life Technologies* (A) | 173,938 | 8,584 | ||||||
McKesson | 192,870 | 18,221 | ||||||
Medtronic | 373,002 | 15,707 | ||||||
Merck | 728,127 | 32,256 | ||||||
Mylan Laboratories* | 490,993 | 13,345 | ||||||
Myriad Genetics* | 35,304 | 1,014 | ||||||
Patterson | 55,516 | 1,893 | ||||||
PerkinElmer | 70,600 | 2,234 | ||||||
Pfizer | 3,901,636 | 97,619 | ||||||
QIAGEN* (A) | 6,797 | 126 | ||||||
Regeneron Pharmaceuticals* | 854 | 151 | ||||||
Sanofi-Aventis | 111,840 | 9,987 | ||||||
St. Jude Medical | 54,400 | 1,865 | ||||||
Stryker | 129,300 | 7,003 | ||||||
Thermo Fisher Scientific | 113,700 | 7,226 | ||||||
United Therapeutics* | 74,049 | 3,891 | ||||||
UnitedHealth Group | 527,840 | 28,709 | ||||||
Varian Medical Systems* | 500 | 34 | ||||||
VCA Antech* | 159,100 | 3,306 | ||||||
Vertex Pharmaceuticals* | 213,775 | 8,506 | ||||||
Watson Pharmaceuticals* | 199,086 | 17,522 | ||||||
WellPoint (A) | 61,096 | 3,415 | ||||||
Zimmer Holdings | 16,900 | 1,115 | ||||||
|
| |||||||
667,923 | ||||||||
|
| |||||||
Industrials — 9.1% | ||||||||
3M | 33,366 | 3,035 | ||||||
ADT | 281,500 | 12,921 | ||||||
AGCO* | 8,700 | 402 | ||||||
Alaska Air Group* | 53,900 | 2,304 | ||||||
Alliant Techsystems | 30,400 | 1,824 | ||||||
American Reprographics* | 179,972 | 454 | ||||||
Applied Industrial Technologies | 16,700 | 668 | ||||||
Avery Dennison | 53,300 | 1,783 | ||||||
Babcock & Wilcox | 40,200 | 1,012 | ||||||
BE Aerospace* | 62,940 | 2,981 | ||||||
Boeing | 457,673 | 33,996 | ||||||
Caterpillar | 161,541 | 13,770 | ||||||
Cintas (A) | 32,100 | 1,330 | ||||||
Cooper Industries, Cl A | 19,500 | 1,453 | ||||||
Copart* | 25,500 | 770 | ||||||
Corrections Corp of America | 32,825 | 1,113 | ||||||
CSX | 1,456,410 | 28,779 |
3 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Cummins | 7,240 | $ | 711 | |||||
Danaher | 11,000 | 594 | ||||||
Deere | 27,000 | 2,269 | ||||||
Delta Air Lines* | 754,461 | 7,545 | ||||||
Dun & Bradstreet | 26,300 | 2,082 | ||||||
Eaton (A) | 5,400 | 282 | ||||||
Emerson Electric | 188,930 | 9,490 | ||||||
EnerSys* | 18,500 | 644 | ||||||
Equifax | 106,000 | 5,432 | ||||||
Esterline Technologies* | 11,700 | 715 | ||||||
Fastenal (A) | 53,800 | 2,249 | ||||||
FedEx | 64,661 | 5,789 | ||||||
Flowserve | 15,800 | 2,189 | ||||||
General Dynamics | 130,700 | 8,691 | ||||||
General Electric | 3,875,115 | 81,881 | ||||||
Harsco | 84,090 | 1,694 | ||||||
Honeywell International | 535,998 | 32,873 | ||||||
Hub Group, Cl A* | 76,819 | 2,487 | ||||||
Huntington Ingalls Industries | 21,900 | 895 | ||||||
II-VI* | 139,500 | 2,387 | ||||||
Illinois Tool Works | 55,800 | 3,436 | ||||||
Ingersoll-Rand | 103,400 | 5,044 | ||||||
Joy Global (A) | 77,000 | 4,388 | ||||||
Kennametal | 51,700 | 1,971 | ||||||
L-3 Communications Holdings, Cl 3 | 104,310 | 8,016 | ||||||
Lennox International | 20,500 | 1,078 | ||||||
Lockheed Martin | 139,589 | 13,024 | ||||||
Masco (A) | 232,900 | 3,950 | ||||||
MasTec* (A) | 102,100 | 2,332 | ||||||
Middleby* | 10,155 | 1,294 | ||||||
Mueller Industries | 6,200 | 296 | ||||||
Nordson | 5,200 | 318 | ||||||
Norfolk Southern | 113,000 | 6,823 | ||||||
Northrop Grumman (A) | 131,100 | 8,744 | ||||||
Oshkosh Truck* | 53,700 | 1,576 | ||||||
Pall | 18,400 | 1,094 | ||||||
Parker Hannifin (A) | 129,880 | 10,670 | ||||||
Pentair | 135,086 | 6,550 | ||||||
Pitney Bowes (A) | 86,066 | 963 | ||||||
Quanta Services* | 75,660 | 1,957 | ||||||
Raytheon | 65,400 | 3,736 | ||||||
Regal-Beloit | 28,880 | 2,014 | ||||||
Republic Services, Cl A | 240,490 | 6,847 | ||||||
Robert Half International | 84,500 | 2,388 | ||||||
Rockwell Automation | 8,300 | 658 | ||||||
Roper Industries | 17,500 | 1,952 | ||||||
Snap-on | 26,300 | 2,089 | ||||||
Southwest Airlines | 64,500 | 615 | ||||||
SPX | 33,600 | 2,289 | ||||||
Stanley Black & Decker | 23,300 | 1,676 | ||||||
Team* | 38,260 | 1,374 | ||||||
Textron (A) | 90,800 | 2,133 | ||||||
Timken | 32,500 | 1,464 | ||||||
Towers Watson, Cl A | 206,910 | 10,941 | ||||||
Trimas* | 127,440 | 3,301 | ||||||
Tyco International | 562,990 | 15,972 | ||||||
Union Pacific | 209,835 | 25,763 | ||||||
United Parcel Service, Cl B | 582,293 | 42,571 | ||||||
United Technologies | 154,398 | 12,369 | ||||||
URS | 37,400 | 1,409 | ||||||
Valmont Industries | 1,800 | 251 | ||||||
Waste Management (A) | 533,219 | 17,367 |
Description | Shares | Market Value ($ Thousands) | ||||||
WW Grainger | 17,300 | $ | 3,357 | |||||
Xylem | 25,200 | 657 | ||||||
|
| |||||||
526,211 | ||||||||
|
| |||||||
Information Technology — 18.1% | ||||||||
Accenture, Cl A | 212,500 | 14,433 | ||||||
Adobe Systems* | 54,100 | 1,872 | ||||||
Advanced Micro Devices* (A) | 485,500 | 1,068 | ||||||
Akamai Technologies* | 146,700 | 5,372 | ||||||
Amdocs | 78,570 | 2,629 | ||||||
Amphenol, Cl A | 8,700 | 539 | ||||||
AOL* (A) | 201,552 | 7,562 | ||||||
Apple | 418,441 | 244,905 | ||||||
Applied Materials | 262,266 | 2,814 | ||||||
Arrow Electronics* | 34,291 | 1,277 | ||||||
Autodesk* | 128,275 | 4,250 | ||||||
Automatic Data Processing | 82,700 | 4,694 | ||||||
Avnet* | �� | 124,026 | 3,633 | |||||
BMC Software* | 98,600 | 4,039 | ||||||
Booz Allen Hamilton Holding, Cl A (A) | 19,980 | 280 | ||||||
CA | 952,537 | 21,108 | ||||||
Cisco Systems | 4,296,418 | 81,245 | ||||||
Citrix Systems* | 7,300 | 446 | ||||||
Comverse* | 43 | 1 | ||||||
Comverse Technology* | 430 | 1 | ||||||
CoreLogic* | 60,400 | 1,561 | ||||||
Corning | 604,760 | 7,396 | ||||||
Dell (A) | 706,600 | 6,812 | ||||||
eBay* | 887,800 | 46,894 | ||||||
Echo Global Logistics* (A) | 96,159 | 1,689 | ||||||
EMC* | 665,180 | 16,510 | ||||||
F5 Networks* | 21,000 | 1,967 | ||||||
Facebook, Cl A* (A) | 341,670 | 9,567 | ||||||
Fidelity National Information Services | 33,100 | 1,195 | ||||||
Fiserv* | 8,700 | 670 | ||||||
FleetMatics Group* (A) | 49,300 | 1,074 | ||||||
FLIR Systems | 139,700 | 2,850 | ||||||
Global Payments | 22,200 | 975 | ||||||
Google, Cl A* | 71,166 | 49,700 | ||||||
Harris | 195,762 | 9,226 | ||||||
Hewlett-Packard (A) | 704,331 | 9,149 | ||||||
Ingram Micro, Cl A* | 56,700 | 918 | ||||||
Intel (A) | 1,300,386 | 25,449 | ||||||
International Business Machines | 666,443 | 126,671 | ||||||
Intuit | 136,900 | 8,202 | ||||||
j2 Global (A) | 69,870 | 2,113 | ||||||
Jabil Circuit | 45,900 | 872 | ||||||
JDS Uniphase* | 66,000 | 801 | ||||||
Kla-Tencor | 142,277 | 6,469 | ||||||
Kulicke & Soffa Industries* | 10,800 | 123 | ||||||
Lam Research* (A) | 7,712 | 271 | ||||||
Lender Processing Services | 62,400 | 1,550 | ||||||
Littelfuse | 42,400 | 2,447 | ||||||
LSI* | 549,300 | 3,702 | ||||||
Mastercard, Cl A | 42,034 | 20,541 | ||||||
Micron Technology* | 23,300 | 139 | ||||||
Microsemi* | 132,600 | 2,538 | ||||||
Microsoft | 2,585,121 | 68,816 | ||||||
Molex (A) | 4,900 | 129 | ||||||
Motorola Solutions | 7,900 | 430 |
4 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Netscout Systems* (A) | 133,400 | $ | 3,351 | |||||
Nvidia | 193,400 | 2,317 | ||||||
ON Semiconductor* (A) | 382,660 | 2,537 | ||||||
Oracle | 1,740,276 | 55,863 | ||||||
Paychex (A) | 62,500 | 2,034 | ||||||
Qualcomm | 742,530 | 47,240 | ||||||
Rackspace Hosting* (A) | 77,254 | 5,340 | ||||||
Red Hat* | 109,310 | 5,400 | ||||||
Responsys* | 247,700 | 1,615 | ||||||
SAIC (A) | 93,000 | 1,072 | ||||||
Seagate Technology (A) | 417,751 | 10,486 | ||||||
SolarWinds* | 47,832 | 2,680 | ||||||
SS&C Technologies Holdings* | 100,626 | 2,374 | ||||||
Symantec* (A) | 801,326 | 15,033 | ||||||
Tech Data* | 5,200 | 230 | ||||||
Teradata* | 17,600 | 1,047 | ||||||
Teradyne* (A) | 98,000 | 1,533 | ||||||
Texas Instruments (A) | 483,287 | 14,243 | ||||||
Total System Services | 29,600 | 650 | ||||||
Unisys* | 15,200 | 263 | ||||||
VeriSign* | 183,176 | 6,252 | ||||||
Visa, Cl A | 55,800 | 8,354 | ||||||
Western Digital | 283,119 | 9,467 | ||||||
Xilinx | 91,780 | 3,180 | ||||||
Yahoo!* | 59,900 | 1,124 | ||||||
|
| |||||||
1,045,269 | ||||||||
|
| |||||||
Materials — 3.3% | ||||||||
Airgas | 36,000 | 3,189 | ||||||
Alcoa (A) | 296,500 | 2,494 | ||||||
Ball | 257,459 | 11,506 | ||||||
Carpenter Technology | 47,400 | 2,297 | ||||||
CF Industries Holdings | 60,470 | 12,942 | ||||||
Crown Holdings* | 86,922 | 3,247 | ||||||
Cytec Industries | 20,300 | 1,393 | ||||||
Dow Chemical | 157,900 | 4,767 | ||||||
E.I. du Pont de Nemours | 218,691 | 9,434 | ||||||
Eagle Materials | 3,800 | 203 | ||||||
Eastman Chemical | 36,000 | 2,191 | ||||||
Ecolab (A) | 67,900 | 4,894 | ||||||
FMC | 27,300 | 1,514 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 845,732 | 32,992 | ||||||
Greif, Cl A | 2,800 | 115 | ||||||
Innophos Holdings | 36,600 | 1,754 | ||||||
International Paper | 17,900 | 665 | ||||||
LyondellBasell Industries, Cl A | 82,300 | 4,093 | ||||||
Monsanto | 175,595 | 16,083 | ||||||
Nucor | 6,200 | 255 | ||||||
Owens-Illinois* | 188,500 | 3,776 | ||||||
PPG Industries | 57,540 | 7,150 | ||||||
Praxair | 31,200 | 3,345 | ||||||
Reliance Steel & Aluminum | 16,200 | 914 | ||||||
Rock-Tenn, Cl A | 26,160 | 1,701 | ||||||
Rockwood Holdings | 35,980 | 1,650 | ||||||
Royal Gold | 100,236 | 8,095 | ||||||
Schweitzer-Mauduit International | 93,660 | 3,509 | ||||||
Sherwin-Williams | 91,894 | 14,016 | ||||||
Sigma-Aldrich (A) | 14,700 | 1,066 | ||||||
Silver Wheaton | 27,945 | 1,027 | ||||||
Southern Copper (A) | 28,500 | 1,034 | ||||||
US Silica Holdings* (A) | 239,800 | 3,482 |
Description | Shares | Market Value ($ Thousands) | ||||||
Vulcan Materials | 405,360 | $ | 21,419 | |||||
Walter Industries (A) | 26,500 | 800 | ||||||
|
| |||||||
189,012 | ||||||||
|
| |||||||
Telecommunication Services — 2.1% |
| |||||||
America Movil ADR, Ser L | 893,990 | 21,089 | ||||||
AT&T | 1,001,689 | 34,188 | ||||||
CenturyLink | 124,320 | 4,829 | ||||||
Crown Castle International* | 64,800 | 4,375 | ||||||
Sprint Nextel* | 710,542 | 4,072 | ||||||
Verizon Communications | 1,230,200 | 54,276 | ||||||
|
| |||||||
122,829 | ||||||||
|
| |||||||
Utilities — 2.1% | ||||||||
AES | 1,999,418 | 21,334 | ||||||
Ameren | 95,500 | 2,862 | ||||||
American Water Works | 80,300 | 3,065 | ||||||
California Water Service Group | 74,000 | 1,332 | ||||||
Calpine* | 426,612 | 7,363 | ||||||
CMS Energy | 10,700 | 261 | ||||||
Consolidated Edison | 40,300 | 2,248 | ||||||
Dominion Resources | 33,800 | 1,728 | ||||||
DTE Energy | 56,380 | 3,416 | ||||||
Duke Energy | 218,527 | 13,946 | ||||||
Edison International | 48,900 | 2,224 | ||||||
El Paso Electric | 17,200 | 548 | ||||||
Entergy | 37,300 | 2,370 | ||||||
Exelon | 22,100 | 668 | ||||||
FirstEnergy | 14,056 | 597 | ||||||
Integrys Energy Group | 9,300 | 495 | ||||||
New Jersey Resources | 74,260 | 3,013 | ||||||
NextEra Energy (A) | 329,792 | 22,660 | ||||||
NiSource | 20,600 | 498 | ||||||
NRG Energy | 12,900 | 272 | ||||||
NV Energy | 94,500 | 1,732 | ||||||
ONEOK (A) | 72,400 | 3,249 | ||||||
PG&E | 29,300 | 1,200 | ||||||
Portland General Electric | 9,400 | 254 | ||||||
PPL | 163,048 | 4,785 | ||||||
Public Service Enterprise Group | 138,500 | 4,167 | ||||||
SCANA (A) | 36,700 | 1,701 | ||||||
Sempra Energy | 58,600 | 4,009 | ||||||
Southern | 90,100 | 3,924 | ||||||
UGI | 22,600 | 751 | ||||||
Wisconsin Energy (A) | 19,000 | 713 | ||||||
Xcel Energy | 102,879 | 2,783 | ||||||
|
| |||||||
120,168 | ||||||||
|
| |||||||
Total Common Stock | 5,131,571 | |||||||
|
| |||||||
PREFERRED STOCK — 0.0% | ||||||||
Preferred Stock — 0.0% | ||||||||
Henkel | 34,450 | 2,879 | ||||||
|
| |||||||
Total Preferred Stock | 2,879 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIPS — 12.2% |
| |||||||
SEI LIBOR Plus Portfolio† | 48,536,455 | 361,596 |
5 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
SEI Liquidity Fund, L.P. 0.180%†** (B) | 342,406,786 | $ | 342,407 | |||||
|
| |||||||
Total Affiliated Partnerships | 704,003 | |||||||
|
| |||||||
CASH EQUIVALENT — 4.7% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 269,682,685 | 269,683 | ||||||
|
| |||||||
Total Cash Equivalent | 269,683 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.7% |
| |||||||
U.S. Treasury Bills | ||||||||
0.136%, 01/31/2013 | 39,509 | 39,506 | ||||||
0.132%, 12/20/2012 | 2,400 | 2,400 | ||||||
0.130%, 07/25/2013 | 557 | 556 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 42,462 | |||||||
|
| |||||||
Total Investments — 106.4% |
| $ | 6,150,598 | |||||
|
|
A list of the open futures contracts he ld by the Fund at November 30, 2012, is as follows:
Type of Contract | Number of Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P 500 Index EMINI | 560 | Dec-2012 | $ | (134 | ) | |||||||
S&P Composite Index | 1,237 | Dec-2012 | (8,996 | ) | ||||||||
|
| |||||||||||
$ | (9,130 | ) | ||||||||||
|
|
For the period ended November 30, 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 period.
Percentages are based on a Net Assets of $5,779,316 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 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 November 30, 2012. The total value of securities on loan at November 30, 2012 was $334,417 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2012 was $342,407 ($ 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 November 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 5,131,571 | $ | — | $ | — | $ | 5,131,571 | ||||||||
Preferred Stock | 2,879 | — | — | 2,879 | ||||||||||||
Affiliated Partnerships | 361,596 | 342,407 | — | 704,003 | ||||||||||||
Cash Equivalent | 269,683 | — | — | 269,683 | ||||||||||||
U.S. Treasury | ||||||||||||||||
Obligations | — | 42,462 | — | 42,462 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 5,765,729 | $ | 384,869 | $ | — | $ | 6,150,598 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (9,130 | ) | $ | — | $ | — | $ | (9,130 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the period ended November 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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 $0.
The accompanying notes are an integral part of the financial statements.
6 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.6% | ||||||||
Consumer Discretionary — 12.0% | ||||||||
Aaron’s | 12,400 | $ | 356 | |||||
Abercrombie & Fitch, Cl A | 9,602 | 441 | ||||||
Advance Auto Parts | 9,708 | 710 | ||||||
Allison Transmission Holdings (A) | 2,500 | 52 | ||||||
Amazon.com* | 44,789 | 11,289 | ||||||
AMC Networks, Cl A* (A) | 7,085 | 374 | ||||||
American Eagle Outfitters | 24,371 | 517 | ||||||
Apollo Group, Cl A* | 9,564 | 183 | ||||||
Ascena Retail Group* | 15,200 | 306 | ||||||
AutoNation* (A) | 4,332 | 169 | ||||||
AutoZone* | 4,707 | 1,806 | ||||||
Bally Technologies* | 4,500 | 203 | ||||||
Bed Bath & Beyond* | 28,715 | 1,686 | ||||||
Best Buy (A) | 38,047 | 499 | ||||||
Big Lots* | 9,600 | 271 | ||||||
BorgWarner* (A) | 13,682 | 907 | ||||||
Brinker International | 7,283 | 218 | ||||||
Cablevision Systems, Cl A | 21,442 | 297 | ||||||
Carmax* (A) | 27,560 | 999 | ||||||
Carnival | 51,400 | 1,987 | ||||||
Carter’s* | 6,000 | 318 | ||||||
CBS, Cl B | 82,069 | 2,953 | ||||||
Charter Communications, Cl A* | 6,000 | 425 | ||||||
Chico’s FAS | 25,300 | 472 | ||||||
Chipotle Mexican Grill, Cl A* (A) | 3,719 | 981 | ||||||
Choice Hotels International (A) | 2,584 | 84 | ||||||
Cinemark Holdings | 14,200 | 386 | ||||||
Clear Channel Outdoor Holdings, Cl A | 700 | 5 | ||||||
Coach | 36,867 | 2,132 | ||||||
Comcast, Cl A | 336,825 | 12,523 | ||||||
Darden Restaurants (A) | 15,522 | 821 | ||||||
Deckers Outdoor* (A) | 3,500 | 134 | ||||||
Delphi Automotive* | 39,000 | 1,326 | ||||||
DeVry (A) | 7,600 | 198 | ||||||
Dick’s Sporting Goods | 12,358 | 649 | ||||||
Dillard’s, Cl A (A) | 2,800 | 249 | ||||||
DIRECTV* | 82,139 | 4,082 | ||||||
Discovery Communications, Cl A* | 31,500 | 1,903 | ||||||
DISH Network, Cl A* | 24,662 | 913 | ||||||
Dollar General* | 21,900 | 1,095 | ||||||
Dollar Tree* | 27,358 | 1,142 | ||||||
DR Horton (A) | 34,068 | 663 | ||||||
DreamWorks Animation SKG, Cl A* (A) | 6,434 | 110 | ||||||
DSW, Cl A | 3,600 | 245 | ||||||
Dunkin’ Brands Group (A) | 7,500 | 239 | ||||||
Expedia | 12,367 | 765 | ||||||
Family Dollar Stores | 11,662 | 830 | ||||||
Foot Locker | 18,569 | 665 | ||||||
Ford Motor (A) | 470,284 | 5,385 | ||||||
Fossil* | 7,500 | 648 | ||||||
GameStop, Cl A (A) | 14,000 | 367 | ||||||
Gannett | 34,659 | 620 | ||||||
Gap | 36,021 | 1,241 | ||||||
Garmin (A) | 13,500 | 525 | ||||||
General Motors* | 94,700 | 2,451 |
Description | Shares | Market Value ($ Thousands) | ||||||
Gentex (A) | 13,932 | $ | 247 | |||||
Genuine Parts | 18,471 | 1,202 | ||||||
GNC Holdings, Cl A | 6,800 | 239 | ||||||
Goodyear Tire & Rubber* | 30,352 | 383 | ||||||
Guess? | 5,100 | 132 | ||||||
H&R Block (A) | 33,925 | 612 | ||||||
Hanesbrands* | 13,843 | 500 | ||||||
Harley-Davidson | 27,403 | 1,287 | ||||||
Harman International Industries | 8,768 | 347 | ||||||
Hasbro (A) | 15,667 | 603 | ||||||
Home Depot | 192,015 | 12,494 | ||||||
HomeAway* (A) | 4,300 | 88 | ||||||
Hyatt Hotels, Cl A* | 3,800 | 139 | ||||||
International Game Technology | 28,443 | 395 | ||||||
Interpublic Group | 58,775 | 636 | ||||||
ITT Educational Services* (A) | 1,921 | 35 | ||||||
J.C. Penney (A) | 22,351 | 401 | ||||||
Jarden (A) | 9,900 | 524 | ||||||
John Wiley & Sons, Cl A | 4,242 | 181 | ||||||
Johnson Controls (A) | 86,745 | 2,389 | ||||||
Kohl’s | 30,219 | 1,349 | ||||||
Lamar Advertising, Cl A* | 8,240 | 324 | ||||||
Las Vegas Sands | 50,893 | 2,374 | ||||||
Lear | 12,300 | 537 | ||||||
Leggett & Platt (A) | 17,319 | 482 | ||||||
Lennar, Cl A (A) | 19,830 | 754 | ||||||
Liberty Global, Cl A* | 32,471 | 1,820 | ||||||
Liberty Interactive, Cl A* | 66,047 | 1,275 | ||||||
Liberty Media - Liberty Capital, Cl A* | 13,420 | 1,476 | ||||||
Liberty Ventures, Ser A* | 4,403 | 258 | ||||||
Limited Brands | 28,457 | 1,484 | ||||||
LKQ* | 36,000 | 789 | ||||||
Lowe’s | 150,410 | 5,428 | ||||||
Macy’s | 53,130 | 2,056 | ||||||
Madison Square Garden, Cl A* | 6,260 | 274 | ||||||
Marriott International, Cl A (A) | 30,187 | 1,095 | ||||||
Mattel | 42,242 | 1,584 | ||||||
McDonald’s | 125,680 | 10,939 | ||||||
McGraw-Hill | 34,639 | 1,840 | ||||||
MGM Resorts International* | 57,739 | 586 | ||||||
Michael Kors Holdings* | 12,100 | 643 | ||||||
Mohawk Industries* | 7,766 | 668 | ||||||
Morningstar (A) | 2,100 | 134 | ||||||
NetFlix* (A) | 8,300 | 678 | ||||||
Newell Rubbermaid | 38,365 | 837 | ||||||
News, Cl A | 261,185 | 6,436 | ||||||
NIKE, Cl B | 45,317 | 4,418 | ||||||
Nordstrom | 18,712 | 1,012 | ||||||
NVR* | 624 | 561 | ||||||
Omnicom Group (A) | 33,744 | 1,678 | ||||||
O’Reilly Automotive* | 14,940 | 1,406 | ||||||
Pandora Media* (A) | 12,800 | 112 | ||||||
Panera Bread, Cl A* | 4,062 | 652 | ||||||
Penn National Gaming* | 8,189 | 416 | ||||||
PetSmart | 12,973 | 917 | ||||||
Polaris Industries | 8,600 | 729 | ||||||
priceline.com* | 6,100 | 4,045 | ||||||
PulteGroup* (A) | 46,745 | 786 | ||||||
PVH | 9,200 | 1,054 | ||||||
Ralph Lauren, Cl A | 7,280 | 1,144 | ||||||
Regal Entertainment Group, Cl A (A) | 7,388 | 115 |
1 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Ross Stores | 28,053 | $ | 1,597 | |||||
Royal Caribbean Cruises | 20,800 | 733 | ||||||
Sally Beauty Holdings* | 21,000 | 532 | ||||||
Scripps Networks Interactive, Cl A | 11,272 | 666 | ||||||
Sears Holdings* (A) | 3,428 | 144 | ||||||
Service International | 31,494 | 439 | ||||||
Signet Jewelers (A) | 11,700 | 629 | ||||||
Sirius XM Radio* (A) | 453,400 | 1,260 | ||||||
Staples (A) | 82,064 | 960 | ||||||
Starbucks | 94,906 | 4,923 | ||||||
Starwood Hotels & Resorts Worldwide | 23,384 | 1,262 | ||||||
Target (A) | 82,585 | 5,214 | ||||||
Tempur-Pedic International* (A) | 6,000 | 160 | ||||||
Tesla Motors* (A) | 7,200 | 243 | ||||||
Thomson Reuters | 43,900 | 1,209 | ||||||
Thor Industries | 3,800 | 143 | ||||||
Tiffany | 15,225 | 898 | ||||||
Time Warner (A) | 120,079 | 5,680 | ||||||
Time Warner Cable, Cl A | 39,384 | 3,737 | ||||||
TJX | 92,908 | 4,120 | ||||||
Toll Brothers* | 20,351 | 648 | ||||||
Tractor Supply | 8,700 | 780 | ||||||
TripAdvisor* (A) | 9,467 | 362 | ||||||
TRW Automotive Holdings* | 13,693 | 693 | ||||||
Tupperware Brands | 6,500 | 421 | ||||||
Ulta Salon Cosmetics & Fragrance | 7,652 | 767 | ||||||
Under Armour, Cl A* (A) | 9,600 | 498 | ||||||
Urban Outfitters* | 13,120 | 495 | ||||||
VF (A) | 10,817 | 1,736 | ||||||
Viacom, Cl B | 66,569 | 3,436 | ||||||
Virgin Media (A) | 33,220 | 1,168 | ||||||
Visteon* | 8,300 | 416 | ||||||
Walt Disney | 221,072 | 10,978 | ||||||
Washington Post, Cl B (A) | 657 | 241 | ||||||
Weight Watchers International (A) | 1,962 | 102 | ||||||
Wendys | 26,800 | 125 | ||||||
Whirlpool | 9,387 | 956 | ||||||
Williams-Sonoma | 9,462 | 428 | ||||||
Wyndham Worldwide | 17,468 | 857 | ||||||
Wynn Resorts | 9,596 | 1,079 | ||||||
Yum! Brands | 57,948 | 3,887 | ||||||
|
| |||||||
223,436 | ||||||||
|
| |||||||
Consumer Staples — 9.8% | ||||||||
Altria Group | 252,540 | 8,538 | ||||||
Archer-Daniels-Midland | 84,179 | 2,248 | ||||||
Avon Products | 52,006 | 725 | ||||||
Beam | 18,720 | 1,050 | ||||||
Brown-Forman, Cl B | 17,727 | 1,244 | ||||||
Bunge (A) | 17,300 | 1,266 | ||||||
Campbell Soup (A) | 21,178 | 778 | ||||||
Church & Dwight (A) | 17,507 | 948 | ||||||
Clorox | 15,403 | 1,176 | ||||||
Coca-Cola | 486,140 | 18,434 | ||||||
Coca-Cola Enterprises | 35,715 | 1,114 | ||||||
Colgate-Palmolive | 59,475 | 6,453 | ||||||
ConAgra Foods | 49,186 | 1,469 | ||||||
Constellation Brands, Cl A* | 19,831 | 712 |
Description | Shares | Market Value ($ Thousands) | ||||||
Costco Wholesale | 54,081 | $ | 5,624 | |||||
CVS Caremark | 159,352 | 7,411 | ||||||
Dean Foods* | 19,287 | 331 | ||||||
Dr. Pepper Snapple Group (A) | 25,100 | 1,126 | ||||||
Energizer Holdings | 8,841 | 705 | ||||||
Estee Lauder, Cl A | 28,508 | 1,661 | ||||||
Flowers Foods (A) | 13,950 | 328 | ||||||
Fresh Market* | 2,500 | 130 | ||||||
General Mills (A) | 81,792 | 3,353 | ||||||
Green Mountain Coffee Roasters* (A) | 19,700 | 722 | ||||||
Herbalife (A) | 14,200 | 653 | ||||||
Hershey | 17,698 | 1,297 | ||||||
Hillshire Brands (A) | 18,000 | 501 | ||||||
HJ Heinz (A) | 40,837 | 2,387 | ||||||
Hormel Foods | 18,478 | 573 | ||||||
Ingredion | 8,300 | 539 | ||||||
JM Smucker | 13,311 | 1,177 | ||||||
Kellogg | 30,003 | 1,664 | ||||||
Kimberly-Clark | 49,218 | 4,219 | ||||||
Kraft Foods Group* | 73,302 | 3,315 | ||||||
Kroger | 66,073 | 1,734 | ||||||
Lorillard | 16,750 | 2,030 | ||||||
McCormick (A) | 15,793 | 1,020 | ||||||
Mead Johnson Nutrition, Cl A | 25,186 | 1,717 | ||||||
Molson Coors Brewing, Cl B | 15,562 | 645 | ||||||
Mondelez International, Cl A* | 219,906 | 5,693 | ||||||
Monster Beverage* | 17,100 | 890 | ||||||
Nu Skin Enterprises, Cl A (A) | 5,200 | 236 | ||||||
PepsiCo | 196,052 | 13,765 | ||||||
Philip Morris International | 213,368 | 19,178 | ||||||
Procter & Gamble | 340,074 | 23,747 | ||||||
Ralcorp Holdings* | 6,100 | 544 | ||||||
Reynolds American | 40,720 | 1,780 | ||||||
Safeway (A) | 29,820 | 510 | ||||||
Smithfield Foods* | 16,175 | 362 | ||||||
Sysco (A) | 74,848 | 2,369 | ||||||
Tyson Foods, Cl A | 41,365 | 793 | ||||||
Walgreen | 108,525 | 3,680 | ||||||
WalMart Stores | 211,679 | 15,245 | ||||||
Whole Foods Market | 23,452 | 2,189 | ||||||
|
| |||||||
181,998 | ||||||||
|
| |||||||
Energy — 9.9% | ||||||||
Alpha Natural Resources* (A) | 20,365 | 152 | ||||||
Anadarko Petroleum | 62,640 | 4,585 | ||||||
Apache | 49,059 | 3,782 | ||||||
Atwood Oceanics* (A) | 5,600 | 258 | ||||||
Baker Hughes | 55,840 | 2,409 | ||||||
Cabot Oil & Gas | 25,000 | 1,178 | ||||||
Cameron International* | 30,444 | 1,642 | ||||||
CARBO Ceramics | 1,700 | 130 | ||||||
Cheniere Energy* | 30,800 | 517 | ||||||
Chesapeake Energy (A) | 82,166 | 1,399 | ||||||
Chevron | 246,502 | 26,053 | ||||||
Cimarex Energy | 10,500 | 631 | ||||||
Cobalt International Energy* | 24,900 | 581 | ||||||
Concho Resources* | 12,400 | 995 | ||||||
ConocoPhillips | 156,876 | 8,933 | ||||||
Consol Energy (A) | 27,444 | 860 | ||||||
Continental Resources* | 4,800 | 330 | ||||||
Denbury Resources* | 47,324 | 730 | ||||||
Devon Energy | 51,213 | 2,646 |
2 | SEI Institutional Investments Trust/ Sem-Annual Report/ November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Diamond Offshore Drilling (A) | 8,509 | $ | 587 | |||||
Dresser-Rand Group* | 10,434 | 551 | ||||||
Energen | 8,937 | 398 | ||||||
EOG Resources | 33,945 | 3,993 | ||||||
EQT | 15,766 | 947 | ||||||
EXCO Resources (A) | 13,400 | 104 | ||||||
Exxon Mobil | 583,238 | 51,407 | ||||||
FMC Technologies* | 28,220 | 1,153 | ||||||
Golar LNG (A) | 4,000 | 156 | ||||||
Halliburton | 116,097 | 3,872 | ||||||
Helmerich & Payne | 11,850 | 619 | ||||||
Hess | 37,612 | 1,866 | ||||||
HollyFrontier | 24,726 | 1,121 | ||||||
Kinder Morgan | 62,522 | 2,114 | ||||||
Kosmos Energy* | 9,200 | 109 | ||||||
Laredo Petroleum Holdings* | 2,000 | 38 | ||||||
Marathon Oil | 89,876 | 2,773 | ||||||
Marathon Petroleum | 43,588 | 2,595 | ||||||
McDermott International* | 34,300 | 361 | ||||||
Murphy Oil | 22,954 | 1,302 | ||||||
Nabors Industries* | 36,000 | 529 | ||||||
National Oilwell Varco | 53,480 | 3,653 | ||||||
Newfield Exploration* | 16,699 | 406 | ||||||
Noble Energy | 22,862 | 2,235 | ||||||
Occidental Petroleum | 100,654 | 7,570 | ||||||
Oceaneering International | 13,200 | 695 | ||||||
Oil States International* | 7,000 | 495 | ||||||
Patterson-UTI Energy (A) | 15,532 | 276 | ||||||
Peabody Energy | 33,074 | 831 | ||||||
Phillips 66 | 78,888 | 4,131 | ||||||
Pioneer Natural Resources (A) | 15,244 | 1,631 | ||||||
Plains Exploration & Production* | 15,691 | 560 | ||||||
QEP Resources | 21,746 | 612 | ||||||
Range Resources | 19,139 | 1,225 | ||||||
Rowan, Cl A* | 16,686 | 529 | ||||||
RPC (A) | 5,550 | 64 | ||||||
SandRidge Energy* (A) | 60,700 | 355 | ||||||
Schlumberger | 164,963 | 11,815 | ||||||
SEACOR Holdings* | 2,600 | 236 | ||||||
SM Energy | 7,000 | 348 | ||||||
Southwestern Energy* | 43,376 | 1,506 | ||||||
Spectra Energy | 83,309 | 2,328 | ||||||
Superior Energy Services* | 22,100 | 449 | ||||||
Teekay | 3,800 | 122 | ||||||
Tesoro | 19,446 | 822 | ||||||
Tidewater | 6,370 | 286 | ||||||
Ultra Petroleum* (A) | 21,600 | 433 | ||||||
Unit* | 6,027 | 271 | ||||||
Valero Energy | 70,736 | 2,282 | ||||||
Whiting Petroleum* | 15,600 | 654 | ||||||
Williams | 79,646 | 2,616 | ||||||
World Fuel Services (A) | 8,900 | 347 | ||||||
WPX Energy* | 22,248 | 351 | ||||||
|
| |||||||
184,540 | ||||||||
|
| |||||||
Financials — 15.4% | ||||||||
ACE | 42,800 | 3,391 | ||||||
Affiliated Managers Group* (A) | 6,220 | 801 | ||||||
Aflac | 59,356 | 3,145 | ||||||
Alexander & Baldwin* | 3,882 | 116 | ||||||
Alexandria Real Estate Equities‡ (A) | 8,300 | 564 |
Description | Shares | Market Value ($ Thousands) | ||||||
Alleghany* | 2,104 | $ | 738 | |||||
Allied World Assurance Holdings | 3,800 | 308 | ||||||
Allstate | 62,625 | 2,535 | ||||||
American Campus Communities‡ (A) | 11,400 | 499 | ||||||
American Capital* | 46,200 | 553 | ||||||
American Capital Agency‡ | 40,259 | 1,270 | ||||||
American Express | 124,534 | 6,961 | ||||||
American Financial Group | 10,614 | 421 | ||||||
American International Group* | 81,823 | 2,711 | ||||||
American National Insurance | 222 | 15 | ||||||
American Tower, Cl A‡ | 49,722 | 3,726 | ||||||
Ameriprise Financial | 27,100 | 1,644 | ||||||
Annaly Capital Management‡ | 124,811 | 1,837 | ||||||
Aon | 41,844 | 2,377 | ||||||
Apartment Investment & Management, | 17,899 | 449 | ||||||
Arch Capital Group* | 16,500 | 744 | ||||||
Ares Capital (A) | 36,413 | 646 | ||||||
Arthur J Gallagher | 16,004 | 584 | ||||||
Aspen Insurance Holdings | 9,500 | 297 | ||||||
Associated Banc | 21,584 | 277 | ||||||
Assurant | 10,893 | 373 | ||||||
Assured Guaranty | 21,200 | 296 | ||||||
AvalonBay Communities‡ (A) | 11,841 | 1,560 | ||||||
Axis Capital Holdings | 15,100 | 543 | ||||||
Bank of America | 1,351,163 | 13,322 | ||||||
Bank of Hawaii | 5,582 | 243 | ||||||
Bank of New York Mellon | 150,509 | 3,603 | ||||||
BankUnited | 3,500 | 82 | ||||||
BB&T | 88,606 | 2,496 | ||||||
Berkshire Hathaway, Cl B* | 222,800 | 19,624 | ||||||
BioMed Realty Trust, Cl Use trader currency‡ (A) | 19,100 | 368 | ||||||
BlackRock, Cl A | 16,185 | 3,189 | ||||||
BOK Financial (A) | 2,275 | 125 | ||||||
Boston Properties‡ (A) | 19,184 | 1,969 | ||||||
Brandywine Realty Trust‡ | 12,200 | 146 | ||||||
BRE Properties‡ | 9,520 | 463 | ||||||
Brown & Brown | 17,724 | 476 | ||||||
Camden Property Trust‡ | 9,747 | 640 | ||||||
Capital One Financial | 72,825 | 4,195 | ||||||
CapitalSource | 19,982 | 161 | ||||||
Capitol Federal Financial | 17,624 | 210 | ||||||
CBL & Associates Properties‡ | 22,400 | 504 | ||||||
CBOE Holdings | 10,900 | 327 | ||||||
CBRE Group, Cl A* | 42,817 | 811 | ||||||
Charles Schwab (A) | 132,885 | 1,741 | ||||||
Chimera Investment‡ | 127,100 | 348 | ||||||
Chubb | 34,318 | 2,642 | ||||||
Cincinnati Financial | 17,786 | 721 | ||||||
CIT Group* | 24,100 | 893 | ||||||
Citigroup | 367,504 | 12,705 | ||||||
City National (A) | 5,838 | 284 | ||||||
CME Group, Cl A | 42,470 | 2,347 | ||||||
CNA Financial | 1,700 | 48 | ||||||
Comerica | 23,853 | 706 | ||||||
Commerce Bancshares (A) | 9,703 | 347 | ||||||
CommonWealth‡ | 6,325 | 96 | ||||||
Corporate Office Properties Trust‡ | 8,200 | 202 | ||||||
Cullen/Frost Bankers (A) | 8,068 | 441 |
3 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
DDR‡ (A) | 34,900 | $ | 534 | |||||
Digital Realty Trust‡ (A) | 14,400 | 929 | ||||||
Discover Financial Services | 67,389 | 2,804 | ||||||
Douglas Emmett‡ (A) | 19,600 | 445 | ||||||
Duke Realty‡ | 36,409 | 491 | ||||||
E*Trade Financial* | 30,600 | 258 | ||||||
East West Bancorp | 17,900 | 379 | ||||||
Eaton Vance (A) | 14,310 | 456 | ||||||
Endurance Specialty Holdings | 5,400 | 217 | ||||||
Equity Lifestyle Properties‡ | 5,100 | 335 | ||||||
Equity Residential‡ (A) | 38,387 | 2,131 | ||||||
Erie Indemnity, Cl A | 2,119 | 151 | ||||||
Essex Property Trust‡ (A) | 4,569 | 642 | ||||||
Everest Re Group | 6,900 | 748 | ||||||
Extra Space Storage‡ | 15,300 | 538 | ||||||
Federal Realty Investment Trust‡ | 7,696 | 801 | ||||||
Federated Investors, Cl B (A) | 9,458 | 188 | ||||||
Fidelity National Financial, Cl A | 32,004 | 775 | ||||||
Fifth Third Bancorp | 113,782 | 1,666 | ||||||
First Citizens BancShares, Cl A | 300 | 49 | ||||||
First Horizon National | 31,256 | 296 | ||||||
First Niagara Financial Group | 43,600 | 329 | ||||||
First Republic Bank | 10,500 | 355 | ||||||
Forest City Enterprises, Cl A* | 17,642 | 265 | ||||||
Franklin Resources | 17,903 | 2,363 | ||||||
Fulton Financial | 24,795 | 241 | ||||||
General Growth Properties‡ | 62,653 | 1,214 | ||||||
Genworth Financial, Cl A* | 60,792 | 362 | ||||||
Goldman Sachs Group | 61,275 | 7,218 | ||||||
Hanover Insurance Group | 6,193 | 226 | ||||||
Hartford Financial Services Group | 52,910 | 1,121 | ||||||
Hatteras Financial‡ | 12,100 | 323 | ||||||
HCC Insurance Holdings | 12,541 | 463 | ||||||
HCP‡ | 58,374 | 2,630 | ||||||
Health Care‡ | 32,083 | 1,889 | ||||||
Home Properties‡ | 7,300 | 430 | ||||||
Hospitality Properties Trust‡ | 15,366 | 349 | ||||||
Host Hotels & Resorts‡ | 85,040 | 1,249 | ||||||
Howard Hughes* | 2,573 | 190 | ||||||
Hudson City Bancorp | 65,328 | 527 | ||||||
Huntington Bancshares | 105,334 | 648 | ||||||
Interactive Brokers Group, Cl A | 2,200 | 34 | ||||||
IntercontinentalExchange* | 8,600 | 1,136 | ||||||
Invesco | 53,100 | 1,327 | ||||||
Janus Capital Group | 16,465 | 135 | ||||||
Jefferies Group | 17,514 | 297 | ||||||
Jones Lang LaSalle | 4,600 | 377 | ||||||
JPMorgan Chase | 476,134 | 19,560 | ||||||
Kemper | 4,460 | 132 | ||||||
Keycorp | 114,095 | 922 | ||||||
Kilroy Realty‡ (A) | 11,000 | 496 | ||||||
Kimco Realty‡ (A) | 48,644 | 937 | ||||||
Lazard, Cl A (A) | 16,300 | 480 | ||||||
Legg Mason | 19,581 | 500 | ||||||
Leucadia National | 24,420 | 541 | ||||||
Liberty Property Trust‡ | 12,806 | 446 | ||||||
Lincoln National | 34,688 | 857 | ||||||
Loews | 38,736 | 1,584 | ||||||
LPL Financial Holdings | 5,700 | 160 | ||||||
M&T Bank (A) | 15,734 | 1,538 | ||||||
Macerich‡ | 15,911 | 899 |
Description | Shares | Market Value ($ Thousands) | ||||||
Mack-Cali Realty‡ | 10,898 | $ | 275 | |||||
Markel* | 1,350 | 647 | ||||||
Marsh & McLennan | 69,665 | 2,454 | ||||||
MBIA* (A) | 13,559 | 121 | ||||||
Mercury General | 2,396 | 100 | ||||||
MetLife | 107,109 | 3,555 | ||||||
MFA Mortgage Investments‡ | 44,200 | 372 | ||||||
Mid-America Apartment Communities‡ | 5,100 | 318 | ||||||
Moody’s (A) | 23,427 | 1,138 | ||||||
Morgan Stanley | 195,178 | 3,293 | ||||||
MSCI, Cl A* (A) | 16,500 | 478 | ||||||
NASDAQ OMX Group | 14,500 | 351 | ||||||
National Retail Properties‡ (A) | 16,000 | 491 | ||||||
New York Community Bancorp (A) | 57,272 | 745 | ||||||
Northern Trust | 25,505 | 1,225 | ||||||
NYSE Euronext | 30,600 | 715 | ||||||
Old Republic International | 27,690 | 290 | ||||||
PartnerRe | 9,100 | 754 | ||||||
People’s United Financial | 51,034 | 622 | ||||||
Piedmont Office Realty Trust, Cl A‡ | 21,400 | 378 | ||||||
Plum Creek Timber‡ (A) | 19,521 | 836 | ||||||
PNC Financial Services Group | 66,422 | 3,729 | ||||||
Popular* (A) | 10,653 | 211 | ||||||
Post Properties‡ | 6,700 | 329 | ||||||
Principal Financial Group (A) | 35,908 | 975 | ||||||
ProAssurance | 3,800 | 345 | ||||||
Progressive (A) | 75,880 | 1,612 | ||||||
Prologis‡ | 56,918 | 1,932 | ||||||
Protective Life | 13,009 | 353 | ||||||
Prudential Financial | 58,963 | 3,073 | ||||||
Public Storage‡ | 18,168 | 2,555 | ||||||
Raymond James Financial (A) | 14,221 | 537 | ||||||
Rayonier‡ | 14,804 | 738 | ||||||
Realty Income‡ (A) | 16,200 | 659 | ||||||
Regency Centers‡ | 11,108 | 520 | ||||||
Regions Financial | 167,387 | 1,116 | ||||||
Reinsurance Group of America, Cl A | 9,999 | 512 | ||||||
RenaissanceRe Holdings | 7,500 | 621 | ||||||
Retail Properties of America, Cl A‡ | 11,300 | 139 | ||||||
SEI† (B) | 14,442 | 318 | ||||||
Senior Housing Properties Trust‡ | 22,000 | 492 | ||||||
Signature Bank NY* (A) | 7,300 | 512 | ||||||
Simon Property Group‡ | 37,781 | 5,748 | ||||||
SL Green Realty‡ (A) | 10,768 | 812 | ||||||
SLM | 58,314 | 965 | ||||||
St. Joe* (A) | 8,061 | 172 | ||||||
StanCorp Financial Group | 3,742 | 127 | ||||||
State Street | 62,194 | 2,764 | ||||||
SunTrust Banks | 66,546 | 1,807 | ||||||
SVB Financial Group* | 5,500 | 304 | ||||||
Synovus Financial (A) | 70,572 | 167 | ||||||
T. Rowe Price Group | 31,580 | 2,042 | ||||||
Tanger Factory Outlet Centers‡ | 14,000 | 460 | ||||||
Taubman Centers‡ | 7,200 | 558 | ||||||
TCF Financial (A) | 14,501 | 172 | ||||||
TD Ameritrade Holding | 31,945 | 517 | ||||||
TFS Financial* | 3,700 | 30 |
4 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Torchmark | 12,025 | $ | 625 | |||||
Travelers | 49,175 | 3,483 | ||||||
UDR‡ | 29,793 | 686 | ||||||
Unum Group | 34,805 | 710 | ||||||
US Bancorp | 235,397 | 7,594 | ||||||
Validus Holdings | 11,526 | 409 | ||||||
Valley National Bancorp (A) | 16,916 | 161 | ||||||
Ventas‡ | 36,892 | 2,348 | ||||||
Vornado Realty Trust‡ | 22,936 | 1,753 | ||||||
Waddell & Reed Financial, Cl A | 10,700 | 348 | ||||||
Washington Federal | 13,263 | 213 | ||||||
Weingarten Realty Investors‡ | 14,967 | 407 | ||||||
Wells Fargo | 612,766 | 20,227 | ||||||
Weyerhaeuser‡ | 66,492 | 1,833 | ||||||
White Mountains Insurance Group | 647 | 333 | ||||||
WR Berkley | 15,014 | 597 | ||||||
XL Group, Cl A | 40,000 | 973 | ||||||
Zions Bancorporation (A) | 25,702 | 516 | ||||||
|
| |||||||
285,736 | ||||||||
|
| |||||||
Health Care — 11.5% | ||||||||
Abbott Laboratories | 197,276 | 12,823 | ||||||
Aetna | 42,934 | 1,854 | ||||||
Agilent Technologies | 42,964 | 1,645 | ||||||
Alere* | 9,300 | 172 | ||||||
Alexion Pharmaceuticals* | 24,400 | 2,343 | ||||||
Allergan | 38,296 | 3,552 | ||||||
Allscripts Healthcare Solutions* | 17,100 | 190 | ||||||
AMERIGROUP* | 6,900 | 633 | ||||||
AmerisourceBergen (A) | 30,024 | 1,268 | ||||||
Amgen | 96,558 | 8,574 | ||||||
Ariad Pharmaceuticals* | 24,600 | 550 | ||||||
Baxter International | 69,175 | 4,584 | ||||||
Becton Dickinson (A) | 25,044 | 1,920 | ||||||
Biogen Idec* | 30,000 | 4,473 | ||||||
BioMarin Pharmaceutical* (A) | 17,300 | 841 | ||||||
Bio-Rad Laboratories, Cl A* | 1,800 | 188 | ||||||
Boston Scientific* | 171,339 | 949 | ||||||
Bristol-Myers Squibb | 210,159 | 6,857 | ||||||
Brookdale Senior Living, Cl A* | 12,100 | 309 | ||||||
Bruker* | 7,600 | 111 | ||||||
C.R. Bard | 9,985 | 989 | ||||||
Cardinal Health | 42,829 | 1,732 | ||||||
CareFusion* | 30,564 | 853 | ||||||
Catamaran* | 24,348 | 1,185 | ||||||
Celgene* | 55,380 | 4,352 | ||||||
Cerner* | 17,148 | 1,324 | ||||||
Charles River Laboratories International* (A) | 4,443 | 171 | ||||||
CIGNA | 35,655 | 1,864 | ||||||
Community Health Systems* | 9,062 | 267 | ||||||
Cooper | 6,604 | 627 | ||||||
Covance* | 8,136 | 464 | ||||||
Coventry Health Care | 18,562 | 811 | ||||||
Covidien | 60,800 | 3,533 | ||||||
DaVita* | 11,208 | 1,210 | ||||||
Dentsply International (A) | 17,298 | 687 | ||||||
Edwards Lifesciences* | 13,514 | 1,173 | ||||||
Eli Lilly | 127,861 | 6,270 | ||||||
Endo Health Solutions* | 17,097 | 490 | ||||||
Express Scripts Holding* | 100,336 | 5,403 | ||||||
Forest Laboratories* | 31,573 | 1,120 |
Description | Shares | Market Value ($ Thousands) | ||||||
Gilead Sciences* (A) | 94,517 | $ | 7,089 | |||||
HCA Holdings | 22,200 | 705 | ||||||
Health Management Associates, Cl A* | 22,722 | 181 | ||||||
Health Net* | 8,102 | 191 | ||||||
Henry Schein* | 10,784 | 871 | ||||||
Hill-Rom Holdings | 7,724 | 216 | ||||||
Hologic* | 34,800 | 664 | ||||||
Hospira* (A) | 20,081 | 598 | ||||||
Humana | 20,075 | 1,313 | ||||||
Idexx Laboratories* (A) | 7,252 | 678 | ||||||
Illumina* (A) | 15,105 | 811 | ||||||
Incyte* (A) | 8,900 | 157 | ||||||
Intuitive Surgical* | 5,100 | 2,698 | ||||||
Johnson & Johnson (A) | 343,209 | 23,932 | ||||||
Laboratory Corp of America Holdings* (A) | 11,511 | 974 | ||||||
Life Technologies* | 21,370 | 1,055 | ||||||
LifePoint Hospitals* | 6,576 | 237 | ||||||
McKesson | 29,966 | 2,831 | ||||||
Medivation* (A) | 10,000 | 521 | ||||||
MEDNAX* (A) | 6,100 | 482 | ||||||
Medtronic | 129,585 | 5,457 | ||||||
Merck | 380,743 | 16,867 | ||||||
Mettler Toledo International* | 3,836 | 718 | ||||||
Mylan Laboratories* | 50,819 | 1,381 | ||||||
Myriad Genetics* | 11,300 | 325 | ||||||
Omnicare | 12,831 | 465 | ||||||
Onyx Pharmaceuticals* (A) | 7,900 | 596 | ||||||
Patterson | 9,583 | 327 | ||||||
PerkinElmer | 16,234 | 514 | ||||||
Perrigo (A) | 11,000 | 1,139 | ||||||
Pfizer | 929,280 | 23,251 | ||||||
QIAGEN* (A) | 29,200 | 540 | ||||||
Quest Diagnostics | 18,844 | 1,089 | ||||||
Regeneron Pharmaceuticals* (A) | 9,600 | 1,695 | ||||||
ResMed (A) | 18,835 | 774 | ||||||
Salix Pharmaceuticals* | 5,400 | 231 | ||||||
Sirona Dental Systems* | 8,400 | 526 | ||||||
St. Jude Medical | 38,946 | 1,335 | ||||||
Stryker | 39,704 | 2,150 | ||||||
Techne | 4,541 | 322 | ||||||
Teleflex | 4,240 | 293 | ||||||
Tenet Healthcare* | 12,798 | 371 | ||||||
Thermo Fisher Scientific | 46,625 | 2,963 | ||||||
Thoratec* (A) | 6,400 | 238 | ||||||
United Therapeutics* | 5,300 | 278 | ||||||
UnitedHealth Group | 129,020 | 7,017 | ||||||
Universal Health Services, Cl B | 11,076 | 499 | ||||||
Varian Medical Systems* (A) | 13,530 | 936 | ||||||
VCA Antech* | 10,839 | 225 | ||||||
Vertex Pharmaceuticals* | 25,000 | 995 | ||||||
Warner Chilcott, Cl A | 15,200 | 177 | ||||||
Waters* (A) | 10,672 | 902 | ||||||
Watson Pharmaceuticals* | 15,118 | 1,331 | ||||||
WellPoint | 42,131 | 2,355 | ||||||
Zimmer Holdings | 20,825 | 1,374 | ||||||
|
| |||||||
214,221 | ||||||||
|
| |||||||
Industrials — 10.3% | ||||||||
3M | 86,233 | 7,843 | ||||||
ADT | 29,200 | 1,340 |
5 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
AECOM Technology* | 10,700 | $ | 242 | |||||
AGCO* | 12,000 | 554 | ||||||
Air Lease, Cl A* | 7,900 | 176 | ||||||
Alliant Techsystems | 4,136 | 248 | ||||||
Ametek | 28,880 | 1,078 | ||||||
Armstrong World Industries (A) | 1,900 | 96 | ||||||
Avery Dennison | 15,610 | 522 | ||||||
Babcock & Wilcox | 14,650 | 369 | ||||||
BE Aerospace* | 14,166 | 671 | ||||||
Boeing | 93,291 | 6,930 | ||||||
C.H. Robinson Worldwide | 19,386 | 1,197 | ||||||
Carlisle | 9,366 | 530 | ||||||
Caterpillar | 81,188 | 6,920 | ||||||
Chicago Bridge & Iron | 12,000 | 487 | ||||||
Cintas (A) | 12,357 | 512 | ||||||
Clean Harbors* | 7,500 | 430 | ||||||
CNH Global (A) | 2,400 | 114 | ||||||
Colfax* | 4,000 | 156 | ||||||
Con-way | 4,423 | 124 | ||||||
Cooper Industries, Cl A | 18,800 | 1,401 | ||||||
Copa Holdings, Cl A | 4,100 | 389 | ||||||
Copart* | 11,118 | 336 | ||||||
Corrections Corp of America | 10,400 | 353 | ||||||
Covanta Holding (A) | 10,200 | 193 | ||||||
Crane | 6,100 | 259 | ||||||
CSX | 131,596 | 2,600 | ||||||
Cummins | 24,512 | 2,406 | ||||||
Danaher | 73,002 | 3,940 | ||||||
Deere | 50,019 | 4,204 | ||||||
Delta Air Lines* | 101,500 | 1,015 | ||||||
Donaldson | 18,244 | 613 | ||||||
Dover | 21,757 | 1,384 | ||||||
Dun & Bradstreet | 5,556 | 440 | ||||||
Eaton (A) | 41,752 | 2,178 | ||||||
Emerson Electric | 91,820 | 4,612 | ||||||
Engility Holdings* | 1,546 | 28 | ||||||
Equifax | 14,656 | 751 | ||||||
Exelis | 16,602 | 188 | ||||||
Expeditors International of Washington | 25,448 | 952 | ||||||
Fastenal (A) | 36,724 | 1,535 | ||||||
FedEx | 39,744 | 3,559 | ||||||
Flowserve | 6,600 | 914 | ||||||
Fluor | 20,208 | 1,073 | ||||||
Fortune Brands Home & Security* | 23,020 | 690 | ||||||
Gardner Denver | 7,200 | 503 | ||||||
GATX | 5,800 | 244 | ||||||
General Cable* (A) | 4,700 | 135 | ||||||
General Dynamics | 40,372 | 2,685 | ||||||
General Electric | 1,323,523 | 27,966 | ||||||
Graco | 9,224 | 456 | ||||||
GrafTech International* | 11,500 | 111 | ||||||
Harsco | 7,570 | 153 | ||||||
Hertz Global Holdings* (A) | 36,700 | 574 | ||||||
Honeywell International | 97,190 | 5,961 | ||||||
Hubbell, Cl B | 7,892 | 665 | ||||||
Huntington Ingalls Industries | 6,096 | 249 | ||||||
IDEX | 10,393 | 467 | ||||||
IHS, Cl A* | 6,100 | 562 | ||||||
Illinois Tool Works (A) | 53,780 | 3,311 | ||||||
Ingersoll-Rand | 37,000 | 1,805 | ||||||
Iron Mountain | 23,890 | 755 |
Description | Shares | Market Value ($ Thousands) | ||||||
ITT (A) | 8,251 | $ | 185 | |||||
Jacobs Engineering Group* | 17,002 | 696 | ||||||
JB Hunt Transport Services | 10,972 | 652 | ||||||
Joy Global (A) | 12,833 | 731 | ||||||
Kansas City Southern | 13,100 | 1,024 | ||||||
KAR Auction Services | 2,100 | 37 | ||||||
KBR | 18,480 | 514 | ||||||
Kennametal | 8,000 | 305 | ||||||
Kirby* | 6,900 | 400 | ||||||
L-3 Communications Holdings, Cl 3 | 11,677 | 897 | ||||||
Landstar System | 5,765 | 291 | ||||||
Lennox International | 8,100 | 426 | ||||||
Lincoln Electric Holdings | 10,400 | 494 | ||||||
Lockheed Martin | 33,029 | 3,082 | ||||||
Manitowoc (A) | 12,100 | 181 | ||||||
Manpower (A) | 11,584 | 445 | ||||||
Masco (A) | 44,209 | 750 | ||||||
Matson | 3,882 | 89 | ||||||
MRC Global* | 3,500 | 98 | ||||||
MSC Industrial Direct, Cl A | 6,920 | 503 | ||||||
Navistar International* (A) | 6,100 | 124 | ||||||
Nielsen Holdings* | 15,100 | 428 | ||||||
Nordson | 8,000 | 490 | ||||||
Norfolk Southern | 41,233 | 2,490 | ||||||
Northrop Grumman | 32,178 | 2,146 | ||||||
Oshkosh Truck* | 11,359 | 333 | ||||||
Owens Corning* | 16,900 | 584 | ||||||
Paccar (A) | 44,170 | 1,941 | ||||||
Pall (A) | 14,045 | 835 | ||||||
Parker Hannifin (A) | 18,704 | 1,537 | ||||||
Pentair | 26,273 | 1,274 | ||||||
Pitney Bowes (A) | 18,085 | 202 | ||||||
Polypore International* (A) | 5,800 | 238 | ||||||
Precision Castparts | 18,346 | 3,364 | ||||||
Quanta Services* | 23,400 | 605 | ||||||
Raytheon | 42,468 | 2,426 | ||||||
Regal-Beloit | 4,900 | 342 | ||||||
Republic Services, Cl A | 36,142 | 1,029 | ||||||
Robert Half International (A) | 17,676 | 500 | ||||||
Rockwell Automation | 16,904 | 1,339 | ||||||
Rockwell Collins (A) | 17,379 | 994 | ||||||
Rollins | 5,900 | 134 | ||||||
Roper Industries | 11,600 | 1,294 | ||||||
RR Donnelley & Sons (A) | 15,677 | 147 | ||||||
Ryder System | 6,306 | 297 | ||||||
Shaw Group* | 8,500 | 382 | ||||||
Snap-on | 8,391 | 667 | ||||||
Southwest Airlines | 92,220 | 879 | ||||||
Spirit Aerosystems Holdings, Cl A* | 12,200 | 192 | ||||||
SPX | 7,611 | 518 | ||||||
Stanley Black & Decker | 20,193 | 1,452 | ||||||
Stericycle* (A) | 10,126 | 947 | ||||||
Terex* (A) | 13,648 | 330 | ||||||
Textron (A) | 33,622 | 790 | ||||||
Timken | 12,269 | 553 | ||||||
Toro (A) | 6,320 | 284 | ||||||
Towers Watson, Cl A | 9,100 | 481 | ||||||
TransDigm Group | 6,200 | 843 | ||||||
Trinity Industries | 13,000 | 413 | ||||||
Triumph Group | 6,200 | 407 | ||||||
Tyco International | 58,400 | 1,657 |
6 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Union Pacific | 59,216 | $ | 7,271 | |||||
United Continental Holdings* (A) | 40,100 | 810 | ||||||
United Parcel Service, Cl B | 90,141 | 6,590 | ||||||
United Rentals* (A) | 11,600 | 482 | ||||||
United Technologies | 113,090 | 9,060 | ||||||
URS | 7,600 | 286 | ||||||
UTi Worldwide | 9,200 | 130 | ||||||
Valmont Industries | 2,400 | 335 | ||||||
Verisk Analytics, Cl A* | 17,600 | 877 | ||||||
WABCO Holdings* | 9,424 | 585 | ||||||
Wabtec | 6,600 | 558 | ||||||
Waste Connections (A) | 15,450 | 509 | ||||||
Waste Management (A) | 59,394 | 1,934 | ||||||
WESCO International* | 5,400 | 349 | ||||||
WW Grainger | 7,281 | 1,413 | ||||||
Xylem | 24,902 | 650 | ||||||
|
| |||||||
192,681 | ||||||||
|
| |||||||
Information Technology — 17.8% | ||||||||
Accenture, Cl A | 80,500 | 5,468 | ||||||
Acme Packet* | 4,900 | 98 | ||||||
Activision Blizzard | 56,456 | 646 | ||||||
Adobe Systems* | 61,402 | 2,125 | ||||||
Advanced Micro Devices* (A) | 63,134 | 139 | ||||||
Akamai Technologies* | 21,618 | 792 | ||||||
Alliance Data Systems* (A) | 6,112 | 871 | ||||||
Altera | 38,073 | 1,233 | ||||||
Amdocs | 20,700 | 693 | ||||||
Amphenol, Cl A | 19,192 | 1,188 | ||||||
Analog Devices | 39,312 | 1,596 | ||||||
Ansys* | 12,000 | 796 | ||||||
AOL* (A) | 12,134 | 455 | ||||||
Apple | 116,545 | 68,211 | ||||||
Applied Materials | 158,555 | 1,701 | ||||||
Arrow Electronics* | 16,089 | 599 | ||||||
Atmel* | 69,200 | 387 | ||||||
Autodesk* | 27,637 | 916 | ||||||
Automatic Data Processing | 61,592 | 3,496 | ||||||
Avago Technologies | 29,000 | 1,018 | ||||||
Avnet* | 15,510 | 454 | ||||||
AVX | 1,424 | 14 | ||||||
BMC Software* | 19,489 | 798 | ||||||
Broadcom, Cl A | 70,168 | 2,272 | ||||||
Broadridge Financial Solutions | 15,473 | 365 | ||||||
Brocade Communications Systems* | 47,500 | 270 | ||||||
CA | 42,238 | 936 | ||||||
Cadence Design Systems* | 38,363 | 488 | ||||||
Cisco Systems | 662,627 | 12,530 | ||||||
Citrix Systems* | 22,987 | 1,406 | ||||||
Cognizant Technology Solutions, Cl A* | 38,788 | 2,608 | ||||||
Computer Sciences | 21,764 | 828 | ||||||
Compuware* | 35,551 | 332 | ||||||
Comverse* | 1 | — | ||||||
Comverse Technology* | 15 | — | ||||||
Concur Technologies* (A) | 6,800 | 447 | ||||||
CoreLogic* | 15,884 | 410 | ||||||
Corning | 193,958 | 2,372 | ||||||
Cree* (A) | 12,222 | 395 | ||||||
Cypress Semiconductor | 14,100 | 143 | ||||||
Dell (A) | 189,343 | 1,825 |
Description | Shares | Market Value ($ Thousands) | ||||||
Diebold | 7,029 | $ | 210 | |||||
Dolby Laboratories, Cl A* (A) | 4,843 | 162 | ||||||
DST Systems | 4,595 | 265 | ||||||
eBay* | 144,211 | 7,617 | ||||||
EchoStar, Cl A* | 3,732 | 117 | ||||||
Electronic Arts* | 45,765 | 678 | ||||||
EMC* | 261,297 | 6,485 | ||||||
Equinix* (A) | 5,700 | 1,059 | ||||||
F5 Networks* | 9,538 | 894 | ||||||
Facebook, Cl A* (A) | 49,900 | 1,397 | ||||||
Factset Research Systems (A) | 6,500 | 600 | ||||||
Fairchild Semiconductor International, Cl A* | 11,500 | 153 | ||||||
Fidelity National Information Services | 29,990 | 1,083 | ||||||
Fiserv* | 16,169 | 1,245 | ||||||
FleetCor Technologies* | 4,600 | 240 | ||||||
FLIR Systems | 19,100 | 390 | ||||||
Fortinet* | 19,400 | 388 | ||||||
Freescale Semiconductor Holdings I* | 3,500 | 32 | ||||||
Fusion-io* (A) | 8,000 | 187 | ||||||
Gartner* | 13,200 | 632 | ||||||
Genpact | 15,700 | 252 | ||||||
Global Payments | 9,734 | 427 | ||||||
Google, Cl A* | 32,329 | 22,578 | ||||||
Harris | 15,089 | 711 | ||||||
Hewlett-Packard | 248,170 | 3,224 | ||||||
IAC | 8,632 | 407 | ||||||
Informatica* | 15,300 | 411 | ||||||
Ingram Micro, Cl A* | 18,923 | 307 | ||||||
Intel | 630,558 | 12,340 | ||||||
International Business Machines | 136,198 | 25,887 | ||||||
Intuit | 37,586 | 2,252 | ||||||
IPG Photonics* (A) | 2,700 | 160 | ||||||
Itron* | 4,300 | 188 | ||||||
Jabil Circuit | 18,874 | 359 | ||||||
Jack Henry & Associates | 13,100 | 509 | ||||||
JDS Uniphase* | 28,640 | 347 | ||||||
Juniper Networks* | 62,925 | 1,131 | ||||||
Kla-Tencor | 19,909 | 905 | ||||||
Lam Research* (A) | 24,252 | 852 | ||||||
Lender Processing Services | 9,214 | 229 | ||||||
Lexmark International, Cl A (A) | 6,386 | 155 | ||||||
Linear Technology (A) | 27,557 | 915 | ||||||
LinkedIn, Cl A* | 7,500 | 811 | ||||||
LSI* | 77,148 | 520 | ||||||
Marvell Technology Group | 61,600 | 522 | ||||||
Mastercard, Cl A | 13,500 | 6,597 | ||||||
Maxim Integrated Products | 34,900 | 1,019 | ||||||
Microchip Technology (A) | 23,322 | 709 | ||||||
Micron Technology* | 119,816 | 717 | ||||||
Micros Systems* | 11,600 | 504 | ||||||
Microsoft | 940,300 | 25,031 | ||||||
Molex (A) | 19,170 | 506 | ||||||
Motorola Solutions | 36,133 | 1,967 | ||||||
National Instruments | 9,904 | 241 | ||||||
NCR* | 19,689 | 471 | ||||||
NetApp* | 42,755 | 1,356 | ||||||
NetSuite* | 2,900 | 173 | ||||||
NeuStar, Cl A* | 8,277 | 333 | ||||||
Nuance Communications* (A) | 33,400 | 743 |
7 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Nvidia | 73,856 | $ | 885 | |||||
ON Semiconductor* | 47,500 | 315 | ||||||
Oracle | 478,620 | 15,364 | ||||||
Paychex (A) | 38,307 | 1,247 | ||||||
PMC - Sierra* | 21,000 | 108 | ||||||
Polycom* | 16,700 | 175 | ||||||
Qualcomm | 214,959 | 13,676 | ||||||
Rackspace Hosting* (A) | 13,400 | 926 | ||||||
Red Hat* | 22,827 | 1,128 | ||||||
Riverbed Technology* | 19,700 | 353 | ||||||
Rovi* | 11,000 | 169 | ||||||
SAIC (A) | 29,900 | 345 | ||||||
Salesforce.com* | 17,638 | 2,781 | ||||||
SanDisk* | 28,869 | 1,129 | ||||||
Silicon Laboratories* | 3,800 | 159 | ||||||
Skyworks Solutions* | 23,200 | 526 | ||||||
SolarWinds* | 9,200 | 515 | ||||||
Solera Holdings | 8,600 | 445 | ||||||
Splunk* (A) | 1,500 | 45 | ||||||
Symantec* | 89,448 | 1,678 | ||||||
Synopsys* | 19,582 | 642 | ||||||
Tech Data* | 5,350 | 236 | ||||||
Teradata* | 20,889 | 1,243 | ||||||
Teradyne* (A) | 23,063 | 361 | ||||||
Texas Instruments | 143,608 | 4,232 | ||||||
TIBCO Software* | 22,000 | 551 | ||||||
Total System Services | 23,691 | 520 | ||||||
Trimble Navigation* | 15,214 | 846 | ||||||
Vantiv, Cl A* | 5,100 | 111 | ||||||
VeriFone Holdings* | 13,400 | 407 | ||||||
VeriSign* | 18,985 | 648 | ||||||
Visa, Cl A | 64,900 | 9,716 | ||||||
Vishay Intertechnology* (A) | 12,950 | 126 | ||||||
VMware, Cl A* | 10,600 | 964 | ||||||
Western Digital | 27,930 | 934 | ||||||
Western Union | 72,428 | 913 | ||||||
Xerox | 160,096 | 1,090 | ||||||
Xilinx | 31,457 | 1,090 | ||||||
Yahoo!* | 155,681 | 2,922 | ||||||
Zebra Technologies, Cl A* | 4,925 | 192 | ||||||
Zynga, Cl A* | 7,000 | 17 | ||||||
|
| |||||||
331,651 | ||||||||
|
| |||||||
Materials — 3.7% | ||||||||
Air Products & Chemicals | 27,094 | 2,247 | ||||||
Airgas | 9,515 | 843 | ||||||
Albemarle | 10,944 | 654 | ||||||
Alcoa (A) | 126,802 | 1,067 | ||||||
Allegheny Technologies | 13,297 | 348 | ||||||
Allied Nevada Gold MTN* (A) | 9,500 | 309 | ||||||
Aptargroup | 8,200 | 391 | ||||||
Ashland (A) | 10,276 | 729 | ||||||
Ball | 18,850 | 842 | ||||||
Bemis | 12,774 | 429 | ||||||
Cabot | 6,573 | 248 | ||||||
Carpenter Technology | 5,500 | 267 | ||||||
Celanese, Cl A | 18,983 | 779 | ||||||
CF Industries Holdings | 8,166 | 1,748 | ||||||
Cliffs Natural Resources (A) | 17,300 | 497 | ||||||
Commercial Metals | 9,800 | 133 | ||||||
Compass Minerals International | 4,100 | 313 | ||||||
Crown Holdings* | 18,151 | 678 | ||||||
Cytec Industries | 5,681 | 390 |
Description | Shares | Market Value ($ Thousands) | ||||||
Domtar | 4,200 | $ | 336 | |||||
Dow Chemical | 149,870 | 4,525 | ||||||
E.I. du Pont de Nemours | 116,892 | 5,043 | ||||||
Eastman Chemical | 18,228 | 1,109 | ||||||
Ecolab | 33,308 | 2,401 | ||||||
FMC | 16,420 | 911 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 119,124 | 4,647 | ||||||
Greif, Cl A | 3,500 | 144 | ||||||
Huntsman | 23,129 | 380 | ||||||
International Flavors & Fragrances | 10,891 | 708 | ||||||
International Paper | 54,055 | 2,008 | ||||||
Intrepid Potash* | 3,900 | 83 | ||||||
LyondellBasell Industries, Cl A | 39,700 | 1,974 | ||||||
Martin Marietta Materials (A) | 6,363 | 573 | ||||||
MeadWestvaco | 21,258 | 657 | ||||||
Molycorp* (A) | 7,600 | 68 | ||||||
Monsanto | 66,550 | 6,095 | ||||||
Mosaic | 37,978 | 2,053 | ||||||
NewMarket | 800 | 212 | ||||||
Newmont Mining | 62,033 | 2,921 | ||||||
Nucor (A) | 39,390 | 1,622 | ||||||
Owens-Illinois* | 20,391 | 408 | ||||||
Packaging Corp of America | 12,099 | 441 | ||||||
PPG Industries | 19,523 | 2,426 | ||||||
Praxair | 37,525 | 4,023 | ||||||
Reliance Steel & Aluminum | 10,300 | 581 | ||||||
Rock-Tenn, Cl A | 8,700 | 566 | ||||||
Rockwood Holdings | 9,800 | 449 | ||||||
Royal Gold (A) | 7,200 | 582 | ||||||
RPM International | 18,269 | 530 | ||||||
Scotts Miracle-Gro, Cl A | 3,806 | 158 | ||||||
Sealed Air | 21,568 | 363 | ||||||
Sherwin-Williams | 10,737 | 1,638 | ||||||
Sigma-Aldrich (A) | 14,448 | 1,048 | ||||||
Silgan Holdings | 5,100 | 227 | ||||||
Sonoco Products | 12,446 | 374 | ||||||
Southern Copper (A) | 19,868 | 721 | ||||||
Steel Dynamics | 23,700 | 306 | ||||||
Tahoe Resources* (A) | 7,500 | 134 | ||||||
Titanium Metals | 7,458 | 124 | ||||||
United States Steel (A) | 20,483 | 442 | ||||||
Valspar | 12,464 | 782 | ||||||
Vulcan Materials | 15,857 | 838 | ||||||
Walter Industries (A) | 6,100 | 184 | ||||||
Westlake Chemical | 1,900 | 138 | ||||||
WR Grace* | 9,200 | 602 | ||||||
|
| |||||||
69,467 | ||||||||
|
| |||||||
Telecommunication Services — 2.8% | ||||||||
AT&T | 732,633 | 25,005 | ||||||
CenturyLink | 78,354 | 3,043 | ||||||
Clearwire, Cl A* (A) | 8,300 | 19 | ||||||
Crown Castle International* | 37,396 | 2,525 | ||||||
Frontier Communications (A) | 134,195 | 645 | ||||||
Groupon, Cl A* (A) | 2,500 | 10 | ||||||
Level 3 Communications* | 24,046 | 453 | ||||||
MetroPCS Communications* | 44,600 | 475 | ||||||
NII Holdings* (A) | 13,620 | 69 | ||||||
SBA Communications, Cl A* (A) | 14,600 | 1,005 | ||||||
Sprint Nextel* | 370,944 | 2,126 |
8 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Telephone & Data Systems | 11,780 | $ | 271 | |||||
tw telecom, Cl A* | 18,600 | 478 | ||||||
US Cellular* | 831 | 29 | ||||||
Verizon Communications | 355,776 | 15,697 | ||||||
Windstream (A) | 71,447 | 599 | ||||||
|
| |||||||
52,449 | ||||||||
|
| |||||||
Utilities — 3.4% | ||||||||
AES | 76,724 | 818 | ||||||
AGL Resources | 14,447 | 563 | ||||||
Alliant Energy | 14,576 | 653 | ||||||
Ameren | 28,890 | 866 | ||||||
American Electric Power | 61,550 | 2,625 | ||||||
American Water Works | 21,300 | 813 | ||||||
Aqua America (A) | 16,277 | 416 | ||||||
Atmos Energy | 10,891 | 381 | ||||||
Calpine* | 48,600 | 839 | ||||||
Centerpoint Energy | 50,815 | 1,003 | ||||||
CMS Energy | 31,542 | 771 | ||||||
Consolidated Edison (A) | 37,416 | 2,087 | ||||||
Dominion Resources | 71,912 | 3,675 | ||||||
DTE Energy | 20,164 | 1,221 | ||||||
Duke Energy | 87,816 | 5,604 | ||||||
Edison International | 40,279 | 1,832 | ||||||
Entergy | 21,998 | 1,398 | ||||||
Exelon | 107,076 | 3,236 | ||||||
FirstEnergy | 53,427 | 2,268 | ||||||
Great Plains Energy | 14,371 | 291 | ||||||
Hawaiian Electric Industries (A) | 11,946 | 298 | ||||||
Integrys Energy Group | 9,602 | 511 | ||||||
ITC Holdings (A) | 7,500 | 589 | ||||||
MDU Resources Group | 25,521 | 529 | ||||||
National Fuel Gas | 7,989 | 416 | ||||||
NextEra Energy | 52,573 | 3,612 | ||||||
NiSource | 34,121 | 825 | ||||||
Northeast Utilities | 38,908 | 1,507 | ||||||
NRG Energy (A) | 28,100 | 593 | ||||||
NV Energy | 33,900 | 621 | ||||||
OGE Energy | 12,068 | 689 | ||||||
ONEOK (A) | 24,658 | 1,107 | ||||||
Pepco Holdings (A) | 28,144 | 556 | ||||||
PG&E | 53,918 | 2,208 | ||||||
Pinnacle West Capital | 13,292 | 684 | ||||||
PPL | 74,226 | 2,179 | ||||||
Public Service Enterprise Group | 64,952 | 1,954 | ||||||
Questar | 22,046 | 433 | ||||||
SCANA (A) | 14,220 | 659 | ||||||
Sempra Energy | 30,923 | 2,116 | ||||||
Southern | 108,703 | 4,734 | ||||||
TECO Energy | 29,500 | 496 | ||||||
UGI | 13,850 | 460 | ||||||
Vectren | 8,791 | 257 | ||||||
Westar Energy | 15,700 | 451 | ||||||
Wisconsin Energy (A) | 27,398 | 1,028 | ||||||
Xcel Energy | 60,281 | 1,631 | ||||||
|
| |||||||
62,503 | ||||||||
|
| |||||||
Total Common Stock | 1,798,682 | |||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
AFFILIATED PARTNERSHIP — 8.4% |
| |||||||
SEI Liquidity Fund, L.P. 0.180%** † (C) | 156,295,236 | $ | 156, 295 | |||||
|
| |||||||
Total Affiliated Partnership |
| 156,295 | ||||||
|
| |||||||
CASH EQUIVALENT — 3.0% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 55,673,192 | 55,673 | ||||||
|
| |||||||
Total Cash Equivalent | 55,673 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATION (D) (E) — 0.2% |
| |||||||
U.S. Treasury Bills 0.088%, 02/07/2013 | 3,150 | 3,150 | ||||||
|
| |||||||
Total U.S. Treasury Obligation | 3,150 | |||||||
|
| |||||||
Total Investments — 108.2% | $ | 2,013,800 | ||||||
|
| |||||||
A list of the open futures contracts held by the Fund at November 30, 2012, is as follows:
Type of Contract | Number of Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
S&P 500 Index EMINI | 790 | Dec-2012 | $ | (884 | ) | |||||||
S&P Mid 400 Index E-MINI | 62 | Dec-2012 | (13 | ) | ||||||||
|
| |||||||||||
$ | (897 | ) | ||||||||||
|
|
For the period ended November 30, 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 period.
Percentages are based on a Net Assets of $1,860,375 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 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 November 30, 2012. The total value of securities on loan at November 30, 2012 was $152,486 ($ Thousands). |
(B) | The Fund may purchase securities of certain companies with which it is affiliated to the extent these companies are represented in its benchmark index. |
(C) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2012 was $156,295 ($ 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
MTN — Medium Term Note
Ser — Series
SPX — Standard & Poor's 500 Index
S&P — Standard and Poor's
9 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2012
The following is a list of the inputs used as of November 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands).
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | 1,798,682 | — | — | 1,798,682 | ||||||||||||
Affiliated Partnership | — | 156,295 | — | 156,295 | ||||||||||||
Cash Equivalent | 55,673 | — | — | 55,673 | ||||||||||||
U.S. Treasury Obligation | — | 3,150 | — | 3,150 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,854,355 | $ | 159,445 | $ | — | $ | 2,013,800 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (897 | ) | $ | — | $ | — | $ | (897 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the period ended November 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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 $0.
The accompanying notes are an integral part of the financial statements.
-
10 | SEI Institutional Investments Trust/ Semi-Annual Report/ November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 94.6% | ||||||||
Consumer Discretionary — 13.9% | ||||||||
Abercrombie & Fitch, Cl A | 11,558 | $ | 530 | |||||
American Greetings, Cl A (A) | 16,000 | 276 | ||||||
America’s Car-Mart* | 10,700 | 395 | ||||||
Ameristar Casinos | 14,400 | 287 | ||||||
ANN (A) | 22,400 | 752 | ||||||
Arbitron | 11,000 | 400 | ||||||
Arctic Cat* | 20,740 | 781 | ||||||
Beazer Homes USA (A) | 18,360 | 274 | ||||||
bebe stores inc | 5,500 | 21 | ||||||
Belo, Cl A (A) | 114,086 | 822 | ||||||
Big Lots (A) | 13,500 | 380 | ||||||
Biglari Holdings* | 1,410 | 512 | ||||||
BJ’s Restaurants (A) | 49,111 | 1,684 | ||||||
Bob Evans Farms | 18,900 | 712 | ||||||
Bravo Brio Restaurant Group | 67,892 | 927 | ||||||
Brown Shoe | 30,100 | 573 | ||||||
Brunswick | 19,242 | 496 | ||||||
Cabela’s | 19,995 | 955 | ||||||
Callaway Golf (A) | 71,708 | 483 | ||||||
Capella Education | 23,546 | 651 | ||||||
Career Education | 160,500 | 480 | ||||||
Carmike Cinemas* | 34,700 | 525 | ||||||
Carter’s* | 27,005 | 1,432 | ||||||
Casual Male Retail Group* | 144,100 | 552 | ||||||
Cato, Cl A | 30,400 | 883 | ||||||
CEC Entertainment | 10,500 | 329 | ||||||
Children’s Place Retail Stores* (A) | 39,095 | 1,900 | ||||||
Coinstar* (A) | 33,294 | 1,566 | ||||||
Columbia Sportswear (A) | 8,928 | 517 | ||||||
Conn’s* (A) | 14,110 | 399 | ||||||
Cooper Tire & Rubber | 65,381 | 1,633 | ||||||
Core-Mark Holding | 18,108 | 828 | ||||||
Corinthian Colleges* (A) | 129,700 | 288 | ||||||
Cracker Barrel Old Country Store | 2,000 | 123 | ||||||
CSS Industries | 10,800 | 222 | ||||||
Deckers Outdoor* (A) | 41,812 | 1,601 | ||||||
Denny’s | 16,900 | 80 | ||||||
Destination Maternity | 12,600 | 280 | ||||||
Dick’s Sporting Goods | 18,810 | 988 | ||||||
DreamWorks Animation SKG, Cl A* (A) | 47,000 | 805 | ||||||
Ethan Allen Interiors (A) | 31,766 | 921 | ||||||
Express* | 55,648 | 831 | ||||||
Federal Mogul, Cl A | 13,400 | 105 | ||||||
Finish Line, Cl A | 1,600 | 33 | ||||||
Five Below* (A) | 11,537 | 429 | ||||||
Francesca’s Holdings (A) | 68,925 | 1,794 | ||||||
Fred’s, Cl A (A) | 35,200 | 468 | ||||||
GameStop, Cl A (A) | 51,832 | 1,361 | ||||||
G-III Apparel Group* | 4,400 | 167 | ||||||
Gordmans Stores* | 63,347 | 916 | ||||||
Grand Canyon Education* | 50,450 | 1,195 | ||||||
Helen of Troy | 6,400 | 197 | ||||||
hhgregg* (A) | 47,300 | 350 | ||||||
Hibbett Sports* (A) | 41,323 | 2,221 | ||||||
Hillenbrand | 8,400 | 178 | ||||||
HomeAway* (A) | 18,130 | 371 | ||||||
Hot Topic (A) | 60,300 | 602 |
Description | Shares | Market Value ($ Thousands) | ||||||
Ignite Restaurant Group* | 28,900 | $ | 367 | |||||
Jack in the Box | 54,902 | 1,513 | ||||||
JAKKS Pacific (A) | 18,016 | 225 | ||||||
Jones Group (A) | 41,000 | 482 | ||||||
Journal Communications, Cl A* | 71,000 | 398 | ||||||
K12* (A) | 53,375 | 925 | ||||||
Kirkland’s* (A) | 9,000 | 82 | ||||||
Krispy Kreme Doughnuts | 133,300 | 1,213 | ||||||
La-Z-Boy, Cl Z | 16,400 | 245 | ||||||
Libbey* (A) | 109,300 | 2,134 | ||||||
Life Time Fitness* (A) | 36,860 | 1,735 | ||||||
Lincoln Educational Services | 16,400 | 63 | ||||||
Lithia Motors, Cl A | 9,400 | 336 | ||||||
LKQ* | 42,967 | 942 | ||||||
Lumber Liquidators Holdings* (A) | 39,940 | 2,144 | ||||||
M/I Homes | 10,900 | 240 | ||||||
Maidenform Brands* | 65,635 | 1,206 | ||||||
Marriott Vacations Worldwide | 8,500 | 338 | ||||||
Matthews International, Cl A (A) | 54,699 | 1,655 | ||||||
MDC Holdings | 5,400 | 190 | ||||||
MDC Partners, Cl A | 159,600 | 1,692 | ||||||
Men’s Wearhouse | 37,091 | 1,203 | ||||||
Meredith (A) | 28,880 | 901 | ||||||
Modine Manufacturing* | 37,900 | 280 | ||||||
Monro Muffler Brake (A) | 58,929 | 1,890 | ||||||
Morgans Hotel Group* | 100,500 | 588 | ||||||
Movado Group | 15,800 | 548 | ||||||
Multimedia Games Holding* | 15,400 | 228 | ||||||
NACCO Industries, Cl A | 6,600 | 352 | ||||||
National CineMedia | 191,389 | 2,737 | ||||||
Nutrisystem | 5,900 | 47 | ||||||
Office Depot* (A) | 112,800 | 379 | ||||||
OfficeMax | 35,400 | 354 | ||||||
Orient-Express Hotels, Cl A | 111,962 | 1,380 | ||||||
Pacific Sunwear of California* (A) | 33,500 | 51 | ||||||
Pandora Media* (A) | 70,790 | 617 | ||||||
Panera Bread, Cl A | 6,850 | 1,099 | ||||||
Papa John’s International* | 5,400 | 286 | ||||||
Pep Boys-Manny Moe & Jack (A) | 43,375 | 458 | ||||||
Perry Ellis International* | 13,800 | 299 | ||||||
PetMed Express (A) | 34,900 | 403 | ||||||
Pier 1 Imports (A) | 104,021 | 1,996 | ||||||
Pinnacle Entertainment* | 63,465 | 820 | ||||||
Quiksilver* | 280,163 | 1,121 | ||||||
RadioShack (A) | 23,000 | 47 | ||||||
ReachLocal | 63,800 | 699 | ||||||
Red Robin Gourmet Burgers* | 39,037 | 1,278 | ||||||
Regis (A) | 90,416 | 1,489 | ||||||
Rent-A-Center, Cl A | 45,300 | 1,575 | ||||||
Rue21* (A) | 14,580 | 419 | ||||||
Scholastic (A) | 33,000 | 926 | ||||||
School Specialty* (A) | 12,184 | 16 | ||||||
Scientific Games, Cl A | 189,478 | 1,578 | ||||||
Select Comfort* | 71,507 | 1,915 | ||||||
Shutterfly (A) | 42,400 | 1,143 | ||||||
Sinclair Broadcast Group, Cl A (A) | 18,700 | 206 | ||||||
Six Flags Entertainment | 1,700 | 105 | ||||||
Skechers U.S.A., Cl A* (A) | 38,800 | 755 | ||||||
Skullcandy (A) | 81,644 | 704 |
1 | SEI Institutional Investments Trust /Semi-Annual Report/November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Smith & Wesson Holding* | 43,500 | $ | 461 | |||||
SodaStream International (A) | 31,836 | 1,270 | ||||||
Sonic* | 42,000 | 425 | ||||||
Sotheby’s (A) | 9,110 | 263 | ||||||
Stage Stores (A) | 25,300 | 654 | ||||||
Standard Motor Products | 16,400 | 321 | ||||||
Standard Pacific* (A) | 94,585 | 634 | ||||||
Starwood Hotels & Resorts Worldwide | 6,800 | 367 | ||||||
Steiner Leisure | 1,900 | 87 | ||||||
Stewart Enterprises, Cl A (A) | 55,500 | 424 | ||||||
Superior Industries International | 8,800 | 167 | ||||||
Tesla Motors* (A) | 15,840 | 536 | ||||||
Ulta Salon Cosmetics & Fragrance | 10,930 | 1,096 | ||||||
Unifi* | 2,600 | 36 | ||||||
Universal Electronics | 15,100 | 266 | ||||||
Vail Resorts (A) | 37,019 | 2,085 | ||||||
Valassis Communications (A) | 5,400 | 140 | ||||||
Vera Bradley (A) | 16,120 | 447 | ||||||
Vitamin Shoppe | 40,244 | 2,385 | ||||||
Warnaco Group | 14,085 | 1,013 | ||||||
Wet Seal, Cl A | 262,000 | 770 | ||||||
Winnebago Industries | 3,200 | 45 | ||||||
WMS Industries (A) | 115,910 | 1,959 | ||||||
Wolverine World Wide (A) | 65,428 | 2,832 | ||||||
Zumiez (A) | 41,758 | 864 | ||||||
|
| |||||||
108,045 | ||||||||
|
| |||||||
Consumer Staples — 2.7% | ||||||||
Andersons | 10,900 | 460 | ||||||
Cal-Maine Foods | 1,741 | 80 | ||||||
Casey’s General Stores (A) | 29,027 | 1,434 | ||||||
Central Garden and Pet, Cl A* | 28,823 | 338 | ||||||
Central Garden and Pet* | 20,837 | 234 | ||||||
Chefs’ Warehouse* (A) | 40,772 | 645 | ||||||
Chiquita Brands International (A) | 218,500 | 1,558 | ||||||
Coca-Cola Bottling | 5,000 | 343 | ||||||
Darling International* | 21,800 | 368 | ||||||
Dean Foods* | 16,660 | 285 | ||||||
Dole Food* (A) | 63,901 | 733 | ||||||
Fresh Del Monte Produce | 59,200 | 1,536 | ||||||
Fresh Market* | 18,263 | 946 | ||||||
Harris Teeter Supermarkets (A) | 3,300 | 125 | ||||||
Ingles Markets, Cl A | 11,100 | 181 | ||||||
Ingredion | 22,935 | 1,490 | ||||||
J&J Snack Foods | 10,735 | 675 | ||||||
Lancaster Colony (A) | 10,800 | 818 | ||||||
Medifast* | 13,100 | 416 | ||||||
Nash Finch | 11,800 | 249 | ||||||
Pantry | 45,545 | 585 | ||||||
Pilgrim’s Pride (A) | 66,100 | 472 | ||||||
Post Holdings* | 6,000 | 207 | ||||||
Prestige Brands Holdings* | 57,602 | 1,244 | ||||||
Rite Aid* | 326,100 | 329 | ||||||
Sanderson Farms | 10,586 | 508 | ||||||
Smart Balance | 41,020 | 510 | ||||||
Spartan Stores (A) | 50,982 | 767 | ||||||
Spectrum Brands Holdings* | 7,300 | 349 | ||||||
TreeHouse Foods | 9,347 | 490 | ||||||
United Natural Foods | 9,341 | 484 | ||||||
Universal (A) | 10,200 | 509 |
Description | Shares | Market Value ($ Thousands) | ||||||
USANA Health Sciences (A) | 18,300 | $ | 755 | |||||
WD-40 | 3,900 | 184 | ||||||
Weis Markets | 6,700 | 262 | ||||||
WhiteWave Foods, Cl A (A) | 40,060 | 608 | ||||||
|
| |||||||
21,177 | ||||||||
|
| |||||||
Energy — 6.0% | ||||||||
Alberta Oilsands | 536,100 | 35 | ||||||
Alpha Natural Resources* (A) | 32,800 | 245 | ||||||
Approach Resources | 3,100 | 73 | ||||||
Basic Energy Services* (A) | 6,400 | 70 | ||||||
Berry Petroleum, Cl A (A) | 28,741 | 894 | ||||||
Bonanza Creek Energy* | 13,405 | 318 | ||||||
Bristow Group (A) | 13,950 | 727 | ||||||
Callon Petroleum* | 3,500 | 16 | ||||||
Clayton Williams Energy | 1,300 | 53 | ||||||
Cloud Peak Energy (A) | 77,800 | 1,476 | ||||||
Comstock Resources* (A) | 42,800 | 702 | ||||||
Contango Oil & Gas | 2,500 | 103 | ||||||
CVR Energy* | 1,600 | 73 | ||||||
Delek US Holdings | 13,900 | 365 | ||||||
Diamondback Energy* | 43,400 | 781 | ||||||
Dresser-Rand Group* | 36,089 | 1,906 | ||||||
Dril-Quip* (A) | 41,356 | 2,910 | ||||||
Energy XXI Bermuda (A) | 33,135 | 1,050 | ||||||
EPL Oil & Gas* | 53,100 | 1,115 | ||||||
Forest Oil* | 64,900 | 413 | ||||||
Forum Energy Technologies* (A) | 51,565 | 1,301 | ||||||
Geospace Technologies* | 1,900 | 145 | ||||||
Goodrich Petroleum* (A) | 32,632 | 294 | ||||||
Green Plains Renewable Energy* | 16,500 | 128 | ||||||
Gulf Island Fabrication | 5,400 | 126 | ||||||
Gulfmark Offshore, Cl A* | 38,729 | 1,214 | ||||||
Gulfport Energy* | 13,358 | 508 | ||||||
Harvest Natural Resources* | 10,000 | 88 | ||||||
Heckmann* (A) | 61,200 | 239 | ||||||
Helix Energy Solutions Group* | 40,300 | 706 | ||||||
Key Energy Services* | 258,738 | 1,731 | ||||||
Kinder Morgan Escrow* | 58,213 | — | ||||||
KiOR, Cl A* (A) | 56,245 | 363 | ||||||
Knightsbridge Tankers (A) | 4,400 | 26 | ||||||
Laredo Petroleum Holdings* (A) | 73,174 | 1,392 | ||||||
Lone Pine Resources* | 27,846 | 30 | ||||||
Lufkin Industries | 4,800 | 263 | ||||||
Magnum Hunter Resources (A) | 149,681 | 603 | ||||||
Matador Resources | 56,040 | 498 | ||||||
Matrix Service* | 18,800 | 206 | ||||||
McDermott International* | 53,008 | 558 | ||||||
Mitcham Industries* | 3,700 | 53 | ||||||
Newpark Resources* (A) | 113,800 | 888 | ||||||
Oasis Petroleum* | 94,281 | 2,849 | ||||||
Oceaneering International | 17,610 | 928 | ||||||
Oil States International* | 11,695 | 827 | ||||||
Oilsands Quest* (D) (E) | 722,473 | 3 | ||||||
Parker Drilling* | 234,000 | 980 | ||||||
Penn Virginia (A) | 97,400 | 432 | ||||||
Petroquest Energy* (A) | 22,600 | 120 | ||||||
Pioneer Energy Services | 120,598 | 872 | ||||||
Rentech* | 45,000 | 127 | ||||||
REX American Resources* | 1,500 | 28 | ||||||
Rosetta Resources* (A) | 34,745 | 1,561 |
2 | SEI Institutional Investments Trust /Semi-Annual Report/November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Scorpio Tankers (A) | 197,800 | $ | 1,266 | |||||
SEACOR Holdings* | 4,400 | 399 | ||||||
SemGroup, Cl A | 2,100 | 79 | ||||||
Ship Finance International | 4,600 | 74 | ||||||
SM Energy | 1,420 | 71 | ||||||
StealthGas | 53,800 | 406 | ||||||
Stone Energy* | 14,000 | 290 | ||||||
Superior Energy Services | 15,600 | 317 | ||||||
Swift Energy (A) | 83,110 | 1,287 | ||||||
Targa Resources | 17,592 | 881 | ||||||
Tesco* | 20,200 | 218 | ||||||
Tesoro | 15,500 | 655 | ||||||
Tetra Technologies* | 84,045 | 588 | ||||||
Tidewater | 19,300 | 866 | ||||||
Unit | 29,000 | 1,303 | ||||||
USEC (A) | 36,800 | 18 | ||||||
Vaalco Energy | 100,600 | 852 | ||||||
W&T Offshore (A) | 26,300 | 436 | ||||||
Western Refining (A) | 31,200 | 906 | ||||||
Willbros Group | 37,100 | 187 | ||||||
World Fuel Services (A) | 55,262 | 2,152 | ||||||
|
| |||||||
46,663 | ||||||||
|
| |||||||
Financials — 20.0% | ||||||||
1st Source | 6,200 | 131 | ||||||
Acadia Realty Trust‡ | 22,160 | 550 | ||||||
Affiliated Managers Group (A) | 14,490 | 1,867 | ||||||
Agree Realty‡ (A) | 13,100 | 343 | ||||||
Alliance Financial | 3,500 | 149 | ||||||
Allied World Assurance Holdings | 5,200 | 422 | ||||||
Alterra Capital Holdings (A) | 118,983 | 2,784 | ||||||
American Assets Trust‡ | 14,415 | 392 | ||||||
American Capital Mortgage Investment‡ | 8,300 | 212 | ||||||
American Equity Investment Life Holding (A) | 104,400 | 1,204 | ||||||
AMERISAFE | 2,000 | 52 | ||||||
Amtrust Financial Services (A) | 18,700 | 539 | ||||||
Anworth Mortgage Asset‡ | 121,700 | 718 | ||||||
Apartment Investment & Management, Cl A‡ | 30,531 | 765 | ||||||
Apollo Investments* | 14,400 | 117 | ||||||
Ares Capital | 1,950 | 35 | ||||||
Argo Group International Holdings | 18,100 | 601 | ||||||
Ashford Hospitality Trust‡ | 28,700 | 260 | ||||||
Aspen Insurance Holdings | 7,400 | 232 | ||||||
Associated Banc | 14,000 | 180 | ||||||
Associated Estates Realty‡ | 14,400 | 218 | ||||||
Astoria Financial (A) | 5,900 | 55 | ||||||
AvalonBay Communities‡ (A) | 6,562 | 865 | ||||||
Banco Latinoamericano de Comercio Exterior, Cl E | 42,900 | 927 | ||||||
Bancorpsouth (A) | 26,412 | 349 | ||||||
Bank of the Ozarks (A) | 22,240 | 707 | ||||||
Banner | 29,308 | 881 | ||||||
BBCN Bancorp | 5,200 | 59 | ||||||
Berkshire Hills Bancorp | 26,465 | 610 | ||||||
BGC Partners, Cl A (A) | 50,000 | 180 | ||||||
BioMed Realty Trust, Cl Usetrader currency ‡ (A) | 46,808 | 902 | ||||||
BlackRock Kelso Capital (A) | 80,300 | 811 |
Description | Shares | Market Value ($ Thousands) | ||||||
Boston Private Financial Holdings (A) | 87,444 | $ | 807 | |||||
Boston Properties‡ (A) | 7,128 | 732 | ||||||
Brandywine Realty Trust‡ | 31,100 | 371 | ||||||
BRE Properties‡ | 7,990 | 389 | ||||||
Camden National | 4,600 | 160 | ||||||
Campus Crest Communities‡ | 120,900 | 1,383 | ||||||
CapLease‡ | 45,800 | 214 | ||||||
Capstead Mortgage‡ | 21,600 | 262 | ||||||
Cardinal Financial | 43,792 | 657 | ||||||
CBL & Associates Properties‡ (A) | 65,417 | 1,473 | ||||||
Central Pacific Financial* | 51,310 | 758 | ||||||
Chesapeake Lodging Trust‡ | 7,100 | 134 | ||||||
Citizens Republic Bancorp* | 5,150 | 97 | ||||||
City Holding | 12,400 | 417 | ||||||
CNO Financial Group (A) | 291,700 | 2,655 | ||||||
CoBiz Financial | 63,825 | 448 | ||||||
Cohen & Steers (A) | 14,240 | 407 | ||||||
Colonial Properties Trust‡ | 24,200 | 494 | ||||||
Columbia Banking System | 24,800 | 428 | ||||||
CommonWealth‡ | 11,800 | 179 | ||||||
Community Bank System (A) | 11,300 | 304 | ||||||
Community Trust Bancorp | 8,400 | 275 | ||||||
Coresite Realty‡ | 20,225 | 518 | ||||||
Credit Acceptance* | 1,500 | 138 | ||||||
CreXus Investment‡ | 42,500 | 531 | ||||||
CYS Investments‡ | 39,100 | 500 | ||||||
DFC Global (A) | 39,016 | 681 | ||||||
Dime Community Bancshares | 18,500 | 258 | ||||||
Douglas Emmett‡ (A) | 46,130 | 1,048 | ||||||
Dynex Capital‡ | 28,900 | 283 | ||||||
Eagle Bancorp* | 57,247 | 1,115 | ||||||
East West Bancorp | 25,415 | 537 | ||||||
EastGroup Properties‡ | 27,551 | 1,440 | ||||||
Education Realty Trust‡ | 117,426 | 1,211 | ||||||
Employers Holdings (A) | 74,151 | 1,416 | ||||||
Endurance Specialty Holdings | 30,556 | 1,228 | ||||||
Epoch Holding | 28,076 | 615 | ||||||
EPR Properties‡ | 2,800 | 127 | ||||||
Equity One‡ (A) | 41,950 | 867 | ||||||
Equity Residential‡ | 29,537 | 1,640 | ||||||
Extra Space Storage‡ | 9,250 | 325 | ||||||
FBR Capital Markets | 290,500 | 973 | ||||||
Federated Investors, Cl B (A) | 28,653 | 569 | ||||||
Financial Engines* (A) | 74,843 | 1,962 | ||||||
First American Financial | 19,100 | 455 | ||||||
First Commonwealth Financial | 88,800 | 569 | ||||||
First Financial Bankshares (A) | 2,900 | 113 | ||||||
First Financial Holdings | 2,200 | 30 | ||||||
First Horizon National | 155,392 | 1,470 | ||||||
First Industrial Realty Trust‡* | 13,200 | 174 | ||||||
First Merchants | 16,500 | 224 | ||||||
First Midwest Bancorp | 149,416 | 1,868 | ||||||
First Potomac Realty Trust‡ | 2,100 | 25 | ||||||
FirstMerit (A) | 49,339 | 695 | ||||||
Flushing Financial | 28,000 | 419 | ||||||
FNB (Pennsylvania) (A) | 13,400 | 145 | ||||||
Forest City Enterprises, Cl A* | 32,740 | 493 | ||||||
Forestar Group* | 6,000 | 89 | ||||||
Fulton Financial | 32,600 | 317 | ||||||
FXCM, Cl A (A) | 90,600 | 907 |
3 | SEI Institutional Investments Trust /Semi-Annual Report/November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
General Growth Properties‡ | 18,676 | $ | 362 | |||||
Getty Realty‡ (A) | 10,500 | 177 | ||||||
GFI Group | 39,000 | 109 | ||||||
Global Indemnity, Cl A | 14,000 | 308 | ||||||
Government Properties Income Trust‡ (A) | 32,100 | 740 | ||||||
Great American Group* | 92,182 | 14 | ||||||
Hancock Holding | 34,322 | 1,078 | ||||||
Hanover Insurance Group | 31,581 | 1,154 | ||||||
Hatteras Financial‡ | 17,500 | 467 | ||||||
HCP‡ | 23,998 | 1,081 | ||||||
Health Care‡ | 15,100 | 889 | ||||||
Healthcare Realty Trust‡ | 10,000 | 238 | ||||||
Hercules Technology Growth Capital | 6,900 | 74 | ||||||
Highwoods Properties‡ (A) | 35,315 | 1,139 | ||||||
Home Bancshares | 15,800 | 524 | ||||||
Home Loan Servicing Solutions | 34,300 | 671 | ||||||
Home Properties‡ | 6,460 | 380 | ||||||
HomeStreet | 20,000 | 492 | ||||||
Horace Mann Educators | 106,195 | 2,030 | ||||||
Hospitality Properties Trust‡ | 8,200 | 186 | ||||||
Host Hotels & Resorts‡ | 49,359 | 725 | ||||||
Iberiabank | 32,063 | 1,563 | ||||||
Infinity Property & Casualty | 35,710 | 1,954 | ||||||
Inland Real Estate‡ | 64,400 | 513 | ||||||
International Bancshares (A) | 36,100 | 653 | ||||||
Investment Technology Group | 60,200 | 538 | ||||||
Investors Real Estate Trust‡ (A) | 6,900 | 59 | ||||||
Jones Lang LaSalle | 16,917 | 1,387 | ||||||
Kennedy-Wilson Holdings (A) | 114,800 | 1,504 | ||||||
Kimco Realty‡ | 19,400 | 374 | ||||||
Kite Realty Group Trust‡ | 53,200 | 284 | ||||||
Knight Capital Group, Cl A (A) | 33,800 | 114 | ||||||
LaSalle Hotel Properties‡ | 20,866 | 503 | ||||||
Lexington Realty Trust‡ (A) | 173,704 | 1,666 | ||||||
LTC Properties‡ | 17,600 | 576 | ||||||
Macerich‡ | 13,086 | 739 | ||||||
Mack-Cali Realty‡ | 40,338 | 1,020 | ||||||
Maiden Holdings | 170,500 | 1,531 | ||||||
MainSource Financial Group | 29,400 | 355 | ||||||
MarketAxess Holdings | 46,123 | 1,423 | ||||||
MCG Capital (A) | 70,800 | 316 | ||||||
Meadowbrook Insurance Group (A) | 269,100 | 1,496 | ||||||
Medallion Financial | 23,200 | 274 | ||||||
MFA Mortgage Investments‡ | 125,963 | 1,059 | ||||||
MGIC Investment* (A) | 54,200 | 95 | ||||||
Mid-America Apartment Communities‡ | 30,112 | 1,877 | ||||||
Montpelier Re Holdings | 38,300 | 838 | ||||||
MSCI, Cl A* (A) | 25,896 | 751 | ||||||
National Financial Partners* (A) | 33,915 | 563 | ||||||
National Health Investors‡ (A) | 2,500 | 139 | ||||||
National Penn Bancshares (A) | 113,978 | 1,079 | ||||||
National Retail Properties‡ (A) | 12,730 | 391 | ||||||
Nationstar Mortgage Holdings* (A) | 26,200 | 802 | ||||||
NBT Bancorp | 26,100 | 516 | ||||||
Nelnet, Cl A | 82,100 | 2,347 | ||||||
Netspend Holdings* (A) | 196,545 | 2,290 | ||||||
Northwest Bancshares | 9,800 | 117 |
Description | Shares | Market Value ($ Thousands) | ||||||
OceanFirst Financial | 10,300 | $ | 141 | |||||
Ocwen Financial* | 47,500 | 1,703 | ||||||
Old National Bancorp | 94,043 | 1,104 | ||||||
Omega Healthcare Investors‡ | 800 | 18 | ||||||
OmniAmerican Bancorp* | 20,022 | 455 | ||||||
One Liberty Properties‡ | 13,400 | 261 | ||||||
Oriental Financial Group (A) | 26,400 | 318 | ||||||
Oritani Financial | 22,000 | 321 | ||||||
PacWest Bancorp (A) | 78,414 | 1,953 | ||||||
Parkway Properties‡ (A) | 11,300 | 152 | ||||||
Pebblebrook Hotel Trust‡ | 22,920 | 478 | ||||||
PennantPark Investment (A) | 92,873 | 1,000 | ||||||
Pennsylvania Real Estate Investment Trust‡ | 11,700 | 195 | ||||||
PennyMac Mortgage Investment Trust‡ | 24,200 | 596 | ||||||
PHH* (A) | 9,100 | 200 | ||||||
PICO Holdings* | 27,958 | 506 | ||||||
Pinnacle Financial Partners* | 3,600 | 68 | ||||||
Piper Jaffray | 11,900 | 338 | ||||||
Platinum Underwriters Holdings | 62,517 | 2,783 | ||||||
Popular* | 15,600 | 308 | ||||||
Potlatch‡ (A) | 22,000 | 857 | ||||||
Presidential Life | 2,400 | 34 | ||||||
Primerica* | 22,200 | 635 | ||||||
PrivateBancorp, Cl A | 36,300 | 595 | ||||||
ProAssurance | 17,353 | 1,574 | ||||||
Prologis‡ (A) | 32,417 | 1,100 | ||||||
Prospect Capital | 47,300 | 498 | ||||||
Prosperity Bancshares (A) | 14,515 | 597 | ||||||
Protective Life | 10,500 | 285 | ||||||
Provident Financial Services | 38,200 | 554 | ||||||
PS Business Parks‡ (A) | 5,600 | 361 | ||||||
Public Storage‡ | 9,421 | 1,325 | ||||||
RAIT Financial Trust‡ (A) | 6,566 | 36 | ||||||
Ramco-Gershenson Properties‡ | 50,600 | 677 | ||||||
Regency Centers‡ | 6,965 | 326 | ||||||
Reinsurance Group of America, Cl A | 15,691 | 803 | ||||||
Republic Bancorp, Cl A (A) | 11,400 | 233 | ||||||
Retail Opportunity Investments‡ (A) | 6,500 | 82 | ||||||
Sabra Health Care‡ (A) | 22,766 | 494 | ||||||
Safeguard Scientifics* | 48,984 | 692 | ||||||
SCBT Financial | 10,000 | 387 | ||||||
Signature Bank NY* | 27,512 | 1,930 | ||||||
Simon Property Group‡ | 14,741 | 2,243 | ||||||
SL Green Realty‡ (A) | 6,595 | 497 | ||||||
Solar Capital | 18,700 | 428 | ||||||
Southside Bancshares (A) | 13,800 | 289 | ||||||
Sovran Self Storage‡ | 4,000 | 247 | ||||||
Starwood Property Trust‡ | 36,800 | 841 | ||||||
Stifel Financial* (A) | 41,940 | 1,276 | ||||||
Sun Communities‡ | 1,000 | 39 | ||||||
Sunstone Hotel Investors‡ | 60,100 | 620 | ||||||
Susquehanna Bancshares | 157,937 | 1,624 | ||||||
SWS Group* | 21,600 | 104 | ||||||
Symetra Financial | 62,900 | 769 | ||||||
Synovus Financial (A) | 133,644 | 317 | ||||||
Tanger Factory Outlet Centers‡ | 24,317 | 800 | ||||||
TCF Financial (A) | 57,920 | 688 | ||||||
THL Credit | 34,100 | 494 |
4 | SEI Institutional Investments Trust /Semi-Annual Report/November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
TICC Capital | 35,500 | $ | 356 | |||||
Titanium Asset Management | 132,700 | 105 | ||||||
Tompkins Financial | 4,200 | 164 | ||||||
Tower Group (A) | 2,600 | 44 | ||||||
Two Harbors Investment‡ | 80,800 | 915 | ||||||
UDR‡ | 26,850 | 618 | ||||||
UMB Financial (A) | 3,800 | 161 | ||||||
Umpqua Holdings (A) | 33,000 | 385 | ||||||
Union First Market Bankshares | 15,200 | 232 | ||||||
United Financial Bancorp | 17,300 | 269 | ||||||
Universal Health Realty Income Trust‡ | 1,300 | 63 | ||||||
Urstadt Biddle Properties, Cl A‡ | 7,900 | 148 | ||||||
Validus Holdings (A) | 34,100 | 1,209 | ||||||
Ventas‡ | 10,490 | 668 | ||||||
ViewPoint Financial Group | 52,900 | 1,082 | ||||||
Virginia Commerce Bancorp | 46,100 | 400 | ||||||
Vornado Realty Trust‡ | 8,800 | 673 | ||||||
Washington Real Estate Investment Trust‡ (A) | 7,900 | 205 | ||||||
Webster Financial | 40,665 | 847 | ||||||
Weingarten Realty Investors‡ | 13,700 | 372 | ||||||
WesBanco | 7,700 | 163 | ||||||
West Coast Bancorp | 17,485 | 381 | ||||||
Westamerica Bancorporation (A) | 4,300 | 183 | ||||||
Western Alliance Bancorp | 123,120 | 1,251 | ||||||
Wilshire Bancorp | 36,500 | 211 | ||||||
Winthrop Realty Trust‡ | 35,400 | 397 | ||||||
WisdomTree Investments (A) | 154,217 | 942 | ||||||
WSFS Financial | 20,100 | 872 | ||||||
Zillow, Cl A (A) | 30,934 | 851 | ||||||
Zions Bancorporation (A) | 48,690 | 977 | ||||||
|
| |||||||
155,073 | ||||||||
|
| |||||||
Health Care — 11.6% | ||||||||
Acadia Healthcare* | 93,586 | 2,148 | ||||||
Accuray* | 34,800 | 219 | ||||||
Achillion Pharmaceuticals (A) | 90,349 | 704 | ||||||
Acorda Therapeutics | 13,530 | 341 | ||||||
Aegerion Pharmaceuticals* (A) | 29,000 | 635 | ||||||
Affymax* | 12,600 | 308 | ||||||
Affymetrix (A) | 50,800 | 169 | ||||||
Akorn* (A) | 54,218 | 731 | ||||||
Alere* (A) | 81,600 | 1,510 | ||||||
Align Technology (A) | 9,880 | 271 | ||||||
Almost Family* | 7,300 | 145 | ||||||
Amarin ADR (A) | 59,632 | 740 | ||||||
Amedisys | 19,800 | 207 | ||||||
AMERIGROUP* | 10,069 | 925 | ||||||
Amsurg, Cl A* | 29,478 | 826 | ||||||
Analogic | 3,300 | 243 | ||||||
Ariad Pharmaceuticals* | 85,224 | 1,906 | ||||||
Arqule* | 31,400 | 83 | ||||||
Array BioPharma* | 55,100 | 217 | ||||||
ArthroCare* | 12,300 | 412 | ||||||
Assisted Living Concepts, Cl A | 7,400 | 64 | ||||||
athenahealth | 24,804 | 1,580 | ||||||
Auxilium Pharmaceuticals | 14,700 | 281 | ||||||
Bruker | 45,990 | 672 | ||||||
Cambrex | 47,400 | 520 | ||||||
Cantel Medical | 1,900 | 52 | ||||||
Catamaran | 13,520 | 658 |
Description | Shares | Market Value ($ Thousands) | ||||||
Celldex Therapeutics* (A) | 8,000 | $ | 47 | |||||
Centene* | 15,892 | 698 | ||||||
Cepheid (A) | 8,720 | 283 | ||||||
Chemed (A) | 3,800 | 259 | ||||||
Computer Programs & Systems | 3,500 | 175 | ||||||
Conceptus* (A) | 37,524 | 781 | ||||||
CONMED | 49,478 | 1,367 | ||||||
CryoLife | 16,800 | 100 | ||||||
Cubist Pharmaceuticals (A) | 34,414 | 1,398 | ||||||
Cyberonics* | 18,716 | 968 | ||||||
DexCom (A) | 64,156 | 839 | ||||||
Dynavax Technologies* | 29,100 | 83 | ||||||
Emergent Biosolutions | 28,300 | 425 | ||||||
Emeritus* (A) | 46,000 | 1,041 | ||||||
Endocyte* | 9,300 | 87 | ||||||
Endologix* (A) | 93,028 | 1,364 | ||||||
Ensign Group (A) | 13,400 | 346 | ||||||
Enzon Pharmaceuticals* | 28,400 | 198 | ||||||
Exact Sciences* (A) | 39,610 | 389 | ||||||
ExamWorks Group (A) | 98,093 | 1,209 | ||||||
Five Star Quality Care* | 28,700 | 141 | ||||||
Fluidigm (A) | 48,064 | 684 | ||||||
Gentiva Health Services* | 51,300 | 528 | ||||||
Greatbatch | 51,496 | 1,163 | ||||||
Halozyme Therapeutics* | 51,300 | 320 | ||||||
Hanger* | 2,000 | 52 | ||||||
Health Net* | 15,620 | 368 | ||||||
HealthSouth | 115,712 | 2,544 | ||||||
Healthways | 14,300 | 155 | ||||||
HeartWare International* (A) | 10,100 | 831 | ||||||
Hill-Rom Holdings | 7,100 | 198 | ||||||
Hi-Tech Pharmacal* (A) | 18,800 | 568 | ||||||
HMS Holdings* (A) | 85,491 | 1,981 | ||||||
ICON ADR* | 35,405 | 977 | ||||||
ICU Medical | 18,832 | 1,109 | ||||||
Immunogen (A) | 31,192 | 396 | ||||||
Impax Laboratories* | 55,153 | 1,121 | ||||||
Imris* | 116,320 | 457 | ||||||
Incyte* (A) | 27,244 | 479 | ||||||
Infinity Pharmaceuticals* | 766 | 19 | ||||||
Insulet (A) | 44,160 | 969 | ||||||
Invacare (A) | 75,200 | 1,063 | ||||||
IPC The Hospitalist* (A) | 15,218 | 574 | ||||||
Jazz Pharmaceuticals | 13,450 | 725 | ||||||
Keryx Biopharmaceuticals* (A) | 147,303 | 462 | ||||||
Kindred Healthcare* (A) | 14,800 | 161 | ||||||
LHC Group | 14,000 | 271 | ||||||
LifePoint Hospitals | 6,800 | 245 | ||||||
Magellan Health Services* | 22,985 | 1,192 | ||||||
MAP Pharmaceuticals (A) | 69,427 | 1,107 | ||||||
Masimo | 126,499 | 2,621 | ||||||
Medical Action Industries* | 101,300 | 272 | ||||||
Medicines* | 10,700 | 230 | ||||||
Medicis Pharmaceutical, Cl A | 10,100 | 437 | ||||||
MEDNAX* (A) | 30,137 | 2,381 | ||||||
MELA Sciences* (A) | 64,100 | 145 | ||||||
Momenta Pharmaceuticals* (A) | 28,500 | 305 | ||||||
Nektar Therapeutics | 50,370 | 329 | ||||||
Neurocrine Biosciences* | 35,200 | 263 | ||||||
NewLink Genetics (A) | 31,961 | 384 | ||||||
Novadaq Technologies* (A) | 141,781 | 1,253 | ||||||
NuVasive* | 8,500 | 123 |
5 | SEI Institutional Investments Trust /Semi-Annual Report/November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Onyx Pharmaceuticals* (A) | 18,320 | $ | 1,383 | |||||
Optimer Pharmaceuticals | 26,780 | 273 | ||||||
OraSure Technologies* | 8,700 | 67 | ||||||
Orexigen Therapeutics* (A) | 52,000 | 245 | ||||||
Orthofix International | 17,400 | 648 | ||||||
Owens & Minor (A) | 2,700 | 74 | ||||||
PAREXEL International | 40,412 | 1,305 | ||||||
PDL BioPharma (A) | 206,800 | 1,634 | ||||||
PerkinElmer | 30,628 | 969 | ||||||
Pharmacyclics* (A) | 6,650 | 353 | ||||||
PharMerica* | 45,800 | 661 | ||||||
Pozen* (A) | 26,000 | 144 | ||||||
Providence Service* | 37,900 | 528 | ||||||
PSS World Medical* (A) | 51,025 | 1,451 | ||||||
Puma Biotechnology* | 22,196 | 457 | ||||||
Quality Systems (A) | 10,100 | 184 | ||||||
Questcor Pharmaceuticals (A) | 2,100 | 54 | ||||||
Quidel (A) | 103,372 | 1,812 | ||||||
Rigel Pharmaceuticals* | 10,300 | 85 | ||||||
Sagent Pharmaceuticals* | 24,750 | 369 | ||||||
Sangamo Biosciences (A) | 63,446 | 364 | ||||||
Santarus* | 34,300 | 342 | ||||||
Sarepta Therapeutics* (A) | 5,350 | 157 | ||||||
Sciclone Pharmaceuticals* (A) | 83,600 | 367 | ||||||
Seattle Genetics* (A) | 17,562 | 444 | ||||||
Select Medical Holdings* | 42,600 | 470 | ||||||
Sirona Dental Systems | 13,905 | 871 | ||||||
Skilled Healthcare Group, Cl A* (A) | 47,500 | 318 | ||||||
Spectranetics | 65,792 | 947 | ||||||
Spectrum Pharmaceuticals* (A) | 46,632 | 552 | ||||||
STERIS | 17,497 | 598 | ||||||
Sun Healthcare Group* | 3,000 | 25 | ||||||
Symmetry Medical* | 56,800 | 554 | ||||||
Synageva BioPharma* | 16,506 | 808 | ||||||
Syneron Medical | 75,454 | 629 | ||||||
Synta Pharmaceuticals* (A) | 48,410 | 391 | ||||||
Team Health Holdings | 34,269 | 959 | ||||||
Techne | 16,123 | 1,143 | ||||||
Teleflex | 14,005 | 969 | ||||||
TESARO (A) | 17,729 | 328 | ||||||
Threshold Pharmaceuticals* (A) | 114,300 | 505 | ||||||
Tornier | 33,708 | 547 | ||||||
Trinity Biotech ADR | 15,300 | 223 | ||||||
Trius Therapeutics | 107,422 | 515 | ||||||
Unilife (A) | 216,310 | 493 | ||||||
ViroPharma (A) | 8,940 | 222 | ||||||
Vocera Communications | 41,700 | 1,026 | ||||||
Volcano | 104,725 | 2,855 | ||||||
WellCare Health Plans | 26,200 | 1,265 | ||||||
XenoPort | 18,100 | 142 | ||||||
|
| |||||||
89,952 | ||||||||
|
| |||||||
Industrials — 18.1% | ||||||||
AAR (A) | 9,300 | 143 | ||||||
ABM Industries | 48,800 | 931 | ||||||
Acacia Research* | 14,438 | 321 | ||||||
ACCO Brands* | 116,300 | 784 | ||||||
Actuant, Cl A | 93,083 | 2,678 | ||||||
Acuity Brands | 35,434 | 2,344 | ||||||
Advisory Board* (A) | 35,592 | 1,611 |
Description | Shares | Market Value ($ Thousands) | ||||||
Aegean Marine Petroleum Network (A) | 48,000 | $ | 216 | |||||
Aerovironment (A) | 700 | 14 | ||||||
Air Transport Services Group* | 149,900 | 568 | ||||||
Aircastle | 85,500 | 972 | ||||||
Alamo Group | 6,600 | 219 | ||||||
Alaska Air Group* | 15,900 | 680 | ||||||
Albany International, Cl A | 29,000 | 624 | ||||||
Alliant Techsystems | 5,200 | 312 | ||||||
Altra Holdings | 5,600 | 105 | ||||||
Amerco | 1,200 | 144 | ||||||
American Science & Engineering | 2,100 | 134 | ||||||
Ametek | 6,170 | 230 | ||||||
Ampco-Pittsburgh | 9,900 | 185 | ||||||
Apogee Enterprises | 19,100 | 438 | ||||||
Applied Industrial Technologies | 3,100 | 124 | ||||||
Arkansas Best | 10,900 | 90 | ||||||
Armstrong World Industries | 18,430 | 931 | ||||||
Astec Industries | 15,700 | 455 | ||||||
Atlas Air Worldwide Holdings* | 21,900 | 948 | ||||||
BE Aerospace | 23,663 | 1,121 | ||||||
Beacon Roofing Supply | 19,497 | 601 | ||||||
Belden | 37,525 | 1,414 | ||||||
Brady, Cl A | 25,470 | 814 | ||||||
Briggs & Stratton (A) | 900 | 18 | ||||||
Brink’s | 35,200 | 967 | ||||||
Carlisle | 32,920 | 1,866 | ||||||
Cascade | 12,700 | 825 | ||||||
Celadon Group | 9,000 | 155 | ||||||
Chart Industries* | 23,424 | 1,417 | ||||||
CIRCOR International | 9,700 | 351 | ||||||
CLARCOR | 19,505 | 905 | ||||||
Clean Harbors* | 8,500 | 487 | ||||||
Columbus McKinnon | 25,200 | 377 | ||||||
Comfort Systems USA | 46,686 | 505 | ||||||
Consolidated Graphics* | 3,600 | 123 | ||||||
Corporate Executive Board | 11,644 | 498 | ||||||
CRA International* | 14,845 | 262 | ||||||
Cubic | 18,164 | 889 | ||||||
Curtiss-Wright | 28,800 | 914 | ||||||
Deluxe | 20,000 | 576 | ||||||
DigitalGlobe* (A) | 44,070 | 1,099 | ||||||
DXP Enterprises | 1,300 | 63 | ||||||
Dycom Industries | 68,150 | 1,224 | ||||||
EMCOR Group | 87,495 | 2,874 | ||||||
Encore Capital Group* (A) | 19,900 | 529 | ||||||
Encore Wire | 10,800 | 338 | ||||||
EnerSys* | 4,000 | 139 | ||||||
Ennis | 7,900 | 120 | ||||||
EnPro Industries* | 14,074 | 553 | ||||||
ESCO Technologies | 19,461 | 714 | ||||||
Exponent* | 3,500 | 187 | ||||||
Flow International* | 117,000 | 369 | ||||||
Fortune Brands Home & Security | 31,960 | 959 | ||||||
FreightCar America | 8,500 | 179 | ||||||
FTI Consulting (A) | 89,359 | 2,762 | ||||||
G&K Services, Cl A | 61,656 | 2,090 | ||||||
Genco Shipping & Trading (A) | 4,800 | 13 | ||||||
Generac Holdings | 17,490 | 571 | ||||||
General Cable (A) | 21,940 | 630 |
6 | SEI Institutional Investments Trust /Semi-Annual Report/November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Genesee & Wyoming, Cl A* (A) | 34,979 | $ | 2,552 | |||||
Geo Group | 34,200 | 964 | ||||||
GeoEye* | 6,000 | 183 | ||||||
Gibraltar Industries* | 36,900 | 512 | ||||||
Global Power Equipment Group (A) | 42,200 | 634 | ||||||
Graco | 16,350 | 808 | ||||||
GrafTech International (A) | 154,173 | 1,495 | ||||||
Granite Construction | 40,300 | 1,233 | ||||||
Great Lakes Dredge & Dock | 5,400 | 48 | ||||||
H&E Equipment Services (A) | 3,600 | 56 | ||||||
Harsco | 21,800 | 439 | ||||||
Hawaiian Holdings* (A) | 179,998 | 1,123 | ||||||
Heico, Cl A | 55,240 | 1,856 | ||||||
HEICO (A) | 15,212 | 626 | ||||||
Heritage-Crystal Clean (A) | 66,064 | 990 | ||||||
Hexcel* (A) | 91,966 | 2,377 | ||||||
HNI (A) | 500 | 15 | ||||||
Hub Group, Cl A* | 58,953 | 1,908 | ||||||
Hyster-Yale Materials Handling | 8,500 | 353 | ||||||
ICF International | 44,900 | 971 | ||||||
IDEX | 38,569 | 1,734 | ||||||
Insperity | 13,600 | 411 | ||||||
Interface, Cl A | 126,710 | 1,861 | ||||||
ITT | 400 | 9 | ||||||
John Bean Technologies | 21,897 | 357 | ||||||
Kadant* | 46,830 | 1,136 | ||||||
KAR Auction Services | 25,138 | 447 | ||||||
Kaydon | 47,948 | 1,104 | ||||||
Kelly Services, Cl A | 1,900 | 26 | ||||||
KEYW Holding* (A) | 62,179 | 800 | ||||||
Kforce | 35,800 | 460 | ||||||
Kirby* | 18,130 | 1,049 | ||||||
Korn/Ferry International | 3,800 | 55 | ||||||
Landstar System | 38,891 | 1,967 | ||||||
Layne Christensen | 4,300 | 99 | ||||||
LB Foster, Cl A | 7,800 | 323 | ||||||
Lennox International | 13,329 | 701 | ||||||
Lincoln Electric Holdings | 18,210 | 865 | ||||||
Lindsay Manufacturing | 6,296 | 498 | ||||||
LS Starrett, Cl A | 700 | 7 | ||||||
Marten Transport | 37,310 | 706 | ||||||
Meritor* | 51,700 | 221 | ||||||
Metalico* | 26,000 | 43 | ||||||
Middleby* | 16,775 | 2,137 | ||||||
Miller Industries | 11,200 | 160 | ||||||
Mine Safety Appliances | 5,700 | 220 | ||||||
Mistras Group* | 28,280 | 613 | ||||||
Moog, Cl A* | 21,261 | 782 | ||||||
MSC Industrial Direct, Cl A | 12,040 | 875 | ||||||
Mueller Industries | 12,400 | 592 | ||||||
Mueller Water Products, Cl A | 31,700 | 177 | ||||||
MYR Group* | 16,200 | 347 | ||||||
National Presto Industries | 1,500 | 115 | ||||||
Navigant Consulting* | 62,600 | 652 | ||||||
Nordson | 18,336 | 1,122 | ||||||
Northwest Pipe* | 20,480 | 422 | ||||||
Old Dominion Freight Line | 104,791 | 3,504 | ||||||
Orbital Sciences* | 23,300 | 305 | ||||||
Orion Marine Group | 185,842 | 1,319 | ||||||
Pacer International* | 57,400 | 199 | ||||||
Polypore International* (A) | 56,812 | 2,332 |
Description | Shares | Market Value ($ Thousands) | ||||||
Quad, Cl A (A) | 19,300 | $ | 313 | |||||
Quanex Building Products (A) | 27,745 | 580 | ||||||
Rand Logistics* (A) | 22,200 | 143 | ||||||
RBC Bearings | 17,965 | 837 | ||||||
Resources Connection | 156,247 | 1,814 | ||||||
Rexnord* (A) | 38,740 | 828 | ||||||
Ritchie Bros Auctioneers (A) | 59,536 | 1,364 | ||||||
Rush Enterprises, Cl B | 73,189 | 1,191 | ||||||
Rush Enterprises, Cl A (A) | 53,117 | 1,017 | ||||||
Ryder System | 34,300 | 1,614 | ||||||
Saia* | 21,400 | 464 | ||||||
Sauer-Danfoss | 4,500 | 236 | ||||||
Simpson Manufacturing (A) | 31,376 | 1,026 | ||||||
SkyWest | 34,864 | 404 | ||||||
Spirit Aerosystems Holdings, Cl A* | 34,000 | 536 | ||||||
Spirit Airlines* | 60,600 | 1,017 | ||||||
Standard Parking* | 63,249 | 1,407 | ||||||
Standex International | 3,500 | 172 | ||||||
Steelcase, Cl A (A) | 104,916 | 1,221 | ||||||
Sun Hydraulics | 8,200 | 214 | ||||||
Swift Transportation, Cl A | 80,000 | 677 | ||||||
Sykes Enterprises (A) | 66,400 | 973 | ||||||
TAL International Group (A) | 14,260 | 486 | ||||||
Taser International* | 47,500 | 392 | ||||||
Teledyne Technologies | 8,677 | 547 | ||||||
Terex | 17,764 | 430 | ||||||
Tetra Tech* | 97,642 | 2,515 | ||||||
Thermon Group Holdings* (A) | 24,365 | 603 | ||||||
Titan International (A) | 25,400 | 516 | ||||||
TMS International, Cl A* | 98,600 | 1,085 | ||||||
Towers Watson, Cl A | 28,018 | 1,482 | ||||||
Trex | 27,680 | 1,124 | ||||||
Trimas | 24,608 | 637 | ||||||
Triumph Group | 16,372 | 1,074 | ||||||
TrueBlue (A) | 94,900 | 1,352 | ||||||
Tutor Perini | 125,000 | 1,608 | ||||||
Unifirst | 1,000 | 71 | ||||||
United Rentals (A) | 24,490 | 1,017 | ||||||
US Ecology (A) | 53,469 | 1,169 | ||||||
USG (A) | 28,885 | 775 | ||||||
Valmont Industries | 7,390 | 1,032 | ||||||
Wabash National | 96,700 | 782 | ||||||
Wabtec | 22,672 | 1,918 | ||||||
WageWorks | 23,439 | 433 | ||||||
Watsco (A) | 10,870 | 779 | ||||||
Watts Water Technologies, Cl A (A) | 22,546 | 922 | ||||||
WESCO International (A) | 34,376 | 2,222 | ||||||
Woodward | 17,000 | 622 | ||||||
|
| |||||||
140,235 | ||||||||
|
| |||||||
Information Technology — 15.8% | ||||||||
Actuate* | 39,900 | 213 | ||||||
Acxiom* | 7,900 | 140 | ||||||
ADTRAN (A) | 100,378 | 1,971 | ||||||
Advanced Energy Industries* | 35,600 | 455 | ||||||
Amkor Technology* (A) | 65,000 | 276 | ||||||
Amtech Systems | 7,500 | 24 | ||||||
ANADIGICS* (A) | 4,300 | 8 | ||||||
Ancestry.com* | 3,800 | 120 | ||||||
Arris Group | 5,400 | 75 |
7 | SEI Institutional Investments Trust /Semi-Annual Report/November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Arrow Electronics* | 23,700 | $ | 883 | |||||
Aruba Networks* (A) | 47,040 | 916 | ||||||
Aspen Technology* | 57,360 | 1,491 | ||||||
Audience* (A) | 20,330 | 176 | ||||||
Bazaarvoice* (A) | 95,056 | 930 | ||||||
Benchmark Electronics | 39,797 | 618 | ||||||
Black Box | 14,900 | 367 | ||||||
Blackbaud | 69,442 | 1,551 | ||||||
Blucora* (A) | 23,500 | 347 | ||||||
Broadridge Financial Solutions | 78,157 | 1,845 | ||||||
BroadSoft* (A) | 50,230 | 1,589 | ||||||
Brooks Automation | 7,200 | 55 | ||||||
CACI International, Cl A (A) | 30,970 | 1,584 | ||||||
Cadence Design Systems* (A) | 137,550 | 1,751 | ||||||
Calix* (A) | 74,000 | 546 | ||||||
Cardtronics* | 17,962 | 412 | ||||||
Cavium* (A) | 59,522 | 2,097 | ||||||
Ceva* | 6,200 | 94 | ||||||
CIBER* | 335,300 | 1,019 | ||||||
Ciena* (A) | 47,763 | 711 | ||||||
Cirrus Logic | 9,340 | 293 | ||||||
Coherent* | 13,767 | 637 | ||||||
CommVault Systems* | 12,450 | 826 | ||||||
Computer Task Group* | 22,600 | 412 | ||||||
Comtech Telecommunications (A) | 32,265 | 825 | ||||||
Concur Technologies* (A) | 8,020 | 527 | ||||||
Convergys (A) | 61,489 | 960 | ||||||
Cornerstone OnDemand* (A) | 44,719 | 1,254 | ||||||
CoStar Group* (A) | 27,489 | 2,388 | ||||||
Cray* | 13,300 | 189 | ||||||
CSG Systems International* | 30,100 | 559 | ||||||
CTS | 17,600 | 156 | ||||||
DealerTrack Holdings* | 74,400 | 2,001 | ||||||
Demandware* (A) | 40,330 | 1,105 | ||||||
Dice Holdings* (A) | 14,000 | 120 | ||||||
Diebold | 69,891 | 2,090 | ||||||
Digi International | 89,800 | 876 | ||||||
Digital River* | 43,940 | 642 | ||||||
Diodes* | 26,700 | 404 | ||||||
DTS* | 47,460 | 725 | ||||||
EarthLink | 214,430 | 1,415 | ||||||
Electronics for Imaging* | 3,800 | 70 | ||||||
Ellie Mae | 3,400 | 84 | ||||||
Emulex | 127,006 | 934 | ||||||
Entegris* (A) | 49,000 | 439 | ||||||
Envestnet* | 138,597 | 1,926 | ||||||
Euronet Worldwide* | 76,902 | 1,712 | ||||||
ExactTarget | 22,025 | 454 | ||||||
Exar* | 144,100 | 1,182 | ||||||
ExlService Holdings* | 47,776 | 1,283 | ||||||
Fairchild Semiconductor International, Cl A* | 57,239 | 764 | ||||||
FEI (A) | 21,820 | 1,201 | ||||||
FleetMatics Group (A) | 12,941 | 282 | ||||||
FormFactor | 37,000 | 164 | ||||||
Forrester Research | 6,100 | 171 | ||||||
Fortinet* | 52,790 | 1,055 | ||||||
Fusion-io* (A) | 25,640 | 598 | ||||||
Gartner | 20,372 | 976 | ||||||
Global Cash Access Holdings | 26,200 | 206 | ||||||
Glu Mobile* (A) | 31,900 | 91 |
Description | Shares | Market Value ($ Thousands) | ||||||
GT Advanced Technologies* (A) | 29,700 | $ | 100 | |||||
Guidewire Software* | 55,088 | 1,647 | ||||||
Harmonic* | 62,300 | 285 | ||||||
Heartland Payment Systems | 2,500 | 74 | ||||||
Hittite Microwave* (A) | 29,667 | 1,800 | ||||||
Imation | 12,000 | 51 | ||||||
Imperva* (A) | 16,060 | 494 | ||||||
Infoblox* | 87,269 | 1,655 | ||||||
Inphi* | 67,070 | 523 | ||||||
Insight Enterprises* | 32,300 | 547 | ||||||
Integrated Device Technology* (A) | 117,153 | 735 | ||||||
Interactive Intelligence Group* (A) | 17,210 | 553 | ||||||
Intermec* | 73,770 | 557 | ||||||
Internap Network Services* | 199,337 | 1,190 | ||||||
International Rectifier* (A) | 74,485 | 1,272 | ||||||
Intersil, Cl A | 95,300 | 679 | ||||||
InvenSense, Cl A* | 29,503 | 297 | ||||||
j2 Global (A) | 17,615 | 533 | ||||||
Kemet* | 22,200 | 98 | ||||||
Lender Processing Services | 12,500 | 311 | ||||||
Lexmark International, Cl A (A) | 27,200 | 662 | ||||||
Limelight Networks* (A) | 105,000 | 204 | ||||||
LivePerson | 72,606 | 958 | ||||||
Logitech International (A) | 19,700 | 140 | ||||||
Loral Space & Communications | 2,700 | 230 | ||||||
LTX-Credence | 26,800 | 152 | ||||||
Manhattan Associates | 10,700 | 613 | ||||||
Mantech International, Cl A (A) | 10,700 | 267 | ||||||
MAXIMUS | 13,262 | 835 | ||||||
Measurement Specialties | 48,217 | 1,497 | ||||||
Mellanox Technologies (A) | 5,523 | 402 | ||||||
MEMC Electronic Materials* | 23,800 | 70 | ||||||
Mentor Graphics* | 24,200 | 361 | ||||||
Micrel | 4,900 | 47 | ||||||
Micros Systems* | 16,483 | 716 | ||||||
MicroStrategy, Cl A* | 6,724 | 595 | ||||||
Mindspeed Technologies* (A) | 237,348 | 862 | ||||||
MKS Instruments | 9,800 | 238 | ||||||
Monolithic Power Systems | 20,537 | 435 | ||||||
Monotype Imaging Holdings | 2,100 | 32 | ||||||
Move* | 28,750 | 216 | ||||||
MTS Systems | 1,500 | 73 | ||||||
Multi-Fineline Electronix* | 8,850 | 151 | ||||||
Nanometrics | 27,100 | 392 | ||||||
NETGEAR* (A) | 19,700 | 687 | ||||||
Netscout Systems* | 30,183 | 758 | ||||||
NetSuite* (A) | 9,980 | 595 | ||||||
Newport* | 17,500 | 223 | ||||||
NIC | 10,700 | 161 | ||||||
OpenTable* (A) | 20,030 | 899 | ||||||
Oplink Communications* | 11,900 | 185 | ||||||
Opnet Technologies | 18,521 | 769 | ||||||
OSI Systems | 12,224 | 749 | ||||||
Palo Alto Networks (A) | 5,930 | 323 | ||||||
Parametric Technology | 125,368 | 2,538 | ||||||
Park Electrochemical | 6,000 | 146 | ||||||
Photronics* (A) | 61,700 | 318 | ||||||
Plantronics | 16,900 | 568 | ||||||
Power-One* (A) | 92,300 | 383 | ||||||
Progress Software* | 46,200 | 929 |
8 | SEI Institutional Investments Trust /Semi-Annual Report/November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Pulse Electronics* (A) | 23,000 | $ | 7 | |||||
QLIK Technologies* | 13,104 | 254 | ||||||
QLogic | 91,200 | 864 | ||||||
Quantum* (A) | 441,319 | 530 | ||||||
RealD* (A) | 123,786 | 1,307 | ||||||
RealNetworks* | 10,850 | 79 | ||||||
RealPage* (A) | 106,373 | 2,105 | ||||||
RF Micro Devices* | 184,537 | 797 | ||||||
Riverbed Technology* | 16,940 | 303 | ||||||
Rogers* (A) | 23,223 | 1,032 | ||||||
Rosetta Stone* (A) | 13,200 | 169 | ||||||
Ruckus Wireless | 17,700 | 234 | ||||||
Rudolph Technologies | 36,280 | 401 | ||||||
Saba Software | 111,200 | 870 | ||||||
Sanmina* | 1,100 | 10 | ||||||
Seachange International* | 31,900 | 295 | ||||||
Semtech | 27,850 | 762 | ||||||
ServiceSource International* (A) | 70,060 | 359 | ||||||
Silicon Laboratories* | 13,545 | 566 | ||||||
SolarWinds | 25,383 | 1,422 | ||||||
Sonus Networks* | 326,868 | 546 | ||||||
Sourcefire (A) | 27,931 | 1,375 | ||||||
Spansion, Cl A* | 6,000 | 70 | ||||||
Splunk (A) | 12,200 | 369 | ||||||
SPS Commerce | 11,735 | 432 | ||||||
SS&C Technologies Holdings* (A) | 80,727 | 1,904 | ||||||
STEC* | 9,400 | 46 | ||||||
Stratasys* (A) | 11,325 | 849 | ||||||
SYNNEX (A) | 7,200 | 238 | ||||||
Synopsys | 15,223 | 499 | ||||||
Take-Two Interactive Software* | 80,750 | 999 | ||||||
Tangoe* | 80,122 | 1,045 | ||||||
Tech Data* | 30,500 | 1,347 | ||||||
TeleCommunication Systems, Cl A* | 39,700 | 89 | ||||||
TeleNav* | 11,500 | 93 | ||||||
TeleTech Holdings* | 13,600 | 231 | ||||||
Tellabs | 23,800 | 85 | ||||||
Teradyne (A) | 45,920 | 718 | ||||||
Tessco Technologies | 9,400 | 205 | ||||||
Tessera Technologies | 4,000 | 65 | ||||||
TIBCO Software (A) | 28,980 | 726 | ||||||
TNS* | 24,099 | 352 | ||||||
Travelzoo | 5,100 | 89 | ||||||
Trulia (A) | 20,680 | 368 | ||||||
Tyler Technologies | 21,496 | 1,009 | ||||||
Ultra Clean Holdings | 54,190 | 261 | ||||||
Ultratech | 37,200 | 1,221 | ||||||
Unisys (A) | 18,600 | 322 | ||||||
United Online (A) | 67,300 | 385 | ||||||
Veeco Instruments (A) | 26,602 | 757 | ||||||
Vishay Intertechnology (A) | 80,173 | 778 | ||||||
VistaPrint (A) | 30,870 | 958 | ||||||
Volterra Semiconductor | 24,700 | 434 | ||||||
WebMD Health, Cl A (A) | 15,100 | 212 | ||||||
Websense (A) | 43,200 | 603 | ||||||
WEX | 12,880 | 927 | ||||||
Xyratex (A) | 46,411 | 435 | ||||||
Yelp, Cl A (A) | 22,290 | 421 | ||||||
Zebra Technologies, Cl A | 20,874 | 813 | ||||||
|
| |||||||
122,682 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Materials — 4.1% | ||||||||
A. Schulman | 19,800 | $ | 518 | |||||
AK Steel Holding (A) | 41,500 | 166 | ||||||
Allegheny Technologies | 20,270 | 531 | ||||||
Boise (A) | 104,300 | 855 | ||||||
Buckeye Technologies (A) | 13,300 | 369 | ||||||
Century Aluminum* | 27,100 | 211 | ||||||
Chemtura* | 9,300 | 189 | ||||||
Coeur d’Alene Mines | 7,600 | 177 | ||||||
Compass Minerals International | 8,499 | 649 | ||||||
Cytec Industries | 8,752 | 601 | ||||||
Ferro* | 47,000 | 135 | ||||||
Glatfelter (A) | 30,400 | 516 | ||||||
Globe Specialty Metals | 19,800 | 274 | ||||||
Greif, Cl A | 18,830 | 773 | ||||||
GSE Holding* (A) | 151,600 | 1,063 | ||||||
H.B. Fuller | 45,100 | 1,482 | ||||||
Haynes International | 5,300 | 247 | ||||||
Headwaters* | 92,000 | 699 | ||||||
Horsehead Holding (A) | 60,200 | 560 | ||||||
Huntsman | 30,203 | 497 | ||||||
Innophos Holdings | 10,969 | 526 | ||||||
Innospec | 24,300 | 773 | ||||||
Intrepid Potash | 93,482 | 1,989 | ||||||
Kaiser Aluminum (A) | 12,230 | 745 | ||||||
Koppers Holdings | 2,000 | 71 | ||||||
Kraton Performance Polymers* | 40,198 | 944 | ||||||
LSB Industries* | 4,300 | 144 | ||||||
Materion | 4,300 | 88 | ||||||
McEwen Mining (A) | 30,500 | 113 | ||||||
Metals USA Holdings | 15,300 | 239 | ||||||
Minerals Technologies | 24,895 | 1,842 | ||||||
Myers Industries | 8,500 | 126 | ||||||
Neenah Paper | 17,200 | 483 | ||||||
NewMarket | 800 | 212 | ||||||
Noranda Aluminum Holding | 56,200 | 333 | ||||||
OM Group* | 23,200 | 463 | ||||||
Owens-Illinois | 36,732 | 736 | ||||||
Packaging Corp of America | 13,290 | 484 | ||||||
PolyOne | 120,375 | 2,424 | ||||||
Resolute Forest Products* (A) | 5,700 | 67 | ||||||
Rock-Tenn, Cl A | 3,800 | 247 | ||||||
RTI International Metals (A) | 70,731 | 1,754 | ||||||
Schnitzer Steel Industries, Cl A (A) | 34,800 | 981 | ||||||
Schweitzer-Mauduit International (A) | 29,100 | 1,090 | ||||||
Sensient Technologies | 61,465 | 2,225 | ||||||
Silgan Holdings | 15,275 | 680 | ||||||
Stepan | 3,000 | 300 | ||||||
TPC Group* | 3,000 | 144 | ||||||
Tredegar | 5,500 | 104 | ||||||
Wausau Paper | 22,200 | 186 | ||||||
Worthington Industries (A) | 11,600 | 273 | ||||||
|
| |||||||
31,298 | ||||||||
|
| |||||||
Telecommunication Services — 0.3% | ||||||||
Atlantic Telegraph-Network | 12,400 | 457 | ||||||
Boingo Wireless (A) | 85,300 | 605 | ||||||
IDT, Cl B | 6,000 | 55 | ||||||
Neutral Tandem | 58,000 | 156 | ||||||
Premiere Global Services* (A) | 5,800 | 49 |
9 | SEI Institutional Investments Trust /Semi-Annual Report/November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2012
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
tw telecom, Cl A* | 15,095 | $ | 388 | |||||
USA Mobility | 25,700 | 297 | ||||||
Vonage Holdings | 93,300 | 227 | ||||||
|
| |||||||
2,234 | ||||||||
|
| |||||||
Utilities — 2.1% | ||||||||
ALLETE | 15,595 | 612 | ||||||
American States Water | 1,700 | 77 | ||||||
Avista | 15,000 | 356 | ||||||
Cadiz* | 62,055 | 531 | ||||||
California Water Service Group | 9,400 | 169 | ||||||
CH Energy Group | 900 | 59 | ||||||
Chesapeake Utilities | 9,856 | 444 | ||||||
Cleco | 46,494 | 1,873 | ||||||
Dynegy* (A) | 9,468 | 175 | ||||||
El Paso Electric | 8,900 | 284 | ||||||
Empire District Electric | 26,000 | 520 | ||||||
Great Plains Energy | 83,517 | 1,691 | ||||||
IDACORP | 19,756 | 844 | ||||||
Laclede Group (A) | 9,600 | 391 | ||||||
MGE Energy | 4,100 | 207 | ||||||
NorthWestern | 21,900 | 760 | ||||||
Otter Tail | 2,200 | 53 | ||||||
Piedmont Natural Gas (A) | 17,700 | 546 | ||||||
PNM Resources | 34,665 | 732 | ||||||
Portland General Electric | 106,514 | 2,879 | ||||||
Southwest Gas | 15,056 | 631 | ||||||
UIL Holdings | 14,300 | 513 | ||||||
UNS Energy | 8,900 | 379 | ||||||
Westar Energy | 12,661 | 363 | ||||||
WGL Holdings | 22,524 | 880 | ||||||
|
| |||||||
15,969 | ||||||||
|
| |||||||
Total Common Stock | 733,328 | |||||||
|
| |||||||
EXCHANGE TRADED FUNDS — 0.6% |
| |||||||
iShares Russell 2000 Index Fund (A) | 23,342 | 1,916 | ||||||
iShares Russell 2000 Value Index Fund (A) | 39,600 | 2,899 | ||||||
|
| |||||||
Total Exchange Traded Funds | 4,815 | |||||||
|
| |||||||
CONVERTIBLE BOND — 0.0% |
| |||||||
Eddie Bauer Holdings 5.250%, 04/01/2014 (B) | $ | 2,856 | 29 | |||||
|
| |||||||
Total Convertible Bond | 29 | |||||||
|
| |||||||
Number Of Warrants | ||||||||
WARRANTS — 0.0% |
| |||||||
Dynegy, Expires 10/02/17 (A)* | 2,629 | 3 | ||||||
Magnum Hunter Resource, Expires 08/29/14* | 17,967 | — | ||||||
|
| |||||||
Total Warrants | 3 | |||||||
|
|
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Number Of Rights | ||||||||
RIGHTS — 0.0% |
| |||||||
Allos Therapeutics | 81,300 | $ | — | |||||
|
| |||||||
Total Rights | — | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 25.8% |
| |||||||
SEI Liquidity Fund, L.P. | 199,684,501 | 199,684 | ||||||
|
| |||||||
Total Affiliated Partnership | 199,684 | |||||||
|
| |||||||
CASH EQUIVALENT — 3.3% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 25,636,773 | 25,637 | ||||||
|
| |||||||
Total Cash Equivalent | 25,637 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATION (F) (G) — 0.3% |
| |||||||
U.S. Treasury Bills | ||||||||
0.085%, 01/31/2013 (D) | $ | 1,858 | 1,858 | |||||
|
| |||||||
Total U.S. Treasury Obligation | 1,858 | |||||||
|
| |||||||
Total Investments — 124.6% | $ | 965,354 | ||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2012, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized (Depreciation) ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 309 | Dec-2012 | $ | (325 | ) | |||||||
|
|
For the period ended November 30, 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 period.
Percentages are based on a Net Assets of $774,806 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 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 November 30, 2012. The total value of securities on loan at November 30, 2012 was $193,370 ($ Thousands). |
(B) | Security in default on interest payments. |
(C) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2012 was $199,684 ($ Thousands). |
(D) | Securities considered illiquid. The total value of such securities as of November 30, 2012 was $3 ($ Thousands) and represented 0.00% of Net Assets. |
(E) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of November 30, 2012 was $3 ($ Thousands) and represented 0.00% of Net Assets. |
(F) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(G) | The rate reported is the effective yield at time of purchase. |
10 | SEI Institutional Investments Trust /Semi-Annual Report/November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2012
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
The following is a list of the inputs used as of November 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands).
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Common Stock | 733,223 | 105 | — | 733,328 | ||||||||||||
Exchange Traded Funds | 4,815 | — | — | 4,815 | ||||||||||||
Warrants | 3 | — | — | 3 | ||||||||||||
Convertible Bond | — | — | 29 | 29 | ||||||||||||
Affiliated Partnership | — | 199,684 | — | 199,684 | ||||||||||||
Cash Equivalent | 25,637 | — | — | 25,637 | ||||||||||||
U.S. Treasury Obligation | — | 1,858 | — | 1,858 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 763,678 | $ | 201,647 | $ | 29 | $ | 965,354 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (325 | ) | $ | — | $ | — | $ | (325 | ) | ||||||
|
|
|
|
|
|
|
|
(1) | A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to the net assets. |
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the period ended November 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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 $O.
The accompanying notes are an integral part of the financial statements
11 | SEI Institutional Investments Trust /Semi-Annual Report/November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap II Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 89.4% | ||||||||
Consumer Discretionary — 15.1% | ||||||||
Aaron’s | 12,190 | $ | 350 | |||||
Abercrombie & Fitch, Cl A (A) | 5,542 | 254 | ||||||
American Greetings, Cl A (A) | 3,200 | 55 | ||||||
American Public Education* (A) | 800 | 28 | ||||||
Ameristar Casinos | 3,800 | 76 | ||||||
ANN* | 21,450 | 720 | ||||||
Arctic Cat* | 2,300 | 87 | ||||||
Asbury Automotive Group* | 13,490 | 407 | ||||||
bebe stores inc | 10,400 | 39 | ||||||
Belo, Cl A (A) | 39,795 | 287 | ||||||
Biglari Holdings* | 580 | 211 | ||||||
BJ’s Restaurants* (A) | 17,504 | 600 | ||||||
Bob Evans Farms (A) | 3,400 | 128 | ||||||
Boyd Gaming* (A) | 2,400 | 13 | ||||||
Brown Shoe | 16,400 | 312 | ||||||
Brunswick | 23,045 | 594 | ||||||
Cabela’s* (A) | 9,590 | 458 | ||||||
Callaway Golf (A) | 34,429 | 232 | ||||||
Capella Education* | 9,196 | 254 | ||||||
Career Education* | 62,700 | 187 | ||||||
Cato, Cl A | 10,300 | 299 | ||||||
CEC Entertainment | 500 | 16 | ||||||
Cheesecake Factory (A) | 12,740 | 436 | ||||||
Children’s Place Retail Stores* | 4,600 | 224 | ||||||
Coinstar* (A) | 6,292 | 296 | ||||||
Columbia Sportswear (A) | 4,287 | 248 | ||||||
Conn’s* (A) | 6,760 | 191 | ||||||
Cooper Tire & Rubber | 25,737 | 643 | ||||||
Core-Mark Holding | 5,100 | 233 | ||||||
Corinthian Colleges* (A) | 102,500 | 228 | ||||||
Cracker Barrel Old Country Store | 500 | 31 | ||||||
Dana Holdings | 2,100 | 30 | ||||||
Destination Maternity | 10,900 | 242 | ||||||
Dick’s Sporting Goods | 9,015 | 473 | ||||||
Ethan Allen Interiors (A) | 11,299 | 328 | ||||||
Express* | 30,756 | 459 | ||||||
Fifth & Pacific* (A) | 9,100 | 110 | ||||||
Five Below* (A) | 5,528 | 205 | ||||||
Francesca’s Holdings* (A) | 31,598 | 823 | ||||||
Fred’s, Cl A | 13,800 | 184 | ||||||
GameStop, Cl A (A) | 22,533 | 592 | ||||||
Grand Canyon Education* | 25,381 | 601 | ||||||
Helen of Troy* | 6,500 | 201 | ||||||
hhgregg* (A) | 31,500 | 233 | ||||||
Hibbett Sports* | 10,650 | 572 | ||||||
Hillenbrand | 3,500 | 74 | ||||||
Hot Topic (A) | 29,800 | 297 | ||||||
International Speedway, Cl A | 4,800 | 129 | ||||||
iRobot* | 2,000 | 38 | ||||||
Jack in the Box* | 20,917 | 576 | ||||||
JAKKS Pacific (A) | 15,515 | 194 | ||||||
Jones Group (A) | 21,500 | 253 | ||||||
KB Home (A) | 7,700 | 111 | ||||||
Krispy Kreme Doughnuts* | 14,300 | 130 | ||||||
La-Z-Boy, Cl Z | 9,400 | 140 | ||||||
LeapFrog Enterprises, Cl A* (A) | 14,400 | 131 |
Description | Shares | Market Value ($ Thousands) | ||||||
Life Time Fitness* (A) | 11,940 | $ | 562 | |||||
LKQ* | 20,910 | 458 | ||||||
Lumber Liquidators Holdings* (A) | 10,350 | 556 | ||||||
M/I Homes* | 6,400 | 141 | ||||||
Marriott Vacations Worldwide* | 11,330 | 451 | ||||||
Matthews International, Cl A | 11,876 | 359 | ||||||
MDC Holdings | 4,000 | 141 | ||||||
Men’s Wearhouse | 8,393 | 272 | ||||||
Modine Manufacturing* | 19,500 | 144 | ||||||
Monro Muffler (A) | 10,608 | 340 | ||||||
Movado Group | 8,400 | 291 | ||||||
Multimedia Games Holding* | 3,300 | 49 | ||||||
NACCO Industries, Cl A | 600 | 32 | ||||||
National CineMedia | 26,750 | 383 | ||||||
New York Times, Cl A* | 6,800 | 55 | ||||||
Nutrisystem (A) | 10,300 | 82 | ||||||
Office Depot* (A) | 37,500 | 126 | ||||||
OfficeMax | 21,200 | 212 | ||||||
Orient-Express Hotels, Cl A* | 41,520 | 512 | ||||||
Oxford Industries | 7,440 | 407 | ||||||
Pandora Media* (A) | 33,970 | 296 | ||||||
Panera Bread, Cl A* | 3,285 | 527 | ||||||
Papa John’s International* | 2,400 | 127 | ||||||
Perry Ellis International* | 3,900 | 85 | ||||||
PetMed Express | 28,100 | 324 | ||||||
Pier 1 Imports (A) | 50,182 | 963 | ||||||
Pool | 500 | 21 | ||||||
Red Robin Gourmet Burgers* | 17,070 | 559 | ||||||
Regis (A) | 25,196 | 415 | ||||||
Rent-A-Center, Cl A | 2,600 | 90 | ||||||
Ryland Group (A) | 12,680 | 424 | ||||||
Scholastic | 10,500 | 295 | ||||||
School Specialty* (A) | 5,843 | 8 | ||||||
Scientific Games, Cl A* | 54,940 | 458 | ||||||
Select Comfort* | 32,960 | 883 | ||||||
SHFL Entertainment* | 15,797 | 217 | ||||||
Shutterfly* (A) | 18,408 | 496 | ||||||
Skechers U.S.A., Cl A* | 1,800 | 35 | ||||||
Skullcandy* (A) | 37,583 | 324 | ||||||
Smith & Wesson Holding* | 14,600 | 155 | ||||||
Sonic* | 23,400 | 237 | ||||||
Sotheby’s (A) | 900 | 26 | ||||||
Stage Stores | 1,300 | 34 | ||||||
Standard Motor Products | 8,400 | 164 | ||||||
Standard Pacific* (A) | 41,132 | 276 | ||||||
Steiner Leisure* | 2,500 | 115 | ||||||
Steven Madden* | 11,550 | 514 | ||||||
Stewart Enterprises, Cl A | 22,700 | 173 | ||||||
Strayer Education | 200 | 10 | ||||||
Ulta Salon Cosmetics & Fragrance | 5,240 | 525 | ||||||
Vail Resorts | 17,066 | 961 | ||||||
Vitamin Shoppe* | 18,279 | 1,083 | ||||||
Warnaco Group* | 3,400 | 244 | ||||||
Wet Seal, Cl A* | 110,500 | 325 | ||||||
Winnebago Industries* | 2,400 | 34 | ||||||
WMS Industries* | 19,001 | 321 | ||||||
Wolverine World Wide | 300 | 13 |
1 | SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap II Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Zumiez* (A) | 18,424 | $ | 381 | |||||
|
| |||||||
32,974 | ||||||||
|
| |||||||
Consumer Staples — 3.8% | ||||||||
Andersons | 9,400 | 397 | ||||||
Casey’s General Stores (A) | 6,760 | 334 | ||||||
Central Garden and Pet, Cl A* | 13,839 | 162 | ||||||
Central Garden and Pet* | 9,992 | 112 | ||||||
Chefs’ Warehouse* | 19,530 | 309 | ||||||
Chiquita Brands International* | 26,500 | 189 | ||||||
Darling International* | 5,800 | 98 | ||||||
Dole Food* (A) | 17,501 | 201 | ||||||
Elizabeth Arden* | 10,370 | 481 | ||||||
Fresh Del Monte Produce | 20,400 | 529 | ||||||
Fresh Market* | 4,646 | 241 | ||||||
Harris Teeter Supermarkets (A) | 3,900 | 148 | ||||||
Ingredion | 10,997 | 714 | ||||||
J&J Snack Foods | 900 | 57 | ||||||
Lancaster Colony | 5,400 | 409 | ||||||
Medifast* | 4,200 | 133 | ||||||
Pantry* | 21,867 | 281 | ||||||
Pilgrim’s Pride* (A) | 39,100 | 279 | ||||||
Post Holdings* | 9,000 | 310 | ||||||
Prestige Brands Holdings* | 23,024 | 497 | ||||||
Rite Aid* | 150,800 | 152 | ||||||
Sanderson Farms | 6,183 | 297 | ||||||
Smart Balance* | 17,834 | 222 | ||||||
Snyders-Lance (A) | 14,690 | 354 | ||||||
Spectrum Brands Holdings* | 11,980 | 573 | ||||||
SUPERVALU (A) | 9,200 | 22 | ||||||
TreeHouse Foods* | 4,482 | 235 | ||||||
United Natural Foods* | 4,061 | 210 | ||||||
USANA Health Sciences* (A) | 4,500 | 186 | ||||||
WD-40 | 3,300 | 156 | ||||||
Weis Markets | 1,800 | 70 | ||||||
|
| |||||||
8,358 | ||||||||
|
| |||||||
Energy — 4.3% | ||||||||
Atwood Oceanics* | 6,320 | 291 | ||||||
Basic Energy Services* | 2,300 | 25 | ||||||
Berry Petroleum, Cl A (A) | 13,160 | 409 | ||||||
Bristow Group | 800 | 42 | ||||||
Cloud Peak Energy* | 5,600 | 106 | ||||||
Contango Oil & Gas* | 200 | 8 | ||||||
Delek US Holdings | 1,200 | 32 | ||||||
Dril-Quip* | 1,710 | 120 | ||||||
Energy XXI Bermuda (A) | 11,262 | 357 | ||||||
EPL Oil & Gas* | 7,000 | 147 | ||||||
Forest Oil* | 3,300 | 21 | ||||||
Forum Energy Technologies* (A) | 22,599 | 570 | ||||||
Goodrich Petroleum* (A) | 15,667 | 141 | ||||||
Gulfmark Offshore, Cl A* | 11,080 | 347 | ||||||
Halcon Resources* | 57,658 | 356 | ||||||
Harvest Natural Resources* | 4,300 | 38 | ||||||
Helix Energy Solutions Group* | 11,200 | 196 | ||||||
Key Energy Services* | 103,004 | 689 | ||||||
KiOR, Cl A* (A) | 25,012 | 161 | ||||||
Knightsbridge Tankers (A) | 8,900 | 52 | ||||||
Laredo Petroleum Holdings* (A) | 18,083 | 344 | ||||||
Matador Resources* | 26,890 | 239 |
Description | Shares | Market Value ($ Thousands) | ||||||
McDermott International* | 25,418 | $ | 268 | |||||
Mitcham Industries* | 1,800 | 26 | ||||||
Oasis Petroleum* (A) | 30,554 | 923 | ||||||
Oceaneering International | 8,450 | 445 | ||||||
Oil States International* | 5,610 | 397 | ||||||
Overseas Shipholding Group (A) | 6,800 | 8 | ||||||
Parker Drilling* | 44,700 | 187 | ||||||
Penn Virginia | 35,700 | 158 | ||||||
Pioneer Energy Services* | 52,428 | 379 | ||||||
Quicksilver Resources* (A) | 13,200 | 42 | ||||||
Rosetta Resources* (A) | 16,748 | 753 | ||||||
SemGroup, Cl A* | 1,000 | 38 | ||||||
Ship Finance International (A) | 3,300 | 53 | ||||||
SM Energy | 700 | 35 | ||||||
Stone Energy* | 2,700 | 56 | ||||||
Swift Energy* | 21,751 | 337 | ||||||
Tesco* | 13,600 | 147 | ||||||
Vaalco Energy* | 18,400 | 156 | ||||||
W&T Offshore | 4,800 | 80 | ||||||
Western Refining (A) | 3,300 | 96 | ||||||
Willbros Group* | 27,400 | 138 | ||||||
|
| |||||||
9,413 | ||||||||
|
| |||||||
Financials — 18.4% | ||||||||
Affiliated Managers Group* | 3,590 | 463 | ||||||
Alterra Capital Holdings | 16,529 | 387 | ||||||
Amtrust Financial Services | 14,296 | 412 | ||||||
Argo Group International Holdings | 9,200 | 305 | ||||||
Ashford Hospitality Trust‡ | 11,700 | 106 | ||||||
Associated Estates Realty‡ | 29,920 | 453 | ||||||
Astoria Financial | 14,600 | 136 | ||||||
Bancorpsouth | 12,681 | 168 | ||||||
Bank of the Ozarks | 10,870 | 345 | ||||||
Banner | 14,955 | 449 | ||||||
BBCN Bancorp | 14,950 | 170 | ||||||
BlackRock Kelso Capital (A) | 33,500 | 338 | ||||||
Boston Private Financial Holdings (A) | 19,274 | 178 | ||||||
Brookline Bancorp | 11,500 | 97 | ||||||
Campus Crest Communities‡ | 20,100 | 230 | ||||||
Capital Bank Financial, Cl A* | 10,180 | 176 | ||||||
Cardinal Financial | 21,026 | 315 | ||||||
Cathay General Bancorp | 1,400 | 25 | ||||||
CBL & Associates Properties‡ | 16,188 | 364 | ||||||
Chesapeake Lodging Trust‡ | 6,200 | 117 | ||||||
Citizens Republic Bancorp* | 1,800 | 34 | ||||||
City Holding | 7,300 | 245 | ||||||
CNO Financial Group | 5,300 | 48 | ||||||
Columbia Banking System | 16,900 | 292 | ||||||
Community Bank System (A) | 6,900 | 185 | ||||||
Coresite Realty‡ | 900 | 23 | ||||||
Cousins Properties‡ | 4,600 | 38 | ||||||
Credit Acceptance* | 159 | 15 | ||||||
CubeSmart‡ | 5,900 | 81 | ||||||
CVB Financial | 3,000 | 30 | ||||||
DFC Global* | 16,900 | 295 | ||||||
Eagle Bancorp* | 10,601 | 206 | ||||||
EastGroup Properties‡ | 15,178 | 793 |
2 | SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap II Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Education Realty Trust‡ | 36,018 | $ | 371 | |||||
Employers Holdings (A) | 36,130 | 690 | ||||||
Endurance Specialty Holdings | 7,517 | 302 | ||||||
EPR Properties‡ (A) | 11,870 | 538 | ||||||
Equity One‡ | 20,141 | 416 | ||||||
EverBank Financial | 11,140 | 165 | ||||||
Evercore Partners, Cl A | 14,070 | 386 | ||||||
Federated Investors, Cl B (A) | 13,757 | 273 | ||||||
FelCor Lodging Trust‡* | 6,000 | 25 | ||||||
First American Financial | 10,400 | 247 | ||||||
First Commonwealth Financial | 46,900 | 301 | ||||||
First Financial Bankshares (A) | 2,600 | 101 | ||||||
First Horizon National | 46,632 | 441 | ||||||
First Industrial Realty Trust‡* | 6,300 | 83 | ||||||
First Midwest Bancorp | 44,727 | 559 | ||||||
First Potomac Realty Trust‡ | 4,500 | 53 | ||||||
FirstMerit (A) | 53,619 | 755 | ||||||
FNB (Pennsylvania) | 32,140 | 347 | ||||||
Franklin Street Properties‡ | 2,300 | 27 | ||||||
Fulton Financial (A) | 36,560 | 356 | ||||||
Getty Realty‡ (A) | 4,400 | 74 | ||||||
Glimcher Realty Trust‡ | 40,840 | 438 | ||||||
Government Properties Income Trust‡ (A) | 13,300 | 307 | ||||||
Hancock Holding | 16,479 | 518 | ||||||
Hanover Insurance Group | 7,435 | 272 | ||||||
Healthcare Realty Trust‡ | 5,100 | 122 | ||||||
Hercules Technology Growth Capital | 3,900 | 42 | ||||||
Highwoods Properties‡ | 15,570 | 502 | ||||||
Home Bancshares | 6,700 | 222 | ||||||
Horace Mann Educators | 42,723 | 817 | ||||||
Hudson Pacific Properties‡ | 1,400 | 27 | ||||||
Iberiabank | 16,587 | 809 | ||||||
Infinity Property & Casualty | 13,079 | 716 | ||||||
Inland Real Estate‡ | 49,200 | 392 | ||||||
International Bancshares | 13,800 | 250 | ||||||
Investment Technology Group* | 36,200 | 324 | ||||||
Jones Lang LaSalle | 7,358 | 603 | ||||||
KBW | 1,600 | 28 | ||||||
Lexington Realty Trust‡ | 113,059 | 1,084 | ||||||
LTC Properties‡ | 4,700 | 154 | ||||||
MarketAxess Holdings | 4,100 | 126 | ||||||
Medical Properties Trust‡ | 44,530 | 520 | ||||||
MFA Mortgage Investments‡ | 60,478 | 509 | ||||||
MGIC Investment* (A) | 60,000 | 105 | ||||||
Mid-America Apartment Communities‡ | 10,098 | 629 | ||||||
Montpelier Re Holdings | 16,300 | 357 | ||||||
National Health Investors‡ | 900 | 50 | ||||||
National Penn Bancshares | 57,843 | 548 | ||||||
NBT Bancorp (A) | 14,700 | 291 | ||||||
Nelnet, Cl A | 12,600 | 360 | ||||||
Netspend Holdings* | 85,409 | 995 | ||||||
Northwest Bancshares | 16,300 | 194 | ||||||
Old National Bancorp | 26,430 | 310 | ||||||
Oritani Financial | 14,800 | 216 | ||||||
PacWest Bancorp | 27,012 | 673 | ||||||
Park National | 200 | 13 |
Description | Shares | Market Value ($ Thousands) | ||||||
Pinnacle Financial Partners* | 6,500 | $ | 124 | |||||
Piper Jaffray* | 6,900 | 196 | ||||||
Platinum Underwriters Holdings | 24,563 | 1,093 | ||||||
Popular* | 18,290 | 362 | ||||||
Potlatch‡ | 6,600 | 257 | ||||||
Primerica* | 4,300 | 123 | ||||||
ProAssurance | 5,480 | 497 | ||||||
Prospect Capital | 6,100 | 64 | ||||||
Prosperity Bancshares | 14,720 | 605 | ||||||
Provident Financial Services | 18,600 | 269 | ||||||
PS Business Parks‡ | 2,400 | 155 | ||||||
Ramco-Gershenson Properties‡ | 29,200 | 391 | ||||||
Reinsurance Group of America, Cl A | 7,534 | 386 | ||||||
Retail Opportunity Investments‡ (A) | 5,500 | 70 | ||||||
RLI | 400 | 26 | ||||||
RLJ Lodging Trust‡ | 8,000 | 149 | ||||||
Sabra Health Care‡ (A) | 7,500 | 163 | ||||||
Selective Insurance Group | 3,900 | 73 | ||||||
Signature Bank NY* | 8,522 | 598 | ||||||
Solar Capital | 8,800 | 201 | ||||||
Sovran Self Storage‡ | 200 | 12 | ||||||
Stifel Financial* (A) | 12,450 | 379 | ||||||
Strategic Hotels & Resorts‡* | 3,000 | 19 | ||||||
Sunstone Hotel Investors‡* | 12,100 | 125 | ||||||
Susquehanna Bancshares | 89,572 | 921 | ||||||
Symetra Financial | 16,700 | 204 | ||||||
Synovus Financial (A) | 64,165 | 152 | ||||||
Tanger Factory Outlet Centers‡ | 10,582 | 348 | ||||||
TCF Financial | 59,479 | 707 | ||||||
TICC Capital | 25,200 | 252 | ||||||
Tower Group | 2,200 | 37 | ||||||
Trustmark | 1,800 | 40 | ||||||
Two Harbors Investment‡ | 12,200 | 138 | ||||||
UMB Financial | 3,000 | 127 | ||||||
Umpqua Holdings | 22,800 | 266 | ||||||
ViewPoint Financial Group | 12,600 | 258 | ||||||
Waddell & Reed Financial, Cl A | 11,050 | 359 | ||||||
Washington Federal | 25,060 | 403 | ||||||
Washington Real Estate Investment Trust‡ | 5,200 | 135 | ||||||
Webster Financial | 36,200 | 754 | ||||||
Westamerica Bancorporation (A) | 5,300 | 226 | ||||||
Wilshire Bancorp* | 18,100 | 105 | ||||||
World Acceptance* (A) | 1,500 | 109 | ||||||
Zillow, Cl A* (A) | 7,962 | 219 | ||||||
Zions Bancorporation (A) | 23,378 | 469 | ||||||
|
| |||||||
40,118 | ||||||||
|
| |||||||
Health Care — 10.9% | ||||||||
Acadia Healthcare* | 19,457 | 447 | ||||||
Accuray* | 15,600 | 98 | ||||||
Achillion Pharmaceuticals* (A) | 15,800 | 123 | ||||||
Acorda Therapeutics* | 300 | 8 | ||||||
Akorn* (A) | 53,286 | 719 | ||||||
Align Technology* | 4,740 | 130 | ||||||
Amarin ADR* (A) | 25,922 | 322 | ||||||
Amedisys* | 17,300 | 181 |
3 | SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap II Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
AMERIGROUP* | 4,790 | $ | 440 | |||||
Amsurg, Cl A* | 14,153 | 397 | ||||||
Analogic | 9,360 | 690 | ||||||
Ariad Pharmaceuticals* | 21,014 | 470 | ||||||
Arqule* | 31,600 | 84 | ||||||
ArthroCare* | 2,000 | 67 | ||||||
Assisted Living Concepts, Cl A | 4,800 | 42 | ||||||
athenahealth* | 4,212 | 268 | ||||||
Auxilium Pharmaceuticals* | 3,800 | 73 | ||||||
Catamaran* | 6,470 | 315 | ||||||
Centene* | 6,909 | 303 | ||||||
Cepheid* | 4,170 | 135 | ||||||
Chemed (A) | 5,800 | 395 | ||||||
Computer Programs & Systems | 2,200 | 110 | ||||||
CONMED | 7,700 | 213 | ||||||
Cubist Pharmaceuticals* | 7,914 | 321 | ||||||
Cyberonics* | 8,138 | 421 | ||||||
Dendreon* (A) | 5,900 | 26 | ||||||
DexCom* (A) | 27,820 | 364 | ||||||
Emergent Biosolutions* | 16,700 | 251 | ||||||
Endocyte* | 6,300 | 59 | ||||||
Ensign Group | 2,700 | 70 | ||||||
Gentiva Health Services* | 25,800 | 266 | ||||||
HealthSouth* | 40,449 | 889 | ||||||
HeartWare International* | 4,840 | 398 | ||||||
Hi-Tech Pharmacal* | 500 | 15 | ||||||
HMS Holdings* | 38,324 | 888 | ||||||
ICON ADR* | 3,307 | 91 | ||||||
ICU Medical* | 10,256 | 604 | ||||||
Impax Laboratories* | 8,870 | 180 | ||||||
Infinity Pharmaceuticals* | 467 | 12 | ||||||
Invacare | 12,400 | 175 | ||||||
IPC The Hospitalist* (A) | 7,312 | 276 | ||||||
Jazz Pharmaceuticals* | 6,450 | 347 | ||||||
Keryx Biopharmaceuticals* (A) | 61,957 | 195 | ||||||
LHC Group* | 8,100 | 157 | ||||||
Magellan Health Services* | 300 | 16 | ||||||
MAP Pharmaceuticals* (A) | 31,124 | 496 | ||||||
Masimo | 33,990 | 704 | ||||||
MedAssets* | 1,800 | 29 | ||||||
Medicines* | 3,300 | 71 | ||||||
Medicis Pharmaceutical, Cl A | 2,800 | 121 | ||||||
MEDNAX* (A) | 10,289 | 813 | ||||||
Molina Healthcare* | 2,000 | 56 | ||||||
Momenta Pharmaceuticals* | 10,100 | 108 | ||||||
Neurocrine Biosciences* | 10,200 | 76 | ||||||
NewLink Genetics* (A) | 13,858 | 167 | ||||||
NuVasive* | 2,800 | 41 | ||||||
Onyx Pharmaceuticals* (A) | 4,780 | 361 | ||||||
Optimer Pharmaceuticals* | 12,810 | 131 | ||||||
Orthofix International* | 5,100 | 190 | ||||||
Owens & Minor (A) | 4,500 | 123 | ||||||
PAREXEL International* | 31,254 | 1,009 | ||||||
PDL BioPharma (A) | 81,000 | 640 | ||||||
PerkinElmer | 14,687 | 465 | ||||||
Pharmacyclics* | 1,650 | 87 | ||||||
PharMerica* | 10,000 | 144 | ||||||
Pozen* | 14,500 | 80 | ||||||
PSS World Medical* (A) | 1,600 | 45 |
Description | Shares | Market Value ($ Thousands) | ||||||
Puma Biotechnology* | 2,219 | $ | 46 | |||||
Quality Systems | 1,400 | 25 | ||||||
Questcor Pharmaceuticals (A) | 3,600 | 93 | ||||||
Sangamo Biosciences* (A) | 27,586 | 158 | ||||||
Sarepta Therapeutics* (A) | 2,560 | 75 | ||||||
Sciclone Pharmaceuticals* | 28,900 | 127 | ||||||
Select Medical Holdings* | 15,700 | 173 | ||||||
Sirona Dental Systems* | 6,660 | 417 | ||||||
Spectranetics* | 28,600 | 412 | ||||||
Spectrum Pharmaceuticals* (A) | 20,280 | 240 | ||||||
STERIS | 6,003 | 205 | ||||||
Synageva BioPharma* | 3,030 | 148 | ||||||
Team Health Holdings* | 36,697 | 1,027 | ||||||
Teleflex | 12,906 | 893 | ||||||
TESARO* (A) | 8,470 | 157 | ||||||
Trius Therapeutics* | 46,721 | 224 | ||||||
Universal American | 8,400 | 70 | ||||||
ViroPharma* | 1,900 | 47 | ||||||
Vocera Communications* | 9,863 | 242 | ||||||
Volcano* | 21,079 | 575 | ||||||
WellCare Health Plans* | 6,930 | 334 | ||||||
|
| |||||||
23,696 | ||||||||
|
| |||||||
Industrials — 16.2% | ||||||||
ABM Industries | 1,200 | 23 | ||||||
Acacia Research* | 6,277 | 140 | ||||||
Actuant, Cl A | 46,282 | 1,332 | ||||||
Acuity Brands | 10,614 | 702 | ||||||
Advisory Board* | 16,484 | 746 | ||||||
Air Lease, Cl A* | 15,790 | 351 | ||||||
Aircastle | 20,800 | 237 | ||||||
Alaska Air Group* | 8,500 | 363 | ||||||
Albany International, Cl A (A) | 8,200 | 176 | ||||||
American Science & Engineering | 2,100 | 134 | ||||||
Ametek | 2,955 | 110 | ||||||
AO Smith | 9,820 | 618 | ||||||
Apogee Enterprises | 15,100 | 346 | ||||||
Applied Industrial Technologies | 500 | 20 | ||||||
Arkansas Best | 15,400 | 128 | ||||||
Barnes Group | 5,600 | 118 | ||||||
BE Aerospace* | 10,296 | 488 | ||||||
Beacon Roofing Supply* | 24,476 | 755 | ||||||
Belden | 23,371 | 881 | ||||||
Brady, Cl A | 13,229 | 423 | ||||||
Briggs & Stratton | 1,300 | 26 | ||||||
Brink’s | 1,700 | 47 | ||||||
Carlisle | 6,750 | 383 | ||||||
Cascade | 500 | 33 | ||||||
Chart Industries* | 17,645 | 1,067 | ||||||
CIRCOR International | 4,680 | 169 | ||||||
CLARCOR | 8,418 | 390 | ||||||
Consolidated Graphics* | 6,800 | 231 | ||||||
Corporate Executive Board | 5,466 | 234 | ||||||
Curtiss-Wright | 1,400 | 44 | ||||||
DigitalGlobe* | 19,136 | 477 | ||||||
Dycom Industries* | 39,520 | 710 | ||||||
EMCOR Group | 7,300 | 240 | ||||||
Encore Capital Group* | 1,500 | 40 | ||||||
EnerSys* | 4,000 | 139 |
4 | SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap II Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
EnPro Industries* (A) | 6,757 | $ | 265 | |||||
Esterline Technologies* | 6,150 | 376 | ||||||
Exponent* | 1,800 | 96 | ||||||
Franklin Electric | 3,670 | 219 | ||||||
FreightCar America | 3,700 | 78 | ||||||
G&K Services, Cl A | 22,878 | 776 | ||||||
General Cable* | 10,534 | 302 | ||||||
Genesee & Wyoming, Cl A* (A) | 15,988 | 1,166 | ||||||
GeoEye* | 2,800 | 86 | ||||||
Granite Construction | 5,800 | 177 | ||||||
H&E Equipment Services | 18,230 | 283 | ||||||
Hawaiian Holdings* | 1,800 | 11 | ||||||
Hexcel* | 55,216 | 1,427 | ||||||
HNI (A) | 3,200 | 95 | ||||||
Hyster-Yale Materials Handling | 1,200 | 50 | ||||||
IDEX | 18,498 | 832 | ||||||
Insperity | 2,600 | 79 | ||||||
Interface, Cl A | 46,101 | 677 | ||||||
John Bean Technologies | 4,000 | 65 | ||||||
Kadant* | 7,613 | 185 | ||||||
KAR Auction Services | 12,053 | 214 | ||||||
Kaydon | 9,470 | 218 | ||||||
Kelly Services, Cl A | 4,000 | 55 | ||||||
KEYW Holding* | 29,844 | 384 | ||||||
Kforce* | 11,800 | 152 | ||||||
Kirby* | 8,700 | 504 | ||||||
Korn/Ferry International* | 900 | 13 | ||||||
Layne Christensen* | 7,400 | 170 | ||||||
Lennox International | 5,795 | 305 | ||||||
Lincoln Electric Holdings | 8,190 | 389 | ||||||
Lindsay Manufacturing | 3,237 | 256 | ||||||
MasTec* (A) | 21,810 | 498 | ||||||
Meritor* | 13,600 | 58 | ||||||
Middleby* | 4,155 | 529 | ||||||
Mine Safety Appliances | 3,900 | 151 | ||||||
Mueller Industries | 700 | 33 | ||||||
Mueller Water Products, Cl A | 40,400 | 225 | ||||||
MYR Group* | 10,100 | 217 | ||||||
National Presto Industries (A) | 2,000 | 154 | ||||||
Navigant Consulting* | 2,800 | 29 | ||||||
Old Dominion Freight Line* | 24,110 | 806 | ||||||
Orbital Sciences* | 26,440 | 346 | ||||||
Orion Marine Group* | 25,994 | 185 | ||||||
Quad, Cl A (A) | 2,100 | 34 | ||||||
Quanex Building Products (A) | 6,100 | 128 | ||||||
RBC Bearings* | 8,620 | 402 | ||||||
Resources Connection | 21,300 | 247 | ||||||
Saia* | 7,800 | 169 | ||||||
Simpson Manufacturing (A) | 6,980 | 228 | ||||||
SkyWest | 18,700 | 217 | ||||||
Spirit Airlines* | 8,200 | 138 | ||||||
Standex International | 3,000 | 148 | ||||||
Steelcase, Cl A (A) | 43,745 | 509 | ||||||
Swift Transporation, Cl A* | 33,500 | 283 | ||||||
Sykes Enterprises* | 7,300 | 107 | ||||||
Taser International* | 33,800 | 279 | ||||||
Teledyne Technologies* | 12,989 | 818 | ||||||
Terex* | 24,029 | 581 |
Description | Shares | Market Value ($ Thousands) | ||||||
Tetra Tech* | 22,911 | $ | 590 | |||||
Thermon Group Holdings* (A) | 11,730 | 290 | ||||||
Titan International | 1,500 | 31 | ||||||
Towers Watson, Cl A | 7,872 | 416 | ||||||
Trex* | 1,900 | 77 | ||||||
Trimas* | 11,801 | 306 | ||||||
Triumph Group | 7,860 | 516 | ||||||
TrueBlue* | 32,070 | 457 | ||||||
United Rentals* (A) | 11,740 | 488 | ||||||
US Airways Group* (A) | 500 | 6 | ||||||
US Ecology | 22,178 | 485 | ||||||
USG* (A) | 12,558 | 337 | ||||||
Valmont Industries | 3,540 | 494 | ||||||
WageWorks* | 10,062 | 186 | ||||||
Watts Water Technologies, Cl A | 11,526 | 471 | ||||||
Werner Enterprises | 1,600 | 35 | ||||||
WESCO International* | 6,736 | 435 | ||||||
|
| |||||||
35,365 | ||||||||
|
| |||||||
Information Technology — 14.0% | ||||||||
ACI Worldwide* | 12,180 | 525 | ||||||
Actuate* | 24,300 | 130 | ||||||
Acxiom* | 5,900 | 104 | ||||||
Advanced Energy Industries* | 13,300 | 170 | ||||||
Ancestry.com* | 1,100 | 35 | ||||||
Anixter International | 600 | 37 | ||||||
Applied Micro Circuits* | 9,000 | 61 | ||||||
Arris Group* | 30,760 | 430 | ||||||
Aspen Technology* | 30,030 | 780 | ||||||
ATMI* | 2,400 | 48 | ||||||
Bazaarvoice* (A) | 23,714 | 232 | ||||||
Benchmark Electronics* | 8,300 | 129 | ||||||
Black Box | 6,200 | 153 | ||||||
Blucora* | 4,200 | 62 | ||||||
BroadSoft* (A) | 12,370 | 391 | ||||||
Cabot Microelectronics | 300 | 10 | ||||||
CACI International, Cl A* (A) | 5,315 | 272 | ||||||
Cadence Design Systems* | 45,730 | 582 | ||||||
Calix* (A) | 21,800 | 161 | ||||||
Cardtronics* | 14,710 | 337 | ||||||
Cavium* (A) | 13,452 | 474 | ||||||
Ciena* (A) | 22,891 | 341 | ||||||
Cirrus Logic* | 4,480 | 140 | ||||||
Coherent* | 6,610 | 306 | ||||||
Comtech Telecommunications | 6,258 | 160 | ||||||
Convergys | 20,563 | 321 | ||||||
CoStar Group* (A) | 7,380 | 641 | ||||||
CSG Systems International* | 11,900 | 221 | ||||||
DealerTrack Holdings* | 19,200 | 516 | ||||||
Demand Media* (A) | 4,500 | 40 | ||||||
Demandware* (A) | 12,330 | 338 | ||||||
Dice Holdings* (A) | 15,200 | 131 | ||||||
Diebold | 14,690 | 439 | ||||||
Digital River* | 8,146 | 119 | ||||||
EarthLink | 23,500 | 155 | ||||||
Emulex* | 70,721 | 520 | ||||||
Entegris* | 24,660 | 221 | ||||||
ExactTarget* | 10,570 | 218 | ||||||
ExlService Holdings* | 20,783 | 558 |
5 | SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap II Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Fairchild Semiconductor International, Cl A* | 27,430 | $ | 366 | |||||
FEI | 16,384 | 902 | ||||||
FleetMatics Group* | 3,624 | 79 | ||||||
FormFactor* | 27,100 | 120 | ||||||
Fortinet* | 14,100 | 282 | ||||||
Global Cash Access Holdings* | 4,900 | 39 | ||||||
Glu Mobile* (A) | 16,300 | 47 | ||||||
Guidewire Software* | 21,939 | 656 | ||||||
Harmonic* | 39,500 | 181 | ||||||
Heartland Payment Systems (A) | 14,560 | 431 | ||||||
Hittite Microwave* | 7,051 | 428 | ||||||
Infoblox* | 17,846 | 338 | ||||||
Insight Enterprises* | 16,000 | 271 | ||||||
Interactive Intelligence Group* | 7,488 | 241 | ||||||
Intermec* | 32,790 | 248 | ||||||
Internap Network Services* | 86,727 | 518 | ||||||
InvenSense, Cl A* | 42,486 | 427 | ||||||
JDA Software Group* | 800 | 36 | ||||||
Kemet* | 19,600 | 87 | ||||||
Kenexa* | 300 | 14 | ||||||
Limelight Networks* | 58,500 | 113 | ||||||
Liquidity Services* (A) | 9,170 | 377 | ||||||
LogMeIn* | 3,300 | 71 | ||||||
Loral Space & Communications | 2,400 | 204 | ||||||
Manhattan Associates* | 9,310 | 533 | ||||||
Mantech International, Cl A | 1,000 | 25 | ||||||
MAXIMUS | 4,244 | 267 | ||||||
Mellanox Technologies* (A) | 2,650 | 193 | ||||||
Mentor Graphics* | 6,300 | 94 | ||||||
Micros Systems* | 7,900 | 343 | ||||||
Mindspeed Technologies* | 103,181 | 375 | ||||||
MKS Instruments | 4,300 | 104 | ||||||
Move* | 14,800 | 111 | ||||||
NETGEAR* | 9,450 | 329 | ||||||
Netscout Systems* | 13,034 | 327 | ||||||
NIC | 500 | 7 | ||||||
Opnet Technologies | 9,226 | 383 | ||||||
OSI Systems* | 11,994 | 735 | ||||||
Parametric Technology* | 49,147 | 995 | ||||||
Photronics* | 12,800 | 66 | ||||||
Plantronics | 1,800 | 61 | ||||||
Plexus* | 1,700 | 39 | ||||||
Power-One* | 16,100 | 67 | ||||||
Progress Software* | 2,400 | 48 | ||||||
QLIK Technologies* | 5,694 | 110 | ||||||
QLogic* | 12,600 | 119 | ||||||
Quantum* (A) | 155,296 | 186 | ||||||
RealNetworks* | 1,600 | 12 | ||||||
RF Micro Devices* | 88,716 | 383 | ||||||
Riverbed Technology* | 8,120 | 145 | ||||||
Rogers* (A) | 10,096 | 449 | ||||||
Sanmina* | 6,600 | 62 | ||||||
Sapient* | 5,200 | 55 | ||||||
Semtech* | 27,140 | 742 | ||||||
SolarWinds* | 7,444 | 417 | ||||||
Sonus Networks* | 114,843 | 192 | ||||||
Sourcefire* (A) | 12,143 | 598 | ||||||
Spansion, Cl A* | 7,100 | 83 |
Description | Shares | Market Value ($ Thousands) | ||||||
SPS Commerce* | 5,102 | $ | 188 | |||||
STEC* | 15,800 | 78 | ||||||
Synaptics* (A) | 6,100 | 163 | ||||||
SYNNEX* | 800 | 26 | ||||||
Synopsys* | 7,309 | 240 | ||||||
Take-Two Interactive Software* | 30,960 | 383 | ||||||
Tangoe* | 60,002 | 782 | ||||||
TeleTech Holdings* | 2,600 | 44 | ||||||
Tellabs | 10,900 | 39 | ||||||
Teradyne* (A) | 22,010 | 344 | ||||||
Tessera Technologies | 700 | 11 | ||||||
TIBCO Software* | 2,120 | 53 | ||||||
TiVo* | 600 | 7 | ||||||
TNS* | 11,555 | 169 | ||||||
Travelzoo* | 7,000 | 123 | ||||||
Tyler Technologies* | 200 | 9 | ||||||
Unisys* | 4,500 | 78 | ||||||
United Online | 43,200 | 247 | ||||||
Veeco Instruments* (A) | 12,750 | 363 | ||||||
Vishay Intertechnology* (A) | 38,186 | 370 | ||||||
WebMD Health, Cl A* (A) | 12,800 | 180 | ||||||
WEX* | 5,600 | 403 | ||||||
Xyratex (A) | 16,403 | 154 | ||||||
Zebra Technologies, Cl A* | 10,008 | 390 | ||||||
|
| |||||||
30,483 | ||||||||
|
| |||||||
Materials — 4.4% | ||||||||
A. Schulman | 13,700 | 359 | ||||||
AK Steel Holding (A) | 51,900 | 208 | ||||||
Allegheny Technologies | 9,732 | 255 | ||||||
Buckeye Technologies | 1,600 | 44 | ||||||
Century Aluminum* | 11,600 | 90 | ||||||
Chemtura* | 6,600 | 134 | ||||||
Coeur d’Alene Mines* | 8,170 | 190 | ||||||
Commercial Metals | 24,350 | 330 | ||||||
Compass Minerals International | 4,081 | 312 | ||||||
Cytec Industries | 4,202 | 288 | ||||||
Eagle Materials | 7,560 | 402 | ||||||
Ferro* | 7,400 | 21 | ||||||
Georgia Gulf (A) | 2,300 | 106 | ||||||
Glatfelter (A) | 8,200 | 139 | ||||||
Greif, Cl A | 9,040 | 371 | ||||||
H.B. Fuller | 11,100 | 365 | ||||||
Haynes International | 400 | 19 | ||||||
Headwaters* | 37,500 | 285 | ||||||
Horsehead Holding* | 20,700 | 193 | ||||||
Huntsman | 14,481 | 238 | ||||||
Innophos Holdings | 5,259 | 252 | ||||||
Innospec | 2,700 | 86 | ||||||
Intrepid Potash* | 11,027 | 235 | ||||||
Kaiser Aluminum (A) | 5,330 | 325 | ||||||
Koppers Holdings | 3,700 | 131 | ||||||
Kraton Performance Polymers* | 18,396 | 432 | ||||||
LSB Industries* | 900 | 30 | ||||||
Metals USA Holdings | 11,300 | 177 | ||||||
Minerals Technologies | 7,070 | 523 | ||||||
Myers Industries | 5,200 | 77 | ||||||
Noranda Aluminum Holding | 33,200 | 197 | ||||||
Owens-Illinois* | 17,637 | 353 |
6 | SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap II Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Packaging Corp of America | 6,372 | $ | 232 | |||||
PolyOne | 26,770 | 539 | ||||||
Resolute Forest Products* (A) | 23,600 | 276 | ||||||
RTI International Metals* (A) | 17,073 | 423 | ||||||
Schnitzer Steel Industries, Cl A | 9,000 | 254 | ||||||
Sensient Technologies | 13,285 | 481 | ||||||
TPC Group* | 4,400 | 211 | ||||||
Wausau Paper | 11,600 | 97 | ||||||
|
| |||||||
9,680 | ||||||||
|
| |||||||
Telecommunication Services — 0.1% | ||||||||
Consolidated Communications Holdings | 3,000 | 45 | ||||||
Neutral Tandem | 800 | 2 | ||||||
NTELOS Holdings | 5,700 | 74 | ||||||
|
| |||||||
121 | ||||||||
|
| |||||||
Utilities — 2.2% | ||||||||
ALLETE | 9,950 | 390 | ||||||
American States Water | 1,700 | 77 | ||||||
Avista | 100 | 2 | ||||||
California Water Service Group | 12,500 | 225 | ||||||
Cleco | 14,205 | 572 | ||||||
El Paso Electric | 1,500 | 48 | ||||||
Great Plains Energy | 40,050 | 811 | ||||||
IDACORP | 9,486 | 405 | ||||||
Laclede Group | 3,200 | 130 | ||||||
MGE Energy | 2,200 | 111 | ||||||
New Jersey Resources | 1,200 | 49 | ||||||
Northwest Natural Gas (A) | 1,000 | 44 | ||||||
Otter Tail | 4,800 | 116 | ||||||
PNM Resources | 9,600 | 203 | ||||||
Portland General Electric | 29,427 | 796 | ||||||
UNS Energy | 14,360 | 612 | ||||||
Westar Energy | 6,079 | 175 | ||||||
|
| |||||||
4,766 | ||||||||
|
| |||||||
Total Common Stock | 194,974 | |||||||
|
| |||||||
EXCHANGE TRADED FUND — 0.4% |
| |||||||
iShares Russell 2000 Index | 10,479 | 860 | ||||||
|
| |||||||
Total Exchange Traded Fund | 860 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 16.3% |
| |||||||
SEI Liquidity Fund, L.P. | 35,519,550 | 35,520 | ||||||
|
| |||||||
Total Affiliated Partnership | 35,520 | |||||||
|
| |||||||
CASH EQUIVALENT — 5.5% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 11,881,460 | 11,881 | ||||||
|
| |||||||
Total Cash Equivalent | 11,881 | |||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.4% |
| |||||||
U.S. Treasury Bills | ||||||||
0.110%, 02/07/2013 (C) | $ | 234 | $ | 234 | ||||
0.087%, 01/31/2013 | 651 | 651 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 885 | |||||||
|
| |||||||
Total Investments — 112.0% | $ | 244,120 | ||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 216 | Dec-2012 | $ | 69 | ||||||||
|
|
For the period ended November 30, 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 period.
Percentages are based on a Net Assets of $217,904 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 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 November 30, 2012. The total value of securities on loan at November 30, 2012 was $34,456 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2012 was $35,520 ($ Thousands). |
(C) | The rate reported is the effective yield at time of purchase. |
(D) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
NY — New York
The following is a list of the inputs used as of November 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands).
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | 194,974 | — | — | 194,974 | ||||||||||||
Exchange Traded Fund | 860 | — | — | 860 | ||||||||||||
Affiliated Partnership | — | 35,520 | — | 35,520 | ||||||||||||
Cash Equivalent | 11,881 | — | — | 11,881 | ||||||||||||
U.S. Treasury Obligations | — | 885 | — | 885 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 207,715 | $ | 36,405 | $ | — | $ | 244,120 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 69 | $ | — | $ | — | $ | 69 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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.
7 | SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap II Fund
November 30, 2012
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
8 | SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.3% | ||||||||
Consumer Discretionary — 14.8% | ||||||||
Abercrombie & Fitch, Cl A (A) | 117,741 | $ | 5,403 | |||||
AFC Enterprises* | 89,460 | 2,365 | ||||||
Allison Transmission Holdings (A) | 103,687 | 2,156 | ||||||
American Eagle Outfitters | 196,749 | 4,171 | ||||||
American Greetings, Cl A (A) | 33,400 | 576 | ||||||
America’s Car-Mart* | 6,900 | 255 | ||||||
ANN* (A) | 36,555 | 1,226 | ||||||
Asbury Automotive Group* | 68,332 | 2,063 | ||||||
Autoliv (A) | 36,100 | 2,179 | ||||||
Belo, Cl A (A) | 277,620 | 1,999 | ||||||
Big 5 Sporting Goods (A) | 11,600 | 162 | ||||||
Big Lots* | 50,600 | 1,425 | ||||||
BJ’s Restaurants* (A) | 82,045 | 2,813 | ||||||
Bob Evans Farms | 41,100 | 1,549 | ||||||
Bravo Brio Restaurant Group* | 33,300 | 454 | ||||||
Brinker International | 20,900 | 626 | ||||||
Brunswick | 204,975 | 5,282 | ||||||
Buffalo Wild Wings* (A) | 78,792 | 5,708 | ||||||
Burger King Worldwide (A) | 211,020 | 3,617 | ||||||
Cabela’s* (A) | 51,090 | 2,441 | ||||||
Callaway Golf (A) | 153,336 | 1,033 | ||||||
Capella Education* | 37,738 | 1,044 | ||||||
Carmike Cinemas* | 22,800 | 345 | ||||||
Carter’s* | 77,261 | 4,098 | ||||||
Casual Male Retail Group* | 124,100 | 475 | ||||||
Cato, Cl A | 46,500 | 1,351 | ||||||
CEC Entertainment | 90,252 | 2,825 | ||||||
Cheesecake Factory (A) | 70,740 | 2,419 | ||||||
Children’s Place Retail Stores* (A) | 68,451 | 3,327 | ||||||
Coinstar* (A) | 29,557 | 1,390 | ||||||
Columbia Sportswear (A) | 19,111 | 1,106 | ||||||
Conn’s* (A) | 36,060 | 1,020 | ||||||
Cooper Tire & Rubber | 126,706 | 3,165 | ||||||
Core-Mark Holding | 20,254 | 926 | ||||||
Cracker Barrel Old Country Store | 6,800 | 418 | ||||||
Dana Holdings (A) | 143,695 | 2,038 | ||||||
Deckers Outdoor* (A) | 119,046 | 4,558 | ||||||
Dick’s Sporting Goods | 123,880 | 6,505 | ||||||
Dillard’s, Cl A (A) | 29,800 | 2,649 | ||||||
DR Horton (A) | 381,338 | 7,421 | ||||||
DSW, Cl A | 96,780 | 6,584 | ||||||
Ethan Allen Interiors (A) | 50,376 | 1,461 | ||||||
Express* | 132,749 | 1,982 | ||||||
Five Below* (A) | 29,488 | 1,095 | ||||||
Francesca’s Holdings* (A) | 237,548 | 6,183 | ||||||
GameStop, Cl A (A) | 156,303 | 4,103 | ||||||
Gannett (A) | 197,152 | 3,529 | ||||||
Grand Canyon Education* (A) | 115,623 | 2,738 | ||||||
H&R Block (A) | 51,400 | 927 | ||||||
Hanesbrands* | 236,128 | 8,524 | ||||||
Harley-Davidson | 47,136 | 2,214 | ||||||
Hasbro (A) | 63,891 | 2,457 | ||||||
Hibbett Sports* (A) | 134,865 | 7,248 | ||||||
HomeAway* (A) | 117,300 | 2,402 | ||||||
HSN (A) | 51,420 | 2,720 | ||||||
Ignite Restaurant Group* | 24,900 | 316 | ||||||
Interpublic Group | 136,102 | 1,473 | ||||||
Jack in the Box* | 71,381 | 1,967 | ||||||
Jarden (A) | 77,585 | 4,105 |
Description | Shares | Market Value ($ Thousands) | ||||||
Jones Group (A) | 107,400 | $ | 1,263 | |||||
Krispy Kreme Doughnuts* | 170,495 | 1,551 | ||||||
La-Z-Boy, Cl Z | 102,630 | 1,531 | ||||||
LeapFrog Enterprises, Cl A* (A) | 55,173 | 503 | ||||||
Lear | 31,200 | 1,362 | ||||||
Libbey* | 94,200 | 1,839 | ||||||
Life Time Fitness* (A) | 89,430 | 4,209 | ||||||
Lincoln Educational Services | 41,174 | 159 | ||||||
LKQ* | 110,391 | 2,420 | ||||||
Lumber Liquidators Holdings* (A) | 55,210 | 2,964 | ||||||
Matthews International, Cl A (A) | 52,951 | 1,602 | ||||||
MDC Partners, Cl A | 137,400 | 1,456 | ||||||
Men’s Wearhouse | 79,708 | 2,586 | ||||||
Meredith (A) | 44,625 | 1,391 | ||||||
Monro Muffler (A) | 149,973 | 4,811 | ||||||
National CineMedia | 471,558 | 6,743 | ||||||
Newell Rubbermaid | 125,092 | 2,728 | ||||||
Orient-Express Hotels, Cl A* | 178,517 | 2,201 | ||||||
Pandora Media* (A) | 400,020 | 3,488 | ||||||
Panera Bread, Cl A* | 17,500 | 2,809 | ||||||
Penn National Gaming* | 88,658 | 4,506 | ||||||
Pep Boys-Manny Moe & Jack (A) | 93,405 | 987 | ||||||
PetSmart | 28,033 | 1,981 | ||||||
Pier 1 Imports (A) | 307,307 | 5,897 | ||||||
Pinnacle Entertainment* | 136,980 | 1,770 | ||||||
Polaris Industries | 33,482 | 2,840 | ||||||
PulteGroup* (A) | 91,980 | 1,546 | ||||||
RadioShack (A) | 65,700 | 133 | ||||||
Red Robin Gourmet Burgers* | 60,236 | 1,973 | ||||||
Regis (A) | 126,285 | 2,080 | ||||||
Rent-A-Center, Cl A | 24,700 | 859 | ||||||
Royal Caribbean Cruises | 59,828 | 2,109 | ||||||
Ruby Tuesday* (A) | 152,048 | 1,187 | ||||||
Rue21* (A) | 64,479 | 1,851 | ||||||
Ryland Group (A) | 122,462 | 4,096 | ||||||
Ryman Hospitality Properties‡ (A) | 54,563 | 1,813 | ||||||
Sally Beauty Holdings* | 71,057 | 1,801 | ||||||
Samsonite International | 1,407,600 | 3,019 | ||||||
Scholastic (A) | 45,700 | 1,282 | ||||||
School Specialty* (A) | 26,044 | 34 | ||||||
Scientific Games, Cl A* | 252,940 | 2,107 | ||||||
Scripps Networks Interactive, Cl A | 31,622 | 1,867 | ||||||
Select Comfort* | 167,318 | 4,481 | ||||||
Shutterfly* (A) | 151,109 | 4,072 | ||||||
Shutterstock* | 54,680 | 1,400 | ||||||
Sinclair Broadcast Group, Cl A (A) | 93,100 | 1,027 | ||||||
Skullcandy* (A) | 190,789 | 1,645 | ||||||
Stage Stores | 71,200 | 1,842 | ||||||
Standard Pacific* (A) | 506,989 | 3,397 | ||||||
Starwood Hotels & Resorts Worldwide | 26,250 | 1,416 | ||||||
Steven Madden* | 54,902 | 2,444 | ||||||
Tempur-Pedic International* (A) | 78,812 | 2,100 | ||||||
Tenneco* | 104,020 | 3,336 | ||||||
TRW Automotive Holdings* | 49,200 | 2,491 | ||||||
Ulta Salon Cosmetics & Fragrance | 27,920 | 2,800 | ||||||
Urban Outfitters* | 73,650 | 2,777 | ||||||
Vail Resorts | 50,792 | 2,861 |
1 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Vera Bradley* (A) | 96,998 | $ | 2,688 | |||||
Vitamin Shoppe* | 156,252 | 9,260 | ||||||
Warnaco Group* | 59,642 | 4,288 | ||||||
Wet Seal, Cl A* | 56,400 | 166 | ||||||
Whirlpool | 96,352 | 9,813 | ||||||
WMS Industries* (A) | 260,672 | 4,405 | ||||||
Wolverine World Wide (A) | 117,794 | 5,098 | ||||||
Wyndham Worldwide | 106,481 | 5,227 | ||||||
Zumiez* (A) | 88,006 | 1,820 | ||||||
|
| |||||||
330,819 | ||||||||
|
| |||||||
Consumer Staples — 3.0% | ||||||||
B&G Foods, Cl A | 90,938 | 2,654 | ||||||
Casey’s General Stores (A) | 101,230 | 5,001 | ||||||
Central Garden and Pet* | 44,541 | 499 | ||||||
Central Garden and Pet, Cl A* | 61,641 | 723 | ||||||
Chefs’ Warehouse* (A) | 104,262 | 1,648 | ||||||
Chiquita Brands International* (A) | 133,300 | 950 | ||||||
Church & Dwight (A) | 32,845 | 1,779 | ||||||
Coca-Cola Enterprises | 54,477 | 1,698 | ||||||
Constellation Brands, Cl A* | 46,728 | 1,677 | ||||||
Dole Food* (A) | 145,726 | 1,673 | ||||||
Elizabeth Arden* | 89,314 | 4,145 | ||||||
Energizer Holdings | 29,893 | 2,384 | ||||||
Fresh Del Monte Produce | 57,800 | 1,500 | ||||||
Fresh Market* | 21,816 | 1,131 | ||||||
Hain Celestial Group* | 43,942 | 2,648 | ||||||
Ingredion | 49,027 | 3,184 | ||||||
J&J Snack Foods | 20,590 | 1,295 | ||||||
JM Smucker | 22,855 | 2,022 | ||||||
Kroger | 110,827 | 2,908 | ||||||
Molson Coors Brewing, Cl B | 55,350 | 2,295 | ||||||
Omega Protein* | 90,700 | 564 | ||||||
Pantry* | 97,514 | 1,252 | ||||||
Prestige Brands Holdings* | 80,806 | 1,745 | ||||||
Ralcorp Holdings* | 30,553 | 2,724 | ||||||
Safeway (A) | 108,400 | 1,855 | ||||||
Sanderson Farms (A) | 22,641 | 1,086 | ||||||
Smart Balance* | 83,655 | 1,040 | ||||||
Smithfield Foods* | 152,950 | 3,421 | ||||||
Spartan Stores | 79,358 | 1,194 | ||||||
Spectrum Brands Holdings* | 29,840 | 1,427 | ||||||
SUPERVALU (A) | 94,000 | 224 | ||||||
Sysco (A) | 70,692 | 2,237 | ||||||
TreeHouse Foods* (A) | 19,981 | 1,048 | ||||||
Tyson Foods, Cl A | 133,955 | 2,568 | ||||||
United Natural Foods* | 19,050 | 986 | ||||||
USANA Health Sciences* (A) | 31,200 | 1,288 | ||||||
Weis Markets | 17,700 | 692 | ||||||
WhiteWave Foods, Cl A* | 8,119 | 123 | ||||||
|
| |||||||
67,288 | ||||||||
|
| |||||||
Energy — 5.8% | ||||||||
Alberta Oilsands* | 1,600,500 | 105 | ||||||
Alpha Natural Resources* (A) | 28,200 | 211 | ||||||
Approach Resources* | 2,700 | 63 | ||||||
Atwood Oceanics* (A) | 35,980 | 1,655 | ||||||
Berry Petroleum, Cl A (A) | 60,063 | 1,869 | ||||||
Bonanza Creek Energy* (A) | 28,910 | 685 | ||||||
Bristow Group (A) | 21,470 | 1,119 | ||||||
Cabot Oil & Gas | 59,500 | 2,802 | ||||||
Cloud Peak Energy* | 40,920 | 776 | ||||||
Core Laboratories (A) | 28,564 | 2,947 | ||||||
CVR Energy* | 28,700 | 1,313 | ||||||
Diamondback Energy* | 37,300 | 671 |
Description | Shares | Market Value ($ Thousands) | ||||||
Dresser-Rand Group* | 143,062 | $ | 7,555 | |||||
Dril-Quip* (A) | 111,088 | 7,817 | ||||||
Energen (A) | 48,027 | 2,139 | ||||||
Energy XXI Bermuda (A) | 48,607 | 1,540 | ||||||
EPL Oil & Gas* | 30,400 | 638 | ||||||
EQT | 27,181 | 1,632 | ||||||
Forum Energy Technologies* (A) | 160,633 | 4,054 | ||||||
Goodrich Petroleum* (A) | 69,784 | 629 | ||||||
Gulfmark Offshore, Cl A* | 30,231 | 947 | ||||||
Gulfport Energy* | 177,197 | 6,741 | ||||||
Heckmann* (A) | 52,700 | 206 | ||||||
Helix Energy Solutions Group* | 130,582 | 2,287 | ||||||
Key Energy Services* | 451,536 | 3,021 | ||||||
Kinder Morgan Escrow* | 58,118 | — | ||||||
KiOR, Cl A* (A) | 117,456 | 758 | ||||||
Kodiak Oil & Gas, Cl rad Korean* (A) | 275,331 | 2,362 | ||||||
Laredo Petroleum Holdings* (A) | 96,407 | 1,834 | ||||||
Magnum Hunter Resources* (A) | 146,996 | 592 | ||||||
Matador Resources* | 143,190 | 1,273 | ||||||
McDermott International* | 310,037 | 3,265 | ||||||
Murphy Oil | 20,639 | 1,171 | ||||||
Nabors Industries* | 162,597 | 2,390 | ||||||
Newfield Exploration* | 91,068 | 2,217 | ||||||
Newpark Resources* (A) | 55,700 | 434 | ||||||
Oasis Petroleum* | 151,493 | 4,578 | ||||||
Oceaneering International | 45,000 | 2,371 | ||||||
Oil States International* | 29,880 | 2,113 | ||||||
Oilsands Quest* (C) (D) | 1,896,554 | 9 | ||||||
Parker Drilling* | 301,100 | 1,262 | ||||||
Patterson-UTI Energy (A) | 175,650 | 3,120 | ||||||
PDC Energy* (A) | 97,679 | 3,505 | ||||||
Pioneer Energy Services* | 245,942 | 1,778 | ||||||
Pioneer Natural Resources (A) | 25,079 | 2,683 | ||||||
Range Resources | 29,749 | 1,905 | ||||||
Rex Energy* (A) | 117,790 | 1,549 | ||||||
Rosetta Resources* (A) | 93,808 | 4,216 | ||||||
Scorpio Tankers* (A) | 170,300 | 1,090 | ||||||
SemGroup, Cl A* | 68,770 | 2,591 | ||||||
SM Energy | 3,620 | 180 | ||||||
StealthGas* | 46,400 | 350 | ||||||
Superior Energy Services* | 140,239 | 2,848 | ||||||
Swift Energy* (A) | 149,982 | 2,322 | ||||||
Targa Resources (A) | 53,903 | 2,700 | ||||||
Tesoro | 80,900 | 3,420 | ||||||
Tetra Technologies* | 176,510 | 1,236 | ||||||
Trican Well Service | 199,290 | 2,464 | ||||||
Ultra Petroleum* (A) | 64,644 | 1,296 | ||||||
USEC* (A) | 61,099 | 30 | ||||||
W&T Offshore (A) | 84,200 | 1,395 | ||||||
Western Refining (A) | 113,200 | 3,288 | ||||||
Whiting Petroleum* | 42,770 | 1,794 | ||||||
World Fuel Services (A) | 67,785 | 2,640 | ||||||
|
| |||||||
128,451 | ||||||||
|
| |||||||
Financials — 20.4% | ||||||||
1st Source | 800 | 17 | ||||||
Acadia Realty Trust‡ | 47,835 | 1,187 | ||||||
Affiliated Managers Group* (A) | 19,110 | 2,463 | ||||||
Allied World Assurance Holdings | 19,500 | 1,583 | ||||||
Allstate | 76,611 | 3,101 |
2 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Alterra Capital Holdings (A) | 168,090 | $ | 3,933 | |||||
American Assets Trust‡ | 31,085 | 846 | ||||||
American Campus Communities‡ (A) | 144,022 | 6,308 | ||||||
American Capital Mortgage Investment‡ | 7,100 | 181 | ||||||
American Equity Investment Life Holding (A) | 64,000 | 738 | ||||||
American Financial Group | 173,920 | 6,896 | ||||||
Ameriprise Financial | 80,171 | 4,864 | ||||||
Apartment Investment & Management, Cl A ‡ | 115,808 | 2,903 | ||||||
Arch Capital Group* (A) | 117,528 | 5,301 | ||||||
Ares Capital (A) | 43,000 | 763 | ||||||
Arthur J Gallagher | 61,254 | 2,237 | ||||||
Aspen Insurance Holdings | 42,000 | 1,315 | ||||||
Associated Banc | 349,600 | 4,492 | ||||||
AvalonBay Communities‡ (A) | 24,963 | 3,290 | ||||||
Banco Latinoamericano de Comercio Exterior, | 84,745 | 1,830 | ||||||
Bancorpsouth (A) | 258,660 | 3,422 | ||||||
Bank of the Ozarks (A) | 45,735 | 1,453 | ||||||
BankUnited | 51,197 | 1,203 | ||||||
Banner | 54,677 | 1,643 | ||||||
Berkshire Hills Bancorp | 56,955 | 1,313 | ||||||
BioMed Realty Trust, Cl Use trader | 151,724 | 2,924 | ||||||
Boston Private Financial Holdings (A) | 126,553 | 1,168 | ||||||
Boston Properties‡ (A) | 27,000 | 2,771 | ||||||
Brandywine Realty Trust‡ | 142,700 | 1,702 | ||||||
BRE Properties‡ | 41,927 | 2,040 | ||||||
Brown & Brown | 141,782 | 3,805 | ||||||
Campus Crest Communities‡ | 86,500 | 990 | ||||||
CapLease‡ | 210,800 | 987 | ||||||
Cardinal Financial | 93,634 | 1,404 | ||||||
CBL & Associates Properties‡ (A) | 205,761 | 4,632 | ||||||
Central Pacific Financial* | 44,200 | 653 | ||||||
Chimera Investment‡ | 245,200 | 672 | ||||||
CNA Financial | 54,600 | 1,541 | ||||||
CNO Financial Group (A) | 608,553 | 5,538 | ||||||
CoBiz Financial | 137,705 | 967 | ||||||
Colonial Properties Trust‡ (A) | 81,550 | 1,664 | ||||||
Comerica | 65,933 | 1,951 | ||||||
Commerce Bancshares | 1 | — | ||||||
CommonWealth‡ | 67,750 | 1,025 | ||||||
Community Trust Bancorp | 15,687 | 514 | ||||||
Coresite Realty‡ | 27,680 | 709 | ||||||
Credit Acceptance* | 11,236 | 1,032 | ||||||
CubeSmart‡ | 258,679 | 3,570 | ||||||
CYS Investments‡ | 33,600 | 430 | ||||||
DDR‡ (A) | 185,866 | 2,846 | ||||||
DFC Global* (A) | 79,362 | 1,385 | ||||||
DiamondRock Hospitality‡ | 351,819 | 3,075 | ||||||
Digital Realty Trust‡ (A) | 45,806 | 2,956 | ||||||
Dime Community Bancshares | 50,900 | 710 | ||||||
Douglas Emmett‡ | 45,900 | 1,042 | ||||||
Eagle Bancorp* (A) | 123,077 | 2,398 | ||||||
East West Bancorp | 265,100 | 5,607 | ||||||
EastGroup Properties‡ | 44,354 | 2,319 | ||||||
Eaton Vance (A) | 70,915 | 2,261 | ||||||
Education Realty Trust‡ | 239,912 | 2,473 | ||||||
Employers Holdings | 144,874 | 2,766 |
Description | Shares | Market Value ($ Thousands) | ||||||
Endurance Specialty Holdings (A) | 66,393 | $ | 2,669 | |||||
Epoch Holding | 55,785 | 1,222 | ||||||
Equity One‡ (A) | 89,819 | 1,857 | ||||||
Equity Residential‡ | 106,000 | 5,884 | ||||||
Essex Property Trust‡ (A) | 7,019 | 986 | ||||||
Everest Re Group | 22,700 | 2,462 | ||||||
Extra Space Storage‡ (A) | 35,100 | 1,234 | ||||||
FBR Capital Markets* | 250,100 | 838 | ||||||
Federal Realty Investment Trust‡ (A) | 16,698 | 1,737 | ||||||
Federated Investors, Cl B (A) | 61,284 | 1,216 | ||||||
Fidelity National Financial, Cl A | 103,072 | 2,495 | ||||||
Fifth Third Bancorp | 206,296 | 3,020 | ||||||
Financial Engines* (A) | 68,777 | 1,803 | ||||||
First Financial Bancorp (A) | 130,876 | 1,902 | ||||||
First Horizon National (A) | 726,781 | 6,875 | ||||||
First Midwest Bancorp | 237,551 | 2,969 | ||||||
First Niagara Financial Group | 238,787 | 1,800 | ||||||
FirstMerit (A) | 105,505 | 1,485 | ||||||
Flushing Financial | 66,600 | 996 | ||||||
Forest City Enterprises, Cl A* (A) | 70,600 | 1,062 | ||||||
Fulton Financial | 93,546 | 910 | ||||||
FXCM, Cl A (A) | 78,000 | 781 | ||||||
General Growth Properties‡ | 70,870 | 1,373 | ||||||
GFI Group | 157,800 | 440 | ||||||
Glacier Bancorp (A) | 140,498 | 2,041 | ||||||
Global Indemnity, Cl A* | 12,000 | 264 | ||||||
Government Properties Income Trust‡ (A) | 15,100 | 348 | ||||||
Great American Group* | 91,400 | 14 | ||||||
Hancock Holding (A) | 73,401 | 2,306 | ||||||
Hanover Insurance Group | 67,844 | 2,480 | ||||||
HCP‡ | 90,950 | 4,097 | ||||||
Health Care‡ (A) | 57,350 | 3,377 | ||||||
Highwoods Properties‡ (A) | 43,390 | 1,399 | ||||||
Home Bancshares | 7,700 | 255 | ||||||
Home Loan Servicing Solutions | 28,900 | 565 | ||||||
HomeStreet* | 17,200 | 423 | ||||||
Horace Mann Educators | 169,435 | 3,240 | ||||||
Hospitality Properties Trust‡ | 109,600 | 2,488 | ||||||
Host Hotels & Resorts‡ | 333,278 | 4,896 | ||||||
Hudson City Bancorp | 100,691 | 812 | ||||||
Huntington Bancshares | 905,799 | 5,571 | ||||||
Iberiabank | 75,634 | 3,687 | ||||||
Infinity Property & Casualty | 40,438 | 2,213 | ||||||
International Bancshares (A) | 47,046 | 852 | ||||||
Investment Technology Group* | 200,012 | 1,788 | ||||||
Janus Capital Group (A) | 190,106 | 1,559 | ||||||
Jones Lang LaSalle (A) | 77,182 | 6,330 | ||||||
KBW | 94,279 | 1,626 | ||||||
Kennedy-Wilson Holdings | 98,800 | 1,294 | ||||||
Keycorp | 278,714 | 2,252 | ||||||
Kimco Realty‡ | 73,650 | 1,419 | ||||||
Knight Capital Group, Cl A* (A) | 99,351 | 335 | ||||||
LaSalle Hotel Properties‡ | 35,515 | 856 | ||||||
Lexington Realty Trust‡ (A) | 727,376 | 6,976 | ||||||
Liberty Property Trust‡ | 75,434 | 2,627 | ||||||
Lincoln National | 51,900 | 1,282 | ||||||
LPL Financial Holdings | 112,934 | 3,163 | ||||||
Macerich‡ | 49,598 | 2,802 | ||||||
Mack-Cali Realty‡ | 94,200 | 2,381 | ||||||
Maiden Holdings | 119,800 | 1,076 | ||||||
MarketAxess Holdings | 97,933 | 3,022 |
3 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Meadowbrook Insurance Group | 300,800 | $ | 1,673 | |||||
Medical Properties Trust‡ | 198,146 | 2,312 | ||||||
MFA Mortgage Investments‡ | 438,488 | 3,688 | ||||||
Mid-America Apartment Communities‡ | 64,040 | 3,991 | ||||||
Montpelier Re Holdings | 75,900 | 1,661 | ||||||
Moody’s (A) | 88,888 | 4,318 | ||||||
MSCI, Cl A* (A) | 188,563 | 5,468 | ||||||
National Financial Partners* (A) | 73,045 | 1,213 | ||||||
National Penn Bancshares (A) | 360,098 | 3,410 | ||||||
National Retail Properties‡ (A) | 27,405 | 842 | ||||||
Nationstar Mortgage Holdings* (A) | 22,500 | 689 | ||||||
Nelnet, Cl A | 106,600 | 3,048 | ||||||
Netspend Holdings* (A) | 474,243 | 5,525 | ||||||
NorthStar Realty Finance‡ (A) | 420,054 | 2,827 | ||||||
Ocwen Financial* | 85,300 | 3,059 | ||||||
Old National Bancorp | 86,790 | 1,019 | ||||||
Omega Healthcare Investors‡ | 126,808 | 2,906 | ||||||
OmniAmerican Bancorp* | 17,400 | 396 | ||||||
Oriental Financial Group | 50,000 | 602 | ||||||
PacWest Bancorp (A) | 136,330 | 3,396 | ||||||
PartnerRe | 53,903 | 4,467 | ||||||
Pebblebrook Hotel Trust‡ | 185,515 | 3,868 | ||||||
Pennsylvania Real Estate Investment Trust ‡ | 44,700 | 745 | ||||||
Platinum Underwriters Holdings | 53,326 | 2,374 | ||||||
Popular* | 55,100 | 1,089 | ||||||
Potlatch‡ | 58,794 | 2,290 | ||||||
PrivateBancorp, Cl A | 30,500 | 500 | ||||||
ProAssurance | 64,867 | 5,882 | ||||||
Prologis‡ | 122,909 | 4,172 | ||||||
Prosperity Bancshares (A) | 31,310 | 1,288 | ||||||
PS Business Parks‡ | 19,620 | 1,265 | ||||||
Public Storage‡ | 35,678 | 5,018 | ||||||
RAIT Financial Trust‡ | 22,999 | 128 | ||||||
Regency Centers‡ | 26,350 | 1,234 | ||||||
Regions Financial | 213,300 | 1,423 | ||||||
Reinsurance Group of America, Cl A | 93,362 | 4,780 | ||||||
Republic Bancorp, Cl A (A) | 37,026 | 758 | ||||||
Safeguard Scientifics* | 104,806 | 1,481 | ||||||
SCBT Financial | 8,600 | 333 | ||||||
Signature Bank NY* (A) | 43,680 | 3,065 | ||||||
Simon Property Group‡ | 55,779 | 8,486 | ||||||
SL Green Realty‡ (A) | 24,950 | 1,881 | ||||||
Southside Bancshares (A) | 37,926 | 794 | ||||||
StanCorp Financial Group (A) | 36,700 | 1,248 | ||||||
Starwood Property Trust‡ | 28,000 | 640 | ||||||
Sterling Financial | 111,630 | 2,296 | ||||||
Stifel Financial* (A) | 66,400 | 2,020 | ||||||
Sunstone Hotel Investors‡* | 444,013 | 4,582 | ||||||
SunTrust Banks | 93,922 | 2,550 | ||||||
Susquehanna Bancshares | 540,981 | 5,561 | ||||||
SVB Financial Group* (A) | 51,845 | 2,863 | ||||||
Synovus Financial (A) | 1,265,279 | 2,999 | ||||||
Tanger Factory Outlet Centers‡ | 49,693 | 1,634 | ||||||
TCF Financial (A) | 256,643 | 3,049 | ||||||
THL Credit | 29,500 | 428 | ||||||
Titanium Asset Management* | 147,000 | 116 | ||||||
Tower Group (A) | 45,400 | 767 | ||||||
Two Harbors Investment‡ | 43,600 | 494 | ||||||
UDR‡ | 101,900 | 2,345 |
Description | Shares | Market Value ($ Thousands) | ||||||
United Financial Bancorp | 15,000 | $ | 233 | |||||
Unum Group (A) | 242,155 | 4,938 | ||||||
Validus Holdings (A) | 54,900 | 1,947 | ||||||
Ventas‡ | 39,850 | 2,536 | ||||||
ViewPoint Financial Group | 34,700 | 710 | ||||||
Vornado Realty Trust‡ | 33,350 | 2,549 | ||||||
Waddell & Reed Financial, Cl A | 74,451 | 2,419 | ||||||
Webster Financial | 70,520 | 1,468 | ||||||
Weingarten Realty Investors‡ | 52,000 | 1,413 | ||||||
WesBanco | 53,800 | 1,136 | ||||||
West Coast Bancorp | 37,720 | 823 | ||||||
Western Alliance Bancorp* | 595,533 | 6,051 | ||||||
Willis Group Holdings | 70,709 | 2,480 | ||||||
Winthrop Realty Trust‡ | 91,000 | 1,020 | ||||||
Wintrust Financial (A) | 48,905 | 1,799 | ||||||
WisdomTree Investments* (A) | 139,600 | 853 | ||||||
WR Berkley | 76,134 | 3,026 | ||||||
WSFS Financial | 17,300 | 751 | ||||||
Zillow, Cl A* (A) | 63,148 | 1,738 | ||||||
Zions Bancorporation (A) | 449,674 | 9,025 | ||||||
|
| |||||||
455,812 | ||||||||
|
| |||||||
Health Care — 11.7% | ||||||||
Abiomed* (A) | 109,220 | 1,458 | ||||||
Acadia Healthcare* | 91,315 | 2,096 | ||||||
Accuray* | 30,000 | 188 | ||||||
Achillion Pharmaceuticals* (A) | 84,262 | 656 | ||||||
Air Methods* | 21,162 | 2,310 | ||||||
Akorn* (A) | 138,553 | 1,869 | ||||||
Alere* (A) | 70,200 | 1,299 | ||||||
Algeta* | 40,957 | 1,106 | ||||||
Align Technology* (A) | 25,260 | 692 | ||||||
Alkermes* (A) | 69,470 | 1,342 | ||||||
Amarin ADR* (A) | 121,729 | 1,511 | ||||||
AMERIGROUP* | 25,742 | 2,364 | ||||||
AmerisourceBergen (A) | 40,935 | 1,728 | ||||||
Amsurg, Cl A* | 63,114 | 1,768 | ||||||
Arena Pharmaceuticals* (A) | 156,400 | 1,386 | ||||||
Ariad Pharmaceuticals* | 165,545 | 3,702 | ||||||
athenahealth* | 64,793 | 4,127 | ||||||
Auxilium Pharmaceuticals* | 57,870 | 1,108 | ||||||
AVEO Pharmaceuticals* (A) | 114,816 | 746 | ||||||
BioMarin Pharmaceutical* (A) | 33,430 | 1,625 | ||||||
CareFusion* | 96,530 | 2,695 | ||||||
Catamaran* | 111,656 | 5,437 | ||||||
Centene* | 72,044 | 3,163 | ||||||
Cepheid* (A) | 22,510 | 730 | ||||||
CONMED | 42,270 | 1,168 | ||||||
Cooper | 40,573 | 3,852 | ||||||
Covance* | 36,330 | 2,071 | ||||||
Cubist Pharmaceuticals* (A) | 100,929 | 4,099 | ||||||
Cyberonics* | 116,945 | 6,046 | ||||||
DexCom* (A) | 130,642 | 1,709 | ||||||
Endo Health Solutions* (A) | 142,813 | 4,093 | ||||||
Endologix* (A) | 176,154 | 2,582 | ||||||
Ensign Group | 28,800 | 743 | ||||||
Exelixis* (A) | 239,000 | 1,169 | ||||||
Greatbatch* | 48,740 | 1,101 | ||||||
Hanger* | 92,182 | 2,407 | ||||||
Health Management Associates, Cl A* | 266,797 | 2,121 | ||||||
HealthSouth* | 541,436 | 11,906 | ||||||
HeartWare International* (A) | 48,750 | 4,013 | ||||||
Hill-Rom Holdings | 27,800 | 777 | ||||||
HMS Holdings* (A) | 187,512 | 4,345 |
4 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Hologic* | 115,285 | $ | 2,200 | |||||
Humana | 24,900 | 1,629 | ||||||
ICON ADR* | 18,110 | 500 | ||||||
ICU Medical* | 25,152 | 1,481 | ||||||
Idexx Laboratories* (A) | 23,800 | 2,225 | ||||||
Immunogen* (A) | 192,582 | 2,444 | ||||||
Impax Laboratories* | 202,917 | 4,125 | ||||||
Incyte* (A) | 149,173 | 2,625 | ||||||
Infinity Pharmaceuticals* | 2,115 | 54 | ||||||
Insulet* (A) | 84,170 | 1,847 | ||||||
Invacare (A) | 44,700 | 632 | ||||||
IPC The Hospitalist* (A) | 38,889 | 1,468 | ||||||
Ironwood Pharmaceuticals, Cl A* (A) | 138,010 | 1,490 | ||||||
Jazz Pharmaceuticals* | 71,203 | 3,836 | ||||||
Keryx Biopharmaceuticals* (A) | 300,390 | 943 | ||||||
Kindred Healthcare* (A) | 41,100 | 446 | ||||||
LifePoint Hospitals* | 29,900 | 1,076 | ||||||
Magellan Health Services* | 64,530 | 3,348 | ||||||
MAP Pharmaceuticals* (A) | 152,719 | 2,434 | ||||||
Masimo | 273,207 | 5,661 | ||||||
MedAssets* | 111,699 | 1,798 | ||||||
Medical Action Industries* | 87,200 | 235 | ||||||
Medicines* | 86,000 | 1,846 | ||||||
MEDNAX* (A) | 125,863 | 9,943 | ||||||
Mettler Toledo International* | 10,525 | 1,969 | ||||||
MWI Veterinary Supply* (A) | 18,415 | 2,056 | ||||||
NewLink Genetics* (A) | 65,077 | 783 | ||||||
NPS Pharmaceuticals* | 162,210 | 1,659 | ||||||
Onyx Pharmaceuticals* (A) | 48,100 | 3,630 | ||||||
Optimer Pharmaceuticals* (A) | 68,650 | 700 | ||||||
PAREXEL International* (A) | 253,769 | 8,194 | ||||||
Patterson | 47,387 | 1,616 | ||||||
PDL BioPharma (A) | 117,800 | 931 | ||||||
PerkinElmer | 65,480 | 2,073 | ||||||
Pharmacyclics* (A) | 30,471 | 1,616 | ||||||
PharMerica* | 51,500 | 744 | ||||||
Providence Service* | 32,600 | 454 | ||||||
PSS World Medical* (A) | 112,386 | 3,196 | ||||||
Puma Biotechnology* | 12,491 | 257 | ||||||
Quest Diagnostics | 39,426 | 2,278 | ||||||
Quidel* (A) | 92,576 | 1,623 | ||||||
ResMed (A) | 95,465 | 3,923 | ||||||
Rigel Pharmaceuticals* (A) | 123,200 | 1,023 | ||||||
Salix Pharmaceuticals* (A) | 135,538 | 5,808 | ||||||
Sangamo Biosciences* (A) | 129,543 | 742 | ||||||
Sarepta Therapeutics* (A) | 13,660 | 401 | ||||||
Sciclone Pharmaceuticals* (A) | 183,521 | 806 | ||||||
Seattle Genetics* (A) | 157,928 | 3,997 | ||||||
Select Medical Holdings* | 82,500 | 911 | ||||||
Sirona Dental Systems* | 35,530 | 2,224 | ||||||
Skilled Healthcare Group, Cl A* | 98,400 | 659 | ||||||
Spectranetics* | 134,305 | 1,934 | ||||||
Spectrum Pharmaceuticals* (A) | 95,234 | 1,128 | ||||||
STERIS (A) | 15,172 | 518 | ||||||
Symmetry Medical* | 48,900 | 477 | ||||||
Synageva BioPharma* | 42,701 | 2,089 | ||||||
Team Health Holdings* | 181,632 | 5,084 | ||||||
Techne (A) | 43,516 | 3,085 | ||||||
Teleflex (A) | 63,185 | 4,373 | ||||||
Tenet Healthcare* | 62,625 | 1,813 | ||||||
TESARO* (A) | 45,322 | 839 | ||||||
Thoratec* | 109,223 | 4,063 | ||||||
Trinity Biotech ADR | 13,200 | 192 |
Description | Shares | Market Value ($ Thousands) | ||||||
Trius Therapeutics* | 219,405 | $ | 1,051 | |||||
United Therapeutics* | 39,800 | 2,091 | ||||||
Universal Health Services, Cl B | 120,210 | 5,418 | ||||||
Varian Medical Systems* | 59,043 | 4,083 | ||||||
Vocera Communications* | 52,557 | 1,293 | ||||||
Volcano* (A) | 326,762 | 8,907 | ||||||
WellCare Health Plans* | 100,382 | 4,845 | ||||||
|
| |||||||
261,150 | ||||||||
|
| |||||||
Industrials — 16.2% | ||||||||
AAR (A) | 47,800 | 734 | ||||||
ABM Industries | 42,000 | 801 | ||||||
Acacia Research* | 29,445 | 655 | ||||||
ACCO Brands* | 100,100 | 675 | ||||||
Actuant, Cl A | 206,655 | 5,945 | ||||||
Acuity Brands (A) | 65,566 | 4,337 | ||||||
Advisory Board* (A) | 84,419 | 3,820 | ||||||
Aegean Marine Petroleum Network (A) | 41,300 | 186 | ||||||
AGCO* | 59,000 | 2,723 | ||||||
Air Transport Services Group* | 98,700 | 374 | ||||||
Aircastle | 119,900 | 1,363 | ||||||
Albany International, Cl A | 37,800 | 813 | ||||||
Amerco | 15,600 | 1,872 | ||||||
Ametek | 15,770 | 589 | ||||||
AO Smith (A) | 63,964 | 4,027 | ||||||
Applied Industrial Technologies | 36,000 | 1,441 | ||||||
Atlas Air Worldwide Holdings* | 29,526 | 1,278 | ||||||
BE Aerospace* | 218,836 | 10,364 | ||||||
Beacon Roofing Supply* | 39,762 | 1,226 | ||||||
Belden | 80,668 | 3,040 | ||||||
Brady, Cl A | 54,474 | 1,740 | ||||||
Brink’s | 30,300 | 832 | ||||||
Carlisle | 36,050 | 2,043 | ||||||
Cascade | 15,258 | 991 | ||||||
Chart Industries* | 55,307 | 3,345 | ||||||
Cintas (A) | 57,049 | 2,364 | ||||||
CLARCOR (A) | 39,485 | 1,831 | ||||||
Clean Harbors* | 40,557 | 2,323 | ||||||
Colfax* (A) | 43,260 | 1,687 | ||||||
Columbus McKinnon* | 21,200 | 317 | ||||||
Consolidated Graphics* | 65,312 | 2,223 | ||||||
Corporate Executive Board | 23,746 | 1,016 | ||||||
Cubic | 24,966 | 1,222 | ||||||
Deluxe (A) | 210,345 | 6,058 | ||||||
DigitalGlobe* (A) | 260,183 | 6,489 | ||||||
Dover | 41,201 | 2,620 | ||||||
DXP Enterprises* | 32,900 | 1,589 | ||||||
Dycom Industries* | 288,044 | 5,173 | ||||||
EMCOR Group | 145,446 | 4,778 | ||||||
Engility Holdings* | 6,300 | 116 | ||||||
EnPro Industries* (A) | 30,122 | 1,183 | ||||||
ESCO Technologies | 42,001 | 1,541 | ||||||
Esterline Technologies* (A) | 68,441 | 4,184 | ||||||
Expeditors International of Washington | 118,075 | 4,418 | ||||||
Flow International* | 100,700 | 317 | ||||||
Flowserve | 15,571 | 2,157 | ||||||
Fluor | 43,779 | 2,324 | ||||||
FTI Consulting* (A) | 53,878 | 1,665 | ||||||
G&K Services, Cl A | 103,520 | 3,509 | ||||||
Gardner Denver | 23,865 | 1,667 | ||||||
General Cable* (A) | 46,915 | 1,347 | ||||||
Genesee & Wyoming, Cl A* (A) | 149,364 | 10,896 | ||||||
Geo Group | 29,500 | 832 |
5 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Global Power Equipment Group (A) | 36,300 | $ | 545 | |||||
GrafTech International* (A) | 380,161 | 3,687 | ||||||
Hawaiian Holdings* (A) | 111,479 | 696 | ||||||
Heico, Cl A | 144,957 | 4,871 | ||||||
Hexcel* | 290,430 | 7,508 | ||||||
ICF International* | 35,800 | 774 | ||||||
IDEX (A) | 128,194 | 5,762 | ||||||
Interface, Cl A | 298,505 | 4,385 | ||||||
Iron Mountain | 1 | — | ||||||
John Bean Technologies | 33,670 | 548 | ||||||
Joy Global (A) | 44,443 | 2,533 | ||||||
Kadant* | 108,764 | 2,638 | ||||||
Kansas City Southern | 53,640 | 4,192 | ||||||
KAR Auction Services | 53,745 | 955 | ||||||
Kaydon | 42,219 | 972 | ||||||
Kennametal | 62,430 | 2,380 | ||||||
KEYW Holding* (A) | 158,942 | 2,044 | ||||||
Kirby* | 46,340 | 2,682 | ||||||
L-3 Communications Holdings, Cl 3 | 37,800 | 2,905 | ||||||
Landstar System | 154,264 | 7,801 | ||||||
Lennox International | 27,183 | 1,430 | ||||||
Lincoln Electric Holdings | 46,530 | 2,211 | ||||||
Lindsay Manufacturing | 12,841 | 1,016 | ||||||
Lydall* | 48,100 | 630 | ||||||
Middleby* | 30,497 | 3,885 | ||||||
Moog, Cl A* | 91,734 | 3,372 | ||||||
MSC Industrial Direct, Cl A (A) | 143,303 | 10,412 | ||||||
Navigant Consulting* | 45,800 | 477 | ||||||
Navistar International* (A) | 25,600 | 522 | ||||||
NN* | 85,100 | 691 | ||||||
Nordson | 114,990 | 7,036 | ||||||
Northwest Pipe* | 44,185 | 910 | ||||||
Old Dominion Freight Line* (A) | 388,020 | 12,975 | ||||||
On Assignment* | 106,480 | 2,122 | ||||||
Orion Marine Group* | 192,323 | 1,366 | ||||||
Oshkosh Truck* | 51,500 | 1,512 | ||||||
Owens Corning* | 168,977 | 5,843 | ||||||
Parker Hannifin | 27,655 | 2,272 | ||||||
Polypore International* (A) | 239,271 | 9,822 | ||||||
Primoris Services | 107,178 | 1,552 | ||||||
Quanex Building Products (A) | 49,695 | 1,040 | ||||||
Rand Logistics* (A) | 19,600 | 126 | ||||||
RBC Bearings* | 45,903 | 2,139 | ||||||
Ritchie Bros Auctioneers (A) | 157,353 | 3,605 | ||||||
Roper Industries | 36,212 | 4,039 | ||||||
Ryder System | 24,400 | 1,149 | ||||||
Sensata Technologies Holding* | 191,728 | 5,917 | ||||||
Simpson Manufacturing (A) | 37,216 | 1,217 | ||||||
SkyWest | 49,700 | 576 | ||||||
Spirit Aerosystems Holdings, Cl A* | 291,928 | 4,598 | ||||||
Spirit Airlines* | 255,660 | 4,290 | ||||||
Standard Parking* | 74,051 | 1,648 | ||||||
Stanley Black & Decker | 39,291 | 2,826 | ||||||
Steelcase, Cl A | 87,928 | 1,024 | ||||||
Swift Transporation, Cl A* | 31,500 | 267 | ||||||
TAL International Group (A) | 53,250 | 1,813 | ||||||
Teledyne Technologies* | 57,493 | 3,622 | ||||||
Terex* | 37,985 | 919 | ||||||
Tetra Tech* | 148,054 | 3,814 | ||||||
Textron (A) | 70,675 | 1,660 | ||||||
Thermon Group Holdings* (A) | 62,520 | 1,546 | ||||||
Timken | 74,375 | 3,351 |
Description | Shares | Market Value ($ Thousands) | ||||||
TMS International, Cl A* | 84,900 | $ | 934 | |||||
Towers Watson, Cl A | 76,900 | 4,066 | ||||||
TransDigm Group | 28,307 | 3,850 | ||||||
Trex* | 22,613 | 918 | ||||||
Trimas* | 52,612 | 1,363 | ||||||
Triumph Group (A) | 35,009 | 2,297 | ||||||
TrueBlue* | 108,613 | 1,548 | ||||||
Tutor Perini* | 121,700 | 1,565 | ||||||
United Rentals* (A) | 161,374 | 6,702 | ||||||
URS | 64,100 | �� | 2,415 | |||||
US Ecology | 109,038 | 2,384 | ||||||
USG* (A) | 58,907 | 1,580 | ||||||
Valmont Industries | 18,892 | 2,638 | ||||||
Wabash National* | 83,200 | 673 | ||||||
WABCO Holdings* | 36,625 | 2,273 | ||||||
Wabtec | 42,321 | 3,581 | ||||||
WageWorks* | 146,827 | 2,712 | ||||||
Watts Water Technologies, Cl A (A) | 48,211 | 1,971 | ||||||
WESCO International* (A) | 135,012 | 8,729 | ||||||
|
| |||||||
362,379 | ||||||||
|
| |||||||
Information Technology — 16.1% | ||||||||
Adobe Systems* | 74,755 | 2,587 | ||||||
ADTRAN (A) | 69,508 | 1,365 | ||||||
Akamai Technologies* | 109,805 | 4,021 | ||||||
Alliance Data Systems* (A) | 30,250 | 4,310 | ||||||
Amdocs | 44,400 | 1,486 | ||||||
Analog Devices | 48,033 | 1,950 | ||||||
Ansys* | 54,966 | 3,646 | ||||||
Arris Group* (A) | 146,400 | 2,045 | ||||||
Arrow Electronics* | 86,243 | 3,213 | ||||||
Aruba Networks* (A) | 207,637 | 4,045 | ||||||
Aspen Technology* (A) | 123,850 | 3,219 | ||||||
Atmel* | 623,186 | 3,484 | ||||||
Avnet* | 69,270 | 2,029 | ||||||
Bazaarvoice* (A) | 164,172 | 1,606 | ||||||
Benchmark Electronics* | 51,800 | 805 | ||||||
Black Box (A) | 42,000 | 1,035 | ||||||
Blackbaud | 189,544 | 4,234 | ||||||
Broadridge Financial Solutions | 188,062 | 4,440 | ||||||
BroadSoft* (A) | 264,600 | 8,369 | ||||||
CACI International, Cl A* (A) | 33,077 | 1,692 | ||||||
Cadence Design Systems* (A) | 950,351 | 12,098 | ||||||
Cardtronics* | 137,338 | 3,150 | ||||||
Cavium* (A) | 63,102 | 2,223 | ||||||
Ciber* | 288,600 | 877 | ||||||
Ciena* (A) | 224,015 | 3,333 | ||||||
Cirrus Logic* | 23,860 | 747 | ||||||
Coherent* (A) | 67,690 | 3,131 | ||||||
Computer Sciences | 33,500 | 1,275 | ||||||
Computer Task Group* | 19,500 | 356 | ||||||
Compuware* | 205,082 | 1,918 | ||||||
Comtech Telecommunications (A) | 46,838 | 1,197 | ||||||
Concur Technologies* (A) | 42,569 | 2,797 | ||||||
Convergys (A) | 191,422 | 2,988 | ||||||
CoStar Group* (A) | 94,235 | 8,185 | ||||||
CTS | 53,100 | 471 | ||||||
DealerTrack Holdings* | 200,750 | 5,398 | ||||||
Demandware* (A) | 65,770 | 1,801 | ||||||
Diebold | 153,969 | 4,605 | ||||||
Digi International* | 77,300 | 754 | ||||||
Digital River* | 52,335 | 765 | ||||||
Diodes* | 23,000 | 348 |
6 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
DTS* (A) | 104,782 | $ | 1,601 | |||||
EarthLink | 235,235 | 1,553 | ||||||
Emulex* | 191,610 | 1,408 | ||||||
Euronet Worldwide* | 179,816 | 4,003 | ||||||
ExactTarget* (A) | 56,298 | 1,160 | ||||||
Exar* | 124,000 | 1,017 | ||||||
ExlService Holdings* | 97,424 | 2,616 | ||||||
F5 Networks* | 41,969 | 3,932 | ||||||
Fabrinet* | 70,344 | 873 | ||||||
Fair Isaac | 43,500 | 1,863 | ||||||
Fairchild Semiconductor International, Cl A * | 368,202 | 4,912 | ||||||
FEI | 44,503 | 2,449 | ||||||
Fidelity National Information Services | 75,533 | 2,727 | ||||||
Finisar* (A) | 42,300 | 574 | ||||||
FleetMatics Group* (A) | 76,743 | 1,671 | ||||||
Fortinet* | 75,182 | 1,502 | ||||||
Gartner* | 57,949 | 2,775 | ||||||
GT Advanced Technologies* (A) | 154,200 | 520 | ||||||
Guidewire Software* | 135,755 | 4,059 | ||||||
Harris | 61,400 | 2,894 | ||||||
Hittite Microwave* | 33,073 | 2,007 | ||||||
IAC | 99,140 | 4,674 | ||||||
Imation* | 41,300 | 177 | ||||||
Imperva* (A) | 81,610 | 2,510 | ||||||
Infoblox* | 83,713 | 1,587 | ||||||
Informatica* | 125,814 | 3,381 | ||||||
Insight Enterprises* | 72,500 | 1,228 | ||||||
Integrated Device Technology* (A) | 715,168 | 4,484 | ||||||
Interactive Intelligence Group* (A) | 35,096 | 1,127 | ||||||
Intermec* | 66,827 | 505 | ||||||
Internap Network Services* | 406,518 | 2,427 | ||||||
Intersil, Cl A | 202,523 | 1,444 | ||||||
InvenSense, Cl A* (A) | 60,159 | 605 | ||||||
IPG Photonics* (A) | 64,321 | 3,801 | ||||||
Ixia* (A) | 221,033 | 3,320 | ||||||
j2 Global (A) | 37,930 | 1,147 | ||||||
Jabil Circuit | 135,925 | 2,583 | ||||||
Jack Henry & Associates | 113,046 | 4,394 | ||||||
JDS Uniphase* | 60,800 | 737 | ||||||
Juniper Networks* | 127,040 | 2,284 | ||||||
Kla-Tencor | 20,700 | 941 | ||||||
Lattice Semiconductor* | 435,234 | 1,724 | ||||||
Lexmark International, Cl A (A) | 49,300 | 1,199 | ||||||
LivePerson* (A) | 176,934 | 2,334 | ||||||
LSI* | 115,300 | 777 | ||||||
MAXIMUS | 10,527 | 663 | ||||||
Measurement Specialties* | 80,045 | 2,485 | ||||||
Mellanox Technologies* (A) | 14,107 | 1,028 | ||||||
Micros Systems* | 42,124 | 1,831 | ||||||
Mindspeed Technologies* | 484,037 | 1,757 | ||||||
Molex (A) | 68,817 | 1,815 | ||||||
Monolithic Power Systems* | 44,226 | 936 | ||||||
NETGEAR* (A) | 50,350 | 1,755 | ||||||
Netscout Systems* | 167,208 | 4,200 | ||||||
NXP Semiconductor* | 163,386 | 4,000 | ||||||
ON Semiconductor* | 363,482 | 2,410 | ||||||
Opnet Technologies (A) | 33,895 | 1,408 | ||||||
OSI Systems* | 24,930 | 1,528 | ||||||
Parametric Technology* | 440,134 | 8,908 | ||||||
Plantronics | 10,900 | 367 |
Description | Shares | Market Value ($ Thousands) | ||||||
Plexus* (A) | 63,838 | $ | 1,478 | |||||
Progress Software* | 115,040 | 2,314 | ||||||
Pulse Electronics* (A) | 43,000 | 14 | ||||||
QLIK Technologies* | 26,723 | 518 | ||||||
Quantum* (A) | 728,498 | 874 | ||||||
RealD* (A) | 276,395 | 2,919 | ||||||
RealPage* (A) | 190,242 | 3,765 | ||||||
RF Micro Devices* | 394,566 | 1,705 | ||||||
Riverbed Technology* | 43,300 | 775 | ||||||
Rogers* (A) | 48,458 | 2,153 | ||||||
Saba Software* | 90,000 | 704 | ||||||
SAIC (A) | 116,700 | 1,346 | ||||||
Sapient* | 152,572 | 1,616 | ||||||
Seachange International* | 27,400 | 253 | ||||||
Seagate Technology (A) | 92,200 | 2,314 | ||||||
Semtech* (A) | 71,160 | 1,946 | ||||||
ServiceNow* (A) | 89,800 | 2,930 | ||||||
Silicon Laboratories* | 29,235 | 1,223 | ||||||
SolarWinds* | 77,195 | 4,325 | ||||||
Solera Holdings | 183,992 | 9,523 | ||||||
Sonus Networks* | 538,735 | 900 | ||||||
Sourcefire* (A) | 56,962 | 2,804 | ||||||
Splunk* (A) | 53,040 | 1,602 | ||||||
SPS Commerce* | 23,932 | 883 | ||||||
SS&C Technologies Holdings* | 223,943 | 5,283 | ||||||
Stratasys* (A) | 34,870 | 2,614 | ||||||
Symantec* | 143,902 | 2,700 | ||||||
Synopsys* | 142,869 | 4,686 | ||||||
Syntel | 41,560 | 2,500 | ||||||
Tangoe* (A) | 163,399 | 2,131 | ||||||
Tech Data* | 39,300 | 1,736 | ||||||
Teradyne* (A) | 268,383 | 4,197 | ||||||
TIBCO Software* (A) | 11,300 | 283 | ||||||
TNS* | 51,515 | 752 | ||||||
Trimble Navigation* | 62,658 | 3,486 | ||||||
TriQuint Semiconductor* | 387,427 | 1,960 | ||||||
TTM Technologies* (A) | 210,669 | 1,900 | ||||||
Ultimate Software Group* | 11,750 | 1,111 | ||||||
Ultra Clean Holdings* | 116,906 | 563 | ||||||
Ultratech* | 88,492 | 2,904 | ||||||
United Online (A) | 147,700 | 845 | ||||||
Universal Display* (A) | 5,108 | 122 | ||||||
Veeco Instruments* (A) | 67,973 | 1,935 | ||||||
Vishay Intertechnology* (A) | 599,119 | 5,811 | ||||||
VistaPrint* (A) | 92,769 | 2,880 | ||||||
Web.com Group* (A) | 179,320 | 2,709 | ||||||
Western Digital | 56,100 | 1,876 | ||||||
WEX* (A) | 66,558 | 4,789 | ||||||
Xyratex (A) | 73,131 | 685 | ||||||
Zebra Technologies, Cl A* | 44,621 | 1,738 | ||||||
|
| |||||||
359,675 | ||||||||
|
| |||||||
Materials — 5.5% | ||||||||
Air Products & Chemicals | 26,395 | 2,189 | ||||||
Allegheny Technologies (A) | 146,816 | 3,844 | ||||||
Allied Nevada Gold MTN* (A) | 100,529 | 3,272 | ||||||
Ashland (A) | 51,460 | 3,650 | ||||||
Boise (A) | 135,600 | 1,112 | ||||||
Buckeye Technologies (A) | 98,943 | 2,743 | ||||||
Cabot | 35,700 | 1,347 | ||||||
Carpenter Technology | 42,492 | 2,059 | ||||||
Cliffs Natural Resources (A) | 17,700 | 509 | ||||||
Compass Minerals International | 43,467 | 3,321 | ||||||
Cytec Industries | 18,719 | 1,285 | ||||||
Domtar | 18,100 | 1,450 |
7 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Eastman Chemical | 50,700 | $ | 3,085 | |||||
Glatfelter | 51,000 | 866 | ||||||
Globe Specialty Metals | 17,000 | 236 | ||||||
Greif, Cl A | 93,578 | 3,840 | ||||||
GSE Holding* | 130,600 | 916 | ||||||
H.B. Fuller | 70,416 | 2,313 | ||||||
Horsehead Holding* (A) | 28,300 | 263 | ||||||
Huntsman | 176,163 | 2,896 | ||||||
Innophos Holdings | 23,448 | 1,123 | ||||||
Intrepid Potash* (A) | 142,762 | 3,038 | ||||||
Kaiser Aluminum (A) | 80,781 | 4,917 | ||||||
KapStone Paper and Packaging* | 162,710 | 3,567 | ||||||
Kraton Performance Polymers* | 54,455 | 1,279 | ||||||
Louisiana-Pacific* (A) | 170,160 | 2,964 | ||||||
Methanex | 113,170 | 3,422 | ||||||
Minerals Technologies | 43,331 | 3,206 | ||||||
NewMarket | 18,703 | 4,963 | ||||||
Noranda Aluminum Holding | 344,585 | 2,043 | ||||||
Nucor | 52,062 | 2,144 | ||||||
OM Group* | 48,000 | 959 | ||||||
Owens-Illinois* | 197,387 | 3,954 | ||||||
Packaging Corp of America | 143,212 | 5,219 | ||||||
PolyOne | 490,860 | 9,886 | ||||||
Reliance Steel & Aluminum (A) | 49,226 | 2,776 | ||||||
Rock-Tenn, Cl A | 48,299 | 3,141 | ||||||
Rockwood Holdings | 81,324 | 3,730 | ||||||
RTI International Metals* (A) | 235,901 | 5,850 | ||||||
Schweitzer-Mauduit International | 53,500 | 2,005 | ||||||
Sensient Technologies | 67,015 | 2,426 | ||||||
Silgan Holdings | 121,975 | 5,425 | ||||||
Steel Dynamics | 137,500 | 1,777 | ||||||
UFP Technologies* | 60,200 | 1,001 | ||||||
|
| |||||||
122,011 | ||||||||
|
| |||||||
Telecommunication Services — 0.5% | ||||||||
Neutral Tandem | 48,200 | 130 | ||||||
SBA Communications, Cl A* (A) | 50,259 | 3,459 | ||||||
tw telecom, Cl A* | 183,293 | 4,709 | ||||||
USA Mobility | 76,117 | 880 | ||||||
Vonage Holdings* | 394,400 | 958 | ||||||
|
| |||||||
10,136 | ||||||||
|
| |||||||
Utilities — 3.3% | ||||||||
AGL Resources | 71,199 | 2,775 | ||||||
ALLETE | 33,570 | 1,316 | ||||||
Alliant Energy | 45,096 | 2,021 | ||||||
Ameren | 42,000 | 1,259 | ||||||
Aqua America (A) | 39,546 | 1,010 | ||||||
Avista | 54,700 | 1,297 | ||||||
Cadiz* | 53,400 | 457 | ||||||
Chesapeake Utilities | 21,266 | 957 | ||||||
Cleco | 99,785 | 4,020 | ||||||
CMS Energy | 75,800 | 1,852 | ||||||
Dynegy* (A) | 8,000 | 148 | ||||||
Edison International | 39,135 | 1,780 | ||||||
El Paso Electric | 75,411 | 2,402 | ||||||
Empire District Electric | 22,400 | 448 | ||||||
Great Plains Energy | 446,876 | 9,049 | ||||||
IDACORP | 103,151 | 4,406 | ||||||
NorthWestern | 15,000 | 521 | ||||||
NRG Energy (A) | 111,565 | 2,354 | ||||||
NV Energy | 231,886 | 4,250 | ||||||
Piedmont Natural Gas (A) | 15,300 | 472 |
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
PNM Resources | 202,073 | $ | 4,270 | |||||
Portland General Electric | 276,122 | 7,464 | ||||||
SCANA (A) | 50,132 | 2,323 | ||||||
Southwest Gas | 32,495 | 1,363 | ||||||
TECO Energy (A) | 131,774 | 2,215 | ||||||
UGI | 196,296 | 6,521 | ||||||
UIL Holdings | 12,400 | 445 | ||||||
Vectren | 89,478 | 2,617 | ||||||
Westar Energy | 27,074 | 777 | ||||||
WGL Holdings | 36,970 | 1,444 | ||||||
Xcel Energy | 75,498 | 2,042 | ||||||
|
| |||||||
74,275 | ||||||||
|
| |||||||
Total Common Stock |
| 2,171,996 | ||||||
|
| |||||||
EXCHANGE TRADED FUNDS — 0.8% |
| |||||||
iShares Russell 2000 Growth Index Fund (A) | 113,610 | 10,624 | ||||||
iShares Russell 2000 Index Fund (A) | 49,512 | 4,065 | ||||||
iShares Russell 2000 Value Index Fund (A) | 34,100 | 2,496 | ||||||
|
| |||||||
Total Exchange Traded Funds | 17,185 | |||||||
|
| |||||||
Number Of Warrants | ||||||||
WARRANTS — 0.0% | ||||||||
Magnum Hunter Resource, Expires 08/29/14* | 18,718 | — | ||||||
|
| |||||||
Total Warrants | — | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 23.5% |
| |||||||
SEI Liquidity Fund, | 525,465,736 | 525,466 | ||||||
|
| |||||||
Total Affiliated Partnership | 525,466 | |||||||
|
| |||||||
CASH EQUIVALENT — 4.8% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.060%†** | 106,853,078 | 106,853 | ||||||
|
| |||||||
Total Cash Equivalent | 106,853 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (E) (F) — 0.2% |
| |||||||
U.S. Treasury Bills | ||||||||
0.112%, 02/07/2013 | $ | 2,190 | 2,190 | |||||
0.085%, 01/31/2013 | 1,806 | 1,806 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 3,996 | |||||||
|
| |||||||
Total Investments — 126.6% |
| $ | 2,825,496 | |||||
|
|
8 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2012
A list of the open futures contracts held by the Fund at November 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 32 | Dec-2012 | $ | (111 | ) | |||||||
S&P Mid 400 Index E-MINI | 25 | Dec-2012 | (50 | ) | ||||||||
|
| |||||||||||
$ | (161 | ) | ||||||||||
|
|
For the period ended November 30, 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 period.
Percentages are based on a Net Assets of $2,232,568 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 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 November 30, 2012. The total value of securities on loan at November 30, 2012 was $509,878 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2012 was $525,466 ($ Thousands). |
(C) | Securities considered illiquid. The total value of such securities as of November 30, 2012 was $9 ($ Thousands) and represented 0.00% of Net Assets. |
(D) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of November 30, 2012 was $9 ($ Thousands) and represented 0.00% of Net Assets. |
(E) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(F) | The rate reported is the effective yield at time of purchase. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
MTN — Medium Term Note
S&P — Standard & Poor’s
The following is a list of the inputs used as of November 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | 2,171,880 | 116 | — | 2,171,996 | ||||||||||||
Exchange Traded Funds | 17,185 | — | — | 17,185 | ||||||||||||
Warrant | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 525,466 | — | 525,466 | ||||||||||||
Cash Equivalent | 106,853 | — | — | 106,853 | ||||||||||||
U.S. Treasury Obligations | — | 3,996 | — | 3,996 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,295,918 | $ | 529,578 | $ | — | $ | 2,825,496 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | (161 | ) | $ | — | $ | — | $ | (161 | ) | ||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the period ended November 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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 $0.
The accompanying notes are an integral part of the financial statements.
9 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.1% | ||||||||
Consumer Discretionary — 7.7% | ||||||||
Aaron’s | 72,900 | $ | 2,092 | |||||
Advance Auto Parts | 21,435 | 1,568 | ||||||
Best Buy | 37,000 | 485 | ||||||
Big Lots* | 18,900 | 532 | ||||||
Brinker International | 2,193 | 66 | ||||||
Canadian Tire, Cl A | 38,800 | 2,574 | ||||||
Choice Hotels International | 52,900 | 1,719 | ||||||
Cinemark Holdings | 58,200 | 1,583 | ||||||
Cogeco Cable | 13,400 | 507 | ||||||
Cracker Barrel Old Country Store | 12,539 | 771 | ||||||
DIRECTV* | 161,800 | 8,041 | ||||||
Discovery Communications, Cl A* | 19,300 | 1,166 | ||||||
Dollar General* | 42,269 | 2,114 | ||||||
Dollar Tree* | 84,443 | 3,525 | ||||||
Expedia | 30,823 | 1,907 | ||||||
GameStop, Cl A | 58,000 | 1,523 | ||||||
Garmin | 9,520 | 370 | ||||||
H&R Block | 274,400 | 4,947 | ||||||
Hasbro | 40,200 | 1,546 | ||||||
John Wiley & Sons, Cl A | 15,600 | 666 | ||||||
Kohl’s | 78,100 | 3,487 | ||||||
O’Reilly Automotive* | 4,245 | 399 | ||||||
Panera Bread, Cl A* | 14,000 | 2,247 | ||||||
PetMed Express | 67,300 | 777 | ||||||
PetSmart | 84,932 | 6,001 | ||||||
priceline.com* | 1,727 | 1,145 | ||||||
Regal Entertainment Group, Cl A | 93,500 | 1,457 | ||||||
Scripps Networks Interactive, Cl A | 41,000 | 2,421 | ||||||
Shaw Communications, Cl B | 114,700 | 2,521 | ||||||
Target | 88,800 | 5,606 | ||||||
Time Warner Cable, Cl A | 34,700 | 3,293 | ||||||
Viacom, Cl B | 13,728 | 708 | ||||||
Washington Post, Cl B | 5,500 | 2,019 | ||||||
|
| |||||||
69,783 | ||||||||
|
| |||||||
Consumer Staples — 19.3% | ||||||||
Altria Group | 200,320 | 6,773 | ||||||
Archer-Daniels-Midland | 65,457 | 1,748 | ||||||
Brown-Forman, Cl B | 22,122 | 1,552 | ||||||
Bunge | 58,096 | 4,250 | ||||||
Cal-Maine Foods | 34,600 | 1,591 | ||||||
Campbell Soup | 210,700 | 7,743 | ||||||
Church & Dwight | 140,267 | 7,595 | ||||||
Clorox | 77,684 | 5,931 | ||||||
Coca-Cola Enterprises | 168,512 | 5,254 | ||||||
ConAgra Foods | 426,340 | 12,730 | ||||||
CVS Caremark | 137,600 | 6,400 | ||||||
Dr. Pepper Snapple Group | 102,399 | 4,593 | ||||||
Flowers Foods | 108,900 | 2,563 | ||||||
Fresh Del Monte Produce | 79,800 | 2,071 | ||||||
General Mills | 53,200 | 2,181 | ||||||
Harris Teeter Supermarkets | 26,800 | 1,018 | ||||||
Hershey | 87,357 | 6,401 | ||||||
HJ Heinz | 39,290 | 2,297 | ||||||
Hormel Foods | 327,370 | 10,152 | ||||||
Ingredion | 25,972 | 1,687 | ||||||
Kellogg | 31,230 | 1,732 |
Description | Shares | Market Value ($ Thousands) | ||||||
Kimberly-Clark | 142,530 | $ | 12,218 | |||||
Kraft Foods Group* | 9,233 | 417 | ||||||
Kroger | 203,900 | 5,351 | ||||||
Lorillard | 26,400 | 3,198 | ||||||
McCormick | 27,256 | 1,760 | ||||||
Metro, Cl A | 79,200 | 4,876 | ||||||
Molson Coors Brewing, Cl B | 65,700 | 2,724 | ||||||
Mondelez International, Cl A* | 27,700 | 717 | ||||||
Monster Beverage* | 52,700 | 2,743 | ||||||
Philip Morris International | 73,750 | 6,629 | ||||||
Ralcorp Holdings* | 34,700 | 3,093 | ||||||
Reynolds American | 182,034 | 7,958 | ||||||
Safeway | 220,756 | 3,777 | ||||||
Sysco | 32,844 | 1,040 | ||||||
TreeHouse Foods* | 35,300 | 1,851 | ||||||
Tyson Foods, Cl A | 148,300 | 2,843 | ||||||
Universal | 43,100 | 2,151 | ||||||
Walgreen | 144,800 | 4,910 | ||||||
Wal-Mart Stores | 119,467 | 8,604 | ||||||
Weis Markets | 37,000 | 1,447 | ||||||
|
| |||||||
174,569 | ||||||||
|
| |||||||
Energy — 3.3% | ||||||||
Chevron | 80,700 | 8,529 | ||||||
ConocoPhillips | 106,100 | 6,041 | ||||||
Diamond Offshore Drilling | 10,100 | 697 | ||||||
Exxon Mobil | 123,100 | 10,850 | ||||||
Imperial Oil | 51,700 | 2,207 | ||||||
Phillips 66 | 22,750 | 1,191 | ||||||
|
| |||||||
29,515 | ||||||||
|
| |||||||
Financials — 14.4% | ||||||||
Alleghany* | 10,037 | 3,523 | ||||||
Allied World Assurance Holdings | 106,863 | 8,674 | ||||||
American Campus Communities‡ | 54,400 | 2,383 | ||||||
American Capital Agency‡ | 71,500 | 2,256 | ||||||
Arch Capital Group* | 95,868 | 4,324 | ||||||
Assurant | 9,000 | 308 | ||||||
BOK Financial | 17,600 | 969 | ||||||
Brown & Brown | 62,600 | 1,680 | ||||||
Capitol Federal Financial | 17,883 | 213 | ||||||
Chubb | 75,000 | 5,774 | ||||||
Commerce Bancshares | 76,333 | 2,731 | ||||||
CreXus Investment‡ | 156,200 | 1,951 | ||||||
Endurance Specialty Holdings | 40,800 | 1,640 | ||||||
Equity Lifestyle Properties‡ | 38,300 | 2,514 | ||||||
Erie Indemnity, Cl A | 31,400 | 2,238 | ||||||
Everest Re Group | 79,207 | 8,592 | ||||||
Federal Realty Investment Trust‡ | 5,833 | 607 | ||||||
First Citizens BancShares, Cl A | 4,134 | 682 | ||||||
First Niagara Financial Group | 337,200 | 2,543 | ||||||
Genworth MI Canada | 22,800 | 474 | ||||||
Government Properties Income Trust‡ | 56,000 | 1,291 | ||||||
Hanover Insurance Group | 30,500 | 1,115 | ||||||
HCC Insurance Holdings | 27,700 | 1,021 | ||||||
Health Care‡ | 10,200 | 601 | ||||||
Home Properties‡ | 11,900 | 701 | ||||||
Maiden Holdings | 59,335 | 533 | ||||||
Mercury General | 9,567 | 398 | ||||||
MFA Mortgage Investments‡ | 223,500 | 1,879 |
1 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Mid-America Apartment Communities‡ | 40,100 | $ | 2,499 | |||||
NASDAQ OMX Group | 43,600 | 1,057 | ||||||
National Bank of Canada | 45,600 | 3,561 | ||||||
New York Community Bancorp | 142,478 | 1,854 | ||||||
PartnerRe | 146,970 | 12,181 | ||||||
PennyMac Mortgage Investment Trust‡ | 165,400 | 4,077 | ||||||
People‘s United Financial | 203,066 | 2,475 | ||||||
Piedmont Office Realty Trust, Cl A‡ | 136,600 | 2,411 | ||||||
Platinum Underwriters Holdings | 34,600 | 1,540 | ||||||
Plum Creek Timber‡ | 8,093 | 347 | ||||||
Primerica* | 64,100 | 1,835 | ||||||
Prosperity Bancshares | 6,100 | 251 | ||||||
Realty Income‡ | 55,200 | 2,245 | ||||||
RenaissanceRe Holdings | 114,982 | 9,516 | ||||||
Senior Housing Properties Trust‡ | 35,200 | 787 | ||||||
Signature Bank NY* | 32,700 | 2,294 | ||||||
Tanger Factory Outlet Centers‡ | 74,100 | 2,436 | ||||||
TFS Financial* | 298,000 | 2,449 | ||||||
Tompkins Financial | 22,059 | 860 | ||||||
Tower Group | 18,700 | 316 | ||||||
Travelers | 67,800 | 4,802 | ||||||
Two Harbors Investment‡ | 143,900 | 1,629 | ||||||
Validus Holdings | 118,800 | 4,213 | ||||||
Washington Federal | 28,790 | 463 | ||||||
Washington Real Estate Investment Trust‡ | 14,400 | 373 | ||||||
White Mountains Insurance Group | 4,600 | 2,370 | ||||||
|
| |||||||
130,456 | ||||||||
|
| |||||||
Health Care — 17.0% | ||||||||
Abbott Laboratories | 141,095 | 9,171 | ||||||
Aetna | 84,900 | 3,667 | ||||||
Alexion Pharmaceuticals* | 8,500 | 816 | ||||||
AmerisourceBergen | 249,764 | 10,545 | ||||||
Amgen | 165,901 | 14,732 | ||||||
AstraZeneca ADR | 107,100 | 5,092 | ||||||
Baxter International | 38,600 | 2,558 | ||||||
Becton Dickinson | 93,888 | 7,198 | ||||||
Biogen Idec* | 32,037 | 4,776 | ||||||
Cardinal Health | 209,691 | 8,482 | ||||||
Catamaran* | 71,942 | 3,503 | ||||||
Celgene* | 20,000 | 1,572 | ||||||
Chemed | 23,100 | 1,573 | ||||||
Cooper | 9,900 | 940 | ||||||
Edwards Lifesciences* | 11,300 | 981 | ||||||
Eli Lilly | 112,915 | 5,537 | ||||||
Endo Health Solutions* | 117,400 | 3,365 | ||||||
Greatbatch* | 40,900 | 924 | ||||||
Henry Schein* | 11,823 | 955 | ||||||
Humana | 12,600 | 824 | ||||||
Johnson & Johnson | 129,956 | 9,062 | ||||||
LifePoint Hospitals* | 47,700 | 1,716 | ||||||
Magellan Health Services* | 33,800 | 1,753 | ||||||
McKesson | 113,079 | 10,683 | ||||||
Medtronic | 47,400 | 1,996 | ||||||
Merck | 209,100 | 9,263 | ||||||
Myriad Genetics* | 10,886 | 313 | ||||||
Orthofix International* | 29,900 | 1,114 |
Description | Shares | Market Value ($ Thousands) | ||||||
Patterson | 73,885 | $ | 2,519 | |||||
PDL BioPharma | 156,300 | 1,235 | ||||||
Pfizer | 349,100 | 8,734 | ||||||
Quest Diagnostics | 20,800 | 1,202 | ||||||
Stryker | 21,000 | 1,137 | ||||||
Techne | 43,685 | 3,097 | ||||||
United Therapeutics* | 100,200 | 5,266 | ||||||
UnitedHealth Group | 35,900 | 1,953 | ||||||
WellPoint | 37,800 | 2,113 | ||||||
Zimmer Holdings | 50,000 | 3,298 | ||||||
|
| |||||||
153,665 | ||||||||
|
| |||||||
Industrials — 5.8% | ||||||||
Alliant Techsystems | 39,900 | 2,394 | ||||||
C.H. Robinson Worldwide | 41,200 | 2,544 | ||||||
Canadian National Railway | 7,500 | 674 | ||||||
CLARCOR | 24,200 | 1,122 | ||||||
Covanta Holding | 32,600 | 615 | ||||||
Dun & Bradstreet | 27,400 | 2,169 | ||||||
Engility Holdings* | 7,700 | 141 | ||||||
FTI Consulting* | 42,400 | 1,311 | ||||||
General Dynamics | 54,500 | 3,624 | ||||||
L-3 Communications Holdings, Cl 3 | 86,600 | 6,655 | ||||||
Landstar System | 49,400 | 2,498 | ||||||
Lockheed Martin | 73,974 | 6,902 | ||||||
Northrop Grumman | 49,100 | 3,275 | ||||||
Raytheon | 122,800 | 7,016 | ||||||
Rollins | 112,600 | 2,564 | ||||||
Union Pacific | 5,800 | 712 | ||||||
Verisk Analytics, Cl A* | 49,700 | 2,477 | ||||||
Waste Management | 106,040 | 3,454 | ||||||
Watsco | 21,000 | 1,506 | ||||||
Werner Enterprises | 46,600 | 1,011 | ||||||
|
| |||||||
52,664 | ||||||||
|
| |||||||
Information Technology — 8.8% | ||||||||
Activision Blizzard | 391,200 | 4,475 | ||||||
Amdocs | 203,789 | 6,819 | ||||||
AOL* | 103,712 | 3,891 | ||||||
Broadridge Financial Solutions | 90,000 | 2,125 | ||||||
CACI International, Cl A* | 23,100 | 1,182 | ||||||
CGI Group, Cl A* | 69,600 | 1,600 | ||||||
Cisco Systems | 262,300 | 4,960 | ||||||
CSG Systems International* | 69,600 | 1,293 | ||||||
Dell | 109,300 | 1,054 | ||||||
FleetCor Technologies* | 18,477 | 964 | ||||||
FLIR Systems | 125,000 | 2,550 | ||||||
Global Payments | 44,500 | 1,954 | ||||||
Harris | 122,600 | 5,778 | ||||||
Hewlett-Packard | 126,200 | 1,639 | ||||||
IAC | 123,772 | 5,836 | ||||||
Ingram Micro, Cl A* | 111,100 | 1,800 | ||||||
Intel | 225,700 | 4,417 | ||||||
International Business Machines | 40,251 | 7,651 | ||||||
Jack Henry & Associates | 35,500 | 1,380 | ||||||
Mantech International, Cl A | 24,900 | 622 | ||||||
Maxim Integrated Products | 42,100 | 1,229 | ||||||
Microsoft | 227,200 | 6,048 | ||||||
National Instruments | 24,600 | 598 | ||||||
Rackspace Hosting* | 16,493 | 1,140 | ||||||
SAIC | 413,200 | 4,764 | ||||||
Tech Data* | 41,638 | 1,839 |
2 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Total System Services | 91,300 | $ | 2,004 | |||||
|
| |||||||
79,612 | ||||||||
|
| |||||||
Materials — 2.1% | ||||||||
Aptargroup | 30,000 | 1,430 | ||||||
Ball | 52,500 | 2,346 | ||||||
Barrick Gold | 35,900 | 1,246 | ||||||
Bemis | 45,400 | 1,525 | ||||||
Compass Minerals International | 32,200 | 2,460 | ||||||
Greif, Cl A | 11,500 | 472 | ||||||
Packaging Corp of America | 39,100 | 1,425 | ||||||
PPG Industries | 10,200 | 1,268 | ||||||
Royal Gold | 47,867 | 3,866 | ||||||
Silgan Holdings | 54,900 | 2,442 | ||||||
|
| |||||||
18,480 | ||||||||
|
| |||||||
Telecommunication Services — 3.0% | ||||||||
AT&T | 281,300 | 9,601 | ||||||
BCE | 66,500 | 2,815 | ||||||
CenturyLink | 7,482 | 291 | ||||||
Iridium Communications* | 177,300 | 1,094 | ||||||
NTT DoCoMo ADR | 91,700 | 1,326 | ||||||
Rogers Communications, Cl B | 67,800 | 2,994 | ||||||
SK Telecom ADR | 207,600 | 3,170 | ||||||
Verizon Communications | 57,600 | 2,541 | ||||||
Vodafone Group ADR | 141,800 | 3,659 | ||||||
|
| |||||||
27,491 | ||||||||
|
| |||||||
Utilities — 14.7% | ||||||||
AGL Resources | 65,200 | 2,541 | ||||||
Alliant Energy | 106,714 | 4,783 | ||||||
Ameren | 80,800 | 2,421 | ||||||
American Electric Power | 144,905 | 6,180 | ||||||
American States Water | 40,800 | 1,856 | ||||||
American Water Works | 212,080 | 8,095 | ||||||
Atmos Energy | 133,500 | 4,674 | ||||||
Avista | 31,700 | 752 | ||||||
CMS Energy | 215,458 | 5,264 | ||||||
Consolidated Edison | 124,498 | 6,946 | ||||||
DTE Energy | 177,014 | 10,723 | ||||||
Edison International | 55,900 | 2,542 | ||||||
El Paso Electric | 37,100 | 1,182 | ||||||
Entergy | 48,600 | 3,088 | ||||||
Great Plains Energy | 115,600 | 2,341 | ||||||
Hawaiian Electric Industries | 199,993 | 4,982 | ||||||
IDACORP | 49,500 | 2,114 | ||||||
Integrys Energy Group | 15,491 | 824 | ||||||
ITC Holdings | 32,639 | 2,564 | ||||||
Laclede Group | 33,100 | 1,348 | ||||||
NextEra Energy | 50,888 | 3,496 | ||||||
NV Energy | 15,500 | 284 | ||||||
OGE Energy | 20,200 | 1,154 | ||||||
PG&E | 192,300 | 7,875 | ||||||
Piedmont Natural Gas | 64,500 | 1,990 | ||||||
Pinnacle West Capital | 111,361 | 5,731 | ||||||
Portland General Electric | 145,500 | 3,933 | ||||||
PPL | 194,300 | 5,703 | ||||||
Public Service Enterprise Group | 189,729 | 5,709 | ||||||
SCANA | 36,492 | 1,691 | ||||||
Southern | 72,808 | 3,171 | ||||||
TECO Energy | 42,900 | 721 | ||||||
UGI | 49,286 | 1,637 | ||||||
Vectren | 171,440 | 5,015 |
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Westar Energy | 31,746 | $ | 911 | |||||
WGL Holdings | 26,000 | 1,016 | ||||||
Wisconsin Energy | 94,045 | �� | 3,529 | |||||
Xcel Energy | 160,428 | 4,339 | ||||||
|
| |||||||
133,125 | ||||||||
|
| |||||||
Total Common Stock | 869,360 | |||||||
|
| |||||||
CASH EQUIVALENT — 3.9% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.060%†** | 35,530,856 | 35,531 | ||||||
|
| |||||||
Total Cash Equivalent | 35,531 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (A)(B) — 0.3% |
| |||||||
U.S. Treasury Bills | ||||||||
0.234%, 02/07/2013 | $ | 908 | 908 | |||||
0.135%, 01/31/2013 | 2,095 | 2,094 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 3,002 | |||||||
|
| |||||||
Total Investments — 100.3% | $ | 907,893 | ||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index EMINI | 356 | Dec-2012 | $ | 1,068 | ||||||||
|
|
For the year ended November 30, 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 period.
Percentages are based on a Net Assets of $905,068 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 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
The following is a list of the inputs used as of November 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 869,360 | $ | — | $ | — | $ | 869,360 | ||||||||
Cash Equivalent | 35,531 | — | — | 35,531 | ||||||||||||
U.S. Treasury Obligations | — | 3,002 | — | 3,002 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 904,891 | $ | 3,002 | $ | — | $ | 907,893 | ||||||||
|
|
|
|
|
|
|
|
3 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund
November 30, 2012
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 1,068 | $ | — | $ | — | $ | 1,068 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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 $O.
The accompanying notes are an integral part of the financial statements.
4 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 92.2% | ||||||||
Argentina — 0.0% | ||||||||
Tenaris | 429 | $ | 8 | |||||
|
| |||||||
Australia — 3.1% | ||||||||
AGL Energy | 1,273 | 19 | ||||||
ALS | 9,268 | 92 | ||||||
Alumina | 254,443 | 252 | ||||||
Amcor | 78,974 | 651 | ||||||
APA Group | 20,798 | 122 | ||||||
ASX | 454 | 14 | ||||||
Atlas Iron | 444,317 | 642 | ||||||
Australia & New Zealand Banking Group | 89,071 | 2,263 | ||||||
BC Iron | 2,303 | 7 | ||||||
Beach Energy | 44,779 | 67 | ||||||
BGP Holdings* | 39,545 | — | ||||||
BHP Billiton | 2,396 | 86 | ||||||
BHP Billiton ADR | 9,400 | 677 | ||||||
Brambles | 7,800 | 59 | ||||||
Brickworks | 2,198 | 26 | ||||||
Caltex Australia | 14,308 | 273 | ||||||
Centro Retail Australia‡ | 5,293 | 12 | ||||||
CFS Retail Property Trust Group‡ | 32,108 | 65 | ||||||
Coca-Cola Amatil | 6,022 | 86 | ||||||
Cochlear | 312 | 25 | ||||||
Collins Foods* | 6,022 | 8 | ||||||
Commonwealth Bank of Australia | 5,938 | 370 | ||||||
Crown | 1,796 | 19 | ||||||
CSL | 19,180 | 1,034 | ||||||
CSR | 14,543 | 29 | ||||||
Dexus Property Group‡ | 168,289 | 176 | ||||||
Downer EDI | 1,883 | 7 | ||||||
Echo Entertainment Group | 7,478 | 28 | ||||||
Flight Centre | 2,820 | 79 | ||||||
Fortescue Metals Group | 1,876 | 8 | ||||||
Goodman Group‡ | 48,967 | 236 | ||||||
GPT Group‡ | 5,833 | 21 | ||||||
Iluka Resources | 53,125 | 456 | ||||||
Insurance Australia Group | 16,793 | 81 | ||||||
IOOF Holdings | 1,081 | 7 | ||||||
Leighton Holdings | 69 | 1 | ||||||
Macquarie Group | 3,644 | 125 | ||||||
Newcrest Mining | 70,855 | 1,896 | ||||||
Nufarm | 4,555 | 28 | ||||||
QBE Insurance Group | 1,355 | 15 | ||||||
Ramsay Health Care | 3,674 | 102 | ||||||
Resolute Mining | 3,553 | 7 | ||||||
Rio Tinto | 637 | 39 | ||||||
Santos | 477 | 6 | ||||||
Shopping Centres Australasia Property Group, Cl Miscellaneous‡* | 132 | — | ||||||
Skilled Group | 11,092 | 26 | ||||||
Sonic Healthcare | 980 | 14 | ||||||
Stockland‡ | 1,111 | 4 | ||||||
Suncorp Group | 4,519 | 46 | ||||||
Tabcorp Holdings | 23,767 | 69 | ||||||
Tatts Group | 60,664 | 186 | ||||||
Telstra | 120,814 | 543 |
Description | Shares | Market Value ($ Thousands) | ||||||
Toll Holdings | 4,263 | $ | 21 | |||||
Transurban Group | 28,126 | 182 | ||||||
Wesfarmers | 551 | 21 | ||||||
Westfield Group‡ | 11,452 | 125 | ||||||
Westfield Retail Trust‡ | 33,274 | 104 | ||||||
Westpac Banking | 2,169 | 58 | ||||||
Woolworths | 1,185 | 36 | ||||||
|
| |||||||
11,651 | ||||||||
|
| |||||||
Austria — 0.1% | ||||||||
Andritz | 1,861 | 119 | ||||||
OMV | 240 | 9 | ||||||
Raiffeisen International Bank Holding | 1,614 | 66 | ||||||
|
| |||||||
194 | ||||||||
|
| |||||||
Belgium — 1.6% | ||||||||
Ageas | 15,593 | 417 | ||||||
Belgacom | 49,791 | 1,463 | ||||||
Colruyt | 20,495 | 943 | ||||||
InBev | 26,546 | 2,327 | ||||||
KBC Groep | 13,072 | 394 | ||||||
Solvay | 69 | 9 | ||||||
Telenet Group Holding | 196 | 9 | ||||||
UCB | 2,213 | 125 | ||||||
Umicore | 2,394 | 124 | ||||||
|
| |||||||
5,811 | ||||||||
|
| |||||||
Brazil — 0.1% | ||||||||
Banco Santander Brasil ADR | 38,659 | 259 | ||||||
Centrais Eletricas Brasileiras ADR | 44,159 | 161 | ||||||
|
| |||||||
420 | ||||||||
|
| |||||||
Canada — 3.3% | ||||||||
Aastra Technologies | 600 | 9 | ||||||
Agrium | 5,200 | 531 | ||||||
Bank of Nova Scotia | 10,100 | 569 | ||||||
Barrick Gold (A) | 46,835 | 1,617 | ||||||
Cameco | 39,238 | 713 | ||||||
Cenovus Energy | 15,557 | 523 | ||||||
Goldcorp | 23,300 | 908 | ||||||
Kinross Gold | 126,955 | 1,280 | ||||||
Magna International, Cl A | 12,300 | 572 | ||||||
New Gold* | 90,300 | 959 | ||||||
Silver Wheaton | 23,000 | 847 | ||||||
Suncor Energy | 64,333 | 2,101 | ||||||
Talisman Energy | 43,234 | 485 | ||||||
Toronto-Dominion Bank | 14,041 | 1,173 | ||||||
|
| |||||||
12,287 | ||||||||
|
| |||||||
Chile — 0.2% | ||||||||
Administradora de Fondos de Pensiones Provida ADR | 309 | 31 | ||||||
Sociedad Quimica y Minera de Chile ADR | 13,900 | 787 | ||||||
|
| |||||||
818 | ||||||||
|
| |||||||
China — 0.2% | ||||||||
Huaneng Power International | 828,000 | 702 | ||||||
|
| |||||||
Colombia — 0.1% |
1 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Ecopetrol ADR | 8,700 | $ | 506 | |||||
|
| |||||||
Czech Republic — 0.1% | ||||||||
Komercni Banka | 1,116 | 222 | ||||||
|
| |||||||
Denmark — 1.1% | ||||||||
AP Moeller - Maersk, Cl B | 23 | 164 | ||||||
Carlsberg, Cl B | 480 | 47 | ||||||
Coloplast, Cl B | 427 | 100 | ||||||
Jyske Bank* | 22,070 | 631 | ||||||
Novo-Nordisk, Cl B | 12,514 | 1,988 | ||||||
TrygVesta | 17,178 | 1,222 | ||||||
William Demant Holding | 1,069 | 87 | ||||||
|
| |||||||
4,239 | ||||||||
|
| |||||||
Finland — 0.3% | ||||||||
Elisa, Cl A | 537 | 11 | ||||||
Kone, Cl B | 11 | 1 | ||||||
Lassila & Tikanoja | 876 | 13 | ||||||
Metso | 1,246 | 47 | ||||||
Neste Oil | 626 | 8 | ||||||
Nokian Renkaat | 3,277 | 137 | ||||||
Sampo, Cl A | 521 | 17 | ||||||
Stora Enso, Cl R | 110,298 | 722 | ||||||
Wartsila Abp, Cl B | 3,325 | 140 | ||||||
|
| |||||||
1,096 | ||||||||
|
| |||||||
France — 9.4% | ||||||||
Accor | 2,112 | 70 | ||||||
Alcatel-Lucent* (A) | 456,980 | 500 | ||||||
Alstom | 9,458 | 344 | ||||||
Areva | 17,290 | 291 | ||||||
Arkema | 16,561 | 1,694 | ||||||
AtoS | 1,275 | 90 | ||||||
AXA | 68,269 | 1,122 | ||||||
BNP Paribas | 43,518 | 2,431 | ||||||
Boursorama* | 2,477 | 16 | ||||||
Bureau Veritas | 414 | 46 | ||||||
Carrefour | 30,424 | 751 | ||||||
Christian Dior | 309 | 50 | ||||||
Cie Generale de Geophysique-Veritas* | 4,279 | 131 | ||||||
Cie Generale d’Optique Essilor International | 14,490 | 1,399 | ||||||
Cie Lebon | 117 | 16 | ||||||
Compagnie Generale des Etablissements Michelin, Cl B | 17,697 | 1,646 | ||||||
Credit Agricole | 4,069 | 31 | ||||||
Danone | 56 | 4 | ||||||
Dassault Systemes | 100 | 11 | ||||||
Electricite de France | 19,492 | 358 | ||||||
Esso Francaise | 231 | 16 | ||||||
Eurazeo | 857 | 41 | ||||||
Eutelsat Communications | 22,803 | 705 | ||||||
Fonciere Des Regions‡ | 581 | 49 | ||||||
Gecina‡ | 275 | 30 | ||||||
GL Events | 358 | 7 | ||||||
Iliad | 394 | 70 | ||||||
Klepierre‡ | 728 | 28 | ||||||
Lafarge | 1,416 | 82 | ||||||
Lagardere S.C.A. | 754 | 23 | ||||||
Legrand | 36,163 | 1,465 |
Description | Shares | Market Value ($ Thousands) | ||||||
L’Oreal | 9,571 | $ | 1,299 | |||||
LVMH Moet Hennessy Louis Vuitton | 7,527 | 1,321 | ||||||
Pernod-Ricard | 5,537 | 627 | ||||||
Publicis Groupe | 166 | 9 | ||||||
Remy Cointreau | 1,017 | 114 | ||||||
Renault | 7,504 | 375 | ||||||
Rexel | 63,094 | 1,228 | ||||||
Safran | 35,413 | 1,450 | ||||||
Sanofi-Aventis | 67,221 | 6,003 | ||||||
Schneider Electric | 51,511 | 3,620 | ||||||
SES Global | 545 | 16 | ||||||
Societe BIC | 179 | 23 | ||||||
Societe Generale | 930 | 33 | ||||||
Sodexo | 14,861 | 1,200 | ||||||
Technip | 13,077 | 1,519 | ||||||
Thales | 12,584 | 453 | ||||||
Total | 36,869 | 1,845 | ||||||
Veolia Environnement | 4,741 | 52 | ||||||
Vivendi | 14,881 | 320 | ||||||
Wendel | 1,940 | 182 | ||||||
Zodiac Aerospace | 1,202 | 134 | ||||||
|
| |||||||
35,340 | ||||||||
|
| |||||||
Germany — 8.6% | ||||||||
Adidas | 461 | 40 | ||||||
Allianz | 3,169 | 412 | ||||||
Balda | 1,770 | 7 | ||||||
BASF | 15,729 | 1,410 | ||||||
Bayer | 20,620 | 1,865 | ||||||
Bayerische Motoren Werke | 2,629 | 233 | ||||||
Beiersdorf | 740 | 58 | ||||||
Brenntag | 8,999 | 1,163 | ||||||
Continental | 8,821 | 976 | ||||||
Creation Tapeten | 167 | 7 | ||||||
DaimlerChrysler | 48,350 | 2,388 | ||||||
Deutsche Bank | 7,900 | �� | 349 | |||||
Deutsche Boerse | 39,627 | 2,232 | ||||||
Deutsche Lufthansa | 27,095 | 450 | ||||||
Deutsche Post | 66,358 | 1,377 | ||||||
Deutsche Telekom | 65,466 | 721 | ||||||
Deutz* | 1,693 | 7 | ||||||
E.ON | 1,656 | 30 | ||||||
Fresenius | 205 | 24 | ||||||
Fresenius Medical Care | 18,982 | 1,304 | ||||||
GEA Group | 41,775 | 1,365 | ||||||
Hannover Rueckversicherung | 2,432 | 179 | ||||||
HeidelbergCement | 3,857 | 210 | ||||||
Henkel | 2,662 | 180 | ||||||
Hugo Boss | 206 | 22 | ||||||
Infineon Technologies | 215,899 | 1,656 | ||||||
Kabel Deutschland Holding | 1,294 | 94 | ||||||
Lanxess | 2,163 | 188 | ||||||
Linde | 17,656 | 3,053 | ||||||
MAN | 764 | 80 | ||||||
Merck KGaA | 1,510 | 202 | ||||||
Muenchener Rueckversicherungs | 9,972 | 1,702 | ||||||
Rheinmetall | 1,520 | 71 | ||||||
RWE | 761 | 32 | ||||||
SAP | 18,885 | 1,475 | ||||||
SAP ADR | 13,700 | 1,068 | ||||||
Siemens | 28,043 | 2,892 |
2 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Suedzucker | 6,544 | $ | 258 | |||||
Symrise | 33,430 | 1,164 | ||||||
Telefonica Deutschland Holding* (B) | 182,905 | 1,361 | ||||||
|
| |||||||
32,305 | ||||||||
|
| |||||||
Hong Kong — 2.5% | ||||||||
AIA Group | 389,000 | 1,513 | ||||||
ASM Pacific Technology (A) | 4,500 | 53 | ||||||
BOC Hong Kong Holdings | 50,500 | 155 | ||||||
Chaoda Modern Agriculture* | 1,048,000 | 149 | ||||||
China Merchants Holdings International | 108,000 | 327 | ||||||
China Mobile | 94,500 | 1,080 | ||||||
China Mobile ADR | 16,700 | 951 | ||||||
CLP Holdings | 9,000 | 79 | ||||||
CNOOC | 501,000 | 1,072 | ||||||
eSun Holdings* | 52,000 | 8 | ||||||
First Pacific | 106,000 | 111 | ||||||
Galaxy Entertainment Group* | 50,000 | 191 | ||||||
Hang Seng Bank | 1,900 | 29 | ||||||
Henderson Land Development | 2,000 | 14 | ||||||
Hong Kong & China Gas | 3,500 | 9 | ||||||
Hopewell Holdings | 3,000 | 12 | ||||||
Hutchison Whampoa | 9,600 | 99 | ||||||
Hysan Development | 20,000 | 96 | ||||||
Jardine Strategic Holdings | 45,521 | 1,548 | ||||||
Kerry Properties | 6,000 | 31 | ||||||
Li & Fung | 128,000 | 211 | ||||||
MGM China Holdings | 20,800 | 39 | ||||||
New World Development | 147,000 | 233 | ||||||
Orient Overseas International | 2,000 | 13 | ||||||
Power Assets Holdings | 1,000 | 9 | ||||||
Shangri-La Asia | 8,000 | 15 | ||||||
Sino-Forest, Cl A* | 21,000 | 2 | ||||||
SJM Holdings | 12,000 | 28 | ||||||
Swire Pacific, Cl A | 5,000 | 61 | ||||||
TAI Cheung Holdings | 13,000 | 11 | ||||||
Wharf Holdings | 13,000 | 100 | ||||||
Wheelock | 31,000 | 151 | ||||||
Wing Hang Bank | 1,000 | 10 | ||||||
Yue Yuen Industrial Holdings | 312,500 | 1,095 | ||||||
|
| |||||||
9,505 | ||||||||
|
| |||||||
India — 0.4% | ||||||||
Idea Cellular* | 781,762 | 1,395 | ||||||
|
| |||||||
Indonesia — 0.1% | ||||||||
Bank Mandiri Persero | 446,300 | 384 | ||||||
Telekomunikasi Indonesia | 8,000 | 7 | ||||||
|
| |||||||
391 | ||||||||
|
| |||||||
Ireland — 1.0% | ||||||||
CRH | 12,622 | 231 | ||||||
Elan* | 16,811 | 169 | ||||||
Experian | 86,475 | 1,437 | ||||||
James Hardie Industries | 17,424 | 165 | ||||||
Kerry Group, Cl A | 3,242 | 170 | ||||||
Ryanair Holdings ADR | 23,100 | 795 | ||||||
Smurfit Kappa Group | 74,230 | 876 | ||||||
|
| |||||||
3,843 | ||||||||
|
| |||||||
Israel — 1.1% |
Description | Shares | Market Value ($ Thousands) | ||||||
Bezeq Israeli Telecommunication (C) | 493,600 | $ | 604 | |||||
Check Point Software Technologies | 50,441 | 2,329 | ||||||
Checkpoint Software* (A) | — | — | ||||||
Israel Chemicals (C) | 860 | 11 | ||||||
Mellanox Technologies (C) | 1,323 | 100 | ||||||
NICE Systems (C) | 1,048 | 36 | ||||||
Teva Pharmaceutical Industries ADR | 22,060 | 890 | ||||||
|
| |||||||
3,970 | ||||||||
|
| |||||||
Italy — 0.9% | ||||||||
Banca Intesa | 183,210 | 308 | ||||||
Enel | 63,664 | 241 | ||||||
Eni | 6,278 | 148 | ||||||
ERG | 40,954 | 287 | ||||||
Exor | 6,623 | 164 | ||||||
Fiat | 4,202 | 20 | ||||||
Fiat Industrial | 17,514 | 187 | ||||||
Lottomatica | 559 | 12 | ||||||
Luxottica Group | 3,384 | 139 | ||||||
Pirelli & C. | 7,536 | 87 | ||||||
Prysmian | 1,031 | 20 | ||||||
Saipem | 63 | 3 | ||||||
Snam | 177,036 | 783 | ||||||
Telecom Italia | 1,199,622 | 957 | ||||||
|
| |||||||
3,356 | ||||||||
|
| |||||||
Japan — 15.4% | ||||||||
Advantest | 6,400 | 85 | ||||||
Aeon Credit Service | 2,700 | 53 | ||||||
Aisin Seiki | 1,200 | 35 | ||||||
Ajinomoto | 2,000 | 29 | ||||||
Alfresa Holdings | 3,300 | 139 | ||||||
Alinco | 900 | 7 | ||||||
Arnest One | 6,800 | 93 | ||||||
Artnature | 1,100 | 18 | ||||||
Asics | 1,700 | 25 | ||||||
Astellas Pharma | 29,700 | 1,502 | ||||||
AT-Group | 3,000 | 38 | ||||||
Bank of Yokohama | 66,000 | 313 | ||||||
Bridgestone | 21,000 | 506 | ||||||
Bunka Shutter | 2,000 | 9 | ||||||
Calsonic Kansei | 42,000 | 194 | ||||||
Casio Computer (A) | 8,200 | 61 | ||||||
Central Automotive Products | 2,000 | 12 | ||||||
Central Glass | 11,000 | 32 | ||||||
Central Japan Railway | 6,900 | 546 | ||||||
Chiyoda | 6,000 | 86 | ||||||
Chugai Pharmaceutical | 5,300 | 105 | ||||||
Chugoku Electric Power | 1,000 | 14 | ||||||
Citizen Holdings | 2,500 | 13 | ||||||
Coca-Cola West | 35,000 | 543 | ||||||
Computer Engineering & Consulting | 1,200 | 7 | ||||||
Credit Saison | 5,000 | 111 | ||||||
Dai Nippon Printing | 136,500 | 1,021 | ||||||
Daicel | 32,000 | 195 | ||||||
Daihatsu Motor | 4,000 | 71 | ||||||
Daiichi Kensetsu | 700 | 7 | ||||||
Dai-ichi Life Insurance | 64 | 73 | ||||||
Daiichi Sankyo | 14,700 | 227 |
3 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Daikin Industries | 19,900 | $ | 626 | |||||
Dainippon Sumitomo Pharma | 14,200 | 167 | ||||||
Daito Trust Construction | 6,000 | 581 | ||||||
Daiwa House Industry | 42,000 | 642 | ||||||
Dena | 200 | 7 | ||||||
Denso | 1,700 | 56 | ||||||
EDION | 7,400 | 29 | ||||||
Eisai | 200 | 8 | ||||||
FamilyMart | 2,100 | 93 | ||||||
FANUC | 20,000 | 3,371 | ||||||
Fast Retailing | 800 | 182 | ||||||
Fuji Heavy Industries | 21,000 | 236 | ||||||
Fuji Soft | 500 | 10 | ||||||
FUJIFILM Holdings | 66,300 | 1,215 | ||||||
Fujitsu | 43,000 | 163 | ||||||
Fukuda | 2,000 | 8 | ||||||
Fukuoka Financial Group | 2,000 | 8 | ||||||
Geo Holdings | 23 | 24 | ||||||
Hachijuni Bank | 49,000 | 248 | ||||||
Hakuhodo DY Holdings | 770 | 49 | ||||||
Hankyu Hanshin Holdings | 28,000 | 148 | ||||||
Hino Motors | 72,000 | 618 | ||||||
HIS | 2,200 | 68 | ||||||
Hisamitsu Pharmaceutical | 1,200 | 62 | ||||||
Hitachi | 136,100 | 786 | ||||||
Hitachi Construction Machinery | 1,100 | 19 | ||||||
Hitachi High-Technologies | 2,900 | 64 | ||||||
Hokkaido Coca-Cola Bottling | 2,000 | 10 | ||||||
Hokkan Holdings | 3,000 | 9 | ||||||
Hokuriku Electric Power | 800 | 9 | ||||||
Honda Motor | 3,800 | 126 | ||||||
IHI | 75,000 | 166 | ||||||
Iida Home Max | 5,000 | 41 | ||||||
IMI | 400 | 7 | ||||||
Inabata | 1,700 | 11 | ||||||
Inpex | 2 | 11 | ||||||
Isetan Mitsukoshi Holdings | 2,500 | 22 | ||||||
Isuzu Motors | 14,000 | 82 | ||||||
IT Holdings | 10,100 | 123 | ||||||
Itochu | 6,600 | 66 | ||||||
Itochu Techno-Solutions | 800 | 37 | ||||||
Iwatani | 4,000 | 15 | ||||||
J Front Retailing | 18,000 | 87 | ||||||
Japan Airlines* | 2,500 | 115 | ||||||
Japan Carlit | 1,700 | 8 | ||||||
Japan Digital Laboratory | 700 | 7 | ||||||
Japan Prime Realty Investment, Cl A‡ | 26 | 77 | ||||||
Japan Real Estate Investment, Cl A‡ | 4 | 39 | ||||||
Japan Retail Fund Investment, Cl A‡ | 36 | 65 | ||||||
Japan Steel Works | 48,000 | 264 | ||||||
Japan Tobacco | 8,700 | 261 | ||||||
JGC | 57,000 | 1,877 | ||||||
JK Holdings | 1,600 | 9 | ||||||
Jupiter Telecommunications | 1,728 | 2,259 | ||||||
JVC Kenwood Holdings | 8,700 | 31 | ||||||
Kamei | 1,000 | 9 | ||||||
Kanematsu* | 28,000 | 32 | ||||||
Kansai Paint | 83,600 | 892 | ||||||
Kao | 24,000 | 659 |
Description | Shares | Market Value ($ Thousands) | ||||||
KDDI | 21,000 | $ | 1,553 | |||||
Keio | 8,000 | 59 | ||||||
Keisei Electric Railway | 10,000 | 84 | ||||||
Kenko Mayonnaise | 800 | 7 | ||||||
Keyence | 2,300 | 642 | ||||||
Kikkoman | 1,000 | 14 | ||||||
Kintetsu (A) | 3,000 | 12 | ||||||
Komatsu | 5,400 | 121 | ||||||
Konica Minolta Holdings | 5,500 | 39 | ||||||
Konishi | 500 | 8 | ||||||
Kubota | 9,000 | 96 | ||||||
Kyowa Exeo | 3,700 | 37 | ||||||
Lawson | 2,300 | 156 | ||||||
Mabuchi Motor | 34,700 | 1,460 | ||||||
Maezawa Kyuso Industries | 1,000 | 13 | ||||||
Makita | 14,500 | 611 | ||||||
Marubeni | 33,000 | 217 | ||||||
Marubun | 1,700 | 7 | ||||||
Medipal Holdings | 6,700 | 79 | ||||||
Miraca Holdings | 1,100 | 45 | ||||||
Misawa Homes | 5,300 | 76 | ||||||
Mitsubishi Gas Chemical | 2,000 | 12 | ||||||
Mitsubishi Heavy Industries | 4,000 | 19 | ||||||
Mitsubishi Materials | 26,000 | 74 | ||||||
Mitsubishi UFJ Financial Group | 64,800 | 296 | ||||||
Mitsubishi UFJ Lease & Finance | 400 | 17 | ||||||
Mitsui Fudosan | 4,000 | 83 | ||||||
Mitsui Sumitomo Insurance Group Holdings | 55,100 | 955 | ||||||
Mitsui Trust Holdings | 262,310 | 795 | ||||||
Mizuho Financial Group | 61,700 | 99 | ||||||
Murakami | 1,000 | 12 | ||||||
NEC | 15,000 | 26 | ||||||
NEC Capital Solutions | 1,800 | 25 | ||||||
NEC Fielding | 1,400 | 16 | ||||||
NEC Networks & System Integration | 3,600 | 64 | ||||||
NET One Systems | 4,600 | 45 | ||||||
NHK Spring | 5,100 | 43 | ||||||
Nikon | 6,100 | 169 | ||||||
Nintendo | 7,400 | 886 | ||||||
Nippo | 6,000 | 69 | ||||||
Nippon Building Fund, Cl A‡ | 2 | 21 | ||||||
Nippon Telegraph & Telephone | 45,300 | 2,024 | ||||||
Nippon Telegraph & Telephone ADR | 33,365 | 749 | ||||||
Nippon Yusen (A) | 6,000 | 13 | ||||||
Nissan Motor | 5,400 | 52 | ||||||
Nissan Tokyo Sales Holdings* (A) | 6,000 | 23 | ||||||
Nitori Holdings | 350 | 26 | ||||||
Nitto Denko | 1,200 | 62 | ||||||
NOK | 2,900 | 44 | ||||||
Nomura Holdings | 4,700 | 19 | ||||||
Nomura Real Estate Holdings | 14,800 | 255 | ||||||
Nomura Real Estate Office Fund, Cl A‡ | 3 | 18 | ||||||
North Pacific Bank* | 77,700 | 202 | ||||||
NTT Data | 30 | 87 | ||||||
Odakyu Electric Railway, Cl B | 1,000 | 10 | ||||||
Olympus | 2,600 | 43 | ||||||
Ono Pharmaceutical | 1,400 | 77 |
4 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Oracle Japan | 1,400 | $ | 59 | |||||
Oriental Land | 300 | 38 | ||||||
Otsuka | 600 | 48 | ||||||
Otsuka Holdings | 14,900 | 442 | ||||||
Panasonic | 38,500 | 188 | ||||||
Pressance | 500 | 10 | ||||||
Relo Holdings | 500 | 19 | ||||||
Rohm | 15,000 | 427 | ||||||
Rokko Butter | 1,200 | 8 | ||||||
Sankyo | 18,700 | 766 | ||||||
Sankyo Frontier | 2,000 | 12 | ||||||
Santen Pharmaceutical | 200 | 9 | ||||||
Secom | 14,200 | 727 | ||||||
Sega Sammy Holdings | 5,600 | 93 | ||||||
Seino Holdings | 11,000 | 67 | ||||||
Sekisui Chemical | 126,000 | 987 | ||||||
Sekisui House | 43,000 | 403 | ||||||
Seven & I Holdings | 69,700 | 2,030 | ||||||
Shikoku Electric Power | 300 | 4 | ||||||
Shimamura | 900 | 91 | ||||||
Shimano | 2,500 | 165 | ||||||
Shin Nippon Air Technologies | 1,400 | 8 | ||||||
Shin-Etsu Chemical | 25,100 | 1,476 | ||||||
Shinmaywa Industries | 1,000 | 6 | ||||||
Shiseido | 75,200 | 1,090 | ||||||
Showa | 5,200 | 52 | ||||||
Showa Denko | 11,000 | 16 | ||||||
Sinko Industries | 1,900 | 11 | ||||||
SMC | 8,200 | 1,384 | ||||||
Softbank | 15,800 | 592 | ||||||
Sojitz | 110,300 | 139 | ||||||
Sony Financial Holdings | 69,000 | 1,185 | ||||||
Stanley Electric | 1,400 | 20 | ||||||
Sumitomo | 8,700 | 108 | ||||||
Sumitomo Densetsu | 700 | 7 | ||||||
Sumitomo Electric Industries | 2,600 | 28 | ||||||
Sumitomo Mitsui Financial Group | 56,200 | 1,809 | ||||||
Sumitomo Precision Products | 5,000 | 21 | ||||||
Sumitomo Realty & Development | 4,000 | 109 | ||||||
Suruga Bank | 2,000 | 26 | ||||||
Suzuken | 7,500 | 223 | ||||||
Suzuki Motor | 1,500 | 36 | ||||||
Sysmex | 2,200 | 99 | ||||||
T&D Holdings | 6,600 | 71 | ||||||
T&K Toka | 600 | 8 | ||||||
Taiheiyo Cement | 12,000 | 27 | ||||||
Taisho Pharmaceutical Holdings | 100 | 7 | ||||||
Takashimaya | 1,000 | 6 | ||||||
TDK (A) | 400 | 16 | ||||||
Tobu Railway | 24,000 | 124 | ||||||
Toho | 500 | 8 | ||||||
Toho Holdings | 7,200 | 138 | ||||||
Tokai | 700 | 18 | ||||||
Tokyo Electron | 14,600 | 651 | ||||||
Tokyo Energy & Systems | 2,000 | 9 | ||||||
Tokyo Gas | 1,000 | 5 | ||||||
Tokyu Land | 18,000 | 105 | ||||||
Topre | 900 | 8 | ||||||
Toshiba TEC | 16,000 | 81 | ||||||
Totetsu Kogyo | 1,300 | 15 | ||||||
Toyo Kohan | 9,000 | 24 | ||||||
Toyoda Gosei | 5,500 | 115 |
Description | Shares | Market Value ($ Thousands) | ||||||
Toyota Motor | 70,000 | $ | 3,000 | |||||
Toyota Motor ADR | 4,790 | 412 | ||||||
Toyota Tsusho | 21,000 | 483 | ||||||
TS Tech | 2,600 | 46 | ||||||
Unicharm | 2,000 | 102 | ||||||
USS | 860 | 92 | ||||||
Vital KSK Holdings | 900 | 9 | ||||||
Wacoal Holdings | 34,723 | 377 | ||||||
Warabeya Nichiyo | 2,400 | 44 | ||||||
Yahoo! Japan | 39 | 13 | ||||||
Yakult Honsha | 2,500 | 110 | ||||||
Yamaha | 1,100 | 10 | ||||||
Yamato Kogyo | 300 | 8 | ||||||
Yaskawa Electric | 71,000 | 566 | ||||||
Yokogawa Electric | 4,000 | 42 | ||||||
|
| |||||||
57,638 | ||||||||
|
| |||||||
Jersey — 0.0% | ||||||||
Randgold Resources ADR | 1,618 | 174 | ||||||
|
| |||||||
Mexico — 0.4% | ||||||||
America Movil ADR, Ser L | 474 | 11 | ||||||
Cemex ADR* | 15,157 | 135 | ||||||
Grupo Financiero Santander Mexico, Cl B | 5,400 | 16 | ||||||
Grupo Financiero Santander Mexico ADR* | 79,424 | 1,161 | ||||||
Grupo Mexico, Ser B | 8,800 | 29 | ||||||
Industrias, Ser B* | 1,300 | 8 | ||||||
|
| |||||||
1,360 | ||||||||
|
| |||||||
Netherlands — 3.5% | ||||||||
Aalberts Industries | 536 | 10 | ||||||
Aegon | 3,969 | 23 | ||||||
Akzo Nobel | 55,933 | 3,196 | ||||||
ASML Holding | 5,258 | 328 | ||||||
Boskalis Westminster | 56 | 2 | ||||||
European Aeronautic Defense and Space | 22,889 | 771 | ||||||
Fugro | 80 | 5 | ||||||
Gemalto | 2,739 | 252 | ||||||
Heineken | 7,336 | 484 | ||||||
ING Groep | 31,740 | 285 | ||||||
Koninklijke Ahold | 125,286 | 1,590 | ||||||
Koninklijke DSM | 209 | 12 | ||||||
Koninklijke Philips Electronics | 1,265 | 33 | ||||||
Koninklijke Vopak | 2,447 | 181 | ||||||
QIAGEN | 2,572 | 47 | ||||||
Reed Elsevier | 164,081 | 2,370 | ||||||
SNS Reaal* | 5,471 | 8 | ||||||
TNT* | 185,168 | 629 | ||||||
Unilever | 40,948 | 1,554 | ||||||
Wolters Kluwer | 75,752 | 1,456 | ||||||
|
| |||||||
13,236 | ||||||||
|
| |||||||
New Zealand — 0.1% | ||||||||
Chorus | 10,092 | 28 | ||||||
Telecom of New Zealand | 214,193 | 406 | ||||||
|
| |||||||
434 | ||||||||
|
| |||||||
Norway — 1.1% | ||||||||
Aker Kvaerner | 547 | 10 | ||||||
DnB | 172,531 | 2,149 |
5 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Marine Harvest* (A) | 310,213 | $ | 271 | |||||
Orkla | 23,256 | 189 | ||||||
Seadrill | 11,736 | 452 | ||||||
Statoil | 46,228 | 1,131 | ||||||
Yara International | 146 | 8 | ||||||
|
| |||||||
4,210 | ||||||||
|
| |||||||
Philippines — 0.0% | ||||||||
Benpres Holdings (C) | 61,300 | 9 | ||||||
|
| |||||||
Poland — 0.1% | ||||||||
KGHM Polska Miedz | 7,018 | 397 | ||||||
Polski Koncern Naftowy Orlen* | 540 | 8 | ||||||
Powszechny Zaklad Ubezpieczen | 404 | 50 | ||||||
|
| |||||||
455 | ||||||||
|
| |||||||
Portugal — 0.0% | ||||||||
Jeronimo Martins | 1,286 | 24 | ||||||
|
| |||||||
Russia — 0.7% | ||||||||
Gazprom OAO ADR | 50,517 | 449 | ||||||
Lukoil OAO ADR | 472 | 30 | ||||||
NovaTek OAO GDR | 3,965 | 435 | ||||||
Sberbank of Russia ADR | 149,881 | 1,771 | ||||||
|
| |||||||
2,685 | ||||||||
|
| |||||||
Singapore — 1.4% | ||||||||
ASL Marine Holdings | 15,000 | 8 | ||||||
Bukit Sembawang Estates | 5,000 | 24 | ||||||
CapitaLand | 35,000 | 101 | ||||||
City Developments | 3,000 | 29 | ||||||
ComfortDelGro | 36,000 | 51 | ||||||
DBS Group Holdings | 65,000 | 770 | ||||||
Fraser and Neave | 29,000 | 224 | ||||||
GP Batteries International | 5,000 | 4 | ||||||
Jardine Cycle & Carriage | 1,000 | 40 | ||||||
Keppel | 35,180 | 309 | ||||||
Keppel Land | 28,000 | 83 | ||||||
Metro Holdings | 12,000 | 8 | ||||||
Oversea-Chinese Banking | 38,000 | 293 | ||||||
SembCorp Industries | 116,000 | 492 | ||||||
SembCorp Marine | 244,000 | 912 | ||||||
Singapore Airlines | 107,000 | 939 | ||||||
Singapore Press Holdings | 6,200 | 21 | ||||||
Singapore Technologies Engineering | 21,000 | 63 | ||||||
Singapore Telecommunications | 17,000 | 46 | �� | |||||
STX OSV Holdings | 11,000 | 12 | ||||||
Transpac Industrial Holdings | 8,000 | 9 | ||||||
United Overseas Bank | 56,000 | 859 | ||||||
UOL Group | 14,000 | 67 | ||||||
Yangzijiang Shipbuilding Holdings | 20,000 | 15 | ||||||
|
| |||||||
5,379 | ||||||||
|
| |||||||
South Africa — 0.6% | ||||||||
AngloGold Ashanti ADR | 18,328 | 568 | ||||||
Gold Fields | 91,051 | 1,130 | ||||||
Impala Platinum Holdings | 27,237 | 443 | ||||||
MMI Holdings | 8,640 | 20 | ||||||
|
| |||||||
2,161 | ||||||||
|
| |||||||
South Korea — 2.9% |
Description | Shares | Market Value ($ Thousands) | ||||||
Hana Financial Group | 2,590 | $ | 80 | |||||
Hyundai Mobis | 3,582 | 944 | ||||||
Hyundai Motor | 7,336 | 1,528 | ||||||
Korea Electric Power ADR | 20,187 | 248 | ||||||
KT ADR | 59,300 | 1,020 | ||||||
KT&G | 23,738 | 1,879 | ||||||
LG.Philips LCD | 10,380 | 332 | ||||||
Samsung Electronics | 2,815 | 3,655 | ||||||
Shinhan Financial Group | 18,080 | 579 | ||||||
SK Telecom ADR | 45,203 | 690 | ||||||
|
| |||||||
10,955 | ||||||||
|
| |||||||
Spain — 1.0% | ||||||||
Abertis Infraestructuras | 681 | 10 | ||||||
Amadeus IT Holding, Cl A | 4,138 | 97 | ||||||
Banco Popular Espanol (A) | 274,946 | 229 | ||||||
Distribuidora Internacional de Alimentacion | 12,196 | 76 | ||||||
Enagas | 47,491 | 972 | ||||||
Grifols | 5,992 | 192 | ||||||
Inditex | 219 | 30 | ||||||
Indra Sistemas | 90,200 | 1,057 | ||||||
Mediaset Espana Comunicacion | 917 | 5 | ||||||
Red Electrica | 5,348 | 248 | ||||||
Tecnicas Reunidas | 21,177 | 986 | ||||||
|
| |||||||
3,902 | ||||||||
|
| |||||||
Sweden — 2.1% | ||||||||
Assa Abloy, Cl B | 4,468 | 162 | ||||||
Atlas Copco, Cl A | 2,558 | 66 | ||||||
Atlas Copco, Cl B | 2,858 | 66 | ||||||
Boliden | 401 | 7 | ||||||
Electrolux, Cl B | 11,750 | 307 | ||||||
Elekta, Cl B | 75,608 | 1,092 | ||||||
Getinge, Cl B | 216 | 7 | ||||||
Hennes & Mauritz, Cl B | 1,132 | 37 | ||||||
Hexagon, Cl B | 4,380 | 108 | ||||||
Holmen, Cl B | 1,130 | 32 | ||||||
Husqvarna, Cl B | 3,927 | 24 | ||||||
Industrivarden, Cl C | 7,239 | 107 | ||||||
Investor, Cl B | 169 | 4 | ||||||
Nordea Bank | 91,533 | 837 | ||||||
Sandvik | 85,989 | 1,284 | ||||||
Scania, Cl B | 1,793 | 37 | ||||||
Skandinaviska Enskilda Banken, Cl A | 88,411 | 711 | ||||||
Svenska Cellulosa, Cl B | 496 | 10 | ||||||
Svenska Handelsbanken, Cl A | 5,426 | 193 | ||||||
Swedbank, Cl A | 22,132 | 408 | ||||||
Swedish Match | 7,226 | 254 | ||||||
Telefonaktiebolaget LM Ericsson, Cl B | 161,515 | 1,504 | ||||||
Telefonaktiebolaget LM Ericsson ADR* (A) | 55,337 | 520 | ||||||
Volvo, Cl B | 831 | 12 | ||||||
|
| |||||||
7,789 | ||||||||
|
| |||||||
Switzerland — 9.1% | ||||||||
Actelion | 229 | 11 | ||||||
Compagnie Financiere Richemont | 5,191 | 401 | ||||||
Credit Suisse Group | 89,980 | 2,131 | ||||||
Georg Fischer | 486 | 180 |
6 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Givaudan | 2,607 | $ | 2,618 | |||||
Implenia | 165 | 7 | ||||||
Informa | 141,834 | 956 | ||||||
Julius Baer Group | 30,000 | 1,028 | ||||||
Lindt & Spruengli | 2 | 6 | ||||||
Nestle | 61,275 | 4,012 | ||||||
Novartis | 65,892 | 4,079 | ||||||
OC Oerlikon | 37,281 | 399 | ||||||
Partners Group Holding | 3,420 | 746 | ||||||
Roche Holding | 32,900 | 6,478 | ||||||
Schweizerische National-Versicherungs-Gesellschaft, Cl V | 176 | 7 | ||||||
SGS | 916 | 2,056 | ||||||
Sika | 456 | 1,002 | ||||||
Sonova Holding | 179 | 20 | ||||||
Sulzer | 11,069 | 1,715 | ||||||
Swatch Group, Cl B | 71 | 34 | ||||||
Swiss Life Holding | 1,957 | 262 | ||||||
Swiss Prime Site | 102 | 8 | ||||||
Swiss Re | 3,553 | 256 | ||||||
Syngenta | 3,466 | 1,390 | ||||||
Transocean | 263 | 12 | ||||||
UBS | 111,828 | 1,752 | ||||||
Weatherford International* | 35,146 | 366 | ||||||
Zurich Insurance Group | 9,378 | 2,394 | ||||||
|
| |||||||
34,326 | ||||||||
|
| |||||||
Taiwan — 0.1% | ||||||||
United Microelectronics ADR* (A) | 100,323 | 192 | ||||||
|
| |||||||
Thailand — 0.1% | ||||||||
Total Access Communication | 72,900 | 208 | ||||||
|
| |||||||
United Kingdom — 18.3% | ||||||||
3i Group | 6,959 | 24 | ||||||
Aberdeen Asset Management | 27,722 | 150 | ||||||
Admiral Group | 2,794 | 50 | ||||||
Afren* | 327,600 | 717 | ||||||
Aggreko | 6,470 | 231 | ||||||
Amec | 85,317 | 1,427 | ||||||
Amlin | 194,698 | 1,206 | ||||||
Associated British Foods | 8,603 | 204 | ||||||
AstraZeneca | 29,601 | 1,407 | ||||||
Aviva | 198,128 | 1,113 | ||||||
Babcock International Group | 13,824 | 221 | ||||||
BAE Systems | 199,103 | 1,044 | ||||||
Balfour Beatty | 197,285 | 817 | ||||||
Barclays | 347,997 | 1,372 | ||||||
Barratt Developments* | 40,784 | 127 | ||||||
BG Group | 190,069 | 3,259 | ||||||
BHP Billiton | 87,781 | 2,760 | ||||||
Bodycote | 1,419 | 10 | ||||||
BP | 194,643 | 1,346 | ||||||
BP PLC ADR | 7,724 | 323 | ||||||
British American Tobacco | 45,553 | 2,390 | ||||||
British Land‡ | 5,909 | 52 | ||||||
British Sky Broadcasting Group | 583 | 7 | ||||||
BT Group, Cl A | 155,588 | 582 | ||||||
Bunzl | 77,396 | 1,276 |
Description | Shares | Market Value ($ Thousands) | ||||||
Burberry Group | 2,422 | $ | 50 | |||||
Cairn Energy | 118,607 | 511 | ||||||
Capita | 95,904 | 1,172 | ||||||
Carnival | 1,109 | 45 | ||||||
Catlin Group | 9,789 | 76 | ||||||
Centrica | 212,674 | 1,111 | ||||||
Cobham | 9,603 | 33 | ||||||
Compass Group | 17,776 | 205 | ||||||
Croda International | 3,366 | 128 | ||||||
Diageo | 56,505 | 1,682 | ||||||
Direct Line Insurance Group* | 71,400 | 232 | ||||||
Elementis | 2,201 | 8 | ||||||
Eurasian Natural Resources | 61,869 | 268 | ||||||
GlaxoSmithKline | 41,270 | 883 | ||||||
Group 4 Securicor | 39,595 | 157 | ||||||
Hammerson‡ | 11,043 | 83 | ||||||
Hogg Robinson Group | 12,437 | 10 | ||||||
Home Retail Group (A) | 716,511 | 1,283 | ||||||
HSBC Holdings | 316,843 | 3,230 | ||||||
ICAP | 140,735 | 657 | ||||||
IMI | 3,027 | 51 | ||||||
Imperial Tobacco Group | 24,797 | 993 | ||||||
Inmarsat | 5,518 | 52 | ||||||
InterContinental Hotels Group | 10,666 | 285 | ||||||
Intermediate Capital Group | 4,503 | 21 | ||||||
Intertek Group | 6,603 | 327 | ||||||
ITV | 117,052 | 185 | ||||||
J Sainsbury | 2,642 | 14 | ||||||
Johnson Matthey | 8,613 | 331 | ||||||
Kazakhmys | 19,406 | 222 | ||||||
Keller Group | 2,804 | 29 | ||||||
Kingfisher | 283,196 | 1,262 | ||||||
Land Securities Group‡ | 6,913 | 90 | ||||||
Legal & General Group | 100,339 | 234 | ||||||
Lloyds Banking Group* | 606,357 | 452 | ||||||
London Stock Exchange Group | 4,160 | 65 | ||||||
Marks & Spencer Group | 2,234 | 14 | ||||||
Meggitt | 12,582 | 79 | ||||||
Melrose Industries | 21,428 | 73 | ||||||
Michael Page International | 105,848 | 604 | ||||||
Micro Focus International | 3,095 | 29 | ||||||
Mondi | 6,088 | 63 | ||||||
National Grid | 15,186 | 171 | ||||||
Next | 4,303 | 252 | ||||||
Old Mutual | 72,824 | 200 | ||||||
Pearson | 5,484 | 104 | ||||||
Persimmon* | 1,011 | 13 | ||||||
Petrofac | 76,578 | 1,998 | ||||||
Polyus Gold International* | 112,264 | 371 | ||||||
Premier Oil* | 161,044 | 868 | ||||||
Prudential | 128,460 | 1,863 | ||||||
QinetiQ | 56,751 | 180 | ||||||
Reckitt Benckiser Group | 152 | 10 | ||||||
Reed Elsevier | 59,322 | 611 | ||||||
Rexam | 167,897 | 1,178 | ||||||
Rio Tinto | 29,978 | 1,486 | ||||||
Rolls-Royce Holdings | 111,477 | 1,591 | ||||||
Royal Bank of Scotland Group* | 5,349 | 25 | ||||||
Royal Dutch Shell, Cl A | 39,390 | 1,320 | ||||||
Royal Dutch Shell, Cl B | 34,193 | 1,181 | ||||||
Royal Dutch Shell, Cl A (GBP) | 8,247 | 276 | ||||||
SABMiller | 7,031 | 318 |
7 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Sage Group | 2,814 | $ | 14 | |||||
Savills | 997 | 7 | ||||||
Segro‡ | 4,036 | 15 | ||||||
Serco Group | 1,104 | 10 | ||||||
Severn Trent | 5,685 | 147 | ||||||
Shire | 64,409 | 1,864 | ||||||
Smiths Group | 588 | 10 | ||||||
SSE | 699 | 16 | ||||||
Standard Chartered | 107 | 2 | ||||||
Standard Life | 31,616 | 162 | ||||||
Subsea 7 | 44,860 | 1,026 | ||||||
Tate & Lyle | 1,042 | 13 | ||||||
Taylor Wimpey PLC | 9,898 | 10 | ||||||
Tesco | 643,081 | 3,351 | ||||||
Tullow Oil | 45,816 | 1,011 | ||||||
Unilever | 33,554 | 1,292 | ||||||
United Utilities Group | 7,575 | 83 | ||||||
Vodafone Group | 1,142,649 | 2,951 | ||||||
Whitbread | 3,621 | 139 | ||||||
William Hill | 46,210 | 250 | ||||||
Willis Group Holdings | 27,400 | 961 | ||||||
Wolseley | 10,315 | 479 | ||||||
WPP | 107,245 | 1,471 | ||||||
|
| |||||||
68,714 | ||||||||
|
| |||||||
United States — 1.1% | ||||||||
Alon USA Energy | 502 | 7 | ||||||
Autoliv | 8,500 | 513 | ||||||
Axis Capital Holdings | 11,108 | 400 | ||||||
Bassett Furniture Industries | 723 | 8 | ||||||
Cognizant Technology Solutions, Cl A* | 8,200 | 551 | ||||||
ConocoPhillips | 8,249 | 470 | ||||||
International Shipholding | 1,160 | 19 | ||||||
Manpower | 7,793 | 300 | ||||||
Mosaic | 2,684 | 145 | ||||||
Newmont Mining | 20,200 | 951 | ||||||
Phillips 66 | 8,774 | 459 | ||||||
Tesoro | 6,197 | 262 | ||||||
Unisys | 2,168 | 38 | ||||||
|
| |||||||
4,123 | ||||||||
|
| |||||||
Total Common Stock | 346,033 | |||||||
|
| |||||||
PREFERRED STOCK — 0.4% |
| |||||||
Brazil — 0.0% | ||||||||
Centrais Eletricas Brasileiras, Cl B | 31,100 | 143 | ||||||
|
| |||||||
Germany — 0.4% | ||||||||
Bayerische Motoren Werke | 104 | 6 | ||||||
Henkel | 6,076 | 508 | ||||||
KSB | 15 | 7 | ||||||
ProSiebenSat.1 Media | 5,456 | 160 | ||||||
RWE | 494 | 18 | ||||||
Volkswagen | 3,265 | 707 | ||||||
|
| |||||||
1,406 | ||||||||
|
| |||||||
Total Preferred Stock | 1,549 | |||||||
|
|
Description | Shares/Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
Number Of Rights | ||||||||||||
RIGHTS — 0.0% |
| |||||||||||
Switzerland — 0.0% |
| |||||||||||
Swiss Prime Site, Expires 12/05/12 |
| 102 | $ | — | ||||||||
|
| |||||||||||
Total Rights |
| — | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 2.0% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.180%†** (D) | 7,397,422 | 7,397 | ||||||||||
|
| |||||||||||
Total Affiliated Partnership | 7,397 | |||||||||||
|
| |||||||||||
CASH EQUIVALENT — 4.5% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 16,878,614 | 16,879 | ||||||||||
|
| |||||||||||
Total Cash Equivalent | 16,879 | |||||||||||
|
| |||||||||||
TIME DEPOSITS — 2.4% |
| |||||||||||
Brown Brothers Harriman | ||||||||||||
4.150%, 12/01/2012 | ZAR | 6 | 1 | |||||||||
2.404%, 12/01/2012 | AUD | 19 | 20 | |||||||||
1.550%, 12/01/2012 | NZD | — | — | |||||||||
0.550%, 12/01/2012 | NOK | 147 | 26 | |||||||||
0.350%, 12/01/2012 | SEK | 62 | 9 | |||||||||
0.198%, 12/01/2012 | CAD | 10 | 10 | |||||||||
0.071%, 12/01/2012 | GBP | 48 | 77 | |||||||||
0.030%, 12/01/2012 | 8,604 | 8,605 | ||||||||||
0.010%, 12/01/2012 | JPY | 2,658 | 32 | |||||||||
0.010%, 12/01/2012 | SGD | 29 | 24 | |||||||||
0.005%, 12/01/2012 | CHF | 42 | 46 | |||||||||
0.005%, 12/01/2012 | HKD | 34 | 5 | |||||||||
(0.150)%, 12/01/2012 | DKK | 74 | 13 | |||||||||
(0.030)%, 12/01/2012 | EUR | 23 | 29 | |||||||||
|
| |||||||||||
Total Time Deposits |
| 8,897 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (E) (F) — 0.3% |
| |||||||||||
U.S. Treasury Bills | $ | 1,100 | 1,100 | |||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 1,100 | ||||||||||
|
| |||||||||||
Total Investments — 101.8% |
| $ | 381,855 | |||||||||
|
|
8 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
International Equity Fund
November 30, 2012
A list of the open futures contracts held by the Fund at November 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 171 | Dec-2012 | $ | 111 | ||||||||
FTSE 100 Index | 59 | Dec-2012 | 71 | |||||||||
Hang Seng Index | 7 | Dec-2012 | 2 | |||||||||
SPI 200 Index | 17 | Dec-2012 | 28 | |||||||||
Topix Index | 43 | Dec-2012 | 216 | |||||||||
|
| |||||||||||
$ | 428 | |||||||||||
|
|
For the period ended November 30, 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 period.
A list of the open forward foreign currency contracts held by the Fund at November 30, 2012, is as follows:
Settlement Date | Currency to Deliver | Currency to Receive | Unrealized (Depreciation) | |||||||||||||
2/9/13-2/19/13 | EUR | 1,103 | USD 1,409 | $ | (27) | |||||||||||
|
|
A list of the counterparties for the open forward foreign currency contracts held by the Fund at November 30, 2012, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized (Depreciation) ($ Thousands) | |||||||||
Brown Brothers Harriman | (1,436) | 1,409 | $ | (27) | ||||||||
|
|
For the period ended November 30, 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 period.
Percentages are based on a Net Assets of $375,266 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 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 November 30, 2012. The total value of securities on loan at November 30, 2012 was $7,111 ($ 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) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of November 30, 2012 was $761 ($ Thousands) and represented 0.20% of Net Assets. |
(D) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2012 was $7,397 ($ Thousands). |
(E) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(F) | The rate reported is the effective yield at time of purchase. |
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 Krona
Ser — Series
SGD — Singapore Dollar
SPI — Share Price Index
USD — U.S. Dollar
ZAR — South African Rand
The following is a summary of the inputs used as of November 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Common Stock | $ | 340,439 | $ | 5,443 | $ | 151 | $ | 346,033 | ||||||||
Preferred Stock | 1,542 | 7 | — | 1,549 | ||||||||||||
Right | — | — | — | — | ||||||||||||
Time Deposits | 8,897 | — | — | 8,897 | ||||||||||||
U.S. Treasury Obligation | — | 1,100 | — | 1,100 | ||||||||||||
Cash Equivalent | 16,879 | — | — | 16,879 | ||||||||||||
Affiliated Partnership | — | 7,397 | — | 7,397 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 367,757 | $ | 13,947 | $ | 151 | $ | 381,855 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 428 | $ | — | $ | — | $ | 428 | ||||||||
Forwards Contracts* | — | (27 | ) | — | (27 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 428 | $ | (27 | ) | $ | — | | $ | 401 | ||||||
|
|
|
|
|
|
|
|
(1) | A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. |
* | Futures and forwards contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended November 30, 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 period ended November 30, 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 $O.
The accompanying notes are an integral part of the financial statements.
9 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 94.8% | ||||||||
Argentina — 0.0% | ||||||||
MercadoLibre | 8,600 | $ | 619 | |||||
|
| |||||||
Australia — 1.6% | ||||||||
Amcor | 545,746 | 4,498 | ||||||
Australia & New Zealand Banking Group | 251,237 | 6,385 | ||||||
Australia & New Zealand Banking Group ADR | 870,800 | 22,214 | ||||||
Beach Energy | 693,563 | 1,042 | ||||||
BGP Holdings* | 239,898 | — | ||||||
BHP Billiton ADR | 346,600 | 24,969 | ||||||
Caltex Australia | 648,708 | 12,372 | ||||||
CSL | 28,579 | 1,541 | ||||||
Downer EDI | 177,763 | 655 | ||||||
Flight Centre | 23,533 | 663 | ||||||
Nufarm | 93,961 | 573 | ||||||
Resolute Mining | 580,019 | 1,122 | ||||||
Rio Tinto | 31,730 | 1,945 | ||||||
Santos | 212,126 | 2,465 | ||||||
Sigma Pharmaceuticals | 489,088 | 344 | ||||||
Telstra | 827,950 | 3,723 | ||||||
Telstra ADR | 559,600 | 12,596 | ||||||
|
| |||||||
97,107 | ||||||||
|
| |||||||
Austria — 0.9% | ||||||||
AMS | 3,657 | 395 | ||||||
Conwert Immobilien Invest* | 933,351 | 11,520 | ||||||
Erste Group Bank | 503,873 | 14,820 | ||||||
Schoeller-Bleckmann Oilfield Equipment | 266,870 | 27,653 | ||||||
|
| |||||||
54,388 | ||||||||
|
| |||||||
Belgium — 0.4% | ||||||||
D’ieteren | 8,095 | 386 | ||||||
InBev | 293,427 | 25,718 | ||||||
|
| |||||||
26,104 | ||||||||
|
| |||||||
Brazil — 4.3% | ||||||||
Banco Bradesco ADR | 2,447,700 | 41,219 | ||||||
Banco do Brasil | 2,389,700 | 24,838 | ||||||
BM&F Bovespa | 1,175,440 | 7,160 | ||||||
BR Malls Participacoes | 1,765,507 | 22,990 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo | 27,000 | 1,108 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo ADR | 604,451 | 49,184 | ||||||
Cia Paranaense de Energia ADR | 1,312,400 | 17,652 | ||||||
Cia Vale do Rio Doce ADR, Cl B | 1,233,500 | 21,500 | ||||||
Cosan, Cl A | 208,165 | 3,372 | ||||||
Embraer ADR (A) | 449,854 | 11,215 | ||||||
Natura Cosmeticos | 452,900 | 12,152 | ||||||
Petroleo Brasileiro ADR | 855,600 | 15,375 | ||||||
Telefonica Brasil ADR | 71,784 | 1,575 | ||||||
Tim Participacoes ADR | 366,114 | 6,491 | ||||||
Totvs | 1,168,887 | 22,174 | ||||||
|
| |||||||
258,005 | ||||||||
|
| |||||||
Canada — 5.0% | ||||||||
Agrium | 329,220 | 33,605 | ||||||
Alimentation Couche Tard, Cl B | 109,990 | 5,433 |
Description | Shares | Market Value ($ Thousands) | ||||||
Canadian National Railway | 219,000 | $ | 19,696 | |||||
Cascades | 32,900 | 137 | ||||||
Celestica* | 139,300 | 1,031 | ||||||
Cenovus Energy | 284,317 | 9,548 | ||||||
CGI Group, Cl A* | 203,900 | 4,680 | ||||||
Dorel Industries, Cl B | 21,800 | 808 | ||||||
Empire, Cl A | 32,200 | 1,869 | ||||||
Enbridge | 39,960 | 1,618 | ||||||
EnCana | 143,700 | 3,139 | ||||||
Golden Star Resources* (A) | 542,165 | 988 | ||||||
Granite Real Estate‡ (A) | 87,730 | 3,254 | ||||||
Magna International, Cl A (A) | 465,900 | 21,680 | ||||||
Manulife Financial (A) | 1,971,000 | 25,327 | ||||||
Methanex | 130,500 | 3,949 | ||||||
Onex | 52,000 | 2,131 | ||||||
Poseidon Concepts | 1,591,761 | 6,378 | ||||||
Potash Corp of Saskatchewan | 397,650 | 15,318 | ||||||
Quebecor, Cl B | 57,000 | 2,172 | ||||||
Rogers Communications, Cl B (A) | 322,900 | 14,262 | ||||||
Saputo | 74,600 | 3,458 | ||||||
Suncor Energy (A) | 367,400 | 12,006 | ||||||
Teck Cominco, Cl B | 336,200 | 11,382 | ||||||
Toronto-Dominion Bank | 271,600 | 22,564 | ||||||
Valeant Pharmaceuticals International | 412,502 | 22,981 | ||||||
West Fraser Timber | 28,200 | 1,978 | ||||||
Yamana Gold | 2,562,328 | 48,229 | ||||||
|
| |||||||
299,621 | ||||||||
|
| |||||||
Chile — 0.0% | ||||||||
Enersis ADR | 128,805 | 2,183 | ||||||
|
| |||||||
China — 3.6% | ||||||||
Anhui Conch Cement | 5,360,500 | 17,845 | ||||||
Baidu ADR* | 153,552 | 14,789 | ||||||
Bank of China | 3,526,000 | 1,488 | ||||||
China Merchants Bank | 5,483,772 | 10,500 | ||||||
China Oilfield Services | 11,649,400 | 23,269 | ||||||
China Petroleum & Chemical | 32,732,900 | 34,718 | ||||||
China Shipping Container Lines* | 44,163,900 | 11,682 | ||||||
China Telecom | 3,914,000 | 2,131 | ||||||
Industrial & Commercial Bank of China | 41,283,645 | 27,860 | ||||||
Mindray Medical International ADR (A) | 546,700 | 18,495 | ||||||
PetroChina | 172,000 | 230 | ||||||
Shanghai Friendship Group, Cl B | 241,620 | 251 | ||||||
Sinopharm Group | 3,022,586 | 9,380 | ||||||
Tencent Holdings | 370,335 | 12,099 | ||||||
Weichai Power | 5,659,600 | 21,287 | ||||||
Yanzhou Coal Mining ADR (A) | 727,900 | 11,188 | ||||||
|
| |||||||
217,212 | ||||||||
|
| |||||||
Colombia — 0.3% | ||||||||
BanColombia ADR, Cl R (A) | 310,900 | 19,982 | ||||||
|
| |||||||
Czech Republic — 0.2% |
1 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Komercni Banka | 64,300 | $ | 12,813 | |||||
|
| |||||||
Denmark — 1.0% | ||||||||
AP Moeller - Maersk, Cl B | 207 | 1,478 | ||||||
Carlsberg, Cl B | 260,900 | 25,404 | ||||||
Coloplast, Cl B | 12,014 | 2,805 | ||||||
GN Store Nord | 114,164 | 1,613 | ||||||
Novo-Nordisk, Cl B | 193,919 | 30,800 | ||||||
|
| |||||||
62,100 | ||||||||
|
| |||||||
Finland — 0.1% | ||||||||
Orion, Cl B | 23,900 | 640 | ||||||
Stora Enso, Cl R | 891,945 | 5,841 | ||||||
UPM-Kymmene | 198,080 | 2,228 | ||||||
|
| |||||||
8,709 | ||||||||
|
| |||||||
France — 3.6% | ||||||||
Air France-KLM* | 53,973 | 495 | ||||||
Air Liquide | 175,367 | 21,419 | ||||||
Arkema | 80,139 | 8,198 | ||||||
BNP Paribas | 254,115 | 14,193 | ||||||
Capital Gemini | 354,764 | 15,019 | ||||||
Compagnie Generale des Etablissements Michelin, Cl B | 265,774 | 24,718 | ||||||
France Telecom ADR (A) | 1,885,600 | 20,195 | ||||||
LVMH Moet Hennessy Louis Vuitton | 160,676 | 28,191 | ||||||
Publicis Groupe | 302,641 | 17,120 | ||||||
Sanofi-Aventis | 461,008 | 41,167 | ||||||
Societe Generale | 258,861 | 9,361 | ||||||
Teleperformance | 86,530 | 3,011 | ||||||
Thales | 50,602 | 1,820 | ||||||
Total | 160,476 | 8,030 | ||||||
Valeo | 26,885 | 1,275 | ||||||
Wendel | 16,126 | 1,513 | ||||||
|
| |||||||
215,725 | ||||||||
|
| |||||||
Germany — 8.4% | ||||||||
Adidas | 320,308 | 28,170 | ||||||
Allianz | 137,606 | 17,888 | ||||||
BASF | 236,356 | 21,180 | ||||||
Bayer | 179,223 | 16,212 | ||||||
Beiersdorf | 65,905 | 5,169 | ||||||
Bilfinger | 23,923 | 2,338 | ||||||
Celesio | 100,416 | 1,705 | ||||||
Continental | 58,220 | 6,444 | ||||||
Deutsche Bank | 352,200 | 15,547 | ||||||
Deutsche Boerse | 414,300 | 23,337 | ||||||
Deutsche Lufthansa | 963,214 | 15,985 | ||||||
Deutsche Post | 594,720 | 12,345 | ||||||
Dialog Semiconductor* | 1,142,552 | 23,249 | ||||||
Duerr | 23,660 | 1,973 | ||||||
Freenet | 141,397 | 2,633 | ||||||
Fresenius Medical Care | 312,544 | 21,463 | ||||||
GEA Group | 767,729 | 25,087 | ||||||
Gildemeister | 37,137 | 715 | ||||||
Hannover Rueckversicherung | 32,817 | 2,418 | ||||||
Henkel | 352,067 | 23,856 | ||||||
Hugo Boss | 247,714 | 25,980 | ||||||
Infineon Technologies | 108,916 | 835 | ||||||
Kabel Deutschland Holding | 356,717 | 25,795 | ||||||
KUKA* | 51,050 | 1,734 | ||||||
Lanxess | 33,550 | 2,921 |
Description | Shares | Market Value ($ Thousands) | ||||||
Leoni | 33,135 | $ | 1,149 | |||||
Merck KGaA | 11,012 | 1,473 | ||||||
Muenchener Rueckversicherungs | 117,048 | 19,980 | ||||||
Norddeutsche Affinerie | 119,040 | 7,565 | ||||||
Rheinmetall | 137,991 | 6,388 | ||||||
SAP | 729,719 | 56,982 | ||||||
Siemens | 462,401 | 47,691 | ||||||
Suedzucker | 316,122 | 12,454 | ||||||
Symrise | 796,885 | 27,750 | ||||||
TUI | 28,868 | 287 | ||||||
|
| |||||||
506,698 | ||||||||
|
| |||||||
Hong Kong — 3.1% | ||||||||
AAC Technologies Holdings | 1,344,000 | 5,046 | ||||||
AIA Group | 4,433,659 | 17,248 | ||||||
Chaoda Modern Agriculture* | 52,790 | 8 | ||||||
China Mobile | 1,363,500 | 15,588 | ||||||
CLP Holdings | 1,136,000 | 9,960 | ||||||
CNOOC | 11,008,322 | 23,551 | ||||||
Daphne International Holdings | 1,440,100 | 1,895 | ||||||
First Pacific | 20,615,289 | 21,653 | ||||||
Hang Seng Bank | 751,600 | 11,482 | ||||||
Hong Kong Exchanges and Clearing | 1,139,800 | 18,207 | ||||||
Jardine Matheson Holdings | 394,332 | 23,274 | ||||||
Link‡ | 924,000 | 5,013 | ||||||
New World Development | 512,000 | 811 | ||||||
Orient Overseas International | 3,755,000 | 23,838 | ||||||
Power Assets Holdings | 516,000 | 4,541 | ||||||
SJM Holdings | 1,603,000 | 3,781 | ||||||
Yue Yuen Industrial Holdings | 397,500 | 1,393 | ||||||
|
| |||||||
187,289 | ||||||||
|
| |||||||
India — 1.1% | ||||||||
Hindustan Unilever | 475,868 | 4,708 | ||||||
ICICI Bank ADR | 972,700 | 39,871 | ||||||
Indian Bank | 90,444 | 305 | ||||||
ITC | 1,068,660 | 5,864 | ||||||
JBF Industries | 28,129 | 66 | ||||||
Tata Motors ADR (A) | 516,700 | 12,954 | ||||||
Zuari Holdings* | 6,801 | 40 | ||||||
|
| |||||||
63,808 | ||||||||
|
| |||||||
Indonesia — 1.4% | ||||||||
Altisource Portfolio Solutions* | 22,494 | 2,392 | ||||||
Bank Rakyat Indonesia Persero | 34,741,742 | 25,531 | ||||||
Charoen Pokphand Indonesia | 57,340,418 | 20,471 | ||||||
Kalbe Farma | 228,216,345 | 24,502 | ||||||
Semen Gresik Persero | 1,148,000 | 1,771 | ||||||
Telekomunikasi Indonesia | 3,403,500 | 3,193 | ||||||
Telekomunikasi Indonesia ADR | 101,663 | 3,867 | ||||||
|
| |||||||
81,727 | ||||||||
|
| |||||||
Ireland — 1.3% | ||||||||
Accenture, Cl A | 235,133 | 15,970 | ||||||
Covidien | 286,100 | 16,625 | ||||||
Experian | 1,366,498 | 22,711 | ||||||
ICON ADR* | 821,867 | 22,675 | ||||||
|
| |||||||
77,981 | ||||||||
|
| |||||||
Israel — 1.3% | ||||||||
Bank Hapoalim (B) | 891,142 | 3,677 | ||||||
Ceragon Networks* | 345,741 | 1,777 |
2 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Check Point Software Technologies | 313,666 | $ | 14,482 | |||||
Israel Chemicals (B) | 934,480 | 11,526 | ||||||
Israel Discount Bank, Cl A* (B) | 449,363 | 672 | ||||||
Teva Pharmaceutical Industries ADR | 1,060,950 | 42,809 | ||||||
|
| |||||||
74,943 | ||||||||
|
| |||||||
Italy — 0.6% | ||||||||
Enel | 637,034 | 2,414 | ||||||
Exor | 167,879 | 4,153 | ||||||
Lottomatica | 135,664 | 2,987 | ||||||
Tod’s | 204,294 | 24,910 | ||||||
|
| |||||||
34,464 | ||||||||
|
| |||||||
Japan — 11.6% | ||||||||
Aeon | 2,013,900 | 22,515 | ||||||
Aisin Seiki | 135,900 | 4,014 | ||||||
Alfresa Holdings | 84,100 | 3,528 | ||||||
Alpine Electronics | 80,100 | 677 | ||||||
Aoyama Trading | 29,400 | 534 | ||||||
Arnest One | 68,600 | 936 | ||||||
Astellas Pharma | 13,400 | 678 | ||||||
Autobacs Seven | 13,500 | 526 | ||||||
Avex Group Holdings | 15,600 | 336 | ||||||
Calsonic Kansei | 850,000 | 3,917 | ||||||
Central Japan Railway | 61,300 | 4,854 | ||||||
COMSYS Holdings | 123,100 | 1,446 | ||||||
Daicel | 586,000 | 3,567 | ||||||
Daihatsu Motor | 391,000 | 6,936 | ||||||
Dai-ichi Life Insurance | 2,034 | 2,304 | ||||||
Daiichikosho | 23,200 | 540 | ||||||
Daikyo | 1,523,000 | 3,657 | ||||||
Dainippon Sumitomo Pharma | 505,300 | 5,943 | ||||||
Daito Trust Construction | 179,400 | 17,381 | ||||||
Daiwa House Industry | 1,224,000 | 18,701 | ||||||
DCM Japan Holdings | 66,300 | 427 | ||||||
Dena | 756,946 | 27,765 | ||||||
Denso | 682,500 | 22,419 | ||||||
EDION | 243,300 | 950 | ||||||
FamilyMart | 62,200 | 2,757 | ||||||
FANUC | 72,950 | 12,296 | ||||||
Fuji Heavy Industries | 96,000 | 1,077 | ||||||
Fuji Heavy Industries ADR | 1,379,000 | 31,014 | ||||||
Fujitsu | 1,367,000 | 5,172 | ||||||
GMO internet | 73,600 | 448 | ||||||
Hino Motors | 388,000 | 3,331 | ||||||
HIS | 97,900 | 3,015 | ||||||
Hitachi | 9,565,300 | 55,209 | ||||||
Hitachi High-Technologies | 39,400 | 875 | ||||||
Honda Motor ADR (A) | 633,100 | 21,082 | ||||||
Hoosiers | 328 | 230 | ||||||
Idemitsu Kosan | 19,000 | 1,557 | ||||||
IHI | 1,284,000 | 2,849 | ||||||
Isetan Mitsukoshi Holdings | 335,200 | 2,983 | ||||||
IT Holdings | 142,200 | 1,740 | ||||||
Iwatani | 101,000 | 377 | ||||||
Izumi | 63,700 | 1,420 | ||||||
Japan Airlines* | 26,900 | 1,236 | ||||||
Japan Securities Finance | 997,201 | 4,716 | ||||||
JGC | 156,000 | 5,136 | ||||||
KDDI | 618,847 | 45,774 | ||||||
Kewpie | 23,300 | 339 |
Description | Shares | Market Value ($ Thousands) | ||||||
Komatsu | 1,401,363 | $ | 31,385 | |||||
Konica Minolta Holdings | 518,500 | 3,697 | ||||||
Kyowa Exeo | 52,900 | 534 | ||||||
LIXIL Group | 37,800 | 800 | ||||||
Maeda Road Construction | 87,000 | 1,181 | ||||||
Medipal Holdings | 522,200 | 6,174 | ||||||
Megane TOP | 38,400 | 468 | ||||||
Misawa Homes | 98,000 | 1,401 | ||||||
Mitsubishi Estate | 273,000 | 5,260 | ||||||
Mitsubishi UFJ Financial Group | 4,646,475 | 21,241 | ||||||
Mitsui ADR | 82,300 | 22,879 | ||||||
Mitsui Matsushima | 258,000 | 416 | ||||||
Mizuho Financial Group | 14,193,700 | 22,718 | ||||||
Namco Bandai Holdings | 439,500 | 6,166 | ||||||
NEC Networks & System Integration | 39,800 | 712 | ||||||
NET One Systems | 136,000 | 1,319 | ||||||
Nichii Gakkan | 280,900 | 2,210 | ||||||
Nihon Kohden | 11,700 | 384 | ||||||
Nippo | 166,000 | 1,908 | ||||||
Nippon Flour Mills | 78,000 | 329 | ||||||
Nippon Light Metal Holdings | 1,073,000 | 963 | ||||||
Nippon Steel & Sumitomo Metal | 5,574,000 | 12,774 | ||||||
Nippon Telegraph & Telephone | 196,900 | 8,798 | ||||||
Nissan Tokyo Sales Holdings* | 327,000 | 1,273 | ||||||
Nitto Denko ADR (A) | 1,039,060 | 27,223 | ||||||
Nomura Real Estate Holdings | 97,500 | 1,683 | ||||||
North Pacific Bank* | 224,800 | 586 | ||||||
NTT Data | 706 | 2,044 | ||||||
Oriental Land | 6,800 | 875 | ||||||
Otsuka | 27,900 | 2,213 | ||||||
Otsuka Holdings | 132,500 | 3,931 | ||||||
Round One | 72,600 | 409 | ||||||
Secom | 489,600 | 25,053 | ||||||
Sega Sammy Holdings | 637,300 | 10,602 | ||||||
Seino Holdings | 201,000 | 1,216 | ||||||
Sekisui Chemical | 152,000 | 1,191 | ||||||
Shimachu | 24,700 | 520 | ||||||
Ship Healthcare Holdings | 33,900 | 1,055 | ||||||
SKY Perfect JSAT Holdings | 4,256 | 1,809 | ||||||
Softbank | 746,483 | 27,969 | ||||||
Sojitz | 1,141,600 | 1,440 | ||||||
Sumisho Computer Systems | 13,400 | 229 | ||||||
Sumitomo Osaka Cement | 104,000 | 328 | ||||||
Suzuken | 146,000 | 4,346 | ||||||
Sysmex | 505,689 | 22,841 | ||||||
Toagosei | 341,000 | 1,460 | ||||||
Toho Holdings | 150,900 | 2,884 | ||||||
Tokyo Seimitsu | 60,500 | 998 | ||||||
Toshiba TEC | 168,000 | 843 | ||||||
Toyoda Gosei | 69,000 | 1,443 | ||||||
Toyota Motor | 738,369 | 31,649 | ||||||
Unipres | 53,700 | 1,283 | ||||||
United Arrows | 19,300 | 495 | ||||||
Watabe Wedding | 7,955 | 58 | ||||||
Zeon | 210,000 | 1,698 | ||||||
|
| |||||||
694,548 | ||||||||
|
| |||||||
Jersey — 0.0% | ||||||||
Randgold Resources ADR | 7,395 | 794 | ||||||
|
| |||||||
Malaysia — 0.1% |
3 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Axiata Group | 1,737,600 | $ | 3,384 | |||||
Hong Leong Financial Group | 94,700 | 398 | ||||||
RHB Capital | 180,000 | 444 | ||||||
Telekom Malaysia | 2,081,500 | 3,745 | ||||||
Tenaga Nasional | 333,700 | 762 | ||||||
|
| |||||||
8,733 | ||||||||
|
| |||||||
Mexico — 0.9% | ||||||||
Alfa, Cl A | 1,345,040 | 2,803 | ||||||
America Movil ADR, Ser L | 369,412 | 8,715 | ||||||
Cemex ADR* | 296,949 | 2,643 | ||||||
Fomento Economico Mexicano ADR | 69,660 | 6,832 | ||||||
Grupo Financiero Banorte, Ser O | 1,298,800 | 7,419 | ||||||
Grupo Financiero Santander Mexico ADR* | 422,901 | 6,178 | ||||||
Wal-Mart de Mexico | 5,345,900 | 16,793 | ||||||
|
| |||||||
51,383 | ||||||||
|
| |||||||
Netherlands — 3.0% | ||||||||
ASML Holding | 42,746 | 2,671 | ||||||
Chicago Bridge & Iron (A) | 616,107 | 25,032 | ||||||
Core Laboratories | 335,800 | 34,648 | ||||||
CSM | 10,955 | 217 | ||||||
European Aeronautic Defense and Space | 395,164 | 13,306 | ||||||
Heineken | 79,451 | 5,240 | ||||||
Koninklijke Philips Electronics | 401,659 | 10,375 | ||||||
Koninklijke Vopak | 36,030 | 2,662 | ||||||
LyondellBasell Industries, Cl A | 485,182 | 24,128 | ||||||
NXP Semiconductor | 1,033,493 | 25,300 | ||||||
Reed Elsevier | 1,762,200 | 25,452 | ||||||
Royal KPN | 829,028 | 4,690 | ||||||
TNT* | 879,071 | 2,987 | ||||||
Yandex, Cl A* | 272,700 | 5,950 | ||||||
|
| |||||||
182,658 | ||||||||
|
| |||||||
New Zealand — 0.1% | ||||||||
Chorus | 229,090 | 639 | ||||||
Telecom of New Zealand | 1,145,450 | 2,172 | ||||||
|
| |||||||
2,811 | ||||||||
|
| |||||||
Norway — 2.3% | ||||||||
DnB | 2,253,837 | 28,076 | ||||||
Norsk Hydro | 3,126,500 | 14,994 | ||||||
Seadrill | 1,008,557 | 38,822 | ||||||
Statoil | 425,543 | 10,407 | ||||||
Statoil ADR | 1,658,000 | 40,438 | ||||||
Yara International | 48,763 | 2,446 | ||||||
|
| |||||||
135,183 | ||||||||
|
| |||||||
Poland — 0.2% | ||||||||
KGHM Polska Miedz | 233,381 | 13,191 | ||||||
Polski Koncern Naftowy Orlen* | 37,153 | 537 | ||||||
Tauron Polska Energia | 321,681 | 440 | ||||||
|
| |||||||
14,168 | ||||||||
|
| |||||||
Qatar — 0.4% | ||||||||
Industries Qatar QSC (B) | 583,428 | 24,410 | ||||||
|
| |||||||
Russia — 0.6% | ||||||||
Lukoil ADR | 216,580 | 13,629 |
Description | Shares | Market Value ($ Thousands) | ||||||
Mail.ru Group GDR | 750,135 | $ | 24,755 | |||||
|
| |||||||
38,384 | ||||||||
|
| |||||||
Singapore — 1.8% | ||||||||
Avago Technologies | 711,491 | 24,973 | ||||||
DBS Group Holdings | 1,779,000 | 21,063 | ||||||
Golden Agri-Resources | 22,210,400 | 12,011 | ||||||
Keppel | 2,556,342 | 22,433 | ||||||
Oversea-Chinese Banking | 229,000 | 1,766 | ||||||
STX OSV Holdings | 671,000 | 762 | ||||||
United Overseas Bank | 98,000 | 1,503 | ||||||
United Overseas Bank ADR | 719,200 | 22,079 | ||||||
UOB-Kay Hian Holdings | 55,000 | 73 | ||||||
|
| |||||||
106,663 | ||||||||
|
| |||||||
South Africa — 0.6% | ||||||||
Life Healthcare Group Holdings | 872,800 | 3,145 | ||||||
MTN Group | 58,874 | 1,085 | ||||||
Sasol ADR | 775,100 | 32,825 | ||||||
Telkom | 253,773 | 441 | ||||||
|
| |||||||
37,496 | ||||||||
|
| |||||||
South Korea — 4.2% | ||||||||
Hana Financial Group | 357,820 | 11,103 | ||||||
Hanjin Shipping | 540,910 | 5,270 | ||||||
Hyundai Mobis | 79,729 | 21,021 | ||||||
Hyundai Motor | 127,912 | 26,637 | ||||||
Kia Motors | 198,936 | 11,372 | ||||||
KISCO Holdings | 616 | 20 | ||||||
Korea Zinc | 8,574 | 3,456 | ||||||
KT | 121,340 | 4,224 | ||||||
LG.Philips LCD | 369,420 | 11,804 | ||||||
POSCO | 42,795 | 12,785 | ||||||
POSCO ADR (A) | 284,200 | 21,141 | ||||||
Samsung Electronics | 52,846 | 68,617 | ||||||
Samsung Heavy Industries | 131,920 | 4,441 | ||||||
SK Holdings | 60,747 | 10,070 | ||||||
SK Telecom | 6,110 | 849 | ||||||
SK Telecom ADR | 1,520,400 | 23,217 | ||||||
Woori Finance Holdings | 372,880 | 3,495 | ||||||
Woori Finance Holdings ADR (A) | 392,000 | 11,094 | ||||||
|
| |||||||
250,616 | ||||||||
|
| |||||||
Spain — 0.4% | ||||||||
Amadeus IT Holding, Cl A | 835,264 | 19,500 | ||||||
Banco Popular Espanol | 360 | — | ||||||
Grifols | 106,875 | 3,419 | ||||||
|
| |||||||
22,919 | ||||||||
�� |
| |||||||
Sweden — 2.5% | ||||||||
BillerudKorsnas | 58,221 | 616 | ||||||
Electrolux, Cl B | 287,402 | 7,514 | ||||||
Getinge, Cl B | 1,111,198 | 35,796 | ||||||
Hennes & Mauritz, Cl B | 595,005 | 19,292 | ||||||
Hexagon, Cl B | 1,056,844 | 26,125 | ||||||
Husqvarna, Cl B | 169,889 | 1,020 | ||||||
Kinnevik Investment, Cl B | 44,044 | 857 | ||||||
Nordea Bank | 449,340 | 4,110 | ||||||
Skandinaviska Enskilda Banken, Cl A | 194,601 | 1,565 | ||||||
Svenska Cellulosa, Cl B | 86,032 | 1,740 | ||||||
Svenska Cellulosa ADR | 643,000 | 13,066 | ||||||
Svenska Handelsbanken, Cl A | 202,500 | 7,192 |
4 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Swedbank, Cl A | 836,087 | $ | 15,432 | |||||
Telefonaktiebolaget LM Ericsson ADR (A) | 1,790,600 | 16,814 | ||||||
|
| |||||||
151,139 | ||||||||
|
| |||||||
Switzerland — 4.1% | ||||||||
Banque Cantonale Vaudoise | 538 | 295 | ||||||
Credit Suisse Group ADR | 546,700 | 12,908 | ||||||
Forbo Holding | 3,531 | 2,278 | ||||||
Georg Fischer | 4,141 | 1,535 | ||||||
Julius Baer Group | 342,572 | 11,737 | ||||||
Nestle | 388,727 | 25,449 | ||||||
Novartis | 333,212 | 20,628 | ||||||
Novartis ADR | 271,500 | 16,846 | ||||||
OC Oerlikon | 1,018,811 | 10,910 | ||||||
Roche Holding | 171,688 | 33,804 | ||||||
Swatch Group, Cl B | 21,580 | 10,427 | ||||||
Swiss Life Holding | 38,451 | 5,147 | ||||||
Swiss Re | 95,432 | 6,876 | ||||||
Syngenta | 42,270 | 16,951 | ||||||
Transocean | 466,200 | 21,539 | ||||||
UBS | 843,186 | 13,197 | ||||||
Zurich Insurance Group ADR (A) | 1,348,600 | 34,497 | ||||||
|
| |||||||
245,024 | ||||||||
|
| |||||||
Taiwan — 1.1% | ||||||||
Advanced Semiconductor Engineering ADR | 5,504,397 | 22,733 | ||||||
Fubon Financial Holding | 9,047,949 | 10,277 | ||||||
Hermes Microvision | 97,000 | 2,110 | ||||||
HON HAI Precision Industry | 96,000 | 308 | ||||||
Hwa Fong Rubber* | 383,000 | 80 | ||||||
Long Bon International | 488,000 | 340 | ||||||
Novatek Microelectronics | 1,279,000 | 5,150 | ||||||
Taishin Financial Holding | 2,389,610 | 909 | ||||||
Taiwan Semiconductor Manufacturing | 2,449,000 | 8,320 | ||||||
Taiwan Semiconductor Manufacturing ADR (A) | 754,000 | 13,022 | ||||||
United Microelectronics | 4,159,000 | 1,610 | ||||||
United Microelectronics ADR (A) | 1,211,600 | 2,314 | ||||||
|
| |||||||
67,173 | ||||||||
|
| |||||||
Thailand — 1.4% | ||||||||
Advanced Info Service | 2,787,300 | 19,981 | ||||||
Airports of Thailand | 238,300 | 730 | ||||||
Bangkok Bank | 1,527,600 | 9,109 | ||||||
Bangkok Dusit Medical Services, Cl F | 835,500 | 3,049 | ||||||
CP ALL | 18,269,231 | 23,514 | ||||||
Kasikornbank | 326,000 | 1,986 | ||||||
Krung Thai Bank | 10,849,250 | 6,505 | ||||||
Shin | 1,192,500 | 2,467 | ||||||
Siam Commercial Bank | 938,500 | 4,969 | ||||||
Thanachart Capital | 708,200 | 825 | ||||||
Total Access Communication | 4,517,000 | 12,915 | ||||||
|
| |||||||
86,050 | ||||||||
|
| |||||||
Turkey — 1.3% | ||||||||
Akbank | 3,943,563 | 18,504 | ||||||
Ipek Dogal Enerji Kaynaklari Ve Uretim* | 496,924 | 1,653 |
Description | Shares | Market Value ($ Thousands) | ||||||
KOC Holding ADR (A) | 593,443 | $ | 13,572 | |||||
Koza Anadolu Metal Madencilik Isletmeleri* | 820,596 | 2,527 | ||||||
Turk Hava Yollari* | 2,165,095 | 6,377 | ||||||
Turkcell Iletisim Hizmet* | 285,119 | 1,716 | ||||||
Turkiye Garanti Bankasi | 1,854,529 | 8,805 | ||||||
Turkiye Halk Bankasi | 639,635 | 6,196 | ||||||
Turkiye Is Bankasi, Cl C | 1,544,365 | 4,981 | ||||||
Turkiye Vakiflar Bankasi Tao, Cl D | 4,525,161 | 10,971 | ||||||
|
| |||||||
75,302 | ||||||||
|
| |||||||
United Kingdom — 16.9% | ||||||||
3i Group | 6,722,439 | 22,797 | ||||||
Aberdeen Asset Management | 1,076,430 | 5,831 | ||||||
Amec | 232,300 | 3,887 | ||||||
ARM Holdings | 1,090,492 | 13,527 | ||||||
ARM Holdings ADR | 1,504,053 | 56,131 | ||||||
Associated British Foods | 50,674 | 1,200 | ||||||
AstraZeneca | 456,670 | 21,711 | ||||||
AstraZeneca ADR | 736,000 | 34,989 | ||||||
BAE Systems ADR (A) | 1,095,000 | 23,214 | ||||||
Barclays | 10,019,196 | 39,501 | ||||||
Barratt Developments* | 843,600 | 2,638 | ||||||
BG Group | 665,519 | 11,413 | ||||||
BHP Billiton | 161,626 | 5,082 | ||||||
BP | 1,365,661 | 9,446 | ||||||
BP PLC ADR | 251,812 | 10,516 | ||||||
British American Tobacco | 570,177 | 29,918 | ||||||
Burberry Group | 416,289 | 8,586 | ||||||
Cairn Energy | 970,496 | 4,179 | ||||||
Carnival | 563,650 | 22,809 | ||||||
Centrica | 263,873 | 1,378 | ||||||
Debenhams | 2,537,129 | 4,794 | ||||||
Diageo | 1,382,918 | 41,157 | ||||||
Diageo ADR | 203,600 | 24,344 | ||||||
Drax Group | 152,300 | 1,320 | ||||||
easyJet | 255,118 | 2,925 | ||||||
EnQuest* | 459,062 | 839 | ||||||
Eurasian Natural Resources | 399,770 | 1,731 | ||||||
Firstgroup | 92,598 | 277 | ||||||
GKN | 481,310 | 1,712 | ||||||
Home Retail Group | 1,009,815 | 1,808 | ||||||
HSBC Holdings | 6,467,878 | 65,973 | ||||||
Imagination Technologies Group* | 3,069,811 | 19,994 | ||||||
Imperial Tobacco Group | 1,039,295 | 41,590 | ||||||
InterContinental Hotels Group | 264,516 | 7,071 | ||||||
Intermediate Capital Group | 330,795 | 1,544 | ||||||
Kazakhmys | 448,622 | 5,130 | ||||||
Kingfisher | 4,202,826 | 18,725 | ||||||
Marks & Spencer Group ADR | 990,400 | 12,410 | ||||||
Micro Focus International | 120,601 | 1,108 | ||||||
Mitie Group | 95,300 | 410 | ||||||
Mondi | 334,634 | 3,440 | ||||||
Pace | 116,725 | 343 | ||||||
Pearson | 763,434 | 14,413 | ||||||
Petrofac | 145,450 | 3,795 | ||||||
QinetiQ | 448,082 | 1,421 | ||||||
Reckitt Benckiser Group | 431,315 | 27,131 | ||||||
Reed Elsevier | 693,500 | 7,141 | ||||||
Rio Tinto | 136,721 | 6,779 | ||||||
Rio Tinto ADR (A) | 968,600 | 48,236 |
5 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Rolls-Royce Holdings | 969,540 | $ | 13,837 | |||||
Royal Bank of Scotland Group* | 1,585,075 | 7,499 | ||||||
Royal Dutch Shell, Cl A | 1,388,919 | 46,551 | ||||||
Royal Dutch Shell, Cl A (GBP) | 120,089 | 4,022 | ||||||
Royal Dutch Shell ADR, Cl A | 493,300 | 33,036 | ||||||
SABMiller | 317,988 | 14,410 | ||||||
Sage Group | 4,833,838 | 24,139 | ||||||
Sage Group ADR | 577,600 | 11,506 | ||||||
Shire | 1,068,368 | 30,923 | ||||||
Standard Chartered | 915,541 | 21,349 | ||||||
Tate & Lyle | 28,837 | 357 | ||||||
Taylor Wimpey PLC | 1,720,162 | 1,681 | ||||||
Unilever ADR | 594,200 | 22,788 | ||||||
Vodafone Group | 8,513,140 | 21,987 | ||||||
Weir Group | 849,294 | 25,725 | ||||||
WH Smith | 40,700 | 424 | ||||||
Whitbread | 158,380 | 6,089 | ||||||
William Hill | 559,001 | 3,021 | ||||||
Wolseley | 91,810 | 4,263 | ||||||
WPP | 1,706,526 | 23,411 | ||||||
|
| |||||||
1,013,332 | ||||||||
|
| |||||||
United States — 3.1% | ||||||||
Axis Capital Holdings | 639,600 | 23,007 | ||||||
Boise (A) | 298,237 | 2,445 | ||||||
Calamos Asset Management, Cl A | 36,343 | 356 | ||||||
Cambrex | 100,750 | 1,105 | ||||||
Carnival | 464,500 | 17,958 | ||||||
Central Garden and Pet* | 35,753 | 400 | ||||||
ConocoPhillips | 157,653 | 8,977 | ||||||
Delek US Holdings | 61,298 | 1,610 | ||||||
Everest Re Group | 221,500 | 24,026 | ||||||
PDL BioPharma (A) | 136,930 | 1,082 | ||||||
Phillips 66 | 277,749 | 14,546 | ||||||
RenaissanceRe Holdings | 145,700 | 12,058 | ||||||
Schlumberger | 376,020 | 26,931 | ||||||
Tesoro | 181,447 | 7,671 | ||||||
Universal (A) | 29,838 | 1,489 | ||||||
Virgin Media (A) | 753,022 | 26,484 | ||||||
Western Refining (A) | 38,884 | 1,130 | ||||||
Yum! Brands | 265,000 | 17,776 | ||||||
|
| |||||||
189,051 | ||||||||
|
| |||||||
Total Common Stock | 5,699,315 | |||||||
|
| |||||||
PREFERRED STOCK — 0.7% | ||||||||
Brazil — 0.2% | ||||||||
Cia de Bebidas das Americas ADR (A) | 26,149 | 1,088 | ||||||
Itau Unibanco Holding ADR | 669,600 | 10,144 | ||||||
Telefonica Brasil | 43,600 | 960 | ||||||
|
| |||||||
12,192 | ||||||||
|
| |||||||
Germany — 0.5% | ||||||||
Henkel | 48,084 | 4,018 | ||||||
ProSiebenSat.1 Media | 78,719 | 2,304 | ||||||
Volkswagen | 103,090 | 22,318 | ||||||
|
| |||||||
28,640 | ||||||||
|
| |||||||
Total Preferred Stock | 40,832 | |||||||
|
|
Description | Shares/Face Amount (1) ($Thousands) | Market Value ($ Thousands) | ||||||
EXCHANGE TRADED FUND — 0.4% | ||||||||
United States — 0.4% | ||||||||
iShares MSCI Emerging Markets Index Fund | 553,400 | $ | 23,132 | |||||
|
| |||||||
Total Exchange Traded Fund | 23,132 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP (C) — 6.6% |
| |||||||
SEI Liquidity Fund, L.P. | 395,260,256 | 395,260 | ||||||
|
| |||||||
Total Affiliated Partnership | 395,260 | |||||||
|
| |||||||
CASH EQUIVALENT — 1.4% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 83,200,953 | 83,201 | ||||||
|
| |||||||
Total Cash Equivalent | 83,201 | |||||||
|
| |||||||
TIME DEPOSITS — 1.9% | ||||||||
Brown Brothers Harriman | ||||||||
(0.150)%, 12/01/2012 DKK | 2 | — | ||||||
(0.030)%, 12/01/2012 EUR | 1,148 | 1,493 | ||||||
4.150%, 12/01/2012 ZAR | 53 | 6 | ||||||
2.404%, 12/01/2012 AUD | 433 | 452 | ||||||
1.550%, 12/01/2012 NZD | — | — | ||||||
0.550%, 12/01/2012 NOK | 3,362 | 594 | ||||||
0.350%, 12/01/2012 SEK | 1 | — | ||||||
0.198%, 12/01/2012 CAD | 334 | 337 | ||||||
0.071%, 12/01/2012 GBP | 742 | 1,189 | ||||||
0.030%, 12/01/2012 | 111,575 | 111,575 | ||||||
0.010%, 12/01/2012 JPY | 68,854 | 835 | ||||||
0.010%, 12/01/2012 SGD | 34 | 28 | ||||||
0.005%, 12/01/2012 CHF | 10 | 10 | ||||||
0.005%, 12/01/2012 HKD | 610 | 79 | ||||||
|
| |||||||
Total Time Deposits | 116,598 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (D) (E) — 0.4% |
| |||||||
U.S. Treasury Bills | ||||||||
0.234%, 02/07/2013 | $ | 2,200 | 2,200 | |||||
0.135%, 01/31/2013 | 20,600 | 20,598 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 22,798 | |||||||
|
| |||||||
Total Investments — 106.2% | $ | 6,381,136 | ||||||
|
|
6 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund
November 30, 2012
A list of the open futures contracts held by the Fund at November 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 1,040 | Dec-2012 | $ | 22 | ||||||||
FTSE 100 Index | 351 | Dec-2012 | 177 | |||||||||
Hang Seng Index | 45 | Dec-2012 | 8 | |||||||||
S&P TSX 60 Index | 106 | Dec-2012 | (91 | ) | ||||||||
SPI 200 Index | 114 | Dec-2012 | 142 | |||||||||
Topix Index | 303 | Dec-2012 | 955 | |||||||||
|
| |||||||||||
$ | 1,213 | |||||||||||
|
|
For the period ended November 30, 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 period.
A list of the open forward foreign currency contracts held by the Fund at November 30, 2012, is as follows:
Settlement Date | Currency to Deliver | Currency to Receive | Unrealized (Depreciation) ($ Thousands) | |||||||||
5/8/13 | EUR | 17,652 | USD | 22,644 | $ | (348 | ) | |||||
|
|
A list of the counterparties for the open forward foreign currency contracts held by the Fund at November 30, 2012, is as follows:
Counterparty | Currency to Deliver | Currency to Receive | Unrealized (Depreciation) ($ Thousands) | |||||||||
State Street | (22,992 | ) | 22,644 | $ | (348 | ) | ||||||
|
|
For the period ended November 30, 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 period.
Percentages are based on a Net Assets of $6,009,158 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 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 November 30, 2012. The total value of securities on loan at November 30, 2012 was $383,918 ($ Thousands). |
(B) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of November 30, 2012 was $40,284 ($ Thousands) and represented 0.67% of Net Assets. |
(C) | This security was purchased with cash collateral held from securities on loan (see Note 11). The total value of such securities as of November 30, 2012 was $395,260 ($ 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. |
ADR — American Depositary Receipt
ARM — Adjustable Rate Mortgage
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
MSCI — Morgan Stanley Capital International
NOK — Norwegian Krone
NZD — New Zealand Dollar
PLC — Public Limited Company
S&P — Standard & Poor’s
SEK — Swedish Krona
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 summary of the inputs used as of November 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Common Stock | $ | 5,634,616 | $ | 64,651 | $ | 48 | $ | 5,699,315 | ||||||||
Preferred Stock | 40,832 | — | — | 40,832 | ||||||||||||
Exchange Traded Fund | 23,132 | — | — | 23,132 | ||||||||||||
Affiliated Partnership | — | 395,260 | — | 395,260 | ||||||||||||
Cash Equivalent | 83,201 | — | — | 83,201 | ||||||||||||
Time Deposits | 116,598 | — | — | 116,598 | ||||||||||||
U.S. Treasury Obligations | — | 22,798 | — | 22,798 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 5,898,379 | $ | 482,709 | $ | 48 | $ | 6,381,136 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 1,213 | $ | — | $ | — | $ | 1,213 | ||||||||
Forwards Contracts* | — | (348 | ) | — | (348 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 1,213 | $ | (348 | ) | $ | — | $ | 865 | |||||||
|
|
|
|
|
|
|
|
(1) | A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. |
* | Futures and forwards contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended November 30, 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 period ended November 30, 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 $O.
The accompanying notes are an integral part of the financial statements.
7 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 90.3% | ||||||||
Argentina — 0.0% | ||||||||
MercadoLibre | 200 | $ | 14 | |||||
|
| |||||||
Australia — 2.3% | ||||||||
Australia & New Zealand Banking Group | 13,401 | 341 | ||||||
BGP Holdings* | 4,500 | — | ||||||
BHP Billiton ADR | 5,200 | 375 | ||||||
Commonwealth Bank of Australia | 5,675 | 353 | ||||||
CSL | 1,900 | 102 | ||||||
Troy Resources | 2,528 | 11 | ||||||
Woodside Petroleum | 7,000 | 247 | ||||||
|
| |||||||
1,429 | ||||||||
|
| |||||||
Austria — 1.9% | ||||||||
Conwert Immobilien Invest* | 14,703 | 182 | ||||||
Erste Group Bank | 7,559 | 222 | ||||||
Immobilien Anlagen | 1,213 | 17 | ||||||
OMV | 7,463 | 267 | ||||||
Schoeller-Bleckmann Oilfield Equipment | 4,191 | 434 | ||||||
Strabag | 1,589 | 42 | ||||||
Voestalpine | 106 | 3 | ||||||
|
| |||||||
1,167 | ||||||||
|
| |||||||
Belgium — 0.0% | ||||||||
Recticel | 4,647 | 30 | ||||||
|
| |||||||
Brazil — 2.4% | ||||||||
Banco Bradesco ADR | 14,600 | 246 | ||||||
Banco do Brasil | 37,200 | 387 | ||||||
BM&F Bovespa | 20,999 | 128 | ||||||
BR Malls Participacoes | 5,100 | 66 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo | 1,800 | 74 | ||||||
Cielo | 2,050 | 54 | ||||||
Duratex | 9,300 | 65 | ||||||
Embraer ADR | 6,787 | 169 | ||||||
Natura Cosmeticos | 8,465 | 227 | ||||||
Raia Drogasil | 5,900 | 59 | ||||||
|
| |||||||
1,475 | ||||||||
|
| |||||||
Canada — 4.5% | ||||||||
Agrium | 2,900 | 296 | ||||||
Bank of Nova Scotia | 100 | 6 | ||||||
Barrick Gold | 3,120 | 108 | ||||||
Canadian National Railway | 2,804 | 252 | ||||||
Canadian Natural Resources | 6,700 | 193 | ||||||
Cenovus Energy | 4,974 | 167 | ||||||
Cogeco | 400 | 13 | ||||||
Enbridge | 550 | 22 | ||||||
EnCana | 7,400 | 162 | ||||||
Imperial Oil | 6,100 | 260 | ||||||
Intertape Polymer Group | 6,340 | 52 | ||||||
Magellan Aerospace* | 1,300 | 4 | ||||||
Nexen | 9,400 | 231 | ||||||
Onex | 100 | 4 | ||||||
Parkland Fuel | 1,391 | 25 | ||||||
Potash Corp of Saskatchewan | 6,078 | 234 | ||||||
Rogers Communications, Cl B | 4,600 | 203 |
Description | Shares | Market Value ($ Thousands) | ||||||
Teck Cominco, Cl B | 4,900 | $ | 166 | |||||
Toronto-Dominion Bank | 3,200 | 267 | ||||||
Westjet Airlines | 3,675 | 70 | ||||||
Yamana Gold | 3,380 | 63 | ||||||
|
| |||||||
2,798 | ||||||||
|
| |||||||
Chile — 0.1% | ||||||||
Enersis ADR | 2,851 | 48 | ||||||
|
| |||||||
China — 5.1% | ||||||||
Agricultural Bank of China | 10,000 | 4 | ||||||
Anhui Conch Cement | 82,000 | 273 | ||||||
Baidu ADR* | 1,895 | 182 | ||||||
Bank of China | 481,000 | 203 | ||||||
China Merchants Bank | 87,245 | 167 | ||||||
China Oilfield Services | 173,800 | 347 | ||||||
China Railway Construction | 67,400 | 75 | ||||||
China Shipping Container Lines* | 664,000 | 176 | ||||||
Industrial & Commercial Bank of China | 983,222 | 664 | ||||||
Mindray Medical International ADR | 8,200 | 277 | ||||||
PICC Property & Casualty | 58,000 | 75 | ||||||
Sinopharm Group | 49,825 | 155 | ||||||
Tencent Holdings | 7,444 | 243 | ||||||
Weichai Power | 84,200 | 317 | ||||||
|
| |||||||
3,158 | ||||||||
|
| |||||||
Colombia — 0.5% | ||||||||
BanColombia ADR, Cl R | 4,700 | 302 | ||||||
|
| |||||||
Czech Republic — 0.3% | ||||||||
Komercni Banka | 1,000 | 199 | ||||||
|
| |||||||
Denmark — 0.9% | ||||||||
Novo-Nordisk, Cl B | 3,542 | 563 | ||||||
|
| |||||||
Finland — 0.1% | ||||||||
Norvestia, Cl B | 38 | — | ||||||
Stora Enso, Cl R | 518 | 4 | ||||||
Tieto | 1,555 | 30 | ||||||
|
| |||||||
34 | ||||||||
|
| |||||||
France — 4.0% | ||||||||
Air Liquide | 2,599 | 317 | ||||||
Arkema | 710 | 73 | ||||||
AXA | 10,982 | 181 | ||||||
BNP Paribas | 3,271 | 183 | ||||||
Cie Lebon | 46 | 6 | ||||||
Compagnie Generale des Etablissements Michelin, Cl B | 6,057 | 563 | ||||||
Les Nouveaux Constructeurs Investissement | 2,195 | 16 | ||||||
L’Oreal | 730 | 99 | ||||||
LVMH Moet Hennessy Louis Vuitton | 2,403 | 422 | ||||||
Publicis Groupe | 4,635 | 262 | ||||||
Societe Generale | 6,641 | 240 | ||||||
UBISOFT Entertainment* | 11,900 | 119 | ||||||
Vivendi | 519 | 11 | ||||||
|
| |||||||
2,492 | ||||||||
|
| |||||||
Germany — 6.2% |
1 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Adidas | 4,745 | $ | 417 | |||||
ADVA Optical Networking* | 249 | 1 | ||||||
Allianz | 2,069 | 269 | ||||||
Aurelius | 449 | 24 | ||||||
BASF | 7,037 | 631 | ||||||
Bayer | 3,535 | 320 | ||||||
Borussia Dortmund GmbH & KGaA | 6,049 | 21 | ||||||
Continental | 1,066 | 118 | ||||||
CropEnergies | 1,762 | 11 | ||||||
Deutsche Bank | 5,800 | 256 | ||||||
Freenet | 3,653 | 68 | ||||||
Fresenius Medical Care | 5,702 | 392 | ||||||
Kabel Deutschland Holding | 1,180 | 85 | ||||||
Leifheit | 624 | 25 | ||||||
Patrizia Immobilien* | 5,233 | 44 | ||||||
SAP | 6,752 | 527 | ||||||
Schuler | 1,229 | 30 | ||||||
Siemens | 3,510 | 362 | ||||||
Volkswagen | 1,142 | 232 | ||||||
|
| |||||||
3,833 | ||||||||
|
| |||||||
Hong Kong — 4.3% | ||||||||
AIA Group | 58,131 | 226 | ||||||
Alco Holdings | 30,415 | 6 | ||||||
Allan International Holdings | 11,683 | 3 | ||||||
China Mobile | 26,000 | 297 | ||||||
Chuang’s Consortium International | 452,000 | 55 | ||||||
CLP Holdings | 2,500 | 22 | ||||||
CNOOC | 166,030 | 355 | ||||||
CSI Properties | 1,960,000 | 80 | ||||||
Daphne International Holdings | 22,500 | 30 | ||||||
First Pacific | 56,000 | 59 | ||||||
Harbour Centre Development | 7,000 | 11 | ||||||
Hong Kong Exchanges and Clearing | 17,421 | 278 | ||||||
Hong Kong Ferry Holdings | 10,000 | 10 | ||||||
Jardine Matheson Holdings | 3,600 | 212 | ||||||
Luen Thai Holdings | 201,000 | 31 | ||||||
Newocean Energy Holdings | 134,000 | 63 | ||||||
Orient Overseas International | 55,500 | 352 | ||||||
Pacific Textile Holdings | 25,000 | 22 | ||||||
Shimao Property Holdings | 43,000 | 87 | ||||||
SJM Holdings | 43,000 | 101 | ||||||
Sun Art Retail Group | 48,000 | 74 | ||||||
TAI Cheung Holdings | 208,000 | 172 | ||||||
Techtronic Industries | 34,000 | 67 | ||||||
Wing On International | 24,111 | 67 | ||||||
|
| |||||||
2,680 | ||||||||
|
| |||||||
India — 1.2% | ||||||||
Ambuja Cements GDR* | 17,480 | 67 | ||||||
HDFC Bank ADR | 1,690 | 71 | ||||||
ICICI Bank ADR | 15,300 | 627 | ||||||
|
| |||||||
765 | ||||||||
|
| |||||||
Indonesia — 0.3% | ||||||||
Asahimas Flat Glass | 3,000 | 3 | ||||||
Telekomunikasi Indonesia ADR | 5,029 | 191 | ||||||
|
| |||||||
194 | ||||||||
|
| |||||||
Ireland — 1.3% | ||||||||
Accenture, Cl A | 3,182 | 216 | ||||||
Covidien | 4,551 | 265 |
Description | Shares | Market Value ($ Thousands) | ||||||
ICON ADR* | 12,433 | $ | 343 | |||||
|
| |||||||
824 | ||||||||
|
| |||||||
Israel — 1.0% | ||||||||
Ceragon Networks* | 9,659 | 50 | ||||||
Check Point Software Technologies | 5,171 | 239 | ||||||
Teva Pharmaceutical Industries ADR | 8,015 | 323 | ||||||
|
| |||||||
612 | ||||||||
|
| |||||||
Italy — 0.6% | ||||||||
Danieli & C Officine Meccaniche | 145 | 4 | ||||||
Enel | 33,760 | 128 | ||||||
Exor | 2,305 | 57 | ||||||
Fiat | 35,417 | 164 | ||||||
|
| |||||||
353 | ||||||||
|
| |||||||
Japan — 10.3% | ||||||||
ABC-Mart | 1,500 | 64 | ||||||
Amuse | 1,500 | 29 | ||||||
AOI Electronic | 200 | 3 | ||||||
Argo Graphics | 2,100 | 27 | ||||||
AT-Group | 4,000 | 51 | ||||||
Belluna | 5,450 | 40 | ||||||
C-Cube | 4,500 | 17 | ||||||
Central Japan Railway | 600 | 48 | ||||||
Chuo Spring | 3,000 | 11 | ||||||
Create Restaurants Holdings | 1,000 | 21 | ||||||
Daihatsu Motor | 3,000 | 53 | ||||||
Dai-ichi Life Insurance | 37 | 42 | ||||||
Daito Trust Construction | 600 | 58 | ||||||
Daiwa House Industry | 4,000 | 61 | ||||||
Dena | 2,600 | 95 | ||||||
Denso | 10,200 | 335 | ||||||
East Japan Railway | 1,000 | 66 | ||||||
Faith | 153 | 16 | ||||||
FANUC | 1,101 | 186 | ||||||
Fuji Kiko* | 2,000 | 6 | ||||||
Fujitec | 4,000 | 28 | ||||||
Fujitsu | 18,000 | 68 | ||||||
Futaba Industrial | 10,300 | 40 | ||||||
Gamecard-Joyco Holdings | 1,000 | 16 | ||||||
Happinet | 9,400 | 67 | ||||||
HIS | 5,200 | 160 | ||||||
Hitachi | 86,000 | 496 | ||||||
Hokkaido Coca-Cola Bottling | 1,000 | 5 | ||||||
Hokkan Holdings | 5,000 | 14 | ||||||
Hokuriku Gas | 8,000 | 20 | ||||||
Honda Motor ADR | 9,900 | 330 | ||||||
Ichikoh Industries* | 3,000 | 4 | ||||||
IT Holdings | 200 | 2 | ||||||
JGC | 2,000 | 66 | ||||||
Justsystems* | 8,800 | 33 | ||||||
Kamei | 4,000 | 35 | ||||||
KDDI | 4,269 | 316 | ||||||
Keiyo Gas | 1,000 | 5 | ||||||
Komatsu | 12,197 | 273 | ||||||
Komatsu Wall Industry | 1,600 | 21 | ||||||
KRS | 2,100 | 23 | ||||||
KU Holdings | 700 | 4 | ||||||
Maeda Road Construction | 13,000 | 176 | ||||||
Marubun | 2,400 | 10 | ||||||
Maruzen - General Commercial Kitchen Appliances & Equipment | 2,000 | 14 |
2 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Medipal Holdings | 1,200 | $ | 14 | |||||
Mimasu Semiconductor Industry | 1,500 | 11 | ||||||
Mitani | 4,800 | 56 | ||||||
Mitsubishi Estate | 4,000 | 77 | ||||||
Mitsubishi UFJ Financial Group | 123,919 | 566 | ||||||
Murakami | 1,000 | 12 | ||||||
Nagawa | 300 | 5 | ||||||
Nakayo Telecommunications | 5,000 | 14 | ||||||
Namura Shipbuilding | 7,200 | 21 | ||||||
Nichireki | 4,000 | 20 | ||||||
NIFTY | 20 | 32 | ||||||
Nihon Tokushu Toryo | 1,600 | 7 | ||||||
Nippon Steel & Sumitomo Metal | 84,000 | 193 | ||||||
Nippon Telegraph & Telephone | 6,100 | 273 | ||||||
Nishikawa Rubber | 400 | 4 | ||||||
Nisshin Fudosan | 5,200 | 28 | ||||||
Nissin Sugar Holdings | 2,300 | 42 | ||||||
NTT Data | 12 | 35 | ||||||
Oriental Land | 500 | 64 | ||||||
Otsuka Holdings | 4,500 | 134 | ||||||
Pacific Industrial | 4,000 | 23 | ||||||
Rokko Butter | 2,800 | 19 | ||||||
San-Ai Oil | 3,000 | 13 | ||||||
Sankyo Frontier | 2,000 | 12 | ||||||
Secom | 7,400 | 379 | ||||||
Seibu Electric Industry | 2,000 | 8 | ||||||
Seino Holdings | 20,000 | 121 | ||||||
Senshu Electric | 5,000 | 56 | ||||||
Shidax | 2,600 | 13 | ||||||
Shin Nippon Air Technologies | 2,000 | 11 | ||||||
Shiroki | 9,000 | 21 | ||||||
Sinko Industries | 1,100 | 6 | ||||||
Soken Chemical & Engineering | 700 | 6 | ||||||
Starts | 1,500 | 10 | ||||||
Sumitomo Densetsu | 3,600 | 35 | ||||||
TBK | 2,000 | 10 | ||||||
TKC | 600 | 10 | ||||||
Tokai | 3,000 | 79 | ||||||
Tokyu Construction | 11,670 | 22 | ||||||
Toyota Motor | 8,154 | 350 | ||||||
Toyota Tsusho | 200 | 5 | ||||||
Vital KSK Holdings | 1,400 | 14 | ||||||
Warabeya Nichiyo | 5,900 | 108 | ||||||
Yachiyo Industry | 600 | 4 | ||||||
|
| |||||||
6,398 | ||||||||
|
| |||||||
Malaysia — 0.4% | ||||||||
AirAsia | 28,200 | 26 | ||||||
AMMB Holdings | 30,400 | 64 | ||||||
Axiata Group | 48,100 | 94 | ||||||
DRB-Hicom | 18,300 | 15 | ||||||
Gamuda | 52,800 | 63 | ||||||
Hong Leong Financial Group | 2,700 | 11 | ||||||
|
| |||||||
273 | ||||||||
|
| |||||||
Mexico — 1.0% | ||||||||
Fomento Economico Mexicano ADR | 1,270 | 124 | ||||||
Grupo KUO De | 900 | 2 | ||||||
Grupo Simec, Ser B, Cl B* | 5,900 | 24 | ||||||
Industrias, Ser B* | 31,600 | 203 |
Description | Shares | Market Value ($ Thousands) | ||||||
Wal-Mart de Mexico | 80,105 | $ | 252 | |||||
|
| |||||||
605 | ||||||||
|
| |||||||
Netherlands — 2.3% | ||||||||
ASML Holding | 653 | 41 | ||||||
Core Laboratories | 5,000 | 516 | ||||||
European Aeronautic Defense and Space | 6,258 | 211 | ||||||
ING Groep | 288 | 3 | ||||||
Koninklijke Philips Electronics | 728 | 19 | ||||||
Royal KPN | 12,435 | 70 | ||||||
SNS Reaal* | 1,762 | 2 | ||||||
Unilever | 13,303 | 505 | ||||||
Yandex, Cl A* | 3,414 | 74 | ||||||
|
| |||||||
1,441 | ||||||||
|
| |||||||
Norway — 1.0% | ||||||||
DnB | 32,350 | 403 | ||||||
Norsk Hydro | 46,958 | 225 | ||||||
|
| |||||||
628 | ||||||||
|
| |||||||
Peru — 0.1% | ||||||||
Credicorp | 590 | 83 | ||||||
|
| |||||||
Philippines — 0.4% | ||||||||
Benpres Holdings (A) | 1,077,100 | 165 | ||||||
Megaworld (A) | 968,000 | 60 | ||||||
Metropolitan Bank & Trust (A) | 21,700 | 53 | ||||||
|
| |||||||
278 | ||||||||
|
| |||||||
Poland — 0.7% | ||||||||
Getin Holding* | 3,605 | 3 | ||||||
KGHM Polska Miedz | 4,424 | 250 | ||||||
Polski Koncern Naftowy Orlen* | 9,007 | 130 | ||||||
Powszechny Zaklad Ubezpieczen | 530 | 66 | ||||||
|
| |||||||
449 | ||||||||
|
| |||||||
Russia — 0.0% | ||||||||
Surgutneftegas ADR | 3,407 | 29 | ||||||
|
| |||||||
Singapore — 1.4% | ||||||||
Bukit Sembawang Estates | 11,000 | 53 | ||||||
DBS Group Holdings | 23,000 | 272 | ||||||
Golden Agri-Resources | 8,000 | 4 | ||||||
GP Batteries International | 17,000 | 13 | ||||||
Ho Bee Investment | 7,000 | 9 | ||||||
Keppel | 8,000 | 70 | ||||||
Oversea-Chinese Banking | 2,000 | 16 | ||||||
Popular Holdings | 41,000 | 8 | ||||||
QAF | 39,000 | 23 | ||||||
United Industrial | 89,000 | 201 | ||||||
United Overseas Bank | 10,000 | 154 | ||||||
UOB-Kay Hian Holdings | 33,000 | 44 | ||||||
|
| |||||||
867 | ||||||||
|
| |||||||
South Africa — 0.4% | ||||||||
MTN Group | 13,920 | 256 | ||||||
|
| |||||||
South Korea — 4.2% | ||||||||
Hanjin Shipping | 7,016 | 68 | ||||||
Hyundai Glovis | 315 | 69 | ||||||
Hyundai Mobis | 1,229 | 324 |
3 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Hyundai Motor | 1,941 | $ | 404 | |||||
Hyundai Wia | 435 | 73 | ||||||
Kia Motors | 603 | 34 | ||||||
KyungDong City Gas | 297 | 22 | ||||||
LG.Philips LCD | 510 | 16 | ||||||
Nong Shim Holdings | 85 | 5 | ||||||
POSCO | 526 | 157 | ||||||
Samsung Electronics | 834 | 1,083 | ||||||
Samsung Heavy Industries | 1,780 | 60 | ||||||
SK Holdings | 926 | 154 | ||||||
Taekwang Industrial | 123 | 106 | ||||||
YESCO | 1,030 | 29 | ||||||
|
| |||||||
2,604 | ||||||||
|
| |||||||
Spain — 0.4% | ||||||||
Amadeus IT Holding, Cl A | 11,500 | 268 | ||||||
|
| |||||||
Sweden — 2.2% | ||||||||
Getinge, Cl B | 16,691 | 538 | ||||||
Hennes & Mauritz, Cl B | 9,133 | 296 | ||||||
Husqvarna, Cl B | 10,973 | 66 | ||||||
Svenska Cellulosa, Cl B | 243 | 5 | ||||||
Svenska Handelsbanken, Cl A | 2,959 | 105 | ||||||
Swedbank, Cl A | 5,940 | 109 | ||||||
Telefonaktiebolaget LM Ericsson ADR | 27,900 | 262 | ||||||
|
| |||||||
1,381 | ||||||||
|
| |||||||
Switzerland — 5.2% | ||||||||
Credit Suisse Group ADR | 8,200 | 194 | ||||||
Julius Baer Group | 6,560 | 225 | ||||||
Nestle | 6,212 | 407 | ||||||
Novartis | 5,223 | 323 | ||||||
Novartis ADR | 4,100 | 254 | ||||||
OC Oerlikon | 13,246 | 142 | ||||||
Roche Holding | 4,023 | 792 | ||||||
Swatch Group, Cl B | 390 | 188 | ||||||
Swiss Re | 1,620 | 117 | ||||||
Syngenta | 606 | 243 | ||||||
Transocean | 7,100 | 328 | ||||||
|
| |||||||
3,213 | ||||||||
|
| |||||||
Taiwan — 1.8% | ||||||||
Advanced Semiconductor Engineering ADR | 83,153 | 343 | ||||||
Asia Polymer | 45,000 | 39 | ||||||
Asustek Computer | 1,647 | 18 | ||||||
CMC Magnetics* | 78,000 | 12 | ||||||
Elitegroup Computer Systems | 52,000 | 16 | ||||||
Formosa Chemicals & Fibre | 5,000 | 12 | ||||||
Formosa Petrochemical | 7,000 | 21 | ||||||
HON HAI Precision Industry | 8,131 | 26 | ||||||
HON HAI Precision Industry GDR | 31,050 | 196 | ||||||
Nan Ya Plastics | 6,000 | 11 | ||||||
Pegatron* | 3,633 | 5 | ||||||
Quanta Computer | 8,000 | 20 | ||||||
Taiwan Semiconductor Manufacturing ADR | 19,526 | 337 | ||||||
United Microelectronics ADR | 26,991 | 51 | ||||||
Yageo | 72,000 | 22 |
Description | Shares | Market Value ($ Thousands) | ||||||
Zenitron | 23,000 | $ | 14 | |||||
|
| |||||||
1,143 | ||||||||
|
| |||||||
Thailand — 1.1% | ||||||||
Advanced Info Service | 35,300 | 253 | ||||||
Bangkok Dusit Medical Services, Cl F | 18,400 | 67 | ||||||
Minor International | 92,500 | 63 | ||||||
Total Access Communication | 95,500 | 274 | ||||||
|
| |||||||
657 | ||||||||
|
| |||||||
Turkey — 1.2% | ||||||||
Akbank | 59,334 | 278 | ||||||
Turkcell Iletisim Hizmet* | 16,090 | 97 | ||||||
Turkiye Garanti Bankasi | 27,825 | 132 | ||||||
Turkiye Halk Bankasi | 8,990 | 87 | ||||||
Turkiye Is Bankasi, Cl C | 13,056 | 42 | ||||||
Turkiye Vakiflar Bankasi Tao, Cl D | 38,552 | 94 | ||||||
|
| |||||||
730 | ||||||||
|
| |||||||
United Kingdom — 16.1% | ||||||||
Aberdeen Asset Management | 14,850 | 80 | ||||||
Amec | 4,900 | 82 | ||||||
ARM Holdings | 17,979 | 223 | ||||||
ARM Holdings ADR | 23,177 | 865 | ||||||
AstraZeneca | 6,874 | 327 | ||||||
Barclays | 43,067 | 170 | ||||||
BG Group | 12,926 | 222 | ||||||
BHP Billiton | 6,278 | 197 | ||||||
BP | 21,255 | 147 | ||||||
BP PLC ADR | 4,764 | 199 | ||||||
British American Tobacco | 9,691 | 508 | ||||||
Burberry Group | 6,340 | 131 | ||||||
Carnival | 8,021 | 325 | ||||||
Dart Group | 7,297 | 14 | ||||||
Diageo | 21,735 | 647 | ||||||
Elementis | 32,114 | 114 | ||||||
Eurasian Natural Resources | 10,767 | 47 | ||||||
Gem Diamonds | 15,406 | 40 | ||||||
GKN | 20,060 | 71 | ||||||
GlaxoSmithKline | 2,730 | 58 | ||||||
HSBC Holdings | 75,069 | 765 | ||||||
Impellam Group | 800 | 4 | ||||||
Imperial Tobacco Group | 7,727 | 309 | ||||||
Intermediate Capital Group | 3,985 | 19 | ||||||
Johnson Service Group | 14,781 | 8 | ||||||
Kazakhmys | 6,821 | 78 | ||||||
Kingfisher | 69,087 | 308 | ||||||
Lavendon Group | 8,308 | 18 | ||||||
Meggitt | 15,370 | 96 | ||||||
Pearson | 11,339 | 214 | ||||||
Persimmon* | 11,194 | 144 | ||||||
QinetiQ | 2,709 | 9 | ||||||
Reckitt Benckiser Group | 6,447 | 405 | ||||||
Rio Tinto | 3,938 | 195 | ||||||
Rio Tinto ADR | 7,600 | 378 | ||||||
Rolls-Royce Holdings | 19,460 | 278 | ||||||
Royal Bank of Scotland Group* | 28,250 | 134 | ||||||
SABMiller | 5,060 | 229 | ||||||
Shire | 19,059 | 552 | ||||||
Standard Chartered | 13,038 | 304 | ||||||
Standard Life | 10,373 | 53 | ||||||
Subsea 7 | 8,500 | 194 |
4 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund
November 30, 2012
Description | Shares/Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Unilever ADR | 9,400 | $ | 360 | |||||
Vodafone Group | 130,244 | 336 | ||||||
Whitbread | 1,800 | 69 | ||||||
William Hill | 13,800 | 75 | ||||||
|
| |||||||
10,001 | ||||||||
|
| |||||||
United States — 3.1% | ||||||||
Adams Resources & Energy | 276 | 10 | ||||||
Carnival | 6,900 | 267 | ||||||
Everest Re Group | 3,300 | 358 | ||||||
Exxon Mobil | 2,596 | 229 | ||||||
Flexsteel Industries | 1,169 | 23 | ||||||
Phillips 66 | 4,718 | 247 | ||||||
Schlumberger | 5,300 | 380 | ||||||
Sparton* | 2,244 | 32 | ||||||
Tesoro | 3,643 | 154 | ||||||
Yum! Brands | 3,820 | 256 | ||||||
|
| |||||||
1,956 | ||||||||
|
| |||||||
Total Common Stock |
| 56,230 | ||||||
|
| |||||||
PREFERRED STOCK — 1.9% |
| |||||||
Brazil — 1.0% | ||||||||
Banco Pine | 3,800 | 24 | ||||||
Cia de Bebidas das Americas ADR | 6,879 | 286 | ||||||
Cia Energetica do Ceara | 4,300 | 71 | ||||||
Itau Unibanco Holding ADR | 17,100 | 259 | ||||||
|
| |||||||
640 | ||||||||
|
| |||||||
Canada — 0.1% | ||||||||
Primero Mining, Cl Common Subscription Receipt* | 11,083 | 73 | ||||||
|
| |||||||
Germany — 0.8% | ||||||||
Draegerwerk | 200 | 19 | ||||||
Henkel | 1,100 | 92 | ||||||
ProSiebenSat.1 Media | 1,503 | 44 | ||||||
RWE | 88 | 3 | ||||||
Volkswagen | 1,543 | 334 | ||||||
|
| |||||||
492 | ||||||||
|
| |||||||
Total Preferred Stock |
| 1,205 | ||||||
|
| |||||||
EXCHANGE TRADED FUND — 0.2% |
| |||||||
United States — 0.2% | ||||||||
iShares MSCI Emerging Markets Index Fund | 3,900 | 163 | ||||||
|
| |||||||
Total Exchange Traded Fund |
| 163 | ||||||
|
| |||||||
CASH EQUIVALENT — 3.5% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 2,169,403 | 2,169 | ||||||
|
| |||||||
Total Cash Equivalent |
| 2,169 | ||||||
|
| |||||||
TIME DEPOSITS — 3.4% | ||||||||
Brown Brothers Harriman | ||||||||
4.150%, 12/01/2012 | ZAR | — | — | |||||
2.404%, 12/01/2012 | AUD | 54 | 56 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
1.550%, 12/01/2012 | NZD | $ | 2 | $ | 1 | |||||||
0.550%, 12/01/2012 | NOK | 54 | 10 | |||||||||
0.350%, 12/01/2012 | SEK | 98 | 15 | |||||||||
0.198%, 12/01/2012 | CAD | 18 | 18 | |||||||||
0.071%, 12/01/2012 | GBP | 44 | 71 | |||||||||
0.030%, 12/01/2012 | 1,645 | 1,645 | ||||||||||
0.010%, 12/01/2012 | JPY | 6,337 | 77 | |||||||||
0.010%, 12/01/2012 | SGD | 14 | 12 | |||||||||
0.005%, 12/01/2012 | CHF | 23 | 25 | |||||||||
0.005%, 12/01/2012 | HKD | 79 | 10 | |||||||||
(0.150)%, 12/01/2012 | DKK | 80 | 14 | |||||||||
(0.030)%, 12/01/2012 | EUR | 112 | 146 | |||||||||
|
| |||||||||||
Total Time Deposits |
| 2,100 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (B) (C) — 0.3% |
| |||||||||||
U.S. Treasury Bills | ||||||||||||
0.135%, 01/31/2013 | $ | 170 | 170 | |||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 170 | ||||||||||
|
| |||||||||||
Total Investments — 99.6% |
| $ | 62,037 | |||||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2012, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 20 | Dec-2012 | $ | 3 | ||||||||
FTSE 100 Index | 7 | Dec-2012 | 8 | |||||||||
S&P TSX 60 Index | 2 | Dec-2012 | – | |||||||||
SPI 200 Index | 2 | Dec-2012 | 3 | |||||||||
Topix Index | 5 | Dec-2012 | 18 | |||||||||
|
| |||||||||||
$ | 32 | |||||||||||
|
|
For the period ended November 30, 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 period.
A list of the open forward foreign currency contracts held by the Fund at November 30, 2012, is as follows:
Settlement Date | Currency to Deliver | Currency to Receive | Unrealized (Depreciation) ($ Thousands) | |||||||||
5/8/13 | EUR | 263 | USD | 337 | $ | (5 | ) | |||||
|
|
A list of the counterparties for the open forward foreign currency contracts held by the Fund at November 30, 2012, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive | Unrealized (Depreciation) ($ Thousands) | |||||||||
Brown Brothers Harriman | (342 | ) | 337 | $ | (5 | ) | ||||||
|
|
For the period ended November 30, 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 period.
Percentages are based on a Net Assets of $62,260 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2012. |
† | Investment in Affiliated Security (see Note 5). |
(1) | In U.S. dollars unless otherwise indicated. |
5 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund
November 30, 2012
(A) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of November 30, 2012 was $278 ($ Thousands) and represented 0.45% of Net Assets. |
(B) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(C) | The rate reported is the effective yield at time of purchase. |
ADR — American Depositary Receipt
ARM — Adjustable Rate Mortgage
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
MSCI — Morgan Stanley Capital International
NOK — Norwegian Krone
NZD — New Zealand Dollar
PLC — Public Limited Company
SEK — Swedish Krona
Ser — Series
SGD — Singapore Dollar
SPI — Share Price Index
TSX — Toronto Stock Exchange (formerly TSE)
ZAR — South African Rand
The following is a summary of the inputs used as of November 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 54,838 | $ | 1,392 | $ | — | $ | 56,230 | ||||||||
Preferred Stock | 1,205 | — | — | 1,205 | ||||||||||||
Exchange Traded Fund | 163 | — | — | 163 | ||||||||||||
Time Deposits | 2,100 | — | — | 2,100 | ||||||||||||
U.S. Treasury Obligation | — | 170 | — | 170 | ||||||||||||
Cash Equivalent | 2,169 | — | — | 2,169 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 60,475 | $ | 1,562 | $ | — | $ | 62,037 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 32 | $ | — | $ | — | $ | 32 | ||||||||
Forwards Contracts* | (5 | ) | — | — | (5 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 27 | $ | — | $ | — | $ | 27 | ||||||||
|
|
|
|
|
|
|
|
* | Futures and forwards contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended November 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 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 $O.
The accompanying notes are an integral part of the financial statements.
6 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Dynamic Asset Allocation Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 79.3% | ||||||||
Consumer Discretionary — 9.1% | ||||||||
Abercrombie & Fitch, Cl A | 3,700 | $ | 170 | |||||
Amazon.com* | 17,000 | 4,285 | ||||||
Apollo Group, Cl A* | 5,500 | 106 | ||||||
AutoNation* | 1,400 | 54 | ||||||
AutoZone* | 1,700 | 652 | ||||||
Bed Bath & Beyond* | 11,100 | 652 | ||||||
Best Buy | 11,800 | 155 | ||||||
Big Lots* | 2,200 | 62 | ||||||
BorgWarner* | 5,200 | 345 | ||||||
Cablevision Systems, Cl A | 9,500 | 131 | ||||||
Carmax* | 10,100 | 366 | ||||||
Carnival | 21,300 | 824 | ||||||
CBS, Cl B | 28,200 | 1,015 | ||||||
Chipotle Mexican Grill, Cl A* | 1,400 | 369 | ||||||
Coach | 13,600 | 787 | ||||||
Comcast, Cl A | 125,500 | 4,666 | ||||||
Darden Restaurants | 5,700 | 302 | ||||||
DIRECTV* | 29,600 | 1,471 | ||||||
Discovery Communications, Cl A* | 11,800 | 713 | ||||||
Dollar General* | 11,500 | 575 | ||||||
Dollar Tree* | 10,300 | 430 | ||||||
DR Horton | 12,300 | 239 | ||||||
Expedia | 4,300 | 266 | ||||||
Family Dollar Stores | 4,300 | 306 | ||||||
Ford Motor | 179,600 | 2,056 | ||||||
Fossil* | 2,400 | 208 | ||||||
GameStop, Cl A | 6,300 | 165 | ||||||
Gannett | 10,200 | 183 | ||||||
Gap | 13,200 | 455 | ||||||
Genuine Parts | 7,500 | 488 | ||||||
Goodyear Tire & Rubber* | 10,800 | 136 | ||||||
H&R Block | 12,000 | 216 | ||||||
Harley-Davidson | 10,200 | 479 | ||||||
Harman International Industries | 3,000 | 119 | ||||||
Hasbro | 5,100 | 196 | ||||||
Home Depot | 70,700 | 4,600 | ||||||
International Game Technology | 11,800 | 164 | ||||||
Interpublic Group | 19,300 | 209 | ||||||
J.C. Penney | 6,300 | 113 | ||||||
Johnson Controls | 32,500 | 895 | ||||||
Kohl’s | 10,400 | 464 | ||||||
Leggett & Platt | 6,200 | 173 | ||||||
Lennar, Cl A | 8,000 | 304 | ||||||
Limited Brands | 10,600 | 553 | ||||||
Lowe’s | 53,700 | 1,938 | ||||||
Macy’s | 19,200 | 743 | ||||||
Marriott International, Cl A | 11,300 | 410 | ||||||
Mattel | 15,200 | 570 | ||||||
McDonald’s | 47,300 | 4,117 | ||||||
McGraw-Hill | 13,400 | 712 | ||||||
NetFlix* | 2,500 | 204 | ||||||
Newell Rubbermaid | 13,300 | 290 | ||||||
News, Cl A | 95,800 | 2,361 | ||||||
NIKE, Cl B | 17,300 | 1,686 | ||||||
Nordstrom | 6,800 | 368 | ||||||
Omnicom Group | 11,800 | 587 | ||||||
O’Reilly Automotive* | 5,300 | 499 | ||||||
PetSmart | 4,800 | 339 | ||||||
priceline.com* | 2,400 | 1,592 | ||||||
PulteGroup* | 15,500 | 261 | ||||||
Ralph Lauren, Cl A | 2,700 | 424 | ||||||
Ross Stores | 10,700 | 609 | ||||||
Scripps Networks Interactive, Cl A | 3,800 | 224 | ||||||
Staples | 30,800 | 360 | ||||||
Starbucks | 35,800 | 1,857 | ||||||
Starwood Hotels & Resorts Worldwide | 8,800 | 475 | ||||||
Target | 30,800 | 1,945 | ||||||
Tiffany | 5,300 | 313 | ||||||
Time Warner | 44,700 | 2,114 | ||||||
Time Warner Cable, Cl A | 14,500 | 1,376 | ||||||
TJX | 34,700 | 1,539 | ||||||
TripAdvisor* | 4,500 | 172 | ||||||
Urban Outfitters* | 4,800 | 181 | ||||||
VF | 4,200 | 674 | ||||||
Viacom, Cl B | 22,400 | 1,156 | ||||||
Walt Disney | 84,200 | 4,181 | ||||||
Washington Post, Cl B | 200 | 73 | ||||||
Whirlpool | 3,400 | 346 | ||||||
Wyndham Worldwide | 6,300 | 309 | ||||||
Wynn Resorts | 3,500 | 393 | ||||||
Yum! Brands | 21,500 | 1,442 | ||||||
|
| |||||||
67,957 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Consumer Staples — 8.8% | ||||||||
Altria Group | 95,500 | $ | 3,229 | |||||
Archer-Daniels-Midland | 31,300 | 836 | ||||||
Avon Products | 19,600 | 273 | ||||||
Beam | 7,100 | 398 | ||||||
Brown-Forman, Cl B | 6,800 | 477 | ||||||
Campbell Soup | 8,000 | 294 | ||||||
Clorox | 5,800 | 443 | ||||||
Coca-Cola | 181,400 | 6,879 | ||||||
Coca-Cola Enterprises | 12,200 | 381 | ||||||
Colgate-Palmolive | 21,000 | 2,279 | ||||||
ConAgra Foods | 18,100 | 540 | ||||||
Constellation Brands, Cl A* | 6,500 | 233 | ||||||
Costco Wholesale | 20,400 | 2,122 | ||||||
CVS Caremark | 59,800 | 2,781 | ||||||
Dean Foods* | 8,200 | 141 | ||||||
Dr. Pepper Snapple Group | 9,400 | 422 | ||||||
Estee Lauder, Cl A | 11,500 | 670 | ||||||
General Mills | 30,700 | 1,258 | ||||||
Hershey | 6,800 | 498 | ||||||
HJ Heinz | 15,200 | 889 | ||||||
Hormel Foods | 5,900 | 183 | ||||||
JM Smucker | 4,800 | 425 | ||||||
Kellogg | 11,000 | 610 | ||||||
Kimberly-Clark | 18,600 | 1,594 | ||||||
Kraft Foods Group* | 27,966 | 1,265 | ||||||
Kroger | 26,000 | 682 | ||||||
Lorillard | 6,200 | 751 | ||||||
McCormick | 5,900 | 381 | ||||||
Mead Johnson Nutrition, Cl A | 9,700 | 661 | ||||||
Molson Coors Brewing, Cl B | 6,900 | 286 | ||||||
Mondelez International, Cl A* | 83,500 | 2,162 | ||||||
Monster Beverage* | 6,900 | 359 | ||||||
PepsiCo | 73,000 | 5,125 | ||||||
Philip Morris International | 79,000 | 7,101 | ||||||
Procter & Gamble | 129,000 | 9,008 | ||||||
Reynolds American | 15,700 | 686 | ||||||
Safeway | 10,600 | 181 | ||||||
Sysco | 27,900 | 883 | ||||||
Tyson Foods, Cl A | 12,800 | 245 | ||||||
Walgreen | 40,500 | 1,373 | ||||||
Wal-Mart Stores | 78,800 | 5,675 | ||||||
Whole Foods Market | 8,200 | 766 | ||||||
|
| |||||||
65,445 | ||||||||
|
| |||||||
Energy — 8.7% | ||||||||
Anadarko Petroleum | 23,600 | 1,727 | ||||||
Apache | 18,500 | 1,426 | ||||||
Baker Hughes | 20,900 | 902 | ||||||
Cabot Oil & Gas | 9,400 | 443 | ||||||
Cameron International* | 11,800 | 636 | ||||||
Chesapeake Energy | 22,900 | 390 | ||||||
Chevron | 91,900 | 9,713 | ||||||
ConocoPhillips | 57,000 | 3,246 | ||||||
Consol Energy | 10,300 | 323 | ||||||
Denbury Resources* | 17,300 | 267 | ||||||
Devon Energy | 17,900 | 925 | ||||||
Diamond Offshore Drilling | 3,200 | 221 | ||||||
Energy Transfer Partners | 34 | 1 | ||||||
Ensco, Cl A | 10,300 | 600 | ||||||
EOG Resources | 12,700 | 1,494 | ||||||
EQT | 7,200 | 432 | ||||||
Exxon Mobil | 215,900 | 19,029 | ||||||
FMC Technologies* | 10,600 | 433 | ||||||
Halliburton | 43,800 | 1,461 | ||||||
Helmerich & Payne | 4,700 | 245 | ||||||
Hess | 14,200 | 704 | ||||||
Kinder Morgan | 29,977 | 1,014 | ||||||
Marathon Oil | 33,400 | 1,030 | ||||||
Marathon Petroleum | 16,100 | 959 | ||||||
Murphy Oil | 8,900 | 505 | ||||||
Nabors Industries* | 12,800 | 188 | ||||||
National Oilwell Varco | 20,100 | 1,373 | ||||||
Newfield Exploration* | 6,000 | 146 | ||||||
Noble | 11,300 | 390 | ||||||
Noble Energy | 8,500 | 831 | ||||||
Occidental Petroleum | 38,100 | 2,866 | ||||||
Peabody Energy | 11,900 | 299 | ||||||
Phillips 66 | 29,600 | 1,550 | ||||||
Pioneer Natural Resources | 5,900 | 631 | ||||||
QEP Resources | 8,200 | 231 | ||||||
Range Resources | 7,200 | 461 | ||||||
Rowan, Cl A* | 5,500 | 174 | ||||||
Schlumberger | 62,200 | 4,455 | ||||||
Southwestern Energy* | 15,500 | 538 | ||||||
Spectra Energy | 31,100 | 869 |
1 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Dynamic Asset Allocation Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Tesoro | 6,200 | $ | 262 | |||||
Valero Energy | 26,200 | 845 | ||||||
Williams | 29,700 | 975 | ||||||
WPX Energy* | 8,800 | 139 | ||||||
|
| |||||||
65,349 | ||||||||
|
| |||||||
Financials — 11.8% | ||||||||
ACE | 16,000 | 1,268 | ||||||
Aflac | 22,200 | 1,176 | ||||||
Allstate | 23,000 | 931 | ||||||
American Express | 46,400 | 2,594 | ||||||
American International Group* | 55,000 | 1,822 | ||||||
American Tower, Cl A‡ | 18,700 | 1,401 | ||||||
Ameriprise Financial | 9,400 | 570 | ||||||
Aon | 15,300 | 869 | ||||||
Apartment Investment & Management, Cl A‡ | 6,400 | 160 | ||||||
Assurant | 3,600 | 123 | ||||||
AvalonBay Communities‡ | 5,300 | 699 | ||||||
Bank of America | 505,300 | 4,982 | ||||||
Bank of New York Mellon | 55,800 | 1,336 | ||||||
BB&T | 33,200 | 935 | ||||||
Berkshire Hathaway, Cl B* | 85,900 | 7,566 | ||||||
BlackRock, Cl A | 6,041 | 1,190 | ||||||
Boston Properties‡ | 7,200 | 739 | ||||||
Capital One Financial | 27,400 | 1,578 | ||||||
CBRE Group, Cl A* | 13,300 | 252 | ||||||
Charles Schwab | 52,300 | 685 | ||||||
Chubb | 12,600 | 970 | ||||||
Cincinnati Financial | 6,500 | 264 | ||||||
Citigroup | 137,500 | 4,753 | ||||||
CME Group, Cl A | 14,600 | 807 | ||||||
Comerica | 8,600 | 254 | ||||||
Discover Financial Services | 24,400 | 1,016 | ||||||
E*Trade Financial* | 11,400 | 96 | ||||||
Equity Residential‡ | 15,200 | 844 | ||||||
Federated Investors, Cl B | 5,100 | 101 | ||||||
Fifth Third Bancorp | 44,000 | 644 | ||||||
First Horizon National | 13,200 | 125 | ||||||
Franklin Resources | 6,600 | 872 | ||||||
Genworth Financial, Cl A* | 21,700 | 129 | ||||||
Goldman Sachs Group | 21,200 | 2,497 | ||||||
Hartford Financial Services Group | 19,600 | 415 | ||||||
HCP‡ | 21,400 | 964 | ||||||
Health Care‡ | 12,200 | 719 | ||||||
Host Hotels & Resorts‡ | 32,200 | 473 | ||||||
Hudson City Bancorp | 21,000 | 169 | ||||||
Huntington Bancshares | 37,900 | 233 | ||||||
IntercontinentalExchange* | 3,500 | 463 | ||||||
Invesco | 19,900 | 497 | ||||||
JPMorgan Chase | 177,900 | 7,308 | ||||||
Keycorp | 41,700 | 337 | ||||||
Kimco Realty‡ | 18,300 | 352 | ||||||
Legg Mason | 5,300 | 135 | ||||||
Leucadia National | 8,800 | 195 | ||||||
Lincoln National | 12,700 | 314 | ||||||
Loews | 13,900 | 568 | ||||||
M&T Bank | 5,800 | 567 | ||||||
Marsh & McLennan | 25,900 | 912 | ||||||
MetLife | 50,100 | 1,663 | ||||||
Moody’s | 8,700 | 423 | ||||||
Morgan Stanley | 65,500 | 1,105 | ||||||
NASDAQ OMX Group | 5,200 | 126 | ||||||
Northern Trust | 9,700 | 466 | ||||||
NYSE Euronext | 11,200 | 261 | ||||||
People’s United Financial | 15,500 | 189 | ||||||
Plum Creek Timber‡ | 7,100 | 304 | ||||||
PNC Financial Services Group | 25,000 | 1,403 | ||||||
Principal Financial Group | 12,300 | 334 | ||||||
Progressive | 26,900 | 572 | ||||||
Prologis‡ | 22,000 | 747 | ||||||
Prudential Financial | 22,100 | 1,152 | ||||||
Public Storage‡ | 6,800 | 956 | ||||||
Regions Financial | 63,200 | 422 | ||||||
Simon Property Group‡ | 14,300 | 2,176 | ||||||
SLM | 20,800 | 344 | ||||||
SunTrust Banks | 25,700 | 698 | ||||||
T. Rowe Price Group | 12,100 | 783 | ||||||
Torchmark | 4,200 | 218 | ||||||
Travelers | 18,200 | 1,289 | ||||||
Unum Group | 12,900 | 263 | ||||||
US Bancorp | 89,100 | 2,874 | ||||||
Ventas‡ | 14,000 | 891 | ||||||
Vornado Realty Trust‡ | 7,500 | 573 | ||||||
Wells Fargo | 230,100 | 7,596 | ||||||
Weyerhaeuser‡ | 25,700 | 708 | ||||||
XL Group, Cl A | 13,800 | 336 |
Description | Shares | Market Value ($ Thousands) | ||||||
Zions Bancorporation | 8,100 | $ | 163 | |||||
|
| |||||||
87,904 | ||||||||
|
| |||||||
Health Care — 9.7% | ||||||||
Abbott Laboratories | 73,600 | 4,784 | ||||||
Aetna | 16,000 | 691 | ||||||
Agilent Technologies | 15,500 | 594 | ||||||
Alexion Pharmaceuticals* | 9,200 | 883 | ||||||
Allergan | 14,500 | 1,345 | ||||||
AmerisourceBergen | 11,300 | 477 | ||||||
Amgen | 36,200 | 3,215 | ||||||
Baxter International | 25,800 | 1,710 | ||||||
Becton Dickinson | 9,500 | 728 | ||||||
Biogen Idec* | 11,100 | 1,655 | ||||||
Boston Scientific* | 64,000 | 355 | ||||||
Bristol-Myers Squibb | 78,900 | 2,574 | ||||||
C.R. Bard | 3,500 | 347 | ||||||
Cardinal Health | 16,300 | 659 | ||||||
CareFusion* | 9,800 | 274 | ||||||
Celgene* | 20,400 | 1,603 | ||||||
Cerner* | 6,500 | 502 | ||||||
CIGNA | 13,800 | 721 | ||||||
Coventry Health Care | 5,900 | 258 | ||||||
Covidien | 22,700 | 1,319 | ||||||
DaVita* | 3,800 | 411 | ||||||
Dentsply International | 6,500 | 258 | ||||||
Edwards Lifesciences* | 5,200 | 451 | ||||||
Eli Lilly | 48,000 | 2,354 | ||||||
Express Scripts Holding* | 38,200 | 2,057 | ||||||
Forest Laboratories* | 11,400 | 404 | ||||||
Gilead Sciences* | 35,600 | 2,670 | ||||||
Hospira* | 7,600 | 226 | ||||||
Humana | 7,200 | 471 | ||||||
Intuitive Surgical* | 1,900 | 1,005 | ||||||
Johnson & Johnson | 129,100 | 9,002 | ||||||
Laboratory Corp of America Holdings* | 4,300 | 364 | ||||||
Life Technologies* | 7,900 | 390 | ||||||
McKesson | 11,200 | 1,058 | ||||||
Medtronic | 48,000 | 2,021 | ||||||
Merck | 142,700 | 6,322 | ||||||
Mylan Laboratories* | 18,200 | 495 | ||||||
Patterson | 3,800 | 130 | ||||||
PerkinElmer | 5,000 | 158 | ||||||
Perrigo | 3,900 | 404 | ||||||
Pfizer | 349,700 | 8,749 | ||||||
Quest Diagnostics | 7,100 | 410 | ||||||
St. Jude Medical | 13,900 | 476 | ||||||
Stryker | 13,800 | 747 | ||||||
Tenet Healthcare* | 4,600 | 133 | ||||||
Thermo Fisher Scientific | 17,300 | 1,099 | ||||||
UnitedHealth Group | 48,500 | 2,638 | ||||||
Varian Medical Systems* | 4,900 | 339 | ||||||
Waters* | 3,900 | 330 | ||||||
Watson Pharmaceuticals* | 5,700 | 502 | ||||||
WellPoint | 14,300 | 799 | ||||||
Zimmer Holdings | 7,800 | 515 | ||||||
|
| |||||||
72,082 | �� | |||||||
|
| |||||||
Industrials — 8.0% | ||||||||
3M | 29,900 | 2,719 | ||||||
ADT | 10,200 | 468 | ||||||
Avery Dennison | 4,500 | 150 | ||||||
Boeing | 31,800 | 2,362 | ||||||
C.H. Robinson Worldwide | 7,200 | 445 | ||||||
Caterpillar | 30,700 | 2,617 | ||||||
Cintas | 4,800 | 199 | ||||||
Cooper Industries, Cl A | 7,100 | 529 | ||||||
CSX | 49,400 | 976 | ||||||
Cummins | 8,400 | 825 | ||||||
Danaher | 27,600 | 1,490 | ||||||
Deere | 18,500 | 1,555 | ||||||
Dover | 8,200 | 521 | ||||||
Dun & Bradstreet | 2,000 | 158 | ||||||
Eaton | 14,900 | 777 | ||||||
Emerson Electric | 34,300 | 1,723 | ||||||
Equifax | 5,500 | 282 | ||||||
Expeditors International of Washington | 9,500 | 355 | ||||||
Fastenal | 11,900 | 497 | ||||||
FedEx | 13,800 | 1,236 | ||||||
Flowserve | 2,300 | 319 | ||||||
Fluor | 7,500 | 398 | ||||||
General Dynamics | 15,700 | 1,044 | ||||||
General Electric | 494,300 | 10,445 | ||||||
Honeywell International | 36,700 | 2,251 | ||||||
Illinois Tool Works | 20,400 | 1,256 | ||||||
Ingersoll-Rand | 13,700 | 668 |
2 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Dynamic Asset Allocation Fund
November 30, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
Iron Mountain | 7,528 | $ | 238 | |||||
Jacobs Engineering Group* | 6,000 | 246 | ||||||
Joy Global | 4,700 | 268 | ||||||
L-3 Communications Holdings, Cl 3 | 4,300 | 331 | ||||||
Lockheed Martin | 12,700 | 1,185 | ||||||
Masco | 17,600 | 298 | ||||||
Norfolk Southern | 15,200 | 918 | ||||||
Northrop Grumman | 11,800 | 787 | ||||||
Paccar | 16,900 | 743 | ||||||
Pall | 5,100 | 303 | ||||||
Parker Hannifin | 7,200 | 591 | ||||||
Pentair | 9,246 | 448 | ||||||
Pitney Bowes | 8,900 | 100 | ||||||
Precision Castparts | 6,900 | 1,265 | ||||||
Quanta Services* | 9,800 | 253 | ||||||
Raytheon | 15,800 | 903 | ||||||
Republic Services, Cl A | 13,200 | 376 | ||||||
Robert Half International | 6,300 | 178 | ||||||
Rockwell Automation | 6,800 | 539 | ||||||
Rockwell Collins | 6,300 | 360 | ||||||
Roper Industries | 4,700 | 524 | ||||||
RR Donnelley & Sons | 10,000 | 94 | ||||||
Ryder System | 2,700 | 127 | ||||||
Snap-on | 2,600 | 207 | ||||||
Southwest Airlines | 32,900 | 314 | ||||||
Stanley Black & Decker | 7,500 | 539 | ||||||
Stericycle* | 4,200 | 393 | ||||||
Textron | 12,400 | 291 | ||||||
Tyco International | 22,000 | 624 | ||||||
Union Pacific | 22,300 | 2,738 | ||||||
United Parcel Service, Cl B | 33,800 | 2,471 | ||||||
United Technologies | 39,400 | 3,156 | ||||||
Waste Management | 20,800 | 677 | ||||||
WW Grainger | 2,900 | 563 | ||||||
Xylem | 8,600 | 224 | ||||||
|
| |||||||
59,537 | ||||||||
|
| |||||||
Information Technology — 15.2% | ||||||||
Accenture, Cl A | 29,900 | 2,031 | ||||||
Adobe Systems* | 23,400 | 810 | ||||||
Advanced Micro Devices* | 12,800 | 28 | ||||||
Akamai Technologies* | 7,800 | 286 | ||||||
Altera | 14,300 | 463 | ||||||
Amphenol, Cl A | 7,200 | 446 | ||||||
Analog Devices | 13,300 | 540 | ||||||
Apple | 43,800 | 25,635 | ||||||
Applied Materials | 59,200 | 635 | ||||||
Autodesk* | 10,300 | 341 | ||||||
Automatic Data Processing | 22,900 | 1,300 | ||||||
BMC Software* | 6,200 | 254 | ||||||
Broadcom, Cl A | 24,500 | 793 | ||||||
CA | 15,100 | 334 | ||||||
Cisco Systems | 248,100 | 4,692 | ||||||
Citrix Systems* | 8,300 | 508 | ||||||
Cognizant Technology Solutions, Cl A* | 14,200 | 955 | ||||||
Computer Sciences | 7,200 | 274 | ||||||
Corning | 70,800 | 866 | ||||||
Dell | 69,600 | 671 | ||||||
eBay* | 54,500 | 2,879 | ||||||
Electronic Arts* | 14,100 | 209 | ||||||
EMC* | 98,700 | 2,450 | ||||||
F5 Networks* | 3,500 | 328 | ||||||
Fidelity National Information Services | 11,300 | 408 | ||||||
First Solar* | 1,900 | 51 | ||||||
Fiserv* | 6,500 | 500 | ||||||
FLIR Systems | 6,700 | 136 | ||||||
Google, Cl A* | 12,400 | 8,660 | ||||||
Harris | 5,200 | 245 | ||||||
Hewlett-Packard | 93,100 | 1,209 | ||||||
Intel | 234,600 | 4,591 | ||||||
International Business Machines | 50,300 | 9,561 | ||||||
Intuit | 13,200 | 791 | ||||||
Jabil Circuit | 8,300 | 158 | ||||||
JDS Uniphase* | 10,300 | 125 | ||||||
Juniper Networks* | 23,600 | 424 | ||||||
Kla-Tencor | 7,500 | 341 | ||||||
Lam Research* | 8,087 | 284 | ||||||
Linear Technology | 10,200 | 338 | ||||||
LSI* | 24,600 | 166 | ||||||
Mastercard, Cl A | 5,000 | 2,443 | ||||||
Microchip Technology | 8,600 | 262 | ||||||
Micron Technology* | 45,000 | 269 | ||||||
Microsoft | 353,200 | 9,402 | ||||||
Molex | 6,100 | 161 | ||||||
Motorola Solutions | 13,700 | 746 | ||||||
NetApp* | 16,200 | 514 |
Description | Shares | Market Value ($ Thousands) | ||||||
Nvidia | 27,900 | $ | 334 | |||||
Oracle | 178,500 | 5,730 | ||||||
Paychex | 14,400 | 469 | ||||||
Qualcomm | 79,900 | 5,083 | ||||||
Red Hat* | 8,600 | 425 | ||||||
SAIC | 12,500 | 144 | ||||||
Salesforce.com* | 6,100 | 962 | ||||||
SanDisk* | 10,800 | 422 | ||||||
Seagate Technology | 15,800 | 397 | ||||||
Symantec* | 31,300 | 587 | ||||||
TE Connectivity | 20,400 | 718 | ||||||
Teradata* | 7,500 | 446 | ||||||
Teradyne* | 8,300 | 130 | ||||||
Texas Instruments | 53,700 | 1,583 | ||||||
Total System Services | 7,200 | 158 | ||||||
VeriSign* | 6,900 | 235 | ||||||
Visa, Cl A | 24,500 | 3,668 | ||||||
Western Digital | 9,800 | 328 | ||||||
Western Union | 26,900 | 339 | ||||||
Xerox | 58,600 | 399 | ||||||
Xilinx | 11,800 | 409 | ||||||
Yahoo!* | 49,500 | 929 | ||||||
|
| |||||||
113,408 | ||||||||
|
| |||||||
Materials — 2.8% | ||||||||
Air Products & Chemicals | 10,100 | 838 | ||||||
Airgas | 3,400 | 301 | ||||||
Alcoa | 47,800 | 402 | ||||||
Allegheny Technologies | 4,700 | 123 | ||||||
Ball | 6,800 | 304 | ||||||
Bemis | 4,600 | 155 | ||||||
CF Industries Holdings | 3,000 | 642 | ||||||
Cliffs Natural Resources | 6,300 | 181 | ||||||
Dow Chemical | 56,500 | 1,706 | ||||||
E.I. du Pont de Nemours | 43,800 | 1,889 | ||||||
Eastman Chemical | 7,400 | 450 | ||||||
Ecolab | 12,500 | 901 | ||||||
FMC | 6,100 | 338 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 44,700 | 1,744 | ||||||
International Flavors & Fragrances | 4,000 | 260 | ||||||
International Paper | 20,800 | 773 | ||||||
LyondellBasell Industries, Cl A | 16,200 | 806 | ||||||
MeadWestvaco | 8,000 | 247 | ||||||
Monsanto | 25,100 | 2,299 | ||||||
Mosaic | 13,200 | 714 | ||||||
Newmont Mining | 23,500 | 1,106 | ||||||
Nucor | 14,100 | 581 | ||||||
Owens-Illinois* | 7,300 | 146 | ||||||
PPG Industries | 7,300 | 907 | ||||||
Praxair | 14,100 | 1,512 | ||||||
Sealed Air | 10,000 | 168 | ||||||
Sherwin-Williams | 4,100 | 625 | ||||||
Sigma-Aldrich | 5,400 | 392 | ||||||
Titanium Metals | 2,700 | 45 | ||||||
United States Steel | 6,400 | 138 | ||||||
Vulcan Materials | 5,700 | 301 | ||||||
|
| |||||||
20,994 | ||||||||
|
| |||||||
Telecommunication Services — 2.5% | ||||||||
AT&T | 270,100 | 9,218 | ||||||
CenturyLink | 29,500 | 1,146 | ||||||
Crown Castle International* | 13,900 | 938 | ||||||
Frontier Communications | 46,200 | 222 | ||||||
MetroPCS Communications* | 14,900 | 159 | ||||||
Sprint Nextel* | 142,800 | 818 | ||||||
Verizon Communications | 133,500 | 5,890 | ||||||
Windstream | 26,000 | 218 | ||||||
|
| |||||||
18,609 | ||||||||
|
| |||||||
Utilities — 2.7% | ||||||||
AES | 27,400 | 292 | ||||||
AGL Resources | 5,400 | 211 | ||||||
Ameren | 11,000 | 330 | ||||||
American Electric Power | 23,000 | 981 | ||||||
Centerpoint Energy | 19,200 | 379 | ||||||
CMS Energy | 11,700 | 286 | ||||||
Consolidated Edison | 14,000 | 781 | ||||||
Dominion Resources | 27,100 | 1,385 | ||||||
DTE Energy | 7,700 | 467 | ||||||
Duke Energy | 33,130 | 2,114 | ||||||
Edison International | 15,600 | 710 | ||||||
Entergy | 7,900 | 502 | ||||||
Exelon | 40,400 | 1,221 | ||||||
FirstEnergy | 19,900 | 845 | ||||||
Integrys Energy Group | 3,400 | 181 | ||||||
NextEra Energy | 20,000 | 1,374 |
3 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2012 |
SCHEDULE OF INVESTMENTS (Unaudited)
Dynamic Asset Allocation Fund
November 30, 2012
Description | Shares/ Contracts | Market Value ($ Thousands) | ||||||
NiSource | 15,100 | $ | 365 | |||||
Northeast Utilities | 14,000 | 542 | ||||||
NRG Energy | 10,500 | 222 | ||||||
ONEOK | 9,100 | 408 | ||||||
Pepco Holdings | 10,100 | 200 | ||||||
PG&E | 20,300 | 831 | ||||||
Pinnacle West Capital | 5,400 | 278 | ||||||
PPL | 27,700 | 813 | ||||||
Public Service Enterprise Group | 24,100 | 725 | ||||||
SCANA | 5,800 | 269 | ||||||
Sempra Energy | 10,700 | 732 | ||||||
Southern | 41,200 | 1,794 | ||||||
TECO Energy | 9,000 | 151 | ||||||
Wisconsin Energy | 10,400 | 390 | ||||||
Xcel Energy | 21,700 | 587 | ||||||
|
| |||||||
20,366 | ||||||||
|
| |||||||
Total Common Stock | 591,651 | |||||||
|
| |||||||
EXCHANGE TRADED FUNDS — 19.4% |
| |||||||
iShares iBoxx High Yield Fund | 778,945 | 72,481 | ||||||
iShares JPMorgan Emerging Markets Bond Fund | 589,923 | 72,395 | ||||||
|
| |||||||
Total Exchange Traded Funds | 144,876 | |||||||
|
| |||||||
CASH EQUIVALENT — 0.5% | ||||||||
SEI Daily Income Trust, | 3,786,157 | 3,786 | ||||||
|
| |||||||
Total Cash Equivalent | 3,786 | |||||||
|
| |||||||
Total Investments — 99.2% | $ | 740,313 | ||||||
|
| |||||||
PURCHASED OPTION — 0.4% | ||||||||
January 2013 S&P 500 Index Future Option Put, | ||||||||
Expires 1/19/2013, Strike Price $1,380 | 1,500 | $ | 2,850 | |||||
|
| |||||||
Total Purchased Option | $ | 2,850 | ||||||
|
| |||||||
WRITTEN OPTION — (0.2)% | ||||||||
January 2013 S&P 500 Index Future Option Put, | ||||||||
Expires 1/19/2013, Strike Price $1,310 | (1,500 | ) | $ | (1,005 | ) | |||
|
| |||||||
Total Written Option |
| $ | (1,005 | ) | ||||
|
|
A list of the outstanding forward foreign currency contracts held by the Fund at November 30, 2012, is as follows:
Settlement Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation ($ Thousands) | |||||||||
1/25/13 | EUR | 258,652 | USD | 338,226 | $ | 1,680 | ||||||
1/25/13 | USD | 14,080 | EUR | 10,836 | 13 | |||||||
|
| |||||||||||
$ | 1,693 | |||||||||||
|
|
A summary of the counterparties for the open forward foreign currency contracts held by the Fund at November 30,2012, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Citigroup | (314,405 | ) | 316,094 | $ | 1,689 | |||||||
Credit Suisse First Boston | (14,081 | ) | 14,093 | 13 | ||||||||
UBS | (22,140 | ) | 22,132 | (9 | ) | |||||||
|
| |||||||||||
$ | 1,693 | |||||||||||
|
|
For the period ended November 30, 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 period.
Percentages are based on a Net Assets of $746,298 ($ Thousands).
* | Non-income producing security. |
** | The rate displayed is the 7-day effective yield. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 5). |
Cl — Class
EUR— Euro
USD. — U.S. Dollar
The following is a list of the inputs used as of November 30, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 591,651 | $ | — | $ | — | $ | 591,651 | ||||||||
Exchange Traded Funds | 144,876 | — | — | 144,876 | ||||||||||||
Cash Equivalent | 3,786 | — | — | 3,786 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 740,313 | $ | — | $ | — | $ | 740,313 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Purchased Option Contracts* | $ | 2,850 | $ | — | $ | — | $ | 2,850 | ||||||||
Written Option Contracts* | (1,005 | ) | — | — | (1,005 | ) | ||||||||||
Forwards* | $ | 1,693 | $ | — | $ | — | $ | 1,693 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 3,538 | $ | — | $ | — | $ | 3,538 | ||||||||
|
|
|
|
|
|
|
|
* | Forwards and Option Contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended November 30, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 3 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
4 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 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 six-months ended November 30, 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 18th 2004, as amended, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Registrant’s office.
Item 11. | Controls and Procedures. |
(a) The Registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under Act (17 CFR 270.30a-3(c))) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)) 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
Act (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrants internal control over financial reporting.
Items 12. | Exhibits. |
(a)(1) Not applicable for semi-annual report.
(a)(2) A separate certification of each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)), are filed herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Act (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: February 1, 2013
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: February 1, 2013
By | /S/ PETER A. RODRIGUEZ | |
Peter A. Rodriguez, Controller & CFO |
Date: February 1, 2013