Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSRS
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-07257
SEI Institutional Investments Trust
(Exact name of registrant as specified in charter)
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Address of principal executive offices) (Zip code)
CT Corporation
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, 2014
Date of reporting period: November 30, 2013
Table of Contents
Item 1. | Reports to Stockholders. |
Table of Contents
November 30, 2013
SEMI-ANNUAL REPORT
SEI Institutional Investments Trust
† Large Cap Fund
† Large Cap Diversified Alpha Fund
† Large Cap Disciplined Equity Fund
† Large Cap Index Fund
† Extended Market Index Fund
† Small Cap Fund
† Small Cap II Fund
† Small/Mid Cap Equity Fund
† U.S. Managed Volatility Fund
† World Equity Ex-US Fund
† Screened World Equity Ex-US Fund
† Opportunistic Income 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
Table of Contents
Summary Schedules of Investments/Schedules of Investments/Consolidated Summary Schedules of Investments | 1 | |||
Statements of Assets and Liabilities/Consolidated Statements of Assets and Liabilities | 226 | |||
Statements of Operations/Consolidated Statements of Operations | 232 | |||
Statements of Changes in Net Assets/Consolidated Statements of Changes in Net Assets | 238 | |||
246 | ||||
Financial Highlights/Consolidated Financial Highlights | 247 | |||
Notes to Financial Statements/Consolidated Notes to Financial Statements | 251 | |||
273 | ||||
Board of Trustees Considerations in Approving | 275 |
The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q within sixty days after the end of the period. The Trust’s Forms N-Q are available on the Commission’s website at http://www.sec.gov, and may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission’s website at http://www.sec.gov.
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund
November 30, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.1% |
| |||||||||||
Consumer Discretionary — 13.7% |
| |||||||||||
Coach (A) | 0.6 | % | 204,890 | $ | 11,863 | |||||||
L Brands | 0.6 | 193,900 | 12,602 | |||||||||
Liberty Interactive, Cl A* | 0.7 | 492,975 | 13,842 | |||||||||
NIKE, Cl B | 1.0 | 273,690 | 21,660 | |||||||||
Nordstrom | 0.5 | 178,624 | 11,112 | |||||||||
priceline.com* | 0.6 | 11,100 | 13,235 | |||||||||
Starbucks | 0.6 | 155,587 | 12,674 | |||||||||
Time Warner Cable, Cl A | 0.6 | 92,030 | 12,720 | |||||||||
TJX | 0.5 | 176,175 | 11,078 | |||||||||
Walt Disney | 0.5 | 157,078 | 11,080 | |||||||||
Other Securities | 7.5 | 161,219 | ||||||||||
|
| |||||||||||
293,085 | ||||||||||||
|
| |||||||||||
Consumer Staples — 9.8% |
| |||||||||||
Costco Wholesale | 1.1 | 189,644 | 23,787 | |||||||||
CVS Caremark | 1.0 | 308,708 | 20,671 | |||||||||
Estee Lauder, Cl A | 0.9 | 253,251 | 18,984 | |||||||||
Mead Johnson Nutrition, | 0.6 | 155,897 | 13,175 | |||||||||
Philip Morris International | 0.5 | 132,120 | 11,301 | |||||||||
Walgreen | 0.7 | 254,275 | 15,053 | |||||||||
Whole Foods Market | 0.8 | 293,295 | 16,601 | |||||||||
Other Securities | 4.2 | 89,693 | ||||||||||
|
| |||||||||||
209,265 | ||||||||||||
|
| |||||||||||
Energy — 9.3% |
| |||||||||||
Chevron | 1.1 | 196,935 | 24,113 | |||||||||
ConocoPhillips | 0.6 | 164,100 | 11,946 | |||||||||
EOG Resources | 0.6 | 82,575 | 13,625 | |||||||||
Exxon Mobil | 1.4 | 320,272 | 29,939 | |||||||||
Kinder Morgan | 0.5 | 312,938 | 11,122 | |||||||||
Phillips 66 | 0.7 | 206,570 | 14,379 | |||||||||
Other Securities | 4.4 | 94,087 | ||||||||||
|
| |||||||||||
199,211 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Financials — 15.6% |
| |||||||||||
American International Group | 0.9 | % | 388,060 | $ | 19,306 | |||||||
Bank of America | 0.7 | 908,700 | 14,376 | |||||||||
Citigroup | 0.9 | 372,250 | 19,699 | |||||||||
JPMorgan Chase | 1.0 | 373,390 | 21,365 | |||||||||
Travelers | 0.5 | 125,100 | 11,352 | |||||||||
Wells Fargo | 1.0 | 461,171 | 20,301 | |||||||||
Other Securities | 10.6 | 227,423 | ||||||||||
|
| |||||||||||
333,822 | ||||||||||||
|
| |||||||||||
Health Care — 14.0% |
| |||||||||||
Amgen | 0.7 | 133,385 | 15,217 | |||||||||
Biogen Idec* | 0.9 | 68,165 | 19,834 | |||||||||
Celgene* | 1.4 | 181,724 | 29,397 | |||||||||
Express Scripts Holding* | 1.0 | 325,049 | 21,892 | |||||||||
Johnson & Johnson | 0.9 | 199,535 | 18,888 | |||||||||
Pfizer | 1.1 | 749,860 | 23,793 | |||||||||
WellPoint | 0.7 | 152,200 | 14,136 | |||||||||
Other Securities | 7.3 | 155,831 | ||||||||||
|
| |||||||||||
298,988 | ||||||||||||
|
| |||||||||||
Industrials — 8.7% |
| |||||||||||
Canadian Pacific Railway | 0.5 | 75,380 | 11,600 | |||||||||
Northrop Grumman | 0.6 | 114,900 | 12,947 | |||||||||
Other Securities | 7.6 | 161,524 | ||||||||||
|
| |||||||||||
186,071 | ||||||||||||
|
| |||||||||||
Information Technology — 20.4% |
| |||||||||||
Adobe Systems* | 1.4 | 510,756 | 29,001 | |||||||||
Apple | 1.1 | 40,879 | 22,732 | |||||||||
eBay* | 0.9 | 365,647 | 18,472 | |||||||||
Google, Cl A* | 1.2 | 23,805 | 25,223 | |||||||||
Mastercard, Cl A | 1.2 | 33,210 | 25,267 | |||||||||
Microsoft | 1.1 | 602,050 | 22,956 | |||||||||
Oracle | 0.7 | 440,224 | 15,536 | |||||||||
Qualcomm | 1.6 | 460,951 | 33,917 | |||||||||
Visa, Cl A | 1.2 | 127,961 | 26,035 | |||||||||
Western Digital | 0.5 | 153,398 | 11,511 | |||||||||
Other Securities | 9.5 | 202,972 | ||||||||||
|
| |||||||||||
433,622 | ||||||||||||
|
| |||||||||||
Materials — 2.9% |
| |||||||||||
LyondellBasell | ||||||||||||
Industries, Cl A | 0.6 | 159,442 | 12,306 | |||||||||
Other Securities | 2.3 | 48,085 | ||||||||||
|
| |||||||||||
60,391 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 1.4% |
| |||||||||||
Crown Castle International* | 1.1 | 325,011 | 24,125 | |||||||||
Other Securities | 0.3 | 7,008 | ||||||||||
|
| |||||||||||
31,133 | ||||||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 1 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Fund (Concluded)
November 30, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Utilities — 1.4% |
| |||||||||||
Other Securities | 1.4 | % | $ | 29,518 | ||||||||
|
| |||||||||||
Total Common Stock |
| 2,075,106 | ||||||||||
|
| |||||||||||
WARRANT — 0.0% |
| |||||||||||
Other Securities | 0.0 | 446 | ||||||||||
|
| |||||||||||
Total Warrant |
| 446 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 3.7% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.080%**† (B) | 3.7 | 78,697,856 | 78,698 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 78,698 | ||||||||||
|
| |||||||||||
CASH EQUIVALENTS — 2.1% |
| |||||||||||
SEI Daily Income Trust, | 2.1 | 42,096,695 | 42,097 | |||||||||
Other Securities | 0.0 | 1,523 | ||||||||||
|
| |||||||||||
Total Cash Equivalents |
| 43,620 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS — 0.2% |
| |||||||||||
Other Securities (C) | 0.2 | 3,300 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 3,300 | ||||||||||
|
| |||||||||||
Total Investments — 103.0% |
| $ | 2,201,170 | |||||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2013, are as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 143 | Dec-2013 | $ | 104 | ||||||||
|
|
For the period ended November 30, 2013, 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 $2,137,961 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2013. |
† | Investment in Affiliated Security (see Note 6). |
(A) | This security or a partial position of this security is on loan at November 30, 2013. The total value of securities on loan at November 30, 2013 was $77,131 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total value of such securities as of November 30, 2013 was $78,698 ($ Thousands). |
(C) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard & 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 level of inputs used as of November 30, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 2,075,106 | $ | — | $ | — | $ | 2,075,106 | ||||||||
Warrant | 446 | — | — | 446 | ||||||||||||
Affiliated Partnership | — | 78,698 | — | 78,698 | ||||||||||||
Cash Equivalents | 43,620 | — | — | 43,620 | ||||||||||||
U.S. Treasury Obligations | — | 3,300 | — | 3,300 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,119,172 | $ | 81,998 | $ | — | $ | 2,201,170 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 104 | $ | — | $ | — | $ | 104 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2013, 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 $0.
The accompanying notes are an integral part of the financial statements.
2 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund
November 30, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.0% |
| |||||||||||
Consumer Discretionary — 14.6% |
| |||||||||||
Coach | 0.6 | % | 35,633 | $ | 2,063 | |||||||
General Motors* | 0.7 | 54,280 | 2,102 | |||||||||
L Brands | 0.8 | 37,050 | 2,408 | |||||||||
Liberty Interactive, | 1.0 | 113,082 | 3,175 | |||||||||
NIKE, Cl B | 1.4 | 54,978 | 4,351 | |||||||||
Nordstrom | 0.9 | 44,369 | 2,760 | |||||||||
priceline.com* | 1.0 | 2,780 | 3,315 | |||||||||
TJX | 0.9 | 47,418 | 2,982 | |||||||||
Toyota Motor ADR | 0.7 | 18,677 | 2,335 | |||||||||
Walt Disney | 0.9 | 39,552 | 2,790 | |||||||||
Other Securities | 5.7 | 18,408 | ||||||||||
|
| |||||||||||
46,689 | ||||||||||||
|
| |||||||||||
Consumer Staples — 10.2% |
| |||||||||||
Costco Wholesale | 0.9 | 23,057 | 2,892 | |||||||||
CVS Caremark | 1.0 | 46,666 | 3,125 | |||||||||
Estee Lauder, Cl A | 0.9 | 38,008 | 2,849 | |||||||||
Kroger | 0.8 | 58,874 | 2,458 | |||||||||
Mondelez International, | 0.9 | 84,630 | 2,838 | |||||||||
Walgreen | 1.0 | 52,112 | 3,085 | |||||||||
Wal-Mart Stores | 0.7 | 25,889 | 2,097 | |||||||||
Other Securities | 4.0 | 12,735 | ||||||||||
|
| |||||||||||
32,079 | ||||||||||||
|
| |||||||||||
Energy — 9.1% |
| |||||||||||
BP PLC ADR | 0.9 | 64,404 | 3,028 | |||||||||
Chevron | 1.0 | 26,418 | 3,235 | |||||||||
EOG Resources | 1.3 | 25,025 | 4,129 | |||||||||
Halliburton | 1.0 | 58,703 | 3,092 | |||||||||
Kinder Morgan | 0.9 | 81,249 | 2,887 | |||||||||
Other Securities | 4.0 | 12,800 | ||||||||||
|
| |||||||||||
29,171 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Financials — 13.8% |
| |||||||||||
IntercontinentalExchange Group | 0.9 | % | 13,111 | $ | 2,796 | |||||||
JPMorgan Chase | 1.2 | 69,143 | 3,956 | |||||||||
MetLife | 0.7 | 45,536 | 2,377 | |||||||||
Progressive | 0.7 | 79,625 | 2,224 | |||||||||
Wells Fargo | 0.7 | 50,532 | 2,224 | |||||||||
Other Securities | 9.6 | 31,053 | ||||||||||
|
| |||||||||||
44,630 | ||||||||||||
|
| |||||||||||
Health Care — 14.1% |
| |||||||||||
Allergan | 0.8 | 27,850 | 2,703 | |||||||||
Amgen | 0.9 | 25,014 | 2,853 | |||||||||
Biogen Idec* | 0.9 | 9,740 | 2,834 | |||||||||
Celgene* | 1.9 | 38,602 | 6,245 | |||||||||
Express Scripts Holding* | 0.9 | 41,031 | 2,763 | |||||||||
Humana | 0.7 | 23,008 | 2,393 | |||||||||
Johnson & Johnson | 0.9 | 29,883 | 2,829 | |||||||||
Merck | 0.7 | 43,235 | 2,154 | |||||||||
WellPoint | 0.7 | 25,370 | 2,356 | |||||||||
Other Securities | 5.7 | 18,398 | ||||||||||
|
| |||||||||||
45,528 | ||||||||||||
|
| |||||||||||
Industrials — 7.4% |
| |||||||||||
Delta Air Lines | 0.9 | 98,257 | 2,848 | |||||||||
Other Securities | 6.5 | 20,999 | ||||||||||
|
| |||||||||||
23,847 | ||||||||||||
|
| |||||||||||
Information Technology — 21.1% |
| |||||||||||
Adobe Systems* | 1.6 | 90,972 | 5,165 | |||||||||
Apple | 1.8 | 10,536 | 5,859 | |||||||||
eBay* | 1.2 | 77,702 | 3,925 | |||||||||
EMC | 0.7 | 97,414 | 2,323 | |||||||||
Google, Cl A* | 1.0 | 2,931 | 3,106 | |||||||||
Intuit | 0.7 | 31,983 | 2,374 | |||||||||
Mastercard, Cl A | 1.6 | 6,725 | 5,116 | |||||||||
Microsoft | 1.3 | 110,633 | 4,219 | |||||||||
Oracle | 0.9 | 81,669 | 2,882 | |||||||||
Qualcomm | 2.0 | 85,761 | 6,310 | |||||||||
Visa, Cl A | 1.4 | 22,800 | 4,639 | |||||||||
Other Securities | 6.9 | 22,133 | ||||||||||
|
| |||||||||||
68,051 | ||||||||||||
|
| |||||||||||
Materials — 2.4% |
| |||||||||||
Other Securities | 2.4 | 7,763 | ||||||||||
|
| |||||||||||
Telecommunication Services — 3.5% |
| |||||||||||
Crown Castle International* | 1.9 | 80,969 | 6,010 | |||||||||
Verizon Communications | 0.7 | 43,407 | 2,154 | |||||||||
Other Securities | 0.9 | 2,797 | ||||||||||
|
| |||||||||||
10,961 | ||||||||||||
|
|
SEI Institutional Investments Trust /Semi-Annual Report / November 30, 2013 | 3 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Concluded)
November 30, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Utilities — 1.2% |
| |||||||||||
Other Securities | 1.2 | % | $ | 3,913 | ||||||||
|
| |||||||||||
Total Common Stock |
| 312,632 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 2.7% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**† | 2.7 | 8,633,244 | 8,633 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 8,633 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS — 0.2% |
| |||||||||||
Other Securities (A) | 0.2 | 621 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 621 | ||||||||||
|
| |||||||||||
Total Investments — 99.9% |
| $ | 321,886 | |||||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2013, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 4 | Dec-2013 | $ | 20 | ||||||||
S&P 500 Index E-MINI | 54 | Dec-2013 | 200 | |||||||||
|
| |||||||||||
$ | 220 | |||||||||||
|
|
For the period ended November 30, 2013, 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 $322,330 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2013. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
PLC — Public Limited Company
S&P — Standard & 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 level of inputs used as of November 30, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 312,632 | $ | — | $ | — | $ | 312,632 | ||||||||
Cash Equivalent | 8,633 | — | — | 8,633 | ||||||||||||
U.S. Treasury Obligations | — | 621 | — | 621 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 321,265 | $ | 621 | $ | — | $ | 321,886 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 220 | $ | — | $ | — | $ | 220 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2013, 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 $0.
The accompanying notes are an integral part of the financial statements.
4 | SEI Institutional Investments Trust /Semi-Annual Report / November 30, 2013 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund
November 30, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.2% |
| |||||||||||
Consumer Discretionary — 11.9% |
| |||||||||||
AutoZone* | 0.9 | % | 99,174 | $ | 45,779 | |||||||
Comcast, Cl A | 1.1 | 1,117,880 | 55,179 | |||||||||
Home Depot | 0.8 | 463,302 | 37,375 | |||||||||
Macy’s | 0.6 | 511,696 | 27,253 | |||||||||
Time Warner | 0.6 | 412,730 | 27,121 | |||||||||
TJX | 0.6 | 492,950 | 30,997 | |||||||||
Viacom, Cl B | 0.6 | 388,440 | 31,141 | |||||||||
Other Securities | 6.7 | 326,425 | ||||||||||
|
| |||||||||||
581,270 | ||||||||||||
|
| |||||||||||
Consumer Staples — 9.0% |
| |||||||||||
CVS Caremark | 0.9 | 667,708 | 44,710 | |||||||||
Kroger | 0.6 | 722,513 | 30,165 | |||||||||
Mondelez International, Cl A | 0.6 | 867,523 | 29,088 | |||||||||
PepsiCo | 0.5 | 312,007 | 26,352 | |||||||||
Philip Morris International | 0.9 | 504,055 | 43,117 | |||||||||
Wal-Mart Stores | 1.0 | 582,048 | 47,152 | |||||||||
Other Securities | 4.5 | 220,316 | ||||||||||
|
| |||||||||||
440,900 | ||||||||||||
|
| |||||||||||
Energy — 10.6% |
| |||||||||||
Chevron | 2.6 | 1,045,897 | 128,060 | |||||||||
ConocoPhillips | 1.1 | 703,387 | 51,207 | |||||||||
Exxon Mobil | 1.6 | 824,812 | 77,103 | |||||||||
National Oilwell Varco | 0.7 | 429,020 | 34,965 | |||||||||
Schlumberger | 0.8 | 409,479 | 36,206 | |||||||||
Other Securities | 3.8 | 185,738 | ||||||||||
|
| |||||||||||
513,279 | ||||||||||||
|
| |||||||||||
Financials — 16.1% |
| |||||||||||
American Express | 0.8 | 439,157 | 37,680 | |||||||||
Bank of America | 0.7 | 2,241,697 | 35,464 | |||||||||
Citigroup | 1.4 | 1,277,751 | 67,618 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Discover Financial Services | 0.9 | % | 812,483 | $ | 43,305 | |||||||
JPMorgan Chase | 1.8 | 1,539,230 | 88,075 | |||||||||
McGraw Hill Financial | 0.7 | 463,090 | 34,500 | |||||||||
Wells Fargo | 0.6 | 709,249 | 31,221 | |||||||||
Other Securities | 9.2 | 443,738 | ||||||||||
|
| |||||||||||
781,601 | ||||||||||||
|
| |||||||||||
Health Care — 14.9% |
| |||||||||||
AbbVie | 0.7 | 648,075 | 31,399 | |||||||||
Allergan | 0.6 | 285,390 | 27,697 | |||||||||
Amgen | 0.7 | 281,553 | 32,119 | |||||||||
Celgene* | 0.6 | 176,558 | 28,562 | |||||||||
Covidien | 0.6 | 395,090 | 26,969 | |||||||||
Express Scripts Holding* | 0.9 | 640,650 | 43,148 | |||||||||
Johnson & Johnson | 1.1 | 565,336 | 53,515 | |||||||||
Pfizer | 2.0 | 3,053,490 | 96,887 | |||||||||
UnitedHealth Group | 0.7 | 468,185 | 34,871 | |||||||||
Zoetis, Cl A | 0.6 | 936,946 | 29,186 | |||||||||
Other Securities | 6.4 | 307,911 | ||||||||||
|
| |||||||||||
712,264 | ||||||||||||
|
| |||||||||||
Industrials — 9.5% |
| |||||||||||
3M | 0.6 | 204,015 | 27,238 | |||||||||
Canadian National Railway | 0.6 | 261,580 | 29,428 | |||||||||
Tyco International | 0.7 | 830,790 | 31,686 | |||||||||
Union Pacific | 0.6 | 182,513 | 29,574 | |||||||||
Other Securities | 7.0 | 337,843 | ||||||||||
|
| |||||||||||
455,769 | ||||||||||||
|
| |||||||||||
Information Technology — 17.6% |
| |||||||||||
Apple | 3.1 | 271,950 | 151,223 | |||||||||
Cisco Systems | 1.0 | 2,273,329 | 48,308 | |||||||||
eBay* | 0.6 | 531,960 | 26,875 | |||||||||
Google, Cl A* | 1.7 | 79,392 | 84,123 | |||||||||
International Business Machines | 1.1 | 307,241 | 55,205 | |||||||||
Microsoft | 0.7 | 908,808 | 34,653 | |||||||||
Oracle | 0.9 | 1,227,673 | 43,325 | |||||||||
Other Securities | 8.5 | 409,659 | ||||||||||
|
| |||||||||||
853,371 | ||||||||||||
|
| |||||||||||
Materials — 4.0% |
| |||||||||||
LyondellBasell Industries, Cl A | 0.7 | 409,932 | 31,639 | |||||||||
Monsanto | 0.6 | 271,803 | 30,803 | |||||||||
Other Securities | 2.7 | 130,198 | ||||||||||
|
| |||||||||||
192,640 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 1.8% |
| |||||||||||
AT&T (A) | 0.6 | 846,263 | 29,797 | |||||||||
Verizon Communications (A) | 0.8 | 730,949 | 36,270 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 5 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Disciplined Equity Fund (Concluded)
November 30, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Other Securities | 0.4 | % | $ | 23,006 | ||||||||
|
| |||||||||||
89,073 | ||||||||||||
|
| |||||||||||
Utilities — 1.9% |
| |||||||||||
Other Securities | 1.9 | 92,096 | ||||||||||
|
| |||||||||||
Total Common Stock |
| 4,712,263 | ||||||||||
|
| |||||||||||
PREFERRED STOCK — 0.1% |
| |||||||||||
Preferred Stock — 0.1% |
| |||||||||||
Other Securities | 0.1 | 7,015 | ||||||||||
|
| |||||||||||
Total Preferred Stock |
| 7,015 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 4.5% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.080%**† (B) | 4.5 | 220,602,936 | 220,603 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 220,603 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 1.7% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation | 1.7 | 82,153,228 | 82,153 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 82,153 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS — 0.5% |
| |||||||||||
Other Securities (C) | 0.5 | 22,721 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 22,721 | ||||||||||
|
| |||||||||||
Total Investments — 104.0% |
| $ | 5,044,755 | |||||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2013, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 757 | Dec-2013 | $ | 1,272 | ||||||||
|
|
For the period ended November 30, 2013, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $4,848,517 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2013. |
† | Investment in Affiliated Security (see Note 6). |
(A) | This security or a partial position of this security is on loan at November 30, 2013. The total value of securities on loan at November 30, 2013 was $215,028 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total value of such securities as of November 30, 2013 was $220,603 ($ Thousands). |
(C) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard & 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 level of inputs used as of November 30, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 4,712,263 | $ | — | $ | — | $ | 4,712,263 | ||||||||
Preferred Stock | 7,015 | — | — | 7,015 | ||||||||||||
Affiliated Partnership | — | 220,603 | — | 220,603 | ||||||||||||
Cash Equivalent | 82,153 | — | — | 82,153 | ||||||||||||
U.S. Treasury Obligations | — | 22,721 | — | 22,721 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 4,801,431 | $ | 243,324 | $ | — | $ | 5,044,755 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 1,272 | $ | — | $ | — | $ | 1,272 | ||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 1,272 | $ | — | $ | — | $ | 1,272 | |||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2013, 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 $0.
The accompanying notes are an integral part of the financial statements.
6 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund
November 30, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 98.8% |
| |||||||||||
Consumer Discretionary — 13.3% |
| |||||||||||
Amazon.com* | 0.8 | % | 40,389 | $ | 15,898 | |||||||
Comcast, Cl A | 0.7 | 288,225 | 14,374 | |||||||||
Home Depot | 0.6 | 160,315 | 12,933 | |||||||||
McDonald’s | 0.5 | 109,880 | 10,699 | |||||||||
Walt Disney | 0.7 | 197,772 | 13,951 | |||||||||
Other Securities | 10.0 | 206,913 | ||||||||||
|
| |||||||||||
274,768 | ||||||||||||
|
| |||||||||||
Consumer Staples — 8.9% |
| |||||||||||
Altria Group | 0.4 | 219,440 | 8,115 | |||||||||
Coca-Cola | 0.8 | 420,640 | 16,905 | |||||||||
CVS Caremark | 0.4 | 133,952 | 8,970 | |||||||||
PepsiCo | 0.7 | 169,852 | 14,346 | |||||||||
Philip Morris | ||||||||||||
International | 0.7 | 179,768 | 15,377 | |||||||||
Procter & Gamble | 1.2 | 301,974 | 25,432 | |||||||||
Wal-Mart Stores | 0.7 | 176,879 | 14,329 | |||||||||
Other Securities | 4.0 | 83,419 | ||||||||||
|
| |||||||||||
186,893 | ||||||||||||
|
| |||||||||||
Energy — 9.4% |
| |||||||||||
Chevron | 1.3 | 213,602 | 26,153 | |||||||||
ConocoPhillips | 0.5 | 133,876 | 9,746 | |||||||||
Exxon Mobil | 2.2 | 490,838 | 45,883 | |||||||||
Occidental Petroleum | 0.4 | 88,054 | 8,362 | |||||||||
Schlumberger | 0.6 | 145,963 | 12,906 | |||||||||
Other Securities | 4.5 | 93,246 | ||||||||||
|
| |||||||||||
196,296 | ||||||||||||
|
| |||||||||||
Financials — 16.8% |
| |||||||||||
American Express | 0.4 | 103,634 | 8,892 | |||||||||
Bank of America | 0.9 | 1,186,263 | 18,767 | |||||||||
Berkshire Hathaway, | 1.1 | 198,200 | 23,096 | |||||||||
Citigroup | 0.9 | 334,704 | 17,712 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Goldman Sachs | 0.4 | % | 50,075 | $ | 8,460 | |||||||
JPMorgan Chase | 1.2 | 416,334 | 23,823 | |||||||||
SEI (A) | 0.0 | 17,442 | 586 | |||||||||
Wells Fargo | 1.1 | 531,866 | 23,413 | |||||||||
Other Securities | 10.8 | 223,980 | ||||||||||
|
| |||||||||||
348,729 | ||||||||||||
|
| |||||||||||
Health Care — 12.6% |
| |||||||||||
AbbVie | 0.4 | 173,076 | 8,386 | |||||||||
Amgen | 0.5 | 82,058 | 9,361 | |||||||||
Bristol-Myers Squibb | 0.4 | 179,759 | 9,236 | |||||||||
Gilead Sciences* | 0.6 | 167,334 | 12,518 | |||||||||
Johnson & Johnson | 1.4 | 309,709 | 29,317 | |||||||||
Merck | 0.8 | 332,043 | 16,546 | |||||||||
Pfizer | 1.1 | 736,722 | 23,376 | |||||||||
UnitedHealth Group | 0.4 | 111,520 | 8,306 | |||||||||
Other Securities | 7.0 | 144,480 | ||||||||||
|
| |||||||||||
261,526 | ||||||||||||
|
| |||||||||||
Industrials — 11.2% |
| |||||||||||
3M | 0.5 | 75,633 | 10,098 | |||||||||
Boeing | 0.5 | 83,191 | 11,168 | |||||||||
General Electric | 1.5 | 1,140,123 | 30,395 | |||||||||
Union Pacific | 0.4 | 51,016 | 8,267 | |||||||||
United Technologies | 0.5 | 100,790 | 11,174 | |||||||||
Other Securities | 7.8 | 161,248 | ||||||||||
|
| |||||||||||
232,350 | ||||||||||||
|
| |||||||||||
Information Technology — 17.7% |
| |||||||||||
Apple | 2.8 | 103,645 | 57,634 | |||||||||
Cisco Systems | 0.6 | 586,427 | 12,462 | |||||||||
Facebook, Cl A* | 0.4 | 186,300 | 8,758 | |||||||||
Google, Cl A* | 1.5 | 29,729 | 31,501 | |||||||||
Intel | 0.6 | 545,658 | 13,008 | |||||||||
International Business Machines | 1.0 | 114,598 | 20,591 | |||||||||
Mastercard, Cl A | 0.5 | 12,800 | 9,738 | |||||||||
Microsoft | 1.7 | 921,200 | 35,125 | |||||||||
Oracle | 0.7 | 389,820 | 13,757 | |||||||||
Qualcomm | 0.7 | 189,759 | 13,962 | |||||||||
Visa, Cl A | 0.6 | 57,300 | 11,658 | |||||||||
Other Securities | 6.6 | 137,653 | ||||||||||
|
| |||||||||||
365,847 | ||||||||||||
|
| |||||||||||
Materials — 3.7% |
| |||||||||||
Other Securities | 3.7 | 76,278 | ||||||||||
|
| |||||||||||
Telecommunication Services — 2.3% |
| |||||||||||
AT&T (B) | 1.0 | 592,333 | 20,856 | |||||||||
Verizon Communications (B) | 0.8 | 314,476 | 15,604 | |||||||||
Other Securities | 0.5 | 9,316 | ||||||||||
|
| |||||||||||
45,776 | ||||||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 7 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Index Fund (Concluded)
November 30, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Utilities — 3.0% |
| |||||||||||
Other Securities | 3.0 | % | $ | 61,892 | ||||||||
|
| |||||||||||
Total Common Stock |
| 2,050,355 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 6.3% |
| |||||||||||
SEI Liquidity Fund, L.P. | 6.3 | 131,166,107 | 131,166 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 131,166 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 0.5% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**† | 0.5 | 9,516,148 | 9,516 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 9,516 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (D) — 0.1% |
| |||||||||||
Other Securities | 0.1 | 2,150 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 2,150 | ||||||||||
|
| |||||||||||
Total Investments — 105.6% |
| $ | 2,193,187 | |||||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2013, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P Mid 400 Index E-MINI | 22 | Dec-2013 | $ | 170 | ||||||||
S&P 500 Index E-MINI | 290 | Dec-2013 | 1,810 | |||||||||
|
| |||||||||||
$ | 1,980 | |||||||||||
|
|
For the period ended November 30, 2013, 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 $2,077,397 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2013. |
† | Investment in Affiliated Security (see Note 6). |
(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, 2013. The total value of securities on loan at November 30, 2013 was $127,814 ($ Thousands). |
(C) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total value of such securities as of November 30, 2013 was $131,166 ($ Thousands). |
(D) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard & Poor’s
The 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 level of inputs used as of November 30, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 2,050,355 | $ | — | $ | — | $ | 2,050,355 | ||||||||
Affiliated Partnership | — | 131,166 | — | 131,166 | ||||||||||||
Cash Equivalent | 9,516 | — | — | 9,516 | ||||||||||||
U.S. Treasury Obligation | — | 2,150 | — | 2,150 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,059,871 | $ | 133,316 | $ | — | $ | 2,193,187 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 1,980 | $ | — | $ | — | $ | 1,980 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2013, 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 $0.
The accompanying notes are an integral part of the financial statements.
8 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Extended Market Index Fund
November 30, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.8% |
| |||||||||||
Consumer Discretionary — 16.1% |
| |||||||||||
Charter Communications, Cl A* | 0.2 | % | 5,465 | $ | 738 | |||||||
DISH Network, Cl A | 0.3 | 17,819 | 965 | |||||||||
Las Vegas Sands | 0.7 | 32,604 | 2,337 | |||||||||
Liberty Global, Cl A* | 0.8 | 32,981 | 2,830 | |||||||||
Liberty Interactive, Cl A* | 0.4 | 45,016 | 1,264 | |||||||||
Liberty Media* | 0.4 | 8,535 | 1,310 | |||||||||
LKQ* | 0.2 | 24,604 | 816 | |||||||||
Mohawk Industries* | 0.2 | 5,037 | 705 | |||||||||
Polaris Industries (A) | 0.2 | 5,307 | 708 | |||||||||
Sirius XM Holdings (A) | 0.3 | 263,079 | 992 | |||||||||
Tesla Motors* (A) | 0.3 | 6,879 | 876 | |||||||||
Thomson Reuters | 0.3 | 31,785 | 1,188 | |||||||||
Tractor Supply | 0.2 | 11,520 | 843 | |||||||||
TRW Automotive Holdings | 0.2 | 8,893 | 690 | |||||||||
Ulta Salon Cosmetics & Fragrance* | 0.2 | 5,273 | 669 | |||||||||
Other Securities | 11.2 | 38,834 | ||||||||||
|
| |||||||||||
55,765 | ||||||||||||
|
| |||||||||||
Consumer Staples — 3.3% | ||||||||||||
Bunge | 0.3 | 12,543 | 1,005 | |||||||||
Church & Dwight | 0.2 | 11,399 | 744 | |||||||||
Green Mountain Coffee Roasters (A) | 0.2 | 12,279 | 827 | |||||||||
Other Securities | 2.6 | 8,920 | ||||||||||
|
| |||||||||||
11,496 | ||||||||||||
|
| |||||||||||
Energy — 5.8% | ||||||||||||
Cheniere Energy* | 0.2 | 19,865 | 786 | |||||||||
Cimarex Energy | 0.2 | 7,161 | 677 | |||||||||
Concho Resources* | 0.3 | 8,942 | 929 | |||||||||
HollyFrontier | 0.2 | 16,754 | 804 | |||||||||
Oceaneering International | 0.2 | 8,946 | 691 | |||||||||
Seadrill | 0.4 | 29,600 | 1,264 | |||||||||
Other Securities | 4.3 | 14,864 | ||||||||||
|
| |||||||||||
20,015 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Financials — 21.6% | ||||||||||||
Affiliated Managers | 0.3 | % | 4,511 | $ | 903 | |||||||
American Capital Agency‡ | 0.2 | 32,721 | 667 | |||||||||
Annaly Capital Management‡ | 0.2 | 77,814 | 791 | |||||||||
CIT Group | 0.2 | 16,537 | 835 | |||||||||
General Growth | 0.3 | 50,675 | 1,052 | |||||||||
Markel | 0.2 | 1,213 | 676 | |||||||||
SEI (B) | 0.1 | 12,119 | 407 | |||||||||
SL Green Realty‡ | 0.2 | 7,540 | 682 | |||||||||
Other Securities | 19.9 | 68,903 | ||||||||||
|
| |||||||||||
74,916 | ||||||||||||
|
| |||||||||||
Health Care — 10.7% | ||||||||||||
BioMarin Pharmaceutical* | 0.2 | 11,446 | 806 | |||||||||
Catamaran* | 0.2 | 16,907 | 771 | |||||||||
HCA Holdings | 0.3 | 22,780 | 1,057 | |||||||||
Henry Schein* | 0.3 | 7,443 | 849 | |||||||||
Illumina* | 0.3 | 10,579 | 1,037 | |||||||||
Other Securities | 9.4 | 32,307 | ||||||||||
|
| |||||||||||
36,827 | ||||||||||||
|
| |||||||||||
Industrials — 13.9% | ||||||||||||
BE Aerospace* | 0.2 | 8,130 | 707 | |||||||||
Hertz Global Holdings* | 0.2 | 28,614 | 694 | |||||||||
TransDigm Group | 0.2 | 4,305 | 674 | |||||||||
United Continental Holdings* | 0.3 | 30,252 | 1,187 | |||||||||
Verisk Analytics, Cl A* | 0.2 | 12,472 | 812 | |||||||||
Other Securities | 12.8 | 44,023 | ||||||||||
|
| |||||||||||
48,097 | ||||||||||||
|
| |||||||||||
Information Technology — 17.0% |
| |||||||||||
Alliance Data Systems* (A) | 0.3 | 4,089 | 991 | |||||||||
Avago Technologies, Cl A | 0.3 | 20,968 | 938 | |||||||||
Facebook, Cl A* | 2.0 | 143,169 | 6,730 | |||||||||
FleetCor Technologies | 0.2 | 5,673 | 691 | |||||||||
LinkedIn, Cl A* | 0.5 | 8,106 | 1,816 | |||||||||
Maxim Integrated Products | 0.2 | 24,004 | 684 | |||||||||
Trimble Navigation* | 0.2 | 21,220 | 677 | |||||||||
Other Securities | 13.3 | 46,135 | ||||||||||
|
| |||||||||||
58,662 | ||||||||||||
|
| |||||||||||
Materials — 5.1% | ||||||||||||
Celanese, Cl A | 0.2 | 13,192 | 741 | |||||||||
Other Securities | 4.9 | 16,770 | ||||||||||
|
| |||||||||||
17,511 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 1.2% |
| |||||||||||
SBA Communications, Cl A* (A) | 0.3 | 10,519 | 896 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 9 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Extended Market Index Fund (Concluded)
November 30, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Other Securities | 0.9 | % | $ | 3,030 | ||||||||
|
| |||||||||||
3,926 | ||||||||||||
|
| |||||||||||
Utilities — 3.1% | ||||||||||||
Other Securities | 3.1 | 10,709 | ||||||||||
|
| |||||||||||
Total Common Stock |
| 337,924 | ||||||||||
|
| |||||||||||
WARRANTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Warrants |
| — | ||||||||||
|
| |||||||||||
RIGHTS — 0.0% | ||||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
— | ||||||||||||
|
| |||||||||||
Total Rights |
| — | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 9.1% |
| |||||||||||
SEI Liquidity Fund, L.P. | 9.1 | 31,444,610 | 31,445 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 31,445 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 2.0% |
| |||||||||||
SEI Daily Income | 2.0 | 6,978,623 | 6,979 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 6,979 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (D) — 0.1% |
| |||||||||||
Other Securities | 0.1 | 430 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 430 | ||||||||||
|
| |||||||||||
Total Investments — 109.0% |
| $ | 376,778 | |||||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2013, are as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P Mid 400 Index E-MINI | 37 | Dec-2013 | $ | 257 | ||||||||
Russell 2000 Index E-MINI | 25 | Dec-2013 | 206 | |||||||||
|
| |||||||||||
$ | 463 | |||||||||||
|
|
For the period ended November 30, 2013, 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 $345,517 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2013. |
† | Investment in Affiliated Security (see Note 6). |
‡ | Real Estate Investment Trust. |
(A) | This security or a partial position of this security is on loan at November 30, 2013. The total value of securities on loan at November 30, 2013 was $30,554 ($ 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 12). The total value of such securities as of November 30, 2013 was $31,445 ($ Thousands). |
(D) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard & Poor’s
The 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 level of inputs used as of November 30, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 337,924 | $ | — | $ | — | $ | 337,924 | ||||||||
Affiliated Partnership | — | 31,445 | — | 31,445 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Rights | — | — | — | — | ||||||||||||
Cash Equivalent | 6,979 | — | — | 6,979 | ||||||||||||
U.S. Treasury Obligations | — | 430 | — | 430 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 344,903 | $ | 31,875 | $ | — | $ | 376,778 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 463 | $ | — | $ | — | $ | 463 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2013, 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 $0.
The accompanying notes are an integral part of the financial statements.
10 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund
November 30, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 95.0% |
| |||||||||||
Consumer Discretionary — 13.3% |
| |||||||||||
Brunswick | 0.3 | % | 53,195 | $ | 2,431 | |||||||
Five Below* | 0.3 | 39,795 | 2,116 | |||||||||
Hibbett Sports* (A) | 0.3 | 32,954 | 2,128 | |||||||||
HomeAway* (A) | 0.4 | 78,188 | 2,854 | |||||||||
Lumber Liquidators Holdings* (A) | 0.3 | 19,615 | 1,975 | |||||||||
Shutterfly* | 0.3 | 54,287 | 2,564 | |||||||||
Wolverine World Wide (A) | 0.3 | 80,206 | 2,640 | |||||||||
Other Securities | 11.1 | 86,642 | ||||||||||
|
| |||||||||||
103,350 | ||||||||||||
|
| |||||||||||
Consumer Staples — 2.7% |
| |||||||||||
Other Securities | 2.7 | 20,863 | ||||||||||
|
| |||||||||||
Energy — 6.2% |
| |||||||||||
Approach Resources* (A) | 0.3 | 104,932 | 2,223 | |||||||||
Dril-Quip* | 0.3 | 23,653 | 2,568 | |||||||||
Oasis Petroleum* | 0.3 | 58,955 | 2,720 | |||||||||
Other Securities | 5.3 | 40,930 | ||||||||||
|
| |||||||||||
48,441 | ||||||||||||
|
| |||||||||||
Financials — 19.7% |
| |||||||||||
CNO Financial Group | 0.5 | 240,550 | 4,070 | |||||||||
Employers Holdings | 0.3 | 63,388 | 2,069 | |||||||||
Hanover Insurance Group | 0.2 | 32,859 | 1,982 | |||||||||
Horace Mann Educators | 0.4 | 93,244 | 2,864 | |||||||||
Jones Lang LaSalle | 0.3 | 22,594 | 2,208 | |||||||||
Nelnet, Cl A | 0.4 | 64,800 | 2,916 | |||||||||
Platinum Underwriters Holdings | 0.4 | 46,352 | 2,939 | |||||||||
Other Securities | 17.2 | 133,885 | ||||||||||
|
| |||||||||||
152,933 | ||||||||||||
|
| |||||||||||
Health Care — 12.1% |
| |||||||||||
Acadia Healthcare* (A) | 0.4 | 77,401 | 3,576 | |||||||||
athenahealth* (A) | 0.3 | 15,940 | 2,091 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
HealthSouth (A) | 0.2 | % | 56,385 | $ | 2,018 | |||||||
Keryx Biopharmaceuticals* (A) | 0.3 | 173,243 | 2,406 | |||||||||
Novadaq Technologies* (A) | 0.3 | 126,208 | 2,101 | |||||||||
Other Securities | 10.6 | 82,199 | ||||||||||
|
| |||||||||||
94,391 | ||||||||||||
|
| |||||||||||
Industrials — 18.1% |
| |||||||||||
Actuant, Cl A (A) | 0.4 | 84,277 | 3,294 | |||||||||
Corporate Executive Board | 0.2 | 27,165 | 2,000 | |||||||||
Curtiss-Wright | 0.3 | 39,377 | 2,078 | |||||||||
EMCOR Group | 0.4 | 69,305 | 2,753 | |||||||||
FTI Consulting* (A) | 0.3 | 53,643 | 2,409 | |||||||||
G&K Services, Cl A | 0.3 | 34,533 | 2,080 | |||||||||
Hexcel* | 0.4 | 71,674 | 3,149 | |||||||||
Kirby* | 0.3 | 21,802 | 2,059 | |||||||||
Middleby* | 0.3 | 11,769 | 2,599 | |||||||||
Old Dominion Freight Line* | 0.3 | 50,769 | 2,616 | |||||||||
Saia* | 0.3 | 62,702 | 2,178 | |||||||||
TrueBlue* | 0.4 | 132,722 | 3,390 | |||||||||
Other Securities | 14.2 | 110,159 | ||||||||||
|
| |||||||||||
140,764 | ||||||||||||
|
| |||||||||||
Information Technology — 18.0% |
| |||||||||||
Aspen Technology* | 0.4 | 76,397 | 3,020 | |||||||||
Cadence Design Systems* (A) | 0.3 | 164,928 | 2,185 | |||||||||
Cavium* (A) | 0.4 | 80,528 | 2,915 | |||||||||
CoStar Group* | 0.5 | 20,621 | 3,840 | |||||||||
Dealertrack Technologies* | 0.4 | 77,306 | 3,231 | |||||||||
Envestnet* | 0.4 | 86,134 | 3,424 | |||||||||
Guidewire Software* (A) | 0.4 | 68,292 | 3,260 | |||||||||
Infoblox* | 0.3 | 74,893 | 2,380 | |||||||||
PTC* | 0.3 | 68,393 | 2,226 | |||||||||
SS&C Technologies Holdings* | 0.5 | 85,385 | 3,681 | |||||||||
Ultratech* | 0.3 | 77,483 | 2,050 | |||||||||
Other Securities | 13.8 | 107,597 | ||||||||||
|
| |||||||||||
139,809 | ||||||||||||
|
| |||||||||||
Materials — 3.0% |
| |||||||||||
H.B. Fuller | 0.3 | 53,130 | 2,722 | |||||||||
PolyOne | 0.3 | 65,400 | 2,123 | |||||||||
Sensient Technologies | 0.3 | 42,471 | 2,087 | |||||||||
Other Securities | 2.1 | 16,593 | ||||||||||
|
| |||||||||||
23,525 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.4% |
| |||||||||||
Other Securities | 0.4 | 2,986 | ||||||||||
|
| |||||||||||
Utilities — 1.5% |
| |||||||||||
Other Securities | 1.5 | 11,772 | ||||||||||
|
| |||||||||||
Total Common Stock |
| 738,834 | ||||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 11 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Fund (Concluded)
November 30, 2013
Description | Percentage of Net Assets (%) | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | |||||||||
EXCHANGE TRADED FUNDS — 0.7% |
| |||||||||||
iShares Russell 2000 Value Index Fund (A) | 0.4 | % | 37,400 | $ | 3,671 | |||||||
Other Securities | 0.3 | 2,211 | ||||||||||
|
| |||||||||||
Total Exchange Traded Funds |
| 5,882 | ||||||||||
|
| |||||||||||
CONVERTIBLE BOND — 0.0% |
| |||||||||||
Other Securities | 0.0 | 4 | ||||||||||
|
| |||||||||||
Total Convertible Bond |
| 4 | ||||||||||
|
| |||||||||||
WARRANTS — 0.0% |
| |||||||||||
Other Securities | 0.0 | 3 | ||||||||||
|
| |||||||||||
Total Warrants |
| 3 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 17.8% |
| |||||||||||
SEI Liquidity Fund, L.P. 0.080%**† (D) | 17.8 | 138,611,049 | 138,611 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 138,611 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 2.0% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**† | 2.0 | 15,244,546 | 15,245 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 15,245 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATION (B) (C) — 0.4% |
| |||||||||||
U.S. Treasury Bills 0.070%, 02/06/2014 | 0.4 | $ | 3,169 | 3,169 | ||||||||
|
| |||||||||||
Total U.S. Treasury Obligation |
| 3,169 | ||||||||||
|
| |||||||||||
Total Investments — 115.9% |
| $ | 901,748 | |||||||||
|
|
The open futures contracts held by the Fund at November 30, 2013, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 143 | Dec-2013 | $ | 152 | ||||||||
|
|
For the period ended November 30, 2013, 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 $777,708 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2013. |
† | Investment in Affiliated Security (see Note 6). |
(A) | This security or a partial position of this security is on loan at November 30, 2013. The total value of securities on loan at November 30, 2013 was $135,087 ($ Thousands). |
(B) | The rate reported is the effective yield at time of purchase. |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(D) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total value of such securities as of November 30, 2013 was $138,611 ($ Thousands). |
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 level of inputs used as of November 30, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Common Stock | $ | 738,834 | $ | — | $ | — | $ | 738,834 | ||||||||
Exchange Traded Funds | 5,882 | — | — | 5,882 | ||||||||||||
Convertible Bond | — | — | 4 | 4 | ||||||||||||
Warrants | 3 | — | — | 3 | ||||||||||||
Affiliated Partnership | — | 138,611 | — | 138,611 | ||||||||||||
Cash Equivalent | 15,245 | — | — | 15,245 | ||||||||||||
U.S. Treasury Obligation | — | 3,169 | — | 3,169 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 759,964 | $ | 141,780 | $ | 4 | $ | 901,748 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 152 | $ | — | $ | — | $ | 152 | ||||||||
|
|
|
|
|
|
|
|
(1) | A reconciliation of Level 3 investments and disclosures of significant unobservable inputs are 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. Management has concluded that Level 3 investments are not material in relation to net assets. |
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2013, 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 $0.
The accompanying notes are an integral part of the financial statements.
12 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap II Fund
November 30, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 97.0% |
| |||||||||||
Consumer Discretionary — 15.4% |
| |||||||||||
Arctic Cat | 0.4 | % | 15,067 | $ | 848 | |||||||
Brunswick | 0.4 | 17,383 | 794 | |||||||||
Capella Education | 0.4 | 12,720 | 836 | |||||||||
Conn’s* (A) | 0.3 | 12,963 | 782 | |||||||||
HomeAway* (A) | 0.4 | 24,523 | 895 | |||||||||
Imax* (A) | 0.4 | 25,586 | 789 | |||||||||
Shutterfly* | 0.6 | 28,512 | 1,347 | |||||||||
Other Securities | 12.5 | 27,255 | ||||||||||
|
| |||||||||||
33,546 | ||||||||||||
|
| |||||||||||
Consumer Staples — 3.2% |
| |||||||||||
Other Securities | 3.2 | 7,061 | ||||||||||
|
| |||||||||||
Energy — 5.0% |
| |||||||||||
Oasis Petroleum* | 0.4 | 18,765 | 866 | |||||||||
Rosetta Resources* | 0.4 | 19,157 | 969 | |||||||||
Other Securities | 4.2 | 9,160 | ||||||||||
|
| |||||||||||
10,995 | ||||||||||||
|
| |||||||||||
Financials — 17.2% |
| |||||||||||
Endurance Specialty Holdings | 0.4 | 15,705 | 894 | |||||||||
Hanover Insurance Group | 0.4 | 15,648 | 944 | |||||||||
Horace Mann Educators | 0.5 | 32,453 | 997 | |||||||||
Iberiabank | 0.5 | 18,551 | 1,163 | |||||||||
Platinum Underwriters Holdings | 0.6 | 19,219 | 1,218 | |||||||||
Other Securities | 14.8 | 32,261 | ||||||||||
|
| |||||||||||
37,477 | ||||||||||||
|
| |||||||||||
Health Care — 13.8% |
| |||||||||||
Acadia Healthcare* (A) | 0.5 | 26,518 | 1,225 | |||||||||
Akorn* (A) | 0.5 | 43,332 | 1,116 | |||||||||
Amsurg, Cl A* | 0.4 | 17,532 | 847 | |||||||||
Charles River Laboratories International* | 0.3 | 14,363 | 749 | |||||||||
HealthSouth | 0.4 | 22,099 | 791 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Keryx Biopharmaceuticals* (A) | 0.4 | % | 59,398 | $ | 825 | |||||||
Team Health Holdings* | 0.5 | 22,277 | 1,041 | |||||||||
Other Securities | 10.8 | 23,579 | ||||||||||
|
| |||||||||||
30,173 | ||||||||||||
|
| |||||||||||
Industrials — 18.2% |
| |||||||||||
Actuant, Cl A (A) | 0.8 | 45,821 | 1,791 | |||||||||
Chart Industries* | 0.4 | 9,632 | 937 | |||||||||
CIRCOR International | 0.4 | 9,770 | 775 | |||||||||
Curtiss-Wright | 0.4 | 16,373 | 864 | |||||||||
DigitalGlobe* | 0.4 | 22,027 | 872 | |||||||||
Dycom Industries* | 0.4 | 27,732 | 785 | |||||||||
G&K Services, Cl A | 0.4 | 13,014 | 784 | |||||||||
Genesee & Wyoming, Cl A* | 0.5 | 9,986 | 961 | |||||||||
Hexcel* | 0.5 | 26,217 | 1,152 | |||||||||
Steelcase, Cl A | 0.3 | 43,359 | 708 | |||||||||
TrueBlue* | 0.5 | 45,686 | 1,167 | |||||||||
Other Securities | 13.2 | 28,854 | ||||||||||
|
| |||||||||||
39,650 | ||||||||||||
|
| |||||||||||
Information Technology — 19.0% |
| |||||||||||
Aspen Technology* | 0.7 | 37,281 | 1,474 | |||||||||
Belden | 0.3 | 10,425 | 730 | |||||||||
Cavium* (A) | 0.5 | 30,953 | 1,121 | |||||||||
CoStar Group* | 0.6 | 6,900 | 1,285 | |||||||||
Dealertrack Technologies* | 0.6 | 28,803 | 1,204 | |||||||||
Envestnet* | 0.5 | 26,856 | 1,068 | |||||||||
Guidewire Software* | 0.5 | 22,865 | 1,091 | |||||||||
Infoblox* | 0.4 | 27,484 | 873 | |||||||||
Interactive Intelligence Group* | 0.4 | 12,381 | 805 | |||||||||
OSI Systems* | 0.5 | 15,433 | 1,184 | |||||||||
PTC* | 0.4 | 26,664 | 868 | |||||||||
Responsys* | 0.4 | 56,191 | 950 | |||||||||
Ultimate Software Group* | 0.5 | 6,256 | 980 | |||||||||
Yelp, Cl A* | 0.4 | 15,536 | 943 | |||||||||
Other Securities | 12.3 | 26,765 | ||||||||||
|
| |||||||||||
41,341 | ||||||||||||
|
| |||||||||||
Materials — 3.7% |
| |||||||||||
H.B. Fuller | 0.5 | 19,598 | 1,004 | |||||||||
Minerals Technologies | 0.3 | 12,580 | 747 | |||||||||
PolyOne | 0.6 | 39,510 | 1,282 | |||||||||
Other Securities | 2.3 | 4,949 | ||||||||||
|
| |||||||||||
7,982 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.2% |
| |||||||||||
Other Securities | 0.2 | 453 | ||||||||||
|
| |||||||||||
Utilities — 1.3% |
| |||||||||||
Other Securities | 1.3 | 2,858 | ||||||||||
|
| |||||||||||
Total Common Stock |
| 211,536 | ||||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 13 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap II Fund (Concluded)
November 30, 2013
Description | Percentage of Net Assets (%) | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | |||||||||
EXCHANGE TRADED FUNDS — 0.5% |
| |||||||||||
Other Securities | 0.5 | % | $ | 981 | ||||||||
|
| |||||||||||
Total Exchange Traded Funds |
| 981 | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 13.3% |
| |||||||||||
SEI Liquidity Fund, L.P. | 13.3 | 29,053,071 | 29,053 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 29,053 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 1.3% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**† | 1.3 | 2,775,132 | 2,775 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 2,775 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.6% |
| |||||||||||
U.S. Treasury Bills | 0.5 | $ | 1,170 | 1,170 | ||||||||
Other Securities | 0.1 | 128 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 1,298 | ||||||||||
|
| |||||||||||
Total Investments — 112.7% |
| $ | 245,643 | |||||||||
|
|
The open futures contracts held by the Fund at November 30, 2013, are as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 10 | Dec-2013 | $ | 1 | ||||||||
|
|
For the period ended November 30, 2013, 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 $218,053 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2013. |
† | Investment in Affiliated Security (see Note 6). |
(A) | This security or a partial position of this security is on loan at November 30, 2013. The total value of securities on loan at November 30, 2013 was $28,334 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total value of such securities as of November 30, 2013 was $29,053 ($ Thousands). |
(C) | The rate reported is the effective yield at time of purchase. |
(D) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
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 level of inputs used as of November 30, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 211,536 | $ | — | $ | — | $ | 211,536 | ||||||||
Exchange Traded Funds | 981 | — | — | 981 | ||||||||||||
Affiliated Partnership | — | 29,053 | — | 29,053 | ||||||||||||
Cash Equivalent | 2,775 | — | — | 2,775 | ||||||||||||
U.S. Treasury Obligations | — | 1,298 | — | 1,298 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 215,292 | $ | 30,351 | $ | — | $ | 245,643 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 1 | $ | — | $ | — | $ | 1 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2013, 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 $0.
The accompanying notes are an integral part of the financial statements.
14 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 96.2% |
| |||||||||||
Consumer Discretionary — 12.9% |
| |||||||||||
Brunswick | 0.3 | % | 139,313 | $ | 6,367 | |||||||
Hibbett Sports* (A) | 0.3 | 95,071 | 6,139 | |||||||||
Imax* (A) | 0.4 | 220,378 | 6,794 | |||||||||
Lumber Liquidators Holdings* (A) | 0.3 | 59,612 | 6,002 | |||||||||
Sally Beauty Holdings* | 0.3 | 234,209 | 6,591 | |||||||||
Shutterfly* (A) | 0.3 | 126,488 | 5,974 | |||||||||
Wolverine World Wide (A) | 0.3 | 168,401 | 5,542 | |||||||||
Other Securities | 10.7 | 210,850 | ||||||||||
|
| |||||||||||
254,259 | ||||||||||||
|
| |||||||||||
Consumer Staples — 2.5% |
| |||||||||||
Casey’s General Stores | 0.4 | 91,601 | 6,817 | |||||||||
Other Securities | 2.1 | 42,549 | ||||||||||
|
| |||||||||||
49,366 | ||||||||||||
|
| |||||||||||
Energy — 5.3% |
| |||||||||||
Rosetta Resources* (A) | 0.3 | 107,806 | 5,452 | |||||||||
Other Securities | 5.0 | 98,431 | ||||||||||
|
| |||||||||||
103,883 | ||||||||||||
|
| |||||||||||
Financials — 20.5% |
| |||||||||||
American Financial Group | 0.4 | 127,681 | 7,362 | |||||||||
CNO Financial Group | 0.4 | 506,016 | 8,562 | |||||||||
Financial Engines (A) | 0.3 | 85,054 | 5,762 | |||||||||
Huntington Bancshares | 0.3 | 646,464 | 5,935 | |||||||||
Lexington Realty Trust‡ (A) | 0.3 | 565,437 | 5,807 | |||||||||
Simon Property Group‡ | 0.3 | 44,579 | 6,680 | |||||||||
SVB Financial Group* | 0.3 | 53,516 | 5,418 | |||||||||
Zions Bancorporation (A) | 0.3 | 217,983 | 6,393 | |||||||||
Other Securities | 17.9 | 350,270 | ||||||||||
|
| |||||||||||
402,189 | ||||||||||||
|
| |||||||||||
Health Care — 11.6% |
| |||||||||||
Acadia Healthcare* (A) | 0.5 | 197,605 | 9,129 | |||||||||
athenahealth* (A) | 0.4 | 52,128 | 6,838 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
HealthSouth | 0.3 | % | 179,172 | $ | 6,413 | |||||||
MEDNAX* (A) | 0.3 | 51,383 | 5,693 | |||||||||
Team Health Holdings* | 0.4 | 148,778 | 6,952 | |||||||||
WellCare Health Plans* | 0.4 | 92,157 | 6,847 | |||||||||
Other Securities | 9.3 | 185,532 | ||||||||||
|
| |||||||||||
227,404 | ||||||||||||
|
| |||||||||||
Industrials — 17.7% |
| |||||||||||
Actuant, Cl A (A) | 0.4 | 192,097 | 7,507 | |||||||||
Clean Harbors* (A) | 0.3 | 106,950 | 5,644 | |||||||||
Deluxe (A) | 0.3 | 110,693 | 5,500 | |||||||||
DigitalGlobe* | 0.4 | 175,959 | 6,968 | |||||||||
Genesee & Wyoming, Cl A* (A) | 0.4 | 87,167 | 8,385 | |||||||||
Hexcel* | 0.4 | 182,672 | 8,025 | |||||||||
Old Dominion Freight Line* | 0.5 | 196,723 | 10,137 | |||||||||
Owens Corning* | 0.3 | 138,736 | 5,433 | |||||||||
Regal-Beloit | 0.3 | 89,881 | 6,613 | |||||||||
TrueBlue* | 0.4 | 277,628 | 7,091 | |||||||||
WageWorks* | 0.3 | 99,539 | 5,704 | |||||||||
WESCO International* (A) | 0.3 | 78,730 | 6,769 | |||||||||
Other Securities | 13.4 | 264,889 | ||||||||||
|
| |||||||||||
348,665 | ||||||||||||
|
| |||||||||||
Information Technology — 18.6% |
| |||||||||||
Aspen Technology* | 0.3 | 155,887 | 6,162 | |||||||||
Atmel* | 0.3 | 771,184 | 5,900 | |||||||||
Cadence Design Systems* (A) | 0.5 | 682,837 | 9,048 | |||||||||
CoStar Group* | 0.6 | 62,368 | 11,615 | |||||||||
Dealertrack Technologies* | 0.5 | 213,261 | 8,914 | |||||||||
Envestnet* | 0.3 | 144,515 | 5,744 | |||||||||
FleetMatics Group* (A) | 0.3 | 159,669 | 6,179 | |||||||||
Guidewire Software* (A) | 0.3 | 125,397 | 5,985 | |||||||||
PTC* | 0.5 | 297,740 | 9,689 | |||||||||
SS&C Technologies Holdings* | 0.5 | 219,580 | 9,466 | |||||||||
Web.com Group* (A) | 0.3 | 187,778 | 5,361 | |||||||||
WEX* | 0.3 | 59,373 | 5,893 | |||||||||
Other Securities | 13.9 | 275,249 | ||||||||||
|
| |||||||||||
365,205 | ||||||||||||
|
| |||||||||||
Materials — 4.4% |
| |||||||||||
KapStone Paper and Packaging* | 0.3 | 110,349 | 5,879 | |||||||||
PolyOne | 0.5 | 279,122 | 9,060 | |||||||||
Other Securities | 3.6 | 71,988 | ||||||||||
|
| |||||||||||
86,927 | ||||||||||||
|
| |||||||||||
Telecommunication Services — 0.4% |
| |||||||||||
Other Securities | 0.4 | 7,140 | ||||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 15 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Equity Fund (Concluded)
November 30, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Utilities — 2.3% | ||||||||||||
Portland General | 0.4 | % | 236,903 | $ | 7,062 | |||||||
Other Securities | 1.9 | 37,891 | ||||||||||
|
| |||||||||||
44,953 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 1,889,991 | ||||||||||
|
| |||||||||||
EXCHANGE TRADED FUNDS — 0.4% |
| |||||||||||
Other Securities | 0.4 | 7,714 | ||||||||||
|
| |||||||||||
Total Exchange Traded Funds |
| 7,714 | ||||||||||
|
| |||||||||||
WARRANTS — 0.0% | ||||||||||||
Other Securities | 0.0 | — | ||||||||||
|
| |||||||||||
Total Warrants |
| — | ||||||||||
|
| |||||||||||
AFFILIATED PARTNERSHIP — 19.7% |
| |||||||||||
SEI Liquidity Fund, L.P. | 19.7 | 388,102,036 | 388,102 | |||||||||
|
| |||||||||||
Total Affiliated Partnership |
| 388,102 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 1.3% |
| |||||||||||
SEI Daily Income | 1.3 | 24,990,851 | 24,991 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 24,991 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (C) — 0.4% |
| |||||||||||
Other Securities | 0.4 | 7,180 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 7,180 | ||||||||||
|
| |||||||||||
Total Investments — 118.0% |
| $ | 2,317,978 | |||||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2013, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 145 | Dec-2013 | $ | 876 | ||||||||
S&P Mid 400 E-MINI | 119 | Dec-2013 | 572 | |||||||||
|
| |||||||||||
$ | 1,448 | |||||||||||
|
|
For the period ended November 30, 2013, 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 $1,965,121 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2013. |
† | Investment in Affiliated Security (see Note 6). |
‡ | Real Estate Investment Trust. |
(A) | This security or a partial position of this security is on loan at November 30, 2013. The total value of securities on loan at November 30, 2013 was $378,288 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total value of such securities as of November 30, 2013 was $388,102 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open future contracts. |
Cl — Class
L.P. — Limited Partnership
S&P — Standard & Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a list of the level of inputs used as of November 30, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,889,991 | $ | — | $ | — | $ | 1,889,991 | ||||||||
Exchange Traded Funds | 7,714 | — | — | 7,714 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 388,102 | — | 388,102 | ||||||||||||
Cash Equivalent | 24,991 | — | — | 24,991 | ||||||||||||
U.S. Treasury Obligations | — | 7,180 | — | 7,180 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,922,696 | $ | 395,282 | $ | — | $ | 2,317,978 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 1,448 | $ | — | $ | — | $ | 1,448 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2013, 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 $0.
The accompanying notes are an integral part of the financial statements.
16 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund
November 30, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 96.9% |
| |||||||||||
Consumer Discretionary — 7.3% |
| |||||||||||
Target | 1.3 | % | 230,604 | $ | 14,742 | |||||||
Other Securities | 6.0 | 71,176 | ||||||||||
|
| |||||||||||
85,918 | ||||||||||||
|
| |||||||||||
Consumer Staples — 17.2% |
| |||||||||||
Altria Group | 0.6 | 196,448 | 7,265 | |||||||||
Bunge | 0.7 | 96,322 | 7,717 | |||||||||
Clorox | 0.7 | 91,586 | 8,533 | |||||||||
ConAgra Foods | 0.9 | 329,936 | 10,885 | |||||||||
Costco Wholesale | 0.7 | 66,465 | 8,337 | |||||||||
CVS Caremark | 0.7 | 128,400 | 8,598 | |||||||||
Dr. Pepper Snapple | ||||||||||||
Group | 0.8 | 190,150 | 9,177 | |||||||||
Hershey | 0.8 | 95,052 | 9,210 | |||||||||
Hormel Foods | 0.7 | 177,070 | 7,972 | |||||||||
Kellogg | 0.6 | 113,219 | 6,866 | |||||||||
Kroger | 0.9 | 242,441 | 10,122 | |||||||||
PepsiCo | 0.7 | 97,034 | 8,195 | |||||||||
Tyson Foods, Cl A | 1.2 | 462,875 | 14,668 | |||||||||
Wal-Mart Stores | 1.6 | 232,856 | 18,864 | |||||||||
Other Securities | 5.6 | 66,600 | ||||||||||
|
| |||||||||||
203,009 | ||||||||||||
|
| |||||||||||
Energy — 3.9% | ||||||||||||
Chevron | 1.6 | 154,606 | 18,930 | |||||||||
ConocoPhillips | 0.7 | 110,000 | 8,008 | |||||||||
Exxon Mobil | 1.3 | 167,900 | 15,695 | |||||||||
Other Securities | 0.3 | 2,887 | ||||||||||
|
| |||||||||||
45,520 | ||||||||||||
|
| |||||||||||
Financials — 18.5% | ||||||||||||
Allied World Assurance Holdings | 0.8 | 83,778 | 9,438 | |||||||||
American Financial Group | 0.7 | 141,700 | 8,170 | |||||||||
Axis Capital Holdings | 0.7 | 171,560 | 8,429 | |||||||||
Everest Re Group | 1.6 | 121,990 | 19,132 | |||||||||
PartnerRe | 1.7 | 197,830 | 20,357 | |||||||||
RenaissanceRe Holdings | 1.4 | 168,851 | 15,990 | |||||||||
Travelers | 0.7 | 89,000 | 8,076 | |||||||||
US Bancorp | 0.7 | 217,845 | 8,544 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Validus Holdings | 0.9 | % | 252,705 | $ | 10,121 | |||||||
Other Securities | 9.3 | 109,716 | ||||||||||
|
| |||||||||||
217,973 | ||||||||||||
|
| |||||||||||
Health Care — 21.0% |
| |||||||||||
Aetna | 0.8 | 133,100 | 9,175 | |||||||||
AmerisourceBergen | 1.5 | 249,529 | 17,599 | |||||||||
Amgen | 0.9 | 90,500 | 10,324 | |||||||||
Becton Dickinson | 0.9 | 93,888 | 10,195 | |||||||||
Cardinal Health | 1.0 | 186,392 | 12,041 | |||||||||
Johnson & Johnson | 1.3 | 161,542 | 15,291 | |||||||||
Laboratory Corp of America Holdings* | 0.7 | 82,075 | 8,359 | |||||||||
McKesson | 1.4 | 99,719 | 16,542 | |||||||||
Merck | 0.8 | 195,100 | 9,722 | |||||||||
Pfizer | 0.9 | 342,451 | 10,866 | |||||||||
UnitedHealth Group | 0.6 | 95,100 | 7,083 | |||||||||
Other Securities | 10.2 | 120,599 | ||||||||||
|
| |||||||||||
247,796 | ||||||||||||
|
| |||||||||||
Industrials — 6.7% |
| |||||||||||
Alliant Techsystems | 0.6 | 62,600 | 7,589 | |||||||||
L-3 Communications Holdings, Cl 3 | 1.0 | 108,700 | 11,246 | |||||||||
Lockheed Martin | 1.4 | 120,619 | 17,088 | |||||||||
Northrop Grumman | 1.2 | 123,104 | 13,871 | |||||||||
Raytheon | 0.9 | 114,800 | 10,180 | |||||||||
Other Securities | 1.6 | 18,453 | ||||||||||
|
| |||||||||||
78,427 | ||||||||||||
|
| |||||||||||
Information Technology — 9.4% |
| |||||||||||
Amdocs | 1.5 | 428,940 | 17,355 | |||||||||
International Business Machines | 0.9 | 58,675 | 10,543 | |||||||||
Other Securities | 7.0 | 83,604 | ||||||||||
|
| |||||||||||
111,502 | ||||||||||||
|
| |||||||||||
Materials — 0.7% |
| |||||||||||
Other Securities | 0.7 | 8,630 | ||||||||||
|
| |||||||||||
Telecommunication Services — 4.0% |
| |||||||||||
AT&T | 1.1 | 365,586 | 12,872 | |||||||||
Verizon Communications | 0.9 | 226,576 | 11,243 | |||||||||
Other Securities | 2.0 | 23,327 | ||||||||||
|
| |||||||||||
47,442 | ||||||||||||
|
| |||||||||||
Utilities — 8.2% |
| |||||||||||
DTE Energy | 0.7 | 126,041 | 8,412 | |||||||||
Edison International | 1.3 | 316,113 | 14,608 | |||||||||
PG&E | 0.8 | 243,800 | 9,842 | |||||||||
Other Securities | 5.4 | 63,325 | ||||||||||
|
| |||||||||||
96,187 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 1,142,404 | ||||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 17 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund (Concluded)
November 30, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
CASH EQUIVALENT — 2.6% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | 2.6 | % | 30,606,508 | $ | 30,607 | |||||||
|
| |||||||||||
Total Cash Equivalent |
| 30,607 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS (A) — 0.2% |
| |||||||||||
Other Securities | 0.2 | 1,914 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations |
| 1,914 | ||||||||||
|
| |||||||||||
Total Investments — 99.7% |
| $ | 1,174,925 | |||||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2013, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 265 | Dec-2013 | $ | 1,678 | ||||||||
|
|
For the period ended November 30, 2013, 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 $1,179,091 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2013. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
S&P — Standard & Poor’s
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a list of the level of inputs used as of November 30, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,142,404 | $ | — | $ | — | $ | 1,142,404 | ||||||||
Cash Equivalent | 30,607 | — | — | 30,607 | ||||||||||||
U.S. Treasury Obligation | — | 1,914 | — | 1,914 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,173,011 | $ | 1,914 | $ | — | $ | 1,174,925 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 1,678 | $ | — | $ | — | $ | 1,678 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2013, 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 $0.
The accompanying notes are an integral part of the financial statements.
18 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund
November 30, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 95.6% |
| |||||||||||
Argentina — 0.1% |
| |||||||||||
Other Securities | 0.1 | % | $ | 7,473 | ||||||||
|
| |||||||||||
Australia — 1.2% |
| |||||||||||
Other Securities | 1.2 | 75,132 | ||||||||||
|
| |||||||||||
Austria — 1.1% |
| |||||||||||
Other Securities | 1.1 | 72,961 | ||||||||||
|
| |||||||||||
Belgium — 0.6% |
| |||||||||||
Other Securities | 0.6 | 40,155 | ||||||||||
|
| |||||||||||
Brazil — 2.6% |
| |||||||||||
Banco Bradesco ADR (A) | 0.5 | 2,623,461 | 34,813 | |||||||||
Cia de Saneamento Basico do Estado de Sao Paulo ADR* | 0.5 | 2,964,029 | 31,567 | |||||||||
Other Securities | 1.6 | 105,911 | ||||||||||
|
| |||||||||||
172,291 | ||||||||||||
|
| |||||||||||
Canada — 4.2% |
| |||||||||||
Manulife Financial | 0.5 | 1,721,000 | 33,267 | |||||||||
Other Securities | 3.7 | 243,544 | ||||||||||
|
| |||||||||||
276,811 | ||||||||||||
|
| |||||||||||
Chile — 0.1% |
| |||||||||||
Other Securities | 0.1 | 3,598 | ||||||||||
|
| |||||||||||
China — 4.9% |
| |||||||||||
Baidu ADR* | 0.9 | 341,246 | 56,841 | |||||||||
China Oilfield Services | 0.5 | 11,257,400 | 33,978 | |||||||||
Industrial & Commercial Bank of China | 0.5 | 49,454,402 | 35,531 | |||||||||
Other Securities | 3.0 | 196,018 | ||||||||||
|
| |||||||||||
322,368 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Colombia — 0.2% |
| |||||||||||
Other Securities | 0.2 | % | $ | 15,240 | ||||||||
|
| |||||||||||
Czech Republic — 0.3% |
| |||||||||||
Other Securities | 0.3 | 16,599 | ||||||||||
|
| |||||||||||
Denmark — 1.1% |
| |||||||||||
Novo-Nordisk, Cl B | 0.5 | 166,672 | 29,921 | |||||||||
Other Securities | 0.6 | 42,534 | ||||||||||
|
| |||||||||||
72,455 | ||||||||||||
|
| |||||||||||
Finland — 0.8% |
| |||||||||||
Nokia* | 0.5 | 3,748,185 | 30,416 | |||||||||
Other Securities | 0.3 | 23,811 | ||||||||||
|
| |||||||||||
54,227 | ||||||||||||
|
| |||||||||||
France — 4.3% |
| |||||||||||
LVMH Moet Hennessy Louis Vuitton (A) | 0.5 | 167,166 | 31,580 | |||||||||
Other Securities | 3.8 | 246,110 | ||||||||||
|
| |||||||||||
277,690 | ||||||||||||
|
| |||||||||||
Germany — 6.6% |
| |||||||||||
Adidas | 0.8 | 418,713 | 51,035 | |||||||||
Siemens | 0.5 | 225,700 | 29,870 | |||||||||
Other Securities | 5.3 | 349,564 | ||||||||||
|
| |||||||||||
430,469 | ||||||||||||
|
| |||||||||||
Hong Kong — 2.9% |
| |||||||||||
AIA Group | 0.5 | 6,981,140 | 35,389 | |||||||||
China Mobile | 0.7 | 4,495,922 | 48,423 | |||||||||
Other Securities | 1.7 | 107,819 | ||||||||||
|
| |||||||||||
191,631 | ||||||||||||
|
| |||||||||||
India — 1.3% |
| |||||||||||
ICICI Bank ADR | 0.6 | 1,130,476 | 40,539 | |||||||||
Other Securities | 0.7 | 43,845 | ||||||||||
|
| |||||||||||
84,384 | ||||||||||||
|
| |||||||||||
Indonesia — 0.3% |
| |||||||||||
Other Securities | 0.3 | 21,383 | ||||||||||
|
| |||||||||||
Ireland — 1.6% |
| |||||||||||
ICON* | 0.5 | 794,178 | 30,290 | |||||||||
Jazz Pharmaceuticals* | 0.5 | 279,208 | 32,645 | |||||||||
Other Securities | 0.6 | 39,373 | ||||||||||
|
| |||||||||||
102,308 | ||||||||||||
|
| |||||||||||
Israel — 1.0% |
| |||||||||||
Other Securities | 1.0 | 62,445 | ||||||||||
|
| |||||||||||
Italy — 1.3% |
| |||||||||||
Other Securities | 1.3 | 83,380 | ||||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 19 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Continued)
November 30, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Japan — 13.8% |
| |||||||||||
Denso | 0.7 | % | 849,400 | $ | 42,567 | |||||||
Hitachi | 0.8 | 6,943,300 | 51,211 | |||||||||
Japan Exchange Group | 0.6 | 1,340,430 | 35,814 | |||||||||
KDDI | 0.7 | 684,800 | 43,015 | |||||||||
Komatsu | 0.5 | 1,441,398 | 29,978 | |||||||||
Mitsubishi UFJ Financial Group | 0.6 | 6,201,956 | 39,927 | |||||||||
Mitsui Trust Holdings | 0.8 | 9,989,025 | 49,084 | |||||||||
SoftBank | 0.8 | 608,659 | 49,292 | |||||||||
Tokai Tokyo Securities | 0.5 | 3,415,800 | 30,699 | |||||||||
Toyota Motor | 0.7 | 709,191 | 44,201 | |||||||||
Other Securities | 7.1 | 487,393 | ||||||||||
|
| |||||||||||
903,181 | ||||||||||||
|
| |||||||||||
Malaysia — 0.0% |
| |||||||||||
Other Securities | 0.0 | 2,341 | ||||||||||
|
| |||||||||||
Mexico — 0.9% |
| |||||||||||
Other Securities | 0.9 | 56,403 | ||||||||||
|
| |||||||||||
Netherlands — 3.9% |
| |||||||||||
Core Laboratories | 0.9 | 324,577 | 59,118 | |||||||||
Reed Elsevier | 0.5 | 1,406,400 | 30,102 | |||||||||
Other Securities | 2.5 | 167,110 | ||||||||||
|
| |||||||||||
256,330 | ||||||||||||
|
| |||||||||||
Norway — 2.0% |
| |||||||||||
DnB | 0.6 | 2,181,356 | 38,663 | |||||||||
Statoil ADR | 0.6 | 1,872,022 | 42,195 | |||||||||
Other Securities | 0.8 | 50,944 | ||||||||||
|
| |||||||||||
131,802 | ||||||||||||
|
| |||||||||||
Poland — 0.0% |
| |||||||||||
Other Securities | 0.0 | 537 | ||||||||||
|
| |||||||||||
Qatar — 0.4% |
| |||||||||||
Other Securities | 0.4 | 28,603 | ||||||||||
|
| |||||||||||
Russia — 1.1% |
| |||||||||||
Other Securities | 1.1 | 69,495 | ||||||||||
|
| |||||||||||
Singapore — 1.6% |
| |||||||||||
Other Securities | 1.6 | 104,377 | ||||||||||
|
| |||||||||||
South Africa — 0.7% |
| |||||||||||
Sasol ADR | 0.6 | 775,100 | 38,398 | |||||||||
Other Securities | 0.1 | 9,657 | ||||||||||
|
| |||||||||||
48,055 | ||||||||||||
|
| |||||||||||
South Korea — 3.7% |
| |||||||||||
Samsung Electronics | 1.2 | 56,782 | 80,159 | |||||||||
Other Securities | 2.5 | 162,261 | ||||||||||
|
| |||||||||||
242,420 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Spain — 0.9% |
| |||||||||||
Amadeus IT Holding, | 0.6 | % | 1,082,027 | $ | 40,609 | |||||||
Other Securities | 0.3 | 15,148 | ||||||||||
|
| |||||||||||
55,757 | ||||||||||||
|
| |||||||||||
Sweden — 2.4% |
| |||||||||||
Getinge, Cl B | 0.5 | 1,073,866 | 33,682 | |||||||||
Other Securities | 1.9 | 121,893 | ||||||||||
|
| |||||||||||
155,575 | ||||||||||||
|
| |||||||||||
Switzerland — 6.3% |
| |||||||||||
Actelion | 0.5 | 356,150 | 29,756 | |||||||||
Roche Holding | 1.2 | 285,148 | 79,740 | |||||||||
Zurich Insurance Group ADR (A) | 0.6 | 1,348,600 | 37,815 | |||||||||
Other Securities | 4.0 | 264,076 | ||||||||||
|
| |||||||||||
411,387 | ||||||||||||
|
| |||||||||||
Taiwan — 1.8% |
| |||||||||||
Other Securities | 1.8 | 120,356 | ||||||||||
|
| |||||||||||
Thailand — 0.4% |
| |||||||||||
Other Securities | 0.4 | 24,205 | ||||||||||
|
| |||||||||||
Turkey — 1.2% |
| |||||||||||
Other Securities | 1.2 | 79,893 | ||||||||||
|
| |||||||||||
United Kingdom — 14.8% |
| |||||||||||
3i Group | 0.5 | 5,225,374 | 31,670 | |||||||||
ARM Holdings | 0.1 | 464,311 | 7,743 | |||||||||
ARM Holdings ADR (A) | 0.9 | 1,168,359 | 58,301 | |||||||||
AstraZeneca ADR (A) | 0.6 | 716,000 | 40,948 | |||||||||
Diageo | 0.5 | 1,008,631 | 32,152 | |||||||||
HSBC Holdings | 1.0 | 5,973,798 | 66,728 | |||||||||
Rio Tinto ADR (A) | 0.7 | 906,713 | 48,101 | |||||||||
Royal Dutch Shell, Cl A | 0.7 | 1,358,917 | 45,562 | |||||||||
Royal Dutch Shell, Cl A (GBP) | 0.1 | 120,089 | 4,029 | |||||||||
Royal Dutch Shell ADR, Cl A | 0.5 | 493,300 | 32,903 | |||||||||
Shire | 0.7 | 1,032,431 | 46,880 | |||||||||
WPP | 0.7 | 2,144,635 | 47,461 | |||||||||
Other Securities | 7.8 | 505,337 | ||||||||||
|
| |||||||||||
967,815 | ||||||||||||
|
| |||||||||||
United States — 3.2% |
| |||||||||||
Everest Re Group (A) | 0.5 | 214,083 | 33,575 | |||||||||
Other Securities | 2.7 | 173,670 | ||||||||||
|
| |||||||||||
207,245 | ||||||||||||
|
| |||||||||||
Total Common Stock |
| 6,248,777 | ||||||||||
|
|
20 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares/Face Amount (1) (Thousands) | Market Value ($ Thousands) | |||||||||||||
�� | ||||||||||||||||
PREFERRED STOCK — 1.2% |
| |||||||||||||||
Brazil — 0.6% |
| |||||||||||||||
Other Securities | 0.6 | % | $ | 38,357 | ||||||||||||
|
| |||||||||||||||
Germany — 0.6% |
| |||||||||||||||
Volkswagen | 0.5 | 120,700 | 32,095 | |||||||||||||
Other Securities | 0.1 | 9,239 | ||||||||||||||
|
| |||||||||||||||
41,334 | ||||||||||||||||
|
| |||||||||||||||
Total Preferred Stock |
| 79,691 | ||||||||||||||
|
| |||||||||||||||
AFFILIATED PARTNERSHIP — 6.2% |
| |||||||||||||||
SEI Liquidity Fund, L.P. 0.080%**† (B) | 6.2 | 403,258,372 | 403,258 | |||||||||||||
|
| |||||||||||||||
Total Affiliated Partnership |
| 403,258 | ||||||||||||||
|
| |||||||||||||||
TIME DEPOSITS — 2.1% |
| |||||||||||||||
Brown Brothers Harriman | ||||||||||||||||
4.150%, 12/02/2013 | ZAR | 52 | 5 | |||||||||||||
1.650%, 12/02/2013 | NZD | — | — | |||||||||||||
1.634%, 12/02/2013 | AUD | 1,502 | 1,373 | |||||||||||||
0.600%, 12/02/2013 | NOK | 3 | 1 | |||||||||||||
0.305%, 12/02/2013 | CAD | 92 | 87 | |||||||||||||
0.244%, 12/02/2013 | SEK | — | — | |||||||||||||
0.060%, 12/02/2013 | GBP | 490 | 803 | |||||||||||||
0.041%, 12/02/2013 | EUR | 186 | 253 | |||||||||||||
0.030%, 12/02/2013 | 122,792 | 122,792 | ||||||||||||||
0.005%, 12/02/2013 | HKD | 37,146 | 4,791 | |||||||||||||
0.005%, 12/02/2013 | SGD | 705 | 562 | |||||||||||||
0.005%, 12/02/2013 | JPY | 242,889 | 2,373 | |||||||||||||
0.001%, 12/02/2013 | CHF | 564 | 624 | |||||||||||||
(0.10)%, 12/02/2013 | DKK | 2 | — | |||||||||||||
|
| |||||||||||||||
Total Time Deposits |
| 133,664 | ||||||||||||||
|
| |||||||||||||||
U.S. TREASURY OBLIGATION (C) — 0.3% |
| |||||||||||||||
Other Security | 0.3 | 17,256 | ||||||||||||||
|
| |||||||||||||||
Total U.S. Treasury Obligation |
| 17,256 | ||||||||||||||
|
| |||||||||||||||
Total Investments — 105.4% |
| $ | 6,882,646 | |||||||||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2013, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 592 | Dec-2013 | $ | 258 | ||||||||
FTSE 100 Index | 187 | Dec-2013 | (232 | ) | ||||||||
Hang Seng Index | 22 | Dec-2013 | 15 | |||||||||
S&P TSX 60 Index | 62 | Dec-2013 | (9 | ) | ||||||||
SPI 200 Index | 54 | Dec-2013 | (82 | ) | ||||||||
Topix Index | 130 | Dec-2013 | 642 | |||||||||
|
| |||||||||||
$ | 592 | |||||||||||
|
|
For the period ended November 30, 2013, 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, 2013, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||||||||||
2/18/14 | GBP | 6,371 | USD | 9,988 | $ | (440 | ) | |||||||||||||
2/18/14 | USD | 10,245 | GBP | 6,371 | 183 | |||||||||||||||
|
| |||||||||||||||||||
(257 | ) | |||||||||||||||||||
|
|
A list of the counterparties for the open forward foreign currency contracts held by the Fund at November 30, 2013, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized (Depreciation) ($ Thousands) | |||||||||
State Street | (20,674 | ) | 20,416 | $ | (257 | ) | ||||||
|
|
For the period ended November 30, 2013, 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 $6,532,920 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2013. |
† | Investment in Affiliated Security (see Note 6). |
(1) | In U.S. dollars unless otherwise indicated. |
(A) | This security or a partial position of this security is on loan at November 30, 2013. The total value of securities on loan at November 30, 2013 was $393,054 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total value of such securities as of November 30, 2013 was $403,258 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged with 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
NOK — Norwegian Krone
NZD — New Zealand Dollar
S&P — Standard & Poor’s
SEK — Swedish Krone
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 21 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
World Equity Ex-US Fund (Concluded)
November 30, 2013
SGD — Singapore Dollar
SPI — Share Price Index
TSX — Toronto Stock Exchange
USD — U.S. Dollar
ZAR — South African Rand
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a list of the level of inputs used as of November 30, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 6,224,027 | $ | 24,750 | $ | — | $ | 6,248,777 | ||||||||
Preferred Stock | 79,691 | — | — | 79,691 | ||||||||||||
Affiliated Partnership | — | 403,258 | — | 403,258 | ||||||||||||
Time Deposits | — | 133,664 | — | 133,664 | ||||||||||||
U.S. Treasury Obligation | — | 17,256 | — | 17,256 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 6,303,718 | $ | 578,928 | $ | — | $ | 6,882,646 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 915 | $ | — | $ | — | $ | 915 | ||||||||
Unrealized Depreciation | (323 | ) | — | — | (323 | ) | ||||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Appreciation | — | 183 | — | 183 | ||||||||||||
Unrealized Depreciation | — | (440 | ) | — | (440 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 592 | $ | (257 | ) | $ | — | $ | 335 | |||||||
|
|
|
|
|
|
|
|
* | Futures contracts and forwards contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended November 30, 2013, 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, 2013, 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 $0.
The accompanying notes are an integral part of the financial statements.
22 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund
November 30, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 90.9% |
| |||||||||||
Argentina — 0.2% |
| |||||||||||
Other Securities | 0.2 | % | $ | 122 | ||||||||
|
| |||||||||||
Australia — 0.9% |
| |||||||||||
Other Securities | 0.9 | 660 | ||||||||||
|
| |||||||||||
Austria — 2.4% |
| |||||||||||
OMV | 0.7 | 9,582 | 470 | |||||||||
Schoeller-Bleckmann Oilfield Equipment | 0.6 | 4,100 | 432 | |||||||||
Other Securities | 1.1 | 767 | ||||||||||
|
| |||||||||||
1,669 | ||||||||||||
|
| |||||||||||
Belgium — 0.6% |
| |||||||||||
Other Securities | 0.6 | 457 | ||||||||||
|
| |||||||||||
Brazil — 1.4% |
| |||||||||||
Other Securities | 1.4 | 983 | ||||||||||
|
| |||||||||||
Canada — 5.7% |
| |||||||||||
Canadian National Railway | 0.6 | 3,558 | 402 | |||||||||
Royal Bank of Canada | 0.7 | 7,100 | 472 | |||||||||
Toronto-Dominion Bank | 0.6 | 4,300 | 393 | |||||||||
Other Securities | 3.8 | 2,761 | ||||||||||
|
| |||||||||||
4,028 | ||||||||||||
|
| |||||||||||
Chile — 0.1% |
| |||||||||||
Other Securities | 0.1 | 41 | ||||||||||
|
| |||||||||||
China — 5.9% |
| |||||||||||
Baidu ADR* | 0.6 | 2,635 | 439 | |||||||||
Bank of China | 0.6 | 893,000 | 432 | |||||||||
China Construction Bank | 0.5 | 402,000 | 325 | |||||||||
China Oilfield Services | 0.7 | 167,800 | 506 | |||||||||
Industrial & Commercial Bank of China | 1.0 | 973,836 | 700 | |||||||||
Other Securities | 2.5 | 1,732 | ||||||||||
|
| |||||||||||
4,134 | ||||||||||||
|
|
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Colombia — 0.3% |
| |||||||||||
Other Securities | 0.3 | % | $ | 226 | ||||||||
|
| |||||||||||
Czech Republic — 0.4% |
| |||||||||||
Komercni Banka | 0.3 | 923 | 212 | |||||||||
Other Securities | 0.1 | 44 | ||||||||||
|
| |||||||||||
256 | ||||||||||||
|
| |||||||||||
Denmark — 0.9% |
| |||||||||||
Novo-Nordisk, Cl B | 0.7 | 2,570 | 462 | |||||||||
Other Securities | 0.2 | 190 | ||||||||||
|
| |||||||||||
652 | ||||||||||||
|
| |||||||||||
Finland — 1.2% |
| |||||||||||
Other Securities | 1.2 | 848 | ||||||||||
|
| |||||||||||
France — 6.1% |
| |||||||||||
BNP Paribas | 0.8 | 7,034 | 529 | |||||||||
LVMH Moet Hennessy Louis Vuitton | 0.7 | 2,433 | 460 | |||||||||
Societe Generale | 0.7 | 8,891 | 512 | |||||||||
Thales | 0.5 | 6,281 | 384 | |||||||||
Other Securities | 3.4 | 2,405 | ||||||||||
|
| |||||||||||
4,290 | ||||||||||||
|
| |||||||||||
Germany — 3.5% |
| |||||||||||
BASF | 0.6 | 3,936 | 421 | |||||||||
Deutsche Bank | 0.6 | 7,979 | 386 | |||||||||
Other Securities | 2.3 | 1,662 | ||||||||||
|
| |||||||||||
2,469 | ||||||||||||
|
| |||||||||||
Greece — 0.0% |
| |||||||||||
Other Securities | 0.0 | 16 | ||||||||||
|
| |||||||||||
Hong Kong — 4.0% |
| |||||||||||
AIA Group | 0.8 | 110,982 | 563 | |||||||||
China Mobile | 1.0 | 67,040 | 722 | |||||||||
Other Securities | 2.2 | 1,533 | ||||||||||
|
| |||||||||||
2,818 | ||||||||||||
|
| |||||||||||
India — 1.8% |
| |||||||||||
ICICI Bank ADR | 0.9 | 17,955 | 644 | |||||||||
Other Securities | 0.9 | 621 | ||||||||||
|
| |||||||||||
1,265 | ||||||||||||
|
| |||||||||||
Indonesia — 0.5% |
| |||||||||||
Other Securities | 0.5 | 353 | ||||||||||
|
| |||||||||||
Ireland — 1.0% |
| |||||||||||
ICON* | 0.6 | 11,788 | 449 | |||||||||
Other Securities | 0.4 | 297 | ||||||||||
|
| |||||||||||
746 | ||||||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 23 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund (Continued)
November 30, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Italy — 1.6% |
| |||||||||||
Other Securities | 1.6 | % | $ | 1,103 | ||||||||
|
| |||||||||||
Japan — 11.4% |
| |||||||||||
Denso | 0.9 | 12,600 | 631 | |||||||||
Secom | 0.6 | 7,000 | 432 | |||||||||
Toyota Motor | 1.8 | 20,010 | 1,247 | |||||||||
Other Securities | 8.1 | 5,737 | ||||||||||
|
| |||||||||||
8,047 | ||||||||||||
|
| |||||||||||
Malaysia — 0.1% |
| |||||||||||
Other Securities | 0.1 | 80 | ||||||||||
|
| |||||||||||
Mexico — 1.0% |
| |||||||||||
Other Securities | 1.0 | 726 | ||||||||||
|
| |||||||||||
Netherlands — 3.7% |
| |||||||||||
Core Laboratories | 1.2 | 4,818 | 878 | |||||||||
European Aeronautic Defense and Space | 0.6 | 6,258 | 445 | |||||||||
Unilever | 0.6 | 10,260 | 405 | |||||||||
Other Securities | 1.3 | 911 | ||||||||||
|
| |||||||||||
2,639 | ||||||||||||
|
| |||||||||||
New Zealand — 0.3% |
| |||||||||||
Other Securities | 0.3 | 183 | ||||||||||
|
| |||||||||||
Norway — 1.4% |
| |||||||||||
DnB | 1.1 | 43,794 | 776 | |||||||||
Other Securities | 0.3 | 229 | ||||||||||
|
| |||||||||||
1,005 | ||||||||||||
|
| |||||||||||
Philippines — 0.1% |
| |||||||||||
Other Securities | 0.1 | 43 | ||||||||||
|
| |||||||||||
Poland — 0.2% |
| |||||||||||
Other Securities | 0.2 | 126 | ||||||||||
|
| |||||||||||
Portugal — 0.1% |
| |||||||||||
Other Securities | 0.1 | 106 | ||||||||||
|
| |||||||||||
Russia — 0.2% |
| |||||||||||
Other Securities | 0.2 | 136 | ||||||||||
|
| |||||||||||
Singapore — 1.2% |
| |||||||||||
DBS Group Holdings | 0.6 | 32,000 | 438 | |||||||||
Other Securities | 0.6 | 413 | ||||||||||
|
| |||||||||||
851 | ||||||||||||
|
| |||||||||||
South Africa — 0.0% |
| |||||||||||
Other Securities | 0.0 | 13 | ||||||||||
|
| |||||||||||
South Korea — 3.9% |
| |||||||||||
Hyundai Mobis | 0.5 | 1,293 | 375 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
Samsung Electronics | 1.8 | % | 903 | $ | 1,275 | |||||||
Other Securities | 1.6 | 1,123 | ||||||||||
|
| |||||||||||
2,773 | ||||||||||||
|
| |||||||||||
Spain — 1.2% |
| |||||||||||
Amadeus IT Holding, Cl A | 0.9 | 16,318 | 613 | |||||||||
Other Securities | 0.3 | 209 | ||||||||||
|
| |||||||||||
822 | ||||||||||||
|
| |||||||||||
Sweden — 2.0% |
| |||||||||||
Getinge, Cl B | 0.7 | 15,940 | 500 | |||||||||
Hennes & Mauritz, Cl B | 0.9 | 14,386 | 612 | |||||||||
Other Securities | 0.4 | 269 | ||||||||||
|
| |||||||||||
1,381 | ||||||||||||
|
| |||||||||||
Switzerland — 6.1% |
| |||||||||||
Novartis ADR | 0.6 | 5,353 | 424 | |||||||||
Novartis | 0.6 | 5,463 | 433 | |||||||||
Roche Holding | 2.3 | 5,694 | 1,592 | |||||||||
Other Securities | 2.6 | 1,864 | ||||||||||
|
| |||||||||||
4,313 | ||||||||||||
|
| |||||||||||
Taiwan — 1.4% |
| |||||||||||
Advanced Semiconductor | ||||||||||||
Engineering ADR | 0.6 | 79,073 | 399 | |||||||||
Other Securities | 0.8 | 598 | ||||||||||
|
| |||||||||||
997 | ||||||||||||
|
| |||||||||||
Thailand — 0.5% |
| |||||||||||
Other Securities | 0.5 | 370 | ||||||||||
|
| |||||||||||
Turkey — 1.0% |
| |||||||||||
Other Securities | 1.0 | 723 | ||||||||||
|
| |||||||||||
United Kingdom — 13.2% |
| |||||||||||
ARM Holdings ADR | 1.2 | 17,322 | 864 | |||||||||
ARM Holdings | 0.2 | 6,842 | 114 | |||||||||
Associated British Foods | 0.5 | 10,163 | 382 | |||||||||
AstraZeneca | 0.5 | 6,447 | 371 | |||||||||
Diageo | 0.7 | 15,632 | 498 | |||||||||
HSBC Holdings | 1.4 | 90,041 | 1,006 | |||||||||
Kingfisher | 0.5 | 60,387 | 372 | |||||||||
Reckitt Benckiser Group | 0.6 | 4,847 | 390 | |||||||||
Rio Tinto ADR | 0.5 | 7,175 | 381 | |||||||||
Shire | 1.0 | 15,325 | 696 | |||||||||
Standard Chartered | 0.6 | 17,297 | 411 | |||||||||
Other Securities | 5.5 | 3,823 | ||||||||||
|
| |||||||||||
9,308 | ||||||||||||
|
| |||||||||||
United States — 3.4% |
| |||||||||||
Everest Re Group | 0.7 | 3,178 | 498 | |||||||||
Other Securities | 2.7 | 1,916 | ||||||||||
|
| |||||||||||
2,414 | ||||||||||||
|
|
24 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Percentage of Net Assets (%) | Shares/Face Amount (1) (Thousands) | Market Value ($ Thousands) | |||||||||
Total Common Stock |
| $ | 64,192 | |||||||||
|
| |||||||||||
PREFERRED STOCK — 0.9% |
| |||||||||||
Brazil — 0.9% | ||||||||||||
Other Securities | 0.9 | % | 625 | |||||||||
|
| |||||||||||
Germany — 0.0% | ||||||||||||
Other Securities | 0.0 | 19 | ||||||||||
|
| |||||||||||
Total Preferred Stock |
| 644 | ||||||||||
|
| |||||||||||
CASH EQUIVALENT — 5.4% |
| |||||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||||||
0.010%**† | 5.4 | 3,823,714 | 3,824 | |||||||||
|
| |||||||||||
Total Cash Equivalent |
| 3,824 | ||||||||||
|
|
TIME DEPOSITS — 2.2% |
| |||||||||||||||
Brown Brothers Harriman | ||||||||||||||||
4.150%, 12/02/2013 | ZAR | — | — | |||||||||||||
1.650%, 12/02/2013 | NZD | 6 | 5 | |||||||||||||
1.634%, 12/02/2013 | AUD | 52 | 47 | |||||||||||||
0.600%, 12/02/2013 | NOK | 55 | 9 | |||||||||||||
0.305%, 12/02/2013 | CAD | 67 | 63 | |||||||||||||
0.244%, 12/02/2013 | SEK | 67 | 10 | |||||||||||||
0.060%, 12/02/2013 | GBP | 51 | 83 | |||||||||||||
0.041%, 12/02/2013 | EUR | 85 | 115 | |||||||||||||
0.030%, 12/02/2013 | 1,046 | 1,046 | ||||||||||||||
0.005%, 12/02/2013 | JPY | 6,456 | 63 | |||||||||||||
0.005%, 12/02/2013 | SGD | 16 | 13 | |||||||||||||
0.005%, 12/02/2013 | HKD | 240 | 31 | |||||||||||||
0.001%, 12/02/2013 | CHF | 43 | 48 | |||||||||||||
(0.10)%, 12/02/2013 | DKK | 80 | 15 | |||||||||||||
|
| |||||||||||||||
Total Time Deposits | 1,548 | |||||||||||||||
|
| |||||||||||||||
U.S. TREASURY OBLIGATIONS (A) — 0.5% |
| |||||||||||||||
Other Securities | 0.5 | 331 | ||||||||||||||
|
| |||||||||||||||
Total U.S. Treasury Obligations |
| 331 | ||||||||||||||
|
| |||||||||||||||
Total Investments —99.9% |
| $ | 70,539 | |||||||||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2013, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 30 | Dec-2013 | $ | 32 | ||||||||
FTSE 100 Index | 10 | Dec-2013 | 10 | |||||||||
Hang Seng Index | 1 | Dec-2013 | 1 | |||||||||
S&P TSX 60 Index | 3 | Dec-2013 | 14 | |||||||||
SPI 200 Index | 3 | Dec-2013 | 2 | |||||||||
Topix Index | 7 | Dec-2013 | 41 | |||||||||
|
| |||||||||||
$ | 100 | |||||||||||
|
|
For the period ended November 30, 2013, 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, 2013, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
2/18/14 | GBP | 96 | USD | 150 | $ | (7 | ) | |||||
2/18/14 | USD 154 | GBP | 96 | 3 | ||||||||
|
| |||||||||||
$ | (4 | ) | ||||||||||
|
|
A list of the counterparties for the open forward foreign currency contracts held by the Fund at November 30, 2013, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Depreciation ($ Thousands) | |||||||||
State Street | (311 | ) | 307 | $ | (4 | ) | ||||||
|
|
For the period ended November 30, 2013, 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 $70,580 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2013. |
† | Investment in Affiliated Security (see Note 6). |
(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 Sterling Pound
HKD — Hong Kong Dollar
JPY — Japanese Yen
NOK — Norwegian Krone
NZD — New Zealand Dollar
S&P — Standard & Poor’s
SEK — Swedish Krone
Ser — Series
SGD — Singapore Dollar
SPI — Share Price Index
TSX — Toronto Stock Exchange
USD — U.S. Dollar
ZAR — South African Rand
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 25 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Screened World Equity Ex-US Fund (Concluded)
November 30, 2013
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 level of inputs used as of November 30, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 63,745 | $ | 447 | $ | — | $ | 64,192 | ||||||||
Preferred Stock | 644 | — | — | 644 | ||||||||||||
Cash Equivalent | 3,824 | — | — | 3,824 | ||||||||||||
Time Deposits | — | 1,548 | — | 1,548 | ||||||||||||
U.S. Treasury Obligations | — | 331 | — | 331 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 68,213 | $ | 2,326 | $ | — | $ | 70,539 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 100 | $ | — | $ | — | $ | 100 | ||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Appreciation | — | 3 | — | 3 | ||||||||||||
Unrealized Depreciation | — | (7 | ) | — | (7 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 100 | $ | (4 | ) | $ | — | $ | 96 | |||||||
|
|
|
|
|
|
|
|
* | Futures contracts and forwards contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended November 30, 2013, 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, 2013, 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 $0.
The accompanying notes are an integral part of the financial statements.
26 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Opportunistic Income Fund
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 32.0% |
| |||||||
Agency Mortgage-Backed Obligations — 4.7% |
| |||||||
FHLMC ARM (A) | ||||||||
3.255%, 03/01/2036 | $ | 4,737 | $ | 5,035 | ||||
2.375%, 06/01/2035 | 3,854 | 4,097 | ||||||
2.014%, 10/01/2035 | 1,743 | 1,834 | ||||||
FNMA | ||||||||
6.000%, 09/01/2039 to 04/01/2040 | 2,831 | 3,116 | ||||||
3.000%, 05/01/2022 | 7,443 | 7,765 | ||||||
FNMA ARM (A) | ||||||||
2.553%, 10/01/2033 | 839 | 893 | ||||||
2.550%, 10/01/2033 to 05/01/2034 | 1,306 | 1,373 | ||||||
2.520%, 01/01/2034 | 1,281 | 1,356 | ||||||
2.513%, 05/01/2035 | 2,132 | 2,256 | ||||||
2.491%, 04/01/2034 | 2,161 | 2,310 | ||||||
2.463%, 09/01/2034 | 1,276 | 1,354 | ||||||
2.422%, 06/01/2035 | 1,216 | 1,287 | ||||||
2.404%, 04/01/2033 | 569 | 610 | ||||||
2.395%, 10/01/2033 | 601 | 634 | ||||||
2.361%, 08/01/2034 | 2,266 | 2,402 | ||||||
2.346%, 07/01/2036 | 3,355 | 3,567 | ||||||
2.345%, 05/01/2037 | 4,345 | 4,603 | ||||||
2.335%, 05/01/2035 | 1,360 | �� | 1,444 | |||||
2.305%, 10/01/2024 | 582 | 622 | ||||||
2.260%, 10/01/2033 | 1,213 | 1,285 | ||||||
2.249%, 06/01/2035 | 830 | 865 | ||||||
2.129%, 10/01/2035 | 2,403 | 2,535 | ||||||
2.060%, 09/01/2033 | 1,987 | 2,070 | ||||||
1.980%, 07/01/2034 | 2,662 | 2,831 | ||||||
1.972%, 07/01/2034 | 1,225 | 1,303 | ||||||
1.834%, 02/01/2035 | 2,936 | 3,043 | ||||||
1.828%, 03/01/2035 | 3,135 | 3,321 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA ARM | ||||||||
1.839%, 12/20/2060 | $ | 3,588 | $ | 3,742 | ||||
1.550%, 09/20/2060 to 11/20/2060 | 4,363 | 4,446 | ||||||
1.283%, 12/20/2060 | 4,073 | 4,126 | ||||||
1.269%, 11/20/2060 | 3,952 | 4,000 | ||||||
|
| |||||||
80,125 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 27.3% |
| |||||||
A10 Securitization LLC, Ser 2, Cl A | ||||||||
2.620%, 11/15/2027 (B) | 3,750 | 3,726 | ||||||
ARM Trust, | ||||||||
2.662%, 06/25/2035 (A) | 900 | 839 | ||||||
American Home Mortgage Investment Trust, Ser 2005-2, Cl 5A3 | ||||||||
5.077%, 09/25/2035 | 754 | 752 | ||||||
BAMLL Commercial Mortgage Securities Trust, | ||||||||
2.868%, 08/15/2029 (A) (B) | 2,100 | 2,106 | ||||||
Banc of America Commercial Mortgage, Ser 2006-4, Cl AM | ||||||||
5.675%, 07/10/2046 | 880 | 969 | ||||||
Banc of America Commercial Mortgage, Ser 2006-6, Cl A4 | ||||||||
5.356%, 10/10/2045 | 3,470 | 3,771 | ||||||
Banc of America Funding Trust, | ||||||||
2.424%, 12/20/2036 (A) | 3,414 | 3,390 | ||||||
Banc of America Funding, | ||||||||
2.956%, 12/20/2034 (A) | 969 | 943 | ||||||
Banc of America Funding, | ||||||||
2.744%, 09/20/2035 (A) | 270 | 235 | ||||||
Banc of America Funding, | ||||||||
2.863%, 05/20/2036 (A) | 194 | 170 | ||||||
Banc of America Funding, | ||||||||
2.351%, 11/26/2036 (A) (B) | 2,997 | 3,007 | ||||||
Banc of America Funding, | ||||||||
0.326%, 01/26/2037 (A) (B) | 1,926 | 1,855 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
5.317%, 09/10/2047 | 3,583 | 3,603 | ||||||
Banc of America Mortgage Securities, Ser 2003-E, Cl 2A2 | ||||||||
2.856%, 06/25/2033 (A) | 5,004 | 5,013 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 27 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Opportunistic Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Banc of America Mortgage Securities, | ||||||||
2.970%, 02/25/2035 (A) | $ | 101 | $ | 101 | ||||
Banc of America Mortgage Trust, | ||||||||
2.860%, 12/25/2033 (A) | 4,551 | 4,513 | ||||||
Banc of America Mortgage Trust, | ||||||||
2.913%, 04/25/2034 (A) | 2,484 | 2,485 | ||||||
Banc of America Re-Remic Trust, | ||||||||
2.767%, 09/15/2015 (A) (B) | 1,500 | 1,504 | ||||||
Bayview Commercial Asset Trust, | ||||||||
0.596%, 08/25/2034 (A) (B) | 3,303 | 3,023 | ||||||
BCAP LLC Trust, | ||||||||
2.704%, 01/21/2038 (A) (B) | 1,602 | 1,625 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, | ||||||||
3.083%, 11/25/2034 (A) | 1,873 | 1,902 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-5, Cl A2 | ||||||||
2.250%, 08/25/2035 (A) | 5,990 | 5,995 | ||||||
Bear Stearns Alt-A Trust, | ||||||||
2.475%, 12/25/2033 | 3,985 | 4,017 | ||||||
Bear Stearns Alt-A Trust, | ||||||||
2.613%, 08/25/2034 (A) | 5,600 | 5,665 | ||||||
Bear Stearns ARM Trust, | ||||||||
2.855%, 04/25/2034 (A) | 4,463 | 4,347 | ||||||
Bear Stearns ARM Trust, | ||||||||
2.429%, 04/25/2034 (A) | 1,652 | 1,617 | ||||||
Bear Stearns ARM Trust, | ||||||||
3.085%, 07/25/2034 (A) | 5,451 | 5,407 | ||||||
Bear Stearns ARM Trust, | ||||||||
2.853%, 11/25/2034 (A) | 2,348 | 2,324 | ||||||
Bear Stearns ARM Trust, | ||||||||
2.600%, 03/25/2035 (A) | 4,270 | 4,299 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2007-PW10, Cl A4 | ||||||||
5.405%, 12/11/2040 (A) | 200 | 213 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser PWR9, Cl A2 | ||||||||
4.735%, 09/11/2042 | 841 | 842 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bear Stearns Commercial Mortgage Securities, Ser T28, Cl F | ||||||||
6.149%, 09/11/2042 (A) (B) | $ | 548 | $ | 315 | ||||
Bear Stearns Commercial Mortgage Securities, Ser T28, Cl G | ||||||||
6.149%, 09/11/2042 (A) (B) | 955 | 512 | ||||||
Bear Stearns Mortgage Funding Trust, | ||||||||
0.470%, 12/25/2036 (A) | 54 | 73 | ||||||
BOCA Hotel Portfolio Trust, | ||||||||
2.324%, 08/15/2026 | 3,600 | 3,606 | ||||||
Chase Mortgage Finance, | ||||||||
2.740%, 02/25/2037 (A) | 448 | 446 | ||||||
Chase Mortgage Finance, | ||||||||
2.685%, 02/25/2037 (A) | 2,587 | 2,596 | ||||||
Citicorp Mortgage Securities, | ||||||||
5.000%, 07/25/2020 | 285 | 298 | ||||||
Citicorp Mortgage Securities, | ||||||||
6.000%, 02/25/2037 | 1,428 | 1,469 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2006-FL2, Cl J | ||||||||
0.748%, 08/15/2021 (A) (B) | 1,815 | 1,771 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2012-GC8, Cl A1 | ||||||||
0.685%, 09/10/2045 | 88 | 87 | ||||||
Citigroup Commercial Mortgage Trust, Ser FL3A, Cl D | ||||||||
0.418%, 04/15/2022 (A) (B) | 1,865 | 1,850 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
2.785%, 04/25/2037 (A) | 1,366 | 1,107 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
2.746%, 11/25/2038 (A) (B) | 3,825 | 3,921 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
4.750%, 03/25/2037 (B) | 4,451 | 4,457 | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
3.768%, 10/13/2016 (A) (B) | 4,000 | 4,000 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2010-C1, Cl A1 | ||||||||
3.156%, 07/10/2046 (B) | 201 | 208 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR1, Cl A1 | ||||||||
1.116%, 05/15/2045 | 162 | 163 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR4, Cl A1 | ||||||||
0.704%, 10/15/2045 | 88 | 87 |
28 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR5, Cl A1 | ||||||||
0.673%, 12/10/2045 | $ | 102 | $ | 101 | ||||
Commercial Mortgage Pass-Through Certificates, Ser 2013-CR9, Cl A1 | ||||||||
1.344%, 07/10/2045 | 187 | 188 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser CR2, Cl A1 | ||||||||
0.824%, 08/15/2045 | 65 | 65 | ||||||
Commercial Mortgage Trust, IO | ||||||||
1.223%, 08/10/2023 | 31,582 | 1,915 | ||||||
Commercial Mortgage Trust, | ||||||||
1.278%, 08/10/2046 | 231 | 232 | ||||||
Countrywide Alternative Loan Trust, Ser 2003-J1, Cl 3A1 | ||||||||
5.000%, 10/25/2018 | 1,442 | 1,426 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
0.570%, 08/25/2033 (A) | 252 | 247 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
2.243%, 07/25/2034 (A) | 1,413 | 1,379 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
4.500%, 06/25/2019 | 1,179 | 1,217 | ||||||
Credit Suisse Commercial Mortgage Trust, Ser 2007, Cl C2 | ||||||||
0.398%, 01/15/2049 (A) | 3,000 | 2,799 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2002-AR31, Cl 4A1 | ||||||||
2.660%, 11/25/2032 (A) | 277 | 278 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser C2, Cl AMFX | ||||||||
4.877%, 04/15/2037 | 2,800 | 2,823 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2006, Cl C3 | ||||||||
5.988%, 06/15/2016 (A) | 3,960 | 4,323 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C4, Cl AM | ||||||||
5.509%, 09/15/2039 | 3,000 | 3,235 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser C2, Cl A3 | ||||||||
5.542%, 01/15/2049 (A) | 1,630 | 1,810 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser TF2A, Cl SVJ | ||||||||
1.388%, 10/15/2021 (A) (B) | 3,300 | 3,250 | ||||||
Credit-Based Asset Servicing and Securitization LLC, | ||||||||
5.970%, 10/25/2036 (B) | 1,089 | 1,096 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CS First Boston Mortgage Securities, Ser 2002-AR31, Cl 4A1 | ||||||||
2.526%, 09/25/2034 | $ | 3,473 | $ | 3,501 | ||||
DBRR Trust, Ser 2012-EZ1, Cl A | ||||||||
0.946%, 09/25/2045 (B) | 2,732 | 2,732 | ||||||
DBUBS Mortgage Trust, | ||||||||
3.742%, 11/10/2046 (B) | 115 | 121 | ||||||
DBUBS Mortgage Trust, | ||||||||
1.605%, 07/10/2044 (A) (B) | 43,274 | 2,527 | ||||||
Del Coronado Trust, Ser HDC, Cl E | ||||||||
2.818%, 03/15/2026 (A) (B) | 3,000 | 3,005 | ||||||
Deutsche Alt-A Securities Mortgage Loan Trust, Ser 2007-OA5, Cl A1A | ||||||||
0.366%, 12/25/2015 (A) | 2,189 | 1,882 | ||||||
Deutsche Mortgage Securities Mortgage Loan Trust, | ||||||||
0.706%, 06/25/2034 (A) | 6,374 | 5,855 | ||||||
Developers Diversified Realty, | ||||||||
3.807%, 10/14/2022 (B) | 3,641 | 3,711 | ||||||
DSLA Mortgage Loan Trust, | ||||||||
1.008%, 09/19/2044 (A) | 490 | 458 | ||||||
DSLA Mortgage Loan Trust, | ||||||||
0.988%, 09/19/2044 (A) | 2,117 | 2,026 | ||||||
DSLA Mortgage Loan Trust, | ||||||||
0.528%, 01/19/2045 (A) | 2,054 | 1,721 | ||||||
Extended Stay America Trust, | ||||||||
1.669%, 12/05/2031 (A) (B) | 2,400 | 2,334 | ||||||
Extended Stay America Trust, | ||||||||
3.309%, 12/05/2031 (A) (B) | 3,560 | 3,503 | ||||||
FDIC Structured Sale Guaranteed Notes, Ser 2010-S1, Cl 1A | ||||||||
0.718%, 02/25/2048 (A) (B) | 5,029 | 5,041 | ||||||
FDIC Structured Sale Guaranteed Notes, Ser 2010-S2, Cl 1A | ||||||||
0.680%, 11/29/2037 (A) (B) | 1,444 | 1,444 | ||||||
First Horizon Alternative Mortgage Trust, Ser 2005-AA3, Cl 3A1 | ||||||||
2.251%, 05/25/2035 (A) | 514 | 469 | ||||||
First Horizon Pass-Through Trust, | ||||||||
5.000%, 10/25/2033 | 1,073 | 1,078 | ||||||
Fontainebleau Miami Beach Trust, | ||||||||
5.007%, 05/05/2017 (B) | 2,000 | 2,060 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 29 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Opportunistic Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Fontainebleau Miami Beach Trust, | ||||||||
5.253%, 05/05/2017 (B) | $ | 3,000 | $ | 3,039 | ||||
GMAC Commercial Mortgage Securities, Ser 2004-C3, Cl A4 | ||||||||
4.547%, 12/10/2041 | 714 | 715 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
3.854%, 12/19/2033 (A) | 1,602 | 1,607 | ||||||
Granite Master Issuer, | ||||||||
0.248%, 12/20/2054 (A) | 397 | 392 | ||||||
Granite Master Issuer, | ||||||||
0.368%, 12/20/2054 (A) | 728 | 719 | ||||||
Greenwich Capital Commercial Funding, Ser GG11, Cl A4 | ||||||||
5.736%, 12/10/2049 | 2,280 | 2,568 | ||||||
GS Mortgage Securities II, | ||||||||
5.622%, 04/10/2038 (A) | 2,000 | 2,169 | ||||||
GS Mortgage Securities II, | ||||||||
5.799%, 08/10/2046 (A) | 1,020 | 1,128 | ||||||
GS Mortgage Securities II, | ||||||||
3.849%, 12/10/2043 (B) | 116 | 122 | ||||||
GS Mortgage Securities II, | ||||||||
0.662%, 11/10/2045 | 61 | 61 | ||||||
GS Mortgage Securities II, | ||||||||
1.206%, 07/10/2046 | 133 | 133 | ||||||
GS Mortgage Securities II, | ||||||||
0.843%, 12/10/2043 (A) (B) | 60,441 | 994 | ||||||
GS Mortgage Securities II, | ||||||||
1.265%, 03/10/2044 (A) (B) | 46,829 | 1,950 | ||||||
GS Mortgage Securities II, | ||||||||
2.769%, 11/08/2029 (A) (B) | 1,310 | 1,307 | ||||||
GS Mortgage Securities II, | ||||||||
3.249%, 11/08/2029 (A) (B) | 32,323 | 1,200 | ||||||
GS Mortgage Securities Trust, | ||||||||
1.217%, 08/10/2046 | 331 | 331 | ||||||
GSR Mortgage Loan Trust, | ||||||||
0.566%, 10/25/2032 (A) | 168 | 164 | ||||||
GSR Mortgage Loan Trust, | ||||||||
2.842%, 01/25/2035 (A) | 761 | 758 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GSR Mortgage Loan Trust, | ||||||||
2.818%, 04/25/2035 (A) | $ | 1,092 | $ | 1,036 | ||||
GSR Mortgage Loan Trust, | ||||||||
2.656%, 09/25/2035 (A) | 1,635 | 1,611 | ||||||
Harborview Mortgage Loan Trust, | ||||||||
2.368%, 11/19/2034 (A) | 171 | 150 | ||||||
Hilton USA Trust, Ser HLF, Cl AFL | ||||||||
1.169%, 11/05/2030 (A) (B) | 375 | 375 | ||||||
Hilton USA Trust, Ser HLF, Cl BFL | ||||||||
1.669%, 11/05/2030 (A) (B) | 3,000 | 3,003 | ||||||
Hilton USA Trust, Ser HLF, Cl CFL | ||||||||
2.069%, 11/05/2018 (A) (B) | 1,500 | 1,502 | ||||||
Hilton USA Trust, Ser HLF, Cl DFL | ||||||||
2.919%, 11/05/2018 (A) (B) | 5,000 | 5,007 | ||||||
HSI Asset Securitization Trust, | ||||||||
0.486%, 07/25/2035 (A) | 1,723 | 1,638 | ||||||
Impac CMB Trust, Ser 10, Cl 4M1 | ||||||||
1.066%, 03/25/2035 (A) | 351 | 310 | ||||||
Impac Secured Assets Trust, | ||||||||
0.416%, 04/25/2037 (A) | 2,171 | 2,000 | ||||||
IndyMac INDA Mortgage Loan Trust, | ||||||||
2.992%, 07/25/2037 (A) | 1,184 | 1,042 | ||||||
JPMorgan Alternative Loan Trust, | ||||||||
2.640%, 03/25/2037 (A) | 685 | 524 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.335%, 08/12/2037 (A) | 4,942 | 5,157 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
0.656%, 07/25/2035 | 680 | 677 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
3.853%, 06/15/2043 (B) | 116 | 120 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
2.749%, 11/15/2043 (B) | 160 | 165 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
1.525%, 07/15/2046 (B) | 16 | 16 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
1.600%, 08/15/2046 | 91 | 91 |
30 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
0.670%, 12/15/2047 | $ | 57 | $ | 57 | ||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
3.024%, 07/17/2026 | 4,450 | 4,472 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
1.303%, 01/15/2046 | 247 | 248 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
1.568%, 10/15/2030 (A) (B) | 2,270 | 2,273 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
3.582%, 09/15/2018 | 3,000 | 3,004 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
3.617%, 07/17/2018 (A) (B) | 1,300 | 1,291 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
1.459%, 02/15/2046 (A) (B) | 39,658 | 1,910 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser C8, Cl A1 | ||||||||
0.705%, 10/15/2045 | 32 | 32 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.463%, 09/12/2037 (A) | 272 | 275 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
2.243%, 08/05/2032 (A) (B) | 14,696 | 1,417 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
1.661%, 04/15/2028 (A) (B) | 58,000 | 518 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
1.668%, 04/15/2030 (A) (B) | 3,000 | 2,976 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
3.158%, 04/15/2030 (A) (B) | 1,400 | 1,395 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
4.625%, 03/15/2046 | 478 | 478 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.198%, 12/15/2044 | $ | 4,133 | $ | 4,162 | ||||
JPMorgan Mortgage Trust, | ||||||||
4.500%, 09/25/2034 | 1,126 | 1,150 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.764%, 06/25/2035 (A) | 2,020 | 2,006 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.777%, 07/25/2035 (A) | 482 | 481 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.806%, 07/25/2035 (A) | 2,279 | 2,285 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.737%, 07/25/2035 (A) | 1,856 | 1,862 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.809%, 07/25/2035 (A) | 1,523 | 1,523 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.746%, 06/25/2037 (A) | 158 | 139 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
5.524%, 06/15/2029 (A) | 1,697 | 1,718 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
5.455%, 02/15/2040 | 810 | 888 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
4.545%, 02/15/2030 | 501 | 501 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
6.075%, 06/15/2038 (A) | 1,420 | 1,562 | ||||||
Marathon CLO, Ser 2005-2A, Cl B | ||||||||
1.052%, 12/20/2019 (A) (B) | 2,000 | 1,954 | ||||||
Master Adjustable Rate Mortgages Trust, Ser 2005-6, Cl 5A1 | ||||||||
2.578%, 07/25/2035 (A) | 192 | 167 | ||||||
MASTR Alternative Loan Trust, | ||||||||
5.500%, 07/25/2033 | 5,497 | 5,767 | ||||||
Mellon Residential Funding, | ||||||||
2.609%, 10/20/2029 (A) | 599 | 596 | ||||||
Merrill Lynch Mortgage Investors Trust, Ser 2004-1, Cl 2A1 | ||||||||
2.157%, 12/25/2034 (A) | 2,835 | 2,822 | ||||||
Merrill Lynch Mortgage Investors Trust, Ser 2004-D, Cl A1 | ||||||||
0.826%, 09/25/2029 (A) | 1,322 | 1,298 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 31 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Opportunistic Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Merrill Lynch Mortgage Investors Trust, Ser A4, Cl 1A | ||||||||
2.787%, 07/25/2035 (A) | $ | 1,333 | $ | 1,119 | ||||
Merrill Lynch Mortgage Investors Trust, Ser MLCC 2003-G, Cl A1 | ||||||||
0.806%, 01/25/2029 (A) | 1,539 | 1,449 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
4.805%, 06/12/2043 (A) | 4,615 | 4,862 | ||||||
Morgan Stanley Capital I, | ||||||||
5.110%, 06/15/2040 (A) | 62 | 63 | ||||||
Morgan Stanley Capital I, | ||||||||
6.298%, 12/12/2049 (A) | 885 | 1,007 | ||||||
Morgan Stanley Capital I, | ||||||||
4.852%, 06/12/2047 | 429 | 431 | ||||||
Morgan Stanley Capital I, | ||||||||
5.973%, 08/12/2041 (A) | 1,711 | 1,760 | ||||||
Morgan Stanley Capital I, | ||||||||
0.268%, 10/15/2020 (A) (B) | 3,495 | 3,486 | ||||||
Morgan Stanley Mortgage Loan Trust, | ||||||||
2.862%, 11/25/2034 (A) | 1,768 | 1,714 | ||||||
Morgan Stanley Mortgage Loan Trust, | ||||||||
0.436%, 09/25/2035 (A) | 775 | 750 | ||||||
Morgan Stanley Re-REMIC Trust, | ||||||||
1.000%, 03/27/2051 (B) | 113 | 113 | ||||||
Motel 6 Trust, Ser MTL6, Cl XA1, IO | ||||||||
3.171%, 10/05/2025 (A) (B) | 21,810 | 667 | ||||||
Nomura Asset Acceptance Alternative Loan Trust, | ||||||||
4.793%, 10/25/2034 | 3,322 | 3,430 | ||||||
Opteum Mortgage Acceptance Asset-Backed Pass-Through Certificates, Ser 2005-1, Cl A4 | ||||||||
0.566%, 02/25/2035 (A) | 112 | 112 | ||||||
PHH Mortgage Capital LLC, | ||||||||
4.750%, 07/25/2038 (A) | 2,666 | 2,572 | ||||||
Provident Funding Mortgage Loan Trust, Ser 2003-1, Cl A | ||||||||
2.504%, 08/25/2033 (A) | 1,979 | 1,981 | ||||||
Residential Asset Securitization Trust, Ser 2007-A8, Cl 3A1 | ||||||||
5.459%, 08/25/2022 (A) | 1,499 | 1,411 | ||||||
Residential Funding Mortgage | ||||||||
5.500%, 05/25/2033 | 4 | 4 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Residential Funding Mortgage | ||||||||
4.500%, 05/25/2019 | $ | 2,002 | $ | 2,056 | ||||
Residential Funding Securities LLC, | ||||||||
8.500%, 05/25/2033 | 387 | 410 | ||||||
Sequoia Mortgage Trust, | ||||||||
0.968%, 10/20/2027 (A) | 1,880 | 1,803 | ||||||
Sequoia Mortgage Trust, | ||||||||
3.750%, 02/25/2040 (A) | 373 | 366 | ||||||
Sequoia Mortgage Trust, | ||||||||
2.865%, 01/25/2042 (A) | 2,609 | 2,595 | ||||||
Sequoia Mortgage Trust, | ||||||||
1.450%, 02/25/2043 (A) | 3,703 | 3,639 | ||||||
Sequoia Mortgage Trust, | ||||||||
1.874%, 02/25/2043 (A) | 1,810 | 1,579 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
2.667%, 09/25/2057 (A) (B) | 4,685 | 4,791 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
2.220%, 10/25/2057 (A) (B) | 2,805 | 2,859 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
1.570%, 12/25/2059 (A) (B) | 3,326 | 3,320 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
1.270%, 06/25/2058 (A) (B) | 196 | 194 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
1.780%, 12/25/2065 (A) (B) | 2,763 | 2,756 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, | ||||||||
2.533%, 03/25/2034 (A) | 3,801 | 3,759 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, | ||||||||
2.036%, 04/25/2035 (A) | 2,921 | 2,736 | ||||||
Thornburg Mortgage Securities Trust, Ser 2004-3, Cl A | ||||||||
0.906%, 09/25/2044 (A) | 2,916 | 2,791 | ||||||
Thornburg Mortgage Securities Trust, Ser 2005-2, Cl A1 | ||||||||
2.323%, 07/25/2045 (A) | 3,272 | 3,213 | ||||||
Thornburg Mortgage Securities Trust, Ser 2007-1, Cl A2B | ||||||||
5.800%, 03/25/2037 (A) | 3,058 | 2,794 |
32 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Thornburg Mortgage Securities Trust, Ser 2007-4, Cl 1A1 | ||||||||
2.336%, 09/25/2037 (A) | $ | 3,300 | $ | 3,154 | ||||
UBS Commercial Mortgage Trust, | ||||||||
2.522%, 05/10/2045 (A) (B) | 12,956 | 1,718 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C3, Cl A1 | ||||||||
0.726%, 08/10/2049 | 99 | 99 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl A1 | ||||||||
0.673%, 12/10/2045 | 73 | 73 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2013-C5, Cl A1 | ||||||||
0.779%, 03/10/2046 | 239 | 238 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
4.935%, 04/15/2042 | 145 | 151 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
5.414%, 10/15/2044 (A) | 128 | 137 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
5.289%, 12/15/2044 (A) | 225 | 241 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser C22, Cl A3 | ||||||||
5.484%, 12/15/2044 (A) | 48 | 48 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser C26, Cl A2 | ||||||||
5.935%, 06/15/2045 | 278 | 282 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser WHL8, Cl A2 | ||||||||
0.308%, 06/15/2020 (A) (B) | 4,820 | 4,706 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
2.446%, 10/25/2033 (A) | 1,158 | 1,165 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR7, Cl A7 | ||||||||
2.305%, 08/25/2033 (A) | 107 | 107 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR1, Cl A | ||||||||
2.532%, 03/25/2034 (A) | 4,835 | 4,797 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
0.608%, 07/25/2044 (A) | 5,879 | 5,647 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
0.548%, 11/25/2034 (A) | 1,956 | 1,889 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR8, Cl A2 | ||||||||
0.588%, 06/25/2044 (A) | $ | 4,486 | $ | 4,080 | ||||
WaMu Mortgage Pass-Through Certificates, Ser 2004-CB2, Cl 1A | ||||||||
5.000%, 07/25/2034 | 2,231 | 2,308 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
6.000%, 12/25/2019 | 464 | 480 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
0.566%, 01/25/2045 (A) | 564 | 537 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
0.486%, 08/25/2045 (A) | 3,916 | 3,776 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
1.593%, 10/25/2045 (A) | 750 | 739 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
2.434%, 12/25/2035 (A) | 216 | 198 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
0.436%, 12/25/2045 (A) | 3,884 | 3,529 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
0.436%, 12/25/2045 (A) | 343 | 310 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
0.456%, 12/25/2045 (A) | 2,796 | 2,498 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
0.476%, 01/25/2045 (A) | 1,499 | 1,406 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
0.496%, 01/25/2045 (A) | 1,164 | 1,074 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
0.546%, 01/25/2045 (A) | 1,765 | 1,636 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
0.396%, 04/25/2045 (A) | 3,761 | 3,537 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 33 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Opportunistic Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
0.456%, 07/25/2045 (A) | $ | 4,551 | $ | 4,253 | ||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
0.486%, 07/25/2045 (A) | 2,190 | 2,068 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
2.420%, 10/25/2036 (A) | 1,733 | 1,487 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2007-OA3, Cl 5A | ||||||||
2.207%, 04/25/2047 (A) | 5,008 | 3,511 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2012-LC5, Cl A1 | ||||||||
0.687%, 10/15/2045 | 102 | 101 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2013-C15, Cl A1 | ||||||||
1.264%, 08/15/2046 | 332 | 334 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.620%, 09/25/2033 (A) | 1,740 | 1,750 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
4.884%, 05/25/2034 (A) | 538 | 538 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.616%, 07/25/2034 (A) | 1,890 | 1,891 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
4.938%, 08/25/2034 (A) | 3,467 | 3,530 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.624%, 09/25/2034 (A) | 2,611 | 2,659 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.615%, 09/25/2034 (A) | 5,556 | 5,584 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.618%, 09/25/2034 (A) | 1,411 | 1,426 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.673%, 10/25/2034 (A) | 6,771 | 6,777 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.616%, 11/25/2034 (A) | $ | 6,509 | $ | 6,564 | ||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.617%, 12/25/2034 (A) | 2,632 | 2,657 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.610%, 02/25/2035 (A) | 5,135 | 5,121 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.636%, 06/25/2035 | 5,553 | 5,623 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.636%, 06/25/2035 (A) | 1,938 | 1,958 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.636%, 06/25/2035 (A) | 116 | 116 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.634%, 06/25/2035 (A) | 1,934 | 1,969 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.672%, 02/25/2034 (A) | 1,351 | 1,362 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.645%, 03/25/2035 (A) | 2,816 | 2,815 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
5.065%, 05/25/2035 (A) | 833 | 852 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.627%, 06/25/2035 (A) | 2,634 | 2,646 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.652%, 06/25/2034 (A) | 2,721 | 2,731 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.628%, 03/25/2036 (A) | 234 | 233 |
34 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
5.500%, 04/25/2036 | $ | 730 | $ | 706 | ||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
6.000%, 07/25/2036 | 602 | 580 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.740%, 09/25/2036 (A) | 1,218 | 1,111 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2011-C2, Cl XA, IO | ||||||||
1.304%, 02/15/2044 (A) (B) | 30,855 | 1,242 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2011-C3, Cl A1 | ||||||||
1.988%, 03/15/2044 (B) | 56 | 57 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2012-C6, Cl A1 | ||||||||
1.081%, 04/15/2045 | 337 | 338 | ||||||
WFRBS Commercial Mortgage Trust, Ser C9, Cl A1 | ||||||||
0.673%, 11/15/2045 | 103 | 102 | ||||||
|
| |||||||
465,928 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities | 546,053 | |||||||
|
| |||||||
LOAN PARTICIPATIONS — 25.8% |
| |||||||
Acquisitions Cogeco Cable II, Term Loan B | ||||||||
3.250%, 09/20/2019 | 248 | 247 | ||||||
Activision Blizzard, Term Loan B | ||||||||
3.250%, 07/26/2020 | 3,000 | 3,007 | ||||||
Advanstar Communications, Term Loan | ||||||||
5.500%, 04/29/2019 | 995 | 983 | ||||||
Advantage Sales and Marketing, | ||||||||
8.250%, 06/17/2018 | 738 | 746 | ||||||
4.250%, 12/18/2017 | 1,602 | 1,611 | ||||||
Affinia Group | ||||||||
4.750%, 04/25/2020 | 2,735 | 2,769 | ||||||
Affinion Group Holdings | ||||||||
6.500%, 10/09/2016 | 4,974 | 4,919 | ||||||
Air Medical Group Holdings, 1st Lien | ||||||||
7.625%, 05/31/2018 | 3,275 | 3,210 | ||||||
Air Medical Group Holdings, Term Loan B1 | ||||||||
6.500%, 06/30/2018 | 1,390 | 1,403 | ||||||
Alere, Term Loan B | ||||||||
4.250%, 06/30/2017 | 495 | 498 | ||||||
Alinta Ltd., Unfunded Term Loan | ||||||||
0.000%, 08/13/2018 (C) | 195 | — |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Alinta, Cov-Lite, 1st Lien | ||||||||
6.375%, 08/13/2019 | $ | 2,979 | $ | 2,977 | ||||
Allegion US Holding, Term Loan B, | ||||||||
3.000%, 12/25/2020 | 4,000 | 4,001 | ||||||
Allflex Holdings, Term Loan | ||||||||
4.250%, 06/05/2020 | 400 | 402 | ||||||
Alliance Laundry Systems LLC, | ||||||||
4.250%, 12/10/2018 | 2,834 | 2,842 | ||||||
Alliant Holdings, Term Loan, Tranche 1 | ||||||||
5.000%, 12/20/2019 | 3,933 | 3,940 | ||||||
Allison Transmission | ||||||||
3.750%, 08/23/2019 | 2,983 | 2,992 | ||||||
Alpha Natural Resources, Term Loan B | ||||||||
3.500%, 05/31/2020 | 2,241 | 2,200 | ||||||
AMC Entertainment, Term Loan | ||||||||
3.500%, 04/30/2020 | 2,373 | 2,371 | ||||||
American Builders & Contract Supply, Term Loan B | ||||||||
3.500%, 04/16/2020 | 2,250 | 2,247 | ||||||
American Renal Holdings, | ||||||||
4.500%, 08/20/2019 | 1,343 | 1,340 | ||||||
American Rock Salt, Term Loan | ||||||||
8.500%, 03/20/2020 | 1,310 | 1,290 | ||||||
American Rock Salt, Term Loan B | ||||||||
5.500%, 04/25/2017 | 737 | 742 | ||||||
Apex Tool Group | ||||||||
4.500%, 01/25/2020 | 1,990 | 1,993 | ||||||
Applied Systems, Hybrid Term Loan, 2nd Lien | ||||||||
8.250%, 06/08/2017 | 940 | 946 | ||||||
Applied Systems, Term Loan B | ||||||||
4.250%, 12/08/2016 | 1,990 | 1,994 | ||||||
Aramark US | ||||||||
0.029%, 07/26/2016 | 27 | 28 | ||||||
Aramark, Term Loan | ||||||||
3.748%, 07/26/2016 | 463 | 464 | ||||||
Aramark, Term Loan C | ||||||||
3.748%, 07/26/2016 | 878 | 879 | ||||||
Aramark, Term Loan D | ||||||||
4.000%, 08/22/2019 | 1,000 | 1,004 | ||||||
Asurion, LLC | ||||||||
4.500%, 05/24/2019 | 2,340 | 2,339 | ||||||
Asurion, LLC, Term Loan B | ||||||||
3.500%, 06/19/2020 | 1,023 | 1,004 | ||||||
Atlas Energy, L.P., Term Loan B | ||||||||
6.500%, 07/31/2019 | 380 | 387 | ||||||
Atlas Energy, Term Loan B | ||||||||
6.500%, 07/31/2019 | 835 | 852 | ||||||
August LuxUK Holding, Term Loan | ||||||||
5.000%, 04/27/2018 | 588 | 590 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 35 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Opportunistic Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
August U.S. Holdings, Term Loan | ||||||||
5.000%, 04/27/2018 | $ | 452 | $ | 454 | ||||
Avaya, Extended Term Loan B-5 | ||||||||
8.000%, 03/31/2018 | 973 | 968 | ||||||
Avaya, Term Loan B-3 | ||||||||
4.762%, 10/26/2017 | 811 | 776 | ||||||
Bally Technologies, 1st Lien | ||||||||
0.000%, 08/21/2020 (C) | 3,131 | 3,149 | ||||||
Bass Pro Group LLC, Term Loan B | ||||||||
4.000%, 11/20/2019 | 2,851 | 2,861 | ||||||
Berry Plastics | ||||||||
3.500%, 02/08/2020 | 1,985 | 1,979 | ||||||
Berry Plastics, Term Loan D | ||||||||
3.500%, 02/08/2020 | 5 | 5 | ||||||
Biomet | ||||||||
3.751%, 07/25/2017 | 34 | 34 | ||||||
3.751%, 10/25/2018 | 494 | 497 | ||||||
3.670%, 07/25/2017 | 880 | 886 | ||||||
3.670%, 10/25/2018 | 598 | 603 | ||||||
3.668%, 10/25/2018 | 28 | 28 | ||||||
Biomet, Term Loan B1 | ||||||||
3.679%, 07/25/2017 | 1,059 | 1,067 | ||||||
Biomet, Term Loan B2 | ||||||||
3.679%, 07/25/2017 | 720 | 726 | ||||||
Biomet, Term Loan B3 | ||||||||
3.679%, 07/25/2017 | 594 | 599 | ||||||
BJ’s Wholesale Club | ||||||||
4.500%, 09/26/2019 | 4,729 | 4,743 | ||||||
BJ’s Wholesale Club, 1st Lien | ||||||||
4.250%, 09/26/2019 | 6 | 6 | ||||||
BJ’s Wholesale Club, 2nd Lien | ||||||||
8.500%, 03/31/2020 | 896 | 913 | ||||||
Booz Allen Hamiliton, Term Loan B1, 1st Lien | ||||||||
3.750%, 07/31/2019 | 1,982 | 1,983 | ||||||
Boyd Acquisition | ||||||||
4.250%, 11/20/2017 | 969 | 974 | ||||||
Boyd Gaming, Term Loan B | ||||||||
4.000%, 08/12/2020 | 4,000 | 4,005 | ||||||
Bright Horizons Family Solutions LLC, Term Loan | ||||||||
4.000%, 01/30/2020 | 347 | 349 | ||||||
Britax Childcare, Cov-Lite | ||||||||
4.500%, 10/07/2020 | 625 | 627 | ||||||
Burlington Coat Factory, | ||||||||
4.250%, 02/23/2017 | 468 | 470 | ||||||
Calpine | ||||||||
4.000%, 04/01/2018 | 1,290 | 1,297 | ||||||
Cannery Casino Resorts LLC | ||||||||
6.000%, 10/02/2018 | 292 | 287 | ||||||
CDW, Term Loan | ||||||||
3.500%, 04/29/2020 | 1,990 | 1,980 | ||||||
Cedar Fair L.P. | ||||||||
3.250%, 03/06/2020 | 491 | 492 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Cequel Communications | ||||||||
3.500%, 02/10/2019 | $ | 2,489 | $ | 2,490 | ||||
3.500%, 02/14/2019 | 6 | 6 | ||||||
Ceramtec Acquisition, Initial Dollar | ||||||||
4.250%, 08/30/2020 | 74 | 74 | ||||||
Ceramtec Acquisition, | ||||||||
4.250%, 08/30/2020 | 227 | 228 | ||||||
CeramTec GmbH, Term Loan B | ||||||||
4.250%, 07/30/2020 | 748 | 750 | ||||||
Ceridian, Term Loan | ||||||||
4.420%, 05/09/2017 | 4,282 | 4,299 | ||||||
Charter Communications Operating LLC, Term Loan E | ||||||||
3.000%, 07/01/2020 | 3,067 | 3,023 | ||||||
Commscope | ||||||||
3.750%, 01/14/2018 | 540 | 540 | ||||||
Commscope, Term Loan B2, | ||||||||
0.000%, 01/26/2018 (C) | 1,000 | 1,005 | ||||||
Community Health Systems, | ||||||||
3.776%, 01/25/2017 | 22 | 22 | ||||||
3.761%, 01/25/2017 | 839 | 843 | ||||||
CompuCom Systems, Term Loan B | ||||||||
4.250%, 05/07/2020 | 399 | 397 | ||||||
Constellation Brands, Term Loan B | ||||||||
2.750%, 05/01/2020 | 723 | 722 | ||||||
ConvaTec Dollar | ||||||||
4.000%, 12/22/2016 | 1,224 | 1,230 | ||||||
Cristal Inorganic Chemicals US | ||||||||
6.026%, 11/15/2014 | 333 | 333 | ||||||
Cumulus Media Holdings, | ||||||||
4.500%, 09/17/2018 | 2,137 | 2,147 | ||||||
DAE Aviation Holdings, | ||||||||
6.250%, 11/02/2018 | 2,052 | 2,062 | ||||||
David’s Bridal | ||||||||
5.000%, 10/05/2019 | 2,084 | 2,086 | ||||||
Davita, Term Loan B2 | ||||||||
4.000%, 11/01/2019 | 993 | 998 | ||||||
Del Monte Foods | ||||||||
4.000%, 03/08/2018 | 2,285 | 2,293 | ||||||
Dex Media West, Term Loan | ||||||||
8.000%, 12/30/2016 | 2,438 | 1,880 | ||||||
Digital Globe | ||||||||
3.750%, 01/25/2020 | 746 | 753 | ||||||
Digital Insight, 1st Lien | ||||||||
4.750%, 08/01/2019 | 857 | 864 | ||||||
Doncaster PLC, Term Loan | ||||||||
5.500%, 04/09/2020 | 1,990 | 2,006 | ||||||
Dunkin Brands, Term Loan B3 | ||||||||
3.750%, 02/14/2020 | 4,679 | 4,686 |
36 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
DuPont Performance Coatings, | ||||||||
4.750%, 02/01/2020 | $ | 1,990 | $ | 2,004 | ||||
Eagle Parent | ||||||||
5.000%, 05/16/2018 | 2,379 | 2,390 | ||||||
EFS Cogen, Term Loan B, 1st Lien | ||||||||
0.000%, 12/17/2020 (C) | 1,866 | 1,866 | ||||||
Emergency Medical Services | ||||||||
4.000%, 05/25/2018 | 85 | 85 | ||||||
Emergency Medical Services, Initial Term Loan | ||||||||
4.000%, 04/27/2018 | 377 | 378 | ||||||
4.000%, 05/25/2018 | 769 | 771 | ||||||
Endurance International, 1st Lien | ||||||||
6.250%, 11/06/2019 | 1,310 | 1,317 | ||||||
5.000%, 11/09/2019 | 1,573 | 1,581 | ||||||
Energy Transfer Equity, Term Loan B, 1st Lien | ||||||||
3.750%, 11/15/2019 | 4,237 | 4,226 | ||||||
Energy Transfer Partners | ||||||||
3.750%, 03/24/2017 | 248 | 247 | ||||||
Entravision Communications, | ||||||||
3.500%, 06/01/2020 | 1,350 | 1,326 | ||||||
EP Energy LLC, Term Loan, Tranche 1 | ||||||||
4.500%, 04/26/2019 | 188 | 188 | ||||||
EP Energy, Term Loan B | ||||||||
3.500%, 05/24/2018 | 1,213 | 1,213 | ||||||
Equinox Fitness Clubs, Term Loan B | ||||||||
4.500%, 01/31/2020 | 1,488 | 1,495 | ||||||
Equinox Fitness, Term Loan | ||||||||
4.500%, 01/31/2020 | 5 | 5 | ||||||
Essential Power, Term Loan | ||||||||
4.250%, 08/08/2019 | 2,954 | 2,957 | ||||||
EZE Castle Software LLC, Term Loan, 1st Lien | ||||||||
4.750%, 04/06/2020 | 384 | 386 | ||||||
EZE Castle Software, Term Loan | ||||||||
4.750%, 04/06/2020 | 141 | 142 | ||||||
Federal Mogul | ||||||||
2.138%, 12/29/2014 | 3 | 3 | ||||||
2.118%, 12/29/2014 | 1,700 | 1,678 | ||||||
Federal Mogul, Term Loan C | ||||||||
2.128%, 12/28/2015 | 3 | 3 | ||||||
2.118%, 12/28/2015 | 1,004 | 991 | ||||||
First Data, Term Loan | ||||||||
4.170%, 03/23/2018 | 3,936 | 3,944 | ||||||
Firth Rixson Ltd., Term Loan B | ||||||||
4.250%, 06/30/2017 | 2,204 | 2,212 | ||||||
Fortescue Metals Group, Ltd., | ||||||||
4.250%, 06/30/2019 | 1,299 | 1,310 | ||||||
Four Seasons Holdings, Term Loan | ||||||||
4.250%, 06/24/2020 | 1,000 | 1,005 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Freescale Semiconductor | ||||||||
5.000%, 02/13/2020 | $ | 2,342 | $ | 2,366 | ||||
Generac Power Systems, | ||||||||
3.500%, 05/30/2018 | 1,167 | 1,167 | ||||||
Genesys Telecom | ||||||||
4.000%, 02/08/2020 | 2,060 | 2,047 | ||||||
Genesys, Cov-Lite, Term Loan, | ||||||||
0.000%, 11/04/2020 (C) | 583 | 582 | ||||||
Genpact International, Term Loan B | ||||||||
3.500%, 08/17/2019 | 1,986 | 1,989 | ||||||
Global Cash Access | ||||||||
4.000%, 02/01/2016 | 304 | 305 | ||||||
GNC, Term Loan B, 1st Lien | ||||||||
0.000%, 03/26/2019 (C) | 4,956 | 4,944 | ||||||
Go Daddy LLC, Term Loan | ||||||||
4.250%, 12/16/2018 | 560 | 560 | ||||||
Gray Television, Term Loan B | ||||||||
4.750%, 10/12/2019 | 286 | 287 | ||||||
Greeneden US Holdings, Delayed Draw, Term Loan, 1st Lien | ||||||||
0.000%, 11/04/2020 (C) | 1,167 | 1,164 | ||||||
Grohe Holding GmbH, Term Loan | ||||||||
5.000%, 05/18/2017 | 1,714 | 1,716 | ||||||
Guitar Center, Term Loan | ||||||||
6.370%, 04/09/2017 | 1,991 | 1,920 | ||||||
H.J. Heinz, Term Loan B2 | ||||||||
3.500%, 03/27/2020 | 1,836 | 1,847 | ||||||
Harbor Freight Tools, Term Loan | ||||||||
4.750%, 07/25/2019 | 3,735 | 3,773 | ||||||
Harron Communications, | ||||||||
3.500%, 10/06/2017 | 584 | 585 | ||||||
HCA, Term Loan | ||||||||
3.026%, 03/31/2017 | 300 | 300 | ||||||
Hilton Hotels, Cov-Lite, Term Loan B, 1st Lien | ||||||||
4.000%, 09/23/2020 | 3,938 | 3,948 | ||||||
Hologic, Term Loan | ||||||||
3.750%, 08/01/2019 | 761 | 764 | ||||||
Houghton International, Term Loan | ||||||||
4.000%, 12/20/2019 | 248 | 248 | ||||||
HUB International, Ltd., | ||||||||
4.750%, 09/17/2020 | 5,100 | 5,149 | ||||||
Hudson’s Bay, Cov-Lite, | ||||||||
4.750%, 10/07/2020 | 3,250 | 3,290 | ||||||
Hudson’s Bay, Term Loan, 1st Lien | ||||||||
4.750%, 10/07/2020 | 1,750 | 1,771 | ||||||
Huntsman International, 1st Lien | ||||||||
0.000%, 01/31/2021 (C) | 5,000 | 5,002 | ||||||
IMS Health | ||||||||
3.750%, 09/01/2017 | 2,066 | 2,072 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 37 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Opportunistic Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ineos Holdings Limited, Cov-Lite | ||||||||
4.000%, 05/04/2018 | $ | 2,019 | $ | 2,023 | ||||
Information Resources, Cov-Lite | ||||||||
4.750%, 09/26/2020 | 121 | 123 | ||||||
Information Resources, Cov-Lite, Tranche 2 | ||||||||
4.750%, 09/30/2020 | 97 | 98 | ||||||
Information Resources, Cov-Lite, Tranche 3 | ||||||||
4.750%, 09/30/2020 | 57 | 57 | ||||||
Information Resources, Cov-Lite, Tranche 4 | ||||||||
4.750%, 09/30/2020 | 25 | 25 | ||||||
Integra Telecom, Term Loan B | ||||||||
5.250%, 02/22/2019 | 465 | 470 | ||||||
5.250%, 02/22/2019 | 470 | 475 | ||||||
Intelesat Jackson Ltd., Term Loan B1 | ||||||||
4.250%, 04/02/2018 | 1,678 | 1,681 | ||||||
Inventiv Health, Incremental Term Loan B-3 | ||||||||
7.750%, 05/15/2018 | 267 | 264 | ||||||
Inventiv Health, Term Loan B | ||||||||
7.500%, 08/04/2016 | 1,600 | 1,581 | ||||||
ION Trading Technologies Ltd., Term Loan | ||||||||
4.500%, 05/22/2020 | 1,636 | 1,643 | ||||||
ION Trading Technologies, Cov-Lite, 2nd Lien | ||||||||
8.250%, 05/22/2021 | 1,920 | 1,938 | ||||||
ISS A/S, Term Loan B | ||||||||
3.750%, 04/18/2018 | 277 | 277 | ||||||
J. Crew Group, Term Loan B | ||||||||
4.000%, 03/07/2018 | 3,718 | 3,731 | ||||||
Jarden, Term Loan B, 1st Lien | ||||||||
2.918%, 09/30/2020 | 2,300 | 2,300 | ||||||
JCPenney, Cov-Lite, 1st Lien | ||||||||
6.000%, 05/22/2018 | 1,920 | 1,875 | ||||||
Kronos, Incremental Term Loan | ||||||||
4.500%, 10/30/2019 | 2,193 | 2,202 | ||||||
Lamar Media | ||||||||
4.000%, 12/30/2016 | 17 | 17 | ||||||
Language Line, Term Loan B | ||||||||
6.250%, 06/20/2016 | 4,171 | 4,155 | ||||||
Lawson Software, Term Loan B | ||||||||
5.250%, 04/05/2018 | 3,991 | 4,008 | ||||||
Leslie’s Poolmart, Term Loan B | ||||||||
5.250%, 10/16/2019 | 3,366 | 3,375 | ||||||
2.000%, 10/11/2019 | 18 | — | ||||||
Level 3 Communications, | ||||||||
4.000%, 08/01/2019 | 2,000 | 2,012 | ||||||
Level 3 Communications, | ||||||||
4.000%, 01/15/2020 | 1,500 | 1,509 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Lifepoint Hospitals, Term Loan | ||||||||
2.680%, 07/24/2017 | $ | 358 | $ | 359 | ||||
Light Tower Fiber, LLC | ||||||||
8.000%, 04/12/2021 | 1,000 | 1,001 | ||||||
4.500%, 04/11/2020 | 1,381 | 1,381 | ||||||
Light Tower Fiber, LLC, Term Loan | ||||||||
4.500%, 04/13/2020 | 614 | 614 | ||||||
Live Nation Entertainment | ||||||||
3.500%, 11/07/2016 | 958 | 959 | ||||||
LPL Holdings, Term Loan B | ||||||||
3.250%, 03/29/2019 | 1,741 | 1,736 | ||||||
MacDermid, Term Loan | ||||||||
4.000%, 06/05/2020 | 1,995 | 2,005 | ||||||
Media General, Delayed Term Loan | ||||||||
6.000%, 07/30/2020 | 1,000 | 1,009 | ||||||
Mediacom Communications, | ||||||||
3.250%, 01/22/2021 | 3,142 | 3,123 | ||||||
MEG Energy | ||||||||
3.750%, 03/21/2020 | 637 | 641 | ||||||
Merlin Entertainments, Term Loan | ||||||||
3.932%, 07/01/2019 | 1,101 | 1,103 | ||||||
MGM Resorts International, | ||||||||
3.500%, 12/20/2019 | 412 | 411 | ||||||
MGM Resorts International, | ||||||||
3.500%, 12/20/2019 | 1,178 | 1,176 | ||||||
Michaels Stores | ||||||||
3.750%, 01/24/2020 | 1,512 | 1,516 | ||||||
Michaels Stores, Term Loan | ||||||||
3.750%, 01/28/2020 | 488 | 489 | ||||||
Michaels Stores, Term Loan B | ||||||||
3.750%, 01/28/2020 | 488 | 489 | ||||||
Midcontinent Communications, | ||||||||
3.500%, 12/31/2016 | 489 | 489 | ||||||
Minimax GmbH, Term Loan B | ||||||||
4.500%, 08/07/2020 | 3,900 | 3,918 | ||||||
Mohegan Tribal Gaming Authority, Term Loan A, 1st Lien | ||||||||
0.000%, 11/06/2018 (C) | 2,290 | 2,278 | ||||||
Mohegan Tribal Gaming Authority, Term Loan B, 1st Lien | ||||||||
0.000%, 11/19/2019 (C) | 1,548 | 1,567 | ||||||
MTL Publishing, Term Loan B | ||||||||
4.250%, 06/29/2018 | 2,988 | 2,998 | ||||||
Navistar International, Term Loan | ||||||||
5.750%, 08/17/2017 | 1,383 | 1,404 | ||||||
NCI Building Systems, Term Loan | ||||||||
4.250%, 06/14/2019 | 1,568 | 1,569 | ||||||
4.250%, 06/24/2019 | 65 | 65 | ||||||
Neiman Marcus Group, Term Loan, 1st Lien | ||||||||
5.000%, 10/25/2020 | 4,000 | 4,024 |
38 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Nelson Education, Term Loan B-1 | ||||||||
2.748%, 07/04/2014 | $ | 746 | $ | 557 | ||||
NEP Supershooters LP, Term Loan | ||||||||
4.750%, 01/22/2020 | 447 | 448 | ||||||
NewPage, Term Loan | ||||||||
7.750%, 12/21/2018 | 2,084 | 2,126 | ||||||
Nielsen Finance LLC, CL E Dollar, Term Loan | ||||||||
2.918%, 05/02/2016 | 86 | 86 | ||||||
NRG Energy, Term Loan | ||||||||
2.750%, 07/01/2018 | 250 | 249 | ||||||
NXP | ||||||||
4.500%, 03/03/2017 | 468 | 473 | ||||||
NXP Semiconductors, Incremental Term Loan C | ||||||||
4.750%, 01/10/2020 | 1,985 | 1,986 | ||||||
NXP, Cov-Lite, Term Loan D, | ||||||||
0.000%, 01/10/2020 (C) | 1,985 | 1,986 | ||||||
Ocwen Financial, Term Loan | ||||||||
5.000%, 02/15/2018 | 1,493 | 1,510 | ||||||
One Call Medical, Term Loan, | ||||||||
0.000%, 11/20/2020 (C) | 2,144 | 2,128 | ||||||
One Call Medical, Term Loan, | ||||||||
0.000%, 11/21/2021 (C) | 1,684 | 1,688 | ||||||
OXEA, Term Loan | ||||||||
4.250%, 12/06/2019 | 2,520 | 2,533 | ||||||
Peabody Energy, Cov-Lite, | ||||||||
4.250%, 09/24/2020 | 4,000 | 4,018 | ||||||
PETCO Animal Supplies, | ||||||||
4.000%, 11/24/2017 | 1,492 | 1,498 | ||||||
Pilot Travel Centers, LLC, Term Loan Tranche B | ||||||||
4.250%, 08/07/2019 | 988 | 987 | ||||||
Pinnacle Entertainment, | ||||||||
3.750%, 08/05/2020 | 1,496 | 1,501 | ||||||
Pinnacle Foods Group, LLC | ||||||||
3.250%, 04/29/2020 | 573 | 572 | ||||||
Pinnacle Foods Group, LLC, | ||||||||
3.250%, 04/29/2020 | 1,320 | 1,318 | ||||||
Progressive Waste Solutions, | ||||||||
3.500%, 10/24/2019 | 149 | 149 | ||||||
Progressive Waste, Term Loan B, 1st Lien | ||||||||
0.000%, 10/24/2019 (C) | 5,530 | 5,530 | ||||||
Proquest, Term Loan B | ||||||||
6.000%, 04/13/2018 | 493 | 495 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
PVH, Term Loan B, 2012 Bank Loan, Tranche 1 | ||||||||
3.250%, 02/13/2020 | $ | 583 | $ | 583 | ||||
Quicksilver Resources, 2nd Lien | ||||||||
7.000%, 06/12/2019 | 2,000 | 1,955 | ||||||
Quintiles Transnational, Term Loan B | ||||||||
4.500%, 06/08/2018 | 1,917 | 1,918 | ||||||
Quintiles Transnational, | ||||||||
0.000%, 06/08/2018 (C) | 1,580 | 1,579 | ||||||
Raycom TV Broadcasting, | ||||||||
4.250%, 05/31/2017 | 585 | 585 | ||||||
RE/MAX International, Term Loan | ||||||||
4.000%, 07/29/2020 | 2,855 | 2,847 | ||||||
Realogy, Extended Synthetic | ||||||||
4.540%, 10/10/2016 | 88 | 89 | ||||||
Redtop Acquisitions, Ltd., 1st Lien | ||||||||
0.000%, 12/22/2020 (C) | 625 | 627 | ||||||
Redtop Acquisitions, Ltd., 2nd Lien | ||||||||
0.000%, 06/22/2021 (C) | 525 | 528 | ||||||
Rexnord, LLC, Term Loan B | ||||||||
4.000%, 08/21/2020 | 3,072 | 3,071 | ||||||
Rexnord, LLC, Term B | ||||||||
4.000%, 08/21/2020 | 1,720 | 1,720 | ||||||
Rice Drilling B, Term Loan, | ||||||||
8.500%, 10/25/2018 | 2,063 | 2,099 | ||||||
Rite Aid | ||||||||
4.000%, 02/07/2020 | 1,493 | 1,503 | ||||||
Riverbed Technology, Term Loan Tranche 1 | ||||||||
4.000%, 12/13/2019 | 913 | 919 | ||||||
Roundy’s Supermarkets, | ||||||||
5.750%, 02/13/2019 | 689 | 675 | ||||||
5.750%, 02/13/2019 | 296 | 290 | ||||||
Ruby Western Pipeline | ||||||||
3.500%, 03/22/2020 | 825 | 827 | ||||||
Ruby Western Pipeline Holdings, Term Loan | ||||||||
3.500%, 03/27/2020 | 120 | 121 | ||||||
Salem Communications, | ||||||||
4.500%, 03/12/2020 | 1,460 | 1,464 | ||||||
San Juan Cable Holdings, Term Loan B | ||||||||
6.000%, 06/09/2017 | 1,973 | 1,975 | ||||||
Schaeffler AG, Term Loan C, | ||||||||
4.250%, 01/20/2017 | 1,225 | 1,232 | ||||||
Sealed Air, Term Loan B | ||||||||
4.000%, 10/03/2018 | 2,805 | 2,808 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 39 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Opportunistic Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Seaworld | ||||||||
3.000%, 05/14/2020 | $ | 2,745 | $ | 2,709 | ||||
Sedgwick CMS Holdings, | ||||||||
8.000%, 12/10/2018 | 2,176 | 2,212 | ||||||
4.250%, 06/12/2018 | 1,496 | 1,500 | ||||||
Seminole Hard Rock Entertainment, Term Loan B | ||||||||
3.500%, 05/08/2020 | 748 | 747 | ||||||
Sensata Technologies | ||||||||
3.750%, 05/12/2018 | 341 | 344 | ||||||
Sequa, Term Loan B | ||||||||
5.250%, 06/19/2017 | 744 | 735 | ||||||
Serta Simmons Holdings, | ||||||||
5.000%, 10/01/2019 | 2,155 | 2,161 | ||||||
Sheridan Healthcare, Term Loan | ||||||||
4.500%, 06/29/2018 | 3,152 | 3,170 | ||||||
Sheridan Holdings, Term Loan | ||||||||
9.000%, 07/01/2019 | 250 | 251 | ||||||
Smart & Final, Cov-Lite, Term Loan | ||||||||
4.500%, 11/08/2019 | 993 | 992 | ||||||
Smart Technologies, Term Loan | ||||||||
10.500%, 01/31/2018 | 140 | 134 | ||||||
Sophoros PLC | ||||||||
6.500%, 05/10/2019 | 1,834 | 1,834 | ||||||
Spectrum Brands | ||||||||
3.500%, 08/11/2017 | 649 | 649 | ||||||
Spectrum Brands, Term Loan | ||||||||
3.500%, 08/13/2019 | 649 | 650 | ||||||
Sprouts Farmers Markets LLC, | ||||||||
4.000%, 04/23/2020 | 1,215 | 1,222 | ||||||
Standard Aero, Term Loan B2 | ||||||||
6.250%, 11/02/2018 | 930 | 935 | ||||||
Starwood Property Trust, Term Loan B | ||||||||
3.500%, 04/17/2020 | 547 | 545 | ||||||
Sungard Data Systems (Solar Capital), Tranche 1 | ||||||||
4.500%, 01/31/2020 | 298 | 299 | ||||||
SunGard Data Systems, | ||||||||
4.000%, 03/07/2020 | 1,906 | 1,920 | ||||||
Surgical Care Affiliates, LLC, | ||||||||
4.250%, 06/29/2018 | 1,122 | 1,125 | ||||||
Surgical Care Affiliates, LLC, | ||||||||
4.276%, 12/29/2017 | 1,386 | 1,386 | ||||||
Syncreon Holdings, Ltd., | ||||||||
5.250%, 10/28/2020 | 3,792 | 3,764 | ||||||
Syniverse Holdings, Term Loan | ||||||||
4.000%, 04/23/2019 | 1,212 | 1,219 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Teine Energy Ltd., Term Loan B | ||||||||
7.500%, 05/17/2019 | $ | 1,658 | $ | 1,679 | ||||
Telesat Canada, Term Loan B | ||||||||
3.500%, 03/28/2019 | 397 | 397 | ||||||
Templar Energy, Cov-Lite, 2nd Lien | ||||||||
8.000%, 11/25/2020 | 3,250 | 3,248 | ||||||
Terex, 1st Lien | ||||||||
3.500%, 04/28/2017 | 373 | 375 | ||||||
Texas Competitive, Extended | ||||||||
4.739%, 10/10/2017 | 284 | 196 | ||||||
4.668%, 10/10/2017 | 580 | 401 | ||||||
The Pantry, Term Loan B | ||||||||
4.750%, 08/03/2019 | 990 | 999 | ||||||
TI Automotive Ltd., Term Loan B | ||||||||
5.500%, 03/27/2019 | 1,007 | 1,014 | ||||||
Time Warner Telecom Holdings, Term Loan B | ||||||||
2.680%, 04/05/2020 | 388 | 389 | ||||||
Trans Union, LLC, Term Loan | ||||||||
4.250%, 02/10/2019 | 2,711 | 2,726 | ||||||
TransDigm | ||||||||
3.750%, 02/25/2020 | 3,981 | 3,998 | ||||||
Travelport, LLC, Term Loan | ||||||||
6.250%, 06/26/2019 | 5 | 5 | ||||||
Travelport, Term Loan | ||||||||
6.250%, 06/21/2019 | 1,920 | 1,960 | ||||||
Tribune Company, Term Loan Tranche 1 | ||||||||
4.000%, 12/31/2019 | 1,191 | 1,190 | ||||||
Tribune, Term Loan B, 1st Lien | ||||||||
0.000%, 11/20/2020 (C) | 4,593 | 4,572 | ||||||
Tronox, Term Loan B | ||||||||
4.500%, 02/03/2018 | 531 | 537 | ||||||
4.500%, 02/08/2018 | 467 | 472 | ||||||
True Religion Apparel, Term Loan | ||||||||
5.875%, 07/30/2019 | 1,400 | 1,339 | ||||||
TWCC Holding Weather Channel, Term Loan B | ||||||||
3.500%, 02/13/2017 | 1,673 | 1,677 | ||||||
TWCC Holding, Term Loan | ||||||||
7.000%, 12/11/2020 | 36 | 37 | ||||||
7.000%, 12/11/2020 | 2,214 | 2,267 | ||||||
TWCC Holding, Weather Channel | ||||||||
3.500%, 02/13/2017 | 115 | 115 | ||||||
U.S. Telepacific, Term Loan | ||||||||
5.750%, 02/23/2017 | 978 | 976 | ||||||
Universal Health Services, | ||||||||
2.424%, 11/15/2016 | 169 | 169 | ||||||
Univision Communications, Extended Term Loan C-3 | ||||||||
4.000%, 03/01/2020 | 2,544 | 2,547 | ||||||
Univision Communications, | ||||||||
4.500%, 02/22/2020 | 1,493 | 1,497 |
40 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
UPC Finance Partnership | ||||||||
3.250%, 06/10/2021 | $ | 1,000 | $ | 997 | ||||
Valeant Pharmaceuticals | ||||||||
3.750%, 02/13/2019 | 147 | 148 | ||||||
Valeant Pharmaceuticals International | ||||||||
3.750%, 12/11/2019 | 1,975 | 1,988 | ||||||
Valeant Pharmaceuticals International, Term Loan E | ||||||||
4.500%, 06/26/2020 | 1,985 | 2,006 | ||||||
Verint Systems, Term Loan B, | ||||||||
4.000%, 09/16/2019 | 794 | 797 | ||||||
Virgin Media Investment Company, Term Loan B | ||||||||
3.500%, 06/05/2020 | 3,800 | 3,800 | ||||||
VWR Funding, Term Loan B | ||||||||
4.429%, 04/03/2017 | 396 | 397 | ||||||
VWR Funding, Term Loan B1 | ||||||||
4.168%, 04/03/2017 | 1,563 | 1,567 | ||||||
Walter Energy, Term Loan B | ||||||||
6.750%, 04/02/2018 | 1,831 | 1,791 | ||||||
5.750%, 04/02/2018 | 646 | 632 | ||||||
Warner Music Group, Term Loan | ||||||||
3.750%, 07/01/2020 | 1,550 | 1,548 | ||||||
Waste Industries USA, Term Loan B | ||||||||
4.000%, 03/16/2017 | 1,372 | 1,373 | ||||||
WCA Waste Systems, Term Loan | ||||||||
4.000%, 03/23/2018 | 2,917 | 2,915 | ||||||
West | ||||||||
3.750%, 06/30/2018 | 980 | 983 | ||||||
Western Refining | ||||||||
4.250%, 11/25/2020 | 1,351 | 1,362 | ||||||
Wide Open West Finance | ||||||||
4.750%, 03/26/2019 | 717 | 721 | ||||||
Wideopen Finance, LLC, | ||||||||
4.250%, 07/17/2017 | 1,206 | 1,208 | ||||||
Windstream, Term Loan B4 | ||||||||
3.500%, 01/23/2020 | 3,313 | 3,314 | ||||||
Zayo Group, Term Loan B | ||||||||
4.500%, 07/02/2019 | 4,986 | 4,982 | ||||||
|
| |||||||
Total Loan Participations | 440,461 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 21.5% |
| |||||||
Automotive — 7.1% | ||||||||
AFIN, Ser 2013-3, Cl A1A | ||||||||
0.640%, 11/20/2015 | 510 | 511 | ||||||
Ally Auto Receivables Trust, | ||||||||
2.090%, 05/15/2015 | 31 | 31 | ||||||
Ally Auto Receivables Trust, | ||||||||
1.350%, 12/15/2015 | 579 | 581 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ally Auto Receivables Trust, | ||||||||
2.450%, 06/15/2016 (B) | $ | 285 | $ | 289 | ||||
Ally Auto Receivables Trust, | ||||||||
2.230%, 03/15/2016 | 307 | 309 | ||||||
Ally Auto Receivables Trust, | ||||||||
1.980%, 05/15/2015 | 3,350 | 3,384 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.990%, 11/16/2015 | 150 | 151 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.590%, 01/17/2017 | 701 | 701 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.700%, 12/21/2015 | 75 | 75 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.630%, 05/15/2017 | 450 | 450 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.790%, 01/15/2018 | 4,000 | 4,004 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.720%, 05/20/2016 | 135 | 135 | ||||||
Ally Master Owner Trust, | ||||||||
1.810%, 05/15/2016 | 569 | 572 | ||||||
Ally Master Owner Trust, | ||||||||
1.540%, 09/15/2016 | 850 | 856 | ||||||
Ally Master Owner Trust, | ||||||||
1.440%, 02/15/2017 | 550 | 555 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
1.640%, 11/15/2016 (B) | 85 | 85 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
1.320%, 02/15/2017 (B) | 300 | 301 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
1.990%, 10/08/2015 | 56 | 56 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
3.510%, 07/06/2017 | 108 | 109 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
1.170%, 01/08/2016 | 30 | 30 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 41 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Opportunistic Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-3, Cl B | ||||||||
2.280%, 06/08/2016 | $ | 1,860 | $ | 1,873 | ||||
AmeriCredit Automobile Receivables Trust, Ser 2011-4, Cl A3 | ||||||||
1.170%, 05/09/2016 | 2,065 | 2,069 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-1, Cl A3 | ||||||||
1.230%, 09/08/2016 | 2,500 | 2,508 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-5, Cl A3 | ||||||||
0.620%, 06/08/2017 | 125 | 125 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2013-1, Cl A2 | ||||||||
0.490%, 06/08/2016 | 568 | 568 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2013-2, Cl A2 | ||||||||
0.530%, 11/08/2016 | 688 | 688 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2013-2, Cl A3 | ||||||||
0.650%, 12/08/2017 | 310 | 309 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2013-4, Cl A2 | ||||||||
0.740%, 11/08/2016 | 1,035 | 1,036 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2013-5, Cl A2B | ||||||||
0.549%, 07/08/2015 (A) | 330 | 330 | ||||||
ARI Fleet Lease Trust, | ||||||||
0.718%, 03/15/2020 (A) (B) | 322 | 323 | ||||||
ARI Fleet Lease Trust, | ||||||||
0.468%, 01/15/2021 (A) (B) | 728 | 727 | ||||||
ARI Fleet Lease Trust, | ||||||||
0.700%, 12/15/2015 (B) | 175 | 175 | ||||||
Bank of America Auto Trust, | ||||||||
0.780%, 06/15/2016 to 06/15/2016 | 217 | 218 | ||||||
BMW Vehicle Lease Trust, | ||||||||
0.930%, 09/21/2015 | 480 | 481 | ||||||
BMW Vehicle Owner Trust, | ||||||||
0.760%, 08/25/2015 | 58 | 58 | ||||||
BMW Vehicle Owner Trust, | ||||||||
0.410%, 03/25/2015 | 2,000 | 2,000 | ||||||
BMW Vehicle Owner Trust, | ||||||||
0.670%, 12/27/2016 | 2,000 | 2,003 | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-1, Cl A3 | ||||||||
0.790%, 06/20/2017 | 3,000 | 2,994 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-1, Cl A4 | ||||||||
0.970%, 01/22/2018 | $ | 2,500 | $ | 2,499 | ||||
Capital Auto Receivables Asset Trust, Ser 2013-4, Cl A1 | ||||||||
0.546%, 03/21/2016 (A) | 750 | 750 | ||||||
Carfinance Capital Auto Trust, | ||||||||
1.750%, 11/15/2017 (B) | 1,220 | 1,220 | ||||||
CarMax Auto Owner Trust, | ||||||||
2.820%, 12/15/2014 | 23 | 23 | ||||||
CarMax Auto Owner Trust, | ||||||||
2.170%, 07/17/2017 | 150 | 154 | ||||||
CarMax Auto Owner Trust, | ||||||||
0.890%, 09/15/2016 | 43 | 43 | ||||||
CarMax Auto Owner Trust, | ||||||||
0.520%, 07/17/2017 | 75 | 75 | ||||||
CarMax Auto Owner Trust, | ||||||||
1.500%, 08/15/2018 | 55 | 55 | ||||||
CarMax Auto Owner Trust, | ||||||||
0.420%, 03/15/2016 | 79 | 79 | ||||||
CarMax Auto Owner Trust, | ||||||||
0.590%, 08/15/2016 | 450 | 451 | ||||||
CFC, Ser 2013-1A, Cl A | ||||||||
1.650%, 07/17/2017 (B) | 42 | 42 | ||||||
Chesapeake Funding LLC, | ||||||||
0.919%, 11/07/2023 (A) (B) | 275 | 275 | ||||||
Chesapeake Funding LLC, | ||||||||
0.619%, 05/07/2024 (A) (B) | 2,000 | 2,003 | ||||||
Chesapeake Funding LLC, | ||||||||
0.619%, 01/07/2025 (A) (B) | 755 | 756 | ||||||
Chrysler Capital Auto Receivables Trust, Ser 2013-AA, Cl A2 | ||||||||
0.610%, 11/15/2016 (B) | 540 | 540 | ||||||
Credit Acceptance Auto Loan Trust, | ||||||||
2.610%, 03/15/2019 (B) | 190 | 191 | ||||||
Credit Acceptance Auto Loan Trust, | ||||||||
3.960%, 09/15/2019 (B) | 735 | 753 | ||||||
Credit Acceptance Auto Loan Trust, | ||||||||
2.200%, 09/16/2019 (B) | 460 | 464 | ||||||
Credit Acceptance Auto Loan Trust, | ||||||||
1.500%, 04/15/2021 (B) | 465 | 465 |
42 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Enterprise Fleet Financing LLC, | ||||||||
1.140%, 11/20/2017 (B) | $ | 427 | $ | 428 | ||||
Enterprise Fleet Financing LLC, | ||||||||
0.720%, 04/20/2018 (B) | 204 | 204 | ||||||
Enterprise Fleet Financing LLC, | ||||||||
0.680%, 09/20/2018 (B) | 1,245 | 1,245 | ||||||
Enterprise Fleet Financing LLC, | ||||||||
1.060%, 03/20/2019 (B) | 700 | 701 | ||||||
Fifth Third Auto Trust, | ||||||||
0.450%, 01/15/2016 | 305 | 305 | ||||||
First Investors Auto Owner Trust, | ||||||||
1.470%, 05/15/2018 (B) | 346 | 348 | ||||||
First Investors Auto Owner Trust, | ||||||||
0.900%, 10/15/2018 (B) | 113 | 112 | ||||||
First Investors Auto Owner Trust, | ||||||||
1.230%, 03/15/2019 (B) | 400 | 401 | ||||||
First Investors Auto Owner Trust, | ||||||||
0.890%, 10/15/2015 (B) | 375 | 375 | ||||||
FITAT, Ser 2013-A, Cl A3 | ||||||||
0.880%, 10/16/2017 | 555 | 558 | ||||||
Ford Credit Auto Lease Trust, | ||||||||
1.420%, 01/15/2015 | 150 | 150 | ||||||
1.350%, 12/15/2016 | 4,627 | 4,662 | ||||||
Ford Credit Auto Lease Trust, | ||||||||
1.030%, 04/15/2015 | 500 | 502 | ||||||
Ford Credit Auto Lease Trust, | ||||||||
0.540%, 11/15/2014 | 49 | 49 | ||||||
Ford Credit Auto Lease Trust, | ||||||||
0.460%, 05/15/2015 | 330 | 330 | ||||||
Ford Credit Auto Lease Trust, | ||||||||
0.438%, 01/15/2016 (A) | 335 | 335 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.840%, 06/15/2015 | 20 | 20 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
1.880%, 08/15/2017 | 175 | 180 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.580%, 12/15/2016 | 810 | 811 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.380%, 11/15/2015 | $ | 96 | $ | 96 | ||||
Ford Credit Auto Owner Trust, | ||||||||
0.550%, 04/15/2016 | 580 | 580 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.670%, 04/15/2018 | 770 | 770 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2011-1, Cl A2 | ||||||||
0.768%, 02/15/2016 (A) | 5,000 | 5,004 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-1, Cl A | ||||||||
0.638%, 01/15/2016 (A) | 475 | 475 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-2, Cl A | ||||||||
1.920%, 01/15/2019 | 175 | 179 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-4, Cl A1 | ||||||||
0.740%, 09/15/2016 | 725 | 726 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-4, Cl A2 | ||||||||
0.518%, 09/15/2016 (A) | 685 | 685 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2013-1, Cl A2 | ||||||||
0.548%, 01/15/2018 (A) | 195 | 195 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2013-5, Cl A2 | ||||||||
0.638%, 09/15/2018 | 425 | 425 | ||||||
GE Dealer Floorplan Master Note Trust, Ser 2012-1, Cl A | ||||||||
0.738%, 02/20/2017 (A) | 840 | 843 | ||||||
GE Dealer Floorplan Master Note Trust, Ser 2012-3, Cl A | ||||||||
0.658%, 06/20/2017 (A) | 115 | 115 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
0.960%, 05/16/2016 | 66 | 67 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
0.680%, 04/15/2017 | 175 | 175 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
0.650%, 07/16/2018 | 300 | 300 | ||||||
Hertz Fleet Lease Funding, | ||||||||
0.716%, 12/10/2027 (A) (B) | 3,570 | 3,570 | ||||||
Hertz Vehicle Financing LLC, | ||||||||
2.200%, 03/25/2016 (B) | 150 | 152 | ||||||
Honda Auto Receivables Owner Trust, Ser 2011-2, Cl A3 | ||||||||
0.940%, 03/18/2015 | 20 | 20 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 43 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Opportunistic Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Honda Auto Receivables Owner Trust, Ser 2012-2, Cl A3 | ||||||||
0.700%, 02/16/2016 | $ | 771 | $ | 773 | ||||
Honda Auto Receivables Owner Trust, Ser 2012-4, Cl A3 | ||||||||
0.520%, 08/18/2016 | 110 | 110 | ||||||
Honda Auto Receivables Owner Trust, Ser 2013-3, Cl A2 | ||||||||
0.540%, 01/15/2016 | 240 | 240 | ||||||
Honda Auto Receivables Owner Trust, Ser 2013-4, Cl A3 | ||||||||
0.690%, 10/18/2016 | 5,000 | 5,007 | ||||||
Huntington Auto Trust, | ||||||||
1.310%, 11/15/2016 (B) | 350 | 353 | ||||||
Huntington Auto Trust, | ||||||||
0.510%, 04/17/2017 | 110 | 110 | ||||||
Hyundai Auto Lease Securitization Trust, Ser 2012-A, Cl A3 | ||||||||
0.920%, 08/17/2015 (B) | 860 | 862 | ||||||
Hyundai Auto Lease Securitization Trust, Ser 2012-A, Cl A4 | ||||||||
1.050%, 04/17/2017 (B) | 300 | 301 | ||||||
Hyundai Auto Lease Securitization Trust, Ser 2013-B, Cl A2 | ||||||||
0.750%, 03/15/2016 | 550 | 551 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
2.450%, 04/15/2016 | 70 | 71 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
2.270%, 02/15/2017 | 130 | 133 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
0.620%, 09/15/2016 | 50 | 50 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
0.530%, 04/17/2017 | 710 | 711 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
0.400%, 12/15/2015 | 231 | 231 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
0.570%, 06/15/2016 | 435 | 435 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
1.010%, 02/15/2018 | 5,000 | 5,032 | ||||||
M&T Bank Auto Receivables Trust, | ||||||||
1.060%, 11/15/2017 (B) | 5,680 | 5,713 | ||||||
Mercedes-Benz Auto Lease Trust, | ||||||||
1.070%, 11/15/2017 | 895 | 897 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Mercedes-Benz Auto Lease Trust, | ||||||||
0.590%, 02/15/2016 | $ | 400 | $ | 400 | ||||
Mercedes-Benz Auto Lease Trust, | ||||||||
0.620%, 07/15/2016 | 660 | 660 | ||||||
Mercedes-Benz Auto Receivables Trust, Ser 2012-1, Cl A3 | ||||||||
0.470%, 10/17/2016 | 260 | 260 | ||||||
Mercedes-Benz Auto Receivables Trust, Ser 2013-1, Cl A2 | ||||||||
0.500%, 03/15/2016 | 325 | 325 | ||||||
Mercedes-Benz Master Owner Trust, Ser 2012-BA, Cl A | ||||||||
0.438%, 11/15/2016 (A) (B) | 150 | 150 | ||||||
Motor, Ser 2013-1, Cl A1 | ||||||||
0.666%, 02/25/2021 (A) (B) | 229 | 229 | ||||||
Nissan Auto Lease Trust, | ||||||||
0.980%, 05/15/2015 | 600 | 601 | ||||||
Nissan Auto Lease Trust, | ||||||||
0.580%, 11/16/2015 | 122 | 122 | ||||||
Nissan Auto Lease Trust, | ||||||||
0.450%, 09/15/2015 | 1,150 | 1,150 | ||||||
Nissan Auto Lease Trust, | ||||||||
0.438%, 01/15/2016 (A) | 240 | 240 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2011-B, Cl A3 | ||||||||
0.950%, 02/16/2016 | 501 | 503 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2012-A, Cl A3 | ||||||||
0.730%, 05/16/2016 | 1,065 | 1,067 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2012-B, Cl A3 | ||||||||
0.460%, 10/17/2016 | 745 | 746 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2013-A, Cl A2 | ||||||||
0.370%, 09/15/2015 | 291 | 291 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2013-A, Cl A3 | ||||||||
0.500%, 05/15/2017 | 585 | 585 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2013-B, Cl A2 | ||||||||
0.520%, 04/15/2016 | 845 | 846 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2013-B, Cl A3 | ||||||||
0.840%, 10/15/2016 | 3,739 | 3,763 | ||||||
Nissan Master Owner Trust Receivables, Ser 2012-A, Cl A | ||||||||
0.638%, 05/15/2017 (A) | 3,175 | 3,185 | ||||||
Porsche Innovative Lease Owner Trust, Ser 2012-1, Cl A3 | ||||||||
0.540%, 12/21/2015 (B) | 126 | 126 |
44 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Porsche Innovative Lease Owner Trust, Ser 2013-1, Cl A4 | ||||||||
0.880%, 10/22/2019 (B) | $ | 390 | $ | 391 | ||||
Prestige Auto Receivables Trust, | ||||||||
1.090%, 02/15/2018 (B) | 491 | 493 | ||||||
Santander Drive Auto Receivables Trust, Ser 2010-2, Cl C | ||||||||
3.890%, 07/17/2017 | 220 | 224 | ||||||
Santander Drive Auto Receivables Trust, Ser 2010-A, Cl A3 | ||||||||
1.830%, 11/17/2014 (B) | 62 | 62 | ||||||
Santander Drive Auto Receivables Trust, Ser 2011-3, Cl B | ||||||||
2.500%, 12/15/2015 | 135 | 136 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-1, Cl A2 | ||||||||
1.250%, 04/15/2015 | 1 | 1 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-4, Cl A3 | ||||||||
1.400%, 08/15/2016 | 750 | 752 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-5, Cl A3 | ||||||||
0.830%, 12/15/2016 | 128 | 128 | ||||||
Santander Drive Auto Receivables Trust, Ser 2013-1, Cl A2 | ||||||||
0.480%, 02/16/2016 | 92 | 92 | ||||||
Santander Drive Auto Receivables Trust, Ser 2013-2, Cl A3 | ||||||||
0.700%, 09/15/2017 | 350 | 350 | ||||||
Santander Drive Auto Receivables Trust, Ser 2013-5, Cl A2B | ||||||||
0.548%, 04/17/2017 (A) | 620 | 620 | ||||||
SNAAC Auto Receivables Trust, | ||||||||
1.140%, 07/16/2018 (B) | 102 | 102 | ||||||
Toyota Auto Receivables Owner Trust, Ser 2012-A, Cl A3 | ||||||||
0.750%, 02/16/2016 | 946 | 948 | ||||||
Toyota Auto Receivables Owner Trust, Ser 2012-B, Cl A3 | ||||||||
0.460%, 07/15/2016 | 300 | 300 | ||||||
Toyota Auto Receivables Owner Trust, Ser 2013-A, Cl A3 | ||||||||
0.550%, 01/17/2017 | 70 | 70 | ||||||
Toyota Auto Receivables Owner Trust, Ser 2013-B, Cl A2 | ||||||||
0.480%, 02/15/2016 | 270 | 270 | ||||||
Volkswagen Auto Lease Trust, | ||||||||
0.870%, 07/20/2015 | 65 | 65 | ||||||
Volkswagen Auto Lease Trust, | ||||||||
0.630%, 12/21/2015 | 410 | 411 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Volkswagen Auto Loan Enhanced Trust, Ser 2011-1, Cl A4 | ||||||||
1.980%, 09/20/2017 | $ | 525 | $ | 532 | ||||
Volkswagen Auto Loan Enhanced Trust, Ser 2012-1, Cl A3 | ||||||||
0.850%, 08/22/2016 | 436 | 438 | ||||||
Volkswagen Auto Loan Enhanced Trust, Ser 2012-2, Cl A2 | ||||||||
0.330%, 07/20/2015 | 176 | 175 | ||||||
Volkswagen Auto Loan Enhanced Trust, Ser 2013-1, Cl A2 | ||||||||
0.370%, 01/20/2016 | 767 | 767 | ||||||
Volkswagen Auto Loan Enhanced Trust, Ser 2013-2, Cl A2 | ||||||||
0.420%, 07/20/2016 | 850 | 850 | ||||||
Westlake Automobile Receivables Trust, Ser 2013-1A, Cl A2 | ||||||||
1.120%, 01/15/2018 (B) | 3,360 | 3,363 | ||||||
Wheels LLC, Ser 2012-1, Cl A2 | ||||||||
1.190%, 03/20/2021 (B) | 2,102 | 2,109 | ||||||
World Omni Auto Receivables Trust, Ser 2012-A, Cl A3 | ||||||||
0.640%, 02/15/2017 | 41 | 41 | ||||||
World Omni Auto Receivables Trust, Ser 2013-A, Cl A2 | ||||||||
0.430%, 05/16/2016 | 930 | 930 | ||||||
World Omni Automobile Lease Securitization Trust, | ||||||||
1.780%, 09/15/2016 | 73 | 73 | ||||||
World Omni Automobile Lease Securitization Trust, | ||||||||
0.930%, 11/16/2015 | 20 | 20 | ||||||
World Omni Automobile Lease Securitization Trust, | ||||||||
0.488%, 05/16/2016 (A) | 185 | 185 | ||||||
World Omni Master Owner Trust, | ||||||||
0.518%, 02/15/2018 (A) (B) | 105 | 105 | ||||||
|
| |||||||
120,433 | ||||||||
|
| |||||||
Credit Cards — 3.5% | ||||||||
American Express Credit Account Master Trust, Ser 2007-2, Cl B | ||||||||
0.348%, 09/15/2016 (A) | 245 | 245 | ||||||
American Express Credit Account Master Trust, Ser 2009-2, Cl A | ||||||||
1.418%, 03/15/2017 (A) | 3,635 | 3,666 | ||||||
American Express Credit Account Master Trust, Ser 2011-1, Cl A | ||||||||
0.338%, 04/17/2017 (A) | 4,250 | 4,253 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 45 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Opportunistic Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
American Express Credit Account Master Trust, Ser 2012-2, Cl B | ||||||||
0.990%, 03/15/2018 | $ | 100 | $ | 101 | ||||
American Express Credit Account Master Trust, Ser 2013-1, Cl A | ||||||||
0.588%, 02/16/2021 (A) | 310 | 310 | ||||||
American Express Credit Account Master Trust, Ser 2013-3, Cl A | ||||||||
0.980%, 05/15/2019 | 305 | 306 | ||||||
Cabela’s Master Credit Card Trust, | ||||||||
0.724%, 10/15/2019 | 710 | 713 | ||||||
Cabela’s Master Credit Card Trust, | ||||||||
0.648%, 06/15/2020 (A) (B) | 3,500 | 3,503 | ||||||
Cabela’s Master Credit Card Trust, | ||||||||
0.824%, 08/16/2021 | 210 | 210 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2007-A5, Cl A5 | ||||||||
0.208%, 07/15/2020 (A) | 6,000 | 5,922 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2013-A2, Cl A2 | ||||||||
0.348%, 02/15/2019 (A) | 325 | 324 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2013-A3, Cl A3 | ||||||||
0.960%, 09/16/2019 | 615 | 610 | ||||||
Chase Issuance Trust, | ||||||||
0.218%, 04/15/2019 (A) | 6,000 | 5,948 | ||||||
Chase Issuance Trust, | ||||||||
0.790%, 06/15/2017 | 750 | 753 | ||||||
Chase Issuance Trust, | ||||||||
0.590%, 08/15/2017 | 725 | 726 | ||||||
Chase Issuance Trust, | ||||||||
0.318%, 10/16/2017 (A) | 5,000 | 4,996 | ||||||
Chase Issuance Trust, | ||||||||
0.588%, 07/15/2020 (A) | 500 | 500 | ||||||
Citibank Credit Card Issuance Trust, Ser 2008-A6, Cl A6 | ||||||||
1.368%, 05/22/2017 (A) | 6,965 | 7,074 | ||||||
Citibank Credit Card Issuance Trust, Ser 2013-A3, Cl A3 | ||||||||
0.910%, 07/23/2018 | 500 | 504 | ||||||
Citibank Credit Card Issuance Trust, Ser 2013-A5, Cl A5 | ||||||||
0.320%, 11/25/2016 | 550 | 550 | ||||||
Citibank Omni Master Trust, | ||||||||
5.350%, 08/15/2018 (B) | 550 | 569 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Citibank Omni Master Trust, | ||||||||
2.918%, 08/15/2018 (A) (B) | $ | 725 | $ | 737 | ||||
Discover Card Execution Note Trust, Ser 2010-A2, Cl A2 | ||||||||
0.748%, 03/15/2018 (A) | 2,000 | 2,014 | ||||||
Discover Card Execution Note Trust, Ser 2013-A3, Cl A3 | ||||||||
0.348%, 10/15/2018 (A) | 325 | 324 | ||||||
Discover Card Master Trust, | ||||||||
0.538%, 11/15/2019 (A) | 4,000 | 3,993 | ||||||
Dryrock Issuance Trust, | ||||||||
0.640%, 08/15/2018 | 350 | 350 | ||||||
Dryrock Issuance Trust, | ||||||||
0.514%, 07/16/2018 (A) | 475 | 476 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2011-1, Cl A | ||||||||
0.718%, 01/15/2017 (A) | 4,000 | 4,002 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2012-1, Cl A | ||||||||
1.030%, 01/15/2018 | 3,000 | 3,010 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2012-5, Cl A | ||||||||
0.950%, 06/15/2018 | 260 | 261 | ||||||
Golden Credit Card Trust, | ||||||||
0.790%, 09/15/2017 (B) | 125 | 125 | ||||||
Golden Credit Card Trust, | ||||||||
0.598%, 09/15/2018 (A) (B) | 490 | 490 | ||||||
Gracechurch Card Funding, | ||||||||
0.868%, 02/15/2017 (A) (B) | 950 | 954 | ||||||
Gracechurch Card Funding, | ||||||||
0.868%, 06/15/2017 (A) (B) | 250 | 251 | ||||||
Master Credit Card Trust II, | ||||||||
0.597%, 01/22/2018 (A) (B) | 450 | 450 | ||||||
Penarth Master Issuer, | ||||||||
0.549%, 11/18/2017 (A) (B) | 535 | 535 | ||||||
|
| |||||||
59,755 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 10.9% |
| |||||||
1776 CLO, Ser 2006-1A, Cl B | ||||||||
0.689%, 05/08/2020 (A) (B) | 5,000 | 4,853 | ||||||
Aames Mortgage Investment Trust, | ||||||||
1.745%, 01/25/2035 (A) | 600 | 599 |
46 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Aames Mortgage Investment Trust, | ||||||||
0.875%, 10/25/2035 (A) | $ | 1,831 | $ | 1,826 | ||||
Accredited Mortgage Loan Trust, | ||||||||
0.506%, 01/25/2035 (A) | 144 | 140 | ||||||
ACE Securities Home Equity Loan Trust, Ser 2005-SD3, Cl A | ||||||||
0.566%, 08/25/2045 (A) | 118 | 117 | ||||||
Aegis Asset-Backed Securities Trust Mortgage Pass-Through Certificates, Ser 2004-3, Cl A2B | ||||||||
1.266%, 09/25/2034 (A) | 661 | 654 | ||||||
Airlie CLO, Ser 2006-1A, Cl A2 | ||||||||
0.643%, 05/20/2020 (A) (B) | 3,750 | 3,647 | ||||||
Ally Master Owner Trust, | ||||||||
0.798%, 05/15/2016 (A) | 340 | 340 | ||||||
Ally Master Owner Trust, | ||||||||
0.868%, 06/15/2017 (A) | 289 | 290 | ||||||
Ally Master Owner Trust, | ||||||||
1.210%, 06/15/2017 | 110 | 111 | ||||||
Ally Master Owner Trust, | ||||||||
0.618%, 02/15/2018 (A) | 225 | 225 | ||||||
Ally Master Owner Trust, | ||||||||
0.618%, 04/15/2018 (A) | 400 | 399 | ||||||
Ameriquest Mortgage Securities, | ||||||||
0.390%, 01/25/2036 (A) | 2,042 | 2,029 | ||||||
Ameriquest Mortgage Securities, | ||||||||
4.672%, 11/25/2035 | 923 | 926 | ||||||
Apidos CLO XII, Ser 2013-12A, Cl A | ||||||||
1.344%, 04/15/2025 (A) (B) | 500 | 492 | ||||||
Argent Securities, | ||||||||
0.470%, 02/25/2036 (A) | 72 | 72 | ||||||
Argent Securities, | ||||||||
0.360%, 03/25/2036 (A) | 1,504 | 634 | ||||||
ARL First LLC, Ser 2012-1A, Cl A1 | ||||||||
1.918%, 12/15/2022 (A) (B) | 2,707 | 2,733 | ||||||
Asset-Backed Funding Certificates, | ||||||||
1.295%, 03/25/2034 (A) | 326 | 270 | ||||||
Asset-Backed Securities Home Equity, Ser 2006-HE3, Cl A4 | ||||||||
0.340%, 03/25/2036 (A) | 2,235 | 2,073 | ||||||
Avenue CLO III, Ser 2006-3A, Cl A3L | ||||||||
0.992%, 07/20/2018 (A) (B) | 2,000 | 1,937 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Babson CLO, Ser 2007-1A, Cl A2A | ||||||||
0.461%, 01/18/2021 (A) (B) | $ | 3,033 | $ | 2,975 | ||||
Babson CLO, Ser 2013-IA, Cl A | ||||||||
1.342%, 04/20/2025 (A) (B) | 350 | 344 | ||||||
Bayview Financial Acquisition Trust, | ||||||||
0.515%, 06/28/2044 (A) | 656 | 648 | ||||||
Bear Stearns Asset-Backed Securities I Trust, | ||||||||
0.576%, 12/25/2035 (A) | 4,895 | 4,771 | ||||||
Carrington Mortgage Loan Trust, | ||||||||
0.486%, 10/25/2035 (A) | 835 | 830 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | ||||||||
4.707%, 06/25/2032 | 102 | 102 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | ||||||||
5.323%, 02/25/2035 | 897 | 909 | ||||||
Chatham Light CLO, | ||||||||
0.492%, 08/03/2019 (A) (B) | 189 | 187 | ||||||
CIFC Funding, Ser 2013-1A, Cl A1 | ||||||||
1.396%, 04/16/2025 (A) (B) | 265 | 261 | ||||||
CNH Equipment Trust, | ||||||||
0.910%, 08/15/2016 | 2,217 | 2,221 | ||||||
CNH Equipment Trust, | ||||||||
1.190%, 12/15/2016 | 142 | 143 | ||||||
CNH Equipment Trust, | ||||||||
0.940%, 05/15/2017 | 436 | 438 | ||||||
CNH Equipment Trust, | ||||||||
0.860%, 09/15/2017 | 55 | 55 | ||||||
CNH Equipment Trust, | ||||||||
0.570%, 12/15/2017 | 70 | 70 | ||||||
CNH Equipment Trust, | ||||||||
0.440%, 07/15/2016 | 195 | 195 | ||||||
CNH Equipment Trust, | ||||||||
0.630%, 01/17/2017 | 305 | 305 | ||||||
CNH Equipment Trust, | ||||||||
0.490%, 03/15/2017 | 530 | 530 | ||||||
CNH Wholesale Master Note Trust, | ||||||||
0.774%, 08/15/2019 | 425 | 427 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 47 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Opportunistic Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Conseco Finance Securitization, | ||||||||
6.681%, 12/01/2033 (A) | $ | 1,971 | $ | 2,001 | ||||
Conseco Financial, | ||||||||
7.850%, 05/15/2027 (A) | 806 | 813 | ||||||
Conseco Financial, | ||||||||
7.240%, 06/15/2028 (A) | 2,278 | 2,398 | ||||||
Conseco Financial, | ||||||||
7.140%, 03/15/2028 | 366 | 393 | ||||||
Conseco Financial, | ||||||||
7.320%, 03/15/2028 | 121 | 130 | ||||||
Conseco Financial, | ||||||||
7.070%, 01/15/2029 | 72 | 75 | ||||||
Conseco Financial, | ||||||||
6.960%, 07/15/2028 (A) | 455 | 480 | ||||||
Countrywide Asset-Backed Certificates, Ser 2004-5, Cl 3A | ||||||||
0.630%, 09/25/2034 (A) | 17 | 17 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-FIX1, Cl A2 | ||||||||
4.310%, 05/25/2035 | 40 | 40 | ||||||
Fieldstone Mortgage Investment Trust, Ser 2004-3, Cl M4 | ||||||||
2.015%, 08/25/2034 (A) | 1,273 | 1,274 | ||||||
First Frankin Mortgage Loan Trust, | ||||||||
0.656%, 09/25/2035 (A) | 5,500 | 4,909 | ||||||
First Franklin Mortgage Loan Asset-Backed Certificates, | ||||||||
0.420%, 06/25/2036 (A) | 17,495 | 70 | ||||||
First Franklin Mortgage Loan Asset-Backed Certificates, | ||||||||
0.410%, 09/25/2026 (A) | 347 | 87 | ||||||
First Franklin Mortgage Loan Asset-Backed Certificates, | ||||||||
0.296%, 12/25/2026 (A) | 122 | 29 | ||||||
Fremont Home Loan Trust, | ||||||||
0.886%, 06/25/2035 (A) | 47 | 47 | ||||||
Gale Force CLO, Ser 2007-3A, Cl A1 | ||||||||
0.482%, 04/19/2021 (A) (B) | 2,530 | 2,478 | ||||||
GE Equipment Midticket LLC, | ||||||||
1.000%, 08/24/2015 | 173 | 173 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GE Equipment Midticket LLC, | ||||||||
0.600%, 05/23/2016 | $ | 70 | $ | 70 | ||||
GE Equipment Midticket LLC, | ||||||||
0.640%, 03/22/2016 | 205 | 205 | ||||||
GE Equipment Small Ticket LLC, | ||||||||
0.850%, 11/21/2014 (B) | 50 | 50 | ||||||
GE Equipment Small Ticket LLC, | ||||||||
1.040%, 09/21/2015 (B) | 800 | 803 | ||||||
GE Equipment Small Ticket LLC, | ||||||||
0.730%, 01/25/2016 (B) | 140 | 140 | ||||||
GE Equipment Transportation LLC, | ||||||||
0.990%, 11/23/2015 | 258 | 258 | ||||||
GE Equipment Transportation LLC, | ||||||||
0.470%, 04/24/2015 | 127 | 127 | ||||||
GE Equipment Transportation LLC, | ||||||||
0.620%, 07/25/2016 | 951 | 951 | ||||||
GE Equipment Transportation LLC, | ||||||||
0.610%, 06/24/2016 | 3,925 | 3,926 | ||||||
Green Tree Home Improvement Loan Trust, Ser 1997-E, Cl HEB1 | ||||||||
7.530%, 01/15/2029 | 78 | 78 | ||||||
GSAMP Trust, | ||||||||
0.516%, 11/25/2035 (A) | 1,846 | 1,707 | ||||||
GSAMP Trust, Ser 2006-HE2, Cl A2 | ||||||||
0.346%, 03/25/2046 (A) | 1,553 | 1,485 | ||||||
GSAMP Trust, | ||||||||
0.336%, 01/25/2037 (A) | 4,409 | 2,832 | ||||||
GSAMP Trust, Ser 2006-NC1, Cl A2 | ||||||||
0.346%, 02/25/2036 (A) | 2,780 | 2,603 | ||||||
GSAMP Trust, Ser 2007-NC1, Cl A2B | ||||||||
0.266%, 12/25/2046 (A) | 201 | 107 | ||||||
GSAMP Trust, Ser 2007-NC1, Cl A2C | ||||||||
0.316%, 12/25/2046 (A) | 920 | 491 | ||||||
HLSS Servicer Advance Receivables Backed Notes, Ser 2012-T2, Cl A2 | ||||||||
1.990%, 10/15/2045 (B) | 185 | 186 | ||||||
HLSS Servicer Advance Receivables Backed Notes, Ser 2012-T2, Cl C2 | ||||||||
3.960%, 10/15/2045 (B) | 1,200 | 1,230 | ||||||
HLSS Servicer Advance Receivables Backed Notes, Ser 2012-T2, Cl D2 | ||||||||
4.940%, 10/15/2045 (B) | 1,450 | 1,488 |
48 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
HLSS Servicer Advance Receivables Backed Notes, Ser 2013-T1, Cl A1 | ||||||||
0.898%, 01/15/2044 (B) | $ | 495 | $ | 495 | ||||
HLSS Servicer Advance Receivables Backed Notes, Ser 2013-T1, Cl A2 | ||||||||
1.495%, 01/16/2046 (B) | 101 | 101 | ||||||
HLSS Servicer Advance Receivables Backed Notes, Ser 2013-T1, Cl C2 | ||||||||
2.487%, 01/16/2046 (B) | 1,000 | 1,002 | ||||||
HLSS Servicer Advance Receivables Backed Notes, Ser 2013-T1, Cl D2 | ||||||||
3.228%, 01/16/2046 (B) | 1,500 | 1,494 | ||||||
HLSS Servicer Advance Receivables Backed Notes, Ser 2013-T2, Cl A2 | ||||||||
1.147%, 05/16/2044 (B) | 600 | 598 | ||||||
HLSS Servicer Advance Receivables Backed Notes, Ser 2013-T2, Cl B2 | ||||||||
4.495%, 05/16/2044 (B) | 1,021 | 1,014 | ||||||
HLSS Servicer Advance Receivables Backed Notes, Ser 2013-T2, Cl D2 | ||||||||
2.388%, 05/15/2015 (B) | 950 | 941 | ||||||
HLSS Servicer Advance Receivables Backed Notes, Ser 2013-T3, Cl C3 | ||||||||
2.388%, 05/15/2017 (B) | 1,000 | 968 | ||||||
HLSS Servicer Advance Receivables Backed Notes, Ser 2013-T3, Cl D3 | ||||||||
3.130%, 05/15/2046 (B) | 3,000 | 2,907 | ||||||
HLSS Servicer Advance Receivables Backed Notes, | ||||||||
1.779%, 08/15/2044 | 2,000 | 2,000 | ||||||
HLSS Servicer Advance Receivables Backed Notes, Ser 2013-T7, Cl A7 | ||||||||
1.981%, 11/15/2046 (B) | 825 | 825 | ||||||
Home Equity Mortgage Trust, | ||||||||
6.000%, 01/25/2037 | 10,961 | 2,108 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.358%, 07/20/2036 (A) | 6,410 | 6,171 | ||||||
HSI Asset Securitization Trust, | ||||||||
0.456%, 11/25/2035 (A) (D) | 2,098 | 1,714 | ||||||
Indymac Residential Asset-Backed Trust, Ser 2005-C, Cl AII3 | ||||||||
0.536%, 10/25/2035 (A) | 2,900 | 2,722 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
John Deere Owner Trust, | ||||||||
0.530%, 07/15/2016 | $ | 160 | $ | 160 | ||||
John Deere Owner Trust, | ||||||||
0.600%, 03/15/2017 | 450 | 450 | ||||||
John Deere Owner Trust, | ||||||||
0.550%, 01/15/2016 | 235 | 235 | ||||||
Lehman ABS Manufactured Housing Contract Trust, Ser 2001-B, Cl A3 | ||||||||
4.350%, 04/15/2040 | 1,965 | 2,021 | ||||||
Lehman ABS Manufactured Housing Contract Trust, Ser 2001-B, Cl A4 | ||||||||
5.270%, 04/15/2040 | 329 | 344 | ||||||
Lehman ABS Manufactured Housing Contract Trust, Ser 2001-B, Cl A6 | ||||||||
6.467%, 04/15/2040 (A) | 548 | 589 | ||||||
Lehman XS Trust, | ||||||||
0.436%, 02/25/2036 (A) | 304 | 263 | ||||||
Master Asset-Backed Securities Trust, Ser 2003-WMC2, Cl M1 | ||||||||
1.216%, 08/25/2033 (A) | 116 | 116 | ||||||
Master Asset-Backed Securities Trust, Ser 2005-AB1, Cl A3B | ||||||||
5.233%, 11/25/2035 | 5,121 | 5,162 | ||||||
Master Asset-Backed Securities Trust, Ser 2006-HE5, Cl A3 | ||||||||
0.326%, 11/25/2036 (A) | 942 | 533 | ||||||
Master Asset-Backed Securities Trust, Ser 2006-HE5, Cl A4 | ||||||||
0.386%, 11/25/2036 (A) | 76 | 43 | ||||||
Master Asset-Backed Securities Trust, Ser 2006-NC3, Cl A5 | ||||||||
0.376%, 10/25/2036 (A) | 2,316 | 1,204 | ||||||
Mid-State Trust, Ser 2004-1, Cl M1 | ||||||||
6.497%, 08/15/2037 | 1,481 | 1,593 | ||||||
MMAF Equipment Finance LLC, | ||||||||
0.840%, 01/12/2015 (B) | 50 | 51 | ||||||
MMAF Equipment Finance LLC, | ||||||||
0.690%, 05/09/2016 | 540 | 540 | ||||||
Morgan Stanley ABS Capital I, | ||||||||
0.486%, 11/25/2035 (A) | 5,675 | 5,511 | ||||||
Morgan Stanley ABS Capital I, | ||||||||
0.796%, 03/25/2035 (A) | 4,964 | 4,903 | ||||||
Morgan Stanley ABS Capital I, | ||||||||
0.901%, 06/25/2035 (A) | 240 | 237 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 49 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Opportunistic Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Morgan Stanley ABS Capital I, | ||||||||
0.266%, 10/25/2036 (A) | $ | 3,317 | $ | 1,832 | ||||
Morgan Stanley Dean Witter Capital I, Ser AM3, Cl M1 | ||||||||
1.591%, 02/25/2033 (A) | 70 | 66 | ||||||
Morgan Stanley Dean Witter Capital I, | ||||||||
3.166%, 04/25/2033 (A) | 66 | 51 | ||||||
Nationstar Home Equity Loan Trust, Ser 2006-B, Cl AV4 | ||||||||
0.446%, 09/25/2036 (A) | 2,225 | 1,915 | ||||||
New Century Home Equity Loan Trust, Ser 2005-C, Cl A2C | ||||||||
0.416%, 12/25/2035 (A) | 3,969 | 3,682 | ||||||
New York City Tax Lien, | ||||||||
1.190%, 11/10/2026 (B) | 145 | 145 | ||||||
Newcastle Investment Trust, | ||||||||
4.500%, 07/10/2035 (B) | 1,846 | 1,862 | ||||||
Newcastle Investment Trust, | ||||||||
2.450%, 12/10/2033 (B) | 4,173 | 4,216 | ||||||
Newcastle Mortgage Securities Trust, Ser 2007-9A, Cl A1 | ||||||||
1.460%, 04/25/2037 (A) | 982 | 947 | ||||||
Octagon Investment Partners XVI, | ||||||||
1.392%, 07/17/2025 (A) (B) | 300 | 295 | ||||||
OHA Credit Partners VIII, | ||||||||
1.362%, 04/20/2025 (A) (B) | 200 | 197 | ||||||
OHA Intrepid Leveraged Loan Fund, Ser 2013-1AR, Cl AR | ||||||||
1.162%, 04/20/2021 (A) (B) | 289 | 288 | ||||||
Option One Mortgage Loan Trust, | ||||||||
0.376%, 12/25/2035 (A) | 1,526 | 1,501 | ||||||
Option One Mortgage Loan Trust, | ||||||||
0.266%, 02/25/2037 (A) | 641 | 347 | ||||||
Origen Manufactured Housing Contract Trust, | ||||||||
5.910%, 01/15/2037 | 708 | 740 | ||||||
Origen Manufactured Housing Contract Trust, | ||||||||
5.990%, 01/15/2037 | 125 | 131 | ||||||
Popular ABS Mortgage Pass-Through Trust, | ||||||||
4.655%, 12/25/2034 (A) | 3,200 | 3,245 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Popular ABS Mortgage Pass-Through Trust, | ||||||||
4.776%, 07/25/2035 (A) | $ | 947 | $ | 967 | ||||
Popular ABS Mortgage Pass-Through Trust, | ||||||||
0.646%, 08/25/2035 (A) | 1,682 | 1,666 | ||||||
Residential Asset Securities, | ||||||||
0.486%, 01/25/2036 (A) | 2,800 | 2,634 | ||||||
SACO I, Ser 9, Cl A1 | ||||||||
0.666%, 12/25/2035 (A) | 1,774 | 1,607 | ||||||
SACO I, Ser WM3, Cl A1 | ||||||||
0.686%, 09/25/2035 (A) | 972 | 678 | ||||||
Saxon Asset Securities Trust, | ||||||||
5.022%, 12/25/2033 | 551 | 559 | ||||||
Saxon Asset Securities Trust, | ||||||||
0.316%, 09/25/2036 (A) | 1,915 | 1,680 | ||||||
Securitized Asset-Backed Receivables LLC, | ||||||||
0.320%, 09/25/2036 | 4,799 | 2,274 | ||||||
Securitized Asset-Backed Receivables LLC, | ||||||||
0.296%, 05/25/2037 (A) | 1,264 | 694 | ||||||
Securitized Asset-Backed Receivables LLC, | ||||||||
0.316%, 12/25/2036 (A) | 2,877 | 1,480 | ||||||
Sierra Timeshare Receivables Funding LLC, Ser 2013-3A, Cl A | ||||||||
2.200%, 05/20/2021 (B) | 3,500 | 3,505 | ||||||
SLM Student Loan Trust, | ||||||||
1.018%, 12/16/2024 (A) (B) | 69 | 69 | ||||||
SLM Student Loan Trust, | ||||||||
0.466%, 05/26/2020 (A) | 5,000 | 4,972 | ||||||
SLM Student Loan Trust, | ||||||||
0.650%, 02/25/2021 (A) | 4,000 | 4,000 | ||||||
Soundview Home Equity Loan Trust, Ser 2005-OPT3, Cl A4 | ||||||||
0.466%, 11/25/2035 (A) | 551 | 544 | ||||||
Specialty Underwriting & Residential Finance Trust, | ||||||||
0.596%, 03/25/2036 (A) | 3,529 | 3,341 | ||||||
Structured Asset Investment Loan Trust, Ser 2006-2, Cl A3 | ||||||||
0.346%, 04/25/2036 (A) | 1,183 | 970 |
50 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Structured Asset Securities, | ||||||||
0.476%, 09/25/2036 (A) | $ | 1,820 | $ | 1,569 | ||||
Structured Asset Securities, | ||||||||
0.296%, 02/25/2037 (A) | 3,004 | 2,424 | ||||||
Symphony CLO V, | ||||||||
0.994%, 01/15/2024 (A) (B) | 1,750 | 1,720 | ||||||
Symphony CLO, | ||||||||
0.481%, 05/15/2019 (A) (B) | 2,928 | 2,907 | ||||||
Trinity Rail Leasing, | ||||||||
5.900%, 05/14/2036 (B) | 830 | 925 | ||||||
Volvo Financial Equipment LLC, | ||||||||
0.530%, 10/15/2014 (B) | 525 | 525 | ||||||
Volvo Financial Equipment LLC, | ||||||||
0.740%, 03/15/2017 (B) | 290 | 290 | ||||||
|
| |||||||
186,404 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 366,592 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 8.1% |
| |||||||
Consumer Discretionary — 1.0% |
| |||||||
Amazon.com | ||||||||
0.650%, 11/27/2015 | 150 | 150 | ||||||
Cedar Fair | ||||||||
5.250%, 03/15/2021 (B) | 1,000 | 980 | ||||||
Comcast | ||||||||
5.850%, 11/15/2015 | 325 | 358 | ||||||
DIRECTV Holdings LLC | ||||||||
3.550%, 03/15/2015 | 600 | 621 | ||||||
Harley-Davidson Financial Services MTN | ||||||||
3.875%, 03/15/2016 (B) | 500 | 530 | ||||||
Harvard President and Fellows | ||||||||
6.300%, 10/01/2037 | 375 | 421 | ||||||
Maytag MTN | ||||||||
6.450%, 08/15/2014 | 350 | 364 | ||||||
NBCUniversal Enterprise | ||||||||
0.929%, 04/15/2018 (A) (B) | 400 | 402 | ||||||
Newell Rubbermaid | ||||||||
2.000%, 06/15/2015 | 125 | 127 | ||||||
Nissan Motor Acceptance | ||||||||
0.950%, 09/26/2016 (A) (B) | 700 | 701 | ||||||
Sirius XM Radio (B) | ||||||||
5.875%, 10/01/2020 | 4,000 | 4,125 | ||||||
4.250%, 05/15/2020 | 400 | 382 | ||||||
Six Flags Entertainment | ||||||||
5.250%, 01/15/2021 (B) | 2,000 | 1,960 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Target | ||||||||
0.416%, 07/18/2014 (A) | $ | 200 | $ | 200 | ||||
Thomson Reuters | ||||||||
0.875%, 05/23/2016 | 400 | 401 | ||||||
Time Warner Cable | ||||||||
7.500%, 04/01/2014 | 650 | 664 | ||||||
5.850%, 05/01/2017 | 350 | 386 | ||||||
Toyota Motor Credit MTN | ||||||||
0.403%, 09/18/2015 (A) | 800 | 800 | ||||||
Viacom | ||||||||
1.250%, 02/27/2015 | 95 | 95 | ||||||
Volkswagen International Finance (A) (B) |
| |||||||
0.837%, 11/20/2014 | 300 | 301 | ||||||
0.676%, 11/18/2016 | 1,000 | 1,000 | ||||||
Walt Disney MTN | ||||||||
0.450%, 12/01/2015 | 200 | 200 | ||||||
William Carter | ||||||||
5.250%, 08/15/2021 (B) | 2,615 | 2,661 | ||||||
|
| |||||||
17,829 | ||||||||
|
| |||||||
Consumer Staples — 0.7% | ||||||||
Anheuser-Busch InBev Worldwide | ||||||||
0.800%, 07/15/2015 | 600 | 603 | ||||||
0.603%, 07/14/2014 (A) | 100 | 100 | ||||||
BAT International Finance | ||||||||
1.400%, 06/05/2015 (B) | 460 | 465 | ||||||
Biomet | ||||||||
6.500%, 08/01/2020 | 375 | 398 | ||||||
Bottling Group LLC | ||||||||
6.950%, 03/15/2014 | 250 | 255 | ||||||
Ceridian | ||||||||
8.875%, 07/15/2019 (B) | 475 | 549 | ||||||
Coca-Cola Enterprises | ||||||||
2.125%, 09/15/2015 | 325 | 332 | ||||||
0.539%, 02/18/2014 (A) | 675 | 675 | ||||||
ConAgra Foods | ||||||||
1.300%, 01/25/2016 | 175 | 176 | ||||||
Costco Wholesale | ||||||||
0.650%, 12/07/2015 | 225 | 226 | ||||||
Elizabeth Arden | ||||||||
7.375%, 03/15/2021 | 100 | 109 | ||||||
ERAC USA Finance LLC | ||||||||
1.400%, 04/15/2016 (B) | 300 | 301 | ||||||
General Mills | ||||||||
0.537%, 01/29/2016 (A) | 300 | 300 | ||||||
Heineken | ||||||||
0.800%, 10/01/2015 (B) | 75 | 75 | ||||||
Kellogg | ||||||||
0.469%, 02/13/2015 (A) | 300 | 301 | ||||||
Kraft Foods Group | ||||||||
1.625%, 06/04/2015 | 425 | 431 | ||||||
Michael Foods Holding PIK | ||||||||
8.500%, 07/15/2018 (B) | 220 | 232 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 51 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Opportunistic Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
PepsiCo | ||||||||
0.800%, 08/25/2014 | $ | 120 | $ | 121 | ||||
0.447%, 02/26/2016 (A) | 300 | 300 | ||||||
0.436%, 07/30/2015 (A) | 250 | 250 | ||||||
Philip Morris International | ||||||||
2.500%, 05/16/2016 | 700 | 729 | ||||||
Providence Health & Services Obligated Group | ||||||||
1.048%, 10/01/2016 (A) | 650 | 646 | ||||||
Reynolds American | ||||||||
1.050%, 10/30/2015 | 50 | 50 | ||||||
Reynolds Group Issuer | ||||||||
6.875%, 02/15/2021 | 185 | 200 | ||||||
5.750%, 10/15/2020 | 415 | 425 | ||||||
SABMiller Holdings | ||||||||
0.932%, 08/01/2018 (A) (B) | 600 | 603 | ||||||
Sutter Health | ||||||||
1.090%, 08/15/2053 | 150 | 150 | ||||||
Valeant Pharmaceuticals International | ||||||||
5.625%, 12/01/2021 (B) | 2,941 | 2,960 | ||||||
|
| |||||||
11,962 | ||||||||
|
| |||||||
Energy — 0.9% | ||||||||
Atlas Pipeline Partners | ||||||||
4.750%, 11/15/2021 (B) | 1,400 | 1,295 | ||||||
BP Capital Markets (A) | ||||||||
0.880%, 09/26/2018 | 850 | 851 | ||||||
0.749%, 05/10/2018 | 400 | 399 | ||||||
Canadian Natural Resources | ||||||||
5.700%, 05/15/2017 | 150 | 170 | ||||||
Enbridge | ||||||||
0.898%, 10/01/2016 (A) | 750 | 753 | ||||||
Energy Transfer Equity | ||||||||
7.500%, 10/15/2020 | 500 | 570 | ||||||
Enterprise Products Operating LLC | ||||||||
1.250%, 08/13/2015 | 600 | 605 | ||||||
Gibson Energy | ||||||||
6.750%, 07/15/2021 (B) | 948 | 1,005 | ||||||
Kinder Morgan Energy Partners | ||||||||
5.000%, 12/15/2013 | 186 | 186 | ||||||
MEG Energy | ||||||||
6.375%, 01/30/2023 (B) | 1,000 | 1,010 | ||||||
Penn Virginia Resource Partners | ||||||||
6.500%, 05/15/2021 (B) | 1,000 | 1,035 | ||||||
Petrobras Global Finance | ||||||||
1.857%, 05/20/2016 (A) | 500 | 496 | ||||||
Sabine Pass Liquefaction LLC (B) | ||||||||
6.250%, 03/15/2022 | 4,001 | 3,991 | ||||||
5.625%, 02/01/2021 | 1,400 | 1,383 | ||||||
Statoil | ||||||||
0.699%, 11/08/2018 (A) | 800 | 805 | ||||||
Total Capital Canada | ||||||||
0.624%, 01/15/2016 (A) | 130 | 131 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Total Capital International | ||||||||
0.809%, 08/10/2018 (A) | $ | 400 | $ | 402 | ||||
TransCanada PipeLines | ||||||||
0.750%, 01/15/2016 | 250 | 250 | ||||||
Western Refining | ||||||||
6.250%, 04/01/2021 | 185 | 185 | ||||||
|
| |||||||
15,522 | ||||||||
|
| |||||||
Financials — 2.7% | ||||||||
ABN AMRO Bank | ||||||||
1.036%, 10/28/2016 (A) (B) | 550 | 551 | ||||||
American Express | ||||||||
0.828%, 05/22/2018 (A) | 300 | 300 | ||||||
American Express Credit | ||||||||
0.747%, 07/29/2016 (A) | 350 | 352 | ||||||
American Honda Finance (A) | ||||||||
0.744%, 10/07/2016 | 170 | 171 | ||||||
0.612%, 05/26/2016 (B) | 300 | 300 | ||||||
0.462%, 11/03/2014 (B) | 600 | 601 | ||||||
American International Group | ||||||||
4.250%, 09/15/2014 | 150 | 154 | ||||||
Australia & New Zealand Banking Group (A) | ||||||||
0.801%, 05/15/2018 | 250 | 250 | ||||||
0.438%, 05/07/2015 (B) | 500 | 500 | ||||||
Bank of America | ||||||||
1.350%, 11/21/2016 | 800 | 801 | ||||||
1.281%, 01/15/2019 (A) | 700 | 702 | ||||||
Bank of Montreal MTN (A) | ||||||||
0.843%, 04/09/2018 | 350 | 350 | ||||||
0.764%, 07/15/2016 | 175 | 176 | ||||||
Bank of New York Mellon MTN | ||||||||
3.100%, 01/15/2015 (A) | 140 | 144 | ||||||
0.699%, 03/06/2018 | 325 | 325 | ||||||
0.469%, 03/04/2016 | 450 | 449 | ||||||
Bank of Nova Scotia | ||||||||
0.950%, 03/15/2016 | 400 | 401 | ||||||
0.764%, 07/15/2016 (A) | 550 | 553 | ||||||
Bank of Tokyo-Mitsubishi UFJ | ||||||||
0.868%, 09/09/2016 (A) (B) | 500 | 502 | ||||||
BB&T MTN | ||||||||
1.114%, 06/15/2018 (A) | 265 | 267 | ||||||
Berkshire Hathaway Finance | ||||||||
0.574%, 01/10/2014 (A) | 300 | 300 | ||||||
Boart Longyear Management PTY | ||||||||
10.000%, 10/01/2018 (B) | 2,278 | 2,346 | ||||||
BPCE MTN | ||||||||
1.488%, 04/25/2016 (A) | 675 | 684 | ||||||
Branch Banking & Trust (A) | ||||||||
0.674%, 12/02/2016 | 450 | 449 | ||||||
0.568%, 10/28/2015 | 500 | 500 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
0.900%, 10/01/2015 | 125 | 126 | ||||||
0.766%, 07/18/2016 (A) | 700 | 703 |
52 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Capital One | ||||||||
0.700%, 03/22/2016 (A) | $ | 350 | $ | 349 | ||||
Capital One Bank USA | ||||||||
1.150%, 11/21/2016 | 1,000 | 1,000 | ||||||
Citigroup (A) | ||||||||
0.921%, 11/15/2016 | 1,000 | 1,001 | ||||||
0.528%, 06/09/2016 | 150 | 147 | ||||||
0.518%, 11/05/2014 | 500 | 500 | ||||||
Commonwealth Bank of Australia | ||||||||
0.753%, 09/20/2016 (A) (B) | 600 | 602 | ||||||
Cooperatieve Centrale | ||||||||
0.732%, 03/18/2016 (A) | 400 | 401 | ||||||
Credit Agricole | ||||||||
1.096%, 10/03/2016 (A) (B) | 700 | 703 | ||||||
Credit Suisse NY | ||||||||
2.200%, 01/14/2014 | 300 | 301 | ||||||
Daimler Finance North America LLC (B) |
| |||||||
1.250%, 01/11/2016 | 200 | 201 | ||||||
1.102%, 08/01/2018 (A) | 300 | 302 | ||||||
Fifth Third Bank | ||||||||
0.748%, 11/18/2016 (A) | 1,200 | 1,201 | ||||||
Ford Motor Credit LLC | ||||||||
1.489%, 05/09/2016 (A) | 750 | 761 | ||||||
General Electric Capital MTN | ||||||||
1.109%, 05/09/2016 (A) | 325 | 328 | ||||||
1.000%, 12/11/2015 | 125 | 126 | ||||||
1.000%, 01/08/2016 | 100 | 101 | ||||||
0.959%, 04/02/2018 (A) | 275 | 276 | ||||||
General Motors Financial | ||||||||
3.250%, 05/15/2018 (B) | 343 | 344 | ||||||
Goldman Sachs Group | ||||||||
1.600%, 11/23/2015 | 150 | 152 | ||||||
1.436%, 04/30/2018 (A) | 725 | 730 | ||||||
1.341%, 11/15/2018 (A) | 600 | 598 | ||||||
HSBC Bank | ||||||||
0.881%, 05/15/2018 (A) (B) | 200 | 200 | ||||||
HSBC USA | ||||||||
2.375%, 02/13/2015 | 150 | 153 | ||||||
1.130%, 09/24/2018 (A) | 300 | 300 | ||||||
Hyundai Capital America (B) | ||||||||
1.875%, 08/09/2016 | 200 | 202 | ||||||
1.625%, 10/02/2015 | 35 | 35 | ||||||
Icahn Enterprises | ||||||||
8.000%, 01/15/2018 | 500 | 522 | ||||||
ING Bank | ||||||||
1.658%, 06/09/2014 (A) (B) | 700 | 705 | ||||||
International Lease Finance (B) | ||||||||
6.750%, 09/01/2016 | 650 | 724 | ||||||
6.500%, 09/01/2014 | 200 | 208 | ||||||
Intesa Sanpaolo | ||||||||
3.125%, 01/15/2016 | 200 | 204 | ||||||
John Deere Capital | ||||||||
0.950%, 06/29/2015 | 150 | 151 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase MTN (A) | ||||||||
1.138%, 01/25/2018 | $ | 200 | $ | 201 | ||||
0.857%, 02/26/2016 | 500 | 501 | ||||||
JPMorgan Chase Capital XXI | ||||||||
1.192%, 02/02/2037 (A) | 250 | 186 | ||||||
Lloyds TSB Bank MTN | ||||||||
4.375%, 01/12/2015 (B) | 266 | 276 | ||||||
MassMutual Global Funding II | ||||||||
0.624%, 01/14/2014 (A) (B) | 528 | 528 | ||||||
Metropolitan Life Global Funding I (B) |
| |||||||
1.700%, 06/29/2015 | 175 | 178 | ||||||
1.500%, 01/10/2018 | 260 | 257 | ||||||
0.994%, 01/10/2014 (A) | 500 | 500 | ||||||
Monumental Global Funding | ||||||||
0.444%, 01/15/2014 (A) (B) | 730 | 730 | ||||||
Morgan Stanley | ||||||||
1.488%, 02/25/2016 (A) | 700 | 709 | ||||||
National Rural Utilities Cooperative Finance MTN (A) | ||||||||
0.537%, 11/23/2016 | 900 | 899 | ||||||
0.318%, 02/18/2014 | 525 | 525 | ||||||
Nationstar Mortgage LLC | ||||||||
6.500%, 07/01/2021 | 1,925 | 1,829 | ||||||
New York Life Global Funding (A) (B) |
| |||||||
0.589%, 05/23/2016 | 300 | 301 | ||||||
0.504%, 04/04/2014 | 300 | 300 | ||||||
Nordea Bank | ||||||||
0.699%, 05/13/2016 (A) (B) | 350 | 351 | ||||||
PACCAR Financial MTN | ||||||||
0.509%, 02/08/2016 (A) | 650 | 651 | ||||||
PNC Bank | ||||||||
1.150%, 11/01/2016 | 600 | 604 | ||||||
0.800%, 01/28/2016 | 250 | 250 | ||||||
Pricoa Global Funding I MTN (B) | ||||||||
1.150%, 11/25/2016 | 500 | 500 | ||||||
0.508%, 08/19/2015 (A) | 525 | 526 | ||||||
Principal Life Global Funding II (B) | ||||||||
1.000%, 12/11/2015 | 95 | 95 | ||||||
0.606%, 05/27/2016 (A) | 405 | 406 | ||||||
Prudential Financial MTN | ||||||||
1.021%, 08/15/2018 (A) | 600 | 601 | ||||||
Reinsurance Group of America | ||||||||
5.625%, 03/15/2017 | 200 | 223 | ||||||
RHP Hotel Properties | ||||||||
5.000%, 04/15/2021‡ | 435 | 426 | ||||||
Royal Bank of Canada MTN (A) | ||||||||
0.628%, 03/08/2016 | 450 | 451 | ||||||
0.473%, 01/06/2015 | 250 | 251 | ||||||
Royal Bank of Scotland Group | ||||||||
2.550%, 09/18/2015 | 55 | 56 | ||||||
Simon Property Group | ||||||||
6.750%, 05/15/2014‡ | 200 | 202 | ||||||
Societe Generale | ||||||||
1.328%, 10/01/2018 (A) | 500 | 501 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 53 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Opportunistic Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Standard Chartered | ||||||||
1.189%, 05/12/2014 (A) (B) | $ | 200 | $ | 201 | ||||
Svenska Handelsbanken | ||||||||
0.721%, 09/23/2016 (A) | 700 | 701 | ||||||
Toronto-Dominion Bank MTN (A) | ||||||||
0.716%, 09/09/2016 | 600 | 601 | ||||||
0.544%, 07/14/2014 | 105 | 105 | ||||||
0.418%, 05/01/2015 | 250 | 250 | ||||||
Toyota Motor Credit | ||||||||
0.529%, 05/17/2016 (A) | 100 | 100 | ||||||
UBS MTN | ||||||||
5.875%, 07/15/2016 | 250 | 278 | ||||||
Unitrin | ||||||||
6.000%, 05/15/2017 | 110 | 122 | ||||||
US Bancorp MTN | ||||||||
0.728%, 11/15/2018 (A) | 800 | 801 | ||||||
Ventas Realty‡ | ||||||||
1.550%, 09/26/2016 | 400 | 403 | ||||||
Wells Fargo MTN | ||||||||
1.500%, 07/01/2015 | 300 | 304 | ||||||
0.869%, 04/23/2018 (A) | 350 | 351 | ||||||
Western Union | ||||||||
1.239%, 08/21/2015 (A) | 375 | 377 | ||||||
Westpac Banking | ||||||||
0.487%, 01/29/2015 (A) (B) | 250 | 251 | ||||||
|
| |||||||
45,344 | ||||||||
|
| |||||||
Health Care — 0.4% | ||||||||
AbbVie | ||||||||
0.998%, 11/06/2015 (A) | 800 | 808 | ||||||
Alere | ||||||||
6.500%, 06/15/2020 | 1,200 | 1,230 | ||||||
Baxter International | ||||||||
0.426%, 12/11/2014 (A) | 530 | 531 | ||||||
Express Scripts Holding | ||||||||
2.750%, 11/21/2014 | 300 | 306 | ||||||
LifePoint Hospitals | ||||||||
5.500%, 12/01/2021 (B) | 1,225 | 1,231 | ||||||
McKesson | ||||||||
0.950%, 12/04/2015 | 580 | 580 | ||||||
Mylan | ||||||||
1.350%, 11/29/2016 | 650 | 651 | ||||||
Sanofi | ||||||||
0.558%, 03/28/2014 (A) | 75 | 75 | ||||||
UnitedHealth Group | ||||||||
0.362%, 08/28/2014 (A) | 800 | 800 | ||||||
WellPoint | ||||||||
1.250%, 09/10/2015 | 716 | 723 | ||||||
|
| |||||||
6,935 | ||||||||
|
| |||||||
Industrials — 0.7% | ||||||||
Ardagh Packaging Finance | ||||||||
4.875%, 11/15/2022 (B) | 1,000 | 973 | ||||||
BNSF Funding Trust I | ||||||||
6.613%, 12/15/2055 (A) | 2,261 | 2,479 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Caterpillar | ||||||||
1.375%, 05/27/2014 | $ | 100 | $ | 101 | ||||
Caterpillar Financial Services MTN | ||||||||
1.375%, 05/20/2014 | 95 | 95 | ||||||
0.477%, 02/26/2016 (A) | 700 | 700 | ||||||
0.357%, 11/25/2015 (A) | 1,000 | 999 | ||||||
Clean Harbors | ||||||||
5.250%, 08/01/2020 | 900 | 925 | ||||||
Danaher | ||||||||
1.300%, 06/23/2014 | 160 | 161 | ||||||
John Deere Capital (A) | ||||||||
0.374%, 06/15/2015 | 400 | 400 | ||||||
0.343%, 10/08/2014 | 400 | 400 | ||||||
Kansas City Southern de Mexico | ||||||||
0.937%, 10/28/2016 (A) (B) | 225 | 225 | ||||||
Norbord | ||||||||
5.375%, 12/01/2020 (B) | 3,409 | 3,413 | ||||||
Packaging Dynamics | ||||||||
8.750%, 02/01/2016 (B) | 600 | 618 | ||||||
Penske Truck Leasing | ||||||||
2.500%, 07/11/2014 (B) | 15 | 15 | ||||||
Pentair Finance | ||||||||
1.350%, 12/01/2015 | 80 | 81 | ||||||
Precision Castparts | ||||||||
0.700%, 12/20/2015 | 80 | 80 | ||||||
United Technologies | ||||||||
0.530%, 12/02/2013 (A) | 800 | 800 | ||||||
|
| |||||||
12,465 | ||||||||
|
| |||||||
Information Technology — 0.3% | ||||||||
Bankrate | ||||||||
6.125%, 08/15/2018 (B) | 1,600 | 1,676 | ||||||
Brocade Communications Systems | ||||||||
4.625%, 01/15/2023 (B) | 750 | 700 | ||||||
Hewlett-Packard | ||||||||
0.661%, 05/30/2014 (A) | 175 | 175 | ||||||
iGATE | ||||||||
9.000%, 05/01/2016 | 875 | 935 | ||||||
International Business Machines | ||||||||
0.267%, 07/29/2015 (A) | 450 | 450 | ||||||
Oracle | ||||||||
3.750%, 07/08/2014 | 230 | 235 | ||||||
Western Union | ||||||||
2.375%, 12/10/2015 | 30 | 31 | ||||||
WEX | ||||||||
4.750%, 02/01/2023 (B) | 1,000 | 922 | ||||||
Xerox | ||||||||
1.059%, 05/16/2014 (A) | 160 | 160 | ||||||
|
| |||||||
5,284 | ||||||||
|
| |||||||
Materials — 0.3% |
| |||||||
E.I. du Pont de Nemours | ||||||||
0.671%, 03/25/2014 (A) | 70 | 70 | ||||||
FMG Resources | ||||||||
6.875%, 02/01/2018 (B) | 500 | 529 |
54 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FMG Resources August 2006 PTY | ||||||||
8.250%, 11/01/2019 (B) | $ | 1,000 | $ | 1,117 | ||||
Glencore Funding LLC | ||||||||
1.396%, 05/27/2016 (A) (B) | 400 | 397 | ||||||
Hecla Mining | ||||||||
6.875%, 05/01/2021 (B) | 965 | 936 | ||||||
Hexion US Finance | ||||||||
6.625%, 04/15/2020 | 1,818 | 1,852 | ||||||
Rio Tinto Finance USA | ||||||||
1.094%, 06/17/2016 (A) | 400 | 403 | ||||||
Walter Energy | ||||||||
8.500%, 04/15/2021 (B) | 250 | 211 | ||||||
Yara International | ||||||||
5.250%, 12/15/2014 (B) | 100 | 104 | ||||||
|
| |||||||
5,619 | ||||||||
|
| |||||||
Telecommunication Services — 1.0% |
| |||||||
AT&T | ||||||||
0.800%, 12/01/2015 | 150 | 150 | ||||||
0.624%, 02/12/2016 (A) | 750 | 747 | ||||||
British Telecommunications | ||||||||
1.625%, 06/28/2016 | 490 | 497 | ||||||
Cequel Communications Holdings I LLC | ||||||||
6.375%, 09/15/2020 (B) | 1,000 | 1,033 | ||||||
Cincinnati Bell | ||||||||
8.750%, 03/15/2018 | 1,000 | 1,056 | ||||||
Hughes Satellite Systems | ||||||||
6.500%, 06/15/2019 | 250 | 268 | ||||||
Intelsat Luxembourg | ||||||||
7.750%, 06/01/2021 (B) | 1,150 | 1,205 | ||||||
Sable International Finance | ||||||||
7.750%, 02/15/2017 (B) | 450 | 471 | ||||||
SBA Tower Trust | ||||||||
4.254%, 04/15/2015 (B) | 4,000 | 4,054 | ||||||
Softbank | ||||||||
4.500%, 04/15/2020 (B) | 1,751 | 1,740 | ||||||
Thomson Reuters | ||||||||
1.300%, 02/23/2017 | 400 | 400 | ||||||
T-Mobile USA | ||||||||
6.633%, 04/28/2021 | 758 | 794 | ||||||
Verizon Communications (A) | ||||||||
2.002%, 09/14/2018 | 435 | 458 | ||||||
1.782%, 09/15/2016 | 3,400 | 3,502 | ||||||
Vodafone Group | ||||||||
5.000%, 12/16/2013 | 345 | 345 | ||||||
|
| |||||||
16,720 | ||||||||
|
| |||||||
Utilities — 0.1% |
| |||||||
Dominion Gas Holdings LLC | ||||||||
1.050%, 11/01/2016 (B) | 750 | 751 | ||||||
Duke Energy Indiana | ||||||||
0.596%, 07/11/2016 (A) | 120 | 121 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Duke Energy Ohio | ||||||||
0.399%, 03/06/2015 (A) | $ | 285 | $ | 285 | ||||
Southern California Edison | ||||||||
0.301%, 10/01/2014 (A) | 700 | 700 | ||||||
|
| |||||||
1,857 | ||||||||
|
| |||||||
Total Corporate Obligations |
| 139,537 | ||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 6.4% |
| |||||||
FHLB | ||||||||
0.170%, 08/12/2014 | 900 | 900 | ||||||
0.125%, 10/02/2014 to 11/04/2014 | 8,000 | 7,997 | ||||||
FHLMC | ||||||||
1.000%, 10/13/2015 | 1,000 | 1,001 | ||||||
FHLMC CMO, Ser 2007-3311, Cl FN (A) |
| |||||||
0.718%, 07/15/2041 | 3,906 | 3,923 | ||||||
0.468%, 05/15/2037 | 1,737 | 1,728 | ||||||
FHLMC REMIC, | ||||||||
5.000%, 08/25/2040 | 1,775 | 1,844 | ||||||
0.318%, 07/15/2019 (A) | 1,061 | 1,059 | ||||||
FNMA | ||||||||
4.500%, 10/01/2024 | 3,813 | 4,063 | ||||||
3.500%, 12/01/2040 | 1,150 | 1,212 | ||||||
3.000%, 12/25/2028 | 2,700 | 2,782 | ||||||
0.750%, 12/19/2014 | 4,000 | 4,023 | ||||||
0.550%, 02/27/2015 | 1,000 | 1,001 | ||||||
0.500%, 07/02/2015 | 1,500 | 1,505 | ||||||
FNMA CMO REMIC, | ||||||||
0.620%, 07/25/2041 (A) | 3,936 | 3,950 | ||||||
FNMA CMO, Ser 2005-92, Cl UF | ||||||||
2.500%, 09/25/2026 | 5,013 | 5,151 | ||||||
0.566%, 09/25/2043 (A) | 4,337 | 4,336 | ||||||
0.520%, 10/25/2025 (A) | 3,061 | 3,073 | ||||||
FNMA REMIC, | ||||||||
4.000%, 01/25/2041 (A) | 1,778 | 320 | ||||||
GNMA CMO, Ser 2002-66, Cl FC | ||||||||
5.000%, 03/20/2036 | 892 | 53 | ||||||
1.059%, 06/16/2052 (A) | 12,709 | 925 | ||||||
1.040%, 02/16/2053 (A) | 3,807 | 329 | ||||||
0.963%, 08/16/2052 (A) | 17,192 | 1,141 | ||||||
0.891%, 08/16/2052 (A) | 12,731 | 910 | ||||||
0.568%, 07/16/2031 (A) | 1,732 | 1,746 | ||||||
GNMA, Ser 152, Cl IO, IO (A) | ||||||||
1.348%, 08/16/2051 | 17,171 | 1,004 | ||||||
1.292%, 12/16/2053 | 11,548 | 782 | ||||||
Mortgage-Linked Amortizing Notes CMO, Ser 2012-1, Cl A10 | ||||||||
2.060%, 01/15/2022 | 3,315 | 3,348 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 55 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Opportunistic Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.729%, 12/08/2020 to 12/08/2020 | $ | 8,988 | $ | 9,045 | ||||
0.639%, 11/05/2020 | 9,137 | 9,185 | ||||||
0.632%, 10/07/2020 | 208 | 208 | ||||||
0.624%, 01/08/2020 | 6,162 | 6,180 | ||||||
0.619%, 10/07/2020 | 6,852 | 6,877 | ||||||
0.569%, 02/06/2020 to 03/11/2020 | 12,024 | 12,067 | ||||||
0.549%, 03/06/2020 to 05/07/2020 | 2,743 | 2,750 | ||||||
0.519%, 12/07/2020 | 3,655 | 3,659 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 110,077 | ||||||
|
| |||||||
MUNICIPAL BONDS — 0.3% |
| |||||||
Florida State, Hurricane Catastrophe Fund Finance, Ser A, RB | ||||||||
1.298%, 07/01/2016 | 345 | 344 | ||||||
Grand Parkway Transportation, | ||||||||
1.000%, 10/01/2017 (A) | 235 | 235 | ||||||
Illinois State, GO | ||||||||
4.071%, 01/01/2014 | 650 | 652 | ||||||
Kalamazoo, Hospital Finance Authority, Ser B, RB | ||||||||
3.125%, 05/15/2041 (A) | 290 | 295 | ||||||
New Jersey State, Economic Development Authority, RB | ||||||||
1.059%, 03/01/2016 | 285 | 284 | ||||||
New Jersey State, Turnpike Authority, | ||||||||
4.252%, 01/01/2016 | 450 | 464 | ||||||
New York State, Dormitory Authority, Ser B | ||||||||
4.811%, 12/15/2014 | 300 | 313 | ||||||
New York State, Sales Tax Asset Receivable, RB | ||||||||
4.660%, 10/15/2014 | 500 | 518 | ||||||
North Carolina State, Eastern Municipal Power Agency, | ||||||||
4.430%, 01/01/2014 | 150 | 150 | ||||||
Oregon State, School Boards Association, | ||||||||
1.034%, 06/30/2015 | 375 | 369 | ||||||
Regional Transportation Authority, Ser A, RB | ||||||||
1.064%, 06/01/2014 | 330 | 331 | ||||||
1.044%, 04/01/2014 | 270 | 270 |
Description | Face Amount ($ Thousands)/ Shares | Market Value ($ Thousands) | ||||||
San Francisco City & County, Airports Commission San Francisco International Airport Project, RB | ||||||||
2.021%, 05/01/2014 | $ | 175 | $ | 176 | ||||
|
| |||||||
Total Municipal Bonds |
| 4,401 | ||||||
|
| |||||||
PREFERRED STOCK — 0.1% |
| |||||||
Public Storage, 5.900%‡* | 75,000 | 1,673 | ||||||
|
| |||||||
Total Preferred Stock |
| 1,673 | ||||||
|
| |||||||
CASH EQUIVALENT — 10.4% |
| |||||||
SEI Daily Income Trust, Prime | ||||||||
0.010%**† | 176,906,126 | 176,906 | ||||||
|
| |||||||
Total Cash Equivalent |
| 176,906 | ||||||
|
| |||||||
REPURCHASE AGREEMENT (E) — 0.6% |
| |||||||
BNP Paribas | 11,100 | 11,100 | ||||||
|
| |||||||
Total Repurchase Agreement |
| 11,100 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATION (F) (G) — 0.0% |
| |||||||
U.S. Treasury Bills | ||||||||
0.060%, 04/10/2014 | 750 | 750 | ||||||
|
| |||||||
Total U.S. Treasury Obligation |
| 750 | ||||||
|
| |||||||
Total Investments — 105.2% |
| $ | 1,797,550 | |||||
|
|
56 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
The open futures contracts held by the Fund at November 30, 2013, are as follows:
Type of Contract | Number of Contracts Short | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
U.S. 5-Year Treasury Note | (148 | ) | Mar-2014 | $ | 14 | |||||||
U.S. 10-Year Treasury Note | (95 | ) | Mar-2014 | 20 | ||||||||
U.S. Long Treasury Bond | (39 | ) | Mar-2014 | 19 | ||||||||
U.S. 2-Year Treasury Note | (10 | ) | Mar-2014 | (1 | ) | |||||||
|
| |||||||||||
$ | 52 | |||||||||||
|
|
For the period ended November 30, 2013, 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 $1,708,094 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2013. |
† | Investment in Affiliated Security (see Note 6). |
‡ | 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, 2013. The date reported on the Schedule of Investments is the next reset 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) | Unsettled bank loan. Interest rate not available. |
(D) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on November 30, 2013. The coupon on a step bond changes on a specified date. |
(E) | Tri-Party Repurchase Agreement. |
(F) | The rate reported is the effective yield at time of purchase. |
(G) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ABS — Asset-Based Security
AMBAC — American Municipal Bond Assurance Corporation
ARM — Adjustable Rate Mortgage
Cl — Class
CLO — Collateralized Loan Obligation
CMO — Collateralized Mortgage Obligation
FDIC — Federal Deposit Insurance Corporation
FGIC — Federal Guaranty Insurance Company
FHLB — Federal Home Loan Bank
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
GNMA — Government National Mortgage Association
GO — General Obligation
IO — Interest Only
LLC — Limited Liability Company
L.P. — Limited Partnership
Ltd. — Limited
MTN — Medium Term Note
NATL-RE — National Public Finance Guarantee Corporation
NCUA — National Credit Union Association
PIK — Payment-in-Kind
PLC — Public Limited Company
RB — Revenue Bond
REMIC — Real Estate Mortgage Investment Conduit
Re-REMIC — Resecuritization of Real Estate Mortgage Investment Conduit
Ser — Series
The following is a list of the level of inputs used as of November 30, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Mortgage-Backed Securities | $ | — | $ | 544,099 | $ | 1,954 | $ | 546,053 | ||||||||
Loan Participations | — | 440,461 | — | 440,461 | ||||||||||||
Asset-Backed Securities | — | 366,592 | — | 366,592 | ||||||||||||
Corporate Obligations | — | 139,537 | — | 139,537 | ||||||||||||
U.S. Government Agency | ||||||||||||||||
Obligations | — | 110,077 | — | 110,077 | ||||||||||||
Municipal Bonds | — | 4,401 | — | 4,401 | ||||||||||||
Preferred Stock | 1,673 | — | — | 1,673 | ||||||||||||
Cash Equivalent | 176,906 | — | — | 176,906 | ||||||||||||
Repurchase Agreement | — | 11,100 | — | 11,100 | ||||||||||||
U.S. Treasury Obligation | — | 750 | — | 750 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 178,579 | $ | 1,617,017 | $ | 1,954 | $ | 1,797,550 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 53 | $ | — | $ | — | $ | 53 | ||||||||
Unrealized Depreciation | (1 | ) | — | — | (1 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 52 | $ | — | $ | — | $ | 52 | ||||||||
|
|
|
|
|
|
|
|
(1) | A reconciliation of Level 3 investments and disclosures of significant unobservable inputs are 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. Management has concluded that Level 3 investments are not material in relation to net assets. |
* | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended November 30, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2013, 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 $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 57 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 41.0% |
| |||||||
Agency Mortgage-Backed Obligations — 33.6% |
| |||||||
FHLMC | ||||||||
11.000%, 02/17/2021 | $ | 505 | $ | 510 | ||||
10.000%, 03/17/2026 to 10/01/2030 | 1,700 | 1,960 | ||||||
8.000%, 06/01/2030 | 4 | 5 | ||||||
7.500%, 08/01/2030 to 09/01/2038 | 1,396 | 1,619 | ||||||
7.000%, 11/01/2015 to 03/01/2039 | 643 | 720 | ||||||
6.500%, 06/01/2017 to 09/01/2039 | 5,940 | 6,575 | ||||||
6.000%, 04/01/2017 to 08/01/2038 | 11,958 | 13,138 | ||||||
5.500%, 12/01/2013 to 01/01/2039 | 34,351 | 37,470 | ||||||
5.000%, 02/01/2019 to 04/01/2042 | 36,788 | 39,966 | ||||||
4.500%, 07/01/2026 to 09/01/2042 | 14,919 | 16,006 | ||||||
4.000%, 10/01/2025 to 08/01/2043 | 70,109 | 72,885 | ||||||
3.500%, 12/01/2025 to 08/01/2043 | 42,845 | 43,250 | ||||||
3.000%, 07/01/2032 to 08/01/2043 | 15,221 | 14,545 | ||||||
2.500%, 05/01/2028 to 12/15/2041 | 20,443 | 20,434 | ||||||
2.103%, 10/01/2036 (A) | 890 | 941 | ||||||
FHLMC ARM (A) | ||||||||
6.392%, 12/01/2036 | 101 | 107 | ||||||
6.355%, 02/01/2037 | 109 | 115 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.270%, 11/01/2037 | $ | 176 | $ | 188 | ||||
6.012%, 04/01/2037 | 35 | 38 | ||||||
6.007%, 02/01/2037 | 149 | 158 | ||||||
5.769%, 04/01/2038 | 189 | 203 | ||||||
5.552%, 06/01/2037 | 232 | 247 | ||||||
5.055%, 07/01/2036 | 326 | 351 | ||||||
4.989%, 01/01/2035 | 124 | 132 | ||||||
4.158%, 09/01/2036 | 95 | 100 | ||||||
3.164%, 03/01/2037 | 206 | 217 | ||||||
3.161%, 02/01/2042 | 3,045 | 3,142 | ||||||
3.158%, 12/01/2036 | 231 | 246 | ||||||
3.096%, 05/01/2036 | 362 | 383 | ||||||
3.054%, 03/01/2037 | 483 | 512 | ||||||
3.051%, 11/01/2036 | 149 | 157 | ||||||
3.035%, 11/01/2036 | 224 | 238 | ||||||
2.998%, 04/01/2037 | 97 | 104 | ||||||
2.980%, 12/01/2036 | 423 | 449 | ||||||
2.930%, 05/01/2037 | 1,202 | 1,278 | ||||||
2.905%, 04/01/2037 | 566 | 601 | ||||||
2.889%, 05/01/2037 | 530 | 568 | ||||||
2.856%, 05/01/2042 | 2,102 | 2,141 | ||||||
2.751%, 05/01/2038 | 464 | 498 | ||||||
2.727%, 01/01/2037 | 1,334 | 1,414 | ||||||
2.681%, 09/01/2036 | 667 | 711 | ||||||
2.677%, 05/01/2037 to 07/01/2042 | 304 | 324 | ||||||
2.643%, 09/01/2042 | 64 | 64 | ||||||
2.640%, 11/01/2036 | 346 | 369 | ||||||
2.620%, 05/01/2037 | 155 | 164 | ||||||
2.540%, 12/01/2036 | 553 | 593 | ||||||
2.515%, 09/01/2036 | 315 | 331 | ||||||
2.490%, 12/01/2036 | 721 | 767 | ||||||
2.489%, 10/01/2036 | 1,223 | 1,313 | ||||||
2.485%, 02/01/2037 | 822 | 875 | ||||||
2.480%, 10/01/2036 to 10/01/2037 | 1,188 | 1,265 | ||||||
2.471%, 05/01/2037 | 419 | 449 | ||||||
2.451%, 11/01/2036 | 326 | 347 | ||||||
2.375%, 05/01/2036 | 333 | 354 | ||||||
2.370%, 05/01/2036 | 293 | 313 | ||||||
2.323%, 09/01/2036 | 3,583 | 3,805 | ||||||
2.289%, 08/01/2037 | 1,168 | 1,241 | ||||||
2.240%, 07/01/2043 | 9,583 | 9,703 | ||||||
2.238%, 10/01/2036 | 122 | 129 | ||||||
2.119%, 08/01/2036 | 999 | 1,059 | ||||||
2.103%, 07/01/2036 | 508 | 538 | ||||||
2.086%, 05/01/2037 | 192 | 203 | ||||||
2.029%, 04/01/2037 | 227 | 241 | ||||||
2.000%, 08/01/2036 | 398 | 423 | ||||||
1.959%, 05/01/2037 | 2,346 | 2,487 | ||||||
1.806%, 08/01/2037 | 652 | 694 | ||||||
FHLMC CMO, Ser 1988-1, Cl Z | ||||||||
9.300%, 04/15/2019 | 8 | 9 | ||||||
FHLMC CMO, | ||||||||
7.000%, 10/15/2021 | 190 | 215 |
58 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, | ||||||||
6.500%, 08/15/2028 | $ | 694 | $ | 787 | ||||
FHLMC CMO, | ||||||||
7.532%, 02/15/2029 (A) | 91 | 1 | ||||||
FHLMC CMO, | ||||||||
6.000%, 07/15/2029 | 47 | 52 | ||||||
FHLMC CMO, | ||||||||
6.000%, 03/15/2031 | 700 | 783 | ||||||
FHLMC CMO, | ||||||||
6.500%, 05/15/2031 | 481 | 545 | ||||||
FHLMC CMO, | ||||||||
6.500%, 09/15/2031 | 87 | 94 | ||||||
FHLMC CMO, | ||||||||
6.500%, 01/15/2032 | 163 | 185 | ||||||
FHLMC CMO, | ||||||||
6.500%, 04/15/2032 | 1,362 | 1,541 | ||||||
FHLMC CMO, | ||||||||
6.500%, 06/15/2032 | 284 | 320 | ||||||
FHLMC CMO, | ||||||||
6.500%, 06/15/2032 | 691 | 784 | ||||||
FHLMC CMO, | ||||||||
6.976%, 07/25/2032 (A) | 665 | 750 | ||||||
FHLMC CMO, | ||||||||
7.500%, 02/25/2042 | 876 | 1,034 | ||||||
FHLMC CMO, | ||||||||
5.901%, 07/25/2033 (A) | 49 | 57 | ||||||
FHLMC CMO, | ||||||||
14.176%, 01/15/2033 (A) | 284 | 364 | ||||||
FHLMC CMO, | ||||||||
14.543%, 06/15/2033 (A) | 217 | 279 | ||||||
FHLMC CMO, | ||||||||
14.451%, 09/15/2033 (A) | 209 | 269 | ||||||
FHLMC CMO, | ||||||||
4.000%, 10/15/2033 | 486 | 519 | ||||||
FHLMC CMO, | ||||||||
8.806%, 11/15/2033 (A) | 132 | 147 | ||||||
FHLMC CMO, | ||||||||
6.500%, 02/25/2043 | 464 | 550 | ||||||
FHLMC CMO, |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
7.000%, 02/25/2043 | $ | 578 | $ | 673 | ||||
FHLMC CMO, | ||||||||
6.500%, 07/25/2043 | 505 | 571 | ||||||
FHLMC CMO, | ||||||||
7.000%, 07/25/2043 | 630 | 732 | ||||||
FHLMC CMO, | ||||||||
7.500%, 07/25/2043 | 521 | 605 | ||||||
FHLMC CMO, Ser 2003-58, Cl 4A | ||||||||
7.500%, 09/25/2043 | 697 | 828 | ||||||
FHLMC CMO, | ||||||||
5.000%, 01/15/2034 | 909 | 985 | ||||||
FHLMC CMO, | ||||||||
5.000%, 03/15/2034 | 1,500 | 1,638 | ||||||
FHLMC CMO, | ||||||||
0.000%, 02/15/2033 | 124 | 123 | ||||||
FHLMC CMO, | ||||||||
5.000%, 12/15/2032 | 222 | 226 | ||||||
FHLMC CMO, | ||||||||
0.000%, 12/15/2028 | 91 | 90 | ||||||
FHLMC CMO, | ||||||||
5.500%, 07/15/2033 | 1,897 | 2,066 | ||||||
FHLMC CMO, | ||||||||
7.500%, 10/25/2043 | 722 | 864 | ||||||
FHLMC CMO, | ||||||||
7.000%, 03/25/2044 | 557 | 655 | ||||||
FHLMC CMO, | ||||||||
7.500%, 03/25/2044 | 754 | 908 | ||||||
FHLMC CMO, | ||||||||
5.000%, 05/15/2033 | 128 | 129 | ||||||
FHLMC CMO, | ||||||||
11.992%, 03/15/2020 (A) | 958 | 1,116 | ||||||
FHLMC CMO, | ||||||||
0.000%, 03/15/2020 | 111 | 108 | ||||||
FHLMC CMO, | ||||||||
6.000%, 05/15/2035 | 345 | 385 | ||||||
FHLMC CMO, | ||||||||
0.568%, 05/15/2035 (A) | 356 | 355 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 59 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, | ||||||||
0.538%, 10/15/2034 (A) | $ | 541 | $ | 542 | ||||
FHLMC CMO, | ||||||||
21.329%, 05/15/2035 (A) | 94 | 131 | ||||||
FHLMC CMO, | ||||||||
19.717%, 07/15/2035 (A) | 486 | 671 | ||||||
FHLMC CMO, | ||||||||
23.995%, 06/15/2035 (A) | 118 | 181 | ||||||
FHLMC CMO, | ||||||||
0.518%, 05/15/2033 (A) | 403 | 405 | ||||||
FHLMC CMO, | ||||||||
0.000%, 04/15/2035 | 274 | 263 | ||||||
FHLMC CMO, | ||||||||
0.000%, 01/15/2036 | 547 | 515 | ||||||
FHLMC CMO, | ||||||||
6.000%, 01/15/2036 | 1,420 | 1,584 | ||||||
FHLMC CMO, | ||||||||
6.000%, 04/15/2036 | 557 | 621 | ||||||
FHLMC CMO, | ||||||||
0.000%, 05/15/2036 | 247 | 234 | ||||||
FHLMC CMO, | ||||||||
0.000%, 05/15/2036 | 391 | 362 | ||||||
FHLMC CMO, | ||||||||
6.000%, 06/15/2036 | 408 | 454 | ||||||
FHLMC CMO, | ||||||||
6.000%, 08/15/2035 | 761 | 798 | ||||||
FHLMC CMO, | ||||||||
6.500%, 07/15/2036 | 1,195 | 1,359 | ||||||
FHLMC CMO, | ||||||||
5.500%, 08/15/2036 | 527 | 573 | ||||||
FHLMC CMO, | ||||||||
6.482%, 08/15/2036 (A) | 656 | 119 | ||||||
FHLMC CMO, | ||||||||
6.422%, 09/15/2036 (A) | 308 | 45 | ||||||
FHLMC CMO, | ||||||||
6.232%, 01/15/2037 (A) | 434 | 46 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, | ||||||||
0.000%, 05/15/2037 | $ | 70 | $ | 66 | ||||
FHLMC CMO, | ||||||||
0.368%, 11/15/2036 (A) | 50 | 49 | ||||||
FHLMC CMO, | ||||||||
0.348%, 05/15/2036 (A) | 58 | 58 | ||||||
FHLMC CMO, | ||||||||
0.398%, 02/15/2019 (A) | 4,027 | 4,027 | ||||||
FHLMC CMO, | ||||||||
0.000%, 04/15/2037 | 122 | 113 | ||||||
FHLMC CMO, | ||||||||
6.282%, 11/15/2037 (A) | 399 | 56 | ||||||
FHLMC CMO, | ||||||||
5.832%, 11/15/2037 (A) | 434 | 59 | ||||||
FHLMC CMO, | ||||||||
6.252%, 11/15/2037 (A) | 379 | 51 | ||||||
FHLMC CMO, | ||||||||
3.652%, 10/25/2037 (A) | 1,067 | 1,069 | ||||||
FHLMC CMO, | ||||||||
17.031%, 02/15/2038 (A) | 93 | 120 | ||||||
FHLMC CMO, | ||||||||
5.882%, 05/15/2038 (A) | 414 | 62 | ||||||
FHLMC CMO, | ||||||||
5.862%, 05/15/2038 (A) | 2,177 | 228 | ||||||
FHLMC CMO, | ||||||||
6.032%, 06/15/2038 (A) | 1,746 | 260 | ||||||
FHLMC CMO, | ||||||||
6.000%, 06/15/2038 | 242 | 270 | ||||||
FHLMC CMO, | ||||||||
0.000%, 02/15/2037 | 448 | 425 | ||||||
FHLMC CMO, | ||||||||
5.500%, 07/15/2037 | 243 | 16 | ||||||
FHLMC CMO, | ||||||||
19.201%, 06/15/2036 (A) | 219 | 299 | ||||||
FHLMC CMO, | ||||||||
6.500%, 04/15/2039 | 2,815 | 3,104 |
60 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, | ||||||||
2.225%, 02/15/2039 (A) | $ | 219 | $ | 224 | ||||
FHLMC CMO, | ||||||||
0.000%, 05/15/2036 | 391 | 359 | ||||||
FHLMC CMO, | ||||||||
0.000%, 04/15/2036 | 374 | 349 | ||||||
FHLMC CMO, | ||||||||
0.000%, 04/15/2036 | 267 | 249 | ||||||
FHLMC CMO, | ||||||||
0.000%, 10/15/2039 | 459 | 428 | ||||||
FHLMC CMO, | ||||||||
6.082%, 12/15/2039 (A) | 1,129 | 167 | ||||||
FHLMC CMO, | ||||||||
0.000%, 07/15/2034 | 232 | 215 | ||||||
FHLMC CMO, | ||||||||
0.000%, 01/15/2040 | 318 | 300 | ||||||
FHLMC CMO, | ||||||||
6.062%, 01/15/2040 (A) | 413 | 61 | ||||||
FHLMC CMO, | ||||||||
5.500%, 09/15/2039 | 2,846 | 3,194 | ||||||
FHLMC CMO, | ||||||||
5.000%, 02/15/2030 | 4,478 | 4,596 | ||||||
FHLMC CMO, | ||||||||
16.941%, 02/15/2040 (A) | 400 | 591 | ||||||
FHLMC CMO, | ||||||||
5.000%, 03/15/2026 | 3,352 | 3,708 | ||||||
FHLMC CMO, | ||||||||
4.000%, 11/15/2037 | 1,109 | 1,205 | ||||||
FHLMC CMO, | ||||||||
4.500%, 07/15/2039 | 1,416 | 1,549 | ||||||
FHLMC CMO, | ||||||||
5.000%, 04/15/2032 | 1,611 | 180 | ||||||
FHLMC CMO, | ||||||||
7.000%, 12/15/2036 | 1,827 | 2,203 | ||||||
FHLMC CMO, | ||||||||
7.500%, 11/15/2036 | 575 | 666 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, | ||||||||
5.000%, 08/15/2040 | $ | 1,388 | $ | 243 | ||||
FHLMC CMO, | ||||||||
4.000%, 03/15/2034 | 1,387 | 92 | ||||||
FHLMC CMO, | ||||||||
5.832%, 10/15/2040 (A) | 1,367 | 206 | ||||||
FHLMC CMO, | ||||||||
4.000%, 08/15/2035 | 717 | 27 | ||||||
FHLMC CMO, | ||||||||
4.000%, 08/15/2037 | 1,392 | 166 | ||||||
FHLMC CMO, | ||||||||
4.000%, 10/15/2037 | 895 | 85 | ||||||
FHLMC CMO, | ||||||||
4.000%, 11/15/2029 | 1,502 | 178 | ||||||
FHLMC CMO, | ||||||||
2.187%, 01/15/2040 (A) | 2,074 | 110 | ||||||
FHLMC CMO, | ||||||||
6.000%, 04/15/2036 | 939 | 1,043 | ||||||
FHLMC CMO, | ||||||||
5.500%, 05/15/2041 (A) | 587 | 635 | ||||||
FHLMC CMO, | ||||||||
5.782%, 05/15/2041 (A) | 2,642 | 325 | ||||||
FHLMC CMO, | ||||||||
5.000%, 08/15/2038 | 2,139 | 2,331 | ||||||
FHLMC CMO, | ||||||||
5.711%, 10/15/2038 (A) | 379 | 420 | ||||||
FHLMC CMO, | ||||||||
6.432%, 11/15/2041 (A) | 2,528 | 490 | ||||||
FHLMC CMO, | ||||||||
6.442%, 04/15/2042 (A) | 249 | 40 | ||||||
FHLMC CMO, | ||||||||
0.642%, 10/15/2041 (A) | 1,713 | 1,722 | ||||||
FHLMC CMO, | ||||||||
0.583%, 07/15/2037 (A) | 1,486 | 1,478 | ||||||
FHLMC CMO, | ||||||||
5.782%, 06/15/2042 (A) | 527 | 106 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 61 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, | ||||||||
5.882%, 07/15/2042 (A) | $ | 274 | $ | 60 | ||||
FHLMC CMO, | ||||||||
3.000%, 09/15/2031 | 3,643 | 491 | ||||||
FHLMC CMO, | ||||||||
5.882%, 08/15/2042 (A) | 455 | 106 | ||||||
FHLMC CMO, | ||||||||
2.500%, 09/15/2041 | 7,039 | 7,019 | ||||||
FHLMC CMO, | ||||||||
3.500%, 10/15/2032 | 1,515 | 309 | ||||||
FHLMC CMO, | ||||||||
5.982%, 10/15/2042 (A) | 1,595 | 400 | ||||||
FHLMC CMO, | ||||||||
5.982%, 11/15/2042 (A) | 370 | 90 | ||||||
FHLMC CMO, | ||||||||
5.982%, 11/15/2042 (A) | 376 | 90 | ||||||
FHLMC CMO, | ||||||||
5.982%, 11/15/2042 (A) | 565 | 145 | ||||||
FHLMC CMO, | ||||||||
5.932%, 12/15/2042 (A) | 1,055 | 259 | ||||||
FHLMC CMO, | ||||||||
6.032%, 05/15/2040 (A) | 1,455 | 343 | ||||||
FHLMC CMO, | ||||||||
3.000%, 05/15/2043 | 711 | 542 | ||||||
FHLMC CMO, | ||||||||
3.000%, 05/15/2043 | 1,292 | 1,035 | ||||||
FHLMC CMO, | ||||||||
3.000%, 07/15/2043 | 909 | 695 | ||||||
FHLMC GNMA CMO, | ||||||||
6.250%, 10/25/2023 | 471 | 532 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, | ||||||||
4.768%, 05/25/2018 | 2,824 | 3,062 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, | ||||||||
3.320%, 07/25/2020 | 64 | 68 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, | ||||||||
2.373%, 05/25/2022 | $ | 7,310 | $ | 6,953 | ||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, | ||||||||
1.041%, 01/25/2020 (A) | 18,388 | 951 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, | ||||||||
1.219%, 04/25/2020 (A) | 12,858 | 745 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, | ||||||||
1.667%, 06/25/2020 (A) | 10,900 | 892 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, | ||||||||
1.496%, 08/25/2020 (A) | 5,921 | 441 | ||||||
FHLMC Multifamily Structured | ||||||||
1.668%, 07/25/2021 (A) | 6,851 | 686 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, | ||||||||
1.577%, 10/25/2021 (A) | 2,268 | 222 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates CMO, | ||||||||
1.448%, 12/25/2021 (A) | 3,559 | 315 | ||||||
FHLMC Multifamily Structured | ||||||||
1.645%, 06/25/2022 (A) | 5,939 | 594 | ||||||
FHLMC Multifamily Structured | ||||||||
0.906%, 09/25/2022 (A) | 3,185 | 194 | ||||||
FHLMC Multifamily Structured | ||||||||
1.545%, 02/25/2018 (A) | 27,645 | 1,564 | ||||||
FHLMC Multifamily Structured | ||||||||
2.085%, 05/25/2018 (A) | 8,585 | 680 | ||||||
FHLMC Reference REMIC CMO, | ||||||||
6.000%, 05/15/2036 | 2,792 | 3,087 | ||||||
FHLMC STRIPS CMO, | ||||||||
0.000%, 09/15/2043 | 989 | 723 |
62 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC STRIPS CMO, | ||||||||
7.532%, 08/15/2036 (A) | $ | 1,079 | $ | 175 | ||||
FHLMC STRIPS CMO, | ||||||||
4.500%, 07/15/2037 | 2,647 | 280 | ||||||
FHLMC STRIPS CMO, | ||||||||
3.500%, 07/15/2042 | 3,273 | 3,325 | ||||||
FHLMC STRIPS CMO, | ||||||||
0.668%, 08/15/2042 (A) | 2,798 | 2,800 | ||||||
FHLMC TBA | ||||||||
3.500%, 12/01/2040 | 7,400 | 7,445 | ||||||
2.500%, 12/15/2027 | 13,300 | 13,299 | ||||||
FNMA | ||||||||
8.000%, 04/01/2015 to 11/01/2037 | 312 | 360 | ||||||
7.500%, 06/01/2030 to 04/01/2039 | 1,793 | 2,058 | ||||||
7.000%, 12/01/2015 to 02/01/2039 | 5,070 | 5,715 | ||||||
6.500%, 05/01/2017 to 07/01/2039 | 12,479 | 14,091 | ||||||
6.000%, 06/01/2016 to 11/01/2048 | 36,464 | 40,289 | ||||||
5.500%, 04/01/2014 to 04/01/2040 | 58,911 | 64,338 | ||||||
5.000%, 02/01/2020 to 05/01/2042 | 126,443 | 137,929 | ||||||
4.762%, 02/01/2020 | 731 | 819 | ||||||
4.672%, 07/01/2020 | 740 | 826 | ||||||
4.640%, 01/01/2021 | 969 | 1,074 | ||||||
4.540%, 01/01/2020 | 1,425 | 1,582 | ||||||
4.530%, 12/01/2019 | 3,873 | 4,299 | ||||||
4.500%, 07/01/2020 to 12/01/2042 | 35,582 | 38,205 | ||||||
4.399%, 02/01/2020 | 6,000 | 6,620 | ||||||
4.390%, 05/01/2021 | 1,000 | 1,093 | ||||||
4.369%, 02/01/2020 | 1,912 | 2,107 | ||||||
4.368%, 04/01/2020 | 2,150 | 2,367 | ||||||
4.340%, 06/01/2021 | 1,000 | 1,088 | ||||||
4.338%, 11/01/2021 | 6,033 | 6,613 | ||||||
4.317%, 07/01/2021 | 1,261 | 1,403 | ||||||
4.303%, 07/01/2021 | 5,432 | 5,909 | ||||||
4.300%, 04/01/2021 | 1,191 | 1,297 | ||||||
4.260%, 07/01/2021 | 1,000 | 1,085 | ||||||
4.250%, 04/01/2021 | 3,679 | 3,991 | ||||||
4.240%, 06/01/2021 | 995 | 1,078 | ||||||
4.120%, 04/01/2020 | 1,147 | 1,247 | ||||||
4.066%, 07/01/2020 | 2,453 | 2,667 | ||||||
4.060%, 07/01/2021 | 1,000 | 1,074 | ||||||
4.050%, 01/01/2021 | 1,430 | 1,535 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.000%, 04/01/2019 to 08/01/2043 | $ | 57,003 | $ | 59,612 | ||||
3.975%, 11/01/2020 | 784 | 851 | ||||||
3.940%, 07/01/2021 | 1,500 | 1,596 | ||||||
3.930%, 01/01/2021 | 1,000 | 1,072 | ||||||
3.820%, 06/01/2017 | 1,893 | 2,036 | ||||||
3.800%, 03/01/2018 | 1,923 | 2,082 | ||||||
3.770%, 09/01/2021 | 3,000 | 3,177 | ||||||
3.740%, 07/01/2020 | 1,359 | 1,449 | ||||||
3.670%, 07/01/2023 | 1,500 | 1,537 | ||||||
3.632%, 12/01/2020 | 4,010 | 4,263 | ||||||
3.630%, 01/01/2018 | 2,000 | 2,150 | ||||||
3.590%, 12/01/2020 | 954 | 1,006 | ||||||
3.583%, 09/01/2020 | 6,690 | 7,071 | ||||||
3.520%, 01/01/2018 | 2,922 | 3,135 | ||||||
3.505%, 09/01/2020 | 4,746 | 4,998 | ||||||
3.500%, 01/01/2026 to 08/01/2043 | 75,376 | 75,956 | ||||||
3.430%, 10/01/2020 | 1,914 | 2,005 | ||||||
3.380%, 01/01/2018 | 1,500 | 1,604 | ||||||
3.290%, 10/01/2020 | 999 | 1,039 | ||||||
3.230%, 11/01/2020 | 1,476 | 1,530 | ||||||
3.030%, 12/01/2021 | 1,453 | 1,467 | ||||||
3.000%, 03/01/2027 to 06/01/2043 | 101,793 | 100,329 | ||||||
2.970%, 11/01/2018 | 1,423 | 1,492 | ||||||
2.940%, 05/01/2022 | 976 | 975 | ||||||
2.790%, 07/01/2022 | 1,000 | 987 | ||||||
2.690%, 10/01/2017 | 1,472 | 1,544 | ||||||
2.670%, 07/01/2022 | 976 | 956 | ||||||
2.646%, 10/01/2022 | 8,339 | 8,126 | ||||||
2.629%, 09/01/2043 | 1,636 | 1,636 | ||||||
2.600%, 06/01/2022 | 972 | 950 | ||||||
2.500%, 11/01/2026 to 10/01/2042 | 29,337 | 28,947 | ||||||
2.490%, 03/01/2023 | 1,750 | 1,672 | ||||||
2.470%, 09/01/2022 | 1,469 | 1,415 | ||||||
2.400%, 12/01/2022 to 02/01/2023 | 3,700 | 3,527 | ||||||
2.390%, 12/01/2022 | 1,750 | 1,668 | ||||||
2.380%, 12/01/2022 | 2,000 | 1,896 | ||||||
2.374%, 02/01/2043 | 813 | 827 | ||||||
2.370%, 07/01/2019 to 11/01/2022 | 2,000 | 1,971 | ||||||
2.340%, 12/01/2022 to 01/01/2023 | 4,406 | 4,176 | ||||||
2.320%, 12/01/2022 | 1,474 | 1,399 | ||||||
2.280%, 11/01/2022 | 1,966 | 1,861 | ||||||
2.210%, 12/01/2022 | 3,626 | 3,410 | ||||||
2.200%, 07/01/2019 | 2,448 | 2,472 | ||||||
2.190%, 12/01/2022 | 1,966 | 1,848 | ||||||
2.115%, 02/01/2043 | 815 | 824 | ||||||
2.100%, 06/01/2019 | 1,000 | 1,008 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 63 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
2.062%, 06/01/2043 | $ | 3,093 | $ | 3,110 | ||||
2.030%, 08/01/2019 | 2,030 | 2,019 | ||||||
2.000%, 12/01/2020 | 1,500 | 1,431 | ||||||
1.940%, 07/01/2019 | 1,000 | 1,012 | ||||||
1.690%, 12/01/2019 | 2,000 | 1,933 | ||||||
1.580%, 01/01/2020 | 1,965 | 1,905 | ||||||
1.470%, 12/01/2019 | 1,471 | 1,420 | ||||||
1.400%, 07/01/2017 | 2,500 | 2,527 | ||||||
FNMA ARM (A) | ||||||||
6.200%, 08/01/2036 | 102 | 111 | ||||||
5.779%, 05/01/2037 | 54 | 58 | ||||||
5.725%, 06/01/2036 | 22 | 24 | ||||||
5.209%, 12/01/2035 | 168 | 180 | ||||||
5.202%, 01/01/2023 | 62 | 68 | ||||||
4.187%, 03/01/2037 | 2,016 | 2,124 | ||||||
3.085%, 11/01/2036 | 338 | 359 | ||||||
3.027%, 03/01/2042 | 1,216 | 1,254 | ||||||
2.889%, 05/01/2043 | 370 | 377 | ||||||
2.857%, 11/01/2036 | 514 | 551 | ||||||
2.823%, 12/01/2036 | 680 | 730 | ||||||
2.748%, 09/01/2037 | 14 | 15 | ||||||
2.740%, 10/01/2036 | 209 | 223 | ||||||
2.722%, 10/01/2036 | 1,325 | 1,415 | ||||||
2.700%, 06/01/2036 | 724 | 773 | ||||||
2.598%, 05/01/2036 | 176 | 187 | ||||||
2.591%, 07/01/2037 | 197 | 209 | ||||||
2.589%, 06/01/2036 | 709 | 758 | ||||||
2.582%, 04/01/2037 | 509 | 542 | ||||||
2.580%, 10/01/2036 | 311 | 334 | ||||||
2.520%, 07/01/2036 | 427 | 454 | ||||||
2.516%, 06/01/2036 | 359 | 382 | ||||||
2.462%, 09/01/2037 | 347 | 370 | ||||||
2.438%, 07/01/2037 | 584 | 618 | ||||||
2.420%, 08/01/2036 | 319 | 343 | ||||||
2.410%, 09/01/2036 | 403 | 437 | ||||||
2.406%, 02/01/2037 | 624 | 663 | ||||||
2.265%, 11/01/2037 | 280 | 297 | ||||||
2.258%, 11/01/2037 | 494 | 524 | ||||||
2.255%, 09/01/2036 | 196 | 210 | ||||||
2.149%, 06/01/2043 | 942 | 951 | ||||||
2.112%, 04/01/2043 | 597 | 602 | ||||||
2.068%, 07/01/2043 | 6,656 | 6,667 | ||||||
2.041%, 06/01/2043 | 1,693 | 1,705 | ||||||
2.036%, 07/01/2043 | 865 | 838 | ||||||
2.031%, 07/01/2043 | — | — | ||||||
1.996%, 01/01/2043 | 985 | 988 | ||||||
1.994%, 04/01/2043 | 4,187 | 4,210 | ||||||
1.978%, 04/01/2043 | 5,347 | 5,372 | ||||||
1.963%, 05/01/2037 | 1,475 | 1,553 | ||||||
1.879%, 01/01/2037 | 475 | 504 | ||||||
1.825%, 02/01/2037 | 347 | 361 | ||||||
1.799%, 09/01/2036 | 277 | 294 | ||||||
1.713%, 07/01/2037 | 256 | 268 | ||||||
0.622%, 09/01/2022 | 1,170 | 1,172 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
0.608%, 10/01/2022 | $ | 3,000 | $ | 3,008 | ||||
0.600%, 01/01/2023 | 1,229 | 1,232 | ||||||
0.542%, 01/01/2023 | 983 | 989 | ||||||
0.532%, 01/01/2023 | 1,965 | 1,963 | ||||||
0.522%, 01/01/2023 | 3,500 | 3,510 | ||||||
FNMA CMO, | ||||||||
7.500%, 09/25/2021 | 146 | 166 | ||||||
FNMA CMO, | ||||||||
8.000%, 09/25/2022 | 358 | 409 | ||||||
FNMA CMO, | ||||||||
8.000%, 08/25/2022 | 473 | 536 | ||||||
FNMA CMO, Ser 1992-69, Cl Z | ||||||||
8.000%, 05/25/2022 | 345 | 399 | ||||||
FNMA CMO, | ||||||||
0.000%, 05/25/2022 | — | — | ||||||
FNMA CMO, | ||||||||
11.500%, 08/25/2023 (A) | 145 | 184 | ||||||
FNMA CMO, | ||||||||
6.500%, 05/25/2023 | 679 | 750 | ||||||
FNMA CMO, Ser 1993-99, Cl Z | ||||||||
7.000%, 07/25/2023 | 705 | 789 | ||||||
FNMA CMO, | ||||||||
6.500%, 02/25/2024 | 562 | 627 | ||||||
FNMA CMO, | ||||||||
7.000%, 04/25/2024 | 503 | 573 | ||||||
FNMA CMO, | ||||||||
6.500%, 04/25/2027 | 365 | 410 | ||||||
FNMA CMO, Ser 1999-11, Cl Z | ||||||||
5.500%, 03/25/2029 | 475 | 522 | ||||||
FNMA CMO, | ||||||||
0.000%, 10/25/2023 | 150 | 146 | ||||||
FNMA CMO, | ||||||||
7.000%, 10/25/2041 | 499 | 577 | ||||||
FNMA CMO, | ||||||||
6.500%, 10/25/2031 | 46 | 53 | ||||||
FNMA CMO, | ||||||||
6.000%, 12/25/2016 | 369 | 388 | ||||||
FNMA CMO, | ||||||||
7.000%, 03/25/2045 | 387 | 446 | ||||||
FNMA CMO, | ||||||||
18.802%, 03/25/2017 (A) | 46 | 56 | ||||||
FNMA CMO, | ||||||||
7.500%, 06/25/2032 | 563 | 671 | ||||||
FNMA CMO, | ||||||||
6.500%, 06/25/2042 | 653 | 751 | ||||||
FNMA CMO, | ||||||||
6.000%, 01/25/2033 | 2,215 | 2,518 | ||||||
FNMA CMO, | ||||||||
9.800%, 01/25/2034 (A) | 32 | 36 |
64 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, | ||||||||
5.000%, 08/25/2023 | $ | 533 | $ | 563 | ||||
FNMA CMO, | ||||||||
15.868%, 01/25/2034 (A) | 306 | 410 | ||||||
FNMA CMO, | ||||||||
5.500%, 03/25/2023 | 2,000 | 2,209 | ||||||
FNMA CMO, | ||||||||
5.500%, 04/25/2023 | 2,000 | 2,230 | ||||||
FNMA CMO, | ||||||||
0.000%, 05/25/2033 | 148 | 124 | ||||||
FNMA CMO, | ||||||||
4.000%, 11/25/2022 | 43 | 44 | ||||||
FNMA CMO, | ||||||||
5.500%, 06/25/2023 | 452 | 480 | ||||||
FNMA CMO, | ||||||||
5.000%, 01/25/2020 | 2,294 | 2,439 | ||||||
FNMA CMO, | ||||||||
5.500%, 04/25/2034 | 1,086 | 1,190 | ||||||
FNMA CMO, | ||||||||
0.000%, 03/25/2034 | 369 | 343 | ||||||
FNMA CMO, | ||||||||
4.500%, 07/25/2033 | 159 | 167 | ||||||
FNMA CMO, | ||||||||
0.000%, 09/25/2032 | 72 | 71 | ||||||
FNMA CMO, | ||||||||
0.000%, 10/25/2032 | 160 | 156 | ||||||
FNMA CMO, | ||||||||
0.966%, 11/25/2032 (A) | 730 | 738 | ||||||
FNMA CMO, | ||||||||
5.500%, 11/25/2025 | 1,334 | 1,489 | ||||||
FNMA CMO, | ||||||||
23.958%, 11/25/2035 (A) | 654 | 1,038 | ||||||
FNMA CMO, | ||||||||
4.500%, 03/25/2020 | 1,137 | 1,207 | ||||||
FNMA CMO, | ||||||||
5.000%, 01/25/2035 | 741 | 807 | ||||||
FNMA CMO, | ||||||||
5.500%, 07/25/2035 | 924 | 1,020 | ||||||
FNMA CMO, | ||||||||
16.460%, 08/25/2035 (A) | 223 | 287 | ||||||
FNMA CMO, | ||||||||
19.564%, 05/25/2035 (A) | 353 | 493 | ||||||
FNMA CMO, | ||||||||
19.674%, 05/25/2035 (A) | 270 | 379 | ||||||
FNMA CMO, | ||||||||
16.460%, 10/25/2035 (A) | 245 | 319 | ||||||
FNMA CMO, | ||||||||
0.000%, 09/25/2035 | 176 | 173 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, | ||||||||
6.389%, 11/25/2036 (A) | $ | 1,426 | $ | 329 | ||||
FNMA CMO, | ||||||||
6.484%, 12/25/2036 (A) | 291 | 52 | ||||||
FNMA CMO, | ||||||||
0.238%, 12/25/2036 (A) | 635 | 620 | ||||||
FNMA CMO, | ||||||||
7.034%, 01/25/2037 (A) | 1,913 | 295 | ||||||
FNMA CMO, | ||||||||
0.000%, 03/25/2036 | 282 | 262 | ||||||
FNMA CMO, Ser 2006-23, Cl FK | ||||||||
0.416%, 04/25/2036 (A) | 337 | 336 | ||||||
FNMA CMO, | ||||||||
0.000%, 04/25/2036 | 302 | 293 | ||||||
FNMA CMO, | ||||||||
0.000%, 03/25/2036 | 357 | 330 | ||||||
FNMA CMO, Ser 2006-31, Cl PD | ||||||||
5.500%, 11/25/2034 | 111 | 112 | ||||||
FNMA CMO, Ser 2006-33, Cl LS | ||||||||
29.403%, 05/25/2036 (A) | 223 | 411 | ||||||
FNMA CMO, Ser 2006-44, Cl FP | ||||||||
0.566%, 06/25/2036 (A) | 298 | 299 | ||||||
FNMA CMO, | ||||||||
0.000%, 12/25/2033 | 141 | 131 | ||||||
FNMA CMO, Ser 2006-46, Cl SW | ||||||||
23.591%, 06/25/2036 (A) | 220 | 338 | ||||||
FNMA CMO, | ||||||||
6.484%, 03/25/2036 (A) | 326 | 49 | ||||||
FNMA CMO, Ser 2006-56, Cl CA | ||||||||
6.000%, 07/25/2036 | 423 | 471 | ||||||
FNMA CMO, Ser 2006-56, Cl FC | ||||||||
0.456%, 07/25/2036 (A) | 360 | 359 | ||||||
FNMA CMO, Ser 2006-56, Cl PF | ||||||||
0.516%, 07/25/2036 (A) | 432 | 433 | ||||||
FNMA CMO, | ||||||||
0.000%, 04/25/2035 | 316 | 308 | ||||||
FNMA CMO, | ||||||||
0.000%, 07/25/2036 | 665 | 606 | ||||||
FNMA CMO, Ser 2006-63, Cl ZH | ||||||||
6.500%, 07/25/2036 | 834 | 946 | ||||||
FNMA CMO, Ser 2006-78, Cl BZ | ||||||||
6.500%, 08/25/2036 | 482 | 532 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 65 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, | ||||||||
6.484%, 10/25/2026 (A) | $ | 858 | $ | 137 | ||||
FNMA CMO, | ||||||||
6.284%, 10/25/2037 (A) | 1,077 | 148 | ||||||
FNMA CMO, Ser 2007-101, | ||||||||
0.416%, 06/27/2036 (A) | 1,222 | 1,204 | ||||||
FNMA CMO, | ||||||||
6.284%, 12/25/2037 (A) | 858 | 120 | ||||||
FNMA CMO, Ser 2007-114, | ||||||||
0.366%, 10/27/2037 (A) | 1,600 | 1,601 | ||||||
FNMA CMO, | ||||||||
1.556%, 01/25/2038 (A) | 1,221 | 78 | ||||||
FNMA CMO, Ser 2007-116, | ||||||||
5.500%, 08/25/2035 | 3,630 | 3,995 | ||||||
FNMA CMO, Ser 2007-29, Cl SG | ||||||||
22.113%, 04/25/2037 (A) | 191 | 282 | ||||||
FNMA CMO, Ser 2007-43, Cl FL | ||||||||
0.466%, 05/25/2037 (A) | 153 | 153 | ||||||
FNMA CMO, | ||||||||
5.934%, 06/25/2037 (A) | 715 | 101 | ||||||
FNMA CMO, Ser 2007-54, Cl FA | ||||||||
0.566%, 06/25/2037 (A) | 599 | 600 | ||||||
FNMA CMO, | ||||||||
6.984%, 07/25/2037 (A) | 1,385 | 214 | ||||||
FNMA CMO, Ser 2007-64, Cl FA | ||||||||
0.636%, 07/25/2037 (A) | 65 | 65 | ||||||
FNMA CMO, | ||||||||
6.454%, 07/25/2037 (A) | 711 | 95 | ||||||
FNMA CMO, | ||||||||
6.534%, 07/25/2037 (A) | 900 | 128 | ||||||
FNMA CMO, | ||||||||
6.234%, 07/25/2037 (A) | 1,006 | 131 | ||||||
FNMA CMO, | ||||||||
0.000%, 01/25/2036 | 45 | 45 | ||||||
FNMA CMO, Ser 2007-79, Cl SB | ||||||||
23.408%, 08/25/2037 (A) | 90 | 137 | ||||||
FNMA CMO, Ser 2007-85, Cl SG | ||||||||
15.835%, 09/25/2037 (A) | 288 | 362 | ||||||
FNMA CMO, | ||||||||
5.614%, 06/25/2037 (A) | 910 | 137 | ||||||
FNMA CMO, | ||||||||
5.744%, 02/25/2038 (A) | 884 | 108 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, | ||||||||
6.824%, 03/25/2038 (A) | $ | 534 | $ | 82 | ||||
FNMA CMO, | ||||||||
6.264%, 03/25/2037 (A) | 9,655 | 1,045 | ||||||
FNMA CMO, | ||||||||
5.000%, 04/25/2023 | 1,500 | 1,606 | ||||||
FNMA CMO, | ||||||||
6.750%, 06/25/2037 | 190 | 206 | ||||||
FNMA CMO, | ||||||||
0.816%, 02/25/2038 (A) | 476 | 482 | ||||||
FNMA CMO, | ||||||||
6.684%, 04/25/2038 (A) | 307 | 46 | ||||||
FNMA CMO, | ||||||||
0.642%, 10/25/2016 (A) | 658 | 6 | ||||||
FNMA CMO, | ||||||||
5.834%, 02/25/2038 (A) | 1,977 | 260 | ||||||
FNMA CMO, | ||||||||
5.000%, 07/25/2023 | 2,935 | 3,149 | ||||||
FNMA CMO, | ||||||||
5.000%, 01/25/2024 | 643 | 718 | ||||||
FNMA CMO, | ||||||||
2.670%, 12/25/2039 (A) | 553 | 572 | ||||||
FNMA CMO, | ||||||||
6.484%, 03/25/2039 (A) | 401 | 59 | ||||||
FNMA CMO, | ||||||||
4.500%, 04/25/2039 | 1,760 | 1,908 | ||||||
FNMA CMO, | ||||||||
5.000%, 07/25/2039 | 557 | 96 | ||||||
FNMA CMO, | ||||||||
0.000%, 01/25/2037 | 999 | 943 | ||||||
FNMA CMO, | ||||||||
5.734%, 10/25/2039 (A) | 486 | 67 | ||||||
FNMA CMO, | ||||||||
0.000%, 03/25/2037 | 5,963 | 5,686 | ||||||
FNMA CMO, | ||||||||
5.500%, 10/25/2039 | 367 | 55 | ||||||
FNMA CMO, | ||||||||
0.000%, 10/25/2037 | 687 | 607 | ||||||
FNMA CMO, | ||||||||
4.000%, 10/25/2014 | 818 | 22 |
66 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, | ||||||||
6.014%, 12/25/2039 (A) | $ | 610 | $ | 63 | ||||
FNMA CMO, | ||||||||
6.180%, 02/25/2040 (A) | 465 | 511 | ||||||
FNMA CMO, | ||||||||
6.484%, 09/25/2040 (A) | 2,662 | 459 | ||||||
FNMA CMO, Ser 2010-111, Cl AE | ||||||||
5.500%, 04/25/2038 | 1,778 | 1,917 | ||||||
FNMA CMO, Ser 2010-123, Cl PM | ||||||||
4.000%, 07/25/2040 | 3,600 | 3,811 | ||||||
FNMA CMO, Ser 2010-133, Cl A | ||||||||
5.500%, 05/25/2038 | 1,288 | 1,392 | ||||||
FNMA CMO, | ||||||||
6.364%, 12/25/2040 (A) | 1,353 | 178 | ||||||
FNMA CMO, Ser 2010-148, Cl MA | ||||||||
4.000%, 02/25/2039 | 591 | 612 | ||||||
FNMA CMO, | ||||||||
6.291%, 01/25/2041 (A) | 2,360 | 350 | ||||||
FNMA CMO, | ||||||||
6.291%, 01/25/2041 (A) | 2,661 | 395 | ||||||
FNMA CMO, Ser 2010-16, Cl WA | ||||||||
6.428%, 03/25/2040 (A) | 553 | 630 | ||||||
FNMA CMO, | ||||||||
6.934%, 02/25/2040 (A) | 704 | 107 | ||||||
FNMA CMO, | ||||||||
6.314%, 04/25/2040 (A) | 3,108 | 509 | ||||||
FNMA CMO, | ||||||||
6.254%, 04/25/2040 (A) | 768 | 109 | ||||||
FNMA CMO, | ||||||||
0.000%, 10/25/2035 | 318 | 294 | ||||||
FNMA CMO, | ||||||||
4.500%, 11/25/2038 | 809 | 850 | ||||||
FNMA CMO, Ser 2010-64, Cl DM | ||||||||
5.000%, 06/25/2040 | 983 | 1,082 | ||||||
FNMA CMO, | ||||||||
4.834%, 07/25/2040 (A) | 2,738 | 336 | ||||||
FNMA CMO, Ser 2010-M5, Cl A1 | ||||||||
2.259%, 07/25/2020 | 65 | 67 | ||||||
FNMA CMO, | ||||||||
6.434%, 10/25/2040 (A) | 5,043 | 905 | ||||||
FNMA CMO, Ser 2011-2, Cl WA | ||||||||
5.716%, 02/25/2051 (A) | 512 | 551 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, | ||||||||
2.711%, 04/25/2041 (A) | $ | 1,598 | $ | 95 | ||||
FNMA CMO, Ser 2011-43, Cl WA | ||||||||
5.899%, 05/25/2051 (A) | 918 | 1,016 | ||||||
FNMA CMO, Ser 2011-58, Cl AT | ||||||||
4.000%, 07/25/2041 | 2,461 | 2,596 | ||||||
FNMA CMO, | ||||||||
6.514%, 07/25/2041 (A) | 2,165 | 307 | ||||||
FNMA CMO, Ser 2011-75, Cl FA | ||||||||
0.716%, 08/25/2041 (A) | 498 | 500 | ||||||
FNMA CMO, | ||||||||
5.784%, 09/25/2041 (A) | 4,869 | 634 | ||||||
FNMA CMO, | ||||||||
5.000%, 05/25/2034 | 4,046 | 598 | ||||||
FNMA CMO, | ||||||||
6.384%, 10/25/2041 (A) | 4,866 | 849 | ||||||
FNMA CMO, Ser 2011-M1, Cl A3 | ||||||||
3.763%, 06/25/2021 | 1,500 | 1,582 | ||||||
FNMA CMO, Ser 2011-M2, Cl A3 | ||||||||
3.764%, 07/25/2021 | 7,500 | 7,943 | ||||||
FNMA CMO, | ||||||||
3.726%, 06/25/2021 | 2,500 | 2,654 | ||||||
FNMA CMO, Ser 2012-101, Cl FC | ||||||||
0.666%, 09/25/2042 (A) | 936 | 934 | ||||||
FNMA CMO, | ||||||||
5.934%, 07/25/2040 (A) | 2,530 | 578 | ||||||
FNMA CMO, | ||||||||
0.666%, 10/25/2042 (A) | 953 | 952 | ||||||
FNMA CMO, | ||||||||
5.984%, 11/25/2042 (A) | 667 | 180 | ||||||
FNMA CMO, | ||||||||
5.984%, 11/25/2042 (A) | 1,132 | 304 | ||||||
FNMA CMO, Ser 2012-130, Cl DC | ||||||||
3.000%, 12/25/2042 | 22,135 | 21,190 | ||||||
FNMA CMO, | ||||||||
5.984%, 12/25/2042 (A) | 836 | 199 | ||||||
FNMA CMO, Ser 2012-133, Cl JP | ||||||||
2.500%, 07/25/2042 | 4,423 | 4,335 | ||||||
FNMA CMO, | ||||||||
5.984%, 12/25/2042 (A) | 380 | 90 | ||||||
FNMA CMO, Ser 2012-134, Cl LC | ||||||||
3.000%, 12/25/2042 | 2,069 | 2,034 | ||||||
FNMA CMO, Ser 2012-134, Cl MS | ||||||||
5.984%, 12/25/2042 (A) | 1,055 | 267 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 67 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, | ||||||||
5.984%, 12/25/2042 (A) | $ | 852 | $ | 209 | ||||
FNMA CMO, | ||||||||
0.466%, 08/25/2041 (A) | 1,417 | 1,401 | ||||||
FNMA CMO, | ||||||||
3.000%, 12/25/2027 | 2,463 | 316 | ||||||
FNMA CMO, Ser 2012-14, | ||||||||
0.616%, 08/25/2037 (A) | 804 | 806 | ||||||
FNMA CMO, | ||||||||
6.384%, 07/25/2039 (A) | 1,252 | 233 | ||||||
FNMA CMO, Ser 2012-28, Cl B | ||||||||
6.500%, 06/25/2039 | 212 | 238 | ||||||
FNMA CMO, | ||||||||
6.434%, 04/25/2042 (A) | 751 | 117 | ||||||
FNMA CMO, | ||||||||
6.000%, 05/25/2042 | 2,801 | 3,057 | ||||||
FNMA CMO, Ser 2012-47, | ||||||||
0.566%, 05/25/2027 (A) | 3,786 | 3,794 | ||||||
FNMA CMO, | ||||||||
6.484%, 02/25/2041 (A) | 786 | 172 | ||||||
FNMA CMO, | ||||||||
0.000%, 03/25/2042 | 166 | 152 | ||||||
FNMA CMO, | ||||||||
6.484%, 03/25/2042 (A) | 2,403 | 418 | ||||||
FNMA CMO, | ||||||||
0.000%, 03/25/2042 | 331 | 304 | ||||||
FNMA CMO, | ||||||||
6.434%, 07/25/2042 (A) | 941 | 189 | ||||||
FNMA CMO, | ||||||||
0.616%, 04/25/2039 (A) | 1,374 | 1,377 | ||||||
FNMA CMO, | ||||||||
3.000%, 09/25/2027 | 9,620 | 1,203 | ||||||
FNMA CMO, | ||||||||
5.934%, 09/25/2042 (A) | 1,185 | 262 | ||||||
FNMA CMO, | ||||||||
0.666%, 09/25/2042 (A) | 1,401 | 1,398 | ||||||
FNMA CMO, | ||||||||
0.684%, 08/25/2019 (A) | 1,687 | 1,697 | ||||||
FNMA CMO, | ||||||||
2.840%, 08/25/2022 (A) | 8,189 | 8,160 | ||||||
FNMA CMO, | ||||||||
2.657%, 10/25/2022 (A) | 7,036 | 6,857 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, | ||||||||
1.801%, 12/25/2019 | $ | 400 | $ | 398 | ||||
FNMA CMO, | ||||||||
0.000%, 10/25/2043 | 2,210 | 1,652 | ||||||
FNMA CMO, | ||||||||
0.000%, 10/25/2043 | 5,039 | 3,790 | ||||||
FNMA CMO, | ||||||||
0.000%, 10/25/2043 | 1,188 | 870 | ||||||
FNMA CMO, | ||||||||
3.000%, 12/25/2043 | 6,346 | 6,506 | ||||||
FNMA CMO, | ||||||||
5.984%, 03/25/2043 (A) | 770 | 189 | ||||||
FNMA CMO, | ||||||||
3.000%, 04/25/2032 | 2,286 | 327 | ||||||
FNMA CMO, | ||||||||
2.500%, 11/25/2042 | 1,240 | 1,231 | ||||||
FNMA CMO, Ser 2013-9, Cl BC | ||||||||
6.500%, 07/25/2042 | 5,976 | 6,605 | ||||||
FNMA CMO, Ser 2013-9, Cl CB | ||||||||
5.500%, 04/25/2042 | 5,200 | 5,737 | ||||||
FNMA CMO, | ||||||||
0.000%, 09/25/2043 | 989 | 741 | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.500%, 06/25/2030 | 825 | 976 | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.500%, 12/25/2041 | 1,442 | 1,685 | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.000%, 07/25/2042 | 543 | 641 | ||||||
FNMA Grantor Trust CMO, | ||||||||
7.000%, 02/25/2044 | 612 | 698 | ||||||
FNMA Interest STRIPS CMO, | ||||||||
0.000%, 12/01/2024 | 333 | 324 | ||||||
FNMA Interest STRIPS CMO, | ||||||||
0.000%, 09/01/2024 | 214 | 208 | ||||||
FNMA Interest STRIPS CMO, | ||||||||
7.000%, 01/25/2032 | 531 | 100 | ||||||
FNMA Interest STRIPS CMO, | ||||||||
6.500%, 02/01/2033 | 773 | 160 |
68 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA Interest STRIPS CMO, | ||||||||
3.000%, 11/25/2026 | $ | 5,674 | $ | 615 | ||||
FNMA Interest STRIPS CMO, | ||||||||
3.500%, 11/25/2041 | 2,133 | 422 | ||||||
FNMA Interest STRIPS CMO, | ||||||||
4.500%, 11/25/2039 | 3,435 | 613 | ||||||
FNMA Interest STRIPS CMO, | ||||||||
3.000%, 04/25/2027 | 3,781 | 414 | ||||||
FNMA Interest STRIPS CMO, | ||||||||
0.666%, 08/25/2042 (A) | 1,406 | 1,406 | ||||||
FNMA Interest STRIPS CMO, | ||||||||
3.500%, 11/25/2042 | 5,108 | 5,166 | ||||||
FNMA TBA | ||||||||
5.000%, 12/01/2037 to 01/01/2038 | 17,600 | 19,123 | ||||||
4.500%, 01/01/2038 to 12/01/2040 | 13,300 | 14,178 | ||||||
4.000%, 12/16/2019 to 12/25/2043 | 101,405 | 105,817 | ||||||
3.500%, 12/01/2040 to 12/25/2043 | 22,155 | 22,290 | ||||||
3.000%, 01/25/2026 to 12/12/2042 | 55,245 | 56,291 | ||||||
2.500%, 01/01/2026 to 12/25/2028 | 31,350 | 31,286 | ||||||
FNMA Whole Loan CMO, | ||||||||
6.747%, 12/25/2042 (A) | 777 | 913 | ||||||
FNMA Whole Loan CMO, | ||||||||
5.750%, 08/25/2033 | 927 | 1,019 | ||||||
FNMA Whole Loan CMO, | ||||||||
5.900%, 07/25/2042 | 1,079 | 1,211 | ||||||
FNMA Whole Loan CMO, | ||||||||
6.500%, 09/25/2042 | 413 | 471 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.000%, 10/25/2042 | 342 | 395 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.000%, 12/25/2033 | 654 | 757 | ||||||
FNMA Whole Loan CMO, | ||||||||
5.750%, 08/25/2034 | 2,000 | 2,037 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.000%, 02/25/2044 | 669 | 784 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA Whole Loan CMO, | ||||||||
6.500%, 02/25/2044 | $ | 559 | $ | 641 | ||||
FNMA Whole Loan CMO, | ||||||||
0.386%, 03/25/2045 (A) | 1,739 | 1,736 | ||||||
FNMA Whole Loan CMO, | ||||||||
7.500%, 12/25/2045 | 261 | 305 | ||||||
FNMA Whole Loan CMO, | ||||||||
0.386%, 02/25/2036 (A) | 414 | 409 | ||||||
FNMA Whole Loan CMO, | ||||||||
0.426%, 11/25/2046 (A) | 901 | 899 | ||||||
FNMA Whole Loan CMO, | ||||||||
38.184%, 07/25/2037 (A) | 34 | 63 | ||||||
FNMA Whole Loan CMO, | ||||||||
6.000%, 12/25/2049 | 1,270 | 1,458 | ||||||
GNMA | ||||||||
9.500%, 12/15/2020 | 4 | 5 | ||||||
7.500%, 10/15/2037 to 09/20/2038 | 746 | 846 | ||||||
7.000%, 12/20/2017 to 06/15/2035 | 2,770 | 3,213 | ||||||
6.500%, 01/15/2024 to 02/15/2039 | 4,185 | 4,715 | ||||||
6.000%, 12/15/2023 to 10/20/2040 | 13,884 | 15,651 | ||||||
5.000%, 07/20/2040 to 11/20/2040 | 998 | 1,094 | ||||||
4.500%, 01/20/2040 to 07/20/2041 | 18,968 | 20,532 | ||||||
GNMA ARM | ||||||||
1.750%, 04/20/2028 to 06/20/2029 (A) | 46 | 48 | ||||||
1.625%, 03/20/2032 to 07/20/2034 (A) | 663 | 690 | ||||||
1.550%, 01/20/2060 (A) | 1,335 | 1,365 | ||||||
GNMA CMO, Ser 2001-18, Cl WH | ||||||||
31.883%, 04/20/2031 (A) | 78 | 169 | ||||||
GNMA CMO, Ser 2001-22, Cl PS | ||||||||
20.573%, 03/17/2031 (A) | 552 | 848 | ||||||
GNMA CMO, Ser 2001-61, Cl Z | ||||||||
6.500%, 12/20/2031 | 1,310 | 1,497 | ||||||
GNMA CMO, Ser 2002-23, Cl SD | ||||||||
20.495%, 04/16/2032 (A) | 752 | 1,164 | ||||||
GNMA CMO, Ser 2002-51, Cl SG | ||||||||
31.772%, 04/20/2031 (A) | 66 | 139 | ||||||
GNMA CMO, Ser 2002-57, Cl SB | ||||||||
109.988%, 08/16/2032 | 61 | 246 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 69 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, | ||||||||
16.130%, 02/20/2032 (A) | $ | 34 | $ | 35 | ||||
GNMA CMO, | ||||||||
12.138%, 05/16/2033 (A) | 73 | 90 | ||||||
GNMA CMO, | ||||||||
6.000%, 09/16/2033 | 3,171 | 3,574 | ||||||
GNMA CMO, | ||||||||
5.500%, 10/20/2023 | 1,047 | 1,128 | ||||||
GNMA CMO, | ||||||||
6.383%, 11/16/2033 (A) | 406 | 72 | ||||||
GNMA CMO, | ||||||||
5.500%, 03/16/2034 | 1,142 | 1,293 | ||||||
GNMA CMO, | ||||||||
8.832%, 04/20/2034 (A) | 624 | 706 | ||||||
GNMA CMO, | ||||||||
19.507%, 02/20/2034 (A) | 43 | 61 | ||||||
GNMA CMO, | ||||||||
7.000%, 09/20/2034 (A) | 193 | 211 | ||||||
GNMA CMO, | ||||||||
0.000%, 01/17/2033 | 34 | 34 | ||||||
GNMA CMO, | ||||||||
7.480%, 03/17/2033 (A) | 134 | 150 | ||||||
GNMA CMO, | ||||||||
5.000%, 04/16/2034 | 95 | 100 | ||||||
GNMA CMO, | ||||||||
5.932%, 01/20/2035 (A) | 850 | 126 | ||||||
GNMA CMO, | ||||||||
16.352%, 05/18/2034 (A) | 121 | 144 | ||||||
GNMA CMO, | ||||||||
6.000%, 12/20/2035 | 1,000 | 1,152 | ||||||
GNMA CMO, | ||||||||
6.822%, 04/20/2036 (A) | 1,054 | 162 | ||||||
GNMA CMO, | ||||||||
0.000%, 07/20/2036 | 81 | 75 | ||||||
GNMA CMO, | ||||||||
6.482%, 09/20/2033 (A) | 826 | 48 | ||||||
GNMA CMO, | ||||||||
6.332%, 06/20/2036 (A) | 673 | 95 | ||||||
GNMA CMO, | ||||||||
0.368%, 04/16/2037 (A) | 557 | 557 | ||||||
GNMA CMO, | ||||||||
6.032%, 05/20/2037 (A) | 1,346 | 186 | ||||||
GNMA CMO, | ||||||||
6.032%, 05/20/2037 (A) | 518 | 71 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, | ||||||||
6.582%, 07/20/2037 (A) | $ | 767 | $ | 138 | ||||
GNMA CMO, | ||||||||
6.472%, 07/20/2037 (A) | 470 | 82 | ||||||
GNMA CMO, | ||||||||
6.382%, 11/20/2037 (A) | 523 | 89 | ||||||
GNMA CMO, | ||||||||
6.363%, 12/16/2037 (A) | 8,482 | 1,231 | ||||||
GNMA CMO, | ||||||||
6.482%, 12/20/2037 (A) | 663 | 125 | ||||||
GNMA CMO, | ||||||||
6.362%, 12/20/2037 (A) | 433 | 74 | ||||||
GNMA CMO, | ||||||||
6.032%, 03/20/2037 (A) | 626 | 87 | ||||||
GNMA CMO, | ||||||||
5.662%, 02/20/2038 (A) | 795 | 119 | ||||||
GNMA CMO, | ||||||||
6.993%, 01/16/2038 (A) | 486 | 80 | ||||||
GNMA CMO, | ||||||||
0.000%, 02/17/2033 | 163 | 159 | ||||||
GNMA CMO, | ||||||||
7.533%, 04/16/2038 (A) | 315 | 51 | ||||||
GNMA CMO, | ||||||||
6.032%, 06/20/2038 (A) | 727 | 101 | ||||||
GNMA CMO, | ||||||||
7.132%, 12/20/2038 (A) | 1,111 | 172 | ||||||
GNMA CMO, | ||||||||
6.233%, 06/16/2039 (A) | 1,344 | 170 | ||||||
GNMA CMO, | ||||||||
6.233%, 11/16/2039 (A) | 1,267 | 189 | ||||||
GNMA CMO, | ||||||||
6.232%, 11/20/2039 (A) | 13,095 | 1,903 | ||||||
GNMA CMO, | ||||||||
6.500%, 03/20/2039 | 422 | 88 | ||||||
GNMA CMO, | ||||||||
6.500%, 03/20/2039 | 21 | 4 |
70 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, | ||||||||
5.500%, 11/16/2037 | $ | 783 | $ | 104 | ||||
GNMA CMO, | ||||||||
6.102%, 04/20/2039 (A) | 1,123 | 150 | ||||||
GNMA CMO, | ||||||||
6.132%, 03/20/2039 (A) | 502 | 57 | ||||||
GNMA CMO, | ||||||||
7.432%, 09/20/2038 (A) | 430 | 67 | ||||||
GNMA CMO, | ||||||||
6.132%, 03/20/2039 (A) | 1,031 | 136 | ||||||
GNMA CMO, | ||||||||
6.000%, 05/20/2039 | 179 | 31 | ||||||
GNMA CMO, | ||||||||
1.000%, 06/16/2037 (A) | 1,365 | 34 | ||||||
GNMA CMO, | ||||||||
5.912%, 06/20/2039 (A) | 356 | 46 | ||||||
GNMA CMO, | ||||||||
5.782%, 06/20/2039 (A) | 903 | 114 | ||||||
GNMA CMO, | ||||||||
6.000%, 04/20/2020 | 1,000 | 1,072 | ||||||
GNMA CMO, | ||||||||
5.872%, 02/20/2039 (A) | 771 | 99 | ||||||
GNMA CMO, | ||||||||
6.000%, 12/20/2038 | 481 | 77 | ||||||
GNMA CMO, | ||||||||
6.232%, 12/20/2038 (A) | 1,442 | 174 | ||||||
GNMA CMO, Ser 2009-66, Cl LC | ||||||||
6.000%, 08/16/2039 | 2,245 | 2,604 | ||||||
GNMA CMO, | ||||||||
6.633%, 07/16/2039 (A) | 138 | 24 | ||||||
GNMA CMO, | ||||||||
5.883%, 08/16/2039 (A) | 900 | 129 | ||||||
GNMA CMO, | ||||||||
6.083%, 08/16/2039 (A) | 1,288 | 203 | ||||||
GNMA CMO, Ser 2009-75, Cl VM | ||||||||
5.000%, 12/20/2019 | 784 | 833 | ||||||
GNMA CMO, | ||||||||
0.000%, 11/16/2037 | 759 | 690 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, | ||||||||
6.133%, 08/16/2038 (A) | $ | 117 | $ | 18 | ||||
GNMA CMO, | ||||||||
5.932%, 08/20/2039 (A) | 892 | 114 | ||||||
GNMA CMO, | ||||||||
3.500%, 09/16/2040 | 1,284 | 1,359 | ||||||
GNMA CMO, | ||||||||
0.000%, 12/20/2032 | 358 | 349 | ||||||
GNMA CMO, | ||||||||
0.000%, 11/20/2035 | 414 | 384 | ||||||
GNMA CMO, | ||||||||
0.000%, 08/20/2035 | 425 | 368 | ||||||
GNMA CMO, | ||||||||
0.000%, 06/16/2033 | 9 | 9 | ||||||
GNMA CMO, | ||||||||
4.000%, 09/16/2037 | 3,577 | 410 | ||||||
GNMA CMO, | ||||||||
0.000%, 12/20/2040 | 1,182 | 995 | ||||||
GNMA CMO, | ||||||||
6.332%, 03/20/2039 (A) | 732 | 121 | ||||||
GNMA CMO, | ||||||||
6.223%, 01/16/2040 (A) | 16,436 | 2,456 | ||||||
GNMA CMO, | ||||||||
6.233%, 01/16/2040 (A) | 345 | 53 | ||||||
GNMA CMO, | ||||||||
6.532%, 06/20/2037 (A) | 2,015 | 361 | ||||||
GNMA CMO, | ||||||||
6.383%, 04/16/2034 (A) | 222 | 13 | ||||||
GNMA CMO, | ||||||||
4.500%, 10/20/2039 | 2,900 | 3,091 | ||||||
GNMA CMO, Ser 2010-6, Cl AB | ||||||||
3.000%, 11/20/2039 | 422 | 422 | ||||||
GNMA CMO, Ser 2010-7, Cl EA | ||||||||
5.000%, 06/16/2038 | 895 | 995 | ||||||
GNMA CMO, | ||||||||
6.482%, 01/20/2040 (A) | 1,160 | 221 | ||||||
GNMA CMO, | ||||||||
1.169%, 05/20/2060 (A) | 4,837 | 4,905 | ||||||
GNMA CMO, | ||||||||
5.245%, 07/20/2060 (A) | 1,778 | 2,023 | ||||||
GNMA CMO, | ||||||||
0.526%, 08/20/2058 (A) | 6,503 | 6,447 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 71 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, | ||||||||
5.000%, 11/16/2041 | $ | 137 | $ | 31 | ||||
GNMA CMO, | ||||||||
5.828%, 12/20/2038 (A) | 782 | 861 | ||||||
GNMA CMO, | ||||||||
5.963%, 02/16/2036 (A) | 1,916 | 258 | ||||||
GNMA CMO, | ||||||||
0.682%, 03/20/2061 (A) | 1,672 | 1,665 | ||||||
GNMA CMO, | ||||||||
3.781%, 01/20/2042 (A) | 881 | 912 | ||||||
GNMA CMO, Ser 2012-61, Cl FM | ||||||||
0.568%, 05/16/2042 (A) | 1,240 | 1,240 | ||||||
GNMA CMO, | ||||||||
3.500%, 02/20/2038 | 2,565 | 400 | ||||||
GNMA CMO, | ||||||||
5.893%, 08/16/2042 (A) | 1,847 | 359 | ||||||
GNMA CMO, | ||||||||
0.891%, 08/16/2052 (A) | 4,133 | 295 | ||||||
GNMA CMO, | ||||||||
0.626%, 05/20/2062 (A) | 1,382 | 1,385 | ||||||
GNMA CMO, | ||||||||
0.876%, 05/20/2061 (A) | 2,220 | 2,226 | ||||||
GNMA CMO, | ||||||||
0.826%, 05/20/2061 (A) | 1,485 | 1,488 | ||||||
GNMA CMO, | ||||||||
0.646%, 01/20/2061 (A) | 2,435 | 2,425 | ||||||
GNMA CMO, | ||||||||
0.626%, 03/20/2060 (A) | 1,382 | 1,385 | ||||||
GNMA CMO, | ||||||||
0.776%, 10/20/2062 (A) | 1,520 | 1,520 | ||||||
GNMA CMO, | ||||||||
0.606%, 04/20/2060 (A) | 2,332 | 2,336 | ||||||
GNMA CMO, | ||||||||
0.726%, 07/20/2062 (A) | 1,469 | 1,467 | ||||||
GNMA CMO, | ||||||||
0.676%, 10/20/2062 (A) | 3,364 | 3,356 | ||||||
GNMA CMO, | ||||||||
0.756%, 09/20/2062 (A) | 2,369 | 2,367 | ||||||
GNMA CMO, | ||||||||
0.656%, 01/20/2060 (A) | 1,473 | 1,477 | ||||||
GNMA CMO, | ||||||||
0.626%, 11/20/2059 (A) | 1,266 | 1,268 | ||||||
GNMA CMO, | ||||||||
2.500%, 02/20/2043 | 2,132 | 2,110 | ||||||
GNMA CMO, | ||||||||
1.650%, 01/20/2063 | 3,608 | 3,550 | ||||||
GNMA CMO, | ||||||||
0.496%, 01/20/2063 (A) | 1,466 | 1,445 | ||||||
GNMA CMO, | ||||||||
0.676%, 01/20/2063 (A) | 1,948 | 1,942 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GNMA CMO, | ||||||||
1.650%, 02/20/2063 | $ | 1,501 | $ | 1,476 | ||||
GNMA, Ser 2013-153, Cl AB | ||||||||
2.900%, 06/16/2044 (A) | 1,617 | 1,665 | ||||||
GNMA, Ser 2013-154, Cl AB | ||||||||
2.900%, 02/16/2044 (A) | 4,881 | 5,028 | ||||||
GNMA, Ser 2013-178, Cl A | ||||||||
2.250%, 03/16/2035 | 3,170 | 3,185 | ||||||
GNMA, Ser 2013-178, Cl IO, IO | ||||||||
0.950%, 06/16/2055 (A) | 7,694 | 515 | ||||||
GNMA, Ser 2013-63, Cl IO, IO | ||||||||
0.773%, 09/16/2051 (A) | 11,870 | 826 | ||||||
GNMA TBA | ||||||||
4.500%, 12/15/2039 | 11,900 | 12,790 | ||||||
4.000%, 12/01/2039 to 01/01/2040 | 41,000 | 43,071 | ||||||
3.500%, 12/01/2040 to 12/20/2043 | 27,620 | 28,190 | ||||||
3.000%, 12/20/2043 | 14,875 | 14,527 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
2.900%, 10/29/2020 | 1,100 | 1,146 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
2.650%, 10/29/2020 | 5,477 | 5,666 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.619%, 10/07/2020 (A) | 8,861 | 8,894 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.544%, 11/06/2017 (A) | 3,857 | 3,863 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.644%, 11/05/2020 (A) | 3,003 | 3,019 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.729%, 12/08/2020 (A) | 1,298 | 1,306 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
0.734%, 12/08/2020 (A) | 465 | 470 | ||||||
0.624%, 01/08/2020 (A) | 68 | 68 | ||||||
0.574%, 02/06/2020 (A) | 790 | 795 | ||||||
NCUA Guaranteed Notes CMO, | ||||||||
2.400%, 12/08/2020 | 295 | 301 | ||||||
|
| |||||||
1,957,667 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 7.4% |
| |||||||
A10 Securitization LLC, | ||||||||
3.492%, 04/15/2024 (B) | 531 | 535 | ||||||
A10 Securitization LLC, | ||||||||
4.380%, 11/15/2027 (B) | 250 | 247 |
72 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AAM ACE Resecuritization Trust, | ||||||||
0.397%, 02/02/2037 (A) (B) | $ | 317 | $ | 309 | ||||
American General Mortgage Loan Trust, Ser 2009-1, Cl A7 | ||||||||
5.750%, 09/25/2048 (A) (B) | 1,500 | 1,523 | ||||||
American General Mortgage Loan Trust, Ser 2010-1A, Cl A1 | ||||||||
5.150%, 03/25/2058 (A) (B) | 164 | 165 | ||||||
American General Mortgage Loan Trust, Ser 2010-1A, Cl A3 | ||||||||
5.650%, 03/25/2058 (A) (B) | 570 | 591 | ||||||
American Home Mortgage Assets, | ||||||||
1.073%, 11/25/2046 (A) | 1,221 | 628 | ||||||
American Home Mortgage Assets, | ||||||||
0.291%, 03/25/2047 (A) | 75 | 57 | ||||||
ASG Resecuritization Trust, | ||||||||
4.950%, 05/24/2036 (A) (B) | 185 | 189 | ||||||
ASG Resecuritization Trust, | ||||||||
4.950%, 05/24/2036 (A) (B) | 400 | 417 | ||||||
ASG Resecuritization Trust, | ||||||||
2.300%, 03/26/2037 (A) (B) | 973 | 973 | ||||||
ASG Resecuritization Trust, | ||||||||
6.000%, 06/28/2037 (B) | 515 | 526 | ||||||
ASG Resecuritization Trust, | ||||||||
0.374%, 10/28/2036 (A) (B) | 80 | 79 | ||||||
ASG Resecuritization Trust, | ||||||||
2.468%, 11/28/2035 (A) (B) | 431 | 422 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 1A1 | ||||||||
6.000%, 01/25/2034 | 236 | 246 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 2A1 | ||||||||
6.000%, 01/25/2034 | 465 | 486 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-7, Cl 1CB1 | ||||||||
5.500%, 09/25/2033 | 335 | 344 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-7, Cl 2A4 | ||||||||
5.000%, 09/25/2018 | 356 | 361 | ||||||
Banc of America Alternative Loan Trust, Ser 2003-9, Cl 1CB2 | ||||||||
5.500%, 11/25/2033 | 232 | 236 | ||||||
Banc of America Alternative Loan Trust, Ser 2004-1, Cl 5A1 | ||||||||
5.500%, 02/25/2019 | 242 | 249 | ||||||
Banc of America Alternative Loan Trust, Ser 2004-8, Cl 3A1 | ||||||||
5.500%, 09/25/2019 | 258 | 270 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Banc of America Alternative Loan Trust, | ||||||||
6.202%, 11/25/2021 (A) | $ | 137 | $ | 134 | ||||
Banc of America Alternative Loan Trust, | ||||||||
5.418%, 04/25/2037 (A) | 352 | 285 | ||||||
Banc of America Commercial Mortgage, | ||||||||
4.512%, 12/10/2042 | 26 | 26 | ||||||
Banc of America Commercial Mortgage, | ||||||||
4.857%, 07/10/2043 (A) | 717 | 750 | ||||||
Banc of America Commercial Mortgage, | ||||||||
4.668%, 07/10/2043 | 500 | 525 | ||||||
Banc of America Commercial Mortgage, | ||||||||
4.727%, 07/10/2043 | 1,050 | 1,094 | ||||||
Banc of America Commercial Mortgage, | ||||||||
5.115%, 10/10/2045 (A) | 300 | 319 | ||||||
Banc of America Commercial Mortgage, | ||||||||
5.185%, 09/10/2047 (A) | 70 | 75 | ||||||
Banc of America Commercial Mortgage, | ||||||||
5.372%, 09/10/2045 (A) | 500 | 539 | ||||||
Banc of America Commercial Mortgage, | ||||||||
5.421%, 09/10/2045 (A) | 554 | 594 | ||||||
Banc of America Commercial Mortgage, | ||||||||
5.889%, 07/10/2044 (A) | 825 | 901 | ||||||
Banc of America Commercial Mortgage, | ||||||||
5.634%, 07/10/2046 | 800 | 873 | ||||||
Banc of America Commercial Mortgage, | ||||||||
5.414%, 09/10/2047 | 490 | 536 | ||||||
Banc of America Commercial Mortgage, | ||||||||
5.448%, 09/10/2047 | 2,370 | 2,537 | ||||||
Banc of America Funding, | ||||||||
6.500%, 06/25/2032 | 21 | 22 | ||||||
Banc of America Funding, | ||||||||
5.750%, 09/20/2034 | 287 | 303 | ||||||
Banc of America Funding, | ||||||||
5.078%, 12/20/2034 (A) | 154 | 153 | ||||||
Banc of America Funding, | ||||||||
2.919%, 04/20/2035 (A) | 3,318 | 3,039 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 73 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Banc of America Funding, | ||||||||
0.338%, 07/20/2036 (A) | $ | 2,341 | $ | 2,323 | ||||
Banc of America Funding, | ||||||||
5.538%, 08/26/2035 (A) (B) | 414 | 422 | ||||||
Banc of America Funding, | ||||||||
5.500%, 10/26/2037 (B) | 245 | 250 | ||||||
Banc of America Funding, | ||||||||
3.000%, 10/26/2039 (B) | 1,708 | 1,705 | ||||||
Banc of America Mortgage Securities, Ser 2003-3, Cl 1A7 | ||||||||
5.500%, 05/25/2033 | 427 | 440 | ||||||
Banc of America Mortgage Securities, Ser 2003-3, Cl 2A1 | ||||||||
0.716%, 05/25/2018 (A) | 109 | 105 | ||||||
Banc of America Mortgage Securities, Ser 2003-6, Cl 2A1 | ||||||||
0.616%, 08/25/2018 (A) | 88 | 87 | ||||||
Banc of America Mortgage Securities, Ser 2003-A, Cl 2A2 | ||||||||
3.187%, 02/25/2033 (A) | 3 | 3 | ||||||
Banc of America Mortgage Securities, Ser 2003-E, Cl 2A2 | ||||||||
2.856%, 06/25/2033 (A) | 218 | 218 | ||||||
Banc of America Mortgage Securities, Ser 2004-3, Cl 1A26 | ||||||||
5.500%, 04/25/2034 | 487 | 495 | ||||||
Banc of America Mortgage Securities, Ser 2004-3, Cl 3A1 | ||||||||
5.000%, 04/25/2019 | 92 | 94 | ||||||
Banc of America Mortgage Securities, Ser 2004-5, Cl 4A1 | ||||||||
4.750%, 06/25/2019 | 75 | 76 | ||||||
Banc of America Mortgage Securities, Ser 2004-9, Cl 3A1 | ||||||||
6.500%, 09/25/2032 | 79 | 83 | ||||||
Banc of America Re-REMIC Trust, | ||||||||
2.959%, 12/10/2030 (B) | 411 | 392 | ||||||
Bayview Commercial Asset Trust, | ||||||||
0.486%, 11/25/2035 (A) (B) | 4,674 | 4,004 | ||||||
Bayview Commercial Asset Trust, | ||||||||
0.396%, 12/25/2036 (A) (B) | 2,100 | 1,776 | ||||||
BB-UBS Trust, | ||||||||
3.430%, 11/05/2036 (B) | 700 | 654 | ||||||
BB-UBS Trust, Ser 2012-TFT, Cl A | ||||||||
2.892%, 06/05/2030 (B) | 1,500 | 1,434 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BCAP LLC Trust, | ||||||||
5.750%, 06/26/2037 (B) | $ | 385 | $ | 385 | ||||
BCAP LLC Trust, | ||||||||
5.500%, 04/26/2037 (A) (B) | 511 | 535 | ||||||
BCAP LLC Trust, | ||||||||
5.500%, 11/26/2034 (B) | 610 | 650 | ||||||
BCAP LLC Trust, | ||||||||
4.500%, 01/26/2036 (A) (B) | 527 | 544 | ||||||
BCAP LLC Trust, | ||||||||
5.318%, 04/26/2037 (A) (B) | 602 | 612 | ||||||
BCAP LLC Trust, | ||||||||
5.500%, 11/26/2037 (A) (B) | 38 | 38 | ||||||
BCAP LLC Trust, | ||||||||
4.988%, 04/26/2035 (A) (B) | 139 | 136 | ||||||
BCAP LLC Trust, | ||||||||
2.355%, 07/26/2045 (A) (B) | 814 | 789 | ||||||
BCAP LLC Trust, | ||||||||
0.971%, 01/26/2036 (A) (B) | 115 | 113 | ||||||
BCAP LLC Trust, | ||||||||
0.848%, 02/26/2047 (A) (B) | 247 | 240 | ||||||
BCAP LLC Trust, | ||||||||
5.073%, 05/26/2035 (A) (B) | 700 | 661 | ||||||
BCAP LLC Trust, | ||||||||
0.998%, 09/26/2037 (A) (B) | 880 | 794 | ||||||
BCAP LLC Trust, | ||||||||
5.000%, 08/26/2037 (A) (B) | 751 | 746 | ||||||
BCAP LLC Trust, | ||||||||
0.321%, 05/28/2036 (A) (B) | 683 | 634 | ||||||
BCAP LLC Trust, | ||||||||
2.679%, 07/26/2036 (A) (B) | 343 | 342 | ||||||
BCAP LLC Trust, | ||||||||
0.369%, 05/26/2036 (A) (B) | 1,538 | 1,443 | ||||||
BCAP LLC Trust, | ||||||||
0.336%, 08/26/2036 (A) (B) | 588 | 569 | ||||||
BCAP LLC Trust, | ||||||||
2.173%, 05/26/2037 (A) (B) | 562 | 555 |
74 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, | ||||||||
5.003%, 05/25/2034 (A) | $ | 104 | $ | 104 | ||||
Bear Stearns Adjustable Rate Mortgage Trust, | ||||||||
5.229%, 05/25/2034 (A) | 304 | 294 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, | ||||||||
2.210%, 08/25/2035 (A) | 311 | 311 | ||||||
Bear Stearns Alt-A Trust, | ||||||||
0.906%, 11/25/2034 (A) | 40 | 39 | ||||||
Bear Stearns Alt-A Trust, | ||||||||
2.613%, 08/25/2034 (A) | 2,526 | 2,556 | ||||||
Bear Stearns Alternative Trust, | ||||||||
2.804%, 04/25/2035 (A) | 186 | 179 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
4.945%, 02/11/2041 | 77 | 77 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
0.753%, 06/11/2041 (A) (B) | 12,873 | 120 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
4.933%, 02/13/2042 (A) | 156 | 162 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
5.443%, 03/11/2039 (A) | 300 | 325 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
5.579%, 04/12/2038 (A) | 4,815 | 5,230 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
5.537%, 10/12/2041 | 300 | 330 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
5.405%, 12/11/2040 (A) | 400 | 425 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
5.708%, 06/11/2040 (A) | 440 | 494 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
5.887%, 06/11/2050 (A) | $ | 470 | $ | 532 | ||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
6.084%, 06/11/2050 (A) | 1,050 | 1,177 | ||||||
Bear Stearns Commercial Mortgage Securities, | ||||||||
6.087%, 06/11/2050 (A) | 2,250 | 2,558 | ||||||
CD Commercial Mortgage Trust, | ||||||||
5.219%, 07/15/2044 (A) | 600 | 633 | ||||||
CD Commercial Mortgage Trust, | ||||||||
5.351%, 01/15/2046 (A) | 200 | 215 | ||||||
CD Commercial Mortgage Trust, | ||||||||
0.080%, 01/15/2046 (A) (B) | 68,329 | 91 | ||||||
CD Commercial Mortgage Trust, | ||||||||
5.293%, 12/11/2049 | 134 | 137 | ||||||
CD Commercial Mortgage Trust, | ||||||||
0.169%, 12/11/2049 (A) (B) | 38,009 | 366 | ||||||
CFCRE Commercial Mortgage Trust, Ser 2011-C1, Cl A4 | ||||||||
4.961%, 04/15/2044 (A) (B) | 2,670 | 2,917 | ||||||
Chase Mortgage Finance, | ||||||||
2.717%, 02/25/2037 (A) | 210 | 210 | ||||||
Chase Mortgage Finance, | ||||||||
2.745%, 02/25/2037 (A) | 150 | 150 | ||||||
Chase Mortgage Finance, | ||||||||
2.794%, 07/25/2037 (A) | 340 | 341 | ||||||
Chevy Chase Funding LLC Mortgage-Backed Certificates, Ser 2004-1A, Cl A1 | ||||||||
0.446%, 01/25/2035 (A) (B) | 32 | 29 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2005-C3, Cl AM | ||||||||
4.830%, 05/15/2043 (A) | 440 | 460 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2013-GC11, Cl AAB | ||||||||
2.690%, 04/10/2046 | 638 | 628 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
3.117%, 02/25/2034 (A) | 56 | 52 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 75 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
4.573%, 05/25/2034 (A) (B) | $ | 553 | $ | 574 | ||||
Citigroup Mortgage Loan Trust, | ||||||||
3.796%, 08/25/2034 (A) | 134 | 134 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
5.500%, 05/25/2035 | 300 | 302 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
2.917%, 11/25/2038 (A) (B) | 682 | 689 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
2.427%, 09/25/2033 (A) (B) | 438 | 446 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
5.750%, 05/25/2037 (A) (B) | 604 | 623 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
6.000%, 06/25/2036 (B) | 1,068 | 1,092 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
2.612%, 02/25/2035 (A) (B) | 184 | 186 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
4.000%, 11/25/2036 (B) | 1,470 | 1,483 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
4.500%, 12/25/2036 (B) | 1,613 | 1,659 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
0.356%, 02/25/2046 (A) (B) | 459 | 430 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
2.500%, 06/25/2051 (B) | 729 | 710 | ||||||
COBALT CMBS Commercial Mortgage Trust, | ||||||||
5.223%, 08/15/2048 | 1,070 | 1,162 | ||||||
COBALT CMBS Commercial Mortgage Trust, | ||||||||
5.526%, 04/15/2047 (A) | 520 | 578 | ||||||
COMM Mortgage Trust, | ||||||||
2.972%, 08/10/2046 | 150 | 156 | ||||||
COMM Mortgage Trust, | ||||||||
4.210%, 08/10/2046 (A) | 1,200 | 1,253 | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
4.982%, 05/10/2043 (A) | 600 | 627 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
4.205%, 07/10/2046 (B) | $ | 1,153 | $ | 1,238 | ||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
1.947%, 08/15/2045 (A) | 1,209 | 137 | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
2.822%, 11/15/2045 | 90 | 86 | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
2.122%, 11/17/2026 (A) (B) | 330 | 330 | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
1.295%, 10/10/2046 | 312 | 313 | ||||||
Commercial Mortgage Pass- Through Certificates, | ||||||||
4.046%, 10/10/2046 | 3,506 | 3,585 | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
4.300%, 10/10/2046 | 440 | 448 | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
3.623%, 10/10/2046 | 1,867 | 1,927 | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
4.762%, 10/01/2046 | 190 | 194 | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
5.086%, 10/10/2046 | 90 | 91 | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
1.344%, 07/10/2045 | 1,462 | 1,470 | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
3.424%, 03/10/2031 (B) | 1,270 | 1,225 | ||||||
Commercial Mortgage Trust, | ||||||||
3.069%, 12/10/2044 | 927 | 958 | ||||||
Commercial Mortgage Trust, | ||||||||
1.468%, 10/10/2046 | 742 | 746 |
76 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Commercial Mortgage Trust, | ||||||||
4.258%, 10/10/2046 | $ | 2,621 | $ | 2,728 | ||||
Commercial Mortgage Trust, | ||||||||
4.715%, 10/10/2046 | 938 | 991 | ||||||
Commercial Mortgage Trust, | ||||||||
5.340%, 10/10/2046 (B) | 362 | 326 | ||||||
Commercial Mortgage Trust, | ||||||||
3.834%, 07/10/2045 | 1,983 | 2,082 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
5.500%, 10/25/2033 | 1,485 | 1,571 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
6.000%, 12/25/2034 | 1,547 | 1,490 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
6.000%, 02/25/2034 | 137 | 140 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
6.500%, 11/25/2031 | 529 | 554 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
0.000%, 11/25/2031 | 207 | 177 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
1.248%, 08/25/2035 (A) | 670 | 446 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
5.000%, 10/25/2033 | 548 | 564 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
2.998%, 12/25/2033 (A) | 378 | 371 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
5.250%, 01/25/2034 | 806 | 832 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
9.558%, 08/25/2018 (A) | 41 | 42 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
4.949%, 08/25/2034 (A) | 553 | 555 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
2.713%, 09/25/2034 (A) | 58 | 46 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
5.500%, 06/25/2034 | $ | 478 | $ | 498 | ||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
4.500%, 06/25/2019 | 400 | 413 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
5.250%, 12/25/2027 | 584 | 557 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
0.566%, 09/25/2035 (A) (B) | 3,499 | 3,049 | ||||||
Credit Suisse Commercial Mortgage Trust, | ||||||||
5.615%, 01/15/2049 (A) | 1,465 | 1,566 | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
5.250%, 11/25/2033 | 638 | 645 | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
5.250%, 11/25/2033 | 282 | 284 | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
7.000%, 12/25/2033 | 208 | 224 | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
6.000%, 11/25/2018 | 319 | 331 | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
5.500%, 09/25/2034 | 427 | 457 | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
5.500%, 12/25/2034 | 508 | 538 | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
2.644%, 06/25/2034 (A) | 417 | 413 | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
4.829%, 11/15/2037 | 445 | 456 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 77 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
4.730%, 07/15/2037 | $ | 400 | $ | 416 | ||||
Credit Suisse First Boston Mortgage Securities, | ||||||||
5.100%, 08/15/2038 (A) | 1,039 | 1,094 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C2, Cl A3 | ||||||||
5.669%, 03/15/2039 (A) | 825 | 892 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3 | ||||||||
5.311%, 12/15/2039 | 869 | 946 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
2.542%, 09/26/2046 (A) (B) | 209 | 208 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2010-16, Cl A3 | ||||||||
4.250%, 06/25/2050 (A) (B) | 400 | 396 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
4.750%, 05/27/2037 (B) | 12 | 12 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
3.500%, 12/27/2036 (A) (B) | 201 | 205 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-1R, Cl A1 | ||||||||
1.169%, 02/27/2047 (A) (B) | 451 | 449 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
2.704%, 07/28/2036 (A) (B) | 481 | 475 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-7R, Cl A1 | ||||||||
1.419%, 08/28/2047 (A) (B) | 404 | 404 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2011-9R, Cl A1 | ||||||||
2.169%, 03/27/2046 (A) (B) | 1,222 | 1,225 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
1.179%, 06/28/2047 (A) (B) | 3,785 | 3,720 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
3.250%, 07/27/2037 (A) (B) | 802 | 815 | ||||||
DBRR Trust, | ||||||||
4.537%, 07/12/2044 (A) (B) | 2,845 | 3,043 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
DBRR Trust, Ser 2012-EZ1, Cl A | ||||||||
0.946%, 09/25/2045 (B) | $ | 184 | $ | 184 | ||||
DBUBS Mortgage Trust, | ||||||||
3.742%, 11/10/2046 (B) | 1,302 | 1,368 | ||||||
DBUBS Mortgage Trust, | ||||||||
5.002%, 11/10/2046 (B) | 2,055 | 2,297 | ||||||
DBUBS Mortgage Trust, | ||||||||
4.537%, 07/10/2044 (B) | 2,176 | 2,359 | ||||||
DBUBS Mortgage Trust, | ||||||||
1.439%, 08/10/2044 (A) (B) | 6,514 | 230 | ||||||
Deutsche Mortgage Securities, | ||||||||
0.309%, 04/26/2037 (A) (B) | 126 | 124 | ||||||
Deutsche Securities Alternative Loan Trust, Ser 2005-1, Cl 2A1 | ||||||||
5.673%, 02/25/2020 (A) | 190 | 198 | ||||||
Developers Diversified Realty, | ||||||||
3.807%, 10/14/2022 (B) | 2,558 | 2,607 | ||||||
DSLA Mortgage Loan Trust, | ||||||||
0.568%, 11/19/2044 (A) | 1,479 | 1,093 | ||||||
Extended Stay America Trust, | ||||||||
2.958%, 12/05/2031 (B) | 550 | 540 | ||||||
FDIC Trust, | ||||||||
4.500%, 10/25/2018 (B) | 98 | 99 | ||||||
FDIC Structured Sale Guaranteed Notes, Ser 2010-C1, Cl A | ||||||||
2.980%, 12/06/2020 (B) | 679 | 704 | ||||||
FDIC Structured Sale Guaranteed Notes, Ser 2010-S1, Cl 1A | ||||||||
0.730%, 02/25/2048 (A) (B) | 2,183 | 2,188 | ||||||
First Horizon Alternative Mortgage Securities, Ser 2004-AA3, Cl A1 | ||||||||
2.193%, 09/25/2034 (A) | 428 | 424 | ||||||
First Horizon Asset Securities, | ||||||||
4.500%, 09/25/2018 | 230 | 236 | ||||||
Fontainebleau Miami Beach Trust, | ||||||||
2.887%, 05/05/2027 (B) | 1,011 | 1,020 | ||||||
GE Business Loan Trust, | ||||||||
0.538%, 11/15/2031 (A) (B) | 3,740 | 3,581 | ||||||
GE Business Loan Trust, | ||||||||
0.668%, 11/15/2033 (A) (B) | 1,513 | 1,327 |
78 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GE Capital Commercial Mortgage, | ||||||||
4.772%, 06/10/2048 (A) | $ | 75 | $ | 78 | ||||
GE Capital Commercial Mortgage, | ||||||||
4.826%, 06/10/2048 (A) | 1,000 | 1,035 | ||||||
GE Capital Commercial Mortgage, | ||||||||
4.846%, 06/10/2048 (A) | 500 | 512 | ||||||
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl A4 | ||||||||
5.238%, 11/10/2045 (A) | 700 | 738 | ||||||
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl AM | ||||||||
5.290%, 11/10/2045 (A) | 2,690 | 2,852 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
2.992%, 10/19/2033 (A) | 1,017 | 1,032 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
5.000%, 10/25/2033 | 341 | 355 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
5.000%, 11/25/2033 | 507 | 516 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
6.500%, 01/25/2035 | 411 | 437 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
5.000%, 01/25/2020 | 154 | 158 | ||||||
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A7 | ||||||||
5.317%, 06/10/2036 (A) | 934 | 940 | ||||||
Greenwich Capital Commercial Funding, Ser 2005-GG3, Cl AJ | ||||||||
4.859%, 08/10/2042 (A) | 220 | 228 | ||||||
Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl A5 | ||||||||
5.224%, 04/10/2037 (A) | 1,678 | 1,777 | ||||||
Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl AM | ||||||||
5.828%, 07/10/2038 (A) | 1,160 | 1,273 | ||||||
GS Mortgage Securities, | ||||||||
4.753%, 03/10/2044 (B) | 1,068 | 1,175 | ||||||
GS Mortgage Securities, | ||||||||
4.176%, 07/10/2046 (A) | 370 | 385 | ||||||
GS Mortgage Securities, | ||||||||
2.706%, 12/10/2027 (B) | 299 | 298 | ||||||
GS Mortgage Securities, | ||||||||
3.551%, 04/10/2034 (B) | 329 | 328 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GS Mortgage Securities II, | ||||||||
4.751%, 07/10/2039 | $ | 2,038 | $ | 2,119 | ||||
GS Mortgage Securities II, | ||||||||
5.553%, 04/10/2038 (A) | 1,000 | 1,082 | ||||||
GS Mortgage Securities II, | ||||||||
0.574%, 11/10/2039 (A) (B) | 9,476 | 132 | ||||||
GS Mortgage Securities II, | ||||||||
5.799%, 08/10/2046 (A) | 1,538 | 1,701 | ||||||
GS Mortgage Securities II, | ||||||||
2.999%, 08/10/2044 | 55 | 57 | ||||||
GS Mortgage Securities II, | ||||||||
3.707%, 08/10/2044 | 10,105 | 10,447 | ||||||
GS Mortgage Securities II, | ||||||||
1.730%, 08/10/2044 (A) (B) | 2,128 | 155 | ||||||
GS Mortgage Securities II, | ||||||||
2.943%, 02/10/2046 | 900 | 856 | ||||||
GS Mortgage Securities Trust | ||||||||
4.244%, 11/10/2046 | 1,760 | 1,835 | ||||||
3.814%, 11/10/2046 | 2,356 | 2,462 | ||||||
GS Mortgage Securities Trust, | ||||||||
4.243%, 08/10/2046 | 200 | 209 | ||||||
GS Mortgage Securities Trust, | ||||||||
4.653%, 11/01/2046 | 890 | 925 | ||||||
GS Mortgage Securities Trust, | ||||||||
4.272%, 11/01/2046 | 3,110 | 3,243 | ||||||
GS Mortgage Securities Trust, | ||||||||
5.161%, 11/01/2046 | 720 | 748 | ||||||
GSMPS Mortgage Loan Trust, | ||||||||
8.000%, 09/19/2027 (A) (B) | 3 | 3 | ||||||
GSMPS Mortgage Loan Trust, | ||||||||
0.516%, 09/25/2035 (A) (B) | 490 | 407 | ||||||
GSMPS Mortgage Loan Trust, | ||||||||
4.889%, 09/25/2035 (A) (B) | 392 | 56 | ||||||
GSR Mortgage Loan Trust, | ||||||||
6.000%, 09/25/2034 | 450 | 470 | ||||||
GSR Mortgage Loan Trust, | ||||||||
0.666%, 06/25/2035 (A) | 77 | 72 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 79 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GSR Mortgage Loan Trust, | ||||||||
5.500%, 01/25/2037 | $ | 90 | $ | 87 | ||||
Homestar Mortgage Acceptance, | ||||||||
0.616%, 10/25/2034 (A) | 694 | 685 | ||||||
Impac CMB Trust, | ||||||||
0.470%, 05/25/2035 (A) | 318 | 318 | ||||||
Impac CMB Trust, | ||||||||
0.566%, 05/25/2037 (A) | 3,126 | 2,800 | ||||||
Impac Funding LLC, | ||||||||
5.314%, 01/25/2051 (B) | 5,128 | 5,744 | ||||||
Impac Secured Assets CMN Owner Trust, | ||||||||
5.500%, 08/25/2033 | 505 | 531 | ||||||
Impac Secured Assets CMN Owner Trust, | ||||||||
0.516%, 05/25/2036 (A) | 421 | 415 | ||||||
Impac Secured Assets CMN Owner Trust, | ||||||||
0.516%, 08/25/2036 (A) | 974 | 942 | ||||||
Indymac INDA Mortgage Loan Trust, | ||||||||
2.832%, 11/25/2037 (A) | 1,176 | 1,073 | ||||||
Indymac Index Mortgage Loan Trust, | ||||||||
2.741%, 10/25/2034 (A) | 21 | 21 | ||||||
Indymac Index Mortgage Loan Trust, Ser 2004-AR7, Cl A2 | ||||||||
1.026%, 09/25/2034 (A) | 35 | 29 | ||||||
Indymac Index Mortgage Loan Trust, | ||||||||
0.966%, 11/25/2034 (A) | 55 | 49 | ||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
1.085%, 07/15/2045 | 1,418 | 1,418 | ||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
3.019%, 08/15/2046 | 2,624 | 2,725 | ||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
3.761%, 08/15/2046 (A) | 1,457 | 1,520 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
4.420%, 11/15/2045 | $ | 1,000 | $ | 1,038 | ||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
5.251%, 11/15/2045 (A) | 410 | 417 | ||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
5.251%, 11/15/2045 (A) (B) | 480 | 437 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.115%, 07/15/2041 | 1,903 | 1,933 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.389%, 08/12/2037 (A) | 700 | 735 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
4.678%, 07/15/2042 | 198 | 198 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
4.918%, 10/15/2042 (A) | 3,233 | 3,417 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.481%, 12/12/2044 (A) | 1,588 | 1,704 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
0.236%, 06/12/2043 (A) | 48,442 | 296 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.429%, 12/12/2043 | 2,529 | 2,755 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.399%, 05/15/2045 | 580 | 636 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.134%, 05/15/2047 | 342 | 346 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
0.323%, 05/15/2047 (A) | 715 | 715 |
80 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.716%, 02/15/2051 | $ | 1,533 | $ | 1,701 | ||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.875%, 02/12/2051 (A) | 475 | 538 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
4.070%, 11/15/2043 (B) | 1,280 | 1,357 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
3.300%, 08/05/2032 (B) | 877 | 923 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
4.311%, 08/05/2032 (B) | 1,668 | 1,778 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
4.388%, 07/15/2046 (B) | 1,725 | 1,862 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
3.149%, 08/15/2046 | 740 | 775 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
2.379%, 10/15/2045 | 1,501 | 1,466 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
1.303%, 01/15/2046 | 619 | 623 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
2.665%, 01/15/2046 | 2,302 | 2,360 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
3.414%, 01/15/2046 | 499 | 513 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
1.568%, 10/15/2030 (A) (B) | 1,550 | 1,552 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
2.718%, 10/15/2030 (A) (B) | 1,190 | 1,191 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.440%, 06/12/2047 | $ | 150 | $ | 166 | ||||
JPMorgan Mortgage Trust, | ||||||||
2.755%, 07/25/2034 (A) | 106 | 107 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.155%, 06/25/2034 (A) | 1,434 | 1,425 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.769%, 09/25/2034 (A) | 107 | 108 | ||||||
JPMorgan Mortgage Trust, | ||||||||
3.930%, 02/25/2035 (A) | 533 | 536 | ||||||
JPMorgan Mortgage Trust, | ||||||||
3.204%, 04/25/2035 (A) | 263 | 263 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.754%, 06/25/2035 (A) | 538 | 536 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.734%, 08/25/2034 (A) | 811 | 810 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.643%, 11/25/2033 (A) | 851 | 857 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.726%, 08/25/2034 (A) | 434 | 433 | ||||||
JPMorgan Re-REMIC, | ||||||||
2.710%, 09/26/2036 (A) (B) | 266 | 268 | ||||||
JPMorgan Re-REMIC, | ||||||||
1.867%, 08/26/2035 (A) (B) | 193 | 192 | ||||||
LB Commercial Conduit Mortgage Trust, Ser 2007-C3, Cl A3 | ||||||||
5.874%, 07/15/2044 (A) | 844 | 857 | ||||||
LB Commercial Mortgage Trust, | ||||||||
5.884%, 07/15/2044 (A) | 380 | 425 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2004-C7, Cl A5 | ||||||||
4.628%, 10/15/2029 | 21 | 21 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2004-C8, Cl A6 | ||||||||
4.799%, 12/15/2029 (A) | 419 | 427 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl A4 | ||||||||
5.156%, 02/15/2031 | 350 | 375 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 81 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl XCL, IO | ||||||||
0.531%, 02/15/2041 (A) (B) | $ | 22,889 | $ | 167 | ||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C4, Cl A4 | ||||||||
5.858%, 06/15/2038 (A) | 450 | 494 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A4 | ||||||||
5.424%, 02/15/2040 | 134 | 149 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl AM | ||||||||
5.455%, 02/15/2040 | 150 | 164 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C7, Cl AM | ||||||||
6.164%, 09/15/2045 (A) | 500 | 576 | ||||||
LVII Resecuritization Trust, | ||||||||
5.034%, 11/27/2037 (A) (B) | 300 | 310 | ||||||
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A7 | ||||||||
2.619%, 11/21/2034 (A) | 1,308 | 1,348 | ||||||
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A7A | ||||||||
2.619%, 11/21/2034 (A) | 9,614 | 9,994 | ||||||
Master Alternative Loans Trust, | ||||||||
5.500%, 05/25/2034 | 1,501 | 1,574 | ||||||
Master Reperforming Loan Trust, | ||||||||
6.000%, 08/25/2034 (B) | 2,383 | 2,449 | ||||||
Master Reperforming Loan Trust, | ||||||||
0.526%, 07/25/2035 (A) (B) | 1,080 | 916 | ||||||
Master Seasoned Securities Trust, | ||||||||
2.426%, 10/25/2032 (A) | 97 | 97 | ||||||
MASTR Adjustable Rate Mortgages Trust, Ser 2004-5, Cl 3A1 | ||||||||
2.842%, 06/25/2034 (A) | 27 | 25 | ||||||
MASTR Alternative Loans Trust, | ||||||||
6.000%, 12/25/2033 | 227 | 241 | ||||||
MASTR Alternative Loans Trust, | ||||||||
6.250%, 07/25/2036 | 612 | 508 | ||||||
MASTR Asset Securitization Trust, | ||||||||
5.250%, 12/25/2033 | 559 | 582 | ||||||
MASTR Asset Securitization Trust, | ||||||||
5.000%, 03/25/2018 | 41 | 41 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MASTR Asset Securitization Trust, | ||||||||
5.500%, 04/25/2033 | $ | 209 | $ | 213 | ||||
MASTR Reperforming Loan Trust, | ||||||||
0.516%, 05/25/2035 (A) (B) | 484 | 408 | ||||||
MASTR Resecuritization Trust, | ||||||||
0.000%, 05/28/2035 (B) | 148 | 118 | ||||||
MASTR Seasoned Securities Trust, | ||||||||
2.619%, 10/25/2032 (A) | 10 | 10 | ||||||
Merrill Lynch Mortgage Investors Trust, Ser 2004-1, Cl 2A1 | ||||||||
2.175%, 12/25/2034 (A) | 473 | 470 | ||||||
Merrill Lynch Mortgage Investors, | ||||||||
2.654%, 07/25/2033 (A) | 116 | 118 | ||||||
Merrill Lynch Mortgage Investors, | ||||||||
0.873%, 04/25/2029 (A) | 323 | 311 | ||||||
Merrill Lynch Mortgage Investors, | ||||||||
2.472%, 02/25/2034 (A) | 137 | 136 | ||||||
Merrill Lynch Mortgage Investors, | ||||||||
5.102%, 02/25/2034 (A) | 1,146 | 1,149 | ||||||
Merrill Lynch Mortgage Investors, | ||||||||
2.493%, 08/25/2034 (A) | 252 | 256 | ||||||
Merrill Lynch Mortgage Investors, | ||||||||
2.016%, 05/25/2029 (A) | 491 | 493 | ||||||
Merrill Lynch Mortgage Investors, | ||||||||
1.093%, 09/25/2029 (A) | 367 | 365 | ||||||
Merrill Lynch Mortgage Investors, | ||||||||
2.145%, 04/25/2035 (A) | 46 | 44 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
4.949%, 07/12/2038 (A) | 1,069 | 1,097 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
5.291%, 01/12/2044 (A) | 1,105 | 1,183 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
5.367%, 01/12/2044 (A) | 480 | 516 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
2.497%, 02/25/2036 (A) | 284 | 264 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
5.679%, 05/12/2039 (A) | 505 | 552 |
82 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
5.852%, 06/12/2050 (A) | $ | 30 | $ | 34 | ||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, | ||||||||
5.204%, 12/12/2049 | 460 | 503 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, | ||||||||
0.196%, 12/12/2049 (A) (B) | 14,713 | 171 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, | ||||||||
5.378%, 08/12/2048 | 900 | 988 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, | ||||||||
5.485%, 03/12/2051 (A) | 1,080 | 1,199 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-9, Cl A4 | ||||||||
5.700%, 09/12/2049 (C) | 1,930 | 2,162 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
2.825%, 08/15/2045 | 1,481 | 1,475 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
1.892%, 08/15/2045 (A) (B) | 5,100 | 495 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
2.506%, 11/15/2045 | 3,654 | 3,576 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
1.394%, 07/15/2046 | 2,893 | 2,911 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
4.083%, 07/15/2046 (A) | 1,600 | 1,661 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
3.912%, 07/15/2046 (A) | 394 | 416 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
4.367%, 08/15/2046 (A) | 830 | 869 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
2.943%, 02/15/2046 | $ | 670 | $ | 638 | ||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
2.469%, 02/15/2046 | 829 | 807 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
3.446%, 02/15/2046 | 707 | 670 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
3.456%, 05/15/2046 | 420 | 404 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
3.085%, 08/15/2046 | 4,109 | 4,289 | ||||||
Morgan Stanley Capital I Trust, | ||||||||
4.661%, 06/15/2044 (B) | 1,540 | 1,687 | ||||||
Morgan Stanley Capital I, | ||||||||
4.970%, 04/14/2040 | 1,496 | 1,518 | ||||||
Morgan Stanley Capital I, | ||||||||
5.037%, 01/14/2042 | 53 | 53 | ||||||
Morgan Stanley Capital I, | ||||||||
5.183%, 11/14/2042 (A) | 22 | 22 | ||||||
Morgan Stanley Capital I, | ||||||||
5.162%, 10/12/2052 (A) | 5,645 | 6,045 | ||||||
Morgan Stanley Capital I, | ||||||||
5.810%, 08/12/2041 (A) | 6,350 | 7,029 | ||||||
Morgan Stanley Capital I, | ||||||||
0.218%, 02/12/2044 (A) (B) | 35,860 | 187 | ||||||
Morgan Stanley Capital I, | ||||||||
5.911%, 06/11/2049 (A) | 1,000 | 1,124 | ||||||
Morgan Stanley Capital I, | ||||||||
5.647%, 06/11/2042 (A) | 300 | 340 | ||||||
Morgan Stanley Capital I, | ||||||||
3.224%, 07/15/2049 | 1,620 | 1,702 | ||||||
Morgan Stanley Capital I, | ||||||||
4.054%, 07/15/2049 | 340 | 365 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 83 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Morgan Stanley Capital I, | ||||||||
4.118%, 07/15/2049 | $ | 950 | $ | 1,005 | ||||
Morgan Stanley Mortgage Loan Trust, Ser 2004-3, Cl 4A | ||||||||
5.701%, 04/25/2034 (A) | 456 | 475 | ||||||
Morgan Stanley Mortgage Loan Trust, Ser 2007-3XS, Cl 2A3S | ||||||||
5.858%, 01/25/2047 | 25 | 18 | ||||||
Morgan Stanley Mortgage Loan Trust, Ser 2007-6XS, Cl 2A1S | ||||||||
0.276%, 02/25/2047 (A) | 121 | 108 | ||||||
Morgan Stanley Re-REMIC Trust, | ||||||||
4.970%, 04/16/2040 (B) | 1,026 | 1,036 | ||||||
Morgan Stanley Re-REMIC Trust, | ||||||||
2.500%, 03/23/2051 (B) | 473 | 479 | ||||||
Morgan Stanley Re-REMIC Trust, | ||||||||
1.000%, 03/27/2051 (B) | 1,040 | 1,040 | ||||||
Morgan Stanley Re-REMIC Trust, | ||||||||
2.000%, 07/27/2049 (B) | 2,274 | 2,290 | ||||||
Morgan Stanley Re-REMIC Trust, | ||||||||
0.250%, 07/27/2049 (B) | 400 | 330 | ||||||
Motel 6 Trust, | ||||||||
1.948%, 10/05/2025 (B) | 4,434 | 4,388 | ||||||
New York Mortgage Trust, | ||||||||
2.822%, 05/25/2036 (A) | 447 | 390 | ||||||
Nomura Resecuritization Trust, | ||||||||
2.520%, 03/26/2036 (A) (B) | 474 | 475 | ||||||
Normandy Mortgage Loan Trust, | ||||||||
4.949%, 09/16/2043 | 1,494 | 1,494 | ||||||
NorthStar Mortgage Trust, | ||||||||
1.368%, 08/25/2029 (A) (B) | 969 | 969 | ||||||
Northstar, Ser 2013-1A, Cl A | ||||||||
2.042%, 07/25/2029 (A) (B) | 784 | 785 | ||||||
Northstar, Ser 2013-1A, Cl B | ||||||||
5.166%, 08/25/2029 (A) (B) | 500 | 497 | ||||||
Prime Mortgage Trust, | ||||||||
6.000%, 02/25/2034 | 180 | 190 | ||||||
Prime Mortgage Trust, | ||||||||
0.000%, 02/25/2034 | 48 | 41 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Prime Mortgage Trust, | ||||||||
5.500%, 05/25/2035 (B) | $ | 2,074 | $ | 1,991 | ||||
RALI Trust, Ser 2005-QO5, Cl A1 | ||||||||
1.148%, 01/25/2046 (A) | 1,184 | 832 | ||||||
RAMP Trust, Ser 2004-SL1, Cl A7 | ||||||||
7.000%, 11/25/2031 | 130 | 137 | ||||||
RAMP Trust, Ser 2005-SL1, Cl A5 | ||||||||
6.500%, 05/25/2032 | 48 | 46 | ||||||
RBSSP Resecuritization Trust, | ||||||||
4.000%, 06/27/2021 (B) | 229 | 232 | ||||||
RBSSP Resecuritization Trust, | ||||||||
4.000%, 05/26/2037 (A) (B) | 547 | 561 | ||||||
RBSSP Resecuritization Trust, | ||||||||
0.316%, 09/26/2036 (A) (B) | 726 | 659 | ||||||
RCMC LLC, Ser 2012-CRE1, Cl A | ||||||||
5.624%, 11/15/2044 (B) | 885 | 888 | ||||||
Residential Accredit Loans, | ||||||||
5.500%, 08/25/2033 | 696 | 717 | ||||||
Residential Accredit Loans, | ||||||||
5.000%, 09/25/2018 | 211 | 217 | ||||||
Residential Accredit Loans, | ||||||||
5.750%, 10/25/2033 | 306 | 327 | ||||||
Residential Accredit Loans, | ||||||||
5.500%, 05/25/2034 | 1,684 | 1,720 | ||||||
Residential Accredit Loans, | ||||||||
1.508%, 09/25/2045 (A) | 841 | 673 | ||||||
Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8 | ||||||||
6.500%, 11/25/2031 | 487 | 502 | ||||||
Residential Asset Mortgage Products, Ser 2004-SL3, Cl A2 | ||||||||
6.500%, 12/25/2031 | 770 | 783 | ||||||
Residential Asset Securitization Trust, | ||||||||
5.500%, 06/25/2033 | 295 | 309 | ||||||
Residential Asset Securitization Trust, | ||||||||
2.553%, 12/25/2034 (A) | 1,152 | 1,153 | ||||||
Residential Funding Mortgage Securities I, | ||||||||
5.750%, 03/25/2033 | 254 | 256 | ||||||
Salomon Brothers Mortgage Securities VII, | ||||||||
2.621%, 09/25/2033 (A) | 419 | 422 |
84 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Sequoia Mortgage Trust, | ||||||||
0.729%, 01/20/2035 (A) | $ | 714 | $ | 642 | ||||
Sequoia Mortgage Trust, | ||||||||
3.750%, 02/25/2040 (A) | — | — | ||||||
Sequoia Mortgage Trust, | ||||||||
4.125%, 02/25/2041 (A) | 114 | 114 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
4.050%, 01/25/2058 (A) (B) | 608 | 633 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
5.450%, 01/25/2058 (A) (B) | 1,000 | 1,086 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
2.667%, 09/25/2057 (A) (B) | 274 | 280 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
6.000%, 09/25/2057 (A) (B) | 700 | 734 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
2.220%, 10/25/2057 (A) (B) | 1,007 | 1,027 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
6.000%, 10/25/2057 (A) (B) | 800 | 840 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
1.570%, 12/25/2059 (A) (B) | 1,397 | 1,394 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
2.660%, 12/25/2059 (A) (B) | 432 | 427 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
3.560%, 12/25/2059 (A) (B) | 330 | 323 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
4.440%, 12/25/2059 (A) (B) | 253 | 253 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
5.300%, 12/25/2059 (A) (B) | 121 | 122 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
1.780%, 12/25/2065 (A) (B) | 1,197 | 1,194 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, | ||||||||
4.856%, 06/25/2034 (A) | 404 | 403 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, | ||||||||
0.486%, 10/25/2035 (A) | 3,484 | 3,022 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Structured Asset Mortgage Investments II Trust, | ||||||||
0.648%, 04/19/2035 (A) | $ | 2,619 | $ | 2,426 | ||||
Structured Asset Mortgage Investments, | ||||||||
0.828%, 10/19/2034 (A) | 269 | 254 | ||||||
Structured Asset Securities, | ||||||||
2.185%, 10/25/2031 (A) | 52 | 52 | ||||||
Structured Asset Securities, | ||||||||
0.666%, 06/25/2033 (A) | 195 | 191 | ||||||
Structured Asset Securities, | ||||||||
2.463%, 10/25/2033 (A) | 7,545 | 7,560 | ||||||
Structured Asset Securities, | ||||||||
5.530%, 11/25/2033 (A) | 108 | 110 | ||||||
Structured Asset Securities, | ||||||||
5.500%, 10/25/2033 | 542 | 555 | ||||||
Structured Asset Securities, | ||||||||
4.202%, 12/25/2033 (A) | 174 | 173 | ||||||
Structured Asset Securities, | ||||||||
5.540%, 12/25/2033 | 578 | 595 | ||||||
Thornburg Mortgage Securities Trust, Ser 2003-4, Cl A1 | ||||||||
0.806%, 09/25/2043 (A) | 466 | 447 | ||||||
TIAA Seasoned Commercial Mortgage Trust, | ||||||||
5.570%, 08/15/2039 (A) | 1,302 | 1,341 | ||||||
UBS-BAMLL Trust, | ||||||||
3.663%, 06/10/2030 (B) | 866 | 837 | ||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
2.788%, 04/10/2046 | 3,380 | 3,345 | ||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
3.525%, 05/10/2063 | 416 | 418 | ||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
1.800%, 05/10/2063 (A) (B) | 3,675 | 334 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 85 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
2.728%, 08/10/2049 | $ | 2,058 | $ | 2,051 | ||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
3.317%, 12/10/2045 (B) | 590 | 561 | ||||||
Vendee Mortgage Trust CMO, | ||||||||
7.250%, 02/15/2023 | 1,765 | 2,064 | ||||||
Vericrest Opportunity Loan Transferee, | ||||||||
2.734%, 11/25/2060 (A) (B) | 1,043 | 1,049 | ||||||
VNO Mortgage Trust, | ||||||||
2.996%, 11/15/2030 (B) | 877 | 831 | ||||||
Volt CMO, Ser 2013-NPL5, Cl A1 | ||||||||
3.625%, 04/25/2055 | 875 | 872 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
5.012%, 12/15/2035 (A) | 2 | 2 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
5.118%, 07/15/2042 (A) | 123 | 130 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
5.289%, 12/15/2044 (A) | 1,000 | 1,071 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
0.185%, 06/15/2045 (A) (B) | 80,515 | 168 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
5.383%, 12/15/2043 | 560 | 608 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
2.496%, 01/25/2033 (A) | 297 | 298 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
1.548%, 06/25/2042 (A) | 23 | 21 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
2.428%, 10/25/2033 (A) | 352 | 358 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
2.440%, 06/25/2033 (A) | $ | 340 | $ | 344 | ||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
2.309%, 08/25/2033 (A) | 290 | 291 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
2.427%, 08/25/2033 (A) | 193 | 193 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
2.427%, 09/25/2033 (A) | 628 | 634 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
2.457%, 09/25/2033 (A) | 236 | 237 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
5.000%, 02/25/2018 | 106 | 107 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
4.500%, 12/25/2018 | 141 | 144 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
17.006%, 06/25/2033 (A) | 58 | 69 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
5.250%, 10/25/2033 | 1,106 | 1,146 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
2.453%, 06/25/2034 (A) | 175 | 176 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
2.453%, 06/25/2034 (A) | 229 | 230 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
5.500%, 08/25/2019 | 352 | 365 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
0.566%, 03/25/2034 (A) | 21 | 21 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
5.500%, 06/25/2034 | 665 | 693 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
0.456%, 10/25/2045 (A) | 2,854 | 2,603 |
86 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
0.446%, 11/25/2045 (A) | $ | 4,523 | $ | 4,096 | ||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
0.456%, 12/25/2045 (A) | 4,225 | 3,775 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
1.218%, 01/25/2046 (A) | 2,640 | 695 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
2.456%, 10/25/2046 (A) | 1,016 | 957 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
2.254%, 11/25/2036 (A) | 316 | 263 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
0.959%, 12/25/2046 (A) | 458 | 262 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
2.456%, 12/25/2046 (A) | 482 | 461 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
2.435%, 02/25/2037 (A) | 3,711 | 2,982 | ||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates, | ||||||||
5.500%, 05/25/2035 | 545 | 147 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates, | ||||||||
5.750%, 02/25/2033 | 62 | 64 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates, | ||||||||
0.000%, 05/25/2033 | 77 | 68 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates, | ||||||||
0.000%, 04/25/2033 | 206 | 198 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2013-LC12, Cl A4 | ||||||||
4.218%, 07/15/2046 (A) | 280 | 292 | ||||||
Wells Fargo Mortgage Loan Trust, | ||||||||
2.847%, 08/27/2037 (A) (B) | 324 | 326 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
5.500%, 01/25/2034 | $ | 276 | $ | 290 | ||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.518%, 11/25/2033 (A) | 336 | 340 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
4.754%, 02/25/2034 (A) | 228 | 228 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
4.500%, 05/25/2034 (A) | 57 | 57 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.617%, 12/25/2034 (A) | 485 | 488 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.617%, 12/25/2034 (A) | 323 | 327 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.730%, 12/25/2034 (A) | 153 | 153 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.730%, 12/25/2034 (A) | 229 | 231 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.699%, 07/25/2034 (A) | 548 | 551 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
4.966%, 08/25/2034 (A) | 162 | 165 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.614%, 09/25/2034 (A) | 923 | 932 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.633%, 10/25/2034 (A) | 440 | 451 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.633%, 10/25/2034 (A) | 352 | 358 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 87 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
5.000%, 01/25/2020 | $ | 150 | $ | 154 | ||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
5.000%, 11/25/2020 | 107 | 109 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
5.335%, 08/25/2035 (A) | 351 | 359 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.681%, 06/25/2035 (A) | 654 | 663 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.640%, 10/25/2033 (A) | 201 | 200 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
5.517%, 11/25/2036 (A) | 484 | 469 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.642%, 04/25/2036 (A) | 548 | 540 | ||||||
Wells Fargo Re-REMIC Trust, | ||||||||
1.750%, 08/20/2021 (B) | 855 | 853 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2011-C2, Cl XA, IO | ||||||||
1.126%, 02/15/2044 (A) (B) | 8,077 | 325 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2011-C3, Cl A4 | ||||||||
4.375%, 03/15/2044 (B) | 600 | 640 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2011-C5, Cl A4 | ||||||||
3.667%, 11/15/2044 | 4,610 | 4,744 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2012-C7, Cl A2 | ||||||||
3.431%, 06/15/2045 | 4,920 | 4,902 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2012-C7, Cl XA, IO | ||||||||
1.594%, 06/15/2045 (A) (B) | 3,183 | 311 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2012-C8, Cl A3 | ||||||||
3.001%, 08/15/2045 | 3,740 | 3,618 | ||||||
|
| |||||||
432,275 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities | 2,389,942 | |||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 27.3% |
| |||||||
Consumer Discretionary — 1.6% | ||||||||
Best Buy | ||||||||
5.000%, 08/01/2018 (C) | $ | 237 | $ | 246 | ||||
CBS | ||||||||
8.875%, 05/15/2019 | 125 | 160 | ||||||
7.875%, 07/30/2030 | 160 | 197 | ||||||
5.750%, 04/15/2020 | 92 | 104 | ||||||
4.300%, 02/15/2021 | 250 | 259 | ||||||
Comcast | ||||||||
6.500%, 01/15/2015 | 2,795 | 2,980 | ||||||
6.500%, 01/15/2017 | 5,055 | 5,840 | ||||||
6.500%, 11/15/2035 (C) | 300 | 346 | ||||||
6.450%, 03/15/2037 | 200 | 231 | ||||||
5.850%, 11/15/2015 | 648 | 713 | ||||||
4.950%, 06/15/2016 | 4,125 | 4,534 | ||||||
4.650%, 07/15/2042 | 170 | 156 | ||||||
4.250%, 01/15/2033 | 1,045 | 967 | ||||||
3.125%, 07/15/2022 | 133 | 128 | ||||||
Comcast Cable Communications Holdings | ||||||||
9.455%, 11/15/2022 | 850 | 1,189 | ||||||
Comcast Cable Communications LLC | ||||||||
8.875%, 05/01/2017 | 150 | 187 | ||||||
CVS | ||||||||
5.789%, 01/10/2026 (B) | 1,636 | 1,817 | ||||||
CVS Caremark | ||||||||
6.125%, 09/15/2039 | 140 | 159 | ||||||
4.125%, 05/15/2021 | 360 | 377 | ||||||
2.750%, 12/01/2022 | 230 | 212 | ||||||
CVS Lease Pass-Through | ||||||||
6.036%, 12/10/2028 (B) | 2,275 | 2,513 | ||||||
CVS Pass-Through Trust | ||||||||
5.926%, 01/10/2034 (B) | 319 | 346 | ||||||
5.880%, 01/10/2028 | 154 | 168 | ||||||
Daimler Finance North America LLC | ||||||||
2.625%, 09/15/2016 (B) | 389 | 404 | ||||||
2.375%, 08/01/2018 (B) | 4,730 | 4,756 | ||||||
1.875%, 09/15/2014 (B) | 1,956 | 1,976 | ||||||
1.875%, 01/11/2018 (B) | 1,466 | 1,460 | ||||||
1.650%, 04/10/2015 (B) | 337 | 340 | ||||||
1.300%, 07/31/2015 (B) | 3,340 | 3,361 | ||||||
DIRECTV Holdings | ||||||||
3.800%, 03/15/2022 | 1,035 | 990 | ||||||
Discovery Communications | ||||||||
4.950%, 05/15/2042 | 115 | 107 | ||||||
Ford Motor | ||||||||
4.750%, 01/15/2043 | 2,160 | 1,931 | ||||||
Ford Motor Credit LLC | ||||||||
4.375%, 08/06/2023 | 3,165 | 3,206 | ||||||
Gap | ||||||||
5.950%, 04/12/2021 (C) | 514 | 570 |
88 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
General Motors | ||||||||
6.250%, 10/02/2043 (B) | $ | 615 | $ | 624 | ||||
4.875%, 10/02/2023 (B) | 1,170 | 1,176 | ||||||
3.500%, 10/02/2018 (B) | 3,070 | 3,124 | ||||||
Glencore Funding LLC | ||||||||
2.500%, 01/15/2019 (B) | 985 | 951 | ||||||
Historic TW | ||||||||
9.150%, 02/01/2023 | 500 | 673 | ||||||
Home Depot | ||||||||
3.750%, 02/15/2024 | 2,440 | 2,456 | ||||||
Johnson Controls | ||||||||
5.250%, 12/01/2041 | 440 | 436 | ||||||
4.250%, 03/01/2021 | 265 | 274 | ||||||
3.750%, 12/01/2021 | 289 | 291 | ||||||
Kohl’s | ||||||||
6.250%, 12/15/2017 | 255 | 295 | ||||||
Lowe’s MTN | ||||||||
7.110%, 05/15/2037 | 400 | 496 | ||||||
5.125%, 11/15/2041 | 48 | 50 | ||||||
LVMH Louis Vuitton Moet Hennessy | ||||||||
1.625%, 06/29/2017 (B) | 2,557 | 2,577 | ||||||
Macy’s Retail Holdings | ||||||||
7.450%, 07/15/2017 | 120 | 143 | ||||||
6.900%, 04/01/2029 | 100 | 113 | ||||||
5.125%, 01/15/2042 | 54 | 51 | ||||||
4.300%, 02/15/2043 | 153 | 128 | ||||||
2.875%, 02/15/2023 | 232 | 210 | ||||||
McDonald’s MTN | ||||||||
5.350%, 03/01/2018 | 1,200 | 1,383 | ||||||
NBC Universal Enterprise | ||||||||
1.974%, 04/15/2019 (B) | 1,600 | 1,574 | ||||||
NBC Universal Media | ||||||||
5.950%, 04/01/2041 | 200 | 218 | ||||||
4.375%, 04/01/2021 | 150 | 161 | ||||||
Newell Rubbermaid | ||||||||
4.700%, 08/15/2020 | 176 | 186 | ||||||
News America | ||||||||
6.200%, 12/15/2034 | 265 | 292 | ||||||
Nissan Motor Acceptance | ||||||||
1.800%, 03/15/2018 (B) | 255 | 252 | ||||||
Thomson Reuters | ||||||||
4.700%, 10/15/2019 | 250 | 274 | ||||||
Time Warner | ||||||||
7.700%, 05/01/2032 | 170 | 215 | ||||||
7.625%, 04/15/2031 | 3,085 | 3,843 | ||||||
6.500%, 11/15/2036 | 50 | 56 | ||||||
6.250%, 03/29/2041 | 627 | 688 | ||||||
5.375%, 10/15/2041 | 37 | 37 | ||||||
4.750%, 03/29/2021 | 920 | 990 | ||||||
4.700%, 01/15/2021 | 670 | 721 | ||||||
Time Warner Cable | ||||||||
8.250%, 04/01/2019 | 3,525 | 4,138 | ||||||
7.300%, 07/01/2038 | 400 | 395 | ||||||
6.750%, 07/01/2018 | 120 | 135 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.550%, 05/01/2037 | $ | 3,426 | $ | 3,153 | ||||
5.875%, 11/15/2040 | 350 | 298 | ||||||
5.500%, 09/01/2041 | 1,013 | 821 | ||||||
4.125%, 02/15/2021 (C) | 110 | 104 | ||||||
4.000%, 09/01/2021 | 326 | 303 | ||||||
Time Warner Entertainment | ||||||||
8.375%, 07/15/2033 | 100 | 109 | ||||||
Toyota Motor Credit MTN | ||||||||
2.000%, 10/24/2018 | 1,660 | 1,669 | ||||||
TRW Automotive | ||||||||
4.450%, 12/01/2023 (B) | 1,705 | 1,692 | ||||||
Viacom | ||||||||
5.850%, 09/01/2043 | 1,650 | 1,718 | ||||||
4.250%, 09/01/2023 | 3,165 | 3,197 | ||||||
3.875%, 12/15/2021 | 294 | 295 | ||||||
3.250%, 03/15/2023 | 44 | 41 | ||||||
2.500%, 09/01/2018 | 875 | 886 | ||||||
Volkswagen International Finance | ||||||||
2.375%, 03/22/2017 (B) | 146 | 150 | ||||||
2.125%, 11/20/2018 (B) | 2,865 | 2,874 | ||||||
1.125%, 11/18/2016 (B) | 3,035 | 3,041 | ||||||
Wal-Mart Stores | ||||||||
5.800%, 02/15/2018 | 1,760 | 2,059 | ||||||
Walt Disney MTN | ||||||||
0.450%, 12/01/2015 | 125 | 125 | ||||||
Yum! Brands | ||||||||
5.350%, 11/01/2043 | 590 | 571 | ||||||
|
| |||||||
95,662 | ||||||||
|
| |||||||
Consumer Staples — 1.8% |
| |||||||
Altria Group | ||||||||
9.250%, 08/06/2019 | 2,120 | 2,828 | ||||||
5.375%, 01/31/2044 | 1,230 | 1,223 | ||||||
4.750%, 05/05/2021 | 1,260 | 1,354 | ||||||
4.000%, 01/31/2024 | 840 | 827 | ||||||
2.850%, 08/09/2022 | 1,690 | 1,557 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
7.750%, 01/15/2019 | 7,240 | 9,134 | ||||||
5.375%, 01/15/2020 | 2,360 | 2,715 | ||||||
2.500%, 07/15/2022 (C) | 2,086 | 1,929 | ||||||
Bunge Finance | ||||||||
8.500%, 06/15/2019 | 350 | 436 | ||||||
5.900%, 04/01/2017 | 107 | 118 | ||||||
Cargill | ||||||||
6.000%, 11/27/2017 (B) | 500 | 578 | ||||||
Coca-Cola | ||||||||
2.450%, 11/01/2020 | 3,335 | 3,290 | ||||||
Coca-Cola Femsa | ||||||||
2.375%, 11/26/2018 | 2,020 | 2,022 | ||||||
ConAgra Foods | ||||||||
2.100%, 03/15/2018 | 86 | 86 | ||||||
1.900%, 01/25/2018 | 1,900 | 1,890 | ||||||
1.300%, 01/25/2016 | 1,251 | 1,258 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 89 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Diageo Capital | ||||||||
4.828%, 07/15/2020 | $ | 300 | $ | 333 | ||||
1.125%, 04/29/2018 | 7,810 | 7,618 | ||||||
Diageo Investment | ||||||||
2.875%, 05/11/2022 | 3,730 | 3,569 | ||||||
ERAC USA Finance LLC | ||||||||
6.700%, 06/01/2034 (B) | 221 | 249 | ||||||
5.625%, 03/15/2042 (B) | 1,876 | 1,906 | ||||||
2.750%, 03/15/2017 (B) | 175 | 182 | ||||||
1.400%, 04/15/2016 (B) | 11 | 11 | ||||||
Fomento Economico Mexicano | ||||||||
4.375%, 05/10/2043 | 683 | 573 | ||||||
2.875%, 05/10/2023 | 625 | 557 | ||||||
GlaxoSmithKline Capital | ||||||||
4.375%, 04/15/2014 | 200 | 203 | ||||||
Heineken | ||||||||
1.400%, 10/01/2017 (B) | 2,435 | 2,412 | ||||||
Howard Hughes Medical Institute | ||||||||
3.500%, 09/01/2023 | 143 | 142 | ||||||
Imperial Tobacco Finance | ||||||||
2.050%, 02/11/2018 (B) | 790 | 786 | ||||||
Japan Tobacco | ||||||||
2.100%, 07/23/2018 (B) | 1,545 | 1,555 | ||||||
Kellogg | ||||||||
3.125%, 05/17/2022 | 178 | 172 | ||||||
1.750%, 05/17/2017 | 805 | 814 | ||||||
Kimberly-Clark | ||||||||
2.400%, 03/01/2022 | 36 | 34 | ||||||
Kraft Foods | ||||||||
6.500%, 08/11/2017 | 300 | 354 | ||||||
6.125%, 02/01/2018 | 380 | 446 | ||||||
5.375%, 02/10/2020 | 2,073 | 2,344 | ||||||
Kraft Foods Group | ||||||||
6.500%, 02/09/2040 | 1,105 | 1,296 | ||||||
6.125%, 08/23/2018 | 700 | 826 | ||||||
5.375%, 02/10/2020 | 982 | 1,116 | ||||||
5.000%, 06/04/2042 | 176 | 172 | ||||||
3.500%, 06/06/2022 | 8,345 | 8,158 | ||||||
Kroger | ||||||||
7.500%, 04/01/2031 | 610 | 745 | ||||||
6.150%, 01/15/2020 | 525 | 608 | ||||||
5.400%, 07/15/2040 | 45 | 45 | ||||||
2.200%, 01/15/2017 | 80 | 82 | ||||||
Lorillard Tobacco | ||||||||
8.125%, 06/23/2019 | 570 | 704 | ||||||
Mallinckrodt International Finance | ||||||||
4.750%, 04/15/2023 (B) | 3,500 | 3,280 | ||||||
Molson Coors Brewing | ||||||||
3.500%, 05/01/2022 | 220 | 218 | ||||||
Novartis Capital | ||||||||
2.400%, 09/21/2022 | 200 | 185 | ||||||
PepsiCo | ||||||||
7.900%, 11/01/2018 | 339 | 432 | ||||||
3.000%, 08/25/2021 | 181 | 178 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
2.750%, 03/05/2022 | $ | 1,370 | $ | 1,301 | ||||
2.250%, 01/07/2019 | 2,590 | 2,612 | ||||||
1.250%, 08/13/2017 | 359 | 357 | ||||||
0.700%, 08/13/2015 | 2,550 | 2,557 | ||||||
Pernod-Ricard | ||||||||
5.750%, 04/07/2021 (B) | 1,212 | 1,345 | ||||||
4.450%, 01/15/2022 (B) | 1,890 | 1,936 | ||||||
4.250%, 07/15/2022 (B) | 790 | 796 | ||||||
Pharmacia | ||||||||
8.700%, 10/15/2021 | 350 | 443 | ||||||
Philip Morris International | ||||||||
5.650%, 05/16/2018 | 510 | 594 | ||||||
2.900%, 11/15/2021 | 1,920 | 1,865 | ||||||
2.500%, 08/22/2022 | 1,780 | 1,632 | ||||||
Reynolds American | ||||||||
3.250%, 11/01/2022 | 810 | 752 | ||||||
SABMiller Holdings | ||||||||
3.750%, 01/15/2022 (B) | 565 | 572 | ||||||
2.450%, 01/15/2017 (B) | 200 | 206 | ||||||
Skandinaviska Enskilda Banken | ||||||||
2.375%, 11/20/2018 (B) | 4,005 | 4,028 | ||||||
Teva Pharmaceutical Finance BV | ||||||||
3.650%, 11/10/2021 | 940 | 922 | ||||||
Teva Pharmaceutical Finance IV BV | ||||||||
3.650%, 11/10/2021 | 190 | 186 | ||||||
Teva Pharmaceutical Finance IV LLC | ||||||||
2.250%, 03/18/2020 | 969 | 918 | ||||||
Tyson Foods | ||||||||
4.500%, 06/15/2022 | 1,530 | 1,557 | ||||||
Walgreen | ||||||||
3.100%, 09/15/2022 (C) | 234 | 220 | ||||||
WM Wrigley Jr | ||||||||
3.375%, 10/21/2020 (B) | 2,040 | 2,057 | ||||||
2.900%, 10/21/2019 (B) | 2,893 | 2,926 | ||||||
2.400%, 10/21/2018 (B) | 1,120 | 1,129 | ||||||
2.000%, 10/20/2017 (B) | 575 | 579 | ||||||
|
| |||||||
105,040 | ||||||||
|
| |||||||
Energy — 3.0% | ||||||||
Alberta Energy | ||||||||
7.375%, 11/01/2031 | 200 | 235 | ||||||
Anadarko Holding | ||||||||
7.150%, 05/15/2028 (C) | 150 | 180 | ||||||
Anadarko Petroleum | ||||||||
8.700%, 03/15/2019 | 150 | 196 | ||||||
7.625%, 03/15/2014 | 450 | 459 | ||||||
6.950%, 06/15/2019 | 90 | 110 | ||||||
6.375%, 09/15/2017 | 3,220 | 3,758 | ||||||
5.950%, 09/15/2016 | 190 | 214 | ||||||
ANR Pipeline | ||||||||
9.625%, 11/01/2021 | 100 | 139 |
90 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Apache | ||||||||
6.900%, 09/15/2018 | $ | 180 | $ | 221 | ||||
5.625%, 01/15/2017 | 370 | 419 | ||||||
4.750%, 04/15/2043 | 115 | 113 | ||||||
3.250%, 04/15/2022 | 76 | 76 | ||||||
2.625%, 01/15/2023 | 231 | 215 | ||||||
Arch Coal | ||||||||
7.000%, 06/15/2019 (C) | 380 | 291 | ||||||
Baker Hughes | ||||||||
7.500%, 11/15/2018 | 2,020 | 2,531 | ||||||
5.125%, 09/15/2040 | 81 | 86 | ||||||
BG Energy Capital | ||||||||
5.125%, 10/15/2041 (B) | 200 | 202 | ||||||
4.000%, 10/15/2021 (B) | 2,775 | 2,872 | ||||||
BP Capital Markets | ||||||||
3.875%, 03/10/2015 | 630 | 657 | ||||||
3.625%, 05/08/2014 | 100 | 101 | ||||||
3.561%, 11/01/2021 | 110 | 111 | ||||||
3.245%, 05/06/2022 (C) | 1,480 | 1,450 | ||||||
2.248%, 11/01/2016 | 159 | 165 | ||||||
1.846%, 05/05/2017 (C) | 429 | 438 | ||||||
1.375%, 11/06/2017 | 132 | 132 | ||||||
Burlington Resources | ||||||||
8.200%, 03/15/2025 | 400 | 534 | ||||||
Canadian Natural Resources | ||||||||
7.200%, 01/15/2032 | 150 | 182 | ||||||
6.450%, 06/30/2033 | 200 | 227 | ||||||
5.700%, 05/15/2017 | 228 | 259 | ||||||
Canadian Oil Sands | ||||||||
6.000%, 04/01/2042 (B) | 1,238 | 1,261 | ||||||
4.500%, 04/01/2022 (B) | 894 | 901 | ||||||
Cenovus Energy | ||||||||
4.450%, 09/15/2042 | 77 | 69 | ||||||
3.000%, 08/15/2022 | 45 | 42 | ||||||
Chevron | ||||||||
3.191%, 06/24/2023 | 95 | 93 | ||||||
2.427%, 06/24/2020 | 157 | 156 | ||||||
1.718%, 06/24/2018 | 4,485 | 4,493 | ||||||
CNOOC Finance 2013 | ||||||||
3.000%, 05/09/2023 | 253 | 231 | ||||||
1.750%, 05/09/2018 | 1,285 | 1,268 | ||||||
1.125%, 05/09/2016 | 200 | 199 | ||||||
Conoco Funding | ||||||||
6.950%, 04/15/2029 | 1,135 | 1,457 | ||||||
ConocoPhillips | ||||||||
6.000%, 01/15/2020 | 460 | 542 | ||||||
5.750%, 02/01/2019 | 50 | 59 | ||||||
DCP Midstream Operating | ||||||||
4.950%, 04/01/2022 | 1,129 | 1,147 | ||||||
Devon Energy | ||||||||
6.300%, 01/15/2019 | 330 | 387 | ||||||
5.600%, 07/15/2041 (C) | 1,800 | 1,871 | ||||||
4.750%, 05/15/2042 | 157 | 145 | ||||||
3.250%, 05/15/2022 | 2,490 | 2,395 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Devon Financing | ||||||||
7.875%, 09/30/2031 | $ | 520 | $ | 669 | ||||
Diamond Offshore Drilling | ||||||||
4.875%, 11/01/2043 | 1,170 | 1,147 | ||||||
Ecopetrol | ||||||||
7.375%, 09/18/2043 | 1,780 | 1,928 | ||||||
El Paso | ||||||||
6.950%, 06/01/2028 | 2,250 | 2,056 | ||||||
El Paso Pipeline Partners Operating LLC | ||||||||
6.500%, 04/01/2020 | 3,327 | 3,860 | ||||||
4.100%, 11/15/2015 | 1,730 | 1,827 | ||||||
Encana | ||||||||
6.500%, 05/15/2019 (C) | 250 | 297 | ||||||
5.150%, 11/15/2041 | 2,525 | 2,385 | ||||||
Energen | ||||||||
4.625%, 09/01/2021 | 1,623 | 1,616 | ||||||
Energy Transfer Partners | ||||||||
8.250%, 11/15/2029 (B) | 4,295 | 5,179 | ||||||
6.500%, 02/01/2042 | 609 | 659 | ||||||
5.950%, 10/01/2043 | 970 | 993 | ||||||
5.150%, 02/01/2043 | 410 | 376 | ||||||
3.259%, 11/01/2066 (A) (B) | 485 | 441 | ||||||
Eni | ||||||||
5.700%, 10/01/2040 (B) | 900 | 857 | ||||||
Enterprise Products Operating LLC | ||||||||
9.750%, 01/31/2014 | 3,190 | 3,237 | ||||||
EOG Resources | ||||||||
4.100%, 02/01/2021 | 300 | 318 | ||||||
2.625%, 03/15/2023 | 88 | 81 | ||||||
Halliburton | ||||||||
6.150%, 09/15/2019 | 300 | 363 | ||||||
2.000%, 08/01/2018 | 2,120 | 2,130 | ||||||
Hess | ||||||||
8.125%, 02/15/2019 | 2,490 | 3,129 | ||||||
7.875%, 10/01/2029 | 215 | 271 | ||||||
Husky Energy | ||||||||
7.250%, 12/15/2019 | 919 | 1,128 | ||||||
Kerr-McGee | ||||||||
6.950%, 07/01/2024 | 3,495 | 4,176 | ||||||
Kinder Morgan Energy Partners | ||||||||
5.000%, 12/15/2013 | 1,030 | 1,031 | ||||||
5.000%, 03/01/2043 (C) | 1,350 | 1,256 | ||||||
Murphy Oil | ||||||||
3.700%, 12/01/2022 | 1,910 | 1,786 | ||||||
Nabors Industries | ||||||||
5.000%, 09/15/2020 (C) | 310 | 326 | ||||||
National Oilwell Varco | ||||||||
1.350%, 12/01/2017 | 81 | 80 | ||||||
Newfield Exploration | ||||||||
5.625%, 07/01/2024 | 435 | 434 | ||||||
Noble Energy | ||||||||
4.150%, 12/15/2021 | 2,080 | 2,161 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 91 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Noble Holding International | ||||||||
5.250%, 03/15/2042 | $ | 119 | $ | 113 | ||||
3.950%, 03/15/2022 | 40 | 39 | ||||||
Occidental Petroleum | ||||||||
3.125%, 02/15/2022 | 1,180 | 1,155 | ||||||
2.700%, 02/15/2023 | 1,144 | 1,060 | ||||||
1.750%, 02/15/2017 | 153 | 155 | ||||||
ONEOK Partners | ||||||||
6.200%, 09/15/2043 | 805 | 864 | ||||||
3.200%, 09/15/2018 | 1,170 | 1,209 | ||||||
2.000%, 10/01/2017 | 1,295 | 1,296 | ||||||
Panhandle Eastern Pipeline | ||||||||
8.125%, 06/01/2019 | 1,161 | 1,421 | ||||||
Pemex Project Funding Master Trust | ||||||||
6.625%, 06/15/2035 | 5,602 | 5,742 | ||||||
Petrobras Global Finance | ||||||||
4.375%, 05/20/2023 | 196 | 178 | ||||||
1.857%, 05/20/2016 (A) (C) | 6,000 | 5,951 | ||||||
Petrobras Global Finance BV | ||||||||
3.000%, 01/15/2019 | 3,200 | 3,039 | ||||||
2.000%, 05/20/2016 | 1,910 | 1,914 | ||||||
Petrobras International Finance | ||||||||
7.875%, 03/15/2019 | 200 | 231 | ||||||
6.750%, 01/27/2041 | 150 | 143 | ||||||
6.125%, 10/06/2016 | 1,300 | 1,422 | ||||||
5.750%, 01/20/2020 | 1,127 | 1,172 | ||||||
5.375%, 01/27/2021 (C) | 4,680 | 4,695 | ||||||
Petrobras International Finance - PifCo | ||||||||
3.875%, 01/27/2016 | 1,480 | 1,530 | ||||||
Petro-Canada | ||||||||
7.875%, 06/15/2026 | 100 | 132 | ||||||
6.800%, 05/15/2038 | 3,850 | 4,629 | ||||||
6.050%, 05/15/2018 | 260 | 304 | ||||||
Petroleos Mexicanos | ||||||||
5.500%, 06/27/2044 | 1,015 | 899 | ||||||
4.875%, 01/18/2024 | 730 | 727 | ||||||
3.500%, 01/30/2023 (C) | 3,155 | 2,874 | ||||||
2.266%, 07/18/2018 (A) | 785 | 811 | ||||||
Phillips 66 | ||||||||
4.300%, 04/01/2022 | 57 | 59 | ||||||
2.950%, 05/01/2017 | 76 | 79 | ||||||
Plains Exploration & Production | ||||||||
6.875%, 02/15/2023 | 90 | 100 | ||||||
6.500%, 11/15/2020 | 350 | 383 | ||||||
QEP Resources | ||||||||
5.375%, 10/01/2022 | 550 | 531 | ||||||
Rowan | ||||||||
5.400%, 12/01/2042 | 806 | 730 | ||||||
Schlumberger Investment | ||||||||
3.650%, 12/01/2023 | 163 | 164 | ||||||
3.300%, 09/14/2021 (B) | 317 | 317 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Shell International Finance | ||||||||
6.375%, 12/15/2038 | $ | 1,180 | $ | 1,454 | ||||
3.625%, 08/21/2042 | 291 | 247 | ||||||
3.100%, 06/28/2015 | 165 | 172 | ||||||
Shell International Finance BV | ||||||||
4.375%, 03/25/2020 | 80 | 88 | ||||||
4.300%, 09/22/2019 | 1,000 | 1,112 | ||||||
3.400%, 08/12/2023 | 2,145 | 2,110 | ||||||
2.000%, 11/15/2018 | 3,143 | 3,169 | ||||||
Sinopec Group Overseas Development 2012 | ||||||||
2.750%, 05/17/2017 (B) | 1,150 | 1,188 | ||||||
Spectra Energy Capital LLC | ||||||||
8.000%, 10/01/2019 | 702 | 856 | ||||||
5.650%, 03/01/2020 | 400 | 436 | ||||||
Spectra Energy Partners | ||||||||
5.950%, 09/25/2043 (C) | 530 | 564 | ||||||
2.950%, 09/25/2018 | 875 | 895 | ||||||
Statoil | ||||||||
5.250%, 04/15/2019 | 460 | 528 | ||||||
4.250%, 11/23/2041 | 80 | 74 | ||||||
3.700%, 03/01/2024 | 1,100 | 1,101 | ||||||
3.150%, 01/23/2022 | 100 | 98 | ||||||
3.125%, 08/17/2017 | 200 | 213 | ||||||
2.900%, 11/08/2020 | 4,565 | 4,599 | ||||||
2.450%, 01/17/2023 | 159 | 146 | ||||||
Talisman Energy | ||||||||
7.750%, 06/01/2019 | 390 | 471 | ||||||
3.750%, 02/01/2021 | 740 | 713 | ||||||
TC Pipelines | ||||||||
4.650%, 06/15/2021 | 1,177 | 1,192 | ||||||
Tennessee Gas Pipeline | ||||||||
8.375%, 06/15/2032 | 2,000 | 2,632 | ||||||
8.000%, 02/01/2016 | 3,205 | 3,643 | ||||||
Texas Eastern Transmission | ||||||||
2.800%, 10/15/2022 (B) | 415 | 377 | ||||||
Tosco | ||||||||
8.125%, 02/15/2030 | 100 | 139 | ||||||
7.800%, 01/01/2027 | 210 | 282 | ||||||
Total Capital | ||||||||
4.125%, 01/28/2021 | 74 | 79 | ||||||
2.300%, 03/15/2016 | 300 | 311 | ||||||
Total Capital Canada | ||||||||
1.450%, 01/15/2018 | 3,715 | 3,702 | ||||||
Total Capital International | ||||||||
2.875%, 02/17/2022 | 138 | 133 | ||||||
1.550%, 06/28/2017 | 150 | 152 | ||||||
0.750%, 01/25/2016 | 45 | 45 | ||||||
TransCanada Pipelines | ||||||||
7.125%, 01/15/2019 | 200 | 245 | ||||||
6.500%, 08/15/2018 | 425 | 508 | ||||||
Transocean | ||||||||
7.350%, 12/15/2041 | 33 | 38 | ||||||
6.500%, 11/15/2020 (C) | 485 | 549 |
92 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.375%, 12/15/2021 | $ | 2,501 | $ | 2,810 | ||||
5.050%, 12/15/2016 | 580 | 640 | ||||||
Valero Energy | ||||||||
7.500%, 04/15/2032 | 710 | 849 | ||||||
Weatherford International | ||||||||
9.875%, 03/01/2039 | 250 | 347 | ||||||
6.750%, 09/15/2040 | 200 | 214 | ||||||
6.500%, 08/01/2036 | 83 | 86 | ||||||
5.950%, 04/15/2042 | 440 | 437 | ||||||
5.125%, 09/15/2020 | 110 | 118 | ||||||
4.500%, 04/15/2022 (C) | 1,017 | 1,028 | ||||||
Western Gas Partners | ||||||||
5.375%, 06/01/2021 | 454 | 488 | ||||||
Williams | ||||||||
8.750%, 03/15/2032 | 2,162 | 2,661 | ||||||
7.875%, 09/01/2021 | 1,262 | 1,493 | ||||||
7.750%, 06/15/2031 | 339 | 382 | ||||||
7.500%, 01/15/2031 | 9 | 10 | ||||||
Williams Partners | ||||||||
5.250%, 03/15/2020 | 510 | 556 | ||||||
WPX Energy | ||||||||
6.000%, 01/15/2022 | 1,045 | 1,050 | ||||||
|
| |||||||
172,984 | ||||||||
|
| |||||||
Financials — 12.9% | ||||||||
ABB Treasury Center USA | ||||||||
2.500%, 06/15/2016 (B) | 2,795 | 2,896 | ||||||
Abbey National Treasury Services | ||||||||
2.875%, 04/25/2014 | 750 | 757 | ||||||
ACE INA Holdings | ||||||||
5.875%, 06/15/2014 | 290 | 298 | ||||||
5.600%, 05/15/2015 | 380 | 407 | ||||||
Aegon, Ser CMS | ||||||||
2.956%, 07/29/2049 (A) | 2,180 | 1,786 | ||||||
Aflac | ||||||||
8.500%, 05/15/2019 | 165 | 214 | ||||||
6.450%, 08/15/2040 | 92 | 110 | ||||||
4.000%, 02/15/2022 | 227 | 232 | ||||||
AIG SunAmerica Global Financing X | ||||||||
6.900%, 03/15/2032 (B) | 450 | 554 | ||||||
Allstate | ||||||||
5.000%, 08/15/2014 | 300 | 310 | ||||||
3.150%, 06/15/2023 | 1,375 | 1,326 | ||||||
Ally Financial | ||||||||
5.500%, 02/15/2017 | 750 | 812 | ||||||
American Express | ||||||||
7.000%, 03/19/2018 | 500 | 604 | ||||||
American Express Credit MTN | ||||||||
5.125%, 08/25/2014 | 3,280 | 3,394 | ||||||
2.800%, 09/19/2016 | 389 | 409 | ||||||
2.375%, 03/24/2017 | 120 | 125 | ||||||
1.750%, 06/12/2015 | 3,760 | 3,826 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
American Honda Finance MTN | ||||||||
7.625%, 10/01/2018 (B) | $ | 150 | $ | 187 | ||||
3.875%, 09/21/2020 (B) | 2,840 | 2,983 | ||||||
2.600%, 09/20/2016 (B) | 246 | 257 | ||||||
1.000%, 08/11/2015 (B) | 2,400 | 2,415 | ||||||
American International Group | ||||||||
8.250%, 08/15/2018 | 1,260 | 1,595 | ||||||
8.175%, 05/15/2058 (A) | 400 | 480 | ||||||
6.400%, 12/15/2020 | 1,045 | 1,245 | ||||||
6.250%, 03/15/2037 | 3,530 | 3,530 | ||||||
American Tower | ||||||||
5.050%, 09/01/2020‡ (C) | 1,067 | 1,130 | ||||||
4.500%, 01/15/2018‡ | 1,479 | 1,595 | ||||||
3.500%, 01/31/2023‡ (C) | 1,336 | 1,226 | ||||||
American Tower Trust I | ||||||||
1.551%, 03/15/2018‡ (B) | 135 | 132 | ||||||
Anadarko Finance | ||||||||
7.500%, 05/01/2031 | 313 | 391 | ||||||
ANZ New Zealand International | ||||||||
3.125%, 08/10/2015 (B) | 190 | 198 | ||||||
1.850%, 10/15/2015 (B) | 950 | 967 | ||||||
Aon | ||||||||
6.250%, 09/30/2040 | 79 | 91 | ||||||
3.500%, 09/30/2015 | 46 | 48 | ||||||
3.125%, 05/27/2016 | 235 | 246 | ||||||
Associates Corp of North America | ||||||||
6.950%, 11/01/2018 | 418 | 501 | ||||||
Assurant | ||||||||
2.500%, 03/15/2018 | 1,675 | 1,662 | ||||||
Australia & New Zealand Banking Group | ||||||||
4.875%, 01/12/2021 (B) | 137 | 150 | ||||||
3.250%, 03/01/2016 (B) | 200 | 211 | ||||||
2.400%, 11/23/2016 (B) | 453 | 472 | ||||||
0.494%, 10/29/2049 (A) | 1,400 | 851 | ||||||
AvalonBay Communities | ||||||||
3.625%, 10/01/2020‡ | 540 | 551 | ||||||
Bank of America | ||||||||
7.625%, 06/01/2019 | 175 | 219 | ||||||
7.375%, 05/15/2014 | 980 | 1,010 | ||||||
6.500%, 08/01/2016 | 7,125 | 8,089 | ||||||
6.100%, 06/15/2017 | 6,825 | 7,737 | ||||||
6.000%, 09/01/2017 | 1,930 | 2,209 | ||||||
5.750%, 12/01/2017 | 3,310 | 3,791 | ||||||
5.650%, 05/01/2018 (C) | 1,350 | 1,545 | ||||||
5.625%, 10/14/2016 | 7,865 | 8,810 | ||||||
5.625%, 07/01/2020 | 375 | 429 | ||||||
5.420%, 03/15/2017 | 4,530 | 5,018 | ||||||
5.000%, 05/13/2021 | 75 | 82 | ||||||
4.500%, 04/01/2015 | 5,460 | 5,725 | ||||||
4.100%, 07/24/2023 (C) | 4,057 | 4,073 | ||||||
3.875%, 03/22/2017 (C) | 610 | 656 | ||||||
3.300%, 01/11/2023 | 313 | 296 | ||||||
2.600%, 01/15/2019 | 5,760 | 5,821 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 93 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
1.500%, 10/09/2015 | $ | 5,605 | $ | 5,661 | ||||
1.125%, 11/14/2016 | 5,495 | 5,508 | ||||||
0.554%, 06/15/2017 (A) | 2,710 | 2,648 | ||||||
0.534%, 06/15/2016 (A) | 2,700 | 2,668 | ||||||
Bank of Montreal MTN | ||||||||
2.550%, 11/06/2022 | 511 | 473 | ||||||
1.400%, 09/11/2017 | 689 | 686 | ||||||
1.300%, 10/31/2014 (B) | 321 | 324 | ||||||
Bank of New York Mellon MTN | ||||||||
4.600%, 01/15/2020 | 160 | 175 | ||||||
3.550%, 09/23/2021 (C) | 144 | 147 | ||||||
3.100%, 01/15/2015 | 125 | 129 | ||||||
2.950%, 06/18/2015 (C) | 500 | 519 | ||||||
2.400%, 01/17/2017 | 398 | 412 | ||||||
Bank of Nova Scotia | ||||||||
3.400%, 01/22/2015 | 478 | 494 | ||||||
1.650%, 10/29/2015 (B) (C) | 355 | 363 | ||||||
1.375%, 12/18/2017 | 300 | 297 | ||||||
Bank of Tokyo-Mitsubishi UFJ | ||||||||
3.850%, 01/22/2015 (B) | 707 | 731 | ||||||
2.350%, 02/23/2017 (B) | 295 | 302 | ||||||
Barclays Bank | ||||||||
6.050%, 12/04/2017 (B) (C) | 850 | 959 | ||||||
5.200%, 07/10/2014 | 350 | 360 | ||||||
5.000%, 09/22/2016 | 4,970 | 5,507 | ||||||
2.500%, 09/21/2015 (B) | 365 | 377 | ||||||
2.250%, 05/10/2017 (B) | 221 | 230 | ||||||
0.519%, 08/07/2049 (A) | 380 | 216 | ||||||
BB&T MTN | ||||||||
6.850%, 04/30/2019 | 115 | 141 | ||||||
4.900%, 06/30/2017 | 400 | 443 | ||||||
3.950%, 04/29/2016 (C) | 555 | 595 | ||||||
BBVA US Senior SAU | ||||||||
4.664%, 10/09/2015 | 1,640 | 1,728 | ||||||
3.250%, 05/16/2014 | 2,680 | 2,704 | ||||||
Bear Stearns | ||||||||
7.250%, 02/01/2018 (C) | 3,430 | 4,144 | ||||||
6.400%, 10/02/2017 | 3,370 | 3,936 | ||||||
4.650%, 07/02/2018 | 3,000 | 3,313 | ||||||
Berkshire Hathaway | ||||||||
4.500%, 02/11/2043 | 530 | 499 | ||||||
3.750%, 08/15/2021 (C) | 1,213 | 1,261 | ||||||
3.200%, 02/11/2015 | 1,634 | 1,689 | ||||||
2.200%, 08/15/2016 | 75 | 78 | ||||||
Berkshire Hathaway Finance | ||||||||
5.400%, 05/15/2018 (C) | 4,760 | 5,488 | ||||||
2.900%, 10/15/2020 | 2,345 | 2,359 | ||||||
2.450%, 12/15/2015 | 187 | 194 | ||||||
BlackRock | ||||||||
6.250%, 09/15/2017 | 570 | 666 | ||||||
3.375%, 06/01/2022 | 180 | 181 | ||||||
Blackstone Holdings Finance LLC | ||||||||
5.875%, 03/15/2021 (B) | 1,180 | 1,315 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BNP Paribas MTN | ||||||||
2.375%, 09/14/2017 | $ | 1,740 | $ | 1,786 | ||||
Boston Properties | ||||||||
3.800%, 02/01/2024‡ | 1,419 | 1,385 | ||||||
3.125%, 09/01/2023‡ | 855 | 796 | ||||||
Branch Banking & Trust | ||||||||
5.625%, 09/15/2016 | 325 | 365 | ||||||
Caisse Centrale Desjardins du Quebec | ||||||||
2.550%, 03/24/2016 (B) (C) | 581 | 606 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
2.600%, 07/02/2015 (B) | 1,000 | 1,034 | ||||||
Capital One Bank USA | ||||||||
3.375%, 02/15/2023 | 300 | 282 | ||||||
2.150%, 11/21/2018 (C) | 1,515 | 1,519 | ||||||
1.150%, 11/21/2016 | 1,375 | 1,375 | ||||||
Capital One Financial | ||||||||
7.375%, 05/23/2014 | 450 | 464 | ||||||
4.750%, 07/15/2021 | 375 | 401 | ||||||
3.500%, 06/15/2023 | 814 | 774 | ||||||
Caterpillar Financial Services MTN | ||||||||
7.150%, 02/15/2019 | 250 | 310 | ||||||
5.850%, 09/01/2017 | 580 | 669 | ||||||
2.850%, 06/01/2022 | 155 | 148 | ||||||
CDP Financial | ||||||||
4.400%, 11/25/2019 (B) | 300 | 336 | ||||||
Charles Schwab | ||||||||
3.225%, 09/01/2022 | 100 | 98 | ||||||
Chase Capital VI | ||||||||
0.867%, 08/01/2028 (A) | 1,050 | 851 | ||||||
Citigroup | ||||||||
8.500%, 05/22/2019 | 600 | 780 | ||||||
8.125%, 07/15/2039 (C) | 400 | 557 | ||||||
6.875%, 03/05/2038 | 1,141 | 1,428 | ||||||
6.375%, 08/12/2014 | 3,162 | 3,288 | ||||||
6.125%, 05/15/2018 (C) | 440 | 515 | ||||||
6.010%, 01/15/2015 | 1,574 | 1,663 | ||||||
6.000%, 12/13/2013 | 2,920 | 2,924 | ||||||
6.000%, 08/15/2017 | 4,345 | 5,000 | ||||||
5.875%, 01/30/2042 | 550 | 615 | ||||||
5.850%, 08/02/2016 | 300 | 335 | ||||||
5.500%, 02/15/2017 | 11,465 | 12,725 | ||||||
5.500%, 09/13/2025 (C) | 1,370 | 1,450 | ||||||
5.375%, 08/09/2020 | 2,888 | 3,276 | ||||||
4.700%, 05/29/2015 (C) | 1,488 | 1,567 | ||||||
4.587%, 12/15/2015 | 114 | 122 | ||||||
4.500%, 01/14/2022 | 151 | 160 | ||||||
4.450%, 01/10/2017 | 2,394 | 2,612 | ||||||
4.050%, 07/30/2022 | 650 | 645 | ||||||
3.875%, 10/25/2023 | 1,110 | 1,091 | ||||||
3.500%, 05/15/2023 | 1,820 | 1,689 | ||||||
3.375%, 03/01/2023 (C) | 181 | 174 | ||||||
2.650%, 03/02/2015 | 1,129 | 1,153 |
94 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
2.500%, 09/26/2018 | $ | 395 | $ | 401 | ||||
1.700%, 07/25/2016 | 1,955 | 1,981 | ||||||
1.250%, 01/15/2016 | 230 | 231 | ||||||
0.788%, 08/25/2036 (A) | 3,239 | 2,593 | ||||||
Citigroup Capital III | ||||||||
7.625%, 12/01/2036 | 2,000 | 2,220 | ||||||
CME Group | ||||||||
5.750%, 02/15/2014 | 306 | 309 | ||||||
5.300%, 09/15/2043 | 310 | 325 | ||||||
3.000%, 09/15/2022 | 400 | 382 | ||||||
CNA Financial | ||||||||
5.875%, 08/15/2020 | 274 | 314 | ||||||
5.850%, 12/15/2014 | 200 | 210 | ||||||
Comerica | ||||||||
3.000%, 09/16/2015 | 145 | 151 | ||||||
CommonWealth | ||||||||
6.650%, 01/15/2018‡ | 255 | 278 | ||||||
5.875%, 09/15/2020‡ | 95 | 98 | ||||||
Commonwealth Bank of Australia | ||||||||
5.000%, 10/15/2019 (B) | 900 | 1,015 | ||||||
3.750%, 10/15/2014 (B) | 1,810 | 1,860 | ||||||
2.250%, 03/16/2017 (B) (C) | 378 | 391 | ||||||
Commonwealth Bank of Australia NY MTN | ||||||||
1.250%, 09/18/2015 | 2,730 | 2,764 | ||||||
Cooperatieve Centrale Raiffeisen- Boerenleenbank BA | ||||||||
11.000%, 12/31/2049 (A) (B) | 2,043 | 2,702 | ||||||
5.800%, 09/30/2110 (B) (C) | 300 | 303 | ||||||
5.750%, 12/01/2043 | 1,765 | 1,790 | ||||||
4.625%, 12/01/2023 | 3,980 | 3,975 | ||||||
4.500%, 01/11/2021 | 300 | 319 | ||||||
3.875%, 02/08/2022 | 1,410 | 1,423 | ||||||
3.200%, 03/11/2015 (B) | 700 | 723 | ||||||
Countrywide Financial | ||||||||
6.250%, 05/15/2016 | 1,170 | 1,298 | ||||||
Credit Agricole | ||||||||
8.375%, 12/31/2049 (A) (B) (C) | 3,250 | 3,689 | ||||||
2.625%, 01/21/2014 (B) | 790 | 792 | ||||||
Credit Suisse NY | ||||||||
6.000%, 02/15/2018 | 3,830 | 4,421 | ||||||
5.500%, 05/01/2014 | 125 | 128 | ||||||
Credit Suisse USA | ||||||||
5.125%, 08/15/2015 | 645 | 694 | ||||||
Daimler Finance North America LLC | ||||||||
1.450%, 08/01/2016 (B) | 2,970 | 2,995 | ||||||
DDR | ||||||||
4.625%, 07/15/2022‡ | 1,940 | 2,006 | ||||||
3.375%, 05/15/2023‡ | 1,850 | 1,713 | ||||||
Deutsche Bank MTN | ||||||||
4.296%, 05/24/2028 (A) | 825 | 754 | ||||||
3.875%, 08/18/2014 | 295 | 302 | ||||||
Discover Bank | ||||||||
4.200%, 08/08/2023 | 1,185 | 1,189 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
DnB Boligkreditt | ||||||||
2.100%, 10/14/2015 (B) | $ | 1,057 | $ | 1,086 | ||||
Equity One | ||||||||
3.750%, 11/15/2022‡ | 701 | 661 | ||||||
ERAC USA | ||||||||
5.600%, 05/01/2015 | 90 | 96 | ||||||
ERAC USA Finance LLC | ||||||||
4.500%, 08/16/2021 (B) | 175 | 183 | ||||||
2.250%, 01/10/2014 (B) | 250 | 250 | ||||||
ERP Operating | ||||||||
5.750%, 06/15/2017‡ | 500 | 565 | ||||||
5.125%, 03/15/2016‡ | 1,000 | 1,092 | ||||||
4.625%, 12/15/2021‡ (C) | 236 | 252 | ||||||
Farmers Exchange Capital | ||||||||
7.200%, 07/15/2048 (B) | 1,788 | 2,038 | ||||||
Farmers Exchange Capital II | ||||||||
6.151%, 11/01/2053 (A) (B) | 3,620 | 3,669 | ||||||
Federal Realty Investment Trust | ||||||||
3.000%, 08/01/2022‡ | 790 | 744 | ||||||
Fifth Third Bank | ||||||||
1.450%, 02/28/2018 | 248 | 244 | ||||||
First Chicago NBD Institutional Capital I | ||||||||
0.792%, 02/01/2027 (A) | 3,750 | 3,038 | ||||||
First Industrial MTN | ||||||||
7.500%, 12/01/2017 | 1,765 | 2,002 | ||||||
Five Corners Funding Trust | ||||||||
4.419%, 11/15/2023 (B) | 2,580 | 2,586 | ||||||
FMR LLC | ||||||||
6.450%, 11/15/2039 (B) | 250 | 284 | ||||||
Ford Motor Credit LLC | ||||||||
8.125%, 01/15/2020 | 1,640 | 2,061 | ||||||
7.000%, 04/15/2015 | 4,000 | 4,329 | ||||||
5.875%, 08/02/2021 (C) | 3,110 | 3,531 | ||||||
5.000%, 05/15/2018 | 206 | 230 | ||||||
4.207%, 04/15/2016 | 401 | 430 | ||||||
3.984%, 06/15/2016 | 555 | 593 | ||||||
3.000%, 06/12/2017 | 1,173 | 1,226 | ||||||
General Electric Capital MTN | ||||||||
6.875%, 01/10/2039 | 2,400 | 3,038 | ||||||
6.750%, 03/15/2032 | 150 | 186 | ||||||
6.375%, 11/15/2067 (A) | 5,735 | 6,222 | ||||||
6.150%, 08/07/2037 | 3,880 | 4,512 | ||||||
6.000%, 08/07/2019 | 920 | 1,099 | ||||||
5.875%, 01/14/2038 | 2,990 | 3,385 | ||||||
5.625%, 09/15/2017 | 800 | 919 | ||||||
5.625%, 05/01/2018 | 6,680 | 7,753 | ||||||
5.500%, 01/08/2020 | 480 | 555 | ||||||
5.400%, 02/15/2017 | 1,800 | 2,026 | ||||||
5.375%, 10/20/2016 | 1,500 | 1,679 | ||||||
5.300%, 02/11/2021 (C) | 1,753 | 1,951 | ||||||
4.625%, 01/07/2021 (C) | 3,640 | 4,010 | ||||||
2.300%, 04/27/2017 | 600 | 619 | ||||||
2.250%, 11/09/2015 | 180 | 186 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 95 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
2.100%, 12/11/2019 | $ | 356 | $ | 353 | ||||
1.625%, 07/02/2015 | 1,010 | 1,026 | ||||||
0.721%, 08/15/2036 (A) | 3,035 | 2,554 | ||||||
0.618%, 05/05/2026 (A) | 1,600 | 1,456 | ||||||
0.367%, 03/20/2014 (A) | 2,000 | 1,999 | ||||||
Glitnir Banki | ||||||||
7.451%, 09/14/2016 (B) (D) (G) (H) | 500 | — | ||||||
6.693%, 06/15/2016 (B) (D) (G) (H) | 4,480 | — | ||||||
Goldman Sachs Capital II | ||||||||
4.000%, 06/01/2043 (A) | 13,260 | 9,680 | ||||||
Goldman Sachs Group MTN | ||||||||
7.500%, 02/15/2019 | 1,520 | 1,873 | ||||||
6.750%, 10/01/2037 (C) | 953 | 1,057 | ||||||
6.250%, 09/01/2017 | 1,400 | 1,617 | ||||||
6.250%, 02/01/2041 | 3,470 | 3,984 | ||||||
6.150%, 04/01/2018 | 7,800 | 9,027 | ||||||
6.000%, 05/01/2014 | 690 | 705 | ||||||
6.000%, 06/15/2020 | 2,335 | 2,698 | ||||||
5.950%, 01/18/2018 | 500 | 573 | ||||||
5.750%, 10/01/2016 | 1,505 | 1,691 | ||||||
5.375%, 03/15/2020 | 2,635 | 2,954 | ||||||
5.250%, 07/27/2021 | 9,480 | 10,430 | ||||||
3.625%, 02/07/2016 | 470 | 496 | ||||||
3.625%, 01/22/2023 (C) | 178 | 173 | ||||||
1.837%, 11/29/2023 (A) | 850 | 855 | ||||||
0.641%, 07/22/2015 (A) | 45 | 45 | ||||||
GTP Acquisition Partners I LLC | ||||||||
4.347%, 06/15/2016 (B) | 606 | 641 | ||||||
HBOS MTN | ||||||||
6.750%, 05/21/2018 (B) | 5,100 | 5,771 | ||||||
HBOS Capital Funding | ||||||||
6.071%, 06/30/2049 (A) (B) | 1,220 | 1,215 | ||||||
HCP MTN‡ | ||||||||
6.300%, 09/15/2016 | 940 | 1,064 | ||||||
6.000%, 01/30/2017 | 2,313 | 2,609 | ||||||
5.650%, 12/15/2013 | 2,290 | 2,293 | ||||||
5.375%, 02/01/2021 | 105 | 115 | ||||||
3.750%, 02/01/2019 | 2,289 | 2,400 | ||||||
2.625%, 02/01/2020 | 5,760 | 5,563 | ||||||
Health Care‡ | ||||||||
6.500%, 03/15/2041 | 1,650 | 1,816 | ||||||
5.250%, 01/15/2022 | 1,825 | 1,966 | ||||||
4.950%, 01/15/2021 | 6,340 | 6,774 | ||||||
4.700%, 09/15/2017 | 225 | 247 | ||||||
4.500%, 01/15/2024 | 183 | 182 | ||||||
Healthcare Realty Trust‡ | ||||||||
6.500%, 01/17/2017 | 85 | 96 | ||||||
5.750%, 01/15/2021 | 60 | 66 | ||||||
Highwoods Properties‡ | ||||||||
7.500%, 04/15/2018 | 1,339 | 1,575 | ||||||
Hongkong & Shanghai Banking | ||||||||
0.362%, 07/22/2049 (A) | 195 | 119 | ||||||
HSBC Bank | ||||||||
4.750%, 01/19/2021 (B) | 400 | 435 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.125%, 08/12/2020 (B) | $ | 261 | $ | 276 | ||||
3.500%, 06/28/2015 (B) | 123 | 129 | ||||||
3.100%, 05/24/2016 (B) | 4,770 | 5,021 | ||||||
1.625%, 07/07/2014 (B) | 728 | 734 | ||||||
1.500%, 05/15/2018 (B) | 327 | 322 | ||||||
0.538%, 06/29/2049 (A) | 1,160 | 719 | ||||||
HSBC Bank USA NY | ||||||||
4.625%, 04/01/2014 | 300 | 304 | ||||||
HSBC Finance | ||||||||
6.676%, 01/15/2021 | 2,800 | 3,260 | ||||||
5.500%, 01/19/2016 | 600 | 654 | ||||||
HSBC Holdings | ||||||||
5.100%, 04/05/2021 | 201 | 223 | ||||||
4.875%, 01/14/2022 | 300 | 326 | ||||||
4.000%, 03/30/2022 | 1,490 | 1,535 | ||||||
HSBC USA | ||||||||
2.625%, 09/24/2018 | 990 | 1,020 | ||||||
2.375%, 02/13/2015 | 2,071 | 2,117 | ||||||
Hutchison Whampoa International 12 | ||||||||
3.250%, 11/08/2022 (B) (C) | 294 | 275 | ||||||
Hyundai Capital America | ||||||||
2.125%, 10/02/2017 (B) | 650 | 653 | ||||||
ILFC E-Capital Trust II | ||||||||
6.250%, 12/21/2065 (A) (B) | 1,200 | 1,122 | ||||||
ING Bank | ||||||||
5.800%, 09/25/2023 (B) | 3,995 | 4,164 | ||||||
3.750%, 03/07/2017 (B) | 457 | 486 | ||||||
2.000%, 09/25/2015 (B) | 200 | 203 | ||||||
ING US | ||||||||
5.500%, 07/15/2022 | 1,115 | 1,220 | ||||||
2.900%, 02/15/2018 | 350 | 359 | ||||||
IntercontinentalExchange Group | ||||||||
2.500%, 10/15/2018 | 151 | 154 | ||||||
International Lease Finance | ||||||||
6.750%, 09/01/2016 (B) (C) | 5,590 | 6,226 | ||||||
6.500%, 09/01/2014 (B) | 7,190 | 7,469 | ||||||
Intesa Sanpaolo MTN | ||||||||
3.625%, 08/12/2015 (B) | 940 | 968 | ||||||
3.125%, 01/15/2016 (C) | 860 | 878 | ||||||
Invesco Finance | ||||||||
4.000%, 01/30/2024 | 171 | 172 | ||||||
Jefferies Group | ||||||||
8.500%, 07/15/2019 | 90 | 110 | ||||||
6.450%, 06/08/2027 | 590 | 612 | ||||||
6.250%, 01/15/2036 | 400 | 388 | ||||||
3.875%, 11/09/2015 | 171 | 178 | ||||||
John Deere Capital | ||||||||
5.750%, 09/10/2018 | 300 | 351 | ||||||
2.250%, 04/17/2019 | 930 | 940 | ||||||
1.700%, 01/15/2020 | 405 | 384 | ||||||
1.200%, 10/10/2017 | 196 | 194 | ||||||
JPMorgan Chase | ||||||||
6.400%, 05/15/2038 | 385 | 460 |
96 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.000%, 10/01/2017 (C) | $ | 12,765 | $ | 14,749 | ||||
6.000%, 01/15/2018 | 400 | 464 | ||||||
5.150%, 10/01/2015 | 240 | 258 | ||||||
5.125%, 09/15/2014 | 136 | 141 | ||||||
4.500%, 01/24/2022 (C) | 750 | 796 | ||||||
4.350%, 08/15/2021 | 510 | 541 | ||||||
3.450%, 03/01/2016 | 1,015 | 1,069 | ||||||
3.375%, 05/01/2023 (C) | 3,480 | 3,235 | ||||||
3.200%, 01/25/2023 (C) | 1,710 | 1,622 | ||||||
1.100%, 10/15/2015 | 4,010 | 4,026 | ||||||
0.584%, 06/13/2016 (A) | 4,250 | 4,216 | ||||||
JPMorgan Chase Bank | ||||||||
6.000%, 07/05/2017 | 3,365 | 3,858 | ||||||
JPMorgan Chase Capital XIII | ||||||||
1.198%, 09/30/2034 (A) | 2,150 | 1,699 | ||||||
JPMorgan Chase Capital XXIII | ||||||||
1.241%, 05/15/2047 (A) | 4,697 | 3,482 | ||||||
Kaupthing Bank | ||||||||
7.125%, 05/19/2016 (B) (D) (G) (H) | 12,000 | 1 | ||||||
KeyBank | ||||||||
5.800%, 07/01/2014 | 600 | 618 | ||||||
Landwirtschaftliche Rentenbank | ||||||||
1.375%, 10/23/2019 | 1,370 | 1,327 | ||||||
Lazard Group | ||||||||
6.850%, 06/15/2017 | 3,335 | 3,780 | ||||||
Lazard Group LLC | ||||||||
4.250%, 11/14/2020 | 1,580 | 1,579 | ||||||
Liberty Mutual Group (B) | ||||||||
6.500%, 05/01/2042 | 889 | 994 | ||||||
5.000%, 06/01/2021 | 95 | 101 | ||||||
4.250%, 06/15/2023 | 1,885 | 1,849 | ||||||
Lincoln National | ||||||||
4.850%, 06/24/2021 | 58 | 63 | ||||||
Lloyds Bank | ||||||||
2.300%, 11/27/2018 | 1,470 | 1,477 | ||||||
Lloyds TSB Bank MTN | ||||||||
5.800%, 01/13/2020 (B) | 200 | 228 | ||||||
M&T Bank | ||||||||
6.875%, 12/29/2049 (B) | 3,540 | 3,506 | ||||||
Macquarie Bank | ||||||||
5.000%, 02/22/2017 (B) | 652 | 714 | ||||||
Macquarie Group (B) | ||||||||
7.625%, 08/13/2019 | 150 | 182 | ||||||
7.300%, 08/01/2014 | 480 | 500 | ||||||
6.250%, 01/14/2021 | 525 | 584 | ||||||
6.000%, 01/14/2020 | 225 | 249 | ||||||
Manufacturers & Traders Trust | ||||||||
6.625%, 12/04/2017 | 250 | 293 | ||||||
Markel | ||||||||
4.900%, 07/01/2022 | 955 | 1,010 | ||||||
3.625%, 03/30/2023 | 685 | 654 | ||||||
Massachusetts Mutual Life Insurance (B) | ||||||||
8.875%, 06/01/2039 | 1,650 | 2,375 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.375%, 12/01/2041 | $ | 66 | $ | 69 | ||||
MassMutual Global Funding | ||||||||
2.000%, 04/05/2017 (B) | 120 | 122 | ||||||
MassMutual Global Funding II (B) | ||||||||
3.125%, 04/14/2016 | 100 | 105 | ||||||
2.875%, 04/21/2014 | 122 | 123 | ||||||
2.500%, 10/17/2022 | 363 | 331 | ||||||
2.100%, 08/02/2018 | 105 | 105 | ||||||
Merrill Lynch MTN | ||||||||
6.875%, 04/25/2018 | 980 | 1,171 | ||||||
6.400%, 08/28/2017 | 1,600 | 1,860 | ||||||
5.700%, 05/02/2017 | 1,870 | 2,085 | ||||||
MetLife | ||||||||
7.717%, 02/15/2019 | 1,750 | 2,206 | ||||||
6.750%, 06/01/2016 | 2,950 | 3,371 | ||||||
6.400%, 12/15/2036 | 4,360 | 4,469 | ||||||
4.875%, 11/13/2043 | 1,570 | 1,544 | ||||||
4.368%, 09/15/2023 | 1,320 | 1,370 | ||||||
MetLife Institutional Funding II | ||||||||
1.144%, 04/04/2014 (A) (B) | 153 | 153 | ||||||
Metropolitan Life Global Funding I (B) |
| |||||||
5.125%, 06/10/2014 | 1,575 | 1,614 | ||||||
3.875%, 04/11/2022 | 1,125 | 1,145 | ||||||
3.650%, 06/14/2018 | 490 | 524 | ||||||
2.500%, 09/29/2015 | 2,935 | 3,031 | ||||||
2.000%, 01/10/2014 | 200 | 200 | ||||||
1.700%, 06/29/2015 | 497 | 505 | ||||||
1.500%, 01/10/2018 | 2,500 | 2,470 | ||||||
Mid-America Apartments | ||||||||
4.300%, 10/15/2023‡ | 1,240 | 1,221 | ||||||
Morgan Stanley MTN | ||||||||
7.300%, 05/13/2019 | 1,275 | 1,564 | ||||||
6.625%, 04/01/2018 (C) | 6,010 | 7,086 | ||||||
6.000%, 05/13/2014 | 5,705 | 5,844 | ||||||
5.950%, 12/28/2017 | 550 | 635 | ||||||
5.750%, 10/18/2016 | 190 | 213 | ||||||
5.750%, 01/25/2021 (C) | 235 | 268 | ||||||
5.625%, 09/23/2019 | 2,170 | 2,491 | ||||||
5.550%, 04/27/2017 | 514 | 578 | ||||||
5.500%, 07/28/2021 (C) | 1,341 | 1,509 | ||||||
5.450%, 01/09/2017 | 350 | 391 | ||||||
5.375%, 10/15/2015 | 1,855 | 2,001 | ||||||
5.000%, 11/24/2025 (C) | 1,270 | 1,271 | ||||||
4.750%, 03/22/2017 | 300 | 330 | ||||||
4.200%, 11/20/2014 | 1,851 | 1,914 | ||||||
3.750%, 02/25/2023 (C) | 179 | 174 | ||||||
0.696%, 10/18/2016 (A) | 3,700 | 3,664 | ||||||
Murray Street Investment Trust I | ||||||||
4.647%, 03/09/2017 (E) | 2,940 | 3,195 | ||||||
National Australia Bank | ||||||||
3.750%, 03/02/2015 (B) | 455 | 473 | ||||||
3.000%, 07/27/2016 (B) | 1,000 | 1,050 | ||||||
1.600%, 08/07/2015 | 1,080 | 1,097 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 97 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
National Bank of Canada | ||||||||
2.200%, 10/19/2016 (B) | $ | 4,350 | $ | 4,518 | ||||
1.650%, 01/30/2014 (B) | 271 | 272 | ||||||
National Capital Trust II | ||||||||
5.486%, 12/29/2049 (A) (B) | 40 | 41 | ||||||
National City | ||||||||
4.900%, 01/15/2015 | 400 | 418 | ||||||
National City Bank MTN | ||||||||
5.800%, 06/07/2017 | 525 | 598 | ||||||
0.628%, 06/07/2017 (A) | 3,000 | 2,961 | ||||||
National Rural Utilities Cooperative Finance | ||||||||
3.400%, 11/15/2023 | 1,065 | 1,044 | ||||||
Nationwide Mutual Insurance | ||||||||
9.375%, 08/15/2039 (B) | 460 | 647 | ||||||
6.600%, 04/15/2034 (B) | 2,535 | 2,595 | ||||||
5.810%, 12/15/2024 (A) (B) | 4,407 | 4,479 | ||||||
New York Life Global Funding | ||||||||
3.000%, 05/04/2015 (B) | 400 | 414 | ||||||
New York Life Insurance | ||||||||
6.750%, 11/15/2039 (B) | 1,355 | 1,672 | ||||||
Nomura Holdings | ||||||||
6.700%, 03/04/2020 | 298 | 342 | ||||||
4.125%, 01/19/2016 | 150 | 158 | ||||||
Norddeutsche Landesbank Girozentrale | ||||||||
2.000%, 02/05/2019 (B) | 6,200 | 6,216 | ||||||
Nordea Bank (B) | ||||||||
4.875%, 05/13/2021 | 2,085 | 2,179 | ||||||
3.700%, 11/13/2014 | 900 | 928 | ||||||
1.625%, 05/15/2018 | 500 | 493 | ||||||
Northwestern Mutual Life Insurance | ||||||||
6.063%, 03/30/2040 (B) | 2,470 | 2,827 | ||||||
Ores, Ser 2013-LV2, Cl A | ||||||||
3.081%, 09/25/2025 (B) | 798 | 798 | ||||||
Oversea-Chinese Banking | ||||||||
1.625%, 03/13/2015 (B) | 200 | 203 | ||||||
PACCAR Financial MTN | ||||||||
1.600%, 03/15/2017 | 164 | 165 | ||||||
1.550%, 09/29/2014 | 348 | 352 | ||||||
Pacific Life Global Funding MTN | ||||||||
5.000%, 05/15/2017 (B) | 170 | 179 | ||||||
Pacific Life Insurance | ||||||||
9.250%, 06/15/2039 (B) | 560 | 781 | ||||||
PNC Bank | ||||||||
6.000%, 12/07/2017 | 250 | 289 | ||||||
0.800%, 01/28/2016 | 297 | 297 | ||||||
PNC Funding | ||||||||
5.125%, 02/08/2020 | 340 | 382 | ||||||
2.700%, 09/19/2016 | 88 | 92 | ||||||
Post Apartment Homes | ||||||||
4.750%, 10/15/2017 | 70 | 76 | ||||||
Pricoa Global Funding I | ||||||||
5.450%, 06/11/2014 (B) | 300 | 308 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
1.600%, 05/29/2018 (B) | $ | 150 | $ | 147 | ||||
Principal Life Global Funding I | ||||||||
5.050%, 03/15/2015 (B) | 750 | 790 | ||||||
Principal Life Income Funding Trusts MTN | ||||||||
5.100%, 04/15/2014 (C) | 600 | 610 | ||||||
Private Export Funding | ||||||||
4.375%, 03/15/2019 | 4,660 | 5,231 | ||||||
2.125%, 07/15/2016 | 4,760 | 4,958 | ||||||
ProLogis | ||||||||
4.250%, 08/15/2023‡ | 1,545 | 1,545 | ||||||
Prudential Financial MTN | ||||||||
2.300%, 08/15/2018 | 1,165 | 1,181 | ||||||
Prudential Holdings | ||||||||
8.695%, 12/18/2023 (B) | 3,060 | 3,931 | ||||||
Prudential Holdings LLC | ||||||||
1.127%, 12/18/2017 (A) (B) | 4,550 | 4,513 | ||||||
Prudential Insurance of America | ||||||||
8.300%, 07/01/2025 (B) | 600 | 770 | ||||||
Reckson Operating Partnership‡ | ||||||||
6.000%, 03/31/2016 | 95 | 103 | ||||||
Reinsurance Group of America MTN | ||||||||
4.700%, 09/15/2023 | 1,061 | 1,094 | ||||||
Royal Bank of Canada MTN | ||||||||
2.300%, 07/20/2016 | 640 | 663 | ||||||
1.200%, 09/19/2017 | 1,126 | 1,126 | ||||||
0.625%, 12/04/2015 | 2,970 | 2,974 | ||||||
0.436%, 06/29/2085 (A) | 860 | 552 | ||||||
Royal Bank of Scotland Group | ||||||||
6.400%, 10/21/2019 (C) | 1,950 | 2,274 | ||||||
6.100%, 06/10/2023 | 1,650 | 1,674 | ||||||
2.550%, 09/18/2015 | 850 | 871 | ||||||
Santander US Debt SAU | ||||||||
3.724%, 01/20/2015 (B) | 1,880 | 1,906 | ||||||
Security Benefit Life Insurance | ||||||||
8.750%, 05/15/2016 (B) (C) | 5,200 | 5,857 | ||||||
Simon Property Group‡ | ||||||||
10.350%, 04/01/2019 | 940 | 1,288 | ||||||
6.750%, 05/15/2014 | 165 | 167 | ||||||
5.650%, 02/01/2020 | 133 | 152 | ||||||
4.375%, 03/01/2021 | 130 | 139 | ||||||
4.125%, 12/01/2021 | 108 | 113 | ||||||
Skandinaviska Enskilda Banken | ||||||||
1.750%, 03/19/2018 (B) | 322 | 318 | ||||||
SL Green Realty‡ | ||||||||
7.750%, 03/15/2020 | 2,000 | 2,349 | ||||||
SLM MTN | ||||||||
8.450%, 06/15/2018 | 530 | 617 | ||||||
3.875%, 09/10/2015 | 2,360 | 2,431 | ||||||
Societe Generale | ||||||||
0.500%, 11/29/2049 (A) | 680 | 399 | ||||||
0.422%, 11/29/2049 (A) | 180 | 106 |
98 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Sparebank 1 Boligkreditt | ||||||||
1.750%, 11/15/2019 (B) | $ | 541 | $ | 523 | ||||
Stadshypotek | ||||||||
1.875%, 10/02/2019 (B) | 1,910 | 1,875 | ||||||
Standard Chartered | ||||||||
5.200%, 01/26/2024 (B) | 1,960 | 1,992 | ||||||
State Street | ||||||||
4.956%, 03/15/2018 | 2,560 | 2,825 | ||||||
4.300%, 05/30/2014 | 60 | 61 | ||||||
3.700%, 11/20/2023 | 308 | 307 | ||||||
3.100%, 05/15/2023 | 24 | 22 | ||||||
Sumitomo Mitsui Banking | ||||||||
3.150%, 07/22/2015 (B) | 1,010 | 1,048 | ||||||
3.100%, 01/14/2016 (B) | 640 | 669 | ||||||
SunTrust Banks | ||||||||
2.350%, 11/01/2018 | 39 | 39 | ||||||
SunTrust Preferred Capital I | ||||||||
4.000%, 12/31/2049 (A) | 2,533 | 1,950 | ||||||
Svenska Handelsbanken | ||||||||
3.125%, 07/12/2016 | 282 | 296 | ||||||
Tanger Properties‡ | ||||||||
3.875%, 12/01/2023 | 795 | 778 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.850%, 12/16/2039 (B) | 1,740 | 2,149 | ||||||
Temasek Financial I MTN | ||||||||
2.375%, 01/23/2023 (B) | 1,660 | 1,519 | ||||||
Toronto-Dominion Bank MTN | ||||||||
2.500%, 07/14/2016 | 538 | 560 | ||||||
2.200%, 07/29/2015 (B) | 295 | 304 | ||||||
Toyota Motor Credit MTN | ||||||||
3.400%, 09/15/2021 | 3,425 | 3,450 | ||||||
2.050%, 01/12/2017 | 215 | 221 | ||||||
1.250%, 10/05/2017 | 2,740 | 2,723 | ||||||
Travelers | ||||||||
5.900%, 06/02/2019 | 145 | 172 | ||||||
Travelers Property Casualty | ||||||||
7.750%, 04/15/2026 | 300 | 390 | ||||||
UBS MTN | ||||||||
5.875%, 12/20/2017 | 303 | 351 | ||||||
5.750%, 04/25/2018 | 150 | 175 | ||||||
3.875%, 01/15/2015 | 785 | 814 | ||||||
2.250%, 01/28/2014 | 732 | 734 | ||||||
UDR MTN‡ | ||||||||
5.250%, 01/15/2015 | 75 | 78 | ||||||
4.250%, 06/01/2018 | 2,000 | 2,140 | ||||||
US Bancorp MTN | ||||||||
4.125%, 05/24/2021 | 134 | 143 | ||||||
3.000%, 03/15/2022 | 67 | 65 | ||||||
2.875%, 11/20/2014 | 415 | 425 | ||||||
2.450%, 07/27/2015 | 300 | 309 | ||||||
Ventas Realty‡ | ||||||||
4.000%, 04/30/2019 | 3,553 | 3,767 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Vesey Street Investment Trust I | ||||||||
4.404%, 09/01/2016 (E) | $ | 870 | $ | 939 | ||||
Wachovia | ||||||||
5.750%, 06/15/2017 | 690 | 793 | ||||||
5.750%, 02/01/2018 | 350 | 410 | ||||||
0.576%, 10/28/2015 (A) | 3,210 | 3,197 | ||||||
Wachovia Bank MTN | ||||||||
6.000%, 11/15/2017 | 4,220 | 4,909 | ||||||
0.584%, 03/15/2016 (A) | 1,200 | 1,194 | ||||||
Wachovia Capital Trust III | ||||||||
5.570%, 12/31/2049 (A) | 4,792 | 4,459 | ||||||
WEA Finance | ||||||||
6.750%, 09/02/2019 (B) | 1,021 | 1,228 | ||||||
WEA Finance LLC | ||||||||
7.125%, 04/15/2018 (B) | 970 | 1,160 | ||||||
4.625%, 05/10/2021 (B) | 2,360 | 2,490 | ||||||
Wells Fargo | ||||||||
5.625%, 12/11/2017 | 830 | 962 | ||||||
4.600%, 04/01/2021 (C) | 500 | 550 | ||||||
4.480%, 01/16/2024 (B) | 1,392 | 1,383 | ||||||
3.676%, 06/15/2016 (E) | 2,980 | 3,189 | ||||||
3.500%, 03/08/2022 | 250 | 253 | ||||||
3.450%, 02/13/2023 | 1,490 | 1,406 | ||||||
1.500%, 01/16/2018 | 800 | 800 | ||||||
1.250%, 02/13/2015 | 203 | 205 | ||||||
Wells Fargo Capital X | ||||||||
5.950%, 12/15/2036 | 860 | 843 | ||||||
Westpac Banking MTN | ||||||||
4.875%, 11/19/2019 | 604 | 682 | ||||||
2.450%, 11/28/2016 (B) | 350 | 365 | ||||||
0.978%, 03/31/2014 (A) (B) | 725 | 727 | ||||||
Woodbourne Capital Trust I | ||||||||
2.610%, 04/08/2049 (A) (B) | 625 | 322 | ||||||
WR Berkley | ||||||||
4.625%, 03/15/2022 | 836 | 861 | ||||||
XLIT | ||||||||
5.250%, 12/15/2043 | 780 | 790 | ||||||
ZFS Finance USA Trust II | ||||||||
6.450%, 12/15/2065 (A) (B) | 6,290 | 6,762 | ||||||
|
| |||||||
753,548 | ||||||||
|
| |||||||
Health Care — 1.3% | ||||||||
AbbVie | ||||||||
2.900%, 11/06/2022 | 7,265 | 6,842 | ||||||
1.750%, 11/06/2017 | 2,047 | 2,063 | ||||||
Actavis | ||||||||
3.250%, 10/01/2022 | 112 | 105 | ||||||
Aetna | ||||||||
6.750%, 12/15/2037 | 60 | 73 | ||||||
4.500%, 05/15/2042 | 71 | 66 | ||||||
Amgen | ||||||||
5.750%, 03/15/2040 | 237 | 251 | ||||||
5.700%, 02/01/2019 | 100 | 116 | ||||||
5.650%, 06/15/2042 | 3,435 | 3,598 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 99 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.375%, 05/15/2043 | $ | 2,230 | $ | 2,267 | ||||
5.150%, 11/15/2041 (C) | 3,495 | 3,438 | ||||||
4.850%, 11/18/2014 | 50 | 52 | ||||||
4.500%, 03/15/2020 | 84 | 90 | ||||||
3.875%, 11/15/2021 | 200 | 205 | ||||||
Celgene | ||||||||
5.250%, 08/15/2043 | 1,105 | 1,106 | ||||||
2.300%, 08/15/2018 | 1,120 | 1,126 | ||||||
1.900%, 08/15/2017 | 337 | 339 | ||||||
CHS | ||||||||
8.000%, 11/15/2019 | 200 | 217 | ||||||
Express Scripts Holding | ||||||||
3.500%, 11/15/2016 | 3,430 | 3,653 | ||||||
2.650%, 02/15/2017 | 134 | 139 | ||||||
2.100%, 02/12/2015 | 2,340 | 2,379 | ||||||
GlaxoSmithKline Capital | ||||||||
5.650%, 05/15/2018 | 1,590 | 1,851 | ||||||
2.850%, 05/08/2022 | 410 | 393 | ||||||
HCA | ||||||||
7.250%, 09/15/2020 (C) | 1,165 | 1,273 | ||||||
5.750%, 03/15/2014 | 5,548 | 5,610 | ||||||
Humana | ||||||||
7.200%, 06/15/2018 | 1,950 | 2,328 | ||||||
Medco Health Solutions | ||||||||
7.125%, 03/15/2018 | 250 | 300 | ||||||
2.750%, 09/15/2015 | 135 | 139 | ||||||
Medtronic | ||||||||
4.450%, 03/15/2020 | 1,210 | 1,323 | ||||||
Merck | ||||||||
2.800%, 05/18/2023 | 1,305 | 1,229 | ||||||
2.400%, 09/15/2022 | 156 | 144 | ||||||
1.300%, 05/18/2018 | 1,865 | 1,832 | ||||||
Mylan | ||||||||
5.400%, 11/29/2043 | 465 | 471 | ||||||
2.550%, 03/28/2019 | 1,980 | 1,986 | ||||||
1.800%, 06/24/2016 (B) | 77 | 78 | ||||||
Novartis Securities Investment | ||||||||
5.125%, 02/10/2019 | 94 | 108 | ||||||
Perrigo (B) | ||||||||
4.000%, 11/15/2023 | 2,080 | 2,060 | ||||||
2.300%, 11/08/2018 | 1,360 | 1,364 | ||||||
1.300%, 11/08/2016 | 1,360 | 1,362 | ||||||
Pfizer | ||||||||
6.200%, 03/15/2019 | 430 | 517 | ||||||
3.000%, 06/15/2023 | 1,045 | 1,000 | ||||||
Roche Holdings | ||||||||
6.000%, 03/01/2019 (B) | 1,056 | 1,258 | ||||||
St. Jude Medical | ||||||||
3.250%, 04/15/2023 | 1,880 | 1,766 | ||||||
Stryker | ||||||||
1.300%, 04/01/2018 | 3,615 | 3,566 | ||||||
Thermo Fisher Scientific | ||||||||
3.600%, 08/15/2021 | 710 | 707 | ||||||
3.200%, 03/01/2016 | 1,425 | 1,488 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
UnitedHealth Group | ||||||||
6.625%, 11/15/2037 | $ | 360 | $ | 439 | ||||
5.800%, 03/15/2036 | 560 | 623 | ||||||
5.700%, 10/15/2040 | 800 | 881 | ||||||
3.875%, 10/15/2020 | 870 | 923 | ||||||
3.375%, 11/15/2021 | 625 | 624 | ||||||
2.875%, 03/15/2023 | 150 | 141 | ||||||
WellPoint | ||||||||
5.875%, 06/15/2017 | 350 | 400 | ||||||
5.100%, 01/15/2044 | 575 | 564 | ||||||
4.625%, 05/15/2042 | 219 | 199 | ||||||
3.700%, 08/15/2021 (C) | 2,430 | 2,439 | ||||||
3.300%, 01/15/2023 | 133 | 126 | ||||||
3.125%, 05/15/2022 | 3,482 | 3,296 | ||||||
1.250%, 09/10/2015 | 610 | 615 | ||||||
Wyeth | ||||||||
5.950%, 04/01/2037 | 1,980 | 2,321 | ||||||
Zoetis | ||||||||
4.700%, 02/01/2043 | 34 | 31 | ||||||
3.250%, 02/01/2023 | 479 | 451 | ||||||
|
| |||||||
76,351 | ||||||||
|
| |||||||
Industrials — 1.2% | ||||||||
3M | ||||||||
1.375%, 09/29/2016 | 86 | 88 | ||||||
ABB Finance USA | ||||||||
4.375%, 05/08/2042 | 47 | 44 | ||||||
2.875%, 05/08/2022 | 117 | 112 | ||||||
1.625%, 05/08/2017 | 81 | 81 | ||||||
ADT | ||||||||
4.875%, 07/15/2042 | 111 | 84 | ||||||
4.125%, 06/15/2023 | 48 | 43 | ||||||
3.500%, 07/15/2022 | 105 | 92 | ||||||
Air 2 US | ||||||||
8.027%, 10/01/2019 (B) | 1,099 | 1,143 | ||||||
Air Canada, Pass-Through Trust, | ||||||||
4.125%, 05/15/2025 (B) | 141 | 137 | ||||||
American Airlines, Pass-Through Trust, Ser 2011-1, Cl A | ||||||||
5.250%, 01/31/2021 (C) | 97 | 101 | ||||||
American Airlines Pass-Through Trust, Ser 2013-2, CI A | ||||||||
4.950%, 01/15/2023 (B) | 5,751 | 6,024 | ||||||
BAE Systems | ||||||||
5.800%, 10/11/2041 (B) | 90 | 94 | ||||||
4.750%, 10/11/2021 (B) | 3,955 | 4,142 | ||||||
BAE Systems Holdings | ||||||||
5.200%, 08/15/2015 (B) | 360 | 384 | ||||||
Boeing | ||||||||
4.875%, 02/15/2020 | 2,440 | 2,763 |
100 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Burlington Northern Santa Fe LLC | ||||||||
7.290%, 06/01/2036 | $ | 200 | $ | 252 | ||||
5.650%, 05/01/2017 | 200 | 228 | ||||||
5.400%, 06/01/2041 | 200 | 206 | ||||||
4.700%, 10/01/2019 | 375 | 419 | ||||||
4.375%, 09/01/2042 | 150 | 136 | ||||||
3.450%, 09/15/2021 | 60 | 60 | ||||||
3.050%, 09/01/2022 | 300 | 284 | ||||||
Canadian National Railway | ||||||||
5.850%, 11/15/2017 | 150 | 174 | ||||||
5.550%, 05/15/2018 | 385 | 444 | ||||||
Cargill | ||||||||
7.350%, 03/06/2019 (B) | 400 | 493 | ||||||
3.300%, 03/01/2022 (B) | 200 | 195 | ||||||
Caterpillar | ||||||||
2.600%, 06/26/2022 | 123 | 115 | ||||||
Continental Airlines, Pass-Through Trust, Ser 1997-4, Cl A | ||||||||
6.900%, 01/02/2018 | 132 | 141 | ||||||
Continental Airlines, Pass-Through Trust, Ser 1999-1, Cl A | ||||||||
6.545%, 02/02/2019 | 434 | 471 | ||||||
Continental Airlines, Pass-Through Trust, Ser 1999-2, Cl A | ||||||||
7.256%, 03/15/2020 | 1,059 | 1,171 | ||||||
Continental Airlines, Pass-Through Trust, Ser 2000-1, Cl A | ||||||||
8.048%, 11/01/2020 | 2,225 | 2,520 | ||||||
Continental Airlines, Pass-Through Trust, Ser 2007-1, Cl A | ||||||||
5.983%, 04/19/2022 | 2,515 | 2,748 | ||||||
Continental Airlines, Pass-Through Trust, Ser 2012-2, Cl A | ||||||||
4.000%, 10/29/2024 | 127 | 126 | ||||||
CRH America | ||||||||
6.000%, 09/30/2016 | 154 | 173 | ||||||
CSX | ||||||||
7.375%, 02/01/2019 | 460 | 566 | ||||||
4.250%, 06/01/2021 | 65 | 68 | ||||||
Danaher | ||||||||
3.900%, 06/23/2021 | 266 | 279 | ||||||
Deere | ||||||||
3.900%, 06/09/2042 | 64 | 57 | ||||||
2.600%, 06/08/2022 | 74 | 70 | ||||||
Delta Air Lines, Pass-Through Trust, Ser 2007-1, Cl A | ||||||||
6.821%, 08/10/2022 | 1,487 | 1,673 | ||||||
Delta Air Lines, Pass-Through Trust, Ser 2010-2, Cl A | ||||||||
4.950%, 05/23/2019 (C) | 217 | 234 | ||||||
Delta Air Lines, Pass-Through Trust, Ser 2011-1, Cl A | ||||||||
5.300%, 04/15/2019 | 66 | 72 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Delta Air Lines, Pass-Through Trust, Ser 2012-1, Cl A | ||||||||
4.750%, 05/07/2020 | $ | 95 | $ | 101 | ||||
Eaton | ||||||||
7.625%, 04/01/2024 | 325 | 401 | ||||||
4.150%, 11/02/2042 | 530 | 469 | ||||||
4.000%, 11/02/2032 | 99 | 91 | ||||||
2.750%, 11/02/2022 | 2,090 | 1,929 | ||||||
1.500%, 11/02/2017 | 1,062 | 1,050 | ||||||
Flowserve | ||||||||
4.000%, 11/15/2023 | 835 | 830 | ||||||
Fluor | ||||||||
3.375%, 09/15/2021 | 308 | 305 | ||||||
General Electric | ||||||||
5.250%, 12/06/2017 | 341 | 391 | ||||||
4.125%, 10/09/2042 (C) | 246 | 225 | ||||||
0.850%, 10/09/2015 | 1,060 | 1,066 | ||||||
Illinois Tool Works | ||||||||
3.900%, 09/01/2042 (C) | 960 | 826 | ||||||
Ingersoll-Rand | ||||||||
6.391%, 11/15/2027 | 425 | 477 | ||||||
JetBlue Airways Private Trust, Ser 2004-2, Cl G1 | ||||||||
0.616%, 08/15/2016 (A) | 2,587 | 2,496 | ||||||
John Deere Capital MTN | ||||||||
1.250%, 12/02/2014 | 122 | 123 | ||||||
Koninklijke Philips | ||||||||
7.200%, 06/01/2026 | 300 | 363 | ||||||
5.750%, 03/11/2018 | 100 | 116 | ||||||
3.750%, 03/15/2022 | 424 | 428 | ||||||
Lockheed Martin | ||||||||
4.070%, 12/15/2042 | 453 | 394 | ||||||
3.350%, 09/15/2021 | 3,435 | 3,439 | ||||||
2.125%, 09/15/2016 | 187 | 193 | ||||||
Norfolk Southern | ||||||||
6.000%, 05/23/2111 | 527 | 568 | ||||||
3.950%, 10/01/2042 | 129 | 109 | ||||||
Northrop Grumman | ||||||||
4.750%, 06/01/2043 | 1,590 | 1,501 | ||||||
3.250%, 08/01/2023 | 10,695 | 10,073 | ||||||
Pitney Bowes MTN | ||||||||
5.600%, 03/15/2018 | 100 | 109 | ||||||
Raytheon | ||||||||
3.125%, 10/15/2020 | 720 | 728 | ||||||
Republic Services | ||||||||
3.550%, 06/01/2022 | 125 | 122 | ||||||
Ryder System MTN | ||||||||
3.600%, 03/01/2016 | 132 | 139 | ||||||
2.500%, 03/01/2017 | 177 | 180 | ||||||
Union Pacific | ||||||||
4.875%, 01/15/2015 | 497 | 521 | ||||||
4.300%, 06/15/2042 | 100 | 92 | ||||||
4.163%, 07/15/2022 | 437 | 457 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 101 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Union Pacific Railroad 2003 Pass-Through Trust | ||||||||
4.698%, 01/02/2024 | $ | 144 | $ | 156 | ||||
United Parcel Service | ||||||||
3.125%, 01/15/2021 | 90 | 91 | ||||||
2.450%, 10/01/2022 | 100 | 93 | ||||||
United Parcel Service of America | ||||||||
8.375%, 04/01/2020 | 140 | 183 | ||||||
United Technologies | ||||||||
8.875%, 11/15/2019 | 400 | 527 | ||||||
5.400%, 05/01/2035 | 640 | 708 | ||||||
4.500%, 06/01/2042 | 1,210 | 1,176 | ||||||
3.100%, 06/01/2022 | 233 | 229 | ||||||
US Airways Pass-Through Trust, | ||||||||
5.900%, 10/01/2024 | 48 | 52 | ||||||
US Airways Pass-Through Trust, | ||||||||
4.625%, 06/03/2025 | 5,270 | 5,296 | ||||||
Waste Management | ||||||||
7.125%, 12/15/2017 | 1,650 | 1,935 | ||||||
4.750%, 06/30/2020 | 299 | 326 | ||||||
2.600%, 09/01/2016 | 1,015 | 1,051 | ||||||
|
| |||||||
70,842 | ||||||||
|
| |||||||
Information Technology — 0.5% | ||||||||
Apple | ||||||||
2.400%, 05/03/2023 | 568 | 515 | ||||||
0.492%, 05/03/2018 (A) | 345 | 344 | ||||||
Arrow Electronics | ||||||||
6.875%, 06/01/2018 | 270 | 312 | ||||||
6.000%, 04/01/2020 | 225 | 244 | ||||||
3.375%, 11/01/2015 | 60 | 62 | ||||||
Baidu | ||||||||
3.250%, 08/06/2018 | 1,560 | 1,595 | ||||||
Cisco Systems | ||||||||
5.900%, 02/15/2039 | 250 | 280 | ||||||
5.500%, 02/22/2016 | 116 | 129 | ||||||
5.500%, 01/15/2040 | 670 | 719 | ||||||
eBay | ||||||||
4.000%, 07/15/2042 | 84 | 71 | ||||||
2.600%, 07/15/2022 | 166 | 155 | ||||||
EMC | ||||||||
3.375%, 06/01/2023 | 190 | 185 | ||||||
Hewlett-Packard | ||||||||
6.000%, 09/15/2041 | 130 | 129 | ||||||
4.650%, 12/09/2021 | 87 | 89 | ||||||
4.300%, 06/01/2021 | 200 | 203 | ||||||
HP Enterprise Services LLC | ||||||||
7.450%, 10/15/2029 | 500 | 559 | ||||||
Intel | ||||||||
4.800%, 10/01/2041 | 630 | 610 | ||||||
4.000%, 12/15/2032 | 1,115 | 1,029 | ||||||
3.300%, 10/01/2021 | 312 | 314 | ||||||
1.950%, 10/01/2016 | 101 | 104 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
International Business Machines | ||||||||
7.625%, 10/15/2018 | $ | 365 | $ | 462 | ||||
4.000%, 06/20/2042 | 327 | 287 | ||||||
1.950%, 07/22/2016 | 126 | 130 | ||||||
1.625%, 05/15/2020 | 7,331 | 6,892 | ||||||
1.250%, 02/06/2017 | 189 | 190 | ||||||
0.875%, 10/31/2014 | 313 | 315 | ||||||
Intuit | ||||||||
5.750%, 03/15/2017 | 765 | 853 | ||||||
Microsoft | ||||||||
4.500%, 10/01/2040 | 61 | 58 | ||||||
1.625%, 09/25/2015 | 405 | 415 | ||||||
0.875%, 11/15/2017 | 54 | 53 | ||||||
National Semiconductor | ||||||||
6.600%, 06/15/2017 | 480 | 561 | ||||||
3.950%, 04/15/2015 | 500 | 523 | ||||||
Oracle | ||||||||
6.500%, 04/15/2038 | 100 | 122 | ||||||
6.125%, 07/08/2039 | 163 | 191 | ||||||
5.750%, 04/15/2018 | 128 | 150 | ||||||
5.375%, 07/15/2040 | 97 | 104 | ||||||
5.000%, 07/08/2019 | 450 | 514 | ||||||
3.625%, 07/15/2023 (C) | 1,319 | 1,312 | ||||||
2.375%, 01/15/2019 | 3,931 | 3,995 | ||||||
1.200%, 10/15/2017 | 104 | 103 | ||||||
TSMC Global | ||||||||
1.625%, 04/03/2018 (B) | 3,415 | 3,311 | ||||||
Xerox | ||||||||
8.250%, 05/15/2014 | 320 | 331 | ||||||
4.500%, 05/15/2021 | 80 | 82 | ||||||
2.950%, 03/15/2017 | 165 | 170 | ||||||
|
| |||||||
28,772 | ||||||||
|
| |||||||
Materials — 1.2% | ||||||||
Barrick | ||||||||
4.100%, 05/01/2023 (C) | 5,675 | 5,116 | ||||||
3.850%, 04/01/2022 (C) | 640 | 579 | ||||||
Barrick Gold | ||||||||
6.950%, 04/01/2019 | 1,530 | 1,796 | ||||||
Barrick North America Finance LLC | ||||||||
4.400%, 05/30/2021 | 920 | 887 | ||||||
BHP Billiton Finance USA | ||||||||
6.500%, 04/01/2019 | 445 | 540 | ||||||
5.000%, 09/30/2043 | 2,429 | 2,455 | ||||||
4.125%, 02/24/2042 | 147 | 131 | ||||||
3.850%, 09/30/2023 | 5,060 | 5,101 | ||||||
3.250%, 11/21/2021 | 3,010 | 3,001 | ||||||
2.050%, 09/30/2018 | 82 | 83 | ||||||
1.125%, 11/21/2014 | 127 | 128 | ||||||
Celulosa Arauco y Constitucion | ||||||||
4.750%, 01/11/2022 | 1,150 | 1,132 | ||||||
Cliffs Natural Resources | ||||||||
4.875%, 04/01/2021 (C) | 290 | 284 |
102 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Codelco | ||||||||
4.750%, 10/15/2014 (B) | $ | 900 | $ | 929 | ||||
Dow Chemical | ||||||||
8.550%, 05/15/2019 | 377 | 488 | ||||||
4.375%, 11/15/2042 | 101 | 89 | ||||||
4.250%, 11/15/2020 | 118 | 126 | ||||||
3.000%, 11/15/2022 | 5,405 | 5,032 | ||||||
E.I. du Pont de Nemours | ||||||||
5.600%, 12/15/2036 | 275 | 298 | ||||||
4.900%, 01/15/2041 | 125 | 124 | ||||||
1.950%, 01/15/2016 | 162 | 166 | ||||||
Ecolab | ||||||||
4.350%, 12/08/2021 | 570 | 599 | ||||||
1.450%, 12/08/2017 | 246 | 243 | ||||||
Freeport-McMoRan Copper | ||||||||
3.550%, 03/01/2022 | 1,745 | 1,627 | ||||||
3.100%, 03/15/2020 | 1,260 | 1,218 | ||||||
2.375%, 03/15/2018 | 360 | 359 | ||||||
2.150%, 03/01/2017 | 404 | 405 | ||||||
LYB International Finance BV | ||||||||
5.250%, 07/15/2043 (C) | 495 | 499 | ||||||
4.000%, 07/15/2023 | 810 | 809 | ||||||
Mosaic | ||||||||
5.625%, 11/15/2043 | 565 | 575 | ||||||
5.450%, 11/15/2033 | 864 | 883 | ||||||
4.875%, 11/15/2041 | 117 | 107 | ||||||
4.250%, 11/15/2023 | 248 | 247 | ||||||
3.750%, 11/15/2021 | 98 | 97 | ||||||
Nacional del Cobre de Chile | ||||||||
5.625%, 10/18/2043 (B) (C) | 825 | 804 | ||||||
Nucor | ||||||||
4.000%, 08/01/2023 | 54 | 53 | ||||||
Placer Dome | ||||||||
6.450%, 10/15/2035 | 281 | 258 | ||||||
Potash Corp of Saskatchewan | ||||||||
6.500%, 05/15/2019 (C) | 250 | 300 | ||||||
4.875%, 03/30/2020 | 10 | 11 | ||||||
PPG Industries | ||||||||
9.000%, 05/01/2021 | 515 | 669 | ||||||
6.650%, 03/15/2018 | 645 | 758 | ||||||
Praxair | ||||||||
5.250%, 11/15/2014 | 205 | 214 | ||||||
5.200%, 03/15/2017 | 215 | 241 | ||||||
4.625%, 03/30/2015 | 196 | 207 | ||||||
4.375%, 03/31/2014 | 250 | 253 | ||||||
Rio Tinto Finance USA | ||||||||
9.000%, 05/01/2019 | 2,555 | 3,362 | ||||||
8.950%, 05/01/2014 | 265 | 274 | ||||||
6.500%, 07/15/2018 | 865 | 1,033 | ||||||
4.125%, 05/20/2021 (C) | 770 | 798 | ||||||
3.750%, 09/20/2021 | 1,380 | 1,387 | ||||||
3.500%, 11/02/2020 | 77 | 78 | ||||||
2.250%, 12/14/2018 | 2,420 | 2,433 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Rock Tenn | ||||||||
4.000%, 03/01/2023 | $ | 580 | $ | 563 | ||||
3.500%, 03/01/2020 | 570 | 568 | ||||||
Southern Copper | ||||||||
5.250%, 11/08/2042 | 3,910 | 3,151 | ||||||
Stauffer Chemical | ||||||||
7.480%, 04/15/2018 (H) | 860 | 353 | ||||||
7.275%, 04/15/2017 (H) | 350 | 175 | ||||||
Union Carbide | ||||||||
7.750%, 10/01/2096 | 200 | 218 | ||||||
7.500%, 06/01/2025 | 200 | 234 | ||||||
Vale | ||||||||
5.625%, 09/11/2042 | 1,048 | 928 | ||||||
Vale Overseas | ||||||||
8.250%, 01/17/2034 | 365 | 422 | ||||||
6.875%, 11/21/2036 | 2,958 | 3,028 | ||||||
4.375%, 01/11/2022 | 4,015 | 3,878 | ||||||
Xstrata Finance Canada | ||||||||
5.800%, 11/15/2016 (B) | 390 | 433 | ||||||
2.700%, 10/25/2017 (B) | 1,900 | 1,928 | ||||||
2.050%, 10/23/2015 (B) | 3,053 | 3,080 | ||||||
|
| |||||||
68,245 | ||||||||
|
| |||||||
Telecommunication Services — 1.8% |
| |||||||
America Movil | ||||||||
5.625%, 11/15/2017 | 1,450 | 1,651 | ||||||
5.000%, 03/30/2020 (C) | 740 | 805 | ||||||
3.125%, 07/16/2022 | 2,357 | 2,193 | ||||||
2.375%, 09/08/2016 | 1,368 | 1,406 | ||||||
AT&T | ||||||||
6.300%, 01/15/2038 | 2,230 | 2,413 | ||||||
5.800%, 02/15/2019 | 500 | 579 | ||||||
5.500%, 02/01/2018 | 1,885 | 2,142 | ||||||
5.350%, 09/01/2040 | 1,431 | 1,383 | ||||||
4.450%, 05/15/2021 | 440 | 462 | ||||||
4.350%, 06/15/2045 | 811 | 671 | ||||||
4.300%, 12/15/2042 (C) | 1,255 | 1,047 | ||||||
3.875%, 08/15/2021 | 860 | 866 | ||||||
2.500%, 08/15/2015 | 2,170 | 2,230 | ||||||
1.600%, 02/15/2017 | 2,180 | 2,191 | ||||||
1.400%, 12/01/2017 | 115 | 113 | ||||||
0.900%, 02/12/2016 | 184 | 184 | ||||||
BellSouth Telecommunications | ||||||||
6.300%, 12/15/2015 | 121 | 128 | ||||||
British Telecommunications | ||||||||
5.950%, 01/15/2018 | 1,511 | 1,743 | ||||||
CC Holdings GS V LLC | ||||||||
3.849%, 04/15/2023 | 245 | 231 | ||||||
Cellco Partnership | ||||||||
8.500%, 11/15/2018 | 340 | 437 | ||||||
Centel Capital | ||||||||
9.000%, 10/15/2019 | 325 | 393 | ||||||
CenturyLink | ||||||||
7.600%, 09/15/2039 | 360 | 326 | ||||||
6.450%, 06/15/2021 | 540 | 563 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 103 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Comcast Cable Holdings LLC | ||||||||
10.125%, 04/15/2022 | $ | 190 | $ | 260 | ||||
COX Communications | ||||||||
5.450%, 12/15/2014 | 323 | 339 | ||||||
Cox Enterprises | ||||||||
7.375%, 07/15/2027 (B) | 170 | 196 | ||||||
Crown Castle Towers LLC | ||||||||
3.214%, 08/15/2015 (B) | 290 | 296 | ||||||
Deutsche Telekom International Finance | ||||||||
5.750%, 03/23/2016 | 1,915 | 2,115 | ||||||
Deutsche Telekom International Finance BV | ||||||||
6.000%, 07/08/2019 | 600 | 704 | ||||||
2.250%, 03/06/2017 (B) | 3,130 | 3,206 | ||||||
DIRECTV Holdings | ||||||||
6.000%, 08/15/2040 | 3,000 | 2,917 | ||||||
4.600%, 02/15/2021 | 400 | 410 | ||||||
Discovery Communications LLC | ||||||||
4.375%, 06/15/2021 | 344 | 359 | ||||||
France Telecom | ||||||||
8.750%, 03/01/2031 | 370 | 510 | ||||||
2.750%, 09/14/2016 | 140 | 145 | ||||||
GTE | ||||||||
8.750%, 11/01/2021 | 600 | 773 | ||||||
6.840%, 04/15/2018 | 800 | 941 | ||||||
News America | ||||||||
7.300%, 04/30/2028 | 500 | 596 | ||||||
6.650%, 11/15/2037 | 385 | 446 | ||||||
News America Holdings | ||||||||
8.875%, 04/26/2023 | 200 | 259 | ||||||
7.700%, 10/30/2025 | 200 | 253 | ||||||
Nippon Telegraph & Telephone | ||||||||
1.400%, 07/18/2017 | 200 | 200 | ||||||
Qwest | ||||||||
6.750%, 12/01/2021 | 593 | 645 | ||||||
Rogers Communications | ||||||||
5.450%, 10/01/2043 | 71 | 72 | ||||||
4.100%, 10/01/2023 | 133 | 135 | ||||||
Sprint Capital | ||||||||
8.750%, 03/15/2032 (C) | 390 | 419 | ||||||
TCI Communications | ||||||||
7.125%, 02/15/2028 | 400 | 501 | ||||||
Telecom Italia Capital | ||||||||
7.175%, 06/18/2019 | 70 | 78 | ||||||
6.999%, 06/04/2018 | 500 | 553 | ||||||
6.175%, 06/18/2014 | 65 | 67 | ||||||
Telefonica Chile | ||||||||
3.875%, 10/12/2022 (B) (C) | 1,290 | 1,190 | ||||||
Telefonica Emisiones SAU | ||||||||
6.421%, 06/20/2016 | 100 | 112 | ||||||
6.221%, 07/03/2017 | 690 | 783 | ||||||
5.462%, 02/16/2021 | 69 | 73 | ||||||
5.877%, 07/15/2019 | 295 | 333 | ||||||
5.134%, 04/27/2020 (C) | 1,180 | 1,252 | ||||||
4.570%, 04/27/2023 | 1,570 | 1,556 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Thomson Reuters | ||||||||
5.650%, 11/23/2043 | $ | 320 | $ | 321 | ||||
1.300%, 02/23/2017 | 1,215 | 1,216 | ||||||
Time Warner Entertainment | ||||||||
8.375%, 03/15/2023 | 232 | 268 | ||||||
UBM | ||||||||
5.750%, 11/03/2020 (B) | 850 | 877 | ||||||
Verizon Communications | ||||||||
8.750%, 11/01/2018 | 126 | 162 | ||||||
7.750%, 12/01/2030 | 3,720 | 4,659 | ||||||
6.550%, 09/15/2043 | 1,910 | 2,174 | ||||||
6.400%, 09/15/2033 | 12,205 | 13,625 | ||||||
5.850%, 09/15/2035 (C) | 150 | 157 | ||||||
5.550%, 02/15/2016 | 138 | 152 | ||||||
5.500%, 02/15/2018 | 1,710 | 1,946 | ||||||
5.150%, 09/15/2023 | 8,505 | 9,076 | ||||||
4.500%, 09/15/2020 | 4,214 | 4,525 | ||||||
3.850%, 11/01/2042 | 990 | 792 | ||||||
3.650%, 09/14/2018 | 2,971 | 3,159 | ||||||
2.500%, 09/15/2016 | 4,065 | 4,221 | ||||||
2.450%, 11/01/2022 | 470 | 418 | ||||||
Verizon New England | ||||||||
7.875%, 11/15/2029 | 500 | 592 | ||||||
Vodafone Group | ||||||||
5.450%, 06/10/2019 | 226 | 259 | ||||||
2.950%, 02/19/2023 | 4,050 | 3,704 | ||||||
1.625%, 03/20/2017 | 240 | 241 | ||||||
1.500%, 02/19/2018 | 2,420 | 2,378 | ||||||
0.900%, 02/19/2016 | 3,507 | 3,523 | ||||||
Windstream | ||||||||
8.125%, 09/01/2018 | 365 | 393 | ||||||
WPP Finance UK | ||||||||
8.000%, 09/15/2014 | 520 | 549 | ||||||
|
| |||||||
106,238 | ||||||||
|
| |||||||
Utilities — 2.0% | ||||||||
AGL Capital | ||||||||
6.375%, 07/15/2016 | 200 | 225 | ||||||
5.875%, 03/15/2041 | 73 | 82 | ||||||
5.250%, 08/15/2019 | 170 | 194 | ||||||
Alabama Power | ||||||||
6.125%, 05/15/2038 | 69 | 80 | ||||||
5.875%, 12/01/2022 | 275 | 318 | ||||||
5.500%, 10/15/2017 | 810 | 920 | ||||||
Alabama Power Capital Trust V | ||||||||
3.348%, 10/01/2042 (A) | 100 | 93 | ||||||
Ameren | ||||||||
8.875%, 05/15/2014 | 2,080 | 2,154 | ||||||
American Electric Power | ||||||||
1.650%, 12/15/2017 | 2,267 | 2,248 | ||||||
American Water Capital | ||||||||
3.850%, 03/01/2024 | 300 | 298 | ||||||
Appalachian Power | ||||||||
5.950%, 05/15/2033 | 200 | 209 | ||||||
4.600%, 03/30/2021 | 150 | 162 |
104 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Arizona Public Service | ||||||||
5.050%, 09/01/2041 | $ | 219 | $ | 225 | ||||
4.500%, 04/01/2042 | 63 | 60 | ||||||
Atmos Energy | ||||||||
4.950%, 10/15/2014 | 260 | 269 | ||||||
Boston Gas | ||||||||
4.487%, 02/15/2042 (B) | 140 | 134 | ||||||
CenterPoint Energy | ||||||||
6.500%, 05/01/2018 | 271 | 319 | ||||||
CenterPoint Energy Resources | ||||||||
6.125%, 11/01/2017 | 320 | 372 | ||||||
4.500%, 01/15/2021 | 246 | 266 | ||||||
Cleveland Electric Illuminating | ||||||||
7.880%, 11/01/2017 | 310 | 378 | ||||||
Comision Federal de Electricidad | ||||||||
4.875%, 05/26/2021 (B) | 249 | 256 | ||||||
4.875%, 01/15/2024 (B) | 965 | 958 | ||||||
Consolidated Edison of New York | ||||||||
6.650%, 04/01/2019 | 650 | 793 | ||||||
5.700%, 06/15/2040 | 154 | 176 | ||||||
Consumers Energy | ||||||||
6.700%, 09/15/2019 | 400 | 495 | ||||||
2.850%, 05/15/2022 | 56 | 54 | ||||||
Dominion Gas Holdings LLC | ||||||||
4.800%, 11/01/2043 (B) | 840 | 822 | ||||||
Dominion Resources | ||||||||
8.875%, 01/15/2019 | 1,785 | 2,310 | ||||||
6.400%, 06/15/2018 | 295 | 349 | ||||||
5.250%, 08/01/2033 | 1,135 | 1,213 | ||||||
4.900%, 08/01/2041 | 48 | 47 | ||||||
1.950%, 08/15/2016 | 1,006 | 1,028 | ||||||
DPL | ||||||||
7.250%, 10/15/2021 | 8 | 8 | ||||||
DTE Electric | ||||||||
5.400%, 08/01/2014 | 50 | 52 | ||||||
2.650%, 06/15/2022 | 66 | 62 | ||||||
Duke Energy | ||||||||
3.950%, 10/15/2023 | 740 | 747 | ||||||
Duke Energy Carolinas | ||||||||
3.900%, 06/15/2021 | 200 | 211 | ||||||
Duke Energy Carolinas LLC | ||||||||
6.000%, 01/15/2038 | 48 | 56 | ||||||
5.100%, 04/15/2018 | 385 | 440 | ||||||
4.300%, 06/15/2020 | 195 | 211 | ||||||
4.250%, 12/15/2041 | 120 | 113 | ||||||
3.550%, 09/15/2021 | 722 | 732 | ||||||
1.625%, 08/15/2017 | 1,045 | 1,051 | ||||||
Duke Energy Florida | ||||||||
3.850%, 11/15/2042 | 2,690 | 2,353 | ||||||
Duke Energy Ohio | ||||||||
3.800%, 09/01/2023 | 805 | 818 | ||||||
Duke Energy Progress | ||||||||
5.300%, 01/15/2019 | 400 | 462 | ||||||
3.000%, 09/15/2021 | 111 | 110 | ||||||
2.800%, 05/15/2022 | 121 | 116 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Electricite de France | ||||||||
4.600%, 01/27/2020 (B) | $ | 610 | $ | 668 | ||||
Enel Finance International | ||||||||
5.125%, 10/07/2019 (B) (C) | 500 | 541 | ||||||
Entergy Louisiana LLC | ||||||||
6.500%, 09/01/2018 | 500 | 593 | ||||||
Exelon | ||||||||
5.625%, 06/15/2035 | 2,225 | 2,209 | ||||||
Exelon Generation | ||||||||
5.750%, 10/01/2041 | 86 | 83 | ||||||
4.000%, 10/01/2020 (C) | 588 | 588 | ||||||
Exelon Generation LLC | ||||||||
6.200%, 10/01/2017 (C) | 159 | 182 | ||||||
FirstEnergy | ||||||||
4.250%, 03/15/2023 (C) | 2,040 | 1,900 | ||||||
2.750%, 03/15/2018 | 650 | 640 | ||||||
FirstEnergy, Ser C | ||||||||
7.375%, 11/15/2031 (C) | 4,905 | 5,188 | ||||||
Florida Gas Transmission LLC | ||||||||
3.875%, 07/15/2022 (B) | 2,170 | 2,136 | ||||||
Florida Power & Light | ||||||||
5.950%, 10/01/2033 | 150 | 180 | ||||||
5.125%, 06/01/2041 | 197 | 213 | ||||||
Great Plains Energy | ||||||||
4.850%, 06/01/2021 | 27 | 28 | ||||||
Indiana Michigan Power | ||||||||
7.000%, 03/15/2019 | 170 | 204 | ||||||
Jersey Central Power & Light | ||||||||
7.350%, 02/01/2019 | 500 | 601 | ||||||
John Sevier Combined Cycle Generation | ||||||||
4.626%, 01/15/2042 | 251 | 249 | ||||||
Kansas City Power & Light | ||||||||
5.300%, 10/01/2041 | 350 | 356 | ||||||
KCP&L Greater Missouri Operations | ||||||||
8.270%, 11/15/2021 | 2,894 | 3,521 | ||||||
Kentucky Utilities | ||||||||
4.650%, 11/15/2043 | 510 | 509 | ||||||
Louisville Gas & Electric | ||||||||
4.650%, 11/15/2043 | 455 | 454 | ||||||
Massachusetts Electric | ||||||||
5.900%, 11/15/2039 (B) | 210 | 235 | ||||||
Metropolitan Edison | ||||||||
3.500%, 03/15/2023 (B) | 5,050 | 4,765 | ||||||
MidAmerican Energy | ||||||||
5.300%, 03/15/2018 | 250 | 286 | ||||||
4.800%, 09/15/2043 | 95 | 96 | ||||||
2.400%, 03/15/2019 | 1,285 | 1,313 | ||||||
MidAmerican Energy Holdings | ||||||||
6.500%, 09/15/2037 | 3,200 | 3,758 | ||||||
6.125%, 04/01/2036 | 118 | 133 | ||||||
5.150%, 11/15/2043 (B) | 1,995 | 2,007 | ||||||
3.750%, 11/15/2023 (B) | 488 | 485 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 105 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Mirant Mid Atlantic | ||||||||
10.060%, 12/30/2028 | $ | 229 | $ | 255 | ||||
Nevada Power | ||||||||
7.125%, 03/15/2019 | 400 | 495 | ||||||
6.500%, 08/01/2018 | 290 | 348 | ||||||
5.450%, 05/15/2041 | 150 | 164 | ||||||
5.375%, 09/15/2040 | 45 | 48 | ||||||
Niagara Mohawk Power | ||||||||
4.881%, 08/15/2019 (B) | 180 | 201 | ||||||
Nisource Finance | ||||||||
6.800%, 01/15/2019 (C) | 3,747 | 4,431 | ||||||
5.800%, 02/01/2042 | 471 | 473 | ||||||
5.650%, 02/01/2045 | 840 | 847 | ||||||
Northern States Power | ||||||||
6.250%, 06/01/2036 | 350 | 427 | ||||||
5.350%, 11/01/2039 | 56 | 62 | ||||||
Oncor Electric Delivery | ||||||||
6.800%, 09/01/2018 | 4,660 | 5,560 | ||||||
4.550%, 12/01/2041 | 1,500 | 1,429 | ||||||
Pacific Gas & Electric | ||||||||
8.250%, 10/15/2018 | 1,570 | 2,001 | ||||||
5.800%, 03/01/2037 | 560 | 612 | ||||||
5.400%, 01/15/2040 | 156 | 163 | ||||||
5.125%, 11/15/2043 | 1,190 | 1,214 | ||||||
4.600%, 06/15/2043 | 325 | 304 | ||||||
4.500%, 12/15/2041 | 180 | 166 | ||||||
4.450%, 04/15/2042 | 2,443 | 2,236 | ||||||
3.250%, 09/15/2021 | 35 | 34 | ||||||
3.250%, 06/15/2023 | 1,865 | 1,778 | ||||||
PacifiCorp | ||||||||
6.250%, 10/15/2037 | 310 | 376 | ||||||
5.650%, 07/15/2018 | 600 | 698 | ||||||
5.500%, 01/15/2019 | 400 | 466 | ||||||
PG&E | ||||||||
5.750%, 04/01/2014 | 80 | 81 | ||||||
PPL Capital Funding | ||||||||
4.700%, 06/01/2043 | 835 | 737 | ||||||
3.400%, 06/01/2023 | 895 | 841 | ||||||
PPL Energy Supply | ||||||||
4.600%, 12/15/2021 (C) | 230 | 223 | ||||||
Progress Energy | ||||||||
6.000%, 12/01/2039 | 200 | 224 | ||||||
PSEG Power | ||||||||
5.125%, 04/15/2020 | 120 | 131 | ||||||
4.150%, 09/15/2021 | 72 | 74 | ||||||
PSEG Power LLC | ||||||||
5.500%, 12/01/2015 | 445 | 485 | ||||||
5.320%, 09/15/2016 | 126 | 139 | ||||||
2.750%, 09/15/2016 | 1,055 | 1,098 | ||||||
Public Service Electric & Gas | ||||||||
5.375%, 11/01/2039 | 97 | 107 | ||||||
3.650%, 09/01/2042 | 113 | 97 | ||||||
2.700%, 05/01/2015 | 135 | 139 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Public Service of New Hampshire | ||||||||
3.500%, 11/01/2023 | $ | 1,920 | $ | 1,901 | ||||
Public Service of New Mexico | ||||||||
7.950%, 05/15/2018 | 3,000 | 3,609 | ||||||
Public Service of Oklahoma | ||||||||
5.150%, 12/01/2019 | 220 | 247 | ||||||
Puget Energy | ||||||||
6.000%, 09/01/2021 | 2,160 | 2,384 | ||||||
Sabine Pass LNG | ||||||||
7.500%, 11/30/2016 (C) | 710 | 802 | ||||||
7.500%, 11/30/2016 (B) | 230 | 252 | ||||||
San Diego Gas & Electric | ||||||||
6.000%, 06/01/2026 | 400 | 485 | ||||||
3.950%, 11/15/2041 | 41 | 38 | ||||||
Sempra Energy | ||||||||
9.800%, 02/15/2019 | 100 | 134 | ||||||
6.500%, 06/01/2016 | 135 | 153 | ||||||
6.000%, 10/15/2039 | 170 | 189 | ||||||
4.050%, 12/01/2023 | 755 | 756 | ||||||
2.875%, 10/01/2022 | 140 | 130 | ||||||
2.000%, 03/15/2014 | 234 | 235 | ||||||
Southern | ||||||||
4.150%, 05/15/2014 | 85 | 86 | ||||||
2.450%, 09/01/2018 | 1,537 | 1,563 | ||||||
1.950%, 09/01/2016 | 130 | 133 | ||||||
Southern California Edison | ||||||||
6.650%, 04/01/2029 | 200 | 241 | ||||||
5.500%, 03/15/2040 | 170 | 191 | ||||||
4.650%, 04/01/2015 | 200 | 211 | ||||||
3.500%, 10/01/2023 | 3,125 | 3,114 | ||||||
Southern Power | ||||||||
5.150%, 09/15/2041 | 44 | 43 | ||||||
Southern Star Central Gas Pipeline | ||||||||
6.000%, 06/01/2016 (B) | 655 | 708 | ||||||
Southwestern Electric Power | ||||||||
6.450%, 01/15/2019 | 672 | 783 | ||||||
3.550%, 02/15/2022 | 630 | 618 | ||||||
Southwestern Public Service | ||||||||
8.750%, 12/01/2018 | 300 | 387 | ||||||
Virginia Electric and Power | ||||||||
5.400%, 04/30/2018 | 695 | 800 | ||||||
4.650%, 08/15/2043 | 2,550 | 2,549 | ||||||
2.950%, 01/15/2022 | 1,470 | 1,445 | ||||||
Wisconsin Electric Power | ||||||||
3.650%, 12/15/2042 | 183 | 156 | ||||||
2.950%, 09/15/2021 | 14 | 14 | ||||||
Wisconsin Public Service | ||||||||
4.752%, 11/01/2044 | 1,055 | 1,072 | ||||||
|
| |||||||
113,763 | ||||||||
|
| |||||||
Total Corporate Obligations |
| 1,591,445 | ||||||
|
|
106 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES — 9.9% |
| |||||||
Automotive — 1.9% | ||||||||
Ally Auto Receivables Trust, | ||||||||
2.090%, 05/15/2015 | $ | 246 | $ | 247 | ||||
Ally Auto Receivables Trust, | ||||||||
1.550%, 08/17/2015 | 199 | 200 | ||||||
Ally Auto Receivables Trust, | ||||||||
1.350%, 12/15/2015 | 2,362 | 2,370 | ||||||
Ally Auto Receivables Trust, | ||||||||
1.750%, 03/15/2016 | 4,383 | 4,408 | ||||||
Ally Auto Receivables Trust, | ||||||||
2.230%, 03/15/2016 | 5,685 | 5,733 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.930%, 02/16/2016 | 605 | 607 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.740%, 04/15/2016 | 2,479 | 2,484 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.450%, 07/15/2015 | 5,374 | 5,375 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.840%, 02/15/2018 | 3,399 | 3,389 | ||||||
Ally Master Owner Trust, | ||||||||
1.810%, 05/15/2016 | 2,325 | 2,338 | ||||||
Ally Master Owner Trust, | ||||||||
1.440%, 02/15/2017 | 1,960 | 1,977 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
3.040%, 10/15/2015 (B) | 44 | 44 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
1.890%, 07/15/2016 (B) | 387 | 389 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
1.640%, 11/15/2016 (B) | 425 | 425 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
1.390%, 09/08/2015 | 4 | 4 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-1, Cl A2 | ||||||||
0.910%, 10/08/2015 | $ | 22 | $ | 22 | ||||
AmeriCredit Automobile Receivables Trust, Ser 2012-3, Cl A2 | ||||||||
0.710%, 12/08/2015 | 138 | 139 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-3, Cl A3 | ||||||||
0.960%, 01/09/2017 | 299 | 300 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-4, Cl A2 | ||||||||
0.490%, 04/08/2016 | 1,709 | 1,708 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-4, Cl A3 | ||||||||
0.670%, 06/08/2017 | 2,170 | 2,168 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-5, Cl A2 | ||||||||
0.510%, 01/08/2016 | 404 | 404 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-5, Cl A3 | ||||||||
0.620%, 06/08/2017 | 232 | 232 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2013-2, Cl A2 | ||||||||
0.530%, 11/08/2016 | 729 | 729 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2013-3, Cl A2 | ||||||||
0.680%, 10/11/2016 | 5,211 | 5,211 | ||||||
Avis Budget Rental Car Funding LLC, | ||||||||
3.150%, 03/20/2017 (B) | 440 | 459 | ||||||
Avis Budget Rental Car Funding LLC, | ||||||||
2.802%, 05/20/2018 (B) | 1,050 | 1,090 | ||||||
Avis Budget Rental Car Funding LLC, | ||||||||
2.100%, 03/20/2019 (B) | 1,700 | 1,708 | ||||||
Avis Budget Rental Car Funding LLC, | ||||||||
1.920%, 09/20/2019 (B) | 900 | 893 | ||||||
Avis Budget Rental Car Funding LLC, | ||||||||
2.970%, 02/20/2020 | 590 | 607 | ||||||
Bank of America Auto Trust, Ser 2010-2, Cl A4 | ||||||||
1.940%, 06/15/2017 | 329 | 329 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 107 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BMW Vehicle Lease Trust, Ser 2012-1, Cl A3 | ||||||||
0.750%, 02/20/2015 | $ | 280 | $ | 280 | ||||
California Republic Auto Receivables Trust, | ||||||||
1.180%, 08/15/2017 (B) | 614 | 613 | ||||||
Capital Auto Receivables Asset Trust, | ||||||||
0.790%, 06/20/2017 | 4,777 | 4,767 | ||||||
Capital Auto Receivables Asset Trust, | ||||||||
0.920%, 09/20/2016 | 2,443 | 2,450 | ||||||
Capital Auto Receivables Asset Trust, | ||||||||
1.560%, 07/20/2018 | 1,301 | 1,315 | ||||||
Capital Auto Receivables Asset Trust, | ||||||||
0.598%, 11/20/2015 (A) | 250 | 250 | ||||||
Capital Auto Receivables Asset Trust, | ||||||||
1.040%, 11/21/2016 | 1,243 | 1,248 | ||||||
Capital Auto Receivables Asset Trust, | ||||||||
1.680%, 04/20/2018 | 1,502 | 1,522 | ||||||
Capital Auto Receivables Asset Trust, | ||||||||
1.090%, 03/20/2018 | 1,785 | 1,785 | ||||||
Capital Auto Receivables Asset Trust, | ||||||||
1.470%, 07/20/2018 | 2,428 | 2,428 | ||||||
CarMax Auto Owner Trust, | ||||||||
1.380%, 09/15/2015 | 78 | 78 | ||||||
CarMax Auto Owner Trust, | ||||||||
2.290%, 09/15/2016 | 530 | 537 | ||||||
CPS Auto Trust, Ser 2011-B, Cl A | ||||||||
3.680%, 09/17/2018 (B) | 262 | 268 | ||||||
CPS Auto Trust, Ser 2011-C, Cl A | ||||||||
4.210%, 03/15/2019 (B) | 272 | 279 | ||||||
CPS Auto Trust, Ser 2012-A, Cl A | ||||||||
2.780%, 06/17/2019 (B) | 119 | 121 | ||||||
CPS Auto Trust, Ser 2012-B, Cl A | ||||||||
3.090%, 09/16/2019 (B) | 733 | 743 | ||||||
CPS Auto Trust, Ser 2012-C, Cl A | ||||||||
1.820%, 12/16/2019 (B) | 478 | 481 | ||||||
CPS Auto Trust, Ser 2012-D, Cl A | ||||||||
1.480%, 03/16/2020 (B) | 315 | 316 | ||||||
Credit Acceptance Auto Loan Trust, | ||||||||
1.520%, 03/16/2020 (B) | 605 | 607 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
DT Auto Owner Trust, Ser 2012- 2A, Cl A | ||||||||
0.910%, 11/16/2015 (B) | $ | 44 | $ | 45 | ||||
Exeter Automobile Receivables Trust, | ||||||||
1.300%, 06/15/2017 (B) | 352 | 353 | ||||||
First Investors Auto Owner Trust, Ser 2012-2A, Cl A2 | ||||||||
1.470%, 05/15/2018 (B) | 355 | 357 | ||||||
First Investors Auto Owner Trust, Ser 2013-1A, Cl A2 | ||||||||
0.900%, 10/15/2018 (B) | 155 | 155 | ||||||
Ford Credit Auto Owner Trust, Ser 2012-C, Cl A2 | ||||||||
0.470%, 04/15/2015 | 230 | 230 | ||||||
Ford Credit Auto Owner Trust, Ser 2013-B, Cl A2 | ||||||||
0.380%, 02/15/2016 | 736 | 736 | ||||||
Ford Credit Auto Owner Trust, Ser 2013-D, Cl A2 | ||||||||
0.450%, 08/15/2016 | 2,900 | 2,900 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-1, Cl A | ||||||||
0.638%, 01/15/2016 (A) | 833 | 833 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-4, Cl A1 | ||||||||
0.740%, 09/15/2016 | 4,875 | 4,884 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
1.110%, 09/15/2016 | 864 | 866 | ||||||
Hertz Vehicle Financing LLC, | ||||||||
5.290%, 03/25/2016 (B) | 700 | 733 | ||||||
Hertz Vehicle Financing LLC, | ||||||||
1.830%, 08/25/2019 (B) | 1,300 | 1,287 | ||||||
Honda Auto Receivables Owner Trust, Ser 2012-1, Cl A4 | ||||||||
0.970%, 04/16/2018 | 56 | 56 | ||||||
Honda Auto Receivables Owner Trust, Ser 2012-3, Cl A2 | ||||||||
0.460%, 12/15/2014 | 608 | 608 | ||||||
Honda Auto Receivables Owner Trust, Ser 2013-2, Cl A3 | ||||||||
0.530%, 02/16/2017 | 1,661 | 1,661 | ||||||
Honda Auto Receivables Owner Trust, Ser 2013-3, Cl A2 | ||||||||
0.540%, 01/15/2016 | 3,190 | 3,193 | ||||||
Honda Auto Receivables Owner Trust, Ser 2013-4, Cl A2 | ||||||||
0.450%, 04/18/2016 | 3,340 | 3,341 |
108 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Huntington Auto Trust, | ||||||||
0.810%, 09/15/2016 | $ | 168 | $ | 169 | ||||
Hyundai Auto Receivables Trust, | ||||||||
0.970%, 04/15/2015 | 5 | 5 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
1.160%, 04/15/2015 | 14 | 14 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
1.780%, 12/15/2015 | 365 | 368 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
1.650%, 02/15/2017 | 288 | 291 | ||||||
LAI Vehicle Lease Securitization Trust, | ||||||||
2.550%, 09/15/2016 (B) | 8 | 8 | ||||||
Mercedes-Benz Auto Receivables Trust, | ||||||||
0.850%, 03/16/2015 | 546 | 547 | ||||||
MMCA Automobile Trust, Ser 2011-A, Cl A4 | ||||||||
2.020%, 10/17/2016 (B) | 859 | 865 | ||||||
MMCA Automobile Trust, | ||||||||
1.890%, 08/15/2017 (B) | 700 | 705 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
1.180%, 02/16/2015 | 172 | 172 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
0.390%, 04/15/2015 | 438 | 438 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
2.390%, 06/15/2017 (B) | 400 | 403 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
2.060%, 06/15/2017 (B) | 54 | 54 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
3.350%, 06/15/2017 (B) | 14 | 14 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
1.250%, 04/15/2015 | 3 | 3 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
0.910%, 05/15/2015 | 14 | 14 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
1.220%, 12/15/2015 | 133 | 133 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
1.080%, 04/15/2016 | $ | 162 | $ | 162 | ||||
Santander Drive Auto Receivables Trust, | ||||||||
0.570%, 12/15/2015 | 582 | 582 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
0.830%, 12/15/2016 | 1,331 | 1,333 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
0.470%, 09/15/2015 | 790 | 790 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
0.620%, 07/15/2016 | 1,663 | 1,664 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
0.700%, 09/15/2017 | 4,994 | 4,995 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
0.550%, 09/15/2016 | 4,344 | 4,341 | ||||||
SNAAC Auto Receivables Trust, | ||||||||
1.780%, 06/15/2016 (B) | 42 | 42 | ||||||
Toyota Auto Receivables Owner Trust, | ||||||||
1.560%, 05/15/2015 | 415 | 417 | ||||||
Toyota Auto Receivables Owner Trust, | ||||||||
0.480%, 02/15/2016 | 1,775 | 1,776 | ||||||
United Auto Credit Securitization Trust, | ||||||||
1.100%, 03/16/2015 (B) | 110 | 110 | ||||||
Volkswagen Auto Lease Trust, | ||||||||
0.870%, 07/20/2015 | 687 | 689 | ||||||
Volkswagen Auto Loan Enhanced Trust, | ||||||||
0.330%, 07/20/2015 | 1,159 | 1,159 | ||||||
Volkswagen Auto Loan Enhanced Trust, | ||||||||
0.420%, 07/20/2016 | 3,055 | 3,055 | ||||||
World Omni Automobile Lease Securitization Trust, | ||||||||
0.710%, 01/15/2015 | 49 | 49 | ||||||
World Omni Automobile Lease Securitization Trust, | ||||||||
0.930%, 11/16/2015 | 181 | 181 | ||||||
|
| |||||||
113,863 | ||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 109 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Credit Cards — 0.7% |
| |||||||
American Express Credit Account Master Trust, Ser 2013-2, Cl A | ||||||||
0.589%, 05/17/2021 (A) | $ | 2,223 | $ | 2,223 | ||||
American Express Issuance Trust II, | ||||||||
0.448%, 02/15/2019 (A) | 3,316 | 3,300 | ||||||
American Express Issuance Trust II, | ||||||||
0.680%, 08/15/2019 | 4,358 | 4,366 | ||||||
BA Credit Card Trust, | ||||||||
0.238%, 12/15/2016 (A) | 3,607 | 3,607 | ||||||
Capital One Multi-Asset Execution Trust, | ||||||||
0.218%, 11/15/2019 (A) | 5,086 | 5,041 | ||||||
Capital One Multi-Asset Execution Trust, | ||||||||
0.208%, 07/15/2020 (A) | 1,799 | 1,776 | ||||||
Chase Issuance Trust, | ||||||||
0.540%, 10/16/2017 | 987 | 987 | ||||||
Chase Issuance Trust, | ||||||||
0.268%, 02/15/2017 (A) | 999 | 998 | ||||||
Citibank Credit Card Issuance Trust, | ||||||||
0.730%, 02/07/2018 | 8,019 | 8,030 | ||||||
Citibank Credit Card Issuance Trust, | ||||||||
0.599%, 09/10/2020 (A) | 3,853 | 3,855 | ||||||
Discover Card Execution Note Trust, | ||||||||
1.040%, 04/15/2019 | 1,742 | 1,746 | ||||||
Discover Card Execution Note Trust, | ||||||||
0.618%, 10/15/2018 (A) | 2,435 | 2,431 | ||||||
GE Capital Credit Card Master Note Trust, | ||||||||
0.718%, 01/17/2017 (A) | 1,756 | 1,757 | ||||||
World Financial Network Credit Card Master Trust, Ser 2013-B, Cl A | ||||||||
0.910%, 03/16/2020 | 3,395 | 3,381 | ||||||
|
| |||||||
43,498 | ||||||||
|
| |||||||
Mortgage Related Securities — 0.9% |
| |||||||
Aames Mortgage Trust, Ser 2002-1, Cl A3 | ||||||||
6.400%, 06/25/2032 | 46 | 45 | ||||||
AFC Home Equity Loan Trust, | ||||||||
0.806%, 03/25/2030 (A) | 1,798 | 1,099 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Argent Securities, Ser 2004-W5, Cl AV2 | ||||||||
1.206%, 04/25/2034 (A) | $ | 1,113 | $ | 1,109 | ||||
Asset-Backed Funding Certificates, Ser 2005-AQ1, Cl A4 | ||||||||
5.010%, 06/25/2035 | 562 | 568 | ||||||
Asset-Backed Funding Certificates, Ser 2005-WMC1, Cl M1 | ||||||||
0.826%, 06/25/2035 (A) | 48 | 47 | ||||||
Asset-Backed Securities Home Equity Loan Trust, Ser 2003-HE7, Cl M1 | ||||||||
1.143%, 12/15/2033 (A) | 2,507 | 2,348 | ||||||
Asset-Backed Securities Home Equity Loan Trust, Ser 2005-HE6, Cl M2 | ||||||||
0.676%, 07/25/2035 (A) | 977 | 962 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2003-2, Cl A3 | ||||||||
1.666%, 03/25/2043 (A) | 1,948 | 1,895 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2005-HE12, Cl 1A3 | ||||||||
0.556%, 12/25/2035 (A) | 4,488 | 4,394 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2005-TC2, Cl A3 | ||||||||
0.536%, 08/25/2035 (A) | 3,948 | 3,892 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2006-HE1, Cl 1A2 | ||||||||
0.386%, 12/25/2035 (A) | 5 | 5 | ||||||
Centex Home Equity, | ||||||||
3.235%, 02/25/2032 | 96 | 95 | ||||||
Centex Home Equity, Ser 2003-B, Cl AF6 | ||||||||
3.173%, 06/25/2033 (A) | 56 | 56 | ||||||
Centex Home Equity, Ser 2006-A, Cl AV4 | ||||||||
0.416%, 06/25/2036 (A) | 75 | 66 | ||||||
Citicorp Residential Mortgage Securities, | ||||||||
5.775%, 09/25/2036 | 3,432 | 3,488 | ||||||
Conseco Finance Home Loan Trust, | ||||||||
6.690%, 11/15/2032 (A) | 754 | 756 | ||||||
Contimortgage Home Equity Trust, | ||||||||
7.090%, 04/15/2028 | 1 | 1 |
110 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Delta Funding Home Equity Loan Trust, | ||||||||
0.988%, 09/15/2029 (A) | $ | 310 | $ | 279 | ||||
EMC Mortgage Loan Trust, | ||||||||
1.106%, 05/25/2039 (A) (B) | 526 | 494 | ||||||
GSAA Trust, Ser 2005-6, Cl A3 | ||||||||
0.536%, 06/25/2035 (A) | 3,376 | 3,130 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.428%, 01/20/2035 (A) | 66 | 65 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.328%, 01/20/2036 (A) | 4,782 | 4,654 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.348%, 01/20/2036 (A) | 56 | 55 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.318%, 03/20/2036 (A) | 215 | 210 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.318%, 03/20/2036 (A) | 31 | 30 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.368%, 03/20/2036 (A) | 168 | 164 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
1.368%, 11/20/2036 (A) | 485 | 482 | ||||||
Lake Country Mortgage Loan Trust, | ||||||||
0.516%, 07/25/2034 (A) (B) | 358 | 356 | ||||||
MASTR Asset-Backed Securities Trust, | ||||||||
0.536%, 06/25/2035 (A) | 3,239 | 3,193 | ||||||
MASTR Asset-Backed Securities Trust, | ||||||||
0.326%, 08/25/2036 (A) | 1,092 | 486 | ||||||
New Century Home Equity Loan Trust, | ||||||||
0.536%, 09/25/2035 (A) | 7,695 | 7,570 | ||||||
Renaissance Home Equity Loan Trust, | ||||||||
4.499%, 08/25/2035 | 446 | 451 | ||||||
Residential Asset Securities, | ||||||||
0.536%, 10/25/2035 (A) | 28 | 28 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Residential Funding Mortgage | ||||||||
8.290%, 02/25/2025 | $ | 232 | $ | 229 | ||||
RMAT, Ser 2012-1A, Cl A1 | ||||||||
2.734%, 08/26/2052 (A) (B) | 500 | 502 | ||||||
Salomon Brothers Mortgage | ||||||||
3.950%, 04/25/2032 (B) | 117 | 115 | ||||||
Saxon Asset Securities Trust, | ||||||||
4.795%, 06/25/2033 | 202 | 205 | ||||||
Security National Mortgage Loan Trust, | ||||||||
0.516%, 04/25/2037 (A) (B) | 577 | 434 | ||||||
Soundview Home Equity Loan Trust, | ||||||||
0.316%, 06/25/2037 (A) | 128 | 67 | ||||||
Structured Asset Securities, | ||||||||
3.450%, 02/25/2032 | 235 | 233 | ||||||
Structured Asset Securities, | ||||||||
4.690%, 02/25/2035 | 934 | 929 | ||||||
Structured Asset Securities, | ||||||||
0.316%, 07/25/2036 (A) | 393 | 384 | ||||||
UCFC Home Equity Loan, | ||||||||
6.905%, 04/15/2030 | 651 | 656 | ||||||
Wells Fargo Home Equity Trust, | ||||||||
5.000%, 10/25/2034 (A) | 3,960 | 4,015 | ||||||
|
| |||||||
50,242 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 6.4% |
| |||||||
Academic Loan Funding Trust, | ||||||||
0.966%, 12/27/2022 (A) (B) | 315 | 318 | ||||||
Academic Loan Funding Trust, | ||||||||
0.968%, 12/26/2044 (A) (B) | 1,000 | 993 | ||||||
Access Group, Ser 2006-1, Cl A2 | ||||||||
0.348%, 08/25/2023 (A) | 2,480 | 2,439 | ||||||
AEP Texas Central Transition Funding LLC, | ||||||||
6.250%, 01/15/2017 | 4,840 | 5,158 | ||||||
Aircastle Aircraft Lease Backed Trust, | ||||||||
0.483%, 06/14/2037 (A) (B) | 3,134 | 2,885 | ||||||
Ally Master Owner Trust, | ||||||||
2.150%, 01/15/2016 | 6,698 | 6,711 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 111 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ally Master Owner Trust, | ||||||||
0.968%, 09/15/2016 (A) | $ | 1,603 | $ | 1,608 | ||||
Ally Master Owner Trust, | ||||||||
1.540%, 09/15/2019 | 4,175 | 4,180 | ||||||
Alm Loan Funding, Ser 2012-7A, Cl A1 | ||||||||
1.662%, 10/19/2024 (A) (B) | 4,350 | 4,352 | ||||||
Ameriquest Mortgage Securities, | ||||||||
0.596%, 07/25/2035 (A) | 308 | 302 | ||||||
Ameriquest Mortgage Securities, | ||||||||
0.366%, 08/25/2035 (A) | 16 | 16 | ||||||
Amortizing Residential Collateral Trust CMO, Ser 2002-BC1, Cl A | ||||||||
0.846%, 01/25/2032 (A) | 426 | 391 | ||||||
Apidos CDO II, Ser 2005-2A, Cl C | ||||||||
2.038%, 12/21/2018 (A) (B) | 1,750 | 1,697 | ||||||
Apidos CDO, Ser 2014-16A, Cl A1 | ||||||||
1.689%, 01/19/2025 (A) (B) | 1,000 | 998 | ||||||
Apidos CDO, Ser 2014-16A, Cl B | ||||||||
3.039%, 01/19/2025 (A) (B) | 2,000 | 1,974 | ||||||
Ascentium Equipment Receivables LLC, | ||||||||
1.830%, 09/15/2019 (B) | 236 | 236 | ||||||
Axis Equipment Finance Receivables LLC, | ||||||||
1.750%, 03/20/2017 (B) | 609 | 613 | ||||||
Babcock & Brown Air Funding I, | ||||||||
0.619%, 11/14/2033 (A) (B) | 2,416 | 2,030 | ||||||
Bayview Opportunity Master Fund Trust IIB, Ser 2012-4NPL, Cl A | ||||||||
3.475%, 07/28/2032 (A) (B) | 359 | 360 | ||||||
Bayview Opportunity Master Fund Trust IIB, Ser 2013-8NPL, Cl A | ||||||||
3.228%, 03/28/2033 (A) (B) | 934 | 940 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2005-SD1, Cl 1A3 | ||||||||
0.566%, 08/25/2043 (A) | 3,811 | 3,753 | ||||||
Brazos Education Loan Authority, | ||||||||
0.866%, 12/26/2035 (A) | 4,606 | 4,581 | ||||||
Brazos Higher Education Authority, | ||||||||
1.438%, 02/25/2035 (A) | 4,835 | 4,805 | ||||||
Brazos Higher Education Authority, | ||||||||
1.038%, 02/25/2030 (A) | 2,938 | 2,960 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Brazos Higher Education Authority, | ||||||||
1.238%, 10/27/2036 (A) | $ | 3,520 | $ | 3,481 | ||||
BXG Receivables Note Trust, | ||||||||
2.660%, 12/02/2027 (B) | 384 | 380 | ||||||
Carlyle Global Market Strategies, | ||||||||
1.711%, 10/15/2025 (A) (B) | 1,930 | 1,930 | ||||||
Carlyle Global Market Strategies, | ||||||||
3.041%, 10/15/2025 (A) (B) | 1,000 | 970 | ||||||
Carrington Mortgage Loan Trust, | ||||||||
0.566%, 09/25/2035 (A) | 3,184 | 3,131 | ||||||
Castle Trust, Ser 2003-1AW, Cl A1 | ||||||||
0.918%, 05/15/2027 (A) (B) | 71 | 65 | ||||||
CenterPoint Energy Transition Bond LLC, | ||||||||
4.192%, 02/01/2020 | 862 | 906 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | ||||||||
4.499%, 11/25/2034 | 168 | 169 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | ||||||||
5.350%, 11/25/2034 | 500 | 519 | ||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | ||||||||
4.277%, 11/25/2034 | 582 | 588 | ||||||
CIT Education Loan Trust, | ||||||||
0.341%, 03/25/2042 (A) (B) | 3,627 | 3,322 | ||||||
Citicorp Residential Mortgage Securities, | ||||||||
6.036%, 09/25/2036 | 6,465 | 6,179 | ||||||
Citicorp Residential Mortgage Securities, | ||||||||
6.046%, 03/25/2037 | 990 | 913 | ||||||
CNH Equipment Trust, | ||||||||
1.200%, 05/16/2016 | 78 | 78 | ||||||
CNH Equipment Trust, | ||||||||
2.040%, 10/17/2016 | 213 | 216 | ||||||
CNH Equipment Trust, | ||||||||
0.940%, 05/15/2017 | 214 | 215 | ||||||
CNH Equipment Trust, | ||||||||
0.440%, 02/16/2016 | 391 | 391 |
112 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CNH Equipment Trust, | ||||||||
0.630%, 01/17/2017 | $ | 2,205 | $ | 2,207 | ||||
Concord Funding LLC, | ||||||||
3.145%, 01/15/2017 (B) | 1,350 | 1,350 | ||||||
Conseco Finance Home Loan Trust, | ||||||||
8.130%, 08/15/2031 (A) | 414 | 416 | ||||||
Conseco Financial, | ||||||||
7.240%, 06/15/2028 (A) | 13 | 14 | ||||||
Conseco Financial, | ||||||||
6.240%, 12/01/2028 (A) | 103 | 106 | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
0.826%, 04/25/2032 (A) | 52 | 34 | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
0.766%, 06/25/2033 (A) | 115 | 107 | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
0.436%, 12/25/2034 (A) | 4,763 | 4,343 | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
0.636%, 02/25/2036 (A) | 8,230 | 8,044 | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
0.626%, 10/25/2035 (A) | 122 | 122 | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
5.435%, 10/25/2046 (A) | 205 | 168 | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
0.496%, 07/25/2036 (A) (B) | 324 | 233 | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
1.066%, 10/25/2047 (A) | 733 | 621 | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
0.366%, 02/25/2037 (A) (B) | 782 | 513 | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
0.616%, 03/25/2047 (A) (B) | 596 | 322 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Countrywide Home Equity Loan Trust, | ||||||||
0.468%, 02/15/2034 (A) | $ | 515 | $ | 444 | ||||
Credit-Based Asset Servicing and Securitization LLC, | ||||||||
3.379%, 12/25/2032 | 83 | 81 | ||||||
Credit-Based Asset Servicing and Securitization LLC, | ||||||||
3.939%, 12/25/2036 | 561 | 366 | ||||||
Credit-Based Asset Servicing and Securitization LLC, | ||||||||
5.704%, 12/25/2036 | 1,314 | 1,029 | ||||||
Credit-Based Asset Servicing and Securitization LLC, | ||||||||
0.476%, 05/25/2046 (A) (B) | 9,983 | 7,411 | ||||||
Educational Funding of the South, | ||||||||
0.888%, 04/25/2035 (A) | 3,580 | 3,559 | ||||||
EFS Volunteer No. 2 LLC, | ||||||||
1.529%, 03/25/2036 (A) (B) | 2,500 | 2,533 | ||||||
EFS Volunteer No. 3 LLC, | ||||||||
1.179%, 04/25/2033 (A) (B) | 4,600 | 4,517 | ||||||
Equity One Mortgage Pass-Through Trust, | ||||||||
5.050%, 09/25/2033 (A) | 123 | 124 | ||||||
First Franklin Mortgage Loan Asset Backed Certificates, | ||||||||
1.166%, 09/25/2034 (A) | 55 | 54 | ||||||
First Franklin Mortgage Loan Asset-Backed Certificates, | ||||||||
0.546%, 09/25/2035 (A) | 2,765 | 2,736 | ||||||
Flatiron CLO, Ser 2013-1A, Cl A1 | ||||||||
1.636%, 01/17/2026 (A) (B) | 1,700 | 1,696 | ||||||
Flatiron CLO, Ser 2013-1A, Cl B | ||||||||
2.986%, 01/17/2026 (A) (B) | 1,200 | 1,189 | ||||||
Ford Credit Floorplan Master Owner Trust, | ||||||||
2.120%, 02/15/2016 | 2,675 | 2,684 | ||||||
Ford Credit Floorplan Master Owner Trust, | ||||||||
1.500%, 09/15/2018 | 830 | 840 | ||||||
GE Equipment Midticket LLC, | ||||||||
0.470%, 01/22/2015 | 192 | 191 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 113 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GE Equipment Midticket LLC, | ||||||||
0.600%, 05/23/2016 | $ | 1,000 | $ | 1,000 | ||||
GE Equipment Midticket LLC, | ||||||||
0.780%, 09/22/2020 | 300 | 300 | ||||||
GE Equipment Transportation LLC, | ||||||||
0.470%, 04/24/2015 | 307 | 307 | ||||||
Green Tree Financial, | ||||||||
7.750%, 07/15/2027 | 63 | 63 | ||||||
Green Tree Financial, | ||||||||
8.970%, 04/25/2038 (A) (B) | 3,499 | 3,798 | ||||||
Green Tree Financial, | ||||||||
8.970%, 04/25/2038 (A) (B) | 2,916 | 3,165 | ||||||
Greenpoint Manufactured Housing, | ||||||||
3.685%, 02/20/2032 (A) | 825 | 745 | ||||||
Greenpoint Manufactured Housing, | ||||||||
3.685%, 03/13/2032 (A) | 1,300 | 1,154 | ||||||
HLSS Servicer Advance Receivables Backed Notes, | ||||||||
1.990%, 10/15/2045 (B) | 730 | 735 | ||||||
HLSS Servicer Advance Receivables Backed Notes, | ||||||||
0.898%, 01/15/2044 (B) | 643 | 642 | ||||||
HLSS Servicer Advance Receivables Backed Notes, | ||||||||
1.495%, 01/16/2046 (B) | 539 | 539 | ||||||
HLSS Servicer Advance Receivables Backed Notes, | ||||||||
1.744%, 01/16/2046 (B) | 182 | 180 | ||||||
HLSS Servicer Advance Receivables Backed Notes, | ||||||||
1.981%, 11/15/2046 (B) | 2,614 | 2,614 | ||||||
HSI Asset Securitization Trust, | ||||||||
0.346%, 02/25/2036 (A) | 1,462 | 1,345 | ||||||
JGWPT XXX LLC, | ||||||||
4.080%, 01/17/2073 (B) | 2,351 | 2,333 | ||||||
John Deere Owner Trust, | ||||||||
1.290%, 01/15/2016 | 59 | 60 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
John Deere Owner Trust, | ||||||||
1.960%, 04/16/2018 | $ | 285 | $ | 287 | ||||
John Deere Owner Trust, | ||||||||
0.430%, 02/17/2015 | �� | 186 | 186 | |||||
John Deere Owner Trust, | ||||||||
0.690%, 01/15/2019 | 581 | 581 | ||||||
JPMorgan Mortgage Acquisition, | ||||||||
0.296%, 11/25/2036 (A) | 5,385 | 5,322 | ||||||
Kondaur Mortgage Asset Trust, | ||||||||
4.458%, 08/25/2052 (A) (B) | 899 | 939 | ||||||
Latitude CLO II, | ||||||||
0.584%, 12/15/2018 (A) (B) | 2,200 | 2,150 | ||||||
Lehman ABS Manufactured Housing Contract Trust, | ||||||||
5.270%, 04/15/2040 | 275 | 288 | ||||||
Lehman XS Trust, | ||||||||
0.466%, 12/25/2035 (A) | 1,781 | 811 | ||||||
Long Beach Mortgage Loan Trust, | ||||||||
0.961%, 02/25/2035 (A) | 8,900 | 8,545 | ||||||
Macquarie Equipment Funding Trust, | ||||||||
0.610%, 04/20/2015 (B) | 1,465 | 1,466 | ||||||
Madison Avenue Manufactured Housing Contract, | ||||||||
2.416%, 03/25/2032 (A) | 258 | 258 | ||||||
Mid-State Trust, | ||||||||
4.864%, 07/15/2038 | 3,082 | 3,290 | ||||||
Mid-State Trust, Ser 2004-1, Cl A | ||||||||
6.005%, 08/15/2037 | 473 | 496 | ||||||
Mid-State Trust, Ser 2006-1, Cl A | ||||||||
5.787%, 10/15/2040 (B) | 5,388 | 5,676 | ||||||
Nationstar Agency Advance Funding Trust, | ||||||||
0.997%, 02/15/2045 (B) | 337 | 335 | ||||||
Nationstar Agency Advance Funding Trust, | ||||||||
1.892%, 02/18/2048 (B) | 232 | 227 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.418%, 10/27/2036 (A) | 2,142 | 2,092 |
114 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Nelnet Student Loan Trust, | ||||||||
0.348%, 10/25/2033 (A) | $ | 5,802 | $ | 5,471 | ||||
Nelnet Student Loan Trust, | ||||||||
0.350%, 03/23/2037 (A) | 1,112 | 1,069 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.370%, 12/24/2035 (A) | 4,000 | 3,884 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.328%, 11/23/2022 (A) | 4,506 | 4,489 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.318%, 10/26/2026 (A) | 5,463 | 5,447 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.248%, 11/27/2018 (A) | 921 | 918 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.601%, 03/25/2026 (A) (B) | 7,855 | 7,760 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.966%, 04/25/2046 (A) (B) | 1,231 | 1,242 | ||||||
Newcastle Investment Trust, | ||||||||
2.450%, 12/10/2033 (B) | 113 | 115 | ||||||
NYMT Residential, | ||||||||
4.250%, 12/25/2017 (A) (B) | 1,500 | 1,500 | ||||||
NYMT Residential, | ||||||||
4.850%, 09/25/2018 | 788 | 788 | ||||||
Oakwood Mortgage Investors, | ||||||||
6.350%, 03/15/2017 | 3 | 3 | ||||||
Octagon Investment Partners XI, | ||||||||
0.522%, 08/25/2021 (A) | 3,750 | 3,654 | ||||||
Origen Manufactured Housing, | ||||||||
0.408%, 05/15/2032 (A) | 7 | 7 | ||||||
Park Place Securities, | ||||||||
1.216%, 12/25/2034 (A) | 1,507 | 1,510 | ||||||
Park Place Securities, | ||||||||
0.846%, 09/25/2034 (A) | 692 | 681 | ||||||
Park Place Securities, | ||||||||
0.786%, 10/25/2034 (A) | 59 | 59 | ||||||
Park Place Securities, | ||||||||
1.186%, 12/25/2034 (A) | 3,456 | 3,448 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Park Place Securities, | ||||||||
0.686%, 01/25/2036 (A) | $ | 3,575 | $ | 3,551 | ||||
Park Place Securities, | ||||||||
0.506%, 09/25/2035 (A) | 730 | 727 | ||||||
PennyMac Loan Trust, | ||||||||
3.422%, 05/28/2052 (A) (B) | 218 | 214 | ||||||
Popular ABS Mortgage Pass-Through Trust, | ||||||||
4.655%, 12/25/2034 (A) | 66 | 67 | ||||||
Progreso Receivables Funding, | ||||||||
4.000%, 07/09/2018 | 500 | 497 | ||||||
Race Point CLO, | ||||||||
1.659%, 11/08/2024 (A) (B) | 4,500 | 4,500 | ||||||
RAMP Trust, | ||||||||
6.163%, 08/25/2032 | 3 | 3 | ||||||
RAMP Trust, | ||||||||
5.860%, 11/25/2033 | 625 | 668 | ||||||
RAMP Trust, | ||||||||
5.980%, 12/25/2033 | 481 | 477 | ||||||
Real Estate Asset Trust, | ||||||||
5.750%, 05/25/2049 (B) | 9 | 9 | ||||||
Residential Asset Mortgage Products, | ||||||||
0.506%, 10/25/2035 (A) | 508 | 499 | ||||||
Residential Asset Mortgage Products, | ||||||||
0.456%, 10/25/2033 (A) | 551 | 550 | ||||||
Residential Asset Mortgage Products, | ||||||||
0.466%, 03/25/2036 (A) | 1,007 | 948 | ||||||
Residential Credit Solutions Trust, | ||||||||
6.000%, 03/25/2041 (B) | 574 | 584 | ||||||
Resort Finance Timeshare, | ||||||||
5.750%, 09/05/2018 | 219 | 219 | ||||||
RSB Bondco LLC, | ||||||||
5.820%, 06/28/2019 | 2,470 | 2,800 | ||||||
Saranac CLO I, Ser 2013-1A, Cl A1A | ||||||||
1.830%, 10/26/2024 (A) (B) | 1,900 | 1,895 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 115 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Saranac CLO I, Ser 2013-1A, Cl C | �� | |||||||
3.050%, 10/26/2024 (A) (B) | $ | 1,500 | $ | 1,421 | ||||
Shackleton CLO, | ||||||||
2.238%, 01/13/2025 (A) (B) | 4,300 | 4,246 | ||||||
Shackleton CLO, | ||||||||
3.388%, 01/13/2025 (A) (B) | 2,600 | 2,574 | ||||||
SLC Student Loan Trust, | ||||||||
0.641%, 05/15/2028 (A) | 1,135 | 1,132 | ||||||
SLM Private Education Loan Trust, | ||||||||
3.418%, 05/16/2044 (A) (B) | 2,209 | 2,331 | ||||||
SLM Private Education Loan Trust, | ||||||||
1.568%, 08/15/2025 (A) (B) | 2,395 | 2,419 | ||||||
SLM Private Education Loan Trust, | ||||||||
1.018%, 02/15/2022 (A) (B) | 2,650 | 2,656 | ||||||
SLM Student Loan EDC Repackaging Trust, | ||||||||
3.500%, 10/28/2029 (B) | 3,959 | 3,883 | ||||||
SLM Student Loan Trust, | ||||||||
1.004%, 03/15/2033 (A) (B) | 66 | 66 | ||||||
SLM Student Loan Trust, | ||||||||
0.838%, 10/25/2023 (A) (B) | 1,871 | 1,877 | ||||||
SLM Student Loan Trust, | ||||||||
0.738%, 04/25/2024 (A) (B) | 4,448 | 4,456 | ||||||
SLM Student Loan Trust, | ||||||||
0.338%, 04/25/2025 (A) | 421 | 419 | ||||||
SLM Student Loan Trust, | ||||||||
1.438%, 07/27/2026 (A) | 1,760 | 1,788 | ||||||
SLM Student Loan Trust, | ||||||||
0.338%, 01/25/2023 (A) | 461 | 461 | ||||||
SLM Student Loan Trust, | ||||||||
0.408%, 01/25/2041 (A) | 4,250 | 3,699 | ||||||
SLM Student Loan Trust, | ||||||||
0.348%, 01/25/2027 (A) | 2,830 | 2,771 | ||||||
SLM Student Loan Trust, | ||||||||
0.308%, 04/25/2022 (A) | 154 | 154 | ||||||
SLM Student Loan Trust, | ||||||||
0.398%, 01/25/2041 (A) | 4,250 | 3,700 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SLM Student Loan Trust, | ||||||||
0.408%, 07/25/2025 (A) | $ | 1,291 | $ | 1,113 | ||||
SLM Student Loan Trust, | ||||||||
1.088%, 04/27/2043 (A) | 1,155 | 997 | ||||||
SLM Student Loan Trust, | ||||||||
1.438%, 01/25/2029 (A) | 1,155 | 980 | ||||||
SLM Student Loan Trust, | ||||||||
1.438%, 04/25/2029 (A) | 1,155 | 1,009 | ||||||
SLM Student Loan Trust, | ||||||||
2.088%, 04/25/2029 (A) | 1,155 | 1,063 | ||||||
SLM Student Loan Trust, | ||||||||
2.088%, 07/25/2029 (A) | 1,155 | 1,117 | ||||||
SLM Student Loan Trust, | ||||||||
0.788%, 10/25/2017 (A) | 348 | 349 | ||||||
SLM Student Loan Trust, | ||||||||
2.088%, 07/25/2029 (A) | 1,155 | 1,101 | ||||||
SLM Student Loan Trust, | ||||||||
2.088%, 07/25/2029 (A) | 1,155 | 1,105 | ||||||
SLM Student Loan Trust, | ||||||||
2.488%, 10/25/2029 (A) | 1,155 | 1,136 | ||||||
SLM Student Loan Trust, | ||||||||
2.488%, 10/25/2029 (A) | 1,155 | 1,168 | ||||||
SLM Student Loan Trust, | ||||||||
0.566%, 03/25/2025 (A) | 450 | 448 | ||||||
SLM Student Loan Trust, | ||||||||
1.366%, 10/25/2034 (A) | 495 | 511 | ||||||
SLM Student Loan Trust, | ||||||||
1.568%, 12/15/2023 (A) (B) | 1,115 | 1,122 | ||||||
SLM Student Loan Trust, | ||||||||
0.920%, 05/26/2026 (A) | 800 | 799 | ||||||
SLM Student Loan Trust, | ||||||||
1.166%, 04/27/2043 (A) | 2,045 | 1,834 | ||||||
SLM Student Loan Trust, | ||||||||
1.268%, 12/15/2021 (A) (B) | 2,545 | 2,556 | ||||||
SLM Student Loan Trust, | ||||||||
1.268%, 08/15/2023 (A) (B) | 1,108 | 1,114 |
116 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SLM Student Loan Trust, | ||||||||
0.918%, 10/16/2023 (A) (B) | $ | 8,638 | $ | 8,628 | ||||
SLM Student Loan Trust, | ||||||||
1.918%, 06/15/2045 (A) (B) | 3,659 | 3,739 | ||||||
SLM Student Loan Trust, | ||||||||
0.416%, 09/25/2019 (A) | 1,559 | 1,549 | ||||||
SLM Student Loan Trust, | ||||||||
1.966%, 11/25/2043 (A) | 487 | 474 | ||||||
SLM Student Loan Trust, | ||||||||
1.670%, 06/25/2043 (A) | 373 | 352 | ||||||
SLM Student Loan Trust, | ||||||||
1.666%, 09/25/2043 (A) | 768 | 728 | ||||||
SLM Student Loan Trust, | ||||||||
0.716%, 06/25/2027 (A) | 3,283 | 3,275 | ||||||
SLM Student Loan Trust, | ||||||||
0.566%, 10/26/2020 (A) | 2,361 | 2,358 | ||||||
SLM Student Loan Trust, | ||||||||
0.650%, 02/25/2021 (A) | 1,802 | 1,802 | ||||||
SLM Student Loan Trust, | ||||||||
0.768%, 08/15/2022 (A) (B) | 2,258 | 2,248 | ||||||
SLM Student Loan Trust, | ||||||||
0.818%, 07/15/2022 (A) (B) | 1,159 | 1,158 | ||||||
SLM Student Loan Trust, | ||||||||
1.850%, 06/17/2030 (B) | 5,458 | 5,319 | ||||||
SLM Student Loan Trust, | ||||||||
2.940%, 10/15/2031 | 2,541 | 2,643 | ||||||
SMS Student Loan Trust, | ||||||||
0.428%, 10/28/2028 (A) | 1,435 | 1,428 | ||||||
SMS Student Loan Trust, | ||||||||
0.438%, 04/28/2029 (A) | 1,260 | 1,254 | ||||||
Sound Point CLO, | ||||||||
3.542%, 10/20/2023 (A) (B) | 1,750 | 1,750 | ||||||
Springleaf Funding Trust, | ||||||||
2.580%, 09/15/2021 (B) | 2,800 | 2,796 | ||||||
SPST, Ser 2013-1, Cl A | ||||||||
1.679%, 02/25/2015 | 1,000 | 1,000 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Stanwich Mortgage Loan Trust, | ||||||||
2.981%, 09/15/2042 (B) | $ | 647 | $ | 650 | ||||
Stanwich Mortgage Loan Trust, | ||||||||
2.981%, 10/18/2042 (B) | 954 | 953 | ||||||
Stanwich Mortgage Loan Trust, | ||||||||
2.981%, 02/16/2043 (B) | 912 | 921 | ||||||
Structured Asset Investment Loan Trust, | ||||||||
0.571%, 06/25/2035 (A) | 34 | 34 | ||||||
Structured Asset Securities, | ||||||||
0.466%, 05/25/2035 (A) | 2,734 | 2,702 | ||||||
Structured Asset Securities, | ||||||||
0.396%, 07/25/2035 (A) | 1,549 | 1,543 | ||||||
Structured Asset Securities, | ||||||||
0.526%, 11/25/2035 (A) | 3,459 | 3,443 | ||||||
SunTrust Student Loan Trust, | ||||||||
0.358%, 01/30/2023 (A) (B) | 4,771 | 4,724 | ||||||
Symphony CLO, Ser 2012-9A, Cl C | ||||||||
3.496%, 04/16/2022 (A) (B) | 1,500 | 1,500 | ||||||
Trafigura Securitisation Finance, | ||||||||
2.568%, 10/15/2015 (A) (B) | 1,190 | 1,209 | ||||||
Trinity Rail Leasing, | ||||||||
5.270%, 08/14/2027 (B) | 163 | 178 | ||||||
Trinity Rail Leasing, | ||||||||
5.900%, 05/14/2036 (B) | 2,206 | 2,458 | ||||||
Trip Rail Master Funding, | ||||||||
4.370%, 07/15/2041 (B) | 3,607 | 3,827 | ||||||
Venture CDO, | ||||||||
2.289%, 07/15/2025 (A) (B) | 1,300 | 1,283 | ||||||
Venture CDO, Ser 2013-15A, Cl C | ||||||||
3.339%, 07/15/2025 (A) (B) | 3,200 | 3,168 | ||||||
VOLT LLC, Ser 2012-RLF1, Cl A | ||||||||
3.475%, 12/25/2017 (B) | 480 | 480 | ||||||
VOLT LLC, Ser 2012-RP3A, Cl A | ||||||||
3.475%, 11/27/2017 (B) | 118 | 120 | ||||||
VOLT NPL IX LLC, | ||||||||
4.250%, 04/25/2053 (B) | 365 | 365 | ||||||
Wells Fargo Home Equity Trust, | ||||||||
0.256%, 04/25/2037 (A) | 138 | 137 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 117 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Westgate Resorts LLC, | ||||||||
4.500%, 09/20/2025 (B) | $ | 461 | $ | 470 | ||||
Westgate Resorts LLC, | ||||||||
3.000%, 01/20/2025 (B) | 619 | 623 | ||||||
Westgate Resorts LLC, | ||||||||
2.500%, 03/20/2025 (B) | 455 | 455 | ||||||
|
| |||||||
371,308 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 578,911 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.6% |
| |||||||
FAMC | ||||||||
2.375%, 07/22/2015 | 170 | 175 | ||||||
2.125%, 09/15/2015 | 175 | 180 | ||||||
FFCB | ||||||||
4.625%, 11/03/2014 | 150 | 156 | ||||||
1.500%, 11/16/2015 | 7,830 | 8,013 | ||||||
FHLB | ||||||||
5.500%, 07/15/2036 | 3,810 | 4,531 | ||||||
0.750%, 05/26/2015 (E) | 7,510 | 7,233 | ||||||
FHLMC | ||||||||
6.750%, 03/15/2031 | 2,570 | 3,458 | ||||||
5.625%, 11/23/2035 | 1,581 | 1,691 | ||||||
1.250%, 10/02/2019 | 780 | 747 | ||||||
0.100%, 12/18/2013 | 590 | 590 | ||||||
FICO STRIPS, PO | ||||||||
9.800%, 04/06/2018 | 7,590 | 10,248 | ||||||
9.700%, 04/05/2019 | 5,100 | 7,115 | ||||||
8.600%, 09/26/2019 | 5,655 | 7,686 | ||||||
1.556%, 04/05/2019 (F) | 1,000 | 901 | ||||||
0.000%, 11/30/2017 to 09/26/2019 (F) | 42,365 | 39,140 | ||||||
FNMA | ||||||||
7.308%, 10/09/2019 (F) | 670 | 573 | ||||||
6.250%, 05/15/2029 | 3,730 | 4,756 | ||||||
3.777%, 06/01/2017 (F) | 1,500 | 1,430 | ||||||
3.000%, 12/25/2028 | 8,000 | 8,244 | ||||||
0.120%, 02/24/2014 | 1,090 | 1,090 | ||||||
FNMA, PO | ||||||||
0.000%, 05/15/2030 | 1,800 | 878 | ||||||
Residual Funding STRIPS | ||||||||
1.969%, 07/15/2020 (F) | 14,780 | 12,569 | ||||||
Residual Funding Principal STRIPS | ||||||||
1.656%, 10/15/2020 | 2,500 | 2,098 | ||||||
Resolution Funding | ||||||||
1.689%, 01/15/2021 | 1,029 | 855 | ||||||
1.499%, 10/15/2019 (F) | 6,700 | 5,910 | ||||||
Tennessee Valley Authority | ||||||||
5.880%, 04/01/2036 | 1,550 | 1,828 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
5.250%, 09/15/2039 | 2,228 | $ | 2,414 | |||||
4.625%, 09/15/2060 | 2,761 | 2,524 | ||||||
3.875%, 02/15/2021 | 3,090 | 3,324 | ||||||
1.750%, 10/15/2018 | 7,175 | 7,226 | ||||||
Tennessee Valley Authority Principal STRIPS, PO | ||||||||
0.000%, 11/01/2025 (F) | 1,000 | 613 | ||||||
|
| |||||||
Total U.S. Government Agency |
| 148,196 | ||||||
|
| |||||||
SOVEREIGN DEBT — 2.1% |
| |||||||
African Development Bank | ||||||||
8.800%, 09/01/2019 | 700 | 931 | ||||||
Andina de Fomento | ||||||||
3.750%, 01/15/2016 | 564 | 588 | ||||||
Federal Republic of Brazil | ||||||||
4.250%, 01/07/2025 | 3,525 | 3,313 | ||||||
FMS Wertmanagement AoeR | ||||||||
1.000%, 11/21/2017 | 1,660 | 1,652 | ||||||
Hashemite Kingdom of Jordan Government AID Bond | ||||||||
2.503%, 10/30/2020 | 1,937 | 1,931 | ||||||
Indonesia Government International Bond | ||||||||
5.875%, 03/13/2020 | 390 | 419 | ||||||
4.875%, 05/05/2021 | 300 | 300 | ||||||
3.750%, 04/25/2022 | 500 | 451 | ||||||
Inter-American Development Bank MTN | ||||||||
3.875%, 10/28/2041 | 1,388 | 1,265 | ||||||
Israel Government AID Bond | ||||||||
5.500%, 09/18/2033 (C) | 1,000 | 1,183 | ||||||
3.353%, 11/01/2024 | 1,000 | 671 | ||||||
Italy Buoni Poliennali Del Tesoro | ||||||||
3.500%, 12/01/2018 | EUR | 22,465 | 31,872 | |||||
Japan Bank for International Cooperation | ||||||||
3.375%, 07/31/2023 | 1,970 | 1,970 | ||||||
1.750%, 07/31/2018 | 3,455 | 3,475 | ||||||
Japan Finance Organization for Municipalities | ||||||||
4.000%, 01/13/2021 | 3,600 | 3,915 | ||||||
Kommunalbanken | ||||||||
1.125%, 05/23/2018 (B) | 7,510 | 7,390 | ||||||
Mexican Bonos | ||||||||
8.000%, 06/11/2020 | MXN | 13,930 | 1,204 | |||||
6.500%, 06/09/2022 | MXN | 220,530 | 17,316 | |||||
Mexico Government International Bond | ||||||||
4.000%, 10/02/2023 | 316 | 313 | ||||||
Province of Ontario Canada | ||||||||
0.950%, 05/26/2015 | 3,100 | 3,130 |
118 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount (1) ($ Thousands) | Market Value ($ Thousands) | ||||||
Province of Quebec Canada | ||||||||
7.500%, 07/15/2023 | $ | 260 | $ | 339 | ||||
6.350%, 01/30/2026 | 270 | 333 | ||||||
2.625%, 02/13/2023 | 7,555 | 7,044 | ||||||
Republic of Indonesia | ||||||||
3.750%, 04/25/2022 (B) | 360 | 325 | ||||||
Republic of South Africa | ||||||||
5.875%, 09/16/2025 | 4,320 | 4,493 | ||||||
Republic of Turkey | ||||||||
6.250%, 09/26/2022 | 250 | 268 | ||||||
5.625%, 03/30/2021 | 562 | 583 | ||||||
Russian Foreign Bond - Eurobond | ||||||||
7.500%, 03/31/2030 (E) | 4,777 | 5,589 | ||||||
Slovakia Government International Bond | ||||||||
4.375%, 05/21/2022 (B) | 4,120 | 4,254 | ||||||
Slovenia Government International Bond | ||||||||
5.850%, 05/10/2023 (B) | 920 | 927 | ||||||
5.500%, 10/26/2022 (B) | 1,191 | 1,178 | ||||||
4.750%, 05/10/2018 (B) | 2,780 | 2,794 | ||||||
Spain Government International Bond MTN | ||||||||
4.000%, 03/06/2018 (B) | 1,180 | 1,216 | ||||||
Svensk Exportkredit | ||||||||
1.750%, 10/20/2015 | 5,600 | 5,736 | ||||||
United Mexican States | ||||||||
6.050%, 01/11/2040 | 394 | 421 | ||||||
5.750%, 10/12/2110 | 4,393 | 3,965 | ||||||
4.750%, 03/08/2044 | 1,098 | 964 | ||||||
|
| |||||||
Total Sovereign Debt | 123,718 | |||||||
|
| |||||||
MUNICIPAL BONDS — 1.0% |
| |||||||
American Municipal Power, RB | ||||||||
7.499%, 02/15/2050 | 495 | 603 | ||||||
Arizona State University, | ||||||||
5.000%, 07/01/2043 | 190 | 197 | ||||||
Brazos Higher Education Authority, | ||||||||
0.261%, 12/26/2024 (A) | 1,183 | 1,140 | ||||||
Build America Bonds, GO | ||||||||
7.350%, 07/01/2035 | 230 | 250 | ||||||
City of Houston, Ser A, GO | ||||||||
6.290%, 03/01/2032 | 4,750 | 5,469 | ||||||
City of Los Angeles, Department of Airports, RB | ||||||||
6.582%, 05/15/2039 | 180 | 210 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
City of New York, | ||||||||
5.000%, 08/01/2025 | $ | 240 | $ | 271 | ||||
City of Richmond, | ||||||||
5.000%, 03/01/2027 | 200 | 227 | ||||||
5.000%, 03/01/2028 | 210 | 236 | ||||||
5.000%, 03/01/2029 | 220 | 245 | ||||||
City of San Antonio, Public Service Board, RB | ||||||||
5.000%, 02/01/2043 | 690 | 717 | ||||||
County of Clark, Airport System Revenue, Ser C-BUILD, RB | ||||||||
6.820%, 07/01/2045 | 1,460 | 1,829 | ||||||
Los Angeles, Community College District, Build America Project, GO | ||||||||
6.750%, 08/01/2049 | 1,400 | 1,811 | ||||||
Massachusetts, School Building Authority, Ser A , RB | ||||||||
5.000%, 08/15/2023 | 190 | 222 | ||||||
New Jersey, Economic Development Authority , RB | ||||||||
5.000%, 06/15/2046 | 250 | 259 | ||||||
New Jersey, Transportation Trust Fund Authority, Ser A, RB | ||||||||
5.000%, 06/15/2042 | 440 | 445 | ||||||
New Jersey, Transportation Trust Fund Authority, Ser AA, RB | ||||||||
5.000%, 06/15/2038 | 670 | 682 | ||||||
New Jersey State, Turnpike Authority, Build America Project, RB | ||||||||
7.102%, 01/01/2041 | 1,764 | 2,304 | ||||||
New Jersey State, Turnpike Authority, Ser A, RB | ||||||||
5.000%, 01/01/2043 | 290 | 296 | ||||||
New York City, Transitional Finance Authority, Future Tax Secured Revenue, Sub-Ser , RB | ||||||||
5.000%, 11/01/2042 | 400 | 418 | ||||||
New York City, Water & Sewer System, Ser BB, RB | ||||||||
5.000%, 06/15/2047 | 200 | 205 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 119 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
New York City, Water & Sewer System, Ser EE, RB | ||||||||
5.000%, 06/15/2047 | $ | 200 | $ | 205 | ||||
New York State, Liberty Development, RB | ||||||||
5.000%, 12/15/2041 | 360 | 369 | ||||||
New York State, Dormitory Authority, Ser A, RB | ||||||||
5.000%, 12/15/2026 | 170 | 191 | ||||||
5.000%, 12/15/2027 | 470 | 524 | ||||||
New York State, Urban Development, Ser C, RB | ||||||||
5.000%, 03/15/2027 | 880 | 980 | ||||||
New York State, Dormitory Authority, RB | ||||||||
5.600%, 03/15/2040 | 280 | 315 | ||||||
North Texas, Tollway Authority, Build America Project, RB | ||||||||
6.718%, 01/01/2049 | 1,614 | 1,953 | ||||||
Northeast Ohio, Regional Sewer District, RB | ||||||||
5.000%, 11/15/2043 | 400 | 416 | ||||||
Northstar Education Finance, RB | ||||||||
1.017%, 01/29/2046 (A) | 50 | 47 | ||||||
Ohio State, Turnpike Commission, RB | ||||||||
5.000%, 02/15/2048 | 840 | 839 | ||||||
Ohio State, Turnpike Commission, | �� | |||||||
5.000%, 02/15/2048 | 360 | 366 | ||||||
Ohio State University, Build America Project, Ser A, RB | ||||||||
4.800%, 06/01/2111 | 1,209 | 1,066 | ||||||
Pennsylvania, Turnpike Commission, Ser C, RB | ||||||||
5.000%, 12/01/2043 | 310 | 309 | ||||||
Port Authority of New York & New Jersey, Build America | ||||||||
5.647%, 11/01/2040 | 490 | 541 | ||||||
Port Authority of New York & New Jersey, RB | ||||||||
4.458%, 10/01/2062 | 2,440 | 2,157 | ||||||
Private Colleges & Universities Authority, Ser A, RB | ||||||||
5.000%, 10/01/2043 | 410 | 431 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
South Carolina, Student Loan, | ||||||||
0.359%, 12/01/2020 (A) | $ | 3,975 | $ | 3,932 | ||||
State of California, GO | ||||||||
5.000%, 09/01/2025 | 560 | 626 | ||||||
5.000%, 11/01/2043 | 475 | 483 | ||||||
State of California, Build America Project, GO | ||||||||
7.600%, 11/01/2040 | 1,210 | 1,649 | ||||||
7.300%, 10/01/2039 | 40 | 52 | ||||||
6.650%, 03/01/2022 | 6,100 | 7,264 | ||||||
6.200%, 10/01/2019 | 80 | 95 | ||||||
State of California, GO | ||||||||
5.000%, 04/01/2042 | 550 | 558 | ||||||
State of California, Ser B, GO | ||||||||
5.000%, 09/01/2023 | 740 | 852 | ||||||
State of Connecticut, | ||||||||
5.000%, 07/15/2024 | 250 | 287 | ||||||
State of Illinois, Build America Project, GO | ||||||||
6.200%, 07/01/2021 | 1,500 | 1,643 | ||||||
State of Illinois, GO | ||||||||
5.877%, 03/01/2019 | 750 | 813 | ||||||
5.665%, 03/01/2018 | 3,162 | 3,456 | ||||||
5.365%, 03/01/2017 | 945 | 1,023 | ||||||
5.100%, 06/01/2033 | 4,600 | 4,198 | ||||||
4.950%, 06/01/2023 | 562 | 555 | ||||||
4.350%, 06/01/2018 | 60 | 62 | ||||||
State of Texas, Build America Project, GO | ||||||||
5.517%, 04/01/2039 | 1,250 | 1,436 | ||||||
Utah, Transit Authority, RB | ||||||||
5.000%, 06/15/2042 | 740 | 745 | ||||||
Virginia, Housing Development Authority, | ||||||||
6.000%, 06/25/2034 | 307 | 319 | ||||||
|
| |||||||
Total Municipal Bonds | 58,793 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 18.7% |
| |||||||
U.S. Treasury Bills (F) | ||||||||
0.050%, 03/20/2014 (I) | 65 | 65 | ||||||
0.026%, 12/05/2013 (I) | 601 | 601 | ||||||
U.S. Treasury Bonds | ||||||||
8.750%, 08/15/2020 | 6,550 | 9,382 | ||||||
8.500%, 02/15/2020 | 1,000 | 1,398 | ||||||
7.625%, 02/15/2025 | 17,635 | 25,742 |
120 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.750%, 08/15/2026 | $ | 250 | $ | 348 | ||||
6.625%, 02/15/2027 | 300 | 414 | ||||||
6.500%, 11/15/2026 | 100 | 137 | ||||||
6.375%, 08/15/2027 | 200 | 272 | ||||||
6.250%, 05/15/2030 | 400 | 546 | ||||||
6.125%, 11/15/2027 | 250 | 333 | ||||||
6.125%, 08/15/2029 | 100 | 134 | ||||||
6.000%, 02/15/2026 | 100 | 131 | ||||||
5.500%, 08/15/2028 | 200 | 252 | ||||||
5.375%, 02/15/2031 | 1,300 | 1,631 | ||||||
5.250%, 02/15/2029 | 200 | 246 | ||||||
5.000%, 05/15/2037 | 2,350 | 2,858 | ||||||
4.500%, 02/15/2036 | 2,250 | 2,557 | ||||||
4.500%, 05/15/2038 | 450 | 511 | ||||||
4.375%, 02/15/2038 | 600 | 668 | ||||||
3.750%, 11/15/2043 | 39,916 | 39,498 | ||||||
3.625%, 08/15/2043 (C) | 41,796 | 40,408 | ||||||
3.500%, 02/15/2039 | 4,000 | 3,857 | ||||||
3.125%, 11/15/2041 | 8,040 | 7,112 | ||||||
3.125%, 02/15/2042 | 76,135 | 67,213 | ||||||
3.125%, 02/15/2043 | 8,376 | 7,346 | ||||||
3.000%, 05/15/2042 | 11,115 | 9,548 | ||||||
2.875%, 05/15/2043 | 23,335 | 19,368 | ||||||
2.750%, 08/15/2042 | 57,992 | 47,082 | ||||||
2.750%, 11/15/2042 | 27,510 | 22,283 | ||||||
U.S. Treasury Inflation-Protected Securities | ||||||||
2.125%, 02/15/2040 | 520 | 596 | ||||||
2.125%, 02/15/2041 | 12,050 | 13,830 | ||||||
2.000%, 07/15/2014 | 43,520 | 44,357 | ||||||
1.625%, 01/15/2015 | 239 | 246 | ||||||
1.250%, 04/15/2014 | 14,671 | 14,717 | ||||||
0.750%, 02/15/2042 | 5,689 | 4,685 | ||||||
0.625%, 02/15/2043 | 15,032 | 11,851 | ||||||
0.500%, 04/15/2015 | 30,782 | 31,352 | ||||||
0.125%, 04/15/2017 | 41,798 | 43,133 | ||||||
0.125%, 04/15/2018 | 13,001 | 13,410 | ||||||
U.S. Treasury Notes | ||||||||
4.750%, 02/15/2037 | 1,800 | 2,117 | ||||||
4.500%, 05/15/2017 | 4,000 | 4,510 | ||||||
3.625%, 02/15/2021 | 600 | 661 | ||||||
3.500%, 02/15/2018 | 8,435 | 9,277 | ||||||
3.125%, 04/30/2017 | 14,503 | 15,663 | ||||||
3.125%, 05/15/2019 | 279 | 302 | ||||||
3.125%, 05/15/2021 | 2,150 | 2,290 | ||||||
2.750%, 11/15/2023 (C) | 53,343 | 53,385 | ||||||
2.625%, 08/15/2020 | 4,100 | 4,269 | ||||||
2.500%, 08/15/2023 | 19,929 | 19,557 | ||||||
2.375%, 07/31/2017 | 9,034 | 9,528 | ||||||
2.375%, 05/31/2018 | 1,000 | 1,053 | ||||||
2.250%, 01/31/2015 | 610 | 625 | ||||||
2.125%, 08/15/2021 | 500 | 495 | ||||||
2.000%, 11/30/2020 | 23,272 | 23,127 | ||||||
2.000%, 02/15/2023 | 23,675 | 22,447 | ||||||
1.750%, 10/31/2018 | 900 | 918 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
1.750%, 10/31/2020 | $ | 5,973 | $ | 5,848 | ||||
1.500%, 12/31/2013 | 2,180 | 2,182 | ||||||
1.500%, 07/31/2016 | 400 | 411 | ||||||
1.375%, 09/30/2018 | 51,955 | 52,117 | ||||||
1.250%, 11/30/2018 | 43,562 | 43,317 | ||||||
1.000%, 11/30/2019 | 800 | 765 | ||||||
0.750%, 12/31/2017 | 6,890 | 6,815 | ||||||
0.625%, 08/15/2016 | 14,804 | 14,865 | ||||||
0.625%, 10/15/2016 | 38,311 | 38,422 | ||||||
0.625%, 11/15/2016 (C) | 59,924 | 60,069 | ||||||
0.375%, 06/30/2015 | 23,635 | 23,690 | ||||||
0.375%, 08/31/2015 | 9,430 | 9,451 | ||||||
0.250%, 07/15/2015 | 330 | 330 | ||||||
0.250%, 09/30/2015 (C) | 15,864 | 15,863 | ||||||
0.250%, 10/31/2015 (C) | 12,626 | 12,622 | ||||||
U.S. Treasury STRIPS (F) | ||||||||
6.321%, 05/15/2024 | 800 | 582 | ||||||
5.767%, 05/15/2026 | 500 | 328 | ||||||
5.467%, 05/15/2036 | 300 | 124 | ||||||
5.393%, 05/15/2029 | 100 | 57 | ||||||
5.344%, 02/15/2024 | 75 | 55 | ||||||
5.276%, 08/15/2024 | 200 | 144 | ||||||
5.077%, 05/15/2028 | 300 | 178 | ||||||
5.033%, 05/15/2034 | 500 | 225 | ||||||
5.000%, 08/15/2030 | 1,550 | 827 | ||||||
4.981%, 11/15/2024 | 450 | 319 | ||||||
4.869%, 11/15/2030 | 2,450 | 1,293 | ||||||
4.755%, 11/15/2029 | 1,450 | 802 | ||||||
4.630%, 02/15/2030 | 2,450 | 1,339 | ||||||
4.593%, 05/15/2019 | 2,450 | 2,244 | ||||||
4.561%, 05/15/2027 | 2,570 | 1,604 | ||||||
4.291%, 11/15/2031 | 500 | 252 | ||||||
4.273%, 02/15/2017 | 13,420 | 13,118 | ||||||
4.228%, 08/15/2033 | 1,150 | 536 | ||||||
4.181%, 11/15/2017 | 6,150 | 5,904 | ||||||
4.129%, 08/15/2018 | 800 | 752 | ||||||
4.074%, 11/15/2026 | 1,150 | 736 | ||||||
4.052%, 08/15/2028 | 1,500 | 881 | ||||||
4.025%, 08/15/2027 | 4,090 | 2,522 | ||||||
3.963%, 05/15/2030 | 1,600 | 864 | ||||||
3.905%, 11/15/2033 | 2,750 | 1,267 | ||||||
3.825%, 02/15/2032 | 1,350 | 673 | ||||||
3.809%, 05/15/2033 | 2,950 | 1,390 | ||||||
3.726%, 02/15/2033 | 600 | 286 | ||||||
3.619%, 02/15/2027 | 6,800 | 4,297 | ||||||
3.594%, 08/15/2031 | 1,000 | 510 | ||||||
3.574%, 02/15/2028 | 2,473 | 1,488 | ||||||
3.548%, 02/15/2034 | 1,350 | 615 | ||||||
3.518%, 08/15/2020 (C) | 13,150 | 11,440 | ||||||
3.487%, 02/15/2026 | 700 | 465 | ||||||
3.456%, 02/15/2022 | 1,100 | 892 | ||||||
3.449%, 08/15/2021 | 4,000 | 3,318 | ||||||
3.449%, 11/15/2032 | 2,700 | 1,301 | ||||||
3.296%, 08/15/2034 | 300 | 134 | ||||||
3.254%, 05/15/2031 | 1,930 | 995 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 121 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
November 30, 2013
Description | Face Amount | Market Value ($ Thousands) | ||||||
3.239%, 02/15/2018 | $ | 1,850 | $ | 1,764 | ||||
3.234%, 08/15/2017 | 3,000 | 2,899 | ||||||
3.207%, 02/15/2016 | 250 | 248 | ||||||
3.172%, 08/15/2021 | 2,100 | 1,096 | ||||||
3.052%, 02/15/2035 | 2,100 | 916 | ||||||
3.013%, 05/15/2020 | 11,765 | 10,352 | ||||||
2.987%, 02/15/2029 | 3,100 | 1,777 | ||||||
2.967%, 08/15/2016 | 6,150 | 6,070 | ||||||
2.962%, 02/15/2015 | 200 | 200 | ||||||
2.933%, 11/15/2034 | 1,850 | 816 | ||||||
2.919%, 05/15/2032 | 2,000 | 986 | ||||||
2.886%, 05/15/2035 | 1,350 | 582 | ||||||
2.856%, 11/15/2027 | 20,420 | 12,512 | ||||||
2.844%, 11/15/2021 | 3,650 | 2,995 | ||||||
2.722%, 11/15/2028 | 800 | 464 | ||||||
2.711%, 08/15/2029 | 2,400 | 1,342 | ||||||
2.546%, 05/15/2023 | 450 | 344 | ||||||
2.423%, 08/15/2026 | 328 | 213 | ||||||
2.279%, 02/15/2021 | 20,555 | 17,455 | ||||||
1.800%, 05/15/2021 | 12,450 | 10,453 | ||||||
1.479%, 05/15/2018 | 4,000 | 3,787 | ||||||
1.296%, 02/15/2020 | 1,000 | 889 | ||||||
1.028%, 11/15/2016 (C) | 1,910 | 1,877 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 1,091,903 | ||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 4.1% |
| |||||||
SEI Liquidity Fund, L.P. | 236,434,149 | 236,434 | ||||||
|
| |||||||
Total Affiliated Partnership |
| 236,434 | ||||||
|
| |||||||
CASH EQUIVALENT — 4.6% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.010%**† | 268,162,801 | 268,163 | ||||||
|
| |||||||
Total Cash Equivalent |
| 268,163 | ||||||
|
| |||||||
COMMERCIAL PAPER — 0.2% |
| |||||||
Macquarie Bank | 13,310 | 13,304 | ||||||
|
| |||||||
Total Commercial Paper |
| 13,304 | ||||||
|
| |||||||
Total Investments — 111.5% |
| $ | 6,500,809 | |||||
|
|
Description | Contracts | Market Value ($ Thousands) | ||||||
PURCHASED OPTIONS — 0.0% |
| |||||||
February 2014, U.S. 10 Year Future Option Put Expires: 01/24/2014 | 77 | $ | 69 | |||||
February 2014, U.S. Bond Future Option Put Expires: 01/24/2014 | 65 | 123 | ||||||
February 2014, USD Call Expires 01/06/2014 | 16,200,000 | 137 | ||||||
January 2014, U.S. Bond Future Option Call Expires: 12/27/2013 | 207 | 6 | ||||||
|
| |||||||
Total Purchased Options |
| 335 | ||||||
|
| |||||||
PURCHASED SWAPTIONS — 0.1% |
| |||||||
April 2018, 3-Month Libor Put, Expires: 03/15/18, | 11,750,000 | $ | 1,297 | |||||
April 2018, 3-Month Libor Put, Expires: 03/15/18, | 11,750,000 | 1,297 | ||||||
May 2018, 3-Month Libor Put, Expires: 04/09/18, | 13,520,000 | 1,368 | ||||||
|
| |||||||
Total Purchased Swaptions |
| 3,962 | ||||||
|
| |||||||
WRITTEN OPTIONS — 0.0% |
| |||||||
February 2014, U.S. 10 Year Future Option Put | (154 | ) | $ | (46 | ) | |||
February 2014, U.S. Bond Future Option Put | (130 | ) | (83 | ) | ||||
November 2020, U.S. CPI Urban | (7,020,000 | ) | (3 | ) | ||||
|
| |||||||
Total Written Options |
| $ | (132 | ) | ||||
|
|
122 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
A list of the open futures contracts held by the Fund at November 30, 2013, is as follows :
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
90-Day Euro$ | 460 | Dec-2014 | $ | 220 | ||||||||
90-Day Euro$ | (230 | ) | Dec-2015 | (126 | ) | |||||||
90-Day Euro$ | (230 | ) | Mar-2016 | (62 | ) | |||||||
U.S. 10-Year Treasury Note | 69 | Dec-2013 | 11 | |||||||||
U.S. 10-Year Treasury Note | 593 | Mar-2014 | (218 | ) | ||||||||
U.S. 10-Year Treasury Note | (26 | ) | Mar-2014 | 7 | ||||||||
U.S. 2-Year Treasury Note | (1,067 | ) | Apr-2014 | (65 | ) | |||||||
U.S. 5-Year Treasury Note | 303 | Apr-2014 | 11 | |||||||||
U.S. 5-Year Treasury Note | (614 | ) | Apr-2014 | (113 | ) | |||||||
U.S. 5-Year Treasury Note | 2 | Dec-2013 | 5 | |||||||||
U.S. Long Treasury Bond | (383 | ) | Dec-2013 | (737 | ) | |||||||
U.S. Long Treasury Bond | (156 | ) | Mar-2014 | 59 | ||||||||
U.S. Ultra Long Treasury Bond | 74 | Mar-2014 | 12 | |||||||||
U.S. Ultra Long Treasury Bond | (282 | ) | Mar-2014 | 114 | ||||||||
|
| |||||||||||
$ | (882 | ) | ||||||||||
|
|
For the period ended November 30, 2013, 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 for the period.
A list of the open forward foreign currency contracts held by the Fund at November 30, 2013, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized (Depreciation) | |||||||||||||||||
2/18/14 | AUD | 7,200 | USD | 6,781 | $ | 237 | ||||||||||||||
2/18/14 | EUR | 54,440 | USD | 73,054 | (1,066 | ) | ||||||||||||||
2/18/14 | JPY | 2,041,344 | USD | 20,641 | 685 | |||||||||||||||
2/18/14 | USD | 6,525 | AUD | 7,200 | 18 | |||||||||||||||
2/18/14 | USD | 14,941 | EUR | 11,143 | 230 | |||||||||||||||
|
| |||||||||||||||||||
$ | 104 | |||||||||||||||||||
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at November 30, 2013, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation (Depreciation) | |||||||||
Barclays PLC | (7,487 | ) | 7,773 | $ | 286 | |||||||
Citicorp | (24,225 | ) | 24,152 | (73 | ) | |||||||
Citigroup | (45,798 | ) | 46,397 | 600 | ||||||||
JP Morgan Chase Bank | (14,976 | ) | 14,891 | (85 | ) | |||||||
Morgan Stanley | (29,600 | ) | 28,977 | (624 | ) | |||||||
|
| |||||||||||
$ | 104 | |||||||||||
|
|
For the period ended November 30, 2013, 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 for the period.
A list of the open OTC swap agreements held by the Fund at November 30, 2013 is as follows:
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount ($ Thousands) | Net Unrealized (Depreciation) ($ Thousands) | |||||||||
Barclays Bank PLC | 3.49% | 3-Month LIBOR | 03/15/46 | $ | 8,250 | $ | 1,008 | |||||||
Barclays Bank PLC | 2.48% | 3 Month LIBOR | 11/15/27 | 4,105 | 272 | |||||||||
Barclays Bank PLC | 2.42% | 3 Month LIBOR | 11/15/27 | 4,110 | 308 | |||||||||
Barclays Bank PLC | 3-Month LIBOR | 3.15% | 03/15/26 | 18,410 | (1,119 | ) | ||||||||
Citigroup | 2.71% | 3-Month LIBOR | 08/15/42 | 8,210 | 1,513 | |||||||||
Goldman Sachs | 3.13% | 3-Month LIBOR | 04/09/46 | 8,270 | 1,560 | |||||||||
Goldman Sachs | 3-Month LIBOR | 2.80% | 04/09/26 | 18,340 | (1,688 | ) | ||||||||
|
| |||||||||||||
$ | 1,854 | |||||||||||||
|
|
Credit Default Swaps | ||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount ($ Thousands) | Net Unrealized ($ Thousands) | ||||||||||||||
Deutsche Bank | MetLife, Inc. | SELL | 1.00 | 6/20/2018 | $ | (3,560 | ) | $ | 156 | |||||||||||
|
|
A list of the open centrally cleared swap agreements held by the Fund at November 30, 2013, is as follows:
Interest Rate Swaps | ||||||||||||||
Broker | Fund Pays | Fund Receives | Termination Date | Notional Amount ($ Thousands) | Net Unrealized Appreciation ($ Thousands) | |||||||||
Citigroup | 3.68% | 3-Month LIBOR | 11/15/43 | $ | 5,080 | $ | 63 | |||||||
|
|
For the period ended November 30, 2013, 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 for the period.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 123 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Concluded)
November 30, 2013
Percentages are based on a Net Assets of $5,830,778 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2013. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
(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, 2013. 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, 2013. The total value of securities on loan at November 30, 2013 was $230,314 ($ Thousands). |
(D) | Security in default on interest payments. |
(E) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on November 30, 2013. The coupon on a step bond changes on a specified date. |
(F) | The rate reported is the effective yield at time of purchase. |
(G) | Securities considered illiquid. The total value of such securities as of November 30, 2013 was $1 ($ Thousands) and represented 0.00% of Net Assets. |
(H) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of November 30, 2013 was $529 ($ Thousands) and represented 0.01% of Net Assets. |
(I) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(J) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total value of such securities as of November 30, 2013 was $236,434 ($ Thousands). |
ABS — Asset-Backed Security
AID — Agency for International Development
ARM — Adjustable Rate Mortgage
AUD — Australian Dollar
CDO — Collateralized Debt Obligation
Cl — Class
CLO — Collateralized Loan Obligation
CMBS — Commercial Mortgage-Backed Securities
CMO — Collateralized Mortgage Obligation
EUR — Euro
FAMC — Federal Agricultural Mortgage Corporation
FDIC — Federal Deposit Insurance Corporation
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
JPY — Japanese Yen
LIBOR — London Interbank Offered Rate
LLC — Limited Liability Company
L.P. — Limited Partnership
MTN — Medium Term Note
MXN — Mexican Peso
NCUA — National Credit Union Association
OTC — Over the Counter
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 — U.S. Dollar
The following is a list of the level of inputs used as of November 30, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Mortgage-Backed Securities | $ | — | $ | 2,389,445 | $ | 497 | $ | 2,389,942 | ||||||||
Corporate Obligations | — | 1,590,916 | 529 | 1,591,445 | ||||||||||||
Asset-Backed Securities | — | 578,911 | — | 578,911 | ||||||||||||
U.S. Government Agency Obligations | — | 148,196 | — | 148,196 | ||||||||||||
Sovereign Debt | — | 123,718 | — | 123,718 | ||||||||||||
Municipal Bonds | — | 58,793 | — | 58,793 | ||||||||||||
U.S. Treasury Obligations | — | 1,091,903 | — | 1,091,903 | ||||||||||||
Cash Equivalent | 268,163 | — | — | 268,163 | ||||||||||||
Affiliated Partnership | — | 236,434 | — | 236,434 | ||||||||||||
Commercial Paper | — | 13,304 | — | 13,304 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 268,163 | $ | 6,231,620 | $ | 1,026 | $ | 6,500,809 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Purchased Options | $ | — | $ | 335 | $ | — | $ | 335 | ||||||||
Purchased Swaptions | — | 3,962 | — | 3,962 | ||||||||||||
Written Options | — | (132 | ) | — | (132 | ) | ||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 437 | — | — | 437 | ||||||||||||
Unrealized Depreciation | (1,319 | ) | — | — | (1,319 | ) | ||||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Appreciation | — | 1,170 | — | 1,170 | ||||||||||||
Unrealized Depreciation | — | (1,066 | ) | — | (1,066 | ) | ||||||||||
OTC Swaps | ||||||||||||||||
Credit Default Swaps* | ||||||||||||||||
Unrealized Appreciation | — | 156 | — | 156 | ||||||||||||
Interest Rate Swaps* | ||||||||||||||||
Unrealized Appreciation | — | 4,661 | — | 4,661 | ||||||||||||
Unrealized Depreciation | — | (2,807 | ) | — | (2,807 | ) | ||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Interest Rate Swaps* | ||||||||||||||||
Unrealized Appreciation | — | 63 | — | 63 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (882 | ) | $ | 6,342 | $ | — | $ | 5,460 | |||||||
|
|
|
|
|
|
|
|
(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. Management has concluded that Level 3 investments are not material in relation to net assets. |
* | Futures contracts, forward contracts and swaps are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended November 30, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2013, 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 $0.
The accompanying notes are an integral part of the financial statements.
124 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 74.8% |
| |||||||
Consumer Discretionary — 16.0% |
| |||||||
Academy |
| |||||||
9.250%, 08/01/2019 (A) | $ | 715 | $ | 790 | ||||
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) | ||||||||
9.500%, 02/15/2004 (B) | 25 | — | ||||||
Affinia Group | ||||||||
7.750%, 05/01/2021 (A) | 1,810 | 1,891 | ||||||
Affinity Gaming LLC | ||||||||
9.000%, 05/15/2018 | 1,925 | 2,079 | ||||||
Algeco Scotsman Global | ||||||||
10.750%, 10/15/2019 | 2,478 | 2,577 | ||||||
8.500%, 10/15/2018 | 1,365 | 1,474 | ||||||
Allegion US Holding | ||||||||
5.750%, 10/01/2021 (A) | 2,035 | 2,111 | ||||||
Allison Transmission | ||||||||
7.125%, 05/15/2019 (A) | 1,961 | 2,113 | ||||||
AMC Entertainment | ||||||||
9.750%, 12/01/2020 | 1,415 | 1,617 | ||||||
8.750%, 06/01/2019 | 520 | 556 | ||||||
American Axle & Manufacturing | ||||||||
7.750%, 11/15/2019 | 1,465 | 1,663 | ||||||
6.250%, 03/15/2021 | 290 | 304 | ||||||
American Builders & Contractors Supply | ||||||||
5.625%, 04/15/2021 (A) | 1,410 | 1,428 | ||||||
American Tire Distributors | ||||||||
9.750%, 06/01/2017 | 620 | 659 | ||||||
AmeriGas Finance LLC | ||||||||
7.000%, 05/20/2022 | 7,591 | 8,217 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Avis Budget Car Rental LLC | ||||||||
8.250%, 01/15/2019 | $ | 905 | $ | 986 | ||||
5.500%, 04/01/2023 | 1,955 | 1,901 | ||||||
4.875%, 11/15/2017 | 65 | 68 | ||||||
Belo | ||||||||
7.750%, 06/01/2027 | 2,025 | 2,136 | ||||||
Burlington Coat Factory Warehouse | ||||||||
10.000%, 02/15/2019 | 5,580 | 6,257 | ||||||
Burlington Holdings LLC | ||||||||
9.000%, 02/15/2018 (A) | 793 | 817 | ||||||
Cablevision Systems | ||||||||
7.750%, 04/15/2018 | 900 | 1,008 | ||||||
Caesars Entertainment Operating | ||||||||
11.250%, 06/01/2017 | 1,645 | 1,674 | ||||||
10.000%, 12/15/2018 | 788 | 362 | ||||||
9.000%, 02/15/2020 | 1,820 | 1,770 | ||||||
8.500%, 02/15/2020 | 1,725 | 1,660 | ||||||
Caesars Entertainment Resort Properties LLC | ||||||||
8.000%, 10/01/2020 (A) | 850 | 869 | ||||||
Carlson Wagonlit | ||||||||
6.875%, 06/15/2019 (A) | 1,365 | 1,413 | ||||||
Carmike Cinemas | ||||||||
7.375%, 05/15/2019 | 950 | 1,033 | ||||||
CCO Holdings LLC | ||||||||
7.375%, 06/01/2020 | 1,335 | 1,452 | ||||||
7.000%, 01/15/2019 | 1,205 | 1,273 | ||||||
6.500%, 04/30/2021 | 4,030 | 4,206 | ||||||
5.250%, 03/15/2021 (A) | 400 | 386 | ||||||
5.250%, 09/30/2022 | 1,765 | 1,664 | ||||||
CDR DB Sub | ||||||||
7.750%, 10/15/2020 (A) | 1,930 | 1,911 | ||||||
Cedar Fair | ||||||||
5.250%, 03/15/2021 (A) | 1,000 | 980 | ||||||
Chassix | ||||||||
9.250%, 08/01/2018 (A) | 835 | 893 | ||||||
Checkers Drive-In Restaurants | ||||||||
11.000%, 12/01/2017 (A) | 650 | 723 | ||||||
Chester Downs & Marina LLC | ||||||||
9.250%, 02/01/2020 (A) | 4,555 | 4,555 | ||||||
Chinos Intermediate Holdings | ||||||||
7.750%, 05/01/2019 (A) | 2,170 | 2,186 | ||||||
Chrysler Group LLC | ||||||||
8.250%, 06/15/2021 | 5,200 | 5,915 | ||||||
Chukchansi Economic Development Authority | ||||||||
9.750%, 05/30/2020 (A) (B) | 274 | 169 | ||||||
Cinemark USA | ||||||||
7.375%, 06/15/2021 | 640 | 699 | ||||||
5.125%, 12/15/2022 | 1,800 | 1,735 | ||||||
4.875%, 06/01/2023 | 435 | 408 | ||||||
Claire’s Stores | ||||||||
9.000%, 03/15/2019 (A) | 1,640 | 1,835 | ||||||
8.875%, 03/15/2019 | 780 | 852 | ||||||
Clear Channel Communications | ||||||||
9.000%, 12/15/2019 | 581 | 593 | ||||||
9.000%, 03/01/2021 | 1,030 | 1,040 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 125 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Clear Channel Worldwide Holdings | ||||||||
7.625%, 03/15/2020 | $ | 255 | $ | 266 | ||||
7.625%, 03/15/2020 | 2,895 | 3,054 | ||||||
6.500%, 11/15/2022 | 1,015 | 1,045 | ||||||
6.500%, 11/15/2022 | 2,525 | 2,613 | ||||||
Cogeco Cable | ||||||||
4.875%, 05/01/2020 (A) | 1,050 | 1,021 | ||||||
Continental Rubber of America | ||||||||
4.500%, 09/15/2019 (A) | 1,450 | 1,535 | ||||||
Cooper-Standard Holding | ||||||||
7.375%, 04/01/2018 (A) | 1,505 | 1,520 | ||||||
CSC Holdings LLC | ||||||||
6.750%, 11/15/2021 | 2,065 | 2,225 | ||||||
CST Brands | ||||||||
5.000%, 05/01/2023 (A) | 350 | 337 | ||||||
Dana Holdings | ||||||||
6.750%, 02/15/2021 | 1,304 | 1,408 | ||||||
6.500%, 02/15/2019 | 1,095 | 1,172 | ||||||
6.000%, 09/15/2023 | 170 | 172 | ||||||
5.375%, 09/15/2021 | 380 | 385 | ||||||
Dave & Buster’s | ||||||||
14.860%, 02/15/2016 (A) | 9,645 | 7,933 | ||||||
11.000%, 06/01/2018 | 1,390 | 1,532 | ||||||
Diamond Resorts | ||||||||
12.000%, 08/15/2018 | 1,350 | 1,498 | ||||||
DISH DBS | ||||||||
7.875%, 09/01/2019 | 2,790 | 3,229 | ||||||
6.750%, 06/01/2021 | 1,225 | 1,320 | ||||||
5.875%, 07/15/2022 | 1,660 | 1,681 | ||||||
5.125%, 05/01/2020 | 465 | 468 | ||||||
4.250%, 04/01/2018 | 2,000 | 2,035 | ||||||
DreamWorks Animation SKG | ||||||||
6.875%, 08/15/2020 (A) | 1,300 | 1,381 | ||||||
Easton-Bell Sports | ||||||||
9.750%, 12/01/2016 | 1,675 | 1,750 | ||||||
Eldorado Resorts LLC | ||||||||
8.625%, 06/15/2019 (A) | 5,460 | 5,801 | ||||||
Empire Today LLC | ||||||||
11.375%, 02/01/2017 (A) | 1,941 | 1,926 | ||||||
Ferrellgas | ||||||||
6.500%, 05/01/2021 | 2,650 | 2,696 | ||||||
Fifth & Pacific | ||||||||
10.500%, 04/15/2019 | 3,735 | 4,043 | ||||||
Fontainebleau Las Vegas | ||||||||
10.250%, 06/15/2015 (A) (B) | 3,500 | 2 | ||||||
General Motors | ||||||||
4.875%, 10/02/2023 (A) | 2,425 | 2,437 | ||||||
Gestamp Funding Luxembourg | ||||||||
5.625%, 05/31/2020 (A) | 2,260 | 2,283 | ||||||
Gibson Brands | ||||||||
8.875%, 08/01/2018 (A) | 375 | 383 | ||||||
Goodyear Tire & Rubber | ||||||||
8.750%, 08/15/2020 | 185 | 216 | ||||||
8.250%, 08/15/2020 | 950 | 1,069 | ||||||
6.500%, 03/01/2021 | 2,345 | 2,486 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Graton Economic Development Authority | ||||||||
9.625%, 09/01/2019 (A) | $ | 4,200 | $ | 4,819 | ||||
Gray Television | ||||||||
7.500%, 10/01/2020 (A) | 1,460 | 1,537 | ||||||
GRD Holdings III | ||||||||
10.750%, 06/01/2019 (A) | 4,075 | 4,442 | ||||||
Greektown Superholdings | ||||||||
13.000%, 07/01/2015 | 1,850 | 1,901 | ||||||
13.000%, 07/01/2015 | 3,390 | 3,483 | ||||||
Gymboree | ||||||||
9.125%, 12/01/2018 | 910 | 864 | ||||||
Hanesbrands | ||||||||
6.375%, 12/15/2020 | 1,412 | 1,543 | ||||||
HD Supply | ||||||||
11.500%, 07/15/2020 | 2,130 | 2,545 | ||||||
11.000%, 04/15/2020 | 535 | 635 | ||||||
8.125%, 04/15/2019 | 1,360 | 1,518 | ||||||
7.500%, 07/15/2020 | 3,925 | 4,161 | ||||||
Hillman Group | ||||||||
10.875%, 06/01/2018 | 3,265 | 3,534 | ||||||
Hilton Worldwide Finance LLC | ||||||||
5.625%, 10/15/2021 (A) | 565 | 576 | ||||||
Icahn Enterprises | ||||||||
6.000%, 08/01/2020 (A) | 1,700 | 1,745 | ||||||
INTCOMEX | ||||||||
13.250%, 12/15/2014 | 4,358 | 4,227 | ||||||
International Automotive Components Group | ||||||||
9.125%, 06/01/2018 (A) | 1,705 | 1,765 | ||||||
Isle of Capri Casinos | ||||||||
5.875%, 03/15/2021 | 1,070 | 1,038 | ||||||
Jaguar Land Rover Automotive | ||||||||
8.125%, 05/15/2021 (A) | 720 | 815 | ||||||
Jarden | ||||||||
7.500%, 01/15/2020 | 605 | 655 | ||||||
JCPenney | ||||||||
7.950%, 04/01/2017 | 1,400 | 1,236 | ||||||
6.375%, 10/15/2036 | 710 | 541 | ||||||
5.750%, 02/15/2018 | 365 | 310 | ||||||
5.650%, 06/01/2020 | 1,145 | 919 | ||||||
L Brands | ||||||||
6.625%, 04/01/2021 | 1,040 | 1,145 | ||||||
5.625%, 02/15/2022 | 1,285 | 1,324 | ||||||
Landry’s | ||||||||
9.375%, 05/01/2020 (A) | 1,745 | 1,902 | ||||||
Libbey Glass | ||||||||
6.875%, 05/15/2020 | 642 | 685 | ||||||
Liberty Interactive LLC | ||||||||
8.250%, 02/01/2030 | 3,980 | 4,224 | ||||||
Live Nation Entertainment | ||||||||
7.000%, 09/01/2020 (A) | 1,880 | 2,030 | ||||||
LKQ | ||||||||
4.750%, 05/15/2023 (A) | 1,570 | 1,476 |
126 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Logan’s Roadhouse | ||||||||
10.750%, 10/15/2017 | $ | 4,780 | $ | 4,183 | ||||
M/I Homes | ||||||||
8.625%, 11/15/2018 | 1,485 | 1,604 | ||||||
Marina District Finance | ||||||||
9.875%, 08/15/2018 | 1,420 | 1,548 | ||||||
McClatchy | ||||||||
9.000%, 12/15/2022 | 2,805 | 3,043 | ||||||
MDC Partners | ||||||||
6.750%, 04/01/2020 (A) | 7,060 | 7,342 | ||||||
MGM Resorts International | ||||||||
11.375%, 03/01/2018 | 2,000 | 2,555 | ||||||
8.625%, 02/01/2019 | 2,200 | 2,591 | ||||||
7.750%, 03/15/2022 | 955 | 1,060 | ||||||
6.750%, 10/01/2020 | 2,435 | 2,618 | ||||||
6.625%, 12/15/2021 | 1,080 | 1,137 | ||||||
Michaels FinCo Holdings LLC | ||||||||
7.500%, 08/01/2018 (A) | 3,860 | 3,995 | ||||||
Michaels Stores | ||||||||
11.375%, 11/01/2016 | 323 | 331 | ||||||
11.375%, 11/01/2016 | 14 | 14 | ||||||
7.750%, 11/01/2018 | 1,570 | 1,700 | ||||||
MISA Investments | ||||||||
8.625%, 08/15/2018 (A) | 1,055 | 1,092 | ||||||
Mohegan Tribal Gaming Authority | ||||||||
9.750%, 09/01/2021 (A) | 2,280 | 2,428 | ||||||
MTR Gaming Group | ||||||||
11.500%, 08/01/2019 | 5,375 | 5,966 | ||||||
Neiman Marcus Group (A) | ||||||||
8.750%, 10/15/2021 | 235 | 242 | ||||||
8.000%, 10/15/2021 | 320 | 329 | ||||||
New Academy Finance LLC PIK | ||||||||
8.000%, 06/15/2018 (A) | 1,300 | 1,331 | ||||||
New Albertsons | ||||||||
8.000%, 05/01/2031 | 5,340 | 4,446 | ||||||
7.750%, 06/15/2026 | 135 | 113 | ||||||
7.450%, 08/01/2029 | 165 | 137 | ||||||
New Look Bondco I | ||||||||
8.375%, 05/14/2018 (A) | 1,450 | 1,497 | ||||||
Nexstar Broadcasting | ||||||||
6.875%, 11/15/2020 | 3,160 | 3,342 | ||||||
Party City Holdings | ||||||||
8.875%, 08/01/2020 | 3,050 | 3,386 | ||||||
PC Nextco Holdings LLC | ||||||||
8.750%, 08/15/2019 (A) | 350 | 361 | ||||||
Peninsula Gaming LLC | ||||||||
8.375%, 02/15/2018 (A) | 2,750 | 2,991 | ||||||
Petco Animal Supplies | ||||||||
9.250%, 12/01/2018 (A) | 360 | 386 | ||||||
Pinnacle Entertainment | ||||||||
7.750%, 04/01/2022 | 665 | 725 | ||||||
7.500%, 04/15/2021 | 1,375 | 1,492 | ||||||
Playa Resorts Holding | ||||||||
8.000%, 08/15/2020 (A) | 2,140 | 2,247 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
PNK Finance | ||||||||
6.375%, 08/01/2021 (A) | $ | 915 | $ | 945 | ||||
Quebecor Media Escrow (B) | ||||||||
0.000%, 11/15/2013 | 1,800 | 18 | ||||||
0.000%, 03/15/2016 | 2,175 | 22 | ||||||
Quiksilver | ||||||||
7.875%, 08/01/2018 (A) | 1,690 | 1,821 | ||||||
Radio Systems | ||||||||
8.375%, 11/01/2019 (A) | 760 | 832 | ||||||
Royal Caribbean Cruises | ||||||||
5.250%, 11/15/2022 | 1,000 | 1,003 | ||||||
RSI Home Products | ||||||||
6.875%, 03/01/2018 (A) | 315 | 330 | ||||||
Sabre | ||||||||
8.500%, 05/15/2019 (A) | 3,170 | 3,507 | ||||||
Sally Holdings LLC | ||||||||
6.875%, 11/15/2019 | 455 | 503 | ||||||
5.750%, 06/01/2022 | 570 | 591 | ||||||
5.500%, 11/01/2023 | 1,360 | 1,353 | ||||||
Schaeffler Finance (A) | ||||||||
8.500%, 02/15/2019 | 250 | 282 | ||||||
4.750%, 05/15/2021 | 825 | 823 | ||||||
Seminole Hard Rock Entertainment | ||||||||
5.875%, 05/15/2021 (A) | 250 | 245 | ||||||
Seminole Tribe | ||||||||
6.535%, 10/01/2020 (A) | 1,450 | 1,581 | ||||||
Seneca Gaming | ||||||||
8.250%, 12/01/2018 (A) | 4,840 | 5,206 | ||||||
Serta Simmons Holdings LLC | ||||||||
8.125%, 10/01/2020 (A) | 2,905 | 3,145 | ||||||
Service International | ||||||||
7.625%, 10/01/2018 | 450 | 519 | ||||||
7.500%, 04/01/2027 | 785 | 834 | ||||||
7.000%, 05/15/2019 | 620 | 663 | ||||||
5.375%, 01/15/2022 (A) | 990 | 1,000 | ||||||
Seven Seas Cruises S de RL LLC | ||||||||
9.125%, 05/15/2019 | 1,620 | 1,788 | ||||||
Shingle Springs Tribal Gaming Authority | ||||||||
9.750%, 09/01/2021 (A) | 2,665 | 2,865 | ||||||
Sinclair Television Group | ||||||||
6.125%, 10/01/2022 | 375 | 380 | ||||||
5.375%, 04/01/2021 | 4,000 | 3,940 | ||||||
Sirius XM Radio (A) | ||||||||
5.875%, 10/01/2020 | 2,000 | 2,063 | ||||||
5.750%, 08/01/2021 | 1,275 | 1,291 | ||||||
4.625%, 05/15/2023 | 1,100 | 982 | ||||||
4.250%, 05/15/2020 | 2,000 | 1,910 | ||||||
Six Flags Entertainment | ||||||||
5.250%, 01/15/2021 (A) | 3,850 | 3,773 | ||||||
Spencer Spirit Holdings | ||||||||
9.000%, 05/01/2018 (A) | 1,120 | 1,128 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 127 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Stackpole International Intermediate | ||||||||
7.750%, 10/15/2021 (A) | $ | 2,210 | $ | 2,304 | ||||
Stanadyne Holdings | ||||||||
12.000%, 02/15/2015 (C) | 1,500 | 953 | ||||||
Stanadyne Holdings, Ser 1 | ||||||||
10.000%, 08/15/2014 | 1,580 | 1,537 | ||||||
Suburban Propane Partners | ||||||||
7.500%, 10/01/2018 | 1,672 | 1,795 | ||||||
7.375%, 03/15/2020 | 500 | 536 | ||||||
Tempur Sealy International | ||||||||
6.875%, 12/15/2020 | 1,610 | 1,739 | ||||||
Toys R Us | ||||||||
10.375%, 08/15/2017 | 2,190 | 2,070 | ||||||
Travelport LLC | ||||||||
11.875%, 09/01/2016 | 1,535 | 1,554 | ||||||
Travelport LLC PIK | ||||||||
13.875%, 03/01/2016 (A) | 1,323 | 1,396 | ||||||
UCI International | ||||||||
8.625%, 02/15/2019 | 1,185 | 1,197 | ||||||
Vail Resorts | ||||||||
6.500%, 05/01/2019 | 1,340 | 1,420 | ||||||
Visteon | ||||||||
6.750%, 04/15/2019 | 994 | 1,056 | ||||||
William Carter | ||||||||
5.250%, 08/15/2021 (A) | 155 | 158 | ||||||
WMG Acquisition | ||||||||
11.500%, 10/01/2018 | 2,990 | 3,461 | ||||||
6.000%, 01/15/2021 (A) | 1,238 | 1,291 | ||||||
Wok Acquisition | ||||||||
10.250%, 06/30/2020 (A) | 3,740 | 4,039 | ||||||
Wynn Las Vegas LLC | ||||||||
7.750%, 08/15/2020 | 3,050 | 3,401 | ||||||
|
| |||||||
344,911 | ||||||||
|
| |||||||
Consumer Staples — 8.2% | ||||||||
Accellent | ||||||||
10.000%, 11/01/2017 | 980 | 979 | ||||||
8.375%, 02/01/2017 | 935 | 982 | ||||||
Albea Beauty Holdings | ||||||||
8.375%, 11/01/2019 (A) | 745 | 767 | ||||||
American Achievement | ||||||||
10.875%, 04/15/2016 (A) | 1,775 | 1,884 | ||||||
APX Group | ||||||||
8.750%, 12/01/2020 | 3,995 | 4,105 | ||||||
6.375%, 12/01/2019 | 2,070 | 2,091 | ||||||
ARAMARK | ||||||||
5.750%, 03/15/2020 (A) | 2,450 | 2,554 | ||||||
Armored Autogroup | ||||||||
9.250%, 11/01/2018 | 620 | 589 | ||||||
Ashtead Capital | ||||||||
6.500%, 07/15/2022 (A) | 1,795 | 1,921 | ||||||
B&G Foods | ||||||||
4.625%, 06/01/2021 | 290 | 277 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Barry Callebaut Services | ||||||||
5.500%, 06/15/2023 (A) | $ | 650 | $ | 662 | ||||
Beverages & More | ||||||||
9.625%, 10/01/2014 (A) | 3,392 | 3,392 | ||||||
BI-LO LLC | ||||||||
8.625%, 09/15/2018 (A) | 1,055 | 1,093 | ||||||
Biomet | ||||||||
6.500%, 08/01/2020 | 3,431 | 3,637 | ||||||
6.500%, 10/01/2020 | 1,800 | 1,872 | ||||||
Bumble Bee Holdco SCA PIK | ||||||||
9.625%, 03/15/2018 (A) | 3,750 | 3,947 | ||||||
Bumble Bee Holdings | ||||||||
9.000%, 12/15/2017 (A) | 2,220 | 2,425 | ||||||
Central Garden and Pet | ||||||||
8.250%, 03/01/2018 | 6,190 | 6,252 | ||||||
Ceridian HCM Holding | ||||||||
11.000%, 03/15/2021 (A) | 324 | 374 | ||||||
Chiquita Brands International | ||||||||
7.875%, 02/01/2021 (A) | 590 | 632 | ||||||
Constellation Brands | ||||||||
4.250%, 05/01/2023 | 35 | 33 | ||||||
3.750%, 05/01/2021 | 300 | 283 | ||||||
Crestview DS Merger Sub II | ||||||||
10.000%, 09/01/2021 (A) | 1,020 | 1,081 | ||||||
Del Monte | ||||||||
7.625%, 02/15/2019 | 6,185 | 6,432 | ||||||
Elizabeth Arden | ||||||||
7.375%, 03/15/2021 | 240 | 262 | ||||||
Emergency Medical Services | ||||||||
8.125%, 06/01/2019 | 2,246 | 2,434 | ||||||
Fleming | ||||||||
10.125%, 04/01/2008 (B) | 974 | — | ||||||
Fresenius Medical Care US Finance II | ||||||||
5.625%, 07/31/2019 (A) | 2,245 | 2,425 | ||||||
Global A&T Electronics | ||||||||
10.000%, 02/01/2019 (A) | 200 | 160 | ||||||
Harbinger Group | ||||||||
7.875%, 07/15/2019 (A) | 4,000 | 4,290 | ||||||
Hawk Acquisition Sub | ||||||||
4.250%, 10/15/2020 (A) | 1,310 | 1,261 | ||||||
Hertz | ||||||||
7.500%, 10/15/2018 | 1,075 | 1,162 | ||||||
5.875%, 10/15/2020 | 445 | 462 | ||||||
Immucor | ||||||||
11.125%, 08/15/2019 | 6,765 | 7,577 | ||||||
INC Research LLC | ||||||||
11.500%, 07/15/2019 (A) | 2,965 | 3,284 | ||||||
Interactive Data | ||||||||
10.250%, 08/01/2018 | 1,030 | 1,133 | ||||||
JBS Investments GmbH | ||||||||
7.750%, 10/28/2020 (A) | 330 | 332 | ||||||
JBS USA LLC (A) | ||||||||
8.250%, 02/01/2020 | 1,190 | 1,285 | ||||||
7.250%, 06/01/2021 | 750 | 782 |
128 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
KeHE Distributors LLC | ||||||||
7.625%, 08/15/2021 (A) | $ | 1,900 | $ | 1,985 | ||||
Kinetic Concepts | ||||||||
12.500%, 11/01/2019 | 700 | 773 | ||||||
10.500%, 11/01/2018 | 2,440 | 2,788 | ||||||
Knowledge Universe Education LLC | ||||||||
7.750%, 02/01/2015 (A) | 775 | 759 | ||||||
Land O’ Lakes | ||||||||
6.000%, 11/15/2022 (A) | 340 | 353 | ||||||
Lantheus Medical Imaging | ||||||||
9.750%, 05/15/2017 | 1,440 | 1,310 | ||||||
Laureate Education | ||||||||
9.250%, 09/01/2019 (A) | 2,000 | 2,190 | ||||||
Michael Foods Holding PIK | ||||||||
8.500%, 07/15/2018 (A) | 1,665 | 1,759 | ||||||
Monitronics International | ||||||||
9.125%, 04/01/2020 | 4,280 | 4,515 | ||||||
Pantry | ||||||||
8.375%, 08/01/2020 | 1,440 | 1,537 | ||||||
Par Pharmaceutical | ||||||||
7.375%, 10/15/2020 | 2,265 | 2,378 | ||||||
Physio-Control International | ||||||||
9.875%, 01/15/2019 (A) | 380 | 426 | ||||||
Post Holdings | ||||||||
7.375%, 02/15/2022 | 1,535 | 1,627 | ||||||
6.750%, 12/01/2021 (A) | 215 | 219 | ||||||
Radiation Therapy Services | ||||||||
9.875%, 04/15/2017 | 1,125 | 889 | ||||||
8.875%, 01/15/2017 | 665 | 660 | ||||||
Reynolds Group Issuer | ||||||||
9.875%, 08/15/2019 | 5,625 | 6,244 | ||||||
9.000%, 04/15/2019 | 4,255 | 4,553 | ||||||
8.250%, 02/15/2021 | 1,205 | 1,268 | ||||||
6.875%, 02/15/2021 | 1,000 | 1,080 | ||||||
5.750%, 10/15/2020 | 6,545 | 6,709 | ||||||
Rite Aid | ||||||||
9.250%, 03/15/2020 | 485 | 560 | ||||||
7.700%, 02/15/2027 | 2,635 | 2,694 | ||||||
6.750%, 06/15/2021 | 1,640 | 1,712 | ||||||
ServiceMaster | ||||||||
8.000%, 02/15/2020 | 1,935 | 1,935 | ||||||
7.450%, 08/15/2027 | 530 | 436 | ||||||
7.250%, 03/01/2038 | 4,710 | 3,462 | ||||||
7.100%, 03/01/2018 | 410 | 396 | ||||||
7.000%, 08/15/2020 | 1,480 | 1,415 | ||||||
Smithfield Foods | ||||||||
6.625%, 08/15/2022 | 1,070 | 1,130 | ||||||
Spectrum Brands | ||||||||
6.750%, 03/15/2020 | 440 | 472 | ||||||
Spectrum Brands Escrow (A) | ||||||||
6.625%, 11/15/2022 | 1,835 | 1,954 | ||||||
6.375%, 11/15/2020 | 1,060 | 1,129 | ||||||
SUPERVALU | ||||||||
6.750%, 06/01/2021 (A) | 4,400 | 4,317 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
TransUnion Holding | ||||||||
9.625%, 06/15/2018 | $ | 425 | $ | 458 | ||||
8.125%, 06/15/2018 | 2,349 | 2,496 | ||||||
Truven Health Analytics | ||||||||
10.625%, 06/01/2020 | 595 | 673 | ||||||
United Rentals North America | ||||||||
9.250%, 12/15/2019 | 1,055 | 1,178 | ||||||
8.375%, 09/15/2020 | 160 | 178 | ||||||
8.250%, 02/01/2021 | 3,940 | 4,482 | ||||||
7.625%, 04/15/2022 | 140 | 157 | ||||||
7.375%, 05/15/2020 | 170 | 190 | ||||||
United Surgical Partners International | ||||||||
9.000%, 04/01/2020 | 1,670 | 1,870 | ||||||
US Foods | ||||||||
8.500%, 06/30/2019 | 4,510 | 4,814 | ||||||
Valeant Pharmaceuticals International (A) | ||||||||
7.250%, 07/15/2022 | 1,260 | 1,358 | ||||||
7.000%, 10/01/2020 | 1,605 | 1,721 | ||||||
6.750%, 08/15/2021 | 1,010 | 1,068 | ||||||
6.375%, 10/15/2020 | 885 | 933 | ||||||
5.625%, 12/01/2021 | 2,250 | 2,264 | ||||||
Vector Group | ||||||||
7.750%, 02/15/2021 | 1,630 | 1,716 | ||||||
VPII Escrow (A) | ||||||||
7.500%, 07/15/2021 | 4,265 | 4,691 | ||||||
6.750%, 08/15/2018 | 4,745 | 5,225 | ||||||
|
| |||||||
176,219 | ||||||||
|
| |||||||
Energy — 11.2% | ||||||||
Access Midstream Partners | ||||||||
6.125%, 07/15/2022 | 590 | 633 | ||||||
5.875%, 04/15/2021 | 310 | 332 | ||||||
4.875%, 05/15/2023 | 395 | 387 | ||||||
Antero Resources Finance | ||||||||
5.375%, 11/01/2021 (A) | 435 | 439 | ||||||
Arch Coal | ||||||||
7.250%, 06/15/2021 | 955 | 721 | ||||||
7.000%, 06/15/2019 | 510 | 390 | ||||||
Atlas Energy Holdings Operating LLC | ||||||||
7.750%, 01/15/2021 (A) | 1,200 | 1,134 | ||||||
Atlas Pipeline Partners | ||||||||
6.625%, 10/01/2020 | 1,970 | 2,088 | ||||||
5.875%, 08/01/2023 (A) | 1,850 | 1,794 | ||||||
4.750%, 11/15/2021 (A) | 400 | 370 | ||||||
Atlas Resource Escrow | ||||||||
9.250%, 08/15/2021 (A) | 900 | 916 | ||||||
Atwood Oceanics | ||||||||
6.500%, 02/01/2020 | 438 | 471 | ||||||
Berry Petroleum | ||||||||
6.375%, 09/15/2022 | 430 | 439 | ||||||
Bill Barrett | ||||||||
7.625%, 10/01/2019 | 2,000 | 2,145 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 129 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
BreitBurn Energy Partners | ||||||||
8.625%, 10/15/2020 | $ | 640 | $ | 685 | ||||
7.875%, 04/15/2022 | 2,870 | 2,935 | ||||||
7.875%, 04/15/2022 (A) | 3,765 | 3,850 | ||||||
Calumet Specialty Products Partners | ||||||||
9.375%, 05/01/2019 | 1,455 | 1,611 | ||||||
7.625%, 01/15/2022 (A) | 835 | 841 | ||||||
Carrizo Oil & Gas | ||||||||
7.500%, 09/15/2020 | 400 | 438 | ||||||
Chaparral Energy | ||||||||
8.250%, 09/01/2021 | 915 | 1,004 | ||||||
7.625%, 11/15/2022 | 730 | 790 | ||||||
Checkers & Rally’s Restaurants | ||||||||
11.625%, 11/01/2016 (A) | 150 | 154 | ||||||
Chesapeake Energy | ||||||||
6.875%, 11/15/2020 | 340 | 382 | ||||||
6.625%, 08/15/2020 | 2,500 | 2,800 | ||||||
6.125%, 02/15/2021 | 415 | 446 | ||||||
5.750%, 03/15/2023 | 5 | 5 | ||||||
5.375%, 06/15/2021 | 325 | 336 | ||||||
Chesapeake Oilfield Operating LLC | ||||||||
6.625%, 11/15/2019 | 425 | 444 | ||||||
Comstock Resources | ||||||||
7.750%, 04/01/2019 | 1,480 | 1,554 | ||||||
CONSOL Energy | ||||||||
8.000%, 04/01/2017 | 815 | 862 | ||||||
Continental Resources | ||||||||
5.000%, 09/15/2022 | 410 | 422 | ||||||
Crestwood Midstream Partners | ||||||||
7.750%, 04/01/2019 | 4,050 | 4,394 | ||||||
6.125%, 03/01/2022 (A) | 1,165 | 1,191 | ||||||
Crosstex Energy | ||||||||
8.875%, 02/15/2018 | 1,675 | 1,767 | ||||||
7.125%, 06/01/2022 | 20 | 23 | ||||||
Denbury Resources | ||||||||
8.250%, 02/15/2020 | 909 | 1,003 | ||||||
Dresser-Rand Group | ||||||||
6.500%, 05/01/2021 | 600 | 636 | ||||||
Drill Rigs Holdings | ||||||||
6.500%, 10/01/2017 (A) | 1,500 | 1,624 | ||||||
Eagle Rock Energy Partners | ||||||||
8.375%, 06/01/2019 | 6,320 | 6,510 | ||||||
El Paso LLC | ||||||||
7.250%, 06/01/2018 | 740 | 842 | ||||||
7.000%, 06/15/2017 | 270 | 306 | ||||||
Endeavor Energy Resources | ||||||||
7.000%, 08/15/2021 (A) | 3,800 | 3,800 | ||||||
Energy Transfer Equity | ||||||||
5.875%, 01/15/2024 | 2,985 | 2,978 | ||||||
Energy XXI Gulf Coast | ||||||||
7.500%, 12/15/2021 (A) | 3,350 | 3,509 | ||||||
EP Energy LLC | ||||||||
9.375%, 05/01/2020 | 1,390 | 1,598 | ||||||
7.750%, 09/01/2022 | 720 | 810 | ||||||
6.875%, 05/01/2019 | 590 | 636 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
EV Energy Partners | ||||||||
8.000%, 04/15/2019 | $ | 1,465 | $ | 1,483 | ||||
Exterran Holdings | ||||||||
7.250%, 12/01/2018 | 4,650 | 4,917 | ||||||
Exterran Partners | ||||||||
6.000%, 04/01/2021 (A) | 2,090 | 2,080 | ||||||
Foresight Energy LLC | ||||||||
7.875%, 08/15/2021 (A) | 1,500 | 1,545 | ||||||
Forest Oil | ||||||||
7.500%, 09/15/2020 | 7,955 | 7,856 | ||||||
7.250%, 06/15/2019 | 221 | 219 | ||||||
Genesis Energy | ||||||||
5.750%, 02/15/2021 | 1,780 | 1,802 | ||||||
Gibson Energy | ||||||||
6.750%, 07/15/2021 (A) | 4,725 | 5,008 | ||||||
Halcon Resources | ||||||||
9.250%, 02/15/2022 (A) | 290 | 297 | ||||||
8.875%, 05/15/2021 | 13,115 | 13,312 | ||||||
Hercules Offshore (A) | ||||||||
8.750%, 07/15/2021 | 460 | 508 | ||||||
7.500%, 10/01/2021 | 755 | 793 | ||||||
Hiland Partners | ||||||||
7.250%, 10/01/2020 (A) | 2,035 | 2,167 | ||||||
IronGate Energy Services LLC | ||||||||
11.000%, 07/01/2018 (A) | 500 | 490 | ||||||
James River Coal | ||||||||
7.875%, 04/01/2019 | 410 | 119 | ||||||
Key Energy Services | ||||||||
6.750%, 03/01/2021 | 1,535 | 1,570 | ||||||
Kinder Morgan | ||||||||
5.000%, 02/15/2021 (A) | 780 | 773 | ||||||
Kodiak Oil & Gas | ||||||||
8.125%, 12/01/2019 | 1,135 | 1,257 | ||||||
5.500%, 02/01/2022 (A) | 120 | 120 | ||||||
Laredo Petroleum | ||||||||
9.500%, 02/15/2019 | 1,945 | 2,169 | ||||||
7.375%, 05/01/2022 | 980 | 1,061 | ||||||
Legacy Reserves (A) | ||||||||
8.000%, 12/01/2020 | 2,250 | 2,323 | ||||||
6.625%, 12/01/2021 | 2,665 | 2,572 | ||||||
Linn Energy LLC (A) | ||||||||
8.625%, 04/15/2020 | 325 | 348 | ||||||
7.750%, 02/01/2021 | 1,465 | 1,520 | ||||||
7.000%, 11/01/2019 (A) | 4,720 | 4,696 | ||||||
6.500%, 05/15/2019 | 295 | 297 | ||||||
MarkWest Energy Partners | ||||||||
5.500%, 02/15/2023 | 805 | 821 | ||||||
MEG Energy (A) | ||||||||
7.000%, 03/31/2024 | 590 | 602 | ||||||
6.500%, 03/15/2021 | 326 | 339 | ||||||
6.375%, 01/30/2023 | 3,090 | 3,121 | ||||||
Memorial Production Partners | ||||||||
7.625%, 05/01/2021 (A) | 2,050 | 2,106 | ||||||
7.625%, 05/01/2021 | 675 | 694 |
130 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Midstates Petroleum | ||||||||
10.750%, 10/01/2020 | $ | 4,892 | $ | 5,332 | ||||
9.250%, 06/01/2021 | 2,670 | 2,787 | ||||||
Milagro Oil & Gas | ||||||||
10.500%, 05/15/2016 | 1,950 | 1,462 | ||||||
Millennium Offshore Services Superholdings LLC | ||||||||
9.500%, 02/15/2018 (A) | 1,040 | 1,087 | ||||||
Murphy Oil USA | ||||||||
6.000%, 08/15/2023 (A) | 1,125 | 1,147 | ||||||
Murray Energy | ||||||||
8.625%, 06/15/2021 (A) | 2,230 | 2,297 | ||||||
Newfield Exploration | ||||||||
6.875%, 02/01/2020 | 675 | 722 | ||||||
NGL Energy Partners | ||||||||
6.875%, 10/15/2021 (A) | 1,700 | 1,730 | ||||||
Niska Gas Storage US LLC | ||||||||
8.875%, 03/15/2018 | 3,090 | 3,237 | ||||||
Northern Oil and Gas | ||||||||
8.000%, 06/01/2020 | 1,420 | 1,487 | ||||||
NuStar Logistics | ||||||||
6.750%, 02/01/2021 | 1,070 | 1,102 | ||||||
Oasis Petroleum | ||||||||
6.875%, 03/15/2022 (A) | 2,280 | 2,451 | ||||||
Ocean Rig UDW | ||||||||
9.500%, 04/27/2016 (A) | 3,400 | 3,630 | ||||||
Pacific Drilling | ||||||||
5.375%, 06/01/2020 (A) | 975 | 985 | ||||||
Parker Drilling | ||||||||
9.125%, 04/01/2018 | 2,200 | 2,351 | ||||||
7.500%, 08/01/2020 (A) | 2,000 | 2,100 | ||||||
PDC Energy | ||||||||
7.750%, 10/15/2022 | 2,570 | 2,782 | ||||||
Peabody Energy | ||||||||
6.250%, 11/15/2021 | 2,390 | 2,444 | ||||||
6.000%, 11/15/2018 | 860 | 914 | ||||||
Penn Virginia Resource Partners | ||||||||
8.375%, 06/01/2020 | 2,800 | 3,094 | ||||||
8.250%, 04/15/2018 | 1,265 | 1,341 | ||||||
6.500%, 05/15/2021 (A) | 2,200 | 2,277 | ||||||
Pioneer Energy Services | ||||||||
9.875%, 03/15/2018 | 1,850 | 1,980 | ||||||
Plains Exploration & Production | ||||||||
6.875%, 02/15/2023 | 905 | 1,002 | ||||||
6.500%, 11/15/2020 | 1,630 | 1,784 | ||||||
QR Energy | ||||||||
9.250%, 08/01/2020 | 725 | 752 | ||||||
Range Resources | ||||||||
5.000%, 08/15/2022 | 945 | 928 | ||||||
5.000%, 03/15/2023 | 4,550 | 4,436 | ||||||
Regency Energy Partners | ||||||||
5.500%, 04/15/2023 | 550 | 540 | ||||||
4.500%, 11/01/2023 (A) | 1,175 | 1,075 | ||||||
RKI Exploration & Production LLC | ||||||||
8.500%, 08/01/2021 (A) | 610 | 637 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Rockies Express Pipeline LLC (A) | ||||||||
6.000%, 01/15/2019 | $ | 2,195 | $ | 2,085 | ||||
5.625%, 04/15/2020 | 1,715 | 1,578 | ||||||
Rosetta Resources | ||||||||
5.875%, 06/01/2022 | 1,100 | 1,103 | ||||||
5.625%, 05/01/2021 | 965 | 969 | ||||||
Sabine Pass Liquefaction LLC (A) | ||||||||
6.250%, 03/15/2022 | 2,335 | 2,329 | ||||||
5.625%, 02/01/2021 | 3,820 | 3,772 | ||||||
5.625%, 04/15/2023 | 6,205 | 5,879 | ||||||
Samson Investment Company | ||||||||
10.250%, 02/15/2020 (A) | 1,305 | 1,411 | ||||||
SandRidge Energy | ||||||||
8.125%, 10/15/2022 | 5,369 | 5,658 | ||||||
7.500%, 03/15/2021 | 2,595 | 2,718 | ||||||
7.500%, 02/15/2023 | 6,635 | 6,768 | ||||||
Sea Trucks Group | ||||||||
9.000%, 03/26/2018 (A) | 1,510 | 1,446 | ||||||
SemGroup | ||||||||
7.500%, 06/15/2021 (A) | 1,970 | 2,069 | ||||||
SESI LLC | ||||||||
7.125%, 12/15/2021 | 2,000 | 2,220 | ||||||
Summit Midstream Holdings LLC | ||||||||
7.500%, 07/01/2021 (A) | 1,200 | 1,254 | ||||||
Targa Resources Partners | ||||||||
6.375%, 08/01/2022 | 375 | 401 | ||||||
Tesoro Logistics | ||||||||
6.125%, 10/15/2021 | 605 | 625 | ||||||
5.875%, 10/01/2020 | 725 | 745 | ||||||
Trinidad Drilling | ||||||||
7.875%, 01/15/2019 (A) | 880 | 935 | ||||||
Tullow Oil | ||||||||
6.000%, 11/01/2020 (A) | 600 | 604 | ||||||
Unit | ||||||||
6.625%, 05/15/2021 | 1,400 | 1,470 | ||||||
Vanguard Natural Resources LLC | ||||||||
7.875%, 04/01/2020 | 730 | 759 | ||||||
Western Refining | ||||||||
6.250%, 04/01/2021 | 265 | 265 | ||||||
Whiting Petroleum | ||||||||
5.750%, 03/15/2021 | 1,540 | 1,598 | ||||||
|
| |||||||
240,984 | ||||||||
|
| |||||||
Financials — 7.5% | ||||||||
Ally Financial | ||||||||
8.000%, 11/01/2031 | 1,285 | 1,532 | ||||||
7.500%, 09/15/2020 | 1,405 | 1,647 | ||||||
6.250%, 12/01/2017 | 3,270 | 3,658 | ||||||
5.500%, 02/15/2017 | 1,475 | 1,596 | ||||||
4.750%, 09/10/2018 | 2,360 | 2,478 | ||||||
2.926%, 07/18/2016 (D) | 560 | 573 | ||||||
Alphabet Holding PIK | ||||||||
7.750%, 11/01/2017 | 3,550 | 3,665 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 131 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
American Equity Investment Life Holding | ||||||||
6.625%, 07/15/2021 | $ | 1,475 | $ | 1,532 | ||||
American International Group | ||||||||
8.175%, 05/15/2058 (D) | 1,755 | 2,107 | ||||||
A-S -Issuer Subsidiary | ||||||||
7.875%, 12/15/2020 (A) | 3,035 | 3,179 | ||||||
Aventine (escrow security) PIK | ||||||||
0.000%, 10/15/2049 (B) (E) (F) (G) | 2,600 | 1 | ||||||
Aviv Healthcare Properties | ||||||||
6.000%, 10/15/2021 (A) | 755 | 774 | ||||||
Bank of America (D) | ||||||||
8.000%, 12/29/2049 | 1,805 | 1,995 | ||||||
5.200%, 12/29/2049 | 2,200 | 1,980 | ||||||
Barclays | ||||||||
8.250%, 12/31/2099 (D) | 710 | 731 | ||||||
Barclays Bank | ||||||||
7.625%, 11/21/2022 | 1,510 | 1,587 | ||||||
Boart Longyear Management | ||||||||
7.000%, 04/01/2021 (A) | 4,040 | 3,030 | ||||||
Boart Longyear Management PTY | ||||||||
10.000%, 10/01/2018 (A) | 1,139 | 1,173 | ||||||
CIT Group | ||||||||
6.625%, 04/01/2018 (A) | 300 | 339 | ||||||
5.500%, 02/15/2019 (A) | 2,550 | 2,748 | ||||||
5.250%, 03/15/2018 | 1,520 | 1,638 | ||||||
4.250%, 08/15/2017 | 800 | 837 | ||||||
City National Bank | ||||||||
9.000%, 08/12/2019 | 4,062 | 4,779 | ||||||
Corrections Corp of America‡ | ||||||||
4.625%, 05/01/2023 | 175 | 165 | ||||||
4.125%, 04/01/2020 | 810 | 792 | ||||||
Credit Acceptance | ||||||||
9.125%, 02/01/2017 | 3,000 | 3,161 | ||||||
Credit Suisse | ||||||||
6.500%, 08/08/2023 (A) | 1,500 | 1,582 | ||||||
Denali Borrower LLC | ||||||||
5.625%, 10/15/2020 (A) | 1,135 | 1,118 | ||||||
E*TRADE Financial | ||||||||
6.375%, 11/15/2019 | 1,575 | 1,685 | ||||||
EPR Properties‡ | ||||||||
5.750%, 08/15/2022 | 1,065 | 1,098 | ||||||
Fidelity & Guaranty Life Holdings | ||||||||
6.375%, 04/01/2021 (A) | 1,000 | 1,040 | ||||||
General Motors Financial (A) | ||||||||
4.250%, 05/15/2023 | 325 | 312 | ||||||
3.250%, 05/15/2018 | 902 | 904 | ||||||
2.750%, 05/15/2016 | 325 | 329 | ||||||
Geo Group‡ | ||||||||
6.625%, 02/15/2021 | 250 | 265 | ||||||
5.875%, 01/15/2022 (A) | 825 | 825 | ||||||
GLP Capital (A) | ||||||||
5.375%, 11/01/2023 | 1,000 | 977 | ||||||
4.875%, 11/01/2020 | 1,429 | 1,425 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
HBOS Capital Funding | ||||||||
6.071%, 06/30/2049 (A) (D) | $ | 3,425 | $ | 3,412 | ||||
Hockey Merger Sub 2 | ||||||||
7.875%, 10/01/2021 (A) | 4,270 | 4,414 | ||||||
Icahn Enterprises | ||||||||
8.000%, 01/15/2018 | 3,150 | 3,288 | ||||||
7.750%, 01/15/2016 | 2,500 | 2,563 | ||||||
ING US | ||||||||
5.650%, 05/15/2053 (D) | 2,050 | 1,998 | ||||||
International Lease Finance | ||||||||
8.750%, 03/15/2017 | 3,295 | 3,876 | ||||||
6.250%, 05/15/2019 | 575 | 629 | ||||||
5.875%, 04/01/2019 | 1,955 | 2,107 | ||||||
Ironshore Holdings US | ||||||||
8.500%, 05/15/2020 (A) | 1,700 | 1,954 | ||||||
Jefferies Finance LLC | ||||||||
7.375%, 04/01/2020 (A) | 830 | 860 | ||||||
JPMorgan Chase (D) | ||||||||
6.000%, 12/29/2049 | 970 | 934 | ||||||
5.150%, 04/05/2023 | 2,200 | 1,980 | ||||||
KCG Holdings | ||||||||
8.250%, 06/15/2018 (A) | 535 | 550 | ||||||
Kennedy-Wilson | ||||||||
8.750%, 04/01/2019 | 3,930 | 4,313 | ||||||
Lancashire Holdings | ||||||||
5.700%, 10/01/2022 (A) | 1,200 | 1,157 | ||||||
Liberty Mutual Group | ||||||||
7.000%, 03/15/2037 (A) (D) | 1,565 | 1,628 | ||||||
Marlin Water Trust II | ||||||||
6.310%, 07/15/2003 (A) (B) | 4,000 | — | ||||||
Mattamy Group | ||||||||
6.500%, 11/15/2020 (A) | 1,575 | 1,544 | ||||||
Millennium Escrow | ||||||||
7.625%, 11/15/2026 (B) | 200 | — | ||||||
MPH Intermediate Holding 2 | ||||||||
8.375%, 08/01/2018 (A) | 750 | 776 | ||||||
MPT Operating Partnership‡ | ||||||||
6.875%, 05/01/2021 | 4,095 | 4,392 | ||||||
National Life Insurance | ||||||||
10.500%, 09/15/2039 (A) | 1,100 | 1,472 | ||||||
Nationstar Mortgage LLC | ||||||||
9.625%, 05/01/2019 | 915 | 1,029 | ||||||
7.875%, 10/01/2020 | 3,135 | 3,253 | ||||||
6.500%, 08/01/2018 | 2,150 | 2,188 | ||||||
6.500%, 07/01/2021 | 3,300 | 3,135 | ||||||
6.500%, 06/01/2022 | 3,015 | 2,842 | ||||||
Neuberger Berman Group LLC | ||||||||
5.875%, 03/15/2022 (A) | 200 | 205 | ||||||
Norcraft | ||||||||
10.500%, 12/15/2015 | 975 | 1,004 | ||||||
Nuveen Investments (A) | ||||||||
9.500%, 10/15/2020 | 7,535 | 7,403 | ||||||
9.125%, 10/15/2017 | 3,170 | 3,146 | ||||||
Offshore Group Investment, Ltd. | ||||||||
7.125%, 04/01/2023 | 715 | 736 |
132 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Onex USI Acquisition | ||||||||
7.750%, 01/15/2021 (A) | $ | 4,105 | $ | 4,197 | ||||
Ono Finance II | ||||||||
10.875%, 07/15/2019 (A) | 780 | 846 | ||||||
Oxford Finance LLC | ||||||||
7.250%, 01/15/2018 (A) | 1,150 | 1,218 | ||||||
PHH | ||||||||
7.375%, 09/01/2019 | 775 | 837 | ||||||
6.375%, 08/15/2021 | 2,730 | 2,747 | ||||||
PNC Preferred Funding Trust II | ||||||||
1.477%, 03/29/2049 (A) (D) | 6,540 | 5,755 | ||||||
Realogy Group LLC (A) | ||||||||
7.875%, 02/15/2019 | 1,125 | 1,229 | ||||||
7.625%, 01/15/2020 | 520 | 581 | ||||||
RHP Hotel Properties‡ | ||||||||
5.000%, 04/15/2021 | 1,436 | 1,407 | ||||||
Sabra Health Care‡ | ||||||||
8.125%, 11/01/2018 | 2,955 | 3,199 | ||||||
Snoqualmie Entertainment Authority (A) | ||||||||
9.125%, 02/01/2015 | 726 | 724 | ||||||
4.147%, 02/01/2014 (D) | 145 | 144 | ||||||
Springleaf Finance | ||||||||
6.000%, 06/01/2020 (A) | 915 | 901 | ||||||
USB Realty | ||||||||
1.391%, 12/29/2049 (A) (D) | 6,400 | 5,608 | ||||||
Wilton Re Finance LLC | ||||||||
5.875%, 03/30/2033 (A) (D) | 2,400 | 2,388 | ||||||
XL Capital | ||||||||
6.500%, 12/31/2049 (D) | 2,615 | 2,563 | ||||||
|
| |||||||
162,389 | ||||||||
|
| |||||||
Health Care — 3.5% | ||||||||
Acadia Healthcare | ||||||||
12.875%, 11/01/2018 | 1,702 | 2,068 | ||||||
6.125%, 03/15/2021 (A) | 1,100 | 1,136 | ||||||
Alere | ||||||||
6.500%, 06/15/2020 | 2,300 | 2,357 | ||||||
Amsurg | ||||||||
5.625%, 11/30/2020 | 3,075 | 3,198 | ||||||
Aurora Diagnostics Holdings | ||||||||
10.750%, 01/15/2018 | 5,125 | 3,690 | ||||||
CHS | ||||||||
8.000%, 11/15/2019 | 1,810 | 1,968 | ||||||
7.125%, 07/15/2020 | 2,900 | 3,001 | ||||||
DaVita HealthCare Partners | ||||||||
6.625%, 11/01/2020 | 1,585 | 1,696 | ||||||
6.375%, 11/01/2018 | 255 | 268 | ||||||
DJO Finance LLC | ||||||||
9.875%, 04/15/2018 | 3,980 | 4,293 | ||||||
8.750%, 03/15/2018 | 525 | 575 | ||||||
7.750%, 04/15/2018 | 3,295 | 3,344 | ||||||
HCA | ||||||||
7.500%, 02/15/2022 | 4,965 | 5,524 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.500%, 02/15/2020 | $ | 2,250 | $ | 2,483 | ||||
5.875%, 03/15/2022 | 2,050 | 2,127 | ||||||
HCA Holdings | ||||||||
7.750%, 05/15/2021 | 2,600 | 2,844 | ||||||
6.250%, 02/15/2021 | 525 | 550 | ||||||
Health Management Associates | ||||||||
7.375%, 01/15/2020 | 4,885 | 5,471 | ||||||
HealthSouth | ||||||||
8.125%, 02/15/2020 | 555 | 611 | ||||||
7.750%, 09/15/2022 | 494 | 543 | ||||||
5.750%, 11/01/2024 | 265 | 263 | ||||||
Hologic | ||||||||
6.250%, 08/01/2020 | 2,985 | 3,149 | ||||||
Hospira | ||||||||
5.800%, 08/12/2023 | 155 | 163 | ||||||
5.200%, 08/12/2020 | 155 | 162 | ||||||
inVentiv Health (A) | ||||||||
11.000%, 08/15/2018 | 450 | 383 | ||||||
10.750%, 08/15/2018 | 610 | 517 | ||||||
Kindred Healthcare | ||||||||
8.250%, 06/01/2019 | 3,230 | 3,448 | ||||||
LifePoint Hospitals | ||||||||
5.500%, 12/01/2021 (A) | 1,500 | 1,508 | ||||||
Radnet Management | ||||||||
10.375%, 04/01/2018 | 720 | 749 | ||||||
Tenet Healthcare | ||||||||
8.125%, 04/01/2022 | 5,375 | 5,832 | ||||||
8.000%, 08/01/2020 | 3,885 | 4,235 | ||||||
6.750%, 02/01/2020 | 325 | 336 | ||||||
6.000%, 10/01/2020 (A) | 2,205 | 2,304 | ||||||
4.750%, 06/01/2020 | 1,430 | 1,401 | ||||||
WellCare Health Plans | ||||||||
5.750%, 11/15/2020 | 3,915 | 4,023 | ||||||
|
| |||||||
76,220 | ||||||||
|
| |||||||
Industrials — 7.0% | ||||||||
ACCO Brands | ||||||||
6.750%, 04/30/2020 | 1,360 | 1,355 | ||||||
Actuant | ||||||||
5.625%, 06/15/2022 | 4,000 | 4,040 | ||||||
ADT | ||||||||
6.250%, 10/15/2021 (A) | 1,590 | 1,660 | ||||||
3.500%, 07/15/2022 | 145 | 127 | ||||||
Air Medical Group Holdings | ||||||||
9.250%, 11/01/2018 | 4,284 | 4,648 | ||||||
Aircastle | ||||||||
7.625%, 04/15/2020 | 885 | 1,000 | ||||||
6.750%, 04/15/2017 | 375 | 416 | ||||||
Alion Science & Technology PIK | ||||||||
12.000%, 11/01/2014 | 2,110 | 2,158 | ||||||
Alliant Techsystems | ||||||||
5.250%, 10/01/2021 (A) | 400 | 402 | ||||||
Amsted Industries | ||||||||
8.125%, 03/15/2018 (A) | 870 | 918 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 133 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Anixter | ||||||||
5.625%, 05/01/2019 | $ | 395 | $ | 411 | ||||
ARD Finance PIK | ||||||||
11.125%, 06/01/2018 (A) | 1,567 | 1,677 | ||||||
Ardagh Packaging Finance (A) | ||||||||
9.125%, 10/15/2020 | 2,290 | 2,473 | ||||||
7.000%, 11/15/2020 | 1,495 | 1,499 | ||||||
Associated Materials LLC | ||||||||
9.125%, 11/01/2017 | 460 | 491 | ||||||
Atkore International | ||||||||
9.875%, 01/01/2018 | 818 | 880 | ||||||
BC Mountain LLC | ||||||||
7.000%, 02/01/2021 (A) | 705 | 701 | ||||||
Belden | ||||||||
5.500%, 09/01/2022 (A) | 910 | 892 | ||||||
Beverage Packaging Holdings Luxembourg II | ||||||||
5.625%, 12/15/2016 (A) | 2,865 | 2,937 | ||||||
BOE Intermediate Holding | ||||||||
9.000%, 11/01/2017 (A) | 915 | 942 | ||||||
BOE Merger PIK | ||||||||
9.500%, 11/01/2017 (A) | 1,783 | 1,890 | ||||||
Bombardier (A) | ||||||||
7.750%, 03/15/2020 | 350 | 398 | ||||||
6.125%, 01/15/2023 | 995 | 990 | ||||||
5.750%, 03/15/2022 | 875 | 871 | ||||||
Builders FirstSource | ||||||||
7.625%, 06/01/2021 (A) | 1,593 | 1,653 | ||||||
Building Materials | ||||||||
6.875%, 08/15/2018 | 2,360 | 2,519 | ||||||
6.750%, 05/01/2021 | 700 | 754 | ||||||
BWAY Holding | ||||||||
10.000%, 06/15/2018 | 445 | 488 | ||||||
Case New Holland | ||||||||
7.875%, 12/01/2017 | 425 | 503 | ||||||
Cemex | ||||||||
7.250%, 01/15/2021 (A) | 915 | 928 | ||||||
Cemex Espana Luxembourg | ||||||||
9.250%, 05/12/2020 (A) | 778 | 845 | ||||||
CEVA Group (A) | ||||||||
11.625%, 10/01/2016 | 2,735 | 2,875 | ||||||
8.375%, 12/01/2017 | 2,365 | 2,483 | ||||||
CHC Helicopter | ||||||||
9.375%, 06/01/2021 | 2,100 | 2,126 | ||||||
Clean Harbors | ||||||||
5.250%, 08/01/2020 | 3,265 | 3,355 | ||||||
CNH Capital LLC | ||||||||
6.250%, 11/01/2016 | 610 | 669 | ||||||
3.625%, 04/15/2018 | 215 | 217 | ||||||
Consolidated Container LLC | ||||||||
10.125%, 07/15/2020 (A) | 1,445 | 1,550 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Continental Airlines, | ||||||||
7.339%, 04/19/2014 | $ | 292 | $ | 296 | ||||
CPG Merger Sub LLC | ||||||||
8.000%, 10/01/2021 (A) | 2,485 | 2,584 | ||||||
Delta Air Lines, Pass-Through Trust, | ||||||||
7.125%, 10/15/2014 | 2,000 | 2,040 | ||||||
DigitalGlobe | ||||||||
5.250%, 02/01/2021 (A) | 2,110 | 2,057 | ||||||
Esterline Technologies | ||||||||
7.000%, 08/01/2020 | 1,755 | 1,904 | ||||||
FGI Operating Company, LLC | ||||||||
7.875%, 05/01/2020 | 880 | 939 | ||||||
Florida East Coast Railway | ||||||||
8.125%, 02/01/2017 | 750 | 785 | ||||||
FTI Consulting | ||||||||
6.750%, 10/01/2020 | 500 | 534 | ||||||
GenCorp | ||||||||
7.125%, 03/15/2021 | 1,240 | 1,327 | ||||||
General Cable | ||||||||
5.750%, 10/01/2022 (A) | 870 | 861 | ||||||
Gibraltar Industries | ||||||||
6.250%, 02/01/2021 | 874 | 900 | ||||||
Graphic Packaging International | ||||||||
4.750%, 04/15/2021 | 1,346 | 1,326 | ||||||
Great Lakes Dredge & Dock | ||||||||
7.375%, 02/01/2019 | 1,215 | 1,264 | ||||||
Griffon | ||||||||
7.125%, 04/01/2018 | 160 | 171 | ||||||
H&E Equipment Services | ||||||||
7.000%, 09/01/2022 | 2,235 | 2,442 | ||||||
Huntington Ingalls Industries | ||||||||
6.875%, 03/15/2018 | 600 | 646 | ||||||
Interline Brands | ||||||||
7.500%, 11/15/2018 | 865 | 915 | ||||||
Interline Brands PIK | ||||||||
10.000%, 11/15/2018 | 310 | 339 | ||||||
Iron Mountain | ||||||||
7.750%, 10/01/2019 | 2,625 | 2,914 | ||||||
6.000%, 08/15/2023 | 790 | 806 | ||||||
Jack Cooper Finance | ||||||||
9.250%, 06/01/2020 (A) | 215 | 231 | ||||||
Jack Cooper Holdings | ||||||||
9.250%, 06/01/2020 (A) | 565 | 607 | ||||||
Liberty Tire Recycling LLC | ||||||||
11.000%, 10/01/2016 (A) | 2,310 | 2,316 | ||||||
Manitowoc | ||||||||
8.500%, 11/01/2020 | 1,180 | 1,333 | ||||||
Marquette Transportation LLC | ||||||||
10.875%, 01/15/2017 | 1,575 | 1,669 |
134 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Masonite International | ||||||||
8.250%, 04/15/2021 (A) | $ | 1,415 | $ | 1,551 | ||||
Meritor | ||||||||
10.625%, 03/15/2018 | 320 | 346 | ||||||
6.750%, 06/15/2021 | 1,105 | 1,111 | ||||||
Midwest Vanadium | ||||||||
11.500%, 02/15/2018 (A) | 1,350 | 1,121 | ||||||
Milacron LLC | ||||||||
7.750%, 02/15/2021 (A) | 1,490 | 1,565 | ||||||
Mobile Mini | ||||||||
7.875%, 12/01/2020 | 1,190 | 1,312 | ||||||
Mueller Water Products | ||||||||
8.750%, 09/01/2020 | 504 | 566 | ||||||
Navistar International | ||||||||
8.250%, 11/01/2021 | 1,320 | 1,356 | ||||||
Nielsen Finance LLC | ||||||||
4.500%, 10/01/2020 | 1,685 | 1,639 | ||||||
Nielsen Luxembourg SARL | ||||||||
5.500%, 10/01/2021 (A) | 3,305 | 3,379 | ||||||
Nortek | ||||||||
8.500%, 04/15/2021 | 3,460 | 3,823 | ||||||
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 | 1,946 | ||||||
Packaging Dynamics | ||||||||
8.750%, 02/01/2016 (A) | 2,454 | 2,528 | ||||||
Plastipak Holdings | ||||||||
6.500%, 10/01/2021 (A) | 1,185 | 1,229 | ||||||
Polymer Group | ||||||||
7.750%, 02/01/2019 | 1,180 | 1,261 | ||||||
Polypore International | ||||||||
7.500%, 11/15/2017 | 535 | 567 | ||||||
Quality Distribution LLC | ||||||||
9.875%, 11/01/2018 | 4,293 | 4,754 | ||||||
Renaissance Acquisition | ||||||||
6.875%, 08/15/2021 (A) | 355 | 356 | ||||||
RR Donnelley & Sons | ||||||||
7.000%, 02/15/2022 | 155 | 163 | ||||||
6.500%, 11/15/2023 | 38 | 38 | ||||||
Sensata Technologies | ||||||||
4.875%, 10/15/2023 (A) | 1,000 | 948 | ||||||
Silver II Borrower | ||||||||
7.750%, 12/15/2020 (A) | 1,680 | 1,772 | ||||||
Swift Services Holdings | ||||||||
10.000%, 11/15/2018 | 1,490 | 1,659 | ||||||
Syncreon Group | ||||||||
8.625%, 11/01/2021 (A) | 1,500 | 1,556 | ||||||
Tekni-Plex | ||||||||
9.750%, 06/01/2019 (A) | 329 | 375 | ||||||
Tempel Steel | ||||||||
12.000%, 08/15/2016 (A) | 1,100 | 1,062 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Terex | ||||||||
6.500%, 04/01/2020 | $ | 700 | $ | 744 | ||||
6.000%, 05/15/2021 | 3,035 | 3,134 | ||||||
Tervita | ||||||||
8.000%, 11/15/2018 (A) | 730 | 756 | ||||||
TRAC Intermodal LLC | ||||||||
11.000%, 08/15/2019 | 1,910 | 2,187 | ||||||
TransDigm | ||||||||
7.500%, 07/15/2021 | 1,385 | 1,489 | ||||||
5.500%, 10/15/2020 | 2,100 | 2,074 | ||||||
Trinseo Materials Operating SCA | ||||||||
8.750%, 02/01/2019 (A) | 5,335 | 5,442 | ||||||
Triumph Group | ||||||||
4.875%, 04/01/2021 | 590 | 571 | ||||||
UAL 1995, Pass-Through Trust A | ||||||||
9.020%, 04/19/2012 (B) (G) | 407 | 106 | ||||||
United Airlines, Pass-Through Trust, | ||||||||
5.375%, 08/15/2021 | 550 | 558 | ||||||
USG | ||||||||
6.300%, 11/15/2016 | 1,975 | 2,123 | ||||||
Victor Technologies Group | ||||||||
9.000%, 12/15/2017 | 4,803 | 5,139 | ||||||
Watco LLC | ||||||||
6.375%, 04/01/2023 (A) | 2,440 | 2,434 | ||||||
WESCO Distribution | ||||||||
5.375%, 12/15/2021 (A) | 305 | 307 | ||||||
Wise Metals Group LLC | ||||||||
8.750%, 12/15/2018 (A) | 660 | 678 | ||||||
|
| |||||||
151,672 | ||||||||
|
| |||||||
Information Technology — 5.5% | ||||||||
ACI Worldwide | ||||||||
6.375%, 08/15/2020 (A) | 1,485 | 1,543 | ||||||
Activision Blizzard (A) | ||||||||
6.125%, 09/15/2023 | 605 | 634 | ||||||
5.625%, 09/15/2021 | 6,915 | 7,183 | ||||||
Advanced Micro Devices | ||||||||
7.500%, 08/15/2022 | 4,595 | 4,423 | ||||||
Amkor Technology | ||||||||
7.375%, 05/01/2018 | 270 | 286 | ||||||
6.625%, 06/01/2021 | 370 | 379 | ||||||
6.375%, 10/01/2022 | 2,235 | 2,257 | ||||||
Aspect Software | ||||||||
10.625%, 05/15/2017 | 4,155 | 4,248 | ||||||
Audatex North America (A) | ||||||||
6.125%, 11/01/2023 | 3,795 | 3,918 | ||||||
6.000%, 06/15/2021 | 4,275 | 4,467 | ||||||
Blackboard | ||||||||
7.750%, 11/15/2019 (A) | 600 | 594 | ||||||
BMC Software Finance | ||||||||
8.125%, 07/15/2021 (A) | 4,955 | 5,252 | ||||||
Brocade Communications Systems | ||||||||
4.625%, 01/15/2023 (A) | 1,000 | 932 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 135 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CDW LLC | ||||||||
8.500%, 04/01/2019 | $ | 1,955 | $ | 2,172 | ||||
8.000%, 12/15/2018 | 1,961 | 2,145 | ||||||
Eagle Midco | ||||||||
9.000%, 06/15/2018 (A) | 2,355 | 2,414 | ||||||
Epicor Software | ||||||||
8.625%, 05/01/2019 | 2,860 | 3,110 | ||||||
Equinix | ||||||||
4.875%, 04/01/2020 | 2,785 | 2,778 | ||||||
First Data | ||||||||
12.625%, 01/15/2021 | 1,807 | 2,119 | ||||||
11.750%, 08/15/2021 (A) | 2,545 | 2,640 | ||||||
11.250%, 03/31/2016 | 131 | 133 | ||||||
11.250%, 01/15/2021 (A) | 2,905 | 3,196 | ||||||
8.875%, 08/15/2020 (A) | 1,200 | 1,333 | ||||||
8.250%, 01/15/2021 (A) | 355 | 377 | ||||||
7.375%, 06/15/2019 (A) | 635 | 679 | ||||||
6.750%, 11/01/2020 (A) | 2,000 | 2,095 | ||||||
First Data PIK | ||||||||
8.750%, 01/15/2022 (A) | 7,497 | 8,041 | ||||||
Freescale Semiconductor | ||||||||
10.750%, 08/01/2020 | 140 | 159 | ||||||
9.250%, 04/15/2018 (A) | 349 | 376 | ||||||
6.000%, 01/15/2022 (A) | 735 | 742 | ||||||
Healthcare Technology Intermediate | ||||||||
7.375%, 09/01/2018 (A) | 1,730 | 1,778 | ||||||
IAC | ||||||||
4.875%, 11/30/2018 (A) | 1,700 | 1,736 | ||||||
4.750%, 12/15/2022 | 1,555 | 1,438 | ||||||
iGATE | ||||||||
9.000%, 05/01/2016 | 3,424 | 3,659 | ||||||
IMS Health | ||||||||
6.000%, 11/01/2020 (A) | 890 | 937 | ||||||
Infor US | ||||||||
11.500%, 07/15/2018 | 610 | 705 | ||||||
9.375%, 04/01/2019 | 4,860 | 5,480 | ||||||
j2 Global | ||||||||
8.000%, 08/01/2020 | 2,115 | 2,279 | ||||||
Magnachip Semiconductor | ||||||||
6.625%, 07/15/2021 | 815 | 827 | ||||||
MModal | ||||||||
10.750%, 08/15/2020 (A) | 1,830 | 586 | ||||||
NCR | ||||||||
5.000%, 07/15/2022 | 1,900 | 1,848 | ||||||
NeuStar | ||||||||
4.500%, 01/15/2023 | 950 | 853 | ||||||
Nuance Communications | ||||||||
5.375%, 08/15/2020 (A) | 2,350 | 2,215 | ||||||
NXP (A) | ||||||||
5.750%, 02/15/2021 | 3,000 | 3,124 | ||||||
5.750%, 03/15/2023 | 455 | 465 | ||||||
3.750%, 06/01/2018 | 550 | 554 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Sensata Technologies | ||||||||
6.500%, 05/15/2019 (A) | $ | 5,248 | $ | 5,654 | ||||
SSI Investments II | ||||||||
11.125%, 06/01/2018 | 710 | 772 | ||||||
Stratus Technologies Bermuda | ||||||||
12.000%, 03/29/2015 | 2,571 | 2,590 | ||||||
Stream Global Services | ||||||||
11.250%, 10/01/2014 | 1,420 | 1,427 | ||||||
SunEdison | ||||||||
7.750%, 04/01/2019 | 955 | 998 | ||||||
SunGard Data Systems | ||||||||
7.625%, 11/15/2020 | 250 | 272 | ||||||
7.375%, 11/15/2018 | 910 | 963 | ||||||
6.625%, 11/01/2019 | 895 | 934 | ||||||
VeriSign | ||||||||
4.625%, 05/01/2023 | 1,000 | 958 | ||||||
Viasystems | ||||||||
7.875%, 05/01/2019 (A) | 3,825 | 4,160 | ||||||
WEX | ||||||||
4.750%, 02/01/2023 (A) | 1,475 | 1,361 | ||||||
|
| |||||||
119,198 | ||||||||
|
| |||||||
Materials — 5.0% | ||||||||
AK Steel | ||||||||
8.750%, 12/01/2018 | 1,350 | 1,495 | ||||||
7.625%, 05/15/2020 | 795 | 751 | ||||||
APERAM | ||||||||
7.750%, 04/01/2018 (A) | 1,230 | 1,270 | ||||||
ArcelorMittal | ||||||||
6.125%, 06/01/2018 | 2,720 | 2,955 | ||||||
6.000%, 03/01/2021 | 420 | 440 | ||||||
Ashland | ||||||||
4.750%, 08/15/2022 | 2,155 | 2,053 | ||||||
Ball | ||||||||
5.000%, 03/15/2022 | 1,550 | 1,531 | ||||||
Celanese US Holdings LLC | ||||||||
4.625%, 11/15/2022 | 4,285 | 4,114 | ||||||
Clearwater Paper | ||||||||
7.125%, 11/01/2018 | 175 | 188 | ||||||
Commercial Metals | ||||||||
4.875%, 05/15/2023 | 1,250 | 1,166 | ||||||
Cornerstone Chemical | ||||||||
9.375%, 03/15/2018 (A) | 3,570 | 3,766 | ||||||
Eldorado | ||||||||
6.125%, 12/15/2020 (A) | 1,350 | 1,323 | ||||||
Essar Steel Algoma | ||||||||
9.375%, 03/15/2015 (A) | 825 | 802 | ||||||
Ferro | ||||||||
7.875%, 08/15/2018 | 1,575 | 1,669 | ||||||
FMG Resources | ||||||||
6.875%, 02/01/2018 (A) | 1,875 | 1,983 | ||||||
FMG Resources August 2006 PTY (A) | ||||||||
8.250%, 11/01/2019 | 1,495 | 1,671 | ||||||
6.875%, 04/01/2022 | 2,214 | 2,391 |
136 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Headwaters | ||||||||
7.625%, 04/01/2019 | $ | 1,435 | $ | 1,546 | ||||
Hecla Mining | ||||||||
6.875%, 05/01/2021 (A) | 2,670 | 2,590 | ||||||
Hexion US Finance | ||||||||
9.000%, 11/15/2020 | 1,260 | 1,243 | ||||||
8.875%, 02/01/2018 | 2,540 | 2,638 | ||||||
6.625%, 04/15/2020 | 1,305 | 1,329 | ||||||
Huntsman International LLC | ||||||||
8.625%, 03/15/2020 | 535 | 591 | ||||||
8.625%, 03/15/2021 | 670 | 750 | ||||||
4.875%, 11/15/2020 | 535 | 527 | ||||||
IAMGOLD | ||||||||
6.750%, 10/01/2020 (A) | 4,335 | 3,847 | ||||||
Ineos Finance (A) | ||||||||
8.375%, 02/15/2019 | 1,320 | 1,467 | ||||||
7.500%, 05/01/2020 | 735 | 805 | ||||||
Ineos Group Holdings | ||||||||
6.125%, 08/15/2018 (A) | 1,495 | 1,504 | ||||||
Inmet Mining | ||||||||
8.750%, 06/01/2020 (A) | 1,425 | 1,550 | ||||||
JMC Steel Group | ||||||||
8.250%, 03/15/2018 (A) | 1,730 | 1,721 | ||||||
KGHM International | ||||||||
7.750%, 06/15/2019 (A) | 1,900 | 1,990 | ||||||
LSB Industries | ||||||||
7.750%, 08/01/2019 (A) | 1,710 | 1,783 | ||||||
Mirabela Nickel | ||||||||
8.750%, 04/15/2018 (A) (B) | 1,780 | 427 | ||||||
Momentive PIK | ||||||||
1.617%, 06/04/2017 (F) (G) | 3,006 | 2,585 | ||||||
New (A) | ||||||||
7.000%, 04/15/2020 | 800 | 828 | ||||||
6.250%, 11/15/2022 | 2,540 | 2,496 | ||||||
Nexeo Solutions LLC | ||||||||
8.375%, 03/01/2018 | 874 | 874 | ||||||
Noranda Aluminum Acquisition | ||||||||
11.000%, 06/01/2019 (A) | 1,510 | 1,283 | ||||||
Novelis | ||||||||
8.750%, 12/15/2020 | 830 | 930 | ||||||
8.375%, 12/15/2017 | 2,000 | 2,135 | ||||||
Perstorp Holding | ||||||||
8.750%, 05/15/2017 (A) | 2,515 | 2,691 | ||||||
PolyOne | ||||||||
7.375%, 09/15/2020 | 625 | 693 | ||||||
Rain CII Carbon LLC (A) | ||||||||
8.250%, 01/15/2021 | 200 | 205 | ||||||
8.000%, 12/01/2018 | 390 | 404 | ||||||
Reichhold Industries PIK | ||||||||
9.000%, 05/08/2017 (A) | 1,699 | 1,122 | ||||||
Rentech Nitrogen Partners | ||||||||
6.500%, 04/15/2021 (A) | 435 | 425 | ||||||
Rockwood Specialties Group | ||||||||
4.625%, 10/15/2020 | 425 | 437 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ryerson | ||||||||
11.250%, 10/15/2018 | $ | 2,465 | $ | 2,588 | ||||
9.000%, 10/15/2017 | 1,215 | 1,279 | ||||||
Sappi Papier Holding GmbH (A) | ||||||||
8.375%, 06/15/2019 | 1,470 | 1,602 | ||||||
7.750%, 07/15/2017 | 400 | 435 | ||||||
6.625%, 04/15/2021 | 200 | 196 | ||||||
Scotts Miracle-Gro | ||||||||
6.625%, 12/15/2020 | 400 | 430 | ||||||
Sealed Air (A) | ||||||||
8.375%, 09/15/2021 | 2,235 | 2,559 | ||||||
6.500%, 12/01/2020 | 370 | 401 | ||||||
Smurfit Kappa Acquisitions | ||||||||
4.875%, 09/15/2018 (A) | 1,400 | 1,446 | ||||||
SPCM | ||||||||
6.000%, 01/15/2022 (A) | 1,955 | 2,043 | ||||||
St. Barbara | ||||||||
8.875%, 04/15/2018 (A) | 875 | 726 | ||||||
Steel Dynamics | ||||||||
6.375%, 08/15/2022 | 745 | 810 | ||||||
6.125%, 08/15/2019 | 740 | 803 | ||||||
Taminco Global Chemical | ||||||||
9.750%, 03/31/2020 (A) | 1,185 | 1,348 | ||||||
TPC Group | ||||||||
8.750%, 12/15/2020 (A) | 6,490 | 6,855 | ||||||
US Coatings Acquisition | ||||||||
7.375%, 05/01/2021 (A) | 1,165 | 1,235 | ||||||
Vulcan Materials | ||||||||
7.500%, 06/15/2021 | 320 | 361 | ||||||
7.000%, 06/15/2018 | 500 | 565 | ||||||
Walter Energy | ||||||||
9.875%, 12/15/2020 | 5,565 | 4,925 | ||||||
9.500%, 10/15/2019 (A) | 1,400 | 1,463 | ||||||
8.500%, 04/15/2021 | 2,695 | 2,271 | ||||||
|
| |||||||
107,325 | ||||||||
|
| |||||||
Telecommunication Services — 8.7% |
| |||||||
Affinion Group | ||||||||
11.500%, 10/15/2015 | 513 | 528 | ||||||
7.875%, 12/15/2018 | 1,110 | 1,021 | ||||||
Alcatel-Lucent USA (A) | ||||||||
8.875%, 01/01/2020 | 2,365 | 2,587 | ||||||
6.750%, 11/15/2020 | 1,685 | 1,700 | ||||||
Avaya | ||||||||
7.000%, 04/01/2019 (A) | 1,620 | 1,576 | ||||||
Baker & Taylor Acquisitions | ||||||||
15.000%, 04/01/2017 (A) | 1,029 | 877 | ||||||
Block Communications | ||||||||
7.250%, 02/01/2020 (A) | 290 | 307 | ||||||
CenturyLink | ||||||||
6.750%, 12/01/2023 | 4,415 | 4,514 | ||||||
5.800%, 03/15/2022 | 2,420 | 2,390 | ||||||
5.625%, 04/01/2020 | 3,140 | 3,195 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 137 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Cequel Communications Holdings I LLC | ||||||||
6.375%, 09/15/2020 (A) | $ | 4,120 | $ | 4,254 | ||||
Cincinnati Bell | ||||||||
8.750%, 03/15/2018 | 3,425 | 3,618 | ||||||
Clearwire Communications LLC (A) | ||||||||
12.000%, 12/01/2015 | 900 | 927 | ||||||
8.250%, 12/01/2040 | 1,559 | 1,783 | ||||||
Cogent Communications Group | ||||||||
8.375%, 02/15/2018 (A) | 605 | 659 | ||||||
Columbus International | ||||||||
11.500%, 11/20/2014 (A) | 1,265 | 1,366 | ||||||
CommScope | ||||||||
8.250%, 01/15/2019 (A) | 931 | 1,024 | ||||||
CommScope Holding PIK | ||||||||
6.625%, 06/01/2020 (A) | 1,940 | 2,008 | ||||||
Crown Castle International | ||||||||
5.250%, 01/15/2023 | 940 | 928 | ||||||
CSC Holdings LLC | ||||||||
8.625%, 02/15/2019 | 2,890 | 3,410 | ||||||
DCP LLC | ||||||||
10.750%, 08/15/2015 (A) | 3,000 | 3,105 | ||||||
Digicel Group (A) | ||||||||
8.250%, 09/01/2017 | 3,729 | 3,883 | ||||||
8.250%, 09/30/2020 | 1,611 | 1,684 | ||||||
DISH DBS | ||||||||
5.000%, 03/15/2023 | 1,925 | 1,834 | ||||||
Eileme 2 | ||||||||
11.625%, 01/31/2020 (A) | 655 | 788 | ||||||
Expo Event Transco | ||||||||
9.000%, 06/15/2021 (A) | 2,150 | 2,177 | ||||||
GCI | ||||||||
8.625%, 11/15/2019 | 790 | 839 | ||||||
6.750%, 06/01/2021 | 610 | 586 | ||||||
GXS Worldwide | ||||||||
9.750%, 06/15/2015 | 4,125 | 4,280 | ||||||
Hughes Satellite Systems | ||||||||
7.625%, 06/15/2021 | 2,484 | 2,739 | ||||||
6.500%, 06/15/2019 | 740 | 794 | ||||||
Intelsat Jackson Holdings | ||||||||
7.500%, 04/01/2021 | 295 | 324 | ||||||
7.250%, 10/15/2020 | 3,250 | 3,551 | ||||||
6.625%, 12/15/2022 | 1,190 | 1,211 | ||||||
Intelsat Luxembourg (A) | ||||||||
8.125%, 06/01/2023 | 2,730 | 2,880 | ||||||
7.750%, 06/01/2021 | 3,345 | 3,504 | ||||||
inVentiv Health | ||||||||
9.000%, 01/15/2018 (A) | 840 | 878 | ||||||
iPCS PIK | ||||||||
3.492%, 05/01/2014 (D) | 16 | 16 | ||||||
Level 3 Communications | ||||||||
8.875%, 06/01/2019 | 1,205 | 1,321 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Level 3 Financing | ||||||||
8.625%, 07/15/2020 | $ | 835 | $ | 935 | ||||
8.125%, 07/01/2019 | 555 | 608 | ||||||
7.000%, 06/01/2020 | 1,485 | 1,572 | ||||||
6.125%, 01/15/2021 (A) | 1,090 | 1,106 | ||||||
4.146%, 02/15/2015 (D) | 1,500 | 1,501 | ||||||
Lucent Technologies | ||||||||
6.450%, 03/15/2029 | 560 | 484 | ||||||
Lynx I | ||||||||
5.375%, 04/15/2021 (A) | 2,085 | 2,122 | ||||||
Lynx II | ||||||||
6.375%, 04/15/2023 (A) | 1,750 | 1,807 | ||||||
McGraw-Hill Global Education Holdings LLC | ||||||||
9.750%, 04/01/2021 (A) | 400 | 444 | ||||||
MetroPCS Wireless | ||||||||
7.875%, 09/01/2018 | 65 | 70 | ||||||
6.625%, 04/01/2023 (A) | 1,475 | 1,519 | ||||||
6.250%, 04/01/2021 (A) | 1,865 | 1,940 | ||||||
Midcontinent Communications & Midcontinent Finance | ||||||||
6.250%, 08/01/2021 (A) | 440 | 447 | ||||||
Nara Cable Funding (A) | ||||||||
8.875%, 12/01/2018 | 1,326 | 1,409 | ||||||
8.875%, 12/01/2018 | 1,125 | 1,207 | ||||||
NII International Telecom SCA | ||||||||
7.875%, 08/15/2019 (A) | 370 | 266 | ||||||
PAETEC Holding | ||||||||
9.875%, 12/01/2018 | 1,135 | 1,268 | ||||||
Quebecor Media | ||||||||
5.750%, 01/15/2023 | 900 | 873 | ||||||
RCN Telecom Services LLC | ||||||||
8.500%, 08/15/2020 (A) | 820 | 830 | ||||||
Sable International Finance (A) | ||||||||
8.750%, 02/01/2020 | 80 | 90 | ||||||
7.750%, 02/15/2017 | 834 | 874 | ||||||
Satelites Mexicanos | ||||||||
9.500%, 05/15/2017 | 760 | 828 | ||||||
SBA Telecommunications | ||||||||
8.250%, 08/15/2019 | 441 | 476 | ||||||
5.750%, 07/15/2020 | 145 | 151 | ||||||
Sinclair Television Group | ||||||||
8.375%, 10/15/2018 | 320 | 349 | ||||||
Sitel LLC | ||||||||
11.000%, 08/01/2017 (A) | 2,500 | 2,694 | ||||||
Softbank | ||||||||
4.500%, 04/15/2020 (A) | 4,196 | 4,170 | ||||||
Sprint (A) | ||||||||
7.875%, 09/15/2023 | 11,580 | 12,680 | ||||||
7.250%, 09/15/2021 | 1,180 | 1,277 | ||||||
Sprint Capital | ||||||||
8.750%, 03/15/2032 | 5,830 | 6,267 | ||||||
6.900%, 05/01/2019 | 3,015 | 3,271 |
138 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Sprint Nextel | ||||||||
9.000%, 11/15/2018 (A) | $ | 2,245 | $ | 2,716 | ||||
8.375%, 08/15/2017 | 330 | 383 | ||||||
6.000%, 11/15/2022 | 385 | 382 | ||||||
T-Mobile USA | ||||||||
6.731%, 04/28/2022 | 1,135 | 1,183 | ||||||
6.633%, 04/28/2021 | 575 | 602 | ||||||
6.500%, 01/15/2024 | 2,435 | 2,465 | ||||||
6.125%, 01/15/2022 | 1,995 | 2,032 | ||||||
tw telecom holdings | ||||||||
5.375%, 10/01/2022 | 1,635 | 1,629 | ||||||
5.375%, 10/01/2022 (A) | 465 | 463 | ||||||
Unitymedia Hessen GmbH & KG (A) | ||||||||
7.500%, 03/15/2019 | 2,000 | 2,175 | ||||||
5.500%, 01/15/2023 | 4,585 | 4,470 | ||||||
Univision Communications (A) | ||||||||
8.500%, 05/15/2021 | 4,465 | 4,945 | ||||||
7.875%, 11/01/2020 | 2,750 | 3,059 | ||||||
5.125%, 05/15/2023 | 1,800 | 1,800 | ||||||
UPCB Finance III | ||||||||
6.625%, 07/01/2020 (A) | 1,535 | 1,635 | ||||||
UPCB Finance V | ||||||||
7.250%, 11/15/2021 (A) | 2,235 | 2,442 | ||||||
UPCB Finance VI | ||||||||
6.875%, 01/15/2022 (A) | 2,904 | 3,115 | ||||||
Videotron | ||||||||
5.000%, 07/15/2022 | 2,450 | 2,401 | ||||||
West | ||||||||
8.625%, 10/01/2018 | 3,045 | 3,315 | ||||||
Wind Acquisition Finance (A) | ||||||||
11.750%, 07/15/2017 | 760 | 808 | ||||||
7.250%, 02/15/2018 | 755 | 793 | ||||||
7.250%, 02/15/2018 | 3,315 | 3,481 | ||||||
6.500%, 04/30/2020 | 1,302 | 1,374 | ||||||
Windstream | ||||||||
7.750%, 10/01/2021 | 950 | 1,014 | ||||||
7.750%, 10/01/2021 (A) | 1,160 | 1,238 | ||||||
7.500%, 06/01/2022 | 860 | 891 | ||||||
7.500%, 04/01/2023 | 1,215 | 1,244 | ||||||
6.375%, 08/01/2023 | 1,730 | 1,652 | ||||||
Zayo Group LLC | ||||||||
10.125%, 07/01/2020 | 2,040 | 2,356 | ||||||
8.125%, 01/01/2020 | 2,825 | 3,115 | ||||||
|
| |||||||
187,779 | ||||||||
|
| |||||||
Utilities — 2.2% | ||||||||
AES | ||||||||
8.000%, 06/01/2020 | 470 | 550 | ||||||
7.375%, 07/01/2021 | 1,520 | 1,718 | ||||||
4.875%, 05/15/2023 | 1,265 | 1,192 | ||||||
Calpine (A) | ||||||||
7.875%, 07/31/2020 | 1,663 | 1,821 | ||||||
7.500%, 02/15/2021 | 1,907 | 2,079 | ||||||
6.000%, 01/15/2022 | 1,758 | 1,806 | ||||||
5.875%, 01/15/2024 | 340 | 339 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Elwood Energy LLC | ||||||||
8.159%, 07/05/2026 | $ | 722 | $ | 766 | ||||
Enel | ||||||||
8.748%, 09/24/2073 (A) (D) | 785 | 848 | ||||||
Energy Future Intermediate Holding LLC | ||||||||
10.000%, 12/01/2020 (A) | 2,955 | 3,132 | ||||||
GenOn Americas Generation LLC | ||||||||
8.500%, 10/01/2021 | 1,149 | 1,252 | ||||||
GenOn Energy | ||||||||
9.875%, 10/15/2020 | 1,710 | 1,919 | ||||||
Homer City Generation | ||||||||
8.137%, 10/01/2019 | 2,665 | 2,752 | ||||||
LBC Tank Terminals Holding Netherlands | ||||||||
6.875%, 05/15/2023 (A) | 2,800 | 2,933 | ||||||
NRG Energy | ||||||||
8.250%, 09/01/2020 | 340 | 378 | ||||||
7.875%, 05/15/2021 | 7,155 | 7,978 | ||||||
7.625%, 01/15/2018 | 470 | 536 | ||||||
6.625%, 03/15/2023 | 622 | 638 | ||||||
NSG Holdings LLC | ||||||||
7.750%, 12/15/2025 (A) | 2,100 | 2,237 | ||||||
Sabine Pass LNG | ||||||||
7.500%, 11/30/2016 (A) | 1,880 | 2,059 | ||||||
7.500%, 11/30/2016 | 10,385 | 11,735 | ||||||
|
| |||||||
48,668 | ||||||||
|
| |||||||
Total Corporate Obligations | 1,615,365 | |||||||
|
| |||||||
LOAN PARTICIPATIONS — 10.7% |
| |||||||
Academy, Initial Term Loan | ||||||||
4.500%, 08/03/2018 | 22 | 22 | ||||||
Academy Sports, Initial Term Loan | ||||||||
4.500%, 08/03/2018 | 587 | 589 | ||||||
Advantage Sales and Marketing, Term Loan | ||||||||
8.250%, 06/17/2018 | 704 | 711 | ||||||
Air Medical Group Holdings, 1st Lien | ||||||||
7.625%, 05/31/2018 | 3,010 | 2,950 | ||||||
Akorn, Term Loan B, 1st Lien | ||||||||
0.000%, 11/13/2020 (H) | 850 | 853 | ||||||
Albertson’s, Term Loan | ||||||||
4.750%, 05/21/2019 | 1,438 | 1,437 | ||||||
Alcatel-Lucent USA, Term Loan | ||||||||
5.750%, 01/30/2019 | 789 | 795 | ||||||
Alinta Ltd., Unfunded Term Loan | ||||||||
0.000%, 08/13/2018 (H) | 167 | — | ||||||
Alinta, Cov-Lite, 1st Lien | ||||||||
6.375%, 08/13/2019 | 2,553 | 2,551 | ||||||
Allegion US Holding, Term Loan B, 1st Lien | ||||||||
3.000%, 12/25/2020 | 480 | 480 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 139 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
American Rock Salt, Term Loan | ||||||||
8.500%, 03/20/2020 | $ | 2,000 | $ | 1,970 | ||||
Applied Systems, Hybrid Term Loan, 2nd Lien | ||||||||
8.250%, 06/08/2017 | 980 | 986 | ||||||
Apria Healthcare Group, Term Loan | ||||||||
6.750%, 04/06/2020 | 1,746 | 1,749 | ||||||
Arctic Glacier Income, Term Loan | ||||||||
6.000%, 05/09/2019 | 495 | 494 | ||||||
Associated Partners, 1st Lien | ||||||||
6.674%, 12/21/2015 | 4,000 | 4,010 | ||||||
Astoria Generating, Cov-Lite, Term Loan | ||||||||
8.500%, 10/26/2017 | 241 | 247 | ||||||
Astoria Generating, Term Loan | ||||||||
8.500%, 10/26/2017 | 5,828 | 5,977 | ||||||
Asurion, LLC | ||||||||
4.500%, 05/24/2019 | 994 | 993 | ||||||
Avaya, Extended Term Loan B- 5 | ||||||||
8.000%, 03/31/2018 | 744 | 740 | ||||||
Azure Midstream, Term Loan B, 1st Lien | ||||||||
6.500%, 11/12/2018 | 495 | 498 | ||||||
Bally Technologies, 1st Lien | ||||||||
0.000%, 08/21/2020 (H) | 2,935 | 2,953 | ||||||
Berlin Packaging, 2nd Lien | ||||||||
8.750%, 03/28/2020 | 375 | 383 | ||||||
BJ’s Wholesale Club, 2nd Lien | ||||||||
8.500%, 03/31/2020 | 1,550 | 1,579 | ||||||
Blue Coat Systems, Term Loan | ||||||||
4.500%, 02/15/2018 | 3,970 | 3,985 | ||||||
BMC Software | ||||||||
5.000%, 08/07/2020 | 721 | 725 | ||||||
Bowie Resources, 1st Lien | ||||||||
6.750%, 08/16/2020 | 2,255 | 2,266 | ||||||
Carestream Health, Cov-Lite, | ||||||||
5.000%, 06/05/2019 | 2,271 | 2,295 | ||||||
Carestream Health, Cov-Lite, | ||||||||
9.500%, 12/05/2019 | 2,210 | 2,224 | ||||||
Catalent Pharma Solutions, | ||||||||
6.500%, 12/31/2017 | 450 | 455 | ||||||
Cengage Learning Acquisitions, Extended Term Loan, Tranche B | ||||||||
7.750%, 07/05/2017 (B) | 189 | 142 | ||||||
Centaur, 1st Lien | ||||||||
5.250%, 02/19/2019 | 761 | 769 | ||||||
Ceridian, Extended Term Loan | ||||||||
4.416%, 05/09/2017 | 2,419 | 2,429 | ||||||
CityCenter Holdings, LLC, Cov- Lite, Term Loan B, 1st Lien | ||||||||
5.000%, 10/09/2020 | 1,790 | 1,810 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CKX, Term Loan B | ||||||||
9.000%, 06/21/2017 | $ | 476 | $ | 429 | ||||
Clear Channel Communication, | ||||||||
3.818%, 01/29/2016 | 3,106 | 2,989 | ||||||
Clear Channel Communications, Extended 1st Lien | ||||||||
6.918%, 01/22/2019 | 3,879 | 3,656 | ||||||
Cleveland Unlimited, Incremental Term Loan A | ||||||||
15.000%, 01/25/2016 | 228 | 228 | ||||||
Cleveland Unlimited, Term Loan | ||||||||
15.000%, 07/25/2016 | 556 | 556 | ||||||
Cleveland Unlimited, Term Loan A, PIK | ||||||||
15.000%, 01/25/2016 (G) | 186 | 186 | ||||||
Cleveland Unlimited, Term Loan B | ||||||||
15.000%, 01/25/2016 | 92 | 92 | ||||||
Cleveland Unlimted, Term Loan B | ||||||||
15.000%, 07/25/2016 (G) | 185 | 185 | ||||||
Cleveland Unlimited, Term Loan C, PIK | ||||||||
15.000%, 07/25/2016 (G) | 91 | 91 | ||||||
Community Health System, Secured Bridge Loan | ||||||||
0.000%, 07/30/2014 (H) | 835 | 835 | ||||||
Community Health System, Unsecured Bridge Loan | ||||||||
0.000%, 07/30/2014 (H) | 900 | 900 | ||||||
Community Health Systems, Bridge Term Loan | ||||||||
0.000%, 07/30/2014 (H) | 2,500 | — | ||||||
Compass Investors, Term Loan, 1st Lien | ||||||||
5.000%, 12/14/2019 | 740 | 742 | ||||||
Cooper Gay Swett & Crawford, | ||||||||
8.250%, 10/16/2020 | 400 | 392 | ||||||
Crestwood Holdings, 1st Lien | ||||||||
7.000%, 06/19/2019 | 1,492 | 1,535 | ||||||
CSM Bakery Supplies, Cov- Lite, 1st Lien | ||||||||
4.750%, 07/03/2020 | 1,466 | 1,470 | ||||||
CTI Foods, 2nd Lien | ||||||||
8.250%, 06/14/2019 | 950 | 955 | ||||||
DAE Aviation Holdings, | ||||||||
6.250%, 11/02/2018 | 1,703 | 1,711 | ||||||
Darlin International, Unsecured Bride Loan | ||||||||
0.000%, 04/01/2014 (H) | 2,300 | — | ||||||
Darling International | ||||||||
0.000%, 10/05/2014 (H) | 1,470 | 1,470 | ||||||
Deltek Systems, 2nd Lien | ||||||||
10.000%, 10/10/2019 | 650 | 657 |
140 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Dex Media West, Term Loan | ||||||||
8.000%, 12/30/2016 | $ | 2,083 | $ | 1,606 | ||||
Digital Insight, 1st Lien | ||||||||
4.750%, 08/01/2019 | 1,100 | 1,108 | ||||||
Digital Insight, 2nd Lien | ||||||||
8.750%, 08/01/2019 | 620 | 622 | ||||||
Doncasters PLC, 2nd Lien | ||||||||
9.500%, 10/09/2020 | 350 | 350 | ||||||
Endurance International, 1st Lien | ||||||||
6.250%, 11/06/2019 | 200 | 202 | ||||||
5.000%, 11/09/2019 | 1,500 | 1,508 | ||||||
Essential Power, Term Loan | ||||||||
4.250%, 08/08/2019 | 4,458 | 4,464 | ||||||
Exopack, LLC, Cov-Lite, Term | ||||||||
5.250%, 04/24/2019 | 905 | 918 | ||||||
Expert Global, Term Loan | ||||||||
8.500%, 04/02/2018 | 2,919 | 2,959 | ||||||
Fender Musical Instruments, | ||||||||
5.750%, 04/03/2019 | 240 | 243 | ||||||
First Advantage, 2nd Lien | ||||||||
10.500%, 02/13/2019 | 700 | 693 | ||||||
First Advantage, Cov-Lite, Term Loan | ||||||||
6.250%, 02/13/2019 | 498 | 497 | ||||||
Foresight Energy, Cov-Lite, | ||||||||
5.500%, 08/21/2020 | 1,400 | 1,407 | ||||||
Fortescue Metals Group, Ltd., | ||||||||
4.250%, 06/30/2019 | 2,624 | 2,646 | ||||||
Gardner Denver, 1st Lien | ||||||||
4.250%, 07/30/2020 | 800 | 796 | ||||||
GCA Services Group, Cov-Lite, | ||||||||
9.250%, 11/01/2020 | 800 | 808 | ||||||
Gentiva Health Services, Term Loan B, 1st Lien | ||||||||
6.500%, 10/16/2019 | 1,555 | 1,536 | ||||||
Getty Images, Cov-Lite, Term | ||||||||
4.750%, 10/03/2019 | 1,004 | 926 | ||||||
Global Aviation Holdings, | ||||||||
10.000%, 07/13/2017 | 1,937 | — | ||||||
3.000%, 02/13/2018 | 627 | — | ||||||
GoGo, Term Loan | ||||||||
11.250%, 06/21/2017 | 1,132 | 1,222 | ||||||
Graton Economic Development Authority, Term Loan | ||||||||
9.000%, 08/22/2018 | 3,175 | 3,323 | ||||||
Gray Television, Term Loan B | ||||||||
4.750%, 10/12/2019 | 1,061 | 1,065 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Greenway Medical Technologies, Term Loan, 1st Lien | ||||||||
6.000%, 11/02/2020 | $ | 1,000 | $ | 995 | ||||
Guitar Center, Term Loan | ||||||||
6.370%, 04/09/2017 | 3,064 | 2,956 | ||||||
Gymboree, Cov-Lite, 1st Lien | ||||||||
5.000%, 02/23/2018 | 365 | 354 | ||||||
5.000%, 02/23/2018 | 10 | 9 | ||||||
Harrah’s Entertainment, Term Loan B6 | ||||||||
5.488%, 01/28/2018 | 936 | 889 | ||||||
Herff Jones Company of Indiana, 1st Lien | ||||||||
5.500%, 06/24/2019 | 1,257 | 1,265 | ||||||
Hilton Hotels, Cov-Lite, Term | ||||||||
4.000%, 09/23/2020 | 3,658 | 3,668 | ||||||
Hostess Brands, Term Loan | ||||||||
6.750%, 03/12/2020 | 1,086 | 1,118 | ||||||
6.750%, 04/09/2020 | 94 | 97 | ||||||
HUB International, Ltd., | ||||||||
4.750%, 09/17/2020 | 2,000 | 2,019 | ||||||
Hudson’s Bay, Cov-Lite, Term Loan B, 1st Lien | ||||||||
4.750%, 10/07/2020 | 390 | 395 | ||||||
Hudson’s Bay, Term Loan, | ||||||||
4.750%, 10/07/2020 | 210 | 213 | ||||||
Hudson’s Bay, Term Loan, | ||||||||
8.250%, 10/08/2021 | 695 | 714 | ||||||
Ineos Holdings Limited, Cov-Lite | ||||||||
4.000%, 05/04/2018 | 1,480 | 1,483 | ||||||
Integra Telecom, 2nd Lien | ||||||||
9.750%, 02/19/2020 | 760 | 779 | ||||||
Integra Telecom, Term Loan B | ||||||||
5.250%, 02/22/2019 | 1,502 | 1,517 | ||||||
Intrawest ULC, 1st Lien | ||||||||
7.000%, 12/03/2017 | 3,077 | 3,108 | ||||||
0.000%, 11/26/2020 (H) | 2,100 | 2,103 | ||||||
ION Trading Technologies, | ||||||||
8.250%, 05/22/2021 | 2,330 | 2,351 | ||||||
JCPenney, Cov-Lite, 1st Lien | ||||||||
6.000%, 05/22/2018 | 1,097 | 1,072 | ||||||
KIK Custom Products, Term Loan, 1st Lien | ||||||||
5.500%, 04/29/2019 | 225 | 221 | ||||||
KIK Custom Products, Term Loan, 2nd Lien | ||||||||
9.500%, 10/29/2019 | 115 | 115 | ||||||
Knight Capital Group, 1st Lien | ||||||||
5.750%, 12/05/2017 | 219 | 220 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 141 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Landesk Software, 1st Lien | ||||||||
5.250%, 08/09/2019 | $ | 898 | $ | 901 | ||||
Lawson Software, Term Loan B | ||||||||
5.250%, 04/05/2018 | 509 | 512 | ||||||
Learning Care Group, Term Loan | ||||||||
6.000%, 05/08/2019 | 349 | 350 | ||||||
Light Tower Fiber, LLC | ||||||||
8.000%, 04/12/2021 | 365 | 365 | ||||||
Lions Gate Entertainment, 2nd Lien | ||||||||
5.000%, 07/19/2020 | 2,450 | 2,453 | ||||||
Lone Star, Hybrid Term Loan | ||||||||
11.000%, 09/02/2019 | 1,540 | 1,596 | ||||||
Marina District Finance Company, 1st Lien | ||||||||
0.000%, 08/15/2018 (H) | 1,530 | 1,532 | ||||||
Mashantucket Pequot Tribe, Term Loan, 1st Lien | ||||||||
9.375%, 06/30/2020 | 3,944 | 3,707 | ||||||
Medical Card, Term Loan | ||||||||
12.000%, 09/17/2015 | 1,812 | 1,735 | ||||||
3.000%, 09/17/2015 | 30 | 29 | ||||||
Medquist, Term Loan B | ||||||||
7.750%, 08/17/2019 | 4,938 | 4,180 | ||||||
Merge Healthcare, Term Loan B | ||||||||
6.000%, 04/23/2019 | 633 | 601 | ||||||
Metroflag, 2nd Lien, 2nd Lien | ||||||||
14.000%, 01/06/2009 (B) | 325 | — | ||||||
Misys, 1st Lien | ||||||||
5.000%, 12/12/2018 | 992 | 997 | ||||||
Misys, 2nd Lien | ||||||||
12.000%, 12/06/2019 | 1,550 | 1,775 | ||||||
Mohegan Tribal Gaming Authority, Term Loan B, 1st Lien | ||||||||
0.000%, 11/19/2019 (H) | 1,440 | 1,458 | ||||||
Moxie Liberty, 1st Lien | ||||||||
7.500%, 08/21/2020 | 1,605 | 1,625 | ||||||
Nana Development, 1st Lien | ||||||||
8.000%, 03/13/2018 | 450 | 455 | ||||||
National Financial Partners, | ||||||||
5.250%, 06/19/2020 | 1,997 | 2,019 | ||||||
Navistar International, Term Loan | ||||||||
5.750%, 08/17/2017 | 2,170 | 2,203 | ||||||
Neiman Marcus Group, Term Loan, 1st Lien | ||||||||
5.000%, 10/25/2020 | 4,215 | 4,240 | ||||||
Nelson Education, Term Loan B-1 | ||||||||
2.748%, 07/04/2014 | 1,399 | 1,044 | ||||||
NewPage, Term Loan | ||||||||
7.750%, 12/21/2018 | 2,283 | 2,328 | ||||||
Nextech Systems, LLC | ||||||||
6.000%, 11/13/2018 | 1,200 | 1,178 | ||||||
Nuveen Investments, Term Loan B | ||||||||
6.500%, 02/28/2019 | 1,865 | 1,824 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Obsidian Natural Gas Trust, | ||||||||
7.000%, 11/02/2015 | $ | 1,032 | $ | 1,032 | ||||
Ocean RIC ASA, Cov-Lite, Term Loan B1, 1st Lien | ||||||||
6.000%, 02/02/2021 | 740 | 754 | ||||||
Ocean Rig, Cov-Lite, 1st Lien | ||||||||
5.500%, 09/02/2016 | 1,411 | 1,428 | ||||||
Ocwen Financial, Term Loan | ||||||||
5.000%, 02/15/2018 | 419 | 424 | ||||||
One Call Medical, Term Loan, | ||||||||
0.000%, 11/20/2020 (H) | 800 | 794 | ||||||
One Call Medical, Term Loan, | ||||||||
0.000%, 11/21/2021 (H) | 1,347 | 1,350 | ||||||
Otter Products, Term Loan B, | ||||||||
5.250%, 04/29/2019 | 295 | 295 | ||||||
Pacific Drilling, 1st Lien | ||||||||
4.500%, 06/03/2018 | 2,244 | 2,263 | ||||||
Panda Temple Power, 1st Lien | ||||||||
7.250%, 04/03/2019 | 1,585 | 1,625 | ||||||
Panolam Industries International, Term Loan | ||||||||
7.250%, 08/23/2017 | 840 | 804 | ||||||
Performance Food Group, | ||||||||
6.250%, 11/14/2019 | 499 | 497 | ||||||
Pierre Food, Term Loan, 2nd Lien | ||||||||
9.500%, 10/10/2017 | 4,345 | 4,294 | ||||||
Polymer Group | ||||||||
0.000%, 02/01/2019 (H) | 1,470 | 1,470 | ||||||
Quikrete Holdings, Cov-Lite, Term Loan, 2nd Lien | ||||||||
7.000%, 03/26/2021 | 150 | 154 | ||||||
Ranpak, 2nd Lien | ||||||||
8.500%, 04/23/2020 | 608 | 623 | ||||||
Rice Drilling B, Term Loan, | ||||||||
8.500%, 10/25/2018 | 1,984 | 2,018 | ||||||
Rite Aid, 2nd Lien | ||||||||
5.750%, 08/21/2020 | 785 | 804 | ||||||
4.875%, 06/11/2021 | 1,250 | 1,269 | ||||||
Sabre Holdings, Term Loan | ||||||||
5.250%, 02/15/2019 | 3,381 | 3,401 | ||||||
Samson Investment Company, Term Loan, 2nd Lien | ||||||||
6.000%, 09/19/2018 | 740 | 742 | ||||||
Sirva Worldwide, Term Loan | ||||||||
7.500%, 03/22/2019 | 562 | 572 | ||||||
7.500%, 03/27/2019 | 1,129 | 1,149 | ||||||
Smart & Final, Cov-Lite, 2nd Lien | ||||||||
10.500%, 11/15/2020 | 1,181 | 1,195 | ||||||
Standard Aero, Term Loan B2 | ||||||||
6.250%, 11/02/2018 | 772 | 776 |
142 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
State Class Tankers, Cov-Lite, | ||||||||
6.750%, 06/19/2020 | $ | 1,035 | $ | 1,043 | ||||
Steinway Musical Instruments, Term Loan, 1st Lien | ||||||||
4.750%, 09/13/2019 | 265 | 268 | ||||||
Steinway Musical Instruments, Term Loan, 2nd Lien | ||||||||
9.250%, 09/18/2020 | 485 | 496 | ||||||
Sumtotal Systems, Cov-Lite, | ||||||||
6.250%, 11/16/2018 | 935 | 920 | ||||||
Sumtotal Systems, Term Loan | ||||||||
6.250%, 10/25/2019 | 3 | 3 | ||||||
SUPERVALU, Cov-Lite, 1st Lien | ||||||||
5.000%, 03/21/2019 | 3,339 | 3,352 | ||||||
Targus Group, Term Loan B | ||||||||
12.000%, 05/24/2016 | 473 | 402 | ||||||
Texas Competitive, Extended Term Loan | ||||||||
4.739%, 10/10/2017 | 882 | 610 | ||||||
4.668%, 10/10/2017 | 1,803 | 1,247 | ||||||
Texas Competitive, Non-extended Term Loan | ||||||||
3.739%, 10/10/2014 | 3,578 | 2,571 | ||||||
3.668%, 10/10/2014 | 7,094 | 5,099 | ||||||
The Active Network, Term Loan, 1st Lien | ||||||||
5.500%, 11/06/2020 | 350 | 350 | ||||||
The Pantry, Term Loan B | ||||||||
4.750%, 08/03/2019 | 1,016 | 1,025 | ||||||
The Telx Group, Term Loan B | ||||||||
6.250%, 09/25/2017 | 1,103 | 1,108 | ||||||
Toys R Us, Term Loan | ||||||||
6.000%, 08/21/2019 | 1,985 | 1,925 | ||||||
Transtar Industries, 2nd Lien | ||||||||
9.750%, 10/09/2019 | 810 | 802 | ||||||
Travelport, 2nd Lien | ||||||||
9.500%, 01/31/2016 | 1,838 | 1,901 | ||||||
Travelport, Term Loan | ||||||||
6.250%, 06/21/2019 | 1,200 | 1,225 | ||||||
Tribune, Term Loan B, 1st Lien | ||||||||
0.000%, 11/20/2020 (H) | 3,570 | 3,553 | ||||||
True Religion Apparel, Term Loan | ||||||||
5.875%, 07/30/2019 | 1,550 | 1,482 | ||||||
TSAM, LLC, 1st Lien | ||||||||
8.250%, 09/12/2019 | 900 | 891 | ||||||
Univision Communications, | ||||||||
4.500%, 02/28/2020 | 527 | 529 | ||||||
US Shipping, 1st Lien | ||||||||
9.000%, 04/30/2018 | 998 | 1,022 | ||||||
Vertafore, Term Loan | ||||||||
9.750%, 10/29/2017 | 780 | 792 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Wall Street Systems, Cov-Lite, | ||||||||
9.250%, 10/25/2020 | $ | 2,150 | $ | 2,166 | ||||
Walter Investment Management Company, Term Loan | ||||||||
5.750%, 11/28/2017 | 2,389 | 2,405 | ||||||
|
| |||||||
Total Loan Participations |
| 231,733 | ||||||
|
| |||||||
COLLATERALIZED DEBT OBLIGATIONS — 9.3% |
| |||||||
Other Asset-Backed Securities — 9.3% |
| |||||||
Battalion CLO | ||||||||
0.000%‡‡‡ | 1,560 | 1,381 | ||||||
Battalion CLO III, Ser 2012-3A, | ||||||||
0.000%, 01/18/2025 (A) | 2,697 | 2,488 | ||||||
Battalion CLO V Warehouse Note | ||||||||
0.000%‡‡‡ | 1,083 | 1,083 | ||||||
Benefit Street Partners CLO III | ||||||||
0.000%‡‡‡ | 2,636 | 2,604 | ||||||
Claris III | ||||||||
0.542%, 08/04/2021 | 8,252 | 7,674 | ||||||
Figueroa CLO, Ser 2013-1I | ||||||||
0.000%, 03/21/2024 | 7,644 | 7,098 | ||||||
Figueroa CLO, Ser 2013-2 | ||||||||
0.000%‡‡‡ | 3,070 | 3,070 | ||||||
Grayson CLO, Ser 2006-1A, Cl B | ||||||||
0.942%, 11/01/2021 (A) (D) | 6,599 | 5,708 | ||||||
Great Lakes CLO, Ser 2012-1A, | ||||||||
0.000%, 01/15/2023 (A) | 2,877 | 2,647 | ||||||
Great Lakes CLO, Ser 2012-1A, | ||||||||
5.743%, 01/15/2023 (A) (D) | 3,292 | 3,078 | ||||||
ICE EM CLO, Ser 2007-1A, Cl A2 | ||||||||
0.996%, 08/15/2022 (A) (D) | 7,528 | 6,907 | ||||||
ICE EM CLO, Ser 2007-1A, Cl A3 | ||||||||
1.246%, 08/15/2022 (A) (D) | 2,736 | 2,462 | ||||||
KKR CLO Trust, Ser 2012-1A, Cl C | ||||||||
4.754%, 12/15/2024 (A) (D) | 3,366 | 3,379 | ||||||
KVK CLO, Ser 2012-2A, Cl SUB | ||||||||
0.000%, 02/10/2025 (A) | 2,956 | 2,660 | ||||||
Neuberger Berman CLO XIII, | ||||||||
0.000%, 01/23/2024 (A) | 2,886 | 1,818 | ||||||
Neuberger Berman CLO XVI Warehouse Note | ||||||||
0.000%‡‡‡ | 1,500 | 1,500 | ||||||
Neuberger Berman CLO, | ||||||||
0.000%, 07/25/2023 (A) | 3,984 | 3,048 | ||||||
Neuberger Berman CLO, | ||||||||
0.000%, 04/28/2025 (A) | 3,194 | 2,779 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 143 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
Newstar Trust, | ||||||||
0.501%, 09/30/2022 (A) (D) | $ | 8,711 | $ | 8,450 | ||||
NXT Capital CLO LLC, | ||||||||
7.742%, 07/20/2022 (A) (D) | 3,047 | 3,047 | ||||||
OCP CLO, Ser 2012-2A, Cl SUB | ||||||||
0.000%, 11/22/2023 (A) | 2,940 | 2,720 | ||||||
Red River CLO, Ser 2006-1A, Cl C | ||||||||
0.962%, 07/27/2018 (A) (D) | 7,544 | 6,903 | ||||||
Red River CLO, Ser 2006-1A, Cl D | ||||||||
1.892%, 07/27/2018 (A) (D) | 2,441 | 2,124 | ||||||
Rockwall CDO II, | ||||||||
0.492%, 08/01/2024 (A) (D) | 87,470 | 79,598 | ||||||
Rockwall CDO, Ser 2006-1A, | ||||||||
0.542%, 08/01/2021 (A) (D) | 2,302 | 2,232 | ||||||
Rockwall CDO, Ser 2006-1A, | ||||||||
0.742%, 08/01/2021 (A) (D) | 23,922 | 22,247 | ||||||
Valhalla CLO, Ser 2004-1A, Cl A2 | ||||||||
1.042%, 08/01/2016 (A) (D) | 4,204 | 4,015 | ||||||
Venture CLO XVI Warehouse Note | ||||||||
0.000%‡‡‡ | 2,600 | 2,600 | ||||||
Venture X CLO, Ser 2013-12A, | ||||||||
0.000%, 02/28/2024 (A) | 3,067 | 2,806 | ||||||
Venture XIV CLO (A) | ||||||||
0.000%‡‡‡ | 2,927 | 2,722 | ||||||
0.000%‡‡‡ | 113 | 1 | ||||||
|
| |||||||
Total Collateralized Debt Obligations | 200,849 | |||||||
|
| |||||||
PREFERRED STOCK — 1.4% |
| |||||||
Ally Financial, 7.000%* (A) (D) | 18,815 | 13,410 | ||||||
Aspen Insurance Holdings, | ||||||||
5.950%* (D) | 92,000 | 2,191 | ||||||
Ceva Holdings, 0.000%* | 1,214 | 1,214 | ||||||
Chesapeake Energy, | ||||||||
5.750%* (A) | 1,388 | 1,591 | ||||||
Citigroup, 6.880%* (D) | 181,150 | 4,541 | ||||||
Dana Holdings, 4.000%* (A) | 5,754 | 980 | ||||||
GMAC Capital Trust I, | ||||||||
8.130%* (D) | 28,000 | 752 | ||||||
Intelsat, 5.750%* | 13,350 | 765 | ||||||
Regions Financial, 6.380%* | 149,200 | 3,323 | ||||||
SandRidge Energy, 7.000%* | 9,200 | 866 | ||||||
|
| |||||||
Total Preferred Stock |
| 29,633 | ||||||
|
|
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
MUNICIPAL BONDS — 0.6% | ||||||||
California State, Tobacco Securitization, Ser A-1, RB | ||||||||
5.750%, 06/01/2047 | $ | 2,200 | $ | 1,677 | ||||
New Jersey State, Tobacco Settlement, Ser 1A, RB | ||||||||
4.750%, 06/01/2034 | 4,345 | 3,154 | ||||||
Tobacco Settlement, Ser 1A, RB Callable 06/01/17 @ 100 | ||||||||
5.000%, 06/01/2041 | 9,775 | 7,026 | ||||||
|
| |||||||
Total Municipal Bonds |
| 11,857 | ||||||
|
| |||||||
CONVERTIBLE BONDS — 0.2% |
| |||||||
Equinix CV to 11.8599 | ||||||||
4.750%, 06/15/2016 | 303 | 605 | ||||||
Liberty Media CV to 16.7764 | ||||||||
4.000%, 11/15/2029 | 2,113 | 1,320 | ||||||
3.750%, 02/15/2030 | 4,207 | 2,566 | ||||||
Mirant CV to 14.7167 | ||||||||
0.000%, 06/15/2021 (B) | 1,950 | — | ||||||
|
| |||||||
Total Convertible Bonds |
| 4,491 | ||||||
|
| |||||||
COMMON STOCK — 0.2% | ||||||||
Aventine Renewable Energy Holdings* | 1,334 | 15 | ||||||
Ceva Holdings* | 561 | 547 | ||||||
Core-Mark Holding | 691 | 51 | ||||||
Dana Holdings | 70,421 | 1,428 | ||||||
Delta Air Lines | 2,073 | 60 | ||||||
Global Aviation Holdings, Cl A* | 101,199 | — | ||||||
HMH Holdings Delaware* (G) | 81,834 | 1,421 | ||||||
LyondellBasell Industries, Cl A | 25 | 2 | ||||||
Neenah Enterprises* | 21,556 | 140 | ||||||
United Continental Holdings* | 21 | 1 | ||||||
VSS AHC, Cl A* (E) (F) (G) | 29,628 | 179 | ||||||
|
| |||||||
Total Common Stock |
| 3,844 | ||||||
|
| |||||||
ASSET-BACKED SECURITY — 0.0% |
| |||||||
Other Asset-Backed Securities — 0.0% |
| |||||||
Airplanes, Pass-Through Trust, | ||||||||
0.718%, 03/15/2019 (D) | 1,588 | 671 | ||||||
|
| |||||||
Total Asset-Backed Security |
| 671 | ||||||
|
|
144 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Number of Warrants | Market Value ($ Thousands) | ||||||
WARRANTS — 0.0% |
| |||||||
B&G Foods, Expires 03/15/2017* | 2,025 | $ | — | |||||
CUI Acquisition*‡‡ (F) (G) | 46,959 | 475 | ||||||
CUI Acquisition, Cl J*‡‡ | 1 | 89 | ||||||
Medical Card Systems*‡‡ | 20,372 | — | ||||||
|
| |||||||
Total Warrants | 564 | |||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
CASH EQUIVALENT — 2.2% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.010%**† | 48,557,198 | $ | 48,557 | |||||
|
| |||||||
Total Cash Equivalent |
| 48,557 | ||||||
|
| |||||||
Total Investments — 99.4% |
| $ | 2,147,564 | |||||
|
|
A list of the open OTC swap agreements held by the Fund at November 30, 2013 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 | CDX.NA.HY.21 Index | BUY | 5.00 | 12/20/2018 | $ | 17,920 | $ | (475 | ) | |||||||||||
|
|
For the period ended November 30, 2013, the total amount of all 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 $2,159,959 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2013. |
† | Investment in Affiliated Security (see Note 6). |
‡ | Real Estate Investment Trust. |
‡‡ | Expiration date is unavailable. |
‡‡‡ | Maturity date is 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, 2013. 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, 2013. The date reported on the Schedule of Investments is the next reset date. |
(E) | Securities considered restricted. The total value of such securities as of November 30, 2013 was $180 ($ Thousands) and represented 0.01% of Net Assets. |
(F) | Securities considered illiquid. The total value of such securities as of November 30, 2013 was $3,240 ($ Thousands) and represented 0.15% of Net Assets. |
(G) | Securities fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such securities as of November 30, 2013 was $5,229 ($ Thousands) and represented 0.24% of Net Assets. |
(H) | Unsettled bank loan. Interest rate not available. |
CDO — Collateralized Debt Obligation
Cl — Class
CLO — Collateralized Loan Obligation
CV — Convertible Security
Ltd. — Limited
LLC — Limited Liability Company
OTC — Over the Counter
PIK — Payment-in-Kind
PLC — Public Limited Company
RB — Revenue Bond
Ser — Series
The following is a list of the level of inputs used as of November 30, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 1,605,840 | $ | 9,525 | $ | 1,615,365 | ||||||||
Loan Participations | — | 212,884 | 18,849 | 231,733 | ||||||||||||
Collateralized Debt Obligations | — | — | 200,849 | 200,849 | ||||||||||||
Preferred Stock | 1,866 | 26,553 | 1,214 | 29,633 | ||||||||||||
Municipal Bonds | — | 11,857 | — | 11,857 | ||||||||||||
Convertible Bonds | — | 4,491 | — | 4,491 | ||||||||||||
Common Stock | 1,557 | 1,421 | 866 | 3,844 | ||||||||||||
Asset-Backed Security | — | 671 | — | 671 | ||||||||||||
Warrants | — | — | 564 | 564 | ||||||||||||
Cash Equivalent | 48,557 | — | — | 48,557 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 51,980 | $ | 1,863,717 | $ | 231,867 | $ | 2,147,564 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
OTC Swaps | ||||||||||||||||
Credit Default Swaps* | ||||||||||||||||
Unrealized Depreciation | $ | — | $ | (475 | ) | $ | — | $ | (475 | ) | ||||||
|
|
|
|
|
|
|
|
(1) | Of the $231,867 ($ Thousands) in Level 3 securities as of November 30, 2013, $5,229 or 0.24% are not valued via third party pricing vendors and broker quotes. If significant, the disclosure of the unobservable inputs and the interrelationships and sensitivity between these inputs are required for those Level 3 securities that are not valued by third party pricing vendors or broker quotes. |
* | Swaps are valued at the unrealized depreciation on the instrument. |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 145 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Concluded)
November 30, 2013
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Investments in Corporate Obligations | Investments in Loan Participations | Investments in Collateralized Debt Obligations | Investments in Auction Rate Preferred Securities | Investments in Common Stock | Investments in Warrants | |||||||||||||||||||
Beginning balance as June 1, 2013 | $ | 5,048 | $ | 9,968 | $ | 212,254 | $ | — | $ | 510 | $ | 1,878 | ||||||||||||
Accrued discounts/premiums | 22 | 8 | 1,535 | — | — | — | ||||||||||||||||||
Realized gain/(loss) | 2 | 65 | 6,550 | — | — | — | ||||||||||||||||||
Change in unrealized appreciation/ (depreciation) | 81 | (38 | ) | (2,595 | ) | 121 | (107 | ) | (1,314 | ) | ||||||||||||||
Purchases | 10,717 | 6,187 | 18,869 | 1,093 | 463 | — | ||||||||||||||||||
Sales | (7,627 | ) | (2,957 | ) | (35,764 | ) | — | — | — | |||||||||||||||
Net transfer into Level 3 | 3,850 | 9,005 | — | — | — | — | ||||||||||||||||||
Net transfer out of Level 3 | (2,568 | ) | (3,389 | ) | — | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Ending balance as of November 30, 2013 | $ | 9,525 | $ | 18,849 | $ | 200,849 | $ | 1,214 | $ | 866 | $ | 564 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date | $ | 129 | $ | (1,581 | ) | $ | (1,132 | ) | $ | 121 | $ | (107 | ) | $ | (1,314 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
For the period ended November 30, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2013, there were transfers between Level 2 and Level 3 assets and liabilities. The transfers were due to changes in the availability of observable inputs used to determine fair value.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
146 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 52.5% |
| |||||||
Consumer Discretionary — 5.7% |
| |||||||
21st Century Fox America | ||||||||
8.450%, 08/01/2034 | $ | 160 | $ | 208 | ||||
8.150%, 10/17/2036 | 1,735 | 2,218 | ||||||
7.850%, 03/01/2039 | 3,900 | 4,945 | ||||||
7.750%, 01/20/2024 | 125 | 149 | ||||||
7.625%, 11/30/2028 | 2,411 | 3,058 | ||||||
7.430%, 10/01/2026 | 200 | 245 | ||||||
6.900%, 08/15/2039 | 4,250 | 5,009 | ||||||
6.750%, 01/09/2038 | 1,250 | 1,410 | ||||||
6.550%, 03/15/2033 | 1,870 | 2,118 | ||||||
6.400%, 12/15/2035 | 875 | 982 | ||||||
6.150%, 02/15/2041 | 3,650 | 4,036 | ||||||
5.400%, 10/01/2043 (A) | 3,425 | 3,459 | ||||||
Advance Auto Parts | ||||||||
4.500%, 12/01/2023 | 1,015 | 1,014 | ||||||
AutoZone | ||||||||
3.125%, 07/15/2023 | 1,860 | 1,718 | ||||||
Comcast | ||||||||
6.950%, 08/15/2037 | 2,620 | 3,205 | ||||||
6.500%, 01/15/2017 | 100 | 116 | ||||||
6.450%, 03/15/2037 | 6,200 | 7,172 | ||||||
6.400%, 05/15/2038 | 7,443 | 8,566 | ||||||
5.900%, 03/15/2016 | 100 | 111 | ||||||
5.700%, 07/01/2019 | 100 | 117 | ||||||
4.650%, 07/15/2042 | 1,820 | 1,674 | ||||||
4.250%, 01/15/2033 | 4,895 | 4,530 | ||||||
Comcast Cable Communications Holdings | ||||||||
9.455%, 11/15/2022 | 950 | 1,329 | ||||||
COX Communications | ||||||||
7.625%, 06/15/2025 | 300 | 344 | ||||||
6.950%, 06/01/2038 (A) | 3,183 | 3,353 | ||||||
4.700%, 12/15/2042 (A) | 4,400 | 3,691 | ||||||
CVS Caremark | ||||||||
6.250%, 06/01/2027 | 1,690 | 1,992 | ||||||
6.125%, 09/15/2039 | 3,855 | 4,381 | ||||||
CVS Pass-Through Trust | ||||||||
8.353%, 07/10/2031 (A) | 6,096 | 7,804 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
DIRECTV Holdings | ||||||||
6.000%, 08/15/2040 | $ | 5,705 | $ | 5,548 | ||||
5.150%, 03/15/2042 | 1,675 | 1,478 | ||||||
Discovery Communications | ||||||||
4.950%, 05/15/2042 | 250 | 233 | ||||||
4.875%, 04/01/2043 | 3,775 | 3,520 | ||||||
Ford Motor | ||||||||
7.450%, 07/16/2031 | 2,908 | 3,549 | ||||||
7.400%, 11/01/2046 | 2,015 | 2,447 | ||||||
4.750%, 01/15/2043 | 745 | 666 | ||||||
Home Depot | ||||||||
4.875%, 02/15/2044 | 1,415 | 1,438 | ||||||
4.200%, 04/01/2043 | 1,035 | 944 | ||||||
Lowe’s | ||||||||
6.875%, 02/15/2028 | 100 | 124 | ||||||
5.125%, 11/15/2041 | 5,495 | 5,671 | ||||||
McDonald’s MTN | ||||||||
6.300%, 03/01/2038 | 4,475 | 5,480 | ||||||
4.875%, 07/15/2040 | 940 | 970 | ||||||
3.700%, 02/15/2042 | 490 | 419 | ||||||
NBC Universal Media | ||||||||
5.950%, 04/01/2041 | 2,075 | 2,258 | ||||||
Target | ||||||||
6.650%, 08/01/2028 | 460 | 552 | ||||||
4.000%, 07/01/2042 | 3,165 | 2,764 | ||||||
TCI Communications | ||||||||
7.875%, 02/15/2026 | 3,040 | 3,994 | ||||||
Thomson Reuters | ||||||||
4.300%, 11/23/2023 | 1,545 | 1,549 | ||||||
Time Warner | ||||||||
7.700%, 05/01/2032 | 4,572 | 5,781 | ||||||
7.625%, 04/15/2031 | 10,735 | 13,373 | ||||||
6.250%, 03/29/2041 | 5,400 | 5,926 | ||||||
Time Warner Cable | ||||||||
8.250%, 04/01/2019 | 3,450 | 4,050 | ||||||
6.750%, 06/15/2039 | 3,830 | 3,562 | ||||||
5.500%, 09/01/2041 | 2,475 | 2,007 | ||||||
Time Warner Entertainment | ||||||||
8.375%, 07/15/2033 | 3,880 | 4,220 | ||||||
Viacom | ||||||||
5.850%, 09/01/2043 | 4,715 | 4,909 | ||||||
4.375%, 03/15/2043 | 6,628 | 5,513 | ||||||
Wal-Mart Stores | ||||||||
7.550%, 02/15/2030 | 860 | 1,152 | ||||||
6.200%, 04/15/2038 | 2,650 | 3,166 | ||||||
5.625%, 04/01/2040 | 5,940 | 6,704 | ||||||
5.625%, 04/15/2041 | 4,245 | 4,795 | ||||||
5.250%, 09/01/2035 | 50 | 54 | ||||||
5.000%, 10/25/2040 | 2,440 | 2,527 | ||||||
4.750%, 10/02/2043 | 12,570 | 12,605 | ||||||
4.000%, 04/11/2043 | 960 | 852 | ||||||
Yum! Brands | ||||||||
6.875%, 11/15/2037 | 462 | 531 | ||||||
|
| |||||||
204,285 | ||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 147 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Consumer Staples — 3.4% |
| |||||||
Ahold Finance USA | ||||||||
6.875%, 05/01/2029 | $ | 915 | $ | 1,083 | ||||
Altria Group | ||||||||
5.375%, 01/31/2044 | 4,360 | 4,335 | ||||||
Anheuser-Busch InBev Finance | ||||||||
4.000%, 01/17/2043 | 4,800 | 4,303 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
8.000%, 11/15/2039 | 2,490 | 3,587 | ||||||
6.375%, 01/15/2040 | 2,075 | �� | 2,547 | |||||
3.750%, 07/15/2042 | 9,354 | 8,040 | ||||||
2.500%, 07/15/2022 | 2,775 | 2,566 | ||||||
Archer-Daniels-Midland | ||||||||
7.000%, 02/01/2031 | 25 | 30 | ||||||
Autopistas Metropolitanas de Puerto Rico | ||||||||
6.750%, 06/30/2035 (A) | 900 | 855 | ||||||
Bestfoods | ||||||||
7.250%, 12/15/2026 | 170 | 224 | ||||||
Bowdoin College | ||||||||
4.693%, 07/01/2112 | 11,563 | 9,369 | ||||||
Coca-Cola Femsa | ||||||||
3.875%, 11/26/2023 | 3,310 | 3,271 | ||||||
ConAgra Foods | ||||||||
6.625%, 08/15/2039 | 1,415 | 1,630 | ||||||
4.650%, 01/25/2043 | 945 | 859 | ||||||
3.200%, 01/25/2023 | 2,025 | 1,893 | ||||||
Diageo Capital | ||||||||
2.625%, 04/29/2023 | 2,940 | 2,699 | ||||||
Diageo Investment | ||||||||
4.250%, 05/11/2042 | 430 | 396 | ||||||
General Mills | ||||||||
5.400%, 06/15/2040 | 815 | 876 | ||||||
Heineken | ||||||||
2.750%, 04/01/2023 (A) | 6,120 | 5,574 | ||||||
Kellogg | ||||||||
3.125%, 05/17/2022 | 1,830 | 1,766 | ||||||
Kraft Foods Group | ||||||||
6.875%, 01/26/2039 | 865 | 1,044 | ||||||
5.000%, 06/04/2042 | 4,045 | 3,954 | ||||||
Kroger | ||||||||
5.000%, 04/15/2042 | 950 | 899 | ||||||
Lorillard Tobacco | ||||||||
7.000%, 08/04/2041 | 2,235 | 2,425 | ||||||
Massachusetts Institute of Technology | ||||||||
5.600%, 07/01/2111 | 1,874 | 2,173 | ||||||
Mondelez International | ||||||||
7.000%, 08/11/2037 | 1,305 | 1,580 | ||||||
6.875%, 02/01/2038 | 5,090 | 6,087 | ||||||
6.500%, 02/09/2040 | 6,060 | 7,100 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Northwestern University | ||||||||
4.643%, 12/01/2044 | $ | 4,410 | $ | 4,481 | ||||
Pepsi Bottling Group | ||||||||
7.000%, 03/01/2029 | 365 | 462 | ||||||
PepsiCo | ||||||||
4.000%, 03/05/2042 | 2,000 | 1,750 | ||||||
3.600%, 08/13/2042 | 1,965 | 1,615 | ||||||
Pernod Ricard | ||||||||
5.500%, 01/15/2042 (A) | 880 | 905 | ||||||
4.450%, 01/15/2022 (A) | 350 | 359 | ||||||
Philip Morris International | ||||||||
6.375%, 05/16/2038 | 360 | 428 | ||||||
4.500%, 03/20/2042 | 4,985 | 4,716 | ||||||
4.125%, 03/04/2043 | 2,090 | 1,854 | ||||||
3.875%, 08/21/2042 | 2,575 | 2,170 | ||||||
President and Fellows of Harvard College | ||||||||
5.625%, 10/01/2038 | 3,149 | 3,643 | ||||||
3.619%, 10/01/2037 | 2,000 | 1,726 | ||||||
Reckitt Benckiser Treasury Services | ||||||||
3.625%, 09/21/2023 (A) | 1,775 | 1,773 | ||||||
SABMiller Holdings | ||||||||
4.950%, 01/15/2042 (A) | 8,874 | 8,925 | ||||||
Tufts University | ||||||||
5.017%, 04/15/2112 | 3,776 | 3,470 | ||||||
Unilever Capital | ||||||||
5.900%, 11/15/2032 | 975 | 1,200 | ||||||
University of Southern California | ||||||||
5.250%, 10/01/2111 | 1,765 | 1,912 | ||||||
|
| |||||||
122,554 | ||||||||
|
| |||||||
Energy — 8.1% | ||||||||
Alta Wind Holdings | ||||||||
7.000%, 06/30/2035 (A) | 2,436 | 2,514 | ||||||
Anadarko Finance | ||||||||
7.500%, 05/01/2031 | 3,055 | 3,820 | ||||||
Anadarko Holding | ||||||||
7.150%, 05/15/2028 | 2,990 | 3,580 | ||||||
Anadarko Petroleum | ||||||||
6.450%, 09/15/2036 | 590 | 684 | ||||||
Apache | ||||||||
5.250%, 02/01/2042 | 310 | 318 | ||||||
4.750%, 04/15/2043 | 5,165 | 5,075 | ||||||
4.250%, 01/15/2044 | 5,640 | 5,097 | ||||||
BG Energy Capital | ||||||||
5.125%, 10/15/2041 (A) | 4,600 | 4,643 | ||||||
Burlington Resources Finance | ||||||||
7.200%, 08/15/2031 | 25 | 32 | ||||||
Canadian Natural Resources | ||||||||
6.250%, 03/15/2038 | 3,850 | 4,322 | ||||||
5.850%, 02/01/2035 | 150 | 159 |
148 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Cenovus Energy | ||||||||
6.750%, 11/15/2039 | $ | 2,255 | $ | 2,687 | ||||
5.200%, 09/15/2043 | 930 | 931 | ||||||
3.800%, 09/15/2023 | 250 | 247 | ||||||
CNOOC Curtis Funding No. 1 Pty | ||||||||
4.500%, 10/03/2023 (A) | 1,000 | 1,011 | ||||||
CNOOC Finance | ||||||||
3.875%, 05/02/2022 (A) | 2,550 | 2,515 | ||||||
3.000%, 05/09/2023 | 2,025 | 1,846 | ||||||
Conoco Funding | ||||||||
7.250%, 10/15/2031 | 645 | 846 | ||||||
6.950%, 04/15/2029 | 1,760 | 2,259 | ||||||
ConocoPhillips | ||||||||
6.500%, 02/01/2039 | 5,400 | 6,786 | ||||||
5.900%, 05/15/2038 | 4,623 | 5,408 | ||||||
Devon Energy | ||||||||
7.950%, 04/15/2032 | 285 | 371 | ||||||
5.600%, 07/15/2041 | 2,160 | 2,245 | ||||||
4.750%, 05/15/2042 | 1,510 | 1,392 | ||||||
Diamond Offshore Drilling | ||||||||
4.875%, 11/01/2043 | 3,500 | 3,431 | ||||||
El Paso Natural Gas | ||||||||
8.375%, 06/15/2032 | 465 | 605 | ||||||
7.500%, 11/15/2026 | 2,675 | 3,353 | ||||||
Encana | ||||||||
6.500%, 02/01/2038 | 3,795 | 4,227 | ||||||
Energy Transfer Partners | ||||||||
8.250%, 11/15/2029 (A) | 1,825 | 2,201 | ||||||
6.500%, 02/01/2042 | 3,000 | 3,247 | ||||||
5.950%, 10/01/2043 | 6,020 | 6,161 | ||||||
Eni | ||||||||
5.700%, 10/01/2040 (A) | 3,430 | 3,267 | ||||||
Enterprise Products Operating | ||||||||
6.650%, 10/15/2034 | 2,380 | 2,795 | ||||||
6.125%, 10/15/2039 | 385 | 424 | ||||||
5.700%, 02/15/2042 | 7,727 | 8,104 | ||||||
4.850%, 03/15/2044 | 2,000 | 1,881 | ||||||
4.450%, 02/15/2043 | 1,935 | 1,710 | ||||||
Gazprom OAO Via Gaz Capital | ||||||||
4.950%, 02/06/2028 (A) | 2,675 | 2,327 | ||||||
Gulf South Pipeline | ||||||||
4.000%, 06/15/2022 | 2,650 | 2,633 | ||||||
Halliburton | ||||||||
7.600%, 08/15/2096 (A) | 695 | 947 | ||||||
Hess | ||||||||
5.600%, 02/15/2041 | 1,960 | 2,055 | ||||||
Kinder Morgan Energy Partners | ||||||||
6.375%, 03/01/2041 | 7,475 | 8,166 | ||||||
3.950%, 09/01/2022 | 2,560 | 2,528 | ||||||
LASMO | ||||||||
7.300%, 11/15/2027 | 1,510 | 1,901 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Marathon Oil | ||||||||
6.600%, 10/01/2037 | $ | 3,820 | $ | 4,577 | ||||
Marathon Petroleum | ||||||||
6.500%, 03/01/2041 | 3,020 | 3,411 | ||||||
Motiva Enterprises | ||||||||
6.850%, 01/15/2040 (A) | 8,535 | 10,588 | ||||||
Nexen | ||||||||
7.400%, 05/01/2028 | 2,390 | 2,974 | ||||||
Nexen Energy ULC | ||||||||
7.500%, 07/30/2039 | 2,760 | 3,517 | ||||||
6.400%, 05/15/2037 | 1,925 | 2,204 | ||||||
Noble Energy | ||||||||
5.250%, 11/15/2043 | 5,205 | 5,203 | ||||||
4.150%, 12/15/2021 | 770 | 800 | ||||||
Panhandle Eastern Pipeline | ||||||||
8.125%, 06/01/2019 | 725 | 888 | ||||||
Petrobras Global Finance | ||||||||
5.625%, 05/20/2043 | 6,255 | 5,167 | ||||||
4.375%, 05/20/2023 | 2,470 | 2,245 | ||||||
Petrobras International Finance | ||||||||
6.875%, 01/20/2040 | 5,360 | 5,203 | ||||||
6.750%, 01/27/2041 | 1,770 | 1,683 | ||||||
5.875%, 03/01/2018 | 600 | 649 | ||||||
Petro-Canada | ||||||||
7.875%, 06/15/2026 | 35 | 46 | ||||||
6.800%, 05/15/2038 | 1,000 | 1,202 | ||||||
5.950%, 05/15/2035 | 760 | 829 | ||||||
Petroleos Mexicanos | ||||||||
6.500%, 06/02/2041 | 3,350 | 3,388 | ||||||
5.500%, 06/27/2044 | 3,780 | 3,348 | ||||||
Phillips 66 | ||||||||
5.875%, 05/01/2042 | 5,450 | 5,931 | ||||||
Plains All American Pipeline | ||||||||
3.850%, 10/15/2023 | 4,397 | 4,315 | ||||||
Pride International | ||||||||
7.875%, 08/15/2040 | 574 | 783 | ||||||
Rosneft Oil via Rosneft International Finance | ||||||||
4.199%, 03/06/2022 (A) | 2,000 | 1,830 | ||||||
Ruby Pipeline | ||||||||
6.000%, 04/01/2022 (A) | 2,500 | 2,656 | ||||||
Schlumberger Investment | ||||||||
3.650%, 12/01/2023 | 1,575 | 1,581 | ||||||
Shell International Finance | ||||||||
6.375%, 12/15/2038 | 4,118 | 5,073 | ||||||
Shell International Finance BV | ||||||||
4.550%, 08/12/2043 | 8,690 | 8,493 | ||||||
3.400%, 08/12/2023 | 2,225 | 2,189 | ||||||
Sinopec Capital 2013 | ||||||||
3.125%, 04/24/2023 (A) | 1,875 | 1,709 | ||||||
Sinopec Group Overseas Development 2012 | ||||||||
3.900%, 05/17/2022 (A) | 975 | 964 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 149 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Southern Natural Gas | ||||||||
8.000%, 03/01/2032 | $ | 1,039 | $ | 1,334 | ||||
7.350%, 02/15/2031 | 1,223 | 1,478 | ||||||
Spectra Energy Capital | ||||||||
6.750%, 02/15/2032 | 3,450 | 3,658 | ||||||
3.300%, 03/15/2023 | 6,180 | 5,561 | ||||||
Spectra Energy Partners | ||||||||
5.950%, 09/25/2043 | 2,080 | 2,212 | ||||||
Statoil | ||||||||
6.800%, 01/15/2028 | 400 | 498 | ||||||
6.500%, 12/01/2028 (A) | 1,050 | 1,290 | ||||||
5.100%, 08/17/2040 | 485 | 504 | ||||||
4.800%, 11/08/2043 | 5,099 | 5,121 | ||||||
3.950%, 05/15/2043 | 2,535 | 2,229 | ||||||
3.700%, 03/01/2024 | 2,775 | 2,777 | ||||||
2.450%, 01/17/2023 | 2,375 | 2,175 | ||||||
Suncor Energy | ||||||||
6.850%, 06/01/2039 | 1,590 | 1,924 | ||||||
6.500%, 06/15/2038 | 1,975 | 2,310 | ||||||
Tennessee Gas Pipeline | ||||||||
8.375%, 06/15/2032 | 4,255 | 5,599 | ||||||
7.000%, 10/15/2028 | 6,977 | 8,435 | ||||||
Texas Eastern Transmission | ||||||||
7.000%, 07/15/2032 | 2,365 | 2,817 | ||||||
Total Capital International | ||||||||
3.700%, 01/15/2024 | 3,565 | 3,562 | ||||||
TransCanada PipeLines | ||||||||
7.625%, 01/15/2039 | 4,215 | 5,587 | ||||||
7.250%, 08/15/2038 | 1,670 | 2,123 | ||||||
6.100%, 06/01/2040 | 1,395 | 1,583 | ||||||
Transcontinental Gas | ||||||||
7.250%, 12/01/2026 | 1,660 | 2,113 | ||||||
5.400%, 08/15/2041 | 1,545 | 1,583 | ||||||
4.450%, 08/01/2042 | 1,130 | 1,010 | ||||||
Valero Energy | ||||||||
10.500%, 03/15/2039 | 3,740 | 5,557 | ||||||
Weatherford International | ||||||||
5.950%, 04/15/2042 | 2,065 | 2,050 | ||||||
Williams | ||||||||
8.750%, 03/15/2032 | 472 | 581 | ||||||
7.875%, 09/01/2021 | 545 | 645 | ||||||
7.750%, 06/15/2031 | 1,150 | 1,297 | ||||||
Williams Partners | ||||||||
4.500%, 11/15/2023 | 650 | 651 | ||||||
|
| |||||||
292,461 | ||||||||
|
| |||||||
Financials — 13.2% | ||||||||
ACE INA Holdings | ||||||||
6.700%, 05/15/2036 | 2,677 | 3,409 | ||||||
Aflac | ||||||||
6.900%, 12/17/2039 | 2,900 | 3,588 | ||||||
6.450%, 08/15/2040 | 2,510 | 2,992 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AIG SunAmerica Global Financing X | ||||||||
6.900%, 03/15/2032 (A) | $ | 4,417 | $ | 5,437 | ||||
American Express | ||||||||
4.050%, 12/03/2042 | 4,919 | 4,329 | ||||||
American International Group | ||||||||
4.875%, 06/01/2022 | 1,760 | 1,907 | ||||||
Ameriprise Financial | ||||||||
4.000%, 10/15/2023 | 4,005 | 4,050 | ||||||
Assurant | ||||||||
6.750%, 02/15/2034 | 2,634 | 2,834 | ||||||
Bank of America MTN | ||||||||
7.800%, 09/15/2016 | 65 | 75 | ||||||
6.000%, 09/01/2017 | 355 | 406 | ||||||
6.000%, 10/15/2036 | 4,045 | 4,597 | ||||||
5.875%, 02/07/2042 | 2,000 | 2,265 | ||||||
5.750%, 12/01/2017 | 5,750 | 6,586 | ||||||
5.650%, 05/01/2018 | 2,360 | 2,702 | ||||||
5.625%, 07/01/2020 | 675 | 772 | ||||||
5.000%, 05/13/2021 | 500 | 547 | ||||||
3.300%, 01/11/2023 | 1,875 | 1,774 | ||||||
Bear Stearns | ||||||||
7.250%, 02/01/2018 | 400 | 483 | ||||||
Berkshire Hathaway | ||||||||
4.500%, 02/11/2043 | 9,252 | 8,705 | ||||||
Berkshire Hathaway Finance | ||||||||
4.400%, 05/15/2042 | 1,300 | 1,199 | ||||||
Blackstone Holdings Finance | ||||||||
6.250%, 08/15/2042 (A) | 4,482 | 4,833 | ||||||
Camden Property Trust‡ | ||||||||
4.625%, 06/15/2021 | 1,325 | 1,406 | ||||||
Carlyle Holdings II Finance | ||||||||
5.625%, 03/30/2043 (A) | 7,115 | 6,737 | ||||||
CDP Financial | ||||||||
5.600%, 11/25/2039 (A) | 6,055 | 6,875 | ||||||
Chase Capital VI | ||||||||
0.867%, 08/01/2028 (B) | 2,435 | 1,972 | ||||||
Chubb | ||||||||
6.500%, 05/15/2038 | 5,040 | 6,344 | ||||||
Citigroup | ||||||||
8.500%, 05/22/2019 | 75 | 97 | ||||||
8.125%, 07/15/2039 | 5,015 | 6,986 | ||||||
6.875%, 03/05/2038 | 700 | 876 | ||||||
6.875%, 02/15/2098 | 4,559 | 5,107 | ||||||
6.675%, 09/13/2043 | 3,995 | 4,468 | ||||||
6.625%, 06/15/2032 | 600 | 667 | ||||||
6.375%, 08/12/2014 | 50 | 52 | ||||||
6.125%, 11/21/2017 | 100 | 116 | ||||||
6.125%, 08/25/2036 | 1,530 | 1,612 | ||||||
6.010%, 01/15/2015 | 50 | 53 | ||||||
6.000%, 12/13/2013 | 125 | 125 | ||||||
6.000%, 08/15/2017 | 50 | 58 | ||||||
5.850%, 12/11/2034 | 53 | 58 | ||||||
5.500%, 02/15/2017 | 2,880 | 3,197 |
150 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.500%, 09/13/2025 | $ | 1,975 | $ | 2,091 | ||||
5.300%, 01/07/2016 | 2,000 | 2,172 | ||||||
4.950%, 11/07/2043 | 665 | 653 | ||||||
4.587%, 12/15/2015 | 39 | 42 | ||||||
3.875%, 10/25/2023 | 1,345 | 1,322 | ||||||
2.650%, 03/02/2015 | 150 | 153 | ||||||
0.788%, 08/25/2036 (B) | 850 | 680 | ||||||
Commonwealth Bank of Australia MTN | ||||||||
5.000%, 10/15/2019 (A) | 1,750 | 1,974 | ||||||
Cooperatieve Centrale | ||||||||
5.800%, 09/30/2110 (A) | 4,273 | 4,314 | ||||||
5.750%, 12/01/2043 | 3,060 | 3,104 | ||||||
Devon OEI Operating | ||||||||
7.500%, 09/15/2027 | 1,000 | 1,269 | ||||||
Discover Bank | ||||||||
8.700%, 11/18/2019 | 1,014 | 1,293 | ||||||
Discover Financial Services | ||||||||
3.850%, 11/21/2022 | 3,261 | 3,134 | ||||||
Farmers Exchange Capital II | ||||||||
6.151%, 11/01/2053 (A) (B) | 11,440 | 11,596 | ||||||
FMR | ||||||||
5.150%, 02/01/2043 (A) | 2,750 | 2,676 | ||||||
Ford Holdings | ||||||||
9.300%, 03/01/2030 | 2,475 | 3,381 | ||||||
Ford Motor Credit | ||||||||
4.375%, 08/06/2023 | 700 | 709 | ||||||
General Electric Capital MTN | ||||||||
7.500%, 08/21/2035 | 385 | 510 | ||||||
6.875%, 01/10/2039 | 10,194 | 12,906 | ||||||
6.750%, 03/15/2032 | 6,210 | 7,696 | ||||||
5.875%, 01/14/2038 | 17,590 | 19,913 | ||||||
Goldman Sachs Group | ||||||||
6.750%, 10/01/2037 | 14,670 | 16,269 | ||||||
6.250%, 02/01/2041 | 4,588 | 5,268 | ||||||
6.125%, 02/15/2033 | 8,190 | 9,143 | ||||||
5.950%, 01/15/2027 | 4,611 | 4,973 | ||||||
Hartford Financial Services Group | ||||||||
6.625%, 03/30/2040 | 1,939 | 2,377 | ||||||
6.100%, 10/01/2041 | 3,120 | 3,616 | ||||||
5.950%, 10/15/2036 | 785 | 882 | ||||||
HBOS MTN | ||||||||
6.750%, 05/21/2018 (A) | 4,050 | 4,583 | ||||||
HBOS Capital Funding | ||||||||
6.071%, 06/30/2049 (A) (B) | 100 | 100 | ||||||
HCP‡ | ||||||||
6.750%, 02/01/2041 | 2,380 | 2,830 | ||||||
4.250%, 11/15/2023 | 3,150 | 3,137 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Health Care‡ | ||||||||
6.500%, 03/15/2041 | $ | 931 | $ | 1,025 | ||||
5.125%, 03/15/2043 | 12,674 | 11,671 | ||||||
Healthcare Realty Trust‡ | ||||||||
5.750%, 01/15/2021 | 525 | 575 | ||||||
Highmark | ||||||||
6.125%, 05/15/2041 (A) | 3,205 | 2,907 | ||||||
HSBC Bank USA | ||||||||
7.000%, 01/15/2039 | 3,510 | 4,412 | ||||||
5.875%, 11/01/2034 | 65 | 71 | ||||||
5.625%, 08/15/2035 | 1,660 | 1,789 | ||||||
HSBC Holdings | ||||||||
7.625%, 05/17/2032 | 720 | 901 | ||||||
6.800%, 06/01/2038 | 335 | 414 | ||||||
6.500%, 09/15/2037 | 4,200 | 5,010 | ||||||
5.100%, 04/05/2021 | 3,531 | 3,922 | ||||||
HSBC Holdings, Ser 2006 | ||||||||
6.500%, 05/02/2036 | 255 | 303 | ||||||
ING Bank | ||||||||
5.800%, 09/25/2023 (A) | 2,225 | 2,319 | ||||||
1.658%, 06/09/2014 (A) (B) | 1,050 | 1,057 | ||||||
International Lease Finance | ||||||||
7.125%, 09/01/2018 (A) | 425 | 491 | ||||||
JPMorgan Chase | ||||||||
6.400%, 05/15/2038 | 400 | 478 | ||||||
6.300%, 04/23/2019 | 1,775 | 2,114 | ||||||
5.600%, 07/15/2041 | 7,260 | 7,929 | ||||||
5.500%, 10/15/2040 | 100 | 108 | ||||||
3.250%, 09/23/2022 | 1,260 | 1,208 | ||||||
0.584%, 06/13/2016 (B) | 2,000 | 1,984 | ||||||
JPMorgan Chase Capital XIII | ||||||||
1.198%, 09/30/2034 (B) | 3,900 | 3,081 | ||||||
KKR Group Finance II | ||||||||
5.500%, 02/01/2043 (A) | 9,971 | 9,208 | ||||||
Liberty Mutual Group | ||||||||
6.500%, 03/15/2035 (A) | 265 | 289 | ||||||
6.500%, 05/01/2042 (A) | 6,615 | 7,393 | ||||||
Lloyds Bank MTN | ||||||||
6.500%, 09/14/2020 (A) | 790 | 888 | ||||||
Macquarie Bank MTN | ||||||||
6.625%, 04/07/2021 (A) | 7,090 | 7,854 | ||||||
Massachusetts Mutual Life Insurance | ||||||||
8.875%, 06/01/2039 (A) | 1,820 | 2,620 | ||||||
Merrill Lynch | �� | |||||||
8.950%, 05/18/2017 (B) | 1,340 | 1,514 | ||||||
8.680%, 05/02/2017 (B) | 1,305 | 1,463 | ||||||
7.750%, 05/14/2038 | 420 | 533 | ||||||
6.110%, 01/29/2037 | 3,660 | 3,894 | ||||||
MetLife | ||||||||
6.400%, 12/15/2036 | 3,720 | 3,813 | ||||||
5.875%, 02/06/2041 | 1,240 | 1,406 | ||||||
4.875%, 11/13/2043 | 5,640 | 5,546 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 151 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Metropolitan Life Global Funding I | ||||||||
3.875%, 04/11/2022 (A) | $ | 435 | $ | 443 | ||||
3.000%, 01/10/2023 (A) | 1,845 | 1,747 | ||||||
Metropolitan Life Insurance | ||||||||
7.800%, 11/01/2025 (A) | 3,520 | 4,469 | ||||||
Morgan Stanley MTN | ||||||||
6.625%, 04/01/2018 | 4,365 | 5,146 | ||||||
6.375%, 07/24/2042 | 3,744 | 4,363 | ||||||
5.625%, 09/23/2019 | 11,775 | 13,519 | ||||||
5.000%, 11/24/2025 | 2,210 | 2,212 | ||||||
4.100%, 05/22/2023 | 305 | 294 | ||||||
National Capital Trust II | ||||||||
5.486%, | 500 | 515 | ||||||
National Rural Utilities Cooperative Finance MTN | ||||||||
8.000%, 03/01/2032 | 427 | 576 | ||||||
Nationwide Mutual Insurance | ||||||||
7.875%, 04/01/2033 (A) | 4,016 | 4,786 | ||||||
New York Life Insurance | ||||||||
6.750%, 11/15/2039 (A) | 5,515 | 6,805 | ||||||
Northwestern Mutual Life Insurance | ||||||||
6.063%, 03/30/2040 (A) | 3,840 | 4,395 | ||||||
Principal Financial Group | ||||||||
4.625%, 09/15/2042 | 1,310 | 1,252 | ||||||
4.350%, 05/15/2043 | 1,325 | 1,217 | ||||||
Prudential Financial MTN | ||||||||
6.625%, 12/01/2037 | 608 | 737 | ||||||
6.200%, 11/15/2040 | 1,075 | 1,249 | ||||||
5.800%, 11/16/2041 | 2,360 | 2,600 | ||||||
5.700%, 12/14/2036 | 3,385 | 3,691 | ||||||
Prudential Holdings | ||||||||
8.695%, 12/18/2023 (A) | 3,087 | 3,965 | ||||||
Prudential Insurance of America | ||||||||
8.300%, 07/01/2025 (A) | 4,500 | 5,774 | ||||||
Realty Income‡ | ||||||||
4.650%, 08/01/2023 | 3,935 | 4,022 | ||||||
Royal Bank of Scotland Group | ||||||||
7.648%, 08/31/2049 (B) | 1,900 | 1,981 | ||||||
Security Benefit Life | ||||||||
7.450%, 10/01/2033 (A) | 3,805 | 3,984 | ||||||
Simon Property Group‡ | ||||||||
6.750%, 02/01/2040 | 4,740 | 5,933 | ||||||
4.750%, 03/15/2042 | 3,460 | 3,375 | ||||||
SL Green Realty‡ | ||||||||
7.750%, 03/15/2020 | 1,775 | 2,085 | ||||||
5.000%, 08/15/2018 | 1,000 | 1,074 | ||||||
Tanger Properties‡ | ||||||||
3.875%, 12/01/2023 | 2,545 | 2,492 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.850%, 12/16/2039 (A) | $ | 4,660 | $ | 5,756 | ||||
Travelers | ||||||||
5.350%, 11/01/2040 | 1,935 | 2,125 | ||||||
Ventas Realty‡ | ||||||||
5.700%, 09/30/2043 | 3,150 | 3,254 | ||||||
4.750%, 06/01/2021 | 2,500 | 2,651 | ||||||
Wachovia Bank | ||||||||
6.600%, 01/15/2038 | 3,030 | 3,773 | ||||||
6.000%, 11/15/2017 | 300 | 349 | ||||||
5.850%, 02/01/2037 | 3,565 | 4,051 | ||||||
WEA Finance | ||||||||
6.750%, 09/02/2019 (A) | 2,090 | 2,513 | ||||||
Wells Fargo | ||||||||
5.375%, 11/02/2043 | 2,795 | 2,759 | ||||||
4.125%, 08/15/2023 | 2,670 | 2,639 | ||||||
Wells Fargo Bank | ||||||||
5.950%, 08/26/2036 | 2,115 | 2,429 | ||||||
XLIT | ||||||||
5.250%, 12/15/2043 | 1,165 | 1,180 | ||||||
ZFS Finance USA Trust II | ||||||||
6.450%, | 1,939 | 2,084 | ||||||
|
| |||||||
475,516 | ||||||||
|
| |||||||
Health Care — 3.2% | ||||||||
AbbVie | ||||||||
4.400%, 11/06/2042 | 4,505 | 4,118 | ||||||
Amgen | ||||||||
6.400%, 02/01/2039 | 3,400 | 3,874 | ||||||
5.750%, 03/15/2040 | 910 | 965 | ||||||
5.375%, 05/15/2043 | 3,215 | 3,269 | ||||||
5.150%, 11/15/2041 | 3,700 | 3,639 | ||||||
4.950%, 10/01/2041 | 825 | 782 | ||||||
AstraZeneca | ||||||||
6.450%, 09/15/2037 | 3,522 | 4,260 | ||||||
4.000%, 09/18/2042 | 1,825 | 1,608 | ||||||
Bristol-Myers Squibb | ||||||||
6.875%, 08/01/2097 | 1,340 | 1,704 | ||||||
Catholic Health Initiatives | ||||||||
4.350%, 11/01/2042 | 3,011 | 2,667 | ||||||
4.200%, 08/01/2023 | 5,535 | 5,505 | ||||||
Celgene | ||||||||
5.700%, 10/15/2040 | 6,568 | 6,843 | ||||||
Coventry Health Care | ||||||||
5.450%, 06/15/2021 | 500 | 556 | ||||||
Covidien International Finance | ||||||||
2.950%, 06/15/2023 | 1,290 | 1,210 | ||||||
GlaxoSmithKline Capital | ||||||||
6.375%, 05/15/2038 | 3,405 | 4,210 | ||||||
Howard Hughes Medical Institute | ||||||||
3.500%, 09/01/2023 | 4,623 | 4,597 |
152 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Johnson & Johnson | ||||||||
5.850%, 07/15/2038 | $ | 1,725 | $ | 2,054 | ||||
McKesson | ||||||||
2.700%, 12/15/2022 | 3,050 | 2,776 | ||||||
Mead Johnson Nutrition | ||||||||
5.900%, 11/01/2039 | 990 | 1,074 | ||||||
Medtronic | ||||||||
2.750%, 04/01/2023 | 7,350 | 6,847 | ||||||
Memorial Sloan-Kettering Cancer Center | ||||||||
5.000%, 07/01/2042 | 1,845 | 1,856 | ||||||
Merck | ||||||||
6.550%, 09/15/2037 | 835 | 1,048 | ||||||
4.150%, 05/18/2043 | 3,560 | 3,254 | ||||||
3.600%, 09/15/2042 | 1,830 | 1,521 | ||||||
Merck Sharp & Dohme MTN | ||||||||
5.850%, 06/30/2039 | 460 | 533 | ||||||
5.760%, 05/03/2037 | 2,236 | 2,619 | ||||||
Mylan | ||||||||
4.200%, 11/29/2023 | 1,875 | 1,872 | ||||||
North Shore Long Island Jewish Health Care | ||||||||
6.150%, 11/01/2043 | 2,500 | 2,711 | ||||||
4.800%, 11/01/2042 | 4,615 | 3,936 | ||||||
NYU Hospitals Center | ||||||||
5.750%, 07/01/2043 | 3,435 | 3,598 | ||||||
4.428%, 07/01/2042 | 4,230 | 3,605 | ||||||
Perrigo | ||||||||
4.000%, 11/15/2023 (A) | 1,535 | 1,520 | ||||||
Pfizer | ||||||||
7.200%, 03/15/2039 | 590 | 789 | ||||||
4.300%, 06/15/2043 | 3,620 | 3,383 | ||||||
Roche Holdings | ||||||||
7.000%, 03/01/2039 (A) | 3,770 | 5,015 | ||||||
St. Barnabas | ||||||||
4.000%, 07/01/2028 | 4,375 | 3,850 | ||||||
Stryker | ||||||||
4.100%, 04/01/2043 | 2,220 | 2,005 | ||||||
Thermo Fisher Scientific | ||||||||
3.150%, 01/15/2023 | 3,020 | 2,810 | ||||||
UnitedHealth Group | ||||||||
6.625%, 11/15/2037 | 555 | 676 | ||||||
4.250%, 03/15/2043 | 3,140 | 2,810 | ||||||
WellPoint | ||||||||
4.650%, 01/15/2043 | 675 | 619 | ||||||
Wyeth | ||||||||
6.000%, 02/15/2036 | 2,985 | 3,506 | ||||||
5.950%, 04/01/2037 | 936 | 1,097 | ||||||
|
| |||||||
117,192 | ||||||||
|
| |||||||
Industrials — 4.3% | ||||||||
ABB Treasury Center USA | ||||||||
4.000%, 06/15/2021 (A) | 2,970 | 3,083 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
American Airlines, Pass-Through Trust, Ser 2013-2, Cl A | ||||||||
4.950%, 01/15/2023 (A) | $ | 7,830 | $ | 8,202 | ||||
BAE Systems | ||||||||
5.800%, 10/11/2041 (A) | 4,995 | 5,235 | ||||||
Boeing | ||||||||
6.875%, 03/15/2039 | 531 | 708 | ||||||
6.625%, 02/15/2038 | 720 | 932 | ||||||
Burlington Northern Santa Fe | ||||||||
6.200%, 08/15/2036 | 5,600 | 6,412 | ||||||
6.150%, 05/01/2037 | 1,100 | 1,247 | ||||||
5.750%, 05/01/2040 | 1,105 | 1,205 | ||||||
5.150%, 09/01/2043 | 2,075 | 2,102 | ||||||
4.400%, 03/15/2042 | 4,430 | 3,991 | ||||||
4.375%, 09/01/2042 | 1,590 | 1,439 | ||||||
3.450%, 09/15/2021 | 10 | 10 | ||||||
Caterpillar | ||||||||
3.803%, 08/15/2042 | 7,353 | 6,215 | ||||||
Continental Airlines, Pass-Through Trust, Ser 2007-1, Cl A | ||||||||
5.983%, 04/19/2022 | 5,082 | 5,552 | ||||||
Continental Airlines, Pass-Through Trust, Ser 2009-1 | ||||||||
9.000%, 07/08/2016 | 5,238 | 5,959 | ||||||
Continental Airlines, Pass-Through Trust, Ser 2012-2, Cl A | ||||||||
4.000%, 10/29/2024 | 2,480 | 2,468 | ||||||
CSX | ||||||||
4.750%, 05/30/2042 | 2,225 | 2,114 | ||||||
Deere | ||||||||
3.900%, 06/09/2042 | 2,460 | 2,173 | ||||||
EADS Finance | ||||||||
2.700%, 04/17/2023 (A) | 2,500 | 2,318 | ||||||
Federal Express | ||||||||
7.600%, 07/01/2097 | 2,095 | 2,560 | ||||||
FedEx | ||||||||
3.875%, 08/01/2042 | 9,167 | 7,602 | ||||||
General Dynamics | ||||||||
3.600%, 11/15/2042 | 2,640 | 2,197 | ||||||
General Electric | ||||||||
4.125%, 10/09/2042 | 6,615 | 6,054 | ||||||
Heathrow Funding | ||||||||
4.875%, 07/15/2021 (A) | 3,070 | 3,253 | ||||||
Lockheed Martin | ||||||||
4.070%, 12/15/2042 | 7,491 | 6,510 | ||||||
Norfolk Southern | ||||||||
6.000%, 03/15/2105 | 3,703 | 4,043 | ||||||
6.000%, 05/23/2111 | 8,139 | 8,777 | ||||||
5.590%, 05/17/2025 | 68 | 76 | ||||||
3.850%, 01/15/2024 | 3,825 | 3,793 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 153 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Northrop Grumman | ||||||||
4.750%, 06/01/2043 | $ | 13,100 | $ | 12,362 | ||||
Northwest Airlines, Pass-Through Trust, Ser 2001-1, Cl A1 | ||||||||
7.041%, 04/01/2022 | 246 | 263 | ||||||
Precision Castparts | ||||||||
2.500%, 01/15/2023 | 1,790 | 1,646 | ||||||
Republic Services | ||||||||
3.550%, 06/01/2022 | 2,025 | 1,980 | ||||||
Sydney Airport Finance | ||||||||
3.900%, 03/22/2023 (A) | 4,500 | 4,336 | ||||||
Union Pacific | ||||||||
6.250%, 05/01/2034 | 39 | 45 | ||||||
4.821%, 02/01/2044 (A) | 4,838 | 4,746 | ||||||
United Parcel Service of America | ||||||||
8.375%, 04/01/2020 (C) | 325 | 436 | ||||||
United Technologies | ||||||||
5.700%, 04/15/2040 | 9,355 | 10,679 | ||||||
4.500%, 06/01/2042 | 5,305 | 5,154 | ||||||
3.100%, 06/01/2022 | 2,045 | 2,009 | ||||||
US Airways, Pass-Through Trust, Ser 2011-1, Cl A | ||||||||
7.125%, 10/22/2023 | 1,756 | 1,976 | ||||||
Waste Management | ||||||||
4.600%, 03/01/2021 | 2,662 | 2,858 | ||||||
|
| |||||||
154,720 | ||||||||
|
| |||||||
Information Technology — 0.9% |
| |||||||
Apple | ||||||||
3.850%, 05/04/2043 | 2,805 | 2,340 | ||||||
Cisco Systems | ||||||||
5.900%, 02/15/2039 | 2,950 | 3,308 | ||||||
Corning | ||||||||
5.750%, 08/15/2040 | 555 | 617 | ||||||
eBay | ||||||||
4.000%, 07/15/2042 | 1,805 | 1,514 | ||||||
EMC | ||||||||
2.650%, 06/01/2020 | 3,290 | 3,255 | ||||||
Intel | ||||||||
4.000%, 12/15/2032 | 3,360 | 3,101 | ||||||
International Business Machines | ||||||||
3.375%, 08/01/2023 | 2,940 | 2,884 | ||||||
Juniper Networks | ||||||||
5.950%, 03/15/2041 | 4,430 | 4,422 | ||||||
Microsoft | ||||||||
3.500%, 11/15/2042 | 1,765 | 1,417 | ||||||
Oracle | ||||||||
6.500%, 04/15/2038 | 4,990 | 6,068 | ||||||
3.625%, 07/15/2023 | 2,320 | 2,308 | ||||||
|
| |||||||
31,234 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Materials — 2.2% | ||||||||
ArcelorMittal | ||||||||
7.500%, 10/15/2039 | $ | 2,180 | $ | 2,125 | ||||
Barrick North America Finance LLC | ||||||||
5.750%, 05/01/2043 | 6,855 | 6,029 | ||||||
BHP Billiton Finance USA | ||||||||
5.000%, 09/30/2043 | 4,370 | 4,416 | ||||||
3.850%, 09/30/2023 | 1,855 | 1,870 | ||||||
Dow Chemical | ||||||||
7.375%, 11/01/2029 | 2,300 | 2,935 | ||||||
4.375%, 11/15/2042 | 3,650 | 3,226 | ||||||
Freeport-McMoRan Copper | ||||||||
5.450%, 03/15/2043 | 9,462 | 8,881 | ||||||
3.875%, 03/15/2023 | 3,070 | 2,883 | ||||||
Mosaic | ||||||||
5.450%, 11/15/2033 | 2,005 | 2,049 | ||||||
Nacional del Cobre de Chile | ||||||||
5.625%, 10/18/2043 (A) | 6,340 | 6,180 | ||||||
Newcrest Finance | ||||||||
5.750%, 11/15/2041 (A) | 5,847 | 4,279 | ||||||
Newmont Mining | ||||||||
4.875%, 03/15/2042 | 5,868 | 4,362 | ||||||
Praxair | ||||||||
3.550%, 11/07/2042 | 2,045 | 1,680 | ||||||
Rio Tinto Finance USA | ||||||||
7.125%, 07/15/2028 | 410 | 514 | ||||||
4.125%, 08/21/2042 | 670 | 576 | ||||||
Rohm & Haas | ||||||||
7.850%, 07/15/2029 | 4,115 | 5,449 | ||||||
Southern Copper | ||||||||
7.500%, 07/27/2035 | 2,824 | 2,934 | ||||||
Teck Resources | ||||||||
6.000%, 08/15/2040 | 180 | 171 | ||||||
5.400%, 02/01/2043 | 2,030 | 1,832 | ||||||
5.200%, 03/01/2042 | 1,050 | 907 | ||||||
Vale | ||||||||
5.625%, 09/11/2042 | 4,045 | 3,581 | ||||||
Vale Overseas | ||||||||
6.875%, 11/21/2036 | 2,545 | 2,605 | ||||||
Xstrata Finance Canada | ||||||||
6.000%, 11/15/2041 (A) | 8,944 | 8,579 | ||||||
5.300%, 10/25/2042 (A) | 2,600 | 2,349 | ||||||
|
| |||||||
80,412 | ||||||||
|
| |||||||
Telecommunication Services — 4.1% |
| |||||||
Alltel | ||||||||
7.875%, 07/01/2032 | 1,175 | 1,531 | ||||||
6.800%, 05/01/2029 | 490 | 570 | ||||||
America Movil | ||||||||
6.375%, 03/01/2035 | 535 | 582 | ||||||
4.375%, 07/16/2042 | 4,190 | 3,497 |
154 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AT&T | ||||||||
6.500%, 09/01/2037 | $ | 4,025 | $ | 4,462 | ||||
6.300%, 01/15/2038 | 2,275 | 2,461 | ||||||
5.550%, 08/15/2041 | 8,065 | 8,017 | ||||||
5.350%, 09/01/2040 | 9,229 | 8,920 | ||||||
4.350%, 06/15/2045 | 8,163 | 6,752 | ||||||
4.300%, 12/15/2042 | 2,926 | 2,441 | ||||||
British Telecommunications | ||||||||
9.625%, 12/15/2030 | 2,070 | 3,075 | ||||||
CenturyLink | ||||||||
7.650%, 03/15/2042 | 3,035 | 2,739 | ||||||
5.800%, 03/15/2022 | 350 | 346 | ||||||
Deutsche Telekom International Finance | ||||||||
9.250%, 06/01/2032 | 745 | 1,116 | ||||||
8.750%, 06/15/2030 | 675 | 952 | ||||||
4.875%, 03/06/2042 (A) | 2,980 | 2,845 | ||||||
GTE | ||||||||
6.940%, 04/15/2028 | 1,360 | 1,561 | ||||||
Koninklijke KPN | ||||||||
8.375%, 10/01/2030 | 1,920 | 2,420 | ||||||
Rogers Communications | ||||||||
5.450%, 10/01/2043 | 2,350 | 2,373 | ||||||
4.100%, 10/01/2023 | 1,500 | 1,518 | ||||||
Telecom Italia Capital | ||||||||
7.721%, 06/04/2038 | 1,370 | 1,313 | ||||||
6.000%, 09/30/2034 | 890 | 746 | ||||||
Telefonica Emisiones SAU | ||||||||
7.045%, 06/20/2036 | 3,375 | 3,670 | ||||||
4.570%, 04/27/2023 | 2,695 | 2,670 | ||||||
Verizon Communications | ||||||||
7.750%, 12/01/2030 | 670 | 839 | ||||||
7.350%, 04/01/2039 | 2,890 | 3,555 | ||||||
6.550%, 09/15/2043 | 44,087 | 50,174 | ||||||
6.400%, 09/15/2033 | 7,435 | 8,300 | ||||||
6.400%, 02/15/2038 | 560 | 624 | ||||||
6.250%, 04/01/2037 | 760 | 828 | ||||||
4.750%, 11/01/2041 | 5,095 | 4,632 | ||||||
3.850%, 11/01/2042 | 1,610 | 1,288 | ||||||
Vodafone Group | ||||||||
4.375%, 02/19/2043 | 11,615 | 9,902 | ||||||
|
| |||||||
146,719 | ||||||||
|
| |||||||
Utilities — 7.4% | ||||||||
AGL Capital | ||||||||
5.875%, 03/15/2041 | 2,593 | 2,899 | ||||||
Arizona Public Services | ||||||||
8.000%, 12/30/2015 | 71 | 74 | ||||||
Baltimore Gas & Electric | ||||||||
5.200%, 06/15/2033 | 2,815 | 2,828 | ||||||
Boston Gas | ||||||||
4.487%, 02/15/2042 (A) | 2,147 | 2,056 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Bruce Mansfield Unit | ||||||||
6.850%, 06/01/2034 | $ | 1,602 | $ | 1,668 | ||||
CenterPoint Energy Resources | ||||||||
6.250%, 02/01/2037 | 3,791 | 4,245 | ||||||
Centrica | ||||||||
5.375%, 10/16/2043 (A) | 2,930 | 2,904 | ||||||
Cleco Power | ||||||||
6.000%, 12/01/2040 | 1,105 | 1,222 | ||||||
Consolidated Edison of New York | ||||||||
6.750%, 04/01/2038 | 1,725 | 2,192 | ||||||
6.300%, 08/15/2037 | 1,440 | 1,752 | ||||||
Coso Geothermal Power Holdings | ||||||||
7.000%, 07/15/2026 (A) | 1,931 | 1,178 | ||||||
Dominion Resources | ||||||||
5.250%, 08/01/2033 | 6,405 | 6,843 | ||||||
4.900%, 08/01/2041 | 4,973 | 4,868 | ||||||
DTE Electric | ||||||||
4.000%, 04/01/2043 | 5,024 | 4,532 | ||||||
Duke Energy Carolinas | ||||||||
6.100%, 06/01/2037 | 3,090 | 3,575 | ||||||
5.300%, 02/15/2040 | 7,895 | 8,652 | ||||||
4.000%, 09/30/2042 | 2,110 | 1,905 | ||||||
3.050%, 08/15/2022 | 1,420 | 1,363 | ||||||
Duke Energy Florida | ||||||||
6.400%, 06/15/2038 | 510 | 638 | ||||||
6.350%, 09/15/2037 | 1,000 | 1,239 | ||||||
Duke Energy Indiana | ||||||||
6.350%, 08/15/2038 | 1,430 | 1,774 | ||||||
4.900%, 07/15/2043 | 1,960 | 2,038 | ||||||
Duquesne Light Holdings | ||||||||
6.250%, 08/15/2035 | 3,125 | 3,292 | ||||||
5.900%, 12/01/2021 (A) | 750 | 834 | ||||||
Elm Road Generating Station Supercritical | ||||||||
5.848%, 01/19/2041 (A) | 2,007 | 2,140 | ||||||
Entergy Louisiana | ||||||||
6.300%, 09/01/2035 | 300 | 300 | ||||||
4.440%, 01/15/2026 | 3,210 | 3,267 | ||||||
Entergy Texas | ||||||||
7.125%, 02/01/2019 | 1,435 | 1,711 | ||||||
Exelon | ||||||||
5.625%, 06/15/2035 | 1,250 | 1,241 | ||||||
Exelon Generation | ||||||||
6.250%, 10/01/2039 | 200 | 201 | ||||||
5.750%, 10/01/2041 | 4,931 | 4,744 | ||||||
5.600%, 06/15/2042 | 7,550 | 7,079 | ||||||
FirstEnergy, Ser C | ||||||||
7.375%, 11/15/2031 | 5,705 | 6,034 | ||||||
Florida Power & Light | ||||||||
5.960%, 04/01/2039 | 2,955 | 3,546 | ||||||
5.690%, 03/01/2040 | 5,000 | 5,832 | ||||||
5.400%, 09/01/2035 | 3,200 | 3,567 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 155 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Georgia Power | ||||||||
5.950%, 02/01/2039 | $ | 3,850 | $ | 4,333 | ||||
5.400%, 06/01/2040 | 7,610 | 7,994 | ||||||
4.300%, 03/15/2042 | 1,905 | 1,722 | ||||||
4.300%, 03/15/2043 | 2,075 | 1,873 | ||||||
Iberdrola Finance Ireland | ||||||||
5.000%, 09/11/2019 (A) | 2,200 | 2,387 | ||||||
Indianapolis Power & Light | ||||||||
6.050%, 10/01/2036 (A) | 1,291 | 1,462 | ||||||
4.875%, 11/01/2041 (A) | 2,130 | 2,071 | ||||||
ITC Holdings | ||||||||
5.300%, 07/01/2043 | 1,795 | 1,765 | ||||||
John Sevier Combined Cycle Generation | ||||||||
4.626%, 01/15/2042 | 3,955 | 3,923 | ||||||
KCP&L Greater Missouri Operations | ||||||||
8.270%, 11/15/2021 | 2,600 | 3,163 | ||||||
Kentucky Utilities | ||||||||
5.125%, 11/01/2040 | 2,025 | 2,168 | ||||||
KeySpan Gas East | ||||||||
5.819%, 04/01/2041 (A) | 5,985 | 6,796 | ||||||
Metropolitan Edison | ||||||||
7.700%, 01/15/2019 | 350 | 427 | ||||||
MidAmerican Energy | ||||||||
6.750%, 12/30/2031 | 750 | 934 | ||||||
5.800%, 10/15/2036 | 840 | 961 | ||||||
4.800%, 09/15/2043 | 1,725 | 1,738 | ||||||
MidAmerican Energy Holdings | ||||||||
6.500%, 09/15/2037 | 3,860 | 4,533 | ||||||
6.125%, 04/01/2036 | 5,403 | 6,111 | ||||||
5.150%, 11/15/2043 (A) | 2,250 | 2,264 | ||||||
MidAmerican Funding | ||||||||
6.927%, 03/01/2029 | 170 | 208 | ||||||
Monongahela Power | ||||||||
4.100%, 04/15/2024 (A) | 2,970 | 2,970 | ||||||
NextEra Energy Capital Holdings | ||||||||
6.000%, 03/01/2019 | 2,470 | 2,848 | ||||||
Niagara Mohawk Power | ||||||||
4.119%, 11/28/2042 (A) | 2,000 | 1,742 | ||||||
2.721%, 11/28/2022 (A) | 700 | 646 | ||||||
Nisource Finance | ||||||||
5.950%, 06/15/2041 | 545 | 572 | ||||||
4.800%, 02/15/2044 | 1,705 | 1,523 | ||||||
Northeast Utilities | ||||||||
2.800%, 05/01/2023 | 2,120 | 1,950 | ||||||
Northern States Power | ||||||||
5.350%, 11/01/2039 | 2,695 | 2,976 | ||||||
3.400%, 08/15/2042 | 1,015 | 830 | ||||||
Oncor Electric Delivery | ||||||||
7.500%, 09/01/2038 | 600 | 770 | ||||||
5.300%, 06/01/2042 | 12,190 | 12,815 | ||||||
5.250%, 09/30/2040 | 2,165 | 2,199 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.550%, 12/01/2041 | $ | 1,880 | $ | 1,791 | ||||
4.100%, 06/01/2022 | 2,380 | 2,433 | ||||||
Pacific Gas & Electric | ||||||||
6.350%, 02/15/2038 | 1,000 | 1,167 | ||||||
6.250%, 03/01/2039 | 1,910 | 2,201 | ||||||
6.050%, 03/01/2034 | 3,675 | 4,156 | ||||||
5.800%, 03/01/2037 | 2,226 | 2,433 | ||||||
4.600%, 06/15/2043 | 2,015 | 1,888 | ||||||
4.500%, 12/15/2041 | 1,660 | 1,528 | ||||||
PacifiCorp | ||||||||
6.000%, 01/15/2039 | 1,130 | 1,334 | ||||||
5.750%, 04/01/2037 | 2,972 | 3,396 | ||||||
Pennsylvania Electric | ||||||||
6.150%, 10/01/2038 | 6,420 | 6,755 | ||||||
Public Service Electric & Gas MTN | ||||||||
3.650%, 09/01/2042 | 2,830 | 2,419 | ||||||
Public Service of Colorado | ||||||||
6.500%, 08/01/2038 | 725 | 909 | ||||||
6.250%, 09/01/2037 | 1,620 | 2,017 | ||||||
4.750%, 08/15/2041 | 2,400 | 2,451 | ||||||
Puget Sound Energy | ||||||||
5.795%, 03/15/2040 | 450 | 515 | ||||||
San Diego Gas & Electric | ||||||||
4.300%, 04/01/2042 | 1,375 | 1,329 | ||||||
Sempra Energy | ||||||||
6.000%, 10/15/2039 | 3,565 | 3,972 | ||||||
South Carolina Electric & Gas | ||||||||
6.050%, 01/15/2038 | 400 | 467 | ||||||
Southaven Combined Cycle Generation | ||||||||
3.846%, 08/15/2033 | 2,750 | 2,794 | ||||||
Southern California Edison | ||||||||
6.050%, 03/15/2039 | 4,355 | 5,210 | ||||||
4.650%, 10/01/2043 | 9,475 | 9,502 | ||||||
Southern California Gas | ||||||||
3.750%, 09/15/2042 | 1,365 | 1,208 | ||||||
Southwestern Electric Power | ||||||||
6.200%, 03/15/2040 | 3,335 | 3,676 | ||||||
Texas-New Mexico Power | ||||||||
6.950%, 04/01/2043 (A) | 1,082 | 1,363 | ||||||
Union Electric | ||||||||
8.450%, 03/15/2039 | 2,405 | 3,676 | ||||||
Virginia Electric and Power | ||||||||
4.650%, 08/15/2043 | 2,250 | 2,249 | ||||||
Xcel Energy | ||||||||
4.800%, 09/15/2041 | 1 | 1 | ||||||
|
| |||||||
265,747 | ||||||||
|
| |||||||
Total Corporate Obligations |
| 1,890,839 | ||||||
|
|
156 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MUNICIPAL BONDS — 6.0% |
| |||||||
Bay Area, Toll Authority, Build America Project, RB | ||||||||
6.263%, 04/01/2049 | $ | 2,550 | $ | 3,155 | ||||
City of Gainesville, Build America Project, RB | ||||||||
6.024%, 10/01/2040 | 3,650 | 4,054 | ||||||
City of Houston, Ser A, GO | ||||||||
6.290%, 03/01/2032 | 3,935 | 4,530 | ||||||
City of Houston, Utility System Revenue, Ser A, RB Callable 05/15/19 @ 100 | ||||||||
5.250%, 11/15/2033 | 320 | 341 | ||||||
City of New York, Build America Project, GO Callable 12/01/20 @ 100 | ||||||||
6.646%, 12/01/2031 | 2,200 | 2,451 | ||||||
5.817%, 10/01/2031 | 2,950 | 3,082 | ||||||
City of New York, Build America Project, GO | ||||||||
5.517%, 10/01/2037 | 3,950 | 4,198 | ||||||
City of Sacramento, RB | ||||||||
6.156%, 05/15/2036 | 100 | 109 | ||||||
City of San Francisco, Public Utilities Commission Water Revenue, Ser DE, RB | ||||||||
6.000%, 11/01/2040 | 3,705 | 4,327 | ||||||
Commonwealth of Massachusetts, Build America Project, GO | ||||||||
4.910%, 05/01/2029 | 1,310 | 1,396 | ||||||
Commonwealth of Massachusetts, Build America Project, RB | ||||||||
5.731%, 06/01/2040 | 1,160 | 1,345 | ||||||
Commonwealth of Pennsylvania, Build America Project, Ser B, GO | ||||||||
5.450%, 02/15/2030 | 4,535 | 4,965 | ||||||
Dallas, Convention Center Hotel Development, Build America Project, RB | ||||||||
7.088%, 01/01/2042 | 600 | 694 | ||||||
Dallas, Independent School District, Build America Project, GO, PSF-GTD Callable 02/15/21 @ 100 | ||||||||
6.450%, 02/15/2035 | 3,415 | 3,847 | ||||||
Florida State, Department of Transportation, Build America Project, RB | ||||||||
6.800%, 07/01/2039 | 580 | 631 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Grand Parkway Transportation, | ||||||||
5.184%, 10/01/2042 | $ | 7,045 | $ | 7,306 | ||||
Illinois, Finance Authority, Build America Project, RB | ||||||||
4.000%, 06/01/2047 | 1,835 | 1,462 | ||||||
Indianapolis, Local Public Improvement Bond Bank, Build America Project, RB | ||||||||
6.116%, 01/15/2040 | 4,860 | 5,733 | ||||||
Las Vegas, Valley Water District, GO | ||||||||
7.013%, 06/01/2039 | 390 | 425 | ||||||
Los Angeles, Community College District, Build America Project, GO | ||||||||
6.750%, 08/01/2049 | 1,990 | 2,575 | ||||||
Los Angeles, Community College District, Ser D, GO | ||||||||
6.680%, 08/01/2036 | 2,965 | 3,591 | ||||||
Los Angeles, Department of Water & Power, Build America Project, RB | ||||||||
6.574%, 07/01/2045 | 1,225 | 1,547 | ||||||
6.008%, 07/01/2039 | 5,000 | 5,675 | ||||||
Los Angeles, Unified School District, Build America Project, GO | ||||||||
6.758%, 07/01/2034 | 3,080 | 3,872 | ||||||
Maryland State, Transportation Authority, Build America Project, RB | ||||||||
5.888%, 07/01/2043 | 320 | 367 | ||||||
Metropolitan New York, Transportation Authority, Build America Project, RB | ||||||||
6.814%, 11/15/2040 | 710 | 855 | ||||||
Michigan State University, Build America Project, | ||||||||
6.173%, 02/15/2050 | 3,300 | 3,500 | ||||||
Missouri, Joint Municipal Electric Utility Commission, Build America Project, RB | ||||||||
6.890%, 01/01/2042 | 600 | 677 | ||||||
Municipal Electric Authority of Georgia, Build America Project, RB | ||||||||
6.637%, 04/01/2057 | 3,431 | 3,700 | ||||||
New Jersey State, Turnpike Authority, Build America Project, RB | ||||||||
7.102%, 01/01/2041 | 650 | 849 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 157 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
New Jersey State, Turnpike Authority, Build America Project, RB | ||||||||
7.414%, 01/01/2040 | $ | 1,060 | $ | 1,431 | ||||
New York City, Municipal Water Finance Authority, Build America Project, RB | ||||||||
5.724%, 06/15/2042 | 1,320 | 1,513 | ||||||
5.440%, 06/15/2043 | 3,260 | 3,584 | ||||||
New York City, Municipal Water Finance Authority, Build America Project, RB | ||||||||
6.491%, 06/15/2042 | 6,630 | 7,242 | ||||||
New York City, Municipal Water Finance Authority, RB | ||||||||
5.375%, 06/15/2043 | 600 | 637 | ||||||
New York City, Municipal Water Finance Authority, Ser GG, RB | ||||||||
5.000%, 06/15/2043 | 710 | 730 | ||||||
New York City, Transitional Finance Authority, Build America Project, RB | ||||||||
5.572%, 11/01/2038 | 2,195 | 2,458 | ||||||
New York City, Transitional Finance Authority, Future Tax Secured Revenue, RB | ||||||||
5.767%, 08/01/2036 | 4,150 | 4,784 | ||||||
5.508%, 08/01/2037 | 580 | 641 | ||||||
New York State, Dormitory Authority, Build America Project, RB | ||||||||
5.500%, 03/15/2030 | 3,295 | 3,673 | ||||||
5.289%, 03/15/2033 | 1,550 | 1,689 | ||||||
North Texas, Tollway Authority, Build America Project, RB | ||||||||
6.718%, 01/01/2049 | 7,207 | 8,720 | ||||||
Ohio State University, Build America Project, RB | ||||||||
4.910%, 06/01/2040 | 3,185 | 3,350 | ||||||
Ohio State University, Build America Project, | ||||||||
4.800%, 06/01/2111 | 115 | 101 | ||||||
Ohio State, Water Development Authority, RB | ||||||||
4.879%, 12/01/2034 | 3,925 | 4,082 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Port Authority of New York & New Jersey, Build America Project, RB | ||||||||
4.926%, 10/01/2051 | $ | 725 | $ | 708 | ||||
Port Authority of New York & New Jersey, RB | ||||||||
4.458%, 10/01/2062 | 4,820 | 4,261 | ||||||
San Diego County, Water Authority, Build America Project, RB | ||||||||
6.138%, 05/01/2049 | 5,060 | 5,979 | ||||||
Santa Clara Valley, Transportation Authority, Build America Project, RB | ||||||||
5.876%, 04/01/2032 | 2,580 | 2,854 | ||||||
State of California, Build America Project, GO | ||||||||
7.625%, 03/01/2040 | 2,600 | 3,507 | ||||||
7.600%, 11/01/2040 | 580 | 790 | ||||||
7.550%, 04/01/2039 | 6,405 | 8,604 | ||||||
7.500%, 04/01/2034 | 2,875 | 3,743 | ||||||
7.350%, 11/01/2039 | 4,010 | 5,227 | ||||||
7.300%, 10/01/2039 | 2,700 | 3,498 | ||||||
State of Illinois, Build America Project, GO | ||||||||
7.350%, 07/01/2035 | 745 | 811 | ||||||
6.725%, 04/01/2035 | 380 | 395 | ||||||
6.630%, 02/01/2035 | 3,475 | 3,577 | ||||||
State of Illinois, GO | ||||||||
5.100%, 06/01/2033 | 10,690 | 9,756 | ||||||
State of New York, Build America Project, RB | ||||||||
5.770%, 03/15/2039 | 6,195 | 7,018 | ||||||
State of Texas, Build America Project, GO | ||||||||
5.517%, 04/01/2039 | 2,090 | 2,401 | ||||||
State of Texas, Transportation Communication Authority, Build America Project, Ser B, RB | ||||||||
5.178%, 04/01/2030 | 6,505 | 7,072 | ||||||
State of Washington, Build America Project, Ser D, GO | ||||||||
5.481%, 08/01/2039 | 1,640 | 1,785 | ||||||
Triborough Bridge & Tunnel Authority, Build America Project, RB | ||||||||
5.450%, 11/15/2032 | 3,300 | 3,480 | ||||||
University of California, Build America Project, Ser AD, RB | ||||||||
4.858%, 05/15/2112 | 13,775 | 12,197 | ||||||
University of California, Build America Project, Ser H, RB | ||||||||
6.548%, 05/15/2048 | 1,600 | 1,884 |
158 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
University of Texas Permanent University Fund, Build America Project, RB | ||||||||
5.262%, 07/01/2039 | $ | 1,505 | $ | 1,602 | ||||
|
| |||||||
Total Municipal Bonds (Cost $207,838) ($ Thousands) | 217,043 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 3.4% |
| |||||||
FFCB | ||||||||
5.750%, 05/11/2026 | 6,525 | 7,825 | ||||||
FHLB | ||||||||
5.625%, 06/11/2021 | 960 | 1,152 | ||||||
FHLMC | ||||||||
6.750%, 03/15/2031 | 3,930 | 5,287 | ||||||
6.250%, 07/15/2032 | 6,735 | 8,702 | ||||||
3.511%, 12/17/2029 (D) | 8,300 | 4,127 | ||||||
FICO STRIPS, PO | ||||||||
2.044%, 04/05/2019 (D) | 1,500 | 1,351 | ||||||
0.000%, 12/27/2018 to 09/26/2019 (D) | 16,575 | 14,777 | ||||||
FNMA | ||||||||
7.250%, 05/15/2030 | 2,785 | 3,898 | ||||||
Residual Funding Corp. STRIPS | ||||||||
3.461%, 04/15/2030 (D) | 14,210 | 7,359 | ||||||
1.762%, 07/15/2020 (D) | 1,706 | 1,451 | ||||||
Tennessee Valley Authority | ||||||||
7.125%, 05/01/2030 | 11,165 | 14,912 | ||||||
5.880%, 04/01/2036 | 13,625 | 16,065 | ||||||
5.500%, 06/15/2038 | 465 | 522 | ||||||
5.375%, 04/01/2056 | 12,593 | 13,284 | ||||||
5.250%, 09/15/2039 | 8,280 | 8,970 | ||||||
4.875%, 01/15/2048 | 635 | 621 | ||||||
4.625%, 09/15/2060 | 7,645 | 6,989 | ||||||
3.500%, 12/15/2042 | 5,480 | 4,400 | ||||||
Tennessee Valley Authority | ||||||||
0.000%, 01/15/2038 | 3,700 | 1,110 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations (Cost $133,856) ($ Thousands) | 122,802 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 1.5% |
| |||||||
Agency Mortgage-Backed Obligations — 1.0% |
| |||||||
FHLMC CMO, Ser 2004-2733, Cl ME | ||||||||
5.000%, 01/15/2034 | 366 | 396 | ||||||
FHLMC CMO, Ser 2004-2748, Cl ZT | ||||||||
5.500%, 02/15/2024 | 644 | 687 | ||||||
FHLMC CMO, Ser 2010-3756, Cl PZ | ||||||||
4.000%, 11/15/2040 | 5,636 | 5,364 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FHLMC CMO, Ser 2013-4150, Cl JZ | ||||||||
3.000%, 01/15/2043 | $ | 2,871 | $ | 2,305 | ||||
FHLMC CMO, Ser 3770, Cl ZB | ||||||||
5.000%, 12/15/2040 | 3,365 | 3,496 | ||||||
FNMA | ||||||||
3.841%, 09/01/2020 | 3,816 | 4,087 | ||||||
3.762%, 12/01/2020 | 3,881 | 4,156 | ||||||
3.665%, 10/01/2020 | 3,881 | 4,119 | ||||||
3.583%, 09/01/2020 | 1,966 | 2,078 | ||||||
FNMA CMO, Ser 2004-12, | ||||||||
6.000%, 03/25/2034 | 860 | 1,010 | ||||||
FNMA CMO, Ser 2004-80, | ||||||||
5.000%, 11/25/2034 | 487 | 482 | ||||||
FNMA CMO, Ser 2007-68, | ||||||||
6.534%, 07/25/2037 (B) | 123 | 18 | ||||||
GNMA ARM | ||||||||
1.625%, 06/20/2032 (B) | 119 | 124 | ||||||
GNMA CMO, Ser 2004-93, | ||||||||
5.000%, 04/16/2034 | 210 | 222 | ||||||
GNMA CMO, Ser 2009-8, | ||||||||
6.133%, 08/16/2038 (B) | 257 | 39 | ||||||
GNMA CMO, Ser 2010-4, | ||||||||
6.223%, 01/16/2040 (B) | 274 | 41 | ||||||
GNMA CMO, Ser 2011-70, | ||||||||
0.000%, 05/20/2041 | 10,425 | 8,211 | ||||||
|
| |||||||
36,835 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 0.5% |
| |||||||
Bayview Commercial Asset Trust, | ||||||||
0.600%, 08/25/2034 (A) (B) | 1,837 | 1,681 | ||||||
Bayview Commercial Asset Trust, | ||||||||
0.410%, 07/25/2037 (A) (B) | 1,507 | 1,189 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
1.248%, 08/25/2035 (B) | 22 | 14 | ||||||
Countrywide Home Loans, | ||||||||
0.490%, 03/25/2035 (B) | 157 | 115 | ||||||
DSLA Mortgage Loan Trust, | ||||||||
0.378%, 03/19/2045 (B) | 221 | 196 | ||||||
GS Mortgage Securities II, | ||||||||
3.707%, 08/10/2044 | 4,540 | 4,694 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 159 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Harborview Mortgage | ||||||||
0.568%, 11/19/2034 (B) | $ | 284 | $ | 245 | ||||
Harborview Mortgage Loan Trust, Ser 2005-11, | ||||||||
0.478%, 08/19/2045 (B) | 410 | 363 | ||||||
Indymac Index Mortgage Loan Trust, Ser 2004-AR12, | ||||||||
0.950%, 12/25/2034 (B) | 138 | 101 | ||||||
Indymac Index Mortgage Loan Trust, Ser 2004-AR5, Cl 2A1B | ||||||||
0.970%, 08/25/2034 (B) | 77 | 66 | ||||||
Indymac Index Mortgage Loan Trust, Ser 2004-AR6, Cl 6A1 | ||||||||
2.741%, 10/25/2034 (B) | 105 | 103 | ||||||
Indymac Index Mortgage Loan Trust, Ser 2004-AR7, Cl A2 | ||||||||
1.026%, 09/25/2034 (B) | 32 | 27 | ||||||
Indymac Index Mortgage Loan Trust, Ser 2005-AR18, | ||||||||
0.480%, 10/25/2036 (B) | 17 | 13 | ||||||
Morgan Stanley Capital I, | ||||||||
4.118%, 07/15/2049 | 4,410 | 4,663 | ||||||
RAMP Trust, | ||||||||
7.000%, 11/25/2031 | 38 | 40 | ||||||
Residential Asset Mortgage Products, | ||||||||
6.500%, 12/25/2031 | 51 | 52 | ||||||
Residential Asset Securitization Trust, | ||||||||
2.553%, 12/25/2034 (B) | 79 | 80 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
0.500%, 01/25/2045 (B) | 196 | 181 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.642%, 04/25/2036 (B) | 214 | 211 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WFRBS Commercial Mortgage Trust, | ||||||||
3.667%, 11/15/2044 | $ | 3,590 | $ | 3,694 | ||||
|
| |||||||
17,728 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities |
| 54,563 | ||||||
|
| |||||||
SOVEREIGN DEBT — 0.9% |
| |||||||
Banco Nacional de Desenvolvimento Economico e Social | ||||||||
5.500%, 07/12/2020 (A) | 1,300 | 1,321 | ||||||
Federal Republic of Brazil | ||||||||
5.625%, 01/07/2041 | 6,585 | 6,322 | ||||||
4.250%, 01/07/2025 | 3,280 | 3,083 | ||||||
International Bank for Reconstruction & Development MTN | ||||||||
3.541%, 10/31/2030 (D) | 5,850 | 2,705 | ||||||
Israel Government AID Bond | ||||||||
5.500%, 09/18/2033 | 1,400 | 1,656 | ||||||
2.885%, 08/15/2026 | 2,585 | 1,570 | ||||||
2.601%, 05/15/2024 | 1,545 | 1,064 | ||||||
Province of Quebec Canada MTN | ||||||||
6.350%, 01/30/2026 | 2,880 | 3,556 | ||||||
Republic of Colombia | ||||||||
4.000%, 02/26/2024 | 840 | 811 | ||||||
Republic of Panama | ||||||||
4.300%, 04/29/2053 | 915 | 689 | ||||||
Republic of Turkey | ||||||||
4.875%, 04/16/2043 | 1,855 | 1,486 | ||||||
United Mexican States MTN | ||||||||
6.050%, 01/11/2040 | 400 | 427 | ||||||
5.950%, 03/19/2019 | 1,300 | 1,505 | ||||||
5.750%, 10/12/2110 | 574 | 518 | ||||||
4.750%, 03/08/2044 | 5,390 | 4,732 | ||||||
4.000%, 10/02/2023 | 1,330 | 1,318 | ||||||
|
| |||||||
Total Sovereign Debt | 32,763 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 0.5% |
| |||||||
Mortgage Related Securities — 0.1% |
| |||||||
Bear Stearns Asset-Backed Securities Trust, | ||||||||
0.386%, 12/25/2035 (B) | 7 | 7 |
160 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
0.330%, 09/25/2036 (B) | $ | 3,635 | $ | 1,759 | ||||
Conseco Financial, | ||||||||
6.240%, 12/01/2028 (B) | 87 | 89 | ||||||
Oakwood Mortgage Investors, | ||||||||
6.350%, 03/15/2017 | 7 | 7 | ||||||
|
| |||||||
1,862 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 0.4% |
| |||||||
Beacon Container Finance, | ||||||||
3.720%, 09/20/2027 (A) | 1,993 | 2,019 | ||||||
CAL Funding II, | ||||||||
3.470%, 10/25/2027 (A) | 2,898 | 2,892 | ||||||
Citicorp Residential Mortgage Securities, | ||||||||
6.046%, 03/25/2037 | 180 | 166 | ||||||
Cronos Containers Program, | ||||||||
4.210%, 05/18/2027 (A) | 2,019 | 2,040 | ||||||
Cronos Containers Program, | ||||||||
3.810%, 09/18/2027 (A) | 883 | 894 | ||||||
JGWPT XXX LLC, | ||||||||
4.080%, 01/17/2073 (A) | 1,589 | 1,577 | ||||||
TAL Advantage, | ||||||||
4.600%, 01/20/2026 (A) | 394 | 398 | ||||||
Trip Rail Master Funding, | ||||||||
4.370%, 07/15/2041 (A) | 1,948 | 2,066 | ||||||
Triton Container Finance, | ||||||||
0.310%, 02/26/2019 (A) (B) | 547 | 542 | ||||||
Triton Container Finance, | ||||||||
4.210%, 05/14/2027 (A) | 2,720 | 2,749 | ||||||
|
| |||||||
15,343 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 17,205 | |||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 32.5% |
| |||||||
U.S. Treasury Bills (D) (E) | ||||||||
0.037%, 12/05/2013 | $ | 1,882 | $ | 1,882 | ||||
U.S. Treasury Bonds | ||||||||
6.250%, 05/15/2030 | 17,130 | 23,396 | ||||||
6.125%, 08/15/2029 | 44,649 | 59,969 | ||||||
5.500%, 08/15/2028 | 2,580 | 3,251 | ||||||
5.375%, 02/15/2031 | 77,929 | 97,776 | ||||||
5.250%, 11/15/2028 | 2,650 | 3,263 | ||||||
5.250%, 02/15/2029 | 13,035 | 16,043 | ||||||
4.500%, 02/15/2036 | 14,463 | 16,438 | ||||||
4.500%, 05/15/2038 | 7,000 | 7,943 | ||||||
4.375%, 02/15/2038 | 7,350 | 8,187 | ||||||
4.250%, 05/15/2039 | 5,400 | 5,895 | ||||||
4.250%, 11/15/2040 | 8,820 | 9,607 | ||||||
3.875%, 08/15/2040 | 29,835 | 30,544 | ||||||
3.750%, 08/15/2041 | 4,430 | 4,421 | ||||||
3.750%, 11/15/2043 | 237,195 | 234,712 | ||||||
3.625%, 08/15/2043 | 70,355 | 68,018 | ||||||
3.500%, 02/15/2039 | 8,000 | 7,714 | ||||||
3.125%, 11/15/2041 | 33,650 | 29,764 | ||||||
3.125%, 02/15/2042 | 43,385 | 38,301 | ||||||
3.125%, 02/15/2043 | 47,291 | 41,476 | ||||||
3.000%, 05/15/2042 | 21,920 | 18,831 | ||||||
2.875%, 05/15/2043 | 238,095 | 197,619 | ||||||
2.750%, 08/15/2042 | 82,000 | 66,574 | ||||||
2.750%, 11/15/2042 | 117,081 | 94,836 | ||||||
U.S. Treasury Inflation-Protected Securities | ||||||||
2.125%, 02/15/2041 | 10,853 | 12,456 | ||||||
2.000%, 07/15/2014 | 2,031 | 2,070 | ||||||
1.250%, 04/15/2014 | 498 | 499 | ||||||
U.S. Treasury Notes | ||||||||
2.750%, 11/15/2023 | 10,950 | 10,958 | ||||||
2.500%, 08/15/2023 | 23,180 | 22,748 | ||||||
2.125%, 08/15/2021 | 3,453 | 3,418 | ||||||
1.750%, 05/15/2023 | 7,630 | 7,028 | ||||||
1.375%, 09/30/2018 | 5,460 | 5,477 | ||||||
U.S. Treasury STRIPS (D) | ||||||||
3.288%, 05/15/2039 | 500 | 183 | ||||||
3.046%, 05/15/2030 | 26,900 | 14,710 | ||||||
2.689%, 11/15/2027 | 8,300 | 5,103 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 1,171,110 | ||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 161 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Fund (Continued)
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
CASH EQUIVALENT — 5.5% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.010%* † | 198,485,911 | $ | 198,486 | |||||
|
| |||||||
Total Cash Equivalent |
| 198,486 | ||||||
|
| |||||||
Total Investments — 102.8% |
| $ | 3,704,811 | |||||
|
|
A list of the futures contracts held by the Fund at November 30, 2013, are as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
U.S. 10-Year Treasury Note | (332 | ) | Mar-2014 | $ | 87 | |||||||
U.S. 2-Year Treasury Note | (569 | ) | Apr-2014 | (46 | ) | |||||||
U.S. 5-Year Treasury Note | (997 | ) | Apr-2014 | (183 | ) | |||||||
U.S. Long Treasury Bond | 361 | Mar-2014 | 288 | |||||||||
U.S. Ultra Long Treasury Bond | 607 | Mar-2014 | 46 | |||||||||
|
| |||||||||||
$ | 192 | |||||||||||
|
|
For the period ended November 30, 2013, 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 OTC swap agreements held by the Fund at November 30, 2013, 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) | ||||||||||||||
JPMorgan Chase Bank | Goldman Sachs Group, Inc. | BUY | 1.00 | % | 09/20/16 | $ | 5,000 | $ | (270 | ) | ||||||||||
|
|
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount ($ Thousands) | Net Unrealized Appreciation ($ Thousands) | |||||||||
Barclays Bank PLC | 2.48% | 3 Month LIBOR | 11/15/27 | $ | 2,605 | $ | 173 | |||||||
Barclays Bank PLC | 2.42% | 3 Month LIBOR | 11/15/27 | 2,630 | 197 | |||||||||
Citigroup | 2.71% | 3-Month LIBOR | 08/15/42 | 5,255 | 967 | |||||||||
|
| |||||||||||||
$ | 1,337 | |||||||||||||
|
|
A list of the open centrally cleared swap agreements held by the Fund at November 30, 2013, is as follows:
Interest Rate Swaps | ||||||||||||||
Broker | Fund Pays | Fund Receives | Termination Date | Notional Amount ($ Thousands) | Net Unrealized Appreciation ($ Thousands) | |||||||||
Citigroup | 3.68% | 3-Month LIBOR | 11/15/43 | $ | 3,570 | $ | 45 | |||||||
|
|
For the period ended November 30, 2013, 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 $3,603,125 ($ Thousands).
* | The rate reported is the 7-day effective yield as of November 30, 2013. |
† | Investment in Affiliated Security (see Note 6). |
‡ | 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, 2013. The date reported on the Schedule of Investments is the next reset date. |
(C) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on November 30, 2013. The coupon on a step bond changes on a specified date. |
(D) | The rate reported is the effective yield at time of purchase. |
(E) | Security or portion thereof, has been pledged as collateral on open futures contracts. |
AID — Agency for International Development
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
LIBOR — London Interbank Offered Rate
LLC — Limited Liability Company
MTN — Medium Term Note
OTC — Over the Counter
PLC — Public Limited Company
PO — Principal Only
PSF-GTD — Public Schools Fund Guarantee
RB — Revenue Bond
Ser — Series
STRIPS — Separately Traded Registered Interest and Principal Securities
162 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
The following is a list of the level of inputs used as of November 30, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 1,890,839 | $ | — | $ | 1,890,839 | ||||||||
Municipal Bonds | — | 217,043 | — | 217,043 | ||||||||||||
U.S. Government Agency | ||||||||||||||||
Obligations | — | 122,802 | — | 122,802 | ||||||||||||
Mortgage-Backed Securities | — | 54,563 | — | 54,563 | ||||||||||||
Sovereign Debt | — | 32,763 | — | 32,763 | ||||||||||||
Asset-Backed Securities | — | 17,205 | — | 17,205 | ||||||||||||
U.S. Treasury Obligations | — | 1,171,110 | — | 1,171,110 | ||||||||||||
Cash Equivalent | 198,486 | — | — | 198,486 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 198,486 | $ | 3,506,325 | $ | — | $ | 3,704,811 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 421 | $ | — | $ | — | $ | 421 | ||||||||
Unrealized Depreciation | (229 | ) | — | — | (229 | ) | ||||||||||
OTC Swaps | ||||||||||||||||
Credit Default Swaps* | ||||||||||||||||
Unrealized Depreciation | — | (270 | ) | — | (270 | ) | ||||||||||
Interest Rate Swaps* | ||||||||||||||||
Unrealized Appreciation | — | 1,337 | — | 1,337 | ||||||||||||
Centrally Cleared Swaps | — | 45 | — | 45 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 192 | $ | 1,112 | $ | — | $ | 1,304 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts and swaps are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended November 30, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2013, 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 $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 163 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Corporate Bond Fund
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 92.5% |
| |||||||
Consumer Discretionary — 10.4% |
| |||||||
21st Century Fox America | ||||||||
8.150%, 10/17/2036 | $ | 1,281 | $ | 1,638 | ||||
7.430%, 10/01/2026 | 1,450 | 1,774 | ||||||
7.125%, 04/08/2028 | 400 | 477 | ||||||
6.900%, 08/15/2039 | 1,500 | 1,768 | ||||||
6.750%, 01/09/2038 | 3,825 | 4,314 | ||||||
6.550%, 03/15/2033 | 1,355 | 1,535 | ||||||
6.400%, 12/15/2035 | 2,000 | 2,244 | ||||||
6.150%, 02/15/2041 | 1,900 | 2,101 | ||||||
5.400%, 10/01/2043 (A) | 5,660 | 5,717 | ||||||
AutoZone | ||||||||
3.125%, 07/15/2023 | 1,165 | 1,076 | ||||||
Carnival | ||||||||
3.950%, 10/15/2020 | 2,155 | 2,167 | ||||||
Comcast | ||||||||
7.050%, 03/15/2033 | 970 | 1,182 | ||||||
6.950%, 08/15/2037 | 4,215 | 5,155 | ||||||
6.550%, 07/01/2039 | 2,515 | 2,967 | ||||||
6.500%, 11/15/2035 | 500 | 576 | ||||||
6.450%, 03/15/2037 | 5,595 | 6,472 | ||||||
6.400%, 05/15/2038 | 7,910 | 9,104 | ||||||
4.650%, 07/15/2042 | 6,875 | 6,322 | ||||||
4.250%, 01/15/2033 | 2,385 | 2,207 | ||||||
2.850%, 01/15/2023 | 2,950 | 2,766 | ||||||
Comcast Cable Communications Holdings | ||||||||
9.455%, 11/15/2022 | 620 | 867 | ||||||
COX Communications | ||||||||
6.950%, 06/01/2038 (A) | 700 | 737 | ||||||
5.450%, 12/15/2014 | 8 | 8 | ||||||
4.700%, 12/15/2042 (A) | 4,400 | 3,691 | ||||||
4.500%, 06/30/2043 (A) | 220 | 179 | ||||||
3.250%, 12/15/2022 (A) | 2,531 | 2,318 | ||||||
CVS Caremark | ||||||||
6.250%, 06/01/2027 | 2,400 | 2,829 | ||||||
6.125%, 09/15/2039 | 3,690 | 4,193 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.750%, 05/15/2041 | $ | 3,340 | $ | 3,626 | ||||
CVS Pass-Through Trust | ||||||||
8.353%, 07/10/2031 (A) | 4,398 | 5,630 | ||||||
DIRECTV Holdings | ||||||||
6.375%, 03/01/2041 | 4,265 | 4,327 | ||||||
6.350%, 03/15/2040 | 1,331 | 1,355 | ||||||
5.150%, 03/15/2042 | 5,825 | 5,138 | ||||||
Discovery Communications | ||||||||
4.950%, 05/15/2042 | 1,160 | 1,083 | ||||||
4.875%, 04/01/2043 | 2,970 | 2,770 | ||||||
Ford Motor | ||||||||
7.450%, 07/16/2031 | 2,120 | 2,587 | ||||||
7.400%, 11/01/2046 | 2,420 | 2,939 | ||||||
4.750%, 01/15/2043 | 570 | 510 | ||||||
Home Depot | ||||||||
4.875%, 02/15/2044 | 1,250 | 1,270 | ||||||
Lowe’s | ||||||||
7.110%, 05/15/2037 | 3,092 | 3,832 | ||||||
5.800%, 10/15/2036 | 1,090 | 1,209 | ||||||
5.125%, 11/15/2041 | 3,255 | 3,360 | ||||||
5.000%, 09/15/2043 | 1,050 | 1,068 | ||||||
Macy’s Retail Holdings | ||||||||
7.450%, 07/15/2017 | 40 | 48 | ||||||
McDonald’s MTN | ||||||||
6.300%, 03/01/2038 | 1,021 | 1,250 | ||||||
4.875%, 07/15/2040 | 710 | 733 | ||||||
3.700%, 02/15/2042 | 805 | 687 | ||||||
NBC Universal Media | ||||||||
5.950%, 04/01/2041 | 3,250 | 3,537 | ||||||
4.450%, 01/15/2043 | 450 | 403 | ||||||
4.375%, 04/01/2021 | 65 | 70 | ||||||
News America | ||||||||
6.650%, 11/15/2037 | 6,700 | 7,756 | ||||||
6.200%, 12/15/2034 | 3,994 | 4,402 | ||||||
QVC | ||||||||
4.375%, 03/15/2023 | 2,086 | 1,984 | ||||||
Target | ||||||||
7.000%, 01/15/2038 | 2,179 | 2,788 | ||||||
6.650%, 08/01/2028 | 355 | 426 | ||||||
TCI Communications | ||||||||
7.875%, 02/15/2026 | 970 | 1,275 | ||||||
Thomson Reuters | ||||||||
5.650%, 11/23/2043 | 2,315 | 2,321 | ||||||
5.500%, 08/15/2035 | 1,000 | 976 | ||||||
4.500%, 05/23/2043 | 290 | 245 | ||||||
Time Warner | ||||||||
7.700%, 05/01/2032 | 5,212 | 6,591 | ||||||
7.625%, 04/15/2031 | 8,240 | 10,265 | ||||||
6.250%, 03/29/2041 | 1,466 | 1,609 | ||||||
6.200%, 03/15/2040 | 500 | 542 | ||||||
6.100%, 07/15/2040 | 1,130 | 1,214 | ||||||
5.375%, 10/15/2041 | 12,775 | 12,706 | ||||||
Time Warner Cable | ||||||||
8.250%, 02/14/2014 | 75 | 76 |
164 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
7.300%, 07/01/2038 | $ | 100 | $ | 99 | ||||
6.550%, 05/01/2037 | 10 | 9 | ||||||
5.875%, 11/15/2040 | 5,750 | 4,890 | ||||||
5.500%, 09/01/2041 | 6,610 | 5,360 | ||||||
Time Warner Entertainment | ||||||||
8.375%, 07/15/2033 | 2,595 | 2,823 | ||||||
Viacom | ||||||||
5.850%, 09/01/2043 | 5,290 | 5,508 | ||||||
4.875%, 06/15/2043 | 590 | 537 | ||||||
4.375%, 03/15/2043 | 5,291 | 4,401 | ||||||
Wal-Mart Stores | ||||||||
7.550%, 02/15/2030 | 1,100 | 1,473 | ||||||
6.500%, 08/15/2037 | 5,519 | 6,872 | ||||||
5.625%, 04/01/2040 | 5,750 | 6,490 | ||||||
5.625%, 04/15/2041 | 3,505 | 3,959 | ||||||
5.250%, 09/01/2035 | 800 | 862 | ||||||
5.000%, 10/25/2040 | 13,420 | 13,901 | ||||||
4.750%, 10/02/2043 | 7,570 | 7,591 | ||||||
4.000%, 04/11/2043 | 2,150 | 1,908 | ||||||
Walt Disney MTN | ||||||||
4.125%, 12/01/2041 | 40 | 37 | ||||||
2.350%, 12/01/2022 | 1,055 | 965 | ||||||
Yum! Brands | ||||||||
6.875%, 11/15/2037 | 372 | 428 | ||||||
|
| |||||||
247,105 | ||||||||
|
| |||||||
Consumer Staples — 5.4% | ||||||||
Ahold Finance USA | ||||||||
6.875%, 05/01/2029 | 695 | 823 | ||||||
Altria Group | ||||||||
10.200%, 02/06/2039 | 1,026 | 1,598 | ||||||
9.950%, 11/10/2038 | 293 | 449 | ||||||
5.375%, 01/31/2044 | 5,895 | 5,861 | ||||||
4.250%, 08/09/2042 | 420 | 354 | ||||||
Anheuser-Busch | ||||||||
6.450%, 09/01/2037 | 2,300 | 2,830 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
8.200%, 01/15/2039 | 3,270 | 4,780 | ||||||
8.000%, 11/15/2039 | 610 | 878 | ||||||
6.375%, 01/15/2040 | 210 | 258 | ||||||
3.750%, 07/15/2042 | 9,423 | 8,099 | ||||||
Autopistas Metropolitanas de Puerto Rico | ||||||||
6.750%, 06/30/2025 (A) | 1,000 | 949 | ||||||
Bestfoods | ||||||||
7.250%, 12/15/2026 | 170 | 224 | ||||||
Bowdoin College | ||||||||
4.693%, 07/01/2112 | 5,275 | 4,274 | ||||||
Cargill | ||||||||
4.100%, 11/01/2042 (A) | 690 | 599 | ||||||
Coca-Cola Femsa | ||||||||
5.250%, 11/26/2043 | 2,950 | 2,958 | ||||||
ConAgra Foods | ||||||||
6.625%, 08/15/2039 | 3,600 | 4,147 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
4.650%, 01/25/2043 | $ | 3,886 | $ | 3,533 | ||||
Diageo Capital | ||||||||
5.875%, 09/30/2036 | 485 | 554 | ||||||
3.875%, 04/29/2043 | 5,130 | 4,428 | ||||||
Diageo Investment | ||||||||
4.250%, 05/11/2042 | 1,425 | 1,314 | ||||||
DP World MTN | ||||||||
6.850%, 07/02/2037 (A) | 1,000 | 997 | ||||||
Energizer Holdings | ||||||||
4.700%, 05/19/2021 | 455 | 467 | ||||||
Fomento Economico Mexicano | ||||||||
4.375%, 05/10/2043 | 1,980 | 1,662 | ||||||
General Mills | ||||||||
5.400%, 06/15/2040 | 505 | 543 | ||||||
4.150%, 02/15/2043 | 1,855 | 1,664 | ||||||
Heineken | ||||||||
4.000%, 10/01/2042 (A) | 1,420 | 1,202 | ||||||
Kellogg | ||||||||
3.125%, 05/17/2022 | 2,335 | 2,253 | ||||||
Kimberly-Clark | ||||||||
5.300%, 03/01/2041 | 555 | 612 | ||||||
Kraft Foods Group | ||||||||
5.000%, 06/04/2042 | 4,725 | 4,618 | ||||||
Kroger | ||||||||
5.000%, 04/15/2042 | 590 | 558 | ||||||
Lorillard Tobacco | ||||||||
7.000%, 08/04/2041 | 2,365 | 2,566 | ||||||
6.875%, 05/01/2020 | 1,500 | 1,747 | ||||||
Mondelez International | ||||||||
7.000%, 08/11/2037 | 1,135 | 1,374 | ||||||
6.875%, 02/01/2038 | 5,170 | 6,182 | ||||||
6.875%, 01/26/2039 | 1,485 | 1,791 | ||||||
6.500%, 02/09/2040 | 9,145 | 10,714 | ||||||
Northwestern University | ||||||||
4.643%, 12/01/2044 | 5,700 | 5,792 | ||||||
Pepsi Bottling Group | ||||||||
7.000%, 03/01/2029 | 380 | 481 | ||||||
PepsiCo | ||||||||
4.875%, 11/01/2040 | 1,130 | 1,131 | ||||||
4.000%, 03/05/2042 | 3,420 | 2,993 | ||||||
3.600%, 08/13/2042 | 3,340 | 2,745 | ||||||
3.000%, 08/25/2021 | 16 | 16 | ||||||
Pernod Ricard | ||||||||
5.500%, 01/15/2042 (A) | 1,150 | 1,183 | ||||||
Philip Morris International | ||||||||
6.375%, 05/16/2038 | 420 | 499 | ||||||
4.500%, 03/20/2042 | 7,205 | 6,816 | ||||||
4.125%, 03/04/2043 | 4,990 | 4,426 | ||||||
3.875%, 08/21/2042 | 1,730 | 1,458 | ||||||
3.600%, 11/15/2023 | 1,225 | 1,203 | ||||||
Reckitt Benckiser Treasury Services | ||||||||
3.625%, 09/21/2023 (A) | 1,190 | 1,188 | ||||||
SABMiller | ||||||||
5.700%, 01/15/2014 (A) | 15 | 15 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 165 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Corporate Bond Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SABMiller Holdings | ||||||||
4.950%, 01/15/2042 (A) | $ | 6,245 | $ | 6,281 | ||||
Tufts University | ||||||||
5.017%, 04/15/2112 | 2,314 | 2,126 | ||||||
Unilever Capital | ||||||||
5.900%, 11/15/2032 | 1,325 | 1,631 | ||||||
|
| |||||||
127,844 | ||||||||
|
| |||||||
Energy — 13.4% | ||||||||
Alta Wind Holdings | ||||||||
7.000%, 06/30/2035 (A) | 1,914 | 1,975 | ||||||
Anadarko Finance | ||||||||
7.500%, 05/01/2031 | 5,290 | 6,615 | ||||||
Anadarko Petroleum | ||||||||
6.450%, 09/15/2036 | 3,025 | 3,507 | ||||||
Apache | ||||||||
6.900%, 09/15/2018 | 10 | 12 | ||||||
5.100%, 09/01/2040 | 3,525 | 3,549 | ||||||
4.750%, 04/15/2043 | 2,890 | 2,840 | ||||||
4.250%, 01/15/2044 | 7,055 | 6,376 | ||||||
BG Energy Capital | ||||||||
5.125%, 10/15/2041 (A) | 5,540 | 5,592 | ||||||
BP Capital Markets | ||||||||
3.994%, 09/26/2023 | 2,385 | 2,436 | ||||||
2.750%, 05/10/2023 | 1,875 | 1,736 | ||||||
Canadian Natural Resources | ||||||||
6.750%, 02/01/2039 | 2,660 | 3,150 | ||||||
6.250%, 03/15/2038 | 1,500 | 1,684 | ||||||
Canadian Oil Sands | ||||||||
6.000%, 04/01/2042 (A) | 2,000 | 2,038 | ||||||
Cenovus Energy | ||||||||
6.750%, 11/15/2039 | 1,395 | 1,662 | ||||||
5.200%, 09/15/2043 | 1,725 | 1,727 | ||||||
4.450%, 09/15/2042 | 620 | 558 | ||||||
CNOOC Finance | ||||||||
3.000%, 05/09/2023 | 1,295 | 1,181 | ||||||
Conoco Funding | ||||||||
7.250%, 10/15/2031 | 2,030 | 2,662 | ||||||
6.950%, 04/15/2029 | 2,000 | 2,567 | ||||||
ConocoPhillips | ||||||||
6.500%, 02/01/2039 | 8,350 | 10,493 | ||||||
5.900%, 05/15/2038 | 2,400 | 2,807 | ||||||
ConocoPhillips Canada Funding I | ||||||||
5.950%, 10/15/2036 | 1,040 | 1,214 | ||||||
Devon Energy | ||||||||
7.950%, 04/15/2032 | 1,575 | 2,052 | ||||||
6.300%, 01/15/2019 | 50 | 59 | ||||||
5.600%, 07/15/2041 | 2,620 | 2,724 | ||||||
4.750%, 05/15/2042 | 2,190 | 2,019 | ||||||
Devon Financing | ||||||||
7.875%, 09/30/2031 | 145 | 187 | ||||||
Diamond Offshore Drilling | ||||||||
5.700%, 10/15/2039 | 4,000 | 4,415 | ||||||
4.875%, 11/01/2043 | 3,140 | 3,078 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
El Paso Natural Gas | ||||||||
8.375%, 06/15/2032 | $ | 1,540 | $ | 2,005 | ||||
7.500%, 11/15/2026 | 645 | 809 | ||||||
El Paso Pipeline Partners Operating | ||||||||
4.700%, 11/01/2042 | 1,250 | 1,096 | ||||||
Encana | ||||||||
6.625%, 08/15/2037 | 705 | 788 | ||||||
5.150%, 11/15/2041 | 2,450 | 2,314 | ||||||
Energy Transfer Partners | ||||||||
8.250%, 11/15/2029 (A) | 1,500 | 1,809 | ||||||
6.050%, 06/01/2041 | 1,880 | 1,933 | ||||||
5.950%, 10/01/2043 | 5,900 | 6,038 | ||||||
5.150%, 02/01/2043 | 5,894 | 5,410 | ||||||
Eni | ||||||||
5.700%, 10/01/2040 (A) | 2,120 | 2,019 | ||||||
Enterprise Products Operating | ||||||||
6.650%, 10/15/2034 | 3,000 | 3,523 | ||||||
5.950%, 02/01/2041 | 1,085 | 1,176 | ||||||
5.700%, 02/15/2042 | 8,650 | 9,072 | ||||||
4.850%, 08/15/2042 | 2,000 | 1,867 | ||||||
4.850%, 03/15/2044 | 700 | 659 | ||||||
4.450%, 02/15/2043 | 1,720 | 1,520 | ||||||
Gazprom OAO Via Gaz Capital | ||||||||
4.950%, 02/06/2028 (A) | 560 | 487 | ||||||
Gulf South Pipeline | ||||||||
4.000%, 06/15/2022 | 4,400 | 4,371 | ||||||
Halliburton | ||||||||
7.600%, 08/15/2096 (A) | 825 | 1,124 | ||||||
Hess | ||||||||
5.600%, 02/15/2041 | 1,490 | 1,562 | ||||||
Husky Energy | ||||||||
6.800%, 09/15/2037 | 670 | 821 | ||||||
Kinder Morgan Energy Partners | ||||||||
6.950%, 01/15/2038 | 1,700 | 1,991 | ||||||
6.375%, 03/01/2041 | 4,200 | 4,588 | ||||||
5.625%, 09/01/2041 | 1,425 | 1,423 | ||||||
5.000%, 08/15/2042 | 1,595 | 1,478 | ||||||
3.950%, 09/01/2022 | 975 | 963 | ||||||
LASMO | ||||||||
7.300%, 11/15/2027 | 2,705 | 3,406 | ||||||
Marathon Oil | ||||||||
6.600%, 10/01/2037 | 2,365 | 2,833 | ||||||
2.800%, 11/01/2022 | 1,225 | 1,139 | ||||||
Marathon Petroleum | ||||||||
6.500%, 03/01/2041 | 2,098 | 2,370 | ||||||
Motiva Enterprises | ||||||||
6.850%, 01/15/2040 (A) | 8,705 | 10,799 | ||||||
Nexen Energy ULC | ||||||||
7.500%, 07/30/2039 | 2,000 | 2,549 | ||||||
6.400%, 05/15/2037 | 2,770 | 3,171 | ||||||
Noble Energy | ||||||||
5.250%, 11/15/2043 | 3,860 | 3,859 | ||||||
4.150%, 12/15/2021 | 855 | 888 | ||||||
Noble Holding International | ||||||||
3.950%, 03/15/2022 | 11 | 11 |
166 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Oneok Partners | ||||||||
6.850%, 10/15/2037 | $ | 135 | $ | 152 | ||||
Panhandle Eastern Pipeline | ||||||||
8.125%, 06/01/2019 | 1,000 | 1,224 | ||||||
Petrobras Global Finance | ||||||||
5.625%, 05/20/2043 | 6,095 | 5,035 | ||||||
4.375%, 05/20/2023 | 1,555 | 1,413 | ||||||
Petrobras International Finance | ||||||||
6.750%, 01/27/2041 | 1,370 | 1,303 | ||||||
Petro-Canada | ||||||||
7.875%, 06/15/2026 | 20 | 26 | ||||||
6.800%, 05/15/2038 | 1,745 | 2,098 | ||||||
Petroleos Mexicanos | ||||||||
6.500%, 06/02/2041 | 170 | 172 | ||||||
5.500%, 06/27/2044 | 2,235 | 1,979 | ||||||
Phillips 66 | ||||||||
5.875%, 05/01/2042 | 5,597 | 6,091 | ||||||
Plains All American Pipeline | ||||||||
5.150%, 06/01/2042 | 1,000 | 994 | ||||||
3.850%, 10/15/2023 | 6,393 | 6,273 | ||||||
Pride International | ||||||||
7.875%, 08/15/2040 | 3,137 | 4,277 | ||||||
Rosneft Oil via Rosneft International Finance | ||||||||
4.199%, 03/06/2022 (A) | 340 | 311 | ||||||
Ruby Pipeline | ||||||||
6.000%, 04/01/2022 (A) | 2,000 | 2,125 | ||||||
Schlumberger Investment | ||||||||
3.650%, 12/01/2023 | 5,820 | 5,841 | ||||||
Shell International Finance | ||||||||
6.375%, 12/15/2038 | 5,256 | 6,475 | ||||||
5.500%, 03/25/2040 | 2,500 | 2,791 | ||||||
Shell International Finance BV | ||||||||
4.550%, 08/12/2043 | 2,500 | 2,443 | ||||||
3.400%, 08/12/2023 | 1,250 | 1,230 | ||||||
Sinopec Capital 2013 | ||||||||
3.125%, 04/24/2023 (A) | 560 | 510 | ||||||
Sinopec Group Overseas | ||||||||
3.900%, 05/17/2022 (A) | 790 | 781 | ||||||
Sinopec Group Overseas | ||||||||
4.375%, 10/17/2023 (A) | 700 | 697 | ||||||
Southern Natural Gas | ||||||||
8.000%, 03/01/2032 | 400 | 514 | ||||||
7.350%, 02/15/2031 | 2,960 | 3,578 | ||||||
Spectra Energy Capital | ||||||||
6.750%, 02/15/2032 | 1,550 | 1,643 | ||||||
3.300%, 03/15/2023 | 3,200 | 2,879 | ||||||
Spectra Energy Partners | ||||||||
5.950%, 09/25/2043 | 3,025 | 3,217 | ||||||
Statoil | ||||||||
6.500%, 12/01/2028 (A) | 1,105 | 1,358 | ||||||
5.250%, 04/15/2019 | 50 | 57 | ||||||
4.800%, 11/08/2043 | 4,429 | 4,448 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
3.950%, 05/15/2043 | $ | 3,375 | $ | 2,968 | ||||
3.700%, 03/01/2024 | 850 | 851 | ||||||
2.450%, 01/17/2023 | 1,825 | 1,671 | ||||||
Suncor Energy | ||||||||
7.150%, 02/01/2032 | 635 | 812 | ||||||
6.850%, 06/01/2039 | 2,905 | 3,516 | ||||||
6.500%, 06/15/2038 | 3,565 | 4,169 | ||||||
5.950%, 12/01/2034 | 945 | 1,031 | ||||||
Talisman Energy | ||||||||
6.250%, 02/01/2038 | 2,310 | 2,301 | ||||||
5.500%, 05/15/2042 | 2,355 | 2,153 | ||||||
Tennessee Gas Pipeline | ||||||||
8.375%, 06/15/2032 | 4,250 | 5,592 | ||||||
7.000%, 10/15/2028 | 7,555 | 9,134 | ||||||
Texas Eastern Transmission | ||||||||
7.000%, 07/15/2032 | 1,985 | 2,365 | ||||||
2.800%, 10/15/2022 (A) | 2,600 | 2,362 | ||||||
Total Capital International | ||||||||
3.700%, 01/15/2024 | 2,855 | 2,852 | ||||||
2.700%, 01/25/2023 | 885 | 825 | ||||||
TransCanada PipeLines | ||||||||
7.625%, 01/15/2039 | 1,300 | 1,723 | ||||||
7.250%, 08/15/2038 | 1,490 | 1,894 | ||||||
6.100%, 06/01/2040 | 3,435 | 3,897 | ||||||
Transcontinental Gas PipeLine | ||||||||
7.250%, 12/01/2026 | 900 | 1,146 | ||||||
5.400%, 08/15/2041 | 1,480 | 1,516 | ||||||
4.450%, 08/01/2042 | 3,345 | 2,991 | ||||||
Transocean | ||||||||
7.350%, 12/15/2041 | 2,390 | 2,784 | ||||||
Valero Energy | ||||||||
10.500%, 03/15/2039 | 1,868 | 2,776 | ||||||
6.625%, 06/15/2037 | 790 | 902 | ||||||
6.125%, 02/01/2020 | 1,574 | 1,802 | ||||||
Weatherford International | ||||||||
5.950%, 04/15/2042 | 4,025 | 3,996 | ||||||
Williams | ||||||||
7.750%, 06/15/2031 | 2,568 | 2,897 | ||||||
Williams Partners | ||||||||
5.800%, 11/15/2043 | 1,300 | 1,322 | ||||||
4.500%, 11/15/2023 | 1,000 | 1,002 | ||||||
4.000%, 11/15/2021 | 375 | 374 | ||||||
|
| |||||||
318,345 | ||||||||
|
| |||||||
Financials — 23.9% |
| |||||||
ACE INA Holdings | ||||||||
6.700%, 05/15/2036 | 3,382 | 4,307 | ||||||
Aflac | ||||||||
6.900%, 12/17/2039 | 4,280 | 5,296 | ||||||
AIG SunAmerica Global Financing X | ||||||||
6.900%, 03/15/2032 (A) | 6,640 | 8,174 | ||||||
Alexandria Real Estate Equities | ||||||||
4.600%, 04/01/2022‡ | 2,150 | 2,180 | ||||||
American Express | ||||||||
4.050%, 12/03/2042 | 4,191 | 3,689 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 167 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Corporate Bond Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ameriprise Financial | ||||||||
4.000%, 10/15/2023 | $ | 2,795 | $ | 2,826 | ||||
Aon | ||||||||
4.000%, 11/27/2023 | 650 | 650 | ||||||
Assurant | ||||||||
6.750%, 02/15/2034 | 2,150 | 2,313 | ||||||
Bank of America | ||||||||
7.625%, 06/01/2019 | 3,000 | 3,752 | ||||||
6.000%, 10/15/2036 | 9,060 | 10,296 | ||||||
5.875%, 02/07/2042 | 500 | 566 | ||||||
5.000%, 05/13/2021 | 5,450 | 5,966 | ||||||
4.100%, 07/24/2023 | 750 | 753 | ||||||
3.300%, 01/11/2023 | 3,805 | 3,600 | ||||||
Bank of New York Mellon MTN | ||||||||
4.600%, 01/15/2020 | 50 | 55 | ||||||
Bank One Capital III | ||||||||
8.750%, 09/01/2030 | 320 | 411 | ||||||
BBVA Bancomer | ||||||||
6.750%, 09/30/2022 (A) | 1,000 | 1,056 | ||||||
Berkshire Hathaway | ||||||||
4.500%, 02/11/2043 | 6,709 | 6,312 | ||||||
3.750%, 08/15/2021 | 98 | 102 | ||||||
3.400%, 01/31/2022 | 56 | 56 | ||||||
Berkshire Hathaway Finance | ||||||||
5.750%, 01/15/2040 | 2,455 | 2,736 | ||||||
4.400%, 05/15/2042 | 2,745 | 2,531 | ||||||
4.300%, 05/15/2043 | 2,255 | 2,054 | ||||||
2.450%, 12/15/2015 | 13 | 14 | ||||||
Blackstone Holdings Finance | ||||||||
6.250%, 08/15/2042 (A) | 4,839 | 5,218 | ||||||
Boston Properties‡ | ||||||||
4.125%, 05/15/2021 | 1,000 | 1,035 | ||||||
3.850%, 02/01/2023 | 2,700 | 2,671 | ||||||
3.800%, 02/01/2024 | 375 | 366 | ||||||
BRE Properties‡ | ||||||||
5.500%, 03/15/2017 | 750 | 831 | ||||||
Camden Property Trust‡ | ||||||||
4.625%, 06/15/2021 | 1,250 | 1,326 | ||||||
Carlyle Holdings II Finance | ||||||||
5.625%, 03/30/2043 (A) | 6,353 | 6,015 | ||||||
CBL & Associates‡ | ||||||||
5.250%, 12/01/2023 | 1,200 | 1,205 | ||||||
CDP Financial | ||||||||
5.600%, 11/25/2039 (A) | 5,695 | 6,467 | ||||||
Chase Capital VI | ||||||||
0.867%, 08/01/2028 (B) | 1,695 | 1,373 | ||||||
Chubb | ||||||||
6.500%, 05/15/2038 | 5,367 | 6,756 | ||||||
Citigroup | ||||||||
8.125%, 07/15/2039 | 2,365 | 3,294 | ||||||
6.875%, 03/05/2038 | 4,430 | 5,544 | ||||||
6.875%, 02/15/2098 | 2,545 | 2,851 | ||||||
6.675%, 09/13/2043 | 9,071 | 10,144 | ||||||
6.125%, 08/25/2036 | 220 | 232 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.875%, 02/22/2033 | $ | 3,490 | $ | 3,584 | ||||
5.875%, 05/29/2037 | 2,357 | 2,612 | ||||||
5.850%, 12/11/2034 | 30 | 33 | ||||||
5.500%, 09/13/2025 | 2,225 | 2,355 | ||||||
4.950%, 11/07/2043 | 95 | 93 | ||||||
3.875%, 10/25/2023 | 5,935 | 5,831 | ||||||
CME Group | ||||||||
5.300%, 09/15/2043 | 2,235 | 2,340 | ||||||
CNA Financial | ||||||||
5.875%, 08/15/2020 | 25 | 29 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
5.800%, 09/30/2110 (A) | 4,875 | 4,921 | ||||||
5.750%, 12/01/2043 | 3,875 | 3,930 | ||||||
5.250%, 05/24/2041 | 115 | 120 | ||||||
4.625%, 12/01/2023 | 750 | 749 | ||||||
4.500%, 01/11/2021 | 35 | 37 | ||||||
3.950%, 11/09/2022 | 800 | 775 | ||||||
3.875%, 02/08/2022 | 55 | 55 | ||||||
DaimlerChrysler | ||||||||
8.500%, 01/18/2031 | 660 | 952 | ||||||
DDR‡ | ||||||||
4.625%, 07/15/2022 | 1,440 | 1,489 | ||||||
Deutsche Bank Financial MTN | ||||||||
5.375%, 03/02/2015 | 25 | 26 | ||||||
Devon OEI Operating | ||||||||
7.500%, 09/15/2027 | 735 | 932 | ||||||
Discover Bank | ||||||||
8.700%, 11/18/2019 | 474 | 604 | ||||||
Discover Financial Services | ||||||||
3.850%, 11/21/2022 | 1,526 | 1,466 | ||||||
Duke Realty‡ | ||||||||
4.375%, 06/15/2022 | 195 | 195 | ||||||
3.875%, 10/15/2022 | 2,115 | 2,028 | ||||||
3.625%, 04/15/2023 | 405 | 378 | ||||||
ERP Operating‡ | ||||||||
4.625%, 12/15/2021 | 55 | 59 | ||||||
Essex Portfolio‡ | ||||||||
3.250%, 05/01/2023 | 3,220 | 2,951 | ||||||
Farmers Exchange Capital | ||||||||
7.200%, 07/15/2048 (A) | 500 | 570 | ||||||
Farmers Exchange Capital II | ||||||||
6.151%, 11/01/2053 (A) (B) | 5,480 | 5,555 | ||||||
Ford Holdings | ||||||||
9.300%, 03/01/2030 | 2,255 | 3,080 | ||||||
Ford Motor Credit | ||||||||
4.375%, 08/06/2023 | 1,000 | 1,013 | ||||||
General Electric Capital MTN | ||||||||
6.875%, 01/10/2039 | 10,220 | 12,939 | ||||||
6.750%, 03/15/2032 | 12,295 | 15,238 | ||||||
6.000%, 08/07/2019 | 150 | 179 | ||||||
5.875%, 01/14/2038 | 21,470 | 24,306 | ||||||
4.625%, 01/07/2021 | 290 | 319 | ||||||
3.150%, 09/07/2022 | 2,305 | 2,239 |
168 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Goldman Sachs Group | ||||||||
6.750%, 10/01/2037 | $ | 13,365 | $ | 14,822 | ||||
6.250%, 02/01/2041 | 7,669 | 8,806 | ||||||
6.125%, 02/15/2033 | 15,235 | 17,007 | ||||||
5.950%, 01/15/2027 | 4,265 | 4,599 | ||||||
5.375%, 03/15/2020 | 175 | 196 | ||||||
5.250%, 07/27/2021 | 123 | 135 | ||||||
3.700%, 08/01/2015 | 55 | 58 | ||||||
Guardian Life Insurance of America | ||||||||
7.375%, 09/30/2039 (A) | 2,410 | 3,084 | ||||||
Hartford Financial Services Group | ||||||||
6.625%, 03/30/2040 | 3,037 | 3,723 | ||||||
6.100%, 10/01/2041 | 1,800 | 2,086 | ||||||
5.950%, 10/15/2036 | 1,685 | 1,894 | ||||||
HBOS | ||||||||
6.000%, 11/01/2033 (A) | 1,000 | 977 | ||||||
HCP‡ | ||||||||
6.750%, 02/01/2041 | 1,075 | 1,278 | ||||||
5.375%, 02/01/2021 | 1,000 | 1,099 | ||||||
4.250%, 11/15/2023 | 8,979 | 8,942 | ||||||
3.150%, 08/01/2022 | 100 | 93 | ||||||
Health Care‡ | ||||||||
6.500%, 03/15/2041 | 455 | 501 | ||||||
5.125%, 03/15/2043 | 3,175 | 2,924 | ||||||
3.750%, 03/15/2023 | 5,704 | 5,407 | ||||||
Healthcare Realty Trust‡ | ||||||||
5.750%, 01/15/2021 | 575 | 630 | ||||||
Healthcare Trust of America Holdings‡ | ||||||||
3.700%, 04/15/2023 | 4,120 | 3,858 | ||||||
Highmark | ||||||||
6.125%, 05/15/2041 (A) | 1,000 | 907 | ||||||
4.750%, 05/15/2021 (A) | 1,330 | 1,263 | ||||||
HSBC Bank | ||||||||
4.750%, 01/19/2021 (A) | 150 | 163 | ||||||
HSBC Bank USA | ||||||||
7.000%, 01/15/2039 | 4,270 | 5,367 | ||||||
5.875%, 11/01/2034 | 2,590 | 2,842 | ||||||
5.625%, 08/15/2035 | 3,965 | 4,273 | ||||||
HSBC Finance | ||||||||
6.676%, 01/15/2021 | 1,800 | 2,095 | ||||||
HSBC Holdings | ||||||||
6.800%, 06/01/2038 | 2,240 | 2,765 | ||||||
6.500%, 09/15/2037 | 5,625 | 6,709 | ||||||
6.100%, 01/14/2042 | 115 | 138 | ||||||
HSBC Holdings, Ser 2006 | ||||||||
6.500%, 05/02/2036 | 980 | 1,163 | ||||||
ING Bank | ||||||||
5.800%, 09/25/2023 (A) | 5,630 | 5,869 | ||||||
ING US | ||||||||
5.700%, 07/15/2043 (A) | 1,580 | 1,632 | ||||||
International Lease Finance | ||||||||
7.125%, 09/01/2018 (A) | 1,500 | 1,734 | ||||||
Invesco Finance | ||||||||
5.375%, 11/30/2043 | 1,185 | 1,221 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
IPIC GMTN MTN | ||||||||
5.500%, 03/01/2022 (A) | $ | 1,180 | $ | 1,304 | ||||
JPMorgan Chase | ||||||||
6.400%, 05/15/2038 | 3,548 | 4,238 | ||||||
5.625%, 08/16/2043 | 1,940 | 1,978 | ||||||
5.600%, 07/15/2041 | 4,675 | 5,106 | ||||||
5.400%, 01/06/2042 | 7,310 | 7,769 | ||||||
3.375%, 05/01/2023 | 2,750 | 2,557 | ||||||
3.250%, 09/23/2022 | 500 | 480 | ||||||
JPMorgan Chase Capital XXI | ||||||||
1.192%, 02/02/2037 (B) | 3,200 | 2,384 | ||||||
KKR Group Finance II | ||||||||
5.500%, 02/01/2043 (A) | 8,052 | 7,436 | ||||||
Liberty Mutual Group | ||||||||
6.500%, 03/15/2035 (A) | 190 | 207 | ||||||
6.500%, 05/01/2042 (A) | 7,062 | 7,893 | ||||||
Lincoln National | ||||||||
6.300%, 10/09/2037 | 100 | 116 | ||||||
6.150%, 04/07/2036 | 45 | 51 | ||||||
Lloyds TSB Bank MTN | ||||||||
6.500%, 09/14/2020 (A) | 520 | 585 | ||||||
Macquarie Bank MTN | ||||||||
6.625%, 04/07/2021 (A) | 1,250 | 1,385 | ||||||
5.000%, 02/22/2017 (A) | 65 | 71 | ||||||
Macquarie Group | ||||||||
7.300%, 08/01/2014 (A) | 50 | 52 | ||||||
6.250%, 01/14/2021 (A) | 40 | 45 | ||||||
6.000%, 01/14/2020 (A) | 100 | 111 | ||||||
Massachusetts Mutual Life Insurance | ||||||||
8.875%, 06/01/2039 (A) | 2,010 | 2,894 | ||||||
Merrill Lynch | ||||||||
7.750%, 05/14/2038 | 1,810 | 2,296 | ||||||
6.110%, 01/29/2037 | 3,485 | 3,708 | ||||||
MetLife | ||||||||
10.750%, 08/01/2039 | 405 | 600 | ||||||
6.500%, 12/15/2032 | 350 | 423 | ||||||
6.400%, 12/15/2036 | 3,650 | 3,741 | ||||||
6.375%, 06/15/2034 | 730 | 872 | ||||||
5.875%, 02/06/2041 | 3,820 | 4,331 | ||||||
5.700%, 06/15/2035 | 500 | 554 | ||||||
4.875%, 11/13/2043 | 4,865 | 4,784 | ||||||
4.368%, 09/15/2023 | 1,265 | 1,313 | ||||||
MetLife Capital Trust IV | ||||||||
7.875%, 12/15/2037 (A) | 500 | 571 | ||||||
Metropolitan Life Insurance | ||||||||
7.800%, 11/01/2025 (A) | 2,000 | 2,539 | ||||||
Morgan Stanley MTN | ||||||||
7.250%, 04/01/2032 | 1,855 | 2,323 | ||||||
6.625%, 04/01/2018 | 2,700 | 3,183 | ||||||
6.375%, 07/24/2042 | 5,990 | 6,980 | ||||||
6.250%, 08/09/2026 | 90 | 104 | ||||||
6.000%, 04/28/2015 | 100 | 107 | ||||||
5.000%, 11/24/2025 | 3,525 | 3,528 | ||||||
4.100%, 05/22/2023 | 540 | 521 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 169 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Corporate Bond Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
National City | ||||||||
4.900%, 01/15/2015 | $ | 50 | $ | 52 | ||||
Nationwide Mutual Insurance | ||||||||
9.375%, 08/15/2039 (A) | 890 | 1,252 | ||||||
7.875%, 04/01/2033 (A) | 527 | 628 | ||||||
6.600%, 04/15/2034 (A) | 1,767 | 1,809 | ||||||
New York Life Global Funding | ||||||||
2.450%, 07/14/2016 (A) | 50 | 52 | ||||||
New York Life Insurance | ||||||||
6.750%, 11/15/2039 (A) | 7,980 | 9,846 | ||||||
Northwestern Mutual Life Insurance | ||||||||
6.063%, 03/30/2040 (A) | 4,415 | 5,053 | ||||||
PNC Bank | ||||||||
3.800%, 07/25/2023 | 450 | 442 | ||||||
PNC Funding | ||||||||
6.700%, 06/10/2019 | 100 | 122 | ||||||
Post Apartment Homes | ||||||||
3.375%, 12/01/2022 | 1,100 | 1,025 | ||||||
Principal Financial Group | ||||||||
4.625%, 09/15/2042 | 5,550 | 5,305 | ||||||
ProLogis‡ | ||||||||
4.250%, 08/15/2023 | 5,362 | 5,361 | ||||||
Prudential Financial MTN | ||||||||
6.625%, 06/21/2040 | 625 | 761 | ||||||
6.200%, 11/15/2040 | 965 | 1,121 | ||||||
5.700%, 12/14/2036 | 5,225 | 5,698 | ||||||
5.400%, 06/13/2035 | 2,800 | 2,931 | ||||||
Prudential Holdings | ||||||||
8.695%, 12/18/2023 (A) | 2,750 | 3,532 | ||||||
Prudential Insurance of America | ||||||||
8.300%, 07/01/2025 (A) | 1,000 | 1,283 | ||||||
Raymond James Financial | ||||||||
5.625%, 04/01/2024 | 1,950 | 2,041 | ||||||
Realty Income‡ | ||||||||
4.650%, 08/01/2023 | 4,670 | 4,773 | ||||||
3.250%, 10/15/2022 | 3,006 | 2,777 | ||||||
Royal Bank of Scotland Group | ||||||||
6.100%, 06/10/2023 | 1,340 | 1,359 | ||||||
Siemens Financieringsmaatschappij | ||||||||
6.125%, 08/17/2026 (A) | 100 | 118 | ||||||
Simon Property Group‡ | ||||||||
10.350%, 04/01/2019 | 1,995 | 2,733 | ||||||
6.750%, 02/01/2040 | 4,000 | 5,007 | ||||||
4.750%, 03/15/2042 | 4,010 | 3,911 | ||||||
4.375%, 03/01/2021 | 40 | 43 | ||||||
SL Green Realty‡ | ||||||||
5.000%, 08/15/2018 | 3,000 | 3,221 | ||||||
Swiss Re Treasury US | ||||||||
4.250%, 12/06/2042 (A) | 2,581 | 2,264 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.850%, 12/16/2039 (A) | 4,540 | 5,608 | ||||||
Travelers | ||||||||
6.250%, 06/15/2037 | 125 | 152 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.350%, 11/01/2040 | $ | 1,565 | $ | 1,719 | ||||
4.600%, 08/01/2043 | 2,460 | 2,432 | ||||||
Travelers Property Casualty | ||||||||
6.375%, 03/15/2033 | 320 | 389 | ||||||
US Bancorp MTN | ||||||||
4.125%, 05/24/2021 | 22 | 23 | ||||||
Validus Holdings | ||||||||
8.875%, 01/26/2040 | 950 | 1,245 | ||||||
Ventas Realty‡ | ||||||||
5.700%, 09/30/2043 | 5,730 | 5,919 | ||||||
4.750%, 06/01/2021 | 1,000 | 1,060 | ||||||
Wachovia | ||||||||
7.575%, 08/01/2026 (C) | 2,375 | 2,971 | ||||||
5.750%, 06/15/2017 | 150 | 173 | ||||||
Wachovia Bank MTN | ||||||||
6.600%, 01/15/2038 | 6,810 | 8,479 | ||||||
6.180%, 02/15/2036 | 1,401 | 1,661 | ||||||
5.850%, 02/01/2037 | 3,470 | 3,943 | ||||||
WEA Finance | ||||||||
6.750%, 09/02/2019 (A) | 1,500 | 1,804 | ||||||
Weingarten Realty Investors‡ | ||||||||
3.375%, 10/15/2022 | 1,884 | 1,745 | ||||||
Wells Fargo | ||||||||
5.375%, 11/02/2043 | 3,995 | 3,944 | ||||||
4.600%, 04/01/2021 | 40 | 44 | ||||||
4.125%, 08/15/2023 | 1,880 | 1,858 | ||||||
3.500%, 03/08/2022 | 235 | 238 | ||||||
Wells Fargo Bank | ||||||||
5.950%, 08/26/2036 | 3,060 | 3,515 | ||||||
Weyerhaeuser‡ | ||||||||
7.375%, 03/15/2032 | 220 | 270 | ||||||
XLIT | ||||||||
5.250%, 12/15/2043 | 3,835 | 3,886 | ||||||
ZFS Finance USA Trust I | ||||||||
6.500%, 05/09/2037 (A) (B) | 700 | 742 | ||||||
ZFS Finance USA Trust II | ||||||||
6.450%, 12/15/2065 (A) (B) | 1,475 | 1,586 | ||||||
|
| |||||||
568,331 | ||||||||
|
| |||||||
Health Care — 5.5% | ||||||||
AbbVie | ||||||||
4.400%, 11/06/2042 | 11,540 | 10,549 | ||||||
Aetna | ||||||||
4.500%, 05/15/2042 | 1,750 | 1,620 | ||||||
2.750%, 11/15/2022 | 1,370 | 1,271 | ||||||
Amgen | ||||||||
6.900%, 06/01/2038 | 1,575 | 1,896 | ||||||
5.750%, 03/15/2040 | 15 | 16 | ||||||
5.650%, 06/15/2042 | 2,025 | 2,121 | ||||||
5.375%, 05/15/2043 | 2,730 | 2,775 | ||||||
5.150%, 11/15/2041 | 6,305 | 6,202 | ||||||
Ascension Health | ||||||||
4.847%, 11/15/2053 | 895 | 873 |
170 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AstraZeneca | ||||||||
6.450%, 09/15/2037 | $ | 3,745 | $ | 4,529 | ||||
4.000%, 09/18/2042 | 760 | 670 | ||||||
Baxter International | ||||||||
3.200%, 06/15/2023 | 1,050 | 1,017 | ||||||
Becton Dickinson | ||||||||
3.125%, 11/08/2021 | 385 | 378 | ||||||
Bristol-Myers Squibb | ||||||||
6.125%, 05/01/2038 | 1,675 | 2,000 | ||||||
Cardinal Health | ||||||||
4.600%, 03/15/2043 | 2,138 | 1,973 | ||||||
Catholic Health Initiatives | ||||||||
4.350%, 11/01/2042 | 3,010 | 2,666 | ||||||
4.200%, 08/01/2023 | 2,000 | 1,989 | ||||||
Celgene | ||||||||
5.700%, 10/15/2040 | 3,772 | 3,930 | ||||||
5.250%, 08/15/2043 | 670 | 671 | ||||||
City of Hope | ||||||||
5.623%, 11/15/2043 | 850 | 833 | ||||||
Coventry Health Care | ||||||||
5.450%, 06/15/2021 | 1,450 | 1,611 | ||||||
Covidien International Finance | ||||||||
2.950%, 06/15/2023 | 810 | 760 | ||||||
Eli Lilly | ||||||||
7.125%, 06/01/2025 | 410 | 531 | ||||||
Express Scripts Holding | ||||||||
6.125%, 11/15/2041 | 640 | 717 | ||||||
GlaxoSmithKline Capital | ||||||||
6.375%, 05/15/2038 | 15 | 19 | ||||||
2.800%, 03/18/2023 | 900 | 850 | ||||||
Hospira | ||||||||
5.800%, 08/12/2023 | 2,415 | 2,535 | ||||||
Howard Hughes Medical Institute | ||||||||
3.500%, 09/01/2023 | 2,250 | 2,237 | ||||||
Humana | ||||||||
8.150%, 06/15/2038 | 1,075 | 1,427 | ||||||
Johnson & Johnson | ||||||||
5.950%, 08/15/2037 | 1,130 | 1,361 | ||||||
Kaiser Foundation Hospitals | ||||||||
4.875%, 04/01/2042 | 1,240 | 1,193 | ||||||
Mead Johnson Nutrition | ||||||||
5.900%, 11/01/2039 | 620 | 673 | ||||||
Medtronic | ||||||||
4.000%, 04/01/2043 | 6,460 | 5,733 | ||||||
Memorial Sloan-Kettering Cancer Center | ||||||||
5.000%, 07/01/2042 | 1,000 | 1,006 | ||||||
Merck | ||||||||
6.550%, 09/15/2037 | 1,460 | 1,833 | ||||||
6.500%, 12/01/2033 | 935 | 1,177 | ||||||
4.150%, 05/18/2043 | 3,050 | 2,788 | ||||||
3.600%, 09/15/2042 | 1,820 | 1,513 | ||||||
Merck Sharp & Dohme MTN | ||||||||
5.850%, 06/30/2039 | 710 | 822 | ||||||
5.760%, 05/03/2037 | 1,100 | 1,288 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Mylan | ||||||||
5.400%, 11/29/2043 | $ | 1,495 | $ | 1,514 | ||||
North Shore Long Island Jewish Health Care | ||||||||
6.150%, 11/01/2043 | 630 | 683 | ||||||
4.800%, 11/01/2042 | 2,400 | 2,047 | ||||||
NYU Hospitals Center | ||||||||
5.750%, 07/01/2043 | 200 | 209 | ||||||
4.428%, 07/01/2042 | 2,650 | 2,258 | ||||||
Perrigo | ||||||||
5.300%, 11/15/2043 (A) | 4,110 | 4,084 | ||||||
Pfizer | ||||||||
7.200%, 03/15/2039 | 2,030 | 2,716 | ||||||
4.300%, 06/15/2043 | 2,060 | 1,925 | ||||||
Providence Health & Services | ||||||||
4.379%, 10/01/2023 | 2,400 | 2,449 | ||||||
Roche Holdings | ||||||||
7.000%, 03/01/2039 (A) | 6,985 | 9,291 | ||||||
Shands Teaching Hospital and Clinics | ||||||||
4.741%, 12/01/2042 | 1,750 | 1,489 | ||||||
St. Barnabas | ||||||||
4.000%, 07/01/2028 | 2,240 | 1,971 | ||||||
Stryker | ||||||||
4.100%, 04/01/2043 | 1,220 | 1,102 | ||||||
Sutter Health | ||||||||
2.286%, 08/15/2053 | 2,000 | 1,881 | ||||||
Teva Pharmaceutical Finance BV | ||||||||
2.950%, 12/18/2022 | 1,290 | 1,182 | ||||||
Thermo Fisher Scientific | ||||||||
3.150%, 01/15/2023 | 1,740 | 1,619 | ||||||
UnitedHealth Group | ||||||||
6.875%, 02/15/2038 | 1,411 | 1,777 | ||||||
6.625%, 11/15/2037 | 1,750 | 2,133 | ||||||
6.500%, 06/15/2037 | 395 | 475 | ||||||
5.950%, 02/15/2041 | 95 | 108 | ||||||
5.800%, 03/15/2036 | 325 | 361 | ||||||
5.700%, 10/15/2040 | 1,055 | 1,161 | ||||||
4.375%, 03/15/2042 | 30 | 28 | ||||||
3.950%, 10/15/2042 | 2,765 | 2,353 | ||||||
WellPoint | ||||||||
5.100%, 01/15/2044 | 1,250 | 1,227 | ||||||
4.650%, 01/15/2043 | 1,460 | 1,340 | ||||||
2.375%, 02/15/2017 | 20 | 20 | ||||||
Wyeth | ||||||||
5.950%, 04/01/2037 | 4,425 | 5,188 | ||||||
|
| |||||||
130,644 | ||||||||
|
| |||||||
Industrials — 6.3% | ||||||||
ABB Treasury Center USA | ||||||||
4.000%, 06/15/2021 (A) | 1,840 | 1,910 | ||||||
Air Canada, Pass-Through Trust, Ser 2013-1, Cl A | ||||||||
4.125%, 05/15/2025 (A) | 540 | 526 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 171 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Corporate Bond Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
American Airlines, Pass-Through Trust, Ser 2011-1, Cl A | ||||||||
5.250%, 01/31/2021 | $ | 9 | $ | 9 | ||||
American Airlines, Pass-Through Trust, Ser 2013-2, Cl A | ||||||||
4.950%, 01/15/2023 (A) | 3,215 | 3,368 | ||||||
BAE Systems | ||||||||
5.800%, 10/11/2041 (A) | 740 | 776 | ||||||
BAE Systems Finance | ||||||||
7.500%, 07/01/2027 (A) | 4,122 | 5,087 | ||||||
BAE Systems Holdings | ||||||||
5.200%, 08/15/2015 (A) | 15 | 16 | ||||||
Boeing | ||||||||
6.875%, 03/15/2039 | 640 | 854 | ||||||
6.625%, 02/15/2038 | 850 | 1,101 | ||||||
Burlington Northern Santa Fe | ||||||||
7.290%, 06/01/2036 | 1,333 | 1,676 | ||||||
6.150%, 05/01/2037 | 5,280 | 5,984 | ||||||
5.150%, 09/01/2043 | 1,450 | 1,469 | ||||||
4.450%, 03/15/2043 | 1,250 | 1,132 | ||||||
4.400%, 03/15/2042 | 7,040 | 6,343 | ||||||
Canadian National Railway | ||||||||
4.500%, 11/07/2043 | 3,800 | 3,762 | ||||||
Canadian National Railway, | ||||||||
6.200%, 06/01/2036 | 2,665 | 3,224 | ||||||
Caterpillar | ||||||||
5.200%, 05/27/2041 | 640 | 678 | ||||||
3.803%, 08/15/2042 | 1,480 | 1,251 | ||||||
Continental Airlines, Pass-Through Trust, Ser 2007-1, Cl A | ||||||||
5.983%, 04/19/2022 | 5,461 | 5,966 | ||||||
Continental Airlines, Pass-Through Trust, Ser 2012-1, Cl A | ||||||||
4.150%, 04/11/2024 | 2,146 | 2,149 | ||||||
Continental Airlines, Pass-Through Trust, Ser 2012-2, Cl A | ||||||||
4.000%, 10/29/2024 | 745 | 741 | ||||||
CSX | ||||||||
4.750%, 05/30/2042 | 2,800 | 2,661 | ||||||
Cummins | ||||||||
4.875%, 10/01/2043 | 1,270 | 1,286 | ||||||
Deere | ||||||||
3.900%, 06/09/2042 | 1,970 | 1,740 | ||||||
EADS Finance | ||||||||
2.700%, 04/17/2023 (A) | 5,565 | 5,161 | ||||||
Eaton | ||||||||
4.150%, 11/02/2042 | 1,420 | 1,257 | ||||||
4.000%, 11/02/2032 | 5,475 | 5,046 | ||||||
FedEx | ||||||||
4.100%, 04/15/2043 | 790 | 678 | ||||||
3.875%, 08/01/2042 | 4,937 | 4,094 | ||||||
General Dynamics | ||||||||
3.600%, 11/15/2042 | 1,715 | 1,427 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
General Electric | ||||||||
4.125%, 10/09/2042 | $ | 4,905 | $ | 4,489 | ||||
Honeywell International | ||||||||
5.700%, 03/15/2037 | 300 | 343 | ||||||
5.375%, 03/01/2041 | 295 | 330 | ||||||
Lockheed Martin | ||||||||
4.850%, 09/15/2041 | 1,885 | 1,859 | ||||||
4.070%, 12/15/2042 | 4,472 | 3,886 | ||||||
Norfolk Southern | ||||||||
6.000%, 03/15/2105 | 2,045 | 2,232 | ||||||
6.000%, 05/23/2111 | 4,285 | 4,621 | ||||||
5.590%, 05/17/2025 | 37 | 41 | ||||||
4.800%, 08/15/2043 | 3,025 | 2,944 | ||||||
3.000%, 04/01/2022 | 1,380 | 1,322 | ||||||
Northrop Grumman | ||||||||
4.750%, 06/01/2043 | 3,290 | 3,105 | ||||||
3.250%, 08/01/2023 | 6,865 | 6,465 | ||||||
Pitney Bowes | ||||||||
6.250%, 03/15/2019 | 15 | 17 | ||||||
Raytheon | ||||||||
4.700%, 12/15/2041 | 300 | 293 | ||||||
Republic Services | ||||||||
5.700%, 05/15/2041 | 2,035 | 2,198 | ||||||
3.550%, 06/01/2022 | 1,620 | 1,584 | ||||||
Stanley Black & Decker | ||||||||
2.900%, 11/01/2022 | 1,430 | 1,339 | ||||||
Sydney Airport Finance | ||||||||
3.900%, 03/22/2023 (A) | 2,500 | 2,409 | ||||||
Union Pacific | ||||||||
4.821%, 02/01/2044 (A) | 5,668 | 5,561 | ||||||
4.750%, 12/15/2043 | 4,415 | 4,296 | ||||||
United Airlines, Pass-Through Trust, Ser 2013-1, Cl A | ||||||||
4.300%, 02/15/2027 | 1,990 | 2,010 | ||||||
United Technologies | ||||||||
5.700%, 04/15/2040 | 6,620 | 7,557 | ||||||
4.500%, 06/01/2042 | 13,165 | 12,790 | ||||||
US Airways, Pass-Through Trust, Ser 2012-1, Cl A | ||||||||
5.900%, 10/01/2024 | 2,401 | 2,587 | ||||||
Waste Management | ||||||||
7.750%, 05/15/2032 | 200 | 263 | ||||||
7.375%, 03/11/2019 | 25 | 30 | ||||||
7.100%, 08/01/2026 | 130 | 160 | ||||||
6.125%, 11/30/2039 | 2,870 | 3,263 | ||||||
4.600%, 03/01/2021 | 1,645 | 1,766 | ||||||
|
| |||||||
151,132 | ||||||||
|
| |||||||
Information Technology — 2.3% | ||||||||
Apple | ||||||||
3.850%, 05/04/2043 | 6,865 | 5,727 | ||||||
Cisco Systems | ||||||||
5.900%, 02/15/2039 | 3,100 | 3,477 | ||||||
5.500%, 01/15/2040 | 1,585 | 1,702 |
172 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Corning | ||||||||
5.750%, 08/15/2040 | $ | 345 | $ | 383 | ||||
eBay | ||||||||
4.000%, 07/15/2042 | 4,375 | 3,671 | ||||||
EMC | ||||||||
2.650%, 06/01/2020 | 2,165 | 2,142 | ||||||
Hewlett-Packard | ||||||||
6.000%, 09/15/2041 | 2,785 | 2,754 | ||||||
Intel | ||||||||
4.800%, 10/01/2041 | 4,025 | 3,897 | ||||||
4.000%, 12/15/2032 | 6,797 | 6,274 | ||||||
2.700%, 12/15/2022 | 1,895 | 1,759 | ||||||
International Business Machines | ||||||||
5.875%, 11/29/2032 | 300 | 352 | ||||||
4.000%, 06/20/2042 | 3,683 | 3,231 | ||||||
3.375%, 08/01/2023 | 2,050 | 2,011 | ||||||
Intuit | ||||||||
5.750%, 03/15/2017 | 25 | 28 | ||||||
Juniper Networks | ||||||||
5.950%, 03/15/2041 | 3,000 | 2,995 | ||||||
Microsoft | ||||||||
5.300%, 02/08/2041 | 895 | 951 | ||||||
4.500%, 10/01/2040 | 695 | 661 | ||||||
3.500%, 11/15/2042 | 4,625 | 3,713 | ||||||
Motorola Solutions | ||||||||
7.500%, 05/15/2025 | 1,480 | 1,779 | ||||||
3.500%, 03/01/2023 | 670 | 621 | ||||||
Oracle | ||||||||
6.500%, 04/15/2038 | 5,180 | 6,299 | ||||||
|
| |||||||
54,427 | ||||||||
|
| |||||||
Materials — 4.0% | ||||||||
Alcan | ||||||||
7.250%, 03/15/2031 | 800 | 985 | ||||||
ArcelorMittal | ||||||||
7.250%, 03/01/2041 | 2,025 | 1,924 | ||||||
Barrick North America Finance | ||||||||
7.500%, 09/15/2038 | 15 | 15 | ||||||
5.750%, 05/01/2043 | 14,395 | 12,660 | ||||||
BHP Billiton Finance USA | ||||||||
5.000%, 09/30/2043 | 11,100 | 11,216 | ||||||
Dow Chemical | ||||||||
7.375%, 11/01/2029 | 1,020 | 1,302 | ||||||
5.250%, 11/15/2041 | 350 | 352 | ||||||
4.375%, 11/15/2042 | 4,630 | 4,092 | ||||||
E.I. du Pont de Nemours | ||||||||
2.800%, 02/15/2023 | 1,505 | 1,401 | ||||||
Freeport-McMoRan Copper | ||||||||
5.450%, 03/15/2043 | 8,118 | 7,619 | ||||||
3.875%, 03/15/2023 | 2,745 | 2,578 | ||||||
Georgia Pacific | ||||||||
8.875%, 05/15/2031 | 2,055 | 2,872 | ||||||
International Paper | ||||||||
8.700%, 06/15/2038 | 1,000 | 1,383 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
LYB International Finance BV | ||||||||
5.250%, 07/15/2043 | $ | 2,625 | $ | 2,644 | ||||
Mosaic | ||||||||
5.625%, 11/15/2043 | 2,995 | 3,049 | ||||||
4.250%, 11/15/2023 | 1,575 | 1,567 | ||||||
Nacional del Cobre de Chile | ||||||||
5.625%, 10/18/2043 (A) | 1,155 | 1,126 | ||||||
Newcrest Finance | ||||||||
5.750%, 11/15/2041 (A) | 5,891 | 4,311 | ||||||
Newmont Mining | ||||||||
5.875%, 04/01/2035 | 100 | 87 | ||||||
4.875%, 03/15/2042 | 5,546 | 4,123 | ||||||
Nucor | ||||||||
5.200%, 08/01/2043 | 2,000 | 1,938 | ||||||
Praxair | ||||||||
3.550%, 11/07/2042 | 1,275 | 1,048 | ||||||
Rio Tinto Finance USA | ||||||||
9.000%, 05/01/2019 | 150 | 197 | ||||||
5.200%, 11/02/2040 | 20 | 20 | ||||||
4.750%, 03/22/2042 | 95 | 90 | ||||||
4.125%, 08/21/2042 | 405 | 348 | ||||||
3.500%, 11/02/2020 | 20 | 20 | ||||||
Rock Tenn | ||||||||
4.000%, 03/01/2023 | 825 | 801 | ||||||
Rohm & Haas | ||||||||
7.850%, 07/15/2029 | 5,430 | 7,190 | ||||||
Southern Copper | ||||||||
7.500%, 07/27/2035 | 790 | 821 | ||||||
6.750%, 04/16/2040 | 270 | 257 | ||||||
5.250%, 11/08/2042 | 430 | 346 | ||||||
Teck Resources | ||||||||
5.400%, 02/01/2043 | 3,240 | 2,923 | ||||||
5.200%, 03/01/2042 | 340 | 294 | ||||||
Union Carbide | ||||||||
7.750%, 10/01/2096 | 25 | 27 | ||||||
Vale | ||||||||
5.625%, 09/11/2042 | 5,475 | 4,847 | ||||||
Vale Overseas | ||||||||
6.875%, 11/21/2036 | 2,000 | 2,047 | ||||||
Xstrata Finance Canada | ||||||||
6.000%, 11/15/2041 (A) | 5,197 | 4,985 | ||||||
5.300%, 10/25/2042 (A) | 1,365 | 1,233 | ||||||
|
| |||||||
94,738 | ||||||||
|
| |||||||
Telecommunication Services — 8.8% |
| |||||||
Alltel | ||||||||
7.875%, 07/01/2032 | 1,135 | 1,479 | ||||||
6.800%, 05/01/2029 | 1,050 | 1,221 | ||||||
America Movil | ||||||||
6.375%, 03/01/2035 | 50 | 54 | ||||||
6.125%, 03/30/2040 | 1,815 | 1,932 | ||||||
4.375%, 07/16/2042 | 5,345 | 4,461 | ||||||
AT&T | ||||||||
6.500%, 09/01/2037 | 3,982 | 4,414 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 173 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Corporate Bond Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.300%, 01/15/2038 | $ | 13,660 | $ | 14,779 | ||||
6.150%, 09/15/2034 | 350 | 373 | ||||||
5.600%, 05/15/2018 | 40 | 46 | ||||||
5.550%, 08/15/2041 | 4,485 | 4,458 | ||||||
5.350%, 09/01/2040 | 7,760 | 7,500 | ||||||
4.350%, 06/15/2045 | 13,038 | 10,784 | ||||||
4.300%, 12/15/2042 | 5,808 | 4,845 | ||||||
3.000%, 02/15/2022 | 20 | 19 | ||||||
2.625%, 12/01/2022 | 6,787 | 6,054 | ||||||
Brasil Telcom | ||||||||
5.750%, 02/10/2022 (A) | 710 | 642 | ||||||
British Telecommunications | ||||||||
9.625%, 12/15/2030 | 3,180 | 4,723 | ||||||
Centel Capital | ||||||||
9.000%, 10/15/2019 | 25 | 30 | ||||||
CenturyLink | ||||||||
7.650%, 03/15/2042 | 990 | 893 | ||||||
Crown Castle Towers | ||||||||
6.113%, 01/15/2020 (A) | 1,682 | 1,892 | ||||||
Deutsche Telekom International Finance | ||||||||
9.250%, 06/01/2032 | 2,511 | 3,760 | ||||||
8.750%, 06/15/2030 | 1,460 | 2,060 | ||||||
4.875%, 03/06/2042 (A) | 2,845 | 2,716 | ||||||
GTE | ||||||||
8.750%, 11/01/2021 | 100 | 129 | ||||||
6.940%, 04/15/2028 | 1,310 | 1,504 | ||||||
Koninklijke KPN | ||||||||
8.375%, 10/01/2030 | 3,635 | 4,581 | ||||||
Orange | ||||||||
5.375%, 01/13/2042 | 1,795 | 1,798 | ||||||
Qwest | ||||||||
7.250%, 09/15/2025 | 1,400 | 1,493 | ||||||
Rogers Communications | ||||||||
5.450%, 10/01/2043 | 4,100 | 4,141 | ||||||
4.500%, 03/15/2043 | 2,232 | 1,920 | ||||||
Telecom Italia Capital | ||||||||
7.721%, 06/04/2038 | 370 | 355 | ||||||
6.175%, 06/18/2014 | 33 | 34 | ||||||
6.000%, 09/30/2034 | 1,120 | 939 | ||||||
Telefonaktiebolaget LM Ericsson | ||||||||
4.125%, 05/15/2022 | 6,823 | 6,724 | ||||||
Telefonica Emisiones SAU | ||||||||
7.045%, 06/20/2036 | 3,765 | 4,094 | ||||||
6.421%, 06/20/2016 | 75 | 84 | ||||||
6.221%, 07/03/2017 | 65 | 74 | ||||||
5.462%, 02/16/2021 | 72 | 76 | ||||||
4.570%, 04/27/2023 | 3,430 | 3,399 | ||||||
Verizon Communications | ||||||||
8.750%, 11/01/2018 | 107 | 138 | ||||||
7.750%, 12/01/2030 | 650 | 814 | ||||||
7.350%, 04/01/2039 | 1,350 | 1,661 | ||||||
6.900%, 04/15/2038 | 40 | 47 | ||||||
6.550%, 09/15/2043 | 41,777 | 47,545 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
6.400%, 09/15/2033 | $ | 16,337 | $ | 18,238 | ||||
6.000%, 04/01/2041 | 2,500 | 2,664 | ||||||
5.850%, 09/15/2035 | 2,700 | 2,818 | ||||||
4.750%, 11/01/2041 | 8,810 | 8,010 | ||||||
3.850%, 11/01/2042 | 870 | 696 | ||||||
Vodafone Group | ||||||||
7.875%, 02/15/2030 | 1,705 | 2,171 | ||||||
6.150%, 02/27/2037 | 300 | 326 | ||||||
4.375%, 02/19/2043 | 10,320 | 8,797 | ||||||
2.950%, 02/19/2023 | 4,380 | 4,006 | ||||||
|
| |||||||
208,411 | ||||||||
|
| |||||||
Utilities — 12.5% | ||||||||
AGL Capital | ||||||||
6.375%, 07/15/2016 | 100 | 112 | ||||||
5.875%, 03/15/2041 | 2,000 | 2,236 | ||||||
4.400%, 06/01/2043 | 1,825 | 1,662 | ||||||
3.500%, 09/15/2021 | 68 | 68 | ||||||
Alabama Power | ||||||||
5.200%, 06/01/2041 | 155 | 164 | ||||||
American Transmission Systems | ||||||||
5.250%, 01/15/2022 (A) | 1,135 | 1,201 | ||||||
Appalachian Power | ||||||||
7.000%, 04/01/2038 | 600 | 723 | ||||||
6.700%, 08/15/2037 | 50 | 58 | ||||||
5.800%, 10/01/2035 | 125 | 131 | ||||||
4.600%, 03/30/2021 | 605 | 654 | ||||||
Arizona Public Service | ||||||||
8.750%, 03/01/2019 | 1,005 | 1,298 | ||||||
4.500%, 04/01/2042 | 12 | 11 | ||||||
Baltimore Gas & Electric | ||||||||
6.350%, 10/01/2036 | 125 | 145 | ||||||
5.200%, 06/15/2033 | 1,620 | 1,627 | ||||||
Boston Gas | ||||||||
4.487%, 02/15/2042 (A) | 1,325 | 1,269 | ||||||
Bruce Mansfield Unit | ||||||||
6.850%, 06/01/2034 | 3,632 | 3,780 | ||||||
CenterPoint Energy Resources | ||||||||
6.625%, 11/01/2037 | 1,037 | 1,280 | ||||||
6.250%, 02/01/2037 | 1,525 | 1,708 | ||||||
4.500%, 01/15/2021 | 40 | 43 | ||||||
Centrica | ||||||||
5.375%, 10/16/2043 (A) | 4,220 | 4,182 | ||||||
Cleco Power | ||||||||
6.000%, 12/01/2040 | 1,690 | 1,869 | ||||||
Connecticut Light & Power | ||||||||
2.500%, 01/15/2023 | 1,200 | 1,115 | ||||||
Consolidated Edison of New York | ||||||||
6.750%, 04/01/2038 | 1,915 | 2,434 | ||||||
6.200%, 06/15/2036 | 65 | 78 | ||||||
5.700%, 06/15/2040 | 40 | 46 | ||||||
5.500%, 12/01/2039 | 75 | 83 | ||||||
3.950%, 03/01/2043 | 3,030 | 2,723 |
174 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Dominion Gas Holdings | ||||||||
4.800%, 11/01/2043 (A) | $ | 995 | $ | 974 | ||||
Dominion Resources | ||||||||
5.250%, 08/01/2033 | 5,765 | 6,159 | ||||||
4.900%, 08/01/2041 | 2,885 | 2,824 | ||||||
4.050%, 09/15/2042 | 1,000 | 857 | ||||||
DTE Electric | ||||||||
3.950%, 06/15/2042 | 80 | 71 | ||||||
3.900%, 06/01/2021 | 30 | 32 | ||||||
DTE Energy | ||||||||
6.375%, 04/15/2033 | 120 | 137 | ||||||
Duke Energy | ||||||||
3.950%, 10/15/2023 | 3,285 | 3,314 | ||||||
3.050%, 08/15/2022 | 3,380 | 3,244 | ||||||
2.150%, 11/15/2016 | 25 | 26 | ||||||
Duke Energy Carolinas | ||||||||
6.450%, 10/15/2032 | 110 | 131 | ||||||
6.100%, 06/01/2037 | 2,010 | 2,325 | ||||||
5.300%, 02/15/2040 | 5,760 | 6,312 | ||||||
4.000%, 09/30/2042 | 6,115 | 5,521 | ||||||
3.900%, 06/15/2021 | 50 | 53 | ||||||
3.550%, 09/15/2021 | 17 | 17 | ||||||
Duke Energy Florida | ||||||||
6.400%, 06/15/2038 | 360 | 450 | ||||||
Duke Energy Indiana | ||||||||
6.350%, 08/15/2038 | 3,255 | 4,039 | ||||||
4.900%, 07/15/2043 | 1,330 | 1,383 | ||||||
Duke Energy Progress | ||||||||
6.300%, 04/01/2038 | 130 | 158 | ||||||
4.100%, 05/15/2042 | 750 | 689 | ||||||
Duquesne Light Holdings | ||||||||
6.250%, 08/15/2035 | 2,500 | 2,634 | ||||||
El Paso Electric | ||||||||
3.300%, 12/15/2022 | 925 | 877 | ||||||
Electricite de France | ||||||||
5.250%, 12/29/2049 (A) (B) | 720 | 712 | ||||||
Elm Road Generating Station Supercritical | ||||||||
5.848%, 01/19/2041 (A) | 1,000 | 1,066 | ||||||
Enel Finance International | ||||||||
6.000%, 10/07/2039 (A) | 680 | 655 | ||||||
Entergy Louisiana | ||||||||
4.440%, 01/15/2026 | 1,420 | 1,445 | ||||||
Exelon | ||||||||
5.625%, 06/15/2035 | 500 | 496 | ||||||
Exelon Generation | ||||||||
6.250%, 10/01/2039 | 4,480 | 4,513 | ||||||
5.750%, 10/01/2041 | 5,465 | 5,258 | ||||||
5.600%, 06/15/2042 | 4,200 | 3,938 | ||||||
5.200%, 10/01/2019 | 100 | 110 | ||||||
FirstEnergy, Ser C | ||||||||
7.375%, 11/15/2031 | 3,383 | 3,578 | ||||||
Florida Power & Light | ||||||||
5.960%, 04/01/2039 | �� | 2,390 | 2,868 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
5.690%, 03/01/2040 | $ | 4,163 | $ | 4,856 | ||||
4.050%, 06/01/2042 | 1,250 | 1,149 | ||||||
3.800%, 12/15/2042 | 2,215 | 1,951 | ||||||
Georgia Power | ||||||||
5.650%, 03/01/2037 | 105 | 114 | ||||||
5.400%, 06/01/2040 | 8,270 | 8,688 | ||||||
4.300%, 03/15/2042 | 7,325 | 6,623 | ||||||
4.300%, 03/15/2043 | 600 | 542 | ||||||
Iberdrola Finance Ireland | ||||||||
5.000%, 09/11/2019 (A) | 750 | 814 | ||||||
Indiana Michigan Power | ||||||||
6.050%, 03/15/2037 | 280 | 309 | ||||||
Indianapolis Power & Light | ||||||||
6.050%, 10/01/2036 (A) | 710 | 804 | ||||||
4.875%, 11/01/2041 (A) | 1,290 | 1,254 | ||||||
4.650%, 06/01/2043 (A) | 4,350 | 4,046 | ||||||
International Transmission | ||||||||
4.625%, 08/15/2043 (A) | 1,000 | 997 | ||||||
ITC Holdings | ||||||||
5.300%, 07/01/2043 | 1,210 | 1,190 | ||||||
Jersey Central Power & Light | ||||||||
4.700%, 04/01/2024 (A) | 450 | 453 | ||||||
John Sevier Combined Cycle Generation | ||||||||
4.626%, 01/15/2042 | 2,059 | 2,042 | ||||||
KCP&L Greater Missouri Operations | ||||||||
8.270%, 11/15/2021 | 2,500 | 3,041 | ||||||
Kentucky Utilities | ||||||||
5.125%, 11/01/2040 | 2,425 | 2,596 | ||||||
KeySpan Gas East | ||||||||
5.819%, 04/01/2041 (A) | 3,966 | 4,504 | ||||||
Louisville Gas & Electric | ||||||||
4.650%, 11/15/2043 | 3,150 | 3,144 | ||||||
Massachusetts Electric | ||||||||
5.900%, 11/15/2039 (A) | 70 | 78 | ||||||
MidAmerican Energy MTN | ||||||||
6.750%, 12/30/2031 | 475 | 592 | ||||||
5.800%, 10/15/2036 | 856 | 979 | ||||||
MidAmerican Energy Holdings | ||||||||
6.500%, 09/15/2037 | 4,125 | 4,844 | ||||||
6.125%, 04/01/2036 | 7,815 | 8,839 | ||||||
5.950%, 05/15/2037 | 245 | 269 | ||||||
5.150%, 11/15/2043 (A) | 2,000 | 2,012 | ||||||
Monongahela Power | ||||||||
5.400%, 12/15/2043 (A) | 4,200 | 4,236 | ||||||
Nevada Power | ||||||||
6.650%, 04/01/2036 | 100 | 123 | ||||||
NextEra Energy Capital Holdings | ||||||||
6.000%, 03/01/2019 | 1,530 | 1,764 | ||||||
Niagara Mohawk Power | ||||||||
4.119%, 11/28/2042 (A) | 2,000 | 1,742 | ||||||
Nisource Finance | ||||||||
5.950%, 06/15/2041 | 220 | 231 | ||||||
5.800%, 02/01/2042 | 900 | 905 | ||||||
4.800%, 02/15/2044 | 3,830 | 3,420 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 175 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Corporate Bond Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Northeast Utilities | ||||||||
2.800%, 05/01/2023 | $ | 1,335 | $ | 1,228 | ||||
Northern States Power | ||||||||
7.125%, 07/01/2025 | 475 | 604 | ||||||
6.200%, 07/01/2037 | 2,500 | 3,034 | ||||||
3.400%, 08/15/2042 | 645 | 528 | ||||||
2.600%, 05/15/2023 | 1,760 | 1,641 | ||||||
Oglethorpe Power | ||||||||
5.375%, 11/01/2040 | 1,745 | 1,778 | ||||||
5.250%, 09/01/2050 | 65 | 64 | ||||||
Oncor Electric Delivery | ||||||||
7.000%, 09/01/2022 | 175 | 212 | ||||||
6.800%, 09/01/2018 | 35 | 42 | ||||||
5.300%, 06/01/2042 | 4,974 | 5,229 | ||||||
5.250%, 09/30/2040 | 4,050 | 4,113 | ||||||
4.550%, 12/01/2041 | 4,760 | 4,534 | ||||||
4.100%, 06/01/2022 | 2,150 | 2,198 | ||||||
Pacific Gas & Electric | ||||||||
6.250%, 03/01/2039 | 4,340 | 5,002 | ||||||
6.050%, 03/01/2034 | 5,610 | 6,345 | ||||||
5.800%, 03/01/2037 | 1,205 | 1,317 | ||||||
4.600%, 06/15/2043 | 3,300 | 3,091 | ||||||
3.250%, 09/15/2021 | 18 | 18 | ||||||
PacifiCorp | ||||||||
6.000%, 01/15/2039 | 1,835 | 2,166 | ||||||
4.100%, 02/01/2042 | 1,205 | 1,105 | ||||||
Peco Energy | ||||||||
4.800%, 10/15/2043 | 1,505 | 1,538 | ||||||
Pennsylvania Electric | ||||||||
6.150%, 10/01/2038 | 3,600 | 3,788 | ||||||
6.050%, 09/01/2017 | 50 | 56 | ||||||
Piedmont Natural Gas | ||||||||
4.650%, 08/01/2043 | 830 | 826 | ||||||
Potomac Electric Power | ||||||||
4.950%, 11/15/2043 | 950 | 953 | ||||||
PPL Electric Utilities | ||||||||
5.200%, 07/15/2041 | 1,100 | 1,182 | ||||||
PPL Energy Supply | ||||||||
4.600%, 12/15/2021 | 100 | 97 | ||||||
Progress Energy | ||||||||
7.050%, 03/15/2019 | 1,720 | 2,084 | ||||||
4.400%, 01/15/2021 | 25 | 27 | ||||||
PSEG Power | ||||||||
5.125%, 04/15/2020 | 50 | 55 | ||||||
4.300%, 11/15/2023 | 2,155 | 2,156 | ||||||
4.150%, 09/15/2021 | 127 | 130 | ||||||
Public Service Electric & Gas MTN | ||||||||
3.750%, 03/15/2024 | 2,150 | 2,201 | ||||||
3.650%, 09/01/2042 | 4,075 | 3,483 | ||||||
Public Service of Colorado | ||||||||
6.250%, 09/01/2037 | 1,960 | 2,440 | ||||||
3.950%, 03/15/2043 | 5,440 | 4,897 | ||||||
Public Service of Oklahoma | ||||||||
4.400%, 02/01/2021 | 27 | 29 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Puget Sound Energy | ||||||||
5.795%, 03/15/2040 | $ | 130 | $ | 149 | ||||
San Diego Gas & Electric | ||||||||
6.000%, 06/01/2026 | 625 | 758 | ||||||
Saudi Electricity Global Sukuk 2 | ||||||||
5.060%, 04/08/2043 (A) | 1,700 | 1,553 | ||||||
Sempra Energy | ||||||||
9.800%, 02/15/2019 | 50 | 67 | ||||||
6.000%, 10/15/2039 | 4,000 | 4,457 | ||||||
South Carolina Electric & Gas | ||||||||
5.450%, 02/01/2041 | 85 | 94 | ||||||
Southern California Edison | ||||||||
6.000%, 01/15/2034 | 175 | 205 | ||||||
5.950%, 02/01/2038 | 510 | 600 | ||||||
5.500%, 03/15/2040 | 70 | 79 | ||||||
4.650%, 10/01/2043 | 13,760 | 13,799 | ||||||
4.050%, 03/15/2042 | 6,405 | 5,849 | ||||||
Southern California Gas | ||||||||
3.750%, 09/15/2042 | 1,730 | 1,531 | ||||||
Southern Power | ||||||||
5.250%, 07/15/2043 | 1,235 | 1,231 | ||||||
Southwestern Electric Power | ||||||||
6.200%, 03/15/2040 | 4,019 | 4,430 | ||||||
Southwestern Public Service | ||||||||
8.750%, 12/01/2018 | 40 | 52 | ||||||
4.500%, 08/15/2041 | 1,660 | 1,631 | ||||||
Texas-New Mexico Power | ||||||||
6.950%, 04/01/2043 (A) | 2,000 | 2,519 | ||||||
Tucson Electric Power | ||||||||
3.850%, 03/15/2023 | 2,250 | 2,141 | ||||||
Union Electric | ||||||||
8.450%, 03/15/2039 | 2,930 | 4,479 | ||||||
Virginia Electric and Power | ||||||||
8.875%, 11/15/2038 | 235 | 365 | ||||||
4.650%, 08/15/2043 | 2,530 | 2,529 | ||||||
Westar Energy | ||||||||
4.625%, 09/01/2043 | 3,190 | 3,207 | ||||||
Wisconsin Electric Power | ||||||||
2.950%, 09/15/2021 | 3 | 3 | ||||||
|
| |||||||
298,636 | ||||||||
|
| |||||||
Total Corporate Obligations |
| 2,199,613 | ||||||
|
| |||||||
MUNICIPAL BONDS — 2.6% |
| |||||||
City of Chicago, GO | ||||||||
6.257%, 01/01/2040 | 1,280 | 1,139 | ||||||
City of Houston, Ser A, GO | ||||||||
6.290%, 03/01/2032 | 3,395 | 3,909 | ||||||
City of New York, GO | ||||||||
5.985%, 12/01/2036 | 1,175 | 1,314 | ||||||
City of San Francisco, Public Utilities Commission Water Revenue, Build America Project, RB | ||||||||
6.000%, 11/01/2040 | 1,250 | 1,458 |
176 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
City of San Francisco, Public Utilities Commission Water Revenue, Ser DE, Build America Project, RB | ||||||||
6.000%, 11/01/2040 | $ | 400 | $ | 467 | ||||
Dallas Area, Rapid Transit, Build America Project, RB | ||||||||
5.022%, 12/01/2048 | 640 | 673 | ||||||
Grand Parkway Transportation, Sub-Ser E, RB | ||||||||
5.184%, 10/01/2042 | 3,280 | 3,402 | ||||||
Illinois, Finance Authority, RB | ||||||||
4.000%, 06/01/2047 | 1,000 | 797 | ||||||
Indianapolis, Local Public Improvement Bond Bank, Build America Project, RB | ||||||||
6.116%, 01/15/2040 | 2,280 | 2,689 | ||||||
Los Angeles, Community College District, Ser D, GO | ||||||||
6.680%, 08/01/2036 | 1,000 | 1,211 | ||||||
Los Angeles, Department of Water & Power, Ser C, RB | ||||||||
5.516%, 07/01/2027 | 1,905 | 2,123 | ||||||
Metropolitan Water Reclamation District of Greater Chicago, RB | ||||||||
5.720%, 12/01/2038 | 2,000 | 2,180 | ||||||
Michigan State University, Build America Project, RB | ||||||||
6.173%, 02/15/2050 | 850 | 901 | ||||||
Municipal Electric Authority of Georgia, Build America Project, RB | ||||||||
7.055%, 04/01/2057 | 1,800 | 1,833 | ||||||
Municipal Electric Authority of Georgia, Build America Project, RB | ||||||||
6.637%, 04/01/2057 | 4,770 | 5,144 | ||||||
New Jersey State, Turnpike Authority, Build America Project, RB | ||||||||
7.414%, 01/01/2040 | 550 | 743 | ||||||
New York City, Municipal Water Finance Authority, Build America Project, RB | ||||||||
6.011%, 06/15/2042 | 750 | 886 | ||||||
New York City, Build America Project, GO | ||||||||
5.206%, 10/01/2031 | 1,500 | 1,574 | ||||||
North Texas, Tollway Authority, Build America Project, RB | ||||||||
6.718%, 01/01/2049 | 1,150 | 1,391 | ||||||
Ohio State University, Build America Project, RB | ||||||||
4.910%, 06/01/2040 | 1,685 | 1,772 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ohio State, Water Development Authority, Build America Project, RB | ||||||||
4.879%, 12/01/2034 | $ | 1,375 | $ | 1,430 | ||||
Port Authority of New York & New Jersey, Build America Project, RB | ||||||||
4.926%, 10/01/2051 | 495 | 484 | ||||||
Port Authority of New York & New Jersey, RB | ||||||||
4.458%, 10/01/2062 | 600 | 530 | ||||||
San Diego County, Water Authority, Build America Project, RB | ||||||||
6.138%, 05/01/2049 | 335 | 396 | ||||||
State of California, Build America Project, GO | ||||||||
7.300%, 10/01/2039 | 800 | 1,037 | ||||||
State of Connecticut, Ser A, GO | ||||||||
5.850%, 03/15/2032 | 2,210 | 2,443 | ||||||
State of Illinois, Build America Project, GO | ||||||||
7.350%, 07/01/2035 | 900 | 980 | ||||||
State of Illinois, Build America Project, GO | ||||||||
5.100%, 06/01/2033 | 1,450 | 1,323 | ||||||
State of New York, Build America Project, RB | ||||||||
5.770%, 03/15/2039 | 5,315 | 6,022 | ||||||
State of Texas, Build America Project, GO | ||||||||
5.517%, 04/01/2039 | 500 | 574 | ||||||
State of Texas, Ser A, GO | ||||||||
4.631%, 04/01/2033 | 1,500 | 1,524 | ||||||
State of Texas, Transportation Communication Authority, Build America Project, | ||||||||
5.178%, 04/01/2030 | 1,730 | 1,881 | ||||||
State of Washington, Build America Project, Ser D, GO | ||||||||
5.481%, 08/01/2039 | 815 | 887 | ||||||
University of California, Build America Project, RB | ||||||||
5.770%, 05/15/2043 | 250 | 283 | ||||||
University of California, Build America Project, Ser AD, RB | ||||||||
4.858%, 05/15/2112 | 6,635 | 5,875 | ||||||
|
| |||||||
Total Municipal Bonds |
| 61,275 | ||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.4% |
| |||||||
FNMA | ||||||||
0.007%, 01/02/2014 (D) | 2,650 | 2,650 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 177 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Long Duration Corporate Bond Fund (Concluded)
November 30, 2013
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
Tennessee Valley Authority | ||||||||
5.375%, 04/01/2056 | $ | 3,935 | $ | 4,151 | ||||
3.500%, 12/15/2042 | 2,525 | 2,027 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 8,828 | ||||||
|
| |||||||
SOVEREIGN DEBT — 0.2% |
| |||||||
Federal Republic of Brazil | ||||||||
4.250%, 01/07/2025 | 1,400 | 1,316 | ||||||
International Bank for Reconstruction & Development MTN | ||||||||
3.541%, 10/31/2030 (D) | 2,605 | 1,204 | ||||||
Province of Quebec Canada MTN | ||||||||
6.350%, 01/30/2026 | 2,425 | 2,995 | ||||||
|
| |||||||
Total Sovereign Debt |
| 5,515 | ||||||
|
| |||||||
ASSET-BACKED SECURITY — 0.0% |
| |||||||
Other Asset-Backed Securities — 0.0% |
| |||||||
JGWPT XXX, Ser 2013-3A, | ||||||||
4.080%, 01/17/2073 (A) | 568 | 563 | ||||||
|
| |||||||
Total Asset-Backed Security |
| 563 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 2.6% |
| |||||||
U.S. Treasury Bills (D) (E) | ||||||||
0.036%, 12/05/2013 | 850 | 850 | ||||||
U.S. Treasury Bonds | ||||||||
3.750%, 11/15/2043 | 18,715 | 18,519 | ||||||
3.625%, 08/15/2043 | 34,320 | 33,180 | ||||||
2.875%, 05/15/2043 | 4,185 | 3,474 | ||||||
U.S. Treasury Notes | ||||||||
2.750%, 11/15/2023 | 3,365 | 3,368 | ||||||
1.750%, 05/15/2023 | 1,189 | 1,095 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 60,486 | ||||||
|
| |||||||
CASH EQUIVALENT — 1.6% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A | ||||||||
0.010%*† | 37,996,627 | 37,997 | ||||||
|
| |||||||
Total Cash Equivalent |
| 37,997 | ||||||
|
| |||||||
Total Investments — 99.9% |
| $ | 2,374,277 | |||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2013, are as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
U.S. 10-Year Treasury Note | (618 | ) | Mar-2014 | $ | 160 | |||||||
U.S. 2-Year Treasury Note | (371 | ) | Apr-2014 | (30 | ) | |||||||
U.S. 5-Year Treasury Note | (396 | ) | Apr-2014 | (73 | ) | |||||||
U.S. Long Treasury Bond | 152 | Mar-2014 | 113 | |||||||||
U.S. Ultra Long Treasury Bond | 496 | Mar-2014 | (34 | ) | ||||||||
|
| |||||||||||
$ | 136 | |||||||||||
|
|
For the period ended November 30, 2013, 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 $2,377,297 ($ Thousands).
* | The rate reported is the 7-day effective yield as of November 30, 2013. |
† | Investment in Affiliated Security (see Note 6). |
‡ | 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, 2013. 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, 2013. The coupon on a step bond changes on a specified date. |
(D) | The rate reported is the effective yield at time of purchase. |
(E) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
FNMA — Federal National Mortgage Association
GO — General Obligation
MTN — Medium Term Note
RB — Revenue Bond
Ser — Series
The following is a list of the level of inputs used as of November 30, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 2,199,613 | $ | — | $ | 2,199,613 | ||||||||
Municipal Bonds | — | 61,275 | — | 61,275 | ||||||||||||
U.S. Government Agency | ||||||||||||||||
Obligations | — | 8,828 | — | 8,828 | ||||||||||||
Sovereign Debt | — | 5,515 | — | 5,515 | ||||||||||||
Asset-Backed Security | — | 563 | — | 563 | ||||||||||||
U.S. Treasury Obligations | — | 60,486 | — | 60,486 | ||||||||||||
Cash Equivalent | 37,997 | — | — | 37,997 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 37,997 | $ | 2,336,280 | $ | — | $ | 2,374,277 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 273 | $ | — | $ | — | $ | 273 | ||||||||
Unrealized Depreciation | (137 | ) | — | — | (137 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 136 | $ | — | $ | — | $ | 136 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended November 30, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2013, 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 $0.
178 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Duration Bond Fund
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 41.1% |
| |||||||
Consumer Discretionary — 2.7% |
| |||||||
Amazon.com | ||||||||
0.650%, 11/27/2015 | $ | 825 | $ | 825 | ||||
Comcast | ||||||||
5.850%, 11/15/2015 | 350 | 385 | ||||||
DIRECTV Holdings LLC | ||||||||
3.550%, 03/15/2015 | 650 | 673 | ||||||
Harley-Davidson Financial Services MTN | ||||||||
3.875%, 03/15/2016 (A) | 750 | 796 | ||||||
Hasbro | ||||||||
6.125%, 05/15/2014 | 300 | 307 | ||||||
Maytag MTN | ||||||||
6.450%, 08/15/2014 | 1,300 | 1,353 | ||||||
NBCUniversal Enterprise | ||||||||
0.929%, 04/15/2018 (A) (B) | 1,400 | 1,408 | ||||||
0.781%, 04/15/2016 (A) (B) | 765 | 769 | ||||||
NBCUniversal Media LLC | ||||||||
2.100%, 04/01/2014 | 1,608 | 1,617 | ||||||
Newell Rubbermaid | ||||||||
2.000%, 06/15/2015 | 700 | 710 | ||||||
Nissan Motor Acceptance | ||||||||
0.950%, 09/26/2016 (A) (B) | 2,285 | 2,288 | ||||||
Thomson Reuters | ||||||||
0.875%, 05/23/2016 | 1,250 | 1,252 | ||||||
Time Warner Cable | ||||||||
7.500%, 04/01/2014 | 1,680 | 1,717 | ||||||
5.850%, 05/01/2017 | 950 | 1,047 | ||||||
Viacom | ||||||||
1.250%, 02/27/2015 | 590 | 593 | ||||||
|
| |||||||
15,740 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Consumer Staples — 2.8% |
| |||||||
Anheuser-Busch InBev Worldwide | ||||||||
4.125%, 01/15/2015 | $ | 1,200 | $ | 1,249 | ||||
BAT International Finance | ||||||||
1.400%, 06/05/2015 (A) | 1,365 | 1,378 | ||||||
Campbell Soup | ||||||||
0.542%, 08/01/2014 (B) | 550 | 551 | ||||||
ConAgra Foods | ||||||||
1.300%, 01/25/2016 | 1,250 | 1,257 | ||||||
General Mills | ||||||||
0.537%, 01/29/2016 (B) | 1,250 | 1,251 | ||||||
Heineken | ||||||||
0.800%, 10/01/2015 (A) | 390 | 390 | ||||||
Kellogg | ||||||||
0.469%, 02/13/2015 (B) | 1,000 | 1,001 | ||||||
Kimberly-Clark | ||||||||
0.361%, 05/15/2016 (B) | 1,390 | 1,392 | ||||||
Kraft Foods Group | ||||||||
1.625%, 06/04/2015 | 750 | 761 | ||||||
PepsiCo | ||||||||
0.436%, 07/30/2015 (B) | 1,720 | 1,722 | ||||||
Philip Morris International | ||||||||
2.500%, 05/16/2016 | 750 | 782 | ||||||
Providence Health & Services Obligated Group | ||||||||
1.048%, 10/01/2016 (B) | 1,450 | 1,442 | ||||||
Reynolds American | ||||||||
1.050%, 10/30/2015 | 310 | 311 | ||||||
SABMiller Holdings | ||||||||
0.932%, 08/01/2018 (A) (B) | 750 | 754 | ||||||
Walgreen | ||||||||
0.754%, 03/13/2014 (B) | 1,600 | 1,602 | ||||||
|
| |||||||
15,843 | ||||||||
|
| |||||||
Energy — 1.9% |
| |||||||
BP Capital Markets | ||||||||
0.749%, 05/10/2018 (B) | 1,500 | 1,497 | ||||||
0.700%, 11/06/2015 | 1,820 | 1,827 | ||||||
Kinder Morgan Energy Partners | ||||||||
5.000%, 12/15/2013 | 750 | 751 | ||||||
Schlumberger Investment | ||||||||
0.806%, 09/12/2014 (A) (B) | 870 | 873 | ||||||
Schlumberger Norge | ||||||||
1.250%, 08/01/2017 (A) | 205 | 203 | ||||||
Shell International Finance BV | ||||||||
0.451%, 11/15/2016 (B) | 1,670 | 1,670 | ||||||
Statoil | ||||||||
0.699%, 11/08/2018 (B) | 1,150 | 1,157 | ||||||
Total Capital Canada | ||||||||
0.624%, 01/15/2016 (B) | 1,810 | 1,820 | ||||||
TransCanada PipeLines | ||||||||
0.750%, 01/15/2016 | 1,175 | 1,174 | ||||||
|
| |||||||
10,972 | ||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 179 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Duration Bond Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Financials — 25.0% |
| |||||||
Abbey National Treasury Services | ||||||||
3.875%, 11/10/2014 (A) | $ | 1,400 | $ | 1,440 | ||||
ABN AMRO Bank | ||||||||
1.375%, 01/22/2016 (A) | 2,000 | 2,017 | ||||||
1.036%, 10/28/2016 (A) (B) | 850 | 851 | ||||||
American Express | ||||||||
0.828%, 05/22/2018 (B) | 1,000 | 999 | ||||||
American Express Centurion Bank | ||||||||
0.689%, 11/13/2015 (B) | 1,210 | 1,213 | ||||||
American Express Credit | ||||||||
0.747%, 07/29/2016 (B) | 775 | 779 | ||||||
American Honda Finance MTN | ||||||||
1.000%, 08/11/2015 (A) | 1,243 | 1,251 | ||||||
0.612%, 05/26/2016 (A) (B) | 2,600 | 2,603 | ||||||
American International Group | ||||||||
4.250%, 09/15/2014 | 1,350 | 1,388 | ||||||
Australia & New Zealand Banking Group | ||||||||
0.801%, 05/15/2018 (B) | 625 | 625 | ||||||
Bank of America | ||||||||
1.500%, 10/09/2015 | 1,615 | 1,631 | ||||||
1.281%, 01/15/2019 (B) | 1,000 | 1,003 | ||||||
1.250%, 01/11/2016 | 850 | 854 | ||||||
Bank of Montreal MTN | ||||||||
0.843%, 04/09/2018 (B) | 1,000 | 1,001 | ||||||
0.764%, 07/15/2016 (B) | 525 | 528 | ||||||
0.498%, 09/24/2015 (B) | 1,050 | 1,051 | ||||||
Bank of New York Mellon MTN | ||||||||
0.699%, 03/06/2018 (B) | 700 | 700 | ||||||
0.469%, 03/04/2016 (B) | 1,150 | 1,148 | ||||||
Bank of Nova Scotia | ||||||||
1.850%, 01/12/2015 | 2,295 | 2,332 | ||||||
0.950%, 03/15/2016 | 500 | 501 | ||||||
0.764%, 07/15/2016 (B) | 1,500 | 1,508 | ||||||
0.696%, 09/11/2015 (B) | 625 | 627 | ||||||
Bank of Tokyo-Mitsubishi UFJ | ||||||||
0.868%, 09/09/2016 (A) (B) | 500 | 502 | ||||||
0.687%, 02/26/2016 (A) (B) | 750 | 750 | ||||||
BB&T MTN | ||||||||
1.114%, 06/15/2018 (B) | 890 | 896 | ||||||
Berkshire Hathaway | ||||||||
0.800%, 02/11/2016 | 1,700 | 1,707 | ||||||
BNP Paribas MTN | ||||||||
3.003%, 12/20/2014 (B) | 1,530 | 1,572 | ||||||
BPCE MTN | ||||||||
1.488%, 04/25/2016 (B) | 950 | 963 | ||||||
Branch Banking & Trust | ||||||||
0.674%, 12/02/2016 (B) | 2,930 | 2,927 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
0.900%, 10/01/2015 | 525 | 528 | ||||||
0.766%, 07/18/2016 (B) | 1,300 | 1,306 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Capital One | ||||||||
0.700%, 03/22/2016 (B) | $ | 1,250 | $ | 1,247 | ||||
Capital One Bank USA | ||||||||
1.150%, 11/21/2016 | 800 | 800 | ||||||
Capital One Financial | ||||||||
1.394%, 07/15/2014 (B) | 2,126 | 2,135 | ||||||
CDP Financial | ||||||||
3.000%, 11/25/2014 (A) | 1,000 | 1,024 | ||||||
Citigroup | ||||||||
1.250%, 01/15/2016 | 2,800 | 2,813 | ||||||
0.921%, 11/15/2016 (B) | 1,000 | 1,001 | ||||||
Commonwealth Bank of Australia | ||||||||
0.753%, 09/20/2016 (A) (B) | 1,250 | 1,253 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank | ||||||||
0.732%, 03/18/2016 (B) | 1,000 | 1,002 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA MTN | ||||||||
2.125%, 10/13/2015 | 1,940 | 1,994 | ||||||
Credit Agricole | ||||||||
1.096%, 10/03/2016 (A) (B) | 2,025 | 2,032 | ||||||
Credit Agricole Home Loan SFH | ||||||||
0.992%, 07/21/2014 (A) (B) | 800 | 803 | ||||||
Credit Suisse USA | ||||||||
5.375%, 03/02/2016 | 890 | 979 | ||||||
Daimler Finance North America LLC | ||||||||
1.250%, 01/11/2016 (A) | 1,945 | 1,953 | ||||||
1.102%, 08/01/2018 (A) (B) | 800 | 805 | ||||||
0.922%, 08/01/2016 (A) (B) | 2,010 | 2,014 | ||||||
Danske Bank | ||||||||
1.294%, 04/14/2014 (A) (B) | 775 | 777 | ||||||
ERAC USA Finance LLC | ||||||||
2.250%, 01/10/2014 (A) | 186 | 186 | ||||||
1.400%, 04/15/2016 (A) | 335 | 336 | ||||||
Fifth Third Bank | ||||||||
0.748%, 11/18/2016 (B) | 1,300 | 1,301 | ||||||
0.647%, 02/26/2016 (B) | 1,320 | 1,320 | ||||||
Ford Motor Credit LLC | ||||||||
1.489%, 05/09/2016 (B) | 1,170 | 1,188 | ||||||
General Electric Capital | ||||||||
1.279%, 07/02/2015 (B) | 1,635 | 1,657 | ||||||
1.109%, 05/09/2016 (B) | 625 | 631 | ||||||
0.959%, 04/02/2018 (B) | 500 | 502 | ||||||
Goldman Sachs Group MTN | ||||||||
1.600%, 11/23/2015 | 875 | 886 | ||||||
1.436%, 04/30/2018 (B) | 875 | 881 | ||||||
1.341%, 11/15/2018 (B) | 500 | 498 | ||||||
1.239%, 11/21/2014 (B) | 810 | 815 | ||||||
0.744%, 01/12/2015 (B) | 1,170 | 1,169 | ||||||
HSBC Bank | ||||||||
1.044%, 01/17/2014 (A) (B) | 639 | 640 | ||||||
0.881%, 05/15/2018 (A) (B) | 650 | 652 |
180 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
HSBC Bank USA NY | ||||||||
4.625%, 04/01/2014 | $ | 1,200 | $ | 1,216 | ||||
HSBC USA | ||||||||
2.375%, 02/13/2015 | 570 | 583 | ||||||
Hyundai Capital America | ||||||||
1.625%, 10/02/2015 (A) | 870 | 875 | ||||||
ING Bank | ||||||||
1.891%, 09/25/2015 (A) (B) | 1,390 | 1,422 | ||||||
ING US | ||||||||
2.900%, 02/15/2018 | 650 | 668 | ||||||
International Lease Finance | ||||||||
6.500%, 09/01/2014 (A) | 850 | 883 | ||||||
Intesa Sanpaolo | ||||||||
3.125%, 01/15/2016 | 650 | 664 | ||||||
JPMorgan Chase | ||||||||
1.138%, 01/25/2018 (B) | 675 | 679 | ||||||
1.038%, 01/24/2014 (B) | 130 | 130 | ||||||
0.904%, 10/15/2015 (B) | 585 | 587 | ||||||
0.857%, 02/26/2016 (B) | 2,330 | 2,334 | ||||||
KeyBank | ||||||||
0.727%, 11/25/2016 (B) | 1,490 | 1,492 | ||||||
Lloyds TSB Bank MTN | ||||||||
4.375%, 01/12/2015 (A) | 371 | 386 | ||||||
Manufacturers & Traders Trust | ||||||||
0.558%, 03/07/2016 (B) | 1,210 | 1,207 | ||||||
MetLife Institutional Funding II | ||||||||
0.613%, 01/06/2015 (A) (B) | 1,630 | 1,634 | ||||||
Metropolitan Life Global | ||||||||
1.700%, 06/29/2015 (A) | 1,000 | 1,016 | ||||||
1.500%, 01/10/2018 (A) | 740 | 731 | ||||||
Monumental Global Funding | ||||||||
0.444%, 01/15/2014 (A) (B) | 437 | 437 | ||||||
Morgan Stanley | ||||||||
1.488%, 02/25/2016 (B) | 3,020 | 3,060 | ||||||
National Rural Utilities Cooperative Finance MTN | ||||||||
0.537%, 11/23/2016 (B) | 2,970 | 2,967 | ||||||
New York Life Global Funding | ||||||||
0.800%, 02/12/2016 (A) | 790 | 795 | ||||||
0.589%, 05/23/2016 (A) (B) | 1,750 | 1,757 | ||||||
Nissan Motor Acceptance | ||||||||
4.500%, 01/30/2015 (A) | 835 | 870 | ||||||
Nordea Bank | ||||||||
0.699%, 05/13/2016 (A) (B) | 900 | 903 | ||||||
PACCAR Financial MTN | ||||||||
0.509%, 02/08/2016 (B) | 1,000 | 1,001 | ||||||
Pentair Finance | ||||||||
1.350%, 12/01/2015 | 345 | 347 | ||||||
Petrobras Global Finance | ||||||||
1.857%, 05/20/2016 (B) | 2,800 | 2,777 | ||||||
PNC Bank | ||||||||
0.800%, 01/28/2016 | 1,000 | 1,001 | ||||||
0.557%, 04/29/2016 (B) | 1,730 | 1,731 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Pricoa Global Funding I | ||||||||
5.450%, 06/11/2014 (A) | $ | 1,271 | $ | 1,304 | ||||
1.150%, 11/25/2016 (A) | 800 | 800 | ||||||
Principal Life Global Funding II | ||||||||
1.000%, 12/11/2015 (A) | 1,265 | 1,268 | ||||||
0.868%, 07/09/2014 (A) (B) | 400 | 402 | ||||||
0.606%, 05/27/2016 (A) (B) | 1,030 | 1,032 | ||||||
Principal Life Income Funding Trusts MTN | ||||||||
5.100%, 04/15/2014 | 540 | 550 | ||||||
Prudential Financial MTN | ||||||||
5.100%, 09/20/2014 | 479 | 496 | ||||||
1.021%, 08/15/2018 (B) | 1,250 | 1,252 | ||||||
Royal Bank of Canada MTN | ||||||||
1.125%, 07/22/2016 | 1,450 | 1,459 | ||||||
0.850%, 03/08/2016 | 2,280 | 2,273 | ||||||
0.628%, 03/08/2016 (B) | 800 | 802 | ||||||
Royal Bank of Scotland Group | ||||||||
2.550%, 09/18/2015 | 295 | 302 | ||||||
Simon Property Group‡ | ||||||||
6.750%, 05/15/2014 | 900 | 911 | ||||||
SLM MTN | ||||||||
3.875%, 09/10/2015 | 400 | 412 | ||||||
Societe Generale | ||||||||
1.328%, 10/01/2018 (B) | 1,000 | 1,002 | ||||||
Sumitomo Mitsui Banking | ||||||||
1.350%, 07/18/2015 | 650 | 656 | ||||||
SunTrust Banks | ||||||||
3.600%, 04/15/2016 | 1,250 | 1,324 | ||||||
Svenska Handelsbanken | ||||||||
0.721%, 09/23/2016 (B) | 1,500 | 1,502 | ||||||
Toronto-Dominion Bank MTN | ||||||||
0.716%, 09/09/2016 (B) | 850 | 851 | ||||||
0.418%, 05/01/2015 (B) | 1,405 | 1,405 | ||||||
Toyota Motor Credit | ||||||||
0.529%, 05/17/2016 (B) | 2,760 | 2,766 | ||||||
Travelers | ||||||||
6.250%, 06/20/2016 | 2,000 | 2,267 | ||||||
UBS MTN | ||||||||
5.875%, 07/15/2016 | 1,000 | 1,112 | ||||||
Union Bank | ||||||||
1.000%, 09/29/2016 (B) | 400 | 403 | ||||||
USAA Capital | ||||||||
3.500%, 07/17/2014 (A) | 450 | 459 | ||||||
Ventas Realty‡ | ||||||||
1.550%, 09/26/2016 | 750 | 755 | ||||||
Volkswagen International Finance | ||||||||
0.676%, 11/18/2016 (A) (B) | 2,760 | 2,759 | ||||||
2.875%, 04/01/2016 (A) | 1,575 | 1,646 | ||||||
Wells Fargo MTN | ||||||||
1.500%, 07/01/2015 | 750 | 760 | ||||||
0.869%, 04/23/2018 (B) | 1,250 | 1,253 | ||||||
0.772%, 07/20/2016 (B) | 2,270 | 2,278 | ||||||
Western Union | ||||||||
2.375%, 12/10/2015 | 145 | 149 | ||||||
1.239%, 08/21/2015 (B) | 625 | 627 | ||||||
|
| |||||||
143,885 | ||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 181 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Duration Bond Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Health Care — 2.0% |
| |||||||
AbbVie | ||||||||
1.200%, 11/06/2015 | $ | 700 | $ | 707 | ||||
Baxter International | ||||||||
0.426%, 12/11/2014 (B) | 1,300 | 1,302 | ||||||
Express Scripts Holding | ||||||||
2.750%, 11/21/2014 | 2,050 | 2,092 | ||||||
GlaxoSmithKline Capital | ||||||||
0.700%, 03/18/2016 | 1,250 | 1,250 | ||||||
McKesson | ||||||||
0.950%, 12/04/2015 | 395 | 395 | ||||||
Merck | ||||||||
0.429%, 05/18/2016 (B) | 1,500 | 1,505 | ||||||
Mylan | ||||||||
1.350%, 11/29/2016 | 950 | 952 | ||||||
Perrigo | ||||||||
1.300%, 11/08/2016 (A) | 265 | 265 | ||||||
Quest Diagnostics | ||||||||
1.100%, 03/24/2014 (B) | 625 | 626 | ||||||
Teva Pharmaceutical Finance III BV | ||||||||
0.750%, 03/21/2014 (B) | 2,090 | 2,091 | ||||||
Thermo Fisher Scientific | ||||||||
2.050%, 02/21/2014 | 189 | 189 | ||||||
WellPoint | ||||||||
1.250%, 09/10/2015 | 211 | 213 | ||||||
|
| |||||||
11,587 | ||||||||
|
| |||||||
Industrials — 1.3% |
| |||||||
Canadian National Railway | ||||||||
0.438%, 11/06/2015 (B) | 1,970 | 1,971 | ||||||
Caterpillar Financial Services MTN | ||||||||
0.357%, 11/25/2015 (B) | 1,500 | 1,499 | ||||||
General Electric | ||||||||
0.850%, 10/09/2015 | 2,995 | 3,012 | ||||||
Kansas City Southern de Mexico | ||||||||
0.937%, 10/28/2016 (A) (B) | 350 | 350 | ||||||
Penske Truck Leasing | ||||||||
2.500%, 07/11/2014 (A) | 85 | 86 | ||||||
Precision Castparts | ||||||||
0.700%, 12/20/2015 | 235 | 236 | ||||||
|
| |||||||
7,154 | ||||||||
|
| |||||||
Information Technology — 0.8% |
| |||||||
Dell | ||||||||
0.848%, 04/01/2014 (B) | 500 | 497 | ||||||
Hewlett-Packard | ||||||||
0.661%, 05/30/2014 (B) | 1,550 | 1,549 | ||||||
TSMC Global | ||||||||
0.950%, 04/03/2016 (A) | 550 | 548 | ||||||
Xerox | ||||||||
1.059%, 05/16/2014 (B) | 1,963 | 1,966 | ||||||
|
| |||||||
4,560 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Materials — 1.4% |
| |||||||
Glencore Funding LLC | ||||||||
1.396%, 05/27/2016 (A) (B) | $ | 1,350 | $ | 1,340 | ||||
Monsanto | ||||||||
0.438%, 11/07/2016 (B) | 1,390 | 1,391 | ||||||
Rio Tinto Finance USA | ||||||||
8.950%, 05/01/2014 | 1,000 | 1,034 | ||||||
1.094%, 06/17/2016 (B) | 2,260 | 2,277 | ||||||
Xstrata Finance Canada | ||||||||
2.050%, 10/23/2015 (A) | 1,750 | 1,765 | ||||||
Yara International | ||||||||
5.250%, 12/15/2014 (A) | 450 | 468 | ||||||
|
| |||||||
8,275 | ||||||||
|
| |||||||
Telecommunication Services — 1.5% |
| |||||||
AT&T | ||||||||
0.624%, 02/12/2016 (B) | 2,850 | 2,840 | ||||||
BellSouth | ||||||||
5.200%, 09/15/2014 | 361 | 374 | ||||||
Verizon Communications | ||||||||
2.002%, 09/14/2018 (B) | 935 | 984 | ||||||
1.782%, 09/15/2016 (B) | 1,310 | 1,350 | ||||||
0.459%, 03/06/2015 (A) (B) | 1,550 | 1,547 | ||||||
Vodafone Group | ||||||||
0.623%, 02/19/2016 (B) | 1,200 | 1,203 | ||||||
|
| |||||||
8,298 | ||||||||
|
| |||||||
Utilities — 1.7% | ||||||||
Dominion Gas Holdings LLC | ||||||||
1.050%, 11/01/2016 (A) | 1,000 | 1,001 | ||||||
Dominion Resources | ||||||||
1.800%, 03/15/2014 | 1,050 | 1,054 | ||||||
Duke Energy | ||||||||
6.300%, 02/01/2014 | 1,030 | 1,039 | ||||||
Duke Energy Indiana | ||||||||
0.596%, 07/11/2016 (B) | 385 | 386 | ||||||
Georgia Power | ||||||||
0.641%, 08/15/2016 (B) | 1,700 | 1,701 | ||||||
0.625%, 11/15/2015 | 2,700 | 2,701 | ||||||
NextEra Energy Capital Holdings | ||||||||
1.339%, 09/01/2015 | 900 | 904 | ||||||
Pacific Gas & Electric | ||||||||
6.250%, 12/01/2013 | 500 | 500 | ||||||
Sempra Energy | ||||||||
1.014%, 03/15/2014 (B) | 600 | 601 | ||||||
|
| |||||||
9,887 | ||||||||
|
| |||||||
Total Corporate Obligations |
| 236,201 | ||||||
|
|
182 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES — 32.0% |
| |||||||
Automotive — 19.7% | ||||||||
Ally Auto Receivables Trust, | ||||||||
2.450%, 06/15/2016 (A) | $ | 410 | $ | 416 | ||||
Ally Auto Receivables Trust, | ||||||||
2.230%, 03/15/2016 | 1,008 | 1,017 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.590%, 01/17/2017 | 675 | 676 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.620%, 03/15/2017 | 700 | 701 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.510%, 12/22/2014 | 1,258 | 1,258 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.700%, 12/21/2015 | 325 | 326 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.630%, 05/15/2017 | 1,600 | 1,601 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.720%, 05/20/2016 | 1,145 | 1,147 | ||||||
Ally Master Owner Trust, | ||||||||
1.038%, 01/15/2016 (B) | 1,833 | 1,835 | ||||||
Ally Master Owner Trust, | ||||||||
1.540%, 09/15/2016 | 1,245 | 1,254 | ||||||
Ally Master Owner Trust, | ||||||||
1.440%, 02/15/2017 | 1,650 | 1,664 | ||||||
Ally Master Owner Trust, | ||||||||
1.210%, 06/15/2017 | 515 | 519 | ||||||
Ally Master Owner Trust, | ||||||||
0.618%, 02/15/2018 (B) | 610 | 609 | ||||||
Ally Master Owner Trust, | ||||||||
0.618%, 04/15/2018 (B) | 1,425 | 1,422 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
1.640%, 11/15/2016 (A) | 443 | 442 | ||||||
American Credit Acceptance Receivables Trust, | ||||||||
1.320%, 02/15/2017 (A) | 783 | 783 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
1.990%, 10/08/2015 | $ | 452 | $ | 452 | ||||
AmeriCredit Automobile Receivables Trust, | ||||||||
3.510%, 07/06/2017 | 325 | 329 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
1.390%, 09/08/2015 | 28 | 28 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
1.170%, 01/08/2016 | 620 | 621 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
2.280%, 06/08/2016 | 1,045 | 1,052 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.910%, 10/08/2015 | 29 | 29 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
1.050%, 10/11/2016 | 1,054 | 1,058 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.710%, 12/08/2015 | 231 | 231 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.620%, 06/08/2017 | 675 | 675 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.490%, 06/08/2016 | 629 | 629 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.650%, 12/08/2017 | 930 | 927 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.740%, 11/08/2016 | 1,185 | 1,186 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.549%, 07/08/2015 (B) | 330 | 330 | ||||||
ARI Fleet Lease Trust, | ||||||||
0.718%, 03/15/2020 (A) (B) | 1,082 | 1,084 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 183 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Duration Bond Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
ARI Fleet Lease Trust, | ||||||||
0.468%, 01/15/2021 (A) (B) | $ | 1,717 | $ | 1,715 | ||||
ARI Fleet Lease Trust, | ||||||||
0.700%, 12/15/2015 (A) | 585 | 585 | ||||||
BMW Vehicle Lease Trust, | ||||||||
0.930%, 09/21/2015 | 965 | 967 | ||||||
California Republic Auto Receivables Trust, | ||||||||
1.410%, 09/17/2018 (A) | 2,745 | 2,757 | ||||||
Capital Auto Receivables Asset Trust, Ser 2013-4, Cl A1 | ||||||||
0.546%, 03/21/2016 (B) | 1,070 | 1,070 | ||||||
Carfinance Capital Auto Trust, | ||||||||
1.650%, 07/17/2017 (A) | 150 | 150 | ||||||
CarMax Auto Owner Trust, | ||||||||
2.820%, 12/15/2014 | 20 | 20 | ||||||
CarMax Auto Owner Trust, | ||||||||
2.170%, 07/17/2017 | 875 | 899 | ||||||
CarMax Auto Owner Trust, | ||||||||
0.890%, 09/15/2016 | 329 | 330 | ||||||
CarMax Auto Owner Trust, | ||||||||
0.520%, 07/17/2017 | 385 | 385 | ||||||
CarMax Auto Owner Trust, | ||||||||
1.500%, 08/15/2018 | 225 | 226 | ||||||
CarMax Auto Owner Trust, | ||||||||
0.420%, 03/15/2016 | 318 | 318 | ||||||
Chesapeake Funding LLC, | ||||||||
1.419%, 04/07/2024 (A) (B) | 1,140 | 1,148 | ||||||
Chesapeake Funding LLC, | ||||||||
0.924%, 11/07/2023 (A) (B) | 1,891 | 1,895 | ||||||
Chesapeake Funding LLC, | ||||||||
0.619%, 05/07/2024 (A) (B) | 1,200 | 1,202 | ||||||
Chesapeake Funding LLC, | ||||||||
0.619%, 01/07/2025 (A) (B) | 880 | 881 | ||||||
Chrysler Capital Auto Receivables Trust, Ser 2013-AA, Cl A2 | ||||||||
0.610%, 11/15/2016 (A) | 540 | 540 | ||||||
Credit Acceptance Auto Loan Trust, Ser 2011-1, Cl B | ||||||||
3.960%, 09/15/2019 (A) | 1,030 | 1,056 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Credit Acceptance Auto Loan Trust, Ser 2012-1A, Cl A | ||||||||
2.200%, 09/16/2019 (A) | $ | 250 | $ | 252 | ||||
Credit Acceptance Auto Loan Trust, Ser 2013-1A, Cl A | ||||||||
1.210%, 10/15/2020 (A) | 560 | 560 | ||||||
Credit Acceptance Auto Loan Trust, Ser 2013-2A, Cl A | ||||||||
1.500%, 04/15/2021 (A) | 660 | 660 | ||||||
Enterprise Fleet Financing LLC, | ||||||||
1.140%, 11/20/2017 (A) | 744 | 746 | ||||||
Enterprise Fleet Financing LLC, | ||||||||
0.720%, 04/20/2018 (A) | 816 | 816 | ||||||
Enterprise Fleet Financing LLC, | ||||||||
0.680%, 09/20/2018 (A) | 1,845 | 1,845 | ||||||
Fifth Third Auto Trust, | ||||||||
0.450%, 01/15/2016 | 1,005 | 1,006 | ||||||
First Investors Auto Owner Trust, | ||||||||
1.470%, 05/15/2018 (A) | 870 | 875 | ||||||
First Investors Auto Owner Trust, Ser 2013-1A, Cl A2 | ||||||||
0.900%, 10/15/2018 (A) | 466 | 465 | ||||||
First Investors Auto Owner Trust, | ||||||||
1.230%, 03/15/2019 (A) | 1,350 | 1,352 | ||||||
First Investors Auto Owner Trust, | ||||||||
0.890%, 10/15/2015 (A) | 375 | 375 | ||||||
Ford Credit Auto Lease Trust, | ||||||||
0.570%, 09/15/2015 | 1,520 | 1,521 | ||||||
Ford Credit Auto Lease Trust, | ||||||||
0.438%, 01/15/2016 (B) | 535 | 535 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.840%, 06/15/2015 | 80 | 80 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
1.880%, 08/15/2017 | 875 | 899 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.580%, 12/15/2016 | 386 | 386 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.670%, 04/15/2018 | 1,075 | 1,075 | ||||||
Ford Credit Floorplan Master Owner Trust, | ||||||||
0.768%, 02/15/2016 (B) | 847 | 848 |
184 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-1, Cl A | ||||||||
0.638%, 01/15/2016 (B) | $ | 913 | $ | 913 | ||||
Ford Credit Floorplan Master Owner Trust, Ser 2012-2, Cl A | ||||||||
1.920%, 01/15/2019 | 875 | 897 | ||||||
Ford Credit Floorplan Master Owner Trust, | ||||||||
0.548%, 01/15/2018 (B) | 2,145 | 2,146 | ||||||
Ford Credit Floorplan Master Owner Trust, | ||||||||
0.638%, 09/15/2018 | 655 | 655 | ||||||
GE Dealer Floorplan Master Note Trust, Ser 2011-1, Cl A | ||||||||
0.768%, 07/20/2016 (B) | 2,525 | 2,530 | ||||||
GE Dealer Floorplan Master Note Trust, Ser 2012-1, Cl A | ||||||||
0.738%, 02/20/2017 (B) | 2,678 | 2,686 | ||||||
GE Dealer Floorplan Master Note Trust, Ser 2012-3, Cl A | ||||||||
0.658%, 06/20/2017 (B) | 1,625 | 1,629 | ||||||
GE Dealer Floorplan Master Note Trust, Ser 2012-4, Cl A | ||||||||
0.608%, 10/20/2017 (B) | 2,465 | 2,468 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2011-1, Cl A3 | ||||||||
0.960%, 05/16/2016 | 443 | 444 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2012-1, Cl A3 | ||||||||
0.680%, 04/15/2017 | 1,700 | 1,702 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2013-1, Cl A3 | ||||||||
0.650%, 07/16/2018 | 1,000 | 999 | ||||||
Hertz Fleet Lease Funding, | ||||||||
0.716%, 12/10/2027 (A) (B) | 845 | 845 | ||||||
Hertz Fleet Lease Funding, | ||||||||
1.216%, 12/10/2027 (A) (B) | 1,650 | 1,650 | ||||||
Hertz Vehicle Financing LLC, | ||||||||
2.600%, 02/25/2015 (A) | 751 | 753 | ||||||
Hertz Vehicle Financing LLC, | ||||||||
2.200%, 03/25/2016 (A) | 418 | 424 | ||||||
Honda Auto Receivables Owner Trust, Ser 2011-2, Cl A3 | ||||||||
0.940%, 03/18/2015 | 174 | 175 | ||||||
Honda Auto Receivables Owner Trust, Ser 2012-4, Cl A3 | ||||||||
0.520%, 08/18/2016 | 585 | 584 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Honda Auto Receivables Owner Trust, Ser 2013-1, Cl A3 | ||||||||
0.480%, 11/21/2016 | $ | 375 | $ | 375 | ||||
Huntington Auto Trust, | ||||||||
0.510%, 04/17/2017 | 545 | 544 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
0.970%, 04/15/2015 | 7 | 7 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
2.450%, 04/15/2016 | 425 | 433 | ||||||
Hyundai Auto Receivables Trust, | ||||||||
0.530%, 04/17/2017 | 675 | 676 | ||||||
M&T Bank Auto Receivables Trust, Ser 2013-1A, Cl A3 | ||||||||
1.060%, 11/15/2017 (A) | 2,200 | 2,213 | ||||||
Mercedes-Benz Auto Lease Trust, Ser 2012-A, Cl A3 | ||||||||
0.880%, 11/17/2014 | 297 | 297 | ||||||
Mercedes-Benz Auto Lease Trust, Ser 2013-A, Cl A3 | ||||||||
0.590%, 02/15/2016 | 965 | 966 | ||||||
Mercedes-Benz Auto Lease Trust, Ser 2013-B, Cl A3 | ||||||||
0.620%, 07/15/2016 | 985 | 985 | ||||||
Mercedes-Benz Auto Receivables Trust, Ser 2011-1, Cl A3 | ||||||||
0.850%, 03/16/2015 | 98 | 98 | ||||||
Mercedes-Benz Auto Receivables Trust, Ser 2012-1, Cl A3 | ||||||||
0.470%, 10/17/2016 | 985 | 986 | ||||||
Mercedes-Benz Master Owner Trust, Ser 2012-AA, Cl A | ||||||||
0.790%, 11/15/2017 (A) | 500 | 501 | ||||||
Mercedes-Benz Master Owner Trust, Ser 2012-BA, Cl A | ||||||||
0.438%, 11/15/2016 (A) (B) | 2,050 | 2,050 | ||||||
Motor, Ser 2013-1, Cl A1 | ||||||||
0.666%, 02/25/2021 (A) (B) | 802 | 803 | ||||||
Navistar Financial Owner Trust, | ||||||||
0.850%, 03/18/2015 (A) | 249 | 249 | ||||||
Nissan Auto Lease Trust, | ||||||||
0.980%, 05/15/2015 | 650 | 651 | ||||||
Nissan Auto Lease Trust, | ||||||||
0.450%, 06/15/2015 | 217 | 217 | ||||||
Nissan Auto Lease Trust, | ||||||||
0.450%, 09/15/2015 | 1,650 | 1,649 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 185 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Duration Bond Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Nissan Auto Lease Trust, | ||||||||
0.438%, 01/15/2016 (B) | $ | 410 | $ | 410 | ||||
Nissan Auto Receivables Owner Trust, Ser 2010-A, Cl A4 | ||||||||
1.310%, 09/15/2016 | 756 | 758 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2012-B, Cl A3 | ||||||||
0.460%, 10/17/2016 | 1,000 | 1,001 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2013-A, Cl A3 | ||||||||
0.500%, 05/15/2017 | 615 | 615 | ||||||
Nissan Master Owner Trust Receivables, Ser 2012-A, Cl A | ||||||||
0.638%, 05/15/2017 (B) | 1,770 | 1,776 | ||||||
Porsche Innovative Lease Owner Trust, Ser 2012-1, Cl A3 | ||||||||
0.540%, 12/21/2015 (A) | 430 | 430 | ||||||
Porsche Innovative Lease Owner Trust, Ser 2013-1, Cl A4 | ||||||||
0.880%, 10/22/2019 (A) | 665 | 666 | ||||||
Prestige Auto Receivables Trust, | ||||||||
1.090%, 02/15/2018 (A) | 1,899 | 1,905 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
3.890%, 07/17/2017 | 860 | 875 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
1.830%, 11/17/2014 (A) | 154 | 154 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
1.250%, 04/15/2015 | 5 | 5 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
0.790%, 08/17/2015 | 150 | 150 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
0.480%, 02/16/2016 | 314 | 314 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
0.700%, 09/15/2017 | 1,200 | 1,200 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
0.700%, 10/16/2017 | 865 | 865 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
0.548%, 04/17/2017 (B) | 935 | 935 | ||||||
SNAAC Auto Receivables Trust, | ||||||||
1.140%, 07/16/2018 (A) | 363 | 363 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Toyota Auto Receivables Owner Trust, Ser 2013-A, Cl A3 | ||||||||
0.550%, 01/17/2017 | $ | 280 | $ | 280 | ||||
Volkswagen Auto Lease Trust, | ||||||||
0.630%, 12/21/2015 | 1,305 | 1,307 | ||||||
Volkswagen Auto Lease Trust, | ||||||||
0.840%, 11/20/2015 | 365 | 366 | ||||||
Volkswagen Auto Loan Enhanced Trust, Ser 2011-1, Cl A4 | ||||||||
1.980%, 09/20/2017 | 1,000 | 1,013 | ||||||
Volkswagen Auto Loan Enhanced Trust, Ser 2013-1, Cl A2 | ||||||||
0.370%, 01/20/2016 | 845 | 845 | ||||||
Volvo Financial Equipment LLC, | ||||||||
0.740%, 03/15/2017 (A) | 960 | 959 | ||||||
Westlake Automobile Receivables Trust, Ser 2013-1A, Cl A2 | ||||||||
1.120%, 01/15/2018 (A) | 745 | 746 | ||||||
World Omni Auto Receivables Trust, Ser 2012-B, Cl A3 | ||||||||
0.610%, 06/15/2017 | 700 | 701 | ||||||
World Omni Automobile Lease Securitization Trust, | ||||||||
1.780%, 09/15/2016 | 133 | 133 | ||||||
World Omni Automobile Lease Securitization Trust, | ||||||||
0.930%, 11/16/2015 | 2,199 | 2,204 | ||||||
World Omni Automobile Lease Securitization Trust, | ||||||||
0.488%, 05/16/2016 (B) | 420 | 420 | ||||||
World Omni Master Owner Trust, | ||||||||
0.518%, 02/15/2018 (A) (B) | 1,605 | 1,603 | ||||||
|
| |||||||
112,940 | ||||||||
|
| |||||||
Credit Cards — 4.1% | ||||||||
American Express Credit Account Master Trust, Ser 2012-2, Cl B | ||||||||
0.990%, 03/15/2018 | 565 | 568 | ||||||
American Express Credit Account Master Trust, Ser 2013-3, Cl A | ||||||||
0.980%, 05/15/2019 | 455 | 456 | ||||||
Capital One Multi-Asset Execution Trust, | ||||||||
0.348%, 02/15/2019 (B) | 1,155 | 1,151 | ||||||
Capital One Multi-Asset Execution Trust, | ||||||||
0.960%, 09/16/2019 | 900 | 893 |
186 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Chase Issuance Trust, | ||||||||
0.790%, 06/15/2017 | $ | 1,165 | $ | 1,170 | ||||
Chase Issuance Trust, | ||||||||
0.590%, 08/15/2017 | 3,480 | 3,485 | ||||||
Chase Issuance Trust, | ||||||||
0.588%, 07/15/2020 (B) | 1,350 | 1,350 | ||||||
Citibank Omni Master Trust, | ||||||||
5.350%, 08/15/2018 (A) | 700 | 723 | ||||||
Citibank Omni Master Trust, | ||||||||
2.918%, 08/15/2018 (A) (B) | 1,000 | 1,017 | ||||||
Discover Card Execution Note Trust, Ser 2012-A1, Cl A1 | ||||||||
0.810%, 08/15/2017 | 550 | 552 | ||||||
Discover Card Execution Note Trust, Ser 2012-A3, Cl A3 | ||||||||
0.860%, 11/15/2017 | 301 | 303 | ||||||
Discover Card Execution Note Trust, Ser 2013-A3, Cl A3 | ||||||||
0.348%, 10/15/2018 (B) | 1,115 | 1,112 | ||||||
Dryrock Issuance Trust, | ||||||||
0.318%, 08/15/2017 (B) | 425 | 425 | ||||||
Dryrock Issuance Trust, | ||||||||
0.640%, 08/15/2018 | 1,215 | 1,214 | ||||||
Dryrock Issuance Trust, | ||||||||
0.514%, 07/16/2018 (B) | 360 | 361 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2009-4, Cl A | ||||||||
3.800%, 11/15/2017 | 740 | 762 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2011-1, Cl A | ||||||||
0.718%, 01/15/2017 (B) | 659 | 659 | ||||||
Golden Credit Card Trust, | ||||||||
0.618%, 07/17/2017 (A) (B) | 765 | 767 | ||||||
Golden Credit Card Trust, | ||||||||
0.790%, 09/15/2017 (A) | 675 | 677 | ||||||
Golden Credit Card Trust, | ||||||||
0.598%, 09/15/2018 (A) (B) | 1,120 | 1,120 | ||||||
Gracechurch Card Funding, | ||||||||
0.868%, 02/15/2017 (A) (B) | 1,500 | 1,506 | ||||||
Gracechurch Card Funding, | ||||||||
0.868%, 06/15/2017 (A) (B) | 1,000 | 1,005 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Master Credit Card Trust II, | ||||||||
0.780%, 04/21/2017 (A) | $ | 420 | $ | 420 | ||||
Master Credit Card Trust II, | ||||||||
0.597%, 01/22/2018 (A) (B) | 1,175 | 1,175 | ||||||
Penarth Master Issuer, | ||||||||
0.549%, 11/18/2017 (A) (B) | 800 | 800 | ||||||
|
| |||||||
23,671 | ||||||||
|
| |||||||
Mortgage Related Securities — 1.0% |
| |||||||
Accredited Mortgage Loan Trust, | ||||||||
0.506%, 01/25/2035 (B) | 517 | 503 | ||||||
Bayview Financial Acquisition Trust, | ||||||||
0.750%, 08/28/2044 (B) | 484 | 482 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.458%, 01/20/2034 (B) | 1,188 | 1,180 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.328%, 01/20/2036 (B) | 2,307 | 2,245 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.318%, 03/20/2036 (B) | 641 | 627 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.408%, 03/20/2036 (B) | 884 | 855 | ||||||
|
| |||||||
5,892 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 7.2% |
| |||||||
Ally Master Owner Trust, | ||||||||
2.150%, 01/15/2016 | 1,455 | 1,458 | ||||||
Apidos CLO XII, | ||||||||
1.344%, 04/15/2025 (A) (B) | 1,100 | 1,082 | ||||||
Atrium X, Ser 2013-10A, Cl A | ||||||||
1.396%, 07/16/2025 (A) (B) | 1,165 | 1,151 | ||||||
Babson CLO, Ser 2013-IA, Cl A | ||||||||
1.342%, 04/20/2025 (A) (B) | 1,200 | 1,180 | ||||||
Carlyle Global Market Strategies CLO, Ser 2013-2A, Cl A | ||||||||
1.396%, 04/18/2025 (A) (B) | 325 | 321 | ||||||
CIFC Funding, | ||||||||
1.396%, 04/16/2025 (A) (B) | 1,060 | 1,046 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
0.886%, 10/25/2034 (B) | 205 | 205 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 187 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Duration Bond Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CNH Equipment Trust, | ||||||||
0.940%, 05/15/2017 | $ | 179 | $ | 180 | ||||
CNH Equipment Trust, | ||||||||
0.570%, 12/15/2017 | 920 | 920 | ||||||
CNH Equipment Trust, | ||||||||
0.440%, 07/15/2016 | 785 | 785 | ||||||
CNH Equipment Trust, | ||||||||
0.490%, 03/15/2017 | 795 | 795 | ||||||
GE Equipment Midticket LLC, | ||||||||
1.470%, 07/14/2015 (A) | 136 | 136 | ||||||
GE Equipment Midticket LLC, | ||||||||
0.470%, 01/22/2015 | 314 | 314 | ||||||
GE Equipment Midticket LLC, | ||||||||
0.600%, 05/23/2016 | 270 | 270 | ||||||
GE Equipment Midticket LLC, | ||||||||
0.640%, 03/22/2016 | 400 | 400 | ||||||
GE Equipment Small Ticket LLC, | ||||||||
0.850%, 11/21/2014 (A) | 117 | 117 | ||||||
GE Equipment Transportation LLC, Ser 2011-1, Cl A4 | ||||||||
1.330%, 05/20/2019 | 204 | 204 | ||||||
GE Equipment Transportation LLC, Ser 2012-1, Cl A3 | ||||||||
0.990%, 11/23/2015 | 250 | 251 | ||||||
GE Equipment Transportation LLC, Ser 2012-2, Cl A3 | ||||||||
0.620%, 07/25/2016 | 3,995 | 3,996 | ||||||
GE Equipment Transportation LLC, Ser 2013-2, Cl A2 | ||||||||
0.610%, 06/24/2016 | 725 | 725 | ||||||
HLSS Servicer Advance Receivables Backed Notes, | ||||||||
1.990%, 10/15/2045 (A) | 765 | 770 | ||||||
HLSS Servicer Advance Receivables Backed Notes, | ||||||||
1.147%, 05/16/2044 (A) | 1,250 | 1,246 | ||||||
HLSS Servicer Advance Receivables Backed Notes, | ||||||||
1.981%, 11/15/2046 (A) | 1,235 | 1,235 | ||||||
HLSS Servicer Advance Receivables-Backed Notes, Ser 2013-T1, Cl A1 | ||||||||
0.898%, 01/15/2044 (A) | 1,990 | 1,988 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
HLSS Servicer Advance Receivables-Backed Notes, Ser 2013-T1, Cl A2 | ||||||||
1.495%, 01/16/2046 (A) | $ | 420 | $ | 420 | ||||
JCP&L Transition Funding LLC, | ||||||||
5.810%, 12/05/2015 | 67 | 67 | ||||||
John Deere Owner Trust, | ||||||||
0.430%, 02/17/2015 | 214 | 214 | ||||||
John Deere Owner Trust, | ||||||||
0.530%, 07/15/2016 | 605 | 605 | ||||||
John Deere Owner Trust, | ||||||||
0.600%, 03/15/2017 | 1,600 | 1,601 | ||||||
John Deere Owner Trust, | ||||||||
0.550%, 01/15/2016 | 540 | 540 | ||||||
JPMorgan Mortgage Acquisition, Ser 2005-FD1, Cl M1 | ||||||||
0.656%, 07/25/2035 | 758 | 754 | ||||||
Katonah, Ser 2005-7A, Cl B | ||||||||
0.661%, 11/15/2017 (A) (B) | 696 | 680 | ||||||
Macquarie Equipment Funding Trust, Ser 2012-A, Cl A2 | ||||||||
0.610%, 04/20/2015 (A) | 831 | 832 | ||||||
Madison Park Funding, | ||||||||
0.550%, 03/22/2021 (A) (B) | 580 | 553 | ||||||
MMAF Equipment Finance LLC, Ser 2012-AA, Cl A2 | ||||||||
0.840%, 01/12/2015 (A) | 252 | 253 | ||||||
Morgan Stanley ABS Capital I Trust, Ser 2005-WMC5, Cl M3 | ||||||||
0.901%, 06/25/2035 (B) | 334 | 330 | ||||||
Nelnet Education Loan Funding, Ser 2004-2A, Cl A4 | ||||||||
0.378%, 08/26/2019 (B) | 365 | 365 | ||||||
New York City Tax Lien, | ||||||||
1.190%, 11/10/2026 (A) | 406 | 406 | ||||||
Octagon Investment Partners XVI, Ser 2013-1A, Cl A | ||||||||
1.392%, 07/17/2025 (A) (B) | 1,000 | 984 | ||||||
OHA Credit Partners VIII, | ||||||||
1.362%, 04/20/2025 (A) (B) | 690 | 680 | ||||||
OHA Intrepid Leveraged Loan Fund, Ser 2013-1AR, Cl AR | ||||||||
1.162%, 04/20/2021 (A) (B) | 1,032 | 1,029 | ||||||
SLM Private Education Loan Trust, Ser 2011-B, Cl A1 | ||||||||
1.018%, 12/16/2024 (A) (B) | 546 | 547 |
188 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
SLM Student Loan Trust, | ||||||||
0.318%, 10/25/2021 (B) | $ | 13 | $ | 13 | ||||
SLM Student Loan Trust, | ||||||||
0.338%, 01/25/2023 (B) | 363 | 363 | ||||||
SLM Student Loan Trust, | ||||||||
0.385%, 07/25/2023 (B) | 4,160 | 4,145 | ||||||
SLM Student Loan Trust, | ||||||||
0.318%, 04/25/2023 (B) | 451 | 452 | ||||||
SLM Student Loan Trust, | ||||||||
0.238%, 07/25/2017 (B) | 417 | 416 | ||||||
SLM Student Loan Trust, | ||||||||
0.248%, 10/25/2017 (B) | 106 | 105 | ||||||
SLM Student Loan Trust, | ||||||||
0.438%, 01/25/2016 (B) | 425 | 425 | ||||||
SLM Student Loan Trust, | ||||||||
1.338%, 10/25/2016 (B) | 263 | 263 | ||||||
SLM Student Loan Trust, | ||||||||
0.788%, 10/25/2017 (B) | 82 | 82 | ||||||
SLM Student Loan Trust, | ||||||||
0.686%, 03/25/2026 (B) | 423 | 424 | ||||||
SLM Student Loan Trust, | ||||||||
1.168%, 10/15/2024 (A) (B) | 173 | 174 | ||||||
SLM Student Loan Trust, | ||||||||
0.370%, 11/25/2016 (B) | 773 | 773 | ||||||
SLM Student Loan Trust, | ||||||||
0.326%, 02/27/2017 (B) | 453 | 453 | ||||||
SLM Student Loan Trust, | ||||||||
0.326%, 02/27/2017 (B) | 444 | 444 | ||||||
SLM Student Loan Trust, | ||||||||
0.316%, 02/27/2017 (B) | 940 | 939 | ||||||
SMS Student Loan Trust, | ||||||||
0.488%, 10/28/2029 (B) | 330 | 329 | ||||||
SMS Student Loan Trust, | ||||||||
0.438%, 04/28/2029 (B) | 138 | 138 | ||||||
|
| |||||||
41,573 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 184,076 | |||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 13.8% |
| |||||||
Agency Mortgage-Backed Obligations — 2.7% |
| |||||||
FHLMC ARM (B) | ||||||||
2.377%, 05/01/2036 | $ | 211 | $ | 225 | ||||
2.207%, 02/01/2022 | 247 | 264 | ||||||
2.188%, 02/01/2030 | 185 | 196 | ||||||
FHLMC CMO, | ||||||||
6.100%, 10/15/2023 | 7 | 7 | ||||||
FHLMC CMO, | ||||||||
5.000%, 02/15/2032 | 47 | 47 | ||||||
FHLMC CMO, | ||||||||
4.000%, 09/15/2018 | 250 | 263 | ||||||
FHLMC CMO, | ||||||||
5.000%, 12/15/2032 | 74 | 75 | ||||||
FHLMC CMO, Ser 2004-2793, | ||||||||
5.500%, 11/15/2032 | 77 | 77 | ||||||
FHLMC CMO, Ser 2004-2890, | ||||||||
4.500%, 02/15/2019 | 44 | 45 | ||||||
FHLMC CMO, Ser 2005-2931, | ||||||||
4.500%, 07/15/2019 | 209 | 213 | ||||||
FHLMC CMO, Ser 2009-3558, | ||||||||
4.750%, 08/15/2019 | 117 | 118 | ||||||
FHLMC CMO, Ser 2010-3634, | ||||||||
4.000%, 11/15/2023 | 337 | 346 | ||||||
FNMA | ||||||||
6.000%, 01/01/2027 to 04/01/2040 | 886 | 976 | ||||||
5.000%, 04/01/2020 to 03/01/2025 | 1,468 | 1,583 | ||||||
4.710%, 03/01/2014 | 1,163 | 1,163 | ||||||
1.990%, 01/01/2017 | 425 | 426 | ||||||
1.940%, 01/01/2017 | 492 | 500 | ||||||
FNMA ARM (B) | ||||||||
2.340%, 01/01/2029 | 31 | 33 | ||||||
2.265%, 11/01/2023 | 64 | 67 | ||||||
2.245%, 11/01/2025 | 24 | 26 | ||||||
2.060%, 09/01/2024 | 162 | 169 | ||||||
2.046%, 05/01/2028 | 121 | 128 | ||||||
2.015%, 09/01/2024 | 63 | 65 | ||||||
1.250%, 11/01/2021 | 30 | 30 | ||||||
FNMA CMO, Ser 1993-58, Cl H | ||||||||
5.500%, 04/25/2023 | 39 | 43 | ||||||
FNMA CMO, Ser 2001-33, Cl FA | ||||||||
0.620%, 07/25/2031 (B) | 46 | 46 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 189 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Duration Bond Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FNMA CMO, Ser 2002-64, Cl FG | ||||||||
0.418%, 10/18/2032 (B) | $ | 48 | $ | 48 | ||||
FNMA CMO, Ser 2002-77, Cl CB | ||||||||
5.000%, 12/25/2017 | 290 | 307 | ||||||
FNMA CMO, Ser 2010-64, Cl EH | ||||||||
5.000%, 10/25/2035 | 222 | 231 | ||||||
FNMA CMO, Ser 2010-M3, Cl A1 | ||||||||
2.587%, 03/25/2020 | 369 | 373 | ||||||
FNMA CMO, Ser 2011-109, | ||||||||
4.000%, 08/25/2041 | 292 | 303 | ||||||
GNMA ARM | ||||||||
4.500%, 09/20/2039 (B) | 545 | 566 | ||||||
GNMA CMO, Ser 2009-104, | ||||||||
4.250%, 07/20/2036 | 354 | 371 | ||||||
GNMA CMO, Ser 2009-113, | ||||||||
4.000%, 03/16/2023 | 1,065 | 1,120 | ||||||
GNMA CMO, Ser 2009-24, Cl A | ||||||||
4.500%, 03/20/2034 | 35 | 35 | ||||||
GNMA CMO, Ser 2010-122, Cl A | ||||||||
1.897%, 01/16/2032 | 135 | 135 | ||||||
GNMA CMO, Ser 2010-43, Cl JA | ||||||||
3.000%, 09/20/2037 | 443 | 460 | ||||||
GNMA CMO, Ser 2010-61, Cl EA | ||||||||
5.000%, 09/20/2031 | 503 | 521 | ||||||
GNMA CMO, Ser 2011-110, Cl A | ||||||||
2.237%, 03/16/2033 | 251 | 253 | ||||||
NCUA Guaranteed Notes CMO, Ser 2010-R1, Cl 1A | ||||||||
0.619%, 10/07/2020 (B) | 774 | 777 | ||||||
NCUA Guaranteed Notes CMO, Ser 2010-R1, Cl 2A | ||||||||
1.840%, 10/07/2020 | 22 | 22 | ||||||
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 1A | ||||||||
0.544%, 11/06/2017 (B) | 369 | 370 | ||||||
NCUA Guaranteed Notes CMO, Ser 2011-R1, Cl 1A | ||||||||
0.624%, 01/08/2020 (B) | 917 | 920 | ||||||
NCUA Guaranteed Notes CMO, Ser 2011-R2, Cl 1A | ||||||||
0.574%, 02/06/2020 (B) | 543 | 546 | ||||||
NCUA Guaranteed Notes CMO, Ser 2011-R4, Cl 1A | ||||||||
0.549%, 03/06/2020 (B) | 648 | 650 | ||||||
NCUA Guaranteed Notes CMO, Ser 2011-R6, Cl 1A | ||||||||
0.549%, 05/07/2020 (B) | 429 | 430 | ||||||
|
| |||||||
15,569 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Non-Agency Mortgage-Backed Obligations — 11.1% |
| |||||||
Banc of America Merrill Lynch Commercial Mortgage, | ||||||||
4.936%, 11/10/2041 (B) | $ | 843 | $ | 860 | ||||
Banc of America Mortgage Securities, Ser 2005-F, Cl 2A2 | ||||||||
2.736%, 07/25/2035 (B) | 573 | 544 | ||||||
Banc of America Mortgage Securities, Ser 2005-J, Cl 2A1 | ||||||||
2.930%, 11/25/2035 (B) | 68 | 62 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-12, Cl 11A1 | ||||||||
2.575%, 02/25/2036 (B) | 165 | 130 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-3, | ||||||||
2.716%, 06/25/2035 (B) | 223 | 197 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-6, | ||||||||
2.714%, 08/25/2035 (B) | 382 | 324 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2004-PWR5, Cl A5 | ||||||||
4.978%, 07/11/2042 (B) | 212 | 216 | ||||||
Bear Stearns Commercial | ||||||||
4.825%, 11/11/2041 | 200 | 205 | ||||||
Bear Stearns Commercial | ||||||||
5.116%, 02/11/2041 (B) | 190 | 198 | ||||||
Bear Stearns Commercial | ||||||||
4.674%, 06/11/2041 | 1,396 | 1,456 | ||||||
Bear Stearns Commercial | ||||||||
4.933%, 02/13/2042 (B) | 1,731 | 1,798 | ||||||
Bear Stearns Commercial | ||||||||
5.405%, 12/11/2040 (B) | 925 | 984 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2004-C2, Cl A5 | ||||||||
4.733%, 10/15/2041 | 1,560 | 1,593 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2012-GC8, Cl A1 | ||||||||
0.685%, 09/10/2045 | 370 | 368 |
190 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
2.687%, 09/25/2034 (B) | $ | 108 | $ | 108 | ||||
Citigroup Mortgage Loan Trust, | ||||||||
2.910%, 03/25/2036 (B) | 338 | 284 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
0.440%, 01/25/2036 (B) | 126 | 125 | ||||||
Commercial Mortgage | ||||||||
3.156%, 07/10/2046 (A) | 985 | 1,016 | ||||||
Commercial Mortgage Pass- | ||||||||
1.116%, 05/15/2045 | 847 | 850 | ||||||
Commercial Mortgage Pass- | ||||||||
0.824%, 08/15/2045 | 269 | 269 | ||||||
Commercial Mortgage Pass- | ||||||||
0.666%, 11/15/2045 | 241 | 240 | ||||||
Commercial Mortgage Pass- | ||||||||
0.704%, 10/15/2045 | 559 | 556 | ||||||
Commercial Mortgage Pass- | ||||||||
0.673%, 12/10/2045 | 478 | 474 | ||||||
Commercial Mortgage Pass- | ||||||||
1.344%, 07/10/2045 | 618 | 622 | ||||||
Commercial Mortgage Trust, | ||||||||
1.156%, 12/10/2044 | 494 | 496 | ||||||
Commercial Mortgage Trust, | ||||||||
1.278%, 08/10/2046 | 635 | 638 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
0.710%, 02/25/2035 (B) | 49 | 46 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
2.754%, 02/20/2036 (B) | 291 | 238 | ||||||
Credit Suisse First Boston | ||||||||
5.113%, 07/15/2036 (B) | 359 | 363 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Credit Suisse First Boston | ||||||||
4.829%, 11/15/2037 | $ | 150 | $ | 154 | ||||
DBRR Trust, | ||||||||
0.946%, 09/25/2045 (A) | 178 | 178 | ||||||
DBUBS Mortgage Trust, | ||||||||
3.742%, 11/10/2046 (A) | 739 | 776 | ||||||
FDIC Commercial Mortgage Trust, Ser 2012-C1, Cl A | ||||||||
0.841%, 05/25/2035 (A) (B) | 713 | 714 | ||||||
FDIC Structured Sale Guaranteed Notes, Ser 2010-S1, Cl 1A | ||||||||
0.730%, 02/25/2048 (A) (B) | 318 | 319 | ||||||
Fosse Master Issuer, | ||||||||
1.646%, 10/18/2054 (A) (B) | 750 | 755 | ||||||
GE Capital Commercial Mortgage, | ||||||||
5.189%, 07/10/2039 (B) | 1,298 | 1,321 | ||||||
GMAC Commercial Mortgage Securities, Ser 2004-C3, Cl A4 | ||||||||
4.547%, 12/10/2041 | 47 | 47 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
3.583%, 11/19/2035 (B) | 367 | 322 | ||||||
Granite Master Issuer, | ||||||||
0.248%, 12/20/2054 (B) | 1,191 | 1,177 | ||||||
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A7 | ||||||||
5.317%, 06/10/2036 (B) | 445 | 448 | ||||||
GS Mortgage Securities II, | ||||||||
1.456%, 03/06/2020 (A) (B) | 839 | 840 | ||||||
GS Mortgage Securities II, | ||||||||
2.331%, 03/10/2044 (A) | 259 | 262 | ||||||
GS Mortgage Securities II, | ||||||||
0.662%, 11/10/2045 | 325 | 324 | ||||||
GS Mortgage Securities Trust, | ||||||||
3.849%, 12/10/2043 (A) | 717 | 759 | ||||||
GS Mortgage Securities Trust, | ||||||||
1.206%, 07/10/2046 | 451 | 452 | ||||||
GSR Mortgage Loan Trust, | ||||||||
2.838%, 07/25/2035 (B) | 417 | 339 | ||||||
GSR Mortgage Loan Trust, | ||||||||
2.778%, 01/25/2036 (B) | 518 | 483 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 191 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Duration Bond Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GSR Mortgage Loan Trust, | ||||||||
2.860%, 05/25/2047 (B) | $ | 401 | $ | 336 | ||||
Hilton USA Trust, Ser 2013-HLF, Cl AFL | ||||||||
1.169%, 11/05/2030 (A) (B) | 565 | 566 | ||||||
Impac CMB Trust, Ser 2004-9, | ||||||||
0.930%, 01/25/2035 (B) | 113 | 100 | ||||||
Impac CMB Trust, Ser 2005-2, | ||||||||
0.690%, 04/25/2035 (B) | 126 | 115 | ||||||
Impac CMB Trust, Ser 2005-3, | ||||||||
0.650%, 08/25/2035 (B) | 118 | 99 | ||||||
Impac CMB Trust, Ser 2005-5, | ||||||||
0.810%, 08/25/2035 (B) | 95 | 82 | ||||||
Impac CMB Trust, Ser 2005-8, | ||||||||
0.430%, 02/25/2036 (B) | 307 | 257 | ||||||
JPMorgan Chase Commercial Mortgage Securities Pass-Through, Ser 2004-C2, Cl A3 | ||||||||
5.441%, 05/15/2041 (B) | 577 | 581 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
4.719%, 01/15/2038 | 163 | 163 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.755%, 06/12/2041 (B) | 1,246 | 1,271 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
4.738%, 07/15/2042 | 1,260 | 1,316 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
4.936%, 08/15/2042 (B) | 1,472 | 1,550 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
3.853%, 06/15/2043 (A) | 741 | 767 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
2.749%, 11/15/2043 (A) | 714 | 734 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
1.525%, 07/15/2046 (A) | 309 | 310 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
1.600%, 08/15/2046 | $ | 1,778 | $ | 1,795 | ||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
0.705%, 10/15/2045 | 131 | 131 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
0.670%, 12/15/2047 | 255 | 254 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
1.303%, 01/15/2046 | 827 | 831 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.702%, 08/25/2035 (B) | 239 | 228 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.666%, 05/25/2037 (B) | 287 | 231 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
5.020%, 08/15/2029 (B) | 1,292 | 1,312 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
4.786%, 10/15/2029 (B) | 490 | 499 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
4.799%, 12/15/2029 (B) | 1,163 | 1,186 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
4.475%, 10/15/2029 | 447 | 459 | ||||||
Merrill Lynch Mortgage Investors, | ||||||||
0.440%, 04/25/2035 (B) | 121 | 117 | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
4.855%, 10/12/2041 (B) | 840 | 855 | ||||||
Merrill Lynch Mortgage-Backed Securities Trust, Ser 2007-3, Cl 2A1 | ||||||||
3.149%, 06/25/2037 (B) | 459 | 353 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||
0.664%, 11/15/2045 | 155 | 155 | ||||||
Morgan Stanley Capital I Trust, | ||||||||
1.085%, 03/15/2045 | 802 | 804 |
192 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Morgan Stanley Capital I, | ||||||||
5.110%, 06/15/2040 (B) | $ | 976 | $ | 993 | ||||
Morgan Stanley Capital I, | ||||||||
4.660%, 09/13/2045 | 67 | 67 | ||||||
Morgan Stanley Capital I, | ||||||||
5.270%, 06/13/2041 (B) | 1,716 | 1,743 | ||||||
Morgan Stanley Capital I, | ||||||||
5.168%, 01/14/2042 | 635 | 652 | ||||||
Morgan Stanley Capital I, | ||||||||
4.890%, 06/12/2047 | 495 | 521 | ||||||
Morgan Stanley Re-REMIC Trust, | ||||||||
1.000%, 03/27/2051 (A) | 555 | 555 | ||||||
MortgageIT Trust, Ser 2005-5, | ||||||||
0.426%, 12/25/2035 (B) | 427 | 391 | ||||||
Mortgage-Linked Amortizing Notes CMO, Ser 2012-1, | ||||||||
2.060%, 01/15/2022 | 583 | 589 | ||||||
Opteum Mortgage Acceptance Asset-Backed Pass-Through Certificates, | ||||||||
0.566%, 02/25/2035 (B) | 172 | 172 | ||||||
Paragon Mortgages, | ||||||||
0.461%, 11/15/2038 (A) (B) | 169 | 152 | ||||||
Paragon Mortgages, | ||||||||
0.364%, 12/15/2039 (A) (B) | 409 | 363 | ||||||
Residential Funding Mortgage Securities, Ser 2007-SA3, | ||||||||
4.011%, 07/27/2037 (B) | 337 | 276 | ||||||
Sequoia Mortgage Trust, | ||||||||
0.438%, 01/20/2035 (B) | 54 | 49 | ||||||
Silverstone Master Issuer, | ||||||||
1.792%, 01/21/2055 (A) (B) | 225 | 228 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
1.270%, 06/25/2058 (A) (B) | 705 | 697 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C3, Cl A1 | ||||||||
0.726%, 08/10/2049 | 416 | 415 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
0.673%, 12/10/2045 | $ | 343 | $ | 342 | ||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
0.779%, 03/10/2046 | 870 | 866 | ||||||
UBS-Citigroup Commercial Mortgage Trust, | ||||||||
1.524%, 01/10/2045 | 929 | 939 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
4.935%, 04/15/2042 | 625 | 650 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
5.414%, 10/15/2044 (B) | 535 | 569 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
5.464%, 12/15/2044 (B) | 1,050 | 1,124 | ||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||
2.433%, 03/25/2036 (B) | 489 | 431 | ||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||
0.687%, 10/15/2045 | 426 | 425 | ||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||
1.264%, 08/15/2046 | 703 | 706 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.618%, 01/25/2035 (B) | 227 | 227 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.634%, 07/25/2036 (B) | 392 | 363 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||
2.741%, 09/25/2036 (B) | 270 | 246 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2011-C2, Cl A1 | ||||||||
2.501%, 02/15/2044 (A) | 1,221 | 1,238 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2011-C3, Cl A1 | ||||||||
1.988%, 03/15/2044 (A) | 914 | 926 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 193 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Duration Bond Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
WFRBS Commercial Mortgage Trust, Ser 2012-C10, Cl A1 | ||||||||
0.734%, 12/15/2045 | $ | 1,143 | $ | 1,139 | ||||
WFRBS Commercial Mortgage Trust, Ser 2012-C6, Cl A1 | ||||||||
1.081%, 04/15/2045 | 1,401 | 1,405 | ||||||
WFRBS Commercial Mortgage Trust, Ser C9, Cl A1 | ||||||||
0.673%, 11/15/2045 | 2,108 | 2,099 | ||||||
|
| |||||||
63,945 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities | 79,514 | |||||||
|
| |||||||
MUNICIPAL BONDS — 4.5% | ||||||||
City of Austin, Electric Utility Revenue, Ser B, RB | ||||||||
0.672%, 11/15/2015 | 1,840 | 1,840 | ||||||
City of Chicago, Midway Airport Revenue, Ser C, RB | ||||||||
1.320%, 01/01/2016 | 590 | 590 | ||||||
City of Chicago, Midway Airport Revenue, Ser D-2, RB | ||||||||
3.532%, 01/01/2041 (B) (C) | 1,830 | 1,835 | ||||||
City of New York, Ser D-2, GO | ||||||||
3.250%, 12/01/2014 | 500 | 513 | ||||||
County of Hamilton, Ohio Sewer System Revenue, RB | ||||||||
0.803%, 12/01/2015 | 2,755 | 2,775 | ||||||
County of Harris, Ser C, RB | ||||||||
2.440%, 08/15/2015 | 1,420 | 1,459 | ||||||
Florida State, Hurricane Catastrophe Fund Finance, | ||||||||
1.298%, 07/01/2016 | 1,165 | 1,163 | ||||||
Grand Parkway Transportation, Ser D, RB | ||||||||
1.000%, 10/01/2017 (B) | 745 | 746 | ||||||
Illinois State, GO | ||||||||
4.071%, 01/01/2014 | 1,040 | 1,043 | ||||||
Irvine Ranch, Water District Joint Powers Agency, RB | ||||||||
2.605%, 03/15/2014 | 550 | 554 | ||||||
Kalamazoo, Hospital Finance Authority, Ser B, RB | ||||||||
3.125%, 05/15/2041 (B) | 1,270 | 1,291 | ||||||
Louisiana, Local Government Environmental Facilities & Community Development Authority, RB | ||||||||
1.110%, 02/01/2016 | 45 | 45 | ||||||
Maine Municipal Bond Bank, RB | ||||||||
1.068%, 06/01/2015 | 1,030 | 1,030 | ||||||
Nebraska, Public Power District, | ||||||||
5.140%, 01/01/2014 | 715 | 718 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
New Jersey State, Economic Development Authority, | ||||||||
1.059%, 03/01/2016 | $ | 1,265 | $ | 1,259 | ||||
New Jersey State, Transportation Trust Fund Authority, | ||||||||
1.087%, 12/15/2016 | 2,800 | 2,788 | ||||||
New Jersey State, Turnpike Authority, Ser B, RB, AMBAC | ||||||||
4.252%, 01/01/2016 | 1,565 | 1,613 | ||||||
North Carolina State, Eastern Municipal Power Agency, | ||||||||
4.430%, 01/01/2014 | 650 | 652 | ||||||
Oregon State, School Boards Association, Ser A, GO, NATL | ||||||||
1.107%, 06/30/2015 (D) | 500 | 491 | ||||||
South Carolina State, Public Service Authority, Ser D, RB Callable 12/01/14 @ 100 | ||||||||
1.044%, 06/01/2015 (B) | 1,640 | 1,645 | ||||||
State of California, GO | ||||||||
5.450%, 04/01/2015 | 890 | 948 | ||||||
Wisconsin General Fund, | ||||||||
0.798%, 05/01/2015 | 820 | 824 | ||||||
|
| |||||||
Total Municipal Bonds | 25,822 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 3.5% |
| |||||||
FFCB | ||||||||
0.730%, 08/15/2016 | 2,600 | 2,600 | ||||||
FNMA | ||||||||
3.500%, 12/01/2040 | 3,850 | 4,057 | ||||||
3.000%, 12/25/2028 | 8,028 | 8,272 | ||||||
0.750%, 09/27/2016 | 1,725 | 1,726 | ||||||
0.500%, 07/02/2015 | 3,500 | 3,512 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 20,167 | ||||||
|
| |||||||
SOVEREIGN DEBT — 0.1% | ||||||||
European Investment Bank | ||||||||
1.125%, 08/15/2014 | 400 | 403 | ||||||
|
| |||||||
Total Sovereign Debt | 403 | |||||||
|
|
194 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
REPURCHASE AGREEMENT — 2.8% |
| |||||||
BNP Paribas | ||||||||
0.080%, dated 11/29/13, to be repurchased on 12/02/12, repurchase price $16,000,107 (collateralized by GNMA obligations, 3.000%-4.413%, 07/20/43 - 05/20/63, par values ranging $2,146,453-$13,384,149; with total market value $16,320,000) | $ | 16,000 | $ | 16,000 | ||||
|
| |||||||
Total Repurchase Agreement | 16,000 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 1.6% |
| |||||||
U.S. Treasury Notes | ||||||||
1.500%, 12/31/2013 | 5,850 | 5,856 | ||||||
0.250%, 02/15/2015 | 3,500 | 3,502 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 9,358 | |||||||
|
| |||||||
CASH EQUIVALENT — 4.3% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%*† | 24,982,401 | 24,982 | ||||||
|
| |||||||
Total Cash Equivalent | 24,982 | |||||||
|
| |||||||
Total Investments — 103.7% | $ | 596,523 | ||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2013, are as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
U.S. 10-Year Treasury Note | (74 | ) | Mar-2014 | $ | 18 | |||||||
U.S. 2-Year Treasury Note | (8 | ) | Apr-2014 | (1 | ) | |||||||
U.S. 5-Year Treasury Note | (52 | ) | Apr-2014 | 1 | ||||||||
U.S. Long Treasury Bond | (3 | ) | Mar-2014 | 2 | ||||||||
|
| |||||||||||
$ | 20 | |||||||||||
|
|
For the period ended November 30, 2013, 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 $575,362 ($ Thousands).
* | The rate reported is the 7-day effective yield as of November 30, 2013. |
† | Investment in Affiliated Security (see Note 6). |
‡ | 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, 2013. The date reported on the Schedule of Investments is the final maturity date. |
(C) | Pre-Refunded Security — The maturity date shown is the pre-refunded date. |
(D) | The rate reported is the effective yield at the time of purchase. |
ABS — Asset-Based Security
AMBAC — American Municipal Bond Assurance Corporation
ARM — Adjustable Rate Mortgage
Cl — Class
CLO — Collateralized Loan Obligation
CMO — Collateralized Mortgage Obligation
FFCB — Federal Farm Credit 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 |
RB | — Revenue Bond |
Re-REMIC | — Resecuritization of Real Estate Mortgage Investment Conduit |
Ser | — Series |
The following is a list of the level of inputs used as of November 30, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 236,201 | $ | — | $ | 236,201 | ||||||||
Asset-Backed Securities | — | 184,076 | — | 184,076 | ||||||||||||
Mortgage-Backed Securities | — | 79,514 | — | 79,514 | ||||||||||||
Municipal Bonds | — | 25,822 | — | 25,822 | ||||||||||||
U.S. Government Agency | ||||||||||||||||
Obligations | — | 20,167 | — | 20,167 | ||||||||||||
Sovereign Debt | — | 403 | — | 403 | ||||||||||||
Repurchase Agreement | — | 16,000 | — | 16,000 | ||||||||||||
U.S. Treasury Obligations | — | 9,358 | — | 9,358 | ||||||||||||
Cash Equivalent | 24,982 | — | — | 24,982 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 24,982 | $ | 571,541 | $ | — | $ | 596,523 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts** | ||||||||||||||||
Unrealized Appreciation | $ | 21 | $ | — | $ | — | $ | 21 | ||||||||
Unrealized Depreciation | (1 | ) | — | — | (1 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 20 | $ | — | $ | — | $ | 20 | ||||||||
|
|
|
|
|
|
|
|
** Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.
For the period ended November 30, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2013, 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 $0.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 195 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund
November 30, 2013
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
GLOBAL BONDS — 92.6% |
| |||||||||||
Argentina — 0.7% |
| |||||||||||
City of Buenos Aires Argentina | ||||||||||||
9.950%, 03/01/2017 (A) | 1,267 | $ | 1,267 | |||||||||
Republic of Argentina | ||||||||||||
8.750%, 06/02/2017 | 507 | 473 | ||||||||||
8.280%, 12/31/2033 | 681 | 525 | ||||||||||
8.280%, 12/31/2033 | 3,086 | 2,445 | ||||||||||
7.000%, 10/03/2015 | 1,812 | 1,761 | ||||||||||
7.000%, 10/03/2015 | 2,035 | 2,005 | ||||||||||
6.000%, 03/31/2023 (B) | 172 | 129 | ||||||||||
0.000%, 03/31/2023 (B) (C) | 1,680 | 1,184 | ||||||||||
|
| |||||||||||
9,789 | ||||||||||||
|
| |||||||||||
Azerbaijan — 0.2% |
| |||||||||||
State Oil of the Azerbaijan Republic MTN | ||||||||||||
5.450%, 02/09/2017 | 1,159 | 1,227 | ||||||||||
4.750%, 03/13/2023 | 1,889 | 1,773 | ||||||||||
|
| |||||||||||
3,000 | ||||||||||||
|
| |||||||||||
Belarus — 0.2% |
| |||||||||||
Republic of Belarus | ||||||||||||
8.950%, 01/26/2018 | 2,320 | 2,276 | ||||||||||
8.750%, 08/03/2015 | 1,280 | 1,275 | ||||||||||
|
| |||||||||||
3,551 | ||||||||||||
|
| |||||||||||
Bermuda — 0.1% |
| |||||||||||
Bermuda Government | ||||||||||||
4.138%, 01/03/2023 (A) | 880 | 834 | ||||||||||
|
| |||||||||||
Bolivia — 0.0% |
| |||||||||||
Bolivian Government International Bond | ||||||||||||
5.950%, 08/22/2023 | 440 | 431 | ||||||||||
4.875%, 10/29/2022 | 300 | 285 | ||||||||||
|
| |||||||||||
716 | ||||||||||||
|
|
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
Bosnia and Herzegovina — 0.0% |
| |||||||||||||
Republic of Bosnia & Herzegovina | ||||||||||||||
2.063%, 12/11/2021 (C) | DEM | 1,417 | $ | 794 | ||||||||||
|
| |||||||||||||
Brazil — 9.1% |
| |||||||||||||
Andrade Gutierrez International | ||||||||||||||
4.000%, 04/30/2018 | 203 | 196 | ||||||||||||
Banco do Brasil | ||||||||||||||
3.875%, 10/10/2022 | 230 | 201 | ||||||||||||
Banco Nacional de Desenvolvimento Economico e Social | ||||||||||||||
6.500%, 06/10/2019 (A) | 720 | 776 | ||||||||||||
6.500%, 06/10/2019 | 100 | 108 | ||||||||||||
5.750%, 09/26/2023 | 330 | 329 | ||||||||||||
5.500%, 07/12/2020 | 200 | 203 | ||||||||||||
5.500%, 07/12/2020 (A) | 400 | 406 | ||||||||||||
Brazil Letras do Tesouro Nacional | ||||||||||||||
11.293%, 01/01/2016 (D) | BRL | 10,630 | 3,607 | |||||||||||
10.556%, 01/01/2017 (D) | BRL | 68,983 | 20,721 | |||||||||||
10.456%, 01/01/2015 (D) | BRL | 9,300 | 3,565 | |||||||||||
Brazil Loan Trust 1 | ||||||||||||||
5.477%, 07/24/2023 (A) | 2,843 | 2,864 | ||||||||||||
Brazil Notas do Tesouro Nacional Serie B | ||||||||||||||
10.442%, 08/15/2020 | BRL | 7,160 | 7,079 | |||||||||||
Brazil Notas do Tesouro Nacional Serie F | ||||||||||||||
10.000%, 01/01/2017 | BRL | 36,660 | 14,827 | |||||||||||
10.000%, 01/01/2021 | BRL | 24,779 | 9,330 | |||||||||||
10.000%, 01/01/2023 | BRL | 81,022 | 29,647 | |||||||||||
Caixa Economica Federal | ||||||||||||||
4.500%, 10/03/2018 | 300 | 296 | ||||||||||||
Cia Energetica de Sao Paulo MTN | ||||||||||||||
9.750%, 01/15/2015 | 670 | 449 | ||||||||||||
Cielo | ||||||||||||||
3.750%, 11/16/2022 | 300 | 268 | ||||||||||||
ESAL GmbH | ||||||||||||||
6.250%, 02/05/2023 (A) | 296 | 268 | ||||||||||||
Federal Republic of Brazil | ||||||||||||||
10.250%, 01/10/2028 | BRL | 980 | 412 | |||||||||||
10.125%, 05/15/2027 | 2,138 | 3,207 | ||||||||||||
8.875%, 04/15/2024 | 445 | 599 | ||||||||||||
8.500%, 01/05/2024 | BRL | 5,368 | 2,025 | |||||||||||
8.250%, 01/20/2034 | 5,046 | 6,345 | ||||||||||||
7.125%, 01/20/2037 | 3,439 | 3,912 | ||||||||||||
5.875%, 01/15/2019 | 436 | 493 | ||||||||||||
4.875%, 01/22/2021 | 5,320 | 5,639 | ||||||||||||
4.250%, 01/07/2025 | 1,706 | 1,604 | ||||||||||||
2.625%, 01/05/2023 (E) | 5,525 | 4,751 |
196 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
General Shopping Finance | ||||||||||||
10.000%, 12/31/2049 (A) | 43 | $ | 39 | |||||||||
Globo Comunicacao e Participacoes | ||||||||||||
9.375%, 07/20/2015 (F) | 162 | 168 | ||||||||||
Hypermarcas | ||||||||||||
6.500%, 04/20/2021 (A) | 200 | 209 | ||||||||||
Itau Unibanco Holding | ||||||||||||
5.650%, 03/19/2022 (A) | 232 | 224 | ||||||||||
JBS Finance II | ||||||||||||
8.250%, 01/29/2018 (A) | 550 | 575 | ||||||||||
8.250%, 01/29/2018 | 180 | 188 | ||||||||||
Marfrig Holding Europe | ||||||||||||
9.875%, 07/24/2017 | 600 | 591 | ||||||||||
8.375%, 05/09/2018 | 552 | 512 | ||||||||||
Marfrig Overseas | ||||||||||||
9.500%, 05/04/2020 | 1,400 | 1,323 | ||||||||||
Minerva Luxembourg | ||||||||||||
12.250%, 02/10/2022 | 800 | 898 | ||||||||||
12.250%, 02/10/2022 (A) | 500 | 561 | ||||||||||
7.750%, 01/31/2023 | 400 | 393 | ||||||||||
7.750%, 01/31/2023 (A) | 295 | 290 | ||||||||||
Odebrecht Drilling Norbe VIII | ||||||||||||
6.350%, 06/30/2021 | 287 | 291 | ||||||||||
6.350%, 06/30/2021 (A) | 182 | 185 | ||||||||||
Odebrecht Finance | ||||||||||||
5.125%, 06/26/2022 (A) | 200 | 196 | ||||||||||
Odebrecht Offshore Drilling Finance | ||||||||||||
6.750%, 10/01/2022 (A) | 200 | 205 | ||||||||||
QGOG Atlantic | ||||||||||||
5.250%, 07/30/2018 (A) | 301 | 307 | ||||||||||
Samarco Mineracao | ||||||||||||
4.125%, 11/01/2022 (A) | 457 | 409 | ||||||||||
Schahin II Finance | ||||||||||||
5.875%, 09/25/2022 (A) | 201 | 194 | ||||||||||
Vale | ||||||||||||
5.625%, 09/11/2042 | 340 | 301 | ||||||||||
Vale Overseas | ||||||||||||
8.250%, 01/17/2034 | 410 | 474 | ||||||||||
6.875%, 11/21/2036 | 280 | 287 | ||||||||||
Voto-Votorantim Overseas Trading Operations | ||||||||||||
6.625%, 09/25/2019 (A) | 100 | 111 | ||||||||||
|
| |||||||||||
133,058 | ||||||||||||
|
| |||||||||||
Chile — 1.3% | ||||||||||||
Automotores Gildemeister | ||||||||||||
6.750%, 01/15/2023 | 250 | 191 | ||||||||||
Banco del Estado de Chile | ||||||||||||
4.125%, 10/07/2020 (A) | 300 | 307 | ||||||||||
4.125%, 10/07/2020 | 160 | 164 | ||||||||||
3.875%, 02/08/2022 (A) | 250 | 245 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
Bonos de la Tesoreria de la Republica en pesos | ||||||||||||||
6.000%, 01/01/2018 | CLP | 520,000 | $ | 1,049 | ||||||||||
6.000%, 01/01/2020 | CLP | 740,000 | 1,514 | |||||||||||
6.000%, 01/01/2022 | CLP | 225,000 | 461 | |||||||||||
BRT Escrow | ||||||||||||||
8.000%, 08/18/2018 (A) | — | — | ||||||||||||
Cencosud | ||||||||||||||
5.500%, 01/20/2021 (A) | 200 | 205 | ||||||||||||
4.875%, 01/20/2023 (A) | 300 | 284 | ||||||||||||
CFR International | ||||||||||||||
5.125%, 12/06/2022 (A) | 300 | 279 | ||||||||||||
Chile Government | ||||||||||||||
5.500%, 08/05/2020 | CLP | 563,000 | 1,082 | |||||||||||
3.875%, 08/05/2020 | 1,700 | 1,787 | ||||||||||||
3.250%, 09/14/2021 | 170 | 169 | ||||||||||||
2.250%, 10/30/2022 | 2,631 | 2,368 | ||||||||||||
Empresa Nacional del Petroleo | ||||||||||||||
6.250%, 07/08/2019 | 200 | 222 | ||||||||||||
6.250%, 07/08/2019 (A) | 30 | 33 | ||||||||||||
5.250%, 08/10/2020 | 120 | 124 | ||||||||||||
5.250%, 08/10/2020 (A) | 280 | 290 | ||||||||||||
GeoPark Latin America Agencia en Chile | ||||||||||||||
7.500%, 02/11/2020 (A) | 200 | 203 | ||||||||||||
Nacional del Cobre de Chile | ||||||||||||||
7.500%, 01/15/2019 | 190 | 229 | ||||||||||||
6.150%, 10/24/2036 | 958 | 1,024 | ||||||||||||
6.150%, 10/24/2036 (A) | 569 | 608 | ||||||||||||
5.625%, 09/21/2035 | 1,760 | 1,752 | ||||||||||||
5.625%, 10/18/2043 | 380 | 370 | ||||||||||||
4.500%, 08/13/2023 (A) | 1,589 | 1,592 | ||||||||||||
4.250%, 07/17/2042 (A) | 1,136 | 910 | ||||||||||||
3.875%, 11/03/2021 (A) | 450 | 444 | ||||||||||||
3.875%, 11/03/2021 | 447 | 441 | ||||||||||||
3.750%, 11/04/2020 | 425 | 425 | ||||||||||||
3.750%, 11/04/2020 (A) | 310 | 310 | ||||||||||||
3.000%, 07/17/2022 (A) | 924 | 839 | ||||||||||||
|
| |||||||||||||
19,921 | ||||||||||||||
|
| |||||||||||||
China — 1.7% | ||||||||||||||
Amber Circle Funding | ||||||||||||||
3.250%, 12/04/2022 | 1,020 | 932 | ||||||||||||
Bestgain Real Estate | ||||||||||||||
2.625%, 03/13/2018 | 200 | 188 | ||||||||||||
Central China Real Estate | ||||||||||||||
8.000%, 01/28/2020 | 400 | 396 | ||||||||||||
China Overseas Finance Cayman V | ||||||||||||||
3.950%, 11/15/2022 | 200 | 179 | ||||||||||||
China Railway Resources Huitung | ||||||||||||||
3.850%, 02/05/2023 | 330 | 307 | ||||||||||||
China SCE Property Holdings | ||||||||||||||
11.500%, 11/14/2017 | 1,200 | 1,317 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 197 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
November 30, 2013
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
China Shanshui Cement Group | ||||||||||||||
10.500%, 04/27/2017 (A) | 750 | $ | 816 | |||||||||||
10.500%, 04/27/2017 | 500 | 544 | ||||||||||||
10.500%, 04/27/2017 | 200 | 217 | ||||||||||||
8.500%, 05/25/2016 | 300 | 312 | ||||||||||||
COSCO Finance 2011 | ||||||||||||||
4.000%, 12/03/2022 | 200 | 181 | ||||||||||||
Country Garden Holdings | ||||||||||||||
11.250%, 04/22/2017 | 710 | 765 | ||||||||||||
11.125%, 02/23/2018 | 200 | 223 | ||||||||||||
7.500%, 01/10/2023 | 2,119 | 2,050 | ||||||||||||
7.250%, 04/04/2021 | 500 | 495 | ||||||||||||
7.250%, 04/04/2021 (A) | 202 | 200 | ||||||||||||
Evergrande Real Estate Group | ||||||||||||||
7.500%, 01/19/2014 | CNY | 3,280 | 540 | |||||||||||
Franshion Development | ||||||||||||||
6.750%, 04/15/2021 (A) | 430 | 436 | ||||||||||||
Kaisa Group Holdings | ||||||||||||||
8.875%, 03/19/2018 (A) | 200 | 203 | ||||||||||||
Longfor Properties MTN | ||||||||||||||
6.875%, 10/18/2019 | 200 | 203 | ||||||||||||
Sinochem Overseas Capital | ||||||||||||||
6.300%, 11/12/2040 | 390 | 413 | ||||||||||||
4.500%, 11/12/2020 (A) | 3,568 | 3,668 | ||||||||||||
4.500%, 11/12/2020 | 4,081 | 4,196 | ||||||||||||
Sinopec Capital 2013 | ||||||||||||||
3.125%, 04/24/2023 (A) | 1,369 | 1,248 | ||||||||||||
Sinopec Group Overseas Development 2012 | ||||||||||||||
4.875%, 05/17/2042 (A) | 320 | 305 | ||||||||||||
Sunac China Holdings | ||||||||||||||
12.500%, 10/16/2017 | 400 | 451 | ||||||||||||
9.375%, 04/05/2018 | 1,800 | 1,850 | ||||||||||||
Talent Yield Investments | ||||||||||||||
4.500%, 04/25/2022 | 2,006 | 2,007 | ||||||||||||
Yingde Gases Investment | ||||||||||||||
8.125%, 04/22/2018 | 1,000 | 1,033 | ||||||||||||
|
| |||||||||||||
25,675 | ||||||||||||||
|
| |||||||||||||
Colombia — 3.5% |
| |||||||||||||
Bancolombia | ||||||||||||||
5.125%, 09/11/2022 | 284 | 261 | ||||||||||||
Bogota Distrito Capital | ||||||||||||||
9.750%, 07/26/2028 (A) | COP | 10,018,000 | 6,566 | |||||||||||
9.750%, 07/26/2028 | COP | 510,000 | 334 | |||||||||||
Citigroup Funding, CLN (Republic of Colombia) | ||||||||||||||
11.000%, 07/24/2020 | COP | 8,365,000 | 5,249 | |||||||||||
Colombian TES | ||||||||||||||
7.500%, 08/26/2026 | COP | 2,650,000 | 1,372 | |||||||||||
7.000%, 02/25/2015 | COP | 620,000 | 712 | |||||||||||
7.000%, 05/04/2022 | COP | 3,130,000 | 1,619 | |||||||||||
7.000%, 05/04/2022 | COP | 3,540,000 | 1,831 | |||||||||||
7.000%, 05/04/2022 | COP | 628,000 | 325 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
7.000%, 05/04/2022 | COP | 5,560,000 | $ | 2,876 | ||||||||||
Ecopetrol | ||||||||||||||
7.625%, 07/23/2019 (A) | 210 | 248 | ||||||||||||
7.625%, 07/23/2019 | 55 | 65 | ||||||||||||
Emgesa ESP | ||||||||||||||
8.750%, 01/25/2021 | COP | 940,000 | 511 | |||||||||||
Empresa de Energia | ||||||||||||||
6.125%, 11/10/2021 | 200 | 206 | ||||||||||||
Empresas Publicas de Medellin ESP | ||||||||||||||
8.375%, 02/01/2021 | COP | 334,000 | 178 | |||||||||||
Grupo Aval | ||||||||||||||
4.750%, 09/26/2022 (A) | 227 | 208 | ||||||||||||
Gruposura Finance | ||||||||||||||
5.700%, 05/18/2021 (A) | 200 | 205 | ||||||||||||
Pacific Rubiales Energy | ||||||||||||||
5.125%, 03/28/2023 (A) | 534 | 485 | ||||||||||||
Republic of Colombia | ||||||||||||||
12.000%, 10/22/2015 | COP | 2,990,000 | 1,745 | |||||||||||
11.750%, 02/25/2020 | 2,303 | 3,334 | ||||||||||||
10.375%, 01/28/2033 | 430 | 635 | ||||||||||||
9.850%, 06/28/2027 | COP | 327,000 | 212 | |||||||||||
9.850%, 06/28/2027 | COP | 2,134,000 | 1,381 | |||||||||||
8.125%, 05/21/2024 | 1,165 | 1,506 | ||||||||||||
7.750%, 04/14/2021 | COP | 5,409,000 | 3,103 | |||||||||||
7.375%, 01/27/2017 | 310 | 360 | ||||||||||||
7.375%, 03/18/2019 | 2,092 | 2,526 | ||||||||||||
7.375%, 09/18/2037 | 5,750 | 7,001 | ||||||||||||
6.125%, 01/18/2041 | 1,810 | 1,914 | ||||||||||||
4.375%, 07/12/2021 | 2,154 | 2,240 | ||||||||||||
4.375%, 03/21/2023 | COP | 1,484,000 | 683 | |||||||||||
4.000%, 02/26/2024 | 968 | 934 | ||||||||||||
2.625%, 03/15/2023 | 599 | 527 | ||||||||||||
Transportadora de Gas Internacional ESP | ||||||||||||||
5.700%, 03/20/2022 (A) | 200 | 206 | ||||||||||||
|
| |||||||||||||
51,558 | ||||||||||||||
|
| |||||||||||||
Costa Rica — 0.2% |
| |||||||||||||
Banco de Costa Rica | ||||||||||||||
5.250%, 08/12/2018 | 390 | 391 | ||||||||||||
Banco Nacional | ||||||||||||||
6.250%, 11/01/2023 (A) | 290 | 285 | ||||||||||||
4.875%, 11/01/2018 | 783 | 775 | ||||||||||||
Costa Rica Government International Bond | ||||||||||||||
5.625%, 04/30/2043 | 290 | 248 | ||||||||||||
4.375%, 04/30/2025 | 290 | 261 | ||||||||||||
4.250%, 01/26/2023 | 1,090 | 997 | ||||||||||||
Instituto Costarricense de Electricidad | ||||||||||||||
6.950%, 11/10/2021 | 400 | 413 | ||||||||||||
6.375%, 05/15/2043 | 290 | 244 | ||||||||||||
|
| |||||||||||||
3,614 | ||||||||||||||
|
|
198 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
Croatia — 1.1% |
| |||||||||||||
Republic of Croatia | ||||||||||||||
6.750%, 11/05/2019 | 4,085 | $ | 4,402 | |||||||||||
6.625%, 07/14/2020 | 1,638 | 1,735 | ||||||||||||
6.375%, 03/24/2021 (A) | 1,552 | 1,614 | ||||||||||||
6.375%, 03/24/2021 | 1,130 | 1,175 | ||||||||||||
6.250%, 04/27/2017 (A) | 590 | 627 | ||||||||||||
6.250%, 04/27/2017 | 200 | 213 | ||||||||||||
6.000%, 01/26/2024 (A) | 1,427 | 1,397 | ||||||||||||
5.875%, 07/09/2018 | EUR | 170 | 248 | |||||||||||
5.500%, 04/04/2023 | 4,473 | 4,284 | ||||||||||||
|
| |||||||||||||
15,695 | ||||||||||||||
|
| |||||||||||||
Dominican Republic — 0.5% |
| |||||||||||||
Republic of Dominican Republic | ||||||||||||||
9.040%, 01/23/2018 | 705 | 756 | ||||||||||||
7.500%, 05/06/2021 | 4,089 | 4,396 | ||||||||||||
7.500%, 05/06/2021 (A) | 520 | 559 | ||||||||||||
6.600%, 01/28/2024 (A) | 280 | 280 | ||||||||||||
5.875%, 04/18/2024 | 880 | 826 | ||||||||||||
|
| |||||||||||||
6,817 | ||||||||||||||
|
| |||||||||||||
Ecuador — 0.1% |
| |||||||||||||
Republic of Ecuador | ||||||||||||||
9.375%, 12/15/2015 | 1,590 | 1,689 | ||||||||||||
|
| |||||||||||||
Egypt — 0.1% | ||||||||||||||
Arab Republic of Egypt | ||||||||||||||
6.875%, 04/30/2040 | 400 | 329 | ||||||||||||
5.750%, 04/29/2020 | 390 | 360 | ||||||||||||
5.750%, 04/29/2020 (A) | 270 | 249 | ||||||||||||
Nile Finance | ||||||||||||||
5.250%, 08/05/2015 | 260 | 259 | ||||||||||||
|
| |||||||||||||
1,197 | ||||||||||||||
|
| |||||||||||||
El Salvador — 0.4% |
| |||||||||||||
Republic of El Salvador | ||||||||||||||
8.250%, 04/10/2032 | 875 | 963 | ||||||||||||
8.250%, 04/10/2032 | 150 | 165 | ||||||||||||
7.750%, 01/24/2023 | 821 | 887 | ||||||||||||
7.750%, 01/24/2023 | 820 | 886 | ||||||||||||
7.650%, 06/15/2035 | 420 | 422 | ||||||||||||
7.650%, 06/15/2035 | 110 | 111 | ||||||||||||
7.650%, 06/15/2035 | 85 | 85 | ||||||||||||
7.625%, 02/01/2041 (A) | 150 | 150 | ||||||||||||
7.375%, 12/01/2019 (A) | 250 | 271 | ||||||||||||
7.375%, 12/01/2019 | 440 | 477 | ||||||||||||
5.875%, 01/30/2025 | 570 | 541 | ||||||||||||
Telemovil Finance | ||||||||||||||
8.000%, 10/01/2017 | 700 | 745 | ||||||||||||
|
| |||||||||||||
5,703 | ||||||||||||||
|
|
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
Gabon — 0.0% |
| |||||||||||||
Republic of Gabonese Republic | ||||||||||||||
8.200%, 12/12/2017 | 200 | $ | 233 | |||||||||||
|
| |||||||||||||
Georgia — 0.3% |
| |||||||||||||
Georgian Railway JSC | ||||||||||||||
7.750%, 07/11/2022 | 1,590 | 1,665 | ||||||||||||
7.750%, 07/11/2022 (A) | 420 | 440 | ||||||||||||
Republic of Georgia | ||||||||||||||
6.875%, 04/12/2021 | 1,823 | 1,946 | ||||||||||||
6.875%, 04/12/2021 (A) | 310 | 331 | ||||||||||||
|
| |||||||||||||
4,382 | ||||||||||||||
|
| |||||||||||||
Ghana — 0.2% |
| |||||||||||||
Republic of Ghana | ||||||||||||||
8.500%, 10/04/2017 | 1,371 | 1,474 | ||||||||||||
8.500%, 10/04/2017 (A) | 300 | 322 | ||||||||||||
7.875%, 08/07/2023 | 763 | 744 | ||||||||||||
|
| |||||||||||||
2,540 | ||||||||||||||
|
| |||||||||||||
Guatemala — 0.2% |
| |||||||||||||
Guatemala Government Bond | ||||||||||||||
4.875%, 02/13/2028 | 2,625 | 2,362 | ||||||||||||
|
| |||||||||||||
Hong Kong — 0.2% |
| |||||||||||||
Central China Real Estate MTN | ||||||||||||||
6.500%, 06/04/2018 | 1,500 | 1,455 | ||||||||||||
China Oriental Group | ||||||||||||||
8.000%, 08/18/2015 (A) | 400 | 408 | ||||||||||||
Hengdeli Holdings | ||||||||||||||
6.250%, 01/29/2018 | 440 | 449 | ||||||||||||
Industrial & Commercial Bank of China Asia MTN | ||||||||||||||
5.125%, 11/30/2020 | 610 | 642 | ||||||||||||
MCE Finance | ||||||||||||||
5.000%, 02/15/2021 (A) | 200 | 194 | ||||||||||||
|
| |||||||||||||
3,148 | ||||||||||||||
|
| |||||||||||||
Hungary — 3.2% |
| |||||||||||||
Republic of Hungary | ||||||||||||||
8.000%, 02/12/2015 | HUF | 315,000 | 1,501 | |||||||||||
7.750%, 08/24/2015 | HUF | 968,970 | 4,681 | |||||||||||
7.625%, 03/29/2041 | 1,510 | 1,610 | ||||||||||||
7.000%, 06/24/2022 | HUF | 1,012,960 | 4,852 | |||||||||||
6.750%, 02/24/2017 | HUF | 271,840 | 1,312 | |||||||||||
6.750%, 11/24/2017 | HUF | 1,793,320 | 8,710 | |||||||||||
6.500%, 06/24/2019 | HUF | 230,290 | 1,100 | |||||||||||
6.375%, 03/29/2021 | 1,132 | 1,216 | ||||||||||||
6.250%, 01/29/2020 | 910 | 977 | ||||||||||||
6.000%, 01/11/2019 | EUR | 1,024 | 1,500 | |||||||||||
6.000%, 11/24/2023 | HUF | 507,980 | 2,280 | |||||||||||
5.750%, 11/22/2023 | 3,390 | 3,350 | ||||||||||||
5.500%, 05/06/2014 | GBP | 598 | 993 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 199 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
November 30, 2013
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
5.500%, 12/22/2016 | HUF | 785,220 | $ | 3,674 | ||||||||||
5.500%, 12/20/2018 | HUF | 903,440 | 4,155 | |||||||||||
5.375%, 02/21/2023 | 1,784 | 1,746 | ||||||||||||
5.000%, 03/30/2016 | GBP | 253 | 428 | |||||||||||
4.125%, 02/19/2018 | 3,198 | 3,204 | ||||||||||||
|
| |||||||||||||
47,289 | ||||||||||||||
|
| |||||||||||||
India — 0.3% |
| |||||||||||||
Bharti Airtel International Netherlands | ||||||||||||||
5.125%, 03/11/2023 (A) | 283 | 259 | ||||||||||||
Export-Import Bank of India MTN | ||||||||||||||
4.000%, 08/07/2017 | 765 | 775 | ||||||||||||
ICICI Bank | ||||||||||||||
5.750%, 11/16/2020 (A) | 127 | 129 | ||||||||||||
5.750%, 11/16/2020 | 100 | 102 | ||||||||||||
Reliance Holdings USA | ||||||||||||||
5.400%, 02/14/2022 (A) | 250 | 253 | ||||||||||||
Vedanta Resources | ||||||||||||||
8.250%, 06/07/2021 | 1,700 | 1,717 | ||||||||||||
8.250%, 06/07/2021 (A) | 200 | 202 | ||||||||||||
7.125%, 05/31/2023 (A) | 200 | 184 | ||||||||||||
6.000%, 01/31/2019 (A) | 531 | 510 | ||||||||||||
|
| |||||||||||||
4,131 | ||||||||||||||
|
| |||||||||||||
Indonesia — 5.9% |
| |||||||||||||
Adaro Indonesia | ||||||||||||||
7.625%, 10/22/2019 (A) | 200 | 210 | ||||||||||||
7.625%, 10/22/2019 | 100 | 105 | ||||||||||||
Deutsche Bank, CLN | ||||||||||||||
7.000%, 05/15/2022 | IDR | 6,000,000 | 451 | |||||||||||
7.000%, 05/15/2027 | IDR | 2,500,000 | 175 | |||||||||||
Indo Energy Finance II | ||||||||||||||
6.375%, 01/24/2023 | 2,001 | 1,671 | ||||||||||||
6.375%, 01/24/2023 (A) | 200 | 167 | ||||||||||||
Indonesia Treasury Bond | ||||||||||||||
11.000%, 09/15/2025 | IDR | 2,000,000 | 192 | |||||||||||
9.000%, 03/15/2029 | IDR | 61,391,000 | 5,092 | |||||||||||
8.375%, 03/15/2024 | IDR | 62,712,000 | 5,124 | |||||||||||
8.375%, 03/15/2034 | IDR | 10,190,000 | 796 | |||||||||||
7.875%, 04/15/2019 | IDR | 33,858,000 | 2,802 | |||||||||||
6.625%, 05/15/2033 | IDR | 6,800,000 | 436 | |||||||||||
6.625%, 05/15/2033 | IDR | 3,500,000 | 225 | |||||||||||
6.125%, 05/15/2028 | IDR | 18,170,000 | 1,147 | |||||||||||
5.375%, 10/17/2023 | 360 | 360 | ||||||||||||
Indosat Palapa | ||||||||||||||
7.375%, 07/29/2020 (A) | 210 | 226 | ||||||||||||
7.375%, 07/29/2020 | 100 | 108 | ||||||||||||
JPMorgan, CLN | ||||||||||||||
7.000%, 05/15/2022 | IDR | 116,900,000 | 8,795 | |||||||||||
Listrindo Capital | ||||||||||||||
6.950%, 02/21/2019 (A) | 300 | 311 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
Majapahit Holding | ||||||||||||||
8.000%, 08/07/2019 | 200 | $ | 223 | |||||||||||
8.000%, 08/07/2019 (A) | 350 | 389 | ||||||||||||
7.875%, 06/29/2037 (A) | 215 | 221 | ||||||||||||
7.750%, 10/17/2016 | 250 | 276 | ||||||||||||
7.750%, 10/17/2016 | 160 | 177 | ||||||||||||
7.750%, 01/20/2020 (A) | 320 | 352 | ||||||||||||
Pertamina Persero | ||||||||||||||
6.500%, 05/27/2041 (A) | 820 | 697 | ||||||||||||
6.000%, 05/03/2042 (A) | 1,450 | 1,175 | ||||||||||||
6.000%, 05/03/2042 | 610 | 494 | ||||||||||||
5.625%, 05/20/2043 | 970 | 745 | ||||||||||||
4.875%, 05/03/2022 (A) | 550 | 501 | ||||||||||||
Perusahaan Listrik Negara | ||||||||||||||
5.500%, 11/22/2021 (A) | 390 | 376 | ||||||||||||
5.250%, 10/24/2042 | 200 | 146 | ||||||||||||
Perusahaan Penerbit SBSN Indonesia | ||||||||||||||
6.125%, 03/15/2019 | 540 | 572 | ||||||||||||
Republic of Indonesia | ||||||||||||||
11.625%, 03/04/2019 | 1,006 | 1,351 | ||||||||||||
11.625%, 03/04/2019 (A) | 2,610 | 3,504 | ||||||||||||
11.625%, 03/04/2019 | 3,084 | 4,140 | ||||||||||||
11.000%, 10/15/2014 | IDR | 5,300,000 | 456 | |||||||||||
10.375%, 05/04/2014 | 170 | 176 | ||||||||||||
8.500%, 10/12/2035 | 531 | 649 | ||||||||||||
8.500%, 10/12/2035 | 3,262 | 3,984 | ||||||||||||
8.250%, 06/15/2032 | IDR | 23,164,000 | 1,762 | |||||||||||
7.750%, 01/17/2038 | 2,505 | 2,843 | ||||||||||||
7.750%, 01/17/2038 | 5,075 | 5,760 | ||||||||||||
7.000%, 05/15/2022 | IDR | 72,100,000 | 5,424 | |||||||||||
6.875%, 01/17/2018 | 5,574 | 6,257 | ||||||||||||
6.875%, 01/17/2018 (A) | 100 | 112 | ||||||||||||
6.625%, 05/15/2033 | IDR | 36,980,000 | 2,373 | |||||||||||
6.625%, 02/17/2037 | 896 | 905 | ||||||||||||
6.625%, 02/17/2037 | 70 | 71 | ||||||||||||
6.250%, 04/15/2017 | IDR | 17,400,000 | 1,380 | |||||||||||
5.875%, 03/13/2020 | 890 | 955 | ||||||||||||
5.875%, 03/13/2020 (A) | 790 | 847 | ||||||||||||
5.625%, 05/15/2023 | IDR | 42,721,000 | 2,902 | |||||||||||
5.250%, 01/17/2042 | 867 | 724 | ||||||||||||
4.875%, 05/05/2021 (A) | 550 | 551 | ||||||||||||
4.875%, 05/05/2021 | 1,111 | 1,114 | ||||||||||||
3.750%, 04/25/2022 | 476 | 430 | ||||||||||||
3.375%, 04/15/2023 (A) | 3,237 | 2,768 | ||||||||||||
Tullow Oil | ||||||||||||||
6.000%, 11/01/2020 (A) | 205 | 206 | ||||||||||||
|
| |||||||||||||
86,381 | ||||||||||||||
|
| |||||||||||||
Iraq — 0.5% | ||||||||||||||
Republic of Iraq | ||||||||||||||
5.800%, 01/15/2028 | 8,337 | 6,982 | ||||||||||||
|
| |||||||||||||
Israel — 0.1% | ||||||||||||||
Altice Financing | ||||||||||||||
8.000%, 12/15/2019 | EUR | 140 | 205 | |||||||||||
7.875%, 12/15/2019 | 600 | 647 |
200 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
Altice Finco | ||||||||||||
9.875%, 12/15/2020 | 800 | $ | 884 | |||||||||
|
| |||||||||||
1,736 | ||||||||||||
|
| |||||||||||
Ivory Coast — 0.4% | ||||||||||||
Government of Ivory Coast | ||||||||||||
7.100%, 12/31/2032 | 3,084 | 2,752 | ||||||||||
5.750%, 12/31/2032 | 3,527 | 3,148 | ||||||||||
|
| |||||||||||
5,900 | ||||||||||||
|
| |||||||||||
Jamaica — 0.3% | ||||||||||||
Digicel Group | ||||||||||||
10.500%, 04/15/2018 | 1,770 | 1,907 | ||||||||||
8.250%, 09/30/2020 | 1,750 | 1,829 | ||||||||||
|
| |||||||||||
3,736 | ||||||||||||
|
| |||||||||||
Kazakhstan — 2.0% | ||||||||||||
Development Bank of Kazakhstan | ||||||||||||
4.125%, 12/10/2022 | 880 | 785 | ||||||||||
Halyk Savings Bank of Kazakhstan | ||||||||||||
7.250%, 01/28/2021 (A) | 700 | 742 | ||||||||||
7.250%, 01/28/2021 | 100 | 106 | ||||||||||
KazAgro National Management Holding | ||||||||||||
4.625%, 05/24/2023 | 420 | 381 | ||||||||||
Kazakhstan Temir Zholy Finance | ||||||||||||
6.950%, 07/10/2042 | 700 | 700 | ||||||||||
6.375%, 10/06/2020 (A) | 660 | 719 | ||||||||||
Kazatomprom | ||||||||||||
6.250%, 05/20/2015 (A) | 350 | 366 | ||||||||||
6.250%, 05/20/2015 | 250 | 261 | ||||||||||
Kazkommertsbank MTN | ||||||||||||
8.000%, 11/03/2015 | 400 | 404 | ||||||||||
7.875%, 04/07/2014 | 100 | 101 | ||||||||||
7.500%, 11/29/2016 | 900 | 891 | ||||||||||
Kazkommertsbank JSC Via Citigroup Global Markets | ||||||||||||
8.700%, 04/07/2014 (C) (F) | 600 | 568 | ||||||||||
KazMunaiGaz Finance Sub MTN | ||||||||||||
11.750%, 01/23/2015 | 1,859 | 2,057 | ||||||||||
9.125%, 07/02/2018 | 1,068 | 1,295 | ||||||||||
9.125%, 07/02/2018 (A) | 986 | 1,196 | ||||||||||
7.000%, 05/05/2020 | 4,241 | 4,784 | ||||||||||
6.375%, 04/09/2021 (A) | 2,845 | 3,094 | ||||||||||
6.375%, 04/09/2021 | 3,123 | 3,396 | ||||||||||
KazMunayGas National | ||||||||||||
7.000%, 05/05/2020 (A) | 1,331 | 1,501 | ||||||||||
5.750%, 04/30/2043 (A) | 879 | 758 | ||||||||||
5.750%, 04/30/2043 | 2,804 | 2,429 | ||||||||||
4.400%, 04/30/2023 (A) | 1,158 | 1,070 | ||||||||||
4.400%, 04/30/2023 | 360 | 334 | ||||||||||
Zhaikmunai Via Zhaikmunai International | ||||||||||||
7.125%, 11/13/2019 | 550 | 572 | ||||||||||
7.125%, 11/13/2019 (A) | 495 | 514 | ||||||||||
|
| |||||||||||
29,024 | ||||||||||||
|
|
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
Latvia — 0.1% | ||||||||||||||
Republic of Latvia | ||||||||||||||
2.750%, 01/12/2020 | 1,960 | $ | 1,871 | |||||||||||
|
| |||||||||||||
Lithuania — 0.5% | ||||||||||||||
Republic of Lithuania | ||||||||||||||
7.375%, 02/11/2020 (A) | 800 | 968 | ||||||||||||
7.375%, 02/11/2020 | 475 | 575 | ||||||||||||
6.625%, 02/01/2022 | 1,500 | 1,759 | ||||||||||||
6.625%, 02/01/2022 (A) | 300 | 352 | ||||||||||||
6.125%, 03/09/2021 | 1,040 | 1,184 | ||||||||||||
6.125%, 03/09/2021 (A) | 1,716 | 1,953 | ||||||||||||
5.125%, 09/14/2017 | 680 | 742 | ||||||||||||
|
| |||||||||||||
7,533 | ||||||||||||||
|
| |||||||||||||
Malaysia — 3.9% | ||||||||||||||
Axiata SPV1 Labuan | ||||||||||||||
5.375%, 04/28/2020 | 290 | 310 | ||||||||||||
Malaysia Government Bond | ||||||||||||||
5.248%, 09/15/2028 (A) | MYR | 1,050 | 356 | |||||||||||
4.392%, 04/15/2026 | MYR | 9,900 | 3,093 | |||||||||||
4.378%, 11/29/2019 | MYR | 1,800 | 567 | |||||||||||
4.262%, 09/15/2016 | MYR | 8,610 | 2,743 | |||||||||||
4.160%, 07/15/2021 | MYR | 5,470 | 1,698 | |||||||||||
4.012%, 09/15/2017 | MYR | 20,800 | 6,564 | |||||||||||
3.892%, 03/15/2027 | MYR | 1,348 | 401 | |||||||||||
3.889%, 07/31/2020 | MYR | 3,170 | 977 | |||||||||||
3.844%, 04/15/2033 | MYR | 1,960 | 563 | |||||||||||
3.580%, 09/28/2018 | MYR | 6,020 | 1,855 | |||||||||||
3.502%, 05/31/2027 | MYR | 1,050 | 299 | |||||||||||
3.492%, 03/31/2020 | MYR | 17,153 | 5,160 | |||||||||||
3.480%, 03/15/2023 | MYR | 20,734 | 6,131 | |||||||||||
3.418%, 08/15/2022 | MYR | 9,843 | 2,873 | |||||||||||
3.314%, 10/31/2017 | MYR | 26,740 | 8,222 | |||||||||||
3.260%, 03/01/2018 | MYR | 24,240 | 7,414 | |||||||||||
3.172%, 07/15/2016 | MYR | 1,770 | 549 | |||||||||||
Penerbangan Malaysia | ||||||||||||||
5.625%, 03/15/2016 | 741 | 810 | ||||||||||||
Petronas Capital | ||||||||||||||
7.875%, 05/22/2022 | 868 | 1,109 | ||||||||||||
5.250%, 08/12/2019 | 4,250 | 4,742 | ||||||||||||
5.250%, 08/12/2019 | 260 | 290 | ||||||||||||
Petronas Capital Registered | ||||||||||||||
7.875%, 05/22/2022 | 46 | 59 | ||||||||||||
Wakala Global Sukuk | ||||||||||||||
4.646%, 07/06/2021 (A) | 410 | 434 | ||||||||||||
|
| |||||||||||||
57,219 | ||||||||||||||
|
| |||||||||||||
Mexico — 7.6% | ||||||||||||||
BBVA Bancomer | ||||||||||||||
6.750%, 09/30/2022 (A) | 800 | 845 | ||||||||||||
6.008%, 05/17/2022 (C) | 100 | 102 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 201 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
November 30, 2013
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
Cemex | ||||||||||||||
9.000%, 01/11/2018 (A) | 344 | $ | 376 | |||||||||||
6.500%, 12/10/2019 | 550 | 555 | ||||||||||||
Cemex Espana Luxembourg | ||||||||||||||
9.875%, 04/30/2019 | 1,350 | 1,524 | ||||||||||||
9.250%, 05/12/2020 (A) | 789 | 857 | ||||||||||||
9.250%, 05/12/2020 | 630 | 684 | ||||||||||||
9.250%, 05/12/2020 | 2 | 2 | ||||||||||||
Cemex Finance | ||||||||||||||
9.375%, 10/12/2022 (A) | 543 | 601 | ||||||||||||
Comision Federal de Electricidad | ||||||||||||||
5.750%, 02/14/2042 (A) | 570 | 522 | ||||||||||||
4.875%, 05/26/2021 | 200 | 205 | ||||||||||||
4.875%, 05/26/2021 (A) | 300 | 308 | ||||||||||||
4.875%, 01/15/2024 (A) | 708 | 703 | ||||||||||||
Metalsa | ||||||||||||||
4.900%, 04/24/2023 (A) | 234 | 215 | ||||||||||||
Mexican Bonos, Ser M20 | ||||||||||||||
8.000%, 12/07/2023 | MXN | 212,610 | 18,365 | |||||||||||
Mexican Bonos | ||||||||||||||
10.000%, 12/05/2024 | MXN | 82,624 | 8,202 | |||||||||||
8.500%, 12/13/2018 | MXN | 12,119 | 1,065 | |||||||||||
8.500%, 05/31/2029 | MXN | 83,142 | 7,197 | |||||||||||
8.500%, 11/18/2038 | MXN | 43,933 | 3,688 | |||||||||||
8.000%, 06/11/2020 | MXN | 6 | — | |||||||||||
7.750%, 12/14/2017 | MXN | 14,673 | 1,244 | |||||||||||
7.750%, 05/29/2031 | MXN | 119,072 | 9,487 | |||||||||||
7.750%, 11/13/2042 | MXN | 42,300 | 3,265 | |||||||||||
7.500%, 06/03/2027 | MXN | 109,597 | 8,960 | |||||||||||
6.500%, 06/10/2021 | MXN | 83,650 | 6,649 | |||||||||||
6.500%, 06/09/2022 | MXN | 133,630 | 10,493 | |||||||||||
5.000%, 06/15/2017 | MXN | 34,091 | 2,637 | |||||||||||
Mexican Udibonos | ||||||||||||||
4.000%, 11/15/2040 | MXN | 3,300 | 1,305 | |||||||||||
Mexico Generadora de Energia S de rl | ||||||||||||||
5.500%, 12/06/2032 (A) | 400 | 374 | ||||||||||||
Mexico Government International Bond | ||||||||||||||
4.000%, 10/02/2023 | 1,894 | 1,877 | ||||||||||||
Pemex Project Funding Master Trust | ||||||||||||||
6.625%, 06/15/2035 | 1,576 | 1,615 | ||||||||||||
5.750%, 03/01/2018 | 984 | 1,090 | ||||||||||||
Petroleos Mexicanos | ||||||||||||||
8.000%, 05/03/2019 | 470 | 568 | ||||||||||||
7.190%, 09/12/2024 | MXN | 7,500 | 558 | |||||||||||
6.500%, 06/02/2041 | 1,200 | 1,214 | ||||||||||||
6.000%, 03/05/2020 | 210 | 232 | ||||||||||||
6.000%, 03/05/2020 (A) | 80 | 88 | ||||||||||||
5.500%, 06/27/2044 (A) | 190 | 168 | ||||||||||||
5.500%, 06/27/2044 | 150 | 133 | ||||||||||||
3.500%, 01/30/2023 (A) | 210 | 191 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
Southern Copper | ||||||||||||||
6.750%, 04/16/2040 | 162 | $ | 154 | |||||||||||
5.250%, 11/08/2042 | 125 | 101 | ||||||||||||
United Mexican States MTN | ||||||||||||||
8.300%, 08/15/2031 | 900 | 1,213 | ||||||||||||
7.500%, 04/08/2033 | 450 | 564 | ||||||||||||
6.050%, 01/11/2040 | 2,472 | 2,639 | ||||||||||||
5.950%, 03/19/2019 | 1,198 | 1,387 | ||||||||||||
5.750%, 10/12/2110 | 2,580 | 2,328 | ||||||||||||
4.750%, 03/08/2044 | 3,190 | 2,801 | ||||||||||||
United Mexican States, | ||||||||||||||
6.750%, 09/27/2034 | 2,255 | 2,608 | ||||||||||||
|
| |||||||||||||
111,959 | ||||||||||||||
|
| |||||||||||||
Mongolia — 0.0% | ||||||||||||||
Wynn Macau | ||||||||||||||
5.250%, 10/15/2021 (A) | 250 | 252 | ||||||||||||
|
| |||||||||||||
Morocco — 0.1% | ||||||||||||||
Kingdom of Morocco | ||||||||||||||
5.500%, 12/11/2042 | 700 | 586 | ||||||||||||
4.250%, 12/11/2022 | 1,410 | 1,297 | ||||||||||||
|
| |||||||||||||
1,883 | ||||||||||||||
|
| |||||||||||||
Nigeria — 1.0% | ||||||||||||||
Afren | ||||||||||||||
11.500%, 02/01/2016 | 975 | 1,131 | ||||||||||||
11.500%, 02/01/2016 (A) | 700 | 812 | ||||||||||||
10.250%, 04/08/2019 (A) | 200 | 232 | ||||||||||||
6.625%, 12/09/2020 (A) | 700 | 698 | ||||||||||||
Nigeria Treasury Bill (D) | ||||||||||||||
12.666%, 02/13/2014 | NGN | 52,038 | 321 | |||||||||||
12.533%, 01/23/2014 | NGN | 107,100 | 665 | |||||||||||
12.449%, 02/06/2014 | NGN | 71,740 | 443 | |||||||||||
12.206%, 05/22/2014 | NGN | 39,200 | 234 | |||||||||||
11.964%, 01/16/2014 | NGN | 22,240 | 138 | |||||||||||
11.907%, 04/10/2014 | NGN | 166,000 | 1,005 | |||||||||||
Republic of Nigeria | ||||||||||||||
16.390%, 01/27/2022 | NGN | 216,000 | 1,610 | |||||||||||
16.390%, 01/27/2022 | NGN | 39,000 | 291 | |||||||||||
16.000%, 06/29/2019 | NGN | 24,000 | 171 | |||||||||||
16.000%, 06/29/2019 | NGN | 386,000 | 2,745 | |||||||||||
6.750%, 01/28/2021 (A) | 550 | 595 | ||||||||||||
6.375%, 07/12/2023 (A) | 617 | 636 | ||||||||||||
Sea Trucks Group | ||||||||||||||
9.000%, 03/26/2018 | 1,400 | 1,341 | ||||||||||||
9.000%, 03/26/2018 | 600 | 574 | ||||||||||||
|
| |||||||||||||
13,642 | ||||||||||||||
|
| |||||||||||||
Pakistan — 0.1% | ||||||||||||||
Republic of Pakistan | ||||||||||||||
7.125%, 03/31/2016 | 450 | 441 | ||||||||||||
7.125%, 03/31/2016 | 100 | 98 |
202 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
6.875%, 06/01/2017 | 630 | $ | 616 | |||||||||||
6.875%, 06/01/2017 | 10 | 10 | ||||||||||||
|
| |||||||||||||
1,165 | ||||||||||||||
|
| |||||||||||||
Panama — 0.8% | ||||||||||||||
ENA Norte Trust | ||||||||||||||
4.950%, 04/25/2023 (G) | 285 | 278 | ||||||||||||
Republic of Panama | ||||||||||||||
9.375%, 01/16/2023 | 595 | 791 | ||||||||||||
9.375%, 04/01/2029 | 3,225 | 4,483 | ||||||||||||
8.875%, 09/30/2027 | 1,108 | 1,485 | ||||||||||||
8.125%, 04/28/2034 | 2,249 | 2,868 | ||||||||||||
7.125%, 01/29/2026 | 100 | 120 | ||||||||||||
6.700%, 01/26/2036 | 935 | 1,038 | ||||||||||||
4.300%, 04/29/2053 | 1,047 | 788 | ||||||||||||
|
| |||||||||||||
11,851 | ||||||||||||||
|
| |||||||||||||
Paraguay — 0.1% | ||||||||||||||
Republic of Paraguay | ||||||||||||||
4.625%, 01/25/2023 | 585 | 548 | ||||||||||||
Telefonica Celular del Paraguay | ||||||||||||||
6.750%, 12/13/2022 | 900 | 923 | ||||||||||||
6.750%, 12/13/2022 | 200 | 205 | ||||||||||||
|
| |||||||||||||
1,676 | ||||||||||||||
|
| |||||||||||||
Peru — 1.8% | ||||||||||||||
Banco de Credito del Peru | ||||||||||||||
5.375%, 09/16/2020 (A) | 306 | 317 | ||||||||||||
5.375%, 09/16/2020 | 10 | 10 | ||||||||||||
BBVA Banco Continental | ||||||||||||||
5.000%, 08/26/2022 (A) | 195 | 191 | ||||||||||||
Cementos Pacasmayo | ||||||||||||||
4.500%, 02/08/2023 (A) | 225 | 205 | ||||||||||||
Inkia Energy | ||||||||||||||
8.375%, 04/04/2021 (A) | 348 | 377 | ||||||||||||
Peru Enhanced Pass-Through Finance | ||||||||||||||
4.446%, 06/02/2025 (A) (D) | 1,000 | 638 | ||||||||||||
2.748%, 05/31/2018 (A) (D) | 304 | 277 | ||||||||||||
2.551%, 05/31/2018 (D) | 242 | 220 | ||||||||||||
Republic of Peru | ||||||||||||||
9.910%, 05/05/2015 | PEI | 2,015 | 780 | |||||||||||
8.750%, 11/21/2033 | 5,891 | 8,218 | ||||||||||||
8.600%, 08/12/2017 | PEI | 2,260 | 929 | |||||||||||
8.200%, 08/12/2026 | PEI | 7,492 | 3,202 | |||||||||||
7.840%, 08/12/2020 | PEI | 2,320 | 952 | |||||||||||
7.840%, 08/12/2020 | PEI | 3,720 | 1,527 | |||||||||||
7.350%, 07/21/2025 | 1,730 | 2,184 | ||||||||||||
7.125%, 03/30/2019 | 1,175 | 1,407 | ||||||||||||
6.950%, 08/12/2031 | PEI | 915 | 335 | |||||||||||
6.950%, 08/12/2031 | PEI | 3,790 | 1,386 | |||||||||||
6.900%, 08/12/2037 | PEI | 320 | 115 | |||||||||||
6.900%, 08/12/2037 | PEI | 3,219 | 1,161 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
6.850%, 02/12/2042 | PEI | 1,732 | $ | 613 | ||||||||||
5.200%, 09/12/2023 | PEI | 3,230 | 1,127 | |||||||||||
Volcan Cia Minera | ||||||||||||||
5.375%, 02/02/2022 (A) | 112 | 105 | ||||||||||||
|
| |||||||||||||
26,276 | ||||||||||||||
|
| |||||||||||||
Philippines — 1.1% | ||||||||||||||
Development Bank of Philippines | ||||||||||||||
5.500%, 03/25/2021 | 370 | 388 | ||||||||||||
National Power | ||||||||||||||
9.625%, 05/15/2028 | 1,100 | 1,562 | ||||||||||||
Power Sector Assets & Liabilities Management | ||||||||||||||
7.390%, 12/02/2024 (A) | 650 | 796 | ||||||||||||
7.390%, 12/02/2024 | 250 | 306 | ||||||||||||
7.250%, 05/27/2019 | 250 | 299 | ||||||||||||
Republic of Philippines | ||||||||||||||
10.625%, 03/16/2025 | 1,566 | 2,427 | ||||||||||||
9.500%, 02/02/2030 | 2,988 | 4,482 | ||||||||||||
8.375%, 06/17/2019 | 230 | 293 | ||||||||||||
7.750%, 01/14/2031 | 1,307 | 1,725 | ||||||||||||
6.250%, 01/14/2036 | PHP | 42,000 | 1,017 | |||||||||||
4.000%, 01/15/2021 | 1,293 | 1,355 | ||||||||||||
3.900%, 11/26/2022 | PHP | 52,000 | 1,160 | |||||||||||
|
| |||||||||||||
15,810 | ||||||||||||||
|
| |||||||||||||
Poland — 5.4% | ||||||||||||||
Eileme 2 | ||||||||||||||
11.625%, 01/31/2020 (A) | 1,150 | 1,383 | ||||||||||||
11.625%, 01/31/2020 | 350 | 421 | ||||||||||||
Republic of Poland | ||||||||||||||
6.375%, 07/15/2019 | 5,869 | 6,881 | ||||||||||||
5.750%, 10/25/2021 | PLN | 5,620 | 1,989 | |||||||||||
5.750%, 09/23/2022 | PLN | 48,814 | 17,312 | |||||||||||
5.750%, 04/25/2029 | PLN | 3,777 | 1,341 | |||||||||||
5.500%, 04/25/2015 | PLN | 9,820 | 3,301 | |||||||||||
5.500%, 10/25/2019 | PLN | 6,410 | 2,239 | |||||||||||
5.250%, 10/25/2017 | PLN | 4,988 | 1,715 | |||||||||||
5.125%, 04/21/2021 | 200 | 218 | ||||||||||||
5.000%, 04/25/2016 | PLN | 11,330 | 3,831 | |||||||||||
5.000%, 03/23/2022 | 2,629 | 2,821 | ||||||||||||
4.750%, 04/25/2017 | PLN | 9,615 | 3,248 | |||||||||||
4.000%, 10/25/2023 | PLN | 17,472 | 5,429 | |||||||||||
3.750%, 04/25/2018 | PLN | 29,727 | 9,661 | |||||||||||
3.000%, 08/24/2016 | PLN | 28,978 | 9,841 | |||||||||||
3.000%, 03/17/2023 | 2,926 | 2,674 | ||||||||||||
2.750%, 08/25/2023 | PLN | 6,584 | 2,226 | |||||||||||
2.500%, 07/25/2018 | PLN | 3,750 | 1,151 | |||||||||||
TVN Finance III | ||||||||||||||
7.375%, 12/15/2020 | PLN | 600 | 868 | |||||||||||
|
| |||||||||||||
78,550 | ||||||||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 203 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
November 30, 2013
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
Qatar — 0.4% | ||||||||||||||
Qtel International Finance | ||||||||||||||
7.875%, 06/10/2019 | 873 | $ | 1,081 | |||||||||||
4.500%, 01/31/2043 | 250 | 216 | ||||||||||||
State of Qatar | ||||||||||||||
9.750%, 06/15/2030 | 623 | 956 | ||||||||||||
6.400%, 01/20/2040 | 330 | 378 | ||||||||||||
6.400%, 01/20/2040 (A) | 438 | 502 | ||||||||||||
5.250%, 01/20/2020 | 2,050 | 2,306 | ||||||||||||
|
| |||||||||||||
5,439 | ||||||||||||||
|
| |||||||||||||
Romania — 1.0% | ||||||||||||||
Romania Government Bond MTN | ||||||||||||||
6.750%, 02/07/2022 (A) | 390 | 442 | ||||||||||||
6.750%, 02/07/2022 | 5,296 | 6,000 | ||||||||||||
5.900%, 07/26/2017 | RON | 7,230 | 2,322 | |||||||||||
5.850%, 07/28/2014 | RON | 3,560 | 1,112 | |||||||||||
5.850%, 04/26/2023 | RON | 930 | 298 | |||||||||||
5.800%, 10/26/2015 | RON | 5,650 | 1,800 | |||||||||||
5.750%, 04/29/2020 | RON | 1,390 | 443 | |||||||||||
5.600%, 11/28/2018 | RON | 600 | 191 | |||||||||||
4.375%, 08/22/2023 | 2,820 | 2,718 | ||||||||||||
|
| |||||||||||||
15,326 | ||||||||||||||
|
| |||||||||||||
Russia — 9.5% | ||||||||||||||
Alfa Bank Via Alfa Bond Issuance | ||||||||||||||
7.750%, 04/28/2021 | 900 | 962 | ||||||||||||
7.500%, 09/26/2019 | 750 | 789 | ||||||||||||
7.500%, 09/26/2019 (A) | 475 | 500 | ||||||||||||
Brunswick Rail Finance | ||||||||||||||
6.500%, 11/01/2017 | 1,050 | 1,071 | ||||||||||||
Credit Bank of Moscow Via CBOM Finance | ||||||||||||||
7.700%, 02/01/2018 | 1,500 | 1,545 | ||||||||||||
EuroChem Mineral & Chemical via EuroChem GI | ||||||||||||||
5.125%, 12/12/2017 (A) | 200 | 201 | ||||||||||||
Far Eastern Shipping | ||||||||||||||
8.000%, 05/02/2018 (A) | 150 | 134 | ||||||||||||
Gaz Capital | ||||||||||||||
8.625%, 04/28/2034 | 230 | 271 | ||||||||||||
6.510%, 03/07/2022 | 470 | 503 | ||||||||||||
Gazprom Neft OAO Via GPN Capital | ||||||||||||||
6.000%, 11/27/2023 (A) | 590 | 592 | ||||||||||||
4.375%, 09/19/2022 | 1,167 | 1,072 | ||||||||||||
Gazprom OAO Via Gaz Capital | ||||||||||||||
9.250%, 04/23/2019 | 841 | 1,032 | ||||||||||||
4.950%, 07/19/2022 (A) | 540 | 524 | ||||||||||||
4.950%, 02/06/2028 (A) | 893 | 777 | ||||||||||||
4.950%, 02/06/2028 | 300 | 261 | ||||||||||||
Metalloinvest Finance | ||||||||||||||
5.625%, 04/17/2020 (A) | 350 | 341 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
MTS International Funding | ||||||||||||||
8.625%, 06/22/2020 | 1,150 | $ | 1,357 | |||||||||||
8.625%, 06/22/2020 (A) | 1,050 | 1,239 | ||||||||||||
5.000%, 05/30/2023 (A) | 349 | 325 | ||||||||||||
OAO TMK Capital | ||||||||||||||
7.750%, 01/27/2018 | 1,500 | 1,567 | ||||||||||||
Promsvyazbank Via PSB Finance MTN | ||||||||||||||
10.200%, 11/06/2019 | 850 | 910 | ||||||||||||
8.500%, 04/25/2017 | 800 | 856 | ||||||||||||
Ritekro | ||||||||||||||
12.162%, | 538 | 200 | ||||||||||||
Rosneft Oil via Rosneft International Finance | ||||||||||||||
4.199%, | 550 | 503 | ||||||||||||
Russian Agricultural Bank Via RSHB Capital | ||||||||||||||
6.000%, 06/03/2021 (C) | 425 | 434 | ||||||||||||
5.298%, 12/27/2017 (A) | 415 | 428 | ||||||||||||
Russian Federal Bond - OFZ | ||||||||||||||
8.150%, 02/03/2027 | RUB | 208,827 | 6,442 | |||||||||||
7.600%, 04/14/2021 | RUB | 520,719 | 15,899 | |||||||||||
7.600%, 07/20/2022 | RUB | 147,939 | 4,494 | |||||||||||
7.500%, 03/15/2018 | RUB | 24,180 | 744 | |||||||||||
7.500%, 02/27/2019 | RUB | 538,116 | 16,511 | |||||||||||
7.400%, 04/19/2017 | RUB | 182,911 | 5,632 | |||||||||||
7.400%, 06/14/2017 | RUB | 28,100 | 865 | |||||||||||
7.350%, 01/20/2016 | RUB | 100,000 | 3,071 | |||||||||||
7.050%, 01/19/2028 | RUB | 64,093 | 1,787 | |||||||||||
7.000%, 01/25/2023 | RUB | 238,369 | 6,910 | |||||||||||
7.000%, 08/16/2023 | RUB | 19,751 | 567 | |||||||||||
6.900%, 08/03/2016 | RUB | 190,000 | 5,792 | |||||||||||
6.800%, 12/11/2019 | RUB | 133,567 | 3,876 | |||||||||||
6.500%, 12/03/2014 (F) | RUB | 35,860 | 1,030 | |||||||||||
6.400%, 05/27/2020 | RUB | 29,880 | 859 | |||||||||||
6.200%, 01/31/2018 | RUB | 139,540 | 4,092 | |||||||||||
Russian Foreign Bond - Eurobond | ||||||||||||||
12.750%, 06/24/2028 | 924 | 1,573 | ||||||||||||
7.850%, 03/10/2018 | RUB | 165,000 | 5,123 | |||||||||||
7.850%, 03/10/2018 (A) | RUB | 10,000 | 310 | |||||||||||
7.500%, 03/31/2030 | 11,652 | 13,633 | ||||||||||||
7.500%, 03/31/2030 | 195 | 229 | ||||||||||||
5.875%, 09/16/2043 | 600 | 600 | ||||||||||||
5.625%, 04/04/2042 (A) | 400 | 396 | ||||||||||||
5.000%, 04/29/2020 | 300 | 323 | ||||||||||||
4.875%, 09/16/2023 (A) | 1,600 | 1,636 | ||||||||||||
3.250%, 04/04/2017 (A) | 1,200 | 1,254 | ||||||||||||
Russian Railways via RZD Capital | ||||||||||||||
5.700%, 04/05/2022 | 399 | 406 |
204 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
Sberbank of Russia Via SB Capital | ||||||||||||
5.717%, 06/16/2021 | 400 | $ | 416 | |||||||||
5.250%, 05/23/2023 | 980 | 909 | ||||||||||
SCF Capital | ||||||||||||
5.375%, 10/27/2017 (A) | 409 | 413 | ||||||||||
Severstal OAO Via Steel Capital | ||||||||||||
5.900%, 10/17/2022 (A) | 202 | 195 | ||||||||||
TMK | ||||||||||||
6.750%, 04/03/2020 | 2,230 | 2,171 | ||||||||||
VEB-Leasing Via VEB Leasing Investment | ||||||||||||
5.125%, 05/27/2016 | 340 | 356 | ||||||||||
Vimpel Communications Via VIP Finance Ireland | ||||||||||||
7.748%, 02/02/2021 | 200 | 215 | ||||||||||
VimpelCom Holdings | ||||||||||||
7.504%, 03/01/2022 | 1,500 | 1,567 | ||||||||||
7.504%, 03/01/2022 (A) | 600 | 627 | ||||||||||
5.200%, 02/13/2019 (A) | 300 | 298 | ||||||||||
VIP Finance Ireland for Vimpel Communications | ||||||||||||
9.125%, 04/30/2018 (A) | 100 | 116 | ||||||||||
7.748%, 02/02/2021 (A) | 1,000 | 1,077 | ||||||||||
Vnesheconombank Via VEB Finance | ||||||||||||
6.902%, 07/09/2020 (A) | 835 | 918 | ||||||||||
6.902%, 07/09/2020 | 2,615 | 2,874 | ||||||||||
6.800%, 11/22/2025 (A) | 600 | 626 | ||||||||||
6.800%, 11/22/2025 | 240 | 250 | ||||||||||
6.025%, 07/05/2022 (A) | 860 | 880 | ||||||||||
5.450%, 11/22/2017 (A) | 340 | 361 | ||||||||||
5.450%, 11/22/2017 | 110 | 117 | ||||||||||
VTB Bank Via VTB Capital | ||||||||||||
6.315%, 02/22/2018 | 846 | 905 | ||||||||||
VTB Capital | ||||||||||||
6.875%, 05/29/2018 | 720 | 786 | ||||||||||
6.250%, 06/30/2035 | 396 | 421 | ||||||||||
|
| |||||||||||
138,946 | ||||||||||||
|
| |||||||||||
Senegal — 0.1% | ||||||||||||
Republic of Senegal | ||||||||||||
8.750%, 05/13/2021 | 650 | 723 | ||||||||||
8.750%, 05/13/2021 (A) | 200 | 223 | ||||||||||
|
| |||||||||||
946 | ||||||||||||
|
| |||||||||||
Serbia — 0.2% | ||||||||||||
Republic of Serbia | ||||||||||||
7.250%, 09/28/2021 | 1,200 | 1,254 | ||||||||||
7.250%, 09/28/2021 (A) | 300 | 314 | ||||||||||
5.250%, 11/21/2017 (A) | 200 | 199 | ||||||||||
5.875%, 12/03/2018 | 980 | 987 | ||||||||||
5.875%, 12/03/2018 (A) | 640 | 645 | ||||||||||
4.875%, 02/25/2020 | 200 | 187 | ||||||||||
|
| |||||||||||
3,586 | ||||||||||||
|
|
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
Singapore — 0.5% | ||||||||||||||
MMI International | ||||||||||||||
8.000%, 03/01/2017 (A) | 250 | $ | 248 | |||||||||||
Sea Production | ||||||||||||||
10.239%, 02/14/2014 (C) | 5,226 | 4,651 | ||||||||||||
STATS ChipPAC | ||||||||||||||
4.500%, 03/20/2018 (A) | 401 | 400 | ||||||||||||
TBG Global Pte | ||||||||||||||
4.625%, 04/03/2018 (A) | 200 | 190 | ||||||||||||
Yanlord Land Group | ||||||||||||||
9.500%, 05/04/2017 | 1,470 | 1,566 | ||||||||||||
|
| |||||||||||||
7,055 | ||||||||||||||
|
| |||||||||||||
Slovak Republic — 0.0% | ||||||||||||||
Slovakia Government International Bond | ||||||||||||||
4.375%, 05/21/2022 | 560 | 578 | ||||||||||||
|
| |||||||||||||
South Africa — 7.5% | ||||||||||||||
Edcon Pty | ||||||||||||||
9.500%, 03/01/2018 | EUR | 1,400 | 1,981 | |||||||||||
9.500%, 03/01/2018 | EUR | 630 | 896 | |||||||||||
Myriad International Holdings | ||||||||||||||
6.000%, 07/18/2020 | 200 | 211 | ||||||||||||
Republic of South Africa | ||||||||||||||
13.500%, 09/15/2015 | ZAR | 28,350 | 3,127 | |||||||||||
10.500%, 12/21/2026 | ZAR | 122,376 | 14,092 | |||||||||||
8.750%, 02/28/2048 | ZAR | 21,552 | 2,009 | |||||||||||
8.500%, 06/23/2017 | 3,038 | 3,575 | ||||||||||||
8.500%, 01/31/2037 | ZAR | 17,602 | 1,620 | |||||||||||
8.250%, 09/15/2017 | ZAR | 107,610 | 11,016 | |||||||||||
8.000%, 12/21/2018 | ZAR | 208,190 | 21,096 | |||||||||||
8.000%, 01/31/2030 | ZAR | 2,900 | 263 | |||||||||||
7.750%, 02/28/2023 | ZAR | 92,491 | 8,945 | |||||||||||
7.250%, 01/15/2020 | ZAR | 56,436 | 5,465 | |||||||||||
7.000%, 02/28/2031 | ZAR | 19,671 | 1,611 | |||||||||||
7.000%, 02/28/2031 | ZAR | 86,319 | 7,068 | |||||||||||
6.875%, 05/27/2019 | 940 | 1,076 | ||||||||||||
6.750%, 03/31/2021 | ZAR | 90,360 | 8,397 | |||||||||||
6.500%, 02/28/2041 | ZAR | 26,452 | 1,891 | |||||||||||
6.250%, 03/31/2036 | ZAR | 39,610 | 2,849 | |||||||||||
5.875%, 05/30/2022 | 800 | 858 | ||||||||||||
5.875%, 09/16/2025 | 3,170 | 3,297 | ||||||||||||
5.500%, 03/09/2020 | 4,339 | 4,637 | ||||||||||||
4.665%, 01/17/2024 | 1,486 | 1,427 | ||||||||||||
Transnet SOC | ||||||||||||||
9.500%, 05/13/2021 (A) | ZAR | 16,660 | 1,640 | |||||||||||
4.000%, 07/26/2022 (A) | 305 | 268 | ||||||||||||
|
| |||||||||||||
109,315 | ||||||||||||||
|
| |||||||||||||
Sri Lanka — 0.4% | ||||||||||||||
Bank of Ceylon | ||||||||||||||
6.875%, 05/03/2017 (A) | 360 | 361 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 205 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
November 30, 2013
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
Democratic Socialist Republic of Sri Lanka | ||||||||||||||
6.250%, 10/04/2020 | 820 | $ | 795 | |||||||||||
6.250%, 07/27/2021 | 3,269 | 3,130 | ||||||||||||
6.250%, 07/27/2021 (A) | 270 | 259 | ||||||||||||
5.875%, 07/25/2022 | 2,084 | 1,928 | ||||||||||||
|
| |||||||||||||
6,473 | ||||||||||||||
|
| |||||||||||||
Supra-National — 0.1% | ||||||||||||||
Inter-American Development Bank MTN | ||||||||||||||
5.230%, 08/20/2015 (D) | IDR | 10,910,000 | 795 | |||||||||||
|
| |||||||||||||
Thailand — 2.9% | ||||||||||||||
Thailand Government Bond | ||||||||||||||
5.670%, 03/13/2028 | THB | 3,000 | 107 | |||||||||||
4.875%, 06/22/2029 | THB | 23,240 | 769 | |||||||||||
3.875%, 06/13/2019 | THB | 237,470 | 7,537 | |||||||||||
3.775%, 06/25/2032 | THB | 22,000 | 631 | |||||||||||
3.650%, 12/17/2021 | THB | 323,160 | 9,908 | |||||||||||
3.625%, 05/22/2015 | THB | 41,700 | 1,319 | |||||||||||
3.625%, 06/16/2023 | THB | 302,911 | 9,108 | |||||||||||
3.580%, 12/17/2027 | THB | 47,070 | 1,365 | |||||||||||
3.250%, 06/16/2017 | THB | 124,350 | 3,892 | |||||||||||
2.800%, 10/10/2017 | THB | 112,000 | 3,443 | |||||||||||
1.250%, 03/12/2028 | THB | 31,371 | 842 | |||||||||||
Thailand Government Index- Linked Bond | ||||||||||||||
1.200%, 07/14/2021 | THB | 150,166 | 4,366 | |||||||||||
|
| |||||||||||||
43,287 | ||||||||||||||
|
| |||||||||||||
Turkey — 7.3% | ||||||||||||||
Akbank | ||||||||||||||
5.000%, 10/24/2022 | 250 | 230 | ||||||||||||
3.875%, 10/24/2017 (A) | 100 | 99 | ||||||||||||
Export Credit Bank of Turkey | ||||||||||||||
5.875%, 04/24/2019 (A) | 200 | 208 | ||||||||||||
KOC Holding | ||||||||||||||
3.500%, 04/24/2020 | 200 | 176 | ||||||||||||
3.500%, 04/24/2020 (A) | 200 | 176 | ||||||||||||
Republic of Turkey | ||||||||||||||
10.500%, 01/15/2020 | TRY | 2,104 | 1,112 | |||||||||||
10.000%, 12/04/2013 | TRY | 400 | 198 | |||||||||||
10.000%, 06/17/2015 | TRY | 1,580 | 795 | |||||||||||
9.500%, 01/12/2022 | TRY | 12,327 | 6,198 | |||||||||||
9.000%, 01/27/2016 | TRY | 2,400 | 1,191 | |||||||||||
9.000%, 03/08/2017 | TRY | 20,939 | 10,393 | |||||||||||
8.500%, 09/14/2022 | TRY | 13,340 | 6,327 | |||||||||||
8.300%, 10/07/2015 | TRY | 380 | 186 | |||||||||||
8.300%, 06/20/2018 | TRY | 9,270 | 4,470 | |||||||||||
8.300%, 06/20/2018 | TRY | 2,800 | 1,345 | |||||||||||
8.000%, 02/14/2034 | 3,787 | 4,408 | ||||||||||||
7.500%, 07/14/2017 | 3,104 | 3,512 | ||||||||||||
7.500%, 11/07/2019 | 2,029 | 2,333 |
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||||
7.375%, 02/05/2025 | 5,966 | $ | 6,688 | |||||||||||
7.250%, 03/05/2038 | 290 | 316 | ||||||||||||
7.100%, 03/08/2023 | TRY | 1,230 | 530 | |||||||||||
7.100%, 03/08/2023 | TRY | 14,383 | 6,198 | |||||||||||
7.000%, 09/26/2016 | 880 | 972 | ||||||||||||
7.000%, 03/11/2019 | 280 | 314 | ||||||||||||
7.000%, 06/05/2020 | 95 | 107 | ||||||||||||
6.875%, 03/17/2036 | 3,205 | 3,337 | ||||||||||||
6.750%, 04/03/2018 | 6,867 | 7,629 | ||||||||||||
6.750%, 05/30/2040 | 2,521 | 2,593 | ||||||||||||
6.500%, 01/07/2015 | TRY | 12,631 | 6,110 | |||||||||||
6.300%, 02/14/2018 | TRY | 14,040 | 6,336 | |||||||||||
6.250%, 09/26/2022 | 1,015 | 1,089 | ||||||||||||
6.000%, 01/14/2041 | 250 | 233 | ||||||||||||
5.625%, 03/30/2021 | 1,179 | 1,224 | ||||||||||||
5.125%, 03/25/2022 | 3,237 | 3,205 | ||||||||||||
4.875%, 04/16/2043 | 300 | 240 | ||||||||||||
4.500%, 02/11/2015 | TRY | 761 | 388 | |||||||||||
4.000%, 04/29/2015 | TRY | 6,779 | 3,438 | |||||||||||
4.000%, 04/01/2020 | TRY | 4,218 | 2,246 | |||||||||||
3.250%, 03/23/2023 (E) | 1,190 | 1,019 | ||||||||||||
3.000%, 02/23/2022 | TRY | 16,593 | 8,465 | |||||||||||
Turkiye Garanti Bankasi | ||||||||||||||
5.250%, 09/13/2022 (A) | 400 | 372 | ||||||||||||
4.000%, 09/13/2017 (A) | 300 | 299 | ||||||||||||
Turkiye Is Bankasi | ||||||||||||||
5.500%, 04/21/2019 (A) | 50 | 51 | ||||||||||||
3.750%, 10/10/2018 | 300 | 285 | ||||||||||||
|
| |||||||||||||
107,041 | ||||||||||||||
|
| |||||||||||||
Ukraine — 2.1% | ||||||||||||||
Biz Finance for Ukreximbank | ||||||||||||||
8.375%, 04/27/2015 | 3,163 | 2,871 | ||||||||||||
DTEK Finance | ||||||||||||||
7.875%, 04/04/2018 | 1,850 | 1,612 | ||||||||||||
Ferrexpo Finance | ||||||||||||||
7.875%, 04/07/2016 (A) | 205 | 193 | ||||||||||||
Government of Ukraine | ||||||||||||||
9.250%, 07/24/2017 (A) | 2,061 | 1,907 | ||||||||||||
9.250%, 07/24/2017 | 2,210 | 2,055 | ||||||||||||
7.950%, 02/23/2021 | 530 | 466 | ||||||||||||
7.950%, 02/23/2021 (A) | 350 | 308 | ||||||||||||
7.800%, 11/28/2022 | 1,980 | 1,703 | ||||||||||||
7.800%, 11/28/2022 (A) | 1,521 | 1,308 | ||||||||||||
7.750%, 09/23/2020 | 500 | 440 | ||||||||||||
7.500%, 04/17/2023 | 300 | 255 | ||||||||||||
6.875%, 09/23/2015 (A) | 484 | 450 | ||||||||||||
6.580%, 11/21/2016 | 503 | 447 | ||||||||||||
6.250%, 06/17/2016 (A) | 700 | 623 | ||||||||||||
6.250%, 06/17/2016 | 200 | 178 | ||||||||||||
4.950%, 10/13/2015 | EUR | 1,658 | 2,094 | |||||||||||
Metinvest | ||||||||||||||
10.250%, 05/20/2015 | 2,280 | 2,288 | ||||||||||||
8.750%, 02/14/2018 | 1,400 | 1,230 | ||||||||||||
8.750%, 02/14/2018 (A) | 341 | 300 |
206 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount (1) | Market Value ($ Thousands) | ||||||||||||
MHP | ||||||||||||||
10.250%, 04/29/2015 | 300 | $ | 303 | |||||||||||
10.250%, 04/29/2015 | 350 | 357 | ||||||||||||
8.250%, 04/02/2020 | 2,100 | 1,748 | ||||||||||||
8.250%, 04/02/2020 | 1,150 | 957 | ||||||||||||
Mriya Agro Holding | ||||||||||||||
9.450%, 04/19/2018 | 1,100 | 924 | ||||||||||||
9.450%, 04/19/2018 (A) | 281 | 236 | ||||||||||||
NAK Naftogaz Ukraine | ||||||||||||||
9.500%, 09/30/2014 | 2,693 | 2,545 | ||||||||||||
9.500%, 09/30/2014 | 370 | 350 | ||||||||||||
Oschadbank Via SSB #1 | ||||||||||||||
8.875%, 03/20/2018 | 550 | 451 | ||||||||||||
8.250%, 03/10/2016 | 630 | 554 | ||||||||||||
State Export-Import Bank of Ukraine JSC via Biz Finance | ||||||||||||||
8.750%, 01/22/2018 | 970 | 781 | ||||||||||||
Ukraine Railways via Shortline | ||||||||||||||
9.500%, 05/21/2018 | 250 | 206 | ||||||||||||
|
| |||||||||||||
30,140 | ||||||||||||||
|
| |||||||||||||
United Arab Emirates — 1.0% |
| |||||||||||||
Abu Dhabi National Energy MTN | ||||||||||||||
5.875%, 12/13/2021 | 1,091 | 1,215 | ||||||||||||
Dolphin Energy | ||||||||||||||
5.888%, 06/15/2019 | 626 | 685 | ||||||||||||
DP World MTN | ||||||||||||||
6.850%, 07/02/2037 | 1,700 | 1,695 | ||||||||||||
DP World Sukuk | ||||||||||||||
6.250%, 07/02/2017 | 800 | 879 | ||||||||||||
Dubai DOF Sukuk | ||||||||||||||
3.875%, 01/30/2023 | 390 | 369 | ||||||||||||
Dubai Electricity & Water Authority | ||||||||||||||
7.375%, 10/21/2020 (A) | 740 | 866 | ||||||||||||
7.375%, 10/21/2020 | 440 | 515 | ||||||||||||
Dubai Holding Commercial Operations MTN | ||||||||||||||
6.000%, 02/01/2017 | GBP | 1,000 | 1,687 | |||||||||||
4.750%, 01/30/2014 | EUR | 2,600 | 3,540 | |||||||||||
Emaar Sukuk MTN | ||||||||||||||
6.400%, 07/18/2019 | 500 | 542 | ||||||||||||
Emirate of Abu Dhabi MTN | ||||||||||||||
7.750%, 10/05/2020 | 1,280 | 1,533 | ||||||||||||
5.250%, 01/30/2043 | 200 | 171 | ||||||||||||
Emirates Airlines | ||||||||||||||
5.125%, 06/08/2016 | 320 | 336 | ||||||||||||
4.500%, 02/06/2025 | 400 | 366 | ||||||||||||
Jafz Sukuk | ||||||||||||||
7.000%, 06/19/2019 | 250 | 282 | ||||||||||||
|
| |||||||||||||
14,681 | ||||||||||||||
|
|
Description | Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||||||
Uruguay — 0.6% |
| |||||||||||
Republic of Uruguay | ||||||||||||
7.625%, 03/21/2036 | 1,619 | $ | 1,970 | |||||||||
6.875%, 09/28/2025 | 1,000 | 1,150 | ||||||||||
4.500%, 08/14/2024 | 3,555 | 3,529 | ||||||||||
4.125%, 11/20/2045 | 896 | 681 | ||||||||||
Republic of Uruguay PIK | ||||||||||||
7.875%, 01/15/2033 | 1,803 | 2,222 | ||||||||||
|
| |||||||||||
9,552 | ||||||||||||
|
| |||||||||||
Venezuela — 3.6% |
| |||||||||||
Government of Venezuela | ||||||||||||
13.625%, 08/15/2018 | 497 | 467 | ||||||||||
13.625%, 08/15/2018 | 1,493 | 1,448 | ||||||||||
12.750%, 08/23/2022 | 12,354 | 11,242 | ||||||||||
12.750%, 08/23/2022 | 3,442 | 3,133 | ||||||||||
11.950%, 08/05/2031 | 5 | 4 | ||||||||||
11.950%, 08/05/2031 | 2,858 | 2,344 | ||||||||||
11.750%, 10/21/2026 | 5,343 | 4,395 | ||||||||||
9.250%, 09/15/2027 | 2,132 | 1,583 | ||||||||||
9.250%, 05/07/2028 | 1,498 | 1,069 | ||||||||||
9.000%, 05/07/2023 | 2,226 | 1,591 | ||||||||||
9.000%, 05/07/2023 | 1,622 | 1,159 | ||||||||||
8.500%, 10/08/2014 | 936 | 906 | ||||||||||
8.250%, 10/13/2024 | 20 | 14 | ||||||||||
8.250%, 10/13/2024 | 1,102 | 745 | ||||||||||
7.750%, 10/13/2019 | 678 | 502 | ||||||||||
7.750%, 10/13/2019 | 20 | 15 | ||||||||||
7.650%, 04/21/2025 | 20 | 13 | ||||||||||
7.650%, 04/21/2025 | 334 | 217 | ||||||||||
7.000%, 12/01/2018 | 1,409 | 1,053 | ||||||||||
6.000%, 12/09/2020 | 156 | 102 | ||||||||||
6.000%, 12/09/2020 | 440 | 287 | ||||||||||
5.750%, 02/26/2016 (E) | 863 | 718 | ||||||||||
5.750%, 02/26/2016 | 64 | 53 | ||||||||||
5.750%, 02/26/2016 | 350 | 291 | ||||||||||
Petroleos de Venezuela | ||||||||||||
12.750%, 02/17/2022 | 324 | 289 | ||||||||||
8.500%, 11/02/2017 | 330 | 262 | ||||||||||
8.500%, 11/02/2017 | 11,285 | 8,971 | ||||||||||
5.500%, 04/12/2037 | 684 | 363 | ||||||||||
5.375%, 04/12/2027 | 1,114 | 602 | ||||||||||
5.250%, 04/12/2017 | 20 | 14 | ||||||||||
5.250%, 04/12/2017 | 618 | 430 | ||||||||||
5.000%, 10/28/2015 | 5,840 | 4,731 | ||||||||||
4.900%, 10/28/2014 | 141 | 128 | ||||||||||
4.900%, 10/28/2014 | 3,133 | 2,854 | ||||||||||
|
| |||||||||||
51,995 | ||||||||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 207 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
November 30, 2013
Description | Face Amount (1) | Market Value ($ Thousands) | ||||||||||||
Vietnam — 0.1% |
| |||||||||||||
Socialist Republic of Vietnam | ||||||||||||||
6.875%, 01/15/2016 | 440 | $ | 470 | |||||||||||
6.750%, 01/29/2020 | 640 | 689 | ||||||||||||
Vietnam Joint Stock Commercial Bank for Industry and Trade | ||||||||||||||
8.000%, 05/17/2017 (A) | 400 | 413 | ||||||||||||
|
| |||||||||||||
1,572 | ||||||||||||||
|
| |||||||||||||
Total Global Bonds |
| 1,357,869 | ||||||||||||
|
| |||||||||||||
LOAN PARTICIPATIONS — 0.3% |
| |||||||||||||
Angola — 0.1% |
| |||||||||||||
Republic of Angola | ||||||||||||||
2.317%, 04/30/2016 (H) (I) | EUR | 650 | 860 | |||||||||||
|
| |||||||||||||
Indonesia — 0.0% |
| |||||||||||||
PT Bumi Resources | ||||||||||||||
18.182%, 11/07/2014 | 541 | 444 | ||||||||||||
|
| |||||||||||||
Singapore — 0.1% |
| |||||||||||||
Morton Bay Senior | ||||||||||||||
6.220%, 12/31/2013 (H) (I) | 3,020 | 2,040 | ||||||||||||
|
| |||||||||||||
United Arab Emirates — 0.1% |
| |||||||||||||
Dubai World | ||||||||||||||
1.000%, 09/30/2015 | 500 | 355 | ||||||||||||
1.000%, 09/30/2018 | 1,015 | 619 | ||||||||||||
|
| |||||||||||||
974 | ||||||||||||||
|
| |||||||||||||
Total Loan Participations | 4,318 | |||||||||||||
|
| |||||||||||||
AFFILIATED PARTNERSHIP — 0.4% |
| |||||||||||||
SEI Liquidity Fund, L.P. | ||||||||||||||
0.080%*† (J) | 5,173,862 | 5,174 | ||||||||||||
|
| |||||||||||||
Total Affiliated Partnership |
| 5,174 | ||||||||||||
|
| |||||||||||||
Total Investments — 93.3% |
| $ | 1,367,361 | |||||||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2013, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
U.S. 10-Year Treasury Note | (28 | ) | Mar-2014 | $ | 6 | |||||||
U.S. 2-Year Treasury Note | 80 | Apr-2014 | 4 | |||||||||
U.S. 5-Year Treasury Note | (70 | ) | Apr-2014 | (3 | ) | |||||||
U.S. Long Treasury Bond | 31 | Mar-2014 | 20 | |||||||||
|
| |||||||||||
$ | 27 | |||||||||||
|
|
For the period ended November 30, 2013, 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, 2013, is as follows:
Settlement Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
12/2/13-12/3/13 | BRL | 21,332 | USD | 9,450 | $ | 307 | ||||||||||||||
12/2/13-2/28/14 | USD | 3,868 | CZK | 73,881 | (190 | ) | ||||||||||||||
12/2/13-2/28/14 | USD | 15,577 | RUB | 513,301 | (152 | ) | ||||||||||||||
12/2/13-3/6/14 | USD | 18,495 | BRL | 43,294 | (76 | ) | ||||||||||||||
12/2/13-3/19/14 | RUB | 872,739 | USD | 26,601 | 444 | |||||||||||||||
12/3/13 | BRL | 3,264 | RUB | 47,884 | 49 | |||||||||||||||
12/3/13 | MXP | 18,334 | BRL | 3,230 | (15 | ) | ||||||||||||||
12/3/13 | RUB | 46,480 | BRL | 3,264 | (6 | ) | ||||||||||||||
12/3/13-1/31/14 | MXP | 115,442 | USD | 8,788 | (11 | ) | ||||||||||||||
12/3/13-2/4/14 | BRL | 6,460 | MXP | 37,131 | 79 | |||||||||||||||
12/12/13-1/15/14 | PHP | 166,618 | USD | 3,846 | 35 | |||||||||||||||
12/12/13-2/19/14 | USD | 10,933 | PHP | 471,830 | (138 | ) | ||||||||||||||
12/13/13-1/15/14 | THB | 251,317 | USD | 7,825 | 5 | |||||||||||||||
12/13/13-1/31/14 | USD | 9,618 | THB | 303,627 | (173 | ) | ||||||||||||||
12/13/13-3/19/14 | IDR | 43,291,250 | USD | 3,792 | 173 | |||||||||||||||
12/13/13-3/19/14 | USD | 13,340 | IDR | 155,829,932 | (313 | ) | ||||||||||||||
12/16/13-7/17/15 | CNH | 157,733 | USD | 24,252 | (1,579 | ) | ||||||||||||||
12/16/13-7/17/15 | USD | 24,365 | CNH | 157,733 | 1,465 | |||||||||||||||
12/18/13 | EUR | 2,521 | CZK | 67,744 | (61 | ) | ||||||||||||||
12/18/13 | EUR | 932 | PLN | 3,900 | (7 | ) | ||||||||||||||
12/18/13 | SGD | 11,061 | USD | 8,701 | (124 | ) | ||||||||||||||
12/18/13 | TRY | 16,724 | USD | 8,150 | (111 | ) | ||||||||||||||
12/18/13-1/21/14 | EUR | 21,666 | USD | 29,084 | (413 | ) | ||||||||||||||
12/18/13-1/31/14 | CZK | 120,756 | USD | 6,099 | 88 | |||||||||||||||
12/18/13-2/3/14 | USD | 8,454 | HUF | 1,876,471 | 10 | |||||||||||||||
12/18/13-2/19/14 | USD | 18,850 | MYR | 60,217 | (227 | ) | ||||||||||||||
12/18/13-2/28/14 | HUF | 2,203,258 | USD | 10,121 | 182 | |||||||||||||||
12/18/13-2/28/14 | PLN | 50,144 | USD | 16,361 | 159 | |||||||||||||||
12/18/13-2/28/14 | USD | 31,975 | MXP | 419,578 | (66 | ) | ||||||||||||||
12/18/13-2/28/14 | USD | 29,196 | PLN | 92,215 | 594 | |||||||||||||||
12/18/13-2/28/14 | USD | 16,070 | TRY | 32,582 | 25 | |||||||||||||||
12/18/13-2/28/14 | USD | 8,726 | ZAR | 87,478 | (145 | ) | ||||||||||||||
12/18/13-2/28/14 | ZAR | 143,265 | USD | 14,013 | 3 | |||||||||||||||
12/18/13-3/19/14 | CLP | 7,099,554 | USD | 13,670 | 348 | |||||||||||||||
12/18/13-3/19/14 | ILS | 31,287 | USD | 8,822 | (51 | ) | ||||||||||||||
12/20/13 | PEI | 1,597 | USD | 570 | 1 | |||||||||||||||
12/20/13-3/19/14 | USD | 13,813 | PEI | 38,656 | (80 | ) | ||||||||||||||
12/27/13-1/21/14 | GBP | 1,946 | USD | 3,102 | (84 | ) | ||||||||||||||
1/17/14 | CNY | 3,456 | USD | 563 | (3 | ) | ||||||||||||||
1/21/14 | USD | 445 | EUR | 325 | (3 | ) | ||||||||||||||
1/31/14 | COP | 572,707 | USD | 297 | 2 | |||||||||||||||
1/31/14 | USD | 1,152 | RON | 3,735 | (6 | ) | ||||||||||||||
1/31/14-3/19/14 | USD | 6,145 | CLP | 3,243,309 | (89 | ) | ||||||||||||||
2/19/14 | USD | 4,079 | KRW | 4,359,955 | 31 | |||||||||||||||
2/19/14 | USD | 4,995 | TWD | 145,577 | (60 | ) | ||||||||||||||
2/28/14 | RON | 2,031 | USD | 617 | (6 | ) | ||||||||||||||
3/19/14 | USD | 1,690 | COP | 3,253,000 | (20 | ) | ||||||||||||||
3/19/14 | USD | 5,234 | NGN | 863,600 | 83 | |||||||||||||||
|
| |||||||||||||||||||
$ | (126 | ) | ||||||||||||||||||
|
|
208 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
A list of the counterparties for the open forward foreign currency contracts held by the Fund at November 30, 2013, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Bank of America | $ | (5,810 | ) | $ | 5,833 | $ | 23 | |||||
Barclays PLC | (45,283 | ) | 45,543 | 260 | ||||||||
BNP Paribas | (2,102 | ) | 2,066 | (36 | ) | |||||||
Citigroup | (168,516 | ) | 168,451 | (65 | ) | |||||||
Credit Suisse First Boston | (2,986 | ) | 3,010 | 24 | ||||||||
Deutsche Bank | (39,984 | ) | 40,046 | 62 | ||||||||
Goldman Sachs | (107,782 | ) | 107,792 | 10 | ||||||||
HSBC | (56,400 | ) | 56,415 | 15 | ||||||||
JPMorgan Chase Bank | (14,194 | ) | 14,078 | (116 | ) | |||||||
National Australia Bank | (2,469 | ) | 2,415 | (54 | ) | |||||||
Standard Bank | (4,831 | ) | 4,769 | (62 | ) | |||||||
UBS | (13,676 | ) | 13,489 | (187 | ) | |||||||
|
| |||||||||||
$ | (126 | ) | ||||||||||
|
|
For the period ended November 30, 2013, 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 open OTC swap agreements held by the Fund at November 30, 2013, is as follows:
Interest Rate Swaps | ||||||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Currency | Notional Amount (Thousands) | Net Unrealized Depreciation ($ Thousands) | ||||||||||||
Barclays Capital | JIBAR ZAR 3 Month | 6.58% | 11/07/2016 | ZAR | 59,400 | $ | (11 | ) | ||||||||||
HSBC | Brazil Interbank Deposit Rate | 11.03% | 01/25/2017 | BRL | 5,254 | (77 | ) | |||||||||||
HSBC | Brazil Interbank Deposit Rate | 11.17% | 01/04/2016 | BRL | 8,719 | (42 | ) | |||||||||||
HSBC | Brazil Interbank Deposit Rate | 10.96% | 07/01/2015 | BRL | 11,749 | (26 | ) | |||||||||||
|
| |||||||||||||||||
$ | (156 | ) | ||||||||||||||||
|
|
Total Return Swaps | ||||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Fund Pays | Fund Receives | Termination Date | Currency | Notional Amount (Thousands) | Net Unrealized ($ Thousands) | |||||||||||||||
HSBC | Indonesia Government Bond, 9.500%, 6/15/2015 | Cash Deposit Of Notional Amount | Price Return | 06/15/2015 | IDR | 2,060,000 | $ | (9 | ) | |||||||||||||
Standard Chartered London | Indonesia Government Bond, 7.875% 4/15/2019 | Cash Deposit Of Notional Amount | Price Return | 04/15/2019 | IDR | 20,000,000 | (158 | ) | ||||||||||||||
HSBC | Indonesia Government Bond, 11.500%, 9/15/2019 | Cash Deposit Of Notional Amount | Price Return | 09/15/2019 | IDR | 31,700,000 | (1,419 | ) | ||||||||||||||
HSBC | Indonesia Government Bond, 11.500%, 9/15/2019 | Cash Deposit Of Notional Amount | Price Return | 09/15/2019 | IDR | 4,600,000 | (205 | ) | ||||||||||||||
HSBC | Indonesia Government Bond, 8.375% 3/15/2024 | Cash Deposit Of Notional Amount | Price Return | 03/15/2024 | IDR | 7,000,000 | (62 | ) | ||||||||||||||
Standard Chartered London | Indonesia Government Bond, 11%, 9/15/2025 | Cash Deposit Of Notional Amount | Price Return | 09/15/2025 | IDR | 6,000,000 | (179 | ) | ||||||||||||||
HSBC | Indonesia Government Bond, 8.375%, 9/15/2026 | Cash Deposit Of Notional Amount | Price Return | 09/15/2026 | IDR | 18,900,000 | (827 | ) | ||||||||||||||
Standard Chartered London | Indonesia Government Bond, 7%, 5/15/2027 | Cash Deposit Of Notional Amount | Price Return | 05/15/2027 | IDR | 10,000,000 | (420 | ) | ||||||||||||||
Standard Chartered London | Indonesia Government Bond, 7%, 5/15/2027 | Cash Deposit Of Notional Amount | Price Return | 05/15/2027 | IDR | 3,900,000 | (153 | ) | ||||||||||||||
HSBC | Indonesia Government Bond, 10.500%, 8/15/2030 | Cash Deposit Of Notional Amount | Price Return | 08/15/2030 | IDR | 23,500,000 | (1,252 | ) | ||||||||||||||
Standard Chartered London | Indonesia Government Bond, 10.500%, 8/15/2030 | Cash Deposit Of Notional Amount | Price Return | 08/15/2030 | IDR | 4,900,000 | (269 | ) | ||||||||||||||
HSBC | Indonesia Government Bond, 9.500%, 7/15/2031 | Cash Deposit Of Notional Amount | Price Return | 07/15/2031 | IDR | 6,600,000 | (320 | ) | ||||||||||||||
HSBC | Indonesia Government Bond, 8.250%, 6/15/2032 | Cash Deposit Of Notional Amount | Price Return | 06/15/2032 | IDR | 1,390,000 | (63 | ) | ||||||||||||||
Standard Chartered London | Indonesia Government Bond, 6.625% 05/15/2033 | Cash Deposit Of Notional Amount | Price Return | 05/15/2033 | IDR | 11,930,000 | (515 | ) | ||||||||||||||
|
| |||||||||||||||||||||
$ | (5,851 | ) | ||||||||||||||||||||
|
|
For the period ended November 30, 2013, the total amount of all open OTC swap agreements, 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, 2013 | 209 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Concluded)
November 30, 2013
Percentages are based on a Net Assets of $1,466,096 ($ Thousands).
* | Rate shown is the 7-day effective yield as of November 30, 2013. |
† | Investment in Affiliated Security (See Note 6). |
(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, 2013. |
(D) | Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. |
(E) | This security or a partial position of this security is on loan at November 30, 2013. The total market value of securities on loan at November 30, 2013 was $4,915 ($ Thousands). |
(F) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on November 30, 2013. The coupon on a step bond changes on a specified date. |
(G) | Security is when-issued. |
(H) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of November 30, 2013 was $3,100 ($ Thousands) and represented 0.2% of Net Assets. |
(I) | Securities considered illiquid. The total market value of such securities as of November 30, 2013 was $3,100 ($ Thousands) and represented 0.2% of Net Assets. |
(J) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total value of such securities as of November 30, 2013 was $5,174 ($ Thousands). |
BRL — Brazilian Real
CLN — Credit Linked Note
CLP — Chilean Peso
CNH — Chinese Yuen (Offshore)
CNY — Chinese Renminbi
COP — Colombian Peso
CZK — Czech Koruna
DEM — German Mark
EUR — Euro
GBP — British Pound Sterling
HUF — Hungarian Forint
IDR — Indonesia Rupiah
ILS — Israeli Shekel
JIBAR — Johannesburg Interbank Agreed Rate
KRW — Korean Won
L.P. — Limited Partnership
MTN — Medium Term Note
MXN — Mexican Peso
MYR — Malaysian Ringgit
NGN — Nigerian Naira
OTC — Over the Counter
PEI — Peruvian Inca
PHP — Philippine Peso
PIK — Payment-in-Kind
PLC — Public Limited Company
PLN — Polish Zlotty
RON — Romanian Leu
RUB — Russian Ruble
Ser — Series
SGD — Singapore Dollar
THB — Thai Baht
TRY — Turkish Lira
TWD — Taiwanese Dollar
USD — U.S. Dollar
ZAR — South African Rand
The following is a list of the level of inputs used as of November 30, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Global Bonds | $ | — | $ | 1,355,966 | $ | 1,903 | $ | 1,357,869 | ||||||||
Loan Participations | — | 974 | 3,344 | 4,318 | ||||||||||||
Affiliated Partnership | — | 5,174 | — | 5,174 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | — | $ | 1,362,114 | $ | 5,247 | $ | 1,367,361 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 30 | $ | — | $ | — | $ | 30 | ||||||||
Unrealized Depreciation | (3 | ) | — | — | (3 | ) | ||||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Appreciation | — | 4,083 | — | 4,083 | ||||||||||||
Unrealized Depreciation | — | (4,209 | ) | — | (4,209 | ) | ||||||||||
OTC Swaps | ||||||||||||||||
Interest Rate Swaps* | ||||||||||||||||
Unrealized Depreciation | — | (156 | ) | — | (156 | ) | ||||||||||
Total Return Swaps* | ||||||||||||||||
Unrealized Depreciation | — | (5,851 | ) | — | (5,851 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 27 | $ | (6,133 | ) | $ | — | $ | (6,106 | ) | ||||||
|
|
|
|
|
|
|
|
(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. Management has concluded that Level 3 investments are not material 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, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2013, there were transfers between Level 2 and Level 3 assets and liabilities. The transfers were due to changes in the availability of observable inputs used to determine fair value.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Note to Financial Statements.
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
210 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Real Return Fund
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 101.3% |
| |||||||
U.S. Treasury Inflation- Protected Securities | ||||||||
2.625%, 07/15/2017 | $ | 10,393 | $ | 11,768 | ||||
2.500%, 07/15/2016 | 14,009 | 15,408 | ||||||
2.375%, 01/15/2017 | 12,137 | 13,426 | ||||||
2.000%, 01/15/2016 | 14,315 | 15,252 | ||||||
1.875%, 07/15/2015 | 14,604 | 15,352 | ||||||
1.625%, 01/15/2015 | 16,644 | 17,102 | ||||||
1.625%, 01/15/2018 | 10,977 | 12,056 | ||||||
1.375%, 07/15/2018 | 11,017 | 12,093 | ||||||
0.500%, 04/15/2015 | 16,384 | 16,687 | ||||||
0.125%, 04/15/2016 | 28,868 | 29,615 | ||||||
0.125%, 04/15/2017 | 32,499 | 33,538 | ||||||
0.125%, 04/15/2018 | 24,495 | 25,266 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 217,563 | |||||||
|
| |||||||
Total Investments — 101.3% | $ | 217,563 | ||||||
|
|
Percentages are based on Net Assets of $214,838 ($ Thousands).
As of November 30, 2013, all of the Fund’s investments in securities were considered Level 2, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.
For the period ended November 30, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2013, 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.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 211 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Dynamic Asset Allocation Fund
November 30, 2013
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
COMMON STOCK — 98.1% |
| |||||||||||
Consumer Discretionary — 12.4% |
| |||||||||||
Amazon.com* | 0.9 | % | 31,300 | $ | 12,320 | |||||||
Comcast, Cl A | 0.8 | 220,400 | 10,991 | |||||||||
Home Depot | 0.7 | 120,700 | 9,737 | |||||||||
McDonald’s | 0.6 | 84,200 | 8,199 | |||||||||
Walt Disney | 0.7 | 140,100 | 9,883 | |||||||||
Other Securities | 8.7 | 119,978 | ||||||||||
|
| |||||||||||
171,108 | ||||||||||||
|
| |||||||||||
Consumer Staples — 9.9% |
| |||||||||||
Altria Group | 0.5 | 168,900 | 6,246 | |||||||||
Coca-Cola | 0.9 | 322,100 | 12,945 | |||||||||
CVS Caremark | 0.5 | 103,500 | 6,931 | |||||||||
PepsiCo | 0.8 | 130,000 | 10,980 | |||||||||
Philip Morris International | 0.9 | 136,400 | 11,668 | |||||||||
Procter & Gamble | 1.4 | 230,800 | 19,438 | |||||||||
Wal-Mart Stores | 0.8 | 137,400 | 11,131 | |||||||||
Other Securities | 4.1 | 57,373 | ||||||||||
|
| |||||||||||
136,712 | ||||||||||||
|
| |||||||||||
Energy — 10.1% |
| |||||||||||
Chevron | 1.5 | 162,800 | 19,933 | |||||||||
ConocoPhillips | 0.5 | 103,100 | 7,506 | |||||||||
Exxon Mobil | 2.5 | 370,900 | 34,672 | |||||||||
Occidental Petroleum | 0.5 | 67,900 | 6,448 | |||||||||
Schlumberger | 0.7 | 111,500 | 9,859 | |||||||||
Other Securities | 4.4 | 60,764 | ||||||||||
|
| |||||||||||
139,182 | ||||||||||||
|
| |||||||||||
Financials — 15.8% |
| |||||||||||
American Express | 0.5 | 78,200 | 6,710 | |||||||||
American International Group | 0.5 | 124,400 | 6,189 | |||||||||
Bank of America | 1.0 | 908,600 | 14,374 | |||||||||
Berkshire Hathaway, | 1.3 | 151,700 | 17,678 | |||||||||
Citigroup | 1.0 | 257,100 | 13,606 |
Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||||||
JPMorgan Chase | 1.3 | % | 317,200 | $ | 18,150 | |||||||
Wells Fargo | 1.3 | 407,200 | 17,925 | |||||||||
Other Securities | 8.9 | 123,027 | ||||||||||
|
| |||||||||||
217,659 | ||||||||||||
|
| |||||||||||
Health Care — 13.0% |
| |||||||||||
AbbVie | 0.5 | 133,600 | 6,473 | |||||||||
Amgen | 0.5 | 63,500 | 7,244 | |||||||||
Bristol-Myers Squibb | 0.5 | 138,700 | 7,126 | |||||||||
Gilead Sciences* | 0.7 | 129,000 | 9,651 | |||||||||
Johnson & Johnson | 1.6 | 237,500 | 22,482 | |||||||||
Merck | 0.9 | 247,200 | 12,318 | |||||||||
Pfizer | 1.3 | 557,896 | 17,702 | |||||||||
UnitedHealth Group | 0.5 | 85,700 | 6,383 | |||||||||
Other Securities | 6.5 | 89,699 | ||||||||||
|
| |||||||||||
179,078 | ||||||||||||
|
| |||||||||||
Industrials — 10.6% |
| |||||||||||
3M | 0.5 | 54,700 | 7,303 | |||||||||
Boeing | 0.6 | 58,500 | 7,854 | |||||||||
General Electric | 1.7 | 858,200 | 22,879 | |||||||||
Union Pacific | 0.5 | 39,100 | 6,336 | |||||||||
United Parcel Service, | 0.5 | 60,900 | 6,235 | |||||||||
United Technologies | 0.6 | 71,100 | 7,882 | |||||||||
Other Securities | 6.2 | 88,193 | ||||||||||
|
| |||||||||||
146,682 | ||||||||||||
|
| |||||||||||
Information Technology — 17.6% |
| |||||||||||
Apple | 3.1 | 76,600 | 42,595 | |||||||||
Cisco Systems | 0.7 | 451,800 | 9,601 | |||||||||
Google, Cl A* | 1.8 | 23,600 | 25,006 | |||||||||
Intel | 0.7 | 419,800 | 10,008 | |||||||||
International Business Machines | 1.1 | 87,100 | 15,650 | |||||||||
Mastercard, Cl A | 0.5 | 8,700 | 6,619 | |||||||||
Microsoft | 1.8 | 638,800 | 24,357 | |||||||||
Oracle | 0.8 | 300,500 | 10,605 | |||||||||
Qualcomm | 0.8 | 144,800 | 10,654 | |||||||||
Visa, Cl A | 0.6 | 43,500 | 8,851 | |||||||||
Other Securities | 5.7 | 78,204 | ||||||||||
|
| |||||||||||
242,150 | ||||||||||||
|
| |||||||||||
Materials — 3.4% |
| |||||||||||
Other Securities | 3.4 | 46,368 | ||||||||||
|
| |||||||||||
Telecommunication Services — 2.4% |
| |||||||||||
AT&T | 1.2 | 449,100 | 15,813 | |||||||||
Verizon Communications | 0.9 | 241,100 | 11,963 | |||||||||
Other Securities | 0.3 | 4,435 | ||||||||||
|
| |||||||||||
32,211 | ||||||||||||
|
|
212 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Percentage of Net Assets (%) | Contracts | Market Value ($ Thousands) | |||||||||
Utilities — 2.9% |
| |||||||||||
Other Securities | 2.9 | % | $ | 40,566 | ||||||||
|
| |||||||||||
Total Common Stock |
| 1,351,716 | ||||||||||
|
| |||||||||||
Total Investments — 98.1% |
| $ | 1,351,716 | |||||||||
|
| |||||||||||
PURCHASED OPTIONS* — 0.0% |
| |||||||||||
January 2014 |
| 150,312,500 | $ | 272 | ||||||||
January 2014 ProShares UltraShort 20+ Year Treasury ETF Option Put, |
| 6,000 | 120 | |||||||||
|
| |||||||||||
Total Purchased Options |
| $ | 392 | |||||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2013, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||||||
MSCI Emerging Markets E-MINI | 2,022 | Dec-2013 | $ | (2,334 | ) | |||||||
S&P 500 Index E-MINI | (1,131 | ) | Dec-2013 | (4,218 | ) | |||||||
|
| |||||||||||
$ | (6,552 | ) | ||||||||||
|
|
For the period ended November 30, 2013, 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, 2013, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized ($ Thousands) | |||||||||||||||||
1/23/14 | EUR | 434,252 | USD | 593,262 | $ | 2,055 | ||||||||||||||
1/23/14 | JPY | 13,931,268 | USD | 141,980 | 5,814 | |||||||||||||||
|
| |||||||||||||||||||
$ | 7,869 | |||||||||||||||||||
|
|
A list of the counterparties for the open forward foreign currency contracts held by the Fund at November 30, 2013, is as follows:
Counterparty | Currency to Deliver | Currency to Receive ($ Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||
Bank of Montreal | $ | (30,984 | ) | $ | 32,396 | $ | 1,412 | |||||
Barclays PLC | (140,781 | ) | 141,280 | 499 | ||||||||
Citigroup | (30,984 | ) | 32,401 | 1,417 | ||||||||
Goldman Sachs | (39,455 | ) | 40,872 | 1,417 | ||||||||
Royal Bank of Scotland | (161,780 | ) | 162,279 | 499 | ||||||||
Societe Generale | (140,781 | ) | 141,299 | 518 | ||||||||
Standard Bank | (10,843 | ) | 10,995 | 153 | ||||||||
Toronto Dominion Bank | (30,984 | ) | 32,399 | 1,415 | ||||||||
UBS | (140,781 | ) | 141,320 | 539 | ||||||||
|
| |||||||||||
$ | 7,869 | |||||||||||
|
|
For the period ended November 30, 2013, 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 $1,378,086 ($ Thousands).
* | Non-income producing security. |
Cl — Class
ETF — Exchange Traded Fund
EUR — Euro
JPY — Japanese Yen
MSCI — Morgan Stanley Capital International
PLC — Public Limited Company
S&P — Standard & Poor’s
USD — United States Dollar
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest 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 level of inputs used as of November 30, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,351,716 | $ | — | $ | — | $ | 1,351,716 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Purchased Options | $ | 392 | $ | — | $ | — | $ | 392 | ||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Depreciation | (6,552 | ) | — | — | (6,552 | ) | ||||||||||
Forwards Contracts* | ||||||||||||||||
Unrealized Appreciation | — | 7,869 | — | 7,869 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (6,160 | ) | $ | 7,869 | $ | — | $ | 1,709 | |||||||
|
|
|
|
|
|
|
|
* | Futures contracts and forwards contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended November 30, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2013, 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 $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 213 |
Table of Contents
CONSOLIDATED SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Real Return Fund
November 30, 2013
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 61.5% |
| |||||||
U.S. Treasury Bills (D) | ||||||||
0.035%, 01/23/2014 | $ | 84,700 | $ | 84,698 | ||||
U.S. Treasury Inflation-Protected Securities | ||||||||
2.625%, 07/15/2017 | 23,962 | 27,134 | ||||||
2.500%, 07/15/2016 | 37,258 | 40,978 | ||||||
2.375%, 01/15/2017 | 1,417 | 1,567 | ||||||
2.125%, 01/15/2019 | 10,312 | 11,678 | ||||||
2.000%, 07/15/2014 | 21,291 | 21,700 | ||||||
2.000%, 01/15/2016 | 19,961 | 21,268 | ||||||
1.875%, 07/15/2015 | 28,524 | 29,983 | ||||||
1.625%, 01/15/2018 | 9,981 | 10,963 | ||||||
1.375%, 07/15/2018 | 41,354 | 45,392 | ||||||
0.625%, 07/15/2021 | 2,400 | 2,481 | ||||||
0.500%, 04/15/2015 | 4,381 | 4,462 | ||||||
0.125%, 04/15/2016 | 1,697 | 1,741 | ||||||
0.125%, 04/15/2016 | 32,147 | 32,979 | ||||||
0.125%, 04/15/2017 | 16,000 | 16,511 | ||||||
0.125%, 04/15/2018 | 16,698 | 17,224 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 370,759 | ||||||
|
| |||||||
COMMON STOCK — 14.3% |
| |||||||
Consumer Discretionary — 0.1% |
| |||||||
Regal Entertainment Group, Cl A1 | 38,040 | 741 | ||||||
|
| |||||||
Energy — 6.0% |
| |||||||
Anadarko Petroleum | 21,570 | 1,916 | ||||||
Chevron | 63,600 | 7,787 | ||||||
Cimarex Energy | 8,580 | 812 | ||||||
ConocoPhillips | 15,480 | 1,127 | ||||||
EOG Resources | 9,470 | 1,563 | ||||||
Exxon Mobil | 116,050 | 10,848 |
Description | Shares | Market Value ($ Thousands) | ||||||
Halliburton | 15,690 | $ | 827 | |||||
Helix Energy Solutions Group* | 26,100 | 580 | ||||||
Hess | 13,050 | 1,059 | ||||||
Marathon Petroleum | 8,540 | 707 | ||||||
Murphy Oil | 14,200 | 922 | ||||||
Nabors Industries | 30,540 | 506 | ||||||
Noble Energy | 14,970 | 1,051 | ||||||
Occidental Petroleum | 32,575 | 3,093 | ||||||
Rosetta Resources* | 9,110 | 461 | ||||||
Schlumberger | 15,290 | 1,352 | ||||||
Valero Energy | 27,100 | 1,239 | ||||||
Whiting Petroleum* | 8,150 | 492 | ||||||
|
| |||||||
36,342 | ||||||||
|
| |||||||
Financials — 7.2% | ||||||||
Apartment Investment & Management, Cl A‡ | 11,700 | 294 | ||||||
Armada Hoffler Properties‡ | 31,797 | 326 | ||||||
Ashford Hospitality Prime‡* | 19,421 | 397 | ||||||
Ashford Hospitality Trust‡ | 94,723 | 778 | ||||||
Associated Estates Realty‡ | 51,120 | 813 | ||||||
AvalonBay Communities‡ | 9,795 | 1,161 | ||||||
BioMed Realty Trust‡ | 18,120 | 337 | ||||||
Boston Properties‡ | 12,020 | 1,196 | ||||||
Chambers Street Properties‡ | 114,660 | 948 | ||||||
Chesapeake Lodging Trust‡ | 15,330 | 366 | ||||||
Corporate Office Properties Trust‡ | 8,446 | 188 | ||||||
Corrections Corp of America‡ | 11,841 | 395 | ||||||
Cousins Properties‡ | 70,658 | 757 | ||||||
CubeSmart‡ | 28,990 | 470 | ||||||
DDR‡ | 55,772 | 892 | ||||||
DiamondRock Hospitality‡ | 82,540 | 943 | ||||||
Digital Realty Trust‡ | 11,790 | 557 | ||||||
EPR Properties‡ | 4,470 | 225 | ||||||
Equity Residential‡ | 23,290 | 1,200 | ||||||
Franklin Street Properties‡ | 10,150 | 131 | ||||||
General Growth Properties‡ | 51,010 | 1,058 | ||||||
Geo Group‡ | 15,350 | 503 | ||||||
Gramercy Property Trust‡* | 82,749 | 445 | ||||||
HCP‡ | 32,400 | 1,191 | ||||||
Health Care‡ | 20,150 | 1,128 | ||||||
Hersha Hospitality Trust, Cl A‡ | 150,220 | 861 | ||||||
Home Properties‡ | 5,170 | 272 | ||||||
Host Hotels & Resorts‡ | 44,940 | 827 | ||||||
Inland Real Estate‡ | 31,720 | 344 | ||||||
Kennedy-Wilson Holdings | 37,880 | 780 | ||||||
Kimco Realty‡ | 27,080 | 558 | ||||||
Kite Realty Group Trust‡ | 122,537 | 803 | ||||||
LaSalle Hotel Properties‡ | 16,240 | 509 | ||||||
Lexington Realty Trust‡ | 72,561 | 745 | ||||||
LTC Properties‡ | 22,550 | 868 | ||||||
Medical Properties Trust‡ | 71,525 | 945 | ||||||
Mid-America Apartment Communities‡ | 16,350 | 985 |
214 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Shares | Market Value ($ Thousands) | ||||||
National Retail Properties‡ | 10,510 | $ | 334 | |||||
Omega Healthcare Investors‡ | 26,870 | 878 | ||||||
Parkway Properties‡ | 46,548 | 851 | ||||||
Post Properties‡ | 5,000 | 214 | ||||||
Prologis‡ | 40,686 | 1,543 | ||||||
Public Storage‡* | 10,810 | 1,651 | ||||||
Ramco-Gershenson Properties‡ | 51,954 | 831 | ||||||
Senior Housing Properties Trust‡ | 17,840 | 404 | ||||||
Simon Property Group‡ | 32,010 | 4,797 | ||||||
SL Green Realty‡ | 16,590 | 1,501 | ||||||
Sovran Self Storage‡ | 2,920 | 195 | ||||||
Spirit Realty Capital‡ | 107,870 | 1,071 | ||||||
STAG Industrial‡ | 38,483 | 834 | ||||||
Strategic Hotels & Resorts‡* | 16,060 | 143 | ||||||
Sun Communities‡ | 21,710 | 886 | ||||||
Ventas‡ | 20,800 | 1,182 | ||||||
Vornado Realty Trust‡ | 12,590 | 1,107 | ||||||
|
| |||||||
43,618 | ||||||||
|
| |||||||
Materials — 1.0% | ||||||||
Freeport-McMoRan Copper & Gold, Cl B | 45,770 | 1,588 | ||||||
Huntsman | 52,160 | 1,196 | ||||||
Monsanto | 21,840 | 2,475 | ||||||
Ternium ADR | 20,250 | 541 | ||||||
|
| |||||||
5,800 | ||||||||
|
| |||||||
Total Common Stock |
| 86,501 | ||||||
|
| |||||||
FOREIGN COMMON STOCK — 11.8% |
| |||||||
Austria — 0.1% |
| |||||||
Voestalpine | 11,300 | 563 | ||||||
|
| |||||||
Australia — 0.6% | ||||||||
BHP Billiton | 87,630 | 2,994 | ||||||
BlueScope Steel | 127,737 | 635 | ||||||
Stockland‡ | 65,910 | 232 | ||||||
|
| |||||||
3,861 | ||||||||
|
| |||||||
Brazil — 0.6% | ||||||||
Duratex | 84,800 | 490 | ||||||
Petroleo Brasileiro ADR, Cl A | 68,840 | 1,138 | ||||||
Petroleo Brasileiro ADR | 136,950 | 2,183 | ||||||
|
| |||||||
3,811 | ||||||||
|
| |||||||
Canada — 1.9% | ||||||||
Allied Properties, Cl Trust Unit‡ | 22,680 | 698 | ||||||
Artis, Cl Trust Unit‡ | 39,410 | 536 | ||||||
Barrick Gold | 25,480 | 424 | ||||||
Brookfield Residential Properties* | 25,163 | 544 | ||||||
Chartwell Retirement Residences, Cl Common Subscription Receipt‡ | 35,100 | 331 | ||||||
Cominar, Cl Trust Unit‡ | 23,720 | 405 |
Description | Shares | Market Value ($ Thousands) | ||||||
Dominion Diamond* | 39,900 | $ | 536 | |||||
Dundee, Cl A (Canada)‡ | 24,680 | 653 | ||||||
Goldcorp | 80,110 | 1,789 | ||||||
Granite‡ | 21,720 | 728 | ||||||
New Gold* | 35,260 | 183 | ||||||
North American Palladium* | 501,240 | 237 | ||||||
Potash Corp of Saskatchewan | 17,010 | 535 | ||||||
RioCan, Cl Trust Unit‡ | 22,041 | 513 | ||||||
Suncor Energy | 88,036 | 3,028 | ||||||
|
| |||||||
11,140 | ||||||||
|
| |||||||
China — 0.5% | ||||||||
Anhui Conch Cement | 175,500 | 685 | ||||||
China Petroleum & Chemical | 2,758,800 | 2,370 | ||||||
|
| |||||||
3,055 | ||||||||
|
| |||||||
France — 0.7% | ||||||||
Arkema | 8,060 | 923 | ||||||
Total | 57,590 | 3,497 | ||||||
|
| |||||||
4,420 | ||||||||
|
| |||||||
Germany — 0.1% |
| |||||||
Norddeutsche Affinerie | 9,580 | 566 | ||||||
|
| |||||||
Israel — 0.1% |
| |||||||
Israel Chemicals | 33,840 | 288 | ||||||
|
| |||||||
Italy — 0.7% | ||||||||
Eni | 162,940 | 3,929 | ||||||
|
| |||||||
Japan — 0.3% | ||||||||
Denki Kagaku Kogyo | 148,000 | 633 | ||||||
JFE Holdings | 45,000 | 1,012 | ||||||
|
| |||||||
1,645 | ||||||||
|
| |||||||
Netherlands — 0.4% | ||||||||
Koninklijke DSM | 18,889 | 1,486 | ||||||
LyondellBasell Industries, Cl A | 15,121 | 1,167 | ||||||
|
| |||||||
2,653 | ||||||||
|
| |||||||
Norway — 0.4% | ||||||||
Aker Solutions | 61,470 | 1,094 | ||||||
Odfjell Drilling* | 75,340 | 505 | ||||||
Statoil | 34,480 | 780 | ||||||
|
| |||||||
2,379 | ||||||||
|
| |||||||
Russia — 0.7% | ||||||||
Gazprom OAO ADR | 314,110 | 2,710 | ||||||
MMC Norilsk Nickel ADR | 93,490 | 1,410 | ||||||
|
| |||||||
4,120 | ||||||||
|
| |||||||
Singapore — 0.0% | ||||||||
UOL Group | 48,000 | 238 | ||||||
|
| |||||||
South Africa — 0.1% |
| |||||||
Sappi* | 101,450 | 308 | ||||||
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 215 |
Table of Contents
CONSOLIDATED SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Real Return Fund (Continued)
November 30, 2013
Description | Shares/Face Amount | Market Value ($ Thousands) | ||||||
Sweden — 0.1% | ||||||||
Lundin Petroleum* | 40,400 | $ | 843 | |||||
|
| |||||||
Switzerland — 0.4% | ||||||||
Glencore Xstrata | 521,489 | 2,647 | ||||||
|
| |||||||
Turkey — 0.1% | ||||||||
Koza Altin Isletmeleri | 29,710 | 475 | ||||||
|
| |||||||
Ukraine — 0.1% | ||||||||
MHP GDR | 37,450 | 637 | ||||||
|
| |||||||
United Kingdom — 3.9% | ||||||||
BG Group | 195,790 | 4,004 | ||||||
BP | 513,080 | 4,051 | ||||||
Johnson Matthey | 11,230 | 583 | ||||||
Mondi | 46,560 | 766 | ||||||
Rio Tinto | 102,270 | 5,464 | ||||||
Royal Dutch Shell, Cl A | 198,836 | 6,667 | ||||||
Royal Dutch Shell, Cl B | 59,130 | 2,077 | ||||||
|
| |||||||
23,612 | ||||||||
|
| |||||||
Total Foreign Common Stock |
| 71,190 | ||||||
|
| |||||||
CORPORATE OBLIGATIONS — 3.8% |
| |||||||
Consumer Discretionary — 0.5% |
| |||||||
21st Century Fox America | ||||||||
6.150%, 02/15/2041 | $ | 75 | 83 | |||||
4.500%, 02/15/2021 | 90 | 97 | ||||||
4.000%, 10/01/2023 (A) | 117 | 117 | ||||||
3.000%, 09/15/2022 | 420 | 398 | ||||||
CBS | ||||||||
5.750%, 04/15/2020 | 145 | 164 | ||||||
Comcast | ||||||||
6.450%, 03/15/2037 | 40 | 46 | ||||||
Dana Holdings | ||||||||
6.000%, 09/15/2023 | 91 | 92 | ||||||
DIRECTV Holdings | ||||||||
4.600%, 02/15/2021 | 60 | 61 | ||||||
3.800%, 03/15/2022 | 315 | 301 | ||||||
DISH DBS | ||||||||
5.000%, 03/15/2023 | 255 | 243 | ||||||
Dollar General | ||||||||
4.125%, 07/15/2017 | 29 | 31 | ||||||
NBC Universal Media | ||||||||
4.375%, 04/01/2021 | 275 | 295 | ||||||
Omnicom Group | ||||||||
3.625%, 05/01/2022 | 58 | 57 | ||||||
Sirius XM Holdings | ||||||||
4.625%, 05/15/2023 (A) | 254 | 227 | ||||||
Time Warner | ||||||||
4.700%, 01/15/2021 | 130 | 140 | ||||||
3.400%, 06/15/2022 | 440 | 429 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Time Warner Cable | ||||||||
4.125%, 02/15/2021 | $ | 65 | $ | 61 | ||||
Wynn Las Vegas | ||||||||
5.375%, 03/15/2022 | 105 | 107 | ||||||
|
| |||||||
2,949 | ||||||||
|
| |||||||
Consumer Staples — 0.2% | ||||||||
Altria Group | ||||||||
4.750%, 05/05/2021 | 215 | 231 | ||||||
Bunge Finance | ||||||||
4.100%, 03/15/2016 | 125 | 132 | ||||||
Kroger | ||||||||
3.400%, 04/15/2022 | 452 | 438 | ||||||
Reynolds American | ||||||||
3.250%, 11/01/2022 | 107 | 99 | ||||||
Tyson Foods | ||||||||
4.500%, 06/15/2022 | 278 | 283 | ||||||
|
| |||||||
1,183 | ||||||||
|
| |||||||
Energy — 0.7% | ||||||||
Cimarex Energy | ||||||||
5.875%, 05/01/2022 | 54 | 57 | ||||||
DCP Midstream | ||||||||
4.750%, 09/30/2021 (A) | 75 | 76 | ||||||
Denbury Resources | ||||||||
4.625%, 07/15/2023 | 255 | 230 | ||||||
Energy Transfer Partners | ||||||||
5.200%, 02/01/2022 | 465 | 495 | ||||||
4.650%, 06/01/2021 | 85 | 88 | ||||||
Enterprise Products Operating | ||||||||
5.200%, 09/01/2020 | 110 | 124 | ||||||
Kinder Morgan Energy Partners | ||||||||
4.150%, 03/01/2022 | 48 | 48 | ||||||
3.950%, 09/01/2022 | 536 | 529 | ||||||
Marathon Petroleum | ||||||||
5.125%, 03/01/2021 | 47 | 51 | ||||||
Nabors Industries | ||||||||
5.100%, 09/15/2023 (A) | 110 | 112 | ||||||
Noble Energy | ||||||||
8.250%, 03/01/2019 | 174 | 219 | ||||||
4.150%, 12/15/2021 | 340 | 353 | ||||||
Phillips 66 | ||||||||
4.300%, 04/01/2022 | 125 | 129 | ||||||
Regency Energy Partners | ||||||||
4.500%, 11/01/2023 (A) | 72 | 66 | ||||||
Spectra Energy Capital | ||||||||
6.200%, 04/15/2018 | 115 | 132 | ||||||
Transocean | ||||||||
6.500%, 11/15/2020 | 90 | 102 | ||||||
6.375%, 12/15/2021 | 2 | 2 | ||||||
3.800%, 10/15/2022 | 140 | 134 | ||||||
Valero Energy | ||||||||
6.125%, 02/01/2020 | 149 | 171 |
216 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Williams | ||||||||
3.700%, 01/15/2023 | $ | 492 | $ | 445 | ||||
Williams Partners | ||||||||
4.000%, 11/15/2021 | 150 | 150 | ||||||
3.350%, 08/15/2022 | 485 | 454 | ||||||
|
| |||||||
4,167 | ||||||||
|
| |||||||
Financials — 1.2% | ||||||||
ABN AMRO Bank | ||||||||
2.500%, 10/30/2018 (A) | 725 | 729 | ||||||
American International Group | ||||||||
6.400%, 12/15/2020 | 60 | 72 | ||||||
5.600%, 10/18/2016 | 60 | 67 | ||||||
4.875%, 06/01/2022 | 410 | 444 | ||||||
American Tower‡ | ||||||||
5.050%, 09/01/2020 | 145 | 154 | ||||||
4.700%, 03/15/2022 | 230 | 232 | ||||||
3.500%, 01/31/2023 | 110 | 101 | ||||||
Bank of America | ||||||||
5.200%, 12/29/2049 (B) | 251 | 226 | ||||||
Citigroup | ||||||||
6.875%, 03/05/2038 | 13 | 16 | ||||||
5.950%, 12/29/2049 (B) | 455 | 425 | ||||||
Ford Motor Credit | ||||||||
4.375%, 08/06/2023 | 260 | 263 | ||||||
Ford Motor Credit LLC | ||||||||
5.875%, 08/02/2021 | 200 | 227 | ||||||
Goldman Sachs Group MTN | ||||||||
1.838%, 11/29/2023 (B) | 595 | 598 | ||||||
Hartford Financial Services Group | ||||||||
5.500%, 03/30/2020 | 80 | 90 | ||||||
5.125%, 04/15/2022 | 335 | 370 | ||||||
HBOS Capital Funding | ||||||||
6.071%, 06/30/2049 (A) (B) | 254 | 253 | ||||||
HCP‡ | ||||||||
5.375%, 02/01/2021 | 205 | 225 | ||||||
Health Care‡ | ||||||||
5.250%, 01/15/2022 | 540 | 582 | ||||||
Healthcare Realty Trust‡ | ||||||||
5.750%, 01/15/2021 | 320 | 350 | ||||||
Host Hotels & Resorts‡ | ||||||||
5.250%, 03/15/2022 | 70 | 73 | ||||||
HSBC Finance | ||||||||
6.676%, 01/15/2021 | 60 | 70 | ||||||
JPMorgan Chase | ||||||||
6.400%, 05/15/2038 | 40 | 48 | ||||||
Lincoln National | ||||||||
4.200%, 03/15/2022 | 110 | 114 | ||||||
MetLife | ||||||||
7.717%, 02/15/2019 | 50 | 63 | ||||||
5.700%, 06/15/2035 | 65 | 72 | ||||||
Morgan Stanley MTN | ||||||||
5.500%, 07/28/2021 | 168 | 189 | ||||||
4.750%, 03/22/2017 | 40 | 44 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Murray Street Investment Trust I | ||||||||
4.647%, 03/09/2017 (C) | $ | 18 | $ | 20 | ||||
Nationwide Financial Services | ||||||||
5.375%, 03/25/2021 (A) | 320 | 347 | ||||||
PNC Bank | ||||||||
3.800%, 07/25/2023 | 460 | 452 | ||||||
Prudential Financial | ||||||||
5.625%, 06/15/2043 (B) | 290 | 285 | ||||||
Rabobank Capital Funding | ||||||||
5.254%, 10/21/2016 (A) (B) | 240 | 248 | ||||||
SLM MTN | ||||||||
7.250%, 01/25/2022 | 53 | 56 | ||||||
|
| |||||||
7,505 | ||||||||
|
| |||||||
Health Care — 0.1% | ||||||||
Actavis | ||||||||
3.250%, 10/01/2022 | 77 | 72 | ||||||
HCA | ||||||||
4.750%, 05/01/2023 | 250 | 236 | ||||||
Humana | ||||||||
6.450%, 06/01/2016 | 115 | 130 | ||||||
|
| |||||||
438 | ||||||||
|
| |||||||
Industrials — 0.1% | ||||||||
BE Aerospace | ||||||||
5.250%, 04/01/2022 | 86 | 88 | ||||||
CSX | ||||||||
4.750%, 05/30/2042 | 320 | 304 | ||||||
Republic Services | ||||||||
3.800%, 05/15/2018 | 130 | 139 | ||||||
|
| |||||||
531 | ||||||||
|
| |||||||
Information Technology — 0.1% | ||||||||
Intel | ||||||||
4.800%, 10/01/2041 | 95 | 92 | ||||||
Motorola Solutions | ||||||||
3.500%, 03/01/2023 | 369 | 342 | ||||||
Total System Services | ||||||||
3.750%, 06/01/2023 | 272 | 253 | ||||||
2.375%, 06/01/2018 | 90 | 89 | ||||||
|
| |||||||
776 | ||||||||
|
| |||||||
Materials — 0.3% | ||||||||
Ball | ||||||||
5.000%, 03/15/2022 | 105 | 104 | ||||||
Barrick North America Finance LLC | ||||||||
4.400%, 05/30/2021 | 222 | 214 | ||||||
Dow Chemical | ||||||||
4.375%, 11/15/2042 | 39 | 34 | ||||||
4.250%, 11/15/2020 | 65 | 70 | ||||||
4.125%, 11/15/2021 | 85 | 87 | ||||||
3.000%, 11/15/2022 | 425 | 396 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 217 |
Table of Contents
CONSOLIDATED SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Real Return Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Eagle Spinco | ||||||||
4.625%, 02/15/2021 (A) | $ | 24 | $ | 23 | ||||
International Paper | ||||||||
7.950%, 06/15/2018 | 110 | 136 | ||||||
4.750%, 02/15/2022 | 415 | 439 | ||||||
Sealed Air | ||||||||
5.250%, 04/01/2023 (A) | 204 | 198 | ||||||
|
| |||||||
1,701 | ||||||||
|
| |||||||
Telecommunication | ||||||||
AT&T | ||||||||
5.350%, 09/01/2040 | 113 | 109 | ||||||
3.000%, 02/15/2022 | 485 | 453 | ||||||
MetroPCS Wireless | ||||||||
6.625%, 04/01/2023 (A) | 230 | 237 | ||||||
Reed Elsevier Capital | ||||||||
8.625%, 01/15/2019 | 455 | 576 | ||||||
Sprint | ||||||||
7.875%, 09/15/2023 (A) | 245 | 268 | ||||||
U.S. Cellular | ||||||||
6.700%, 12/15/2033 | 61 | 58 | ||||||
Verizon Communications | ||||||||
7.350%, 04/01/2039 | 125 | 154 | ||||||
5.500%, 02/15/2018 | 340 | 387 | ||||||
5.150%, 09/15/2023 | 649 | 693 | ||||||
|
| |||||||
2,935 | ||||||||
|
| |||||||
Utilities — 0.1% | ||||||||
CMS Energy | ||||||||
5.050%, 03/15/2022 | 52 | 57 | ||||||
Constellation Energy Group | ||||||||
5.150%, 12/01/2020 | 26 | 28 | ||||||
MidAmerican Energy Holdings | ||||||||
6.125%, 04/01/2036 | 275 | 311 | ||||||
ONEOK | ||||||||
4.250%, 02/01/2022 | 170 | 159 | ||||||
Pacific Gas & Electric | ||||||||
4.500%, 12/15/2041 | 65 | 60 | ||||||
|
| |||||||
615 | ||||||||
|
| |||||||
Total Corporate Obligations | 22,800 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 4.2% |
| |||||||
Agency Mortgage-Backed Obligations — 0.5% |
| |||||||
FHLMC Multifamily Structured Pass-Through Certificates, | ||||||||
1.875%, 04/25/2022 | 983 | 971 | ||||||
FNMA | ||||||||
3.500%, 12/01/2042 | 1,755 | 1,774 | ||||||
|
| |||||||
2,745 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Non-Agency Mortgage-Backed Obligations — 3.7% |
| |||||||
Banc of America Commercial Mortgage Trust, | ||||||||
5.415%, 09/10/2047 | $ | 760 | $ | 835 | ||||
Banc of America Commercial Mortgage Trust, | ||||||||
5.772%, 02/10/2051 (B) | 78 | 83 | ||||||
Bear Stearns Commercial Mortgage Securities Trust, | ||||||||
5.899%, 09/11/2038 (B) | 1,060 | 1,165 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2006-C4, Cl A1A | ||||||||
5.970%, 03/15/2049 (B) | 162 | 178 | ||||||
COMM Mortgage Trust, | ||||||||
1.873%, 04/12/2035 (A) | 1,576 | 1,531 | ||||||
Commercial Mortgage Pass-Through Certificates, | ||||||||
5.988%, 06/15/2038 (B) | 105 | 105 | ||||||
Commercial Mortgage Trust, | ||||||||
5.475%, 03/10/2039 | 246 | 262 | ||||||
Commercial Mortgage Trust, | ||||||||
5.444%, 03/10/2039 | 1,263 | 1,397 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||
2.818%, 02/25/2047 (B) | 212 | 170 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
5.988%, 06/15/2038 (B) | 1,265 | 1,382 | ||||||
CW Capital Cobalt, | ||||||||
5.963%, 05/15/2046 (B) | 179 | 200 | ||||||
Deutsche Alt-A Securities Mortgage Loan Trust, | ||||||||
0.360%, 12/25/2036 (B) | 352 | 202 | ||||||
Extended Stay America Trust, | ||||||||
0.869%, 12/05/2031 (A) (B) | 140 | 138 | ||||||
Extended Stay America Trust, | ||||||||
2.295%, 12/05/2031 (A) | 180 | 179 | ||||||
First Horizon Alternative Mortgage Securities Trust, | ||||||||
6.000%, 07/25/2036 | 177 | 151 | ||||||
GS Mortgage Securities, | ||||||||
2.060%, 04/10/2031 (A) | 250 | 250 | ||||||
GS Mortgage Securities II, | ||||||||
5.553%, 04/10/2038 (B) | 215 | 233 |
218 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
GS Mortgage Securities II, | ||||||||
1.019%, 11/08/2029 (A) (B) | $ | 280 | $ | 278 | ||||
GS Mortgage Securities, | ||||||||
2.706%, 12/10/2027 (A) | 283 | 282 | ||||||
GS Mortgage Securities Trust, | ||||||||
3.557%, 04/10/2031 | 1,485 | 1,398 | ||||||
HomeBanc Mortgage Trust, | ||||||||
0.420%, 03/25/2035 (B) | 190 | 158 | ||||||
IndyMac INDX Mortgage Loan Trust, Ser 2006-AR15, Cl A1 | ||||||||
0.286%, 07/25/2036 (B) | 204 | 152 | ||||||
IndyMac INDX Mortgage Loan Trust, Ser 2006-AR27, Cl 2A2 | ||||||||
0.366%, 10/25/2036 (B) | 217 | 184 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
5.431%, 06/12/2047 (B) | 1,207 | 1,334 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
5.895%, 02/12/2049 (B) | 100 | 108 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
5.746%, 02/12/2051 (B) | 810 | 916 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
6.192%, 02/15/2051 (B) | 75 | 84 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
5.439%, 01/15/2049 | 1,199 | 1,332 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
2.749%, 11/15/2043 (A) | 1,481 | 1,523 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||||
5.882%, 02/15/2051 (B) | 1,275 | 1,441 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | ||||||||
4.838%, 07/15/2041 (A) (B) | 808 | 822 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A4 | ||||||||
5.424%, 02/15/2040 | 305 | 338 | ||||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C2, Cl A3 | ||||||||
5.430%, 02/15/2040 | 257 | 285 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Merrill Lynch Mortgage Trust, | ||||||||
4.960%, 07/12/2038 | $ | 89 | $ | 90 | ||||
Merrill Lynch Mortgage Trust, | ||||||||
5.739%, 08/12/2043 (B) | 196 | 216 | ||||||
ML-CFC Commercial Mortgage Trust, | ||||||||
5.166%, 12/12/2049 | 741 | 813 | ||||||
ML-CFC Commercial Mortgage Trust, Ser 2007-9, Cl A4 | ||||||||
5.700%, 09/12/2049 | 300 | 336 | ||||||
Morgan Stanley Capital I Trust, | ||||||||
5.814%, 06/11/2042 (B) | 460 | 521 | ||||||
Structured Agency Credit Risk Debt Notes, | ||||||||
4.418%, 11/25/2023 (B) | 390 | 389 | ||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
3.091%, 08/10/2049 | 98 | 95 | ||||||
UBS-Barclays Commercial Mortgage Trust, | ||||||||
2.850%, 12/10/2045 | 194 | 183 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2006-C25, Cl A1A | ||||||||
5.904%, 05/15/2043 (B) | 518 | 570 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2013-C14, Cl A5 | ||||||||
3.337%, 06/15/2046 | 280 | 274 | ||||||
|
| |||||||
22,583 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities | 25,328 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 2.7% |
| |||||||
Automotive — 2.0% |
| |||||||
Ally Auto Receivables Trust, | ||||||||
0.720%, 05/20/2016 | 477 | 478 | ||||||
Ally Master Owner Trust, | ||||||||
1.810%, 05/15/2016 | 385 | 387 | ||||||
Ally Master Owner Trust, | ||||||||
1.000%, 02/15/2018 | 260 | 261 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.960%, 01/09/2017 | 210 | 210 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 219 |
Table of Contents
CONSOLIDATED SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Real Return Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-4, Cl A2 | ||||||||
0.490%, 04/08/2016 | $ | 143 | $ | 143 | ||||
AmeriCredit Automobile Receivables Trust, Ser 2013-1, Cl A2 | ||||||||
0.490%, 06/08/2016 | 169 | 169 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2013-3, Cl A3 | ||||||||
0.920%, 04/09/2018 | 540 | 540 | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||||
0.960%, 04/09/2018 | 335 | 336 | ||||||
Avis Budget Rental Car Funding LLC, | ||||||||
2.100%, 03/20/2019 (A) | 150 | 151 | ||||||
Avis Budget Rental Car Funding LLC, | ||||||||
2.970%, 02/20/2020 | 710 | 731 | ||||||
Avis Budget Rental Car Funding, | ||||||||
2.802%, 05/20/2018 (A) | 650 | 675 | ||||||
Bank of America Auto Trust, | ||||||||
1.030%, 12/15/2016 | 170 | 171 | ||||||
BMW Floorplan Master Owner Trust, | ||||||||
0.568%, 09/15/2017 (A) (B) | 425 | 425 | ||||||
Capital Auto Receivables Asset Trust, | ||||||||
0.620%, 07/20/2016 | 202 | 202 | ||||||
Capital Auto Receivables Asset Trust, | ||||||||
1.040%, 11/21/2016 | 685 | 688 | ||||||
CFC, Ser 2013-1A, Cl A | ||||||||
1.650%, 07/17/2017 (A) | 171 | 170 | ||||||
Exeter Automobile Receivables Trust, | ||||||||
1.300%, 06/15/2017 (A) | 96 | 97 | ||||||
Exeter Automobile Receivables Trust, | ||||||||
1.290%, 10/16/2017 (A) | 118 | 118 | ||||||
Fifth Third Auto Trust, Ser 2013-A, Cl A3 | ||||||||
0.610%, 09/15/2017 | 221 | 221 | ||||||
Flagship Credit Auto Trust, | ||||||||
1.320%, 04/16/2018 (A) | 100 | 100 |
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Ford Auto Securitization Trust, | ||||||||
1.676%, 09/15/2016 (A) | $ | 207 | $ | 196 | ||||
Ford Auto Securitization Trust, | ||||||||
1.487%, 08/15/2015 | 396 | 374 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
1.010%, 05/15/2018 | 100 | 99 | ||||||
Ford Credit Floorplan Master Owner Trust, | ||||||||
1.868%, 02/15/2017 (A) (B) | 450 | 457 | ||||||
Ford Credit Floorplan Master Owner Trust, | ||||||||
0.740%, 09/15/2016 | 480 | 481 | ||||||
Ford Credit Floorplan Master Owner Trust, | ||||||||
0.554%, 01/15/2018 (B) | 257 | 257 | ||||||
GE Dealer Floorplan Master Note Trust, | ||||||||
0.658%, 06/20/2017 (B) | 255 | 256 | ||||||
Hertz Fleet Lease Funding, | ||||||||
0.716%, 12/10/2027 (A) (B) | 676 | 676 | ||||||
Hertz Vehicle Financing, | ||||||||
1.120%, 08/25/2017 (A) | 715 | 716 | ||||||
Huntington Auto Trust, | ||||||||
1.010%, 01/15/2016 (A) | 64 | 64 | ||||||
Hyundai Auto Lease Securitization Trust, Ser 2013-A, Cl A3 | ||||||||
0.660%, 06/15/2016 (A) | 273 | 273 | ||||||
Mercedes-Benz Auto Lease Trust, | ||||||||
0.590%, 02/15/2016 | 200 | 200 | ||||||
Mercedes-Benz Master Owner Trust, Ser 2012-A, Cl A | ||||||||
0.790%, 11/15/2017 (A) | 342 | 343 | ||||||
Navistar Financial Owner Trust, | ||||||||
0.850%, 03/18/2015 (A) | 48 | 48 | ||||||
Nissan Auto Lease Trust, | ||||||||
0.680%, 07/15/2014 | 2 | 2 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-6, Cl A2 | ||||||||
0.470%, 09/15/2015 | 87 | 87 | ||||||
Santander Drive Auto Receivables Trust, Ser 2013-3, Cl C | ||||||||
1.810%, 04/15/2019 | 313 | 311 | ||||||
Santander Drive Auto Receivables Trust, Ser 2013-4, Cl A3 | ||||||||
1.110%, 01/15/2016 | 510 | 512 |
220 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Santander Drive Auto Receivables Trust, Ser 2013-5, Cl A2A | ||||||||
0.640%, 04/17/2017 | $ | 445 | $ | 445 | ||||
SMART Trust, Ser 2012-4US, | ||||||||
0.670%, 06/14/2015 | 93 | 93 | ||||||
|
| |||||||
12,163 | ||||||||
|
| |||||||
Credit Cards — 0.4% |
| |||||||
American Express Credit Account Master Trust, Ser 2012-5, Cl A | ||||||||
0.590%, 05/15/2018 | 270 | 270 | ||||||
Cabela’s Master Credit Card Trust, | ||||||||
2.710%, 02/17/2026 (A) | 265 | 249 | ||||||
Chase Issuance Trust, | ||||||||
1.300%, 02/18/2020 | 305 | 303 | ||||||
Dryrock Issuance Trust, | ||||||||
0.640%, 08/15/2018 | 275 | 275 | ||||||
First National Master Note Trust, | ||||||||
0.700%, 10/15/2019 (B) | 561 | 561 | ||||||
Penarth Master Issuer, | ||||||||
0.738%, 03/18/2014 (A) (B) | 174 | 174 | ||||||
World Financial Network Credit Card Master Trust, Ser 2013-A, Cl A | ||||||||
1.610%, 12/15/2021 | 161 | 160 | ||||||
|
| |||||||
1,992 | ||||||||
|
| |||||||
Mortgage Related Securities — 0.0% |
| |||||||
GSAA Trust, Ser 2006-5, Cl 2A3 | ||||||||
0.436%, 03/25/2036 (B) | 255 | 172 | ||||||
|
| |||||||
Other Asset-Backed Securities — 0.3% |
| |||||||
CGRBS, Ser 2013-VN05, Cl A | ||||||||
3.187%, 03/13/2035 | 285 | 274 | ||||||
CIT Equipment Collateral, | ||||||||
1.100%, 08/22/2016 (A) | 135 | 135 | ||||||
CNH Equipment Trust, | ||||||||
0.940%, 05/15/2017 | 108 | 108 | ||||||
CNH Equipment Trust, | ||||||||
0.630%, 01/17/2017 | 454 | 454 | ||||||
CNH Equipment Trust, | ||||||||
0.490%, 03/15/2017 | 720 | 720 | ||||||
|
| |||||||
1,691 | ||||||||
|
| |||||||
Total Asset-Backed Securities |
| 16,018 | ||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
FOREIGN BONDS — 1.9% |
| |||||||
Asciano Finance | ||||||||
5.000%, 04/07/2018 (A) | $ | 130 | $ | 140 | ||||
Baidu | ||||||||
3.250%, 08/06/2018 | 585 | 598 | ||||||
Barclays Bank | ||||||||
7.625%, 11/21/2022 | 250 | 263 | ||||||
6.625%, 03/30/2022 | 300 | 483 | ||||||
Basell Finance | ||||||||
8.100%, 03/15/2027 (A) | 70 | 90 | ||||||
BBVA US Senior SAU | ||||||||
3.250%, 05/16/2014 | 135 | 136 | ||||||
BNP Paribas | ||||||||
5.186%, 06/29/2049 (A) (B) | 165 | 169 | ||||||
BPCE | ||||||||
5.700%, 10/22/2023 (A) | 438 | 444 | ||||||
Cemex | ||||||||
7.250%, 01/15/2021 (A) | 250 | 254 | ||||||
Cia Minera Milpo SAA | ||||||||
4.625%, 03/28/2023 (A) | 280 | 255 | ||||||
CNOOC Finance | ||||||||
3.000%, 05/09/2023 | 320 | 292 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
3.950%, 11/09/2022 | 250 | 242 | ||||||
Credit Suisse | ||||||||
6.500%, 08/08/2023 (A) | 457 | 482 | ||||||
Danske Bank MTN | ||||||||
5.684%, 12/31/2049 (B) | 182 | 302 | ||||||
Delhaize Group | ||||||||
6.500%, 06/15/2017 | 115 | 130 | ||||||
Deutsche Telekom International Finance | ||||||||
8.750%, 06/15/2030 | 100 | 141 | ||||||
4.875%, 03/06/2042 (A) | 355 | 339 | ||||||
Embraer | ||||||||
5.150%, 06/15/2022 | 48 | 48 | ||||||
Gazprom OAO Via Gaz Capital MTN | ||||||||
6.212%, 11/22/2016 | 130 | 144 | ||||||
Gerdau Trade | ||||||||
5.750%, 01/30/2021 (A) | 105 | 107 | ||||||
4.750%, 04/15/2023 (A) | 200 | 185 | ||||||
Globo Comunicacao e Participacoes | ||||||||
5.307%, 05/11/2017 (A) (C) | 200 | 206 | ||||||
ING Bank | ||||||||
2.000%, 09/25/2015 (A) | 220 | 223 | ||||||
KazMunayGas National | ||||||||
7.000%, 05/05/2020 (A) | 120 | 135 | ||||||
Korea National Oil | ||||||||
3.125%, 04/03/2017 (A) | 200 | 207 | ||||||
LBG Capital No 1 | ||||||||
7.875%, 11/01/2020 (A) | 350 | 375 | ||||||
LBG Capital No.2 | ||||||||
15.000%, 12/21/2019 | 140 | 281 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 221 |
Table of Contents
CONSOLIDATED SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Real Return Fund (Continued)
November 30, 2013
Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
Marfrig Overseas | ||||||||
9.500%, 05/04/2020 (A) | $ | 160 | $ | 151 | ||||
MCE Finance | ||||||||
5.000%, 02/15/2021 (A) | 250 | 242 | ||||||
MTS International Funding | ||||||||
5.000%, 05/30/2023 (A) | 200 | 186 | ||||||
Nomura Holdings MTN | ||||||||
2.000%, 09/13/2016 | 248 | 251 | ||||||
Odebrecht Finance | ||||||||
5.125%, 06/26/2022 (A) | 240 | 235 | ||||||
Petroleos Mexicanos | ||||||||
3.500%, 07/18/2018 (A) | 248 | 253 | ||||||
Petronas Capital | ||||||||
5.250%, 08/12/2019 | 125 | 140 | ||||||
Rio Tinto Finance USA | ||||||||
3.500%, 03/22/2022 | 71 | 69 | ||||||
Rogers Communications | ||||||||
4.000%, 06/06/2022 | 20 | 19 | ||||||
Royal Bank of Scotland MTN | ||||||||
9.500%, 03/16/2022 (B) | 40 | 47 | ||||||
Sinopec Group Overseas Development 2013 | ||||||||
4.375%, 10/17/2023 (A) | 700 | 697 | ||||||
Skandinaviska Enskilda Banken | ||||||||
5.471%, 03/29/2049 (A) (B) | 240 | 246 | ||||||
Sociedad Quimica y Minera de Chile | ||||||||
3.625%, 04/03/2023 (A) | 280 | 247 | ||||||
Societe Generale | ||||||||
5.922%, 04/05/2017 (A) (B) | 100 | 104 | ||||||
4.196%, 01/26/2015 (B) | 130 | 177 | ||||||
Standard Chartered MTN | ||||||||
4.000%, 07/12/2022 (B) | 465 | 475 | ||||||
Talent Yield Investments | ||||||||
4.500%, 04/25/2022 (A) | 200 | 200 | ||||||
Telecom Italia Capital | ||||||||
7.175%, 06/18/2019 | 60 | 67 | ||||||
Telefonaktiebolaget LM Ericsson | ||||||||
4.125%, 05/15/2022 | 355 | 350 | ||||||
Telefonica Emisiones SAU | ||||||||
5.462%, 02/16/2021 | 70 | 74 | ||||||
Valero Energy | ||||||||
4.500%, 04/15/2022 | 165 | 167 | ||||||
Weatherford International | ||||||||
5.125%, 09/15/2020 | 155 | 166 | ||||||
|
| |||||||
Total Foreign Bonds |
| 11,234 | ||||||
|
| |||||||
PREFERRED STOCK — 0.7% |
| |||||||
Financials — 0.1% |
| |||||||
Allstate, 5.000% (B) | 1,975 | 48 | ||||||
Morgan Stanley, 7.125% (B) | 20,000 | 530 | ||||||
|
| |||||||
578 | ||||||||
|
| |||||||
Materials — 0.6% | ||||||||
Vale ADR, Cl B | 248,560 | 3,487 | ||||||
|
| |||||||
Total Preferred Stock |
| 4,065 | ||||||
|
|
Description | Face Amount (1) ($ Thousands)/Shares | Market Value ($ Thousands) | ||||||
MUNICIPAL BONDS — 0.4% |
| |||||||
City Public Service Board of San Antonio, RB | ||||||||
5.000%, 02/01/2043 | $ | 460 | $ | 478 | ||||
Contra Costa, Community College, GO | ||||||||
5.000%, 08/01/2038 | 460 | 481 | ||||||
County of Broward, Airport | ||||||||
5.000%, 10/01/2042 | 460 | 460 | ||||||
Metropolitan Transportation Authority, Ser A, RB | ||||||||
5.000%, 11/15/2038 | 490 | 496 | ||||||
University of Massachusetts | ||||||||
5.000%, 11/01/2039 | 460 | 481 | ||||||
|
| |||||||
Total Municipal Bonds |
| 2,396 | ||||||
|
| |||||||
EXCHANGE TRADED FUND — 0.3% |
| |||||||
United States — 0.3% |
| |||||||
iShares US Real Estate ETF | 27,830 | 1,756 | ||||||
|
| |||||||
Total Exchange Traded Fund |
| 1,756 | ||||||
|
| |||||||
Number of | ||||||||
WARRANTS — 0.1% |
| |||||||
Oil and Natural Gas | ||||||||
Expired 01/17/2017 | 195 | 912 | ||||||
|
| |||||||
SOVEREIGN DEBT — 0.1% | ||||||||
Bundesschatzanweisungen | ||||||||
0.250%, 08/21/2022 | 278 | 259 | ||||||
Qatar Government International Bond | ||||||||
4.500%, 01/20/2022 (A) | 200 | 213 | ||||||
|
| |||||||
Total Sovereign Debt |
| 472 | ||||||
|
|
222 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Description | Face Amount ($ Thousands)(1)/ | Market Value ($ Thousands) | ||||||||||
TIME DEPOSITS — 4.0% | ||||||||||||
Brown Brothers Harriman | ||||||||||||
4.150%, 12/01/2013 | ZAR | 11 | $ | 11 | ||||||||
1.634%, 12/01/2013 | AUD | 33 | 33 | |||||||||
0.600%, 12/01/2013 | NOK | 8 | 8 | |||||||||
0.305%, 12/01/2013 | CAD | 48 | 48 | |||||||||
0.244%, 12/01/2013 | SEK | 17 | 17 | |||||||||
0.060%, 12/01/2013 | GBP | 39 | 39 | |||||||||
0.041%, 12/01/2013 | EUR | 25 | 25 | |||||||||
0.030%, 12/01/2013 | 23,908 | 23,908 | ||||||||||
0.005%, 12/01/2013 | JPY | 27 | 27 | |||||||||
0.005%, 12/01/2013 | SGD | 6 | 6 | |||||||||
0.005%, 12/01/2013 | HKD | 31 | 32 | |||||||||
|
| |||||||||||
Total Time Deposits | 24,154 | |||||||||||
|
| |||||||||||
Total Investments — 105.8% | $ | 637,585 | ||||||||||
|
| |||||||||||
PURCHASED OPTIONS — 0.1% |
| |||||||||||
United States — 0.1% |
| |||||||||||
Crude Oil Futures, Call Option, Expires 12/23/2013, Strike Price $111* | 41 | $ | — | |||||||||
Ishares DJ US Real Estate, Put Option, Expires 01/17/2015, Strike Price $59* | 749 | 322 | ||||||||||
|
| |||||||||||
Total Purchased Options |
| $ | 322 | |||||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2013, are as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($Thousands) | |||||||||
Brent Crude Penultimate | (35 | ) | Mar-2014 | $ | (72 | ) | ||||||
Corn | (162 | ) | Dec-2014 | 181 | ||||||||
Corn | 461 | Mar-2014 | (452 | ) | ||||||||
Corn | 23 | May-2014 | (5 | ) | ||||||||
Cotton No. 3 | 115 | Mar-2014 | (73 | ) | ||||||||
Crude Oil | 114 | Feb-2014 | (135 | ) | ||||||||
Crude Oil | 116 | Jan-2014 | (334 | ) | ||||||||
Crude Oil | (58 | ) | Jun-2014 | 45 | ||||||||
Feeder Cattle | 24 | Apr-2014 | – | |||||||||
Feeder Cattle | (35 | ) | Jan-2014 | (20 | ) | |||||||
Gasoil Euro | 23 | Mar-2014 | 68 | |||||||||
Gasoline | (12 | ) | Jan-2014 | 31 | ||||||||
Heating Oil | 24 | Jan-2014 | 55 | |||||||||
Heating Oil | 34 | Mar-2014 | 137 | |||||||||
Lead Future | 115 | Jan-2014 | (315 | ) | ||||||||
Lean Hogs | 71 | Apr-2014 | 30 | |||||||||
Lean Hogs | (44 | ) | Feb-2014 | (1 | ) | |||||||
Lean Hogs | 45 | Jun-2014 | 9 | |||||||||
Live Cattle | 114 | Mar-2014 | 12 | |||||||||
LME Aluminum | 162 | Jan-2014 | (476 | ) | ||||||||
LME Aluminum | (104 | ) | Nov-2014 | 257 | ||||||||
LME Nickle | 47 | Jan-2014 | (165 | ) | ||||||||
LME Nickle | 12 | Mar-2014 | (12 | ) | ||||||||
LME Zinc | 219 | Jan-2014 | (290 | ) | ||||||||
LME Zinc | (69 | ) | Nov-2014 | 92 | ||||||||
Long Gilt 10-Year Bond | 18 | Mar-2014 | 8 | |||||||||
Natural Gas | 104 | Jan-2014 | 234 | |||||||||
Natural Gas | 139 | Mar-2014 | 27 |
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($Thousands) | |||||||||
Natural Gas | 81 | Oct-2014 | 5 | |||||||||
NYMEX Coffee | 16 | Jan-2014 | 23 | |||||||||
NYMEX Coffee | 66 | Mar-2014 | 42 | |||||||||
Palladium | 69 | Mar-2014 | (275 | ) | ||||||||
Platinum | 30 | Apr-2014 | (56 | ) | ||||||||
Platinum | 74 | Jan-2014 | (171 | ) | ||||||||
Silver | 23 | Mar-2014 | (125 | ) | ||||||||
Soybean | 34 | Jan-2014 | 115 | |||||||||
Soybean | (12 | ) | Jul-2014 | (23 | ) | |||||||
Soybean | 1 | Nov-2014 | (1 | ) | ||||||||
Soybean Meal | 82 | Jan-2014 | 263 | |||||||||
Soybean Oil | 92 | Jan-2014 | (68 | ) | ||||||||
Sugar | 116 | Feb-2014 | (225 | ) | ||||||||
U.S. 10-Year Treasury Note | (230 | ) | Mar-2014 | (17 | ) | |||||||
U.S. 2-Year Treasury Note | (4 | ) | Apr-2014 | – | ||||||||
U.S. 5-Year Treasury Note | (107 | ) | Apr-2014 | (5 | ) | |||||||
U.S. Long Treasury Bond | (27 | ) | Mar-2014 | (8 | ) | |||||||
Wheat | 70 | Mar-2014 | (132 | ) | ||||||||
Wheat | 93 | Mar-2014 | (86 | ) | ||||||||
|
| |||||||||||
$ | (1,908 | ) | ||||||||||
|
|
For the period ended November 30, 2013, 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, 2013, is as follows:
Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||||||
12/3/13-1/3/14 | BRL | 36,674 | USD | 16,254 | $ | 603 | ||||||||||||||
12/5/13 | USD | 33 | CAD | 35 | (1 | ) | ||||||||||||||
12/5/13-12/17/13 | CAD | 12,749 | USD | 12,209 | 170 | |||||||||||||||
12/17/13 | AUD | 3,926 | USD | 3,709 | 126 | |||||||||||||||
12/17/13 | CNY | 15,497 | USD | 2,521 | (21 | ) | ||||||||||||||
12/17/13 | JPY | 1,228,580 | USD | 12,389 | 383 | |||||||||||||||
12/17/13 | NOK | 13,768 | USD | 2,292 | 42 | |||||||||||||||
12/17/13 | RUB | 146,496 | USD | 4,489 | 76 | |||||||||||||||
12/17/13 | SEK | 5,631 | USD | 860 | (2 | ) | ||||||||||||||
12/17/13 | SGD | 248 | USD | 199 | 1 | |||||||||||||||
12/17/13 | THB | 35,784 | USD | 1,142 | 28 | |||||||||||||||
12/17/13 | TRY | 1,074 | USD | 533 | 3 | |||||||||||||||
12/17/13 | USD | 13,689 | CNY | 84,148 | 114 | |||||||||||||||
12/17/13 | USD | 1,131 | THB | 35,784 | (17 | ) | ||||||||||||||
12/17/13-12/19/13 | EUR | 14,276 | USD | 19,153 | (282 | ) | ||||||||||||||
12/17/13-12/19/13 | GBP | 12,549 | USD | 20,135 | (416 | ) | ||||||||||||||
12/19/13 | USD | 53 | EUR | 40 | 1 | |||||||||||||||
|
| |||||||||||||||||||
$ | 808 | |||||||||||||||||||
|
|
A summary of the counterparties for the outstanding forward foreign currency contracts held by the Fund at November 30, 2013, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized (Depreciation) ($ Thousands) | |||||||||
Barclays PLC | $ | (1,271 | ) | $ | 1,246 | $ | (25 | ) | ||||
Brown Brothers Harriman | (21,164 | ) | 20,960 | (204 | ) | |||||||
Goldman Sachs | (26,041 | ) | 25,747 | (294 | ) | |||||||
JPMorgan Securities | (554 | ) | 561 | 6 | ||||||||
National Bank of Canada | (9,969 | ) | 10,113 | 144 | ||||||||
Royal Bank of Scotland | (982 | ) | 982 | — | ||||||||
Standard Chartered | (7,798 | ) | 7,909 | 111 | ||||||||
Standard New York, Inc. | (23,792 | ) | 24,349 | 557 | ||||||||
UBS | (18,509 | ) | 19,022 | 513 | ||||||||
|
| |||||||||||
$ | 808 | |||||||||||
|
|
For the period ended November 30, 2013, 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, 2013 | 223 |
Table of Contents
CONSOLIDATED SUMMARY SCHEDULE OF INVESTMENTS (Unaudited)
Multi-Asset Real Return Fund (Continued)
November 30, 2013
A list of the open OTC swap agreements held by the Fund at November 30, 2013, is as follows:
Credit Default Swaps | ||||||||||||||||||||
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount (Thousands) | Net Unrealized Appreciation ($ Thousands) | ||||||||||||||
Bank of America | CDX.NA.IG 19-V1 Index | SELL | 1.00 | 12/20/17 | (690 | ) | $ | 13 | ||||||||||||
Bank of America | Societe Generale | SELL | 3.00 | 12/20/17 | (200 | ) | 16 | |||||||||||||
Citibank | CDX.NA.IG 20-V1 Index | SELL | 1.00 | 06/20/18 | (6,500 | ) | 66 | |||||||||||||
Deutsche Bank | Anadarko Petroleum Corporation | SELL | 1.00 | 09/20/17 | (170 | ) | 8 | |||||||||||||
Morgan Stanley | CDX.NA.IG 20-V1 Index | SELL | 1.00 | 12/20/18 | (3,000 | ) | 21 | |||||||||||||
|
| |||||||||||||||||||
$ | 124 | |||||||||||||||||||
|
|
Interest Rate Swaps | ||||||||||||||
Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
Barclays Bank PLC | 1.10% | 3 Month USD LIBOR | 02/21/17 | 500,000 | $ | (8 | ) | |||||||
Credit Suisse | 3 Month USD LIBOR | 2.09% | 03/12/22 | 250,000 | (7 | ) | ||||||||
Morgan Stanley | 2.80% | 3 Month USD LIBOR | 03/06/42 | 330,000 | 55 | |||||||||
Morgan Stanley | 2.81% | 3 Month USD LIBOR | 02/21/42 | 450,000 | 74 | |||||||||
Morgan Stanley | 0.56% | 3 Month USD LIBOR | 03/12/14 | 3,880,000 | (6 | ) | ||||||||
|
| |||||||||||||
$ | 108 | |||||||||||||
|
|
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 30 Bps | 09/15/14 | 2,178 | $ | (10 | ) | ||||||||||
Deutsche Bank | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 32 Bps | 05/15/14 | 997 | (3 | ) | |||||||||||
Deutsche Bank | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 46 Bps | 06/16/14 | 11,135 | (55 | ) | |||||||||||
Deutsche Bank | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 30 Bps | 09/15/14 | 1,866 | (10 | ) | |||||||||||
Goldman Sachs | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 34 Bps | 07/15/14 | 4,231 | (20 | ) | |||||||||||
Goldman Sachs | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 37 Bps | 08/15/14 | 7,393 | (36 | ) | |||||||||||
Goldman Sachs | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 37 Bps | 08/15/14 | 7,519 | (37 | ) | |||||||||||
Goldman Sachs | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 36 Bps | 09/15/14 | 1,866 | (10 | ) | |||||||||||
Goldman Sachs | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 34 Bps | 10/15/14 | 8,973 | (44 | ) | |||||||||||
JPMorgan Chase Bank | DJ-UBS Commodity Index 2- Month Forward | 0.14% | Index Return | 12/16/13 | (1,038 | ) | 8 | |||||||||||
JPMorgan Chase Bank | DJ-UBS Commodity Index 2- Month Forward | 0.14% | Index Return | 12/16/13 | (12,936 | ) | 106 | |||||||||||
JPMorgan Chase Bank | DJ-UBS Commodity Index 2- Month Forward | 0.14% | Index Return | 12/16/13 | (535 | ) | 5 | |||||||||||
UBS Warburg | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 45 Bps | 03/17/14 | 35,125 | (171 | ) | |||||||||||
UBS Warburg | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 30 Bps | 04/15/14 | 759 | (4 | ) | |||||||||||
UBS Warburg | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 30 Bps | 04/15/14 | 2,349 | (12 | ) | |||||||||||
UBS Warburg | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 42 Bps | 06/16/14 | 788 | (4 | ) | |||||||||||
UBS Warburg | S&P 500 Total Return Index | Index Return | 1-Month USD LIBOR Plus 34 Bps | 07/15/14 | 2,410 | (12 | ) | |||||||||||
|
| |||||||||||||||||
$ | (309 | ) | ||||||||||||||||
|
|
A list of the open centrally cleared swap agreements held by the Fund at November 30, 2013, is as follows:
Credit Default Swaps | ||||||||||||||||||||
Broker | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount (Thousands) | Net Unrealized ($Thousands) | ||||||||||||||
Morgan Stanley | CDX.NA.HY, SERIES 21, VERSION 1 | BUY | 5.00 | 12/20/18 | 4,200 | (128 | ) | |||||||||||||
|
|
Interest Rate Swaps | ||||||||||||||||
Broker | Fund Pays | Fund Receives | Termination Date | Currency | Notional Amount | Net Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||||||
Morgan Stanley | 2.76% | 3-Month USD LIBOR | 11/12/23 | USD | 2,790,000 | $ | 13 | |||||||||
Morgan Stanley | 1.98% | 6-Month EURIBOR | 11/11/23 | EUR | 2,360,000 | (7 | ) | |||||||||
Morgan Stanley | 3-Month AFAM BBSW | FIXED @ 3.21 | 11/08/16 | AUD | 9,390,000 | 8 | ||||||||||
|
| |||||||||||||||
$ | 14 | |||||||||||||||
|
|
224 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
For the period ended November 30, 2013, 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 $602,605 ($ Thousands).
* | Non-income producing security. |
‡ | Real Estate Investment Trust. |
(1) | In U.S. dollars unless otherwise indicated. |
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(B) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of November 30, 2013. 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, 2013. The coupon on a step bond changes on a specified date. |
(D) | The rate reported is the effective yield at time of purchase. |
ADR — American Depositary Receipt
AFAM — Australian Financial Markets Association
AUD — Australian Dollar
BBSN — Bank Bill Swap Reference Rate
BRL — Brazilian Real
CAD — Canadian Dollar
Cl — Class
CNY — Chinese Yuan
EUR — Euro
EURIBOR — Euro Interbank Offered Rate
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
GBP — British Pound
GDR — Global Depositary Receipt
GO — General Obligation
HKD — Hong Kong Dollar
JPY — Japanese Yen
LIBOR — London Interbank Offered Rate
LLC — Limited Liability Company
MTN — Medium Term Note
NOK — Norwegian Krone
PLC — Public Limited Company
RB — Revenue Bond
RUB — Russian Ruble
SEK — Sweden Krone
SGD — Singapore Dollar
S&P — Standard & Poor’s
Ser — Series
THB — Thai Baht
TRY — Turkish Lira
USD — U.S. Dollar
ZAR — South African Rand
The following is a list of the level of inputs used as of November 30, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Treasury Obligations | $ | — | $ | 370,759 | $ | — | $ | 370,759 | ||||||||
Common Stock | 85,935 | 566 | — | 86,501 | ||||||||||||
Foreign Common Stock | 71,190 | — | — | 71,190 | ||||||||||||
Corporate Obligations | — | 22,800 | — | 22,800 | ||||||||||||
Mortgage-Backed Securities | — | 25,328 | — | 25,328 | ||||||||||||
Asset-Backed Securities | — | 16,018 | — | 16,018 | ||||||||||||
Foreign Bonds | — | 11,234 | — | 11,234 | ||||||||||||
Preferred Stock | 3,487 | 578 | — | 4,065 | ||||||||||||
Municipal Bonds | — | 2,396 | — | 2,396 | ||||||||||||
Exchange Traded Fund | 1,756 | — | — | 1,756 | ||||||||||||
Warrants | — | 912 | — | 912 | ||||||||||||
Sovereign Debt | — | 472 | — | 472 | ||||||||||||
Time Deposits | — | 24,154 | — | 24,154 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 162,368 | $ | 475,217 | $ | — | $ | 637,585 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Purchased Options | $ | 322 | $ | — | $ | — | $ | 322 | ||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | 1,634 | — | — | 1,634 | ||||||||||||
Unrealized Depreciation | (3,542 | ) | — | — | (3,542 | ) | ||||||||||
Forwards Contracts * | ||||||||||||||||
Unrealized Appreciation | — | 1,547 | — | 1,547 | ||||||||||||
Unrealized Depreciation | — | (739 | ) | — | (739 | ) | ||||||||||
OTC Swaps | ||||||||||||||||
Credit Default Swaps * | ||||||||||||||||
Unrealized Appreciation | — | 124 | — | 124 | ||||||||||||
Interest Rate Swaps * | ||||||||||||||||
Unrealized Appreciation | — | 129 | — | 129 | ||||||||||||
Unrealized Depreciation | — | (21 | ) | — | (21 | ) | ||||||||||
Total Return Swaps * | ||||||||||||||||
Unrealized Appreciation | — | 119 | — | 119 | ||||||||||||
Unrealized Depreciation | — | (428 | ) | — | (428 | ) | ||||||||||
Centrally Cleared Swaps | ||||||||||||||||
Credit Default Swaps * | ||||||||||||||||
Unrealized Depreciation | — | (128 | ) | — | (128 | ) | ||||||||||
Interest Rate Swaps * | ||||||||||||||||
Unrealized Appreciation | — | 21 | — | 21 | ||||||||||||
Unrealized Depreciation | — | (7 | ) | — | (7 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (1,586) | $ | 617 | $ | — | $ | (969) | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts, forwards and swaps are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended November 30, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2013, 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 $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 225 |
Table of Contents
Statements of Assets and Liabilities ($ Thousands) (Unaudited)
November 30, 2013
Large Cap Fund | Large Cap Diversified | Large Cap Disciplined Equity Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value† | $ | 2,080,375 | * | $ | 313,253 | $ | 4,741,999 | * | ||||
Affiliated investments, at value†† | 120,795 | 8,633 | 302,756 | |||||||||
Cash | 134 | 22 | — | |||||||||
Foreign currency, at value††† | — | — | — | |||||||||
Receivable for fund shares sold | 1,707 | 1 | 42 | |||||||||
Receivable for investment securities sold | 17,270 | — | 158,180 | |||||||||
Dividends and interest receivable | 3,483 | 528 | 9,961 | |||||||||
Receivable for variation margin | 3 | 1 | — | |||||||||
Foreign tax reclaim receivable | 33 | 4 | 96 | |||||||||
Unrealized gain on forward foreign currency contracts | — | — | — | |||||||||
Prepaid expenses | 16 | 3 | 43 | |||||||||
Total Assets | 2,223,816 | 322,445 | 5,213,077 | |||||||||
LIABILITIES: | ||||||||||||
Payable upon return on securities loaned | 78,698 | — | 220,603 | |||||||||
Payable to custodian | — | — | 66,808 | |||||||||
Payable for investment securities purchased | 1,340 | — | 12,878 | |||||||||
Payable for fund shares redeemed | 5,437 | 45 | 8,467 | |||||||||
Payable for variation margin | 16 | 2 | 9 | |||||||||
Payable to affiliate | — | — | 54,410 | |||||||||
Overdraft of foreign currency, at value††† | — | — | 301 | |||||||||
Investment advisory fees payable | 316 | 60 | 911 | |||||||||
Chief Compliance Officer fees payable | 6 | 1 | 16 | |||||||||
Trustees fees payable | 5 | 1 | 15 | |||||||||
Accrued expense payable | 37 | 6 | 142 | |||||||||
Total Liabilities | 85,855 | 115 | 364,560 | |||||||||
Net Assets | $ | 2,137,961 | $ | 322,330 | $ | 4,848,517 | ||||||
†Cost of investments | 1,460,715 | 257,035 | 4,069,043 | |||||||||
††Cost of affiliated investments | 120,795 | 8,633 | 302,756 | |||||||||
†††Cost of foreign currency | — | — | (301 | ) | ||||||||
* Includes market value of securities on loan | 77,131 | — | 215,028 | |||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital — (unlimited authorization — no par value) | $ | 1,316,478 | $ | 316,421 | $ | 3,798,597 | ||||||
Undistributed net investment income | 4,937 | 627 | 33,013 | |||||||||
Accumulated net realized gain (loss) on investments, futures contracts and foreign currency | 196,782 | (51,156 | ) | 342,676 | ||||||||
Net unrealized appreciation on investments | 619,660 | 56,218 | 672,956 | |||||||||
Net unrealized appreciation on futures contracts | 104 | 220 | 1,272 | |||||||||
Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies | — | — | 3 | |||||||||
Net Assets | $ | 2,137,961 | $ | 322,330 | $ | 4,848,517 | ||||||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $23.71 | $13.17 | $14.74 | |||||||||
| ($2,137,961,040 ÷ 90,160,149 shares | ) | | ($322,329,922 ÷ 24,478,374 shares | ) | | ($4,848,516,576 ÷ 328,923,771 shares | ) |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
226 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Large Cap Index Fund | Extended Market Index Fund | Small Cap Fund | Small Cap II Fund | Small/ Mid Cap Equity Fund | U.S. Managed Volatility Fund | |||||||||||||||||
$2,051,919 | * | $338,354 | * | $747,892 | * | $213,815 | * | $1,904,885 | * | $1,144,318 | ||||||||||||
141,268 | 38,424 | 153,856 | 31,828 | 413,093 | 30,607 | |||||||||||||||||
4 | 3 | — | — | — | 127 | |||||||||||||||||
— | — | — | — | — | 968 | |||||||||||||||||
190 | 4,333 | 4 | 2,172 | 17 | 926 | |||||||||||||||||
22,194 | 41 | 22,779 | 1,229 | 48,226 | — | |||||||||||||||||
4,106 | 282 | 430 | 106 | 1,361 | 2,593 | |||||||||||||||||
— | 3 | 18 | 1 | 18 | — | |||||||||||||||||
— | — | 4 | — | — | — | |||||||||||||||||
— | — | — | — | 1 | — | |||||||||||||||||
14 | 2 | 6 | 2 | 19 | 9 | |||||||||||||||||
2,219,695 | 381,442 | 924,989 | 249,153 | 2,367,620 | 1,179,548 | |||||||||||||||||
131,166 | 31,445 | 138,611 | 29,053 | 388,102 | — | |||||||||||||||||
— | — | 1,640 | 1,173 | 1,745 | — | |||||||||||||||||
— | 4,409 | 4,699 | 787 | 7,834 | — | |||||||||||||||||
11,035 | 26 | 2,014 | — | 3,974 | 213 | |||||||||||||||||
32 | 16 | — | — | 56 | 2 | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
17 | 16 | 290 | 82 | 727 | 214 | |||||||||||||||||
6 | — | 3 | 1 | — | 3 | |||||||||||||||||
5 | — | 2 | 1 | — | 3 | |||||||||||||||||
37 | 13 | 22 | 3 | 61 | 22 | |||||||||||||||||
142,298 | 35,925 | 147,281 | 31,100 | 402,499 | 457 | |||||||||||||||||
$2,077,397 | $345,517 | $777,708 | $218,053 | $1,965,121 | $1,179,091 | |||||||||||||||||
1,324,348 | 298,641 | 601,982 | 162,133 | 1,390,668 | 922,024 | |||||||||||||||||
141,039 | 38,424 | 153,856 | 31,828 | 413,093 | 30,607 | |||||||||||||||||
— | — | — | — | — | 974 | |||||||||||||||||
127,814 | 30,554 | 135,087 | 28,334 | 378,288 | — | |||||||||||||||||
$1,328,878 | $302,973 | $693,104 | $140,022 | $1,116,703 | $853,355 | |||||||||||||||||
6,676 | 509 | 1,571 | 132 | 6,875 | 3,442 | |||||||||||||||||
12,063 | 1,859 | (63,029 | ) | 26,216 | 325,879 | 98,328 | ||||||||||||||||
727,800 | 39,713 | 145,910 | 51,682 | 514,217 | 222,294 | |||||||||||||||||
1,980 | 463 | 152 | 1 | 1,448 | 1,678 | |||||||||||||||||
— | — | — | — | (1 | ) | (6 | ) | |||||||||||||||
$2,077,397 | $345,517 | $777,708 | $218,053 | $1,965,121 | $1,179,091 | |||||||||||||||||
$156.49 | $12.34 | $18.06 | $14.34 | $18.16 | $14.94 | |||||||||||||||||
| ($2,077,397,198 ÷ 13,274,894 shares | ) | | ($345,517,397 ÷ 28,010,842 shares | ) | | ($777,707,546 ÷ 43,073,963 shares | ) | | ($218,052,887 ÷ 15,209,176 shares | ) | | ($1,965,121,499 ÷ 108,214,287 shares | ) | | ($1,179,090,538 ÷ 78,905,606 shares | ) |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 227 |
Table of Contents
Statements of Assets and Liabilities ($ Thousands) (Unaudited)
November 30, 2013
World Equity Ex-US Fund | Screened World Equity Ex-US Fund | Opportunistic Income Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value† | $ | 6,479,388 | * | $ | 66,715 | $ | 1,609,544 | |||||
Affiliated investments, at value†† | 403,258 | 3,824 | 176,906 | |||||||||
Repurchase agreements | — | — | 11,100 | |||||||||
Cash | — | — | 2,961 | |||||||||
Foreign currency, at value††† | 3,639 | — | — | |||||||||
Cash pledged as collateral for forward foreign currency contracts, futures contracts and swap contracts | — | — | 45 | |||||||||
Receivable for fund shares sold | 16,073 | 6 | 21,044 | |||||||||
Receivable for investment securities sold | 48,889 | 46 | 2,564 | |||||||||
Dividends and interest receivable | 9,417 | 67 | 4,844 | |||||||||
Receivable for variation margin | 200 | 13 | 48 | |||||||||
Foreign tax reclaim receivable | 2,136 | 50 | — | |||||||||
Unrealized gain on foreign spot currency contracts | 75 | — | — | |||||||||
Unrealized gain on forward foreign currency contracts | 183 | 3 | — | |||||||||
Swap contracts, at value†††† | — | — | — | |||||||||
Options purchased, at value††††† | — | — | — | |||||||||
Swaptions purchased, at value††††† | — | — | — | |||||||||
Prepaid expenses | 60 | 1 | 10 | |||||||||
Total Assets | 6,963,318 | 70,725 | 1,829,066 | |||||||||
LIABILITIES: | ||||||||||||
Payable upon return on securities loaned | 403,258 | — | — | |||||||||
Payable for investment securities purchased | 6,935 | 65 | 118,587 | |||||||||
Payable for fund shares redeemed | 16,548 | 1 | 2,049 | |||||||||
Income distribution payable | — | — | — | |||||||||
Swap contracts, at value†††† | — | — | — | |||||||||
Options written, at value††††† | — | — | — | |||||||||
Payable to custodian | 955 | 11 | — | |||||||||
Foreign currency payable to custodian, at value††† | — | 8 | — | |||||||||
Payable for variation margin | 30 | 1 | — | |||||||||
Unrealized loss on foreign spot currency contracts | 97 | — | — | |||||||||
Unrealized loss on forward foreign currency contracts | 440 | 7 | — | |||||||||
Investment advisory fees payable | 1,712 | 17 | 312 | |||||||||
Chief Compliance Officer fees payable | 18 | — | 3 | |||||||||
Trustees fees payable | 17 | — | 2 | |||||||||
Accrued expense payable | 290 | 35 | 19 | |||||||||
Accrued foreign capital gains tax on appreciated securities | 98 | — | — | |||||||||
Total Liabilities | 430,398 | 145 | 120,972 | |||||||||
Net Assets | $ | 6,532,920 | $ | 70,580 | $ | 1,708,094 | ||||||
†Cost of investments and repurchase agreements | 5,405,704 | 57,414 | 1,614,265 | |||||||||
††Cost of affiliated investments | 403,258 | 3,824 | 176,906 | |||||||||
†††Cost of foreign currency | 3,655 | (6 | ) | — | ||||||||
††††Cost (premiums received) | — | — | — | |||||||||
†††††Cost (premiums received) | — | — | — | |||||||||
* Includes market value of securities on loan | 393,054 | — | — | |||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital — (unlimited authorization — no par value) | $ | 5,644,096 | $ | 74,491 | $ | 1,735,699 | ||||||
Undistributed (distributions in excess of) net investment income | 118,957 | 988 | 15,920 | |||||||||
Accumulated net realized gain (loss) on investments, option contracts, swaptions, futures contracts, swap contracts and foreign currency | (304,048 | ) | (14,295 | ) | (49,956 | ) | ||||||
Net unrealized appreciation (depreciation) on investments | 1,073,684 | 9,301 | 6,379 | |||||||||
Net unrealized appreciation (depreciation) on futures contracts | 592 | 100 | 52 | |||||||||
Net unrealized appreciation (depreciation) on swap contracts | — | — | — | |||||||||
Net unrealized depreciation on options | — | — | — | |||||||||
Net unrealized appreciation on swaptions | — | — | — | |||||||||
Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies | (263 | ) | (5 | ) | — | |||||||
Accumulated foreign capital gains tax on appreciated securities | (98 | ) | — | — | ||||||||
Net Assets | $ | 6,532,920 | $ | 70,580 | $ | 1,708,094 | ||||||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $12.62 | $9.54 | $8.27 | |||||||||
| ($6,532,919,893 ÷ 517,831,884 shares | ) | | ($70,579,565 ÷ 7,396,309 shares | ) | | ($1,708,094,283 ÷ 206,546,559 shares | ) |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
228 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Core Fixed Income Fund | High Yield Bond Fund | Long Duration Fund | Long Duration Corporate Fund | Ultra Short Duration Bond Fund | Emerging Markets Debt Fund | |||||||||||||||||
$5,996,212 | * | $2,099,007 | $3,506,325 | $2,336,280 | $555,541 | $1,362,187 | * | |||||||||||||||
504,597 | 48,557 | 198,486 | 37,997 | 24,982 | 5,174 | |||||||||||||||||
— | — | — | — | 16,000 | — | |||||||||||||||||
— | 16,180 | 68 | — | 19 | 79,012 | |||||||||||||||||
17,216 | — | — | — | — | — | |||||||||||||||||
365 | 563 | 257 | — | 82 | 95 | |||||||||||||||||
7,919 | 2,360 | 1,134 | — | 19,943 | 1,035 | |||||||||||||||||
367,044 | 10,264 | 9,081 | 5,003 | 1,902 | 4,069 | |||||||||||||||||
31,173 | 31,920 | 34,686 | 28,849 | 1,101 | 25,611 | |||||||||||||||||
170 | 31 | 103 | 6 | 11 | 7 | |||||||||||||||||
9 | — | — | — | — | — | |||||||||||||||||
— | — | — | — | — | 132 | |||||||||||||||||
1,170 | — | — | — | — | 4,083 | |||||||||||||||||
4,706 | — | 1,337 | — | — | 13,206 | |||||||||||||||||
335 | — | — | — | — | — | |||||||||||||||||
3,962 | — | — | — | — | — | |||||||||||||||||
20 | 18 | 26 | 20 | 4 | 7 | |||||||||||||||||
6,934,898 | 2,208,900 | 3,751,503 | 2,408,155 | 619,585 | 1,494,618 | |||||||||||||||||
236,434 | — | — | — | — | 5,174 | |||||||||||||||||
805,689 | 42,840 | 146,542 | 29,921 | 44,157 | 13,487 | |||||||||||||||||
11,345 | 3,904 | 852 | — | — | 2,848 | |||||||||||||||||
380 | 331 | 386 | 6 | 12 | — | |||||||||||||||||
2,807 | 1,274 | 64 | — | — | 156 | |||||||||||||||||
132 | — | — | — | — | — | |||||||||||||||||
45,349 | — | — | 591 | — | — | |||||||||||||||||
— | — | — | — | — | 1,868 | |||||||||||||||||
147 | — | 2 | — | — | — | |||||||||||||||||
— | — | — | — | — | 118 | |||||||||||||||||
1,066 | — | — | — | — | 4,209 | |||||||||||||||||
587 | 500 | 395 | 269 | 41 | 502 | |||||||||||||||||
21 | 6 | 11 | 7 | 1 | 4 | |||||||||||||||||
20 | 6 | 10 | 6 | 1 | 4 | |||||||||||||||||
143 | 80 | 116 | 58 | 11 | 152 | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
1,104,120 | 48,941 | 148,378 | 30,858 | 44,223 | 28,522 | |||||||||||||||||
$5,830,778 | $2,159,959 | $3,603,125 | $2,377,297 | $575,362 | $1,466,096 | |||||||||||||||||
5,947,205 | 2,026,757 | 3,549,858 | 2,451,210 | 570,402 | 1,425,779 | |||||||||||||||||
504,597 | 48,557 | 198,486 | 37,997 | 24,982 | 5,174 | |||||||||||||||||
17,128 | — | — | — | — | (1,846 | ) | ||||||||||||||||
(111 | ) | (799 | ) | 206 | — | — | 19,057 | |||||||||||||||
2,772 | — | — | — | — | — | |||||||||||||||||
230,314 | — | — | — | — | 4,915 | |||||||||||||||||
$5,813,556 | $2,056,671 | $3,696,686 | $2,525,968 | $575,348 | $1,549,177 | |||||||||||||||||
(5,744 | ) | 10,658 | (1,231 | ) | (47 | ) | (351 | ) | 4,677 | |||||||||||||
(28,818 | ) | 20,855 | (50,101 | ) | (33,830 | ) | (794 | ) | (17,831 | ) | ||||||||||||
49,007 | 72,250 | (43,533 | ) | (114,930 | ) | 1,139 | (63,592 | ) | ||||||||||||||
(882 | ) | — | 192 | 136 | 20 | 27 | ||||||||||||||||
2,073 | (475 | ) | 1,112 | — | — | (6,007 | ) | |||||||||||||||
(27 | ) | — | — | — | — | — | ||||||||||||||||
1,420 | — | — | — | — | — | |||||||||||||||||
193 | — | — | — | — | (355 | ) | ||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
$5,830,778 | $2,159,959 | $3,603,125 | $2,377,297 | $575,362 | $1,466,096 | |||||||||||||||||
$10.34 | $9.94 | $8.20 | $9.38 | $10.03 | $10.21 | |||||||||||||||||
| ($5,830,778,148 ÷ 563,727,908 shares | ) | | ($2,159,958,916 ÷ 217,340,952 shares | ) | | ($3,603,124,803 ÷ 439,292,245 shares | ) | | ($2,377,297,201 ÷ 253,342,849 shares | ) | | ($575,362,099 ÷ 57,367,795 shares | ) | | ($1,466,095,810 ÷ 143,534,107 shares | ) |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 229 |
Table of Contents
Consolidated Statement of Assets and Liabilities/
Statements of Assets and Liabilities ($ Thousands) (Unaudited)
November 30, 2013
Real Return Fund | Dynamic Asset Allocation Fund | Multi-Asset Real Return Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value† | $ | 217,563 | $ | 1,351,716 | $ | 637,585 | ||||||
Cash | — | 3,410 | 37,517 | |||||||||
Foreign currency, at value†† | — | — | 1,299 | |||||||||
Cash pledged as collateral for forward foreign currency contracts, futures contracts and swap contracts | — | 11,074 | 11,130 | |||||||||
Receivable for fund shares sold | 21 | 212 | 414 | |||||||||
Receivable for investment securities sold | — | 4,457 | 404 | |||||||||
Dividends and interest receivable | 807 | 2,948 | 3,359 | |||||||||
Receivable for variation margin | — | 256 | 42 | |||||||||
Foreign tax reclaim receivable | — | 6 | 17 | |||||||||
Unrealized gain on foreign spot currency contracts | — | — | 34 | |||||||||
Unrealized gain on forward foreign currency contracts | — | 7,869 | 1,547 | |||||||||
Swap contracts at value††† | — | — | 466 | |||||||||
Options purchased, at value†††† | — | 392 | 322 | |||||||||
Prepaid expenses | 2 | 10 | 4 | |||||||||
Total Assets | 218,393 | 1,382,350 | 694,140 | |||||||||
LIABILITIES: | ||||||||||||
Payable for investment securities purchased | — | — | 25,026 | |||||||||
Payable for fund shares redeemed | 7 | 4,158 | 13 | |||||||||
Swap contracts, at value††† | — | — | 449 | |||||||||
Reverse repurchase agreements | — | — | 64,558 | |||||||||
Payable to custodian | 3,530 | — | — | |||||||||
Payable for variation margin | — | — | 465 | |||||||||
Unrealized loss on foreign spot currency contracts | — | 5 | 146 | |||||||||
Unrealized loss on forward foreign currency contracts | — | — | 739 | |||||||||
Investment advisory fees payable | 11 | 68 | 130 | |||||||||
Chief Compliance Officer fees payable | 1 | 3 | 1 | |||||||||
Trustees fees payable | 1 | 3 | — | |||||||||
Accrued expense payable | 5 | 27 | 8 | |||||||||
Total Liabilities | 3,555 | 4,264 | 91,535 | |||||||||
Net Assets | $ | 214,838 | $ | 1,378,086 | $ | 602,605 | ||||||
†Cost of investments | 217,556 | 1,095,571 | 629,756 | |||||||||
††Cost of foreign currency | — | — | 1,299 | |||||||||
†††Cost (premiums received) | — | — | 94 | |||||||||
††††Cost (premiums received) | — | 3,119 | 346 | |||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital — (unlimited authorization — no par value) | $ | 214,452 | $ | 1,120,680 | $ | 618,612 | ||||||
Undistributed net investment income | 1,119 | 8,049 | 184 | |||||||||
Accumulated net realized loss on investments, option contracts, futures contracts, swap contracts and foreign currency | (740 | ) | (5,373 | ) | (22,599 | ) | ||||||
Net unrealized appreciation on investments | 7 | 256,145 | 7,829 | |||||||||
Net unrealized depreciation on futures contracts | — | (6,552 | ) | (1,908 | ) | |||||||
Net unrealized depreciation on swap contracts | — | — | (191 | ) | ||||||||
Net unrealized depreciation on options | — | (2,727 | ) | (24 | ) | |||||||
Net unrealized appreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies | — | 7,864 | 702 | |||||||||
Net Assets | $ | 214,838 | $ | 1,378,086 | $ | 602,605 | ||||||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $9.84 | $13.93 | $9.03 | |||||||||
| ($214,837,946 ÷ 21,823,076 shares | ) | | ($1,378,086,026 ÷ 98,912,890 shares | ) | | ($602,604,905 ÷ 66,764,945 shares | ) |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
230 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
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Statements of Operations ($ Thousands) (Unaudited)
For the period ended November 30, 2013
Large Cap Fund | Large Cap Diversified Alpha Fund | Large Cap Disciplined Equity Fund | ||||||||||
Investment Income | ||||||||||||
Dividends | $ | 15,422 | $ | 2,322 | $ | 49,620 | ||||||
Dividends from affiliated registered investment company | 5 | — | 8 | |||||||||
Interest income | 1 | — | 6 | |||||||||
Security lending income — net | 75 | — | 484 | |||||||||
Less: foreign taxes withheld | (21 | ) | (3 | ) | (5 | ) | ||||||
Total Investment Income | 15,482 | 2,319 | 50,113 | |||||||||
Expenses: | ||||||||||||
Investment advisory fees | 4,010 | 634 | 10,473 | |||||||||
Administration fees | 501 | 79 | 1,309 | |||||||||
Trustee fees | 9 | 1 | 24 | |||||||||
Chief Compliance Officer fees | 6 | 1 | 17 | |||||||||
Custodian/wire agent fees | 49 | 8 | 143 | |||||||||
Professional fees | 34 | 6 | 92 | |||||||||
Printing fees | 8 | 1 | 22 | |||||||||
Registration fees | 5 | 1 | 15 | |||||||||
Interest expense | — | — | 1 | |||||||||
Other expenses | 4 | 4 | 57 | |||||||||
Total Expenses | 4,626 | 735 | 12,153 | |||||||||
Less: | ||||||||||||
Waiver of investment advisory fees | (2,206 | ) | (269 | ) | (6,114 | ) | ||||||
Waiver of administration fees | (501 | ) | (79 | ) | (1,309 | ) | ||||||
Fees paid indirectly(1) | (95 | ) | — | (30 | ) | |||||||
Net Expenses | 1,824 | 387 | 4,700 | |||||||||
Net Investment Income | 13,658 | 1,932 | 45,413 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||
Investments | 120,187 | 27,978 | 431,832 | |||||||||
Affiliated investments | (487 | ) | — | 137,213 | ||||||||
Futures contracts | 4,236 | 129 | 12,496 | |||||||||
Foreign currency transactions | — | — | — | |||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | 131,058 | 11,002 | (57,182 | ) | ||||||||
Futures contracts | 220 | 337 | (4,768 | ) | ||||||||
Foreign currency and translation of other assets and liabilities | — | — | 3 | |||||||||
Net Increase in Net Assets Resulting from Operations | $ | 268,872 | $ | 41,378 | $ | 565,007 |
(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.
232 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
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Large Cap Index Fund | Extended Market Index Fund | Small Cap Fund | Small Cap II Fund | Small/Mid Cap Equity Fund | U.S. Managed Volatility Fund | |||||||||||||||||
$ | 21,045 | $ | 1,632 | $ | 4,277 | $ | 976 | $ | 10,789 | $ | 14,754 | |||||||||||
2 | 3 | 62 | 30 | 3 | 2 | |||||||||||||||||
15 | 3 | 39 | 1 | 4 | — | |||||||||||||||||
114 | 90 | 415 | 74 | 828 | — | |||||||||||||||||
(6 | ) | (5 | ) | (7 | ) | — | (22 | ) | (82 | ) | ||||||||||||
21,170 | 1,723 | 4,786 | 1,081 | 11,602 | 14,674 | |||||||||||||||||
1,819 | 149 | 2,498 | 704 | 6,780 | 3,676 | |||||||||||||||||
535 | 62 | 192 | 54 | 522 | 283 | |||||||||||||||||
10 | 1 | 3 | 1 | 10 | 5 | |||||||||||||||||
7 | 1 | 2 | 1 | 7 | 4 | |||||||||||||||||
54 | 7 | 20 | 5 | 55 | 28 | |||||||||||||||||
36 | 3 | 13 | 4 | 36 | 19 | |||||||||||||||||
9 | 1 | 4 | 1 | 9 | 5 | |||||||||||||||||
3 | — | 2 | — | 6 | 1 | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
23 | — | 11 | 1 | 24 | 12 | |||||||||||||||||
2,496 | 224 | 2,745 | 771 | 7,449 | 4,033 | |||||||||||||||||
(1,712 | ) | (74 | ) | (730 | ) | (206 | ) | (2,086 | ) | (2,432 | ) | |||||||||||
(535 | ) | (62 | ) | (192 | ) | (54 | ) | (522 | ) | (283 | ) | |||||||||||
(14 | ) | — | (16 | ) | (3 | ) | (75 | ) | — | |||||||||||||
235 | 88 | 1,807 | 508 | 4,766 | 1,318 | |||||||||||||||||
20,935 | 1,635 | 2,979 | 573 | 6,836 | 13,356 | |||||||||||||||||
26,682 | 1,427 | 73,821 | 17,686 | 140,350 | 56,705 | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
5,307 | 247 | 1,513 | 1,219 | 4,240 | 1,158 | |||||||||||||||||
— | — | — | — | 4 | (8 | ) | ||||||||||||||||
191,724 | 32,492 | 46,574 | 15,991 | 157,688 | 54,515 | |||||||||||||||||
(1,069 | ) | 285 | 199 | 1 | 267 | 1,481 | ||||||||||||||||
| — |
| — | — | — | (1 | ) | (6 | ) | |||||||||||||
$ | 243,579 | $ | 36,086 | $ | 125,086 | $ | 35,470 | $ | 309,384 | $ | 127,201 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 233 |
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Statements of Operations ($ Thousands) (Unaudited)
For the period ended November 30, 2013
World Equity Ex-US Fund | Screened World Equity Ex-US Fund | Opportunistic Income Fund | ||||||||||
Investment Income | ||||||||||||
Dividends | $ | 59,705 | $ | 599 | $ | 28 | ||||||
Dividends from affiliated registered investment company | 9 | — | 6 | |||||||||
Interest income | 83 | 4 | 14,133 | |||||||||
Security lending income — net | 2,441 | — | — | |||||||||
Less: foreign taxes withheld | (4,074 | ) | (43 | ) | — | |||||||
Total Investment Income | 58,164 | 560 | 14,167 | |||||||||
Expenses: | ||||||||||||
Investment advisory fees | 17,712 | 210 | 2,876 | |||||||||
Administration fees | 1,610 | 16 | 320 | |||||||||
Trustee fees | 29 | — | 5 | |||||||||
Chief Compliance Officer fees | 20 | — | 4 | |||||||||
Custodian/wire agent fees | 380 | 38 | 26 | |||||||||
Professional fees | 125 | 1 | 19 | |||||||||
Printing fees | 27 | — | 5 | |||||||||
Registration fees | 11 | — | — | |||||||||
Overdraft fees | 4 | — | — | |||||||||
Interest expense | — | — | 4 | |||||||||
Other expenses | 82 | 18 | 28 | |||||||||
Total Expenses | 20,000 | 283 | 3,287 | |||||||||
Less: | ||||||||||||
Waiver of investment advisory fees | (7,407 | ) | (116 | ) | (1,573 | ) | ||||||
Waiver of administration fees | (1,610 | ) | (16 | ) | (320 | ) | ||||||
Fees paid indirectly(1) | (32 | ) | — | — | ||||||||
Net Expenses | 10,951 | 151 | 1,394 | |||||||||
Net Investment Income | 47,213 | 409 | 12,773 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||
Investments | 161,679 | 950 | (8,446 | ) | ||||||||
Affiliated investments | — | — | — | |||||||||
Futures contracts | 26,639 | 219 | (654 | ) | ||||||||
Purchased and written options | — | — | — | |||||||||
Swap contracts | — | — | — | |||||||||
Foreign currency transactions | (98 | ) | 14 | — | ||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | 377,584 | 4,645 | 8,999 | |||||||||
Futures contracts | 594 | 19 | 49 | |||||||||
Purchased and written options | — | — | — | |||||||||
Purchased swaptions | — | — | — | |||||||||
Swap contracts | — | — | — | |||||||||
Foreign capital gains tax | (21 | ) | — | — | ||||||||
Foreign currency and translation of other assets and liabilities | 286 | 7 | — | |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 613,876 | $ | 6,263 | $ | 12,721 |
(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.
234 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
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Core Fixed Income Fund | High Yield Bond Fund | Long Duration Fund | Long Duration Corporate Bond Fund | Ultra Short Duration Bond Fund | ||||||||||||||
$ | — | $ | 355 | $ | — | $ | — | $ | — | |||||||||
11 | 3 | 2 | 1 | — | ||||||||||||||
89,364 | 73,199 | 72,849 | 52,095 | 2,476 | ||||||||||||||
72 | — | — | — | — | ||||||||||||||
(1 | ) | (17 | ) | — | — | — | ||||||||||||
89,446 | 73,540 | 72,851 | 52,096 | 2,476 | ||||||||||||||
9,209 | 5,222 | 4,915 | 3,280 | 376 | ||||||||||||||
1,535 | 536 | 819 | 547 | 125 | ||||||||||||||
30 | 10 | 15 | 10 | 2 | ||||||||||||||
20 | 7 | 10 | 7 | 2 | ||||||||||||||
169 | 54 | 85 | 55 | 13 | ||||||||||||||
112 | 37 | 58 | 38 | 9 | ||||||||||||||
27 | 9 | 14 | 9 | 2 | ||||||||||||||
20 | 5 | 10 | — | — | ||||||||||||||
— | — | — | — | — | ||||||||||||||
— | — | — | — | — | ||||||||||||||
76 | 87 | 100 | — | 3 | ||||||||||||||
11,198 | 5,967 | 6,026 | 3,946 | 532 | ||||||||||||||
(5,832 | ) | (2,223 | ) | (2,621 | ) | (1,749 | ) | (125 | ) | |||||||||
(1,535 | ) | (536 | ) | (819 | ) | (547 | ) | (125 | ) | |||||||||
— | — | — | — | — | ||||||||||||||
3,831 | 3,208 | 2,586 | 1,650 | 282 | ||||||||||||||
85,615 | 70,332 | 70,265 | 50,446 | 2,194 | ||||||||||||||
(40,056 | ) | 16,560 | (36,202 | ) | (34,339 | ) | (395 | ) | ||||||||||
1 | — | — | — | — | ||||||||||||||
11,580 | — | (7,727 | ) | (4,655 | ) | (49 | ) | |||||||||||
1,650 | — | — | — | — | ||||||||||||||
538 | (318 | ) | (137 | ) | — | — | ||||||||||||
(267 | ) | — | — | — | — | |||||||||||||
(89,164 | ) | (32,235 | ) | (170,119 | ) | (76,837 | ) | 118 | ||||||||||
(3,879 | ) | — | 675 | 38 | 15 | |||||||||||||
34 | — | — | — | — | ||||||||||||||
1,414 | — | — | — | — | ||||||||||||||
1,027 | (585 | ) | 725 | — | — | |||||||||||||
— | — | — | — | — | ||||||||||||||
| (1,224 | ) | — | — | — | — | ||||||||||||
$ | (32,731 | ) | $ | 53,754 | $ | (142,520 | ) | $ | (65,347 | ) | $ | 1,883 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 235 |
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Consolidated Statement of Operations/
Statements of Operations ($ Thousands) (Unaudited)
For the period ended November 30, 2013
Emerging Markets Debt Fund | Real Return Fund | Dynamic Asset Allocation Fund | Multi-Asset Real Return Fund | |||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | — | $ | — | $ | 13,230 | $ | 2,312 | ||||||||
Interest income | 45,380 | 351 | 1 | 1,276 | ||||||||||||
Security lending income — net | 8 | — | — | — | ||||||||||||
Less: foreign taxes withheld | (93 | ) | — | — | (108 | ) | ||||||||||
Total Investment Income | 45,295 | 351 | 13,231 | 3,480 | ||||||||||||
Expenses: | ||||||||||||||||
Investment advisory fees | 5,906 | 265 | 3,756 | 1,253 | ||||||||||||
Administration fees | 347 | 60 | 313 | 114 | ||||||||||||
Trustee fees | 6 | 1 | 5 | 2 | ||||||||||||
Chief Compliance Officer fees | 4 | 1 | 4 | 1 | ||||||||||||
Custodian/wire agent fees | 199 | 2 | 25 | 11 | ||||||||||||
Professional fees | 24 | 4 | 20 | 7 | ||||||||||||
Printing fees | 6 | 1 | 5 | 2 | ||||||||||||
Registration fees | 2 | 1 | — | — | ||||||||||||
Interest expense on reverse repurchase agreements | — | — | — | 30 | ||||||||||||
Overdraft fees | 8 | — | — | — | ||||||||||||
Other expenses | 86 | 4 | 10 | 4 | ||||||||||||
Total Expenses | 6,588 | 339 | 4,138 | 1,424 | ||||||||||||
Less: | ||||||||||||||||
Waiver of investment advisory fees | (2,988 | ) | (193 | ) | (3,380 | ) | (648 | ) | ||||||||
Waiver of administration fees | (347 | ) | (60 | ) | (313 | ) | (114 | ) | ||||||||
Fees paid indirectly(1) | — | — | — | — | ||||||||||||
Net Expenses | 3,253 | 86 | 445 | 662 | ||||||||||||
Net Investment Income | 42,042 | 265 | 12,786 | 2,818 | ||||||||||||
Net Realized and Unrealized Gain | ||||||||||||||||
Investments | (13,182 | ) | (731 | ) | 1,754 | (11,192 | ) | |||||||||
Futures contracts | (257 | ) | — | (102 | ) | (1,153 | ) | |||||||||
Purchased and written options | (632 | ) | — | 74 | (75 | ) | ||||||||||
Swap contracts | (1,608 | ) | — | — | (5,509 | ) | ||||||||||
Foreign currency transactions | (14,871 | ) | — | (23,843 | ) | (872 | ) | |||||||||
Net Change in Unrealized Appreciation | ||||||||||||||||
Investments | (87,821 | ) | (43 | ) | 129,851 | 13,986 | ||||||||||
Futures contracts | 27 | — | (6,552 | ) | (2,031 | ) | ||||||||||
Purchased and written options | 174 | — | (2,727 | ) | 43 | |||||||||||
Swap contracts | (5,216 | ) | — | — | (862 | ) | ||||||||||
Foreign currency and translation of other assets and liabilities denominated in foreign currencies | (1,919 | ) | — | 911 | (550 | ) | ||||||||||
Net Increase (Decrease) in Net Assets Resulting | $ | (83,263 | ) | $ | (509 | ) | $ | 112,152 | $ | (5,397 | ) |
(1) | See Note 5 in the Notes to Financial Statements. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
236 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
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Statements of Changes in Net Assets ($ Thousands)
For the period ended November 30, 2013 (unaudited) and the year ended May 31, 2013
Large Cap Fund | Large Cap Diversified Alpha Fund | Large Cap Disciplined Equity Fund | ||||||||||||||||||||||
06/01/13 to 11/30/13 | 06/01/12 to 05/31/13 | 06/01/13 to 11/30/13 | 06/01/12 to 05/31/13 | 06/01/13 to 11/30/13 | 06/01/12 to 05/31/13 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income | $ | 13,658 | $ | 34,298 | $ | 1,932 | $ | 4,859 | $ | 45,413 | $ | 103,968 | ||||||||||||
Net realized gain (loss) from investments, affiliated investments and futures contracts | 123,936 | 126,685 | 28,107 | 40,054 | 581,541 | 641,601 | ||||||||||||||||||
Net realized gain (loss) on foreign currency transactions | — | — | — | — | (49 | ) | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments and futures contracts | 131,278 | 313,841 | 11,339 | 26,430 | (61,950 | ) | 684,697 | |||||||||||||||||
Net change in unrealized appreciation on foreign currency transactions | — | — | — | — | 3 | — | ||||||||||||||||||
Net Increase in Net Assets Resulting from Operations | 268,872 | 474,824 | 41,378 | 71,343 | 565,007 | 1,430,217 | ||||||||||||||||||
Dividends and Distributions from: | ||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||
Class A | (14,215 | ) | (33,960 | ) | (1,402 | ) | (5,999 | ) | (12,400 | ) | (140,201 | ) | ||||||||||||
Net realized gains: | ||||||||||||||||||||||||
Class A | — | (50,275 | ) | — | — | — | — | |||||||||||||||||
Total Dividends and Distributions | (14,215 | ) | (84,235 | ) | (1,402 | ) | (5,999 | ) | (12,400 | ) | (140,201 | ) | ||||||||||||
Capital Share Transactions:(1) | ||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||
Proceeds from shares issued | 334,462 | 422,969 | 17,651 | 46,493 | 165,128 | 1,013,176 | ||||||||||||||||||
Reinvestment of dividends and distributions | 13,797 | 82,864 | 1,313 | 5,414 | 12,153 | 136,946 | ||||||||||||||||||
Cost of shares redeemed | (362,792 | ) | (772,763 | ) | (46,187 | ) | (128,581 | ) | (1,381,686 | ) | (2,376,213 | ) | ||||||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | (14,533 | ) | (266,930 | ) | (27,223 | ) | (76,674 | ) | (1,204,405 | ) | (1,226,091 | ) | ||||||||||||
Net Increase (Decrease) in Net Assets | 240,124 | 123,659 | 12,753 | (11,330 | ) | (651,798 | ) | 63,925 | ||||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of Period | 1,897,837 | 1,774,178 | 309,577 | 320,907 | 5,500,315 | 5,436,390 | ||||||||||||||||||
End of Period | $ | 2,137,961 | $ | 1,897,837 | $ | 322,330 | $ | 309,577 | $ | 4,848,517 | $ | 5,500,315 | ||||||||||||
Undistributed Net Investment Income Included in Net Assets at Period End | $ | 4,937 | $ | 5,494 | $ | 627 | $ | 97 | $ | 33,013 | $ | — |
(1) | See Note 6 in the Notes to Financial Statements. |
(2) | Commenced operations on February 28, 2013. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
238 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
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Large Cap Index Fund | Extended Market Index Fund(2) | Small Cap Fund | Small Cap II Fund | |||||||||||||||||||||||||||
06/01/13 to 11/30/13 | 06/01/12 to 05/31/13 | 06/01/13 to 11/30/13 | 02/28/13 to 05/31/13 | 06/01/13 to 11/30/13 | 06/01/12 to 05/31/13 | 06/01/13 to 11/30/13 | 06/01/12 to 05/31/13 | |||||||||||||||||||||||
$ | 20,935 | $ | 39,683 | $ | 1,635 | $ | 371 | $ | 2,979 | $ | 8,224 | $ | 573 | $ | 1,572 | |||||||||||||||
| 31,989 | | (5,408 | ) | 1,674 | 202 | 75,334 | 77,627 | 18,905 | 8,057 | ||||||||||||||||||||
— | — | — | — | — | 1 | — | — | |||||||||||||||||||||||
190,655 | 404,466 | 32,777 | 7,399 | 46,773 | 126,870 | 15,992 | 37,721 | |||||||||||||||||||||||
| — | | — | — | — | — | — | — | — | |||||||||||||||||||||
243,579 | 438,741 | 36,086 | 7,972 | 125,086 | 212,722 | 35,470 | 47,350 | |||||||||||||||||||||||
(21,266 | ) | (37,390 | ) | (1,430 | ) | (84 | ) | (2,418 | ) | (10,108 | ) | (609 | ) | (1,541 | ) | |||||||||||||||
— | (17,633 | ) | — | — | — | — | — | (570 | ) | |||||||||||||||||||||
(21,266 | ) | (55,023 | ) | (1,430 | ) | (84 | ) | (2,418 | ) | (10,108 | ) | (609 | ) | (2,111 | ) | |||||||||||||||
226,219 | 1,122,773 | 175,935 | 172,091 | 35,631 | 119,337 | 67,988 | 246,977 | |||||||||||||||||||||||
21,002 | 54,321 | 1,427 | 84 | 2,035 | 8,729 | 578 | 2,031 | |||||||||||||||||||||||
(606,225 | ) | (602,393 | ) | (40,608 | ) | (5,956 | ) | (161,602 | ) | (304,936 | ) | (107,071 | ) | (134,616 | ) | |||||||||||||||
(359,004 | ) | 574,701 | 136,754 | 166,219 | (123,936 | ) | (176,870 | ) | (38,505 | ) | 114,392 | |||||||||||||||||||
(136,691 | ) | 958,419 | 171,410 | 174,107 | (1,268 | ) | 25,744 | (3,644 | ) | 159,631 | ||||||||||||||||||||
2,214,088 | 1,255,669 | 174,107 | — | 778,976 | 753,232 | 221,697 | 62,066 | |||||||||||||||||||||||
$ | 2,077,397 | $ | 2,214,088 | $ | 345,517 | $ | 174,107 | $ | 777,708 | $ | 778,976 | $ | 218,053 | $ | 221,697 | |||||||||||||||
$ | 6,676 | | $ | 7,007 | $ | 509 | $ | 304 | $ | 1,571 | $ | 1,010 | $ | 132 | $ | 168 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 239 |
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Statements of Changes in Net Assets ($ Thousands)
For the period ended November 30, 2013 (unaudited) and the year ended May 31, 2013
Small/Mid Cap Equity Fund | U.S. Managed Volatility Fund | |||||||||||||||
06/01/13 to 11/30/13 | 06/01/12 to 05/31/13 | 06/01/13 to 11/30/13 | 06/01/12 to 05/31/13 | |||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 6,836 | $ | 22,654 | $ | 13,356 | $ | 23,765 | ||||||||
Net realized gain (loss) from investments and futures contracts | 144,590 | 236,262 | 57,863 | 51,377 | ||||||||||||
Net realized gain (loss) on foreign currency transactions | 4 | 13 | (8 | ) | (75 | ) | ||||||||||
Net change in unrealized appreciation on investments and futures contracts | 157,955 | 320,450 | 55,996 | 135,977 | ||||||||||||
Net change in unrealized depreciation on foreign cap gains tax | — | — | — | — | ||||||||||||
Net change in unrealized appreciation (depreciation) on foreign currency transactions | (1 | ) | — | (6 | ) | 2 | ||||||||||
Net Increase in Net Assets Resulting from Operations | 309,384 | 579,379 | 127,201 | 211,046 | ||||||||||||
Dividends and Distributions from: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class A | (6,894 | ) | (25,590 | ) | (13,923 | ) | (22,592 | ) | ||||||||
Net realized gains: | ||||||||||||||||
Class A | — | (15,141 | ) | — | (16,946 | ) | ||||||||||
Total Dividends and Distributions | (6,894 | ) | (40,731 | ) | (13,923 | ) | (39,538 | ) | ||||||||
Capital Share Transactions:(1) | ||||||||||||||||
Class A: | ||||||||||||||||
Proceeds from shares issued | 80,902 | 437,273 | 131,048 | 510,717 | ||||||||||||
Reinvestment of dividends and distributions | 6,821 | 40,334 | 13,715 | 38,191 | ||||||||||||
Cost of shares redeemed | (578,837 | ) | (843,868 | ) | (224,930 | ) | (296,518 | ) | ||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | (491,114 | ) | (366,261 | ) | (80,167 | ) | 252,390 | |||||||||
Net Increase (Decrease) in Net Assets | (188,624 | ) | 172,387 | 33,111 | 423,898 | |||||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 2,153,745 | 1,981,358 | 1,145,980 | 722,082 | ||||||||||||
End of Period | $ | 1,965,121 | $ | 2,153,745 | $ | 1,179,091 | $ | 1,145,980 | ||||||||
Undistributed Net Investment Income Included in Net Assets at Period End | $ | 6,875 | $ | 6,933 | $ | 3,442 | $ | 4,009 |
(1) | See Note 6 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.
240 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
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World Equity Ex-US Fund | Screened World Equity Ex-US Fund | Opportunistic Income Fund | ||||||||||||||||||||
06/01/13 to 11/30/13 | 06/01/12 to 05/31/13 | 06/01/13 to 11/30/13 | 06/01/12 to 05/31/13 | 06/01/13 to 11/30/13 | 06/01/12 to 05/31/13 | |||||||||||||||||
$ | 47,213 | $ | 134,537 | $ | 409 | $ | 1,052 | $ | 12,773 | $ | 6,707 | |||||||||||
188,318 | 189,005 | 1,169 | 2,182 | (9,100 | ) | (240 | ) | |||||||||||||||
(98 | ) | (4,774 | ) | 14 | (28 | ) | — | — | ||||||||||||||
| 378,178 | | 1,036,674 | 4,664 | 9,793 | 9,048 | 16,541 | |||||||||||||||
(21 | ) | (77 | ) | — | — | — | — | |||||||||||||||
286 | (3,829 | ) | 7 | (70 | ) | — | — | |||||||||||||||
613,876 | 1,351,536 | 6,263 | 12,929 | 12,721 | 23,008 | |||||||||||||||||
— | (119,081 | ) | — | (1,070 | ) | (8,168 | ) | (8,743 | ) | |||||||||||||
— | — | — | — | — | — | |||||||||||||||||
— | (119,081 | ) | — | (1,070 | ) | (8,168 | ) | (8,743 | ) | |||||||||||||
780,270 | 1,900,967 | 8,395 | 11,231 | 790,866 | 795,292 | |||||||||||||||||
— | 116,860 | — | 818 | 7,996 | 8,488 | |||||||||||||||||
(1,054,078 | ) | (1,681,364 | ) | (6,599 | ) | (10,143 | ) | (91,843 | ) | (40,482 | ) | |||||||||||
| (273,808 | ) | 336,463 | 1,796 | 1,906 | 707,019 | 763,298 | |||||||||||||||
340,068 | 1,568,918 | 8,059 | 13,765 | 711,572 | 777,563 | |||||||||||||||||
6,192,852 | 4,623,934 | 62,521 | 48,756 | 996,522 | 218,959 | |||||||||||||||||
$ | 6,532,920 | $ | 6,192,852 | $ | 70,580 | $ | 62,521 | $ | 1,708,094 | $ | 996,522 | |||||||||||
$ | 118,957 | | $ | 71,744 | $ | 988 | $ | 579 | $ | 15,920 | $ | 11,315 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 241 |
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Statements of Changes in Net Assets ($ Thousands)
For the period ended November 30, 2013 (unaudited) and the year ended May 31, 2013
Core Fixed | High Yield Bond Fund | |||||||||||||||
06/01/13 to 11/30/13 | 06/01/12 to 05/31/13 | 06/01/13 to 11/30/13 | 06/01/12 to 05/31/13 | |||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 85,615 | $ | 192,864 | $ | 70,332 | $ | 148,399 | ||||||||
Net realized gain (loss) from investments, affiliated investments, purchased and written options, futures contracts and swap contracts | (26,287 | ) | 149,751 | 16,242 | 56,668 | |||||||||||
Net realized gain (loss) on foreign currency transactions | (267 | ) | 3,475 | — | — | |||||||||||
Net change in unrealized appreciation (depreciation) on investments, purchased and written options, purchased swaptions, futures contracts and swap contracts | (90,568 | ) | (102,409 | ) | (32,820 | ) | 87,706 | |||||||||
Net change in unrealized depreciation on foreign currency transactions | (1,224 | ) | (69 | ) | — | — | ||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (32,731 | ) | 243,612 | 53,754 | 292,773 | |||||||||||
Dividends and Distributions from: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class A | (91,015 | ) | (206,754 | ) | (69,321 | ) | (144,390 | ) | ||||||||
Net realized gains: | ||||||||||||||||
Class A | — | (99,113 | ) | — | — | |||||||||||
Total Dividends and Distributions | (91,015 | ) | (305,867 | ) | (69,321 | ) | (144,390 | ) | ||||||||
Capital Share Transactions:(1) | ||||||||||||||||
Class A: | ||||||||||||||||
Proceeds from shares issued | 913,990 | 2,956,412 | (2) | 230,243 | 620,108 | |||||||||||
Reinvestment of dividends and distributions | 87,672 | 296,639 | 67,556 | 139,881 | ||||||||||||
Cost of shares redeemed | (1,531,356 | ) | (3,787,895 | ) | (284,824 | ) | (660,601 | ) | ||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | (529,694 | ) | (534,844 | ) | 12,975 | 99,388 | ||||||||||
Net Increase (Decrease) in Net Assets | (653,440 | ) | (597,099 | ) | (2,592 | ) | 247,771 | |||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 6,484,218 | 7,081,317 | 2,162,551 | 1,914,780 | ||||||||||||
End of Period | $ | 5,830,778 | $ | 6,484,218 | $ | 2,159,959 | $ | 2,162,551 | ||||||||
Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Period End | $ | (5,744 | ) | $ | (344 | ) | $ | 10,658 | $ | 9,647 |
(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 11). |
(3) | 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.
242 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
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Long Duration Fund | Long Duration Corporate Bond Fund(3) | Ultra Short Duration Bond Fund | Emerging Markets Debt Fund | |||||||||||||||||||||||||||
06/01/13 to 11/30/13 | 06/01/12 to 05/31/13 | 06/01/13 to 11/30/13 | 06/01/12 to 05/31/13 | 06/01/13 to 11/30/13 | 06/01/12 to 05/31/13 | 06/01/13 to 11/30/13 | 06/01/12 to 05/31/13 | |||||||||||||||||||||||
$ | 70,265 | $ | 149,352 | $ | 50,446 | $ | 71,936 | $ | 2,194 | $ | 3,624 | $ | 42,042 | $ | 63,189 | |||||||||||||||
| (44,066 | ) | 302,981 | (38,994 | ) | 17,948 | (444 | ) | 829 | (15,679 | ) | 62,344 | ||||||||||||||||||
— | — | — | — | — | — | (14,871 | ) | 12,904 | ||||||||||||||||||||||
| (168,719 | ) | (420,443 | ) | (76,799 | ) | (37,995 | ) | 133 | 1,718 | (92,836 | ) | (17,600 | ) | ||||||||||||||||
— | — | — | — | — | — | (1,919 | ) | (2,230 | ) | |||||||||||||||||||||
(142,520 | ) | 31,890 | (65,347 | ) | 51,889 | 1,883 | 6,171 | (83,263 | ) | 118,607 | ||||||||||||||||||||
(69,952 | ) | (148,715 | ) | (50,510 | ) | (71,980 | ) | (2,586 | ) | (4,073 | ) | (30,451 | ) | (93,938 | ) | |||||||||||||||
— | (248,307 | ) | — | (12,723 | ) | — | — | — | (52,794 | ) | ||||||||||||||||||||
(69,952 | ) | (397,022 | ) | (50,510 | ) | (84,703 | ) | (2,586 | ) | (4,073 | ) | (30,451 | ) | (146,732 | ) | |||||||||||||||
829,727 | 1,135,778 | (2) | 501,269 | 2,340,569 | (2) | 199,026 | 565,825 | (2) | 313,323 | 445,867 | ||||||||||||||||||||
67,526 | 384,646 | 50,469 | 84,678 | 2,544 | 3,958 | 29,470 | 142,096 | |||||||||||||||||||||||
(403,947 | ) | (3,330,376 | ) | (141,536 | ) | (309,481 | ) | (148,098 | ) | (347,511 | ) | (174,876 | ) | (262,863 | ) | |||||||||||||||
493,306 | (1,809,952 | ) | 410,202 | 2,115,766 | 53,472 | 222,272 | 167,917 | 325,100 | ||||||||||||||||||||||
280,834 | (2,175,084 | ) | 294,345 | 2,082,952 | 52,769 | 224,370 | 54,203 | 296,975 | ||||||||||||||||||||||
3,322,291 | 5,497,375 | 2,082,952 | — | 522,593 | 298,223 | 1,411,893 | 1,114,918 | |||||||||||||||||||||||
$ | 3,603,125 | $ | 3,322,291 | $ | 2,377,297 | $ | 2,082,952 | $ | 575,362 | $ | 522,593 | $ | 1,466,096 | $ | 1,411,893 | |||||||||||||||
$ | (1,231 | ) | $ | 12 | $ | (47 | ) | $ | 17 | $ | (351 | ) | $ | 41 | $ | 4,677 | $ | (6,914 | ) |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 243 |
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Consolidated Statement of Changes in Net Assets/Statements of Changes in Net Assets ($ Thousands)
For the period ended November 30, 2013 (unaudited) and the year ended May 31, 2013
Real Return Fund | Dynamic Asset Allocation Fund | Multi-Asset Real Return Fund | ||||||||||||||||||||||
06/01/13 to 11/30/13 | 06/01/12 to 05/31/13 | 06/01/13 to 11/30/13 | 06/01/12 to 05/31/13 | 06/01/13 to 11/30/13 | 06/01/12 to 05/31/13 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income | $ | 265 | $ | 2,259 | $ | 12,786 | $ | 19,134 | $ | 2,818 | $ | 2,106 | ||||||||||||
Net realized gain (loss) from investments, purchased and written options, futures contracts and swap contracts | (731 | ) | 3,756 | 1,726 | 17,617 |
| (17,929 | ) | (7,650 | ) | ||||||||||||||
Net realized gain (loss) on foreign currency transactions | — | — | (23,843 | ) | (844 | ) | (872 | ) | 271 | |||||||||||||||
Net change in unrealized appreciation (depreciation) on investments, purchased and written options, futures contracts and swap contracts | (43 | ) | (6,178 | ) | 120,572 | 157,998 |
| 11,136 |
| 2,550 | ||||||||||||||
Net change in unrealized appreciation (depreciation) on foreign currency transactions | — | — | 911 | (16,776 | ) | (550 | ) | 12 | ||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (509 | ) | (163 | ) | 112,152 | 177,129 | (5,397 | ) | (2,711 | ) | ||||||||||||||
Dividends and Distributions from: | ||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||
Class A | — | (4,654 | ) | — | (23,239 | ) | — | (970 | ) | |||||||||||||||
Net realized gains: | ||||||||||||||||||||||||
Class A | — | (5,838 | ) | — | (30,576 | ) | — | — | ||||||||||||||||
Net return of capital: | ||||||||||||||||||||||||
Class A | — | — | — | — | — | (194 | ) | |||||||||||||||||
Total Dividends and Distributions | — | (10,492 | ) | — | (53,815 | ) | — | (1,164 | ) | |||||||||||||||
Capital Share Transactions:(1) | ||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||
Proceeds from shares issued | 20,287 | 42,921 | 267,388 | 508,259 | 326,953 | 201,232 | ||||||||||||||||||
Reinvestment of dividends and distributions | — | 9,256 | — | 52,931 | — | 1,056 | ||||||||||||||||||
Cost of shares redeemed | (56,792 | ) | (71,531 | ) | (137,085 | ) | (101,522 | ) | (22,850 | ) | (34,577 | ) | ||||||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | (36,505 | ) | (19,354 | ) | 130,303 | 459,668 | 304,103 | 167,711 | ||||||||||||||||
Net Increase (Decrease) in Net Assets | (37,014 | ) | (30,009 | ) | 242,455 | 582,982 | 298,706 | 163,836 | ||||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of Period | 251,852 | 281,861 | 1,135,631 | 552,649 | 303,899 | 140,063 | ||||||||||||||||||
End of Period | $ | 214,838 | $ | 251,852 | $ | 1,378,086 | $ | 1,135,631 | $ | 602,605 | $ | 303,899 | ||||||||||||
Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Period End | $ | 1,119 | $ | 854 | $ | 8,049 | $ | (4,737 | ) | $ | 184 |
| $ | (2,634 | ) |
(1) | See Note 6 in the Notes to Financial Statements. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
244 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
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Consolidated Statement of Cash Flows ($ Thousands) (Unaudited)
For the period ended November 30, 2013
Multi-Asset Real Return Fund | ||||
Cash Flows from Operating Activities: | ||||
Net Increase (Decrease) in Net Assets from Operations | $ | (5,397 | ) | |
Adjustments to Reconcile Net Increase (Decrease) in Net Assets Resulting from Operations to Net Cash Used in Operating Activities: | ||||
Purchase of Investment Securities | (532,083 | ) | ||
Proceeds from Disposition of Investment Securities | 235,474 | |||
Purchased Options/Purchases to Cover Written Options | (589 | ) | ||
Proceeds from Sale of Options/Expired Options | 252 | |||
Amortization (Accretion of Market Discount) | 1,563 | |||
Net Realized (Gain) Loss on: | ||||
Investments | 11,192 | |||
Options | 75 | |||
Net Change in Unrealized (Appreciation) Depreciation on: | ||||
Investments | (13,986 | ) | ||
Options | (43 | ) | ||
Changes in assets: | ||||
Foreign currency, at value | (1,287 | ) | ||
Cash collateral on futures | (11,080 | ) | ||
Receivable for investment securities sold | (56 | ) | ||
Dividends and interest receivable | (2,155 | ) | ||
Receivable for variation margin | (11 | ) | ||
Swap contracts, at value | 289 | |||
Foreign tax reclaim receivable | (11 | ) | ||
Unrealized loss on forward foreign currency contracts | (222 | ) | ||
Unrealized gain on foreign spot currency contracts | 9 | |||
Prepaid Expenses | (3 | ) | ||
Changes in liabilities: | ||||
Payable for investment securities purchased | (46,946 | ) | ||
Payable for variation margin | 465 | |||
Investment advisory fees payable | 84 | |||
Swap contracts, at value | 373 | |||
Reverse repurchase agreements | 26,204 | |||
Unrealized gain on forward foreign currency contracts | 723 | |||
Unrealized gain on foreign spot currency contracts | 47 | |||
Accrued expense payable | (15 | ) | ||
Net Cash Used in Operating Activities | (337,134 | ) | ||
Cash Flows from Financing Activities: | ||||
Proceeds from Shares Issued | 397,619 | |||
Cost of Shares Redeemed | (22,981 | ) | ||
Net Cash Provided by Financing Activities | 374,638 | |||
Net Change in Cash | 37,504 | |||
Cash at beginning of period | 13 | |||
Cash at end of period | $ | 37,517 | ||
Supplemental Disclosure of Cash Flow Information | ||||
Interest Paid | $ | 29 |
The accompanying notes are an integral part of the financial statements.
246 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
For the period ended November 30, 2013 (unaudited) and the years or period 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 20.94 | $ | 0.15 | $ | 2.78 | $ | 2.93 | $ | (0.16 | ) | $ | — | $ | (0.16 | ) | $ | 23.71 | 14.06 | % | $ | 2,137,961 | 0.18 | % | 0.18 | % | 0.46 | % | 1.36 | % | 27 | % | ||||||||||||||||||||||||||||
2013 | 17.07 | 0.34 | 4.38 | 4.72 | (0.33 | ) | (0.52 | ) | (0.85 | ) | 20.94 | 28.44 | 1,897,837 | 0.19 | (6) | 0.19 | (6) | 0.46 | (6) | 1.79 | 47 | |||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Large Cap Diversified Alpha Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 11.59 | $ | 0.07 | $ | 1.56 | $ | 1.63 | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | $ | 13.17 | 14.15 | % | $ | 322,330 | 0.24 | % | 0.24 | % | 0.46 | % | 1.22 | % | 66 | % | ||||||||||||||||||||||||||||
2013 | 9.41 | 0.16 | 2.22 | 2.38 | (0.20 | ) | — | (0.20 | ) | 11.59 | 25.66 | 309,577 | 0.24 | 0.24 | 0.46 | 1.55 | 82 | |||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
Large Cap Disciplined Equity Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 13.24 | $ | 0.12 | $ | 1.41 | $ | 1.53 | $ | (0.03 | ) | $ | — | $ | (0.03 | ) | $ | 14.74 | 11.60 | % | $ | 4,848,517 | 0.18 | %(9) | 0.18 | %(9) | 0.47 | %(9) | 1.73 | % | 53 | % | ||||||||||||||||||||||||||||
2013 | 10.58 | 0.21 | 2.73 | 2.94 | (0.28 | ) | — | (0.28 | ) | 13.24 | 28.24 | 5,500,315 | 0.17 | (5) | 0.17 | (5) | 0.46 | (5) | 1.80 | 109 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Large Cap Index Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 140.87 | $ | 1.46 | $ | 15.63 | $ | 17.09 | $ | (1.47 | ) | — | $ | (1.47 | ) | $ | 156.49 | 12.24 | % | $ | 2,077,397 | 0.02 | % | 0.02 | % | 0.21 | % | 1.96 | % | 3 | % | |||||||||||||||||||||||||||||
2013 | 113.85 | 2.77 | 28.02 | 30.79 | (2.61 | ) | (1.16 | ) | (3.77 | ) | 140.87 | 27.55 | 2,214,088 | 0.03 | 0.03 | 0.23 | 2.18 | 14 | ||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
Extended Market Index Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 10.77 | $ | 0.08 | $ | 1.55 | $ | 1.63 | $ | (0.06 | ) | $ | — | $ | (0.06 | ) | $ | 12.34 | 15.23 | % | $ | 345,517 | 0.07 | % | 0.07 | % | 0.18 | % | 1.32 | % | 14 | % | ||||||||||||||||||||||||||||
2013(7) | 10.00 | 0.03 | 0.75 | 0.78 | (0.01 | ) | — | (0.01 | ) | 10.77 | 7.84 | 174,107 | 0.11 | 0.11 | 0.22 | 1.30 | 4 | |||||||||||||||||||||||||||||||||||||||||||
Small Cap Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 15.42 | $ | 0.06 | $ | 2.63 | $ | 2.69 | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | $ | 18.06 | 17.49 | % | $ | 777,708 | 0.47 | % | 0.47 | % | 0.72 | % | 0.78 | % | 33 | % | ||||||||||||||||||||||||||||
2013 | 12.04 | 0.13 | 3.42 | 3.55 | (0.17 | ) | — | (0.17 | ) | 15.42 | 29.71 | 778,976 | 0.47 | 0.47 | 0.71 | 1.01 | 85 | |||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Small Cap II Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 12.23 | $ | 0.03 | $ | 2.12 | $ | 2.15 | $ | (0.04 | ) | $ | — | $ | (0.04 | ) | $ | 14.34 | 17.60 | % | $ | 218,053 | 0.47 | %(8) | 0.47 | %(8) | 0.71 | %(8) | 0.53 | % | 46 | % | ||||||||||||||||||||||||||||
2013 | 9.62 | 0.09 | 2.64 | 2.73 | (0.09 | ) | (0.03 | ) | (0.12 | ) | 12.23 | 28.54 | 221,697 | 0.48 | 0.48 | 0.72 | 0.88 | 113 | ||||||||||||||||||||||||||||||||||||||||||
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, 2013. 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 year ended May 31, 2009. |
** | 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. |
(6) | The expense ratio includes interest expense. Had this expense been excluded, the ratios would have been 0.19%, 0.19% and 0.46%, respectively. |
(7) | Commenced operations on February 28, 2013. All ratios for the period have been annualized. |
(8) | The expense ratio includes interest expense. Had this expense been excluded, the ratios would have been 0.47%, 0.47% and 0.71%, respectively. |
(9) | The expense ratio includes interest expense. Had this expense been excluded, the ratios would have been 0.18%, 0.18% and 0.41%, respectively. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 247 |
Table of Contents
Financial Highlights
For the period ended November 30, 2013 (unaudited) and the years or period ended May 31,
For a share outstanding throughout each period
Net Asset Value, Beginning of Period | Net Investment Income(1) | Net | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($ 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 15.69 | $ | 0.06 | $ | 2.47 | $ | 2.53 | $ | (0.06 | ) | $ | — | $ | (0.06 | ) | $ | 18.16 | 16.13 | % | $ | 1,965,121 | 0.46 | % | 0.46 | % | 0.72 | % | 0.66 | % | 29 | % | ||||||||||||||||||||||||||||
2013 | 12.34 | 0.14 | 3.45 | 3.59 | (0.15 | ) | (0.09 | ) | (0.24 | ) | 15.69 | 29.49 | 2,153,745 | 0.46 | 0.46 | 0.71 | 1.02 | 92 | ||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
U.S. Managed Volatility Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 13.54 | $ | 0.17 | $ | 1.40 | $ | 1.57 | $ | (0.17 | ) | $ | — | $ | (0.17 | ) | $ | 14.94 | 11.73 | % | $ | 1,179,091 | 0.23 | % | 0.23 | % | 0.70 | % | 2.36 | % | 33 | % | ||||||||||||||||||||||||||||
2013 | 11.39 | 0.32 | 2.37 | 2.69 | (0.31 | ) | (0.23 | ) | (0.54 | ) | 13.54 | 24.19 | 1,145,980 | 0.24 | 0.24 | 0.71 | 2.55 | 41 | ||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
World Equity Ex-US Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 11.51 | $ | 0.09 | $ | 1.02 | $ | 1.11 | $ | — | $ | — | $ | — | $ | 12.62 | 9.64 | % | $ | 6,532,920 | 0.34 | % | 0.34 | % | 0.62 | % | 1.47 | % | 19 | % | ||||||||||||||||||||||||||||||
2013 | 9.24 | 0.25 | 2.24 | 2.49 | (0.22 | ) | — | (0.22 | ) | 11.51 | 27.11 | 6,192,852 | 0.35 | 0.35 | 0.62 | 2.30 | 52 | |||||||||||||||||||||||||||||||||||||||||||
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 | (4) | 0.45 | (4) | 0.66 | (4) | 3.03 | 171 | |||||||||||||||||||||||||||||||||||||||
Screened World Equity Ex-US Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 8.66 | $ | 0.06 | $ | 0.82 | $ | 0.88 | $ | — | $ | — | $ | — | $ | 9.54 | 10.16 | % | $ | 70,580 | 0.47 | % | 0.47 | % | 0.88 | % | 1.27 | % | 22 | % | ||||||||||||||||||||||||||||||
2013 | 7.02 | 0.15 | 1.64 | 1.79 | (0.15 | ) | — | (0.15 | ) | 8.66 | 25.69 | 62,521 | 0.50 | 0.50 | 0.89 | 1.81 | 76 | |||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Opportunistic Income Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 8.26 | $ | 0.08 | $ | (0.02 | ) | $ | 0.06 | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | $ | 8.27 | 0.75 | % | $ | 1,708,094 | 0.22 | %(6) | 0.22 | %(6) | 0.51 | %(6) | 2.00 | % | 115 | % | |||||||||||||||||||||||||||
2013 | 7.97 | 0.12 | 0.34 | 0.46 | (0.17 | ) | — | (0.17 | ) | 8.26 | 5.78 | 996,522 | 0.21 | 0.26 | 0.52 | 1.41 | 26 | |||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Core Fixed Income Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 10.54 | $ | 0.14 | $ | (0.19 | ) | $ | (0.05 | ) | $ | (0.15 | ) | $ | — | $ | (0.15 | ) | $ | 10.34 | (0.43 | )% | $ | 5,830,778 | 0.12 | % | 0.12 | % | 0.35 | % | 2.79 | % | 165 | % | ||||||||||||||||||||||||||
2013 | 10.63 | 0.27 | 0.06 | 0.33 | (0.29 | ) | (0.13 | ) | (0.42 | ) | 10.54 | 3.12 | 6,484,218 | 0.13 | 0.13 | 0.36 | 2.53 | 315 | ||||||||||||||||||||||||||||||||||||||||||
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 | (5) | 0.16 | (5) | 0.38 | (5) | 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 |
@ | For the six-month period ended November 30, 2013. 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 0.45%, 0.45% and 0.66%, respectively. |
(5) | The expense ratio includes interest expense. Had this expense been excluded, the ratios would have been 0.14%, 0.14% and 0.36%, respectively. |
(6) | The expense ratio includes interest expense. Had this expense been excluded, the ratios would have been 0.22%, 0.22% and 0.51%, respectively. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
248 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Financial Highlights
For the period ended November 30, 2013 (unaudited) and the years or period ended May 31,
For a share outstanding throughout each period
Net Asset Value, Beginning of Period | Net Investment | Net | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($ 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† | ||||||||||||||||||||||||||||||||||||||||||||||
High Yield Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 10.01 | $ | 0.32 | $ | (0.07 | ) | $ | 0.25 | $ | (0.32 | ) | $ | — | $ | (0.32 | ) | $ | 9.94 | 2.57 | % | $ | 2,159,959 | 0.30 | % | 0.30 | % | 0.56 | % | 6.57 | % | 27 | % | |||||||||||||||||||||||||||
2013 | 9.30 | 0.71 | 0.69 | 1.40 | (0.69 | ) | — | (0.69 | ) | 10.01 | 15.46 | 2,162,551 | 0.30 | (7) | 0.30 | (7) | 0.56 | (7) | 7.23 | 72 | ||||||||||||||||||||||||||||||||||||||||
2012 | 9.58 | 0.74 | (0.29 | ) | 0.45 | (0.72 | ) | (0.01 | ) | (0.73 | ) | 9.30 | 5.09 | 1,914,780 | 0.35 | (5) | 0.35 | (5) | 0.56 | (5) | 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 | |||||||||||||||||||||||||||||||||||||||
Long Duration Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 8.75 | $ | 0.18 | $ | (0.55 | ) | $ | (0.37 | ) | $ | (0.18 | ) | $ | — | $ | (0.18 | ) | $ | 8.20 | (4.26 | )% | $ | 3,603,125 | 0.16 | % | 0.16 | % | 0.37 | % | 4.28 | % | 47 | % | ||||||||||||||||||||||||||
2013 | 9.65 | 0.36 | (0.25 | ) | 0.11 | (0.36 | ) | (0.65 | ) | (1.01 | ) | 8.75 | 0.78 | 3,322,291 | 0.16 | 0.16 | 0.37 | 3.80 | 96 | |||||||||||||||||||||||||||||||||||||||||
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 | (4) | 0.20 | (4) | 0.37 | (4) | 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 | ||||||||||||||||||||||||||||||||||||||||
Long Duration Corporate Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 9.93 | $ | 0.22 | $ | (0.55 | ) | $ | (0.33 | ) | $ | (0.22 | ) | $ | — | $ | (0.22 | ) | $ | 9.38 | (3.33 | )% | $ | 2,377,297 | 0.15 | % | 0.15 | % | 0.36 | % | 4.61 | % | 68 | % | ||||||||||||||||||||||||||
2013(6) | 10.00 | 0.39 | 0.00 | ‡ | 0.39 | (0.39 | ) | (0.07 | ) | (0.46 | ) | 9.93 | 3.75 | 2,082,952 | 0.15 | 0.15 | 0.36 | 4.08 | 100 | |||||||||||||||||||||||||||||||||||||||||
Ultra Short Duration Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 10.04 | $ | 0.04 | $ | — | $ | 0.04 | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | $ | 10.03 | 0.84 | % | $ | 575,362 | 0.11 | % | 0.11 | % | 0.21 | % | 0.88 | % | 66 | % | ||||||||||||||||||||||||||||
2013 | 9.95 | 0.10 | 0.11 | 0.21 | (0.12 | ) | — | (0.12 | ) | 10.04 | 2.14 | 522,593 | 0.12 | 0.12 | 0.21 | 1.02 | 178 | |||||||||||||||||||||||||||||||||||||||||||
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(3) | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 11.11 | $ | 0.32 | $ | (0.99 | ) | $ | (0.67 | ) | $ | (0.23 | ) | $ | — | $ | (0.23 | ) | $ | 10.21 | (6.02 | )% | $ | 1,466,096 | 0.47 | % | 0.47 | % | 0.95 | % | 6.05 | % | 46 | % | ||||||||||||||||||||||||||
2013 | 11.22 | 0.56 | 0.65 | 1.21 | (0.84 | ) | (0.48 | ) | (1.32 | ) | 11.11 | 10.64 | 1,411,893 | 0.48 | 0.48 | 0.94 | 4.79 | 119 | ||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Real Return Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 9.86 | $ | 0.01 | $ | (0.03 | ) | $ | (0.02 | ) | $ | — | $ | — | $ | — | $ | 9.84 | (0.20 | )% | $ | 214,838 | 0.07 | % | 0.07 | % | 0.28 | % | 0.22 | % | 17 | % | ||||||||||||||||||||||||||||
2013 | 10.29 | 0.09 | (0.10 | ) | (0.01 | ) | (0.18 | ) | (0.24 | ) | (0.42 | ) | 9.86 | (0.15 | ) | 251,852 | 0.11 | 0.11 | 0.28 | 0.87 | 97 | |||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Dynamic Asset Allocation Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 12.81 | $ | 0.13 | $ | 0.99 | $ | 1.12 | $ | — | $ | — | $ | — | $ | 13.93 | 8.74 | % | $ | 1,378,086 | 0.07 | % | 0.07 | % | 0.65 | % | 2.04 | % | 7 | % | ||||||||||||||||||||||||||||||
2013 | 11.14 | 0.30 | 2.20 | 2.50 | (0.35 | ) | (0.48 | ) | (0.83 | ) | 12.81 | 23.75 | 1,135,631 | 0.10 | 0.10 | 0.66 | 2.50 | 35 | ||||||||||||||||||||||||||||||||||||||||||
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 | ) | — |
@ | For the six-month period ended November 30, 2013. All ratios for the period have been annualized. |
* | Includes a return of capital of $0.06 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. |
‡ | Amount represents less than $0.01. |
(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) | Commenced operations on February 28, 2011. All ratios for the period have been annualized. |
(4) | The expense ratio includes interest expense. Had this expense been excluded, the ratios would have been 0.20%, 0.20% and 0.37%, respectively. |
(5) | The expense ratio includes interest expense. Had this expense been excluded, the ratios would have been 0.35%, 0.35% and 0.56%, respectively. |
(6) | Commenced operations on June 29, 2012. All ratios for the period have been annualized. |
(7) | The expense ratio includes interest expense. Had this expense been excluded, the ratios would have been 0.30%, 0.30% and 0.56%, respectively. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 249 |
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Consolidated Financial Highlights
For the period ended November 30, 2013 (unaudited) and the years or period ended May 31,
For a share outstanding throughout each period
Net Asset Value, Beginning of Period | Net Investment | Net | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($ 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† | ||||||||||||||||||||||||||||||||||||||||||||||
Multi-Asset Real Return Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 9.19 | $ | 0.06 | $ | (0.22 | ) | $ | (0.16 | ) | $ | — | $ | — | $ | — | $ | 9.03 | (1.74 | )% | $ | 602,605 | 0.29 | %(5) | 0.29 | %(5) | 0.62 | %(5) | 1.24 | % | 49 | % | ||||||||||||||||||||||||||||
2013 | 9.25 | 0.11 | (0.10 | )(4) | 0.01 | (0.07 | )** | — | (0.07 | ) | 9.19 | 0.07 | 303,899 | 0.32 | (3) | 0.32 | (3) | 0.66 | (3) | 1.11 | 49 | |||||||||||||||||||||||||||||||||||||||
2012(1) | 10.00 | 0.10 | (0.84 | ) | (0.74 | ) | (0.01 | ) | — | (0.01 | ) | 9.25 | (7.37 | ) | 140,063 | 0.41 | (2) | 0.41 | (2) | 0.66 | (2) | 1.23 | 58 |
@ | For the six-month period ended November 30, 2013. All ratios for the period have been annualized. |
** | Includes a return of capital of $0.01 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) | Commenced operations on July 29, 2011. All ratios for the period have been annualized. |
(2) | 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. |
(3) | The expense ratio includes interest expense on reverse repurchase agreements. Had this expense been excluded, the ratios would have been 0.29%, 0.29% and 0.63%, respectively. |
(4) | The amount shown for the year ended May 31, 2013, for a share outstanding throughout the period does not accord with the aggregate net gains on investments for that period because of the sales and repurchases of Fund shares in relation to fluctuating market value of the investments of the Fund. |
(5) | The expense ratio includes interest expense on reverse repurchase agreements. Had this expense been excluded, the ratios would have been 0.28%, 0.28% and 0.61%, respectively. |
250 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
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Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited)
November 30, 2013
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 24 registered funds: Large Cap, Large Cap Diversified Alpha, Large Cap Disciplined Equity, Large Cap Index, Extended Market Index, Small Cap, Small Cap II, Small/Mid Cap Equity, U.S. Managed Volatility, World Equity Ex-US, Screened World Equity Ex-US, Opportunistic Income, 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, 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 and Multi-Asset Real Return Funds. 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.
The Multi-Asset Real Return Commodity Strategy Subsidiary, Ltd. is a wholly-owned subsidiary of the Multi-Asset Real Return Fund (the “Subsidiary”). The Subsidiary is organized under the laws of the Cayman Islands as an exempt limited company. Information regarding the Multi-Asset Real Return Fund and its respective subsidiary has been consolidated in the Consolidated Schedule of Investments, Consolidated Statement of Assets and Liabilities, Consolidated Statement of Operations, Consolidated Statement of Changes in Net Assets and Consolidated Statement of Cash Flows.
As of November 30, 2013, the Strategic U.S. Large Cap Equity, Emerging Markets Equity and Global Equity Funds have not yet commenced operations.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies followed by the Funds.
Use of Estimates — The preparation of financial statements, in conformity with U.S. generally accepted accounting principles (“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) and 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.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 251 |
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Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
November 30, 2013
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 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 orderly 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, 2013 maximized the use of observable inputs and minimized the use of unobservable inputs.
For the six-month period ended November 30, 2013, 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
252 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
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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, 2013 were as follows:
Multi-Asset Real Return Fund | ||||||||
Principal Amount ($ Thousands) | Counterparty | Value ($ Thousands) | ||||||
$5,922 | Bank of America 0.17% | $ | 5,922 | |||||
2,090 | Bank of America 0.17% | 2,090 | ||||||
3,150 | Bank of America 0.17% | 3,150 | ||||||
1,018 | Bank of America 0.17% | 1,018 | ||||||
5,087 | Bank of America 0.16% | 5,087 | ||||||
6,069 | Bank of America 0.16% | 6,069 | ||||||
13,519 | JPMorgan Securities 0.13% | 13,519 | ||||||
7,085 | Barclays 0.10% | 7,085 | ||||||
20,618 | Barclays 0.08% | 20,618 | ||||||
|
| |||||||
$ | 64,558 | |||||||
|
|
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.
Commodity-Linked Investments — To the extent consistent with its Investment Objective and Strategies, the Multi-Asset Real Return Fund may invest in commodity investments to provide exposure to the investment returns of the commodities markets. Commodity investments include notes with interest payments that are tied to an underlying commodity or commodity index, ETFs or other exchange-traded products that are tied to the performance of a commodity or commodity index or other types of investment vehicles or instruments that provide returns that are tied to commodities or commodity indices. The Multi-Asset Real Return Fund may also invest in equity securities of issuers in commodity-related industries.
The Multi-Asset Real Return Fund may also seek to gain exposure to the commodity markets, in whole or in part, through investments in a wholly owned Subsidiary. The Subsidiary, unlike the Fund, may invest to a significant extent directly in commodities and in equity-linked securities and commodity-linked derivative instruments, including options, futures contracts, swaps, options on futures contracts and commodity-linked structured notes. The Subsidiary may also invest in other instruments in which the Fund is permitted to invest, either as investments or to serve as margin or collateral for its derivative positions. A Fund may invest up to 25% of its total assets in its Subsidiary.
In order for a Fund to qualify as a regulated investment company under Subchapter M of the Code, the Fund must derive at least 90% of its gross income each taxable year from qualifying income. The status of certain commodity-linked derivative instruments as qualifying income has been addressed in Revenue Ruling 2006-1 and Revenue Ruling 2006-31 which provide that income from certain commodity-linked derivative instruments in which the Fund invests will not be considered qualifying income. To the extent the Multi-Asset Real Return Fund invests in such instruments directly, each Fund will seek to restrict its income from commodity-linked derivative instruments that do not generate qualifying income, such as commodity-linked swaps, to a maximum of 10% of its gross income (when combined with its other investments that produce non-qualifying income).
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.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 253 |
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Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
November 30, 2013
Forward Foreign Currency Contracts — To the extent consistent with its investment objective and strategies, a Fund may enter into forward foreign currency contracts as hedges against either specific transactions, fund positions or anticipated fund positions. All commitments are marked-to-market daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. The Fund realizes gains and losses at the time forward contracts are extinguished. Unrealized gains or losses on outstanding positions in forward foreign currency contracts held at the close of the period are recognized as ordinary income or loss for Federal income tax purposes. A Fund could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments or Summary Schedule of Investments for details regarding open forward foreign currency contracts as of November 30, 2013, 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, 2013, if applicable.
Options/Swaptions Written/Purchased — 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/swaption contracts as of November 30, 2013, 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, 2013, 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, 2013, none of the Funds held any short positions.
254 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
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Swap Agreements — To the extent consistent with its investment objective and strategies, a Fund may invest in swap contracts mainly as an efficient means to take and manage risk in the portfolio, including interest rate risk, credit risk and overall yield sensitivity. A swap agreement is a two-party contract under which an agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or “basket” of securities representing a particular index. Swap agreements are privately negotiated in the over-the-counter market (“OTC swaps”) or may be executed in a multilateral or other trade facility platform, such as a registered commodities exchange (“Centrally Cleared swaps”). 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. 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 bonds), 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. Daily changes in valuation of Centrally Cleared swaps, if any, are recorded as a receivable or payable for the change in value as appropriate (“variation margin”) on the Statements of Assets and Liabilities.
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, 2013, 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
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 255 |
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Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
November 30, 2013
upon receipt by the Lender of the payments from the borrower. In connection with purchasing Participations, the Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement relating to the Loan, nor any rights of set-off against the borrower, and the Fund will not benefit directly from any collateral supporting the Loan in which it has purchased the Participation. As a result, the Fund assumes the credit risk of both the borrower and the Lender that is selling the Participation.
Certain debt obligations, customarily referred to as “Brady Bonds,” are created through the exchange of existing commercial bank loans to foreign entities for new obligations in connection with debt restructuring under a plan introduced by former U.S. Secretary of the Treasury Nicholas F. Brady. Brady Bonds have only been issued since 1989, and, accordingly, do not have a long payment history. They are issued by governments that may have previously defaulted on the loans being restructured by the Brady Bonds, so they are subject to the risk of default by the issuer. They may be fully or partially collateralized or uncollateralized and issued in various currencies.
Collateralized Debt Obligations — To the extent consistent with its investment objective and strategies, a Fund may invest in collateralized debt obligations (“CDOs”), which include collateralized loan obligations (“CLOs”) and other similarly structured securities. CLOs are a type of asset-backed security. A CLO is a trust, typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. CDOs may charge management fees and administrative expenses.
For CDOs, the cashflows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the “equity” tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches 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, Extended Market Index, Small Cap, Small Cap II, Small/Mid Cap Equity, U.S. Managed Volatility, Opportunistic Income, 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 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, 2013, 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, 2013, were as follows:
Face Amount ($ Thousands)/ 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 | $ | — | $ | 1 | 0.00 | % | ||||||||||||||
VSS AHC, Cl A | 29,628 | 9/25/09 | 9/25/09 | 551 | 179 | 0.01 | ||||||||||||||||||
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$ | 551 | $ | 180 | 0.02 | % | |||||||||||||||||||
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256 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
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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.
Investment in Subsidiary — The Multi-Asset Real Return Fund may invest in its own Subsidiary. By investing in a Subsidiary, the Fund is indirectly exposed to the risks associated with the Subsidiary’s investments. The commodity-related instruments held by a Subsidiary are generally similar to those that are permitted to be held by the applicable Fund and are subject to the same risks that apply to similar investments if held directly by the Fund. A Subsidiary, however, is not registered under the 1940 Act and will not be subject to all of the investor protections of the 1940 Act. Thus, the Multi-Asset Real Return Fund, as investors in their own Subsidiary, will not have all of the protections offered to investors in registered investment companies.
However, the Fund wholly owns and controls its Subsidiary, and the Fund and the Subsidiary are each managed by SIMC, making it unlikely that the Subsidiary will take action contrary to the interests of the applicable Fund or its shareholders. While a Subsidiary has its own Board of Directors that is responsible for overseeing the operations of such Subsidiary, the respective Fund’s Board has oversight responsibility for the investment activities of the Fund, including its investment in the respective Subsidiary, and the Fund’s role as the sole shareholder of such Subsidiary. It is not currently expected that shares of the Subsidiary will be sold or offered to investors other than the respective Fund.
Changes in the laws of the United States and/or the Cayman Islands or governmental interpretation of such laws, under which the Fund and the Subsidiary, respectively, are organized, could result in the inability of the Fund and/or its respective Subsidiary to operate as intended and could negatively affect the Fund and its shareholders. For example, Cayman Islands law does not currently impose any income, corporate or capital gains tax, estate duty, inheritance tax, gift tax or withholding tax on the Subsidiaries. If Cayman Islands law changes such that the Subsidiaries must pay Cayman Islands governmental authority taxes, Fund shareholders would likely suffer decreased investment return.
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.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 257 |
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Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
November 30, 2013
As of November 30, 2013, the High Yield Bond, Multi-Asset Real Return and Long Duration Funds are the buyers (“receiving protection”) on a total notional amount of $17.9 million, $4.2 million and $5 million, respectively. Additionally, the Core Fixed Income and Multi-Asset Real Return Funds are the sellers (“providing protection”) on a total notional amount of $3.6 million and $10.6 million, respectively. The notional amounts of the swaps are not recorded in the financial statements; however the notional amounts approximate the maximum potential amount of future payments that the Fund could be required to make if the Fund was the seller of protection and a credit event were to occur. Those credit default swaps (“CDS”) for which the Fund is providing protection at balance sheet date are summarized as follows:
CORE FIXED INCOME FUND WRITTEN CREDIT DERIVATIVE CONTRACTS | SINGLE NAME CDS | CDS ON AN INDEX | ||||||||||||||||||
REFERENCE ASSET | CORP US$ | SOVEREIGN US$ | ABS US$ | CORP US$ | Total | |||||||||||||||
Fair value of written credit derivatives | $ | 44,397 | — | — | — | $ | 44,397 | |||||||||||||
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 | — | — | $ | 3,560,000 | — | — | $ | 3,560,000 | ||||||||||||||||
> than 100 | — | — | — | — | — | — | ||||||||||||||||||
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. |
MULTI-ASSET REALRETURN 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 | $ | 28,967 | — | — | $ | 189,067 | $ | 218,034 | ||||||||||||
Maximum potential amount of future payments | 442,309 | — | — | 10,190,000 | 10,632,309 | |||||||||||||||
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 REALRETURN FUND | 0-6 MONTHS | 6-12 MONTHS | 1-5 YEARS | 5-10 YEARS | > 10 YEARS | Total | ||||||||||||||||||
Current credit spread* on underlying (in basis points) | ||||||||||||||||||||||||
0-100 | — | — | $ | 7,362,309 | — | — | $ | 7,362,309 | ||||||||||||||||
100-200 | — | — | — | 3,000,000 | — | 3,000,000 | ||||||||||||||||||
> than 200 | — | — | — | — | — | — | ||||||||||||||||||
Total | — | — | $ | 7,362,309 | — | — | $ | 10,362,309 |
* | 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.
258 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
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4. DERIVATIVE TRANSACTIONS
The fair value of derivative instruments as of November 30, 2013 was as follows:
Asset Derivatives | Liability Derivatives | |||||||||||
Six-month period ended November 30, 2013 ($ Thousands) | Six-month period ended November 30, 2013 ($ Thousands) | |||||||||||
Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | |||||||||
Derivatives not accounted for as hedging instruments: |
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World Equity Ex-US Fund | ||||||||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 915 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 323 | * | ||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 183 | Unrealized loss on forward foreign currency contracts | 440 | ||||||||
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|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 1,098 | $ | 763 | ||||||||
|
|
|
| |||||||||
Screened World Equity Ex-US Fund | ||||||||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 100 | * | Net Assets — Unrealized depreciation on futures contracts | $ | — | * | ||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 3 | Unrealized loss on forward foreign currency contracts | 7 | ||||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 103 | $ | 7 | ||||||||
|
|
|
| |||||||||
Core Fixed Income Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 437 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 1,319 | * | ||||
Net Assets — Unrealized appreciation on swap contracts | 4,724 | † | Net Assets — Unrealized depreciation on swap contracts | 2,807† | ||||||||
Options purchased, at value | 335 | Options written, at value | 132 | |||||||||
Swaptions purchased, at value | 3,962 | Swaptions written, at value | — | |||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 1,170 | Unrealized loss on forward foreign currency contracts | 1,066 | ||||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | 156 | † | Net Assets — Unrealized depreciation on swap contracts | — | † | ||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 10,784 | $ | 5,324 | ||||||||
|
|
|
| |||||||||
Long Duration Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 421 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 229 | * | ||||
Net Assets — Unrealized appreciation on swap contracts | 1,382 | † | Net Assets — Unrealized depreciation on swap contracts | — | † | |||||||
Credit contracts | Net Assets — Unrealized depreciation on swap contracts | — | † | Net Assets — Unrealized depreciation on swap contracts | 270† | |||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 1,803 | $ | 499 | ||||||||
|
|
|
| |||||||||
Emerging Markets Debt Fund | ||||||||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 30 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 3 | * | ||||
Net Assets — Unrealized appreciation on swap contracts | — | † | Net Assets — Unrealized depreciation on swap contracts | 5,851 | † | |||||||
Interest rate contracts | Net Assets — Unrealized appreciation on swap contracts | — | † | Net Assets — Unrealized depreciation on swap contracts | 156 | † | ||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 4,083 | Unrealized loss on forward foreign currency contracts | 4,209 | ||||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 4,113 | $ | 10,219 | ||||||||
|
|
|
| |||||||||
Dynamic Asset Allocation Fund | ||||||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | $ | 7,869 | Unrealized loss on forward foreign currency contracts | $ | — | ||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | — | * | Net Assets — Unrealized depreciation on futures contracts | 6,552 | * | ||||||
Equity contracts | Options purchased, at value | 392 | Options written, at value | — | ||||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 8,261 | $ | 6,552 | ||||||||
|
|
|
|
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 259 |
Table of Contents
Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
November 30, 2013
Asset Derivatives | Liability Derivatives | |||||||||||
Six-month period ended November 30, 2013 ($ Thousands) | Six-month period ended November 30, 2013 ($ Thousands) | |||||||||||
Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | |||||||||
Multi-Asset Real Return Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 8 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 30 | * | ||||
Net Assets — Unrealized appreciation on swap contracts | 150 | † | Net Assets — Unrealized depreciation on swap contracts | 28 | † | |||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 1,547 | Unrealized loss on forward foreign currency contracts | 739 | ||||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | 124 | † | Net Assets — Unrealized depreciation on swap contracts | 128 | † | ||||||
Equity contracts | Net Assets — Unrealized appreciation on swap contracts | 119 | † | Net Assets — Unrealized depreciation on swap contracts | 428 | † | ||||||
Purchased options, at value | 322 | Options written, at value | — | |||||||||
Commodity contracts | Net Assets — Unrealized appreciation on futures contracts | 1,634 | * | Net Assets — Unrealized depreciation on futures contracts | 3,512 | * | ||||||
|
|
|
| |||||||||
Total Derivatives not accounted for as hedging instruments | $ | 3,904 | $ | 4,865 | ||||||||
|
|
|
|
* | 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 OTC swap contracts that have paid premiums. For centrally cleared swap contracts current days variation margin is reported within the statements of Assets & Liabilities. |
The effect of derivative instruments on the Statements of Operations for the six-month period ended November 30, 2013.
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 | |||||||||||||||
World Equity Ex-US Fund | ||||||||||||||||||||
Foreign exchange contracts | $ | — | $ | — | $ | (200 | ) | $ | — | $ | (200 | ) | ||||||||
Equity contracts | — | 26,639 | — | — | 26,639 | |||||||||||||||
Total | $ | — | $ | 26,639 | $ | (200 | ) | $ | — | $ | 26,439 | |||||||||
Screened World Equity Ex-US Fund | ||||||||||||||||||||
Foreign exchange contracts | $ | — | $ | — | $ | 11 | $ | — | $ | 11 | ||||||||||
Equity contracts | — | 219 | — | — | 219 | |||||||||||||||
Total | $ | — | $ | 219 | $ | 11 | $ | — | $ | 230 | ||||||||||
Core Fixed Income Fund | ||||||||||||||||||||
Interest rate contracts | $ | 1,721 | $ | 11,580 | $ | — | $ | 606 | $ | 13,907 | ||||||||||
Foreign exchange contracts | (71 | ) | — | (396 | ) | — | (467 | ) | ||||||||||||
Credit contracts | — | — | — | (68 | ) | (68 | ) | |||||||||||||
Total | $ | 1,650 | $ | 11,580 | $ | (396 | ) | $ | 538 | $ | 13,372 | |||||||||
Long Duration Fund | ||||||||||||||||||||
Interest rate contracts | $ | — | $ | (7,727 | ) | $ | — | $ | (75 | ) | $ | (7,802 | ) | |||||||
Credit contracts | — | — | — | (62 | ) | (62 | ) | |||||||||||||
Total | $ | — | $ | (7,727 | ) | $ | — | $ | (137 | ) | $ | (7,864 | ) | |||||||
Emerging Markets Debt Fund | ||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | — | $ | (444 | ) | $ | (444 | ) | ||||||||
Foreign exchange contracts | (632 | ) | — | (2,604 | ) | — | (3,236 | ) | ||||||||||||
Equity contracts | — | (257 | ) | — | (1,164 | ) | (1,421 | ) | ||||||||||||
Credit contracts | — | — | — | — | — | |||||||||||||||
Total | $ | (632 | ) | $ | (257 | ) | $ | (2,604 | ) | $ | (1,608 | ) | $ | (5,101 | ) | |||||
Dynamic Asset Allocation Fund | ||||||||||||||||||||
Foreign exchange contracts | $ | — | $ | — | $ | (23,843 | ) | $ | — | $ | (23,843 | ) | ||||||||
Equity contracts | 74 | (102 | ) | — | — | (28 | ) | |||||||||||||
Total | $ | 74 | $ | (102 | ) | $ | (23,843 | ) | $ | — | $ | (23,871 | ) | |||||||
Multi-Asset Real Return Fund | ||||||||||||||||||||
Interest rate contracts | $ | — | $ | 41 | $ | — | $ | (62 | ) | $ | (21 | ) | ||||||||
Foreign exchange contracts | — | — | (611 | ) | — | (611 | ) | |||||||||||||
Commodity contracts | — | (1,194 | ) | — | — | (1,194 | ) | |||||||||||||
Equity contracts | (75 | ) | — | — | (5,440 | ) | (5,515 | ) | ||||||||||||
Credit contracts | — | — | — | (7 | ) | (7 | ) | |||||||||||||
Total | $ | (75 | ) | $ | (1,153 | ) | $ | (611 | ) | $ | (5,509 | ) | $ | (7,348 | ) |
260 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Change in unrealized appreciation or (depreciation) on derivatives recognized in income ($ Thousands):
Derivatives Not Accounted for as Hedging Instruments | Swaptions | Options | Futures | Forward Currency Contracts | Swaps | Total | ||||||||||||||||||
World Equity Ex-US Fund | ||||||||||||||||||||||||
Foreign exchange contracts | $ | — | $ | — | $ | — | $ | (257 | ) | $ | — | $ | (257 | ) | ||||||||||
Equity contracts | — | — | 594 | — | — | 594 | ||||||||||||||||||
Total | $ | — | $ | — | $ | 594 | $ | (257 | ) | $ | — | $ | 337 | |||||||||||
Screened World Equity Ex-US Fund | ||||||||||||||||||||||||
Foreign exchange contracts | $ | — | $ | — | $ | — | $ | (4 | ) | $ | — | $ | (4 | ) | ||||||||||
Equity contracts | — | — | 19 | — | — | 19 | ||||||||||||||||||
Total | $ | — | $ | — | $ | 19 | $ | (4 | ) | $ | — | $ | 15 | |||||||||||
Core Fixed Income Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | 1,414 | $ | 34 | $ | (3,879 | ) | $ | — | $ | 798 | $ | (1,633 | ) | ||||||||||
Foreign exchange contracts | — | — | — | (1,321 | ) | — | (1,321 | ) | ||||||||||||||||
Equity contracts | — | — | — | — | — | — | ||||||||||||||||||
Credit contracts | — | — | — | — | 229 | 229 | ||||||||||||||||||
Total | $ | 1,414 | $ | 34 | $ | (3,879 | ) | $ | (1,321 | ) | $ | 1,027 | $ | (2,725 | ) | |||||||||
Long Duration Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | 675 | $ | — | $ | 706 | $ | 1,381 | ||||||||||||
Credit contracts | — | — | — | — | 19 | 19 | ||||||||||||||||||
Total | $ | — | $ | — | $ | 675 | $ | — | $ | 725 | $ | 1,400 | ||||||||||||
Emerging Markets Debt Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | — | $ | — | $ | 91 | $ | 91 | ||||||||||||
Foreign exchange contracts | — | 174 | — | (1,904 | ) | — | (1,730 | ) | ||||||||||||||||
Equity contracts | — | — | 27 | — | (5,307 | ) | (5,280 | ) | ||||||||||||||||
Total | $ | — | $ | 174 | $ | 27 | $ | (1,904 | ) | $ | (5,216 | ) | $ | (6,919 | ) | |||||||||
Dynamic Asset Allocation Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Foreign exchange contracts | — | — | — | 916 | — | 916 | ||||||||||||||||||
Equity contracts | — | (2,727 | ) | (6,552 | ) | — | — | (9,279 | ) | |||||||||||||||
Total | $ | — | $ | (2,727 | ) | $ | (6,552 | ) | $ | 916 | $ | — | $ | (8,363 | ) | |||||||||
Multi-Asset Real Return Fund | ||||||||||||||||||||||||
Interest rate contracts | $ | — | $ | — | $ | (153 | ) | $ | — | $ | (27 | ) | $ | (180 | ) | |||||||||
Foreign exchange contracts | — | — | — | (501 | ) | — | (501 | ) | ||||||||||||||||
Credit contracts | — | — | — | — | 106 | 106 | ||||||||||||||||||
Equity contracts | — | 43 | — | — | (941 | ) | (898 | ) | ||||||||||||||||
Commodity contracts | — | — | (1,878 | ) | — | — | (1,878 | ) | ||||||||||||||||
Total | $ | — | $ | 43 | $ | (2,031 | ) | $ | (501 | ) | $ | (862 | ) | $ | (3,351 | ) |
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.
To reduce counterparty risk with respect to OTC transactions, the Funds have entered into master netting arrangements, established within the Fund’s ISDA master agreements, which allow the Funds to make (or to have an entitlement to receive) a single net payment in the event of default (close-out netting) for outstanding payables and receivables with respect to certain OTC positions in swaps for each individual counterparty. In addition, the Funds may require that certain counterparties post cash and/or securities in collateral accounts to cover their net payment obligations for those derivative contracts subject to ISDA master agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the Funds.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
Collateral terms are contract specific for OTC derivatives. For derivatives traded under an ISDA master agreement, the collateral requirements are typically calculated by netting the mark to market amount of each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds or the counterparty.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds, if any, is reported separately on the Statement of Assets and Liabilities as cash pledged as collateral. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 261 |
Table of Contents
Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
November 30, 2013
threshold before a transfer has to be made. To the extent amounts due to the Funds from its counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty nonperformance.
The following table presents by derivative type the Funds’ derivatives net of the related collateral posted for the benefit of the Funds at November 30, 2013:
Portfolio | Derivative Type | Value of Asset | Value of Liability | Net Amount Due (to)/from Counterparty | Collateral Pledged (Received) by Fund | Net Exposure After Collateral | ||||||||||||||||
Large Cap Fund | Variation margin Futures contracts | $ | 3 | $ | (16 | ) | $ | (13 | ) | $ | 3,300 | $ | 3,287 | |||||||||
Security lending | 78,698 | (78,698 | ) | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
78,701 | (78,714 | ) | (13 | ) | 3,300 | 3,287 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Large Cap Diversified Alpha Fund | Variation margin Futures contracts | 1 | (2 | ) | (1 | ) | 621 | 620 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Large Cap Disciplined Equity Fund | Variation margin Futures contracts | — | (9 | ) | (9 | ) | 22,720 | 22,711 | ||||||||||||||
Security lending | 220,603 | (220,603 | ) | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
220,603 | (220,612 | ) | (9 | ) | 22,720 | 22,711 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Large Cap Index Fund | Variation margin Futures contracts | — | (32 | ) | (32 | ) | 2,150 | 2,118 | ||||||||||||||
Security lending | 131,166 | (131,166 | ) | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
131,166 | (131,198 | ) | (32 | ) | 2,150 | 2,118 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Extended Market Index Fund | Variation margin Futures contracts | 3 | (16 | ) | (13 | ) | 430 | 417 | ||||||||||||||
Security lending | 31,445 | (31,445 | ) | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
31,448 | (31,461 | ) | (13 | ) | 430 | 417 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Small Cap Fund | Variation margin Futures contracts | 18 | — | 18 | 3,169 | 3,187 | ||||||||||||||||
Security lending | 138,611 | (138,611 | ) | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
138,629 | (138,611 | ) | 18 | 3,169 | 3,187 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Small Cap II Fund | Variation margin Futures contracts | 1 | — | 1 | 1,298 | 1,299 | ||||||||||||||||
Security lending | 29,053 | (29,053 | ) | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
29,054 | (29,053 | ) | 1 | 1,298 | 1,299 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Small/Mid Cap Equity Fund | Variation margin Futures contracts | 18 | (56 | ) | (38 | ) | 7,180 | 7,142 | ||||||||||||||
Security lending | 388,102 | (388,102 | ) | — | — | — | ||||||||||||||||
Forwards contracts | 1 | — | 1 | — | 1 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
388,121 | (388,158 | ) | (37 | ) | 7,180 | 7,143 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
U.S. Managed Volatility Fund | Variation margin Futures contracts | — | (2 | ) | (2 | ) | 1,914 | 1,912 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
World Equity Ex-US Fund | Variation margin Futures contracts | 200 | (30 | ) | 170 | 17,256 | 17,426 | |||||||||||||||
Security lending | 403,258 | (403,258 | ) | — | — | — | ||||||||||||||||
Forwards contracts | 183 | (440 | ) | (257 | ) | — | (257 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
403,641 | (403,728 | ) | (87 | ) | 17,256 | 17,169 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
262 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Portfolio | Derivative Type | Value of Asset | Value of Liability | Net Amount Due (to)/from Counterparty | Collateral Pledged (Received) by Fund | Net Exposure After Collateral | ||||||||||||||||
Screened World Equity Ex-US Fund | Variation margin Futures contracts | $ | 13 | $ | (1 | ) | $ | 12 | $ | 331 | $ | 343 | ||||||||||
Forwards contracts | 3 | (7 | ) | (4 | ) | — | (4 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
16 | (8 | ) | 8 | 331 | 339 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Opportunistic Income Fund | Variation margin Futures contracts | 48 | — | 48 | 795 | 843 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Core Fixed Income Fund | Variation margin Futures contracts | 107 | (147 | ) | (40 | ) | 1,031 | 991 | ||||||||||||||
Variation margin Centrally cleared swaps | 63 | — | 63 | — | 63 | |||||||||||||||||
Security lending | 236,434 | (236,434 | ) | — | — | — | ||||||||||||||||
Options | 335 | (132 | ) | 203 | — | 203 | ||||||||||||||||
Swaptions | 3,962 | — | 3,962 | — | 3,962 | |||||||||||||||||
Forwards contracts | 1,170 | (1,066 | ) | 104 | — | 104 | ||||||||||||||||
OTC swaps | 4,706 | (2,807 | ) | 1,899 | — | 1,899 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
246,777 | (240,586 | ) | 6,191 | 1,031 | 7,222 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
High Yield Bond Fund | Variation margin Futures contracts | 31 | — | 31 | — | 31 | ||||||||||||||||
OTC swaps | — | (1,274 | ) | (1,274 | ) | 563 | (711 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
31 | (1,274 | ) | (1,243 | ) | 563 | (680 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Long Duration Fund | Variation margin Futures contracts | 58 | (2 | ) | 56 | 2,139 | 2,195 | |||||||||||||||
Variation margin Centrally cleared swaps | 45 | — | 45 | — | 45 | |||||||||||||||||
OTC swaps | 1,337 | (64 | ) | 1,273 | — | 1,273 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
1,440 | (66 | ) | 1,374 | 2,139 | 3,513 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Long Duration Corporate Bond Fund | Variation margin Futures contracts | 6 | — | 6 | 850 | 856 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Ultra Short Duration Bond Fund | Variation margin Futures contracts | 11 | — | 11 | 82 | 93 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Emerging Markets Debt Fund | Variation margin Futures contracts | 7 | — | 7 | 95 | 102 | ||||||||||||||||
Forwards contracts | 4,083 | (4,209 | ) | (126 | ) | — | (126 | ) | ||||||||||||||
Security lending | 5,174 | (5,174 | ) | — | — | — | ||||||||||||||||
OTC swaps | 13,206 | (156 | ) | 13,050 | — | 13,050 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
22,470 | (9,539 | ) | 12,931 | 95 | 13,026 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Dynamic Asset Allocation Fund | Variation margin Futures contracts | 256 | — | 256 | 11,074 | 11,330 | ||||||||||||||||
Options | 392 | — | 392 | — | 392 | |||||||||||||||||
Forwards contracts | 7,869 | — | 7,869 | — | 7,869 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
8,517 | — | 8,517 | 11,074 | 19,591 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Multi-Asset Real Return Fund | Variation margin Futures contracts | 21 | (159 | ) | (138 | ) | 10,861 | 10,723 | ||||||||||||||
Variation margin Centrally cleared swaps | 21 | (306 | ) | (285 | ) | 269 | (16 | ) | ||||||||||||||
Options | 322 | — | 322 | — | 322 | |||||||||||||||||
Forwards contracts | 1,547 | (739 | ) | 808 | — | 808 | ||||||||||||||||
OTC swaps | 466 | (449 | ) | 17 | — | 17 | ||||||||||||||||
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2,377 | (1,653 | ) | 724 | 11,130 | 11,854 | |||||||||||||||||
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SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 263 |
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Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
November 30, 2013
Written options transactions entered into during the six-month period ended November 30, 2013, are summarized as follows:
Core Fixed Income Fund | ||||||||
Number of Contracts | Premium ($ Thousands) | |||||||
Balance at beginning of period | 7,020,776 | $ | 304 | |||||
Written | 15,982,716 | 1,157 | ||||||
Expired | (15,981,383 | ) | (597 | ) | ||||
Closing buys | (1,825 | ) | (696 | ) | ||||
Balance at end of period | 7,020,284 | $ | 168 |
Dynamic Asset Allocation Fund | ||||||||
Number of Contracts | Premium ($ Thousands) | |||||||
Balance at beginning of period | — | $ | — | |||||
Written | 3,000 | 1,557 | ||||||
Closing buys | (3,000 | ) | (1,557 | ) | ||||
Balance at end of period | — | $ | — |
Multi-Asset Real Return Fund | ||||||||
Number of Contracts | Premium ($ Thousands) | |||||||
Balance at beginning of period | 45 | $ | 34 | |||||
Closing buys | (45 | ) | (34 | ) | ||||
Balance at end of period | — | $ | — |
As of November 30, 2013, the Funds had cash and/or securities at least equal to the value of written options.
5. BASIS FOR CONSOLIDATION FOR THE MULTI-ASSET REAL RETURN FUND
The consolidated Schedule of Investments, Statement of Assets and Liabilities, Statement of Operations, Statement of Changes in Net Assets, Statement of Cash Flows, and the Financial Highlights of the Multi-Asset Real Return Fund include the accounts of its Subsidiaries. All intercompany accounts and transactions have been eliminated in consolidation for the Funds. The Subsidiary has a fiscal year end of May 31 for financial statement consolidation purposes and a nonconforming tax year end of April 30.
The Subsidiary is classified as controlled foreign corporations under the Internal Revenue Code of 1986 (“IRC”). The Subsidiary’s taxable income is included in the calculation of the Fund’s taxable income. Net losses of the Subsidiary are not deductible by the Fund either in the current period or carried forward to future periods.
The Multi-Asset Real Return Fund may invest up to 25% of its total assets in the Subsidiary.
A summary of the Fund’s investments in the Subsidiary is as follows:
INCEPTION DATE OF SUBSIDIARY | SUBSIDIARY NET ASSETS AT SEPTEMBER 30, 2013 ($ THOUSANDS) | % OF TOTAL NET ASSETS AT SEPTEMBER 30, 2013 | ||||||||||
Multi-Asset Real Return Commodity Strategy Subsidiary, Ltd. | June 27, 2013 | $ | 112,568 | 14.3 | % |
6. 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, 2013, the Administrator has voluntarily agreed to waive all of its fee.
Investment Advisory Agreement — 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 Funds’ Adviser and Administrator may discontinue all or part of these voluntary waivers at any time. Accordingly, the advisory fee and voluntary expense limitations for each Fund are as follows:
Advisory Fees | Voluntary Expense Limitations* | |||||||
Large Cap Fund | 0.400 | % | 0.26 | % | ||||
Large Cap Diversified Alpha Fund | 0.400 | 0.31 | ||||||
Large Cap Disciplined Equity Fund | 0.400 | 0.18 | ||||||
Large Cap Index Fund | 0.170 | 0.06 | ||||||
Extended Market Index Fund | 0.120 | 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 | ||||||
World Equity Ex-US Fund | 0.550 | 0.45 | ||||||
Screened World Equity Ex-US Fund | 0.650 | 0.80 | ||||||
Opportunistic Income 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 1, 2012, voluntary expense waivers were discontinued. |
264 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
As of November 30, 2013, 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 Investments Fund Advisers |
LSV Asset Management |
Waddell & Reed Investment Management Company |
WestEnd Advisors LLC |
Large Cap Diversified Alpha Fund |
AJO, L.P. |
Brandywine Global Investment Management, LLC |
Delaware Investments Fund Advisers |
Parametric Portfolio Associates LLC |
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. |
Extended Market Index Fund |
SSgA Funds Management, Inc. |
Small Cap Fund |
AllianceBernstein L.P. |
AQR Capital Management, LLC |
Artisan Partners Limited Partnership |
Janus Capital Management, Inc. |
J.P. Morgan Investment Management |
Lee Munder Capital Group, LLC |
LSV Asset Management |
Robeco Investment Management, Inc. |
Security Capital Research and Management, Inc. |
Timberline Asset Management, LLC |
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. |
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 |
Timberline Asset Management LLC |
Wellington Management Company, LLP |
Investment Sub-Adviser |
William Blair & Company, LLC |
U.S. Managed Volatility Fund |
AJO, L.P. |
Analytic Investors, LLC |
LSV Asset Management |
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 |
Opportunistic Income Fund |
Ares Management, LLC |
Wellington Management Company, LLP |
Core Fixed Income Fund |
Jennison Associates LLC |
J.P. Morgan Investment Management, Inc. |
Metropolitan West Asset Management, LLC |
Wells Capital Management, Inc. |
Western Asset Management Company |
Western Asset Management Company Limited |
High Yield Bond Fund |
Ares Management, LLC |
Brigade Capital Management, LLC |
Delaware Investments Fund Advisers |
Guggenheim Partners Investment 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. |
Logan Circle Partners, L.P. |
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 |
Investec Asset Management Ltd. |
Stone Harbor Investment Partners, L.P. |
Dynamic Asset Allocation Fund |
SSgA Funds Management, Inc. |
Multi-Asset Real Return Fund |
AllianceBernstein L.P. |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 265 |
Table of Contents
Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
November 30, 2013
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, 2013, were as follows ($ Thousands):
Large Cap Fund | $ | 32 | ||
Large Cap Diversified Alpha Fund | 15 | |||
Large Cap Disciplined Equity Fund | 14 | |||
Large Cap Index Fund | 5 | |||
Small Cap Fund | 9 | |||
Small Cap II Fund | 1 | |||
Small/Mid Cap Equity Fund | 11 | |||
World Equity Ex-US Fund | 19 |
Payments to Affiliates — Certain officers and/or trustees of the Trust are also officers of the Distributor, the Adviser and/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, 2013, were as follows ($ Thousands):
Large Cap Fund | $ | 230 | ||
Small Cap Fund | 134 | |||
Small/Mid Cap Equity Fund | 562 | |||
U.S. Managed Volatility Fund | 621 |
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, 2013, can be found on the Financial Highlights.
Investment in Affiliated Security — The Funds may invest excess cash in the SEI Daily Income Trust Prime Obligation Fund, an affiliated money market fund. Additionally, the Funds may invest the cash collateral from the securities lending program in the SEI Liquidity Fund, L.P.
To the extent consistent with its investment objectives, a Fund may invest in the SEI LIBOR Plus Portfolio, a portfolio of SEI Alpha Strategy Portfolios, LP. The SEI LIBOR Plus Portfolio seeks to maximize total return consistent with the preservation of capital and prudent investment management.
Interfund Lending — The SEC has granted an exemption that permits the Trust to participate in an interfund lending program (“The Program”) with existing or future investment companies registered under the 1940 Act that are advised by SIMC (the “SEI Funds”). The Program allows the SEI Funds to lend money to and borrow money from each other for temporary or emergency purposes. Participation in The Program is voluntary for both borrowing and lending funds. Interfund loans may be made only when the rate of interest to be charged is more favorable to the lending fund than an investment in overnight repurchase agreements (“Repo Rate”), and more favorable to the borrowing fund than the rate of interest that would be charged by a bank for short-term borrowings (“Bank Loan Rate”). The Bank Loan Rate will be determined using a formula 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, 2013, 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):
Account Name | Date | Amount Borrowed | Interest Paid | Rate | ||||||||||||
Large Cap Disciplined Equity Fund | 11/29/2013 | $ | 54,410 | — | 0.30 | % | ||||||||||
Small Cap II Fund | 07/02/2013 | 750 | — | 0.35 | ||||||||||||
Small Cap II Fund | 10/01/2013 | 770 | — | 0.32 | ||||||||||||
Small Cap II Fund | 06/03/2013 | 9,500 | — | 0.36 | ||||||||||||
U.S. Managed Volatility Fund | 07/10/2013 | 12,500 | — | 0.32 | ||||||||||||
U.S. Managed Volatility Fund | 07/08/2013 | 5,045 | — | 0.22 |
At November 30, 2013, the Trust had outstanding borrowings of approximately $66,808,000 with an interest rate of 0.30% for the Large Cap Disciplined Equity Fund.
266 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
7. CAPITAL SHARE TRANSACTIONS
Capital share transactions for the Funds were as follows (Thousands):
Large Cap Fund | Large Cap Diversified | Large Cap Equity Fund | Large Cap Index Fund | |||||||||||||||||||||||||||||
6/1/13 to 11/30/13 (Unaudited) | 6/1/12 to 5/31/13 | 6/1/13 to 11/30/13 (Unaudited) | 6/1/12 to 5/31/13 | 6/1/13 to 11/30/13 (Unaudited) | 6/1/12 to 5/31/13 | 6/1/13 to 11/30/13 (Unaudited) | 6/1/12 to 5/31/13 | |||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||
Shares Issued | 15,278 | 22,903 | 1,446 | 4,485 | 12,116 | 86,025 | 1,580 | 8,907 | ||||||||||||||||||||||||
Shares Issued In Lieu of Dividends and Distributions | 647 | 4,520 | 113 | 533 | 915 | 11,879 | 148 | 438 | ||||||||||||||||||||||||
Shares Redeemed | (16,413 | ) | (40,735 | ) | (3,795 | ) | (12,403 | ) | (99,566 | ) | (196,296 | ) | (4,170 | ) | (4,657 | ) | ||||||||||||||||
Increase (Decrease) in Net Assets | (488 | ) | (13,312 | ) | (2,236 | ) | (7,385 | ) | (86,535 | ) | (98,392 | ) | (2,442 | ) | 4,688 |
Extended Market Index Fund | Small Cap Fund | Small Cap II Fund | Small/Mid Cap Equity Fund | |||||||||||||||||||||||||||||
6/1/13 to 11/30/13 (Unaudited) | 6/1/12 to 5/31/13 | 6/1/13 to 11/30/13 (Unaudited) | 6/1/12 to 5/31/13 | 6/1/13 to 11/30/13 (Unaudited) | 6/1/12 to 5/31/13 | 6/1/13 to 11/30/13 (Unaudited) | 6/1/12 to 5/31/13 | |||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||
Shares Issued | 15,220 | 16,710 | 2,133 | 9,157 | 5,193 | 23,779 | 4,883 | 32,351 | ||||||||||||||||||||||||
Shares Issued In Lieu of Dividends and Distributions | 127 | 8 | 125 | 670 | 45 | 194 | 414 | 3,021 | ||||||||||||||||||||||||
Shares Redeemed | (3,496 | ) | (558 | ) | (9,716 | ) | (21,852 | ) | (8,149 | ) | (12,307 | ) | (34,318 | ) | (58,681 | ) | ||||||||||||||||
Increase (Decrease) in Net Assets | 11,851 | 16,160 | (7,458 | ) | (12,025 | ) | (2,911 | ) | 11,666 | (29,021 | ) | (23,309 | ) |
U.S. Managed Volatility Fund | World Equtiy Ex-US Fund | |||||||||||||||
6/1/13 to 11/30/13 (Unaudited) | 6/1/12 to 5/31/13 | 6/1/13 to 11/30/13 (Unaudited) | 6/1/12 to 5/31/13 | |||||||||||||
Class A: | ||||||||||||||||
Shares Issued | 9,253 | 41,088 | 67,903 | 180,161 | ||||||||||||
Shares Issued In Lieu of Dividends and Distributions | 1,003 | 3,132 | — | 10,891 | ||||||||||||
Shares Redeemed | (15,990 | ) | (22,975 | ) | (88,306 | ) | (153,346 | ) | ||||||||
Increase (Decrease) in Net Assets | (5,734 | ) | 21,245 | (20,403 | ) | 37,706 |
Screened World Equtiy Ex-US Fund | Opportunistic Income Fund | Core Fixed Income Fund | ||||||||||||||||||||||
6/1/13 to 11/30/13 (Unaudited) | 6/1/12 to 5/31/13 | 6/1/13 to 11/30/13 (Unaudited) | 6/1/12 to 5/31/13 | 6/1/13 to 11/30/13 (Unaudited) | 6/1/12 to 5/31/13 | |||||||||||||||||||
Class A: | ||||||||||||||||||||||||
Shares Issued | 928 | 1,414 | 96,157 | 97,023 | 88,450 | 275,230 | ||||||||||||||||||
Shares Issued In Lieu of Dividends and Distributions | — | 100 | 975 | 1,042 | 8,491 | 27,671 | ||||||||||||||||||
Shares Redeemed | (747 | ) | (1,242 | ) | (11,175 | ) | (4,947 | ) | (148,302 | ) | (353,884 | ) | ||||||||||||
Increase (Decrease) in Net Assets | 181 | 272 | 85,957 | 93,118 | (51,361 | ) | (50,983 | ) |
High Yield Bond Fund | Long Duration Fund | Long Duration Corporate Bond Fund(3) | Ultra Short Duration Bond Fund(2) | |||||||||||||||||||||||||||||
6/1/13 to 11/30/13 (Unaudited) | 6/1/12 to 5/31/13 | 6/1/13 to 11/30/13 (Unaudited) | 6/1/12 to 5/31/13 | 6/1/13 to 11/30/13 (Unaudited) | 6/1/12 to 5/31/13 | 6/1/13 to 11/30/13 (Unaudited) | 6/1/12 to 5/31/13 | |||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||
Shares Issued | 23,433 | 63,543 | 100,298 | 121,715 | 53,106 | 231,742 | 19,860 | 56,399 | ||||||||||||||||||||||||
Shares Issued In Lieu of Dividends and Distributions | 6,869 | 14,315 | 8,164 | 41,405 | 5,363 | 8,201 | 254 | 395 | ||||||||||||||||||||||||
Shares Redeemed | (28,958 | ) | (67,810 | ) | (48,659 | ) | (353,166 | ) | (14,969 | ) | (30,100 | ) | (14,792 | ) | (34,705 | ) | ||||||||||||||||
Increase (Decrease) in Net Assets | 1,344 | 10,048 | 59,803 | (190,046 | ) | 43,500 | 209,843 | 5,322 | 22,089 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 267 |
Table of Contents
Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
November 30, 2013
Emerging Markets Debt Fund | Real Return Fund | Dynamic Asset Allocation Fund | Multi-Asset Real | |||||||||||||||||||||||||||||
6/1/13 to 11/30/13 (Unaudited) | 6/1/12 to 5/31/13 | 6/1/13 to 11/30/13 (Unaudited) | 6/1/12 to 5/31/13 | 6/1/13 to 11/30/13 (Unaudited) | 6/1/12 to 5/31/13 | 6/1/13 to 11/30/13 (Unaudited) | 6/1/12 to 5/31/13 | |||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||||
Shares Issued | 30,082 | 37,986 | 2,072 | 4,262 | 20,686 | 42,834 | 36,212 | 21,473 | ||||||||||||||||||||||||
Shares Issued In Lieu of Dividends and Distributions | 2,836 | 12,136 | — | 918 | — | 4,747 | — | 112 | ||||||||||||||||||||||||
Shares Redeemed | (16,493 | ) | (22,375 | ) | (5,780 | ) | (7,038 | ) | (10,422 | ) | (8,540 | ) | (2,524 | ) | (3,645 | ) | ||||||||||||||||
Increase (Decrease) in Net Assets | 16,425 | 27,747 | (3,708 | ) | (1,858 | ) | 10,264 | 39,041 | 33,688 | 17,940 |
8. 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, 2013, were as follows:
U.S. Gov’t ($ Thousands) | Other ($ Thousands) | Total ($ Thousands) | ||||||||||
Large Cap Fund | ||||||||||||
Purchases | $ | — | $ | 517,651 | $ | 517,651 | ||||||
Sales | — | 539,458 | 539,458 | |||||||||
Large Cap Diversified Alpha Fund | ||||||||||||
Purchases | — | 198,712 | 198,712 | |||||||||
Sales | — | 219,518 | 219,518 | |||||||||
Large Cap Disciplined Equity Fund | ||||||||||||
Purchases | — | 2,603,689 | 2,603,689 | |||||||||
Sales | — | 3,616,803 | 3,616,803 | |||||||||
Large Cap Index Fund | ||||||||||||
Purchases | — | 71,669 | 71,669 | |||||||||
Sales | — | 396,498 | 396,498 | |||||||||
Extended Market Index Fund | ||||||||||||
Purchases | — | 168,487 | 168,487 | |||||||||
Sales | — | 32,512 | 32,512 | |||||||||
Small Cap Fund | ||||||||||||
Purchases | — | 243,567 | 243,567 | |||||||||
Sales | — | 376,273 | 376,273 | |||||||||
Small Cap II Fund | ||||||||||||
Purchases | — | 94,385 | 94,385 | |||||||||
Sales | — | 137,636 | 137,636 | |||||||||
Small/Mid Cap Fund | ||||||||||||
Purchases | — | 561,969 | 561,969 | |||||||||
Sales | — | 1,025,942 | 1,025,942 | |||||||||
U.S. Managed Volatility Fund | ||||||||||||
Purchases | — | 359,757 | 359,757 | |||||||||
Sales | — | 395,503 | 395,503 | |||||||||
World Equity Ex-US Fund | ||||||||||||
Purchases | — | 1,171,935 | 1,171,935 | |||||||||
Sales | — | 1,340,759 | 1,340,759 | |||||||||
Screened World Equity Ex-US Fund | ||||||||||||
Purchases | — | 14,720 | 14,720 | |||||||||
Sales | — | 13,161 | 13,161 | |||||||||
Opportunistic Income Fund | ||||||||||||
Purchases | 209,628 | 776,116 | 985,744 | |||||||||
Sales | 48,699 | 782,718 | 831,417 | |||||||||
Core Fixed Income Fund | ||||||||||||
Purchases | 8,843,647 | 800,174 | 9,643,821 | |||||||||
Sales | 9,150,364 | 919,873 | 10,070,237 | |||||||||
High Yield Bond Fund | ||||||||||||
Purchases | — | 491,553 | 491,553 | |||||||||
Sales | — | 456,344 | 456,344 | |||||||||
Long Duration Fund | ||||||||||||
Purchases | 1,362,941 | 595,063 | 1,958,004 | |||||||||
Sales | 1,037,988 | 468,579 | 1,506,567 |
U.S. Gov’t ($ Thousands) | Other ($ Thousands) | Total ($ Thousands) | ||||||||||
Long Duration Corporate Bond Fund | ||||||||||||
Purchases | $ | 731,714 | $ | 1,110,994 | $ | 1,842,708 | ||||||
Sales | 699,541 | 749,663 | 1,449,204 | |||||||||
Ultra Short Duration Bond Fund | ||||||||||||
Purchases | 121,922 | 102,156 | 224,078 | |||||||||
Sales | 132,563 | 97,284 | 229,847 | |||||||||
Emerging Markets Debt Fund | ||||||||||||
Purchases | — | 789,150 | 789,150 | |||||||||
Sales | — | 576,193 | 576,193 | |||||||||
Real Return Fund | ||||||||||||
Purchases | 39,020 | — | 39,020 | |||||||||
Sales | 69,923 | — | 69,923 | |||||||||
Dynamic Asset Allocation Fund | ||||||||||||
Purchases | — | 185,958 | 185,958 | |||||||||
Sales | — | 84,207 | 84,207 | |||||||||
Multi-Asset Real Return Fund | ||||||||||||
Purchases | 179,629 | 232,349 | 411,978 | |||||||||
Sales | 49,990 | 172,840 | 222,830 |
9. 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, net operating losses, collateralized loan/debt obligations, gains and losses on passive foreign investment companies and certain foreign currency related transactions and non taxable in-kind redemptions, have been reclassified to/ from the following accounts as of May 31, 2013:
268 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Undistributed Net Investment Income (Loss) ($ Thousands) | Accumulated Realized Gain (Loss) ($ Thousands) | Paid-in Capital ($ Thousands) | ||||||||||
Large Cap Fund | $ | 34 | $ | (34 | ) | $ | — | |||||
Large Cap Diversified Alpha Fund | 21 | (17 | ) | (4 | ) | |||||||
Large Cap Disciplined Equity Fund | 18,064 | (9,764 | ) | (8,300 | ) | |||||||
Large Cap Index Fund | 134 | (134 | ) | — | ||||||||
Extended Market Index Fund | 17 | (17 | ) | — | ||||||||
Small Cap Fund | 685 | (685 | ) | — | ||||||||
Small Cap II Fund | 56 | (56 | ) | — | ||||||||
Small/Mid Cap Equity Fund | 1,235 | (1,235 | ) | — | ||||||||
U.S. Managed Volatility Fund | 148 | (148 | ) | — | ||||||||
World Equity Ex-US Fund | (412 | ) | 412 | — | ||||||||
Screened World Equity Ex-US Fund | 89 | (89 | ) | — | ||||||||
Opportunistic Income Fund | 6,496 | (6,496 | ) | — |
Undistributed Net Investment Income (Loss) ($ Thousands) | Accumulated Realized Gain (Loss) ($ Thousands) | Paid-in Capital ($ Thousands) | ||||||||||
Core Fixed Income Fund | $ | 18,663 | $ | (18,639 | ) | $ | (24 | ) | ||||
High Yield Bond Fund | 3,585 | (2,619 | ) | (966 | ) | |||||||
Long Duration Fund | (2,193 | ) | (113,210 | ) | 115,403 | |||||||
Long Duration Corporate Bond Fund | 61 | (61 | ) | — | ||||||||
Ultra Short Duration Fund | 523 | (496 | ) | (27 | ) | |||||||
Emerging Markets Debt Fund | 16,576 | (16,576 | ) | — | ||||||||
Real Return Fund | 94 | (94 | ) | — | ||||||||
Dynamic Asset Allocation Fund | (140 | ) | 140 | — | ||||||||
Multi-Asset Real Return Fund | (3,297 | ) | 5,853 | (2,556 | ) |
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, 2013 were as follows:
Ordinary Income ($ Thousands) | Long-Term Capital Gain ($ Thousands) | Return of Capital ($ Thousands) | Total ($ Thousands) | |||||||||||||||||
Large Cap Fund | 2013 | $ | 41,342 | $ | 42,893 | $ | — | $ | 84,235 | |||||||||||
2012 | 22,774 | 66,801 | — | 89,575 | ||||||||||||||||
Large Cap Diversified Alpha Fund | 2013 | 5,999 | — | — | 5,999 | |||||||||||||||
2012 | 3,329 | — | — | 3,329 | ||||||||||||||||
Large Cap Disciplined Equity Fund | 2013 | 140,201 | — | — | 140,201 | |||||||||||||||
2012 | 106,581 | — | — | 106,581 | ||||||||||||||||
Large Cap Index Fund | 2013 | 38,842 | 16,181 | — | 55,023 | |||||||||||||||
2012 | 16,211 | — | — | 16,211 | ||||||||||||||||
Extended Market Index Fund | 2013 | 84 | — | — | 84 | |||||||||||||||
Small Cap Fund | 2013 | 10,108 | — | — | 10,108 | |||||||||||||||
2012 | 4,874 | — | — | 4,874 | ||||||||||||||||
Small Cap II Fund | 2013 | 1,541 | 570 | — | 2,111 | |||||||||||||||
2012 | — | — | — | — | ||||||||||||||||
Small/Mid Cap Equity Fund | 2013 | 25,590 | 15,141 | — | 40,731 | |||||||||||||||
2012 | 15,466 | — | — | 15,466 | ||||||||||||||||
U.S. Managed Volatility Fund | 2013 | 31,318 | 8,220 | — | 39,538 | |||||||||||||||
2012 | 10,441 | 20,489 | — | 30,930 | ||||||||||||||||
World Equity Ex-US Fund | 2013 | 119,081 | — | — | 119,081 | |||||||||||||||
2012 | 92,739 | — | — | 92,739 | ||||||||||||||||
Screened World Equity Ex-US Fund | 2013 | 1,070 | — | — | 1,070 | |||||||||||||||
2012 | 992 | — | — | 992 | ||||||||||||||||
Opportunistic Income Fund | 2013 | 8,743 | — | — | 8,743 | |||||||||||||||
2012 | 5,179 | — | — | 5,179 | ||||||||||||||||
Core Fixed Income Fund | 2013 | 305,867 | — | — | 305,867 | |||||||||||||||
2012 | 347,851 | — | — | 347,851 | ||||||||||||||||
High Yield Bond Fund | 2013 | 144,390 | — | — | 144,390 | |||||||||||||||
2012 | 156,365 | — | — | 156,365 | ||||||||||||||||
Long Duration Fund | 2013 | 351,417 | 45,605 | — | 397,022 | |||||||||||||||
2012 | 312,089 | 80,526 | — | 392,615 | ||||||||||||||||
Long Duration Corporate Bond Fund | 2013 | 84,703 | — | — | 84,703 | |||||||||||||||
Ultra Short Duration Fund | 2013 | 4,073 | — | — | 4,073 | |||||||||||||||
2012 | 5,251 | — | — | 5,251 | ||||||||||||||||
Emerging Markets Debt Fund | 2013 | 106,579 | 40,153 | — | 146,732 | |||||||||||||||
2012 | 70,422 | 10,680 | — | 81,102 | ||||||||||||||||
Real Return Fund | 2013 | 10,492 | — | — | 10,492 | |||||||||||||||
2012 | 13,005 | 4,376 | — | 17,381 | ||||||||||||||||
Dynamic Asset Allocation Fund | 2013 | 36,290 | 17,525 | — | 53,815 | |||||||||||||||
2012 | 8,638 | 13,701 | — | 22,339 | ||||||||||||||||
Multi-Asset Real Return Fund | 2013 | 888 | 82 | 194 | 1,164 | |||||||||||||||
2012 | 166 | — | — | 166 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 269 |
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Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
November 30, 2013
As of May 31, 2013, the components of distributable earnings/(accumulated losses) were as follows:
Undistributed Ordinary Income ($ Thousands) | Undistributed Long-Term Capital Gain ($ Thousands) | Capital Loss Carryforwards ($ Thousands) | Post October Losses ($ Thousands) | Late Year Ordinary Losses ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | Other Temporary Differences ($ Thousands) | Total Distributable Earnings (Accumulated Losses) ($ Thousands) | |||||||||||||||||||||||||
Large Cap Fund | $ | 29,999 | $ | 74,059 | $ | — | $ | — | $ | — | $ | 462,651 | $ | 117 | $ | 566,826 | ||||||||||||||||
Large Cap Diversified Alpha Fund | 97 | — | (78,326 | ) | — | — | 44,045 | 117 | (34,067 | ) | ||||||||||||||||||||||
Large Cap Disciplined Equity Fund | — | — | (602,779 | ) | — | — | 1,106,133 | (6,041 | ) | 497,313 | ||||||||||||||||||||||
Large Cap Index Fund | 9,893 | 5,011 | — | — | — | 514,350 | (3,048 | ) | 526,206 | |||||||||||||||||||||||
Extended Market Index Fund | 628 | 110 | — | — | — | 7,328 | (178 | ) | 7,888 | |||||||||||||||||||||||
Small Cap Fund | 1,722 | — | (130,399 | ) | — | — | 90,566 | 47 | (38,064 | ) | ||||||||||||||||||||||
Small Cap II Fund | 7,230 | 1,920 | — | — | — | 34,020 | — | 43,170 | ||||||||||||||||||||||||
Small/Mid Cap Equity Fund | 66,959 | 143,709 | — | — | — | 336,441 | (1,181 | ) | 545,928 | |||||||||||||||||||||||
U.S. Managed Volatility Fund | 20,919 | 24,307 | — | — | — | 167,429 | (197 | ) | 212,458 | |||||||||||||||||||||||
World Equity Ex-US Fund | 81,861 | — | (477,885 | ) | — | — | 671,153 | (181 | ) | 274,948 | ||||||||||||||||||||||
Screened World Equity Ex-US Fund | 700 | — | (15,308 | ) | — | — | 4,454 | (20 | ) | (10,174 | ) | |||||||||||||||||||||
Opportunistic Income Fund | 11,313 | — | (50,542 | ) | — | — | 7,074 | (3 | ) | (32,158 | ) | |||||||||||||||||||||
Core Fixed Income Fund | 40,366 | — | — | — | — | 136,061 | (35,459 | ) | 140,968 | |||||||||||||||||||||||
High Yield Bond Fund | 22,002 | 11,387 | — | — | — | 97,158 | (11,692 | ) | 118,855 | |||||||||||||||||||||||
Long Duration Fund | 9,839 | 17,995 | — | (61 | ) | — | 110,824 | (19,686 | ) | 118,911 | ||||||||||||||||||||||
Long Duration Corporate Bond Fund | 20,958 | — | — | (6,393 | ) | — | (39,629 | ) | (7,750 | ) | (32,814 | ) | ||||||||||||||||||||
Ultra Short Duration Fund | 479 | — | (344 | ) | — | — | 1,025 | (443 | ) | 717 | ||||||||||||||||||||||
Emerging Markets Debt Fund | 25,830 | 3,642 | — | — | — | 20,500 | (19,339 | ) | 30,633 | |||||||||||||||||||||||
Real Return Fund | 2,903 | — | — | — | — | (258 | ) | (1,750 | ) | 895 | ||||||||||||||||||||||
Dynamic Asset Allocation Fund | 4,552 | 19,624 | — | — | — | 129,042 | (7,964 | ) | 145,254 | |||||||||||||||||||||||
Multi-Asset Real Return Fund | — | — | — | (1,526 | ) | (1,152 | ) | (6,435 | ) | (1,497 | ) | (10,610 | ) |
Post-October losses represent losses realized on investment transactions from November 1, 2012 through May 31, 2013 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 2015 ($ Thousands) | Expires 2016 ($ Thousands) | Expires 2017 ($ Thousands) | Expires 2018 ($ Thousands) | Expires 2019 ($ Thousands) | Total Capital Loss Carryforwards May 31, 2013 ($ Thousands) | |||||||||||||||||||
Large Cap Diversified Alpha Fund | $ | — | $ | — | $ | — | $ | 78,326 | $ | — | $ | 78,326 | ||||||||||||
Large Cap Disciplined Equity Fund | — | — | — | 602,779 | — | 602,779 | ||||||||||||||||||
Small Cap Fund | — | — | — | 130,399 | — | 130,399 | ||||||||||||||||||
World Equity Ex-US Fund | — | — | 36,111 | 441,774 | — | 477,885 | ||||||||||||||||||
Screened World Equity Ex-US Fund | — | — | — | 15,308 | — | 15,308 | ||||||||||||||||||
Opportunistic Income Fund | — | — | 7,959 | 23,512 | 19,071 | 50,542 |
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 ($ Thousands) | Long-Term Loss ($ Thousands) | Total* | ||||||||||
Ultra Short Duration Bond Fund | $ | — | $ | 344 | $ | 344 |
* | This table should be used in conjunction with the capital loss carryforwards table. |
270 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
During the fiscal year ended May 31, 2013, the following Funds utilized capital loss carryforwards to offset capital gains:
Amount Utilized ($ Thousands) | ||||
Large Cap Diversified Alpha Fund | $ | 37,689 | ||
Large Cap Disciplined Equity Fund | 631,335 | |||
Small Cap Fund | 76,933 | |||
Small/Mid Cap Equity Fund | 11,157 | |||
World Equity Ex-US Fund | 145,772 | |||
Screened World Equity Ex-US Fund | 1,674 | |||
Opportunistic Income Fund | 4,537 | |||
High Yield Bond Fund | 47,362 | |||
Multi-Asset Real Return Fund | 1,417 |
For Federal income tax purposes, the cost of securities owned at November 30, 2013, 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, 2013, was as follows:
Federal Tax Cost ($ Thousands) | Appreciated Securities ($ Thousands) | Depreciated Securities ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||
Large Cap Fund | $ | 1,581,818 | $ | 632,352 | $ | (13,000 | ) | $ | 619,352 | |||||||
Large Cap Diversified Alpha Fund | 265,668 | 59,022 | (2,804 | ) | 56,218 | |||||||||||
Large Cap Disciplined Equity Fund | 4,371,799 | 719,450 | (46,494 | ) | 672,956 | |||||||||||
Large Cap Index Fund | 1,465,387 | 745,840 | (18,040 | ) | 727,800 | |||||||||||
Extended Market Index Fund | 337,067 | 47,800 | (8,087 | ) | 39,713 | |||||||||||
Small Cap Fund | 755,838 | 167,880 | (21,970 | ) | 145,910 | |||||||||||
Small Cap Fund II | 193,961 | 54,086 | (2,404 | ) | 51,682 | |||||||||||
Small/Mid Cap Equity Fund | 1,803,761 | 538,180 | (23,963 | ) | 514,217 | |||||||||||
U.S. Managed Volatility Fund | 952,631 | 228,769 | (6,475 | ) | 222,294 | |||||||||||
World Equity Ex-US Fund | 5,808,962 | 1,250,434 | (176,750 | ) | 1,073,684 | |||||||||||
Screened World Equity Ex-US Fund | 61,238 | 11,075 | (1,774 | ) | 9,301 | |||||||||||
Opportunistic Income Fund | 1,791,171 | 10,314 | (3,935 | ) | 6,379 | |||||||||||
Core Fixed Income Fund | 6,451,802 | 178,847 | (129,840 | ) | 49,007 | |||||||||||
High Yield Bond Fund | 2,075,314 | 107,807 | (35,557 | ) | 72,250 | |||||||||||
Long Duration Fund | 3,748,344 | 117,454 | (160,987 | ) | (43,533 | ) | ||||||||||
Long Duration Corporate Bond Fund | 2,489,207 | 24,464 | (139,394 | ) | (114,930 | ) | ||||||||||
Ultra Short Duration Bond Fund | 595,384 | 2,066 | (927 | ) | 1,139 |
Federal Tax Cost ($ Thousands) | Appreciated Securities ($ Thousands) | Depreciated Securities ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||
Emerging Markets Debt Fund | $ | 1,430,953 | $ | 28,773 | $ | (92,365 | ) | $ | (63,592 | ) | ||||||
Real Return Fund | 217,556 | 1,313 | (1,306 | ) | 7 | |||||||||||
Dynamic Asset Allocation Fund | 1,095,571 | 266,810 | (10,665 | ) | 256,145 | |||||||||||
Multi-Asset Real Return Fund | 629,756 | 12,662 | (4,833 | ) | 7,829 |
Management has analyzed the Funds’ tax positions taken on Federal income tax returns for all open tax years and has concluded that as of May 31, 2013, 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.
10. CONCENTRATION/RISKS
In the normal course of business, the Trust enters into contracts that provide general indemnifications by the Trust to the counterparty to the contract. The Trust’s maximum exposure under these arrangements is dependent on future claims that may be made against the Trust and, therefore, cannot be estimated; however, management believes that, based on experience, the risk of loss from such claims is considered remote.
The following descriptions provide additional information about some of the risks of investing in the Funds:
Asset-Backed Securities Risk — Payment of principal and interest on asset-backed securities is dependent largely on the cash flows generated by the assets backing the securities, and asset-backed securities may not have the benefit of any security interest in the related assets.
Bank Loans Risk — With respect to bank loans, the Fund will assume the credit risk of both the borrower and the lender that is selling the participation. The Fund may also have difficulty disposing of bank loans because, in certain cases, the market for such instruments is not highly liquid.
Credit Risk — The risk that the issuer of a security or the counterparty to a contract will default or otherwise become unable to honor a financial obligation.
Currency Risk — Due to the Fund’s active positions in currencies, it will be subject to the risk that currency exchange rates may fluctuate in response to, among other things, changes in interest rates, intervention
(or failure to intervene) by U.S. or foreign governments, central banks or supranational entities, or by the imposition of currency controls or other political developments in the United States or abroad.
Fixed Income Market Risk — The prices of the Fund’s fixed income securities respond to economic developments, particularly interest rate changes, as well as to perceptions about the creditworthiness of
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 271 |
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Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)
November 30, 2013
individual issuers, including governments and their agencies. Generally, the Fund’s fixed income securities will decrease in value if interest rates rise and vice versa. In the case of foreign securities, price fluctuations will reflect international economic and political events, as well as changes in currency valuations relative to the U.S. dollar.
Foreign Investment/Emerging Markets Risk — The risk that non-U.S. securities may be subject to additional risks due to, among other things, political, social and economic developments abroad, currency movements, and different legal, regulatory and tax environments. These additional risks may be heightened with respect to emerging market countries since political turmoil and rapid changes in economic conditions are more likely to occur in these countries.
Interest Rate Risk — The risk that a rise in interest rates will cause a fall in the value of fixed income securities, including U.S. Government Securities, in which the Fund invests. Although U.S. Government securities are considered to be among the safest investments, they are not guaranteed against price movements due to changing interest rates. A low interest rate environment may present greater interest rate risk, because there may be a greater likelihood of rates increasing and rates may increase more rapidly.
Mortgage-Backed Securities Risk — Mortgage-backed securities are affected by, among other things, interest rate changes and the possibility of prepayment of the underlying mortgage loans. Mortgage-backed securities are also subject to the risk that underlying borrowers will be unable to meet their obligations.
Please refer to the Funds current prospectus for a comprehensive discussion of the risks associated with investing in the Funds.
11. IN-KIND TRANSFERS OF SECURITIES
During the year ended May 31, 2013, 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 ($ Thousands) | ||||||||||
Core Fixed Income | ||||||||||||
7/31/2012 | 18,108 | $ | 195,406 | $ | — | |||||||
9/28/2012 | 7,720 | 83,603 | — | |||||||||
Long Duration Fund | ||||||||||||
6/29/2012 | (155,797 | ) | 1,495,648 | 115,402 | ||||||||
7/31/2012 | 7,281 | 72,886 | — | |||||||||
2/28/2013 | 4,931 | 44,429 | — |
Shares Issued (Redeemed) (Thousands) | Value ($ Thousands) | Gain ($ Thousands) | ||||||||||
Long Duration Corporate Bond Fund | ||||||||||||
6/29/2012 | 149,565 | $ | 1,495,648 | |||||||||
9/28/2012 | 5,819 | 60,636 | $ | — | ||||||||
Ultra Short Duration Bond Fund | ||||||||||||
11/30/2012 | 2,511 | 25,206 | — |
12. 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.
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 disclosure and/or adjustments were required to the financial statements as of November 30, 2013.
272 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Disclosure of Fund Expenses (Unaudited)
November 30, 2013
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 6/1/2013 | Ending Account Value 11/30/2013 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Large Cap Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,140.60 | 0.18 | % | $ | 0.97 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,024.17 | 0.18 | % | $ | 0.91 | ||||||||
Large Cap Diversified Alpha Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,141.50 | 0.24 | % | $ | 1.29 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,023.87 | 0.24 | % | $ | 1.22 | ||||||||
Large Cap Disciplined Equity Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,116.00 | 0.18 | % | $ | 0.95 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,024.17 | 0.18 | % | $ | 0.91 |
Beginning Account Value 6/1/2013 | Ending Account Value 11/30/2013 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Large Cap Index Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,122.40 | 0.02 | % | $ | 0.11 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,024.92 | 0.02 | % | $ | 0.10 | ||||||||
Extended Market Index Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,152.30 | 0.07 | % | $ | 0.38 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,024.72 | 0.07 | % | $ | 0.36 | ||||||||
Small Cap Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,174.90 | 0.47 | % | $ | 2.56 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.71 | 0.47 | % | $ | 2.38 |
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 273 |
Table of Contents
Disclosure of Fund Expenses (Unaudited) (Concluded)
November 30, 2013
Beginning Account Value 6/1/2013 | Ending Account Value 11/30/2013 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Small Cap II Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,176.00 | 0.47 | % | $ | 2.56 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.71 | 0.47 | % | $ | 2.38 | ||||||||
Small/Mid Cap Equity Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,161.30 | 0.46 | % | $ | 2.49 | ||||||||
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 | $ | 1,117.30 | 0.23 | % | $ | 1.22 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,023.92 | 0.23 | % | $ | 1.17 | ||||||||
World Equity Ex-US Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,096.40 | 0.34 | % | $ | 1.79 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,023.36 | 0.34 | % | $ | 1.72 | ||||||||
Screened World Equity Ex-US Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,101.60 | 0.47 | % | $ | 2.48 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.71 | 0.47 | % | $ | 2.38 | ||||||||
Opportunistic Income Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,007.50 | 0.22 | % | $ | 1.11 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,023.97 | 0.22 | % | $ | 1.12 | ||||||||
Core Fixed Income Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 995.70 | 0.12 | % | $ | 0.60 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,024.47 | 0.12 | % | $ | 0.61 | ||||||||
High Yield Bond Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,025.70 | 0.30 | % | $ | 1.52 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,023.56 | 0.30 | % | $ | 1.52 | ||||||||
Long Duration Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 957.40 | 0.16 | % | $ | 0.79 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,024.27 | 0.16 | % | $ | 0.81 | ||||||||
Long Duration Corporate Bond Fund Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 966.70 | 0.15 | % | $ | 0.74 | ||||||||
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 | $ | 1,008.40 | 0.11 | % | $ | 0.55 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,024.52 | 0.11 | % | $ | 0.56 |
Beginning Account Value 6/1/2013 | Ending Account Value 11/30/2013 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Emerging Markets Debt Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 939.80 | 0.47 | % | $ | 2.29 | ||||||||
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 | $ | 998.00 | 0.07 | % | $ | 0.35 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,024.72 | 0.07 | % | $ | 0.36 | ||||||||
Dynamic Asset Allocation Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,087.40 | 0.07 | % | $ | 0.37 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,024.72 | 0.07 | % | $ | 0.36 | ||||||||
Multi-Asset Real Return Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 982.60 | 0.29 | % | $ | 1.44 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,023.61 | 0.29 | % | $ | 1.47 |
* | 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). |
274 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
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Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited)
SEI Institutional Investments Trust (the “Trust”) and SEI Investments Management Corporation (“SIMC”) have entered into an investment advisory agreement (the “Advisory Agreement”). Pursuant to the Advisory Agreement, SIMC oversees the investment advisory services provided to the series of the Trust (the “Funds”) and may manage the cash portion of certain of the Funds’ assets. With the exception of any Fund for which SIMC directly manages the Fund’s 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 charges the Funds and the level of the sub-advisory fees that SIMC pays the Sub-Advisers compared with the fees each charge to comparable mutual funds (although for certain Funds, it was determined that no readily available peer group comparable to such Funds was maintained by an independent party); (vi) the Funds’ overall fees and operating expenses compared with similar mutual funds (although for certain Funds, it was determined that no readily available peer group comparable to such Funds was maintained by an independent party); (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 (although for certain Funds, it was determined that no readily available peer group comparable to such Funds was maintained by an independent party).
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 275 |
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Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) (Concluded)
At the June 19-20, 2013 and the September 10-11, 2013 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 (although for certain Funds, it was determined that no readily available peer group comparable to such Funds was maintained by an independent party); |
• | the Funds’ expenses under each Investment Advisory Agreement and how those expenses compared to those of other comparable mutual funds (although for certain Funds, it was determined that no readily available peer group comparable to such Funds was maintained by an independent party); |
• | 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 including the fact that for certain Funds, it was determined that no readily available peer group comparable to such Funds was maintained by an independent party. 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 including the fact that for certain Funds, it was determined that no readily available peer group comparable to such Funds was maintained by an independent party. The Trustees further considered the fact that the comparative fee analysis either showed that the various fees for the applicable Funds 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.
276 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
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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.
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 | 277 |
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SEI INSTITUTIONAL INVESTMENTS TRUST SEMI-ANNUAL REPORT NOVEMBER 30, 2013
Robert A. Nesher, Chairman
Trustees
William M. Doran
George J. Sullivan, Jr.
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
Edward McCusker
Anti-Money Laundering Compliance Officer
Privacy Officer
Investment Adviser
SEI Investments Management Corporation
Administrator
SEI Investments Global Funds Services
Distributor
SEI Investments Distribution Co.
Legal Counsel
Morgan, Lewis & Bockius LLP
Independent Registered Public Accounting Firm
KPMG LLP
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal.
For more information call
1.800.DIAL.SEI
(1.800.342.5734)
Table of Contents
1 Freedom Valley Drive
Oaks, PA 19456
SEI-F-120 (11/13)
Table of Contents
Item 2. | Code of Ethics. |
Not applicable for semi-annual report.
Item 3. | Audit Committee Financial Expert. |
Not applicable for semi-annual report.
Item 4. | Principal Accountant Fees and Services. |
Not applicable for semi-annual report.
Item 5. | Audit Committee of Listed Registrants. |
Not applicable for semi-annual report.
Item 6. | Schedule of Investments. |
(a) The Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Large Cap Fund, Large Cap Diversified Alpha Fund, Large Cap Disciplined Equity Fund, Large Cap Index Fund, Extended Market Index Fund, Small Cap Fund, Small Cap II Fund, Small/Mid Cap Fund, U.S. Managed Volatility 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 Opportunistic Income 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.
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.1% | ||||||||
Consumer Discretionary — 13.7% | ||||||||
Abercrombie & Fitch, Cl A (A) | 22,900 | $ | 785 | |||||
Amazon.com * | 10,200 | 4,015 | ||||||
Autoliv (A) | 21,400 | 1,987 | ||||||
Best Buy | 144,100 | 5,843 | ||||||
Big Lots * | 17,400 | 667 | ||||||
CBS, Cl B | 144,160 | 8,442 | ||||||
Chipotle Mexican Grill, Cl A | 11,580 | 6,066 | ||||||
Coach (A) | 204,890 | 11,863 | ||||||
Comcast, Cl A | 185,200 | 9,236 | ||||||
Cooper Tire & Rubber (A) | 32,100 | 790 | ||||||
CST Brands (A) | 7,666 | 252 | ||||||
Delphi Automotive | 10,400 | 609 | ||||||
Dillard’s, Cl A | 55,683 | 5,095 | ||||||
DIRECTV * | 68,400 | 4,522 | ||||||
Foot Locker | 25,200 | 980 | ||||||
Ford Motor | 413,500 | 7,062 | ||||||
Fossil Group * (A) | 41,639 | 5,299 | ||||||
GameStop, Cl A (A) | 152,259 | 7,347 | ||||||
Gannett | 85,400 | 2,311 | ||||||
Gap | 19,300 | 791 | ||||||
Goodyear Tire & Rubber | 126,900 | 2,825 | ||||||
Graham Holdings | 400 | 270 | ||||||
Hanesbrands | 4,100 | 288 | ||||||
Harley-Davidson (A) | 147,835 | 9,908 | ||||||
Harman International Industries | 60,070 | 4,868 | ||||||
Home Depot | 79,630 | 6,424 | ||||||
International Game Technology | 96,500 | 1,688 | ||||||
Kohl’s | 61,600 | 3,405 | ||||||
L Brands | 193,900 | 12,602 | ||||||
Lear (A) | 89,900 | 7,453 | ||||||
Liberty Interactive, Cl A * | 492,975 | 13,842 | ||||||
Macy’s | 38,600 | 2,056 | ||||||
Magna International, Cl A (A) | 40,800 | 3,319 | ||||||
Murphy USA * | 8,625 | 390 | ||||||
NetFlix * | 3,100 | 1,134 | ||||||
NIKE, Cl B | 273,690 | 21,660 | ||||||
Nordstrom | 178,624 | 11,112 | ||||||
priceline.com * | 11,100 | 13,235 | ||||||
Ralph Lauren, Cl A | 39,280 | 6,883 | ||||||
Sally Beauty Holdings | 127,550 | 3,589 | ||||||
Signet Jewelers | 41,100 | 3,158 | ||||||
Starbucks | 155,587 | 12,674 | ||||||
Target | 41,900 | 2,679 | ||||||
Tesla Motors * | 4,100 | 522 | ||||||
Time Warner Cable, Cl A | 92,030 | 12,720 | ||||||
TJX | 176,175 | 11,078 | ||||||
TRW Automotive Holdings | 28,000 | 2,173 | ||||||
Tupperware Brands | 4,900 | 448 | ||||||
Twenty-First Century Fox, Cl A | 15,472 | 518 | ||||||
Twenty-First Century Fox | 260,510 | 8,605 | ||||||
Viacom, Cl B | 18,100 | 1,451 | ||||||
Walt Disney | 157,078 | 11,080 | ||||||
Whirlpool | 58,400 | 8,921 | ||||||
Wyndham Worldwide | 5,600 | 401 | ||||||
Yum! Brands | 73,940 | 5,744 | ||||||
|
| |||||||
293,085 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Consumer Staples — 9.8% | ||||||||
Altria Group | 20,300 | $ | 751 | |||||
Anheuser-Busch InBev ADR | 99,724 | 10,183 | ||||||
Archer-Daniels-Midland | 200,000 | 8,050 | ||||||
Coca-Cola | 54,800 | 2,202 | ||||||
Coca-Cola Enterprises | 36,400 | 1,527 | ||||||
Constellation Brands, Cl A * | 7,800 | 549 | ||||||
Costco Wholesale | 189,644 | 23,787 | ||||||
CVS Caremark | 308,708 | 20,671 | ||||||
Energizer Holdings | 25,400 | 2,803 | ||||||
Estee Lauder, Cl A | 253,251 | 18,984 | ||||||
Green Mountain Coffee Roasters (A) | 25,300 | 1,705 | ||||||
Herbalife (A) | 34,000 | 2,369 | ||||||
Hershey | 39,300 | 3,808 | ||||||
Ingredion | 45,200 | 3,126 | ||||||
Kimberly-Clark | 36,900 | 4,028 | ||||||
Kroger | 230,600 | 9,628 | ||||||
Lorillard | 80,400 | 4,127 | ||||||
Mead Johnson Nutrition, Cl A | 155,897 | 13,175 | ||||||
Mondelez International, Cl A | 322,836 | 10,824 | ||||||
Nu Skin Enterprises, Cl A | 55,500 | 7,095 | ||||||
PepsiCo | 22,000 | 1,858 | ||||||
Philip Morris International | 132,120 | 11,301 | ||||||
Procter & Gamble | 62,244 | 5,242 | ||||||
Safeway | 63,200 | 2,210 | ||||||
SUPERVALU * (A) | 60,800 | 392 | ||||||
Tyson Foods, Cl A | 221,200 | 7,010 | ||||||
Walgreen | 254,275 | 15,053 | ||||||
Wal-Mart Stores | 2,540 | 206 | ||||||
Whole Foods Market | 293,295 | 16,601 | ||||||
|
| |||||||
209,265 | ||||||||
|
| |||||||
Energy — 9.3% | ||||||||
Apache | 19,600 | 1,793 | ||||||
Baker Hughes | 44,100 | 2,512 | ||||||
Cabot Oil & Gas | 10,100 | 348 | ||||||
Chesapeake Energy | 29,600 | 795 | ||||||
Chevron | 196,935 | 24,113 | ||||||
Cimarex Energy | 4,700 | 444 | ||||||
ConocoPhillips | 164,100 | 11,946 | ||||||
Core Laboratories | 37,921 | 6,907 | ||||||
Diamond Offshore Drilling (A) | 48,100 | 2,888 | ||||||
EOG Resources | 82,575 | 13,625 | ||||||
Exxon Mobil | 320,272 | 29,939 | ||||||
FMC Technologies * | 118,183 | 5,685 | ||||||
Halliburton | 79,800 | 4,204 | ||||||
Helmerich & Payne | 21,800 | 1,679 | ||||||
Hess | 45,700 | 3,708 | ||||||
Kinder Morgan | 312,938 | 11,122 | ||||||
Marathon Oil | 232,900 | 8,394 | ||||||
Marathon Petroleum | 100,800 | 8,340 | ||||||
Murphy Oil | 107,000 | 6,947 | ||||||
National Oilwell Varco | 100,110 | 8,159 | ||||||
Noble | 32,400 | 1,235 | ||||||
Noble Energy | 96,890 | 6,806 | ||||||
Occidental Petroleum | 51,800 | 4,919 | ||||||
Oceaneering International | 8,400 | 648 | ||||||
Patterson-UTI Energy | 80,300 | 1,872 | ||||||
Phillips 66 | 206,570 | 14,379 | ||||||
Schlumberger | 97,302 | 8,603 | ||||||
SM Energy | 45,900 | 4,046 |
1 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Valero Energy | 69,000 | $ | 3,155 | |||||
|
| |||||||
199,211 | ||||||||
|
| |||||||
Financials — 15.6% | ||||||||
ACE | 17,400 | 1,788 | ||||||
Aflac | 29,700 | 1,971 | ||||||
Allied World Assurance Holdings | 38,312 | 4,316 | ||||||
Allstate | 162,400 | 8,813 | ||||||
American Capital Agency ‡ | 9,400 | 192 | ||||||
American Financial Group | 87,986 | 5,073 | ||||||
American International Group | 388,060 | 19,306 | ||||||
American Tower, Cl A ‡ | 10,900 | 848 | ||||||
Ameriprise Financial | 40,200 | 4,352 | ||||||
Annaly Capital Management ‡ | 71,700 | 728 | ||||||
Associated Banc | 60,900 | 1,050 | ||||||
Assurant | 133,900 | 8,695 | ||||||
AvalonBay Communities ‡ | 3,100 | 368 | ||||||
Axis Capital Holdings | 88,200 | 4,333 | ||||||
Bank of America | 908,700 | 14,376 | ||||||
Bank of Hawaii | 7,100 | 420 | ||||||
Bank of New York Mellon | 127,200 | 4,286 | ||||||
BankUnited | 10,800 | 349 | ||||||
BB&T | 52,400 | 1,820 | ||||||
Berkshire Hathaway, Cl B * | 25,658 | 2,990 | ||||||
BOK Financial | 3,100 | 196 | ||||||
Boston Properties ‡ | 2,900 | 288 | ||||||
Brandywine Realty Trust ‡ | 56,000 | 744 | ||||||
Capital One Financial | 103,000 | 7,378 | ||||||
CBL & Associates Properties ‡ | 65,600 | 1,185 | ||||||
CBOE Holdings | 56,400 | 2,949 | ||||||
CBRE Group, Cl A | 57,800 | 1,401 | ||||||
Charles Schwab | 327,719 | 8,022 | ||||||
Chubb | 54,200 | 5,228 | ||||||
Citigroup | 372,250 | 19,699 | ||||||
CME Group, Cl A | 81,625 | 6,689 | ||||||
CNA Financial | 21,600 | 897 | ||||||
Comerica | 47,100 | 2,136 | ||||||
Commerce Bancshares | 10,185 | 460 | ||||||
Discover Financial Services | 180,447 | 9,618 | ||||||
East West Bancorp | 16,300 | 559 | ||||||
Endurance Specialty Holdings | 19,600 | 1,115 | ||||||
Equity Residential ‡ | 8,700 | 448 | ||||||
Everest Re Group | 46,700 | 7,324 | ||||||
Fifth Third Bancorp | 432,400 | 8,786 | ||||||
First Niagara Financial Group | 102,600 | 1,143 | ||||||
General Growth Properties ‡ | 14,500 | 301 | ||||||
Genworth Financial, Cl A * | 21,200 | 320 | ||||||
Goldman Sachs Group | 18,200 | 3,075 | ||||||
Hartford Financial Services Group (A) | 64,800 | 2,309 | ||||||
HCC Insurance Holdings | 6,000 | 276 | ||||||
HCP ‡ | 8,000 | 294 | ||||||
Health Care ‡ | 6,900 | 386 | ||||||
Hospitality Properties Trust ‡ | 35,500 | 965 | ||||||
Host Hotels & Resorts ‡ | 14,300 | 263 | ||||||
Huntington Bancshares | 727,600 | 6,679 | ||||||
IntercontinentalExchange Group | 43,100 | 9,193 | ||||||
JPMorgan Chase | 373,390 | 21,365 | ||||||
KeyCorp | 756,600 | 9,647 | ||||||
Kimco Realty ‡ | 11,200 | 231 | ||||||
Lincoln National | 107,578 | 5,522 |
Description | Shares | Market Value ($ Thousands) | ||||||
McGraw-Hill | 12,500 | $ | 931 | |||||
MetLife | 43,500 | 2,270 | ||||||
Montpelier Re Holdings | 49,200 | 1,430 | ||||||
Morgan Stanley | 42,300 | 1,324 | ||||||
Northern Trust | 14,200 | 838 | ||||||
Old Republic International | 27,900 | 480 | ||||||
PartnerRe | 32,000 | 3,293 | ||||||
PNC Financial Services Group | 87,900 | 6,764 | ||||||
Progressive (A) | 297,100 | 8,298 | ||||||
Prologis ‡ | 9,000 | 341 | ||||||
Protective Life | 86,228 | 4,137 | ||||||
Prudential Financial | 42,700 | 3,790 | ||||||
Public Storage ‡ | 2,700 | 412 | ||||||
Regions Financial | 173,900 | 1,692 | ||||||
Reinsurance Group of America, Cl A | 51,371 | 3,852 | ||||||
RenaissanceRe Holdings | 11,600 | 1,099 | ||||||
Simon Property Group ‡ | 8,300 | 1,244 | ||||||
SLM | 282,599 | 7,531 | ||||||
State Street | 44,100 | 3,202 | ||||||
SunTrust Banks | 43,500 | 1,576 | ||||||
Travelers | 125,100 | 11,352 | ||||||
Unum Group | 153,500 | 5,153 | ||||||
US Bancorp | 48,400 | 1,898 | ||||||
Validus Holdings | 31,300 | 1,254 | ||||||
Ventas ‡ | 4,915 | 279 | ||||||
Vornado Realty Trust ‡ | 3,600 | 317 | ||||||
Waddell & Reed Financial, Cl A | 81,000 | 5,162 | ||||||
Wells Fargo | 461,171 | 20,301 | ||||||
Weyerhaeuser ‡ | 14,500 | 437 | ||||||
|
| |||||||
333,822 | ||||||||
|
| |||||||
Health Care — 14.0% | ||||||||
Abbott Laboratories | 101,100 | 3,861 | ||||||
AbbVie | 70,500 | 3,416 | ||||||
Aetna | 75,500 | 5,204 | ||||||
Alexion Pharmaceuticals * | 39,480 | 4,915 | ||||||
Allergan | 103,175 | 10,013 | ||||||
AmerisourceBergen | 80,900 | 5,706 | ||||||
Amgen | 133,385 | 15,217 | ||||||
Baxter International | 49,100 | 3,361 | ||||||
Biogen Idec * | 68,165 | 19,834 | ||||||
Bristol-Myers Squibb | 154,440 | 7,935 | ||||||
Cardinal Health | 72,700 | 4,696 | ||||||
Celgene * | 181,724 | 29,397 | ||||||
Cigna | 95,000 | 8,308 | ||||||
Covance * | 60,092 | 5,071 | ||||||
Cubist Pharmaceuticals * | 13,500 | 925 | ||||||
DaVita * | 97,722 | 5,819 | ||||||
Eli Lilly | 43,163 | 2,168 | ||||||
Express Scripts Holding * | 325,049 | 21,892 | ||||||
Gilead Sciences * | 123,824 | 9,263 | ||||||
Health Net | 9,700 | 296 | ||||||
Humana | 69,670 | 7,245 | ||||||
Idexx Laboratories * (A) | 27,096 | 2,822 | ||||||
Incyte (A) | 10,500 | 489 | ||||||
Intuitive Surgical | 18,926 | 7,133 | ||||||
Johnson & Johnson | 199,535 | 18,888 | ||||||
McKesson | 42,100 | 6,984 | ||||||
Medtronic | 50,600 | 2,900 | ||||||
Merck | 101,700 | 5,068 | ||||||
Myriad Genetics * (A) | 17,300 | 515 |
2 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Novo Nordisk ADR | 38,480 | $ | 6,878 | |||||
Omnicare (A) | 91,736 | 5,255 | ||||||
Perrigo (A) | 39,625 | 6,177 | ||||||
Pfizer | 749,860 | 23,793 | ||||||
Pharmacyclics * | 9,100 | 1,133 | ||||||
Questcor Pharmaceuticals (A) | 27,100 | 1,572 | ||||||
Shire ADR | 54,550 | 7,408 | ||||||
St. Jude Medical | 39,300 | 2,296 | ||||||
United Therapeutics * | 71,000 | 6,554 | ||||||
VCA Antech * | 8,900 | 267 | ||||||
WellPoint | 152,200 | 14,136 | ||||||
Zimmer Holdings | 45,700 | 4,178 | ||||||
|
| |||||||
298,988 | ||||||||
|
| |||||||
Industrials — 8.7% | ||||||||
AECOM Technology * | 60,000 | 1,744 | ||||||
AGCO | 51,200 | 2,984 | ||||||
Alaska Air Group | 19,900 | 1,547 | ||||||
Alliant Techsystems | 56,956 | 6,905 | ||||||
Canadian Pacific Railway | 75,380 | 11,600 | ||||||
Caterpillar | 29,800 | 2,521 | ||||||
Copa Holdings, Cl A | 10,269 | 1,555 | ||||||
Crane | 8,000 | 498 | ||||||
Cummins | 66,760 | 8,836 | ||||||
Danaher | 105,147 | 7,865 | ||||||
Deere | 55,900 | 4,709 | ||||||
Delta Air Lines | 101,300 | 2,935 | ||||||
Engility Holdings | 6,500 | 207 | ||||||
Exelis | 280,900 | 4,963 | ||||||
FedEx | 22,600 | 3,135 | ||||||
Fluor | 116,419 | 9,058 | ||||||
General Dynamics | 21,400 | 1,962 | ||||||
General Electric | 34,885 | 930 | ||||||
Huntington Ingalls Industries | 56,400 | 4,638 | ||||||
ITT | 13,500 | 551 | ||||||
Kansas City Southern | 47,350 | 5,730 | ||||||
L-3 Communications Holdings, Cl 3 | 95,200 | 9,849 | ||||||
Lincoln Electric Holdings | 7,800 | 558 | ||||||
Lockheed Martin | 27,500 | 3,896 | ||||||
Nielsen Holdings | 108,860 | 4,698 | ||||||
Norfolk Southern | 30,300 | 2,657 | ||||||
Northrop Grumman | 114,900 | 12,947 | ||||||
Old Dominion Freight Line * | 7,100 | 366 | ||||||
Oshkosh Truck | 53,000 | 2,584 | ||||||
Pall | 114,440 | 9,579 | ||||||
Pentair | 141,210 | 9,986 | ||||||
Raytheon | 124,007 | 10,997 | ||||||
Robert Half International | 16,000 | 618 | ||||||
Roper Industries | 47,662 | 6,182 | ||||||
RR Donnelley & Sons (A) | 91,000 | 1,684 | ||||||
Ryder System | 5,600 | 391 | ||||||
Southwest Airlines | 222,683 | 4,140 | ||||||
Stericycle * | 58,342 | 6,854 | ||||||
Timken | 49,900 | 2,583 | ||||||
Towers Watson, Cl A | 10,300 | 1,160 | ||||||
Trinity Industries | 32,100 | 1,666 | ||||||
Union Pacific | 20,840 | 3,377 | ||||||
United Continental Holdings * | 62,900 | 2,469 | ||||||
URS | 26,500 | 1,377 | ||||||
Waste Management | 12,700 | 580 | ||||||
|
| |||||||
186,071 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Information Technology — 20.4% | ||||||||
Accenture, Cl A | 69,747 | $ | 5,403 | |||||
Activision Blizzard | 84,500 | 1,454 | ||||||
Adobe Systems * | 510,756 | 29,001 | ||||||
Amdocs | 157,200 | 6,360 | ||||||
Amphenol, Cl A | 78,846 | 6,702 | ||||||
Ansys | 46,392 | 3,974 | ||||||
AOL | 1,300 | 58 | ||||||
Apple | 40,879 | 22,732 | ||||||
Applied Materials | 566,220 | 9,795 | ||||||
Arrow Electronics * | 47,200 | 2,423 | ||||||
Atmel | 138,400 | 1,059 | ||||||
Avnet | 50,500 | 2,015 | ||||||
Broadridge Financial Solutions | 7,900 | 301 | ||||||
Brocade Communications Systems * | 181,000 | 1,591 | ||||||
CA | 168,600 | 5,564 | ||||||
Cisco Systems | 303,400 | 6,447 | ||||||
Cognizant Technology Solutions, Cl A * | 44,038 | 4,135 | ||||||
Computer Sciences | 31,300 | 1,647 | ||||||
CoreLogic | 97,200 | 3,424 | ||||||
Corning | 194,600 | 3,324 | ||||||
eBay * | 365,647 | 18,472 | ||||||
EMC | 449,419 | 10,719 | ||||||
F5 Networks * | 38,150 | 3,138 | ||||||
Facebook, Cl A * | 235,180 | 11,056 | ||||||
Fidelity National Information Services | 40,100 | 2,032 | ||||||
Flextronics International * | 106,600 | 808 | ||||||
FLIR Systems | 15,100 | 448 | ||||||
Genpact * | 231,871 | 4,151 | ||||||
Google, Cl A * | 23,805 | 25,223 | ||||||
Harris | 23,600 | 1,522 | ||||||
Hewlett-Packard | 129,700 | 3,547 | ||||||
Ingram Micro, Cl A * | 261,382 | 6,127 | ||||||
Intel | 162,900 | 3,883 | ||||||
Intuit | 119,200 | 8,848 | ||||||
Leidos Holdings * (A) | 20,150 | 980 | ||||||
Lender Processing Services | 12,388 | 435 | ||||||
Lexmark International, Cl A (A) | 15,800 | 559 | ||||||
LinkedIn, Cl A * | 21,260 | 4,763 | ||||||
Marvell Technology Group | 376,300 | 5,355 | ||||||
Mastercard, Cl A | 33,210 | 25,267 | ||||||
Microsoft | 602,050 | 22,956 | ||||||
National Instruments | 124,767 | 3,900 | ||||||
NetApp | 126,239 | 5,207 | ||||||
Nokia ADR | 298,699 | 2,408 | ||||||
Oracle | 440,224 | 15,536 | ||||||
Qualcomm | 460,951 | 33,917 | ||||||
Rovi | 37,500 | 690 | ||||||
Salesforce.com * (A) | 109,887 | 5,724 | ||||||
SanDisk | 64,000 | 4,362 | ||||||
Science Applications International (A) | 11,514 | 424 | ||||||
Seagate Technology | 41,100 | 2,015 | ||||||
Skyworks Solutions | 12,800 | 340 | ||||||
Symantec | 22,700 | 511 | ||||||
TE Connectivity | 29,200 | 1,539 | ||||||
Tech Data | 29,585 | 1,534 | ||||||
Teradata * | 229,620 | 10,480 | ||||||
Texas Instruments | 172,340 | 7,411 |
3 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Fund
November 30, 2013
Description | Shares/ Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Twitter * (A) | 80,600 | $ | 3,351 | |||||
VeriFone Holdings * | 90,025 | 2,306 | ||||||
VeriSign * (A) | 115,750 | 6,582 | ||||||
Visa, Cl A | 127,961 | 26,035 | ||||||
Vishay Intertechnology * (A) | 59,500 | 769 | ||||||
Western Digital | 153,398 | 11,511 | ||||||
Xerox | 408,000 | 4,643 | ||||||
Yahoo! * | 123,400 | 4,563 | ||||||
Zebra Technologies, Cl A * | 3,200 | 166 | ||||||
|
| |||||||
433,622 | ||||||||
|
| |||||||
Materials — 2.9% |
| |||||||
Alcoa (A) | 93,900 | 902 | ||||||
CF Industries Holdings | 15,400 | 3,348 | ||||||
Cliffs Natural Resources (A) | 53,000 | 1,325 | ||||||
Domtar | 14,300 | 1,223 | ||||||
Dow Chemical | 191,240 | 7,470 | ||||||
Eastman Chemical | 24,000 | 1,849 | ||||||
Ecolab | 65,507 | 7,020 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 43,500 | 1,509 | ||||||
Huntsman | 102,600 | 2,353 | ||||||
LyondellBasell Industries, Cl A | 159,442 | 12,306 | ||||||
Owens-Illinois * | 58,300 | 1,924 | ||||||
Packaging Corp of America | 47,100 | 2,885 | ||||||
PPG Industries | 22,471 | 4,136 | ||||||
Reliance Steel & Aluminum | 13,500 | 993 | ||||||
Rock Tenn, Cl A | 32,950 | 3,111 | ||||||
Steel Dynamics | 55,200 | 1,006 | ||||||
Syngenta ADR | 69,866 | 5,478 | ||||||
Westlake Chemical | 13,800 | 1,553 | ||||||
|
| |||||||
60,391 | ||||||||
|
| |||||||
Telecommunication Services — 1.4% |
| |||||||
AT&T | 57,400 | 2,021 | ||||||
Crown Castle International * | 325,011 | 24,125 | ||||||
Telephone & Data Systems | 31,200 | 868 | ||||||
Verizon Communications (A) | 83,000 | 4,119 | ||||||
|
| |||||||
31,133 | ||||||||
|
| |||||||
Utilities — 1.4% | ||||||||
AES | 313,700 | 4,570 | ||||||
Ameren | 41,800 | 1,498 | ||||||
American Electric Power | 138,700 | 6,527 | ||||||
Duke Energy | 8,100 | 566 | ||||||
Edison International | 97,900 | 4,524 | ||||||
Entergy | 72,400 | 4,481 | ||||||
Exelon | 103,000 | 2,772 | ||||||
Public Service Enterprise Group | 121,200 | 3,962 | ||||||
SCANA | 13,100 | 618 | ||||||
|
| |||||||
29,518 | ||||||||
|
| |||||||
Total Common Stock | 2,075,106 | |||||||
|
| |||||||
Number Of Warrants | ||||||||
WARRANTS — 0.0% | ||||||||
Kinder Morgan, Expires | ||||||||
02/15/2017 *, Expires 2017 | 101,260 | 446 | ||||||
|
| |||||||
Total Warrants | 446 | |||||||
|
|
Description | Shares/ Face Amount | Market Value ($ Thousands) | ||||||
AFFILIATED PARTNERSHIP — 3.7% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.080% ** † (B) | $ | 78,697,856 | $ | 78,698 | ||||
|
| |||||||
Total Affiliated Partnership | 78,698 | |||||||
|
| |||||||
CASH EQUIVALENTS — 2.0% |
| |||||||
Investors Cash Trust - Treasury Portfolio - DWS | ||||||||
US Treasury Money Fund 0.010% ** | 1,523,425 | 1,523 | ||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010% ** † | 42,096,695 | 42,097 | ||||||
|
| |||||||
Total Cash Equivalents | 43,620 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.2% |
| |||||||
U.S. Treasury Bills | ||||||||
0.070%, 02/06/2014 | 1,613 | 1,613 | ||||||
0.040%, 01/09/2014 | 1,187 | 1,187 | ||||||
0.000%, 07/24/2014 | 500 | 500 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 3,300 | |||||||
|
| |||||||
Total Investments — 103.0% | $ | 2,201,170 | ||||||
|
|
A summary of the open futures contracts held by the Fund at November 30, 2013, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index EMINI | 143 | Dec-2013 | $ | 104 | ||||||||
|
|
For the period ended November 30, 2013, 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 $2,137,961 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2013. |
† | Investment in Affiliated Security. |
‡ | Real Estate Investment Trust. |
(A) | This security or a partial position of this security is on loan at November 30, 2013. The total value of securities on loan at November 30, 2013 was $77,131 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total value of such securities as of November 30, 2013 was $78,698 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(D) | The rate reported is the effective yield at time of purchase. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
4 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Fund
November 30, 2013
The following is a list of the inputs used as of November 30, 2013, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 2,075,106 | $ | — | $ | — | $ | 2,075,106 | ||||||||
Warrants | 446 | — | — | 446 | ||||||||||||
Affiliated Partnership | — | 78,698 | — | 78,698 | ||||||||||||
Cash Equivalents | 43,620 | — | — | 43,620 | ||||||||||||
U.S. Treasury Obligations | — | 3,300 | — | 3,300 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,119,172 | $ | 81,998 | $ | — | $ | 2,201,170 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 104 | $ | — | $ | — | $ | 104 | ||||||||
|
|
|
|
|
|
|
|
* Futures contracts are valued at the unrealized appreciation on the instrument.
For the period ended November 30, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2013, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $O or have been rounded to $O.
The accompanying notes are an integral part of the financial statements.
5 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Diversified Alpha Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.0% | ||||||||
Consumer Discretionary — 14.6% |
| |||||||
AutoZone * | 194 | $ | 90 | |||||
Bed Bath & Beyond * | 14,745 | 1,151 | ||||||
Best Buy | 23,853 | 967 | ||||||
BorgWarner | 692 | 74 | ||||||
Carmax | 2,100 | 106 | ||||||
CBS, Cl B | 1,488 | 87 | ||||||
Charter Communications, Cl A * | 600 | 81 | ||||||
Chipotle Mexican Grill, Cl A | 129 | 68 | ||||||
Coach | 35,633 | 2,063 | ||||||
Comcast, Cl A | 18,600 | 928 | ||||||
Delphi Automotive | 14,688 | 860 | ||||||
Dillard’s, Cl A | 5,400 | 494 | ||||||
DIRECTV * | 2,277 | 151 | ||||||
Discovery Communications, Cl A * | 1,800 | 157 | ||||||
DISH Network, Cl A | 2,100 | 114 | ||||||
Dollar Tree | 1,550 | 86 | ||||||
Ford Motor | 38,618 | 660 | ||||||
GameStop, Cl A | 15,944 | 769 | ||||||
Gap | 22,269 | 912 | ||||||
General Motors * | 54,280 | 2,102 | ||||||
Genuine Parts | 1,400 | 116 | ||||||
Goodyear Tire & Rubber | 33,314 | 742 | ||||||
H&R Block | 3,000 | 84 | ||||||
Hanesbrands | 1,200 | 84 | ||||||
Home Depot | 5,500 | 444 | ||||||
HSN | 2,800 | 161 | ||||||
International Game Technology | 3,500 | 61 | ||||||
Interpublic Group | 4,800 | 83 | ||||||
Jarden * | 1,119 | 63 | ||||||
Johnson Controls | 12,300 | 621 | ||||||
L Brands | 37,050 | 2,408 | ||||||
Lear | 12,983 | 1,076 | ||||||
Liberty Interactive, Cl A * | 113,082 | 3,175 | ||||||
Lowe’s | 3,215 | 153 | ||||||
Macy’s | 17,056 | 909 | ||||||
Magna International, Cl A | 9,991 | 813 | ||||||
Mattel | 2,900 | 134 | ||||||
McDonald’s | 1,842 | 179 | ||||||
Mohawk Industries * | 700 | 98 | ||||||
Newell Rubbermaid | 3,100 | 94 | ||||||
News * | 5,275 | 95 | ||||||
NIKE, Cl B | 54,978 | 4,351 | ||||||
Nordstrom | 44,369 | 2,760 | ||||||
Omnicom Group | 2,100 | 150 | ||||||
O’Reilly Automotive | 900 | 112 | ||||||
Polaris Industries | 4,840 | 646 | ||||||
priceline.com * | 2,780 | 3,315 | ||||||
Ralph Lauren, Cl A | 397 | 70 | ||||||
Ross Stores | 1,165 | 89 | ||||||
Sally Beauty Holdings | 30,259 | 851 | ||||||
Scripps Networks Interactive, Cl A | 1,100 | 82 | ||||||
Signet Jewelers | 1,000 | 77 | ||||||
Staples | 6,400 | 99 | ||||||
Starbucks | 2,235 | 182 | ||||||
Target | 13,361 | 854 | ||||||
Time Warner | 4,400 | 289 | ||||||
Time Warner Cable, Cl A | 1,800 | 249 |
Description | Shares | Market Value ($ Thousands) | ||||||
TJX | 47,418 | $ | 2,982 | |||||
Toyota Motor ADR | 18,677 | 2,335 | ||||||
TripAdvisor * | 1,200 | 106 | ||||||
TRW Automotive Holdings | 1,100 | 85 | ||||||
Tupperware Brands | 700 | 64 | ||||||
VF | 347 | 81 | ||||||
Viacom, Cl B | 2,700 | 216 | ||||||
Walt Disney | 39,552 | 2,790 | ||||||
Whirlpool | 800 | 122 | ||||||
Williams-Sonoma | 1,200 | 71 | ||||||
Wynn Resorts | 362 | 60 | ||||||
Yum! Brands | 1,127 | 88 | ||||||
|
| |||||||
46,689 | ||||||||
|
| |||||||
Consumer Staples — 10.2% |
| |||||||
Altria Group | 9,100 | 336 | ||||||
Archer-Daniels-Midland | 1,732 | 70 | ||||||
Avon Products | 3,480 | 62 | ||||||
Brown-Forman, Cl B | 1,500 | 112 | ||||||
Campbell Soup | 2,000 | 77 | ||||||
Church & Dwight | 1,500 | 98 | ||||||
Clorox | 1,300 | 121 | ||||||
Coca-Cola Enterprises | 18,455 | 774 | ||||||
Colgate-Palmolive | 4,500 | 296 | ||||||
ConAgra Foods | 3,700 | 122 | ||||||
Constellation Brands, Cl A * | 1,500 | 106 | ||||||
Costco Wholesale | 23,057 | 2,892 | ||||||
CVS Caremark | 46,666 | 3,125 | ||||||
Dr. Pepper Snapple Group | 1,376 | 66 | ||||||
Energizer Holdings | 800 | 89 | ||||||
Estee Lauder, Cl A | 38,008 | 2,849 | ||||||
General Mills | 4,000 | 202 | ||||||
Green Mountain Coffee Roasters | 4,626 | 312 | ||||||
Hershey | 11,700 | 1,134 | ||||||
Hillshire Brands | 10,200 | 341 | ||||||
Hormel Foods | 1,700 | 76 | ||||||
Ingredion | 900 | 62 | ||||||
JM Smucker | 1,000 | 104 | ||||||
Kellogg | 2,100 | 127 | ||||||
Kimberly-Clark | 2,200 | 240 | ||||||
Kraft Foods Group | 3,700 | 196 | ||||||
Kroger | 58,874 | 2,458 | ||||||
Lorillard | 22,541 | 1,157 | ||||||
McCormick | 1,400 | 97 | ||||||
Mead Johnson Nutrition, Cl A | 6,994 | 591 | ||||||
Mondelez International, Cl A | 84,630 | 2,838 | ||||||
Monster Beverage | 9,236 | 547 | ||||||
Nu Skin Enterprises, Cl A | 8,055 | 1,030 | ||||||
PepsiCo | 2,810 | 237 | ||||||
Philip Morris International | 5,454 | 467 | ||||||
Reynolds American | 2,500 | 126 | ||||||
Safeway | 2,600 | 91 | ||||||
Sysco | 4,500 | 152 | ||||||
Tyson Foods, Cl A | 34,700 | 1,100 | ||||||
Walgreen | 52,112 | 3,085 | ||||||
Wal-Mart Stores | 25,889 | 2,097 | ||||||
Whole Foods Market | 35,641 | 2,017 | ||||||
|
| |||||||
32,079 | ||||||||
|
| |||||||
Energy — 9.1% |
| |||||||
Anadarko Petroleum | 1,550 | 138 | ||||||
Apache | 19,136 | 1,751 | ||||||
Baker Hughes | 4,769 | 272 |
1 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Diversified Alpha Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
BP PLC ADR | 64,404 | $ | 3,028 | |||||
Cabot Oil & Gas | 1,809 | 62 | ||||||
Chesapeake Energy | 2,404 | 65 | ||||||
Chevron | 26,418 | 3,235 | ||||||
ConocoPhillips | 20,400 | 1,485 | ||||||
Diamond Offshore Drilling | 13,600 | 817 | ||||||
EOG Resources | 25,025 | 4,129 | ||||||
EQT | 1,300 | 111 | ||||||
Exxon Mobil | 12,300 | 1,150 | ||||||
Halliburton | 58,703 | 3,092 | ||||||
Helmerich & Payne | 1,000 | 77 | ||||||
Hess | 24,752 | 2,008 | ||||||
HollyFrontier | 2,100 | 101 | ||||||
Kinder Morgan | 81,249 | 2,887 | ||||||
Marathon Oil | 22,700 | 818 | ||||||
Marathon Petroleum | 1,126 | 93 | ||||||
Murphy Oil | 17,120 | 1,112 | ||||||
Noble Energy | 2,400 | 168 | ||||||
Occidental Petroleum | 18,391 | 1,746 | ||||||
Oceaneering International | 1,100 | 85 | ||||||
Phillips 66 | 2,296 | 160 | ||||||
Pioneer Natural Resources | 320 | 57 | ||||||
SM Energy | 3,907 | 344 | ||||||
Tesoro | 1,600 | 94 | ||||||
Valero Energy | 1,891 | 86 | ||||||
|
| |||||||
29,171 | ||||||||
|
| |||||||
Financials — 13.8% |
| |||||||
ACE | 8,872 | 912 | ||||||
Affiliated Managers Group * | 500 | 100 | ||||||
Aflac | 2,273 | 151 | ||||||
Allstate | 23,100 | 1,254 | ||||||
American Capital Agency ‡ | 2,674 | 54 | ||||||
American Financial Group | 12,000 | 692 | ||||||
American International Group | 24,055 | 1,197 | ||||||
Ameriprise Financial | 5,010 | 542 | ||||||
Aon | 2,100 | 171 | ||||||
Arch Capital Group * | 1,500 | 88 | ||||||
Arthur J Gallagher | 1,600 | 74 | ||||||
Assurant | 15,335 | 996 | ||||||
Axis Capital Holdings | 21,992 | 1,080 | ||||||
Bank of America | 101,400 | 1,604 | ||||||
BB&T | 4,800 | 167 | ||||||
Berkshire Hathaway, Cl B * | 16,835 | 1,962 | ||||||
Blackstone Group | 19,800 | 566 | ||||||
Charles Schwab | 32,100 | 786 | ||||||
Chubb | 1,800 | 174 | ||||||
Cincinnati Financial | 1,800 | 94 | ||||||
Citigroup | 25,808 | 1,366 | ||||||
CME Group, Cl A | 19,221 | 1,575 | ||||||
Comerica | 2,000 | 91 | ||||||
Commerce Bancshares | 1,260 | 57 | ||||||
Discover Financial Services | 20,233 | 1,078 | ||||||
Everest Re Group | 7,000 | 1,098 | ||||||
Fidelity National Financial, Cl A | 2,700 | 79 | ||||||
Fifth Third Bancorp | 54,762 | 1,113 | ||||||
Genworth Financial, Cl A * | 5,700 | 86 | ||||||
Goldman Sachs Group | 1,984 | 335 |
Description | Shares | Market Value ($ Thousands) | ||||||
Hartford Financial Services Group | 30,100 | $ | 1,072 | |||||
Hatteras Financial ‡ | 46,359 | 775 | ||||||
HCC Insurance Holdings | 1,400 | 64 | ||||||
Huntington Bancshares | 100,622 | 924 | ||||||
IntercontinentalExchange Group | 13,111 | 2,796 | ||||||
Invesco | 1,824 | 64 | ||||||
JPMorgan Chase | 69,143 | 3,956 | ||||||
KeyCorp | 66,622 | 849 | ||||||
KKR | 35,720 | 848 | ||||||
Lincoln National | 18,200 | 934 | ||||||
Marsh & McLennan | 3,800 | 180 | ||||||
McGraw-Hill | 4,291 | 320 | ||||||
MetLife | 45,536 | 2,377 | ||||||
Moody’s | 1,700 | 127 | ||||||
Morgan Stanley | 2,325 | 73 | ||||||
NASDAQ OMX Group | 1,600 | 63 | ||||||
PartnerRe | 700 | 72 | ||||||
Plum Creek Timber ‡ | 1,700 | 74 | ||||||
PNC Financial Services Group | 1,207 | 93 | ||||||
Principal Financial Group | 1,254 | 64 | ||||||
Progressive | 79,625 | 2,224 | ||||||
Raymond James Financial | 1,500 | 72 | ||||||
Rayonier ‡ | 1,400 | 62 | ||||||
Regions Financial | 6,213 | 61 | ||||||
Reinsurance Group of America, Cl A | 1,000 | 75 | ||||||
SLM | 36,961 | 985 | ||||||
State Street | 2,193 | 159 | ||||||
SunTrust Banks | 23,611 | 855 | ||||||
T. Rowe Price Group | 2,000 | 161 | ||||||
TD Ameritrade Holding | 2,700 | 78 | ||||||
Torchmark | 1,100 | 84 | ||||||
Travelers | 14,850 | 1,347 | ||||||
Two Harbors Investment ‡ | 77,417 | 716 | ||||||
Unum Group | 2,800 | 94 | ||||||
Wells Fargo | 50,532 | 2,224 | ||||||
XL Group, Cl A | 3,000 | 96 | ||||||
Zions Bancorporation | 2,400 | 70 | ||||||
|
| |||||||
44,630 | ||||||||
|
| |||||||
Health Care — 14.1% |
| |||||||
AbbVie | 5,391 | 261 | ||||||
Actavis * | 764 | 125 | ||||||
Aetna | 2,438 | 168 | ||||||
Allergan | 27,850 | 2,703 | ||||||
AmerisourceBergen | 18,300 | 1,291 | ||||||
Amgen | 25,014 | 2,853 | ||||||
Baxter International | 3,100 | 212 | ||||||
Becton Dickinson | 1,500 | 163 | ||||||
Biogen Idec * | 9,740 | 2,834 | ||||||
Boston Scientific * | 5,115 | 59 | ||||||
C.R. Bard | 510 | 71 | ||||||
Cardinal Health | 10,200 | 659 | ||||||
CareFusion * | 2,300 | 92 | ||||||
Celgene * | 38,602 | 6,245 | ||||||
Cerner | 1,227 | 71 | ||||||
Cigna | 7,996 | 699 | ||||||
Cooper | 600 | 79 | ||||||
Covidien | 3,000 | 205 | ||||||
DaVita * | 1,800 | 107 | ||||||
Eli Lilly | 5,100 | 256 | ||||||
Express Scripts Holding * | 41,031 | 2,763 |
2 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Diversified Alpha Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Gilead Sciences * | 16,718 | $ | 1,251 | |||||
GlaxoSmithKline ADR | 18,166 | 961 | ||||||
HCA Holdings | 2,400 | 111 | ||||||
Henry Schein * | 900 | 103 | ||||||
Humana | 23,008 | 2,393 | ||||||
Illumina * | 633 | 62 | ||||||
Johnson & Johnson | 29,883 | 2,829 | ||||||
Laboratory Corp of America Holdings * | 900 | 92 | ||||||
Life Technologies | 1,500 | 113 | ||||||
McKesson | 9,600 | 1,593 | ||||||
MEDNAX | 600 | 67 | ||||||
Medtronic | 4,900 | 281 | ||||||
Merck | 43,235 | 2,154 | ||||||
Mettler Toledo International | 300 | 74 | ||||||
Mylan Laboratories * | 3,200 | 141 | ||||||
Novartis ADR | 9,456 | 748 | ||||||
Novo Nordisk ADR | 9,675 | 1,729 | ||||||
Omnicare | 18,000 | 1,031 | ||||||
Perrigo | 9,950 | 1,551 | ||||||
Pfizer | 55,608 | 1,765 | ||||||
Questcor Pharmaceuticals | 1,500 | 87 | ||||||
ResMed | 1,500 | 73 | ||||||
St. Jude Medical | 2,300 | 134 | ||||||
Stryker | 2,300 | 171 | ||||||
Tenet Healthcare * | 1,400 | 60 | ||||||
United Therapeutics * | 10,396 | 960 | ||||||
UnitedHealth Group | 5,800 | 432 | ||||||
Universal Health Services, Cl B | 1,000 | 82 | ||||||
Waters * | 800 | 80 | ||||||
WellPoint | 25,370 | 2,356 | ||||||
Zimmer Holdings | 1,400 | 128 | ||||||
|
| |||||||
45,528 | ||||||||
|
| |||||||
Industrials — 7.4% |
| |||||||
3M | 2,900 | 387 | ||||||
AECOM Technology * | 7,378 | 214 | ||||||
Alliant Techsystems | 8,772 | 1,063 | ||||||
Ametek | 2,200 | 108 | ||||||
BE Aerospace * | 1,100 | 96 | ||||||
Boeing | 1,166 | 157 | ||||||
Caterpillar | 14,245 | 1,205 | ||||||
Chicago Bridge & Iron | 1,100 | 84 | ||||||
Cintas | 1,300 | 72 | ||||||
CSX | 4,663 | 127 | ||||||
Cummins | 3,850 | 510 | ||||||
Deere | 945 | 80 | ||||||
Delta Air Lines | 98,257 | 2,848 | ||||||
Dover | 1,500 | 136 | ||||||
Dun & Bradstreet | 600 | 70 | ||||||
Emerson Electric | 2,221 | 149 | ||||||
Equifax | 1,400 | 94 | ||||||
Exelis | 51,566 | 911 | ||||||
FedEx | 1,005 | 139 | ||||||
Flowserve | 1,500 | 107 | ||||||
Fluor | 780 | 61 | ||||||
Fortune Brands Home & Security | 1,900 | 83 | ||||||
General Dynamics | 5,500 | 504 | ||||||
General Electric | 53,344 | 1,422 | ||||||
Hertz Global Holdings * | 51,300 | 1,244 | ||||||
Honeywell International | 2,302 | 204 | ||||||
Hubbell, Cl B | 700 | 75 | ||||||
Huntington Ingalls Industries | 11,882 | 977 |
Description | Shares | Market Value ($ Thousands) | ||||||
IDEX | 1,100 | $ | 78 | |||||
Illinois Tool Works | 2,400 | 191 | ||||||
Ingersoll-Rand | 2,300 | 164 | ||||||
Jacobs Engineering Group * | 1,400 | 84 | ||||||
Joy Global | 19,045 | 1,077 | ||||||
Kansas City Southern | 1,000 | 121 | ||||||
L-3 Communications Holdings, Cl 3 | 11,400 | 1,179 | ||||||
Lincoln Electric Holdings | 1,000 | 72 | ||||||
Lockheed Martin | 8,400 | 1,190 | ||||||
Manpowergroup | 900 | 72 | ||||||
Norfolk Southern | 1,104 | 97 | ||||||
Northrop Grumman | 12,100 | 1,363 | ||||||
Oshkosh Truck | 8,070 | 393 | ||||||
Paccar | 1,744 | 100 | ||||||
Pall | 1,100 | 92 | ||||||
Parker Hannifin | 780 | 92 | ||||||
Raytheon | 15,200 | 1,348 | ||||||
Republic Services, Cl A | 2,800 | 98 | ||||||
Robert Half International | 1,700 | 66 | ||||||
Rockwell Automation | 762 | 87 | ||||||
Rockwell Collins | 1,300 | 95 | ||||||
Snap-on | 700 | 74 | ||||||
Southwest Airlines | 16,318 | 303 | ||||||
Towers Watson, Cl A | 700 | 79 | ||||||
Union Pacific | 3,300 | 535 | ||||||
United Continental Holdings * | 1,718 | 68 | ||||||
United Technologies | 1,692 | 188 | ||||||
URS | 7,392 | 384 | ||||||
US Airways Group * | 24,500 | 575 | ||||||
Verisk Analytics, Cl A * | 980 | 64 | ||||||
Wabtec | 1,200 | 83 | ||||||
Waste Connections | 1,500 | 66 | ||||||
Waste Management | 3,500 | 160 | ||||||
WW Grainger | 319 | 82 | ||||||
|
| |||||||
23,847 | ||||||||
|
| |||||||
Information Technology — 21.1% | ||||||||
3D Systems * | 1,200 | 90 | ||||||
Activision Blizzard | 53,000 | 912 | ||||||
Adobe Systems * | 90,972 | 5,165 | ||||||
Alliance Data Systems * | 500 | 121 | ||||||
Amdocs | 25,400 | 1,028 | ||||||
Amphenol, Cl A | 1,400 | 119 | ||||||
Analog Devices | 2,600 | 125 | ||||||
Apple | 10,536 | 5,859 | ||||||
Applied Materials | 36,700 | 635 | ||||||
Arrow Electronics * | 19,161 | 984 | ||||||
Automatic Data Processing | 2,900 | 232 | ||||||
Avnet | 22,294 | 889 | ||||||
CA | 27,975 | 923 | ||||||
Check Point Software Technologies * | 13,889 | 859 | ||||||
Cisco Systems | 29,042 | 617 | ||||||
Cognizant Technology Solutions, Cl A * | 794 | 75 | ||||||
Computer Sciences | 1,600 | 84 | ||||||
Cree * | 1,300 | 72 | ||||||
eBay * | 77,702 | 3,925 | ||||||
Electronic Arts * | 3,400 | 75 | ||||||
EMC | 97,414 | 2,323 | ||||||
Fidelity National Information Services | 2,600 | 132 | ||||||
Fiserv | 1,200 | 132 |
3 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Diversified Alpha Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
FleetCor Technologies | 800 | $ | 97 | |||||
Flextronics International * | 97,300 | 738 | ||||||
Gartner * | 1,200 | 78 | ||||||
Google, Cl A * | 2,931 | 3,106 | ||||||
Hewlett-Packard | 6,637 | 182 | ||||||
IAC | 6,992 | 400 | ||||||
Ingram Micro, Cl A * | 38,773 | 909 | ||||||
International Business Machines | 5,698 | 1,024 | ||||||
Intuit | 31,983 | 2,374 | ||||||
Lam Research * | 5,794 | 302 | ||||||
Linear Technology | 1,608 | 68 | ||||||
LinkedIn, Cl A * | 282 | 63 | ||||||
Marvell Technology Group | 69,575 | 990 | ||||||
Mastercard, Cl A | 6,725 | 5,116 | ||||||
Micron Technology * | 3,355 | 71 | ||||||
Microsoft | 110,633 | 4,219 | ||||||
Motorola Solutions | 2,000 | 132 | ||||||
Oracle | 81,669 | 2,882 | ||||||
Paychex | 2,700 | 118 | ||||||
Qualcomm | 85,761 | 6,310 | ||||||
SanDisk | 11,987 | 817 | ||||||
Seagate Technology | 29,800 | 1,461 | ||||||
Splunk * | 1,200 | 87 | ||||||
Symantec | 2,624 | 59 | ||||||
Synopsys * | 26,115 | 957 | ||||||
Teradata * | 26,518 | 1,210 | ||||||
Texas Instruments | 3,478 | 150 | ||||||
VeriFone Holdings * | 20,449 | 524 | ||||||
VeriSign * | 30,566 | 1,738 | ||||||
Visa, Cl A | 22,800 | 4,639 | ||||||
Western Digital | 23,500 | 1,764 | ||||||
Western Union | 5,400 | 90 | ||||||
|
| |||||||
68,051 | ||||||||
|
| |||||||
Materials — 2.4% |
| |||||||
Air Products & Chemicals | 575 | 63 | ||||||
Airgas | 700 | 76 | ||||||
Bemis | 1,500 | 59 | ||||||
CF Industries Holdings | 2,778 | 604 | ||||||
Dow Chemical | 17,500 | 683 | ||||||
Eastman Chemical | 1,400 | 108 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 2,260 | 78 | ||||||
International Flavors & Fragrances | 1,000 | 88 | ||||||
International Paper 1 | 3,300 | 154 | ||||||
LyondellBasell Industries, Cl A | 16,800 | 1,297 | ||||||
Packaging Corp of America | 15,599 | 956 | ||||||
PPG Industries | 1,000 | 184 | ||||||
Reliance Steel & Aluminum | 14,464 | 1,064 | ||||||
Rock Tenn, Cl A | 5,455 | 515 | ||||||
Sealed Air | 2,500 | 80 | ||||||
Sherwin-Williams | 700 | 128 | ||||||
Sigma-Aldrich | 1,100 | 95 | ||||||
Syngenta ADR | 17,525 | 1,374 | ||||||
Valspar | 1,000 | 71 | ||||||
WR Grace * | 900 | 86 | ||||||
|
| |||||||
7,763 | ||||||||
|
| |||||||
Telecommunication Services — 3.5% | ||||||||
AT&T | 40,125 | 1,413 | ||||||
CenturyLink | 4,500 | 138 | ||||||
China Mobile ADR | 21,307 | 1,156 | ||||||
Crown Castle International * | 80,969 | 6,010 |
Description | Shares/ Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Sprint * | 10,718 | $ | 90 | |||||
Verizon Communications | 43,407 | 2,154 | ||||||
|
| |||||||
10,961 | ||||||||
|
| |||||||
Utilities — 1.2% |
| |||||||
AES | 67,235 | 980 | ||||||
American Water Works | 2,000 | 85 | ||||||
Centerpoint Energy | 2,738 | 64 | ||||||
CMS Energy | 3,000 | 80 | ||||||
DTE Energy | 1,600 | 107 | ||||||
Edison International | 23,124 | 1,068 | ||||||
Entergy | 5,436 | 336 | ||||||
NiSource | 3,100 | 98 | ||||||
Northeast Utilities | 2,700 | 111 | ||||||
NV Energy | 5,100 | 121 | ||||||
OGE Energy | 2,200 | 76 | ||||||
PG&E | 1,754 | 71 | ||||||
Pinnacle West Capital | 1,300 | 69 | ||||||
PPL | 6,766 | 208 | ||||||
Public Service Enterprise Group | 2,645 | 86 | ||||||
SCANA | 1,600 | 75 | ||||||
UGI | 1,600 | 64 | ||||||
Wisconsin Energy | 2,300 | 96 | ||||||
Xcel Energy | 4,200 | 118 | ||||||
|
| |||||||
3,913 | ||||||||
|
| |||||||
Total Common Stock | 312,632 | |||||||
|
| |||||||
CASH EQUIVALENT — 2.7% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010% ** † | 8,633,244 | 8,633 | ||||||
Total Cash Equivalent | 8,633 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (A) (B) — 0.2% |
| |||||||
U.S. Treasury Bills | ||||||||
0.070%, 02/06/2014 | 424 | 424 | ||||||
0.000%, 07/24/2014 | 197 | 197 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 621 | |||||||
|
| |||||||
Total Investments — 99.9% | $ | 321,886 | ||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2013, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 4 | Dec-2013 | $ | 20 | ||||||||
S&P 500 Index EMINI | 54 | Dec-2013 | $ | 200 | ||||||||
|
| |||||||||||
$ | 220 | |||||||||||
|
|
For the period ended November 30, 2013, 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 $322,330 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2013. |
† | Investment in Affiliated Security. |
4 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Diversified Alpha Fund
November 30, 2013
‡ | 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
Ser — Series
S&P — Standard & Poor’s
The following is a list of inputs used as of November 30, 2013, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 312,632 | $ | — | $ | — | $ | 312,632 | ||||||||
Cash Equivalent | 8,633 | — | — | 8,633 | ||||||||||||
U.S. Treasury Obligations | — | 621 | — | 621 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 321,265 | $ | 621 | $ | — | $ | 321,886 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 220 | $ | — | $ | — | $ | 220 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized depreciation on the instrument. |
For the period ended November 30, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2013, 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 $0.
The accompanying notes are an integral part of the financial statements.
5 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Disciplined Equity Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.2% |
| |||||||
Consumer Discretionary — 11.9% |
| |||||||
Advance Auto Parts | 45,930 | $ | 4,639 | |||||
AMC Networks, Cl A * | 19,600 | 1,258 | ||||||
American Eagle Outfitters | 97,145 | 1,581 | ||||||
AutoZone * | 99,174 | 45,779 | ||||||
Bally Technologies * (A) | 22,350 | 1,667 | ||||||
Bed Bath & Beyond * | 2,600 | 203 | ||||||
Best Buy | 137,901 | 5,592 | ||||||
Big Lots * | 21,707 | 832 | ||||||
BorgWarner | 24,500 | 2,626 | ||||||
Brinker International | 151,351 | 7,118 | ||||||
Cablevision Systems, Cl A (A) | 29,900 | 501 | ||||||
CBS, Cl B | 65,800 | 3,853 | ||||||
Chico’s FAS | 49,800 | 931 | ||||||
Cinemark Holdings | 21,200 | 699 | ||||||
Comcast, Cl A | 1,117,880 | 55,179 | ||||||
Delphi Automotive | 194,070 | 11,363 | ||||||
Diamond Resorts International * | 101,145 | 1,808 | ||||||
Dillard’s, Cl A | 30,500 | 2,791 | ||||||
Discovery Communications, Cl A * (A) | 57,100 | 4,983 | ||||||
Dollar General | 99,500 | 5,666 | ||||||
Dollar Tree | 36,030 | 2,005 | ||||||
Expedia (A) | 11,080 | 706 | ||||||
Express * | 5,100 | 125 | ||||||
Ford Motor | 1,425,230 | 24,343 | ||||||
Fox Factory Holding * | 66,600 | 1,224 | ||||||
Francesca’s Holdings * (A) | 96,600 | 1,895 | ||||||
GameStop, Cl A (A) | 54,500 | 2,630 | ||||||
Gannett | 15,879 | 430 | ||||||
Gap | 204,500 | 8,378 | ||||||
Genuine Parts | 87,487 | 7,247 | ||||||
Goodyear Tire & Rubber | 64,600 | 1,438 | ||||||
Graham Holdings | 5,700 | 3,839 | ||||||
H&R Block | 110,300 | 3,076 | ||||||
Hasbro (A) | 37,630 | 2,025 | ||||||
Home Depot | 463,302 | 37,375 | ||||||
Houghton Mifflin Harcourt * | 32,900 | 571 | ||||||
Hyatt Hotels, Cl A * | 34,305 | 1,659 | ||||||
Iconix Brand Group * (A) | 43,550 | 1,728 | ||||||
International Game Technology | 126,000 | 2,204 | ||||||
Interpublic Group | 120,000 | 2,088 | ||||||
J.C. Penney * (A) | 35,845 | 365 | ||||||
Jack in the Box * | 32,300 | 1,529 | ||||||
L Brands | 17,000 | 1,105 | ||||||
Lear (A) | 192,354 | 15,948 | ||||||
Leggett & Platt (A) | 68,500 | 2,069 | ||||||
Liberty Media * | 58,097 | 8,916 | ||||||
LifeLock * (A) | 149,890 | 2,581 | ||||||
Lowe’s | 156,700 | 7,440 | ||||||
Macy’s | 511,696 | 27,253 | ||||||
Marriott Vacations Worldwide * | 15,300 | 799 | ||||||
Mattel | 44,700 | 2,069 | ||||||
Matthews International, Cl A (A) | 52,060 | 2,196 | ||||||
McDonald’s | 156,332 | 15,222 | ||||||
Michael Kors Holdings * | 79,100 | 6,451 | ||||||
Modine Manufacturing * | 85,738 | 1,138 | ||||||
NetFlix * | 11,300 | 4,133 | ||||||
Newell Rubbermaid | 133,700 | 4,058 | ||||||
News, Cl A * | 71,700 | 1,288 | ||||||
NIKE, Cl B | 45,200 | 3,577 | ||||||
Omnicom Group | 65,664 | 4,692 |
Description | Shares | Market Value ($ Thousands) | ||||||
O’Reilly Automotive (A) | 13,900 | $ | 1,737 | |||||
PetSmart | 23,916 | 1,772 | ||||||
Polaris Industries (A) | 15,600 | 2,082 | ||||||
priceline.com * | 1,200 | 1,431 | ||||||
PulteGroup | 2,300 | 43 | ||||||
PVH | 59,940 | 8,027 | ||||||
Ralph Lauren, Cl A | 25,600 | 4,486 | ||||||
Ross Stores | 238,390 | 18,227 | ||||||
Scripps Networks Interactive, Cl A | 30,800 | 2,297 | ||||||
Staples | 34,300 | 533 | ||||||
Starbucks | 74,111 | 6,037 | ||||||
Starz * | 153,573 | 4,343 | ||||||
Target | 154,202 | 9,858 | ||||||
Taylor Morrison Home, Cl A * | 269,183 | 5,882 | ||||||
Tenneco * | 30,255 | 1,737 | ||||||
Thor Industries (A) | 17,200 | 930 | ||||||
Time Warner | 412,730 | 27,121 | ||||||
Time Warner Cable, Cl A | 50,800 | 7,022 | ||||||
TJX | 492,950 | 30,997 | ||||||
TripAdvisor * | 36,900 | 3,259 | ||||||
TRW Automotive Holdings | 73,586 | 5,710 | ||||||
Twenty-First Century Fox, Cl A | 196,600 | 6,584 | ||||||
VF | 900 | 211 | ||||||
Viacom, Cl B | 388,440 | 31,141 | ||||||
Walt Disney | 95,150 | 6,712 | ||||||
Whirlpool | 86,376 | 13,195 | ||||||
Wyndham Worldwide | 42,000 | 3,012 | ||||||
|
| |||||||
581,270 | ||||||||
|
| |||||||
Consumer Staples — 9.0% |
| |||||||
Altria Group | 441,342 | 16,321 | ||||||
Archer-Daniels-Midland | 485,575 | 19,544 | ||||||
Brown-Forman, Cl B | 22,200 | 1,666 | ||||||
Campbell Soup (A) | 86,300 | 3,342 | ||||||
Chiquita Brands International * | 28,000 | 296 | ||||||
Clorox | 7,300 | 680 | ||||||
Coca-Cola | 437,674 | 17,590 | ||||||
Coca-Cola Enterprises | 108,468 | 4,549 | ||||||
Colgate-Palmolive | 71,800 | 4,725 | ||||||
ConAgra Foods | 34,300 | 1,132 | ||||||
Constellation Brands, Cl A * | 40,900 | 2,880 | ||||||
Costco Wholesale | 46,700 | 5,857 | ||||||
CVS Caremark | 667,708 | 44,710 | ||||||
Dean Foods * | 36,600 | 658 | ||||||
Elizabeth Arden * | 135,875 | 5,371 | ||||||
General Mills | 51,200 | 2,582 | ||||||
Green Mountain Coffee Roasters (A) | 2,476 | 167 | ||||||
Henkel | 119,091 | 11,826 | ||||||
Herbalife (A) | 78,492 | 5,469 | ||||||
Hershey | 24,300 | 2,355 | ||||||
Hormel Foods | 54,200 | 2,440 | ||||||
JM Smucker | 86,935 | 9,062 | ||||||
Kellogg | 44,100 | 2,674 | ||||||
Kimberly-Clark | 69,672 | 7,606 | ||||||
Kraft Foods Group | 365,707 | 19,426 | ||||||
Kroger | 722,513 | 30,165 | ||||||
McCormick (A) | 41,800 | 2,884 | ||||||
Medifast (A) | 12,100 | 328 | ||||||
Molson Coors Brewing, Cl B | 398,310 | 20,979 | ||||||
Mondelez International, Cl A | 867,523 | 29,088 | ||||||
PepsiCo | 312,007 | 26,352 | ||||||
Philip Morris International | 504,055 | 43,117 |
1 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Disciplined Equity Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Pilgrim’s Pride * | 27,900 | $ | 457 | |||||
Procter & Gamble | 273,834 | 23,062 | ||||||
Reynolds American | 9,700 | 489 | ||||||
Safeway | 80,200 | 2,805 | ||||||
Sysco | 175,450 | 5,900 | ||||||
Tyson Foods, Cl A (A) | 399,865 | 12,672 | ||||||
Walgreen | 42,600 | 2,522 | ||||||
Wal-Mart Stores | 582,048 | 47,152 | ||||||
|
| |||||||
440,900 | ||||||||
|
| |||||||
Energy — 10.6% |
| |||||||
Anadarko Petroleum | 97,281 | 8,640 | ||||||
Apache | 182,835 | 16,728 | ||||||
Athlon Energy * | 37,100 | 1,210 | ||||||
Baker Hughes | 105,500 | 6,009 | ||||||
Cabot Oil & Gas | 161,200 | 5,553 | ||||||
Chesapeake Energy | 9,000 | 242 | ||||||
Chevron | 1,045,897 | 128,060 | ||||||
ConocoPhillips | 703,387 | 51,207 | ||||||
CONSOL Energy (A) | 284,545 | 10,124 | ||||||
Dresser-Rand Group * | 24,100 | 1,360 | ||||||
Dril-Quip * | 3,600 | 391 | ||||||
Ensco, Cl A (A) | 150,600 | 8,898 | ||||||
EOG Resources | 18,440 | 3,043 | ||||||
EQT | 26,800 | 2,281 | ||||||
Exxon Mobil | 824,812 | 77,103 | ||||||
Frank’s International (A) | 71,600 | 1,714 | ||||||
Halliburton | 10,500 | 553 | ||||||
Helmerich & Payne | 13,900 | 1,070 | ||||||
Key Energy Services | 251,795 | 1,974 | ||||||
Kinder Morgan | 147,300 | 5,235 | ||||||
Marathon Oil | 53,154 | 1,916 | ||||||
Marathon Petroleum | 164,549 | 13,615 | ||||||
Murphy Oil | 83,369 | 5,413 | ||||||
National Oilwell Varco | 429,020 | 34,965 | ||||||
Noble Energy | 304,740 | 21,405 | ||||||
Occidental Petroleum | 147,821 | 14,037 | ||||||
Oceaneering International | 20,680 | 1,596 | ||||||
PDC Energy * | 20,715 | 1,220 | ||||||
Peabody Energy | 413,135 | 7,519 | ||||||
Phillips 66 | 377,638 | 26,287 | ||||||
Pioneer Natural Resources | 14,200 | 2,524 | ||||||
Schlumberger | 409,479 | 36,206 | ||||||
Solazyme * (A) | 169,215 | 1,516 | ||||||
Tesoro | 21,500 | 1,261 | ||||||
Transocean | 99,885 | 5,032 | ||||||
Transocean | 71,650 | 3,610 | ||||||
Valero Energy | 2,800 | 128 | ||||||
World Fuel Services (A) | 94,643 | 3,634 | ||||||
|
| |||||||
513,279 | ||||||||
|
| |||||||
Financials — 16.1% |
| |||||||
Aflac | 19,700 | 1,307 | ||||||
Allstate | 74,900 | 4,065 | ||||||
American Campus Communities ‡ | 14,900 | 483 | ||||||
American Capital Mortgage Investment ‡ | 11,200 | 212 | ||||||
American Equity Investment Life Holding (A) | 116,400 | 2,760 | ||||||
American Express | 439,157 | 37,680 | ||||||
American Financial Group | 25,600 | 1,476 | ||||||
American International Group | 516,727 | 25,707 | ||||||
Ameriprise Financial | 32,736 | 3,544 | ||||||
Annaly Capital Management ‡ | 20,500 | 208 |
Description | Shares | Market Value ($ Thousands) | ||||||
Aon | 4,200 | $ | 343 | |||||
Apartment Investment & Management, Cl A ‡ | 12,200 | 306 | ||||||
Arch Capital Group * (A) | 25,435 | 1,496 | ||||||
Assurant | 26,900 | 1,747 | ||||||
Bank of America | 2,241,697 | 35,464 | ||||||
Bank of New York Mellon | 36,000 | 1,213 | ||||||
Berkshire Hathaway, Cl B * | 185,474 | 21,613 | ||||||
BlackRock, Cl A | 17,000 | 5,147 | ||||||
Brown & Brown | 74,200 | 2,346 | ||||||
CBOE Holdings | 22,343 | 1,168 | ||||||
CBRE Group, Cl A | 760,322 | 18,430 | ||||||
Charles Schwab | 117,000 | 2,864 | ||||||
Chubb | 13,500 | 1,302 | ||||||
Cincinnati Financial | 77,800 | 4,078 | ||||||
CIT Group (A) | 494,060 | 24,940 | ||||||
Citigroup | 1,277,751 | 67,618 | ||||||
CME Group, Cl A (A) | 123,900 | 10,154 | ||||||
CNA Financial | 17,508 | 727 | ||||||
Comerica | 6,200 | 281 | ||||||
Corrections Corp of America ‡ | 260,377 | 8,684 | ||||||
Digital Realty Trust ‡ (A) | 105,240 | 4,972 | ||||||
Discover Financial Services | 812,483 | 43,305 | ||||||
E*TRADE Financial * | 79,500 | 1,425 | ||||||
East West Bancorp | 63,080 | 2,162 | ||||||
Extra Space Storage ‡ | 57,795 | 2,423 | ||||||
Fifth Third Bancorp | 398,500 | 8,098 | ||||||
Franklin Resources | 35,700 | 1,977 | ||||||
Franklin Street Properties ‡ | 42,800 | 550 | ||||||
Genworth Financial, Cl A * | 198,900 | 3,005 | ||||||
Goldman Sachs Group | 93,100 | 15,728 | ||||||
Hanover Insurance Group | 29,874 | 1,802 | ||||||
Hartford Financial Services Group (A) | 441,335 | 15,725 | ||||||
Health Care ‡ | 13,700 | 767 | ||||||
Host Hotels & Resorts ‡ | 101,167 | 1,863 | ||||||
Huntington Bancshares | 460,281 | 4,225 | ||||||
IntercontinentalExchange Group | 92,419 | 19,712 | ||||||
Jones Lang LaSalle | 122,562 | 11,977 | ||||||
JPMorgan Chase | 1,539,230 | 88,075 | ||||||
Kemper | 2,900 | 109 | ||||||
KeyCorp | 630,100 | 8,034 | ||||||
Kilroy Realty ‡ | 45,175 | 2,275 | ||||||
Kimco Realty ‡ | 116,141 | 2,395 | ||||||
Leucadia National | 37,100 | 1,063 | ||||||
Lexington Realty Trust ‡ (A) | 53,400 | 548 | ||||||
Lincoln National (A) | 211,010 | 10,831 | ||||||
Marsh & McLennan | 370,000 | 17,557 | ||||||
McGraw Hill Financial | 463,090 | 34,500 | ||||||
MetLife | 62,000 | 3,236 | ||||||
Moody’s | 42,300 | 3,157 | ||||||
Morgan Stanley | 101,900 | 3,189 | ||||||
NASDAQ OMX Group | 46,500 | 1,827 | ||||||
Nelnet, Cl A | 20,800 | 936 | ||||||
Northern Trust | 11,400 | 673 | ||||||
PacWest Bancorp (A) | 73,205 | 3,012 | ||||||
PartnerRe | 25,000 | 2,573 | ||||||
People’s United Financial | 17,500 | 265 | ||||||
Plum Creek Timber ‡ (A) | 18,037 | 789 | ||||||
PNC Financial Services Group | 91,580 | 7,047 | ||||||
Popular | 179,536 | 5,131 | ||||||
Principal Financial Group (A) | 52,500 | 2,658 | ||||||
Progressive | 29,300 | 818 |
2 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Disciplined Equity Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Prologis ‡ | 32,300 | $ | 1,225 | |||||
Prudential Financial | 83,360 | 7,399 | ||||||
Public Storage ‡ | 38,343 | 5,855 | ||||||
Realogy Holdings * | 87,790 | 4,160 | ||||||
Regions Financial | 174,900 | 1,702 | ||||||
Reinsurance Group of America, Cl A | 41,400 | 3,104 | ||||||
RLJ Lodging Trust ‡ | 39,000 | 941 | ||||||
Signature Bank NY | 15,360 | 1,632 | ||||||
Simon Property Group ‡ | 20,489 | 3,070 | ||||||
SLM | 87,500 | 2,332 | ||||||
Springleaf Holdings, Cl A * | 77,500 | 1,634 | ||||||
State Street | 22,700 | 1,648 | ||||||
SunTrust Banks | 30,600 | 1,109 | ||||||
T. Rowe Price Group | 210,055 | 16,901 | ||||||
TD Ameritrade Holding | 120,898 | 3,479 | ||||||
Torchmark (A) | 190,344 | 14,466 | ||||||
Travelers | 85,400 | 7,749 | ||||||
Unum Group | 218,963 | 7,351 | ||||||
US Bancorp | 669,838 | 26,271 | ||||||
Ventas ‡ | 29,900 | 1,699 | ||||||
Waddell & Reed Financial, Cl A | 32,630 | 2,080 | ||||||
Wells Fargo | 709,249 | 31,221 | ||||||
Weyerhaeuser ‡ | 55,700 | 1,678 | ||||||
Winthrop Realty Trust ‡ | 4,500 | 52 | ||||||
Wintrust Financial (A) | 37,930 | 1,721 | ||||||
XL Group, Cl A | 84,300 | 2,697 | ||||||
Zions Bancorporation | 22,100 | 648 | ||||||
|
| |||||||
781,601 | ||||||||
|
| |||||||
Health Care — 14.9% |
| |||||||
Abbott Laboratories | 322,900 | 12,332 | ||||||
AbbVie | 648,075 | 31,399 | ||||||
Actavis * | 135,730 | 22,133 | ||||||
Aetna | 145,295 | 10,015 | ||||||
Agilent Technologies | 72,876 | 3,904 | ||||||
Alexion Pharmaceuticals * | 18,800 | 2,340 | ||||||
Allergan | 285,390 | 27,697 | ||||||
AmerisourceBergen | 281,456 | 19,851 | ||||||
Amgen | 281,553 | 32,119 | ||||||
Baxter International | 121,850 | 8,341 | ||||||
Becton Dickinson (A) | 35,200 | 3,822 | ||||||
Biogen Idec * | 86,146 | 25,066 | ||||||
Boston Scientific * | 375,900 | 4,353 | ||||||
Bristol-Myers Squibb | 249,877 | 12,839 | ||||||
Brookdale Senior Living, Cl A * | 54,800 | 1,598 | ||||||
Cardinal Health | 263,144 | 16,999 | ||||||
CareFusion * | 147,056 | 5,860 | ||||||
Celgene * | 176,558 | 28,562 | ||||||
Cigna | 99,100 | 8,666 | ||||||
Covance * | 22,533 | 1,901 | ||||||
Covidien | 395,090 | 26,969 | ||||||
DaVita * | 9,300 | 554 | ||||||
Eli Lilly | 329,567 | 16,551 | ||||||
Express Scripts Holding * | 640,650 | 43,148 | ||||||
Gilead Sciences * | 295,840 | 22,132 | ||||||
Haemonetics * | 47,065 | 1,989 | ||||||
Hospira * | 4,200 | 165 | ||||||
Humana | 31,400 | 3,265 | ||||||
Intrexon * (A) | 42,240 | 967 | ||||||
Intuitive Surgical | 38,410 | 14,477 | ||||||
Jazz Pharmaceuticals * | 16,000 | 1,871 | ||||||
Johnson & Johnson | 565,336 | 53,515 |
Description | Shares | Market Value ($ Thousands) | ||||||
Laboratory Corp of America Holdings * | 5,500 | $ | 560 | |||||
Life Technologies | 38,200 | 2,892 | ||||||
Magellan Health Services * | 43,040 | 2,634 | ||||||
McKesson | 153,377 | 25,444 | ||||||
Medtronic | 129,176 | 7,404 | ||||||
Merck | 313,177 | 15,605 | ||||||
Mylan Laboratories * | 25,100 | 1,108 | ||||||
Pfizer | 3,053,490 | 96,887 | ||||||
Quintiles Transnational Holdings * | 46,700 | 2,017 | ||||||
Regeneron Pharmaceuticals * | 700 | 206 | ||||||
Sanofi-Aventis | 95,730 | 10,146 | ||||||
St. Jude Medical | 24,600 | 1,437 | ||||||
Stryker | 32,700 | 2,433 | ||||||
Tenet Healthcare * | 51,700 | 2,231 | ||||||
Thermo Fisher Scientific (A) | 21,600 | 2,178 | ||||||
UnitedHealth Group | 468,185 | 34,871 | ||||||
Vertex Pharmaceuticals * | 86,065 | 5,975 | ||||||
WellPoint | 39,300 | 3,650 | ||||||
Zoetis, Cl A | 936,946 | 29,186 | ||||||
|
| |||||||
712,264 | ||||||||
|
| |||||||
Industrials — 9.5% |
| |||||||
3M | 204,015 | 27,238 | ||||||
ACCO Brands * | 281,370 | 1,694 | ||||||
Actuant, Cl A (A) | 50,370 | 1,968 | ||||||
AECOM Technology * | 9,800 | 285 | ||||||
Air Lease, Cl A | 58,125 | 1,841 | ||||||
Alaska Air Group | 31,475 | 2,447 | ||||||
AMERCO * | 1,000 | 232 | ||||||
AO Smith | 13,400 | 726 | ||||||
Armstrong World Industries | 8,700 | 463 | ||||||
Babcock & Wilcox | 90,510 | 2,939 | ||||||
BE Aerospace * | 24,500 | 2,131 | ||||||
Boeing | 56,233 | 7,549 | ||||||
Canadian National Railway | 261,580 | 29,428 | ||||||
Clean Harbors * (A) | 30,400 | 1,604 | ||||||
CSX | 731,990 | 19,961 | ||||||
Danaher | 38,800 | 2,902 | ||||||
Deere | 5,100 | 430 | ||||||
Delta Air Lines | 72,400 | 2,098 | ||||||
Dover | 127,225 | 11,544 | ||||||
Dun & Bradstreet (A) | 14,300 | 1,671 | ||||||
Eaton | 170,845 | 12,414 | ||||||
Echo Global Logistics * | 88,294 | 1,817 | ||||||
Emerson Electric | 337,738 | 22,625 | ||||||
Equifax | 27,900 | 1,878 | ||||||
Flowserve | 52,300 | 3,733 | ||||||
General Dynamics | 100,900 | 9,248 | ||||||
General Electric | 773,449 | 20,620 | ||||||
Honeywell International | 241,233 | 21,352 | ||||||
Hub Group, Cl A * | 28,869 | 1,086 | ||||||
Ingersoll-Rand | 51,100 | 3,650 | ||||||
Jacobs Engineering Group * | 200,875 | 12,007 | ||||||
Joy Global (A) | 148,740 | 8,413 | ||||||
Kennametal | 32,600 | 1,548 | ||||||
L-3 Communications Holdings, Cl 3 | 63,700 | 6,590 | ||||||
Lennox International | 13,900 | 1,145 | ||||||
Lockheed Martin | 2,100 | 297 | ||||||
Manpowergroup | 74,814 | 5,980 | ||||||
Masco | 183,200 | 4,107 | ||||||
MasTec | 66,445 | 2,103 |
3 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Disciplined Equity Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Matson | 21,300 | $ | 533 | |||||
Middleby * | 4,915 | 1,085 | ||||||
MRC Global * | 32,100 | 982 | ||||||
Mueller Industries | 2,600 | 159 | ||||||
Norcraft * | 90,900 | 1,609 | ||||||
Norfolk Southern | 41,700 | 3,657 | ||||||
Northrop Grumman | 207,442 | 23,375 | ||||||
Old Dominion Freight Line * | 8,200 | 423 | ||||||
Oshkosh Truck | 106,100 | 5,172 | ||||||
Quanta Services * | 67,885 | 2,010 | ||||||
Raytheon | 59,300 | 5,259 | ||||||
Republic Services, Cl A | 73,300 | 2,559 | ||||||
Robert Half International | 284,927 | 11,007 | ||||||
Rockwell Collins (A) | 8,300 | 604 | ||||||
Roper Industries | 9,600 | 1,245 | ||||||
Ryder System | 16,700 | 1,166 | ||||||
Snap-on | 25,200 | 2,675 | ||||||
Southwest Airlines | 190,900 | 3,549 | ||||||
Spirit Aerosystems Holdings, Cl A * | 24,900 | 813 | ||||||
Teledyne Technologies * | 2,400 | 223 | ||||||
Toro | 30,100 | 1,857 | ||||||
Towers Watson, Cl A | 141,220 | 15,901 | ||||||
Trimas * | 47,940 | 1,754 | ||||||
Tyco International | 830,790 | 31,686 | ||||||
UniFirst | 3,700 | 378 | ||||||
Union Pacific | 182,513 | 29,574 | ||||||
United Parcel Service, Cl B | 103,200 | 10,566 | ||||||
United Technologies | 209,028 | 23,173 | ||||||
URS | 42,241 | 2,195 | ||||||
Valmont Industries | 4,600 | 666 | ||||||
Waste Management | 12,100 | 553 | ||||||
Woodward Governor | 17,800 | 764 | ||||||
WW Grainger | 34,249 | 8,833 | ||||||
|
| |||||||
455,769 | ||||||||
|
| |||||||
Information Technology — 17.6% |
| |||||||
Accenture, Cl A | 296,219 | 22,948 | ||||||
Activision Blizzard | 105,910 | 1,823 | ||||||
Amdocs | 229,630 | 9,291 | ||||||
Amphenol, Cl A | 3,700 | 315 | ||||||
Ansys | 2,600 | 223 | ||||||
Apple | 271,950 | 151,223 | ||||||
Applied Materials | 106,200 | 1,837 | ||||||
Arrow Electronics * | 9,900 | 508 | ||||||
Autodesk * | 37,325 | 1,689 | ||||||
Automatic Data Processing | 87,100 | 6,970 | ||||||
Avnet | 288,799 | 11,523 | ||||||
Blackhawk Network Holdings, Cl A * | 75,710 | 1,725 | ||||||
Booz Allen Hamilton Holding, Cl A | 44,085 | 771 | ||||||
CA | 76,800 | 2,534 | ||||||
Cisco Systems | 2,273,329 | 48,308 | ||||||
Citrix Systems | 125,270 | 7,431 | ||||||
CommVault Systems * | 7,700 | 576 | ||||||
Computer Sciences | 197,183 | 10,376 | ||||||
CoreLogic | 88,700 | 3,125 | ||||||
Corning | 328,830 | 5,616 | ||||||
DST Systems | 15,800 | 1,395 | ||||||
eBay * | 531,960 | 26,875 | ||||||
Electronic Arts * | 148,200 | 3,287 | ||||||
EMC | 676,490 | 16,134 | ||||||
Facebook, Cl A * | 253,020 | 11,894 |
Description | Shares | Market Value ($ Thousands) | ||||||
FactSet Research Systems (A) | 92,511 | $ | 10,454 | |||||
Fidelity National Information Services | 49,600 | 2,514 | ||||||
First Solar * (A) | 23,800 | 1,424 | ||||||
Fiserv | 27,000 | 2,967 | ||||||
FLIR Systems | 86,215 | 2,558 | ||||||
Genpact * | 18,700 | 335 | ||||||
Google, Cl A * | 79,392 | 84,123 | ||||||
Harris | 33,700 | 2,174 | ||||||
Hewlett-Packard | 544,000 | 14,879 | ||||||
iGATE * | 14,900 | 499 | ||||||
Informatica * (A) | 27,100 | 1,052 | ||||||
Ingram Micro, Cl A * | 95,908 | 2,248 | ||||||
Intel | 677,264 | 16,146 | ||||||
InterDigital | 31,100 | 1,054 | ||||||
International Business Machines | 307,241 | 55,205 | ||||||
j2 Global (A) | 39,010 | 1,871 | ||||||
Jabil Circuit | 251,655 | 5,101 | ||||||
Juniper Networks | 79,400 | 1,610 | ||||||
Littelfuse | 16,275 | 1,415 | ||||||
LSI | 1,499,840 | 12,104 | ||||||
Mastercard, Cl A | 34,069 | 25,920 | ||||||
Micron Technology * (A) | 603,097 | 12,725 | ||||||
Microsoft | 908,808 | 34,653 | ||||||
Netscout Systems * (A) | 83,865 | 2,552 | ||||||
ON Semiconductor * | 193,230 | 1,370 | ||||||
Oracle | 1,227,673 | 43,325 | ||||||
Paychex (A) | 2,976 | 130 | ||||||
Pegasystems | 5,300 | 267 | ||||||
Qualcomm | 330,540 | 24,321 | ||||||
Red Hat * | 142,360 | 6,669 | ||||||
SanDisk | 17,000 | 1,159 | ||||||
Science Applications International | 80,230 | 2,956 | ||||||
Seagate Technology | 107,866 | 5,290 | ||||||
Skyworks Solutions | 43,900 | 1,167 | ||||||
SS&C Technologies Holdings * | 46,986 | 2,025 | ||||||
Symantec | 498,522 | 11,212 | ||||||
Synaptics (A) | 33,700 | 1,702 | ||||||
SYNNEX * | 1,500 | 99 | ||||||
Syntel | 13,000 | 1,149 | ||||||
TE Connectivity | 319,640 | 16,852 | ||||||
Texas Instruments | 272,765 | 11,729 | ||||||
TIBCO Software * | 221,345 | 5,350 | ||||||
Total System Services | 37,700 | 1,170 | ||||||
Visa, Cl A | 117,652 | 23,937 | ||||||
VMware, Cl A * | 33,500 | 2,701 | ||||||
Web.com Group * | 62,700 | 1,790 | ||||||
Western Digital | 350,591 | 26,308 | ||||||
Western Union | 449,831 | 7,499 | ||||||
Xerox | 156,148 | 1,777 | ||||||
Xilinx (A) | 54,265 | 2,411 | ||||||
Yahoo! * | 135,900 | 5,026 | ||||||
|
| |||||||
853,371 | ||||||||
|
| |||||||
Materials — 4.0% |
| |||||||
Air Products & Chemicals | 57,430 | 6,250 | ||||||
Airgas | 10,400 | 1,130 | ||||||
Bemis (A) | 54,400 | 2,123 | ||||||
Carpenter Technology | 37,470 | 2,259 | ||||||
Clearwater Paper * | 3,200 | 170 | ||||||
Dow Chemical | 428,087 | 16,721 | ||||||
E.I. du Pont de Nemours | 81,291 | 4,990 |
4 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Disciplined Equity Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Eastman Chemical | 114,115 | $ | 8,790 | |||||
Ecolab | 19,400 | 2,079 | ||||||
FMC | 1,200 | 87 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 247,000 | 8,568 | ||||||
International Flavors & Fragrances | 14,800 | 1,308 | ||||||
International Paper | 225,129 | 10,502 | ||||||
KapStone Paper and Packaging | 29,900 | 1,593 | ||||||
LyondellBasell Industries, Cl A | 409,932 | 31,639 | ||||||
Monsanto | 271,803 | 30,803 | ||||||
Owens-Illinois * | 90,400 | 2,983 | ||||||
PPG Industries | 53,740 | 9,891 | ||||||
Praxair | 31,300 | 3,952 | ||||||
Rockwood Holdings | 24,085 | 1,649 | ||||||
Schweitzer-Mauduit | ||||||||
International (A) | 17,540 | 905 | ||||||
Sealed Air | 61,800 | 1,985 | ||||||
Sherwin-Williams | 25,600 | 4,686 | ||||||
Silver Wheaton (A) | 23,745 | 497 | ||||||
Southern Copper | 120,303 | 3,020 | ||||||
Taminco * | 64,600 | 1,390 | ||||||
US Silica Holdings (A) | 190,075 | 6,560 | ||||||
Vulcan Materials (A) | 427,650 | 24,106 | ||||||
Westlake Chemical | 17,800 | 2,004 | ||||||
|
| |||||||
192,640 | ||||||||
|
| |||||||
Telecommunication Services — 1.8% |
| |||||||
America Movil ADR, Ser L | 311,280 | 7,234 | ||||||
AT&T (A) | 846,263 | 29,797 | ||||||
CenturyLink (A) | 501,185 | 15,386 | ||||||
Crown Castle International * | 5,200 | 386 | ||||||
Verizon Communications (A) | 730,949 | 36,270 | ||||||
|
| |||||||
89,073 | ||||||||
|
| |||||||
Utilities — 1.9% |
| |||||||
AES | 638,663 | 9,306 | ||||||
AGL Resources | 5,300 | 247 | ||||||
American Water Works | 61,100 | 2,587 | ||||||
CMS Energy | 161,271 | 4,280 | ||||||
Dominion Resources | 57,800 | 3,752 | ||||||
DTE Energy | 157,537 | 10,514 | ||||||
Duke Energy | 36,801 | 2,574 | ||||||
Edison International | 203,054 | 9,383 | ||||||
Exelon | 258,780 | 6,964 | ||||||
ITC Holdings | 52,870 | 4,784 | ||||||
New Jersey Resources | 5,600 | 256 | ||||||
NextEra Energy | 66,100 | 5,591 | ||||||
NiSource | 59,100 | 1,869 | ||||||
NRG Energy | 111,500 | 2,950 | ||||||
Pattern Energy Group, Cl A | 116,900 | 2,851 | ||||||
PG&E | 3,100 | 125 | ||||||
PPL | 259,200 | 7,960 | ||||||
SCANA | 91,061 | 4,295 | ||||||
Sempra Energy | 49,200 | 4,351 | ||||||
Southern | 49,200 | 1,999 | ||||||
TECO Energy (A) | 134,600 | 2,294 | ||||||
UGI | 13,800 | 555 | ||||||
Wisconsin Energy (A) | 12,200 | 510 | ||||||
Xcel Energy | 74,900 | 2,099 | ||||||
|
| |||||||
92,096 | ||||||||
|
| |||||||
Total Common Stock | 4,712,263 | |||||||
|
|
Description | Shares/ Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
PREFERRED STOCK — 0.1% |
| |||||||
Preferred Stock — 0.1% |
| |||||||
Henkel | 61,741 | $ | 7,015 | |||||
|
| |||||||
Total Preferred Stock | 7,015 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP (B) — 4.5% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.080% ** † | 220,602,936 | 220,603 | ||||||
|
| |||||||
Total Affiliated Partnership | 220,603 | |||||||
|
| |||||||
CASH EQUIVALENT — 1.7% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010% ** † | 82,153,228 | 82,153 | ||||||
|
| |||||||
Total Cash Equivalent | 82,153 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C) — 0.5% |
| |||||||
U.S. Treasury Bills | ||||||||
0.071%, 02/06/2014 | 12,698 | 12,697 | ||||||
0.070%, 12/19/2013 | 200 | 200 | ||||||
0.000%, 07/24/2014 | 9,829 | 9,824 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 22,721 | |||||||
|
| |||||||
Total Investments — 104.0% | $ | 5,044,755 | ||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2013, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index EMINI | 757 | Dec-2013 | $ | 1,272 | ||||||||
|
|
For the period ended November 30, 2013, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $4,848,517 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2013. |
† | Investment in Affiliated Security. |
‡ | Real Estate Investment Trust. |
(A) | This security or a partial position of this security is on loan at November 30, 2013. The total value of securities on loan at November 30, 2013 was $215,028 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total value of such securities as of November 30, 2013 was $220,603 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
5 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Disciplined Equity Fund
November 30, 2013
Cl — Class
L.P. — Limited Partnership
S&P — Standard & Poor’s
Ser — Series
The following is a list of the inputs used as of November 30, 2013, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 4,712,263 | $ | — | $ | — | $ | 4,712,263 | ||||||||
Preferred Stock | 7,015 | — | — | 7,015 | ||||||||||||
Affiliated Partnership | — | 220,603 | — | 220,603 | ||||||||||||
Cash Equivalent | 82,153 | — | — | 82,153 | ||||||||||||
U.S. Treasury Obligations | — | 22,721 | — | 22,721 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 4,801,431 | $ | 243,324 | $ | — | $ | 5,044,755 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 1,272 | $ | — | $ | — | $ | 1,272 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2013, 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 $0.
The accompanying notes are an integral part of the financial statements.
6 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Index Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 98.8% | ||||||||
Consumer Discretionary — 13.3% | ||||||||
Aaron’s | 7,400 | $ | 212 | |||||
Abercrombie & Fitch, Cl A (A) | 9,502 | 326 | ||||||
Advance Auto Parts | 8,808 | 890 | ||||||
Allison Transmission Holdings | 2,500 | 68 | ||||||
Amazon.com * | 40,389 | 15,898 | ||||||
AMC Networks, Cl A * | 7,085 | 455 | ||||||
American Eagle Outfitters | 24,371 | 397 | ||||||
Apollo Group, Cl A * | 12,264 | 323 | ||||||
Ascena Retail Group | 15,200 | 324 | ||||||
AutoNation * | 4,332 | 212 | ||||||
AutoZone * | 3,907 | 1,803 | ||||||
Bally Technologies * (A) | 4,500 | 336 | ||||||
Bed Bath & Beyond * | 24,015 | 1,874 | ||||||
Best Buy | 29,447 | 1,194 | ||||||
Big Lots * | 7,100 | 272 | ||||||
BorgWarner (A) | 12,482 | 1,338 | ||||||
Brinker International | 6,283 | 295 | ||||||
Burger King Worldwide | 13,000 | 275 | ||||||
Cabela’s * | 6,100 | 374 | ||||||
Cablevision Systems, Cl A (A) | 25,642 | 430 | ||||||
Carmax | 24,260 | 1,221 | ||||||
Carnival, Cl A (A) | 45,500 | 1,643 | ||||||
Carter’s (A) | 6,000 | 424 | ||||||
CBS, Cl B | 68,169 | 3,992 | ||||||
Charter Communications, Cl A * | 7,200 | 973 | ||||||
Chico’s FAS | 17,700 | 331 | ||||||
Chipotle Mexican Grill, Cl A | 3,319 | 1,739 | ||||||
Choice Hotels International (A) | 2,584 | 121 | ||||||
Cinemark Holdings | 14,200 | 468 | ||||||
Clear Channel Outdoor Holdings, Cl A | 700 | 6 | ||||||
Coach (A) | 30,767 | 1,781 | ||||||
Comcast, Cl A | 288,225 | 14,374 | ||||||
CST Brands (A) | 7,148 | 235 | ||||||
Darden Restaurants | 15,522 | 828 | ||||||
Deckers Outdoor * | 2,600 | 215 | ||||||
Delphi Automotive | 34,400 | 2,014 | ||||||
DeVry (A) | 7,600 | 270 | ||||||
Dick’s Sporting Goods (A) | 12,358 | 698 | ||||||
Dillard’s, Cl A | 3,000 | 274 | ||||||
DIRECTV * | 57,939 | 3,830 | ||||||
Discovery Communications, Cl A * (A) | 27,000 | 2,356 | ||||||
DISH Network, Cl A | 24,662 | 1,336 | ||||||
Dollar General | 36,000 | 2,050 | ||||||
Dollar Tree | 24,358 | 1,355 | ||||||
Domino’s Pizza | 7,300 | 505 | ||||||
DR Horton (A) | 34,068 | 677 | ||||||
DreamWorks Animation SKG, Cl A (A) | 6,434 | 205 | ||||||
DSW, Cl A | 7,200 | 323 | ||||||
Dunkin’ Brands Group | 9,800 | 480 | ||||||
Expedia (A) | 10,167 | 648 | ||||||
Family Dollar Stores | 11,662 | 814 | ||||||
Foot Locker | 18,569 | 722 | ||||||
Ford Motor | 431,784 | 7,375 | ||||||
Fossil Group * | 6,200 | 789 | ||||||
GameStop, Cl A (A) | 14,400 | 695 | ||||||
Gannett | 27,759 | 751 |
Description | Shares | Market Value ($ Thousands) | ||||||
Gap | 30,221 | $ | 1,238 | |||||
Garmin (A) | 13,500 | 656 | ||||||
General Motors * | 92,400 | 3,579 | ||||||
Gentex | 18,132 | 540 | ||||||
Genuine Parts (A) | 16,871 | 1,398 | ||||||
GNC Holdings, Cl A | 9,100 | 548 | ||||||
Goodyear Tire & Rubber | 30,352 | 676 | ||||||
Graham Holdings | 557 | 375 | ||||||
Groupon, Cl A * (A) | 54,200 | 490 | ||||||
Guess? | 7,700 | 264 | ||||||
H&R Block | 28,825 | 804 | ||||||
Hanesbrands | 11,943 | 837 | ||||||
Harley-Davidson (A) | 24,503 | 1,642 | ||||||
Harman International Industries | 6,268 | 508 | ||||||
Hasbro (A) | 13,967 | 752 | ||||||
Home Depot | 160,315 | 12,933 | ||||||
HomeAway * (A) | 4,300 | 157 | ||||||
Hyatt Hotels, Cl A * | 5,700 | 276 | ||||||
International Game Technology | 33,543 | 587 | ||||||
Interpublic Group | 51,975 | 904 | ||||||
J.C. Penney * (A) | 22,351 | 228 | ||||||
Jarden * | 14,850 | 835 | ||||||
John Wiley & Sons, Cl A (A) | 5,842 | 298 | ||||||
Johnson Controls | 75,945 | 3,836 | ||||||
Kohl’s | 24,019 | 1,328 | ||||||
L Brands | 26,257 | 1,706 | ||||||
Lamar Advertising, Cl A * | 9,840 | 491 | ||||||
Las Vegas Sands | 43,293 | 3,103 | ||||||
Lear | 8,400 | 696 | ||||||
Leggett & Platt (A) | 17,319 | 523 | ||||||
Lennar, Cl A (A) | 19,830 | 709 | ||||||
Liberty Global, Cl A * | 43,490 | 3,732 | ||||||
Liberty Interactive, Cl A * | 57,547 | 1,616 | ||||||
Liberty Media * | 11,020 | 1,691 | ||||||
Liberty Ventures, Ser A * | 4,403 | 535 | ||||||
Lions Gate Entertainment | 10,400 | 329 | ||||||
LKQ * | 30,300 | 1,004 | ||||||
Lowe’s | 121,510 | 5,769 | ||||||
Macy’s | 42,030 | 2,238 | ||||||
Madison Square Garden, Cl A * | 7,760 | 437 | ||||||
Marriott International, Cl A | 26,887 | 1,264 | ||||||
Mattel | 37,742 | 1,746 | ||||||
McDonald’s | 109,880 | 10,699 | ||||||
MGM Resorts International * (A) | 40,339 | 774 | ||||||
Michael Kors Holdings * | 22,000 | 1,794 | ||||||
Mohawk Industries * | 6,466 | 905 | ||||||
Morningstar | 3,100 | 259 | ||||||
Murphy USA * | 5,788 | 262 | ||||||
NetFlix * | 5,300 | 1,939 | ||||||
Newell Rubbermaid | 28,565 | 867 | ||||||
News, Cl A * | 49,146 | 883 | ||||||
NIKE, Cl B | 79,134 | 6,263 | ||||||
Nordstrom | 14,412 | 897 | ||||||
Norwegian Cruise Line Holdings * | 3,300 | 112 | ||||||
NVR | 524 | 508 | ||||||
Omnicom Group | 28,344 | 2,025 | ||||||
O’Reilly Automotive | 12,040 | 1,505 | ||||||
Panera Bread, Cl A * | 3,162 | 559 | ||||||
Penn National Gaming * | 8,189 | 118 | ||||||
PetSmart | 12,573 | 932 | ||||||
Polaris Industries (A) | 6,500 | 867 | ||||||
priceline.com * | 5,600 | 6,677 | ||||||
PulteGroup | 42,145 | 791 |
1 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Index Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
PVH | 8,200 | $ | 1,098 | |||||
Ralph Lauren, Cl A | 6,480 | 1,136 | ||||||
Regal Entertainment Group, Cl A (A) | 7,388 | 144 | ||||||
Ross Stores | 24,053 | 1,839 | ||||||
Royal Caribbean Cruises | 17,100 | 753 | ||||||
Sally Beauty Holdings | 21,000 | 591 | ||||||
Scripps Networks Interactive, Cl A | 13,272 | 990 | ||||||
Sears Holdings * (A) | 3,428 | 218 | ||||||
Service International | 25,694 | 464 | ||||||
Signet Jewelers | 9,800 | 753 | ||||||
Sirius XM Holdings (A) | 334,800 | 1,262 | ||||||
Six Flags Entertainment | 8,500 | 316 | ||||||
Staples (A) | 71,364 | 1,108 | ||||||
Starbucks | 83,706 | 6,819 | ||||||
Starwood Hotels & Resorts Worldwide | 21,184 | 1,578 | ||||||
Starz - Liberty Capital * | 13,420 | 380 | ||||||
Target | 71,485 | 4,570 | ||||||
Tempur Sealy International | 7,300 | 373 | ||||||
Tesla Motors * (A) | 9,200 | 1,171 | ||||||
Thomson Reuters | 40,600 | 1,518 | ||||||
Thor Industries (A) | 5,500 | 297 | ||||||
Tiffany | 11,225 | 1,001 | ||||||
Time Warner | 104,179 | 6,846 | ||||||
Time Warner Cable, Cl A | 32,284 | 4,462 | ||||||
TJX | 80,208 | 5,043 | ||||||
Toll Brothers * | 15,751 | 537 | ||||||
Tractor Supply | 15,000 | 1,098 | ||||||
TripAdvisor * (A) | 11,267 | 995 | ||||||
TRW Automotive Holdings | 11,393 | 884 | ||||||
Tupperware Brands | 6,500 | 594 | ||||||
Twenty-First Century Fox, Cl A | 222,285 | 7,444 | ||||||
Ulta Salon Cosmetics & Fragrance * | 7,652 | 971 | ||||||
Under Armour, Cl A * (A) | 9,600 | 775 | ||||||
Urban Outfitters * | 13,120 | 512 | ||||||
VF (A) | 9,617 | 2,256 | ||||||
Viacom, Cl B | 53,969 | 4,327 | ||||||
Visteon * | 5,400 | 425 | ||||||
Walt Disney | 197,772 | 13,951 | ||||||
Weight Watchers International (A) | 3,362 | 109 | ||||||
Wendy’s (A) | 26,800 | 231 | ||||||
Whirlpool | 8,087 | 1,235 | ||||||
Williams-Sonoma | 11,062 | 654 | ||||||
Wyndham Worldwide | 13,568 | 973 | ||||||
Wynn Resorts | 8,796 | 1,459 | ||||||
Yum! Brands | 49,948 | 3,880 | ||||||
|
| |||||||
274,768 | ||||||||
|
| |||||||
Consumer Staples — 8.9% |
| |||||||
Altria Group | 219,440 | 8,115 | ||||||
Archer-Daniels-Midland | 72,879 | 2,933 | ||||||
Avon Products | 52,006 | 927 | ||||||
Beam | 17,320 | 1,170 | ||||||
Brown-Forman, Cl B | 16,327 | 1,225 | ||||||
Bunge | 15,900 | 1,274 | ||||||
Campbell Soup (A) | 21,178 | 820 | ||||||
Church & Dwight | 14,707 | 960 | ||||||
Clorox (A) | 14,203 | 1,323 | ||||||
Coca-Cola | 420,640 | 16,905 | ||||||
Coca-Cola Enterprises | 31,815 | 1,334 |
Description | Shares | Market Value ($ Thousands) | ||||||
Colgate-Palmolive | 104,250 | $ | 6,861 | |||||
ConAgra Foods | 45,286 | 1,494 | ||||||
Constellation Brands, Cl A * | 15,631 | 1,100 | ||||||
Costco Wholesale | 48,681 | 6,106 | ||||||
CVS Caremark | 133,952 | 8,970 | ||||||
Dean Foods * (A) | 11,593 | 209 | ||||||
Dr. Pepper Snapple Group (A) | 20,600 | 994 | ||||||
Energizer Holdings | 7,541 | 832 | ||||||
Estee Lauder, Cl A | 25,408 | 1,905 | ||||||
Flowers Foods | 20,925 | 455 | ||||||
Fresh Market * | 2,500 | 102 | ||||||
General Mills | 71,592 | 3,611 | ||||||
Green Mountain Coffee Roasters (A) | 16,100 | 1,085 | ||||||
Herbalife (A) | 9,000 | 627 | ||||||
Hershey | 16,998 | 1,647 | ||||||
Hillshire Brands | 14,900 | 498 | ||||||
Hormel Foods | 16,278 | 733 | ||||||
Ingredion | 9,400 | 650 | ||||||
JM Smucker | 11,611 | 1,210 | ||||||
Kellogg | 28,403 | 1,722 | ||||||
Kimberly-Clark | 42,818 | 4,674 | ||||||
Kraft Foods Group | 66,002 | 3,506 | ||||||
Kroger | 57,373 | 2,395 | ||||||
Lorillard | 41,450 | 2,128 | ||||||
McCormick (A) | 13,293 | 917 | ||||||
Mead Johnson Nutrition, Cl A | 22,186 | 1,875 | ||||||
Molson Coors Brewing, Cl B | 15,562 | 820 | ||||||
Mondelez International, Cl A | 199,406 | 6,686 | ||||||
Monster Beverage | 16,300 | 965 | ||||||
Nu Skin Enterprises, Cl A | 6,700 | 857 | ||||||
PepsiCo | 169,852 | 14,346 | ||||||
Philip Morris International | 179,768 | 15,377 | ||||||
Procter & Gamble | 301,974 | 25,432 | ||||||
Reynolds American | 34,520 | 1,741 | ||||||
Safeway | 25,620 | 896 | ||||||
Sysco (A) | 65,248 | 2,194 | ||||||
Tyson Foods, Cl A | 31,465 | 997 | ||||||
Walgreen | 105,825 | 6,265 | ||||||
Wal-Mart Stores | 176,879 | 14,329 | ||||||
WhiteWave Foods, Cl A * | 17,922 | 381 | ||||||
Whole Foods Market | 40,904 | 2,315 | ||||||
|
| |||||||
186,893 | ||||||||
|
| |||||||
Energy — 9.4% |
| |||||||
Anadarko Petroleum | 55,940 | 4,969 | ||||||
Apache | 43,559 | 3,985 | ||||||
Atwood Oceanics * | 7,200 | 379 | ||||||
Baker Hughes | 48,740 | 2,776 | ||||||
Cabot Oil & Gas | 48,200 | 1,660 | ||||||
Cameron International * | 27,144 | 1,504 | ||||||
Cheniere Energy * | 26,400 | 1,045 | ||||||
Chesapeake Energy (A) | 63,366 | 1,703 | ||||||
Chevron | 213,602 | 26,153 | ||||||
Cimarex Energy | 8,700 | 823 | ||||||
Cobalt International Energy * | 33,400 | 742 | ||||||
Concho Resources * | 11,300 | 1,174 | ||||||
ConocoPhillips | 133,876 | 9,746 | ||||||
CONSOL Energy | 24,244 | 863 | ||||||
Continental Resources (A) | 4,800 | 516 | ||||||
Denbury Resources * | 39,324 | 656 | ||||||
Devon Energy | 44,913 | 2,723 | ||||||
Diamond Offshore Drilling (A) | 8,509 | 511 | ||||||
Dresser-Rand Group * | 9,234 | 521 |
2 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Index Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Dril-Quip * | 5,200 | $ | 565 | |||||
Energen | 8,937 | 645 | ||||||
EOG Resources | 30,345 | 5,007 | ||||||
EQT | 16,366 | 1,393 | ||||||
Exxon Mobil | 490,838 | 45,883 | ||||||
FMC Technologies * | 25,820 | 1,242 | ||||||
Golar LNG (A) | 5,500 | 200 | ||||||
Gulfport Energy * | 7,200 | 421 | ||||||
Halliburton (A) | 104,236 | 5,491 | ||||||
Helmerich & Payne | 9,250 | 712 | ||||||
Hess | 33,912 | 2,751 | ||||||
HollyFrontier | 20,326 | 975 | ||||||
Kinder Morgan | 73,222 | 2,602 | ||||||
Kosmos Energy * | 9,200 | 96 | ||||||
Laredo Petroleum Holdings * | 2,000 | 54 | ||||||
Marathon Oil | 78,376 | 2,825 | ||||||
Marathon Petroleum | 35,788 | 2,961 | ||||||
McDermott International * | 34,300 | 279 | ||||||
Murphy Oil | 20,654 | 1,341 | ||||||
Nabors Industries | 36,000 | 596 | ||||||
National Oilwell Varco | 47,480 | 3,870 | ||||||
Newfield Exploration * | 16,699 | 469 | ||||||
Noble Energy | 39,624 | 2,783 | ||||||
Oasis Petroleum | 8,600 | 397 | ||||||
Occidental Petroleum | 88,054 | 8,362 | ||||||
Oceaneering International | 10,900 | 841 | ||||||
Oil States International * | 5,700 | 583 | ||||||
Patterson-UTI Energy (A) | 19,632 | 458 | ||||||
PBF Energy, Cl A (A) | 2,900 | 84 | ||||||
Peabody Energy | 33,074 | 602 | ||||||
Phillips 66 | 68,888 | 4,795 | ||||||
Pioneer Natural Resources | 15,144 | 2,692 | ||||||
QEP Resources | 21,746 | 696 | ||||||
Range Resources | 17,739 | 1,377 | ||||||
Rowan, Cl A * | 12,686 | 439 | ||||||
RPC (A) | 5,550 | 98 | ||||||
SandRidge Energy * (A) | 60,700 | 339 | ||||||
Schlumberger | 145,963 | 12,906 | ||||||
Seadrill | 38,700 | 1,653 | ||||||
SM Energy | 8,200 | 723 | ||||||
Southwestern Energy | 38,276 | 1,480 | ||||||
Spectra Energy | 73,909 | 2,480 | ||||||
Superior Energy Services * | 19,400 | 494 | ||||||
Teekay | 3,800 | 168 | ||||||
Tesoro | 16,446 | 964 | ||||||
Tidewater | 6,370 | 363 | ||||||
Ultra Petroleum * (A) | 18,600 | 381 | ||||||
Unit * | 6,027 | 290 | ||||||
Valero Energy | 59,936 | 2,740 | ||||||
Whiting Petroleum * | 14,300 | �� | 864 | |||||
Williams | 75,546 | 2,661 | ||||||
World Fuel Services (A) | 8,900 | 342 | ||||||
WPX Energy * | 22,248 | 414 | ||||||
|
| |||||||
196,296 | ||||||||
|
| |||||||
Financials — 16.8% |
| |||||||
ACE | 37,800 | 3,885 | ||||||
Affiliated Managers Group * | 6,220 | 1,246 | ||||||
Aflac | 51,656 | 3,428 | ||||||
Alexandria Real Estate Equities ‡ | 8,300 | 525 | ||||||
Alleghany * | 1,804 | 711 | ||||||
Allied World Assurance Holdings | 4,600 | 518 |
Description | Shares | Market Value ($ Thousands) | ||||||
Allstate | 51,825 | $ | 2,813 | |||||
American Campus Communities ‡ | 11,600 | 376 | ||||||
American Capital * | 36,800 | 563 | ||||||
American Capital Agency ‡ | 39,859 | 812 | ||||||
American Express | 103,634 | 8,892 | ||||||
American Financial Group | 9,414 | 543 | ||||||
American International Group (B) | 161,223 | 8,021 | ||||||
American National Insurance | 222 | 26 | ||||||
American Tower, Cl A ‡ | 43,822 | 3,408 | ||||||
Ameriprise Financial | 22,200 | 2,403 | ||||||
Annaly Capital Management ‡ | 102,411 | 1,040 | ||||||
Aon | 34,144 | 2,787 | ||||||
Apartment Investment & Management, Cl A ‡ | 17,899 | 449 | ||||||
Arch Capital Group * (A) | 13,100 | 771 | ||||||
Ares Capital (B) | 30,203 | 555 | ||||||
Arthur J Gallagher | 12,004 | 559 | ||||||
Aspen Insurance Holdings | 9,500 | 384 | ||||||
Associated Banc | 21,584 | 372 | ||||||
Assurant | 9,393 | 610 | ||||||
Assured Guaranty | 21,200 | 498 | ||||||
AvalonBay Communities ‡ | 14,141 | 1,677 | ||||||
Axis Capital Holdings | 12,700 | 624 | ||||||
Bank of America | 1,186,263 | 18,767 | ||||||
Bank of Hawaii | 5,582 | 330 | ||||||
Bank of New York Mellon | 129,109 | 4,351 | ||||||
BankUnited | 3,500 | 113 | ||||||
BB&T | 77,606 | 2,696 | ||||||
Berkshire Hathaway, Cl B * | 198,200 | 23,096 | ||||||
BioMed Realty Trust ‡ (A) | 19,100 | 355 | ||||||
BlackRock, Cl A | 14,485 | 4,385 | ||||||
BOK Financial | 3,275 | 207 | ||||||
Boston Properties ‡ | 16,584 | 1,650 | ||||||
Brandywine Realty Trust ‡ | 18,000 | 239 | ||||||
BRE Properties ‡ | 9,520 | 488 | ||||||
Brown & Brown | 14,324 | 453 | ||||||
Camden Property Trust ‡ | 9,747 | 565 | ||||||
Capital One Financial | 65,025 | 4,658 | ||||||
CapitalSource | 23,782 | 334 | ||||||
CBL & Associates Properties ‡ | 15,700 | 284 | ||||||
CBOE Holdings | 10,900 | 570 | ||||||
CBRE Group, Cl A | 30,817 | 747 | ||||||
Charles Schwab | 121,285 | 2,969 | ||||||
Chimera Investment ‡ | 127,100 | 375 | ||||||
Chubb | 28,618 | 2,760 | ||||||
Cincinnati Financial | 17,786 | 932 | ||||||
CIT Group | 22,200 | 1,121 | ||||||
Citigroup | 334,704 | 17,712 | ||||||
City National (A) | 5,838 | 446 | ||||||
CME Group, Cl A | 35,070 | 2,874 | ||||||
CNA Financial | 1,700 | 71 | ||||||
Comerica (A) | 19,753 | 896 | ||||||
Commerce Bancshares | 10,188 | 460 | ||||||
CommonWealth ‡ | 14,325 | 342 | ||||||
Corporate Office Properties Trust ‡ | 10,300 | 229 | ||||||
Corrections Corp of America ‡ | 14,640 | 488 | ||||||
Cullen/Frost Bankers (A) | 6,568 | 472 | ||||||
DDR ‡ | 32,100 | 513 | ||||||
Digital Realty Trust ‡ (A) | 15,500 | 732 | ||||||
Discover Financial Services | 54,289 | 2,893 | ||||||
Douglas Emmett ‡ | 14,000 | 322 |
3 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Index Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Duke Realty ‡ | 33,309 | $ | 506 | |||||
E*TRADE Financial * | 30,600 | 548 | ||||||
East West Bancorp | 12,300 | 422 | ||||||
Eaton Vance | 14,310 | 598 | ||||||
Endurance Specialty Holdings | 5,400 | 307 | ||||||
Equity Lifestyle Properties ‡ | 10,200 | 362 | ||||||
Equity Residential ‡ | 39,687 | 2,045 | ||||||
Erie Indemnity, Cl A | 2,419 | 177 | ||||||
Essex Property Trust ‡ (A) | 4,569 | 694 | ||||||
Everest Re Group | 4,900 | 768 | ||||||
Extra Space Storage ‡ | 13,500 | 566 | ||||||
Federal Realty Investment Trust ‡ | 7,696 | 797 | ||||||
Federated Investors, Cl B (A) | 9,458 | 258 | ||||||
Fidelity National Financial, Cl A | 27,604 | 802 | ||||||
Fifth Third Bancorp | 95,782 | 1,946 | ||||||
First Citizens BancShares, Cl A | 600 | 135 | ||||||
First Horizon National (A) | 31,256 | 350 | ||||||
First Niagara Financial Group | 43,600 | 486 | ||||||
First Republic Bank | 12,800 | 654 | ||||||
Forest City Enterprises, Cl A * | 17,642 | 344 | ||||||
Franklin Resources | 45,309 | 2,510 | ||||||
Fulton Financial | 24,795 | 324 | ||||||
Gaming and Leisure Properties ‡ * (A) | 8,189 | 378 | ||||||
General Growth Properties ‡ | 64,453 | 1,337 | ||||||
Genworth Financial, Cl A * | 47,792 | 722 | ||||||
Goldman Sachs Group | 50,075 | 8,460 | ||||||
Hanover Insurance Group | 6,193 | 373 | ||||||
Hartford Financial Services Group (A) | 49,810 | 1,775 | ||||||
Hatteras Financial ‡ | 12,100 | 202 | ||||||
HCC Insurance Holdings | 12,541 | 577 | ||||||
HCP ‡ | 49,974 | 1,838 | ||||||
Health Care ‡ | 31,283 | 1,752 | ||||||
Home Properties ‡ | 7,300 | 384 | ||||||
Hospitality Properties Trust ‡ | 15,366 | 417 | ||||||
Host Hotels & Resorts ‡ | 81,140 | 1,494 | ||||||
Howard Hughes * | 5,073 | 579 | ||||||
Hudson City Bancorp | 65,328 | 610 | ||||||
Huntington Bancshares | 88,434 | 812 | ||||||
ING US | 9,700 | 339 | ||||||
Interactive Brokers Group, Cl A | 2,200 | 53 | ||||||
IntercontinentalExchange Group | 12,180 | 2,598 | ||||||
Invesco | 48,500 | 1,690 | ||||||
Jones Lang LaSalle | 5,500 | 537 | ||||||
JPMorgan Chase | 416,334 | 23,823 | ||||||
Kemper | 6,260 | 235 | ||||||
KeyCorp | 99,295 | 1,266 | ||||||
Kilroy Realty ‡ | 8,100 | 408 | ||||||
Kimco Realty ‡ | 43,644 | 900 | ||||||
Lazard, Cl A | 11,700 | 488 | ||||||
Legg Mason (A) | 10,081 | 394 | ||||||
Leucadia National | 29,206 | 837 | ||||||
Liberty Property Trust ‡ | 12,806 | 415 | ||||||
Lincoln National | 29,088 | 1,493 | ||||||
Loews | 33,536 | 1,588 | ||||||
LPL Financial Holdings | 5,700 | 244 | ||||||
M&T Bank (A) | 14,134 | 1,630 | ||||||
Macerich ‡ | 13,611 | 775 | ||||||
Mack-Cali Realty ‡ | 10,898 | 222 | ||||||
Markel | 1,650 | 919 | ||||||
Marsh & McLennan | 60,965 | 2,893 |
Description | Shares | Market Value ($ Thousands) | ||||||
MBIA * | 13,559 | $ | 175 | |||||
McGraw-Hill | 30,139 | 2,245 | ||||||
Mercury General | 2,396 | 115 | ||||||
MetLife | 99,609 | 5,199 | ||||||
MFA Mortgage Investments ‡ | 44,200 | 322 | ||||||
Mid-America Apartment Communities ‡ | 5,100 | 307 | ||||||
Moody’s | 21,227 | 1,584 | ||||||
Morgan Stanley | 169,678 | 5,311 | ||||||
MSCI, Cl A * | 14,700 | 652 | ||||||
NASDAQ OMX Group | 14,500 | 570 | ||||||
National Retail Properties ‡ (A) | 11,400 | 362 | ||||||
New York Community Bancorp (A) | 46,372 | 766 | ||||||
Northern Trust | 26,005 | 1,534 | ||||||
Ocwen Financial * | 10,800 | 612 | ||||||
Old Republic International | 32,990 | 567 | ||||||
Omega Healthcare Investors ‡ | 15,000 | 490 | ||||||
PartnerRe | 6,300 | 648 | ||||||
People’s United Financial (A) | 37,534 | 568 | ||||||
Piedmont Office Realty Trust, Cl A ‡ (A) | 21,400 | 351 | ||||||
Plum Creek Timber ‡ (A) | 19,521 | 854 | ||||||
PNC Financial Services Group | 58,922 | 4,534 | ||||||
Popular | 10,653 | 304 | ||||||
Post Properties ‡ | 6,700 | 287 | ||||||
Principal Financial Group (A) | 31,908 | 1,615 | ||||||
ProAssurance | 7,600 | 365 | ||||||
Progressive | 66,080 | 1,846 | ||||||
Prologis ‡ | 54,818 | 2,079 | ||||||
Protective Life | 9,509 | 456 | ||||||
Prudential Financial | 51,663 | 4,586 | ||||||
Public Storage ‡ | 15,868 | 2,423 | ||||||
Raymond James Financial | 14,221 | 685 | ||||||
Rayonier ‡ | 14,804 | 653 | ||||||
Realogy Holdings * | 12,400 | 588 | ||||||
Realty Income ‡ | 19,500 | 743 | ||||||
Regency Centers ‡ | 11,108 | 520 | ||||||
Regions Financial | 160,387 | 1,561 | ||||||
Reinsurance Group of America, Cl A | 8,799 | 660 | ||||||
RenaissanceRe Holdings | 5,300 | 502 | ||||||
Retail Properties of America, Cl A ‡ | 11,300 | 151 | ||||||
SEI (B) | 17,442 | 586 | ||||||
Senior Housing Properties Trust ‡ | 22,000 | 498 | ||||||
Signature Bank NY | 5,700 | 606 | ||||||
Simon Property Group ‡ | 34,581 | 5,182 | ||||||
SL Green Realty ‡ (A) | 10,768 | 974 | ||||||
SLM | 50,814 | 1,354 | ||||||
Spirit Realty Capital ‡ | 47,200 | 469 | ||||||
St. Joe * | 8,061 | 143 | ||||||
StanCorp Financial Group | 5,642 | 362 | ||||||
Starwood Property Trust ‡ | 21,500 | 599 | ||||||
State Street | 50,594 | 3,674 | ||||||
SunTrust Banks | 59,346 | 2,150 | ||||||
SVB Financial Group | 5,500 | 557 | ||||||
Synovus Financial | 98,672 | 344 | ||||||
T. Rowe Price Group | 28,480 | 2,292 | ||||||
Tanger Factory Outlet Centers ‡ | 9,800 | 324 | ||||||
Taubman Centers ‡ | 7,200 | 471 | ||||||
TCF Financial (A) | 20,301 | 318 |
4 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Index Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
TD Ameritrade Holding | 28,245 | $ | 813 | |||||
TFS Financial * | 10,200 | 120 | ||||||
Torchmark (A) | 9,725 | 739 | ||||||
Travelers | 41,775 | 3,791 | ||||||
Two Harbors Investment ‡ | 47,200 | 437 | ||||||
UDR ‡ | 29,793 | 693 | ||||||
Unum Group | 26,505 | 890 | ||||||
US Bancorp | 201,997 | 7,922 | ||||||
Validus Holdings | 13,126 | 526 | ||||||
Valley National Bancorp (A) | 24,716 | 251 | ||||||
Ventas ‡ | 32,192 | 1,829 | ||||||
Vornado Realty Trust ‡ | 20,436 | 1,797 | ||||||
Waddell & Reed Financial, Cl A | 10,700 | 682 | ||||||
Washington Federal | 13,263 | 310 | ||||||
Weingarten Realty Investors ‡ (A) | 14,967 | 427 | ||||||
Wells Fargo | 531,866 | 23,413 | ||||||
Weyerhaeuser ‡ | 61,692 | 1,859 | ||||||
White Mountains Insurance Group | 747 | 450 | ||||||
WP Carey ‡ | 7,400 | 465 | ||||||
WR Berkley | 13,114 | 574 | ||||||
XL Group, Cl A | 29,500 | 944 | ||||||
Zions Bancorporation | 22,402 | 657 | ||||||
|
| |||||||
348,729 | ||||||||
|
| |||||||
Health Care — 12.6% |
| |||||||
Abbott Laboratories | 174,076 | 6,648 | ||||||
AbbVie | 173,076 | 8,386 | ||||||
Actavis * | 18,702 | 3,050 | ||||||
Aetna | 41,835 | 2,884 | ||||||
Agilent Technologies | 38,164 | 2,044 | ||||||
Alere * | 9,300 | 304 | ||||||
Alexion Pharmaceuticals * | 21,600 | 2,689 | ||||||
Alkermes * | 11,400 | 460 | ||||||
Allergan | 32,796 | 3,183 | ||||||
Allscripts Healthcare Solutions * | 21,800 | 326 | ||||||
AmerisourceBergen | 24,124 | 1,701 | ||||||
Amgen | 82,058 | 9,361 | ||||||
Ariad Pharmaceuticals * (A) | 24,600 | 119 | ||||||
Baxter International | 60,275 | 4,126 | ||||||
Becton Dickinson (A) | 21,344 | 2,318 | ||||||
Biogen Idec * | 26,500 | 7,711 | ||||||
BioMarin Pharmaceutical * | 15,200 | 1,070 | ||||||
Bio-Rad Laboratories, Cl A * | 2,500 | 307 | ||||||
Boston Scientific * | 147,639 | 1,710 | ||||||
Bristol-Myers Squibb | 179,759 | 9,236 | ||||||
Brookdale Senior Living, Cl A * | 12,100 | 353 | ||||||
Bruker * | 11,900 | 230 | ||||||
C.R. Bard | 8,685 | 1,206 | ||||||
Cardinal Health | 37,529 | 2,424 | ||||||
CareFusion * | 21,764 | 867 | ||||||
Catamaran * | 22,148 | 1,010 | ||||||
Celgene * | 46,680 | 7,552 | ||||||
Cerner (A) | 32,496 | 1,867 | ||||||
Charles River Laboratories International * (A) | 6,143 | 321 | ||||||
Cigna | 31,455 | 2,751 | ||||||
Community Health Systems | 11,362 | 469 | ||||||
Cooper | 5,904 | 778 | ||||||
Covance * | 6,836 | 577 | ||||||
Covidien | 52,200 | 3,563 | ||||||
Cubist Pharmaceuticals * | 8,400 | 576 | ||||||
DaVita * | 19,916 | 1,186 |
Description | Shares | Market Value ($ Thousands) | ||||||
Dentsply International | 17,298 | $ | 823 | |||||
Edwards Lifesciences * | 12,014 | 787 | ||||||
Eli Lilly | 110,661 | 5,557 | ||||||
Endo Health Solutions * (A) | 13,597 | 914 | ||||||
Express Scripts Holding * | 91,236 | 6,145 | ||||||
Forest Laboratories * | 28,873 | 1,481 | ||||||
Gilead Sciences * | 167,334 | 12,518 | ||||||
HCA Holdings | 29,000 | 1,346 | ||||||
Health Management Associates, Cl A * | 32,122 | 420 | ||||||
Health Net | 10,602 | 324 | ||||||
Henry Schein * | 8,784 | 1,001 | ||||||
Hill-Rom Holdings | 7,724 | 320 | ||||||
Hologic * | 28,000 | 627 | ||||||
Hospira * | 20,081 | 789 | ||||||
Humana | 17,175 | 1,786 | ||||||
Idexx Laboratories * (A) | 6,552 | 682 | ||||||
Illumina * (A) | 13,405 | 1,314 | ||||||
Incyte (A) | 12,200 | 569 | ||||||
Intuitive Surgical | 4,400 | 1,658 | ||||||
Jazz Pharmaceuticals * | 4,800 | 561 | ||||||
Johnson & Johnson | 309,709 | 29,317 | ||||||
Laboratory Corp of America Holdings * | 10,011 | 1,020 | ||||||
Life Technologies | 18,670 | 1,413 | ||||||
LifePoint Hospitals * | 6,576 | 337 | ||||||
Mallinckrodt * | 7,600 | 395 | ||||||
McKesson | 25,166 | 4,175 | ||||||
Medivation * | 7,600 | 479 | ||||||
MEDNAX | 6,100 | 676 | ||||||
Medtronic | 113,485 | 6,505 | ||||||
Merck | 332,043 | 16,546 | ||||||
Mettler Toledo International (A) | 3,236 | 798 | ||||||
Mylan Laboratories * | 41,619 | 1,837 | ||||||
Myriad Genetics * (A) | 11,300 | 336 | ||||||
Omnicare | 12,731 | 729 | ||||||
Patterson | 11,683 | 485 | ||||||
PerkinElmer | 13,634 | 519 | ||||||
Perrigo (A) | 10,200 | 1,590 | ||||||
Pfizer | 736,722 | 23,376 | ||||||
Pharmacyclics * | 6,200 | 772 | ||||||
QIAGEN * | 29,200 | 680 | ||||||
Quest Diagnostics (A) | 17,044 | 1,039 | ||||||
Regeneron Pharmaceuticals * | 8,900 | 2,615 | ||||||
ResMed (A) | 17,335 | 846 | ||||||
Salix Pharmaceuticals * | 7,400 | 628 | ||||||
Seattle Genetics * (A) | 13,000 | 534 | ||||||
Sirona Dental Systems * | 6,700 | 461 | ||||||
St. Jude Medical | 30,946 | 1,808 | ||||||
Stryker | 36,604 | 2,724 | ||||||
Techne | 4,541 | 388 | ||||||
Teleflex | 5,240 | 515 | ||||||
Tenet Healthcare * | 12,798 | 552 | ||||||
Theravance * | 9,400 | 355 | ||||||
Thermo Fisher Scientific (A) | 39,925 | 4,026 | ||||||
United Therapeutics * | 4,600 | 425 | ||||||
UnitedHealth Group | 111,520 | 8,306 | ||||||
Universal Health Services, Cl B | 11,076 | 913 | ||||||
Varian Medical Systems * (A) | 11,530 | 900 | ||||||
VCA Antech * | 10,839 | 325 | ||||||
Vertex Pharmaceuticals * | 26,900 | 1,867 | ||||||
Waters * | 8,672 | 863 | ||||||
WellPoint | 33,231 | 3,086 | ||||||
Zimmer Holdings | 18,325 | 1,675 |
5 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Index Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Zoetis, Cl A | 54,744 | $ | 1,705 | |||||
|
| |||||||
261,526 | ||||||||
|
| |||||||
Industrials — 11.2% |
| |||||||
3M | 75,633 | 10,098 | ||||||
ADT (A) | 22,000 | 892 | ||||||
AECOM Technology * | 11,700 | 340 | ||||||
AGCO | 12,000 | 699 | ||||||
Air Lease, Cl A | 7,900 | 250 | ||||||
Alaska Air Group | 6,400 | 497 | ||||||
Alliant Techsystems | 4,136 | 501 | ||||||
AMERCO * | 900 | 208 | ||||||
Ametek | 26,380 | 1,298 | ||||||
AO Smith | 10,000 | 541 | ||||||
Armstrong World Industries | 1,900 | 101 | ||||||
Avis Budget Group * | 13,900 | 512 | ||||||
Babcock & Wilcox | 14,650 | 476 | ||||||
BE Aerospace * | 9,766 | 850 | ||||||
Boeing | 83,191 | 11,168 | ||||||
C.H. Robinson Worldwide (A) | 17,286 | 1,014 | ||||||
Carlisle | 7,766 | 571 | ||||||
Caterpillar | 73,488 | 6,217 | ||||||
Chicago Bridge & Iron | 10,595 | 812 | ||||||
Cintas (A) | 12,557 | 697 | ||||||
Clean Harbors * | 7,500 | 396 | ||||||
CNH Industrial * | 13,398 | 152 | ||||||
Colfax * | 7,800 | 453 | ||||||
Con-way | 7,023 | 291 | ||||||
Copa Holdings, Cl A | 4,100 | 621 | ||||||
Copart | 12,918 | 445 | ||||||
Covanta Holding | 13,700 | 245 | ||||||
Crane | 6,100 | 380 | ||||||
CSX | 113,196 | 3,087 | ||||||
Cummins | 21,012 | 2,781 | ||||||
Danaher | 66,702 | 4,989 | ||||||
Deere | 43,119 | 3,632 | ||||||
Delta Air Lines | 94,300 | 2,733 | ||||||
Donaldson (A) | 18,244 | 761 | ||||||
Dover | 18,757 | 1,702 | ||||||
Dun & Bradstreet (A) | 4,856 | 567 | ||||||
Eaton | 52,518 | 3,816 | ||||||
Emerson Electric | 80,220 | 5,374 | ||||||
Equifax | 11,856 | 798 | ||||||
Exelis | 23,402 | 414 | ||||||
Expeditors International of Washington | 20,848 | 906 | ||||||
Fastenal (A) | 32,424 | 1,509 | ||||||
FedEx | 35,244 | 4,888 | ||||||
Flowserve | 14,400 | 1,028 | ||||||
Fluor | 17,608 | 1,370 | ||||||
Fortune Brands Home & Security | 20,020 | 873 | ||||||
GATX | 5,800 | 291 | ||||||
General Dynamics | 33,072 | 3,031 | ||||||
General Electric | 1,140,123 | 30,395 | ||||||
Genesee & Wyoming, Cl A | 5,600 | 539 | ||||||
Graco | 6,424 | 496 | ||||||
Harsco | 10,270 | 269 | ||||||
HD Supply Holdings * | 4,700 | 99 | ||||||
Hertz Global Holdings * | 42,000 | 1,019 | ||||||
Hexcel | 12,900 | 567 | ||||||
Honeywell International | 87,990 | 7,788 | ||||||
Hubbell, Cl B | 7,192 | 776 | ||||||
Huntington Ingalls Industries | 6,096 | 501 |
Description | Shares | Market Value ($ Thousands) | ||||||
IDEX | 7,693 | $ | 549 | |||||
IHS, Cl A * (A) | 7,000 | 801 | ||||||
Illinois Tool Works | 41,880 | 3,333 | ||||||
Ingersoll-Rand | 32,900 | 2,350 | ||||||
Iron Mountain | 17,490 | 492 | ||||||
ITT | 11,551 | 472 | ||||||
Jacobs Engineering Group * | 15,902 | 951 | ||||||
JB Hunt Transport Services (A) | 10,972 | 825 | ||||||
Joy Global (A) | 12,833 | 726 | ||||||
Kansas City Southern | 12,000 | 1,452 | ||||||
KAR Auction Services | 9,700 | 268 | ||||||
KBR | 18,480 | 625 | ||||||
Kennametal | 10,000 | 475 | ||||||
Kirby * | 6,900 | 652 | ||||||
L-3 Communications Holdings, Cl 3 | 8,977 | 929 | ||||||
Landstar System | 5,765 | 324 | ||||||
Lennox International | 6,100 | 503 | ||||||
Lincoln Electric Holdings | 10,400 | 743 | ||||||
Lockheed Martin | 28,829 | 4,084 | ||||||
Manitowoc | 16,600 | 342 | ||||||
Manpowergroup | 7,984 | 638 | ||||||
Masco | 37,809 | 848 | ||||||
MRC Global * | 10,700 | 327 | ||||||
MSC Industrial Direct, Cl A | 4,920 | 378 | ||||||
Navistar International * (A) | 6,800 | 273 | ||||||
Nielsen Holdings | 23,200 | 1,001 | ||||||
Nordson | 8,000 | 577 | ||||||
Norfolk Southern | 34,833 | 3,054 | ||||||
Northrop Grumman | 23,678 | 2,668 | ||||||
Old Dominion Freight Line * | 9,200 | 474 | ||||||
Oshkosh Truck | 11,359 | 554 | ||||||
Owens Corning | 14,400 | 564 | ||||||
Paccar | 38,970 | 2,233 | ||||||
Pall | 11,945 | 1,000 | ||||||
Parker Hannifin | 17,004 | 2,004 | ||||||
Pentair | 22,273 | 1,575 | ||||||
Pitney Bowes (A) | 18,085 | 419 | ||||||
Precision Castparts | 16,246 | 4,199 | ||||||
Quanta Services * | 19,700 | 583 | ||||||
Raytheon | 35,968 | 3,190 | ||||||
Regal-Beloit | 4,900 | 361 | ||||||
Republic Services, Cl A | 27,242 | 951 | ||||||
Robert Half International | 17,676 | 683 | ||||||
Rockwell Automation | 15,304 | 1,738 | ||||||
Rockwell Collins (A) | 14,579 | 1,060 | ||||||
Rollins | 5,900 | 166 | ||||||
Roper Industries | 10,800 | 1,401 | ||||||
RR Donnelley & Sons (A) | 22,577 | 418 | ||||||
Ryder System | 6,306 | 440 | ||||||
Snap-on | 6,491 | 689 | ||||||
Southwest Airlines | 78,020 | 1,450 | ||||||
Spirit Aerosystems Holdings, Cl A * | 12,200 | 398 | ||||||
SPX | 5,411 | 512 | ||||||
Stanley Black & Decker | 18,393 | 1,497 | ||||||
Stericycle * | 9,326 | 1,095 | ||||||
Terex * | 13,648 | 496 | ||||||
Textron | 27,622 | 918 | ||||||
Timken | 10,469 | 542 | ||||||
Toro | 7,620 | 470 | ||||||
Towers Watson, Cl A | 7,900 | 890 | ||||||
TransDigm Group | 6,200 | 970 | ||||||
Trinity Industries | 9,600 | 498 |
6 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Index Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Triumph Group | 6,200 | $ | 459 | |||||
Union Pacific | 51,016 | 8,267 | ||||||
United Continental Holdings * | 40,500 | 1,590 | ||||||
United Parcel Service, Cl B | 79,141 | 8,102 | ||||||
United Rentals * (A) | 11,600 | 797 | ||||||
United Technologies | 100,790 | 11,174 | ||||||
URS | 9,500 | 494 | ||||||
Valmont Industries | 2,900 | 420 | ||||||
Verisk Analytics, Cl A * | 16,300 | 1,061 | ||||||
WABCO Holdings * | 6,024 | 534 | ||||||
Wabtec | 11,700 | 807 | ||||||
Waste Connections (A) | 15,450 | 679 | ||||||
Waste Management | 51,394 | 2,348 | ||||||
WESCO International * (A) | 5,400 | 464 | ||||||
WW Grainger | 6,481 | 1,672 | ||||||
Xylem | 19,102 | 660 | ||||||
|
| |||||||
232,350 | ||||||||
|
| |||||||
Information Technology — 17.7% |
| |||||||
3D Systems * (A) | 10,400 | 782 | ||||||
Accenture, Cl A | 71,700 | 5,555 | ||||||
Activision Blizzard | 23,456 | 404 | ||||||
Adobe Systems * | 55,602 | 3,157 | ||||||
Advanced Micro Devices * (A) | 63,134 | 230 | ||||||
Akamai Technologies * | 19,018 | 850 | ||||||
Alliance Data Systems * (A) | 5,312 | 1,287 | ||||||
Altera | 35,673 | 1,150 | ||||||
Amdocs | 16,800 | 680 | ||||||
Amphenol, Cl A | 17,392 | 1,478 | ||||||
Analog Devices | 33,612 | 1,621 | ||||||
Ansys | 10,100 | 865 | ||||||
AOL | 9,434 | 421 | ||||||
Apple (B) | 103,645 | 57,634 | ||||||
Applied Materials | 132,455 | 2,291 | ||||||
Arrow Electronics * | 12,689 | 651 | ||||||
Atmel | 46,100 | 353 | ||||||
Autodesk * | 22,637 | 1,024 | ||||||
Automatic Data Processing | 53,992 | 4,320 | ||||||
Avago Technologies, Cl A | 26,600 | 1,190 | ||||||
Avnet | 13,910 | 555 | ||||||
AVX | 1,424 | 20 | ||||||
Broadcom, Cl A | 62,368 | 1,664 | ||||||
Broadridge Financial Solutions | 15,473 | 590 | ||||||
Brocade Communications Systems * | 58,400 | 513 | ||||||
CA | 35,338 | 1,166 | ||||||
Cadence Design Systems (A) | 28,263 | 375 | ||||||
Cisco Systems | 586,427 | 12,462 | ||||||
Citrix Systems | 20,387 | 1,209 | ||||||
Cognizant Technology Solutions, Cl A * | 33,388 | 3,135 | ||||||
Computer Sciences | 16,764 | 882 | ||||||
Compuware | 21,851 | 240 | ||||||
Comverse * | 1 | — | ||||||
Concur Technologies * (A) | 5,700 | 554 | ||||||
CoreLogic | 9,984 | 352 | ||||||
Corning | 162,758 | 2,780 | ||||||
Cree * | 11,822 | 660 | ||||||
Diebold | 7,029 | 240 | ||||||
Dolby Laboratories, Cl A (A) | 6,443 | 232 | ||||||
DST Systems | 4,595 | 406 | ||||||
eBay * | 145,211 | 7,336 | ||||||
EchoStar, Cl A * | 3,732 | 187 | ||||||
Electronic Arts * | 35,265 | 782 |
Description | Shares | Market Value ($ Thousands) | ||||||
EMC | 234,697 | $ | 5,598 | |||||
Equinix * (A) | 5,300 | 852 | ||||||
F5 Networks * | 8,338 | 686 | ||||||
Facebook, Cl A * | 186,300 | 8,758 | ||||||
FactSet Research Systems (A) | 4,900 | 554 | ||||||
Fairchild Semiconductor International, Cl A | 16,200 | 206 | ||||||
Fidelity National Information Services | 31,990 | 1,621 | ||||||
First Solar * (A) | 7,900 | 473 | ||||||
Fiserv | 14,469 | 1,590 | ||||||
FleetCor Technologies | 7,600 | 926 | ||||||
FLIR Systems | 17,200 | 510 | ||||||
Fortinet | 16,500 | 282 | ||||||
Freescale Semiconductor * (A) | 3,500 | 51 | ||||||
Gartner * | 11,500 | 743 | ||||||
Genpact * | 15,700 | 281 | ||||||
Global Payments | 9,734 | 614 | ||||||
Google, Cl A * | 29,729 | 31,501 | ||||||
Harris | 13,289 | 857 | ||||||
Hewlett-Packard | 216,570 | 5,923 | ||||||
IAC | 7,532 | 431 | ||||||
Informatica * (A) | 13,100 | 509 | ||||||
Ingram Micro, Cl A * | 18,923 | 444 | ||||||
Intel | 545,658 | 13,008 | ||||||
International Business Machines | 114,598 | 20,591 | ||||||
Intuit | 32,686 | 2,426 | ||||||
IPG Photonics (A) | 4,000 | 290 | ||||||
Jabil Circuit | 19,974 | 405 | ||||||
Jack Henry & Associates | 10,500 | 596 | ||||||
JDS Uniphase * (A) | 28,640 | 348 | ||||||
Juniper Networks | 54,525 | 1,105 | ||||||
Kla-Tencor | 17,909 | 1,144 | ||||||
Lam Research * | 19,552 | 1,019 | ||||||
Leidos Holdings * (A) | 8,900 | 433 | ||||||
Lender Processing Services | 9,214 | 324 | ||||||
Lexmark International, Cl A (A) | 9,086 | 321 | ||||||
Linear Technology (A) | 25,057 | 1,066 | ||||||
LinkedIn, Cl A * | 11,000 | 2,464 | ||||||
LSI | 66,748 | 539 | ||||||
Marvell Technology Group | 47,900 | 682 | ||||||
Mastercard, Cl A | 12,800 | 9,738 | ||||||
Maxim Integrated Products | 31,100 | 886 | ||||||
Microchip Technology (A) | 23,322 | 1,009 | ||||||
Micron Technology * (A) | 113,216 | 2,389 | ||||||
Micros Systems (A) | 9,500 | 510 | ||||||
Microsoft | 921,200 | 35,125 | ||||||
Molex | 16,870 | 652 | ||||||
Motorola Solutions | 26,433 | 1,741 | ||||||
National Instruments | 9,904 | 310 | ||||||
NCR | 19,689 | 688 | ||||||
NetApp | 37,155 | 1,533 | ||||||
NetSuite * (A) | 4,000 | 384 | ||||||
NeuStar, Cl A * | 8,277 | 404 | ||||||
Nuance Communications * (A) | 29,700 | 402 | ||||||
Nvidia | 58,256 | 909 | ||||||
ON Semiconductor * | 57,800 | 410 | ||||||
Oracle | 389,820 | 13,757 | ||||||
Palo Alto Networks * | 4,300 | 215 | ||||||
Pandora Media (A) | 12,800 | 363 | ||||||
Paychex (A) | 35,407 | 1,548 | ||||||
Polycom * | 22,700 | 244 | ||||||
Qualcomm | 189,759 | 13,962 |
7 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Index Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Rackspace Hosting | 13,400 | $ | 512 | |||||
Red Hat * | 18,727 | 877 | ||||||
Riverbed Technology (A) | 19,700 | 341 | ||||||
Rovi | 11,000 | 202 | ||||||
Salesforce.com * (A) | 65,452 | 3,409 | ||||||
SanDisk | 23,469 | 1,600 | ||||||
Science Applications International (A) | 5,085 | 187 | ||||||
ServiceNow * (A) | 10,200 | 542 | ||||||
Silicon Laboratories | 5,400 | 211 | ||||||
Skyworks Solutions | 23,200 | 617 | ||||||
SolarWinds * | 7,600 | 254 | ||||||
Solera Holdings | 8,600 | 574 | ||||||
Splunk * | 10,800 | 779 | ||||||
Stratasys * (A) | 3,000 | 353 | ||||||
Symantec | 76,448 | 1,719 | ||||||
Synopsys * | 15,982 | 586 | ||||||
Tech Data | 5,350 | 277 | ||||||
Teradata * | 19,789 | 903 | ||||||
Teradyne * (A) | 23,063 | 393 | ||||||
Texas Instruments | 123,708 | 5,319 | ||||||
TIBCO Software * | 16,600 | 401 | ||||||
Total System Services | 19,791 | 615 | ||||||
Trimble Navigation * | 30,428 | 971 | ||||||
Vantiv, Cl A * | 11,100 | 336 | ||||||
VeriFone Holdings * | 13,400 | 343 | ||||||
Verint Systems * | 1 | — | ||||||
VeriSign * | 17,285 | 983 | ||||||
Visa, Cl A | 57,300 | 11,658 | ||||||
Vishay Intertechnology * (A) | 12,950 | 167 | ||||||
VMware, Cl A * | 10,400 | 839 | ||||||
Western Digital | 23,030 | 1,728 | ||||||
Western Union | 60,128 | 1,002 | ||||||
Workday, Cl A * | 4,700 | 387 | ||||||
Xerox | 133,496 | 1,519 | ||||||
Xilinx (A) | 28,657 | 1,273 | ||||||
Yahoo! * | 99,281 | 3,671 | ||||||
Zebra Technologies, Cl A * | 6,525 | 338 | ||||||
Zynga, Cl A * | 75,300 | 328 | ||||||
|
| |||||||
365,847 | ||||||||
|
| |||||||
Materials — 3.7% |
| |||||||
Air Products & Chemicals | 22,994 | 2,502 | ||||||
Airgas | 7,215 | 784 | ||||||
Albemarle | 9,844 | 676 | ||||||
Alcoa (A) | 114,402 | 1,099 | ||||||
Allegheny Technologies (A) | 13,297 | 442 | ||||||
Aptargroup | 8,200 | 532 | ||||||
Ashland | 8,376 | 763 | ||||||
Avery Dennison | 12,110 | 592 | ||||||
Ball | 15,650 | 782 | ||||||
Bemis (A) | 12,774 | 499 | ||||||
Cabot | 8,073 | 394 | ||||||
Carpenter Technology | 5,500 | 332 | ||||||
Celanese, Cl A | 18,983 | 1,066 | ||||||
CF Industries Holdings | 6,466 | 1,406 | ||||||
Cliffs Natural Resources (A) | 17,300 | 433 | ||||||
Compass Minerals International | 4,100 | 293 | ||||||
Crown Holdings | 15,051 | 664 | ||||||
Cytec Industries | 3,481 | 312 | ||||||
Domtar | 4,200 | 359 | ||||||
Dow Chemical | 134,970 | 5,272 | ||||||
E.I. du Pont de Nemours | 102,792 | 6,309 |
Description | Shares | Market Value ($ Thousands) | ||||||
Eagle Materials | 6,400 | $ | 500 | |||||
Eastman Chemical | 16,828 | 1,296 | ||||||
Ecolab | 29,008 | 3,109 | ||||||
FMC | 14,920 | 1,087 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 115,024 | 3,990 | ||||||
Greif, Cl A | 3,500 | 192 | ||||||
Huntsman | 23,129 | 530 | ||||||
International Flavors & Fragrances | 9,891 | 874 | ||||||
International Paper | 49,055 | 2,289 | ||||||
LyondellBasell Industries, Cl A | 45,000 | 3,473 | ||||||
Martin Marietta Materials | 5,563 | 537 | ||||||
MeadWestvaco | 21,258 | 746 | ||||||
Monsanto | 59,650 | 6,760 | ||||||
Mosaic | 32,678 | 1,565 | ||||||
NewMarket (A) | 900 | 292 | ||||||
Newmont Mining | 53,633 | 1,332 | ||||||
Nucor | 34,790 | 1,776 | ||||||
Owens-Illinois * | 20,391 | 673 | ||||||
Packaging Corp of America | 12,099 | 741 | ||||||
PPG Industries | 15,723 | 2,894 | ||||||
Praxair | 32,925 | 4,157 | ||||||
Reliance Steel & Aluminum | 9,300 | 684 | ||||||
Rock Tenn, Cl A | 8,700 | 822 | ||||||
Rockwood Holdings | 9,800 | 671 | ||||||
Royal Gold | 8,000 | 361 | ||||||
RPM International | 16,069 | 636 | ||||||
Scotts Miracle-Gro, Cl A (A) | 5,306 | 311 | ||||||
Sealed Air | 18,468 | 593 | ||||||
Sherwin-Williams | 9,737 | 1,782 | ||||||
Sigma-Aldrich (A) | 12,948 | 1,117 | ||||||
Silgan Holdings | 4,455 | 208 | ||||||
Sonoco Products | 12,446 | 499 | ||||||
Southern Copper | 19,868 | 499 | ||||||
Steel Dynamics | 27,900 | 508 | ||||||
Tahoe Resources | 7,500 | 133 | ||||||
United States Steel | 13,883 | 372 | ||||||
Valspar | 10,864 | 767 | ||||||
Vulcan Materials | 15,857 | 894 | ||||||
Westlake Chemical | 1,900 | 214 | ||||||
WR Grace * | 9,200 | 883 | ||||||
|
| |||||||
76,278 | ||||||||
|
| |||||||
Telecommunication Services — 2.3% |
| |||||||
AT&T (A) (B) | 592,333 | 20,856 | ||||||
CenturyLink (A) | 67,054 | 2,058 | ||||||
Crown Castle International * | 32,396 | 2,405 | ||||||
Frontier Communications (A) | 100,895 | 472 | ||||||
Level 3 Communications * (A) | 17,646 | 537 | ||||||
SBA Communications, Cl A * (A) | 13,000 | 1,107 | ||||||
Sprint * | 82,015 | 688 | ||||||
Telephone & Data Systems | 11,780 | 328 | ||||||
T-Mobile US | 22,300 | 580 | ||||||
tw telecom, Cl A * | 18,600 | 527 | ||||||
US Cellular | 831 | 37 | ||||||
Verizon Communications (A) | 314,476 | 15,604 | ||||||
Windstream Holdings (A) | 71,447 | 577 | ||||||
|
| |||||||
45,776 | ||||||||
|
| |||||||
Utilities — 3.0% | ||||||||
AES | 61,624 | 898 | ||||||
AGL Resources | 14,447 | 672 |
8 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Index Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Alliant Energy | 11,476 | $ | 591 | |||||
Ameren | 25,890 | 928 | ||||||
American Electric Power | 53,550 | 2,520 | ||||||
American Water Works | 21,300 | 902 | ||||||
Aqua America (A) | 20,346 | 490 | ||||||
Atmos Energy | 10,891 | 484 | ||||||
Calpine * | 47,900 | 905 | ||||||
Centerpoint Energy | 46,215 | 1,083 | ||||||
CMS Energy | 31,542 | 837 | ||||||
Consolidated Edison | 32,116 | 1,773 | ||||||
Dominion Resources | 64,212 | 4,168 | ||||||
DTE Energy | 18,864 | 1,259 | ||||||
Duke Energy | 78,716 | 5,507 | ||||||
Edison International | 35,579 | 1,644 | ||||||
Entergy | 19,298 | 1,194 | ||||||
Exelon | 94,676 | 2,548 | ||||||
FirstEnergy | 45,727 | 1,492 | ||||||
Great Plains Energy | 17,371 | 413 | ||||||
Hawaiian Electric Industries (A) | 11,946 | 302 | ||||||
Integrys Energy Group (A) | 9,602 | 516 | ||||||
ITC Holdings | 5,200 | 471 | ||||||
MDU Resources Group | 22,921 | 680 | ||||||
National Fuel Gas (A) | 9,189 | 620 | ||||||
NextEra Energy | 47,173 | 3,990 | ||||||
NiSource | 33,521 | 1,060 | ||||||
Northeast Utilities | 34,208 | 1,405 | ||||||
NRG Energy | 32,500 | 860 | ||||||
NV Energy | 28,600 | 677 | ||||||
OGE Energy | 24,136 | 831 | ||||||
ONEOK | 22,258 | 1,293 | ||||||
Pepco Holdings (A) | 28,144 | 537 | ||||||
PG&E | 48,618 | 1,963 | ||||||
Pinnacle West Capital | 13,292 | 709 | ||||||
PPL | 71,926 | 2,209 | ||||||
Public Service Enterprise Group | 55,452 | 1,813 | ||||||
Questar | 22,046 | 496 | ||||||
SCANA | 14,620 | 690 | ||||||
Sempra Energy | 26,823 | 2,372 | ||||||
Southern | 96,803 | 3,933 | ||||||
TECO Energy (A) | 18,500 | 315 | ||||||
UGI | 13,850 | 558 | ||||||
Vectren | 8,791 | 305 | ||||||
Westar Energy, Cl A | 15,700 | 492 | ||||||
Wisconsin Energy | 23,198 | 969 | ||||||
Xcel Energy | 54,181 | 1,518 | ||||||
|
| |||||||
61,892 | ||||||||
|
| |||||||
Total Common Stock | 2,050,355 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 6.3% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.080% ** † (C) | 131,166,107 | 131,166 | ||||||
|
| |||||||
Total Affiliated Partnership | 131,166 | |||||||
|
| |||||||
CASH EQUIVALENT — 0.5% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010% ** † | 9,516,148 | 9,516 | ||||||
|
| |||||||
Total Cash Equivalent | 9,516 | |||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATION (D) (E) — 0.1% |
| |||||||
U.S. Treasury Bill | ||||||||
0.000%, 02/20/2014 | $ | 2,150 | $ | 2,150 | ||||
|
| |||||||
Total U.S. Treasury Obligation | 2,150 | |||||||
|
| |||||||
Total Investments — 105.6% | $ | 2,193,187 | ||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2013, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P Mid 400 Index E-MINI | 22 | Dec-2013 | $ | 170 | ||||||||
S&P 500 Index EMINI | 290 | Dec-2013 | 1,810 | |||||||||
|
| |||||||||||
$ | 1,980 | |||||||||||
|
|
For the period ended November 30, 2013, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.
Percentages are based on a Net Assets of $2,077,397 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2013. |
† | Investment in Affiliated Security (see Note 6). |
‡ | Real Estate Investment Trust. |
(A) | This security or a partial position of this security is on loan at November 30, 2013. The total value of securities on loan at November 30, 2013 was $127,814 ($ 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 12). The total value of such securities as of November 30, 2013 was $131,166 ($ Thousands). |
(D) | The rate reported is the effective yield at time of purchase. |
(E) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
Ser — Series
S&P — Standard & Poor’s
9 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Large Cap Index Fund
November 30, 2013
The following is a list of the inputs used as of November 30, 2013, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 2,050,355 | $ | — | $ | — | $ | 2,050,355 | ||||||||
Affiliated Partnership | — | 131,166 | — | 131,166 | ||||||||||||
Cash Equivalent | 9,516 | — | — | 9,516 | ||||||||||||
U.S. Treasury Obligation | — | 2,150 | — | 2,150 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,059,871 | $ | 133,316 | $ | — | $ | 2,193,187 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 1,979 | $ | — | $ | — | $ | 1,979 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2013, 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 $0.
The accompanying notes are an integral part of the financial statements.
10 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Extended Market Index Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.8% | ||||||||
Consumer Discretionary — 16.1% | ||||||||
1-800-Flowers.com, Cl A * | 1,700 | $ | 9 | |||||
Aaron’s | 6,416 | 184 | ||||||
Advance Auto Parts | 5,999 | 606 | ||||||
Aeropostale * (A) | 8,049 | 83 | ||||||
AFC Enterprises * | 1,639 | 71 | ||||||
AH Belo, Cl A | 2,700 | 21 | ||||||
Allison Transmission Holdings | 2,276 | 62 | ||||||
AMC Networks, Cl A * | 5,060 | 325 | ||||||
American Axle & Manufacturing Holdings * | 5,898 | 118 | ||||||
American Eagle Outfitters | 16,222 | 264 | ||||||
American Public Education * | 1,627 | 74 | ||||||
America’s Car-Mart * | 850 | 36 | ||||||
ANN * | 4,035 | 144 | ||||||
Apollo Group, Cl A * | 7,600 | 200 | ||||||
Arctic Cat | 835 | 47 | ||||||
Asbury Automotive Group | 2,698 | 140 | ||||||
Ascena Retail Group | 10,768 | 229 | ||||||
Ascent Capital Group, Cl A * | 1,254 | 108 | ||||||
Bally Technologies * (A) | 3,225 | 241 | ||||||
Barnes & Noble * | 2,727 | 46 | ||||||
Bassett Furniture Industries | 433 | 7 | ||||||
Beazer Homes USA * | 2,961 | 62 | ||||||
Bebe Stores | 1,520 | 9 | ||||||
Belo, Cl A | 8,984 | 123 | ||||||
Big 5 Sporting Goods | 923 | 17 | ||||||
Big Lots * | 4,946 | 190 | ||||||
Biglari Holdings * | 99 | 48 | ||||||
BJ’s Restaurants * (A) | 1,842 | 55 | ||||||
Black Diamond * | 804 | 11 | ||||||
Bloomin’ Brands * | 4,850 | 127 | ||||||
Blue Nile * | 1,431 | 66 | ||||||
Blyth (A) | 420 | 5 | ||||||
Bob Evans Farms | 2,387 | 133 | ||||||
Body Central | 1,000 | 4 | ||||||
Bon-Ton Stores | 800 | 14 | ||||||
Boyd Gaming * | 5,045 | 58 | ||||||
Bravo Brio Restaurant Group * | 1,076 | 17 | ||||||
Bridgepoint Education * | 642 | 12 | ||||||
Bright Horizons Family Solutions * | 835 | 29 | ||||||
Brinker International | 5,582 | 263 | ||||||
Brown Shoe | 4,276 | 110 | ||||||
Brunswick | 7,683 | 351 | ||||||
Buckle (A) | 2,451 | 130 | ||||||
Buffalo Wild Wings | 1,627 | 244 | ||||||
Burger King Worldwide | 8,600 | 182 | ||||||
Cabela’s * | 3,939 | 241 | ||||||
Caesars Entertainment * | 2,683 | 55 | ||||||
Callaway Golf (A) | 7,506 | 61 | ||||||
Capella Education * | 1,138 | 75 | ||||||
Career Education * | 2,054 | 10 | ||||||
Carmike Cinemas * | 2,242 | 54 | ||||||
Carriage Services, Cl A | 906 | 17 | ||||||
Carrols Restaurant Group * | 3,300 | 22 | ||||||
Carter’s (A) | 5,070 | 358 | ||||||
Cato, Cl A | 2,496 | 85 | ||||||
Cavco Industries * | 331 | 22 | ||||||
CEC Entertainment | 1,635 | 78 |
Description | Shares | Market Value ($ Thousands) | ||||||
Central European Media | ||||||||
Enterprises, Cl A * | 7,006 | $ | 18 | |||||
Charter Communications, Cl A * | 5,465 | 738 | ||||||
Cheesecake Factory (A) | 4,523 | 221 | ||||||
Chico’s FAS | 13,651 | 255 | ||||||
Children’s Place Retail Stores * | 2,033 | 112 | ||||||
Choice Hotels International (A) | 2,477 | 116 | ||||||
Christopher & Banks | 3,400 | 21 | ||||||
Churchill Downs | 1,234 | 111 | ||||||
Chuy’s Holdings * | 1,135 | 40 | ||||||
Cinemark Holdings | 9,740 | 321 | ||||||
Citi Trends * | 597 | 10 | ||||||
Clear Channel Outdoor Holdings, Cl A | 2,296 | 20 | ||||||
Columbia Sportswear | 1,322 | 92 | ||||||
Conn’s * | 2,009 | 121 | ||||||
Cooper Tire & Rubber | 5,432 | 134 | ||||||
Core-Mark Holding | 1,209 | 89 | ||||||
Corinthian Colleges * (A) | 3,043 | 5 | ||||||
Costa * | 600 | 13 | ||||||
Cracker Barrel Old Country Store | 1,644 | 178 | ||||||
Crocs | 7,703 | 106 | ||||||
CSS Industries | 492 | 15 | ||||||
CST Brands | 5,200 | 171 | ||||||
Culp | 361 | 7 | ||||||
Cumulus Media, Cl A * | 6,939 | 48 | ||||||
Dana Holdings | 12,998 | 264 | ||||||
Deckers Outdoor * | 2,904 | 240 | ||||||
Del Frisco’s Restaurant Group * | 1,000 | 21 | ||||||
Denny’s * | 9,463 | 68 | ||||||
Destination Maternity | 756 | 23 | ||||||
Destination XL Group * | 4,342 | 31 | ||||||
DeVry | 5,381 | 191 | ||||||
Dex Media * (A) | 1,500 | 11 | ||||||
Diamond Resorts International * | 1,900 | 34 | ||||||
Dick’s Sporting Goods | 8,235 | 465 | ||||||
Digital Generation * | 2,348 | 28 | ||||||
Dillard’s, Cl A | 2,262 | 207 | ||||||
DineEquity | 1,472 | 124 | ||||||
DISH Network, Cl A | 17,819 | 965 | ||||||
Domino’s Pizza | 4,758 | 329 | ||||||
Dorman Products (A) | 2,240 | 112 | ||||||
DreamWorks Animation SKG, Cl A | 6,291 | 200 | ||||||
Drew Industries | 2,049 | 111 | ||||||
DSW, Cl A | 5,892 | 264 | ||||||
Dunkin’ Brands Group | 8,930 | 437 | ||||||
Education Management * | 1,700 | 20 | ||||||
Entercom Communications, Cl A * | 882 | 9 | ||||||
Entravision Communications, Cl A | 3,200 | 21 | ||||||
Ethan Allen Interiors (A) | 2,276 | 70 | ||||||
EveryWare Global * | 1,400 | 11 | ||||||
EW Scripps, Cl A * | 1,770 | 36 | ||||||
Express * | 7,262 | 179 | ||||||
Federal Mogul, Cl A * | 1,816 | 37 | ||||||
Fiesta Restaurant Group * (A) | 1,505 | 74 | ||||||
Fifth & Pacific * | 10,298 | 336 | ||||||
Finish Line, Cl A | 4,311 | 114 | ||||||
Five Below | 2,805 | 149 | ||||||
Foot Locker | 12,614 | 491 |
1 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Extended Market Index Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Francesca’s Holdings * (A) | 4,424 | $ | 87 | |||||
Fred’s, Cl A | 3,479 | 60 | ||||||
FTD * | 1,692 | 56 | ||||||
Fuel Systems Solutions * | 1,394 | 19 | ||||||
Genesco * | 2,069 | 155 | ||||||
Gentex | 12,095 | 361 | ||||||
Gentherm * | 3,148 | 76 | ||||||
G-III Apparel Group * | 1,503 | 91 | ||||||
Global Sources * | 768 | 6 | ||||||
GNC Holdings, Cl A (A) | 8,178 | 492 | ||||||
Gordmans Stores | 1,400 | 15 | ||||||
Grand Canyon Education * | 3,915 | 178 | ||||||
Gray Television * | 4,000 | 49 | ||||||
Group 1 Automotive | 1,835 | 126 | ||||||
Groupon, Cl A * (A) | 35,541 | 322 | ||||||
Guess? | 5,117 | 175 | ||||||
Hanesbrands | 8,238 | 577 | ||||||
Harte-Hanks | 2,346 | 19 | ||||||
Haverty Furniture | 2,163 | 62 | ||||||
Helen of Troy * | 2,748 | 134 | ||||||
hhgregg * | 1,100 | 16 | ||||||
Hibbett Sports * (A) | 2,212 | 143 | ||||||
Hillenbrand | 4,785 | 134 | ||||||
HomeAway * | 4,877 | 178 | ||||||
Hooker Furniture | 410 | 7 | ||||||
Hovnanian Enterprises, Cl A * (A) | 10,715 | 55 | ||||||
HSN | 2,911 | 167 | ||||||
Hyatt Hotels, Cl A * | 3,827 | 185 | ||||||
Iconix Brand Group * (A) | 4,851 | 193 | ||||||
International Speedway, Cl A | 2,798 | 96 | ||||||
Interval Leisure Group | 2,798 | 75 | ||||||
iRobot (A) | 2,502 | 83 | ||||||
Isle of Capri Casinos * | 879 | 7 | ||||||
ITT Educational Services * (A) | 2,156 | 84 | ||||||
J.C. Penney * | 19,595 | 200 | ||||||
Jack in the Box * | 3,821 | 181 | ||||||
JAKKS Pacific | 427 | 3 | ||||||
Jamba * | 1,407 | 17 | ||||||
Jarden * | 10,607 | 597 | ||||||
John Wiley & Sons, Cl A | 3,872 | 197 | ||||||
Johnson Outdoors, Cl A | 700 | 20 | ||||||
Jones Group | 7,070 | 99 | ||||||
JoS. A. Bank Clothiers * (A) | 2,496 | 142 | ||||||
Journal Communications, Cl A | 2,299 | 22 | ||||||
K12 * | 1,888 | 40 | ||||||
KB Home | 7,185 | 126 | ||||||
Kimball International, Cl B | 1,725 | 26 | ||||||
Kirkland’s * | 528 | 14 | ||||||
Krispy Kreme Doughnuts * | 5,671 | 144 | ||||||
Lamar Advertising, Cl A * | 6,797 | 339 | ||||||
Las Vegas Sands | 32,604 | 2,337 | ||||||
La-Z-Boy, Cl Z | 4,626 | 135 | ||||||
LeapFrog Enterprises, Cl A * (A) | 4,438 | 38 | ||||||
Lear | 6,671 | 553 | ||||||
Libbey | 1,085 | 25 | ||||||
Liberty Global, Cl A * | 32,981 | 2,830 | ||||||
Liberty Interactive, Cl A * | 45,016 | 1,264 | ||||||
Liberty Media * | 8,535 | 1,310 | ||||||
Liberty Ventures, Ser A * | 3,046 | 370 | ||||||
Life Time Fitness * (A) | 3,678 | 178 | ||||||
LifeLock * | 6,063 | 104 |
Description | Shares | Market Value ($ Thousands) | ||||||
Lifetime Brands | 300 | $ | 4 | |||||
Lincoln Educational Services | 922 | 5 | ||||||
Lions Gate Entertainment (A) | 7,209 | 228 | ||||||
Lithia Motors, Cl A | 1,889 | 125 | ||||||
Live Nation * | 11,903 | 219 | ||||||
LKQ * | 24,604 | 816 | ||||||
Loral Space & Communications | 900 | 71 | ||||||
Luby’s * | 770 | 7 | ||||||
Lumber Liquidators Holdings * | 2,326 | 234 | ||||||
M/I Homes * | 2,694 | 59 | ||||||
Mac-Gray | 484 | 10 | ||||||
Madison Square Garden, Cl A * | 5,240 | 295 | ||||||
Marcus | 2,761 | 40 | ||||||
MarineMax * | 2,096 | 33 | ||||||
Marriott Vacations Worldwide * | 2,574 | 134 | ||||||
Matthews International, Cl A (A) | 2,405 | 101 | ||||||
Mattress Firm Holding * | 1,611 | 60 | ||||||
McClatchy, Cl A * (A) | 2,354 | 7 | ||||||
MDC Holdings | 3,489 | 105 | ||||||
MDC Partners, Cl A | 3,576 | 81 | ||||||
Media General, Cl A * (A) | 1,900 | 34 | ||||||
Men’s Wearhouse | 4,568 | 234 | ||||||
Meredith | 3,044 | 162 | ||||||
Meritage Homes | 3,111 | 136 | ||||||
MGM Resorts International * | 30,774 | 591 | ||||||
Modine Manufacturing * | 4,374 | 58 | ||||||
Mohawk Industries * | 5,037 | 705 | ||||||
Monarch Casino & Resort * | 1,100 | 20 | ||||||
Monro Muffler (A) | 2,728 | 145 | ||||||
Morgans Hotel Group * | 2,200 | 18 | ||||||
Morningstar | 1,820 | 152 | ||||||
Movado Group | 1,620 | 74 | ||||||
Multimedia Games Holding * | 2,004 | 58 | ||||||
Murphy USA * | 4,100 | 186 | ||||||
Nathan’s Famous * | 400 | 21 | ||||||
National CineMedia | 5,607 | 105 | ||||||
Nautilus * | 2,800 | 21 | ||||||
New York * | 3,100 | 16 | ||||||
New York Times, Cl A | 11,082 | 155 | ||||||
Nexstar Broadcasting Group, Cl A | 2,522 | 125 | ||||||
Noodles, Cl A * (A) | 700 | 28 | ||||||
Norwegian Cruise Line Holdings * | 1,869 | 64 | ||||||
Nutrisystem | 2,359 | 46 | ||||||
NVR | 375 | 364 | ||||||
Office Depot | 42,147 | 229 | ||||||
Orbitz Worldwide * | 1,500 | 10 | ||||||
Orient-Express Hotels, Cl A * | 8,430 | 124 | ||||||
Outerwall * (A) | 2,443 | 167 | ||||||
Overstock.com * | 700 | 20 | ||||||
Oxford Industries | 1,254 | 94 | ||||||
Pacific Sunwear of California * | 5,000 | 15 | ||||||
Panera Bread, Cl A * | 2,420 | 428 | ||||||
Papa John’s International | 1,421 | 121 | ||||||
Penn National Gaming * | 5,754 | 83 | ||||||
Penske Auto Group | 3,588 | 159 | ||||||
Pep Boys-Manny Moe & Jack | 4,965 | 68 | ||||||
Perry Ellis International | 239 | 4 | ||||||
PetMed Express | 1,196 | 19 | ||||||
Pier 1 Imports | 8,089 | 180 | ||||||
Pinnacle Entertainment * | 5,060 | 127 | ||||||
Polaris Industries (A) | 5,307 | 708 |
2 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Extended Market Index Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Pool | 4,170 | $ | 234 | |||||
Quiksilver * (A) | 9,250 | 82 | ||||||
RadioShack * (A) | 5,390 | 16 | ||||||
ReachLocal * | 600 | 8 | ||||||
Red Robin Gourmet Burgers | 1,267 | 101 | ||||||
Regal Entertainment Group, Cl A (A) | 7,105 | 138 | ||||||
Regis | 4,427 | 71 | ||||||
Remy International | 1,300 | 30 | ||||||
Rent-A-Center, Cl A | 4,540 | 155 | ||||||
Rentrak * | 1,088 | 43 | ||||||
Restoration Hardware Holdings * | 1,511 | 114 | ||||||
RetailMeNot * | 1,000 | 29 | ||||||
RG Barry | 300 | 6 | ||||||
Royal Caribbean Cruises | 13,508 | 595 | ||||||
Ruby Tuesday (A) | 3,179 | 22 | ||||||
Ruth’s Hospitality Group | 1,872 | 27 | ||||||
Ryland Group (A) | 3,916 | 155 | ||||||
Saga Communications, Cl A | 93 | 5 | ||||||
Sally Beauty Holdings | 14,291 | 402 | ||||||
Scholastic | 1,867 | 57 | ||||||
Scientific Games, Cl A * | 4,362 | 78 | ||||||
Sears Holdings * (A) | 3,626 | 230 | ||||||
Sears Hometown and Outlet Stores * | 449 | 14 | ||||||
SeaWorld Entertainment | 3,100 | 92 | ||||||
Select Comfort * | 4,809 | 102 | ||||||
Service International | 18,089 | 327 | ||||||
Shoe Carnival | 776 | 22 | ||||||
Shutterfly * | 3,225 | 152 | ||||||
Signet Jewelers | 6,955 | 534 | ||||||
Sinclair Broadcast Group, Cl A | 5,811 | 191 | ||||||
Sirius XM Holdings (A) | 263,079 | 992 | ||||||
Six Flags Entertainment 1 | 5,558 | 207 | ||||||
Skechers U.S.A., Cl A * | 3,382 | 114 | ||||||
Smith & Wesson Holding * (A) | 5,883 | 70 | ||||||
Sonic * | 5,033 | 100 | ||||||
Sonic Automotive, Cl A | 2,664 | 63 | ||||||
Sotheby’s | 5,861 | 300 | ||||||
Spartan Motors | 1,248 | 9 | ||||||
Speedway Motorsports | 235 | 5 | ||||||
Stage Stores | 2,154 | 45 | ||||||
Standard Motor Products | 1,866 | 65 | ||||||
Standard Pacific | 13,069 | 107 | ||||||
Starz - Liberty Capital * | 10,239 | 290 | ||||||
Stein Mart | 1,891 | 28 | ||||||
Steiner Leisure * | 1,077 | 64 | ||||||
Steven Madden * | 5,101 | 199 | ||||||
Stewart Enterprises, Cl A | 5,160 | 68 | ||||||
Stoneridge * | 3,730 | 48 | ||||||
Strayer Education | 517 | 19 | ||||||
Sturm Ruger (A) | 1,742 | 134 | ||||||
Superior Industries International | 1,623 | 32 | ||||||
Taylor Morrison Home, Cl A * | 2,100 | 46 | ||||||
Tempur-Pedic International | 5,323 | 272 | ||||||
Tenneco * | 5,063 | 291 | ||||||
Tesla Motors * (A) | 6,879 | 876 | ||||||
Texas Roadhouse, Cl A | 5,366 | 150 | ||||||
Thomson Reuters | 31,785 | 1,188 | ||||||
Thor Industries | 3,690 | 200 | ||||||
Tile Shop Holdings * (A) | 1,300 | 22 |
Description | Shares | Market Value ($ Thousands) | ||||||
Tilly’s, Cl A * | 843 | $ | 10 | |||||
Toll Brothers * | 14,139 | 482 | ||||||
Tower International * | 900 | 19 | ||||||
Town Sports International Holdings | 2,161 | 30 | ||||||
Tractor Supply | 11,520 | 843 | ||||||
TRI Pointe Homes * | 473 | 9 | ||||||
TRW Automotive Holdings | 8,893 | 690 | ||||||
Tuesday Morning * | 3,986 | 55 | ||||||
Tumi Holdings * | 4,298 | 103 | ||||||
Tupperware Brands | 4,424 | 404 | ||||||
Ulta Salon Cosmetics & Fragrance * | 5,273 | 669 | ||||||
Under Armour, Cl A * (A) | 6,908 | 557 | ||||||
Unifi * | 780 | 22 | ||||||
Universal Electronics * | 1,687 | 64 | ||||||
Universal Technical Institute | 3,013 | 44 | ||||||
Vail Resorts | 3,012 | 228 | ||||||
Valassis Communications (A) | 3,409 | 100 | ||||||
ValueVision Media, Cl A * | 4,000 | 23 | ||||||
Vera Bradley * | 2,470 | 62 | ||||||
Visteon * | 4,265 | 335 | ||||||
Vitacost.com * | 844 | 5 | ||||||
Vitamin Shoppe * | 2,684 | 146 | ||||||
VOXX International, Cl A * | 664 | 12 | ||||||
Weight Watchers International (A) | 2,374 | 77 | ||||||
Wendy’s | 23,951 | 206 | ||||||
West Marine * | 537 | 7 | ||||||
Wet Seal, Cl A * | 4,951 | 16 | ||||||
Weyco Group | 263 | 8 | ||||||
William Lyon Homes, Cl A * | 1,100 | 24 | ||||||
Williams-Sonoma | 8,137 | 481 | ||||||
Winmark | 95 | 8 | ||||||
Winnebago Industries * | 2,635 | 82 | ||||||
Wolverine World Wide (A) | 8,396 | 276 | ||||||
World Wrestling Entertainment, Cl A | 2,334 | 36 | ||||||
Zagg * | 515 | 2 | ||||||
Zale * | 2,800 | 41 | ||||||
Zumiez * | 2,303 | 64 | ||||||
|
| |||||||
55,765 | ||||||||
|
| |||||||
Consumer Staples — 3.3% | ||||||||
Alico | 143 | 6 | ||||||
Alliance One International * | 4,660 | 14 | ||||||
Andersons | 1,633 | 139 | ||||||
Annie’s * (A) | 1,000 | 46 | ||||||
Arden Group, Cl A | 200 | 26 | ||||||
B&G Foods, Cl A | 4,511 | 156 | ||||||
Boston Beer, Cl A | 683 | 167 | ||||||
Boulder Brands * | 4,178 | 64 | ||||||
Bunge | 12,543 | 1,005 | ||||||
Calavo Growers | 626 | 19 | ||||||
Cal-Maine Foods | 1,164 | 64 | ||||||
Casey’s General Stores | 3,359 | 250 | ||||||
Central Garden and Pet, Cl A * | 2,029 | 16 | ||||||
Chefs’ Warehouse * | 1,321 | 34 | ||||||
Chiquita Brands International * | 2,782 | 29 | ||||||
Church & Dwight | 11,399 | 744 | ||||||
Coca-Cola Bottling | 289 | 20 | ||||||
Coty, Cl A | 5,100 | 84 | ||||||
Craft Brew Alliance * | 1,600 | 28 |
3 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Extended Market Index Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Cubist Pharmaceuticals * | 2,960 | $ | 5 | |||||
Darling International * | 9,957 | 206 | ||||||
Dean Foods * | 7,950 | 143 | ||||||
Diamond Foods * (A) | 2,519 | 62 | ||||||
Elizabeth Arden * | 2,251 | 89 | ||||||
Energizer Holdings | 5,145 | 568 | ||||||
Fairway Group Holdings, Cl A * | 1,200 | 23 | ||||||
Female Health | 1,300 | 12 | ||||||
Flowers Foods | 14,408 | 313 | ||||||
Fresh Del Monte Produce | 3,381 | 95 | ||||||
Fresh Market * | 3,488 | 142 | ||||||
Green Mountain Coffee Roasters (A) | 12,279 | 827 | ||||||
Hain Celestial Group | 3,330 | 275 | ||||||
Harbinger Group * | 2,478 | 30 | ||||||
Harris Teeter Supermarkets | 4,199 | 207 | ||||||
Herbalife (A) | 7,072 | 493 | ||||||
Hillshire Brands | 10,504 | 351 | ||||||
Ingles Markets, Cl A | 745 | 20 | ||||||
Ingredion | 6,465 | 447 | ||||||
Inter Parfums | 1,806 | 66 | ||||||
Inventure Foods * | 900 | 12 | ||||||
J&J Snack Foods | 1,264 | 109 | ||||||
John B. Sanfilippo & Son | 319 | 8 | ||||||
Lancaster Colony | 1,629 | 141 | ||||||
Lifevantage * (A) | 10,200 | 20 | ||||||
Limoneira | 1,295 | 34 | ||||||
Medifast | 664 | 18 | ||||||
National Beverage | 452 | 10 | ||||||
Natural Grocers by Vitamin Cottage * | 1,085 | 40 | ||||||
Nature’s Sunshine Products | 437 | 8 | ||||||
Nu Skin Enterprises, Cl A | 4,805 | 614 | ||||||
Nutraceutical International | 362 | 9 | ||||||
Oil-Dri Corp of America | 210 | 8 | ||||||
Omega Protein * | 766 | 10 | ||||||
Orchids Paper Products | 800 | 26 | ||||||
Pantry * | 1,249 | 18 | ||||||
Pilgrim’s Pride * | 4,107 | 67 | ||||||
Pinnacle Foods | 3,400 | 94 | ||||||
Post Holdings * | 2,869 | 145 | ||||||
Prestige Brands Holdings * | 4,379 | 154 | ||||||
PriceSmart | 1,623 | 203 | ||||||
Revlon, Cl A * | 1,120 | 30 | ||||||
Rite Aid * (A) | 62,227 | 368 | ||||||
Roundy’s | 1,300 | 11 | ||||||
Sanderson Farms | 2,041 | 139 | ||||||
Seaboard | 27 | 76 | ||||||
Seneca Foods, Cl A * | 462 | 14 | ||||||
Snyders-Lance | 4,186 | 121 | ||||||
Spartan Stores | 3,736 | 87 | ||||||
Spectrum Brands Holdings | 1,839 | 130 | ||||||
Sprouts Farmers Market * | 1,800 | 68 | ||||||
Star Scientific * (A) | 14,418 | 19 | ||||||
SUPERVALU * | 17,416 | 112 | ||||||
Susser Holdings | 1,706 | 109 | ||||||
Tootsie Roll Industries (A) | 1,455 | 47 | ||||||
TreeHouse Foods * | 3,209 | 225 | ||||||
United Natural Foods * (A) | 4,298 | 296 | ||||||
Universal (A) | 2,045 | 107 | ||||||
USANA Health Sciences * | 316 | 23 | ||||||
Vector Group (A) | 5,585 | 92 | ||||||
Village Super Market, Cl A | 462 | 18 |
Description | Shares | Market Value ($ Thousands) | ||||||
WD-40 | 1,086 | $ | 82 | |||||
Weis Markets | 804 | 41 | ||||||
WhiteWave Foods, Cl A * | 11,652 | 248 | ||||||
|
| |||||||
11,496 | ||||||||
|
| |||||||
Energy — 5.8% | ||||||||
Abraxas Petroleum * | 3,194 | 12 | ||||||
Adams Resources & Energy | 300 | 17 | ||||||
Alon USA Energy | 1,896 | 26 | ||||||
Alpha Natural Resources * (A) | 19,223 | 128 | ||||||
Apco Oil and Gas International * | 1,300 | 20 | ||||||
Approach Resources * | 2,298 | 49 | ||||||
Arch Coal (A) | 19,116 | 78 | ||||||
Athlon Energy * | 1,700 | 55 | ||||||
Atwood Oceanics * | 4,940 | 260 | ||||||
Basic Energy Services * | 1,573 | 22 | ||||||
Berry Petroleum, Cl A | 4,475 | 225 | ||||||
Bill Barrett * | 4,664 | 125 | ||||||
Bolt Technology | 300 | 6 | ||||||
Bonanza Creek Energy | 2,588 | 119 | ||||||
BPZ Resources * | 10,721 | 23 | ||||||
Bristow Group | 3,003 | 241 | ||||||
C&J Energy Services * | 3,095 | 73 | ||||||
Cal Dive International (A) | 1,930 | 4 | ||||||
Callon Petroleum * | 785 | 5 | ||||||
CARBO Ceramics | 1,650 | 203 | ||||||
Carrizo Oil & Gas * | 3,509 | 142 | ||||||
Cheniere Energy * | 19,865 | 786 | ||||||
Cimarex Energy | 7,161 | 677 | ||||||
Clayton Williams Energy * | 516 | 37 | ||||||
Clean Energy Fuels * (A) | 4,788 | 60 | ||||||
Cloud Peak Energy * | 5,489 | 91 | ||||||
Cobalt International Energy * | 22,915 | 509 | ||||||
Comstock Resources | 3,673 | 62 | ||||||
Concho Resources * | 8,942 | 929 | ||||||
Contango Oil & Gas | 1,535 | 72 | ||||||
Continental Resources (A) | 3,598 | 387 | ||||||
Crosstex Energy | 4,339 | 141 | ||||||
CVR Energy | 997 | 39 | ||||||
Dawson Geophysical * | 552 | 18 | ||||||
Delek US Holdings | 3,709 | 112 | ||||||
Diamondback Energy | 1,775 | 88 | ||||||
Dresser-Rand Group * | 6,455 | 364 | ||||||
Dril-Quip * | 3,487 | 379 | ||||||
Emerald Oil * | 3,400 | 25 | ||||||
Endeavour International * | 4,800 | 23 | ||||||
Energen | 5,989 | 432 | ||||||
Energy XXI Bermuda | 6,681 | 181 | ||||||
EPL Oil & Gas * | 2,001 | 57 | ||||||
Equal Energy | 4,500 | 23 | ||||||
Era Group * | 2,093 | 68 | ||||||
Evolution Petroleum | 627 | 8 | ||||||
EXCO Resources (A) | 8,531 | 45 | ||||||
Exterran Holdings | 4,983 | 162 | ||||||
Forest Oil * | 9,032 | 40 | ||||||
Forum Energy Technologies * (A) | 3,505 | 95 | ||||||
Frank’s International | 3,100 | 74 | ||||||
Frontline * (A) | 7,400 | 22 | ||||||
FX Energy * | 1,063 | 4 | ||||||
GasLog | 1,250 | 20 | ||||||
Gastar Exploration * | 3,800 | 22 | ||||||
Geospace Technologies | 1,098 | 96 |
4 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Extended Market Index Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Golar LNG | 3,802 | $ | 138 | |||||
Goodrich Petroleum | 2,093 | 40 | ||||||
Green Plains Renewable Energy | 1,390 | 24 | ||||||
Gulf Island Fabrication | 772 | 20 | ||||||
GulfMark Offshore, Cl A | 2,280 | 113 | ||||||
Gulfport Energy * | 6,481 | 379 | ||||||
Halcon Resources * (A) | 20,606 | 83 | ||||||
Helix Energy Solutions Group * | 9,469 | 210 | ||||||
Hercules Offshore | 14,026 | 90 | ||||||
HollyFrontier | 16,754 | 804 | ||||||
Hornbeck Offshore Services * | 3,012 | 153 | ||||||
ION Geophysical | 9,369 | 36 | ||||||
Key Energy Services | 14,559 | 114 | ||||||
KiOR, Cl A * (A) | 1,093 | 3 | ||||||
Knightsbridge Tankers | 943 | 7 | ||||||
Kodiak Oil & Gas * | 23,411 | 266 | ||||||
Kosmos Energy * | 8,975 | 93 | ||||||
Laredo Petroleum Holdings * | 3,689 | 100 | ||||||
Magnum Hunter Resources * | 12,393 | 90 | ||||||
Matador Resources * | 5,200 | 113 | ||||||
Matrix Service * | 2,981 | 66 | ||||||
McDermott International * | 20,270 | 165 | ||||||
Midstates Petroleum * | 891 | 5 | ||||||
Miller Energy Resources * | 1,800 | 15 | ||||||
Mitcham Industries * | 256 | 4 | ||||||
Natural Gas Services Group * | 944 | 28 | ||||||
Newpark Resources * | 6,020 | 73 | ||||||
Nordic American Tankers (A) | 4,577 | 37 | ||||||
Northern Oil And Gas * | 4,639 | 74 | ||||||
Nuverra Environmental Solutions * (A) | 6,589 | 11 | ||||||
Oasis Petroleum | 7,797 | 360 | ||||||
Oceaneering International | 8,946 | 691 | ||||||
Oil States International * | 4,599 | 471 | ||||||
Panhandle Oil and Gas, Cl A | 141 | 5 | ||||||
Parker Drilling * | 11,051 | 88 | ||||||
Patterson-UTI Energy | 12,522 | 292 | ||||||
PBF Energy, Cl A (A) | 2,277 | 66 | ||||||
PDC Energy * | 2,993 | 176 | ||||||
Penn Virginia * | 4,686 | 50 | ||||||
PetroQuest Energy * | 4,723 | 19 | ||||||
PHI * | 1,443 | 61 | ||||||
Pioneer Energy Services * | 5,236 | 38 | ||||||
Quicksilver Resources * (A) | 6,330 | 19 | ||||||
Renewable Energy Group * | 1,800 | 20 | ||||||
Rentech | 10,865 | 20 | ||||||
Resolute Energy * | 4,894 | 44 | ||||||
REX American Resources * | 600 | 20 | ||||||
Rex Energy * | 3,190 | 61 | ||||||
RigNet * | 641 | 27 | ||||||
Rosetta Resources * | 5,385 | 272 | ||||||
RPC (A) | 6,099 | 108 | ||||||
Sanchez Energy * | 3,430 | 88 | ||||||
SandRidge Energy * (A) | 43,793 | 245 | ||||||
Scorpio Tankers | 15,843 | 182 | ||||||
SEACOR Holdings | 1,674 | 156 | ||||||
Seadrill | 29,600 | 1,264 | ||||||
SemGroup, Cl A | 3,544 | 218 | ||||||
Ship Finance International | 3,876 | 66 | ||||||
SM Energy | 5,513 | 486 | ||||||
Solazyme * (A) | 3,730 | 33 | ||||||
Stone Energy * | 4,284 | 142 |
Description | Shares | Market Value ($ Thousands) | ||||||
Superior Energy Services * | 13,460 | $ | 343 | |||||
Swift Energy * (A) | 4,583 | 61 | ||||||
Synergy Resources * | 4,962 | 47 | ||||||
Targa Resources | 2,759 | 224 | ||||||
Teekay | 3,254 | 144 | ||||||
Teekay Tankers, Cl A | 2,423 | 7 | ||||||
Tesco * | 3,469 | 62 | ||||||
TETRA Technologies * | 5,505 | 68 | ||||||
TGC Industries | 636 | 5 | ||||||
Tidewater | 4,146 | 237 | ||||||
Triangle Petroleum * | 6,337 | 67 | ||||||
Ultra Petroleum * (A) | 13,492 | 276 | ||||||
Unit * | 3,795 | 183 | ||||||
Uranium Energy * | 1,698 | 3 | ||||||
Ur-Energy * | 17,700 | 21 | ||||||
Vaalco Energy * | 2,970 | 18 | ||||||
Vantage Drilling * | 10,246 | 19 | ||||||
W&T Offshore (A) | 3,238 | 56 | ||||||
Warren Resources * | 1,449 | 5 | ||||||
Western Refining (A) | 4,699 | 184 | ||||||
Westmoreland Coal * | 400 | 6 | ||||||
Whiting Petroleum * | 9,758 | 589 | ||||||
Willbros Group * | 2,254 | 20 | ||||||
World Fuel Services | 6,441 | 247 | ||||||
|
| |||||||
20,015 | ||||||||
|
| |||||||
Financials — 21.6% | ||||||||
1st Source | 780 | 25 | ||||||
1st United Bancorp | 1,092 | 9 | ||||||
Acadia Realty Trust ‡ | 4,839 | 126 | ||||||
Affiliated Managers Group * | 4,511 | 903 | ||||||
Agree Realty ‡ | 647 | 19 | ||||||
Alexander & Baldwin | 3,677 | 139 | ||||||
Alexander’s ‡ (A) | 188 | 61 | ||||||
Alexandria Real Estate Equities ‡ | 5,961 | 377 | ||||||
Alleghany * | 1,367 | 539 | ||||||
Allied World Assurance Holdings | 3,004 | 338 | ||||||
Altisource Residential, Cl B ‡ | 4,000 | 111 | ||||||
Ambac Financial Group * | 4,400 | 104 | ||||||
American Assets Trust ‡ | 2,291 | 71 | ||||||
American Campus Communities ‡ | 8,962 | 291 | ||||||
American Capital * | 25,611 | 392 | ||||||
American Capital Agency ‡ | 32,721 | 667 | ||||||
American Capital Mortgage Investment ‡ | 5,165 | 98 | ||||||
American Equity Investment Life Holding (A) | 5,578 | 132 | ||||||
American Financial Group | 6,553 | 378 | ||||||
American Homes 4 Rent, Cl A ‡ | 4,600 | 75 | ||||||
American National Bankshares | 306 | 8 | ||||||
American National Insurance | 631 | 73 | ||||||
American Realty Capital Properties ‡ (A) | 13,200 | 173 | ||||||
American Residential Properties ‡ * | 1,300 | 23 | ||||||
Ameris Bancorp | 1,252 | 26 | ||||||
AMERISAFE | 1,733 | 76 | ||||||
Ames National | 310 | 7 | ||||||
AmREIT | 1,400 | 24 | ||||||
Amtrust Financial Services (A) | 2,759 | 115 |
5 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Extended Market Index Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Annaly Capital Management ‡ | 77,814 | $ | 791 | |||||
Anworth Mortgage Asset ‡ | 9,668 | 43 | ||||||
Apollo Commercial Real Estate Finance ‡ | 2,837 | 47 | ||||||
Apollo Investment | 19,553 | 176 | ||||||
Apollo Residential Mortgage ‡ | 2,087 | 32 | ||||||
Arch Capital Group * | 11,036 | 649 | ||||||
Ares Capital | 22,571 | 415 | ||||||
Ares Commercial Real Estate ‡ | 2,000 | 26 | ||||||
Argo Group International Holdings | 2,395 | 113 | ||||||
Arlington Asset Investment, Cl A | 712 | 19 | ||||||
Armada Hoffler Properties ‡ | 1,800 | 18 | ||||||
ARMOUR Residential ‡ | 32,296 | 126 | ||||||
Arrow Financial (A) | 1,022 | 29 | ||||||
Arthur J Gallagher | 10,591 | 493 | ||||||
Artisan Partners Asset Management, Cl A | 900 | 56 | ||||||
Ashford Hospitality Prime ‡ * | 894 | 18 | ||||||
Ashford Hospitality Trust ‡ | 4,471 | 37 | ||||||
Aspen Insurance Holdings | 5,595 | 226 | ||||||
Associated Banc | 14,186 | 245 | ||||||
Associated Estates Realty ‡ | 3,989 | 63 | ||||||
Assured Guaranty | 14,387 | 338 | ||||||
Astoria Financial | 7,765 | 109 | ||||||
AV Homes * | 407 | 8 | ||||||
Aviv ‡ | 1,000 | 26 | ||||||
Axis Capital Holdings | 9,968 | 490 | ||||||
Baldwin & Lyons, Cl B | 181 | 5 | ||||||
Banc of California | 1,600 | 21 | ||||||
Bancfirst | 325 | 18 | ||||||
Banco Latinoamericano de Comercio Exterior, Cl E | 2,212 | 60 | ||||||
Bancorp | 3,104 | 57 | ||||||
Bancorpsouth (A) | 8,082 | 193 | ||||||
Bank Mutual | 3,899 | 27 | ||||||
Bank of Hawaii | 3,524 | 208 | ||||||
Bank of Kentucky Financial | 233 | 8 | ||||||
Bank of Marin Bancorp | 107 | 5 | ||||||
Bank of the Ozarks (A) | 2,685 | 151 | ||||||
BankFinancial | 797 | 8 | ||||||
BankUnited | 5,496 | 177 | ||||||
Banner | 1,351 | 59 | ||||||
Bar Harbor Bankshares | 100 | 4 | ||||||
BBCN Bancorp | 6,995 | 117 | ||||||
Beneficial Mutual Bancorp * | 1,826 | 19 | ||||||
Berkshire Hills Bancorp | 2,350 | 64 | ||||||
BGC Partners, Cl A | 8,436 | 50 | ||||||
BioMed Realty Trust ‡ | 15,929 | 296 | ||||||
BlackRock Kelso Capital | 6,959 | 69 | ||||||
BNC Bancorp | 1,800 | 27 | ||||||
BofI Holding * | 1,109 | 91 | ||||||
BOK Financial | 2,293 | 145 | ||||||
Boston Private Financial Holdings | 5,515 | 66 | ||||||
Brandywine Realty Trust ‡ | 13,339 | 177 | ||||||
BRE Properties ‡ | 6,590 | 338 | ||||||
Bridge Bancorp | 312 | 8 | ||||||
Bridge Capital Holdings * | 1,300 | 25 | ||||||
Brookline Bancorp | 6,574 | 60 | ||||||
Brown & Brown | 10,076 | 319 |
Description | Shares | Market Value ($ Thousands) | ||||||
Bryn Mawr Bank | 622 | $ | 19 | |||||
C&F Financial | 300 | 16 | ||||||
Calamos Asset Management, Cl A | 382 | 4 | ||||||
Camden National | 539 | 23 | ||||||
Camden Property Trust ‡ | 7,138 | 413 | ||||||
Campus Crest Communities ‡ | 4,972 | 49 | ||||||
Capital Bank Financial, Cl A * | 1,860 | 43 | ||||||
Capital City Bank Group | 800 | 10 | ||||||
Capital Southwest | 1,624 | 56 | ||||||
CapitalSource | 16,593 | 233 | ||||||
Capitol Federal Financial | 12,787 | 154 | ||||||
Capstead Mortgage ‡ | 8,418 | 101 | ||||||
Cardinal Financial | 2,941 | 52 | ||||||
Cash America International | 2,479 | 93 | ||||||
Cathay General Bancorp | 6,715 | 186 | ||||||
CBL & Associates Properties ‡ | 14,382 | 260 | ||||||
CBOE Holdings | 7,338 | 384 | ||||||
Cedar Realty Trust ‡ | 3,538 | 21 | ||||||
Center Bancorp | 483 | 8 | ||||||
Centerstate Banks | 2,485 | 26 | ||||||
Central Pacific Financial | 1,110 | 22 | ||||||
Chambers Street Properties ‡ (A) | 20,100 | 166 | ||||||
Charter Financial | 2,200 | 23 | ||||||
Chatham Lodging Trust ‡ | 2,935 | 60 | ||||||
Chemical Financial | 2,699 | 86 | ||||||
Chesapeake Lodging Trust ‡ | 4,267 | 102 | ||||||
Chimera Investment ‡ | 90,626 | 267 | ||||||
CIT Group | 16,537 | 835 | ||||||
Citizens, Cl A * | 2,233 | 20 | ||||||
Citizens & Northern | 240 | 5 | ||||||
City Holding | 1,485 | 73 | ||||||
City National | 4,040 | 308 | ||||||
CNA Financial | 2,575 | 107 | ||||||
CNB Financial | 2,048 | 41 | ||||||
CNO Financial Group | 19,025 | 322 | ||||||
CoBiz Financial | 1,971 | 23 | ||||||
Cohen & Steers (A) | 1,736 | 70 | ||||||
Colony Financial ‡ | 5,600 | 113 | ||||||
Columbia Banking System (A) | 4,509 | 125 | ||||||
Commerce Bancshares | 6,979 | 315 | ||||||
CommonWealth ‡ | 9,944 | 237 | ||||||
Community Bank System (A) | 3,502 | 136 | ||||||
Community Trust Bancorp | 1,358 | 62 | ||||||
Consolidated-Tomoka Land | 174 | 6 | ||||||
CoreSite Realty ‡ | 1,373 | 44 | ||||||
Corporate Office Properties Trust ‡ | 7,330 | 163 | ||||||
Corrections Corp of America ‡ | 9,702 | 324 | ||||||
Cousins Properties ‡ | 14,446 | 155 | ||||||
Cowen Group, Cl A * | 7,221 | 29 | ||||||
Crawford, Cl B | 3,520 | 36 | ||||||
Credit Acceptance | 632 | 81 | ||||||
CU Bancorp * | 1,200 | 21 | ||||||
CubeSmart ‡ | 11,322 | 184 | ||||||
Cullen/Frost Bankers | 4,505 | 324 | ||||||
Customers Bancorp * | 1,700 | 30 | ||||||
CVB Financial | 8,079 | 130 | ||||||
CyrusOne ‡ | 929 | 19 | ||||||
CYS Investments ‡ | 15,162 | 121 | ||||||
DCT Industrial Trust ‡ | 24,686 | 184 | ||||||
DDR ‡ | 24,814 | 397 |
6 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Extended Market Index Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
DFC Global * | 1,991 | $ | 20 | |||||
Diamond Hill Investment Group | 254 | 32 | ||||||
DiamondRock Hospitality ‡ | 16,607 | 190 | ||||||
Digital Realty Trust ‡ (A) | 10,674 | 504 | ||||||
Dime Community Bancshares | 3,683 | 62 | ||||||
Doral Financial * | 900 | 17 | ||||||
Douglas Emmett ‡ | 12,185 | 280 | ||||||
Duke Realty ‡ | 26,895 | 408 | ||||||
DuPont Fabros Technology ‡ (A) | 5,421 | 127 | ||||||
Dynex Capital ‡ | 6,593 | 55 | ||||||
Eagle Bancorp * | 1,506 | 49 | ||||||
East West Bancorp | 11,486 | 394 | ||||||
Eastern Insurance Holdings | 900 | 22 | ||||||
EastGroup Properties ‡ | 2,585 | 157 | ||||||
Eaton Vance | 10,025 | 419 | ||||||
Education Realty Trust ‡ | 10,173 | 89 | ||||||
eHealth * | 1,874 | 85 | ||||||
EMC Insurance Group | 700 | 22 | ||||||
Employers Holdings | 2,074 | 68 | ||||||
Encore Capital Group * | 2,175 | 104 | ||||||
Endurance Specialty Holdings | 3,683 | 210 | ||||||
Enstar Group * | 951 | 132 | ||||||
Enterprise Bancorp | 1,100 | 23 | ||||||
Enterprise Financial Services | 1,249 | 24 | ||||||
EPR Properties ‡ | 4,651 | 234 | ||||||
Equity Lifestyle Properties ‡ | 7,332 | 260 | ||||||
Equity One ‡ (A) | 5,285 | 118 | ||||||
Erie Indemnity, Cl A | 2,087 | 152 | ||||||
ESB Financial | 517 | 7 | ||||||
Essex Property Trust ‡ | 3,227 | 490 | ||||||
EverBank Financial | 7,024 | 120 | ||||||
Evercore Partners, Cl A | 2,776 | 152 | ||||||
Everest Re Group | 4,244 | 666 | ||||||
Excel Trust ‡ | 4,518 | 53 | ||||||
Extra Space Storage ‡ | 9,318 | 391 | ||||||
Ezcorp, Cl A * | 3,357 | 39 | ||||||
Farmers Capital Bank * | 800 | 18 | ||||||
FBL Financial Group, Cl A | 582 | 27 | ||||||
FBR * | 169 | 5 | ||||||
Federal Agricultural Mortgage, Cl C | 488 | 17 | ||||||
Federal Realty Investment Trust ‡ | 5,386 | 558 | ||||||
Federated Investors, Cl B (A) | 7,870 | 215 | ||||||
FelCor Lodging Trust ‡ * | 9,463 | 69 | ||||||
Fidelity National Financial, Cl A | 18,953 | 551 | ||||||
Fidelity Southern | 1,507 | 27 | ||||||
Fidus Investment | 1,883 | 41 | ||||||
Fifth Street Finance | 12,056 | 115 | ||||||
Financial Engines | 4,064 | 275 | ||||||
Financial Institutions | 767 | 20 | ||||||
First American Financial | 9,072 | 240 | ||||||
First Bancorp | 2,097 | 36 | ||||||
First BanCorp | 3,516 | 22 | ||||||
First Busey | 4,011 | 24 | ||||||
First Cash Financial Services * | 2,458 | 156 | ||||||
First Citizens BancShares, Cl A | 591 | 133 | ||||||
First Commonwealth Financial | 9,001 | 84 | ||||||
First Community Bancshares | 942 | 16 | ||||||
First Connecticut Bancorp | 1,048 | 18 | ||||||
First Defiance Financial | 592 | 16 | ||||||
First Financial | 612 | 22 |
Description | Shares | Market Value ($ Thousands) | ||||||
First Financial Bancorp | 3,949 | $ | 65 | |||||
First Financial Bankshares | 2,728 | 181 | ||||||
First Financial Holdings | 2,086 | 137 | ||||||
First Financial Northwest | 1,491 | 16 | ||||||
First Horizon National (A) | 20,300 | 228 | ||||||
First Industrial Realty Trust ‡ | 9,253 | 162 | ||||||
First Interstate Bancsystem, Cl A | 912 | 26 | ||||||
First Merchants | 3,733 | 79 | ||||||
First Midwest Bancorp | 6,642 | 122 | ||||||
First Niagara Financial Group | 29,947 | 334 | ||||||
First of Long Island | 753 | 32 | ||||||
First Potomac Realty Trust ‡ | 3,622 | 43 | ||||||
First Republic Bank | 9,743 | 498 | ||||||
First Security Group * | 8,700 | 18 | ||||||
Firsthand Technology Value Fund * | 600 | 13 | ||||||
FirstMerit | 14,097 | 324 | ||||||
Flagstar Bancorp * | 1,800 | 33 | ||||||
Flushing Financial | 2,270 | 49 | ||||||
FNB (Pennsylvania) | 12,408 | 158 | ||||||
Forest City Enterprises, Cl A * | 13,645 | 266 | ||||||
Forestar Group * | 2,632 | 51 | ||||||
Fox Chase Bancorp | 253 | 4 | ||||||
Franklin Financial * | 262 | 5 | ||||||
Franklin Street Properties ‡ | 7,896 | 102 | ||||||
Fulton Financial | 16,512 | 216 | ||||||
FXCM, Cl A | 2,550 | 42 | ||||||
GAMCO Investors, Cl A | 322 | 27 | ||||||
Gaming and Leisure Properties ‡ * | 5,754 | 265 | ||||||
General Growth Properties ‡ | 50,675 | 1,052 | ||||||
Geo Group ‡ | 5,590 | 183 | ||||||
German American Bancorp | 744 | 22 | ||||||
Getty Realty ‡ | 1,272 | 23 | ||||||
GFI Group | 3,849 | 15 | ||||||
Glacier Bancorp | 6,180 | 185 | ||||||
Gladstone Capital | 424 | 4 | ||||||
Gladstone Commercial ‡ | 1,119 | 20 | ||||||
Gladstone Investment | 525 | 4 | ||||||
Glimcher Realty Trust ‡ | 12,511 | 121 | ||||||
Global Indemnity, Cl A * | 202 | 5 | ||||||
Golub Capital BDC (A) | 2,424 | 46 | ||||||
Government Properties Income Trust ‡ | 4,766 | 118 | ||||||
Gramercy Property Trust ‡ * | 8,095 | 44 | ||||||
Great Southern Bancorp | 599 | 18 | ||||||
Green Dot, Cl A * | 2,355 | 57 | ||||||
Greenhill | 2,471 | 135 | ||||||
Greenlight Capital Re, Cl A * | 2,109 | 72 | ||||||
GSV Capital * | 749 | 8 | ||||||
Guaranty Bancorp | 605 | 9 | ||||||
Hancock Holding | 7,114 | 250 | ||||||
Hanmi Financial, Cl A | 2,178 | 45 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital | 900 | 11 | ||||||
Hanover Insurance Group | 3,717 | 224 | ||||||
Hatteras Financial ‡ | 8,483 | 142 | ||||||
HCC Insurance Holdings | 8,421 | 387 | ||||||
HCI Group | 915 | 46 | ||||||
Healthcare Realty Trust ‡ | 8,155 | 180 |
7 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Extended Market Index Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Healthcare Trust of America, | ||||||||
Cl A ‡ | 9,800 | $ | 99 | |||||
Heartland Financial USA | 875 | 26 | ||||||
Hercules Technology Growth Capital (A) | 6,157 | 105 | ||||||
Heritage Commerce | 1,100 | 9 | ||||||
Heritage Financial | 307 | 5 | ||||||
Heritage Oaks Bancorp | 1,400 | 11 | ||||||
Hersha Hospitality Trust, Cl A ‡ | 17,878 | 102 | ||||||
HFF, Cl A | 2,495 | 64 | ||||||
Highwoods Properties ‡ | 7,868 | 283 | ||||||
Hilltop Holdings * | 5,429 | 129 | ||||||
Home BancShares | 3,896 | 141 | ||||||
Home Federal Bancorp | 546 | 8 | ||||||
Home Loan Servicing Solutions | 6,147 | 143 | ||||||
Home Properties ‡ | 5,035 | 265 | ||||||
HomeStreet | 1,172 | 25 | ||||||
HomeTrust Bancshares * | 1,102 | 18 | ||||||
Horace Mann Educators | 3,814 | 117 | ||||||
Horizon Bancorp | 900 | 21 | ||||||
Hospitality Properties Trust ‡ | 11,841 | 322 | ||||||
Howard Hughes * | 3,217 | 367 | ||||||
Hudson Pacific Properties ‡ | 4,470 | 93 | ||||||
Hudson Valley Holding | 1,305 | 27 | ||||||
Iberiabank | 2,584 | 162 | ||||||
ICG Group * | 3,888 | 67 | ||||||
Independent Bank | 1,602 | 61 | ||||||
Independent Bank Group | 500 | 24 | ||||||
Infinity Property & Casualty | 914 | 65 | ||||||
ING US | 6,400 | 224 | ||||||
Inland Real Estate ‡ | 8,682 | 94 | ||||||
Interactive Brokers Group, Cl A | 4,527 | 110 | ||||||
International Bancshares | 4,750 | 124 | ||||||
International FCStone * | 1,368 | 28 | ||||||
Intervest Bancshares, Cl A * | 1,000 | 7 | ||||||
Invesco Mortgage Capital ‡ | 11,471 | 173 | ||||||
Investment Technology Group * | 3,917 | 77 | ||||||
Investors Bancorp | 4,397 | 106 | ||||||
Investors Real Estate Trust ‡ | 7,831 | 69 | ||||||
iStar Financial ‡ * | 8,318 | 107 | ||||||
Janus Capital Group (A) | 13,012 | 142 | ||||||
JAVELIN Mortgage Investment ‡ | 500 | 6 | ||||||
Jones Lang LaSalle | 3,759 | 367 | ||||||
Kansas City Life Insurance | 165 | 8 | ||||||
KCAP Financial (A) | 1,483 | 12 | ||||||
KCG Holdings, Cl A * | 7,407 | 89 | ||||||
Kearny Financial * | 607 | 6 | ||||||
Kemper | 4,136 | 155 | ||||||
Kennedy-Wilson Holdings | 5,029 | 104 | ||||||
Kilroy Realty ‡ | 6,843 | 345 | ||||||
Kite Realty Group Trust ‡ | 6,621 | 43 | ||||||
Ladenburg Thalmann Financial Services * | 6,700 | 20 | ||||||
Lakeland Bancorp | 1,670 | 21 | ||||||
Lakeland Financial | 1,705 | 65 | ||||||
LaSalle Hotel Properties ‡ | 8,942 | 280 | ||||||
Lazard, Cl A | 10,731 | 448 | ||||||
Lexington Realty Trust ‡ | 14,390 | 148 | ||||||
Liberty Property Trust ‡ | 10,875 | 352 | ||||||
LPL Financial Holdings | 4,762 | 204 | ||||||
LTC Properties ‡ | 3,017 | 116 | ||||||
Mack-Cali Realty ‡ | 7,467 | 152 |
Description | Shares | Market Value ($ Thousands) | ||||||
Maiden Holdings | 4,723 | $ | 60 | |||||
Main Street Capital | 3,427 | 113 | ||||||
MainSource Financial Group | 1,090 | 20 | ||||||
Manning & Napier, Cl A | 272 | 5 | ||||||
Markel | 1,213 | 676 | ||||||
MarketAxess Holdings | 3,152 | 222 | ||||||
Marlin Business Services | 322 | 8 | ||||||
MB Financial | 4,781 | 156 | ||||||
MBIA * | 12,282 | 158 | ||||||
MCG Capital | 4,383 | 21 | ||||||
Meadowbrook Insurance Group | 2,953 | 22 | ||||||
Medallion Financial | 952 | 17 | ||||||
Medical Properties Trust ‡ | 13,762 | 182 | ||||||
Medley Capital | 3,814 | 55 | ||||||
Mercantile Bank | 357 | 8 | ||||||
Merchants Bancshares | 207 | 7 | ||||||
Mercury General | 2,378 | 114 | ||||||
Meridian Interstate Bancorp * | 338 | 7 | ||||||
Meta Financial Group | 700 | 27 | ||||||
Metro Bancorp | 1,177 | 26 | ||||||
MetroCorp Bancshares | 605 | 9 | ||||||
MFA Mortgage Investments ‡ | 30,397 | 222 | ||||||
MGIC Investment | 27,418 | 222 | ||||||
Mid-America Apartment Communities ‡ | 6,253 | 377 | ||||||
MidSouth Bancorp | 400 | 7 | ||||||
MidWestOne Financial Group | 269 | 8 | ||||||
Monmouth Real Estate Investment, Cl A ‡ | 2,046 | 20 | ||||||
Montpelier Re Holdings | 3,889 | 113 | ||||||
Mortgage Investment Trust ‡ | 2,788 | 44 | ||||||
MSCI, Cl A * | 10,169 | 451 | ||||||
MVC Capital | 1,258 | 18 | ||||||
National Bank Holdings, Cl A | 4,600 | 97 | ||||||
National Bankshares | 1,036 | 39 | ||||||
National Health Investors ‡ | 2,164 | 127 | ||||||
National Interstate | 124 | 4 | ||||||
National Penn Bancshares | 10,289 | 116 | ||||||
National Retail Properties ‡ (A) | 10,043 | 319 | ||||||
National Western Life Insurance, Cl A | 141 | 30 | ||||||
Nationstar Mortgage Holdings * (A) | 1,846 | 73 | ||||||
Navigators Group * | 983 | 66 | ||||||
NBT Bancorp | 4,308 | 112 | ||||||
Nelnet, Cl A | 1,631 | 73 | ||||||
New Mountain Finance | 3,000 | 45 | ||||||
New Residential Investment ‡ | 21,700 | 131 | ||||||
New York Community Bancorp (A) | 36,539 | 604 | ||||||
New York Mortgage Trust ‡ | 2,938 | 21 | ||||||
NewBridge Bancorp * | 2,600 | 19 | ||||||
NewStar Financial * | 1,393 | 24 | ||||||
NGP Capital Resources | 922 | 7 | ||||||
Nicholas Financial | 700 | 11 | ||||||
Northfield Bancorp | 3,905 | 51 | ||||||
Northrim BanCorp | 269 | 7 | ||||||
NorthStar Realty Finance ‡ | 20,316 | 201 | ||||||
Northwest Bancshares | 8,199 | 122 | ||||||
OceanFirst Financial | 288 | 5 | ||||||
Ocwen Financial * | 8,661 | 491 | ||||||
OFG Bancorp | 4,225 | 73 | ||||||
Old National Bancorp | 8,761 | 136 |
8 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Extended Market Index Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Old Republic International | 21,844 | $ | 376 | |||||
Omega Healthcare Investors ‡ | 10,377 | 339 | ||||||
OmniAmerican Bancorp * | 615 | 14 | ||||||
One Liberty Properties ‡ | 624 | 13 | ||||||
OneBeacon Insurance Group, Cl A | 1,235 | 20 | ||||||
Oppenheimer Holdings, Cl A | 364 | 8 | ||||||
Oritani Financial | 4,124 | 67 | ||||||
Pacific Continental | 365 | 5 | ||||||
Pacific Premier Bancorp * | 1,600 | 23 | ||||||
PacWest Bancorp (A) | 3,289 | 135 | ||||||
Park National (A) | 805 | 68 | ||||||
Park Sterling | 3,770 | 27 | ||||||
Parkway Properties ‡ | 2,905 | 53 | ||||||
PartnerRe | 4,534 | 467 | ||||||
Peapack Gladstone Financial | 200 | 4 | ||||||
Pebblebrook Hotel Trust ‡ | 5,303 | 161 | ||||||
PennantPark Floating Rate Capital | 1,631 | 23 | ||||||
PennantPark Investment | 6,163 | 75 | ||||||
Penns Woods Bancorp | 152 | 8 | ||||||
Pennsylvania ‡ | 5,899 | 106 | ||||||
PennyMac Financial Services, Cl A * | 1,100 | 20 | ||||||
PennyMac Mortgage Investment Trust ‡ | 6,063 | 137 | ||||||
Peoples Bancorp | 210 | 5 | ||||||
PHH * | 4,932 | 119 | ||||||
Phoenix * | 241 | 14 | ||||||
PICO Holdings * | 2,621 | 64 | ||||||
Piedmont Office Realty Trust, Cl A ‡ | 14,866 | 244 | ||||||
Pinnacle Financial Partners | 2,425 | 79 | ||||||
Piper Jaffray * | 1,077 | 41 | ||||||
Platinum Underwriters Holdings | 2,548 | 162 | ||||||
Popular | 8,656 | 247 | ||||||
Portfolio Recovery Associates | 4,458 | 260 | ||||||
Post Properties ‡ | 4,611 | 198 | ||||||
Potlatch ‡ | 3,520 | 140 | ||||||
Preferred Bank * | 237 | 5 | ||||||
Primerica | 4,829 | 208 | ||||||
PrivateBancorp, Cl A | 5,619 | 156 | ||||||
ProAssurance | 5,425 | 261 | ||||||
Prospect Capital | 21,992 | 251 | ||||||
Prosperity Bancshares (A) | 5,069 | 325 | ||||||
Protective Life | 6,702 | 322 | ||||||
Provident Financial Holdings | 374 | 6 | ||||||
Provident Financial Services | 5,779 | 113 | ||||||
PS Business Parks ‡ | 1,628 | 127 | ||||||
Radian Group (A) | 14,648 | 209 | ||||||
RAIT Financial Trust ‡ | 6,821 | 56 | ||||||
Ramco-Gershenson Properties ‡ | 4,137 | 66 | ||||||
Raymond James Financial | 10,181 | 491 | ||||||
Rayonier ‡ | 10,553 | 465 | ||||||
Realogy Holdings * | 10,102 | 479 | ||||||
Realty Income ‡ | 16,236 | 619 | ||||||
Redwood Trust ‡ (A) | 7,105 | 132 | ||||||
Regency Centers ‡ | 7,667 | 359 | ||||||
Regional Management * | 700 | 24 | ||||||
Reinsurance Group of America, Cl A | 6,116 | 459 | ||||||
RenaissanceRe Holdings | 3,743 | 354 |
Description | Shares | Market Value ($ Thousands) | ||||||
Renasant | 2,060 | $ | 63 | |||||
Republic Bancorp, Cl A | 198 | 5 | ||||||
Resource Capital ‡ | 13,505 | 81 | ||||||
Retail Opportunity Investments ‡ (A) | 6,459 | 94 | ||||||
Retail Properties of America, Cl A ‡ | 11,503 | 153 | ||||||
Rexford Industrial Realty ‡ * | 2,000 | 28 | ||||||
RLI | 1,791 | 181 | ||||||
RLJ Lodging Trust ‡ | 10,337 | 250 | ||||||
Rockville Financial | 1,638 | 24 | ||||||
Roma Financial * | 200 | 4 | ||||||
Rouse Properties ‡ (A) | 2,617 | 64 | ||||||
Ryman Hospitality Properties ‡ (A) | 3,860 | 162 | ||||||
S&T Bancorp | 2,732 | 72 | ||||||
Sabra Health Care ‡ | 3,662 | 98 | ||||||
Safeguard Scientifics * | 1,096 | 20 | ||||||
Safety Insurance Group | 831 | 47 | ||||||
Sandy Spring Bancorp | 1,647 | 48 | ||||||
Saul Centers ‡ | 444 | 22 | ||||||
Seacoast Banking Corp of Florida * | 2,990 | 7 | ||||||
SEI (C) | 12,119 | 407 | ||||||
Select Income ‡ | 1,621 | 44 | ||||||
Selective Insurance Group | 4,784 | 135 | ||||||
Senior Housing Properties Trust ‡ | 15,807 | 358 | ||||||
Sierra Bancorp | 478 | 8 | ||||||
Signature Bank NY | 3,970 | 422 | ||||||
Silver Bay Realty Trust ‡ | 1,546 | 25 | ||||||
Simmons First National, Cl A | 1,218 | 43 | ||||||
SL Green Realty ‡ | 7,540 | 682 | ||||||
Solar Capital | 4,522 | 105 | ||||||
Solar Senior Capital | 236 | 4 | ||||||
Southside Bancshares | 1,078 | 31 | ||||||
Southwest Bancorp * | 1,679 | 29 | ||||||
Sovran Self Storage ‡ | 2,893 | 193 | ||||||
Spirit Realty Capital ‡ | 31,366 | 311 | ||||||
St. Joe * | 5,820 | 103 | ||||||
STAG Industrial ‡ | 2,756 | 60 | ||||||
StanCorp Financial Group | 3,710 | 238 | ||||||
Starwood Property Trust ‡ | 16,380 | 457 | ||||||
State Auto Financial | 1,090 | 25 | ||||||
State Bank Financial | 3,584 | 63 | ||||||
StellarOne | 1,336 | 34 | ||||||
Stellus Capital Investment | 1,300 | 20 | ||||||
Sterling Bancorp | 8,129 | 107 | ||||||
Sterling Financial | 3,290 | 107 | ||||||
Stewart Information Services | 1,941 | 62 | ||||||
Stifel Financial * (A) | 5,382 | 241 | ||||||
Strategic Hotels & Resorts ‡ * | 15,688 | 140 | ||||||
Suffolk Bancorp * | 600 | 12 | ||||||
Summit Hotel Properties ‡ | 8,529 | 77 | ||||||
Sun Bancorp * | 1,661 | 6 | ||||||
Sun Communities ‡ | 3,121 | 127 | ||||||
Sunstone Hotel Investors ‡ | 13,880 | 181 | ||||||
Susquehanna Bancshares | 15,823 | 199 | ||||||
SVB Financial Group | 3,782 | 383 | ||||||
SWS Group * | 1,049 | 7 | ||||||
SY Bancorp | 1,635 | 55 | ||||||
Symetra Financial | 7,083 | 136 | ||||||
Synovus Financial | 84,346 | 294 |
9 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Extended Market Index Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Tanger Factory Outlet Centers ‡ | 8,149 | $ | 269 | |||||
Taubman Centers ‡ | 5,387 | 352 | ||||||
Taylor Capital Group * | 1,315 | 33 | ||||||
TCF Financial (A) | 13,839 | 217 | ||||||
TCP Capital | 2,000 | 35 | ||||||
TD Ameritrade Holding | 19,373 | 558 | ||||||
Tejon Ranch * | 1,647 | 59 | ||||||
Terreno Realty ‡ | 1,163 | 21 | ||||||
Territorial Bancorp | 773 | 18 | ||||||
Texas Capital Bancshares * | 3,523 | 198 | ||||||
TFS Financial * | 5,443 | 64 | ||||||
Third Point Reinsurance * | 2,600 | 43 | ||||||
THL Credit | 1,997 | 34 | ||||||
Thomas Properties Group | 1,219 | 8 | ||||||
TICC Capital | 5,964 | 64 | ||||||
Tompkins Financial | 1,005 | 50 | ||||||
Tower Group International | 3,516 | 15 | ||||||
TowneBank (A) | 1,394 | 21 | ||||||
Tree.com | 800 | 24 | ||||||
Triangle Capital | 2,060 | 61 | ||||||
Trico Bancshares | 909 | 25 | ||||||
Trustco Bank | 8,926 | 68 | ||||||
Trustmark | 5,739 | 161 | ||||||
Two Harbors Investment ‡ | 31,440 | 291 | ||||||
UDR ‡ | 20,879 | 486 | ||||||
UMB Financial | 3,045 | 195 | ||||||
UMH Properties ‡ | 900 | 9 | ||||||
Umpqua Holdings | 9,593 | 177 | ||||||
Union First Market Bankshares | 1,681 | 43 | ||||||
United Bankshares (A) | 4,376 | 142 | ||||||
United Community Banks * | 4,074 | 75 | ||||||
United Community Financial * | 4,200 | 16 | ||||||
United Financial Bancorp | 1,102 | 22 | ||||||
United Fire Group | 1,971 | 59 | ||||||
Universal Health Realty Income Trust ‡ | 1,116 | 47 | ||||||
Universal Insurance Holdings | 2,900 | 36 | ||||||
Univest Corp of Pennsylvania | 923 | 19 | ||||||
Urstadt Biddle Properties, Cl A ‡ | 2,956 | 56 | ||||||
Validus Holdings | 8,826 | 353 | ||||||
Valley National Bancorp (A) | 16,972 | 172 | ||||||
ViewPoint Financial Group | 4,010 | 102 | ||||||
Virginia Commerce Bancorp * | 1,405 | 25 | ||||||
Virtus Investment Partners * | 608 | 126 | ||||||
Waddell & Reed Financial, Cl A | 7,202 | 459 | ||||||
Walker & Dunlop * | 1,423 | 23 | ||||||
Walter Investment Management * | 3,236 | 123 | ||||||
Washington ‡ | 5,713 | 136 | ||||||
Washington Banking | 2,207 | 40 | ||||||
Washington Federal | 8,836 | 207 | ||||||
Washington Trust Bancorp | 1,170 | 43 | ||||||
Webster Financial | 7,651 | 226 | ||||||
Weingarten Realty Investors ‡ (A) | 10,368 | 296 | ||||||
WesBanco | 2,365 | 74 | ||||||
West Bancorporation | 585 | 9 | ||||||
Westamerica Bancorporation | 2,355 | 130 | ||||||
Western Alliance Bancorp * | 6,403 | 149 | ||||||
Western Asset Mortgage Capital ‡ | 3,049 | 49 |
Description | Shares | Market Value ($ Thousands) | ||||||
Westfield Financial | 872 | $ | 6 | |||||
Westwood Holdings Group | 328 | 19 | ||||||
White Mountains Insurance Group | 555 | 335 | ||||||
Whitestone, Cl B ‡ | 1,577 | 21 | ||||||
Wilshire Bancorp | 6,863 | 73 | ||||||
Winthrop Realty Trust ‡ | 1,749 | 20 | ||||||
Wintrust Financial (A) | 3,249 | 147 | ||||||
WisdomTree Investments * | 8,875 | 136 | ||||||
World Acceptance * (A) | 976 | 90 | ||||||
WP Carey ‡ | 4,900 | 308 | ||||||
WR Berkley | 9,124 | 400 | ||||||
WSFS Financial | 443 | 34 | ||||||
Yadkin Financial * | 1,500 | 27 | ||||||
|
| |||||||
74,916 | ||||||||
|
| |||||||
Health Care — 10.7% | ||||||||
Abaxis | 1,993 | 72 | ||||||
ABIOMED * | 3,812 | 109 | ||||||
Acadia Healthcare * (A) | 3,087 | 143 | ||||||
ACADIA Pharmaceuticals * (A) | 6,000 | 140 | ||||||
Accretive Health * | 5,633 | 48 | ||||||
Accuray * (A) | 8,163 | 65 | ||||||
AcelRx Pharmaceuticals * | 2,300 | 22 | ||||||
Achillion Pharmaceuticals * | 6,298 | 22 | ||||||
Acorda Therapeutics * | 3,542 | 123 | ||||||
Aegerion Pharmaceuticals | 2,406 | 171 | ||||||
Affymetrix * | 5,960 | 51 | ||||||
Air Methods (A) | 3,377 | 189 | ||||||
Akorn * (A) | 5,527 | 142 | ||||||
Albany Molecular Research * | 2,000 | 24 | ||||||
Alere * | 6,821 | 223 | ||||||
Align Technology * | 6,213 | 339 | ||||||
Alkermes * | 10,653 | 430 | ||||||
Alliance HealthCare Services * | 800 | 23 | ||||||
Allscripts Healthcare Solutions * | 14,953 | 223 | ||||||
Almost Family | 309 | 9 | ||||||
Alnylam Pharmaceuticals * | 4,989 | 305 | ||||||
AMAG Pharmaceuticals * | 1,603 | 39 | ||||||
Amedisys * (A) | 1,671 | 27 | ||||||
AMN Healthcare Services * | 4,309 | 60 | ||||||
Ampio Pharmaceuticals * | 1,600 | 13 | ||||||
Amsurg, Cl A | 2,766 | 134 | ||||||
Anacor Pharmaceuticals * | 2,800 | 39 | ||||||
Analogic | 1,120 | 108 | ||||||
AngioDynamics * | 2,070 | 32 | ||||||
Anika Therapeutics * | 1,470 | 50 | ||||||
Antares Pharma * (A) | 5,608 | 22 | ||||||
Arena Pharmaceuticals * (A) | 19,053 | 124 | ||||||
Ariad Pharmaceuticals * (A) | 13,724 | 67 | ||||||
Arqule | 2,366 | 6 | ||||||
Array BioPharma * | 10,760 | 62 | ||||||
ArthroCare | 2,795 | 105 | ||||||
athenahealth * (A) | 3,092 | 406 | ||||||
AtriCure * | 720 | 11 | ||||||
Atrion | 130 | 37 | ||||||
Auxilium Pharmaceuticals * | 3,370 | 69 | ||||||
AVANIR Pharmaceuticals, Cl A * | 14,547 | 65 | ||||||
AVEO Pharmaceuticals * | 2,378 | 5 | ||||||
BioDelivery Sciences International * | 1,800 | 9 | ||||||
BioMarin Pharmaceutical * | 11,446 | 806 |
10 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Extended Market Index Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Bio-Rad Laboratories, Cl A * | 1,853 | $ | 227 | |||||
Bio-Reference Labs * (A) | 2,247 | 66 | ||||||
BioScrip * | 3,711 | 25 | ||||||
Biotime * (A) | 5,100 | 20 | ||||||
Brookdale Senior Living, Cl A * | 8,346 | 243 | ||||||
Bruker * | 9,232 | 179 | ||||||
Cadence Pharmaceuticals * | 7,058 | 64 | ||||||
Cambrex * | 1,760 | 34 | ||||||
Cantel Medical | 3,177 | 119 | ||||||
Capital Senior Living * | 2,712 | 61 | ||||||
Cardiovascular Systems * | 2,225 | 74 | ||||||
Catamaran * | 16,907 | 771 | ||||||
Cell Therapeutics * | 17,100 | 33 | ||||||
Celldex Therapeutics (A) | 6,756 | 188 | ||||||
Cempra * | 2,400 | 31 | ||||||
Centene * | 4,759 | 284 | ||||||
Cepheid * (A) | 5,669 | 257 | ||||||
Cerus * | 5,297 | 35 | ||||||
Charles River Laboratories International * | 4,106 | 214 | ||||||
Chelsea Therapeutics International * | 7,000 | 27 | ||||||
Chemed (A) | 1,645 | 128 | ||||||
ChemoCentryx * (A) | 2,000 | 10 | ||||||
Chimerix * | 900 | 14 | ||||||
Chindex International * | 800 | 14 | ||||||
Clovis Oncology * | 1,166 | 70 | ||||||
Community Health Systems | 8,095 | 334 | ||||||
Computer Programs & Systems | 1,002 | 62 | ||||||
CONMED | 2,708 | 110 | ||||||
Cooper | 4,034 | 531 | ||||||
Coronado Biosciences * | 730 | 1 | ||||||
Corvel * | 634 | 29 | ||||||
Covance * | 4,718 | 398 | ||||||
Cross Country Healthcare * | 1,079 | 8 | ||||||
CryoLife | 1,045 | 12 | ||||||
Cubist Pharmaceuticals * | 5,565 | 381 | ||||||
Curis * | 4,264 | 14 | ||||||
Cutera * | 2,000 | 19 | ||||||
Cyberonics * | 2,446 | 168 | ||||||
Cynosure, Cl A * | 939 | 24 | ||||||
Cytokinetics * | 2,100 | 14 | ||||||
Cytori Therapeutics * | 2,432 | 7 | ||||||
Dendreon * (A) | 18,966 | 56 | ||||||
Depomed * | 3,055 | 27 | ||||||
Derma Sciences * | 483 | 6 | ||||||
DexCom * | 6,024 | 199 | ||||||
Dyax * | 9,982 | 85 | ||||||
Dynavax Technologies | 9,390 | 17 | ||||||
Emergent Biosolutions * | 3,084 | 69 | ||||||
Emeritus | 4,151 | 93 | ||||||
Endo Health Solutions * | 9,411 | 632 | ||||||
Endocyte * (A) | 2,270 | 26 | ||||||
Endologix | 6,095 | 109 | ||||||
Ensign Group | 1,418 | 64 | ||||||
Envision Healthcare Holdings * | 4,200 | 124 | ||||||
Enzon Pharmaceuticals | 1,506 | 2 | ||||||
Epizyme * | 600 | 13 | ||||||
Exact Sciences | 4,854 | 60 | ||||||
Exactech * | 339 | 8 | ||||||
ExamWorks Group * | 2,745 | 81 | ||||||
Exelixis * (A) | 12,700 | 74 |
Description | Shares | Market Value ($ Thousands) | ||||||
Five Star Quality Care * | 827 | $ | 4 | |||||
Fluidigm * | 1,953 | 62 | ||||||
Furiex Pharmaceuticals * | 542 | 24 | ||||||
Galena Biopharma * (A) | 8,900 | 36 | ||||||
GenMark Diagnostics * | 2,500 | 30 | ||||||
Genomic Health * | 1,797 | 63 | ||||||
Gentiva Health Services | 1,679 | 21 | ||||||
Geron | 12,370 | 66 | ||||||
Globus Medical, Cl A * | 5,400 | 104 | ||||||
Greatbatch * | 2,430 | 99 | ||||||
GTx * (A) | 2,700 | 5 | ||||||
Haemonetics * | 4,347 | 184 | ||||||
Halozyme Therapeutics (A) | 7,958 | 117 | ||||||
Hanger * | 3,009 | 117 | ||||||
Harvard Apparatus Regenerative Technology * | 259 | 1 | ||||||
Harvard Bioscience * | 1,037 | 5 | ||||||
HCA Holdings | 22,780 | 1,057 | ||||||
Health Management Associates, Cl A * | 22,772 | 298 | ||||||
Health Net | 6,670 | 204 | ||||||
HealthSouth | 7,741 | 277 | ||||||
HealthStream * | 1,864 | 63 | ||||||
Healthways * | 3,221 | 45 | ||||||
HeartWare International * | 1,479 | 143 | ||||||
Henry Schein * | 7,443 | 849 | ||||||
Hill-Rom Holdings | 5,101 | 211 | ||||||
Hi-Tech Pharmacal | 601 | 26 | ||||||
HMS Holdings * (A) | 7,531 | 173 | ||||||
Hologic * | 22,455 | 503 | ||||||
Horizon Pharma * | 7,500 | 54 | ||||||
Hyperion Therapeutics * (A) | 900 | 23 | ||||||
ICU Medical * | 1,127 | 74 | ||||||
Idenix Pharmaceuticals * (A) | 5,394 | 29 | ||||||
Idexx Laboratories * (A) | 4,501 | 469 | ||||||
Illumina * | 10,579 | 1,037 | ||||||
ImmunoGen * (A) | 7,352 | 107 | ||||||
Immunomedics * (A) | 7,257 | 31 | ||||||
Impax Laboratories * | 5,988 | 144 | ||||||
Incyte (A) | 8,671 | 404 | ||||||
Infinity Pharmaceuticals | 3,094 | 45 | ||||||
Insmed * | 2,300 | 37 | ||||||
Insulet * | 4,521 | 167 | ||||||
Insys Therapeutics * | 600 | 26 | ||||||
Integra LifeSciences Holdings * | 1,452 | 67 | ||||||
Intercept Pharmaceuticals * | 676 | 35 | ||||||
InterMune | 7,172 | 99 | ||||||
Intrexon * | 1,300 | 30 | ||||||
Invacare | 3,389 | 76 | ||||||
IPC The Hospitalist | 1,500 | 94 | ||||||
Ironwood Pharmaceuticals, Cl A * (A) | 8,254 | 94 | ||||||
Isis Pharmaceuticals * (A) | 9,594 | 372 | ||||||
Jazz Pharmaceuticals * | 4,334 | 507 | ||||||
Keryx Biopharmaceuticals * (A) | 6,194 | 86 | ||||||
Kindred Healthcare | 3,865 | 65 | ||||||
KYTHERA Biopharmaceuticals * | 900 | 35 | ||||||
Landauer | 1,073 | 57 | ||||||
Lannett * | 2,100 | 62 | ||||||
Lexicon Pharmaceuticals * | 21,740 | 52 | ||||||
LHC Group * | 784 | 19 | ||||||
LifePoint Hospitals * | 3,996 | 205 |
11 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Extended Market Index Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Ligand Pharmaceuticals, Cl B * | 1,328 | $ | 74 | |||||
Luminex * | 3,455 | 68 | ||||||
Magellan Health Services * | 2,340 | 143 | ||||||
MAKO Surgical * | 3,728 | 112 | ||||||
Mallinckrodt * | 5,200 | 270 | ||||||
MannKind * (A) | 9,543 | 48 | ||||||
Masimo * | 4,293 | 123 | ||||||
MedAssets * | 5,239 | 113 | ||||||
Medicines * | 5,357 | 196 | ||||||
Medidata Solutions * | 2,347 | 279 | ||||||
Medivation * | 6,304 | 397 | ||||||
MEDNAX | 4,178 | 463 | ||||||
Merge Healthcare * (A) | 2,399 | 6 | ||||||
Meridian Bioscience | 2,841 | 70 | ||||||
Merit Medical Systems * | 4,375 | 72 | ||||||
Merrimack Pharmaceuticals * (A) | 6,300 | 25 | ||||||
Mettler Toledo International (A) | 2,482 | 612 | ||||||
MiMedx Group * | 5,900 | 37 | ||||||
Molina Healthcare * | 1,936 | 65 | ||||||
Momenta Pharmaceuticals * | 4,354 | 77 | ||||||
MWI Veterinary Supply * | 1,092 | 199 | ||||||
Myriad Genetics * (A) | 6,826 | 203 | ||||||
National Healthcare | 994 | 55 | ||||||
National Research, Cl A * | 312 | 6 | ||||||
Natus Medical * | 2,558 | 59 | ||||||
Navidea Biopharmaceuticals * (A) | 7,605 | 12 | ||||||
Nektar Therapeutics * | 10,095 | 127 | ||||||
Neogen | 3,180 | 162 | ||||||
Neurocrine Biosciences * | 4,600 | 45 | ||||||
NewLink Genetics * (A) | 1,316 | 30 | ||||||
Novavax * | 20,153 | 75 | ||||||
NPS Pharmaceuticals * | 8,964 | 237 | ||||||
NuVasive * | 3,878 | 129 | ||||||
NxStage Medical * | 3,847 | 39 | ||||||
Omeros * (A) | 1,500 | 12 | ||||||
Omnicare | 8,796 | 504 | ||||||
Omnicell | 2,512 | 61 | ||||||
OncoGenex Pharmaceutical | 535 | 5 | ||||||
Opko Health * (A) | 16,229 | 171 | ||||||
OraSure Technologies * | 5,539 | 34 | ||||||
Orexigen Therapeutics * (A) | 7,061 | 48 | ||||||
Orthofix International * | 2,440 | 53 | ||||||
Osiris Therapeutics * | 1,000 | 18 | ||||||
OvaScience * | 1,400 | 13 | ||||||
Owens & Minor (A) | 5,339 | 204 | ||||||
Pacific Biosciences of California * | 2,600 | 11 | ||||||
Pacira Pharmaceuticals * | 2,445 | 135 | ||||||
PAREXEL International * | 4,746 | 196 | ||||||
PDL BioPharma (A) | 12,300 | 120 | ||||||
Peregrine Pharmaceuticals * (A) | 15,000 | 21 | ||||||
Pharmacyclics * | 4,893 | 609 | ||||||
PharMerica | 2,050 | 46 | ||||||
PhotoMedex * | 265 | 3 | ||||||
Portola Pharmaceuticals * | 900 | 23 | ||||||
Pozen * | 1,028 | 8 | ||||||
Progenics Pharmaceuticals * | 5,196 | 27 | ||||||
Prothena * | 1,300 | 37 | ||||||
Providence Service * | 958 | 26 | ||||||
Puma Biotechnology * | 1,900 | 95 | ||||||
QIAGEN * | 19,548 | 455 |
Description | Shares | Market Value ($ Thousands) | ||||||
Quality Systems | 2,815 | $ | 66 | |||||
Questcor Pharmaceuticals (A) | 4,631 | 269 | ||||||
Quidel * (A) | 2,612 | 66 | ||||||
Quintiles Transnational Holdings * | 2,400 | 104 | ||||||
Raptor Pharmaceutical * | 4,407 | 61 | ||||||
Repligen * | 1,722 | 23 | ||||||
Repros Therapeutics * | 1,842 | 32 | ||||||
ResMed (A) | 11,799 | 576 | ||||||
Rigel Pharmaceuticals * | 3,959 | 11 | ||||||
Rockwell Medical * (A) | 4,300 | 63 | ||||||
RTI Biologics * | 1,118 | 3 | ||||||
Sagent Pharmaceuticals * | 1,375 | 31 | ||||||
Salix Pharmaceuticals * | 5,157 | 437 | ||||||
Sangamo Biosciences * | 5,670 | 69 | ||||||
Santarus * | 4,889 | 157 | ||||||
Sarepta Therapeutics * (A) | 2,900 | 54 | ||||||
Sciclone Pharmaceuticals * | 3,201 | 16 | ||||||
Seattle Genetics * | 8,600 | 353 | ||||||
Select Medical Holdings | 5,465 | 47 | ||||||
Sequenom * (A) | 5,717 | 15 | ||||||
Siga Pharmacuticals, Inc. * | 5,400 | 19 | ||||||
Sirona Dental Systems * | 4,722 | 325 | ||||||
Solta Medical * | 2,684 | 5 | ||||||
Spectranetics * | 4,124 | 96 | ||||||
Spectrum Pharmaceuticals | 7,079 | 68 | ||||||
Staar Surgical * | 2,378 | 30 | ||||||
Stemline Therapeutics * | 900 | 19 | ||||||
STERIS | 4,598 | 212 | ||||||
Sunesis Pharmaceuticals * | 1,135 | 6 | ||||||
SurModics * | 644 | 16 | ||||||
Symmetry Medical * | 4,888 | 48 | ||||||
Synageva BioPharma (A) | 1,606 | 97 | ||||||
Synergy Pharmaceuticals * | 10,515 | 48 | ||||||
Synta Pharmaceuticals * (A) | 2,254 | 11 | ||||||
Targacept * | 3,700 | 21 | ||||||
Team Health Holdings * | 5,908 | 276 | ||||||
TearLab * (A) | 2,200 | 21 | ||||||
Techne | 3,225 | 276 | ||||||
Teleflex | 3,402 | 334 | ||||||
TESARO * | 1,000 | 39 | ||||||
TherapeuticsMD * | 7,200 | 35 | ||||||
Theravance * | 7,009 | 265 | ||||||
Thoratec * | 4,827 | 190 | ||||||
Threshold Pharmaceuticals * | 895 | 4 | ||||||
Tornier * | 2,108 | 38 | ||||||
Triple-S Management, Cl B * | 1,166 | 24 | ||||||
Unilife * (A) | 6,571 | 29 | ||||||
United Therapeutics * | 3,964 | 366 | ||||||
Universal American | 2,216 | 17 | ||||||
Universal Health Services, Cl B | 7,547 | 622 | ||||||
US Physical Therapy | 626 | 21 | ||||||
Utah Medical Products | 200 | 11 | ||||||
Vanda Pharmaceuticals * | 2,600 | 31 | ||||||
Vascular Solutions * | 918 | 19 | ||||||
VCA Antech * | 7,483 | 224 | ||||||
Verastem * | 1,500 | 16 | ||||||
Vical * | 4,189 | 5 | ||||||
ViroPharma * | 5,516 | 273 | ||||||
Vivus * (A) | 8,977 | 90 | ||||||
Vocera Communications * | 1,742 | 31 | ||||||
Volcano * (A) | 4,749 | 108 | ||||||
WellCare Health Plans * | 3,866 | 287 |
12 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Extended Market Index Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
West Pharmaceutical Services | 6,030 | $ | 301 | |||||
Wright Medical Group * | 2,859 | 85 | ||||||
XenoPort * | 2,416 | 13 | ||||||
XOMA * | 4,530 | 22 | ||||||
Zeltiq Aesthetics * | 2,500 | 44 | ||||||
ZIOPHARM Oncology * (A) | 8,673 | 36 | ||||||
Zogenix * | 10,400 | 34 | ||||||
|
| |||||||
36,827 | ||||||||
|
| |||||||
Industrials — 13.9% | ||||||||
AAON | 1,867 | 57 | ||||||
AAR | 3,829 | 120 | ||||||
ABM Industries | 4,755 | 132 | ||||||
Acacia Research | 4,349 | 65 | ||||||
ACCO Brands * (A) | 8,229 | 50 | ||||||
Accuride | 955 | 3 | ||||||
Aceto | 1,517 | 33 | ||||||
Actuant, Cl A | 6,142 | 240 | ||||||
Acuity Brands | 3,646 | 374 | ||||||
Advisory Board | 2,984 | 193 | ||||||
AECOM Technology * | 8,912 | 259 | ||||||
Aegion, Cl A * | 2,603 | 57 | ||||||
Aerovironment * | 2,125 | 64 | ||||||
AGCO | 8,123 | 473 | ||||||
Air Lease, Cl A | 6,031 | 191 | ||||||
Air Transport Services Group * | 2,936 | 23 | ||||||
Aircastle | 6,057 | 113 | ||||||
Alamo Group | 335 | 20 | ||||||
Alaska Air Group | 5,861 | 456 | ||||||
Albany International, Cl A | 2,798 | 103 | ||||||
Allegiant Travel, Cl A * | 1,250 | 138 | ||||||
Alliant Techsystems | 2,744 | 333 | ||||||
Altra Holdings | 2,089 | 63 | ||||||
AMERCO * | 600 | 139 | ||||||
Ameresco, Cl A * | 779 | 7 | ||||||
American Railcar Industries (A) | 477 | 21 | ||||||
American Science & Engineering | 455 | 33 | ||||||
American Woodmark * | 484 | 17 | ||||||
Ampco-Pittsburgh | 333 | 6 | ||||||
AO Smith | 6,558 | 355 | ||||||
Apogee Enterprises | 2,611 | 94 | ||||||
Applied Industrial Technologies | 3,561 | 172 | ||||||
ARC Document Solutions * | 4,300 | 37 | ||||||
Argan | 1,879 | 44 | ||||||
Arkansas Best | 2,690 | 88 | ||||||
Armstrong World Industries | 2,177 | 116 | ||||||
Astec Industries | 1,863 | 68 | ||||||
Astronics, Cl B * | 245 | 13 | ||||||
Astronics * | 1,229 | 64 | ||||||
Atlas Air Worldwide Holdings * | 2,269 | 87 | ||||||
Avis Budget Group * | 9,260 | 341 | ||||||
AZZ | 2,296 | 112 | ||||||
Babcock & Wilcox | 9,624 | 312 | ||||||
Barnes Group | 4,552 | 166 | ||||||
Barrett Business Services | 434 | 37 | ||||||
BE Aerospace * | 8,130 | 707 | ||||||
Beacon Roofing Supply * | 4,170 | 155 | ||||||
Blount International * | 4,685 | 68 | ||||||
Brady, Cl A | 4,027 | 126 | ||||||
Briggs & Stratton (A) | 3,249 | 66 | ||||||
Brink’s | 4,206 | 141 | ||||||
Builders FirstSource * | 2,470 | 17 |
Description | Shares | Market Value ($ Thousands) | ||||||
CAI International * | 1,272 | $ | 29 | |||||
Capstone Turbine * | 16,835 | 20 | ||||||
Carlisle | 5,377 | 395 | ||||||
Casella Waste Systems, Cl A * | 1,391 | 8 | ||||||
CBIZ * | 3,745 | 34 | ||||||
CDI | 269 | 4 | ||||||
Ceco Environmental | 2,048 | 33 | ||||||
Celadon Group | 1,075 | 22 | ||||||
Cenveo * (A) | 7,100 | 24 | ||||||
Chart Industries * | 2,672 | 260 | ||||||
Chicago Bridge & Iron | 8,292 | 636 | ||||||
CIRCOR International | 1,715 | 136 | ||||||
CLARCOR | 4,323 | 262 | ||||||
Clean Harbors * | 5,176 | 273 | ||||||
Coleman Cable | 800 | 20 | ||||||
Colfax * | 7,189 | 418 | ||||||
Columbus McKinnon * | 1,165 | 32 | ||||||
Comfort Systems USA | 2,491 | 51 | ||||||
Commercial Vehicle Group * | 492 | 4 | ||||||
Consolidated Graphics * | 444 | 29 | ||||||
Con-way | 4,768 | 197 | ||||||
Copa Holdings, Cl A | 2,828 | 428 | ||||||
Copart | 9,750 | 336 | ||||||
Corporate Executive Board | 2,861 | 211 | ||||||
Courier | 700 | 13 | ||||||
Covanta Holding | 8,958 | 160 | ||||||
CRA International * | 205 | 4 | ||||||
Crane | 4,029 | 251 | ||||||
Cubic | 1,989 | 111 | ||||||
Curtiss-Wright | 3,978 | 210 | ||||||
Deluxe | 3,954 | 196 | ||||||
DigitalGlobe * | 6,332 | 251 | ||||||
Donaldson | 12,246 | 511 | ||||||
Douglas Dynamics | 1,222 | 19 | ||||||
Ducommun * | 1,000 | 25 | ||||||
DXP Enterprises * | 662 | 65 | ||||||
Dycom Industries * | 2,307 | 65 | ||||||
Dynamic Materials | 1,365 | 31 | ||||||
Echo Global Logistics * | 786 | 16 | ||||||
EMCOR Group | 5,687 | 226 | ||||||
Encore Wire | 1,403 | 70 | ||||||
Energy Recovery * | 4,487 | 22 | ||||||
EnerNOC * | 2,360 | 40 | ||||||
EnerSys | 4,183 | 298 | ||||||
Engility Holdings | 2,010 | 64 | ||||||
Ennis | 1,388 | 26 | ||||||
EnPro Industries (A) | 1,868 | 106 | ||||||
ESCO Technologies | 1,777 | 61 | ||||||
Esterline Technologies * | 2,790 | 246 | ||||||
Exelis | 16,528 | 292 | ||||||
ExOne * | 400 | 21 | ||||||
Exponent | 1,143 | 88 | ||||||
Federal Signal | 5,647 | 88 | ||||||
Flow International | 1,744 | 7 | ||||||
Fortune Brands Home & Security | 13,673 | 596 | ||||||
Forward Air | 2,618 | 113 | ||||||
Franklin Covey * | 491 | 10 | ||||||
Franklin Electric | 4,081 | 182 | ||||||
FreightCar America | 1,733 | 40 | ||||||
FTI Consulting * (A) | 3,468 | 156 | ||||||
FuelCell Energy (A) | 5,961 | 8 | ||||||
Furmanite * | 3,137 | 35 |
13 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Extended Market Index Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
G&K Services, Cl A | 1,739 | $ | 105 | |||||
GATX | 3,952 | 198 | ||||||
GenCorp (A) | 5,979 | 110 | ||||||
Generac Holdings | 4,345 | 231 | ||||||
General Cable | 4,337 | 126 | ||||||
Genesee & Wyoming, Cl A | 3,674 | 353 | ||||||
Gibraltar Industries * | 3,560 | 63 | ||||||
Global Brass & Copper Holdings | 1,000 | 17 | ||||||
Global Power Equipment Group | 930 | 18 | ||||||
Gorman-Rupp | 1,582 | 67 | ||||||
GP Strategies * | 782 | 23 | ||||||
Graco | 5,135 | 397 | ||||||
GrafTech International * (A) | 11,217 | 129 | ||||||
Graham | 796 | 30 | ||||||
Granite Construction | 3,411 | 107 | ||||||
Great Lakes Dredge & Dock | 4,080 | 36 | ||||||
Greenbrier * | 2,323 | 73 | ||||||
Griffon | 4,237 | 54 | ||||||
H&E Equipment Services | 2,225 | 63 | ||||||
Hardinge | 463 | 7 | ||||||
Harsco | 6,828 | 179 | ||||||
Hawaiian Holdings (A) | 2,880 | 26 | ||||||
HD Supply Holdings * | 5,400 | 114 | ||||||
Healthcare Services Group | 5,839 | 169 | ||||||
Heartland Express | 4,272 | 78 | ||||||
Heico | 5,481 | 313 | ||||||
Heidrick & Struggles International | 1,352 | 25 | ||||||
Heritage-Crystal Clean * | 1,200 | 22 | ||||||
Herman Miller | 5,043 | 161 | ||||||
Hertz Global Holdings * | 28,614 | 694 | ||||||
Hexcel | 8,498 | 373 | ||||||
HNI | 3,949 | 157 | ||||||
Houston Wire & Cable | 355 | 5 | ||||||
Hub Group, Cl A * | 3,162 | 119 | ||||||
Hubbell, Cl B | 4,889 | 528 | ||||||
Huntington Ingalls Industries | 4,159 | 342 | ||||||
Hurco | 235 | 6 | ||||||
Huron Consulting Group * | 2,011 | 120 | ||||||
Hyster-Yale Materials Handling | 702 | 59 | ||||||
ICF International * | 1,868 | 68 | ||||||
IDEX | 6,841 | 488 | ||||||
IHS, Cl A * | 5,399 | 618 | ||||||
II-VI * | 3,543 | 58 | ||||||
InnerWorkings * | 3,487 | 24 | ||||||
Insperity | 1,712 | 60 | ||||||
Insteel Industries | 941 | 19 | ||||||
Interface, Cl A | 5,245 | 105 | ||||||
International Shipholding | 800 | 23 | ||||||
ITT | 7,663 | 313 | ||||||
JB Hunt Transport Services (A) | 7,549 | 568 | ||||||
JetBlue Airways * (A) | 20,081 | 179 | ||||||
John Bean Technologies | 2,631 | 78 | ||||||
Kadant | 625 | 26 | ||||||
Kaman | 2,673 | 107 | ||||||
KAR Auction Services | 6,429 | 177 | ||||||
KBR | 12,345 | 418 | ||||||
Kelly Services, Cl A | 2,795 | 65 | ||||||
Kennametal | 6,714 | 319 | ||||||
KEYW Holding * (A) | 4,068 | 50 | ||||||
Kforce | 2,237 | 45 |
Description | Shares | Market Value ($ Thousands) | ||||||
Kirby * | 4,726 | $ | 446 | |||||
Knight Transportation | 5,837 | 104 | ||||||
Knoll | 3,463 | 61 | ||||||
Korn/Ferry International * | 3,358 | 78 | ||||||
Kratos Defense & Security Solutions * | 5,216 | 35 | ||||||
Landstar System | 3,944 | 221 | ||||||
Layne Christensen * | 969 | 16 | ||||||
LB Foster, Cl A | 1,171 | 55 | ||||||
Lennox International | 4,229 | 348 | ||||||
Lincoln Electric Holdings | 6,933 | 496 | ||||||
Lindsay Manufacturing | 1,127 | 86 | ||||||
LMI Aerospace * | 181 | 2 | ||||||
LSI Industries | 2,000 | 17 | ||||||
Lydall | 1,632 | 29 | ||||||
Manitex International * | 1,800 | 24 | ||||||
Manitowoc | 11,250 | 232 | ||||||
Manpowergroup | 6,456 | 516 | ||||||
Marten Transport | 1,195 | 23 | ||||||
MasTec | 5,062 | 160 | ||||||
Matson | 3,752 | 94 | ||||||
McGrath RentCorp | 1,748 | 68 | ||||||
Meritor * | 8,895 | 71 | ||||||
Middleby * | 1,675 | 370 | ||||||
Miller Industries | 411 | 8 | ||||||
Mine Safety Appliances | 2,444 | 122 | ||||||
Mistras Group | 897 | 18 | ||||||
Mobile Mini * | 3,383 | 137 | ||||||
Moog, Cl A * | 3,824 | 263 | ||||||
MRC Global * | 7,012 | 215 | ||||||
MSC Industrial Direct, Cl A | 4,003 | 308 | ||||||
Mueller Industries | 2,454 | 150 | ||||||
Mueller Water Products, Cl A | 13,812 | 119 | ||||||
Multi-Color | 757 | 29 | ||||||
MYR Group * | 2,179 | 55 | ||||||
NACCO Industries, Cl A | 305 | 20 | ||||||
National Presto Industries | 191 | 15 | ||||||
Navigant Consulting * | 4,641 | 91 | ||||||
Navistar International * (A) | 4,791 | 193 | ||||||
NCI Building Systems * | 948 | 16 | ||||||
NN | 687 | 14 | ||||||
Nordson | 5,412 | 390 | ||||||
Nortek * | 642 | 47 | ||||||
Northwest Pipe * | 586 | 23 | ||||||
Odyssey Marine Exploration * (A) | 6,525 | 13 | ||||||
Old Dominion Freight Line * | 6,190 | 319 | ||||||
On Assignment * | 3,969 | 135 | ||||||
Orbital Sciences * | 5,258 | 123 | ||||||
Orion Marine Group * | 1,874 | 22 | ||||||
Oshkosh Truck | 7,417 | 362 | ||||||
Owens Corning | 10,060 | 394 | ||||||
Pacer International * | 1,424 | 13 | ||||||
Park-Ohio Holdings * | 1,118 | 48 | ||||||
Patrick Industries * | 400 | 13 | ||||||
Patriot Transportation Holding * | 238 | 10 | ||||||
Pendrell * | 8,751 | 19 | ||||||
Performant Financial * | 2,000 | 21 | ||||||
PGT * | 1,300 | 13 | ||||||
Pike Electric | 938 | 10 | ||||||
Ply Gem Holdings * | 1,300 | 23 | ||||||
PMFG * | 2,800 | 21 | ||||||
Polypore International * (A) | 3,960 | 150 |
14 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Extended Market Index Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Powell Industries | 664 | $ | 46 | |||||
Power Solutions International * | 300 | 22 | ||||||
PowerSecure International * | 1,600 | 28 | ||||||
Preformed Line Products | 90 | 6 | ||||||
Primoris Services | 2,447 | 70 | ||||||
Proto Labs * | 1,499 | 111 | ||||||
Quad, Cl A | 1,862 | 49 | ||||||
Quality Distribution * | 810 | 10 | ||||||
Quanex Building Products | 3,465 | 62 | ||||||
Raven Industries | 3,155 | 127 | ||||||
RBC Bearings * | 1,995 | 136 | ||||||
Regal-Beloit | 3,725 | 274 | ||||||
Republic Airways Holdings * | 4,596 | 52 | ||||||
Resources Connection | 3,881 | 55 | ||||||
Rexnord | 2,826 | 69 | ||||||
Roadrunner Transportation Systems * | 1,772 | 49 | ||||||
Rollins | 5,475 | 154 | ||||||
RPX * | 2,310 | 38 | ||||||
RR Donnelley & Sons | 15,572 | 288 | ||||||
Rush Enterprises, Cl A * | 3,499 | 102 | ||||||
Saia | 2,492 | 87 | ||||||
Schawk, Cl A | 1,500 | 22 | ||||||
Simpson Manufacturing | 3,543 | 129 | ||||||
SkyWest | 3,622 | 61 | ||||||
SolarCity * (A) | 2,131 | 111 | ||||||
Sparton * | 1,100 | 28 | ||||||
Spirit Aerosystems Holdings, Cl A * | 10,275 | 335 | ||||||
Spirit Airlines | 5,447 | 250 | ||||||
SPX | 3,994 | 378 | ||||||
Standard Parking | 798 | 20 | ||||||
Standex International | 929 | 55 | ||||||
Steelcase, Cl A | 7,357 | 120 | ||||||
Sterling Construction * | 591 | 7 | ||||||
Sun Hydraulics | 1,677 | 72 | ||||||
Swift Transporation, Cl A * (A) | 7,209 | 167 | ||||||
Swisher Hygiene * | 4,332 | 2 | ||||||
TAL International Group (A) | 2,884 | 158 | ||||||
Taser International | 4,669 | 80 | ||||||
Team * | 1,357 | 56 | ||||||
Tecumseh Products, Cl A * | 1,900 | 17 | ||||||
Teledyne Technologies * | 3,237 | 300 | ||||||
Tennant | 1,838 | 120 | ||||||
Terex * | 9,470 | 344 | ||||||
Tetra Tech * | 5,542 | 158 | ||||||
Textainer Group Holdings (A) | 1,353 | 53 | ||||||
Thermon Group Holdings * | 1,882 | 54 | ||||||
Timken | 7,309 | 378 | ||||||
Titan International (A) | 5,472 | 94 | ||||||
Titan Machinery * (A) | 812 | 14 | ||||||
Toro | 4,800 | 296 | ||||||
Towers Watson, Cl A | 5,433 | 612 | ||||||
TransDigm Group | 4,305 | 674 | ||||||
TRC | 1,000 | 8 | ||||||
Trex * | 1,670 | 121 | ||||||
Trimas * | 3,876 | 142 | ||||||
Trinity Industries | 6,771 | 351 | ||||||
Triumph Group | 4,396 | 325 | ||||||
TrueBlue * | 4,028 | 103 | ||||||
Tutor Perini * | 2,851 | 70 | ||||||
Twin Disc | 170 | 5 | ||||||
UniFirst | 1,240 | 127 |
Description | Shares | Market Value ($ Thousands) | ||||||
United Continental Holdings * | 30,252 | $ | 1,187 | |||||
United Rentals * (A) | 7,847 | 539 | ||||||
United Stationers | 3,437 | 155 | ||||||
Universal Forest Products | 1,355 | 70 | ||||||
Universal Truckload Services | 700 | 20 | ||||||
URS | 6,371 | 331 | ||||||
US Airways Group * (A) | 16,223 | 381 | ||||||
US Ecology | 1,240 | 48 | ||||||
USG * (A) | 6,482 | 178 | ||||||
UTi Worldwide | 7,895 | 125 | ||||||
Valmont Industries | 2,314 | 335 | ||||||
Verisk Analytics, Cl A * | 12,472 | 812 | ||||||
Viad | 2,271 | 61 | ||||||
Vicor * | 2,500 | 27 | ||||||
VSE | 500 | 26 | ||||||
Wabash National * | 4,741 | 58 | ||||||
WABCO Holdings * | 4,910 | 435 | ||||||
Wabtec | 8,006 | 552 | ||||||
WageWorks * | 2,171 | 124 | ||||||
Waste Connections (A) | 10,303 | 453 | ||||||
Watsco | 2,159 | 207 | ||||||
Watts Water Technologies, Cl A | 2,456 | 148 | ||||||
Werner Enterprises | 4,090 | 98 | ||||||
Wesco Aircraft Holdings * | 2,746 | 57 | ||||||
WESCO International * (A) | 3,766 | 324 | ||||||
West | 1,600 | 37 | ||||||
Woodward Governor | 5,742 | 246 | ||||||
XPO Logistics * (A) | 2,237 | 51 | ||||||
YRC Worldwide * | 800 | 7 | ||||||
|
| |||||||
48,097 | ||||||||
|
| |||||||
Information Technology — 17.0% | ||||||||
3D Systems * (A) | 8,347 | 627 | ||||||
Accelrys * | 5,320 | 52 | ||||||
ACI Worldwide * | 3,404 | 220 | ||||||
Activision Blizzard | 22,406 | 386 | ||||||
Actuate | 2,744 | 22 | ||||||
Acxiom * | 6,274 | 209 | ||||||
ADTRAN | 5,097 | 131 | ||||||
Advanced Energy Industries * | 3,619 | 86 | ||||||
Advanced Micro Devices * (A) | 51,300 | 187 | ||||||
Advent Software | 2,868 | 101 | ||||||
Aeroflex Holding * | 729 | 5 | ||||||
Agilysys * | 900 | 12 | ||||||
Alliance Data Systems * (A) | 4,089 | 991 | ||||||
Alliance Fiber Optic Products | 600 | 9 | ||||||
Alpha & Omega Semiconductor * | 1,100 | 9 | ||||||
Ambarella * | 1,600 | 40 | ||||||
Amdocs | 13,368 | 541 | ||||||
American Software, Cl A | 472 | 5 | ||||||
Amkor Technology | 4,013 | 24 | ||||||
ANADIGICS * | 2,864 | 5 | ||||||
Anaren * | 757 | 21 | ||||||
Angie’s List * (A) | 3,748 | 49 | ||||||
Anixter International * | 2,441 | 216 | ||||||
Ansys | 7,717 | 661 | ||||||
AOL | 6,665 | 297 | ||||||
Applied Micro Circuits * | 5,398 | 68 | ||||||
ARRIS Group * | 9,970 | 205 | ||||||
Arrow Electronics * | 8,825 | 453 | ||||||
Aruba Networks | 9,739 | 174 |
15 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Extended Market Index Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Aspen Technology * | 8,067 | $ | 319 | |||||
Atmel | 37,682 | 288 | ||||||
ATMI * | 2,378 | 73 | ||||||
Avago Technologies, Cl A | 20,968 | 938 | ||||||
AVG Technologies * | 1,800 | 31 | ||||||
Aviat Networks * | 1,216 | 3 | ||||||
Avid Technology * | 4,497 | 40 | ||||||
Avnet | 11,499 | 459 | ||||||
AVX | 4,478 | 61 | ||||||
Axcelis Technologies * | 7,300 | 16 | ||||||
Badger Meter | 1,362 | 75 | ||||||
Bankrate * | 3,449 | 65 | ||||||
Bazaarvoice * | 3,600 | 28 | ||||||
Bel Fuse, Cl B | 388 | 9 | ||||||
Belden | 3,823 | 268 | ||||||
Benchmark Electronics * | 4,730 | 109 | ||||||
Black Box | 1,009 | 28 | ||||||
Blackbaud | 3,955 | 143 | ||||||
Blackhawk Network Holdings, Cl A * | 1,000 | 23 | ||||||
Blucora | 2,929 | 85 | ||||||
Booz Allen Hamilton Holding, Cl A | 2,365 | 41 | ||||||
Bottomline Technologies | 3,571 | 123 | ||||||
Brightcove * | 2,600 | 37 | ||||||
Broadridge Financial Solutions | 10,197 | 389 | ||||||
BroadSoft (A) | 1,994 | 53 | ||||||
Brocade Communications Systems * | 38,047 | 334 | ||||||
Brooks Automation | 6,303 | 67 | ||||||
Cabot Microelectronics * | 1,624 | 73 | ||||||
CACI International, Cl A * (A) | 2,032 | 146 | ||||||
Cadence Design Systems (A) | 24,147 | 320 | ||||||
CalAmp * | 3,356 | 84 | ||||||
Calix * | 2,145 | 22 | ||||||
Callidus Software * | 4,356 | 48 | ||||||
Carbonite * | 1,400 | 17 | ||||||
Cardtronics | 3,885 | 165 | ||||||
Cass Information Systems | 990 | 62 | ||||||
Cavium (A) | 4,331 | 157 | ||||||
CDW | 2,500 | 56 | ||||||
Ceva * | 1,338 | 21 | ||||||
ChannelAdvisor * | 400 | 14 | ||||||
Checkpoint Systems * | 3,845 | 56 | ||||||
CIBER | 3,887 | 15 | ||||||
Ciena * (A) | 9,186 | 204 | ||||||
Cirrus Logic * (A) | 5,495 | 111 | ||||||
Cognex | 7,758 | 256 | ||||||
Coherent | 2,153 | 149 | ||||||
Cohu | 2,077 | 21 | ||||||
CommVault Systems * | 4,084 | 306 | ||||||
Computer Task Group | 792 | 15 | ||||||
Compuware | 18,060 | 198 | ||||||
comScore * | 2,447 | 67 | ||||||
Comtech Telecommunications | 1,932 | 62 | ||||||
Comverse * | 2,100 | 70 | ||||||
Concur Technologies * (A) | 3,911 | 380 | ||||||
Constant Contact | 2,866 | 78 | ||||||
Convergys | 8,987 | 184 | ||||||
CoreLogic | 8,383 | 295 | ||||||
Cornerstone OnDemand | 3,399 | 171 | ||||||
CoStar Group | 2,363 | 440 | ||||||
Cray | 2,770 | 66 |
Description | Shares | Market Value ($ Thousands) | ||||||
Cree * | 10,023 | $ | 559 | |||||
CSG Systems International | 2,417 | 70 | ||||||
CTS | 2,045 | 37 | ||||||
Cvent * | 700 | 23 | ||||||
Cypress Semiconductor | 12,795 | 124 | ||||||
Daktronics | 2,080 | 32 | ||||||
Datalink * | 597 | 6 | ||||||
Dealertrack Technologies | 3,700 | 155 | ||||||
Demand Media * | 1,687 | 9 | ||||||
Demandware | 1,645 | 93 | ||||||
Dice Holdings | 2,190 | 16 | ||||||
Diebold | 5,433 | 185 | ||||||
Digi International * | 3,601 | 41 | ||||||
Digimarc | 276 | 5 | ||||||
Digital River * | 3,277 | 59 | ||||||
Diodes | 2,442 | 50 | ||||||
Dolby Laboratories, Cl A (A) | 3,904 | 140 | ||||||
DSP Group * | 862 | 8 | ||||||
DST Systems | 2,850 | 252 | ||||||
DTS | 1,044 | 23 | ||||||
E2open * | 1,300 | 29 | ||||||
EarthLink | 11,833 | 64 | ||||||
Ebix (A) | 1,425 | 20 | ||||||
EchoStar, Cl A * | 3,503 | 175 | ||||||
eGain * | 1,600 | 18 | ||||||
Electro Rent | 1,059 | 23 | ||||||
Electro Scientific Industries | 2,445 | 25 | ||||||
Electronics for Imaging | 4,028 | 159 | ||||||
Ellie Mae * | 1,863 | 53 | ||||||
Emulex * | 6,988 | 52 | ||||||
Entegris * | 12,108 | 133 | ||||||
Entropic Communications * | 5,249 | 26 | ||||||
Envestnet | 2,095 | 83 | ||||||
EPAM Systems * | 1,500 | 53 | ||||||
EPIQ Systems | 3,690 | 62 | ||||||
ePlus | 144 | 8 | ||||||
Equinix * (A) | 4,098 | 659 | ||||||
Euronet Worldwide * | 4,288 | 208 | ||||||
EVERTEC | 2,000 | 44 | ||||||
Exar * | 1,892 | 23 | ||||||
ExlService Holdings | 2,223 | 59 | ||||||
Extreme Networks * | 10,187 | 71 | ||||||
Fabrinet * | 3,215 | 64 | ||||||
Facebook, Cl A * | 143,169 | 6,730 | ||||||
FactSet Research Systems (A) | 3,686 | 417 | ||||||
Fair Isaac | 3,091 | 182 | ||||||
Fairchild Semiconductor International, Cl A | 10,909 | 139 | ||||||
FARO Technologies * | 1,708 | 93 | ||||||
FEI | 3,652 | 333 | ||||||
Finisar * | 7,954 | 165 | ||||||
FleetCor Technologies | 5,673 | 691 | ||||||
FleetMatics Group * | 1,578 | 61 | ||||||
FormFactor * | 3,767 | 20 | ||||||
Forrester Research | 664 | 27 | ||||||
Fortinet | 12,099 | 207 | ||||||
Freescale Semiconductor * | 3,807 | 55 | ||||||
Fusion-io (A) | 6,802 | 68 | ||||||
Gartner * | 7,837 | 507 | ||||||
Genpact * | 14,850 | 266 | ||||||
Gigamon * | 800 | 23 | ||||||
Global Cash Access Holdings * | 7,316 | 71 | ||||||
Global Eagle Entertainment * | 2,100 | 32 |
16 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Extended Market Index Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Global Payments | 6,428 | $ | 405 | |||||
Globecomm Systems * | 1,244 | 18 | ||||||
Glu Mobile (A) | 3,700 | 14 | ||||||
Gogo * | 1,500 | 40 | ||||||
GSI Group * | 1,762 | 19 | ||||||
GSI Technology * | 2,900 | 20 | ||||||
GT Advanced Technologies * (A) | 10,629 | 104 | ||||||
Guidance Software * | 594 | 5 | ||||||
Guidewire Software | 4,369 | 209 | ||||||
Hackett Group | 3,300 | 21 | ||||||
Harmonic * | 9,294 | 72 | ||||||
Heartland Payment Systems (A) | 3,111 | 140 | ||||||
Higher One Holdings * | 1,534 | 15 | ||||||
Hittite Microwave * | 2,717 | 172 | ||||||
IAC | 6,321 | 362 | ||||||
iGATE * | 2,486 | 83 | ||||||
Imation * | 4,600 | 20 | ||||||
Immersion * | 1,567 | 19 | ||||||
Imperva * | 2,083 | 94 | ||||||
Infinera * | 10,084 | 94 | ||||||
Infoblox * | 4,303 | 137 | ||||||
Informatica * (A) | 9,085 | 353 | ||||||
Ingram Micro, Cl A * | 13,046 | 306 | ||||||
Inphi | 2,262 | 28 | ||||||
Insight Enterprises * | 3,098 | 75 | ||||||
Integrated Device Technology * | 11,545 | 115 | ||||||
Integrated Silicon Solution * | 1,905 | 23 | ||||||
Interactive Intelligence Group * | 1,068 | 69 | ||||||
InterDigital | 3,530 | 120 | ||||||
Internap Network Services * | 2,584 | 20 | ||||||
International Rectifier * | 6,006 | 144 | ||||||
Intersil, Cl A | 11,072 | 116 | ||||||
IntraLinks Holdings | 3,326 | 36 | ||||||
InvenSense, Cl A * (A) | 5,777 | 100 | ||||||
IPG Photonics (A) | 2,520 | 183 | ||||||
Itron * | 3,411 | 144 | ||||||
Ixia * | 3,558 | 46 | ||||||
IXYS | 1,980 | 24 | ||||||
j2 Global (A) | 3,857 | 185 | ||||||
Jack Henry & Associates | 7,219 | 410 | ||||||
Jive Software * (A) | 2,634 | 29 | ||||||
Kemet * | 2,462 | 15 | ||||||
Kopin * | 8,823 | 36 | ||||||
KVH Industries * | 297 | 4 | ||||||
Lattice Semiconductor * | 12,162 | 68 | ||||||
Leidos Holdings * | 6,350 | 309 | ||||||
Lender Processing Services | 7,712 | 271 | ||||||
Lexmark International, Cl A | 5,380 | 190 | ||||||
LinkedIn, Cl A * | 8,106 | 1,816 | ||||||
Lionbridge Technologies * | 7,618 | 43 | ||||||
Liquidity Services * (A) | 2,222 | 51 | ||||||
Littelfuse | 1,903 | 165 | ||||||
LivePerson * | 5,291 | 65 | ||||||
LogMeIn * | 1,813 | 63 | ||||||
LTX-Credence * | 2,741 | 20 | ||||||
M * | 1,300 | 21 | ||||||
Manhattan Associates * | 1,670 | 201 | ||||||
ManTech International, Cl A (A) | 1,522 | 44 | ||||||
Marchex, Cl A | 2,900 | 27 | ||||||
Marin Software * (A) | 1,400 | 12 | ||||||
Marketo * | 700 | 20 | ||||||
Marvell Technology Group | 33,102 | 471 |
Description | Shares | Market Value ($ Thousands) | ||||||
Maxim Integrated Products | 24,004 | $ | 684 | |||||
MAXIMUS | 5,916 | 269 | ||||||
MaxLinear, Cl A * | 2,300 | 20 | ||||||
Maxwell Technologies * | 2,864 | 23 | ||||||
Measurement Specialties * | 1,177 | 65 | ||||||
Mentor Graphics | 8,140 | 183 | ||||||
Mercury Systems * | 2,123 | 23 | ||||||
Mesa Laboratories | 300 | 25 | ||||||
Methode Electronics | 3,684 | 107 | ||||||
Micrel | 2,393 | 23 | ||||||
Micros Systems (A) | 6,671 | 358 | ||||||
Microsemi | 7,914 | 193 | ||||||
MicroStrategy, Cl A * | 853 | 110 | ||||||
Millennial Media * (A) | 3,000 | 19 | ||||||
Mindspeed Technologies * | 1,400 | 7 | ||||||
Mitek Systems * (A) | 3,600 | 25 | ||||||
MKS Instruments | 4,623 | 138 | ||||||
Model N * | 900 | 7 | ||||||
MoneyGram International * | 1,105 | 23 | ||||||
Monolithic Power Systems | 3,251 | 109 | ||||||
Monotype Imaging Holdings | 3,360 | 105 | ||||||
Monster Worldwide * | 12,508 | 70 | ||||||
MoSys * | 2,200 | 10 | ||||||
Move | 3,735 | 58 | ||||||
MTS Systems | 1,389 | 97 | ||||||
Multi-Fineline Electronix | 1,200 | 17 | ||||||
Nanometrics * | 1,244 | 23 | ||||||
National Instruments | 8,367 | 262 | ||||||
NCR | 13,683 | 478 | ||||||
Neonode * (A) | 2,700 | 17 | ||||||
NeoPhotonics * | 2,200 | 13 | ||||||
Net Element International * | 100 | — | ||||||
NETGEAR | 3,392 | 109 | ||||||
Netscout Systems * | 3,558 | 108 | ||||||
NetSuite * | 3,003 | 289 | ||||||
NeuStar, Cl A * | 5,732 | 279 | ||||||
Newport * | 3,695 | 63 | ||||||
NIC | 5,622 | 137 | ||||||
Nuance Communications * | 22,181 | 300 | ||||||
Numerex, Cl A * | 477 | 6 | ||||||
NVE * | 694 | 40 | ||||||
OmniVision Technologies * | 5,542 | 89 | ||||||
ON Semiconductor * | 39,700 | 281 | ||||||
OpenTable * (A) | 1,926 | 161 | ||||||
Oplink Communications * | 1,066 | 17 | ||||||
OSI Systems * | 1,768 | 136 | ||||||
Palo Alto Networks * | 2,833 | 141 | ||||||
Pandora Media (A) | 12,171 | 346 | ||||||
Park Electrochemical | 1,982 | 59 | ||||||
Parkervision * (A) | 4,352 | 18 | ||||||
PC Connection * | 831 | 18 | ||||||
PC-Tel Inc. * | 1,500 | 15 | ||||||
PDF Solutions * | 1,453 | 34 | ||||||
Pegasystems | 1,618 | 81 | ||||||
Peregrine Semiconductor * | 2,300 | 21 | ||||||
Perficient * | 3,600 | 78 | ||||||
Pericom Semiconductor | 911 | 9 | ||||||
Photronics * | 7,029 | 61 | ||||||
Plantronics | 3,669 | 164 | ||||||
Plexus * | 3,028 | 122 | ||||||
PLX Technology * | 5,989 | 40 | ||||||
PMC - Sierra * | 17,754 | 107 | ||||||
Polycom * | 14,747 | 159 |
17 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Extended Market Index Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Power Integrations | 2,489 | $ | 133 | |||||
PRGX Global * | 936 | 6 | ||||||
Procera Networks * | 1,381 | 21 | ||||||
Progress Software | 4,758 | 125 | ||||||
Proofpoint * | 1,600 | 49 | ||||||
PROS Holdings * | 2,099 | 81 | ||||||
PTC * | 10,190 | 332 | ||||||
QLIK Technologies | 7,825 | 196 | ||||||
QLogic * | 8,822 | 109 | ||||||
Qualys * | 1,400 | 35 | ||||||
Quantum * (A) | 12,478 | 16 | ||||||
QuinStreet * | 1,186 | 10 | ||||||
Rackspace Hosting | 9,377 | 358 | ||||||
Rally Software Development * | 800 | 20 | ||||||
Rambus * | 7,510 | 64 | ||||||
RealD | 1,964 | 18 | ||||||
RealNetworks | 844 | 7 | ||||||
RealPage * (A) | 4,546 | 102 | ||||||
Reis * | 500 | 9 | ||||||
Responsys * | 4,090 | 69 | ||||||
RF Micro Devices | 24,247 | 128 | ||||||
Richardson Electronics | 515 | 6 | ||||||
Riverbed Technology (A) | 13,850 | 240 | ||||||
Rofin-Sinar Technologies * | 2,615 | 68 | ||||||
Rogers * | 1,693 | 106 | ||||||
Rosetta Stone * | 700 | 8 | ||||||
Rovi | 8,834 | 163 | ||||||
Rubicon Technology * (A) | 1,000 | 10 | ||||||
Ruckus Wireless * | 3,017 | 39 | ||||||
Rudolph Technologies * | 1,707 | 19 | ||||||
Sanmina * | 7,166 | 111 | ||||||
Sapient * | 9,454 | 149 | ||||||
ScanSource * | 2,696 | 113 | ||||||
Science Applications International | 3,642 | 134 | ||||||
SciQuest * | 1,338 | 37 | ||||||
Seachange International * | 3,843 | 57 | ||||||
Semtech * | 5,775 | 172 | ||||||
ServiceNow * | 6,669 | 354 | ||||||
ServiceSource International * | 4,446 | 43 | ||||||
ShoreTel * | 5,870 | 47 | ||||||
Shutterstock * | 597 | 44 | ||||||
Sigma Designs * | 1,313 | 7 | ||||||
Silicon Graphics International * | 3,190 | 42 | ||||||
Silicon Image * | 4,561 | 25 | ||||||
Silicon Laboratories | 3,682 | 144 | ||||||
Skyworks Solutions | 16,065 | 427 | ||||||
SolarWinds * | 5,560 | 186 | ||||||
Solera Holdings | 5,827 | 389 | ||||||
Sonus Networks | 19,901 | 58 | ||||||
Spansion, Cl A * | 4,882 | 60 | ||||||
Spark Networks * | 2,500 | 14 | ||||||
Speed Commerce * | 5,400 | 21 | ||||||
Splunk * | 8,484 | 612 | ||||||
SPS Commerce * | 1,329 | 87 | ||||||
SS&C Technologies Holdings * | 4,909 | 212 | ||||||
Stamps.com * | 1,255 | 58 | ||||||
Stratasys * (A) | 2,669 | 314 | ||||||
SunEdison * | 22,609 | 287 | ||||||
SunPower, Cl A (A) | 3,036 | 92 | ||||||
Super Micro Computer * | 1,651 | 26 | ||||||
Supertex | 203 | 5 | ||||||
support.com * | 4,681 | 19 |
Description | Shares | Market Value ($ Thousands) | ||||||
Sykes Enterprises * | 3,611 | $ | 80 | |||||
Synaptics (A) | 2,787 | 141 | ||||||
Synchronoss Technologies * | 2,597 | 82 | ||||||
SYNNEX * | 2,270 | 150 | ||||||
Synopsys * | 12,852 | 471 | ||||||
Syntel | 1,377 | 122 | ||||||
Tableau Software, Cl A * | 700 | 46 | ||||||
Take-Two Interactive Software * | 7,039 | 115 | ||||||
Tangoe (A) | 2,855 | 45 | ||||||
Tech Data | 3,265 | 169 | ||||||
TeleTech Holdings | 1,427 | 37 | ||||||
Tellabs | 24,213 | 59 | ||||||
Tessco Technologies | 700 | 28 | ||||||
Tessera Technologies | 4,730 | 95 | ||||||
Textura * | 800 | 27 | ||||||
TIBCO Software * | 13,848 | 335 | ||||||
TiVo * | 10,886 | 140 | ||||||
Travelzoo * | 287 | 6 | ||||||
Trimble Navigation * | 21,220 | 677 | ||||||
TriQuint Semiconductor * (A) | 14,239 | 112 | ||||||
Trulia * | 2,378 | 82 | ||||||
TTM Technologies | 2,787 | 27 | ||||||
Tyler Technologies * | 2,687 | 276 | ||||||
Ubiquiti Networks | 1,400 | 55 | ||||||
Ultimate Software Group * | 2,335 | 366 | ||||||
Ultra Clean Holdings * | 1,052 | 10 | ||||||
Ultratech * | 2,968 | 79 | ||||||
Uni-Pixel * (A) | 1,200 | 15 | ||||||
Unisys * | 4,283 | 118 | ||||||
United Online | 1,208 | 19 | ||||||
Universal Display * | 3,508 | 127 | ||||||
Unwired Planet * | 3,460 | 5 | ||||||
Valueclick * | 6,594 | 141 | ||||||
Vantiv, Cl A * | 7,408 | 224 | ||||||
Vasco Data Security International * | 554 | 4 | ||||||
Veeco Instruments * | 3,401 | 110 | ||||||
VeriFone Holdings * | 9,129 | 234 | ||||||
Verint Systems * | 4,450 | 169 | ||||||
ViaSat * | 3,356 | 202 | ||||||
VirnetX Holding * (A) | 2,942 | 59 | ||||||
Virtusa * | 1,949 | 69 | ||||||
Vishay Intertechnology * (A) | 11,317 | 146 | ||||||
Vishay Precision Group * | 464 | 8 | ||||||
VistaPrint * (A) | 2,799 | 160 | ||||||
VMware, Cl A * | 7,117 | 574 | ||||||
Vocus * | 398 | 4 | ||||||
Vringo * (A) | 6,600 | 21 | ||||||
Web.com Group * | 3,639 | 104 | ||||||
WebMD Health, Cl A * | 2,927 | 113 | ||||||
Westell Technologies, Cl A * | 6,300 | 26 | ||||||
WEX * | 3,276 | 325 | ||||||
Workday, Cl A * | 3,089 | 254 | ||||||
XO Group * | 1,415 | 22 | ||||||
Xoom * | 670 | 19 | ||||||
Yelp, Cl A * | 2,498 | 152 | ||||||
Zebra Technologies, Cl A * | 4,264 | 221 | ||||||
Zillow, Cl A * (A) | 1,937 | 152 | ||||||
Zix * | 6,113 | 28 | ||||||
Zygo * | 1,420 | 22 | ||||||
Zynga, Cl A * | 49,474 | 215 | ||||||
|
| |||||||
58,662 | ||||||||
|
|
18 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Extended Market Index Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Materials — 5.1% | ||||||||
A. Schulman | 2,129 | $ | 73 | |||||
Advanced Emissions Solutions * | 677 | 39 | ||||||
AEP Industries * | 180 | 9 | ||||||
AK Steel Holding * (A) | 14,000 | 79 | ||||||
Albemarle | 6,843 | 470 | ||||||
Allied Nevada Gold (A) | 6,378 | 21 | ||||||
AM Castle * | 923 | 13 | ||||||
AMCOL International | 1,856 | 58 | ||||||
American Pacific * | 600 | 25 | ||||||
American Vanguard | 2,099 | 60 | ||||||
Aptargroup | 5,666 | 368 | ||||||
Arabian American Development * | 817 | 8 | ||||||
Ashland | 6,508 | 593 | ||||||
Axiall | 6,125 | 278 | ||||||
Balchem | 2,588 | 153 | ||||||
Berry Plastics Group * | 4,838 | 104 | ||||||
Boise Cascade * | 670 | 17 | ||||||
Cabot | 5,332 | 260 | ||||||
Calgon Carbon | 3,718 | 77 | ||||||
Carpenter Technology | 3,901 | 235 | ||||||
Celanese, Cl A | 13,192 | 741 | ||||||
Century Aluminum | 2,659 | 24 | ||||||
Chase | 800 | 26 | ||||||
Chemtura * | 8,329 | 220 | ||||||
Clearwater Paper * | 1,551 | 82 | ||||||
Coeur Mining * | 8,861 | 98 | ||||||
Commercial Metals | 9,941 | 193 | ||||||
Compass Minerals International | 2,940 | 210 | ||||||
Crown Holdings | 12,035 | 531 | ||||||
Cytec Industries | 3,017 | 270 | ||||||
Deltic Timber | 896 | 56 | ||||||
Domtar | 2,925 | 250 | ||||||
Eagle Materials | 4,083 | 319 | ||||||
Ferro | 7,105 | 99 | ||||||
Flotek Industries * | 3,396 | 71 | ||||||
FutureFuel | 1,576 | 26 | ||||||
General Moly * | 1,340 | 2 | ||||||
Glatfelter | 3,771 | 106 | ||||||
Globe Specialty Metals | 4,602 | 82 | ||||||
Gold Resource | 1,558 | 8 | ||||||
Graphic Packaging Holding * | 17,917 | 161 | ||||||
Greif, Cl A | 2,719 | 149 | ||||||
H.B. Fuller | 4,233 | 217 | ||||||
Handy & Harman | 800 | 20 | ||||||
Hawkins | 473 | 18 | ||||||
Haynes International | 1,223 | 66 | ||||||
Headwaters * | 6,820 | 66 | ||||||
Hecla Mining (A) | 29,556 | 87 | ||||||
Horsehead Holding * | 4,209 | 63 | ||||||
Huntsman | 16,324 | 374 | ||||||
Innophos Holdings | 1,889 | 91 | ||||||
Innospec | 2,113 | 103 | ||||||
Intrepid Potash (A) | 5,660 | 87 | ||||||
Kaiser Aluminum | 1,654 | 111 | ||||||
KapStone Paper and Packaging | 3,521 | 188 | ||||||
KMG Chemicals | 309 | 6 | ||||||
Koppers Holdings | 2,073 | 98 |
Description | Shares | Market Value ($ Thousands) | ||||||
Kraton Performance Polymers * | 3,080 | $ | 72 | |||||
Kronos Worldwide | 1,084 | 18 | ||||||
Landec * | 1,493 | 18 | ||||||
Louisiana-Pacific | 11,742 | 193 | ||||||
LSB Industries * | 1,739 | 56 | ||||||
Martin Marietta Materials | 3,901 | 377 | ||||||
Materion | 1,874 | 54 | ||||||
Midway Gold * (A) | 5,336 | 5 | ||||||
Minerals Technologies | 3,024 | 180 | ||||||
Molycorp * (A) | 16,147 | 77 | ||||||
Myers Industries | 1,718 | 35 | ||||||
Neenah Paper | 1,493 | 63 | ||||||
NewMarket (A) | 797 | 258 | ||||||
Olin | 6,916 | 172 | ||||||
Olympic Steel | 327 | 9 | ||||||
OM Group * | 2,283 | 75 | ||||||
OMNOVA Solutions * | 2,467 | 22 | ||||||
Packaging Corp of America | 8,149 | 499 | ||||||
Paramount Gold and Silver * (A) | 2,528 | 3 | ||||||
Penford * | 1,400 | 17 | ||||||
PolyOne | 8,732 | 283 | ||||||
Quaker Chemical | 934 | 76 | ||||||
Reliance Steel & Aluminum | 6,438 | 473 | ||||||
Resolute Forest Products * | 6,892 | 112 | ||||||
Rock Tenn, Cl A | 5,935 | 560 | ||||||
Rockwood Holdings | 6,505 | 445 | ||||||
Royal Gold | 5,502 | 248 | ||||||
RPM International | 11,088 | 439 | ||||||
RTI International Metals * | 3,043 | 106 | ||||||
Schnitzer Steel Industries, Cl A | 1,956 | 60 | ||||||
Schweitzer-Mauduit International | 2,638 | 136 | ||||||
Scotts Miracle-Gro, Cl A (A) | 3,659 | 214 | ||||||
Sensient Technologies | 4,235 | 208 | ||||||
Silgan Holdings | 3,712 | 174 | ||||||
Sonoco Products | 8,521 | 341 | ||||||
Southern Copper | 13,329 | 335 | ||||||
Steel Dynamics | 18,737 | 341 | ||||||
Stepan | 1,825 | 116 | ||||||
Stillwater Mining * | 10,280 | 115 | ||||||
SunCoke Energy * | 6,146 | 139 | ||||||
Tahoe Resources | 7,388 | 131 | ||||||
Taminco * | 1,300 | 28 | ||||||
Texas Industries * | 1,923 | 112 | ||||||
Tredegar | 2,341 | 61 | ||||||
Universal Stainless & Alloy Products * | 134 | 5 | ||||||
US Concrete * | 1,300 | 30 | ||||||
US Silica Holdings | 1,626 | 56 | ||||||
Valspar | 7,426 | 524 | ||||||
Walter Industries (A) | 5,626 | 80 | ||||||
Wausau Paper | 4,619 | 56 | ||||||
Westlake Chemical | 1,755 | 198 | ||||||
Worthington Industries | 4,502 | 189 | ||||||
WR Grace * | 6,324 | 607 | ||||||
Zep | 1,221 | 24 | ||||||
Zoltek * | 1,636 | 27 | ||||||
|
| |||||||
17,511 | ||||||||
|
| |||||||
Telecommunication Services — 1.2% | ||||||||
8x8 * | 6,614 | 69 | ||||||
Atlantic Telegraph-Network | 667 | 37 | ||||||
Boingo Wireless * | 2,700 | 18 |
19 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Extended Market Index Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Cbeyond * | 541 | $ | 3 | |||||
Cincinnati Bell * | 19,786 | 63 | ||||||
Cogent Communications Group | 4,104 | 160 | ||||||
Consolidated Communications Holdings | 3,726 | 72 | ||||||
Fairpoint Communications * | 770 | 7 | ||||||
General Communication, Cl A * | 1,903 | 19 | ||||||
Hawaiian Telcom Holdco * | 905 | 27 | ||||||
HickoryTech | 700 | 10 | ||||||
IDT, Cl B | 603 | 13 | ||||||
inContact * | 5,328 | 40 | ||||||
Inteliquent | 3,153 | 37 | ||||||
Intelsat * | 1,700 | 37 | ||||||
Iridium Communications * | 7,246 | 45 | ||||||
Leap Wireless International * | 4,932 | 82 | ||||||
Level 3 Communications * (A) | 13,592 | 413 | ||||||
Lumos Networks | 571 | 13 | ||||||
magicJack VocalTec * | 536 | 6 | ||||||
NII Holdings * (A) | 15,276 | 39 | ||||||
nTelos Holdings | 1,498 | 32 | ||||||
ORBCOMM * | 1,386 | 9 | ||||||
Premiere Global Services * | 2,318 | 22 | ||||||
SBA Communications, Cl A * (A) | 10,519 | 896 | ||||||
Shenandoah Telecommunications | 1,352 | 34 | ||||||
Sprint * | 70,990 | 596 | ||||||
Straight Path Communications * | 301 | 2 | ||||||
Telephone & Data Systems | 8,355 | 232 | ||||||
T-Mobile US | 14,505 | 377 | ||||||
Towerstream * | 6,900 | 16 | ||||||
tw telecom, Cl A * | 12,631 | 358 | ||||||
US Cellular | 1,452 | 64 | ||||||
USA Mobility | 1,232 | 18 | ||||||
Vonage Holdings * | 18,120 | 60 | ||||||
|
| |||||||
3,926 | ||||||||
|
| |||||||
Utilities — 3.1% | ||||||||
ALLETE | 3,370 | 166 | ||||||
Alliant Energy | 9,218 | 475 | ||||||
American States Water | 3,374 | 98 | ||||||
American Water Works | 14,718 | 623 | ||||||
Aqua America | 14,837 | 357 | ||||||
Artesian Resources, Cl A | 284 | 7 | ||||||
Atlantic Power | 12,421 | 46 | ||||||
Atmos Energy | 7,682 | 341 | ||||||
Avista | 5,152 | 140 | ||||||
Black Hills | 3,802 | 191 | ||||||
California Water Service Group | 4,741 | 108 | ||||||
Calpine * | 32,572 | 616 | ||||||
Chesapeake Utilities | 1,077 | 63 | ||||||
Cleco | 5,322 | 243 | ||||||
Connecticut Water Service | 606 | 21 | ||||||
Consolidated Water | 1,000 | 13 | ||||||
Delta Natural Gas | 500 | 11 | ||||||
Dynegy, Cl A * | 8,500 | 182 | ||||||
El Paso Electric | 3,536 | 127 | ||||||
Empire District Electric (A) | 4,356 | 99 | ||||||
Genie Energy, Cl B | 1,000 | 17 | ||||||
Great Plains Energy | 13,123 | 311 | ||||||
Hawaiian Electric Industries | 8,358 | 212 | ||||||
IDACORP | 4,224 | 218 | ||||||
ITC Holdings | 4,425 | 400 |
Description | Shares | Market Value ($ Thousands) | ||||||
Laclede Group | 2,803 | $ | 129 | |||||
MDU Resources Group | 15,732 | 467 | ||||||
MGE Energy | 2,043 | 114 | ||||||
Middlesex Water | 901 | 20 | ||||||
National Fuel Gas 1 | 6,188 | 418 | ||||||
New Jersey Resources | 3,547 | 162 | ||||||
Northwest Natural Gas | 2,376 | 101 | ||||||
NorthWestern | 3,246 | 143 | ||||||
NRG Yield, Cl A | 2,100 | 76 | ||||||
NV Energy | 19,662 | 465 | ||||||
OGE Energy | 16,376 | 564 | ||||||
Ormat Technologies | 1,034 | 26 | ||||||
Otter Tail | 3,246 | 96 | ||||||
Piedmont Natural Gas | 6,392 | 212 | ||||||
PNM Resources | 6,817 | 159 | ||||||
Portland General Electric | 6,400 | 191 | ||||||
Questar | 14,908 | 336 | ||||||
SJW | 864 | 24 | ||||||
South Jersey Industries | 2,698 | 153 | ||||||
Southwest Gas | 3,941 | 209 | ||||||
UGI | 9,564 | 385 | ||||||
UIL Holdings | 4,350 | 163 | ||||||
Unitil | 1,358 | 41 | ||||||
UNS Energy | 3,516 | 168 | ||||||
Vectren | 7,343 | 255 | ||||||
Westar Energy, Cl A | 11,370 | 357 | ||||||
WGL Holdings | 4,361 | 174 | ||||||
York Water | 752 | 16 | ||||||
|
| |||||||
10,709 | ||||||||
|
| |||||||
Total Common Stock | 337,924 | |||||||
|
| |||||||
�� | ||||||||
Number Of Warrants | ||||||||
WARRANTS — 0.0% | ||||||||
Magnum Hunter Resources, | 1,239 | — | ||||||
Tejon Ranch, Expires | ||||||||
08/31/2016 * | ||||||||
Expires 08/31/16 * | 96 | — | ||||||
|
| |||||||
Total Warrants | — | |||||||
|
| |||||||
Number Of Rights | ||||||||
RIGHTS — 0.0% | ||||||||
United States — 0.0% | ||||||||
Peapack Gladstone Financial, | 200 | — | ||||||
Trius Contingent Value, Expires | 2,885 | — | ||||||
|
| |||||||
Total Rights | — | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 9.1% | ||||||||
SEI Liquidity Fund, L.P. | ||||||||
0.080% ** † (B) | 31,444,610 | 31,445 | ||||||
|
| |||||||
Total Affiliated Partnership | 31,445 | |||||||
|
|
20 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Extended Market Index Fund
November 30, 2013
Description | Shares/ Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
CASH EQUIVALENT — 2.0% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010% ** † | 6,978,623 | $ | 6,979 | |||||
|
| |||||||
Total Cash Equivalent | 6,979 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (D) (E) — 0.1% |
| |||||||
U.S. Treasury Bills | ||||||||
0.000%, 12/12/2013 | 135 | 135 | ||||||
0.000%, 01/16/2014 | 120 | 120 | ||||||
0.000%, 02/20/2014 | 175 | 175 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 430 | |||||||
|
| |||||||
Total Investments — 109.0% | $ | 376,778 | ||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2013, are as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P Mid 400 Index E-MINI | 37 | Dec-2013 | $ | 257 | ||||||||
Russell 2000 Index E-MINI | 25 | Dec-2013 | 206 | |||||||||
|
| |||||||||||
$ | 463 | |||||||||||
|
|
For the period ended November 30, 2013, 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 $345,517 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2013. |
† | Investment in Affiliated Security (see Note 6). |
‡ | Real Estate Investment Trust. |
(A) | This security or a partial position of this security is on loan at November 30, 2013. The total value of securities on loan at November 30, 2013 was $30,554 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total value of such securities as of November 30, 2013 was $31,445 ($ Thousands). |
(C) | The Fund may purchase securities of certain companies with which it is affiliated to the extent these companies are represented in its benchmark index. |
(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
NY — New York
S&P — Standard & Poor’s
Ser — Series
The following is a list of the inputs used as of November 30, 2013, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 337,924 | $ | — | $ | — | $ | 337,924 | ||||||||
Affiliated Partnership | — | 31,445 | — | 31,445 | ||||||||||||
Warrants | — | — | — | 31,445 | ||||||||||||
Rights | — | — | — | 31,445 | ||||||||||||
Cash Equivalent | 6,979 | — | — | 6,979 | ||||||||||||
U.S. Treasury Obligations | — | 430 | — | 430 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 344,903 | $ | 31,875 | $ | — | $ | 376,778 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 463 | $ | — | $ | — | $ | 463 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2013, there were no transfers between Level 2 and Level 3 assets and liabilities.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
21 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 95.0% | ||||||||
Consumer Discretionary — 13.3% | ||||||||
Aeropostale* (A) | 21,400 | $ | 221 | |||||
AFC Enterprises* | 3,000 | 131 | ||||||
American Eagle Outfitters | 39,467 | 642 | ||||||
ANN* | 16,112 | 575 | ||||||
Arctic Cat | 34,390 | 1,935 | ||||||
Asbury Automotive Group* | 10,063 | 522 | ||||||
Ascent Capital Group, Cl A* | 6,264 | 539 | ||||||
Beazer Homes USA* (A) | 57,204 | 1,190 | ||||||
Belo, Cl A | 8,700 | 119 | ||||||
Big 5 Sporting Goods | 39,700 | 739 | ||||||
Big Lots* | 36,635 | 1,405 | ||||||
Biglari Holdings* | 3,161 | 1,533 | ||||||
BJ’s Restaurants* (A) | 17,271 | 512 | ||||||
Blue Nile* | 18,771 | 865 | ||||||
Body Central* | 5,600 | 22 | ||||||
Boyd Gaming* | 5,200 | 60 | ||||||
Bravo Brio Restaurant Group* | 29,100 | 465 | ||||||
Bright Horizons Family Solutions* | 24,654 | 859 | ||||||
Brinker International | 10,900 | 513 | ||||||
Brown Shoe | 33,100 | 852 | ||||||
Brunswick | 53,195 | 2,431 | ||||||
Cabela’s* | 11,085 | 679 | ||||||
Callaway Golf (A) | 50,918 | 413 | ||||||
Capella Education | 22,820 | 1,500 | ||||||
Career Education* | 62,900 | 318 | ||||||
Carmike Cinemas* | 6,300 | 151 | ||||||
Carriage Services, Cl A | 3,700 | 69 | ||||||
Carter’s (A) | 22,591 | 1,596 | ||||||
Cato, Cl A | 34,800 | 1,185 | ||||||
CEC Entertainment | 10,500 | 503 | ||||||
Children’s Place Retail Stores* | 8,880 | 488 | ||||||
Columbia Sportswear (A) | 3,483 | 242 | ||||||
Conn’s* (A) | 22,760 | 1,373 | ||||||
Container Store Group* | 28,970 | 1,179 | ||||||
Cooper Tire & Rubber (A) | 5,300 | 130 | ||||||
Core-Mark Holding | 14,398 | 1,063 | ||||||
Crocs | 37,100 | 512 | ||||||
CSS Industries | 10,800 | 336 | ||||||
CST Brands | 6,200 | 204 | ||||||
Dana Holdings | 45,625 | 925 | ||||||
Denny’s* | 22,600 | 163 | ||||||
Destination Maternity | 2,200 | 67 | ||||||
Destination XL Group* | 60,600 | 426 | ||||||
Dex Media* (A) | 20,700 | 150 | ||||||
Diamond Resorts International* | 12,503 | 223 | ||||||
Dick’s Sporting Goods (A) | 13,440 | 760 | ||||||
DreamWorks Animation SKG, Cl A (A) | 32,950 | 1,050 | ||||||
Drew Industries | 21,131 | 1,146 | ||||||
Eastman Kodak* (A) | 1,348 | 35 | ||||||
Entravision Communications, Cl A | 93,400 | 617 | ||||||
Ethan Allen Interiors (A) | 14,280 | 441 | ||||||
EW Scripps, Cl A* | 1,600 | 32 | ||||||
Express* | 29,618 | 729 | ||||||
Fiesta Restaurant Group* | 11,785 | 577 | ||||||
Five Below* | 39,795 | 2,116 | ||||||
Francesca’s Holdings* (A) | 29,817 | 585 | ||||||
Fred’s, Cl A (A) | 35,200 | 611 |
Description | Shares | Market Value ($ Thousands) | ||||||
FTD* | 7,800 | $ | 257 | |||||
Fuel Systems Solutions* | 6,500 | 89 | ||||||
GameStop, Cl A (A) | 6,375 | 308 | ||||||
Genesco* | 6,280 | 470 | ||||||
G-III Apparel Group* | 4,500 | 271 | ||||||
Gordmans Stores | 32,651 | 341 | ||||||
Gray Television* | 51,100 | 626 | ||||||
Haverty Furniture | 25,932 | 739 | ||||||
Helen of Troy* | 11,900 | 580 | ||||||
hhgregg* (A) | 24,100 | 359 | ||||||
Hibbett Sports* (A) | 32,954 | 2,128 | ||||||
HomeAway* (A) | 78,188 | 2,854 | ||||||
Hovnanian Enterprises, Cl A* (A) | 14,100 | 72 | ||||||
Ignite Restaurant Group* | 9,600 | 119 | ||||||
Imax* (A) | 51,227 | 1,579 | ||||||
Jack in the Box* | 28,560 | 1,352 | ||||||
JAKKS Pacific (A) | 12,900 | 83 | ||||||
Jones Group | 12,200 | 171 | ||||||
JoS. A. Bank Clothiers* (A) | 2,740 | 156 | ||||||
Journal Communications, Cl A | 42,700 | 413 | ||||||
K12* (A) | 40,100 | 844 | ||||||
Krispy Kreme Doughnuts* | 23,339 | 592 | ||||||
La-Z-Boy, Cl Z | 29,898 | 875 | ||||||
LGI Homes* | 27,200 | 419 | ||||||
Libbey (A) | 63,600 | 1,463 | ||||||
Life Time Fitness* (A) | 10,585 | 513 | ||||||
LKQ* | 23,069 | 765 | ||||||
Loral Space & Communications | 6,600 | 521 | ||||||
Lumber Liquidators Holdings* (A) | 19,615 | 1,975 | ||||||
M/I Homes* | 5,000 | 110 | ||||||
Marriott Vacations Worldwide* | 8,500 | 444 | ||||||
Matthews International, Cl A (A) | 37,120 | 1,566 | ||||||
MDC Partners, Cl A | 67,350 | 1,533 | ||||||
Men’s Wearhouse | 3,061 | 156 | ||||||
Meredith | 12,233 | 653 | ||||||
Modine Manufacturing* | 33,900 | 450 | ||||||
Monro Muffler Brake (A) | 14,910 | 791 | ||||||
Movado Group | 7,500 | 341 | ||||||
Multimedia Games Holding* | 20,500 | 595 | ||||||
NACCO Industries, Cl A | 6,600 | 427 | ||||||
National CineMedia | 100,025 | 1,866 | ||||||
Nautilus* | 15,200 | 115 | ||||||
Noodles, Cl A* (A) | 8,552 | 347 | ||||||
Nutrisystem (A) | 22,700 | 447 | ||||||
Orbitz Worldwide* | 100,200 | 693 | ||||||
Orient-Express Hotels, Cl A* | 18,000 | 265 | ||||||
Outerwall* (A) | 10,309 | 705 | ||||||
Overstock.com* (A) | 15,900 | 445 | ||||||
Oxford Industries (A) | 6,588 | 495 | ||||||
Penske Auto Group | 16,526 | 734 | ||||||
Pep Boys-Manny Moe & Jack (A) | 27,350 | 375 | ||||||
Perry Ellis International | 10,400 | 162 | ||||||
PetMed Express (A) | 39,700 | 627 | ||||||
Pier 1 Imports | 19,550 | 436 | ||||||
Pool | 13,720 | 769 | ||||||
Quiksilver* (A) | 24,769 | 220 | ||||||
ReachLocal* (A) | 64,900 | 821 | ||||||
Red Robin Gourmet Burgers | 24,258 | 1,934 | ||||||
Regis | 36,031 | 576 | ||||||
Remy International | 11,940 | 277 |
1 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Rent-A-Center, Cl A (A) | 47,211 | $ | 1,608 | |||||
Restoration Hardware Holdings* | 15,300 | 1,155 | ||||||
Ruth’s Hospitality Group | 31,600 | 454 | ||||||
Ryland Group | 13,503 | 534 | ||||||
Scholastic (A) | 15,200 | 464 | ||||||
Scientific Games, Cl A* | 62,439 | 1,121 | ||||||
Select Comfort* | 18,256 | 385 | ||||||
SFX Entertainment* (A) | 30,009 | 299 | ||||||
Shutterfly* | 54,287 | 2,564 | ||||||
Six Flags Entertainment | 33,269 | 1,238 | ||||||
Skechers U.S.A., Cl A* | 32,467 | 1,092 | ||||||
Smith & Wesson Holding* (A) | 30,200 | 357 | ||||||
SodaStream International* (A) | 13,696 | 787 | ||||||
Sonic* | 39,400 | 780 | ||||||
Stage Stores (A) | 15,900 | 334 | ||||||
Standard Motor Products | 21,200 | 736 | ||||||
Steiner Leisure* | 3,200 | 189 | ||||||
Stewart Enterprises, Cl A | 5,700 | 75 | ||||||
Stoneridge* | 63,500 | 820 | ||||||
TAL Education Group ADR | 50,234 | 990 | ||||||
TRI Pointe Homes* (A) | 21,820 | 433 | ||||||
Universal Electronics* | 7,662 | 291 | ||||||
Vail Resorts | 5,505 | 417 | ||||||
Valassis Communications (A) | 10,900 | 320 | ||||||
Vera Bradley* (A) | 21,178 | 532 | ||||||
Vince Holding* | 30,370 | 889 | ||||||
Vitamin Shoppe* | 22,249 | 1,207 | ||||||
Wet Seal, Cl A* | 176,200 | 587 | ||||||
Winnebago Industries* | 3,200 | 99 | ||||||
Wolverine World Wide (A) | 80,206 | 2,640 | ||||||
Zagg* (A) | 26,100 | 111 | ||||||
zulily, Cl A* (A) | 11,924 | 417 | ||||||
Zumiez* (A) | 14,109 | 392 | ||||||
|
| |||||||
103,350 | ||||||||
|
| |||||||
Consumer Staples — 2.7% | ||||||||
Andersons | 9,500 | 808 | ||||||
Annie’s* (A) | 11,127 | 511 | ||||||
Casey’s General Stores | 25,847 | 1,924 | ||||||
Central Garden and Pet, Cl A* | 14,889 | 117 | ||||||
Chefs’ Warehouse* | 27,124 | 696 | ||||||
Chiquita Brands International* | 125,800 | 1,330 | ||||||
Cott | 32,876 | 275 | ||||||
Darling International* | 66,978 | 1,388 | ||||||
Fairway Group Holdings, Cl A* | 7,416 | 141 | ||||||
Fresh Del Monte Produce | 67,906 | 1,902 | ||||||
Fresh Market* | 14,219 | 579 | ||||||
Ingles Markets, Cl A | 11,100 | 292 | ||||||
Ingredion | 5,051 | 349 | ||||||
J&J Snack Foods | 5,970 | 513 | ||||||
Lancaster Colony (A) | 4,500 | 390 | ||||||
Medifast | 19,600 | 531 | ||||||
Pantry* | 24,141 | 347 | ||||||
Pilgrim’s Pride* | 33,900 | 555 | ||||||
Post Holdings* | 700 | 36 | ||||||
Prestige Brands Holdings* | 41,762 | 1,472 | ||||||
Rite Aid* | 164,600 | 974 | ||||||
Roundy’s | 16,200 | 141 | ||||||
Seneca Foods, Cl A* | 3,900 | 122 | ||||||
Snyders-Lance | 11,680 | 337 | ||||||
Spartan Stores | 43,788 | 1,016 | ||||||
Sprouts Farmers Market* | 14,721 | 557 | ||||||
Susser Holdings (A) | 5,720 | 366 |
Description | Shares | Market Value ($ Thousands) | ||||||
TreeHouse Foods* | 6,336 | $ | 445 | |||||
Universal (A) | 22,400 | 1,168 | ||||||
USANA Health Sciences* | 14,100 | 1,031 | ||||||
WD-40 | 1,400 | 105 | ||||||
Weis Markets | 4,900 | 250 | ||||||
WhiteWave Foods, Cl A* | 9,171 | 195 | ||||||
|
| |||||||
20,863 | ||||||||
|
| |||||||
Energy — 6.2% | ||||||||
Abraxas Petroleum* (A) | 19,117 | 69 | ||||||
Alberta Oilsands* | 536,100 | 66 | ||||||
Alon USA Energy (A) | 24,100 | 333 | ||||||
Alpha Natural Resources* (A) | 50,800 | 339 | ||||||
Approach Resources* (A) | 104,932 | 2,223 | ||||||
Basic Energy Services | 81,300 | — | ||||||
Bonanza Creek Energy | 7,135 | 327 | ||||||
Bristow Group | 4,000 | 321 | ||||||
C&J Energy Services* | 12,946 | 307 | ||||||
Carrizo Oil & Gas* | 7,093 | 287 | ||||||
Cloud Peak Energy* | 77,643 | 1,284 | ||||||
Comstock Resources | 32,819 | 556 | ||||||
Delek US Holdings | 43,996 | 1,331 | ||||||
Dresser-Rand Group* | 24,773 | 1,398 | ||||||
Dril-Quip* | 23,653 | 2,568 | ||||||
Emerald Oil* | 45,067 | 327 | ||||||
Energy XXI Bermuda | 16,200 | 440 | ||||||
EPL Oil & Gas* | 57,585 | 1,650 | ||||||
Era Group* | 8,849 | 289 | ||||||
Evolution Petroleum | 16,500 | 204 | ||||||
Exterran Holdings | 12,690 | 413 | ||||||
Forest Oil* | 50,600 | 224 | ||||||
Forum Energy Technologies* (A) | 30,854 | 833 | ||||||
Goodrich Petroleum (A) | 11,244 | 216 | ||||||
Green Plains Renewable Energy | 37,800 | 653 | ||||||
Gulfmark Offshore, Cl A (A) | 29,257 | 1,444 | ||||||
Gulfport Energy* | 4,972 | 290 | ||||||
Helix Energy Solutions Group* | 21,035 | 467 | ||||||
Hornbeck Offshore Services* | 9,582 | 485 | ||||||
Key Energy Services | 132,439 | 1,038 | ||||||
Kinder Morgan Escrow | 69,898 | — | ||||||
Kodiak Oil & Gas* | 24,800 | 281 | ||||||
Laredo Petroleum Holdings* | 57,103 | 1,541 | ||||||
Matador Resources* (A) | 45,209 | 985 | ||||||
Matrix Service* | 11,800 | 262 | ||||||
McDermott International* | 97,939 | 798 | ||||||
Midcoast Energy Partners* | 23,074 | 415 | ||||||
Navigator Holdings* | 35,700 | 755 | ||||||
Newpark Resources* (A) | 89,190 | 1,076 | ||||||
Northern Oil And Gas* | 21,323 | 340 | ||||||
Nuverra Environmental Solutions* (A) | 554,700 | 954 | ||||||
Oasis Petroleum* | 58,955 | 2,720 | ||||||
Oil States International* | 4,630 | 474 | ||||||
Parker Drilling* | 223,408 | 1,772 | ||||||
Phillips 66 Partners | 11,949 | 394 | ||||||
Pioneer Energy Services* | 113,189 | 817 | ||||||
Quicksilver Resources* (A) | 70,100 | 205 | ||||||
Renewable Energy Group* | 49,700 | 565 | ||||||
REX American Resources* | 1,500 | 49 | ||||||
Rosetta Resources* | 31,519 | 1,594 | ||||||
Scorpio Tankers | 122,000 | 1,401 |
2 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
SEACOR Holdings (A) | 3,292 | $ | 306 | |||||
StealthGas* (A) | 52,700 | 647 | ||||||
Stone Energy* | 6,000 | 198 | ||||||
Superior Energy Services | 11,922 | 304 | ||||||
Swift Energy* (A) | 25,688 | 342 | ||||||
Synergy Resources* | 41,604 | 393 | ||||||
Targa Resources | 6,816 | 553 | ||||||
Tesco* | 56,142 | 1,004 | ||||||
TETRA Technologies* | 40,360 | 498 | ||||||
TGC Industries | 32,755 | 236 | ||||||
Tidewater | 15,021 | 857 | ||||||
Triangle Petroleum* | 17,300 | 184 | ||||||
Unit* | 16,948 | 816 | ||||||
USEC* (A) | 1,472 | 14 | ||||||
Vaalco Energy* | 120,700 | 730 | ||||||
W&T Offshore (A) | 23,300 | 401 | ||||||
Western Refining (A) | 30,100 | 1,176 | ||||||
Willbros Group* | 68,600 | 601 | ||||||
World Fuel Services (A) | 36,482 | 1,401 | ||||||
|
| |||||||
48,441 | ||||||||
|
| |||||||
Financials — 19.7% | ||||||||
1st Source | 6,200 | 198 | ||||||
Acadia Realty Trust‡ | 18,845 | 489 | ||||||
Affiliated Managers Group* | 910 | 182 | ||||||
Agree Realty‡ | 11,500 | 337 | ||||||
Alexandria Real Estate Equities‡ | 3,450 | 218 | ||||||
Allied World Assurance Holdings | 4,004 | 451 | ||||||
Altisource Residential, Cl B‡ | 28,711 | 800 | ||||||
Ambac Financial Group* | 10,100 | 239 | ||||||
American Assets Trust‡ | 14,050 | 438 | ||||||
American Campus Communities‡ | 12,470 | 404 | ||||||
American Capital Mortgage Investment‡ | 24,200 | 457 | ||||||
American Equity Investment Life Holding (A) | 62,700 | 1,487 | ||||||
AMERISAFE | 2,000 | 88 | ||||||
Amtrust Financial Services (A) | 18,568 | 776 | ||||||
Anworth Mortgage Asset‡ | 113,935 | 507 | ||||||
Apartment Investment & Management, Cl A‡ | 18,431 | 463 | ||||||
Apollo Investment | 14,400 | 130 | ||||||
Ares Capital | 1,950 | 36 | ||||||
Argo Group International Holdings | 21,890 | 1,035 | ||||||
Arlington Asset Investment, Cl A | 10,300 | 275 | ||||||
Artisan Partners Asset Management, Cl A | 6,118 | 378 | ||||||
Ashford Hospitality Prime‡* | 10,720 | 219 | ||||||
Ashford Hospitality Trust‡ | 53,600 | 440 | ||||||
Aspen Insurance Holdings | 6,100 | 246 | ||||||
Associated Banc | 14,000 | 241 | ||||||
Associated Estates Realty‡ | 14,400 | 229 | ||||||
AvalonBay Communities‡ | 4,862 | 576 | ||||||
Banco Latinoamericano de Comercio Exterior, Cl E | 46,900 | 1,263 | ||||||
Bancorpsouth (A) | 69,900 | 1,671 | ||||||
Bank of the Ozarks (A) | 34,574 | 1,941 | ||||||
BankUnited | 27,733 | 895 |
Description | Shares | Market Value ($ Thousands) | ||||||
Banner | 39,965 | $ | 1,737 | |||||
Berkshire Hills Bancorp | 17,665 | 483 | ||||||
BGC Partners, Cl A | 10,500 | 62 | ||||||
BioMed Realty Trust‡ (A) | 17,950 | 334 | ||||||
BlackRock Kelso Capital | 80,300 | 794 | ||||||
Boston Private Financial Holdings | 75,991 | 904 | ||||||
Boston Properties‡ | 3,628 | 361 | ||||||
Brandywine Realty Trust‡ | 23,900 | 317 | ||||||
Brixmor Property Group‡ | 950 | 19 | ||||||
Brookfield Properties | 7,100 | 136 | ||||||
Camden National | 4,600 | 200 | ||||||
Campus Crest Communities‡ (A) | 115,670 | 1,151 | ||||||
Capital Bank Financial, Cl A* | 8,300 | 194 | ||||||
Capstead Mortgage‡ | 21,600 | 260 | ||||||
Cardinal Financial | 20,564 | 365 | ||||||
CBL & Associates Properties‡ | 33,371 | 603 | ||||||
Cedar Realty Trust‡ | 28,900 | 168 | ||||||
Central Pacific Financial | 75,410 | 1,499 | ||||||
Chatham Lodging Trust‡ | 3,100 | 64 | ||||||
Chesapeake Lodging Trust‡ | 25,300 | 604 | ||||||
City Holding | 5,400 | 266 | ||||||
City National | 5,140 | 392 | ||||||
CNO Financial Group | 240,550 | 4,070 | ||||||
CoBiz Financial | 47,870 | 567 | ||||||
Cohen & Steers (A) | 17,058 | 684 | ||||||
Columbia Banking System (A) | 5,400 | 150 | ||||||
CommonWealth‡ | 11,800 | 282 | ||||||
Community Bank System (A) | 5,300 | 206 | ||||||
Community Trust Bancorp | 8,400 | 384 | ||||||
CoreSite Realty‡ | 24,150 | 782 | ||||||
Cousins Properties‡ | 13,600 | 146 | ||||||
Credit Acceptance | 2,200 | 282 | ||||||
CubeSmart‡ | 28,881 | 468 | ||||||
Customers Bancorp* | 15,200 | 265 | ||||||
CYS Investments‡ (A) | 129,624 | 1,037 | ||||||
DDR‡ | 16,800 | 269 | ||||||
Dime Community Bancshares | 27,309 | 459 | ||||||
Douglas Emmett‡ | 24,621 | 566 | ||||||
Duke Realty‡ | 10,550 | 160 | ||||||
Dynex Capital‡ | 28,900 | 242 | ||||||
Eagle Bancorp* | 38,023 | 1,240 | ||||||
East West Bancorp | 17,710 | 607 | ||||||
EastGroup Properties‡ | 28,900 | 1,751 | ||||||
Education Realty Trust‡ | 89,704 | 780 | ||||||
Employers Holdings | 63,388 | 2,069 | ||||||
Endurance Specialty Holdings | 19,527 | 1,111 | ||||||
Equity One‡ (A) | 23,026 | 516 | ||||||
Equity Residential‡ | 16,387 | 845 | ||||||
Essex Property Trust‡ | 1,050 | 159 | ||||||
Evercore Partners, Cl A | 1,500 | 82 | ||||||
Extra Space Storage‡ | 3,050 | 128 | ||||||
Ezcorp, Cl A* | 8,000 | 93 | ||||||
FBR* | 36,375 | 1,023 | ||||||
Federal Agricultural Mortgage, Cl C | 9,600 | 336 | ||||||
Federated Investors, Cl B (A) | 15,189 | 415 | ||||||
FelCor Lodging Trust‡* | 102,100 | 747 | ||||||
Financial Engines (A) | 25,417 | 1,722 | ||||||
First Commonwealth Financial | 86,800 | 812 | ||||||
First Financial Holdings | 13,656 | 900 | ||||||
First Horizon National (A) | 45,121 | 506 |
3 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
First Industrial Realty Trust‡ | 13,200 | $ | 230 | |||||
First Interstate Bancsystem, Cl A | 18,400 | 515 | ||||||
First Merchants | 16,500 | 350 | ||||||
First Midwest Bancorp | 94,699 | 1,739 | ||||||
First NBC Bank Holding* | 12,066 | 348 | ||||||
First Potomac Realty Trust‡ | 2,100 | 25 | ||||||
Flagstar Bancorp* | 14,400 | 264 | ||||||
Flushing Financial | 28,000 | 605 | ||||||
FNB (Pennsylvania) | 13,400 | 170 | ||||||
Forest City Enterprises, Cl A* | 20,640 | 403 | ||||||
Forestar Group* | 11,050 | 214 | ||||||
Fulton Financial | 24,000 | 314 | ||||||
FXCM, Cl A | 22,358 | 372 | ||||||
General Growth Properties‡ | 21,826 | 453 | ||||||
Geo Group‡ | 36,400 | 1,194 | ||||||
Glacier Bancorp | 23,640 | 708 | ||||||
Glimcher Realty Trust‡ | 31,200 | 303 | ||||||
Government Properties Income Trust‡ | 39,300 | 975 | ||||||
Hancock Holding | 24,130 | 849 | ||||||
Hanmi Financial | 7,100 | 146 | ||||||
Hanover Insurance Group | 32,859 | 1,982 | ||||||
Hatteras Financial‡ | 56,356 | 942 | ||||||
HCI Group | 3,000 | 149 | ||||||
HCP‡ | 17,248 | 634 | ||||||
Health Care‡ | 8,600 | 482 | ||||||
Hercules Technology Growth Capital (A) | 5,300 | 90 | ||||||
Highwoods Properties‡ | 27,527 | 989 | ||||||
Home BancShares | 4,600 | 166 | ||||||
Home Loan Servicing Solutions | 29,900 | 696 | ||||||
HomeStreet | 4,800 | 102 | ||||||
Horace Mann Educators | 93,244 | 2,864 | ||||||
Hospitality Properties Trust‡ | 8,200 | 223 | ||||||
Host Hotels & Resorts‡ | 28,059 | 517 | ||||||
Iberiabank | 17,539 | 1,100 | ||||||
Infinity Property & Casualty | 26,823 | 1,914 | ||||||
Inland Real Estate‡ | 71,800 | 778 | ||||||
International Bancshares | 29,400 | 767 | ||||||
Investment Technology Group* | 60,200 | 1,179 | ||||||
Investors Bancorp | 16,562 | 399 | ||||||
Investors Real Estate Trust‡ | 6,900 | 61 | ||||||
Janus Capital Group (A) | 35,400 | 385 | ||||||
Jones Lang LaSalle | 22,594 | 2,208 | ||||||
Kennedy-Wilson Holdings | 61,000 | 1,256 | ||||||
Kilroy Realty‡ | 2,050 | 103 | ||||||
Kimco Realty‡ | 19,550 | 403 | ||||||
Kite Realty Group Trust‡ | 10,200 | 67 | ||||||
LaSalle Hotel Properties‡ | 13,000 | 407 | ||||||
Lexington Realty Trust‡ (A) | 127,670 | 1,311 | ||||||
Liberty Property Trust‡ | 2,300 | 75 | ||||||
LPL Financial Holdings | 24,703 | 1,059 | ||||||
LTC Properties‡ | 17,600 | 678 | ||||||
Macerich‡ | 8,636 | 492 | ||||||
Mack-Cali Realty‡ | 29,900 | 609 | ||||||
Maiden Holdings | 125,600 | 1,590 | ||||||
MainSource Financial Group | 29,400 | 529 | ||||||
MarketAxess Holdings | 18,932 | 1,332 | ||||||
Meadowbrook Insurance Group | 179,200 | 1,324 | ||||||
Medallion Financial | 23,200 | 412 | ||||||
MFA Mortgage Investments‡ | 76,627 | 559 | ||||||
MGIC Investment | 8,000 | 65 |
Description | Shares | Market Value ($ Thousands) | ||||||
Mid-America Apartment Communities‡ | 8,625 | $ | 520 | |||||
Montpelier Re Holdings | 27,700 | 805 | ||||||
MSCI, Cl A* | 19,784 | 878 | ||||||
National Health Investors‡ (A) | 2,500 | 147 | ||||||
National Penn Bancshares | 79,615 | 899 | ||||||
NBT Bancorp | 26,100 | 677 | ||||||
Nelnet, Cl A | 64,800 | 2,916 | ||||||
Northfield Bancorp | 63,846 | 830 | ||||||
OceanFirst Financial | 10,300 | 192 | ||||||
Ocwen Financial* | 21,700 | 1,229 | ||||||
OFG Bancorp | 37,451 | 644 | ||||||
Old National Bancorp | 80,883 | 1,258 | ||||||
OmniAmerican Bancorp* | 13,000 | 286 | ||||||
One Liberty Properties‡ | 2,100 | 43 | ||||||
Oritani Financial | 11,200 | 182 | ||||||
PacWest Bancorp (A) | 37,666 | 1,550 | ||||||
Pebblebrook Hotel Trust‡ | 45,436 | 1,378 | ||||||
PennantPark Investment | 83,829 | 1,020 | ||||||
PennyMac Mortgage Investment Trust‡ | 24,200 | 546 | ||||||
PHH* | 9,100 | 219 | ||||||
PICO Holdings* | 22,266 | 540 | ||||||
Pinnacle Financial Partners | 3,600 | 117 | ||||||
Piper Jaffray* | 15,700 | 597 | ||||||
Platinum Underwriters Holdings | 46,352 | 2,939 | ||||||
Popular | 15,600 | 446 | ||||||
Post Properties‡ | 6,420 | 275 | ||||||
Potlatch‡ | 13,000 | 518 | ||||||
Primerica | 18,800 | 809 | ||||||
ProAssurance | 12,099 | 582 | ||||||
Prologis‡ | 23,117 | 877 | ||||||
Prospect Capital | 36,100 | 412 | ||||||
Prosperity Bancshares (A) | 7,335 | 470 | ||||||
Protective Life | 10,500 | 504 | ||||||
Provident Financial Services | 31,400 | 614 | ||||||
PS Business Parks‡ | 5,600 | 439 | ||||||
Public Storage‡ | 3,821 | 583 | ||||||
Radian Group (A) | 36,315 | 518 | ||||||
RAIT Financial Trust‡ | 6,566 | 54 | ||||||
Ramco-Gershenson Properties‡ | 56,700 | 907 | ||||||
RE, Cl A* (A) | 28,348 | 861 | ||||||
Regency Centers‡ | 4,415 | 207 | ||||||
Reinsurance Group of America, Cl A | 6,245 | 468 | ||||||
Republic Bancorp, Cl A (A) | 11,400 | 283 | ||||||
Retail Opportunity Investments‡ (A) | 12,200 | 178 | ||||||
RLJ Lodging Trust‡ | 10,700 | 258 | ||||||
Rouse Properties‡ (A) | 3,000 | 73 | ||||||
Sabra Health Care‡ | 28,566 | 762 | ||||||
Safeguard Scientifics* | 28,339 | 529 | ||||||
Selective Insurance Group | 20,885 | 589 | ||||||
Signature Bank NY | 15,348 | 1,631 | ||||||
Simon Property Group‡ | 9,991 | 1,497 | ||||||
SL Green Realty‡ | 2,545 | 230 | ||||||
Solar Capital | 2,100 | 49 | ||||||
Southside Bancshares (A) | 9,765 | 279 | ||||||
Sovran Self Storage‡ | 4,000 | 267 | ||||||
St. Joe* (A) | 23,461 | 416 | ||||||
STAG Industrial‡ | 11,600 | 252 | ||||||
Starwood Property Trust‡ | 28,000 | 780 |
4 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Stewart Information Services | 2,500 | $ | 80 | |||||
Stifel Financial* (A) | 18,105 | 811 | ||||||
Sunstone Hotel Investors‡ | 60,650 | 793 | ||||||
Susquehanna Bancshares | 67,987 | 856 | ||||||
SVB Financial Group | 9,270 | 938 | ||||||
Symetra Financial | 37,400 | 717 | ||||||
Taubman Centers‡ | 2,850 | 186 | ||||||
TCF Financial (A) | 36,988 | 580 | ||||||
TCP Capital | 7,300 | 126 | ||||||
Texas Capital Bancshares* | 9,055 | 509 | ||||||
THL Credit | 31,900 | 541 | ||||||
TICC Capital | 44,500 | 481 | ||||||
Tompkins Financial | 4,200 | 210 | ||||||
Two Harbors Investment‡ | 37,800 | 350 | ||||||
UDR‡ | 12,000 | 279 | ||||||
UMB Financial | 700 | 45 | ||||||
Umpqua Holdings (A) | 34,435 | 634 | ||||||
Union First Market Bankshares (A) | 15,200 | 392 | ||||||
United Community Banks* | 75,200 | 1,380 | ||||||
Universal Health Realty Income Trust‡ | 1,300 | 55 | ||||||
Validus Holdings | 23,800 | 953 | ||||||
Ventas‡ | 7,390 | 420 | ||||||
ViewPoint Financial Group | 30,700 | 779 | ||||||
Virginia Commerce Bancorp* | 8,900 | 156 | ||||||
Virtus Investment Partners* | 900 | 187 | ||||||
Vornado Realty Trust‡ | 5,950 | 523 | ||||||
Walter Investment Management* | 23,800 | 907 | ||||||
Washington‡ (A) | 7,900 | 188 | ||||||
Webster Financial | 8,000 | 236 | ||||||
Weingarten Realty Investors‡ (A) | 5,950 | 170 | ||||||
WesBanco | 7,700 | 243 | ||||||
Western Alliance Bancorp* | 28,765 | 668 | ||||||
Winthrop Realty Trust‡ | 75,900 | 877 | ||||||
WisdomTree Investments* | 55,608 | 852 | ||||||
World Acceptance* (A) | 1,500 | 139 | ||||||
WSFS Financial | 22,195 | 1,685 | ||||||
|
| |||||||
152,933 | ||||||||
|
| |||||||
Health Care — 12.1% | ||||||||
Acadia Healthcare* (A) | 77,401 | 3,576 | ||||||
ACADIA Pharmaceuticals* (A) | 27,993 | 652 | ||||||
Acceleron Pharma* | 14,957 | 326 | ||||||
Accuray* (A) | 210,100 | 1,677 | ||||||
AcelRx Pharmaceuticals* (A) | 59,800 | 585 | ||||||
Achillion Pharmaceuticals* (A) | 92,500 | 320 | ||||||
Acorda Therapeutics* | 2,100 | 73 | ||||||
Addus HomeCare* | 31,800 | 922 | ||||||
Aegerion Pharmaceuticals | 12,922 | 917 | ||||||
Affymax* (A) | 84,800 | 71 | ||||||
Akorn* (A) | 38,351 | 988 | ||||||
Alere* | 31,600 | 1,034 | ||||||
Align Technology* | 18,300 | 1,000 | ||||||
AMAG Pharmaceuticals* | 27,950 | 686 | ||||||
Amedisys* (A) | 25,200 | 410 | ||||||
AMN Healthcare Services* | 6,500 | 90 | ||||||
Amsurg, Cl A | 15,249 | 737 | ||||||
Analogic | 3,300 | 319 | ||||||
Array BioPharma* (A) | 24,700 | 141 | ||||||
ArthroCare | 10,200 | 385 |
Description | Shares | Market Value ($ Thousands) | ||||||
athenahealth* (A) | 15,940 | $ | 2,091 | |||||
Bio-Reference Labs* (A) | 5,100 | 149 | ||||||
Bruker* | 28,716 | 555 | ||||||
Cadence Pharmaceuticals* | 28,100 | 253 | ||||||
Cambrex* | 19,100 | 372 | ||||||
Cantel Medical | 5,700 | 213 | ||||||
Capital Senior Living* | 18,436 | 412 | ||||||
Cardiovascular Systems* | 7,730 | 257 | ||||||
Celldex Therapeutics (A) | 41,511 | 1,152 | ||||||
Centene* | 15,443 | 922 | ||||||
Charles River Laboratories International* | 12,023 | 627 | ||||||
Chimerix* | 23,348 | 374 | ||||||
Computer Programs & Systems | 5,200 | 320 | ||||||
CONMED | 36,338 | 1,479 | ||||||
Cross Country Healthcare* | 31,800 | 243 | ||||||
Cubist Pharmaceuticals* | 8,444 | 579 | ||||||
Depomed* | 30,800 | 272 | ||||||
DexCom* | 31,669 | 1,048 | ||||||
Emergent Biosolutions* | 46,400 | 1,042 | ||||||
Emeritus | 37,017 | 833 | ||||||
Endocyte* (A) | 4,600 | 53 | ||||||
Endologix | 91,219 | 1,630 | ||||||
Ensign Group (A) | 16,000 | 723 | ||||||
Exact Sciences | 46,339 | 569 | ||||||
ExamWorks Group* (A) | 62,565 | 1,846 | ||||||
Five Star Quality Care* | 40,700 | 201 | ||||||
Fluidigm* | 38,030 | 1,209 | ||||||
Furiex Pharmaceuticals* | 19,833 | 893 | ||||||
GenMark Diagnostics* | 42,600 | 507 | ||||||
Gentiva Health Services | 58,800 | 726 | ||||||
Greatbatch* | 37,835 | 1,537 | ||||||
Haemonetics* | 13,156 | 556 | ||||||
Halozyme Therapeutics (A) | 56,911 | 840 | ||||||
Hanger* | 2,000 | 78 | ||||||
HealthSouth (A) | 56,385 | 2,018 | ||||||
HeartWare International* (A) | 13,290 | 1,281 | ||||||
Hill-Rom Holdings | 7,100 | 294 | ||||||
Hi-Tech Pharmacal | 7,900 | 343 | ||||||
HMS Holdings* (A) | 30,503 | 699 | ||||||
Hyperion Therapeutics* (A) | 4,698 | 120 | ||||||
ICON* | 28,670 | 1,093 | ||||||
ICU Medical* | 8,400 | 552 | ||||||
Impax Laboratories* | 9,800 | 236 | ||||||
Imris | 124,420 | 182 | ||||||
Incyte (A) | 11,462 | 534 | ||||||
Insmed* | 27,600 | 447 | ||||||
Insulet* (A) | 30,971 | 1,146 | ||||||
Intercept Pharmaceuticals* | 4,701 | 246 | ||||||
Intrexon* (A) | 11,100 | 254 | ||||||
Invacare | 14,000 | 314 | ||||||
IPC The Hospitalist (A) | 5,533 | 348 | ||||||
Ironwood Pharmaceuticals, Cl A* (A) | 32,830 | 375 | ||||||
Isis Pharmaceuticals* (A) | 34,348 | 1,331 | ||||||
Jazz Pharmaceuticals* | 9,230 | 1,079 | ||||||
Karyopharm Therapeutics* | 5,783 | 94 | ||||||
Keryx Biopharmaceuticals* (A) | 173,243 | 2,406 | ||||||
Kindred Healthcare | 21,800 | 367 | ||||||
KYTHERA Biopharmaceuticals* (A) | 7,321 | 285 | ||||||
Landauer | 5,294 | 281 |
5 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
LDR Holding* | 35,309 | $ | 777 | |||||
Magellan Health Services* | 12,395 | 759 | ||||||
Masimo* | 37,754 | 1,081 | ||||||
Medical Action Industries* | 32,300 | 278 | ||||||
Medivation* | 7,221 | 455 | ||||||
MEDNAX (A) | 14,685 | 1,627 | ||||||
Merit Medical Systems* | 24,011 | 393 | ||||||
MiMedx Group* | 15,100 | 95 | ||||||
Momenta Pharmaceuticals* | 38,770 | 690 | ||||||
Natus Medical* | 18,000 | 414 | ||||||
Nektar Therapeutics* | 39,440 | 495 | ||||||
Neurocrine Biosciences* (A) | 37,800 | 371 | ||||||
NewLink Genetics* (A) | 33,199 | 747 | ||||||
Novadaq Technologies* (A) | 126,208 | 2,101 | ||||||
NPS Pharmaceuticals* | 37,167 | 982 | ||||||
NuVasive* | 3,100 | 103 | ||||||
Orexigen Therapeutics* | 120,087 | 820 | ||||||
Orthofix International* | 21,800 | 471 | ||||||
Owens & Minor (A) | 7,785 | 297 | ||||||
Pacira Pharmaceuticals* (A) | 21,711 | 1,198 | ||||||
PAREXEL International* | 16,350 | 674 | ||||||
PDL BioPharma (A) | 70,100 | 685 | ||||||
PerkinElmer | 16,156 | 615 | ||||||
Pharmacyclics* | 2,290 | 285 | ||||||
PharMerica | 55,000 | 1,242 | ||||||
PhotoMedex* (A) | 12,200 | 149 | ||||||
Portola Pharmaceuticals* | 14,117 | 353 | ||||||
Premier, Cl A* | 11,766 | 387 | ||||||
Providence Service* | 16,900 | 463 | ||||||
Puma Biotechnology* (A) | 26,051 | 1,297 | ||||||
Questcor Pharmaceuticals (A) | 8,900 | 516 | ||||||
Quidel* (A) | 38,061 | 958 | ||||||
Repligen* | 33,700 | 454 | ||||||
Rigel Pharmaceuticals* (A) | 103,000 | 274 | ||||||
Sagent Pharmaceuticals* | 17,265 | 392 | ||||||
Santarus* | 19,500 | 627 | ||||||
Sciclone Pharmaceuticals* | 37,200 | 182 | ||||||
Select Medical Holdings | 35,900 | 311 | ||||||
Sirona Dental Systems* | 8,355 | 575 | ||||||
Skilled Healthcare Group, Cl A* | 21,800 | 112 | ||||||
Spectranetics* | 41,024 | 954 | ||||||
STERIS (A) | 8,900 | 411 | ||||||
Surgical Care Affiliates* | 32,372 | 985 | ||||||
SurModics* | 6,100 | 147 | ||||||
Symmetry Medical* | 88,800 | 871 | ||||||
Synageva BioPharma (A) | 10,953 | 662 | ||||||
Syneron Medical* | 69,654 | 814 | ||||||
Synta Pharmaceuticals* (A) | 43,160 | 219 | ||||||
Tandem Diabetes Care* | 34,828 | 766 | ||||||
Team Health Holdings* | 21,424 | 1,001 | ||||||
TearLab* (A) | 23,284 | 218 | ||||||
Techne | 9,094 | 778 | ||||||
Teleflex | 4,556 | 448 | ||||||
TESARO* | 18,933 | 739 | ||||||
Threshold Pharmaceuticals* (A) | 60,486 | 298 | ||||||
Tornier* | 26,413 | 478 | ||||||
Triple-S Management, Cl B* | 4,000 | 81 | ||||||
Unilife* (A) | 215,252 | 958 | ||||||
Veeva Systems, Cl A* | 10,844 | 439 | ||||||
Vocera Communications* | 21,542 | 383 | ||||||
Volcano* (A) | 17,121 | 390 | ||||||
WellCare Health Plans* | 21,642 | 1,608 |
Description | Shares | Market Value ($ Thousands) | ||||||
Zeltiq Aesthetics* | 13,856 | $ | 243 | |||||
|
| |||||||
94,391 | ||||||||
|
| |||||||
Industrials — 18.1% | ||||||||
AAON | 4,200 | 129 | ||||||
AAR | 17,600 | 549 | ||||||
ACCO Brands* (A) | 84,300 | 507 | ||||||
Actuant, Cl A (A) | 84,277 | 3,294 | ||||||
Acuity Brands (A) | 13,908 | 1,426 | ||||||
Aegean Marine Petroleum Network | 56,900 | 610 | ||||||
Air Transport Services Group* | 110,429 | 859 | ||||||
Aircastle | 69,400 | 1,299 | ||||||
Alamo Group | 4,800 | 282 | ||||||
Alaska Air Group | 3,800 | 295 | ||||||
Albany International, Cl A | 21,200 | 779 | ||||||
Alliant Techsystems | 7,900 | 958 | ||||||
Altra Holdings | 11,400 | 346 | ||||||
American Railcar Industries (A) | 6,900 | 299 | ||||||
American Science & Engineering | 4,509 | 323 | ||||||
American Woodmark* | 6,400 | 231 | ||||||
Ampco-Pittsburgh | 9,900 | 182 | ||||||
Apogee Enterprises | 16,900 | 606 | ||||||
Arkansas Best | 11,300 | 368 | ||||||
Astec Industries | 10,977 | 402 | ||||||
Astronics* | 3,400 | 178 | ||||||
Atlas Air Worldwide Holdings* | 5,000 | 192 | ||||||
Avis Budget Group* | 16,402 | 604 | ||||||
AZZ | 6,666 | 326 | ||||||
Barnes Group | 16,905 | 617 | ||||||
Barrett Business Services | 5,700 | 482 | ||||||
Beacon Roofing Supply* (A) | 29,783 | 1,107 | ||||||
Brady, Cl A | 5,496 | 172 | ||||||
Brink’s | 25,600 | 858 | ||||||
Carlisle | 26,007 | 1,912 | ||||||
Celadon Group | 15,442 | 322 | ||||||
Chart Industries* | 10,675 | 1,039 | ||||||
CIRCOR International | 16,965 | 1,346 | ||||||
Clean Harbors* | 21,110 | 1,114 | ||||||
Coleman Cable | 19,400 | 476 | ||||||
Comfort Systems USA | 13,561 | 278 | ||||||
Corporate Executive Board | 27,165 | 2,000 | ||||||
CRA International* | 11,074 | 205 | ||||||
Cubic | 11,484 | 643 | ||||||
Curtiss-Wright | 39,377 | 2,078 | ||||||
Deluxe | 8,200 | 407 | ||||||
Diana Shipping* (A) | 53,504 | 613 | ||||||
DigitalGlobe* | 43,684 | 1,730 | ||||||
Ducommun* | 8,800 | 223 | ||||||
DXP Enterprises* | 7,517 | 737 | ||||||
Dycom Industries* | 56,364 | 1,595 | ||||||
EMCOR Group | 69,305 | 2,753 | ||||||
Encore Wire | 8,675 | 436 | ||||||
EnerNOC* | 14,900 | 256 | ||||||
EnerSys (A) | 1,000 | 71 | ||||||
Ennis | 7,900 | 146 | ||||||
EnPro Industries (A) | 7,408 | 419 | ||||||
Erickson Air-Crane* (A) | 3,100 | 59 | ||||||
Exponent | 3,500 | 271 | ||||||
Flow International | 81,000 | 326 | ||||||
Fortune Brands Home & Security | 23,753 | 1,036 |
6 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
FreightCar America | 2,600 | $ | 61 | |||||
FTI Consulting* (A) | 53,643 | 2,409 | ||||||
G&K Services, Cl A | 34,533 | 2,080 | ||||||
Genco Shipping & Trading* (A) | 4,800 | 13 | ||||||
Generac Holdings | 29,575 | 1,575 | ||||||
General Cable | 13,766 | 401 | ||||||
Genesee & Wyoming, Cl A | 18,599 | 1,789 | ||||||
Gibraltar Industries* | 26,100 | 462 | ||||||
Global Brass & Copper Holdings | 13,524 | 223 | ||||||
Global Power Equipment Group (A) | 29,800 | 582 | ||||||
Graco | 13,873 | 1,071 | ||||||
GrafTech International* (A) | 153,953 | 1,774 | ||||||
Granite Construction | 14,278 | 446 | ||||||
Great Lakes Dredge & Dock | 135,300 | 1,206 | ||||||
Greenbrier* | 8,700 | 272 | ||||||
H&E Equipment Services | 3,000 | 86 | ||||||
Hawaiian Holdings (A) | 87,270 | 796 | ||||||
Heico, Cl A | 45,880 | 1,902 | ||||||
HEICO | 17,715 | 1,011 | ||||||
Heritage-Crystal Clean* | 49,484 | 921 | ||||||
Hexcel* | 71,674 | 3,149 | ||||||
Hub Group, Cl A* | 29,083 | 1,095 | ||||||
Hyster-Yale Materials Handling | 12,400 | 1,034 | ||||||
ICF International* | 17,800 | 644 | ||||||
IDEX | 14,615 | 1,043 | ||||||
Insperity | 15,500 | 546 | ||||||
Interface, Cl A | 75,509 | 1,514 | ||||||
ITT | 15,417 | 629 | ||||||
JetBlue Airways* (A) | 182,300 | 1,621 | ||||||
John Bean Technologies | 17,100 | 505 | ||||||
Kadant | 33,415 | 1,384 | ||||||
Kaman | 10,644 | 424 | ||||||
KAR Auction Services | 43,066 | 1,188 | ||||||
Kelly Services, Cl A | 18,800 | 437 | ||||||
Kennametal | 26,544 | 1,260 | ||||||
KEYW Holding* (A) | 33,141 | 411 | ||||||
Kforce | 33,600 | 678 | ||||||
Kirby* | 21,802 | 2,059 | ||||||
Korn/Ferry International* | 3,800 | 88 | ||||||
Landstar System | 12,732 | 715 | ||||||
Layne Christensen* | 3,700 | 62 | ||||||
LB Foster, Cl A | 6,900 | 323 | ||||||
Lincoln Electric Holdings | 12,040 | 861 | ||||||
Lindsay Manufacturing (A) | 10,159 | 776 | ||||||
LS Starrett, Cl A | 700 | 9 | ||||||
Marten Transport | 32,226 | 626 | ||||||
Meritor* | 9,800 | 78 | ||||||
Metalico* | 26,000 | 46 | ||||||
Middleby* | 11,769 | 2,599 | ||||||
Mine Safety Appliances | 5,300 | 264 | ||||||
Mobile Mini* | 31,926 | 1,290 | ||||||
Moog, Cl A* | 11,701 | 803 | ||||||
MRC Global* | 15,200 | 465 | ||||||
MSC Industrial Direct, Cl A | 8,865 | 681 | ||||||
Mueller Industries | 5,784 | 353 | ||||||
Mueller Water Products, Cl A | 68,200 | 587 | ||||||
MYR Group* | 58,900 | 1,497 | ||||||
Navigant Consulting* | 18,200 | 357 | ||||||
Nordson | 13,850 | 999 | ||||||
Northwest Pipe* | 12,910 | 503 | ||||||
Old Dominion Freight Line* | 50,769 | 2,616 |
Description | Shares | Market Value ($ Thousands) | ||||||
Orbital Sciences* | 23,300 | $ | 547 | |||||
Orion Marine Group* | 96,534 | 1,146 | ||||||
PGT* | 39,100 | 391 | ||||||
Pike Electric | 22,500 | 236 | ||||||
Ply Gem Holdings* | 24,330 | 427 | ||||||
Polypore International* (A) | 25,058 | 952 | ||||||
PowerSecure International* | 15,800 | 278 | ||||||
Primoris Services | 35,607 | 1,024 | ||||||
Quad, Cl A | 21,025 | 548 | ||||||
Quanex Building Products | 5,446 | 97 | ||||||
Rand Logistics* | 39,900 | 207 | ||||||
RBC Bearings* | 10,312 | 705 | ||||||
Regal-Beloit | 7,917 | 582 | ||||||
Resources Connection | 636 | 9 | ||||||
Ritchie Bros Auctioneers (A) | 49,352 | 1,019 | ||||||
RPX* | 5,100 | 84 | ||||||
Rush Enterprises, Cl A* (A) | 29,414 | 860 | ||||||
Ryder System | 24,497 | 1,711 | ||||||
Safe Bulkers (A) | 22,600 | 176 | ||||||
Saia* | 62,702 | 2,178 | ||||||
Simpson Manufacturing | 15,815 | 574 | ||||||
SkyWest | 23,964 | 405 | ||||||
Spirit Airlines | 21,710 | 996 | ||||||
Standard Parking | 43,539 | 1,064 | ||||||
Standex International | 3,500 | 206 | ||||||
Steelcase, Cl A | 117,454 | 1,918 | ||||||
Swift Transportation, Cl A* (A) | 52,421 | 1,213 | ||||||
TAL International Group (A) | 10,551 | 576 | ||||||
Taser International | 55,600 | 956 | ||||||
Team* | 12,395 | 507 | ||||||
Teledyne Technologies* | 4,931 | 457 | ||||||
Tennant | 3,708 | 242 | ||||||
Terex* | 9,926 | 361 | ||||||
Tetra Tech* | 55,123 | 1,576 | ||||||
Textainer Group Holdings (A) | 8,126 | 316 | ||||||
Titan Machinery* (A) | 49,000 | 873 | ||||||
Towers Watson, Cl A | 3,753 | 423 | ||||||
Trex* | 18,486 | 1,338 | ||||||
Trimas* | 13,945 | 510 | ||||||
Triumph Group | 11,119 | 822 | ||||||
TrueBlue* | 132,722 | 3,390 | ||||||
Tutor Perini* | 67,591 | 1,655 | ||||||
UniFirst | 1,000 | 102 | ||||||
United Rentals* (A) | 15,685 | 1,078 | ||||||
United Stationers | 6,900 | 310 | ||||||
US Airways Group* (A) | 15,000 | 352 | ||||||
US Ecology | 21,447 | 825 | ||||||
USG* (A) | 33,233 | 910 | ||||||
Valmont Industries | 7,041 | 1,019 | ||||||
Viad | 2,800 | 76 | ||||||
Wabash National* (A) | 19,600 | 238 | ||||||
Wabtec | 21,046 | 1,452 | ||||||
WageWorks* | 19,667 | 1,127 | ||||||
Watsco | 10,322 | 990 | ||||||
Watts Water Technologies, Cl A (A) | 9,930 | 597 | ||||||
WESCO International* (A) | 16,630 | 1,430 | ||||||
Woodward | 13,304 | 571 | ||||||
YRC Worldwide* | 6,900 | 62 | ||||||
|
| |||||||
140,764 | ||||||||
|
| |||||||
Information Technology — 18.0% | ||||||||
Actuate | 3,300 | 26 |
7 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Acxiom* | 22,620 | $ | 753 | |||||
ADTRAN (A) | 75,182 | 1,931 | ||||||
Advanced Energy Industries* | 40,300 | 960 | ||||||
Advent Software | 27,433 | 964 | ||||||
Ambarella* | 14,000 | 347 | ||||||
Amkor Technology | 79,900 | 479 | ||||||
Arrow Electronics* | 18,338 | 942 | ||||||
Aruba Networks | 32,373 | 578 | ||||||
Aspen Technology* | 76,397 | 3,020 | ||||||
Atmel | 189,831 | 1,452 | ||||||
ATMI* | 2,500 | 77 | ||||||
AVG Technologies* | 23,400 | 404 | ||||||
Belden | 27,568 | 1,930 | ||||||
Benchmark Electronics* | 39,871 | 916 | ||||||
Black Box | 7,400 | 207 | ||||||
Blackbaud | 42,603 | 1,541 | ||||||
Blackhawk Network Holdings, Cl A* | 6,900 | 157 | ||||||
Blucora | 30,344 | 882 | ||||||
Broadridge Financial Solutions | 35,838 | 1,367 | ||||||
BroadSoft (A) | 29,585 | 786 | ||||||
Brooks Automation | 7,200 | 76 | ||||||
CACI International, Cl A* (A) | 13,295 | 954 | ||||||
Cadence Design Systems* (A) | 164,928 | 2,185 | ||||||
CalAmp* | 10,500 | 262 | ||||||
Calix* | 49,500 | 507 | ||||||
Cavium* (A) | 80,528 | 2,915 | ||||||
Ceva* | 6,200 | 99 | ||||||
ChannelAdvisor* | 24,494 | 841 | ||||||
CIBER | 232,800 | 922 | ||||||
Ciena* (A) | 59,294 | 1,317 | ||||||
Coherent | 6,148 | 424 | ||||||
CommVault Systems* | 16,646 | 1,246 | ||||||
Computer Task Group | 47,600 | 906 | ||||||
comScore* | 18,800 | 512 | ||||||
Comtech Telecommunications | 16,030 | 515 | ||||||
Convergys | 38,866 | 797 | ||||||
Cornerstone OnDemand (A) | 36,496 | 1,840 | ||||||
CoStar Group* | 20,621 | 3,840 | ||||||
Criteo ADR* (A) | 8,950 | 323 | ||||||
CSG Systems International | 37,300 | 1,077 | ||||||
Cyan* (A) | 35,490 | 157 | ||||||
Dealertrack Technologies* | 77,306 | 3,231 | ||||||
Demandware | 27,261 | 1,545 | ||||||
Diebold | 15,026 | 513 | ||||||
Digi International* | 69,800 | 803 | ||||||
Digital River* | 19,700 | 352 | ||||||
Diodes | 20,300 | 415 | ||||||
DTS | 11,847 | 265 | ||||||
EarthLink | 181,349 | 988 | ||||||
Electronics for Imaging | 3,800 | 150 | ||||||
Ellie Mae* | 7,400 | 209 | ||||||
Emulex* | 79,279 | 591 | ||||||
Entegris* | 27,300 | 300 | ||||||
Envestnet* | 86,134 | 3,424 | ||||||
Euronet Worldwide* | 19,087 | 925 | ||||||
Exar* | 73,700 | 903 | ||||||
ExlService Holdings | 17,331 | 457 | ||||||
Extreme Networks* | 106,200 | 738 | ||||||
Fabrinet* | 17,600 | 349 | ||||||
Fairchild Semiconductor International, Cl A | 41,884 | 533 | ||||||
FARO Technologies* | 4,790 | 261 |
Description | Shares | Market Value ($ Thousands) | ||||||
Finisar* | 4,300 | $ | 89 | |||||
FireEye* | 14,430 | 554 | ||||||
FleetMatics Group* | 11,638 | 450 | ||||||
FormFactor* | 48,900 | 265 | ||||||
Forrester Research | 6,100 | 244 | ||||||
Fortinet | 18,467 | 316 | ||||||
Genpact* | 22,825 | 409 | ||||||
Gigamon* | 24,304 | 710 | ||||||
Global Cash Access Holdings* | 46,400 | 452 | ||||||
Guidewire Software* (A) | 68,292 | 3,260 | ||||||
Harmonic* | 62,300 | 480 | ||||||
Himax Technologies ADR (A) | 122,050 | 1,221 | ||||||
Hittite Microwave* | 10,152 | 642 | ||||||
Hutchinson Technology* | 91,600 | 279 | ||||||
Imation* | 12,000 | 52 | ||||||
Immersion* | 54,200 | 665 | ||||||
Imperva* | 19,171 | 862 | ||||||
Infinera* (A) | 119,636 | 1,113 | ||||||
Infoblox* | 74,893 | 2,380 | ||||||
Inphi | 91,093 | 1,139 | ||||||
Insight Enterprises* | 32,300 | 777 | ||||||
Integrated Device Technology* | 23,388 | 232 | ||||||
Interactive Intelligence Group* (A) | 23,723 | 1,543 | ||||||
IntraLinks Holdings | 34,165 | 373 | ||||||
IPG Photonics (A) | 5,091 | 369 | ||||||
Ixia* | 33,115 | 430 | ||||||
j2 Global (A) | 9,699 | 465 | ||||||
Kulicke & Soffa Industries* | 14,900 | 188 | ||||||
Lattice Semiconductor* | 24,300 | 135 | ||||||
Lexmark International, Cl A (A) | 11,077 | 392 | ||||||
Limelight Networks* | 24,700 | 51 | ||||||
Liquidity Services* (A) | 10,292 | 238 | ||||||
LogMeIn* | 17,170 | 592 | ||||||
Manhattan Associates* | 8,100 | 974 | ||||||
MAXIMUS | 22,369 | 1,018 | ||||||
Maxwell Technologies* | 39,700 | 316 | ||||||
Measurement Specialties* | 22,257 | 1,232 | ||||||
Mentor Graphics | 24,200 | 545 | ||||||
Methode Electronics | 7,300 | 211 | ||||||
Micrel | 2,200 | 21 | ||||||
MicroStrategy, Cl A* | 7,711 | 997 | ||||||
MKS Instruments (A) | 33,643 | 1,002 | ||||||
Monotype Imaging Holdings | 10,500 | 327 | ||||||
Move | 28,750 | 444 | ||||||
MTS Systems | 1,500 | 105 | ||||||
Multi-Fineline Electronix | 8,850 | 125 | ||||||
Nanometrics* | 24,015 | 453 | ||||||
National Instruments | 17,687 | 553 | ||||||
Netscout Systems* | 5,700 | 173 | ||||||
NICE Systems ADR | 19,684 | 775 | ||||||
NQ Mobile ADR* (A) | 19,621 | 256 | ||||||
OpenTable* (A) | 5,040 | 421 | ||||||
OSI Systems* | 17,873 | 1,371 | ||||||
Palo Alto Networks* | 11,280 | 563 | ||||||
Pandora Media (A) | 27,080 | 769 | ||||||
Park Electrochemical | 16,355 | 486 | ||||||
Photronics* | 54,700 | 473 | ||||||
Plantronics | 15,300 | 684 | ||||||
Power Integrations | 12,129 | 648 | ||||||
PRGX Global* | 109,200 | 719 | ||||||
Progress Software | 34,809 | 917 | ||||||
Proofpoint* | 2,400 | 73 |
8 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
PROS Holdings* | 6,300 | $ | 243 | |||||
PTC* | 68,393 | 2,226 | ||||||
Pulse Electronics* (A) | 2,300 | 8 | ||||||
QIWI ADR | 3,718 | 174 | ||||||
QLIK Technologies | 14,420 | 362 | ||||||
QLogic* | 76,152 | 945 | ||||||
Quantum* (A) | 13,600 | 17 | ||||||
Rally Software Development* | 35,164 | 865 | ||||||
RealD (A) | 40,923 | 367 | ||||||
RealPage* (A) | 61,682 | 1,382 | ||||||
Responsys* | 111,052 | 1,878 | ||||||
RF Micro Devices | 133,030 | 702 | ||||||
Rosetta Stone* | 7,200 | 83 | ||||||
Ruckus Wireless* | 41,129 | 536 | ||||||
Rudolph Technologies* | 28,782 | 324 | ||||||
Saba Software* | 89,600 | 1,071 | ||||||
Sanmina* | 22,100 | 342 | ||||||
Shutterstock* (A) | 9,259 | 685 | ||||||
Silicon Graphics International* (A) | 25,200 | 336 | ||||||
Silicon Image* | 54,800 | 297 | ||||||
Solera Holdings | 19,079 | 1,274 | ||||||
Sonus Networks | 199,016 | 579 | ||||||
Spansion, Cl A* | 19,400 | 240 | ||||||
Splunk* | 9,752 | 704 | ||||||
SPS Commerce* | 16,948 | 1,115 | ||||||
SS&C Technologies Holdings* | 85,385 | 3,681 | ||||||
Stamps.com* | 10,800 | 498 | ||||||
Stratasys* (A) | 2,992 | 352 | ||||||
Sykes Enterprises* (A) | 52,772 | 1,168 | ||||||
Synaptics (A) | 20,610 | 1,041 | ||||||
SYNNEX* | 7,200 | 476 | ||||||
Tableau Software, Cl A* | 23,238 | 1,523 | ||||||
Tech Data | 27,574 | 1,429 | ||||||
TeleCommunication Systems, Cl A | 77,200 | 178 | ||||||
TeleTech Holdings | 25,800 | 663 | ||||||
Tellabs | 27,200 | 67 | ||||||
Teradyne* (A) | 36,800 | 627 | ||||||
Tessco Technologies | 9,400 | 370 | ||||||
Textura* (A) | 20,259 | 686 | ||||||
Tremor Video* | 71,634 | 333 | ||||||
Trulia* | 41,252 | 1,417 | ||||||
Tyler Technologies* | 3,998 | 410 | ||||||
Ubiquiti Networks (A) | 5,800 | 229 | ||||||
Ultimate Software Group* | 11,435 | 1,792 | ||||||
Ultra Clean Holdings* | 28,063 | 280 | ||||||
Ultratech* | 77,483 | 2,050 | ||||||
Unisys* | 15,600 | 429 | ||||||
United Online (A) | 18,129 | 287 | ||||||
Valueclick* | 13,100 | 280 | ||||||
Virtusa* | 4,200 | 148 | ||||||
VistaPrint* (A) | 21,796 | 1,250 | ||||||
Vocus* | 11,200 | 112 | ||||||
WebMD Health, Cl A* (A) | 1,695 | 66 | ||||||
WEX* | 16,930 | 1,680 | ||||||
Xoom* | 2,600 | 72 | ||||||
Yelp, Cl A* | 32,542 | 1,975 | ||||||
Zebra Technologies, Cl A* | 10,993 | 570 | ||||||
Zillow, Cl A* (A) | 6,505 | 511 | ||||||
|
| |||||||
139,809 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Materials — 3.0% | ||||||||
A. Schulman | 19,800 | $ | 677 | |||||
AEP Industries* | 1,000 | 52 | ||||||
Allegheny Technologies | 13,488 | 448 | ||||||
AM Castle* | 15,700 | 220 | ||||||
American Vanguard | 9,897 | 284 | ||||||
AuRico Gold | 55,208 | 217 | ||||||
Cabot | 14,300 | 698 | ||||||
Century Aluminum | 18,100 | 163 | ||||||
Chemtura* | 9,000 | 237 | ||||||
Cytec Industries | 5,612 | 502 | ||||||
Ferro | 47,000 | 655 | ||||||
FutureFuel | 12,300 | 206 | ||||||
Glatfelter | 15,000 | 420 | ||||||
Greif, Cl A | 9,589 | 527 | ||||||
GSE Holding | 81,718 | 169 | ||||||
H.B. Fuller | 53,130 | 2,722 | ||||||
Haynes International | 5,300 | 287 | ||||||
Innophos Holdings | 9,839 | 472 | ||||||
Innospec | 25,100 | 1,223 | ||||||
Intrepid Potash (A) | 41,252 | 637 | ||||||
Koppers Holdings | 2,000 | 95 | ||||||
Kraton Performance Polymers* | 2,700 | 63 | ||||||
LSB Industries* | 29,510 | 947 | ||||||
Materion | 7,800 | 224 | ||||||
Minerals Technologies | 24,553 | 1,458 | ||||||
Neenah Paper | 14,300 | 600 | ||||||
Olin 1 (A) | 27,400 | 680 | ||||||
OM Group* | 4,000 | 132 | ||||||
Owens-Illinois* | 8,700 | 287 | ||||||
PolyOne | 65,400 | 2,123 | ||||||
RTI International Metals* (A) | 27,712 | 966 | ||||||
Schnitzer Steel Industries, Cl A (A) | 26,828 | 822 | ||||||
Schweitzer-Mauduit International | 4,500 | 232 | ||||||
Scotts Miracle-Gro, Cl A (A) | 8,448 | 495 | ||||||
Sensient Technologies | 42,471 | 2,087 | ||||||
Silgan Holdings | 17,989 | 841 | ||||||
Tredegar | 2,300 | 60 | ||||||
US Silica Holdings (A) | 17,285 | 597 | ||||||
|
| |||||||
23,525 | ||||||||
|
| |||||||
Telecommunication Services — 0.4% | ||||||||
Atlantic Telegraph-Network | 9,693 | 544 | ||||||
Boingo Wireless* (A) | 78,700 | 514 | ||||||
IDT, Cl B | 8,300 | 184 | ||||||
Inteliquent | 19,800 | 230 | ||||||
Iridium Communications* (A) | 40,000 | 246 | ||||||
magicJack VocalTec* (A) | 12,500 | 143 | ||||||
Premiere Global Services* | 6,100 | 57 | ||||||
RingCentral, Cl A* | 28,635 | 454 | ||||||
USA Mobility | 16,000 | 235 | ||||||
Vonage Holdings* | 114,600 | 379 | ||||||
|
| |||||||
2,986 | ||||||||
|
| |||||||
Utilities — 1.5% | ||||||||
ALLETE | 9,625 | 474 | ||||||
American States Water | 3,400 | 99 | ||||||
Avista | 24,200 | 659 | ||||||
Cadiz* (A) | 70,600 | 417 | ||||||
California Water Service Group | 9,400 | 215 | ||||||
Cleco | 19,261 | 880 |
9 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Fund
November 30, 2013
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
El Paso Electric | 6,600 | $ | 238 | |||||
Empire District Electric (A) | 18,900 | 429 | ||||||
Great Plains Energy | 64,810 | 1,539 | ||||||
IDACORP | 10,470 | 541 | ||||||
Laclede Group | 5,500 | 254 | ||||||
MGE Energy | 1,300 | 73 | ||||||
NorthWestern | 12,500 | 550 | ||||||
Otter Tail | 2,200 | 65 | ||||||
Piedmont Natural Gas (A) | 18,900 | 627 | ||||||
PNM Resources | 20,630 | 480 | ||||||
Portland General Electric (A) | 61,289 | 1,827 | ||||||
Southwest Gas | 9,486 | 503 | ||||||
UIL Holdings (A) | 30,830 | 1,157 | ||||||
UNS Energy | 6,400 | 307 | ||||||
WGL Holdings | 10,989 | 438 | ||||||
|
| |||||||
11,772 | ||||||||
|
| |||||||
Total Common Stock | 738,834 | |||||||
|
| |||||||
EXCHANGE TRADED FUNDS (A) — 0.7% |
| |||||||
iShares Russell 2000 Index Fund | 12,374 | 1,404 | ||||||
iShares Russell 2000 Growth Index Fund | 6,056 | 807 | ||||||
iShares Russell 2000 Value Index Fund | 37,400 | 3,671 | ||||||
|
| |||||||
Total Exchange Traded Funds | 5,882 | |||||||
|
| |||||||
CONVERTIBLE BOND — 0.0% |
| |||||||
Eddie Bauer Holdings | ||||||||
5.250%, 04/01/2014 (B) | $ | 2,856 | 4 | |||||
|
| |||||||
Total Convertible Bond | 4 | |||||||
|
| |||||||
Number of Warrants | ||||||||
WARRANTS — 0.0% | ||||||||
Dynegy, Expires 10/02/2017* | 2,629 | 3 | ||||||
Magnum Hunter Resource, | 5,126 | — | ||||||
|
| |||||||
Total Warrants | 3 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 17.8% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.080%**† (C) | 138,611,049 | 138,611 | ||||||
|
| |||||||
Total Affiliated Partnership | 138,611 | |||||||
|
| |||||||
CASH EQUIVALENT — 2.0% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**† | 15,244,546 | 15,245 | ||||||
|
| |||||||
Total Cash Equivalent | 15,245 | |||||||
|
|
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATION (D) (E) — 0.4% |
| |||||||
U.S. Treasury Bills | ||||||||
0.070%, 02/06/2014 | $ | 3,169 | $ | 3,169 | ||||
|
| |||||||
Total U.S. Treasury Obligation | 3,169 | |||||||
|
| |||||||
Total Investments — 115.9% | $ | 901,748 | ||||||
|
|
The open futures contracts held by the Fund at November 30, 2013, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 143 | Dec-2013 | $ | 152 | ||||||||
|
|
For the period ended November 30, 2013, 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 $777,708 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2013. |
† | Investment in Affiliated Security (see Note 6). |
‡ | Real Estate Investment Trust. |
(A) | This security or a partial position of this security is on loan at November 30, 2013. The total value of securities on loan at November 30, 2013 was $135,087 ($ Thousands). |
(B) | Security in default on interest payments. |
(C) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total value of such securities as of November 30, 2013 was $138,611 ($ Thousands). |
(D) | The rate reported is the effective yield at time of purchase. |
(E) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
The following is a list of the level of inputs used as of November 30, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Common Stock | $ | 738,834 | $ | — | $ | — | $ | 738,834 | ||||||||
Exchange Traded Funds | 5,882 | — | — | 5,882 | ||||||||||||
Convertible Bond | — | — | 4 | 4 | ||||||||||||
Warrants | 3 | — | — | 3 | ||||||||||||
Affiliated Partnership | — | 138,611 | — | 138,611 | ||||||||||||
Cash Equivalent | 15,245 | — | — | 15,245 | ||||||||||||
U.S. Treasury Obligation | — | 3,169 | — | 3,169 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 759,964 | $ | 141,780 | $ | 4 | $ | 901,748 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 152 | $ | — | $ | — | $ | 152 | ||||||||
|
|
|
|
|
|
|
|
(1) | A reconciliation of Level 3 investments and disclosures of significant unobservable inputs are 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. Management has concluded that Level 3 investments are not material in relation to net assets. |
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
10 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap Fund
November 30, 2013
For the period ended November 30, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2013, 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 $O.
The accompanying notes are an integral part of the financial statements.
11 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap II Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.0% | ||||||||
Consumer Discretionary — 15.4% | ||||||||
AFC Enterprises* | 12,310 | $ | 537 | |||||
American Eagle Outfitters | 17,540 | 285 | ||||||
American Public Education* | 800 | 36 | ||||||
ANN* | 7,168 | 256 | ||||||
Arctic Cat | 15,067 | 848 | ||||||
Beazer Homes USA* (A) | 28,625 | 596 | ||||||
Belo, Cl A (A) | 12,900 | 177 | ||||||
Big 5 Sporting Goods | 18,235 | 340 | ||||||
Biglari Holdings* | 560 | 272 | ||||||
BJ’s Restaurants* (A) | 8,630 | 256 | ||||||
Boyd Gaming* | 2,600 | 30 | ||||||
Bravo Brio Restaurant Group* | 14,300 | 228 | ||||||
Bright Horizons Family Solutions* | 13,929 | 485 | ||||||
Brown Shoe | 13,600 | 350 | ||||||
Brunswick | 17,383 | 794 | ||||||
Cabela’s* | 6,280 | 385 | ||||||
Callaway Golf (A) | 22,629 | 183 | ||||||
Capella Education | 12,720 | 836 | ||||||
Career Education* | 21,800 | 110 | ||||||
Carmike Cinemas* | 5,800 | 139 | ||||||
Carriage Services, Cl A | 800 | 15 | ||||||
Cato, Cl A | 10,300 | 351 | ||||||
CEC Entertainment | 1,100 | 53 | ||||||
Columbia Sportswear (A) | 1,548 | 107 | ||||||
Conn’s* (A) | 12,963 | 782 | ||||||
Container Store Group* | 9,306 | 379 | ||||||
Cooper Tire & Rubber (A) | 4,900 | 121 | ||||||
Core-Mark Holding | 7,500 | 554 | ||||||
Cracker Barrel Old Country Store | 1,100 | 119 | ||||||
Denny’s* | 21,027 | 151 | ||||||
Destination Maternity | 4,000 | 122 | ||||||
Dex Media* (A) | 16,364 | 119 | ||||||
Dick’s Sporting Goods | 7,615 | 430 | ||||||
Drew Industries | 10,767 | 584 | ||||||
Entravision Communications, Cl A | 43,077 | 285 | ||||||
Ethan Allen Interiors (A) | 6,346 | 196 | ||||||
EW Scripps, Cl A* | 5,700 | 116 | ||||||
Express* | 13,319 | 328 | ||||||
Fiesta Restaurant Group* | 5,889 | 288 | ||||||
Five Below (A) | 11,222 | 597 | ||||||
Fred’s, Cl A | 12,000 | 208 | ||||||
Fuel Systems Solutions* | 3,100 | 42 | ||||||
GameStop, Cl A (A) | 3,185 | 154 | ||||||
G-III Apparel Group* | 2,000 | 120 | ||||||
Gray Television* | 12,400 | 152 | ||||||
Haverty Furniture | 13,742 | 392 | ||||||
Helen of Troy* | 8,700 | 424 | ||||||
hhgregg* | 3,800 | 57 | ||||||
Hibbett Sports* (A) | 7,885 | 509 | ||||||
HomeAway* (A) | 24,523 | 895 | ||||||
Hovnanian Enterprises, Cl A* (A) | 16,544 | 85 | ||||||
Imax* (A) | 25,586 | 789 | ||||||
Jack in the Box* | 13,722 | 650 | ||||||
LKQ* | 13,060 | 433 | ||||||
Loral Space & Communications | 4,400 | 347 | ||||||
Lumber Liquidators Holdings* (A) | 6,330 | 637 |
Description | Shares | Market Value ($ Thousands) | ||||||
M/I Homes* | 800 | $ | 18 | |||||
Matthews International, Cl A (A) | 5,076 | 214 | ||||||
MDC Partners, Cl A | 7,350 | 167 | ||||||
Men’s Wearhouse | 900 | 46 | ||||||
Meredith | 9,630 | 514 | ||||||
Meritage Homes | 4,330 | 189 | ||||||
Modine Manufacturing* | 16,800 | 223 | ||||||
Movado Group | 8,650 | 394 | ||||||
Multimedia Games Holding* | 9,600 | 278 | ||||||
NACCO Industries, Cl A | 2,400 | 155 | ||||||
National CineMedia | 20,520 | 383 | ||||||
Nautilus* | 7,300 | 55 | ||||||
Nutrisystem (A) | 10,900 | 214 | ||||||
Orbitz Worldwide* | 45,066 | 312 | ||||||
Overstock.com* (A) | 8,300 | 232 | ||||||
Oxford Industries (A) | 8,448 | 635 | ||||||
Papa John’s International | 1,500 | 127 | ||||||
PetMed Express (A) | 26,200 | 413 | ||||||
Pier 1 Imports | 18,990 | 423 | ||||||
Pool | 8,100 | 454 | ||||||
Red Robin Gourmet Burgers | 8,800 | 701 | ||||||
Regis | 5,297 | 85 | ||||||
Restoration Hardware Holdings* | 8,667 | 654 | ||||||
Ruth’s Hospitality Group | 18,691 | 269 | ||||||
Ryland Group | 6,749 | 267 | ||||||
Scientific Games, Cl A* | 9,959 | 179 | ||||||
Select Comfort* | 8,114 | 171 | ||||||
Shutterfly* | 28,512 | 1,347 | ||||||
Six Flags Entertainment | 16,602 | 618 | ||||||
Smith & Wesson Holding* (A) | 8,800 | 104 | ||||||
Sonic* | 18,200 | 360 | ||||||
Standard Motor Products | 11,000 | 382 | ||||||
Steiner Leisure* | 5,200 | 308 | ||||||
Steven Madden* | 9,975 | 389 | ||||||
Stewart Enterprises, Cl A | 3,500 | 46 | ||||||
Stoneridge* | 25,199 | 325 | ||||||
TAL Education Group ADR | 25,174 | 496 | ||||||
Tenneco* | 11,970 | 687 | ||||||
Vail Resorts | 5,200 | 394 | ||||||
Vera Bradley* (A) | 3,876 | 97 | ||||||
Vitamin Shoppe* | 11,117 | 603 | ||||||
Wet Seal, Cl A* | 82,600 | 275 | ||||||
Winnebago Industries* | 2,400 | 74 | ||||||
Zagg* (A) | 24,292 | 103 | ||||||
zulily, Cl A* (A) | 6,750 | 236 | ||||||
Zumiez* (A) | 7,050 | 196 | ||||||
|
| |||||||
33,546 | ||||||||
|
| |||||||
Consumer Staples — 3.2% | ||||||||
Andersons | 7,600 | 647 | ||||||
Casey’s General Stores | 8,411 | 626 | ||||||
Central Garden and Pet, Cl A* | 6,617 | 52 | ||||||
Chefs’ Warehouse* | 15,329 | 393 | ||||||
Chiquita Brands International* | 32,400 | 342 | ||||||
Darling International* | 19,305 | 400 | ||||||
Fresh Del Monte Produce | 24,500 | 686 | ||||||
Fresh Market* | 7,118 | 290 | ||||||
Ingredion | 2,245 | 155 | ||||||
Medifast | 8,800 | 238 | ||||||
Pantry* | 10,729 | 154 | ||||||
Pilgrim’s Pride* | 21,100 | 346 | ||||||
Prestige Brands Holdings* | 19,992 | 705 | ||||||
Rite Aid* | 83,200 | 493 | ||||||
Snyders-Lance (A) | 18,071 | 521 |
1 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap II Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Sprouts Farmers Market* | 8,337 | $ | 315 | |||||
Susser Holdings (A) | 2,542 | 163 | ||||||
TreeHouse Foods* | 2,816 | 198 | ||||||
USANA Health Sciences* | 4,000 | 292 | ||||||
WD-40 | 600 | 45 | ||||||
|
| |||||||
7,061 | ||||||||
|
| |||||||
Energy — 5.0% | ||||||||
Alpha Natural Resources* | 26,600 | 178 | ||||||
Bristow Group (A) | 8,400 | 674 | ||||||
Carrizo Oil & Gas* | 3,152 | 128 | ||||||
Cloud Peak Energy* | 1,700 | 28 | ||||||
Delek US Holdings | 5,100 | 154 | ||||||
Dril-Quip* | 3,640 | 395 | ||||||
Emerald Oil* | 15,872 | 115 | ||||||
Energy XXI Bermuda | 1,600 | 43 | ||||||
EPL Oil & Gas* | 8,700 | 249 | ||||||
Forest Oil* | 36,000 | 159 | ||||||
Forum Energy Technologies* (A) | 19,039 | 514 | ||||||
Goodrich Petroleum | 4,997 | 96 | ||||||
Green Plains Renewable Energy | 22,300 | 385 | ||||||
Gulfmark Offshore, Cl A (A) | 7,350 | 363 | ||||||
Halcon Resources* (A) | 53,338 | 214 | ||||||
Helix Energy Solutions Group* | 19,511 | 433 | ||||||
Hercules Offshore | 4,300 | 28 | ||||||
Hornbeck Offshore Services* | 4,796 | 243 | ||||||
Key Energy Services | 18,752 | 147 | ||||||
Kodiak Oil & Gas* | 13,700 | 155 | ||||||
Laredo Petroleum Holdings* | 13,863 | 374 | ||||||
Matador Resources* (A) | 25,660 | 559 | ||||||
Matrix Service* | 7,769 | 173 | ||||||
McDermott International* | 20,631 | 168 | ||||||
Newpark Resources* | 8,200 | 99 | ||||||
Northern Oil And Gas* | 9,476 | 151 | ||||||
Oasis Petroleum* | 18,765 | 866 | ||||||
Oil States International* | 2,640 | 270 | ||||||
Parker Drilling* | 14,000 | 111 | ||||||
Pioneer Energy Services* | 50,311 | 363 | ||||||
Quicksilver Resources* (A) | 17,500 | 51 | ||||||
Renewable Energy Group* | 24,000 | 273 | ||||||
Rosetta Resources* | 19,157 | 969 | ||||||
Scorpio Tankers | 4,400 | 51 | ||||||
Stone Energy* | 3,200 | 106 | ||||||
Swift Energy* (A) | 11,416 | 152 | ||||||
Synergy Resources* | 21,765 | 205 | ||||||
Tesco* | 26,200 | 468 | ||||||
Triangle Petroleum* | 8,330 | 89 | ||||||
Vaalco Energy* | 47,000 | 284 | ||||||
Western Refining (A) | 4,800 | 188 | ||||||
Willbros Group* | 36,900 | 324 | ||||||
|
| |||||||
10,995 | ||||||||
|
| |||||||
Financials — 17.2% | ||||||||
Affiliated Managers Group* | 523 | 105 | ||||||
Agree Realty‡ | 3,700 | 108 | ||||||
Altisource Residential, Cl B‡ | 14,410 | 401 | ||||||
Ambac Financial Group* | 7,900 | 187 | ||||||
AMERISAFE | 1,900 | 83 | ||||||
Amtrust Financial Services (A) | 11,317 | 473 | ||||||
Argo Group International Holdings | 11,010 | 521 |
Description | Shares | Market Value ($ Thousands) | ||||||
Arlington Asset Investment, Cl A | 7,300 | $ | 195 | |||||
Ashford Hospitality Prime‡* | 2,360 | 48 | ||||||
Ashford Hospitality Trust‡ | 11,800 | 97 | ||||||
Associated Estates Realty‡ | 23,330 | 371 | ||||||
Banco Latinoamericano de Comercio Exterior, Cl E | 15,800 | 426 | ||||||
Bank of the Ozarks (A) | 7,596 | 426 | ||||||
BankUnited | 12,325 | 398 | ||||||
Banner | 12,540 | 545 | ||||||
BBCN Bancorp | 13,470 | 225 | ||||||
BlackRock Kelso Capital | 28,200 | 279 | ||||||
Boston Private Financial Holdings | 11,172 | 133 | ||||||
Brandywine Realty Trust‡ | 38,760 | 515 | ||||||
Brookline Bancorp | 1,200 | 11 | ||||||
Capital Bank Financial, Cl A* | 16,957 | 396 | ||||||
Capitol Federal Financial | 35,410 | 427 | ||||||
Cardinal Financial | 12,759 | 226 | ||||||
CBL & Associates Properties‡ | 7,586 | 137 | ||||||
Cedar Realty Trust‡ | 15,800 | 92 | ||||||
Chatham Lodging Trust‡ | 6,400 | 132 | ||||||
Chesapeake Lodging Trust‡ | 7,000 | 167 | ||||||
City Holding | 2,500 | 123 | ||||||
City National | 2,870 | 219 | ||||||
CNO Financial Group | 7,000 | 118 | ||||||
Columbia Banking System (A) | 18,670 | 518 | ||||||
Community Bank System (A) | 1,200 | 47 | ||||||
CoreSite Realty‡ | 5,300 | 171 | ||||||
Cousins Properties‡ | 14,300 | 153 | ||||||
Credit Acceptance | 2,059 | 264 | ||||||
DiamondRock Hospitality‡ | 48,790 | 558 | ||||||
DuPont Fabros Technology‡ (A) | 20,370 | 478 | ||||||
Eagle Bancorp* | 8,443 | 275 | ||||||
EastGroup Properties‡ | 5,577 | 338 | ||||||
Education Realty Trust‡ | 18,462 | 161 | ||||||
Employers Holdings | 19,083 | 623 | ||||||
Endurance Specialty Holdings | 15,705 | 894 | ||||||
Equity One‡ (A) | 10,234 | 229 | ||||||
Evercore Partners, Cl A | 11,540 | 633 | ||||||
Federated Investors, Cl B (A) | 6,750 | 184 | ||||||
First Commonwealth Financial | 34,300 | 321 | ||||||
First Financial Holdings | 6,814 | 449 | ||||||
First Horizon National (A) | 20,053 | 225 | ||||||
First Industrial Realty Trust‡ | 2,600 | 45 | ||||||
First Interstate Bancsystem, Cl A | 10,252 | 287 | ||||||
First Midwest Bancorp | 30,310 | 556 | ||||||
First NBC Bank Holding* | 5,362 | 155 | ||||||
First Potomac Realty Trust‡ | 3,300 | 40 | ||||||
Fulton Financial | 29,530 | 386 | ||||||
Geo Group‡ | 7,900 | 259 | ||||||
Glimcher Realty Trust‡ | 41,370 | 402 | ||||||
Hancock Holding | 10,724 | 377 | ||||||
Hanmi Financial | 11,810 | 243 | ||||||
Hanover Insurance Group | 15,648 | 944 | ||||||
HFF, Cl A | 1,900 | 49 | ||||||
Home BancShares | 900 | 33 | ||||||
HomeStreet | 3,900 | 83 | ||||||
Horace Mann Educators | 32,453 | 997 | ||||||
Iberiabank | 18,551 | 1,163 | ||||||
Infinity Property & Casualty | 8,954 | 639 | ||||||
Inland Real Estate‡ | 57,100 | 619 |
2 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap II Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Investment Technology Group* | 23,200 | $ | 454 | |||||
Investors Bancorp | 7,361 | 177 | ||||||
Jones Lang LaSalle | 6,252 | 611 | ||||||
Lexington Realty Trust‡ | 28,520 | 293 | ||||||
LTC Properties‡ | 4,600 | 177 | ||||||
Maiden Holdings | 3,500 | 44 | ||||||
MarketAxess Holdings | 5,317 | 374 | ||||||
Medical Properties Trust‡ | 41,310 | 546 | ||||||
MFA Mortgage Investments‡ | 34,055 | 248 | ||||||
MGIC Investment | 10,100 | 82 | ||||||
Mid-America Apartment Communities‡ (A) | 3,833 | 231 | ||||||
Montpelier Re Holdings | 300 | 9 | ||||||
National Health Investors‡ | 900 | 53 | ||||||
National Penn Bancshares | 27,163 | 307 | ||||||
NBT Bancorp | 14,700 | 381 | ||||||
Nelnet, Cl A | 14,200 | 639 | ||||||
New Mountain Finance | 3,900 | 59 | ||||||
OFG Bancorp | 7,133 | 123 | ||||||
Oritani Financial | 7,700 | 125 | ||||||
PacWest Bancorp (A) | 10,726 | 441 | ||||||
Pebblebrook Hotel Trust‡ | 12,804 | 388 | ||||||
PennantPark Investment | 11,000 | 134 | ||||||
Pinnacle Financial Partners | 6,500 | 212 | ||||||
Piper Jaffray* | 7,400 | 281 | ||||||
Platinum Underwriters Holdings | 19,219 | 1,218 | ||||||
Potlatch‡ | 4,300 | 171 | ||||||
Primerica | 2,800 | 120 | ||||||
ProAssurance | 5,377 | 259 | ||||||
Prospect Capital | 4,800 | 55 | ||||||
Provident Financial Services | 10,800 | 211 | ||||||
PS Business Parks‡ | 1,600 | 125 | ||||||
Ramco-Gershenson Properties‡ | 28,000 | 448 | ||||||
Reinsurance Group of America, Cl A | 2,775 | 208 | ||||||
Retail Opportunity Investments‡ (A) | 5,500 | 80 | ||||||
RLJ Lodging Trust‡ | 8,000 | 193 | ||||||
Rouse Properties‡ | 1,600 | 39 | ||||||
Sabra Health Care‡ | 16,500 | 440 | ||||||
Select Income‡ | 3,900 | 107 | ||||||
Signature Bank NY | 4,710 | 500 | ||||||
Sovran Self Storage‡ | 1,600 | 107 | ||||||
STAG Industrial‡ | 17,300 | 375 | ||||||
Stewart Information Services | 4,672 | 149 | ||||||
Stifel Financial* (A) | 10,250 | 459 | ||||||
Summit Hotel Properties‡ | 3,600 | 33 | ||||||
Susquehanna Bancshares | 54,785 | 690 | ||||||
SVB Financial Group | 5,142 | 521 | ||||||
TCF Financial (A) | 16,439 | 258 | ||||||
TCP Capital | 5,500 | 95 | ||||||
Texas Capital Bancshares* | 7,678 | 431 | ||||||
THL Credit | 4,500 | 76 | ||||||
TICC Capital | 21,300 | 230 | ||||||
Two Harbors Investment‡ | 12,200 | 113 | ||||||
Umpqua Holdings (A) | 8,193 | 151 | ||||||
United Community Banks* | 15,100 | 277 | ||||||
ViewPoint Financial Group | 7,200 | 183 | ||||||
Virtus Investment Partners* | 1,000 | 208 | ||||||
Webster Financial | 18,890 | 557 | ||||||
Winthrop Realty Trust‡ | 1,800 | 21 | ||||||
Wintrust Financial (A) | 10,590 | 480 |
Description | Shares | Market Value ($ Thousands) | ||||||
WisdomTree Investments* | 7,700 | $ | 118 | |||||
|
| |||||||
37,477 | ||||||||
|
| |||||||
Health Care — 13.8% | ||||||||
Acadia Healthcare* (A) | 26,518 | 1,225 | ||||||
AcelRx Pharmaceuticals* (A) | 23,200 | 227 | ||||||
Achillion Pharmaceuticals* (A) | 38,000 | 132 | ||||||
Acorda Therapeutics* | 4,800 | 167 | ||||||
Addus HomeCare* | 15,567 | 451 | ||||||
Aegerion Pharmaceuticals | 2,800 | 199 | ||||||
Akorn* (A) | 43,332 | 1,116 | ||||||
Align Technology* | 10,360 | 566 | ||||||
AMAG Pharmaceuticals* | 2,900 | 71 | ||||||
Amedisys* (A) | 1,200 | 20 | ||||||
AMN Healthcare Services* | 7,400 | 103 | ||||||
Amsurg, Cl A* | 17,532 | 847 | ||||||
Analogic | 6,580 | 636 | ||||||
Array BioPharma* | 2,700 | 15 | ||||||
ArthroCare | 3,400 | 128 | ||||||
athenahealth* (A) | 4,622 | 606 | ||||||
Cadence Pharmaceuticals* | 20,677 | 187 | ||||||
Cambrex* | 3,400 | 66 | ||||||
Cantel Medical | 8,250 | 308 | ||||||
Cardiovascular Systems* | 3,779 | 125 | ||||||
Celldex Therapeutics (A) | 23,894 | 663 | ||||||
Centene* | 7,748 | 463 | ||||||
Charles River Laboratories International* | 14,363 | 749 | ||||||
Computer Programs & Systems | 2,600 | 160 | ||||||
CONMED | 8,900 | 362 | ||||||
Cubist Pharmaceuticals* | 4,784 | 328 | ||||||
Depomed* | 9,200 | 81 | ||||||
DexCom* | 15,821 | 524 | ||||||
Emergent Biosolutions* | 27,400 | 615 | ||||||
Endocyte* (A) | 3,200 | 37 | ||||||
Endologix | 15,734 | 281 | ||||||
Ensign Group | 6,200 | 280 | ||||||
ExamWorks Group* (A) | 20,812 | 614 | ||||||
Five Star Quality Care* | 21,816 | 108 | ||||||
Furiex Pharmaceuticals* | 9,939 | 447 | ||||||
Gentiva Health Services | 26,600 | 329 | ||||||
Globus Medical, Cl A* | 14,600 | 281 | ||||||
Greatbatch* | 3,800 | 154 | ||||||
Haemonetics* | 6,597 | 279 | ||||||
HealthSouth | 22,099 | 791 | ||||||
HeartWare International* (A) | 5,380 | 519 | ||||||
HMS Holdings* (A) | 8,138 | 186 | ||||||
Hyperion Therapeutics* (A) | 2,467 | 63 | ||||||
ICON* | 12,635 | 482 | ||||||
ICU Medical* | 5,800 | 381 | ||||||
Impax Laboratories* | 10,000 | 240 | ||||||
Intercept Pharmaceuticals* | 2,680 | 140 | ||||||
Invacare | 9,100 | 204 | ||||||
IPC The Hospitalist (A) | 3,032 | 191 | ||||||
Isis Pharmaceuticals* (A) | 17,843 | 692 | ||||||
Jazz Pharmaceuticals* | 5,240 | 613 | ||||||
Karyopharm Therapeutics* | 3,275 | 53 | ||||||
Keryx Biopharmaceuticals* (A) | 59,398 | 825 | ||||||
KYTHERA Biopharmaceuticals* (A) | 4,168 | 163 | ||||||
LDR Holding* | 6,646 | 146 | ||||||
LHC Group* | 4,300 | 102 | ||||||
Masimo* | 16,770 | 480 |
3 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap II Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Medidata Solutions* | 400 | $ | 48 | |||||
MEDNAX | 4,965 | 550 | ||||||
Meridian Bioscience | 1,400 | 34 | ||||||
Momenta Pharmaceuticals* | 17,470 | 311 | ||||||
MWI Veterinary Supply* | 1,100 | 200 | ||||||
Nektar Therapeutics* | 7,200 | 90 | ||||||
Neurocrine Biosciences* | 18,900 | 186 | ||||||
NewLink Genetics* (A) | 16,590 | 373 | ||||||
NPS Pharmaceuticals* | 9,790 | 259 | ||||||
Orexigen Therapeutics* (A) | 60,003 | 410 | ||||||
Orthofix International* | 8,600 | 186 | ||||||
Pacira Pharmaceuticals* | 12,360 | 682 | ||||||
PAREXEL International* | 9,310 | 384 | ||||||
PDL BioPharma (A) | 3,700 | 36 | ||||||
PerkinElmer | 7,180 | 273 | ||||||
Pharmacyclics* | 1,300 | 162 | ||||||
PharMerica | 13,500 | 305 | ||||||
Portola Pharmaceuticals* | 700 | 18 | ||||||
Premier, Cl A* | 6,660 | 219 | ||||||
Providence Service* | 9,008 | 247 | ||||||
Puma Biotechnology* (A) | 11,013 | 548 | ||||||
Repligen* | 17,307 | 233 | ||||||
Rigel Pharmaceuticals* | 42,100 | 112 | ||||||
Santarus* | 6,500 | 209 | ||||||
Sciclone Pharmaceuticals* | 6,600 | 32 | ||||||
Sirona Dental Systems* | 4,730 | 325 | ||||||
Spectranetics* | 22,652 | 527 | ||||||
Surgical Care Affiliates* | 8,298 | 253 | ||||||
SurModics* | 1,800 | 43 | ||||||
Symmetry Medical* | 7,900 | 78 | ||||||
Synageva BioPharma (A) | 2,770 | 167 | ||||||
Tandem Diabetes Care* | 7,665 | 169 | ||||||
Team Health Holdings* | 22,277 | 1,041 | ||||||
TearLab* (A) | 13,262 | 124 | ||||||
Teleflex | 2,025 | 199 | ||||||
TESARO* | 12,858 | 501 | ||||||
Triple-S Management, Cl B* | 3,100 | 63 | ||||||
WellCare Health Plans* | 4,775 | 355 | ||||||
|
| |||||||
30,173 | ||||||||
|
| |||||||
Industrials — 18.2% | ||||||||
AAON | 2,500 | 77 | ||||||
AAR | 6,760 | 211 | ||||||
Actuant, Cl A (A) | 45,821 | 1,791 | ||||||
Aegion, Cl A* | 1,900 | 41 | ||||||
Aircastle | 7,500 | 140 | ||||||
Albany International, Cl A | 6,300 | 232 | ||||||
Altra Holdings | 4,900 | 149 | ||||||
American Science & Engineering | 3,434 | 246 | ||||||
American Woodmark* | 3,700 | 134 | ||||||
Apogee Enterprises | 13,240 | 474 | ||||||
Arkansas Best | 4,300 | 140 | ||||||
Astronics* | 3,900 | 204 | ||||||
Astronics, Cl B* | 580 | 30 | ||||||
Atlas Air Worldwide Holdings* | 600 | 23 | ||||||
Avis Budget Group* | 8,203 | 302 | ||||||
Barrett Business Services | 3,140 | 265 | ||||||
Beacon Roofing Supply* (A) | 14,909 | 554 | ||||||
Carlisle | 8,190 | 602 | ||||||
Chart Industries* | 9,632 | 937 | ||||||
CIRCOR International | 9,770 | 775 | ||||||
Clean Harbors* | 6,368 | 336 | ||||||
Coleman Cable | 10,422 | 256 |
Description | Shares | Market Value ($ Thousands) | ||||||
Con-way | 9,790 | $ | 405 | |||||
Corporate Executive Board | 8,919 | 657 | ||||||
Curtiss-Wright | 16,373 | 864 | ||||||
Deluxe (A) | 500 | 25 | ||||||
Diana Shipping* (A) | 26,802 | 307 | ||||||
DigitalGlobe* | 22,027 | 872 | ||||||
Dycom Industries* | 27,732 | 785 | ||||||
EMCOR Group | 4,700 | 187 | ||||||
EnerNOC* | 8,900 | 153 | ||||||
EnerSys | 7,120 | 508 | ||||||
Engility Holdings | 1,400 | 45 | ||||||
EnPro Industries (A) | 3,292 | 186 | ||||||
Erickson Air-Crane* (A) | 800 | 15 | ||||||
Esterline Technologies* | 7,240 | 637 | ||||||
Exponent | 1,800 | 139 | ||||||
G&K Services, Cl A | 13,014 | 784 | ||||||
General Cable | 6,118 | 178 | ||||||
Genesee & Wyoming, Cl A* | 9,986 | 961 | ||||||
Gibraltar Industries* | 9,336 | 165 | ||||||
H&E Equipment Services | 14,440 | 412 | ||||||
Hexcel* | 26,217 | 1,152 | ||||||
Huron Consulting Group* | 700 | 42 | ||||||
Hyster-Yale Materials Handling | 4,000 | 333 | ||||||
ICF International* | 800 | 29 | ||||||
IDEX | �� | 8,270 | 590 | |||||
Insperity | 9,100 | 321 | ||||||
Interface, Cl A | 27,277 | 547 | ||||||
ITT | 6,852 | 280 | ||||||
John Bean Technologies | 10,700 | 316 | ||||||
Kadant | 3,607 | 149 | ||||||
KAR Auction Services | 12,429 | 343 | ||||||
Kelly Services, Cl A | 2,400 | 56 | ||||||
KEYW Holding* (A) | 18,765 | 233 | ||||||
Kforce | 19,900 | 402 | ||||||
Kirby* | 7,332 | 693 | ||||||
Korn/Ferry International* | 21,880 | 507 | ||||||
Lincoln Electric Holdings | 6,820 | 488 | ||||||
Lindsay Manufacturing (A) | 5,078 | 388 | ||||||
Manitowoc | 20,120 | 414 | ||||||
MasTec (A) | 17,470 | 553 | ||||||
Middleby* | 2,905 | 642 | ||||||
Mine Safety Appliances | 1,200 | 60 | ||||||
Mistras Group | 1,200 | 24 | ||||||
Mobile Mini* | 15,951 | 644 | ||||||
Mueller Industries | 3,900 | 238 | ||||||
Mueller Water Products, Cl A | 32,200 | 277 | ||||||
MYR Group* | 16,600 | 422 | ||||||
Navigant Consulting* | 13,400 | 263 | ||||||
Old Dominion Freight Line* | 5,230 | 270 | ||||||
On Assignment* | 14,040 | 478 | ||||||
Orbital Sciences* | 25,040 | 588 | ||||||
Orion Marine Group* | 11,994 | 142 | ||||||
Performant Financial* | 6,200 | 65 | ||||||
PGT* | 25,331 | 253 | ||||||
Pike Electric | 13,811 | 145 | ||||||
PowerSecure International* | 10,577 | 186 | ||||||
Primoris Services | 20,895 | 601 | ||||||
RBC Bearings* | 5,836 | 399 | ||||||
Regal-Beloit | 3,519 | 259 | ||||||
Resources Connection | 1,700 | 24 | ||||||
RPX* | 8,200 | 136 | ||||||
Saia | 15,300 | 531 | ||||||
SkyWest | 7,600 | 128 | ||||||
Standex International | 4,000 | 236 |
4 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap II Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Steelcase, Cl A | 43,359 | $ | 708 | |||||
Swift Transporation, Cl A* (A) | 26,237 | 607 | ||||||
Taser International | 33,100 | 569 | ||||||
Team* | 5,509 | 225 | ||||||
Teledyne Technologies* | 2,192 | 203 | ||||||
Terex* | 4,411 | 160 | ||||||
Tetra Tech* | 12,804 | 366 | ||||||
Trimas* | 6,198 | 227 | ||||||
Triumph Group | 4,942 | 365 | ||||||
TrueBlue* | 45,686 | 1,167 | ||||||
Tutor Perini* | 1,300 | 32 | ||||||
UniFirst | 500 | 51 | ||||||
United Rentals* (A) | 8,720 | 599 | ||||||
US Airways Group* (A) | 7,300 | 171 | ||||||
US Ecology | 10,546 | 406 | ||||||
USG* (A) | 16,624 | 455 | ||||||
Valmont Industries | 3,992 | 578 | ||||||
Viad | 2,600 | 70 | ||||||
WageWorks* | 9,898 | 567 | ||||||
Watsco | 4,580 | 440 | ||||||
Watts Water Technologies, Cl A | 4,413 | 265 | ||||||
Woodward Governor | 8,583 | 368 | ||||||
|
| |||||||
39,650 | ||||||||
|
| |||||||
Information Technology — 19.0% |
| |||||||
ACI Worldwide* | 7,600 | 490 | ||||||
Actuate | 3,800 | 30 | ||||||
Advanced Energy Industries* | 7,800 | 186 | ||||||
Ambarella* | 2,300 | 57 | ||||||
Applied Micro Circuits* | 6,300 | 79 | ||||||
Aruba Networks | 5,300 | 95 | ||||||
Aspen Technology* | 37,281 | 1,474 | ||||||
ATMI* | 4,100 | 125 | ||||||
Audience* | 2,000 | 20 | ||||||
AVG Technologies* | 20,992 | 363 | ||||||
Belden | 10,425 | 730 | ||||||
Benchmark Electronics* | 8,300 | 191 | ||||||
Blackhawk Network Holdings, Cl A* | 1,300 | 30 | ||||||
Blucora | 11,700 | 340 | ||||||
Brightcove* | 4,100 | 58 | ||||||
BroadSoft | 10,530 | 280 | ||||||
Brooks Automation | 6,900 | 73 | ||||||
CACI International, Cl A* | 1,320 | 95 | ||||||
Cadence Design Systems (A) | 13,136 | 174 | ||||||
CalAmp* | 4,000 | 100 | ||||||
Calix* | 30,900 | 316 | ||||||
Cardtronics | 11,650 | 496 | ||||||
Cavium* (A) | 30,953 | 1,121 | ||||||
Ceva* | 3,300 | 53 | ||||||
Checkpoint Systems* | 2,300 | 33 | ||||||
Ciena* (A) | 25,211 | 560 | ||||||
Cognex | 12,800 | 422 | ||||||
Coherent | 2,732 | 189 | ||||||
CommVault Systems* | 4,731 | 354 | ||||||
comScore* | 8,300 | 226 | ||||||
Comtech Telecommunications | 2,325 | 75 | ||||||
Comverse* | 600 | 20 | ||||||
Convergys | 11,585 | 238 | ||||||
Cornerstone OnDemand | 6,890 | 347 | ||||||
CoStar Group* | 6,900 | 1,285 | ||||||
Criteo ADR* (A) | 5,072 | 183 | ||||||
CSG Systems International | 11,400 | 329 |
Description | Shares | Market Value ($ Thousands) | ||||||
Dealertrack Technologies* | 28,803 | $ | 1,204 | |||||
Demandware | 8,107 | 459 | ||||||
Diebold | 6,678 | 228 | ||||||
Digital River* | 8,000 | 143 | ||||||
EarthLink | 9,800 | 53 | ||||||
Electronics for Imaging | 11,890 | 471 | ||||||
Emulex* | 34,245 | 256 | ||||||
Entegris* | 43,570 | 478 | ||||||
Entropic Communications* | 7,600 | 38 | ||||||
Envestnet* | 26,856 | 1,068 | ||||||
EPAM Systems* | 12,850 | 456 | ||||||
ExlService Holdings | 8,613 | 227 | ||||||
Extreme Networks* | 56,600 | 393 | ||||||
Fabrinet* | 11,400 | 226 | ||||||
Fairchild Semiconductor International, Cl A | 18,615 | 237 | ||||||
Finisar* | 4,000 | 83 | ||||||
FireEye* | 3,972 | 152 | ||||||
FleetMatics Group* | 6,590 | 255 | ||||||
FormFactor* | 40,800 | 221 | ||||||
Forrester Research | 800 | 32 | ||||||
Global Cash Access Holdings* | 41,100 | 401 | ||||||
Guidewire Software* | 22,865 | 1,091 | ||||||
Harmonic* | 43,300 | 333 | ||||||
Himax Technologies ADR (A) | 61,004 | 610 | ||||||
Hutchinson Technology* (A) | 41,150 | 126 | ||||||
Immersion* | 27,005 | 331 | ||||||
Infinera* (A) | 40,680 | 378 | ||||||
Infoblox* | 27,484 | 873 | ||||||
Insight Enterprises* | 16,000 | 385 | ||||||
Interactive Intelligence Group* | 12,381 | 805 | ||||||
International Rectifier* | 15,180 | 363 | ||||||
InvenSense, Cl A* (A) | 23,890 | 413 | ||||||
Ixia* | 14,717 | 191 | ||||||
Lattice Semiconductor* | 17,700 | 99 | ||||||
Limelight Networks* | 10,300 | 21 | ||||||
Liquidity Services* (A) | 4,574 | 106 | ||||||
Littelfuse | 4,270 | 371 | ||||||
LogMeIn* | 9,720 | 335 | ||||||
Manhattan Associates* | 3,290 | 396 | ||||||
MAXIMUS | 11,176 | 509 | ||||||
Maxwell Technologies* | 14,700 | 117 | ||||||
Mentor Graphics | 21,830 | 492 | ||||||
Methode Electronics | 3,200 | 93 | ||||||
MKS Instruments | 7,799 | 232 | ||||||
Model N* (A) | 3,800 | 31 | ||||||
Monotype Imaging Holdings | 5,100 | 159 | ||||||
Move | 13,000 | 201 | ||||||
Netscout Systems* | 2,500 | 76 | ||||||
NQ Mobile ADR* (A) | 9,804 | 128 | ||||||
OSI Systems* | 15,433 | 1,184 | ||||||
Pandora Media (A) | 15,340 | 436 | ||||||
Photronics* | 4,500 | 39 | ||||||
Power Integrations | 6,865 | 367 | ||||||
Proofpoint* | 2,500 | 76 | ||||||
PROS Holdings* | 2,900 | 112 | ||||||
PTC* | 26,664 | 868 | ||||||
Responsys* | 56,191 | 950 | ||||||
RF Micro Devices | 59,123 | 312 | ||||||
Rosetta Stone* | 4,800 | 55 | ||||||
Sanmina* | 9,100 | 141 | ||||||
Sapient* | 5,200 | 82 | ||||||
Shutterstock* (A) | 5,237 | 387 |
5 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap II Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Silicon Graphics International* (A) | 15,555 | $ | 207 | |||||
Silicon Image* | 28,000 | 152 | ||||||
Sonus Networks | 95,813 | 279 | ||||||
Spansion, Cl A* | 5,300 | 66 | ||||||
SPS Commerce* | 8,594 | 565 | ||||||
SS&C Technologies Holdings* | 14,069 | 607 | ||||||
Stamps.com* | 7,345 | 338 | ||||||
Sykes Enterprises* (A) | 13,275 | 294 | ||||||
Synaptics (A) | 6,240 | 315 | ||||||
Tableau Software, Cl A* | 8,651 | 567 | ||||||
TeleTech Holdings | 2,600 | 67 | ||||||
Tellabs | 14,300 | 35 | ||||||
Teradyne* (A) | 20,930 | 356 | ||||||
Textura* (A) | 10,200 | 345 | ||||||
TiVo* | 7,700 | 99 | ||||||
Tremor Video* | 34,938 | 162 | ||||||
Trulia* | 7,485 | 257 | ||||||
Ubiquiti Networks (A) | 2,100 | 83 | ||||||
Ultimate Software Group* | 6,256 | 980 | ||||||
Unisys* | 5,100 | 140 | ||||||
United Online | 6,943 | 110 | ||||||
Valueclick* | 5,700 | 122 | ||||||
Verint Systems* | 12,670 | 480 | ||||||
Virtusa* | 1,200 | 42 | ||||||
Vocus* | 14,500 | 144 | ||||||
WEX* | 6,120 | 608 | ||||||
Xoom* | 4,800 | 133 | ||||||
Yelp, Cl A* | 15,536 | 943 | ||||||
Zebra Technologies, Cl A* | 4,886 | 253 | ||||||
|
| |||||||
41,341 | ||||||||
|
| |||||||
Materials — 3.7% |
| |||||||
A. Schulman | 12,800 | 438 | ||||||
Allegheny Technologies | 5,995 | 199 | ||||||
AM Castle* | 7,900 | 111 | ||||||
Century Aluminum | 12,484 | 112 | ||||||
Chemtura* | 5,100 | 135 | ||||||
Clearwater Paper* | 1,000 | 53 | ||||||
Cytec Industries | 2,495 | 223 | ||||||
Ferro | 16,900 | 235 | ||||||
Flotek Industries* | 18,280 | 383 | ||||||
FutureFuel | 3,400 | 57 | ||||||
Greif, Cl A | 4,262 | 234 | ||||||
H.B. Fuller | 19,598 | 1,004 | ||||||
Haynes International | 700 | 38 | ||||||
Innophos Holdings | 4,373 | 210 | ||||||
Innospec | 9,100 | 443 | ||||||
Koppers Holdings | 3,700 | 175 | ||||||
Kraton Performance Polymers* | 2,100 | 49 | ||||||
Materion | 1,000 | 29 | ||||||
Minerals Technologies | 12,580 | 747 | ||||||
Noranda Aluminum Holding | 6,000 | 17 | ||||||
OM Group* | 800 | 26 | ||||||
Owens-Illinois* | 3,866 | 128 | ||||||
PolyOne | 39,510 | 1,282 | ||||||
Quaker Chemical | 2,000 | 162 | ||||||
RTI International Metals* (A) | 6,085 | 212 | ||||||
Scotts Miracle-Gro, Cl A (A) | 3,754 | 220 | ||||||
Sensient Technologies | 2,541 | 125 | ||||||
Silgan Holdings | 3,933 | 184 | ||||||
SunCoke Energy* | 10,700 | 243 | ||||||
Tredegar | 2,100 | 55 | ||||||
US Silica Holdings (A) | 8,637 | 298 |
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Worthington Industries | 3,700 | $ | 155 | |||||
|
| |||||||
7,982 | ||||||||
|
| |||||||
Telecommunication Services — 0.2% |
| |||||||
8x8* | 3,600 | 38 | ||||||
IDT, Cl B | 5,300 | 118 | ||||||
magicJack VocalTec* (A) | 7,700 | 88 | ||||||
Premiere Global Services* | 2,300 | 21 | ||||||
RingCentral, Cl A* | 9,098 | 144 | ||||||
Vonage Holdings* | 13,300 | 44 | ||||||
|
| |||||||
453 | ||||||||
|
| |||||||
Utilities — 1.3% | �� | |||||||
ALLETE | 8,860 | 437 | ||||||
American States Water | 2,600 | 76 | ||||||
Avista | 100 | 3 | ||||||
California Water Service Group | 13,700 | 313 | ||||||
Cleco | 4,036 | 184 | ||||||
Great Plains Energy | 20,270 | 481 | ||||||
IDACORP | 4,654 | 241 | ||||||
Otter Tail | 6,800 | 201 | ||||||
Portland General Electric | 15,328 | 457 | ||||||
UIL Holdings (A) | 12,390 | 465 | ||||||
|
| |||||||
2,858 | ||||||||
|
| |||||||
Total Common Stock | 211,536 | |||||||
|
| |||||||
EXCHANGE TRADED FUNDS (A) — 0.5% |
| |||||||
iShares Russell 2000 Index Fund | 5,499 | 624 | ||||||
iShares Russell 2000 Growth Index Fund | 2,682 | 357 | ||||||
|
| |||||||
Total Exchange Traded Funds | 981 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 13.3% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.080%**† (B) | 29,053,071 | 29,053 | ||||||
|
| |||||||
Total Affiliated Partnership | 29,053 | |||||||
|
| |||||||
CASH EQUIVALENT — 1.3% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, | 2,775,132 | 2,775 | ||||||
|
| |||||||
Total Cash Equivalent | 2,775 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.6% |
| |||||||
U.S. Treasury Bills | ||||||||
0.070%, 02/06/2014 | $ | 1,170 | 1,170 | |||||
0.000%, 07/24/2014 | 128 | 128 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | �� | 1,298 | ||||||
|
| |||||||
Total Investments — 112.7% | $ | 245,643 | ||||||
|
|
6 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small Cap II Fund
November 30, 2013
The open futures contracts held by the Fund at November 30, 2013, are as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 10 | Dec-2013 | $ | 1 | ||||||||
|
|
For the period ended November 30, 2013, 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 $218,053 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2013. |
† | Investment in Affiliated Security (see Note 6). |
‡ | Real Estate Investment Trust. |
(A) | This security or a partial position of this security is on loan at November 30, 2013. The total value of securities on loan at November 30, 2013 was $28,334 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total value of such securities as of November 30, 2013 was $29,053 ($ 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
The following is a list of the level of inputs used as of November 30, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 211,536 | $ | — | $ | — | $ | 211,536 | ||||||||
Exchange Traded Funds | 981 | — | — | 981 | ||||||||||||
Affiliated Partnership | — | 29,053 | — | 29,053 | ||||||||||||
Cash Equivalent | 2,775 | — | — | 2,775 | ||||||||||||
U.S. Treasury Obligations | — | 1,298 | — | 1,298 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 215,292 | $ | 30,351 | $ | — | $ | 245,643 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 1 | $ | — | $ | — | $ | 1 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
During the period ended November 30, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
During the period ended November 30, 2013, 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 $O.
The accompanying notes are an integral part of the financial statements.
7 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.2% | ||||||||
Consumer Discretionary — 12.9% | ||||||||
Aeropostale * (A) | 16,000 | $ | 165 | |||||
AFC Enterprises * | 28,070 | 1,224 | ||||||
American Axle & Manufacturing Holdings * | 112,528 | 2,250 | ||||||
American Eagle Outfitters | 189,252 | 3,079 | ||||||
ANN * | 99,789 | 3,559 | ||||||
Arctic Cat | 15,790 | 888 | ||||||
Asbury Automotive Group * | 29,154 | 1,514 | ||||||
Autoliv | 32,900 | 3,055 | ||||||
Beazer Homes USA * (A) | 118,593 | 2,468 | ||||||
Big Lots * | 83,825 | 3,213 | ||||||
BJ’s Restaurants * (A) | 35,921 | 1,065 | ||||||
Bloomin’ Brands * | 141,119 | 3,697 | ||||||
Bravo Brio Restaurant Group * | 11,600 | 185 | ||||||
Bright Horizons Family Solutions * | 67,865 | 2,365 | ||||||
Brinker International | 45,200 | 2,126 | ||||||
Brunswick | 139,313 | 6,367 | ||||||
Buffalo Wild Wings * | 15,655 | 2,352 | ||||||
Cabela’s * | 30,430 | 1,864 | ||||||
Callaway Golf (A) | 107,060 | 867 | ||||||
Capella Education * | 35,460 | 2,330 | ||||||
Carter’s (A) | 70,784 | 5,002 | ||||||
Cato, Cl A | 46,500 | 1,583 | ||||||
CEC Entertainment | 20,800 | 997 | ||||||
Children’s Place Retail Stores * | 16,050 | 883 | ||||||
Columbia Sportswear (A) | 7,323 | 508 | ||||||
Conn’s * (A) | 62,457 | 3,768 | ||||||
Container Store Group * | 45,096 | 1,835 | ||||||
Core-Mark Holding | 9,279 | 685 | ||||||
Crocs * | 24,700 | 341 | ||||||
CST Brands | 4,300 | 141 | ||||||
Dana Holdings | 48,305 | 980 | ||||||
Darden Restaurants | 32,671 | 1,742 | ||||||
Destination XL Group * | 45,400 | 319 | ||||||
Dick’s Sporting Goods (A) | 36,900 | 2,086 | ||||||
Dillard’s, Cl A | 25,000 | 2,288 | ||||||
Dollar General * | 23,136 | 1,317 | ||||||
DR Horton (A) | 144,644 | 2,875 | ||||||
Drew Industries * | 38,420 | 2,083 | ||||||
Dunkin’ Brands Group (A) | 26,632 | 1,304 | ||||||
Ethan Allen Interiors (A) | 30,026 | 928 | ||||||
Express * | 95,858 | 2,359 | ||||||
Extended Stay America * | 18,137 | 457 | ||||||
Fiesta Restaurant Group * | 24,510 | 1,200 | ||||||
Five Below * | 96,657 | 5,138 | ||||||
FTD * | 18,620 | 614 | ||||||
GameStop, Cl A (A) | 41,959 | 2,025 | ||||||
Gannett (A) | 193,860 | 5,246 | ||||||
Genesco * | 12,955 | 970 | ||||||
Gildan Activewear, Cl A | 74,084 | 3,591 | ||||||
Harley-Davidson (A) | 21,886 | 1,467 | ||||||
Harman International Industries | 27,700 | 2,245 | ||||||
Hasbro (A) | 25,150 | 1,354 | ||||||
Haverty Furniture | 41,119 | 1,172 | ||||||
Hibbett Sports * (A) | 95,071 | 6,139 | ||||||
HomeAway * (A) | 110,739 | 4,042 | ||||||
HSN | 59,118 | 3,394 | ||||||
Ignite Restaurant Group * | 7,400 | 91 | ||||||
Imax * (A) | 220,378 | 6,794 | ||||||
International Game Technology | 114,900 | 2,010 | ||||||
Interpublic Group | 63,622 | 1,107 |
Description | Shares | Market Value ($ Thousands) | ||||||
Jack in the Box * | 47,544 | $ | 2,251 | |||||
Jones Group | 8,600 | 121 | ||||||
K12 * (A) | 30,000 | 631 | ||||||
Krispy Kreme Doughnuts * | 48,117 | 1,221 | ||||||
La-Z-Boy, Cl Z | 83,875 | 2,454 | ||||||
Lear | 31,200 | 2,587 | ||||||
LGI Homes * | 20,500 | 316 | ||||||
Libbey * | 47,700 | 1,097 | ||||||
Life Time Fitness * (A) | 21,830 | 1,059 | ||||||
LKQ * | 63,311 | 2,099 | ||||||
Lumber Liquidators Holdings * (A) | 59,612 | 6,002 | ||||||
Matthews International, Cl A (A) | 33,715 | 1,422 | ||||||
MDC Partners, Cl A | 39,450 | 898 | ||||||
Men’s Wearhouse | 6,303 | 322 | ||||||
Meredith | 20,360 | 1,086 | ||||||
Monro Muffler (A) | 45,729 | 2,426 | ||||||
National CineMedia | 263,796 | 4,920 | ||||||
Newell Rubbermaid | 52,951 | 1,607 | ||||||
Oxford Industries (A) | 13,852 | 1,042 | ||||||
Panera Bread, Cl A * | 13,358 | 2,363 | ||||||
Pep Boys-Manny Moe & Jack * | 56,400 | 773 | ||||||
PetSmart | 18,720 | 1,387 | ||||||
Pier 1 Imports | 194,344 | 4,332 | ||||||
Polaris Industries (A) | 19,939 | 2,661 | ||||||
Quiksilver * | 178,140 | 1,585 | ||||||
Red Robin Gourmet Burgers * | 30,583 | 2,438 | ||||||
Regis | 25,060 | 401 | ||||||
Rent-A-Center, Cl A (A) | 37,700 | 1,284 | ||||||
Restoration Hardware Holdings * | 41,998 | 3,171 | ||||||
Ryland Group (A) | 102,812 | 4,063 | ||||||
Sally Beauty Holdings * | 234,209 | 6,591 | ||||||
Samsonite International | 816,250 | 2,443 | ||||||
Scholastic (A) | 45,700 | 1,395 | ||||||
Scientific Games, Cl A * | 47,113 | 846 | ||||||
Select Comfort * | 38,380 | 810 | ||||||
Shutterfly * (A) | 126,488 | 5,974 | ||||||
Six Flags Entertainment | 110,018 | 4,094 | ||||||
Skechers U.S.A., Cl A * | 92,968 | 3,125 | ||||||
SodaStream International * (A) | 19,150 | 1,101 | ||||||
Stage Stores (A) | 43,100 | 906 | ||||||
Standard Pacific * | 366,146 | 2,995 | ||||||
Steven Madden * | 49,278 | 1,920 | ||||||
TAL Education Group ADR | 104,150 | 2,052 | ||||||
Taylor Morrison Home, Cl A * | 106,249 | 2,322 | ||||||
Tenneco * | 51,083 | 2,932 | ||||||
TRW Automotive Holdings * | 39,800 | 3,088 | ||||||
Tuesday Morning * | 94,572 | 1,310 | ||||||
Tupperware Brands (A) | 10,737 | 981 | ||||||
Ulta Salon Cosmetics & Fragrance * | 18,069 | 2,294 | ||||||
Vail Resorts | 11,345 | 860 | ||||||
Vera Bradley * (A) | 18,340 | 461 | ||||||
Visteon * | 20,000 | 1,573 | ||||||
Vitamin Shoppe * | 46,273 | 2,511 | ||||||
Wendy’s | 198,493 | 1,709 | ||||||
Whirlpool | 12,400 | 1,894 | ||||||
Wolverine World Wide (A) | 168,401 | 5,542 | ||||||
Wyndham Worldwide | 58,317 | 4,182 | ||||||
zulily, Cl A * (A) | 51,474 | 1,801 | ||||||
Zumiez * (A) | 29,343 | 815 | ||||||
|
| |||||||
254,259 | ||||||||
|
|
1 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Consumer Staples — 2.5% |
| |||||||
Casey’s General Stores | 91,601 | $ | 6,817 | |||||
Central Garden and Pet, Cl A * | 31,306 | 245 | ||||||
Chefs’ Warehouse * (A) | 74,449 | 1,911 | ||||||
Chiquita Brands International * | 49,300 | 521 | ||||||
Coca-Cola Enterprises | 28,535 | 1,197 | ||||||
Darling International * | 184,767 | 3,830 | ||||||
Energizer Holdings | 15,300 | 1,688 | ||||||
Fresh Del Monte Produce | 57,800 | 1,619 | ||||||
Fresh Market * | 29,571 | 1,204 | ||||||
Hain Celestial Group * | 24,698 | 2,042 | ||||||
Ingredion | 32,953 | 2,279 | ||||||
J&J Snack Foods | 10,870 | 934 | ||||||
JM Smucker | 15,718 | 1,638 | ||||||
Kroger | 38,780 | 1,619 | ||||||
Molson Coors Brewing, Cl B | 34,910 | 1,838 | ||||||
Omega Protein * | 90,700 | 1,229 | ||||||
Pantry * | 50,758 | 731 | ||||||
Prestige Brands Holdings * | 13,920 | 491 | ||||||
Rite Aid * | 294,824 | 1,745 | ||||||
Snyders-Lance (A) | 24,557 | 708 | ||||||
Spartan Stores | 43,442 | 1,008 | ||||||
Spectrum Brands Holdings | 39,701 | 2,802 | ||||||
Sprouts Farmers Market * | 40,408 | 1,529 | ||||||
SUPERVALU * | 94,000 | 606 | ||||||
Susser Holdings * (A) | 12,027 | 770 | ||||||
Sysco (A) | 42,111 | 1,416 | ||||||
TreeHouse Foods * | 13,322 | 935 | ||||||
Universal (A) | 10,200 | 532 | ||||||
Weis Markets | 17,700 | 903 | ||||||
WhiteWave Foods, Cl A * | 215,255 | 4,579 | ||||||
|
| |||||||
49,366 | ||||||||
|
| |||||||
Energy — 5.3% |
| |||||||
Alberta Oilsands * | 1,600,500 | 196 | ||||||
Approach Resources * (A) | 59,600 | 1,263 | ||||||
Athlon Energy * | 88,288 | 2,880 | ||||||
Bonanza Creek Energy * | 12,850 | 589 | ||||||
Carrizo Oil & Gas * | 14,912 | 603 | ||||||
Cloud Peak Energy * | 20,600 | 341 | ||||||
Core Laboratories | 14,342 | 2,612 | ||||||
CVR Energy | 16,500 | 651 | ||||||
Delek US Holdings | 36,800 | 1,114 | ||||||
Diamondback Energy * | 45,908 | 2,283 | ||||||
Dresser-Rand Group * | 82,074 | 4,632 | ||||||
Dril-Quip * | 42,002 | 4,560 | ||||||
Emerald Oil * | 76,619 | 556 | ||||||
EPL Oil & Gas * | 70,680 | 2,025 | ||||||
EQT | 17,902 | 1,524 | ||||||
Evolution Petroleum | 11,700 | 145 | ||||||
Exterran Holdings * | 26,175 | 851 | ||||||
Forum Energy Technologies * (A) | 121,624 | 3,285 | ||||||
Geospace Technologies * | 24,549 | 2,142 | ||||||
Goodrich Petroleum * (A) | 23,641 | 455 | ||||||
Gulfmark Offshore, Cl A | 20,306 | 1,002 | ||||||
Gulfport Energy * (A) | 58,274 | 3,405 | ||||||
Helix Energy Solutions Group * | 142,294 | 3,160 | ||||||
Helmerich & Payne | 44,300 | 3,411 | ||||||
Hornbeck Offshore Services * | 19,860 | 1,006 | ||||||
Key Energy Services * | 88,703 | 696 | ||||||
Kinder Morgan Escrow | 646 | — | ||||||
Kodiak Oil & Gas * | 268,185 | 3,041 | ||||||
Laredo Petroleum Holdings * | 67,177 | 1,813 | ||||||
Matador Resources * (A) | 75,383 | 1,643 |
Description | Shares | Market Value ($ Thousands) | ||||||
McDermott International * | 243,363 | $ | 1,983 | |||||
Nabors Industries | 117,504 | 1,945 | ||||||
Navigator Holdings * | 26,700 | 565 | ||||||
Newfield Exploration * | 52,348 | 1,471 | ||||||
Newpark Resources * (A) | 85,200 | 1,028 | ||||||
Northern Oil And Gas * | 44,829 | 715 | ||||||
Nuverra Environmental Solutions * (A) | 415,600 | 715 | ||||||
Oasis Petroleum * | 98,700 | 4,553 | ||||||
Oil States International * | 12,703 | 1,300 | ||||||
Painted Pony Petroleum * | 116,700 | 710 | ||||||
Parker Drilling * | 301,100 | 2,388 | ||||||
PDC Energy * (A) | 81,220 | 4,785 | ||||||
Pioneer Energy Services * | 160,570 | 1,159 | ||||||
Pioneer Natural Resources | 7,893 | 1,403 | ||||||
Range Resources | 11,266 | 875 | ||||||
Rex Energy * (A) | 82,439 | 1,581 | ||||||
Rosetta Resources * (A) | 107,806 | 5,452 | ||||||
Scorpio Tankers | 91,400 | 1,049 | ||||||
SemGroup, Cl A | 24,405 | 1,498 | ||||||
Spectra Energy | 53,482 | 1,794 | ||||||
StealthGas * (A) | 39,500 | 485 | ||||||
Superior Energy Services * | 104,242 | 2,656 | ||||||
Swift Energy * (A) | 54,011 | 719 | ||||||
Synergy Resources * | 41,075 | 388 | ||||||
Targa Resources | 16,419 | 1,331 | ||||||
Tesoro | 58,000 | 3,400 | ||||||
TETRA Technologies * | 83,230 | 1,027 | ||||||
USEC * (A) | 2,443 | 23 | ||||||
W&T Offshore (A) | 17,500 | 301 | ||||||
Western Refining (A) | 98,600 | 3,852 | ||||||
World Fuel Services (A) | 22,079 | 848 | ||||||
|
| |||||||
103,883 | ||||||||
|
| |||||||
Financials — 20.5% |
| |||||||
1st Source | 800 | 26 | ||||||
Acadia Realty Trust ‡ | 38,865 | 1,009 | ||||||
Affiliated Managers Group * | 2,572 | 515 | ||||||
Alexandria Real Estate Equities ‡ | 42,994 | 2,720 | ||||||
Allied World Assurance Holdings | 15,000 | 1,690 | ||||||
Allstate | 24,863 | 1,349 | ||||||
Altisource Residential, Cl B ‡ | 59,447 | 1,656 | ||||||
American Assets Trust ‡ | 28,970 | 904 | ||||||
American Campus Communities ‡ | 74,824 | 2,427 | ||||||
American Capital Mortgage Investment ‡ | 18,100 | 342 | ||||||
American Equity Investment Life Holding (A) | 34,800 | 825 | ||||||
American Financial Group | 127,681 | 7,362 | ||||||
Ameriprise Financial | 45,516 | 4,927 | ||||||
Amtrust Financial Services (A) | 55,007 | 2,300 | ||||||
Apartment Investment & Management, Cl A ‡ | 82,108 | 2,062 | ||||||
Arch Capital Group * (A) | 79,695 | 4,688 | ||||||
Ares Capital | 43,000 | 790 | ||||||
Artisan Partners Asset Management, Cl A | 12,100 | 747 | ||||||
Aspen Insurance Holdings | 34,400 | 1,390 | ||||||
Associated Banc | 73,700 | 1,271 | ||||||
Assured Guaranty | 98,993 | 2,324 | ||||||
AvalonBay Communities ‡ | 21,913 | 2,598 |
2 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Banco Latinoamericano de Comercio | 84,745 | $ | 2,283 | |||||
Bancorpsouth (A) | 175,486 | 4,196 | ||||||
Bank of the Ozarks (A) | 51,120 | 2,870 | ||||||
BankUnited | 58,311 | 1,882 | ||||||
Banner | 68,190 | 2,964 | ||||||
BioMed Realty Trust ‡ (A) | 80,100 | 1,488 | ||||||
Boston Private Financial Holdings | 157,724 | 1,876 | ||||||
Boston Properties ‡ | 16,200 | 1,612 | ||||||
Brandywine Realty Trust ‡ | 142,700 | 1,895 | ||||||
Brixmor Property Group ‡ * | 4,550 | 92 | ||||||
Brookfield Properties (A) | 31,750 | 610 | ||||||
Calamos Asset Management, Cl A | 41,900 | 465 | ||||||
Campus Crest Communities ‡ (A) | 43,100 | 429 | ||||||
Cardinal Financial | 27,889 | 495 | ||||||
CBL & Associates Properties ‡ | 106,592 | 1,925 | ||||||
Central Pacific Financial | 58,300 | 1,159 | ||||||
Chimera Investment ‡ | 245,200 | 723 | ||||||
City National | 14,190 | 1,084 | ||||||
CNA Financial | 54,600 | 2,267 | ||||||
CNO Financial Group | 506,016 | 8,562 | ||||||
CoBiz Financial | 98,715 | 1,170 | ||||||
Cole Real Estate Investment ‡ | 85,373 | 1,222 | ||||||
Commerce Bancshares | 1 | — | ||||||
CommonWealth ‡ | 67,750 | 1,617 | ||||||
Community Trust Bancorp | 15,687 | 717 | ||||||
CoreSite Realty ‡ | 20,925 | 677 | ||||||
CubeSmart ‡ | 155,108 | 2,516 | ||||||
Customers Bancorp * | 11,400 | 199 | ||||||
CYS Investments ‡ | 174,400 | 1,395 | ||||||
DDR ‡ | 231,050 | 3,694 | ||||||
DiamondRock Hospitality ‡ | 236,008 | 2,698 | ||||||
Dime Community Bancshares | 43,800 | 737 | ||||||
Douglas Emmett ‡ | 45,400 | 1,043 | ||||||
Duke Realty ‡ | 46,950 | 713 | ||||||
Eagle Bancorp * | 79,402 | 2,589 | ||||||
East West Bancorp | 64,715 | 2,218 | ||||||
EastGroup Properties ‡ | 40,652 | 2,463 | ||||||
Eaton Vance (A) | 52,873 | 2,211 | ||||||
Education Realty Trust ‡ | 182,541 | 1,588 | ||||||
Employers Holdings | 81,850 | 2,671 | ||||||
Endurance Specialty Holdings | 57,059 | 3,247 | ||||||
Equity One ‡ (A) | 48,415 | 1,084 | ||||||
Equity Residential ‡ | 72,750 | 3,750 | ||||||
Essex Property Trust ‡ | 4,750 | 721 | ||||||
Everest Re Group | 19,700 | 3,089 | ||||||
Extra Space Storage ‡ | 13,550 | 568 | ||||||
FBR * | 27,233 | 766 | ||||||
Federated Investors, Cl B (A) | 31,936 | 872 | ||||||
FelCor Lodging Trust ‡ * | 76,500 | 560 | ||||||
Fidelity National Financial, Cl A | 70,921 | 2,062 | ||||||
Fifth Third Bancorp | 111,733 | 2,270 | ||||||
Financial Engines (A) | 85,054 | 5,762 | ||||||
First BanCorp * (A) | 448,898 | 2,864 | ||||||
First Financial Holdings | 28,400 | 1,871 | ||||||
First Horizon National (A) | 352,245 | 3,949 | ||||||
First Midwest Bancorp | 125,671 | 2,307 | ||||||
First NBC Bank Holding * | 25,369 | 733 | ||||||
First Niagara Financial Group | 464,581 | 5,175 | ||||||
Flushing Financial | 66,600 | 1,439 | ||||||
Forest City Enterprises, Cl A * | 42,560 | 830 | ||||||
Forestar Group * | 22,785 | 441 |
Description | Shares | Market Value ($ Thousands) | ||||||
Fulton Financial | 93,546 | $ | 1,223 | |||||
FXCM, Cl A (A) | 46,104 | 768 | ||||||
General Growth Properties ‡ | 97,220 | 2,017 | ||||||
Genworth Financial, Cl A * | 253,788 | 3,835 | ||||||
Geo Group ‡ | 27,200 | 892 | ||||||
Glacier Bancorp | 48,745 | 1,460 | ||||||
Government Properties Income Trust ‡ | 9,700 | 241 | ||||||
Hancock Holding | 90,807 | 3,196 | ||||||
Hanover Insurance Group | 57,432 | 3,464 | ||||||
Hartford Financial Services Group (A) | 56,657 | 2,019 | ||||||
HCP ‡ | 76,950 | 2,829 | ||||||
Health Care ‡ | 38,300 | 2,144 | ||||||
Highwoods Properties ‡ (A) | 24,075 | 865 | ||||||
Home Loan Servicing Solutions | 22,400 | 521 | ||||||
Horace Mann Educators | 121,817 | 3,742 | ||||||
Hospitality Properties Trust ‡ | 89,900 | 2,443 | ||||||
Host Hotels & Resorts ‡ | 214,104 | 3,942 | ||||||
Huntington Bancshares | 646,464 | 5,935 | ||||||
Iberiabank | 44,909 | 2,816 | ||||||
Infinity Property & Casualty | 21,074 | 1,504 | ||||||
Inland Real Estate ‡ | 138,600 | 1,502 | ||||||
International Bancshares | 47,046 | 1,227 | ||||||
Investment Technology Group * | 139,668 | 2,736 | ||||||
Investors Bancorp | 34,824 | 838 | ||||||
Janus Capital Group (A) | 305,465 | 3,323 | ||||||
Jones Lang LaSalle | 46,945 | 4,587 | ||||||
Kennedy-Wilson Holdings | 45,700 | 941 | ||||||
KeyCorp | 411,308 | 5,244 | ||||||
Kilroy Realty ‡ | 9,100 | 458 | ||||||
Kimco Realty ‡ | 87,200 | 1,798 | ||||||
LaSalle Hotel Properties ‡ | 26,815 | 840 | ||||||
Lexington Realty Trust ‡ (A) | 565,437 | 5,807 | ||||||
Liberty Property Trust ‡ | 10,500 | 340 | ||||||
Lincoln National | 51,900 | 2,664 | ||||||
LPL Financial Holdings | 83,623 | 3,585 | ||||||
Macerich ‡ | 38,298 | 2,181 | ||||||
Mack-Cali Realty ‡ | 22,400 | 456 | ||||||
Maiden Holdings | 80,800 | 1,023 | ||||||
MarketAxess Holdings | 51,050 | 3,593 | ||||||
Meadowbrook Insurance Group | 225,400 | 1,666 | ||||||
Medical Properties Trust ‡ | 163,431 | 2,159 | ||||||
MFA Mortgage Investments ‡ | 404,615 | 2,950 | ||||||
Mid-America Apartment Communities ‡ (A) | 18,135 | 1,092 | ||||||
Montpelier Re Holdings | 75,900 | 2,206 | ||||||
MSCI, Cl A * | 58,872 | 2,613 | ||||||
National Penn Bancshares | 303,887 | 3,431 | ||||||
Nelnet, Cl A | 79,400 | 3,573 | ||||||
Northfield Bancorp | 47,763 | 621 | ||||||
NorthStar Realty Finance ‡ (A) | 300,585 | 2,970 | ||||||
Ocwen Financial * | 16,300 | 923 | ||||||
OFG Bancorp (A) | 196,943 | 3,388 | ||||||
Old National Bancorp | 83,485 | 1,298 | ||||||
Omega Healthcare Investors ‡ | 30,800 | 1,007 | ||||||
OmniAmerican Bancorp * | 9,700 | 214 | ||||||
PacWest Bancorp (A) | 97,451 | 4,009 | ||||||
PartnerRe | 39,091 | 4,023 | ||||||
Pebblebrook Hotel Trust ‡ | 94,014 | 2,851 | ||||||
Pennsylvania ‡ | 137,572 | 2,475 | ||||||
Platinum Underwriters Holdings | 21,378 | 1,355 | ||||||
Popular * | 176,775 | 5,052 |
3 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Post Properties ‡ | 13,240 | $ | 567 | |||||
ProAssurance | 25,439 | 1,223 | ||||||
Prologis ‡ | 102,809 | 3,900 | ||||||
Prosperity Bancshares (A) | 15,110 | 969 | ||||||
Public Storage ‡ | 17,128 | 2,615 | ||||||
Radian Group (A) | 74,890 | 1,068 | ||||||
RAIT Financial Trust ‡ | 22,999 | 189 | ||||||
Regency Centers ‡ | 19,700 | 923 | ||||||
Regions Financial | 213,300 | 2,075 | ||||||
Reinsurance Group of America, Cl A | 53,956 | 4,046 | ||||||
Republic Bancorp, Cl A (A) | 34,400 | 854 | ||||||
RLJ Lodging Trust ‡ | 47,600 | 1,149 | ||||||
Ryman Hospitality Properties ‡ (A) | 39,955 | 1,673 | ||||||
Safeguard Scientifics * | 59,562 | 1,111 | ||||||
Selective Insurance Group | 43,075 | 1,214 | ||||||
Signature Bank NY * | 22,810 | 2,424 | ||||||
Simon Property Group ‡ | 44,579 | 6,680 | ||||||
SL Green Realty ‡ | 11,450 | 1,036 | ||||||
StanCorp Financial Group (A) | 36,700 | 2,353 | ||||||
Starwood Property Trust ‡ | 17,800 | 496 | ||||||
Stifel Financial * (A) | 49,680 | 2,224 | ||||||
Sunstone Hotel Investors ‡ | 298,508 | 3,902 | ||||||
SunTrust Banks | 55,232 | 2,001 | ||||||
Susquehanna Bancshares | 313,218 | 3,944 | ||||||
SVB Financial Group * | 53,516 | 5,418 | ||||||
Synovus Financial | 872,815 | 3,046 | ||||||
Taubman Centers ‡ | 12,750 | 834 | ||||||
TCF Financial (A) | 157,014 | 2,460 | ||||||
Texas Capital Bancshares * | 18,665 | 1,048 | ||||||
THL Credit | 18,500 | 314 | ||||||
Tower Group International * (A) | 51,438 | 214 | ||||||
Two Harbors Investment ‡ | 28,300 | 262 | ||||||
UDR ‡ | 53,350 | 1,241 | ||||||
Umpqua Holdings (A) | 38,761 | 714 | ||||||
United Community Banks * | 33,900 | 622 | ||||||
Unum Group | 130,609 | 4,384 | ||||||
Validus Holdings | 49,000 | 1,962 | ||||||
Ventas ‡ | 32,750 | 1,861 | ||||||
ViewPoint Financial Group | 22,100 | 561 | ||||||
Virtus Investment Partners * | 14,213 | 2,953 | ||||||
Vornado Realty Trust ‡ | 26,600 | 2,339 | ||||||
Waddell & Reed Financial, Cl A | 51,761 | 3,299 | ||||||
Walter Investment Management * | 17,800 | 679 | ||||||
Weingarten Realty Investors ‡ (A) | 26,600 | 759 | ||||||
WesBanco | 53,800 | 1,695 | ||||||
Western Alliance Bancorp * | 224,549 | 5,214 | ||||||
Willis Group Holdings | 37,039 | 1,659 | ||||||
Winthrop Realty Trust ‡ | 129,800 | 1,500 | ||||||
WisdomTree Investments * | 126,185 | 1,933 | ||||||
WSFS Financial | 26,560 | 2,017 | ||||||
Zions Bancorporation (A) | 217,983 | 6,393 | ||||||
|
| |||||||
402,189 | ||||||||
|
| |||||||
Health Care — 11.6% | ||||||||
Acadia Healthcare * (A) | 197,605 | 9,129 | ||||||
Accuray * (A) | 157,400 | 1,256 | ||||||
Aegerion Pharmaceuticals * | 13,520 | 959 | ||||||
Akorn * (A) | 105,243 | 2,710 | ||||||
Alere * | 23,600 | 772 | ||||||
Algeta * | 39,757 | 2,295 | ||||||
Align Technology * | 50,220 | 2,744 |
Description | Shares | Market Value ($ Thousands) | ||||||
Alkermes * | 46,557 | $ | 1,880 | |||||
Alnylam Pharmaceuticals * (A) | 23,765 | 1,454 | ||||||
AmerisourceBergen | 19,559 | 1,380 | ||||||
Amsurg, Cl A * | 32,058 | 1,549 | ||||||
athenahealth * (A) | 52,128 | 6,838 | ||||||
BioMarin Pharmaceutical * | 12,957 | 912 | ||||||
Cardiovascular Systems * | 11,894 | 395 | ||||||
CareFusion * | 44,139 | 1,759 | ||||||
Celldex Therapeutics * (A) | 80,091 | 2,223 | ||||||
Centene * | 32,009 | 1,912 | ||||||
Charles River Laboratories International * | 95,787 | 4,997 | ||||||
CONMED | 25,450 | 1,036 | ||||||
Covance * | 42,456 | 3,582 | ||||||
Cross Country Healthcare * | 23,800 | 182 | ||||||
Cubist Pharmaceuticals * | 62,887 | 4,308 | ||||||
Dentsply International | 35,416 | 1,684 | ||||||
DexCom * | 157,446 | 5,210 | ||||||
Endo Health Solutions * (A) | 51,379 | 3,452 | ||||||
Endologix * (A) | 202,328 | 3,616 | ||||||
Ensign Group | 24,000 | 1,084 | ||||||
Envision Healthcare Holdings * | 93,600 | 2,772 | ||||||
ExamWorks Group * (A) | 159,226 | 4,699 | ||||||
Exelixis * (A) | 202,740 | 1,182 | ||||||
Furiex Pharmaceuticals * | 41,111 | 1,850 | ||||||
Greatbatch * | 29,360 | 1,193 | ||||||
Haemonetics * | 27,271 | 1,153 | ||||||
Health Net * | 68,756 | 2,101 | ||||||
HealthSouth | 179,172 | 6,413 | ||||||
HeartWare International * (A) | 51,504 | 4,965 | ||||||
Hill-Rom Holdings | 20,700 | 857 | ||||||
HMS Holdings * (A) | 56,673 | 1,299 | ||||||
Humana | 21,700 | 2,257 | ||||||
Hyperion Therapeutics * (A) | 56,453 | 1,442 | ||||||
ICON * | 62,767 | 2,394 | ||||||
Idexx Laboratories * (A) | 20,031 | 2,086 | ||||||
ImmunoGen * (A) | 78,310 | 1,138 | ||||||
Incyte * (A) | 49,386 | 2,301 | ||||||
Insulet * (A) | 81,700 | 3,025 | ||||||
Intercept Pharmaceuticals * | 12,912 | 676 | ||||||
IPC The Hospitalist * (A) | 15,254 | 959 | ||||||
Ironwood Pharmaceuticals, Cl A * (A) | 194,532 | 2,222 | ||||||
Isis Pharmaceuticals * (A) | 78,240 | 3,033 | ||||||
Jazz Pharmaceuticals * | 25,320 | 2,961 | ||||||
Karyopharm Therapeutics * | 15,875 | 259 | ||||||
Keryx Biopharmaceuticals * (A) | 246,436 | 3,423 | ||||||
Kindred Healthcare | 76,300 | 1,285 | ||||||
KYTHERA Biopharmaceuticals * (A) | 20,081 | 783 | ||||||
LDR Holding * | 32,779 | 722 | ||||||
Magellan Health Services * | 37,146 | 2,273 | ||||||
Masimo * | 95,753 | 2,741 | ||||||
Medical Action Industries * | 24,200 | 208 | ||||||
Medicines * | 50,650 | 1,854 | ||||||
Medivation * | 26,810 | 1,689 | ||||||
MEDNAX * (A) | 51,383 | 5,693 | ||||||
Mettler Toledo International * (A) | 5,857 | 1,444 | ||||||
Momenta Pharmaceuticals * | 49,030 | 872 | ||||||
Natus Medical * | 13,500 | 311 | ||||||
NewLink Genetics * (A) | 69,045 | 1,553 | ||||||
NPS Pharmaceuticals * | 173,611 | 4,585 | ||||||
Orexigen Therapeutics * | 249,756 | 1,706 | ||||||
Pacira Pharmaceuticals * (A) | 93,427 | 5,156 |
4 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
�� | ||||||||
PAREXEL International * (A) | 44,870 | $ | 1,850 | |||||
Patterson | 47,748 | 1,981 | ||||||
PDL BioPharma (A) | 117,800 | 1,151 | ||||||
PerkinElmer | 33,970 | 1,292 | ||||||
Pharmacyclics * | 17,943 | 2,234 | ||||||
PharMerica * | 51,500 | 1,163 | ||||||
Portola Pharmaceuticals * | 70,785 | 1,770 | ||||||
Premier, Cl A * | 52,690 | 1,734 | ||||||
Puma Biotechnology * (A) | 33,138 | 1,650 | ||||||
Quest Diagnostics (A) | 26,372 | 1,607 | ||||||
Questcor Pharmaceuticals (A) | 17,700 | 1,027 | ||||||
Quidel * (A) | 55,094 | 1,386 | ||||||
Salix Pharmaceuticals * | 27,330 | 2,318 | ||||||
Sciclone Pharmaceuticals * | 183,521 | 896 | ||||||
Seattle Genetics * (A) | 43,697 | 1,795 | ||||||
Select Medical Holdings | 143,000 | 1,238 | ||||||
Sirona Dental Systems * | 22,940 | 1,578 | ||||||
Skilled Healthcare Group, Cl A * (A) | 98,400 | 506 | ||||||
Spectranetics * | 85,037 | 1,978 | ||||||
Surgical Care Affiliates * | 34,551 | 1,052 | ||||||
Symmetry Medical * | 56,500 | 554 | ||||||
Synageva BioPharma * (A) | 35,103 | 2,121 | ||||||
Tandem Diabetes Care * | 37,122 | 817 | ||||||
Team Health Holdings * | 148,778 | 6,952 | ||||||
TearLab * (A) | 63,906 | 599 | ||||||
Techne | 31,033 | 2,655 | ||||||
Teleflex | 9,579 | 942 | ||||||
TESARO * | 56,307 | 2,196 | ||||||
United Therapeutics * (A) | 36,600 | 3,379 | ||||||
Universal Health Services, Cl B | 52,916 | 4,362 | ||||||
Varian Medical Systems * (A) | 29,122 | 2,273 | ||||||
VCA Antech * | 100,078 | 2,997 | ||||||
Veeva Systems, Cl A * | 9,540 | 386 | ||||||
Volcano * (A) | 55,564 | 1,265 | ||||||
WellCare Health Plans * | 92,157 | 6,847 | ||||||
|
| |||||||
227,404 | ||||||||
|
| |||||||
Industrials — 17.7% | ||||||||
AAR | 47,800 | 1,492 | ||||||
ACCO Brands * (A) | 63,200 | 380 | ||||||
Actuant, Cl A (A) | 192,097 | 7,507 | ||||||
Acuity Brands (A) | 17,113 | 1,755 | ||||||
Aegean Marine Petroleum Network | 42,600 | 457 | ||||||
AGCO | 53,500 | 3,118 | ||||||
Air Transport Services Group * | 56,300 | 438 | ||||||
Aircastle | 119,900 | 2,244 | ||||||
Alliant Techsystems | 26,500 | 3,213 | ||||||
Altra Holdings | 118,672 | 3,605 | ||||||
AMERCO * | 13,118 | 3,040 | ||||||
American Science & Engineering | 5,066 | 363 | ||||||
Applied Industrial Technologies | 70,869 | 3,429 | ||||||
Armstrong World Industries * | 63,254 | 3,365 | ||||||
Avis Budget Group * (A) | 101,534 | 3,743 | ||||||
Barnes Group | 34,855 | 1,272 | ||||||
BE Aerospace * | 32,329 | 2,813 | ||||||
Beacon Roofing Supply * (A) | 61,745 | 2,296 | ||||||
Brink’s | 11,900 | 399 | ||||||
Carlisle | 39,680 | 2,917 | ||||||
Chart Industries * | 29,295 | 2,850 | ||||||
Cintas (A) | 29,969 | 1,663 | ||||||
CIRCOR International | 19,725 | 1,565 | ||||||
Clean Harbors * (A) | 106,950 | 5,644 |
Description | Shares | Market Value ($ Thousands) | ||||||
Colfax * | 34,845 | $ | 2,024 | |||||
Consolidated Graphics * | 26,200 | 1,688 | ||||||
Con-way | 82,903 | 3,431 | ||||||
Corporate Executive Board | 61,305 | 4,514 | ||||||
Curtiss-Wright | 50,107 | 2,644 | ||||||
Deluxe (A) | 110,693 | 5,500 | ||||||
Diana Shipping * (A) | 110,920 | 1,270 | ||||||
DigitalGlobe * | 175,959 | 6,968 | ||||||
Dover | 19,454 | 1,765 | ||||||
Dycom Industries * | 176,554 | 4,997 | ||||||
EMCOR Group | 108,871 | 4,325 | ||||||
EnerSys (A) | 41,755 | 2,979 | ||||||
Engility Holdings * | 6,300 | 201 | ||||||
EnPro Industries * (A) | 15,574 | 881 | ||||||
Esterline Technologies * | 46,075 | 4,056 | ||||||
Expeditors International of Washington | 61,046 | 2,652 | ||||||
Flow International * | 60,600 | 244 | ||||||
Fluor | 21,153 | 1,646 | ||||||
FreightCar America | 1,900 | 44 | ||||||
FTI Consulting * (A) | 27,516 | 1,236 | ||||||
G&K Services, Cl A | 44,032 | 2,652 | ||||||
Generac Holdings * (A) | 77,563 | 4,131 | ||||||
General Cable (A) | 28,942 | 843 | ||||||
Genesee & Wyoming, Cl A * (A) | 87,167 | 8,385 | ||||||
Global Power Equipment Group (A) | 22,300 | 436 | ||||||
GrafTech International * (A) | 393,414 | 4,532 | ||||||
Great Lakes Dredge & Dock * | 102,500 | 913 | ||||||
HD Supply Holdings * | 77,906 | 1,641 | ||||||
Heico, Cl A | 125,720 | 5,211 | ||||||
Hertz Global Holdings * | 107,991 | 2,620 | ||||||
Hexcel * | 182,672 | 8,025 | ||||||
ICF International * | 10,000 | 362 | ||||||
IDEX | 40,100 | 2,860 | ||||||
Interface, Cl A | 182,371 | 3,656 | ||||||
ITT | 32,416 | 1,323 | ||||||
JetBlue Airways * (A) | 136,600 | 1,214 | ||||||
Kadant | 70,933 | 2,938 | ||||||
KAR Auction Services | 70,092 | 1,934 | ||||||
Kennametal | 87,621 | 4,160 | ||||||
KEYW Holding * (A) | 90,957 | 1,127 | ||||||
Kirby * | 35,545 | 3,357 | ||||||
L-3 Communications Holdings, Cl 3 | 31,900 | 3,300 | ||||||
Landstar System | 42,345 | 2,377 | ||||||
Lincoln Electric Holdings | 33,040 | 2,362 | ||||||
Lindsay Manufacturing (A) | 21,062 | 1,609 | ||||||
Lydall * | 49,700 | 886 | ||||||
Middleby * | 14,100 | 3,114 | ||||||
Mobile Mini * | 66,397 | 2,682 | ||||||
Moog, Cl A * | 76,445 | 5,250 | ||||||
MRC Global * | 11,800 | 361 | ||||||
MSC Industrial Direct, Cl A | 32,474 | 2,495 | ||||||
MYR Group * | 21,600 | 549 | ||||||
Navistar International * (A) | 60,481 | 2,431 | ||||||
NN | 85,100 | 1,698 | ||||||
Nordson | 30,164 | 2,175 | ||||||
Northwest Pipe * | 26,620 | 1,038 | ||||||
Old Dominion Freight Line * | 196,723 | 10,137 | ||||||
On Assignment * | 60,284 | 2,051 | ||||||
Orion Marine Group * (A) | 89,745 | 1,065 | ||||||
Oshkosh Truck | 91,815 | 4,476 | ||||||
Owens Corning * | 138,736 | 5,433 | ||||||
Parker Hannifin | 16,536 | 1,949 |
5 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Pitney Bowes (A) | 103,400 | $ | 2,396 | |||||
Polypore International * (A) | 76,374 | 2,901 | ||||||
Primoris Services | 180,609 | 5,194 | ||||||
Rand Logistics * (A) | 28,500 | 148 | ||||||
RBC Bearings * | 28,292 | 1,935 | ||||||
Regal-Beloit | 89,881 | 6,613 | ||||||
Ritchie Bros Auctioneers (A) | 104,427 | 2,156 | ||||||
Rollins | 40,248 | 1,132 | ||||||
Ryder System | 24,400 | 1,704 | ||||||
Sensata Technologies Holding * (A) | 137,300 | 5,352 | ||||||
Simpson Manufacturing | 32,610 | 1,184 | ||||||
SkyWest | 49,700 | 840 | ||||||
Spirit Aerosystems Holdings, Cl A * | 121,600 | 3,969 | ||||||
Spirit Airlines * | 94,267 | 4,324 | ||||||
Standard Parking * | 49,093 | 1,200 | ||||||
Stanley Black & Decker | 23,699 | 1,929 | ||||||
Steelcase, Cl A | 151,050 | 2,467 | ||||||
Swift Transporation, Cl A * (A) | 108,675 | 2,516 | ||||||
TAL International Group (A) | 26,500 | 1,448 | ||||||
Team * | 26,059 | 1,066 | ||||||
Teledyne Technologies * | 39,506 | 3,663 | ||||||
Tennant | 37,069 | 2,419 | ||||||
Terex * | 85,669 | 3,112 | ||||||
Tetra Tech * | 60,574 | 1,732 | ||||||
Textron (A) | 100,075 | 3,325 | ||||||
Timken | 18,800 | 973 | ||||||
Titan Machinery * (A) | 36,700 | 654 | ||||||
Towers Watson, Cl A | 12,750 | 1,436 | ||||||
TransDigm Group * | 17,956 | 2,810 | ||||||
Trimas * | 29,321 | 1,073 | ||||||
Trinity Industries | 41,500 | 2,154 | ||||||
Triumph Group | 23,376 | 1,728 | ||||||
TrueBlue * | 277,628 | 7,091 | ||||||
Tutor Perini * | 68,400 | 1,675 | ||||||
United Rentals * (A) | 43,050 | 2,959 | ||||||
URS | 53,800 | 2,796 | ||||||
US Ecology | 44,605 | 1,716 | ||||||
USG * (A) | 68,896 | 1,887 | ||||||
Valmont Industries | 19,330 | 2,797 | ||||||
Wabash National * | 14,000 | 170 | ||||||
Wabtec | 60,169 | 4,152 | ||||||
WageWorks * | 99,539 | 5,704 | ||||||
Watts Water Technologies, Cl A (A) | 20,876 | 1,255 | ||||||
WESCO International * (A) | 78,730 | 6,769 | ||||||
Xylem | 50,636 | 1,750 | ||||||
|
| |||||||
348,665 | ||||||||
|
| |||||||
Information Technology — 18.6% | ||||||||
Acxiom * | 103,035 | 3,429 | ||||||
ADTRAN | 41,963 | 1,078 | ||||||
Advent Software * | 46,928 | 1,650 | ||||||
Amdocs | 53,400 | 2,161 | ||||||
Angie’s List * (A) | 147,799 | 1,924 | ||||||
ARRIS Group * | 159,281 | 3,268 | ||||||
Arrow Electronics * | 55,076 | 2,828 | ||||||
Aspen Technology * | 155,887 | 6,162 | ||||||
Atmel * | 771,184 | 5,900 | ||||||
Avnet | 34,300 | 1,369 | ||||||
Bankrate * (A) | 194,769 | 3,650 | ||||||
Belden | 42,658 | 2,987 | ||||||
Benchmark Electronics * | 68,300 | 1,570 | ||||||
Black Box | 42,000 | 1,176 |
Description | Shares | Market Value ($ Thousands) | ||||||
Blackbaud | 134,855 | $ | 4,878 | |||||
Broadridge Financial Solutions | 108,088 | 4,124 | ||||||
Brocade Communications Systems * | 228,700 | 2,010 | ||||||
CACI International, Cl A * (A) | 20,993 | 1,507 | ||||||
Cadence Design Systems * (A) | 682,837 | 9,048 | ||||||
Cavium * (A) | 136,844 | 4,954 | ||||||
CDW | 97,915 | 2,183 | ||||||
ChannelAdvisor * | 14,382 | 494 | ||||||
Chegg * | 19,141 | 157 | ||||||
ciber * (A) | 174,400 | 691 | ||||||
Ciena * (A) | 204,888 | 4,551 | ||||||
Coherent * | 12,926 | 892 | ||||||
CommVault Systems * | 19,780 | 1,481 | ||||||
Computer Sciences | 33,500 | 1,763 | ||||||
Computer Task Group | 35,700 | 680 | ||||||
Comtech Telecommunications | 34,396 | 1,106 | ||||||
Concur Technologies * (A) | 37,513 | 3,642 | ||||||
Constant Contact * | 118,848 | 3,253 | ||||||
Convergys | 133,700 | 2,743 | ||||||
Cornerstone OnDemand * (A) | 61,356 | 3,094 | ||||||
CoStar Group * | 62,368 | 11,615 | ||||||
Criteo ADR * (A) | 24,561 | 887 | ||||||
Dealertrack Technologies * | 213,261 | 8,914 | ||||||
Demandware * | 71,224 | 4,036 | ||||||
Diebold | 76,331 | 2,605 | ||||||
Digi International * | 52,300 | 602 | ||||||
Diodes * | 15,200 | 310 | ||||||
DTS * (A) | 26,616 | 596 | ||||||
EarthLink | 157,020 | 856 | ||||||
Emulex * | 84,888 | 633 | ||||||
Envestnet * | 144,515 | 5,744 | ||||||
Euronet Worldwide * | 76,087 | 3,686 | ||||||
Exar * | 55,200 | 676 | ||||||
ExlService Holdings * | 32,231 | 850 | ||||||
Fairchild Semiconductor International, Cl A * | 267,772 | 3,409 | ||||||
Fidelity National Information Services | 38,881 | 1,970 | ||||||
FireEye * | 19,679 | 755 | ||||||
First Solar * (A) | 41,071 | 2,457 | ||||||
FleetMatics Group * (A) | 159,669 | 6,179 | ||||||
Gartner * | 42,444 | 2,744 | ||||||
Genpact * | 47,070 | 843 | ||||||
Global Payments (A) | 57,882 | 3,649 | ||||||
Guidewire Software * (A) | 125,397 | 5,985 | ||||||
Harris | 44,500 | 2,871 | ||||||
Heartland Payment Systems (A) | 77,269 | 3,470 | ||||||
Himax Technologies ADR (A) | 253,826 | 2,538 | ||||||
IAC | 22,930 | 1,312 | ||||||
Infinera * (A) | 199,920 | 1,859 | ||||||
Infoblox * | 114,389 | 3,635 | ||||||
Informatica * (A) | 90,734 | 3,521 | ||||||
Inphi * | 53,318 | 666 | ||||||
Insight Enterprises * | 72,500 | 1,745 | ||||||
Integrated Device Technology * | 365,943 | 3,630 | ||||||
Interactive Intelligence Group * | 54,377 | 3,537 | ||||||
Intersil, Cl A | 204,467 | 2,151 | ||||||
IntraLinks Holdings * | 70,450 | 769 | ||||||
Ixia * | 69,620 | 904 | ||||||
Jabil Circuit | 69,114 | 1,401 | ||||||
Jack Henry & Associates | 67,124 | 3,811 | ||||||
Juniper Networks * | 66,603 | 1,350 | ||||||
Kulicke & Soffa Industries * | 12,000 | 151 |
6 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Lam Research * | 37,080 | $ | 1,932 | |||||
Lattice Semiconductor * | 448,751 | 2,500 | ||||||
Lexmark International, Cl A (A) | 49,300 | 1,744 | ||||||
Liquidity Services * (A) | 21,639 | 501 | ||||||
Littelfuse | 28,082 | 2,442 | ||||||
LogMeIn * | 47,130 | 1,626 | ||||||
Marketo * (A) | 7,096 | 207 | ||||||
Marvell Technology Group | 114,600 | 1,631 | ||||||
MAXIMUS | 97,776 | 4,449 | ||||||
Measurement Specialties * | 43,808 | 2,424 | ||||||
Microchip Technology (A) | 42,681 | 1,848 | ||||||
MKS Instruments (A) | 36,898 | 1,098 | ||||||
National Instruments | 39,905 | 1,247 | ||||||
NQ Mobile ADR * (A) | 40,808 | 533 | ||||||
ON Semiconductor * | 197,078 | 1,397 | ||||||
OpenTable * (A) | 34,240 | 2,861 | ||||||
OSI Systems * | 37,054 | 2,842 | ||||||
Palo Alto Networks * | 9,200 | 460 | ||||||
Pandora Media * (A) | 140,109 | 3,979 | ||||||
Plantronics | 11,500 | 514 | ||||||
Plexus * | 71,208 | 2,875 | ||||||
Power Integrations | 33,298 | 1,780 | ||||||
PRGX Global * | 81,800 | 538 | ||||||
Progress Software * | 55,441 | 1,460 | ||||||
PTC * | 297,740 | 9,689 | ||||||
RealPage * (A) | 135,398 | 3,034 | ||||||
Responsys * | 168,876 | 2,856 | ||||||
RF Micro Devices * | 279,709 | 1,477 | ||||||
Saba Software * | 67,100 | 802 | ||||||
Seagate Technology | 48,600 | 2,383 | ||||||
ServiceSource International * | 225,330 | 2,188 | ||||||
Shutterstock * (A) | 64,114 | 4,743 | ||||||
Solera Holdings | 69,548 | 4,642 | ||||||
Sonus Networks * | 396,571 | 1,154 | ||||||
Splunk * | 18,623 | 1,344 | ||||||
SPS Commerce * | 35,129 | 2,310 | ||||||
SS&C Technologies Holdings * | 219,580 | 9,466 | ||||||
Stamps.com * | 35,823 | 1,650 | ||||||
Stratasys * (A) | 19,030 | 2,241 | ||||||
Sykes Enterprises * (A) | 25,898 | 573 | ||||||
Symantec | 70,655 | 1,589 | ||||||
Synaptics * (A) | 30,200 | 1,525 | ||||||
Synopsys * | 49,034 | 1,796 | ||||||
Tableau Software, Cl A * | 66,324 | 4,347 | ||||||
Tech Data * | 31,800 | 1,649 | ||||||
Teradata * | 65,878 | 3,007 | ||||||
Teradyne * (A) | 101,000 | 1,720 | ||||||
Textura * (A) | 42,003 | 1,422 | ||||||
Tremor Video * | 148,974 | 693 | ||||||
Trimble Navigation * | 91,596 | 2,922 | ||||||
TriQuint Semiconductor * (A) | 194,027 | 1,529 | ||||||
Trulia * | 121,176 | 4,161 | ||||||
Tyler Technologies * | 23,670 | 2,429 | ||||||
Ultimate Software Group * | 29,085 | 4,557 | ||||||
Ultra Clean Holdings * | 59,014 | 588 | ||||||
Ultratech * | 30,900 | 818 | ||||||
United Online (A) | 13,300 | 211 | ||||||
Verint Systems * | 92,097 | 3,492 | ||||||
Virtusa * | 59,737 | 2,108 | ||||||
Vishay Intertechnology * (A) | 183,947 | 2,378 | ||||||
VistaPrint * (A) | 50,601 | 2,901 | ||||||
Web.com Group * (A) | 187,778 | 5,361 | ||||||
Western Digital | 36,000 | 2,702 | ||||||
WEX * | 59,373 | 5,893 | ||||||
Wix.com * (A) | 50,700 | 1,039 |
Description | Shares | Market Value ($ Thousands) | ||||||
WNS Holdings ADR * | 124,340 | $ | 2,489 | |||||
Yelp, Cl A * | 62,379 | 3,786 | ||||||
Zebra Technologies, Cl A * | 23,113 | 1,198 | ||||||
Zillow, Cl A * (A) | 22,000 | 1,730 | ||||||
|
| |||||||
365,205 | ||||||||
|
| |||||||
Materials — 4.4% | ||||||||
Air Products & Chemicals | 11,915 | 1,297 | ||||||
Albemarle | 27,393 | 1,882 | ||||||
Allegheny Technologies (A) | 82,563 | 2,743 | ||||||
Cabot | 53,600 | 2,616 | ||||||
Chemtura * | 114,833 | 3,031 | ||||||
Cliffs Natural Resources (A) | 17,700 | 443 | ||||||
Crown Holdings * | 59,360 | 2,620 | ||||||
Cytec Industries | 11,801 | 1,056 | ||||||
Domtar | 18,100 | 1,548 | ||||||
Eastman Chemical | 9,900 | 763 | ||||||
Glatfelter | 51,000 | 1,428 | ||||||
Greif, Cl A | 49,848 | 2,739 | ||||||
GSE Holding * | 58,100 | 120 | ||||||
H.B. Fuller | 89,491 | 4,585 | ||||||
Huntsman | 111,600 | 2,559 | ||||||
Innophos Holdings | 21,468 | 1,030 | ||||||
Kaiser Aluminum (A) | 38,012 | 2,559 | ||||||
KapStone Paper and Packaging * | 110,349 | 5,879 | ||||||
LSB Industries * | 22,100 | 709 | ||||||
Methanex | 68,465 | 4,204 | ||||||
Minerals Technologies | 22,995 | 1,366 | ||||||
Neenah Paper | 35,800 | 1,503 | ||||||
Nucor | 23,691 | 1,210 | ||||||
Olin (A) | 74,800 | 1,857 | ||||||
Owens-Illinois * | 58,908 | 1,944 | ||||||
PolyOne | 279,122 | 9,060 | ||||||
Reliance Steel & Aluminum | 27,544 | 2,025 | ||||||
Rock Tenn, Cl A | 22,608 | 2,135 | ||||||
Rockwood Holdings | 51,489 | 3,525 | ||||||
RTI International Metals * (A) | 127,033 | 4,430 | ||||||
Schweitzer-Mauduit International | 9,300 | 480 | ||||||
Scotts Miracle-Gro, Cl A (A) | 41,769 | 2,447 | ||||||
Sensient Technologies | 93,323 | 4,586 | ||||||
Silgan Holdings | 63,712 | 2,978 | ||||||
Steel Dynamics | 61,000 | 1,111 | ||||||
UFP Technologies * | 47,600 | 1,219 | ||||||
US Silica Holdings (A) | 35,946 | 1,240 | ||||||
|
| |||||||
86,927 | ||||||||
|
| |||||||
Telecommunication Services — 0.4% | ||||||||
Inteliquent | 48,200 | 558 | ||||||
Iridium Communications * (A) | 139,300 | 857 | ||||||
RingCentral, Cl A * | 44,097 | 700 | ||||||
SBA Communications, Cl A * (A) | 27,161 | 2,313 | ||||||
USA Mobility | 76,117 | 1,118 | ||||||
Vonage Holdings * | 481,600 | 1,594 | ||||||
|
| |||||||
7,140 | ||||||||
|
| |||||||
Utilities — 2.3% | ||||||||
AGL Resources | 38,819 | 1,806 | ||||||
ALLETE | 19,850 | 978 | ||||||
Ameren | 79,700 | 2,857 | ||||||
Avista | 90,600 | 2,469 | ||||||
Cadiz * (A) | 52,900 | 313 | ||||||
Cleco | 40,094 | 1,833 | ||||||
Edison International | 20,626 | 953 |
7 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Small/Mid Cap Equity Fund
November 30, 2013
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Empire District Electric (A) | 14,200 | $ | 322 | |||||
Great Plains Energy | 193,299 | 4,589 | ||||||
IDACORP | 22,015 | 1,138 | ||||||
NorthWestern | 6,000 | 264 | ||||||
NRG Energy | 102,164 | 2,703 | ||||||
Piedmont Natural Gas (A) | 14,200 | 471 | ||||||
Pinnacle West Capital | 50,753 | 2,708 | ||||||
PNM Resources | 125,052 | 2,910 | ||||||
Portland General Electric (A) | 236,903 | 7,062 | ||||||
SCANA | 45,963 | 2,168 | ||||||
Southwest Gas | 19,565 | 1,038 | ||||||
UGI | 55,793 | 2,246 | ||||||
UIL Holdings (A) | 39,430 | 1,480 | ||||||
Vectren | 60,620 | 2,102 | ||||||
WGL Holdings | 22,660 | 903 | ||||||
Xcel Energy | 58,517 | 1,640 | ||||||
|
| |||||||
44,953 | ||||||||
|
| |||||||
Total Common Stock | 1,889,991 | |||||||
|
| |||||||
EXCHANGE TRADED FUNDS — 0.4% |
| |||||||
iShares Russell 2000 ETF (A) | 26,017 | 2,953 | ||||||
iShares Russell 2000 Growth | 15,110 | 2,013 | ||||||
iShares Russell 2000 Value | 28,000 | 2,748 | ||||||
|
| |||||||
Total Exchange Traded Funds | 7,714 | |||||||
|
| |||||||
Number Of Warrants | ||||||||
WARRANTS — 0.0% | ||||||||
Magnum Hunter Resource, Expires 08/29/14 * | 18,718 | — | ||||||
|
| |||||||
Total Warrants | — | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 19.7% | ||||||||
SEI Liquidity Fund, L.P. | ||||||||
0.080% ** † (B) | 388,102,036 | 388,102 | ||||||
|
| |||||||
Total Affiliated Partnership | 388,102 | |||||||
|
| |||||||
CASH EQUIVALENT — 1.3% | ||||||||
SEI Daily Income Trust, Prime | 24,990,851 | 24,991 | ||||||
|
| |||||||
Total Cash Equivalent | ||||||||
(Cost $24,991) ($ Thousands) | 24,991 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (C) (D) — 0.4% |
| |||||||
U.S. Treasury Bills | ||||||||
0.065%, 07/24/2014 | $ | 1,023 | 1,022 | |||||
0.047%, 02/06/2014 | 2,219 | 2,219 | ||||||
0.040%, 01/09/2014 | 3,939 | 3,939 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 7,180 | |||||||
|
| |||||||
Total Investments — 118.0% | $ | 2,317,978 | ||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2013, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
Russell 2000 Index E-MINI | 145 | Dec-2013 | $ | 876 | ||||||||
S&P Mid 400 E-MINI | 119 | Dec-2013 | 572 | |||||||||
|
| |||||||||||
$ | 1,448 | |||||||||||
|
|
For the period ended November 30, 2013, 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 $1,965,121 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2013. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
(A) | This security or a partial position of this security is on loan at November 30, 2013. The total value of securities on loan at November 30, 2013 was $378,288 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total value of such securities as of November 30, 2013 was $388,102 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(D) | The rate reported is the effective yield at time of purchase. |
ADR — American Depositary Receipt
Cl — Class
ETF — Exchange Traded Fund
L.P. — Limited Partnership
S&P — Standard & Poor’s
The following is a list of the level of inputs used as of November 30, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,889,991 | $ | — | $ | — | $ | 1,889,991 | ||||||||
Exchange Traded Funds | 7,714 | — | — | 7,714 | ||||||||||||
Warrants | — | — | — | — | ||||||||||||
Affiliated Partnership | — | 388,102 | — | 388,102 | ||||||||||||
Cash Equivalent | 24,991 | — | — | 24,991 | ||||||||||||
U.S. Treasury Obligations | — | 7,180 | — | 7,180 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,922,696 | $ | 395,282 | $ | — | $ | 2,317,978 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 1,448 | $ | — | $ | — | $ | 1,448 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2013, there have been no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2013, 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 $0.
The accompanying notes are an integral part of the financial statements.
8 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
U.S. Managed Volatility Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 96.9% |
| |||||||
Consumer Discretionary — 7.3% |
| |||||||
Advance Auto Parts | 21,542 | $ | 2,176 | |||||
Bed Bath & Beyond * | 40,800 | 3,184 | ||||||
Best Buy | 29,800 | 1,208 | ||||||
Big Lots * | 4,816 | 185 | ||||||
Brinker International | 24,909 | 1,171 | ||||||
Canadian Tire, Cl A | 44,700 | 4,210 | ||||||
Cogeco Cable | 13,400 | 608 | ||||||
Cracker Barrel Old Country Store | 24,700 | 2,680 | ||||||
DIRECTV * | 98,000 | 6,479 | ||||||
DSW, Cl A | 94,482 | 4,236 | ||||||
GameStop, Cl A | 60,300 | 2,909 | ||||||
Gap | 87,400 | 3,581 | ||||||
Graham Holdings | 5,100 | 3,435 | ||||||
Hasbro | 40,200 | 2,164 | ||||||
Kohl’s | 78,100 | 4,317 | ||||||
Madison Square Garden, Cl A * | 10,243 | 577 | ||||||
McDonald’s | 33,700 | 3,281 | ||||||
Morningstar | 49,811 | 4,155 | ||||||
News * | 154,541 | 2,775 | ||||||
Norwegian Cruise Line Holdings * | 22,605 | 771 | ||||||
Panera Bread, Cl A * | 4,300 | 761 | ||||||
PetSmart | 84,932 | 6,294 | ||||||
Scripps Networks Interactive, Cl A | 23,900 | 1,783 | ||||||
Target | 230,604 | 14,742 | ||||||
Time Warner Cable, Cl A | 34,700 | 4,796 | ||||||
TJX | 54,700 | 3,440 | ||||||
|
| |||||||
85,918 | ||||||||
|
| |||||||
Consumer Staples — 17.2% | ||||||||
Altria Group | 196,448 | 7,265 | ||||||
Archer-Daniels-Midland | 47,000 | 1,892 | ||||||
Bunge | 96,322 | 7,717 | ||||||
Cal-Maine Foods | 69,900 | 3,841 | ||||||
Campbell Soup | 37,026 | 1,434 | ||||||
Clorox | 91,586 | 8,533 | ||||||
Colgate-Palmolive | 42,522 | 2,798 | ||||||
ConAgra Foods | 329,936 | 10,885 | ||||||
Costco Wholesale | 66,465 | 8,337 | ||||||
CVS Caremark | 128,400 | 8,598 | ||||||
Dr. Pepper Snapple Group | 190,150 | 9,177 | ||||||
Energizer Holdings | 35,900 | 3,962 | ||||||
General Mills | 95,303 | 4,806 | ||||||
Hershey | 95,052 | 9,210 | ||||||
Hormel Foods | 177,070 | 7,972 | ||||||
Ingredion | 41,100 | 2,842 | ||||||
JM Smucker | 29,800 | 3,106 | ||||||
Kellogg | 113,219 | 6,866 | ||||||
Kimberly-Clark | 55,122 | 6,017 | ||||||
Kroger | 242,441 | 10,122 | ||||||
Lorillard | 37,645 | 1,932 | ||||||
McCormick | 6,504 | 449 | ||||||
Metro, Cl A | 79,900 | 4,673 | ||||||
Molson Coors Brewing, Cl B | 92,000 | 4,846 | ||||||
Monster Beverage * | 8,171 | 483 | ||||||
PepsiCo | 97,034 | 8,195 | ||||||
Reynolds American | 39,747 | 2,005 | ||||||
Safeway | 74,400 | 2,602 |
Description | Shares | Market Value ($ Thousands) | ||||||
Sysco | 110,039 | $ | 3,700 | |||||
TreeHouse Foods * | 32,400 | 2,273 | ||||||
Tyson Foods, Cl A | 462,875 | 14,668 | ||||||
Universal | 43,100 | 2,248 | ||||||
Walgreen | 71,400 | 4,227 | ||||||
Wal-Mart Stores | 232,856 | 18,864 | ||||||
Weis Markets | 37,000 | 1,888 | ||||||
Whole Foods Market | 80,859 | 4,576 | ||||||
|
| |||||||
203,009 | ||||||||
|
| |||||||
Energy — 3.9% | ||||||||
Chevron | 154,606 | 18,930 | ||||||
ConocoPhillips | 110,000 | 8,008 | ||||||
Core Laboratories | 5,800 | 1,057 | ||||||
Diamond Offshore Drilling | 24,600 | 1,477 | ||||||
Exxon Mobil | 167,900 | 15,695 | ||||||
World Fuel Services | 9,187 | 353 | ||||||
|
| |||||||
45,520 | ||||||||
|
| |||||||
Financials — 18.5% | ||||||||
Allied World Assurance | ||||||||
Holdings | 83,778 | 9,438 | ||||||
Allstate | 83,500 | 4,532 | ||||||
American Capital Agency ‡ | 79,200 | 1,614 | ||||||
American Financial Group | 141,700 | 8,170 | ||||||
Arch Capital Group * | 95,868 | 5,640 | ||||||
Assurant | 55,400 | 3,598 | ||||||
Axis Capital Holdings | 171,560 | 8,429 | ||||||
BOK Financial | 58,566 | 3,707 | ||||||
Canadian Imperial Bank of Commerce | 40,100 | 3,450 | ||||||
CBOE Holdings | 68,500 | 3,581 | ||||||
Chubb | 68,000 | 6,559 | ||||||
CIT Group | 32,971 | 1,665 | ||||||
Comerica | 74,800 | 3,392 | ||||||
Commerce Bancshares | 53,865 | 2,430 | ||||||
Cullen/Frost Bankers | 43,800 | 3,146 | ||||||
East West Bancorp | 96,700 | 3,315 | ||||||
Endurance Specialty Holdings | 40,800 | 2,321 | ||||||
Erie Indemnity, Cl A | 24,600 | 1,796 | ||||||
Everest Re Group | 121,990 | 19,132 | ||||||
First Citizens BancShares, Cl A | 3,741 | 840 | ||||||
First Niagara Financial Group | 309,500 | 3,448 | ||||||
FirstMerit | 142,200 | 3,265 | ||||||
Genworth MI Canada | 22,800 | 754 | ||||||
Government Properties Income Trust ‡ | 56,000 | 1,389 | ||||||
Hancock Holding | 43,800 | 1,542 | ||||||
Hanover Insurance Group | 30,500 | 1,839 | ||||||
HCC Insurance Holdings | 143,400 | 6,593 | ||||||
Huntington Bancshares | 365,600 | 3,356 | ||||||
MFA Mortgage Investments ‡ | 260,700 | 1,901 | ||||||
National Bank of Canada | 37,000 | 3,231 | ||||||
PartnerRe | 197,830 | 20,357 | ||||||
PennyMac Mortgage Investment Trust ‡ | 137,200 | 3,098 | ||||||
Platinum Underwriters Holdings | 46,600 | 2,954 | ||||||
PNC Financial Services Group | 34,929 | 2,688 | ||||||
Popular * | 33,781 | 966 | ||||||
Primerica | 71,100 | 3,059 | ||||||
Prosperity Bancshares | 24,700 | 1,584 | ||||||
Public Storage ‡ | 26,661 | 4,071 |
1 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
U.S. Managed Volatility Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
RenaissanceRe Holdings | 168,851 | $ | 15,990 | |||||
Signature Bank NY * | 31,100 | 3,304 | ||||||
Silver Bay Realty Trust ‡ | 9,496 | 152 | ||||||
SVB Financial Group * | 32,900 | 3,331 | ||||||
Tower Group International | 21,187 | 88 | ||||||
Travelers | 89,000 | 8,076 | ||||||
Two Harbors Investment ‡ | 270,600 | 2,503 | ||||||
US Bancorp | 217,845 | 8,544 | ||||||
Validus Holdings | 252,705 | 10,121 | ||||||
White Mountains Insurance Group | 5,000 | 3,014 | ||||||
|
| |||||||
217,973 | ||||||||
|
| |||||||
Health Care — 21.0% | ||||||||
Abbott Laboratories | 66,300 | 2,532 | ||||||
AbbVie | 80,000 | 3,876 | ||||||
Actavis * | 31,077 | 5,068 | ||||||
Aetna | 133,100 | 9,175 | ||||||
AmerisourceBergen | 249,529 | 17,599 | ||||||
Amgen | 90,500 | 10,324 | ||||||
AstraZeneca ADR | 107,100 | 6,125 | ||||||
Baxter International | 46,200 | 3,163 | ||||||
Becton Dickinson | 93,888 | 10,195 | ||||||
Cardinal Health | 186,392 | 12,041 | ||||||
CareFusion * | 84,300 | 3,359 | ||||||
Centene * | 54,500 | 3,255 | ||||||
Cigna | 43,300 | 3,787 | ||||||
Cooper | 4,800 | 632 | ||||||
Covance * | 14,033 | 1,184 | ||||||
Cubist Pharmaceuticals * | 49,800 | 3,412 | ||||||
Eli Lilly | 112,915 | 5,671 | ||||||
Endo Health Solutions * | 72,000 | 4,838 | ||||||
Express Scripts Holding * | 52,217 | 3,517 | ||||||
Forest Laboratories * | 68,500 | 3,515 | ||||||
Greatbatch * | 40,900 | 1,662 | ||||||
Henry Schein * | 39,909 | 4,550 | ||||||
Humana | 58,684 | 6,103 | ||||||
Idexx Laboratories * | 29,900 | 3,114 | ||||||
Intuitive Surgical * | 9,003 | 3,393 | ||||||
Jazz Pharmaceuticals * | 33,600 | 3,928 | ||||||
Johnson & Johnson | 161,542 | 15,291 | ||||||
Laboratory Corp of America Holdings * | 82,075 | 8,359 | ||||||
Magellan Health Services * | 33,800 | 2,069 | ||||||
McKesson | 99,719 | 16,542 | ||||||
MEDNAX * | 30,800 | 3,413 | ||||||
Medtronic | 47,400 | 2,717 | ||||||
Merck | 195,100 | 9,722 | ||||||
Myriad Genetics * | 2,963 | 88 | ||||||
Omnicare | 55,000 | 3,150 | ||||||
Orthofix International * | 29,900 | 647 | ||||||
Patterson | 72,900 | 3,025 | ||||||
PDL BioPharma | 156,300 | 1,527 | ||||||
Pfizer | 342,451 | 10,866 | ||||||
Quest Diagnostics | 43,700 | 2,663 | ||||||
Sirona Dental Systems * | 2,778 | 191 | ||||||
Techne | 46,285 | 3,959 | ||||||
United Therapeutics * | 42,400 | 3,914 | ||||||
UnitedHealth Group | 95,100 | 7,083 | ||||||
WellCare Health Plans * | 44,300 | 3,291 | ||||||
WellPoint | 72,700 | 6,752 | ||||||
Zimmer Holdings | 71,200 | 6,509 | ||||||
|
| |||||||
247,796 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Industrials — 6.7% | ||||||||
Alliant Techsystems | 62,600 | $ | 7,589 | |||||
Cintas | 4,274 | 237 | ||||||
Dun & Bradstreet | 27,400 | 3,202 | ||||||
General Dynamics | 54,500 | 4,996 | ||||||
L-3 Communications Holdings, Cl 3 | 108,700 | 11,246 | ||||||
Landstar System | 12,200 | 685 | ||||||
Lockheed Martin | 120,619 | 17,088 | ||||||
Northrop Grumman | 123,104 | 13,871 | ||||||
Old Dominion Freight Line * | 71,100 | 3,664 | ||||||
Raytheon | 114,800 | 10,180 | ||||||
Rollins | 117,100 | 3,294 | ||||||
United Parcel Service, Cl B | 23,200 | 2,375 | ||||||
|
| |||||||
78,427 | ||||||||
|
| |||||||
Information Technology — 9.4% | ||||||||
Amdocs | 428,940 | 17,355 | ||||||
AOL * | 9,518 | 424 | ||||||
Apple | 6,100 | 3,392 | ||||||
Avnet | 78,500 | 3,132 | ||||||
Broadridge Financial Solutions | 63,237 | 2,413 | ||||||
CACI International, Cl A * | 23,100 | 1,658 | ||||||
Cisco Systems | 238,000 | 5,058 | ||||||
Citrix Systems * | 9,416 | 558 | ||||||
CSG Systems International | 69,600 | 2,009 | ||||||
Dolby Laboratories, Cl A | 89,500 | 3,216 | ||||||
FactSet Research Systems | 42,090 | 4,756 | ||||||
Flextronics International * | 337,000 | 2,554 | ||||||
Harris | 60,600 | 3,909 | ||||||
Ingram Micro, Cl A * | 136,500 | 3,200 | ||||||
Intel | 285,300 | 6,802 | ||||||
International Business Machines | 58,675 | 10,543 | ||||||
Intuit | 8,813 | 654 | ||||||
Jack Henry & Associates | 59,800 | 3,395 | ||||||
Leidos Holdings * | 57,225 | 2,783 | ||||||
Marvell Technology Group | 53,700 | 764 | ||||||
Micros Systems * | 7,726 | 415 | ||||||
Microsoft | 168,000 | 6,406 | ||||||
Nvidia | 246,421 | 3,844 | ||||||
Oracle | 116,000 | 4,094 | ||||||
Paychex | 46,919 | 2,052 | ||||||
Science Applications International | 32,700 | 1,205 | ||||||
Skyworks Solutions * | 132,500 | 3,523 | ||||||
Synopsys * | 84,800 | 3,106 | ||||||
TE Connectivity | 54,289 | 2,862 | ||||||
Tech Data * | 36,400 | 1,887 | ||||||
Total System Services | 113,800 | 3,533 | ||||||
|
| |||||||
111,502 | ||||||||
|
| |||||||
Materials — 0.7% | ||||||||
Ball | 57,700 | 2,884 | ||||||
Bemis | 72,000 | 2,810 | ||||||
Compass Minerals International | 8,889 | 636 | ||||||
Praxair | 15,113 | 1,908 | ||||||
Scotts Miracle-Gro, Cl A | 6,696 | 392 | ||||||
|
| |||||||
8,630 | ||||||||
|
| |||||||
Telecommunication Services — 4.0% | ||||||||
AT&T | 365,586 | 12,872 |
2 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
U.S. Managed Volatility Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
BCE | 74,300 | $ | 3,290 | |||||
NTT DOCOMO ADR | 91,700 | 1,474 | ||||||
Rogers Communications, Cl B | 67,800 | 3,034 | ||||||
SK Telecom ADR | 207,600 | 4,958 | ||||||
TELUS | 67,200 | 2,384 | ||||||
tw telecom, Cl A * | 103,400 | 2,928 | ||||||
Verizon Communications | 226,576 | 11,243 | ||||||
Vodafone Group ADR | 141,800 | 5,259 | ||||||
|
| |||||||
47,442 | ||||||||
|
| |||||||
Utilities — 8.2% | ||||||||
Ameren | 112,600 | 4,037 | ||||||
American Electric Power | 131,200 | 6,174 | ||||||
American States Water | 81,600 | 2,381 | ||||||
American Water Works | 141,581 | 5,996 | ||||||
Atmos Energy | 66,800 | 2,969 | ||||||
CMS Energy | 6,956 | 185 | ||||||
Consolidated Edison | 101,559 | 5,607 | ||||||
DTE Energy | 126,041 | 8,412 | ||||||
Edison International | 316,113 | 14,608 | ||||||
Entergy | 67,900 | 4,202 | ||||||
Exelon | 91,900 | 2,473 | ||||||
Hawaiian Electric Industries | 48,236 | 1,221 | ||||||
NextEra Energy | 45,902 | 3,883 | ||||||
PG&E | 243,800 | 9,842 | ||||||
Pinnacle West Capital | 48,800 | 2,604 | ||||||
Portland General Electric | 145,500 | 4,337 | ||||||
PPL | 107,000 | 3,286 | ||||||
Public Service Enterprise Group | 188,500 | 6,162 | ||||||
SCANA | 36,492 | 1,721 | ||||||
Southern | 59,572 | 2,421 | ||||||
Vectren | 63,648 | 2,207 | ||||||
Wisconsin Energy | 34,922 | 1,459 | ||||||
|
| |||||||
96,187 | ||||||||
|
| |||||||
Total Common Stock | 1,142,404 | |||||||
|
| |||||||
CASH EQUIVALENT — 2.6% | ||||||||
SEI Daily Income Trust, Prime Obligation | 30,606,508 | 30,607 | ||||||
|
| |||||||
Total Cash Equivalent | 30,607 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (A) (B) — 0.2% |
| |||||||
U.S. Treasury Bills | ||||||||
0.075%, 07/24/2014 | 742 | 741 | ||||||
0.060%, 02/06/2014 | 1,173 | 1,173 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 1,914 | |||||||
|
| |||||||
Total Investments — 99.7% | $ | 1,174,925 | ||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2013, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
S&P 500 Index E-MINI | 265 | Dec-2013 | $ | 1,678 | ||||||||
|
|
For the period ended November 30, 2013, 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 $1,179,091 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2013. |
† | 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 & Poor’s |
The following is a list of the inputs used as of November 30, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,142,404 | $ | — | $ | — | $ | 1,142,404 | ||||||||
Cash Equivalent | 30,607 | — | — | 30,607 | ||||||||||||
U.S. Treasury Obligations | — | 1,914 | — | 1,914 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,173,011 | $ | 1,914 | $ | — | $ | 1,174,925 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 1,678 | $ | — | $ | — | $ | 1,678 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2013, 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 $O.
The accompanying notes are an integral part of the financial statements.
3 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
World Equity Ex-US Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 95.6% | ||||||||
Argentina — 0.1% | ||||||||
MercadoLibre (A) | 67,500 | $ | 7,473 | |||||
|
| |||||||
Australia — 1.2% | ||||||||
Amcor | 435,006 | 4,389 | ||||||
Australia & New Zealand | ||||||||
Banking Group ADR | 830,800 | 24,118 | ||||||
BGP Holdings * | 239,898 | — | ||||||
BHP Billiton ADR | 334,936 | 22,850 | ||||||
Caltex Australia | 473,266 | 8,239 | ||||||
DuluxGroup | 580,146 | 2,910 | ||||||
Insurance Australia Group | 724,260 | 4,004 | ||||||
Resolute Mining * | 1,184,013 | 541 | ||||||
Sigma Pharmaceuticals | 489,088 | 264 | ||||||
Sims Group * (A) | 425,870 | 3,981 | ||||||
Telstra | 829,590 | 3,836 | ||||||
|
| |||||||
75,132 | ||||||||
|
| |||||||
Austria — 1.1% | ||||||||
Conwert Immobilien Invest | 949,560 | 12,086 | ||||||
Erste Group Bank | 640,997 | 22,613 | ||||||
OMV | 187,069 | 9,182 | ||||||
Schoeller-Bleckmann Oilfield Equipment | 276,236 | 29,080 | ||||||
|
| |||||||
72,961 | ||||||||
|
| |||||||
Belgium — 0.6% | ||||||||
Ageas | 142,781 | 6,036 | ||||||
Anheuser-Busch InBev | 175,015 | 17,908 | ||||||
Delhaize Group | 208,139 | 12,156 | ||||||
KBC Groep * | 70,910 | 4,055 | ||||||
|
| |||||||
40,155 | ||||||||
|
| |||||||
Brazil — 2.6% | ||||||||
Banco Bradesco ADR (A) | 2,623,461 | 34,813 | ||||||
Banco do Brasil | 2,331,625 | 25,492 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo ADR * | 2,964,029 | 31,567 | ||||||
Cia Paranaense de Energia ADR (A) | 1,412,400 | 19,068 | ||||||
Cia Vale do Rio Doce ADR, Cl B (A) | 1,303,500 | 19,970 | ||||||
Embraer ADR (A) | 230,054 | 7,134 | ||||||
Kroton Educacional | 304,100 | 5,118 | ||||||
Light | 52,800 | 480 | ||||||
Natura Cosmeticos | 443,700 | 8,205 | ||||||
Petroleo Brasileiro ADR * (A) | 472,515 | 7,532 | ||||||
Telefonica Brasil ADR | 215,505 | 4,194 | ||||||
Tim Participacoes | 1,199,038 | 8,718 | ||||||
|
| |||||||
172,291 | ||||||||
|
| |||||||
Canada — 4.2% | ||||||||
Agrium | 111,600 | 10,052 | ||||||
Bank of Montreal | 59,100 | 4,109 | ||||||
Bankers Petroleum * | 97,700 | 366 | ||||||
Canadian Imperial Bank of Commerce | 66,900 | 5,756 | ||||||
Canadian National Railway | 190,453 | 21,499 | ||||||
Canadian Oil Sands 1 (A) | 103,800 | 1,948 | ||||||
Canfor * | 185,800 | 4,124 | ||||||
CCL Industries, Cl B | 5,700 | 468 | ||||||
Celestica * | 199,300 | 2,016 |
Description | Shares | Market Value ($ Thousands) | ||||||
Davis & Henderson Income (A) | 34,914 | $ | 927 | |||||
Empire, Cl A | 47,900 | 3,421 | ||||||
Enerplus | 38,368 | 701 | ||||||
Genworth MI Canada | 128,400 | 4,245 | ||||||
Gran Tierra Energy * | 133,771 | 950 | ||||||
Laurentian Bank of Canada (A) | 11,200 | 501 | ||||||
Legacy Oil + Gas * | 64,761 | 376 | ||||||
Lululemon Athletica * (A) | 270,034 | 18,827 | ||||||
Magna International, Cl A (A) | 503,000 | 40,910 | ||||||
Manulife Financial | 1,721,000 | 33,267 | ||||||
Methanex | 73,470 | 4,511 | ||||||
Mullen Group (A) | 106,000 | 2,794 | ||||||
Norbord (A) | 50,192 | 1,523 | ||||||
Parkland Fuel | 19,066 | 329 | ||||||
Potash Corp of Saskatchewan | 357,650 | 11,320 | ||||||
Quebecor, Cl B | 145,200 | 3,621 | ||||||
Rogers Communications, Cl B | 296,953 | 13,312 | ||||||
Royal Bank of Canada | 105,400 | 7,013 | ||||||
Suncor Energy | 147,900 | 5,088 | ||||||
Superior Plus (A) | 37,800 | 398 | ||||||
Teck Cominco, Cl B | 179,032 | 4,324 | ||||||
Toronto-Dominion Bank | 271,600 | 24,827 | ||||||
Trinidad Drilling | 25,300 | 236 | ||||||
Valeant Pharmaceuticals International * | 241,139 | 26,070 | ||||||
West Fraser Timber | 37,700 | 3,340 | ||||||
Yamana Gold | 1,500,800 | 13,642 | ||||||
|
| |||||||
276,811 | ||||||||
|
| |||||||
Chile — 0.1% | ||||||||
Enersis ADR | 230,029 | 3,598 | ||||||
|
| |||||||
China — 4.9% | ||||||||
Anhui Conch Cement (A) | 5,179,500 | 20,210 | ||||||
ANTA Sports Products | 2,710,000 | 3,817 | ||||||
Baidu * | 341,246 | 56,841 | ||||||
Bank of China | 14,110,000 | 6,825 | ||||||
China Construction Bank | 33,287,800 | 26,965 | ||||||
China Oilfield Services | 11,257,400 | 33,978 | ||||||
China Petroleum & Chemical | 28,751,970 | 24,700 | ||||||
China Shipping Container Lines * (A) | 42,678,900 | 11,505 | ||||||
Giant Interactive Group ADR | 65,778 | 739 | ||||||
Huaneng Power International | 2,458,000 | 2,349 | ||||||
Industrial & Commercial Bankof China | 49,454,402 | 35,531 | ||||||
Mindray Medical International ADR (A) | 528,301 | 21,032 | ||||||
PICC Property & Casualty | 3,940,000 | 6,536 | ||||||
SINA * | 120,200 | 9,264 | ||||||
Sinopharm Group | 3,233,386 | 9,613 | ||||||
Tencent Holdings | 488,669 | 28,264 | ||||||
Weichai Power | 5,469,600 | 24,199 | ||||||
|
| |||||||
322,368 | ||||||||
|
| |||||||
Colombia — 0.2% | ||||||||
Bancolombia ADR, Cl R (A) | 300,406 | 15,240 | ||||||
|
| |||||||
Czech Republic — 0.3% | ||||||||
AVG Technologies * | 133,020 | 2,299 |
1 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
World Equity Ex-US Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Komercni Banka | 62,153 | $ | 14,300 | |||||
|
| |||||||
16,599 | ||||||||
|
| |||||||
Denmark — 1.1% | ||||||||
Carlsberg, Cl B | 255,900 | 28,096 | ||||||
GN Store Nord | 141,166 | 3,378 | ||||||
Jyske Bank * | 11,918 | 646 | ||||||
Novo-Nordisk, Cl B | 166,672 | 29,921 | ||||||
Pandora | 193,550 | 10,062 | ||||||
Rockwool International, Cl B | 2,009 | 352 | ||||||
|
| |||||||
72,455 | ||||||||
|
| |||||||
Finland — 0.8% | ||||||||
Huhtamaki | 15,460 | 388 | ||||||
Kone, Cl B (A) | 120,391 | 11,089 | ||||||
Neste Oil (A) | 51,055 | 977 | ||||||
Nokia * | 3,748,185 | 30,416 | ||||||
Orion, Cl B | 40,639 | 1,073 | ||||||
Stora Enso, Cl R | 853,073 | 8,444 | ||||||
UPM-Kymmene | 110,512 | 1,840 | ||||||
|
| |||||||
54,227 | ||||||||
|
| |||||||
France — 4.3% | ||||||||
Air France-KLM * (A) | 476,814 | 4,952 | ||||||
Air Liquide | 181,347 | 25,333 | ||||||
AtoS | 19,133 | 1,623 | ||||||
AXA | 269,040 | 7,064 | ||||||
BNP Paribas | 111,206 | 8,366 | ||||||
Capital Gemini | 318,212 | 20,797 | ||||||
Compagnie Generale des Etablissements Michelin, Cl B | 150,615 | 16,395 | ||||||
Credit Agricole * | 146,771 | 1,844 | ||||||
Etablissements Maurel et Prom | 40,065 | 614 | ||||||
Iliad | 21,150 | 5,016 | ||||||
LVMH Moet Hennessy Louis Vuitton (A) | 167,166 | 31,580 | ||||||
Metropole Television | 11,444 | 250 | ||||||
Orange ADR | 1,182,400 | 15,348 | ||||||
Publicis Groupe | 257,601 | 22,819 | ||||||
Renault | 67,883 | 6,035 | ||||||
Safran | 165,030 | 10,888 | ||||||
Sanofi-Aventis | 240,800 | 25,521 | ||||||
Societe Generale | 379,686 | 21,885 | ||||||
Technicolor * | 55,226 | 280 | ||||||
Teleperformance | 193,007 | 11,008 | ||||||
Thales | 127,125 | 7,776 | ||||||
Total | 310,840 | 18,874 | ||||||
Valeo | 125,966 | 13,422 | ||||||
|
| |||||||
277,690 | ||||||||
|
| |||||||
Germany — 6.6% | ||||||||
Aareal Bank * | 37,925 | 1,396 | ||||||
Adidas | 418,713 | 51,035 | ||||||
Allianz | 45,379 | 7,899 | ||||||
BASF | 247,987 | 26,539 | ||||||
Continental | 17,381 | 3,637 | ||||||
Deutsche Bank | 460,371 | 22,246 | ||||||
Deutsche Boerse | 173,200 | 13,423 | ||||||
Deutsche Lufthansa * | 939,870 | 20,456 | ||||||
Deutsche Post | 242,360 | 8,589 | ||||||
Deutz * | 84,126 | 734 | ||||||
DMG MORI SEIKI | 46,137 | 1,427 | ||||||
Duerr | 47,320 | 4,136 | ||||||
E.ON | 243,028 | 4,685 |
Description | Shares | Market Value ($ Thousands) | ||||||
Freenet | 198,591 | $ | 5,650 | |||||
Fresenius Medical Care | 343,584 | 24,064 | ||||||
GEA Group | 597,223 | 27,895 | ||||||
Gerresheimer | 42,924 | 2,903 | ||||||
Hannover Rueck | 9,392 | 784 | ||||||
Henkel | 274,373 | 27,245 | ||||||
Hugo Boss | 199,530 | 26,841 | ||||||
KUKA | 28,658 | 1,349 | ||||||
Leoni | 11,629 | 871 | ||||||
Merck KGaA | 85,562 | 14,876 | ||||||
Metro | 55,743 | 2,800 | ||||||
Muenchener Rueckversicherungs | 117,048 | 25,658 | ||||||
Norddeutsche Affinerie | 87,191 | 5,154 | ||||||
Norma Group | 83,270 | 4,219 | ||||||
Rheinmetall | 119,726 | 7,394 | ||||||
SAP | 158,689 | 13,169 | ||||||
Siemens | 225,700 | 29,870 | ||||||
Stada Arzneimittel | 16,908 | 876 | ||||||
Suedzucker | 328,652 | 8,303 | ||||||
Symrise | 585,185 | 25,974 | ||||||
TUI * | 325,831 | 4,740 | ||||||
United Internet | 90,239 | 3,632 | ||||||
|
| |||||||
430,469 | ||||||||
|
| |||||||
Hong Kong — 2.9% | ||||||||
AIA Group | 6,981,140 | 35,389 | ||||||
BOC Hong Kong Holdings | 7,945,000 | 26,850 | ||||||
Chaoda Modern Agriculture * | 52,790 | — | ||||||
China Mobile | 4,495,922 | 48,423 | ||||||
CNOOC | 3,102,122 | 6,354 | ||||||
Daphne International Holdings (A) | 15,184,000 | 6,953 | ||||||
First Pacific | 1,591,589 | 1,827 | ||||||
Hong Kong Exchanges and Clearing | 1,297,977 | 22,787 | ||||||
Melco Crown Entertainment ADR * (A) | 218,420 | 7,774 | ||||||
Orient Overseas International | 4,315,000 | 22,820 | ||||||
Power Assets Holdings | 581,500 | 4,725 | ||||||
Sands China | 412,792 | 3,123 | ||||||
SJM Holdings | 1,437,000 | 4,606 | ||||||
|
| |||||||
191,631 | ||||||||
|
| |||||||
India — 1.3% | ||||||||
Britannia Industries | 196,580 | 2,757 | ||||||
HCL Technologies | 220,646 | 3,834 | ||||||
ICICI Bank ADR | 1,130,476 | 40,539 | ||||||
Infosys ADR | 81,391 | 4,397 | ||||||
Infosys Technologies | 217,527 | 11,677 | ||||||
Tata Motors | 472,802 | 3,017 | ||||||
Tata Motors ADR (A) | 451,700 | 14,667 | ||||||
Wipro | 464,010 | 3,496 | ||||||
|
| |||||||
84,384 | ||||||||
|
| |||||||
Indonesia — 0.3% | ||||||||
Bank Rakyat Indonesia Persero | 4,219,500 | 2,628 | ||||||
Indofood Sukses Makmur | 20,436,500 | 11,361 | ||||||
Telekomunikasi Indonesia Persero | 16,080,000 | 2,923 |
2 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
World Equity Ex-US Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Telekomunikasi Indonesia Persero ADR | 122,352 | $ | 4,471 | |||||
|
| |||||||
21,383 | ||||||||
|
| |||||||
Ireland — 1.6% | ||||||||
Accenture, Cl A (A) | 166,333 | 12,886 | ||||||
Actavis * | 162,430 | 26,487 | ||||||
ICON * | 794,178 | 30,290 | ||||||
Jazz Pharmaceuticals * | 279,208 | 32,645 | ||||||
|
| |||||||
102,308 | ||||||||
|
| |||||||
Israel — 1.0% | ||||||||
Bank Hapoalim | 711,023 | 3,962 | ||||||
Check Point Software Technologies * (A) | 441,312 | 27,300 | ||||||
Israel Chemicals | 934,480 | 7,954 | ||||||
Teva Pharmaceutical Industries | 569,900 | 23,229 | ||||||
|
| |||||||
62,445 | ||||||||
|
| |||||||
Italy — 1.3% | ||||||||
Azimut Holding | 326,230 | 8,364 | ||||||
Banca Intesa | 4,258,734 | 10,321 | ||||||
Brembo | 17,559 | 459 | ||||||
Exor | 319,893 | 12,557 | ||||||
Fiat * | 502,522 | 3,996 | ||||||
Fondiaria-Sai * | 1,511,020 | 4,012 | ||||||
Gtech Spa | 176,664 | 5,448 | ||||||
Mediaset * | 171,175 | 782 | ||||||
Safilo Group * | 20,195 | 503 | ||||||
Saipem | 399,430 | 8,984 | ||||||
Tod’s | 164,775 | 27,954 | ||||||
|
| |||||||
83,380 | ||||||||
|
| |||||||
Japan — 13.8% | ||||||||
Alfresa Holdings | 106,500 | 5,525 | ||||||
Alpen | 13,300 | 244 | ||||||
Alpine Electronics | 80,100 | 1,100 | ||||||
Aoyama Trading | 29,400 | 790 | ||||||
Asahi Kasei | 735,000 | 5,802 | ||||||
Bridgestone | 509,715 | 18,673 | ||||||
Calsonic Kansei | 850,000 | 4,276 | ||||||
Central Japan Railway | 19,400 | 2,335 | ||||||
Coca-Cola West | 85,700 | 1,898 | ||||||
Daicel | 171,000 | 1,356 | ||||||
Daihatsu Motor | 280,600 | 5,137 | ||||||
Daiichikosho | 15,600 | 458 | ||||||
Daikyo | 1,523,000 | 4,166 | ||||||
Dainippon Sumitomo Pharma | 69,000 | 994 | ||||||
Daito Trust Construction | 179,400 | 17,035 | ||||||
Daiwa House Industry | 792,000 | 15,396 | ||||||
Daiwa Securities Group | 919,000 | 8,933 | ||||||
DCM Holdings | 43,800 | 298 | ||||||
Denso | 849,400 | 42,567 | ||||||
Dowa Holdings | 389,000 | 3,948 | ||||||
FANUC | 88,220 | 14,858 | ||||||
Fuji Electric | 324,000 | 1,469 | ||||||
Fujitsu * | 472,669 | 2,203 | ||||||
Hino Motors | 356,000 | 5,519 | ||||||
HIS | 80,700 | 4,376 | ||||||
Hitachi | 6,943,300 | 51,211 | ||||||
Idemitsu Kosan | 3,500 | 315 | ||||||
Isuzu Motors | 4,042,600 | 25,828 | ||||||
IT Holdings | 195,100 | 2,958 | ||||||
Itochu | 318,800 | 4,024 |
Description | Shares | Market Value ($ Thousands) | ||||||
Iwatani | 51,000 | $ | 282 | |||||
Izumi | 19,200 | 582 | ||||||
Japan Airlines | 320,400 | 16,307 | ||||||
Japan Exchange Group | 1,340,430 | 35,814 | ||||||
Japan Tobacco | 320,673 | 10,839 | ||||||
KDDI | 684,800 | 43,015 | ||||||
Komatsu | 1,441,398 | 29,978 | ||||||
Kubota | 985,044 | 16,850 | ||||||
Kyowa Exeo | 29,800 | 360 | ||||||
Maeda Road Construction | 87,000 | 1,338 | ||||||
Mazda Motor * | 537,000 | 2,471 | ||||||
Medipal Holdings | 541,900 | 7,231 | ||||||
Misawa Homes | 98,000 | 1,489 | ||||||
Mitsubishi UFJ Financial Group | 6,201,956 | 39,927 | ||||||
Mitsui ADR | 82,300 | 22,870 | ||||||
Mitsui Engineering & Shipbuilding | 225,000 | 461 | ||||||
Mitsui Matsushima | 258,000 | 408 | ||||||
Mitsui Trust Holdings | 9,989,025 | 49,084 | ||||||
Mizuho Financial Group | 12,193,700 | 25,611 | ||||||
Namco Bandai Holdings | 511,100 | 10,390 | ||||||
NEC Networks & System Integration | 39,800 | 971 | ||||||
Nichii Gakkan | 210,000 | 1,766 | ||||||
Nippo | 166,000 | 2,645 | ||||||
Nippon Flour Mills | 78,000 | 372 | ||||||
Nippon Steel & Sumitomo Metal | 6,817,000 | 22,110 | ||||||
Nippon Telegraph & Telephone | 386,300 | 19,397 | ||||||
Nissan Tokyo Sales Holdings | 226,000 | 1,091 | ||||||
Nitto Denko | 485,941 | 24,733 | ||||||
Nitto Denko ADR | 834,060 | 21,318 | ||||||
NOF | 45,000 | 309 | ||||||
Nomura Real Estate Holdings | 220,500 | 5,200 | ||||||
North Pacific Bank | 224,800 | 861 | ||||||
Otsuka | 11,800 | 1,509 | ||||||
Pigeon | 44,800 | 2,147 | ||||||
Resona Holdings | 107,100 | 531 | ||||||
Round One | 72,600 | 572 | ||||||
Secom | 473,100 | 29,209 | ||||||
Sega Sammy Holdings | 537,300 | 14,167 | ||||||
Seiko Epson | 34,000 | 822 | ||||||
Seino Holdings | 201,000 | 2,299 | ||||||
Shimachu | 10,400 | 234 | ||||||
Showa | 20,600 | 309 | ||||||
SKY Perfect JSAT Holdings | 425,600 | 2,187 | ||||||
SoftBank | 608,659 | 49,292 | ||||||
Sojitz | 1,858,000 | 3,431 | ||||||
Sumitomo Forestry | 25,500 | 305 | ||||||
Sumitomo Mitsui Financial Group | 192,400 | 9,529 | ||||||
Sumitomo Osaka Cement | 130,000 | 503 | ||||||
Suzuken | 140,900 | 4,790 | ||||||
Sysmex | 405,548 | 26,385 | ||||||
Taisei | 81,000 | 368 | ||||||
Toagosei | 341,000 | 1,522 | ||||||
Toho Holdings | 193,600 | 3,310 | ||||||
Tokai Tokyo Securities | 3,415,800 | 30,699 | ||||||
Tokyo Seimitsu | 54,500 | 1,119 | ||||||
Toshiba TEC | 91,000 | 578 | ||||||
Toyoda Gosei | 27,300 | 672 | ||||||
Toyota Motor | 709,191 | 44,201 | ||||||
Watabe Wedding | 7,955 | 51 |
3 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
World Equity Ex-US Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Zenkoku Hosho | 57,800 | $ | 2,668 | |||||
|
| |||||||
903,181 | ||||||||
|
| |||||||
Malaysia — 0.0% | ||||||||
Hong Leong Financial Group | 94,700 | 465 | ||||||
Tenaga Nasional | 613,300 | 1,876 | ||||||
|
| |||||||
2,341 | ||||||||
|
| |||||||
Mexico — 0.9% | ||||||||
America Movil, Ser L | 6,261,181 | 20,387 | ||||||
Grupo Lala, Cl B * | 11,550,000 | 25,579 | ||||||
Wal-Mart de Mexico | 3,956,216 | 10,437 | ||||||
|
| |||||||
56,403 | ||||||||
|
| |||||||
Netherlands — 3.9% | ||||||||
AerCap Holdings * | 236,664 | 4,977 | ||||||
ASM International | 18,222 | 618 | ||||||
ASML Holding | 166,291 | 15,597 | ||||||
Chicago Bridge & Iron | 350,023 | 26,840 | ||||||
Core Laboratories | 324,577 | 59,118 | ||||||
European Aeronautic Defense and Space | 313,267 | 22,290 | ||||||
Heineken Holding | 56,426 | 3,560 | ||||||
ING Groep * | 1,190,955 | 15,499 | ||||||
Koninklijke Ahold | 27,543 | 503 | ||||||
LyondellBasell Industries, Cl A | 341,957 | 26,392 | ||||||
NXP Semiconductor * | 629,478 | 26,753 | ||||||
Randstad Holding | 44,001 | 2,747 | ||||||
Reed Elsevier | 1,406,400 | 30,102 | ||||||
Ternium ADR | 23,860 | 637 | ||||||
TomTom * (A) | 293,007 | 2,224 | ||||||
USG People * | 106,027 | 1,414 | ||||||
Yandex, Cl A * | 429,144 | 17,059 | ||||||
|
| |||||||
256,330 | ||||||||
|
| |||||||
Norway — 2.0% | ||||||||
DnB | 2,181,356 | 38,663 | ||||||
DNO International * | 1,199,656 | 4,445 | ||||||
Norsk Hydro | 3,021,328 | 12,933 | ||||||
SpareBank 1 SMN | 33,373 | 294 | ||||||
Statoil | 2,742,252 | 61,888 | ||||||
Telenor | 563,800 | 13,579 | ||||||
|
| |||||||
131,802 | ||||||||
|
| |||||||
Poland — 0.0% | ||||||||
Tauron Polska Energia | 321,681 | 537 | ||||||
|
| |||||||
Qatar — 0.4% | ||||||||
Industries Qatar QSC | 619,138 | 28,603 | ||||||
|
| |||||||
Russia — 1.1% | ||||||||
Lukoil ADR | 435,781 | 27,114 | ||||||
Mail.ru Group GDR * | 668,943 | 27,661 | ||||||
Sberbank of Russia ADR | 1,002,000 | 12,485 | ||||||
Sistema GDR | 81,465 | 2,235 | ||||||
|
| |||||||
69,495 | ||||||||
|
| |||||||
Singapore — 1.6% | ||||||||
Avago Technologies, Cl A | 604,840 | 27,055 | ||||||
ComfortDelGro | 243,000 | 381 | ||||||
DBS Group Holdings | 1,758,000 | 24,092 | ||||||
Ezion Holdings | 3,692,400 | 6,185 | ||||||
Golden Agri-Resources | 48,399,700 | 22,200 | ||||||
United Overseas Bank ADR | 719,200 | 24,079 |
Description | Shares | Market Value ($ Thousands) | ||||||
Yangzijiang Shipbuilding Holdings | 414,000 | $ | 385 | |||||
|
| |||||||
104,377 | ||||||||
|
| |||||||
South Africa — 0.7% | ||||||||
MTN Group | 22,095 | 431 | ||||||
Sasol | 172,577 | 8,557 | ||||||
Sasol ADR | 775,100 | 38,398 | ||||||
Telkom * | 253,773 | 669 | ||||||
|
| |||||||
48,055 | ||||||||
|
| |||||||
South Korea — 3.7% | ||||||||
Hana Financial Group | 250,240 | 9,387 | ||||||
Hyundai Mobis | 87,123 | 25,273 | ||||||
Hyundai Motor | 56,417 | 13,434 | ||||||
Kia Motors | 258,494 | 14,753 | ||||||
Kolao Holdings | 46,960 | 1,313 | ||||||
KT | 119,250 | 3,803 | ||||||
LG Hausys * | 28,490 | 3,836 | ||||||
LG.Philips LCD * | 466,210 | 10,749 | ||||||
POSCO | 63,503 | 19,652 | ||||||
POSCO ADR | 163,300 | 12,654 | ||||||
Samsung Electronics | 56,782 | 80,159 | ||||||
SK Holdings | 60,747 | 10,734 | ||||||
SK Hynix * | 854,533 | 28,584 | ||||||
SK Telecom | 20,743 | 4,430 | ||||||
Woori Finance Holdings | 306,070 | 3,659 | ||||||
|
| |||||||
242,420 | ||||||||
|
| |||||||
Spain — 0.9% | ||||||||
ACS Actividades Construcciones y Servicios | 36,254 | 1,174 | ||||||
Amadeus IT Holding, Cl A | 1,082,027 | 40,609 | ||||||
Banco Bilbao Vizcaya Argentaria | 1,167,059 | 13,974 | ||||||
Banco Popular Espanol * | 36 | — | ||||||
|
| |||||||
55,757 | ||||||||
|
| |||||||
Sweden — 2.4% | ||||||||
Getinge, Cl B | 1,073,866 | 33,682 | ||||||
Hennes & Mauritz, Cl B | 435,735 | 18,533 | ||||||
Hexagon, Cl B | 833,882 | 25,721 | ||||||
NCC, Cl B | 11,496 | 360 | ||||||
Nordea Bank | 1,142,743 | 14,817 | ||||||
Skandinaviska Enskilda Banken, Cl A | 194,601 | 2,370 | ||||||
Skanska, Cl B | 296,230 | 5,665 | ||||||
Svenska Cellulosa ADR (A) | 548,000 | 16,002 | ||||||
Swedbank, Cl A | 754,531 | 19,337 | ||||||
Telefonaktiebolaget LM Ericsson ADR | 1,525,841 | 19,088 | ||||||
|
| |||||||
155,575 | ||||||||
|
| |||||||
Switzerland — 6.3% | ||||||||
Actelion | 356,150 | 29,756 | ||||||
Credit Suisse Group | 864,666 | 25,816 | ||||||
Credit Suisse Group ADR (A) | 619,975 | 18,537 | ||||||
EMS-Chemie Holding | 11,430 | 4,048 | ||||||
Forbo Holding | 3,228 | 2,606 | ||||||
Georg Fischer | 5,993 | 4,145 | ||||||
Givaudan | 18,567 | 26,279 | ||||||
Julius Baer Group * | 269,272 | 12,658 | ||||||
Lonza Group | 9,930 | 928 | ||||||
Nestle | 239,701 | 17,560 | ||||||
Novartis | 342,812 | 27,181 |
4 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
World Equity Ex-US Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Novartis ADR | 360,626 | $ | 28,533 | |||||
OC Oerlikon | 604,741 | 8,800 | ||||||
Roche Holding | 285,148 | 79,740 | ||||||
Swiss Life Holding | 41,475 | 8,610 | ||||||
Swiss Re | 132,862 | 11,858 | ||||||
Syngenta | 43,378 | 17,089 | ||||||
Transocean | 448,883 | 22,615 | ||||||
UBS | 1,402,167 | 26,813 | ||||||
Zurich Insurance Group ADR (A) | 1,348,600 | 37,815 | ||||||
|
| |||||||
411,387 | ||||||||
|
| |||||||
Taiwan — 1.8% | ||||||||
Advanced Semiconductor Engineering ADR | 5,639,750 | 28,424 | ||||||
Fubon Financial Holding | 11,754,949 | 16,802 | ||||||
Hermes Microvision | 88,000 | 2,739 | ||||||
Hon Hai Precision Industry | 1,361,800 | 3,589 | ||||||
Innolux * | 11,210,000 | 4,243 | ||||||
Inotera Memories * | 3,783,974 | 2,698 | ||||||
MediaTek | 1,923,366 | 28,337 | ||||||
Pegatron | 1,593,000 | 1,981 | ||||||
Taishin Financial Holding | 9,055,501 | 4,467 | ||||||
Taiwan Semiconductor Manufacturing ADR (A) | 1,304,400 | 23,127 | ||||||
United Microelectronics | 3,643,000 | 1,514 | ||||||
United Microelectronics ADR (A) | 1,211,600 | 2,435 | ||||||
|
| |||||||
120,356 | ||||||||
|
| |||||||
Thailand — 0.4% | ||||||||
Advanced Info Service | 942,400 | 6,692 | ||||||
Airports of Thailand | 238,300 | 1,392 | ||||||
Bangkok Bank | 202,300 | 1,184 | ||||||
Krung Thai Bank | 6,659,850 | 3,858 | ||||||
PTT (Foreign) | 73,300 | 674 | ||||||
PTT Exploration & Production | 131,700 | 656 | ||||||
PTT Global Chemical | 1,105,800 | 2,626 | ||||||
Thanachart Capital | 1,205,600 | 1,229 | ||||||
Total Access Communication | 1,785,600 | 5,894 | ||||||
|
| |||||||
24,205 | ||||||||
|
| |||||||
Turkey — 1.2% | ||||||||
Akbank | 5,452,139 | 19,985 | ||||||
Eregli Demir ve Celik Fabrikalari | 2,239,267 | 2,972 | ||||||
KOC Holding ADR | 442,350 | 10,479 | ||||||
Turk Hava Yollari | 2,489,859 | 9,225 | ||||||
Turkcell Iletisim Hizmetleri * | 325,960 | 1,978 | ||||||
Turkiye Garanti Bankasi | 4,585,087 | 17,306 | ||||||
Turkiye Is Bankasi, Cl C | 4,737,672 | 12,203 | ||||||
Turkiye Vakiflar Bankasi Tao, Cl D | 2,532,397 | 5,745 | ||||||
|
| |||||||
79,893 | ||||||||
|
| |||||||
United Kingdom — 14.8% | ||||||||
3i Group | 5,225,374 | 31,670 | ||||||
ARM Holdings | 464,311 | 7,743 | ||||||
ARM Holdings ADR (A) | 1,168,359 | 58,301 | ||||||
Ashtead Group | 432,770 | 4,930 | ||||||
Associated British Foods | 624,872 | 23,470 | ||||||
AstraZeneca (A) | 1,043,946 | 59,822 | ||||||
BAE Systems ADR | 1,045,000 | 29,531 | ||||||
Barclays | 3,642,875 | 16,213 | ||||||
Berkeley Group Holdings | 207,460 | 8,003 |
Description | Shares | Market Value ($ Thousands) | ||||||
BP | 313,767 | $ | 2,477 | |||||
BP PLC | 510,250 | 23,987 | ||||||
British American Tobacco | 182,619 | 9,755 | ||||||
Britvic | 330,930 | 3,664 | ||||||
Burberry Group | 526,071 | 13,159 | ||||||
Carnival | 416,780 | 15,245 | ||||||
CSR | 64,970 | 534 | ||||||
Diageo | 1,008,631 | 32,152 | ||||||
Diageo ADR | 105,800 | 13,508 | ||||||
EnQuest * | 459,062 | 1,034 | ||||||
Ensco, Cl A | 215,000 | 12,702 | ||||||
Experian | 1,306,198 | 24,113 | ||||||
Halma | 336,730 | 3,238 | ||||||
Home Retail Group | 1,009,815 | 3,158 | ||||||
HSBC Holdings | 5,973,798 | 66,728 | ||||||
Imperial Tobacco Group | 623,500 | 23,736 | ||||||
Interserve | 32,790 | 351 | ||||||
ITV | 8,773,752 | 27,307 | ||||||
J Sainsbury | 55,384 | 369 | ||||||
Kingfisher | 3,962,726 | 24,400 | ||||||
Marks & Spencer Group ADR | 990,400 | 15,708 | ||||||
Micro Focus International | 111,323 | 1,491 | ||||||
Mondi | 476,401 | 7,843 | ||||||
Pace | 116,725 | 604 | ||||||
Pearson | 526,621 | 11,646 | ||||||
Persimmon * | 298,020 | 5,663 | ||||||
QinetiQ | 456,877 | 1,628 | ||||||
Reckitt Benckiser Group | 319,255 | 25,672 | ||||||
Rexam | 52,666 | 431 | ||||||
Rio Tinto | 86,661 | 4,630 | ||||||
Rio Tinto ADR (A) | 906,713 | 48,101 | ||||||
Rolls-Royce Holdings | 1,025,940 | 20,755 | ||||||
Royal Dutch Shell, Cl A | 1,852,217 | 78,465 | ||||||
Royal Dutch Shell, Cl A (GBP) | 120,089 | 4,029 | ||||||
RPC Group | 75,736 | 620 | ||||||
SABMiller | 296,188 | 15,297 | ||||||
Sage Group ADR | 549,077 | 12,486 | ||||||
Shire | 1,032,431 | 46,880 | ||||||
Standard Chartered | 1,126,241 | 26,722 | ||||||
Subsea 7 | 1,155,218 | 22,534 | ||||||
Taylor Wimpey PLC | 1,346,412 | 2,346 | ||||||
Tesco | 4,332,700 | 24,695 | ||||||
Tullow Oil | 34,617 | 493 | ||||||
WH Smith | 20,284 | 315 | ||||||
WPP | 2,144,635 | 47,461 | ||||||
|
| |||||||
967,815 | ||||||||
|
| |||||||
United States — 3.2% | ||||||||
Albany Molecular Research * | 32,343 | 391 | ||||||
Alon USA Energy | 55,651 | 768 | ||||||
American Equity Investment Life Holding (A) | 56,290 | 1,334 | ||||||
American Pacific * | 6,730 | 278 | ||||||
Axis Capital Holdings | 589,600 | 28,967 | ||||||
Benchmark Electronics * | 16,085 | 370 | ||||||
Cambrex * | 91,410 | 1,782 | ||||||
Carnival, Cl A (A) | 590,419 | 21,320 | ||||||
Central Garden and Pet * | 35,753 | 278 | ||||||
Computer Sciences | 362,735 | 19,087 | ||||||
Delek US Holdings | 29,471 | 892 | ||||||
Everest Re Group (A) | 214,083 | 33,575 | ||||||
Exelis | 57,764 | 1,021 | ||||||
FBR * | 28,306 | 796 |
5 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
World Equity Ex-US Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Green Plains Renewable Energy | 22,786 | $ | 394 | |||||
Harmonic * | 62,625 | 482 | ||||||
Kindred Healthcare | 35,424 | 597 | ||||||
LeapFrog Enterprises, Cl A * (A) | 178,795 | 1,539 | ||||||
Liberty Global, Cl A * | 170,501 | 14,631 | ||||||
Myers Industries | 20,514 | 415 | ||||||
Northrop Grumman | 98,222 | 11,067 | ||||||
Pantry * | 21,144 | 304 | ||||||
PHH * | 47,198 | 1,135 | ||||||
RenaissanceRe Holdings | 145,700 | 13,798 | ||||||
Renewable Energy Group * | 52,732 | 599 | ||||||
Repligen * | 59,019 | 795 | ||||||
RPX * | 16,892 | 279 | ||||||
Schlumberger | 243,785 | 21,556 | ||||||
Smith & Wesson Holding * (A) | 242,298 | 2,864 | ||||||
Stone Energy * | 42,117 | 1,393 | ||||||
Swift Energy * (A) | 51,759 | 689 | ||||||
United Community Banks * | 36,281 | 666 | ||||||
Yum! Brands | 298,445 | 23,183 | ||||||
|
| |||||||
207,245 | ||||||||
|
| |||||||
Total Common Stock | 6,248,777 | |||||||
|
| |||||||
PREFERRED STOCK — 1.2% |
| |||||||
Brazil — 0.6% |
| |||||||
Braskem * | 106,800 | 952 | ||||||
Cia Brasileira de Distribuicao Grupo Pao de Acucar, Cl Preference | 100,100 | 4,676 | ||||||
Cia Energetica de Minas Gerais | 380,800 | 3,169 | ||||||
Cia Paranaense de Energia | 29,900 | 404 | ||||||
Gerdau | 359,100 | 2,773 | ||||||
Itau Unibanco Holding ADR | 870,728 | 12,251 | ||||||
Petroleo Brasileiro, Cl Preference * | 381,600 | 3,145 | ||||||
Telefonica Brasil | 568,400 | 10,987 | ||||||
|
| |||||||
38,357 | ||||||||
|
| |||||||
Germany — 0.6% |
| |||||||
Henkel | 81,310 | 9,239 | ||||||
Volkswagen | 120,700 | 32,095 | ||||||
|
| |||||||
41,334 | ||||||||
|
| |||||||
Total Preferred Stock | 79,691 | |||||||
|
| |||||||
AFFILIATED PARTNERSHIP — 6.2% |
| |||||||
SEI Liquidity Fund, L.P. | ||||||||
0.080% ** † (B) | 403,258,372 | 403,258 | ||||||
|
| |||||||
Total Affiliated Partnership | 403,258 | |||||||
|
| |||||||
TIME DEPOSITS — 2.1% |
| |||||||
Brown Brothers Harriman | ||||||||
4.150%, 12/02/2013 | ZAR | 52 | 5 | |||||
1.650%, 12/02/2013 | NZD | — | — | |||||
1.634%, 12/02/2013 | AUD | 1,502 | 1,373 | |||||
0.600%, 12/02/2013 | NOK | 3 | 1 | |||||
0.305%, 12/02/2013 | CAD | 92 | 87 | |||||
0.244%, 12/02/2013 | SEK | — | — | |||||
0.060%, 12/02/2013 | GBP | 490 | 803 | |||||
0.041%, 12/02/2013 | EUR | 186 | 253 |
Description | Shares/Face Amount (1) | Market Value ($ Thousands) | ||||||
0.030%, 12/02/2013 | 122,792 | $ | 122,792 | |||||
0.005%, 12/02/2013 | HKD | 37,146 | 4,791 | |||||
0.005%, 12/02/2013 | JPY | 242,889 | 2,373 | |||||
0.005%, 12/02/2013 | SGD | 705 | 562 | |||||
0.001%, 12/02/2013 | CHF | 564 | 624 | |||||
(0.10)%, 12/02/2013 | DKK | 2 | — | |||||
|
| |||||||
Total Time Deposits | 133,664 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATION (C)(D) — 0.3% |
| |||||||
U.S. Treasury Bills |
| |||||||
0.074%, 02/06/2014 | 17,257 | 17,256 | ||||||
|
| |||||||
Total U.S. Treasury Obligation | 17,256 | |||||||
|
| |||||||
Total Investments — 105.4% |
| |||||||
(Cost $5,808,962) ($ Thousands) |
| $ | 6,882,646 | |||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2013, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 592 | Dec-2013 | $ | 258 | ||||||||
FTSE 100 Index | 187 | Dec-2013 | (232 | ) | ||||||||
Hang Seng Index | 22 | Dec-2013 | 15 | |||||||||
S&P TSX 60 Index | 62 | Dec-2013 | (9 | ) | ||||||||
SPI 200 Index | 54 | Dec-2013 | (82 | ) | ||||||||
Topix Index | 130 | Dec-2013 | 642 | |||||||||
|
| |||||||||||
$ | 592 | |||||||||||
|
|
For the period ended November 30, 2013, the total amount of all open futures contracts, aspresented in the table above, are representative of the volume of activity for this derivative typeduring the period.
A list of the open forward foreign currency contracts held by the Fund at November 30, 2013, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
2/18/14 | GBP | 6,371 | USD | 9,988 | $ | (440 | ) | |||||
2/18/14 | USD | 10,245 | GBP | 6,371 | 183 | |||||||
|
| |||||||||||
$ | (257 | ) | ||||||||||
|
|
A list of the counterparties for the open forward foreign currency contracts held by the Fund at November 30, 2013, is as follows:
Counterparty | Currency to ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized (Depreciation) ($ Thousands) | |||||||||
State Street | (20,674 | ) | 20,416 | $ | (257 | ) | ||||||
|
|
For the period ended November 30, 2013, 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 $6,532,920 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2013. |
† | Investment in Affiliated Security (see Note 6). |
(1) | In U.S. dollars unless otherwise indicated. |
6 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
World Equity Ex-US Fund
November 30, 2013
(A) | This security or a partial position of this security is on loan at November 30, 2013. The total value of securities on loan at November 30, 2013 was $393,054 ($ Thousands). |
(B) | This security was purchased with cash collateral held from securities on loan (see Note 12). The total value of such securities as of November 30, 2013 was $403,258 ($ Thousands). |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(D) | 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
PLC — Public Limited Company
NOK — Norwegian Krone
NZD — New Zealand Dollar
S&P — Standard & Poor’s
SEK — Swedish Krone
Ser — Series
SGD — Singapore Dollar
SPI — Share Price Index
TSX — Toronto Stock Exchange
ZAR — South African Rand
The following is a list of the level of inputs used as of November 30, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 6,224,027 | $ | 24,750 | $ | — | $ | 6,248,777 | ||||||||
Preferred Stock | 79,691 | — | — | 79,691 | ||||||||||||
Affiliated Partnership | — | 403,258 | — | 403,258 | ||||||||||||
Time Deposits | — | 133,664 | — | 133,664 | ||||||||||||
U.S. Treasury Obligation | — | 17,256 | — | 17,256 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 6,303,718 | $ | 578,928 | $ | — | $ | 6,882,646 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 915 | $ | — | $ | — | $ | 915 | ||||||||
Unrealized Depreciation | (323 | ) | — | — | (323 | ) | ||||||||||
Forwards Contracts * | ||||||||||||||||
Unrealized Appreciation | — | 183 | — | 183 | ||||||||||||
Unrealized Depreciation | — | (440 | ) | — | (440 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 592 | $ | (257 | ) | $ | — | $ | 335 | |||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended November 30, 2013, 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, 2013, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
7 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Screened World Equity Ex-US Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 91.0% |
| |||||||
Argentina — 0.2% | ||||||||
MercadoLibre | 1,100 | $ | 122 | |||||
|
| |||||||
Australia — 0.9% | ||||||||
BGP Holdings * | 4,500 | — | ||||||
BHP Billiton ADR | 4,972 | 340 | ||||||
Commonwealth Bank of Australia | 2,407 | 171 | ||||||
Insurance Australia Group | 13,770 | 76 | ||||||
Telstra | 15,800 | 73 | ||||||
|
| |||||||
660 | ||||||||
|
| |||||||
Austria — 2.4% | ||||||||
Conwert Immobilien Invest | 14,095 | 179 | ||||||
Erste Group Bank | 9,511 | 336 | ||||||
OMV | 9,582 | 470 | ||||||
Schoeller-Bleckmann Oilfield Equipment | 4,100 | 432 | ||||||
Strabag | 1,589 | 47 | ||||||
Voestalpine | 4,115 | 205 | ||||||
|
| |||||||
1,669 | ||||||||
|
| |||||||
Belgium — 0.6% | ||||||||
Ageas | 2,060 | 87 | ||||||
Anheuser-Busch InBev | 2,636 | 270 | ||||||
KBC Groep * | 1,350 | 77 | ||||||
Recticel | 589 | 4 | ||||||
Sioen Industries | 1,719 | 19 | ||||||
|
| |||||||
457 | ||||||||
|
| |||||||
Brazil — 1.4% | ||||||||
Banco Bradesco ADR | 15,349 | 204 | ||||||
Banco do Brasil | 22,000 | 240 | ||||||
Cia Energetica de Minas Gerais ADR | 22,623 | 189 | ||||||
Embraer ADR | 3,687 | 114 | ||||||
Kroton Educacional | 5,800 | 98 | ||||||
Natura Cosmeticos | 7,465 | 138 | ||||||
|
| |||||||
983 | ||||||||
|
| |||||||
Canada — 5.7% | ||||||||
Aastra Technologies * | 300 | 11 | ||||||
Air Canada, Cl A * | 4,600 | 33 | ||||||
Akita Drilling, Cl A | 300 | 4 | ||||||
Calian Technologies | 3,393 | 66 | ||||||
Canadian National Railway | 3,558 | 402 | ||||||
Canadian Natural Resources | 10,800 | 353 | ||||||
Canam Group | 3,100 | 36 | ||||||
Canfor * | 3,200 | 71 | ||||||
Chorus Aviation, Cl A | 840 | 3 | ||||||
Equal Energy | 35,792 | 181 | ||||||
Exco Technologies | 600 | 4 | ||||||
Genworth MI Canada | 1,800 | 59 | ||||||
Great Canadian Gaming * | 3,600 | 50 | ||||||
High Arctic Energy Services | 13,629 | 47 | ||||||
Intertape Polymer Group | 2,372 | 31 | ||||||
KP Tissue | 828 | 14 | ||||||
Lululemon Athletica * | 3,827 | 267 | ||||||
Magellan Aerospace | 1,300 | 9 | ||||||
Magna International, Cl A | 400 | 32 | ||||||
McCoy | 2,500 | 16 | ||||||
Methanex | 1,400 | 86 |
Description | Shares | Market Value ($ Thousands) | ||||||
North American Energy Partners * | 3,501 | $ | 20 | |||||
Parex Resources * | 28,324 | 170 | ||||||
Potash Corp of Saskatchewan | 6,148 | 195 | ||||||
Pulse Seismic | 4,200 | 16 | ||||||
Ridley * | 300 | 4 | ||||||
Rogers Communications, Cl B | 4,408 | 198 | ||||||
Royal Bank of Canada | 7,100 | 472 | ||||||
Strad Energy Services | 1,458 | 5 | ||||||
Suncor Energy | 2,800 | 96 | ||||||
Talisman Energy | 22,800 | 268 | ||||||
Teck Cominco, Cl B | 3,091 | 75 | ||||||
Toronto-Dominion Bank | 4,300 | 393 | ||||||
Transat AT, Cl A * | 700 | 9 | ||||||
Transcontinental, Cl A | 8,100 | 129 | ||||||
Westjet Airlines, Cl A | 300 | 8 | ||||||
Xtreme Drilling and Coil Services * | 2,043 | 7 | ||||||
Yellow Media * | 11,633 | 188 | ||||||
|
| |||||||
4,028 | ||||||||
|
| |||||||
Chile — 0.1% | ||||||||
Enersis ADR | 2,614 | 41 | ||||||
|
| |||||||
China — 5.9% | ||||||||
Anhui Conch Cement | 77,000 | 300 | ||||||
ANTA Sports Products | 51,000 | 72 | ||||||
Baidu ADR * | 2,635 | 439 | ||||||
Bank of China | 893,000 | 432 | ||||||
China Construction Bank | 402,000 | 325 | ||||||
China Oilfield Services | 167,800 | 506 | ||||||
China Shipping Container Lines * | 633,000 | 171 | ||||||
Huaneng Power International | 46,000 | 44 | ||||||
Industrial & Commercial Bank of China | 973,836 | 700 | ||||||
Lihua International * | 7,027 | 40 | ||||||
Mindray Medical International ADR | 7,842 | 312 | ||||||
PICC Property & Casualty | 74,000 | 123 | ||||||
Prince Frog International Holdings | 80,000 | 40 | ||||||
SINA * | 1,750 | 135 | ||||||
Sinopharm Group | 45,636 | 136 | ||||||
Weichai Power | 81,200 | 359 | ||||||
|
| |||||||
4,134 | ||||||||
|
| |||||||
Colombia — 0.3% | ||||||||
Bancolombia ADR, Cl R | 4,459 | 226 | ||||||
|
| |||||||
Czech Republic — 0.4% | ||||||||
AVG Technologies * | 2,530 | 44 | ||||||
Komercni Banka | 923 | 212 | ||||||
|
| |||||||
256 | ||||||||
|
| |||||||
Denmark — 0.9% | ||||||||
Novo-Nordisk, Cl B | 2,570 | 462 | ||||||
Pandora | 3,660 | 190 | ||||||
|
| |||||||
652 | ||||||||
|
| |||||||
Finland — 1.2% | ||||||||
Atria, Cl A | 4,944 | 53 | ||||||
Cramo | 2,440 | 56 |
1 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Screened World Equity Ex-US Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
HKScan, Cl A | 2,192 | $ | 10 | |||||
Kone, Cl B | 2,031 | 187 | ||||||
Neste Oil | 13,023 | 249 | ||||||
Norvestia, Cl B | 38 | — | ||||||
Orion, Cl B | 138 | 4 | ||||||
Stora Enso, Cl R | 518 | 5 | ||||||
Tieto | 674 | 15 | ||||||
UPM-Kymmene | 16,148 | 269 | ||||||
|
| |||||||
848 | ||||||||
|
| |||||||
France — 6.1% | ||||||||
Air Liquide | 2,639 | 369 | ||||||
BNP Paribas | 7,034 | 529 | ||||||
Bongrain | 344 | 27 | ||||||
Burelle | 141 | 120 | ||||||
Cegid Group | 2,408 | 75 | ||||||
Compagnie Generale des Etablissements Michelin, Cl B | 1,983 | 216 | ||||||
Constructions Industrielles de la Mediterranee | 127 | 16 | ||||||
Credit Agricole * | 16,374 | 206 | ||||||
Credit Agricole Atlantique Vendee | 93 | 11 | ||||||
Fleury Michon | 114 | 7 | ||||||
Groupe Guillin | 76 | 9 | ||||||
Iliad | 400 | 95 | ||||||
Interparfums | 2,084 | 89 | ||||||
LDLC.com | 1,105 | 26 | ||||||
Le Belier | 2,766 | 70 | ||||||
LVMH Moet Hennessy Louis Vuitton | 2,433 | 460 | ||||||
Publicis Groupe | 3,955 | 350 | ||||||
Renault | 1,290 | 115 | ||||||
Safran | 2,500 | 165 | ||||||
Societe Generale | 8,891 | 512 | ||||||
Teleperformance | 1,140 | 65 | ||||||
Tessi | 621 | 78 | ||||||
Thales | 6,281 | 384 | ||||||
UBISOFT Entertainment * | 11,900 | 157 | ||||||
Valeo | 1,300 | 139 | ||||||
|
| |||||||
4,290 | ||||||||
|
| |||||||
Germany — 3.5% | ||||||||
Adidas | 2,958 | 361 | ||||||
ADVA Optical Networking * | 249 | 1 | ||||||
BASF | 3,936 | 421 | ||||||
BAVARIA Industries Group * | 302 | 14 | ||||||
Borussia Dortmund GmbH & KGaA | 3,994 | 21 | ||||||
Constantin Medien * | 19,238 | 41 | ||||||
CropEnergies | 3,563 | 34 | ||||||
Deutsche Bank | 7,979 | 386 | ||||||
Deutsche Lufthansa * | 10,310 | 224 | ||||||
Deutsche Post | 4,610 | 163 | ||||||
Fresenius Medical Care | 4,992 | 350 | ||||||
Frosta | 282 | 7 | ||||||
Hannover Rueck | 50 | 4 | ||||||
Norma Group | 1,575 | 80 | ||||||
Patrizia Immobilien * | 5,756 | 65 | ||||||
SAP | 2,389 | 198 | ||||||
Sixt * | 2,630 | 83 | ||||||
Steico * | 654 | 6 |
Description | Shares | Market Value ($ Thousands) | ||||||
Ultrasonic * | 882 | $ | 10 | |||||
|
| |||||||
2,469 | ||||||||
|
| |||||||
Greece — 0.0% | ||||||||
Tsakos Energy Navigation * | 3,282 | 16 | ||||||
|
| |||||||
Hong Kong — 4.0% | ||||||||
AIA Group | 110,982 | 563 | ||||||
Champion Technology Holdings | 98,000 | 2 | ||||||
China Mobile | 67,040 | 722 | ||||||
Chuang’s Consortium International | 256,000 | 32 | ||||||
CNOOC | 44,963 | 92 | ||||||
CSI Properties | 810,000 | 33 | ||||||
Daphne International Holdings | 222,000 | 102 | ||||||
EcoGreen Fine Chemicals Group | 564,000 | 123 | ||||||
Harbour Centre Development | 7,000 | 13 | ||||||
Hong Kong Exchanges and Clearing | 18,321 | 322 | ||||||
Keck Seng Investments | 8,000 | 5 | ||||||
Luen Thai Holdings | 164,000 | 62 | ||||||
Melco Crown Entertainment ADR * | 4,200 | 149 | ||||||
Orient Overseas International | 64,000 | 338 | ||||||
Pacific Century Premium Developments * | 8,000 | 3 | ||||||
Power Assets Holdings | 11,000 | 89 | ||||||
Sands China | 6,100 | 46 | ||||||
SJM Holdings | 27,000 | 87 | ||||||
Wing On International | 12,111 | 35 | ||||||
|
| |||||||
2,818 | ||||||||
|
| |||||||
India — 1.8% | ||||||||
ICICI Bank ADR | 17,955 | 644 | ||||||
Infosys ADR | 6,170 | 334 | ||||||
Tata Motors ADR | 5,241 | 170 | ||||||
Wipro ADR | 10,047 | 117 | ||||||
|
| |||||||
1,265 | ||||||||
|
| |||||||
Indonesia — 0.5% | ||||||||
Asahimas Flat Glass | 3,000 | 2 | ||||||
Bank Rakyat Indonesia Persero | 81,000 | 50 | ||||||
Indofood Sukses Makmur | 303,000 | 168 | ||||||
Telekomunikasi Indonesia | ||||||||
Persero ADR | 3,626 | 133 | ||||||
|
| |||||||
353 | ||||||||
|
| |||||||
Ireland — 1.1% | ||||||||
Accenture, Cl A | 3,832 | 297 | ||||||
ICON * | 11,788 | 449 | ||||||
|
| |||||||
746 | ||||||||
|
| |||||||
Italy — 1.6% | ||||||||
Azimut Holding | 6,250 | 160 | ||||||
Banca Intesa | 62,867 | 152 | ||||||
Danieli & C Officine Meccaniche | 145 | 5 | ||||||
Exor | 5,816 | 228 | ||||||
Fiat * | 30,585 | 243 | ||||||
Fondiaria-Sai * | 28,860 | 77 | ||||||
Gtech Spa | 4,890 | 151 | ||||||
La Doria * | 7,970 | 43 |
2 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Screened World Equity Ex-US Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Mediaset * | 9,700 | $ | 44 | |||||
|
| |||||||
1,103 | ||||||||
|
| |||||||
Japan — 11.4% | ||||||||
Alps Logistics | 600 | 6 | ||||||
AOI Electronics | 200 | 3 | ||||||
Asahi Broadcasting | 8,800 | 57 | ||||||
Asahi Kasei | 14,000 | 111 | ||||||
AT-Group | 4,000 | 70 | ||||||
Bridgestone | 7,555 | 277 | ||||||
C-Cube | 4,800 | 20 | ||||||
Cleanup | 500 | 4 | ||||||
Computer Engineering & Consulting | 7,100 | 46 | ||||||
Daiwa House Industry | 14,000 | 272 | ||||||
Daiwa Securities Group | 23,000 | 224 | ||||||
Denso | 12,600 | 631 | ||||||
Dowa Holdings | 7,000 | 71 | ||||||
FANUC | 1,350 | 227 | ||||||
Fuji Kiko | 2,000 | 7 | ||||||
Fukuda Denshi | 300 | 12 | ||||||
Gamecard-Joyco Holdings | 500 | 8 | ||||||
Hitachi | 45,000 | 332 | ||||||
Hokkaido Coca-Cola Bottling | 1,000 | 5 | ||||||
Hokkan Holdings | 14,000 | 46 | ||||||
Hokuriku Gas | 17,000 | 43 | ||||||
Honda Motor ADR | 5,749 | 244 | ||||||
IT Holdings | 200 | 3 | ||||||
Itochu | 6,100 | 77 | ||||||
Japan Airlines | 2,100 | 107 | ||||||
Japan Exchange Group | 2,600 | 70 | ||||||
Japan Tobacco | 4,846 | 164 | ||||||
JK Holdings | 2,100 | 13 | ||||||
Kamei | 1,200 | 9 | ||||||
KDDI | 2,100 | 132 | ||||||
Keiyo Gas | 1,000 | 5 | ||||||
Kohsoku | 400 | 4 | ||||||
Komatsu | 14,636 | 304 | ||||||
KRS | 500 | 5 | ||||||
Kubota | 17,065 | 292 | ||||||
Marubun | 2,400 | 12 | ||||||
Maruka Machinery | 300 | 4 | ||||||
Maruzen - General Commercial Kitchen Appliances & Equipment | 4,000 | 35 | ||||||
Mazda Motor * | 10,000 | 46 | ||||||
Medipal Holdings | 1,200 | 16 | ||||||
Mitani | 4,800 | 103 | ||||||
Mitsui Trust Holdings | 67,228 | 330 | ||||||
Mizuho Financial Group | 24,100 | 51 | ||||||
Murakami | 1,000 | 14 | ||||||
Namura Shipbuilding | 6,800 | 88 | ||||||
NIFTY | 2,000 | 24 | ||||||
Nippon Steel & Sumitomo Metal | 101,000 | 328 | ||||||
Nippon Telegraph & Telephone | 6,500 | 326 | ||||||
Nishikawa Rubber | 400 | 7 | ||||||
Nisshin Fudosan | 10,400 | 42 | ||||||
Nissin Sugar | 2,200 | 46 | ||||||
Nomura Holdings | 2,200 | 17 | ||||||
Pigeon | 800 | 38 | ||||||
San-Ai Oil | 2,691 | 12 | ||||||
Secom | 7,000 | 432 | ||||||
Seibu Electric Industry | 6,000 | 26 |
Description | Shares | Market Value ($ Thousands) | ||||||
Seiko Epson | 2,100 | $ | 51 | |||||
Shidax | 2,600 | 13 | ||||||
Shiroki | 4,000 | 9 | ||||||
SoftBank | 4,499 | 364 | ||||||
Sumitomo Densetsu | 300 | 5 | ||||||
Sumitomo Mitsui Financial Group | 3,700 | 183 | ||||||
Tachikawa | 2,600 | 13 | ||||||
Tokai Tokyo Securities | 16,500 | 148 | ||||||
Toyota Motor | 20,010 | 1,247 | ||||||
Vital KSK Holdings | 400 | 3 | ||||||
Warabeya Nichiyo | 3,700 | 68 | ||||||
Yahagi Construction | 1,100 | 8 | ||||||
Zenkoku Hosho | 800 | 37 | ||||||
|
| |||||||
8,047 | ||||||||
|
| |||||||
Malaysia — 0.1% | ||||||||
Faber Group | 36,100 | 29 | ||||||
Tenaga Nasional | 16,700 | 51 | ||||||
|
| |||||||
80 | ||||||||
|
| |||||||
Mexico — 1.0% | ||||||||
America Movil, Ser L | 240,285 | 280 | ||||||
America Movil ADR, Ser L | 1,967 | 46 | ||||||
Grupo KUO De * | 900 | 2 | ||||||
Industrias Bachoco | 42,402 | 140 | ||||||
Industrias Bachoco ADR | 2,630 | 104 | ||||||
Wal-Mart de Mexico | 58,393 | 154 | ||||||
|
| |||||||
726 | ||||||||
|
| |||||||
Netherlands — 3.7% | ||||||||
AerCap Holdings * | 3,300 | 70 | ||||||
ASML Holding | 2,838 | 266 | ||||||
Core Laboratories | 4,818 | 878 | ||||||
DOCdata * | 492 | 11 | ||||||
European Aeronautic Defense and Space | 6,258 | 445 | ||||||
ING Groep * | 21,284 | 277 | ||||||
SNS Reaal * | 1,762 | 1 | ||||||
Unilever | 10,260 | 405 | ||||||
Yandex, Cl A * | 7,203 | 286 | ||||||
|
| |||||||
2,639 | ||||||||
|
| |||||||
New Zealand — 0.3% | ||||||||
Air New Zealand | 8,185 | 11 | ||||||
Fletcher Building | 23,121 | 172 | ||||||
|
| |||||||
183 | ||||||||
|
| |||||||
Norway — 1.4% | ||||||||
DnB | 43,794 | 776 | ||||||
DNO International * | 10,000 | 37 | ||||||
Norsk Hydro | 44,847 | 192 | ||||||
|
| |||||||
1,005 | ||||||||
|
| |||||||
Philippines — 0.1% | ||||||||
Globe Telecom | 1,145 | 43 | ||||||
|
| |||||||
Poland — 0.2% | ||||||||
Getin Holding | 3,605 | 5 | ||||||
Pelion | 1,235 | 42 | ||||||
PGE | 3,135 | 19 | ||||||
Tauron Polska Energia | 35,607 | 60 | ||||||
|
| |||||||
126 | ||||||||
|
| |||||||
Portugal — 0.1% |
3 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Screened World Equity Ex-US Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Portucel | 4,792 | $ | 19 | |||||
Sonae * | 58,638 | 87 | ||||||
|
| |||||||
106 | ||||||||
|
| |||||||
Russia — 0.2% | ||||||||
Lukoil ADR | 1,740 | 108 | ||||||
Surgutneftegas ADR | 3,407 | 28 | ||||||
|
| |||||||
136 | ||||||||
|
| |||||||
Singapore — 1.2% | ||||||||
China Yuchai International | 1,415 | 33 | ||||||
DBS Group Holdings | 32,000 | 438 | ||||||
Ezion Holdings | 70,800 | 119 | ||||||
Golden Agri-Resources | 8,000 | 4 | ||||||
GP Batteries International | 11,708 | 8 | ||||||
New Toyo International Holdings | 112,000 | 26 | ||||||
Oversea-Chinese Banking | 2,000 | 17 | ||||||
Popular Holdings | 41,000 | 8 | ||||||
QAF | 6,792 | 4 | ||||||
United Industrial | 82,000 | 194 | ||||||
|
| |||||||
851 | ||||||||
|
| |||||||
South Africa — 0.0% | ||||||||
Sasol | 254 | 13 | ||||||
|
| |||||||
South Korea — 3.9% | ||||||||
Hyundai Mobis | 1,293 | 375 | ||||||
Hyundai Motor | 1,031 | 245 | ||||||
Kia Motors | 3,711 | 212 | ||||||
Kolao Holdings | 900 | 25 | ||||||
LG Hausys * | 540 | 73 | ||||||
LG.Philips LCD * | 510 | 12 | ||||||
POSCO | 945 | 292 | ||||||
Samsung Electronics | 903 | 1,275 | ||||||
SK Holdings | 926 | 164 | ||||||
Taekwang Industrial | 51 | 57 | ||||||
YESCO | 1,180 | 43 | ||||||
|
| |||||||
2,773 | ||||||||
|
| |||||||
Spain — 1.2% | ||||||||
Amadeus IT Holding, Cl A | 16,318 | 613 | ||||||
Banco Bilbao Vizcaya Argentaria | 17,485 | 209 | ||||||
|
| |||||||
822 | ||||||||
|
| |||||||
Sweden — 2.0% | ||||||||
Bilia, Cl A | 6,026 | 145 | ||||||
Biotage | 3,124 | 5 | ||||||
Eolus Vind, Cl B | 2,377 | 11 | ||||||
Getinge, Cl B | 15,940 | 500 | ||||||
Hennes & Mauritz, Cl B | 14,386 | 612 | ||||||
Skanska, Cl B | 5,640 | 108 | ||||||
|
| |||||||
1,381 | ||||||||
|
| |||||||
Switzerland — 6.1% | ||||||||
Credit Suisse Group ADR | 9,199 | 275 | ||||||
EMS-Chemie Holding | 220 | 78 | ||||||
Highlight Communications | 810 | 4 | ||||||
Julius Baer Group * | 4,260 | 200 | ||||||
Nestle | 3,577 | 262 | ||||||
Novartis | 5,463 | 433 | ||||||
Novartis ADR | 5,353 | 424 | ||||||
Roche Holding | 5,694 | 1,592 | ||||||
Siegfried Holding | 1,124 | 198 |
Description | Shares | Market Value ($ Thousands) | ||||||
Swatch Group, Cl B | 147 | $ | 97 | |||||
Swiss Life Holding | 31 | 6 | ||||||
Swiss Re | 1,380 | 123 | ||||||
Syngenta | 722 | 285 | ||||||
Transocean | 6,663 | 336 | ||||||
|
| |||||||
4,313 | ||||||||
|
| |||||||
Taiwan — 1.4% | ||||||||
Advanced Semiconductor Engineering ADR | 79,073 | 399 | ||||||
Asia Polymer | 45,000 | 37 | ||||||
Asustek Computer | 1,647 | 14 | ||||||
CMC Magnetics * | 78,000 | 13 | ||||||
Elitegroup Computer Systems | 32,240 | 16 | ||||||
Formosa Chemicals & Fibre | 5,150 | 14 | ||||||
Formosa Petrochemical | 7,000 | 19 | ||||||
Hermes Microvision | 2,000 | 62 | ||||||
Hon Hai Precision Industry | 8,944 | 24 | ||||||
Hon Hai Precision Industry GDR | 20,150 | 105 | ||||||
Nan Ya Plastics | 6,060 | 13 | ||||||
Pegatron | 3,633 | 5 | ||||||
Quanta Computer | 8,000 | 18 | ||||||
Taishin Financial Holding | 123,000 | 61 | ||||||
Taiwan Semiconductor Manufacturing ADR | 9,700 | 172 | ||||||
Yageo * | 30,100 | 10 | ||||||
Zenitron | 23,000 | 15 | ||||||
|
| |||||||
997 | ||||||||
|
| |||||||
Thailand — 0.5% | ||||||||
Advanced Info Service | 25,400 | 180 | ||||||
PTT (Foreign) | 13,000 | 120 | ||||||
PTT Global Chemical | 26,700 | 63 | ||||||
Total Access Communication | 2,100 | 7 | ||||||
|
| |||||||
370 | ||||||||
|
| |||||||
Turkey — 1.0% | ||||||||
Akbank | 81,121 | 297 | ||||||
Turkiye Garanti Bankasi | 68,221 | 258 | ||||||
Turkiye Is Bankasi, Cl C | 65,354 | 168 | ||||||
|
| |||||||
723 | ||||||||
|
| |||||||
United Kingdom — 13.2% | ||||||||
3i Group | 15,900 | 96 | ||||||
ARM Holdings | 6,842 | 114 | ||||||
ARM Holdings ADR | 17,322 | 864 | ||||||
Ashtead Group | 8,250 | 94 | ||||||
Associated British Foods | 10,163 | 382 | ||||||
AstraZeneca | 6,447 | 371 | ||||||
Berkeley Group Holdings | 3,950 | 152 | ||||||
BHP Billiton | 3,609 | 110 | ||||||
BP | 39,795 | 314 | ||||||
BP PLC ADR | 5,984 | 281 | ||||||
British American Tobacco | 3,016 | 161 | ||||||
British Polythene Industries | 1,992 | 24 | ||||||
Britvic | 6,295 | 70 | ||||||
Burberry Group | 8,169 | 204 | ||||||
Carnival | 6,121 | 224 | ||||||
CML Microsystems | 1,032 | 10 | ||||||
CSR ADR | 1,573 | 52 | ||||||
Dart Group | 7,297 | 27 | ||||||
Diageo | 15,632 | 498 | ||||||
Gem Diamonds * | 12,942 | 31 | ||||||
Halma | 6,410 | 62 |
4 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Screened World Equity Ex-US Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
HSBC Holdings | 90,041 | $ | 1,006 | |||||
Kingfisher | 60,387 | 372 | ||||||
Mondi | 3,008 | 50 | ||||||
NWF Group * | 3,005 | 7 | ||||||
Pearson | 8,716 | 193 | ||||||
Persimmon * | 5,700 | 108 | ||||||
QinetiQ | 2,709 | 10 | ||||||
Reckitt Benckiser Group | 4,847 | 390 | ||||||
Rio Tinto | 3,300 | 176 | ||||||
Rio Tinto ADR | 7,175 | 381 | ||||||
RM | 16,662 | 31 | ||||||
Rolls-Royce Holdings | 16,382 | 331 | ||||||
SABMiller | 4,480 | 231 | ||||||
Shire | 15,325 | 696 | ||||||
Standard Chartered | 17,297 | 411 | ||||||
Subsea 7 | 17,088 | 333 | ||||||
Terrace Hill Group * | 33,644 | 17 | ||||||
Trinity Mirror * | 19,515 | 58 | ||||||
Tullow Oil | 493 | 7 | ||||||
WPP | 13,571 | 300 | ||||||
Xchanging | 23,731 | 59 | ||||||
|
| |||||||
9,308 | ||||||||
|
| |||||||
United States — 3.4% | ||||||||
Adams Resources & Energy | 276 | 16 | ||||||
Alon USA Energy | 1,844 | 25 | ||||||
Carnival, Cl A | 8,764 | 316 | ||||||
Cascade Microtech * | 968 | 10 | ||||||
Computer Sciences | 4,611 | 243 | ||||||
ConocoPhillips | 4,132 | 301 | ||||||
Everest Re Group | 3,178 | 498 | ||||||
Famous Dave’s of America * | 234 | 5 | ||||||
Handy & Harman * | 732 | 18 | ||||||
Liberty Global, Cl A * | 2,500 | 215 | ||||||
Manning & Napier, Cl A | 4,412 | 81 | ||||||
Northrop Grumman | 54 | 6 | ||||||
Schlumberger | 3,526 | 312 | ||||||
SL Industries | 961 | 29 | ||||||
Star Gas Partners | 2,528 | 14 | ||||||
Yum! Brands | 4,188 | 325 | ||||||
|
| |||||||
2,414 | ||||||||
|
| |||||||
Total Common Stock | 64,192 | |||||||
|
| |||||||
PREFERRED STOCK — 0.9% | ||||||||
Brazil — 0.9% | ||||||||
Itau Unibanco Holding ADR | 12,841 | 181 | ||||||
Petroleo Brasileiro, Cl Preference * | 31,000 | 255 | ||||||
Vale, Cl A | 13,500 | 189 | ||||||
|
| |||||||
625 | ||||||||
|
| |||||||
Germany — 0.0% | ||||||||
Sto | 95 | 19 | ||||||
|
| |||||||
Total Preferred Stock | 644 | |||||||
|
| |||||||
CASH EQUIVALENT — 5.4% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010% ** † | 3,823,714 | 3,824 | ||||||
|
|
Description | Shares/Face Amount (1) (Thousands) | Market Value ($ Thousands) | ||||||
Total Cash Equivalent | $ | 3,824 | ||||||
|
| |||||||
TIME DEPOSITS — 2.2% | ||||||||
Brown Brothers Harriman | ||||||||
4.150%, 12/02/2013 | ZAR | — | — | |||||
1.650%, 12/02/2013 | NZD | 6 | 5 | |||||
1.634%, 12/02/2013 | AUD | 52 | 47 | |||||
0.600%, 12/02/2013 | NOK | 55 | 9 | |||||
0.305%, 12/02/2013 | CAD | 67 | 63 | |||||
0.244%, 12/02/2013 | SEK | 67 | 10 | |||||
0.060%, 12/02/2013 | GBP | 51 | 83 | |||||
0.041%, 12/02/2013 | EUR | 85 | 115 | |||||
0.030%, 12/02/2013 | 1,046 | 1,046 | ||||||
0.005%, 12/02/2013 | HKD | 240 | 31 | |||||
0.005%, 12/02/2013 | JPY | 6,456 | 63 | |||||
0.005%, 12/02/2013 | SGD | 16 | 13 | |||||
0.001%, 12/02/2013 | CHF | 43 | | 48 | ||||
(0.10)%, 12/02/2013 | DKK | 80 | 15 | |||||
|
| |||||||
Total Time Deposits | 1,548 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS (A)(B) — 0.5% |
| |||||||
U.S. Treasury Bills | ||||||||
0.079%, 07/24/2014 | 109 | 109 | ||||||
0.056%, 02/06/2014 | 84 | 84 | ||||||
0.039%, 01/09/2014 | 138 | 138 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 331 | |||||||
|
| |||||||
Total Investments — 99.9% |
| $ | 70,539 | |||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2013, is as follows:
Type of Contract | Number of Contracts Long | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 30 | Dec-2013 | $ | 32 | ||||||||
FTSE 100 Index | 10 | Dec-2013 | 10 | |||||||||
Hang Seng Index | 1 | Dec-2013 | 1 | |||||||||
S&P TSX 60 Index | 3 | Dec-2013 | 14 | |||||||||
SPI 200 Index | 3 | Dec-2013 | 2 | |||||||||
Topix Index | 7 | Dec-2013 | 41 | |||||||||
|
| |||||||||||
$ | 100 | |||||||||||
|
|
For the period ended November 30, 2013, the total amount of all open futures contracts, aspresented in the table above, are representative of the volume of activity for this derivative typeduring the period.
A list of the open forward foreign currency contracts held by the Fund at November 30, 2013, is as follows:
Settlement Date | Currency to Deliver | Currency to Receive | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
2/18/14 | GBP | 96 | USD | 150 | $ | (7 | ) | |||||
2/18/14 | USD | 154 | GBP | 96 | 3 | |||||||
|
| |||||||||||
$ | (4 | ) | ||||||||||
|
|
5 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Screened World Equity Ex-US Fund
November 30, 2013
A list of the counterparties for the open forward foreign currency contracts held by the Fund at November 30, 2013, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized (Depreciation) ($ Thousands) | |||||||||
State Street | (311 | ) | 307 | $ | (4 | ) | ||||||
|
|
For the period ended November 30, 2013, the total amount of all open forward foreign currencycontracts, 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 $70,580 ($ Thousands)
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of November 30, 2013. |
† | Investment in Affiliated Security (see Note 6). |
(1) | In U.S. dollars unless otherwise indicated. |
(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
AUD — Australian Dollar
CAD — Canadian Dollar
CHF — Swiss Franc
Cl — Class
DJ — Dow Jones
FTSE — Financial Times and Stock Exchange
GBP — British Sterling Pound
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
S&P — Standard & Poor’s
SEK — Swedish Krone
Ser — Series
SGD — Singapore Dollar
SPI — Share Price Index
TSX — Toronto Stock Exchange
USD — U.S. Dollar
ZAR — South African Rand
The following is a list of the level of inputs used as of November 30, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 63,745 | $ | 447 | $ | — | $ | 64,192 | ||||||||
Preferred Stock | 644 | — | — | 644 | ||||||||||||
Time Deposits | — | 1,548 | — | 1,548 | ||||||||||||
U.S. Treasury Obligations | — | 331 | — | 331 | ||||||||||||
Cash Equivalent | 3,824 | — | — | 3,824 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 68,213 | $ | 2,326 | $ | — | $ | 70,539 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | $ | 100 | $ | — | $ | — | $ | 100 | ||||||||
Forwards Contracts * | ||||||||||||||||
Unrealized Appreciation | — | 3 | — | 3 | ||||||||||||
Unrealized Depreciation | — | (7 | ) | — | (7 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 100 | $ | (4 | ) | $ | — | $ | 96 | |||||||
|
|
|
|
|
|
|
|
* | Futures contracts and forwards contracts are valued at the unrealized appreciation on the instrument. |
For the period ended November 30, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2013, 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 $0.
The accompanying notes are an integral part of the financial statements.
6 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Dynamic Asset Allocation Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 98.1% | ||||||||
Consumer Discretionary — 12.4% | ||||||||
Abercrombie & Fitch, Cl A | 6,200 | $ | 212 | |||||
Amazon.com * | 31,300 | 12,320 | ||||||
AutoNation * | 5,600 | 275 | ||||||
AutoZone * | 3,100 | 1,431 | ||||||
Bed Bath & Beyond * | 18,900 | 1,475 | ||||||
Best Buy | 22,300 | 904 | ||||||
BorgWarner | 9,600 | 1,029 | ||||||
Cablevision Systems, Cl A | 17,100 | 287 | ||||||
Carmax * | 19,900 | 1,002 | ||||||
Carnival, Cl A | 38,300 | 1,383 | ||||||
CBS, Cl B | 46,200 | 2,705 | ||||||
Chipotle Mexican Grill, Cl A * | 2,700 | 1,414 | ||||||
Coach | 24,200 | 1,401 | ||||||
Comcast, Cl A | 220,400 | 10,991 | ||||||
Darden Restaurants | 11,100 | 592 | ||||||
Delphi Automotive | 24,200 | 1,417 | ||||||
DIRECTV * | 41,900 | 2,770 | ||||||
Discovery Communications, Cl A * | 19,300 | 1,684 | ||||||
Dollar General * | 26,000 | 1,481 | ||||||
Dollar Tree * | 19,700 | 1,096 | ||||||
DR Horton | 24,000 | 477 | ||||||
Expedia | 9,200 | 586 | ||||||
Family Dollar Stores | 8,300 | 579 | ||||||
Ford Motor | 332,000 | 5,670 | ||||||
Fossil Group * | 4,400 | 560 | ||||||
GameStop, Cl A | 10,400 | 502 | ||||||
Gannett | 20,900 | 566 | ||||||
Gap | 22,600 | 926 | ||||||
Garmin | 11,300 | 549 | ||||||
General Motors * | 77,400 | 2,998 | ||||||
Genuine Parts | 13,700 | 1,135 | ||||||
Goodyear Tire & Rubber | 19,600 | 436 | ||||||
Graham Holdings | 300 | 202 | ||||||
H&R Block | 22,800 | 636 | ||||||
Harley-Davidson | 18,600 | 1,247 | ||||||
Harman International Industries | 5,500 | 446 | ||||||
Hasbro | 8,500 | 457 | ||||||
Home Depot | 120,700 | 9,737 | ||||||
International Game Technology | 19,800 | 346 | ||||||
Interpublic Group | 35,600 | 619 | ||||||
Johnson Controls | 56,100 | 2,834 | ||||||
Kohl’s | 16,400 | 907 | ||||||
L Brands | 20,000 | 1,300 | ||||||
Leggett & Platt | 10,400 | 314 | ||||||
Lennar, Cl A | 14,200 | 508 | ||||||
Lowe’s | 88,600 | 4,207 | ||||||
Macy’s | 32,900 | 1,752 | ||||||
Marriott International, Cl A | 20,100 | 945 | ||||||
Mattel | 29,800 | 1,379 | ||||||
McDonald’s | 84,200 | 8,199 | ||||||
Michael Kors Holdings * | 15,200 | 1,239 | ||||||
NetFlix * | 4,900 | 1,793 | ||||||
Newell Rubbermaid | 24,100 | 731 | ||||||
News * | 44,800 | 805 | ||||||
NIKE, Cl B | 63,000 | 4,986 | ||||||
Nordstrom | 12,200 | 759 | ||||||
Omnicom Group | 22,300 | 1,593 | ||||||
O’Reilly Automotive * | 9,600 | 1,200 | ||||||
PetSmart | 8,600 | 637 |
Description | Shares | Market Value ($ Thousands) | ||||||
priceline.com * | 4,300 | $ | 5,127 | |||||
PulteGroup | 28,700 | 538 | ||||||
PVH | 7,300 | 978 | ||||||
Ralph Lauren, Cl A | 4,800 | 841 | ||||||
Ross Stores | 19,100 | 1,460 | ||||||
Scripps Networks Interactive, Cl A | 9,200 | 686 | ||||||
Staples | 53,400 | 829 | ||||||
Starbucks | 63,300 | 5,156 | ||||||
Starwood Hotels & Resorts Worldwide | 16,200 | 1,207 | ||||||
Target | 52,200 | 3,337 | ||||||
Tiffany | 9,400 | 838 | ||||||
Time Warner | 77,500 | 5,093 | ||||||
Time Warner Cable, Cl A | 23,600 | 3,262 | ||||||
TJX | 60,600 | 3,810 | ||||||
TripAdvisor * | 10,000 | 883 | ||||||
Twenty-First Century Fox, Cl A | 167,400 | 5,606 | ||||||
Urban Outfitters * | 10,300 | 402 | ||||||
VF | 7,500 | 1,759 | ||||||
Viacom, Cl B | 34,200 | 2,742 | ||||||
Walt Disney | 140,100 | 9,883 | ||||||
Whirlpool | 7,000 | 1,069 | ||||||
Wyndham Worldwide | 11,500 | 825 | ||||||
Wynn Resorts | 7,200 | 1,194 | ||||||
Yum! Brands | 38,000 | 2,952 | ||||||
|
| |||||||
171,108 | ||||||||
|
| |||||||
Consumer Staples — 9.9% | ||||||||
Altria Group | 168,900 | 6,246 | ||||||
Archer-Daniels-Midland | 56,100 | 2,258 | ||||||
Avon Products | 34,000 | 606 | ||||||
Beam | 14,400 | 973 | ||||||
Brown-Forman, Cl B | 13,700 | 1,028 | ||||||
Campbell Soup | 15,100 | 585 | ||||||
Clorox | 10,700 | 997 | ||||||
Coca-Cola | 322,100 | 12,945 | ||||||
Coca-Cola Enterprises | 21,700 | 910 | ||||||
Colgate-Palmolive | 74,300 | 4,889 | ||||||
ConAgra Foods | 36,100 | 1,191 | ||||||
Constellation Brands, Cl A * | 14,800 | 1,042 | ||||||
Costco Wholesale | 36,300 | 4,553 | ||||||
CVS Caremark | 103,500 | 6,931 | ||||||
Dr. Pepper Snapple Group | 16,000 | 772 | ||||||
Estee Lauder, Cl A | 21,500 | 1,612 | ||||||
General Mills | 54,500 | 2,748 | ||||||
Hershey | 13,000 | 1,260 | ||||||
Hormel Foods | 11,200 | 504 | ||||||
JM Smucker | 9,400 | 980 | ||||||
Kellogg | 22,700 | 1,377 | ||||||
Kimberly-Clark | 32,300 | 3,526 | ||||||
Kraft Foods Group | 50,066 | 2,659 | ||||||
Kroger | 43,700 | 1,825 | ||||||
Lorillard | 32,500 | 1,668 | ||||||
McCormick | 10,500 | 724 | ||||||
Mead Johnson Nutrition, Cl A | 17,500 | 1,479 | ||||||
Molson Coors Brewing, Cl B | 13,100 | 690 | ||||||
Mondelez International, Cl A | 150,100 | 5,033 | ||||||
Monster Beverage * | 12,100 | 716 | ||||||
PepsiCo | 130,000 | 10,980 | ||||||
Philip Morris International | 136,400 | 11,668 | ||||||
Procter & Gamble | 230,800 | 19,438 | ||||||
Reynolds American | 27,500 | 1,387 | ||||||
Safeway | 21,800 | 762 | ||||||
Sysco | 49,600 | 1,668 | ||||||
Tyson Foods, Cl A | 24,200 | 767 |
1 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Dynamic Asset Allocation Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Walgreen | 73,300 | $ | 4,339 | |||||
Wal-Mart Stores | 137,400 | 11,131 | ||||||
Whole Foods Market | 32,600 | 1,845 | ||||||
|
| |||||||
136,712 | ||||||||
|
| |||||||
Energy — 10.1% | ||||||||
Anadarko Petroleum | 41,700 | 3,704 | ||||||
Apache | 33,300 | 3,047 | ||||||
Baker Hughes | 37,700 | 2,147 | ||||||
Cabot Oil & Gas | 36,400 | 1,254 | ||||||
Cameron International * | 21,400 | 1,185 | ||||||
Chesapeake Energy | 44,800 | 1,204 | ||||||
Chevron | 162,800 | 19,933 | ||||||
ConocoPhillips | 103,100 | 7,506 | ||||||
Consol Energy | 19,100 | 680 | ||||||
Denbury Resources * | 31,000 | 517 | ||||||
Devon Energy | 32,300 | 1,958 | ||||||
Diamond Offshore Drilling | 5,000 | 300 | ||||||
Ensco, Cl A | 20,200 | 1,194 | ||||||
EOG Resources | 22,600 | 3,729 | ||||||
EQT | 12,500 | 1,064 | ||||||
Exxon Mobil | 370,900 | 34,672 | ||||||
FMC Technologies * | 20,700 | 996 | ||||||
Halliburton | 71,200 | 3,751 | ||||||
Helmerich & Payne | 9,200 | 709 | ||||||
Hess | 24,300 | 1,971 | ||||||
Kinder Morgan | 56,777 | 2,018 | ||||||
Marathon Oil | 59,800 | 2,155 | ||||||
Marathon Petroleum | 26,400 | 2,184 | ||||||
Murphy Oil | 13,900 | 902 | ||||||
Nabors Industries | 19,300 | 319 | ||||||
National Oilwell Varco | 36,100 | 2,942 | ||||||
Newfield Exploration * | 10,000 | 281 | ||||||
Noble | 22,700 | 865 | ||||||
Noble Energy | 30,600 | 2,149 | ||||||
Occidental Petroleum | 67,900 | 6,448 | ||||||
Peabody Energy | 20,200 | 368 | ||||||
Phillips 66 | 52,100 | 3,627 | ||||||
Pioneer Natural Resources | 11,300 | 2,009 | ||||||
QEP Resources | 14,900 | 477 | ||||||
Range Resources | 13,600 | 1,056 | ||||||
Rowan, Cl A * | 9,100 | 315 | ||||||
Schlumberger | 111,500 | 9,859 | ||||||
Southwestern Energy * | 31,100 | 1,202 | ||||||
Spectra Energy | 56,900 | 1,909 | ||||||
Tesoro | 11,500 | 674 | ||||||
Transocean | 28,600 | 1,441 | ||||||
Valero Energy | 46,700 | 2,135 | ||||||
Williams | 57,600 | 2,029 | ||||||
WPX Energy * | 16,000 | 297 | �� | |||||
|
| |||||||
139,182 | ||||||||
|
| |||||||
Financials — 15.8% | ||||||||
ACE | 28,700 | 2,950 | ||||||
Aflac | 38,100 | 2,529 | ||||||
Allstate | 39,900 | 2,165 | ||||||
American Express | 78,200 | 6,710 | ||||||
American International Group | 124,400 | 6,189 | ||||||
American Tower, Cl A ‡ | 33,400 | 2,597 | ||||||
Ameriprise Financial | 17,300 | 1,873 | ||||||
Aon | 25,100 | 2,049 | ||||||
Apartment Investment & Management, Cl A ‡ | 10,800 | 271 | ||||||
Assurant | 6,300 | 409 | ||||||
AvalonBay Communities ‡ | 10,700 | 1,269 | ||||||
Bank of America | 908,600 | 14,374 |
Description | Shares | Market Value ($ Thousands) | ||||||
Bank of New York Mellon | 97,800 | $ | 3,296 | |||||
BB&T | 59,600 | 2,071 | ||||||
Berkshire Hathaway, Cl B * | 151,700 | 17,678 | ||||||
BlackRock, Cl A | 10,441 | 3,161 | ||||||
Boston Properties ‡ | 13,100 | 1,303 | ||||||
Capital One Financial | 48,500 | 3,474 | ||||||
CBRE Group, Cl A * | 25,800 | 625 | ||||||
Charles Schwab | 94,400 | 2,311 | ||||||
Chubb | 22,100 | 2,132 | ||||||
Cincinnati Financial | 12,500 | 655 | ||||||
Citigroup | 257,100 | 13,606 | ||||||
CME Group, Cl A | 26,300 | 2,155 | ||||||
Comerica | 16,100 | 730 | ||||||
Discover Financial Services | 40,800 | 2,175 | ||||||
E*TRADE Financial * | 21,100 | 378 | ||||||
Equity Residential ‡ | 28,100 | 1,448 | ||||||
Fifth Third Bancorp | 75,400 | 1,532 | ||||||
Franklin Resources | 34,300 | 1,900 | ||||||
Genworth Financial, Cl A * | 45,000 | 680 | ||||||
Goldman Sachs Group | 35,200 | 5,946 | ||||||
Hartford Financial Services Group | 39,500 | 1,407 | ||||||
HCP ‡ | 38,800 | 1,427 | ||||||
Health Care ‡ | 25,200 | 1,411 | ||||||
Host Hotels & Resorts ‡ | 64,900 | 1,195 | ||||||
Hudson City Bancorp | 35,200 | 329 | ||||||
Huntington Bancshares | 69,700 | 640 | ||||||
IntercontinentalExchange Group | 9,253 | 1,974 | ||||||
Invesco | 38,500 | 1,342 | ||||||
JPMorgan Chase | 317,200 | 18,150 | ||||||
KeyCorp | 77,000 | 982 | ||||||
Kimco Realty ‡ | 34,000 | 701 | ||||||
Legg Mason | 9,300 | 364 | ||||||
Leucadia National | 24,500 | 702 | ||||||
Lincoln National | 22,400 | 1,150 | ||||||
Loews | 26,700 | 1,264 | ||||||
M&T Bank | 10,600 | 1,223 | ||||||
Macerich ‡ | 11,400 | 649 | ||||||
Marsh & McLennan | 46,900 | 2,225 | ||||||
McGraw-Hill | 23,200 | 1,728 | ||||||
MetLife | 93,200 | �� | 4,864 | |||||
Moody’s | 15,700 | 1,172 | ||||||
Morgan Stanley | 115,100 | 3,602 | ||||||
NASDAQ OMX Group | 9,100 | 358 | ||||||
Northern Trust | 18,100 | 1,068 | ||||||
People’s United Financial | 25,600 | 387 | ||||||
Plum Creek Timber ‡ | 13,500 | 590 | ||||||
PNC Financial Services Group | 44,000 | 3,386 | ||||||
Principal Financial Group | 24,300 | 1,230 | ||||||
Progressive | 48,100 | 1,344 | ||||||
Prologis ‡ | 43,700 | 1,658 | ||||||
Prudential Financial | 39,300 | 3,488 | ||||||
Public Storage ‡ | 12,300 | 1,878 | ||||||
Regions Financial | 117,500 | 1,143 | ||||||
Simon Property Group ‡ | 25,800 | 3,866 | ||||||
SLM | 36,900 | 983 | ||||||
SunTrust Banks | 46,300 | 1,677 | ||||||
T. Rowe Price Group | 22,200 | 1,786 | ||||||
Torchmark | 7,700 | 585 | ||||||
Travelers | 31,800 | 2,886 | ||||||
Unum Group | 22,900 | 769 | ||||||
US Bancorp | 155,000 | 6,079 | ||||||
Ventas ‡ | 25,700 | 1,461 | ||||||
Vornado Realty Trust ‡ | 14,700 | 1,293 |
2 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Dynamic Asset Allocation Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Wells Fargo | 407,200 | $ | 17,925 | |||||
Weyerhaeuser ‡ | 49,700 | 1,497 | ||||||
XL Group, Cl A | 24,500 | 784 | ||||||
Zions Bancorporation | 13,500 | 396 | ||||||
|
| |||||||
217,659 | ||||||||
|
| |||||||
Health Care — 13.0% | ||||||||
Abbott Laboratories | 131,000 | 5,003 | ||||||
AbbVie | 133,600 | 6,473 | ||||||
Actavis * | 14,600 | 2,381 | ||||||
Aetna | 31,318 | 2,159 | ||||||
Agilent Technologies | 27,300 | 1,462 | ||||||
Alexion Pharmaceuticals * | 16,500 | 2,054 | ||||||
Allergan | 25,100 | 2,436 | ||||||
AmerisourceBergen | 19,200 | 1,354 | ||||||
Amgen | 63,500 | 7,244 | ||||||
Baxter International | 44,700 | 3,060 | ||||||
Becton Dickinson | 16,400 | 1,781 | ||||||
Biogen Idec * | 20,000 | 5,819 | ||||||
Boston Scientific * | 118,300 | 1,370 | ||||||
Bristol-Myers Squibb | 138,700 | 7,126 | ||||||
C.R. Bard | 6,400 | 889 | ||||||
Cardinal Health | 29,400 | 1,899 | ||||||
CareFusion * | 18,700 | 745 | ||||||
Celgene * | 34,700 | 5,613 | ||||||
Cerner * | 25,400 | 1,460 | ||||||
Cigna | 23,800 | 2,081 | ||||||
Covidien | 39,100 | 2,669 | ||||||
DaVita * | 15,700 | 935 | ||||||
Dentsply International | �� | 12,400 | 590 | |||||
Edwards Lifesciences * | 9,600 | 629 | ||||||
Eli Lilly | 82,300 | 4,133 | ||||||
Express Scripts Holding * | 67,700 | 4,560 | ||||||
Forest Laboratories * | 18,600 | 954 | ||||||
Gilead Sciences * | 129,000 | 9,651 | ||||||
Hospira * | 13,800 | 543 | ||||||
Humana | 13,800 | 1,435 | ||||||
Intuitive Surgical * | 3,400 | 1,281 | ||||||
Johnson & Johnson | 237,500 | 22,482 | ||||||
Laboratory Corp of America Holdings * | 7,700 | 784 | ||||||
Life Technologies * | 14,300 | 1,083 | ||||||
McKesson | 19,200 | 3,185 | ||||||
Medtronic | 84,100 | 4,820 | ||||||
Merck | 247,200 | 12,318 | ||||||
Mylan Laboratories * | 33,700 | 1,487 | ||||||
Patterson | 6,800 | 282 | ||||||
PerkinElmer | 8,500 | 323 | ||||||
Perrigo | 7,900 | 1,232 | ||||||
Pfizer | 557,896 | 17,702 | ||||||
Quest Diagnostics | 13,100 | 798 | ||||||
Regeneron Pharmaceuticals * | 6,500 | 1,910 | ||||||
St. Jude Medical | 25,300 | 1,478 | ||||||
Stryker | 24,900 | 1,853 | ||||||
Tenet Healthcare * | 7,900 | 341 | ||||||
Thermo Fisher Scientific | 30,300 | 3,056 | ||||||
UnitedHealth Group | 85,700 | 6,383 | ||||||
Varian Medical Systems * | 9,700 | 757 | ||||||
Vertex Pharmaceuticals * | 19,500 | 1,354 | ||||||
Waters * | 7,200 | 717 | ||||||
WellPoint | 25,500 | 2,369 | ||||||
Zimmer Holdings | 14,000 | 1,280 | ||||||
Zoetis, Cl A | 41,567 | 1,295 | ||||||
|
| |||||||
179,078 | ||||||||
|
|
Description | Shares | Market Value ($ Thousands) | ||||||
Industrials — 10.6% | ||||||||
3M | 54,700 | $ | 7,303 | |||||
ADT | 18,300 | 742 | ||||||
Ametek | 20,600 | 1,014 | ||||||
Boeing | 58,500 | 7,854 | ||||||
C.H. Robinson Worldwide | 12,500 | 733 | ||||||
Caterpillar | 52,900 | 4,475 | ||||||
Cintas | 7,800 | 433 | ||||||
CSX | 84,900 | 2,315 | ||||||
Cummins | 15,200 | 2,012 | ||||||
Danaher | 49,600 | 3,710 | ||||||
Deere | 32,700 | 2,755 | ||||||
Delta Air Lines | 72,300 | 2,095 | ||||||
Dover | 15,000 | 1,361 | ||||||
Dun & Bradstreet | 3,500 | 409 | ||||||
Eaton | 39,901 | 2,899 | ||||||
Emerson Electric | 60,400 | 4,046 | ||||||
Equifax | 10,200 | 687 | ||||||
Expeditors International of Washington | 18,500 | 803 | ||||||
Fastenal | 24,100 | 1,122 | ||||||
FedEx | 24,600 | 3,412 | ||||||
Flowserve | 11,900 | 849 | ||||||
Fluor | 14,500 | 1,128 | ||||||
General Dynamics | 27,200 | 2,493 | ||||||
General Electric | 858,200 | 22,879 | ||||||
Honeywell International | 66,100 | 5,851 | ||||||
Illinois Tool Works | 33,800 | 2,690 | ||||||
Ingersoll-Rand | 22,300 | 1,593 | ||||||
Iron Mountain | 15,827 | 445 | ||||||
Jacobs Engineering Group * | 11,000 | 658 | ||||||
Joy Global | 8,800 | 498 | ||||||
Kansas City Southern | 9,800 | 1,186 | ||||||
L-3 Communications Holdings, Cl 3 | 7,600 | 786 | ||||||
Lockheed Martin | 22,200 | 3,145 | ||||||
Masco | 30,100 | 675 | ||||||
Nielsen Holdings | 17,200 | 742 | ||||||
Norfolk Southern | 25,500 | 2,236 | ||||||
Northrop Grumman | 19,100 | 2,152 | ||||||
Paccar | 31,000 | 1,777 | ||||||
Pall | 9,300 | 778 | ||||||
Parker Hannifin | 12,900 | 1,520 | ||||||
Pentair | 17,646 | 1,248 | ||||||
Pitney Bowes | 16,500 | 382 | ||||||
Precision Castparts | 12,300 | 3,179 | ||||||
Quanta Services * | 17,700 | 524 | ||||||
Raytheon | 26,300 | 2,332 | ||||||
Republic Services, Cl A | 23,400 | 817 | ||||||
Robert Half International | 10,100 | 390 | ||||||
Rockwell Automation | 11,600 | 1,318 | ||||||
Rockwell Collins | 11,300 | 822 | ||||||
Roper Industries | 8,800 | 1,141 | ||||||
Ryder System | 4,900 | 342 | ||||||
Snap-on | 5,300 | 563 | ||||||
Southwest Airlines | 60,000 | 1,116 | ||||||
Stanley Black & Decker | 14,100 | 1,148 | ||||||
Stericycle * | 6,800 | 799 | ||||||
Textron | 25,300 | 841 | ||||||
Tyco International | 40,100 | 1,529 | ||||||
Union Pacific | 39,100 | 6,336 | ||||||
United Parcel Service, Cl B | 60,900 | 6,235 | ||||||
United Technologies | 71,100 | 7,882 | ||||||
Waste Management | 36,700 | 1,676 | ||||||
WW Grainger | 5,200 | 1,341 |
3 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Dynamic Asset Allocation Fund
November 30, 2013
Description | Shares | Market Value ($ Thousands) | ||||||
Xylem | 13,300 | $ | 460 | |||||
|
| |||||||
146,682 | ||||||||
|
| |||||||
Information Technology — 17.6% | ||||||||
Accenture, Cl A | 53,500 | 4,144 | ||||||
Adobe Systems * | 39,000 | 2,214 | ||||||
Akamai Technologies * | 14,800 | 662 | ||||||
Altera | 28,400 | 916 | ||||||
Amphenol, Cl A | 13,300 | 1,130 | ||||||
Analog Devices | 26,700 | 1,287 | ||||||
Apple | 76,600 | 42,595 | ||||||
Applied Materials | 105,300 | 1,822 | ||||||
Autodesk * | 17,800 | 805 | ||||||
Automatic Data Processing | 40,900 | 3,273 | ||||||
Broadcom, Cl A | 45,100 | 1,204 | ||||||
CA | 27,500 | 908 | ||||||
Cisco Systems | 451,800 | 9,601 | ||||||
Citrix Systems * | 15,600 | 925 | ||||||
Cognizant Technology Solutions, Cl A * | 24,600 | 2,310 | ||||||
Computer Sciences | 13,100 | 689 | ||||||
Corning | 119,000 | 2,032 | ||||||
eBay * | 98,200 | 4,961 | ||||||
Electronic Arts * | 27,600 | 612 | ||||||
EMC | 173,000 | 4,126 | ||||||
F5 Networks * | 6,500 | 535 | ||||||
Fidelity National Information Services | 23,800 | 1,206 | ||||||
First Solar * | 6,800 | 407 | ||||||
Fiserv * | 11,100 | 1,220 | ||||||
FLIR Systems | 11,600 | 344 | ||||||
Google, Cl A * | 23,600 | 25,006 | ||||||
Harris | 9,100 | 587 | ||||||
Hewlett-Packard | 159,400 | 4,360 | ||||||
Intel | 419,800 | 10,008 | ||||||
International Business Machines | 87,100 | 15,650 | ||||||
Intuit | 24,800 | 1,841 | ||||||
Jabil Circuit | 14,700 | 298 | ||||||
JDS Uniphase * | 18,500 | 225 | ||||||
Juniper Networks * | 41,000 | 831 | ||||||
Kla-Tencor | 14,700 | 939 | ||||||
Lam Research * | 14,687 | 765 | ||||||
Linear Technology | 19,600 | 834 | ||||||
LSI | 41,100 | 332 | ||||||
Mastercard, Cl A | 8,700 | 6,619 | ||||||
Microchip Technology | 16,500 | 714 | ||||||
Micron Technology * | 87,500 | 1,846 | ||||||
Microsoft | 638,800 | 24,357 | ||||||
Molex | 10,400 | 402 | ||||||
Motorola Solutions | 19,900 | 1,311 | ||||||
NetApp | 30,000 | 1,238 | ||||||
Nvidia | 51,800 | 808 | ||||||
Oracle | 300,500 | 10,605 | ||||||
Paychex | 26,900 | 1,176 | ||||||
Qualcomm | 144,800 | 10,654 | ||||||
Red Hat * | 15,300 | 717 | ||||||
Salesforce.com * | 44,900 | 2,339 | ||||||
SanDisk | 18,200 | 1,240 | ||||||
Seagate Technology | 27,400 | 1,344 | ||||||
Symantec | 61,400 | 1,381 | ||||||
TE Connectivity | 34,800 | 1,834 | ||||||
Teradata * | 13,700 | 625 | ||||||
Teradyne * | 15,000 | 255 | ||||||
Texas Instruments | 93,200 | 4,008 | ||||||
Total System Services | 12,500 | 388 |
Description | Shares | Market Value ($ Thousands) | ||||||
VeriSign * | 12,200 | $ | 694 | |||||
Visa, Cl A | 43,500 | 8,851 | ||||||
Western Digital | 17,800 | 1,336 | ||||||
Western Union | 49,200 | 820 | ||||||
Xerox | 100,400 | 1,143 | ||||||
Xilinx | 21,700 | 964 | ||||||
Yahoo! * | 77,800 | 2,877 | ||||||
|
| |||||||
242,150 | ||||||||
|
| |||||||
Materials — 3.4% | ||||||||
Air Products & Chemicals | 18,300 | 1,992 | ||||||
Airgas | 5,500 | 597 | ||||||
Alcoa | 88,900 | 854 | ||||||
Allegheny Technologies | 8,500 | 282 | ||||||
Avery Dennison | 7,400 | 362 | ||||||
Ball | 11,200 | 560 | ||||||
Bemis | 8,000 | 312 | ||||||
CF Industries Holdings | 4,700 | 1,022 | ||||||
Cliffs Natural Resources | 14,700 | 368 | ||||||
Dow Chemical | 100,500 | 3,926 | ||||||
E.I. du Pont de Nemours | 77,800 | 4,775 | ||||||
Eastman Chemical | 12,900 | 994 | ||||||
Ecolab | 22,200 | 2,379 | ||||||
FMC | 11,300 | 823 | ||||||
Freeport-McMoRan Copper & Gold, Cl B | 85,700 | 2,973 | ||||||
International Flavors & Fragrances | 7,400 | 654 | ||||||
International Paper | 38,000 | 1,773 | ||||||
LyondellBasell Industries, Cl A | 37,000 | 2,856 | ||||||
MeadWestvaco | 15,200 | 534 | ||||||
Monsanto | 44,400 | 5,032 | ||||||
Mosaic | 28,600 | 1,370 | ||||||
Newmont Mining | 44,000 | 1,093 | ||||||
Nucor | 28,000 | 1,430 | ||||||
Owens-Illinois * | 12,300 | 406 | ||||||
PPG Industries | 11,900 | 2,190 | ||||||
Praxair | 24,900 | 3,144 | ||||||
Sealed Air | 14,900 | 478 | ||||||
Sherwin-Williams | 7,400 | 1,354 | ||||||
Sigma-Aldrich | 9,900 | 854 | ||||||
United States Steel | 11,800 | 316 | ||||||
Vulcan Materials | 11,800 | 665 | ||||||
|
| |||||||
46,368 | ||||||||
|
| |||||||
Telecommunication Services — 2.4% | ||||||||
AT&T | 449,100 | 15,813 | ||||||
CenturyLink | 51,900 | 1,593 | ||||||
Crown Castle International * | 27,700 | 2,056 | ||||||
Frontier Communications | 73,000 | 342 | ||||||
Verizon Communications | 241,100 | 11,963 | ||||||
Windstream Holdings | 55,000 | 444 | ||||||
|
| |||||||
32,211 | ||||||||
|
| |||||||
Utilities — 2.9% | ||||||||
AES | 52,200 | 761 | ||||||
AGL Resources | 10,900 | 507 | ||||||
Ameren | 19,300 | 692 | ||||||
American Electric Power | 41,400 | 1,948 | ||||||
Centerpoint Energy | 35,300 | 827 | ||||||
CMS Energy | 22,400 | 595 | ||||||
Consolidated Edison | 25,800 | 1,424 | ||||||
Dominion Resources | 48,700 | 3,161 | ||||||
DTE Energy | 14,500 | 968 | ||||||
Duke Energy | 58,630 | 4,102 | ||||||
Edison International | 28,100 | 1,299 |
4 | SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2013 |
Table of Contents
Schedule of Investments (Unaudited)
Dynamic Asset Allocation Fund
November 30, 2013
Description | Shares/Contracts | Market Value ($ Thousands) | ||||||
Entergy | 14,800 | $ | 916 | |||||
Exelon | 72,200 | 1,943 | ||||||
FirstEnergy | 36,900 | 1,204 | ||||||
Integrys Energy Group | 5,700 | 306 | ||||||
NextEra Energy | 35,800 | 3,028 | ||||||
NiSource | 27,900 | 882 | ||||||
Northeast Utilities | 27,400 | 1,126 | ||||||
NRG Energy | 25,600 | 677 | ||||||
ONEOK | 18,300 | 1,063 | ||||||
Pepco Holdings | 23,200 | 443 | ||||||
PG&E | 39,100 | 1,578 | ||||||
Pinnacle West Capital | 10,100 | 539 | ||||||
PPL | 54,200 | 1,664 | ||||||
Public Service Enterprise Group | 43,500 | 1,422 | ||||||
SCANA | 11,000 | 519 | ||||||
Sempra Energy | 19,900 | 1,760 | ||||||
Southern | 72,200 | 2,933 | ||||||
TECO Energy | 16,000 | 273 | ||||||
Wisconsin Energy | 19,100 | 798 | ||||||
Xcel Energy | 43,100 | 1,208 | ||||||
|
| |||||||
40,566 | ||||||||
|
| |||||||
Total Common Stock | 1,351,716 | |||||||
|
| |||||||
Total Investments — 98.1% | $ | 1,351,716 | ||||||
|
| |||||||
PURCHASED OPTIONS* — 0.0% |
| |||||||
January 2014 EUR Currency | ||||||||
Option Call, | ||||||||
Expires 1/03/2014 | 150,312,500 | $ | 272 | |||||
January 2014 ProShares | ||||||||
UltraShort 20+ Year | ||||||||
Treasury ETF Option Put, | ||||||||
Expires 01/18/2014, | ||||||||
Strike Price $68 | 6,000 | 120 | ||||||
|
| |||||||
Total Purchased Options | $ | 392 | ||||||
|
|
A list of the open futures contracts held by the Fund at November 30, 2013, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Depreciation | |||||||||
MSCI Emerging Markets E-MINI | 2,022 | Dec-2013 | $ | (2,334 | ) | |||||||
S&P 500 Index E-MINI | (1,131 | ) | Dec-2013 | (4,218 | ) | |||||||
|
| |||||||||||
$ | (6,552 | ) | ||||||||||
|
|
For the period ended November 30, 2013, 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, 2013, is as follows:
Settlement Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||||||||||
1/23/14 | EUR | 434,252 | USD | 593,262 | $ | 2,055 | ||||||||||||||
1/23/14 | JPY | 13,931,268 | USD | 141,980 | 5,814 | |||||||||||||||
|
| |||||||||||||||||||
$ | 7,869 | |||||||||||||||||||
|
|
A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at November 30, 2013, is as follows:
Counterparty | Currency to Deliver ($ Thousands) | Currency to Receive ($ Thousands) | Unrealized Appreciation ($ Thousands) | |||||||||
Bank of Montreal | (30,984 | ) | 32,396 | $ | 1,412 | |||||||
Barclays PLC | (140,781 | ) | 141,280 | 499 | ||||||||
Citigroup | (30,984 | ) | 32,401 | 1,417 | ||||||||
Goldman Sachs | (39,455 | ) | 40,872 | 1,417 | ||||||||
Royal Bank of Scotland | (161,780 | ) | 162,279 | 499 | ||||||||
Societe Generale | (140,781 | ) | 141,299 | 518 | ||||||||
Standard Bank | (10,843 | ) | 10,995 | 153 | ||||||||
Toronto Dominion Bank | (30,984 | ) | 32,399 | 1,415 | ||||||||
UBS | (140,781 | ) | 141,320 | 539 | ||||||||
|
| |||||||||||
$ | 7,869 | |||||||||||
|
|
For the period ended November 30, 2013, 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 $1,378,086 ($ Thousands).
* | Non-income producing security. |
‡ | Real Estate Investment Trust. |
Cl — Class
ETF — Exchange Traded Fund
EUR — Euro
JPY — Japanese Yen
MSCI — Morgan Stanley Capital International
PLC — Public Limited Company
S&P — Standard & Poor’s
USD — United States Dollar
The following is a list of the inputs used as of November 30, 2013, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 1,351,716 | $ | — | $ | — | $ | 1,351,716 | ||||||||
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Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Purchased Options | $ | 392 | $ | — | $ | — | $ | 392 | ||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Depreciation | (6,552 | ) | — | — | (6,552 | ) | ||||||||||
Forwards Contracts * | ||||||||||||||||
Unrealized Appreciation | — | 7,869 | — | 7,869 | ||||||||||||
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Total Other Financial Instruments | $ | (6,160 | ) | $ | 7,869 | $ | — | $ | 1,709 | |||||||
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* | Futures contracts and forwards contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended November 30, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended November 30, 2013, 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, 2013 |
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(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, 2013.
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.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
SEI Institutional Investments Trust | ||
By | /s/ Robert A. Nesher | |
Robert A. Nesher, President & CEO |
Date: February 4, 2014
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 4, 2014
By | /s/ Peter A. Rodriguez | |
Peter A. Rodriguez, Controller & CFO |
Date: February 4, 2014