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

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

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number 811-07257

SEI Institutional Investments Trust

SEI Investments

One Freedom Valley Drive

Oaks, PA 19456

CT Corporation

155 Federal Street

Boston, MA 02110

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

Date of fiscal year end: May 31, 2014

Date of reporting period: May 31, 2014

Item 1.

Reports to Stockholders.

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May 31, 2014

ANNUAL REPORT

SEI Institutional Investments Trust

† Large Cap Fund

† Large Cap Diversified Alpha Fund

† Large Cap Disciplined Equity Fund

† Large Cap Index Fund

† S&P 500 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

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TABLE OF CONTENTS



Management’s Discussion and Analysis of Fund Performance			1

Summary Schedules of Investments/Schedules of Investments/Consolidated Summary Schedule of Investments/Consolidated Schedule of Investments			34

Statements of Assets and Liabilities/Consolidated Statements of Assets and Liabilities			270

Statements of Operations/Consolidated Statements of Operations			276

Statements of Changes in Net Assets/Consolidated Statements of Changes in Net Assets			282

Consolidated Statement of Cash Flows			289

Financial Highlights/Consolidated Financial Highlights			290

Notes to Financial Statements/Consolidated Notes to Financial Statements			294

Report of Independent Registered Public Accounting Firm			316

Trustees and Officers of the Trust			317

Disclosure of Fund Expenses			320

Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements			322

Notice to Shareholders			325

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

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

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

Large Cap Fund

I. Objective

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

II. Multi-Manager Approach Statement

During the fiscal year ended May 31, 2014, WestEnd Advisors, LLC was terminated from the Fund.

III. Market Commentary

The U.S. equity market, as measured by the Russell 1000 Index, gained 20.90% during the fiscal year ending May 31, 2014. Growth outperformed value over the period, and large-cap stocks outperformed small caps. Belief in an improving economy led to expanding equity multiples and continued outperformance of U.S. stocks over non-U.S. counterparts. Interest rates in the U.S. began rising in June 2013, which led to defensive, interest rate-sensitive stocks strongly lagging more pro-cyclical areas. The best performing sectors were industrials, health care, technology and materials, while the traditional defensives such as consumer staples and utilities were among the worst performers.

IV. Return vs. Benchmark

For the fiscal year ending May 31, 2014, the Fund outperformed the Russell 1000 Index (the “Index”), returning 21.32% versus an Index return of 20.90%.

V. Fund Attribution

Outperformance was helped significantly by underweights to traditional defensives, including utilities and telecommunications, and overweights to technology and health care. Sector allocation was

challenged by an underweight to utilities, but this was overcome by solid stock selection. Stock selection was strongest within consumer staples, financials and health care, while selection within energy stocks was the largest detractor for the period. Outperformance was driven by our value- and quantitative-oriented managers, consistent with expanding valuation multiples that occurred during the fiscal year, along with good stock selection by the Fund’s quality-growth manager, Jackson Square Partners LLC. The Fund’s aggressive growth manager, Brown Advisory LLC, was the largest detractor.

Large Cap Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Large Cap Fund, Class A		21.32%		15.27%		18.24%		8.15%		7.99%
Russell 1000 Index		20.90%		15.08%		18.77%		8.14%		8.27%

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

LOGO

For the year ended May 31, 2014. Past performance is not an indication of future performance. Class A shares were offered beginning 6/14/96. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.


SEI Institutional Investments Trust / Annual Report / May 31, 2014			1

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

Large Cap Diversified Alpha Fund

I. Objective

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

II. Multi-Manager Approach Statement

During the fiscal year ended May 31, 2014, WestEnd Advisors, LLC, Tocqueville Asset Management, LP and INTECH Investment Management, LLC were terminated from the Fund, and Parametric Portfolio Associates, LLC was added to the Fund.

III. Market Commentary

IV. Return vs. Benchmark

For the fiscal year ending May 31, 2014, the Fund outperformed the Russell 1000 Index (the “Index”), returning 22.36% versus an Index return of 20.90%.

V. Fund Attribution

Outperformance was largely aided by underweights to traditional defensives, including utilities and telecommunications, in a bullish market. Outperformance was mostly due to security selection, which was strongest within consumer staples, financials and industrials. Stock selection within energy stocks represented the largest detractor for the period. Outperformance was driven by the Fund’s value manager (Brandywine), consistent with the expanding equity-valuation multiples that occurred during the Fund’s reporting year. The Fund’s growth-oriented manager (Jackson Square) also delivered alpha for the period.

Large Cap Diversified Alpha Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
Large Cap Diversified Alpha Fund, Class A		22.36%		15.33%		18.85%		6.29%
Russell 1000 Index		20.90%		15.08%		18.77%		7.52%

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

LOGO

For the year ended May 31, 2014. Past performance is no indication of future performance. Class A shares were offered beginning 2/28/06. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.


2		SEI Institutional Investments Trust / Annual Report / May 31, 2014

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

Large Cap Disciplined Equity Fund

I. Objective

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

II. Multi-Manager Approach Statement

III. Market Commentary

The U.S. equity market, as measured by the S&P 500 Index, gained 20.45% during the fiscal year ending May 31, 2014. Growth outperformed value over the period, and large-cap stocks outperformed small caps. Belief in an improving economy led to expanding equity multiples and continued outperformance of U.S. stocks over non-U.S. counterparts. Interest rates in the U.S. began rising in June 2013, which led to defensive, interest rate-sensitive stocks strongly lagging more pro-cyclical areas. The best performing sectors were industrials, health care, technology and materials, while the traditional defensives such as consumer staples and utilities were among the worst performers.

IV. Return vs. Benchmark

For the fiscal year ending May 31, 2014, the Fund slightly outperformed the S&P 500 Index (the “Index”), returning 20.49% versus the Index return of 20.45%.

V. Fund Attribution

Outperformance was largely aided by underweights to traditional defensives, including utilities and staples, in a bullish market. Outperformance was mostly due to security selection, which was strongest within consumer staples and technology. Stock selection within energy names was the largest detractor for the period.

Outperformance was led by the Fund’s value-oriented quantitative manager. Momentum-oriented managers Analytic and Oppenheimer also performed well in a year of rising valuation multiples. Underperforming managers were those who relied on rebalancing in a trending market (such as INTECH), as well as Lazard.

Large Cap Disciplined Equity Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Large Cap Disciplined Equity Fund, Class A		20.49%		15.17%		18.56%		6.87%		7.61%
S&P 500 Index		20.45%		15.15%		18.40%		7.77%		8.44%

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

LOGO

For the year ended May 31, 2014. Past performance is not an indication of future performance. Class A shares were offered beginning 8/28/03. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.


SEI Institutional Investments Trust / Annual Report / May 31, 2014			3

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

Large Cap Index Fund

I. Objective

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

II. Multi-Manager Approach Statement

The Fund uses a sub-adviser to manage the Fund under the supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-adviser as of May 31, 2014: SSgA Funds Management, Inc. There were no sub-adviser changes made during the year.

III. Market Commentary

IV. Return vs. Benchmark

For the fiscal year ending May 31, 2014, the Fund slightly underperformed the Russell 1000 Index (the “Index”), returning 20.88% versus the Index return of 20.90%.

V. Fund Attribution

Incremental underperformance was generated by cash flows. As an index fund, performance is designed to track that of the Index. The market dynamics over the fiscal year did not have a material impact upon the Fund’s relative performance.

Large Cap Index Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Large Cap Index Fund, Class A		20.88%		15.05%		18.75%		8.10%		6.80%
Russell 1000 Index		20.90%		15.08%		18.77%		8.14%		8.27%

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

LOGO

For the year ended May 31, 2014. Past performance is not an indication of future performance. Class A shares were offered beginning 4/1/02. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.


4		SEI Institutional Investments Trust / Annual Report / May 31, 2014

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

S&P 500 Index Fund

I. Objective

The S&P 500 Index Fund (the “Fund”) seeks to provide investment results that correspond to the aggregate price and dividend performance of the securities in the S&P 500 Index.

II. Approach Statement

The Fund uses a sub-adviser to manage the Fund under the supervision of SEI Investments Management Corporation (SIMC). The sole sub-adviser is SSgA Funds Management, Inc.

The Fund launched in December 2013 and there have been no sub-adviser changes since inception.

III. Market Commentary

The U.S. equity market, as measured by the S&P 500 Index, gained 20.45% during the fiscal year ending May 31, 2014. Growth outperformed value for the period, and large outperformed small. This performance occurred during an environment in which the Federal Reserve actually started tapering its multi-year stimulus program in the fall. Belief in an improving economy led to expanding equity multiples and continued outperformance of US stocks over non-US counterparts. Interest rates within the US started rising in June which led to defensive, interest rate sensitive stocks strongly lagging more pro-cyclical areas. The best performing sectors were Industrials, Materials and Health Care, while the traditional defensives such as Consumer Staples, Telecommunications and Utilities were the worst performers.

IV. Return vs. Benchmark

For the period December 18, 2013 to May 31, 2014, the Fund slightly outperformed the S&P 500 Index (the “Index”), returning 7.27% versus the Index return of 7.23%.

V. Fund Attribution

Incremental outperformance was generated by cash flows. As an index fund, performance is designed to track that of the Index. The market dynamics over the fiscal year did not have a material impact upon the Fund’s relative performance.


SEI Institutional Investments Trust / Annual Report / May 31, 2014			5

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

Extended Market Index Fund

I. Objective

The Extended Market Index Fund (the “Fund”) seeks to provide investment results that approximate, as closely as practicable and before expenses, the performance of the Russell Small Cap Completeness Index.

II. Multi-Manager Approach Statement

The Fund uses a sub-adviser to manage the Fund under the supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the follow sub-adviser as of May 31, 2014: SSgA Funds Management, Inc. There were no sub-adviser changes during the year.

III. Market Commentary

The U.S. equity market, as measured by the Russell Small Cap Completeness Index, gained 20.64% during the fiscal year ending May 31, 2014. Growth outperformed value for the period, and large-cap stocks outperformed small caps. This performance occurred in an environment where the Federal Reserve began tapering its multi-year stimulus program in the fall. Belief in an improving economy led to expanding equity multiples and continued outperformance of U.S. stocks over non-U.S. counterparts. Interest rates within the U.S. began rising in June, which led to defensive, interest rate-sensitive stocks lagging more pro-cyclical areas. The best performing sectors were industrials and health care, while the traditional defensives such as consumer staples and utilities were the worst performers.

IV. Return vs. Benchmark

For the fiscal year ending May 31, 2014, the Fund slightly outperformed the Russell Small Cap Completeness Index (the “Index”), returning 20.59% versus the Index return of 20.64%.

V. Fund Attribution

Extended Market Index Fund:

AVERAGE ANNUAL TOTAL RETURN¹

LOGO

For the period ended May 31, 2014. Past performance is not an indication of future performance. Class A shares were offered beginning 2/28/13. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.


6		SEI Institutional Investments Trust / Annual Report / May 31, 2014

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

Small Cap Fund

I. Objective

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

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisers as of May 31, 2014: 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; Security Capital Research & Management Incorporated; Robeco Investment Management, Inc.; Montibus Capital Management, LLC (formerly Timberline Asset Management, LLC) and William Blair & Company, LLC. There were no sub-adviser changes made during the year.

III. Market Commentary

The U.S. equity market, as measured by the Russell 2000 Index, gained 16.79% during the fiscal year ending May 31, 2014. Value narrowly outperformed growth for the period, and midcap stocks outperformed microcaps. This performance occurred in an environment where the Federal Reserve began tapering its multi-year stimulus program in the fall. Belief in an improving economy led to expanding equity multiples and continued outperformance of U.S. stocks over their non-U.S. counterparts. Interest rates within the U.S. began rising in June 2013, which led to defensive, interest rate-sensitive stocks lagging more pro-cyclical areas of the market. During the reporting period, the best performing sector was consumer staples, followed by energy and health care. Consumer discretionary, financials and materials stocks lagged the most.

IV. Return vs. Benchmark

For the fiscal year ending May 31, 2014, the Fund outperformed the Russell 2000 Index (the “Index”), returning 17.39% versus an Index return of 16.79%.

V. Fund Attribution

Outperformance was strongly aided by overweights to energy and industrials, as well as underweights to financials and materials. The Fund’s underweight to a surprisingly resilient consumer staples sector was the largest detractor in terms of sector allocation. Outperformance was mainly due to security selection, which was strongest within industrials, health care and financials. Stock selection within consumer-discretionary names was the largest detractor for the period. Outperformance was driven by our quantitative-value and momentum managers (LSV and AQR, respectively), while underperformance was most notable with our real estate investment trust specialist Security Capital and our more aggressive value and growth managers (Artisan and J.P. Morgan, respectively).

Small Cap Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Small Cap Fund, Class A		17.39%		11.03%		18.76%		7.75%		8.45%
Russell 2000 Index		16.79%		11.73%		19.32%		8.59%		8.09%

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

LOGO


SEI Institutional Investments Trust / Annual Report / May 31, 2014			7

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

Small Cap II Fund

I. Objective

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

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisers as of May 31, 2014: AllianceBernstein, L.P.; AQR Capital Management, LLC; Fiduciary Management Associates, LLC; Lee Munder Capital Group, LLC and Montibus Capital Management, LLC (formerly Timberline Asset Management, LLC). There were no sub-adviser changes made during the year.

III. Market Commentary

The U.S. equity market, as measured by the Russell 2000 Index, gained 16.79% during the fiscal year ending May 31, 2014. Value narrowly outperformed growth for the period, and midcap stocks outperformed microcaps. This performance occurred in an environment where the Federal Reserve began tapering its multi-year stimulus program in the fall. Belief in an improving economy led to expanding equity multiples and continued outperformance of U.S. stocks over non-U.S. counterparts. Interest rates within the U.S. began rising in June, which led to defensive, interest rate-sensitive stocks lagging more pro-cyclical areas. The best performing sector was consumer staples, followed by energy and health care. Consumer discretionary, financials and materials stocks were among the strongest laggards.

IV. Return vs. Benchmark

For the fiscal year ending May 31, 2014, the Fund outperformed the Russell 2000 Index (the “Index”), returning 17.35% versus an Index return of 16.79%.

V. Fund Attribution

Outperformance was strongly aided by overweights to industrials and an underweight to financials. The Fund’s underweight to energy and a

surprisingly resilient consumer staples sector represented the largest detractors. Outperformance was mainly due to security selection, which was strongest within health care, technology and financials. Stock selection within consumer discretionary represented the largest detractor for the period. Outperformance was driven by the Fund’s growth managers (AllianceBernstein and Montibus). The Fund’s dedicated value manager (Lee Munder) was the sole underperformer for the period.

Small Cap II Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized Inception to Date
Small Cap II Fund, Class A		17.35%		19.01%
Russell 2000 Index		16.79%		20.48%

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

LOGO

For the period ended May 31, 2014. Past performance is not an indication of future performance. Class A shares were offered beginning 4/10/12. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.


8		SEI Institutional Investments Trust / Annual Report / May 31, 2014

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

Small/Mid Cap Equity Fund

I. Objective

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

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisers as of May 31, 2014: 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 & Management, Incorporated; Montibus Capital Management, LLC (formerly Timberline Asset Management, LLC); Wellington Management Company, LLP and William Blair & Company, LLC.

During the year ended May 31, 2014, Century Capital Management, LLC, was terminated from the Fund.

III. Market Commentary

The U.S. equity market, as measured by the Russell 2500 Index, gained 18.53% during the fiscal year ending May 31, 2014. Value narrowly outperformed growth for the period, and midcap stocks outperformed microcaps. This performance occurred in an environment where the Federal Reserve began tapering its multi-year stimulus program in the fall. Belief in an improving economy led to expanding equity multiples and continued outperformance of U.S. stocks over non-U.S. counterparts. Interest rates within the U.S. began rising in June, which led to defensive, interest rate-sensitive stocks strongly lagging more pro-cyclical areas. The best performing sector was telecommunications, followed by consumer staples and energy. Financials, technology and utilities stocks were among the strongest laggards.

IV. Return vs. Benchmark

For the fiscal year ending May 31, 2014, the Fund outperformed the Russell 2500 Index (the “Index”), returning 20.09% versus an Index return of 18.53%.

V. Fund Attribution

Outperformance was strongly aided by overweights to industrials and an underweight to financials. The Fund’s underweights to energy and a surprisingly resilient consumer staples sector were the largest detractors. Outperformance was mostly due to security selection, and was strongest within health care, technology and financials. Stock selection within consumer discretionary represented the largest detractor for the period. Outperformance was driven by the Fund’s value managers (LSV and Integrity). The Fund’s dedicated real estate investment trust (REIT) manager (Security Capital) was the largest underperformer for the period.

Small/Mid Cap Equity Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Small/Mid Cap Equity Fund, Class A		20.09%		12.39%		20.17%		8.82%		9.14%
Russell 2500 Index		18.53%		12.89%		20.77%		9.62%		9.86%

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

LOGO

For the year ended May 31, 2014. Past performance is not an indication of future performance. Class A shares were offered beginning 12/15/03. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.


SEI Institutional Investments Trust / Annual Report / May 31, 2014			9

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

U.S. Managed Volatility Fund

I. Objective

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

II. Multi-Manager Approach Statement

III. Market Commentary

The U.S. equity market, as measured by the Russell 3000 Index, gained 20.57% during the year ending May 31, 2014. The third quarter of 2013 began with increased market volatility, due to concerns that the Federal Reserve (Fed) would taper its monetary easing efforts. However, the Fed provided a positive surprise with a later-and-smaller-than-feared taper. U.S. and other developed economies continued to improve, and this translated into positive equity returns in most regions. Strong asset flows also pushed equity prices higher. The traditional late-year “Santa rally” didn’t disappoint either. Problem-ridden Europe continued posting improving macroeconomic indicators during the first quarter of 2014, helping propel future profitability expectations. Early in the first quarter, the U.S. equity market became quite optimistic in certain sectors such as biotechnology and information technology. The profit taking that followed subsequently snowballed into one of the strongest technical rotations of recent years. Seemingly without regard to fundamentals, valuations, sectors or countries, investors dumped shares with previously good performance and bought the prior laggards. April’s turbulent undercurrents continued into May, with strong rotations within equity markets masked by placid headline index readings.

For the year, growth stocks outperformed their value counterparts. All ten market sectors posted positive performance during the period. The best performing were health care, industrials, information technology and materials. Financials and defensive sectors such as utilities, consumer staples and telecommunications lagged the market the most over the reporting period.

IV. Return vs. Benchmark

For the fiscal year ending May 31, 2014, the Fund outperformed the Russell 3000 Index (the “Index”), returning 21.39% versus an Index return of 20.57%.

V. Fund Attribution

Good stock selection in the lowest-beta names, especially in health care, drove the Fund’s outperformance. In seeking to achieve the primary objective of downside protection, the managers target lower-beta names, which are typically characterized by stable earnings profiles and lower debt levels.

A low-risk strategy with a focus on downside protection would normally be expected to lag during strong market rallies. While the Fund did lag the benchmark for most of the year, it strongly outperformed during the last three months in the midst of the aforementioned technical rotation in the market. Adjusting for the Fund’s lower volatility, the results were even stronger.

From a more traditional sector perspective, overall sector positioning detracted. The Fund benefited from overweighting health care (which was the strongest performing sector) and underweighting consumer discretionary and financials (which underperformed). Overweighting defensive sectors, such as consumer staples, telecommunications and utilities, detracted from performance.

U.S. Managed Volatility Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
U.S. Managed Volatility Fund, Class A		21.39%		15.65%		19.30%		16.77%
Russell 3000 Index		20.57%		14.80%		18.82%		18.07%

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

LOGO

For the year ended May 31, 2014. Past performance is not an indication of future performance. Class A shares were offered beginning 12/31/08. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.


10		SEI Institutional Investments Trust / Annual Report / May 31, 2014

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

World Equity Ex-US Fund

I. Objective

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

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying upon a number of sub-advisers with differing investment philosophies to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers as of May 31, 2014: Acadian Asset Management LLC; Bailie Gifford Overseas, Ltd.; EARNEST Partners, LLC; JO Hambro Capital Management, Limited.; McKinley Capital Management, LLC; NFJ Investment Group LLC and Thornburg Investment Management Inc.

During the fiscal ended May 31, 2014, Baillie Gifford Overseas Limited was added to the Fund.

III. Market Commentary

For the fiscal year ended May 31, 2014, international markets continued to deliver strong returns, despite continued uncertainties faced by investors. On the positive side, we began to see quarterly expansion in the six largest eurozone economies for the first time in nearly three years toward the end of the reporting period. However, concerns regarding deflation (a general fall in prices) and unemployment have been on the rise. Eurozone inflation has been lingering below 1%, and unemployment, especially among young workers, remains at or near all-time highs. Despite these problems, Europe was the top-performing region for the period.

Japan’s Nikkei Index retreated somewhat in 2014 after finishing 2013 near a six-year high. The Bank of Japan continued to engage in asset purchases and market operations to expand the country’s monetary base in a bid to spur inflation, and consumer prices rose in response. However, it remains to be seen whether these measures will deliver the desired follow-on effect of wage growth. Additionally, the Japanese government is prepared to institute a $50 billion economic stimulus package in the event that the recently increased consumption tax has the undesirable impact of slowing consumption. Despite the strong start that Japanese equities experienced in 2013, their returns since

have been ranked among the worst performing developed markets, as investors continue to take a wait-and-see approach to the country’s equity market.

Within emerging markets, the focus has been on issues related to Russia’s annexation of Crimea, although in the wake of a historic natural gas deal with China, some of the pressure on Russian equities has abated. Elsewhere, growth in China has continued to be strong in absolute terms, but disappointing when compared to its recent history. This continues to cast a shadow over emerging markets in general. Government proposals for small-scale economic stimulus have not strengthened investor confidence.

In Brazil, despite hopes that hosting the World Cup and Summer Olympics would spur the economy, attention has instead been focused on combating runaway inflation. Food prices soared, resulting in the longest policy-tightening cycle in the nation’s history. Overall, emerging markets delivered positive returns for the period but lagged well behind developed markets.

For the period under review, Europe was the top-performing region, followed by the U.K. and Pacific ex-Japan. Japan and emerging markets lagged well behind but still managed to generate positive results.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2014, the Fund underperformed the MSCI All Country World Ex-US Net Index (the “Index”), returning 14.31% versus the Index return of 14.54%.

V. Fund Attribution

Fund performance was dictated primarily by stock selection, although portfolio allocation impacted results as well. From a country/regional perspective, the Fund benefited from an overweight to Europe, which was the best performing region for the period. Stock-selection results were also strong in Emerging Asia (mainly Taiwan and Malaysia) and in Canada (consumer discretionary and health care stocks). Offsetting these positive results were weak stock selection in emerging markets in Latin America (mainly Brazil) and Europe, the Middle East and Africa (especially Turkey). Stock selection in Pacific ex-Japan was also challenged, due mainly to a small number of Hong Kong-listed stocks with considerable economic exposure to emerging markets.


SEI Institutional Investments Trust / Annual Report / May 31, 2014			11

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

World Equity Ex-US Fund (Concluded)

Results varied across sectors over the period. The Fund’s overweight to (and managers’ selection in) information technology was beneficial, as that sector delivered strong results overall. Stock selection in health care and consumer discretionary was also positive. The most significant detractor was stock selection in financials, primarily through the Fund’s exposure to emerging markets banks. Stock selection in industrials and utilities also detracted over the reporting period.

World Equity Ex-US Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
World Equity Ex-US Fund, Class A		14.31%		5.42%		(11.21)%		5.64%
MSCI All Country World Ex-US Net Index		14.54%		4.63%		(10.49)%		7.04%

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

LOGO

For the year ended May 31, 2014. Past performance is not an indication of future performance. Class A shares were offered beginning 3/28/05. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.


12		SEI Institutional Investments Trust / Annual Report / May 31, 2014

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

Screened World Equity Ex-US Fund

I. Objective

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

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying upon a number of sub-advisers with differing investment philosophies to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilizes the following sub-advisers as of May 31, 2014: Acadian Asset Management LLC; EARNEST Partners, LLC; McKinley Capital Management, LLC and Thornburg Investment Management Inc. There were no sub-adviser changes during the year.

III. Market Commentary

In Brazil, despite hopes that hosting the upcoming World Cup and Summer Olympics would spur the economy, attention has instead been focused on combating runaway inflation. Food prices soared, resulting in the longest policy-tightening cycle in the nation’s history. Overall, emerging markets delivered positive returns for the period but lagged well behind developed markets.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2014, the Fund underperformed the MSCI All Country World Ex-US Net Index (the “Index”), returning 13.87% versus the Index return of 14.54%.

V. Fund Attribution

Fund performance was driven primarily by stock selection, although portfolio allocation impacted results as well. From a country/regional perspective, the Fund benefited from an overweight to Europe, as it was the best performing region for the period. Results from stock selection were strong in the U.K., mainly in health care and consumer staples. Stock selection was also strong in Canadian energy and consumer-discretionary names. Weak stock selection in Europe more than offset the beneficial overweight to the region. Emerging markets in Asia (primarily China) and Europe, the Middle East and Africa (Turkey) also detracted. Stock selection in the Pacific ex-Japan region was also challenged, due mainly to a small number of Hong Kong-listed stocks with considerable economic exposure to emerging markets.


SEI Institutional Investments Trust / Annual Report / May 31, 2014			13

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

Screened World Equity Ex-US Fund (Concluded)

Results varied across sectors over the period, with both stock selection and portfolio allocation impacting results. An overweight to information technology was beneficial, as that sector delivered strong results overall (although weak stock selection in the sector offset some of that impact). Stock selection in materials and consumer staples also helped performance. The most significant detractor for the period was stock selection in financials, primarily through the Fund’s exposure to emerging markets banks. Stock selection in industrials and telecommunications also detracted over the reporting period.

Screened World Equity Ex-US Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
Screened World Equity Ex-US Fund, Class A		13.87%		4.45%		10.44%		1.09%
MSCI All Country World Ex-US Net Index		14.54%		4.63%		10.49%		3.18%

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

LOGO

For the year ended May 31, 2014. Past performance is not an indication of future performance. Class A shares were offered beginning 6/30/08. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.


14		SEI Institutional Investments Trust / Annual Report / May 31, 2014

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

Opportunistic Income Fund

I. Objective

The Opportunistic Income Fund (the “Fund”) seeks to provide capital appreciation and income.

II. Multi-Manager Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisers as of May 31, 2014: Declaration Management & Research, LLC; Brookfield Investment Management Inc.; Wellington Management Company, LLP and Ares Management, LLC. There were no sub-adviser changes during the year.

III. Market Commentary

Early in the reporting period (mid-2013), global geopolitical concerns, along with comments from the Federal Reserve (Fed) about tapering its accommodative policies, led to increased market uncertainty and volatility. The Fed surprised the market in September 2013 by choosing not to taper its asset purchases, stating that financial conditions were not strong enough to justify tapering. Several months later, in mid-December, the Fed announced it would begin reducing its $85 billion monthly bond purchases by $10 billion per month, while restating its commitment to keeping interest rates low. Since that time, the Fed has continued to taper its bond-buying program, citing sufficient strength in the economy. With this as a backdrop, Treasury yields rose across the curve (yields and prices move inversely), with the 5-to-10 year range rising the most. For the one-year period, the 5-, 10- and 30-year yields increased 52, 35 and 5 basis points (one basis point is 0.01%), respectively, and the yield curve flattened as a result. The five-year Treasury Inflation-Protected Securities (TIPS) breakeven inflation rate, which is the difference in yield between nominal Treasuries and TIPS of similar maturities, widened slightly to 2%. As a result, TIPS outperformed their nominal Treasury counterparts.

spreads (the difference between corporate bond and Treasury yields) tightened to post-crisis lows, due to low broker-dealer inventories, improving corporate earnings and strong investor demand. Spreads on bank debt also tightened, thanks in part to regulations implemented by the FDIC that were a bit more accommodating than expected, allowing banks to continue improving their capital ratios and asset quality, a trend that should be positive for bondholders. Event risk remained elevated among industrial issuers in our view, as share buybacks and dividend payments (equity-friendly actions financed with debt) continued, and merger-and-acquisition activity picked up. Within non-corporate sub-sectors, sovereigns, foreign agencies and taxable municipals recovered from the selling that took place in mid-2013. Among securitized sectors, commercial mortgage-backed securities (CMBS) benefited from improving fundamentals, as property values increased, and defaults and delinquencies declined. Spreads tightened within agency MBS, as that asset class benefited from continued Fed purchases. Non-agency MBS continued to be supported by attractive risk-adjusted yields relative to other sectors, favorable supply and demand, and improving fundamentals.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2014, the Fund outperformed the BofA Merrill Lynch U.S. Dollar 3-Month LIBOR Constant Maturity Index (the “Index”), returning 2.59% versus the Index return of 0.22%.

V. Fund Attribution

During the fiscal year, the Fund’s large allocation to non-Treasury sectors helped performance. This was particularly true of the portfolio’s allocations to non-agency MBS, commercial MBS and senior bank loans. The Fund had modest allocations to cash at various times during the reporting period, which detracted slightly from performance.

Opportunistic Income Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
Opportunistic Income Fund, Class A		2.59%		3.61%		5.80%		0.00%
BofA Merrill Lynch U.S. Dollar 3-Month LIBOR Constant Maturity Index		0.22%		0.33%		0.36%		1.61%


SEI Institutional Investments Trust / Annual Report / May 31, 2014			15

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

Opportunistic Income Fund (Concluded)

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

LOGO

For the year ended May 31, 2014. Past performance is not an indication of future performance. Class A shares were offered beginning 12/14/06. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.


16		SEI Institutional Investments Trust / Annual Report / May 31, 2014

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

Core Fixed Income Fund

I. Objective

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

II. Multi-Manager Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisers as of May 31, 2014: Metropolitan West Asset Management LLC, J.P. Morgan Investment Management Inc., Western Asset Management Company Limited, Western Asset Management Company, Wells Capital Management, Inc. and Jennison Associates LLC. There were no sub-adviser changes during the year.

III. Market Commentary

For the 12 months ending May 31, 2014, the non-Treasury sectors of the U.S. fixed-income market rallied, as investors seemed to view the Federal Reserve’s policy decisions as a sign of improving economic conditions. Despite record corporate issuance, corporate bond

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2014, the Fund outperformed the Barclays U.S. Aggregate Bond Index (the “Index”), returning 3.36% versus the Index return of 2.71%.

V. Fund Attribution

The Fund’s overweight position in corporate bonds, non-agency MBS and CMBS were the key drivers of performance. Duration exposure (which was shorter than the benchmark) also had a positive impact on performance, as Treasury yields rose on the intermediate part of the curve. (Bond yields and prices move inversely.)

An overweight to corporate bonds, especially those issued by large financial firms, generated significant outperformance relative to Treasurys. Primary issuance was robust, and new deals were well received thanks to strong investor demand. Bank fundamentals remained solid, as capital and asset quality continued to improve.

Non-agency mortgages continued to perform well, as the sector continued to be supported by the housing recovery and offered relatively attractive risk-adjusted yields compared to other sectors.


SEI Institutional Investments Trust / Annual Report / May 31, 2014			17

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

Core Fixed Income Fund (Concluded)

The CMBS sector also generated strong performance over the period. Credit fundamentals continued to improve, while new supply has come at a far slower pace than investors expected; however, senior bonds at the top of the capital structure lagged. The Fund’s overweight to the sector was beneficial.

Agency MBS spreads narrowed considerably during the period. Demand from the Fed continued to surpass origination at current levels of housing activity. Our moderate overweight to this sector helped performance.

Core Fixed Income Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Core Fixed Income Fund, Class A		3.36%		4.80%		7.51%		5.78%		6.44%
Barclays U.S. Aggregate Bond Index		2.71%		3.55%		4.96%		4.99%		5.96%

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

LOGO


18		SEI Institutional Investments Trust / Annual Report / May 31, 2014

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

High Yield Bond Fund

I. Objective

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

II. Multi-Manager Approach Statement

During the fiscal year ended May 31, 2014, Guggenheim Partners Investment Management, LLC was terminated from the Fund.

III. Market Commentary

For the fiscal year ended May 31, 2014, the high-yield market, as measured by the BofA Merrill Lynch U.S. High Yield Constrained Index, returned 7.93%. Early in the period, returns were negative, as the Federal Reserve (Fed) announced it was considering tapering its asset purchases earlier than the market expected. This created sufficient uncertainty to cause a selloff in risk-asset markets. Despite that early selloff, high-yield returns were positive in 11 of the 12 months during the Fund’s fiscal year, due primarily to strong fundamentals and investors’ desire for higher yields in a low-yield environment. Economic growth in the U.S. generally exceeded expectations during the reporting period, except for a weather-induced slowdown in the first quarter of 2014.

Against a backdrop of strong fundamentals and renewed demand, credit-quality spreads narrowed 95 basis points (0.95%) during the reporting period to 367 basis points at the end of May. High yield was one of the better performing fixed-income asset classes, as more interest rate-sensitive sectors were negatively impacted by the rise in Treasury yields that resulted from the market’s reaction to the Fed’s plans to taper. The yield on the high-yield market rose from a record low of 4.99%, established in May 2013, to 5.70%, before declining to 5.06% at the end of the Fund’s fiscal year. According to Moody’s, default rates declined to 1.74% from 2.43%, despite one of the

largest defaults on record by a utility issuer. Bond issuance during the period was near record pace at $352 billion; over half of the proceeds were used for refinancing, which helped keep net new issuance in check. With investor demand for risk assets strong during the period, lower quality outperformed higher quality bonds. CCC rated securities returned 9.54%, B rated securities returned 7.59%, and BB rated securities returned 7.39%.

Returns were positive and broad based for the high-yield market, with all sectors in the Index generating positive returns. Improving operations combined with stronger balance sheets enabled the banking sector to produce the highest return at 13.10%. The worst performing sector was consumer cyclicals, which returned 5.77%.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2014, the Fund slightly underperformed the BofA Merrill Lynch U.S. High Yield Constrained Index (the “Index”), returning 7.75% versus the Index return of 7.93%.

V. Fund Attribution

Selection within the energy sector enhanced returns, as several companies benefitted from both refinancing and acquisition activity. Selection in financial services added to performance, especially among leasing companies, where several issuers improved their balance sheets through refinancing. An underweight to BB rated bonds and an overweight CCC rated bonds was positive, as the former underperformed while the latter outperformed. The Fund’s allocation to collateralized loan obligations detracted from performance, as these securities lagged high-yield bonds. Also subtracting from returns was selection within the technology sector, especially in software services firms, where some companies struggled with cutbacks in capital expenditures.

High Yield Bond Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
High Yield Bond Fund, Class A		7.75%		9.35%		16.46%		9.22%
BofA Merrill Lynch U.S. High Yield Constrained Index		7.93%		8.58%		14.43%		9.07%


SEI Institutional Investments Trust / Annual Report / May 31, 2014			19

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

High Yield Bond Fund (Concluded)

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

LOGO

For the year ended May 31, 2014. Past performance is not an indication of future performance. Class A shares were offered beginning 12/5/05. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.


20		SEI Institutional Investments Trust / Annual Report / May 31, 2014

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

Long Duration Fund

I. Objective

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

II. Multi-Manager Approach

III. Market Commentary

Early in the reporting period, global geopolitical concerns, along with comments from the Federal Reserve (Fed) about tapering its accommodative policies, led to increased market uncertainty and volatility. The Fed surprised the market in September 2013 by choosing not to taper its asset purchases, stating that financial conditions were not strong enough to justify tapering. Several months later, in mid-December, the Fed announced it would begin reducing its $85 billion monthly bond purchases by $10 billion per month, while restating its commitment to keeping interest rates low. Since that time, the Fed has continued to taper its bond-buying program, citing sufficient strength in the economy. With this as a backdrop, Treasury yields rose across the curve (yields and prices move inversely), with the 5-to-10 year range rising the most. For the one-year period, the 5-, 10- and 30-year yields increased 52, 35 and 5 basis points (one basis point is 0.01%), respectively, and the yield curve flattened as a result. The five-year Treasury Inflation-Protected Securities (TIPS) breakeven inflation rate, which is the difference in yield between nominal Treasuries and TIPS of similar maturities, widened slightly to 2%. As a result, TIPS outperformed their nominal Treasury counterparts.

tightened to post-crisis lows, due to low broker-dealer inventories, improving corporate earnings and strong investor demand. Spreads on bank debt also tightened, thanks in part to regulations implemented by the FDIC that were a bit more accommodating than expected, allowing banks to continue improving their capital ratios and asset quality, a trend that should be positive for bondholders. Event risk remained elevated among industrial issuers in our view, as share buybacks and dividend payments (equity-friendly actions financed with debt) continued, and merger-and-acquisition activity picked up. Within non-corporate sub-sectors, sovereigns, foreign agencies and taxable municipals recovered from the selling that took place in mid-2013. Among securitized sectors, commercial mortgage-backed securities (CMBS) benefited from improving fundamentals, as property values increased, and defaults and delinquencies declined. Spreads tightened within agency MBS, as that asset class benefited from continued Fed purchases. Non-agency MBS continued to be supported by attractive risk-adjusted yields relative to other sectors, favorable supply and demand, and improving fundamentals.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2014, the Fund outperformed the Barclays Long U.S. Government/Credit Index (the “Index”), returning 6.41% versus the Index return of 5.67%.

V. Fund Attribution

Duration exposure, which was shorter than the benchmark, had a positive impact on performance, as Treasury yields rose during the period. (Bond prices and yields move inversely.) The Fund’s curve-flattening position also added to relative returns. Treasury futures were utilized to help manage the Fund’s duration and yield-curve exposures. The Fund was underweight Treasuries, which helped relative performance, as interest rates rose.

The Fund’s outperformance was aided by its overweight exposures to the corporate bond sector (banking, brokerage firms and real estate investment trusts in particular). Spreads between the yields on bank-issued and Treasury debt tightened, thanks to improving capital ratios and asset quality at many banks. The Fund also benefited from a slight overweight and security selection in taxable municipal bonds, as that sector benefited from a flight to quality and away from increasing risks in emerging markets and industrials.


SEI Institutional Investments Trust / Annual Report / May 31, 2014			21

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

Long Duration Fund (Concluded)

Long Duration Fund:

AVERAGE ANNUAL TOTAL RETURN^1,2


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Long Duration Fund, Class A		6.41%		9.28%		11.29%		6.21%		5.95%
Barclays Long U.S. Government/Credit Index		5.67%		8.85%		10.17%		7.68%		7.45%

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

LOGO

For the year ended May 31, 2014. Past performance is not an indication of future performance. Class A shares were offered beginning 4/21/04. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

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


22		SEI Institutional Investments Trust / Annual Report / May 31, 2014

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

Long Duration Corporate Bond Fund

I. Objective

The Long Duration Corporate Bond Fund (the “Fund”) seeks to provide return characteristics similar to those of high-quality corporate bonds.

II. Multi-Manager Approach

During the fiscal year ended May 31, 2014, Logan Circle Partners, L.P. was added to the Fund.

III. Market Commentary

For the fiscal year ending May 31, 2014, the non-Treasury sectors of the U.S. fixed-income market rallied, as investors seemed to view the

Federal Reserve’s policy decisions as a sign of improving economic conditions. Despite record corporate issuance, corporate bond spreads (the difference between corporate bond and Treasury yields) tightened to post-crisis lows, due to low broker-dealer inventories, improving corporate earnings and strong investor demand. Spreads on bank debt also tightened, thanks in part to regulations implemented by the FDIC that were a bit more accommodating than expected, allowing banks to continue improving their capital ratios and asset quality, a trend that should be positive for bondholders. Event risk remained elevated among industrial issuers in our view, as share buybacks and dividend payments (equity-friendly actions financed with debt) continued, and merger-and-acquisition activity picked up. Within non-corporate sub-sectors, sovereigns, foreign agencies and taxable municipals recovered from the selling that took place in mid-2013. Among securitized sectors, commercial mortgage-backed securities (CMBS) benefited from improving fundamentals, as property values increased, and defaults and delinquencies declined. Spreads tightened within agency MBS, as that asset class benefited from continued Fed purchases. Non-agency MBS continued to be supported by attractive risk-adjusted yields relative to other sectors, favorable supply and demand, and improving fundamentals.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2014, the Fund outperformed the Barclays Long U.S. Corporate Index (the “Index”), returning 8.10% versus the Index return of 7.74%.

V. Fund Attribution


SEI Institutional Investments Trust / Annual Report / May 31, 2014			23

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

Long Duration Corporate Bond Fund (Concluded)

allocation to and security selection in taxable municipal bonds, as that sector benefited from a flight to quality and away from increasing risks in emerging markets and industrials.

The Fund’s underweight to outperforming industrials — a position driven by concerns about increased event risk in the sector — hurt performance.

Long Duration Corporate Bond Fund:

AVERAGE ANNUAL TOTAL RETURN¹

LOGO

For the year ended May 31, 2014. Past performance is not an indication of future performance. Class A shares were offered beginning 6/29/12. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.


24		SEI Institutional Investments Trust / Annual Report / May 31, 2014

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

Ultra Short Duration Bond Fund

I. Objective

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

II. Multi-Manager Approach

The Fund is managed by sub-advisers under the supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisers as of May 31, 2014: Wellington Management Company, LLP and Logan Circle Partners, L.P. There were no sub-adviser changes made during the year.

III. Market Review

(the difference between corporate bond and Treasury yields) tightened to post-crisis lows, due to low broker-dealer inventories, improving corporate earnings and strong investor demand. Spreads on bank debt also tightened, thanks in part to regulations implemented by the FDIC that were a bit more accommodating than expected, allowing banks to continue improving their capital ratios and asset quality, a trend that should be positive for bondholders. Event risk remained elevated among industrial issuers in our view, as share buybacks and dividend payments (equity-friendly actions financed with debt) continued, and merger-and-acquisition activity picked up. Within non-corporate sub-sectors, sovereigns, foreign agencies and taxable municipals recovered from the selling that took place in mid-2013. Among securitized sectors, commercial mortgage-backed securities (CMBS) benefited from improving fundamentals, as property values increased, and defaults and delinquencies declined. Spreads tightened within agency MBS, as that asset class benefited from continued Fed purchases. Non-agency MBS continued to be supported by attractive risk-adjusted yields relative to other sectors, favorable supply and demand, and improving fundamentals.

IV. Return vs. Benchmark

For the fiscal year ending May 31, 2014, the Fund outperformed the Barclays Short U.S. Treasury 9-12 Month Index (the “Index”), returning 1.13% versus the Index return of 0.27%.

V. Fund Attribution

During the year, the Fund outperformed its benchmark, driven by large allocations to non-Treasury sectors, particularly non-agency mortgage-backed securities, asset-backed securities and corporate securities.

Ultra Short Duration Bond Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized Inception to Date
Ultra Short Duration Bond Fund, Class A		1.13%		1.37%		1.37%
Barclays Short U.S. Treasury 9-12 Month Index		0.27%		0.28%		0.31%


SEI Institutional Investments Trust / Annual Report / May 31, 2014			25

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

Ultra Short Duration Bond Fund (Concluded)

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

LOGO

For the year ended May 31, 2014. Past performance is not an indication of future performance. Class A shares were offered beginning 2/28/11. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.


26		SEI Institutional Investments Trust / Annual Report / May 31, 2014

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

Emerging Markets Debt Fund

I. Objective

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

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corp. (SIMC). The Fund utilized the following sub-advisers as of May 31, 2014: Investec Asset Management, Ltd.; Neuberger Berman Fixed Income, LLC and Stone Harbor Investment Partners, L.P.

During the fiscal year ending May 31, 2014, Investec Asset Management, Ltd. and Neuberger Berman Fixed Income, LLC were added and Ashmore Investment Management, Ltd. was terminated from the Fund.

III. Market Commentary

For the fiscal year ending May 31, 2014, emerging markets debt (EMD) posted a 2.18% return in what was an extremely volatile period for the asset class. EMD suffered during the early stages of the reporting period, following news that the U.S. Federal Reserve stood ready to taper its monetary easing measures. Yields widened significantly, and investor outflows from the asset class contributed to falling prices. The resulting risk/reward profile of the asset class started to attract yield-hungry investors who began to return to the market in response to more attractive valuations. Slow economic growth and generally negative economic data during the period led to a rally in U.S. Treasuries, which also boosted performance in external debt.

External debt outperformed local-currency debt over the reporting period, returning 5.77% and -1.37%, respectively. Both sectors struggled during the “taper tantrum” in mid-2013, but local-currency debt suffered more, as the sector typically underperforms the broader market in periods where investors flee to quality and relative safety. Retail investors withdrew close to $65 billion from the asset class in the first eight months of the reporting period. Fortunately, institutional investors remained firm in their commitment to the asset class and continued to allocate to it; issuance returned to the market in 2014,

and yields remained elevated. Fundamentals are still generally strong, and the asset class began to rally after gaining credence from investors once again, as retail money started to return in the latter stages of the reporting period.

Local-currency debt assets were hit hard in 2013, particularly the higher-beta countries such as Brazil, South Africa and Turkey. These currencies significantly depreciated against the U.S. dollar as concerns grew that higher interest rates would cause capital flight from emerging economies.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2014, the Fund underperformed the blended 50% J.P. Morgan EMBI Global Diversified Index (U.S. dollar), 50% J.P. Morgan GBI-EM Global Diversified Index (local currencies), returning 0.44% versus the blended index return of 2.18%.

V. Fund Attribution

An overweight to local-currency debt in Brazil, underweights to Argentina, Hungary and Lebanon, and security selection in Colombia detracted from relative returns, as did an overweight to cash. An overweight to local-currency debt versus external debt detracted, as local currency underperformed. An overweight to the Brazilian real was negatively impacted by the U.S. Fed’s announcement of tapering, protests against the government’s spending habits, and difficult policy decisions made by the administration to get the country’s economic growth back on track. Overweights to Venezuela and the United Arab Emirates added to relative returns, as did security selection in Indonesia, Turkey, Russia and Peru. An overweight to corporate debt was beneficial, as that sector avoided the steep selloff in 2013 and outperformed the broader EMD universe.


SEI Institutional Investments Trust / Annual Report / May 31, 2014			27

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

Emerging Markets Debt Fund (Concluded)

Emerging Markets Debt Fund:

AVERAGE ANNUAL TOTAL RETURN^1,2


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
Emerging Markets Debt Fund, Class A		0.44%		5.17%		11.10%		8.50%
J.P. Morgan EMBI Global Diversified Index (broad based)		5.77%		7.60%		10.56%		8.28%
J.P. Morgan GBI-EM Global Diversified Index		(1.37)%		0.97%		7.47%		8.55%
50/50 Hybrid consisting of the J.P. Morgan EMBI Global Diversified Index and the J.P. Morgan GBI-EM Global Diversified Index		2.18%		4.31%		9.08%		13.76%

Comparison of Change in the Value of a $100,000 Investment in the Emerging Market Debt Fund, Class A, versus a 50/50 Hybrid of the Following Indexes: the J.P. Morgan EMBI Global Diversified Index, and the J.P. Morgan GBI-EM Global Diversified Index

LOGO

This table compares the Fund’s average annual total returns to those of a broad-based index and the Fund’s 50/50 Blended Benchmark, which consists of the J.P. Morgan EMBI Global Diversified Index and the J.P. Morgan GBI-EM Diversified Index. The Fund’s Blended Benchmark is designed to provide a useful comparison to the Fund’s overall performance and more accurately reflects the Fund’s investment strategy than the broad-based index.


28		SEI Institutional Investments Trust / Annual Report / May 31, 2014

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

Real Return Fund

I. Objective

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

II. Multi-Manager Approach

The Fund is directly managed by SEI Investments Management Corporation (SIMC). There were no manager changes made during the fiscal year ended May 31, 2014.

III. Market Commentary

For the fiscal year ending May 31, 2014, the non-Treasury sectors of the U.S. fixed-income market rallied, as investors seemed to view the Federal Reserve’s policy decisions as a sign of improving economic conditions. Despite record corporate issuance, corporate bond spreads (the difference between corporate bond and Treasury yields) tightened to post-crisis lows, due to low broker-dealer inventories, improving corporate earnings and strong investor demand. Spreads on bank debt also tightened, thanks in part to regulations implemented by the FDIC

that were a bit more accommodating than expected, allowing banks to continue improving their capital ratios and asset quality, a trend that should be positive for bondholders. Event risk remained elevated among industrial issuers in our view, as share buybacks and dividend payments (equity-friendly actions financed with debt) continued, and merger-and-acquisition activity picked up. Within non-corporate sub-sectors, sovereigns, foreign agencies and taxable municipals recovered from the selling that took place in mid-2013. Among securitized sectors, commercial mortgage-backed securities (CMBS) benefited from improving fundamentals, as property values increased, and defaults and delinquencies declined. Spreads tightened within agency MBS, as that asset class benefited from continued Fed purchases. Non-agency MBS continued to be supported by attractive risk-adjusted yields relative to other sectors, favorable supply and demand, and improving fundamentals.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2014, the Fund returned 0.96%, compared to 1.03% for the Barclays 1-5 Year U.S. TIPS Index.

V. Fund Attribution

The Fund performed in line with the benchmark, as the Fund manager aims to produce performance similar to that of the Barclays 1-5 Year U.S. TIPS Index.

Real Return Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
Real Return Fund, Class A		0.96%		0.98%		3.03%		4.03%
Barclays 1-5 Year U.S. TIPS Index		1.03%		1.04%		3.06%		3.86%


SEI Institutional Investments Trust / Annual Report / May 31, 2014			29

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

Real Return Fund (Concluded)

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

LOGO


30		SEI Institutional Investments Trust / Annual Report / May 31, 2014

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

Dynamic Asset Allocation Fund

I. Objective

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

II. Multi-Manager Approach Statement

The Fund may use a multi-manager approach under the general supervision of SEI Investments Management Corporation (SIMC), allocating its assets among one or more sub-advisers that will implement different investment strategies. The Fund utilized the following sub-adviser as of May 31, 2014: SSgA Funds Management, Inc. There were no sub-adviser changes made during the year.

III. Market Commentary

For the fiscal year ending May 31, 2014, the S&P 500 gained 20.45%, finishing near all-time highs. Even though most of the last year was characterized by extraordinarily low levels of volatility, there were brief periods of uncertainty. For example, in June 2013, both U.S. equities and U.S. fixed-income markets sold off in response to signals from the Federal Reserve (Fed) Board of Governors that the Fed’s pace of quantitative easing might be slowed prior to the end of the calendar year.

The first quarter of 2014 brought disruptive winter weather to much of the United States, which depressed economic activity and raised questions about the trend in corporate profits. The invasion of the Crimean peninsula by Russian troops also added to volatility across the global equity markets. Meanwhile, longer-term worries continued to surround the political, economic and financial health of several emerging countries. Despite historically cheap relative valuations, emerging-country stock markets continued to lag their developed-country counterparts over the year.

After a volatile start to the reporting period, fixed-income markets performed modestly well through May 31, with the Barclays U.S. Aggregate Bond Index returning 2.71%. Now that Fed tapering is a reality, investors appear to be shaking off the concerns expressed last summer. In Europe, bond yields slid dramatically (bond prices and yields move inversely), led by the most problematic debtors. Improved fiscal positions, the elimination of the threat of a breakup of the eurozone currency area, and steadily falling inflation rates were behind the surprisingly strong European bond-market performance.

Overall, we expect more volatile assets (equities, high-yield debt and emerging-market debt) to outperform less volatile ones in the year ahead. To be sure, geopolitical concerns, China’s economic slowdown and the fragility of Europe’s and Japan’s recoveries are possible catalysts that could drive a correction in riskier asset classes. But we expect global inflation to remain low and monetary policy to stay rather dovish in the major developed countries. As a result, we continue to view market corrections as buy-on-the-dip opportunities.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2014, the Fund underperformed the S&P 500 Index (the “Index”), returning 15.49% versus the Index return of 20.45%.

V. Fund Attribution

Over the fiscal year ended May 31, 2014 the Fund maintained a short-euro, long-U.S. dollar theme. This was a significant detractor from performance but did serve to dampen overall volatility of the Fund. From the beginning of the reporting period until February 2014, the Fund held a short-Japanese yen, long-U.S. dollar position using foreign-exchange forward contracts. (A currency forward is a contract in the foreign-exchange market that locks in the exchange rate of a currency on a future date; a short position is an obligation to purchase the currency on that future date.) The position was a moderate contributor to overall Fund performance. In June 2013, the Fund entered into an option position on the S&P 500 Index designed to produce marginal cash flow while also protecting against a decline in the equity market. Options are contracts that give the holder (buyer) the right, but not the obligation, to buy (in the case of a call option) or sell (put option) an underlying security at a specified price by a particular date. From July 2013 until January 2014, the Fund owned put options on an exchange-traded fund designed to move in the opposite direction of long-dated Treasuries, with roughly twice the magnitude. This exposure was viewed as protection against a low-probability but significant decline in markets and would have benefited from a rally in long-dated Treasuries, but expired worthless, which detracted marginally from performance. In September 2013, the Fund entered into a long-emerging-market equity, short-U.S. equity relative-value trade, which was closed in March of 2014. The


SEI Institutional Investments Trust / Annual Report / May 31, 2014			31

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

Dynamic Asset Allocation Fund (Concluded)

trade contributed negatively to performance. In April 2014, the Fund purchased call options on the Chicago Board Options Exchange Volatility Index (VIX) as protection against a sudden increase in market volatility. As of May 31, 2014 this position had detracted nominally from performance.

Dynamic Asset Allocation Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized 3 Year Return		Annualized Inception to Date
Dynamic Asset Allocation Fund, Class A		15.49%		14.03%		14.83%
S&P 500 Index		20.45%		15.15%		18.14%

Comparison of Change in the Value of a $100,000 Investment in the Dynamic Asset Allocation Fund, Class A, versus the S&P 500 Index

LOGO

For the year ended May 31, 2014. Past performance is not an indication of future performance. Class A shares were offered beginning 7/30/10. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.


32		SEI Institutional Investments Trust / Annual Report / May 31, 2014

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL INVESTMENTS TRUST — MAY 31, 2014 (Unaudited)

Multi-Asset Real Return Fund

I. Objective

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

II. Multi-Manager Approach

During the fiscal year ended May 31, 2014, QS Investors, LLC was added to the Fund.

III. Market Commentary

For the fiscal year ending May 31, 2014, global equity markets turned in a strong performance, especially in the developed markets. Both U.S. and non-U.S. equity markets performed well during the period. Emerging market equities, however, produced only meager returns. Record levels of monetary stimulus fueled developed-market performance, while slowing growth rates in major emerging-market economies held back performance in those regions for the most part. Fixed-income markets performed modestly, with most major sectors generating low to mid-single digit returns for the year.

The past 12 months were challenging for certain inflation-related asset classes. The Barclays 1-5 Year U.S. TIPS Index returned 1.03% over the period; this lackluster performance was due in large part to a spike in real (inflation adjusted) interest rates in mid-2013, when the U.S. Federal Reserve announced its intentions to taper monetary stimulus. Commodities markets also turned in low-single digit returns over the period. In 2013, commodities were in negative territory due to concerns over slowing growth in China, slow growth in Europe and supply abundance in certain markets. Commodities rebounded in the first quarter of 2014 as some of these issues dissipated.

Natural-resource equities and real estate investment trusts (REITs) performed well but did not keep pace with the broad equity markets. In natural-resource equities, energy-related companies performed well, as oil and natural gas prices supported higher valuations. Materials companies did not keep pace with their energy counterparts, as overcapacity continued to weigh on miners. REITs suffered, as interest rates spiked in the middle of 2013.

IV. Return vs. Benchmark

For the fiscal year ended May 31, 2014, the Fund outperformed the Barclays 1-5 Year U.S. TIPS Index (the “Index”), returning 1.20% versus the Index return of 1.03%.

V. Fund Attribution

The primary contributors to outperformance in the period were the Fund’s exposures to natural-resource equities and REITs, which were supported by the overall strength of equity markets. The allocation to commodities also contributed to outperformance, as that asset class modestly outperformed U.S. TIPS.

An equity-market hedge was implemented through the use of S&P 500 Index total return swaps. These positions detracted from total return over the measurement period.

Multi-Asset Real Return Fund:

AVERAGE ANNUAL TOTAL RETURN¹


	One Year Return		Annualized Inception to Date
Multi-Asset Real Return Fund, Class A		1.20%		(2.23)%
Barclays 1-5 Year U.S. TIPS Index		1.03%		0.52%

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

LOGO

For the period ended May 31, 2014. Past performance is not an indication of future performance. Class A shares were offered beginning 7/29/11. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.


SEI Institutional Investments Trust / Annual Report / May 31, 2014			33

SUMMARY SCHEDULE OF INVESTMENTS

Large Cap Fund

May 31, 2014

LOGO


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


COMMON STOCK (A) — 97.4%

Consumer Discretionary — 12.3%
CBS, Cl B		0.6	%		233,170	$	13,899
Harley-Davidson		0.6			184,235		13,125
Liberty Interactive, Cl A*		0.7			576,375		16,790
priceline.com*		0.8			14,475		18,508
Starbucks		0.6			185,184		13,563
Time Warner Cable, Cl A		0.6			95,040		13,416
Twenty-First Century Fox		0.6			381,230		13,137
Other Securities		7.8					179,898

							282,336


Consumer Staples — 8.0%
Anheuser-Busch InBev ADR		0.6			131,044		14,405
Costco Wholesale		0.6			114,879		13,328
Mead Johnson Nutrition, Cl A		0.8			208,509		18,655
Philip Morris International		0.6			157,540		13,948
Tyson Foods, Cl A		0.6			311,650		13,233
Walgreen		0.9			295,291		21,234
Other Securities		3.9					89,945

							184,748


Energy — 10.6%
Chevron		0.9			175,935		21,603
EOG Resources		1.1			247,600		26,196
Exxon Mobil		1.5			336,172		33,795
Marathon Petroleum		0.5			141,090		12,612
Noble Energy		0.6			192,870		13,900
Phillips 66		1.0			263,540		22,346
Other Securities		5.0					114,861

							245,313


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


Financials — 16.3%
American International Group		1.2	%		495,860	$	26,811
Bank of America		0.9			1,340,270		20,292
Citigroup		0.9			449,610		21,388
Crown Castle International‡		0.8			256,800		19,704
JPMorgan Chase		0.6			253,000		14,059
Travelers		0.6			138,100		12,905
Wells Fargo		1.0			474,271		24,083
Other Securities		10.3					236,333

							375,575


Health Care — 13.0%
Alexion Pharmaceuticals*		0.6			82,090		13,653
Allergan		0.9			127,575		21,364
Biogen Idec*		0.9			60,600		19,354
Celgene*		1.2			183,225		28,039
Express Scripts Holding*		0.8			265,528		18,977
Gilead Sciences*		0.6			161,869		13,146
Pfizer		0.7			526,340		15,595
WellPoint		0.6			132,500		14,358
Other Securities		6.7					155,034

							299,520


Industrials — 9.6%
Canadian Pacific Railway		0.9			118,880		19,915
Northrop Grumman		0.6			112,500		13,674
Other Securities		8.1					188,101

							221,690


Information Technology — 21.4%
Adobe Systems*		1.3			472,155		30,473
Apple		1.1			42,729		27,047
Applied Materials		0.7			813,280		16,420
eBay*		0.6			279,025		14,155
Facebook, Cl A*		0.6			208,830		13,219
Google, Cl A*		0.7			27,515		15,729
Google, Cl C*		0.8			31,815		17,848
Mastercard, Cl A		1.8			541,710		41,414
Microsoft		1.5			844,325		34,567
Qualcomm		1.5			416,806		33,532
Visa, Cl A		1.5			162,376		34,883
Other Securities		9.3					214,742

							494,029


Materials — 3.5%
Dow Chemical		0.6			251,450		13,106
LyondellBasell Industries, Cl A		0.7			163,402		16,270


34		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

Other Securities		2.2	%			$	50,863

							80,239


Telecommunication Services — 0.8%
AT&T		0.7			465,100		16,497
Other Securities		0.1					3,015

							19,512


Utilities — 1.9%
Other Securities		1.9					43,284

Total Common Stock (Cost $1,630,661) ($ Thousands)							2,246,246


AFFILIATED PARTNERSHIP — 3.3%
SEI Liquidity Fund, L.P. 0.070%**† (B)		3.3			76,116,576		76,117

Total Affiliated Partnership (Cost $76,117) ($ Thousands)							76,117


CASH EQUIVALENTS — 1.3%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		1.2			28,268,384		28,268
Other Securities		0.1					1,766

Total Cash Equivalents (Cost $30,034) ($ Thousands)							30,034


U.S. TREASURY OBLIGATIONS (C) — 0.5%
Other Securities		0.5					10,278

Total U.S. Treasury Obligations (Cost $10,278) ($ Thousands)							10,278

Total Investments — 102.5% (Cost $1,747,090) ($ Thousands)						$	2,362,675

A list of the open futures contracts held by the Fund at May 31, 2014, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
S&P 500 Index E-MINI		125		Jun-2014	$	86
S&P Mid 400 Index E-MINI		11		Jun-2014		3

					$	89

For the year ended May 31, 2014, 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 $2,305,214 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2014.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security (see Note 6).

(A)

Certain securities or partial positions of certain securities are on loan at May 31, 2014 (see Note 12). The total market value of securities on loan at May 31, 2014 was $74,093 ($ 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 May 31, 2014 was $76,117 ($ Thousands).

(C)

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

ADR — American Depositary Receipt

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 issuers 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 May 31, 2014, 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	$	2,246,246	$	—	$	—	$	2,246,246
Affiliated Partnership		—		76,117		—		76,117
Cash Equivalents		30,034		—		—		30,034
U.S. Treasury Obligations		—		10,278		—		10,278

Total Investments in Securities	$	2,276,280	$	86,395	$	—	$	2,362,675


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*
Unrealized Appreciation	$	89	$	—	$	—	$	89

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

For the year ended May 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2014, 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.


SEI Institutional Investments Trust / Annual Report / May 31, 2014			35

SUMMARY SCHEDULE OF INVESTMENTS

Large Cap Diversified Alpha Fund

May 31, 2014

LOGO


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


COMMON STOCK — 96.0%

Consumer Discretionary — 13.7%
Delphi Automotive		0.9	%		17,668	$	1,220
DIRECTV*		1.0			16,722		1,379
General Motors		1.1			44,787		1,549
Lear		0.9			13,857		1,220
Liberty Interactive, Cl A*		0.5			27,333		796
priceline.com*		1.1			1,165		1,490
Toyota Motor ADR		1.7			20,539		2,323
Whirlpool		0.6			5,640		809
Other Securities		5.9					8,212

							18,998


Consumer Staples — 6.4%
Walgreen		0.7			14,016		1,008
Wal-Mart Stores		1.0			17,785		1,365
Other Securities		4.7					6,437

							8,810


Energy — 9.9%
Apache		0.7			10,941		1,020
BP PLC ADR		0.9			24,242		1,223
Chevron		1.1			12,346		1,516
EOG Resources		1.4			17,918		1,896
Halliburton		1.2			25,486		1,648
Occidental Petroleum		0.8			11,089		1,105
Other Securities		3.8					5,363

							13,771


Financials — 17.6%
Berkshire Hathaway, Cl B*		1.0			10,486		1,346
Citigroup		1.1			32,006		1,522
Crown Castle International‡		1.3			23,055		1,769
IntercontinentalExchange Group		0.7			4,927		968
JPMorgan Chase		1.3			32,391		1,800
MetLife		1.1			31,675		1,613
Progressive		0.6			33,261		833
Travelers		0.6			9,045		845
Wells Fargo		0.8			21,416		1,087


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

Other Securities		9.1	%			$	12,648

							24,431


Health Care — 10.5%
Allergan		1.2			9,979		1,671
Celgene*		1.6			14,311		2,190
McKesson		0.6			4,352		825
Merck		0.6			14,585		844
Novo Nordisk ADR		0.6			19,029		804
WellPoint		0.6			7,802		846
Other Securities		5.3					7,410

							14,590


Industrials — 8.4%
Caterpillar		0.7			10,281		1,051
Delta Air Lines		1.5			53,607		2,140
General Electric		0.7			34,250		917
Other Securities		5.5					7,599

							11,707


Information Technology — 21.8%
Adobe Systems*		0.9			20,209		1,304
Apple		2.6			5,754		3,642
Cisco Systems		1.0			54,918		1,352
eBay*		0.9			23,995		1,217
Equinix*		0.8			5,232		1,040
Google, Cl A*		0.6			1,448		828
Google, Cl C*		0.6			1,529		858
Intuit		0.8			13,122		1,040
Mastercard, Cl A		1.2			22,569		1,725
Microsoft		1.6			55,264		2,263
Qualcomm		1.3			23,153		1,863
Visa, Cl A		1.3			8,362		1,797
Western Digital		0.9			13,518		1,188
Other Securities		7.3					10,093

							30,210


Materials — 3.1%
LyondellBasell Industries, Cl A		0.6			8,450		841
Other Securities		2.5					3,443

							4,284


Telecommunication Services — 3.1%
China Mobile ADR		0.9			26,651		1,307
Verizon Communications		1.7			45,718		2,284
Other Securities		0.5					718

							4,309


Utilities — 1.5%
Other Securities		1.5					2,032

Total Common Stock (Cost $113,086) ($ Thousands)							133,142


36		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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


CASH EQUIVALENT — 3.6%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		3.6	%		4,983,678	$	4,984

Total Cash Equivalent (Cost $4,984) ($ Thousands)							4,984


U.S. TREASURY OBLIGATION (A) — 0.2%
Other Securities		0.2					349

Total U.S. Treasury Obligation (Cost $349) ($ Thousands)							349

Total Investments — 99.8% (Cost $118,419) ($ Thousands)						$	138,475

A list of the open futures contracts held by the Fund at May 31, 2014, is as follows:

Type of
Contract

Number of
Contracts
Long

Expiration
Date

Unrealized
Appreciation
($ Thousands)

S&P 500 Index E-MINI

Jun-2014

232

Percentages are based on a Net Assets of $138,725 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2014.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security (see Note 6).

(A)

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

ADR

— American Depositary Receipt

— Class

PLC

— Public Limited Company

S&P

— Standard & Poor’s

The following is a list of the level of inputs used as of May 31, 2014, 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	$	133,142	$	—	$	—	$	133,142
Cash Equivalent		4,984		—		—		4,984
U.S. Treasury Obligation		—		349		—		349

Total Investments in Securities	$	138,126	$	349	$	—	$	138,475


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*
Unrealized Appreciation	$	232	$	—	$	—	$	232

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

For the year ended May 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2014, 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.


SEI Institutional Investments Trust / Annual Report / May 31, 2014			37

SUMMARY SCHEDULE OF INVESTMENTS

Large Cap Disciplined Equity Fund

May 31, 2014

LOGO


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


COMMON STOCK — 96.8%

Consumer Discretionary — 11.2%
AutoZone*		0.7	%		62,233	$	33,139
Comcast, Cl A (A)		0.9			790,289		41,253
Comcast, Special Cl A		0.2			137,950		7,151
Macy’s		0.7			509,809		30,532
McDonald’s		0.5			245,602		24,911
Viacom, Cl B		0.7			392,215		33,468
Other Securities		7.5					348,562

							519,016


Consumer Staples — 9.3%
Coca-Cola		0.7			790,553		32,342
CVS Caremark		0.8			432,302		33,858
Kroger		0.6			600,900		28,687
Mondelez International, Cl A		0.5			663,303		24,953
Philip Morris International		0.8			402,491		35,637
Wal-Mart Stores		0.9			567,088		43,535
Other Securities		5.0					229,064

							428,076


Energy — 9.4%
Chevron		2.0			749,850		92,074
ConocoPhillips		0.9			548,554		43,851
Exxon Mobil		1.2			535,806		53,865
National Oilwell Varco		0.6			326,220		26,708
Phillips 66		0.6			338,816		28,728
Schlumberger		0.6			259,933		27,043
Other Securities		3.5					164,061

							436,330


Financials — 14.9%
American Express		0.7			325,846		29,815
Citigroup		1.2			1,206,471		57,392
JPMorgan Chase		1.4			1,144,802		63,617
US Bancorp		0.6			660,188		27,853


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

Wells Fargo		0.9	%		842,461	$	42,780
Other Securities		10.1					466,051

							687,508


Health Care — 14.4%
AbbVie		0.7			608,243		33,046
Actavis*		0.6			132,210		27,968
Allergan		0.5			149,556		25,045
Express Scripts Holding*		1.1			692,873		49,520
Gilead Sciences* (A)		0.9			534,053		43,371
Johnson & Johnson		0.7			303,972		30,841
McKesson		0.6			144,422		27,388
Pfizer		2.0			3,148,136		93,279
UnitedHealth Group		0.7			404,832		32,237
Zoetis, Cl A		0.8			1,190,195		36,539
Other Securities		5.8					266,447

							665,681


Industrials — 11.2%
General Electric		1.1			1,894,993		50,767
Lockheed Martin		0.6			170,375		27,882
Northrop Grumman		0.7			264,030		32,093
Tyco International		0.8			847,090		36,967
United Technologies		0.6			230,668		26,808
Other Securities		7.4					344,685

							519,202


Information Technology — 19.1%
Apple		3.2			230,290		145,774
Facebook, Cl A*		0.7			475,873		30,123
Google, Cl A*		0.9			71,910		41,107
Google, Cl C*		1.0			84,450		47,375
Hewlett-Packard		0.5			760,701		25,483
Intel (A)		0.6			1,029,579		28,128
International Business Machines		1.0			256,552		47,298
Microsoft		1.5			1,649,938		67,548
Qualcomm		1.1			633,790		50,988
Western Digital		0.6			303,092		26,627
Other Securities		8.0					371,042

							881,493


Materials — 3.4%
LyondellBasell Industries, Cl A		0.8			357,583		35,605
Other Securities		2.6					120,476

							156,081


Telecommunication Services — 1.9%
AT&T		0.7			877,062		31,110
Verizon Communications		1.2			1,175,488		58,727

							89,837


38		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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


Utilities — 2.0%
Other Securities		2.0	%			$	91,100

Total Common Stock (Cost $3,756,944) ($ Thousands)							4,474,324


PREFERRED STOCK — 0.1%

Preferred Stock — 0.1%
Other Securities		0.1					3,234

Total Preferred Stock (Cost $2,465) ($ Thousands)							3,234


AFFILIATED PARTNERSHIP — 3.5%
SEI Liquidity Fund, L.P. 0.070%**† (B)		3.5			160,097,885		160,098

Total Affiliated Partnership (Cost $160,098) ($ Thousands)							160,098


CASH EQUIVALENT — 2.5%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		2.5			115,684,608		115,685

Total Cash Equivalent (Cost $115,685) ($ Thousands)							115,685


U.S. TREASURY OBLIGATIONS (C) — 0.2%
Other Securities		0.2					10,029

Total U.S. Treasury Obligations (Cost $10,028) ($ Thousands)							10,029

Total Investments — 103.1% (Cost $4,045,220) ($ Thousands)						$	4,763,370

A list of the open futures contracts held by the Fund at May 31, 2014, is as follows:

Type of
Contract

Number of
Contracts
Long

Expiration
Date

Unrealized
Appreciation
($ Thousands)

S&P 500 Index E-MINI

866

Jun-2014

2,687

Percentages are based on a Net Assets of $4,622,216 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2014.

†

Investment in Affiliated Security (see Note 6).

(A)

This security or a partial position of this security is on loan at May 31, 2014. The total value of securities on loan at May 31, 2014 was $156,188 ($ 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 May 31, 2014 was $160,098 ($ 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 following is a list of the level of inputs used as of May 31, 2014, 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	$	4,474,324	$	—	$	—	$	4,474,324
Preferred Stock		3,234		—		—		3,234
Affiliated Partnership		—		160,098		—		160,098
Cash Equivalent		115,685		—		—		115,685
U.S. Treasury Obligations		—		10,029		—		10,029

Total Investments in Securities	$	4,593,243	$	170,127	$	—	$	4,763,370


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*
Unrealized Appreciation	$	2,687	$	—	$	—	$	2,687

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

For the year ended May 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

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


SEI Institutional Investments Trust / Annual Report / May 31, 2014			39

SUMMARY SCHEDULE OF INVESTMENTS

Large Cap Index Fund

May 31, 2014

LOGO


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


COMMON STOCK — 98.1%

Consumer Discretionary — 12.5%
Amazon.com*		0.6	%		34,689	$	10,842
Comcast, Cl A (A)		0.7			247,825		12,937
Home Depot		0.5			128,915		10,343
McDonald’s		0.5			94,480		9,583
Walt Disney		0.8			170,172		14,296
Other Securities		9.4					179,840

							237,841


Consumer Staples — 8.7%
Altria Group		0.4			188,840		7,848
Coca-Cola		0.7			361,540		14,790
CVS Caremark		0.5			115,252		9,026
PepsiCo		0.7			146,052		12,901
Philip Morris International		0.7			154,468		13,677
Procter & Gamble		1.1			259,574		20,971
Wal-Mart Stores		0.6			151,979		11,667
Other Securities		4.0					75,322

							166,202


Energy — 9.8%
Chevron		1.2			183,602		22,544
ConocoPhillips		0.5			115,076		9,199
Exxon Mobil		2.2			422,038		42,427
Occidental Petroleum		0.4			75,654		7,542
Schlumberger		0.7			125,563		13,064
Other Securities		4.8					91,226

							186,002


Financials — 16.5%
American Express		0.4			89,134		8,156
Bank of America		0.8			1,019,263		15,432
Berkshire Hathaway, Cl B*		1.2			170,400		21,869
Citigroup		0.7			287,504		13,676
JPMorgan Chase		1.0			357,834		19,885
SEI (B)		0.0			13,142		433


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

Wells Fargo		1.2	%		457,366	$	23,225
Other Securities		11.2					212,572

							315,248


Health Care — 12.7%
AbbVie		0.4			148,876		8,088
Amgen		0.4			70,558		8,184
Bristol-Myers Squibb		0.4			154,359		7,678
Gilead Sciences*		0.6			143,934		11,689
Johnson & Johnson		1.4			266,209		27,010
Merck		0.9			285,643		16,527
Pfizer		1.0			633,022		18,756
UnitedHealth Group		0.4			95,820		7,630
Other Securities		7.2					136,788

							242,350


Industrials — 11.1%
3M		0.5			61,533		8,772
Boeing		0.5			71,491		9,669
General Electric		1.4			980,023		26,255
Union Pacific		0.5			43,916		8,751
United Technologies		0.5			86,590		10,063
Other Securities		7.7					148,451

							211,961


Information Technology — 17.6%
Apple		2.7			81,745		51,745
Cisco Systems		0.7			504,527		12,422
Facebook, Cl A*		0.5			160,600		10,166
Google, Cl A*		0.8			25,529		14,594
Google, Cl C*		0.7			25,529		14,321
Intel (A)		0.7			469,358		12,823
International Business Machines		0.9			92,498		17,053
Mastercard, Cl A		0.4			109,900		8,402
Microsoft		1.7			792,000		32,424
Oracle		0.7			317,420		13,338
Qualcomm		0.7			163,159		13,126
Visa, Cl A		0.6			49,300		10,591
Other Securities		6.5					125,465

							336,470


Materials — 3.7%
Other Securities		3.7					69,894


Telecommunication Services — 2.4%
AT&T		1.0			509,133		18,059
Verizon Communications		1.0			390,676		19,518
Other Securities		0.4					7,451

							45,028


40		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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


Utilities — 3.1%
Other Securities		3.1	%			$	58,847

Total Common Stock (Cost $1,097,458) ($ Thousands)							1,869,843


AFFILIATED PARTNERSHIP — 5.0%
SEI Liquidity Fund, L.P. 0.070%**† (C)		5.0			94,496,412		94,496

Total Affiliated Partnership (Cost $94,496) ($ Thousands)							94,496


CASH EQUIVALENT — 1.6%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		1.6			29,960,253		29,960

Total Cash Equivalent (Cost $29,960) ($ Thousands)							29,960


U.S. TREASURY OBLIGATION (D) — 0.1%
Other Securities		0.1					2,150

Total U.S. Treasury Obligation (Cost $2,150) ($ Thousands)							2,150

Total Investments — 104.8% (Cost $1,224,064) ($ Thousands)						$	1,996,449

A list of the open futures contracts held by the Fund at May 31, 2014, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
S&P 500 Index E-MINI		337		Jun-2014	$	1,466
S&P Mid 400 Index E-MINI		26		Jun-2014		69

					$	1,535

Percentages are based on a Net Assets of $1,905,609 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2014.

†

Investment in Affiliated Security (see Note 6).

(A)

This security or a partial position of this security is on loan at May 31, 2014. The total value of securities on loan at May 31, 2014 was $92,078 ($ 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 May 31, 2014 was $94,496 ($ 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

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 May 31, 2014, 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	$	1,869,843	$	—	$	—	$	1,869,843
Affiliated Partnership		—		94,496		—		94,496
Cash Equivalent		29,960		—		—		29,960
U.S. Treasury Obligation		—		2,150		—		2,150

Total Investments in Securities	$	1,899,803	$	96,646	$	—	$	1,996,449


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*
Unrealized Appreciation	$	1,535	$	—	$	—	$	1,535

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

For the year ended May 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

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


SEI Institutional Investments Trust / Annual Report / May 31, 2014			41

SUMMARY SCHEDULE OF INVESTMENTS

S&P 500 Index Fund

May 31, 2014

LOGO


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


COMMON STOCK — 98.4%

Consumer Discretionary — 11.8%
Amazon.com*		0.6	%		17,864	$	5,583
Comcast, Cl A		0.8			124,900		6,520
Home Depot		0.7			67,500		5,415
McDonald’s		0.6			47,400		4,808
Walt Disney		0.8			78,100		6,561
Other Securities		8.3					69,267

							98,154


Consumer Staples — 9.6%
Altria Group		0.5			95,500		3,969
Coca-Cola		0.9			181,600		7,429
CVS Caremark		0.5			56,600		4,433
PepsiCo		0.8			73,000		6,448
Philip Morris International		0.8			76,000		6,729
Procter & Gamble		1.3			130,000		10,503
Wal-Mart Stores		0.7			77,500		5,950
Other Securities		4.1					34,645

							80,106


Energy — 10.3%
Chevron		1.3			91,500		11,235
ConocoPhillips		0.6			58,700		4,693
Exxon Mobil		2.5			207,148		20,825
Occidental Petroleum		0.4			38,100		3,798
Schlumberger		0.8			62,600		6,513
Other Securities		4.7					39,220

							86,284


Financials — 15.7%
American Express		0.5			43,800		4,008
American International Group		0.5			70,100		3,790
Bank of America		0.9			506,500		7,668
Berkshire Hathaway, Cl B*		1.3			86,250		11,069
Citigroup		0.8			145,500		6,922


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

JPMorgan Chase		1.2	%		181,500	$	10,086
Wells Fargo		1.4			229,500		11,654
Other Securities		9.1					76,108

							131,305


Health Care — 13.1%
AbbVie		0.5			76,100		4,135
Amgen		0.5			36,200		4,199
Bristol-Myers Squibb		0.5			78,700		3,915
Gilead Sciences*		0.7			73,700		5,985
Johnson & Johnson		1.6			135,600		13,758
Merck		1.0			140,900		8,152
Pfizer		1.1			305,900		9,064
UnitedHealth Group		0.5			47,400		3,774
Other Securities		6.7					56,216

							109,198


Industrials — 10.5%
3M		0.5			30,200		4,305
Boeing		0.5			32,800		4,436
General Electric		1.5			480,900		12,883
Union Pacific		0.5			21,800		4,344
United Technologies		0.6			40,300		4,684
Other Securities		6.9					57,414

							88,066


Information Technology — 18.5%
Apple		3.3			42,773		27,075
Cisco Systems		0.7			246,800		6,076
Facebook, Cl A*		0.6			81,800		5,178
Google, Cl A*		0.9			13,486		7,709
Google, Cl C*		0.9			13,486		7,565
Intel (A)		0.8			238,300		6,510
International Business Machines		1.0			46,960		8,658
Microsoft		1.8			362,100		14,825
Oracle		0.8			166,000		6,975
Qualcomm		0.8			81,000		6,517
Visa, Cl A		0.6			24,300		5,221
Other Securities		6.3					52,649

							154,958


Materials — 3.5%
Other Securities		3.5					29,102


Telecommunication Services — 2.4%
AT&T		1.0			249,600		8,853
Verizon Communications		1.2			198,500		9,917
Other Securities		0.2					1,582

							20,352


42		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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


Utilities — 3.0%
Other Securities		3.0	%			$	25,208

Total Common Stock (Cost $785,864) ($ Thousands)							822,733


AFFILIATED PARTNERSHIP — 1.6%
SEI Liquidity Fund, L.P. 0.070%**† (B)		1.6			13,411,796		13,412

Total Affiliated Partnership (Cost $13,412) ($ Thousands)							13,412


CASH EQUIVALENT — 1.0%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		1.0			8,200,400		8,200

Total Cash Equivalent (Cost $8,200) ($ Thousands)							8,200


U.S. TREASURY OBLIGATION (C) — 0.1%
Other Securities		0.1					1,100

Total U.S. Treasury Obligation (Cost $1,100) ($ Thousands)							1,100

Total Investments — 101.1% (Cost $808,576) ($ Thousands)						$	845,445

A list of the open futures contracts held by the Fund at May 31, 2014, is as follows:

Type of
Contract

Number of
Contracts
Long

Expiration
Date

Unrealized
Appreciation
($ Thousands)

S&P 500 Index E-MINI

146

Jun-2014

647

For the year ended May 31, 2014, 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 $836,591 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2014.

†

Investment in Affiliated Security (see Note 6).

(A)

This security or a partial position of this security is on loan at May 31, 2014. The total value of securities on loan at May 31, 2014 was $13,232 ($ 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 May 31, 2014 was $13,412 ($ Thousands).

(C)

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

— Class

L.P.

— Limited Partnership

S&P

— Standard & Poor’s

The following is a list of the level of inputs used as of May 31, 2014, 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	$	822,733	$	—	$	—	$	822,733
Affiliated Partnership		—		13,412		—		13,412
Cash Equivalent		8,200		—		—		8,200
U.S. Treasury Obligation		—		1,100		—		1,100

Total Investments in Securities	$	830,933	$	14,512	$	—	$	845,445


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts* Unrealized Appreciation	$	647	$	—	$	—	$	647

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

For the year ended May 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2014, 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.


SEI Institutional Investments Trust / Annual Report / May 31, 2014			43

SUMMARY SCHEDULE OF INVESTMENTS

Extended Market Index Fund

May 31, 2014

LOGO


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


COMMON STOCK — 98.2%

Consumer Discretionary — 15.3%
Advance Auto Parts		0.2	%		9,099	$	1,130
Charter Communications, Cl A*		0.2			8,265		1,183
DISH Network, Cl A*		0.3			25,919		1,520
Las Vegas Sands		0.7			48,804		3,734
Liberty Global*		0.4			49,481		2,118
Liberty Global, Cl A* (A)		0.4			49,481		2,228
Liberty Interactive, Cl A*		0.5			62,716		1,827
Liberty Media*		0.3			11,835		1,505
MGM Resorts International*		0.2			46,374		1,194
Royal Caribbean Cruises		0.2			20,408		1,128
Signet Jewelers		0.2			10,155		1,077
Sirius XM Holdings* (A)		0.3			383,979		1,259
Tesla Motors* (A)		0.4			10,579		2,198
Thomson Reuters (A)		0.3			46,385		1,609
TRW Automotive Holdings* (A)		0.2			13,493		1,145
Other Securities		10.5					53,574

							78,429


Consumer Staples — 3.1%
Bunge		0.3			18,343		1,425
Church & Dwight		0.2			17,299		1,198
Other Securities		2.6					13,094

							15,717


Energy — 6.7%
Cheniere Energy*		0.4			29,965		2,041
Cimarex Energy		0.3			10,761		1,390
Concho Resources*		0.3			13,042		1,719
HollyFrontier		0.2			25,354		1,249
Seadrill (A)		0.3			43,900		1,668
Whiting Petroleum*		0.2			14,758		1,060
Other Securities		5.0					25,519

							34,646


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


Financials — 22.3%
Affiliated Managers Group*		0.2	%			6,611	$	1,247
Annaly Capital Management‡		0.3				118,014		1,391
CIT Group		0.2				25,137		1,118
Fidelity National Financial, Cl A		0.2				34,358		1,145
Markel*		0.2				1,713		1,097
Realty Income‡ (A)		0.2				28,036		1,214
SEI (B)		0.1				18,319		603
SL Green Realty‡		0.3				11,440		1,253
Other Securities		20.6						105,530

								114,598


Health Care — 11.0%
Catamaran*		0.2				25,707		1,125
Endo International*		0.2				16,711		1,180
HCA Holdings*		0.3				33,180		1,758
Henry Schein*		0.3				10,843		1,297
Illumina* (A)		0.5				15,379		2,434
Other Securities		9.5						48,902

								56,696


Industrials — 15.0%
BE Aerospace*		0.2				12,330		1,193
Hertz Global Holdings*		0.3				43,214		1,276
TransDigm Group		0.2				6,505		1,228
United Continental Holdings*		0.4				44,052		1,955
United Rentals* (A)		0.2				11,847		1,197
Verisk Analytics, Cl A*		0.2				18,872		1,117
Other Securities		13.5						69,117

								77,083


Information Technology — 14.6%
Equinix* (A)		0.2				6,198		1,232
FleetCor Technologies*		0.2				8,473		1,071
LinkedIn, Cl A*		0.4				12,206		1,954
Maxim Integrated Products		0.3				36,404		1,247
Trimble Navigation*		0.2				31,920		1,151
Other Securities		13.3						68,046

								74,701


Materials — 5.5%
Celanese, Cl A		0.2				19,992		1,253
Other Securities		5.3		��				26,927

								28,180


Telecommunication Services — 1.3%
SBA Communications, Cl A*		0.3				15,819		1,606
Other Securities		1.0						5,210

								6,816


44		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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


Utilities — 3.4%
American Water Works		0.2	%		22,318	$	1,085
Calpine*		0.2			46,372		1,081
Other Securities		3.0					15,159

							17,325

Total Common Stock (Cost $457,215) ($ Thousands)							504,191


RIGHTS — 0.0%

United States — 0.0%
Other Securities		0.0					1

Total Rights (Cost $6) ($ Thousands)							1


WARRANTS — 0.0%
Other Securities		0.0					—

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


AFFILIATED PARTNERSHIP — 10.4%
SEI Liquidity Fund, L.P. 0.070%**† (C)		10.4			53,160,091		53,160

Total Affiliated Partnership (Cost $53,160) ($ Thousands)							53,160


CASH EQUIVALENT — 1.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		1.7			8,826,775		8,827

Total Cash Equivalent (Cost $8,827) ($ Thousands)							8,827


U.S. TREASURY OBLIGATIONS (D) — 0.1%
Other Securities		0.1					630

Total U.S. Treasury Obligations (Cost $630) ($ Thousands)							630

Total Investments — 110.4% (Cost $519,838) ($ Thousands)						$	566,809

A list of the open futures contracts held by the Fund at May 31, 2014, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
Russell 2000 Index E-MINI		27		Jun-2014	$	(113	)
S&P Mid 400 Index E-MINI		46		Jun-2014		70

					$	(43	)

Percentages are based on a Net Assets of $513,283 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2014.

‡

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 May 31, 2014. The total value of securities on loan at May 31, 2014 was $51,217 ($ 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 May 31, 2014 was $53,160 ($ Thousands).

(D)

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

Cl — Class

L.P. — Limited Partnership

S&P — Standard & Poor’s

The following is a list of the level of inputs used as of May 31, 2014, 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	$	504,191	$	—	$	—	$	504,191
Rights		1		—		—		1
Warrants		—		—		—		—
Affiliated Partnership		—		53,160		—		53,160
Cash Equivalent		8,827		—		—		8,827
U.S. Treasury Obligations		—		630		—		630

Total Investments in Securities	$	513,019	$	53,790	$	—	$	566,809


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*
Unrealized Appreciation	$	70		$	—	$	—	$	70
Unrealized Depreciation		(113	)		—		—		(113	)

Total Other Financial Instruments	$	(43	)	$	—	$	—	$	(43	)

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

For the year ended May 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

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


SEI Institutional Investments Trust / Annual Report / May 31, 2014			45

SUMMARY SCHEDULE OF INVESTMENTS

Small Cap Fund

May 31, 2014

LOGO


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


COMMON STOCK — 95.4%

Consumer Discretionary — 11.5%
Five Below* (A)		0.3	%		55,967	$	2,026
Jack in the Box		0.3			30,653		1,770
Lithia Motors, Cl A		0.3			25,322		1,986
Shutterfly*		0.3			46,713		1,922
Skechers U.S.A., Cl A*		0.3			49,647		2,209
Other Securities		10.0					69,525

							79,438


Consumer Staples — 2.8%
Casey’s General Stores		0.3			28,565		2,035
Fresh Del Monte Produce		0.3			75,743		2,194
Other Securities		2.2					15,133

							19,362


Energy — 7.0%
Approach Resources* (A)		0.3			113,765		2,221
Dril-Quip*		0.3			20,356		2,081
Other Securities		6.4					44,574

							48,876


Financials — 19.3%
CNO Financial Group		0.4			188,930		3,047
EastGroup Properties‡		0.3			31,769		2,022
Geo Group‡		0.3			51,900		1,765
Hanover Insurance Group		0.3			29,361		1,763
Horace Mann Educators		0.4			91,391		2,670
Nelnet, Cl A		0.3			46,600		1,918
Platinum Underwriters Holdings		0.4			42,563		2,730
Other Securities		16.9					117,477

							133,392


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


Health Care — 12.3%
Acadia Healthcare* (A)		0.4	%		69,940		$	2,982
DexCom*		0.3			55,455			1,872
HealthSouth		0.4			75,500			2,652
Puma Biotechnology*		0.3			29,843			2,281
Other Securities		10.9						75,591

								85,378


Industrials — 17.4%
Actuant, Cl A		0.4			80,519			2,861
Carlisle		0.3			25,407			2,156
Curtiss-Wright		0.4			35,750			2,382
EMCOR Group		0.5			81,108			3,611
Hexcel*		0.3			43,393			1,781
Kirby*		0.3			20,419			2,257
Middleby*		0.4			11,889			2,839
Old Dominion Freight Line*		0.3			30,456			1,948
Swift Transportation, Cl A* (A)		0.3			74,120			1,835
TrueBlue*		0.4			104,248			2,837
Other Securities		13.8						95,815

								120,322


Information Technology — 19.4%
ARRIS Group*		0.3			75,809			2,510
Aspen Technology*		0.4			64,998			2,794
Cadence Design Systems* (A)		0.4			151,576			2,530
Cavium* (A)		0.5			74,281			3,638
Cornerstone OnDemand*		0.3			56,816			2,284
CoStar Group*		0.5			20,783			3,295
Dealertrack Technologies*		0.4			68,025			2,701
Demandware*		0.4			40,509			2,467
Envestnet*		0.5			82,559			3,347
FEI		0.3			21,684			1,810
Guidewire Software* (A)		0.4			71,481			2,700
MAXIMUS		0.3			40,992			1,832
PTC*		0.4			77,076			2,836
RF Micro Devices*		0.3			243,412			2,291
SS&C Technologies Holdings*		0.3			59,049			2,518
WEX*		0.3			20,710			1,994
Other Securities		13.4						92,873

								134,420


Materials — 3.5%
H.B. Fuller		0.3			49,726	��		2,378
PolyOne		0.3			56,904			2,283
Sensient Technologies		0.4			46,161			2,530
Other Securities		2.5						17,234

								24,425


Telecommunication Services — 0.5%
Other Securities		0.5						3,285


46		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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


Utilities — 1.7%
Portland General Electric (A)		0.3	%		72,415	$	2,395
Other Securities		1.4					9,236

							11,631

Total Common Stock (Cost $572,236) ($ Thousands)							660,529


EXCHANGE TRADED FUNDS — 0.5%
Other Securities		0.5					3,571

Total Exchange Traded Funds (Cost $3,209) ($ Thousands)							3,571


RIGHT — 0.0%
Other Securities		0.0					—

Total Right (Cost $—) ($ Thousands)							—


WARRANT — 0.0%
Other Securities		0.0					—

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


CONVERTIBLE BOND — 0.0%

Consumer Discretionary — 0.0%
Other Securities		0.0					4

Total Convertible Bond (Cost $445) ($ Thousands)							4


AFFILIATED PARTNERSHIP — 14.3%
SEI Liquidity Fund, L.P. 0.070%**† (B)		14.3			98,954,364		98,954

Total Affiliated Partnership (Cost $98,954) ($ Thousands)							98,954


CASH EQUIVALENT — 2.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		2.4			16,638,065		16,638

Total Cash Equivalent (Cost $16,638) ($ Thousands)							16,638


U.S. TREASURY OBLIGATION (C) — 0.2%
Other Securities		0.2					1,641

Total U.S. Treasury Obligation (Cost $1,641) ($ Thousands)							1,641

Total Investments — 112.8% (Cost $693,123) ($ Thousands)						$	781,337

The open futures contracts held by the Fund at May 31, 2014, are as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Depreciation ($ Thousands)
Russell 2000 Index E-MINI		134		Jun-2014	$	(248	)

For the year ended May 31, 2014, 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 $692,554 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2014.

‡

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 May 31, 2014. The total value of securities on loan at May 31, 2014 was $95,315 ($ 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 May 31, 2014 was $98,954 ($ Thousands).

(C)

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

Cl — Class

L.P. — Limited Partnership

The following is a list of the level of inputs used as of May 31, 2014, 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	$	660,529	$	—	$	—	$	660,529
Exchange Traded Funds		3,571		—		—		3,571
Right		—		—		—		—
Warrant		—		—		—		—
Convertible Bond		—		—		4		4
Affiliated Partnership		—		98,954		—		98,954
Cash Equivalent		16,638		—		—		16,638
U.S. Treasury Obligation		—		1,641		—		1,641

Total Investments in Securities	$	680,738	$	100,595	$	4	$	781,337


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*
Unrealized Depreciation	$	(248	)	$	—	$	—	$	(248	)

(1)

A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to the net assets.

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

For the year ended May 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2014, the transfers out of Level 3 were due to changes in the availability of observable inputs to determine fair value.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $O or have been rounded to $O.

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


SEI Institutional Investments Trust / Annual Report / May 31, 2014			47

SUMMARY SCHEDULE OF INVESTMENTS

Small Cap II Fund

May 31, 2014

LOGO


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


COMMON STOCK — 94.9%

Consumer Discretionary — 12.0%
Jack in the Box		0.4	%		19,377	$	1,119
Lithia Motors, Cl A		0.4			12,026		943
Pool		0.4			19,530		1,127
Shutterfly*		0.4			23,681		974
Skechers U.S.A., Cl A*		0.4			22,506		1,001
Other Securities		10.0					25,148

							30,312


Consumer Staples — 2.8%
Casey’s General Stores		0.3			13,214		941
Other Securities		2.5					6,248

							7,189


Energy — 5.4%
Bristow Group		0.4			13,900		1,056
Pioneer Energy Services*		0.3			55,291		879
Rosetta Resources*		0.5			25,386		1,196
Other Securities		4.2					10,559

							13,690


Financials — 17.7%
Hanover Insurance Group		0.5			20,758		1,247
Horace Mann Educators		0.5			39,063		1,141
Iberiabank		0.5			20,567		1,285
Lexington Realty Trust‡		0.4			94,389		1,071
Platinum Underwriters Holdings		0.5			21,608		1,386
TCF Financial		0.5			72,210		1,147
Other Securities		14.8					37,459

							44,736


Health Care — 13.8%
Acadia Healthcare* (A)		0.4			26,399		1,126
Akorn* (A)		0.5			41,542		1,162
Align Technology*		0.4			18,980		1,037
Amsurg, Cl A*		0.4			23,952		1,085


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

Charles River Laboratories International*		0.4	%		20,125	$	1,078
DexCom*		0.5			33,979		1,147
Globus Medical, Cl A*		0.4			38,190		923
HealthSouth		0.5			39,614		1,391
Puma Biotechnology*		0.5			14,946		1,142
Team Health Holdings*		0.5			24,957		1,267
Other Securities		9.3					23,387

							34,745


Industrials — 17.1%
Actuant, Cl A (A)		0.6			41,261		1,466
Chart Industries*		0.4			12,442		894
Curtiss-Wright		0.7			25,893		1,725
H&E Equipment Services*		0.4			28,631		992
Korn/Ferry International*		0.4			36,242		1,101
Swift Transporation, Cl A* (A)		0.5			49,965		1,237
TriMas*		0.4			29,187		1,025
TrueBlue*		0.5			50,449		1,373
Other Securities		13.2					33,244

							43,057


Information Technology — 19.5%
ARRIS Group*		0.6			46,574		1,542
Aspen Technology*		0.6			36,991		1,590
Cavium* (A)		0.6			31,693		1,552
CoStar Group*		0.4			6,788		1,076
Dealertrack Technologies*		0.5			29,772		1,182
Demandware*		0.5			19,147		1,166
Envestnet*		0.4			26,375		1,069
Guidewire Software*		0.4			27,124		1,024
Interactive Intelligence Group*		0.3			17,420		883
InvenSense, Cl A* (A)		0.4			46,156		891
PTC*		0.5			37,829		1,392
RF Micro Devices*		0.6			157,515		1,482
SPS Commerce*		0.4			15,387		875
Other Securities		13.3					33,457

							49,181


Materials — 4.1%
PolyOne		0.4			22,440		901
Sensient Technologies		0.4			21,043		1,153
Other Securities		3.3					8,399

							10,453


Telecommunication Services — 0.3%
Other Securities		0.3					653


48		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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


Utilities — 2.2%
Other Securities		2.2	%			$	5,493

Total Common Stock (Cost $203,628) ($ Thousands)							239,509


EXCHANGE TRADED FUNDS — 0.7%
iShares Russell 2000 Index Fund (A)		0.4			8,818		995
Other Securities		0.3					729

Total Exchange Traded Funds (Cost $1,476) ($ Thousands)							1,724


AFFILIATED PARTNERSHIP — 8.3%
SEI Liquidity Fund, L.P. 0.070%**† (B)		8.3			21,059,500		21,060

Total Affiliated Partnership (Cost $21,060) ($ Thousands)							21,060


CASH EQUIVALENT — 4.2%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		4.2			10,570,764		10,571

Total Cash Equivalent (Cost $10,571) ($ Thousands)							10,571


U.S. TREASURY OBLIGATIONS (C) (D) — 0.7%
U.S. Treasury Bills 0.055%, 08/14/2014		0.4			$ 997		997
Other Securities		0.3					677

Total U.S. Treasury Obligations (Cost $1,674) ($ Thousands)							1,674

Total Investments — 108.8% (Cost $238,409) ($ Thousands)						$	274,538

A list of the open futures contracts held by the Fund at May 31, 2014, is as follows:

Type of
Contract

Number of
Contracts
Long

Expiration
Date

Unrealized
Appreciation
($ Thousands)

Russell 2000 Index E-MINI

Jun-2014

Percentages are based on a Net Assets of $252,435 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2014.

‡

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 May 31, 2014. The total value of securities on loan at May 31, 2014 was $20,267 ($ 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 May 31, 2014 was $21,060 ($ Thousands).

(C)

All or a portion of this security has been pledged as collateral for open futures contracts.

(D)

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

Cl — Class

L.P. — Limited Partnership

The following is a list of the level of inputs used as of May 31, 2014, 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	$	239,509	$	—	$	—	$	239,509
Exchange Traded Funds		1,724		—		—		1,724
Affiliated Partnership		—		21,060		—		21,060
Cash Equivalent		10,571		—		—		10,571
U.S. Treasury Obligations		—		1,674		—		1,674

Total Investments in Securities	$	251,804	$	22,734	$	—	$	274,538


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*
Unrealized Appreciation	$	48	$	—	$	—	$	48

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

During the year ended May 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.

During the year ended May 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

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


SEI Institutional Investments Trust / Annual Report / May 31, 2014			49

SUMMARY SCHEDULE OF INVESTMENTS

Small/Mid Cap Equity Fund

May 31, 2014

LOGO


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


COMMON STOCK — 95.9%

Consumer Discretionary — 12.0%
Gannett		0.3	%		184,371	$	5,124
Sally Beauty Holdings*		0.3			218,126		5,588
Other Securities		11.4					208,674

							219,386


Consumer Staples — 2.6%
Other Securities		2.6					48,002


Energy — 5.2%
Athlon Energy*		0.3			116,637		5,069
Other Securities		4.9					90,788

							95,857


Financials — 21.2%
American Financial Group		0.4			115,690		6,754
CNO Financial Group		0.4			444,774		7,174
Huntington Bancshares		0.3			674,940		6,257
KeyCorp		0.3			450,785		6,171
Lexington Realty Trust‡		0.3			557,746		6,330
OFG Bancorp (A)		0.3			273,527		4,940
PacWest Bancorp		0.3			138,489		5,598
Popular*		0.3			176,639		5,331
Simon Property Group‡		0.3			31,579		5,257
Zions Bancorporation		0.4			226,745		6,483
Other Securities		17.9					327,481

							387,776


Health Care — 11.3%
Acadia Healthcare* (A)		0.3			151,682		6,468
Charles River Laboratories International*		0.3			93,391		5,004
DexCom*		0.3			151,184		5,104
HealthSouth		0.3			163,738		5,750
HeartWare International* (A)		0.3			56,602		5,104


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

NPS Pharmaceuticals*		0.3	%		172,159	$	5,359
Pacira Pharmaceuticals*		0.3			66,274		5,144
Team Health Holdings*		0.4			157,245		7,983
Other Securities		8.8					161,383

							207,299


Industrials — 17.2%
Actuant, Cl A		0.3			178,172		6,331
Clean Harbors* (A)		0.5			144,519		8,832
EMCOR Group		0.3			126,412		5,628
Kennametal		0.3			135,061		6,083
Old Dominion Freight Line*		0.5			133,312		8,527
Regal-Beloit		0.3			82,637		6,308
Sensata Technologies Holding*		0.3			118,804		5,096
Swift Transporation, Cl A* (A)		0.5			360,384		8,923
Trinity Industries		0.4			79,920		6,916
TrueBlue*		0.4			256,794		6,987
WESCO International* (A)		0.3			64,422		5,503
Other Securities		13.1					240,217

							315,351


Information Technology — 18.7%
ARRIS Group*		0.3			169,317		5,606
Aspen Technology*		0.3			116,361		5,002
Atmel*		0.4			871,005		7,299
Cadence Design Systems* (A)		0.6			635,907		10,613
Cavium* (A)		0.3			122,231		5,987
CoStar Group*		0.4			49,881		7,909
Dealertrack Technologies*		0.4			168,058		6,674
Envestnet*		0.3			131,969		5,350
Euronet Worldwide*		0.3			111,029		5,234
Guidewire Software* (A)		0.4			169,321		6,395
PTC*		0.5			277,027		10,195
Solera Holdings		0.3			89,451		5,837
SS&C Technologies Holdings*		0.4			163,258		6,963
WEX*		0.3			59,005		5,682
Other Securities		13.5					246,243

							340,989


Materials — 4.6%
PolyOne		0.5			227,489		9,129
Sensient Technologies		0.3			106,899		5,858
US Silica Holdings		0.4			117,467		5,940
Other Securities		3.4					62,537

							83,464


Telecommunication Services — 0.4%
Other Securities		0.4					6,993


50		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

Utilities — 2.7%
Portland General
Electric (A)		0.5	%		260,600	$	8,618
Other Securities		2.2					40,947

							49,565

Total Common Stock (Cost $1,309,052) ($ Thousands)							1,754,682


EXCHANGE TRADED FUNDS — 0.4%
Other Securities		0.4					6,087

Total Exchange Traded Funds (Cost $5,000) ($ Thousands)							6,087


WARRANT — 0.0%
Other Securities		0.0					—

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


AFFILIATED PARTNERSHIP — 13.5%
SEI Liquidity Fund, L.P. 0.070%**† (B)		13.5			246,662,202		246,662

Total Affiliated Partnership (Cost $246,662) ($ Thousands)							246,662


CASH EQUIVALENT — 3.8%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		3.8			70,039,822		70,040

Total Cash Equivalent (Cost $70,040) ($ Thousands)							70,040


U.S. TREASURY OBLIGATIONS (C) — 0.1%
Other Securities		0.1					2,212

Total U.S. Treasury Obligations (Cost $2,212) ($ Thousands)							2,212

Total Investments — 113.7% (Cost $1,632,966) ($ Thousands)						$	2,079,683

A list of the open futures contracts held by the Fund at May 31, 2014, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
Russell 2000 Index E-MINI		43		Jun-2014	$	105
S&P Mid 400 Index E-MINI		37		Jun-2014		150

					$	255

Percentages are based on a Net Assets of $1,829,276 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2014.

‡

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 May 31, 2014. The total value of securities on loan at May 31, 2014 was $238,367 ($ 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 May 31, 2014 was $246,662 ($ Thousands).

(C)

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

Cl — Class

L.P. — Limited Partnership

S&P — Standard & Poor’s

The following is a list of the level of inputs used as of May 31, 2014, 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	$	1,754,682	$	—	$	—	$	1,754,682
Exchange Traded Funds		6,087		—		—		6,087
Warrant		—		—		—		—
Affiliated Partnership		—		246,662		—		246,662
Cash Equivalent		70,040		—		—		70,040
U.S. Treasury Obligations		—		2,212		—		2,212

Total Investments in Securities	$	1,830,809	$	248,874	$	—	$	2,079,683


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*
Unrealized Appreciation	$	255	$	—	$	—	$	255

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

For the year ended May 31, 2014, there have been no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2014, 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.


SEI Institutional Investments Trust / Annual Report / May 31, 2014			51

SUMMARY SCHEDULE OF INVESTMENTS

U.S. Managed Volatility Fund

May 31, 2014

LOGO


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


COMMON STOCK — 96.5%

Consumer Discretionary — 6.3%
Kohl’s		0.9	%		201,999	$	10,997
PetSmart		0.8			164,909		9,477
Target		1.0			229,572		13,030
Other Securities		3.6					44,773

							78,277


Consumer Staples — 19.2%
Altria Group		1.4			413,762		17,196
Bunge		0.7			111,569		8,670
Clorox		0.9			126,494		11,336
ConAgra Foods		0.9			328,832		10,621
CVS Caremark		1.0			166,500		13,040
Dr. Pepper Snapple Group		1.2			255,030		14,715
Hershey		0.7			93,139		9,066
Kellogg		1.0			175,017		12,073
Kroger		1.4			356,606		17,024
PepsiCo		0.9			134,607		11,890
Tyson Foods, Cl A		1.4			410,055		17,411
Wal-Mart Stores		1.8			283,628		21,774
Other Securities		5.9					73,147

							237,963


Energy — 5.2%
Chevron		1.3			125,411		15,399
ConocoPhillips		0.7			110,000		8,793
Exxon Mobil		1.1			131,500		13,220
Other Securities		2.1					26,379

							63,791


Financials — 15.8%
Axis Capital Holdings		0.7			179,155		8,239
Everest Re Group		1.6			122,433		19,592
PartnerRe		1.6			189,408		20,337
RenaissanceRe Holdings		1.3			158,921		16,555
Travelers		1.0			128,200		11,980
Validus Holdings		0.7			232,087		8,664
Other Securities		8.9					110,075

							195,442


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


Health Care — 17.7%
Aetna		0.8	%		126,300	$	9,795
AmerisourceBergen		0.7			118,513		8,673
Amgen		0.8			90,500		10,497
Becton Dickinson		0.8			80,733		9,502
Express Scripts Holding*		0.8			143,788		10,276
Humana		0.8			76,970		9,580
Johnson & Johnson		1.3			161,522		16,388
McKesson		1.0			66,948		12,696
Merck		1.5			313,710		18,151
Pfizer		0.9			353,800		10,483
Quest Diagnostics		0.9			188,355		11,281
WellPoint		0.9			100,000		10,836
Other Securities		6.5					80,220

							218,378


Industrials — 4.3%
Northrop Grumman		0.7			67,700		8,229
Raytheon		0.7			84,500		8,245
Other Securities		2.9					36,304

							52,778


Information Technology — 8.5%
Amdocs		1.6			422,260		20,319
Apple		1.1			21,972		13,908
International Business Machines		1.0			65,753		12,122
Other Securities		4.8					59,039

							105,388


Materials — 1.1%
Other Securities		1.1					13,255


Telecommunication Services — 5.2%
AT&T		2.1			720,842		25,568
Verizon Communications		1.0			256,356		12,808
Other Securities		2.1					25,456

							63,832


Utilities — 13.2%
American Electric Power		0.8			195,800		10,446
DTE Energy		0.8			125,238		9,533
Edison International		1.4			301,391		16,619
Entergy		1.5			250,395		18,885
Exelon		1.0			335,300		12,349
PG&E		0.9			252,400		11,578
Public Service Enterprise Group		0.9			281,200		10,955
Other Securities		5.9					73,315

							163,680

Total Common Stock (Cost $965,564) ($ Thousands)							1,192,784


52		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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


CASH EQUIVALENT — 3.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		3.4	%		41,520,615	$	41,521

Total Cash Equivalent (Cost $41,521) ($ Thousands)							41,521



U.S. TREASURY OBLIGATION (A) — 0.1%
Other Securities		0.1					1,607

Total U.S. Treasury Obligation (Cost $1,607) ($ Thousands)							1,607

Total Investments — 100.0% (Cost $1,008,692) ($ Thousands)						$	1,235,912

A list of the open futures contracts held by the Fund at May 31, 2014, is as follows:

Type of
Contract

Number of
Contracts
Long

Expiration
Date

Unrealized
Appreciation
($ Thousands)

S&P 500 Index E-MINI

292

Jun-2014

1,032

Percentages are based on a Net Assets of $1,236,524 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2014.

†

Investment in Affiliated Security (see Note 6).

(A)

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

— Class

S&P

— Standard & Poor’s

The following is a list of the level of inputs used as of, May 31, 2014, 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	$	1,192,784	$	—	$	—	$	1,192,784
Cash Equivalent		41,521		—		—		41,521
U.S. Treasury Obligation		—		1,607		—		1,607

Total Investments in Securities	$	1,234,305	$	1,607	$	—	$	1,235,912


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*
Unrealized Appreciation	$	1,032	$	—	$	—	$	1,032

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

For the year ended May 31, 2014, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2014, there were no significant transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

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


SEI Institutional Investments Trust / Annual Report / May 31, 2014			53

SUMMARY SCHEDULE OF INVESTMENTS

World Equity Ex-US Fund

May 31, 2014

LOGO


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


COMMON STOCK — 95.7%

Argentina — 0.1%
Other Securities		0.1	%			$	6,023


Australia — 1.6%
Other Securities		1.6					112,754


Austria — 1.0%
Schoeller-Bleckmann Oilfield Equipment (A)		0.5			272,436		32,499
Other Securities		0.5					35,476

							67,975


Belgium — 0.6%
Other Securities		0.6					39,854


Brazil — 2.5%
Banco Bradesco ADR (A)		0.6			2,769,222		38,631
Other Securities		1.9					132,037

							170,668


Canada — 4.4%
Other Securities		4.4					295,142


Chile — 0.1%
Other Securities		0.1					3,727


China — 4.5%
Anhui Conch Cement (A)		0.7			12,289,500		44,225
Baidu ADR*		0.7			277,147		46,006
Tencent Holdings		0.6			2,776,066		39,137
Other Securities		2.5					171,357

							300,725


Colombia — 0.2%
Other Securities		0.2					16,511


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


Czech Republic — 0.2%
Other Securities		0.2	%			$	14,132


Denmark — 1.2%
Other Securities		1.2					79,458


Finland — 1.2%
Nokia		0.5			4,175,020		33,755
Other Securities		0.7					45,533

							79,288


France — 4.0%
Total (A)		0.5			487,862		34,271
Other Securities		3.5					232,898

							267,169


Germany — 6.4%
Hugo Boss		0.5			235,291		33,471
Other Securities		5.9					393,512

							426,983


Hong Kong — 2.4%
China Mobile (A)		0.6			4,090,432		40,018
Other Securities		1.8					120,774

							160,792


India — 1.6%
ICICI Bank ADR		0.8			1,130,476		56,151
Other Securities		0.8					53,205

							109,356


Indonesia — 0.4%
Other Securities		0.4					27,864


Ireland — 2.8%
Actavis*		0.7			212,314		44,913
Endo International*		0.5			460,658		32,518
ICON*		0.5			804,834		34,020
Other Securities		1.1					73,277

							184,728


Israel — 1.2%
Other Securities		1.2					80,246


Italy — 0.7%
Other Securities		0.7					46,940


Japan — 11.5%
Denso		0.6			837,700		38,392
Hitachi		0.7			6,741,300		45,319
Japan Exchange Group		0.5			1,547,302		37,000
SoftBank		0.5			477,073		34,440
Sysmex		0.5			940,408		32,997


54		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

Yaskawa Electric		0.5	%		2,732,914	$	33,495
Other Securities		8.2					548,516

							770,159


Malaysia — 0.1%
Other Securities		0.1					3,959


Mexico — 0.3%
Other Securities		0.3					18,857


Netherlands — 3.1%
Core Laboratories (A)		0.7			296,076		47,328
NXP Semiconductor*		0.5			530,526		32,946
Other Securities		1.9					126,213

							206,487


Norway — 2.5%
DnB (A)		0.6			2,172,962		40,851
Statoil ADR (A)		0.8			1,875,043		57,189
Statoil		0.5			1,093,780		33,545
Other Securities		0.6					39,520

							171,105


Panama — 0.0%
Other Securities		0.0					1,024


Peru — 0.1%
Other Securities		0.1					4,469


Poland — 0.1%
Other Securities		0.1					5,905


Portugal — 0.0%
Other Securities		0.0					1,999


Qatar — 0.5%
Industries Qatar QSC (B)		0.5			641,820		33,358


Russia — 1.0%
Other Securities		1.0					67,799


Singapore — 1.8%
Other Securities		1.8					123,270


South Africa — 1.2%
Sasol ADR		0.6			775,100		43,630
Other Securities		0.6					43,690

							87,320


South Korea — 3.5%
Samsung Electronics		1.2			55,432		78,405
SK Hynix		0.6			881,948		38,167
Other Securities		1.7					116,987

							233,559


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


Spain — 1.0%
Amadeus IT Holding, Cl A (A)		0.7	%		1,055,204	$	46,408
Other Securities		0.3					22,016

							68,424


Sweden — 2.0%
Other Securities		2.0					137,337


Switzerland — 6.4%
Actelion		0.5			352,452		35,089
Credit Suisse Group		0.5			1,096,449		32,650
Givaudan		0.5			20,116		33,033
Nestle		0.5			449,776		35,345
Roche Holding		0.9			204,750		60,352
UBS		0.7			2,233,098		44,914
Zurich Insurance Group ADR (A)		0.6			1,348,600		40,579
Other Securities		2.2					144,645

							426,607


Taiwan — 3.2%
Advanced Semiconductor Engineering ADR (A)		0.5			5,156,485		33,208
Inotera Memories*		0.5			24,398,659		36,819
Taiwan Semiconductor Manufacturing ADR		0.6			2,006,248		41,248
Other Securities		1.6					104,518

							215,793


Thailand — 0.2%
Other Securities		0.2					11,133


Turkey — 1.1%
Other Securities		1.1					76,676


United Kingdom — 16.3%
3i Group		0.5			5,194,085		37,628
ARM Holdings ADR (A)		0.8			1,119,986		51,743
HSBC Holdings		0.6			3,844,542		40,575
Persimmon		0.5			1,466,646		32,916
Rio Tinto ADR (A)		0.7			900,064		46,245
Royal Dutch Shell ADR, Cl A		0.6			518,300		40,738
Royal Dutch Shell, Cl A (GBP)		0.1			120,089		4,724
Royal Dutch Shell, Cl A		0.8			1,306,856		51,439
Shire		1.3			1,593,019		91,224
WPP		0.6			1,776,906		38,359
Other Securities		9.8					658,568

							1,094,159


SEI Institutional Investments Trust / Annual Report / May 31, 2014			55

SUMMARY SCHEDULE OF INVESTMENTS

World Equity Ex-US Fund (Continued)

May 31, 2014


Description	Percentage of Net Assets (%)			Shares/Face Amount (Thousands) (1)			Market Value ($ Thousands)


United States — 2.7%
Everest Re Group		0.5	%			211,138	$	33,786
Other Securities		2.2						147,647

								181,433

Total Common Stock (Cost $5,413,155) ($ Thousands)								6,431,167


PREFERRED STOCK — 1.0%

Brazil — 0.6%
Other Securities		0.6						39,715


Germany — 0.4%
Other Securities		0.4						29,988

Total Preferred Stock (Cost $65,810) ($ Thousands)								69,703


AFFILIATED PARTNERSHIP — 9.2%
SEI Liquidity Fund, L.P.
0.070%**† (C)		9.2				618,024,492		618,024

Total Affiliated Partnership (Cost $618,024) ($ Thousands)								618,024


CASH EQUIVALENT — 1.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		1.7				112,827,032		112,827

Total Cash Equivalent (Cost $112,827) ($ Thousands)								112,827


U.S. TREASURY OBLIGATIONS (D) — 0.2%
Other Securities		0.2						11,366

Total U.S. Treasury Obligations (Cost $11,365) ($ Thousands)								11,366


TIME DEPOSITS — 2.3%
Brown Brothers Harriman
5.188%, 06/02/2014					ZAR	417		40
2.000%, 06/02/2014					NZD	—		—
1.671%, 06/02/2014					AUD	214		199
0.350%, 06/02/2014					NOK	126		21
0.280%, 06/02/2014					CAD	51		47
0.150%, 06/02/2014					SEK	11,138		1,667
0.081%, 06/02/2014					GBP	1,322		2,218
0.040%, 06/02/2014					EUR	2,014		2,749
0.030%, 06/02/2014						151,869		151,869
0.005%, 06/02/2014					SGD	37		30
0.005%, 06/02/2014					HKD	3,648		471


Description	Face Amount (Thousands) (1)			Market Value ($ Thousands)

0.005%, 06/02/2014		JPY	18,232	$	179
0.001%, 06/02/2014		CHF	2,962		3,313

Total Time Deposits (Cost $162,803) ($ Thousands)					162,803

Total Investments — 110.1% (Cost $6,383,984) ($ Thousands)				$	7,405,890

A list of the open futures contracts held by the Fund at May 31, 2014, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		500		Jun-2014	$	710
FTSE 100 Index		149		Jun-2014		381
Hang Seng Index		17		Jun-2014		11
S&P TSX 60 Index		53		Jun-2014		76
SPI 200 Index		44		Jun-2014		44
Topix Index		104		Jun-2014		(259	)

					$	963

A list of the open forward foreign currency contracts held by the Fund at May 31, 2014, is as follows:


Settlement Date	Currency to Deliver (Thousands)			Currency to Receive (Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)
7/7/14		JPY	2,266,622		USD	21,655	$	(630	)
7/7/14		USD	22,076		JPY	2,266,622		209

							$	(421	)

A list of the counterparties for the open forward foreign currency contracts held by the Fund at May 31, 2014, is as follows:


Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Depreciation ($ Thousands)
State Street	$	(44,362	)	$	43,941	$	(421	)

For the year ended May 31, 2014, the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on a Net Assets of $6,723,128 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2014.

†

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 May 31, 2014. The total value of securities on loan at May 31, 2014 was $577,321 ($ Thousands).

(B)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of May 31, 2014 was $129,812 ($ Thousands) and represented 1.9% of Net Assets.

(C)

This security was purchased with cash collateral held from securities on loan (see Note 12). The total value of such securities as of May 31, 2014 was $618,024 ($ Thousands).

(D)

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


56		SEI Institutional Investments Trust / Annual Report / May 31, 2014

ADR — American Depositary Receipt

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

DJ — Dow Jones

EUR — Euro

FTSE — Financial Times and Stock Exchange

GBP — British Pound Sterling

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

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 May 31, 2014, 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	$	6,301,355	$	129,812	$	—	$	6,431,167
Preferred Stock		69,703		—		—		69,703
Affiliated Partnership		—		618,024		—		618,024
Cash Equivalent		112,827		—		—		112,827
U.S. Treasury Obligations		—		11,366		—		11,366
Time Deposits		—		162,803		—		162,803

Total Investments in Securities	$	6,483,885	$	922,005	$	—	$	7,405,890


Other Financial Instruments	Level 1			Level 2			Level 3		Total
Futures Contracts*
Unrealized Appreciation	$	1,222		$	—		$	—	$	1,222
Unrealized Depreciation		(259	)		—			—		(259	)
Forwards Contracts*
Unrealized Appreciation		—			209			—		209
Unrealized Depreciation		—			(630	)		—		(630	)

Total Other Financial Instruments	$	963		$	(421	)	$	—	$	542

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

For the year ended May 31, 2014, there were transfers between Level 1 and Level 2 assets and liabilities. The primary reason for changes in the classifications between Levels 1 and 2 occurs when foreign equity securities are fair valued using other observable market-based inputs in place of the closing exchange price due to events occurring after the close of the exchange or market on which the investment is principally traded.

For the year ended May 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

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


SEI Institutional Investments Trust / Annual Report / May 31, 2014			57

SUMMARY SCHEDULE OF INVESTMENTS

Screened World Equity Ex-US Fund

May 31, 2014

LOGO


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


COMMON STOCK — 91.4%

Argentina — 0.1%
Other Securities		0.1	%			$	47


Australia — 1.6%
Commonwealth Bank of Australia		0.7			6,854		521
Other Securities		0.9					667

							1,188


Austria — 2.0%
Schoeller-Bleckmann Oilfield Equipment		0.7			4,282		511
Other Securities		1.3					1,066

							1,577


Belgium — 0.9%
Anheuser-Busch InBev		0.7			4,815		529
Other Securities		0.2					134

							663


Brazil — 1.5%
Other Securities		1.5					1,183


Canada — 6.0%
Canadian National Railway		0.6			7,716		467
Canadian Natural Resources		0.5			10,000		406
Magna International, Cl A		0.5			4,000		409
Royal Bank of Canada		0.8			8,900		612
Other Securities		3.6					2,741

							4,635


Chile — 0.1%
Other Securities		0.1					42


China — 3.9%
China Oilfield Services		0.6			173,800		429
Industrial & Commercial Bank of China		0.6			686,082		446


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

Other Securities		2.7	%			$	2,108

							2,983


Colombia — 0.3%
Other Securities		0.3					260


Czech Republic — 0.3%
Other Securities		0.3					222


Denmark — 1.1%
Novo Nordisk, Cl B (A)		0.7			11,915		505
Other Securities		0.4					332

							837


Finland — 1.3%
Other Securities		1.3					1,041


France — 6.1%
LVMH Moet Hennessy Louis Vuitton		0.7			2,696		537
Publicis Groupe		0.6			5,055		437
Other Securities		4.8					3,709

							4,683


Germany — 3.8%
adidas		0.5			3,676		395
BASF		0.6			4,006		462
Other Securities		2.7					2,058

							2,915


Hong Kong — 3.3%
AIA Group		0.7			112,694		565
China Mobile		0.5			41,068		402
Other Securities		2.1					1,638

							2,605


India — 1.2%
ICICI Bank ADR		1.2			18,675		928


Indonesia — 0.6%
Other Securities		0.6					474


Ireland — 1.5%
Actavis*		0.5			1,846		391
ICON*		0.7			12,311		520
Other Securities		0.3					273

							1,184


Israel — 0.1%
Other Securities		0.1					38


Italy — 1.4%
Other Securities		1.4					1,112


58		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

Japan — 9.5%
Denso		0.8	%		13,200		$	605
Nippon Telegraph & Telephone		0.5			6,700			398
Secom		0.6			7,300			445
Toyota Motor		1.0			14,491			821
Other Securities		6.6						5,066

								7,335


Malaysia — 0.2%
Other Securities		0.2						141


Mexico — 1.3%
Other Securities		1.3						991


Netherlands — 3.8%
Airbus Group		0.6			6,115			439
Core Laboratories		1.0			4,624			739
ING Groep*		0.5			31,051			435
Unilever		0.7			12,244			531
Other Securities		1.0						815

								2,959


New Zealand — 0.4%
Other Securities		0.4						274


Norway — 1.7%
DnB		1.2			50,844			956
Other Securities		0.5						373

								1,329


Philippines — 0.1%
Other Securities		0.1						70


Poland — 0.4%
Other Securities		0.4						331


Portugal — 0.0%
Other Securities		0.0						24


Russia — 0.2%
Other Securities		0.2						133


Singapore — 1.3%
DBS Group Holdings		0.6			37,000			499
Other Securities		0.7						525

								1,024


South Africa — 0.9%
Other Securities		0.9						716


South Korea — 3.4%
Samsung Electronics		1.4			788			1,115
Other Securities		2.0						1,533

								2,648


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


Spain — 1.6%
Amadeus IT Holding, Cl A		1.1	%		19,819	$	872
Other Securities		0.5					350

							1,222


Sweden — 1.7%
Getinge, Cl B		0.5			16,646		429
Other Securities		1.2					921

							1,350


Switzerland — 6.2%
Nestle		0.8			7,497		589
Novartis		0.8			6,509		585
Novartis ADR		0.7			5,590		503
Roche Holding		1.8			4,797		1,414
UBS		0.5			20,393		410
Other Securities		1.6					1,257

							4,758


Taiwan — 2.4%
Advanced Semiconductor Engineering ADR		0.7			79,073		509
Taiwan Semiconductor Manufacturing ADR		0.9			33,192		683
Other Securities		0.8					648

							1,840


Thailand — 0.6%
Other Securities		0.6					430


Turkey — 1.1%
Other Securities		1.1					808


United Kingdom — 14.3%
ARM Holdings ADR		1.0			17,592		813
Associated British Foods		0.7			9,996		506
AstraZeneca		0.6			6,447		463
Diageo		0.7			16,325		526
HSBC Holdings		1.0			76,963		812
Kingfisher		0.6			67,765		446
Reckitt Benckiser Group		0.7			6,052		518
Rio Tinto ADR		0.5			7,493		385
Shire		1.2			16,004		917
Other Securities		7.3					5,644

							11,030


United States — 3.2%
Everest Re Group		0.7			3,319		531
Other Securities		2.5					1,932

							2,463

Total Common Stock (Cost $60,916) ($ Thousands)							70,493


SEI Institutional Investments Trust / Annual Report / May 31, 2014			59

SUMMARY SCHEDULE OF INVESTMENTS

Screened World Equity Ex-US Fund (Continued)

May 31, 2014


Description	Percentage of Net Assets (%)				Shares/Face Amount (1) (Thousands)		Market Value ($ Thousands)


PREFERRED STOCK — 1.3%

Brazil — 1.2%
Other Securities		1.2	%				$	937


Germany — 0.1%
Other Securities		0.1						58

Total Preferred Stock (Cost $1,094) ($ Thousands)								995


CASH EQUIVALENT — 2.6%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		2.6				1,978,159		1,978

Total Cash Equivalent (Cost $1,978) ($ Thousands)								1,978


U.S. TREASURY OBLIGATION (B) — 0.2%
Other Securities		0.2						180

Total U.S. Treasury Obligation (Cost $180) ($ Thousands)								180


TIME DEPOSITS — 3.1%
Brown Brothers Harriman
5.188%, 06/02/2014				ZAR		68		6
2.000%, 06/02/2014				NZD		7		6
1.671%, 06/02/2014				AUD		57		53
0.350%, 06/02/2014				NOK		92		16
0.280%, 06/02/2014				CAD		30		28
0.150%, 06/02/2014				SEK		122		18
0.081%, 06/02/2014				GBP		39		65
0.040%, 06/02/2014				EUR		151		206
0.030%, 06/02/2014						1,810		1,810
0.005%, 06/02/2014				HKD		166		21
0.005%, 06/02/2014				SGD		13		11
0.005%, 06/02/2014				JPY		4,662		46
0.001%, 06/02/2014				CHF		65		72
0.000%, 06/02/2014				DKK		93		17

Total Time Deposits (Cost $2,375) ($ Thousands)								2,375

Total Investments — 98.6% (Cost $66,543) ($ Thousands)							$	76,021

A list of the open futures contracts held by the Fund at May 31, 2014, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		22		Jun-2014	$	46
FTSE 100 Index		7		Jun-2014		27
Hang Seng Index		1		Jun-2014		1
S&P TSX 60 Index		2		Jun-2014		4
SPI 200 Index		1		Jun-2014		4
Topix Index		4		Jun-2014		(6	)

					$	76

Percentages are based on a Net Assets of $77,117 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2014.

†

Investment in Affiliated Security (see Note 6).

(1)

In U.S. dollars unless otherwise indicated.

(A)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of May 31, 2014 was $876 ($ Thousands) and represented 1.1% of Net Assets.

(B)

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

ADR — American Depositary Receipt

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

DJ — Dow Jones

DKK — Danish Krone

EUR — Euro

FTSE — Financial Times and Stock Exchange

GBP — British Pound Sterling

HKD — Hong Kong Dollar

JPY — Japanese Yen

NOK — Norwegian Krone

NZD — New Zealand Dollar

S&P — Standard & Poor’s

SEK — Swedish Krone

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 May 31, 2014, 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	$	69,617	$	876	$	—	$	70,493
Preferred Stock		995		—		—		995
Cash Equivalent		1,978		—		—		1,978
U.S. Treasury Obligation		—		180		—		180
Time Deposits		—		2,375		—		2,375

Total Investments in Securities	$	72,590	$	3,431	$	—	$	76,021


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*
Unrealized Appreciation	$	82		$	—	$	—	$	82
Unrealized Depreciation		(6	)		—		—		(6	)

Total Other Financial Instruments	$	76		$	—	$	—	$	76

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


60		SEI Institutional Investments Trust / Annual Report / May 31, 2014

For the year ended May 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

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


SEI Institutional Investments Trust / Annual Report / May 31, 2014			61

SCHEDULE OF INVESTMENTS

Opportunistic Income Fund

May 31, 2014

LOGO


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

MORTGAGE-BACKED SECURITIES — 40.0%

Agency Mortgage-Backed Obligations — 9.8%
FHLMC ARM (A)
3.186%, 03/01/2036	$	3,921	$	4,267
2.375%, 06/01/2035		3,459		3,686
2.019%, 10/01/2035		1,607		1,697
FHLMC CMO, Ser 2007-3311, Cl FN
0.451%, 05/15/2037 (A)		1,419		1,417
FHLMC CMO, Ser 2010-3721, Cl FB
0.660%, 09/15/2040 (A)		5,026		5,047
FHLMC CMO, Ser 2011-3891, Cl BF
0.724%, 07/15/2041 (A)		3,467		3,486
FHLMC Multifamily Structured Pass- Through Certificates, Ser K708, Cl X1, IO
1.508%, 01/25/2019 (A)		90,247		5,523
FHLMC Multifamily Structured Pass- Through Certificates, Ser KF03, Cl A
0.490%, 01/25/2021 (A)		4,997		4,997
FHLMC REMIC, Ser 2007-3335, Cl BF
0.301%, 07/15/2019 (A)		840		840
FHLMC REMIC, Ser 2010-83, Cl BA
5.000%, 08/25/2040		1,422		1,480
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN2, Cl M1
1.000%, 04/25/2024 (A)		725		726
FNMA
6.000%, 09/01/2039 to 04/01/2040		2,253		2,529
4.500%, 10/01/2024		3,365		3,615
3.000%, 05/01/2022		6,621		6,998
FNMA ARM (A)
2.552%, 10/01/2033		767		822


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
2.550%, 10/01/2033 to 05/01/2034	$	1,148	$	1,194
2.472%, 04/01/2034		1,973		2,103
2.463%, 09/01/2034		1,254		1,338
2.395%, 10/01/2033		589		628
2.375%, 06/01/2035		1,190		1,263
2.362%, 08/01/2034		2,000		2,131
2.326%, 05/01/2035		1,251		1,333
2.317%, 07/01/2036		3,070		3,272
2.297%, 05/01/2035		1,941		2,040
2.295%, 10/01/2024		501		538
2.262%, 10/01/2033		1,107		1,184
2.246%, 05/01/2037		3,995		4,215
2.233%, 01/01/2034		1,228		1,304
2.198%, 04/01/2033		557		599
2.161%, 06/01/2035		815		854
2.113%, 10/01/2035		2,225		2,356
2.060%, 09/01/2033		1,865		1,959
1.965%, 07/01/2034		1,181		1,246
1.962%, 07/01/2034		2,512		2,688
1.833%, 02/01/2035		2,703		2,818
1.827%, 03/01/2035		2,899		3,109
FNMA CMO, Ser 2005-92, Cl UF
0.502%, 10/25/2025 (A)		2,678		2,688
FNMA CMO, Ser 2010-87, Cl PF
0.566%, 06/25/2040 (A)		3,996		4,001
FNMA CMO, Ser 2011-88, Cl AB
2.500%, 09/25/2026		4,136		4,248
FNMA CMO, Ser 2011-406, Cl 6, IO
4.000%, 01/25/2041 (A)		1,648		281
FNMA CMO, Ser 2013-96, Cl FW
0.579%, 09/25/2043 (A)		3,574		3,581
FNMA CMO, Ser 2011-63, Cl FG
0.602%, 07/25/2041 (A)		3,200		3,211
FNMA TBA
3.500%, 06/15/2026		1,150		1,217
3.000%, 06/25/2027		2,875		2,992
GNMA ARM (A)
1.838%, 12/20/2060		3,506		3,684
1.530%, 09/20/2060 to 11/20/2060		4,144		4,233
1.257%, 12/20/2060		3,938		4,029
1.249%, 11/20/2060		3,886		3,946
GNMA CMO, Ser 2002-66, Cl FC
0.551%, 07/16/2031 (A)		1,618		1,625
GNMA CMO, Ser 2011-69, Cl CI, IO
5.000%, 03/20/2036		695		29
GNMA, Ser 2011-152, Cl IO, IO
1.340%, 08/16/2051 (A)		17,038		968
GNMA, Ser 2012-89, Cl IO, IO
1.288%, 12/16/2053 (A)		11,456		743
GNMA, Ser 2012-78, Cl IO, IO
1.061%, 06/16/2052 (A)		12,599		921


62		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GNMA, Ser 2012-95, Cl IO, IO
1.047%, 02/16/2053 (A)	$	3,727	$	301
GNMA, Ser 2012-70, Cl IO, IO
0.964%, 08/16/2052 (A)		17,044		1,090
GNMA, Ser 2012-100, Cl IO, IO
0.826%, 08/16/2052 (A)		12,182		806
Mortgage-Linked Amortizing Notes CMO, Ser 2012-1, Cl A10
2.060%, 01/15/2022		2,644		2,673
NCUA Guaranteed Notes CMO, Ser 2010-A1, Cl A
0.501%, 12/07/2020 (A)		7,501		7,509
NCUA Guaranteed Notes CMO, Ser 2010-R1, Cl 1A
0.602%, 10/07/2020 to 10/07/2020 (A)		6,538		6,577
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 2A
0.622%, 11/05/2020 (A)		8,664		8,704
NCUA Guaranteed Notes CMO, Ser 2010-R3, Cl 1A
0.712%, 12/08/2020 (A)		8,055		8,124
NCUA Guaranteed Notes CMO, Ser 2010-R3, Cl 2A
0.712%, 12/08/2020 (A)		544		549
NCUA Guaranteed Notes CMO, Ser 2011-R1, Cl 1A
0.602%, 01/08/2020 (A)		5,753		5,792
NCUA Guaranteed Notes CMO, Ser 2011-R2, Cl 1A
0.552%, 02/06/2020 (A)		6,647		6,670
NCUA Guaranteed Notes CMO, Ser 2011-R3, Cl 1A
0.550%, 03/11/2020 (A)		4,525		4,539
NCUA Guaranteed Notes CMO, Ser 2011-R4, Cl 1A
0.532%, 03/06/2020 (A)		1,281		1,284
NCUA Guaranteed Notes CMO, Ser 2011-R6, Cl 1A
0.531%, 05/07/2020 (A)		981		982

				183,299


Non-Agency Mortgage-Backed Obligations — 30.2%
A10 Securitization LLC, Ser 2013-2, Cl A
2.620%, 11/15/2027 (B)		4,150		4,159
Adjustable Rate Mortgage Trust, Ser 2005-2, Cl 1A2
2.659%, 06/25/2035 (A)		763		705
Adjustable Rate Mortgage Trust, Ser 2005-4, Cl 7A2
0.610%, 08/25/2035 (A)		579		577


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
BAMLL Commercial Mortgage Securities Trust, Ser 2012-CLRN, Cl D
2.851%, 08/15/2029 (A) (B)	$	2,100	$	2,105
Banc of America Commercial Mortgage Trust, Ser 2007-3, Cl AJ
5.591%, 06/10/2049 (A)		3,400		3,532
Banc of America Commercial Mortgage, Ser 2006-4, Cl AM
5.675%, 07/10/2046		1,165		1,272
Banc of America Commercial Mortgage, Ser 2006-6, Cl A4
5.356%, 10/10/2045		3,470		3,685
Banc of America Funding Trust, Ser 2006-I, Cl 1A1
2.370%, 12/20/2036 (A)		3,228		3,244
Banc of America Funding, Ser 2004-C, Cl 2A2
2.845%, 12/20/2034 (A)		951		948
Banc of America Funding, Ser 2005-F, Cl 4A1
2.777%, 09/20/2035 (A)		263		229
Banc of America Funding, Ser 2006-D, Cl 3A1
2.813%, 05/20/2036 (A)		176		159
Banc of America Funding, Ser 2010-R11A, Cl 4A6
2.215%, 11/26/2036 (A) (B)		2,273		2,276
Banc of America Funding, Ser 2010-R4, Cl 6A1
0.301%, 01/26/2037 (A) (B)		1,418		1,390
Banc of America Merrill Lynch Commercial Mortgage, Ser 2006-5, Cl A2
5.317%, 09/10/2047		3,252		3,268
Banc of America Mortgage Securities, Ser 2003-E, Cl 2A2
2.857%, 06/25/2033 (A)		6,872		6,933
Banc of America Mortgage Securities, Ser 2005-A, Cl 2A1
2.689%, 02/25/2035 (A)		97		98
Banc of America Mortgage Trust, Ser 2003-F, Cl 2A3
2.797%, 07/25/2033 (A)		4,216		4,257
Banc of America Mortgage Trust, Ser 2003-K, Cl 2A1
2.742%, 12/25/2033 (A)		4,256		4,270
Banc of America Mortgage Trust, Ser 2004-C, Cl 2A1
2.700%, 04/25/2034 (A)		2,096		2,099
Banc of America Re-Remic Trust, Ser 2013-DSNY, Cl E
2.752%, 09/15/2026 (A) (B)		1,500		1,505


SEI Institutional Investments Trust / Annual Report / May 31, 2014			63

SCHEDULE OF INVESTMENTS

Opportunistic Income Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Bayview Commercial Asset Trust, Ser 2004-2, Cl A
0.580%, 08/25/2034 (A) (B)	$	3,538	$	3,312
BCAP LLC Trust, Ser 2009-RR2, Cl A1
2.682%, 01/21/2038 (A) (B)		1,315		1,325
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-9, Cl 22A1
3.430%, 11/25/2034 (A)		1,799		1,815
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-5, Cl A2
2.260%, 08/25/2035 (A)		5,537		5,619
Bear Stearns Alt-A Trust, Ser 2003-5, Cl 2A1
2.376%, 12/25/2033 (A)		3,807		3,885
Bear Stearns Alt-A Trust, Ser 2004-7, Cl 2A1
2.536%, 08/25/2034 (A)		5,606		5,680
Bear Stearns ARM Trust, Ser 2004-1, Cl 12A3
2.855%, 04/25/2034 (A)		4,031		4,069
Bear Stearns ARM Trust, Ser 2004-1, Cl 21A1
2.285%, 04/25/2034 (A)		1,467		1,467
Bear Stearns ARM Trust, Ser 2004-5, Cl 2A
3.056%, 07/25/2034 (A)		5,080		5,097
Bear Stearns ARM Trust, Ser 2004-9, Cl 12A1
3.282%, 11/25/2034 (A)		2,274		2,279
Bear Stearns ARM Trust, Ser 2005-2, Cl A1
2.580%, 03/25/2035 (A)		4,140		4,200
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR9, Cl A4A
4.871%, 09/11/2042		135		140
Bear Stearns Commercial Mortgage Securities, Ser 2005-T20, Cl A4A
5.136%, 10/12/2042 (A)		600		628
Bear Stearns Commercial Mortgage Securities, Ser 2006-PW11, Cl A4
5.441%, 03/11/2039 (A)		650		690
Bear Stearns Commercial Mortgage Securities, Ser 2006-PW13, Cl A4
5.540%, 09/11/2041		500		540
Bear Stearns Commercial Mortgage Securities, Ser 2007-PW10, Cl A4
5.405%, 12/11/2040 (A)		605		632
Bear Stearns Commercial Mortgage Securities, Ser 2007-T28, Cl F
6.148%, 09/11/2042 (A) (B)		548		374


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Bear Stearns Commercial Mortgage Securities, Ser 2007-T28, Cl G
6.148%, 09/11/2042 (A) (B)	$	955	$	480
Bear Stearns Mortgage Funding Trust, Ser 2006-SL5, Cl 1A
0.454%, 12/25/2036 (A)		49		70
BOCA Hotel Portfolio Trust, Ser 2013-BOCA, Cl C
2.301%, 08/15/2026 (A) (B)		3,600		3,610
CD Mortgage Trust, Ser 2006-CD2, Cl A4
5.305%, 01/15/2046 (A)		640		678
CGBAM Commercial Mortgage Trust, Ser 2013-BREH, Cl D
3.002%, 05/15/2030 (A) (B)		2,600		2,611
Chase Mortgage Finance, Ser 2007-A1, Cl 1A3
2.624%, 02/25/2037 (A)		2,103		2,115
Chase Mortgage Finance, Ser 2007-A1, Cl 7A1
2.582%, 02/25/2037 (A)		2,234		2,255
Chase Mortgage Finance, Ser 2007-A2, Cl 2A3
2.655%, 07/25/2037 (A)		2,819		2,834
CHL Mortgage Pass-Through Trust, Ser 2003-46, Cl 2A1
2.799%, 01/19/2034 (A)		4,772		4,799
CHL Mortgage Pass-Through Trust, Ser 2004-9, Cl A4
5.250%, 06/25/2034		3,341		3,391
Citicorp Mortgage Securities, Ser 2005-4, Cl 2A1
5.000%, 07/25/2020		244		255
Citicorp Mortgage Securities, Ser 2007-2, Cl 1A3
6.000%, 02/25/2037		1,298		1,361
Citigroup Commercial Mortgage Trust, Ser 2006-FL2, Cl J
0.730%, 08/15/2021 (A) (B)		385		380
Citigroup Commercial Mortgage Trust, Ser 2007-FL3A, Cl D
0.401%, 04/15/2022 (A) (B)		1,865		1,849
Citigroup Commercial Mortgage Trust, Ser 2012-GC8, Cl A1
0.685%, 09/10/2045		77		77
Citigroup Mortgage Loan Trust, Ser 2007-AR5, Cl 1A2A
2.694%, 04/25/2037 (A)		1,307		1,170
Citigroup Mortgage Loan Trust, Ser 2008-AR4, Cl 2A1A
2.688%, 11/25/2038 (A) (B)		3,436		3,474
Citigroup Mortgage Loan Trust, Ser 2010-9, Cl 5A1
4.750%, 03/25/2037 (B)		3,936		3,937


64		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Comm Mortgage Trust, Ser 2014-BBG, Cl A
0.952%, 03/15/2029 (A) (B)	$	4,480	$	4,488
Comm Mortgage Trust, Ser 2014-CR14, Cl XA, IO
0.917%, 02/10/2047 (A)		37,155		1,987
Commercial Mortgage Pass-Through Certificates, Ser 2007-C9, Cl AJFL
0.840%, 12/10/2049 (A) (B)		2,500		2,378
Commercial Mortgage Pass-Through Certificates, Ser 2010-C1, Cl A1
3.156%, 07/10/2046 (B)		198		203
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR2, Cl A1
0.824%, 08/15/2045		57		57
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR4, Cl A1
0.704%, 10/15/2045		78		78
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR5, Cl A1
0.673%, 12/10/2045		91		91
Commercial Mortgage Pass-Through Certificates, Ser 2013-CR9, Cl A1
1.344%, 07/10/2045		173		174
Commercial Mortgage Pass-Through Certificates, Ser 2013-FL3, Cl MMHP
3.752%, 10/13/2028 (A) (B)		4,000		4,048
Commercial Mortgage Pass-Through Certificates, Ser 2014-TWC, Cl D
2.402%, 02/13/2032 (A) (B)		3,000		3,001
Commercial Mortgage Trust, Ser 2013-CR10, Cl A1
1.278%, 08/10/2046		212		213
Commercial Mortgage Trust, Ser 2013-CR10, Cl XA, IO
1.040%, 08/10/2046 (A)		49,109		2,854
Countrywide Alternative Loan Trust, Ser 2003-J1, Cl 3A1
5.000%, 10/25/2018		1,154		1,143
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-26, Cl 2A1
0.552%, 08/25/2033 (A)		199		195
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-11, Cl 2A1
2.260%, 07/25/2034 (A)		1,258		1,255
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-8, Cl 2A1
4.500%, 06/25/2019		956		984


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Credit Suisse Commercial Mortgage Trust, Ser 2007-C2, Cl AMFL
0.381%, 01/15/2049 (A)	$	5,110	$	4,758
Credit Suisse Commercial Mortgage Trust, Ser 2017-ICE, Cl D
2.400%, 12/31/2049		2,000		2,000
Credit Suisse First Boston Mortgage Securities, Ser 2002-AR31, Cl 4A1
2.663%, 11/25/2032 (A)		71		71
Credit Suisse First Boston Mortgage Securities, Ser 2004-AR5, Cl 6A1
2.474%, 06/25/2034 (A)		5,497		5,534
Credit Suisse First Boston Mortgage Securities, Ser 2005-C2, Cl AMFX
4.877%, 04/15/2037		2,800		2,843
Credit Suisse Mortgage Capital Certificates, Ser 2006-C3, Cl AM
5.793%, 06/15/2038 (A)		3,960		4,293
Credit Suisse Mortgage Capital Certificates, Ser 2006-C4, Cl A3
5.467%, 09/15/2039		32		35
Credit Suisse Mortgage Capital Certificates, Ser 2006-C4, Cl AM
5.509%, 09/15/2039		3,000		3,249
Credit Suisse Mortgage Capital Certificates, Ser 2007-C2, Cl A3
5.542%, 01/15/2049 (A)		1,630		1,791
Credit Suisse Mortgage Trust, Ser 2006-TF2A, Cl SVJ
1.371%, 10/15/2021 (A) (B)		3,300		3,294
Credit Suisse Mortgage Trust, Ser 2014-SURF, Cl D
2.410%, 02/15/2029 (A) (B)		1,500		1,497
Credit-Based Asset Servicing and Securitization LLC, Ser 2006-MH1, Cl AF3
5.970%, 10/25/2036 (B)		504		504
CS First Boston Mortgage Securities, Ser 2002-AR8, Cl 6A1
2.492%, 09/25/2034 (A)		3,183		3,216
DBRR Trust, Ser 2012-EZ1, Cl A
0.946%, 09/25/2045 (B)		261		261
DBUBS Mortgage Trust, Ser 2011-LC1A, Cl A1
3.742%, 11/10/2046 (B)		291		304
DBUBS Mortgage Trust, Ser 2011-LC2A, Cl XA, IO
1.602%, 07/10/2044 (A) (B)		42,929		2,265
Del Coronado Trust, Ser 2013-HDC, Cl E
2.802%, 03/15/2026 (A) (B)		3,000		3,003
Deutsche Alt-A Securities Mortgage Loan Trust, Ser 2007-OA5, Cl A1A
0.352%, 08/25/2047 (A)		2,099		1,898


SEI Institutional Investments Trust / Annual Report / May 31, 2014			65

SCHEDULE OF INVESTMENTS

Opportunistic Income Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Deutsche Mortgage Securities Mortgage Loan Trust, Ser 2004-4, Cl 2AR1
0.696%, 06/25/2034 (A)	$	5,829	$	5,490
Developers Diversified Realty, Ser 2009-DDR1, Cl A
3.807%, 10/14/2022 (B)		3,588		3,623
DSLA Mortgage Loan Trust, Ser 2004-AR1, Cl A1A
0.991%, 09/19/2044 (A)		463		444
DSLA Mortgage Loan Trust, Ser 2004-AR1, Cl A2A
0.972%, 09/19/2044 (A)		3,075		2,989
DSLA Mortgage Loan Trust, Ser 2004-AR4, Cl 2A1A
0.511%, 01/19/2045 (A)		1,955		1,715
Extended Stay America Trust, Ser 2013-ESFL, Cl CFL
1.651%, 12/05/2031 (A) (B)		2,400		2,399
Extended Stay America Trust, Ser 2013-ESFL, Cl DFL
3.291%, 12/05/2031 (A) (B)		3,560		3,581
FDIC Structured Sale Guaranteed Notes, Ser 2010-S1, Cl 1A
0.702%, 02/25/2048 (A) (B)		4,231		4,233
FDIC Structured Sale Guaranteed Notes, Ser 2010-S2, Cl 1A
0.652%, 11/29/2037 (A) (B)		1,281		1,276
First Horizon Alternative Mortgage Trust, Ser 2005-AA3, Cl 3A1
2.250%, 05/25/2035 (A)		491		463
First Horizon Pass-Through Trust, Ser 2003-8, Cl 1A3
5.000%, 10/25/2033		591		590
FNMA Connecticut Avenue Securities, Ser 2014-C02, Cl 1M1
1.101%, 05/25/2024 (A)		510		510
FNMA Connecticut Avenue Securities, Ser 2014-C02, Cl 2M1
1.101%, 05/25/2024 (A)		415		415
GE Capital Commercial Mortgage, Ser 2005-C4, Cl A4
5.489%, 11/10/2045 (A)		995		1,045
GMAC Commercial Mortgage Securities, Ser 2004-C3, Cl A4
4.547%, 12/10/2041		585		585
GMAC Mortgage Loan Trust, Ser 2003-AR2, Cl 4A1
3.655%, 12/19/2033 (A)		1,383		1,383
Granite Master Issuer, Ser 2006-3, Cl A4
0.229%, 12/20/2054 (A)		544		540


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Granite Master Issuer, Ser 2006-4, Cl A6
0.329%, 12/20/2054 (A)	$	75	$	75
Granite Master Issuer, Ser 2007-1, Cl 2A1
0.289%, 12/20/2054 (A)		79		78
Granite Master Issuer, Ser 2007-1, Cl 3A1
0.349%, 12/20/2054 (A)		707		703
GS Mortgage Securities II, Ser 2006-GG6, Cl AM
5.598%, 04/10/2038 (A)		2,000		2,140
GS Mortgage Securities II, Ser 2010-C2, Cl A1
3.849%, 12/10/2043 (B)		114		120
GS Mortgage Securities II, Ser 2010-C2, Cl XA, IO
0.662%, 12/10/2043 (A) (B)		59,929		783
GS Mortgage Securities II, Ser 2011-GC3, Cl X, IO
1.081%, 03/10/2044 (A) (B)		46,490		1,765
GS Mortgage Securities II, Ser 2012-GCJ9, Cl A1
0.662%, 11/10/2045		53		53
GS Mortgage Securities II, Ser 2013-GC13, Cl A1
1.206%, 07/10/2046		122		122
GS Mortgage Securities II, Ser 2013-GC14, Cl A1
1.217%, 08/10/2046		300		301
GS Mortgage Securities II, Ser 2013-KYO, Cl D
2.751%, 11/08/2029 (A) (B)		1,310		1,334
GS Mortgage Securities II, Ser 2013-KYO, Cl XA1, IO
3.249%, 11/08/2029 (A) (B)		32,323		681
GSR Mortgage Loan Trust, Ser 2003-7F, Cl 5A1
0.552%, 10/25/2032 (A)		141		138
GSR Mortgage Loan Trust, Ser 2005-AR1, Cl 1A1

2.814%, 01/25/2035 (A)		682		671
GSR Mortgage Loan Trust, Ser 2005-AR2, Cl 1A2
2.667%, 04/25/2035 (A)		1,077		1,049
GSR Mortgage Loan Trust, Ser 2005-AR6, Cl 3A1
2.656%, 09/25/2035 (A)		1,495		1,512
GSR Mortgage Loan Trust, Ser 2006-AR1, Cl 2A1
2.662%, 01/25/2036 (A)		3,016		2,839
HarborView Mortgage Loan Trust, Ser 2004-6, Cl 4A
2.560%, 08/19/2034 (A)		5,465		5,627


66		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Harborview Mortgage Loan Trust, Ser 2004-7, Cl 2A1
2.383%, 11/19/2034 (A)	$	162	$	152
HarborView Mortgage Loan Trust, Ser 2005-9, Cl 2A1A
0.489%, 06/20/2035 (A)		4,222		4,045
Hilton USA Trust, Ser 2013-HLF, Cl AFL
1.151%, 11/05/2030 (A) (B)		375		375
Hilton USA Trust, Ser 2013-HLF, Cl BFL
1.651%, 11/05/2030 (A) (B)		3,000		3,003
Hilton USA Trust, Ser 2013-HLF, Cl CFL
2.051%, 11/05/2030 (A) (B)		1,500		1,502
Hilton USA Trust, Ser 2013-HLF, Cl DFL
2.901%, 11/05/2030 (A) (B)		5,000		5,009
HSI Asset Securitization Trust, Ser 2005-NC1, Cl 2A4
0.474%, 07/25/2035 (A)		1,723		1,657
Impac CMB Trust, Ser 2004-10, Cl 4M1
1.054%, 03/25/2035 (A)		318		284
Impac Secured Assets Trust, Ser 2007-2, Cl 2A
0.400%, 04/25/2037 (A)		2,049		1,940
IndyMac INDA Mortgage Loan Trust, Ser 2007-AR3, Cl 1A1
3.009%, 07/25/2037 (A)		1,144		983
JPMorgan Alternative Loan Trust, Ser 2007-A1, Cl 2A1
2.531%, 03/25/2037 (A)		657		519
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-CB11, Cl A4
5.335%, 08/12/2037 (A)		4,941		5,052
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-CB12, Cl A3B
5.289%, 09/12/2037 (A)		272		274
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-CB13, Cl A4
5.244%, 01/12/2043 (A)		2,000		2,104
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP4, Cl A4
4.918%, 10/15/2042 (A)		950		989
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP7, Cl A4
5.863%, 04/15/2045 (A)		320		345


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-C1, Cl A1
3.853%, 06/15/2043 (B)	$	98	$	101
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-C2, Cl A1
2.749%, 11/15/2043 (B)		153		157
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-CNTR, Cl XA, IO
2.029%, 08/05/2032 (A) (B)		14,547		1,287
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C3, Cl XA, IO
1.369%, 02/15/2046 (A) (B)		35,732		1,728
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C4, Cl A1
1.525%, 07/15/2046 (B)		4		4
JPMorgan Chase Commercial Mortgage Securities, Ser 2012-C8, Cl A1
0.705%, 10/15/2045		26		26
JPMorgan Chase Commercial Mortgage Securities, Ser 2012-LC9, Cl A1
0.670%, 12/15/2047		52		51
JPMorgan Chase Commercial Mortgage Securities, Ser 2013-ALC, Cl B
3.001%, 07/17/2026 (A) (B)		4,450		4,505
JPMorgan Chase Commercial Mortgage Securities, Ser 2013-ALC, Cl D
3.601%, 07/17/2026 (A) (B)		1,300		1,312
JPMorgan Chase Commercial Mortgage Securities, Ser 2013-C13, Cl A1
1.303%, 01/15/2046		226		228
JPMorgan Chase Commercial Mortgage Securities, Ser 2013-FL3, Cl XCP, IO
1.661%, 04/15/2028 (A) (B)		29,558		79
JPMorgan Chase Commercial Mortgage Securities, Ser 2013-INN, Cl A
1.552%, 10/15/2030 (A) (B)		3,030		3,033
JPMorgan Chase Commercial Mortgage Securities, Ser 2013-INN, Cl D
3.552%, 10/15/2030 (A) (B)		3,000		3,013
JPMorgan Chase Commercial Mortgage Securities, Ser 2013-JWRZ, Cl C
1.651%, 04/15/2030 (A) (B)		3,000		2,985


SEI Institutional Investments Trust / Annual Report / May 31, 2014			67

SCHEDULE OF INVESTMENTS

Opportunistic Income Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
JPMorgan Chase Commercial Mortgage Securities, Ser 2013-JWRZ, Cl D
3.141%, 04/15/2030 (A) (B)	$	1,400	$	1,399
JPMorgan Chase Commercial Mortgage Securities, Ser 2014-FBLU, Cl C
2.152%, 12/15/2028 (A) (B)		4,000		4,025
JPMorgan Mortgage Trust, Ser 2004-S1, Cl 1A4
4.500%, 09/25/2034		969		1,000
JPMorgan Mortgage Trust, Ser 2005-A3, Cl 6A5
2.777%, 06/25/2035 (A)		1,991		2,009
JPMorgan Mortgage Trust, Ser 2005-A4, Cl 2A1
2.733%, 07/25/2035 (A)		431		436
JPMorgan Mortgage Trust, Ser 2007-A1, Cl 1A1
2.776%, 07/25/2035 (A)		2,218		2,256
JPMorgan Mortgage Trust, Ser 2007-A1, Cl 4A2
2.736%, 07/25/2035 (A)		1,657		1,682
JPMorgan Mortgage Trust, Ser 2007-A1, Cl 5A2
2.663%, 07/25/2035 (A)		1,378		1,404
JPMorgan Mortgage Trust, Ser 2007-A4, Cl 1A1
2.581%, 06/25/2037 (A)		148		125
LB-UBS Commercial Mortgage Trust, Ser 2006-C4, Cl AM
5.878%, 06/15/2038 (A)		1,420		1,544
Marathon CLO, Ser 2005-2A, Cl B
1.035%, 12/20/2019 (A) (B)		2,000		1,958
Master Adjustable Rate Mortgages Trust, Ser 2005-6, Cl 5A1
2.532%, 07/25/2035 (A)		183		163
MASTR Alternative Loan Trust, Ser 2003-5, Cl 4A1
5.500%, 07/25/2033		5,081		5,404
Mellon Residential Funding, Ser 1999-TBC3, Cl A2
2.609%, 10/20/2029 (A)		575		582
Merrill Lynch Mortgage Investors Trust, Ser 2003-G, Cl A1
0.794%, 01/25/2029 (A)		1,335		1,292
Merrill Lynch Mortgage Investors Trust, Ser 2004-D, Cl A1
0.814%, 09/25/2029 (A)		2,326		2,344
Merrill Lynch Mortgage Investors Trust, Ser 2005-A4, Cl 1A
2.728%, 07/25/2035 (A)		1,280		1,107


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Merrill Lynch Mortgage Investors, Ser 2004-1, Cl 2A1
2.146%, 12/25/2034 (A)	$	2,585	$	2,540
Merrill Lynch Mortgage Trust, Ser MCP1, Cl AM
4.805%, 06/12/2043 (A)		4,615		4,788
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-5, Cl A4
5.378%, 08/12/2048		197		213
Morgan Stanley Capital I, Ser 2005-HQ6, Cl A4A
4.989%, 08/13/2042		1,000		1,030
Morgan Stanley Capital I, Ser 2006-T23, Cl AAB
5.796%, 08/12/2041 (A)		1,255		1,281
Morgan Stanley Capital I, Ser 2007-T25, Cl AJ
5.574%, 11/12/2049 (A)		5,000		5,154
Morgan Stanley Capital I, Ser 2007-XLFA, Cl A2
0.252%, 10/15/2020 (A) (B)		3,402		3,397
Morgan Stanley Mortgage Loan Trust, Ser 2004-10AR, Cl 1A
3.104%, 11/25/2034 (A)		1,745		1,731
Morgan Stanley Mortgage Loan Trust, Ser 2005-5AR, Cl 1A1
0.424%, 09/25/2035 (A)		670		665
Morgan Stanley Re-REMIC Trust, Ser 2012-IO, Cl AXA
1.000%, 03/27/2051 (B)		101		101
Motel 6 Trust, Ser 2012-MTL6, Cl XA1, IO
3.005%, 10/05/2025 (A) (B)		21,810		337
MRFC Mortgage Pass-Through Trusts, Ser 2002-TBC2, Cl A
1.011%, 08/15/2032 (A)		1,299		1,222
Nomura Asset Acceptance Alternative Loan Trust, Ser 2004-AP3, Cl A6
4.793%, 10/25/2034		2,614		2,758
Opteum Mortgage Acceptance Asset-Backed Pass-Through Certificates, Ser 2005-1, Cl A4
0.550%, 02/25/2035 (A)		54		54
Opteum Mortgage Acceptance Asset-Backed Pass-Through Certificates, Ser 2005-2, Cl AII1
0.410%, 04/25/2035 (A)		906		906
PHH Mortgage Capital LLC, Ser 2008-CIM2, Cl 1A1
2.402%, 07/25/2038 (A)		2,479		2,438
Provident Funding Mortgage Loan Trust, Ser 2003-1, Cl A
2.497%, 08/25/2033 (A)		3,261		3,306


68		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Residential Accredit Loans, Ser 2006-QO10, Cl A1
0.310%, 01/25/2037 (A)	$	6,566	$	4,930
Residential Accredit Loans, Ser 2007-QO3, Cl A1
0.310%, 03/25/2047 (A)		1,919		1,565
Residential Asset Securitization Trust, Ser 2007-A8, Cl 3A1
5.437%, 08/25/2022 (A)		1,276		1,117
Residential Funding Mortgage Securities I, Ser 2004-S5, Cl 2A1
4.500%, 05/25/2019		1,763		1,807
Residential Funding Securities LLC, Ser 2003-RM2, Cl AI5
8.500%, 05/25/2033		341		364
SCG Trust, Ser SRP1, Cl A
1.551%, 11/15/2026 (A) (B)		1,780		1,786
Sequoia Mortgage Trust, Ser 2002-10, Cl 1A
0.952%, 10/20/2027 (A)		1,768		1,739
Sequoia Mortgage Trust, Ser 2010-H1, Cl A1
3.750%, 02/25/2040 (A)		242		237
Sequoia Mortgage Trust, Ser 2012-1, Cl 1A1
2.865%, 01/25/2042 (A)		2,195		2,214
Sequoia Mortgage Trust, Ser 2013-1, Cl 1A1
1.450%, 02/25/2043 (A)		3,388		3,243
Sequoia Mortgage Trust, Ser 2013-2, Cl A
1.874%, 02/25/2043 (A)		1,741		1,560
Springleaf Mortgage Loan Trust, Ser 2012-1A, Cl A
2.667%, 09/25/2057 (A) (B)		3,863		3,937
Springleaf Mortgage Loan Trust, Ser 2012-2A, Cl A
2.220%, 10/25/2057 (A) (B)		2,351		2,382
Springleaf Mortgage Loan Trust, Ser 2012-3A, Cl A
1.570%, 12/25/2059 (A) (B)		2,788		2,787
Springleaf Mortgage Loan Trust, Ser 2013-1A, Cl A
1.270%, 06/25/2058 (A) (B)		170		170
Springleaf Mortgage Loan Trust, Ser 2013-2A, Cl A
1.780%, 12/25/2065 (A) (B)		2,505		2,501
Structured Adjustable Rate Mortgage Loan Trust, Ser 2004-2, Cl 4A2
2.531%, 03/25/2034 (A)		3,478		3,501
Structured Adjustable Rate Mortgage Loan Trust, Ser 2004-9XS, Cl A
0.524%, 07/25/2034 (A)		5,728		5,442


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-7, Cl 1A3
2.452%, 04/25/2035 (A)	$	2,886	$	2,816
Structured Asset Securities Mortgage Pass-Through Certificates, Ser 2003-17A, Cl 2A1
2.383%, 05/25/2033 (A)		5,053		5,167
Thornburg Mortgage Securities Trust, Ser 2003-4, Cl A1
0.790%, 09/25/2043 (A)		3,156		3,103
Thornburg Mortgage Securities Trust, Ser 2004-3, Cl A
0.894%, 09/25/2044 (A)		2,749		2,627
Thornburg Mortgage Securities Trust, Ser 2005-1, Cl A3
2.226%, 04/25/2045 (A)		2,573		2,613
Thornburg Mortgage Securities Trust, Ser 2005-2, Cl A1
2.522%, 07/25/2045 (A)		3,090		3,084
Thornburg Mortgage Securities Trust, Ser 2007-1, Cl A2B
1.450%, 03/25/2037 (A)		2,930		2,717
Thornburg Mortgage Securities Trust, Ser 2007-4, Cl 1A1
2.346%, 09/25/2037 (A)		3,193		3,152
UBS Commercial Mortgage Trust, Ser 2012-C1, Cl XA, IO
2.302%, 05/10/2045 (A) (B)		12,744		1,634
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C3, Cl A1
0.726%, 08/10/2049		87		86
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl A1
0.673%, 12/10/2045		65		65
UBS-Barclays Commercial Mortgage Trust, Ser 2013-C5, Cl A1
0.779%, 03/10/2046		214		213
Wachovia Bank Commercial Mortgage Trust, Ser 2005-C18, Cl A4
4.935%, 04/15/2042		145		148
Wachovia Bank Commercial Mortgage Trust, Ser 2005-C21, Cl A4
5.239%, 10/15/2044 (A)		126		131
Wachovia Bank Commercial Mortgage Trust, Ser 2005-C22, Cl A4
5.457%, 12/15/2044 (A)		225		237
Wachovia Bank Commercial Mortgage Trust, Ser 2006-C26, Cl A2
5.935%, 06/15/2045		278		282


SEI Institutional Investments Trust / Annual Report / May 31, 2014			69

SCHEDULE OF INVESTMENTS

Opportunistic Income Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Wachovia Bank Commercial Mortgage Trust, Ser 2006-C28, Cl AM
5.603%, 10/15/2048 (A)	$	3,660	$	3,981
Wachovia Bank Commercial Mortgage Trust, Ser 2007-WHL8, Cl A2
0.291%, 06/15/2020 (A) (B)		4,820		4,773
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR10, Cl A7
2.422%, 10/25/2033 (A)		4,760		4,825
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR11, Cl A6
2.433%, 10/25/2033 (A)		1,036		1,051
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR7, Cl A7
2.298%, 08/25/2033 (A)		3,323		3,367
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR1, Cl A
2.546%, 03/25/2034 (A)		6,401		6,438
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR10, Cl A1B
0.608%, 07/25/2044 (A)		5,625		5,620
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR13, Cl A1A
0.514%, 11/25/2034 (A)		2,685		2,564
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR13, Cl A2A
0.526%, 11/25/2034		3,721		3,559
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR14, Cl A1
2.401%, 01/25/2035 (A)		6,689		6,722
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR2, Cl A
1.526%, 04/25/2044 (A)		3,469		3,427
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR8, Cl A2
0.550%, 06/25/2044 (A)		3,742		3,532
WaMu Mortgage Pass-Through Certificates, Ser 2004-CB2, Cl 1A
5.000%, 07/25/2034		2,133		2,257
WaMu Mortgage Pass-Through Certificates, Ser 2004-CB4, Cl 22A
6.000%, 12/25/2019		394		413
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR1, Cl A1A
0.470%, 01/25/2045 (A)		2,883		2,683
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR1, Cl A2A3
0.554%, 01/25/2045 (A)		1,513		1,420


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR11, Cl A1A
0.470%, 08/25/2045 (A)	$	3,691	$	3,488
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A2
1.576%, 10/25/2045 (A)		712		711
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR14, Cl 1A4
2.379%, 12/25/2035 (A)		202		195
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR17, Cl A1A1
0.420%, 12/25/2045 (A)		3,689		3,491
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR19, Cl A1A1
0.424%, 12/25/2045 (A)		326		310
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR2, Cl 2A1A
0.464%, 01/25/2045 (A)		1,433		1,413
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR2, Cl 2A21
0.480%, 01/25/2045 (A)		2,052		2,013
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR2, Cl 2A23
0.534%, 01/25/2045 (A)		1,687		1,664
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR6, Cl 2A1A
0.384%, 04/25/2045 (A)		3,554		3,372
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR8, Cl 2A1A
0.440%, 07/25/2045 (A)		4,272		4,035
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR9, Cl A1A
0.474%, 07/25/2045 (A)		2,041		1,932
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR12, Cl 1A2
2.407%, 10/25/2036 (A)		1,673		1,462
WaMu Mortgage Pass-Through Certificates, Ser 2007-OA3, Cl 5A
2.018%, 04/25/2047 (A)		4,780		3,505
Wells Fargo Commercial Mortgage Trust, Ser 2012-LC5, Cl A1
0.687%, 10/15/2045		88		88


70		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Wells Fargo Commercial Mortgage Trust, Ser 2013-C15, Cl A1
1.264%, 08/15/2046	$	306	$	307
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-H, Cl A1
2.620%, 09/25/2033 (A)		1,937		1,969
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-E, Cl A1
2.626%, 05/25/2034 (A)		468		472
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-K, Cl 1A2
2.615%, 07/25/2034 (A)		1,759		1,782
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-O, Cl A1
4.902%, 08/25/2034 (A)		2,606		2,660
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-Q, Cl 1A2
2.615%, 09/25/2034 (A)		4,248		4,307
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-R, Cl 1A1
2.615%, 09/25/2034 (A)		5,140		5,174
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-S, Cl A1
2.618%, 09/25/2034 (A)		1,231		1,261
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-U, Cl A1
2.643%, 10/25/2034 (A)		6,348		6,386
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-Y, Cl 3A1
2.617%, 11/25/2034 (A)		5,940		6,019
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-Z, Cl 2A1
2.615%, 12/25/2034 (A)		2,369		2,414
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR1, Cl 1A1
2.610%, 02/25/2035 (A)		4,787		4,824
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR10, Cl 1A1
2.614%, 06/25/2035 (A)		6,839		6,971
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR10, Cl 2A2
2.614%, 06/25/2035 (A)		5,130		5,212


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR10, Cl 2A17
2.614%, 06/25/2035 (A)	$	1,750	$	1,772
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR11, Cl 1A1
2.615%, 06/25/2035 (A)		523		525
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR12, Cl 2A5
2.618%, 06/25/2035 (A)		1,724		1,743
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 2A1
2.610%, 02/25/2034 (A)		1,276		1,301
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR3, Cl 2A1
2.628%, 03/25/2035 (A)		2,439		2,469
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR7, Cl 2A1
5.024%, 05/25/2035 (A)		666		677
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR8, Cl 1A1
2.616%, 06/25/2035 (A)		2,463		2,514
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR9, Cl 3A1
2.621%, 06/25/2034 (A)		2,439		2,479
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-4, Cl 2A2
5.500%, 04/25/2036		646		633
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR12, Cl 1A1
2.702%, 09/25/2036 (A)		1,146		1,072
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR2, Cl 2A1
2.641%, 03/25/2036 (A)		401		402
WFRBS Commercial Mortgage Trust, Ser 2011-C2, Cl XA, IO
1.106%, 02/15/2044 (A) (B)		30,559		1,079
WFRBS Commercial Mortgage Trust, Ser 2011-C3, Cl A1
1.988%, 03/15/2044 (B)		26		26
WFRBS Commercial Mortgage Trust, Ser 2012-C6, Cl A1
1.081%, 04/15/2045		274		276


SEI Institutional Investments Trust / Annual Report / May 31, 2014			71

SCHEDULE OF INVESTMENTS

Opportunistic Income Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
WFRBS Commercial Mortgage Trust, Ser 2012-C9, Cl A1
0.673%, 11/15/2045	$	90	$	90

				566,923

Total Mortgage-Backed Securities (Cost $740,763) ($ Thousands)				750,222


LOAN PARTICIPATIONS — 24.6%
Activision Blizzard, Term Loan B
3.250%, 10/12/2020		2,543		2,542
Advanstar Communications, Term Loan
5.500%, 04/29/2019		990		995
Advantage Sales and Marketing, Term Loan
8.250%, 06/17/2018		738		740
4.250%, 12/18/2017		3,068		3,073
Affinia Group
4.750%, 04/25/2020		2,719		2,726
Affinia Group, 2nd Lien
4.750%, 04/25/2020		138		138
Affinion Group Holdings, Term Loan
6.750%, 10/09/2016		4,948		4,958
Air Medical Group Holdings, Term Loan B1
5.000%, 06/30/2018		1,384		1,387
Alere, Term Loan B
4.250%, 06/30/2017		492		493
Alinta Ltd., Unfunded Term Loan
0.500%, 08/13/2018		195		3
Alinta, Cov-Lite, 1st Lien
6.375%, 08/13/2019		2,964		3,005
Allegion US Holding, Term Loan B, 1st Lien
3.000%, 09/25/2020		3,990		3,967
Alliance Laundry Systems LLC, Term Loan B
4.500%, 12/10/2018		33		33
4.250%, 12/10/2018		2,749		2,746
Alliant Holdings, Term Loan, Tranche 1
4.250%, 12/20/2019		3,866		3,873
Allison Transmission
3.750%, 08/23/2019		4,237		4,232
Alpha Natural Resources, Term Loan B
3.500%, 05/22/2020		2,230		2,158
AMC Entertainment, Term Loan
3.500%, 04/30/2020		1,995		1,992
American Builders & Contract Supply, Term Loan B
3.500%, 04/16/2020		2,239		2,230


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
American Renal Holdings, Term Loan
8.500%, 03/20/2020	$	1,310	$	1,308
4.500%, 08/20/2019		1,337		1,335
Applied Systems, Term Loan, 1st Lien
4.250%, 01/25/2021		3,294		3,300
Applied Systems, Term Loan, 2nd Lien
7.500%, 01/24/2022		1,775		1,804
Aramark US
0.001%, 07/26/2016		27		27
Aramark, 1st Lien
3.250%, 02/24/2021		5,126		5,085
Ardagh Holdings USA, 1st Lien
4.000%, 12/17/2019		1,000		998
Ardagh, Cov-Lite, Term Loan B, 1st Lien
4.250%, 12/17/2019		1,265		1,266
Aricent Technologies, 1st Lien
5.500%, 04/14/2021		3,600		3,595
Asurion, LLC, Term Loan
5.000%, 05/24/2019		2,289		2,297
Asurion, LLC, Term Loan B
4.250%, 06/19/2020		1,018		1,013
Asurion, LLC, Term Loan, 2nd Lien
8.500%, 03/03/2021		2,100		2,155
Atlas Energy, L.P., Term Loan B
6.500%, 07/31/2019		380		384
Atlas Energy, Term Loan B
6.500%, 07/31/2019		829		839
August LuxUK Holding, Term Loan
5.000%, 04/27/2018		585		585
August U.S. Holdings, Term Loan
5.000%, 04/27/2018		450		450
Avaya, Term Loan
6.500%, 03/31/2018		967		960
Avaya, Term Loan B-3
4.727%, 10/26/2017		806		779
Bally Technologies, 1st Lien
4.250%, 11/25/2020		2,347		2,352
Bass Pro Group LLC, Term Loan B
3.750%, 11/20/2019		2,836		2,829
Berry Plastics
3.500%, 02/08/2020		1,975		1,957
Berry Plastics, Term Loan D
3.500%, 02/08/2020		5		5
Biomet
3.733%, 07/25/2017		445		445
3.650%, 07/25/2017		39		40
3.650%, 07/25/2017		3,901		3,906
BJ’s Wholesale Club
4.500%, 09/26/2019		4,211		4,209
Booz Allen Hamiliton, Term Loan B1, 1st Lien
3.750%, 07/31/2019		1,643		1,648


72		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Boyd Acquisition
4.250%, 11/20/2017	$	918	$	919
Boyd Gaming, Term Loan B
4.000%, 08/14/2020		3,881		3,886
Brickman Group Holdings, Term Loan, 1st Lien
4.000%, 12/18/2020		3,491		3,474
Brickman Group Holdings, Term Loan, 2nd Lien
7.500%, 12/17/2021		803		817
Bright Horizons Family Solutions LLC, Term Loan
5.250%, 01/30/2020		—		—
3.750%, 01/30/2020		346		345
Britax Childcare, Cov-Lite
4.500%, 10/15/2020		622		582
Burlington Coat Factory, Term Loan B
4.250%, 02/23/2017		448		452
Calpine
4.000%, 04/01/2018		1,283		1,285
CBS Outdoor Americas Capital LLC, 1st Lien
3.000%, 01/31/2021		1,281		1,273
CDW, Term Loan
3.250%, 04/29/2020		1,980		1,953
Cedar Fair L.P.
3.250%, 03/06/2020		491		493
Cengage Learning Acquisitions, Term Loan, 1st Lien
7.000%, 03/31/2020		980		993
Cequel Communications
3.500%, 02/14/2019		6		6
3.500%, 02/10/2019		2,403		2,398
Ceramtec Acquisition, Initial Dollar
4.250%, 08/30/2020		73		73
Ceramtec Acquisition, Term Loan B3
4.250%, 08/30/2020		224		224
CeramTec GmbH, Term Loan B
4.250%, 08/30/2020		739		739
Ceridian, Term Loan
4.401%, 08/14/2015		4,147		4,151
Charter Communications Operating LLC, Term Loan E
3.000%, 07/01/2020		3,052		3,008
Chief Exploration
0.000%, 05/16/2021 (D)		1,500		1,515
Community Health Services, Term Loan D, 1st Lien
4.250%, 01/27/2021		2,620		2,634
Community Health Systems, Term Loan B
3.497%, 01/25/2017		94		94
3.400%, 01/25/2017		140		140


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
ConvaTec Dollar
4.000%, 12/22/2016	$	1,173	$	1,174
Cumulus Media, 1st Lien
4.250%, 12/23/2020		4,324		4,332
DAE Aviation Holdings, 1st Lien
5.000%, 11/02/2018		3,117		3,148
DAE Aviation Holdings, Term Loan, 1st Lien
7.750%, 08/05/2019		1,000		1,015
Davita, Term Loan B2
4.000%, 11/01/2019		988		989
Dealertrack, Cov-Lite, Term Loan B, 1st Lien
3.500%, 02/28/2021		1,550		1,547
Dex Media West, Term Loan
8.000%, 12/30/2016		2,197		1,984
Digital Globe
3.750%, 01/25/2020		743		743
Dunkin’ Brands, Term Loan
3.250%, 02/05/2021		4,666		4,615
EFS Cogen, Term Loan B, 1st Lien
3.750%, 12/17/2020		1,791		1,791
Emergency Medical Services
4.000%, 05/25/2018		78		78
Emergency Medical Services, Initial Term Loan
4.000%, 04/27/2018		377		376
4.000%, 05/25/2018		769		768
Endurance International, 1st Lien
5.000%, 11/09/2019		2,869		2,878
Energy Transfer Equity, Term Loan B, 1st Lien
3.250%, 12/02/2019		4,485		4,435
Entegris, Term Loan B, 1st Lien
3.500%, 04/30/2021		3,000		2,980
Entravision Communications, Term Loan B
3.500%, 05/31/2020		1,307		1,287
EP Energy LLC, Term Loan, Tranche 1
4.500%, 04/30/2019		188		188
EP Energy, Term Loan B
3.500%, 05/24/2018		1,213		1,210
Epicor, Cov-Lite, 1st Lien
4.000%, 05/16/2018		2,336		2,338
Equinox Fitness Clubs, Term Loan B
4.250%, 01/31/2020		1,485		1,482
Evergreen Skills
4.500%, 04/28/2021		1,389		1,389
Evergreen Skills, Term Loan, 1st Lien
4.500%, 04/28/2021		3,230		3,230
Evergreen Skills Lux, Cov-Lite, Term Loan, 2nd Lien
7.750%, 04/28/2022		2,095		2,076


SEI Institutional Investments Trust / Annual Report / May 31, 2014			73

SCHEDULE OF INVESTMENTS

Opportunistic Income Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Eze Castle, Term Loan, 1st Lien
4.000%, 04/06/2020	$	522	$	522
Fibertech Networks, LLC, Term Loan B
4.000%, 11/30/2016		2,394		2,383
First Data, Term Loan
4.150%, 03/23/2018		3,936		3,936
Firth Rixson Ltd., Term Loan B
4.250%, 06/30/2017		2,193		2,184
Flash Dutch, Term Loan B
4.000%, 02/01/2020		1,985		1,983
Fortescue Metals Group, Ltd., 1st Lien
3.750%, 06/30/2019		1,292		1,290
Four Seasons Holdings, Term Loan
3.500%, 06/27/2020		1,343		1,339
Freescale Semiconductor
5.000%, 02/13/2020		3,328		3,331
FTS International, Term Loan B
5.750%, 04/16/2021 (D)		1,984		1,997
Generac Power Systems, Term Loan B
3.500%, 05/30/2018		1,545		1,533
Genesys Telecom
4.000%, 02/08/2020		2,049		2,038
Genpact International, Term Loan B
3.500%, 08/17/2019		1,976		1,977
GNC, Term Loan, 1st Lien
3.250%, 03/02/2018		4,952		4,915
GO Daddy, Cov-Lite, Term Loan B, 1st Lien
4.750%, 05/13/2021 (G)		1,200		1,204
Gray Television, Term Loan B
4.500%, 10/11/2019		286		286
Greeneden US Holdings, Delayed Draw, Term Loan, 1st Lien
4.500%, 11/13/2020		1,746		1,748
Grifols Worldwide Operations, Term Loan B, 2nd Lien
3.150%, 02/27/2021		3,747		3,728
H.J. Heinz, Term Loan B2
3.500%, 03/27/2020		1,827		1,836
Harbor Freight Tools, Term Loan
4.750%, 07/26/2019		3,716		3,734
Harron Communications, Term Loan B
3.500%, 10/06/2017		556		555
HCA, Term Loan
2.905%, 03/31/2017		299		299
Hilton Hotels, Cov-Lite, Term Loan B, 1st Lien
3.500%, 10/26/2020		2,392		2,382
Hilton Worldwide, Term Loan B, 1st Lien
3.500%, 10/26/2020		133		132


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Houghton International, Term Loan
4.000%, 12/20/2019	$	247	$	247
HUB International, Ltd., Term Loan B, 1st Lien
4.250%, 10/02/2020		5,075		5,068
Hudson’s Bay, Cov-Lite, Term Loan B, 1st Lien
4.750%, 11/04/2020		3,250		3,278
Hudson’s Bay, Term Loan, 1st Lien
4.750%, 11/04/2020		1,375		1,386
Ikaria, 2nd Lien
8.750%, 02/14/2022		540		547
Ikaria, Cov-Lite, 1st Lien
5.000%, 02/12/2021		800		803
IMS Health
3.500%, 03/17/2021		2,063		2,049
Ineos Holdings Limited, Cov-Lite
3.750%, 05/04/2018		1,510		1,500
Infor, Term Loan B, 1st Lien
3.750%, 06/03/2020		3,981		3,948
Information Resources, Cov-Lite
4.750%, 09/30/2020		121		121
Information Resources, Cov-Lite, Tranche 2
4.750%, 09/30/2020		97		97
Information Resources, Cov-Lite, Tranche 3
4.750%, 09/30/2020		57		57
Information Resources, Cov-Lite, Tranche 4
4.750%, 09/30/2020		23		23
Intelsat Jackson Holdings, Term Loan
3.750%, 06/30/2019		1,678		1,680
Interactive Data, Cov-Lite, Term Loan, 1st Lien
4.750%, 05/02/2021		3,204		3,226
Inventiv Health, Incremental Term Loan B-3
7.750%, 05/15/2018		267		266
Inventiv Health, Term Loan B
7.500%, 08/04/2016		1,600		1,604
ION Trading Technologies Ltd., Term Loan
4.500%, 05/22/2020		1,538		1,535
ION Trading Technologies, Cov-Lite, 2nd Lien
8.250%, 05/22/2021		2,420		2,432
J. Crew Group, 1st Lien
4.000%, 03/05/2021		3,519		3,497
J. Crew Group, Term Loan B
4.000%, 03/05/2021		1,649		1,638
Kronos, Incremental Term Loan
4.500%, 10/30/2019		4,190		4,198


74		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Language Line, Term Loan B
6.250%, 06/20/2016	$	4,085	$	4,083
Lee Enterprises
7.250%, 03/31/2019		545		546
Lee Enterprises, Term Loan B
7.250%, 03/31/2019		2,111		2,114
Leslie’s Poolmart, Cov-Lite, 1st Lien
4.250%, 10/16/2019		3,349		3,340
Level 3 Communications, Term Loan
4.000%, 08/01/2019		2,000		2,002
Level 3 Communications, Term Loan B
4.000%, 01/15/2020		1,500		1,502
Liberty Cablevision, Term Loan
6.000%, 06/09/2017		1,963		1,962
Light Tower Fiber, LLC
4.000%, 04/13/2020		1,985		1,976
Light Tower Fiber, LLC, Term Loan
8.000%, 04/12/2021		633		638
LPL Holdings, Term Loan B
3.250%, 03/29/2019		1,733		1,723
MacDermid, Term Loan
4.000%, 06/05/2020		1,985		1,983
Media General, Delayed Term Loan
4.250%, 07/31/2020		933		937
Mediacom Communications, Term Loan H
3.250%, 01/29/2021		3,126		3,091
MEG Energy
3.750%, 03/21/2020		634		635
Merlin Entertainments, Term Loan
3.400%, 07/01/2019		1,094		1,093
MGM Resorts International, Term Loan B
3.500%, 12/20/2019		412		410
MGM Resorts International, Term Loan B1
3.500%, 12/20/2019		1,170		1,166
Michaels Stores
3.750%, 01/24/2020		1,499		1,499
Michaels Stores, Term Loan
3.750%, 01/28/2020		488		488
Michaels Stores, Term Loan B
3.750%, 01/28/2020		488		488
Millennium Laboratories, LLC, Term Loan B, 1st Lien
5.250%, 04/16/2021		3,623		3,644
Minimax GmbH, Term Loan B
4.500%, 08/14/2020		3,881		3,883
Mohegan Tribal Gaming Authority, Term Loan A, 1st Lien
4.484%, 06/15/2018		2,261		2,261
Mohegan Tribal Gaming Authority, Term Loan B, 1st Lien
5.500%, 11/19/2019		1,544		1,569


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
MTL Publishing, Term Loan B
3.750%, 06/29/2018	$	2,849	$	2,838
Navistar International, Term Loan
5.750%, 08/17/2017		1,383		1,406
NCI Building Systems, Term Loan
4.250%, 06/24/2019		1,624		1,620
Nelson Education, Term Loan B-1
2.734%, 07/03/2014		730		596
Numericable, Term Loan B, 1st Lien
4.500%, 04/23/2020 (G)		1,752		1,755
NXP, Cov-Lite, Term Loan D, 1st Lien
3.750%, 01/11/2020		1,975		1,956
Ocwen Financial, Term Loan
5.000%, 02/15/2018		1,485		1,492
One Call Medical, Term Loan, 1st Lien
5.000%, 11/27/2020		5,530		5,535
OXEA, Term Loan
4.250%, 12/06/2019		2,501		2,501
OXEA, Term Loan B, Tranche 1
4.250%, 01/15/2020		6		6
Peabody Energy, Cov-Lite, Term Loan B, 1st Lien
4.250%, 09/24/2020		3,980		3,991
PETCO Animal Supplies, Term Loan B
4.000%, 11/24/2017		1,485		1,488
Pilot Travel Centers, LLC, Term Loan Tranche B
4.250%, 08/07/2019		983		985
Pinnacle Foods Group, LLC
3.250%, 04/29/2020		569		565
Pinnacle Foods Group, LLC, Term Loan G, 3rd Lien
3.250%, 04/29/2020		1		1
Pinnacle Foods Group, LLC, Term Loan H
3.250%, 04/29/2020		1,313		1,305
Post Holdings, Term Loan B, 1st Lien
0.000%, 06/02/2021 (D)		1,000		1,008
Progressive Waste Solutions, Term Loan B
3.000%, 10/24/2019		5,650		5,636
Proquest, Term Loan B
6.000%, 04/13/2018		490		492
PVH, Term Loan B, 2012 Bank Loan, Tranche 1
3.250%, 02/13/2020		478		480
Quintiles Transnational, Term Loan B3, 1st Lien
3.750%, 06/08/2018		3,497		3,492
Raycom TV Broadcasting, Tranche B
4.250%, 05/31/2017		582		580
RE/MAX International, Term Loan
4.000%, 07/31/2020		2,658		2,649


SEI Institutional Investments Trust / Annual Report / May 31, 2014			75

SCHEDULE OF INVESTMENTS

Opportunistic Income Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Realogy, Extended Synthetic Term Loan
0.018%, 10/10/2016	$	88	$	88
Redtop Acquisitions, Ltd., 1st Lien
4.500%, 12/03/2020		624		626
Redtop Acquisitions, Ltd., 2nd Lien
8.250%, 06/03/2021		523		537
Rexnord, LLC, Term B
4.000%, 08/21/2020		1,720		1,716
Rexnord, LLC, Term Loan B
4.000%, 08/21/2020		3,048		3,040
Rite Aid
3.500%, 02/21/2020		1,489		1,486
Ruby Western Pipeline
3.500%, 03/22/2020		777		776
Ruby Western Pipeline Holdings, Term Loan
3.500%, 03/27/2020		113		113
Salem Communications, Term Loan B
4.500%, 03/12/2020		1,445		1,443
Salix Pharmaceuticals, Ltd., Term Loan, 1st Lien
4.250%, 01/02/2020		1,068		1,073
Schaeffler Finance, Term Loan E
3.750%, 05/12/2020		1,225		1,230
Seadrill Partners, LLC, Term Loan B, 1st Lien
4.000%, 02/21/2021		3,973		3,955
Sealed Air, Term Loan
3.000%, 10/03/2018		1,976		1,978
Seaworld
3.000%, 05/14/2020		2,731		2,691
Seminole Hard Rock Entertainment, Term Loan B
3.500%, 05/14/2020		744		740
Serta Simmons Holdings, Term Loan B
4.250%, 10/01/2019		2,138		2,139
Sheridan Healthcare, Cov-Lite, 2nd Lien
8.250%, 12/20/2021		2,900		2,962
Sheridan Healthcare, Term Loan
4.500%, 06/29/2018		3,136		3,137
Shield Finance, Term Loan B
5.000%, 01/29/2021		1,800		1,807
Smart & Final, Cov-Lite, Term Loan
4.750%, 11/08/2019		988		989
Smart Technologies, Term Loan
10.500%, 01/31/2018		135		138
Sprouts Farmers Markets LLC, Term Loan
4.000%, 04/23/2020		1,068		1,067


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Starwood Property Trust, Term Loan B
3.500%, 04/17/2020	$	844	$	838
SunGard Data Systems, Term Loan E
4.000%, 03/07/2020		1,670		1,672
Surgical Care Affiliates, LLC, Term Loan
4.000%, 06/29/2018		1,117		1,111
Surgical Care Affiliates, LLC, Term Loan B
4.234%, 12/29/2017		1,379		1,375
Syncreon Holdings, Ltd., Term Loan B, 1st Lien
5.250%, 10/28/2020		4,780		4,810
Syniverse Holdings, Term Loan
4.000%, 04/23/2019		1,212		1,210	��
Teine Energy Ltd., Term Loan B
7.500%, 05/17/2019		1,650		1,654
Telesat Canada, Term Loan B
3.500%, 03/28/2019		395		393
Templar Energy, Cov-Lite, 2nd Lien
8.000%, 11/25/2020		3,250		3,218
Texas Competitive
4.737%, 10/10/2017		108		86
Texas Competitive, Extended Term Loan
4.737%, 10/10/2017		756		605
The Neiman Marcus Group, Term Loan, 1st Lien
4.250%, 10/25/2020		3,980		3,968
The Pantry, Term Loan B
4.750%, 08/03/2019		985		992
TI Automotive Ltd., Term Loan B
5.500%, 03/27/2019		1,002		1,007
Trans Union, LLC, Term Loan, 1st Lien
4.000%, 04/09/2021		6,000		5,979
TransDigm
3.750%, 02/25/2020		3,961		3,935
TransDigm, Term Loan D, 1st Lien
0.000%, 05/21/2021 (D)		1,023		1,017
Travelport, LLC, Term Loan
6.250%, 06/26/2019		5		5
Travelport, Term Loan
6.250%, 06/21/2019		1,911		1,951
Tribune, Term Loan B, 1st Lien
4.000%, 12/27/2020		4,289		4,287
Tronox, Term Loan B
4.500%, 02/03/2018		533		534
4.000%, 02/08/2018		458		458
True Religion Apparel, Term Loan
5.875%, 07/30/2019		700		658
True Religion Apparel, Term Loan, 1st Lien
5.875%, 07/30/2019		693		651


76		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
TWCC Holding Weather Channel, Term Loan B
3.500%, 02/13/2017	$	1,734	$	1,720
TWCC Holding, Term Loan
7.000%, 12/11/2020		2,250		2,227
U.S. Telepacific, Term Loan
5.750%, 02/23/2017		973		975
Universal Health Services, Term Loan B
2.401%, 11/15/2016		155		155
Univision Communications, Extended Term Loan C-3
4.000%, 03/01/2020		1,586		1,582
Univision, Term Loan
4.000%, 03/01/2020		2,430		2,423
UPC Finance Partnership
3.250%, 06/30/2021		1,000		992
Valeant Pharmaceuticals International, Term Loan E
3.750%, 06/26/2020		1,839		1,835
Valeant Pharmaceuticals, Term Loan
3.750%, 02/13/2019		147		147
3.750%, 12/11/2019		1,471		1,466
Verint Systems, Term Loan B, 1st Lien
3.500%, 09/06/2019		5,778		5,757
Virgin Media Investment Company, Term Loan B
3.500%, 06/07/2020		3,800		3,768
VWR Funding, 1st Lien
3.400%, 04/03/2017		1,949		1,949
Walter Energy, Term Loan B
7.250%, 04/02/2018		2,477		2,397
Warner Music Group, Term Loan
3.750%, 07/01/2020		1,542		1,515
Waste Industries USA, Term Loan B
4.250%, 03/16/2017		1,365		1,364
WCA Waste Systems, Term Loan
4.000%, 03/23/2018		2,902		2,893
West, Term Loan
3.250%, 06/30/2018		980		969
Western Refining
4.250%, 11/12/2020		1,348		1,350
Wide Open West Finance
4.750%, 03/26/2019		713		717
Wilsonart International Holdings LLC, 1st Lien
4.000%, 10/24/2019		3,995		3,953
Windstream, Term Loan B4
3.500%, 01/23/2020		2,891		2,877
Zayo Group, Term Loan B
4.000%, 07/02/2019		5,459		5,447
Ziggo, Term Loan B1, 1st Lien
3.250%, 01/15/2022		912		899


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Ziggo, Term Loan B2, 1st Lien
3.250%, 01/15/2022 (G)	$	588	$	579
Ziggo, Term Loan B3, 1st Lien
0.000%, 01/15/2022 (D) (G)		967		952

Total Loan Participations (Cost $460,704) ($ Thousands)				461,364


ASSET-BACKED SECURITIES — 24.4%

Automotive — 7.1%
AFIN, Ser 2013-3, Cl A1A
0.800%, 11/20/2015		525		526
Ally Auto Receivables Trust, Ser 2010-4, Cl A4
1.350%, 12/15/2015		269		269
Ally Auto Receivables Trust, Ser 2010-5, Cl B
2.450%, 06/15/2016 (B)		285		288
Ally Auto Receivables Trust, Ser 2011-1, Cl A4
2.230%, 03/15/2016		160		161
Ally Auto Receivables Trust, Ser 2011-2, Cl A4
1.980%, 04/15/2016		1,916		1,927
Ally Auto Receivables Trust, Ser 2011-5, Cl A3
0.990%, 11/16/2015		51		51
Ally Auto Receivables Trust, Ser 2012-SN1, Cl A4
0.700%, 12/21/2015		1,075		1,076
Ally Auto Receivables Trust, Ser 2013-1, Cl A3
0.630%, 05/15/2017		450		451
Ally Auto Receivables Trust, Ser 2013-2, Cl A3
0.790%, 01/15/2018		4,000		4,006
Ally Auto Receivables Trust, Ser 2013-SN1, Cl A3
0.720%, 05/20/2016		135		135
Ally Auto Receivables Trust, Ser 2014-SN1, Cl A3
0.750%, 02/21/2017		375		375
Ally Master Owner Trust, Ser 2011-4, Cl A2
1.540%, 09/15/2016		1,125		1,129
Ally Master Owner Trust, Ser 2012-1, Cl A2
1.440%, 02/15/2017		1,100		1,108
Ally Master Owner Trust, Ser 2012-3, Cl A1
0.851%, 06/15/2017 (A)		289		290
Ally Master Owner Trust, Ser 2012-3, Cl A2
1.210%, 06/15/2017		620		624


SEI Institutional Investments Trust / Annual Report / May 31, 2014			77

SCHEDULE OF INVESTMENTS

Opportunistic Income Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Ally Master Owner Trust, Ser 2013-1, Cl A1
0.601%, 02/15/2018 (A)	$	225	$	225
Ally Master Owner Trust, Ser 2013-2, Cl A
0.601%, 04/15/2018 (A)		400		401
Ally Master Owner Trust, Ser 2014-1, Cl A1
0.621%, 01/15/2019 (A)		875		876
American Credit Acceptance Receivables Trust, Ser 2012-3, Cl A
1.640%, 11/15/2016 (B)		47		47
American Credit Acceptance Receivables Trust, Ser 2013-1, Cl A
1.450%, 04/16/2018 (B)		339		340
American Credit Acceptance Receivables Trust, Ser 2013-2, Cl A
1.320%, 02/15/2017 (B)		187		188
American Credit Acceptance Receivables Trust, Ser 2014-1, Cl A
1.140%, 03/12/2018 (B)		299		299
AmeriCredit Automobile Receivables Trust, Ser 2010-A, Cl A3
3.510%, 07/06/2017		74		74
AmeriCredit Automobile Receivables Trust, Ser 2011-3, Cl B
2.280%, 06/08/2016		1,232		1,235
AmeriCredit Automobile Receivables Trust, Ser 2011-4, Cl A3
1.170%, 05/09/2016		442		442
AmeriCredit Automobile Receivables Trust, Ser 2012-1, Cl A3
1.230%, 09/08/2016		1,160		1,161
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		231		231
AmeriCredit Automobile Receivables Trust, Ser 2013-2, Cl A2
0.530%, 11/08/2016		380		380
AmeriCredit Automobile Receivables Trust, Ser 2013-2, Cl A3
0.650%, 12/08/2017		310		310
AmeriCredit Automobile Receivables Trust, Ser 2013-4, Cl A2
0.740%, 11/08/2016		790		791
AmeriCredit Automobile Receivables Trust, Ser 2013-5, Cl A2B
0.531%, 03/08/2017 (A)		323		323


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
AmeriCredit Automobile Receivables Trust, Ser 2014-1, Cl A2
0.570%, 07/10/2017	$	5,000	$	5,002
ARI Fleet Lease Trust, Ser 2012-A, Cl A
0.701%, 03/15/2020 (A) (B)		223		224
ARI Fleet Lease Trust, Ser 2012-B, Cl A
0.451%, 01/15/2021 (A) (B)		547		546
ARI Fleet Lease Trust, Ser 2013-A, Cl A2
0.700%, 12/15/2015 (B)		139		139
ARI Fleet Lease Trust, Ser 2014-A, Cl A2
0.810%, 11/15/2022 (B)		265		265
Bank of America Auto Trust, Ser 2012-1, Cl A3
0.780%, 06/15/2016		119		119
BMW Vehicle Owner Trust, Ser 2011-A, Cl A3
0.760%, 08/25/2015		16		16
BMW Vehicle Owner Trust, Ser 2013-A, Cl A3
0.670%, 11/27/2017		2,000		2,003
Capital Auto Receivables Asset Trust, Ser 2013-1, Cl A3
0.790%, 06/20/2017		3,000		3,007
Capital Auto Receivables Asset Trust, Ser 2013-1, Cl A4
0.970%, 01/22/2018		2,500		2,504
Capital Auto Receivables Asset Trust, Ser 2013-4, Cl A1
0.529%, 03/21/2016 (A)		750		751
Capital Auto Receivables Asset Trust, Ser 2014-1, Cl A1A
0.680%, 05/20/2016		655		656
Capital Auto Receivables Asset Trust, Ser 2014-1, Cl A3
1.320%, 06/20/2018		3,500		3,524
Carfinance Capital Auto Trust, Ser 2013-2A, Cl A
1.750%, 11/15/2017 (B)		856		859
CarMax Auto Owner Trust, Ser 2011-3, Cl B
2.170%, 07/17/2017		150		153
CarMax Auto Owner Trust, Ser 2012-1, Cl A3
0.890%, 09/15/2016		26		26
CarMax Auto Owner Trust, Ser 2012-3, Cl A3
0.520%, 07/17/2017		74		74
CarMax Auto Owner Trust, Ser 2012-3, Cl C
1.500%, 08/15/2018		55		56


78		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
CarMax Auto Owner Trust, Ser 2013-1, Cl A2
0.420%, 03/15/2016	$	35	$	35
CarMax Auto Owner Trust, Ser 2013-3, Cl A2
0.590%, 08/15/2016		356		357
CFC, Ser 2013-1A, Cl A
1.650%, 07/17/2017 (B)		26		26
Chesapeake Funding LLC, Ser 2012-1A, Cl A
0.902%, 11/07/2023 (A) (B)		198		199
Chesapeake Funding LLC, Ser 2012-2A, Cl A
0.602%, 05/07/2024 (A) (B)		1,547		1,549
Chesapeake Funding LLC, Ser 2013-1A, Cl A
0.602%, 01/07/2025 (A) (B)		1,020		1,021
Chesapeake Funding LLC, Ser 2014-1A, Cl A
0.572%, 03/07/2026 (A) (B)		650		650
Chrysler Capital Auto Receivables Trust, Ser 2013-AA, Cl A2
0.610%, 11/15/2016 (B)		502		502
CPS Auto Receivables Trust, Ser 2013-D, Cl A
1.540%, 07/16/2018 (B)		664		667
CPS Auto Receivables Trust, Ser 2014-A, Cl A
1.210%, 08/15/2018 (B)		350		350
Credit Acceptance Auto Loan Trust, Ser 2011-1, Cl A
2.610%, 03/15/2019 (B)		21		21
Credit Acceptance Auto Loan Trust, Ser 2011-1, Cl B
3.960%, 09/15/2019 (B)		735		743
Credit Acceptance Auto Loan Trust, Ser 2012-1A, Cl A
2.200%, 09/16/2019 (B)		340		342
Credit Acceptance Auto Loan Trust, Ser 2013-2A, Cl A
1.500%, 04/15/2021 (B)		465		469
Credit Acceptance Auto Loan Trust, Ser 2014-1A, Cl A
1.550%, 10/15/2021 (B)		690		692
DT Auto Owner Trust, Ser 2014-1A, Cl A
0.660%, 07/17/2017 (B)		377		377
Enterprise Fleet Financing LLC, Ser 2012-1, Cl A2
1.140%, 11/20/2017 (B)		256		256
Enterprise Fleet Financing LLC, Ser 2012-2, Cl A2
0.720%, 04/20/2018 (B)		139		139


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Enterprise Fleet Financing LLC, Ser 2013-1, Cl A2
0.680%, 09/20/2018 (B)	$	1,005	$	1,005
Enterprise Fleet Financing LLC, Ser 2013-2, Cl A2
1.060%, 03/20/2019 (B)		700		702
Enterprise Fleet Financing LLC, Ser 2014-1, Cl A2
0.870%, 09/20/2019 (B)		295		295
Exeter Automobile Receivables Trust, Ser 2014-1A, Cl A
1.290%, 05/15/2018 (B)		2,711		2,719
Fifth Third Auto Trust, Ser 2013-A, Cl A2
0.450%, 01/15/2016		174		174
First Investors Auto Owner Trust, Ser 2012-2A, Cl A2
1.470%, 05/15/2018 (B)		237		238
First Investors Auto Owner Trust, Ser 2013-1A, Cl A2
0.900%, 10/15/2018 (B)		79		80
First Investors Auto Owner Trust, Ser 2013-2A, Cl A2
1.230%, 03/15/2019 (B)		306		308
First Investors Auto Owner Trust, Ser 2013-3A, Cl A2
0.890%, 09/15/2017 (B)		350		351
First Investors Auto Owner Trust, Ser 2014-1A, Cl A2
0.800%, 02/15/2018 (B)		500		500
FITAT, Ser 2013-A, Cl A3
0.880%, 10/16/2017		555		558
Ford Credit Auto Lease Trust, Ser 2011-B, Cl A4
1.350%, 12/15/2016		3,744		3,762
Ford Credit Auto Lease Trust, Ser 2012-A, Cl A4
1.030%, 04/15/2015		475		475
Ford Credit Auto Lease Trust, Ser 2013-A, Cl A2
0.460%, 05/15/2015		140		140
Ford Credit Auto Owner Trust, Ser 2011-A, Cl D
3.210%, 07/15/2017		950		975
Ford Credit Auto Owner Trust, Ser 2012-A, Cl B
1.880%, 08/15/2017		175		179
Ford Credit Auto Owner Trust, Ser 2012-B, Cl D
2.930%, 10/15/2018		1,000		1,036
Ford Credit Auto Owner Trust, Ser 2012-C, Cl A3
0.580%, 12/15/2016		2,757		2,760


SEI Institutional Investments Trust / Annual Report / May 31, 2014			79

SCHEDULE OF INVESTMENTS

Opportunistic Income Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Ford Credit Auto Owner Trust, Ser 2013-A, Cl A2
0.380%, 11/15/2015	$	27	$	27
Ford Credit Auto Owner Trust, Ser 2013-C, Cl A2
0.550%, 04/15/2016		—		—
Ford Credit Auto Owner Trust, Ser 2013-D, Cl A3
0.670%, 04/15/2018		770		770
Ford Credit Auto Owner Trust, Ser 2014-A, Cl A2
0.480%, 11/15/2016		690		690
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
0.501%, 09/15/2016 (A)		685		685
Ford Credit Floorplan Master Owner Trust, Ser 2013-1, Cl A2
0.531%, 01/15/2018 (A)		195		195
Ford Credit Floorplan Master Owner Trust, Ser 2013-5, Cl A2
0.621%, 09/15/2018 (A)		425		426
Ford Credit Floorplan Master Owner Trust, Ser 2014-1, Cl B
1.400%, 02/15/2019		135		135
GE Dealer Floorplan Master Note Trust, Ser 2012-1, Cl A
0.719%, 02/20/2017 (A)		840		841
Harley-Davidson Motorcycle Trust, Ser 2011-1, Cl A3
0.960%, 05/16/2016		16		16
Harley-Davidson Motorcycle Trust, Ser 2012-1, Cl A3
0.680%, 04/15/2017		125		125
Harley-Davidson Motorcycle Trust, Ser 2013-1, Cl A3
0.650%, 07/16/2018		300		301
Hertz Fleet Lease Funding, Ser 2013-3, Cl A
0.700%, 12/10/2027 (A) (B)		3,570		3,577
Hertz Fleet Lease Funding, Ser 2014-1, Cl A
0.550%, 04/10/2028 (A) (B)		2,000		2,000
Hertz Vehicle Financing LLC, Ser 2011-1A, Cl A1
2.200%, 03/25/2016 (B)		150		151
Honda Auto Receivables Owner Trust, Ser 2011-2, Cl A3
0.940%, 03/18/2015		—		—


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Honda Auto Receivables Owner Trust, Ser 2012-2, Cl A3
0.700%, 02/16/2016	$	506	$	506
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		210		210
Honda Auto Receivables Owner Trust, Ser 2013-4, Cl A3
0.690%, 09/18/2017		5,000		5,010
Huntington Auto Trust, Ser 2011-1A, Cl A4
1.310%, 11/15/2016 (B)		350		352
Huntington Auto Trust, Ser 2012-2, Cl A3
0.510%, 04/17/2017		110		110
Hyundai Auto Lease Securitization Trust, Ser 2012-A, Cl A3
0.920%, 08/17/2015 (B)		568		568
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 (B)		494		495
Hyundai Auto Receivables Trust, Ser 2010-B, Cl A4
1.630%, 03/15/2017		600		604
Hyundai Auto Receivables Trust, Ser 2011-A, Cl B
2.450%, 04/15/2016		70		71
Hyundai Auto Receivables Trust, Ser 2011-B, Cl B
2.270%, 02/15/2017		130		132
Hyundai Auto Receivables Trust, Ser 2012-B, Cl A3
0.620%, 09/15/2016		31		31
Hyundai Auto Receivables Trust, Ser 2013-A, Cl A2
0.400%, 12/15/2015		97		97
Hyundai Auto Receivables Trust, Ser 2013-C, Cl A2
0.570%, 06/15/2016		368		368
Hyundai Auto Receivables Trust, Ser 2013-C, Cl A3
1.010%, 02/15/2018		5,000		5,034
M&T Bank Auto Receivables Trust, Ser 2013-1A, Cl A3
1.060%, 11/15/2017 (B)		6,000		6,043
Mercedes-Benz Auto Lease Trust, Ser 2013-A, Cl A3
0.590%, 02/15/2016		990		991


80		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Mercedes-Benz Auto Lease Trust, Ser 2013-B, Cl A3
0.620%, 07/15/2016	$	660	$	661
Mercedes-Benz Auto Receivables Trust, Ser 2012-1, Cl A3
0.470%, 10/17/2016		3,662		3,664
Mercedes-Benz Auto Receivables Trust, Ser 2012-1, Cl A4
0.610%, 12/17/2018		845		846
Mercedes-Benz Auto Receivables Trust, Ser 2013-1, Cl A2
0.500%, 03/15/2016		240		241
Mercedes-Benz Master Owner Trust, Ser 2012-BA, Cl A
0.421%, 11/15/2016 (A) (B)		150		150
Motor PLC, Ser 2013-1, Cl A1
0.650%, 02/25/2021 (A) (B)		179		179
Nissan Auto Lease Trust, Ser 2012-A, Cl A3
0.980%, 05/15/2015		63		63
Nissan Auto Lease Trust, Ser 2012-B, Cl A3
0.580%, 11/16/2015		522		522
Nissan Auto Lease Trust, Ser 2013-B, Cl A2B
0.421%, 01/15/2016 (A)		240		240
Nissan Auto Receivables Owner Trust, Ser 2012-A, Cl A3
0.730%, 05/16/2016		647		648
Nissan Auto Receivables Owner Trust, Ser 2012-B, Cl A3
0.460%, 10/17/2016		691		692
Nissan Auto Receivables Owner Trust, Ser 2013-A, Cl A2
0.370%, 09/15/2015		94		94
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		657		657
Nissan Auto Receivables Owner Trust, Ser 2013-B, Cl A3
0.840%, 11/15/2017		3,739		3,758
Nissan Master Owner Trust Receivables, Ser 2012-A, Cl A
0.621%, 05/15/2017 (A)		3,175		3,184
Porsche Innovative Lease Owner Trust, Ser 2012-1, Cl A3
0.540%, 12/21/2015 (B)		84		84
Porsche Innovative Lease Owner Trust, Ser 2013-1, Cl A4
0.880%, 10/22/2019 (B)		390		391


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Prestige Auto Receivables Trust, Ser 2013-1A, Cl A2
1.090%, 02/15/2018 (B)	$	345	$	346
Prestige Auto Receivables Trust, Ser 2014-1A, Cl A2
0.970%, 03/15/2018 (B)		440		440
Santander Drive Auto Receivables Trust, Ser 2010-2, Cl C
3.890%, 07/17/2017		158		159
Santander Drive Auto Receivables Trust, Ser 2011-3, Cl B
2.500%, 12/15/2015		11		11
Santander Drive Auto Receivables Trust, Ser 2012-3, Cl D
3.640%, 05/15/2018		785		822
Santander Drive Auto Receivables Trust, Ser 2012-4, Cl A3
1.040%, 08/15/2016		392		392
Santander Drive Auto Receivables Trust, Ser 2012-4, Cl B
1.830%, 03/15/2017		1,000		1,007
Santander Drive Auto Receivables Trust, Ser 2012-5, Cl A3
0.830%, 12/15/2016		96		96
Santander Drive Auto Receivables Trust, Ser 2013-1, Cl A2
0.480%, 02/16/2016		1		1
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
0.531%, 04/17/2017 (A)		620		620
Santander Drive Auto Receivables Trust, Ser 2014-1, Cl A2A
0.660%, 06/15/2017		320		320
SNAAC Auto Receivables Trust, Ser 2013-1A, Cl A
1.140%, 07/16/2018 (B)		58		59
SNAAC Auto Receivables Trust, Ser 2014-1A, Cl A
1.030%, 09/17/2018 (B)		755		755
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		255		255
Volkswagen Auto Lease Trust, Ser 2012-A, Cl A3
0.870%, 07/20/2015		353		353
Volkswagen Auto Loan Enhanced Trust, Ser 2011-1, Cl A4
1.980%, 09/20/2017		447		450


SEI Institutional Investments Trust / Annual Report / May 31, 2014			81

SCHEDULE OF INVESTMENTS

Opportunistic Income Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Volkswagen Auto Loan Enhanced Trust, Ser 2012-1, Cl A3
0.850%, 08/22/2016	$	2,527	$	2,533
Volkswagen Auto Loan Enhanced Trust, Ser 2012-2, Cl A2
0.330%, 07/20/2015		37		37
Volkswagen Auto Loan Enhanced Trust, Ser 2013-2, Cl A2
0.420%, 07/20/2016		850		850
Volvo Financial Equipment LLC, Ser 2014-1A, Cl A3
0.820%, 04/16/2018 (B)		405		405
Westlake Automobile Receivables Trust, Ser 2013-1A, Cl A2
1.120%, 01/15/2018 (B)		3,660		3,671
Westlake Automobile Receivables Trust, Ser 2014-1A, Cl A2
0.700%, 05/15/2017 (B)		605		605
Wheels SPV LLC, Ser 2012-1, Cl A2
1.190%, 03/20/2021 (B)		2,768		2,775
Wheels SPV LLC, Ser 2014-1A, Cl A2
0.840%, 03/20/2023 (B)		2,305		2,305
World Omni Auto Receivables Trust, Ser 2011-A, Cl A4
1.910%, 04/15/2016		428		430
World Omni Auto Receivables Trust, Ser 2012-A, Cl A3
0.640%, 02/15/2017		33		33
World Omni Auto Receivables Trust, Ser 2013-A, Cl A2
0.430%, 05/16/2016		552		553
World Omni Automobile Lease Securitization Trust, Ser 2012-A, Cl A3
0.930%, 11/16/2015		15		15
World Omni Automobile Lease Securitization Trust, Ser 2013-A, Cl A2B
0.471%, 05/16/2016 (A)		171		171
World Omni Master Owner Trust, Ser 2013-1, Cl A
0.501%, 02/15/2018 (A) (B)		105		105

				133,970


Credit Cards — 4.9%
American Express Credit Account Master Trust, Ser 2009-2, Cl A
1.401%, 03/15/2017 (A)		3,635		3,644
American Express Credit Account Master Trust, Ser 2011-1, Cl A
0.321%, 04/17/2017 (A)		4,250		4,251
American Express Credit Account Master Trust, Ser 2012-2, Cl B
0.990%, 03/15/2018		100		100


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
American Express Credit Account Master Trust, Ser 2013-1, Cl A
0.571%, 02/16/2021 (A)	$	310	$	311
American Express Credit Account Master Trust, Ser 2013-3, Cl A
0.980%, 05/15/2019		305		306
American Express Credit Account Master Trust, Ser 2014-1, Cl A
0.521%, 12/15/2021 (A)		5,000		5,000
BA Credit Card Trust, Ser 2014-A1, Cl A
0.531%, 06/15/2021 (A)		5,000		5,005
BA Credit Card Trust, Ser 2014-A2, Cl A
0.421%, 09/16/2019 (A)		5,000		5,004
Barclays Dryrock Issuance Trust, Ser 2014-1, Cl A
0.511%, 12/16/2019 (A)		525		527
Cabela’s Master Credit Card Trust, Ser 2011-4A, Cl A2
0.701%, 10/15/2019 (A) (B)		710		715
Cabela’s Master Credit Card Trust, Ser 2012-2A, Cl A2
0.631%, 06/15/2020 (A) (B)		3,500		3,523
Cabela’s Master Credit Card Trust, Ser 2013-2A, Cl A2
0.801%, 08/16/2021 (A) (B)		210		212
Cabela’s Master Credit Card Trust, Ser 2014-1, Cl A
0.501%, 03/16/2020 (A)		2,670		2,671
Capital One Multi-Asset Execution Trust, Ser 2007-A5, Cl A5
0.191%, 07/15/2020 (A)		6,000		5,950
Capital One Multi-Asset Execution Trust, Ser 2013-A2, Cl A2
0.331%, 02/15/2019 (A)		325		325
Capital One Multi-Asset Execution Trust, Ser 2013-A3, Cl A3
0.960%, 09/16/2019		615		616
Chase Issuance Trust, Ser 2007-A2, Cl A2
0.201%, 04/15/2019 (A)		6,000		5,965
Chase Issuance Trust, Ser 2007-B1, Cl B1
0.401%, 04/15/2019 (A)		1,000		993
Chase Issuance Trust, Ser 2012-A3, Cl A3
0.790%, 06/15/2017		750		753
Chase Issuance Trust, Ser 2012-A5, Cl A5
0.590%, 08/15/2017		725		726
Chase Issuance Trust, Ser 2012-A9, Cl A9
0.301%, 10/16/2017 (A)		5,000		5,000


82		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Chase Issuance Trust, Ser 2013-A6, Cl A6
0.571%, 07/15/2020 (A)	$	500	$	502
Chase Issuance Trust, Ser 2013-A9, Cl A
0.571%, 11/16/2020 (A)		3,150		3,157
Chase Issuance Trust, Ser 2014-A1, Cl A1
1.150%, 01/15/2019		735		739
Citibank Credit Card Issuance Trust, Ser 2008-A6, Cl A6
1.349%, 05/22/2017 (A)		6,965		7,035
Citibank Credit Card Issuance Trust, Ser 2013-A12, Cl A12
0.453%, 11/07/2018 (A)		730		730
Citibank Credit Card Issuance Trust, Ser 2013-A2, Cl A2
0.430%, 05/26/2020 (A)		4,000		4,000
Citibank Credit Card Issuance Trust, Ser 2013-A3, Cl A3
0.910%, 07/23/2018		500		504
Citibank Credit Card Issuance Trust, Ser 2013-A6, Cl A6
1.320%, 09/07/2018		990		1,001
Citibank Credit Card Issuance Trust, Ser 2014-A2, Cl A2
1.020%, 02/22/2019		665		665
Citibank Credit Card Issuance Trust, Ser 2014-A4, Cl A4
1.230%, 04/24/2019		1,250		1,255
Citibank Omni Master Trust, Ser 2009-A13, Cl A13
5.350%, 08/15/2018 (B)		550		556
Discover Card Execution Note Trust, Ser 2010-A2, Cl A2
0.731%, 03/15/2018 (A)		2,000		2,011
Discover Card Execution Note Trust, Ser 2014-A1, Cl A1
0.581%, 07/15/2021 (A)		6,250		6,270
Discover Card Execution Note Trust, Ser 2014-A3, Cl A3
1.220%, 10/15/2019		705		708
Discover Card Master Trust, Ser 2012-A4, Cl A4
0.521%, 11/15/2019 (A)		4,000		4,015
Dryrock Issuance Trust, Ser 2012-2, Cl A
0.640%, 08/15/2018		350		350
Dryrock Issuance Trust, Ser 2013-1, Cl A
0.491%, 07/16/2018 (A)		475		476
GE Capital Credit Card Master Note Trust, Ser 2012-1, Cl A
1.030%, 01/15/2018		3,000		3,010


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GE Capital Credit Card Master Note Trust, Ser 2012-5, Cl A
0.950%, 06/15/2018	$	260	$	261
Golden Credit Card Trust, Ser 2012-5A, Cl A
0.790%, 09/15/2017 (B)		125		125
Golden Credit Card Trust, Ser 2013-2A, Cl A
0.581%, 09/15/2018 (A) (B)		490		492
Golden Credit Card Trust, Ser 2014-1A, Cl A
0.475%, 03/15/2019 (A) (B)		860		860
Gracechurch Card Funding, Ser 2012-4A, Cl A
0.851%, 06/15/2017 (A) (B)		250		251
Master Credit Card Trust II, Ser 2013-3A, Cl A
0.582%, 01/22/2018 (A) (B)		450		451

				91,021


Other Asset-Backed Securities — 12.4%
1776 CLO Ltd., Ser 2006-1A, Cl B
0.675%, 05/08/2020 (A) (B)		5,000		4,898
Aames Mortgage Investment Trust, Ser 2004-1, Cl M4
1.729%, 01/25/2035 (A)		40		40
Aames Mortgage Investment Trust, Ser 2005-4, Cl M1
0.859%, 10/25/2035 (A)		1,459		1,456
Accredited Mortgage Loan Trust, Ser 2004-4, Cl A1A
0.492%, 01/25/2035 (A)		144		141
ACE Securities Home Equity Loan Trust, Ser 2005-SD3, Cl A
0.550%, 08/25/2045 (A)		49		49
Aegis Asset-Backed Securities Trust Mortgage Pass-Through Certificates, Ser 2004-3, Cl A2B
1.252%, 09/25/2034 (A)		595		588
Aegis Asset-Backed Securities Trust Mortgage Pass-Through Certificates, Ser 2004-4, Cl A1
0.510%, 10/25/2034 (A)		738		723
Aircraft Lease Securitization Ltd., Ser 2007-1A, Cl G3
0.412%, 05/10/2032 (A) (B)		2,714		2,633
Airlie CLO, Ser 2006-1A, Cl A2
0.625%, 05/20/2020 (A) (B)		3,750		3,702
Airlie CLO, Ser 2006-1A, Cl B
0.985%, 05/20/2020 (A) (B)		2,000		1,967
Ally Master Owner Trust, Ser 2014-2, Cl A
0.521%, 01/16/2018 (A)		885		885


SEI Institutional Investments Trust / Annual Report / May 31, 2014			83

SCHEDULE OF INVESTMENTS

Opportunistic Income Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Ameriquest Mortgage Securities, Ser 2005-R10, Cl A2B
0.372%, 01/25/2036 (A)	$	1,546	$	1,538
Ameriquest Mortgage Securities, Ser 2005-R9, Cl AF6
4.657%, 11/25/2035		828		829
Apidos CDO, Ser 2014-17A, Cl A1A
1.710%, 04/17/2026 (A) (B)		995		995
Apidos CLO XII, Ser 2013-12A, Cl A
1.327%, 04/15/2025 (A) (B)		500		492
Argent Securities, Ser 2006-W2, Cl A2B
0.342%, 03/25/2036 (A)		1,457		746
ARL First LLC, Ser 2012-1A, Cl A1
1.901%, 12/15/2042 (A) (B)		2,543		2,574
Asset-Backed Funding Certificates, Ser 2004-OPT5, Cl M1
1.277%, 03/25/2034 (A)		320		281
Atrium IX, Ser 2013-9A, Cl A
1.538%, 02/28/2024 (A) (B)		535		530
Avalon IV Capital, Ser 2014-1AR, Cl AR
1.396%, 04/17/2023 (A) (B)		770		770
Avenue CLO III, Ser 2006-3A, Cl A3L
0.978%, 07/20/2018 (A) (B)		2,000		1,960
Babson CLO, Ser 2007-1A, Cl A2A
0.443%, 01/18/2021 (A) (B)		3,033		2,997
Babson CLO, Ser 2013-IA, Cl A
1.328%, 04/20/2025 (A) (B)		350		345
Bayview Financial Acquisition Trust, Ser 2005-C, Cl A2
0.502%, 06/28/2044 (A)		231		231
Bear Stearns Asset-Backed Securities I Trust, Ser 2006-EC1, Cl M1
0.564%, 12/25/2035 (A)		4,419		4,314
Carlyle High Yield Partners IX, Ser 2006-9A, Cl A1
0.474%, 08/01/2021 (A) (B)		4,447		4,389
Carrington Mortgage Loan Trust, Ser 2005-NC5, Cl A2
0.470%, 10/25/2035 (A)		695		691
Cent CLO 16, Ser 2014-20A, Cl A
1.709%, 01/25/2026 (A) (B)		1,250		1,249
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2004-2, Cl 1A4
5.323%, 02/26/2035		897		907
Chatham Light CLO, Ser 2005-2A, Cl A1
0.473%, 08/03/2019 (A) (B)		70		69
CIFC Funding, Ser 2013-1A, Cl A1
1.379%, 04/16/2025 (A) (B)		265		261
CNH Equipment Trust, Ser 2011-B, Cl A3
0.910%, 08/15/2016		1,074		1,075


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
CNH Equipment Trust, Ser 2011-C, Cl A3
1.190%, 12/15/2016	$	90	$	90
CNH Equipment Trust, Ser 2012-A, Cl A3
0.940%, 05/15/2017		185		185
CNH Equipment Trust, Ser 2012-B, Cl A3
0.860%, 09/15/2017		34		34
CNH Equipment Trust, Ser 2013-A, Cl A2
0.440%, 07/15/2016		46		47
CNH Equipment Trust, Ser 2013-C, Cl A2
0.630%, 01/17/2017		305		305
CNH Equipment Trust, Ser 2013-D, Cl A2
0.490%, 03/15/2017		530		530
CNH Wholesale Master Note Trust, Ser 2013-2A, Cl A
0.751%, 08/15/2019 (A) (B)		425		426
Conseco Finance Securitization, Ser 2002-1, Cl A
6.681%, 12/01/2033 (A)		1,059		1,067
Conseco Financial, Ser 1996-3, Cl A6
7.850%, 05/15/2027 (A)		457		459
Conseco Financial, Ser 1997-2, Cl A6
7.240%, 06/15/2028 (A)		1,883		1,968
Conseco Financial, Ser 1997-3, Cl A5
7.140%, 03/15/2028		320		341
Conseco Financial, Ser 1997-3, Cl A6
7.320%, 03/15/2028		106		113
Conseco Financial, Ser 1997-6, Cl A8
7.070%, 01/15/2029		47		48
Conseco Financial, Ser 1997-7, Cl A7
6.960%, 07/15/2028 (A)		380		399
Countrywide Asset-Backed Certificates, Ser 2004-13, Cl MV2
0.682%, 05/25/2035 (A)		652		650
Countrywide Asset-Backed Certificates, Ser 2004-5, Cl 3A
0.612%, 09/25/2034 (A)		17		17
Dryden Senior Loan Fund, Ser 2014-31A, Cl A
1.620%, 04/18/2026 (A) (B)		1,215		1,210
Dryden VIII Leveraged Loan CDO, Ser 2005-8A, Cl C
0.948%, 05/22/2017 (A) (B)		3,000		2,993
Fieldstone Mortgage Investment Trust, Ser 2004-3, Cl M4
1.999%, 08/25/2034 (A)		1,146		1,147
First Frankin Mortgage Loan Trust, Ser 2005-FF8, Cl M1
0.640%, 09/25/2035 (A)		5,500		4,995


84		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2006-FF1, Cl 2A3
0.390%, 01/25/2036 (A)	$	894	$	882
First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2006-FF9, Cl M1
0.402%, 06/25/2036 (A)		16,814		51
First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2006-FFA, Cl A3
0.392%, 09/25/2026 (A)		305		132
First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2006-FFB, Cl A2
0.412%, 12/25/2026 (A)		100		52
Gale Force CLO, Ser 2007-3A, Cl A1
0.468%, 04/19/2021 (A) (B)		2,327		2,311
GE Equipment Midticket LLC, Ser 2011-1, Cl A3
1.000%, 08/24/2015		31		31
GE Equipment Midticket LLC, Ser 2012-1, Cl A3
0.600%, 05/23/2016		60		60
GE Equipment Midticket LLC, Ser 2013-1, Cl A2
0.640%, 03/22/2016		205		205
GE Equipment Small Ticket LLC, Ser 2012-1A, Cl A3
1.040%, 09/21/2015 (B)		586		587
GE Equipment Small Ticket LLC, Ser 2013-1A, Cl A2
0.730%, 01/25/2016 (B)		137		138
GE Equipment Small Ticket LLC, Ser 2014-1A, Cl A3
0.950%, 09/25/2017 (B)		615		618
GE Equipment Transportation LLC, Ser 2012-1, Cl A3
0.990%, 11/23/2015		94		94
GE Equipment Transportation LLC, Ser 2013-2, Cl A2
0.610%, 06/24/2016		3,925		3,929
GSAMP Trust, Ser 2005-WMC2, Cl A2C
0.502%, 11/25/2035 (A)		1,742		1,644
GSAMP Trust, Ser 2006-HE2, Cl A2
0.334%, 03/25/2046 (A)		1,396		1,342
GSAMP Trust, Ser 2006-HE8, Cl A2C
0.322%, 01/25/2037 (A)		4,409		3,483
Halcyon Structured Asset Management Long Secured, Ser 2007-1A, Cl B
0.673%, 08/07/2021 (A) (B)		5,000		4,875


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
HLSS Servicer Advance Receivables Backed Notes, Ser 2012-T2, Cl C2
3.960%, 10/15/2045 (B)	$	1,200	$	1,223
HLSS Servicer Advance Receivables Backed Notes, Ser 2012-T2, Cl D2
4.940%, 10/15/2045 (B)		2,100		2,153
HLSS Servicer Advance Receivables Backed Notes, Ser 2013-T1, Cl C2
2.487%, 01/16/2046 (B)		1,000		1,003
HLSS Servicer Advance Receivables Backed Notes, Ser 2013-T2, Cl B2
1.495%, 05/16/2044 (B)		1,021		1,019
HLSS Servicer Advance Receivables Backed Notes, Ser 2013-T2, Cl D2
2.388%, 05/16/2044 (B)		950		949
HLSS Servicer Advance Receivables Backed Notes, Ser 2013-T3, Cl D3
3.130%, 05/15/2046 (B)		3,000		2,980
HLSS Servicer Advance Receivables Trust, Ser 2014-T1, Cl DT1
2.286%, 01/17/2045 (B)		1,860		1,861
Home Equity Mortgage Trust, Ser 2006-5, Cl A1
6.000%, 01/25/2037		10,827		2,571
HSBC Home Equity Loan Trust, Ser 2007-2, Cl AS
0.342%, 07/20/2036 (A)		5,503		5,435
HSI Asset Securitization Trust, Ser 2005-I1, Cl 2A3
0.440%, 11/25/2035 (A)		1,800		1,667
Indymac Residential Asset-Backed Trust, Ser 2005-C, Cl AII3
0.524%, 10/25/2035 (A)		2,900		2,760
ING IM CLO, Ser 2013-1A, Cl A1
1.367%, 04/15/2024 (A) (B)		3,555		3,514
ING IM CLO, Ser 2014-1RA, Cl A1R
1.434%, 03/14/2022 (A) (B)		1,000		1,000
ING Investment Management, Ser 2014-1A, Cl A1
1.769%, 04/18/2026 (A) (B)		970		970
John Deere Owner Trust, Ser 2012-B, Cl A3
0.530%, 07/15/2016		129		129
John Deere Owner Trust, Ser 2013-A, Cl A3
0.600%, 03/15/2017		870		871
John Deere Owner Trust, Ser 2013-B, Cl A2
0.550%, 01/15/2016		192		192
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-FLD1, Cl M2
0.640%, 07/25/2035 (A)		497		493


SEI Institutional Investments Trust / Annual Report / May 31, 2014			85

SCHEDULE OF INVESTMENTS

Opportunistic Income Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
JPMorgan Mortgage Acquisition, Ser 2007-CH1, Cl AV4
0.282%, 11/25/2036 (A)	$	461	$	458
Kubota Credit Owner Trust, Ser 2014-1A, Cl A2
0.580%, 02/15/2017 (B)		295		295
LCM V, Ser 2007-5A, Cl B
0.614%, 03/21/2019 (A) (B)		2,250		2,171
Lehman ABS Manufactured Housing Contract Trust, Ser 2001-B, Cl A3
4.350%, 04/15/2040		1,731		1,773
Lehman ABS Manufactured Housing Contract Trust, Ser 2001-B, Cl A4
5.270%, 04/15/2040		289		302
Lehman ABS Manufactured Housing Contract Trust, Ser 2001-B, Cl A6
6.467%, 04/15/2040 (A)		482		515
Lehman XS Trust, Ser 2005-9N, Cl 1A1
0.424%, 02/25/2036 (A)		296		256
Lightpoint CLO VIII, Ser 2007-8A, Cl C
1.977%, 07/25/2018 (A) (B)		2,085		2,088
Limerock CLO, Ser 2014-2A, Cl A
1.735%, 04/18/2026 (A) (B)		850		850
Master Asset-Backed Securities Trust, Ser 2003-WMC2, Cl M1
1.204%, 08/25/2033 (A)		52		52
Master Asset-Backed Securities Trust, Ser 2005-AB1, Cl A3B
5.233%, 11/25/2035		4,590		4,617
Master Asset-Backed Securities Trust, Ser 2006-HE5, Cl A3
0.314%, 11/25/2036 (A)		904		590
Master Asset-Backed Securities Trust, Ser 2006-HE5, Cl A4
0.374%, 11/25/2036 (A)		73		48
Master Asset-Backed Securities Trust, Ser 2006-NC3, Cl A5
0.364%, 10/25/2036 (A)		2,235		1,377
Merrill Lynch Mortgage Investors Trust, Ser 2006-FF1, Cl A2C
0.350%, 08/25/2036 (A)		431		420
Mid-State Trust, Ser 2004-1, Cl M1
6.497%, 08/15/2037		1,432		1,541
MMAF Equipment Finance LLC, Ser 2013-AA, Cl A2
0.690%, 05/09/2016 (B)		540		540
Morgan Stanley ABS Capital I, Ser 2005-HE6, Cl A2C
0.472%, 11/25/2035 (A)		5,000		4,859
Morgan Stanley ABS Capital I, Ser 2005-NC2, Cl M2
0.780%, 03/25/2035 (A)		4,964		4,904


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Morgan Stanley ABS Capital I, Ser 2005-WMC5, Cl M3
0.885%, 06/25/2035 (A)	$	160	$	158
Morgan Stanley ABS Capital I, Ser 2006-HE8, Cl A2B
0.254%, 10/25/2036 (A)		3,213		1,902
Morgan Stanley Dean Witter Capital I, Ser 2002-AM3, Cl M1
1.579%, 02/25/2033 (A)		59		56
Morgan Stanley Dean Witter Capital I, Ser 2003-NC4, Cl M2
3.154%, 04/25/2033 (A)		59		56
Nationstar Home Equity Loan Trust, Ser 2006-B, Cl AV4
0.434%, 09/25/2036 (A)		3,145		2,755
Navient Student Loan Trust, Ser 2014-1, Cl A2
0.458%, 03/27/2023 (A)		3,000		3,000
Neuberger Berman CLO Ltd., Ser 2014-16A, Cl A1
1.741%, 04/15/2026 (A) (B)		625		624
New Century Home Equity Loan Trust, Ser 2005-C, Cl A2C
0.404%, 12/25/2035 (A)		3,488		3,401
New York City Tax Lien, Ser 2013-A, Cl A
1.190%, 11/10/2026 (B)		80		80
Newcastle Mortgage Securities Trust, Ser 2007-1, Cl M5
0.410%, 04/25/2037 (A)		197		197
NewMark Capital Funding CLO, Ser 2013-1A, Cl A2
1.356%, 06/02/2025 (A) (B)		3,553		3,494
Northwoods Capital VII, Ser 2006-7A, Cl A3
0.468%, 10/22/2021 (A) (B)		1,352		1,349
Octagon Investment Partners XVI, Ser 2013-1A, Cl A
1.358%, 07/17/2025 (A) (B)		300		296
OHA Credit Partners VIII, Ser 2013-8A, Cl A
1.348%, 04/20/2025 (A) (B)		200		197
OHA Intrepid Leveraged Loan Fund, Ser 2013-1AR, Cl AR
1.148%, 04/20/2021 (A) (B)		240		240
Option One Mortgage Loan Trust, Ser 2005-1, Cl A1A
0.650%, 02/25/2035 (A)		459		452
Option One Mortgage Loan Trust, Ser 2005-5, Cl A3
0.364%, 12/25/2035 (A)		1,384		1,364
Option One Mortgage Loan Trust, Ser 2006-3, Cl 2A2
0.254%, 02/25/2037 (A)		622		376


86		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Origen Manufactured Housing Contract Trust, Ser 2005-B, Cl A4
5.910%, 01/15/2037	$	708	$	738
Origen Manufactured Housing Contract Trust, Ser 2005-B, Cl M1
5.990%, 01/15/2037		104		109
Ownit Mortgage Loan Trust, Ser 2006-3, Cl A2C
0.322%, 03/25/2037 (A)		5,643		5,352
Popular ABS Mortgage Pass- Through Trust, Ser 2004-5, Cl AF4
4.655%, 12/25/2034 (A)		3,200		3,225
Popular ABS Mortgage Pass- Through Trust, Ser 2005-3, Cl AF4
4.771%, 07/25/2035 (A)		773		785
Popular ABS Mortgage Pass- Through Trust, Ser 2005-B, Cl M1
0.634%, 08/25/2035 (A)		1,366		1,364
Race Point IV CLO, Ser 2007-4A, Cl A1A
0.425%, 08/01/2021 (A) (B)		2,601		2,577
Residential Asset Securities, Ser 2005-KS12, Cl A3
0.474%, 01/25/2036 (A)		2,800		2,671
SACO I, Ser 2005-9, Cl A1
0.654%, 12/25/2035 (A)		1,578		1,485
SACO I, Ser 2005-WM3, Cl A1
0.674%, 09/25/2035 (A)		904		864
Saxon Asset Securities Trust, Ser 2003-3, Cl AF6
4.866%, 12/25/2033		477		484
Saxon Asset Securities Trust, Ser 2006-2, Cl A3C
0.304%, 09/25/2036 (A)		1,816		1,718
Securitized Asset-Backed Receivables LLC, Ser 2006-NC3, Cl A2B
0.304%, 09/25/2036 (A)		4,634		2,273
Securitized Asset-Backed Receivables LLC, Ser 2007-BR5, Cl A2A
0.284%, 05/25/2037 (A)		1,209		849
Securitized Asset-Backed Receivables LLC, Ser 2007-NC1, Cl A2B
0.304%, 12/25/2036 (A)		2,807		1,559
Sierra Timeshare Receivables Funding LLC, Ser 2013-3A, Cl A
2.200%, 10/20/2030 (B)		2,548		2,574
Sierra Timeshare Receivables Funding LLC, Ser 2014-1A, Cl A
2.070%, 03/20/2030 (B)		4,560		4,590


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
SLM Student Loan Trust, Ser 2011-B, Cl A1
1.001%, 12/16/2024 (A) (B)	$	57	$	57
SLM Student Loan Trust, Ser 2013-3, Cl A2
0.450%, 05/26/2020 (A)		5,000		4,991
SLM Student Loan Trust, Ser 2013-6, Cl A2
0.652%, 02/25/2021 (A)		4,000		4,022
SLM Student Loan Trust, Ser 2014-1, Cl A1
0.432%, 05/28/2019 (A)		2,691		2,691
SLM Student Loan Trust, Ser 2014-1, Cl A2
0.532%, 07/26/2021 (A)		2,000		2,000
SLM Student Loan Trust, Ser 2014-2, Cl A1
0.400%, 07/25/2019 (A)		3,841		3,841
Soundview Home Equity Loan Trust, Ser 2005-4, Cl M2
0.620%, 03/25/2036 (A)		3,458		2,937
Soundview Home Equity Loan Trust, Ser 2005-OPT3, Cl A4
0.454%, 11/25/2035 (A)		468		462
Specialty Underwriting & Residential Finance Trust, Ser 2005-AB1, Cl M1
0.584%, 03/25/2036 (A)		3,529		3,376
Springleaf Funding Trust, Ser 2014-AA, Cl A
2.410%, 12/15/2022 (B)		725		726
Structured Asset Investment Loan Trust, Ser 2006-2, Cl A3
0.334%, 04/25/2036 (A)		1,098		973
Structured Asset Securities, Ser 2006-GEL3, Cl A2
0.380%, 07/25/2036 (A) (B)		1,634		1,621
Structured Asset Securities, Ser 2006-WF1, Cl A1
0.300%, 02/25/2036 (A)		319		314
Structured Asset Securities, Ser 2006-WF3, Cl A4
0.464%, 09/25/2036 (A)		1,820		1,593
Structured Asset Securities, Ser 2007-BC1, Cl A4
0.284%, 02/25/2037 (A)		5,370		4,578
Symphony CLO V, Ser 2007-5A, Cl A1
0.977%, 01/15/2024 (A) (B)		1,750		1,729
Symphony CLO, Ser 2007-3A, Cl A1A
0.464%, 05/15/2019 (A) (B)		2,854		2,832
Volvo Financial Equipment LLC, Ser 2013-1A, Cl A2
0.530%, 11/16/2015 (B)		329		329


SEI Institutional Investments Trust / Annual Report / May 31, 2014			87

SCHEDULE OF INVESTMENTS

Opportunistic Income Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Volvo Financial Equipment LLC, Ser 2013-1A, Cl A3
0.740%, 03/15/2017 (B)	$	290	$	291

				232,806

Total Asset-Backed Securities (Cost $454,962) ($ Thousands)				457,797


CORPORATE OBLIGATIONS — 8.0%

Consumer Discretionary — 1.1%
Amazon.com
0.650%, 11/27/2015		150		151
Autozone
1.300%, 01/13/2017		950		951
Cedar Fair
5.250%, 03/15/2021		1,000		1,025
Comcast
5.850%, 11/15/2015		325		350
CVS Caremark
1.200%, 12/05/2016		490		494
Daimler Finance North America LLC
0.585%, 03/10/2017 (A) (B)		500		501
DIRECTV Holdings LLC
3.550%, 03/15/2015		600		614
Ford Motor Credit LLC
1.064%, 03/12/2019 (A)		1,000		1,006
Hyundai Capital America
1.875%, 08/09/2016 (B)		200		203
1.625%, 10/02/2015 (B)		35		35
Maytag MTN
6.450%, 08/15/2014		350		354
NBCUniversal Enterprise
0.912%, 04/15/2018 (A) (B)		400		404
Newell Rubbermaid
2.000%, 06/15/2015		125		127
Sirius XM Radio (B)
5.875%, 10/01/2020		4,000		4,240
4.250%, 05/15/2020		400		394
Six Flags Entertainment
5.250%, 01/15/2021 (B)		2,000		2,040
Thomson Reuters
0.875%, 05/23/2016		400		401
Time Warner Cable
5.850%, 05/01/2017		350		395
Toyota Motor Credit MTN
1.125%, 05/16/2017		900		903
TRW Automotive
7.250%, 03/15/2017 (B)		560		641
Viacom
1.250%, 02/27/2015		95		96
Volkswagen Group of America Finance LLC
1.250%, 05/23/2017 (B)		500		500


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Volkswagen International Finance
0.666%, 11/18/2016 (A) (B)	$	500	$	502
Walt Disney MTN
0.450%, 12/01/2015		200		200
Whirlpool
1.350%, 03/01/2017		575		576
William Carter
5.250%, 08/15/2021 (B)		2,615		2,726

				19,829


Consumer Staples — 0.9%
Anheuser-Busch InBev Finance
0.623%, 02/01/2019 (A)		1,000		999
Anheuser-Busch InBev Worldwide
0.800%, 07/15/2015		600		602
BAT International Finance
1.400%, 06/05/2015 (B)		460		464
Biomet
6.500%, 08/01/2020		375		407
Ceridian
8.875%, 07/15/2019 (B)		475		536
Coca-Cola Enterprises
2.125%, 09/15/2015		325		331
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		1,100		1,162
ERAC USA Finance LLC
1.400%, 04/15/2016 (B)		300		303
Fresenius US Finance II
4.250%, 02/01/2021 (B)		1,000		1,015
General Mills
0.527%, 01/29/2016 (A)		300		301
Harvard President and Fellows
6.300%, 10/01/2037		595		652
Heineken
0.800%, 10/01/2015 (B)		75		75
Kraft Foods Group
1.625%, 06/04/2015		425		430
Kroger
0.756%, 10/17/2016 (A)		1,000		1,002
Mondelez International
0.745%, 02/01/2019 (A)		1,000		998
PepsiCo
0.444%, 02/26/2016 (A)		300		300
0.425%, 07/30/2015 (A)		250		250
Philip Morris International
2.500%, 05/16/2016		700		727
Reynolds American
1.050%, 10/30/2015		50		50
Reynolds Group Issuer
5.750%, 10/15/2020		415		432


88		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
SABMiller Holdings
0.915%, 08/01/2018 (A) (B)	$	600	$	603
Sutter Health
1.090%, 08/15/2053		525		521
Valeant Pharmaceuticals International
5.625%, 12/01/2021 (B)		2,900		3,016
Wm. Wrigley Jr.
3.700%, 06/30/2014 (B)		1,000		1,002

				16,580


Energy — 0.7%
Atlas Pipeline Partners
4.750%, 11/15/2021		400		388
BP Capital Markets (A)
0.865%, 09/26/2018		850		856
0.733%, 05/10/2018		400		401
Canadian Natural Resources
5.700%, 05/15/2017		150		169
Devon Energy
0.773%, 12/15/2016 (A)		1,000		1,005
Enbridge
0.677%, 06/02/2017 (A)		900		899
Energy Transfer Equity
7.500%, 10/15/2020		500		577
Enterprise Products Operating LLC
1.250%, 08/13/2015		600		605
Gibson Energy
6.750%, 07/15/2021 (B)		948		1,026
Petrobras Global Finance
1.849%, 05/20/2016 (A)		500		499
PVR Partners Penn Virginia
6.500%, 05/15/2021		1,000		1,077
Sabine Pass Liquefaction LLC
6.250%, 03/15/2022 (B)		3,000		3,221
5.625%, 02/01/2021		1,400		1,467
Statoil
0.685%, 11/08/2018 (A)		800		806
Total Capital Canada
0.607%, 01/15/2016 (A)		130		131
Total Capital International
0.793%, 08/10/2018 (A)		400		404
TransCanada PipeLines
0.750%, 01/15/2016		250		251

				13,782


Financials — 2.8%
Abbey National Treasury Services
0.743%, 03/13/2017 (A)		850		851
ABN AMRO Bank
1.028%, 10/28/2016 (A) (B)		550		554
American Express
0.818%, 05/22/2018 (A)		300		302


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
American Express Credit
0.785%, 03/18/2019 (A)	$	1,000	$	1,006
American Honda Finance (A)
0.730%, 10/07/2016		170		171
0.602%, 05/26/2016 (B)		300		301
Australia & New Zealand Banking Group
0.784%, 05/15/2018 (A)		250		251
0.607%, 01/10/2017 (A) (B)		500		501
Bank of America MTN
1.350%, 11/21/2016		800		803
1.267%, 01/15/2019 (A)		700		709
Bank of Montreal MTN (A)
0.829%, 04/09/2018		350		352
0.747%, 07/15/2016		175		176
Bank of New York Mellon MTN (A)
0.675%, 03/06/2018		325		326
0.466%, 03/04/2016		450		450
Bank of Nova Scotia
0.950%, 03/15/2016		400		403
0.747%, 07/15/2016 (A)		550		553
Bank of Tokyo-Mitsubishi UFJ
0.845%, 09/09/2016 (A) (B)		500		503
Barclays Bank MTN
6.050%, 12/04/2017 (B)		575		652
0.806%, 02/17/2017 (A)		850		854
BB&T MTN (A)
1.093%, 06/15/2018		265		269
0.885%, 02/01/2019		500		503
BNP Paribas MTN
0.824%, 12/12/2016 (A)		1,350		1,355
Boart Longyear Management
10.000%, 10/01/2018 (B)		2,278		2,380
BPCE MTN
1.073%, 02/10/2017 (A)		1,000		1,007
Branch Banking & Trust
0.666%, 12/01/2016 (A)		450		451
Canadian Imperial Bank of Commerce
0.900%, 10/01/2015		125		126
0.748%, 07/18/2016 (A)		700		704
Capital One
0.684%, 03/22/2016 (A)		350		351
Capital One Bank USA
1.150%, 11/21/2016		1,000		1,003
Citigroup (A)
1.000%, 04/08/2019		650		650
0.904%, 11/15/2016		1,000		1,004
Cooperatieve Centrale Raiffeisen-Boerenleenbank
0.715%, 03/18/2016 (A)		400		402
Credit Agricole
1.078%, 10/03/2016 (A) (B)		700		704


SEI Institutional Investments Trust / Annual Report / May 31, 2014			89

SCHEDULE OF INVESTMENTS

Opportunistic Income Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Credit Suisse NY MTN
1.375%, 05/26/2017	$	850	$	851
Daimler Finance North America LLC
1.250%, 01/11/2016 (B)		200		202
1.085%, 08/01/2018 (A) (B)		300		303
Deutsche Bank
1.350%, 05/30/2017		1,000		1,001
Fifth Third Bank
1.350%, 06/01/2017		1,500		1,504
General Electric Capital
0.941%, 04/02/2018 (A)		275		278
Goldman Sachs Group MTN (A)
1.425%, 04/30/2018		725		737
1.324%, 11/15/2018		750		759
Harley-Davidson Financial Services MTN
3.875%, 03/15/2016 (B)		500		526
HSBC Bank
0.864%, 05/15/2018 (A) (B)		200		201
HSBC USA
1.114%, 09/24/2018 (A)		300		304
ING Bank
1.873%, 09/25/2015 (A) (B)		1,000		1,018
International Lease Finance (B)
6.750%, 09/01/2016		650		719
6.500%, 09/01/2014		200		203
Intesa Sanpaolo
3.125%, 01/15/2016		200		206
John Deere Capital
0.950%, 06/29/2015		150		151
JPMorgan Chase (A)
1.129%, 01/25/2018		200		202
0.858%, 01/28/2019		700		703
JPMorgan Chase Capital XXI
1.173%, 02/02/2037 (A)		250		206
Lloyds TSB Bank MTN
4.375%, 01/12/2015 (B)		566		579
Macquarie Group
1.225%, 01/31/2017 (A) (B)		650		651
Manufacturers & Traders Trust
0.600%, 01/30/2017 (A)		600		601
Metropolitan Life Global Funding I (B)
1.500%, 01/10/2018		260		259
0.607%, 04/10/2017 (A)		1,000		1,002
Morgan Stanley
5.950%, 12/28/2017		245		279
1.477%, 02/25/2016 (A)		350		355
1.079%, 01/24/2019 (A)		650		653
National Rural Utilities Cooperative Finance MTN
0.527%, 11/23/2016 (A)		900		902
New York Life Global Funding (B)
1.125%, 03/01/2017		600		603
0.576%, 05/23/2016 (A)		300		302


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Nissan Motor Acceptance (A) (B)
0.935%, 09/26/2016	$	350	$	353
0.777%, 03/03/2017		410		411
Nordea Bank
1.250%, 04/04/2017 (B)		750		752
PACCAR Financial MTN (A)
0.835%, 12/06/2018		515		520
0.495%, 02/08/2016		650		652
PNC Bank
1.150%, 11/01/2016		600		604
0.800%, 01/28/2016		250		251
Pricoa Global Funding I MTN (B)
1.150%, 11/25/2016		500		502
0.375%, 05/16/2016 (A)		525		525
Principal Life Global Funding II MTN (B)
1.200%, 05/19/2017		400		399
1.125%, 02/24/2017		650		648
Prudential Financial MTN
1.004%, 08/15/2018 (A)		600		601
Reinsurance Group of America
5.625%, 03/15/2017		200		219
RHP Hotel Properties
5.000%, 04/15/2021‡		435		434
Royal Bank of Canada MTN
0.556%, 01/23/2017 (A)		700		701
Royal Bank of Scotland Group
1.875%, 03/31/2017		500		504
Societe Generale
1.313%, 10/01/2018 (A)		500		502
Sumitomo Mitsui Banking
0.657%, 01/10/2017 (A)		1,000		1,003
SunTrust Bank
0.664%, 02/15/2017 (A)		750		751
Svenska Handelsbanken
0.704%, 09/23/2016 (A)		700		704
Toronto-Dominion Bank MTN (A)
0.695%, 09/09/2016		600		603
0.463%, 05/02/2017		600		601
UBS MTN
5.875%, 07/15/2016		250		274
Unitrin
6.000%, 05/15/2017		110		122
US Bancorp MTN
0.714%, 11/15/2018 (A)		800		804
Ventas Realty‡
1.550%, 09/26/2016		400		405
1.250%, 04/17/2017		170		170
Wells Fargo MTN
1.150%, 06/02/2017		500		500
Western Union
1.227%, 08/21/2015 (A)		375		377
Westpac Banking
1.200%, 05/19/2017		500		501
0.836%, 01/17/2019 (A)		550		553

				52,833


90		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

Health Care — 0.4%
AbbVie
1.200%, 11/06/2015	$	800	$	807
Alere
6.500%, 06/15/2020		1,200		1,263
Amgen
2.125%, 05/15/2017		800		821
LifePoint Hospitals
5.500%, 12/01/2021 (B)		1,225		1,283
McKesson
1.292%, 03/10/2017		535		537
0.950%, 12/04/2015		580		583
Mylan
1.350%, 11/29/2016		650		653
Providence Health & Services Obligated Group
1.033%, 10/01/2016 (A)		650		647
Thermo Fisher Scientific
1.300%, 02/01/2017		225		226
WellPoint
1.250%, 09/10/2015		716		722

				7,542


Industrials — 0.7%
Air Lease
4.500%, 01/15/2016		600		631
BNSF Funding Trust I
6.613%, 12/15/2055 (A)		2,261		2,501
Caterpillar Financial Services MTN (A)
0.474%, 02/26/2016		700		701
0.457%, 03/03/2017		1,000		1,001
Clean Harbors
5.250%, 08/01/2020		900		923
GATX
1.250%, 03/04/2017		345		344
General Electric Capital MTN
1.250%, 05/15/2017		550		552
0.737%, 01/14/2019 (A)		400		400
John Deere Capital (A)
0.518%, 10/11/2016		485		487
0.353%, 06/15/2015		400		400
Norbord
5.375%, 12/01/2020 (B)		3,409		3,456
Packaging Dynamics
8.750%, 02/01/2016 (B)		600		617
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


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Rockwell Collins
0.583%, 12/15/2016 (A)	$	400	$	401

				12,590


Information Technology — 0.2%
Bankrate
6.125%, 08/15/2018 (B)		1,600		1,702
Fidelity National Information Services
1.450%, 06/05/2017		295		295
Hewlett-Packard
1.167%, 01/14/2019 (A)		750		755
Western Union
2.375%, 12/10/2015		30		31

				2,783


Materials — 0.1%
FMG Resources
8.250%, 11/01/2019 (B)		600		652
Glencore Funding LLC
1.387%, 05/27/2016 (A) (B)		400		403
Rio Tinto Finance USA
1.073%, 06/17/2016 (A)		400		404
Walter Energy
11.000%, 04/01/2020 (B)		1,150		892
Yara International
5.250%, 12/15/2014 (B)		100		102

				2,453


Telecommunication Services — 1.0%
AT&T
0.800%, 12/01/2015		150		150
0.608%, 02/12/2016 (A)		750		751
British Telecommunications
1.625%, 06/28/2016		235		238
1.250%, 02/14/2017		415		417
Cequel Communications Holdings I LLC
6.375%, 09/15/2020 (B)		1,000		1,060
Cincinnati Bell
8.750%, 03/15/2018		1,000		1,049
GTP Acquisition Partners I LLC
7.628%, 06/15/2016 (B)		2,000		2,128
GTP Towers Issuer LLC
8.112%, 02/15/2015 (B)		1,000		1,023
Hughes Satellite Systems
6.500%, 06/15/2019		250		278
SBA Tower Trust
4.254%, 04/15/2015 (B)		4,000		4,080
SoftBank
4.500%, 04/15/2020 (B)		1,751		1,773
Thomson Reuters
1.300%, 02/23/2017		400		401


SEI Institutional Investments Trust / Annual Report / May 31, 2014			91

SCHEDULE OF INVESTMENTS

Opportunistic Income Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
T-Mobile USA
6.633%, 04/28/2021	$	758	$	817
Verizon Communications (A)
1.984%, 09/14/2018		435		458
1.763%, 09/15/2016		3,400		3,495

				18,118


Utilities — 0.1%
Dominion Gas Holdings LLC
1.050%, 11/01/2016 (B)		750		748
Duke Energy
0.610%, 04/03/2017 (A)		600		602

				1,350

Total Corporate Obligations (Cost $145,921) ($ Thousands)				147,860


MUNICIPAL BONDS — 0.2%
Florida State, Hurricane Catastrophe Fund Finance, Ser A, RB
1.298%, 07/01/2016		345		349
Illinois State, Regional Transportation Authority, Ser A, RB
1.064%, 06/01/2014		330		330
Kalamazoo, Hospital Finance Authority, Ser B, RB
3.125%, 05/15/2041 (A)		290		292
New Jersey State Economic Development Authority, Ser Q
1.096%, 06/15/2016		1,100		1,099
New Jersey State, Economic Development Authority, Ser 00, RB
1.059%, 03/01/2016		285		287
New Jersey State, Turnpike Authority, Ser B, RB, AMBAC
4.252%, 01/01/2016		275		283
New York State, Dormitory Authority, Ser B
4.811%, 12/15/2014		300		307
New York State, Sales Tax Asset Receivable, Ser B, RB, NATL
4.660%, 10/15/2014		500		507
Oregon State, School Boards Association, Ser A, GO, NATL
1.040%, 06/30/2015		375		372
University of California, Ser Y-1, G0 Callable 01/01/17 @ 100
0.267%, 07/01/2012 (A)		755		756

Total Municipal Bonds (Cost $4,578) ($ Thousands)				4,582


U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.1%
FHLB
0.260%, 07/21/2015		500		501


Description	Face Amount ($ Thousands)/Shares		Market Value ($ Thousands)
FNMA
0.500%, 07/02/2015	$	1,500	$	1,506
0.375%, 03/16/2015		700		701

Total U.S. Government Agency Obligations (Cost $2,705) ($ Thousands)				2,708


PREFERRED STOCK — 0.1%
Public Storage, 5.900%‡		75,000		1,885

Total Preferred Stock (Cost $1,714) ($ Thousands)				1,885


CASH EQUIVALENT — 2.1%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		39,917,625		39,918

Total Cash Equivalent (Cost $39,918) ($ Thousands)				39,918


U.S. TREASURY OBLIGATION (E) (F) — 0.0%
U.S. Treasury Bills
0.098%, 04/02/2015		500		500

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

Total Investments — 99.5% (Cost $1,851,765) ($ Thousands)			$	1,866,836

A list of the open futures contracts held by the Fund at May 31, 2014, is as follows:


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation ($ Thousands)
U.S. 10-Year Treasury Note		(91	)		Sep-2014	$	27
U.S. 2-Year Treasury Note		(8	)		Sep-2014		—
U.S. 5-Year Treasury Note		(127	)		Sep-2014		26
U.S. 5-Year Treasury Note		7			Sep-2014		1
U.S. Long Treasury Bond		(38	)		Sep-2014		26

						$	80

Percentages are based on a Net Assets of $1,875,851 ($ Thousands).

The rate reported is the 7-day effective yield as of May 31, 2014.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security.

(A)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of May 31, 2014.

(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 not be sold to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees.

(C)

Security in default on interest payments

(D)

Unsettled bank loan. Interest rate not available.

(E)

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

(F)

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

(G)

Unfunded bank loan.


92		SEI Institutional Investments Trust / Annual Report / May 31, 2014

ABS — Asset-Backed Security

AMBAC — American Municipal Bond Assurance Corporation

ARM — Adjustable Rate Mortgage

CDO — Collateralized Debt Obligation

Cl — Class

CLO — Collateralized Loan Obligation

CMO — Collateralized Mortgage Obligation

FDIC — Federal Deposit 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 — National Public Finance Guarantee Corporation

NCUA — National Credit Union Association

PLC — Public Limited Company

RB — Revenue Bond

REMIC — Real Estate Mortgage Investment Conduit

Re-REMIC — Resecuritization of Real Estate Mortgage Investment Conduit

Ser — Series

SPV — Special Purpose Vehicle

TBA — To Be Announced

The following is a list of the level of inputs used as of May 31, 2014, 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	$	—	$	746,264	$	3,958	$	750,222
Loan Participations		—		461,364		—		461,364
Asset-Backed Securities		—		455,709		2,088		457,797
Corporate Obligations		—		147,860		—		147,860
Municipal Bonds		—		4,582		—		4,582
U.S. Government Agency Obligations		—		2,708		—		2,708
Preferred Stock		1,885		—		—		1,885
Cash Equivalent		39,918		—		—		39,918
U.S. Treasury Obligation		—		500		—		500

Total Investments in Securities	$	41,803	$	1,818,987	$	6,046	$	1,866,836


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*
Unrealized Appreciation	$	80	$	—	$	—	$	80

(1)

A reconciliation of Level 3 investments and disclosures of significant unobservable inputs are presented when the Fund has 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 year ended May 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

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


SEI Institutional Investments Trust / Annual Report / May 31, 2014			93

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund

May 31, 2014

LOGO


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


MORTGAGE-BACKED SECURITIES — 39.7%

Agency Mortgage-Backed Obligations — 32.4%
FHLMC
11.000%, 02/17/2021	$	358	$	356
10.000%, 03/17/2026 to 10/01/2030		1,437		1,621
8.000%, 06/01/2030		3		3
7.500%, 08/01/2030 to 09/01/2038		1,265		1,492
7.000%, 11/01/2015 to 03/01/2039		549		619
6.500%, 06/01/2017 to 09/01/2039		5,262		5,898
6.000%, 04/01/2017 to 08/01/2038		10,004		11,127
5.500%, 11/01/2018 to 01/01/2039		29,792		33,360
5.000%, 02/01/2019 to 08/01/2041		27,889		30,752
4.500%, 07/01/2026 to 03/01/2044		26,961		29,400
4.000%, 10/01/2025 to 08/01/2043		55,114		58,604
3.500%, 01/01/2032 to 08/01/2043		20,639		21,263
2.709%, 07/01/2042 (A)		4,285		4,389
2.500%, 03/01/2028		1,813		1,844
2.097%, 10/01/2036 (A)		849		902
FHLMC ARM (A)
6.270%, 11/01/2037		176		189
5.044%, 01/01/2035		101		106
4.363%, 07/01/2036		264		275
3.876%, 06/01/2037		178		189
3.420%, 04/01/2044		488		507
3.168%, 02/01/2042		2,505		2,598
3.142%, 03/01/2044		326		341


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

3.086%, 04/01/2044	$	625	$	652
3.033%, 11/01/2043 to 02/01/2044		3,270		3,383
3.015%, 05/01/2036		321		347
2.985%, 10/01/2043		1,011		1,035
2.972%, 05/01/2044		6		6
2.968%, 03/01/2044		8		8
2.951%, 01/01/2044		1,148		1,174
2.949%, 11/01/2043		2,373		2,427
2.933%, 03/01/2037		186		201
2.930%, 05/01/2037		1,199		1,292
2.861%, 12/01/2036		226		244
2.826%, 02/01/2037		134		143
2.804%, 03/01/2037		483		517
2.744%, 04/01/2037		87		91
2.718%, 04/01/2038		164		176
2.698%, 04/01/2037		514		552
2.684%, 11/01/2042		1,333		1,362
2.683%, 11/01/2036		131		140
2.672%, 12/01/2036		357		383
2.652%, 05/01/2037		482		516
2.632%, 05/01/2037		291		311
2.570%, 09/01/2036		605		646
2.538%, 05/01/2038		457		488
2.535%, 04/01/2037		23		24
2.496%, 09/01/2036		305		326
2.495%, 05/01/2037		148		159
2.485%, 02/01/2037		778		835
2.480%, 10/01/2036 to 10/01/2037		1,132		1,212
2.474%, 10/01/2036		1,057		1,120
2.410%, 09/01/2036		93		94
2.385%, 05/01/2037		400		429
2.375%, 05/01/2036 to 11/01/2036		526		559
2.370%, 05/01/2036		257		274
2.368%, 11/01/2036		310		331
2.365%, 01/01/2037		1,130		1,202
2.352%, 12/01/2036		532		564
2.320%, 02/01/2037		86		91
2.315%, 12/01/2036		95		101
2.314%, 09/01/2036		3,470		3,678
2.295%, 08/01/2037		1,103		1,180
2.265%, 11/01/2036		306		324
2.220%, 10/01/2036		107		111
2.215%, 12/01/2036		664		701
2.110%, 08/01/2036		977		1,040
2.090%, 07/01/2036		477		507
2.000%, 08/01/2036		389		411
1.952%, 05/01/2037		174		182
1.925%, 04/01/2037		226		239
1.855%, 05/01/2037		2,340		2,461
1.781%, 08/01/2037		651		675


94		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

FHLMC CMO, Ser 1988-1, Cl Z
9.300%, 04/15/2019	$	6	$	7
FHLMC CMO, Ser 1991-1142, Cl IA
7.000%, 10/15/2021		172		192
FHLMC CMO, Ser 1998-2075, Cl D
6.500%, 08/15/2028		618		696
FHLMC CMO, Ser 1999-2174, Cl PN
6.000%, 07/15/2029		43		47
FHLMC CMO, Ser 2001-2293, Cl ZA
6.000%, 03/15/2031		618		686
FHLMC CMO, Ser 2001-2312, Cl Z
6.500%, 05/15/2031		426		479
FHLMC CMO, Ser 2001-2357, Cl ZJ
6.500%, 09/15/2031		77		83
FHLMC CMO, Ser 2002-2399, Cl XG
6.500%, 01/15/2032		141		160
FHLMC CMO, Ser 2002-2434, Cl ZA
6.500%, 04/15/2032		1,163		1,305
FHLMC CMO, Ser 2002-2456, Cl CJ
6.500%, 06/15/2032		253		286
FHLMC CMO, Ser 2002-2458, Cl ZM
6.500%, 06/15/2032		621		700
FHLMC CMO, Ser 2002-41, Cl 2A
6.520%, 07/25/2032 (A)		637		742
FHLMC CMO, Ser 2002-42, Cl A5
7.500%, 02/25/2042		830		975
FHLMC CMO, Ser 2002-48, Cl 1A
5.796%, 07/25/2033 (A)		47		54
FHLMC CMO, Ser 2003-2551, Cl NS
14.206%, 01/15/2033 (A)		248		312
FHLMC CMO, Ser 2003-2631, Cl SA
14.573%, 06/15/2033 (A)		192		243
FHLMC CMO, Ser 2003-2671, Cl S
14.481%, 09/15/2033 (A)		188		239
FHLMC CMO, Ser 2003-2684, Cl ZN
4.000%, 10/15/2033		414		439


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

FHLMC CMO, Ser 2003-2725, Cl SC
8.848%, 11/15/2033 (A)	$	131	$	147
FHLMC CMO, Ser 2003-54, Cl 2A
6.500%, 02/25/2043		436		518
FHLMC CMO, Ser 2003-54, Cl 3A
7.000%, 02/25/2043		551		671
FHLMC CMO, Ser 2003-57, Cl 1A1
6.500%, 07/25/2043		477		539
FHLMC CMO, Ser 2003-57, Cl 1A2
7.000%, 07/25/2043		601		697
FHLMC CMO, Ser 2003-57, Cl 1A3
7.500%, 07/25/2043		497		597
FHLMC CMO, Ser 2003-58, Cl 4A
7.500%, 09/25/2043		665		795
FHLMC CMO, Ser 2004-2733, Cl ME
5.000%, 01/15/2034		909		1,007
FHLMC CMO, Ser 2004-2764, Cl UG
5.000%, 03/15/2034		1,500		1,649
FHLMC CMO, Ser 2004-2777, Cl KO, PO
0.000%, 02/15/2033		65		65
FHLMC CMO, Ser 2004-2778, Cl JD
5.000%, 12/15/2032		103		104
FHLMC CMO, Ser 2004-2835, Cl BO, PO
0.000%, 12/15/2028		59		59
FHLMC CMO, Ser 2004-2864, Cl NB
5.500%, 07/15/2033		1,595		1,724
FHLMC CMO, Ser 2004-59, Cl 1A3
7.500%, 10/25/2043		689		822
FHLMC CMO, Ser 2004-60, Cl 1A2
7.000%, 03/25/2044		528		647
FHLMC CMO, Ser 2004-60, Cl 1A3
7.500%, 03/25/2044		712		855
FHLMC CMO, Ser 2005-2945, Cl SA
12.022%, 03/15/2020 (A)		779		825
FHLMC CMO, Ser 2005-2950, Cl JO, PO
0.000%, 03/15/2020		87		87


SEI Institutional Investments Trust / Annual Report / May 31, 2014			95

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FHLMC CMO, Ser 2005-2980, Cl QA
6.000%, 05/15/2035	$	309	$	347
FHLMC CMO, Ser 2005-2981, Cl FA
0.551%, 05/15/2035 (A)		318		319
FHLMC CMO, Ser 2005-2990, Cl LK
0.521%, 10/15/2034 (A)		508		508
FHLMC CMO, Ser 2005-3001, Cl HP
21.396%, 05/15/2035 (A)		89		127
FHLMC CMO, Ser 2005-3006, Cl QS
19.767%, 07/15/2035 (A)		429		602
FHLMC CMO, Ser 2005-3012, Cl GK
24.070%, 06/15/2035 (A)		111		173
FHLMC CMO, Ser 2005-3049, Cl XF
0.501%, 05/15/2033 (A)		358		358
FHLMC CMO, Ser 2005-3077, Cl TO, PO
0.000%, 04/15/2035		248		238
FHLMC CMO, Ser 2006-3100, Cl PO, PO
0.000%, 01/15/2036		481		455
FHLMC CMO, Ser 2006-3101, Cl UZ
6.000%, 01/15/2036		1,183		1,310
FHLMC CMO, Ser 2006-3137, Cl XP
6.000%, 04/15/2036		510		565
FHLMC CMO, Ser 2006-3151, Cl PO, PO
0.000%, 05/15/2036		227		218
FHLMC CMO, Ser 2006-3153, Cl EO, PO
0.000%, 05/15/2036		338		315
FHLMC CMO, Ser 2006-3164, Cl MG
6.000%, 06/15/2036		374		415
FHLMC CMO, Ser 2006-3189, Cl PC
6.000%, 08/15/2035		500		516
FHLMC CMO, Ser 2006-3195, Cl PD
6.500%, 07/15/2036		1,014		1,143
FHLMC CMO, Ser 2006-3200, Cl AY
5.500%, 08/15/2036		448		483
FHLMC CMO, Ser 2006-3202, Cl HI, IO
6.499%, 08/15/2036 (A)		568		95


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FHLMC CMO, Ser 2006-3217, Cl CX, IO
6.439%, 09/15/2036 (A)	$	270	$	43
FHLMC CMO, Ser 2007-3262, Cl SG, IO
6.249%, 01/15/2037 (A)		333		51
FHLMC CMO, Ser 2007-3316, Cl JO, PO
0.000%, 05/15/2037		59		53
FHLMC CMO, Ser 2007-3345, Cl FP
0.351%, 11/15/2036 (A)		35		35
FHLMC CMO, Ser 2007-3345, Cl PF
0.331%, 05/15/2036 (A)		40		40
FHLMC CMO, Ser 2007-3346, Cl FA
0.381%, 02/15/2019 (A)		3,214		3,218
FHLMC CMO, Ser 2007-3373, Cl TO, PO
0.000%, 04/15/2037		103		92
FHLMC CMO, Ser 2007-3383, Cl SA, IO
6.299%, 11/15/2037 (A)		343		53
FHLMC CMO, Ser 2007-3385, Cl SN, IO
5.849%, 11/15/2037 (A)		365		42
FHLMC CMO, Ser 2007-3387, Cl SA, IO
6.269%, 11/15/2037 (A)		319		38
FHLMC CMO, Ser 2007-76, Cl 2A
3.302%, 10/25/2037 (A)		999		986
FHLMC CMO, Ser 2008-3422, Cl SE
17.072%, 02/15/2038 (A)		67		89
FHLMC CMO, Ser 2008-3451, Cl SA, IO
5.899%, 05/15/2038 (A)		340		38
FHLMC CMO, Ser 2008-3451, Cl SB, IO
5.879%, 05/15/2038 (A)		1,787		198
FHLMC CMO, Ser 2008-3455, Cl SE, IO
6.049%, 06/15/2038 (A)		1,511		206
FHLMC CMO, Ser 2008-3461, Cl LZ
6.000%, 06/15/2038		209		231
FHLMC CMO, Ser 2009-3510, Cl OD, PO
0.000%, 02/15/2037		395		375
FHLMC CMO, Ser 2009-3515, Cl PI, IO
5.500%, 07/15/2037		155		6


96		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

FHLMC CMO, Ser 2009-3523, Cl SD
19.247%, 06/15/2036 (A)	$	189	$	261
FHLMC CMO, Ser 2009-3529, Cl AG
6.500%, 04/15/2039		2,228		2,481
FHLMC CMO, Ser 2009-3546, Cl A
2.071%, 02/15/2039 (A)		208		213
FHLMC CMO, Ser 2009-3604, Cl PO, PO
0.000%, 05/15/2036		343		322
FHLMC CMO, Ser 2009-3607, Cl AO, PO
0.000%, 04/15/2036		320		297
FHLMC CMO, Ser 2009-3607, Cl BO, PO
0.000%, 04/15/2036		229		212
FHLMC CMO, Ser 2009-3607, Cl TO, PO
0.000%, 10/15/2039		412		388
FHLMC CMO, Ser 2009-3608, Cl SC, IO
6.099%, 12/15/2039 (A)		901		120
FHLMC CMO, Ser 2009-3611, Cl PO, PO
0.000%, 07/15/2034		201		186
FHLMC CMO, Ser 2010-3621, Cl BO, PO
0.000%, 01/15/2040		280		246
FHLMC CMO, Ser 2010-3621, Cl SB, IO
6.079%, 01/15/2040 (A)		364		53
FHLMC CMO, Ser 2010-3622, Cl WA
5.500%, 09/15/2039		2,576		2,870
FHLMC CMO, Ser 2010-3626, Cl MA
5.000%, 02/15/2030		3,096		3,147
FHLMC CMO, Ser 2010-3632, Cl BS
16.996%, 02/15/2040 (A)		400		578
FHLMC CMO, Ser 2010-3645, Cl KP
5.000%, 02/15/2040		2,793		3,070
FHLMC CMO, Ser 2010-3659, Cl VE
5.000%, 03/15/2026		3,252		3,558
FHLMC CMO, Ser 2010-3664, Cl DA
4.000%, 11/15/2037		1,002		1,072
FHLMC CMO, Ser 2010-3680, Cl MA
4.500%, 07/15/2039		1,311		1,423


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

FHLMC CMO, Ser 2010-3688, Cl NI, IO
5.000%, 04/15/2032	$	1,445	$	145
FHLMC CMO, Ser 2010-3704, Cl CT
7.000%, 12/15/2036		1,592		1,906
FHLMC CMO, Ser 2010-3704, Cl DT
7.500%, 11/15/2036		477		551
FHLMC CMO, Ser 2010-3714, Cl IP, IO
5.000%, 08/15/2040		1,286		224
FHLMC CMO, Ser 2010-3739, Cl LI, IO
4.000%, 03/15/2034		1,265		77

FHLMC CMO, Ser 2010-3740, Cl SC, IO
5.849%, 10/15/2040 (A)		1,279		181
FHLMC CMO, Ser 2010-3756, Cl IP, IO
4.000%, 08/15/2035		536		12
FHLMC CMO, Ser 2010-3759, Cl HI, IO
4.000%, 08/15/2037		1,292		148
FHLMC CMO, Ser 2010-3760, Cl GI, IO
4.000%, 10/15/2037		833		83
FHLMC CMO, Ser 2011-3793, Cl AB
3.500%, 01/15/2026		1,000		1,032
FHLMC CMO, Ser 2011-3800, Cl AI, IO
4.000%, 11/15/2029		1,374		147
FHLMC CMO, Ser 2011-3802, Cl LS, IO
2.043%, 01/15/2040 (A)		1,959		153
FHLMC CMO, Ser 2011-3819, Cl ZQ
6.000%, 04/15/2036		788		883
FHLMC CMO, Ser 2011-3852, Cl QN
5.500%, 05/15/2041 (A)		546		584
FHLMC CMO, Ser 2011-3866, Cl SA, IO
5.799%, 05/15/2041 (A)		2,326		338
FHLMC CMO, Ser 2011-3876, Cl NB
5.000%, 08/15/2038		1,993		2,182
FHLMC CMO, Ser 2011-3895, Cl WA
5.720%, 10/15/2038 (A)		338		370
FHLMC CMO, Ser 2012-3997, Cl SK, IO
6.449%, 11/15/2041 (A)		2,349		415


SEI Institutional Investments Trust / Annual Report / May 31, 2014			97

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


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

FHLMC CMO, Ser 2012-4030, Cl HS, IO
6.459%, 04/15/2042 (A)	$	220	$	38
FHLMC CMO, Ser 2012-4048, Cl FB
0.642%, 10/15/2041 (A)		1,622		1,635
FHLMC CMO, Ser 2012-4048, Cl FJ
0.555%, 07/15/2037 (A)		1,400		1,394
FHLMC CMO, Ser 2012-4076, Cl SW, IO
5.899%, 07/15/2042 (A)		265		58
FHLMC CMO, Ser 2012-4092, Cl AI, IO
3.000%, 09/15/2031		3,476		481
FHLMC CMO, Ser 2012-4097, Cl ST, IO
5.899%, 08/15/2042 (A)		442		98
FHLMC CMO, Ser 2012-4102, Cl TC
2.500%, 09/15/2041		6,640		6,716
FHLMC CMO, Ser 2012-4119, Cl IN, IO
3.500%, 10/15/2032		1,465		270
FHLMC CMO, Ser 2012-4136, Cl SE, IO
5.999%, 11/15/2042 (A)		351		77
FHLMC CMO, Ser 2012-4136, Cl SJ, IO
5.999%, 11/15/2042 (A)		369		84
FHLMC CMO, Ser 2012-4136, Cl SQ, IO
5.999%, 11/15/2042 (A)		547		119
FHLMC CMO, Ser 2013-4206, Cl CZ
3.000%, 05/15/2043		721		590
FHLMC CMO, Ser 2013-4210, Cl Z
3.000%, 05/15/2043		1,312		1,105
FHLMC CMO, Ser 2013-4217, Cl F
0.501%, 06/15/2043 (A)		1,750		1,709
FHLMC CMO, Ser 2013-4226, Cl GZ
3.000%, 07/15/2043		923		761
FHLMC GNMA CMO, Ser 1993-21, Cl L
6.250%, 10/25/2023		429		479
FHLMC Multifamily Structured Pass-Through Certificates, Ser K037, Cl X1, IO
1.044%, 01/25/2024 (A)		26,990		2,089


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

FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser 2011-K010, Cl A1
3.320%, 07/25/2020	$	61	$	65
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser 2012-K020, Cl A2
2.373%, 05/25/2022		7,310		7,151
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K007, Cl X1, IO
1.365%, 04/25/2020 (A)		10,833		572
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K008, Cl X1, IO
1.818%, 06/25/2020 (A)		3,805		293
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K009, Cl X1, IO
1.652%, 08/25/2020 (A)		3		—
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K015, Cl X1, IO
1.829%, 07/25/2021 (A)		6,804		655
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K016, Cl X1, IO
1.728%, 10/25/2021 (A)		2,252		211
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K017, Cl X1, IO
1.590%, 12/25/2021 (A)		3,533		302
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K021, Cl X1, IO
1.644%, 06/25/2022 (A)		5,922		569
FHLMC Multifamily Structured Pass-Through Certificates CMO, Ser K024, Cl X1, IO
1.022%, 09/25/2022 (A)		3,175		188
FHLMC Reference REMIC CMO, Ser 2006-R007, Cl ZA
6.000%, 05/15/2036		2,364		2,653
FHLMC STRIPS CMO, Ser 2006-239, Cl S30, IO
7.549%, 08/15/2036 (A)		876		183
FHLMC STRIPS CMO, Ser 2010-3747, Cl HI, IO
4.500%, 07/15/2037		2,368		238


98		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

FHLMC STRIPS CMO, Ser 2012-262, Cl 35
3.500%, 07/15/2042	$	3,173	$	3,258
FHLMC STRIPS CMO, Ser 2012-267, Cl F5
0.651%, 08/15/2042 (A)		2,704		2,705
FHLMC STRIPS CMO, Ser 2013-310, Cl PO, PO
0.000%, 09/15/2043		974		755
FHLMC TBA
3.500%, 06/01/2042		8,900		9,160
2.500%, 06/15/2027		13,300		13,514
FHLMC, Ser 2011-3806, Cl L
3.500%, 02/15/2026		570		588
FHLMC, Ser 2013-4161, Cl BA
2.500%, 12/15/2041		13,962		14,072
FHLMC, Ser 2013-4227, Cl VA
3.500%, 10/15/2037		1,300		1,335
FNMA
8.000%, 04/01/2015 to 11/01/2037		207		238
7.500%, 06/01/2030 to 04/01/2039		1,577		1,891
7.000%, 12/01/2015 to 02/01/2039		4,272		4,837
6.500%, 05/01/2017 to 07/01/2039		10,993		12,461
6.000%, 06/01/2016 to 11/01/2048		27,914		31,261
5.500%, 01/01/2018 to 04/01/2040		45,884		50,773
5.000%, 02/01/2020 to 05/01/2042		58,771		65,425
4.761%, 02/01/2020		684		773
4.666%, 07/01/2020		713		804
4.640%, 01/01/2021		963		1,077
4.540%, 01/01/2020		1,414		1,568
4.530%, 12/01/2019		3,842		4,303
4.500%, 07/01/2020 to 05/01/2044		37,456		40,607
4.399%, 02/01/2020		6,000		6,671
4.390%, 05/01/2021		993		1,106
4.369%, 02/01/2020		1,896		2,093
4.368%, 04/01/2020		2,133		2,375
4.340%, 06/01/2021		1,000		1,106
4.338%, 11/01/2021		5,988		6,673
4.317%, 07/01/2021		1,252		1,413
4.300%, 04/01/2021 to 07/01/2021		6,577		7,315
4.260%, 07/01/2021		1,000		1,107
4.250%, 02/01/2020 to 04/01/2021		3,674		4,047
4.240%, 06/01/2021		988		1,093
4.120%, 04/01/2020		1,139		1,254


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

4.066%, 07/01/2020	$	2,434	$	2,670
4.060%, 07/01/2021		1,000		1,100
4.050%, 01/01/2021		1,430		1,563
4.000%, 04/01/2019 to 08/01/2043		85,945		91,926
3.975%, 11/01/2020		778		854
3.940%, 07/01/2021		1,500		1,630
3.930%, 01/01/2021		995		1,087
3.820%, 06/01/2017		1,875		2,004
3.800%, 03/01/2018		1,907		2,056
3.770%, 09/01/2021		3,000		3,182
3.740%, 07/01/2020		1,347		1,456
3.670%, 07/01/2023		1,500		1,596
3.630%, 01/01/2018		2,000		2,141
3.625%, 11/25/2053		1,085		1,091
3.615%, 12/01/2020		3,766		4,014
3.590%, 12/01/2020		945		1,010
3.583%, 09/01/2020		6,631		7,095
3.520%, 01/01/2018		2,899		3,098
3.505%, 09/01/2020		4,701		5,005
3.500%, 07/01/2032 to 08/01/2043		63,836		65,837
3.430%, 10/01/2020		1,898		2,012
3.380%, 01/01/2018		1,500		1,599
3.290%, 10/01/2020		991		1,047
3.230%, 11/01/2020		1,463		1,540
3.220%, 07/24/2044		3,000		3,103
3.130%, 06/15/2044		1,758		1,834
3.090%, 06/01/2044		3,682		3,817
3.080%, 07/14/2044		5,176		5,404
3.030%, 12/01/2021		1,439		1,486
3.000%, 09/01/2033 to 03/01/2043		46,478		46,491
2.970%, 11/01/2018		1,409		1,480
2.941%, 05/01/2042 (A)		5,466		5,639
2.940%, 05/01/2022		967		990
2.800%, 07/14/2044		2,588		2,662
2.790%, 07/01/2022		1,000		1,013
2.763%, 06/01/2023		1,980		1,975
2.690%, 10/01/2017		1,459		1,521
2.670%, 07/01/2022		966		971
2.646%, 10/01/2022		8,278		8,243
2.600%, 06/01/2022		962		963
2.500%, 11/01/2026 to 10/01/2042		17,183		17,164
2.490%, 03/01/2023		1,750		1,721
2.470%, 09/01/2022		1,454		1,437
2.400%, 12/01/2022 to 02/01/2023		3,700		3,624
2.390%, 12/01/2022		1,750		1,708
2.380%, 12/01/2022		2,000		1,952
2.370%, 07/01/2019 to 11/01/2022		2,000		2,002


SEI Institutional Investments Trust / Annual Report / May 31, 2014			99

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


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

2.340%, 12/01/2022 to 01/01/2023	$	4,372	$	4,250
2.320%, 12/01/2022		1,459		1,419
2.280%, 11/01/2022		1,948		1,889
2.210%, 12/01/2022		3,591		3,469
2.200%, 07/01/2019		2,427		2,472
2.190%, 12/01/2022		1,947		1,879
2.100%, 06/01/2019		1,000		1,015
2.030%, 08/01/2019		2,030		2,046
2.000%, 12/01/2020		1,500		1,466
1.940%, 07/01/2019		1,000		1,006
1.690%, 12/01/2019		2,000		1,956
1.580%, 01/01/2020		1,943		1,900
1.470%, 12/01/2019		1,455		1,418
1.400%, 07/01/2017		2,500		2,529
FNMA ARM (A)
6.255%, 08/01/2036		102		111
6.022%, 05/01/2037		50		54
5.809%, 06/01/2036		17		19
5.256%, 12/01/2035		125		135
3.237%, 04/01/2044		7,644		7,943
3.010%, 12/01/2043		1,498		1,556
3.005%, 12/01/2043		1,719		1,784
3.003%, 12/01/2043		1,968		2,042
3.002%, 05/01/2044		1,826		1,903
2.978%, 01/01/2044		558		573
2.964%, 03/01/2044		1,448		1,505
2.939%, 02/01/2044 to 03/01/2044		5,119		5,314
2.934%, 04/01/2044		1,098		1,139
2.930%, 02/01/2044		2,203		2,285
2.789%, 11/01/2036		331		353
2.781%, 01/01/2044		1,731		1,781
2.769%, 06/01/2042		4,480		4,595
2.748%, 09/01/2037		14		14
2.700%, 10/01/2036		1,474		1,579
2.678%, 06/01/2036		602		648
2.592%, 05/01/2036		158		169
2.584%, 06/01/2036		635		684
2.569%, 07/01/2037		193		207
2.556%, 05/01/2043		894		898
2.529%, 03/01/2037		1,878		1,989
2.526%, 02/01/2044		1,279		1,322
2.520%, 07/01/2036		390		416
2.519%, 11/01/2036		513		552
2.512%, 06/01/2036		340		365
2.461%, 09/01/2037		345		370
2.446%, 12/01/2036		634		683
2.429%, 09/01/2036		358		390
2.428%, 07/01/2037		555		593
2.405%, 02/01/2037		616		658
2.390%, 08/01/2036		283		306


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
2.376%, 04/01/2037	$	488	$	523
2.297%, 10/01/2036		310		335
2.262%, 11/01/2037		269		286
2.261%, 09/01/2036		195		211
2.172%, 11/01/2037		460		486
1.823%, 01/01/2037		449		479
1.820%, 05/01/2037		1,428		1,474
1.799%, 09/01/2036 to 02/01/2037		560		594
1.704%, 07/01/2037		249		259
0.596%, 09/01/2022		1,170		1,178
0.546%, 10/01/2022 to 01/01/2023		4,216		4,252
0.516%, 01/01/2023		973		982
0.506%, 01/01/2023		1,945		1,940
0.496%, 01/01/2023		3,500		3,524
FNMA CMO, Ser 1991-113, Cl ZE
7.500%, 09/25/2021		131		148
FNMA CMO, Ser 1992-143, Cl M
8.000%, 09/25/2022		328		372
FNMA CMO, Ser 1992-41, Cl MA
8.000%, 08/25/2022		419		471
FNMA CMO, Ser 1992-69, Cl Z
8.000%, 05/25/2022		291		333
FNMA CMO, Ser 1993-149, Cl SH
11.500%, 08/25/2023 (A)		126		163
FNMA CMO, Ser 1993-75, Cl ZQ
6.500%, 05/25/2023		599		674
FNMA CMO, Ser 1993-99, Cl Z
7.000%, 07/25/2023		622		691
FNMA CMO, Ser 1994-31, Cl ZC
6.500%, 02/25/2024		513		568
FNMA CMO, Ser 1994-63, Cl PK
7.000%, 04/25/2024		452		521
FNMA CMO, Ser 1997-32, Cl PG
6.500%, 04/25/2027		335		373
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/2029		426		464
FNMA CMO, Ser 2000-18, Cl EC, PO
0.000%, 10/25/2023		136		131
FNMA CMO, Ser 2001-50, Cl BA
7.000%, 10/25/2041		458		526
FNMA CMO, Ser 2001-52, Cl YZ
6.500%, 10/25/2031		42		47
FNMA CMO, Ser 2001-71, Cl QE
6.000%, 12/25/2016		262		273
FNMA CMO, Ser 2001-79, Cl BA
7.000%, 03/25/2045		364		428


100		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

FNMA CMO, Ser 2002-10, Cl SB
18.835%, 03/25/2017 (A)	$	34	$	40
FNMA CMO, Ser 2002-33, Cl A2
7.500%, 06/25/2032		526		621
FNMA CMO, Ser 2002-90, Cl A1
6.500%, 06/25/2042		618		713
FNMA CMO, Ser 2002-95, Cl DB
6.000%, 01/25/2033		2,025		2,297
FNMA CMO, Ser 2003-124, Cl TS
9.800%, 01/25/2034 (A)		28		33
FNMA CMO, Ser 2003-129, Cl ME
5.000%, 08/25/2023		426		447
FNMA CMO, Ser 2003-131, Cl SK
15.895%, 01/25/2034 (A)		266		347
FNMA CMO, Ser 2003-17, Cl EQ
5.500%, 03/25/2023		1,860		2,045
FNMA CMO, Ser 2003-23, Cl EQ
5.500%, 04/25/2023		2,000		2,214
FNMA CMO, Ser 2003-35, Cl EA, PO
0.000%, 05/25/2033		133		116
FNMA CMO, Ser 2003-42, Cl EP
4.000%, 11/25/2022		14		14
FNMA CMO, Ser 2003-49, Cl YD
5.500%, 06/25/2023		339		354
FNMA CMO, Ser 2004-101, Cl HD
5.000%, 01/25/2020		1,858		1,962
FNMA CMO, Ser 2004-17, Cl H
5.500%, 04/25/2034		1,079		1,172
FNMA CMO, Ser 2004-46, Cl EP, PO
0.000%, 03/25/2034		325		312
FNMA CMO, Ser 2004-52, Cl NE
4.500%, 07/25/2033		136		144
FNMA CMO, Ser 2004-52, Cl PX, PO
0.000%, 09/25/2032		45		45
FNMA CMO, Ser 2004-61, Cl BO, PO
0.000%, 10/25/2032		112		112
FNMA CMO, Ser 2004-61, Cl FH
0.952%, 11/25/2032 (A)		651		665
FNMA CMO, Ser 2005-100, Cl BQ
5.500%, 11/25/2025		1,168		1,293
FNMA CMO, Ser 2005-106, Cl US
24.008%, 11/25/2035 (A)		583		909


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

FNMA CMO, Ser 2005-14, Cl BD
4.500%, 03/25/2020	$	941	$	994
FNMA CMO, Ser 2005-5, Cl PA
5.000%, 01/25/2035		659		716
FNMA CMO, Ser 2005-64, Cl PL
5.500%, 07/25/2035		804		904
FNMA CMO, Ser 2005-72, Cl SB
16.494%, 08/25/2035 (A)		184		245
FNMA CMO, Ser 2005-74, Cl CS
19.601%, 05/25/2035 (A)		316		448
FNMA CMO, Ser 2005-74, Cl SK
19.711%, 05/25/2035 (A)		242		343
FNMA CMO, Ser 2005-90, Cl ES
16.494%, 10/25/2035 (A)		218		288
FNMA CMO, Ser 2005-90, Cl PO, PO
0.000%, 09/25/2035		153		149
FNMA CMO, Ser 2006-104, Cl IC, IO
6.389%, 11/25/2036 (A)		1,319		285
FNMA CMO, Ser 2006-117, Cl GS, IO
6.498%, 12/25/2036 (A)		243		49
FNMA CMO, Ser 2006-118, Cl A2
0.201%, 12/25/2036 (A)		580		568
FNMA CMO, Ser 2006-125, Cl SM, IO
7.050%, 01/25/2037 (A)		1,552		294
FNMA CMO, Ser 2006-15, Cl OP, PO
0.000%, 03/25/2036		255		224
FNMA CMO, Ser 2006-23, Cl FK
0.402%, 04/25/2036 (A)		317		315
FNMA CMO, Ser 2006-27, Cl OH, PO
0.000%, 04/25/2036		260		251
FNMA CMO, Ser 2006-3, Cl DO, PO
0.000%, 03/25/2036		311		293
FNMA CMO, Ser 2006-31, Cl PD
5.500%, 11/25/2034		48		48
FNMA CMO, Ser 2006-33, Cl LS
29.465%, 05/25/2036 (A)		202		370
FNMA CMO, Ser 2006-44, Cl FP
0.552%, 06/25/2036 (A)		260		260
FNMA CMO, Ser 2006-44, Cl P, PO
0.000%, 12/25/2033		126		117
FNMA CMO, Ser 2006-46, Cl SW
23.641%, 06/25/2036 (A)		193		289


SEI Institutional Investments Trust / Annual Report / May 31, 2014			101

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


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

FNMA CMO, Ser 2006-51, Cl SP, IO
6.498%, 03/25/2036 (A)	$	282	$	39
FNMA CMO, Ser 2006-56, Cl CA
6.000%, 07/25/2036		397		439
FNMA CMO, Ser 2006-56, Cl FC
0.442%, 07/25/2036 (A)		320		320
FNMA CMO, Ser 2006-56, Cl PF
0.502%, 07/25/2036 (A)		386		387
FNMA CMO, Ser 2006-60, Cl DO, PO
0.000%, 04/25/2035		265		259
FNMA CMO, Ser 2006-60, Cl UO, PO
0.000%, 07/25/2036		604		571
FNMA CMO, Ser 2006-63, Cl ZH
6.500%, 07/25/2036		651		730
FNMA CMO, Ser 2006-78, Cl BZ
6.500%, 08/25/2036		390		436
FNMA CMO, Ser 2006-94, Cl GI, IO
6.498%, 10/25/2026 (A)		766		114
FNMA CMO, Ser 2007-100, Cl SM, IO
6.298%, 10/25/2037 (A)		892		126
FNMA CMO, Ser 2007-101, Cl A2
0.402%, 06/27/2036 (A)		1,108		1,090
FNMA CMO, Ser 2007-112, Cl SA, IO
6.298%, 12/25/2037 (A)		748		105
FNMA CMO, Ser 2007-114, Cl A6
0.350%, 10/27/2037 (A)		1,600		1,596
FNMA CMO, Ser 2007-116, Cl HI, IO
1.531%, 01/25/2038 (A)		1,135		85
FNMA CMO, Ser 2007-116, Cl PB
5.500%, 08/25/2035		3,156		3,445
FNMA CMO, Ser 2007-29, Cl SG
22.159%, 04/25/2037 (A)		165		240
FNMA CMO, Ser 2007-43, Cl FL
0.452%, 05/25/2037 (A)		130		130
FNMA CMO, Ser 2007-53, Cl SH, IO
5.948%, 06/25/2037 (A)		573		76
FNMA CMO, Ser 2007-54, Cl FA
0.552%, 06/25/2037 (A)		466		467
FNMA CMO, Ser 2007-60, Cl AX, IO
6.998%, 07/25/2037 (A)		1,185		204
FNMA CMO, Ser 2007-64, Cl FA
0.622%, 07/25/2037 (A)		52		52


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

FNMA CMO, Ser 2007-65, Cl KI, IO
6.468%, 07/25/2037 (A)	$	613	$	77
FNMA CMO, Ser 2007-68, Cl SC, IO
6.550%, 07/25/2037 (A)		769		120
FNMA CMO, Ser 2007-72, Cl EK, IO
6.248%, 07/25/2037 (A)		813		122
FNMA CMO, Ser 2007-79, Cl SB
23.458%, 08/25/2037 (A)		78		115
FNMA CMO, Ser 2007-85, Cl SG
15.869%, 09/25/2037 (A)		214		276
FNMA CMO, Ser 2007-92, Cl YS, IO
5.628%, 06/25/2037 (A)		721		80
FNMA CMO, Ser 2008-1, Cl BI, IO
5.758%, 02/25/2038 (A)		701		77
FNMA CMO, Ser 2008-20, Cl SA, IO
6.838%, 03/25/2038 (A)		455		71
FNMA CMO, Ser 2008-22, Cl SI, IO
6.280%, 03/25/2037 (A)		8,093		848
FNMA CMO, Ser 2008-24, Cl DY
5.000%, 04/25/2023		1,276		1,353
FNMA CMO, Ser 2008-24, Cl NA
6.750%, 06/25/2037		151		163
FNMA CMO, Ser 2008-24, Cl PF
0.802%, 02/25/2038 (A)		433		438
FNMA CMO, Ser 2008-32, Cl SA, IO
6.698%, 04/25/2038 (A)		233		35
FNMA CMO, Ser 2008-35, Cl IM, IO
0.642%, 10/25/2016 (A)		570		6
FNMA CMO, Ser 2008-4, Cl SD, IO
5.848%, 02/25/2038 (A)		1,728		200
FNMA CMO, Ser 2008-53, Cl CA
5.000%, 07/25/2023		2,461		2,627
FNMA CMO, Ser 2008-95, Cl BA
5.000%, 01/25/2024		643		711
FNMA CMO, Ser 2009-103, Cl MB
2.493%, 12/25/2039 (A)		518		531
FNMA CMO, Ser 2009-17, Cl QS, IO
6.498%, 03/25/2039 (A)		343		58
FNMA CMO, Ser 2009-20, Cl DT
4.500%, 04/25/2039		1,585		1,704


102		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

FNMA CMO, Ser 2009-52, Cl PI, IO
5.000%, 07/25/2039	$	489	$	70
FNMA CMO, Ser 2009-70, Cl CO, PO
0.000%, 01/25/2037		868		765
FNMA CMO, Ser 2009-84, Cl WS, IO
5.748%, 10/25/2039 (A)		380		51
FNMA CMO, Ser 2009-86, Cl BO, PO
0.000%, 03/25/2037		5,236		5,031
FNMA CMO, Ser 2009-86, Cl IP, IO
5.500%, 10/25/2039		308		47
FNMA CMO, Ser 2009-86, Cl OT, PO
0.000%, 10/25/2037		608		562
FNMA CMO, Ser 2009-86, Cl UI, IO
4.000%, 10/25/2014		687		7
FNMA CMO, Ser 2009-99, Cl SC, IO
6.028%, 12/25/2039 (A)		483		51
FNMA CMO, Ser 2010-1, Cl WA
6.185%, 02/25/2040 (A)		426		466
FNMA CMO, Ser 2010-100, Cl CS, IO
6.500%, 09/25/2040 (A)		2,886		437
FNMA CMO, Ser 2010-111, Cl AE
5.500%, 04/25/2038		1,499		1,605
FNMA CMO, Ser 2010-123, Cl PM
4.000%, 07/25/2040		3,600		3,833
FNMA CMO, Ser 2010-133, Cl A
5.500%, 05/25/2038		1,139		1,240
FNMA CMO, Ser 2010-142, Cl SM, IO
6.380%, 12/25/2040 (A)		1,107		136
FNMA CMO, Ser 2010-148, Cl MA
4.000%, 02/25/2039		543		558
FNMA CMO, Ser 2010-150, Cl SK, IO
6.291%, 01/25/2041 (A)		2,043		313
FNMA CMO, Ser 2010-16, Cl WA
6.436%, 03/25/2040 (A)		522		589
FNMA CMO, Ser 2010-23, Cl KS, IO
6.948%, 02/25/2040 (A)		589		90


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

FNMA CMO, Ser 2010-27, Cl AS, IO
6.328%, 04/25/2040 (A)	$	2,754	$	400
FNMA CMO, Ser 2010-35, Cl SB, IO
6.268%, 04/25/2040 (A)		625		89
FNMA CMO, Ser 2010-39, Cl OT, PO
0.000%, 10/25/2035		279		259
FNMA CMO, Ser 2010-45, Cl BD
4.500%, 11/25/2038		692		722
FNMA CMO, Ser 2010-64, Cl DM
5.000%, 06/25/2040		874		962
FNMA CMO, Ser 2010-68, Cl SA, IO
4.848%, 07/25/2040 (A)		2,528		301
FNMA CMO, Ser 2010-M5, Cl A1
2.259%, 07/25/2020		54		56
FNMA CMO, Ser 2011-117, Cl LS, IO
6.393%, 10/25/2040 (A)		4,639		871
FNMA CMO, Ser 2011-2, Cl WA
5.716%, 02/25/2051 (A)		444		474
FNMA CMO, Ser 2011-30, Cl LS, IO
2.249%, 04/25/2041 (A)		1,496		106
FNMA CMO, Ser 2011-43, Cl WA
5.899%, 05/25/2051 (A)		747		816
FNMA CMO, Ser 2011-75, Cl FA
0.702%, 08/25/2041 (A)		432		436
FNMA CMO, Ser 2011-90, Cl QI, IO
5.000%, 05/25/2034		3,667		457
FNMA CMO, Ser 2011-96, Cl SA, IO
6.400%, 10/25/2041 (A)		4,318		778
FNMA CMO, Ser 2011-M1, Cl A3
3.763%, 06/25/2021		1,500		1,606
FNMA CMO, Ser 2011-M2, Cl A3
3.764%, 07/25/2021		7,500		8,014
FNMA CMO, Ser 2011-M4, Cl A2
3.726%, 06/25/2021		2,500		2,681
FNMA CMO, Ser 2012-101, Cl FC
0.652%, 09/25/2042 (A)		905		901


SEI Institutional Investments Trust / Annual Report / May 31, 2014			103

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


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

FNMA CMO, Ser 2012-112, Cl FD
0.652%, 10/25/2042 (A)	$	923	$	922
FNMA CMO, Ser 2012-128, Cl SL, IO
6.000%, 11/25/2042 (A)		647		146
FNMA CMO, Ser 2012-128, Cl SQ, IO
6.000%, 11/25/2042 (A)		1,093		262
FNMA CMO, Ser 2012-130, Cl DC
3.000%, 12/25/2042		21,401		20,903
FNMA CMO, Ser 2012-133, Cl CS, IO
6.000%, 12/25/2042 (A)		2,151		446
FNMA CMO, Ser 2012-133, Cl SA, IO
6.000%, 12/25/2042 (A)		368		83
FNMA CMO, Ser 2012-134, Cl LC
3.000%, 12/25/2042		1,995		1,972
FNMA CMO, Ser 2012-134, Cl MS, IO
6.000%, 12/25/2042 (A)		1,027		224
FNMA CMO, Ser 2012-134, Cl SK, IO
6.000%, 12/25/2042 (A)		817		168
FNMA CMO, Ser 2012-137, Cl CF
0.452%, 08/25/2041 (A)		1,365		1,353
FNMA CMO, Ser 2012-139, Cl DI, IO
3.000%, 12/25/2027		2,323		277
FNMA CMO, Ser 2012-14, Cl FB
0.602%, 08/25/2037 (A)		759		764
FNMA CMO, Ser 2012-28, Cl B
6.500%, 06/25/2039		183		203
FNMA CMO, Ser 2012-46, Cl BA
6.000%, 05/25/2042		2,292		2,554
FNMA CMO, Ser 2012-47, Cl HF
0.552%, 05/25/2027 (A)		3,495		3,508
FNMA CMO, Ser 2012-70, Cl HS, IO
5.850%, 07/25/2042 (A)		8,098		1,700
FNMA CMO, Ser 2012-70, Cl YS, IO
6.500%, 02/25/2041 (A)		731		140
FNMA CMO, Ser 2012-74, Cl OA, PO
0.000%, 03/25/2042		146		134
FNMA CMO, Ser 2012-74, Cl SA, IO
6.500%, 03/25/2042 (A)		2,120		345


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

FNMA CMO, Ser 2012-75, Cl AO, PO
0.000%, 03/25/2042	$	292	$	269
FNMA CMO, Ser 2012-75, Cl NS, IO
6.448%, 07/25/2042 (A)		845		145
FNMA CMO, Ser 2012-89, Cl FD
0.602%, 04/25/2039 (A)		1,311		1,313
FNMA CMO, Ser 2012-93, Cl IB, IO
3.000%, 09/25/2027		8,989		1,125
FNMA CMO, Ser 2012-93, Cl SG, IO
5.950%, 09/25/2042 (A)		1,151		254
FNMA CMO, Ser 2012-97, Cl FB
0.652%, 09/25/2042 (A)		1,355		1,347
FNMA CMO, Ser 2012-M11, Cl FA
0.677%, 08/25/2019 (A)		1,192		1,194
FNMA CMO, Ser 2012-M12, Cl 1A
2.840%, 08/25/2022 (A)		8,117		8,248
FNMA CMO, Ser 2012-M15, Cl A
2.656%, 10/25/2022 (A)		6,998		6,935
FNMA CMO, Ser 2012-M8, Cl ASQ3
1.801%, 12/25/2019		400		398
FNMA CMO, Ser 2013-101, Cl BO, PO
0.000%, 10/25/2043		2,153		1,586
FNMA CMO, Ser 2013-101, Cl CO, PO
0.000%, 10/25/2043		4,907		3,947
FNMA CMO, Ser 2013-101, Cl DO, PO
0.000%, 10/25/2043		1,162		915
FNMA CMO, Ser 2013-121, Cl LB
3.000%, 12/25/2043		5,473		5,635
FNMA CMO, Ser 2013-128, Cl PO, PO
0.000%, 12/25/2043		1,460		1,158
FNMA CMO, Ser 2013-26, Cl HI, IO
3.000%, 04/25/2032		2,193		275
FNMA CMO, Ser 2013-67, Cl KS, IO
5.950%, 07/25/2043 (A)		1,037		225
FNMA CMO, Ser 2013-9, Cl BC
6.500%, 07/25/2042		4,892		5,467


104		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

FNMA CMO, Ser 2013-9, Cl CB
5.500%, 04/25/2042	$	4,730	$	5,300
FNMA CMO, Ser 2013-92, Cl PO, PO
0.000%, 09/25/2043		965		769
FNMA Grantor Trust CMO, Ser 2000-T6, Cl A1
7.500%, 06/25/2030		783		910
FNMA Grantor Trust CMO, Ser 2001-T10, Cl A2
7.500%, 12/25/2041		1,364		1,586
FNMA Grantor Trust CMO, Ser 2002-T19, Cl A2
7.000%, 07/25/2042		509		586
FNMA Grantor Trust CMO, Ser 2004-T3, Cl 1A3
7.000%, 02/25/2044		570		652
FNMA Interest STRIPS CMO, Ser 2012-409, Cl C17, IO
4.000%, 11/25/2041		2,576		581
FNMA Interest STRIPS CMO, Ser 1997-293, Cl 1, PO
0.000%, 12/01/2024		294		284
FNMA Interest STRIPS CMO, Ser 1998-300, Cl 1, PO
0.000%, 09/01/2024		185		179
FNMA Interest STRIPS CMO, Ser 2002-323, Cl 16, IO
7.000%, 01/25/2032		471		83
FNMA Interest STRIPS CMO, Ser 2003-334, Cl 16, IO
6.500%, 02/01/2033		682		154
FNMA Interest STRIPS CMO, Ser 2012-409, Cl C1, IO
3.000%, 11/25/2026		5,244		518
FNMA Interest STRIPS CMO, Ser 2012-409, Cl C2, IO
3.000%, 04/25/2027		3,533		412
FNMA Interest STRIPS CMO, Ser 2012-409, Cl C13, IO
3.500%, 11/25/2041		2,051		424
FNMA Interest STRIPS CMO, Ser 2012-409, Cl C22, IO
4.500%, 11/25/2039		3,137		590
FNMA Interest STRIPS CMO, Ser 2012-412, Cl F2
0.652%, 08/25/2042 (A)		1,354		1,354
FNMA TBA
5.000%, 06/01/2038		13,000		14,365
4.500%, 09/01/2033 to 07/25/2044		104,560		112,841
4.000%, 07/13/2039 to 07/25/2044		52,685		55,572


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

3.500%, 06/15/2026 to 07/25/2044	$	51,875	$	53,576
3.000%, 08/25/2026 to 07/25/2044		113,570		114,687
2.500%, 06/25/2027 to 07/25/2029		15,975		16,212
FNMA Whole Loan CMO, Ser 2003-W1, Cl 2A
6.668%, 12/25/2042 (A)		736		870
FNMA Whole Loan CMO, Ser 2003-W17, Cl 1A7
5.750%, 08/25/2033		927		1,012
FNMA Whole Loan CMO, Ser 2003-W2, Cl 2A9
5.900%, 07/25/2042		1,014		1,148
FNMA Whole Loan CMO, Ser 2003-W6, Cl 3A
6.500%, 09/25/2042		381		435
FNMA Whole Loan CMO, Ser 2003-W8, Cl 2A
7.000%, 10/25/2042		330		378
FNMA Whole Loan CMO, Ser 2004-W1, Cl 2A2
7.000%, 12/25/2033		625		728
FNMA Whole Loan CMO, Ser 2004-W10, Cl A6
5.750%, 08/25/2034		2,000		2,236
FNMA Whole Loan CMO, Ser 2004-W2, Cl 2A2
7.000%, 02/25/2044		596		692
FNMA Whole Loan CMO, Ser 2004-W9, Cl 2A1
6.500%, 02/25/2044		524		597
FNMA Whole Loan CMO, Ser 2005-W3, Cl 2AF
0.372%, 03/25/2045 (A)		1,593		1,590
FNMA Whole Loan CMO, Ser 2006-W1, Cl 1A3
7.500%, 12/25/2045		237		277
FNMA Whole Loan CMO, Ser 2006-W2, Cl 1AF1
0.372%, 02/25/2036 (A)		374		372
FNMA Whole Loan CMO, Ser 2007-W1, Cl 1AF1
0.412%, 11/25/2046 (A)		801		796
FNMA Whole Loan CMO, Ser 2007-W7, Cl 1A4
38.266%, 07/25/2037 (A)		27		41
FNMA Whole Loan CMO, Ser 2009-W1, Cl A
6.000%, 12/25/2049		1,155		1,307
FNMA, Ser M3, Cl X2, IO
0.136%, 01/25/2024 (A)		68,888		661


SEI Institutional Investments Trust / Annual Report / May 31, 2014			105

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


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

FREMF Mortgage Trust, Ser K714, Cl B
3.856%, 01/25/2047 (A) (B)	$	730	$	755
FREMF Mortgage Trust, Ser K714, Cl C
3.856%, 01/25/2047 (A) (B)		390		390
GNMA
9.500%, 12/15/2020		4		4
7.500%, 10/15/2037 to 09/20/2038		683		797
7.000%, 12/20/2017 to 06/15/2035		2,557		2,949
6.500%, 01/15/2024 to 02/15/2039		3,627		4,144
6.000%, 12/15/2023 to 10/20/2040		12,243		14,026
5.000%, 07/20/2040 to 11/20/2040		909		1,009
4.500%, 01/20/2040 to 07/20/2041		16,292		17,787
GNMA ARM
1.625%, 04/20/2028 to 07/20/2034 (A)		641		663
1.550%, 01/20/2060 (A)		1,289		1,324
GNMA CMO, Ser 2001-18, Cl WH
31.970%, 04/20/2031 (A)		72		123
GNMA CMO, Ser 2001-22, Cl PS
20.615%, 03/17/2031 (A)		490		777
GNMA CMO, Ser 2001-61, Cl Z
6.500%, 12/20/2031		1,199		1,357
GNMA CMO, Ser 2002-23, Cl SD
20.537%, 04/16/2032 (A)		692		1,112
GNMA CMO, Ser 2002-51, Cl SG
31.841%, 04/20/2031 (A)		60		113
GNMA CMO, Ser 2002-57, Cl SB
110.234%, 08/16/2032		58		275
GNMA CMO, Ser 2002-69, Cl SC
16.172%, 02/20/2032 (A)		10		10
GNMA CMO, Ser 2003-60, Cl GS
12.165%, 05/16/2033 (A)		65		78
GNMA CMO, Ser 2003-75, Cl ZX
6.000%, 09/16/2033		2,907		3,263
GNMA CMO, Ser 2003-97, Cl SA, IO
6.399%, 11/16/2033 (A)		368		73
GNMA CMO, Ser 2004-28, Cl SV
8.851%, 04/20/2034 (A)		535		589
GNMA CMO, Ser 2004-34, Cl CS
19.576%, 02/20/2034 (A)		38		54


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

GNMA CMO, Ser 2004-71, Cl ST
7.000%, 09/20/2034 (A)	$	172		$	187
GNMA CMO, Ser 2004-85, Cl PO, PO
0.000%, 01/17/2033		26			25
GNMA CMO, Ser 2004-87, Cl SB
7.499%, 03/17/2033 (A)		114	��		125
GNMA CMO, Ser 2004-93, Cl PC
5.000%, 04/16/2034		78			83
GNMA CMO, Ser 2005-3, Cl SB, IO
5.951%, 01/20/2035 (A)		755			112
GNMA CMO, Ser 2005-7, Cl JM
16.388%, 05/18/2034 (A)		93			105
GNMA CMO, Ser 2005-92, Cl PB
6.000%, 12/20/2035		1,000			1,169
GNMA CMO, Ser 2006-16, Cl GS, IO
6.836%, 04/20/2036 (A)		901			141
GNMA CMO, Ser 2006-34, Cl PO, PO
0.000%, 07/20/2036		70			60
GNMA CMO, Ser 2006-38, Cl SG, IO
6.501%, 09/20/2033 (A)		517			18
GNMA CMO, Ser 2006-38, Cl SW, IO
6.351%, 06/20/2036 (A)		565			66
GNMA CMO, Ser 2007-17, Cl AF
0.351%, 04/16/2037 (A)		514			513
GNMA CMO, Ser 2007-26, Cl SW, IO
6.051%, 05/20/2037 (A)		1,145			167
GNMA CMO, Ser 2007-27, Cl SD, IO
6.051%, 05/20/2037 (A)		452			66
GNMA CMO, Ser 2007-42, Cl SB, IO
6.601%, 07/20/2037 (A)		659			107
GNMA CMO, Ser 2007-45, Cl QA, IO
6.491%, 07/20/2037 (A)		407			68
GNMA CMO, Ser 2007-72, Cl USIO, IO
6.401%, 11/20/2037 (A)		439			58
GNMA CMO, Ser 2007-78, Cl SA, IO
6.379%, 12/16/2037 (A)		7,460			1,125
GNMA CMO, Ser 2007-81, Cl SP, IO
6.501%, 12/20/2037 (A)		558			92


106		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

GNMA CMO, Ser 2007-82, Cl SA, IO
6.381%, 12/20/2037 (A)	$	365	$	55
GNMA CMO, Ser 2007-9, Cl CI, IO
6.051%, 03/20/2037 (A)		549		82
GNMA CMO, Ser 2008-10, Cl S, IO
5.681%, 02/20/2038 (A)		676		86
GNMA CMO, Ser 2008-2, Cl MS, IO
7.009%, 01/16/2038 (A)		406		69
GNMA CMO, Ser 2008-29, Cl PO, PO
0.000%, 02/17/2033		138		135
GNMA CMO, Ser 2008-33, Cl XS, IO
7.549%, 04/16/2038 (A)		263		58
GNMA CMO, Ser 2008-55, Cl SA, IO
6.051%, 06/20/2038 (A)		602		89
GNMA CMO, Ser 2008-95, Cl DS, IO
7.151%, 12/20/2038 (A)		942		178
GNMA CMO, Ser 2009-102, Cl SM, IO
6.249%, 06/16/2039 (A)		1,101		121
GNMA CMO, Ser 2009-106, Cl AS, IO
6.249%, 11/16/2039 (A)		1,125		170
GNMA CMO, Ser 2009-106, Cl KS, IO
6.251%, 11/20/2039 (A)		11,232		1,572
GNMA CMO, Ser 2009-14, Cl KI, IO
6.500%, 03/20/2039		362		70
GNMA CMO, Ser 2009-14, Cl NI, IO
6.500%, 03/20/2039		18		4
GNMA CMO, Ser 2009-18, Cl PI, IO
5.500%, 11/16/2037		683		81
GNMA CMO, Ser 2009-22, Cl SA, IO
6.121%, 04/20/2039 (A)		950		137
GNMA CMO, Ser 2009-24, Cl DS, IO
6.151%, 03/20/2039 (A)		402		40
GNMA CMO, Ser 2009-25, Cl SE, IO
7.451%, 09/20/2038 (A)		360		73
GNMA CMO, Ser 2009-31, Cl TS, IO
6.151%, 03/20/2039 (A)		860		113


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

GNMA CMO, Ser 2009-33, Cl TI, IO
6.000%, 05/20/2039	$	150	$	30
GNMA CMO, Ser 2009-42, Cl IY, IO
1.000%, 06/16/2037 (A)		1,242		41
GNMA CMO, Ser 2009-42, Cl SC, IO
5.931%, 06/20/2039 (A)		299		42
GNMA CMO, Ser 2009-43, Cl SA, IO
5.801%, 06/20/2039 (A)		760		100
GNMA CMO, Ser 2009-44, Cl MV
6.000%, 04/20/2020		935		977
GNMA CMO, Ser 2009-6, Cl SH, IO
5.891%, 02/20/2039 (A)		648		85
GNMA CMO, Ser 2009-65, Cl IQ, IO
6.000%, 12/20/2038		400		61
GNMA CMO, Ser 2009-65, Cl TS, IO
6.251%, 12/20/2038 (A)		1,199		142
GNMA CMO, Ser 2009-66, Cl LC
6.000%, 08/16/2039		2,245		2,646
GNMA CMO, Ser 2009-66, Cl XS, IO
6.649%, 07/16/2039 (A)		118		19
GNMA CMO, Ser 2009-67, Cl SA, IO
5.899%, 08/16/2039 (A)		733		99
GNMA CMO, Ser 2009-72, Cl SM, IO
6.099%, 08/16/2039 (A)		1,116		167
GNMA CMO, Ser 2009-75, Cl VM
5.000%, 12/20/2019		728		779
GNMA CMO, Ser 2009-79, Cl OK, PO
0.000%, 11/16/2037		677		635
GNMA CMO, Ser 2009-8, Cl PS, IO
6.149%, 08/16/2038 (A)		103		15
GNMA CMO, Ser 2009-83, Cl TS, IO
5.951%, 08/20/2039 (A)		751		103
GNMA CMO, Ser 2010-106, Cl SH, IO
5.851%, 08/20/2040 (A)		1,389		281
GNMA CMO, Ser 2010-14, Cl AO, PO
0.000%, 12/20/2032		310		291


SEI Institutional Investments Trust / Annual Report / May 31, 2014			107

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


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

GNMA CMO, Ser 2010-14, Cl BO, PO
0.000%, 11/20/2035	$	366	$	319
GNMA CMO, Ser 2010-14, Cl CO, PO
0.000%, 08/20/2035		425		367
GNMA CMO, Ser 2010-144, Cl BI, IO
4.000%, 09/16/2037		3,265		359
GNMA CMO, Ser 2010-157, Cl OP, PO
0.000%, 12/20/2040		1,112		894
GNMA CMO, Ser 2010-31, Cl GS, IO
6.348%, 03/20/2039 (A)		651		82
GNMA CMO, Ser 2010-4, Cl NS, IO
6.239%, 01/16/2040 (A)		14,405		2,287
GNMA CMO, Ser 2010-4, Cl SL, IO
6.249%, 01/16/2040 (A)		302		46
GNMA CMO, Ser 2010-47, Cl PX, IO
6.551%, 06/20/2037 (A)		1,750		300
GNMA CMO, Ser 2010-47, Cl XN, IO
6.399%, 04/16/2034 (A)		134		6
GNMA CMO, Ser 2010-59, Cl LB
4.500%, 10/20/2039		2,900		3,129
GNMA CMO, Ser 2010-7, Cl EA
5.000%, 06/16/2038		895		989
GNMA CMO, Ser 2010-85, Cl HS, IO
6.496%, 01/20/2040 (A)		1,048		163
GNMA CMO, Ser 2010-H10, Cl FC
1.161%, 05/20/2060 (A)		4,646		4,720
GNMA CMO, Ser 2010-H17, Cl XQ
5.245%, 07/20/2060 (A)		1,825		2,068
GNMA CMO, Ser 2010-H26, Cl LF
0.518%, 08/20/2058 (A)		6,296		6,266
GNMA CMO, Ser 2011-135, Cl SN, IO
5.949%, 10/16/2041 (A)		1,397		266
GNMA CMO, Ser 2011-146, Cl EI, IO
5.000%, 11/16/2041		127		30
GNMA CMO, Ser 2011-163, Cl WA
5.835%, 12/20/2038 (A)		720		802


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

GNMA CMO, Ser 2011-H09, Cl AF
0.668%, 03/20/2061 (A)	$	1,608	$	1,603
GNMA CMO, Ser 2012-100, Cl IO, IO
0.826%, 08/16/2052 (A)		3,954		261
GNMA CMO, Ser 2012-124, Cl AS, IO
6.049%, 10/16/2042 (A)		1,901		388
GNMA CMO, Ser 2012-141, Cl WC
3.781%, 01/20/2042 (A)		836		874
GNMA CMO, Ser 2012-61, Cl FM
0.551%, 05/16/2042 (A)		1,180		1,179
GNMA CMO, Ser 2012-66, Cl CI, IO
3.500%, 02/20/2038		2,424		359
GNMA CMO, Ser 2012-98, Cl SA, IO
5.946%, 08/16/2042 (A)		1,730		296
GNMA CMO, Ser 2012-H15, Cl FA
0.601%, 05/20/2062 (A)		1,308		1,309
GNMA CMO, Ser 2012-H21, Cl CF
0.851%, 05/20/2061 (A)		2,196		2,207
GNMA CMO, Ser 2012-H21, Cl DF
0.801%, 05/20/2061 (A)		1,469		1,475
GNMA CMO, Ser 2012-H22, Cl FD
0.621%, 01/20/2061 (A)		2,414		2,412
GNMA CMO, Ser 2012-H24, Cl FA
0.601%, 03/20/2060 (A)		1,275		1,276
GNMA CMO, Ser 2012-H24, Cl FE
0.751%, 10/20/2062 (A)		1,500		1,506
GNMA CMO, Ser 2012-H24, Cl FG
0.581%, 04/20/2060 (A)		2,160		2,162
GNMA CMO, Ser 2012-H26, Cl MA
0.701%, 07/20/2062 (A)		1,455		1,457
GNMA CMO, Ser 2012-H27, Cl FB
0.651%, 10/20/2062 (A)		3,258		3,258
GNMA CMO, Ser 2012-H28, Cl FA
0.731%, 09/20/2062 (A)		2,343		2,349
GNMA CMO, Ser 2012-H30, Cl JA
0.631%, 01/20/2060 (A)		1,394		1,396


108		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

GNMA CMO, Ser 2012-H30, Cl PA
0.601%, 11/20/2059 (A)	$	1,190	$	1,191
GNMA CMO, Ser 2013-152, Cl HS, IO
6.548%, 06/20/2043 (A)		2,785		578
GNMA CMO, Ser 2013-187, Cl S, IO
6.001%, 12/20/2043 (A)		284		59
GNMA CMO, Ser 2013-H01, Cl FA
1.650%, 01/20/2063		3,598		3,588
GNMA CMO, Ser 2013-H01, Cl JA
0.471%, 01/20/2063 (A)		1,449		1,431
GNMA CMO, Ser 2013-H01, Cl TA
0.651%, 01/20/2063 (A)		1,920		1,920
GNMA CMO, Ser 2013-H04, Cl BA
1.650%, 02/20/2063		1,508		1,503
GNMA CMO, Ser 2014-H04, Cl FB
0.801%, 02/20/2064 (A)		3,040		3,052
GNMA, Ser 112, Cl IO, IO
0.858%, 02/16/2053 (A)		31,492		2,124
GNMA, Ser 114, Cl IO, IO
1.033%, 01/16/2053 (A)		9,618		861
GNMA, Ser 125, Cl IO, IO
0.858%, 02/16/2053 (A)		15,617		1,096
GNMA, Ser 142, Cl IO, IO
1.157%, 04/16/2054 (A)		22,678		1,487
0.951%, 09/16/2046 (A)		43,273		2,213
GNMA, Ser 145, Cl IO, IO
1.124%, 09/16/2044 (A)		12,560		973
GNMA, Ser 163, Cl IO, IO
1.215%, 02/16/2046 (A)		12,238		1,017
GNMA, Ser 193, Cl AB
2.000%, 12/16/2049		2,035		2,030
GNMA, Ser 2013-153, Cl AB
2.900%, 06/16/2044 (A)		1,598		1,624
GNMA, Ser 2013-154, Cl AB
2.900%, 02/16/2044 (A)		4,821		4,899
GNMA, Ser 2013-178, Cl A
2.250%, 03/16/2035		3,100		3,110
GNMA, Ser 2013-178, Cl IO, IO
0.947%, 06/16/2055 (A)		7,646		498
GNMA, Ser 2013-63, Cl IO, IO
0.773%, 09/16/2051 (A)		48,956		3,305
GNMA, Ser 27, Cl IO, IO
1.290%, 04/16/2053 (A)		14,169		949
GNMA, Ser 44, Cl IO, IO
0.981%, 03/16/2049 (A)		20,861		1,301
GNMA, Ser 47, Cl IA, IO
1.385%, 02/16/2048 (A)		13,646		1,138


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

GNMA, Ser 50, Cl IO, IO
1.041%, 09/16/2055 (A)	$	13,393	$	1,021
GNMA, Ser 74, Cl C
4.244%, 05/16/2041 (A)		5,000		5,324
GNMA TBA
4.500%, 06/01/2039 to 08/15/2039		18,900		20,533
4.000%, 06/01/2039 to 06/20/2044		55,765		59,415
3.500%, 06/15/2041 to 06/15/2044		37,620		39,149
3.000%, 06/20/2044		7,280		7,332
NCUA Guaranteed Notes CMO, Ser 2010-C1, Cl A2
2.900%, 10/29/2020		1,100		1,145
NCUA Guaranteed Notes CMO, Ser 2010-C1, Cl APT
2.650%, 10/29/2020		5,074		5,222
NCUA Guaranteed Notes CMO, Ser 2010-R1, Cl 1A
0.602%, 10/07/2020 (A)		8,207		8,257
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 1A
0.522%, 11/06/2017 (A)		3,470		3,478
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 2A
0.622%, 11/05/2020 (A)		2,848		2,861
NCUA Guaranteed Notes CMO, Ser 2010-R3, Cl 1A
0.712%, 12/08/2020 (A)		1,250		1,261
NCUA Guaranteed Notes CMO, Ser 2010-R3, Cl 2A
0.712%, 12/08/2020 (A)		443		447
NCUA Guaranteed Notes CMO, Ser 2010-R3, Cl 3A
2.400%, 12/08/2020		260		266
NCUA Guaranteed Notes CMO, Ser 2011-R1, Cl 1A
0.602%, 01/08/2020 (A)		64		64
NCUA Guaranteed Notes CMO, Ser 2011-R2, Cl 1A
0.552%, 02/06/2020 (A)		742		745

				1,916,585


Non-Agency Mortgage-Backed Obligations — 7.3%
A10 Securitization LLC, Ser 2012-1, Cl A
3.492%, 04/15/2024 (B)		396		397
A10 Securitization LLC, Ser 2013-2, Cl B
4.380%, 11/15/2027 (B)		250		251
AAM ACE Resecuritization Trust, Ser 2011-1, Cl A20
0.349%, 02/02/2037 (A) (B)		183		179


SEI Institutional Investments Trust / Annual Report / May 31, 2014			109

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


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

American General Mortgage Loan Trust, Ser 2009-1, Cl A7
5.750%, 09/25/2048 (A) (B)	$	499	$	500
American General Mortgage Loan Trust, Ser 2010-1A, Cl A3
5.650%, 03/25/2058 (A) (B)		570		586
ASG Resecuritization Trust, Ser 2009-2, Cl A55
4.826%, 05/24/2036 (A) (B)		79		80
ASG Resecuritization Trust, Ser 2009-2, Cl G60
4.826%, 05/24/2036 (A) (B)		400		407
ASG Resecuritization Trust, Ser 2009-3, Cl A65
2.075%, 03/26/2037 (A) (B)		850		850
ASG Resecuritization Trust, Ser 2009-4, Cl A60
6.000%, 06/28/2037 (B)		381		395
ASG Resecuritization Trust, Ser 2011-1, Cl 3A50
2.438%, 11/28/2035 (A) (B)		425		417
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 1A1
6.000%, 01/25/2034		212		224
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 2A1
6.000%, 01/25/2034		430		448
Banc of America Alternative Loan Trust, Ser 2003-7, Cl 1CB1
5.500%, 09/25/2033		318		331
Banc of America Alternative Loan Trust, Ser 2003-7, Cl 2A4
5.000%, 09/25/2018		298		302
Banc of America Alternative Loan Trust, Ser 2003-9, Cl 1CB2
5.500%, 11/25/2033		154		157
Banc of America Alternative Loan Trust, Ser 2004-1, Cl 5A1
5.500%, 02/25/2019		202		207
Banc of America Alternative Loan Trust, Ser 2004-8, Cl 3A1
5.500%, 09/25/2019		213		223
Banc of America Alternative Loan Trust, Ser 2006-8, Cl 3A1
6.123%, 11/25/2021 (A)		125		122


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

Banc of America Alternative Loan Trust, Ser 2007-1, Cl 2A1
6.366%, 04/25/2037 (A)	$	345	$	286
Banc of America Commercial Mortgage, Ser 2005-2, Cl A5
4.857%, 07/10/2043 (A)		687		705
Banc of America Commercial Mortgage, Ser 2005-3, Cl A4
4.668%, 07/10/2043		500		512
Banc of America Commercial Mortgage, Ser 2005-3, Cl AM
4.727%, 07/10/2043		1,050		1,081
Banc of America Commercial Mortgage, Ser 2005-5, Cl A4
5.115%, 10/10/2045 (A)		289		302
Banc of America Commercial Mortgage, Ser 2005-6, Cl A4
5.350%, 09/10/2047 (A)		70		73
Banc of America Commercial Mortgage, Ser 2006-1, Cl A4
5.372%, 09/10/2045 (A)		500		529
Banc of America Commercial Mortgage, Ser 2006-1, Cl AM
5.421%, 09/10/2045 (A)		554		591
Banc of America Commercial Mortgage, Ser 2006-3, Cl A4
5.889%, 07/10/2044 (A)		810		877
Banc of America Commercial Mortgage, Ser 2006-4, Cl A4
5.634%, 07/10/2046		782		845
Banc of America Commercial Mortgage, Ser 2006-5, Cl A4
5.414%, 09/10/2047		490		527
Banc of America Commercial Mortgage, Ser 2006-5, Cl AM
5.448%, 09/10/2047		2,370		2,547
Banc of America Commercial Mortgage, Ser 5, Cl A4
5.492%, 02/10/2051		300		326
Banc of America Funding, Ser 2003-2, Cl 1A1
6.500%, 06/25/2032		19		20
Banc of America Funding, Ser 2004-2, Cl 1CB1
5.750%, 09/20/2034		270		292
Banc of America Funding, Ser 2004-C, Cl 1A1
5.082%, 12/20/2034 (A)		129		129
Banc of America Funding, Ser 2005-B, Cl 2A1
2.682%, 04/20/2035 (A)		3,150		2,874
Banc of America Funding, Ser 2006-G, Cl 2A3
0.322%, 07/20/2036 (A)		1,471		1,466


110		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

Banc of America Funding, Ser 2010- R11A, Cl 1A6
5.159%, 08/26/2035 (A) (B)	$	340	$	348
Banc of America Funding, Ser 2010-R5, Cl 1A1
5.500%, 10/26/2037 (B)		164		167
Banc of America Funding, Ser 2012-R6, Cl 1A1
3.000%, 10/26/2039 (B)		1,538		1,529
Banc of America Mortgage Securities, Ser 2003-3, Cl 1A7
5.500%, 05/25/2033		383		399
Banc of America Mortgage Securities, Ser 2003-3, Cl 2A1
0.702%, 05/25/2018 (A)		97		93
Banc of America Mortgage Securities, Ser 2003-6, Cl 2A1
0.602%, 08/25/2018 (A)		69		68
Banc of America Mortgage Securities, Ser 2003-A, Cl 2A2
2.978%, 02/25/2033 (A)		3		3
Banc of America Mortgage Securities, Ser 2003-E, Cl 2A2
2.857%, 06/25/2033 (A)		195		197
Banc of America Mortgage Securities, Ser 2004-3, Cl 1A26
5.500%, 04/25/2034		316		326
Banc of America Mortgage Securities, Ser 2004-3, Cl 3A1
5.000%, 04/25/2019		76		78
Banc of America Mortgage Securities, Ser 2004-5, Cl 4A1
4.750%, 06/25/2019		55		55
Banc of America Mortgage Securities, Ser 2004-9, Cl 3A1
6.500%, 09/25/2032		72		76
Banc of America Re-Remic Trust, Ser 2012-PARK, Cl A
2.959%, 12/10/2030 (B)		411		407
Bayview Commercial Asset Trust, Ser 2005-3A, Cl A1
0.470%, 11/25/2035 (A) (B)		4,318		3,754
Bayview Commercial Asset Trust, Ser 2006-4A, Cl A1
0.380%, 12/25/2036 (A) (B)		1,915		1,690
BB-UBS Trust, Ser 2012-SHOW, Cl A
3.430%, 11/05/2036 (B)		900		894
BB-UBS Trust, Ser 2012-TFT, Cl A
2.892%, 06/05/2030 (B)		1,500		1,474
BCAP LLC Trust, Ser 2009-RR10, Cl 17A1
5.750%, 06/26/2037 (B)		258		263


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
BCAP LLC Trust, Ser 2009-RR13, Cl 17A2
5.500%, 04/26/2037 (A) (B)	$	424	$	440
BCAP LLC Trust, Ser 2009-RR5, Cl 8A1
5.500%, 11/26/2034 (B)		509		525
BCAP LLC Trust, Ser 2010-RR12, Cl 2A5
4.500%, 01/26/2036 (A) (B)		470		476
BCAP LLC Trust, Ser 2010-RR5, Cl 2A5
5.365%, 04/26/2037 (A) (B)		530		541
BCAP LLC Trust, Ser 2010-RR7, Cl 1A5
4.977%, 04/26/2035 (A) (B)		106		105
BCAP LLC Trust, Ser 2010-RR7, Cl 2A1
2.202%, 07/26/2045 (A) (B)		803		810
BCAP LLC Trust, Ser 2010-RR7, Cl 16A1
0.830%, 02/26/2047 (A) (B)		185		183
BCAP LLC Trust, Ser 2010-RR8, Cl 3A4
5.059%, 05/26/2035 (A) (B)		700		664
BCAP LLC Trust, Ser 2011-RR10, Cl 2A1
1.049%, 09/26/2037 (A) (B)		765		700
BCAP LLC Trust, Ser 2011-RR4, Cl 6A3
5.000%, 08/26/2037 (A) (B)		713		725
BCAP LLC Trust, Ser 2011-RR5, Cl 11A3
0.304%, 05/28/2036 (A) (B)		549		518
BCAP LLC Trust, Ser 2011-RR5, Cl 14A3
2.697%, 07/26/2036 (A) (B)		241		240
BCAP LLC Trust, Ser 2012-RR10, Cl 3A1
0.344%, 05/26/2036 (A) (B)		1,341		1,266
BCAP LLC Trust, Ser 2012-RR2, Cl 1A1
0.322%, 08/26/2036 (A) (B)		448		436
BCAP LLC Trust, Ser 2012-RR3, Cl 2A5
2.096%, 05/26/2037 (A) (B)		478		479
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 14A
2.961%, 05/25/2034 (A)		91		92
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 24A
2.625%, 05/25/2034 (A)		301		290


SEI Institutional Investments Trust / Annual Report / May 31, 2014			111

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


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

Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-5, Cl A1
2.180%, 08/25/2035 (A)	$	279	$	283
Bear Stearns Alt-A Trust, Ser 2004-13, Cl A1
0.890%, 11/25/2034 (A)		35		35
Bear Stearns Alt-A Trust, Ser 2004-7, Cl 2A1
2.536%, 08/25/2034 (A)		2,325		2,355
Bear Stearns Alternative Trust, Ser 2005-2, Cl 2A4
2.609%, 04/25/2035 (A)		175		169
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR7, Cl A2
4.945%, 02/11/2041		25		25
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR8, Cl X1, IO
0.931%, 06/11/2041 (A) (B)		12,594		71
Bear Stearns Commercial Mortgage Securities, Ser 2005-T18, Cl A4
4.933%, 02/13/2042 (A)		142		145
Bear Stearns Commercial Mortgage Securities, Ser 2006-PW11, Cl A4
5.607%, 03/11/2039 (A)		300		318
Bear Stearns Commercial Mortgage Securities, Ser 2006-T22, Cl A4
5.761%, 04/12/2038 (A)		4,700		5,016
Bear Stearns Commercial Mortgage Securities, Ser 2006-T24, Cl A4
5.537%, 10/12/2041		296		322
Bear Stearns Commercial Mortgage Securities, Ser 2007-PW10, Cl A4
5.405%, 12/11/2040 (A)		400		418
Bear Stearns Commercial Mortgage Securities, Ser 2007-PW18, Cl AM
6.084%, 06/11/2050 (A)		1,050		1,194
Bear Stearns Commercial Mortgage Securities, Ser 2007-PWR18, Cl AMA
6.087%, 06/11/2050 (A)		2,250		2,521
CAM Mortgage Trust, Ser 2014-1, Cl A
3.352%, 12/15/2053 (B)		207		208


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

CD Commercial Mortgage Trust, Ser 2005-CD1, Cl AJ
5.402%, 07/15/2044 (A)	$	600	$	629
CD Commercial Mortgage Trust, Ser 2006-CD2, Cl AM
5.534%, 01/15/2046 (A)		200		213
CD Commercial Mortgage Trust, Ser 2006-CD2, Cl X, IO
0.083%, 01/15/2046 (A) (B)		62,168		64
CD Commercial Mortgage Trust, Ser 2007-CD4, Cl A3
5.293%, 12/11/2049		111		113
CD Commercial Mortgage Trust, Ser 2007-CD4, Cl XC, IO
0.377%, 12/11/2049 (A) (B)		36,898		323
CFCRE Commercial Mortgage Trust, Ser 2011-C1, Cl A4
4.961%, 04/15/2044 (A) (B)		2,670		3,008
Chase Mortgage Finance, Ser 2007-A1, Cl 2A1
2.705%, 02/25/2037 (A)		191		192
Chase Mortgage Finance, Ser 2007-A1, Cl 9A1
2.661%, 02/25/2037 (A)		131		131
Chase Mortgage Finance, Ser 2007-A2, Cl 1A1
2.720%, 07/25/2037 (A)		295		296
Chevy Chase Funding LLC Mortgage-Backed Certificates, Ser 2004-1A, Cl A1
0.432%, 01/25/2035 (A) (B)		31		28
Citigroup Commercial Mortgage Trust, Ser 2005-C3, Cl AM
4.830%, 05/15/2043 (A)		440		454
Citigroup Commercial Mortgage Trust, Ser GC19, Cl AAB
3.552%, 03/10/2047		949		991
Citigroup Commercial Mortgage Trust, Ser GC8, Cl XA, IO
2.228%, 09/10/2045 (A) (B)		7,868		871
Citigroup Mortgage Loan Trust, Ser 2004-HYB1, Cl A41
2.863%, 02/25/2034 (A)		47		47
Citigroup Mortgage Loan Trust, Ser 2004-RR2, Cl A2
2.504%, 05/25/2034 (A) (B)		477		492
Citigroup Mortgage Loan Trust, Ser 2004-UST1, Cl A6
2.853%, 08/25/2034 (A)		131		128
Citigroup Mortgage Loan Trust, Ser 2005-2, Cl 2A11
5.500%, 05/25/2035		271		279


112		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

Citigroup Mortgage Loan Trust, Ser 2008-AR4, Cl 1A1A
2.687%, 11/25/2038 (A) (B)	$	640	$	647
Citigroup Mortgage Loan Trust, Ser 2009-10, Cl 1A1
2.419%, 09/25/2033 (A) (B)		377		382
Citigroup Mortgage Loan Trust, Ser 2009-11, Cl 3A1
5.750%, 05/25/2037 (A) (B)		558		588
Citigroup Mortgage Loan Trust, Ser 2009-5, Cl 8A1
6.000%, 06/25/2036 (B)		951		991
Citigroup Mortgage Loan Trust, Ser 2010-7, Cl 10A1
2.611%, 02/25/2035 (A) (B)		154		156
Citigroup Mortgage Loan Trust, Ser 2010-8, Cl 5A6
4.000%, 11/25/2036 (B)		1,201		1,237
Citigroup Mortgage Loan Trust, Ser 2010-8, Cl 6A6
4.500%, 12/25/2036 (B)		1,306		1,347
Citigroup Mortgage Loan Trust, Ser 2012-A, Cl A
2.500%, 06/25/2051 (B)		675		652
COBALT CMBS Commercial Mortgage Trust, Ser 2006-C1, Cl A4
5.223%, 08/15/2048		1,029		1,102
COBALT CMBS Commercial Mortgage Trust, Ser 2007-C2, Cl AMFX
5.526%, 04/15/2047 (A)		520		572
COMM Mortgage Trust, Ser 2013-CR6, Cl A4
3.101%, 03/10/2046		2,091		2,081
COMM Mortgage Trust, Ser 2014-LC15, Cl ASB
3.528%, 04/10/2047		1,460		1,524
COMM Mortgage Trust, Ser 2014-LC15, Cl XA, IO
1.429%, 04/10/2047 (A)		18,579		1,664
COMM Mortgage Trust, Ser 2014-UBS2, Cl XA, IO
1.441%, 03/10/2047 (A)		15,642		1,487
Commercial Mortgage Pass-Through Certificates, Ser 2005-LP5, Cl A4
4.982%, 05/10/2043 (A)		600		616
Commercial Mortgage Pass-Through Certificates, Ser 2010-C1, Cl A3
4.205%, 07/10/2046 (B)		1,153		1,254
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR2, Cl XA, IO
2.092%, 08/15/2045 (A)		1,199		129


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

Commercial Mortgage Pass-Through Certificates, Ser 2012-CR3, Cl A3
2.822%, 11/15/2045	$	90	$	88
Commercial Mortgage Pass-Through Certificates, Ser 2012-MVP, Cl A
2.091%, 11/17/2026 (A) (B)		311		313
Commercial Mortgage Pass-Through Certificates, Ser 2013-CR12, Cl A4
4.046%, 10/10/2046		450		477
Commercial Mortgage Pass-Through Certificates, Ser 2013-CR12, Cl AM
4.300%, 10/10/2046		440		469
Commercial Mortgage Pass-Through Certificates, Ser 2013-CR12, Cl ASB
3.623%, 10/10/2046		1,867		1,961
Commercial Mortgage Pass-Through Certificates, Ser 2013-CR12, Cl B
4.762%, 10/10/2046 (A)		190		205
Commercial Mortgage Pass-Through Certificates, Ser 2013-CR12, Cl C
5.256%, 10/10/2046 (A)		90		96
Commercial Mortgage Pass-Through Certificates, Ser 2013-CR9, Cl A1
1.344%, 07/10/2045		1,353		1,361
Commercial Mortgage Pass-Through Certificates, Ser 2013-WWP, Cl A2
3.424%, 03/10/2031 (B)		1,270		1,286
Commercial Mortgage Pass-Through Certificates, Ser TWC, Cl A
1.002%, 02/13/2032 (A) (B)		550		550
Commercial Mortgage Trust, Ser 2012-LC4, Cl A3
3.069%, 12/10/2044		927		962
Commercial Mortgage Trust, Ser 2013-CR11, Cl AM
4.715%, 10/10/2046 (A)		938		1,031
Commercial Mortgage Trust, Ser 2013-CR9, Cl ASB
3.834%, 07/10/2045		1,469		1,567
COOF Securitization Trust, IO
3.015%, 06/25/2040		1,200		172
Countrywide Alternative Loan Trust, Ser 2003-20CB, Cl 1A1
5.500%, 10/25/2033		1,377		1,476


SEI Institutional Investments Trust / Annual Report / May 31, 2014			113

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


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

Countrywide Alternative Loan Trust, Ser 2004-27CB, Cl A1
6.000%, 12/25/2034	$	1,465	$	1,446
Countrywide Alternative Loan Trust, Ser 2004-J1, Cl 1A1
6.000%, 02/25/2034		121		124
Countrywide Alternative Loan Trust, Ser 2004-J6, Cl 2A1
6.500%, 11/25/2031		471		493
Countrywide Alternative Loan Trust, Ser 2004-J6, Cl PO, PO
0.000%, 11/25/2031		153		132
Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2
1.226%, 08/25/2035 (A)		662		448
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-39, Cl A6
5.000%, 10/25/2033		459		480
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-56, Cl 6A1
2.686%, 12/25/2033 (A)		372		374
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-J13, Cl 1A7
5.250%, 01/25/2034		645		675
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-J7, Cl 4A3
9.576%, 08/25/2018 (A)		30		31
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-14, Cl 4A1
4.946%, 08/25/2034 (A)		461		463
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-20, Cl 2A1
2.523%, 09/25/2034 (A)		55		41
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-5, Cl 1A4
5.500%, 06/25/2034		412		440
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-8, Cl 2A1
4.500%, 06/25/2019		325		334
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-20, Cl A7
5.250%, 12/25/2027		546		526
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-R3, Cl AF
0.550%, 09/25/2035 (A) (B)		3,167		2,859


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

Credit Suisse Commercial Mortgage Trust, Ser 2007-C2, Cl AM
5.612%, 01/15/2049 (A)	$	1,465	$	1,603
Credit Suisse First Boston Mortgage Securities, Ser 2003-27, Cl 5A3
5.250%, 11/25/2033		583		597
Credit Suisse First Boston Mortgage Securities, Ser 2003-27, Cl 5A4
5.250%, 11/25/2033		261		266
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 5A1
7.000%, 12/25/2033		193		204
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 8A1
6.000%, 11/25/2018		282		291
Credit Suisse First Boston Mortgage Securities, Ser 2004-4, Cl 2A4
5.500%, 09/25/2034		395		432
Credit Suisse First Boston Mortgage Securities, Ser 2004-8, Cl 1A4
5.500%, 12/25/2034		483		523
Credit Suisse First Boston Mortgage Securities, Ser 2004-AR5, Cl 7A2
2.444%, 06/25/2034 (A)		345		341
Credit Suisse First Boston Mortgage Securities, Ser 2004-C5, Cl A4
4.829%, 11/15/2037		412		416
Credit Suisse First Boston Mortgage Securities, Ser 2005-C3, Cl AM
4.730%, 07/15/2037		400		414
Credit Suisse First Boston Mortgage Securities, Ser 2005-C5, Cl A4
5.100%, 08/15/2038 (A)		1,022		1,055
Credit Suisse Mortgage Capital Certificates, Ser 2006-C2, Cl A3
5.858%, 03/15/2039 (A)		825		880
Credit Suisse Mortgage Capital Certificates, Ser 2010-16, Cl A3
3.813%, 06/25/2050 (A) (B)		400		397
Credit Suisse Mortgage Capital Certificates, Ser 2011-16R, Cl 7A3
3.500%, 12/27/2036 (A) (B)		176		178


114		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

Credit Suisse Mortgage Capital Certificates, Ser 2011-1R, Cl A1
1.154%, 02/27/2047 (A) (B)	$	234	$	234
Credit Suisse Mortgage Capital Certificates, Ser 2011-6R, Cl 3A1
2.774%, 07/28/2036 (A) (B)		444		446
Credit Suisse Mortgage Capital Certificates, Ser 2011-7R, Cl A1
1.404%, 08/28/2047 (A) (B)		80		80
Credit Suisse Mortgage Capital Certificates, Ser 2011-9R, Cl A1
2.154%, 03/27/2046 (A) (B)		908		912
Credit Suisse Mortgage Capital Certificates, Ser 2012-11R, Cl A6
1.150%, 06/28/2047 (A) (B)		3,503		3,353
Credit Suisse Mortgage Capital Certificates, Ser 2012-3R, Cl 1A1
3.250%, 07/27/2037 (A) (B)		648		644
CSMC, Ser 2014-ICE, Cl A
0.000%, 04/15/2016		673		673
DBRR Trust, Ser 2011-LC2, Cl A4A
4.537%, 07/12/2044 (A) (B)		2,845		3,145
DBRR Trust, Ser 2012-EZ1, Cl A
0.946%, 09/25/2045 (B)		18		18
DBUBS Mortgage Trust, Ser 2011-LC1A, Cl A1
3.742%, 11/10/2046 (B)		1,281		1,338
DBUBS Mortgage Trust, Ser 2011-LC2A, Cl A4
4.537%, 07/10/2044 (B)		2,176		2,406
DBUBS Mortgage Trust, Ser 2011-LC3A, Cl XA, IO
1.564%, 08/10/2044 (A) (B)		6,456		186
Deutsche Mortgage Securities, Ser 2009-RS2, Cl 4A1
0.284%, 04/26/2037 (A) (B)		60		60
Deutsche Securities Alternative Loan Trust, Ser 2005-1, Cl 2A1
5.718%, 02/25/2020 (A)		171		177
Developers Diversified Realty, Ser 2009-DDR1, Cl A
3.807%, 10/14/2022 (B)		2,520		2,545
DSLA Mortgage Loan Trust, Ser 2004-AR2, Cl A2B
0.952%, 11/19/2044 (A)		1,421		1,056


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

Extended Stay America Trust, Ser 2013-ESH7, Cl A27
2.958%, 12/05/2031 (B)	$	550	$	556
FDIC Structured Sale Guaranteed Notes, Ser 2010-S1, Cl 1A
0.702%, 02/25/2048 (A) (B)		1,836		1,837
FDIC Trust, Ser 2013-N1, Cl A
4.500%, 10/25/2018 (B)		76		77
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN2, Cl M2
1.800%, 04/25/2024 (A)		10,500		10,581
First Horizon Alternative Mortgage Securities, Ser 2004-AA3, Cl A1
2.197%, 09/25/2034 (A)		407		401
First Horizon Asset Securities, Ser 2003-8, Cl 2A1
4.500%, 09/25/2018		176		176
GE Business Loan Trust, Ser 2003-2A, Cl A
0.521%, 11/15/2031 (A) (B)		2,888		2,742
GE Capital Commercial Mortgage, Ser 2005-C1, Cl A5
4.772%, 06/10/2048 (A)		75		76
GE Capital Commercial Mortgage, Ser 2005-C1, Cl AJ
4.826%, 06/10/2048 (A)		1,000		1,020
GE Capital Commercial Mortgage, Ser 2005-C1, Cl B
4.846%, 06/10/2048 (A)		500		507
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl A4
5.238%, 11/10/2045 (A)		669		697
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl AM
5.290%, 11/10/2045 (A)		2,690		2,823
GMAC Mortgage Loan Trust, Ser 2003-AR1, Cl A4
2.982%, 10/19/2033 (A)		900		899
GMAC Mortgage Loan Trust, Ser 2003-GH2, Cl A4
5.000%, 10/25/2033		310		322
GMAC Mortgage Loan Trust, Ser 2003-J7, Cl A7
5.000%, 11/25/2033		425		439
GMAC Mortgage Loan Trust, Ser 2004-J5, Cl A7
6.500%, 01/25/2035		358		376
GMAC Mortgage Loan Trust, Ser 2004-J6, Cl 1A1
5.000%, 01/25/2020		124		127


SEI Institutional Investments Trust / Annual Report / May 31, 2014			115

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


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

GreenPoint Mortgage Funding Trust, Ser 2005-HY1, Cl 1A1A
0.422%, 07/25/2035 (A)	$	6,546	$	6,289
Greenwich Capital Commercial Funding, Ser 2005-GG3, Cl AJ
4.859%, 08/10/2042 (A)		220		224
Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl A5
5.224%, 04/10/2037 (A)		875		911
Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl AM
6.015%, 07/10/2038 (A)		1,160		1,261
GS Mortgage Securities II, Ser 2005-GG4, Cl A4A
4.751%, 07/10/2039		732		748
GS Mortgage Securities II, Ser 2006-GG6, Cl A4
5.553%, 04/10/2038 (A)		1,000		1,061
GS Mortgage Securities II, Ser 2006-GG8, Cl X, IO
0.782%, 11/10/2039 (A) (B)		9,431		107
GS Mortgage Securities II, Ser 2007-GG10, Cl A4
5.803%, 08/10/2045 (A) (C)		1,397		1,553
GS Mortgage Securities II, Ser 2011-GC5, Cl A2
2.999%, 08/10/2044		55		57
GS Mortgage Securities II, Ser 2011-GC5, Cl A4
3.707%, 08/10/2044		10,105		10,682
GS Mortgage Securities II, Ser 2011-GC5, Cl XA, IO
1.879%, 08/10/2044 (A) (B)		2,110		141
GS Mortgage Securities Trust, Ser 2013-GC16, Cl A
4.649%, 11/10/2046		890		972
GS Mortgage Securities Trust, Ser 2013-GC16, Cl B
5.161%, 11/10/2046 (A)		720		798
GS Mortgage Securities Trust, Ser GC16, Cl A3
4.244%, 11/10/2046		676		730
GS Mortgage Securities Trust, Ser GC16, Cl AAB
3.813%, 11/10/2046		2,356		2,503
GS Mortgage Securities Trust, Ser GC18, Cl AAB
3.648%, 01/10/2047		865		909
GS Mortgage Securities Trust, Ser GC20, Cl AAB
3.655%, 04/10/2047		2,920		3,072
GS Mortgage Securities, Ser 2013-KING, Cl A
2.706%, 12/10/2027 (B)		294		298


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

GS Mortgage Securities, Ser ALOH, Cl A
3.551%, 04/10/2034 (B)	$	329	$	340
GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A
8.000%, 09/19/2027 (A) (B)		3		3
GSMPS Mortgage Loan Trust, Ser 2005-RP3, Cl 1AF
0.502%, 09/25/2035 (A) (B)		466		399
GSMPS Mortgage Loan Trust, Ser 2005-RP3, Cl 1AS, IO
4.857%, 09/25/2035 (A) (B)		373		52
GSR Mortgage Loan Trust, Ser 2004-8F, Cl 2A3
6.000%, 09/25/2034		378		394
GSR Mortgage Loan Trust, Ser 2005-5F, Cl 8A3
0.652%, 06/25/2035 (A)		57		55
GSR Mortgage Loan Trust, Ser 2007-1F, Cl 2A4
5.500%, 01/25/2037		77		78
Homestar Mortgage Acceptance, Ser 2004-5, Cl A1
0.600%, 10/25/2034 (A)		644		650
Impac CMB Trust, Ser 2005-4, Cl 2A1
0.452%, 05/25/2035 (A)		303		304
Impac CMB Trust, Ser 2007-A, Cl M1
0.550%, 05/25/2037 (A)		2,933		2,697
Impac Funding LLC, Ser 2010-1, Cl A1
5.314%, 01/25/2051 (B)		4,745		5,392
Impac Secured Assets CMN Owner Trust, Ser 2003-2, Cl A1
5.500%, 08/25/2033		470		496
Impac Secured Assets CMN Owner Trust, Ser 2006-1, Cl 2A1
0.502%, 05/25/2036 (A)		342		339
Impac Secured Assets CMN Owner Trust, Ser 2006-2, Cl 2A1
0.500%, 08/25/2036 (A)		868		857
Indymac INDA Mortgage Loan Trust, Ser 2007-AR7, Cl 1A1
2.820%, 11/25/2037 (A)		1,098		1,048
Indymac Index Mortgage Loan Trust, Ser 2004-AR6, Cl 6A1
2.582%, 10/25/2034 (A)		20		20
Indymac Index Mortgage Loan Trust, Ser 2004-AR7, Cl A2
1.010%, 09/25/2034 (A)		33		29


116		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

Indymac Index Mortgage Loan Trust, Ser 2004-AR8, Cl 2A2A
0.952%, 11/25/2034 (A)	$	54	$	48
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C15, Cl AS
4.420%, 11/15/2045		1,000		1,075
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C15, Cl C
5.081%, 11/15/2045 (A)		410		440
JPMBB Commercial Mortgage Securities Trust, Ser C17, Cl B
4.887%, 01/15/2047 (A)		230		251
JPMorgan Chase Commercial Mortgage Securities, Ser 2004-LN2, Cl A2
5.115%, 07/15/2041		443		443
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-CB11, Cl AJ
5.554%, 08/12/2037 (A)		700		725
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP2, Cl A3A
4.678%, 07/15/2042		177		179
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP5, Cl A4
5.237%, 12/15/2044 (A)		7,000		7,343
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-CB14, Cl A4
5.481%, 12/12/2044 (A)		716		754
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-CB15, Cl X1, IO
0.413%, 06/12/2043 (A)		42,064		223
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP8, Cl A4
5.399%, 05/15/2045		571		617
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A2
5.134%, 05/15/2047		189		190
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A3SF
0.306%, 05/15/2047 (A)		340		338
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-CB20, Cl AM
6.085%, 02/12/2051 (A)		475		537


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

JPMorgan Chase Commercial Mortgage Securities, Ser 2010-C2, Cl A3
4.070%, 11/15/2043 (B)	$	3,667	$	3,951
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-CNTR, Cl A1
3.300%, 08/05/2032 (B)		822		862
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C4, Cl A4
4.388%, 07/15/2046 (B)		1,725		1,893
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C5, Cl A2
3.149%, 08/15/2046		700		730
JPMorgan Chase Commercial Mortgage Securities, Ser 2012-C8, Cl ASB
2.379%, 10/15/2045		1,501		1,490
JPMorgan Chase Commercial Mortgage Securities, Ser 2013-INN, Cl A
1.552%, 10/15/2030 (A) (B)		1,550		1,552
JPMorgan Chase Commercial Mortgage Securities, Ser 2013-INN, Cl C
2.702%, 10/15/2030 (A) (B)		1,190		1,192
JPMorgan Chase Commercial Mortgage Securities, Ser C3, Cl A3
4.388%, 02/15/2046 (B)		3,886		4,249
JPMorgan Chase Commercial Mortgage Securities, Ser CB18, Cl A4
5.440%, 06/12/2047		150		164
JPMorgan Chase Commercial Mortgage Securities Trust, Ser LC9, Cl XA, IO
1.938%, 12/15/2047 (A)		6,155		629
JPMorgan Chase Commercial Mortgage Securities Trust, Ser LD11, Cl A2
5.789%, 06/15/2049 (A)		1,403		1,403
JPMorgan Chase Commercial Mortgage Securities Trust, Ser LDP3, Cl A4A
4.936%, 08/15/2042 (A)		6,899		7,135
JPMorgan Chase Commercial Mortgage Securities Trust, Ser LDP9, Cl AM
5.372%, 05/15/2047		5,610		5,926
JPMorgan Mortgage Trust, Ser 2004-A3, Cl 4A1
2.749%, 07/25/2034 (A)		99		103


SEI Institutional Investments Trust / Annual Report / May 31, 2014			117

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


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

JPMorgan Mortgage Trust, Ser 2004-A3, Cl SF3
2.079%, 06/25/2034 (A)	$	1,315	$	1,307
JPMorgan Mortgage Trust, Ser 2004-A4, Cl 1A1
2.770%, 09/25/2034 (A)		99		103
JPMorgan Mortgage Trust, Ser 2005-A1, Cl 3A4
3.188%, 02/25/2035 (A)		449		457
JPMorgan Mortgage Trust, Ser 2005- A2, Cl 5A2
2.830%, 04/25/2035 (A)		212		218
JPMorgan Mortgage Trust, Ser 2005-A3, Cl 5A3
2.672%, 06/25/2035 (A)		529		536
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 4A1
2.733%, 08/25/2034 (A)		749		749
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 5A3
2.546%, 11/25/2033 (A)		772		772
JPMorgan Mortgage Trust, Ser 2006-A3, Cl 6A1
2.711%, 08/25/2034 (A)		386		390
JPMorgan Re-REMIC, Ser 2009-6, Cl 4A1
2.691%, 09/26/2036 (A) (B)		234		236
JPMorgan Re-REMIC, Ser 2010-4, Cl 7A1
1.865%, 08/26/2035 (A) (B)		182		182
KGS-Alpha Capital, Ser 2012-A, Cl A, IO
0.859%, 08/27/2037 (A) (B)		8,158		315
KREMF, Ser 2014 K36C, Cl C
4.361%, 12/25/2046 (A) (B)		1,030		1,030
LB Commercial Mortgage Trust, Ser 2007-C3, Cl AM
6.080%, 07/15/2044 (A)		380		427
LB-UBS Commercial Mortgage Trust, Ser 2004-C8, Cl A6
4.799%, 12/15/2029 (A)		132		133
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl A4
5.156%, 02/15/2031		350		369
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl XCL, IO
0.366%, 02/15/2041 (A) (B)		22,686		118
LB-UBS Commercial Mortgage Trust, Ser 2006-C4, Cl A4
6.031%, 06/15/2038 (A)		437		474
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A4
5.424%, 02/15/2040		133		146


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

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
6.370%, 09/15/2045 (A)		500		574
LVII Resecuritization Trust, Ser 2009-3, Cl M3
5.360%, 11/27/2037 (A) (B)		300		304
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A7
2.633%, 11/21/2034 (A)		1,150		1,174
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A7A
2.633%, 11/21/2034 (A)		8,452		8,802
Master Adjustable Rate Mortgages Trust, Ser 2004-5, Cl 3A1
2.591%, 06/25/2034 (A)		20		19
Master Alternative Loans Trust, Ser 2003-9, Cl 2A1
6.000%, 12/25/2033		202		217
Master Alternative Loans Trust, Ser 2004-4, Cl 1A1
5.500%, 05/25/2034		1,389		1,476
Master Alternative Loans Trust, Ser 2006-3, Cl 1A3
6.250%, 07/25/2036		570		485
Master Asset Securitization Trust, Ser 2003-11, Cl 9A6
5.250%, 12/25/2033		518		545
Master Asset Securitization Trust, Ser 2003-2, Cl 1A1
5.000%, 03/25/2018		32		32
Master Asset Securitization Trust, Ser 2003-3, Cl 3A18
5.500%, 04/25/2033		199		201
Master Reperforming Loan Trust, Ser 2005-1, Cl 1A1
6.000%, 08/25/2034 (B)		2,287		2,339
Master Reperforming Loan Trust, Ser 2005-2, Cl 1A1F
0.502%, 05/25/2035 (A) (B)		458		389
Master Resecuritization Trust, Ser 2005-PO, Cl 3PO, PO
0.000%, 05/28/2035 (B)		128		102
Master Seasoned Securities Trust, Ser 2004-1, Cl 4A1
2.582%, 10/25/2032 (A)		10		10
Master Seasoned Securities Trust, Ser 2005-1, Cl 4A1
2.402%, 10/25/2032 (A)		83		84


118		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

Merrill Lynch Mortgage Investors, Ser 2003-A4, Cl 2A
2.640%, 07/25/2033 (A)	$	111	$	115
Merrill Lynch Mortgage Investors, Ser 2004-1, Cl 2A1
2.146%, 12/25/2034 (A)		431		423
Merrill Lynch Mortgage Investors, Ser 2004-A, Cl A2
0.832%, 04/25/2029 (A)		251		248
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 2A1
2.380%, 02/25/2034 (A)		126		127
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A
2.625%, 02/25/2034 (A)		884		895
Merrill Lynch Mortgage Investors, Ser 2004-A4, Cl A2
2.460%, 08/25/2034 (A)		228		235
Merrill Lynch Mortgage Investors, Ser 2004-B, Cl A3
1.988%, 05/25/2029 (A)		392		398
Merrill Lynch Mortgage Investors, Ser 2004-D, Cl A2
1.051%, 09/25/2029 (A)		316		312
Merrill Lynch Mortgage Investors, Ser 2005-1, Cl 2A1
2.127%, 04/25/2035 (A)		43		41
Merrill Lynch Mortgage Trust, Ser 2005-LC1, Cl A4
5.291%, 01/12/2044 (A)		1,071		1,130
Merrill Lynch Mortgage Trust, Ser 2005-LC1, Cl AJ
5.547%, 01/12/2044 (A)		480		512
Merrill Lynch Mortgage Trust, Ser 2006-1, Cl 1A
2.461%, 02/25/2036 (A)		269		256
Merrill Lynch Mortgage Trust, Ser 2006-C1, Cl A4
5.863%, 05/12/2039 (A)		505		541
Merrill Lynch Mortgage Trust, Ser 2007-C1, Cl A4
6.032%, 06/12/2050 (A)		30		33
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-4, Cl XC, IO
0.261%, 12/12/2049 (A) (B)		14,534		173
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-5, Cl A4
5.378%, 08/12/2048		3,168		3,429
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-6, Cl A4
5.485%, 03/12/2051 (A)		830		914


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

Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-7, Cl A4
5.810%, 06/12/2050 (A)	$	1,904	$	2,109
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-9, Cl A4
5.700%, 09/12/2049		1,500		1,672
ML-CFC Commercial Mortgage Trust, Ser 2006-4, Cl A1A
5.166%, 12/12/2049		3,538		3,843
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C5, Cl XA, IO
2.034%, 08/15/2045 (A) (B)		5,059		462
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C6, Cl A3
2.506%, 11/15/2045		2,077		2,074
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C10, Cl A1
1.394%, 07/15/2046		2,627		2,647
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C10, Cl A4
4.218%, 07/15/2046 (A)		1,600		1,714
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C7, Cl A4
2.918%, 02/15/2046		350		344
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C7, Cl AS
3.214%, 02/15/2046		707		696
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C9, Cl AS
3.456%, 05/15/2046		420		419
Morgan Stanley Bank of America Merrill Lynch Trust, Ser C10, Cl A3
4.103%, 07/15/2046 (A)		1,699		1,805
Morgan Stanley Bank of America Merrill Lynch Trust, Ser C15, Cl ASB
3.654%, 04/15/2047		882		923
Morgan Stanley Bank of America Merrill Lynch Trust, Ser C5, Cl A4
3.176%, 08/15/2045		609		615
Morgan Stanley Capital I, Ser 2004-HQ4, Cl A7
4.970%, 04/14/2040		454		454


SEI Institutional Investments Trust / Annual Report / May 31, 2014			119

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


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

Morgan Stanley Capital I, Ser 2005-T17, Cl A5
4.780%, 12/13/2041	$	6,880	$	6,964
Morgan Stanley Capital I, Ser 2006-T21, Cl A4
5.162%, 10/12/2052 (A)		5,645		5,928
Morgan Stanley Capital I, Ser 2006-T23, Cl A4
5.985%, 08/12/2041 (A)		6,350		6,925
Morgan Stanley Capital I, Ser 2007-HQ11, Cl X, IO
0.220%, 02/12/2044 (A) (B)		33,806		163
Morgan Stanley Capital I, Ser 2007-IQ15, Cl A4
6.105%, 06/11/2049 (A)		981		1,091
Morgan Stanley Capital I, Ser 2007-T27, Cl A4
5.832%, 06/11/2042 (A)		300		336
Morgan Stanley Capital I, Ser 2011-C3, Cl A2
3.224%, 07/15/2049		1,529		1,596
Morgan Stanley Capital I, Ser 2011-C3, Cl A3
4.054%, 07/15/2049		340		367
Morgan Stanley Capital I, Ser 2011-C3, Cl A4
4.118%, 07/15/2049		950		1,025
Morgan Stanley Capital I, Ser C2, Cl A2
3.476%, 06/15/2044 (B)		2,715		2,846
Morgan Stanley Mortgage Loan Trust, Ser 2004-3, Cl 4A
5.695%, 04/25/2034 (A)		414		437
Morgan Stanley Mortgage Loan Trust, Ser 2007-3XS, Cl 2A3S
5.858%, 01/25/2047		25		18
Morgan Stanley Re-REMIC Trust, Ser 2010-HQ4B, Cl A7A
4.970%, 04/16/2040 (B)		84		84
Morgan Stanley Re-REMIC Trust, Ser 2011-IO, Cl A
2.500%, 03/23/2051 (B)		154		154
Morgan Stanley Re-REMIC Trust, Ser 2012-IO, Cl AXA
1.000%, 03/27/2051 (B)		924		930
Morgan Stanley Re-REMIC Trust, Ser 2012-XA, Cl A
2.000%, 07/27/2049 (B)		1,925		1,936
Morgan Stanley Re-REMIC Trust, Ser 2012-XA, Cl B
0.250%, 07/27/2049 (B)		400		342
Motel 6 Trust, Ser 2012-MTL6, Cl A2
1.948%, 10/05/2025 (B)		2,321		2,296


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

New York Mortgage Trust, Ser 2006-1, Cl 2A2
2.597%, 05/25/2036 (A)	$	426	$	384
Nomura Resecuritization Trust, Ser 2010-6RA, Cl 1A5
2.520%, 03/26/2036 (A) (B)		404		405
Nomura Resecuritization Trust, Ser 2014-1R, Cl 3A1
0.302%, 07/25/2036 (A) (B)		2,787		2,751
NorthStar Mortgage Trust, Ser 2012-1, Cl A
1.350%, 08/25/2029 (A) (B)		791		791
Northstar, Ser 2013-1A, Cl A
2.004%, 08/25/2029 (A) (B)		783		784
Northstar, Ser 2013-1A, Cl B
5.154%, 08/25/2029 (A) (B)		500		497
Ores, Ser 2013-LV2, Cl A
3.081%, 09/25/2025 (B)		622		622
Prime Mortgage Trust, Ser 2004-CL1, Cl 1A1
6.000%, 02/25/2034		164		173
Prime Mortgage Trust, Ser 2004-CL1, Cl 1PO, PO
0.000%, 02/25/2034		45		38
Prime Mortgage Trust, Ser 2006-DR1, Cl 2A1
5.500%, 05/25/2035 (B)		1,969		1,973
RALI Trust, Ser 2005-QO5, Cl A1
1.126%, 01/25/2046 (A)		1,152		833
RAMP Trust, Ser 2004-SL1, Cl A7
7.000%, 11/25/2031		107		114
RAMP Trust, Ser 2005-SL1, Cl A5
6.500%, 05/25/2032		39		38
RBS Commercial Funding Trust, Ser GSP, Cl A
3.834%, 01/13/2032 (A) (B)		2,762		2,885
RBSSP Resecuritization Trust, Ser 2010-12, Cl 8A1
4.000%, 06/27/2021 (B)		150		151
RBSSP Resecuritization Trust, Ser 2010-9, Cl 7A5
4.000%, 05/26/2037 (A) (B)		470		481
RBSSP Resecuritization Trust, Ser 2012-3, Cl 3A1
0.302%, 09/26/2036 (A) (B)		616		584
RCMC LLC, Ser 2012-CRE1, Cl A
5.624%, 11/15/2044 (B)		833		853
Residential Accredit Loans, Ser 2003-QS15, Cl A7
5.500%, 08/25/2033		722		737


120		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

Residential Accredit Loans, Ser 2003-QS18, Cl A1
5.000%, 09/25/2018	$	179	$	183
Residential Accredit Loans, Ser 2003-QS19, Cl A1
5.750%, 10/25/2033		293		309
Residential Accredit Loans, Ser 2004-QS7, Cl A4
5.500%, 05/25/2034		1,645		1,685
Residential Accredit Loans, Ser 2005-QO2, Cl A1
1.486%, 09/25/2045 (A)		834		691
Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8
6.500%, 11/25/2031		458		472
Residential Asset Mortgage Products, Ser 2004-SL3, Cl A2
6.500%, 12/25/2031		653		664
Residential Asset Securitization Trust, Ser 2003-A5, Cl A1
5.500%, 06/25/2033		271		288
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1
2.595%, 12/25/2034 (A)		1,013		1,027
Residential Funding Mortgage Securities I, Ser 2003-S4, Cl A4
5.750%, 03/25/2033		236		242
Salomon Brothers Mortgage Securities VII, Ser 2003-HYB1, Cl A
2.618%, 09/25/2033 (A)		385		393
Sequoia Mortgage Trust, Ser 2004-12, Cl A3
0.667%, 01/20/2035 (A)		579		529
Sequoia Mortgage Trust, Ser 2011-1, Cl A1
4.125%, 02/25/2041 (A)		1		1
SNPL Notes, Ser 2014-1
3.250%, 05/25/2017		306		306
Springleaf Mortgage Loan Trust, Ser 2011-1A, Cl A1
4.050%, 01/25/2058 (A) (B)		508		530
Springleaf Mortgage Loan Trust, Ser 2011-1A, Cl A2
5.450%, 01/25/2058 (A) (B)		1,000		1,051
Springleaf Mortgage Loan Trust, Ser 2012-1A, Cl A
2.667%, 09/25/2057 (A) (B)		226		230
Springleaf Mortgage Loan Trust, Ser 2012-1A, Cl M3
6.000%, 09/25/2057 (A) (B)		700		749


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

Springleaf Mortgage Loan Trust, Ser 2012-2A, Cl A
2.220%, 10/25/2057 (A) (B)	$	844	$	855
Springleaf Mortgage Loan Trust, Ser 2012-2A, Cl M4
6.000%, 10/25/2057 (A) (B)		800		838
Springleaf Mortgage Loan Trust, Ser 2012-3A, Cl A
1.570%, 12/25/2059 (A) (B)		1,171		1,170
Springleaf Mortgage Loan Trust, Ser 2012-3A, Cl M1
2.660%, 12/25/2059 (A) (B)		432		430
Springleaf Mortgage Loan Trust, Ser 2012-3A, Cl M2
3.560%, 12/25/2059 (A) (B)		330		333
Springleaf Mortgage Loan Trust, Ser 2012-3A, Cl M3
4.440%, 12/25/2059 (A) (B)		253		260
Springleaf Mortgage Loan Trust, Ser 2012-3A, Cl M4
5.300%, 12/25/2059 (A) (B)		121		125
Springleaf Mortgage Loan Trust, Ser 2013-2A, Cl A
1.780%, 12/25/2065 (A) (B)		1,085		1,084
Structured Adjustable Rate Mortgage Loan Trust, Ser 2004-6, Cl 5A4
4.647%, 06/25/2034 (A)		262		260
Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-19XS, Cl 1A1
0.472%, 10/25/2035 (A)		3,423		3,013
Structured Asset Mortgage Investments II Trust, Ser 2005-AR1, Cl A1
0.631%, 04/19/2035 (A)		2,552		2,364
Structured Asset Mortgage Investments, Ser 2004-AR5, Cl 1A1
0.812%, 10/19/2034 (A)		260		247
Structured Asset Securities, Ser 2001-15A, Cl 4A1
2.185%, 10/25/2031 (A)		51		51
Structured Asset Securities, Ser 2003-16, Cl A3
0.652%, 06/25/2033 (A)		159		158
Structured Asset Securities, Ser 2003-31A, Cl 2A7
2.426%, 10/25/2033 (A)		6,577		6,595
Structured Asset Securities, Ser 2003-32, Cl 1A1
5.499%, 11/25/2033 (A)		99		103


SEI Institutional Investments Trust / Annual Report / May 31, 2014			121

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


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

Structured Asset Securities, Ser 2003-33H, Cl 1A1
5.500%, 10/25/2033	$	506	$	517
Structured Asset Securities, Ser 2003-37A, Cl 2A
3.616%, 12/25/2033 (A)		157		159
Structured Asset Securities, Ser 2004-5H, Cl A4
5.540%, 12/25/2033		529		544
Thornburg Mortgage Securities Trust, Ser 2003-4, Cl A1
0.790%, 09/25/2043 (A)		415		408
TIAA Seasoned Commercial Mortgage Trust, Ser 2007-C4, Cl A3
5.562%, 08/15/2039 (A)		772		786
UBS-BAMLL Trust, Ser 2012-WRM, Cl A
3.663%, 06/10/2030 (B)		866		874
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, Cl A4
3.525%, 05/10/2063		2,482		2,558
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, Cl XA, IO
1.941%, 05/10/2063 (A) (B)		3,647		314
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C3, Cl A3
2.728%, 08/10/2049		2,058		2,077
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl AS
3.317%, 12/10/2045 (B)		590		585
UBS-Barclays Commercial Mortgage Trust, Ser 2013-C5, Cl A4
3.185%, 03/10/2046		492		492
UBS-Barclays Commercial Mortgage Trust, Ser 2013-C6, Cl ASB
2.788%, 04/10/2046		1,800		1,814
Vendee Mortgage Trust CMO, Ser 1993-1, Cl ZB
7.250%, 02/15/2023		1,607		1,861
VNDO Mortgage Trust, Ser PENN, Cl A
3.808%, 12/13/2029 (B)		1,000		1,064
VNO Mortgage Trust, Ser 2012-6AVE, Cl A
2.996%, 11/15/2030 (B)		877		867


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

VOLT CMO, Ser 2013-NPL5, Cl A1
3.625%, 04/25/2055	$	814	$	820
Wachovia Bank Commercial Mortgage Trust, Ser 2005-C20, Cl A7
5.118%, 07/15/2042 (A)		119		124
Wachovia Bank Commercial Mortgage Trust, Ser 2005-C22, Cl A4
5.457%, 12/15/2044 (A)		1,000		1,052
Wachovia Bank Commercial Mortgage Trust, Ser 2006-C26, Cl XC, IO
0.189%, 06/15/2045 (A) (B)		79,927		135
Wachovia Bank Commercial Mortgage Trust, Ser 2007-C30, Cl AM
5.383%, 12/15/2043		560		610
WaMu Mortgage Pass-Through Certificates, Ser 2002-AR18, Cl A
2.497%, 01/25/2033 (A)		284		288
Wamu Mortgage Pass-Through Certificates, Ser 2002-AR6, Cl A
1.526%, 06/25/2042 (A)		22		21
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR10, Cl A7
2.423%, 10/25/2033 (A)		317		322
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR6, Cl A1
2.439%, 06/25/2033 (A)		306		309
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR7, Cl A7
2.298%, 08/25/2033 (A)		259		263
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR8, Cl A
2.410%, 08/25/2033 (A)		179		181
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 1A6
2.419%, 09/25/2033 (A)		545		556
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 2A
2.443%, 09/25/2033 (A)		205		208


122		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

WaMu Mortgage Pass-Through Certificates, Ser 2003-MS1, Cl 1A
5.000%, 02/25/2018	$	90	$	91
WaMu Mortgage Pass-Through Certificates, Ser 2003-S13, Cl 21A1
4.500%, 12/25/2018		123		125
WaMu Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A10
17.044%, 06/25/2033 (A)		55		63
WaMu Mortgage Pass-Through Certificates, Ser 2003-S9, Cl A8
5.250%, 10/25/2033		1,008		1,037
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A1
2.409%, 06/25/2034 (A)		164		167
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A2
2.409%, 06/25/2034 (A)		215		219
WaMu Mortgage Pass-Through Certificates, Ser 2004-CB2, Cl 7A
5.500%, 08/25/2019		307		317
WaMu Mortgage Pass-Through Certificates, Ser 2004-S1, Cl 1A3
0.552%, 03/25/2034 (A)		1		1
WaMu Mortgage Pass-Through Certificates, Ser 2004-S2, Cl 2A4
5.500%, 06/25/2034		624		655
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A1
0.440%, 10/25/2045 (A)		2,709		2,537
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR15, Cl A1A2
0.432%, 11/25/2045 (A)		4,323		3,916
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR19, Cl A1A2
0.442%, 12/25/2045 (A)		4,022		3,700
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR1, Cl 1A1B
1.196%, 01/25/2046 (A)		2,540		846


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

WaMu Mortgage Pass-Through Certificates, Ser 2006-AR13, Cl 2A
2.268%, 10/25/2046 (A)	$	981	$	901
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR14, Cl 1A4
2.054%, 11/25/2036 (A)		300		264
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR17, Cl 1A1B
0.936%, 12/25/2046 (A)		439		242
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR17, Cl 2A
2.268%, 12/25/2046 (A)		438		414
WaMu Mortgage Pass-Through Certificates, Ser 2007-HY1, Cl 1A1
2.200%, 02/25/2037 (A)		3,466		2,867
Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser 2005-3, Cl CX, IO
5.500%, 05/25/2035		509		135
Washington Mutual MSC Mortgage Pass-Through Certificates, Ser 2003-MS2, Cl 1A1
5.750%, 02/25/2033		61		64
Washington Mutual MSC Mortgage Pass-Through Certificates, Ser 2003-MS8, Cl 1P, PO
0.000%, 05/25/2033		72		65
Washington Mutual MSC Mortgage Pass-Through Certificates, Ser 2003-MS9, Cl 2P, PO
0.000%, 04/25/2033		193		169
Wells Fargo Mortgage Loan Trust, Ser 2012-RR1, Cl A1
2.847%, 08/27/2037 (A) (B)		269		271
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-17, Cl 2A10
5.500%, 01/25/2034		228		240
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-K, Cl 1A1
2.490%, 11/25/2033 (A)		308		316


SEI Institutional Investments Trust / Annual Report / May 31, 2014			123

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


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

Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-B, Cl A1
2.490%, 02/25/2034 (A)	$	215	$	217
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-E, Cl A2
4.500%, 05/25/2034 (A)		50		50
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A1
2.613%, 12/25/2034 (A)		422		432
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A2
2.613%, 12/25/2034 (A)		282		289
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 3A1
2.690%, 12/25/2034 (A)		139		141
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 3A2
2.690%, 12/25/2034 (A)		209		213
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-I, Cl 1A1
2.635%, 07/25/2034 (A)		510		517
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-O, Cl A1
4.902%, 08/25/2034 (A)		122		124
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-P, Cl 2A1
2.613%, 09/25/2034 (A)		835		853
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-V, Cl 1A1
2.622%, 10/25/2034 (A)		377		382
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-V, Cl 1A2
2.622%, 10/25/2034 (A)		301		312
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR14, Cl A1
5.352%, 08/25/2035 (A)		302		312
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR3, Cl 1A1
2.621%, 03/25/2035 (A)		1,765		1,795


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

Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR8, Cl 2A1
2.630%, 06/25/2035 (A)	$	565	$	570
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR9, Cl 2A1
2.643%, 10/25/2033 (A)		184		187
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR18, Cl 1A1
5.570%, 11/25/2036 (A)		447		447
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR8, Cl 1A3
2.618%, 04/25/2036 (A)		501		502
Wells Fargo Re-REMIC Trust, Ser 2012-IO, Cl A
1.750%, 08/20/2021 (B)		668		669
WFRBS Commercial Mortgage Trust, Ser 2011-C2, Cl XA, IO
1.106%, 02/15/2044 (A) (B)		8,000		282
WFRBS Commercial Mortgage Trust, Ser 2011-C3, Cl A4
4.375%, 03/15/2044 (B)		600		657
WFRBS Commercial Mortgage Trust, Ser 2011-C5, Cl A4
3.667%, 11/15/2044		4,610		4,849
WFRBS Commercial Mortgage Trust, Ser 2012-C7, Cl A2
3.431%, 06/15/2045		4,920		5,064
WFRBS Commercial Mortgage Trust, Ser 2012-C7, Cl XA, IO
1.741%, 06/15/2045 (A) (B)		3,150		294
WFRBS Commercial Mortgage Trust, Ser 2012-C8, Cl A3
3.001%, 08/15/2045		3,740		3,733
WFRBS Commercial Mortgage Trust, Ser C19, Cl XA, IO
1.340%, 03/15/2047 (A)		5,384		453

				430,435

Total Mortgage-Backed Securities (Cost $2,296,188) ($ Thousands)				2,347,020


CORPORATE OBLIGATIONS — 26.6%

Consumer Discretionary — 2.0%
21st Century Fox America
6.200%, 12/15/2034		265		323
American Airlines Pass-Through Trust
4.950%, 01/15/2023 (B)		5,581		6,020


124		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

Best Buy
5.000%, 08/01/2018	$	237	$	248
CBS
8.875%, 05/15/2019		125		162
7.875%, 07/30/2030		160		216
5.750%, 04/15/2020		92		107
4.300%, 02/15/2021		250		269
Comcast
6.950%, 08/15/2037		1,040		1,401
6.550%, 07/01/2039		340		440
6.500%, 01/15/2017		3,670		4,198
6.500%, 11/15/2035		300		385
6.450%, 03/15/2037		200		255
5.850%, 11/15/2015		648		698
4.950%, 06/15/2016		4,125		4,474
4.650%, 07/15/2042		170		176
4.250%, 01/15/2033		390		401
3.600%, 03/01/2024		4,040		4,175
3.125%, 07/15/2022		133		135
Comcast Cable Communications Holdings
9.455%, 11/15/2022		850		1,236
Comcast Cable Communications LLC
8.875%, 05/01/2017		150		183
Cox Communications (B)
6.950%, 06/01/2038		40		49
4.700%, 12/15/2042		10		10
CVS Caremark
6.125%, 09/15/2039		140		176
5.789%, 01/10/2026 (B)		1,587		1,778
5.750%, 05/15/2041		280		337
4.125%, 05/15/2021		360		390
2.750%, 12/01/2022		230		223
2.250%, 12/05/2018		1,715		1,740
CVS Lease Pass-Through
6.036%, 12/10/2028 (B)		2,228		2,593
CVS Pass-Through Trust
5.926%, 01/10/2034 (B)		315		361
5.880%, 01/10/2028		150		170
Daimler Finance North America LLC (B)
2.625%, 09/15/2016		389		403
2.375%, 08/01/2018		4,410		4,506
1.875%, 09/15/2014		1,661		1,668
1.875%, 01/11/2018		1,241		1,253
1.650%, 04/10/2015		337		341
1.300%, 07/31/2015		3,340		3,372
1.125%, 03/10/2017		2,585		2,588
DIRECTV Holdings
5.150%, 03/15/2042 (C)		365		385
3.800%, 03/15/2022		980		1,012
DIRECTV Holdings LLC
4.450%, 04/01/2024 (C)		2,355		2,504


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

Discovery Communications
4.950%, 05/15/2042		$	115	$	117
Ford Motor
4.750%, 01/15/2043			2,745		2,787
Ford Motor Credit LLC
4.375%, 08/06/2023 (C)			1,395		1,481
Gap
5.950%, 04/12/2021			514		593
General Motors (B)
4.875%, 10/02/2023			1,150		1,205
3.500%, 10/02/2018			1,710		1,753
Johnson Controls
5.250%, 12/01/2041			440		487
4.250%, 03/01/2021	��		265		288
3.750%, 12/01/2021			289		303
Kohl’s
6.250%, 12/15/2017			255		296
Lowe’s MTN
7.110%, 05/15/2037			400		536
5.125%, 11/15/2041			48		54
LVMH Moet Hennessy Louis Vuitton
1.625%, 06/29/2017 (B)			2,227		2,260
Macy’s Retail Holdings
7.450%, 07/15/2017			120		142
6.900%, 04/01/2029			100		125
5.125%, 01/15/2042			54		58
4.300%, 02/15/2043			153		145
2.875%, 02/15/2023			232		223
McDonald’s MTN
5.350%, 03/01/2018			1,200		1,373
NBCUniversal Media
5.950%, 04/01/2041			200		244
4.375%, 04/01/2021			150		166
Nissan Motor Acceptance
1.800%, 03/15/2018 (B)			255		256
QVC
5.950%, 03/15/2043			50		53
Thomson Reuters
4.700%, 10/15/2019			250		278
Time Warner
9.150%, 02/01/2023			500		699
7.700%, 05/01/2032			2,530		3,529
7.625%, 04/15/2031			3,085		4,282
6.500%, 11/15/2036			50		62
6.250%, 03/29/2041			392		479
5.375%, 10/15/2041			37		41
4.750%, 03/29/2021			920		1,028
4.700%, 01/15/2021			670		746
Time Warner Cable
8.250%, 04/01/2019			3,525		4,489
7.300%, 07/01/2038			400		538
6.750%, 07/01/2018			120		143
6.550%, 05/01/2037			3,706		4,611


SEI Institutional Investments Trust / Annual Report / May 31, 2014			125

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


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

5.875%, 11/15/2040	$	350	$	409
5.500%, 09/01/2041		108		119
4.125%, 02/15/2021		110		119
4.000%, 09/01/2021 (C)		326		350
Time Warner Entertainment
8.375%, 03/15/2023		232		313
8.375%, 07/15/2033		1,380		2,021
Toyota Motor Credit MTN
2.750%, 05/17/2021		1,920		1,945
2.100%, 01/17/2019		3,480		3,522
1.125%, 05/16/2017		3,075		3,084
Viacom
5.250%, 04/01/2044		1,995		2,105
4.250%, 09/01/2023		1,120		1,181
3.875%, 12/15/2021		294		308
3.250%, 03/15/2023		44		43
Volkswagen Group of America Finance LLC (B)
2.125%, 05/23/2019		4,350		4,358
1.250%, 05/23/2017		4,310		4,314
Volkswagen International Finance (B)
2.375%, 03/22/2017		146		151
1.125%, 11/18/2016		2,835		2,848
Wal-Mart Stores
5.800%, 02/15/2018		1,760		2,042
Walt Disney MTN
4.125%, 06/01/2044		820		815
0.450%, 12/01/2015		125		125
Yum! Brands
5.350%, 11/01/2043		945		1,039

				118,442


Consumer Staples — 1.7%
Altria Group
9.950%, 11/10/2038		290		479
9.250%, 08/06/2019		2,120		2,836
5.375%, 01/31/2044		1,870		2,032
4.750%, 05/05/2021		1,260		1,399
4.000%, 01/31/2024		190		196
2.850%, 08/09/2022		1,690		1,631
Anheuser-Busch InBev Finance
3.700%, 02/01/2024		1,040		1,080
2.150%, 02/01/2019		2,230		2,257
Anheuser-Busch InBev Worldwide
7.750%, 01/15/2019		7,105		8,852
5.375%, 01/15/2020		2,360		2,743
2.500%, 07/15/2022		2,086		2,018
Bunge Finance
8.500%, 06/15/2019		350		441
5.900%, 04/01/2017		107		119
Cargill
6.000%, 11/27/2017 (B)		500		573


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

Coca-Cola
2.450%, 11/01/2020	$	2,630	$	2,658
Coca-Cola Femsa
2.375%, 11/26/2018		2,020		2,051
ConAgra Foods
2.100%, 03/15/2018		86		87
1.900%, 01/25/2018		1,900		1,914
1.300%, 01/25/2016		81		82
Diageo Capital
4.828%, 07/15/2020		300		340
1.125%, 04/29/2018		1,625		1,598
Diageo Investment
2.875%, 05/11/2022		3,730		3,716
ERAC USA Finance LLC (B)
6.700%, 06/01/2034		221		277
5.625%, 03/15/2042		1,771		2,008
3.850%, 11/15/2024		1,050		1,062
2.750%, 03/15/2017		175		181
1.400%, 04/15/2016		11		11
Heineken
1.400%, 10/01/2017 (B)		1,010		1,010
Imperial Tobacco Finance
2.050%, 02/11/2018 (B)		790		798
Kellogg
1.750%, 05/17/2017		805		815
Kimberly-Clark
2.400%, 03/01/2022		36		35
Kraft Foods
5.375%, 02/10/2020 (C)		1,851		2,128
Kraft Foods Group
6.125%, 08/23/2018		700		817
5.375%, 02/10/2020		982		1,128
5.000%, 06/04/2042		176		188
3.500%, 06/06/2022		8,345		8,564
Kroger
7.500%, 04/01/2031		610		805
6.900%, 04/15/2038		570		732
6.150%, 01/15/2020		525		620
5.400%, 07/15/2040		45		50
2.200%, 01/15/2017		80		82
Lorillard Tobacco
8.125%, 06/23/2019		570		714
3.750%, 05/20/2023		770		760
Molson Coors Brewing
3.500%, 05/01/2022		220		226
Mondelez International
4.000%, 02/01/2024 (C)		4,490		4,648
Novartis Capital
2.400%, 09/21/2022		200		193
PepsiCo
7.900%, 11/01/2018		339		425
3.000%, 08/25/2021		181		184
2.250%, 01/07/2019		2,425		2,471
1.250%, 08/13/2017		359		360


126		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

0.700%, 08/13/2015	$	2,550	$	2,561
Pernod-Ricard (B)
5.750%, 04/07/2021		2,012		2,320
5.500%, 01/15/2042 (C)		1,400		1,578
4.450%, 01/15/2022		1,890		2,020
Pharmacia
8.700%, 10/15/2021		350		451
Philip Morris International
2.900%, 11/15/2021		1,920		1,943
2.500%, 08/22/2022 (C)		1,780		1,720
Reynolds American
6.150%, 09/15/2043		640		739
3.250%, 11/01/2022		810		783
SABMiller Holdings (B)
3.750%, 01/15/2022		565		590
2.450%, 01/15/2017		200		207
Teva Pharmaceutical Finance
3.650%, 11/10/2021		830		854
Tyson Foods
4.500%, 06/15/2022		1,495		1,572
Walgreen
3.100%, 09/15/2022		234		231
Wal-Mart Stores
4.300%, 04/22/2044		4,020		4,072
3.300%, 04/22/2024		175		177
WM Wrigley Jr (B)
3.375%, 10/21/2020		1,910		1,990
2.900%, 10/21/2019		2,738		2,823
2.400%, 10/21/2018		1,055		1,076
2.000%, 10/20/2017		550		557

				98,658


Energy — 2.9%
Alberta Energy
7.375%, 11/01/2031		200		261
Anadarko Holding
7.150%, 05/15/2028		150		192
Anadarko Petroleum
8.700%, 03/15/2019		150		194
6.950%, 06/15/2019		90		110
6.375%, 09/15/2017		2,430		2,806
5.950%, 09/15/2016		190		211
ANR Pipeline
9.625%, 11/01/2021		100		142
Apache
6.900%, 09/15/2018		180		217
5.625%, 01/15/2017		370		413
4.750%, 04/15/2043		115		121
3.250%, 04/15/2022		56		58
Baker Hughes
7.500%, 11/15/2018		2,020		2,497
5.125%, 09/15/2040		81		92


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

BG Energy Capital (B)
5.125%, 10/15/2041	$	200	$	224
4.000%, 10/15/2021		2,775		2,952
BP Capital Markets
3.875%, 03/10/2015		630		647
3.561%, 11/01/2021		110		115
3.245%, 05/06/2022		1,480		1,499
2.248%, 11/01/2016		159		165
1.846%, 05/05/2017		429		438
1.375%, 11/06/2017		132		133
Burlington Resources
8.200%, 03/15/2025		400		548
Canadian Natural Resources
7.200%, 01/15/2032		150		195
6.450%, 06/30/2033		200		248
5.700%, 05/15/2017		228		257
Canadian Oil Sands
6.000%, 04/01/2042 (B)		768		898
Cenovus Energy
4.450%, 09/15/2042		77		77
3.000%, 08/15/2022		45		44
Chevron
3.191%, 06/24/2023		95		96
2.355%, 12/05/2022		160		154
CNOOC Finance 2013
3.000%, 05/09/2023		253		238
1.125%, 05/09/2016		200		201
CNOOC Nexen Finance 2014 ULC
4.875%, 04/30/2024		685		703
4.250%, 04/30/2024		1,552		1,595
1.625%, 04/30/2017		3,305		3,318
Conoco Funding
6.950%, 04/15/2029		995		1,372
ConocoPhillips
6.000%, 01/15/2020		460		550
5.750%, 02/01/2019		50		59
Continental Resources
4.500%, 04/15/2023		805		862
DCP Midstream Operating
5.600%, 04/01/2044		1,088		1,202
2.700%, 04/01/2019		1,390		1,408
Devon Energy
6.300%, 01/15/2019		330		390
5.600%, 07/15/2041		1,690		1,967
4.750%, 05/15/2042		157		162
3.250%, 05/15/2022 (C)		2,490		2,514
Devon Financing
7.875%, 09/30/2031		520		731
Diamond Offshore Drilling
4.875%, 11/01/2043 (C)		1,150		1,157
Ecopetrol
7.375%, 09/18/2043		660		812
5.875%, 05/28/2045		2,345		2,415


SEI Institutional Investments Trust / Annual Report / May 31, 2014			127

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


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

El Paso
6.950%, 06/01/2028	$	2,250	$	2,200
El Paso Pipeline Partners Operating LLC
6.500%, 04/01/2020		3,327		3,914
4.300%, 05/01/2024		1,440		1,461
4.100%, 11/15/2015		1,470		1,535
Encana
6.500%, 05/15/2019		250		297
5.150%, 11/15/2041		2,525		2,727
Energy Transfer Partners
8.250%, 11/15/2029		4,295		6,023
5.950%, 10/01/2043		605		675
3.243%, 11/01/2066 (A)		485		446
Eni
5.700%, 10/01/2040 (B)		900		1,007
EnLink Midstream Partners
4.400%, 04/01/2024 (C)		705		741
2.700%, 04/01/2019		810		822
Enterprise Products Operating LLC
5.100%, 02/15/2045		32		34
3.900%, 02/15/2024		99		102
EOG Resources
4.100%, 02/01/2021		300		328
2.625%, 03/15/2023		88		85
Halliburton
6.150%, 09/15/2019		300		360
2.000%, 08/01/2018		1,860		1,878
Hess
8.125%, 02/15/2019		2,200		2,781
7.875%, 10/01/2029		215		294
Kerr-McGee
6.950%, 07/01/2024		2,605		3,338
Kinder Morgan Energy Partners
5.500%, 03/01/2044		785		832
5.000%, 03/01/2043		595		593
4.150%, 02/01/2024 (C)		1,070		1,084
Murphy Oil
3.700%, 12/01/2022		1,100		1,092
Nabors Industries
5.000%, 09/15/2020 (C)		310		345
National Oilwell Varco
1.350%, 12/01/2017		81		81
Newfield Exploration
5.625%, 07/01/2024		435		463
Noble Energy
5.250%, 11/15/2043		150		166
4.150%, 12/15/2021		2,080		2,239
Noble Holding International
5.250%, 03/15/2042		119		123
3.950%, 03/15/2022		40		41


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

Occidental Petroleum
3.125%, 02/15/2022	$	1,060		$	1,079
2.700%, 02/15/2023		1,144			1,114
1.750%, 02/15/2017		153			156
ONEOK Partners
3.200%, 09/15/2018		1,015			1,064
2.000%, 10/01/2017		1,140			1,153
Panhandle Eastern Pipeline
8.125%, 06/01/2019		1,161			1,419
Petrobras Global Finance
6.250%, 03/17/2024		2,574			2,737
4.875%, 03/17/2020		1,465			1,500
4.375%, 05/20/2023		196			187
3.000%, 01/15/2019		1,025			1,002
1.849%, 05/20/2016 (A)		2,500			2,494
Petrobras International Finance
7.875%, 03/15/2019		200			234
6.750%, 01/27/2041		150			156
6.125%, 10/06/2016		1,300			1,411
5.750%, 01/20/2020		1,127			1,200
5.375%, 01/27/2021 (C)		4,680			4,859
3.875%, 01/27/2016		1,480			1,527
Petro-Canada
7.875%, 06/15/2026		100			136
6.800%, 05/15/2038		3,850			5,131
6.050%, 05/15/2018		260			302
Petroleos Mexicanos
6.625%, 06/15/2035		5,602			6,554
6.375%, 01/23/2045 (B) (C)		5,223			6,013
5.500%, 06/27/2044		940			969
4.875%, 01/18/2024 (B)		81	��		86
3.500%, 01/30/2023		3,155			3,068
2.248%, 07/18/2018 (A)		695			722
Phillips 66
4.300%, 04/01/2022		57			62
2.950%, 05/01/2017		76			80
Plains Exploration & Production
6.875%, 02/15/2023		90			102
6.500%, 11/15/2020		350			389
QEP Resources
5.375%, 10/01/2022		550			557
Rowan
5.400%, 12/01/2042		746			747
Sabine Pass Liquefaction LLC
5.625%, 02/01/2021		400			419
Schlumberger Investment
3.650%, 12/01/2023		164			171
3.300%, 09/14/2021 (B)		317			329
Shell International Finance
6.375%, 12/15/2038		1,180			1,569
4.375%, 03/25/2020		80			89
4.300%, 09/22/2019		1,000			1,115
3.625%, 08/21/2042		291			268
3.400%, 08/12/2023		2,145			2,197


128		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

3.100%, 06/28/2015	$	165	$	170
Sinopec Group Overseas Development 2012
2.750%, 05/17/2017 (B)		1,150		1,184
Sinopec Group Overseas Development 2014
4.375%, 04/10/2024 (B)		2,700		2,827
Spectra Energy Capital LLC
8.000%, 10/01/2019		702		885
5.650%, 03/01/2020		400		449
Spectra Energy Partners
2.950%, 09/25/2018		765		795
Statoil
5.250%, 04/15/2019		460		530
4.250%, 11/23/2041		80		81
3.150%, 01/23/2022		100		102
3.125%, 08/17/2017		200		213
2.900%, 11/08/2020		3,650		3,741
2.450%, 01/17/2023		159		153
Sunoco Logistics Partners Operations
5.300%, 04/01/2044		725		764
4.250%, 04/01/2024		695		718
Talisman Energy
7.750%, 06/01/2019		390		484
3.750%, 02/01/2021		710		731
TC Pipelines
4.650%, 06/15/2021		422		450
Tennessee Gas Pipeline
8.375%, 06/15/2032		2,000		2,795
8.000%, 02/01/2016		3,205		3,582
Texas Eastern Transmission
2.800%, 10/15/2022 (B)		415		393
Tosco
8.125%, 02/15/2030		100		148
7.800%, 01/01/2027		210		295
Total Capital
4.125%, 01/28/2021		74		81
2.300%, 03/15/2016		300		310
Total Capital International
2.875%, 02/17/2022		138		138
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		505
4.625%, 03/01/2034		4,205		4,457
Transocean
7.350%, 12/15/2041		33		41
6.500%, 11/15/2020		485		558
6.375%, 12/15/2021		2,306		2,645
5.050%, 12/15/2016		580		632
Valero Energy
7.500%, 04/15/2032		710		943


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

Weatherford International
9.875%, 03/01/2039	$	250	$	393
6.750%, 09/15/2040		200		244
6.500%, 08/01/2036		83		98
5.950%, 04/15/2042		970		1,087
5.125%, 09/15/2020		110		123
4.500%, 04/15/2022		67		71
Western Gas Partners
5.450%, 04/01/2044		375		406
5.375%, 06/01/2021		434		491
Williams
8.750%, 03/15/2032		1,284		1,636
7.875%, 09/01/2021		1,262		1,532
7.750%, 06/15/2031		1,217		1,446
7.500%, 01/15/2031		9		11
Williams Partners
4.300%, 03/04/2024 (C)		1,190		1,236

				171,150


Financials — 12.4%
ABB Treasury Center USA
2.500%, 06/15/2016 (B)		2,795		2,885
Abbey National Treasury Services
4.000%, 03/13/2024		1,385		1,443
ACE INA Holdings
5.875%, 06/15/2014		290		290
5.600%, 05/15/2015		380		398
3.350%, 05/15/2024		2,055		2,071
Aegon
2.847%, 07/29/2049 (A)		2,180		1,962
AIG SunAmerica Global Financing X
6.900%, 03/15/2032 (B)		450		602
Allstate
5.000%, 08/15/2014		300		303
3.150%, 06/15/2023		1,375		1,388
Ally Financial
5.500%, 02/15/2017		750		815
American Express
7.000%, 03/19/2018		500		597
American Express Credit MTN
5.125%, 08/25/2014		3,280		3,316
2.800%, 09/19/2016		389		406
2.375%, 03/24/2017		120		125
1.750%, 06/12/2015		3,325		3,372
American Honda Finance MTN (B)
7.625%, 10/01/2018		150		184
3.875%, 09/21/2020		2,840		3,067
2.600%, 09/20/2016		246		256
1.000%, 08/11/2015		2,400		2,417
American International Group
8.175%, 05/15/2058 (A)		400		541


SEI Institutional Investments Trust / Annual Report / May 31, 2014			129

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


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

6.400%, 12/15/2020	$	925	$	1,121
6.250%, 03/15/2037		3,530		3,839
American Tower‡
5.050%, 09/01/2020		982		1,068
4.500%, 01/15/2018		1,304		1,422
3.500%, 01/31/2023		1,221		1,199
American Tower Trust I‡
1.551%, 03/15/2018 (B)		135		134
Anadarko Finance
7.500%, 05/01/2031		240		326
ANZ New Zealand International (B)
3.125%, 08/10/2015		190		196
1.850%, 10/15/2015		950		966
Aon
6.250%, 09/30/2040		79		99
3.500%, 09/30/2015		46		48
3.125%, 05/27/2016		235		245
Associates Corp of North America
6.950%, 11/01/2018		418		501
Assurant
2.500%, 03/15/2018		1,485		1,501
Australia & New Zealand Banking Group
4.875%, 01/12/2021 (B)		137		155
4.500%, 03/19/2024 (B)		1,600		1,633
3.250%, 03/01/2016 (B)		200		209
2.400%, 11/23/2016 (B)		453		470
0.494%, 10/29/2049 (A)		1,400		940
AvalonBay Communities‡
3.950%, 01/15/2021		1,500		1,600
3.625%, 10/01/2020		495		522
Bank of America
7.625%, 06/01/2019		175		217
6.500%, 08/01/2016		7,125		7,932
6.100%, 06/15/2017		6,825		7,715
6.000%, 09/01/2017		1,690		1,919
5.750%, 12/01/2017		3,310		3,750
5.650%, 05/01/2018		1,350		1,536
5.625%, 10/14/2016		7,865		8,665
5.625%, 07/01/2020		585		675
5.420%, 03/15/2017		4,530		4,982
5.000%, 05/13/2021		75		84
5.000%, 01/21/2044		3,990		4,231
4.875%, 04/01/2044		1,830		1,907
4.500%, 04/01/2015		5,460		5,635
4.125%, 01/22/2024		3,215		3,318
4.100%, 07/24/2023		147		152
4.000%, 04/01/2024 (C)		2,110		2,159
3.875%, 03/22/2017		610		653
3.300%, 01/11/2023		1,283		1,263
2.600%, 01/15/2019		1,050		1,066


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

1.500%, 10/09/2015	$	4,925	$	4,977
0.533%, 06/15/2017 (A)		2,710		2,681
0.513%, 06/15/2016 (A)		2,700		2,677
Bank of Montreal MTN
2.550%, 11/06/2022		511		496
1.400%, 09/11/2017		689		690
1.300%, 10/31/2014 (B)		321		322
Bank of New York Mellon MTN
4.600%, 01/15/2020		160		179
3.550%, 09/23/2021		144		152
3.400%, 05/15/2024		5,665		5,752
3.100%, 01/15/2015		125		127
2.950%, 06/18/2015 (C)		500		514
2.400%, 01/17/2017		398		413
Bank of Nova Scotia
3.400%, 01/22/2015		478		487
1.650%, 10/29/2015 (B)		355		361
1.375%, 12/18/2017		300		300
Bank of Tokyo-Mitsubishi UFJ (B)
3.850%, 01/22/2015		707		722
2.350%, 02/23/2017		295		304
Barclays Bank
6.050%, 12/04/2017 (B)		850		964
5.200%, 07/10/2014		350		352
5.000%, 09/22/2016		4,970		5,425
3.750%, 05/15/2024		970		981
2.500%, 09/21/2015 (B)		365		375
2.250%, 05/10/2017 (B)		221		228
0.563%, 08/07/2049 (A)		380		253
BB&T MTN
6.850%, 04/30/2019		115		140
4.900%, 06/30/2017		400		438
3.950%, 04/29/2016		555		589
Bear Stearns
7.250%, 02/01/2018		3,430		4,097
6.400%, 10/02/2017		3,370		3,898
4.650%, 07/02/2018		3,000		3,318
Berkshire Hathaway
5.400%, 05/15/2018 (C)		400		458
3.750%, 08/15/2021 (C)		488		523
3.200%, 02/11/2015		1,634		1,667
2.450%, 12/15/2015		187		193
2.200%, 08/15/2016		75		77
BlackRock
6.250%, 09/15/2017		570		659
3.375%, 06/01/2022		180		186
Blackstone Holdings Finance LLC
5.875%, 03/15/2021 (B)		1,180		1,381
BNP Paribas MTN
2.375%, 09/14/2017		1,490		1,531
Boston Properties‡
3.800%, 02/01/2024		514		524
3.125%, 09/01/2023		785		765


130		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

BPCE
5.700%, 10/22/2023 (B)	$	710	$	772
4.000%, 04/15/2024		635		647
Branch Banking & Trust
5.625%, 09/15/2016		325		359
Caisse Centrale Desjardins du Quebec
2.550%, 03/24/2016 (B)		581		603
Caixa Economica Federal
4.250%, 05/13/2019 (B)		1,145		1,144
Canadian Imperial Bank of Commerce
2.600%, 07/02/2015 (B)		1,000		1,025
Capital One Bank USA
3.375%, 02/15/2023		300		299
Capital One Financial
4.750%, 07/15/2021		375		418
3.500%, 06/15/2023		814		818
Caterpillar Financial Services MTN
7.150%, 02/15/2019		250		308
5.850%, 09/01/2017		580		663
2.850%, 06/01/2022		155		154
CDP Financial
4.400%, 11/25/2019 (B)		300		335
Charles Schwab
3.225%, 09/01/2022		100		101
Chase Capital VI
0.850%, 08/01/2028 (A)		1,050		911
Citigroup
8.500%, 05/22/2019		600		769
8.125%, 07/15/2039		400		597
6.875%, 03/05/2038		695		914
6.375%, 08/12/2014		3,162		3,197
6.125%, 05/15/2018		440		509
6.010%, 01/15/2015		1,574		1,627
6.000%, 08/15/2017		4,345		4,927
5.875%, 01/30/2042		550		657
5.850%, 08/02/2016		300		330
5.500%, 02/15/2017		11,465		12,664
5.500%, 09/13/2025		1,370		1,515
5.375%, 08/09/2020		2,888		3,309
4.700%, 05/29/2015		1,488		1,548
4.587%, 12/15/2015		114		121
4.500%, 01/14/2022		151		164
4.050%, 07/30/2022		300		307
3.500%, 05/15/2023		1,080		1,049
3.375%, 03/01/2023 (C)		181		179
2.650%, 03/02/2015		989		1,004
2.550%, 04/08/2019		2,195		2,218
2.500%, 09/26/2018		395		401
1.700%, 07/25/2016		1,695		1,717
1.350%, 03/10/2017		2,445		2,446
1.250%, 01/15/2016		230		231
0.777%, 08/25/2036 (A)		3,239		2,567


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

Citigroup Capital III
7.625%, 12/01/2036	$	2,000	$	2,440
CME Group
3.000%, 09/15/2022		400		401
CNA Financial
5.875%, 08/15/2020		274		322
5.850%, 12/15/2014		200		206
Comerica
3.000%, 09/16/2015		145		150
CommonWealth‡
6.650%, 01/15/2018		255		280
5.875%, 09/15/2020		95		104
Commonwealth Bank of Australia
5.000%, 10/15/2019 (B)		900		1,019
3.750%, 10/15/2014 (B)		1,810		1,834
2.250%, 03/16/2017 (B)		378		391
1.250%, 09/18/2015		2,480		2,507
Cooperatieve Centrale Raiffeisen- Boerenleenbank BA
11.000%, 12/31/2049 (A) (B)		2,043		2,740
5.800%, 09/30/2110 (B)		300		334
5.750%, 12/01/2043		710		808
4.625%, 12/01/2023		2,060		2,175
4.500%, 01/11/2021		300		332
3.200%, 03/11/2015 (B)		700		715
Corporate Office Properties‡
3.700%, 06/15/2021		770		773
Countrywide Financial
6.250%, 05/15/2016		1,170		1,282
Credit Agricole
8.375%, 12/31/2049 (A) (B)		3,250		3,819
Credit Suisse NY
6.000%, 02/15/2018		990		1,133
2.300%, 05/28/2019		2,730		2,742
1.375%, 05/26/2017		2,450		2,454
0.547%, 08/24/2015 (A)		6,000		5,996
0.467%, 04/10/2015 (A)		2,500		2,502
DDR‡
4.625%, 07/15/2022		1,860		2,002
3.375%, 05/15/2023		1,690		1,655
Deutsche Bank MTN
3.875%, 08/18/2014		295		297
3.700%, 05/30/2024		2,223		2,235
1.350%, 05/30/2017		2,440		2,442
DnB Boligkreditt
2.100%, 10/14/2015 (B)		1,057		1,081
ERAC USA
5.600%, 05/01/2015 (B)		90		94
ERAC USA Finance LLC
4.500%, 08/16/2021 (B)		175		191
ERP Operating‡
5.750%, 06/15/2017		500		566
5.125%, 03/15/2016		1,000		1,078
4.625%, 12/15/2021		236		261


SEI Institutional Investments Trust / Annual Report / May 31, 2014			131

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


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

Farmers Exchange Capital
7.200%, 07/15/2048 (B)	$	1,788	$	2,236
Farmers Exchange Capital II
6.151%, 11/01/2053 (A) (B)		6,000		6,729
Federal Realty Investment Trust‡
3.950%, 01/15/2024		830		866
3.000%, 08/01/2022		1,470		1,459
Fifth Third Bank
1.450%, 02/28/2018		248		247
First Chicago NBD Institutional Capital I
0.775%, 02/01/2027 (A)		3,750		3,253
First Industrial MTN
7.500%, 12/01/2017		1,765		2,048
Five Corners Funding Trust
4.419%, 11/15/2023 (B)		3,215		3,404
FMR LLC
6.450%, 11/15/2039 (B)		250		315
Ford Motor Credit LLC
8.125%, 01/15/2020		1,640		2,091
7.000%, 04/15/2015		4,000		4,221
5.875%, 08/02/2021		3,110		3,646
5.000%, 05/15/2018		206		229
4.207%, 04/15/2016		401		425
3.984%, 06/15/2016		555		588
3.000%, 06/12/2017		1,173		1,225
General Electric Capital MTN
6.875%, 01/10/2039		2,230		2,991
6.750%, 03/15/2032		150		198
6.375%, 11/15/2067 (A)		4,915		5,481
6.150%, 08/07/2037		3,880		4,826
6.000%, 08/07/2019		920		1,091
5.875%, 01/14/2038		1,700		2,037
5.625%, 09/15/2017		800		908
5.625%, 05/01/2018		6,090		6,998
5.550%, 05/04/2020		590		689
5.500%, 01/08/2020		480		558
5.400%, 02/15/2017		1,800		2,008
5.375%, 10/20/2016		1,500		1,659
5.300%, 02/11/2021		1,753		1,995
4.650%, 10/17/2021		140		156
4.625%, 01/07/2021		3,640		4,063
4.375%, 09/16/2020		60		66
2.300%, 04/27/2017		600		620
2.250%, 11/09/2015		180		185
2.100%, 12/11/2019		356		358
1.625%, 07/02/2015		1,010		1,022
0.704%, 08/15/2036 (A)		3,035		2,521
0.603%, 05/05/2026 (A)		1,600		1,477
Glitnir Banki (B) (D) (H)
7.451%, 09/14/2016		500		—
6.693%, 06/15/2016		4,480		—
Goldman Sachs Capital II
4.000%, 06/01/2043 (A)		13,260		10,674


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

Goldman Sachs Group
7.500%, 02/15/2019	$	1,520	$	1,861
6.750%, 10/01/2037		4,717		5,660
6.250%, 09/01/2017		1,400		1,601
6.250%, 02/01/2041		2,925		3,603
6.150%, 04/01/2018		7,800		8,971
6.000%, 06/15/2020		2,795		3,255
5.950%, 01/18/2018		500		570
5.750%, 10/01/2016		1,505		1,662
5.375%, 03/15/2020		2,635		2,986
5.250%, 07/27/2021		9,760		10,971
4.000%, 03/03/2024		1,420		1,445
3.625%, 02/07/2016		470		491
3.625%, 01/22/2023 (C)		178		178
2.625%, 01/31/2019 (C)		2,585		2,621
0.628%, 07/22/2015 (A)		45		45
GTP Acquisition Partners I LLC
4.347%, 06/15/2016 (B)		606		628
HBOS Capital Funding (B)
6.750%, 05/21/2018		5,100		5,887
6.071%, 06/30/2049 (A)		1,220		1,220
HCP MTN‡
6.300%, 09/15/2016		940		1,052
6.000%, 01/30/2017		2,313		2,600
5.375%, 02/01/2021		105		120
3.750%, 02/01/2019		121		129
2.625%, 02/01/2020		7,928		7,959
Health Care‡
6.500%, 03/15/2041		1,650		2,108
5.250%, 01/15/2022		1,825		2,053
4.950%, 01/15/2021		6,340		7,025
4.700%, 09/15/2017		225		247
4.500%, 01/15/2024		183		193
Healthcare Realty Trust‡
6.500%, 01/17/2017		85		96
5.750%, 01/15/2021		60		68
Highwoods Properties‡
7.500%, 04/15/2018		1,339		1,592
Hongkong & Shanghai Banking
0.348%, 07/22/2049 (A)		195		133
HSBC Bank
4.750%, 01/19/2021 (B)		400		447
4.125%, 08/12/2020 (B)		261		282
3.500%, 06/28/2015 (B)		123		127
3.100%, 05/24/2016 (B)		4,770		4,987
1.625%, 07/07/2014 (B)		728		730
1.500%, 05/15/2018 (B)		327		325
0.600%, 06/29/2049 (A)		1,160		796
HSBC Finance
6.676%, 01/15/2021		2,800		3,352
5.500%, 01/19/2016		600		646
HSBC Holdings
5.250%, 03/14/2044		1,130		1,195
5.100%, 04/05/2021		201		229


132		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

4.875%, 01/14/2022	$	300	$	337
4.250%, 03/14/2024 (C)		3,295		3,394
4.000%, 03/30/2022		490		522
HSBC USA
2.375%, 02/13/2015		1,846		1,872
Hutchison Whampoa International 12 II
3.250%, 11/08/2022 (B)		294		289
Hyundai Capital America
2.125%, 10/02/2017 (B)		650		660
ILFC E-Capital Trust II
6.250%, 12/21/2065 (A) (B)		1,200		1,185
ING Bank (B)
5.800%, 09/25/2023 (C)		3,145		3,517
3.750%, 03/07/2017		457		488
2.000%, 09/25/2015		200		203
ING US
2.900%, 02/15/2018		350		363
IntercontinentalExchange Group
2.500%, 10/15/2018		151		155
International Lease Finance (B)
6.750%, 09/01/2016		5,590		6,184
6.500%, 09/01/2014		7,190		7,280
Intesa Sanpaolo
3.625%, 08/12/2015 (B)		940		963
3.125%, 01/15/2016		860		885
2.375%, 01/13/2017		1,839		1,865
Invesco Finance
4.000%, 01/30/2024		171		179
Jefferies Group
8.500%, 07/15/2019		90		112
6.450%, 06/08/2027		590		667
6.250%, 01/15/2036		400		418
3.875%, 11/09/2015		171		177
John Deere Capital
5.750%, 09/10/2018		300		350
2.250%, 04/17/2019		930		945
1.700%, 01/15/2020		405		395
1.200%, 10/10/2017		196		196
JPMorgan Chase
6.400%, 05/15/2038		385		485
6.000%, 07/05/2017		3,365		3,820
6.000%, 10/01/2017		9,155		10,436
6.000%, 01/15/2018		400		460
5.150%, 10/01/2015		130		137
5.125%, 09/15/2014		136		138
4.850%, 02/01/2044		975		1,022
4.500%, 01/24/2022		750		820
4.350%, 08/15/2021		510		556
3.625%, 05/13/2024		6,255		6,301
3.450%, 03/01/2016		1,015		1,061
3.375%, 05/01/2023 (C)		1,340		1,309
0.563%, 06/13/2016 (A)		4,250		4,234


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

JPMorgan Chase Capital XXIII
1.224%, 05/15/2047 (A)	$	4,697	$	3,711
Kaupthing Bank
7.125%, 05/19/2016 (B) (D) (H)		12,000		1
KeyBank
5.800%, 07/01/2014		600		603
Kimco Realty‡
3.200%, 05/01/2021		815		821
Landwirtschaftliche Rentenbank
1.375%, 10/23/2019		1,370		1,341
Lazard Group
6.850%, 06/15/2017		2,955		3,368
Lazard Group LLC
4.250%, 11/14/2020		1,550		1,626
Liberty Mutual Group (B)
6.500%, 05/01/2042		899		1,132
5.000%, 06/01/2021		95		105
Lincoln National
4.850%, 06/24/2021		58		65
Lloyds TSB Bank MTN
5.800%, 01/13/2020 (B)		200		234
M&T Bank
6.875%, 12/29/2049		3,540		3,575
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		485
6.250%, 01/14/2021		525		602
6.000%, 01/14/2020		225		255
Manufacturers & Traders Trust
6.625%, 12/04/2017		250		291
Markel
4.900%, 07/01/2022		915		1,007
3.625%, 03/30/2023		625		626
Massachusetts Mutual Life Insurance (B)
8.875%, 06/01/2039		1,650		2,639
5.375%, 12/01/2041 (C)		66		75
MassMutual Global Funding
2.000%, 04/05/2017 (B)		120		123
MassMutual Global Funding II (B)
3.125%, 04/14/2016		100		105
2.500%, 10/17/2022		363		351
2.100%, 08/02/2018		105		107
Merrill Lynch MTN
6.875%, 04/25/2018		980		1,161
6.400%, 08/28/2017		1,600		1,835
5.700%, 05/02/2017		1,870		2,075
MetLife
7.717%, 02/15/2019		1,750		2,187


SEI Institutional Investments Trust / Annual Report / May 31, 2014			133

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


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

6.750%, 06/01/2016	$	2,950	$	3,298
6.400%, 12/15/2036 (C)		4,360		4,864
3.600%, 04/10/2024		590		601
Metropolitan Life Global Funding I (B)
5.125%, 06/10/2014		1,575		1,576
3.875%, 04/11/2022		1,125		1,197
3.650%, 06/14/2018		490		524
1.700%, 06/29/2015		497		503
1.500%, 01/10/2018		2,500		2,491
Mid-America Apartments‡
4.300%, 10/15/2023		1,135		1,182
Morgan Stanley MTN
7.300%, 05/13/2019		1,275		1,558
6.625%, 04/01/2018		6,010		7,039
5.950%, 12/28/2017		550		627
5.750%, 10/18/2016		190		210
5.750%, 01/25/2021		235		272
5.625%, 09/23/2019		2,170		2,498
5.550%, 04/27/2017		514		573
5.500%, 07/28/2021		200		229
5.450%, 01/09/2017		350		387
5.375%, 10/15/2015		1,585		1,685
4.750%, 03/22/2017		300		327
4.200%, 11/20/2014		1,851		1,884
3.875%, 04/29/2024 (C)		2,700		2,730
3.750%, 02/25/2023		179		182
0.678%, 10/18/2016 (A)		3,700		3,693
Murray Street Investment Trust I
4.647%, 03/09/2017 (E)		2,695		2,922
National Australia Bank
3.750%, 03/02/2015 (B)		455		466
3.000%, 07/27/2016 (B)		1,000		1,046
1.600%, 08/07/2015		1,080		1,095
National Bank of Canada
2.200%, 10/19/2016 (B)		4,350		4,496
National Capital Trust II
5.486%, 12/29/2049 (A) (B)		40		41
National City
4.900%, 01/15/2015		400		411
National City Bank MTN
5.800%, 06/07/2017		525		592
0.604%, 06/07/2017 (A)		3,000		2,987
Nationwide Mutual Insurance (B)
9.375%, 08/15/2039		460		719
5.810%, 12/15/2024 (A)		4,407		4,465
New York Life
2.100%, 01/02/2019 (B)		1,625		1,631
New York Life Global Funding
3.000%, 05/04/2015 (B)		400		409
New York Life Insurance
6.750%, 11/15/2039 (B)		1,355		1,824


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

Nomura Holdings
6.700%, 03/04/2020	$	298	$	358
4.125%, 01/19/2016		150		157
Norddeutsche Landesbank Girozentrale
2.000%, 02/05/2019 (B)		5,600		5,631
Nordea Bank (B)
4.875%, 05/13/2021		2,085		2,253
3.700%, 11/13/2014		240		244
1.625%, 05/15/2018		500		498
Northwestern Mutual Life Insurance
6.063%, 03/30/2040 (B)		2,470		3,076
Oversea-Chinese Banking
1.625%, 03/13/2015 (B)		200		202
PACCAR Financial MTN
1.600%, 03/15/2017		164		166
1.550%, 09/29/2014		348		349
Pacific Life Global Funding MTN
5.000%, 05/15/2017 (B)		170		178
Pacific Life Insurance
9.250%, 06/15/2039 (B)		560		849
PNC Bank
6.000%, 12/07/2017		250		286
0.800%, 01/28/2016		297		298
PNC Funding
5.125%, 02/08/2020		340		389
2.700%, 09/19/2016		88		92
Post Apartment Homes
4.750%, 10/15/2017		70		77
Pricoa Global Funding I (B)
5.450%, 06/11/2014		300		300
1.600%, 05/29/2018		150		148
Principal Life Global Funding I
5.050%, 03/15/2015 (B)		750		777
Private Export Funding
4.375%, 03/15/2019		4,660		5,256
2.125%, 07/15/2016		4,760		4,926
Prudential Holdings
8.695%, 12/18/2023 (B)		2,929		3,723
Prudential Holdings LLC
1.110%, 12/18/2017 (A) (B)		3,900		3,931
Prudential Insurance of America
8.300%, 07/01/2025 (B)		600		823
Reckson Operating Partnership‡
6.000%, 03/31/2016		95		103
Royal Bank of Canada MTN
2.300%, 07/20/2016		640		662
1.200%, 09/19/2017		1,126		1,125
0.625%, 12/04/2015		2,970		2,979
0.418%, 06/29/2085 (A)		860		597
Royal Bank of Scotland Group
6.400%, 10/21/2019		1,950		2,290


134		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

6.100%, 06/10/2023	$	1,650	$	1,790
5.125%, 05/28/2024		2,180		2,181
2.550%, 09/18/2015		850		868
Santander US Debt SAU
3.724%, 01/20/2015 (B)		1,880		1,913
Security Benefit Life Insurance
8.750%, 05/15/2016 (B)		5,200		5,720
Simon Property Group‡
10.350%, 04/01/2019		940		1,281
5.650%, 02/01/2020		133		156
4.375%, 03/01/2021		130		144
4.125%, 12/01/2021		108		117
Skandinaviska Enskilda Banken
1.750%, 03/19/2018 (B)		322		321
SL Green Realty‡
7.750%, 03/15/2020		2,000		2,435
SLM MTN
8.450%, 06/15/2018 (C)		530		624
3.875%, 09/10/2015		2,360		2,425
Societe Generale
0.420%, 11/29/2049 (A)		860		578
Sparebank 1 Boligkreditt
1.750%, 11/15/2019 (B)		541		530
Stadshypotek
1.875%, 10/02/2019 (B) (C)		1,910		1,890
Standard Chartered (B)
5.700%, 03/26/2044		3,935		4,177
5.200%, 01/26/2024 (C)		410		436
State Street
4.956%, 03/15/2018		2,560		2,825
3.700%, 11/20/2023		308		321
3.100%, 05/15/2023		24		23
Sumitomo Mitsui Banking (B)
3.150%, 07/22/2015		1,010		1,040
3.100%, 01/14/2016		640		664
Sumitomo Mitsui Financial Group
4.436%, 04/02/2024 (B)		1,035		1,074
SunTrust Banks
2.350%, 11/01/2018		39		40
Svenska Handelsbanken
3.125%, 07/12/2016		282		296
Tanger Properties‡
3.875%, 12/01/2023		765		784
Teachers Insurance & Annuity Association of America
6.850%, 12/16/2039 (B)		1,740		2,353
Temasek Financial I MTN
2.375%, 01/23/2023 (B)		1,660		1,583
Toronto-Dominion Bank MTN
2.500%, 07/14/2016		538		559
2.200%, 07/29/2015 (B)		295		301


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

Toyota Motor Credit MTN
3.400%, 09/15/2021	$	2,690	$	2,811
2.050%, 01/12/2017		215		221
1.250%, 10/05/2017		2,740		2,746
Travelers
5.900%, 06/02/2019		145		171
Travelers Property Casualty
7.750%, 04/15/2026		300		414
UBS MTN
5.875%, 12/20/2017		303		347
5.750%, 04/25/2018		150		172
3.875%, 01/15/2015		785		802
UDR MTN‡
5.250%, 01/15/2015		75		77
US Bancorp MTN
4.125%, 05/24/2021		134		146
3.000%, 03/15/2022		67		68
2.875%, 11/20/2014		415		420
2.450%, 07/27/2015		300		307
Ventas Realty‡
4.000%, 04/30/2019		3,553		3,825
Vesey Street Investment Trust I
4.404%, 09/01/2016 (E)		870		931
Wachovia
5.750%, 06/15/2017		690		782
0.565%, 10/28/2015 (A)		3,210		3,214
Wachovia Bank MTN
6.000%, 11/15/2017		4,220		4,856
0.563%, 03/15/2016 (A)		1,200		1,200
Wachovia Capital Trust III
5.570%, 12/31/2049 (A)		4,792		4,672
WEA Finance
6.750%, 09/02/2019 (B)		1,021		1,244
WEA Finance LLC (B)
7.125%, 04/15/2018		970		1,158
4.625%, 05/10/2021		2,360		2,652
Wells Fargo
5.625%, 12/11/2017		830		945
5.606%, 01/15/2044		1,700		1,929
5.375%, 11/02/2043		220		240
4.600%, 04/01/2021		500		557
4.480%, 01/16/2024		1,392		1,475
3.676%, 06/15/2016 (E)		2,980		3,153
3.500%, 03/08/2022		250		259
3.450%, 02/13/2023 (C)		1,100		1,093
3.000%, 01/22/2021		3,020		3,083
1.500%, 01/16/2018		800		800
1.250%, 02/13/2015		203		204
Wells Fargo Capital X
5.950%, 12/15/2036		860		875
Westpac Banking
4.875%, 11/19/2019		604		681
2.450%, 11/28/2016 (B)		350		363


SEI Institutional Investments Trust / Annual Report / May 31, 2014			135

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


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

Woodbourne Capital Trust I
2.610%, 04/08/2049 (A) (B)	$	625	$	344
WR Berkley
4.625%, 03/15/2022		761		816
XLIT
5.250%, 12/15/2043		800		889
ZFS Finance USA Trust II
6.450%, 12/15/2065 (A) (B)		6,290		6,793

				732,204


Health Care — 1.3%
AbbVie
4.400%, 11/06/2042		2,290		2,296
2.900%, 11/06/2022 (C)		2,090		2,058
1.750%, 11/06/2017		2,047		2,065
Actavis
3.250%, 10/01/2022		112		110
Aetna
6.750%, 12/15/2037		60		80
4.500%, 05/15/2042		71		73
2.200%, 03/15/2019		945		949
Amgen
5.750%, 03/15/2040		237		277
5.700%, 02/01/2019		100		117
5.650%, 06/15/2042		3,435		3,981
5.375%, 05/15/2043		1,020		1,134
5.150%, 11/15/2041 (C)		2,040		2,195
4.850%, 11/18/2014		50		51
4.500%, 03/15/2020		84		92
3.875%, 11/15/2021		200		212
3.625%, 05/22/2024		1,890		1,908
1.250%, 05/22/2017		3,070		3,070
Boston Scientific
4.125%, 10/01/2023		860		898
Catholic Health Initiatives
4.350%, 11/01/2042		190		180
Celgene
5.250%, 08/15/2043		1,060		1,160
4.625%, 05/15/2044		770		768
3.625%, 05/15/2024		1,223		1,232
2.250%, 05/15/2019		1,520		1,528
1.900%, 08/15/2017		337		342
CHS
8.000%, 11/15/2019		200		220
Express Scripts Holding
3.500%, 11/15/2016		3,430		3,633
2.650%, 02/15/2017		134		139
2.100%, 02/12/2015		2,055		2,078
Gilead Sciences
3.700%, 04/01/2024		2,485		2,556
GlaxoSmithKline Capital
5.650%, 05/15/2018		1,590		1,837
2.850%, 05/08/2022		410		408


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

HCA
7.250%, 09/15/2020	$	1,165	$	1,254
Humana
7.200%, 06/15/2018		1,950		2,332
McKesson
3.796%, 03/15/2024		1,220		1,248
Medco Health Solutions
7.125%, 03/15/2018		250		297
2.750%, 09/15/2015		135		139
Medtronic
4.450%, 03/15/2020		1,210		1,353
3.625%, 03/15/2024		2,765		2,866
Merck
2.400%, 09/15/2022		156		150
Mylan
5.400%, 11/29/2043		475		514
2.550%, 03/28/2019		1,980		2,002
1.800%, 06/24/2016		77		78
Novartis Securities Investment
5.125%, 02/10/2019		94		108
Perrigo (B)
4.000%, 11/15/2023		1,065		1,087
2.300%, 11/08/2018		1,360		1,365
Pfizer
6.200%, 03/15/2019		430		511
3.000%, 06/15/2023		955		949
Quest Diagnostics
4.250%, 04/01/2024(C)		1,565		1,607
Roche Holdings
6.000%, 03/01/2019(B)		798		943
St. Jude Medical
3.250%, 04/15/2023		1,720		1,712
Teva Pharmaceutical Finance IV
3.650%, 11/10/2021		940		967
Thermo Fisher Scientific
5.300%, 02/01/2044		140		156
4.150%, 02/01/2024		172		181
3.600%, 08/15/2021		1,445		1,508
3.200%, 03/01/2016		1,425		1,485
1.300%, 02/01/2017		1,793		1,799
UnitedHealth Group
6.625%, 11/15/2037		360		477
5.800%, 03/15/2036		560		679
5.700%, 10/15/2040		800		971
3.875%, 10/15/2020		870		937
3.375%, 11/15/2021(C)		625		644
2.875%, 03/15/2023		150		147
WellPoint
5.875%, 06/15/2017		350		394
5.100%, 01/15/2044		550		599
4.625%, 05/15/2042		219		223
3.700%, 08/15/2021		290		304
3.300%, 01/15/2023		478		477


136		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

3.125%, 05/15/2022	$	3,402	$	3,413
1.250%, 09/10/2015		610		615
Wyeth
5.950%, 04/01/2037		1,980		2,451
Zoetis
4.700%, 02/01/2043		34		35
3.250%, 02/01/2023		479		474

				77,098


Industrials — 1.1%
3M
1.375%, 09/29/2016		86		88
ABB Finance USA
4.375%, 05/08/2042		227		234
2.875%, 05/08/2022		117		116
1.625%, 05/08/2017		81		82
ADT
4.875%, 07/15/2042		111		92
4.125%, 06/15/2023		48		45
3.500%, 07/15/2022 (C)		105		96
Air 2 US
8.027%, 10/01/2019 (B)		971		1,029
Air Canada, Pass-Through Trust, Ser 2013-1, Cl A
4.125%, 05/15/2025 (B)		138		138
American Airlines, Pass-Through Trust, Ser 2011-1, Cl A
5.250%, 01/31/2021		92		99
BAE Systems (B)
5.800%, 10/11/2041		90		107
4.750%, 10/11/2021		3,955		4,314
BAE Systems Holdings
5.200%, 08/15/2015 (B)		360		378
Boeing
4.875%, 02/15/2020		2,440		2,782
Burlington Northern Santa Fe LLC
7.290%, 06/01/2036		200		268
5.650%, 05/01/2017		200		226
5.400%, 06/01/2041		200		230
4.700%, 10/01/2019		375		424
4.375%, 09/01/2042		150		149
3.450%, 09/15/2021		60		62
3.050%, 09/01/2022		300		300
Canadian National Railway
5.850%, 11/15/2017		150		172
5.550%, 05/15/2018		385		440
Cargill (B)
7.350%, 03/06/2019		400		485
3.300%, 03/01/2022		200		200
Caterpillar
2.600%, 06/26/2022		123		120


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

Continental Airlines, Pass-Through Trust, Ser 1997-4, Cl A
6.900%, 01/02/2018	$	106	$	114
Continental Airlines, Pass-Through Trust, Ser 1999-1, Cl A
6.545%, 02/02/2019		389		435
Continental Airlines, Pass-Through Trust, Ser 1999-2, Cl A
7.256%, 03/15/2020		940		1,067
Continental Airlines, Pass-Through Trust, Ser 2000-1, Cl A
8.048%, 11/01/2020		2,067		2,388
Continental Airlines, Pass-Through Trust, Ser 2007-1, Cl A
5.983%, 04/19/2022 (C)		2,465		2,810
Continental Airlines, Pass-Through Trust, Ser 2012-2, Cl A
4.000%, 10/29/2024		123		125
CRH America
6.000%, 09/30/2016		154		171
CSX
7.375%, 02/01/2019		460		566
4.250%, 06/01/2021		65		71
Danaher
3.900%, 06/23/2021		266		287
Deere
3.900%, 06/09/2042		64		61
2.600%, 06/08/2022		74		72
Delta Air Lines, Pass-Through Trust, Ser 2007-1, Cl A
6.821%, 08/10/2022		1,438		1,707
Delta Air Lines, Pass-Through Trust, Ser 2010-2, Cl A
4.950%, 05/23/2019 (C)		203		222
Delta Air Lines, Pass-Through Trust, Ser 2011-1, Cl A
5.300%, 04/15/2019		63		69
Delta Air Lines, Pass-Through Trust, Ser 2012-1, Cl A
4.750%, 05/07/2020		91		99
Eaton
7.625%, 04/01/2024		325		416
4.150%, 11/02/2042		530		514
4.000%, 11/02/2032		99		99
2.750%, 11/02/2022 (C)		2,460		2,383
1.500%, 11/02/2017		692		695


SEI Institutional Investments Trust / Annual Report / May 31, 2014			137

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


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

Fluor
3.375%, 09/15/2021	$	308	$	318
General Electric
5.250%, 12/06/2017		341		386
4.500%, 03/11/2044		530		555
4.125%, 10/09/2042		246		243
0.850%, 10/09/2015		1,060		1,066
Illinois Tool Works
3.900%, 09/01/2042 (C)		960		912
Ingersoll-Rand
6.391%, 11/15/2027		425		509
JetBlue Airways Private Trust, Ser 2004-2, Cl G1
0.599%, 08/15/2016 (A)		2,410		2,386
John Deere Capital MTN
1.250%, 12/02/2014		122		123
Koninklijke Philips
7.200%, 06/01/2026		300		375
5.750%, 03/11/2018		100		115
3.750%, 03/15/2022		424		447
L-3 Communications
3.950%, 05/28/2024		1,135		1,153
Lockheed Martin
4.070%, 12/15/2042		453		442
3.350%, 09/15/2021		3,435		3,594
2.125%, 09/15/2016		187		193
Norfolk Southern
6.000%, 05/23/2111		527		635
3.950%, 10/01/2042		129		122
Northrop Grumman
4.750%, 06/01/2043		1,520		1,601
3.250%, 08/01/2023		7,030		6,971
Pitney Bowes MTN
5.600%, 03/15/2018		100		112
Raytheon
3.125%, 10/15/2020		720		749
Republic Services
3.550%, 06/01/2022		125		129
Ryder System MTN
3.600%, 03/01/2016		132		138
2.500%, 03/01/2017		177		181
Union Pacific
4.875%, 01/15/2015		497		511
4.300%, 06/15/2042		100		102
4.163%, 07/15/2022		437		477
Union Pacific Railroad, Pass-Through Trust
4.698%, 01/02/2024		128		142
United Parcel Service
8.375%, 04/01/2020		140		184
3.125%, 01/15/2021		90		94
2.450%, 10/01/2022		100		97


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

United Technologies
8.875%, 11/15/2019	$	400	$	524
5.400%, 05/01/2035		640		760
4.500%, 06/01/2042		1,210		1,261
3.100%, 06/01/2022		233		238
US Airways, Pass-Through Trust, Ser 2012-1, Cl A
5.900%, 10/01/2024		46		52
US Airways, Pass-Through Trust, Ser 2012-2, Cl A
4.625%, 06/03/2025		5,252		5,488
Waste Management
7.125%, 12/15/2017		1,650		1,930
4.750%, 06/30/2020		299		335
3.500%, 05/15/2024		720		727

				63,424


Information Technology — 0.8%
Apple
4.450%, 05/06/2044		1,090		1,111
3.450%, 05/06/2024		1,940		1,971
2.850%, 05/06/2021		9,457		9,589
2.400%, 05/03/2023 (C)		568		540
0.473%, 05/03/2018 (A)		345		345
Arrow Electronics
6.875%, 06/01/2018		270		309
6.000%, 04/01/2020		225		254
3.375%, 11/01/2015		60		62
Cisco Systems
5.900%, 02/15/2039		250		304
5.500%, 02/22/2016		116		126
5.500%, 01/15/2040		670		787
3.625%, 03/04/2024 (C)		2,175		2,236
2.125%, 03/01/2019		2,625		2,651
eBay
4.000%, 07/15/2042		84		77
2.600%, 07/15/2022 (C)		166		160
EMC
3.375%, 06/01/2023		190		192
Google
3.375%, 02/25/2024		1,565		1,608
Hewlett-Packard
6.000%, 09/15/2041		95		107
4.650%, 12/09/2021		45		49
4.300%, 06/01/2021		94		101
HP Enterprise Services LLC
7.450%, 10/15/2029		500		616
Intel
4.800%, 10/01/2041		630		675
3.300%, 10/01/2021		312		324
1.950%, 10/01/2016		101		104


138		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

International Business Machines
7.625%, 10/15/2018	$	365	$	455
4.000%, 06/20/2042 (C)		327		316
3.625%, 02/12/2024		1,765		1,814
1.950%, 07/22/2016		126		130
1.625%, 05/15/2020		2,876		2,760
1.250%, 02/06/2017		189		191
0.875%, 10/31/2014		313		314
Intuit
5.750%, 03/15/2017		765		859
Juniper Networks
4.500%, 03/15/2024		400		419
MasterCard
3.375%, 04/01/2024		3,675		3,739
Microsoft
4.500%, 10/01/2040		61		64
3.625%, 12/15/2023		178		187
1.625%, 09/25/2015		405		412
0.875%, 11/15/2017		54		54
National Semiconductor
6.600%, 06/15/2017		480		556
3.950%, 04/15/2015		500		516
Oracle
6.500%, 04/15/2038		100		131
6.125%, 07/08/2039		163		206
5.750%, 04/15/2018		128		148
5.375%, 07/15/2040		97		113
5.000%, 07/08/2019		450		514
3.625%, 07/15/2023		1,219		1,263
2.375%, 01/15/2019		91		93
1.200%, 10/15/2017		104		104
Texas Instruments
2.750%, 03/12/2021		1,435		1,455
TSMC Global
1.625%, 04/03/2018 (B)		3,415		3,378
Xerox
4.500%, 05/15/2021		80		87
2.950%, 03/15/2017		165		172

				44,748


Materials — 1.0%
Barrick (C)
4.100%, 05/01/2023		3,570		3,480
3.850%, 04/01/2022		640		623
Barrick Gold
6.950%, 04/01/2019		1,530		1,825
Barrick North America Finance LLC
4.400%, 05/30/2021		700		718
BHP Billiton Finance USA
6.500%, 04/01/2019		445		539
5.000%, 09/30/2043		2,444		2,679
4.125%, 02/24/2042		147		143


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

3.850%, 09/30/2023	$	1,870	$	1,965
3.250%, 11/21/2021		3,010		3,109
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		1,177
Cliffs Natural Resources
4.875%, 04/01/2021 (C)		90		89
Codelco
4.750%, 10/15/2014 (B)		900		912
Dow Chemical
8.550%, 05/15/2019		177		228
4.250%, 11/15/2020		118		128
4.125%, 11/15/2021		200		214
3.000%, 11/15/2022		5,405		5,283
E.I. du Pont de Nemours
5.600%, 12/15/2036		275		328
4.900%, 01/15/2041		125		137
1.950%, 01/15/2016		162		166
Ecolab
4.350%, 12/08/2021		420		462
1.450%, 12/08/2017		246		246
Freeport-McMoRan Copper
3.550%, 03/01/2022		1,155		1,136
3.100%, 03/15/2020		1,210		1,211
2.375%, 03/15/2018		260		264
2.150%, 03/01/2017		404		413
LYB International Finance
5.250%, 07/15/2043 (C)		500		550
4.875%, 03/15/2044		940		984
Mosaic
5.625%, 11/15/2043 (C)		575		649
5.450%, 11/15/2033		814		908
4.875%, 11/15/2041		117		117
4.250%, 11/15/2023		248		262
3.750%, 11/15/2021		98		102
Nucor
4.000%, 08/01/2023		749		775
Placer Dome
6.450%, 10/15/2035		281		303
Potash Corp of Saskatchewan
6.500%, 05/15/2019		250		299
4.875%, 03/30/2020		10		11
PPG Industries
9.000%, 05/01/2021		515		676
6.650%, 03/15/2018		645		756
Praxair
5.200%, 03/15/2017		215		239
4.625%, 03/30/2015		196		203
Rio Tinto Finance USA
9.000%, 05/01/2019		2,435		3,204
6.500%, 07/15/2018		435		513
4.125%, 05/20/2021 (C)		770		832


SEI Institutional Investments Trust / Annual Report / May 31, 2014			139

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


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

3.750%, 09/20/2021	$	1,980	$	2,086
3.500%, 11/02/2020		77		81
2.250%, 12/14/2018		490		497
Rock Tenn
4.000%, 03/01/2023 (C)		330		340
3.500%, 03/01/2020		570		589
Southern Copper
5.250%, 11/08/2042		3,910		3,621
Stauffer Chemical (F) (I)
7.480%, 04/15/2018		860		389
7.275%, 04/15/2017		350		194
Union Carbide
7.750%, 10/01/2096		200		247
7.500%, 06/01/2025		200		251
Vale Overseas
8.250%, 01/17/2034		735		919
6.875%, 11/21/2036		2,958		3,286
4.375%, 01/11/2022 (C)		4,015		4,124
Xstrata Finance Canada (B)
5.800%, 11/15/2016		390		431
2.700%, 10/25/2017		1,900		1,944
2.050%, 10/23/2015		2,878		2,917

				60,985


Telecommunication Services — 1.6%
21st Century Fox America
6.650%, 11/15/2037		385		492
America Movil
5.625%, 11/15/2017		1,450		1,648
5.000%, 03/30/2020		740		833
3.125%, 07/16/2022		2,357		2,328
2.375%, 09/08/2016		238		245
AT&T
6.300%, 01/15/2038		1,400		1,699
5.800%, 02/15/2019		500		582
5.500%, 02/01/2018		370		420
5.350%, 09/01/2040		1,431		1,565
4.450%, 05/15/2021		440		484
4.350%, 06/15/2045		811		773
4.300%, 12/15/2042		1,455		1,390
3.900%, 03/11/2024 (C)		4,310		4,474
3.875%, 08/15/2021		1,660		1,766
3.000%, 02/15/2022		700		699
0.900%, 02/12/2016		184		185
BellSouth Telecommunications
6.300%, 12/15/2015		98		101
Bharti Airtel International Netherlands
5.350%, 05/20/2024 (B)		805		847
British Telecommunications
5.950%, 01/15/2018		1,511		1,736
CC Holdings GS V LLC
3.849%, 04/15/2023		245		247


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

Centel Capital
9.000%, 10/15/2019	$	325	$	389
Comcast Cable Holdings LLC
10.125%, 04/15/2022		190		267
COX Communications
5.450%, 12/15/2014		323		331
Cox Enterprises
7.375%, 07/15/2027 (B)		170		213
Crown Castle Towers LLC
3.214%, 08/15/2015 (B)		290		295
Deutsche Telekom International Finance
6.000%, 07/08/2019		600		709
5.750%, 03/23/2016		1,915		2,082
2.250%, 03/06/2017 (B)		3,130		3,218
DIRECTV Holdings
6.000%, 08/15/2040		2,670		3,086
4.600%, 02/15/2021		400		437
Discovery Communications LLC
4.375%, 06/15/2021		344		373
France Telecom
2.750%, 09/14/2016		140		146
Grupo Televisa
5.000%, 05/13/2045		725		726
GTE
8.750%, 11/01/2021		600		788
News America
7.300%, 04/30/2028		500		635
News America Holdings
8.875%, 04/26/2023		200		271
7.700%, 10/30/2025		200		265
Nippon Telegraph & Telephone
1.400%, 07/18/2017		200		201
Orange
9.000%, 03/01/2031		370		556
Qwest
6.750%, 12/01/2021		593		681
Rogers Communications
5.450%, 10/01/2043		71		80
4.100%, 10/01/2023		133		139
Sprint Capital
8.750%, 03/15/2032		390		451
TCI Communications
7.125%, 02/15/2028		400		530
Telecom Italia Capital
7.175%, 06/18/2019		70		81
6.175%, 06/18/2014		65		65
Telefonica Chile
3.875%, 10/12/2022 (B) (C)		1,290		1,262
Telefonica Emisiones SAU
6.421%, 06/20/2016		100		111
6.221%, 07/03/2017		100		113
5.877%, 07/15/2019		885		1,025


140		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

5.462%, 02/16/2021	$	69	$	78
5.134%, 04/27/2020		860		964
Tencent Holdings MTN (B)
3.375%, 05/02/2019		2,055		2,107
2.000%, 05/02/2017		1,260		1,270
Thomson Reuters
5.650%, 11/23/2043		320		352
UBM
5.750%, 11/03/2020 (B)		850		921
Verizon Communications
7.750%, 12/01/2030		3,930		5,393
6.550%, 09/15/2043 (C)		3,715		4,715
6.400%, 09/15/2033		9,155		11,255
5.850%, 09/15/2035		150		175
5.150%, 09/15/2023 (C)		10,435		11,747
5.050%, 03/15/2034		1,688		1,808
4.500%, 09/15/2020		1,424		1,574
4.150%, 03/15/2024		900		943
3.850%, 11/01/2042		990		877
3.450%, 03/15/2021		2,565		2,659
2.550%, 06/17/2019		1,225		1,249
2.500%, 09/15/2016		80		83
2.450%, 11/01/2022		470		443
Verizon New England
7.875%, 11/15/2029		500		642
Vodafone Group
5.450%, 06/10/2019		226		261
2.950%, 02/19/2023		4,050		3,882
1.625%, 03/20/2017		240		243
Windstream
8.125%, 09/01/2018		365		384
WPP Finance
5.625%, 11/15/2043		150		166
WPP Finance UK
8.000%, 09/15/2014		520		531

				96,762


Utilities — 1.8%
AGL Capital
6.375%, 07/15/2016		200		222
5.875%, 03/15/2041		73		90
5.250%, 08/15/2019		170		193
Alabama Power
6.125%, 05/15/2038		69		89
5.875%, 12/01/2022		275		336
5.500%, 10/15/2017		810		918
Alabama Power Capital Trust V
3.333%, 10/01/2042 (A)		100		94
American Electric Power
1.650%, 12/15/2017		1,937		1,949
American Water Capital
3.850%, 03/01/2024		300		313


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

Appalachian Power
5.950%, 05/15/2033	$	200	$	233
4.600%, 03/30/2021		150		168
Arizona Public Service
5.050%, 09/01/2041		219		248
4.500%, 04/01/2042		63		67
Atmos Energy
4.950%, 10/15/2014		260		264
Berkshire Hathaway Energy
5.150%, 11/15/2043		535		599
3.750%, 11/15/2023		488		505
Boston Gas
4.487%, 02/15/2042 (B)		140		144
CenterPoint Energy
6.500%, 05/01/2018		271		315
CenterPoint Energy Houston Electric LLC
4.500%, 04/01/2044		755		802
CenterPoint Energy Resources
6.125%, 11/01/2017		320		368
4.500%, 01/15/2021		246		271
Cleveland Electric Illuminating
7.880%, 11/01/2017		310		374
Comision Federal de Electricidad
4.875%, 05/26/2021 (B)		249		266
Connecticut Light & Power
4.300%, 04/15/2044		655		675
Consolidated Edison of New York
6.650%, 04/01/2019		650		786
5.700%, 06/15/2040		154		188
4.450%, 03/15/2044		3,650		3,758
Consumers Energy
6.700%, 09/15/2019		400		490
2.850%, 05/15/2022		56		56
Dominion Resources
8.875%, 01/15/2019		1,595		2,052
6.400%, 06/15/2018		295		347
5.250%, 08/01/2033		1,135		1,282
4.900%, 08/01/2041		48		51
1.950%, 08/15/2016		56		57
DPL
7.250%, 10/15/2021		8		9
DTE Electric
5.400%, 08/01/2014		50		50
2.650%, 06/15/2022		66		65
Duke Energy
3.750%, 04/15/2024		1,385		1,433
Duke Energy Carolinas LLC
6.000%, 01/15/2038		48		62
5.100%, 04/15/2018		385		436
4.300%, 06/15/2020		195		215
4.250%, 12/15/2041		120		124
3.900%, 06/15/2021		200		217


SEI Institutional Investments Trust / Annual Report / May 31, 2014			141

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


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

3.550%, 09/15/2021	$	722	$	757
Duke Energy Florida
3.850%, 11/15/2042		1,360		1,298
Duke Energy Ohio
3.800%, 09/01/2023		770		817
Duke Energy Progress
5.300%, 01/15/2019		400		460
3.000%, 09/15/2021		111		114
2.800%, 05/15/2022		121		121
Electricite de France
6.000%, 01/22/2114 (B)		1,190		1,335
Enel Finance International
5.125%, 10/07/2019 (B) (C)		500		563
Entergy Louisiana LLC
6.500%, 09/01/2018		500		590
Exelon
5.625%, 06/15/2035		2,065		2,312
Exelon Generation LLC
6.200%, 10/01/2017 (C)		159		181
5.750%, 10/01/2041		86		96
4.000%, 10/01/2020		588		623
FirstEnergy
4.250%, 03/15/2023		2,040		2,020
2.750%, 03/15/2018		650		658
FirstEnergy, Ser C
7.375%, 11/15/2031		4,905		5,774
Florida Gas Transmission LLC
3.875%, 07/15/2022 (B)		2,170		2,226
Florida Power & Light
5.950%, 10/01/2033		150		190
5.125%, 06/01/2041		197		230
Great Plains Energy
4.850%, 06/01/2021		27		30
Indiana Michigan Power
7.000%, 03/15/2019		170		207
Jersey Central Power & Light
7.350%, 02/01/2019		500		605
John Sevier Combined Cycle Generation
4.626%, 01/15/2042		249		268
Kansas City Power & Light
5.300%, 10/01/2041		350		392
KCP&L Greater Missouri Operations
8.270%, 11/15/2021		2,894		3,660
Massachusetts Electric
5.900%, 11/15/2039 (B)		210		256
Metropolitan Edison
3.500%, 03/15/2023 (B)		5,050		5,047
MidAmerican Energy
5.300%, 03/15/2018		250		285
4.800%, 09/15/2043		95		105


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

MidAmerican Energy Holdings
6.500%, 09/15/2037	$	3,200	$	4,138
6.125%, 04/01/2036		118		147
Nevada Power
7.125%, 03/15/2019		400		492
6.500%, 08/01/2018		290		345
5.450%, 05/15/2041		150		181
5.375%, 09/15/2040		45		53
Niagara Mohawk Power
4.881%, 08/15/2019 (B)		180		203
Nisource Finance
6.800%, 01/15/2019		3,747		4,480
5.800%, 02/01/2042		471		538
Northern States Power
6.250%, 06/01/2036		350		457
5.350%, 11/01/2039		56		67
Oncor Electric Delivery
6.800%, 09/01/2018		4,660		5,578
Pacific Gas & Electric
8.250%, 10/15/2018		1,570		1,972
5.800%, 03/01/2037		560		673
5.400%, 01/15/2040		156		180
4.750%, 02/15/2044 (C)		525		560
4.500%, 12/15/2041		180		185
4.450%, 04/15/2042		2,443		2,501
3.250%, 09/15/2021		35		36
3.250%, 06/15/2023		695		697
PacifiCorp
6.250%, 10/15/2037		310		405
5.650%, 07/15/2018		600		690
5.500%, 01/15/2019		400		462
3.600%, 04/01/2024		2,070		2,149
Potomac Electric Power
3.600%, 03/15/2024		1,400		1,453
PPL Capital Funding
5.000%, 03/15/2044		235		253
3.950%, 03/15/2024		775		808
Progress Energy
6.000%, 12/01/2039 (C)		200		249
PSEG Power LLC
5.500%, 12/01/2015		445		477
5.320%, 09/15/2016		126		138
5.125%, 04/15/2020		120		135
4.150%, 09/15/2021		72		77
2.750%, 09/15/2016		1,055		1,098
Public Service Electric & Gas MTN
5.375%, 11/01/2039		97		116
4.000%, 06/01/2044		2,920		2,863
3.650%, 09/01/2042		113		106
2.700%, 05/01/2015		135		138
Public Service of New Hampshire
3.500%, 11/01/2023		960		993


142		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

Public Service of New Mexico
7.950%, 05/15/2018	$	3,000	$	3,583
Public Service of Oklahoma
5.150%, 12/01/2019		220		250
Puget Energy
6.000%, 09/01/2021		2,045		2,419
Sabine Pass LNG
7.500%, 11/30/2016		710		786
7.500%, 11/30/2016 (B)		230		247
San Diego Gas & Electric
6.000%, 06/01/2026		400		501
3.950%, 11/15/2041		41		40
Sempra Energy
9.800%, 02/15/2019		100		134
6.500%, 06/01/2016		135		150
6.000%, 10/15/2039		170		211
2.875%, 10/01/2022		140		138
South Carolina Electric & Gas
4.500%, 06/01/2064		52		53
Southern
1.950%, 09/01/2016		130		133
Southern California Edison
6.650%, 04/01/2029		200		259
5.500%, 03/15/2040		170		206
4.650%, 04/01/2015		200		207
3.500%, 10/01/2023		2,330		2,427
Southern Power
5.150%, 09/15/2041		44		48
Southern Star Central Gas Pipeline
6.000%, 06/01/2016 (B)		655		707
Southwestern Electric Power
6.450%, 01/15/2019		672		799
3.550%, 02/15/2022		610		628
Southwestern Public Service
8.750%, 12/01/2018		300		386
State Grid Overseas Investment 2014
2.750%, 05/07/2019 (B)		1,725		1,743
Virginia Electric and Power
5.400%, 04/30/2018		695		795
4.650%, 08/15/2043		1,475		1,604
4.450%, 02/15/2044		335		350
2.950%, 01/15/2022		1,470		1,489
Wisconsin Electric Power
3.650%, 12/15/2042		183		169
2.950%, 09/15/2021		14		14

				108,970

Total Corporate Obligations (Cost $1,488,674) ($ Thousands)				1,572,441


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


ASSET-BACKED SECURITIES — 9.8%

Automotive — 1.6%
Ally Auto Receivables Trust, Ser 2010-3, Cl A4
1.550%, 08/17/2015	$	45	$	45
Ally Auto Receivables Trust, Ser 2010-5, Cl A4
1.750%, 03/15/2016		2,371		2,380
Ally Auto Receivables Trust, Ser 2011-1, Cl A4
2.230%, 03/15/2016		2,962		2,976
Ally Auto Receivables Trust, Ser 2011-5, Cl A4
1.320%, 07/15/2016		908		913
Ally Auto Receivables Trust, Ser 2012-1, Cl A3
0.930%, 02/16/2016		297		298
Ally Auto Receivables Trust, Ser 2012-2, Cl A3
0.740%, 04/15/2016		1,377		1,379
Ally Auto Receivables Trust, Ser 2012-5, Cl A2
0.450%, 07/15/2015		502		501
Ally Auto Receivables Trust, Ser 2013-1, Cl A4
0.840%, 02/15/2018		1,172		1,171
Ally Master Owner Trust, Ser 2012-1, Cl A2
1.440%, 02/15/2017		1,960		1,974
American Credit Acceptance Receivables Trust, Ser 2012-2, Cl A
1.890%, 07/15/2016 (B)		159		159
American Credit Acceptance Receivables Trust, Ser 2012-3, Cl A
1.640%, 11/15/2016 (B)		234		234
AmeriCredit Automobile Receivables Trust, Ser 2012-3, Cl A3
0.960%, 01/09/2017		264		265
AmeriCredit Automobile Receivables Trust, Ser 2012-4, Cl A2
0.490%, 04/08/2016		95		95
AmeriCredit Automobile Receivables Trust, Ser 2012-5, Cl A2
0.510%, 01/08/2016		101		101
AmeriCredit Automobile Receivables Trust, Ser 2012-5, Cl A3
0.620%, 06/08/2017		232		232


SEI Institutional Investments Trust / Annual Report / May 31, 2014			143

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


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

AmeriCredit Automobile Receivables Trust, Ser 2013-2, Cl A2
0.530%, 11/08/2016	$	402	$	402
Avis Budget Rental Car Funding LLC, Ser 2012-2A, Cl A
2.802%, 05/20/2018 (B)		1,050		1,090
Avis Budget Rental Car Funding LLC, Ser 2012-3A, Cl A
2.100%, 03/20/2019 (B)		1,700		1,725
Avis Budget Rental Car Funding LLC, Ser 2013-1A, Cl A
1.920%, 09/20/2019 (B)		3,101		3,098
Avis Budget Rental Car Funding LLC, Ser 2013-2A, Cl A
2.970%, 02/20/2020 (B)		590		612
BMW Vehicle Lease Trust, Ser 2012-1, Cl A3
0.750%, 02/20/2015		18		18
California Republic Auto Receivables Trust, Ser 2012-1, Cl A
1.180%, 08/15/2017 (B)		437		439
Capital Auto Receivables Asset Trust, Ser 2013-1, Cl A3
0.790%, 06/20/2017		4,777		4,788
Capital Auto Receivables Asset Trust, Ser 2013-2, Cl A2
0.920%, 09/20/2016		2,443		2,451
Capital Auto Receivables Asset Trust, Ser 2013-2, Cl A4
1.560%, 07/20/2018		1,301		1,316
Capital Auto Receivables Asset Trust, Ser 2013-3, Cl A1B
0.579%, 11/20/2015 (A)		250		250
Capital Auto Receivables Asset Trust, Ser 2013-3, Cl A2
1.040%, 11/21/2016		1,243		1,250
Capital Auto Receivables Asset Trust, Ser 2013-3, Cl A4
1.680%, 04/20/2018		714		723
Capital Auto Receivables Asset Trust, Ser 2013-4, Cl A3
1.090%, 03/20/2018		1,785		1,789
Capital Auto Receivables Asset Trust, Ser 2013-4, Cl A4
1.470%, 07/20/2018		2,428		2,441
Capital Auto Receivables Asset Trust, Ser 2014-1, Cl A3
1.320%, 06/20/2018		1,680		1,692
Capital Auto Receivables Asset Trust, Ser 2014-1, Cl A4
1.690%, 10/22/2018		1,411		1,420


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

Capital Auto Receivables Asset Trust, Ser 2014-2, Cl A1
0.449%, 06/20/2016 (A)	$	2,795	$	2,795
Capital Auto Receivables Asset Trust, Ser 2014-2, Cl A3
1.260%, 05/21/2018		2,575		2,581
Capital Auto Receivables Asset Trust, Ser 2014-2, Cl A4
1.620%, 10/22/2018		736		739
CarMax Auto Owner Trust, Ser 2011-1, Cl A4
2.160%, 09/15/2016		441		445
CPS Auto Receivables Trust, Ser 2013-D, Cl A
1.540%, 07/16/2018 (B)		1,061		1,066
CPS Auto Receivables Trust, Ser 2014-A, Cl A
1.210%, 08/15/2018 (B)		391		391
CPS Auto Trust, Ser 2011-B, Cl A
3.680%, 09/17/2018 (B)		197		201
CPS Auto Trust, Ser 2011-C, Cl A
4.210%, 03/15/2019 (B)		206		212
CPS Auto Trust, Ser 2012-A, Cl A
2.780%, 06/17/2019 (B)		92		94
CPS Auto Trust, Ser 2012-B, Cl A
2.520%, 09/16/2019 (B)		573		581
CPS Auto Trust, Ser 2012-C, Cl A
1.820%, 12/16/2019 (B)		380		383
CPS Auto Trust, Ser 2012-D, Cl A
1.480%, 03/16/2020 (B)		249		250
Credit Acceptance Auto Loan Trust, Ser 2012-2A, Cl A
1.520%, 03/16/2020 (B)		605		608
Exeter Automobile Receivables Trust, Ser 2012-2A, Cl A
1.300%, 06/15/2017 (B)		207		208
Exeter Automobile Receivables Trust, Ser 2014-1A, Cl A
1.290%, 05/15/2018 (B)		1,277		1,281
Exeter Automobile Receivables Trust, Ser 2014-2A, Cl C
3.260%, 12/16/2019 (B)		135		135
First Investors Auto Owner Trust, Ser 2012-2A, Cl A2
1.470%, 05/15/2018 (B)		243		244
First Investors Auto Owner Trust, Ser 2013-1A, Cl A2
0.900%, 10/15/2018 (B)		110		110


144		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

Ford Credit Auto Owner Trust, Ser 2012-C, Cl A3
0.580%, 12/15/2016	$	1,420	$	1,421
Ford Credit Auto Owner Trust, Ser 2013-B, Cl A2
0.380%, 02/15/2016		326		326
Ford Credit Auto Owner Trust, Ser 2013-D, Cl A2
0.450%, 08/15/2016		2,792		2,793
Ford Credit Floorplan Master Owner Trust, Ser 2012-2, Cl A
1.920%, 01/15/2019		2,653		2,711
Ford Credit Floorplan Master Owner Trust, Ser 2012-4, Cl A1
0.740%, 09/15/2016		4,875		4,880
Ford Credit Floorplan Master Owner Trust, Ser 2014-1, Cl A1
1.200%, 02/15/2019		2,066		2,067
Harley-Davidson Motorcycle Trust, Ser 2011-2, Cl A3
1.110%, 09/15/2016		406		407
Honda Auto Receivables Owner Trust, Ser 2012-1, Cl A4
0.970%, 04/16/2018		56		56
Honda Auto Receivables Owner Trust, Ser 2012-4, Cl A3
0.520%, 08/18/2016		2,312		2,314
Honda Auto Receivables Owner Trust, Ser 2013-2, Cl A3
0.530%, 02/16/2017		1,661		1,663
Honda Auto Receivables Owner Trust, Ser 2013-4, Cl A2
0.450%, 04/18/2016		3,340		3,341
Honda Auto Receivables Owner Trust, Ser 2014-1, Cl A2
0.410%, 09/21/2016		2,661		2,661
Huntington Auto Trust, Ser 2012-1, Cl A3
0.810%, 09/15/2016		104		104
Hyundai Auto Receivables Trust, Ser 2011-A, Cl A4
1.780%, 12/15/2015		179		180
Hyundai Auto Receivables Trust, Ser 2011-B, Cl A4
1.650%, 02/15/2017		247		248
Hyundai Auto Receivables Trust, Ser 2014-B, Cl A2
0.440%, 02/15/2017		2,928		2,927
MMCA Automobile Trust, Ser 2011-A, Cl A4
2.020%, 10/17/2016 (B)		483		486


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

MMCA Automobile Trust, Ser 2012-A, Cl A4
1.570%, 08/15/2017 (B)	$	700	$	707
Nissan Auto Receivables Owner Trust, Ser 2013-A, Cl A3
0.500%, 05/15/2017		3,835		3,838
Nissan Auto Receivables Owner Trust, Ser 2014-A, Cl A2
0.420%, 11/15/2016		853		853
Santander Drive Auto Receivables Trust, Ser 2010-A, Cl A4
2.390%, 06/15/2017 (B)		321		321
Santander Drive Auto Receivables Trust, Ser 2011-S2A, Cl B
2.060%, 06/15/2017 (B)		26		26
Santander Drive Auto Receivables Trust, Ser 2012-2, Cl A3
1.220%, 12/15/2015		14		14
Santander Drive Auto Receivables Trust, Ser 2012-3, Cl A3
1.080%, 04/15/2016		53		53
Santander Drive Auto Receivables Trust, Ser 2012-5, Cl A3
0.830%, 12/15/2016		997		998
Santander Drive Auto Receivables Trust, Ser 2012-6, Cl A3
0.620%, 07/15/2016		1,161		1,161
Santander Drive Auto Receivables Trust, Ser 2013-3, Cl A2
0.550%, 09/15/2016		2,137		2,137
Toyota Auto Receivables Owner Trust, Ser 2011-A, Cl A4
1.560%, 05/15/2015		133		134
Toyota Auto Receivables Owner Trust, Ser 2013-B, Cl A2
0.480%, 02/15/2016		1,678		1,678
Toyota Auto Receivables Owner Trust, Ser 2014-A, Cl A2
0.410%, 08/15/2016		2,080		2,080
Volkswagen Auto Lease Trust, Ser 2012-A, Cl A3
0.870%, 07/20/2015		373		373
Volkswagen Auto Loan Enhanced Trust, Ser 2012-2, Cl A2
0.330%, 07/20/2015		247		247


SEI Institutional Investments Trust / Annual Report / May 31, 2014			145

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


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

Volkswagen Auto Loan Enhanced Trust, Ser 2013-2, Cl A2
0.420%, 07/20/2016	$	3,055	$	3,055
World Omni Automobile Lease Securitization Trust, Ser 2012-A, Cl A3
0.930%, 11/16/2015		132		133

				96,944


Credit Cards — 0.8%
American Express Credit Account Master Trust, Ser 2013-2, Cl A
0.571%, 05/17/2021 (A)		1,484		1,488
American Express Credit Account Master Trust, Ser 2014-1, Cl A
0.521%, 12/15/2021 (A)		3,615		3,615
American Express Issuance Trust II, Ser 2013-1, Cl A
0.431%, 02/15/2019 (A)		1,733		1,730
American Express Issuance Trust II, Ser 2013-2, Cl A
0.581%, 08/15/2019 (A)		2,552		2,563
BA Credit Card Trust, Ser 2014-A2, Cl A
0.421%, 09/16/2019 (A)		7,322		7,327
Chase Issuance Trust, Ser 2012-A3, Cl A3
0.790%, 06/15/2017		4,660		4,679
Chase Issuance Trust, Ser 2012-A8, Cl A8
0.540%, 10/16/2017		987		988
Chase Issuance Trust, Ser 2013-A2, Cl A2
0.251%, 02/15/2017 (A)		999		999
Chase Issuance Trust, Ser 2013-A7, Cl A
0.581%, 09/15/2020 (A)		1,371		1,375
Chase Issuance Trust, Ser 2013-A9, Cl A
0.571%, 11/16/2020 (A)		2,521		2,527
Chase Issuance Trust, Ser 2014-A3, Cl A3
0.351%, 05/15/2018 (A)		2,847		2,847
Citibank Credit Card Issuance Trust, Ser 2012-A1, Cl A1
0.550%, 10/10/2017		774		775
Citibank Credit Card Issuance Trust, Ser 2013-A7, Cl A7
0.580%, 09/10/2020 (A)		9,269		9,305


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

Discover Card Execution Note Trust, Ser 2013-A5, Cl A5
1.040%, 04/15/2019	$	407	$	409
Discover Card Execution Note Trust, Ser 2014-A1, Cl A1
0.581%, 07/15/2021 (A)		3,405		3,416
World Financial Network Credit Card Master Trust, Ser 2014-A, Cl A
0.531%, 12/15/2019 (A)		2,358		2,358

				46,401


Mortgage Related Securities — 0.9%
Aames Mortgage Trust, Ser 2002-1, Cl A3
6.560%, 06/25/2032		46		45
Accredited Mortgage Loan Trust, Ser 2005-3, Cl A1
0.390%, 09/25/2035 (A)		4,580		4,552
AFC Home Equity Loan Trust, Ser 2000-1, Cl 2A
0.790%, 03/25/2030 (A)		1,619		1,045
Argent Securities, Ser 2004-W5, Cl AV2
1.192%, 04/25/2034 (A)		1,113		1,052
Asset-Backed Funding Certificates, Ser 2005-AQ1, Cl A4
5.010%, 06/25/2035		531		537
Asset-Backed Funding Certificates, Ser 2005-WMC1, Cl M1
0.810%, 06/25/2035 (A)		39		38
Asset-Backed Securities Home Equity Loan Trust, Ser 2003-HE7, Cl M1
1.127%, 12/15/2033 (A)		2,336		2,203
Asset-Backed Securities Home Equity Loan Trust, Ser 2005-HE6, Cl M2
0.662%, 07/25/2035 (A)		854		843
Bear Stearns Asset-Backed Securities Trust, Ser 2005-HE12, Cl 1A3
0.544%, 12/25/2035 (A)		4,488		4,459
Bear Stearns Asset-Backed Securities Trust, Ser 2005-TC2, Cl A3
0.524%, 08/25/2035 (A)		2,777		2,748
Centex Home Equity, Ser 2003-B, Cl AF4
3.735%, 02/25/2032		96		92


146		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

Centex Home Equity, Ser 2003-B, Cl AF6
3.173%, 06/25/2033 (A)	$	47	$	47
Centex Home Equity, Ser 2006-A, Cl AV4
0.400%, 06/25/2036 (A)		75		67
Citicorp Residential Mortgage Securities, Ser 2006-2, Cl A4
5.775%, 09/25/2036		3,226		3,399
Conseco Finance Home Loan Trust, Ser 2001-D, Cl A5
6.690%, 11/15/2032 (A)		203		203
Credit Suisse First Boston Mortgage Securities, Ser 2004-CF2, Cl 1M1
5.250%, 01/25/2043 (B)		6,310		6,544
Delta Funding Home Equity Loan Trust, Ser 1999-3, Cl A1A
0.971%, 09/15/2029 (A)		310		284
EMC Mortgage Loan Trust, Ser 2002- AA, Cl A1
1.090%, 05/25/2039 (A) (B)		445		421
GSAA Trust, Ser 2005-6, Cl A3
0.526%, 06/25/2035 (A)		3,140		2,993
HSBC Home Equity Loan Trust, Ser 2006-1, Cl A1
0.309%, 01/20/2036 (A)		4,141		4,114
HSBC Home Equity Loan Trust, Ser 2006-1, Cl A2
0.329%, 01/20/2036 (A)		49		49
HSBC Home Equity Loan Trust, Ser 2006-2, Cl A1
0.299%, 03/20/2036 (A)		182		181
HSBC Home Equity Loan Trust, Ser 2006-4, Cl A3V
0.299%, 03/20/2036 (A)		5		5
HSBC Home Equity Loan Trust, Ser 2007-1, Cl AS
0.349%, 03/20/2036 (A)		142		141
HSBC Home Equity Loan Trust, Ser 2007-3, Cl APT
1.349%, 11/20/2036 (A)		421		422
Lake Country Mortgage Loan Trust, Ser 2006-HE1, Cl A3
0.502%, 07/25/2034 (A) (B)		227		226
Master Asset-Backed Securities Trust, Ser 2005-WF1, Cl A2D
0.520%, 06/25/2035 (A)		2,065		2,047
Master Asset-Backed Securities Trust, Ser 2006-WMC3, Cl A4
0.312%, 08/25/2036 (A)		1,065		540


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

New Century Home Equity Loan Trust, Ser 2005-4, Cl A2C
0.522%, 09/25/2035 (A)	$	7,210	$	7,131
Renaissance Home Equity Loan Trust, Ser 2005-2, Cl AF3
4.499%, 08/25/2035		436		439
Residential Funding Mortgage Securities II, Ser 2000-HI1, Cl AI7
8.290%, 02/25/2025		162		161
RMAT, Ser 2012-1A, Cl A1
2.734%, 08/26/2052 (A) (B)		257		258
Salomon Brothers Mortgage Securities VII, Ser 2003-UP1, Cl A
3.950%, 04/25/2032 (B)		99		97
Saxon Asset Securities Trust, Ser 2003-1, Cl AF6
4.795%, 06/25/2033		185		187
Security National Mortgage Loan Trust, Ser 2007-1A, Cl 2A
0.502%, 04/25/2037 (A) (B)		539		419
Soundview Home Equity Loan Trust, Ser 2007-OPT1, Cl 2A2
0.302%, 06/25/2037 (A)		125		74
Structured Asset Securities, Ser 2002- AL1, Cl A2
3.450%, 02/25/2032		223		222
Structured Asset Securities, Ser 2005-NC1, Cl A11
4.670%, 02/25/2035		630		634
Structured Asset Securities, Ser 2006-WF2, Cl A3
0.302%, 07/25/2036 (A)		290		288
UCFC Home Equity Loan, Ser 1998-D, Cl MF1
6.905%, 04/15/2030		574		591
Wells Fargo Home Equity Trust, Ser 2004-2, Cl AI6
5.000%, 10/25/2034 (A)		2,955		2,979

				52,777


Other Asset-Backed Securities — 6.5%
321 Henderson Receivables I LLC, Ser 2014-1A, Cl A
3.960%, 03/15/2063 (B)		1,150		1,185
Academic Loan Funding Trust, Ser 2012-1A, Cl A1
0.950%, 12/27/2022 (A) (B)		265		267
Academic Loan Funding Trust, Ser 2013-1A, Cl A
0.950%, 12/26/2044 (A) (B)		919		920


SEI Institutional Investments Trust / Annual Report / May 31, 2014			147

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


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

Access Group, Ser 2006-1, Cl A2
0.337%, 08/25/2023 (A)	$	2,121	$	2,095
AEP Texas Central Transition Funding LLC, Ser 2002-1, Cl A5
6.250%, 01/15/2017		3,838		4,042
Ally Master Owner Trust, Ser 2011-4, Cl A1
0.951%, 09/15/2016 (A)		1,603		1,605
Ally Master Owner Trust, Ser 2012-5, Cl A
1.540%, 09/15/2019		4,469		4,478
Ally Master Owner Trust, Ser 2014-2, Cl A
0.521%, 01/16/2018 (A)		2,154		2,154
Alm Loan Funding, Ser 2012-7A, Cl A1
1.648%, 10/19/2024 (A) (B)		4,350		4,343
Ameriquest Mortgage Securities, Ser 2005-R5, Cl M1
0.582%, 07/25/2035 (A)		308		304
Ameriquest Mortgage Securities, Ser 2005-R6, Cl A2
0.352%, 08/25/2035 (A)		11		11
Amortizing Residential Collateral Trust CMO, Ser 2002-BC1, Cl A
0.832%, 01/25/2032 (A)		304		281
Apidos CDO, Ser 2014-16A, Cl A1
1.678%, 01/19/2025 (A) (B)		250		250
Apidos CDO, Ser 2014-16A, Cl B
3.028%, 01/19/2025 (A) (B)		1,750		1,711
Arrowpoint CLO, Ser 2014-2A, Cl A1L
1.734%, 03/12/2026 (A) (B)		1,900		1,895
Ascentium Equipment Receivables LLC, Ser 2012-1A, Cl A
1.830%, 09/15/2019 (B)		138		138
Axis Equipment Finance Receivables LLC, Ser 2013-1A, Cl A
1.750%, 03/20/2017 (B)		482		482
Bayview Opportunity Master Fund Trust IIB, Ser 2013-8NPL, Cl A
3.228%, 03/28/2033 (A) (B)		729		729
Bear Stearns Asset-Backed Securities Trust, Ser 2005-SD1, Cl 1A3
0.550%, 08/25/2043 (A)		3,301		3,258


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

BlueMountain CLO, Ser 2013-1A, Cl A1
1.424%, 05/15/2025 (A) (B)	$	3,850	$	3,811
Brazos Education Loan Authority, Ser 2012-1, Cl A1
0.852%, 12/26/2035 (A)		4,328		4,319
Brazos Higher Education Authority, Ser 2010-1, Cl A2
1.427%, 02/25/2035 (A)		4,835		4,991
Brazos Higher Education Authority, Ser 2011-1, Cl A2
1.035%, 02/25/2030 (A)		2,664		2,687
Brazos Higher Education Authority, Ser 2011-2, Cl A3
1.229%, 10/27/2036 (A)		3,520		3,527
BXG Receivables Note Trust, Ser 2012-A, Cl A
2.660%, 12/02/2027 (B)		340		340
Carlyle Global Market Strategies Commodities Funding, Ser 2014-1A, Cl A
4.076%, 10/15/2021 (A) (B)		867		867
Carlyle Global Market Strategies, Ser 2013-4A, Cl A1
1.696%, 10/15/2025 (A) (B)		500		499
Carlyle Global Market Strategies, Ser 2013-4A, Cl C
3.038%, 10/15/2025 (A) (B)		1,000		987
Carrington Mortgage Loan Trust, Ser 2005-NC4, Cl A3
0.550%, 09/25/2035 (A)		2,560		2,526
Castle Trust, Ser 2003-1AW, Cl A1
0.901%, 05/15/2027 (A) (B)		49		48
CenterPoint Energy Transition Bond LLC, Ser 2008-A, Cl A1
4.192%, 02/01/2020		2,714		2,832
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A4
4.499%, 11/25/2034		80		80
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A5
5.321%, 11/25/2034		500		516
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A7
4.277%, 11/25/2034		536		542
CIT Education Loan Trust, Ser 2007-1, Cl A
0.323%, 03/25/2042 (A) (B)		3,453		3,229


148		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

Citicorp Residential Mortgage Securities, Ser 2006-2, Cl A5
6.036%, 09/25/2036	$	6,465	$	6,195
Citicorp Residential Mortgage Securities, Ser 2007-1, Cl A5
6.046%, 03/25/2037		990		907
CNH Equipment Trust, Ser 2011-A, Cl A4
2.040%, 10/17/2016		172		173
CNH Equipment Trust, Ser 2012-A, Cl A3
0.940%, 05/15/2017		91		91
CNH Equipment Trust, Ser 2012-C, Cl A2
0.440%, 02/16/2016		14		14
CNH Equipment Trust, Ser 2013-C, Cl A2
0.630%, 01/17/2017		2,205		2,207
CNH Equipment Trust, Ser 2014-A, Cl A2
0.490%, 06/15/2017		750		750
Concord Funding LLC, Ser 2012-2, Cl A
3.145%, 01/15/2017 (B)		1,350		1,350
Conseco Finance Home Loan Trust, Ser 2000-E, Cl M1
8.130%, 08/15/2031 (A)		278		279
Conseco Financial, Ser 1997-2, Cl A6
7.240%, 06/15/2028 (A)		11		11
Conseco Financial, Ser 1998-2, Cl A5
6.240%, 12/01/2028 (A)		95		97
Countrywide Asset-Backed Certificates, Ser 2002-BC1, Cl A
0.812%, 04/25/2032 (A)		50		33
Countrywide Asset-Backed Certificates, Ser 2003-BC2, Cl 2A1
0.750%, 06/25/2033 (A)		115		101
Countrywide Asset-Backed Certificates, Ser 2004-6, Cl 1A1
0.420%, 12/25/2034 (A)		4,763		4,525
Countrywide Asset-Backed Certificates, Ser 2005-11, Cl MV1
0.624%, 02/25/2036 (A)		7,692		7,638
Countrywide Asset-Backed Certificates, Ser 2005-4, Cl MV1
0.612%, 10/25/2035 (A)		30		30


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

Countrywide Asset-Backed Certificates, Ser 2006-15, Cl A3
5.689%, 10/25/2046 (A)	$	198	$	169
Countrywide Asset-Backed Certificates, Ser 2006-SD3, Cl A1
0.482%, 07/25/2036 (A) (B)		313		233
Countrywide Asset-Backed Certificates, Ser 2007-13, Cl 2A1
1.050%, 10/25/2047 (A)		710		617
Countrywide Asset-Backed Certificates, Ser 2007-QH1, Cl A1
0.352%, 02/25/2037 (A) (B)		778		506
Countrywide Home Equity Loan Trust, Ser 2004-K, Cl 2A
0.451%, 02/15/2034 (A)		459		405
Credit-Based Asset Servicing and Securitization LLC, Ser 2003-CB3, Cl AF1
3.379%, 12/25/2032		77		74
Credit-Based Asset Servicing and Securitization LLC, Ser 2006-CB2, Cl AF2
3.814%, 12/25/2036		560		376
Credit-Based Asset Servicing and Securitization LLC, Ser 2006-CB2, Cl AF4
3.814%, 12/25/2036		1,197		937
Credit-Based Asset Servicing and Securitization LLC, Ser 2007-RP1, Cl A
0.462%, 05/25/2046 (A) (B)		9,456		7,051
Educational Funding of the South, Ser 2011-1, Cl A2
0.879%, 04/25/2035 (A)		3,580		3,573
EFS Volunteer No. 2 LLC, Ser 2012-1, Cl A2
1.504%, 03/25/2036 (A) (B)		2,500		2,558
EFS Volunteer No. 3 LLC, Ser 2012-1, Cl A3
1.154%, 04/25/2033 (A) (B)		4,600		4,636
Equity One Mortgage Pass-Through Trust, Ser 2003-2, Cl M1
5.050%, 09/25/2033 (A)		114		115
First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2004-FF7, Cl A5
1.152%, 09/25/2034 (A)		45		44


SEI Institutional Investments Trust / Annual Report / May 31, 2014			149

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


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

First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2005-FF8, Cl A2D
0.530%, 09/25/2035 (A)	$	1,810	$	1,798
Flatiron CLO, Ser 2013-1A, Cl A1
1.690%, 01/17/2026 (A) (B)		1,000		999
Flatiron CLO, Ser 2013-1A, Cl B
3.040%, 01/17/2026 (A) (B)		950		929
Ford Credit Auto Owner Trust, Ser 2014-1, Cl A
2.260%, 11/15/2025 (B)		7,861		7,959
Ford Credit Floorplan Master Owner Trust, Ser 2013-5, Cl A1
1.500%, 09/15/2018		830		840
GE Equipment Midticket LLC, Ser 2012-1, Cl A3
0.600%, 05/23/2016		859		860
GE Equipment Midticket LLC, Ser 2012-1, Cl A4
0.780%, 09/22/2020		300		300
GMAT Trust, Ser 2014-1A, Cl A
3.721%, 02/25/2044 (B)		430		431
Green Tree Financial, Ser 1996-5, Cl A6
7.750%, 07/15/2027		14		14
Green Tree Financial, Ser 2008-MH1, Cl A2
8.970%, 04/25/2038 (A) (B)		2,898		3,099
Green Tree Financial, Ser 2008-MH1, Cl A3
8.970%, 04/25/2038 (A) (B)		2,415		2,583
Greenpoint Manufactured Housing, Ser 2001-2, Cl IA2
3.657%, 02/20/2032 (A)		775		709
Greenpoint Manufactured Housing, Ser 2001-2, Cl IIA2
3.656%, 03/13/2032 (A)		1,275		1,148
GSAMP Trust, Ser 2006-HE2, Cl A3
0.412%, 03/25/2046 (A)		8,000		7,243
Higher Education Funding I, Ser 2014-1, Cl A
1.277%, 05/25/2034 (A) (B)		3,733		3,733
HLSS Servicer Advance Receivables Backed Notes, Ser 2012-T2, Cl A2
1.990%, 10/15/2045 (B)		730		736
HLSS Servicer Advance Receivables Backed Notes, Ser 2013-T1, Cl A2
1.495%, 01/16/2046 (B)		539		540


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

HLSS Servicer Advance Receivables Backed Notes, Ser 2013-T1, Cl B2
1.744%, 01/16/2046 (B)	$	182	$	182
HLSS Servicer Advance Receivables Backed Notes, Ser 2013-T7, Cl A7
1.981%, 11/15/2046 (B)		2,614		2,625
HLSS Servicer Advance Receivables Trust, Ser 2014-T1, Cl AT1
1.244%, 01/17/2045 (B)		1,180		1,182
HLSS Servicer Advance Receivables Trust, Ser 2014-T2, Cl AT2
2.217%, 01/15/2047 (B)		444		448
HSI Asset Securitization Trust, Ser 2006-OPT3, Cl 3A3
0.330%, 02/25/2036 (A)		1,338		1,241
ING Investment Management, Ser 2014-1A, Cl A1
1.769%, 04/18/2026 (A) (B)		3,900		3,900
JGWPT XXX LLC, Ser 2013-3A, Cl A
4.080%, 01/17/2073 (B)		2,314		2,412
John Deere Owner Trust, Ser 2011-A, Cl A4
1.960%, 04/16/2018		202		202
John Deere Owner Trust, Ser 2012-B, Cl A4
0.690%, 01/15/2019		581		582
JPMorgan Mortgage Acquisition, Ser 2007-CH1, Cl AV4
0.284%, 11/25/2036 (A)		4,136		4,107
Kondaur Mortgage Asset Trust, Ser 2013-1, Cl A
4.458%, 08/25/2052 (A) (B)		297		299
Latitude CLO II, Ser 2006-2A, Cl A2
0.563%, 12/15/2018 (A) (B)		2,200		2,166
Lehman ABS Manufactured Housing Contract Trust, Ser 2001-B, Cl A4
5.270%, 04/15/2040		242		252
Lehman XS Trust, Ser 2005-7N, Cl 1A1B
0.452%, 12/25/2035 (A)		1,650		962
Long Beach Mortgage Loan Trust, Ser 2005-1, Cl M2
0.947%, 02/25/2035 (A)		8,900		8,627
Macquarie Equipment Funding Trust, Ser 2012-A, Cl A2
0.610%, 04/20/2015 (B)		572		572


150		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

Madison Avenue Manufactured Housing Contract, Ser 2002-A, Cl M2
2.402%, 03/25/2032 (A)	$	187	$	187
Mid-State Trust, Ser 2003-11, Cl A1
4.864%, 07/15/2038		2,980		3,178
Mid-State Trust, Ser 2004-1, Cl A
6.005%, 08/15/2037		457		480
Mid-State Trust, Ser 2006-1, Cl A
5.787%, 10/15/2040 (B)		5,246		5,524
National Collegiate Student Loan Trust, Ser 2004-2, Cl A4
0.462%, 11/27/2028 (A)		1,368		1,293
Nationstar Agency Advance Funding Trust, Ser 2013-T1A, Cl AT1
0.997%, 02/15/2045 (B)		337		336
Nationstar Agency Advance Funding Trust, Ser 2013-T2A, Cl AT2
1.892%, 02/18/2048 (B)		232		228
Navient Student Loan Trust, Ser 2014-1, Cl A2
0.458%, 03/27/2023 (A)		1,090		1,090
Navient Student Loan Trust, Ser 2014-1, Cl A3
0.658%, 06/25/2031 (A)		5,330		5,330
Nelnet Student Loan Trust, Ser 2004-3, Cl A5
0.409%, 10/27/2036 (A)		1,443		1,418
Nelnet Student Loan Trust, Ser 2005-3, Cl A5
0.354%, 12/24/2035 (A)		4,000		3,926
Nelnet Student Loan Trust, Ser 2006-1, Cl A4
0.317%, 11/23/2022 (A)		1,026		1,024
Nelnet Student Loan Trust, Ser 2006-2, Cl A4
0.309%, 10/26/2026 (A)		4,364		4,354
Nelnet Student Loan Trust, Ser 2007-1, Cl A1
0.237%, 11/27/2018 (A)		589		588
Nelnet Student Loan Trust, Ser 2007-2A, Cl A3L
0.583%, 03/25/2026 (A) (B)		3,364		3,333
Nelnet Student Loan Trust, Ser 2010-4A, Cl A
0.950%, 04/25/2046 (A) (B)		1,131		1,144
Nelnet Student Loan Trust, Ser 2014-3A, Cl A
0.764%, 06/25/2041 (A) (B)		4,068		4,068


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

Nelnet Student Loan Trust, Ser 2014- 4A, Cl A2
1.098%, 11/25/2043 (A) (B)	$	3,735	$	3,735
Neuberger Berman CLO Ltd., Ser 2014- 16A, Cl A1
1.741%, 04/15/2026 (A) (B)		1,060		1,059
New Residential Advance Receivables Trust, Ser 2014-T1, Cl A1
1.274%, 03/15/2045 (B)		1,612		1,612
Normandy Mortgage Loan Trust, Ser 2013-NPL3, Cl A
4.949%, 09/16/2043 (B)		1,456		1,454
NYMT Residential, Ser 2012-RP1A
4.250%, 12/25/2017 (A) (B)		1,500		1,500
NYMT Residential, Ser 2013-RP3A
4.850%, 09/25/2018 (B)		788		788
Octagon Investment Partners XI, Ser 2007-1X, Cl A1B
0.495%, 08/25/2021 (A)		3,750		3,663
Origen Manufactured Housing, Ser 2002-A, Cl A1
0.391%, 05/15/2032 (A)		4		4
Park Place Securities, Ser 2004-MHQ1, Cl M1
1.202%, 12/25/2034 (A)		589		590
Park Place Securities, Ser 2004-WCW1, Cl M2
0.830%, 09/25/2034 (A)		546		540
Park Place Securities, Ser 2004-WCW2, Cl M1
1.080%, 10/25/2034 (A)		39		39
Park Place Securities, Ser 2004-WWF1, Cl M2
1.170%, 12/25/2034 (A)		2,785		2,787
Park Place Securities, Ser 2005-WCH1, Cl M2
0.672%, 01/25/2036 (A)		3,135		3,115
Park Place Securities, Ser 2005-WCW1, Cl A3D
0.492%, 09/25/2035 (A)		154		154
PennyMac Loan Trust, Ser 2012-NPL1, Cl A
3.422%, 05/28/2052 (A) (B)		101		100
Popular ABS Mortgage Pass-Through Trust, Ser 2004-5, Cl AF4
4.655%, 12/25/2034 (A)		66		66
Progreso Receivables Funding, Ser 2013-A, Cl A
4.000%, 07/09/2018 (B)		500		502


SEI Institutional Investments Trust / Annual Report / May 31, 2014			151

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


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

Race Point CLO, Ser 2012-7A, Cl A
1.657%, 11/08/2024 (A) (B)	$	4,500	$	4,496
Residential Asset Mortgage Products, Ser 2002-RS4, Cl AI5
6.163%, 08/25/2032		3		3
Residential Asset Mortgage Products, Ser 2003-RS10, Cl AI6
5.860%, 11/25/2033		594		635
Residential Asset Mortgage Products, Ser 2003-RS11, Cl AI6A
5.980%, 12/25/2033		463		486
Residential Asset Mortgage Products, Ser 2005-EFC5, Cl A3
0.492%, 10/25/2035 (A)		262		259
Residential Asset Mortgage Products, Ser 2006-RZ1, Cl A3
0.452%, 03/25/2036 (A)		864		822
RSB Bondco LLC, Ser 2007-A, Cl A3
5.820%, 06/28/2019		2,470		2,743
Saranac CLO I, Ser 2013-1A, Cl A1A
1.708%, 10/26/2024 (A) (B)		1,650		1,645
Saranac CLO II, Ser 2014-2A, Cl B
2.283%, 02/20/2025 (A) (B)		1,750		1,739
Shackleton CLO, Ser 2013-4A, Cl B1
2.238%, 01/13/2025 (A) (B)		4,300		4,274
Shackleton CLO, Ser 2013-4A, Cl C
3.244%, 01/13/2025 (A) (B)		750		739
SLC Student Loan Trust, Ser 2007-2, Cl A2
0.624%, 05/15/2028 (A)		1,054		1,054
SLM Private Education Loan Trust, Ser 2012-A, Cl A1
1.552%, 08/15/2025 (A) (B)		1,932		1,959
SLM Private Education Loan Trust, Ser 2013-C, Cl A1
1.001%, 02/15/2022 (A) (B)		2,341		2,354
SLM Student Loan EDC Repackaging Trust, Ser 2013-M1, Cl M1
3.500%, 10/28/2029 (B)		4,796		4,726
SLM Student Loan Trust, Ser 2003-12, Cl B
0.823%, 03/15/2038 (A)		1,951		1,797


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

SLM Student Loan Trust, Ser 2003-4, Cl A5A
0.983%, 03/15/2033 (A) (B)	$	63	$	63
SLM Student Loan Trust, Ser 2004-8, Cl B
0.689%, 01/25/2040 (A)		515		469
SLM Student Loan Trust, Ser 2004-8A, Cl A5
0.729%, 04/25/2024 (A) (B)		7,459		7,498
SLM Student Loan Trust, Ser 2005-5, Cl A3
0.329%, 04/25/2025 (A)		391		389
SLM Student Loan Trust, Ser 2005-6, Cl A5B
1.429%, 07/27/2026 (A)		1,577		1,603
SLM Student Loan Trust, Ser 2005-9, Cl A5
0.349%, 01/27/2025 (A)		2,575		2,565
SLM Student Loan Trust, Ser 2006-2, Cl A6
0.399%, 01/25/2041 (A)		4,250		3,891
SLM Student Loan Trust, Ser 2006-5, Cl A5
0.339%, 01/25/2027 (A)		8,220		8,128
SLM Student Loan Trust, Ser 2006-7, Cl A4
0.299%, 04/25/2022 (A)		111		111
SLM Student Loan Trust, Ser 2006-8, Cl A6
0.389%, 01/25/2041 (A)		4,250		3,849
SLM Student Loan Trust, Ser 2007-2, Cl B
0.399%, 07/25/2025 (A)		934		824
SLM Student Loan Trust, Ser 2007-6, Cl B
1.079%, 04/27/2043 (A)		1,117		1,017
SLM Student Loan Trust, Ser 2008-2, Cl B
1.429%, 01/25/2029 (A)		1,155		1,048
SLM Student Loan Trust, Ser 2008-3, Cl B
1.429%, 04/25/2029 (A)		1,155		1,067
SLM Student Loan Trust, Ser 2008-4, Cl B
2.079%, 04/25/2029 (A)		1,155		1,151
SLM Student Loan Trust, Ser 2008-5, Cl A3
1.529%, 01/25/2018 (A)		875		882
SLM Student Loan Trust, Ser 2008-5, Cl B
2.079%, 07/25/2029 (A)		1,155		1,169


152		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

SLM Student Loan Trust, Ser 2008-6, Cl B
2.079%, 07/25/2029 (A)	$	1,155	$	1,139
SLM Student Loan Trust, Ser 2008-7, Cl B
2.079%, 07/25/2029 (A)		1,155		1,161
SLM Student Loan Trust, Ser 2008-8, Cl B
2.479%, 10/25/2029 (A)		1,155		1,219
SLM Student Loan Trust, Ser 2008-9, Cl B
2.479%, 10/25/2029 (A)		1,155		1,211
SLM Student Loan Trust, Ser 2010-1, Cl A
0.550%, 03/25/2025 (A)		402		402
SLM Student Loan Trust, Ser 2011-2, Cl A2
1.352%, 10/25/2034 (A)		495		515
SLM Student Loan Trust, Ser 2012-6, Cl A3
0.902%, 05/26/2026 (A)		800		815
SLM Student Loan Trust, Ser 2012-6, Cl B
1.150%, 04/27/2043 (A)		1,862		1,749
SLM Student Loan Trust, Ser 2012-C, Cl A1
1.251%, 08/15/2023 (A) (B)		900		907
SLM Student Loan Trust, Ser 2012-E, Cl A1
0.901%, 10/16/2023 (A) (B)		2,662		2,674
SLM Student Loan Trust, Ser 2012-E, Cl A2B
1.901%, 06/15/2045 (A) (B)		3,659		3,766
SLM Student Loan Trust, Ser 2013-1, Cl B
1.950%, 11/25/2043 (A)		487		487
SLM Student Loan Trust, Ser 2013-2, Cl B
1.652%, 06/25/2043 (A)		373		364
SLM Student Loan Trust, Ser 2013-3, Cl B
1.650%, 09/25/2043 (A)		768		750
SLM Student Loan Trust, Ser 2013-4, Cl A
0.700%, 06/25/2027 (A)		3,093		3,110
SLM Student Loan Trust, Ser 2013-5, Cl A2
0.552%, 10/26/2020 (A)		1,216		1,219
SLM Student Loan Trust, Ser 2013-6, Cl A2
0.652%, 02/25/2021 (A)		633		637


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

SLM Student Loan Trust, Ser 2013-6, Cl A3
0.802%, 06/26/2028 (A)	$	2,255	$	2,267
SLM Student Loan Trust, Ser 2013-A, Cl A1
0.751%, 08/15/2022 (A) (B)		1,679		1,682
SLM Student Loan Trust, Ser 2013-B, Cl A1
0.801%, 07/15/2022 (A) (B)		1,037		1,041
SLM Student Loan Trust, Ser 2013-B, Cl A2A
1.850%, 06/17/2030 (B)		3,865		3,807
SLM Student Loan Trust, Ser 2013-C, Cl A2A
2.940%, 10/15/2031 (B)		669		688
SLM Student Loan Trust, Ser 2014-1, Cl A2
0.532%, 07/26/2021 (A)		1,286		1,286
SLM Student Loan Trust, Ser 2014-A, Cl A1
0.751%, 07/15/2022 (A) (B)		2,934		2,936
SLM Student Loan Trust, Ser 2014-A, Cl A2A
2.590%, 01/15/2026 (B)		1,128		1,141
SMS Student Loan Trust, Ser 2000-A, Cl A2
0.418%, 10/28/2028 (A)		1,211		1,204
SMS Student Loan Trust, Ser 2000-B, Cl A2
0.428%, 04/28/2029 (A)		1,059		1,058
Sound Point CLO V, Ser 2014-1A, Cl B1
2.152%, 04/18/2026 (A) (B)		2,100		2,053
Springleaf Funding Trust, Ser 2013-AA, Cl A
2.580%, 09/15/2021 (B)		2,800		2,818
Springleaf Funding Trust, Ser 2014-AA, Cl A
2.410%, 12/15/2022 (B)		933		935
SPST, Ser 2013-1, Cl A
1.740%, 02/25/2015		1,000		1,000
Stanwich Mortgage Loan Trust, Ser 2012-NPL4, Cl A
2.981%, 09/15/2042 (B)		243		243
Stanwich Mortgage Loan Trust, Ser 2012-NPL5, Cl A
2.981%, 10/18/2042 (B)		54		54
Stanwich Mortgage Loan Trust, Ser 2013-NPL1, Cl A
2.981%, 02/16/2043 (B)		654		660
Structured Asset Securities, Ser 2005-WF2, Cl A3
0.750%, 05/25/2035 (A)		7,135		7,118


SEI Institutional Investments Trust / Annual Report / May 31, 2014			153

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


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

Structured Asset Securities, Ser 2005-WF4, Cl A4
0.512%, 11/25/2035 (A)	$	2,543	$	2,534
SunTrust Student Loan Trust, Ser 2006-1A, Cl A3
0.348%, 01/30/2023 (A) (B)		3,812		3,781
Trade MAPS 1, Ser 2013-1A, Cl A
0.850%, 12/10/2018 (A) (B)		3,109		3,120
Trafigura Securitisation Finance, Ser 2012-1A, Cl A
2.551%, 10/15/2015 (A) (B)		1,190		1,203
Trinity Rail Leasing, Ser 2004-1A, Cl A
5.270%, 08/14/2027 (B)		155		168
Trinity Rail Leasing, Ser 2006-1A, Cl A1
5.900%, 05/14/2036 (B)		2,132		2,352
Trip Rail Master Funding, Ser 2011-1A, Cl A1A
4.370%, 07/15/2041 (B)		3,305		3,501
US Residential Opportunity Fund Trust, Ser 2014-1A
3.466%, 03/25/2034 (B)		729		733
Venture CDO, Ser 2013-15A, Cl B1
2.277%, 07/15/2025 (A) (B)		1,300		1,296
Venture CDO, Ser 2013-15A, Cl C
3.327%, 07/15/2025 (A) (B)		1,050		1,037
Venture CDO, Ser 2014-16A, Cl A1L
1.868%, 04/15/2026 (A) (B)		4,020		4,016
VOLT NPL IX LLC, Ser 2013-NPL3, Cl A1
4.250%, 04/25/2053 (B)		317		319
VOLT XII Trust, Ser 2013-RLF1, Cl A1
4.213%, 04/25/2052 (B)		590		594
VOLT XX LLC, Ser 2013-NPL6, Cl A1
3.625%, 03/25/2054 (B)		1,308		1,316
VOLT XXIV LLC, Ser 2014-NPL3, Cl A1
3.250%, 11/25/2053 (B)		2,810		2,817
VOLT, Ser 2014-3A, CI A1
3.250%, 05/25/2054		495		495
VOLT, Ser 2014-NPL1, Cl A1
3.625%, 10/27/2053		1,126		1,133
VOLT, Ser 2014-NPL2, Cl A1
3.625%, 11/25/2053 (B)		1,125		1,131


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

Westgate Resorts LLC, Ser 2012-1, Cl A
4.500%, 09/20/2025 (B)	$	305	$	309
Westgate Resorts LLC, Ser 2012-2A, Cl A
3.000%, 01/20/2025 (B)		479		483
Westgate Resorts LLC, Ser 2012-3A, Cl A
2.500%, 03/20/2025 (B)		364		366

				382,808

Total Asset-Backed Securities (Cost $572,007) ($ Thousands)				578,930


U.S. GOVERNMENT AGENCY OBLIGATIONS — 5.8%
FAMC
2.375%, 07/22/2015		170		174
2.125%, 09/15/2015		175		179
FFCB
4.625%, 11/03/2014		150		153
1.500%, 11/16/2015		7,830		7,973
0.205%, 02/27/2017 (A)		7,130		7,135
0.171%, 09/14/2016 (A)		7,370		7,373
FHLB
5.500%, 07/15/2036		200		259
0.875%, 05/24/2017		100		100
0.750%, 05/26/2015 (E)		7,510		7,403
0.060%, 08/08/2014 (F)		72,905		72,900
0.055%, 07/16/2014 to 08/27/2014		50,175		50,172
0.045%, 06/20/2014 (F)		27,670		27,670
FHLMC
6.750%, 03/15/2031		2,570		3,694
5.625%, 11/23/2035		1,581		1,687
FICO STRIPS, PO
9.800%, 04/06/2018		7,590		9,976
9.700%, 04/05/2019		5,100		6,999
8.600%, 09/26/2019		5,655		7,469
1.593%, 09/26/2019 (F)		1,835		1,657
1.556%, 04/05/2019 (F)		1,000		918
1.524%, 06/06/2019 (F)		470		433
1.470%, 03/07/2019 (F)		1,450		1,335
1.386%, 11/02/2018 (F)		9,315		8,679
1.350%, 08/03/2018 to 08/03/2018 (F)		9,280		8,715
1.315%, 05/11/2018 (F)		8,920		8,432
1.302%, 04/06/2018 (F)		2,920		2,767
1.281%, 02/08/2018 (F)		960		914
0.000%, 11/30/2017 to 12/06/2018 (F)		7,215		6,729
FNMA
7.308%, 10/09/2019 (F)		23,420		20,644
6.250%, 05/15/2029		3,730		5,063


154		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description		Face Amount (Thousands) (1)		Market Value ($ Thousands)

3.777%, 06/01/2017 (F)			1,500	$	1,455
0.130%, 06/11/2014 (F)			27,750		27,750
FNMA, PO
0.000%, 05/15/2030			1,800		1,000
Residual Funding Principal STRIPS
1.969%, 07/15/2020 (F)			14,780		12,980
1.656%, 10/15/2020			2,500		2,176
Resolution Funding STRIPS
1.689%, 01/15/2021			1,029		888
1.499%, 10/15/2019 (F)			6,700		6,056
Tennessee Valley Authority
5.880%, 04/01/2036			1,550		1,999
5.250%, 09/15/2039			2,228		2,689
4.625%, 09/15/2060			2,761		2,915
3.875%, 02/15/2021			3,090		3,417
Tennessee Valley Authority Generic STRIPS	��
5.741%, 07/15/2028 (F)			1,500		863
Tennessee Valley Authority Principal STRIPS, PO
0.000%, 11/01/2025			1,000		673

Total U.S. Government Agency Obligations (Cost $334,346) ($ Thousands)					342,463


SOVEREIGN DEBT — 2.9%
African Development Bank
8.800%, 09/01/2019			700		905
Andina de Fomento
3.750%, 01/15/2016			564		585
FMS Wertmanagement AoeR
1.000%, 11/21/2017			1,660		1,655
Inter-American Development Bank MTN
4.375%, 01/24/2044			490		529
3.875%, 10/28/2041			1,403		1,416
Israel Government AID Bond
5.500%, 09/18/2033 (C)			1,000		1,257
3.353%, 11/01/2024			1,000		720
Italy Buoni Poliennali Del Tesoro
3.750%, 05/01/2021		EUR	21,740		32,324
Japan Bank for International Cooperation
3.375%, 07/31/2023			1,700		1,782
3.000%, 05/29/2024			1,080		1,085
1.750%, 07/31/2018			2,925		2,953
1.750%, 05/29/2019			1,505		1,502
Japan Finance Organization for Municipalities
4.000%, 01/13/2021			3,600		3,955
Kommunalbanken
1.125%, 05/23/2018 (B)			7,510		7,434


Description	Face Amount (Thousands) (1)		Market Value ($ Thousands)

Mexican Bonos
8.000%, 06/11/2020	MXN	13,930	$	1,235
6.500%, 06/09/2022	MXN	220,530		18,088
Province of Manitoba Canada
3.050%, 05/14/2024		1,135		1,148
Province of Ontario Canada
0.950%, 05/26/2015		1,000		1,007
Province of Quebec Canada
7.500%, 07/15/2023		260		346
6.350%, 01/30/2026		270		341
2.625%, 02/13/2023		5,600		5,474
Republic of Colombia
5.625%, 02/26/2044		7,330		8,255
Republic of Indonesia MTN
5.875%, 03/13/2020		390		435
5.875%, 01/15/2024 (B)		1,264		1,419
4.875%, 05/05/2021		500		529
3.750%, 04/25/2022 (B)		360		353
3.750%, 04/25/2022		500		488
Republic of Poland
4.000%, 01/22/2024		10,539		11,013
Republic of Slovakia
4.375%, 05/21/2022 (B)		3,430		3,676
Republic of Slovenia (B)
5.500%, 10/26/2022		1,191		1,305
5.250%, 02/18/2024		2,160		2,311
Republic of South Africa
5.875%, 09/16/2025 (C)		5,150		5,794
Republic of Turkey
7.500%, 11/07/2019		300		356
7.000%, 03/11/2019		870		1,003
6.250%, 09/26/2022		859		974
5.750%, 03/22/2024 (C)		4,605		5,031
5.625%, 03/30/2021		562		614
Russian Foreign Bond - Eurobond
7.500%, 03/31/2030		5,299		6,152
Slovenia Government International Bond
5.850%, 05/10/2023 (B)		655		732
Ukraine Government AID Bonds
1.844%, 05/16/2019		831		835
United Mexican States MTN
6.050%, 01/11/2040		394		477
5.750%, 10/12/2110		4,438		4,749
5.550%, 01/21/2045 (C)		22,903		26,167
4.750%, 03/08/2044		1,098		1,120
4.000%, 10/02/2023		316		333
3.500%, 01/21/2021		690		716

Total Sovereign Debt (Cost $162,590) ($ Thousands)				170,578


SEI Institutional Investments Trust / Annual Report / May 31, 2014			155

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


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


MUNICIPAL BONDS — 0.9%
Brazos, Higher Education Authority, Ser 2006-2, Cl A9, RB
0.243%, 12/26/2024 (A)	$	1,183	$	1,160
City of Chicago, Ser B, GO
6.314%, 01/01/2044		2,690		2,979
City of Houston, Ser A, GO
6.290%, 03/01/2032		3,775		4,700
City of Los Angeles, Department of Airports, RB
6.582%, 05/15/2039		180		227
City of New York, Build America Project, GO Callable 12/01/20 @ 100
6.646%, 12/01/2031		2,000		2,383
County of Clark, Airport System Revenue, Ser C-BUILD, RB
6.820%, 07/01/2045		1,335		1,843
Los Angeles, Community College District, Build America Project, GO
6.750%, 08/01/2049		1,280		1,834
North Texas, Tollway Authority, Build America Project, RB
6.718%, 01/01/2049		1,479		2,036
Northstar, Education Finance Authority, RB
0.976%, 01/29/2046 (A)		50		50
Ohio State University, Build America Project, Ser A, RB
4.800%, 06/01/2111		1,124		1,172
Port Authority of New York & New Jersey, Build America Project, RB
5.647%, 11/01/2040		490		589
Port Authority of New York & New Jersey, RB
4.458%, 10/01/2062		2,285		2,296
State of California, Build America Project, GO
7.600%, 11/01/2040		1,165		1,728
7.300%, 10/01/2039		40		56	��
6.650%, 03/01/2022		6,100		7,471
State of Illinois, Build America Project, GO
6.200%, 07/01/2021		1,500		1,718
State of Illinois, GO
7.350%, 07/01/2035		230		279
5.877%, 03/01/2019		675		763
5.365%, 03/01/2017		795		873
5.100%, 06/01/2033		4,600		4,655


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

4.950%, 06/01/2023	$	3,724	$	3,956
4.350%, 06/01/2018		60		64
State of New Jersey, State Turnpike Authority, Build America Project, RB
7.102%, 01/01/2041		1,644		2,307
State of New York, Dormitory Authority, RB
5.600%, 03/15/2040		280		342
State of Ohio, American Municipal Power, RB
7.499%, 02/15/2050		495		684
State of South Carolina, Student Loan, Ser A-2, Cl A2, RB
0.347%, 12/01/2020 (A)		3,975		3,922
State of Virginia, Housing Development Authority, Ser C, RB
6.000%, 06/25/2034		286		311

Total Municipal Bonds (Cost $44,143) ($ Thousands)				50,398


U.S. TREASURY OBLIGATIONS — 21.2%
U.S. Treasury Bills (F) (J)
0.055%, 08/14/2014		458		458
0.029%, 08/21/2014		74		74
U.S. Treasury Bonds
8.750%, 08/15/2020		6,550		9,223
8.500%, 02/15/2020		1,000		1,372
8.000%, 11/15/2021		1,000		1,411
6.625%, 02/15/2027		300		429
6.375%, 08/15/2027		200		282
6.250%, 05/15/2030		400		572
6.125%, 11/15/2027		250		346
6.125%, 08/15/2029		178		250
5.500%, 08/15/2028		200		263
5.375%, 02/15/2031		2,950		3,896
5.250%, 02/15/2029		200		258
5.000%, 05/15/2037		2,950		3,850
4.500%, 02/15/2036		2,250		2,747
4.500%, 05/15/2038		450		550
4.375%, 02/15/2038		5,450		6,543
4.375%, 11/15/2039		500		602
3.750%, 11/15/2043 (C)		29,222		31,706
3.625%, 08/15/2043		5,035		5,343
3.625%, 02/15/2044 (C)		83,933		89,021
3.500%, 02/15/2039		4,000		4,196
3.375%, 05/15/2044		8,812		8,914
3.344%, 08/15/2032		500		274
3.125%, 02/15/2042		40,295		39,174
3.125%, 02/15/2043		5,261		5,089
2.750%, 08/15/2042		44,565		40,032


156		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

2.750%, 11/15/2042	$	33,140	$	29,717
2.746%, 02/15/2023		10,550		8,509
2.657%, 08/15/2022		3,000		2,471
2.480%, 05/15/2022		2,500		2,077
U.S. Treasury Inflation-Protected Securities
2.125%, 02/15/2040		525		665
2.000%, 07/15/2014		37,563		37,798
1.625%, 01/15/2015		241		246
1.375%, 02/15/2044		12,866		14,069
0.750%, 02/15/2042		5,741		5,371
0.625%, 02/15/2043 (C)		15,170		13,682
0.500%, 04/15/2015		11,203		11,374
0.125%, 04/15/2017		20,802		21,502
U.S. Treasury Notes
4.750%, 02/15/2037		1,800		2,275
4.500%, 05/15/2017		92,880		93,592
3.625%, 02/15/2021		600		664
3.500%, 02/15/2018		1,000		1,088
3.125%, 04/30/2017		4,636		4,951
3.125%, 05/15/2019		279		300
3.125%, 05/15/2021		2,150		2,307
2.750%, 02/15/2024		1,667		1,713
2.625%, 08/15/2020		4,100		4,285
2.500%, 05/15/2024 (C)		118,083		118,526
2.375%, 05/31/2018		1,000		1,046
2.250%, 01/31/2015		610		619
2.125%, 08/31/2020		1,000		1,015
2.125%, 01/31/2021 (C)		36,920		37,266
2.125%, 08/15/2021		500		502
2.000%, 02/28/2021		5,085		5,088
2.000%, 05/31/2021		5,285		5,270
2.000%, 02/15/2022		750		741
2.000%, 02/15/2023		29,345		28,600
1.750%, 10/31/2018		900		916
1.625%, 03/31/2019 (C)		2,730		2,749
1.625%, 04/30/2019 (C) (J)		46,005		46,260
1.625%, 08/15/2022		750		715
1.625%, 11/15/2022		5,000		4,743
1.500%, 08/31/2018		500		504
1.500%, 01/31/2019		51,643		51,792
1.500%, 02/28/2019 (C)		31,356		31,229
1.500%, 05/31/2019		10,653		10,639
1.000%, 11/30/2019		800		771
0.875%, 04/15/2017 (C)		7,262		7,291
0.750%, 03/15/2017 (C)		27,750		27,791
0.750%, 12/31/2017		2,000		1,979
0.625%, 10/15/2016		26,970		27,031
0.625%, 09/30/2017		22,423		22,187
0.375%, 04/30/2016 (C)		53,384		53,422
0.375%, 05/31/2016		18,273		18,276


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

0.250%, 10/31/2015	$	360	$	360
0.250%, 02/29/2016		1,658		1,657
U.S. Treasury STRIPS (F)
5.767%, 05/15/2026		500		355
5.467%, 05/15/2036		300		143
5.393%, 05/15/2029		100		63
5.344%, 02/15/2024		75		58
5.276%, 08/15/2024		200		153
5.077%, 05/15/2028		300		196
5.033%, 05/15/2034		500		256
5.000%, 08/15/2030		1,550		921
4.981%, 11/15/2024		450		340
4.869%, 11/15/2030		3,550		2,089
4.755%, 11/15/2029		1,450		890
4.630%, 02/15/2030		2,450		1,488
4.593%, 05/15/2019		7,150		6,606
4.561%, 05/15/2027		2,570		1,753
4.520%, 05/15/2024		800		616
4.291%, 11/15/2031		3,215		1,817
4.273%, 02/15/2017 (C)		13,420		13,165
4.228%, 08/15/2033		1,150		607
4.181%, 11/15/2017		6,150		5,934
4.129%, 08/15/2018		14,850		14,045
4.074%, 11/15/2026		1,150		801
4.052%, 08/15/2028		1,500		971
4.025%, 08/15/2027		4,090		2,763
3.963%, 05/15/2030		2,400		1,442
3.937%, 05/15/2043		38,930		32,410
3.905%, 11/15/2033		3,750		1,959
3.825%, 02/15/2032		1,950		1,091
3.809%, 05/15/2033		2,950		1,571
3.726%, 02/15/2033		600		323
3.712%, 02/15/2031		2,700		1,571
3.619%, 02/15/2027		6,800		4,688
3.594%, 08/15/2031		2,000		1,142
3.574%, 02/15/2028		2,473		1,635
3.548%, 02/15/2034		1,850		957
3.518%, 08/15/2020 (C)		14,150		12,529
3.487%, 02/15/2026		350		251
3.456%, 02/15/2022		14,500		12,165
3.449%, 08/15/2021		5,100		4,360
3.449%, 11/15/2032		3,700		2,010
3.313%, 08/15/2019		2,000		1,833
3.296%, 08/15/2034		300		152
3.254%, 05/15/2031		1,930		1,113
3.239%, 02/15/2018		1,850		1,774
3.234%, 08/15/2017		3,000		2,913
3.207%, 02/15/2016		250		249
3.052%, 02/15/2035		885		441
3.013%, 05/15/2020		11,765		10,520


SEI Institutional Investments Trust / Annual Report / May 31, 2014			157

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands) / Shares/Contracts		Market Value ($ Thousands)

2.987%, 02/15/2029	$	3,980	$	2,522
2.967%, 08/15/2016		6,150		6,085
2.962%, 02/15/2015		200		200
2.933%, 11/15/2034		1,850		930
2.919%, 05/15/2032		9,250		5,116
2.886%, 05/15/2035		1,350		665
2.856%, 11/15/2027		20,420		13,771
2.844%, 11/15/2021		3,650		3,090
2.722%, 11/15/2028		800		513
2.711%, 08/15/2029		3,200		1,986
2.546%, 05/15/2023		5,000		3,996
2.423%, 08/15/2026		328		231
2.279%, 02/15/2021		20,555		17,905
1.800%, 05/15/2021		12,450		10,746
1.479%, 05/15/2018		4,000		3,810
1.296%, 02/15/2020		1,000		901
1.028%, 11/15/2016 (C)		1,910		1,884

Total U.S. Treasury Obligations (Cost $1,233,808) ($ Thousands)				1,253,996


AFFILIATED PARTNERSHIP — 6.9%
SEI Liquidity Fund, L.P.
0.070%**† (G)		406,901,201		406,901

Total Affiliated Partnership (Cost $406,901) ($ Thousands)				406,901


CASH EQUIVALENT — 5.9%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010%**†		347,336,483		347,336

Total Cash Equivalent (Cost $347,336) ($ Thousands)				347,336


COMMERCIAL PAPER — 0.2%
National Rural Utilities Cooperative Finance
0.090%, 06/02/2014 (F)		14,165		14,165

Total Commercial Paper (Cost $14,165) ($ Thousands)				14,165

Total Investments — 119.9% (Cost $6,900,158) ($ Thousands)			$	7,084,228


PURCHASED SWAPTIONS — 0.0%
April 2018, 3-Month LIBOR Put, Expires: 03/15/2018, Strike Rate: 4.500%*		11,750,000		640
April 2018, 3-Month LIBOR Put, Expires: 03/15/2018, Strike Rate: 4.500%*		11,750,000		640


Description	Contracts			Market Value ($ Thousands)

February 2019, 3-Month LIBOR Put, Expires: 01/14/2019, Strike Rate: 5.000%*		8,145,000		$	346
May 2018, 3-Month LIBOR Put, Expires: 04/09/2018, Strike Rate: 4.500%*		13,520,000			747

Total Purchased Swaptions (Cost $3,090) ($ Thousands)					2,373


WRITTEN OPTIONS — 0.0%
December 2014, Euro $ Option Call, Expires: 12/15/2014, Strike Price: $97.875*		(301	)		(307	)
July 2014, U.S. 10 Year Future Option Call, Expires: 06/20/2014, Strike Price: $125.50*		(44	)		(27	)
July 2014, U.S. 10 Year Future Option Call, Expires: 06/23/2014, Strike Price: $124.50*		(89	)		(113	)
July 2014, U.S. 5 Year Future Option Call, Expires: 06/20/2014, Strike Price: $119.75*		(178	)		(67	)
July 2014, U.S. 5 Year Future Option Call, Expires: 06/23/2014, Strike Price: $119.00*		(135	)		(119	)
July 2014, U.S. 5 Year Future Option Call, Expires: 06/23/2014, Strike Price: $120.00*		(125	)		(32	)
July 2014, U.S. 5 Year Future Option Put, Expires: 06/23/2014, Strike Price: $117.00*		(18	)		—
July 2014, U.S. 5 Year Future Option Put, Expires: 06/23/2014, Strike Price: $117.75*		(125	)		(2	)
July 2014, U.S. Bond Future Option Call, Expires: 06/23/2014, Strike Price: $134.00*		(134	)		(481	)
November 2020, U.S. CPI Urban Consumers NSA Call, Expires: 11/23/2020, Strike Rate: Inflation 0.000%*		(7,020,000	)		(4	)

Total Written Options (Premiums Received $710) ($ Thousands)					(1,152	)


158		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Contracts			Market Value ($ Thousands)


WRITTEN SWAPTION — 0.0%
February 2019, 3-Month LIBOR Put, Expires: 01/14/2019, Strike Rate: 5.000%*		(30,730,000	)	$	(471	)

Total Written Swaption (Premiums Received $795) ($ Thousands)					(471	)

A list of the open futures contracts held by the Fund at May 31, 2014, is as follows:


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
90-Day Euro$		595			Mar-2015	$	148
90-Day Euro$		(595	)		Mar-2016		(195	)
90-Day Euro$		1,158			Dec-2016		816
90-Day Euro$		(583	)		Jun-2018		(495	)
Euro Future		(40	)		Jun-2014		134
U.S. 2-Year Treasury Note		(1,305	)		Sep-2014		(102	)
U.S. 5-Year Treasury Note		(460	)		Sep-2014		(11	)
U.S. 5-Year Treasury Note		348			Sep-2014		49
U.S. 10-Year Treasury Note		(31	)		Sep-2014		5
U.S. 10-Year Treasury Note		159			Sep-2014		54
U.S. Long Treasury Bond		(1,082	)		Sep-2014		(966	)
U.S. Ultra Long Treasury Bond		410			Sep-2014		498
U.S. Ultra Long Treasury Bond		(540	)		Sep-2014		(686	)

						$	(751	)

A list of the open forward foreign currency contracts held by the Fund at May 31, 2014, is as follows:


Settlement Date	Currency to Deliver (Thousands)			Currency to Receive (Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)
8/14/14		EUR	43,848		USD	60,873	$	1,050
8/14/14		GBP	8,500		USD	14,399		152
8/14/14		JPY	2,041,344		USD	20,055		(21	)
8/14/14		USD	2,104		EUR	1,511		(42	)

							$	1,139

A list of the counterparties for the open forward foreign currency contracts held by the Fund at May 31, 2014, is as follows:


Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
Barclays PLC	$	(17,363	)	$	17,345	$	(18	)
Citicorp Security Services		(18,516	)		18,636		120
Goldman Sachs		(14,247	)		14,399		152
Morgan Stanley		(42,622	)		43,497		875
UBS		(3,501	)		3,511		10

						$	1,139

A list of the open OTC swap agreements held by the Fund at May 31, 2014 is as follows:


Interest Rate Swaps
Counterparty	Fund Pays	Fund Receives	Termination Date	Notional Amount ($ Thousands)		Net Unrealized Appreciation (Depreciation) ($ Thousands)
Barclays Bank PLC	3.49%	3 Month USD - LIBOR	03/15/46		$8,250	$	129
Barclays Bank PLC	2.48%	3 Month USD - LIBOR	11/15/27		4,105		20
Barclays Bank PLC	2.42%	3 Month USD - LIBOR	11/15/27		4,110		56
Barclays Bank PLC	3-Month USD - LIBOR	3.15%	03/15/26		18,410		(132	)
Citigroup	2.71%	3 Month USD - LIBOR	08/15/42		8,210		841
Goldman Sachs	3.13%	3 Month USD - LIBOR	04/09/46		8,270		716
Goldman Sachs	3-Month USD - LIBOR	2.80%	04/09/26		18,340		(710	)

						$	920


Credit Default Swaps
Counterparty	Reference Entity/Obligation	Buy/Sell Protection	(Pays)/ Receives Rate		Termination Date		Notional Amount ($ Thousands)			Net Unrealized Appreciation ($ Thousands)
Deutsche Bank	Berkshire Hathaway Inc.	SELL		1.00		03/20/24	$	(3,280	)	$	116
Goldman Sachs	Metlife Inc.	SELL		1.00		06/20/21		(1,660	)		—
Goldman Sachs	Metlife Inc.	SELL		1.00		06/20/21		(1,900	)		2

										$	118


SEI Institutional Investments Trust / Annual Report / May 31, 2014			159

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

May 31, 2014

A list of the open centrally cleared swap agreements held by the Fund at May 31, 2014 is as follows:


Interest Rate Swaps
Counterparty	Fund Pays	Fund Receives	Termination Date	Notional Amount ($ Thousands)		Net Unrealized Appreciation (Depreciation) ($ Thousands)
Citigroup	3.68%	3 Month USD - LIBOR	11/15/43	$	5,080	$	(389	)
UBS Warburg	3.30%	3 Month USD -LIBOR	03/29/19		123,990		(485	)
UBS Warburg	3 Month USD - LIBOR	1.89%	03/31/17		118,420		402

						$	(472	)

For the year ended May 31, 2014, the total amount of open swap agreements, as presented in the tables above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on a Net Assets of $5,910,306 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2014.

‡

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 May 31, 2014.

(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 not be sold 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 May 31, 2014. The total market value of securities on loan at May 31, 2014 was $397,351 ($ Thousands).

(D)

Security in default on interest payments.

(E)

Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on May 31, 2014. The coupon on a step bond changes on a specified date.

(F)

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

(G)

This security was purchased with cash collateral held from securities on loan (see Note 12). The total value of such securities as of May 31, 2014 was $406,901 ($ Thousands).

(H)

Securities considered illiquid. The total value of such securities as of May 31, 2014 was $1 ($ Thousands) and represented 0.00% of Net Assets.

(I)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of May 31, 2014 was $583 ($ Thousands) and represented 0.01% of Net Assets.

(J)

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

ABS — Asset-Backed Security

AID — Agency for International Development

ARM — Adjustable Rate Mortgage

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

GBP — British Pound Sterling

GNMA — Government National Mortgage Association

GO — General Obligation

IO — Interest Only

JPY — Japanese Yen

LLC — Limited Liability Company

LIBOR — London Interbank Offered Rate

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 May 31, 2014 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	$	—	$	2,347,020	$	—	$	2,347,020
Corporate Obligations		—		1,571,858		583		1,572,441
Asset-Backed Securities		—		578,930		—		578,930
U.S. Government Agency Obligations		—		342,463		—		342,463
Sovereign Debt		—		170,578		—		170,578
Municipal Bonds		—		50,398		—		50,398
U.S. Treasury Obligations		—		1,253,996		—		1,253,996
Affiliated Partnership		—		406,901		—		406,901
Cash Equivalent		347,336		—		—		347,336
Commercial Paper		—		14,165		—		14,165

Total Investments in Securities	$	347,336	$	6,736,309	$	583	$	7,084,228


Other Financial Instruments	Level 1			Level 2			Level 3		Total
Purchased Swaptions	$	—		$	2,373		$	—	$	2,373
Written Options		—			(1,152	)		—		(1,152	)
Written Swaption		—			(471	)		—		(471	)
Futures Contracts*
Unrealized Appreciation		1,704			—			—		1,704
Unrealized Depreciation		(2,455	)		—			—		(2,455	)
Forwards Contracts*
Unrealized Appreciation		—			1,202			—		1,202
Unrealized Depreciation		—			(63	)		—		(63	)
OTC Swaps
Interest Rate Swaps*
Unrealized Appreciation		—			1,762			—		1,762
Unrealized Depreciation		—			(842	)		—		(842	)
Credit Default Swaps*
Unrealized Appreciation		—			118			—		118
Centrally Cleared Swaps
Interest Rate Swaps*
Unrealized Appreciation		—			402			—		402
Unrealized Depreciation		—			(874	)		—		(874	)

Total Other Financial Instruments	$	(751	)	$	2,455		$	—	$	1,704


160		SEI Institutional Investments Trust / Annual Report / May 31, 2014

(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 year ended May 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2014, 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.


SEI Institutional Investments Trust / Annual Report / May 31, 2014			161

SCHEDULE OF INVESTMENTS

High Yield Bond Fund

May 31, 2014

LOGO


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

CORPORATE OBLIGATIONS — 73.8%

Consumer Discretionary — 16.0%
Academy
9.250%, 08/01/2019 (A)	$	715	$	773
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 (escrow security), Ser B (B)
9.500%, 02/15/2004		25		—
Affinia Group
7.750%, 05/01/2021		1,810		1,932
Affinity Gaming LLC
9.000%, 05/15/2018		1,925		2,040
Air Canada
7.750%, 04/15/2021 (A)		3,235		3,336
Algeco Scotsman Global Finance (A)
10.750%, 10/15/2019		2,953		3,079
8.500%, 10/15/2018		855		904
Allegion US Holding
5.750%, 10/01/2021 (A)		1,120		1,184
Allison Transmission
7.125%, 05/15/2019 (A)		1,961		2,103
AMC Entertainment
9.750%, 12/01/2020		1,415		1,620
5.875%, 02/15/2022		1,000		1,035
American Axle & Manufacturing
7.750%, 11/15/2019		1,465		1,687
6.250%, 03/15/2021		290		309
American Builders & Contractors Supply
5.625%, 04/15/2021 (A)		1,410		1,459


Description	Face Amount ($ Thousands)			Market Value ($ Thousands)
American Greetings
7.375%, 12/01/2021	$	390		$	413
American Tire Distributors
9.750%, 06/01/2017		620			652
AmeriGas Finance LLC
7.000%, 05/20/2022		5,698			6,296
Beazer Homes USA
5.750%, 06/15/2019 (A)		1,560			1,552
Belo
7.750%, 06/01/2027		2,025			2,319
Bon-Ton Department Stores
8.000%, 06/15/2021		970			926
Boyd Gaming
9.000%, 07/01/2020		780			860
Burlington Holdings LLC
9.000%, 02/15/2018 (A)		278			285
Cablevision Systems
7.750%, 04/15/2018		900			1,017
Caesars Entertainment Operating
11.250%, 06/01/2017		1,645			1,448
10.000%, 12/15/2018		788			341
9.000%, 02/15/2020		1,820			1,451
9.000%, 02/15/2020		650			518
8.500%, 02/15/2020		2,160			1,717
Caesars Entertainment Resort Properties LLC
8.000%, 10/01/2020 (A)		2,494			2,578
Caesars Growth Properties Holdings LLC
9.375%, 05/01/2022 (A)		1,615			1,629
Carlson Wagonlit
6.875%, 06/15/2019 (A)		1,365			1,462
Carmike Cinemas
7.375%, 05/15/2019		950	��		1,038
CCO Holdings LLC
7.375%, 06/01/2020		845			925
7.000%, 01/15/2019		1,205			1,274
6.500%, 04/30/2021		4,640			4,953
5.250%, 03/15/2021		400			411
5.250%, 09/30/2022		1,785			1,816
5.125%, 02/15/2023		1,000			1,007
CCU Escrow
10.000%, 01/15/2018 (A)		2,345			2,239
Cedar Fair
5.375%, 06/01/2024 (A)		3,645			3,677
5.250%, 03/15/2021		1,000			1,025
Century Communities
6.875%, 05/15/2022 (A)		2,325			2,366
Chassix
9.250%, 08/01/2018 (A)		835			904
Checkers Drive-In Restaurants
11.000%, 12/01/2017 (A)		1,650			1,836
Chester Downs & Marina LLC
9.250%, 02/01/2020 (A)		4,555			4,498


162		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Chinos Intermediate Holdings A
7.750%, 05/01/2019 (A)	$	545	$	561
Chrysler Group LLC
8.250%, 06/15/2021		5,165		5,888
8.000%, 06/15/2019		420		459
Cinemark USA
7.375%, 06/15/2021		640		708
5.125%, 12/15/2022		1,100		1,115
4.875%, 06/01/2023		435		428
Claire’s Stores
9.000%, 03/15/2019 (A)		1,665		1,711
8.875%, 03/15/2019		780		665
Clear Channel Communications
12.000%, 02/01/2021		1,950		1,984
9.000%, 12/15/2019		581		619
9.000%, 03/01/2021		1,030		1,100
Clear Channel Worldwide Holdings
7.625%, 03/15/2020		1,375		1,478
7.625%, 03/15/2020		90		96
6.500%, 11/15/2022		2,665		2,852
6.500%, 11/15/2022		1,015		1,080
Cogeco Cable
4.875%, 05/01/2020 (A)		1,050		1,068
CSC Holdings LLC
8.625%, 02/15/2019		2,735		3,261
6.750%, 11/15/2021		1,530		1,706
5.250%, 06/01/2024 (A)		3,875		3,875
CST Brands
5.000%, 05/01/2023		350		349
Dana Holdings
6.750%, 02/15/2021		1,754		1,899
6.500%, 02/15/2019		520		550
6.000%, 09/15/2023		340		360
5.375%, 09/15/2021		210		218
Dave & Buster’s
14.860%, 02/15/2016 (A)		1,820		1,547
DBP Holding
7.750%, 10/15/2020 (A)		930		790
DISH DBS
7.875%, 09/01/2019		1,780		2,118
6.750%, 06/01/2021		1,495		1,691
5.875%, 07/15/2022		2,910		3,121
5.125%, 05/01/2020		35		37
5.000%, 03/15/2023		4,745		4,828
4.250%, 04/01/2018		900		940
Eldorado Resorts LLC
8.625%, 06/15/2019 (A)		5,460		5,788
Empire Today LLC
11.375%, 02/01/2017 (A)		1,841		1,887
Ferrellgas
6.500%, 05/01/2021		2,650		2,769
Fontainebleau Las Vegas
10.250%, 06/15/2015 (A) (B)		3,500		17


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
General Motors (A)
6.250%, 10/02/2043	$	875	$	994
4.875%, 10/02/2023		2,425		2,540
General Motors Financial
6.750%, 06/01/2018		1,365		1,554
4.250%, 05/15/2023		325		322
Gestamp Funding Luxembourg
5.625%, 05/31/2020 (A)		2,260		2,348
Gibson Brands
8.875%, 08/01/2018 (A)		525		543
Goodyear Tire & Rubber
8.750%, 08/15/2020		520		616
8.250%, 08/15/2020		950		1,050
6.500%, 03/01/2021		2,345		2,556
Graton Economic Development Authority
9.625%, 09/01/2019 (A)		2,595		2,952
GRD Holdings III
10.750%, 06/01/2019 (A)		4,800		5,340
Group 1 Automotive
5.000%, 06/01/2022 (A)		660		663
Guitar Center (A)
9.625%, 04/15/2020		1,760		1,593
6.500%, 04/15/2019		2,285		2,202
Gymboree
9.125%, 12/01/2018		910		566
Hanesbrands
6.375%, 12/15/2020		845		916
HD Supply
11.500%, 07/15/2020		2,130		2,556
11.000%, 04/15/2020		535		633
8.125%, 04/15/2019		1,150		1,268
7.500%, 07/15/2020		3,492		3,789
Hillman Group
10.875%, 06/01/2018		3,265		3,464
Hilton Worldwide Finance LLC
5.625%, 10/15/2021 (A)		565		597
Icahn Enterprises (A)
6.000%, 08/01/2020		3,400		3,630
5.875%, 02/01/2022		3,650		3,796
4.875%, 03/15/2019		3,511		3,594
3.500%, 03/15/2017		1,400		1,416
International Automotive Components Group
9.125%, 06/01/2018 (A)		1,705		1,812
Isle of Capri Casinos
5.875%, 03/15/2021		555		563
JC Penney
7.950%, 04/01/2017		1,400		1,393
6.375%, 10/15/2036		710		561
5.750%, 02/15/2018		365		329
5.650%, 06/01/2020		1,145		976
L Brands
6.625%, 04/01/2021		1,040		1,170


SEI Institutional Investments Trust / Annual Report / May 31, 2014			163

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
5.625%, 02/15/2022	$	1,285	$	1,362
5.625%, 10/15/2023		585		620
Landry’s
9.375%, 05/01/2020 (A)		2,909		3,211
Liberty Interactive LLC
8.250%, 02/01/2030		4,555		5,033
Live Nation Entertainment
5.375%, 06/15/2022 (A)		1,480		1,491
Marina District Finance
9.875%, 08/15/2018		1,420		1,502
McClatchy
9.000%, 12/15/2022		2,805		3,208
MDC Partners
6.750%, 04/01/2020 (A)		6,970		7,371
MGM Resorts International
11.375%, 03/01/2018		625		808
8.625%, 02/01/2019		330		394
7.750%, 03/15/2022		1,015		1,191
6.750%, 10/01/2020		2,345		2,600
6.625%, 12/15/2021		1,680		1,869
5.250%, 03/31/2020		2,680		2,784
Michaels FinCo Holdings LLC
7.500%, 08/01/2018 (A)		2,755		2,824
Michaels Stores
7.750%, 11/01/2018		1,570		1,660
5.875%, 12/15/2020 (A)		905		923
Mohegan Tribal Gaming Authority
9.750%, 09/01/2021		2,585		2,792
MTR Gaming Group PIK
11.500%, 08/01/2019		2,500		2,809
Neiman Marcus Group LLC (A)
8.750%, 10/15/2021		445		491
8.000%, 10/15/2021		445		490
Netflix
5.375%, 02/01/2021		1,947		2,030
New Academy Finance LLC PIK
8.000%, 06/15/2018 (A)		1,300		1,329
New Albertsons
8.000%, 05/01/2031		5,450		4,769
7.750%, 06/15/2026		135		117
7.450%, 08/01/2029		1,940		1,697
Nexstar Broadcasting
6.875%, 11/15/2020		3,160		3,373
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		2,929
Petco Animal Supplies
9.250%, 12/01/2018 (A)		360		387
Pinnacle Entertainment
7.750%, 04/01/2022		665		722


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
7.500%, 04/15/2021	$	1,375	$	1,487
Playa Resorts Holding
8.000%, 08/15/2020 (A)		1,355		1,457
PNK Finance
6.375%, 08/01/2021 (A)		675		710
Quebecor Media (escrow security) (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		1,834
Radio One
9.250%, 02/15/2020 (A)		1,500		1,620
Radio Systems
8.375%, 11/01/2019 (A)		780		852
Regal Entertainment Group
5.750%, 03/15/2022		1,035		1,069
Rent-A-Center
4.750%, 05/01/2021		1,000		953
RSI Home Products
6.875%, 03/01/2018 (A)		315		338
Sabre
8.500%, 05/15/2019 (A)		1,904		2,121
Sally Holdings LLC
6.875%, 11/15/2019		455		496
5.750%, 06/01/2022		570		608
5.500%, 11/01/2023		565		579
Schaeffler Finance (A)
4.750%, 05/15/2021		375		383
4.250%, 05/15/2021		200		199
Seminole Tribe
6.535%, 10/01/2020 (A)		1,450		1,617
Serta Simmons Holdings LLC
8.125%, 10/01/2020 (A)		2,125		2,322
Service International
7.625%, 10/01/2018		450		524
7.500%, 04/01/2027		1,265		1,373
5.375%, 05/15/2024 (A)		415		421
Shingle Springs Tribal Gaming Authority
9.750%, 09/01/2021 (A)		2,665		2,985
Sinclair Television Group
8.375%, 10/15/2018		215		228
6.125%, 10/01/2022		365		375
5.375%, 04/01/2021		4,885		4,867
Sirius XM Radio (A)
6.000%, 07/15/2024		435		447
5.875%, 10/01/2020		2,000		2,120
5.750%, 08/01/2021		1,000		1,053
4.625%, 05/15/2023		1,340		1,276
4.250%, 05/15/2020		2,000		1,970
Six Flags Entertainment
5.250%, 01/15/2021 (A)		3,850		3,927


164		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Stackpole International Intermediate
7.750%, 10/15/2021 (A)	$	2,210	$	2,309
Station Casinos LLC
7.500%, 03/01/2021		1,365		1,481
Suburban Propane Partners
7.375%, 03/15/2020		500		534
Taylor Morrison Communities
5.625%, 03/01/2024 (A)		4,695		4,625
Tempur Sealy International
6.875%, 12/15/2020		1,610		1,763
Time
5.750%, 04/15/2022 (A)		345		345
Toys R Us
10.375%, 08/15/2017		5,680		4,558
Travelport LLC
11.875%, 09/01/2016		1,535		1,558
Travelport LLC PIK
13.875%, 03/01/2016 (A)		1,340		1,380
UCI International
8.625%, 02/15/2019		1,185		1,135
Univision Communications (A)
8.500%, 05/15/2021		3,240		3,556
7.875%, 11/01/2020		2,750		3,028
Vail Resorts
6.500%, 05/01/2019		1,340		1,409
Viking Cruises
8.500%, 10/15/2022 (A)		3,590		4,030
VTR Finance
6.875%, 01/15/2024 (A)		2,300		2,438
Whirlpool
2.400%, 03/01/2019		950		959
William Carter
5.250%, 08/15/2021 (A)		155		162
William Lyon Homes
5.750%, 04/15/2019 (A)		2,155		2,203
WMG Acquisition (A)
6.750%, 04/15/2022		3,575		3,575
6.000%, 01/15/2021		338		350
5.625%, 04/15/2022		1,045		1,048
Wok Acquisition
10.250%, 06/30/2020 (A)		3,740		3,843
Wynn Las Vegas LLC
7.750%, 08/15/2020		3,050		3,347

				349,183


Consumer Staples — 8.2%
Albea Beauty Holdings
8.375%, 11/01/2019 (A)		745		808
Albertson’s
8.700%, 05/01/2030		635		581
American Achievement
10.875%, 04/15/2016 (A)		1,565		1,628


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
APX Group
8.750%, 12/01/2020	$	4,775	$	4,871
6.375%, 12/01/2019		2,340		2,398
Aramark Services
5.750%, 03/15/2020		2,450		2,606
Armored Autogroup
9.250%, 11/01/2018		855		893
Ashtead Capital
6.500%, 07/15/2022 (A)		2,140		2,333
Avis Budget Car Rental LLC
5.500%, 04/01/2023		1,607		1,639
4.875%, 11/15/2017		65		68
B&G Foods
4.625%, 06/01/2021		290		289
BI-LO LLC
8.625%, 09/15/2018 (A)		1,055		1,076
Biomet
6.500%, 08/01/2020		3,431		3,723
6.500%, 10/01/2020		300		323
Bumble Bee Holdco PIK
9.625%, 03/15/2018 (A)		3,250		3,404
Bumble Bee Holdings
9.000%, 12/15/2017 (A)		1,907		2,048
Central Garden and Pet
8.250%, 03/01/2018		6,225		6,365
Ceridian HCM Holding
11.000%, 03/15/2021 (A)		1,574		1,814
Chiquita Brands International
7.875%, 02/01/2021		1,017		1,112
Crestview DS Merger Sub II
10.000%, 09/01/2021 (A)		1,020		1,132
Crimson Merger Sub
6.625%, 05/15/2022 (A)		1,405		1,394
Darling International
5.375%, 01/15/2022 (A)		1,530		1,591
Del Monte
7.625%, 02/15/2019		3,036		3,161
Diamond Foods
7.000%, 03/15/2019 (A)		900		938
Elizabeth Arden
7.375%, 03/15/2021		3,240		3,422
Fleming
10.125%, 04/01/2008 (B)		974		—
Fresenius Medical Care US Finance II
5.625%, 07/31/2019 (A)		2,245		2,450
Grifols Worldwide Operations
5.250%, 04/01/2022 (A)		3,896		4,032
Harbinger Group
7.875%, 07/15/2019		4,150		4,534
Harland Clarke Holdings
9.250%, 03/01/2021 (A)		5,764		5,915
Hawk Acquisition Sub
4.250%, 10/15/2020 (A)		1,310		1,310


SEI Institutional Investments Trust / Annual Report / May 31, 2014			165

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Hearthside Group Holdings LLC
6.500%, 05/01/2022 (A)	$	150	$	151
Hertz
7.500%, 10/15/2018		1,075		1,135
5.875%, 10/15/2020		445		471
Immucor
11.125%, 08/15/2019		5,560		6,227
INC Research LLC
11.500%, 07/15/2019 (A)		2,060		2,338
JBS Investments GmbH
7.750%, 10/28/2020 (A)		1,520		1,632
KeHE Distributors LLC
7.625%, 08/15/2021 (A)		1,900		2,057
Kinetic Concepts
12.500%, 11/01/2019		700		803
10.500%, 11/01/2018		2,155		2,445
Lantheus Medical Imaging
9.750%, 05/15/2017		1,440		1,436
Laureate Education
9.250%, 09/01/2019 (A)		2,190		2,300
Michael Foods Holding PIK
8.500%, 07/15/2018 (A)		1,665		1,727
Monitronics International
9.125%, 04/01/2020		6,100		6,497
MPH Acquisition Holdings LLC
6.625%, 04/01/2022 (A)		4,210		4,368
Pantry
8.375%, 08/01/2020		1,440		1,553
Par Pharmaceutical
7.375%, 10/15/2020		2,900		3,147
Physio-Control International
9.875%, 01/15/2019 (A)		380		423
Post Holdings
7.375%, 02/15/2022 (A)		525		570
7.375%, 02/15/2022		1,100		1,194
6.750%, 12/01/2021 (A)		735		779
6.000%, 12/15/2022 (A)		2,125		2,144
Radiation Therapy Services
9.875%, 04/15/2017		575		541
8.875%, 01/15/2017		665		680
Reynolds Group Issuer
9.875%, 08/15/2019		2,060		2,269
9.000%, 04/15/2019		3,695		3,917
8.250%, 02/15/2021		4,264		4,536
6.875%, 02/15/2021		1,100		1,185
5.750%, 10/15/2020		6,545		6,807
Rite Aid
9.250%, 03/15/2020		485		553
7.700%, 02/15/2027		2,635		2,931
6.750%, 06/15/2021		910		985
Roundy’s Supermarkets
10.250%, 12/15/2020 (A)		535		564
ServiceMaster
7.250%, 03/01/2038		4,710		4,186


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
7.000%, 08/15/2020	$	695	$	733
Smithfield Foods
6.625%, 08/15/2022		1,070		1,173
Spectrum Brands
6.750%, 03/15/2020		440		473
6.625%, 11/15/2022		1,835		2,009
6.375%, 11/15/2020		685		742
SUPERVALU
6.750%, 06/01/2021		4,400		4,477
TransUnion Holding
9.625%, 06/15/2018		425		448
8.125%, 06/15/2018		2,349		2,452
Truven Health Analytics
10.625%, 06/01/2020		1,598		1,774
United Rentals North America
8.250%, 02/01/2021		4,245		4,754
7.625%, 04/15/2022		390		442
7.375%, 05/15/2020		170		190
6.125%, 06/15/2023		3,255		3,499
United Surgical Partners International
9.000%, 04/01/2020		1,595		1,766
US Foods
8.500%, 06/30/2019		365		392
Valeant Pharmaceuticals International (A)
7.250%, 07/15/2022		1,320		1,429
7.000%, 10/01/2020		1,315		1,400
6.750%, 08/15/2021		1,165		1,238
6.375%, 10/15/2020		665		712
5.625%, 12/01/2021		1,000		1,040
Vector Group
7.750%, 02/15/2021		2,030		2,162
VPII Escrow (A)
7.500%, 07/15/2021		2,720		3,019
6.750%, 08/15/2018		750		810

				177,543


Energy — 11.0%
Access Midstream Partners
6.125%, 07/15/2022		625		681
5.875%, 04/15/2021		310		331
4.875%, 05/15/2023		395		413
4.875%, 03/15/2024		1,200		1,257
Antero Resources Finance
5.375%, 11/01/2021		435		453
Arch Coal
8.000%, 01/15/2019 (A)		1,555		1,528
7.250%, 06/15/2021		955		680
7.000%, 06/15/2019		510		379
Athlon Holdings
6.000%, 05/01/2022 (A)		5,145		5,261


166		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Atlas Energy Holdings Operating LLC
9.250%, 08/15/2021	$	1,950	$	2,077
7.750%, 01/15/2021		1,350		1,357
Atlas Pipeline Partners
6.625%, 10/01/2020		1,970		2,088
5.875%, 08/01/2023		1,850		1,868
4.750%, 11/15/2021		400		388
Atwood Oceanics
6.500%, 02/01/2020		1,058		1,121
Baytex Energy (A)
5.625%, 06/01/2024		3,110		3,129
5.125%, 06/01/2021		2,325		2,354
Berry Petroleum LLC
6.375%, 09/15/2022		430		450
Bill Barrett
7.625%, 10/01/2019		2,000		2,160
7.000%, 10/15/2022		1,400		1,477
BreitBurn Energy Partners
8.625%, 10/15/2020		640		699
7.875%, 04/15/2022		6,330		6,805
Calumet Specialty Products Partners
7.625%, 01/15/2022		2,165		2,295
Carrizo Oil & Gas
7.500%, 09/15/2020		400		438
Chaparral Energy
8.250%, 09/01/2021		915		1,000
7.625%, 11/15/2022		730		777
Chesapeake Energy
6.875%, 11/15/2020		340		395
6.625%, 08/15/2020		1,300		1,498
6.125%, 02/15/2021		145		163
4.875%, 04/15/2022		3,195		3,311
3.479%, 04/15/2019 (C)		310		315
CONSOL Energy
5.875%, 04/15/2022 (A)		430		446
Crestwood Midstream Partners
7.750%, 04/01/2019		4,050		4,333
6.125%, 03/01/2022 (A)		700		733
Crosstex Energy
7.125%, 06/01/2022		15		17
Denbury Resources
5.500%, 05/01/2022		830		855
4.625%, 07/15/2023		510		491
Dresser-Rand Group
6.500%, 05/01/2021		600		642
Eagle Rock Energy Partners
8.375%, 06/01/2019		3,810		4,129
Endeavor Energy Resources
7.000%, 08/15/2021 (A)		3,800		4,018
Energy Transfer Equity
5.875%, 01/15/2024		2,985		3,082
5.875%, 01/15/2024 (A)		2,224		2,302


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Energy XXI Gulf Coast
7.500%, 12/15/2021	$	3,350	$	3,559
6.875%, 03/15/2024 (A)		1,455		1,466
EnQuest
7.000%, 04/15/2022 (A)		2,000		2,070
EP Energy LLC
9.375%, 05/01/2020		1,740		1,999
7.750%, 09/01/2022		765		858
6.875%, 05/01/2019		590		631
EV Energy Partners
8.000%, 04/15/2019		1,465		1,531
EXCO Resources
8.500%, 04/15/2022		700		723
Exterran Holdings
7.250%, 12/01/2018		2,370		2,503
Exterran Partners
6.000%, 04/01/2021		2,090		2,121
FTS International
6.250%, 05/01/2022 (A)		2,890		2,948
Genesis Energy
5.750%, 02/15/2021		755		781
Gibson Energy
6.750%, 07/15/2021 (A)		5,200		5,629
Halcon Resources
9.750%, 07/15/2020		1,350		1,478
9.250%, 02/15/2022		290		310
8.875%, 05/15/2021		6,675		7,109
Hercules Offshore (A)
8.750%, 07/15/2021		460		492
7.500%, 10/01/2021		755		761
6.750%, 04/01/2022		375		365
Hiland Partners (A)
7.250%, 10/01/2020		2,035		2,223
5.500%, 05/15/2022		360		365
IronGate Energy Services LLC
11.000%, 07/01/2018 (A)		500		509
Key Energy Services
6.750%, 03/01/2021		1,335		1,395
Kinder Morgan
5.000%, 02/15/2021 (A)		1,655		1,668
Kodiak Oil & Gas
8.125%, 12/01/2019		1,135		1,260
5.500%, 02/01/2022		120		123
Laredo Petroleum
7.375%, 05/01/2022		980		1,085
5.625%, 01/15/2022		935		958
Legacy Reserves
8.000%, 12/01/2020		2,250		2,402
6.625%, 12/01/2021		1,525		1,548
6.625%, 12/01/2021 (A)		435		442
Linn Energy LLC
8.625%, 04/15/2020		325		352
7.750%, 02/01/2021		1,480		1,597
7.250%, 11/01/2019 (A)		2,850		2,992
6.500%, 05/15/2019		150		158


SEI Institutional Investments Trust / Annual Report / May 31, 2014			167

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
MarkWest Energy Partners
6.500%, 08/15/2021	$	85	$	92
5.500%, 02/15/2023		805		841
MEG Energy (A)
7.000%, 03/31/2024		590		637
6.500%, 03/15/2021		326		345
6.375%, 01/30/2023		3,400		3,604
Memorial Production Partners
7.625%, 05/01/2021		3,925		4,062
Midstates Petroleum
10.750%, 10/01/2020		5,007		5,583
9.250%, 06/01/2021		3,155		3,392
Milagro Oil & Gas
10.500%, 05/15/2016 (B)		1,950		1,541
Millennium Offshore Services Superholdings LLC
9.500%, 02/15/2018 (A)		1,040		1,113
Murphy Oil USA
6.000%, 08/15/2023 (A)		1,125		1,170
Murray Energy
8.625%, 06/15/2021 (A)		2,230		2,431
NGL Energy Partners
6.875%, 10/15/2021 (A)		1,700		1,785
Northern Blizzard Resources
7.250%, 02/01/2022 (A)		1,440		1,487
Northern Oil and Gas
8.000%, 06/01/2020		1,420		1,509
NuStar Logistics
6.750%, 02/01/2021		1,070		1,177
Oasis Petroleum
6.875%, 03/15/2022 (A)		1,550		1,686
Ocean Rig UDW
7.250%, 04/01/2019 (A)		1,560		1,548
Pacific Drilling
5.375%, 06/01/2020 (A)		1,150		1,127
PDC Energy
7.750%, 10/15/2022		1,470		1,624
Peabody Energy
6.250%, 11/15/2021		2,685		2,685
Penn Virginia Resource Partners
8.375%, 06/01/2020		2,206		2,498
Pioneer Energy Services
6.125%, 03/15/2022 (A)		1,460		1,500
Plains Exploration & Production
6.875%, 02/15/2023		905		1,028
6.500%, 11/15/2020		960		1,066
PVR Partners Penn Virginia
6.500%, 05/15/2021		2,200		2,371
QR Energy
9.250%, 08/01/2020		725		776
Range Resources
5.000%, 08/15/2022		945		992
5.000%, 03/15/2023		2,450		2,573


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Regency Energy Partners
5.875%, 03/01/2022	$	2,810	$	2,986
5.750%, 09/01/2020		35		37
5.500%, 04/15/2023		550		562
Rice Energy
6.250%, 05/01/2022 (A)		2,615		2,638
RKI Exploration & Production LLC
8.500%, 08/01/2021 (A)		610		662
Rockies Express Pipeline LLC (A)
6.000%, 01/15/2019		3,590		3,689
5.625%, 04/15/2020		1,715		1,711
Rosetta Resources
5.875%, 06/01/2022		1,100		1,133
Sabine Pass Liquefaction LLC
6.250%, 03/15/2022 (A)		2,955		3,173
5.750%, 05/15/2024 (A)		530		545
5.625%, 02/01/2021		3,200		3,352
5.625%, 04/15/2023		7,355		7,557
Samson Investment
10.750%, 02/15/2020 (A)		1,555		1,625
SandRidge Energy
8.125%, 10/15/2022		5,314		5,766
7.500%, 03/15/2021		2,770		2,950
7.500%, 02/15/2023		6,635		7,066
SemGroup
7.500%, 06/15/2021		1,970		2,123
SESI LLC
7.125%, 12/15/2021		2,000		2,260
Summit Midstream Holdings LLC
7.500%, 07/01/2021		1,200		1,302
Targa Resources Partners
6.375%, 08/01/2022		375		402
Tesoro Logistics
6.125%, 10/15/2021		460		485
5.875%, 10/01/2020		725		758
5.875%, 10/01/2020 (A)		330		345
Trinidad Drilling
7.875%, 01/15/2019 (A)		880		937
Tullow Oil
6.000%, 11/01/2020 (A)		600		618
Unit
6.625%, 05/15/2021		1,950		2,077
Vanguard Natural Resources LLC
7.875%, 04/01/2020		375		405
Whiting Petroleum
5.750%, 03/15/2021		1,640		1,771
Williams
8.750%, 03/15/2032		600		765
7.500%, 01/15/2031		780		907


168		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
YPF
8.750%, 04/04/2024 (A)	$	1,345	$	1,390

				238,847


Financials — 7.2%
Ally Financial
8.000%, 11/01/2031		1,285		1,605
7.500%, 09/15/2020		2,620		3,124
6.250%, 12/01/2017		1,745		1,950
4.750%, 09/10/2018		185		197
3.500%, 01/27/2019		3,150		3,174
2.908%, 07/18/2016 (C)		560		574
Alphabet Holding PIK
7.750%, 11/01/2017		3,550		3,665
American Equity Investment Life Holding
6.625%, 07/15/2021		1,900		2,057
American International Group
8.175%, 05/15/2058 (C)		1,290		1,745
A-S -Issuer Subsidiary
7.875%, 12/15/2020 (A)		3,535		3,738
Aventine (escrow security) PIK
0.000%, 10/15/2049 (B) (D) (E) (F)		2,600		1
Bank of America
8.000%, 12/29/2049 (C)		1,805		2,035
Barclays Bank
7.625%, 11/21/2022		1,510		1,735
Boart Longyear Management (A)
10.000%, 10/01/2018		2,000		2,090
7.000%, 04/01/2021		4,040		3,030
CIT Group
6.625%, 04/01/2018 (A)		300		335
5.500%, 02/15/2019 (A)		2,710		2,927
5.250%, 03/15/2018		1,520		1,632
4.250%, 08/15/2017		130		136
3.875%, 02/19/2019		620		627
Citigroup
6.300%, 12/29/2049 (C)		3,960		4,020
5.950%, 12/29/2049 (C)		1,950		1,965
City National Bank
9.000%, 08/12/2019		4,062		5,088
Compass Investors
7.750%, 01/15/2021 (A)		4,105		4,228
Corrections Corp of America‡
4.625%, 05/01/2023		955		945
4.125%, 04/01/2020		810		808
Credit Acceptance
6.125%, 02/15/2021 (A)		3,950		4,118
Credit Suisse Group
7.500%, 12/11/2048 (A)		2,785		3,039
Crown Castle International‡
5.250%, 01/15/2023		940		978


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
CTR Partnership‡
5.875%, 06/01/2021 (A)	$	3,745	$	3,782
CyrusOne
6.375%, 11/15/2022		380		404
Denali Borrower LLC
5.625%, 10/15/2020 (A)		1,400		1,461
Geo Group‡
6.625%, 02/15/2021		250		268
5.875%, 01/15/2022		825		854
GLP Capital
4.875%, 11/01/2020 (A)		429		444
Hockey Merger Sub 2
7.875%, 10/01/2021 (A)		4,825		5,175
ING US
5.650%, 05/15/2053 (C)		2,050		2,078
International Lease Finance
6.250%, 05/15/2019		1,460		1,622
5.875%, 04/01/2019		3,080		3,365
4.625%, 04/15/2021		755		768
Ironshore Holdings US
8.500%, 05/15/2020 (A)		1,700		1,997
Jefferies Finance LLC
6.875%, 04/15/2022 (A)		2,660		2,680
JPMorgan Chase (C)
7.900%, 04/29/2049		1,967		2,218
6.750%, 08/29/2049		890		955
5.150%, 04/05/2023		4,935		4,713
Kennedy-Wilson
8.750%, 04/01/2019		3,700		4,033
5.875%, 04/01/2024		2,120		2,123
Lancashire Holdings
5.700%, 10/01/2022 (A)		1,200		1,339
Lloyds Banking Group
7.500%, 12/01/2099 (C)		3,900		4,178
Marlin Water Trust II
6.310%, 07/15/2003 (A) (B)		4,000		—
Mattamy Group
6.500%, 11/15/2020 (A)		1,795		1,817
Millennium (escrow security)
7.625%, 11/15/2026 (B)		200		—
National Life Insurance
10.500%, 09/15/2039 (A)		1,100		1,579
Nationstar Mortgage LLC
6.500%, 08/01/2018		1,350		1,353
6.500%, 07/01/2021		1,000		951
6.500%, 06/01/2022		2,000		1,880
Nuveen Investments (A)
9.500%, 10/15/2020		2,005		2,381
9.125%, 10/15/2017		3,170		3,439
Offshore Group Investment, Ltd.
7.125%, 04/01/2023		715		722
Omega Healthcare Investors‡
4.950%, 04/01/2024 (A)		1,170		1,178
Ono Finance II
10.875%, 07/15/2019 (A)		780		861


SEI Institutional Investments Trust / Annual Report / May 31, 2014			169

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Opal Acquisition
8.875%, 12/15/2021 (A)	$	6,300	$	6,615
Oxford Finance LLC
7.250%, 01/15/2018 (A)		471		498
PHH
7.375%, 09/01/2019		775		870
6.375%, 08/15/2021		620		646
PNC Preferred Funding Trust II
1.456%, 03/29/2049 (A) (C)		4,040		3,919
Rayonier AM Products‡
5.500%, 06/01/2024 (A)		300		304
RBS Capital Trust I
2.099%, 12/29/2049 (C)		1,580		1,533
Realogy Group LLC (A)
7.875%, 02/15/2019		1,125		1,215
7.625%, 01/15/2020		520		579
RHP Hotel Properties‡
5.000%, 04/15/2021		1,486		1,482
Royal Bank of Scotland Group
5.125%, 05/28/2024		780		780
Stena
7.000%, 02/01/2024 (A)		2,085		2,194
The Escrow Corporation
6.000%, 10/01/2020		1,630		1,752
USB Realty
1.475%, 12/29/2049 (A) (C)		6,400		5,888
Wells Fargo
7.980%, 03/29/2049 (C)		1,950		2,221
Wilton Re Finance LLC
5.875%, 03/30/2033 (A) (C)		2,400		2,502
XL Capital
6.500%, 12/31/2049 (C)		2,615		2,592

				157,774


Health Care — 3.6%
Acadia Healthcare
12.875%, 11/01/2018		1,702		2,042
6.125%, 03/15/2021		1,100		1,149
Alere
6.500%, 06/15/2020		1,430		1,505
Amsurg
5.625%, 11/30/2020		3,075		3,075
Aurora Diagnostics Holdings
10.750%, 01/15/2018		4,370		3,627
CHS
8.000%, 11/15/2019		100		110
7.125%, 07/15/2020		2,675		2,902
6.875%, 02/01/2022 (A)		1,030		1,084
5.125%, 08/01/2021 (A)		205		208
DaVita HealthCare Partners
6.625%, 11/01/2020		735		783
6.375%, 11/01/2018		255		268
DJO Finance LLC
9.875%, 04/15/2018		3,980		4,288


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
8.750%, 03/15/2018	$	525	$	564
7.750%, 04/15/2018		3,295		3,443
HCA
7.500%, 02/15/2022		4,965		5,722
6.500%, 02/15/2020		2,250		2,557
5.875%, 03/15/2022		2,050		2,232
5.000%, 03/15/2024		7,585		7,699
3.750%, 03/15/2019		1,000		1,018
HCA Holdings
7.750%, 05/15/2021		3,130		3,447
6.250%, 02/15/2021		15		16
HealthSouth
7.750%, 09/15/2022		494		541
Hologic
6.250%, 08/01/2020		3,945		4,192
inVentiv Health (A)
11.000%, 08/15/2018		610		575
11.000%, 08/15/2018		450		425
Kindred Healthcare
6.375%, 04/15/2022 (A)		4,815		4,893
LifePoint Hospitals
5.500%, 12/01/2021 (A)		1,500		1,571
Mallinckrodt International Finance
4.750%, 04/15/2023		800		776
Salix Pharmaceuticals
6.000%, 01/15/2021 (A)		1,735		1,861
Select Medical
6.375%, 06/01/2021 (A)		1,170		1,220
Tenet Healthcare
8.125%, 04/01/2022		4,220		4,800
8.000%, 08/01/2020		2,365		2,578
6.750%, 02/01/2020		1,395		1,493
4.750%, 06/01/2020		1,020		1,033
4.500%, 04/01/2021		300		298
WellCare Health Plans
5.750%, 11/15/2020		3,915		4,169

				78,164


Industrials — 7.1%
ACCO Brands
6.750%, 04/30/2020		1,850		1,936
Actuant
5.625%, 06/15/2022		4,000		4,200
ADT
6.250%, 10/15/2021		3,195		3,363
4.125%, 04/15/2019		1,000		1,000
3.500%, 07/15/2022		115		106
AerCap Ireland Capital
4.500%, 05/15/2021 (A)		3,636		3,663
Air Medical Group Holdings
9.250%, 11/01/2018		3,808		4,084


170		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Aircastle
7.625%, 04/15/2020	$	1,340	$	1,544
4.625%, 12/15/2018		390		401
Alion Science & Technology PIK
10.000%, 11/01/2014		781		779
Alliant Techsystems
5.250%, 10/01/2021 (A)		400		417
Amsted Industries
5.000%, 03/15/2022 (A)		950		952
Anixter
5.625%, 05/01/2019		395		421
ARD Finance PIK
11.125%, 06/01/2018 (A)		1,654		1,770
Ardagh Packaging Finance (A)
9.125%, 10/15/2020		2,290		2,536
7.000%, 11/15/2020		264		274
Associated Materials LLC
9.125%, 11/01/2017		460		478
BC Mountain LLC
7.000%, 02/01/2021 (A)		190		178
BE Aerospace
5.250%, 04/01/2022		705		749
Belden
5.500%, 09/01/2022 (A)		910		921
BlueLine Rental Finance
7.000%, 02/01/2019 (A)		830		888
BOE Intermediate Holding
9.000%, 11/01/2017 (A)		1,206		1,260
BOE Merger PIK
9.500%, 11/01/2017 (A)		1,783		1,877
Bombardier (A)
7.750%, 03/15/2020		250		282
6.125%, 01/15/2023		1,135		1,161
6.000%, 10/15/2022		2,000		2,035
5.750%, 03/15/2022		875		890
Builders FirstSource
7.625%, 06/01/2021 (A)		1,593		1,705
Building Materials Corp of America (A)
6.875%, 08/15/2018		210		219
6.750%, 05/01/2021		700		756
BWAY Holding
10.000%, 06/15/2018		445		468
Case New Holland
7.875%, 12/01/2017		145		170
Cemex
7.250%, 01/15/2021 (A)		915		992
Cemex Finance LLC
6.000%, 04/01/2024 (A)		945		970
CEVA Group (A)
9.000%, 09/01/2021		1,000		1,025
7.000%, 03/01/2021		1,235		1,257
CHC Helicopter
9.375%, 06/01/2021		3,215		3,392


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Clean Harbors
5.250%, 08/01/2020	$	3,265	$	3,347
CNH Capital LLC
3.625%, 04/15/2018		215		220
Consolidated Container LLC
10.125%, 07/15/2020 (A)		1,445		1,478
Covanta Holding
5.875%, 03/01/2024		1,565		1,604
CPG Merger Sub LLC
8.000%, 10/01/2021 (A)		1,485		1,559
Delta Air Lines, Pass-Through Trust, Ser 2011-1, Cl B
7.125%, 10/15/2014		2,000		2,043
DigitalGlobe
5.250%, 02/01/2021		4,000		3,930
Esterline Technologies
7.000%, 08/01/2020		1,755		1,887
FGI Operating Company, LLC
7.875%, 05/01/2020		880		937
Florida East Coast Holdings
6.750%, 05/01/2019 (A)		4,153		4,324
FTI Consulting
6.750%, 10/01/2020		500		534
GenCorp
7.125%, 03/15/2021		1,240		1,348
General Cable
6.500%, 10/01/2022 (A)		870		875
Gibraltar Industries
6.250%, 02/01/2021		874		920
Great Lakes Dredge & Dock
7.375%, 02/01/2019		1,215		1,273
H&E Equipment Services
7.000%, 09/01/2022		1,820		2,002
Huntington Ingalls Industries
6.875%, 03/15/2018		600		639
Interline Brands PIK
10.000%, 11/15/2018		310		335
Iron Mountain
7.750%, 10/01/2019		2,625		2,881
6.000%, 08/15/2023		790		839
Jack Cooper Holdings
9.250%, 06/01/2020 (A)		780		852
Kratos Defense & Security Solutions
7.000%, 05/15/2019 (A)		800		819
Manitowoc
8.500%, 11/01/2020		1,180		1,316
Marquette Transportation LLC
10.875%, 01/15/2017		1,575		1,668
Masonite International
8.250%, 04/15/2021 (A)		1,630		1,777
Meritor
6.750%, 06/15/2021		1,105		1,180
6.250%, 02/15/2024		230		234


SEI Institutional Investments Trust / Annual Report / May 31, 2014			171

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Milacron LLC
7.750%, 02/15/2021 (A)	$	1,490	$	1,639
Mueller Water Products
8.750%, 09/01/2020		504		559
Navios South American Logistics
7.250%, 05/01/2022 (A)		1,425		1,466
Navistar International
8.250%, 11/01/2021		770		799
Nielsen Finance LLC
5.000%, 04/15/2022 (A)		1,985		2,000
4.500%, 10/01/2020		1,685		1,706
Nielsen Luxembourg SARL
5.500%, 10/01/2021 (A)		2,545		2,647
Nortek
8.500%, 04/15/2021		2,940		3,241
Old AII
10.000%, 12/15/2016 (B)		1,675		—
Old AII PIK
9.000%, 12/15/2014 (B)		950		—
Oshkosh
5.375%, 03/01/2022 (A)		70		72
Packaging Dynamics
8.750%, 02/01/2016 (A)		2,454		2,521
Plastipak Holdings
6.500%, 10/01/2021 (A)		1,185		1,244
Polymer Group
7.750%, 02/01/2019		1,260		1,340
Quality Distribution LLC
9.875%, 11/01/2018		4,293		4,604
Renaissance Acquisition
6.875%, 08/15/2021 (A)		1,085		1,131
Sensata Technologies
4.875%, 10/15/2023 (A)		1,000		992
Silver II Borrower
7.750%, 12/15/2020 (A)		1,055		1,137
Syncreon Group
8.625%, 11/01/2021 (A)		1,955		1,984
Tempel Steel
12.000%, 08/15/2016 (A)		1,100		1,045
Terex
6.500%, 04/01/2020		700		759
6.000%, 05/15/2021		3,035		3,240
Tervita
8.000%, 11/15/2018 (A)		4,080		4,192
TRAC Intermodal LLC
11.000%, 08/15/2019		1,910		2,182
TransDigm
7.500%, 07/15/2021		640		706
6.500%, 07/15/2024 (A)		3,820		3,877
6.000%, 07/15/2022 (A)		3,055		3,078
5.500%, 10/15/2020		2,100		2,110
Trinseo Materials Operating SCA
8.750%, 02/01/2019		4,390		4,681


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Triumph Group
5.250%, 06/01/2022 (A)	$	1,765	$	1,778
4.875%, 04/01/2021		865		861
UAL 1995, Pass-Through Trust A
9.020%, 04/19/2012 (B) (F)		400		104
United Airlines, Pass-Through Trust, Ser 2013-1, Cl B
5.375%, 08/15/2021		550		577
United Rentals North America
5.750%, 11/15/2024		3,080		3,188
Vander Intermediate Holding II
9.750%, 02/01/2019 (A)		545		578
Watco LLC
6.375%, 04/01/2023 (A)		1,180		1,204
Wise Metals Group LLC
8.750%, 12/15/2018 (A)		660		703
Wise Metals Intermediate Holdings LLC
9.750%, 06/15/2019 (A)		425		423

				154,308


Information Technology — 5.9%
ACI Worldwide
6.375%, 08/15/2020 (A)		580		612
Activision Blizzard
5.625%, 09/15/2021 (A)		5,500		5,926
Advanced Micro Devices
7.500%, 08/15/2022		4,420		4,652
6.750%, 03/01/2019 (A)		995		1,050
Amkor Technology
6.625%, 06/01/2021		465		498
6.375%, 10/01/2022		2,705		2,867
Aspect Software
10.625%, 05/15/2017		4,355		4,578
Audatex North America (A)
6.125%, 11/01/2023		3,795		4,065
6.000%, 06/15/2021		4,425		4,713
BCP Singapore VI Cayman Financing
8.000%, 04/15/2021 (A)		365		371
Blackboard
7.750%, 11/15/2019 (A)		720		756
BMC Software Finance
8.125%, 07/15/2021 (A)		4,145		4,363
Boxer Parent
9.000%, 10/15/2019 (A)		2,005		1,985
CDW LLC
8.500%, 04/01/2019		1,955		2,129
8.000%, 12/15/2018		1,916		2,050
Eagle Midco
9.000%, 06/15/2018 (A)		3,205		3,345
EarthLink Holdings
7.375%, 06/01/2020		1,950		2,040


172		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Entegris
6.000%, 04/01/2022 (A)	$	2,355	$	2,367
Epicor Software
8.625%, 05/01/2019		2,860		3,107
Equinix
4.875%, 04/01/2020		2,785		2,862
First Data
12.625%, 01/15/2021		1,807		2,173
11.750%, 08/15/2021		10,500		11,655
11.250%, 01/15/2021		4,025		4,629
8.875%, 08/15/2020 (A)		1,200		1,332
8.250%, 01/15/2021 (A)		1,470		1,595
7.375%, 06/15/2019 (A)		770		826
6.750%, 11/01/2020 (A)		2,390		2,566
First Data PIK
8.750%, 01/15/2022 (A)		7,687		8,417
First Data Holdings PIK
14.500%, 09/24/2019 (A)		865		869
Freescale Semiconductor
10.750%, 08/01/2020		140		159
iGATE
4.750%, 04/15/2019 (A)		1,000		1,014
IMS Health
6.000%, 11/01/2020 (A)		890		939
Infor Software Parent LLC
7.125%, 05/01/2021 (A)		2,775		2,830
Infor US
11.500%, 07/15/2018		635		730
9.375%, 04/01/2019		3,695		4,134
j2 Global
8.000%, 08/01/2020		2,115		2,295
Magnachip Semiconductor
6.625%, 07/15/2021		930		914
Micron Technology
5.875%, 02/15/2022 (A)		1,740		1,857
MModal
10.750%, 08/15/2020 (A) (B)		1,830		165
NCR
6.375%, 12/15/2023 (A)		2,330		2,511
5.875%, 12/15/2021 (A)		405		427
5.000%, 07/15/2022		1,900		1,914
NeuStar
4.500%, 01/15/2023		1,935		1,741
Nuance Communications
5.375%, 08/15/2020 (A)		1,600		1,628
NXP (A)
5.750%, 02/15/2021		3,000		3,206
5.750%, 03/15/2023		455		486
3.750%, 06/01/2018		175		176
Sensata Technologies
6.500%, 05/15/2019 (A)		3,998		4,277
SSI Investments II
11.125%, 06/01/2018		710		749


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Sungard Availability Services Capital
8.750%, 04/01/2022 (A)	$	2,110	$	1,968
SunGard Data Systems
7.625%, 11/15/2020		295		323
7.375%, 11/15/2018		447		473
6.625%, 11/01/2019		820		867
VeriSign
4.625%, 05/01/2023		1,000		978
Viasystems
7.875%, 05/01/2019 (A)		775		820
WEX
4.750%, 02/01/2023 (A)		1,475		1,429

				127,408


Materials — 4.4%
AK Steel
7.625%, 05/15/2020		1,565		1,577
ArcelorMittal
6.125%, 06/01/2018		2,150		2,357
6.000%, 03/01/2021		420		451
Ashland
4.750%, 08/15/2022		2,545		2,539
Ball
5.000%, 03/15/2022		1,550		1,600
Celanese US Holdings LLC
4.625%, 11/15/2022		4,285		4,312
Constellium
5.750%, 05/15/2024 (A)		250		258
Cornerstone Chemical
9.375%, 03/15/2018 (A)		4,350		4,622
Eagle Spinco
4.625%, 02/15/2021 (A)		780		780
Eldorado
6.125%, 12/15/2020 (A)		1,350		1,350
Essar Steel Minnesota LLC
11.500%, 05/15/2020 (A)		420		432
First Quantum Minerals (A)
7.250%, 05/15/2022		605		622
7.000%, 02/15/2021		819		835
6.750%, 02/15/2020		819		835
Flash Dutch
7.375%, 05/01/2021 (A)		1,165		1,276
FMG Resources (A)
8.250%, 11/01/2019		1,700		1,849
6.875%, 02/01/2018		1,710		1,791
6.875%, 04/01/2022		1,434		1,513
Graphic Packaging International
4.750%, 04/15/2021		1,346		1,351
Hecla Mining
6.875%, 05/01/2021		2,155		2,123


SEI Institutional Investments Trust / Annual Report / May 31, 2014			173

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Hexion US Finance
9.000%, 11/15/2020	$	560	$	560
8.875%, 02/01/2018		1,040		1,084
6.625%, 04/15/2020		1,780		1,873
Huntsman International LLC
8.625%, 03/15/2020		535		583
8.625%, 03/15/2021		670		747
4.875%, 11/15/2020		535		551
IAMGOLD
6.750%, 10/01/2020 (A)		4,335		3,858
Ineos Finance (A)
8.375%, 02/15/2019		1,320		1,449
7.500%, 05/01/2020		1,435		1,568
Ineos Group Holdings (A)
6.125%, 08/15/2018		1,495		1,547
5.875%, 02/15/2019		4,715		4,803
JMC Steel Group
8.250%, 03/15/2018 (A)		1,120		1,148
Kaiser Aluminum
8.250%, 06/01/2020		1,665		1,881
KGHM International
7.750%, 06/15/2019 (A)		1,900		2,038
Kissner Milling
7.250%, 06/01/2019 (A)		1,190		1,220
LSB Industries
7.750%, 08/01/2019 (A)		2,055		2,194
Mirabela Nickel
8.750%, 04/15/2018 (A) (B)		1,780		418
3.500%, 06/30/2014 (A)		361		361
Momentive PIK
1.617%, 06/04/2017 (E) (F)		3,171		79
New (A)
7.000%, 04/15/2020		800		846
6.250%, 11/15/2022		2,580		2,664
Nexeo Solutions LLC
8.375%, 03/01/2018		874		883
Noranda Aluminum Acquisition
11.000%, 06/01/2019		385		366
Novelis
8.750%, 12/15/2020		665		739
8.375%, 12/15/2017		2,000		2,135
Perstorp Holding
8.750%, 05/15/2017 (A)		2,515		2,704
PolyOne
7.375%, 09/15/2020		625		682
Rain CII Carbon LLC (A)
8.250%, 01/15/2021		200		207
8.000%, 12/01/2018		315		330
Reichhold Industries PIK
9.000%, 05/08/2017 (A)		1,793		1,192
Rentech Nitrogen Partners
6.500%, 04/15/2021 (A)		495		495
Rockwood Specialties Group
4.625%, 10/15/2020		425		436


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Ryerson
11.250%, 10/15/2018	$	405	$	454
9.000%, 10/15/2017		955		1,025
Sappi Papier Holding GmbH (A)
7.750%, 07/15/2017		400		446
6.625%, 04/15/2021		520		546
Scotts Miracle-Gro
6.625%, 12/15/2020		400		432
Sealed Air (A)
8.375%, 09/15/2021		2,235		2,559
6.500%, 12/01/2020		370		413
Signode Industrial Group Lux
6.375%, 05/01/2022 (A)		4,290		4,333
Smurfit Kappa Acquisitions
4.875%, 09/15/2018 (A)		1,400		1,480
St. Barbara
8.875%, 04/15/2018 (A)		875		720
TPC Group
8.750%, 12/15/2020 (A)		4,750		5,237
Walter Energy
11.000%, 04/01/2020 (A)		1,050		814
9.875%, 12/15/2020		4,200		2,489
8.500%, 04/15/2021		2,060		1,112

				96,174


Telecommunication Services — 9.3%
Affinion Group
7.875%, 12/15/2018		1,910		1,748
Alcatel-Lucent USA (A)
8.875%, 01/01/2020		2,365		2,661
6.750%, 11/15/2020		1,685		1,790
Altice MTN
7.750%, 05/15/2022 (A)		4,790		5,035
Altice Financing
6.500%, 01/15/2022 (A)		930		981
Avaya (A)
10.500%, 03/01/2021		1,631		1,476
9.000%, 04/01/2019		1,560		1,607
7.000%, 04/01/2019		1,170		1,158
Baker & Taylor Acquisitions
15.000%, 04/01/2017 (A)		889		711
CBS Outdoor Americas Capital LLC
5.250%, 02/15/2022 (A)		1,505		1,543
CenturyLink
6.750%, 12/01/2023		5,130		5,592
5.800%, 03/15/2022		2,420		2,517
5.625%, 04/01/2020		2,655		2,808
Cequel Communications Holdings I LLC
6.375%, 09/15/2020 (A)		4,685		4,966
Cincinnati Bell
8.750%, 03/15/2018		3,425		3,592


174		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Cogent Communications Finance
5.625%, 04/15/2021 (A)	$	2,060	$	2,029
Cogent Communications Group
8.375%, 02/15/2018 (A)		605		649
Columbus International
7.375%, 03/30/2021 (A)		3,305		3,499
CommScope (A)
8.250%, 01/15/2019		930		1,010
5.500%, 06/15/2024		1,635		1,643
5.000%, 06/15/2021		85		85
CommScope Holding PIK
6.625%, 06/01/2020 (A)		1,940		2,071
DCP LLC
10.750%, 08/15/2015 (A)		3,000		3,030
Digicel Group (A)
8.250%, 09/01/2017		2,729		2,825
8.250%, 09/30/2020		4,306		4,640
7.125%, 04/01/2022		1,890		1,947
Expo Event Transco
9.000%, 06/15/2021 (A)		1,100		1,122
GCI
8.625%, 11/15/2019		790		841
6.750%, 06/01/2021		765		776
Gray Television
7.500%, 10/01/2020		1,460		1,566
Hughes Satellite Systems
7.625%, 06/15/2021		3,484		3,972
Intelsat Jackson Holdings
7.500%, 04/01/2021		790		865
7.250%, 10/15/2020		3,705		4,001
6.625%, 12/15/2022		975		1,015
Intelsat Luxembourg
8.125%, 06/01/2023		3,670		3,945
7.750%, 06/01/2021		5,080		5,385
inVentiv Health
9.000%, 01/15/2018 (A)		840		899
Level 3 Communications
8.875%, 06/01/2019		700		767
Level 3 Financing
8.625%, 07/15/2020		845		949
8.125%, 07/01/2019		555		606
7.000%, 06/01/2020		970		1,062
6.125%, 01/15/2021 (A)		1,800		1,903
Lynx I
5.375%, 04/15/2021 (A)		3,585		3,688
Lynx II
6.375%, 04/15/2023 (A)		1,440		1,519
McGraw-Hill Global Education Holdings LLC
10.000%, 04/01/2021 (A)		425		486
Mediacom Broadband LLC
5.500%, 04/15/2021 (A)		930		942


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
MetroPCS Wireless
7.875%, 09/01/2018	$	65	$	68
Midcontinent Communications & Midcontinent Finance
6.250%, 08/01/2021 (A)		440		455
Nara Cable Funding
8.875%, 12/01/2018 (A)		846		903
NII International Telecom SCA
7.875%, 08/15/2019 (A)		1,320		1,109
Numericable Group (A)
6.250%, 05/15/2024		1,080		1,130
6.000%, 05/15/2022		3,195		3,315
PAETEC Holding
9.875%, 12/01/2018		1,135		1,234
Quebecor Media
5.750%, 01/15/2023		1,145		1,165
Qwest Capital Funding
7.750%, 02/15/2031		415		430
RCN Telecom Services LLC
8.500%, 08/15/2020 (A)		820		875
Sable International Finance
8.750%, 02/01/2020 (A)		80		90
SBA Telecommunications
8.250%, 08/15/2019		441		464
5.750%, 07/15/2020		145		153
Sitel LLC
11.000%, 08/01/2017 (A)		2,900		3,092
SoftBank
4.500%, 04/15/2020 (A)		4,556		4,613
Sprint (A)
7.875%, 09/15/2023		15,655		17,690
7.250%, 09/15/2021		1,875		2,077
7.125%, 06/15/2024		4,180		4,504
Sprint Capital
8.750%, 03/15/2032		4,370		5,058
6.900%, 05/01/2019		3,625		4,006
6.875%, 11/15/2028		1,130		1,158
Sprint Nextel
9.000%, 11/15/2018 (A)		1,080		1,312
Telecom Italia
5.303%, 05/30/2024 (A)		875		876
T-Mobile USA
6.731%, 04/28/2022		2,300		2,484
6.633%, 04/28/2021		645		695
6.625%, 04/01/2023		1,475		1,593
6.542%, 04/28/2020		665		718
6.500%, 01/15/2024		2,435		2,587
6.250%, 04/01/2021		785		834
6.125%, 01/15/2022		1,430		1,516
tw telecom holdings
6.375%, 09/01/2023		170		182
5.375%, 10/01/2022		1,635		1,670
5.375%, 10/01/2022		620		632


SEI Institutional Investments Trust / Annual Report / May 31, 2014			175

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Unitymedia Hessen GmbH & KG (A)
7.500%, 03/15/2019	$	2,000	$	2,145
5.500%, 01/15/2023		4,360		4,469
Univision Communications
5.125%, 05/15/2023 (A)		1,800		1,850
UPCB Finance III
6.625%, 07/01/2020 (A)		1,535		1,631
UPCB Finance V
7.250%, 11/15/2021 (A)		2,235		2,464
UPCB Finance VI
6.875%, 01/15/2022 (A)		2,159		2,353
Videotron
5.000%, 07/15/2022		2,450		2,508
Wind Acquisition Finance (A)
7.375%, 04/23/2021		2,665		2,758
7.250%, 02/15/2018		2,925		3,086
7.250%, 02/15/2018		355		375
6.500%, 04/30/2020		1,302		1,393
Windstream
7.750%, 10/01/2021		2,110		2,289
7.500%, 06/01/2022		860		925
7.500%, 04/01/2023		1,215		1,291
6.375%, 08/01/2023		630		625
Zayo Group LLC
10.125%, 07/01/2020		1,385		1,600
8.125%, 01/01/2020		2,825		3,086

				201,458


Utilities — 1.1%
AES
8.000%, 06/01/2020		325		389
7.375%, 07/01/2021		630		725
5.500%, 03/15/2024		500		513
4.875%, 05/15/2023		1,535		1,504
3.227%, 06/01/2019 (C)		395		399
AES Gener
8.375%, 12/18/2073 (A) (C)		905		986
Calpine (A)
7.875%, 07/31/2020		144		157
7.500%, 02/15/2021		1,829		1,989
6.000%, 01/15/2022		1,053		1,129
5.875%, 01/15/2024		770		805
Elwood Energy LLC
8.159%, 07/05/2026		690		776
Enel
8.750%, 09/24/2073 (A) (C)		1,219		1,423
GenOn Americas Generation LLC
8.500%, 10/01/2021		490		506
LBC Tank Terminals Holding Netherlands
6.875%, 05/15/2023 (A)		2,800		2,968


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
NRG Energy
8.250%, 09/01/2020	$	340	$	376
7.875%, 05/15/2021		3,350		3,727
6.250%, 07/15/2022 (A)		605		641
6.250%, 05/01/2024 (A)		1,390		1,439
NSG Holdings LLC
7.750%, 12/15/2025 (A)		2,100		2,273
Sabine Pass LNG
7.500%, 11/30/2016 (A)		1,880		2,016

				24,741

Total Corporate Obligations (Cost $1,545,972) ($ Thousands)				1,605,600


LOAN PARTICIPATIONS — 11.7%
1-800 Contacts, Term Loan, 1st Lien
4.250%, 01/29/2021		600		599
Academy Sports, Initial Term Loan
4.500%, 08/03/2018		604		606
Accellent, Cov-Lite, 2nd Lien
7.500%, 03/11/2022		510		507
Accellent, Initial Term Loan, 1st Lien
5.000%, 03/20/2020		805		804
Accellent, Term Loan, 1st Lien
4.500%, 03/12/2021		1,380		1,369
Advantage Sales and Marketing, Term Loan
8.250%, 06/17/2018		704		706
Affinion Group Holdings, Term Loan
6.750%, 10/09/2016		1,995		1,999
Air Medical Group Holdings, 1st Lien
7.625%, 05/31/2018		3,010		3,010
Akorn, Term Loan B, 1st Lien
4.500%, 04/16/2021		1,380		1,382
Albertson’s, Term Loan
4.750%, 03/21/2019		1,434		1,440
Alcatel-Lucent USA, Term Loan
4.500%, 01/30/2019		785		786
Alinta Ltd., Unfunded Term Loan
0.500%, 08/13/2018 (H)		167		2
Alinta, Cov-Lite, 1st Lien
6.375%, 08/13/2019		2,541		2,576
Alliance Laundry Systems LLC, Term Loan B
4.500%, 12/10/2018		4		4
4.250%, 12/10/2018		365		365


176		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
AlliedBarton Security Services, LLC, Delayed Term Loan
0.000%, 02/12/2021 (H)	$	380	$	(2	)
AlliedBarton Security Services, LLC, Term Loan, 1st Lien
4.250%, 02/12/2021		1,070		1,065
American Rock Salt, Term Loan
8.500%, 03/20/2020		2,000		1,998
American Tire Distributors, Term Loan, 1st Lien
5.750%, 06/01/2018		405		406
ANVS Merger, Term Loan, 1st Lien
9.250%, 08/18/2021		1,300		1,300
5.500%, 02/18/2021		599		600
Applied Systems, Term Loan, 2nd Lien
7.500%, 01/24/2022		1,475		1,499
Arctic Glacier, 1st Lien
5.000%, 05/10/2019		1		1
Arctic Glacier, Cov-Lite, 1st Lien
5.000%, 05/10/2019		468		466
Aricent, Term Loan, 2nd Lien
9.500%, 04/14/2022		2,100		2,097
Associated Partners, 1st Lien
6.652%, 12/21/2015		2,000		2,005
Associated Partners, Ltd., Delayed Draw Term Loan
6.652%, 12/21/2015		2,000		2,005
Astoria Generating, Cov-Lite, Term Loan
8.500%, 10/26/2017		23		23
Astoria Generating, Term Loan
8.500%, 10/26/2017		5,407		5,559
Asurion, LLC, Term Loan
5.000%, 05/24/2019		1,471		1,476
Asurion, LLC, Term Loan, 2nd Lien
8.500%, 03/03/2021		1,540		1,580
Atkore, Cov-Lite, 2nd Lien
7.750%, 10/09/2021		800		802
Avaya, Term Loan
6.500%, 03/31/2018 (G)		495		491
Avaya, Term Loan B-3
4.727%, 10/26/2017 (G)		495		479
Azure Midstream, Term Loan B, 1st Lien
6.500%, 11/15/2018		691		696
BJ’s Wholesale Club
4.500%, 09/26/2019		703		703
BJ’s Wholesale Club, 2nd Lien
8.500%, 03/26/2020		957		984


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Blue Coat Systems, Term Loan
4.000%, 02/15/2018	$	3,940	$	3,933
Bowie Resources, 1st Lien
6.750%, 08/16/2020		2,199		2,215
Caesars Growth Properties Holdings, LLC, 1st Lien
6.250%, 05/08/2021		810		805
Carestream Health, Cov-Lite, 1st Lien
5.000%, 06/05/2019		2,146		2,148
Carestream Health, Cov-Lite, 2nd Lien
9.500%, 12/05/2019		2,150		2,187
Carestream Health, Term Loan, 1st Lien
5.000%, 06/07/2019		1		1
Cengage Learning Acquisitions, Term Loan, 1st Lien
7.000%, 03/31/2020		2,107		2,134
Ceridian, Term Loan
4.401%, 08/14/2015		2,343		2,345
Ceva Group, PLC, 1st Lien
6.500%, 03/19/2021		499		488
Ceva Intercompany, Term Loan, 1st Lien
6.500%, 03/19/2021		214		210
Ceva Logistics Canada, Term Loan, 1st Lien
6.500%, 03/19/2021		37		36
Chief Exploration
0.000%, 05/16/2021 (G)		1,100		1,111
CityCenter Holdings, LLC, Cov-Lite, Term Loan B, 1st Lien
5.000%, 10/16/2020		4,119		4,145
CKX, Term Loan B
9.000%, 06/21/2017		476		422
Clear Channel Communications, Extended 1st Lien
6.905%, 01/22/2019		7,648		7,554
Community Health Services, Term Loan D, 1st Lien
4.250%, 01/27/2021		798		802
Crestwood Holdings, 1st Lien
7.000%, 06/19/2019		1,455		1,478
CSM Bakery Supplies, Cov-Lite, 1st Lien
4.750%, 07/03/2020		1,459		1,465
CTI Foods, 2nd Lien
8.250%, 06/28/2021		950		957


SEI Institutional Investments Trust / Annual Report / May 31, 2014			177

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
DAE Aviation Holdings, 1st Lien
5.000%, 11/02/2018	$	2,548	$	2,573
DAE Aviation Holdings, Term Loan, 1st Lien
7.750%, 08/05/2019		1,000		1,015
Dell, Term Loan B, 1st Lien
4.500%, 04/29/2020		2,301		2,296
Dex Media West, Term Loan
8.000%, 12/30/2016		1,877		1,695
Diamond Foods, 1st Lien
4.250%, 08/20/2018		2,030		2,027
Doncasters PLC, 2nd Lien
9.500%, 10/09/2020		193		195
EIG Investors, 1st Lien
5.000%, 11/09/2019		1,691		1,697
Empire Generating, Term Loan
5.250%, 03/12/2021		1,865		1,871
Entegris, Term Loan B, 1st Lien
3.500%, 04/30/2021		1,800		1,788
Essential Power, Term Loan
4.750%, 08/08/2019		2,844		2,859
Evergreen Skills
4.500%, 04/28/2021		422		422
Evergreen Skills, Term Loan, 1st Lien
4.500%, 04/28/2021		983		983
Expert Global, Term Loan
8.500%, 04/02/2018		2,719		2,614
Fender Musical Instruments, 1st Lien
5.750%, 04/03/2019		223		223
First Advantage, 2nd Lien
10.500%, 08/28/2019		700		693
First Advantage, Cov-Lite, Term Loan
6.250%, 02/13/2019		494		493
First Advantage, Term Loan B
6.250%, 02/28/2019		1		1
Flint Group Consented, Term Loan D, 2nd Lien
0.000%, 06/30/2016 (G)		1,620		1,621
Foresight Energy, Cov-Lite, 1st Lien
5.500%, 08/21/2020		1,393		1,403
Freescale Semiconductor
4.250%, 02/13/2020		2,490		2,492
Gardner Denver, 1st Lien
4.250%, 07/30/2020		796		795
GCA Services Group, Cov-Lite, 2nd Lien
9.250%, 11/01/2020		640		643
Gentiva Health Services, Term Loan B, 1st Lien
6.500%, 10/18/2019		1,252		1,251


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Global Aviation Holdings, Term Loan (B)
10.000%, 07/13/2017	$	1,937	$	—
3.000%, 02/13/2018		633		—
GoGo, Term Loan
11.250%, 06/21/2017		1,117		1,173
Graton Economic Development Authority, Term Loan
9.000%, 08/22/2018		3,113		3,230
Gray Television, Term Loan B
4.500%, 10/11/2019		1,581		1,581
Greenway Medical Technologies, Term Loan, 1st Lien
6.000%, 11/04/2020		3		3
6.000%, 11/04/2020		995		990
Grifols Worldwide Operations, Term Loan B, 2nd Lien
3.150%, 02/27/2021		1,480		1,473
Gymboree, Cov-Lite, 1st Lien
5.000%, 02/23/2018		375		304
Harrah’s Entertainment, Term Loan B6
5.400%, 01/28/2018		936		872
Hearthside Food Solutions, LLC, Delayed Term Loan, 1st Lien
0.000%, 06/02/2021 (G)		700		702
Herff Jones Company of Indiana, 1st Lien
5.500%, 06/25/2019		1,213		1,220
Hilton Hotels, Cov-Lite, Term Loan B, 1st Lien
3.500%, 10/26/2020		274		273
Hilton Worldwide Finance, Term Loan
3.500%, 10/26/2020		650		647
Hilton Worldwide, Term Loan B, 1st Lien
3.500%, 10/26/2020		51		51
Hostess Brands, Term Loan
6.750%, 03/12/2020		1,426		1,480
6.750%, 04/09/2020		124		129
HUB International, Ltd., Term Loan B, 1st Lien
4.250%, 10/02/2020		1,990		1,988
Hyland Software, Term Loan B, 1st Lien
4.750%, 02/19/2021		840		843
Ikaria, 2nd Lien
8.750%, 02/14/2022		390		395
IMG Worldwide, Cov-Lite, 1st Lien
5.250%, 05/06/2021		50		50


178		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
IMG Worldwide, Term Loan, 1st Lien
5.250%, 05/06/2021	$	550	$	552
Infor, Term Loan B, 1st Lien
3.750%, 06/03/2020		1,347		1,336
Integra Telecom, 2nd Lien
9.750%, 02/19/2020		760		774
Integra Telecom, Term Loan B
5.250%, 02/22/2019		740		742
5.250%, 02/22/2019		755		757
Interactive Data, Cov-Lite, Term Loan, 1st Lien
4.750%, 05/02/2021		1,055		1,062
Interline Brands, Term Loan
4.000%, 03/17/2021		565		561
Intrawest ULC, 1st Lien
5.500%, 12/09/2020		2,095		2,129
ION Trading Technologies, Cov-Lite, 2nd Lien
8.250%, 05/22/2021		2,330		2,342
J. Crew Group, Term Loan B,1st Lien
4.000%, 03/05/2021		5,458		5,423
JCPenney, Cov-Lite, 1st Lien
6.000%, 05/22/2018		1,092		1,100
KCA Deutag Drilling, Ltd., Term Loan B, 1st Lien
6.250%, 05/13/2020		1,020		1,017
Kindred Healthcare, Term Loan
4.000%, 04/09/2021		3,295		3,274
Knowledge Universe Education, LLC, Term Loan, 1st Lien
5.250%, 03/18/2021		1,150		1,159
Landesk Software, 1st Lien
5.000%, 02/25/2020		896		896
Light Tower Fiber, LLC, Term Loan
8.000%, 04/12/2021		231		233
Lions Gate Entertainment, 2nd Lien
5.000%, 07/19/2020		2,450		2,484
Magic Newco, LLC, Term Loan, 1st Lien
5.000%, 12/12/2018		992		999
Marina District Finance Company, 1st Lien
6.750%, 08/15/2018		1,526		1,547
Mashantucket Pequot Tribe, Term Loan, 1st Lien
9.375%, 06/30/2020		3,921		3,707
Medical Card, Term Loan
12.000%, 09/17/2015		1,746		1,667
3.000%, 09/17/2015		56		54


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Medquist, Term Loan B
9.000%, 08/16/2019 (B)	$	4,930	$	3,910
Men’s Wearhouse, Bridge Loan
0.000%, 03/11/2015 (G)		1,725		1,725
Metroflag, 2nd Lien, 2nd Lien
14.000%, 01/06/2009 (B)		325		—
Millennium Laboratories, LLC, Term Loan B, 1st Lien
5.250%, 04/16/2021		1,990		2,001
Misys, 1st Lien
5.000%, 12/12/2018		3		3
Misys, 2nd Lien
12.000%, 06/12/2019		1,550		1,767
Mohegan Tribal Gaming Authority, Term Loan B, 1st Lien
5.500%, 11/19/2019		1,436		1,460
Moxie Liberty, 1st Lien
7.500%, 08/21/2020		785		803
Moxie Patriot, LLC, Term Loan B-1, 1st Lien
6.750%, 12/19/2020		775		791
Nana Development, 1st Lien
8.000%, 03/13/2018		400		394
Navistar International, Term Loan
5.750%, 08/17/2017		1,730		1,758
Nelson Education, Term Loan B-1
2.734%, 07/03/2014		1,369		1,118
NexTech Systems, 1st Lien
6.000%, 10/28/2018		1,185		1,161
Nuveen Investments, Term Loan B
6.500%, 02/28/2019		1,865		1,881
Obsidian Natural Gas Trust, Term Loan
7.000%, 11/02/2015		770		778
Ocean RIC ASA, Cov-Lite, Term Loan B1, 1st Lien
6.000%, 03/31/2021		2,544		2,549
Offshore Group Investment, Term Loan
5.000%, 10/25/2017 (G)		800		795
One Call Medical, Term Loan, 1st Lien
5.000%, 11/27/2020		798		799
Ortho-Clinical Diagnostics, Bridge Loan
0.000%, 03/25/2058 (G)		2,365		2,365
Ortho-Clinical Diagnostics, Term Loan B, 1st Lien
0.000%, 06/30/2021 (G)		690		693


SEI Institutional Investments Trust / Annual Report / May 31, 2014			179

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Otter Products, Term Loan B, 1st Lien
5.250%, 04/29/2019	$	2,963	$	2,961
Pacific Drilling, 1st Lien
4.500%, 06/03/2018		2,233		2,232
Panda Temple Power, 1st Lien
7.250%, 04/03/2019		1,220		1,244
Panolam Industries International, Term Loan
7.250%, 08/23/2017		796		792
Performance Food Group, Cov-Lite, 2nd Lien
6.250%, 11/14/2019		496		501
Pierre Food (Advance Pierre), Term Loan, 2nd Lien
9.500%, 10/10/2017		3,378		3,247
Polymer Group, Bridge Loan
0.000%, 04/08/2015 (G)		1,205		1,205
Polymer Group, Term Loan B, 1st Lien
5.250%, 12/19/2019		1,232		1,238
Post Holdings, Term Loan B, 1st Lien
0.000%, 06/02/2021 (G)		345		348
Presidio, Term Loan B, 1st Lien
5.000%, 03/31/2017		2,057		2,066
Raven Power Finance, LLC, Term Loan B, 1st Lien
5.250%, 12/19/2020		900		914
Rexam, PLC, Term Loan, 1st Lien
4.250%, 05/03/2021		210		211
Rexam, PLC, Term Loan, 2nd Lien
8.000%, 05/02/2022		75		75
Rite Aid, 2nd Lien
5.750%, 08/21/2020		785		801
4.880%, 06/11/2021		1,250		1,263
Road Infrastructure Investment, LLC, Term Loan, 2nd Lien
7.750%, 09/30/2021		300		298
Sabre Holdings, Term Loan
4.250%, 02/15/2019		3,364		3,364
Salix Pharmaceuticals, Ltd., Term Loan, 1st Lien
4.250%, 01/02/2020		641		644
Samson Investment, Term Loan
5.000%, 09/25/2018		1,580		1,576
Seadrill Partners, LLC, Term Loan B, 1st Lien
4.000%, 02/21/2021		2,517		2,505
Sirva Worldwide, Term Loan
7.500%, 03/22/2019		397		404


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
7.500%, 03/27/2019	$	850	$	865
7.500%, 03/27/2019		436		444
Skillsoft, Cov-Lite, Term Loan, 2nd Lien
7.750%, 04/28/2022		4,282		4,244
Steinway Musical Instruments, Term Loan, 1st Lien
4.750%, 09/19/2019		989		984
Sumtotal Systems, Cov-Lite, Term Loan
6.250%, 11/16/2018		430		418
Sumtotal Systems, Term Loan
7.250%, 11/13/2019		6		6
6.250%, 11/16/2018		6		6
6.250%, 11/16/2018		2		2
SUPERVALU, Cov-Lite, 1st Lien
4.500%, 03/21/2019		3,301		3,298
Talbots, Term Loan, 1st Lien
4.750%, 03/19/2020		1,165		1,156
Targus Group, Term Loan B
12.000%, 05/24/2016		1		1
Templar Energy, Cov-Lite, 2nd Lien
8.000%, 11/25/2020 (G)		2,700		2,673
Texas Competitive, Extended Term Loan
4.737%, 10/10/2017		2,713		2,170
Texas Competitive, Non-extended Term Loan
4.650%, 10/10/2014		9,878		7,874
The Active Network, Term Loan, 1st Lien
5.500%, 11/13/2020		349		347
The Neiman Marcus Group, Term Loan, 1st Lien
4.250%, 10/25/2020		2,782		2,773
Toys R Us, Term Loan
6.000%, 08/21/2019		1,269		1,215
Trans Union, LLC, Term Loan, 1st Lien
4.000%, 04/09/2021		500		498
Travelport, 2nd Lien
9.500%, 01/31/2016		1,838		1,889
Travelport, LLC, Term Loan
6.250%, 06/26/2019		3		3
Travelport, Term Loan
6.250%, 06/21/2019		1,187		1,213
True Religion Apparel, Term Loan
5.875%, 07/30/2019		775		729
True Religion Apparel, Term Loan, 1st Lien
5.875%, 07/30/2019		767		722


180		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
TSAM, LLC, 1st Lien
8.750%, 09/12/2019	$	878	$	869
Univision, Term Loan
4.000%, 03/01/2020		525		523
US Shipping, 1st Lien
9.000%, 04/30/2018		993		1,012
Vantage Drilling, Term Loan
5.750%, 03/22/2019		997		991
Vat Holdings, Term Loan, 1st Lien
4.750%, 02/11/2021		1,150		1,154
Vertafore, Term Loan
9.750%, 10/27/2017		780		796
Visteon, Term Loan B, 1st Lien
0.000%, 04/09/2021 (G)		1,405		1,391
Weyerhaeuser Real Estate, Unfunded Bridge Loan
0.000%, 11/03/2014 (G)		2,275		—
Ziggo, Term Loan B1, 1st Lien
3.250%, 01/15/2022 (G)		16		16

Total Loan Participations (Cost $256,229) ($ Thousands)				254,615


COLLATERALIZED DEBT OBLIGATIONS — 8.8%

Other Asset-Backed Securities — 8.8%
B&M CLO, Ser 2014-1A, Cl D
4.948%, 04/16/2026 (A) (C)		3,529		3,157
B&M CLO, Ser 2014-1A, Cl E
5.948%, 04/16/2026 (A) (C)		2,520		2,148
B&M CLO, Ser 2014-1A, Cl C
3.948%, 04/16/2026 (A) (C)		2,142		2,054
Battalion CLO III, Ser 2012-3A
0.000%, 01/18/2025 (A)		2,697		2,421
Battalion CLO V, Ser 2014-5A
0.000%, 04/17/2026 (A)		3,445		3,051
Battalion CLO, Ser 2013-4A
0.000%‡‡‡		1,560		1,404
Benefit Street Partners CLO
0.000%‡‡‡		2,462		2,240
Benefit Street Partners CLO III
0.000%‡‡‡		2,636		2,557
Claris III
0.525%, 08/04/2021		8,252		7,716
Figueroa CLO, Ser 2013-1
0.000%, 03/21/2024		7,644		6,764
Figueroa CLO, Ser 2013-2
0.000%‡‡‡		3,070		3,070
Fortress Credit Opportunities III CLO, Ser 2014-3A, Cl E
6.478%, 04/28/2026 (A) (C)		3,518		3,341


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Great Lakes CLO, Ser 2012-1A, Cl E
5.727%, 01/15/2023 (A) (C)	$	3,292	$	3,119
Great Lakes CLO, Ser 2012-1A
0.000%, 01/15/2023 (A)		2,877		2,618
Great Lakes CLO, Ser 2014-1A
0.000%‡‡‡		7,057		6,521
Great Lakes CLO, Ser 2014-1A, Cl F
6.217%, 04/15/2025 (A) (C)		2,520		2,259
Hildene CLO, Ser 2014-2A, Cl C
3.176%, 07/19/2026 (A) (C)		2,013		1,957
Hildene CLO, Ser 2014-2A, Cl E
5.376%, 07/19/2026 (A) (C)		2,013		1,843
Hildene CLO, Ser 2014-2A, Cl D
3.976%, 07/19/2026 (A) (C)		2,013		1,912
JFIN Revolver CLO, Ser 2013-1A, Cl B
2.247%, 01/20/2021 (A) (C)		2,010		2,000
KKR CLO Trust, Ser 2012-1A, Cl C
4.733%, 12/15/2024 (A) (C)		3,366		3,379
KVK CLO, Ser 2012-2A
0.000%, 02/10/2025 (A)		2,956		2,601
Neuberger Berman CLO VXI
0.000%‡‡‡		2,625		2,330
Neuberger Berman CLO XIII, Ser 2012-13A
0.000%, 01/23/2024 (A)		542		314
Neuberger Berman CLO XIV, Ser 2013-14A
0.000%, 04/28/2025 (A)		3,194		2,747
Neuberger Berman CLO XVI
0.000%‡‡‡		175		149
Newstar Trust, Ser 2007-1A, Cl A1
0.468%, 09/30/2022 (A) (C)		5,903		5,742
NXT Capital CLO LLC, Ser 2012-1A, Cl E
7.726%, 07/20/2022 (A) (C)		3,047		3,047
OCP CLO, Ser 2012-2A
0.000%, 11/22/2023 (A)		2,940		2,690
Rockwall CDO, Ser 2007-1A, Cl A1LA
0.475%, 08/01/2024 (A) (C)		80,207		74,593
Rockwall CLO, Ser 2006-1A, Cl A1LB
0.725%, 08/01/2021 (A) (C)		21,352		20,071
Trinitas CLO, Ser 2014-1A
0.000%, 04/15/2026 (A)		3,530		3,451
Venture X CLO, Ser 2013-12A
0.000%, 02/28/2024 (A)		3,067		2,638


SEI Institutional Investments Trust / Annual Report / May 31, 2014			181

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)/ Shares		Market Value ($ Thousands)
Venture XIV CLO
0.000%‡‡‡ (A)	$	3,040	$	2,991
Venture XVI CLO
0.000%‡‡‡		2,167		2,069

Total Collateralized Debt Obligations (Cost $173,045) ($ Thousands)				190,964


PREFERRED STOCK — 1.6%
Ally Financial, 7.000% (A)		15,015		15,143
Aspen Insurance Holdings, 5.950% (C)		92,000		2,333
Ceva Holdings, 0.000% (F)		1,214		1,426
Chesapeake Energy, 5.750%* (A)		788		949
Citigroup, 6.880% (C)		114,500		3,065
Dana Holdings, 4.000%* (A)		5,754		1,073
GMAC Capital Trust I, 8.130% (C)		28,000		759
Intelsat, 5.750%		6,500		341
Morgan Stanley, 6.630%		35,250		899
RBS Capital Funding Trust V, 5.900%		38,602		917
RBS Capital Funding Trust VII, 6.080%		45,842		1,104
Regions Financial, 6.380%		149,200		3,676
Royal Bank of Scotland Group, 6.600%		52,255		1,276
SandRidge Energy, 7.000%*		4,800		509
SLM, 1.930% (C)		4,713		337

Total Preferred Stock (Cost $28,573) ($ Thousands)				33,807


MUNICIPAL BONDS — 0.7%
California State, Tobacco Securitization, Ser A-1, RB Callable 06/01/17 @ 100
5.750%, 06/01/2047		2,200		1,840
California State, Tobacco Securitization, Ser A-2, RB Callable 06/01/22 @ 100
5.300%, 06/01/2037		655		537
Commonwealth of Puerto Rico, Ser A, GO Callable 07/01/20 @ 100
8.000%, 07/01/2035		4,700		4,185
New Jersey State, Tobacco Settlement, Ser 1A, RB Callable 06/01/17 @ 100
4.750%, 06/01/2034		3,965		3,098
Tobacco Settlement, Ser 1A, RB Callable 06/01/17 @ 100
5.000%, 06/01/2041		7,970		6,240

Total Municipal Bonds (Cost $14,200) ($ Thousands)				15,900


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

CONVERTIBLE BONDS — 0.2%
Equinix CV to 11.8599
4.750%, 06/15/2016	$	148	$	359
Liberty Media CV to 16.7764
4.000%, 11/15/2029		2,110		1,350
3.750%, 02/15/2030		4,203		2,653
Mirant CV to 14.7167
0.000%, 06/15/2021 (B)		1,950		—
Salix Pharmaceuticals CV to 15.1947
1.500%, 03/15/2019		350		643

Total Convertible Bonds (Cost $4,597) ($ Thousands)				5,005


COMMON STOCK — 0.2%
Aventine Renewable Energy Holdings*		1,334		22
Cengage Learning Holdings II* (F)		2,860		102
Ceva Holdings* (F)		561		659
Dana Holdings		70,421		1,559
Global Aviation Holdings, Cl A*		101,199		—
HMH Holdings Delaware* (F)		73,792		1,344
LyondellBasell Industries, Cl A		25		2
VSS AHC, Cl A* (D) (E) (F)		29,628		352

Total Common Stock (Cost $4,660) ($ Thousands)				4,040


ASSET-BACKED SECURITY — 0.1%

Other Asset-Backed Securities — 0.1%
Airplanes, Pass-Through Trust, Ser 2001-1A, Cl A9
0.701%, 03/15/2019 (C)		1,588		746

Total Asset-Backed Security (Cost $1,162) ($ Thousands)				746

	Number of Warrants

WARRANTS — 0.0%
B&G Foods, Expires 03/15/2017*		2,025		—
CUI Acquisition*‡‡ (E) (F)		46,960		563
Medical Card Systems*‡‡		20,372		—

Total Warrants (Cost $3,901) ($ Thousands)				563


CASH EQUIVALENT — 3.2%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		69,796,045		69,796

Total Cash Equivalent (Cost $69,796) ($ Thousands)				69,796

Total Investments — 100.3% (Cost $2,102,135) ($ Thousands)			$	2,181,036


182		SEI Institutional Investments Trust / Annual Report / May 31, 2014

A list of the OTC swap agreements held by the Fund at May 31, 2014, 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.22 Index

Buy

5.00

6/20/2019

17,741

(409

)

For the year ended May 31, 2014, the total amount of all open swap agreements, as presented in the table above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on a Net Assets of $2,175,102 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2014.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security (see Note 6).

‡‡

Expiration date is unavailable.

‡‡‡

Maturity date is unavailable.

(A)

(B)

Security in default on interest payments

(C)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of May 31, 2014.

(D)

Securities considered restricted. The total value of such securities as of May 31, 2014 was $353 ($ Thousands) and represented 0.02% of Net Assets.

(E)

Security considered illiquid. The total value of such security as of May 31, 2014 was $995 ($ Thousands) and represented 0.05% of Net Assets.

(F)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of May 31, 2014 was $4,630 ($ Thousands) and represented 0.21% of Net Assets.

(G)

Unsettled bank loan. Interest rate may not be available.

(H)

Unfunded bank loan.

CDO — Collateralized Debt Obligation

Cl — Class

CLO — Collateralized Loan Obligation

CV — Convertible Security

GO — General Obligation

LLC — Limited Liability Company

Ltd. — Limited

MTN — Medium Term Note

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 May 31, 2014, 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	$	—	$	1,605,011	$	589	$	1,605,600
Loan Participations		—		233,623		20,992		254,615
Collateralized Debt Obligations		—		—		190,964		190,964
Preferred Stock		6,784		25,597		1,426		33,807
Municipal Bonds		—		15,900		—		15,900
Convertible Bonds		—		5,005		—		5,005
Common Stock		1,559		1,470		1,011		4,040
Asset-Backed Security		—		746		—		746
Warrants		—		—		563		563
Cash Equivalent		69,796		—		—		69,796

Total Investments in Securities	$	78,139	$	1,887,352	$	215,545	$	2,181,036


Other Financial Instruments	Level 1		Level 2			Level 3		Total
OTC Swaps
Credit Default Swaps*
Unrealized Depreciation	$	—	$	(409	)	$	—	$	(409	)

⁽¹⁾

Of the $215,545 in Level 3 securities as of May 31, 2014, $4,630 or 0.21% 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 / Annual Report / May 31, 2014			183

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Concluded)

May 31, 2014

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 Preferred Stock			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		44			2			122			—			—			—
Realized gain/(loss)		6			1,221			14,194			93			79			—
Change in unrealized appreciation/(depreciation)		(2,609	)		(44	)		(4,643	)		334			145			(1,315	)
Purchases		5,046			8,217			57,413			4,092			463			—
Sales		(4,378	)		(3,947	)		(88,376	)		(3,093	)		(186	)		—
Net transfer into Level 3		—			8,964			—			—			—			—
Net transfer out of Level 3		(2,568	)		(3,389	)		—			—			—			—

Ending balance as of May 31, 2014	$	589		$	20,992		$	190,964		$	1,426		$	1,011		$	563

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	(2,513	)	$	135		$	880		$	334		$	194		$	75

For the year ended May 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2014, 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.


184		SEI Institutional Investments Trust / Annual Report / May 31, 2014

SCHEDULE OF INVESTMENTS

Long Duration Fund

May 31, 2014

LOGO


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

CORPORATE OBLIGATIONS — 63.1%

Consumer Discretionary — 6.5%
21st Century Fox America
8.150%, 10/17/2036	$	2,015	$	2,852
7.850%, 03/01/2039		3,900		5,487
7.750%, 01/20/2024		125		161
7.625%, 11/30/2028		2,411		3,150
7.430%, 10/01/2026		200		256
6.900%, 08/15/2039		4,250		5,582
6.750%, 01/09/2038		550		680
6.550%, 03/15/2033		2,170		2,672
6.400%, 12/15/2035		875		1,095
6.150%, 02/15/2041		3,650		4,454
5.400%, 10/01/2043		4,120		4,624
AutoZone
3.125%, 07/15/2023		785		764
Comcast
6.950%, 08/15/2037		3,050		4,109
6.450%, 03/15/2037		4,470		5,709
6.400%, 05/15/2038		7,948		10,102
5.900%, 03/15/2016		100		109
5.700%, 07/01/2019		100		118
4.750%, 03/01/2044		3,495		3,689
4.650%, 07/15/2042		3,055		3,171
4.250%, 01/15/2033		5,045		5,194
Comcast Cable Communications Holdings
9.455%, 11/15/2022		950		1,382
Cox Communications
8.375%, 03/01/2039 (A)		3,300		4,641
7.625%, 06/15/2025		300		382
6.950%, 06/01/2038 (A)		3,183		3,865
4.700%, 12/15/2042 (A)		4,400		4,297
CVS Caremark
6.250%, 06/01/2027		1,970		2,467
6.125%, 09/15/2039		2,625		3,301
5.300%, 12/05/2043		3,330		3,805
4.000%, 12/05/2023		5,250		5,542


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
CVS Pass-Through Trust
8.353%, 07/10/2031 (A)	$	6,018	$	7,973
DIRECTV Holdings
6.000%, 08/15/2040		5,335		6,167
5.150%, 03/15/2042		1,945		2,051
Ford Motor
7.450%, 07/16/2031		2,908		3,877
7.400%, 11/01/2046		2,345		3,185
4.750%, 01/15/2043		745		756
Home Depot
4.875%, 02/15/2044		1,415		1,546
4.200%, 04/01/2043		1,035		1,024
Lowe’s
6.875%, 02/15/2028		100		128
5.125%, 11/15/2041		4,910		5,536
McDonald’s MTN
6.300%, 03/01/2038		3,270		4,264
4.875%, 07/15/2040		1,090		1,211
3.700%, 02/15/2042		570		523
NBCUniversal Media LLC
5.950%, 04/01/2041		5,830		7,115
Target
6.650%, 08/01/2028		460		568
4.000%, 07/01/2042		7,060		6,626
TCI Communications
7.875%, 02/15/2026		3,250		4,537
Thomson Reuters
4.500%, 05/23/2043		295		277
4.300%, 11/23/2023		1,075		1,125
Time Warner
7.700%, 05/01/2032		4,587		6,397
7.625%, 04/15/2031		10,735		14,900
6.250%, 03/29/2041		3,400		4,155
5.350%, 12/15/2043		4,625		5,100
Time Warner Cable
8.250%, 04/01/2019		3,450		4,394
7.300%, 07/01/2038		1,020		1,372
6.750%, 06/15/2039		2,265		2,923
5.875%, 11/15/2040		995		1,162
5.500%, 09/01/2041		4,410		4,881
4.500%, 09/15/2042		1,640		1,603
Viacom
5.850%, 09/01/2043		4,715		5,399
4.375%, 03/15/2043		6,628		6,149
Wal-Mart Stores
7.550%, 02/15/2030		860		1,245
6.500%, 08/15/2037		2,650		3,513
6.200%, 04/15/2038		2,650		3,433
5.625%, 04/01/2040		5,940		7,199
5.625%, 04/15/2041		3,200		3,893
5.250%, 09/01/2035		50		58
5.000%, 10/25/2040		2,840		3,170
4.750%, 10/02/2043		11,570		12,560
4.300%, 04/22/2044		10,150		10,281
4.000%, 04/11/2043		960		928


SEI Institutional Investments Trust / Annual Report / May 31, 2014			185

SCHEDULE OF INVESTMENTS

Long Duration Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Walt Disney MTN
4.125%, 06/01/2044	$	4,445	$	4,416
Yum! Brands
6.875%, 11/15/2037		371		475

				261,755


Consumer Staples — 3.4%
Ahold Finance USA
6.875%, 05/01/2029		635		805
Altria Group
5.375%, 01/31/2044		5,070		5,508
Anheuser-Busch InBev Finance
4.625%, 02/01/2044		1,200		1,277
4.000%, 01/17/2043		3,030		2,918
2.625%, 01/17/2023		1,900		1,833
Anheuser-Busch InBev Worldwide
8.000%, 11/15/2039		1,898		2,913
6.375%, 01/15/2040		2,075		2,742
3.750%, 07/15/2042		13,418		12,463
2.500%, 07/15/2022		2,775		2,684
Autopistas Metropolitanas de Puerto Rico
6.750%, 06/30/2035 (A)		900		797
Bestfoods
7.250%, 12/15/2026		170		233
Bowdoin College
4.693%, 07/01/2112		11,296		10,774
Coca-Cola Femsa
3.875%, 11/26/2023		3,310		3,413
ConAgra Foods
6.625%, 08/15/2039		1,415		1,772
4.650%, 01/25/2043		945		942
3.200%, 01/25/2023		2,025		1,979
Diageo Capital
2.625%, 04/29/2023		2,940		2,822
Diageo Investment
4.250%, 05/11/2042		430		427
2.875%, 05/11/2022		1,400		1,395
General Mills
5.400%, 06/15/2040		815		928
Heineken
2.750%, 04/01/2023 (A)		4,195		4,039
Kraft Foods Group
6.875%, 01/26/2039		865		1,127
5.000%, 06/04/2042		5,980		6,371
Massachusetts Institute of Technology
5.600%, 07/01/2111		1,994		2,556
4.678%, 07/01/2114		4,365		4,697
Mondelez International
6.500%, 02/09/2040		3,641		4,630
4.000%, 02/01/2024		5,775		5,978


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Northwestern University
4.643%, 12/01/2044	$	1,200	$	1,306
Pepsi Bottling Group
7.000%, 03/01/2029		425		570
PepsiCo
4.000%, 03/05/2042		3,595		3,476
3.600%, 08/13/2042		3,655		3,260
Pernod Ricard
5.500%, 01/15/2042 (A)		880		992
4.450%, 01/15/2022 (A)		350		374
Philip Morris International
6.375%, 05/16/2038		420		537
4.500%, 03/20/2042		5,295		5,411
4.125%, 03/04/2043		4,720		4,567
3.875%, 08/21/2042		2,995		2,777
President and Fellows of Harvard College
5.625%, 10/01/2038		3,149		3,910
3.619%, 10/01/2037		2,000		1,866
Reckitt Benckiser Treasury Services
3.625%, 09/21/2023 (A)		790		808
SABMiller Holdings
4.950%, 01/15/2042 (A)		8,874		9,660
Tufts University
5.017%, 04/15/2112		3,776		3,902
Unilever Capital
5.900%, 11/15/2032		1,135		1,486
University of Southern California
5.250%, 10/01/2111		2,055		2,500

				135,425


Energy — 9.9%
Alta Wind Holdings
7.000%, 06/30/2035 (A)		2,382		2,651
Anadarko Finance
7.500%, 05/01/2031		3,325		4,520
Anadarko Holding
7.150%, 05/15/2028		3,480		4,445
Anadarko Petroleum
6.450%, 09/15/2036		590		743
4.617%, 10/10/2036 (B)		18,000		6,850
Apache
5.250%, 02/01/2042		310		348
4.750%, 04/15/2043		5,165		5,411
4.250%, 01/15/2044		8,545		8,385
BG Energy Capital
5.125%, 10/15/2041 (A)		4,600		5,141
BP Capital Markets
3.814%, 02/10/2024		3,300		3,418
Burlington Resources Finance
7.200%, 08/15/2031		25		35


186		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Canadian Natural Resources
6.250%, 03/15/2038	$	3,700	$	4,625
5.850%, 02/01/2035		150		176
Cenovus Energy
6.750%, 11/15/2039		2,255		2,940
5.200%, 09/15/2043		1,030		1,132
3.800%, 09/15/2023		250		259
CNOOC Finance 2013
3.000%, 05/09/2023		2,025		1,907
CNOOC Nexen Finance 2014 ULC
4.250%, 04/30/2024		3,025		3,108
Conoco Funding
7.250%, 10/15/2031		755		1,070
6.950%, 04/15/2029		2,050		2,827
ConocoPhillips
6.500%, 02/01/2039		5,865		7,932
5.900%, 05/15/2038		4,663		5,933
Continental Resources
4.900%, 06/01/2044		1,020		1,055
3.800%, 06/01/2024 (A)		2,200		2,231
Devon Energy
7.950%, 04/15/2032		285		404
5.600%, 07/15/2041		2,160		2,514
4.750%, 05/15/2042		3,760		3,875
Diamond Offshore Drilling
4.875%, 11/01/2043		3,885		3,910
Ecopetrol
5.875%, 05/28/2045		5,780		5,953
El Paso Natural Gas
8.375%, 06/15/2032		545		766
7.500%, 11/15/2026		3,115		4,013
Enbridge
4.500%, 06/10/2044		2,392		2,371
Encana
6.500%, 02/01/2038		3,350		4,204
Energy Transfer Partners
8.250%, 11/15/2029		1,825		2,559
6.500%, 02/01/2042		3,000		3,552
5.950%, 10/01/2043		7,000		7,810
Eni
5.700%, 10/01/2040 (A)		3,430		3,837
EnLink Midstream Partners
5.600%, 04/01/2044		2,750		3,065
Enterprise Products Operating LLC
6.650%, 10/15/2034		2,770		3,523
6.125%, 10/15/2039		445		541
5.700%, 02/15/2042		7,727		8,979
5.100%, 02/15/2045		2,775		2,975
4.850%, 03/15/2044		2,000		2,086
4.450%, 02/15/2043		3,355		3,289
Gulf South Pipeline
4.000%, 06/15/2022		4,490		4,542


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Hess
5.600%, 02/15/2041	$	1,960	$	2,252
Kinder Morgan Energy Partners
6.375%, 03/01/2041		7,475		8,732
5.500%, 03/01/2044		6,095		6,460
3.950%, 09/01/2022		2,560		2,608
LASMO
7.300%, 11/15/2027		4,625		6,225
Marathon Oil
6.600%, 10/01/2037		3,820		4,959
Marathon Petroleum
6.500%, 03/01/2041		3,020		3,803
Motiva Enterprises
6.850%, 01/15/2040 (A)		3,515		4,670
Nexen Energy ULC
7.500%, 07/30/2039		1,830		2,447
7.400%, 05/01/2028		2,390		3,169
6.400%, 05/15/2037		785		927
5.875%, 03/10/2035		3,000		3,390
Noble Energy
5.250%, 11/15/2043		7,845		8,657
4.150%, 12/15/2021		770		829
Panhandle Eastern Pipeline
8.125%, 06/01/2019		725		886
Petrobras Global Finance BV
7.250%, 03/17/2044		5,840		6,443
5.625%, 05/20/2043		8,405		7,548
4.375%, 05/20/2023		820		784
Petrobras International Finance
6.875%, 01/20/2040		3,905		4,100
5.875%, 03/01/2018		600		654
Petro-Canada
7.875%, 06/15/2026		45		61
6.800%, 05/15/2038		1,000		1,333
5.950%, 05/15/2035		760		910
Petroleos Mexicanos
6.500%, 06/02/2041		4,980		5,822
6.375%, 01/23/2045 (A)		16,020		18,443
5.500%, 06/27/2044		3,780		3,898
Phillips 66
5.875%, 05/01/2042		5,450		6,631
Plains All American Pipeline
3.850%, 10/15/2023		4,397		4,514
Pride International
7.875%, 08/15/2040		6,059		8,960
Ruby Pipeline
6.000%, 04/01/2022 (A)		2,500		2,826
Schlumberger Investment
3.650%, 12/01/2023		1,575		1,640
Shell International Finance BV
6.375%, 12/15/2038		4,118		5,475
4.550%, 08/12/2043		10,190		10,799
3.400%, 08/12/2023		2,225		2,278


SEI Institutional Investments Trust / Annual Report / May 31, 2014			187

SCHEDULE OF INVESTMENTS

Long Duration Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Southern Natural Gas
7.350%, 02/15/2031	$	1,223	$	1,553
Spectra Energy Capital
6.750%, 02/15/2032		1,510		1,732
3.300%, 03/15/2023		5,900		5,648
Statoil
6.800%, 01/15/2028		400		524
6.500%, 12/01/2028 (A)		1,220		1,575
4.800%, 11/08/2043		5,649		6,246
3.950%, 05/15/2043		3,655		3,531
3.700%, 03/01/2024		2,775		2,898
2.450%, 01/17/2023		2,375		2,291
Suncor Energy
6.850%, 06/01/2039		3,865		5,210
6.500%, 06/15/2038		1,975		2,544
Tennessee Gas Pipeline
8.375%, 06/15/2032		2,705		3,780
7.000%, 10/15/2028		8,117		10,289
Texas Eastern Transmission
7.000%, 07/15/2032		2,110		2,761
Total Capital International
3.700%, 01/15/2024		3,565		3,700
TransCanada PipeLines
7.625%, 01/15/2039		4,215		6,103
7.250%, 08/15/2038		1,670		2,329
6.100%, 06/01/2040		1,395		1,739
4.625%, 03/01/2034		10,609		11,246
Transcontinental Gas Pipe Line
7.250%, 12/01/2026		1,660		2,128
5.400%, 08/15/2041		1,795		2,046
4.450%, 08/01/2042		1,310		1,320
Valero Energy
10.500%, 03/15/2039		3,740		6,319
Williams
8.750%, 03/15/2032		198		252
7.750%, 06/15/2031		755		897
3.700%, 01/15/2023		545		516
Williams Partners
4.500%, 11/15/2023		650		688
4.300%, 03/04/2024		3,000		3,117

				398,025


Financials — 16.0%
ACE INA Holdings
6.700%, 05/15/2036		2,677		3,606
Aflac
6.900%, 12/17/2039		2,900		3,921
6.450%, 08/15/2040		2,960		3,787
AIG SunAmerica Global Financing X
6.900%, 03/15/2032 (A)		4,417		5,905
Alexandria Real Estate Equities‡
3.900%, 06/15/2023		3,050		3,043


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
American Express
4.050%, 12/03/2042	$	4,919	$	4,716
American International Group
4.875%, 06/01/2022		2,050		2,294
ARC Properties Operating Partnership‡
4.600%, 02/06/2024 (A)		4,150		4,276
Arch Capital Group US
5.144%, 11/01/2043		4,170		4,531
Assurant
6.750%, 02/15/2034		4,334		5,124
Bank of America MTN
8.950%, 05/18/2017 (C)		1,340		1,486
8.680%, 05/02/2017 (C)		1,305		1,437
7.800%, 09/15/2016		65		74
6.110%, 01/29/2037		3,660		4,227
6.000%, 10/15/2036		4,705		5,736
5.875%, 02/07/2042		2,000		2,382
5.750%, 12/01/2017		5,750		6,514
5.625%, 07/01/2020		675		778
5.000%, 05/13/2021		500		558
5.000%, 01/21/2044		4,223		4,478
4.875%, 04/01/2044		2,710		2,824
4.100%, 07/24/2023		5,630		5,822
3.300%, 01/11/2023		2,090		2,058
Bear Stearns
7.250%, 02/01/2018		400		478
Berkshire Hathaway
4.500%, 02/11/2043		7,658		7,841
Berkshire Hathaway Finance
4.400%, 05/15/2042		1,300		1,314
Blackstone Holdings Finance LLC
6.250%, 08/15/2042 (A)		4,482		5,478
5.000%, 06/15/2044 (A)		3,115		3,237
Boston Properties‡
4.125%, 05/15/2021		770		826
BPCE
5.150%, 07/21/2024 (A)		2,650		2,741
Camden Property Trust‡
4.625%, 06/15/2021		1,325		1,455
Carlyle Holdings II Finance
5.625%, 03/30/2043 (A)		9,020		10,019
CBL & Associates‡
5.250%, 12/01/2023		2,650		2,816
CDP Financial
5.600%, 11/25/2039 (A)		6,055		7,591
Chase Capital VI
0.850%, 08/01/2028 (C)		2,435		2,112
Chubb
6.500%, 05/15/2038		6,740		9,032
Cincinnati Financial
6.920%, 05/15/2028		3,449		4,247


188		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Citigroup
8.500%, 05/22/2019	$	75	$	96
8.125%, 07/15/2039		2,989		4,463
6.875%, 03/05/2038		700		921
6.875%, 02/15/2098		2,876		3,630
6.675%, 09/13/2043		1,900		2,321
6.625%, 06/15/2032		600		715
6.375%, 08/12/2014		50		51
6.125%, 11/21/2017		100		114
6.125%, 08/25/2036		3,840		4,386
6.010%, 01/15/2015		50		52
6.000%, 08/15/2017		50		57
5.875%, 02/22/2033		1,660		1,832
5.500%, 09/13/2025		1,000		1,106
5.300%, 01/07/2016		2,000		2,138
5.300%, 05/06/2044		2,985		3,051
4.587%, 12/15/2015		39		41
3.875%, 10/25/2023		4,045		4,114
2.650%, 03/02/2015		150		152
0.777%, 08/25/2036 (C)		850		674
Commonwealth Bank of Australia MTN
5.000%, 10/15/2019 (A)		1,750		1,982
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA
5.800%, 09/30/2110 (A)		4,273		4,759
5.750%, 12/01/2043		1,365		1,554
Deutsche Bank
3.700%, 05/30/2024		2,330		2,342
Devon OEI Operating
7.500%, 09/15/2027		1,160		1,533
Discover Bank
8.700%, 11/18/2019		1,014		1,291
Discover Financial Services
3.850%, 11/21/2022		3,261		3,313
Essex Portfolio
3.875%, 05/01/2024‡ (A)		2,100		2,145
Excel Trust
4.625%, 05/15/2024‡		2,025		2,066
Farmers Exchange Capital
7.200%, 07/15/2048 (A)		1,000		1,251
Farmers Exchange Capital II
6.151%, 11/01/2053 (A) (C)		11,440		12,830
Five Corners Funding Trust
4.419%, 11/15/2023 (A)		5,685		6,019
FMR
5.150%, 02/01/2043 (A)		2,750		2,956
Ford Holdings
9.300%, 03/01/2030		2,875		4,250
Ford Motor Credit
4.375%, 08/06/2023		1,950		2,071
General Electric Capital MTN
7.500%, 08/21/2035		385		545


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
6.875%, 01/10/2039	$	10,194	$	13,675
6.750%, 03/15/2032		7,220		9,539
5.875%, 01/14/2038		23,040		27,606
0.704%, 08/15/2036 (C)		1,250		1,038
Goldman Sachs Group
6.750%, 10/01/2037		13,555		16,264
6.250%, 02/01/2041		5,098		6,280
6.125%, 02/15/2033		8,930		10,634
5.950%, 01/15/2027		2,811		3,189
4.000%, 03/03/2024		9,825		9,998
Hartford Financial Services Group
6.625%, 03/30/2040		1,939		2,549
6.100%, 10/01/2041		4,620		5,773
5.950%, 10/15/2036		915		1,105
HBOS MTN
6.750%, 05/21/2018 (A)		4,050		4,675
HBOS Capital Funding
6.071%, 06/30/2049 (A) (C)		100		100
HCP‡
4.250%, 11/15/2023		8,829		9,228
4.200%, 03/01/2024		2,571		2,672
3.150%, 08/01/2022		1,825		1,794
Health Care‡
6.500%, 03/15/2041		931		1,189
5.125%, 03/15/2043		7,279		7,804
Healthcare Realty Trust‡
5.750%, 01/15/2021		525		597
Highmark
6.125%, 05/15/2041 (A)		3,205		3,071
HSBC Bank USA MTN
7.000%, 01/15/2039		3,510		4,710
5.875%, 11/01/2034		150		177
5.625%, 08/15/2035		1,930		2,209
HSBC Holdings
7.625%, 05/17/2032		840		1,117
6.800%, 06/01/2038		335		424
6.500%, 09/15/2037		4,200		5,152
5.250%, 03/14/2044		6,510		6,882
5.100%, 04/05/2021		3,531		4,024
ING Bank
5.800%, 09/25/2023 (A)		8,405		9,399
1.635%, 06/09/2014 (A) (C)		1,050		1,050
International Lease Finance
7.125%, 09/01/2018 (A)		425		492
JPMorgan Chase
6.400%, 05/15/2038		400		504
6.300%, 04/23/2019		1,775		2,106
5.600%, 07/15/2041		7,260		8,462
5.400%, 01/06/2042		120		136
4.850%, 02/01/2044		770		807
3.625%, 05/13/2024		3,470		3,495
3.250%, 09/23/2022		2,780		2,782
0.563%, 06/13/2016 (C)		2,000		1,992


SEI Institutional Investments Trust / Annual Report / May 31, 2014			189

SCHEDULE OF INVESTMENTS

Long Duration Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
JPMorgan Chase Capital XIII
1.184%, 09/30/2034 (C)	$	3,900	$	3,344
JPMorgan Chase Capital XXIII
1.224%, 05/15/2047 (C)		1,907		1,507
KKR Group Finance II
5.500%, 02/01/2043 (A)		9,932		10,594
KKR Group Finance III LLC
5.125%, 06/01/2044 (A)		3,781		3,794
Liberty Mutual Group
6.500%, 03/15/2035 (A)		265		324
6.500%, 05/01/2042 (A)		9,309		11,723
Macquarie Bank MTN
6.625%, 04/07/2021 (A)		7,090		8,177
Marsh & McLennan
3.500%, 06/03/2024		2,230		2,232
Massachusetts Mutual Life Insurance
8.875%, 06/01/2039 (A)		1,820		2,910
MetLife
6.400%, 12/15/2036		6,995		7,803
5.875%, 02/06/2041		1,240		1,522
4.875%, 11/13/2043		8,345		8,991
Metropolitan Life Global Funding I
3.875%, 04/11/2022 (A)		435		463
3.000%, 01/10/2023 (A)		1,845		1,833
Metropolitan Life Insurance
7.800%, 11/01/2025 (A)		3,520		4,694
Morgan Stanley
7.250%, 04/01/2032		2,572		3,443
6.625%, 04/01/2018		4,365		5,112
6.375%, 07/24/2042		4,164		5,252
5.625%, 09/23/2019		11,775		13,555
3.875%, 04/29/2024		5,910		5,977
National Capital Trust II
5.486%, 12/29/2049 (A) (C)		500		511
National Rural Utilities Cooperative Finance
4.023%, 11/01/2032 (A)		518		527
Nationwide Health Properties MTN‡
6.590%, 07/07/2038		1,310		1,610
Nationwide Mutual Insurance
8.250%, 12/01/2031 (A)		1,000		1,333
7.875%, 04/01/2033 (A)		4,016		5,382
4.950%, 04/22/2044 (A)		6,440		6,589
New York Life Insurance
6.750%, 11/15/2039 (A)		5,515		7,422
Northwestern Mutual Life Insurance
6.063%, 03/30/2040 (A)		3,840		4,783
Piedmont Operating Partnership‡
4.450%, 03/15/2024		1,740		1,785


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Principal Financial Group
4.625%, 09/15/2042	$	1,520	$	1,564
4.350%, 05/15/2043		1,545		1,522
Prudential Financial MTN
6.625%, 12/01/2037		708		931
5.800%, 11/16/2041		2,740		3,282
5.700%, 12/14/2036		7,039		8,313
Prudential Insurance of America
8.300%, 07/01/2025 (A)		4,500		6,175
Realty Income
4.650%, 08/01/2023‡		11,285		12,130
Royal Bank of Scotland Group
7.648%, 08/31/2049 (C)		1,900		2,204
Security Benefit Life
7.450%, 10/01/2033 (A)		3,805		4,202
Simon Property Group‡
6.750%, 02/01/2040		5,427		7,436
4.750%, 03/15/2042		2,805		3,024
SL Green Realty‡
7.750%, 03/15/2020		1,775		2,161
5.000%, 08/15/2018		1,000		1,093
Teachers Insurance & Annuity Association of America
6.850%, 12/16/2039 (A)		4,660		6,301
Travelers
5.350%, 11/01/2040		1,935		2,270
Ventas Realty‡
5.700%, 09/30/2043		5,465		6,387
4.750%, 06/01/2021		2,500		2,761
WEA Finance
6.750%, 09/02/2019 (A)		2,090		2,546
Wells Fargo MTN
5.606%, 01/15/2044		1,645		1,867
4.100%, 06/03/2026		3,625		3,657
Wells Fargo Bank
6.600%, 01/15/2038		2,400		3,260
6.000%, 11/15/2017		300		345
5.950%, 08/26/2036		1,000		1,259
5.850%, 02/01/2037		5,620		6,954
XL Capital
6.375%, 11/15/2024		2,615		3,184
ZFS Finance USA Trust II
6.450%, 12/15/2065 (A) (C)		1,939		2,094

				644,399


Health Care — 4.8%
AbbVie
4.400%, 11/06/2042		12,480		12,514
Aetna
4.750%, 03/15/2044		6,850		7,239
Amgen
6.400%, 02/01/2039		3,400		4,295
5.750%, 03/15/2040		980		1,145


190		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
5.150%, 11/15/2041	$	3,700	$	3,981
4.950%, 10/01/2041		825		871
AstraZeneca
6.450%, 09/15/2037		3,522		4,565
4.000%, 09/18/2042		1,825		1,749
Bristol-Myers Squibb
6.125%, 05/01/2038		3,580		4,637
CareFusion
3.875%, 05/15/2024		1,750		1,762
Catholic Health Initiatives
4.350%, 11/01/2042		7,535		7,150
Celgene
5.700%, 10/15/2040		7,424		8,585
4.625%, 05/15/2044		3,000		2,991
3.625%, 05/15/2024		4,215		4,247
Covidien International Finance
2.950%, 06/15/2023		1,290		1,257
Eli Lilly
4.650%, 06/15/2044		2,290		2,433
Gilead Sciences
4.800%, 04/01/2044		8,039		8,493
GlaxoSmithKline Capital
6.375%, 05/15/2038		3,405		4,441
Hartford HealthCare
5.746%, 04/01/2044		6,630		7,046
Howard Hughes Medical Institute
3.500%, 09/01/2023		4,623		4,786
Johnson & Johnson
4.375%, 12/05/2033		3,710		4,016
McKesson
3.796%, 03/15/2024		6,005		6,144
Mead Johnson Nutrition
5.900%, 11/01/2039		990		1,185
4.600%, 06/01/2044		825		833
Medtronic
3.625%, 03/15/2024		1,725		1,788
2.750%, 04/01/2023		3,280		3,193
Memorial Sloan-Kettering Cancer Center
5.000%, 07/01/2042		1,845		2,021
Merck
6.550%, 09/15/2037		975		1,308
4.150%, 05/18/2043		5,260		5,196
3.600%, 09/15/2042		2,130		1,935
Merck Sharp & Dohme MTN
5.850%, 06/30/2039		530		657
5.760%, 05/03/2037		2,236		2,794
Mylan
4.200%, 11/29/2023		1,875		1,944
North Shore-Long Island Jewish Health Care
6.150%, 11/01/2043		2,920		3,589
4.800%, 11/01/2042		4,615		4,577


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Novartis Capital
4.400%, 05/06/2044	$	10,005	$	10,356
NYU Hospitals Center
5.750%, 07/01/2043		3,435		3,968
4.428%, 07/01/2042		4,230		3,987
Perrigo
4.000%, 11/15/2023 (A)		1,535		1,567
Pfizer
7.200%, 03/15/2039		590		831
4.400%, 05/15/2044		2,270		2,315
4.300%, 06/15/2043		3,620		3,624
Roche Holdings
7.000%, 03/01/2039 (A)		4,240		6,053
St. Barnabas
4.000%, 07/01/2028		4,375		3,883
Stryker
4.375%, 05/15/2044		2,000		1,997
4.100%, 04/01/2043		1,425		1,412
3.375%, 05/15/2024		2,145		2,143
Thermo Fisher Scientific
3.150%, 01/15/2023		3,020		2,996
UnitedHealth Group
6.875%, 02/15/2038		2,010		2,729
6.625%, 11/15/2037		555		735
4.250%, 03/15/2043		510		504
WellPoint
4.650%, 01/15/2043		2,080		2,119
Wyeth
6.000%, 02/15/2036		2,985		3,758
5.950%, 04/01/2037		936		1,159

				191,503


Industrials — 5.1%
ABB Treasury Center USA
4.000%, 06/15/2021 (A)		2,970		3,175
Alfa
5.250%, 03/25/2024 (A)		90		93
American Airlines, Pass-Through Trust, Ser 2013-2, Cl A
4.950%, 01/15/2023 (A)		3,396		3,664
BAE Systems
5.800%, 10/11/2041 (A)		4,995		5,920
Boeing
6.875%, 03/15/2039		621		875
6.625%, 02/15/2038		840		1,151
Burlington Northern Santa Fe LLC
6.200%, 08/15/2036		5,600		6,952
6.150%, 05/01/2037		1,280		1,586
5.750%, 05/01/2040		1,205		1,444
5.150%, 09/01/2043		2,415		2,682
4.900%, 04/01/2044		9,045		9,688
4.400%, 03/15/2042		4,430		4,414


SEI Institutional Investments Trust / Annual Report / May 31, 2014			191

SCHEDULE OF INVESTMENTS

Long Duration Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
4.375%, 09/01/2042	$	1,850	$	1,836
3.750%, 04/01/2024		1,950		2,021
3.450%, 09/15/2021		10		10
Caterpillar
4.750%, 05/15/2064		5,345		5,540
3.803%, 08/15/2042		7,353		6,812
Continental Airlines, Pass-Through Trust, Ser 2007-1, Cl A
5.983%, 04/19/2022		4,980		5,677
Continental Airlines, Pass-Through Trust, Ser 2009-1
9.000%, 07/08/2016		5,057		5,790
CSX
4.750%, 05/30/2042		4,425		4,668
Deere
3.900%, 06/09/2042		2,860		2,732
EADS Finance
2.700%, 04/17/2023 (A)		2,500		2,412
Federal Express
7.600%, 07/01/2097		2,095		2,859
FedEx
4.000%, 01/15/2024		1,495		1,566
4.000%, 01/15/2024		1,000		1,052
3.875%, 08/01/2042		9,167		8,280
General Dynamics
3.600%, 11/15/2042		3,070		2,851
General Electric
4.500%, 03/11/2044		4,375		4,579
4.125%, 10/09/2042		7,245		7,152
Heathrow Funding
4.875%, 07/15/2021 (A)		3,070		3,363
L-3 Communications
3.950%, 05/28/2024		3,645		3,703
Lockheed Martin
4.070%, 12/15/2042		4,768		4,648
Norfolk Southern
6.000%, 03/15/2105		3,703		4,459
6.000%, 05/23/2111		8,719		10,504
4.800%, 08/15/2043		2,200		2,368
3.850%, 01/15/2024		3,825		3,978
Northrop Grumman
4.750%, 06/01/2043		13,700		14,428
Northwest Airlines, Pass-Through Trust, Ser 2001-1, Cl A1
7.041%, 04/01/2022		237		277
Precision Castparts
2.500%, 01/15/2023		1,790		1,721
Republic Services
3.550%, 06/01/2022		2,025		2,085
Sydney Airport Finance
3.900%, 03/22/2023 (A)		4,500		4,554


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Sydney Airport Finance Pty
5.125%, 02/22/2021 (A)	$	1,700	$	1,892
Union Pacific
4.850%, 06/15/2044		5,355		5,948
4.821%, 02/01/2044		5,068		5,642
United Airlines, Pass-Through Trust, Ser 2014-1, Cl A
4.000%, 04/11/2026		2,970		3,006
United Parcel Service of America
8.375%, 04/01/2020 (D)		375		550
United Technologies
5.700%, 04/15/2040		9,785		12,081
4.500%, 06/01/2042		4,985		5,194
3.100%, 06/01/2022		2,375		2,424
US Airways, Pass-Through Trust, Ser 2011-1, Cl A
7.125%, 10/22/2023		1,693		1,963
Waste Management
4.600%, 03/01/2021		2,662		2,962

				205,231


Information Technology — 1.6%
Apple
4.450%, 05/06/2044		3,915		3,991
3.850%, 05/04/2043		3,265		3,032
3.450%, 05/06/2024		5,370		5,457
Cisco Systems
5.900%, 02/15/2039		3,920		4,764
Corning
5.750%, 08/15/2040		555		669
eBay
4.000%, 07/15/2042		4,110		3,745
EMC
2.650%, 06/01/2020		1,675		1,704
Intel
4.250%, 12/15/2042		2,735		2,685
4.000%, 12/15/2032		850		850
International Business Machines
3.625%, 02/12/2024		7,710		7,924
3.375%, 08/01/2023		2,940		2,991
Juniper Networks
5.950%, 03/15/2041		4,430		4,757
Microsoft
4.875%, 12/15/2043		2,900		3,199
3.500%, 11/15/2042		1,765		1,587
Oracle
6.500%, 04/15/2038		6,460		8,483
3.625%, 07/15/2023		2,320		2,404
Seagate HDD Cayman
4.750%, 01/01/2025 (A)		6,010		5,972

				64,214


192		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

Materials — 2.1%
ArcelorMittal
7.500%, 10/15/2039	$	850	$	920
Barrick North America Finance LLC
5.750%, 05/01/2043		8,720		8,740
BHP Billiton Finance USA
5.000%, 09/30/2043		5,570		6,105
3.850%, 09/30/2023		2,155		2,264
CF Industries
5.150%, 03/15/2034		2,205		2,351
Dow Chemical
7.375%, 11/01/2029		2,670		3,604
4.375%, 11/15/2042		7,055		6,769
Freeport-McMoRan Copper
5.450%, 03/15/2043		7,877		8,104
LYB International Finance
4.875%, 03/15/2044		3,575		3,743
Mosaic
5.450%, 11/15/2033		1,225		1,366
Nacional del Cobre de Chile
5.625%, 10/18/2043 (A)		6,535		7,189
4.250%, 07/17/2042 (A)		835		759
Newcrest Finance
5.750%, 11/15/2041 (A)		4,921		4,336
Newmont Mining
4.875%, 03/15/2042		4,523		3,919
Praxair
3.550%, 11/07/2042		1,820		1,666
Rio Tinto Finance USA
7.125%, 07/15/2028		480		627
4.125%, 08/21/2042		120		113
Rohm & Haas
7.850%, 07/15/2029		4,785		6,608
Southern Copper
7.500%, 07/27/2035		2,974		3,464
Teck Resources
6.000%, 08/15/2040		180		189
5.400%, 02/01/2043		2,360		2,328
5.200%, 03/01/2042		1,050		1,005
Vale
5.625%, 09/11/2042		450		439
Vale Overseas
6.875%, 11/21/2036		2,045		2,271
Xstrata Finance Canada
6.000%, 11/15/2041 (A)		5,594		6,052

				84,931


Telecommunication Services — 5.0%
Alltel
7.875%, 07/01/2032		1,175		1,631
6.800%, 05/01/2029		570		707


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
America Movil
6.375%, 03/01/2035	$	625	$	751
4.375%, 07/16/2042		5,320		4,994
AT&T
6.500%, 09/01/2037		2,985		3,699
6.300%, 01/15/2038		2,275		2,760
5.550%, 08/15/2041		6,770		7,644
5.350%, 09/01/2040		6,004		6,566
4.350%, 06/15/2045		9,333		8,900
4.300%, 12/15/2042		3,351		3,201
British Telecommunications
9.625%, 12/15/2030		2,070		3,307
CenturyLink
7.650%, 03/15/2042		3,035		3,046
5.800%, 03/15/2022		350		364
Deutsche Telekom International Finance
9.250%, 06/01/2032		865		1,368
8.750%, 06/15/2030		785		1,155
4.875%, 03/06/2042 (A)		2,980		3,130
GTE
6.940%, 04/15/2028		1,360		1,706
Koninklijke KPN
8.375%, 10/01/2030		3,095		4,310
Orange
5.500%, 02/06/2044		3,905		4,293
Rogers Communications
5.450%, 10/01/2043		2,350		2,634
5.000%, 03/15/2044		5,300		5,516
4.100%, 10/01/2023		1,500		1,568
SES Global Americas Holdings GP
5.300%, 03/25/2044 (A)		4,500		4,793
Telecom Italia Capital
7.721%, 06/04/2038		1,370		1,548
6.000%, 09/30/2034		890		879
Telefonaktiebolaget LM Ericsson
4.125%, 05/15/2022		5,515		5,753
Telefonica Emisiones SAU
7.045%, 06/20/2036		2,290		2,885
4.570%, 04/27/2023		1,440		1,526
Verizon Communications
7.750%, 12/01/2030		780		1,070
7.350%, 04/01/2039		2,890		3,899
6.550%, 09/15/2043		48,585		61,668
6.400%, 09/15/2033		16,600		20,409
6.400%, 02/15/2038		560		686
6.250%, 04/01/2037		760		914
6.000%, 04/01/2041		1,500		1,772
5.050%, 03/15/2034		4,175		4,472
4.750%, 11/01/2041		5,235		5,289
3.850%, 11/01/2042		1,610		1,426


SEI Institutional Investments Trust / Annual Report / May 31, 2014			193

SCHEDULE OF INVESTMENTS

Long Duration Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Vodafone Group
4.375%, 02/19/2043	$	11,810	$	11,096

				203,335


Utilities — 8.7%
AGL Capital
5.875%, 03/15/2041		2,593		3,213
Arizona Public Services
8.000%, 12/30/2015		48		50
Baltimore Gas & Electric
5.200%, 06/15/2033		3,275		3,618
Berkshire Hathaway Energy
6.500%, 09/15/2037		3,860		4,991
6.125%, 04/01/2036		7,318		9,109
5.150%, 11/15/2043		2,250		2,518
Boston Gas
4.487%, 02/15/2042 (A)		2,147		2,210
Bruce Mansfield Unit 1 2007 Pass-Through Trust
6.850%, 06/01/2034		1,602		1,755
CenterPoint Energy Houston Electric LLC
4.500%, 04/01/2044		1,900		2,019
CenterPoint Energy Resources
6.250%, 02/01/2037		3,791		4,713
Consolidated Edison of New York
6.750%, 04/01/2038		1,725		2,341
6.300%, 08/15/2037		1,440		1,890
4.450%, 03/15/2044		4,340		4,468
Coso Geothermal Power Holdings
7.000%, 07/15/2026 (A)		1,836		1,377
Dominion Resources
5.250%, 08/01/2033		8,631		9,750
4.900%, 08/01/2041		2,715		2,905
DTE Energy
3.850%, 12/01/2023		2,215		2,318
3.500%, 06/01/2024		1,375		1,391
Duke Energy
3.750%, 04/15/2024		2,535		2,622
3.050%, 08/15/2022		1,420		1,419
Duke Energy Carolinas
6.100%, 06/01/2037		3,090		3,896
5.300%, 02/15/2040		8,120		9,654
4.000%, 09/30/2042		2,450		2,412
Duke Energy Florida
6.400%, 06/15/2038		590		794
6.350%, 09/15/2037		1,160		1,540
Duke Energy Indiana
6.350%, 08/15/2038		1,660		2,198
4.900%, 07/15/2043		2,280		2,554
Duke Energy Progress
4.375%, 03/30/2044		3,320		3,468


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Duquesne Light Holdings
6.250%, 08/15/2035	$	3,125	$	3,415
5.900%, 12/01/2021 (A)		750		865
Electricite de France
6.000%, 01/22/2114 (A)		8,445		9,477
Elm Road Generating Station Supercritical
5.848%, 01/19/2041 (A)		2,007		2,211
Entergy Louisiana
6.300%, 09/01/2035		300		300
4.440%, 01/15/2026		3,210		3,519
Entergy Texas
7.125%, 02/01/2019		1,665		2,028
Exelon
5.625%, 06/15/2035		1,250		1,399
Exelon Generation LLC
6.250%, 10/01/2039		200		234
5.750%, 10/01/2041		4,931		5,516
5.600%, 06/15/2042		5,080		5,494
FirstEnergy Transmission LLC
5.450%, 07/15/2044 (A)		7,060		7,140
FirstEnergy, Ser C
7.375%, 11/15/2031		3,105		3,655
Florida Power & Light
5.960%, 04/01/2039		3,115		4,016
5.690%, 03/01/2040		5,000		6,282
5.650%, 02/01/2037		2,500		3,092
5.400%, 09/01/2035		3,200		3,810
Georgia Power
5.950%, 02/01/2039		3,850		4,787
5.400%, 06/01/2040		5,810		6,822
4.300%, 03/15/2042		2,215		2,228
4.300%, 03/15/2043		2,075		2,094
Iberdrola Finance Ireland
5.000%, 09/11/2019 (A)		2,200		2,479
Indianapolis Power & Light
6.050%, 10/01/2036 (A)		1,291		1,602
4.875%, 11/01/2041 (A)		2,130		2,307
ITC Holdings
5.300%, 07/01/2043		2,085		2,317
Jersey Central Power & Light
6.400%, 05/15/2036		1,050		1,213
John Sevier Combined Cycle Generation
4.626%, 01/15/2042		3,928		4,226
KCP&L Greater Missouri Operations
8.270%, 11/15/2021		2,600		3,288
Kentucky Utilities
5.125%, 11/01/2040		2,355		2,741
KeySpan Gas East
5.819%, 04/01/2041 (A)		7,485		9,349
Metropolitan Edison
7.700%, 01/15/2019		350		430


194		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
MidAmerican Energy
6.750%, 12/30/2031	$	870	$	1,163
5.800%, 10/15/2036		980		1,219
4.800%, 09/15/2043		1,725		1,910
MidAmerican Funding
6.927%, 03/01/2029		170		223
Monongahela Power
5.400%, 12/15/2043 (A)		945		1,086
4.100%, 04/15/2024 (A)		7,450		7,918
Narragansett Electric
4.170%, 12/10/2042 (A)		3,220		3,176
NextEra Energy Capital Holdings
6.000%, 03/01/2019		2,470		2,875
Niagara Mohawk Power
4.119%, 11/28/2042 (A)		2,000		1,924
2.721%, 11/28/2022 (A)		700		683
NiSource Finance
5.950%, 06/15/2041		545		634
4.800%, 02/15/2044		1,985		2,025
Northeast Utilities
2.800%, 05/01/2023		2,120		2,041
Northern States Power
6.250%, 06/01/2036		1,813		2,367
5.350%, 11/01/2039		2,695		3,213
3.400%, 08/15/2042		1,185		1,063
NSTAR Electric
4.400%, 03/01/2044		655		688
Oncor Electric Delivery
7.500%, 09/01/2038		600		869
5.300%, 06/01/2042		8,438		9,922
5.250%, 09/30/2040		2,165		2,524
4.550%, 12/01/2041		1,890		1,990
4.100%, 06/01/2022		2,770		2,990
Pacific Gas & Electric
6.350%, 02/15/2038		1,000		1,278
6.250%, 03/01/2039		1,910		2,408
6.050%, 03/01/2034		4,940		6,087
5.800%, 03/01/2037		2,226		2,677
4.600%, 06/15/2043		2,345		2,468
4.500%, 12/15/2041		1,660		1,702
PacifiCorp
6.000%, 01/15/2039		1,310		1,657
5.750%, 04/01/2037		2,972		3,708
Pennsylvania Electric
6.150%, 10/01/2038		6,420		7,449
Potomac Electric Power
3.600%, 03/15/2024		3,000		3,113
PSEG Power LLC
8.625%, 04/15/2031		4,340		6,274
Public Service Electric & Gas MTN
3.650%, 09/01/2042		3,290		3,073
Public Service of Colorado
6.500%, 08/01/2038		725		983
6.250%, 09/01/2037		1,880		2,488


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
4.750%, 08/15/2041	$	2,400	$	2,649
4.300%, 03/15/2044		3,045		3,158
San Diego Gas & Electric
4.300%, 04/01/2042		1,375		1,424
Sempra Energy
6.000%, 10/15/2039		3,565		4,429
South Carolina Electric & Gas
6.050%, 01/15/2038		400		510
Southaven Combined Cycle Generation
3.846%, 08/15/2033		2,687		2,824
Southern California Edison
6.050%, 03/15/2039		4,355		5,586
4.650%, 10/01/2043		7,190		7,883
Southern California Gas
4.450%, 03/15/2044		2,450		2,617
3.750%, 09/15/2042		1,585		1,515
Southwestern Electric Power
6.200%, 03/15/2040		3,335		4,193
Texas-New Mexico Power
6.950%, 04/01/2043 (A)		1,082		1,510
Tucson Electric Power
5.000%, 03/15/2044		5,025		5,181
Union Electric
8.450%, 03/15/2039		2,405		3,952
Virginia Electric and Power
4.650%, 08/15/2043		2,250		2,446
4.450%, 02/15/2044		2,500		2,613
3.450%, 02/15/2024		530		543
Xcel Energy
4.800%, 09/15/2041		1		1

				350,431

Total Corporate Obligations (Cost $2,338,430) ($ Thousands)				2,539,249


MUNICIPAL BONDS — 6.5%
Bay Area, Toll Authority, Build America Project, RB
6.263%, 04/01/2049		1,690		2,305
City of Gainesville, Build America Project, RB
6.024%, 10/01/2040		3,650		4,382
City of Houston, Utility System Revenue, Ser B, RB
3.828%, 05/15/2028		2,775		2,921
3.428%, 05/15/2023		2,500		2,588
City of Houston, Ser A, GO
6.290%, 03/01/2032		3,870		4,818
City of Houston, Utility System Revenue, Ser A, RB Callable 05/15/19 @ 100
5.250%, 11/15/2033		320		363


SEI Institutional Investments Trust / Annual Report / May 31, 2014			195

SCHEDULE OF INVESTMENTS

Long Duration Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
City of New York, Build America Project, GO Callable 12/01/20 @ 100
6.646%, 12/01/2031	$	2,200	$	2,621
5.817%, 10/01/2031		2,950		3,286
City of New York, Build America Project, GO
5.517%, 10/01/2037		3,950		4,607
City of Sacramento, Municipal Utility District, Build America Project, RB
6.156%, 05/15/2036		100		120
City of San Francisco, Public Utilities Commission Water Revenue, Build America Project, Ser DE, RB
6.000%, 11/01/2040		3,705		4,687
Commonwealth of Massachusetts, Build America Project, GO
4.910%, 05/01/2029		1,310		1,500
Commonwealth of Massachusetts, Build America Project, RB
5.731%, 06/01/2040		1,160		1,443
Commonwealth of Pennsylvania, Build America Project, Ser B, GO
5.450%, 02/15/2030		4,535		5,340
Dallas, Convention Center Hotel Development, Build America Project, RB
7.088%, 01/01/2042		600		758
Dallas, Independent School District, Build America Project, GO, PSF-GTD Callable 02/15/21 @ 100
6.450%, 02/15/2035		3,415		3,978
Florida’s Turnpike Enterprise, Build America Project, RB Callable 07/01/19 @ 100
6.800%, 07/01/2039		580		656
Grand Parkway Transportation, Sub-Ser E, RB
5.184%, 10/01/2042		7,045		8,148
Illinois, Finance Authority, RB
4.000%, 06/01/2047		2,350		2,234
Indianapolis, Local Public Improvement Bond Bank, Build America Project, RB
6.116%, 01/15/2040		4,860		6,180
Las Vegas, Valley Water District, Build America Project, GO
7.013%, 06/01/2039		390		437


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Los Angeles, Unified School District, Build America Project, GO
5.750%, 07/01/2034	$	5,510	$	6,723
Los Angeles, Community College District, Build America Project, GO
6.750%, 08/01/2049		1,990		2,852
Los Angeles, Community College District, Ser D, GO
6.680%, 08/01/2036		2,965		3,928
Los Angeles, Department of Water & Power, Build America Project, RB
6.574%, 07/01/2045		1,225		1,700
6.008%, 07/01/2039		5,000		6,169
Los Angeles, Unified School District, Build America Project, GO
6.758%, 07/01/2034		3,080		4,135
Metropolitan New York, Transportation Authority, Build America Project, RB
6.814%, 11/15/2040		710		963
Michigan State University, Build America Project, Ser B, RB Callable 02/15/30 @ 100
6.173%, 02/15/2050		3,300		3,817
Missouri, Joint Municipal Electric Utility Commission, Build America Project, RB
6.890%, 01/01/2042		600		736
Municipal Electric Authority of Georgia, Build America Project, RB
6.637%, 04/01/2057		3,511		4,255
New Jersey State, Turnpike Authority, Build America Project, RB
7.414%, 01/01/2040		60		87
7.102%, 01/01/2041		2,650		3,719
New York City, Municipal Water Finance Authority, Build America Project, RB Callable 06/15/20 @ 100
6.491%, 06/15/2042		6,630		7,470
New York City, Municipal Water Finance Authority, Build America Project, RB
5.724%, 06/15/2042		1,320		1,655
5.440%, 06/15/2043		3,260		3,944
New York City, Municipal Water Finance Authority, RB Callable 12/15/20 @ 100
5.375%, 06/15/2043		600		683


196		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
New York City, Municipal Water Finance Authority, Ser GG, RB Callable 06/15/21 @ 100
5.000%, 06/15/2043	$	710	$	770
New York City, Transitional Finance Authority, Build America Project, RB
5.572%, 11/01/2038		2,195		2,663
New York City, Transitional Finance Authority, Future Tax Secured Revenue, Build America Project, RB
5.767%, 08/01/2036		4,150		5,060
5.508%, 08/01/2037		580		699
New York State, Dormitory Authority, Build America Project, RB
5.500%, 03/15/2030		3,295		3,898
5.289%, 03/15/2033		1,550		1,803
North Texas, Tollway Authority, Build America Project, RB
6.718%, 01/01/2049		4,856		6,685
Ohio State University, Build America Project, Ser A, RB
4.800%, 06/01/2111		115		120
Ohio State, Water Development Authority, RB
4.879%, 12/01/2034		3,925		4,296
Port Authority of New York & New Jersey, RB
4.926%, 10/01/2051		725		808
4.458%, 10/01/2062		6,820		6,852
Regents of the University of California, Medical Center Pooled Revenue, Build America Project, Ser H, RB
6.548%, 05/15/2048		1,600		2,096
San Diego County, Water Authority, Build America Project, RB
6.138%, 05/01/2049		2,785		3,663
Santa Clara Valley, Transportation Authority, Build America Project, RB
5.876%, 04/01/2032		2,580		3,087
State of California, Build America Project, GO
7.625%, 03/01/2040		4,440		6,473
7.600%, 11/01/2040		580		861
7.550%, 04/01/2039		7,405		10,864
7.500%, 04/01/2034		7,900		11,209
7.350%, 11/01/2039		5,330		7,503
7.300%, 10/01/2039		2,700		3,775


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
State of Illinois, Build America Project, GO
7.350%, 07/01/2035	$	745	$	904
7.100%, 07/01/2035		1,890		2,204
6.725%, 04/01/2035		380		443
6.630%, 02/01/2035		3,475		3,978
State of Illinois, GO
5.100%, 06/01/2033		8,450		8,551
State of New York, Build America Project, RB
5.770%, 03/15/2039		12,820		15,452
State of Oregon, GO
5.892%, 06/01/2027		3,750		4,621
State of Texas, Build America Project, GO
5.517%, 04/01/2039		2,090		2,613
Texas, Transportation Commission State Highway Fund, Build America Project, Ser B, RB
5.178%, 04/01/2030		4,125		4,894
Triborough Bridge & Tunnel Authority, Build America Project, RB
5.450%, 11/15/2032		3,300		3,713
University of California, Ser AD, RB
4.858%, 05/15/2112		13,775		13,891
University of Texas, Permanent University Fund, Build America Project, RB
5.262%, 07/01/2039		1,505		1,814

Total Municipal Bonds (Cost $235,037) ($ Thousands)				262,471


U.S. GOVERNMENT AGENCY OBLIGATIONS — 3.6%
FFCB
5.750%, 05/11/2026		6,525		8,176
FHLB
5.625%, 06/11/2021		960		1,175
FHLMC
6.750%, 03/15/2031		4,845		6,965
6.250%, 07/15/2032		6,735		9,319
3.511%, 12/17/2029 (B)		8,300		4,640
FICO STRIPS, PO
0.000%, 12/27/2018 to 09/26/2019 (B)		16,575		15,072
FNMA
7.250%, 05/15/2030		3,565		5,315
3.500%, 03/07/2033		2,529		2,368
3.000%, 11/26/2032 to 05/23/2033		4,596		4,082
Residual Funding STRIPS
3.500%, 04/15/2030		14,210		8,355
1.777%, 07/15/2020		1,706		1,498


SEI Institutional Investments Trust / Annual Report / May 31, 2014			197

SCHEDULE OF INVESTMENTS

Long Duration Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)			Market Value ($ Thousands)
Tennessee Valley Authority
7.125%, 05/01/2030	$	11,165		$	15,853
5.880%, 04/01/2036		13,625			17,571
5.500%, 06/15/2038		465			579
5.375%, 04/01/2056		12,593			15,287
5.250%, 09/15/2039		9,480			11,443
4.875%, 01/15/2048		635			714
4.625%, 09/15/2060		7,645			8,072
3.500%, 12/15/2042		5,480			5,022
Tennessee Valley Authority STRIPS, PO
0.000%, 01/15/2038		3,700			1,366

Total U.S. Government Agency Obligations (Cost $143,399) ($ Thousands)					142,872


MORTGAGE-BACKED SECURITIES — 1.6%

Agency Mortgage-Backed Obligations — 1.2%
FHLMC CMO, Ser 2004-2733, Cl ME
5.000%, 01/15/2034		366			405
FHLMC CMO, Ser 2004-2748, Cl ZT
5.500%, 02/15/2024		662			706
FHLMC CMO, Ser 2010-3756, Cl PZ
4.000%, 11/15/2040		5,750			5,811
FHLMC CMO, Ser 2013-4150, Cl JZ
3.000%, 01/15/2043		2,914			2,511
FHLMC CMO, Ser 3770, Cl ZB
5.000%, 12/15/2040		3,450			3,593
FHLMC Multifamily Structured Pass-Through Certificates, Ser K027, Cl A2
2.637%, 01/25/2023		4,380			4,337
FHLMC Multifamily Structured Pass-Through Certificates, Ser K034, Cl A2			��
3.531%, 07/25/2023 (C)		5,385			5,666
FNMA
3.841%, 09/01/2020		3,783			4,095
3.762%, 12/01/2020		3,815			4,126
3.665%, 10/01/2020		3,848			4,151
3.583%, 09/01/2020		1,949			2,085
FNMA CMO, Ser 2004-12, Cl ZX
6.000%, 03/25/2034		886			1,079
FNMA CMO, Ser 2004-80, Cl XZ
5.000%, 11/25/2034		499			520
FNMA CMO, Ser 2007-68, Cl SC, IO
6.550%, 07/25/2037 (C)		106			17


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GNMA ARM
1.625%, 06/20/2032 (C)	$	109	$	113
GNMA CMO, Ser 2004-93, Cl PC
5.000%, 04/16/2034		173		185
GNMA CMO, Ser 2009-8, Cl PS, IO
6.149%, 08/16/2038 (C)		226		34
GNMA CMO, Ser 2010-4, Cl NS, IO
6.239%, 01/16/2040 (C)		240		38
GNMA CMO, Ser 2011-70, Cl BO, PO
0.000%, 05/20/2041 (B)		10,425		7,331

				46,803


Non-Agency Mortgage-Backed Obligations — 0.4%
Bayview Commercial Asset Trust, Ser 2004-2, Cl A
0.580%, 08/25/2034 (A) (C)		1,630		1,526
Bayview Commercial Asset Trust, Ser 2007-3, Cl A1
0.390%, 07/25/2037 (A) (C)		1,402		1,239
Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2
1.226%, 08/25/2035 (C)		21		14
Countrywide Home Loans, Ser 2005-2, Cl 1A1
0.470%, 03/25/2035 (C)		148		113
DSLA Mortgage Loan Trust, Ser 2005-AR2, Cl 2A1A
0.362%, 03/19/2045 (C)		205		189
GS Mortgage Securities II, Ser 2011-GC5, Cl A4
3.707%, 08/10/2044		4,540		4,799
Harborview Mortgage Loan Trust, Ser 2004-8, Cl 2A4A
0.952%, 11/19/2034 (C)		283		237
Harborview Mortgage Loan Trust, Ser 2005-11, Cl 2A1A
0.462%, 08/19/2045 (C)		385		355
Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl A1
0.930%, 12/25/2034 (C)		130		109
Indymac Index Mortgage Loan Trust, Ser 2004-AR5, Cl 2A1B
0.550%, 08/25/2034 (C)		73		66
Indymac Index Mortgage Loan Trust, Ser 2004-AR6, Cl 6A1
2.582%, 10/25/2034 (C)		102		102
Indymac Index Mortgage Loan Trust, Ser 2004-AR7, Cl A2
1.010%, 09/25/2034 (C)		31		27


198		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Indymac Index Mortgage Loan Trust, Ser 2005-AR18, Cl 2A1A
0.460%, 10/25/2036 (C)	$	17	$	13
Morgan Stanley Capital I, Ser 2011-C3, Cl A4
4.118%, 07/15/2049		4,410		4,756
RAMP Trust, Ser 2004-SL1, Cl A7
7.000%, 11/25/2031		31		33
Residential Asset Mortgage Products, Ser 2004-SL3, Cl A2
6.500%, 12/25/2031		43		44
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1
2.595%, 12/25/2034 (C)		70		71
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR2, Cl 2A21
0.480%, 01/25/2045 (C)		187		184
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR8, Cl 1A3
2.618%, 04/25/2036 (C)		196		196
WFRBS Commercial Mortgage Trust, Ser 2011-C5, Cl A4
3.667%, 11/15/2044		3,590		3,776

				17,849

Total Mortgage-Backed Securities (Cost $59,562) ($ Thousands)				64,652


SOVEREIGN DEBT — 1.3%
Banco Nacional de Desenvolvimento Economicoe Social
5.500%, 07/12/2020 (A)		1,300		1,412
Federal Republic of Brazil
5.625%, 01/07/2041		3,935		4,250
4.250%, 01/07/2025		2,280		2,326
Inter-American Development Bank
4.375%, 01/24/2044		4,075		4,403
International Bank for Reconstruction & Development MTN
3.602%, 10/31/2030 (B)		5,850		3,026
Israel Government AID Bond
5.500%, 09/18/2033		1,400		1,760
2.926%, 08/15/2026 (B)		2,585		1,712
2.635%, 05/15/2024 (B)		1,545		1,135


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Province of Quebec Canada MTN
6.350%, 01/30/2026	$	2,925	$	3,694
Republic of Colombia
5.625%, 02/26/2044		3,515		3,959
4.000%, 02/26/2024		840		870
Republic of Panama
4.300%, 04/29/2053		915		810
United Mexican States MTN
6.050%, 01/11/2040		470		569
5.950%, 03/19/2019		1,300		1,515
5.750%, 10/12/2110		664		710
5.550%, 01/21/2045		7,310		8,352
4.750%, 03/08/2044		9,915		10,113
4.000%, 10/02/2023		2,652		2,791

Total Sovereign Debt (Cost $49,794) ($ Thousands)				53,407


ASSET-BACKED SECURITIES — 0.6%

Mortgage Related Securities — 0.0%
Conseco Financial, Ser 1998-2, Cl A5
6.240%, 12/01/2028 (C)		78		81


Other Asset-Backed Securities — 0.6%
Beacon Container Finance, Ser 2012-1A, Cl A
3.720%, 09/20/2027 (A)		1,881		1,920
CAL Funding II, Ser 2012-1A, Cl A
3.470%, 10/25/2027 (A)		2,735		2,755
Citicorp Residential Mortgage Securities, Ser 2007-1, Cl A5
6.046%, 03/25/2037		180		165
Cronos Containers Program, Ser 2012-1A, Cl A
4.210%, 05/18/2027 (A)		1,900		1,902
Cronos Containers Program, Ser 2012-2A, Cl A
3.810%, 09/18/2027 (A)		833		843
Education Loan Asset-Backed Trust I, Ser 2013-1, Cl A2
0.950%, 04/26/2032 (A) (C)		2,765		2,763
JGWPT XXX LLC, Ser 2013-3A, Cl A
4.080%, 01/17/2073 (A)		1,564		1,630
Nelnet Student Loan Trust, Ser 2014-2A, Cl A3
1.000%, 07/27/2037 (A) (C)		2,745		2,745
SLM Student Loan Trust, Ser 2011-1, Cl A2
1.300%, 10/25/2034 (C)		2,620		2,694


SEI Institutional Investments Trust / Annual Report / May 31, 2014			199

SCHEDULE OF INVESTMENTS

Long Duration Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Trip Rail Master Funding, Ser 2011-1A, Cl A1A
4.370%, 07/15/2041 (A)	$	1,785	$	1,891
Triton Container Finance, Ser 2007-1A
0.290%, 02/26/2019 (A) (C)		328		327
Triton Container Finance, Ser 2012-1A, Cl A
4.210%, 05/14/2027 (A)		2,560		2,562

				22,197

Total Asset-Backed Securities (Cost $21,909) ($ Thousands)				22,278


U.S. TREASURY OBLIGATIONS — 22.0%
U.S. Treasury Bills (B) (E)
0.025%, 08/14/2014		1,581		1,581
U.S. Treasury Bonds
6.250%, 05/15/2030		17,130		24,483
6.125%, 08/15/2029		9,473		13,301
5.375%, 02/15/2031		61,769		81,583
5.250%, 02/15/2029		8,535		11,009
4.500%, 02/15/2036		25,913		31,638
4.500%, 08/15/2039		54,410		66,686
4.250%, 05/15/2039		10,200		12,044
3.875%, 08/15/2040		29,835		33,266
3.750%, 11/15/2043		19,040		20,658
3.625%, 08/15/2043		54,256		57,579
3.625%, 02/15/2044		226,485		240,216
3.125%, 11/15/2041		14,415		14,034
3.125%, 02/15/2043 (E)		46,591		45,070
2.750%, 08/15/2042		5,780		5,192
2.750%, 11/15/2042		41,040		36,801
U.S. Treasury Inflation-Protected Securities
1.375%, 02/15/2044		11,594		12,678


Description	Face Amount ($ Thousands)/ Shares		Market Value ($ Thousands)
U.S. Treasury Notes
2.500%, 05/15/2024	$	5,910	$	5,932
1.625%, 04/30/2019	��	10,085		10,141
U.S. Treasury STRIPS (B)
3.912%, 05/15/2043		152,390		136,289
3.287%, 05/15/2039		500		215
3.042%, 05/15/2030		26,900		16,417
2.680%, 11/15/2027		8,300		5,624

Total U.S. Treasury Obligations (Cost $844,209) ($ Thousands)				882,437


CASH EQUIVALENT — 0.5%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%*†		21,523,458		21,523

Total Cash Equivalent (Cost $21,523) ($ Thousands)				21,523

Total Investments — 99.2% (Cost $3,713,863) ($ Thousands)			$	3,988,889

The open futures contracts held by the Fund at May 31, 2014, are as follows:


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 10-Year Treasury Note		(321	)		Sep-2014	$	(173	)
U.S. 2-Year Treasury Note		(1,889	)		Sep-2014		(149	)
U.S. 5-Year Treasury Note		370			Sep-2014		62
U.S. Long Treasury Bond		371			Sep-2014		(117	)
U.S. Ultra Long Treasury Bond		519			Sep-2014		404

						$	27

A list of the open centrally cleared swap agreements held by the Fund at May 31, 2014, is as follows:

Interest Rate Swaps

Counterparty

Fund Pays

Fund Receives

Termination Date

Notional Amount
($ Thousands)

Net Unrealized
Depreciation
($ Thousands)

Citigroup

3.68%

3 Month USD - LIBOR

11/15/43

3,570

(273

)

A list of the open OTC swap agreements held by the Fund at May 31, 2014, is as follows:


Interest Rate Swaps
Counterparty	Fund Pays	Fund Receives	Termination Date	Notional Amount ($ Thousands)		Net Unrealized Appreciation ($ Thousands)
Barclays Bank PLC	2.48%	3 Month USD - LIBOR	11/15/27	$	2,605	$	12
Barclays Bank PLC	2.42	3 Month USD - LIBOR	11/15/27		2,630		36
Citigroup	2.71	3 Month USD - LIBOR	08/15/42		5,255		537

						$	585


200		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Credit Default Swaps

Counterparty

Reference Entity/Obligation

Buy/Sell Protection

(Pays)/
Receives Rate

Termination Date

Notional Amount
($ Thousands)

Net Unrealized
Depreciation
($ Thousands)

JPMorgan Chase Bank

Goldman Sachs Group, Inc.

Buy

1.00

09/20/16

5,000

(245

)

For the year ended May 31, 2014, the total amount of all open swap agreements, as presented in the table above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on a Net Assets of $4,021,437 ($ Thousands).

The rate reported is the 7-day effective yield as of May 31, 2014.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security (see Note 6).

(A)

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

(B)

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

(C)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of May 31, 2014. The date reported on the Schedule of Investments is the final maturity date.

(D)

Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on May 31, 2014. The coupon on a step bond changes on a specified date.

(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

PLC — Public Limited Company

OTC — Over the Counter

PO — Principal Only

PSF-GTD — Public Schools Fund Guarantee

RB — Revenue Bond

Ser — Series

STRIPS — Separately Traded Registered Interest and Principal Securities

The following is a list of the level of inputs used as of May 31, 2014, 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	$	—	$	2,539,249	$	—	$	2,539,249
Municipal Bonds		—		262,471		—		262,471
U.S. Government Agency Obligations		—		142,872		—		142,872
Mortgage-Backed Securities		—		64,652		—		64,652
Sovereign Debt		—		53,407		—		53,407
Asset-Backed Securities		—		22,278		—		22,278
U.S. Treasury Obligations		—		882,437		—		882,437
Cash Equivalent		21,523		—		—		21,523

Total Investments in Securities	$	21,523	$	3,967,366	$	—	$	3,988,889


Other Financial Instruments	Level 1			Level 2			Level 3		Total
Futures Contracts*
Unrealized Appreciation	$	466		$	—		$	—	$	466
Unrealized Depreciation		(439	)		—			—		(439	)
Centrally Cleared Swaps
Interest Rate Swaps*
Unrealized Depreciation		—			(273	)		—		(273	)
OTC Swaps
Interest Rate Swaps*
Unrealized Appreciation		—			585			—		585
Credit Default Swaps
Unrealized Depreciation		—			(245	)		—		(245	)

Total Other Financial Instruments	$	27		$	67		$	—	$	94

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

For the year ended May 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

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


SEI Institutional Investments Trust / Annual Report / May 31, 2014			201

SCHEDULE OF INVESTMENTS

Long Duration Corporate Bond Fund

May 31, 2014

LOGO


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

CORPORATE OBLIGATIONS — 92.7%

Consumer Discretionary — 10.3%
21st Century Fox America
8.150%, 10/17/2036	$	1,281	$	1,813
7.750%, 12/01/2045		500		724
7.430%, 10/01/2026		1,450		1,858
7.125%, 04/08/2028		400		500
6.900%, 08/15/2039		1,565		2,055
6.750%, 01/09/2038		3,825		4,732
6.650%, 11/15/2037		6,735		8,608
6.550%, 03/15/2033		1,355		1,669
6.400%, 12/15/2035		1,100		1,377
6.200%, 12/15/2034		4,474		5,457
6.150%, 02/15/2041		540		659
5.400%, 10/01/2043		3,655		4,102
AutoZone
3.125%, 07/15/2023		490		477
CBS
5.900%, 10/15/2040		40		46
Comcast
7.050%, 03/15/2033		970		1,308
6.950%, 08/15/2037		4,215		5,679
6.550%, 07/01/2039		855		1,107
6.450%, 03/15/2037		4,030		5,147
6.400%, 05/15/2038		9,210		11,706
4.750%, 03/01/2044		4,105		4,333
4.650%, 07/15/2042		7,590		7,878
4.250%, 01/15/2033		2,930		3,016
2.850%, 01/15/2023		2,950		2,924
Comcast Cable Communications Holdings
9.455%, 11/15/2022		620		902
Cox Communications
8.375%, 03/01/2039 (A)		50		70
6.950%, 06/01/2038 (A)		700		850
5.450%, 12/15/2014		8		8
4.700%, 12/15/2042 (A)		3,350		3,271


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
4.500%, 06/30/2043 (A)	$	220	$	210
3.250%, 12/15/2022 (A)		2,531		2,489
CVS Caremark
6.250%, 06/01/2027		2,400		3,005
6.125%, 09/15/2039		3,690		4,640
5.750%, 05/15/2041		2,100		2,525
5.300%, 12/05/2043		2,079		2,375
CVS Pass-Through Trust
8.353%, 07/10/2031 (A)		4,342		5,752
Darden Restaurants
6.800%, 10/15/2037		650		764
3.350%, 11/01/2022		620		591
DIRECTV Holdings LLC
6.375%, 03/01/2041		1,495		1,806
6.350%, 03/15/2040		5,606		6,674
5.150%, 03/15/2042		4,795		5,056
4.450%, 04/01/2024		725		771
Discovery Communications LLC
4.950%, 05/15/2042		460		468
3.300%, 05/15/2022		215		215
Ford Motor
7.450%, 07/16/2031		3,159		4,211
7.400%, 11/01/2046		3,460		4,699
4.750%, 01/15/2043		2,110		2,142
Grupo Televisa
6.625%, 01/15/2040		20		25
Home Depot
4.875%, 02/15/2044		365		399
3.750%, 02/15/2024		355		372
Johnson Controls
5.700%, 03/01/2041		55		65
Lowe’s
7.110%, 05/15/2037		3,092		4,146
5.800%, 10/15/2036		1,090		1,321
5.125%, 11/15/2041		2,835		3,197
5.000%, 09/15/2043		1,050		1,155
4.650%, 04/15/2042		75		79
Macy’s Retail Holdings
7.450%, 07/15/2017		40		47
McDonald’s MTN
6.300%, 03/01/2038		1,021		1,331
4.875%, 07/15/2040		710		789
3.700%, 02/15/2042		805		739
NBCUniversal Media LLC
6.400%, 04/30/2040		50		64
5.950%, 04/01/2041		3,250		3,966
4.450%, 01/15/2043		450		453
4.375%, 04/01/2021		65		72
2.875%, 01/15/2023		225		224
QVC
5.950%, 03/15/2043		2,250		2,377
Target
7.000%, 01/15/2038		2,179		2,957
6.650%, 08/01/2028		355		439


202		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
6.500%, 10/15/2037	$	1,085	$	1,400
4.000%, 07/01/2042		2,060		1,933
TCI Communications
7.875%, 02/15/2026		970		1,354
Thomson Reuters
5.650%, 11/23/2043		1,540		1,695
4.500%, 05/23/2043		290		273
Time Warner
7.700%, 05/01/2032		3,772		5,261
7.625%, 04/15/2031		8,240		11,437
6.250%, 03/29/2041		1,566		1,914
6.200%, 03/15/2040		500		604
6.100%, 07/15/2040		1,130		1,351
5.375%, 10/15/2041		11,425		12,599
5.350%, 12/15/2043		4,500		4,962
Time Warner Cable
7.300%, 07/01/2038		1,420		1,910
6.750%, 06/15/2039		1,990		2,568
6.550%, 05/01/2037		5,055		6,290
5.875%, 11/15/2040		4,405		5,145
5.500%, 09/01/2041		8,110		8,976
4.500%, 09/15/2042		2,470		2,415
Time Warner Entertainment
8.375%, 07/15/2033		1,440		2,109
Viacom
5.850%, 09/01/2043		7,735		8,857
4.875%, 06/15/2043		190		191
4.375%, 03/15/2043		5,291		4,908
Walgreen
4.400%, 09/15/2042		30		29
Wal-Mart Stores
7.550%, 02/15/2030		1,100		1,592
6.500%, 08/15/2037		4,434		5,878
5.625%, 04/01/2040		5,750		6,969
5.625%, 04/15/2041		2,870		3,492
5.250%, 09/01/2035		800		929
5.000%, 10/25/2040		13,420		14,978
4.750%, 10/02/2043		5,330		5,786
4.300%, 04/22/2044		2,020		2,046
4.000%, 04/11/2043		2,150		2,077
Walt Disney MTN
4.125%, 12/01/2041		40		40
4.125%, 06/01/2044		3,030		3,010
Yum! Brands
6.875%, 11/15/2037		372		476

				290,340


Consumer Staples — 4.8%
Ahold Finance USA
6.875%, 05/01/2029		935		1,185
Altria Group
10.200%, 02/06/2039		2,000		3,371
9.950%, 11/10/2038		1,093		1,804
5.375%, 01/31/2044		6,570		7,138


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
4.250%, 08/09/2042	$	420	$	388
2.850%, 08/09/2022		440		425
Anheuser-Busch
6.450%, 09/01/2037		2,300		3,045
Anheuser-Busch InBev Finance
4.625%, 02/01/2044		5,200		5,533
Anheuser-Busch InBev Worldwide
8.200%, 01/15/2039		4,045		6,314
6.375%, 01/15/2040		210		278
3.750%, 07/15/2042		10,379		9,640
Autopistas Metropolitanas de Puerto Rico
6.750%, 06/30/2035 (A)		1,000		886
Bestfoods
7.250%, 12/15/2026		170		233
Bowdoin College
4.693%, 07/01/2112		5,155		4,917
California Institute of Technology
4.700%, 11/01/2111		1,000		979
Cargill
4.100%, 11/01/2042 (A)		690		667
Coca-Cola Femsa
5.250%, 11/26/2043		2,950		3,323
ConAgra Foods
8.250%, 09/15/2030		1,040		1,456
7.000%, 10/01/2028		355		450
6.625%, 08/15/2039		2,600		3,257
4.650%, 01/25/2043		3,916		3,902
Diageo Capital
5.875%, 09/30/2036		485		597
3.875%, 04/29/2043		5,130		4,825
Diageo Investment
4.250%, 05/11/2042		1,425		1,415
Fomento Economico Mexicano
4.375%, 05/10/2043		1,280		1,195
General Mills
5.400%, 06/15/2040		505		575
4.150%, 02/15/2043		1,855		1,814
Heineken
4.000%, 10/01/2042 (A)		1,420		1,328
Kimberly-Clark
5.300%, 03/01/2041		555		658
Kraft Foods Group
5.000%, 06/04/2042		4,750		5,061
Land O’ Lakes
6.000%, 11/15/2022 (A)		880		955
Lorillard Tobacco
8.125%, 05/01/2040		60		81
6.875%, 05/01/2020		1,130		1,361
3.750%, 05/20/2023		1,080		1,066


SEI Institutional Investments Trust / Annual Report / May 31, 2014			203

SCHEDULE OF INVESTMENTS

Long Duration Corporate Bond Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Massachusetts Institute of Technology
4.678%, 07/01/2114	$	3,280	$	3,530
Mondelez International
6.500%, 02/09/2040		1,307		1,662
4.000%, 02/01/2024		8,605		8,907
Northwestern University
4.643%, 12/01/2044		1,200		1,306
Pepsi Bottling Group
7.000%, 03/01/2029		1,175		1,576
PepsiCo
4.875%, 11/01/2040		1,130		1,231
4.000%, 03/05/2042		3,420		3,307
3.600%, 08/13/2042		3,340		2,979
3.000%, 08/25/2021		16		16
Pernod Ricard
5.500%, 01/15/2042 (A)		1,175		1,325
Philip Morris International
6.375%, 05/16/2038		420		537
4.500%, 03/20/2042		7,205		7,363
4.125%, 03/04/2043		5,830		5,641
3.875%, 08/21/2042		1,780		1,651
3.600%, 11/15/2023		1,225		1,261
Reckitt Benckiser Treasury Services
3.625%, 09/21/2023 (A)		460		471
Reynolds American
6.150%, 09/15/2043		20		23
4.750%, 11/01/2042		25		24
SABMiller Holdings
4.950%, 01/15/2042 (A)		8,045		8,758
Tufts University
5.017%, 04/15/2112		2,314		2,391
Unilever Capital
5.900%, 11/15/2032		1,325		1,735

				135,816


Energy — 13.3%
Alta Wind Holdings
7.000%, 06/30/2035 (A)		1,872		2,083
Anadarko Finance
7.500%, 05/01/2031		5,545		7,537
Anadarko Petroleum
6.950%, 06/15/2019		190		233
6.450%, 09/15/2036		6,590		8,296
4.507%, 10/10/2036 (B)		13,000		4,947
Apache
6.900%, 09/15/2018		10		12
5.100%, 09/01/2040		4,065		4,469
4.750%, 04/15/2043		3,695		3,871
4.250%, 01/15/2044		8,350		8,194
Baker Hughes
5.125%, 09/15/2040		65		74


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
BG Energy Capital
5.125%, 10/15/2041 (A)	$	5,540	$	6,191
BP Capital Markets
3.994%, 09/26/2023		2,385		2,513
3.245%, 05/06/2022		633		641
3.125%, 10/01/2015		320		332
2.750%, 05/10/2023		1,875		1,803
Buckeye Partners
5.850%, 11/15/2043		70		78
Cameron International
7.000%, 07/15/2038		40		52
Canadian Natural Resources
6.750%, 02/01/2039		2,660		3,525
6.450%, 06/30/2033		155		192
6.250%, 03/15/2038		1,375		1,719
Canadian Oil Sands
6.000%, 04/01/2042 (A)		985		1,151
Cenovus Energy
6.750%, 11/15/2039		1,395		1,819
5.700%, 10/15/2019		180		209
5.200%, 09/15/2043		1,725		1,896
4.450%, 09/15/2042		700		697
CNOOC Finance
3.000%, 05/09/2023		1,130		1,064
CNOOC Nexen Finance 2014 ULC
4.250%, 04/30/2024		1,120		1,151
Conoco Funding
7.250%, 10/15/2031		2,030		2,878
6.950%, 04/15/2029		2,950		4,068
ConocoPhillips
6.500%, 02/01/2039		8,713		11,783
5.900%, 05/15/2038		2,400		3,054
5.750%, 02/01/2019		335		393
ConocoPhillips Canada Funding I
5.950%, 10/15/2036		1,040		1,321
Continental Resources
4.900%, 06/01/2044		1,770		1,831
3.800%, 06/01/2024 (A)		1,530		1,552
DCP Midstream Operating
5.600%, 04/01/2044		1,460		1,614
4.950%, 04/01/2022		35		39
Devon Energy
7.950%, 04/15/2032		2,075		2,943
6.300%, 01/15/2019		50		59
5.600%, 07/15/2041		2,620		3,050
4.750%, 05/15/2042		1,940		2,000
Devon Financing
7.875%, 09/30/2031		145		204
Diamond Offshore Drilling
5.700%, 10/15/2039		4,000		4,529
4.875%, 11/01/2043		5,665		5,702


204		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
El Paso Natural Gas
8.375%, 06/15/2032	$	1,540	$	2,164
7.500%, 11/15/2026		645		831
El Paso Pipeline Partners Operating LLC
4.700%, 11/01/2042		1,355		1,254
Enbridge
4.500%, 06/10/2044		1,805		1,789
Encana
6.625%, 08/15/2037		705		889
5.150%, 11/15/2041		2,525		2,727
Energy Transfer Partners
8.250%, 11/15/2029		750		1,052
6.500%, 02/01/2042		45		53
6.050%, 06/01/2041		1,880		2,118
5.950%, 10/01/2043		7,255		8,094
5.150%, 02/01/2043		5,894		6,006
Eni
5.700%, 10/01/2040 (A)		2,120		2,372
EnLink Midstream Partners
5.600%, 04/01/2044		1,000		1,114
Ensco
4.700%, 03/15/2021		40		44
Enterprise Products Operating LLC
6.650%, 10/15/2034		3,000		3,815
6.450%, 09/01/2040		110		139
5.950%, 02/01/2041		1,085		1,301
5.750%, 03/01/2035		185		213
5.700%, 02/15/2042		7,450		8,657
5.100%, 02/15/2045		2,600		2,787
4.850%, 08/15/2042		2,000		2,064
4.850%, 03/15/2044		310		323
4.450%, 02/15/2043		1,720		1,686
Gulf South Pipeline
4.000%, 06/15/2022		4,400		4,451
Halliburton
7.450%, 09/15/2039		145		211
Hess
6.000%, 01/15/2040		45		54
5.600%, 02/15/2041		1,490		1,712
Husky Energy
6.800%, 09/15/2037		1,145		1,524
Kinder Morgan Energy Partners
6.950%, 01/15/2038		1,790		2,215
6.375%, 03/01/2041		4,200		4,906
5.625%, 09/01/2041		1,425		1,514
5.500%, 03/01/2044		5,535		5,866
5.000%, 08/15/2042		1,595		1,578
LASMO
7.300%, 11/15/2027		2,705		3,641
Marathon Oil
6.600%, 10/01/2037		2,410		3,129
2.800%, 11/01/2022		1,225		1,188


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Marathon Petroleum
6.500%, 03/01/2041	$	2,133	$	2,686
Motiva Enterprises
6.850%, 01/15/2040 (A)		4,675		6,211
Nexen Energy ULC
7.500%, 07/30/2039		3,260		4,360
Noble Energy
6.000%, 03/01/2041		65		79
5.250%, 11/15/2043		5,360		5,915
4.150%, 12/15/2021		855		920
Noble Holding International
3.950%, 03/15/2022		11		11
ONEOk Partners
6.850%, 10/15/2037		135		171
ONEOK Partners
6.125%, 02/01/2041		80		94
Panhandle Eastern Pipeline
8.125%, 06/01/2019		1,000		1,223
Petrobras Global Finance BV
7.250%, 03/17/2044		2,250		2,482
6.250%, 03/17/2024		975		1,037
5.625%, 05/20/2043		3,090		2,775
4.375%, 05/20/2023		315		301
Petrobras International Finance
6.750%, 01/27/2041		390		406
5.750%, 01/20/2020		610		650
Petro-Canada
7.875%, 06/15/2026		20		27
6.800%, 05/15/2038		1,745		2,326
Petroleos Mexicanos
6.500%, 06/02/2041		170		199
6.375%, 01/23/2045 (A)		1,920		2,210
5.500%, 06/27/2044		835		861
Phillips 66
5.875%, 05/01/2042		5,662		6,889
Plains All American Pipeline
5.150%, 06/01/2042		450		490
3.850%, 10/15/2023		7,263		7,456
Pride International
7.875%, 08/15/2040		4,230		6,255
Ruby Pipeline
6.000%, 04/01/2022 (A)		2,000		2,261
Schlumberger Investment
3.650%, 12/01/2023		4,970		5,174
Shell International Finance BV
6.375%, 12/15/2038		5,256		6,988
5.500%, 03/25/2040		2,500		2,994
4.550%, 08/12/2043		2,500		2,649
3.400%, 08/12/2023		1,250		1,280
Southern Natural Gas
8.000%, 03/01/2032		220		300
7.350%, 02/15/2031		2,960		3,759
Spectra Energy Capital
6.750%, 02/15/2032		800		918
3.300%, 03/15/2023		3,010		2,882


SEI Institutional Investments Trust / Annual Report / May 31, 2014			205

SCHEDULE OF INVESTMENTS

Long Duration Corporate Bond Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Statoil
6.500%, 12/01/2028 (A)	$	2,405	$	3,106
5.250%, 04/15/2019		685		789
4.800%, 11/08/2043		1,534		1,696
3.950%, 05/15/2043		3,375		3,260
3.700%, 03/01/2024		850		888
2.450%, 01/17/2023		1,825		1,760
Suncor Energy
7.150%, 02/01/2032		635		867
6.850%, 06/01/2039		3,215		4,334
6.500%, 06/15/2038		3,565		4,591
5.950%, 12/01/2034		1,385		1,666
Talisman Energy
6.250%, 02/01/2038		2,310		2,668
5.500%, 05/15/2042		3,170		3,416
Tennessee Gas Pipeline
8.375%, 06/15/2032		3,375		4,716
7.000%, 10/15/2028		7,555		9,576
Texas Eastern Transmission
7.000%, 07/15/2032		985		1,289
2.800%, 10/15/2022 (A)		2,050		1,940
Total Capital International
3.700%, 01/15/2024		2,855		2,963
2.700%, 01/25/2023		885		861
TransCanada PipeLines
7.625%, 01/15/2039		2,270		3,287
7.250%, 08/15/2038		1,490		2,078
6.100%, 06/01/2040		3,435		4,283
4.625%, 03/01/2034		9,763		10,349
Transcontinental Gas PipeLine
7.250%, 12/01/2026		900		1,154
5.400%, 08/15/2041		1,480		1,687
4.450%, 08/01/2042		3,345		3,370
Transocean
7.350%, 12/15/2041		3,405		4,235
Valero Energy
10.500%, 03/15/2039		3,834		6,477
6.625%, 06/15/2037		90		112
Weatherford International
9.875%, 03/01/2039		1,265		1,991
Weatherford International LLC
6.800%, 06/15/2037		45		55
Williams
7.750%, 06/15/2031		2,068		2,457
Williams Partners
6.300%, 04/15/2040		50		60
5.800%, 11/15/2043		1,300		1,481
5.400%, 03/04/2044		1,600		1,716
4.000%, 11/15/2021		375		392

				376,059


Financials — 23.4%
ACE INA Holdings
6.700%, 05/15/2036		3,382		4,555


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Aflac
6.900%, 12/17/2039	$	4,280	$	5,787
AIG SunAmerica Global Financing X
6.900%, 03/15/2032 (A)		6,640		8,877
Alexandria Real Estate Equities‡
4.600%, 04/01/2022		1,075		1,144
3.900%, 06/15/2023		400		399
American Express
4.050%, 12/03/2042		4,244		4,069
American International Group
4.875%, 06/01/2022		360		403
American Tower Trust I‡
3.070%, 03/15/2023 (A)		1,725		1,695
Ameriprise Financial
4.000%, 10/15/2023		1,295		1,369
ARC Properties Operating Partnership‡
4.600%, 02/06/2024 (A)		1,550		1,597
Arch Capital Group US
5.144%, 11/01/2043		2,915		3,168
Assurant
6.750%, 02/15/2034		2,645		3,127
Bank of America MTN
7.750%, 05/14/2038		1,275		1,751
6.500%, 07/15/2018		265		311
6.110%, 01/29/2037		3,650		4,215
6.000%, 10/15/2036		9,060		11,046
5.875%, 02/07/2042		500		595
5.700%, 01/24/2022		400		464
5.000%, 05/13/2021		4,620		5,153
5.000%, 01/21/2044		6,570		6,967
4.875%, 04/01/2044		2,895		3,017
4.100%, 07/24/2023		5,840		6,039
4.000%, 04/01/2024		1,210		1,238
3.300%, 01/11/2023		1,820		1,792
Bank of New York Mellon MTN
4.600%, 01/15/2020		50		56
Bank One Capital III
8.750%, 09/01/2030		320		436
Berkshire Hathaway
4.500%, 02/11/2043		6,734		6,895
3.400%, 01/31/2022		56		58
Berkshire Hathaway Finance
5.750%, 01/15/2040		2,455		2,960
4.400%, 05/15/2042		2,250		2,274
4.300%, 05/15/2043		2,255		2,243
2.450%, 12/15/2015		13		13
Blackstone Holdings Finance
6.250%, 08/15/2042 (A)		4,839		5,914
Blackstone Holdings Finance LLC
5.000%, 06/15/2044 (A)		1,910		1,985


206		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Boston Properties‡
4.125%, 05/15/2021	$	1,000	$	1,073
3.850%, 02/01/2023		2,700		2,797
3.800%, 02/01/2024		375		383
BPCE
5.150%, 07/21/2024 (A)		2,580		2,669
Camden Property Trust‡
4.625%, 06/15/2021		1,250		1,373
Carlyle Holdings II Finance
5.625%, 03/30/2043 (A)		8,363		9,289
CBL & Associates‡
5.250%, 12/01/2023		1,200		1,275
CDP Financial
5.600%, 11/25/2039 (A)		6,945		8,706
Chase Capital VI
0.850%, 08/01/2028 (C)		1,695		1,470
Chubb
6.500%, 05/15/2038		1,110		1,488
Cincinnati Financial
6.125%, 11/01/2034		3,553		4,089
Citigroup
8.125%, 07/15/2039		1,162		1,735
6.875%, 03/05/2038		3,511		4,619
6.875%, 02/15/2098		2,545		3,213
6.675%, 09/13/2043		4,391		5,364
6.125%, 08/25/2036		5,310		6,065
5.875%, 02/22/2033		4,994		5,512
5.875%, 05/29/2037		2,357		2,802
5.500%, 09/13/2025		950		1,050
5.300%, 05/06/2044		2,105		2,152
4.500%, 01/14/2022		390		423
3.875%, 10/25/2023		5,935		6,037
CME Group
5.300%, 09/15/2043		2,863		3,290
CNA Financial
5.875%, 08/15/2020		25		29
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA
11.000%, 12/31/2049 (A) (C)		2,000		2,683
5.800%, 09/30/2110 (A)		4,875		5,430
5.750%, 12/01/2043		3,480		3,961
5.250%, 05/24/2041		115		129
4.500%, 01/11/2021		35		39
3.875%, 02/08/2022		55		59
Crown Castle Towers
6.113%, 01/15/2020 (A)		1,682		1,952
DaimlerChrysler
8.500%, 01/18/2031		150		229
Deutsche Bank
3.700%, 05/30/2024		1,575		1,583
Deutsche Bank Financial MTN
5.375%, 03/02/2015		25		26
Devon OEI Operating
7.500%, 09/15/2027		735		971


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Discover Bank
8.700%, 11/18/2019	$	474	$	603
Discover Financial Services
3.850%, 11/21/2022		686		697
Duke Realty‡
3.875%, 10/15/2022		2,115		2,155
3.625%, 04/15/2023		405		403
ERP Operating‡
4.625%, 12/15/2021		55		61
Essex Portfolio‡
5.500%, 03/15/2017 (A)		750		834
3.875%, 05/01/2024 (A)		750		766
3.250%, 05/01/2023		4,365		4,270
Farmers Exchange Capital
7.200%, 07/15/2048 (A)		800		1,001
Farmers Exchange Capital II
6.151%, 11/01/2053 (A) (C)		6,080		6,819
Five Corners Funding Trust
4.419%, 11/15/2023 (A)		2,010		2,128
Ford Holdings
9.300%, 03/01/2030		2,255		3,334
Ford Motor Credit LLC
4.375%, 08/06/2023		1,000		1,062
2.375%, 01/16/2018		440		449
General Electric Capital MTN
6.875%, 01/10/2039		8,776		11,773
6.750%, 03/15/2032		14,520		19,183
6.150%, 08/07/2037		280		348
6.000%, 08/07/2019		1,490		1,767
5.875%, 01/14/2038		19,839		23,771
3.150%, 09/07/2022		2,305		2,332
Goldman Sachs Group
6.750%, 10/01/2037		13,265		15,916
6.250%, 02/01/2041		6,919		8,523
6.150%, 04/01/2018		970		1,116
6.125%, 02/15/2033		17,080		20,339
5.950%, 01/15/2027		3,015		3,421
5.750%, 10/01/2016		345		381
5.375%, 03/15/2020		175		198
5.250%, 07/27/2021		398		447
4.000%, 03/03/2024		5,515		5,612
3.700%, 08/01/2015		55		57
3.625%, 01/22/2023		215		215
Guardian Life Insurance of America
7.375%, 09/30/2039 (A)		1,955		2,760
Hartford Financial Services Group
6.625%, 03/30/2040		3,434		4,514
6.100%, 10/01/2041		1,800		2,249
5.950%, 10/15/2036		1,685		2,034
HBOS
6.000%, 11/01/2033 (A)		2,429		2,645


SEI Institutional Investments Trust / Annual Report / May 31, 2014			207

SCHEDULE OF INVESTMENTS

Long Duration Corporate Bond Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
HCP‡
5.375%, 02/01/2021	$	1,000	$	1,143
4.250%, 11/15/2023		13,090		13,681
3.150%, 08/01/2022		640		629
Health Care‡
6.500%, 03/15/2041		135		172
5.250%, 01/15/2022		180		202
5.125%, 03/15/2043		1,785		1,914
3.750%, 03/15/2023		5,704		5,763
Healthcare Realty Trust‡
5.750%, 01/15/2021		765		870
Healthcare Trust of America Holdings‡
3.700%, 04/15/2023		4,120		4,029
Highmark
6.125%, 05/15/2041 (A)		1,025		982
4.750%, 05/15/2021 (A)		1,330		1,333
HSBC Bank
7.650%, 05/01/2025		1,155		1,488
4.750%, 01/19/2021 (A)		150		168
HSBC Bank USA
7.000%, 01/15/2039		4,270		5,729
5.875%, 11/01/2034		4,981		5,865
5.625%, 08/15/2035		3,965		4,539
HSBC Holdings
6.800%, 06/01/2038		2,240		2,836
6.500%, 09/15/2037		5,625		6,899
6.100%, 01/14/2042		965		1,222
5.250%, 03/14/2044		6,915		7,311
4.000%, 03/30/2022		275		293
ING Bank
5.800%, 09/25/2023 (A)		5,100		5,703
International Lease Finance
7.125%, 09/01/2018 (A)		1,500		1,736
Intesa Sanpaolo
5.250%, 01/12/2024		2,040		2,198
Invesco Finance
5.375%, 11/30/2043		70		79
JPMorgan Chase
6.400%, 05/15/2038		3,548		4,473
5.600%, 07/15/2041		4,675		5,449
5.400%, 01/06/2042		7,345		8,317
4.850%, 02/01/2044		2,250		2,358
4.250%, 10/15/2020		300		326
3.875%, 02/01/2024		4,645		4,791
3.200%, 01/25/2023		200		198
JPMorgan Chase Capital XXI
1.173%, 02/02/2037 (C)		2,650		2,180
JPMorgan Chase Capital XXIII
1.224%, 05/15/2047 (C)		500		395
KKR Group Finance II LLC
5.500%, 02/01/2043 (A)		8,622		9,197
KKR Group Finance III LLC
5.125%, 06/01/2044 (A)		3,199		3,210


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Liberty Mutual Group
6.500%, 03/15/2035 (A)	$	190	$	232
6.500%, 05/01/2042 (A)		9,977		12,564
4.250%, 06/15/2023 (A)		305		318
Liberty Property
4.750%, 10/01/2020‡		200		219
Lincoln National
6.300%, 10/09/2037		100		126
6.150%, 04/07/2036		45		56
Loews
4.125%, 05/15/2043		30		28
Macquarie Bank MTN
6.625%, 04/07/2021 (A)		1,250		1,442
5.000%, 02/22/2017 (A)		65		71
Macquarie Group
7.300%, 08/01/2014 (A)		50		50
6.250%, 01/14/2021 (A)		40		46
6.000%, 01/14/2020 (A)		100		113
Marsh & McLennan
3.500%, 06/03/2024		1,510		1,512
Massachusetts Mutual Life Insurance
8.875%, 06/01/2039 (A)		2,010		3,214
MetLife
10.750%, 08/01/2039		405		632
6.500%, 12/15/2032		350		456
6.400%, 12/15/2036		3,650		4,072
6.375%, 06/15/2034		110		143
5.875%, 02/06/2041		3,820		4,690
5.700%, 06/15/2035		955		1,146
4.875%, 11/13/2043		4,980		5,366
4.368%, 09/15/2023		1,265		1,367
4.125%, 08/13/2042		20		19
MetLife Capital Trust IV
7.875%, 12/15/2037 (A)		500		615
Metropolitan Life Global Funding I
3.000%, 01/10/2023 (A)		2,100		2,086
Metropolitan Life Insurance
7.800%, 11/01/2025 (A)		2,000		2,667
Morgan Stanley
7.250%, 04/01/2032		3,734		4,998
6.375%, 07/24/2042		4,590		5,789
6.250%, 08/09/2026		120		146
5.375%, 10/15/2015		480		510
3.875%, 04/29/2024		4,960		5,016
National City
4.900%, 01/15/2015		50		51
Nationwide Health Properties MTN‡
6.900%, 10/01/2037		1,600		1,974
Nationwide Mutual Insurance
9.375%, 08/15/2039 (A)		890		1,391
8.250%, 12/01/2031 (A)		500		667


208		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
7.875%, 04/01/2033 (A)	$	527	$	706
4.950%, 04/22/2044 (A)		4,320		4,420
New York Life Global Funding
2.450%, 07/14/2016 (A)		50		52
New York Life Insurance
6.750%, 11/15/2039 (A)		6,880		9,259
Nordea Bank
4.250%, 09/21/2022 (A)		55		57
Northwestern Mutual Life Insurance
6.063%, 03/30/2040 (A)		4,415		5,499
Pacific Life Insurance
9.250%, 06/15/2039 (A)		1,000		1,515
PNC Bank
3.800%, 07/25/2023		450		465
PNC Funding
6.700%, 06/10/2019		100		121
Post Apartment Homes
3.375%, 12/01/2022		1,100		1,074
Principal Financial Group
4.625%, 09/15/2042		5,550		5,712
Progressive
4.350%, 04/25/2044		910		925
Prudential Financial MTN
6.625%, 06/21/2040		625		820
6.200%, 11/15/2040		965		1,211
5.750%, 07/15/2033		360		422
5.700%, 12/14/2036		6,599		7,793
5.625%, 05/12/2041		30		35
5.400%, 06/13/2035		2,825		3,205
Prudential Holdings
8.695%, 12/18/2023 (A)		718		912
Prudential Insurance of America
8.300%, 07/01/2025 (A)		1,000		1,372
Raymond James Financial
5.625%, 04/01/2024		1,950		2,211
Realty Income‡
4.650%, 08/01/2023		2,450		2,633
3.250%, 10/15/2022		3,006		2,946
Royal Bank of Scotland Group
6.100%, 06/10/2023		610		662
6.000%, 12/19/2023		390		418
5.125%, 05/28/2024		680		680
Siemens Financieringsmaatschappij
6.125%, 08/17/2026 (A)		100		125
Simon Property Group‡
6.750%, 02/01/2040		4,385		6,008
4.750%, 03/15/2042		3,555		3,832
4.375%, 03/01/2021		40		44
SL Green Realty‡
7.750%, 03/15/2020		60		73
5.000%, 08/15/2018		3,000		3,279


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Swiss Re Treasury US
4.250%, 12/06/2042 (A)	$	2,581	$	2,497
Teachers Insurance & Annuity Association of America
6.850%, 12/16/2039 (A)		4,540		6,139
Travelers
6.250%, 06/15/2037		125		162
5.350%, 11/01/2040		1,565		1,836
Travelers Property Casualty
6.375%, 03/15/2033		320		418
Trinity Acquisition
6.125%, 08/15/2043		50		55
US Bancorp MTN
4.125%, 05/24/2021		22		24
Validus Holdings
8.875%, 01/26/2040		1,100		1,592
Ventas Realty‡
5.700%, 09/30/2043		3,910		4,570
4.750%, 06/01/2021		1,000		1,104
Wachovia
7.574%, 08/01/2026 (D)		2,375		3,114
5.750%, 06/15/2017		150		170
WEA Finance
6.750%, 09/02/2019 (A)		1,500		1,827
Weingarten Realty Investors‡
3.375%, 10/15/2022		1,884		1,854
Wells Fargo
5.606%, 01/15/2044		2,523		2,863
5.375%, 11/02/2043		1,250		1,364
4.600%, 04/01/2021		40		45
4.100%, 06/03/2026		3,480		3,511
3.500%, 03/08/2022		235		244
Wells Fargo Bank
6.600%, 01/15/2038		5,125		6,963
5.950%, 08/26/2036		1,100		1,385
5.850%, 02/01/2037		3,165		3,917
Weyerhaeuser‡
7.375%, 03/15/2032		410		546
WP Carey
4.600%, 04/01/2024		4,135		4,315
XLIT
5.250%, 12/15/2043		4,570		5,076
ZFS Finance USA Trust I
6.500%, 05/09/2037 (A) (C)		890		950
ZFS Finance USA Trust II
6.450%, 12/15/2065 (A) (C)		2,475		2,673

				658,930


Health Care — 6.9%
AbbVie
4.400%, 11/06/2042		11,565		11,597
Actavis
3.250%, 10/01/2022		1,000		983


SEI Institutional Investments Trust / Annual Report / May 31, 2014			209

SCHEDULE OF INVESTMENTS

Long Duration Corporate Bond Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Aetna
4.750%, 03/15/2044	$	1,500	$	1,585
4.500%, 05/15/2042		1,750		1,794
Amgen
6.900%, 06/01/2038		1,690		2,229
5.750%, 03/15/2040		1,455		1,700
5.650%, 06/15/2042		2,025		2,347
5.150%, 11/15/2041		5,680		6,111
3.625%, 05/15/2022		190		197
3.625%, 05/22/2024		1,680		1,696
Ascension Health
4.847%, 11/15/2053		895		1,004
AstraZeneca
6.450%, 09/15/2037		3,745		4,854
4.000%, 09/18/2042		760		728
Baxter International
4.500%, 06/15/2043		65		67
3.200%, 06/15/2023		490		487
Bristol-Myers Squibb
6.125%, 05/01/2038		1,675		2,170
Cardinal Health
4.600%, 03/15/2043		2,183		2,238
CareFusion
4.875%, 05/15/2044		965		968
Catholic Health Initiatives
4.350%, 11/01/2042		3,250		3,084
Celgene
5.700%, 10/15/2040		5,142		5,946
5.250%, 08/15/2043		670		733
4.625%, 05/15/2044		6,305		6,287
3.625%, 05/15/2024		500		504
Cigna
5.875%, 03/15/2041		65		79
City of Hope
5.623%, 11/15/2043		850		936
Covidien International Finance
2.950%, 06/15/2023		810		789
Eli Lilly
7.125%, 06/01/2025		410		545
4.650%, 06/15/2044		1,005		1,068
Express Scripts Holding
6.125%, 11/15/2041		1,650		1,995
Gilead Sciences
4.800%, 04/01/2044		9,388		9,918
GlaxoSmithKline Capital
6.375%, 05/15/2038		2,375		3,098
Hartford HealthCare
5.746%, 04/01/2044		2,705		2,875
Hospira
5.800%, 08/12/2023		1,860		2,091
Howard Hughes Medical Institute
3.500%, 09/01/2023		2,250		2,330


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Humana
8.150%, 06/15/2038	$	1,745	$	2,540
4.625%, 12/01/2042		55		55
Johnson & Johnson
5.950%, 08/15/2037		1,130		1,454
4.375%, 12/05/2033		1,300		1,407
McKesson
6.000%, 03/01/2041		40		48
4.883%, 03/15/2044		4,430		4,650
Mead Johnson Nutrition
5.900%, 11/01/2039		620		742
4.600%, 06/01/2044		560		565
Medtronic
4.625%, 03/15/2044		3,299		3,480
4.000%, 04/01/2043		6,515		6,285
3.625%, 03/15/2024		1,200		1,244
Memorial Sloan-Kettering Cancer Center
5.000%, 07/01/2042		1,000		1,096
4.125%, 07/01/2052		30		29
Merck
6.550%, 09/15/2037		1,460		1,959
6.500%, 12/01/2033		935		1,250
4.150%, 05/18/2043		3,050		3,013
3.600%, 09/15/2042		1,820		1,653
2.800%, 05/18/2023		230		225
Merck Sharp & Dohme MTN
5.850%, 06/30/2039		710		880
5.760%, 05/03/2037		1,100		1,375
Mylan
5.400%, 11/29/2043		4,610		4,985
North Shore-Long Island Jewish Health Care
6.150%, 11/01/2043		630		774
4.800%, 11/01/2042		2,400		2,380
Novartis Capital
4.400%, 05/06/2044		5,160		5,341
NYU Hospitals Center
4.428%, 07/01/2042		2,650		2,498
Perrigo
5.300%, 11/15/2043 (A)		3,880		4,180
Pfizer
7.200%, 03/15/2039		1,525		2,147
4.400%, 05/15/2044		1,400		1,427
4.300%, 06/15/2043		2,060		2,062
Providence Health & Services Obligated Group
4.379%, 10/01/2023		2,400		2,585
Roche Holdings
7.000%, 03/01/2039 (A)		7,475		10,671
Shands Teaching Hospital and Clinics
4.741%, 12/01/2042		1,750		1,546


210		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
St. Barnabas
4.000%, 07/01/2028	$	2,240	$	1,988
Stryker
4.375%, 05/15/2044		1,220		1,218
4.100%, 04/01/2043		785		778
3.375%, 05/15/2024		2,670		2,667
Sutter Health
2.286%, 08/15/2053		2,000		1,897
Teva Pharmaceutical Finance BV
2.950%, 12/18/2022		1,345		1,302
Teva Pharmaceutical Finance LLC, Ser 2006
6.150%, 02/01/2036		920		1,100
Thermo Fisher Scientific
4.150%, 02/01/2024		1,600		1,686
3.150%, 01/15/2023		1,740		1,726
UnitedHealth Group
6.875%, 02/15/2038		1,411		1,916
6.625%, 11/15/2037		2,530		3,351
6.500%, 06/15/2037		455		592
5.950%, 02/15/2041		150		187
5.800%, 03/15/2036		325		394
5.700%, 10/15/2040		1,055		1,280
4.375%, 03/15/2042		30		30
3.950%, 10/15/2042		3,525		3,322
Watson Pharmaceuticals
4.625%, 10/01/2042		25		25
WellPoint
5.100%, 01/15/2044		670		729
4.650%, 01/15/2043		1,460		1,487
4.625%, 05/15/2042		45		46
3.300%, 01/15/2023		1,090		1,087
2.375%, 02/15/2017		20		21
Wyeth
5.950%, 04/01/2037		4,425		5,478
Zoetis
4.700%, 02/01/2043		25		26

				193,912


Industrials — 6.2%
ABB Treasury Center USA
4.000%, 06/15/2021 (A)		1,840		1,967
Air Canada, Pass-Through Trust, Ser 2013-1, Cl A
4.125%, 05/15/2025 (A)		527		528
American Airlines, Pass-Through Trust, Ser 2011-1, Cl A
5.250%, 01/31/2021		8		9
American Airlines, Pass-Through Trust, Ser 2013-2, Cl A
4.950%, 01/15/2023 (A)		1,868		2,015


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
BAE Systems
5.800%, 10/11/2041 (A)	$	740	$	877
BAE Systems Finance
7.500%, 07/01/2027 (A)		4,122		5,511
BAE Systems Holdings
5.200%, 08/15/2015 (A)		15		16
Boeing
6.875%, 03/15/2039		640		902
6.625%, 02/15/2038		850		1,165
Burlington Northern Santa Fe LLC
7.290%, 06/01/2036		1,333		1,789
6.150%, 05/01/2037		5,280		6,541
5.150%, 09/01/2043		3,460		3,843
5.050%, 03/01/2041		65		71
4.950%, 09/15/2041		25		27
4.900%, 04/01/2044		8,865		9,495
4.450%, 03/15/2043		1,250		1,245
4.400%, 03/15/2042		7,040		7,014
Canadian National Railway
6.200%, 06/01/2036		2,665		3,442
4.500%, 11/07/2043		3,800		4,056
Caterpillar
5.200%, 05/27/2041		640		729
4.750%, 05/15/2064		3,720		3,856
3.803%, 08/15/2042		1,480		1,371
Continental Airlines, Pass-Through Trust, Ser 2007-1, Cl A
5.983%, 04/19/2022		2,023		2,306
Continental Airlines, Pass-Through Trust, Ser 2012-1, Cl A
4.150%, 04/11/2024		2,092		2,173
CSX
4.750%, 05/30/2042		2,800		2,954
Cummins
4.875%, 10/01/2043		1,285		1,419
Deere
3.900%, 06/09/2042		1,970		1,882
EADS Finance
2.700%, 04/17/2023 (A)		1,565		1,510
Eaton
4.150%, 11/02/2042		1,420		1,376
4.000%, 11/02/2032		5,500		5,498
Federal Express
7.600%, 07/01/2097		1,403		1,914
FedEx
4.900%, 01/15/2034		2,310		2,488
4.100%, 04/15/2043		790		739
3.875%, 08/01/2042		4,341		3,921
General Dynamics
3.600%, 11/15/2042		1,715		1,593


SEI Institutional Investments Trust / Annual Report / May 31, 2014			211

SCHEDULE OF INVESTMENTS

Long Duration Corporate Bond Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
General Electric
4.500%, 03/11/2044	$	3,010	$	3,150
4.125%, 10/09/2042		3,345		3,302
2.700%, 10/09/2022		1,010		995
Honeywell International
5.700%, 03/15/2037		300		367
5.375%, 03/01/2041		385		459
Illinois Tool Works
3.900%, 09/01/2042		115		109
Koninklijke Philips
6.875%, 03/11/2038		80		108
Lockheed Martin
4.850%, 09/15/2041		1,885		2,082
4.070%, 12/15/2042		3,000		2,924
Norfolk Southern
6.000%, 03/15/2105		2,125		2,559
6.000%, 05/23/2111		4,330		5,216
4.800%, 08/15/2043		3,025		3,256
3.000%, 04/01/2022		1,380		1,371
Northrop Grumman
4.750%, 06/01/2043		3,290		3,465
3.250%, 08/01/2023		6,865		6,807
Odebrecht Offshore Drilling Finance
6.625%, 10/01/2022 (A)		6		6
Pitney Bowes
6.250%, 03/15/2019		15		17
Raytheon
7.200%, 08/15/2027		400		527
4.700%, 12/15/2041		560		604
Republic Services
6.200%, 03/01/2040		30		38
5.700%, 05/15/2041		2,100		2,498
3.550%, 06/01/2022		1,620		1,668
Rockwell Collins
3.700%, 12/15/2023		820		854
Stanley Black & Decker
5.200%, 09/01/2040		50		56
2.900%, 11/01/2022		1,430		1,405
Sydney Airport Finance
3.900%, 03/22/2023 (A)		2,500		2,530
Union Pacific
4.850%, 06/15/2044		640		711
4.821%, 02/01/2044		5,668		6,310
4.750%, 09/15/2041		25		27
4.750%, 12/15/2043		4,415		4,841
United Parcel Service
6.200%, 01/15/2038		690		899
United Technologies
5.700%, 04/15/2040		6,620		8,174
4.500%, 06/01/2042		13,490		14,055
US Airways, Pass-Through Trust, Ser 2012-1, Cl A
5.900%, 10/01/2024		2,318		2,607


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Waste Management
7.750%, 05/15/2032	$	200	$	284
7.375%, 03/11/2019		25		31
7.100%, 08/01/2026		130		171
6.125%, 11/30/2039		1,215		1,514
4.600%, 03/01/2021		1,645		1,830

				174,069


Information Technology — 2.6%
Apple
4.450%, 05/06/2044		4,675		4,766
3.850%, 05/04/2043		8,885		8,250
Applied Materials
5.850%, 06/15/2041		90		106
Cisco Systems
5.900%, 02/15/2039		4,439		5,395
5.500%, 01/15/2040		1,585		1,861
Corning
5.750%, 08/15/2040		345		416
eBay
4.000%, 07/15/2042		4,750		4,329
EMC
2.650%, 06/01/2020		1,390		1,414
Hewlett-Packard
6.000%, 09/15/2041		3,165		3,570
Intel
4.800%, 10/01/2041		4,890		5,237
4.000%, 12/15/2032		2,897		2,896
2.700%, 12/15/2022		1,895		1,849
International Business Machines
5.875%, 11/29/2032		300		377
4.000%, 06/20/2042		3,683		3,561
3.625%, 02/12/2024		3,660		3,762
3.375%, 08/01/2023		2,050		2,085
Intuit
5.750%, 03/15/2017		25		28
Juniper Networks
5.950%, 03/15/2041		4,640		4,983
Microsoft
5.300%, 02/08/2041		515		606
4.875%, 12/15/2043		1,200		1,324
4.500%, 10/01/2040		760		799
3.500%, 11/15/2042		670		603
Motorola Solutions
7.500%, 05/15/2025		1,480		1,894
3.500%, 03/01/2023		1,035		1,004
Oracle
6.500%, 04/15/2038		6,280		8,246
Seagate HDD Cayman
4.750%, 06/01/2023 (A)		4,200		4,253
4.750%, 01/01/2025 (A)		840		835
Tyco Electronics Group
7.125%, 10/01/2037		70		91

				74,540


212		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

Materials — 3.5%
ArcelorMittal
7.250%, 03/01/2041	$	1,525	$	1,601
Barrick North America Finance LLC
7.500%, 09/15/2038		15		17
5.750%, 05/01/2043		11,735		11,762
5.700%, 05/30/2041		1,000		993
BHP Billiton Finance USA
5.000%, 09/30/2043		11,280		12,363
Braskem America Finance
7.125%, 07/22/2041 (A)		1,355		1,386
CF Industries
5.150%, 03/15/2034		1,155		1,232
4.950%, 06/01/2043		35		35
Dow Chemical
7.375%, 11/01/2029		1,020		1,377
5.250%, 11/15/2041		415		451
4.375%, 11/15/2042		4,030		3,866
E.I. du Pont de Nemours
2.800%, 02/15/2023		1,505		1,473
Ecolab
5.500%, 12/08/2041		20		24
Freeport-McMoRan Copper
5.450%, 03/15/2043		5,278		5,430
Georgia-Pacific LLC
8.875%, 05/15/2031		2,145		3,215
7.250%, 06/01/2028		330		435
International Paper
8.700%, 06/15/2038		1,000		1,504
Kinross
5.950%, 03/15/2024 (A)		2,960		3,038
LYB International Finance BV
5.250%, 07/15/2043		1,525		1,677
4.875%, 03/15/2044		1,730		1,811
4.000%, 07/15/2023		185		194
LyondellBasell Industries
5.000%, 04/15/2019		685		772
Mosaic
5.625%, 11/15/2043		1,450		1,637
Nacional del Cobre de Chile
5.625%, 10/18/2043 (A)		1,155		1,271
Newcrest Finance
5.750%, 11/15/2041 (A)		4,867		4,288
Newmont Mining
6.250%, 10/01/2039		1,770		1,803
5.875%, 04/01/2035		100		99
4.875%, 03/15/2042		3,075		2,664
Nucor
6.400%, 12/01/2037		40		49
Plains Exploration & Production
6.875%, 02/15/2023		1,005		1,142
Praxair
3.550%, 11/07/2042		1,135		1,039


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Rio Tinto Alcan
7.250%, 03/15/2031	$	800	$	1,038
6.125%, 12/15/2033		1,714		2,070
Rio Tinto Finance USA
9.000%, 05/01/2019		150		198
5.200%, 11/02/2040		40		44
4.750%, 03/22/2042		120		125
4.125%, 08/21/2042		1,910		1,795
3.500%, 11/02/2020		20		21
Rohm & Haas
7.850%, 07/15/2029		6,220		8,590
Southern Copper
7.500%, 07/27/2035		790		920
6.750%, 04/16/2040		270		293
Teck Resources
6.000%, 08/15/2040		50		52
5.400%, 02/01/2043		3,590		3,542
5.200%, 03/01/2042		1,030		986
3.750%, 02/01/2023		195		189
Union Carbide
7.750%, 10/01/2096		25		31
Vale
5.625%, 09/11/2042		2,330		2,272
Vale Overseas
8.250%, 01/17/2034		600		750
6.875%, 11/21/2036		1,550		1,722
6.875%, 11/10/2039		55		61
Xstrata Finance Canada
6.000%, 11/15/2041 (A)		4,617		4,995
5.550%, 10/25/2042 (A)		620		633

				98,975


Telecommunication Services — 8.7%
Alltel
7.875%, 07/01/2032		1,135		1,575
6.800%, 05/01/2029		1,050		1,303
America Movil
6.375%, 03/01/2035		50		60
6.125%, 11/15/2037		50		59
6.125%, 03/30/2040		2,100		2,484
4.375%, 07/16/2042		5,885		5,524
3.125%, 07/16/2022		200		198
AT&T
8.000%, 11/15/2031		2,625		3,836
6.500%, 09/01/2037		748		927
6.300%, 01/15/2038		8,960		10,871
6.150%, 09/15/2034		350		407
5.600%, 05/15/2018		40		46
5.550%, 08/15/2041		5,355		6,047
5.350%, 09/01/2040		5,510		6,026
4.350%, 06/15/2045		7,678		7,322
4.300%, 12/15/2042		7,140		6,820
3.000%, 02/15/2022		20		20


SEI Institutional Investments Trust / Annual Report / May 31, 2014			213

SCHEDULE OF INVESTMENTS

Long Duration Corporate Bond Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Bellsouth Capital Funding
7.875%, 02/15/2030	$	750	$	985
British Telecommunications
9.625%, 12/15/2030		4,640		7,412
Centel Capital
9.000%, 10/15/2019		25		30
CenturyLink
7.650%, 03/15/2042		990		994
Deutsche Telekom International Finance
9.250%, 06/01/2032		2,511		3,970
8.750%, 06/15/2030		1,545		2,272
4.875%, 03/06/2042 (A)		2,845		2,988
Grupo Televisa
5.000%, 05/13/2045		2,925		2,928
GTE
8.750%, 11/01/2021		100		131
6.940%, 04/15/2028		1,310		1,644
Koninklijke KPN
8.375%, 10/01/2030		4,235		5,897
Orange
9.000%, 03/01/2031		55		83
5.500%, 02/06/2044		6,425		7,064
5.375%, 01/13/2042		1,855		2,001
Qwest
7.250%, 09/15/2025		1,400		1,622
Rogers Communications
7.500%, 08/15/2038		55		75
5.450%, 10/01/2043		5,200		5,829
5.000%, 03/15/2044		3,225		3,356
4.500%, 03/15/2043		2,232		2,171
SES Global Americas Holdings GP
5.300%, 03/25/2044 (A)		4,393		4,679
Telecom Italia Capital
6.175%, 06/18/2014		33		33
6.000%, 09/30/2034		620		612
Telefonaktiebolaget LM Ericsson
4.125%, 05/15/2022		6,823		7,118
Telefonica Emisiones SAU
7.045%, 06/20/2036		615		775
6.421%, 06/20/2016		75		83
6.221%, 07/03/2017		65		74
5.877%, 07/15/2019		45		52
5.462%, 02/16/2021		127		144
4.570%, 04/27/2023		3,520		3,729
Telefonica Europe BV
8.250%, 09/15/2030		1,405		1,886
Verizon Communications
7.750%, 12/01/2030		650		892
7.350%, 04/01/2039		1,350		1,821
6.900%, 04/15/2038		170		219
6.550%, 09/15/2043		50,121		63,618


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
6.400%, 09/15/2033	$	20,792	$	25,562
6.350%, 04/01/2019		705		841
6.000%, 04/01/2041		2,500		2,953
5.850%, 09/15/2035		2,700		3,141
5.050%, 03/15/2034		1,250		1,339
4.750%, 11/01/2041		8,810		8,900
Vodafone Group
7.875%, 02/15/2030		1,415		1,956
6.150%, 02/27/2037		300		353
4.375%, 02/19/2043		8,360		7,855
2.950%, 02/19/2023		2,775		2,660

				246,272


Utilities — 13.0%
AGL Capital
6.375%, 07/15/2016		100		111
5.875%, 03/15/2041		900		1,115
4.400%, 06/01/2043		1,325		1,357
3.500%, 09/15/2021		68		71
Alabama Power
5.200%, 06/01/2041		155		181
5.125%, 02/15/2019		195		222
American Transmission Systems
5.250%, 01/15/2022 (A)		1,135		1,246
Appalachian Power
7.000%, 04/01/2038		600		817
6.700%, 08/15/2037		50		66
5.800%, 10/01/2035		125		147
4.600%, 03/30/2021		605		677
Arizona Public Service
8.750%, 03/01/2019		1,005		1,303
5.050%, 09/01/2041		50		57
4.500%, 04/01/2042		12		13
Baltimore Gas & Electric
6.350%, 10/01/2036		125		162
5.200%, 06/15/2033		1,620		1,790
Berkshire Hathaway Energy
6.500%, 09/15/2037		4,125		5,334
6.125%, 04/01/2036		7,815		9,727
5.950%, 05/15/2037		245		298
5.150%, 11/15/2043		2,085		2,333
Boston Gas
4.487%, 02/15/2042 (A)		1,325		1,364
Bruce Mansfield Unit 1 2007 Pass Through Trust
6.850%, 06/01/2034		4,502		4,932
CenterPoint Energy Houston Electric LLC
4.500%, 04/01/2044		5,712		6,069
CenterPoint Energy Resources
6.250%, 02/01/2037		1,095		1,361
4.500%, 01/15/2021		40		44


214		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Commonwealth Edison
4.700%, 01/15/2044	$	1,195	$	1,310
Connecticut Light & Power
2.500%, 01/15/2023		1,200		1,155
Consolidated Edison of New York
6.750%, 04/01/2038		1,915		2,598
6.200%, 06/15/2036		65		84
5.850%, 04/01/2018		180		208
5.700%, 06/15/2040		40		49
5.500%, 12/01/2039		75		90
4.450%, 03/15/2044		650		669
3.950%, 03/01/2043		3,030		2,903
Dominion Gas Holdings
4.800%, 11/01/2043 (A)		995		1,076
Dominion Resources
5.950%, 06/15/2035		40		48
5.250%, 08/01/2033		5,765		6,513
4.900%, 08/01/2041		2,885		3,087
4.050%, 09/15/2042		1,000		940
DTE Electric
3.950%, 06/15/2042		80		78
3.900%, 06/01/2021		30		33
DTE Energy
6.375%, 04/15/2033		120		152
3.500%, 06/01/2024		930		941
Duke Energy
3.950%, 10/15/2023		3,285		3,467
3.550%, 09/15/2021		17		18
3.050%, 08/15/2022		3,380		3,378
2.150%, 11/15/2016		25		26
Duke Energy Carolinas LLC
6.450%, 10/15/2032		110		141
6.100%, 06/01/2037		2,010		2,534
5.300%, 02/15/2040		5,760		6,848
4.000%, 09/30/2042		5,580		5,493
3.900%, 06/15/2021		50		54
Duke Energy Florida
6.400%, 06/15/2038		360		484
Duke Energy Indiana
6.350%, 08/15/2038		3,255		4,310
4.900%, 07/15/2043		1,330		1,490
Duke Energy Progress
4.375%, 03/30/2044		1,630		1,703
4.100%, 05/15/2042		750		745
Duquesne Light Holdings
6.250%, 08/15/2035		2,500		2,732
El Paso Electric
3.300%, 12/15/2022		925		898
Electricite de France
6.000%, 01/22/2114 (A)		10,445		11,722
5.250%, 12/29/2049 (A) (C)		720		740
Elm Road Generating Station Supercritical
5.848%, 01/19/2041 (A)		1,000		1,101


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Enel Finance International
6.000%, 10/07/2039 (A)	$	680	$	751
Entergy Louisiana
4.440%, 01/15/2026		1,420		1,557
Exelon
5.625%, 06/15/2035		500		560
Exelon Generation LLC
6.250%, 10/01/2039		5,580		6,528
5.750%, 10/01/2041		5,465		6,113
5.600%, 06/15/2042		4,325		4,678
5.200%, 10/01/2019		100		113
FirstEnergy Transmission LLC
5.450%, 07/15/2044 (A)		2,885		2,917
FirstEnergy, Ser C
7.375%, 11/15/2031		3,058		3,600
Florida Power & Light
5.960%, 04/01/2039		2,390		3,081
5.690%, 03/01/2040		4,163		5,230
5.650%, 02/01/2037		1,000		1,237
4.050%, 06/01/2042		1,250		1,251
3.800%, 12/15/2042		2,215		2,132
Georgia Power
5.650%, 03/01/2037		105		126
5.400%, 06/01/2040		8,270		9,710
4.750%, 09/01/2040		30		32
4.300%, 03/15/2042		7,325		7,369
4.300%, 03/15/2043		600		606
Iberdrola Finance Ireland
5.000%, 09/11/2019 (A)		750		845
Indiana Michigan Power
6.050%, 03/15/2037		280		340
Indianapolis Power & Light
6.050%, 10/01/2036 (A)		710		881
4.875%, 11/01/2041 (A)		1,290		1,397
4.650%, 06/01/2043 (A)		4,350		4,562
International Transmission
4.625%, 08/15/2043 (A)		1,000		1,083
ITC Holdings
5.300%, 07/01/2043		1,210		1,344
3.650%, 06/15/2024		1,930		1,934
John Sevier Combined Cycle Generation
4.626%, 01/15/2042		2,045		2,200
KCP&L Greater Missouri Operations
8.270%, 11/15/2021		2,500		3,162
Kentucky Utilities
5.125%, 11/01/2040		2,425		2,822
KeySpan Gas East
5.819%, 04/01/2041 (A)		4,801		5,997
Louisville Gas & Electric
4.650%, 11/15/2043		3,150		3,415
Massachusetts Electric
5.900%, 11/15/2039 (A)		70		85


SEI Institutional Investments Trust / Annual Report / May 31, 2014			215

SCHEDULE OF INVESTMENTS

Long Duration Corporate Bond Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
MidAmerican Energy MTN
6.750%, 12/30/2031	$	475	$	635
5.800%, 10/15/2036		856		1,064
Monongahela Power
5.400%, 12/15/2043 (A)		6,075		6,982
Narragansett Electric
4.170%, 12/10/2042 (A)		1,000		986
Nevada Power
6.650%, 04/01/2036		100		135
NextEra Energy Capital Holdings
6.000%, 03/01/2019		1,530		1,781
Niagara Mohawk Power
4.119%, 11/28/2042 (A)		2,000		1,924
NiSource Finance
5.950%, 06/15/2041		220		256
5.800%, 02/01/2042		900		1,028
4.800%, 02/15/2044		3,855		3,932
Northeast Utilities
2.800%, 05/01/2023		1,335		1,285
Northern States Power
6.250%, 06/01/2036		1,176		1,535
6.200%, 07/01/2037		3,130		4,092
3.400%, 08/15/2042		645		579
2.600%, 05/15/2023		1,760		1,700
NSTAR Electric
4.400%, 03/01/2044		2,525		2,653
Oglethorpe Power
5.375%, 11/01/2040		1,745		2,011
5.250%, 09/01/2050		1,270		1,424
4.200%, 12/01/2042		4,000		3,926
Oncor Electric Delivery
7.000%, 09/01/2022		175		224
6.800%, 09/01/2018		35		42
5.300%, 06/01/2042		4,429		5,208
5.250%, 09/30/2040		4,050		4,721
4.550%, 12/01/2041		4,260		4,485
4.100%, 06/01/2022		2,150		2,321
ONE Gas
4.658%, 02/01/2044 (A)		1,500		1,637
Pacific Gas & Electric
6.250%, 03/01/2039		4,340		5,472
6.050%, 03/01/2034		5,675		6,993
5.800%, 03/01/2037		1,205		1,449
5.125%, 11/15/2043		30		34
4.600%, 06/15/2043		3,300		3,473
3.250%, 09/15/2021		18		19
PacifiCorp
6.250%, 10/15/2037		1,085		1,419
6.000%, 01/15/2039		1,920		2,429
4.100%, 02/01/2042		1,205		1,200
PECO Energy
4.800%, 10/15/2043		1,505		1,686


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Pennsylvania Electric
6.150%, 10/01/2038	$	3,600	$	4,177
6.050%, 09/01/2017		50		55
Piedmont Natural Gas
4.650%, 08/01/2043		830		891
Pipeline Funding LLC
7.500%, 01/15/2030 (A)		3,725		4,716
Potomac Electric Power
4.950%, 11/15/2043		950		1,081
PPL Electric Utilities
5.200%, 07/15/2041		1,100		1,290
PPL Energy Supply
4.600%, 12/15/2021		100		100
Progress Energy
7.050%, 03/15/2019		1,720		2,100
4.400%, 01/15/2021		25		27
PSEG Power LLC
8.625%, 04/15/2031		2,243		3,243
5.125%, 04/15/2020		50		56
4.300%, 11/15/2023		2,155		2,258
4.150%, 09/15/2021		127		135
Public Service Electric & Gas MTN
4.000%, 06/01/2044		695		682
3.750%, 03/15/2024		2,150		2,269
3.650%, 09/01/2042		1,770		1,653
Public Service of Colorado
6.250%, 09/01/2037		1,960		2,594
3.950%, 03/15/2043		5,440		5,345
Public Service of Oklahoma
4.400%, 02/01/2021		27		30
Puget Sound Energy
5.795%, 03/15/2040		130		165
San Diego Gas & Electric
6.000%, 06/01/2026		625		783
Saudi Electricity Global Sukuk 2
5.060%, 04/08/2043 (A)		1,900		1,876
Sempra Energy
9.800%, 02/15/2019		50		67
6.000%, 10/15/2039		4,000		4,970
South Carolina Electric & Gas
5.450%, 02/01/2041		605		729
Southern California Edison
6.000%, 01/15/2034		175		221
5.950%, 02/01/2038		510		647
5.500%, 03/15/2040		70		85
4.650%, 10/01/2043		9,405		10,311
4.050%, 03/15/2042		6,405		6,359
Southern California Gas
4.450%, 03/15/2044		1,400		1,496
3.750%, 09/15/2042		1,730		1,653
Southern Power
5.250%, 07/15/2043		1,235		1,384
5.150%, 09/15/2041		70		77


216		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Southwestern Electric Power
6.200%, 03/15/2040	$	3,369	$	4,236
Southwestern Public Service
8.750%, 12/01/2018		40		51
4.500%, 08/15/2041		1,965		2,082
Tampa Electric
4.350%, 05/15/2044		850		871
Texas-New Mexico Power
6.950%, 04/01/2043 (A)		2,000		2,791
Tucson Electric Power
3.850%, 03/15/2023		2,250		2,265
Union Electric
8.450%, 03/15/2039		2,930		4,815
Virginia Electric and Power
8.875%, 11/15/2038		235		391
6.350%, 11/30/2037		630		833
4.650%, 08/15/2043		2,530		2,750
4.450%, 02/15/2044		1,970		2,059
Wisconsin Electric Power
4.250%, 06/01/2044		850		870
2.950%, 09/15/2021		3		3

				366,555

Total Corporate Obligations (Cost $2,512,535) ($ Thousands)				2,615,468


MUNICIPAL BONDS — 2.4%
Arizona, Health Facilities Authority, Ser B, RB Callable 01/01/17 @ 100
0.966%, 01/01/2037 (C)		800		686
City of Chicago, Build America Project, GO
6.257%, 01/01/2040		1,280		1,300
City of Houston, Utility System Revenue, Ser B, RB
3.828%, 05/15/2028		1,600		1,684
City of Houston, Ser A, GO
6.290%, 03/01/2032		3,335		4,152
City of New York, Build America Project, GO
5.985%, 12/01/2036		1,175		1,429
5.206%, 10/01/2031		750		835
City of San Francisco, Public Utilities Commission Water Revenue, Build America Project, RB
6.000%, 11/01/2040		620		780
Commonwealth of Massachusetts, GO Callable 05/01/17 @ 100
0.721%, 05/01/2037 (C)		1,250		1,101
Grand Parkway Transportation, Sub-Ser E, RB
5.184%, 10/01/2042		3,280		3,794


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Indianapolis, Local Public Improvement Bond Bank, Build America Project, RB
6.116%, 01/15/2040	$	2,280	$	2,899
La Paz County, Industrial Development Auhority, RB
7.000%, 03/01/2034		1,535		1,491
Los Angeles, Community College District, Ser D, GO
6.680%, 08/01/2036		500		662
Los Angeles, Department of Water & Power, Ser C, RB
5.516%, 07/01/2027		955		1,141
Metropolitan Water Reclamation District of Greater Chicago, Build America Project, GO
5.720%, 12/01/2038		2,040		2,460
Michigan State University, Build America Project, RB
Callable 02/15/30 @ 100
6.173%, 02/15/2050		850		983
Municipal Electric Authority of Georgia, Build America Project, RB
7.055%, 04/01/2057		1,800		2,045
6.637%, 04/01/2057		4,770		5,780
New Jersey State, Turnpike Authority, Build America Project, RB
7.414%, 01/01/2040		550		801
New York City Municipal Water Finance Authority, Build America Project, RB
6.011%, 06/15/2042		750		973
New York State, Urban Development, Build America Project, RB
5.770%, 03/15/2039		5,725		6,900
Ohio State, Water Development Authority, RB
4.879%, 12/01/2034		1,375		1,505
Port Authority of New York & New Jersey, RB
4.926%, 10/01/2051		245		273
4.458%, 10/01/2062		1,500		1,507
Santa Clara Valley, Transportation Authority, Build America Project, RB
5.876%, 04/01/2032		2,770		3,314
State of California, Build America Project, GO
7.500%, 04/01/2034		2,795		3,966
7.300%, 10/01/2039		800		1,119


SEI Institutional Investments Trust / Annual Report / May 31, 2014			217

SCHEDULE OF INVESTMENTS

Long Duration Corporate Bond Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
State of Connecticut, Ser A, GO
5.850%, 03/15/2032	$	2,210	$	2,716
State of Illinois, Build America Project, GO
7.350%, 07/01/2035		900		1,093
7.100%, 07/01/2035		1,000		1,166
State of Illinois, GO
5.100%, 06/01/2033		450		455
State of Oregon, GO
5.892%, 06/01/2027		835		1,029
State of Texas, Build America Project, Ser A, GO
4.631%, 04/01/2033		1,500		1,684
University of California, Build America Project, RB
5.770%, 05/15/2043		250		303
University of California, Ser AD, RB
4.858%, 05/15/2112		5,260		5,304
University of Texas, Build America Project, Ser B, RB Callable 08/15/19 @ 100
6.276%, 08/15/2041		60		68
Virginia Commonwealth University Health System Authority, Ser A, RB
4.956%, 01/01/2044		475		508

Total Municipal Bonds (Cost $62,878) ($ Thousands)				67,906


U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.3%
FNMA
3.000%, 10/18/2032		1,040		915
Tennessee Valley Authority
5.375%, 04/01/2056		4,650		5,645
3.500%, 12/15/2042		2,525		2,314

Total U.S. Government Agency Obligations (Cost $9,500) ($ Thousands)				8,874


SOVEREIGN DEBT — 0.2%
International Bank for Reconstruction & Development MTN
3.602%, 10/31/2030 (B)		2,605		1,347
Province of Quebec Canada MTN
6.350%, 01/30/2026		2,425		3,063

Total Sovereign Debt (Cost $4,641) ($ Thousands)				4,410


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

ASSET-BACKED SECURITY — 0.0%

Other Asset-Backed Securities — 0.0%
321 Henderson Receivables LLC, Ser 2013-3A, Cl A
4.080%, 01/17/2073 (A)	$	559	$	582

Total Asset-Backed Security (Cost $558) ($ Thousands)				582


U.S. TREASURY OBLIGATIONS — 2.5%
U.S. Treasury Bills (B) (E)
0.025%, 08/14/2014		470		470
U.S. Treasury Bonds
3.625%, 02/15/2044		46,875		49,717
3.375%, 05/15/2044		1,100		1,113
U.S. Treasury Notes (E)
2.750%, 02/15/2024		7,420		7,624
2.500%, 05/15/2024		1,915		1,922
1.625%, 04/30/2019		7,950		7,994

Total U.S. Treasury Obligations (Cost $67,288) ($ Thousands)				68,840


CASH EQUIVALENT — 1.2%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%*†		34,009,462		34,009

Total Cash Equivalent (Cost $34,009) ($ Thousands)				34,009

Total Investments — 99.3% (Cost $2,691,409) ($ Thousands)			$	2,800,089

The open futures contracts held by the Fund at May 31, 2014, are as follows:


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($Thousands)
U.S. 10-Year Treasury Note		(385	)		Sep-2014	$	(209	)
U.S. 10-Year Treasury Note		61			Sep-2014		(8	)
U.S. 2-Year Treasury Note		(1,368	)		Sep-2014		(108	)
U.S. 5-Year Treasury Note		337			Sep-2014		57
U.S. 5-Year Treasury Note		(206	)		Sep-2014		27
U.S. Long Treasury Bond		182			Sep-2014		(58	)
U.S. Ultra Long Treasury Bond		541			Sep-2014		341

						$	42

Percentages are based on a Net Assets of $2,820,257 ($ Thousands).

The rate reported is the 7-day effective yield as of May 31, 2014.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security (see Note 6).

(A)


218		SEI Institutional Investments Trust / Annual Report / May 31, 2014

(B)

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

(C)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of May 31, 2014. The date reported on the Schedule of Investments is the final maturity date.

(D)

Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on May 31, 2014. The coupon on a step bond changes on a specified date.

(E)

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

Cl — Class

FNMA — Federal National Mortgage Association

GO — General Obligation

LLC — Limited Liability Company

MTN — Medium Term Note

RB — Revenue Bond

Ser — Series

The following is a list of the level of inputs used as of May 31, 2014, 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	$	—	$	2,615,468	$	—	$	2,615,468
Municipal Bonds		—		67,906		—		67,906
U.S. Government Agency Obligations		—		8,874		—		8,874
Sovereign Debt		—		4,410		—		4,410
Asset-Backed Security		—		582		—		582
U.S. Treasury Obligations		—		68,840		—		68,840
Cash Equivalent		34,009		—		—		34,009

Total Investments in Securities	$	34,009	$	2,766,080	$	—	$	2,800,089


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*
Unrealized Appreciation	$	425		$	—	$	—	$	425
Unrealized Depreciation		(383	)		—		—		(383	)

Total Other Financial Instruments	$	42		$	—	$	—	$	42

Futures are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended May 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2014, 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.


SEI Institutional Investments Trust / Annual Report / May 31, 2014			219

SCHEDULE OF INVESTMENTS

Ultra Short Duration Bond Fund

May 31, 2014

LOGO


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

CORPORATE OBLIGATIONS — 38.4%

Consumer Discretionary — 1.8%
AutoZone
1.300%, 01/13/2017	$	1,250	$	1,251
Comcast
5.850%, 11/15/2015		350		377
CVS Caremark
1.200%, 12/05/2016		825		832
DIRECTV Holdings LLC
3.550%, 03/15/2015		650		665
Hyundai Capital America
1.625%, 10/02/2015 (A)		870		879
Maytag MTN
6.450%, 08/15/2014		1,300		1,315
NBCUniversal Enterprise
0.912%, 04/15/2018 (A) (B)		1,400		1,415
0.764%, 04/15/2016 (A) (B)		765		769
Newell Rubbermaid
2.000%, 06/15/2015		700		710
Thomson Reuters
0.875%, 05/23/2016		1,250		1,252
Time Warner Cable
5.850%, 05/01/2017		950		1,073
TRW Automotive
7.250%, 03/15/2017 (A)		940		1,076
Whirlpool
1.350%, 03/01/2017		1,055		1,058

				12,672


Consumer Staples — 2.2%
Anheuser-Busch InBev Finance
4.125%, 01/15/2015		1,200		1,228
0.623%, 02/01/2019 (B)		1,500		1,498
BAT International Finance
1.400%, 06/05/2015 (A)		1,365		1,376
ConAgra Foods
1.300%, 01/25/2016		1,250		1,262


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
General Mills
0.527%, 01/29/2016 (B)	$	1,250	$	1,253
Heineken
0.800%, 10/01/2015 (A)		390		391
Kraft Foods Group
1.625%, 06/04/2015		750		758
Kroger
0.756%, 10/17/2016 (B)		1,500		1,503
Mondelez International
0.745%, 02/01/2019 (B)		1,500		1,497
PepsiCo
0.425%, 07/30/2015 (B)		1,720		1,724
Philip Morris International
2.500%, 05/16/2016		750		779
President and Fellows of Harvard College
6.300%, 10/01/2037		600		658
Reynolds American
1.050%, 10/30/2015		310		310
SABMiller Holdings
0.915%, 08/01/2018 (A) (B)		750		754
Wm Wrigley Jr
3.700%, 06/30/2014 (A)		1,000		1,002

				15,993


Energy — 2.3%
BP Capital Markets
0.733%, 05/10/2018 (B)		1,500		1,503
CNOOC Nexen Finance 2014 ULC
1.625%, 04/30/2017		1,100		1,104
Devon Energy
0.773%, 12/15/2016 (B)		1,450		1,457
Enbridge
0.677%, 06/02/2017 (B)		1,575		1,574
Petrobras Global Finance BV
2.593%, 03/17/2017 (B)		2,200		2,230
1.849%, 05/20/2016 (B)		2,800		2,793
Schlumberger Norge
1.250%, 08/01/2017 (A)		205		204
Shell International Finance BV
0.434%, 11/15/2016 (B)		1,670		1,672
Statoil
0.685%, 11/08/2018 (B)		1,150		1,159
Total Capital Canada
0.607%, 01/15/2016 (B)		1,810		1,820
TransCanada PipeLines
0.750%, 01/15/2016		1,175		1,180

				16,696


Financials — 23.9%
Abbey National Treasury Services
3.875%, 11/10/2014 (A)		1,400		1,421
0.743%, 03/13/2017 (B)		3,635		3,639


220		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
ABN AMRO Bank
1.028%, 10/28/2016 (A) (B)	$	850	$	856
0.641%, 06/06/2016 (A) (B)		1,950		1,950
American Express
0.818%, 05/22/2018 (B)		1,000		1,008
American Express Centurion Bank
0.674%, 11/13/2015 (B)		1,960		1,968
American Express Credit
0.785%, 03/18/2019 (B)		1,250		1,258
American Honda Finance MTN
1.000%, 08/11/2015 (A)		1,243		1,252
0.602%, 05/26/2016 (A) (B)		2,600		2,611
Australia & New Zealand Banking Group
0.607%, 01/10/2017 (A) (B)		900		901
Australia & New Zealand Banking Group NY
0.784%, 05/15/2018 (B)		625		628
Bank of America
1.500%, 10/09/2015		2,615		2,642
1.267%, 01/15/2019 (B)		1,000		1,013
1.250%, 01/11/2016		850		857
Bank of Montreal MTN
0.829%, 04/09/2018 (B)		1,000		1,007
0.747%, 07/15/2016 (B)		525		528
0.484%, 09/24/2015 (B)		1,050		1,051
Bank of New York Mellon MTN
0.675%, 03/06/2018 (B)		700		702
0.466%, 03/04/2016 (B)		1,150		1,151
Bank of Nova Scotia
1.850%, 01/12/2015		2,295		2,317
0.950%, 03/15/2016		500		504
0.747%, 07/15/2016 (B)		2,465		2,479
0.676%, 09/11/2015 (B)		625		627
Bank of Tokyo-Mitsubishi UFJ
0.845%, 09/09/2016 (A) (B)		500		503
0.677%, 02/26/2016 (A) (B)		750		751
Barclays Bank MTN
6.050%, 12/04/2017 (A)		1,500		1,701
0.806%, 02/17/2017 (B)		2,675		2,689
BB&T MTN
1.093%, 06/15/2018 (B)		890		904
0.885%, 02/01/2019 (B)		800		804
BNP Paribas MTN
0.824%, 12/12/2016 (B)		3,930		3,945
BPCE MTN
1.073%, 02/10/2017 (B)		1,000		1,007
Branch Banking & Trust
0.666%, 12/01/2016 (B)		2,130		2,135
Canadian Imperial Bank of Commerce
0.900%, 10/01/2015		525		529
0.748%, 07/18/2016 (B)		1,300		1,308


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Capital One
0.684%, 03/22/2016 (B)	$	1,250	$	1,253
Capital One Bank USA
1.150%, 11/21/2016		800		802
Capital One Financial
1.377%, 07/15/2014 (B)		2,126		2,129
CDP Financial
3.000%, 11/25/2014 (A)		1,000		1,013
Citigroup
1.250%, 01/15/2016		3,800		3,823
1.000%, 04/08/2019 (B)		1,000		1,000
0.904%, 11/15/2016 (B)		1,000		1,004
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA
2.125%, 10/13/2015		1,940		1,985
0.715%, 03/18/2016 (B)		1,000		1,006
Credit Agricole
1.078%, 10/03/2016 (A) (B)		2,025		2,037
Credit Suisse NY MTN
1.375%, 05/26/2017		1,275		1,277
Credit Suisse USA
5.375%, 03/02/2016		1,236		1,336
Daimler Finance North America LLC
1.250%, 01/11/2016 (A)		2,635		2,663
1.085%, 08/01/2018 (A) (B)		800		809
0.905%, 08/01/2016 (A) (B)		2,010		2,028
Deutsche Bank
1.350%, 05/30/2017		1,250		1,251
ERAC USA Finance LLC
1.400%, 04/15/2016 (A)		335		338
Export-Import Bank of Korea
0.977%, 01/14/2017 (B)		1,000		1,005
Fifth Third Bank
1.350%, 06/01/2017		2,000		2,005
0.637%, 02/26/2016 (B)		1,320		1,324
Ford Motor Credit LLC
1.474%, 05/09/2016 (B)		320		325
1.064%, 03/12/2019 (B)		1,500		1,509
General Electric Capital MTN
1.261%, 07/02/2015 (B)		1,335		1,349
1.250%, 05/15/2017		1,000		1,003
0.941%, 04/02/2018 (B)		500		506
Goldman Sachs Group
3.625%, 02/07/2016		2,000		2,090
1.425%, 04/30/2018 (B)		875		889
1.324%, 11/15/2018 (B)		1,375		1,391
0.852%, 06/04/2017 (B)		1,925		1,925
0.684%, 03/22/2016 (B)		1,000		999
Harley-Davidson Financial Services MTN
3.875%, 03/15/2016 (A)		750		789
HSBC Bank
0.864%, 05/15/2018 (A) (B)		650		655


SEI Institutional Investments Trust / Annual Report / May 31, 2014			221

SCHEDULE OF INVESTMENTS

Ultra Short Duration Bond Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
HSBC USA
2.375%, 02/13/2015	$	710	$	720
Huntington National Bank
1.375%, 04/24/2017		850		854
0.654%, 04/24/2017 (B)		850		849
ING Bank
1.873%, 09/25/2015 (A) (B)		2,790		2,839
International Lease Finance
6.500%, 09/01/2014 (A)		850		861
Intesa Sanpaolo
3.125%, 01/15/2016		650		669
John Deere Capital
0.518%, 10/11/2016 (B)		725		727
JPMorgan Chase
1.129%, 01/25/2018 (B)		675		684
0.858%, 01/28/2019 (B)		1,000		1,004
0.847%, 02/26/2016 (B)		2,330		2,342
KeyBank
0.717%, 11/25/2016 (B)		1,490		1,497
Korea Development Bank
0.853%, 01/22/2017 (B)		2,400		2,403
Macquarie Group
1.225%, 01/31/2017 (A) (B)		1,000		1,001
Manufacturers & Traders Trust
0.600%, 01/30/2017 (B)		900		902
0.534%, 03/07/2016 (B)		1,210		1,208
Metropolitan Life Global Funding I
1.500%, 01/10/2018 (A)		740		737
0.607%, 04/10/2017 (A) (B)		3,500		3,508
Morgan Stanley
5.950%, 12/28/2017		550		627
1.477%, 02/25/2016 (B)		3,370		3,417
1.079%, 01/24/2019 (B)		750		753
National Rural Utilities Cooperative Finance MTN
0.527%, 11/23/2016 (B)		1,270		1,273
New York Life Global Funding
0.576%, 05/23/2016 (A) (B)		1,750		1,759
Nissan Motor Acceptance
4.500%, 01/30/2015 (A)		835		856
0.935%, 09/26/2016 (A) (B)		1,635		1,646
0.777%, 03/03/2017 (A) (B)		615		617
Nordea Bank
1.250%, 04/04/2017 (A)		1,250		1,253
PACCAR Financial MTN
0.835%, 12/06/2018 (B)		770		778
0.495%, 02/08/2016 (B)		1,000		1,002
Pentair Finance
1.350%, 12/01/2015		345		348
PNC Bank
0.800%, 01/28/2016		1,000		1,004
0.547%, 04/29/2016 (B)		1,730		1,731


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Pricoa Global Funding I MTN
5.450%, 06/11/2014 (A)	$	1,271	$	1,272
1.150%, 11/25/2016 (A)		800		802
0.375%, 05/16/2016 (A) (B)		1,000		1,000
Principal Life Global Funding II
1.200%, 05/19/2017 (A)		1,000		999
1.125%, 02/24/2017 (A)		550		548
1.000%, 12/11/2015 (A)		850		856
0.854%, 07/09/2014 (A) (B)		400		400
Prudential Financial MTN
5.100%, 09/20/2014		479		486
1.004%, 08/15/2018 (B)		1,250		1,252
Royal Bank of Canada MTN
1.200%, 01/23/2017		500		503
0.850%, 03/08/2016		3,130		3,146
0.556%, 01/23/2017 (B)		1,000		1,001
Royal Bank of Scotland Group
1.875%, 03/31/2017		800		806
Societe Generale
1.313%, 10/01/2018 (B)		1,000		1,003
Sumitomo Mitsui Banking
1.350%, 07/18/2015		650		656
0.657%, 01/10/2017 (B)		1,500		1,504
SunTrust Bank
0.664%, 02/15/2017 (B)		1,000		1,001
Svenska Handelsbanken
0.704%, 09/23/2016 (B)		1,500		1,508
Toronto-Dominion Bank MTN
0.695%, 09/09/2016 (B)		850		855
0.463%, 05/02/2017 (B)		900		901
Toyota Motor Credit MTN
1.125%, 05/16/2017		650		652
0.516%, 05/17/2016 (B)		2,110		2,117
Travelers
6.250%, 06/20/2016		2,000		2,224
UBS MTN
5.875%, 07/15/2016		1,000		1,099
Union Bank 0.985%, 09/26/2016 (B)		400		404
US Bancorp MTN
0.628%, 04/25/2019 (B)		1,400		1,403
USAA Capital
3.500%, 07/17/2014 (A)		450		452
Ventas Realty‡
1.550%, 09/26/2016		750		760
1.250%, 04/17/2017		285		285
Volkswagen Group of America Finance LLC
1.250%, 05/23/2017 (A)		750		751
Volkswagen International Finance
1.125%, 11/18/2016 (A)		690		693
0.666%, 11/18/2016 (A) (B)		2,010		2,018
Voya Financial
2.900%, 02/15/2018		650		675


222		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Wells Fargo MTN
1.150%, 06/02/2017	$	1,250	$	1,250
0.758%, 07/20/2016 (B)		2,270		2,283
Western Union
2.375%, 12/10/2015		145		148
1.227%, 08/21/2015 (B)		625		629
Westpac Banking
1.200%, 05/19/2017		700		702
0.836%, 01/17/2019 (B)		800		804

				171,881


Health Care — 2.1%
AbbVie
1.200%, 11/06/2015		700		706
Amgen
2.125%, 05/15/2017		1,350		1,385
0.608%, 05/22/2017 (B)		3,080		3,082
Express Scripts Holding
2.750%, 11/21/2014		1,550		1,566
GlaxoSmithKline Capital
0.700%, 03/18/2016		2,050		2,057
McKesson
1.292%, 03/10/2017		1,030		1,034
0.950%, 12/04/2015		395		397
Mylan
1.350%, 11/29/2016		950		955
Perrigo
1.300%, 11/08/2016 (A)		265		265
Providence Health & Services Obligated Group
1.033%, 10/01/2016 (B)		1,450		1,443
Thermo Fisher Scientific
1.300%, 02/01/2017		415		416
Warner Chilcott LLC
7.750%, 09/15/2018		1,650		1,743
WellPoint
1.250%, 09/10/2015		211		213

				15,262


Industrials — 1.5%
Air Lease
4.500%, 01/15/2016		1,000		1,051
Canadian National Railway
0.423%, 11/06/2015 (B)		1,970		1,971
GATX
1.250%, 03/04/2017		525		524
General Electric
0.850%, 10/09/2015		4,495		4,521
Penske Truck Leasing
2.500%, 07/11/2014 (A)		85		85
Precision Castparts
0.700%, 12/20/2015		235		236


Description	Face Amount ($ Thousands)			Market Value ($ Thousands)
Rockwell Collins
0.583%, 12/15/2016 (B)	$	2,305		$	2,311

			��		10,699


Information Technology — 0.8%
Banco Santander Chile
1.127%, 04/11/2017 (A) (B)		1,200			1,200
Fidelity National Information Services
1.450%, 06/05/2017		470			471
Hewlett-Packard
3.000%, 09/15/2016		2,200			2,300
1.167%, 01/14/2019 (B)		1,000			1,006
TSMC Global
0.950%, 04/03/2016 (A)		550			552

					5,529


Materials — 1.2%
Glencore Funding LLC
1.387%, 05/27/2016 (A) (B)		1,350			1,359
Monsanto
0.423%, 11/07/2016 (B)		2,440			2,445
Rio Tinto Finance USA
1.073%, 06/17/2016 (B)		2,260			2,282
Xstrata Finance Canada
2.050%, 10/23/2015 (A)		1,750			1,774
Yara International
5.250%, 12/15/2014 (A)		450			460

					8,320


Telecommunication Services — 1.1%
AT&T
0.608%, 02/12/2016 (B)		2,850			2,854
BellSouth
5.200%, 09/15/2014		361			366
British Telecommunications
1.250%, 02/14/2017		655			657
Verizon Communications
1.984%, 09/14/2018 (B)		935			985
1.763%, 09/15/2016 (B)		1,310			1,347
0.435%, 03/06/2015 (A) (B)		1,550			1,551

					7,760


Utilities — 1.5%
Dominion Gas Holdings LLC
1.050%, 11/01/2016 (A)		1,000			998
Duke Energy
0.610%, 04/03/2017 (B)		2,890			2,899
Duke Energy Progress
0.435%, 03/06/2017 (B)		1,710			1,711
Georgia Power
0.625%, 11/15/2015		2,700			2,706
0.624%, 08/15/2016 (B)		1,700			1,701


SEI Institutional Investments Trust / Annual Report / May 31, 2014			223

SCHEDULE OF INVESTMENTS

Ultra Short Duration Bond Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
NextEra Energy Capital Holdings
1.339%, 09/01/2015	$	900	$	908

				10,923

Total Corporate Obligations (Cost $274,500) ($ Thousands)				275,735


ASSET-BACKED SECURITIES — 33.4%

Automotive — 19.3%
Ally Auto Receivables Trust, Ser 2010-5, Cl B
2.450%, 06/15/2016 (A)		410		414
Ally Auto Receivables Trust, Ser 2012-5, Cl A3
0.009%, 03/15/2017		700		701
Ally Auto Receivables Trust, Ser 2012-SN1, Cl A3
0.570%, 08/20/2015		2,147		2,148
Ally Auto Receivables Trust, Ser 2012-SN1, Cl A4
0.700%, 12/21/2015		1,675		1,676
Ally Auto Receivables Trust, Ser 2013-1, Cl A3
0.630%, 05/15/2017		1,600		1,603
Ally Auto Receivables Trust, Ser 2013-SN1, Cl A3
0.720%, 05/20/2016		1,145		1,146
Ally Auto Receivables Trust, Ser 2014-SN1, Cl A3
0.750%, 02/21/2017		565		565
Ally Master Owner Trust, Ser 2012-3, Cl A2
1.210%, 06/15/2017		1,480		1,490
Ally Master Owner Trust, Ser 2013-1, Cl A1
0.601%, 02/15/2018 (B)		610		611
Ally Master Owner Trust, Ser 2013-1, Cl A2
1.000%, 02/15/2018		1,875		1,882
Ally Master Owner Trust, Ser 2013-2, Cl A
0.601%, 04/15/2018 (B)		1,425		1,428
Ally Master Owner Trust, Ser 2014-1, Cl A1
0.621%, 01/15/2019 (B)		2,215		2,216
Ally Master Owner Trust, Ser 2014-2, Cl A
0.521%, 01/16/2018 (B)		1,325		1,325
American Credit Acceptance Receivables Trust, Ser 2012-3, Cl A
1.640%, 11/15/2016 (A)		244		244


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
American Credit Acceptance Receivables Trust, Ser 2013-1, Cl A
1.450%, 04/16/2018 (A)	$	522	$	524
American Credit Acceptance Receivables Trust, Ser 2013-2, Cl A
1.320%, 02/15/2017 (A)		488		489
American Credit Acceptance Receivables Trust, Ser 2014-1, Cl A
1.140%, 03/12/2018 (A)		448		449
AmeriCredit Automobile Receivables Trust, Ser 2010-A, Cl A3
3.510%, 07/06/2017		223		224
AmeriCredit Automobile Receivables Trust, Ser 2011-3, Cl B
2.280%, 06/08/2016		692		694
AmeriCredit Automobile Receivables Trust, Ser 2012-2, Cl A3
1.050%, 10/11/2016		1,623		1,626
AmeriCredit Automobile Receivables Trust, Ser 2012-5, Cl A3
0.620%, 06/08/2017		675		676
AmeriCredit Automobile Receivables Trust, Ser 2013-1, Cl A2
0.490%, 06/08/2016		256		256
AmeriCredit Automobile Receivables Trust, Ser 2013-2, Cl A3
0.650%, 12/08/2017		930		930
AmeriCredit Automobile Receivables Trust, Ser 2013-4, Cl A2
0.740%, 11/08/2016		905		906
AmeriCredit Automobile Receivables Trust, Ser 2013-5, Cl A2B
0.531%, 03/08/2017 (B)		323		323
ARI Fleet Lease Trust, Ser 2012-A, Cl A
0.701%, 03/15/2020 (A) (B)		750		751
ARI Fleet Lease Trust, Ser 2012-B, Cl A
0.451%, 01/15/2021 (A) (B)		2,077		2,076
ARI Fleet Lease Trust, Ser 2013-A, Cl A2
0.700%, 12/15/2015 (A)		464		464


224		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
ARI Fleet Lease Trust, Ser 2013-A, Cl A3
0.920%, 07/15/2021 (A)	$	370	$	371
ARI Fleet Lease Trust, Ser 2014-A, Cl A2
0.810%, 11/15/2022 (A)		435		435
California Republic Auto Receivables Trust, Ser 2013-1, Cl A2
1.410%, 09/17/2018 (A)		2,166		2,185
Capital Auto Receivables Asset Trust, Ser 2014-1, Cl A1A
0.680%, 05/20/2016		980		982
Carfinance Capital Auto Trust, Ser 2013-1A, Cl A
1.650%, 07/17/2017 (A)		92		92
CarMax Auto Owner Trust, Ser 2011-2, Cl A4
1.350%, 02/15/2017		765		771
CarMax Auto Owner Trust, Ser 2011-3, Cl B
2.170%, 07/17/2017		875		893
CarMax Auto Owner Trust, Ser 2012-1, Cl A3
0.890%, 09/15/2016		202		203
CarMax Auto Owner Trust, Ser 2012-3, Cl A3
0.520%, 07/17/2017		377		378
CarMax Auto Owner Trust, Ser 2012-3, Cl C
1.500%, 08/15/2018		225		228
CarMax Auto Owner Trust, Ser 2013-1, Cl A2
0.420%, 03/15/2016		142		142
Chesapeake Funding LLC, Ser 2011-2A, Cl A
1.402%, 04/07/2024 (A) (B)		1,260		1,272
Chesapeake Funding LLC, Ser 2012-1A, Cl A
0.902%, 11/07/2023 (A) (B)		2,291		2,300
Chesapeake Funding LLC, Ser 2012-2A, Cl A
0.602%, 05/07/2024 (A) (B)		928		930
Chesapeake Funding LLC, Ser 2013-1A, Cl A
0.602%, 01/07/2025 (A) (B)		1,945		1,947
Chesapeake Funding LLC, Ser 2014-1A, Cl A
0.572%, 03/07/2026 (A) (B)		1,595		1,595
Chrysler Capital Auto Receivables Trust, Ser 2013-AA, Cl A2
0.610%, 11/15/2016 (A)		502		502
CPS Auto Receivables Trust, Ser 2013-D, Cl A
1.540%, 07/16/2018 (A)		929		933


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
CPS Auto Receivables Trust, Ser 2014-A, Cl A
1.210%, 08/15/2018 (A)	$	526	$	525
Credit Acceptance Auto Loan Trust, Ser 2011-1, Cl B
3.960%, 09/15/2019 (A)		1,030		1,041
Credit Acceptance Auto Loan Trust, Ser 2012-1A, Cl A
2.200%, 09/16/2019 (A)		185		186
Credit Acceptance Auto Loan Trust, Ser 2013-1A, Cl A
1.210%, 10/15/2020 (A)		560		561
Credit Acceptance Auto Loan Trust, Ser 2013-2A, Cl A
1.500%, 04/15/2021 (A)		660		666
Credit Acceptance Auto Loan Trust, Ser 2014-1A, Cl A
1.550%, 10/15/2021 (A)		1,210		1,213
DT Auto Owner Trust, Ser 2014-1A, Cl A
0.660%, 07/17/2017 (A)		565		565
Enterprise Fleet Financing LLC, Ser 2012-1, Cl A2
1.140%, 11/20/2017 (A)		751		752
Enterprise Fleet Financing LLC, Ser 2012-2, Cl A2
0.720%, 04/20/2018 (A)		557		557
Enterprise Fleet Financing LLC, Ser 2013-1, Cl A2
0.680%, 09/20/2018 (A)		2,124		2,124
Enterprise Fleet Financing LLC, Ser 2013-2, Cl A2
1.060%, 03/20/2019 (A)		920		923
Enterprise Fleet Financing LLC, Ser 2014-1, Cl A2
0.870%, 09/20/2019 (A)		475		476
Fifth Third Auto Trust, Ser 2013-A, Cl A2
0.450%, 01/15/2016		572		573
First Investors Auto Owner Trust, Ser 2012-2A, Cl A2
1.470%, 05/15/2018 (A)		595		598
First Investors Auto Owner Trust, Ser 2013-1A, Cl A2
0.900%, 10/15/2018 (A)		329		329
First Investors Auto Owner Trust, Ser 2013-2A, Cl A2
1.230%, 03/15/2019 (A)		1,608		1,615
First Investors Auto Owner Trust, Ser 2013-3A, Cl A2
0.890%, 09/15/2017 (A)		350		350
First Investors Auto Owner Trust, Ser 2014-1A, Cl A2
0.800%, 02/15/2018 (A)		875		875


SEI Institutional Investments Trust / Annual Report / May 31, 2014			225

SCHEDULE OF INVESTMENTS

Ultra Short Duration Bond Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Ford Credit Auto Lease Trust, Ser 2012-A, Cl A4
1.030%, 04/15/2015	$	1,353	$	1,354
Ford Credit Auto Lease Trust, Ser 2012-B, Cl A3
0.570%, 09/15/2015		1,919		1,920
Ford Credit Auto Lease Trust, Ser 2013-B, Cl A2B
0.421%, 01/15/2016 (B)		535		535
Ford Credit Auto Owner Trust, Ser 2011-A, Cl D
3.210%, 07/15/2017		1,300		1,334
Ford Credit Auto Owner Trust, Ser 2012-A, Cl B
1.880%, 08/15/2017		875		893
Ford Credit Auto Owner Trust, Ser 2012-B, Cl D
2.930%, 10/15/2018		1,500		1,554
Ford Credit Auto Owner Trust, Ser 2012-C, Cl A3
0.580%, 12/15/2016		294		294
Ford Credit Auto Owner Trust, Ser 2013-A, Cl A3
0.550%, 07/15/2017		1,094		1,095
Ford Credit Auto Owner Trust, Ser 2013-D, Cl A3
0.670%, 04/15/2018		1,075		1,075
Ford Credit Floorplan Master Owner Trust, Ser 2012-2, Cl A
1.920%, 01/15/2019		875		894
Ford Credit Floorplan Master Owner Trust, Ser 2013-1, Cl A2
0.531%, 01/15/2018 (B)		3,835		3,842
Ford Credit Floorplan Master Owner Trust, Ser 2013-5, Cl A2
0.621%, 09/15/2018 (B)		655		657
Ford Credit Floorplan Master Owner Trust, Ser 2014-1, Cl B
1.400%, 02/15/2019		205		205
GE Dealer Floorplan Master Note Trust, Ser 2011-1, Cl A
0.749%, 07/20/2016 (B)		2,525		2,526
GE Dealer Floorplan Master Note Trust, Ser 2012-1, Cl A
0.719%, 02/20/2017 (B)		2,678		2,681
GE Dealer Floorplan Master Note Trust, Ser 2012-3, Cl A
0.639%, 06/20/2017 (B)		2,435		2,442
GE Dealer Floorplan Master Note Trust, Ser 2012-4, Cl A
0.589%, 10/20/2017 (B)		3,301		3,309


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GM Financial Automobile Leasing Trust, Ser 2014-1A, Cl A3
1.010%, 05/22/2017 (A)	$	2,860	$	2,867
Harley-Davidson Motorcycle Trust, Ser 2011-1, Cl A3
0.960%, 05/16/2016		105		105
Harley-Davidson Motorcycle Trust, Ser 2012-1, Cl A3
0.680%, 04/15/2017		1,385		1,387
Harley-Davidson Motorcycle Trust, Ser 2013-1, Cl A3
0.650%, 07/16/2018		1,000		1,002
Hertz Fleet Lease Funding, Ser 2013-3, Cl A
0.700%, 12/10/2027 (A) (B)		845		847
Hertz Fleet Lease Funding, Ser 2013-3, Cl B
1.200%, 12/10/2027 (A) (B)		1,650		1,655
Hertz Vehicle Financing LLC, Ser 2011-1A, Cl A1
2.200%, 03/25/2016 (A)		418		422
Honda Auto Receivables Owner Trust, Ser 2011-2, Cl A3
0.940%, 03/18/2015		2		2
Honda Auto Receivables Owner Trust, Ser 2012-4, Cl A3
0.520%, 08/18/2016		585		586
Honda Auto Receivables Owner Trust, Ser 2013-1, Cl A3
0.480%, 11/21/2016		375		375
Huntington Auto Trust, Ser 2012-2, Cl A3
0.510%, 04/17/2017		545		545
Hyundai Auto Lease Securitization Trust, Ser 2012-A, Cl A3
0.920%, 08/17/2015 (A)		924		925
Hyundai Auto Receivables Trust, Ser 2011-A, Cl B
2.450%, 04/15/2016		425		431
M&T Bank Auto Receivables Trust, Ser 2013-1A, Cl A3
1.060%, 11/15/2017 (A)		2,200		2,216
Mercedes-Benz Auto Lease Trust, Ser 2013-A, Cl A3
0.590%, 02/15/2016		1,750		1,752
Mercedes-Benz Auto Lease Trust, Ser 2013-B, Cl A3
0.620%, 07/15/2016		985		987
Mercedes-Benz Auto Receivables Trust, Ser 2012-1, Cl A3
0.470%, 10/17/2016		836		836
Mercedes-Benz Auto Receivables Trust, Ser 2012-1, Cl A4
0.610%, 12/17/2018		1,345		1,346


226		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
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
0.421%, 11/15/2016 (A) (B)		2,050		2,050
Motor, Ser 2013-1, Cl A1
0.650%, 02/25/2021 (A) (B)		627		627
Nissan Auto Lease Trust, Ser 2012-B, Cl A2A
0.450%, 06/15/2015		55		55
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
0.622%, 05/15/2017 (B)		3,245		3,254
Nissan Master Owner Trust Receivables, Ser 2013-A, Cl A
0.451%, 02/15/2018 (B)		570		570
Porsche Innovative Lease Owner Trust, Ser 2012-1, Cl A3
0.540%, 12/21/2015 (A)		288		288
Porsche Innovative Lease Owner Trust, Ser 2013-1, Cl A4
0.880%, 10/22/2019 (A)		665		667
Prestige Auto Receivables Trust, Ser 2013-1A, Cl A2
1.090%, 02/15/2018 (A)		1,721		1,725
Prestige Auto Receivables Trust, Ser 2013-1A, Cl A3
1.330%, 05/15/2019 (A)		600		602
Prestige Auto Receivables Trust, Ser 2014-1A, Cl A2
0.970%, 03/15/2018 (A)		2,555		2,553
Santander Drive Auto Receivables Trust, Ser 2010-2, Cl C
3.890%, 07/17/2017		616		622
Santander Drive Auto Receivables Trust, Ser 2012-3, Cl D
3.640%, 05/15/2018		1,175		1,230
Santander Drive Auto Receivables Trust, Ser 2012-4, Cl B
1.830%, 03/15/2017		2,000		2,014
Santander Drive Auto Receivables Trust, Ser 2013-1, Cl A2
0.480%, 02/16/2016		4		4
Santander Drive Auto Receivables Trust, Ser 2013-2, Cl A3
0.700%, 09/15/2017		1,200		1,201
Santander Drive Auto Receivables Trust, Ser 2013-3, Cl A3
0.700%, 10/16/2017		865		866


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Santander Drive Auto Receivables Trust, Ser 2013-5, Cl A2B
0.531%, 04/17/2017 (B)	$	935	$	936
Santander Drive Auto Receivables Trust, Ser 2014-1, Cl A2A
0.660%, 06/15/2017		565		566
SMART Trust, Ser 2014-1US, Cl A2B
0.451%, 07/14/2016 (B)		2,605		2,605
SNAAC Auto Receivables Trust, Ser 2013-1A, Cl A
1.140%, 07/16/2018 (A)		209		209
SNAAC Auto Receivables Trust, Ser 2014-1A, Cl A
1.030%, 09/17/2018 (A)		1,246		1,245
Toyota Auto Receivables Owner Trust, Ser 2013-A, Cl A3
0.550%, 01/17/2017		280		280
Volkswagen Auto Lease Trust, Ser 2013-A, Cl A3
0.840%, 11/20/2015		365		367
Volkswagen Auto Lease Trust, Ser 2014-A, Cl A4
0.990%, 07/20/2018		1,595		1,597
Volvo Financial Equipment LLC, Ser 2013-1A, Cl A3
0.740%, 03/15/2017 (A)		960		962
Volvo Financial Equipment LLC, Ser 2014-1A, Cl A3
0.820%, 04/16/2018 (A)		605		605
Westlake Automobile Receivables Trust, Ser 2013-1A, Cl A2
1.120%, 01/15/2018 (A)		745		747
Westlake Automobile Receivables Trust, Ser 2014-1A, Cl A2
0.700%, 05/15/2017 (A)		1,010		1,010
Wheels SPV LLC, Ser 2014-1A, Cl A2
0.840%, 03/20/2023 (A)		480		480
World Omni Auto Receivables Trust, Ser 2012-B, Cl A3
0.610%, 06/15/2017		700		701
World Omni Automobile Lease Securitization Trust, Ser 2012-A, Cl A3
0.930%, 11/16/2015		1,520		1,523
World Omni Master Owner Trust, Ser 2013-1, Cl A
0.501%, 02/15/2018 (A) (B)		2,105		2,108

				138,206


SEI Institutional Investments Trust / Annual Report / May 31, 2014			227

SCHEDULE OF INVESTMENTS

Ultra Short Duration Bond Fund (Continued)

May 31, 2014


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

Credit Cards — 6.4%
American Express Credit Account Master Trust, Ser 2012-2, Cl A
0.680%, 03/15/2018	$	2,550	$	2,559
American Express Credit Account Master Trust, Ser 2012-2, Cl B
0.990%, 03/15/2018		565		567
American Express Credit Account Master Trust, Ser 2013-3, Cl A
0.980%, 05/15/2019		455		456
BA Credit Card Trust, Ser 2014-A1, Cl A
0.531%, 06/15/2021 (B)		1,495		1,496
Barclays Dryrock Issuance Trust, Ser 2012-1, Cl A
0.301%, 08/15/2017 (B)		425		425
Barclays Dryrock Issuance Trust, Ser 2012-2, Cl A
0.640%, 08/15/2018		1,215		1,216
Barclays Dryrock Issuance Trust, Ser 2013-1, Cl A
0.491%, 07/16/2018 (B)		360		361
Barclays Dryrock Issuance Trust, Ser 2014-1, Cl A
0.511%, 12/16/2019 (B)		805		808
Cabela’s Master Credit Card Trust, Ser 2014-1, Cl A
0.501%, 03/16/2020 (B)		405		405
Capital One Multi-Asset Execution Trust, Ser 2013-A3, Cl A3
0.960%, 09/16/2019		900		901
Capital One Multi-Asset Execution Trust, Ser 2014-A2, Cl A2
1.260%, 01/15/2020		1,000		1,006
Chase Issuance Trust, Ser 2007-B1, Cl B1
0.401%, 04/15/2019 (B)		1,750		1,738
Chase Issuance Trust, Ser 2012-A3, Cl A3
0.790%, 06/15/2017		1,165		1,170
Chase Issuance Trust, Ser 2012-A5, Cl A5
0.590%, 08/15/2017		3,480		3,487
Chase Issuance Trust, Ser 2013-A6, Cl A6
0.571%, 07/15/2020 (B)		1,350		1,354
Chase Issuance Trust, Ser 2013-A9, Cl A
0.571%, 11/16/2020 (B)		1,500		1,503
Chase Issuance Trust, Ser 2014-A1, Cl A1
1.150%, 01/15/2019		975		980
Chase Issuance Trust, Ser 2014-A3, Cl A3
0.351%, 05/15/2018 (B)		2,790		2,790


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Citibank Credit Card Issuance Trust, Ser 2013-A10, Cl A10
0.730%, 02/07/2018	$	3,500	$	3,507
Citibank Credit Card Issuance Trust, Ser 2013-A12, Cl A12
0.453%, 11/07/2018 (B)		1,100		1,100
Citibank Credit Card Issuance Trust, Ser 2013-A6, Cl A6
1.320%, 09/07/2018		1,490		1,506
Citibank Credit Card Issuance Trust, Ser 2013-A8, Cl A8
0.300%, 12/12/2016 (B)		1,600		1,601
Citibank Credit Card Issuance Trust, Ser 2014-A2, Cl A2
1.020%, 02/22/2019		1,035		1,035
Citibank Credit Card Issuance Trust, Ser 2014-A4, Cl A4
1.230%, 04/24/2019		2,000		2,008
Citibank Omni Master Trust, Ser 2009-A13, Cl A13
5.350%, 08/15/2018 (A)		700		707
Citibank Omni Master Trust, Ser 2009-A17, Cl A17
4.900%, 11/15/2018 (A)		2,250		2,296
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		302
Discover Card Execution Note Trust, Ser 2014-A3, Cl A3
1.220%, 10/15/2019		1,045		1,049
GE Capital Credit Card Master Note Trust, Ser 2009-4, Cl A
3.800%, 11/15/2017		740		751
Golden Credit Card Trust, Ser 2012-3A, Cl A
0.601%, 07/17/2017 (A) (B)		765		767
Golden Credit Card Trust, Ser 2012-5A, Cl A
0.790%, 09/15/2017 (A)		675		676
Golden Credit Card Trust, Ser 2013-2A, Cl A
0.581%, 09/15/2018 (A) (B)		1,120		1,124
Golden Credit Card Trust, Ser 2014-1A, Cl A
0.475%, 03/15/2019 (A) (B)		1,170		1,170
Gracechurch Card Funding, Ser 2012-4A, Cl A
0.851%, 06/15/2017 (A) (B)		1,000		1,004
Master Credit Card Trust II, Ser 2012-2A, Cl A
0.780%, 04/21/2017 (A)		420		421


228		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Master Credit Card Trust II, Ser 2013-3A, Cl A
0.582%, 01/22/2018 (A) (B)	$	1,175	$	1,178

				45,976


Mortgage Related Securities — 1.2%
Accredited Mortgage Loan Trust, Ser 2004-4, Cl A1A
0.492%, 01/25/2035 (B)		517		505
Aegis Asset-Backed Securities Trust Mortgage Pass-Through Certificates, Ser 2004-4, Cl A1
0.510%, 10/25/2034 (B)		1,093		1,071
Bayview Financial Acquisition Trust, Ser 2004-D, Cl A
0.736%, 08/28/2044 (B)		35		35
Bear Stearns Asset-Backed Securities I Trust, Ser 2005-HE3, Cl M2
1.172%, 03/25/2035 (B)		1,646		1,636
Citigroup Mortgage Loan Trust, Ser 2004-OPT1, Cl A2
0.870%, 10/25/2034 (B)		121		121
Citigroup Mortgage Loan Trust, Ser 2006-HE1, Cl A4
0.420%, 01/25/2036 (B)		45		45
HSBC Home Equity Loan Trust, Ser 2005-1, Cl A
0.439%, 01/20/2034 (B)		1,361		1,354
HSBC Home Equity Loan Trust, Ser 2006-1, Cl A1
0.309%, 01/20/2036 (B)		1,997		1,984
HSBC Home Equity Loan Trust, Ser 2006-2, Cl A1
0.299%, 03/20/2036 (B)		545		540
HSBC Home Equity Loan Trust, Ser 2006-3, Cl A4
0.389%, 03/20/2036 (B)		884		875
Merrill Lynch Mortgage Investors Trust, Ser 2006-FF1, Cl A2C
0.350%, 08/25/2036 (B)		647		630

				8,796


Other Asset-Backed Securities — 6.5%
Apidos CLO XII, Ser 2013-12A, Cl A
1.327%, 04/15/2025 (A) (B)		1,100		1,082
Atrium X, Ser 2013-10A, Cl A
1.349%, 07/16/2025 (A) (B)		1,165		1,150
Avalon IV Capital, Ser 2014-1AR, Cl AR
1.396%, 04/17/2023 (A) (B)		840		840
Babson CLO, Ser 2013-IA, Cl A
1.328%, 04/20/2025 (A) (B)		1,200		1,184


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Carlyle Global Market Strategies CLO, Ser 2013-2A, Cl A
1.387%, 04/18/2025 (A) (B)	$	325	$	322
Cent CLO 20, Ser 2014-20A, Cl A
1.709%, 01/25/2026 (A) (B)		1,850		1,848
CIFC Funding, Ser 2013-1A, Cl A1
1.379%, 04/16/2025 (A) (B)		1,060		1,045
CNH Equipment Trust, Ser 2012-A, Cl A3
0.940%, 05/15/2017		76		76
CNH Equipment Trust, Ser 2013-A, Cl A2
0.440%, 07/15/2016		187		187
CNH Equipment Trust, Ser 2013-D, Cl A2
0.490%, 03/15/2017		795		795
Dryden XXXI Senior Loan Fund, Ser 2014-31A, Cl A
1.620%, 04/18/2026 (A) (B)		1,315		1,309
GE Equipment Midticket LLC, Ser 2012-1, Cl A3
0.600%, 05/23/2016		232		232
GE Equipment Midticket LLC, Ser 2013-1, Cl A2
0.640%, 03/22/2016		400		400
GE Equipment Small Ticket LLC, Ser 2012-1A, Cl A3
1.040%, 09/21/2015 (A)		439		440
GE Equipment Small Ticket LLC, Ser 2014-1A, Cl A3
0.950%, 09/25/2017 (A)		1,020		1,025
GE Equipment Transportation LLC, Ser 2012-1, Cl A3
0.990%, 11/23/2015		91		91
GE Equipment Transportation LLC, Ser 2012-2, Cl A3
0.620%, 07/25/2016		2,281		2,283
GE Equipment Transportation LLC, Ser 2013-2, Cl A2
0.610%, 06/24/2016		725		726
ING IM CLO, Ser 2014-1A, Cl A1
1.769%, 04/18/2026 (A) (B)		1,310		1,310
ING IM CLO, Ser 2014-1RA, Cl A1R
1.434%, 03/14/2022 (A) (B)		800		800
John Deere Owner Trust, Ser 2012-B, Cl A3
0.530%, 07/15/2016		488		488
John Deere Owner Trust, Ser 2013-A, Cl A3
0.600%, 03/15/2017		1,600		1,602
John Deere Owner Trust, Ser 2013-B, Cl A2
0.550%, 01/15/2016		441		441


SEI Institutional Investments Trust / Annual Report / May 31, 2014			229

SCHEDULE OF INVESTMENTS

Ultra Short Duration Bond Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
John Deere Owner Trust, Ser 2014-A, Cl A3
0.920%, 04/16/2018	$	1,515	$	1,519
JPMorgan Mortgage Acquisition, Ser 2005-FD1, Cl M1
0.640%, 07/25/2035 (B)		554		549
Katonah, Ser 2005-7A, Cl B
0.644%, 11/15/2017 (A) (B)		696		692
Kubota Credit Owner Trust, Ser 2014-1A, Cl A2
0.580%, 02/15/2017 (A)		515		515
Limerock CLO II, Ser 2014-2A, Cl A
1.735%, 04/18/2026 (A) (B)		1,250		1,250
Macquarie Equipment Funding Trust, Ser 2012-A, Cl A2
0.610%, 04/20/2015 (A)		325		325
Madison Park Funding, Ser 2007-4A, Cl A1B
0.534%, 03/22/2021 (A) (B)		580		565
Morgan Stanley ABS Capital I Trust, Ser 2005-WMC5, Cl M3
0.885%, 06/25/2035 (B)		222		220
Navient Student Loan Trust, Ser 2014-1, Cl A1
0.398%, 03/25/2021 (B)		4,900		4,900
Nelnet Education Loan Funding, Ser 2004-2A, Cl A4
0.367%, 08/26/2019 (B)		207		207
Neuberger Berman CLO XVI, Ser 2014-16A, Cl A1
1.741%, 04/15/2026 (A) (B)		955		954
New York City Tax Lien, Ser 2013-A, Cl A
1.190%, 11/10/2026 (A)		226		226
Octagon Investment Partners XVI, Ser 2013-1A, Cl A
1.358%, 07/17/2025 (A) (B)		1,000		985
OHA Credit Partners VIII, Ser 2013-8A, Cl A
1.348%, 04/20/2025 (A) (B)		690		681
OHA Intrepid Leveraged Loan Fund, Ser 2013-1AR, Cl AR
1.148%, 04/20/2021 (A) (B)		856		856
Option One Mortgage Loan Trust, Ser 2005-1, Cl A1A
0.650%, 02/25/2035 (B)		662		651
SLM Private Education Loan Trust, Ser 2011-B, Cl A1
1.001%, 12/16/2024 (A) (B)		452		454
SLM Student Loan Trust, Ser 2005-9, Cl A4
0.329%, 01/25/2023 (B)		100		100


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
SLM Student Loan Trust, Ser 2006-4, Cl A4
0.309%, 04/25/2023 (B)	$	19	$	19
SLM Student Loan Trust, Ser 2006-10, Cl A4
0.299%, 07/25/2023 (B)		3,277		3,269
SLM Student Loan Trust, Ser 2007-2, Cl A2
0.229%, 07/25/2017 (B)		405		404
SLM Student Loan Trust, Ser 2007-3, Cl A2
0.239%, 10/25/2017 (B)		79		79
SLM Student Loan Trust, Ser 2007-7, Cl A2
0.429%, 01/25/2016 (B)		249		249
SLM Student Loan Trust, Ser 2008-6, Cl A2
0.779%, 10/25/2017 (B)		64		64
SLM Student Loan Trust, Ser 2011-A, Cl A1
1.151%, 10/15/2024 (A) (B)		143		144
SLM Student Loan Trust, Ser 2012-5, Cl A1
0.350%, 11/25/2016 (B)		384		384
SLM Student Loan Trust, Ser 2012-6, Cl A1
0.310%, 02/27/2017 (B)		459		459
SLM Student Loan Trust, Ser 2012-7, Cl A1
0.310%, 02/27/2017 (B)		777		776
SLM Student Loan Trust, Ser 2013-1, Cl A1
0.300%, 02/27/2017 (B)		512		512
SMS Student Loan Trust, Ser 1999-A, Cl A2
0.478%, 10/28/2029 (B)		283		283
SMS Student Loan Trust, Ser 2000-A, Cl A2
0.418%, 10/28/2028 (B)		479		476
SMS Student Loan Trust, Ser 2000-B, Cl A2
0.428%, 04/28/2029 (B)		116		116
Springleaf Funding Trust, Ser 2014-AA, Cl A
2.410%, 12/15/2022 (A)		1,065		1,067
Structured Asset Securities Mortgage Loan Trust, Ser 2006-GEL3, Cl A2
0.380%, 07/25/2036 (A) (B)		2,626		2,605
Structured Asset Securities Mortgage Loan Trust, Ser 2006-WF1, Cl A1
0.300%, 02/25/2036 (B)		718		707

				46,938

Total Asset-Backed Securities (Cost $239,630) ($ Thousands)				239,916


230		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

MORTGAGE-BACKED SECURITIES — 16.4%

Agency Mortgage-Backed Obligations — 4.7%
FHLMC
4.000%, 05/01/2019 to 04/01/2020	$	2,551	$	2,715
FHLMC ARM (B)
2.375%, 05/01/2036		192		203
2.200%, 02/01/2022		219		234
2.166%, 02/01/2030		165		175
FHLMC CMO, Ser 2003-2654, Cl OG
5.000%, 02/15/2032		14		14
FHLMC CMO, Ser 2003-2676, Cl CY
4.000%, 09/15/2018		203		212
FHLMC CMO, Ser 2004-2778, Cl JD
5.000%, 12/15/2032		34		34
FHLMC CMO, Ser 2004-2890, Cl KC
4.500%, 02/15/2019		4		4
FHLMC CMO, Ser 2005-2931, Cl AM
4.500%, 07/15/2019		110		111
FHLMC CMO, Ser 2010-3634, Cl EA
4.000%, 11/15/2023		368		376
FHLMC Multifamily Structured Pass Through Certificates, Ser K703, Cl A1
1.873%, 01/25/2018		1,222		1,245
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN2, Cl M1
1.000%, 04/25/2024 (B)		1,078		1,079
FNMA
6.000%, 01/01/2027 to 04/01/2040		739		832
5.000%, 04/01/2020 to 03/01/2025		1,240		1,348
4.500%, 05/01/2023		751		802
1.990%, 01/01/2017		425		425
1.940%, 01/01/2017		487		491
FNMA ARM (B)
2.340%, 01/01/2029		30		31
2.271%, 11/01/2023		51		53
2.245%, 11/01/2025		20		21
2.066%, 09/01/2024		150		157
2.045%, 05/01/2028		95		100
2.014%, 09/01/2024		60		62
1.250%, 11/01/2021		27		28
FNMA CMO, Ser 1993-58, Cl H
5.500%, 04/25/2023		66		71


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FNMA CMO, Ser 2001-33, Cl FA
0.600%, 07/25/2031 (B)	$	40	$	40
FNMA CMO, Ser 2002-56, Cl MC
5.500%, 09/25/2017		881		923
FNMA CMO, Ser 2002-64, Cl FG
0.401%, 10/18/2032 (B)		44		44
FNMA CMO, Ser 2002-77, Cl CB
5.000%, 12/25/2017		231		244
FNMA CMO, Ser 2010-64, Cl EH
5.000%, 10/25/2035		169		175
FNMA CMO, Ser 2010-M3, Cl A1
2.587%, 03/25/2020		196		197
FNMA CMO, Ser 2011-109, Cl PK
4.000%, 08/25/2041		259		266
FNMA CMO, Ser 2011-6, Cl BA
2.750%, 06/25/2020		684		706
FNMA TBA
3.500%, 06/15/2026		3,850		4,074
3.000%, 06/25/2027		8,028		8,354
GNMA ARM
4.500%, 09/20/2039 (B)		310		326
GNMA CMO, Ser 2006-47, Cl AC
5.000%, 02/16/2033		509		535
GNMA CMO, Ser 2009-104, Cl NJ
4.250%, 07/20/2036		288		299
GNMA CMO, Ser 2009-113, Cl MJ
4.000%, 03/16/2023		878		916
GNMA CMO, Ser 2010-122, Cl A
1.897%, 01/16/2032		99		99
GNMA CMO, Ser 2010-43, Cl JA
3.000%, 09/20/2037		752		773
GNMA CMO, Ser 2010-61, Cl EA
5.000%, 09/20/2031		376		388
GNMA CMO, Ser 2011-110, Cl A
2.237%, 03/16/2033		236		237
NCUA Guaranteed Notes CMO, Ser 2010-R1, Cl 1A
0.602%, 10/07/2020 (B)		717		721
NCUA Guaranteed Notes CMO, Ser 2010-R1, Cl 2A
1.840%, 10/07/2020		16		16
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 1A
0.522%, 11/06/2017 (B)		375		376
NCUA Guaranteed Notes CMO, Ser 2011-R1, Cl 1A
0.602%, 01/08/2020 (B)		857		863
NCUA Guaranteed Notes CMO, Ser 2011-R2, Cl 1A
0.552%, 02/06/2020 (B)		510		512
NCUA Guaranteed Notes CMO, Ser 2011-R4, Cl 1A
0.532%, 03/06/2020 (B)		1,681		1,686


SEI Institutional Investments Trust / Annual Report / May 31, 2014			231

SCHEDULE OF INVESTMENTS

Ultra Short Duration Bond Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
NCUA Guaranteed Notes CMO, Ser 2011-R6, Cl 1A
0.531%, 05/07/2020 (B)	$	337	$	337

				33,930


Non-Agency Mortgage-Backed Obligations — 11.7%
Banc of America Commercial Mortgage, Ser 2005-2, Cl A5
4.857%, 07/10/2043 (B)		1,309		1,342
Banc of America Merrill Lynch Commercial Mortgage, Ser 2004-5, Cl A4
4.936%, 11/10/2041 (B)		665		667
Banc of America Merrill Lynch Commercial Mortgage, Ser 2005-4, Cl A5A
4.933%, 07/10/2045		1,490		1,547
Banc of America Mortgage Securities, Ser 2005-F, Cl 2A2
2.734%, 07/25/2035 (B)		519		482
Banc of America Mortgage Securities, Ser 2005-J, Cl 2A1
2.756%, 11/25/2035 (B)		62		58
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-3, Cl 2A1
2.631%, 06/25/2035 (B)		213		193
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-6, Cl 3A1
2.690%, 08/25/2035 (B)		363		320
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-12, Cl 11A1
2.578%, 02/25/2036 (B)		157		126
Bear Stearns Commercial Mortgage Securities Trust, Ser 2004-PWR4, Cl A3
5.468%, 06/11/2041 (B)		37		37
Bear Stearns Commercial Mortgage Securities, Ser 2004-PWR5, Cl A5
4.978%, 07/11/2042 (B)		405		407
Bear Stearns Commercial Mortgage Securities Trust, Ser 2005-PWR7, Cl A3
5.116%, 02/11/2041 (B)		850		866
Bear Stearns Commercial Mortgage Securities Trust, Ser 2007-PW10, Cl A4
5.405%, 12/11/2040 (B)		925		966
Bear Stearns Commercial Mortgage Securities Trust, Ser PW14, Cl A4
5.201%, 12/11/2038		555		604


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Bear Stearns Commercial Mortgage Securities, Ser 2004-PWR6, Cl A6
4.825%, 11/11/2041	$	179	$	181
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR8, Cl A4
4.674%, 06/11/2041		1,354		1,392
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR9, Cl A4A
4.871%, 09/11/2042		204		212
Bear Stearns Commercial Mortgage Securities, Ser 2005-T18, Cl A4
4.933%, 02/13/2042 (B)		1,576		1,610
Bear Stearns Commercial Mortgage Securities, Ser 2005-T20, Cl A4A
5.136%, 10/12/2042 (B)		900		943
Bear Stearns Commercial Mortgage Securities, Ser 2006-PW11, Cl A4
5.441%, 03/11/2039 (B)		1,000		1,061
Bear Stearns Commercial Mortgage Securities, Ser 2006-PW13, Cl A4
5.540%, 09/11/2041		800		865
CD Commercial Mortgage Trust, Ser 2005-CD1, Cl A4
5.228%, 07/15/2044 (B)		1,633		1,704
CD Mortgage Trust, Ser 2006-CD2, Cl A4
5.305%, 01/15/2046 (B)		960		1,017
CHL Mortgage Pass-Through Trust, Ser 2004-29, Cl 1A1
0.690%, 02/25/2035 (B)		48		45
CHL Mortgage Pass-Through Trust, Ser 2005-HY10, Cl 3A1A
2.523%, 02/20/2036 (B)		278		232
Citigroup Commercial Mortgage Trust, Ser 2004-C2, Cl A5
4.733%, 10/15/2041		1,193		1,200
Citigroup Commercial Mortgage Trust, Ser 2005-C3, Cl A4
4.860%, 05/15/2043		445		453
Citigroup Commercial Mortgage Trust, Ser 2012-GC8, Cl A1
0.685%, 09/10/2045		326		325
Citigroup Mortgage Loan Trust, Ser 2004-HYB3, Cl 1A
2.676%, 09/25/2034 (B)		95		96
Citigroup Mortgage Loan Trust, Ser 2006-AR2, Cl 1A1
2.702%, 03/25/2036 (B)		322		279


232		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
COMM Mortgage Trust, Ser 2006-C7, Cl A4
5.752%, 06/10/2046 (B)	$	1,307	$	1,410
COMM Mortgage Trust, Ser 2010-C1, Cl A1
3.156%, 07/10/2046 (A)		970		992
COMM Mortgage Trust, Ser 2012-CR2, Cl A1
0.824%, 08/15/2045		233		234
COMM Mortgage Trust, Ser 2012-CR4, Cl A1
0.704%, 10/15/2045		497		496
COMM Mortgage Trust, Ser 2012-CR5, Cl A1
0.673%, 12/10/2045		425		424
COMM Mortgage Trust, Ser 2013-CR9, Cl A1
1.344%, 07/10/2045		572		575
COMM Mortgage Trust, Ser 2013-CR10, Cl A1
1.278%, 08/10/2046		582		585
COMM Mortgage Trust, Ser 2014-BBG, Cl A
0.952%, 03/15/2029 (A) (B)		720		721
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR3, Cl A1
0.666%, 11/15/2045		212		212
Commercial Mortgage Trust, Ser 2005-GG3, Cl A4
4.799%, 08/10/2042 (B)		1,375		1,391
Commercial Mortgage Trust, Ser 2012-LC4, Cl A1
1.156%, 12/10/2044		406		408
Credit Suisse Commercial Mortgage Trust, Ser 2006-C4, Cl A3
5.467%, 09/15/2039		46		50
Credit Suisse First Boston Mortgage Securities, Ser 2004-C3, Cl A5
5.113%, 07/15/2036 (B)		30		30
Credit Suisse First Boston Mortgage Securities, Ser 2004-C5, Cl A1A
4.710%, 11/15/2037		434		439
Credit Suisse First Boston Mortgage Securities, Ser 2004-C5, Cl A4
4.829%, 11/15/2037		139		140
DBRR Trust, Ser 2012-EZ1, Cl A
0.946%, 09/25/2045 (A)		15		15
DBUBS Mortgage Trust, Ser 2011-LC1A, Cl A1
3.742%, 11/10/2046 (A)		727		759


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FDIC Commercial Mortgage Trust, Ser 2012-C1, Cl A
0.841%, 05/25/2035 (A) (B)	$	483	$	484
FDIC Guaranteed Notes Trust, Ser 2010-S1, Cl 1A
0.702%, 02/25/2048 (A) (B)		267		268
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN1, Cl M1
1.150%, 02/25/2024 (B)		387		388
FNMA Connecticut Avenue Securities, Ser 2014-C02, Cl 1M1
1.101%, 05/25/2024 (B)		825		825
FNMA Connecticut Avenue Securities, Ser 2014-C02, Cl 2M1
1.101%, 05/25/2024 (B)		680		681
Fosse Master Issuer, Ser 2011-1A, Cl A2
1.628%, 10/18/2054 (A) (B)		663		664
GE Capital Commercial Mortgage, Ser 2005-C4, Cl A4
5.489%, 11/10/2045 (B)		1,495		1,571
GMAC Commercial Mortgage Securities, Ser 2004-C3, Cl A4
4.547%, 12/10/2041		39		39
GMAC Mortgage Loan Trust, Ser 2005-AR6, Cl 2A1
2.968%, 11/19/2035 (B)		345		323
Granite Master Issuer, Ser 2006-3, Cl A4
0.229%, 12/20/2054 (B)		1,815		1,803
Granite Master Issuer, Ser 2006-4, Cl A6
0.329%, 12/20/2054 (B)		291		289
Granite Master Issuer, Ser 2007-1, Cl 2A1
0.289%, 12/20/2054 (B)		305		302
Granite Master Issuer, Ser 2007-1, Cl 3A1
0.349%, 12/20/2054 (B)		343		341
GS Mortgage Securities II, Ser 2011-GC3, Cl A1
2.331%, 03/10/2044 (A)		180		181
GS Mortgage Securities II, Ser 2012-GCJ9, Cl A1
0.662%, 11/10/2045		285		284
GS Mortgage Securities Trust, Ser 2006-GG8, Cl A4
5.560%, 11/10/2039		1,000		1,087
GS Mortgage Securities Trust, Ser 2010-C2, Cl A1
3.849%, 12/10/2043 (A)		705		741


SEI Institutional Investments Trust / Annual Report / May 31, 2014			233

SCHEDULE OF INVESTMENTS

Ultra Short Duration Bond Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GS Mortgage Securities Trust, Ser 2013-GC13, Cl A1
1.206%, 07/10/2046	$	413	$	414
GSR Mortgage Loan Trust, Ser 2005-AR4, Cl 2A1
2.850%, 07/25/2035 (B)		417		376
GSR Mortgage Loan Trust, Ser 2006-AR1, Cl 2A1
2.621%, 01/25/2036 (B)		489		460
GSR Mortgage Loan Trust, Ser 2007-AR2, Cl 1A1
2.692%, 05/25/2047 (B)		383		324
Hilton USA Trust, Ser 2013-HLF, Cl AFL
1.151%, 11/05/2030 (A) (B)		565		566
Homestar Mortgage Acceptance, Ser 2004-3, Cl AV2C
0.730%, 07/25/2034 (B)		665		668
Impac CMB Trust, Ser 2004-9, Cl 1A1
0.910%, 01/25/2035 (B)		110		100
Impac CMB Trust, Ser 2005-2, Cl 1A1
0.670%, 04/25/2035 (B)		121		113
Impac CMB Trust, Ser 2005-3, Cl A1
0.630%, 08/25/2035 (B)		112		98
Impac CMB Trust, Ser 2005-5, Cl A1
0.790%, 08/25/2035 (B)		90		80
Impac CMB Trust, Ser 2005-8, Cl 1A
0.410%, 02/25/2036 (B)		293		247
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C19, Cl A1
1.266%, 04/15/2047		2,520		2,523
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2005-LDP3, Cl A4A
4.936%, 08/15/2042 (B)		3,055		3,159
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2005-LDP4, Cl A4
4.918%, 10/15/2042 (B)		1,427		1,485
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2006-LDP7, Cl A4
5.863%, 04/15/2045 (B)		520		561
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2013-C13, Cl A1
1.303%, 01/15/2046		757		762


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
JPMorgan Chase Commercial Mortgage Securities, Ser 2004-CB9, Cl A4
5.886%, 06/12/2041 (B)	$	372	$	372
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-CB11, Cl A4
5.335%, 08/12/2037 (B)		1,174		1,200
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP2, Cl A4
4.738%, 07/15/2042		1,260		1,294
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-C1, Cl A1
3.853%, 06/15/2043 (A)		628		643
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-C2, Cl A1
2.749%, 11/15/2043 (A)		681		699
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C4, Cl A1
1.525%, 07/15/2046 (A)		80		80
JPMorgan Chase Commercial Mortgage Securities, Ser 2012-C8, Cl A1
0.705%, 10/15/2045		109		109
JPMorgan Chase Commercial Mortgage Securities, Ser 2012-LC9, Cl A1
0.670%, 12/15/2047		231		229
JPMorgan Chase Commercial Mortgage, Ser 2004-C3, Cl A5
4.878%, 01/15/2042		1,850		1,876
JPMorgan Mortgage Trust, Ser 2005-A6, Cl 7A1
2.745%, 08/25/2035 (B)		229		219
JPMorgan Mortgage Trust, Ser 2007-A3, Cl 1A1
2.498%, 05/25/2037 (B)		253		210
LB-UBS Commercial Mortgage Trust, Ser 2004-C6, Cl A6
5.020%, 08/15/2029 (B)		449		450
LB-UBS Commercial Mortgage Trust, Ser 2004-C7, Cl A6
4.786%, 10/15/2029 (B)		1,033		1,037
LB-UBS Commercial Mortgage Trust, Ser 2004-C8, Cl A6
4.799%, 12/15/2029 (B)		366		369
LB-UBS Commercial Mortgage Trust, Ser 2005-C3, Cl A5
4.739%, 07/15/2030		260		266


234		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
LB-UBS Commercial Mortgage Trust, Ser 2007-C7, Cl A1A
4.475%, 10/15/2029	$	553	$	558
Merrill Lynch Mortgage Investors, Ser 2005-A3, Cl A1
0.420%, 04/25/2035 (B)		117		112
Merrill Lynch Mortgage Trust, Ser 2004-BPC1, Cl A5
4.855%, 10/12/2041 (B)		406		408
Merrill Lynch Mortgage Trust, Ser 2005-LC1, Cl A4
5.291%, 01/12/2044 (B)		824		870
Merrill Lynch Mortgage-Backed Securities Trust, Ser 2007-3, Cl 2A1
2.854%, 06/25/2037 (B)		443		350
ML-CFC Commercial Mortgage Trust, Ser 2007-5, Cl A4
5.378%, 08/12/2048		330		357
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C6, Cl A1
0.664%, 11/15/2045		135		135
Morgan Stanley Capital I Trust, Ser 2005-HQ6, Cl A4A
4.989%, 08/13/2042		1,525		1,571
Morgan Stanley Capital I Trust, Ser 2012-C4, Cl A1
1.085%, 03/15/2045		661		663
Morgan Stanley Capital I, Ser 2004-T15, Cl A4
5.270%, 06/13/2041 (B)		412		412
Morgan Stanley Capital I, Ser 2005-HQ5, Cl A4
5.168%, 01/14/2042		404		411
Morgan Stanley Capital I, Ser 2005-T19, Cl A4A
4.890%, 06/12/2047		489		505
Morgan Stanley Re-REMIC Trust, Ser 2012-IO, Cl AXA
1.000%, 03/27/2051 (A)		493		496
MortgageIT Trust, Ser 2005-5, Cl A1
0.410%, 12/25/2035 (B)		409		383
Mortgage-Linked Amortizing Notes CMO, Ser 2012-1, Cl A10
2.060%, 01/15/2022		465		470
Opteum Mortgage Acceptance Asset-Backed Pass-Through Certificates, Ser 2005-1, Cl A4
0.550%, 02/25/2035 (B)		83		83
Opteum Mortgage Acceptance Asset-Backed Pass-Through Certificates, Ser 2005-2, Cl AII1
0.410%, 04/25/2035 (B)		1,390		1,389


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Paragon Mortgages, Ser 2006-12A, Cl A2C
0.444%, 11/15/2038 (A) (B)	$	165	$	154
Paragon Mortgages, Ser 2007-15A, Cl A2C
0.453%, 12/15/2039 (A) (B)		401		371
Residential Funding Mortgage Securities, Ser 2007-SA3, Cl 2A1
3.969%, 07/27/2037 (B)		327		276
Sequoia Mortgage Trust, Ser 2004-12, Cl A1
0.419%, 01/20/2035 (B)		53		50
Silverstone Master Issuer, Ser 2012-1A, Cl 1A
1.778%, 01/21/2055 (A) (B)		675		682
Springleaf Mortgage Loan Trust, Ser 2013-1A, Cl A
1.270%, 06/25/2058 (A) (B)		612		609
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C3, Cl A1
0.726%, 08/10/2049		364		362
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl A1
0.673%, 12/10/2045		307		306
UBS-Barclays Commercial Mortgage Trust, Ser 2013-C5, Cl A1
0.779%, 03/10/2046		779		776
UBS-Citigroup Commercial Mortgage Trust, Ser 2011-C1, Cl A1
1.524%, 01/10/2045		768		776
Wachovia Bank Commercial Mortgage Trust, Ser 2005-C17, Cl A4
5.083%, 03/15/2042 (B)		1,578		1,608
Wachovia Bank Commercial Mortgage Trust, Ser 2005-C18, Cl A4
4.935%, 04/15/2042		625		639
Wachovia Bank Commercial Mortgage Trust, Ser 2005-C21, Cl A4
5.239%, 10/15/2044 (B)		524		548
Wachovia Bank Commercial Mortgage Trust, Ser 2005-C22, Cl A4
5.457%, 12/15/2044 (B)		1,050		1,105
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR2, Cl 1A1
2.345%, 03/25/2036 (B)		458		427


SEI Institutional Investments Trust / Annual Report / May 31, 2014			235

SCHEDULE OF INVESTMENTS

Ultra Short Duration Bond Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Wells Fargo Commercial Mortgage Trust, Ser 2012-LC5, Cl A1
0.687%, 10/15/2045	$	371	$	370
Wells Fargo Commercial Mortgage Trust, Ser 2013-C15, Cl A1
1.264%, 08/15/2046		647		649
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-BB, Cl A2
2.615%, 01/25/2035 (B)		212		215
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR10, Cl 2A1
2.610%, 07/25/2036 (B)		372		352
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR12, Cl 1A1
2.702%, 09/25/2036 (B)		245		229
WFRBS Commercial Mortgage Trust, Ser 2011-C2, Cl A1
2.501%, 02/15/2044 (A)		876		885
WFRBS Commercial Mortgage Trust, Ser 2011-C3, Cl A1
1.988%, 03/15/2044 (A)		428		431
WFRBS Commercial Mortgage Trust, Ser 2012-C10, Cl A1
0.734%, 12/15/2045		1,003		1,002
WFRBS Commercial Mortgage Trust, Ser 2012-C6, Cl A1
1.081%, 04/15/2045		1,142		1,146
WFRBS Commercial Mortgage Trust, Ser 2012-C9, Cl A1
0.673%, 11/15/2045		1,847		1,843

				84,355

Total Mortgage-Backed Securities (Cost $117,801) ($ Thousands)				118,285


MUNICIPAL BONDS — 5.4%
Chicago Midway International Airport, Ser C, RB
1.320%, 01/01/2016		590		593
City of Austin, Electric Utility Revenue, Ser B, RB
0.672%, 11/15/2015		4,270		4,281
City of El Paso, GO
1.049%, 08/15/2016		1,090		1,092
City of New York, Ser D-2, GO
3.250%, 12/01/2014		500		507
County of Hamilton, Ohio Sewer System Revenue, RB
0.803%, 12/01/2015		3,375		3,392
County of Harris, Ser Senior LIEN-SE, RB
2.440%, 08/15/2015		1,420		1,449


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Florida State, Hurricane Catastrophe Fund Finance, Ser A, RB
1.298%, 07/01/2016	$	1,165	$	1,177
Indiana Bond Bank, RB
0.589%, 07/15/2015		750		751
Kalamazoo, Hospital Finance Authority, Ser B, RB
3.125%, 05/15/2041 (B)		1,270		1,280
Maine, Municipal Bond Bank, RB
1.068%, 06/01/2015		1,030		1,031
New Jersey State, Economic Development Authority, Ser 00, RB
1.059%, 03/01/2016		1,265		1,274
New Jersey State, Economic Development Authority, Ser Q, RB
1.096%, 06/15/2016		7,290		7,282
New Jersey State, Transportation Trust Fund Authority, Ser B, RB
1.087%, 12/15/2016		2,800		2,819
New Jersey State, Turnpike Authority, Ser B, RB, AMBAC
4.252%, 01/01/2016		955		985
Oregon State, School Boards Association, Ser A, GO, NATL
1.113%, 06/30/2015 (D)		500		495
South Carolina State, Public Service Authority, Ser D, RB Callable 12/01/14 @ 100
1.026%, 06/01/2015 (B)		2,495		2,503
State of California, GO
5.450%, 04/01/2015		2,030		2,112
State of Texas, Ser A, AMT, GO Callable 07/01/14 @ 100
0.100%, 06/01/2034 (B)		1,665		1,665
University of California, Ser Y-1, RB Callable 01/01/17 @ 100
0.267%, 07/01/2012 (B)		1,310		1,312
Wayne County Airport Authority, Ser A, AMT, RB
5.000%, 12/01/2014		1,150		1,175
Wisconsin, General Fund, Ser A, RB
0.798%, 05/01/2015		1,420		1,426

Total Municipal Bonds (Cost $38,498) ($ Thousands)				38,601


U.S. GOVERNMENT AGENCY OBLIGATIONS — 3.5%
FFCB
0.190%, 06/04/2015		2,000		2,002


236		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)/ Shares		Market Value ($ Thousands)
FHLB
1.850%, 11/17/2017	$	2,700	$	2,719
1.000%, 01/23/2017		1,400		1,402
0.260%, 07/21/2015		1,250		1,251
FHLMC
2.020%, 07/16/2018		5,800		5,813
1.125%, 03/27/2017		1,835		1,836
0.800%, 11/07/2016		1,500		1,501
FNMA
2.100%, 08/01/2018 (C)		4,000		4,005
1.000%, 09/12/2016		2,030		2,034
0.500%, 07/02/2015		2,500		2,510

Total U.S. Government Agency Obligations (Cost $25,083) ($ Thousands)				25,073


SOVEREIGN DEBT — 1.2%
European Investment Bank
1.125%, 08/15/2014		400		401
Province of British Columbia
1.200%, 04/25/2017		4,700		4,743
Province of Ontario Canada
1.600%, 09/21/2016		3,200		3,269

Total Sovereign Debt (Cost $8,374) ($ Thousands)				8,413


U.S. TREASURY OBLIGATIONS — 0.5%
U.S. Treasury Notes
0.375%, 01/15/2016		2,500		2,505
0.250%, 02/15/2015		1,000		1,001

Total U.S. Treasury Obligations (Cost $3,500) ($ Thousands)				3,506


CASH EQUIVALENT — 0.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%*†		2,823,262		2,823

Total Cash Equivalent (Cost $2,823) ($ Thousands)				2,823

Total Investments — 99.2% (Cost $710,209) ($ Thousands)			$	712,352

The open futures contracts held by the Fund at May 31, 2014, are as follows:


Type of Contract	Number of Contracts Short			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 10-Year Treasury Note		(69	)		Sep-2014	$	9
U.S. 2-Year Treasury Note		(6	)		Sep-2014		—
U.S. 5-Year Treasury Note		(23	)		Sep-2014		(3	)
U.S. Long Treasury Bond		(3	)		Sep-2014		1

						$	7

Percentages are based on a Net Assets of $718,199 ($ Thousands).

The rate reported is the 7-day effective yield as of May 31, 2014.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security (see Note 6).

(A)

(B)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of May 31, 2014. The date reported on the Schedule of Investments is the final maturity date.

(C)

Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on May 31, 2014. The coupon on a step bond changes on a specified date.

(D)

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

ABS — Asset-Backed Security

AMBAC — American Municipal Bond Assurance Corporation

AMT — Alternative Minimum Tax

ARM — Adjustable Rate Mortgage

Cl — Class

CLO — Collateralized Loan Obligation

CMO — Collateralized Mortgage Obligation

FDIC — Federal Deposit Insurance Corporation

FFCB — Federal Farm Credit Bank

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

GO — General Obligation

LLC — Limited Liability Company

MTN — Medium Term Note

NATL — National Public Finance Guarantee Corporation

NCUA — National Credit Union Association

RB — Revenue Bond

Re-REMIC — Resecuritization of Real Estate Mortgage Investment Conduit

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

SPV — Special Purpose Vehicle

TBA — To Be Announced

The following is a list of the level of inputs used as of May 31, 2014, 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	$	—	$	275,735	$	—	$	275,735
Asset-Backed Securities		—		239,916		—		239,916
Mortgage-Backed Securities		—		118,285		—		118,285
Municipal Bonds		—		38,601		—		38,601
U.S. Government Agency Obligations		—		25,073		—		25,073
Sovereign Debt		—		8,413		—		8,413
U.S. Treasury Obligations		—		3,506		—		3,506
Cash Equivalent		2,823		—		—		2,823

Total Investments in Securities	$	2,823	$	709,529	$	—	$	712,352


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*
Unrealized Appreciation	$	10		$	—	$	—	$	10
Unrealized Depreciation		(3	)		—		—		(3	)

Total Other Financial Instruments	$	7		$	—	$	—	$	7

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


SEI Institutional Investments Trust / Annual Report / May 31, 2014			237

SCHEDULE OF INVESTMENTS

Ultra Short Duration Bond Fund (Concluded)

May 31, 2014

During the year ended May 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.

During the year ended May 31, 2014, the transfers out of Level 3 were due to changes in the availability of observable inputs used to determine fair value.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

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


238		SEI Institutional Investments Trust / Annual Report / May 31, 2014

SCHEDULE OF INVESTMENTS

Emerging Markets Debt Fund

May 31, 2014

LOGO


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)

GLOBAL BONDS — 94.7%

Argentina — 1.3%
City of Buenos Aires Argentina
9.950%, 03/01/2017			1,240	$	1,271
9.950%, 03/01/2017 (A)			2,767		2,836
Republic of Argentina
8.280%, 12/31/2033			2,804		2,191
7.000%, 10/03/2015			3,640		3,484
7.000%, 04/17/2017			5,552		5,071
6.000%, 03/31/2023 (B)			172		132
2.500%, 03/31/2019 (C)			4,500		1,890
2.260%, 03/31/2019 (C)	EUR		4,265		2,369
0.000%, 03/31/2023 (B) (D)			1,680		1,224
YPF
8.750%, 04/04/2024 (A)			137		142

					20,610


Armenia — 0.1%
Republic of Armenia
6.000%, 09/30/2020			2,000		2,115


Azerbaijan — 0.6%
Republic of Azerbaijan International Bond
4.750%, 03/18/2024 (A)			2,840		2,957
State Oil of the Azerbaijan Republic MTN
5.450%, 02/09/2017			1,159		1,226
4.750%, 03/13/2023			5,681		5,645

					9,828


Barbados — 0.1%
Columbus International
7.375%, 03/30/2021 (A)			1,717		1,818


Belize — 0.2%
Belize Government International Bond
5.000%, 02/20/2038 (C)			5,425		3,784


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)

Bermuda — 0.2%
Bermuda Government International Bond
4.854%, 02/06/2024			2,150	$	2,239
4.138%, 01/03/2023 (A)			880		879

					3,118


Bolivia — 0.3%
Bolivian Government International Bond
5.950%, 08/22/2023			3,860		4,103
4.875%, 10/29/2022			300		300

					4,403


Bosnia and Herzegovina — 0.0%
Republic of Bosnia & Herzegovina
2.063%, 12/11/2021 (D)	DEM		1,333		763


Brazil — 9.2%
Banco Nacional de Desenvolvimento Economico e Social
6.500%, 06/10/2019			100		112
6.500%, 06/10/2019 (A)			720		810
5.750%, 09/26/2023			330		354
5.500%, 07/12/2020			200		217
5.500%, 07/12/2020 (A)			400		434
4.000%, 04/14/2019 (A)			850		864
Brazil Letras do Tesouro Nacional
12.189%, 01/01/2018	BRL		35,870		10,655
11.146%, 01/01/2017	BRL		66,060		22,073
11.033%, 01/01/2016	BRL		41,892		15,686
11.017%, 01/01/2015	BRL		9,300		3,894
Brazil Loan Trust 1
5.477%, 07/24/2023 (A)			3,182		3,277
Brazil Minas SPE via State of Minas Gerais
5.333%, 02/15/2028			215		216
Brazil Notas do Tesouro Nacional Serie B
6.000%, 08/15/2020	BRL		5,660		6,208
Brazil Notas do Tesouro Nacional Serie F
10.000%, 01/01/2017	BRL		31,007		13,305
10.000%, 01/01/2018	BRL		11,469		4,853
10.000%, 01/01/2021	BRL		21,132		8,606
10.000%, 01/01/2023	BRL		12,168		4,858
BRF
4.750%, 05/22/2024 (A)			2,067		2,044
Caixa Economica Federal
4.250%, 05/13/2019			300		300


SEI Institutional Investments Trust / Annual Report / May 31, 2014			239

SCHEDULE OF INVESTMENTS

Emerging Markets Debt Fund (Continued)

May 31, 2014


Description	Face Amount (1) (Thousands)		Market Value ($ Thousands)
Cosan Luxembourg
5.000%, 03/14/2023 (A)		300	$	287
ESAL GmbH
6.250%, 02/05/2023 (A)		296		294
Federal Republic of Brazil
10.125%, 05/15/2027		1,309		2,080
8.875%, 04/15/2024		445		627
8.250%, 01/20/2034		5,587		7,801
7.125%, 01/20/2037		8,976		11,400
5.875%, 01/15/2019		436		500
4.875%, 01/22/2021		5,320		5,852
4.250%, 01/07/2025		3,961		4,040
2.625%, 01/05/2023 (E)		8,299		7,706
GTL Trade Finance
7.250%, 04/16/2044 (A)		1,177		1,242
Itau Unibanco Holding
5.650%, 03/19/2022 (A)		432		445
JBS Finance II
8.250%, 01/29/2018		180		192
8.250%, 01/29/2018 (A)		550		588
Marfrig Overseas
9.500%, 05/04/2020 (A)		1,050		1,130
Minerva Luxembourg
12.250%, 02/10/2022		800		907
12.250%, 02/10/2022 (A)		500		567
7.750%, 01/31/2023		400		422
Odebrecht Drilling Norbe VIII
6.350%, 06/30/2021		279		295
6.350%, 06/30/2021 (A)		177		187
Odebrecht Finance
5.125%, 06/26/2022 (A)		450		476
Odebrecht Offshore Drilling
Finance
6.750%, 10/01/2022 (A)		195		208
Samarco Mineracao
4.125%, 11/01/2022 (A)		253		240
Schahin II Finance
5.875%, 09/25/2022 (A)		195		190

				146,442


British Virgin Islands — 0.1%
State Grid Overseas Investment 2014
4.125%, 05/07/2024 (A)		1,457		1,508


Canada — 0.1%
CNOOC Nexen Finance 2014 ULC
4.250%, 04/30/2024		1,345		1,382


Chile — 1.2%
Banco del Estado de Chile
4.125%, 10/07/2020		160		168
4.125%, 10/07/2020 (A)		300		315
3.875%, 02/08/2022 (A)		250		252


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
Bonos de la Tesoreria de la Republica en pesos
6.000%, 01/01/2020	CLP		90,000	$	178
6.000%, 01/01/2022	CLP		100,000		199
Cencosud
4.875%, 01/20/2023 (A)			62		61
Chile Government International Bond
5.500%, 08/05/2020	CLP		413,000		773
3.875%, 08/05/2020			3,456		3,728
2.250%, 10/30/2022			2,631		2,486
Empresa Nacional del Petroleo
6.250%, 07/08/2019			200		225
6.250%, 07/08/2019 (A)			30		34
5.250%, 08/10/2020			120		130
5.250%, 08/10/2020 (A)			280		303
GeoPark Latin America Agencia en Chile
7.500%, 02/11/2020 (A)			200		214
Nacional del Cobre de Chile
6.150%, 10/24/2036			958		1,124
6.150%, 10/24/2036 (A)			569		668
5.625%, 09/21/2035			1,760		1,939
5.625%, 10/18/2043			380		418
4.500%, 08/13/2023 (A)			3,545		3,782
3.875%, 11/03/2021			692		714
3.000%, 07/17/2022 (A)			1,947		1,884
VTR Finance BV
6.875%, 01/15/2024 (A)			204		216

					19,811


China — 1.2%
Amber Circle Funding
3.250%, 12/04/2022			1,020		973
Central China Real Estate
8.000%, 01/28/2020			400		385
China Overseas Finance Cayman V
3.950%, 11/15/2022			200		186
CITIC Pacific
6.800%, 01/17/2023			200		221
6.375%, 04/10/2020			200		218
Country Garden Holdings
11.250%, 04/22/2017			710		751
11.125%, 02/23/2018			350		381
7.500%, 01/10/2023			2,119		1,976
7.250%, 04/04/2021			500		473
Franshion Development
6.750%, 04/15/2021 (A)			430		447
Kaisa Group Holdings
8.875%, 03/19/2018 (A)			200		203
Sinochem Offshore Capital MTN
3.250%, 04/29/2019 (A)			1,012		1,034


240		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
Sinochem Overseas Capital
6.300%, 11/12/2040			390	$	448
4.500%, 11/12/2020			1,903		2,045
4.500%, 11/12/2020 (A)			4,579		4,921
Sinopec Capital 2013
3.125%, 04/24/2023 (A)			1,369		1,299
Sinopec Group Overseas Development 2012
4.875%, 05/17/2042 (A)			320		326
Sinopec Group Overseas Development 2014
4.375%, 04/10/2024 (A)			1,590		1,665
Sunac China Holdings
9.375%, 04/05/2018			1,800		1,768

					19,720


Colombia — 5.2%
Bancolombia
5.125%, 09/11/2022			419		423
Bogota Distrito Capital
9.750%, 07/26/2028	COP		510,000		343
9.750%, 07/26/2028 (A)	COP		10,018,000		6,738
Citigroup Funding, CLN (Republic of Colombia)
11.000%, 07/24/2020	COP		8,365,000		5,477
Colombian TES
11.250%, 10/24/2018	COP		88,000		56
10.000%, 07/24/2024	COP		3,308,600		2,213
7.500%, 08/26/2026	COP		3,007,200		1,654
7.000%, 02/25/2015	COP		620,000		718
7.000%, 09/11/2019	COP		11,180,400		6,162
7.000%, 05/04/2022	COP		3,130,000		1,724
7.000%, 05/04/2022	COP		4,068,000		2,241
7.000%, 05/04/2022	COP		10,326,500		5,689
7.000%, 05/04/2022	COP		628,000		346
6.000%, 04/28/2028	COP		3,342,700		1,631
5.000%, 11/21/2018	COP		7,687,900		3,929
Ecopetrol
5.875%, 05/28/2045			1,263		1,301
Emgesa ESP
8.750%, 01/25/2021	COP		940,000		536
Empresas Publicas de Medellin ESP
8.375%, 02/01/2021	COP		334,000		187
Grupo Aval
4.750%, 09/26/2022 (A)			227		224
Pacific Rubiales Energy
7.250%, 12/12/2021			2,048		2,268
5.125%, 03/28/2023 (A)			534		526
Republic of Colombia
12.000%, 10/22/2015	COP		2,990,000		1,725
12.000%, 10/22/2015	COP		183,000		106
11.750%, 02/25/2020			2,243		3,271


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
9.850%, 06/28/2027	COP		4,677,000	$	3,264
9.850%, 06/28/2027	COP		1,011,000		705
8.125%, 05/21/2024			1,105		1,497
7.750%, 04/14/2021	COP		2,642,000		1,570
7.375%, 01/27/2017			310		358
7.375%, 03/18/2019			1,222		1,497
7.375%, 09/18/2037			8,700		11,854
6.125%, 01/18/2041			1,810		2,163
5.625%, 02/26/2044			1,263		1,422
4.375%, 07/12/2021			5,841		6,308
4.375%, 03/21/2023	COP		209,000		101
4.000%, 02/26/2024			1,737		1,800
2.625%, 03/15/2023			599		563
Transportadora de Gas Internacional ESP
5.700%, 03/20/2022 (A)			200		216

					82,806


Costa Rica — 0.2%
Banco Nacional de Costa Rica
6.250%, 11/01/2023 (A)			290		297
Costa Rica Government International Bond
7.000%, 04/04/2044 (A)			490		517
4.375%, 04/30/2025 (A)			660		617
4.250%, 01/26/2023			1,879		1,825
Instituto Costarricense de Electricidad
6.950%, 11/10/2021			400		429
6.375%, 05/15/2043			290		255

					3,940


Croatia — 1.4%
Republic of Croatia
6.750%, 11/05/2019			855		961
6.625%, 07/14/2020			1,807		2,024
6.375%, 03/24/2021			1,130		1,247
6.375%, 03/24/2021 (A)			3,924		4,331
6.250%, 04/27/2017			200		217
6.250%, 04/27/2017 (A)			590		640
6.000%, 01/26/2024 (A)			6,454		6,954
5.875%, 07/09/2018 EUR			170		257
5.500%, 04/04/2023			5,354		5,582

					22,213


Czech Republic — 0.1%
Czech Republic Government Bond
4.200%, 12/04/2036			20,110		1,190
2.500%, 08/25/2028			6,910		351

					1,541


SEI Institutional Investments Trust / Annual Report / May 31, 2014			241

SCHEDULE OF INVESTMENTS

Emerging Markets Debt Fund (Continued)

May 31, 2014


Description	Face Amount (1) (Thousands)		Market Value ($ Thousands)

Dominican Republic — 0.7%
Republic of Dominican Republic
9.040%, 01/23/2018		2,008	$	2,211
7.500%, 05/06/2021		4,719		5,450
7.500%, 05/06/2021 (A)		520		601
7.450%, 04/30/2044 (A)		701		752
6.600%, 01/28/2024 (A)		280		307
5.875%, 04/18/2024		880		920
5.875%, 04/18/2024 (A)		1,613		1,685

				11,926


Ecuador — 0.0%
Republic of Ecuador
9.375%, 12/15/2015		420		449


Egypt — 0.2%
Arab Republic of Egypt
6.875%, 04/30/2040		1,921		1,902
5.750%, 04/29/2020		390		408
5.750%, 04/29/2020 (A)		270		282

				2,592


El Salvador — 0.7%
Republic of El Salvador
8.250%, 04/10/2032		150		171
8.250%, 04/10/2032		875		998
7.750%, 01/24/2023		821		926
7.750%, 01/24/2023		820		925
7.650%, 06/15/2035		85		91
7.650%, 06/15/2035		420		448
7.650%, 06/15/2035		370		394
7.625%, 02/01/2041		743		786
7.625%, 02/01/2041 (A)		150		159
7.375%, 12/01/2019		440		491
7.375%, 12/01/2019 (A)		250		279
5.875%, 01/30/2025		3,530		3,516
5.875%, 01/30/2025 (A)		828		819
Telemovil Finance
8.000%, 10/01/2017		416		437

				10,440


Gabon — 0.0%
Republic of Gabonese Republic
8.200%, 12/12/2017		620		712


Georgia — 0.3%
Georgian Railway JSC
7.750%, 07/11/2022		3,625		4,089
7.750%, 07/11/2022 (A)		420		474
Republic of Georgia
6.875%, 04/12/2021		343		390

				4,953


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)

Ghana — 0.0%
Republic of Ghana
8.500%, 10/04/2017			327	$	346
8.500%, 10/04/2017 (A)			300		317

					663


Guatemala — 0.2%
Comcel Trust
6.875%, 02/06/2024 (A)			1,570		1,680
Guatemala Government Bond
4.875%, 02/13/2028			672		679

					2,359


Hong Kong — 0.1%
Central China Real Estate MTN
6.500%, 06/04/2018			1,500		1,428


Hungary — 4.9%
Republic of Hungary
8.000%, 02/12/2015	HUF		315,000		1,472
7.750%, 08/24/2015	HUF		290,690		1,392
7.625%, 03/29/2041			5,960		7,465
7.000%, 06/24/2022	HUF		582,720		3,064
6.750%, 02/24/2017	HUF		338,610		1,673
6.750%, 11/24/2017	HUF		1,355,170		6,806
6.750%, 10/22/2028	HUF		800,590		4,165
6.500%, 06/24/2019	HUF		294,410		1,497
6.375%, 03/29/2021			1,032		1,174
6.250%, 01/29/2020			910		1,023
6.000%, 01/11/2019	EUR		1,024		1,594
6.000%, 11/24/2023	HUF		790,700		3,943
5.750%, 11/22/2023			5,306		5,797
5.500%, 12/22/2016	HUF		677,430		3,247
5.500%, 12/20/2018	HUF		804,820		3,921
5.500%, 06/24/2025	HUF		77,130		369
5.375%, 02/21/2023			1,584		1,688
5.375%, 03/25/2024			2,062		2,191
5.000%, 03/30/2016	GBP		253		443
4.125%, 02/19/2018			6,654		6,879
4.000%, 04/25/2018	HUF		3,731,850		17,158
4.000%, 03/25/2019			790		806

					77,767


India — 0.2%
Bharti Airtel International Netherlands
5.350%, 05/20/2024 (A)			1,110		1,168
5.125%, 03/11/2023 (A)			283		293
Export-Import Bank of India MTN
4.000%, 08/07/2017			265		279


242		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
Vedanta Resources
8.250%, 06/07/2021 (A)			200	$	224
7.125%, 05/31/2023 (A)			200		210
6.750%, 06/07/2016			175		186
6.000%, 01/31/2019 (A)			381		394

					2,754


Indonesia — 7.9%
Adaro Indonesia
7.625%, 10/22/2019 (A)			400		422
Deutsche Bank, CLN (Republic of Indonesia)
7.000%, 05/15/2022	IDR		6,000,000		483
7.000%, 05/15/2027	IDR		2,500,000		189
Indo Energy Finance II
6.375%, 01/24/2023			1,701		1,391
6.375%, 01/24/2023 (A)			200		164
Indonesia Treasury Bond
11.000%, 09/15/2025	IDR		2,000,000		204
9.000%, 03/15/2029	IDR		116,082,000		10,326
8.375%, 03/15/2024	IDR		177,624,000		15,518
8.375%, 09/15/2026	IDR		700,000		60
8.375%, 03/15/2034	IDR		75,800,000		6,330
8.375%, 03/15/2034	IDR		10,190,000		851
7.875%, 04/15/2019	IDR		54,612,000		4,713
6.625%, 05/15/2033			6,800,000		473
6.625%, 05/15/2033	IDR		3,500,000		244
6.125%, 05/15/2028	IDR		18,170,000		1,253
Indosat Palapa
7.375%, 07/29/2020			400		434
JPMorgan, CLN (Republic of Indonesia)
7.000%, 05/15/2022	IDR		116,900,000		9,412
Listrindo Capital
6.950%, 02/21/2019 (A)			300		321
Majapahit Holding
8.000%, 08/07/2019			200		236
8.000%, 08/07/2019 (A)			350		413
7.875%, 06/29/2037 (A)			215		253
Pertamina Persero
6.500%, 05/27/2041 (A)			820		838
6.450%, 05/30/2044 (A)			1,712		1,742
6.000%, 05/03/2042			394		378
6.000%, 05/03/2042 (A)			1,450		1,392
5.625%, 05/20/2043			5,457		5,061
4.875%, 05/03/2022 (A)			550		551
Perusahaan Gas Negara Persero
5.125%, 05/16/2024 (A)			75		76
Perusahaan Penerbit SBSN Indonesia
6.125%, 03/15/2019			540		603
Republic of Indonesia
12.800%, 06/15/2021	IDR		2,119,000		228


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
11.625%, 03/04/2019			1,006	$	1,380
11.625%, 03/04/2019			4,940		6,774
11.625%, 03/04/2019 (A)			2,500		3,428
11.000%, 10/15/2014	IDR		5,300,000		461
8.500%, 10/12/2035			4,804		6,527
8.250%, 06/15/2032	IDR		23,164,000		1,915
7.750%, 01/17/2038			1,783		2,278
7.750%, 01/17/2038			5,075		6,483
7.000%, 05/15/2022	IDR		68,500,000		5,515
6.875%, 01/17/2018			4,564		5,243
6.750%, 01/15/2044 (A)			1,750		2,065
6.625%, 05/15/2033	IDR		34,970,000		2,434
6.625%, 02/17/2037			323		370
6.625%, 02/17/2037			1,009		1,155
5.875%, 03/13/2020			890		998
5.875%, 03/13/2020 (A)			540		606
5.875%, 01/15/2024 (A)			250		281
5.625%, 05/15/2023	IDR		71,594,000		5,197
5.375%, 10/17/2023			360		389
5.250%, 01/17/2042			867		846
4.875%, 05/05/2021			1,111		1,180
4.875%, 05/05/2021 (A)			550		584
3.750%, 04/25/2022			476		467
3.375%, 04/15/2023 (A)			4,237		3,993
Tullow Oil
6.000%, 11/01/2020 (A)			205		211

					125,339


Iraq — 0.7%
Republic of Iraq
5.800%, 01/15/2028			12,062		11,489


Israel — 0.1%
Altice Financing
8.000%, 12/15/2019	EUR		140		210
7.875%, 12/15/2019			600		655
Altice Finco
9.875%, 12/15/2020			800		920

					1,785


Ivory Coast — 0.8%
Government of Ivory Coast
5.750%, 12/31/2032 (B)			10,178		9,923
5.750%, 12/31/2032			3,527		3,439

					13,362


Jamaica — 0.1%
Digicel Group
8.250%, 09/30/2020			1,750		1,886


SEI Institutional Investments Trust / Annual Report / May 31, 2014			243

SCHEDULE OF INVESTMENTS

Emerging Markets Debt Fund (Continued)

May 31, 2014


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)

Kazakhstan — 1.8%
Development Bank of Kazakhstan
4.125%, 12/10/2022			880	$	838
Halyk Savings Bank of Kazakhstan
7.250%, 01/28/2021			100		106
7.250%, 01/28/2021 (A)			700		746
KazAgro National Management Holding
4.625%, 05/24/2023			420		416
Kazakhstan Temir Zholy Finance
6.950%, 07/10/2042			700		788
6.375%, 10/06/2020 (A)			660		736
Kazatomprom
6.250%, 05/20/2015			250		260
6.250%, 05/20/2015 (A)			350		364
KazMunaiGaz Finance Sub
11.750%, 01/23/2015			1,859		1,973
9.125%, 07/02/2018			748		909
9.125%, 07/02/2018 (A)			986		1,198
7.000%, 05/05/2020			3,902		4,502
6.375%, 04/09/2021			2,950		3,315
6.375%, 04/09/2021 (A)			4,114		4,623
KazMunayGas National MTN
5.750%, 04/30/2043			4,601		4,457
5.750%, 04/30/2043 (A)			879		861
4.400%, 04/30/2023 (A)			1,158		1,142
Samruk-Energy JSC MTN
3.750%, 12/20/2017			700		696
Nostrum Oil & Gas Finance BV
6.375%, 02/14/2019 (A)			440		451
Zhaikmunai Via Zhaikmunai International
7.125%, 11/13/2019			550		579
7.125%, 11/13/2019 (A)			470		494

					29,454


Kenya — 0.2%
Kenya Infrastructure Bond
11.000%, 09/15/2025	KES		295,000		3,354


Latvia — 0.1%
Republic of Latvia
2.750%, 01/12/2020			860		848


Lithuania — 0.3%
Republic of Lithuania
6.625%, 02/01/2022			1,645		1,995
6.625%, 02/01/2022 (A)			300		364
6.125%, 03/09/2021 (A)			1,716		2,014
5.125%, 09/14/2017			680		744

					5,117


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)

Malaysia — 4.5%
Malaysia Government Bond
5.248%, 09/15/2028	MYR		1,050	$	356
4.392%, 04/15/2026	MYR		9,900		3,118
4.378%, 11/29/2019	MYR		3,560		1,137
4.262%, 09/15/2016	MYR		13,050		4,132
4.181%, 07/15/2024	MYR		19,159		6,027
4.160%, 07/15/2021	MYR		6,134		1,929
4.048%, 09/30/2021	MYR		4,230		1,326
4.012%, 09/15/2017	MYR		12,700		4,004
3.892%, 03/15/2027	MYR		1,348		399
3.889%, 07/31/2020	MYR		10,415		3,240
3.844%, 04/15/2033	MYR		1,960		551
3.835%, 08/12/2015	MYR		14,949		4,689
3.741%, 02/27/2015	MYR		2,930		916
3.654%, 10/31/2019	MYR		940		291
3.580%, 09/28/2018	MYR		8,125		2,518
3.502%, 05/31/2027	MYR		1,050		299
3.492%, 03/31/2020	MYR		20,880		6,360
3.480%, 03/15/2023	MYR		19,684		5,883
3.418%, 08/15/2022	MYR		10,253		3,062
3.394%, 03/15/2017	MYR		2,690		835
3.314%, 10/31/2017	MYR		24,970		7,697
3.260%, 03/01/2018	MYR		20,690		6,354
3.197%, 10/15/2015	MYR		3,756		1,169
3.172%, 07/15/2016	MYR		12,610		3,914
Penerbangan Malaysia
5.625%, 03/15/2016			741		799
Petronas Capital
7.875%, 05/22/2022			568		753
5.250%, 08/12/2019			530		602
Petronas Capital Registered
7.875%, 05/22/2022			46		61

					72,421


Mexico — 7.6%
Alfa
6.875%, 03/25/2044 (A)			1,740		1,910
5.250%, 03/25/2024 (A)			1,160		1,204
BBVA Bancomer
6.750%, 09/30/2022 (A)			722		821
4.375%, 04/10/2024 (A)			2,319		2,362
Cemex
6.500%, 12/10/2019			550		589
Cemex Espana Luxembourg
9.875%, 04/30/2019			1,150		1,326
Cemex Finance
9.375%, 10/12/2022 (A)			543		638
Comision Federal de Electricidad
5.750%, 02/14/2042 (A)			570		601
4.875%, 05/26/2021			200		214
4.875%, 05/26/2021 (A)			300		321
4.875%, 01/15/2024 (A)			708		750


244		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
Empresas ICA
8.875%, 05/29/2024			748	$	742
Fermaca Enterprises S de RL
6.375%, 03/30/2038 (A)			433		450
Fresnillo PLC
5.500%, 11/13/2023 (A)			250		264
Metalsa
4.900%, 04/24/2023 (A)			234		227
Mexican Bonos, Ser M10
7.250%, 12/15/2016	MXN		45,975		3,843
Mexican Bonos, Ser M20
8.000%, 12/07/2023	MXN		118,077		10,642
Mexican Bonos
10.000%, 12/05/2024	MXN		24,651		2,535
10.000%, 11/20/2036	MXN		8,930		952
9.500%, 12/18/2014	MXN		62,710		5,026
8.500%, 12/13/2018	MXN		66,179		5,899
8.500%, 05/31/2029	MXN		56,906		5,347
8.500%, 11/18/2038	MXN		43,933		4,096
7.750%, 12/14/2017	MXN		45,440		3,903
7.750%, 05/29/2031	MXN		169,063		14,768
7.500%, 06/03/2027	MXN		40,312		3,519
6.500%, 06/10/2021	MXN		110,524		9,114
6.500%, 06/09/2022	MXN		31,648		2,596
6.250%, 06/16/2016	MXN		955		78
6.000%, 06/18/2015	MXN		6,390		508
5.000%, 06/15/2017	MXN		29,759		2,363
4.750%, 06/14/2018	MXN		17,000		1,322
Mexico Generadora de Energia S de rl
5.500%, 12/06/2032 (A)			200		202
Petroleos Mexicanos
7.190%, 09/12/2024	MXN		45,060		3,511
6.625%, 06/15/2035			5,826		6,816
6.500%, 06/02/2041			1,100		1,286
6.375%, 01/23/2045 (A)			1,016		1,170
5.750%, 03/01/2018			670		752
5.500%, 06/27/2044			150		155
5.500%, 06/27/2044 (A)			190		196
3.500%, 01/30/2023 (A)			210		204
Tenedora Nemak
5.500%, 02/28/2023 (A)			200		207
Trust F
5.250%, 12/15/2024‡ (A)			1,380		1,432
United Mexican States MTN
6.050%, 01/11/2040			862		1,043
5.950%, 03/19/2019			708		825
5.750%, 10/12/2110			1,428		1,528
5.550%, 01/21/2045			3,984		4,552
4.750%, 03/08/2044			1,832		1,869
4.000%, 10/02/2023			5,252		5,528
United Mexican States, Ser A MTN
6.750%, 09/27/2034			704		914

					121,120


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)

Mongolia — 0.3%
Development Bank of Mongolia LLC MTN
5.750%, 03/21/2017			1,138	$	1,107
Mongolia Government International Bond MTN
5.125%, 12/05/2022			2,270		2,037
4.125%, 01/05/2018			2,248		2,147

					5,291


Montenegro — 0.1%
Republic of Montenegro
7.875%, 09/14/2015			140		201
5.375%, 05/20/2019			481		678

					879


Morocco — 0.5%
Kingdom of Morocco
5.500%, 12/11/2042			1,500		1,497
4.250%, 12/11/2022			1,410		1,413
4.250%, 12/11/2022 (A)			1,458		1,461
OCP
5.625%, 04/25/2024 (A)			3,218		3,347

					7,718


Mozambique — 0.1%
EMATUM Via Mozambique EMATUM Finance 2020 BV
6.305%, 09/11/2020			1,066		1,071


Nigeria — 0.7%
Afren
6.625%, 12/09/2020 (A)			700		712
Nigeria Treasury Bill
10.425%, 05/07/2015	NGN		15,500		86
5.661%, 04/23/2015	NGN		28,300		157
0.000%, 09/18/2014	NGN		12,900		77
0.000%, 02/05/2015	NGN		38,800		221
0.000%, 03/05/2015	NGN		25,777		146
Republic of Nigeria
16.390%, 01/27/2022	NGN		39,000		282
16.390%, 01/27/2022	NGN		216,000		1,562
16.000%, 06/29/2019	NGN		24,000		166
16.000%, 06/29/2019	NGN		386,000		2,671
15.100%, 04/27/2017	NGN		29,439		193
6.750%, 01/28/2021			1,704		1,872
6.750%, 01/28/2021 (A)			550		604
6.375%, 07/12/2023			738		801
6.375%, 07/12/2023 (A)			617		670
Zenith Bank MTN
6.250%, 04/22/2019 (A)			820		811

					11,031


SEI Institutional Investments Trust / Annual Report / May 31, 2014			245

SCHEDULE OF INVESTMENTS

Emerging Markets Debt Fund (Continued)

May 31, 2014


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)

Pakistan — 0.3%
Republic of Pakistan
8.250%, 04/15/2024			2,000	$	2,120
7.250%, 04/15/2019 (A)			610		634
7.125%, 03/31/2016			100		103
7.125%, 03/31/2016			450		464
6.875%, 06/01/2017			10		11
6.875%, 06/01/2017			630		652

					3,984


Panama — 0.7%
Republic of Panama
9.375%, 01/16/2023			595		809
9.375%, 04/01/2029			2,838		4,243
8.875%, 09/30/2027			325		468
8.125%, 04/28/2034			2,249		2,991
7.125%, 01/29/2026			100		128
6.700%, 01/26/2036			1,693		2,108
5.200%, 01/30/2020			925		1,038
4.300%, 04/29/2053			140		124

					11,909


Paraguay — 0.2%
Republic of Paraguay
4.625%, 01/25/2023			1,305		1,331
Telefonica Celular del Paraguay
6.750%, 12/13/2022			200		212
6.750%, 12/13/2022			900		954

					2,497


Peru — 1.4%
Abengoa Transmission Sur
6.875%, 04/30/2043			327		356
Cementos Pacasmayo
4.500%, 02/08/2023 (A)			225		214
Cia Minera Ares SAC
7.750%, 01/23/2021 (A)			200		212
Inkia Energy
8.375%, 04/04/2021 (A)			348		387
Peru Enhanced Pass-Through Finance
4.538%, 06/02/2025 (A)			1,000		697
2.605%, 05/31/2018			242		228
2.522%, 05/31/2018 (A)			274		257
Republic of Peru
9.910%, 05/05/2015	PEN		2,015		768
8.750%, 11/21/2033			4,646		7,155
8.200%, 08/12/2026	PEN		8,633		3,789
7.840%, 08/12/2020	PEN		2,377		981
7.350%, 07/21/2025			1,112		1,478
7.125%, 03/30/2019			2,646		3,228
6.950%, 08/12/2031	PEN		915		349
6.950%, 08/12/2031	PEN		2,089		796


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
6.900%, 08/12/2037	PEN		2,819	$	1,043
6.850%, 02/12/2042	PEN		882		319
Volcan Cia Minera
5.375%, 02/02/2022 (A)			22		21

					22,278


Philippines — 0.5%
Development Bank of Philippines
5.500%, 03/25/2021			370		409
National Power
9.625%, 05/15/2028			1,100		1,632
Power Sector Assets & Liabilities Management
7.390%, 12/02/2024			250		325
7.390%, 12/02/2024 (A)			650		845
Republic of Philippines
10.625%, 03/16/2025			348		553
9.500%, 02/02/2030			880		1,406
6.250%, 01/14/2036	PHP		33,000		815
5.500%, 03/30/2026			628		732
3.900%, 11/26/2022	PHP		52,000		1,178

					7,895


Poland — 4.6%
Eileme 2
11.625%, 01/31/2020			350		419
Republic of Poland
6.375%, 07/15/2019			5,740		6,823
6.250%, 10/24/2015	PLN		840		291
5.750%, 10/25/2021	PLN		9,720		3,665
5.750%, 09/23/2022	PLN		27,540		10,456
5.750%, 04/25/2029	PLN		14,928		5,847
5.500%, 04/25/2015	PLN		2,360		799
5.500%, 10/25/2019	PLN		10,610		3,879
5.250%, 10/25/2017	PLN		24,550		8,683
5.250%, 10/25/2020	PLN		5,885		2,145
5.000%, 03/23/2022			652		731
4.750%, 10/25/2016	PLN		2,410		831
4.000%, 10/25/2023	PLN		22,447		7,596
4.000%, 01/22/2024			3,604		3,766
3.000%, 08/24/2016	PLN		12,124		4,159
2.750%, 08/25/2023	PLN		3,351		1,168
2.715%, 07/25/2015	PLN		1,150		369
2.500%, 07/25/2018	PLN		6,910		2,225
2.295%, 01/25/2016	PLN		20,880		6,593
0.000%, 07/25/2016	PLN		9,600		2,987

					73,432


Qatar — 0.1%
Qtel International Finance
7.875%, 06/10/2019			873		1,096


246		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)

Romania — 2.4%
Romania Government Bond
6.750%, 06/11/2017			5,810	$	1,953
6.750%, 02/07/2022			5,116		6,133
6.750%, 02/07/2022 (A)			390		467
6.125%, 01/22/2044 (A)			568		643
6.000%, 04/30/2016			1,020		331
5.950%, 06/11/2021			17,370		5,763
5.850%, 07/28/2014	RON		3,560		1,110
5.850%, 04/26/2023	RON		13,490		4,507
5.800%, 10/26/2015	RON		500		161
5.750%, 01/27/2016			390		126
5.750%, 04/29/2020	RON		1,900		634
5.600%, 11/28/2018			11,730		3,871
4.875%, 01/22/2024 (A)			3,192		3,389
4.875%, 01/22/2024 (A)			2,612		2,773
4.750%, 08/29/2016			12,340		3,931
4.750%, 06/24/2019			3,930		1,255
4.375%, 08/22/2023			2,582		2,656

					39,703


Russia — 6.8%
Alfa Bank Via Alfa Bond Issuance
7.750%, 04/28/2021			900		958
7.500%, 09/26/2019			750		773
7.500%, 09/26/2019 (A)			275		283
Credit Bank of Moscow Via CBOM Finance
7.700%, 02/01/2018			1,500		1,485
EuroChem Mineral & Chemical via EuroChem GI
5.125%, 12/12/2017 (A)			200		200
Far Eastern Shipping
8.000%, 05/02/2018 (A)			227		184
Gazprom Neft OAO Via GPN Capital
6.000%, 11/27/2023 (A)			590		600
4.375%, 09/19/2022			1,167		1,074
Metalloinvest Finance
5.625%, 04/17/2020 (A)			350		334
Ritekro
12.844%, 11/07/2022 (F) (G)			538		200
Rosneft Oil via Rosneft International Finance
4.199%, 03/06/2022			550		508
Russian Federal Bond - OFZ
8.150%, 02/03/2027	RUB		160,706		4,472
7.600%, 04/14/2021	RUB		384,525		10,657
7.600%, 07/20/2022	RUB		179,159		4,929
7.500%, 03/15/2018	RUB		242,773		6,812
7.500%, 02/27/2019	RUB		160,514		4,478


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
7.400%, 04/19/2017	RUB		198,564	$	5,583
7.400%, 06/14/2017	RUB		28,100		789
7.350%, 01/20/2016	RUB		100,000		2,837
7.050%, 01/19/2028	RUB		283,897		7,159
7.000%, 12/03/2014 (C)	RUB		35,860		914
7.000%, 01/25/2023	RUB		277,253		7,326
7.000%, 08/16/2023	RUB		97,720		2,554
6.900%, 08/03/2016	RUB		59,436		1,663
6.800%, 12/11/2019	RUB		90,587		2,434
6.200%, 01/31/2018	RUB		139,540		3,754
Russian Foreign Bond - Eurobond
12.750%, 06/24/2028			924		1,593
7.850%, 03/10/2018	RUB		180,000		5,086
7.850%, 03/10/2018 (A)	RUB		10,000		283
7.500%, 03/31/2030			195		227
7.500%, 03/31/2030			10,277		11,931
5.625%, 04/04/2042			1,600		1,660
4.875%, 09/16/2023 (A)			4,600		4,733
Sberbank of Russia Via SB Capital
5.717%, 06/16/2021			400		416
TMK
6.750%, 04/03/2020			2,230		2,124
VEB-Leasing Via VEB Leasing Investment
5.125%, 05/27/2016			340		344
VimpelCom Holdings
7.504%, 03/01/2022			1,500		1,560
7.504%, 03/01/2022 (A)			600		624
5.200%, 02/13/2019 (A)			300		292
VimpelCom Holdings BV
5.950%, 02/13/2023 (A)			202		191
VIP Finance Ireland for Vimpel Communications
9.125%, 04/30/2018 (A)			100		112
Vnesheconombank Via VEB Finance
6.902%, 07/09/2020			1,635		1,754
6.800%, 11/22/2025			240		250
6.800%, 11/22/2025 (A)			600		626
5.450%, 11/22/2017			110		114
5.450%, 11/22/2017 (A)			340		352
VTB Capital
6.875%, 05/29/2018			720		768

					108,000


Senegal — 0.1%
Republic of Senegal
8.750%, 05/13/2021			650		744
8.750%, 05/13/2021 (A)			200		229

					973


SEI Institutional Investments Trust / Annual Report / May 31, 2014			247

SCHEDULE OF INVESTMENTS

Emerging Markets Debt Fund (Continued)

May 31, 2014


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)

Serbia — 0.7%
Republic of Serbia
7.250%, 09/28/2021			3,718	$	4,304
7.250%, 09/28/2021 (A)			300		347
5.875%, 12/03/2018			655		704
5.875%, 12/03/2018 (A)			1,623		1,744
5.250%, 11/21/2017			1,277		1,344
5.250%, 11/21/2017 (A)			200		211
4.875%, 02/25/2020			2,297		2,369

					11,023


Singapore — 0.7%
Singapore Government Bond
3.375%, 09/01/2033			1,850		1,576
3.000%, 09/01/2024			9,867		8,333
STATS ChipPAC
4.500%, 03/20/2018 (A)			125		126
Yanlord Land Group
9.500%, 05/04/2017			1,170		1,226

					11,261


Slovak Republic — 0.0%
Republic of Slovakia
4.375%, 05/21/2022 (A)			620		664


Slovenia — 0.3%
Republic of Slovenia
5.850%, 05/10/2023			1,074		1,200
5.250%, 02/18/2024 (A)			2,659		2,845

					4,045


South Africa — 5.5%
Republic of South Africa
10.500%, 12/21/2026	ZAR		51,288		5,650
8.750%, 02/28/2048	ZAR		34,406		3,076
8.500%, 06/23/2017 (E)			3,038		3,591
8.500%, 01/31/2037	ZAR		42,283		3,775
8.250%, 09/15/2017	ZAR		27,059		2,624
8.000%, 12/21/2018	ZAR		101,918		9,794
8.000%, 01/31/2030	ZAR		62,319		5,510
7.750%, 02/28/2023	ZAR		64,591		5,956
7.250%, 01/15/2020	ZAR		162,748		15,000
7.000%, 02/28/2031	ZAR		41,179		3,255
7.000%, 02/28/2031	ZAR		9,471		749
6.875%, 05/27/2019			940		1,098
6.750%, 03/31/2021	ZAR		13,660		1,209
6.500%, 02/28/2041	ZAR		2,552		176
6.250%, 03/31/2036	ZAR		27,510		1,907
5.875%, 09/16/2025			11,313		12,727
5.500%, 03/09/2020			4,839		5,359
4.665%, 01/17/2024			1,486		1,538
Transnet SOC
9.500%, 05/13/2021 (A)	ZAR		16,660		1,565


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
4.000%, 07/26/2022			2,650	$	2,531
4.000%, 07/26/2022 (A)			305		291

					87,381


Sri Lanka — 0.3%
Bank of Ceylon
6.875%, 05/03/2017 (A)			360		381
Democratic Socialist Republic of Sri Lanka
6.250%, 07/27/2021			200		211
6.250%, 07/27/2021 (A)			270		286
5.875%, 07/25/2022			3,232		3,321
Sri Lanka Government International Bond
5.125%, 04/11/2019 (A)			830		849

					5,048


Supra-National — 0.1%
Inter-American Development Bank MTN
5.374%, 08/20/2015	IDR		10,910,000		860


Thailand — 2.6%
Thailand Government Bond
5.670%, 03/13/2028	THB		3,000		109
4.875%, 06/22/2029	THB		25,200		856
3.875%, 06/13/2019	THB		632,000		19,915
3.650%, 12/17/2021	THB		136,620		4,183
3.625%, 06/16/2023	THB		349,043		10,560
3.580%, 12/17/2027	THB		77,750		2,306
3.250%, 06/16/2017	THB		59,000		1,838
Thailand Government Index- Linked Bond
1.200%, 07/14/2021	THB		79,442		2,320

					42,087


Trinidad & Tobago — 0.1%
Republic of Trinidad & Tobago
4.375%, 01/16/2024 (A)			1,510		1,634


Turkey — 6.5%
Akbank
5.000%, 10/24/2022			250		251
Export Credit Bank of Turkey
5.875%, 04/24/2019 (A)			200		212
Finansbank
6.250%, 04/30/2019 (A)			1,612		1,659
KOC Holding
3.500%, 04/24/2020			200		191
3.500%, 04/24/2020 (A)			200		191
Republic of Turkey
11.875%, 01/15/2030			660		1,133
10.700%, 02/24/2016	TRY		1,710		847
10.500%, 01/15/2020	TRY		5,943		3,072


248		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description		Face Amount (1) (Thousands)		Market Value ($ Thousands)
9.500%, 01/12/2022	TRY		12,107	$	5,969
9.000%, 01/27/2016	TRY		2,400		1,157
9.000%, 03/08/2017	TRY		20,199		9,795
8.800%, 11/14/2018	TRY		3,199		1,544
8.800%, 09/27/2023	TRY		972		461
8.500%, 09/14/2022	TRY		25,538		11,902
8.300%, 10/07/2015	TRY		9,860		4,699
8.300%, 06/20/2018	TRY		14,586		6,923
8.300%, 06/20/2018	TRY		2,000		949
8.000%, 02/14/2034			1,185		1,561
7.500%, 07/14/2017			4,078		4,659
7.500%, 11/07/2019			1,679		1,994
7.375%, 02/05/2025			4,434		5,387
7.250%, 03/05/2038			270		335
7.100%, 03/08/2023	TRY		11,000		4,680
7.100%, 03/08/2023	TRY		1,230		523
7.000%, 09/26/2016			880		973
7.000%, 06/05/2020			2,450		2,863
6.875%, 03/17/2036			2,731		3,243
6.750%, 04/03/2018			3,470		3,937
6.750%, 05/30/2040			514		603
6.500%, 01/07/2015	TRY		6,023		2,850
6.300%, 02/14/2018	TRY		14,704		6,537
6.250%, 09/26/2022			415		470
6.000%, 01/14/2041			2,350		2,521
5.750%, 03/22/2024			628		686
5.625%, 03/30/2021			1,179		1,288
5.125%, 03/25/2022			1,520		1,613
4.500%, 02/11/2015	TRY		4,198		2,050
3.250%, 03/23/2023			440		406
3.000%, 02/23/2022	TRY		6,488		3,317
Turkiye Garanti Bankasi
5.250%, 09/13/2022 (A)			400		406
Turkiye Is Bankasi
3.750%, 10/10/2018			300		297

					104,154


Ukraine — 1.1%
Government of Ukraine
9.250%, 07/24/2017			8,333		8,239
9.250%, 07/24/2017 (A)			2,061		2,037
7.950%, 02/23/2021			530		501
7.950%, 02/23/2021 (A)			350		331
7.800%, 11/28/2022 (A)			1,521		1,409
6.875%, 09/23/2015			2,833		2,711
6.875%, 09/23/2015 (A)			484		463
6.580%, 11/21/2016			503		473
State Export-Import Bank of Ukraine JSC via Biz Finance
8.750%, 01/22/2018			970		854
Ukraine Railways via Shortline
9.500%, 05/21/2018			250		205

					17,223


Description	Face Amount (1) (Thousands)		Market Value ($ Thousands)

United Arab Emirates — 0.0%
MAF Global Securities
7.125%, 10/29/2049 (D)		200	$	216


Uruguay — 0.6%
Republic of Uruguay PIK
7.875%, 01/15/2033		1,753		2,393
Republic of Uruguay
7.625%, 03/21/2036		2,404		3,263
6.875%, 09/28/2025		1,000		1,221
4.500%, 08/14/2024		2,495		2,657

				9,534


Venezuela — 4.1%
Government of Venezuela
13.625%, 08/15/2018		1,493		1,575
13.625%, 08/15/2018		497		509
12.750%, 08/23/2022		9,852		9,754
12.750%, 08/23/2022		3,442		3,408
11.950%, 08/05/2031		2,908		2,675
11.950%, 08/05/2031		185		170
11.750%, 10/21/2026		1,000		921
11.750%, 10/21/2026		1,875		1,727
9.375%, 01/13/2034		4,030		3,184
9.250%, 09/15/2027		2,132		1,738
9.250%, 05/07/2028		2,693		2,114
9.000%, 05/07/2023		3,228		2,614
9.000%, 05/07/2023		1,622		1,313
8.500%, 10/08/2014		936		937
8.250%, 10/13/2024		20		15
8.250%, 10/13/2024		1,102		836
7.750%, 10/13/2019		1,648		1,368
7.750%, 10/13/2019		20		17
7.650%, 04/21/2025		334		243
7.650%, 04/21/2025		20		15
7.000%, 12/01/2018		1,409		1,172
6.000%, 12/09/2020		440		320
6.000%, 12/09/2020		156		113
5.750%, 02/26/2016		3,675		3,434
5.750%, 02/26/2016		843		787
5.750%, 02/26/2016		350		327
Petroleos de Venezuela
12.750%, 02/17/2022		324		313
9.750%, 05/17/2035		1,018		774
9.000%, 11/17/2021		2,300		1,886
8.500%, 11/02/2017		330		304
8.500%, 11/02/2017		14,306		13,162
6.000%, 11/15/2026		1,142		685
5.500%, 04/12/2037		300		166
5.375%, 04/12/2027		1,162		671
5.250%, 04/12/2017		20		17
5.250%, 04/12/2017		1,138		946
5.000%, 10/28/2015		5,420		5,007

				65,217


SEI Institutional Investments Trust / Annual Report / May 31, 2014			249

SCHEDULE OF INVESTMENTS

Emerging Markets Debt Fund (Continued)

May 31, 2014


Description		Face Amount (1) (Thousands)/Shares		Market Value ($ Thousands)

Vietnam — 0.1%
Socialist Republic of Vietnam
6.875%, 01/15/2016			440	$	472
6.750%, 01/29/2020			1,010		1,140

					1,612


Zambia — 0.3%
Zambia Government International Bond
8.500%, 04/14/2024 (A)			1,400		1,505
5.375%, 09/20/2022			2,980		2,764

					4,269

Total Global Bonds (Cost $1,484,870) ($ Thousands)					1,512,005


LOAN PARTICIPATION — 0.1%

Singapore — 0.1%
Morton Bay Senior
0.000%, 12/31/2014 (F) (G)			3,020		2,213

Total Loan Participation (Cost $3,020) ($ Thousands)					2,213


AFFILIATED PARTNERSHIP — 0.4%
SEI Liquidity Fund, L.P.
0.070%*† (H)			5,622,692		5,623

Total Affiliated Partnership (Cost $5,623) ($ Thousands)					5,623


TIME DEPOSITS — 3.7%
Brown Brothers Harriman
5.188% 06/02/2014	ZAR		1,347		127
0.081% 06/02/2014	GBP		—		—
0.040% 06/02/2014	EUR		67		92
0.030% 06/02/2014			59,285		59,285
0.005% 06/02/2014	SGD		6		5
0.001% 06/02/2014	CHF		—		—

Total Time Deposits (Cost $59,509) ($ Thousands)					59,509

Total Investments — 98.9% (Cost $1,553,022) ($ Thousands)				$	1,579,350

A list of the open futures contracts held by the Fund at May 31, 2014, is as follows:


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
Euro-Bund		(13	)		Jun-2014	$	(85	)
Korea 10-Year Bond		(81	)		Jun-2014		(42	)


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
Korea 3-Year Bond		(75	)		Jun-2014	$	(7	)
U.S. 10-Year Treasury Note		117			Sep-2014		5
U.S. 10-Year Treasury Note		(79	)		Sep-2014		(45	)
U.S. 2-Year Treasury Note		56			Sep-2014		2
U.S. 5-Year Treasury Note		9			Sep-2014		—
U.S. 5-Year Treasury Note		(84	)		Sep-2014		(26	)
U.S. Long Treasury Bond		47			Sep-2014		(27	)
U.S. Long Treasury Bond		(21	)		Sep-2014		(1	)

						$	(226	)

For the year ended May 31, 2014, the total amount of all open futures contracts, as presented in the tables above, are representative of the volume of activity for this derivative type during the year.

A list of the open forward foreign currency contracts held by the Fund at May 31, 2014, is as follows:


Settlement Date	Currency to Deliver (Thousands)			Currency to Receive (Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)
6/3/14-8/12/14		RUB	1,500,280		USD	41,921	$	(761	)
6/3/14-8/12/14		USD	30,778		RUB	1,101,857		623
6/4/14-6/18/14		MXN	325,548		USD	25,166		(117	)
6/4/14-7/3/14		EUR	46,244		USD	63,798		700
6/4/14-7/14/14		RON	60,445		EUR	13,596		(179	)
6/4/14-8/15/14		USD	36,236		MXN	476,462		727
6/4/14-9/17/14		EUR	3,757		RON	16,697		44
6/4/14-9/17/14		USD	33,752		EUR	24,437		(407	)
6/6/14		JPY	286,160		USD	2,755		(57	)
6/6/14		USD	2,816		JPY	286,160		(3	)
6/6/14-6/18/14		USD	9,527		HUF	2,119,444		21
6/6/14-8/11/14		THB	1,059,956		USD	32,635		377
6/6/14-8/11/14		USD	21,638		THB	703,105		(257	)
6/6/14-8/26/14		USD	16,903		PHP	750,276		240
6/6/14-2/18/15		HUF	2,273,984		USD	10,152		(50	)
6/11/14-8/20/14		USD	16,805		CLP	9,362,384		100
6/11/14-8/29/14		CLP	6,266,171		USD	11,241		(87	)
6/12/14-12/8/14		IDR	194,068,332		USD	16,598		137
6/12/14-12/8/14		USD	22,435		IDR	263,913,001		(76	)
6/16/14		EUR	6,813		HUF	2,108,006		200
6/16/14-2/18/15		HUF	5,999,576		EUR	19,448		(464	)
6/17/14-6/18/14		CZK	162,805		EUR	5,945		30
6/18/14		CZK	61,997		USD	3,146		68
6/18/14		ILS	58,431		USD	16,834		10
6/18/14		INR	12,910		USD	209		(9	)
6/18/14		PLN	17,610		USD	5,776		(31	)
6/18/14		RON	24,382		USD	7,478		(81	)
6/18/14		SGD	26,459		USD	20,987		(122	)
6/18/14		USD	1,606		CZK	32,250		(5	)
6/18/14		USD	4,402		ILS	15,328		12
6/18/14		USD	10,251		PLN	31,401		103
6/18/14		USD	4,430		RON	14,448		49
6/18/14-7/9/14		TRY	65,310		USD	30,166		(824	)
6/18/14-7/16/14		PLN	20,150		EUR	4,780		(114	)
6/18/14-7/21/14		USD	3,154		INR	187,910		(7	)
6/18/14-8/8/14		USD	25,371		ZAR	269,397		(70	)
6/18/14-8/20/14		MYR	39,988		USD	12,195		(197	)
6/18/14-8/20/14		USD	41,343		MYR	134,859		445
6/18/14-9/17/14		EUR	23,230		PLN	97,690		446
6/18/14-9/17/14		USD	43,951		TRY	95,755		1,363
6/18/14-9/17/14		ZAR	201,419		USD	18,779		(176	)
6/26/14-7/16/14		COP	44,224,695		USD	22,652		(562	)
6/26/14-7/16/14		USD	23,795		PEN	66,795		252
6/26/14-8/29/14		USD	21,686		COP	42,909,183		826
6/30/14		GBP	268		USD	450		2
6/30/14		KRW	11,942,910		USD	11,406		(300	)
6/30/14-8/20/14		USD	16,358		KRW	17,217,111		511
7/2/14-7/7/14		BRL	41,794		USD	18,572		99
7/2/14-7/7/14		USD	6,021		BRL	13,657		12


250		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Settlement Date	Currency to Deliver (Thousands)			Currency to Receive (Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)
7/10/14		USD	2,826		UYU	65,000	$	(4	)
7/14/14		AUD	6,250		USD	5,822		24
7/14/14		USD	5,747		AUD	6,248		50
7/15/14-8/20/14		PHP	287,590		USD	6,561		(11	)
7/16/14		PEN	16,635		USD	5,852		(134	)
7/16/14-8/20/14		NGN	399,269		USD	2,322		(88	)
7/16/14-11/19/14		USD	11,864		NGN	2,018,115		332
8/20/14		TWD	201,394		USD	6,678		(50	)

							$	2,560

A list of the counterparties for the open forward foreign currency contracts held by the Fund at May 31, 2014, is as follows:


Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation ($ Thousands)
Citigroup	$	(214,931	)	$	215,481	$	550
Goldman Sachs		(437,388	)		438,800		1,412
HSBC		(26,888	)		27,448		560
JPMorgan Chase Bank		(243,440	)		243,478		38

						$	2,560

For the year ended May 31, 2014, the total amount of all open forward foreign currency contracts, as presented in the tables above, are representative of the volume of activity for this derivative type during the year.

A list of open OTC swap agreements held by the Fund at May 31, 2014, is as follows:


Interest Rate Swaps
Counterparty	Fund Pays	Fund Receives	Termination Date	Currency		Notional Amount (Thousands)		Net Unrealized Appreciation (Depreciation) ($ Thousands)
Goldman Sachs	3-Month ZAR - JIBAR	8.76%	01/16/2029		ZAR		65,000	$	124
Goldman Sachs	4.95%	6-Month HUF -BUBOR	04/29/2024		HUF		800,000		(204	)
Goldman Sachs	3-Month ZAR - JIBAR	8.30%	01/16/2024		ZAR		25,000		20
Goldman Sachs	28-DAY MXN - TIIE	6.87%	01/10/2024		MXN		7,000		26
Goldman Sachs	3-Month ZAR - JIBAR	8.19%	12/20/2023		ZAR		16,000		6
Goldman Sachs	6-Month PZL - WIBOR	3.38%	05/13/2019		PZL		8,229		17
Goldman Sachs	4.03%	6-Month HUF -BUBOR	04/29/2019		HUF		1,397,393		(190	)
Goldman Sachs	7-Day China Interbank Repo Rate	4.58%	04/02/2019		CNY		8,000		49
Goldman Sachs	28-Day MXN - TIIE	7.45%	04/01/2019		MXN		241,664		121
Goldman Sachs	7-Day China Interbank Repo Rate	4.40%	03/25/2019		CNY		72,000		352
Goldman Sachs	3-Month ILS - TELBOR	2.29%	12/24/2018		ILS		17,000		194
Goldman Sachs	1-Year BRL - CDI	12.26%	01/02/2018		BRL		17,224		133
Goldman Sachs	0.76%	3-Month ILS -TELBOR	05/22/2016		ILS		11,000		(1	)
Goldman Sachs	3-Month CLP - CLICP	3.75%	04/25/2016		CLP		8,461,341		15
Goldman Sachs	2.7925%	3-Month KRW - Certificate Of Deposit Rate	04/10/2016		KRW		18,500,000		(21	)
Goldman Sachs	3-Month ILS - TELBOR	0.95%	04/02/2016		ILS		7,800		(11	)
Goldman Sachs	1.21%	3-Month ILS -TELBOR	02/14/2016		ILS		10,000		(34	)
Goldman Sachs	3.31%	6-Month PZL -WIBOR	02/03/2016		PZL		37,500		(139	)
Goldman Sachs	3-Month ZAR - JIBAR	6.85%	01/22/2016		ZAR		30,000		4
Goldman Sachs	1.20%	3-Month ILS - TELBOR	01/16/2016		ILS		42,828		(148	)
Goldman Sachs	1-YEAR BRL - CDI	11.59%	01/04/2016		BRL		6,632		20
Goldman Sachs	3-Month ZAR - JIBAR	6.81%	12/31/2015		ZAR		150,000		26
Goldman Sachs	1.18%	3-Month ILS -TELBOR	12/24/2015		ILS		40,000		(137	)
Goldman Sachs	3-Month ZAR - JIBAR	6.75%	12/22/2015		ZAR		130,000		19
Goldman Sachs	2.685%	3-Month KRW - Certificate Of Deposit Rate	04/10/2015		KRW		40,000,000		(10	)
Goldman Sachs	1-Year BRL - CDI	11.915%	01/04/2021		BRL		2,788		—
Goldman Sachs	28-Day MXN - TIIE	6.31%	05/20/2024		MXN		16,098		—

								$	231


Cross-Currency Swaps
Counterparty	Fund Pays	Fund Receives	Termination Date	Notional Amount of Currency Received (Thousands)			Notional Amount of Currency Delivered (Thousands)			Net Unrealized Depreciation ($ Thousands)
Goldman Sachs	9.51%	3Month USD - LIBOR	07/09/2015		TRY	5,938	$	(12,500	)	$	(65	)

For the year ended May 31, 2014, the total amount of all open swap agreements, as presented in the tables above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on a Net Assets of $1,596,100 ($ Thousands).

The rate reported is the 7-day effective yield as of May 31, 2014.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security (see Note 6).

(1)

In U.S. dollars unless otherwise indicated.

(A)

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 May 31, 2014. 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 May 31, 2014.

(E)

This security or a partial position of this security is on loan at May 31, 2014. The total value of securities on loan at May 31, 2014 was $5,360 ($ Thousands).


SEI Institutional Investments Trust / Annual Report / May 31, 2014			251

SCHEDULE OF INVESTMENTS

Emerging Markets Debt Fund (Concluded)

May 31, 2014

(F)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of May 31, 2014 was $2,413 ($ Thousands) and represented 0.15% of Net Assets.

(G)

Securities considered illiquid. The total value of such securities as of May 31, 2014 was $2,413 ($ Thousands) and represented 0.15% of Net Assets.

(H)

This security was purchased with cash collateral held from securities on loan (see Note 12). The total value of such securities as of May 31, 2014 was $5,623 ($ Thousands).

AUD — Australian Dollar

BRL — Brazilian Real

BUBOR — Budapest Interbank Offered Rate

CDI — Average One-Day Interbank Deposit Rate

CHF — Swiss Franc

CLN — Credit Linked Note

CLP — Chilean Peso

CNH — Chinese Yuen (Offshore)

COP — Colombian Peso

CZK — Czech Koruna

DEM — German Mark

EUR — Euro

GBP — British Pound Sterling

HUF — Hungarian Forint

IDR — Indonesian Rupiah

ILS — Israeli Shekel

INR — Indian Rupee

JIBAR — Johannesburg Interbank Agreed Rate

JPY — Japanese Yen

KES — Kenyan Shilling

KRW — Korean Won

LIBOR — London Interbank Offered Rate

LLC — Limited Liability Company

L.P. — Limited Partnership

MTN — Medium Term Note

MXN — Mexican Peso

MYR — Malaysian Ringgit

NGN — Nigerian Naira

OTC — Over the Counter

PEN — Peruvian Nuevo SOI

PHP — Philippine Peso

PIK — Payment-in-Kind

PLC — Public Limited Company

PLN — Polish Zloty

RON — Romanian Leu

RUB — Russian Ruble

Ser — Series

SGD — Singapore Dollar

TELBOR — Tel Aviv Interbank Offered Rate

THB — Thai Bhat

TIIE — Equilibrium Interbank Interest Rate

TRY — New Turkish Lira

TWD — Taiwanese Dollar

USD — U.S. Dollar

UYU — Uruguayan Peso

WIBOR — Warsaw Interbank Offered Rate

ZAR — South African Rand

The following is a list of the level of inputs used as of May 31, 2014, in valuing the investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3⁽¹⁾		Total
Global Bonds	$	—	$	1,511,805	$	200	$	1,512,005
Loan Participation		—		—		2,213		2,213
Affiliated Partnership		—		5,623		—		5,623
Time Deposits		—		59,509		—		59,509

Total Investments in Securities	$	—	$	1,576,937	$	2,413	$	1,579,350


Other Financial Instruments	Level 1			Level 2			Level 3		Total
Futures Contracts*
Unrealized Appreciation	$	7		$	—		$	—	$	7
Unrealized Depreciation		(233	)							(233	)
Forwards Contracts*
Unrealized Appreciation		—			9,662			—		9,662
Unrealized Depreciation		—			(7,102	)		—		(7,102	)
OTC Swaps
Interest Rate Swaps*
Unrealized Appreciation		—			1,125			—		1,125
Unrealized Depreciation		—			(894	)		—		(894	)
Cross Currency Swaps*
Unrealized Depreciation		—			(65	)		—		(65	)

Total Other Financial Instruments	$	(226	)	$	2,726		$	—	$	2,500

(1)

A reconciliation of Level 3 instruments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. 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 year ended May 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

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


252		SEI Institutional Investments Trust / Annual Report / May 31, 2014

SCHEDULE OF INVESTMENTS

Real Return Fund

May 31, 2014

LOGO


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

U.S. TREASURY OBLIGATIONS — 99.2%
U.S. Treasury Inflation-Protected Securities
2.625%, 07/15/2017	$	9,743	$	10,923
2.500%, 07/15/2016		13,135		14,277
2.375%, 01/15/2017		11,378		12,465
2.125%, 01/15/2019		9,440		10,645
2.000%, 01/15/2016		13,422		14,173
1.875%, 07/15/2015		13,696		14,263
1.625%, 01/15/2018		10,292		11,235
1.375%, 07/15/2018		10,150		11,102
0.125%, 04/15/2016		27,070		27,780
0.125%, 04/15/2017		30,475		31,501
0.125%, 04/15/2018		33,893		35,016
0.125%, 04/15/2019		12,217		12,568

Total U.S. Treasury Obligations (Cost $204,496) ($ Thousands)				205,948


TIME DEPOSIT — 0.5%
Brown Brothers Harriman
0.030%, 06/02/2014		967		967

Total Time Deposit (Cost $967) ($ Thousands)				967

Total Investments — 99.7% (Cost $205,463) ($ Thousands)			$	206,915

Percentages are based on Net Assets of $207,578 ($ Thousands).

The following is a list of the level of inputs used as of May 31, 2014, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
U.S. Treasury Obligations	$	—	$	205,948	$	—	$	205,948
Time Deposit		967		—		—		967

Total Investments in Securities	$	967	$	205,948	$	—	$	206,915

For the year ended May 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

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


SEI Institutional Investments Trust / Annual Report / May 31, 2014			253

CONSOLIDATED SUMMARY SCHEDULE OF INVESTMENTS

Dynamic Asset Allocation Fund

May 31, 2014

LOGO


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

COMMON STOCK — 98.4%

Consumer Discretionary — 11.7%
Amazon.com*		0.7	%		33,100	$	10,345
Comcast, Cl A		0.8			234,500		12,241
Home Depot		0.6			125,400		10,061
McDonald’s		0.6			89,300		9,058
Walt Disney		0.8			146,600		12,316
Other Securities		8.2					128,611

							182,632


Consumer Staples — 9.6%
Altria Group		0.5			180,100		7,485
Coca-Cola		0.9			340,700		13,938
CVS Caremark		0.5			106,700		8,357
PepsiCo		0.8			137,000		12,101
Philip Morris International		0.8			140,900		12,475
Procter & Gamble		1.3			243,400		19,664
Wal-Mart Stores		0.7			143,900		11,047
Other Securities		4.1					64,586

							149,653


Energy — 10.3%
Chevron		1.3			171,300		21,034
ConocoPhillips		0.6			110,600		8,841
Exxon Mobil		2.5			387,200		38,925
Occidental Petroleum		0.4			70,800		7,058
Schlumberger		0.8			117,600		12,235
Other Securities		4.7					72,782

							160,875


Financials — 15.5%
American Express		0.5			80,900		7,402
American International Group		0.5			129,400		6,997
Bank of America		0.9			950,100		14,385
Berkshire Hathaway, Cl B*		1.3			161,600		20,740
Citigroup		0.8			270,300		12,858
JPMorgan Chase		1.2			340,000		18,894
Wells Fargo		1.4			429,700		21,820


Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Other Securities		8.9	%			$	138,638

							241,734


Health Care — 13.1%
AbbVie		0.5			143,500		7,796
Amgen		0.5			67,400		7,818
Bristol-Myers Squibb		0.5			148,600		7,391
Gilead Sciences*		0.7			137,300		11,150
Johnson & Johnson		1.7			253,700		25,740
Merck		1.0			264,300		15,292
Pfizer		1.1			573,396		16,990
UnitedHealth Group		0.4			88,400		7,039
Other Securities		6.7					104,899

							204,115


Industrials — 10.6%
3M		0.5			56,200		8,011
Boeing		0.5			60,700		8,210
General Electric		1.6			900,000		24,111
Union Pacific		0.5			40,400		8,051
United Technologies		0.6			76,000		8,833
Other Securities		6.9					106,942

							164,158


Information Technology — 18.6%
Apple		3.3			79,900		50,577
Cisco Systems		0.7			463,700		11,416
Facebook, Cl A*		0.6			154,000		9,748
Google, Cl A*		0.9			25,400		14,520
Google, Cl C*		0.9			25,400		14,249
Intel		0.8			447,400		12,223
International Business Machines		1.1			87,900		16,205
Microsoft		1.8			677,300		27,729
Oracle		0.8			307,800		12,934
Qualcomm		0.8			150,700		12,124
Visa, Cl A		0.6			45,700		9,818
Other Securities		6.3					98,505

							290,048


Materials — 3.5%
Other Securities		3.5					53,777


Telecommunication Services — 2.5%
AT&T		1.1			467,800		16,593
Verizon Communications		1.2			371,800		18,575
Other Securities		0.2					3,065

							38,233


Utilities — 3.0%
Other Securities		3.0					46,459

Total Common Stock (Cost $1,187,057) ($ Thousands)							1,531,684


254		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

EXCHANGE TRADED FUND — 0.4%
Other Securities		0.4	%			$	6,424

Total Exchange Traded Fund (Cost $5,974) ($ Thousands)							6,424


TIME DEPOSIT — 0.3%
Other Securities		0.3					4,643

Total Time Deposit (Cost $4,643) ($ Thousands)							4,643

Total Investments — 99.1% (Cost $1,197,674) ($ Thousands)						$	1,542,751


PURCHASED OPTIONS — 0.0%
CBOE Volatility Index, Expires 07/16/2014, Strike Price $22*		0.0			10,000	$	300
EUR Currency Option Put, Expires 07/02/2014, Strike Rate: 1.320%*		0.0			299,242,000		241

Total Purchased Options (Cost $2,099) ($ Thousands)						$	541

A list of the open forward foreign currency contracts held by the Fund at May 31, 2014, is as follows:

Settlement
Date

Currency
to Deliver
(Thousands)

Currency
to Receive

(Thousands)

Unrealized
Appreciation
($ Thousands)

7/23/14

EUR

487,147

USD

672,963

8,351

A list of the counterparties for the open forward foreign currency contracts held by the Fund at May 31, 2014, is as follows:


Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
Barclays PLC	$	(159,230	)	$	161,318	$	2,088
Goldman Sachs		(24,275	)		24,231		(44	)
Royal Bank of Scotland		(162,646	)		164,782		2,136
Societe Generale		(159,230	)		161,302		2,072
UBS		(159,230	)		161,329		2,099

						$	8,351

Percentages are based on a Net Assets of $1,557,322 ($ Thousands).

Non-income producing security.

CBOE — Chicago Board Options Exchange

Cl — Class

EUR — Euro

PLC — Public Limited Company

USD — U.S. Dollar

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 May 31, 2014, 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	$	1,531,684	$	—	$	—	$	1,531,684
Exchange Traded Fund		6,424		—		—		6,424
Time Deposit		—		4,643		—		4,643

Total Investments in Securities	$	1,538,108	$	4,643	$	—	$	1,542,751


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Purchased Options	$	541	$	—	$	—	$	541
Forwards Contracts* Unrealized Appreciation		—		8,351		—		8,351

Total Other Financial Instruments	$	541	$	8,351	$	—	$	8,892

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

For the year ended May 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

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


SEI Institutional Investments Trust / Annual Report / May 31, 2014			255

CONSOLIDATED SCHEDULE OF INVESTMENTS

Multi-Asset Real Return Fund

May 31, 2014

LOGO


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 28.4%

Consumer Discretionary — 0.1%
Kimball International, Cl B		11,200	$	181
Starz*		29,700		909

				1,090


Consumer Staples — 4.9%
Archer-Daniels-Midland		3,100		139
Cal-Maine Foods		3,900		272
Coca-Cola		8,700		356
Costco Wholesale		17,700		2,054
CVS Caremark (F)		35,400		2,773
Diamond Foods*		60,200		1,923
Dr. Pepper Snapple Group (F)		54,400		3,139
Kimberly-Clark (F)		44,200		4,966
Lorillard (F)		53,500		3,326
Molson Coors Brewing, Cl B		1,200		79
Monster Beverage* (F)		39,700		2,754
Pilgrim’s Pride*		162,100		4,124
Procter & Gamble		26,900		2,173
Sanderson Farms		15,900		1,471
Sprouts Farmers Market*		38,200		1,035
Tyson Foods, Cl A (F)		101,200		4,297

				34,881


Energy — 6.4%
Carrizo Oil & Gas*		15,600		896
Chesapeake Energy		46,400		1,333
Chevron (F)		15,170		1,863
Cimarex Energy		8,420		1,087
ConocoPhillips (F)		81,360		6,504
EOG Resources (F)		51,780		5,478
EQT		5,500		588
Exxon Mobil (F)		69,800		7,017
Halliburton		18,320		1,184
Helmerich & Payne (F)		37,300		4,101
Hess		16,000		1,461
Nabors Industries		115,440		3,028
Newfield Exploration*		10,200		372
Noble Energy		1		—
Occidental Petroleum		3,425		341


Description	Shares		Market Value ($ Thousands)
Patterson-UTI Energy		123,400	$	4,083
Pioneer Energy Services*		16,400		261
REX American Resources*		7,700		535
Schlumberger		1,010		105
Valero Energy (F)		81,620		4,575
Whiting Petroleum*		14,620		1,050

				45,862


Financials — 3.7%
Alleghany*		9,500		4,001
Allied World Assurance Holdings		24,600		922
Annaly Capital Management‡		120,400		1,420
Armada Hoffler Properties‡		14,327		138
Ashford Hospitality Prime‡		20,519		334
Aviv‡		12,100		336
Capstead Mortgage‡		71,400		940
CBRE Group, Cl A*		56,600		1,689
Corporate Office Properties Trust‡		1,146		32
Cousins Properties‡		67,898		815
ETRADE Financial (F)		183,500		3,738
Ellington Residential Mortgage‡		3,200		56
Extra Space Storage‡		11,150		584
First Citizens BancShares, Cl A		1,100		242
Mortgage Investment Trust‡		14,900		283
Principal Financial Group		65,000		3,040
Prologis‡		43,016		1,786
Senior Housing Properties Trust‡		19,740		473
Simon Property Group‡ (F)		18,240		3,036
SL Green Realty‡		17,720		1,940
Sovran Self Storage‡		3,390		260
Waddell & Reed Financial, Cl A		3,500		211
Washington Prime Group*‡		9,120		181

				26,457


Health Care — 5.6%
AbbVie (F)		50,200		2,727
Affymetrix*		90,600		748
Akorn*		31,000		867
Albany Molecular Research*		13,000		205
Alexion Pharmaceuticals*		1,700		283
Boston Scientific* (F)		329,400		4,226
Cigna		49,300		4,426
Depomed*		34,400		410
Gilead Sciences* (F)		28,800		2,339
Illumina* (F)		27,300		4,320
Johnson & Johnson		13,300		1,349
Kindred Healthcare		59,700		1,482
Magellan Health Services*		14,600		889
Mallinckrodt*		500		39
MEDNAX*		27,800		1,602
PAREXEL International*		41,100		2,074
PDL BioPharma		98,600		924
PharMerica*		29,400		798
Repligen*		16,300		314


256		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Shares		Market Value ($ Thousands)
Salix Pharmaceuticals*		22,800	$	2,601
Thermo Fisher Scientific (F)		39,500		4,618
United Therapeutics*		9,000		862
WellCare Health Plans*		22,300		1,727

				39,830


Industrials — 3.7%
AAON		6,200		193
Alaska Air Group		16,300		1,605
Allegiant Travel, Cl A		4,600		529
Argan		3,800		116
Huntington Ingalls Industries		37,300		3,724
ICF International*		11,100		413
L-3 Communications Holdings, Cl 3 (F)		32,200		3,902
Lockheed Martin (F)		23,300		3,813
Northrop Grumman (F)		30,700		3,732
Pitney Bowes		26,200		724
Raytheon (F)		20,200		1,971
Southwest Airlines (F)		160,200		4,237
Trinity Industries		17,000		1,471
US Ecology		4,000		198

				26,628


Information Technology — 2.6%
Amdocs		1,600		77
AVG Technologies*		77,700		1,504
Broadridge Financial Solutions		16,900		693
Constant Contact*		19,600		579
Convergys		117,600		2,566
DST Systems		24,800		2,261
Electronic Arts*		119,400		4,195
Euronet Worldwide*		1,100		52
Intuit		30,500		2,418
LogMeIn*		55,200		2,350
Manhattan Associates*		56,900		1,847
WebMD Health, Cl A*		10,200		437

				18,979


Telecommunication Services — 0.7%
AT&T		2,600		92
Level 3 Communications*		2,600		114
Verizon Communications (F)		91,800		4,586

				4,792


Utilities — 0.7%
AGL Resources		76,800		4,100
New Jersey Resources		19,400		1,067

				5,167

Total Common Stock (Cost $192,557) ($ Thousands)				203,686


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

CORPORATE OBLIGATIONS — 4.3%

Consumer Discretionary — 0.4%
21st Century Fox America
6.150%, 02/15/2041	$	75	$	91
4.500%, 02/15/2021		90		99
4.000%, 10/01/2023		117		122
3.000%, 09/15/2022		420		415
CBS
5.750%, 04/15/2020		145		169
Comcast
6.450%, 03/15/2037		40		51
Dana Holdings
6.000%, 09/15/2023		91		96
DIRECTV Holdings
4.600%, 02/15/2021		60		66
3.800%, 03/15/2022		110		114
DIRECTV Holdings LLC
5.200%, 03/15/2020		49		56
4.450%, 04/01/2024		174		185
Dollar General
4.125%, 07/15/2017		29		31
Omnicom Group
3.625%, 05/01/2022		58		59
Sirius XM Radio
4.625%, 05/15/2023 (A)		254		242
Time Warner
4.700%, 01/15/2021		130		145
3.400%, 06/15/2022		440		449
Time Warner Cable
4.125%, 02/15/2021		65		70
Viacom
3.875%, 04/01/2024		267		273

				2,733


Consumer Staples — 0.1%
Altria Group
4.750%, 05/05/2021		215		239
Bunge Finance
4.100%, 03/15/2016		125		132
Kroger
3.400%, 04/15/2022		452		460
Reynolds American
3.250%, 11/01/2022		107		103

				934


Energy — 1.0%
Access Midstream Partners
4.875%, 03/15/2024		271		284
Cimarex Energy
5.875%, 05/01/2022		54		60
4.375%, 06/01/2024		261		265
CNOOC Nexen Finance 2014 ULC
4.250%, 04/30/2024		332		341


SEI Institutional Investments Trust / Annual Report / May 31, 2014			257

CONSOLIDATED SCHEDULE OF INVESTMENTS

Multi-Asset Real Return Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
DCP Midstream
4.750%, 09/30/2021 (A)	$	75	$	79
Diamond Offshore Drilling
4.875%, 11/01/2043		301		303
Ecopetrol
5.875%, 05/28/2045		252		260
Energy Transfer Partners
5.200%, 02/01/2022		465		516
4.650%, 06/01/2021		85		92
Enterprise Products Operating
5.200%, 09/01/2020		110		126
Kinder Morgan Energy Partners
4.150%, 03/01/2022		48		50
3.950%, 09/01/2022		536		546
Marathon Petroleum
5.125%, 03/01/2021		47		53
Nabors Industries
5.100%, 09/15/2023 (A)		110		119
Noble Energy
8.250%, 03/01/2019		174		220
4.150%, 12/15/2021		340		366
ONEOK
4.250%, 02/01/2022		111		110
Regency Energy Partners
4.500%, 11/01/2023		72		69
Reliance Holdings USA
5.400%, 02/14/2022 (A)		966		1,044
SM Energy
6.500%, 01/01/2023		35		38
Spectra Energy Capital
6.200%, 04/15/2018		115		133
Transocean
6.500%, 11/15/2020		455		523
6.375%, 12/15/2021		2		2
Valero Energy
6.125%, 02/01/2020		149		177
Williams
3.700%, 01/15/2023		492		466
Williams Partners
4.000%, 11/15/2021		150		157
3.350%, 08/15/2022		485		481

				6,880


Financials — 1.6%
American International Group
6.400%, 12/15/2020		60		73
5.600%, 10/18/2016		60		66
4.875%, 06/01/2022		410		459
American Tower‡
5.050%, 09/01/2020		145		158
4.700%, 03/15/2022		230		244
3.500%, 01/31/2023		110		108
Bank of America
5.200%, 12/29/2049 (B)		251		243
4.000%, 04/01/2024		914		935


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Citigroup
6.875%, 03/05/2038	$	13	$	17
5.950%, 12/29/2049 (B)		295		297
3.875%, 10/25/2023		527		536
Ford Motor Credit
4.375%, 08/06/2023		260		276
Ford Motor Credit LLC
5.875%, 08/02/2021		200		234
Goldman Sachs Group MTN
4.000%, 03/03/2024		930		946
1.833%, 11/29/2023 (B)		595		607
Hartford Financial Services Group
5.500%, 03/30/2020		80		92
5.125%, 04/15/2022		335		382
HCP‡
5.375%, 02/01/2021		205		234
Health Care‡
5.250%, 01/15/2022		540		607
Healthcare Realty Trust‡
5.750%, 01/15/2021		320		364
Host Hotels & Resorts‡
5.250%, 03/15/2022		70		78
HSBC Finance
6.676%, 01/15/2021		60		72
JPMorgan Chase
6.400%, 05/15/2038		40		50
3.625%, 05/13/2024		740		745
Lincoln National
4.200%, 03/15/2022		110		118
Lloyds Banking Group
7.500%, 12/01/2099 (B)		371		397
MetLife
7.717%, 02/15/2019		50		63
5.700%, 06/15/2035		65		78
Mizuho Financial Group Cayman 3
4.600%, 03/27/2024 (A)		843		871
Morgan Stanley
5.500%, 07/28/2021		168		192
4.750%, 03/22/2017		40		44
3.875%, 04/29/2024		503		509
Murray Street Investment Trust I
4.647%, 03/09/2017 (C)		18		20
Nationwide Financial Services
5.375%, 03/25/2021 (A)		320		358
PNC Bank
3.800%, 07/25/2023		460		476
Prudential Financial
5.625%, 06/15/2043 (B)		290		305
Rabobank Capital Funding Trust
5.254%, 10/21/2016 (A) (B)		240		253
SLM MTN
7.250%, 01/25/2022		15		17
Turkiye Garanti Bankasi MTN
4.750%, 10/17/2019 (A)		309		315

				11,839	��


258		SEI Institutional Investments Trust / Annual Report / May 31, 2014


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

Health Care — 0.0%
Humana
6.450%, 06/01/2016	$	115	$	127
Thermo Fisher Scientific
4.150%, 02/01/2024		276		291

				418


Industrials — 0.1%
CSX
4.750%, 05/30/2042		320		337
Republic Services
3.800%, 05/15/2018		130		140

				477


Information Technology — 0.1%
Intel
4.800%, 10/01/2041		95		102
Motorola Solutions
3.500%, 03/01/2023		265		257
Total System Services
2.375%, 06/01/2018		90		90

				449


Materials — 0.4%
Dow Chemical
4.375%, 11/15/2042		39		37
4.250%, 11/15/2020		65		70
3.000%, 11/15/2022		425		416
Glencore Funding LLC
3.125%, 04/29/2019 (A)		1,455		1,476
International Paper
7.950%, 06/15/2018		110		135
4.750%, 02/15/2022		415		459
OCP
5.625%, 04/25/2024 (A)		297		309
Sealed Air
5.250%, 04/01/2023 (A)		204		209

				3,111


Telecommunication Services — 0.5%
AT&T
5.350%, 09/01/2040		113		123
3.000%, 02/15/2022		485		484
Reed Elsevier Capital
8.625%, 01/15/2019		455		579
Sprint
7.875%, 09/15/2023 (A)		245		277
Tencent Holdings MTN
3.375%, 05/02/2019 (A)		520		533
T-Mobile USA
6.625%, 04/01/2023		230		248


Description	Face Amount ($ Thousands)		Market Value ($��Thousands)
Verizon Communications
7.350%, 04/01/2039	$	125	$	169
5.150%, 09/15/2023		649		731

				3,144


Utilities — 0.1%
Berkshire Hathaway Energy
6.125%, 04/01/2036		275		342
CMS Energy
5.050%, 03/15/2022		52		59
Constellation Energy Group
5.150%, 12/01/2020		26		30
Pacific Gas & Electric
4.500%, 12/15/2041		65		67

				498

Total Corporate Obligations (Cost $29,437) ($ Thousands)				30,483


MORTGAGE-BACKED SECURITIES — 3.7%

Agency Mortgage-Backed Obligations — 0.4%
FHLMC Multifamily Structured Pass-Through Certificates, Ser K025, Cl A1
1.875%, 04/25/2022		971		968
FNMA
4.000%, 05/01/2044		1,509		1,610

				2,578


Non-Agency Mortgage-Backed Obligations — 3.3%
Banc of America Commercial Mortgage Trust, Ser 2007-4, Cl A1A
5.774%, 02/10/2051 (B)		1,388		1,556
Banc of America Commercial Mortgage Trust, Ser 2007-5, Cl AM
5.772%, 02/10/2051 (B)		78		84
Bear Stearns Commercial Mortgage Securities Trust, Ser 2006-PW12, Cl A4
5.898%, 09/11/2038 (B)		1,060		1,146
Citigroup Commercial Mortgage Trust, Ser 2006-C4, Cl A1A
5.975%, 03/15/2049 (B)		161		173
COMM Mortgage Trust, Ser 2013-SFS, Cl A1
1.873%, 04/12/2035 (A)		1,502		1,471
Commercial Mortgage Loan Trust, Ser 2008-LS1, Cl A1A
6.013%, 12/10/2049 (B)		1,266		1,434
Commercial Mortgage Pass-Through Certificates, Ser 2006- C3, Cl AJ
5.982%, 06/15/2038 (B)		105		105


SEI Institutional Investments Trust / Annual Report / May 31, 2014			259

CONSOLIDATED SCHEDULE OF INVESTMENTS

Multi-Asset Real Return Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Commercial Mortgage Trust, Ser 2007-GG9, Cl A4
5.444%, 03/10/2039	$	1,263	$	1,383
Commercial Mortgage Trust, Ser 2007-GG9, Cl AM
5.475%, 03/10/2039		246		265
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2007-HYB2, Cl 3A1
2.658%, 02/25/2047 (B)		198		165
CW Capital Cobalt, Ser 2007-C3, Cl A4
5.963%, 05/15/2046 (B)		172		191
Deutsche Alt-A Securities Mortgage Loan Trust, Ser 2006- AR4, Cl A2
0.340%, 12/25/2036 (B)		345		214
Extended Stay America Trust, Ser 2013-ESFL, Cl A2FL
0.851%, 12/05/2031 (A) (B)		140		140
Extended Stay America Trust, Ser 2013-ESH7, Cl A17
2.295%, 12/05/2031 (A)		180		175
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2013-DN2, Cl M2
4.402%, 11/25/2023 (B)		785		872
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN1, Cl M3
4.652%, 02/25/2024 (B)		560		643
First Horizon Alternative Mortgage Securities Trust, Ser 2006-FA3, Cl A9
6.000%, 07/25/2036		169		146
FNMA Connecticut Avenue Securities, Ser 2014-C01, Cl M2
4.552%, 01/25/2024 (B)		405		461
GS Mortgage Securites, Ser 2006-AR4, Cl A2
2.059%, 04/10/2031 (B)		238		233
GS Mortgage Securities II, Ser 2006-GG6, Cl A4
5.553%, 04/10/2038 (B)		215		228
GS Mortgage Securities II, Ser 2013-KYO, Cl A
1.001%, 11/08/2029 (A) (B)		280		281
GS Mortgage Securities Trust, Ser 2013-G1, Cl A2
3.557%, 04/10/2031 (A) (B)		1,485		1,445
GS Mortgage Securities, Ser 2013-KING, Cl A
2.706%, 12/10/2027 (A)		278		282
HomeBanc Mortgage Trust, Ser 2005-1, Cl A1
0.400%, 03/25/2035 (B)		181		155


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
IndyMac INDX Mortgage Loan Trust, Ser 2006-AR15, Cl A1
0.270%, 07/25/2036 (B)	$	198	$	154
IndyMac INDX Mortgage Loan Trust, Ser 2006-AR27, Cl 2A2
0.350%, 10/25/2036 (B)		208		180
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2008-C2, Cl A1A
5.998%, 02/12/2051		823		912
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2004-LN2, Cl A1A
4.838%, 07/15/2041 (A) (B)		548		550
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-CB19, Cl AM
5.895%, 02/12/2049 (B)		100		109
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-LD12, Cl AM
6.207%, 02/15/2051 (B)		75		84
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-LDPX, Cl A1A
5.439%, 01/15/2049		1,193		1,317
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2010-C2, Cl A1
2.749%, 11/15/2043 (A)		1,414		1,451
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD12, Cl A4
5.882%, 02/15/2051 (B)		1,275		1,418
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A4
5.424%, 02/15/2040		303		332
LB-UBS Commercial Mortgage Trust, Ser 2007-C2, Cl A3
5.430%, 02/15/2040		255		280
LSTAR Commercial Mortgage Trust, Ser 2014-2, Cl A2
2.767%, 01/20/2041 (A)		533		537
Merrill Lynch Mortgage Trust, Ser 2006-C2, Cl A1A
5.739%, 08/12/2043 (B)		195		212
ML-CFC Commercial Mortgage Trust, Ser 2006-4, Cl A1A
5.166%, 12/12/2049		738		801
ML-CFC Commercial Mortgage Trust, Ser 2007-9, Cl A4
5.700%, 09/12/2049		300		334
PFP III, Ser 2014-1, Cl A
1.325%, 06/14/2031 (A) (B)		713		713


260		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C3, Cl A4
3.091%, 08/10/2049	$	98	$	98
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl A5
2.850%, 12/10/2045		194		190
WFRBS Commercial Mortgage Trust, Ser 2013-C14, Cl A5
3.337%, 06/15/2046		280		283
WFRBS Commercial Mortgage Trust, Ser 2014-C20, Cl A2
3.036%, 05/15/2047		549		572

				23,775

Total Mortgage-Backed Securities (Cost $26,135) ($ Thousands)				26,353


ASSET-BACKED SECURITIES — 3.3%

Automotive — 2.3%
Ally Master Owner Trust, Ser 2013-1, Cl A2
1.000%, 02/15/2018		260		261
Ally Master Owner Trust, Ser 2014-1, Cl A2
1.290%, 01/15/2019		1,051		1,055
Ally Master Owner Trust, Ser 2014-2, Cl A
0.521%, 01/16/2018 (B)		342		342
AmeriCredit Automobile Receivables Trust, Ser 2012-3, Cl A3
0.960%, 01/09/2017		186		186
AmeriCredit Automobile Receivables Trust, Ser 2012-4, Cl A2
0.490%, 04/08/2016		34		34
AmeriCredit Automobile Receivables Trust, Ser 2013-1, Cl A2
0.490%, 06/08/2016		69		69
AmeriCredit Automobile Receivables Trust, Ser 2013-3, Cl A3
0.920%, 04/09/2018		540		541
AmeriCredit Automobile Receivables Trust, Ser 2013-4, Cl A3
0.960%, 04/09/2018		335		336
ARI Fleet Lease Trust, Ser 2014-A, Cl A2
0.810%, 11/15/2022 (A)		363		363
Avis Budget Rental Car Funding AESOP LLC, Ser 2013-2A, Cl A
2.970%, 02/20/2020 (A)		710		736
Avis Budget Rental Car Funding AESOP LLC, Ser 2014-1A, Cl A
2.460%, 07/20/2020 (A)		1,119		1,124


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Bank of America Auto Trust, Ser 2012-1, Cl A4
1.030%, 12/15/2016	$	170	$	171
BMW Floorplan Master Owner Trust, Ser 2012-1A, Cl A
0.551%, 09/15/2017 (A) (B)		425		426
Capital Auto Receivables Asset Trust, Ser 2013-1, Cl A2
0.620%, 07/20/2016		202		202
Capital Auto Receivables Asset Trust, Ser 2013-3, Cl A2
1.040%, 11/21/2016		685		689
Capital Auto Receivables Asset Trust, Ser 2014-1, Cl B
2.220%, 01/22/2019		160		162
Carfinance Capital Auto Trust, Ser 2013-1A, Cl A
1.650%, 07/17/2017 (A)		105		105
Enterprise Fleet Financing LLC, Ser 2014-1, Cl A2
0.870%, 09/20/2019 (A)		357		358
Exeter Automobile Receivables Trust, Ser 2012-2A, Cl A
1.300%, 06/15/2017 (A)		57		57
Exeter Automobile Receivables Trust, Ser 2013-1A, Cl A
1.290%, 10/16/2017 (A)		81		81
Exeter Automobile Receivables Trust, Ser 2014-1A, Cl A
1.290%, 05/15/2018 (A)		362		363
Exeter Automobile Receivables Trust, Ser 2014-2A, Cl A
1.060%, 08/15/2018 (A)		365		365
Fifth Third Auto Trust, Ser 2013-A, Cl A3
0.610%, 09/15/2017		221		221
Flagship Credit Auto Trust, Ser 2013-1, Cl A
1.320%, 04/16/2018 (A)		75		75
Ford Auto Securitization Trust, Ser 2013-R1A, Cl A2
1.676%, 09/15/2016 (A)		175		161
Ford Auto Securitization Trust, Ser 2013-R4A, Cl A1
1.487%, 08/15/2015		138		127
Ford Auto Securitization Trust, Ser 2014-R2A, Cl A1
1.353%, 03/15/2016 (A)		657		605
Ford Credit Auto Owner Trust, Ser 2012-D, Cl B
1.010%, 05/15/2018		100		100
Ford Credit Floorplan Master Owner Trust, Ser 2010-3, Cl A2
1.851%, 02/15/2017 (A) (B)		450		455


SEI Institutional Investments Trust / Annual Report / May 31, 2014			261

CONSOLIDATED SCHEDULE OF INVESTMENTS

Multi-Asset Real Return Fund (Continued)

May 31, 2014


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Ford Credit Floorplan Master Owner Trust, Ser 2012-4, Cl A1
0.740%, 09/15/2016	$	246	$	246
Ford Credit Floorplan Master Owner Trust, Ser 2013-1, Cl A2
0.531%, 01/15/2018 (B)		257		257
Ford Credit Floorplan Master Owner Trust, Ser 2014-1, Cl A1
1.200%, 02/15/2019		770		770
GE Dealer Floorplan Master Note Trust, Ser 2012-3, Cl A
0.639%, 06/20/2017 (B)		255		256
GM Financial Automobile Leasing Trust, Ser 2014-1A, Cl A2
0.610%, 07/20/2016 (A)		840		840
Harley-Davidson Motorcycle Trust, Ser 2014-1, Cl A3
1.100%, 09/15/2019		340		341
Hertz Fleet Lease Funding, Ser 2013-3, Cl A
0.700%, 12/10/2027 (A) (B)		676		677
Hertz Vehicle Financing, Ser 2013-1A, Cl A1
1.120%, 08/25/2017 (A)		715		716
Huntington Auto Trust, Ser 2011-1A, Cl A3
1.010%, 01/15/2016 (A)		26		26
Mercedes Benz Auto Lease Trust, Ser 2014-A, Cl A2A
0.480%, 06/15/2016		542		542
Mercedes-Benz Auto Lease Trust, Ser 2013-A, Cl A3
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
Santander Drive Auto Receivables Trust, Ser 2013-3, Cl C
1.810%, 04/15/2019		313		316
Santander Drive Auto Receivables Trust, Ser 2013-4, Cl A3
1.110%, 01/15/2016		510		513
Santander Drive Auto Receivables Trust, Ser 2013-5, Cl A2A
0.640%, 04/17/2017		319		319
SMART Trust, Ser 2012-4US, Cl A2A
0.670%, 06/14/2015		27		27

				16,159


Credit Cards — 0.7%
American Express Credit Account Master Trust, Ser 2012-5, Cl A
0.590%, 05/15/2018		270		271


Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Barclays Dryrock Issuance Trust, Ser 2014-1, Cl A
0.511%, 12/16/2019 (B)	$	416	$	417
Cabela’s Master Credit Card Trust, Ser 2013-1A, Cl A
2.710%, 02/17/2026 (A)		265		258
Cabela’s Master Credit Card Trust, Ser 2014-1, Cl A
0.501%, 03/16/2020 (B)		500		500
Chase Issuance Trust, Ser 2013-A1, Cl A1
1.300%, 02/18/2020		305		303
Chase Issuance Trust, Ser 2014-A1, Cl A1
1.150%, 01/15/2019		630		633
Chase Issuance Trust, Ser 2014-A2, Cl A2
2.770%, 03/15/2023		850		865
First National Master Note Trust, Ser 2013-2, Cl A
0.681%, 10/15/2019 (B)		561		562
World Financial Network Credit Card Master Trust, Ser 2013-A, Cl A
1.610%, 12/15/2021		161		160
World Financial Network Credit Card Master Trust, Ser 2014-A, Cl A
0.531%, 12/15/2019 (B)		705		705

				4,674


Other Asset-Backed Securities — 0.3%
CGRBS, Ser 2013-VN05, Cl A
3.187%, 03/13/2035		285		288
CIT Equipment Collateral, Ser 2012-VT1, Cl A3
1.100%, 08/22/2016 (A)		44		44
CNH Equipment Trust, Ser 2012-A, Cl A3
0.940%, 05/15/2017		46		46
CNH Equipment Trust, Ser 2013-C, Cl A2
0.630%, 01/17/2017		454		454
CNH Equipment Trust, Ser 2013-D, Cl A2
0.490%, 03/15/2017		720		720
GE Equipment Small Ticket LLC, Ser 2014-1A, Cl A2
0.590%, 08/24/2016 (A)		750		750
GSAA Trust, Ser 2006-5, Cl 2A3
0.420%, 03/25/2036 (B)		245		172

				2,474

Total Asset-Backed Securities (Cost $23,238) ($ Thousands)				23,307


262		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Face Amount (1) (Thousands)		Market Value ($ Thousands)

FOREIGN BONDS — 2.0%
Asciano Finance
5.000%, 04/07/2018 (A)		130	$	140
Baidu
3.250%, 08/06/2018		585		603
Bank of Ireland
2.054%, 09/22/2015 (B)	CAD	425		376
Barclays Bank
7.625%, 11/21/2022		250		287
6.625%, 03/30/2022	EUR	145		246
Barrick North America Finance LLC
4.400%, 05/30/2021		222		228
Basell Finance
8.100%, 03/15/2027 (A)		70		94
BNP Paribas
5.186%, 06/29/2049 (A) (B)		165		169
BPCE
5.700%, 10/22/2023 (A)		438		476
Cia Minera Milpo SAA
4.625%, 03/28/2023 (A)		280		272
CNOOC Finance
3.000%, 05/09/2023		320		301
Comcel Trust
6.875%, 02/06/2024 (A)		315		337
Credit Agricole
7.875%, 01/23/2024 (A) (B)		216		233
Credit Suisse
6.500%, 08/08/2023 (A)		457		507
Danske Bank
5.684%, 12/31/2049 (B)	GBP	182		320
Delhaize Group
6.500%, 06/15/2017		115		130
Deutsche Telekom International Finance
4.875%, 03/06/2042 (A)		355		373
Embraer
5.150%, 06/15/2022		48		52
Empresa de Transporte de Pasajeros Metro
4.750%, 02/04/2024 (A)		296		312
Gerdau Trade
5.750%, 01/30/2021 (A)		105		112
4.750%, 04/15/2023 (A)		636		625
Globo Comunicacao e Participacoes
5.307%, 05/11/2017 (A) (C)		200		212
HBOS Capital Funding
6.071%, 06/30/2049 (A) (B)		254		254
4.939%, 05/29/2049 (B)	EUR	317		425
ING Bank
2.000%, 09/25/2015 (A)		220		224
KazMunayGas National
7.000%, 05/05/2020 (A)		120		138


Description	Face Amount (1) (Thousands)		Market Value ($ Thousands)
Korea National Oil
3.125%, 04/03/2017 (A)		200	$	209
Marfrig Overseas
9.500%, 05/04/2020 (A)		160		172
MCE Finance
5.000%, 02/15/2021 (A)		250		249
Minsur
6.250%, 02/07/2024 (A)		609		656
Nomura Holdings
2.000%, 09/13/2016		248		252
Numericable Group
5.375%, 05/15/2022 (A)		223		321
Odebrecht Finance
5.125%, 06/26/2022 (A)		240		254
Petroleos Mexicanos
3.500%, 07/18/2018 (A)		248		258
Petronas Capital
5.250%, 08/12/2019		125		142
Rio Tinto Finance USA
3.500%, 03/22/2022		137		141
2.875%, 08/21/2022		378		369
Rogers Communications
4.000%, 06/06/2022	CAD	20		19
Royal Bank of Scotland
9.500%, 03/16/2022 (B)		35		41
Sinopec Group Overseas Development 2013
4.375%, 10/17/2023 (A)		700		731
Skandinaviska Enskilda Banken
5.471%, 03/29/2049 (A) (B)		240		244
Sociedad Quimica y Minera de Chile
3.625%, 04/03/2023 (A)		280		262
Societe Generale
5.922%, 04/05/2017 (A) (B)		100		107
4.196%, 01/26/2015 (B)	EUR	130		179
Standard Chartered
4.000%, 07/12/2022 (B)		465		480
Talent Yield Investments
4.500%, 04/25/2022 (A)		1,012		1,049
Telecom Italia Capital
7.175%, 06/18/2019		60		69
Telefonaktiebolaget LM Ericsson
4.125%, 05/15/2022		76		79
Telefonica Emisiones SAU
5.462%, 02/16/2021		70		80
Trust F
5.250%, 12/15/2024‡ (A)		630		654
Virgolino de Oliveira Finance
10.500%, 01/28/2018 (A)		500		390

Total Foreign Bonds (Cost $14,128) ($ Thousands)				14,853


SEI Institutional Investments Trust / Annual Report / May 31, 2014			263

CONSOLIDATED SCHEDULE OF INVESTMENTS

Multi-Asset Real Return Fund (Continued)

May 31, 2014


Description	Face Amount (Thousands) (1)/ Shares		Market Value ($ Thousands)

SOVEREIGN DEBT — 0.6%
Brazil Notas do Tesouro Nacional Serie F, BRL
10.000%, 01/01/2017	BRL	8,025	$	3,443
Qatar Government International Bond
4.500%, 01/20/2022 (A)		200		221
Republic of Indonesia MTN
5.875%, 01/15/2024 (A)		384		431
3.375%, 04/15/2023 (A)		545		514

Total Sovereign Debt (Cost $4,254) ($ Thousands)				4,609


FOREIGN COMMON STOCK — 0.2%

Canada — 0.0%
Cominar, Cl Trust Unit‡		1		—
Goldcorp		1		—

				—


Japan — 0.0%
JFE Holdings		1		—


Netherlands — 0.0%
LyondellBasell Industries, Cl A		1		—


Puerto Rico — 0.2%
Popular*		44,700		1,349


United Kingdom — 0.0%
Royal Dutch Shell, Cl A		1		—

Total Foreign Common Stock (Cost $1,392) ($ Thousands)				1,349


PREFERRED STOCK — 0.1%

Financials — 0.1%
Allstate (B)		1,975		50
Morgan Stanley (B)		20,000		560
State Street (B)		11,375		297

Total Preferred Stock (Cost $837) ($ Thousands)				907


U.S. TREASURY OBLIGATIONS — 64.5%
U.S. Treasury Bills (D)
0.035%, 06/26/2014		2,500		2,500
0.025%, 08/14/2014		7,000		7,000
0.022%, 07/24/2014		91,400		91,396
U.S. Treasury Inflation-Protected Securities
2.625%, 07/15/2017 (E)		13,704		15,364
2.500%, 07/15/2016 (E)		29,967		32,573


Description	Face Amount (Thousands) (1)/ Shares			Market Value ($ Thousands)
2.375%, 01/15/2017 (E)		16,330		$	17,889
2.125%, 01/15/2019 (E)		19,481			21,968
2.000%, 01/15/2016 (E)		15,661			16,538
1.875%, 07/15/2015 (E)		36,458			37,967
1.625%, 01/15/2018 (E)		10,072			10,995
1.375%, 07/15/2018 (E)		3,399			3,718
0.125%, 04/15/2016		46,782			48,010
0.125%, 04/15/2017		48,531			50,165
0.125%, 04/15/2018 (E)		70,467			72,802
0.125%, 04/15/2019		31,998			32,918

Total U.S. Treasury Obligations (Cost $459,496) ($ Thousands)					461,803


TIME DEPOSITS — 4.9%
Brown Brothers Harriman
5.188%, 06/02/2014 ZAR		1			—
0.350%, 06/02/2014 NOK		—			—
0.280%, 06/02/2014 CAD		107			99
0.150%, 06/02/2014 SEK		—			—
0.081%, 06/02/2014 GBP		—			—
0.040%, 06/02/2014 EUR		16			21
0.030%, 06/02/2014		34,922			34,922
0.005%, 06/02/2014 HKD		—			—
0.005%, 06/02/2014 JPY		—			—
0.005%, 06/02/2014 SGD		—			—

Total Time Deposits (Cost $35,042) ($ Thousands)					35,042

Total Investments — 112.0% (Cost $786,516) ($ Thousands)				$	802,392


COMMON STOCK SOLD SHORT — (14.3)%

Consumer Discretionary — (6.9)%
AMC Networks, Cl A*		(26,500	)		(1,640	)
American Eagle Outfitters		(347,900	)		(3,733	)
American Public Education*		(15,500	)		(548	)
America’s Car-Mart*		(3,300	)		(120	)
Big 5 Sporting Goods		(18,300	)		(212	)
BJ’s Restaurants*		(42,900	)		(1,355	)
Bob Evans Farms		(32,300	)		(1,443	)
Boyd Gaming*		(16,000	)		(175	)
Bravo Brio Restaurant Group*		(8,600	)		(136	)
Carriage Services, Cl A		(16,100	)		(296	)
Carrols Restaurant Group*		(19,700	)		(139	)
Christopher & Banks*		(9,500	)		(65	)
Chuy’s Holdings*		(4,400	)		(144	)
Dana Holdings		(4,300	)		(95	)
Del Frisco’s Restaurant Group*		(11,900	)		(321	)
Denny’s*		(33,400	)		(217	)
Destination XL Group*		(29,200	)		(154	)
Federal Mogul, Cl A*		(8,100	)		(134	)


264		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Description	Shares			Market Value ($ Thousands)
Five Below*		(68,000	)	$	(2,462	)
Ford Motor		(455,100	)		(7,482	)
Fuel Systems Solutions*		(44,400	)		(434	)
General Motors		(4,800	)		(166	)
Gray Television*		(28,100	)		(321	)
Ignite Restaurant Group*		(2,800	)		(43	)
Isle of Capri Casinos*		(8,500	)		(58	)
Johnson Controls		(8,700	)		(421	)
Kate Spade & Co*		(38,900	)		(1,416	)
Lincoln Educational Services		(10,000	)		(38	)
M/I Homes*		(20,100	)		(458	)
Mattel		(14,700	)		(571	)
MDC Holdings		(67,600	)		(1,934	)
Meritage Homes*		(97,600	)		(3,915	)
New York*		(9,800	)		(39	)
Nexstar Broadcasting Group, Cl A		(83,200	)		(3,866	)
Office Depot*		(149,000	)		(763	)
Pacific Sunwear of California*		(21,600	)		(52	)
Penn National Gaming*		(137,000	)		(1,598	)
Perry Ellis International*		(11,900	)		(202	)
Pier 1 Imports		(98,200	)		(1,729	)
Pinnacle Entertainment*		(79,000	)		(1,950	)
PVH		(21,500	)		(2,830	)
Quiksilver*		(168,400	)		(1,000	)
Regis		(38,600	)		(531	)
Scientific Games, Cl A*		(15,800	)		(141	)
Select Comfort*		(69,000	)		(1,279	)
Sinclair Broadcast Group, Cl A		(44,700	)		(1,322	)
Sonic Automotive, Cl A		(20,500	)		(540	)
Stoneridge*		(8,600	)		(83	)
Town Sports International
Holdings		(19,500	)		(118	)
UCP, Cl A*		(3,900	)		(52	)
Universal Technical Institute		(2,900	)		(33	)
Visteon*		(3,900	)		(355	)
Vitacost.com*		(9,400	)		(62	)
Winnebago Industries*		(5,600	)		(138	)

					(49,329	)


Financials — (1.3)%
Ambac Financial Group*		(45,500	)		(1,282	)
Consumer Portfolio Services*		(5,900	)		(43	)
DFC Global*		(12,466	)		(117	)
Employers Holdings		(23,200	)		(488	)
Ezcorp, Cl A*		(43,600	)		(533	)
FXCM, Cl A		(15,000	)		(200	)
Meadowbrook Insurance Group		(13,300	)		(91	)
Ocwen Financial*		(71,700	)		(2,515	)
Regional Management*		(20,500	)		(295	)
Waterstone Financial		(10,300	)		(111	)
WisdomTree Investments*		(353,600	)		(3,674	)

					(9,349	)


Description	Shares			Market Value ($ Thousands)

Industrials — (2.5)%
Air Transport Services Group*		(6,600	)	$	(60	)
Ameresco, Cl A*		(50,900	)		(333	)
Armstrong World Industries*		(74,600	)		(3,959	)
Atlas Air Worldwide Holdings*		(2,600	)		(95	)
Brink’s		(25,700	)		(686	)
Builders FirstSource*		(15,400	)		(111	)
Chart Industries*		(42,100	)		(3,027	)
Clean Harbors*		(10,600	)		(648	)
DigitalGlobe*		(28,400	)		(862	)
Dynamic Materials		(8,400	)		(183	)
Energy Recovery*		(28,000	)		(145	)
II-VI*		(6,700	)		(90	)
KEYW Holding*		(45,700	)		(484	)
Layne Christensen*		(8,800	)		(133	)
LMI Aerospace*		(26,700	)		(369	)
Mueller Industries		(3,200	)		(92	)
NCI Building Systems*		(59,000	)		(988	)
Pike*		(9,900	)		(89	)
Ply Gem Holdings*		(14,500	)		(170	)
PowerSecure International*		(97,500	)		(789	)
Quality Distribution*		(5,100	)		(74	)
Raven Industries		(5,600	)		(176	)
Triumph Group		(6,500	)		(451	)
UTi Worldwide		(435,300	)		(4,244	)

					(18,258	)


Information Technology — (2.6)%
Apple		(1,700	)		(1,076	)
Applied Micro Circuits*		(277,800	)		(2,500	)
Calix*		(46,500	)		(379	)
Cohu		(6,500	)		(70	)
Cray*		(35,200	)		(987	)
Electro Scientific Industries		(12,300	)		(90	)
Entropic Communications*		(182,800	)		(601	)
Exar*		(17,100	)		(186	)
Extreme Networks*		(239,400	)		(953	)
Hutchinson Technology*		(19,500	)		(41	)
Immersion*		(30,300	)		(328	)
JDS Uniphase*		(32,600	)		(358	)
Kemet*		(10,700	)		(63	)
Kopin*		(15,200	)		(48	)
MoSys*		(14,200	)		(47	)
NeoPhotonics*		(8,700	)		(41	)
Numerex, Cl A*		(3,600	)		(41	)
Procera Networks*		(107,500	)		(1,040	)
Radisys*		(28,500	)		(93	)
Rofin-Sinar Technologies*		(10,800	)		(251	)
Ruckus Wireless*		(239,000	)		(2,581	)
Silicon Graphics International*		(29,700	)		(262	)
SunEdison*		(220,600	)		(4,344	)
Ultratech*		(46,100	)		(1,170	)
Veeco Instruments*		(26,200	)		(873	)

					(18,423	)


SEI Institutional Investments Trust / Annual Report / May 31, 2014			265

CONSOLIDATED SCHEDULE OF INVESTMENTS

Multi-Asset Real Return Fund (Continued)

May 31, 2014


Description	Shares			Market Value ($ Thousands)

Materials — (1.0)%
American Vanguard		(67,900	)	$	(1,033	)
Axiall		(23,100	)		(1,068	)
Coeur Mining*		(184,200	)		(1,260	)
Louisiana-Pacific*		(193,700	)		(2,750	)
LSB Industries*		(8,500	)		(324	)
RTI International Metals*		(17,700	)		(475	)

					(6,910	)

Total Common Stock Sold Short (Proceeds $102,819) ($ Thousands)					(102,269	)

A list of open futures contracts held by the Fund at May 31, 2014, are as follows:


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
MINI MSCI EAFE		(108	)		Jun-2014	$	(460	)
Brent Crude Penultimate		152			Aug-2014		196
Brent Crude Penultimate		38			Nov-2014		(5	)
Brent Crude Penultimate		(38	)		Nov-2015		(22	)
Cattle		76			Aug-2014		12
Copper		89			Jul-2014		164
Copper		(63	)		Dec-2014		(38	)
Corn		(178	)		Dec-2014		432
Corn		444			Jul-2014		(989	)
Cotton No. 2		51			Dec-2014		(15	)
Cotton No. 2		(140	)		Jul-2014		337
Crude Oil		25			Jul-2014		30
Crude Oil		(51	)		Nov-2014		(93	)
Crude Oil		51			Nov-2015		77
Feeder Cattle		50			Aug-2014		257
Gold		13			Aug-2014		(62	)
Heating Oil		38			Jun-2014		(69	)
KCB Wheat		152			Jul-2014		(284	)
Lead Future		38			Jun-2014		(14	)
Lean Hogs		66			Jul-2014		(130	)
LME Aluminum		267			Jul-2014		(178	)
LME Aluminum		(89	)		Nov-2014		122
LME Nickel		64			Jul-2014		370
LME Zinc		63			Jul-2014		21
Mill Wheat Euro		114			Nov-2014		(73	)
S&P 500 Index E-MINI		(118	)		Jun-2014		(329	)
Natural Gas		89			Apr-2015		11
Natural Gas		267			Jun-2014		(77	)
Natural Gas		26			Mar-2016		(32	)
NYMEX Cocoa		(136	)		Jul-2014		(219	)
NYMEX Coffee		38			Jul-2014		(322	)
Palladium		88			Sep-2014		246
Platinum		114			Jul-2014		(101	)
RBOB Gasoline		38			Jul-2014		47
Robusta Coffee		89			Jul-2014		(179	)
Silver		74			Jul-2014		(451	)
Soybean		(51	)		Aug-2014		(10	)
Soybean		51			Jul-2014		(42	)
Soybean		(13	)		Nov-2014		(8	)
Soybean Meal		76			Jul-2014		212
Soybean Oil		152			Jul-2014		(369	)
Sugar		63			Sep-2014		10


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 10-Year Treasury Note		(176	)		Sep-2014		(92	)
U.S. 2-Year Treasury Note		(4	)		Sep-2014		—
U.S. 5-Year Treasury Note		(41	)		Sep-2014		(6	)
U.S. Long Treasury Bond		(30	)		Sep-2014		(39	)
U.S. Ultra Long Treasury Bond		(6	)		Sep-2014		(18	)
Wheat		140			Jul-2014		(435	)

						$	(2,617	)

A list of the open forward foreign currency contracts held by the Fund at May 31, 2014, is as follows:


Settlement Date	Currency to Deliver (Thousands)			Currency to Receive (Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)
6/4/14		EUR	863		USD	1,193	$	16
6/16/14		PEN	4,751		USD	1,719		2
6/16/14		USD	1,695		PEN	4,760		22
6/26/14		GBP	180		USD	306		4
6/26/14		USD	120		GBP	71		(1	)
6/27/14		MXN	24,850		USD	1,912		(15	)
6/27/14		USD	1,940		MXN	25,198		14
7/2/14		BRL	8,504		USD	3,739		(20	)
7/2/14		USD	279		BRL	635		1
7/10/14		PLN	11,460		USD	3,742		(32	)
7/10/14		USD	3,752		PLN	11,429		11
7/11/14		CAD	4,625		USD	4,224		(31	)
7/11/14		JPY	544,098		USD	5,362		12
7/11/14		USD	99		CAD	107		—
7/11/14		USD	21		EUR	16		—
7/11/14		USD	1,905		KRW	1,956,832		13

							$	(4	)

A list of the counterparties for the open forward foreign currency contracts held by the Fund at May 31, 2014, is as follows:


Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
BNP Paribas	$	(7,667	)	$	7,660	$	(7	)
Brown Brothers Harriman		(6,767	)		6,794		27
Citigroup		(3,774	)		3,742		(32	)
Credit Suisse First Boston		(302	)		306		4
Deutsche Bank		(3,867	)		3,866		(1	)
Goldman Sachs		(279	)		280		1
Morgan Stanley		(3,752	)		3,763		11
Standard New York		(1,905	)		1,918		13
UBS		(3,759	)		3,739		(20	)

						$	(4	)

A list of the open centrally cleared swap agreements held by the Fund at May 31, 2014, is as follows:

Interest Rate Swaps

Counterparty

Fund Pays

Fund Receives

Termination Date

Notional Amount
($ Thousands)

Net Unrealized
Appreciation
(Depreciation)
($ Thousands)

Morgan Stanley

3-Month USD - LIBOR

3.31%

05/06/34

1,650

Morgan Stanley

3-Month USD - LIBOR

2.63

05/29/24

1,630


266		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Interest Rate Swaps
Counterparty	Fund Pays	Fund Receives	Termination Date	Notional Amount ($ Thousands)				Net Unrealized Appreciation (Depreciation) ($ Thousands)
Morgan Stanley	2.63%	3-Month USD - LIBOR	05/23/24			$	4,050	$	(26	)
Morgan Stanley	2.82	3-Month USD - LIBOR	04/28/24				2,770		(73	)
Morgan Stanley	2.89	3-Month USD - LIBOR	02/14/24				1,780		(72	)
Morgan Stanley	2.98	3-Month USD - LIBOR	01/14/24				1,990		(103	)
Morgan Stanley	3-Month NZD - BKBM	4.27	04/29/17		NZD		10,300		52
Morgan Stanley	3-Month AUD - BBSW	3.17	01/13/17		AUD		7,060		51
Morgan Stanley	0.54	3-Month USD - LIBOR	05/06/16				44,600		(56	)

								$	(176	)

A list of the open OTC swap agreements held by the Fund at May 31, 2014, is as follows:


Interest Rate Swaps
Counterparty	Fund Pays	Fund Receives	Termination Date	Notional Amount ($ Thousands)			Net Unrealized Appreciation (Depreciation) ($ Thousands)
Credit Suisse	3-Month USD - LIBOR	2.09%	03/12/22		$	250	$	(2	)
Barclays	1.10%	3 Month USD - LIBOR	02/21/17			500		(6	)
Morgan Stanley	2.80	3 Month USD - LIBOR	03/06/42			330		28
Morgan Stanley	2.81	3 Month USD - LIBOR	02/21/42			450		37

							$	57


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	Societe Generale	Sell		3.00	%		12/20/17		EUR	$	(200	)	$	16
Credit Suisse	Kohl’s Corporation	Sell		1.00			06/20/19				(379	)		1
Credit Suisse	Kohl’s Corporation	Sell		1.00			06/20/19				(153	)		—
Credit Suisse	Kohl’s Corporation	Sell		1.00			06/20/19				(155	)		—
Deutsche Bank	Anadarko Petroleum Corporation	Sell		1.00			09/20/17				(170	)		8

													$	25

For the year ended May 31, 2014, the total amount of all open swap agreements, as presented in the table above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on a Net Assets of $716,022 ($ Thousands).

Non-income producing security.

‡

Real Estate Investment Trust.

(1)

In U.S. Dollars unless otherwise indicated.

(A)

(B)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of May 31, 2014.

(C)

Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on May 31, 2014. The coupon on a step bond changes on a specified date.

(D)

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

(E)

Security, or portion thereof, has been pledged as collateral on open futures contracts, reverse repurchase agreements and securities sold short.

(F)

All or a portion of this security has been committed as collateral for securities sold short as of May 31, 2014.

AUD — Australian Dollar

BBSW — Australian Bank Bill Swap Interest Rate

BKBM — New Zealand Bank Bill Benchmark

BRL — Brazilian Real

CAD — Canadian Dollar

Cl — Class

EAFE — Europe, Australasia and Far East

EUR — Euro

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GBP — British Pound Sterling

HKD — Hong Kong Dollar

JPY — Japanese Yen

KRW — Korean Won

LIBOR — London Interbank Offered Rate

LLC — Limited Liability Company

MSCI — Morgan Stanley Capital International

MTN — Medium Term Note

MXN — Mexican Peso

NOK — Norwegian Krone

NZD — New Zealand Dollar

PEN — Peruvian Nuevo Sol

PLN — Polish Zloty

SEK — Swedish Krona

Ser — Series

SGD — Singapore Dollar

USD — United States Dollar

ZAR — South African Rand

The following is a list of the level of inputs used as of May 31, 2014, 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	$	203,686	$	—	$	—	$	203,686
Corporate Obligations		—		30,483		—		30,483
Mortgage-Backed Securities		—		26,353		—		26,353
Asset-Backed Securities		—		23,307		—		23,307
Foreign Bonds		—		14,853		—		14,853
Sovereign Debt		—		4,609		—		4,609
Foreign Common Stock		1,349		—		—		1,349
Preferred Stock		297		610		—		907
U.S. Treasury Obligations		—		461,803		—		461,803
Time Deposits		—		35,042		—		35,042

Total Investments in Securities	$	205,332	$	597,060	$	—	$	802,392


SEI Institutional Investments Trust / Annual Report / May 31, 2014			267

CONSOLIDATED SCHEDULE OF INVESTMENTS

Multi-Asset Real Return Fund (Concluded)

May 31, 2014


Securities Sold Short	Level 1			Level 2			Level 3		Total
Common Stock	$	102,269		$	—		$	—	$	102,269

Total Securities Sold Short	$	102,269		$	—		$	—	$	102,269


Other Financial Instruments	Level 1			Level 2			Level 3		Total
Futures Contracts*
Unrealized Appreciation	$	2,338		$	—		$	—	$	2,338
Unrealized Depreciation		(4,955	)		—			—		(4,955	)
Forwards Contracts*
Unrealized Appreciation		—			95			—		95
Unrealized Depreciation		—			(99	)		—		(99	)
Centrally Cleared Swaps
Interest Rate Swaps*
Unrealized Appreciation		—			153			—		153
Unrealized Depreciation		—			(330	)		—		(330	)
OTC Swaps
Interest Rate Swaps*
Unrealized Appreciation		—			65			—		65
Unrealized Depreciation		—			(8	)		—		(8	)
Credit Default Swaps*
Unrealized Appreciation		—			26			—		26
Reverse Repurchase Agreements		—			(97,202	)		—		(97,202	)

Total Other Financial Instruments	$	(2,617	)	$	(97,300	)	$	—	$	(99,917	)

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

For the year ended May 31, 2014, 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.


268		SEI Institutional Investments Trust / Annual Report / May 31, 2014

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Statements of Assets and Liabilities ($ Thousands)

May 31, 2014


	Large Cap Fund			Large Cap Diversified Alpha Fund			Large Cap Disciplined Equity Fund
Assets:
Investments at value†	$	2,258,290	*	$	133,491		$	4,487,587	*
Affiliated investment, at value††		104,385			4,984			275,783
Cash		—			3			31
Cash pledged as collateral for future contracts		—			—			2,200
Foreign currency, at value†††		—			—			—
Receivable for fund shares sold		185			—			222,716
Receivable for investment securities sold		40,976			890			22,240
Dividends and interest receivable		3,525			236			8,196
Receivable for variation margin		40			10			138
Foreign tax reclaim receivable		69			3			72
Prepaid expenses		12			2			27
Total Assets		2,407,482			139,619			5,018,990
Liabilities:
Payable upon return on securities loaned		76,117			—			160,098
Payable for investment securities purchased		5,071			861			27,403
Payable for fund shares redeemed		20,638			1			208,492
Payable for variation margin		24			—			—
Investment advisory fees payable		356			26			657
CCO fees payable		3			—			6
Trustees fees payable		8			1			16
Accrued expense payable		51			5			102
Total Liabilites		102,268			894			396,774
Net Assets	$	2,305,214		$	138,725		$	4,622,216
†Cost of investments and repurchase agreements		1,642,705			113,435			3,769,437
††Cost of affiliated investments		104,385			4,984			275,783
†††Cost of foreign currency		—			—			—
* Includes market value of securities on loan		74,093			—			156,188
Net Assets:
Paid-in-Capital — (unlimited authorization — no par value)	$	1,557,618		$	120,677		$	3,555,247
Undistributed net investment income		5,901			106			10,270
Accumulated net realized gain (loss) on investments, futures contracts and foreign currency		126,021			(2,346	)		335,862
Net unrealized appreciation on investments		615,585			20,056			718,150
Net unrealized appreciation (depreciation) on futures contracts		89			232			2,687
Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies		—			—			—
Net Assets	$	2,305,214		$	138,725		$	4,622,216
Net Asset Value, Offering and Redemption Price Per Share — Class A		$22.72			$14.05			$14.79
		($2,305,214,003 ÷ 101,472,884 shares	)		($138,725,497 ÷ 9,873,398 shares	)		($4,622,215,991 ÷ 312,441,510 shares	)

Amounts designated as “—” are $0 or have been rounded to $0.

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


270		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Large Cap Index Fund			S&P 500 Index Fund			Extended Market Index Fund			Small Cap Fund			Small Cap II Fund			Small/Mid Cap Equity Fund			U.S. Managed Volatility Fund

	$1,871,993	*		$823,833	*		$504,822	*		$665,745	*		$242,907	*		$1,762,981	*		$1,194,391
	124,456			21,612			61,987			115,592			31,631			316,702			41,521
	—			—			1			113			172			—			—
	—			—			—			—			—			—			—
	—			—			—			—			—			—			365
	24			318			225			1,779			3			65,138			920
	57,630			3,040			—			31,846			6,271			10,938			4,763
	3,602			1,652			427			626			233			1,583			2,638
	61			26			—			—			—			—			53
	—			4			—			—			—			—			—
	11			1			4			3			1			11			6
	2,057,777			850,486			567,466			815,704			281,218			2,157,353			1,244,657

	94,496			13,412			53,160			98,954			21,060			246,662			—
	—			—			836			3,318			1,384			6,790			7,352
	57,581			414			109			20,391			6,189			73,808			524
	23			—			37			189			51			74			—
	16			7			18			278			93			695			228
	2			1			1			1			—			2			1
	6			3			2			2			1			6			4
	44			58			20			17			5			40			24
	152,168			13,895			54,183			123,150			28,783			328,077			8,133
	$1,905,609			$836,591			$513,283			$692,554			$252,435			$1,829,276			$1,236,524
	1,099,608			786,964			457,851			577,531			206,778			1,316,264			967,171
	124,456			21,612			61,987			115,592			31,631			316,702			41,521
	—			—			—			—			—			—			361
	92,078			13,232			51,217			95,315			20,267			238,367			—

	$1,063,590			$796,119			$458,586			$612,065			$202,032			$1,242,880			$917,496
	6,019			2,996			1,078			435			318			5,107			3,767

	62,080			(40	)		6,691			(7,912	)		13,908			134,318			87,003
	772,385			36,869			46,971			88,214			36,129			446,717			227,220
	1,535			647			(43	)		(248	)		48			255			1,032

	—			—			—			—			—			(1	)		6
	$1,905,609			$836,591			$513,283			$692,554			$252,435			$1,829,276			$1,236,524
	$164.21			$10.68			$12.74			$17.95			$12.50			$15.58			$14.74
	($1,905,608,528 ÷ 11,604,885 shares	)		($836,590,825 ÷ 78,352,839 shares	)		($513,283,361 ÷ 40,301,782 shares	)		($692,553,661 ÷ 38,579,083 shares	)		($252,435,060 ÷ 20,195,865 shares	)		($1,829,275,814 ÷ 117,388,861 shares	)		($1,236,524,111 ÷ 83,879,116 shares	)


SEI Institutional Investments Trust / Annual Report / May 31, 2014			271

Statements of Assets and Liabilities ($ Thousands)

May 31, 2014


	World Equity Ex-US Fund			Screened World Equity Ex-US Fund			Opportunistic Income Fund
ASSETS:
Investments at value†	$	6,675,039	*	$	74,043		$	1,826,918
Affiliated investment, at value††		730,851			1,978			39,918
Cash		—			—			5,603
Foreign currency, at value†††		—			40			—
Cash pledged as collateral for forward foreign currency contracts, future contracts and swap contracts		—			—			45
Receivable for fund shares sold		71,596			979			19,994
Receivable for investment securities sold		44,444			969			11,990
Dividends and interest receivable		29,382			194			5,899
Receivable for variation margin		55			1			79
Foreign tax reclaim receivable		3,828			63			—
Unrealized gain on foreign spot currency contracts		10			—			—
Unrealized gain on forward foreign currency contracts		224			—			—
Swap contracts at value††††		—			—			—
Options purchased, at value†††††		—			—			—
Swaptions purchased, at value†††††		—			—			—
Prepaid expenses		36			1			9
Total Assets		7,555,465			78,268			1,910,455
LIABILITIES:
Payable upon return on securities loaned		618,024			—			—
Payable for investment securities purchased		83,817			1,055			33,398
Payable for fund shares redeemed		126,743			44			742
Income distribution payable		—			—			—
Swap contracts at value††††		—			—			—
Options written, at value†††††		—			—			—
Swaptions written, at value†††††		—			—			—
Payable for variation margin		247			5			—
Foreign currency payable to custodian		141			—			—
Unrealized loss on foreign spot currency contracts		2			—			—
Unrealized loss on forward foreign currency contracts		645			—			—
Investment advisory fees payable		1,833			19			380
CCO fees payable		8			—			2
Trustees fees payable		22			—			6
Accrued expense payable		275			—			76
Accrued foreign capital gains tax on appreciated securities		580			28			—
Total Liabilites		832,337			1,151			34,604
Net Assets	$	6,723,128		$	77,117		$	1,875,851
†Cost of investments and repurchase agreements		5,653,133			64,565			1,811,847
††Cost of affiliated investments		730,851			1,978			39,918
†††Cost of foreign currency		(106	)		46			—
††††Cost (premiums received)		—			—			—
†††††Cost (premiums received)		—			—			—
* Includes market value of securities on loan		577,321			—			—
NET ASSETS:
Paid-in-Capital — (unlimited authorization — no par value)	$	5,700,154		$	79,822		$	1,894,803
Undistributed (distributions in excess of) net investment income		57,952			671			18,033
Accumulated net realized gain (loss) on investments, option contracts, swaptions, futures contracts, securities sold short, swap contracts and foreign currency		(56,917	)		(12,925	)		(52,136	)
Net unrealized appreciation on investments		1,021,906			9,478			15,071
Net unrealized appreciation (depreciation) on futures contracts		963			76			80
Net unrealized depreciation on options		—			—			—
Net unrealized depreciation on swaptions		—			—			—
Net unrealized appreciation (depreciation) on swap contracts		—			—			—
Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies		(350	)		(5	)		—
Accumulated foreign capital gains tax on appreciated securities		(580	)		—			—
Net Assets	$	6,723,128		$	77,117		$	1,875,851
Net Asset Value, Offering and Redemption Price Per Share — Class A		$12.86			$9.69			$8.31
		($6,723,127,592 ÷ 522,611,547 shares	)		($77,116,727 ÷ 7,955,777 shares	)		($1,875,851,453 ÷ 225,850,252 shares	)

Amounts designated as “—” are $0 or have been rounded to $0.

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


272		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Core Fixed Income Fund			High Yield Bond Fund			Long Duration Fund			Long Duration Corporate Fund			Ultra Short Duration Bond Fund			Emerging Markets Debt Fund

	$6,329,991	*		$2,111,240			$3,967,366			$2,766,080			$709,529			$1,573,727	*
	754,237			69,796			21,523			34,009			2,823			5,623
	1,373			874			27			17			47			342
	2			—			—			—			—			921
	2,832			465			285			—			126			902
	5,704			8,128			1,621			—			21,903			7,750
	740,171			29,172			28,226			9,885			4,744			10,144
	32,036			30,140			40,587			32,059			1,488			27,933
	538			—			107			110			10			36
	13			—			8			—			—			—
	—			—			—			—			—			—
	1,202			—			—			—			—			8,631
	1,856			—			586			—			—			1,125
	—			—			—			—			—			—
	2,373			—			—			—			—			—
	32			12			19			14			3			3
	7,872,360			2,249,827			4,060,355			2,842,174			740,673			1,637,137

	406,901			—			—			—			—			5,623
	1,110,298			50,465			34,617			21,315			21,313			7,150
	440,588			21,614			2,978			—			1,066			20,509
	620			363			426			1			13			—
	841			1,656			76			—			—			960
	1,152			—			—			—			—			—
	471			—			—			—			—			—
	376			18			240			200			—			28
	—			—			—			—			—			—
	—			—			—			—			—			1
	63			—			—			—			—			6,071
	588			520			440			307			60			530
	7			3			5			3			1			2
	21			7			13			9			2			5
	128			79			123			82			—			158
	—			—			—			—			19			—
	1,962,054			74,725			38,918			21,917			22,474			41,037
	$5,910,306			$2,175,102			$4,021,437			$2,820,257			$718,199			$1,596,100
	6,145,921			2,032,339			3,692,340			2,657,400			707,386			1,547,399
	754,237			69,796			21,523			34,009			2,823			5,623
	2			—			—			—			—			978
	(24	)		(1,247	)		169			—			—			—
	1,585			—			—			—			—			—
	397,351			—			—			—			—			5,360

	$5,772,809			$2,066,331			$3,808,159			$2,744,747			$717,096			$1,606,646
	(1,442	)		19,644			(1,425	)		(22	)		(6	)		(7,096	)

	(45,260	)		10,635			(60,417	)		(33,190	)		(1,041	)		(32,418	)
	184,070			78,901			275,026			108,680			2,143			26,328
	(751	)		—			27			42			7			(226	)
	(442	)		—			—			—			—			—
	(393	)		—			—			—			—			—
	566			(409	)		67			—			—			166
	1,149			—			—			—			—			2,700
	—			—			—			—			—			—
	$5,910,306			$2,175,102			$4,021,437			$2,820,257			$718,199			$1,596,100
	$10.54			$9.96			$8.88			$10.20			$10.05			$10.68
	($5,910,305,671 ÷ 560,527,183 shares	)		($2,175,101,577 ÷ 218,481,899 shares	)		($4,021,437,188 ÷ 453,027,294 shares	)		($2,820,256,898 ÷ 276,436,045 shares	)		($718,198,620 ÷ 71,489,849 shares	)		($1,596,100,145 ÷ 149,433,075 shares	)


SEI Institutional Investments Trust / Annual Report / May 31, 2014			273

Statements of Assets and Liabilities/Consolidated Statements of Assets and Liabilities ($ Thousands)

May 31, 2014


	Real Return Fund			Dynamic Asset Allocation Fund			Multi-Asset Real Return Fund
Assets:
Investments at value†	$	206,915		$	1,542,751		$	802,392
Affiliated investment, at value††		—			—			—
Cash		—			—			93,655
Foreign currency, at value†††		—			—			140
Cash pledged as collateral for forward foreign currency contracts, future contracts and swap contracts		—			—			13,161
Receivable for fund shares sold		138			17,760			4,095
Receivable for investment securities sold		12,343			261			44,357
Dividends and interest receivable		775			3,054			2,545
Receivable for variation margin		—			—			53
Foreign tax reclaim receivable		—			4			26
Unrealized gain on forward foreign currency contracts		—			8,395			95
Swap contracts at value††††		—			—			94
Options purchased, at value†††††		—			541			—
Prepaid expenses		1			8			3
Total Assets		220,172			1,572,774			960,616
Liabilities:
Payable for securities sold short@		—			—			102,269
Payable for investment securities purchased		—			14,373			43,705
Payable for fund shares redeemed		12,390			915			29
Swap contracts at value††††		—			—			15
Reverse repurchase agreements		—			—			97,202
Payable to custodian		188			—			—
Payable for variation margin		—			—			1,057
Unrealized loss on forward foreign currency contracts		—			44			99
Investment advisory fees payable		11			77			175
CCO fees payable		—			2			1
Trustees fees payable		1			5			2
Accrued expense payable		4			36			40
Total Liabilites		12,594			15,452			244,594
Net Assets	$	207,578		$	1,557,322		$	716,022
†Cost of investments and repurchase agreements		205,463			1,197,674			786,516
††Cost of affiliated investments		—			—			—
†††Cost of foreign currency		—			—			139
††††Cost (premiums received)		—			—			(5	)
†††††Cost (premiums received)		—			2,099			—
@ Proceeds		—			—			102,819
Net Assets:
Paid-in-Capital — (unlimited authorization — no par value)	$	207,465		$	1,235,209		$	712,042
Undistributed (distributions in excess of) net investment income		1,166			(6,927	)		(6,591	)
Accumulated net realized loss on investments, option contracts, swaptions, futures contracts, securities sold short, swap contracts and foreign currency		(2,505	)		(22,830	)		(3,149	)
Net unrealized appreciation on investments and securities sold short		1,452			345,077			16,426
Net unrealized depreciation on futures contracts		—			—			(2,617	)
Net unrealized depreciation on options		—			(1,558	)		—
Net unrealized depreciation on swap contracts		—			—			(94	)
Net unrealized appreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies		—			8,351			5
Net Assets	$	207,578		$	1,557,322		$	716,022
Net Asset Value, Offering and Redemption Price Per Share — Class A		$9.82			$14.53			$9.30
		($207,578,441 ÷ 21,131,086 shares	)		($1,557,321,728 ÷ 107,171,543 shares	)		($716,022,494 ÷ 77,008,078 shares	)

Amounts designated as “—” are $0 or have been rounded to $0.

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


274		SEI Institutional Investments Trust / Annual Report / May 31, 2014

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Statements of Operations ($ Thousands)

For the year ended May 31, 2014


	Large Cap Fund			Large Cap Diversified Alpha Fund			Large Cap Disciplined Equity Fund				Large Cap Index Fund
Investment Income
Dividends	$	33,150		$	3,594		$	89,542			$	38,826
Dividends from Affiliated Registered Investment Company		9			1			16				3
Interest Income		3			—			11				1
Security Lending Income — Net		135			—			681				208
Less: Foreign Taxes Withheld		(200	)		(16	)		(134	)			(11	)
		33,097			3,579			90,116				39,027
Expenses:
Investment Advisory Fees		8,471			969			19,734				3,410
Administration Fees		1,059			121			2,467				1,003
Trustee Fees		23			2			51				21
Chief Compliance Officer Fees		13			1			27				11
Custodian/Wire Agent Fees		99			13			231				100
Professional Fees		82			8			185				75
Printing Fees		17			2			38				16
Registration Fees		19			2			33				10
Interest Expense		—			—			2				—
Other Expenses		25			7			95				46
Total Expenses		9,808			1,125			22,863				4,692
Less:
Waiver of Investment Advisory Fees		(4,659	)		(431	)		(11,398	)			(3,210	)
Waiver of Administration Fees		(1,059	)		(121	)		(2,467	)			(1,003	)
Fees Paid Indirectly⁽¹⁾		(223	)		—			(82	)			(24	)
Net Expenses		3,867			573			8,916				455
Net Investment Income		29,230			3,006			81,200				38,572
Net Realized and Unrealized Gain (Loss) on:
Investments		238,865			70,766			837,551				104,327
Futures Contracts		10,401			6,122			22,095		��		8,080
Foreign Currency Transactions		—			—			16				—
Net Change in Unrealized Appreciation (Depreciation) on:
Investments		126,983			(25,160	)		(11,988	)			236,309
Futures Contracts		205			349			(3,353	)			(1,514	)
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currencies		—			—			—				—
Net Increase in Net Assets Resulting from Operations	$	405,684		$	55,083		$	925,521			$	385,774

(1)

See Note 6 in the Notes to Financial Statements.

(2)

Commenced operations on December 18, 2013.

Amounts designated as “—” are $0 or have been rounded to $0.

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


276		SEI Institutional Investments Trust / Annual Report / May 31, 2014


S&P 500 Index Fund⁽²⁾			Extended Market Index Fund			Small Cap Fund			Small Cap II Fund			Small/Mid Cap Equity Fund			U.S. Managed Volatility Fund

$	5,679		$	4,824		$	7,900		$	2,045		$	18,565		$	28,195
	1			1			3			1			7			3
	—			—			38			1			2			1
	2			263			752			132			1,269			—
	—			(13	)		(18	)		(1	)		(39	)		(206	)
	5,682			5,075			8,675			2,178			19,804			27,993

	83			427			4,932			1,482			12,818			7,496
	138			178			379			114			986			577
	4			4			8			3			20			12
	2			3			4			1			11			7
	12			12			36			12			95			55
	15			15			29			9			74			44
	3			4			6			2			15			9
	27			8			5			—			13			6
	—			—			—			—			—			—
	23			4			16			4			43			22
	307			655			5,415			1,627			14,075			8,228

	(55	)		(254	)		(1,442	)		(458	)		(3,944	)		(4,959	)
	(138	)		(178	)		(379	)		(114	)		(986	)		(577	)
	—			—			(24	)		(6	)		(146	)		—
	114			223			3,570			1,049			8,999			2,692
	5,568			4,852			5,105			1,129			10,805			25,301

	(453	)		8,132			128,959			30,434			267,526			137,306
	—			946			2,240			1,887			7,393			3,847
	438			—			—			—			7			(62	)

	36,869			39,750			(11,122	)		438			90,188			59,441
	647			(221	)		(201	)		48			(926	)		835

	—			—			—			—			(1	)		6
$	43,069		$	53,459		$	124,981		$	33,936		$	374,992		$	226,674


SEI Institutional Investments Trust / Annual Report / May 31, 2014			277

Statements of Operations ($ Thousands)

For the year ended May 31, 2014


	World Equity Ex-US Fund			Screened World Equity Ex-US Fund			Opportunistic Income Fund
Investment Income
Dividends	$	162,212		$	1,674		$	83
Dividends from Affiliated Registered Investment Company		14			—			11
Interest Income		45			9			39,596
Security Lending Income — Net		4,109			—			—
Less: Foreign Taxes Withheld		(13,798	)		(172	)		—
		152,582			1,511			39,690
Expenses:
Investment Advisory Fees		35,632			447			6,908
Administration Fees		3,239			34			768
Trustee Fees		69			1			18
Chief Compliance Officer Fees		38			—			10
Custodian/Wire Agent Fees		718			74			73
Professional Fees		286			—			60
Printing Fees		52			1			14
Registration Fees		33			1			36
Overdraft Fees		42			—			—
Interest Expense		—			—			3
Other Expenses		167			29			77
Total Expenses		40,276			587			7,967
Less:
Waiver of Investment Advisory Fees		(14,901	)		(248	)		(3,455	)
Waiver of Administration Fees		(3,239	)		(34	)		(768	)
Fees Paid Indirectly⁽¹⁾		(49	)		—			—
Net Expenses		22,087			305			3,744
Net Investment Income		130,495			1,206			35,946
Net Realized and Unrealized Gain (Loss) on:
Investments		409,160			2,423			(8,057	)
Affiliated Investments		—			—			—
Futures Contracts		32,754			228			(1,275	)
Purchased and Written Options		—			—			—
Swap Contracts		—			—			—
Foreign Currency Transactions		(1,722	)		15			—
Net Change in Unrealized Appreciation (Depreciation) on:
Investments		325,806			4,822			17,691
Affiliated Investments		—			—			—
Futures Contracts		965			(5	)		77
Purchased and Written Options		—			—			—
Purchased and Written Swaptions		—			—			—
Swap Contracts		—			—			—
Foreign Capital Gains Tax		(503	)		—			—
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currencies		199			7			—
Net Increase in Net Assets Resulting from Operations	$	897,154		$	8,696		$	44,382

(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.


278		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Core Fixed Income Fund			High Yield Bond Fund			Long Duration Fund			Long Duration Corporate Bond Fund			Ultra Short Duration Bond Fund

$	—		$	831		$	—		$	—		$	—
	28			7			4			3			1
	176,759			142,485			156,318			112,910			5,669
	204			—			—			—			—
	(68	)		(34	)		—			—			—
	176,923			143,289			156,322			112,913			5,670

	18,309			10,419			10,581			7,193			862
	3,052			1,069			1,763			1,199			287
	63			23			38			26			6
	32			12			20			14			3
	277			102			158			113			26
	228			81			135			92			23
	44			17			27			19			5
	42			14			44			14			9
	—			—			—			—			—
	—			—			—			—			—
	132			161			193			39			9
	22,179			11,898			12,959			8,709			1,230

	(11,596	)		(4,435	)		(5,802	)		(3,947	)		(287	)
	(3,052	)		(1,069	)		(1,763	)		(1,199	)		(287	)
	—			—			—			—			—
	7,531			6,394			5,394			3,563			656
	169,392			136,895			150,928			109,350			5,014

	(18,631	)		49,266			(38,920	)		(29,319	)		350
	1			—			—			—			—
	5,058			—			2,319			4,264			(251	)
	1,435			—			—			—			—
	591			(1,307	)		(332	)		—			—
	(1,106	)		—			—			—			—

	54,946			(25,584	)		148,440			146,773			1,122
	(9,047	)		—			—			—			—
	(3,748	)		—			510			(56	)		2
	(381	)		—			—			—			—
	(399	)		—			—			—			—
	(480	)		(519	)		(320	)		—			—
	—			—			—			—			—

	(268	)		—			—			—			—
$	197,363		$	158,751		$	262,625		$	231,012		$	6,237


SEI Institutional Investments Trust / Annual Report / May 31, 2014			279

Statements of Operations/Consolidated Statements of Operations ($ Thousands)

For the year ended May 31, 2014


	Emerging Markets Debt Fund			Real Return Fund			Dynamic Asset Allocation Fund			Multi-Asset Real Return Fund
Investment Income
Dividends	$	—		$	—		$	27,839		$	4,372
Interest Income		91,881			1,391			3			4,730
Security Lending Income — Net		24			—			—			—
Less: Foreign Taxes Withheld		(425	)		—			(11	)		(150	)
		91,480			1,391			27,831			8,952
Expenses:
Investment Advisory Fees		12,324			511			8,092			3,038
Administration Fees		725			116			674			276
Trustee Fees		16			2			15			7
Chief Compliance Officer Fees		8			1			8			4
Custodian/Wire Agent Fees		382			3			31			36
Professional Fees		56			9			52			22
Printing Fees		11			2			11			5
Registration Fees		16			2			14			19
Dividend Expense on Securities Sold Short		—			—			—			46
Interest Expense on Reverse Repurchase Agreements		—			—			—			70
Overdraft Fees		49			13			—			—
Other Expenses		155			7			25			35
Total Expenses		13,742			666			8,922			3,558
Less:
Waiver of Investment Advisory Fees		(6,424	)		(372	)		(7,283	)		(1,502	)
Waiver of Administration Fees		(725	)		(116	)		(674	)		(276	)
Net Expenses		6,593			178			965			1,780
Net Investment Income		84,887			1,213			26,866			7,172
Net Realized and Unrealized Gain (Loss) on:
Investments		(17,957	)��		(492	)		4,883			(8,598	)
Securities Sold Short		—			—			—			(38	)
Futures Contracts		(479	)		—			(18,387	)		7,517
Purchased and Written Options		(632	)		—			(4,045	)		(769	)
Swap Contracts		(7,131	)		—			—			(8,409	)
Foreign Currency Transactions		(42,846	)		—			(26,868	)		(434	)
Net Change in Unrealized Appreciation (Depreciation) on:
Investments		2,099			1,402			219,794			22,033
Securities Sold Short		—			—			—			550
Futures Contracts		(226	)		—			—			(2,740	)
Purchased and Written Options		174			—			(2,569	)		67
Swap Contracts		957			—			—			(765	)
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currencies		1,136			—			1,398			(1,247	)
Net Increase in Net Assets Resulting from Operations	$	19,982		$	2,123		$	201,072		$	14,339

Amounts designated as “—” are $0 or have been rounded to $0.

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


280		SEI Institutional Investments Trust / Annual Report / May 31, 2014

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Statements of Changes in Net Assets ($ Thousands)

For the years or period ended May 31,


	Large Cap Fund						Large Cap Diversified Alpha Fund						Large Cap Disciplined Equity Fund
	2014			2013			2014			2013			2014			2013
Operations:
Net Investment Income	$	29,230		$	34,298		$	3,006		$	4,859		$	81,200		$	103,968
Net Realized Gain (Loss) from Investments, Affiliated Investments and Futures Contracts		249,266			126,685			76,888			40,054			859,646			641,601
Net Realized Gain (Loss) on Foreign Currency Transactions		—			—			—			—			16			(49	)
Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments and Futures Contracts		127,188			313,841			(24,811	)		26,430			(15,341	)		684,697
Net Increase in Net Assets Resulting from Operations		405,684			474,824			55,083			71,343			925,521			1,430,217
Dividends and Distributions From:
Net Investment Income:
Class A		(28,887	)		(33,960	)		(2,968	)		(5,999	)		(70,879	)		(140,201	)
Net Realized Gains:
Class A		(196,027	)		(50,275	)		—			—			(284,707	)		—
Total Dividends and Distributions		(224,914	)		(84,235	)		(2,968	)		(5,999	)		(355,586	)		(140,201	)
Capital Share Transactions:⁽¹⁾
Class A:
Proceeds from Shares Issued		712,342			422,969			24,012			46,493			483,241			1,013,176
Reinvestment of Dividends and Distributions		217,467			82,864			2,772			5,414			348,910			136,946
Cost of Shares Redeemed		(703,202	)		(772,763	)		(249,751	)		(128,581	)		(2,280,185	)		(2,376,213	)
Increase (Decrease) in Net Assets Derived from Capital Share Transactions		226,607			(266,930	)		(222,967	)		(76,674	)		(1,448,034	)		(1,226,091	)
Net Increase (Decrease) in Net Assets		407,377			123,659			(170,852	)		(11,330	)		(878,099	)		63,925
Net Assets:
Beginning of Year		1,897,837			1,774,178			309,577			320,907			5,500,315			5,436,390
End of Year	$	2,305,214		$	1,897,837		$	138,725		$	309,577		$	4,622,216		$	5,500,315
Undistributed Net Investment Income Included in Net Assets at Period End	$	5,901		$	5,494		$	106		$	97		$	10,270		$	—

(1)

See Note 7 in the Notes to Financial Statements.

(2)

Commenced operations on December 18, 2013.

(3)

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.


282		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Large Cap Index Fund						S&P 500 Index Fund⁽²⁾			Extended Market Index Fund⁽³⁾						Small Cap Fund						Small Cap II Fund
2014			2013			2014			2014			2013			2014			2013			2014			2013

$	38,572		$	39,683		$	5,568		$	4,852		$	371		$	5,105		$	8,224		$	1,129		$	1,572
	112,407			(5,408	)		(453	)		9,078			202			131,199			77,627			32,321			8,057
	—			—			438			—			—			—			1			—			—
	234,795			404,466			37,516			39,529			7,399			(11,323	)		126,870			486			37,721
	385,774			438,741			43,069			53,459			7,972			124,981			212,722			33,936			47,350


	(39,793	)		(37,390	)		(2,597	)		(4,224	)		(84	)		(6,428	)		(10,108	)		(1,119	)		(1,541	)

	(30,168	)		(17,633	)		—			(2,426	)		—			—			—			(25,584	)		(570	)
	(69,961	)		(55,023	)		(2,597	)		(6,650	)		(84	)		(6,428	)		(10,108	)		(26,703	)		(2,111	)


	400,402			1,122,773			847,703			362,728			172,091			58,141			119,337			145,303			246,977
	68,805			54,321			2,493			6,632			84			5,346			8,729			24,904			2,031
	(1,093,499	)		(602,393	)		(54,077	)		(76,993	)		(5,956	)		(268,462	)		(304,936	)		(146,702	)		(134,616	)
	(624,292	)		574,701			796,119			292,367			166,219			(204,975	)		(176,870	)		23,505			114,392
	(308,479	)		958,419			836,591			339,176			174,107			(86,422	)		25,744			30,738			159,631

	2,214,088			1,255,669			—			174,107			—			778,976			753,232			221,697			62,066
$	1,905,609		$	2,214,088		$	836,591		$	513,283		$	174,107		$	692,554		$	778,976		$	252,435		$	221,697
$	6,019		$	7,007		$	2,996		$	1,078		$	304		$	435		$	1,010		$	318		$	168


SEI Institutional Investments Trust / Annual Report / May 31, 2014			283

Statements of Changes in Net Assets ($ Thousands)

For the years or period ended May 31,


	Small/Mid Cap Equity Fund						U.S. Managed Volatility Fund
	2014			2013			2014			2013
Operations:
Net Investment Income	$	10,805		$	22,654		$	25,301		$	23,765
Net Realized Gain (Loss) from Investments and Swap Contracts		274,919			236,262			141,153			51,377
Net Realized Gain (Loss) on Foreign Currency Transactions		7			13			(62	)		(75	)
Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts		89,262			320,450			60,276			135,977
Net Change in Unrealized Depreciation on Foreign Cap Gains Tax		—			—			—			—
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Translation		(1	)		—			6			2
Net Increase in Net Assets Resulting from Operations		374,992			579,379			226,674			211,046
Dividends and Distributions From:
Net Investment Income:
Class A		(13,895	)		(25,590	)		(25,557	)		(22,592	)
Net Realized Gains:
Class A		(320,629	)		(15,141	)		(94,547	)		(16,946	)
Total Dividends and Distributions		(334,524	)		(40,731	)		(120,104	)		(39,538	)
Capital Share Transactions:⁽¹⁾
Class A:
Proceeds from Shares Issued		229,408			437,273			224,022			510,717
Reinvestment of Dividends and Distributions		331,178			40,334			118,271			38,191
Cost of Shares Redeemed		(925,523	)		(843,868	)		(358,319	)		(296,518	)
Increase (Decrease) in Net Assets Derived from Capital Share Transactions		(364,937	)		(366,261	)		(16,026	)		252,390
Net Increase (Decrease) in Net Assets		(324,469	)		172,387			90,544			423,898
Net Assets:
Beginning of Year		2,153,745			1,981,358			1,145,980			722,082
End of Year	$	1,829,276		$	2,153,745		$	1,236,524		$	1,145,980
Undistributed Net Investment Income Included in Net Assets at Period End	$	5,107		$	6,933		$	3,767		$	4,009

(1)

See Note 7 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.


284		SEI Institutional Investments Trust / Annual Report / May 31, 2014


World Equity Ex-US Fund						Screened World Equity Ex-US Fund						Opportunistic Income Fund
2014			2013			2014			2013			2014			2013

$	130,495		$	134,537		$	1,206		$	1,052		$	35,946		$	6,707
	441,914			189,005			2,651			2,182			(9,332	)		(240	)
	(1,722	)		(4,774	)		15			(28	)		—			—
	326,771			1,036,674			4,817			9,793			17,768			16,541
	(503	)		(77	)		—			—			—			—
	199			(3,829	)		7			(70	)		—			—
	897,154			1,351,536			8,696			12,929			44,382			23,008


	(149,128	)		(119,081	)		(1,227	)		(1,070	)		(31,408	)		(8,743	)

	—			—			—			—			—			—
	(149,128	)		(119,081	)		(1,227	)		(1,070	)		(31,408	)		(8,743	)


	1,481,341			1,900,967			16,386			11,231			1,093,631			795,292
	145,529			116,860			846			818			30,893			8,488
	(1,844,620	)		(1,681,364	)		(10,105	)		(10,143	)		(258,169	)		(40,842	)
	(217,750	)		336,463			7,127			1,906			866,355			763,298
	530,276			1,568,918			14,596			13,765			879,329			777,563

	6,192,852			4,623,934			62,521			48,756			996,522			218,959
$	6,723,128		$	6,192,852		$	77,117		$	62,521		$	1,875,851		$	996,522
$	57,952		$	71,744		$	671		$	579		$	18,033		$	11,315


SEI Institutional Investments Trust / Annual Report / May 31, 2014			285

Statements of Changes in Net Assets ($ Thousands)

For the years ended May 31,



	Core Fixed Income Fund						High Yield Bond Fund						Long Duration Fund
	2014			2013			2014			2013			2014			2013
Operations:
Net Investment Income	$	169,392		$	192,864		$	136,895		$	148,399		$	150,928		$	149,352
Net Realized Gain (Loss) from Investments, Affiliated Investments, Futures Contracts, Purchased and Written Options and Swap Contracts		(11,546	)		149,751			47,959			56,668			(36,933	)		302,981
Net Realized Gain (Loss) on Foreign Currency Transactions		(1,106	)		3,475			—			—			—			—
Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Futures Contracts, Purchased and Written Options, Purchased and Written Swaptions and Swap Contracts		40,891			(102,409	)		(26,103	)		87,706			148,630			(420,443	)
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Translation		(268	)		(69	)		—			—			—			—
Net Increase in Net Assets Resulting from Operations		197,363			243,612			158,751			292,773			262,625			31,890
Dividends and Distributions From:
Net Investment Income:
Class A		(177,685	)		(206,754	)		(135,226	)		(144,390	)		(150,249	)		(148,715	)
Net Realized Gains:
Class A		(23,149	)		(99,113	)		(34,630	)		—			(18,009	)		(248,307	)
Total Dividends and Distributions		(200,834	)		(305,867	)		(169,856	)		(144,390	)		(168,258	)		(397,022	)
Capital Share Transactions:⁽¹⁾
Class A:
Proceeds from Shares Issued		1,896,737	⁽²⁾		2,956,412	⁽²⁾		418,542			620,108			1,288,121			1,135,778	⁽²⁾
Reinvestment of Dividends and Distributions		194,429			296,639			164,731			139,881			162,667			384,646
Cost of Shares Redeemed		(2,661,607	)		(3,787,895	)		(559,617	)		(660,601	)		(846,009	)		(3,330,376	)
Increase (Decrease) in Net Assets Derived from Capital Share Transactions		(570,441	)		(534,844	)		23,656			99,388			604,779			(1,809,952	)
Net Increase (Decrease) in Net Assets		(573,912	)		(597,099	)		12,551			247,771			699,146			(2,175,084	)
Net Assets:
Beginning of Year		6,484,218			7,081,317			2,162,551			1,914,780			3,322,291			5,497,375
End of Year	$	5,910,306		$	6,484,218		$	2,175,102		$	2,162,551		$	4,021,437		$	3,322,291
Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Period End	$	(1,442)		$	(344	)	$	19,644		$	9,647		$	(1,425	)	$	12

(1)

See Note 7 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.


286		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Long Duration Corporate Bond Fund⁽³⁾						Ultra Short Duration Bond Fund						Emerging Markets Debt Fund
2014			2013			2014			2013			2014			2013

$	109,350		$	71,936		$	5,014		$	3,624		$	84,887		$	63,189

	(25,055	)		17,948			99			829			(26,199	)		62,344

	—			—			—			—			(42,846	)		12,904

	146,717			(37,995	)		1,124			1,718			3,004			(17,600	)

	—			—			—			—			1,136			(2,230	)

	231,012			51,889			6,237			6,171			19,982			118,607


	(109,485	)		(71,980	)		(5,851	)		(4,073	)		(44,045	)		(93,938	)

	(13,203	)		(12,723	)		—			—			(17,116	)		(52,794	)
	(122,688	)		(84,703	)		(5,851	)		(4,073	)		(61,161	)		(146,732	)


	814,026	⁽²⁾		2,340,569	⁽²⁾		434,616			565,825	⁽²⁾		525,857			445,867
	122,652			84,678			5,767			3,958			59,203			142,096
	(307,697	)		(309,481	)		(245,163	)		(347,511	)		(359,674	)		(262,863	)

	628,981			2,115,766			195,220			222,272			225,386			325,100
	737,305			2,082,952			195,606			224,370			184,207			296,975

	2,082,952			—			522,593			298,223			1,411,893			1,114,918
$	2,820,257		$	2,082,952		$	718,199		$	522,593		$	1,596,100		$	1,411,893

$	(22	)	$	17		$	(6	)	$	41		$	(7,096	)	$	(6,914	)


SEI Institutional Investments Trust / Annual Report / May 31, 2014			287

Statements of Changes in Net Assets/Consolidated Statements of Changes in Net Assets ($ Thousands)

For the years ended May 31,


	Real Return Fund							Dynamic Asset Allocation Fund						Multi-Asset Real Return Fund
	2014				2013			2014			2013			2014			2013
Operations:
Net Investment Income	$	1,213			$	2,259		$	26,866		$	19,134		$	7,172		$	2,106
Net Realized Gain (Loss) from Investments, Securities Sold Short, Futures Contracts, Purchased and Written Options and Swap Contracts		(492	)			3,756			(17,549	)		17,617			(10,297	)		(7,650	)
Net Realized Gain (Loss) on Foreign Currency Transactions		—				—			(26,868	)		(844	)		(434	)		271
Net Change in Unrealized Appreciation (Depreciation) on Investments, Securities Sold Short, Futures Contracts, Purchased and Written Options and Swap Contracts		1,402				(6,178	)		217,225			157,998			19,145			2,550
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Translation		—				—			1,398			(16,776	)		(1,247	)		12
Net Increase (Decrease) in Net Assets Resulting from Operations		2,123				(163	)		201,072			177,129			14,339			(2,711	)
Dividends and Distributions From:
Net Investment Income:
Class A		(900	)			(4,654	)		(2,250	)		(23,239	)		—			(970	)
Net Realized Gains:
Class A		(2,005	)			(5,838	)		(21,963	)		(30,576	)		—			—
Net Return of Capital:
Class A		—				—			—			—			—			(194	)
Total Dividends and Distributions		(2,905	)			(10,492	)		(24,213	)		(53,815	)		—			(1,164	)
Capital Share Transactions:⁽¹⁾				��
Class A:
Proceeds from Shares Issued		68,124				42,921			477,460			508,259			474,358			201,232
Reinvestment of Dividends and Distributions		2,756				9,256			23,820			52,931			—			1,056
Cost of Shares Redeemed		(114,372	)			(71,531	)		(256,448	)		(101,522	)		(76,574	)		(34,577	)
Increase (Decrease) in Net Assets Derived from Capital Share Transactions		(43,492	)			(19,354	)		244,832			459,668			397,784			167,711
Net Increase (Decrease) in Net Assets		(44,274	)			(30,009	)		421,691			582,982			412,123			163,836
Net Assets:
Beginning of Year		251,852				281,861			1,135,631			552,649			303,899			140,063
End of Year	$	207,578			$	251,852		$	1,557,322		$	1,135,631		$	716,022		$	303,899
Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Period End	$	1,166			$	854		$	(6,927	)	$	(4,737	)	$	(6,591	)	$	(2,634	)

(1)

See Note 7 in the Notes to Financial Statements/Consolidated 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.


288		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Consolidated Statement of Cash Flows ($ Thousands)

For the year ended May 31, 2014


	Multi-Asset Real Return Fund
Cash Flows from Operating Activities:
Net Increase in Net Assets Resulting from Operations	$	14,339
Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to Net Cash Used in Operating Activities:
Purchase of Investment Securities		(1,376,216	)
Proceeds from Disposition of Investment Securities		925,327
Purchased Options/Purchases to Cover Written Options & Securities Sold Short		128,314
Proceeds from Sale of Options/Expired Options and Securities Sold Short		(26,218	)
Amortization (Accretion of Market Discount)		1,677
Net Realized (Gain) Loss on:
Investments		8,598
Options		769
Securities Sold Short		38
Net Change in Unrealized (Appreciation) Depreciation on:
Investments		(22,033	)
Options		(67	)
Securities Sold Short		(550	)
Changes in assets:
Foreign currency, at value		(127	)
Cash pledged as collateral for forward foreign currency contracts and swap contracts		(13,111	)
Receivable for investment securities sold		(44,009	)
Dividends and interest receivable		(1,341	)
Receivable for variation margin		(22	)
Swap contracts, at value		661
Foreign tax reclaim receivable		(20	)
Unrealized gain on forward foreign currency contracts		1,230
Unrealized gain on foreign spot currency contracts		3
Prepaid expenses		(2	)
Changes in liabilities:
Payable for investment securities purchased		(28,267	)
Payable for variation margin		1,057
Investment advisory fees payable		129
Swap contracts, at value		(61	)
Reverse repurchase agreements		58,848
Unrealized loss on forward foreign currency contracts		83
Unrealized loss on foreign spot currency contracts		(59	)
Trustee fees payable		1
Accrued expense payable		17
Net Cash Used in Operating Activities		(371,012	)
Cash Flows from Financing Activities:
Proceeds from Shares Issued		541,343
Cost of Shares Redeemed		(76,689	)
Net Cash Provided by Financing Activities		464,654
Net Change in Cash		93,642
Cash at beginning of year	$	13
Cash at end of year	$	93,655
Supplemental Disclosure of Cash Flow Information
Interest Paid	$	70

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


SEI Institutional Investments Trust / Annual Report / May 31, 2014			289

Financial Highlights

For 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
2014	$	20.94	$	0.30	$	3.96		$	4.26		$	(0.30	)	$	(2.18	)	$	(2.48	)	$	22.72		21.32	%	$	2,305,214		0.18	%		0.18	%		0.46	%		1.38	%		59	%
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
Large Cap Diversified Alpha Fund
Class A
2014	$	11.59	$	0.16	$	2.42		$	2.58		$	(0.12	)	$	—		$	(0.12	)	$	14.05		22.36	%	$	138,725		0.24	%		0.24	%		0.46	%		1.24	%		121	%
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
Large Cap Disciplined Equity Fund
Class A
2014	$	13.24	$	0.23	$	2.39		$	2.62		$	(0.20	)	$	(0.87	)	$	(1.07	)	$	14.79		20.49	%	$	4,622,216		0.18	%⁽⁹⁾		0.18	%⁽⁹⁾		0.46	%⁽⁹⁾		1.65	%		110	%
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
Large Cap Index Fund
Class A
2014	$	140.87	$	2.91	$	25.93		$	28.84		$	(3.02	)	$	(2.48	)	$	(5.50	)	$	164.21		20.88	%	$	1,905,609		0.02	%		0.02	%		0.23	%		1.92	%		10	%
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
S&P 500 Index Fund
Class A
2014⁽¹⁰⁾	$	10.00	$	0.09	$	0.63		$	0.72		$	(0.04	)	$	—		$	(0.04	)	$	10.68		7.27	%	$	836,591		0.04	%		0.04	%		0.11	%		2.02	%		3	%
Extended Market Index Fund
2014	$	10.77	$	0.17	$	2.03		$	2.20		$	(0.14	)	$	(0.09	)	$	(0.23	)	$	12.74		20.59	%	$	513,283		0.06	%		0.06	%		0.18	%		1.36	%		17	%
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
2014	$	15.42	$	0.12	$	2.56		$	2.68		$	(0.15	)	$	—		$	(0.15	)	$	17.95		17.39	%	$	692,554		0.47	%		0.47	%		0.72	%		0.67	%		63	%
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
Small Cap II Fund
Class A
2014	$	12.23	$	0.06	$	2.01		$	2.07		$	(0.07	)	$	(1.73	)	$	(1.80	)	$	12.50		17.35	%	$	252,435		0.46	%⁽⁸⁾		0.46	%⁽⁸⁾		0.71	%⁽⁸⁾		0.50	%		108	%
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

†

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 0.46%, 0.46% 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 0.46%, respectively.

(10)

Commenced operations on December 18, 2013. All ratios for the period have been annualized.

Amounts designated as “—” are $0 or have been rounded to $0.

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


290		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Financial Highlights

For 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†
Small/Mid Cap Equity Fund
Class A
2014	$	15.69	$	0.09	$	2.87		$	2.96		$	(0.11	)	$	(2.96	)	$	(3.07	)	$	15.58		20.09	%	$	1,829,276		0.46	%		0.46	%		0.71	%		0.55	%		54	%
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
U.S. Managed Volatility Fund
Class A
2014	$	13.54	$	0.31	$	2.42		$	2.73		$	(0.31	)	$	(1.22	)	$	(1.53	)	$	14.74		21.39	%	$	1,236,524		0.23	%		0.23	%		0.71	%		2.19	%		72	%
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
World Equity Ex-US Fund
Class A
2014	$	11.51	$	0.24	$	1.40		$	1.64		$	(0.29	)	$	—		$	(0.29	)	$	12.86		14.31	%	$	6,723,128		0.34	%		0.34	%		0.62	%		2.01	%		46	%
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
Screened World Equity Ex-US Fund
Class A
2014	$	8.66	$	0.16	$	1.04		$	1.20		$	(0.17	)	$	—		$	(0.17	)	$	9.69		13.87	%	$	77,117		0.44	%		0.44	%		0.85	%		1.75	%		45	%
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
Opportunistic Income Fund
Class A
2014	$	8.26	$	0.19	$	0.02		$	0.21		$	(0.16	)	$	—		$	(0.16	)	$	8.31		2.59	%	$	1,875,851		0.24	%⁽²⁾		0.24	%⁽²⁾		0.52	%⁽²⁾		2.34	%		121	%
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
Core Fixed Income Fund
Class A
2014	$	10.54	$	0.29	$	0.05		$	0.34		$	(0.30	)	$	(0.04	)	$	(0.34	)	$	10.54		3.36	%	$	5,910,306		0.12	%		0.12	%		0.36	%		2.78	%		329	%
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	⁽³⁾		0.16	⁽³⁾		0.38	⁽³⁾		3.60			422
2010		9.42		0.47		0.95			1.42			(0.49	)		��			(0.49	)		10.35		15.34			5,705,708		0.14			0.14			0.37			4.71			242

†

(1)

Per share net investment income and net realized and unrealized gains (losses) calculated using average shares.

(2)

The expense ratio includes interest expense. Had this expense been excluded, the ratios would have been 0.24%, 0.24% and 0.52%, respectively.

(3)

The expense ratio includes interest expense. Had this expense been excluded, the ratios would have been 0.14%, 0.14% and 0.36%, respectively.

Amounts designated as “—” are $0 or have been rounded to $0.

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


SEI Institutional Investments Trust / Annual Report / May 31, 2014			291

Financial Highlights/Consolidated Financial Highlights

For the years or period ended May 31,

For a share outstanding throughout each period


	Net Asset Value, Beginning of Period		Net Investment Income (Loss)⁽¹⁾			Net Realized and Unrealized Gains (Losses) on Securities⁽¹⁾			Total from Operations			Dividends from Net Investment Income			Distributions from Realized Capital Gains			Total Dividends and Distributions			Net Asset Value, End of Period		Total Return†			Net Assets End of Period ($ Thousands)		Ratio of Net Expenses to Average Net Assets			Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Including Waivers)			Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers)			Ratio of Net Investment Income (Loss) to Average Net Assets			Portfolio Turnover Rate†
High Yield Bond Fund
Class A
2014	$	10.01	$	0.63		$	0.10		$	0.73		$	(0.62	)	$	(0.16	)	$	(0.78	)	$	9.96		7.75	%	$	2,175,102		0.30	%		0.30	%		0.56	%		6.41	%		65	%
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
Long Duration Fund
Class A
2014	$	8.75	$	0.36		$	0.17		$	0.53		$	(0.36	)	$	(0.04	)	$	(0.40	)	$	8.88		6.41	%	$	4,021,437		0.15	%		0.15	%		0.37	%		4.28	%		105	%
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
Long Duration Corporate Bond Fund
Class A
2014	$	9.93	$	0.44		$	0.32		$	0.76		$	(0.44	)	$	(0.05	)	$	(0.49	)	$	10.20		8.10	%	$	2,820,257		0.15	%		0.15	%		0.36	%		4.56	%		115	%
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
2014	$	10.04	$	0.09		$	0.02		$	0.11		$	(0.10	)	$	—		$	(0.10	)	$	10.05		1.13	%	$	718,199		0.11	%		0.11	%		0.21	%		0.87	%		118	%
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
2014	$	11.11	$	0.60		$	(0.58	)	$	0.02		$	(0.33	)	$	(0.12	)	$	(0.45	)	$	10.68		0.44	%	$	1,596,100		0.45	%		0.45	%		0.95	%		5.86	%		100	%
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
Real Return Fund
Class A
2014	$	9.86	$	0.05		$	0.04		$	0.09		$	(0.04	)	$	(0.09	)	$	(0.13	)	$	9.82		0.96	%	$	207,578		0.08	%		0.08	%		0.29	%		0.52	%		49	%
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
Dynamic Asset Allocation Fund
Class A
2014	$	12.81	$	0.27		$	1.69		$	1.96		$	(0.02	)	$	(0.22	)	$	(0.24	)	$	14.53		15.49	%	$	1,557,322		0.07	%		0.07	%		0.66	%		1.99	%		11	%
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	)		—

†

‡

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.


292		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Consolidated Financial Highlights

For 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 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†
Multi-Asset Real Return Fund
Class A
2014	$	9.19	$	0.12	$	(0.01	)	$	0.11		$	—		$	—	$	—		$	9.30		1.20	%	$	716,022		0.32	%⁽⁵⁾		0.32	%⁽⁵⁾		0.64	%⁽⁵⁾		1.30	%		122	%
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*		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

Includes a return of capital of $0.01 per share.

†

Commenced operations on July 29, 2011. All ratios for the period have been annualized.

(1)

Per share net investment income and net realized and unrealized losses calculated using average shares.

(2)

The expense ratio includes interest expense on reverse repurchase agreements. Had this expense been excluded, the ratios would have been 0.39%, 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 and dividend expense on securities sold short. Had this expense been excluded, the ratios would have been 0.30%, 0.30% and 0.62%, respectively.

Amounts designated as “—” are $0 or have been rounded to $0.

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


SEI Institutional Investments Trust / Annual Report / May 31, 2014			293

Notes to Financial Statements/Consolidated Notes to Financial Statements

May 31, 2014

1. ORGANIZATION

SEI Institutional Investments Trust (the “Trust”) was organized as a Massachusetts business trust under a Declaration of Trust dated March 1, 1995. The Trust commenced operations on June 14, 1996.

The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end investment company with 25 registered funds: Large Cap, Large Cap Diversified Alpha, Large Cap Disciplined Equity, Large Cap Index, S&P 500 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 goals, principal strategies and risks.

The DAA Commodity Strategy Subsidiary, Ltd. and the MARR Commodity Strategy Subsidiary, Ltd. are wholly-owned subsidiaries of the Dynamic Asset Allocation and Multi-Asset Real Return Funds (the “Subsidiaries”) respectively. The Subsidiaries are organized under the laws of the Cayman Islands as an exempt limited company. Information regarding the Dynamic Asset Allocation and Multi-Asset Real Return Funds and their respective subsidiary has been consolidated on the Consolidated Summary Schedule of Investments, Consolidated Schedule of Investments, Consolidated Statements of Assets and Liabilities, Consolidated Statements of Operations, Consolidated Statements of Changes in Net Assets and Consolidated Statement of Cash Flows.

As of May 31, 2014, 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.


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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 year ended May 31, 2014 maximized the use of observable inputs and minimized the use of unobservable inputs.

For the year ended May 31, 2014, 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


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May 31, 2014

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 — Securities pledged as collateral for repurchase agreements are held by each Fund’s custodian bank until the repurchase date of the repurchase agreement. The Funds may also invest in tri-party repurchase agreements. Securities held as collateral for tri-party repurchase agreements are maintained by the broker’s custodian bank in a segregated account until the repurchase date of the repurchase agreement. Provisions of the repurchase agreements and the Trust’s policies require that the market value of the collateral, including accrued interest thereon, is sufficient in the event of default by the counterparty. If the counterparty defaults and the value of the collateral declines, or if the counterparty enters into an insolvency proceeding, realization of the collateral by the Funds 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. 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 May 31, 2014 were as follows:


Multi-Asset Real Return Fund
Principal Amount ($ Thousands)		Counterparty		Value ($ Thousands)
$	5,880	Bank of America	0.08%	$	5,880
	1,012	Bank of America	0.08%		1,012
	5,440	Barclays	0.07%		5,440
	6,588	Barclays	0.07%		6,588
	12,053	Barclays	0.07%		12,053
	3,173	Barclays	0.07%		3,173
	7,109	Barclays	0.07%		7,109
	3,641	Barclays	0.08%		3,641
	15,380	Barclays	0.12%		15,380
	13,140	Chase Securities	0.09%		13,140
	11,303	Chase Securities	0.09%		11,303
	12,483	Chase Securities	0.12%		12,483

				$	97,202

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 Dynamic Asset Allocation and Multi-Asset Real Return Funds 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 Dynamic Asset Allocation and Multi-Asset Real Return Funds may also invest in equity securities of issuers in commodity-related industries.

The Dynamic Asset Allocation and Multi-Asset Real Return Funds 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 Dynamic Asset Allocation and Multi-Asset Real Return Funds invest 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.


296		SEI Institutional Investments Trust / Annual Report / May 31, 2014

The Funds report certain foreign-currency-related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income for Federal income tax purposes.

Forward Foreign Currency Contracts — To the extent consistent with its Investment Objective and Strategies, a Fund may enter into forward foreign currency contracts as hedges against either specific transactions, fund positions or anticipated fund positions. A Fund may also engage in currency transactions to enhance that Fund’s returns. All commitments are marked-to-market daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. A 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 or Consolidated Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments, Summary Schedule of Investments, Consolidated Schedule of Investments or Consolidated Summary Schedule of Investments for details regarding open forward foreign currency contracts as of May 31, 2014, 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. In addition, fixed income funds will utilize futures contracts to help manage duration and yield curve exposure. 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 or Consolidated Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments, Summary Schedule of Investments or Consolidated Schedule of Investments for details regarding open futures contracts as of May 31, 2014, 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 and Dynamic Asset Allocation Funds had options/swaption contracts as of May 31, 2014, as disclosed in the Funds’ Schedule of Investments or Consolidated 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 Consolidated Summary Schedule of Investments for details regarding open option/swaption contracts as of May 31, 2014, 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. A 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


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May 31, 2014

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, the Fund will: (i) earmark on the books of the Fund or place in a segregated account cash or liquid securities at such a level that the amount earmarked or deposited in the segregated account plus the amount deposited with the broker as collateral will equal the current value of the security sold short; or (ii) otherwise “cover” the Fund’s short position as required by the 1940 Act. Refer to each Fund’s Schedule of Investments, Summary Schedule of Investments, Consolidated Summary Schedule of Investments or Consolidated Schedule of Investments for details regarding securities sold short as of May 31, 2014, if applicable. As of May 31, 2014, the Multi-Asset Real Return Fund held short positions.

Swap Agreements — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in swap contracts as an efficient means to synthetically obtain exposure to securities or baskets of securities and to manage a Fund’s interest rate duration and yield curve exposure. Swap contracts may also be used to mitigate a Fund’s overall level of risk and/or a Fund’s risk to particular types of securities, currencies or market segments. Interest rate swaps may further be used to manage a Fund’s yield spread sensitivity. A Fund may buy credit default swaps in an attempt to manage credit risk where a Fund has credit exposure to an issuer, and a Fund may sell credit default swaps to more efficiently gain credit exposure to a security or basket of securities. 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 periodic payments by a Fund or counterparty 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 recovery rate used to settle the contracts. The recovery rate is a function of how many credit default swap investors wish to deliver the security or receive the security. The recovery rate is determined through an auction process. 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 secu-

rities, bank debt and corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying asset versus the accrued income payment based on LIBOR or some other form of indices 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 loss. 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 Statements of Assets and Liabilities or Consolidated Statements of Assets and Liabilities. Interest rate swap contracts outstanding at period end, if any, are listed after a Fund’s portfolio. In connection with swap agreements securities may be set aside as collateral by a Fund’s custodian.

Swaps are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as an unrealized gain or loss on the Statements of Operations or Consolidated 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 or Consolidated 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 or Consolidated 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, Summary Schedule of Investments or Consolidated Schedule of Investments. for details regarding open swap agreements as of March 31, 2014, 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


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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 the Fund 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, the 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. The 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 the Fund has sold a security on a delayed delivery basis, the Fund does not participate in future gains and losses with respect to the security.

Loan Participations and Brady Bonds — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in U.S. dollar-denominated fixed- and floating-rate loans (“Loans”) arranged through private negotiations between a foreign sovereign entity and one or more financial institutions (“Lenders”). The Fund invests in such Loans in the form of participations in Loans (“Participations”) or assignments of all or a portion of Loans from third parties. Participations typically result in this Fund having a contractual relationship only with the Lenders, not with the sovereign borrowers. This Fund has the right to receive payments of principal, interest and any fees to which it is entitled from the Lender selling the Participation and only upon receipt by the Lender of the payments from the borrower. In connection with purchasing Participations, the Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement relating to the Loan, nor any rights of set-off against the borrower, and the Fund will not benefit directly from any collateral supporting the Loan in which it has purchased the Participation. As a result, the Fund assumes the credit risk of both the borrower and the Lender that is selling the Participation.

Certain debt obligations, customarily referred to as “Brady Bonds,” are created through the exchange of existing commercial bank loans to foreign entities for new obligations in connection with debt restructuring under a plan introduced by former U.S. Secretary of the Treasury Nicholas F. Brady. Brady Bonds have only been issued since

1989, and, accordingly, do not have a long payment history. They are issued by governments that may have previously defaulted on the loans being restructured by the Brady Bonds, so they are subject to the risk of default by the issuer. They may be fully or partially collateralized or uncollateralized and issued in various currencies.

Collateralized Debt Obligations — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in collateralized debt obligations (“CDOs”), which include collateralized loan obligations (“CLOs”) if it holds only loans and other similarly structured securities. Multiple levels of securities are issued by the CDO, offering various maturity and credit risk characteristics that are characterized according to their degree of credit risk. Purchasers in CDOs are credited with their portion of the scheduled payments of interest and principal on the underlying assets plus all unscheduled prepayments of principal based on a predetermined priority schedule. Accordingly, the CDOs in the longer maturity series are less likely than other asset pass-throughs to be prepaid prior to their stated maturity.

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, S&P 500 Index, Extended Market Index, Small Cap, Small Cap II, Small/Mid Cap Equity, U.S. Managed Volatility, Opportunistic Income, Emerging Markets Debt and 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, Dynamic Asset Allocation and Multi-Asset Real Return Funds. Dividends and distributions are recorded on the ex-dividend date. Any net realized capital gains will be distributed at least annually by the Funds.

Illiquid Securities — A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of a Fund. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed.

Restricted Securities — As of May 31, 2014, the following Fund 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, this Fund has generally agreed to further restrictions on the disposition of certain holdings as set forth in various agreements entered into in connection with the purchase of these private placement investments. The acquisition dates of these investments, the enforceable right to acquire these private placement investments, along with the cost and values at May 31, 2014, 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		352		0.02

							$	551	$	353		0.02	%


SEI Institutional Investments Trust / Annual Report / May 31, 2014			299

Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)

May 31, 2014

Investments in Real Estate Investment Trusts (“REITs”) — With respect to the Funds with the exception of the World Equity Ex-US, Screened World Equity Ex-US and Real Return Funds, 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 Dynamic Asset Allocation and Multi-Asset Real Return Funds may invest in their own Subsidiary. By investing in a Subsidiary, each 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 Dynamic Asset Allocation and Multi-Asset Real Return Funds, as investors in their own Subsidiary, will not have all of the protections offered to investors in registered investment companies.

However, each Fund wholly owns and controls its respective Subsidiary, and the Funds and the Subsidiaries are all 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 (“Board”) 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

A Fund may use credit default 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.


300		SEI Institutional Investments Trust / Annual Report / May 31, 2014

As of May 31, 2014, the High Yield Bond and Long Duration Funds are the buyers (“receiving protection”) on a total notional amount of $17.7 million and $5.0 million, respectively. Additionally, the Core Fixed Income and Multi-Asset Real Return Funds are the sellers (“providing protection”) on a total notional amount of $6.8 million and $1.1 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	$	94,155	$	—	$	—	$	—	$	94,155
Maximum potential amount of future payments		6,840,000		—		—		—		6,840,000
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection)¹		—		—		—		—		—
Collateral held by the Fund can obtain upon occurrence of triggering event		—		—		—		—		—

Potential recoveries would include purchased credit derivatives to the extent they offset written credit derivatives which have an identical underlying, or a netting arrangement or credit support annex with the counterparty. There may be other potential recoveries from recourse provisions where agreements cover multiple derivative arrangements but those amounts have not been included.


MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM
CORE FIXED INCOME FUND	0-6 MONTHS		6-12 MONTHS		1-5 YEARS		5-10 YEARS		> 10 YEARS		Total
Current credit spread* on underlying (in basis points)
0-100	$	—	$	—	$	—	$	6,840,000	$	—	$	6,840,000
> than 100		—		—		—		—		—		—
Total	$	—	$	—	$	—	$	6,840,000	$	—	$	6,840,000

The credit spread on the underlying asset is generally indicative of the current status of the underlying risk of the Fund having to perform. The spread also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into a contract. Higher credit spreads with a shorter contract term is indicative of a higher likelihood of performance by the Fund.


MULTI-ASSET REAL RETURN FUND WRITTEN CREDIT DERIVATIVE CONTRACTS	SINGLE NAME CDS				CDS ON AN INDEX
REFERENCE ASSET	CORP US$		SOVEREIGN US$		ABS US$		CORP US$		Total
Fair value of written credit derivatives	$	21,464	$	—	$	—	$	—	$	21,464
Maximum potential amount of future payments		1,130,356		—		—		—		1,130,356
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		—		—		—		—		—


MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM
MULTI-ASSET REAL RETURN FUND	0-6 MONTHS		6-12 MONTHS		1-5 YEARS		5-10 YEARS		> 10 YEARS		Total
Current credit spread* on underlying (in basis points)
0-100	$	—	$	—	$	442,911	$	—	$	—	$	442,911
100-200		—		—		—		687,445		—		687,445
> than 200		—		—		—		—		—		—
Total	$	—	$	—	$	442,911	$	687,445	$	—	$	1,130,356

The credit spread disclosed above for each reference obligation where the Fund is the seller of protection is a representation of the current payment/performance risk of the swap.


SEI Institutional Investments Trust / Annual Report / May 31, 2014			301

Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)

May 31, 2014

4. DERIVATIVE TRANSACTIONS

The following tables include only Funds that had exposure to more than one type of risk on derivatives held throughout the period. For Funds that held derivatives throughout the period with only one type of risk exposure, additional information can be found on the Summary Schedule of Investments, Schedule of Investments or Consolidated Schedule of Investments and the Statement of Operations or Consolidated Statements of Operations.

The fair value of derivative instruments as of May 31, 2014 was as follows:


	Asset Derivatives				Liability Derivatives
	Year ended May 31, 2014 ($ Thousands)				Year ended May 31, 2014 ($ Thousands)
	Statement of Assets and Liabilities Location	Fair Value			Statement of Assets and Liabilities Location	Fair Value
Derivatives not accounted for as hedging instruments:

World Equity Ex-US Fund
Equity contracts	Net Assets — Unrealized appreciation on futures contracts	$	1,222	*	Net Assets — Unrealized depreciation on futures contracts	$	259	*
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts		224		Unrealized loss on forward foreign currency contracts		645

Total Derivatives not accounted for as hedging instruments		$	1,446			$	904

Core Fixed Income Fund
Interest rate contracts	Net Assets — Unrealized appreciation on futures contracts	$	1,704	*	Net Assets — Unrealized depreciation on futures contracts	$	2,455	*
	Net Assets — Unrealized appreciation on swap contracts		2,164	†	Net Assets — Unrealized depreciation on swap contracts		1,716	†
	Options purchased, at value		—		Options written, at value		1,152
	Swaptions purchased, at value		2,373		Swaptions written, at value		471
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts		1,202		Unrealized loss on forward foreign currency contracts		63
Credit contracts	Net Assets — Unrealized appreciation on swap contracts		118	†	Net Assets — Unrealized depreciation on swap contracts		—

Total Derivatives not accounted for as hedging instruments		$	7,561			$	5,857

Long Duration Fund
Interest rate contracts	Net Assets — Unrealized appreciation on futures contracts	$	466	*	Net Assets — Unrealized depreciation on futures contracts	$	439	*
	Net Assets — Unrealized appreciation on swap contracts		585	†	Net Assets — Unrealized depreciation on swap contracts		273	†
Credit contracts	Net Assets — Unrealized depreciation on swap contracts		—		Net Assets — Unrealized depreciation on swap contracts		245	†

Total Derivatives not accounted for as hedging instruments		$	1,051			$	957

Emerging Markets Debt Fund
Equity contracts	Net Assets — Unrealized appreciation on futures contracts	$	7	*	Net Assets — Unrealized depreciation on futures contracts	$	233	*
Interest rate contracts	Net Assets — Unrealized appreciation on swap contracts		1,125	†	Net Assets — Unrealized depreciation on swap contracts		894	†
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts		8,631		Unrealized loss on forward foreign currency contracts		6,071
	Net Assets — Unrealized appreciation on swap contracts		—		Net Assets — Unrealized depreciation on swap contracts		65	†

Total Derivatives not accounted for as hedging instruments		$	9,763			$	7,263

Dynamic Asset Allocation Fund
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts	$	8,395		Unrealized loss on forward foreign currency contracts	$	44
Equity contracts	Options purchased, at value		541		Options written, at value		—

Total Derivatives not accounted for as hedging instruments		$	8,936			$	44

Multi-Asset Real Return Fund
Equity contracts	Net Assets — Unrealized appreciation on futures contracts	$	—		Net Assets — Unrealized depreciation on futures contracts	$	789	*
Interest rate contracts	Net Assets — Unrealized appreciation on futures contracts		—		Net Assets — Unrealized depreciation on futures contracts		155	*
	Net Assets — Unrealized appreciation on swap contracts		219	†	Net Assets — Unrealized depreciation on swap contracts		338	†
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts		95		Unrealized loss on forward foreign currency contracts		99
Credit contracts	Net Assets — Unrealized appreciation on swap contracts		25	†	Net Assets — Unrealized depreciation on swap contracts		—
Commodity contracts	Net Assets — Unrealized appreciation on futures contracts		2,338	*	Net Assets — Unrealized depreciation on futures contracts		4,011	*

Total Derivatives not accounted for as hedging instruments		$	2,677			$	5,392

Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets & Liabilities.

†

Includes cumulative appreciation/depreciation of swap contracts as reported in the Schedules of Investments. Market Value is reported within the Statements of Assets & Liabilities for swap contracts that have paid premiums.


302		SEI Institutional Investments Trust / Annual Report / May 31, 2014

The effect of derivative instruments on the Statements of Operations for the year ended May 31, 2014.

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	$	—		$	—		$	(154	)	$	—		$	(154	)
Equity contracts		—			32,754			—			—			32,754
Total	$	—		$	32,754		$	(154	)	$	—		$	32,600
Core Fixed Income Fund
Interest rate contracts	$	1,435		$	5,058		$	—		$	476		$	6,969
Foreign exchange contracts		—			—			(2,183	)		—			(2,183	)
Credit contracts		—			—			—			115			115
Total	$	1,435		$	5,058		$	(2,183	)	$	591		$	4,901
Long Duration Fund
Interest rate contracts	$	—		$	2,319		$	—		$	(208	)	$	2,111
Credit contracts		—			—			—			(124	)		(124	)
Total	$	—		$	2,319		$	—		$	(332	)	$	1,987
Emerging Markets Debt Fund
Interest rate contracts	$	—		$	(479	)	$	—		$	(134	)	$	(613	)
Foreign exchange contracts		(632	)		—			(3,849	)		—			(4,481	)
Equity contracts		—			—			—			(6,997	)		(6,997	)
Total	$	(632	)	$	(479	)	$	(3,849	)	$	(7,131	)	$	(12,091	)
Dynamic Asset Allocation Fund
Foreign exchange contracts	$	(2,300	)	$	—		$	(26,981	)	$	—		$	(29,281	)
Equity contracts		(1,745	)		(18,387	)		—			—			(20,132	)
Total	$	(4,045	)	$	(18,387	)	$	(26,981	)	$	—		$	(49,413	)
Multi-Asset Real Return Fund
Interest rate contracts	$	—		$	(645	)	$	—		$	54		$	(591	)
Foreign exchange contracts		—			—			(251	)		—			(251	)
Commodity contracts		(150	)		8,323			—			2,836			11,009
Equity contracts		(619	)		(161	)		—			(11,270	)		(12,050	)
Credit contracts		—			—			—			(29	)		(29	)
Total	$	(769	)	$	7,517		$	(251	)	$	(8,409	)	$	(1,912	)

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	$	—		$	—		$	—		$	(421	)	$	—		$	(421	)
Equity contracts		—			—			965			—			—			965
Total	$	—		$	—		$	965		$	(421	)	$	—		$	544
Core Fixed Income Fund
Interest rate contracts	$	(399	)	$	(381	)	$	(3,748	)	$	—		$	(671	)	$	(5,199	)
Foreign exchange contracts		—			—			—			(286	)		—			(286	)
Equity contracts		—			—			—			—			—			—
Credit contracts		—			—			—			—			191			191
Total	$	(399	)	$	(381	)	$	(3,748	)	$	(286	)	$	(480	)	$	(5,294	)
Long Duration Fund
Interest rate contracts	$	—		$	—		$	510		$	—		$	(949	)	$	(439	)
Credit contracts		—			—			—			—			629			629
Total	$	—		$	—		$	510		$	—		$	(320	)	$	190
Emerging Markets Debt Fund
Interest rate contracts	$	—		$	—		$	—		$	—		$	478		$	478
Foreign exchange contracts		174			—			—			782			(65	)		891
Equity contracts		—			—			(226	)		—			544			318
Total	$	174		$	—		$	(226	)	$	782		$	957		$	1,687
Dynamic Asset Allocation Fund
Foreign exchange contracts	$	—		$	—		$	—		$	1,398		$	—		$	1,398
Equity contracts		—			(2,569	)		—			—			—			(2,569	)
Total	$	—		$	(2,569	)	$	—		$	1,398		$	—		$	(1,171	)
Multi-Asset Real Return Fund
Interest rate contracts	$	—		$	—		$	(278	)	$	—		$	(136	)	$	(414	)
Foreign exchange contracts		—			—			—			(1,313	)		—			(1,313	)
Credit contracts		—			—			—			—			3			3
Equity contracts		—			67			(789	)		—			(632	)		(1,354	)
Commodity contracts		—			—			(1,673	)		—			—			(1,673	)
Total	$	—		$	67		$	(2,740	)	$	(1,313	)	$	(765	)	$	(4,751	)


SEI Institutional Investments Trust / Annual Report / May 31, 2014			303

Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)

May 31, 2014

A Fund is subject to various netting arrangements with select counterparties (“Master Agreements”). Master Agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization that improves legal certainty. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different Master Agreement, resulting in the need for multiple agreements with a single counterparty. As the Master Agreements are specific to unique operations of different asset types, they allow a Fund to close out and net its total exposure to a specific counterparty entity in the event of a default with respect to all the transactions governed under a single agreement with a specific counterparty entity.

Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under the Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold, which typically ranges from zero to $250,000 depending on the counterparty and the type of Master Agreement. United States Treasury Securities and U.S. dollar cash are generally the preferred forms of collateral. Securities and cash pledged as collateral are reflected as

assets on the Statements of Assets and Liabilities/Consolidated Statements of Assets and Liabilities as either a component of investments at value (securities) or deposits due from counterparties (cash). Cash collateral received is not typically held in a segregated account and as such is reflected as a liability on the Statements of Assets and Liabilities/Consolidated Statements of Assets and Liabilities as deposits due to counterparties. The market value of any securities received as collateral is not reflected as a component of net asset value. A Fund’s overall exposure to counterparty risk can change substantially within a short period, as it is affected by each transaction subject to the relevant Master Agreement.

Customer Account Agreements and related addendums govern exchange traded derivatives transactions such as futures, options on futures, and centrally cleared swaps. Exchange traded derivative transactions require posting of initial margin as determined by each relevant clearing agency which is segregated at a broker account registered with the Commodities Futures Trading Commission (CFTC), or the applicable regulator. In the US, counterparty risk is significantly reduced as creditors of the futures broker do not have claim to Fund assets in the segregated account. Additionally, portability of exposure in the event of default further reduces risk to the Funds. Variation margin, or changes in market value, are exchanged daily, but may not be netted between futures and cleared OTC derivatives.

The following is a summary of the market value and variation margin of exchange-traded or centrally cleared financial derivative instruments of the Funds as of May 31, 2014 ($ Thousands):


	Financial Derivative Assets								Financial Derivative Liabilities
	Market value		Variation Margin Asset						Market value		Variation Margin Liability
Fund	Purchased Options/ Swaptions		Futures		Swap Agreements		Total		Written Options/ Swaptions		Futures		Swap Agreements		Total
Large Cap Fund	$	—	$	40	$	—	$	40	$	—	$	24	$	—	$	24
Large Cap Diversified Alpha Fund		—		10		—		10		—		—		—		—
Large Cap Disciplined Equity Fund		—		138		—		138		—		—		—		—
Large Cap Index Fund		—		61		—		61		—		23		—		23
S&P 500 Index Fund		—		26		—		26		—		—		—		—
Extended Market Index Fund		—		—		—		—		—		37		—		37
Small Cap Fund		—		—		—		—		—		189		—		189
Small Cap II Fund		—		—		—		—		—		51		—		51
Small/Mid Cap Equity Fund		—		—		—		—		—		74		—		74
U.S. Managed Volatility Fund		—		53		—		53		—		—		—		—
World Equity Ex-US Fund		—		55		—		55		—		247		—		247
Screened World Equity Ex-US Fund		—		1		—		1		—		5		—		5
Opportunistic Income Fund		—		79		—		79		—		—		—		—
Core Fixed Income Fund		2,373		516		22		2,911		1,623		327		49		1,999
High Yield Bond Fund		—		—		—		—		—		18		—		18
Long Duration Fund		—		107		—		107		—		240		—		240
Long Duration Corporate Bond Fund		—		110		—		110		—		200		—		200
Ultra Short Duration Bond Fund		—		10		—		10		—		—		—		—
Emerging Markets Debt Fund		—		36		—		36		—		28		—		28
Real Return Fund		—		—		—		—		—		—		—		—
Dynamic Asset Allocation Fund		541		—		—		541		—		—		—		—
Multi-Asset Real Return Fund		—		29		24		53		—		1,034		23		1,057
Total Exchange-Traded or Centrally Cleared	$	2,914	$	1,271	$	46	$	4,231	$	1,623	$	2,497	$	72	$	4,192


304		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Securities with an aggregate marked value of $72,755,626 have been pledged as collateral for exchange-traded and centrally cleared derivative instruments as of May 31, 2014.

International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern OTC financial derivative transactions entered into by a Fund and select counterparties. ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral

and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to terminate early could be material to the financial statements. In limited circumstances, the ISDA Master Agreement may contain additional provisions that add additional counterparty protection beyond coverage of existing daily exposure if the counterparty has a decline in credit quality below a predefined level. These amounts, if any, may be segregated with a third party custodian.

The following is a summary by derivative type of the market value of OTC financial derivative instruments and collateral (received)/pledged as of May 31, 2014 ($ Thousands):


	Financial Derivative Assets								Finanical Derivative Liabilities
Fund	Forward Foreign Currency Contracts		Purchased Options and Swaptions		Swap Agreements		Total Over the Counter		Forward Foreign Currency Contracts		Written Options and Swaptions		Swap Agreements		Reverse Repurchase Agreements		Total Over the Counter		Net Market Value of OTC Derivatives			Collateral (Received)/ Pledged			Net Exposures⁽¹⁾
World Equity Ex-US Fund	$	224	$	—	$	—	$	224	$	645	$	—	$	—	$	—	$	645	$	(421	)	$	—		$	(421	)
Core Fixed Income Fund		1,202		—		1,880		3,082		63		—		842		—		905		2,177			(247	)		1,930	��
Emerging Markets Debt Fund		8,631		—		1,125		9,756		6,071		—		960		—		7,031		2,725			—			2,725
High Yield Bond Fund		—		—		—		—		—		—		409		—		409		(409	)		—			(409	)
Long Duration Fund		—		—		585		585		—		—		245		—		245		340			(48	)		292
Dynamic Asset Allocation Fund		8,395		—		—		8,395		44		—		—		—		44		8,351			—			8,351
Multi-Asset Real Return Fund		95		—		90		185		99		—		8		97,202		97,309		(97,124	)		97,202	⁽²⁾		78
Total Over the Counter	$	18,547	$	—	$	3,680	$	22,227	$	6,922	$	—	$	2,464	$	97,202	$	106,588

(1)

Net Exposures represents the net receivable/(payable) that would be due from /to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity.

(2)

Excess collateral received is not shown for financial reporting purposes.

Securities with an aggregate market value of $0 have been pledged and $0 have been received as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of May 31, 2014.

Written options transactions entered into during the year ended May 31, 2014, are summarized as follows:


Core Fixed Income Fund
	Number of Contracts			Premium ($ Thousands)
Balance at beginning of period		7,020,776		$	304
Written		15,985,931			2,353
Expired		(15,982,108	)		(804	)
Closing buys		(3,450	)		(1,143	)
Balance at end of period		7,021,149		$	710


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 May 31, 2014, the Funds had cash and/or securities at least equal to the value of written options.

5. BASIS FOR CONSOLIDATION FOR THE DYNAMIC ASSET ALLOCATION AND MULTI-ASSET REAL RETURN FUNDS

The Consolidated Summary Schedule of Investments, Consolidated Schedule of Investments, Consolidated Statements of Assets and Liabilities, Consolidated Statements of Operations, Consolidated Statements of Changes in Net Assets, Consolidated Statement of Cash Flows, and the Consolidated Financial Highlights of the Dynamic Asset Allocation and Multi-Asset Real Return Funds include the accounts of their respective Subsidiaries. All intercompany accounts and transactions have been eliminated in consolidation for the Funds. The Subsidiaries have a fiscal year end of May 31 for financial statement consolidation purposes and a nonconforming tax year end of April 30.

The Subsidiaries are classified as controlled foreign corporations under the Internal Revenue Code of 1986 (“IRC”). The Subsidiaries taxable income is included in the calculation of the Funds’ taxable income. Net losses of the Subsidiaries are not deductible by the Funds either in the current period or carried forward to future periods.

The Dynamic Asset Allocation and Multi-Asset Real Return Funds may invest up to 25% of their total assets in their respective Subsidiary.


SEI Institutional Investments Trust / Annual Report / May 31, 2014			305

Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)

May 31, 2014

A summary of the Funds’ investments in the Subsidiaries are as follows:


	INCEPTION DATE OF SUBSIDIARY		SUBSIDIARY NET ASSETS AT MAY 31, 2014 ($ THOUSANDS)		% OF TOTAL NET ASSETS AT MAY 31, 2014
Dynamic Asset Allocation Commodity Strategy Subsidiary, Ltd.		January 28, 2014	$	6,440		0.4	%
Multi-Asset Real Return Commodity Strategy Subsidiary, Ltd.		June 27, 2013		127,714		17.8

6. INVESTMENT ADVISORY, ADMINISTRATION AND DISTRIBUTION AGREEMENTS, INVESTMENT SUB-ADVISORY AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

Investment Advisory, Administration and Distribution Agreements — 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 year ended May 31, 2014, the Administrator has voluntarily agreed to waive all of its fee. The Funds’ Administrator may discontinue all or part of these voluntary waiver at any time.

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 plans to voluntarily waive a portion of its fees in order to keep investment advisory fees at a specified level. The Funds’ Adviser 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		0.40	%		0.26	%
Large Cap Diversified Alpha Fund		0.40			0.31
Large Cap Disciplined Equity Fund		0.40			0.18
Large Cap Index Fund		0.17			0.06
S&P 500 Index Fund		0.03			—
Extended Market Index Fund		0.12			0.06
Small Cap Fund		0.65			0.54
Small Cap II Fund		0.65			0.59
Small/Mid Cap Equity Fund		0.65			0.50
U.S. Managed Volatility Fund		0.65			0.35
World Equity Ex-US Fund		0.55			0.45
Screened World Equity Ex-US Fund		0.65			0.80
Opportunistic Income Fund		0.45			0.41
Core Fixed Income Fund		0.30			0.14
High Yield Bond Fund		0.4875			0.35
Long Duration Fund		0.30			0.20
Long Duration Corporate Bond Fund		0.30			0.20
Ultra Short Duration Bond Fund		0.15			0.18
Emerging Markets Debt Fund		0.85			0.55
Real Return Fund		0.22			0.20
Dynamic Asset Allocation Fund		0.60			0.50
Multi-Asset Real Return Fund		0.55			0.40

As of May 31, 2014, 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

Jackson Square Partners, LLC

LSV Asset Management

Waddell & Reed Investment Management Company

Large Cap Diversified Alpha Fund

AJO, L.P.

Brandywine Global Investment Management, LLC

Jackson Square Partners, LLC

Parametric Portfolio Associates LLC

Large Cap Disciplined Equity Fund

Analytic Investors, LLC

INTECH Investment Management, LLC

Lazard Asset Management LLC

Oppenheimer Funds, Inc.

Quantitative Management Associates, LLC

Large Cap Index Fund

SSgA Funds Management, Inc.

S&P 500 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

Montibus Capital Management, LLC

Robeco Investment Management, Inc.

Security Capital Research & Management Incorporated

William Blair & Company, LLC

Small Cap II Fund

AllianceBernstein L.P.

AQR Capital Management, LLC

Fiduciary Management Associates, LLC

Lee Munder Capital Group, LLC

Montibus Capital 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

Montibus Capital Management, LLC

Robeco Investment Management, Inc.

Security Capital Research & Management Incorporated

Wellington Management Company, LLP

William Blair & Company, LLC


306		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Investment Sub-Adviser

U.S. Managed Volatility Fund

AJO, L.P.

Analytic Investors, LLC

LSV Asset Management

World Equity Ex-US Fund

Acadian Asset Management LLC

Bailie Gifford Overseas, Ltd

EARNEST Partners, LLC

JO Hambro Capital Management Limited

McKinley Capital Management, LLC

NFJ Investment Group LLC

Thornburg Investment Management Inc

Screened World Equity Ex-US Fund

Acadian Asset Management LLC

EARNEST Partners, LLC

McKinley Capital Management, LLC

Thornburg Investment Management Inc

Opportunistic Income Fund

Ares Management, LLC

Brookfield Investment Management Inc.

Declaration Management & Research, 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

Benefit Street Partners, LLC

Brigade Capital Management, LLC

Delaware Investments Fund Advisers

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

Investec Asset Management Ltd.

Neuberger Berman Fixed Income, LLC

Stone Harbor Investment Partners, L.P.

Dynamic Asset Allocation Fund

SSgA Funds Management, Inc.

Investment Sub-Adviser

Multi-Asset Real Return Fund

AllianceBernstein L.P.

QS Investors, LLC

SEI Investments Distribution Co. (the “Distributor”), a wholly owned subsidiary of SEI Investments Company (“SEI”), serves as each Fund’s Distributor pursuant to a Distribution Agreement with the Trust.

Other — The Distribution Agreement between the Distributor and the Trust provides that the Distributor may receive compensation on fund transactions effected for the Trust in accordance with Securities and Exchange Commission (“SEC”) rules. Accordingly, it is expected that fund transactions may result in brokerage commissions being paid to the Distributor. The SEC rules require that such commissions not exceed usual and customary commissions.

Such commissions for the year ended May 31, 2014, were as follows ($ Thousands):


Large Cap Fund	$	82
Large Cap Diversified Alpha Fund		15
Large Cap Disciplined Equity Fund		23
Large Cap Index Fund		8
S&P 500 Index Fund		1
Small Cap Fund		11
Small Cap II Fund		1
Small/Mid Cap Equity Fund		19
World Equity Ex-US Fund		232

Payments to Affiliates — Certain officers and/or trustees of the Trust are also officers and/or Directors 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 Distributor or Administrator.

A portion of the services provided by the Chief Compliance Officer (“CCO”) and his staff, whom are employees of the Administrator, are paid for by the Trust as incurred. The services include regulatory oversight of the Trust’s Adviser, sub-advisers and service providers as required by SEC regulations. The CCO’s services have been approved by and are reviewed annually by the Board.

LSV Asset Management (partially-owned subsidiary of SIMC) serves as a sub-adviser to the Large Cap, Small Cap, Small/Mid Cap Equity and U.S. Managed Volatility Funds. For this service LSV Asset Management is entitled to receive a fee from SIMC. Such fees for the year ended May 31, 2014, were as follows ($ Thousands):


Large Cap Fund	$	445
Small Cap Fund		279
Small/Mid Cap Equity Fund		1,127
U.S. Managed Volatility Fund		1,272

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


SEI Institutional Investments Trust / Annual Report / May 31, 2014			307

Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)

May 31, 2014

expenses, can be found on the Statements of Operations and the effect on each Fund’s expense ratio, as a percentage of each Fund’s average daily net assets for the year ended May 31, 2014, can be found on the Financial Highlights.

Investment in Affiliated Security — The Funds may invest excess cash in the SEI Daily Income Trust (“SDIT”) 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.

The following is summary of the transactions with affiliates for the year ended May 31, 2014 ($ Thousands):


SEI LIBOR Plus Portfolio	Purchases at Cost		Proceeds from Sales			Value 5/31/2014		Dividend Income
Large Cap Disciplined Equity Fund	$	—	$	(8,660	)	$	—	$	—
Opportunistic Income Fund		117,770		(732,553	)		—		—
SEI Liquidity Fund
Large Cap Fund		438,282		(448,863	)		76,117		135
Large Cap Disciplined Equity Fund		1,143,014		(1,193,680	)		160,098		681
Large Cap Index Fund		532,307		(562,877	)		94,496		208
S&P 500 Index Fund		34,549		(21,137	)		13,412		2
Extended Market Index Fund		129,939		(90,180	)		53,160		263
Small Cap Fund		170,102		(244,426	)		98,954		752
Small Cap II Fund		60,350		(80,420	)		21,060		132
Small/Mid Cap Equity Fund		490,534		(711,149	)		246,662		1,269
World Equity Ex-US Fund		2,260,137		(2,212,650	)		618,024		4,109
Core Fixed Income Fund		2,364,345		(2,143,259	)		406,901		204
Emerging Markets Debt Fund		52,279		(51,820	)		5,623		24
SDIT Prime Obligation Fund
Large Cap Fund		979,447		(980,169	)		28,268		9
Large Cap Diversified Alpha Fund		247,736		259,591			4,984		—
Large Cap Disciplined Equity Fund		1,897,013		(1,929,193	)		115,685		16
Large Cap Index Fund		398,202		(416,493	)		29,960		3
S&P 500 Index Fund		126,216		118,016			8,200		1
Extended Market Index Fund		253,650		(248,423	)		8,827		1
Small Cap Fund		346,468		(357,016	)		16,638		3
Small Cap II Fund		261,137		(260,301	)		10,955		52
Small/Mid Cap Equity Fund		935,280		(953,888	)		70,040		7
U.S. Managed Volatility Fund		355,256		(355,911	)		41,521		3
World Equity Ex-US Fund		994,693		(907,174	)		112,827		14


SDIT Prime Obligation Fund	Purchases at Cost		Proceeds from Sales			Value 5/31/2014		Dividend Income
Screened World Equity Ex-US Fund	$	15,015	$	(15,627	)	$	1,978	$	—
Opportunistic Income Fund		1,021,854		(1,050,358	)		39,918		11
Core Fixed Income Fund		4,126,961		(4,075,439	)		347,336		—
High Yield Bond Fund		978,676		(966,338)			69,796		7
Long Duration Fund		1,828,831		(1,874,193	)		21,523		4
Long Duration Corporate Bond Fund		1,134,870		(1,131,163	)		34,009		3
Ultra Short Duration Bond Fund		282,546		(280,371	)		2,823		1

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 annually reviewed by the SEI Funds’ Board of Trustees. The interest rate imposed on interfund loans is the average of the Repo Rate and the Bank Loan Rate.

During the year ended May 31, 2014, 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		1		0.30	%
Large Cap Disciplined Equity Fund		03/03/2014		14,250		—		0.24
Small Cap II Fund		07/02/2013		7,500		—		0.35
Small Cap II Fund		10/01/2013		7,700		—		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 May 31, 2014, the Trust had no outstanding borrowings.

7. CAPITAL SHARE TRANSACTIONS

Capital share transactions for the Funds were as follows (Thousands):


	Large Cap Fund						Large Cap Diversified Alpha Fund						Large Cap Disciplined Equity Fund						Large Cap Index Fund
	2014			2013			2014			2013			2014			2013			2014			2013
Class A:
Shares Issued		32,418			22,903			1,926			4,485			33,938			86,025			2,690			8,907
Shares Issued In Lieu of Dividends and Distributions		10,227			4,520			222			533			25,395			11,879			458			438
Shares Redeemed		(31,819	)		(40,735	)		(18,989	)		(12,403	)		(162,350	)		(196,296	)		(7,260	)		(4,657	)
Increase (Decrease) in Net Assets Derived from Class A Transactions		10,826			(13,312	)		(16,841	)		(7,385	)		(103,017	)		(98,392	)		(4,112	)		4,688


308		SEI Institutional Investments Trust / Annual Report / May 31, 2014


	S&P 500 Index Fund⁽²⁾			Extended Market Index Fund⁽³⁾						Small Cap Fund						Small Cap II Fund
	2014			2014			2013			2014			2013			2014			2013
Class A:
Shares Issued		83,355			29,988			16,710			3,374			9,157			11,230			23,779
Shares Issued In Lieu of Dividends and Distributions		243			549			8			305			670			2,046			194
Shares Redeemed		(5,245	)		(6,395	)		(558	)		(15,632	)		(21,852	)		(11,200	)		(12,307	)
Increase (Decrease) in Net Assets Derived from Class A Transactions		78,353			24,142			16,160			(11,953	)		(12,025	)		2,076			11,666


	Small/Mid Cap Equity Fund						U.S. Managed Volatility Fund						World Equity Ex-US Fund
	2014			2013			2014			2013			2014			2013
Class A:
Shares Issued		14,441			32,351			15,975			41,088			123,974			180,161
Shares Issued In Lieu of Dividends and Distributions		22,382			3,021			8,729			3,132			11,661			10,891
Shares Redeemed		(56,669	)		(58,681	)		(25,465	)		(22,975	)		(151,258	)		(153,346	)
Increase (Decrease) in Net Assets Derived from Class A Transactions		(19,846	)		(23,309	)		(761	)		21,245			(15,623	)		37,706


	Screened World Equity Ex-US Fund						Opportunistic Income Fund						Core Fixed Income Fund
	2014			2013			2014			2013			2014			2013
Class A:
Shares Issued		1,770			1,414			132,830			97,023			183,435	⁽¹⁾		275,230	⁽¹⁾
Shares Issued In Lieu of Dividends and Distributions		90			100			3,757			1,042			18,787			27,671
Shares Redeemed		(1,120	)		(1,242	)		(31,325	)		(4,947	)		(256,784	)		(353,884	)
Increase (Decrease) in Net Assets Derived from Class A Transactions		740			272			105,262			93,118			(54,562	)		(50,983	)


	High Yield Bond Fund						Long Duration Fund						Long Duration Corporate Bond Fund⁽⁴⁾						Ultra Short Duration Bond Fund
	2014			2013			2014			2013			2014			2013			2014			2013
Class A:
Shares Issued		42,553			63,543			155,849			121,715	⁽¹⁾		86,243	⁽¹⁾		231,742	⁽¹⁾		43,329			56,399	⁽¹⁾
Shares Issued In Lieu of Dividends and Distributions		16,744			14,315			19,446			41,405			12,811			8,201			575			395
Shares Redeemed		(56,812	)		(67,810	)		(101,757	)		(353,166	)⁽¹⁾		(32,461	)		(30,100	)		(24,460	)		(34,705	)
Increase (Decrease) in Net Assets Derived from Class A Transactions		2,485			10,048			73,538			(190,046	)		66,593			209,843			19,444			22,089


	Emerging Markets Debt Fund						Real Return Fund						Dynamic Asset Allocation Fund						Multi-Asset Real Return Fund
	2014			2013			2014			2013			2014			2013			2014			2013
Class A:
Shares Issued		51,153			37,986			7,016			4,262			35,745			42,834			52,354			21,473
Shares Issued In Lieu of Dividends and Distributions		5,793			12,136			284			918			1,766			4,747			—			112
Shares Redeemed		(34,622	)		(22,375	)		(11,700	)		(7,038	)		(18,988	)		(8,540	)		(8,423	)		(3,645	)
Increase (Decrease) in Net Assets Derived from Class A Transactions		22,324			27,747			(4,400	)		(1,858	)		18,523			39,041			43,931			17,940

(1)

Includes subscriptions/redemptions as a result of an in-kind transfer of securities (see Note 11).

(2)

Fund commenced operations on December 18, 2013.

(3)

Fund commenced operations on February 28, 2013.

(4)

Fund commenced operations on June 29, 2012.


SEI Institutional Investments Trust / Annual Report / May 31, 2014			309

Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)

May 31, 2014

8. INVESTMENT TRANSACTIONS

The cost of security purchases and proceeds from the sale and maturities of securities other than temporary cash investments, during the year ended May 31, 2014, were as follows:


	U.S. Gov’t ($ Thousands)		Other ($ Thousands)		Total ($ Thousands)
Large Cap Fund
Purchases	$	—	$	1,232,820	$	1,232,820
Sales		—		1,198,713		1,198,713
Large Cap Diversified Alpha Fund
Purchases		—		268,326		268,326
Sales		—		475,176		475,176
Large Cap Disciplined Equity Fund
Purchases		—		5,204,002		5,204,002
Sales		—		6,771,136		6,771,136
Large Cap Index Fund
Purchases		—		203,562		203,562
Sales		—		830,635		830,635
S&P 500 Index Fund
Purchases		—		802,688		802,688
Sales		—		16,347		16,347
Extended Market Index Fund
Purchases		—		348,514		348,514
Sales		—		60,178		60,178
Small Cap Fund
Purchases		—		458,638		458,638
Sales		—		669,059		669,059
Small Cap II Fund
Purchases		—		233,224		233,224
Sales		—		244,937		244,937
Small/Mid Cap Fund
Purchases		—		1,012,884		1,012,884
Sales		—		1,672,448		1,672,448
U.S. Managed Volatility Fund
Purchases		—		804,993		804,993
Sales		—		875,313		875,313
World Equity Ex-US Fund
Purchases		—		2,855,074		2,855,074
Sales		—		3,047,039		3,047,039
Screened World Equity Ex-US Fund
Purchases		—		35,353		35,353
Sales		—		28,791		28,791
Opportunistic Income Fund
Purchases		261,985		1,006,587		1,268,572
Sales		97,700		905,221		1,002,921
Core Fixed Income Fund
Purchases		17,560,695		1,644,641		19,205,336
Sales		17,828,722		1,850,448		19,679,170
High Yield Bond Fund
Purchases		—		1,078,036		1,078,036
Sales		—		1,095,088		1,095,088
Long Duration Fund
Purchases		2,705,500		1,511,600		4,217,100
Sales		2,747,857		891,700		3,639,557
Long Duration Corporate Bond Fund
Purchases		1,355,427		1,940,796		3,296,223
Sales		1,320,098		1,382,715		2,702,813
Ultra Short Duration Bond Fund
Purchases		255,775		295,568		551,343
Sales		242,984		203,118		446,102
Emerging Markets Debt Fund
Purchases		—		1,609,001		1,609,001
Sales		—		1,301,993		1,301,993


	U.S. Gov’t ($ Thousands)		Other ($ Thousands)		Total ($ Thousands)
Real Return Fund
Purchases	$	112,406	$	—	$	112,406
Sales		156,528		—		156,528
Dynamic Asset Allocation Fund
Purchases		—		347,685		347,685
Sales		—		151,364		151,364
Multi-Asset Real Return Fund
Purchases		473,175		554,396		1,027,571
Sales		266,326		423,890		690,216

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.

The Dynamic Asset Allocation and Multi-Asset Real Return Funds have each requested private letter rulings from the Internal Revenue Service (“IRS”) concluding that the income generated from their investment in their respective Subsidiaries, each of which invests in commodity-linked derivatives, will be “qualifying income” for regulated investment company (“RIC”) qualification purposes, regardless of whether actual distributions are made to the Funds by the respective Subsidiary.

In July 2011, the IRS suspended the issuance of private letter rulings regarding the investment by RICs into controlled foreign corporations which principally invest in commodities, such as the Subsidiaries, indicating that it was reconsidering its policies surrounding the issuance of these rulings. The IRS subsequently stated that it intends to issue public guidance regarding the use of controlled foreign corporations by RICs to indirectly invest in commodities. It is unclear whether this guidance will continue to permit or somehow restrict the distributions from controlled foreign corporations to be treated as “qualifying income” for purposes of the RIC qualification rules. As a result, there can be no assurance that the IRS will grant the private letter ruling requested by the Funds. The IRS, however, has informally indicated that any guidance regarding the treatment of distributions from controlled foreign corporations will be prospective in application and provide for transition periods for affected RICs. While the private letter ruling request is pending with the IRS, the Dynamic Asset Allocation and Multi-Asset Real Return Funds have secured an opinion of counsel based on customary representations that actual distributions made to the Funds should be treated as “qualifying income.” If the IRS does issue public guidance that results in an adverse determination relating to the treatment of income and gain to the Funds from controlled foreign corporations such as the Subsidiaries, the Funds would likely need to significantly change their investment strategies, which could adversely affect such Funds.

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


310		SEI Institutional Investments Trust / Annual Report / May 31, 2014

permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gain, as appropriate, in the period that the differences arise.

Accordingly, the following permanent differences, primarily attributable to different treatment for gains and losses on paydowns of mortgage and asset-backed securities for tax purposes, defaulted bond basis adjustments, reclassification of long term capital gain distributions on Real Estate Investment Trust securities, reclassification of income and expense from swap transactions, basis adjustments for investments in partnerships, and gains and losses on passive foreign investment companies and certain foreign currency related transactions and non taxable in kind redepemption, have been reclassified to/from the following accounts as of May 31, 2014:


	Undistributed Net Investment Income (Loss) ($ Thousands)			Accumulated Realized Gain (Loss) ($ Thousands)			Paid-in Capital ($ Thousands)
Large Cap Fund	$	64		$	(64	)	$	—
Large Cap Diversified Alpha Fund		(29	)		29			—
Large Cap Disciplined Equity Fund		(51	)		(228	)		279
Large Cap Index Fund		233			(233	)		—
S&P 500 Index Fund		25			(25	)		—
Extended Market Index Fund		146			(146	)		—
Small Cap Fund		748			(748	)		—
Small Cap II Fund		140			(140	)		—
Small/Mid Cap Equity Fund		1,264			(1,264	)		—
U.S. Managed Volatility Fund		14			(14	)		—
World Equity Ex-US Fund		4,841			(4,841	)		—
Screened World Equity Ex-US Fund		113			(113	)		—
Opportunistic Income Fund		2,180			(1,948	)		(232	)
Core Fixed Income Fund		7,195			(7,195	)		—
High Yield Bond Fund		8,328			(7,307	)		(1,021	)
Long Duration Fund		(560	)		560			—
Long Duration Corporate Bond Fund		96			(96	)		—
Ultra Short Duration Fund		790			(790	)		—
Emerging Markets Debt Fund		(41,024	)		41,024			—
Real Return Fund		(1	)		1			—
Dynamic Asset Allocation Fund		(26,806	)		26,807			(1	)
Multi-Asset Real Return Fund		(11,129	)		11,380			(251	)

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, 2014 were as follows:


		Ordinary Income ($ Thousands)		Long-Term Capital Gain ($ Thousands)		Return of Capital ($ Thousands)		Total ($ Thousands)
Large Cap Fund	2014	$	69,042	$	155,872	$	—	$	224,914
	2013		41,342		42,893		—		84,235
Large Cap Diversified Alpha Fund	2014		2,968		—		—		2,968
	2013		5,999		—		—		5,999
Large Cap Disciplined Equity Fund	2014		70,879		284,707		—		355,586
	2013		140,201		—		—		140,201
Large Cap Index Fund	2014		45,418		24,543		—		69,961
	2013		38,842		16,181		—		55,023
S&P 500 Index Fund	2014		2,597		—		—		2,597
Extended Market Index Fund	2014		6,348		302		—		6,650
	2013		84		—		—		84
Small Cap Fund	2014		6,428		—		—		6,428
	2013		10,108		—		—		10,108
Small Cap II Fund	2014		15,170		11,533		—		26,703
	2013		1,541		570		—		2,111
Small/Mid Cap Equity Fund	2014		118,792		215,732		—		334,524
	2013		25,590		15,141		—		40,731
U.S. Managed Volatility Fund	2014		56,144		63,960		—		120,104
	2013		31,318		8,220		—		39,538
World Equity Ex-US Fund	2014		149,128		—		—		149,128
	2013		119,081		—		—		119,081
Screened World Equity Ex-US Fund	2014		1,227		—		—		1,227
	2013		1,070		—		—		1,070
Opportunistic Income Fund	2014		31,408		—		—		31,408
	2013		8,743		—		—		8,743
Core Fixed Income Fund	2014		200,834		—		—		200,834
	2013		305,867		—		—		305,867
High Yield Bond Fund	2014		149,192		20,664		—		169,856
	2013		144,390		—		—		144,390


SEI Institutional Investments Trust / Annual Report / May 31, 2014			311

Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)

May 31, 2014


		Ordinary Income ($ Thousands)		Long-Term Capital Gain ($ Thousands)		Return of Capital ($ Thousands)		Total ($ Thousands)
Long Duration Fund	2014	$	150,263	$	17,995	$	—	$	168,258
	2013		351,417		45,605		—		397,022
Long Duration Corporate Bond Fund	2014		122,688		—		—		122,688
	2013		84,703		—		—		84,703
Ultra Short Duration Fund	2014		5,851		—		—		5,851
	2013		4,073		—		—		4,073
Emerging Markets Debt Fund	2014		54,928		6,233		—		61,161
	2013		106,579		40,153		—		146,732
Real Return Fund	2014		2,905		—		—		2,905
	2013		10,492		—		—		10,492
Dynamic Asset Allocation Fund	2014		24,183		—		—		24,183
	2013		36,290		17,525		—		53,815
Multi-Asset Real Return Fund	2014		—		—		—		—
	2013		888		82		194		1,164

As of May 31, 2014, 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)			Unrealized Appreciation (Depreciation) ($ Thousands)		Other Temporary Differences ($ Thousands)			Total Distributable Earnings (Accumulated Losses) ($ Thousands)
Large Cap Fund	$	26,469	$	123,383	$	—		$	—		$	597,833	$	(89	)	$	747,596
Large Cap Diversified Alpha Fund		106		—		(1,702	)		—			19,877		(233	)		18,048
Large Cap Disciplined Equity Fund		10,271		373,825		—			—			685,560		(2,687	)		1,066,969
Large Cap Index Fund		10,939		78,982		—			—			753,633		(1,535	)		842,019
S&P 500 Index Fund		3,531		651		—			—			36,937		(647	)		40,472
Extended Market Index Fund		7,395		1,134		—			—			46,124		44			54,697
Small Cap Fund		690		—		(3,975	)		—			83,527		247			80,489
Small Cap II Fund		3,894		12,419		—			—			34,138		(48	)		50,403
Small/Mid Cap Equity Fund		33,568		121,592		—			—			431,492		(256	)		586,396
U.S. Managed Volatility Fund		34,123		58,665		—			—			227,275		(1,035	)		319,028
World Equity Ex-US Fund		75,852		—		(44,151	)		—			991,950		(677	)		1,022,974
Screened World Equity Ex-US Fund		793		—		(12,740	)		—			9,313		(71	)		(2,705	)
Opportunistic Income Fund		18,038		—		(50,336	)		(1,708	)		15,141		(87	)		(18,952	)
Core Fixed Income Fund		15,570		—		(9,478	)		—			178,006		(46,601	)		137,497
High Yield Bond Fund		30,586		29,111		—			—			59,959		(10,885	)		108,771
Long Duration Fund		12,691		—		—			(14,157	)		229,156		(14,412	)		213,278
Long Duration Corporate Bond Fund		10,230		—		(21,930	)		(5,930	)		103,434		(10,294	)		75,510
Ultra Short Duration Fund		652		—		(809	)		(218	)		2,143		(665	)		1,103
Emerging Markets Debt Fund		22,214		—		(6,306	)		(17,116	)		19,795		(29,133	)		(10,546	)
Real Return Fund		1,249		—		(336	)		(675	)		956		(1,081	)		113
Dynamic Asset Allocation Fund		1,434		—		(353	)		(15,948	)		344,733		(7,752	)		322,114
Multi-Asset Real Return Fund		5,750		—		(7,388	)		(1,520	)		8,666		(1,528	)		3,980

Post-October losses represent losses realized on investment transactions from November 1, 2013 through May 31, 2014 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 2017 ($ Thousands)		Expires 2018 ($ Thousands)		Expires 2019 ($ Thousands)		Total Capital Loss Carryforwards May 31, 2014 ($ Thousands)
Large Cap Diversified Alpha Fund	$	—	$	1,702	$	—	$	1,702
Small Cap Fund		—		3,975		—		3,975
World Equity Ex-US Fund		—		44,151		—		44,151
Screened World Equity Ex-US Fund		—		12,740		—		12,740
Opportunistic Income Fund		7,753		23,512		19,071		50,336


312		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Funds are 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 * ($ Thousands)
Core Fixed Income Fund	$	4,159	$	5,319	$	9,478
Long Duration Corporate Bond Fund		3,359		18,571		21,930
Ultra Short Duration Bond Fund		465		344		809
Emerging Markets Debt Fund		6,306		—		6,306
Real Return Fund		—		336		336
Dynamic Asset Allocation Fund		—		353		353
Multi-Asset Real Return Fund		1,047		6,341		7,388

This table should be used in conjunction with the capital loss carryforwards table.

During the fiscal year ended May 31, 2014, the following Funds utilized capital loss carryforwards to offset capital gains:


	Amount Utilized ($ Thousands)
Large Cap Diversified Alpha Fund	$	76,624
Large Cap Disciplined Equity Fund		603,051
Small Cap Fund		126,540
World Equity Ex-US Fund		434,812
Screened World Equity Ex-US Fund		2,568
Opportunistic Income Fund		206

For Federal income tax purposes, the cost of securities owned at May 31, 2014, and the net realized gains or losses on securities sold for the period were not materially different from amounts reported for financial reporting purposes. These differences are primarily due to investments in partnerships, passive foreign investment companies, defaulted bond and wash sales which cannot be used for Federal income tax purposes in the current year and have been deferred for use in future years. The aggregate gross unrealized appreciation and depreciation on total investments held by the Funds at May 31, 2014, was as follows:


	Federal Tax Cost ($ Thousands)		Appreciated Securities ($ Thousands)		Depreciated Securities ($ Thousands)			Net Unrealized Appreciation (Depreciation) ($ Thousands)
Large Cap Fund	$	1,764,931	$	628,653	$	(30,909	)	$	597,744
Large Cap Diversified Alpha Fund		118,830		21,398		(1,753	)		19,645
Large Cap Disciplined Equity Fund		4,080,497		731,893		(49,020	)		682,873
Large Cap Index Fund		1,244,351		779,215		(27,117	)		752,098
S&P 500 Index Fund		809,155		45,973		(9,683	)		36,290
Extended Market Index Fund		520,642		62,723		(16,556	)		46,167
Small Cap Fund		697,563		113,855		(30,081	)		83,774
Small Cap II Fund		240,448		41,649		(7,559	)		34,090
Small/Mid Cap Equity Fund		1,648,445		474,260		(43,022	)		431,238


	Federal Tax Cost ($ Thousands)		Appreciated Securities ($ Thousands)		Depreciated Securities ($ Thousands)			Net Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. Managed Volatility Fund	$	1,009,675	$	237,450	$	(11,213	)	$	226,237
World Equity Ex-US Fund		6,413,973		1,204,637		(212,720	)		991,917
Screened World Equity Ex-US Fund		66,779		11,561		(2,319	)		9,242
Opportunistic Income Fund		1,851,775		19,333		(4,272	)		15,061
Core Fixed Income Fund		6,906,354		237,114		(59,240	)		177,874
High Yield Bond Fund		2,120,669		93,721		(33,354	)		60,367
Long Duration Fund		3,717,998		293,142		(22,251	)		270,891
Long Duration Corporate Bond Fund		2,696,697		131,312		(27,920	)		103,392
Ultra Short Duration Fund		710,216		3,066		(930	)		2,136
Emerging Markets Debt Fund		1,562,195		64,163		(47,008	)		17,155
Real Return Fund		205,959		1,443		(487	)		956
Dynamic Asset Allocation Fund		1,200,186		345,937		(7,984	)		337,953
Multi-Asset Real Return Fund		787,487		17,196		(2,291	)		14,905

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, 2014, 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 market values of the Core Fixed Income, High Yield Bond, Long Duration, Long Duration Corporate Bond, Ultra Short Duration Bond and Multi-Asset Real Return Funds’ investments will change in response to interest rate changes and other factors. During periods of falling interest rates, the values of fixed income securities generally rise. Conversely, during periods of rising interest rates, the values of such securities generally decline. Changes by recognized rating agencies in the ratings of any fixed income security and in the ability of an issuer to make payments of interest and principal may also affect the value of these investments.

The World Equity Ex-US, Screened World Equity Ex-US and Emerging Markets Debt Funds concentrate their investments in securities of foreign issuers in various countries. These investments may involve


SEI Institutional Investments Trust / Annual Report / May 31, 2014			313

Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)

May 31, 2014

certain considerations and risks not typically associated with investments in the United States, as a result of, among other factors, the possibility of future political and economic developments and the level of governmental supervision and regulation of securities markets in the respective countries.

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 — To the extent a Fund takes 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 a Fund’s fixed income securities respond to economic developments, particularly interest rate changes, as well as to perceptions about the creditworthiness of 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.

Leverage Risk — Certain Fund transactions, such as derivatives or reverse repurchase agreements, may give rise to a form of leverage. The use of leverage can amplify the effects of market volatility on the Funds’ share price and make the Funds’ returns more volatile. This is because leverage tends to exaggerate the effect of any increase or decrease in the value of the Funds’ portfolio securities. The use of leverage may also cause the Funds to liquidate portfolio positions when it would not be advantageous to do so in order to satisfy its obligations.

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 each Fund’s current prospectus for additional disclosure regarding the risks associated with investing in the Funds. The foregoing is not intended to be a complete discussion of the risks associated with the investment strategies of the Funds.

11. IN-KIND TRANSFERS OF SECURITIES

During the year ended May 31, 2014, the Core Fixed Income and Long Duration Corporate Bond 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 (Thousands)		Value ($Thousands)		Gain (Loss) ($Thousands)
Core Fixed Income Fund
8/30/2013		2,827	$	28,973	$	—
Long Duration Corporate Bond Fund
1/9/2014		9,745		91,703		—
2/19/2014		1,369		13,171		—

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 Fund
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		—
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		—


314		SEI Institutional Investments Trust / Annual Report / May 31, 2014

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.

The following is a summary of securities lending agreements held by certain Funds which would be subject to offset as of May 31, 2014 ($ Thousands):


Fund	Securities Loaned at Value		Cash Collateral Received⁽¹⁾		Net Amount
Large Cap Fund	$	74,093	$	74,093	$	—
Large Cap Disciplined Equity Fund		156,188		156,188		—
Large Cap Index Fund		92,078		92,078		—
S&P 500 Index Fund		13,232		13,232		—
Extended Market Index Fund		51,217		51,217		—
Small Cap Fund		95,315		95,315		—
Small Cap II Fund		20,267		20,267		—
Small/Mid Cap Equity Fund		238,367		238,367		—
World Equity Ex-US Fund		577,321		577,321		—
Core Fixed Income Fund		397,351		397,351		—
Emerging Markets Debt Fund		5,360		5,360		—

(1)

Excess collateral received in connection with the above securities lending transactions is not shown for financial reporting purposes. See each Fund’s Summary Schedule of Investments or Schedule of Investments for the total collateral received.

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 May 31, 2014.


SEI Institutional Investments Trust / Annual Report / May 31, 2014			315

Report of Independent Registered Public Accounting Firm

The Board of Trustees and Shareholders

SEI Institutional Investments Trust:

We have audited the accompanying statements of assets and liabilities of SEI Institutional Investments Trust (the Trust), comprised of the Large Cap Fund, Large Cap Diversified Alpha Fund, Large Cap Disciplined Equity Fund, Large Cap Index Fund, S&P 500 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 and Real Return Fund (twenty of the twenty-two funds comprising the Trust), including the schedules of investments and summary schedules of investments, as of May 31, 2014, and the related statements of operations for the year or period then ended, the statements of changes in net assets for each of the years or periods in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended. We have also audited the accompanying consolidated statements of assets and liabilities of the Dynamic Asset Allocation Fund and the Multi-Asset Real Return Fund (two of the twenty-two funds comprising the Trust), including the consolidated summary schedule of investments and consolidated schedule of investments, as of May 31, 2014, and the related consolidated statements of operations for the year then ended, the consolidated statements of changes in net assets for each of the years in the two-year period then ended, the consolidated statement of cash flows for the year then ended for the Multi-Asset Real Return Fund, and the consolidated financial highlights for each of the years or periods in the four-year period then ended. These financial statements and consolidated financial statements and financial highlights and consolidated financial highlights are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements and consolidated financial statements and financial highlights and consolidated financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of May 31, 2014, by correspondence with custodians and brokers or other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and consolidated financial statements and financial highlights and consolidated financial highlights referred to above present fairly, in all material respects, the financial position of each of the funds comprising SEI Institutional Investments Trust as of May 31, 2014, the results of their operations, the changes in their net assets, their cash flows, and the financial highlights for each of the years or periods described in the first paragraph, in conformity with U.S. generally accepted accounting principles.

LOGO

Philadelphia, Pennsylvania

July 30, 2014


316		SEI Institutional Investments Trust / Annual Report / May 31, 2014

TRUSTEES AND OFFICERS OF THE TRUST (Unaudited)

The following chart lists Trustees and Officers as of May 31, 2014.

Set forth below are the names, addresses, ages, position with the Trust, Term of Office and Length of Time Served, the principal occupations for the last five years, number of portfolios in fund complex overseen by trustee, and other directorships outside the fund complex of each of the persons currently serving as Trustees and Officers of the Trust. The Trust’s Statement of Additional Information (“SAI”) includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling 1-800-342-5734.


Name Address, and Age	Position(s) Held with Trusts	Term of Office and Length of Time Served¹	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen by Trustee²	Other Directorships Held by Trustee
INTERESTED TRUSTEES
Robert A. Nesher One Freedom Valley Drive Oaks, PA 19456 67 yrs. old	Chairman of the Board of Trustees*	since 1982	Currently performs various services on behalf of SEI for which Mr. Nesher is compensated.	99	Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, Director of SEI Global Master Fund, plc, SEI Global Assets Fund, plc, SEI Global Investments Fund, plc, SEI Investments Global, Limited, SEI Investments — Global Fund Services, Limited, SEI Investments (Europe), Limited, SEI Global Nominee Ltd., SEI Structured Credit Fund, L.P.
William M. Doran One Freedom Valley Drive Oaks, PA 19456 73 yrs. old	Trustee*	since 1982	Self-employed consultant since 2003. Partner, Morgan, Lewis & Bockius LLP (law firm) from 1976 to 2003, counsel to the Trust, SEI, SIMC, the Administrator and the Distributor. Secretary of SEI since 1978.	99	Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, Director of SEI since 1974. Director of the Distributor since 2003. Director of SEI Investments — Global Fund Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe), Limited, SEI Investments (Asia), SEI Global Nominee Ltd., Limited and SEI Asset Korea Co., Ltd.
TRUSTEES
George J. Sullivan, Jr. One Freedom Valley Drive Oaks, PA 19456 71 yrs. old	Trustee	since 1996	Retired since January 2012. Self- Employed Consultant, Newfound Consultants Inc. since April 1997- December 2011.	99	Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, State Street Navigator Securities Lending Trust, and SEI Structured Credit Fund, L.P., member of the independent review committee for SEI’s Canadian-registered mutual funds.

Messrs. Nesher and Doran are Trustees who may be deemed as “interested” persons of the Trust as that term is defined in the 1940 Act by virtue of their affiliation with SIMC and the Trust’s Distributor.

Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust’s Declaration of Trust.

The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, Adviser Managed Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Liquid Asset Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust and New Covenant Funds.


SEI Institutional Investments Trust / Annual Report / May 31, 2014			317

TRUSTEES AND OFFICERS OF THE TRUST (Unaudited)


Name Address, and Age	Position(s) Held with Trusts	Term of Office and Length of Time Served¹	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen by Trustee²	Other Directorships Held by Trustee
TRUSTEES (continued)
Nina Lesavoy One Freedom Valley Drive Oaks, PA 19456 56 yrs. old	Trustee	since 2003	Founder and Managing Director, Avec Capital since 2008. Managing Director, Cue Capital from March 2002-March 2008.	99	Director of SEI Structured Credit Fund, L.P.
James M. Williams One Freedom Valley Drive Oaks, PA 19456 66 yrs. old	Trustee	since 2004	Vice President and Chief Investment Officer, J. Paul Getty Trust, Non-Profit Foundation for Visual Arts, since December 2002.	99	Trustee/Director of Ariel Mutual Funds, and SEI Strucured Credit Fund, L.P.
Mitchell A. Johnson One Freedom Valley Drive Oaks, PA 19456 72 yrs. old	Trustee	Since 2007	Private Investor since 1994.	99	Trustee of the Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, and Bishop Street Funds
Hubert L. Harris, Jr. One Freedom Valley Drive Oaks, PA 19456 70 yrs. old	Trustee	since 2008	Retired since December 2005. Chief Executive Officer and Chair of the Board of Directors, AMVESCAP Retirement, Inc., 1997-December 2005. Chief Executive Officer, INVESCO North America, September 2003-December 2005.	99	Director of Colonial BancGroup, Inc. and St. Joseph’s Translational Research Institute; Chair of the Board of Trustees, Georgia Tech Foundation, Inc. (nonprofit corporation); Board of Councilors of the Carter Center.
OFFICERS
Robert A. Nesher One Freedom Valley Drive Oaks, PA 19456 67 yrs. old	President and CEO	since 2005	Currently performs various services on behalf of SEI for which Mr. Nesher is compensated.	N/A	N/A
Peter A. Rodriguez One Freedom Valley Drive Oaks, PA 19456 52 yrs. old	Controller and Chief Financial Officer	since 2011	Director, Fund Accounting, SEI Investments Global Funds Services (March 2011, September 2002 to March 2005 and 1997- 2002); Director, Mutual Fund Trading, SEI Private Trust Company (May 2009 to February 2011); Director, Asset Data Services, Global Wealth Services (June 2006 to April 2009); Director, Portfolio Accounting, SEI Investments Global Funds Services (March 2005 to June 2006)	N/A	N/A
Russell Emery One Freedom Valley Drive Oaks, PA 19456 51 yrs. old	Chief Compliance Officer	since 2006	Chief Compliance Officer of SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional International Trust, SEI Liquid Asset Trust, SEI Tax Exempt Trust, SEI Institutional Investments Trust, The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, and Bishop Street Funds, since March 2006. Chief Compliance Officer of SEI Structured Credit Fund, LP and SEI Alpha Strategy Portfolios, LP since June 2007. Chief Compliance Officer of Adviser Managed Trust since December 2010. Chief Compliance Officer of New Covenant Funds since February 2012. Chief Compliance Officer of SEI Insurance Products Trust since 2013.	N/A	N/A
Timothy D. Barto One Freedom Valley Drive Oaks, PA 19456 46 yrs. old	Vice President and Secretary	since 2002	General Counsel, Vice President and Secretary of SIMC and the Administrator since 2004. Vice President and Assistant Secretary of SEI since 2001. Vice President of SIMC and the Administrator since 1999.	N/A	N/A


318		SEI Institutional Investments Trust / Annual Report / May 31, 2014


Name Address, and Age	Position(s) Held with Trusts	Term of Office and Length of Time Served¹	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen by Trustee²	Other Directorships Held by Trustee
OFFICERS (continued)
Aaron Buser One Freedom Valley Drive Oaks, PA 19456 43 yrs. old	Vice President and Assistant Secretary	since 2008	Vice President and Assistant Secretary of SIMC since 2007. Associate at Stark & Stark (2004-2007).	N/A	N/A
David F. McCann One Freedom Valley Drive Oaks, PA 19456 38 yrs. old	Vice President and Assistant Secretary	since 2009	Vice President and Assistant Secretary of SIMC since 2008. Attorney, Drinker Biddle & Reath, LLP (law firm), May 2005-October 2008. Attorney, Pepper Hamilton, LLP (law firm), September 2001-May 2005.	N/A	N/A
Stephen G. MacRae One Freedom Valley Drive Oaks, PA 19456 46 yrs. old	Vice President	since 2012	Director of Global Investment Product Management, January 2004 to present.	N/A	N/A
Edward McCusker One Freedom Valley Drive Oaks, PA 19456 30 yrs. old	Anti-Money Laundering Compliance Officer and Privacy Officer	since 2013	Compliance Manager of SEI Investments Company, May 2011-April 2013. Project Manager and AML Operations Lead of SEI Private Trust Company, September 2010-May 2011. Private Banking Client Service Professional of SEI Private Banking and Trust, September 2008-September 2010.	N/A	N/A


SEI Institutional Investments Trust / Annual Report / May 31, 2014			319

Disclosure of Fund Expenses (Unaudited)

May 31, 2014

All mutual funds have operating expenses. As a shareholder of a fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns.

Operating expenses such as these are deducted from the fund’s gross income and directly reduce your final investment return. These expenses are expressed as a percentage of the fund’s average net assets; this percentage is known as the fund’s expense ratio.

The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

The table on the next page illustrates your Fund’s costs in two ways:

• Actual Fund return. This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The “Expenses Paid During Period” column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the “Ending Account Value” number is derived from deducting that expense cost from the Fund’s gross investment return.

You can use this information, together with the actual amount you invested in the Fund, to estimate the expenses you paid over that period. Simply divide your actual starting account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under “Expenses Paid During Period.”

• Hypothetical 5% return. This section helps you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your Fund’s comparative cost by comparing the hypothetical result for your Fund in the “Expense Paid During Period” column with those that appear in the same charts in the shareholder reports for other funds.

NOTE: Because the return is set at 5% for comparison purposes — NOT your Fund’s actual return — the account values shown do not apply to your specific investment.


	Beginning Account Value 12/1/2013		Ending Account Value 5/31/2014		Annualized Expense Ratios			Expense Paid During Period*
Large Cap Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,063.60		0.18	%	$	0.93
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.03		0.18	%	$	0.91
Large Cap Diversified Alpha Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,071.90		0.22	%	$	1.14
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.83		0.22	%	$	1.11
Large Cap Disciplined Equity Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,079.70		0.18	%	$	0.93
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.03		0.18	%	$	0.91
Large Cap Index Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,077.00		0.02	%	$	0.10
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.83		0.02	%	$	0.10


	Beginning Account Value 12/1/2013		Ending Account Value 5/31/2014		Annualized Expense Ratios			Expense Paid During Period*
S&P 500 Index Fund (Commenced 12/18/13)
Actual Fund Return
Class A Shares	$	1,000.00	$	1,072.70		0.04	%	$	0.19	**
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.73		0.04	%	$	0.18	*
Exented Market Index Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,046.50		0.06	%	$	0.31
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.63		0.06	%	$	0.30
Small Cap Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	999.10		0.47	%	$	2.34
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.59		0.47	%	$	2.37
Small Cap II Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	997.80		0.45	%	$	2.24
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.69		0.45	%	$	2.27


320		SEI Institutional Investments Trust / Annual Report / May 31, 2014


	Beginning Account Value 12/1/2013		Ending Account Value 5/31/2014		Annualized Expense Ratios			Expense Paid During Period*
Small/Mid Cap Equity Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,034.10		0.46	%	$	2.33
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.64		0.46	%	$	2.32
U.S. Managed Volatility Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,086.50		0.23	%	$	1.20
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.78		0.23	%	$	1.16
World Equity Ex-US Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,042.60		0.34	%	$	1.73
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.24		0.34	%	$	1.72
Screened World Equity Ex-US Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,033.70		0.42	%	$	2.13
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.84		0.42	%	$	2.12
Opportunistic Income Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,018.30		0.26	%	$	1.31
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.64		0.26	%	$	1.31
Core Fixed Income Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,039.00		0.12	%	$	0.61
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.33		0.12	%	$	0.61
High Yield Bond Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,050.60		0.30	%	$	1.53
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.44		0.30	%	$	1.51
Long Duration Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,111.50		0.15	%	$	0.79
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.18		0.15	%	$	0.76
Long Duration Corporate Bond Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,118.30		0.15	%	$	0.79
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.18		0.15	%	$	0.76
Ultra Short Duration Bond Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,007.00		0.12	%	$	0.60
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.33		0.12	%	$	0.61
Emerging Markets Debt Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,068.70		0.44	%	$	2.27
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.74		0.44	%	$	2.22
Real Return Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,011.60		0.08	%	$	0.40
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.53		0.08	%	$	0.40


	Beginning Account Value 12/1/2013		Ending Account Value 5/31/2014		Annualized Expense Ratios			Expense Paid During Period*
Dynamic Asset Allocation Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,062.00		0.07	%	$	0.36
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.58		0.07	%	$	0.35
Multi-Asset Real Return Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,029.90		0.33	%	$	1.67
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.29		0.33	%	$	1.66

*	Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period shown).

**	Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 165/365 (to reflect the period since inception to period end).


SEI Institutional Investments Trust / Annual Report / May 31, 2014			321

Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited)

SEI Institutional Investments Trust (the “Trust”) and SEI Investments Management Corporation (“SIMC”) have entered into an investment advisory agreement (the “Advisory Agreement”). Pursuant to the Advisory Agreement, SIMC oversees the investment advisory services provided to the series of the Trust (the “Funds”) and may manage the cash portion of the Funds’ assets. Pursuant to separate sub-advisory agreements (the “Sub-Advisory Agreements” and, together with the Advisory Agreement, the “Investment Advisory Agreements”) with SIMC, and under the supervision of SIMC and the Trust’s Board of Trustees (the “Board”), the sub-advisers (each, a “Sub-Adviser” and collectively, the “Sub-Advisers”) are responsible for the day-to-day investment management of all or a discrete portion of the assets of the Funds. The Sub-Advisers are also responsible for managing their employees who provide services to these Funds. The Sub-Advisers are selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively the Sub-Advisers’ skills and investment results in managing assets for specific asset classes, investment styles and strategies.

The Investment Company Act of 1940, as amended (the “1940 Act”) requires that the initial approval of, as well as the continuation of, the Funds’ Investment Advisory Agreements must be specifically approved: (i) by the vote of the Board or by a vote of the shareholders of the Funds; and (ii) by the vote of a majority of the Trustees who are not parties to the Investment Advisory Agreements or “interested persons” of any party (the “Independent Trustees”), cast in person at a meeting called for the purpose of voting on such approval(s). In connection with their consideration of such approval(s), the Funds’ Trustees must request and evaluate, and SIMC and the Sub-Advisers are required to furnish, such information as may be reasonably necessary to evaluate the terms of the Investment Advisory Agreements. In addition, the Securities and Exchange Commission takes the position that, as part of their fiduciary duties with respect to a mutual fund’s fees, mutual fund boards are required to evaluate the material factors applicable to a decision to approve an Investment Advisory Agreement.

Consistent with these responsibilities, the Board calls and holds meetings each year that are dedicated to considering whether to approve new and terminate or renew existing 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 counsel 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; (vi) the Funds’ overall fees and operating expenses compared with similar mutual funds; (vii) the level of SIMC’s and the Sub-Advisers’ profitability from their Fund-related operations; (viii) SIMC’s and the Sub-Advisers’ compliance systems; (ix) SIMC’s and the Sub-Advisers’ policies on and compliance procedures for personal securities transactions; (x) SIMC’s and the Sub-Advisers’ reputation, expertise and resources in domestic and/or international financial markets; and (xi) the Funds’ performance compared with similar mutual funds.

At the December 10-11, 2013 and the March 25-26, 2014 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 certain 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;


322		SEI Institutional Investments Trust / Annual Report / May 31, 2014

•

the Funds’ investment performance and how it compared to that of other comparable mutual funds;

•

the Funds’ expenses under each Investment Advisory Agreement and how those expenses compared to those of other comparable mutual funds;

•

the profitability of SIMC and the Sub-Advisers and their affiliates with respect to the Funds, including both direct and indirect benefits accruing to SIMC and the Sub-Advisers and their affiliates; and

•

the extent to which economies of scale would be realized as the Funds grow and whether fee levels in the Investment Advisory Agreements reflect those economies of scale for the benefit of Fund investors.

Nature, Extent and Quality of Services. The Board considered the nature, extent and quality of the services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, SIMC’s and each Sub-Adviser’s personnel, experience, track record and compliance program. The Trustees found the level of SIMC’s and each Sub-Adviser’s professional staff and culture of compliance satisfactory. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds supported renewal of the Investment Advisory Agreements.

Fund Performance. The Board considered Fund performance in determining whether to approve new and terminate or renew existing Investment Advisory Agreements. Specifically, the Trustees considered the Funds’ performance relative to their peer groups and appropriate indices/benchmarks in light of total return, yield and market trends. As part of this review, the Trustees considered the composition of each peer group and selection criteria. In evaluating performance, the Trustees considered both market risk and shareholder risk expectations for the Funds. The Trustees found Fund performance satisfactory, and, where performance was below the benchmark, the Trustees were satisfied that appropriate steps were being taken. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds supported renewal of the Investment Advisory Agreements.

Fund Expenses. With respect to the Funds’ expenses under the Investment Advisory Agreements, the Trustees considered the rate of compensation called for by the Investment Advisory Agreements and the Funds’ net operating expense ratio in comparison to those of other comparable mutual funds. The Trustees also considered information about average expense ratios of comparable mutual funds in the Funds’ respective peer groups. The Trustees further considered the fact that the comparative fee analysis either showed that the various fees were below average or that there was a reasonable basis for the fee level. Finally, the Trustees considered the effects of SIMC’s voluntary waiver of management and other fees to prevent total Fund expenses from exceeding a specified cap and concluded that SIMC, through waivers, has maintained the Funds’ net operating expenses at competitive levels for its distribution channels. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported renewal of the Investment Advisory Agreements.

Profitability. With regard to profitability, the Trustees considered all compensation flowing to SIMC and the Sub-Advisers and their affiliates, directly or indirectly. The Trustees considered whether the varied levels of compensation and profitability under the Investment Advisory Agreements and other service agreements were reasonable and justified in light of the quality of all services rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. The Trustees found that profitability was reasonable. 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.


SEI Institutional Investments Trust / Annual Report / May 31, 2014			323

Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) (Concluded)

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.


324		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Notice to Shareholders (Unaudited)

For shareholders who do not have a May 31, 2014, taxable year end, this notice is for informational purposes only. For shareholders with a May 31, 2014, taxable year end, please consult your tax adviser as to the pertinence of this notice.

For the fiscal year ended May 31, 2014, the Funds are designating long term and qualifying dividend income with regard to distributions paid during the year as follows:


	(A) Long Term Capital Gains Distributions (Tax Basis)			(B) Return of Capital (Tax Basis)			(C) Ordinary Income Distributions (Tax Basis)			Total Distributions (Tax Basis)			(D) Dividends Qualifying for Corporate Dividends Rec. Deduction (1)
Large Cap Fund		69.30	%		0.00	%		30.70	%		100.00	%		49.36	%
Large Cap Diversified Alpha Fund		0.00	%		0.00	%		100.00	%		100.00	%		100.00	%
Large Cap Disciplined Equity Fund		80.07	%		0.00	%		19.93	%		100.00	%		99.48	%
Large Cap Index Fund		35.08	%		0.00	%		64.92	%		100.00	%		75.07	%
S&P 500 Index Fund		0.00	%		0.00	%		100.00	%		100.00	%		88.88	%
Extended Market Index Fund		4.54	%		0.00	%		95.46	%		100.00	%		27.89	%
Small Cap Fund		0.00	%		0.00	%		100.00	%		100.00	%		93.10	%
Small Cap II Fund		43.19	%		0.00	%		56.81	%		100.00	%		16.55	%
Small/Mid Cap Equity Fund		64.49	%		0.00	%		35.51	%		100.00	%		19.37	%
U.S. Managed Volatility Fund		53.25	%		0.00	%		46.75	%		100.00	%		42.48	%
World Equity Ex-US Fund (6)		0.00	%		0.00	%		100.00	%		100.00	%		0.00	%
Screened World Equity Ex-US Fund (7)		0.00	%		0.00	%		100.00	%		100.00	%		0.00	%
Opportunistic Income Fund		0.00	%		0.00	%		100.00	%		100.00	%		0.05	%
Core Fixed Income Fund		0.00	%		0.00	%		100.00	%		100.00	%		0.00	%
High Yield Bond Fund		12.11	%		0.00	%		87.89	%		100.00	%		0.00	%
Long Duration Fund		10.88	%		0.00	%		89.12	%		100.00	%		0.00	%
Long Duration Corporate Bond Fund		0.00	%		0.00	%		100.00	%		100.00	%		0.00	%
Ultra Short Duration Fund		0.00	%		0.00	%		100.00	%		100.00	%		0.00	%
Emerging Markets Debt Fund		10.19	%		0.00	%		89.81	%		100.00	%		0.00	%
Real Return Fund		0.00	%		0.00	%		100.00	%		100.00	%		0.00	%
Dynamic Asset Allocation Fund		0.00	%		0.00	%		100.00	%		100.00	%		100.00	%
Multi-Asset Real Return Fund		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%


	(E) Qualifying Dividend Income (15% Tax Rate for QDI) (2)			(F) U.S. Government Interest (3)			Interest Related Dividends (4)			Short-Term Capital Gain Dividends (5)
Large Cap Fund		49.10	%		0.00	%		0.00	%		100.00	%
Large Cap Diversified Alpha Fund		100.00	%		0.02	%		0.02	%		0.00	%
Large Cap Disciplined Equity Fund		97.15	%		0.00	%		0.02	%		0.00	%
Large Cap Index Fund		74.79	%		0.00	%		0.00	%		100.00	%
S&P 500 Index Fund		88.78	%		0.00	%		0.00	%		0.00	%
Extended Market Index Fund		26.20	%		0.00	%		0.00	%		100.00	%
Small Cap Fund		93.44	%		0.01	%		0.01	%		0.00	%
Small Cap II Fund		16.68	%		0.00	%		0.01	%		100.00	%
Small/Mid Cap Equity Fund		18.48	%		0.00	%		0.00	%		100.00	%
U.S. Managed Volatility Fund		43.59	%		0.00	%		0.00	%		100.00	%
World Equity Ex-US Fund (6)		83.92	%		0.00	%		0.04	%		0.00	%
Screened World Equity Ex-US Fund (7)		100.00	%		0.00	%		0.25	%		0.00	%
Opportunistic Income Fund		0.05	%		0.28	%		35.07	%		0.00	%
Core Fixed Income Fund		0.00	%		11.70	%		100.00	%		100.00	%
High Yield Bond Fund		0.00	%		0.00	%		88.75	%		100.00	%
Long Duration Fund		0.00	%		22.59	%		97.40	%		0.00	%
Long Duration Corporate Bond Fund		0.00	%		1.65	%		97.72	%		100.00	%
Ultra Short Duration Fund		0.00	%		1.07	%		95.63	%		0.00	%
Emerging Markets Debt Fund		0.00	%		0.00	%		0.00	%		100.00	%
Real Return Fund		0.00	%		41.91	%		58.29	%		100.00	%
Dynamic Asset Allocation Fund		100.00	%		0.00	%		0.02	%		100.00	%
Multi-Asset Real Return Fund		0.00	%		0.00	%		0.00	%		0.00	%

(1)	Qualifying dividends represent dividends which qualify for the corporate dividends received deduction.

(2)

The percentage in this column represents the amount of “Qualifying Dividend Income” is reflected as a percentage of “Ordinary Income Distributions.” It is the intention of each of the aforementioned funds to designate the maximum amount permitted by the law. The information reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2014. Complete information will be computed and reported in conjunction with your 2013 Form 1099-DIV.

(3)

“U.S. Government Interest” represents the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short term capital gain and net investment income distributions). Generally, interest from direct U.S. Government obligations is exempt from state income tax. However, for shareholders who are residents of California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income.

(4)

The percentage in this column represents the amount of “Interest Related Dividend” is reflected as a percentage of ordinary income distribution for calendar year ended 2013. Interest related dividends are exempted from U.S. withholding tax when paid to foreign investors. The provision that allows RICs to pass through “Interest Related Dividend” expired after 12/31/13.


SEI Institutional Investments Trust / Annual Report / May 31, 2014			325

Notice to Shareholders (Unaudited) (Concluded)

(5)

The percentage of this column represents the amount of “Short Term Capital Gain Dividend” is reflected as a percentage of short term capital gain distribution for calendar year ended 2013 that is exempted from U.S. withholding tax when paid to foreign investors. The provision that allows RICs to pass through “Short Term Capital Gain Dividend” expired after 12/31/13.

(6)	The Fund intends to pass through a foreign tax credit to shareholders. For fiscal year ended 2014, the total amount of foreign source income is $133,408,402. The total amount of foreign tax to be paid is $4,142,151. Your allocable share of the foreign tax credit will be reported on Form 1099 DIV.

(7)	The Fund intends to pass through a foreign tax credit to shareholders. For fiscal year ended 2014, the total amount of foreign source income is $1,367,987. The total amount of foreign tax paid is $138,836. Your allocable share of the foreign tax credit will be reported on Form 1099 DIV.

Items (A), (B) and (C) are based on the percentage of each Fund’s total distribution.

Items (D) and (E) are based on the percentage of ordinary income distributions of each Fund. Item (F) is based on the percentage of gross income of each Fund.

Please consult your tax adviser for proper treatment of this information. This notification should be kept with your permanent tax records.


326		SEI Institutional Investments Trust / Annual Report / May 31, 2014

SEI INSTITUTIONAL INVESTMENTS TRUST ANNUAL REPORT MAY 31, 2014

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)

LOGO

1 Freedom Valley Drive

Oaks, PA 19456

SEI-F-140 (5/14)

Item 2.

Code of Ethics.

The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, comptroller or principal accounting officer, and any person who performs a similar function.

Item 3.

Audit Committee Financial Expert.

(a)(1) The Registrant’s Board of Trustees has determined that the Registrant has at least two audit committee financial experts serving on the audit committee.

(a) (2) The audit committee financial experts are George J. Sullivan, Jr. and Hubert L. Harris, Jr. Messrs. Sullivan and Harris are independent as defined in Form N-CSR Item 3 (a) (2).

Item 4.

Principal Accountant Fees and Services.

Fees billed by KPMG LLP (“KPMG”) related to the Registrant.

KPMG billed the Registrant aggregate fees for services rendered to the Registrant for the fiscal years 2014 and 2013 as follows:


		Fiscal Year 2014						Fiscal Year 2013
		All fees and services to the Registrant that were pre- approved		All fees and services to service affiliates that were pre- approved		All other fees and services to service affiliates that did not require pre-approval		All fees and services to the Registrant that were pre- approved		All fees and services to service affiliates that were pre- approved		All other fees and services to service affiliates that did not require pre-approval
(a)	Audit Fees(1)	$	693,000	$	0		N/A	$	629,500	$	0		N/A
(b)	Audit-Related Fees(3)	$	0	$	0	$	0	$	20,000	$	0	$	0
(c)	Tax Fees(4)	$	0	$	28,000	$	0	$	0	$	8,000	$	0
(d)	All Other Fees(2)	$	0	$	237,000	$	0	$	0	$	236,000	$	0

Notes:

(1)	Audit fees include amounts related to the audit of the Registrant’s annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings.

(2)	See Item 4 (g) for a description of the services comprising the fees disclosed under this category.

(3)	Audit-related fees include amounts related to attestation reporting over compliance with an exemptive order under the federal securities laws.

(4)	Tax fees include amounts related to tax compliance and consulting services for various service affiliates of the Registrant.

(e)(1) The Registrant’s Audit Committee has adopted an Audit and Non-Audit Services Pre-Approval Policy (the “Policy”), which sets forth the procedures and the conditions pursuant to which services proposed to be performed by the independent auditor of the Registrant may be pre-approved.

The Policy provides that all requests or applications for proposed services to be provided by the independent auditor must be submitted to the Registrant’s Chief Financial Officer (“CFO”) and must include a detailed description of the services proposed to be rendered. The CFO will determine whether such services: (1) require specific pre-approval; (2) are included within the list of services that have received the general pre-approval of the Audit Committee pursuant to the Policy; or (3) have been previously pre-approved in connection with the independent auditor’s annual engagement letter for the applicable year or otherwise. In any instance where services require pre-approval, the Audit Committee will consider whether such services are consistent with SEC’s rules and whether the provision of such services would impair the auditor’s independence.

Requests or applications to provide services that require specific pre-approval by the Audit Committee will be submitted to the Audit Committee by the CFO. The Audit Committee will be informed by the CFO on a quarterly basis of all services rendered by the independent auditor. The Audit Committee has delegated specific pre-approval authority to either the Audit Committee Chair or financial experts, provided that the estimated fee for any such proposed pre-approved service does not exceed $50,000 and any pre-approval decisions are reported to the Audit Committee at its next regularly scheduled meeting.

Services that have received the general pre-approval of the Audit Committee are identified and described in the Policy. In addition, the Policy sets forth a maximum fee per engagement with respect to each identified service that has received general pre-approval.

All services to be provided by the independent auditor shall be provided pursuant to a signed written engagement letter with the Registrant, the investment advisor or applicable control affiliate (except that matters as to which an engagement letter would be impractical because of timing issues or because the matter is small may not be the subject of an engagement letter) that sets forth both the services to be provided by the independent auditor and the total fees to be paid to the independent auditor for those services.

In addition, the Audit Committee has determined to take additional measures on an annual basis to meet its responsibility to oversee the work of the independent auditor and to assure the auditor’s independence from the Registrant, such as reviewing a formal written statement from the independent auditor delineating all relationships between the independent auditor and the Registrant, and discussing with the independent auditor its methods and procedures for ensuring independence.

(e)(2) Percentage of fees billed applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:


	Fiscal Year 2014			Fiscal Year 2013
Audit-Related Fees		0	%		0	%
Tax Fees		0	%		0	%


All Other Fees			0	%			0	%

(f) Not Applicable.

(g) The aggregate non-audit fees and services billed by KPMG for the fiscal years 2014 and 2013 were $237,000 and $236,000, respectively. Non-audit fees consist of SSAE No.16 review of fund accounting and administration operations, attestation report in accordance with Rule 17Ad-13, agreed upon procedures report over certain internal controls related to compliance with federal securities laws and regulations and tax compliance and consulting services for various service affiliates of the registrant.

(h) During the past fiscal year, Registrant’s principal accountant provided certain non-audit services to Registrant’s investment adviser or to entities controlling, controlled by, or under common control with Registrant’s investment adviser that provide ongoing services to Registrant that were not subject to pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X. The Audit Committee of Registrant’s Board of Trustees reviewed and considered these non-audit services provided by Registrant’s principal accountant to Registrant’s affiliates, including whether the provision of these non-audit services is compatible with maintaining the principal accountant’s independence.

Item 5.

Audit Committee of Listed Registrants.

Not applicable.

Item 6.

Schedule of Investments

(a) The Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Large Cap Fund, Large Cap Diversified Alpha Fund, Large Cap Disciplined Equity Fund, Large Cap Index Fund, S&P 500 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 and Screened World Equity Ex-US Fund, and the Consolidated Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period for the 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 Fund, Long Duration Corporate Bond Fund, Ultra Short Duration Bond Fund, Emerging Markets Debt Fund and Real Return Fund, and the Consolidated Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Multi-Asset Real Return Fund are included as part of the report to shareholders filed under Item 1 of this form.

Schedule of Investments

Large Cap Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 97.4%

Consumer Discretionary — 12.3%
Abercrombie & Fitch, Cl A (A)		22,900	$	870
Amazon.com *		16,300		5,094
Autoliv (A)		21,400		2,269
Best Buy		21,000		581
Big Lots *		17,400		739
CBS, Cl B		233,170		13,899
Charter Communications, Cl A *		35,780		5,122
Chipotle Mexican Grill, Cl A *		10,050		5,498
Comcast, Cl A (A)		196,740		10,270
Cooper Tire & Rubber		32,100		893
CST Brands		7,666		253
Delphi Automotive		127,890		8,832
Dillard’s, Cl A		52,083		5,872
DIRECTV *		129,300		10,659
Discovery Communications, Cl A *		81,223		6,251
Foot Locker		104,100		5,016
Ford Motor		545,200		8,963
Fossil Group *		44,486		4,660
GameStop, Cl A (A)		45,959		1,740
Gannett		73,400		2,040
Goodyear Tire & Rubber		29,500		778
Graham Holdings, Cl B		400		271
Hanesbrands		4,100		348
Harley-Davidson		184,235		13,125
Harman International Industries		34,740		3,649
Home Depot		95,560		7,667
International Game Technology		96,500		1,211
Kohl’s		53,800		2,929
L Brands		214,675		12,320
Las Vegas Sands		5,000		383
Lear		89,780		7,905
Liberty Interactive, Cl A *		576,375		16,790
Macy’s		104,130		6,236
Magna International, Cl A		52,900		5,413
Murphy USA *		8,625		439
NIKE, Cl B		115,000		8,845
priceline.com *		14,475		18,508
Sally Beauty Holdings *		211,525		5,419
Signet Jewelers		44,300		4,700
Starbucks		185,184		13,563
Target		36,700		2,083
Tesla Motors *, (A)		20,700		4,301
Time Warner Cable, Cl A		95,040		13,416
TripAdvisor *		25,220		2,451
TRW Automotive Holdings *		28,000		2,376
Twenty-First Century Fox		381,230		13,137
Viacom, Cl B		18,100		1,544
Whirlpool		42,400		6,086
Yum! Brands		89,540		6,922

				282,336


Consumer Staples — 8.0%
Altria Group		20,300		844
Anheuser-Busch InBev ADR		131,044		14,405
Archer-Daniels-Midland		169,800		7,631
Coca-Cola		54,800		2,242


Description	Shares		Market Value ($ Thousands)

Coca-Cola Enterprises		100,550	$	4,589
Constellation Brands, Cl A *		7,800		656
Costco Wholesale		114,879		13,328
CVS Caremark		120,500		9,438
Dr. Pepper Snapple Group		54,200		3,127
Energizer Holdings		17,900		2,076
Estee Lauder, Cl A		125,509		9,616
Herbalife (A)		110,800		7,183
Hershey		3,600		350
Ingredion		36,500		2,780
Kimberly-Clark		29,800		3,348
Kroger		215,600		10,293
Lorillard (A)		88,300		5,490
Mead Johnson Nutrition, Cl A		208,509		18,655
Nu Skin Enterprises, Cl A		40,100		2,961
PepsiCo		22,000		1,943
Philip Morris International		157,540		13,948
Procter & Gamble		62,244		5,029
Safeway		37,300		1,281
SUPERVALU *		60,800		454
Tyson Foods, Cl A		311,650		13,233
Walgreen		295,291		21,234
Wal-Mart Stores		2,540		195
Whole Foods Market		220,156		8,419

				184,748


Energy — 10.6%
Apache		19,600		1,827
Baker Hughes		95,100		6,706
Cabot Oil & Gas		136,240		4,937
Chesapeake Energy		65,300		1,875
Chevron		175,935		21,603
Cimarex Energy		7,000		904
ConocoPhillips		118,900		9,505
Core Laboratories		55,067		8,802
EOG Resources		247,600		26,196
Exxon Mobil		336,172		33,795
FMC Technologies *		167,228		9,709
Halliburton		100,500		6,496
Helmerich & Payne		26,800		2,947
Hess		28,500		2,602
Marathon Oil		210,500		7,717
Marathon Petroleum		141,090		12,612
Murphy Oil		34,500		2,128
Noble		52,500		1,652
Noble Energy		192,870		13,900
Occidental Petroleum		23,400		2,333
Patterson-UTI Energy		62,000		2,052
Phillips 66		263,540		22,346
Schlumberger		110,444		11,491
SM Energy		74,800		5,671
Targa Resources		32,200		3,702
Tesoro		50,000		2,810
Valero Energy		193,200		10,829
Williams		173,900		8,166

				245,313


Financials — 16.3%
ACE		17,400		1,805
Aflac		29,700		1,819
Allied World Assurance Holdings		60,156		2,256
Allstate		175,700		10,236
American Capital Agency ‡		9,400		223


1		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Large Cap Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

American Financial Group		97,626	$	5,699
American International Group		495,860		26,811
American Tower, Cl A ‡		10,900		977
Ameriprise Financial		49,100		5,529
Annaly Capital Management ‡		71,700		845
Assurant		139,550		9,463
AvalonBay Communities ‡		3,100		440
Axis Capital Holdings		63,000		2,897
Bank of America		1,340,270		20,292
Bank of New York Mellon		79,300		2,741
BB&T		53,900		2,044
Berkshire Hathaway, Cl B *		25,658		3,293
Boston Properties ‡		2,900		350
Brandywine Realty Trust ‡		56,000		857
Capital One Financial		127,300		10,043
CBL & Associates Properties ‡		65,600		1,235
CBOE Holdings		56,400		2,858
Charles Schwab		397,052		10,010
Chubb		54,200		5,022
Citigroup		449,610		21,388
CME Group, Cl A		107,550		7,744
CNA Financial		21,600		868
Crown Castle International ‡		256,800		19,704
Discover Financial Services		206,047		12,183
East West Bancorp		3,400		114
Endurance Specialty Holdings		19,600		1,014
Equity Residential ‡		8,700		538
Everest Re Group		60,170		9,628
Fifth Third Bancorp		382,000		7,904
General Growth Properties ‡		14,500		345
Genworth Financial, Cl A *		332,200		5,644
Goldman Sachs Group		15,800		2,525
Hartford Financial Services Group		58,700		2,034
HCP ‡		8,000		334
Health Care ‡		6,900		436
Hospitality Properties Trust ‡		161,300		4,679
Host Hotels & Resorts ‡		14,300		316
Huntington Bancshares		214,300		1,986
IntercontinentalExchange Group		56,975		11,190
JPMorgan Chase		253,000		14,059
KeyCorp		821,800		11,250
Kimco Realty ‡		11,200		257
Lincoln National		101,700		4,878
McGraw-Hill		75,700		6,190
MetLife		39,700		2,022
Montpelier Re Holdings		49,200		1,547
Morgan Stanley		42,300		1,305
Navient		69,800		1,103
Northern Trust		9,200		556
PartnerRe		79,360		8,521
PNC Financial Services Group		76,400		6,515
Progressive		371,787		9,306
Prologis ‡		9,000		374
Protective Life		69,628		3,642
Prudential Financial		40,600		3,336
Public Storage ‡		2,700		465
Regions Financial		134,700		1,373
Reinsurance Group of America, Cl A		87,621		6,848
RenaissanceRe Holdings		13,320		1,388
Simon Property Group ‡		8,300		1,382


Description	Shares		Market Value ($ Thousands)

SLM		69,800	$	601
State Street		31,400		2,049
Travelers		138,100		12,905
Unum Group		135,400		4,591
Validus Holdings		31,300		1,168
Ventas ‡		4,915		328
Vornado Realty Trust ‡		3,600		385
Waddell & Reed Financial, Cl A		71,070		4,291
Washington Prime Group *‡		4,150		82
Wells Fargo		474,271		24,083
Weyerhaeuser ‡		14,500		456

				375,575


Health Care — 13.0%
AbbVie		32,400		1,760
Aetna		58,800		4,560
Alexion Pharmaceuticals *		82,090		13,653
Allergan		127,575		21,364
AmerisourceBergen		63,300		4,632
Amgen		32,100		3,723
Baxter International		65,800		4,896
Biogen Idec *		60,600		19,354
Bristol-Myers Squibb		202,990		10,097
Cardinal Health		99,000		6,992
Celgene *		183,225		28,039
Cigna		97,500		8,754
Covance *		72,608		6,089
DaVita *		116,370		8,215
Eli Lilly		28,363		1,698
Express Scripts Holding *		265,528		18,977
Gilead Sciences *		161,869		13,146
HCA Holdings *		19,400		1,028
Humana		72,670		9,045
Intuitive Surgical *		22,995		8,502
Jazz Pharmaceuticals *		5,100		723
Johnson & Johnson		116,926		11,863
McKesson		57,100		10,828
Medtronic		50,600		3,088
Merck		45,500		2,633
Myriad Genetics *, (A)		17,300		574
Novo Nordisk ADR		254,700		10,769
Omnicare (A)		93,100		5,916
Perrigo		52,150		7,207
Pfizer		526,340		15,595
Questcor Pharmaceuticals (A)		3,180		287
Shire ADR		68,460		11,870
United Therapeutics *		68,700		6,577
UnitedHealth Group		7,800		621
WellPoint		132,500		14,358
Zimmer Holdings		20,000		2,087

				299,520


Industrials — 9.6%
AECOM Technology *		17,300		556
AGCO		44,200		2,385
Alaska Air Group		19,900		1,959
Alliant Techsystems		43,686		5,517
Avis Budget Group *		30,300		1,734
Boeing		2,300		311
Canadian Pacific Railway		118,880		19,915
Caterpillar		50,160		5,128
Cummins		73,450		11,233
Danaher		127,571		10,005


2		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Large Cap Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Deere		52,700	$	4,805
Delta Air Lines		96,180		3,839
Engility Holdings *		6,500		251
Exelis		278,830		4,763
Fastenal (A)		122,630		5,978
FedEx		14,400		2,076
Flowserve		130,220		9,602
Fluor		104,562		7,851
General Dynamics		17,600		2,079
General Electric		10,585		284
Huntington Ingalls Industries		52,830		5,274
ITT		12,500		546
Kansas City Southern		84,980		9,137
L-3 Communications Holdings, Cl 3		84,000		10,178
Lincoln Electric Holdings		3,900		256
Lockheed Martin		28,800		4,713
Nielsen Holdings		163,650		7,898
Norfolk Southern		20,500		2,065
Northrop Grumman		112,500		13,674
Oshkosh Truck		53,000		2,865
Pall		140,620		11,916
Parker Hannifin		37,260		4,666
Pentair		168,560		12,581
Raytheon		54,007		5,270
RR Donnelley & Sons		91,000		1,441
Southwest Airlines		243,183		6,432
Stericycle *		70,769		8,094
Timken		38,100		2,447
Towers Watson, Cl A		17,600		1,980
Trinity Industries		62,500		5,408
United Rentals *, (A)		45,300		4,578

				221,690


Information Technology — 21.4%
Accenture, Cl A		84,608		6,891
Activision Blizzard		38,600		802
Adobe Systems *		472,155		30,473
Alliance Data Systems *		19,790		5,067
Amdocs		134,870		6,490
Amphenol, Cl A		94,043		9,009
Ansys *		55,928		4,108
Apple		42,729		27,047
Applied Materials		813,280		16,420
Arrow Electronics *		43,370		2,503
Atmel *		71,600		600
Autodesk *		97,790		5,121
Avnet		44,600		1,943
Blackhawk Network Holdings, Cl B *		6,128		150
Broadridge Financial Solutions		7,900		324
Brocade Communications Systems		181,000		1,651
CA		76,200		2,186
Cisco Systems		286,400		7,051
Cognizant Technology Solutions, Cl A *		106,841		5,194
Computer Sciences		72,000		4,528
CoreLogic *		59,900		1,709
Corning		194,600		4,145
eBay *		279,025		14,155
Equinix *, (A)		63,150		12,551
Facebook, Cl A *		208,830		13,219


Description	Shares		Market Value ($ Thousands)

Fidelity National Information Services		40,100	$	2,172
Flextronics International *		273,500		2,782
Genpact *		339,545		5,721
Google, Cl A *		27,515		15,729
Google, Cl C *		31,815		17,848
Harris		23,600		1,823
Hewlett-Packard		267,600		8,965
IAC		8,200		543
Ingram Micro, Cl A *		210,812		5,854
Intel (A)		217,000		5,928
Intuit		157,550		12,492
Leidos Holdings (A)		20,150		769
Lexmark International, Cl A (A)		3,600		157
Marvell Technology Group		275,700		4,293
Mastercard, Cl A		541,710		41,414
Micron Technology *		76,200		2,179
Micros Systems *		36,800		1,966
Microsoft		844,325		34,567
National Instruments		151,365		4,335
Oracle		115,100		4,836
Pandora Media *		116,900		2,868
Qualcomm		416,806		33,532
Salesforce.com *, (A)		143,891		7,573
SanDisk		16,400		1,585
Science Applications International (A)		11,514		446
Seagate Technology		41,100		2,208
Skyworks Solutions		91,600		3,967
TE Connectivity		29,200		1,736
Tech Data *		25,100		1,494
Teradata *, (A)		149,225		6,266
Texas Instruments		223,850		10,516
VeriFone Holdings *		118,075		3,874
Visa, Cl A		162,376		34,883
Vishay Intertechnology (A)		59,500		888
Western Digital		141,298		12,413
Xerox		318,100		3,929
Yahoo! *		115,800		4,012
Yelp, Cl A *, (A)		62,425		4,129

				494,029


Materials — 3.5%
CF Industries Holdings		25,800		6,277
Domtar		54,100		4,917
Dow Chemical		251,450		13,106
Eastman Chemical		24,000		2,118
Ecolab		85,072		9,289
Freeport-McMoRan Copper & Gold, Cl B		43,500		1,481
Huntsman		90,200		2,407
LyondellBasell Industries, Cl A		163,402		16,270
Owens-Illinois *		45,900		1,525
PPG Industries		41,871		8,442
Reliance Steel & Aluminum		5,300		382
Rock Tenn, Cl A		12,550		1,268
Steel Dynamics		55,200		953
Syngenta ADR		91,791		7,077
United States Steel (A)		108,300		2,495
Westlake Chemical		27,600		2,232

				80,239


Telecommunication Services — 0.8%
AT&T		465,100		16,497


3		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Large Cap Fund

May 31, 2014


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

CenturyLink		40,100	$	1,511
Verizon Communications		30,100		1,504

				19,512


Utilities — 1.9%
AES		313,700		4,423
Ameren		41,800		1,645
American Electric Power		133,100		7,101
Calpine *		86,700		2,022
Dominion Resources		13,400		924
Duke Energy		8,100		575
Edison International		136,400		7,521
Entergy		106,600		8,040
Exelon		136,300		5,020
Public Service Enterprise Group		113,900		4,437
SCANA		30,300		1,576

				43,284

Total Common Stock (Cost $1,630,661) ($ Thousands)				2,246,246


AFFILIATED PARTNERSHIP — 3.3%
SEI Liquidity Fund, L.P.
0.070% ** † (B)		76,116,576		76,117

Total Affiliated Partnership (Cost $76,117) ($ Thousands)				76,117


CASH EQUIVALENTS — 1.3%
Investors Cash Trust - Treasury Portfolio - DWS US Treasury Money Fund 0.010% **		1,765,519		1,766
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010% ** †		28,268,384		28,268

Total Cash Equivalents (Cost $30,034) ($ Thousands)				30,034


U.S. TREASURY OBLIGATIONS (C) (D) — 0.5%
U.S. Treasury Bills
6.454%, 07/24/2014	$	3,862		3,862
0.055%, 08/14/2014		6,417		6,416

Total U.S. Treasury Obligations (Cost $10,278) ($ Thousands)				10,278

Total Investments — 102.5% (Cost $1,747,090) ($ Thousands)			$	2,362,675

A list of the open futures contracts held by the Fund at May 31, 2014, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
S&P 500 Index E-MINI		125		Jun-2014	$	86
S&P Mid 400 Index E-MINI		11		Jun-2014		3

					$	89

Percentages are based on a Net Assets of $2,305,214 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2014.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

(A)

This security or a partial position of this security is on loan at May 31, 2014. The total market value of securities on loan at May 31, 2014 was $74,093 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of May 31, 2014 was $76,117 ($ 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

S&P — Standard & Poor’s

The following is a list of the level of inputs used as of May 31, 2014, 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	$	2,246,246	$	—	$	—	$	2,246,246
Affiliated Partnership		—		76,117		—		76,117
Cash Equivalents		30,034		—		—		30,034
U.S. Treasury Obligations		—		10,278		—		10,278

Total Investments in Securities	$	2,276,280	$	86,395	$	—	$	2,362,675


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *
Unrealized Appreciation	$	89	$	—	$	—	$	89

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

For the year ended May 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $O or have been rounded to $O.

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


4		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Large Cap Diversified Alpha Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 96.0%

Consumer Discretionary — 13.7%
AutoZone *		1,316	$	701
Brinker International		2,800		139
Carter’s		974		70
Delphi Automotive		17,668		1,220
DIRECTV *		16,722		1,379
DISH Network, Cl A *		1,115		65
Dollar General *		11,943		642
Dollar Tree *		13,412		711
General Motors		44,787		1,549
Genuine Parts		8,112		700
Kohl’s		2,925		159
L Brands		7,954		456
Lear		13,857		1,220
Liberty Interactive, Cl A *		27,333		796
Macy’s		5,488		329
Magna International, Cl A		3,156		323
Newell Rubbermaid		5,053		148
NIKE, Cl B		877		68
Nordstrom		2,067		141
NVR *		350		390
Omnicom Group		390		28
O’Reilly Automotive *		1,198		177
Polaris Industries		3,047		393
priceline.com *		1,165		1,490
Royal Caribbean Cruises		1,863		103
Sally Beauty Holdings *		21,529		552
Starz *		11,138		341
Time Warner Cable, Cl A		470		66
TJX		10,783		587
Toyota Motor ADR		20,539		2,323
Tribune *		7,534		596
TripAdvisor *		210		20
Viacom, Cl B		2,204		188
Whirlpool		5,640		809
Wyndham Worldwide		366		27
Yum! Brands		1,181		92

				18,998


Consumer Staples — 6.4%
Altria Group		4,266		177
Brown-Forman, Cl B		345		32
Campbell Soup		1,457		67
Church & Dwight		1,500		104
Coca-Cola Enterprises		13,263		605
Colgate-Palmolive		1,088		74
ConAgra Foods		802		26
Costco Wholesale		2,641		307
CVS Caremark		7,330		574
Dr. Pepper Snapple Group		10,379		599
Estee Lauder, Cl A		2,892		222
General Mills		2,482		136
Herbalife		1,111		72
Hershey		5,819		567
Kimberly-Clark		2,668		300
Kraft Foods Group		482		29
Kroger		15,152		723
Lorillard		11,429		711
Mead Johnson Nutrition, Cl A		921		82
Monster Beverage *		1,618		112
Philip Morris International		2,567		227
Reynolds American		520		31


Description	Shares		Market Value ($ Thousands)

Tyson Foods, Cl A		14,390	$	611
Walgreen		14,016		1,008
Wal-Mart Stores		17,785		1,365
Whole Foods Market		1,274		49

				8,810


Energy — 9.9%
Anadarko Petroleum		650		67
Apache		10,941		1,020
Baker Hughes		8,400		592
BP PLC ADR		24,242		1,223
Canadian Natural Resources		13,788		561
Chevron		12,346		1,516
ConocoPhillips		4,497		359
Devon Energy		634		47
EOG Resources		17,918		1,896
Exxon Mobil		7,600		764
Halliburton		25,486		1,648
Hess		7,378		674
HollyFrontier		361		18
Marathon Oil		11,135		408
Marathon Petroleum		3,292		294
Murphy Oil		5,761		355
Noble Energy		350		25
Occidental Petroleum		11,089		1,105
SM Energy		5,607		425
Suncor Energy		3,085		119
Valero Energy		11,692		655

				13,771


Financials — 17.6%
ACE		4,524		469
Aflac		722		44
Allstate		11,944		696
American Financial Group		5,338		312
American International Group		10,120		547
Ameriprise Financial		2,722		307
Assurant		7,869		534
Axis Capital Holdings		8,570		394
Bank of America		48,628		736
Berkshire Hathaway, Cl B *		10,486		1,346
Blackstone Group		19,221		598
Capital One Financial		9,402		742
Citigroup		32,006		1,522
CME Group, Cl A		8,015		577
Crown Castle International ‡		23,055		1,769
Discover Financial Services		10,946		647
Everest Re Group		3,327		532
Fifth Third Bancorp		3,167		66
Genworth Financial, Cl A *		12,440		211
Hartford Financial Services Group		14,719		510
Hatteras Financial ‡		24,531		498
IntercontinentalExchange Group		4,927		968
JPMorgan Chase		32,391		1,800
KeyCorp		34,969		479
KKR		24,948		567
Lincoln National		11,233		539
McGraw-Hill		7,908		647
MetLife		31,675		1,613
Moody’s		343		29
PartnerRe		4,866		523
PNC Financial Services Group		562		48


1		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Large Cap Diversified Alpha Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Principal Financial Group		530	$	25
Progressive		33,261		833
Regions Financial		2,652		27
SunTrust Banks		12,195		467
T. Rowe Price Group		396		32
Travelers		9,045		845
Two Harbors Investment ‡		40,082		422
Unum Group		602		20
Waddell & Reed Financial, Cl A		5,538		334
Wells Fargo		21,416		1,087
XL Group, Cl A		2,138		69

				24,431


Health Care — 10.5%
AbbVie		1,262		68
Alexion Pharmaceuticals *		951		158
Allergan		9,979		1,671
AmerisourceBergen		8,311		608
Amgen		2,755		319
Baxter International		930		69
Biogen Idec *		2,218		708
C.R. Bard		510		76
Cardinal Health		9,044		639
Celgene *		14,311		2,190
Cigna		5,350		480
DaVita *		1,118		79
Eli Lilly		2,556		153
Express Scripts Holding *		8,119		580
Gilead Sciences *		3,886		316
Henry Schein *		227		27
Humana		3,041		379
Illumina *		68		11
Laboratory Corp of America Holdings *		417		43
McKesson		4,352		825
Medtronic		1,186		72
Merck		14,585		844
Novartis ADR		4,904		442
Novo Nordisk ADR		19,029		804
Omnicare		6,845		435
Perrigo		4,311		596
Pfizer		23,650		701
St. Jude Medical		429		28
United Therapeutics *		4,114		394
WellPoint		7,802		846
Zimmer Holdings		279		29

				14,590


Industrials — 8.4%
3M		889		127
Alliant Techsystems		3,453		436
American Airlines Group *		14,322		575
Boeing		893		121
Caterpillar		10,281		1,051
CSX		1,577		46
Cummins		4,661		713
Delta Air Lines		53,607		2,140
Dover		277		24
Emerson Electric		1,125		75
Exelis		25,260		431
FedEx		487		70
Flowserve		358		26
Fluor		404		30
General Dynamics		463		55


Description	Shares		Market Value ($ Thousands)

General Electric		34,250	$	917
Hertz Global Holdings *		13,025		385
Huntington Ingalls Industries		5,146		514
Joy Global		10,200		583
L-3 Communications Holdings, Cl 3		6,190		750
Lockheed Martin		4,671		764
Norfolk Southern		484		49
Northrop Grumman		5,784		703
Parker Hannifin		231		29
Republic Services, Cl A		759		27
Rockwell Automation		639		78
Southwest Airlines		10,570		280
Union Pacific		2,069		412
United Continental Holdings *		1,520		67
United Parcel Service, Cl B		823		86
Verisk Analytics, Cl A *		1,038		61
WW Grainger		319		82

				11,707


Information Technology — 21.8%
Activision Blizzard		25,718		534
Adobe Systems *		20,209		1,304
Alliance Data Systems *		102		26
Amdocs		10,218		492
Amphenol, Cl A		305		29
Apple		5,754		3,642
Applied Materials		32,481		656
Arrow Electronics *		8,855		511
Avnet		10,701		466
CA		10,907		313
Check Point Software Technologies *		7,502		484
Cisco Systems		54,918		1,352
Computer Sciences		7,525		473
eBay *		23,995		1,217
EMC		10,427		277
Equinix *		5,232		1,040
Fiserv *		446		27
Flextronics International *		40,889		416
Google, Cl C *		1,529		858
Google, Cl A *		1,448		828
Hewlett-Packard		3,031		101
Ingram Micro, Cl A *		18,829		523
Intel		8,623		235
International Business Machines		2,575		475
Intuit		13,122		1,040
Lam Research		9,012		559
Linear Technology		533		25
Marvell Technology Group		28,392		442
Mastercard, Cl A		22,569		1,725
Micron Technology *		1,211		35
Micros Systems *		8,971		479
Microsoft		55,264		2,263
Paychex		1,809		74
Qualcomm		23,153		1,863
SanDisk		7,462		721
Seagate Technology		13,175		708
Symantec		1,098		24
Teradata *		11,148		468
VeriFone Holdings *		15,163		498
Visa, Cl A		8,362		1,797
Western Digital		13,518		1,188


2		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Large Cap Diversified Alpha Fund

May 31, 2014


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

Western Union		1,366	$	22

				30,210


Materials — 3.1%
CF Industries Holdings		2,065		503
Domtar		3,055		278
Dow Chemical		13,701		714
Eastman Chemical		385		34
Freeport-McMoRan Copper & Gold, Cl B		1,531		52
International Paper		1,749		83
LyondellBasell Industries, Cl A		8,450		841
PPG Industries		1,000		202
Reliance Steel & Aluminum		9,743		701
Sherwin-Williams		164		34
Syngenta ADR		7,463		575
United States Steel		11,588		267

				4,284


Telecommunication Services — 3.1%
AT&T		20,231		718
China Mobile ADR		26,651		1,307
Verizon Communications		45,718		2,284

				4,309


Utilities — 1.5%
AES		36,591		516
Ameren		1,597		63
American Water Works		543		26
DTE Energy		950		72
Edison International		12,220		674
Entergy		5,436		410
NiSource		813		30
PG&E		1,754		81
Public Service Enterprise Group		2,645		103
Wisconsin Energy		608		28
Xcel Energy		948		29

				2,032

Total Common Stock (Cost $113,086) ($ Thousands)				133,142


CASH EQUIVALENT — 3.6%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010% ** †		4,983,678		4,984

Total Cash Equivalent (Cost $4,984) ($ Thousands)				4,984


U.S. TREASURY OBLIGATION (A) (B) — 0.2%
U.S. Treasury Bills
0.050%, 07/24/2014	$	349		349

Total U.S. Treasury Obligation (Cost $349) ($ Thousands)				349

Total Investments — 99.8% (Cost $118,419) ($ Thousands)			$	138,475

A list of the open futures contracts held by the Fund at May 31, 2014, is as follows:

Type of Contract

Number of
Contracts
Long

Expiration
Date

Unrealized
Appreciation
($ Thousands)

S&P 500 Index E-MINI

Jun-2014

232

Percentages are based on a Net Assets of $138,725 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2014.

†

Investment in Affiliated Security.

‡

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

PLC — Public Limited Company

S&P — Standard & Poor’s

The following is a list of the level of inputs used as of May 31, 2014, 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	$	133,142	$	—	$	—	$	133,142
Cash Equivalent		4,984		—		—		4,984
U.S. Treasury Obligation		—		349		—		349

Total Investments in Securities	$	138,126	$	349	$	—	$	138,475


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *
Unrealized Appreciation	$	232	$	—	$	—	$	232

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

For the year ended May 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2014, 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.


3		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Large Cap Disciplined Equity Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 96.8%

Consumer Discretionary — 11.2%
Aaron’s		79,223	$	2,602
Advance Auto Parts		96,756		12,014
Amazon.com *		6,200		1,938
Apollo Education Group, Cl A *		134,903		3,616
AutoZone *		62,233		33,139
Bally Technologies *		19,060		1,125
Bed Bath & Beyond *		209,334		12,738
Best Buy		360,100		9,960
BorgWarner		42,900		2,698
Carter’s		14,500		1,046
CBS, Cl B		46,200		2,754
Chico’s FAS		55,075		835
Chipotle Mexican Grill, Cl A *		2,000		1,094
Comcast, Cl A (A)		790,289		41,253
Comcast, Special Cl A		137,950		7,151
Delphi Automotive		256,940		17,744
Diamond Resorts International *		66,355		1,277
Dick’s Sporting Goods		88,830		3,949
Dillard’s, Cl A		114,845		12,949
DIRECTV *		46,600		3,842
Discovery Communications, Cl A * (A)		700		54
Dollar General *		3,216		173
Dollar Tree *		152,260		8,074
Expedia (A)		10,625		779
Express *		19,100		241
Ford Motor		304,365		5,004
Francesca’s Holdings * (A)		70,025		1,074
GameStop, Cl A (A)		44,600		1,688
Gap		193,117		7,962
Garmin (A)		27,400		1,614
Gentex		6,200		179
Goodyear Tire & Rubber		108,100		2,851
Graham Holdings, Cl B		1,800		1,218
Harley-Davidson		2,600		185
Harman International Industries		21,300		2,237
Home Depot		110,285		8,848
Houghton Mifflin Harcourt *		49,849		908
Hyatt Hotels, Cl A *		30,245		1,850
Iconix Brand Group * (A)		36,660		1,537
Interpublic Group		83,100		1,589
J.C. Penney * (A)		30,980		279
Jack in the Box		19,900		1,149
Johnson Controls		402,707		19,475
Kohl’s		164,613		8,962
L Brands		18,100		1,039
LifeLock *		55,640		624
Lowe’s		128,600		6,055
Macy’s		509,809		30,532
Marriott Vacations Worldwide *		10,700		606
Matthews International, Cl A		34,565		1,417
McDonald’s		245,602		24,911
MDC Partners, Cl A		57,500		1,209
Michael Kors Holdings *		136,100		12,845
Modine Manufacturing *		94,178		1,438
Mohawk Industries *		39,055		5,298
Morningstar		4,000		284
NetFlix *		14,400		6,017
Newell Rubbermaid		168,463		4,933
NIKE, Cl B		58,400		4,492


Description	Shares		Market Value ($ Thousands)

Norwegian Cruise Line
Holdings *		24,200	$	817
Omnicom Group		25,653		1,825
O’Reilly Automotive *		22,800		3,373
priceline.com *		3,200		4,091
PVH		41,130		5,414
Ross Stores		233,115		15,957
Scripps Networks Interactive, Cl A		15,400		1,177
Staples (A)		72,300		813
Starbucks		9,200		674
Starz *		340,321		10,414
Steven Madden *		49,185		1,567
Target		36,015		2,044
Taylor Morrison Home, Cl A *		61,415		1,308
Tenneco *		21,175		1,350
Thomson Reuters (A)		25,039		869
Thor Industries		12,900		774
Time Warner		194,000		13,547
Time Warner Cable, Cl A		55,712		7,864
TJX		152,990		8,330
Tractor Supply		11,800		767
TripAdvisor * (A)		21,200		2,060
TRW Automotive Holdings * (A)		43,397		3,683
Twenty-First Century Fox, Cl A		421,740		14,934
Under Armour, Cl A *		22,700		1,153
VF		30,600		1,928
Viacom, Cl B		392,215		33,468
Walt Disney		166,050		13,950
Whirlpool		22,700		3,259
Wyndham Worldwide		53,500		3,955
Wynn Resorts		13,300		2,859
Yum! Brands		18,600		1,438

				519,016


Consumer Staples — 9.3%
Altria Group		104,473		4,342
Archer-Daniels-Midland		359,498		16,156
Avon Products		58,200		832
Bunge		101,889		7,918
Cal-Maine Foods		1,700		119
Clorox		9,900		887
Coca-Cola		790,553		32,342
Coca-Cola Enterprises		127,048		5,798
Colgate-Palmolive		270,048		18,471
ConAgra Foods		65,200		2,106
Constellation Brands, Cl A *		132,411		11,140
Costco Wholesale		42,700		4,954
CVS Caremark		432,302		33,858
Dean Foods		11,463		199
Diageo		300,210		9,663
General Mills		22,700		1,247
Henkel		113,262		11,497
Herbalife (A)		64,822		4,202
Hershey		20,500		1,995
Hormel Foods		43,200		2,126
JM Smucker		14,600		1,498
Kellogg		50,390		3,476
Kimberly-Clark		128,072		14,389
Kroger		600,900		28,687
Lorillard (A)		50,100		3,115
Molson Coors Brewing, Cl B		251,350		16,521
Mondelez International, Cl A		663,303		24,953
Monster Beverage *		60,208		4,177


1		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Large Cap Disciplined Equity Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

PepsiCo		280,062	$	24,738
Philip Morris International		402,491		35,637
Procter & Gamble		180,601		14,591
Reynolds American		4,400		262
Safeway		63,000		2,163
Sysco (A)		344,380		12,925
Tyson Foods, Cl A		506,621		21,511
Walgreen		33,100		2,380
Wal-Mart Stores		567,088		43,535
Whole Foods Market		95,857		3,666

				428,076


Energy — 9.4%
Anadarko Petroleum		17,100		1,759
Apache (A)		68,700		6,404
Athlon Energy *		44,645		1,940
Baker Hughes		102,700		7,242
Cabot Oil & Gas		86,600		3,138
Chesapeake Energy		79,000		2,269
Chevron		749,850		92,074
ConocoPhillips		548,554		43,851
CONSOL Energy		318,645		14,075
Diamond Offshore Drilling (A)		25,085		1,281
EOG Resources		96,300		10,189
EP Energy, Cl A *		91,000		1,825
EQT		39,200		4,190
Exxon Mobil		535,806		53,865
Halliburton		130,380		8,428
Helix Energy Solutions Group *		12,100		283
Helmerich & Payne		68,500		7,532
Hess		50,000		4,565
Kinder Morgan		60,900		2,033
Marathon Oil		65,100		2,387
Marathon Petroleum		108,598		9,708
Nabors Industries		12,200		320
National Oilwell Varco		326,220		26,708
Noble Energy		318,780		22,975
Occidental Petroleum		177,045		17,650
Oceaneering International		17,200		1,239
ONEOK		3,700		238
PBF Energy, Cl A		5,515		176
Phillips 66		338,816		28,728
Pioneer Natural Resources (A)		6,900		1,450
Range Resources		2,100		195
RPC		21,400		473
Schlumberger		259,933		27,043
SM Energy		68,421		5,187
Southwestern Energy *		4,100		186
Transocean (A)		23,705		1,007
Unit *		4,800		305
Valero Energy		332,988		18,664
World Fuel Services (A)		102,420		4,748

				436,330


Financials — 14.9%
Aflac		206,650		12,653
Allstate		33,700		1,963
Ally Financial * (A)		251,100		5,916
American Capital Mortgage Investment ‡		9,800		200
American Equity Investment Life Holding (A)		64,420		1,451
American Express		325,846		29,815
American Financial Group		27,000		1,576


Description	Shares		Market Value ($ Thousands)

American International Group		404,151	$	21,852
Ameriprise Financial		49,036		5,522
Annaly Capital Management ‡		150,800		1,778
Aon		19,300		1,736
Apollo Residential Mortgage ‡		6,100		102
Arch Capital Group *		33,605		1,913
Assurant (A)		26,900		1,824
Bank of America		494,973		7,494
Bank of New York Mellon		18,400		636
Berkshire Hathaway, Cl B *		162,774		20,890
BlackRock, Cl A		25,600		7,805
Capital One Financial		248,813		19,629
CBRE Group, Cl A *		605,915		18,080
Chambers Street Properties ‡		61,100		489
Charles Schwab		95,900		2,417
Cincinnati Financial		44,800		2,196
CIT Group		375,350		16,696
Citigroup		1,206,471		57,392
CME Group, Cl A		236,910		17,057
CNA Financial		43,592		1,752
Corrections Corp of America ‡		7,950		259
DCT Industrial Trust ‡		159,600		1,264
Digital Realty Trust ‡ (A)		68,190		3,921
Discover Financial Services		330,273		19,529
ETRADE Financial		102,000		2,078
East West Bancorp		35,895		1,202
Everest Re Group		14,174		2,268
Extra Space Storage ‡		41,370		2,166
Fifth Third Bancorp		302,837		6,266
Franklin Resources		47,200		2,606
Franklin Street Properties ‡		42,800		536
Genworth Financial, Cl A *		430,280		7,310
Goldman Sachs Group		73,900		11,810
Hartford Financial Services Group		424,925		14,724
Highwoods Properties ‡		31,100		1,262
Hospitality Properties Trust ‡		27,100		786
Host Hotels & Resorts ‡		202,371		4,466
Huntington Bancshares		218,281		2,023
IntercontinentalExchange Group		90,829		17,839
Janus Capital Group (A)		373,345		4,361
Jones Lang LaSalle (A)		164,266		19,924
JPMorgan Chase		1,144,802		63,617
KeyCorp		348,400		4,770
Kilroy Realty ‡ (A)		39,460		2,391
LaSalle Hotel Properties ‡		55,600		1,834
Lincoln National		206,135		9,886
Marsh & McLennan		238,680		11,998
McGraw Hill Financial		261,340		21,370
Moody’s (A)		20,200		1,728
Morgan Stanley		151,500		4,675
NASDAQ OMX Group		46,500		1,762
Navient		147,112		2,324
Nelnet, Cl A		10,500		432
Old Republic International		142,922		2,444
PacWest Bancorp		57,130		2,309
PartnerRe		43,800		4,703
PNC Financial Services Group		2,000		171
Popular *		11,905		359
Principal Financial Group		34,400		1,609
Progressive		32,669		818
Prologis ‡		59,200		2,458


2		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Large Cap Disciplined Equity Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Prudential Financial		17,100	$	1,405
Public Storage ‡		61,574		10,614
Realogy Holdings *		280,382		10,425
Regions Financial		1,349,735		13,754
Resource Capital ‡		20,300		117
Signature Bank NY *		33,881		3,924
SLM		802,781		6,912
Springleaf Holdings, Cl A * (A)		77,490		1,819
Strategic Hotels & Resorts *‡		23,700		258
T. Rowe Price Group		140,840		11,483
Torchmark (A)		35,200		2,849
Travelers		114,700		10,719
United Bankshares (A)		58,700		1,779
Unum Group		70,200		2,381
US Bancorp		660,188		27,853
Voya Financial		93,220		3,337
Waddell & Reed Financial, Cl A		69,112		4,173
Wells Fargo		842,461		42,780
Wintrust Financial		42,095		1,834

				687,508


Health Care — 14.4%
Abbott Laboratories		292,800		11,715
AbbVie		608,243		33,046
Actavis *		132,210		27,968
Aetna		145,495		11,283
Agilent Technologies		4,600		262
Alexion Pharmaceuticals *		40,100		6,669
Allergan		149,556		25,045
AmerisourceBergen		266,145		19,477
Amgen		189,133		21,938
Aratana Therapeutics *		41,900		589
Baxter International		26,390		1,964
Becton Dickinson		26,700		3,143
Biogen Idec *		65,551		20,935
Boston Scientific *		519,500		6,665
Bristol-Myers Squibb		316,982		15,767
Brookdale Senior Living, Cl A *		45,925		1,528
C.R. Bard		26,300		3,890
Cardinal Health		19,600		1,384
CareFusion *		173,873		7,464
Celgene *		85,400		13,069
Cerner * (A)		32,400		1,751
Cigna		141,200		12,677
Covidien		216,230		15,809
Eli Lilly		251,522		15,056
Express Scripts Holding *		692,873		49,520
Forest Laboratories *		21,969		2,082
Gilead Sciences * (A)		534,053		43,371
Henry Schein *		1,202		144
Hospira *		3,000		147
Humana		26,100		3,248
Intrexon * (A)		24,005		506
Intuitive Surgical *		10,500		3,882
Jazz Pharmaceuticals *		6,400		908
Johnson & Johnson		303,972		30,841
Laboratory Corp of America Holdings *		11,400		1,169
Magellan Health Services *		36,640		2,231
McKesson		144,422		27,388
Medtronic		62,276		3,801
Merck		197,477		11,426
Mylan Laboratories *		48,500		2,417
PerkinElmer		27,200		1,223


Description	Shares		Market Value ($ Thousands)

Perrigo		15,100	$	2,087
Pfizer		3,148,136		93,279
Phibro Animal Health, Cl A *		73,100		1,391
Quintiles Transnational Holdings *		172,395		8,789
Sirona Dental Systems *		22,310		1,678
St. Jude Medical		49,200		3,193
Thermo Fisher Scientific		115,380		13,489
UnitedHealth Group		404,832		32,237
Varian Medical Systems *		3,900		321
Vertex Pharmaceuticals *		43,595		3,150
WellPoint		53,200		5,765
Zimmer Holdings		3,500		365
Zoetis, Cl A		1,190,195		36,539

				665,681


Industrials — 11.2%
3M		65,366		9,318
ACCO Brands * (A)		172,020		1,036
Actuant, Cl A (A)		59,525		2,115
AECOM Technology *		18,900		608
AGCO		4,916		265
Air Lease, Cl A		50,555		2,086
Alaska Air Group		23,725		2,336
Allegion		35,133		1,840
Altra Holdings		36,820		1,259
American Airlines Group *		185,750		7,460
Ametek		22,000		1,168
AO Smith		22,600		1,116
Applied Industrial Technologies		26,500		1,262
BE Aerospace *		12,550		1,214
Boeing		180,980		24,477
Canadian National Railway		291,460		17,657
Carlisle		13,700		1,162
Cintas		25,000		1,553
CSX		271,240		7,974
Danaher		40,700		3,192
Deere		239,975		21,878
Delta Air Lines		139,600		5,571
Dover		4,900		427
Dun & Bradstreet (A)		4,500		465
Eaton		132,485		9,763
Echo Global Logistics *		76,539		1,421
EMCOR Group		29,780		1,326
Emerson Electric		308,735		20,602
EnerSys (A)		12,300		849
Equifax		8,900		630
FedEx		98,775		14,239
Flowserve		33,100		2,441
General Dynamics		23,820		2,814
General Electric		1,894,993		50,767
Harsco		5,600		151
Hexcel *		29,300		1,203
Honeywell International		240,793		22,430
Huntington Ingalls Industries		12,700		1,268
IDEX		9,200		705
Illinois Tool Works		62,700		5,427
Ingersoll-Rand		28,800		1,723
Joy Global (A)		146,395		8,366
KBR		12,800		311
Kennametal		27,225		1,226
L-3 Communications Holdings, Cl 3		70,331		8,522
Lockheed Martin		170,375		27,882


3		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Large Cap Disciplined Equity Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Manpowergroup		64,575	$	5,294
Masco		126,700		2,699
MasTec * (A)		29,835		1,074
Nielsen Holdings		42,300		2,042
Norfolk Southern		46,400		4,675
Northrop Grumman		264,030		32,093
Oshkosh Truck		106,100		5,735
Parker Hannifin		40,600		5,084
Pentair		30,100		2,247
Pitney Bowes (A)		69,400		1,917
Polypore International * (A)		20,200		898
Precision Castparts		1,600		405
Quanta Services *		39,445		1,339
Raytheon		116,000		11,318
Republic Services, Cl A		148,730		5,265
Robert Half International		168,741		7,693
Rockwell Automation		3,900		472
Roper Industries		1,500		212
RR Donnelley & Sons		374,142		5,926
Snap-on		12,900		1,513
Southwest Airlines		560,649		14,829
SPX		9,700		1,015
Stericycle *		3,900		446
Toro		27,540		1,779
TriMas *		48,180		1,692
Tyco International		847,090		36,967
UniFirst		3,700		366
Union Pacific		94,100		18,751
United Parcel Service, Cl B		103,800		10,783
United Technologies		230,668		26,808
Woodward Governor		36,780		1,644
WW Grainger		18,253		4,716

				519,202


Information Technology — 19.1%
Accenture, Cl A		282,899		23,042
Activision Blizzard		96,679		2,009
Alliance Data Systems * (A)		18,100		4,634
Amdocs		217,050		10,444
Ansys *		7,000		514
Apple		230,290		145,774
Applied Materials		230,040		4,644
Autodesk *		3,700		194
Automatic Data Processing		78,600		6,263
Avago Technologies, Cl A		24,400		1,724
Avnet		38,200		1,664
Blackhawk Network Holdings, Cl A *		67,225		1,670
Booz Allen Hamilton Holding, Cl A		43,483		962
Broadridge Financial Solutions		34,100		1,399
BroadSoft *		68,835		1,485
Brocade Communications Systems		443,959		4,049
CA		38,400		1,102
Cisco Systems		904,155		22,260
Cognizant Technology Solutions, Cl A *		335,704		16,319
Computer Sciences		6,997		440
Convergys		55,200		1,204
Corning		153,350		3,266
DST Systems		40,100		3,655
eBay *		285,850		14,501
EMC		788,575		20,945


Description	Shares		Market Value ($ Thousands)

Facebook, Cl A *		475,873	$	30,123
FactSet Research Systems (A)		32,846		3,519
Fidelity National Information Services		47,100		2,550
Fiserv *		97,700		5,873
FLIR Systems		57,105		1,994
Genpact *		17,500		295
Google, Cl A *		71,910		41,107
Google, Cl C *		84,450		47,375
Harris		60,200		4,651
Hewlett-Packard		760,701		25,483
iGATE *		30,400		1,060
Informatica *		36,795		1,346
Ingram Micro, Cl A *		322,302		8,950
Intel (A)		1,029,579		28,128
InterDigital		41,880		1,591
International Business Machines		256,552		47,298
Intuit		20,800		1,649
j2 Global (A)		39,440		1,868
Linear Technology		7,400		342
Littelfuse		13,015		1,141
Mastercard, Cl A		321,020		24,542
MAXIMUS		12,000		536
Micron Technology *		609,294		17,420
Micros Systems *		38,855		2,076
Microsemi *		38,000		925
Microsoft		1,649,938		67,548
Motorola Solutions		5,500		371
NetApp		32,700		1,210
NeuStar, Cl A * (A)		7,300		205
NXP Semiconductor *		142,085		8,823
Oracle		553,516		23,259
Paychex		45,800		1,883
Qualcomm		633,790		50,988
Red Hat *		157,695		7,904
Rovi *		39,100		945
Seagate Technology		243,276		13,071
Skyworks Solutions		43,900		1,901
Solera Holdings		2,100		137
Sykes Enterprises *		9,800		198
Symantec		335,700		7,382
Synaptics * (A)		13,895		946
Synopsys *		8,700		335
Syntel *		12,600		1,019
TE Connectivity		81,518		4,847
Texas Instruments		211,365		9,930
TIBCO Software *		57,895		1,245
Total System Services		34,900		1,056
VeriSign * (A)		16,900		846
Visa, Cl A		83,162		17,866
Web.com Group *		40,125		1,382
Western Digital		303,092		26,627
Western Union (A)		729,853		11,802
Xerox		1,224,022		15,117
Xilinx		35,540		1,669
Yahoo! *		143,600		4,976

				881,493


Materials — 3.4%
Airgas		2,600		276
Alcoa (A)		337,000		4,587
Ball		6,800		410
Bemis		200		8


4		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Large Cap Disciplined Equity Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Carpenter Technology		21,325	$	1,333
Compass Minerals
International		15,500		1,441
Cytec Industries		4,500		447
Dow Chemical		407,632		21,246
E.I. du Pont de Nemours		61,991		4,297
Eastman Chemical		121,265		10,703
Ecolab		28,000		3,057
FMC		19,300		1,478
Freeport-McMoRan Copper & Gold, Cl B		424,513		14,455
International Flavors & Fragrances		9,400		933
KapStone Paper and Packaging *		32,270		938
Koppers Holdings		14,100		512
LyondellBasell Industries, Cl A		357,583		35,605
Monsanto		128,605		15,671
Owens-Illinois *		42,390		1,409
PPG Industries		15,600		3,145
Praxair		30,200		3,994
Rockwood Holdings		12,650		966
Schweitzer-Mauduit International		34,955		1,457
Sherwin-Williams		13,700		2,803
Sigma-Aldrich		1,800		177
Silver Wheaton		20,635		424
Southern Copper		77,200		2,294
Taminco *		89,235		1,902
Tronox, Cl A		54,100		1,437
United States Steel (A)		56,700		1,306
US Silica Holdings		12,620		638
Vulcan Materials (A)		221,210		13,487
Westlake Chemical		38,200		3,088
Worthington Industries		3,900		157

				156,081


Telecommunication Services — 1.9%
AT&T		877,062		31,110
Verizon Communications		1,175,488		58,727

				89,837


Utilities — 2.0%
AES		464,500		6,550
AGL Resources		108,000		5,765
Ameren		11,300		445
CMS Energy (A)		129,930		3,865
Dominion Resources		74,000		5,103
Duke Energy		29,800		2,118
Edison International		321,896		17,749
Entergy		124,379		9,381
Exelon		319,720		11,775
NextEra Energy		58,700		5,715
NiSource		47,300		1,768
Pattern Energy Group, Cl A		65,945		2,001
PPL		213,500		7,492
Public Service Enterprise Group		108,600		4,231
SCANA		34,000		1,768
Sempra Energy		51,200		5,138
Southern		5,400		236

				91,100

Total Common Stock (Cost $3,756,944) ($ Thousands)				4,474,324


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

PREFERRED STOCK — 0.1%

Preferred Stock — 0.1%
Henkel		27,976	$	3,234

Total Preferred Stock (Cost $2,465) ($ Thousands)				3,234


AFFILIATED PARTNERSHIP — 3.5%
SEI Liquidity Fund, L.P. 0.070% ** † (B)		160,097,885		160,098

Total Affiliated Partnership (Cost $160,098) ($ Thousands)				160,098


CASH EQUIVALENT — 2.5%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010% ** †		115,684,608		115,685

Total Cash Equivalent (Cost $115,685) ($ Thousands)				115,685


U.S. TREASURY OBLIGATIONS (C) (D) — 0.2%
U.S. Cash Management Bill - Reopening 0.000%, 06/19/2014	$	200		200
U.S. Treasury Bills 0.065%, 07/24/2014		9,829		9,829

Total U.S. Treasury Obligations (Cost $10,028) ($ Thousands)				10,029

Total Investments — 103.1% (Cost $4,045,220) ($ Thousands)			$	4,763,370

A list of the open futures contracts held by the Fund at May 31, 2014, is as follows:

Type of Contract

Number of
Contracts
Long

Expiration
Date

Unrealized
Appreciation
($ Thousands)

S&P 500 Index E-MINI

866

Jun-2014

2,687

Percentages are based on a Net Assets of $4,622,216 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2014.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

(A)

This security or a partial position of this security is on loan at May 31, 2014. The total market value of securities on loan at May 31, 2014 was $156,188 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of May 31, 2014 was $160,098 ($ Thousands).


5		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Large Cap Disciplined Equity Fund

May 31, 2014

(C)

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

(D)

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

Cl — Class

L.P. — Limited Partnership

S&P — Standard & Poor’s

Ser — Series

The following is a list of the level of inputs used as of May 31, 2014, 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	$	4,474,324	$	—	$	—	$	4,474,324
Preferred Stock		3,234		—		—		3,234
Affiliated Partnership		—		160,098		—		160,098
Cash Equivalent		115,685		—		—		115,685
U.S. Treasury Obligations		—		10,029		—		10,029

Total Investments in Securities	$	4,593,243	$	170,127	$	—	$	4,763,370


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts * Unrealized Appreciation	$	2,687	$	—	$	—	$	2,687

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

For the year ended May 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

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


6		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Large Cap Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 98.1%

Consumer Discretionary — 12.5%
Aaron’s		7,400	$	243
Abercrombie & Fitch, Cl A (A)		9,502		361
Advance Auto Parts		6,008		746
Allison Transmission Holdings, Cl A		2,500		77
Amazon.com *		34,689		10,842
AMC Networks, Cl A *		7,085		438
American Eagle Outfitters		24,371		262
Apollo Education Group, Cl A *		12,264		329
Ascena Retail Group *		15,200		254
AutoNation *		4,332		248
AutoZone *		3,107		1,655
Bally Technologies *		4,500		265
Bed Bath & Beyond *		17,915		1,090
Best Buy		24,947		690
Big Lots *		7,100		301
BorgWarner (A)		21,364		1,344
Brinker International		6,283		312
Burger King Worldwide (A)		13,000		334
Cabela’s *		3,300		202
Cablevision Systems, Cl A (A)		20,742		366
Carmax *		20,460		907
Carnival, Cl A		40,900		1,637
Carter’s		6,000		433
CBS, Cl B		53,169		3,169
Charter Communications, Cl A *		5,500		787
Chico’s FAS		17,700		268
Chipotle Mexican Grill, Cl A *		3,019		1,652
Choice Hotels International (A)		2,584		116
Cinemark Holdings		8,700		274
Clear Channel Outdoor Holdings, Cl A		700		6
Coach (A)		27,567		1,122
Comcast, Cl A (A)		247,825		12,937
CST Brands		7,148		236
Darden Restaurants		12,222		613
Deckers Outdoor *		2,600		201
Delphi Automotive		30,800		2,127
DeVry Education Group		7,600		321
Dick’s Sporting Goods		10,658		474
Dillard’s, Cl A		3,000		338
DIRECTV *		45,539		3,754
Discovery Communications, Cl A * (A)		22,100		1,701
DISH Network, Cl A *		19,162		1,124
Dollar General *		29,000		1,560
Dollar Tree *		17,858		947
Domino’s Pizza		6,000		435
DR Horton		26,068		617
DreamWorks Animation SKG, Cl A *		6,434		181
DSW, Cl A		7,200		180
Dunkin’ Brands Group (A)		9,800		439
Expedia (A)		10,167		745
Family Dollar Stores		10,362		607
Foot Locker		16,169		779
Ford Motor		374,584		6,158
Fossil Group *		4,000		419
GameStop, Cl A (A)		11,000		416


Description	Shares		Market Value ($ Thousands)

Gannett		21,259	$	591
Gap		25,421		1,048
Garmin (A)		13,500		795
General Motors		115,500		3,994
Gentex		15,432		446
Genuine Parts		15,071		1,301
GNC Holdings, Cl A		9,100		336
Goodyear Tire & Rubber		26,452		698
Graham Holdings, Cl B		557		377
Groupon, Cl A * (A)		44,900		264
Guess?		7,700		196
H&R Block		28,825		858
Hanesbrands		10,643		903
Harley-Davidson		22,003		1,568
Harman International Industries		6,268		658
Hasbro		12,367		664
Hilton Worldwide Holdings *		17,400		394
Home Depot		128,915		10,343
HomeAway *		4,300		132
Hyatt Hotels, Cl A *		5,700		349
International Game Technology		27,943		351
Interpublic Group		34,875		667
J.C. Penney * (A)		22,351		201
Jarden *		12,050		682
John Wiley & Sons, Cl A (A)		5,842		320
Johnson Controls		65,845		3,184
Kohl’s		20,719		1,128
L Brands		23,557		1,352
Lamar Advertising, Cl A		7,040		347
Lands’ End * (A)		1,031		29
Las Vegas Sands		38,693		2,961
Lear		8,400		740
Leggett & Platt (A)		11,219		381
Lennar, Cl A		15,430		631
Liberty Global, Cl A * (A)		35,490		1,598
Liberty Global *		35,490		1,519
Liberty Interactive, Cl A *		44,147		1,286
Liberty Media *		8,320		1,058
Liberty Ventures, Ser A *		5,806		385
Lions Gate Entertainment (A)		10,400		272
LKQ *		30,300		841
Lowe’s		96,010		4,520
Macy’s		32,830		1,966
Madison Square Garden, Cl A *		5,360		294
Marriott International, Cl A		22,487		1,386
Mattel		33,942		1,318
McDonald’s		94,480		9,583
MGM Resorts International *		30,839		794
Michael Kors Holdings *		19,800		1,869
Mohawk Industries *		5,066		687
Morningstar		3,100		221
Murphy USA *		5,788		295
NetFlix *		4,800		2,006
Newell Rubbermaid		28,565		836
News, Cl A *		49,146		838
NIKE, Cl B		68,934		5,302
Nordstrom		14,412		981
Norwegian Cruise Line Holdings *		3,300		111
NVR *		524		584
Omnicom Group		25,444		1,810


1		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Large Cap Index Fund

May 31, 2014


Description	Shares			Market Value ($ Thousands)

O’Reilly Automotive *		10,740		$	1,589
Panera Bread, Cl A *		3,162			486
Penn National Gaming *		8,189			95
PetSmart (A)		8,373			481
Polaris Industries (A)		6,500			838
priceline.com *		5,000			6,393
PulteGroup		31,745			621
PVH		8,200			1,079
Ralph Lauren, Cl A		5,080			780
Regal Entertainment Group, Cl A (A)		7,388			144
Ross Stores		21,553			1,475
Royal Caribbean Cruises		17,100			945
Sally Beauty Holdings *		15,500			397
Scripps Networks Interactive, Cl A		9,172			701
Sears Holdings * (A)		3,428			144
Service International		14,794			296
Signet Jewelers		8,700			923
Sirius XM Holdings * (A)		281,700			924
Six Flags Entertainment		8,500			344
Staples (A)		56,364			634
Starbucks		72,706			5,325
Starwood Hotels & Resorts Worldwide		19,084			1,524
Starz *		13,420			411
Target		59,385			3,371
Tempur Sealy International *		7,300			401
Tesla Motors * (A)		8,100			1,683
Thomson Reuters		36,500			1,266
Thor Industries		5,500			330
Tiffany		11,225			1,116
Time Warner		85,179			5,948
Time Warner Cable, Cl A		28,484			4,021
TJX		70,308			3,828
Toll Brothers *		15,751			571
Tractor Supply		11,800			767
TripAdvisor * (A)		11,267			1,095
TRW Automotive Holdings *		8,593	��		729
Tupperware Brands		4,800			402
Twenty-First Century Fox, Cl A		186,385			6,600
Ulta Salon Cosmetics & Fragrance *		6,852			582
Under Armour, Cl A *		15,800			802
Urban Outfitters *		8,220			276
VF		31,868			2,008
Viacom, Cl B		41,369			3,530
Visteon *		5,400			492
Walt Disney		170,172			14,296
Weight Watchers International		3,362			70
Wendy’s (A)		24,175			198
Whirlpool		8,387			1,204
Williams-Sonoma		7,562			506
Wyndham Worldwide		13,568			1,003
Wynn Resorts		7,896			1,697
Yum! Brands		41,548			3,212

					237,841


Consumer Staples — 8.7%
Altria Group		188,840			7,848
Archer-Daniels-Midland		60,579			2,722
Avon Products		35,206			503
Brown-Forman, Cl B		13,827			1,281
Bunge		13,500			1,049


Description	Shares		Market Value ($ Thousands)

Campbell Soup (A)		14,278	$	655
Church & Dwight		11,507		797
Clorox (A)		12,103		1,085
Coca-Cola		361,540		14,790
Coca-Cola Enterprises		22,715		1,037
Colgate-Palmolive		90,550		6,193
ConAgra Foods		40,686		1,314
Constellation Brands, Cl A *		15,631		1,315
Costco Wholesale		42,481		4,929
CVS Caremark		115,252		9,026
Dean Foods		11,593		202
Dr. Pepper Snapple Group (A)		20,600		1,189
Energizer Holdings		6,741		782
Estee Lauder, Cl A		22,808		1,748
Flowers Foods		11,825		247
Fresh Market * (A)		2,500		77
General Mills		59,592		3,273
Herbalife (A)		9,000		583
Hershey		14,698		1,431
Hillshire Brands		8,800		469
Hormel Foods		14,478		713
Ingredion		7,100		541
JM Smucker		9,811		1,007
Kellogg		25,503		1,759
Keurig Green Mountain (A)		13,600		1,534
Kimberly-Clark		37,618		4,226
Kraft Foods Group		55,002		3,270
Kroger		47,473		2,266
Lorillard (A)		37,250		2,316
McCormick		13,293		961
Mead Johnson Nutrition, Cl A		19,886		1,779
Molson Coors Brewing, Cl B		12,262		806
Mondelez International, Cl A		158,406		5,959
Monster Beverage *		11,200		777
Nu Skin Enterprises, Cl A		5,500		406
PepsiCo		146,052		12,901
Philip Morris International		154,468		13,677
Procter & Gamble		259,574		20,971
Reynolds American		30,920		1,844
Safeway		25,620		880
Sysco (A)		53,948		2,025
Tyson Foods, Cl A		26,965		1,145
Walgreen		88,825		6,387
Wal-Mart Stores		151,979		11,667
WhiteWave Foods, Cl A *		11,922		375
Whole Foods Market		38,304		1,465

				166,202


Energy — 9.8%
Anadarko Petroleum		46,840		4,818
Antero Resources *		2,200		135
Apache		36,259		3,380
Atwood Oceanics *		7,200		355
Baker Hughes		40,740		2,873
Cabot Oil & Gas		41,300		1,497
Cameron International *		19,144		1,224
Cheniere Energy *		23,300		1,587
Chesapeake Energy		56,766		1,630
Chevron		183,602		22,544
Cimarex Energy		8,700		1,123
Cobalt International Energy *		25,100		464
Concho Resources *		9,600		1,265
ConocoPhillips		115,076		9,199
CONSOL Energy		19,644		868


2		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Large Cap Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Continental Resources * (A)		4,800	$	674
Denbury Resources (A)		39,324		664
Devon Energy		37,313		2,757
Diamond Offshore Drilling (A)		6,209		317
Dresser-Rand Group *		6,034		369
Dril-Quip *		4,400		450
Energen		7,737		661
EOG Resources		50,890		5,384
EQT		14,666		1,567
Exxon Mobil		422,038		42,427
FMC Technologies *		23,020		1,336
Golar LNG (A)		5,500		256
Gulfport Energy *		7,200		443
Halliburton		79,236		5,122
Helmerich & Payne		9,250		1,017
Hess		27,512		2,512
HollyFrontier		20,326		1,001
Kinder Morgan		60,222		2,011
Kosmos Energy *		9,200		96
Laredo Petroleum Holdings *		2,000		55
Marathon Oil		64,876		2,378
Marathon Petroleum		28,988		2,591
McDermott International * (A)		12,400		90
Murphy Oil		17,554		1,083
Nabors Industries		26,800		703
National Oilwell Varco		39,480		3,232
Newfield Exploration *		10,499		383
Noble Energy		32,824		2,366
Oasis Petroleum *		8,600		426
Occidental Petroleum		75,654		7,542
Oceaneering International		10,900		785
Oil States International *		5,700		613
ONEOK		18,958		1,223
Patterson-UTI Energy		15,732		521
PBF Energy, Cl A		2,900		93
Peabody Energy		24,774		400
Phillips 66		54,788		4,645
Pioneer Natural Resources		12,544		2,636
QEP Resources		16,646		532
Range Resources		15,939		1,482
Rice Energy *		8,100		257
Rowan, Cl A		12,686		393
RPC		5,550		123
SandRidge Energy * (A)		60,700		405
Schlumberger		125,563		13,064
Seadrill (A)		34,600		1,315
SM Energy		7,200		546
Southwestern Energy *		34,376		1,563
Spectra Energy		61,309		2,488
Superior Energy Services		12,300		408
Teekay		3,800		220
Tesoro		11,046		621
Tidewater		6,370		332
Ultra Petroleum * (A)		18,600		503
Unit *		6,027		383
Valero Energy		50,236		2,816
Whiting Petroleum *		12,800		920
Williams		62,946		2,956
World Fuel Services (A)		8,900		413
WPX Energy *		22,248		471

				186,002


Financials — 16.5%
ACE		31,500		3,267


Description	Shares		Market Value ($ Thousands)

Affiliated Managers Group *		4,820	$	909
Aflac		42,856		2,624
Alexandria Real Estate Equities ‡		8,300		632
Alleghany *		1,804		760
Allied World Assurance Holdings		11,100		416
Allstate		39,725		2,314
American Campus Communities ‡		11,600		451
American Capital *		27,500		406
American Capital Agency ‡		34,159		811
American Express		89,134		8,156
American Financial Group		7,014		410
American International Group		138,723		7,501
American National Insurance		222		25
American Tower, Cl A ‡		38,022		3,408
Ameriprise Financial		18,000		2,027
Annaly Capital Management ‡		82,111		968
Aon		28,344		2,549
Apartment Investment & Management, Cl A ‡		10,199		321
Arch Capital Group *		13,100		746
Ares Capital		30,203		521
Arthur J Gallagher		12,004		550
Aspen Insurance Holdings		7,000		322
Associated Banc		21,584		372
Assurant		7,093		481
Assured Guaranty		15,100		369
AvalonBay Communities ‡		12,741		1,807
Axis Capital Holdings		12,700		584
Bank of America		1,019,263		15,432
Bank of Hawaii		5,582		311
Bank of New York Mellon		113,709		3,930
BankUnited		3,600		117
BB&T		64,306		2,438
Berkshire Hathaway, Cl B *		170,400		21,869
BioMed Realty Trust ‡ (A)		19,100		414
BlackRock, Cl A		12,785		3,898
BOK Financial		3,275		206
Boston Properties ‡		14,884		1,796
Brandywine Realty Trust ‡		18,000		275
Brown & Brown		14,324		432
Camden Property Trust ‡		6,347		446
Capital One Financial		57,125		4,507
CBL & Associates Properties ‡		15,700		295
CBOE Holdings		7,900		400
CBRE Group, Cl A *		22,617		675
Charles Schwab		100,785		2,541
Chimera Investment ‡		127,100		400
Chubb		23,218		2,151
Cincinnati Financial		13,486		661
CIT Group		19,400		863
Citigroup		287,504		13,676
City National		3,538		252
CME Group, Cl A		28,870		2,079
CNA Financial		1,700		68
Comerica		15,553		746
Commerce Bancshares		7,088		308
CommonWealth ‡		14,325		377
Corporate Office Properties
Trust ‡		10,300		284
Corrections Corp of America ‡		10,240		333


3		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Large Cap Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Crown Castle International ‡		32,396	$	2,486
Cullen/Frost Bankers (A)		4,568		342
DDR ‡		32,100		556
Digital Realty Trust ‡ (A)		12,000		690
Discover Financial Services		45,089		2,666
Douglas Emmett ‡		14,000		397
Duke Realty ‡		33,309		590
ETRADE Financial		30,600		623
East West Bancorp		12,300		412
Eaton Vance		11,010		409
Endurance Specialty Holdings		5,400		279
Equity Lifestyle Properties ‡		10,200		446
Equity Residential ‡		35,487		2,193
Erie Indemnity, Cl A		2,419		183
Essex Property Trust ‡ (A)		5,654		1,023
Everest Re Group		4,900		784
Extra Space Storage ‡		10,100		529
Federal Realty Investment Trust ‡		6,096		729
Federated Investors, Cl B (A)		9,458		267
Fidelity National Financial, Cl A		27,252		909
Fifth Third Bancorp		86,082		1,781
First Citizens BancShares, Cl A		600		132
First Horizon National		31,256		358
First Niagara Financial Group		24,600		212
First Republic Bank		12,800		651
Forest City Enterprises, Cl A *		17,642		335
Franklin Resources		37,409		2,065
Fulton Financial		24,795		296
Gaming and Leisure
Properties ‡ (A)		9,791		329
General Growth Properties ‡		49,353		1,176
Genworth Financial, Cl A *		47,792		812
Goldman Sachs Group		43,075		6,884
Hanover Insurance Group		4,693		282
Hartford Financial Services Group		44,810		1,553
Hatteras Financial ‡		12,100		245
HCC Insurance Holdings		10,741		505
HCP ‡		44,674		1,865
Health Care ‡		27,883		1,763
Healthcare Trust of America, Cl A ‡		1,600		19
Home Properties ‡		3,700		230
Hospitality Properties Trust ‡		15,366		446
Host Hotels & Resorts ‡		72,740		1,605
Howard Hughes *		4,273		633
Hudson City Bancorp		48,328		472
Huntington Bancshares		88,434		820
Interactive Brokers Group, Cl A		2,200		51
IntercontinentalExchange Group		10,380		2,039
Invesco		43,600		1,600
Jones Lang LaSalle		4,000		485
JPMorgan Chase		357,834		19,885
Kemper		6,260		219
KeyCorp		84,895		1,162
Kilroy Realty ‡		8,100		491
Kimco Realty ‡		44,244		1,014
Lazard, Cl A		11,700		591


Description	Shares		Market Value ($ Thousands)

Legg Mason (A)		10,081	$	492
Leucadia National		29,206		749
Liberty Property Trust ‡		12,806		496
Lincoln National		26,188		1,256
Loews		30,036		1,295
LPL Financial Holdings		5,700		267
M&T Bank (A)		12,634		1,533
Macerich ‡		13,611		899
Mack-Cali Realty ‡		10,898		237
Markel *		1,450		928
Marsh & McLennan		50,565		2,542
MBIA *		13,559		160
McGraw-Hill		24,939		2,039
Mercury General		2,396		113
MetLife		87,209		4,442
MFA Mortgage Investments ‡		44,200		364
Mid-America Apartment Communities ‡		5,900		427
Moody’s (A)		19,027		1,627
Morgan Stanley		148,478		4,582
MSCI, Cl A *		11,100		479
NASDAQ OMX Group		12,000		455
National Retail Properties ‡ (A)		11,400		399
Navient		43,114		681
New York Community Bancorp (A)		46,372		709
Northern Trust		23,405		1,414
Ocwen Financial *		10,800		379
Old Republic International		27,890		477
Omega Healthcare Investors ‡		8,500		314
PartnerRe		4,500		483
People’s United Financial (A)		28,134		404
Piedmont Office Realty Trust, Cl A ‡ (A)		21,400		398
Plum Creek Timber ‡ (A)		17,621		795
PNC Financial Services Group		51,722		4,410
Popular *		10,653		322
Post Properties ‡		6,700		343
Principal Financial Group		28,708		1,343
ProAssurance		7,600		345
Progressive		59,280		1,484
Prologis ‡		49,118		2,039
Protective Life		5,609		293
Prudential Financial		45,363		3,727
Public Storage ‡		13,068		2,253
Raymond James Financial		11,321		548
Rayonier ‡		11,704		557
Realogy Holdings *		12,400		461
Realty Income ‡ (A)		19,500		844
Regency Centers ‡		8,308		444
Regions Financial		137,987		1,406
Reinsurance Group of America, Cl A		6,699		524
RenaissanceRe Holdings		3,200		333
Retail Properties of America, Cl A ‡		11,300		170
Santander Consumer USA Holdings		12,400		244
SEI (B)		13,142		433
Senior Housing Properties Trust ‡		22,000		528
Signature Bank NY *		4,300		498
Simon Property Group ‡		30,181		5,024


4		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Large Cap Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

SL Green Realty ‡ (A)		8,768	$	960
SLM		43,114		371
Spirit Realty Capital ‡		32,700		369
St. Joe * (A)		8,061		190
StanCorp Financial Group		5,642		339
Starwood Property Trust ‡		21,500		524
Starwood Waypoint Residential Trust *‡		4,300		117
State Street		41,294		2,695
SunTrust Banks		48,946		1,876
SVB Financial Group *		4,100		432
Synovus Financial		14,096		325
T. Rowe Price Group		23,480		1,914
Tanger Factory Outlet Centers ‡		9,800		347
Taubman Centers ‡		7,200		539
TCF Financial (A)		20,301		323
TD Ameritrade Holding (A)		25,145		763
TFS Financial *		10,200		138
Torchmark (A)		9,725		787
Travelers		34,075		3,184
Two Harbors Investment ‡		31,800		335
UDR ‡		23,393		644
Unum Group		26,505		899
US Bancorp		173,697		7,328
Validus Holdings		9,326		348
Valley National Bancorp (A)		24,716		239
Ventas ‡		28,792		1,923
Vornado Realty Trust ‡		18,336		1,963
Voya Financial		9,700		347
Waddell & Reed Financial, Cl A		9,300		562
Washington Federal		13,263		276
Washington Prime Group *‡		15,091		300
Weingarten Realty Investors ‡ (A)		14,967		476
Wells Fargo		457,366		23,225
Weyerhaeuser ‡ (A)		55,092		1,731
White Mountains Insurance Group		747		441
WP Carey ‡		5,000		318
WR Berkley		9,914		442
XL Group, Cl A		29,500		958
Zions Bancorporation		17,002		486

				315,248


Health Care — 12.7%
Abbott Laboratories		151,376		6,057
AbbVie		148,876		8,088
Actavis *		16,102		3,406
Aetna		33,735		2,616
Agilent Technologies		31,364		1,786
Alere *		9,300		333
Alexion Pharmaceuticals *		19,300		3,210
Alkermes *		11,400		522
Allergan		27,596		4,621
Allscripts Healthcare Solutions *		21,800		321
AmerisourceBergen		20,724		1,517
Amgen		70,558		8,184
ARIAD Pharmaceuticals * (A)		24,600		159
Baxter International		53,075		3,949
Becton Dickinson		17,644		2,077
Biogen Idec *		22,300		7,122


Description	Shares		Market Value ($ Thousands)

BioMarin Pharmaceutical *		12,500	$	724
Bio-Rad Laboratories, Cl A *		2,500		302
Boston Scientific *		132,339		1,698
Bristol-Myers Squibb		154,359		7,678
Brookdale Senior Living, Cl A *		12,100		402
Bruker *		11,900		249
C.R. Bard		6,885		1,018
Cardinal Health		31,229		2,206
CareFusion *		21,764		934
Catamaran *		17,348		759
Celgene *		40,380		6,179
Cerner * (A)		29,196		1,578
Charles River Laboratories International *		6,143		329
Cigna		24,555		2,204
Community Health Systems *		13,591		568
Cooper		5,204		672
Covance *		5,136		431
Covidien		43,500		3,180
Cubist Pharmaceuticals *		7,000		466
DaVita *		16,916		1,194
Dentsply International		15,498		733
Edwards Lifesciences *		9,414		765
Eli Lilly		96,361		5,768
Endo International *		14,097		995
Envision Healthcare Holdings *		2,100		72
Express Scripts Holding *		72,536		5,184
Forest Laboratories *		26,173		2,481
Gilead Sciences *		143,934		11,689
HCA Holdings *		26,100		1,383
Health Net *		10,602		424
Henry Schein *		8,784		1,051
Hill-Rom Holdings		7,724		307
Hologic *		28,000		684
Hospira *		17,881		879
Humana		15,475		1,926
Idexx Laboratories *		5,052		649
Illumina *		11,505		1,821
Incyte *		8,500		421
Intuitive Surgical *		3,700		1,368
Jazz Pharmaceuticals *		4,800		681
Johnson & Johnson		266,209		27,010
Laboratory Corp of America Holdings *		7,711		791
LifePoint Hospitals *		4,976		305
Mallinckrodt * (A)		4,200		327
McKesson		22,166		4,204
Medivation *		7,600		554
MEDNAX *		9,400		542
Medtronic		98,685		6,023
Merck		285,643		16,527
Mettler Toledo International *		3,236		793
Mylan Laboratories *		37,419		1,865
Myriad Genetics * (A)		9,700		322
Omnicare (A)		11,331		720
Patterson (A)		9,383		367
PerkinElmer		10,134		456
Perrigo		11,300		1,562
Pfizer		633,022		18,756
Pharmacyclics * (A)		6,200		551
Premier, Cl A *		800		24
QIAGEN *		25,200		578
Quest Diagnostics		12,744		763


5		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Large Cap Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Quintiles Transnational
Holdings *		700	$	36
Regeneron Pharmaceuticals *		8,000		2,456
ResMed (A)		15,435		773
Salix Pharmaceuticals *		5,600		639
Seattle Genetics * (A)		10,800		360
Sirona Dental Systems *		3,900		293
St. Jude Medical		27,846		1,807
Stryker		30,504		2,577
Techne		4,541		399
Teleflex		4,440		474
Tenet Healthcare * (A)		9,398		442
Theravance * (A)		9,400		269
Thermo Fisher Scientific		36,425		4,258
United Therapeutics *		4,600		440
UnitedHealth Group		95,820		7,630
Universal Health Services, Cl B		7,376		661
Varian Medical Systems * (A)		8,930		736
VCA Antech *		10,839		365
Vertex Pharmaceuticals *		22,800		1,648
Waters *		8,672		868
WellPoint		27,031		2,929
Zimmer Holdings		16,525		1,724
Zoetis, Cl A		49,044		1,506

				242,350


Industrials — 11.1%
3M		61,533		8,772
ADT (A)		16,600		535
AECOM Technology *		11,700		376
AGCO		10,500		567
Air Lease, Cl A		7,900		326
Alaska Air Group		6,400		630
Allegion		10,966		574
Alliant Techsystems		3,436		434
AMERCO		900		249
American Airlines Group *		21,600		867
Ametek		22,480		1,193
AO Smith		8,300		410
Armstrong World Industries *		1,900		101
Avis Budget Group * (A)		11,500		658
Babcock & Wilcox (A)		11,950		386
BE Aerospace *		9,766		945
Boeing		71,491		9,669
C.H. Robinson Worldwide		13,486		807
Carlisle		5,766		489
Caterpillar		58,488		5,979
Chicago Bridge & Iron		10,595		862
Cintas		9,557		594
Clean Harbors * (A)		4,200		257
CNH Industrial		13,398		146
Colfax *		11,500		837
Con-way		7,023		325
Copa Holdings, Cl A		3,000		429
Copart *		12,918		459
Covanta Holding		13,700		262
Crane		3,200		237
CSX		93,996		2,763
Cummins		17,412		2,663
Danaher		58,402		4,581
Deere		35,919		3,275
Delta Air Lines		79,100		3,157
Donaldson (A)		15,844		645


Description	Shares		Market Value ($ Thousands)

Dover		16,757	$	1,461
Dun & Bradstreet		3,656		377
Eaton		43,718		3,222
Emerson Electric		70,020		4,673
Equifax		11,856		839
Exelis		13,802		236
Expeditors International of Washington		20,848		949
Fastenal (A)		29,024		1,415
FedEx		27,444		3,957
Flowserve		14,400		1,062
Fluor		15,208		1,142
Fortune Brands Home & Security		13,420		537
GATX		5,800		382
General Dynamics		27,572		3,257
General Electric		980,023		26,255
Genesee & Wyoming, Cl A *		4,600		448
Graco		6,424		469
Harsco		10,270		277
HD Supply Holdings *		4,700		123
Hertz Global Holdings *		29,700		877
Hexcel *		10,800		443
Honeywell International		73,790		6,873
Hubbell, Cl B		6,392		748
Huntington Ingalls Industries		3,896		389
IDEX		7,693		590
IHS, Cl A *		7,000		881
Illinois Tool Works		34,080		2,950
Ingersoll-Rand		28,300		1,693
Iron Mountain		17,490		545
ITT		7,951		347
Jacobs Engineering Group *		10,802		595
JB Hunt Transport Services		9,872		767
Joy Global (A)		9,933		568
Kansas City Southern		10,700		1,150
KAR Auction Services		9,700		296
KBR		15,880		386
Kennametal		7,000		315
Kirby *		5,200		575
L-3 Communications Holdings, Cl 3		8,977		1,088
Landstar System		5,765		374
Lennox International		3,900		331
Lincoln Electric Holdings		9,000		591
Lockheed Martin		24,129		3,949
Manitowoc		16,600		449
Manpowergroup		7,984		655
Masco		37,809		805
MRC Global *		10,700		308
MSC Industrial Direct, Cl A		4,920		453
Navistar International * (A)		6,800		233
Nielsen Holdings		18,800		907
Nordson		6,900		563
Norfolk Southern		29,033		2,925
Northrop Grumman		20,378		2,477
Old Dominion Freight Line *		7,600		486
Oshkosh Truck		9,459		511
Owens Corning		10,800		443
Paccar		32,170		2,038
Pall		9,345		792
Parker Hannifin		14,704		1,841
Pentair		19,973		1,491


6		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Large Cap Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Pitney Bowes (A)		18,085	$	500
Precision Castparts		13,546		3,427
Quanta Services *		19,700		669
Raytheon		31,168		3,041
Regal-Beloit		4,900		374
Republic Services, Cl A		27,242		964
Robert Half International		15,076		687
Rockwell Automation		13,704		1,659
Rockwell Collins		11,479		907
Rollins		5,900		181
Roper Industries		9,700		1,374
RR Donnelley & Sons		12,677		201
Ryder System		3,606		313
Snap-on		4,591		539
SolarCity * (A)		700		37
Southwest Airlines		70,520		1,865
Spirit Aerosystems Holdings, Cl A *		12,200		396
SPX		5,411		566
Stanley Black & Decker		15,793		1,380
Stericycle *		7,426		849
Terex		10,048		386
Textron		27,622		1,083
Timken		7,869		505
Toro		6,220		402
Towers Watson, Cl A		5,400		607
TransDigm Group		4,500		849
Trinity Industries		6,200		537
Triumph Group		6,200		430
Union Pacific		43,916		8,751
United Continental Holdings *		34,700		1,540
United Parcel Service, Cl B		68,041		7,068
United Rentals * (A)		8,000		808
United Technologies		86,590		10,063
URS		6,800		306
Valmont Industries (A)		2,900		449
Verisk Analytics, Cl A *		12,800		758
WABCO Holdings *		6,024		643
Wabtec		7,800		614
Waste Connections		13,350		608
Waste Management (A)		42,294		1,890
WESCO International * (A)		3,400		290
WW Grainger		5,781		1,494
Xylem		19,102		713

				211,961


Information Technology — 17.6%
3D Systems * (A)		10,400		527
Accenture, Cl A		62,500		5,091
Activision Blizzard		23,456		487
Adobe Systems *		49,602		3,201
Advanced Micro Devices * (A)		63,134		252
Akamai Technologies *		15,218		827
Alliance Data Systems *		4,512		1,155
Altera		30,873		1,023
Amdocs		16,800		808
Amphenol, Cl A		15,592		1,494
Analog Devices		30,212		1,582
Ansys *		7,700		566
AOL *		9,434		342
Apple		81,745		51,745
Applied Materials		109,655		2,214
Arrow Electronics *		9,689		559
Atmel *		46,100		386


Description	Shares		Market Value ($ Thousands)

Autodesk *		22,637	$	1,185
Automatic Data Processing		47,492		3,784
Avago Technologies, Cl A		22,800		1,611
Avnet		13,910		606
AVX		1,424		19
Broadcom, Cl A		56,068		1,787
Broadridge Financial Solutions		13,073		536
Brocade Communications Systems		47,500		433
CA		29,938		859
Cadence Design Systems * (A)		28,263		472
Cisco Systems		504,527		12,422
Citrix Systems * (A)		17,287		1,071
Cognizant Technology Solutions, Cl A *		55,476		2,697
Computer Sciences		13,264		834
Compuware		21,851		216
Comverse *		1		—
Concur Technologies * (A)		4,200		359
CoreLogic *		9,984		285
Corning		120,058		2,557
Cree * (A)		11,822		569
Diebold		7,029		264
Dolby Laboratories, Cl A * (A)		6,443		268
DST Systems		3,595		328
eBay *		121,611		6,169
EchoStar, Cl A *		3,732		191
Electronic Arts *		28,465		1,000
EMC		204,297		5,426
Equinix *		4,100		815
F5 Networks *		6,338		688
Facebook, Cl A *		160,600		10,166
FactSet Research Systems (A)		4,900		525
Fairchild Semiconductor International, Cl A *		16,200		238
Fidelity National Information Services		28,690		1,553
First Solar *		7,900		488
Fiserv *		22,338		1,343
FleetCor Technologies *		6,100		771
FLIR Systems		11,000		384
Fortinet *		16,500		371
Freescale Semiconductor *		3,500		78
Gartner *		10,100		718
Genpact *		15,700		264
Global Payments		8,234		564
Google, Cl C *		25,529		14,321
Google, Cl A *		25,529		14,594
Harris		8,989		694
Hewlett-Packard		182,170		6,103
IAC		7,532		499
Informatica * (A)		8,500		311
Ingram Micro, Cl A *		11,223		312
Intel (A)		469,358		12,823
International Business Machines		92,498		17,053
Intuit		27,086		2,148
IPG Photonics * (A)		4,000		252
Jabil Circuit		19,974		376
Jack Henry & Associates		7,900		458
JDS Uniphase *		28,640		314
Juniper Networks *		46,225		1,131
Kla-Tencor		14,109		924


7		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Large Cap Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Knowles *		8,378	$	236
Lam Research		13,552		841
Leidos Holdings (A)		8,900		339
Lexmark International, Cl A (A)		6,586		287
Linear Technology		19,757		912
LinkedIn, Cl A *		8,600		1,377
Marvell Technology Group		36,400		567
Mastercard, Cl A		109,900		8,402
Maxim Integrated Products		25,000		856
Microchip Technology (A)		16,422		782
Micron Technology *		94,716		2,708
Micros Systems * (A)		6,200		331
Microsoft		792,000		32,424
Motorola Solutions		21,633		1,459
National Instruments		9,904		284
NCR *		15,189		496
NetApp		33,255		1,231
NetSuite * (A)		4,000		322
NeuStar, Cl A * (A)		4,377		123
Nuance Communications * (A)		29,700		481
Nvidia		58,256		1,107
ON Semiconductor *		39,300		341
Oracle		317,420		13,338
Palo Alto Networks *		4,300		322
Pandora Media *		12,800		314
Paychex		31,807		1,307
Polycom *		13,100		167
Qualcomm		163,159		13,126
Rackspace Hosting *		8,200		299
Red Hat *		18,727		939
Riverbed Technology * (A)		19,700		400
Rovi *		11,000		266
Salesforce.com * (A)		57,852		3,045
SanDisk (A)		20,569		1,987
Science Applications International (A)		5,085		197
ServiceNow * (A)		8,500		445
Silicon Laboratories * (A)		5,400		244
Skyworks Solutions		17,700		767
SolarWinds *		7,600		297
Solera Holdings		7,400		483
Splunk *		10,800		452
Stratasys * (A)		3,000		279
Symantec		68,348		1,503
Synopsys *		15,982		615
Tech Data *		5,350		318
Teradata *		13,289		558
Teradyne		23,063		410
Texas Instruments		108,108		5,079
TIBCO Software *		16,600		357
Total System Services		14,991		454
Trimble Navigation *		27,628		997
Twitter *		6,700		218
Vantiv, Cl A *		11,100		344
VeriFone Holdings *		13,400		440
Verint Systems *		1		—
VeriSign * (A)		11,385		570
Visa, Cl A		49,300		10,591
Vishay Intertechnology (A)		12,950		193
VMware, Cl A * (A)		7,000		675
Western Digital		20,730		1,821
Western Union (A)		46,728		756
Workday, Cl A *		4,700		368


Description	Shares		Market Value ($ Thousands)

Xerox		119,996	$	1,482
Xilinx		24,257		1,139
Yahoo! *		85,981		2,979
Zebra Technologies, Cl A *		3,725		277
Zynga, Cl A *		75,300		260

				336,470


Materials — 3.7%
Air Products & Chemicals		18,994		2,279
Airgas		5,315		565
Albemarle		7,544		522
Alcoa (A)		104,502		1,422
Allegheny Technologies (A)		8,097		332
AptarGroup		6,000		400
Ashland		8,376		863
Avery Dennison		9,110		462
Ball		11,850		715
Bemis		9,174		380
Cabot		4,273		242
Carpenter Technology		5,500		344
Celanese, Cl A		13,683		858
CF Industries Holdings		4,566		1,111
Cliffs Natural Resources (A)		17,300		271
Compass Minerals International		4,100		381
Crown Holdings *		15,051		735
Cytec Industries		3,481		346
Domtar		2,200		200
Dow Chemical		113,270		5,904
E.I. du Pont de Nemours		86,192		5,974
Eagle Materials		5,300		461
Eastman Chemical		14,228		1,256
Ecolab		24,108		2,632
FMC		12,520		958
Freeport-McMoRan Copper & Gold, Cl B		95,624		3,256
Greif, Cl A		3,500		191
Huntsman		15,429		412
International Flavors & Fragrances		8,791		873
International Paper		40,355		1,922
LyondellBasell Industries, Cl A		36,700		3,654
Martin Marietta Materials (A)		3,663		450
MeadWestvaco		16,558		672
Monsanto		50,050		6,098
Mosaic		29,278		1,464
NewMarket (A)		900		352
Newmont Mining		47,833		1,095
Nucor		31,190		1,579
Owens-Illinois *		17,691		588
Packaging Corp of America		10,599		733
PPG Industries		13,123		2,646
Praxair		28,925		3,825
Reliance Steel & Aluminum		7,100		511
Rock Tenn, Cl A		5,900		596
Rockwood Holdings		5,600		428
Royal Gold		8,000		502
RPM International		12,269		528
Scotts Miracle-Gro, Cl A		5,306		318
Sealed Air		18,468		608
Sherwin-Williams		8,737		1,788
Sigma-Aldrich (A)		10,548		1,039
Silgan Holdings		4,455		218
Sonoco Products		9,046		382


8		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Large Cap Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Southern Copper		14,168	$	421
Steel Dynamics		23,600		408
Tahoe Resources *		7,500		156
United States Steel (A)		13,883		320
Valspar		9,664		721
Vulcan Materials		10,657		649
Westlake Chemical		3,800		307
WR Grace *		6,200		571

				69,894


Telecommunication Services — 2.4%
AT&T		509,133		18,059
CenturyLink (A)		53,954		2,033
Frontier Communications (A)		100,895		584
Level 3 Communications *		17,646		770
SBA Communications, Cl A *		13,000		1,320
Sprint *		82,015		783
Telephone & Data Systems		11,780		326
T-Mobile US *		18,500		635
tw telecom, Cl A *		13,600		446
US Cellular		831		36
Verizon Communications		390,676		19,518
Windstream Holdings (A)		54,147		518

				45,028


Utilities — 3.1%
AES		61,624		869
AGL Resources		10,947		584
Alliant Energy		11,476		669
Ameren		26,090		1,027
American Electric Power		44,450		2,372
American Water Works		14,500		705
Aqua America (A)		20,346		516
Atmos Energy		11,591		581
Calpine *		32,200		751
Centerpoint Energy		45,915		1,107
CMS Energy		25,242		751
Consolidated Edison		28,816		1,585
Dominion Resources		56,512		3,897
DTE Energy		15,964		1,215
Duke Energy		68,716		4,884
Edison International		31,879		1,758
Entergy		16,298		1,229
Exelon		78,776		2,901
FirstEnergy		40,827		1,381
Great Plains Energy		17,371		442
Hawaiian Electric Industries (A)		11,946		287
Integrys Energy Group (A)		6,202		360
ITC Holdings		15,600		571
MDU Resources Group		17,521		594
National Fuel Gas (A)		7,889		592
NextEra Energy		41,573		4,048
NiSource		27,121		1,014
Northeast Utilities		30,708		1,394
NRG Energy (A)		32,500		1,158
OGE Energy		21,436		787
ONE Gas		4,739		173
Pepco Holdings		28,144		780
PG&E		43,518		1,996
Pinnacle West Capital		10,192		565
PPL		62,326		2,187
Public Service Enterprise Group		49,752		1,938
Questar		15,646		377


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

SCANA		14,620	$	760
Sempra Energy		22,223		2,230
Southern		85,303		3,735
TECO Energy (A)		18,500		319
UGI		10,350		504
Vectren		8,791		351
Westar Energy, Cl A		9,800		353
Wisconsin Energy		23,198		1,056
Xcel Energy		48,581		1,494

				58,847

Total Common Stock (Cost $1,097,458) ($ Thousands)				1,869,843


AFFILIATED PARTNERSHIP — 5.0%
SEI Liquidity Fund, L.P. 0.070% ** † (C)		94,496,412		94,496

Total Affiliated Partnership (Cost $94,496) ($ Thousands)				94,496


CASH EQUIVALENT — 1.6%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010% ** †		29,960,253		29,960

Total Cash Equivalent (Cost $29,960) ($ Thousands)				29,960


U.S. TREASURY OBLIGATION (D) (E) — 0.1%
U.S. Treasury Bills 0.010%, 08/07/2014	$	2,150		2,150

Total U.S. Treasury Obligation (Cost $2,150) ($ Thousands)				2,150

Total Investments — 104.8% (Cost $1,224,064) ($ Thousands)			$	1,996,449

A list of the open futures contracts held by the Fund at May 31, 2014, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
S&P 500 Index E-MINI		337		Jun-2014	$	1,466
S&P Mid 400 Index E-MINI		26		Jun-2014		69

					$	1,535

Percentages are based on a Net Assets of $1,905,609 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2014.

†

Investment in Affiliated Security.


9		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule Of Investments

Large Cap Index Fund

May 31, 2014

‡

Real Estate Investment Trust.

(A)

This security or a partial position of this security is on loan at May 31, 2014. The total market value of securities on loan at May 31, 2014 was $92,078 ($ 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. The total value of such securities as of May 31, 2014 was $94,496 ($ Thousands).

(D)

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

(E)

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

Cl — Class

L.P. — Limited Partnership

Ser — Series

SPX — Standard & Poor’s 500 Index

S&P — Standard & Poor’s

The following is a list of the level of inputs used as of May 31, 2014, 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	$	1,869,843	$	—	$	—	$	1,869,843
Affiliated Partnership		—		94,496		—		94,496
Cash Equivalent		29,960		—		—		29,960
U.S. Treasury Obligation		—		2,150		—		2,150

Total Investments in Securities	$	1,899,803	$	96,646	$	—	$	1,996,449


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts * Unrealized Appreciation	$	1,535	$	—	$	—	$	1,535

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

For the year ended May 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are either $0 or have been rounded to $0.

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


10		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

S&P 500 Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 98.4%

Consumer Discretionary — 11.8%
Amazon.com *		17,864	$	5,583
AutoNation *		2,900		166
AutoZone *		1,645		876
Bed Bath & Beyond *		10,200		621
Best Buy		12,800		354
BorgWarner		10,900		686
Cablevision Systems, Cl A		9,800		173
Carmax *		10,700		474
Carnival, Cl A		21,000		841
CBS, Cl B		26,400		1,574
Chipotle Mexican Grill, Cl A *		1,524		834
Coach		13,300		541
Comcast, Cl A		124,900		6,520
Darden Restaurants		6,400		321
Delphi Automotive		13,300		918
DIRECTV *		22,700		1,871
Discovery Communications, Cl A *		10,600		816
Dollar General *		14,100		758
Dollar Tree *		10,000		530
DR Horton		13,300		315
Expedia		4,800		352
Family Dollar Stores		4,700		275
Ford Motor		188,900		3,105
Fossil Group *		2,300		241	��
GameStop, Cl A		5,700		216
Gannett		10,600		294
Gap		12,700		524
Garmin (A)		5,900		348
General Motors		62,400		2,158
Genuine Parts		7,400		639
Goodyear Tire & Rubber		13,200		348
Graham Holdings, Cl B		158		107
H&R Block		13,200		393
Harley-Davidson		10,500		748
Harman International Industries		3,300		347
Hasbro		5,600		301
Home Depot		67,500		5,415
International Game Technology		11,300		142
Interpublic Group		20,600		394
Johnson Controls		31,800		1,538
Kohl’s		9,600		523
L Brands		11,700		671
Leggett & Platt		6,400		217
Lennar, Cl A		8,600		352
Lowe’s		50,100		2,359
Macy’s		17,700		1,060
Marriott International, Cl A		10,600		653
Mattel		16,300		633
McDonald’s		47,400		4,808
Michael Kors Holdings *		8,600		812
Mohawk Industries *		2,900		393
NetFlix *		2,897		1,210
Newell Rubbermaid		13,400		392
News *		23,900		408
NIKE, Cl B		35,700		2,746
Nordstrom		6,900		470
Omnicom Group		12,400		882
O’Reilly Automotive *		5,100		754
PetSmart		5,000		287


Description	Shares		Market Value ($ Thousands)

priceline.com *		2,522	$	3,225
PulteGroup		16,700		327
PVH		3,900		513
Ralph Lauren, Cl A		2,800		430
Ross Stores		10,300		705
Scripps Networks Interactive, Cl A		5,300		405
Staples (A)		31,700		357
Starbucks		36,400		2,666
Starwood Hotels & Resorts Worldwide		9,200		734
Target		30,500		1,731
Tiffany		5,300		527
Time Warner		42,700		2,982
Time Warner Cable, Cl A		13,300		1,877
TJX		34,300		1,868
Tractor Supply		6,700		436
TripAdvisor *		5,300		515
Twenty-First Century Fox, Cl A		92,900		3,290
Under Armour, Cl A *		7,700		391
Urban Outfitters *		5,000		167
VF		17,000		1,071
Viacom, Cl B		19,100		1,630
Walt Disney		78,100		6,561
Whirlpool		3,700		531
Wyndham Worldwide		6,100		451
Wynn Resorts		3,900		838
Yum! Brands		21,200		1,639

				98,154


Consumer Staples — 9.6%
Altria Group		95,500		3,969
Archer-Daniels-Midland		31,500		1,416
Avon Products		20,200		288
Brown-Forman, Cl B		7,800		723
Campbell Soup		8,600		395
Clorox		6,200		556
Coca-Cola		181,600		7,429
Coca-Cola Enterprises		11,400		520
Colgate-Palmolive		41,800		2,859
ConAgra Foods		20,100		649
Constellation Brands, Cl A *		8,000		673
Costco Wholesale		21,000		2,436
CVS Caremark		56,600		4,433
Dr. Pepper Snapple Group		9,500		548
Estee Lauder, Cl A		12,200		935
General Mills		29,900		1,642
Hershey		7,300		711
Hormel Foods		6,300		310
JM Smucker		5,000		513
Kellogg		12,300		848
Keurig Green Mountain (A)		6,200		699
Kimberly-Clark		18,300		2,056
Kraft Foods Group		28,500		1,695
Kroger		24,800		1,184
Lorillard (A)		17,300		1,076
McCormick		6,300		455
Mead Johnson Nutrition, Cl A		9,700		868
Molson Coors Brewing, Cl B		7,600		500
Mondelez International, Cl A		81,500		3,066
Monster Beverage *		6,500		451
PepsiCo		73,000		6,448
Philip Morris International		76,000		6,729


1		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

S&P 500 Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Procter & Gamble		130,000	$	10,503
Reynolds American		14,900		888
Safeway		11,000		378
Sysco		28,100		1,055
Tyson Foods, Cl A		12,900		548
Walgreen		42,000		3,020
Wal-Mart Stores		77,500		5,950
Whole Foods Market		17,900		684

				80,106


Energy — 10.3%
Anadarko Petroleum		24,100		2,479
Apache		18,900		1,762
Baker Hughes		21,100		1,488
Cabot Oil & Gas		20,200		732
Cameron International *		9,700		620
Chesapeake Energy		24,300		698
Chevron		91,500		11,235
ConocoPhillips		58,700		4,693
CONSOL Energy		11,000		486
Denbury Resources (A)		16,600		280
Devon Energy		18,500		1,367
Diamond Offshore Drilling (A)		3,400		174
Ensco, Cl A		11,200		590
EOG Resources		26,300		2,783
EQT		7,200		770
Exxon Mobil		207,148		20,825
FMC Technologies *		11,300		656
Halliburton		40,800		2,637
Helmerich & Payne		5,200		572
Hess		13,100		1,196
Kinder Morgan		32,200		1,075
Marathon Oil		33,500		1,228
Marathon Petroleum		14,200		1,269
Murphy Oil		8,300		512
Nabors Industries		12,200		320
National Oilwell Varco		20,500		1,678
Newfield Exploration *		6,700		244
Noble		12,200		384
Noble Energy		17,300		1,247
Occidental Petroleum		38,100		3,798
ONEOK		10,000		645
Peabody Energy		13,200		213
Phillips 66		28,200		2,391
Pioneer Natural Resources		6,900		1,450
QEP Resources		8,800		281
Range Resources		7,800		725
Rowan, Cl A		5,700		176
Schlumberger		62,600		6,513
Southwestern Energy *		16,900		769
Spectra Energy		32,200		1,307
Tesoro		6,300		354
Transocean (A)		16,300		693
Valero Energy		25,500		1,429
Williams		32,800		1,540

				86,284


Financials — 15.7%
ACE		16,200		1,680
Aflac		21,900		1,341
Allstate		21,500		1,253
American Express		43,800		4,008
American International Group		70,100		3,790
American Tower, Cl A ‡		18,900		1,694


Description	Shares		Market Value ($ Thousands)

Ameriprise Financial		9,100	$	1,025
Aon		14,500		1,304
Apartment Investment & Management, Cl A ‡		7,200		227
Assurant		3,500		237
AvalonBay Communities ‡		5,800		823
Bank of America		506,500		7,668
Bank of New York Mellon		54,400		1,880
BB&T		34,100		1,293
Berkshire Hathaway, Cl B *		86,250		11,069
BlackRock, Cl A		6,000		1,829
Boston Properties ‡		7,300		881
Capital One Financial		27,600		2,177
CBRE Group, Cl A *		13,600		406
Charles Schwab		56,000		1,412
Chubb		11,800		1,094
Cincinnati Financial		7,100		348
Citigroup		145,500		6,922
CME Group, Cl A		15,200		1,094
Comerica		8,700		417
Crown Castle International ‡		16,000		1,228
Discover Financial Services		22,600		1,336
ETRADE Financial		14,100		287
Equity Residential ‡		16,200		1,001
Essex Property Trust ‡ (A)		3,000		543
Fifth Third Bancorp		41,000		848
Franklin Resources		19,400		1,071
General Growth Properties ‡		25,000		596
Genworth Financial, Cl A *		23,800		404
Goldman Sachs Group		20,200		3,228
Hartford Financial Services Group		21,400		742
HCP ‡		22,000		918
Health Care ‡		14,000		885
Host Hotels & Resorts ‡		36,200		799
Hudson City Bancorp		23,300		228
Huntington Bancshares		39,900		370
IntercontinentalExchange Group		5,500		1,080
Invesco		20,700		760
JPMorgan Chase		181,500		10,086
KeyCorp		42,600		583
Kimco Realty ‡		19,700		451
Legg Mason (A)		5,100		249
Leucadia National		15,000		385
Lincoln National		12,600		604
Loews		14,700		634
M&T Bank		6,300		765
Macerich ‡		6,700		442
Marsh & McLennan		26,300		1,322
McGraw-Hill		13,000		1,063
MetLife		53,800		2,740
Moody’s		9,000		770
Morgan Stanley		67,600		2,086
NASDAQ OMX Group		5,400		205
Navient		20,500		324
Northern Trust		10,700		646
People’s United Financial		15,200		218
Plum Creek Timber ‡		8,500		383
PNC Financial Services Group		25,600		2,183
Principal Financial Group		13,200		617
Progressive		26,200		656
Prologis ‡		24,000		996


2		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

S&P 500 Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Prudential Financial		22,200	$	1,824
Public Storage ‡		7,000		1,207
Regions Financial		68,000		693
Simon Property Group ‡		15,100		2,514
State Street		20,800		1,358
SunTrust Banks		25,700		985
T. Rowe Price Group		12,500		1,019
Torchmark		4,300		348
Travelers		16,900		1,579
Unum Group		12,400		421
US Bancorp		87,300		3,683
Ventas ‡		14,200		949
Vornado Realty Trust ‡		8,300		889
Washington Prime Group *‡		850		17
Wells Fargo		229,500		11,654
Weyerhaeuser ‡		28,200		886
XL Group, Cl A		13,200		429
Zions Bancorporation		8,600		246

				131,305


Health Care — 13.1%
Abbott Laboratories		74,100		2,965
AbbVie		76,100		4,135
Actavis *		8,400		1,777
Aetna		17,400		1,349
Agilent Technologies		16,100		917
Alexion Pharmaceuticals *		9,500		1,580
Allergan		14,300		2,395
AmerisourceBergen		11,000		805
Amgen		36,200		4,199
Baxter International		26,200		1,950
Becton Dickinson		9,300		1,095
Biogen Idec *		11,300		3,609
Boston Scientific *		63,800		819
Bristol-Myers Squibb		78,700		3,915
C.R. Bard		3,700		547
Cardinal Health		16,500		1,165
CareFusion *		10,000		429
Celgene *		19,400		2,969
Cerner *		14,300		773
Cigna		13,200		1,185
Covidien		21,700		1,586
DaVita *		8,500		600
Dentsply International		6,900		326
Edwards Lifesciences *		5,100		414
Eli Lilly		47,300		2,831
Express Scripts Holding *		37,200		2,659
Forest Laboratories *		11,500		1,090
Gilead Sciences *		73,700		5,985
Hospira *		8,000		393
Humana		7,400		921
Intuitive Surgical *		1,800		666
Johnson & Johnson		135,600		13,758
Laboratory Corp of America Holdings *		4,100		421
McKesson		11,100		2,105
Medtronic		47,900		2,923
Merck		140,900		8,152
Mylan Laboratories *,(A)		17,900		892
Patterson (A)		3,800		149
PerkinElmer		5,500		247
Perrigo		6,400		884
Pfizer		305,900		9,064


Description	Shares		Market Value ($ Thousands)

Quest Diagnostics		6,900	$	413
Regeneron Pharmaceuticals *		3,800		1,166
St. Jude Medical		13,700		889
Stryker		14,200		1,200
Tenet Healthcare *		4,700		221
Thermo Fisher Scientific		18,800		2,198
UnitedHealth Group		47,400		3,774
Varian Medical Systems *		5,000		412
Vertex Pharmaceuticals *		11,300		817
Waters *		4,100		411
WellPoint		13,600		1,474
Zimmer Holdings		8,100		845
Zoetis, Cl A		23,900		734

				109,198


Industrials — 10.5%
3M		30,200		4,305
ADT (A)		9,000		290
Allegion		4,400		231
Ametek		11,700		621
Boeing		32,800		4,436
C.H. Robinson Worldwide		7,100		425
Caterpillar		30,500		3,118
Cintas		4,700		292
CSX		48,300		1,420
Cummins		8,300		1,269
Danaher		28,800		2,259
Deere		17,800		1,623
Delta Air Lines		41,000		1,636
Dover		8,100		706
Dun & Bradstreet		1,800		186
Eaton		22,900		1,688
Emerson Electric		33,600		2,242
Equifax		5,900		418
Expeditors International of Washington		9,700		442
Fastenal (A)		13,100		639
FedEx		13,300		1,917
Flowserve		6,600		487
Fluor		7,700		578
General Dynamics		15,600		1,843
General Electric		480,900		12,883
Honeywell International		37,600		3,502
Illinois Tool Works		18,700		1,618
Ingersoll-Rand		12,400		742
Iron Mountain		8,300		258
Jacobs Engineering Group *		6,300		347
Joy Global (A)		4,900		280
Kansas City Southern		5,300		570
L-3 Communications Holdings, Cl 3		4,100		497
Lockheed Martin		13,000		2,127
Masco		17,100		364
Nielsen Holdings		13,600		656
Norfolk Southern		14,900		1,501
Northrop Grumman		10,400		1,264
Paccar		17,000		1,077
Pall		5,300		449
Parker Hannifin		7,100		889
Pentair		9,500		709
Pitney Bowes		9,900		274
Precision Castparts		7,000		1,771
Quanta Services *		10,400		353


3		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

S&P 500 Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Raytheon		15,200	$	1,483
Republic Services, Cl A		13,000		460
Robert Half International		6,700		305
Rockwell Automation		6,600		799
Rockwell Collins		6,500		514
Roper Industries		4,800		680
Ryder System		2,500		217
Snap-on		2,800		328
Southwest Airlines		33,600		889
Stanley Black & Decker		7,500		656
Stericycle *		4,100		469
Textron		13,500		530
Tyco International		22,000		960
Union Pacific		21,800		4,344
United Parcel Service, Cl B		34,000		3,532
United Technologies		40,300		4,684
Waste Management		20,800		929
WW Grainger		2,900		749
Xylem		9,000		336

				88,066


Information Technology — 18.5%
Accenture, Cl A		30,500		2,484
Adobe Systems *		22,300		1,439
Akamai Technologies *		8,600		467
Alliance Data Systems *		2,500		640
Altera		15,200		504
Amphenol, Cl A		7,600		728
Analog Devices		15,100		791
Apple		42,773		27,075
Applied Materials		58,300		1,177
Autodesk *		10,900		571
Automatic Data Processing		23,200		1,849
Avago Technologies, Cl A		12,000		848
Broadcom, Cl A		26,400		841
CA		15,500		445
Cisco Systems		246,800		6,076
Citrix Systems *		7,800		483
Cognizant Technology Solutions, Cl A *		29,100		1,415
Computer Sciences		7,000		440
Corning		62,600		1,333
eBay *		55,800		2,831
Electronic Arts *		14,800		520
EMC		97,000		2,576
F5 Networks *		3,500		380
Facebook, Cl A *		81,800		5,178
Fidelity National Information Services		13,900		753
First Solar *		3,300		204
Fiserv *		12,200		733
FLIR Systems		6,500		227
Google, Cl A *		13,486		7,709
Google, Cl C *		13,486		7,565
Harris		5,200		402
Hewlett-Packard		91,000		3,049
Intel (A)		238,300		6,510
International Business Machines		46,960		8,658
Intuit		13,600		1,078
Jabil Circuit		8,600		162
Juniper Networks *		22,500		550
Kla-Tencor		8,000		524


Description	Shares		Market Value ($ Thousands)

Lam Research		7,800	$	484
Linear Technology		11,300		522
Mastercard, Cl A		48,860		3,735
Microchip Technology (A)		9,500		452
Micron Technology *		50,900		1,455
Microsoft		362,100		14,825
Motorola Solutions		10,800		728
NetApp		15,900		588
Nvidia		26,600		506
Oracle		166,000		6,975
Paychex		15,500		637
Qualcomm		81,000		6,517
Red Hat *		9,100		456
Salesforce.com *		26,900		1,416
SanDisk		10,900		1,053
Seagate Technology (A)		15,700		844
Symantec		33,100		728
TE Connectivity		19,700		1,171
Teradata *		7,600		319
Texas Instruments		51,900		2,438
Total System Services		8,100		245
VeriSign *,(A)		5,900		296
Visa, Cl A		24,300		5,221
Western Digital		10,100		887
Western Union (A)		26,300		425
Xerox		53,400		660
Xilinx		12,800		601
Yahoo! *		45,000		1,559

				154,958


Materials — 3.5%
Air Products & Chemicals		10,200		1,224
Airgas		3,200		340
Alcoa		56,300		766
Allegheny Technologies		5,300		218
Avery Dennison		4,700		238
Ball		6,700		404
Bemis		4,700		195
CF Industries Holdings		2,500		608
Dow Chemical		58,400		3,044
E.I. du Pont de Nemours		44,500		3,084
Eastman Chemical		7,300		644
Ecolab		13,000		1,419
FMC		6,400		490
Freeport-McMoRan Copper & Gold, Cl B		50,100		1,706
International Flavors & Fragrances		3,900		387
International Paper		21,100		1,005
LyondellBasell Industries, Cl A		20,700		2,061
MeadWestvaco		8,200		333
Monsanto		25,200		3,071
Mosaic		16,200		810
Newmont Mining		23,900		547
Nucor		15,200		770
Owens-Illinois *		8,100		269
PPG Industries		6,700		1,351
Praxair		14,100		1,865
Sealed Air		9,600		316
Sherwin-Williams		4,100		839
Sigma-Aldrich		5,700		562
United States Steel (A)		6,600		152


4		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

S&P 500 Index Fund

May 31, 2014


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

Vulcan Materials		6,300	$	384

				29,102


Telecommunication Services — 2.4%
AT&T		249,600		8,853
CenturyLink (A)		27,800		1,047
Frontier Communications		46,600		270
Verizon Communications		198,500		9,917
Windstream Holdings (A)		27,700		265

				20,352


Utilities — 3.0%
AES		31,600		445
AGL Resources		5,800		310
Ameren		11,600		456
American Electric Power		23,400		1,248
Centerpoint Energy		20,600		497
CMS Energy		12,800		381
Consolidated Edison		14,000		770
Dominion Resources		27,900		1,924
DTE Energy		8,500		647
Duke Energy		33,800		2,402
Edison International		15,700		866
Entergy		8,600		649
Exelon		41,000		1,510
FirstEnergy		20,100		680
Integrys Energy Group		3,700		215
NextEra Energy		20,900		2,035
NiSource		15,000		560
Northeast Utilities		15,100		685
NRG Energy		15,600		556
Pepco Holdings		12,200		338
PG&E		22,000		1,009
Pinnacle West Capital		5,400		299
PPL		30,400		1,067
Public Service Enterprise Group		24,200		943
SCANA		6,900		359
Sempra Energy		10,900		1,094
Southern		42,800		1,874
TECO Energy		9,400		162
Wisconsin Energy		10,800		492
Xcel Energy		23,900		735

				25,208

Total Common Stock (Cost $785,864) ($ Thousands)				822,733


AFFILIATED PARTNERSHIP — 1.6%
SEI Liquidity Fund, L.P. 0.070% ** † (B)		13,411,796		13,412

Total Affiliated Partnership (Cost $13,412) ($ Thousands)				13,412


CASH EQUIVALENT — 1.0%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010% ** †		8,200,400		8,200

Total Cash Equivalent (Cost $8,200) ($ Thousands)				8,200


U.S. TREASURY OBLIGATION (C) (D) — 0.1%
U.S. Treasury Bills 0.010%, 08/07/2014	$	1,100		1,100


Description	Market Value ($ Thousands)

Total U.S. Treasury Obligation (Cost $1,100) ($ Thousands)	$	1,100

Total Investments — 101.1% (Cost $808,576) ($ Thousands)	$	845,445

A list of the open futures contracts held by the Fund at May 31, 2014, is as follows:

Type of Contract

Number of
Contracts
Long

Expiration
Date

Unrealized
Appreciation
($ Thousands)

S&P 500 Index E-MINI

146

Jun-2014

647

For the year ended May, 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 $836,591 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2014.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

(A)

This security or a partial position of this security is on loan at May 31, 2014. The total market value of securities on loan at May 31, 2014 was $13,232 ($ 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 May 31, 2014 was $13,412 ($ Thousands).

(C)

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

(D)

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

Cl — Class

L.P. — Limited Partnership

S&P — Standard & Poor’s

The following is a list of the level of inputs used as of May 31, 2014, 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	$	822,733	$	—	$	—	$	822,733
Affiliated Partnership		—		13,412		—		13,412
Cash Equivalent		8,200		—		—		8,200
U.S. Treasury Obligation		—		1,100		—		1,100

Total Investments in Securities	$	830,933	$	14,512	$	—	$	845,445


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *
Unrealized Appreciation	$	647	$	—	$	—	$	647

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

For the year ended May 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2014, 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.


5		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Extended Market Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 98.2%

Consumer Discretionary — 15.3%
1-800-Flowers.com, Cl A *		1,700	$	9
Aaron’s		8,516		280
Abercrombie & Fitch, Cl A (A)		9,200		350
Advance Auto Parts		9,099		1,130
Aeropostale * (A)		8,049		31
AH Belo, Cl A		2,700		32
Allison Transmission Holdings, Cl A		3,576		111
AMC Entertainment Holdings, Cl A		2,200		50
AMC Networks, Cl A *		7,760		480
American Axle & Manufacturing Holdings *		8,398		156
American Eagle Outfitters		22,522		242
American Public Education *		2,727		96
America’s Car-Mart *		850		31
ANN *		5,335		207
Apollo Education Group, Cl A *		12,700		340
Aramark		4,800		127
Arctic Cat		1,535		57
Asbury Automotive Group *		3,598		233
Ascena Retail Group *		14,968		250
Ascent Capital Group, Cl A *		1,754		108
Bally Technologies *		4,525		267
Barnes & Noble *		5,927		108
Bassett Furniture Industries		433		6
Beazer Homes USA *		2,961		58
bebe stores		1,520		6
Big 5 Sporting Goods		923		11
Big Lots *		7,846		333
Biglari Holdings *		169		71
BJ’s Restaurants * (A)		3,442		109
Black Diamond *		4,204		45
Bloomin’ Brands *		6,950		145
Blue Nile *		1,431		44
Blyth (A)		420		4
Bob Evans Farms		3,287		147
Body Central *		1,000		1
Bon-Ton Stores		800		8
Boyd Gaming *		8,845		97
Bravo Brio Restaurant Group *		1,076		17
Bridgepoint Education *		2,679		35
Bright Horizons Family
Solutions *		2,135		83
Brinker International		8,682		431
Brown Shoe		6,276		177
Brunswick		10,883		469
Buckle (A)		3,451		155
Buffalo Wild Wings *		2,427		351
Burger King Worldwide (A)		13,200		339
Burlington Stores *		1,900		54
Cabela’s *		6,239		382
Caesars Entertainment *(A)		4,583		84
Callaway Golf		7,506		60
Capella Education		1,138		65
Career Education *		10,054		47
Carmike Cinemas *		2,242		77
Carriage Services, Cl A		906		17
Carrols Restaurant Group *		3,300		23
Carter’s		6,570		474


Description	Shares		Market Value ($ Thousands)

Cato, Cl A		4,296	$	124
Cavco Industries *		831		64
Central European Media Enterprises, Cl A *		7,006		20
Charter Communications, Cl A *		8,265		1,183
Cheesecake Factory		6,323		290
Chico’s FAS		18,851		286
Children’s Place Retail Stores		2,933		142
Choice Hotels International		3,477		156
Christopher & Banks *		3,400		23
Churchill Downs		1,734		149
Chuy’s Holdings *		2,335		76
Cinemark Holdings		14,940		471
Citi Trends *		597		12
Clear Channel Outdoor Holdings, Cl A		6,796		55
ClubCorp Holdings		2,800		49
Columbia Sportswear		1,922		161
Conn’s *		2,709		126
Container Store Group * (A)		1,600		46
Cooper Tire & Rubber		7,332		204
Core-Mark Holdings		1,209		100
Corinthian Colleges * (A)		3,043		3
Cracker Barrel Old Country Store		2,344		236
Crocs *		11,003		164
CSS Industries		492		12
CST Brands		8,300		274
Culp		361		7
Cumulus Media, Cl A *		13,239		84
Dana Holdings		19,098		423
Deckers Outdoor *		4,604		356
Del Frisco’s Restaurant Group *		1,000		27
Denny’s *		9,463		61
Destination Maternity		2,256		52
Destination XL Group *		4,342		23
DeVry Education Group		8,281		350
Dex Media * (A)		1,500		15
Diamond Resorts International *		1,900		37
Dick’s Sporting Goods		12,535		557
Dillard’s, Cl A		3,162		357
DineEquity		2,072		164
DISH Network, Cl A *		25,919		1,520
Domino’s Pizza		6,758		490
Dorman Products *		3,140		167
DreamWorks Animation SKG, Cl A *		8,691		244
Drew Industries		2,949		143
DSW, Cl A		8,292		208
Dunkin’ Brands Group (A)		13,530		606
Education Management *		1,700		3
Entercom Communications, Cl A *		882		9
Entravision Communications, Cl A		6,700		36
Ethan Allen Interiors		2,276		53
EveryWare Global * (A)		1,400		2
EW Scripps, Cl A *		3,470		68
Express *		9,762		123
Federal Mogul, Cl A *		1,816		30
Fiesta Restaurant Group *		2,305		93
Finish Line, Cl A		6,111		175
Five Below * (A)		3,805		138


1		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Extended Market Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Foot Locker		18,914	$	911
Francesca’s Holdings *		4,424		68
Fred’s, Cl A		3,479		53
FTD *		1,692		51
Fuel Systems Solutions *		1,394		14
Genesco *		2,769		207
Gentex		18,395		532
Gentherm *		4,948		204
G-III Apparel Group *		2,103		154
Global Sources *		751		6
GNC Holdings, Cl A		12,578		464
Gordmans Stores		1,400		6
Grand Canyon Education *		6,215		274
Gray Television *		7,100		81
Group 1 Automotive		2,535		204
Groupon, Cl A *		54,241		319
Guess?		6,717		171
Hanesbrands		12,338		1,047
Harte-Hanks		7,846		56
Haverty Furniture		2,163		54
Helen of Troy *		3,648		211
hhgregg * (A)		1,100		10
Hibbett Sports *		2,912		153
Hillenbrand		6,285		190
Hilton Worldwide Holdings *		16,100		364
HomeAway *		7,177		221
Hooker Furniture		410		6
Houghton Mifflin Harcourt *		2,800		51
Hovnanian Enterprises, Cl A * (A)		10,715		50
HSN		3,811		212
Hyatt Hotels, Cl A *		5,927		362
Iconix Brand Group * (A)		6,151		258
International Speedway, Cl A		2,798		87
Interval Leisure Group		5,698		117
Intrawest Resorts Holdings *		4,200		48
iRobot * (A)		3,702		131
Isle of Capri Casinos *		879		6
ITT Educational Services * (A)		2,156		37
J.C. Penney * (A)		32,395		291
Jack in the Box		4,921		284
JAKKS Pacific		427		4
Jamba *		1,407		15
Jarden *		15,907		900
John Wiley & Sons, Cl A		5,472		300
Johnson Outdoors, Cl A		700		17
Jos A Bank Clothiers * (A)		3,496		227
Journal Communications, Cl A *		7,199		59
K12 *		3,988		92
Kate Spade & Co *		15,398		561
KB Home (A)		9,585		158
Kimball International, Cl B		4,125		67
Kirkland’s *		2,028		36
Krispy Kreme Doughnuts *		8,271		156
Lamar Advertising, Cl A		10,097		498
Lands’ End * (A)		1,662		46
Las Vegas Sands		48,804		3,734
La-Z-Boy, Cl Z		6,426		157
LeapFrog Enterprises, Cl A * (A)		11,338		79
Lear		10,171		896
Libbey *		2,785		75
Liberty Global *		49,481		2,118


Description	Shares		Market Value ($ Thousands)

Liberty Global, Cl A * (A)		49,481	$	2,228
Liberty Interactive, Cl A *		62,716		1,827
Liberty Media *		11,835		1,505
Liberty Ventures, Ser A *		8,892		590
Life Time Fitness * (A)		5,278		281
LifeLock *		9,063		102
Lifetime Brands		300		5
Lincoln Educational Services		922		4
Lions Gate Entertainment		10,709		280
Lithia Motors, Cl A		2,589		203
Live Nation *		16,503		391
LKQ *		37,404		1,038
Loral Space & Communications *		1,900		137
Luby’s *		770		4
Lumber Liquidators Holdings * (A)		3,226		251
M/I Homes *		2,694		61
Madison Square Garden, Cl A *		7,940		435
Marcus		2,761		46
MarineMax *		2,096		34
Marriott Vacations Worldwide *		3,574		202
Matthews International, Cl A		3,505		144
Mattress Firm Holding *		1,611		72
McClatchy, Cl A *		11,254		58
MDC Holdings		4,989		143
MDC Partners, Cl A		5,776		121
Media General, Cl A * (A)		1,900		34
Men’s Wearhouse		5,568		277
Meredith		4,044		182
Meritage Homes *		5,211		209
MGM Resorts International *		46,374		1,194
Modine Manufacturing *		7,374		113
Monarch Casino & Resort *		1,100		18
Monro Muffler (A)		3,528		191
Morgans Hotel Group *		2,200		17
Morningstar		2,320		165
Movado Group		2,720		104
Multimedia Games Holding *		3,204		92
Murphy USA *		6,500		331
Nathan’s Famous *		400		20
National CineMedia		7,907		124
Nautilus *		2,800		30
New York *		3,100		12
New York Times, Cl A		17,382		258
Nexstar Broadcasting Group, Cl A		3,322		154
Noodles, Cl A * (A)		700		23
Norwegian Cruise Line Holdings *		2,969		100
Nutrisystem		2,359		39
NVR *		575		640
Office Depot *		63,747		326
Orbitz Worldwide *		1,500		11
Orient-Express Hotels, Cl A *		11,930		157
Outerwall *		2,343		166
Overstock.com *		700		11
Oxford Industries		1,854		119
Pacific Sunwear of California *		5,000		12
Panera Bread, Cl A *		3,320		510
Papa John’s International		3,942		171
Penn National Gaming *		8,954		104
Penske Auto Group		5,788		269


2		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Extended Market Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Pep Boys-Manny Moe & Jack *		4,965	$	51
Perry Ellis International *		239		4
PetMed Express		1,196		16
Pier 1 Imports		10,489		185
Pinnacle Entertainment *		6,760		167
Polaris Industries		8,107		1,045
Pool		6,170		356
Popeyes Louisiana Kitchen *		2,639		113
Potbelly		1,400		22
Quiksilver *		19,450		116
RadioShack * (A)		5,390		8
ReachLocal *		600		4
Red Robin Gourmet Burgers *		1,967		142
Regal Entertainment Group, Cl A (A)		9,405		183
Regis		4,427		61
Remy International		1,300		31
Rent-A-Center, Cl A		6,040		169
Rentrak *		1,088		56
Restoration Hardware Holdings *		2,211		147
RetailMeNot *		1,000		25
RG Barry		300		6
Royal Caribbean Cruises		20,408		1,128
Ruby Tuesday *		9,879		78
Ruth’s Hospitality Group		4,272		52
Ryland Group		6,216		234
Saga Communications, Cl A		593		27
Sally Beauty Holdings *		21,591		553
Scholastic		2,967		95
Scientific Games, Cl A *		5,862		52
Sears Holdings * (A)		5,526		232
Sears Hometown and Outlet Stores *		449		10
SeaWorld Entertainment		3,100		95
Select Comfort *		7,109		132
Service International		27,289		546
SFX Entertainment *		3,300		24
Shoe Carnival		2,076		39
Shutterfly *		4,225		174
Signet Jewelers		10,155		1,077
Sinclair Broadcast Group, Cl A		8,111		240
Sirius XM Holdings * (A)		383,979		1,259
Six Flags Entertainment		7,858		318
Sizmek *		2,348		23
Skechers U.S.A., Cl A *		4,882		217
Smith & Wesson Holding * (A)		5,883		93
Sonic *		7,333		153
Sonic Automotive, Cl A		4,064		107
Sotheby’s		8,861		350
Spartan Motors		1,248		6
Speedway Motorsports		1,635		30
Stage Stores		3,854		71
Standard Motor Products		3,066		127
Standard Pacific *		18,569		149
Starz *		14,039		430
Stein Mart		1,891		26
Steiner Leisure *		2,077		83
Steven Madden *		8,001		255
Stoneridge *		3,730		36
Strayer Education *		1,817		99
Sturm Ruger (A)		2,442		148


Description	Shares		Market Value ($ Thousands)

Superior Industries
International		2,823	$	56
Taylor Morrison Home, Cl A *		3,800		81
Tempur Sealy International *		7,923		435
Tenneco *		7,863		501
Tesla Motors * (A)		10,579		2,198
Texas Roadhouse, Cl A		7,066		179
Thomson Reuters (A)		46,385		1,609
Thor Industries		5,190		311
Tile Shop Holdings * (A)		1,300		19
Tilly’s, Cl A *		843		7
Toll Brothers *		22,739		824
Tower International *		900		28
Town Sports International Holdings		2,161		13
TRI Pointe Homes * (A)		2,673		41
TRW Automotive Holdings * (A)		13,493		1,145
Tuesday Morning *		3,986		64
Tumi Holdings *		6,398		118
Tupperware Brands		6,824		571
Ulta Salon Cosmetics & Fragrance *		8,073		685
Unifi *		2,480		58
Universal Electronics *		1,687		77
Universal Technical Institute		3,013		34
Vail Resorts		4,212		294
ValueVision Media, Cl A *		4,000		18
Vera Bradley * (A)		2,470		67
Vince Holding *		1,500		42
Visteon *		6,365		580
Vitacost.com *		844		6
Vitamin Shoppe *		3,784		163
VOXX International, Cl A *		2,864		25
Weight Watchers International (A)		4,474		93
Wendy’s (A)		34,875		286
West Marine *		537		5
Wet Seal, Cl A * (A)		4,951		4
Weyco Group		263		7
William Lyon Homes, Cl A *		1,100		29
Williams-Sonoma		12,337		826
Winmark		95		6
Winnebago Industries *		2,635		65
Wolverine World Wide (A)		13,396		347
World Wrestling Entertainment, Cl A (A)		4,234		48
Zagg *		515		2
zulily, Cl A *		1,500		52
Zumiez * (A)		2,303		63

				78,429


Consumer Staples — 3.1%
Alico		143		5
Alliance One International *		4,660		12
Andersons		3,199		163
Annie’s *		2,000		65
B&G Foods, Cl A		6,011		206
Boston Beer, Cl A * (A)		1,083		232
Boulder Brands *		6,678		91
Bunge		18,343		1,425
Calavo Growers		2,126		66
Cal-Maine Foods		1,964		137
Casey’s General Stores		5,059		360


3		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Extended Market Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Central Garden and Pet, Cl A *		7,929	$	63
Chefs’ Warehouse *		1,321		24
Chiquita Brands International *		5,882		60
Church & Dwight		17,299		1,198
Coca-Cola Bottling		589		44
Coty, Cl A		8,200		137
Craft Brew Alliance *		1,600		18
Darling International *		19,357		387
Dean Foods		10,650		185
Diamond Foods *		2,519		81
Elizabeth Arden *		3,951		107
Energizer Holdings		7,845		910
Fairway Group Holdings, Cl A * (A)		1,200		7
Female Health		1,300		8
Flowers Foods		22,108		461
Fresh Del Monte Produce		4,981		144
Fresh Market * (A)		4,688		144
Hain Celestial Group *		4,730		429
Harbinger Group *		2,478		29
Herbalife (A)		10,772		698
Hillshire Brands		15,704		837
Ingles Markets, Cl A		745		20
Ingredion		9,865		751
Inter Parfums		1,806		54
Inventure Foods *		900		11
J&J Snack Foods		1,764		165
John B Sanfilippo & Son		319		8
Lancaster Colony		2,129		190
Lifevantage * (A)		10,200		13
Limoneira		1,295		30
Medifast *		2,364		74
National Beverage *		452		8
Natural Grocers by Vitamin Cottage *		1,085		23
Nature’s Sunshine Products		437		6
Nu Skin Enterprises, Cl A		7,405		547
Nutraceutical International *		362		9
Oil-Dri Corp of America		210		7
Omega Protein *		766		11
Orchids Paper Products		800		24
Pantry *		3,949		67
Pilgrim’s Pride *		8,707		222
Pinnacle Foods		5,000		157
Post Holdings * (A)		4,569		228
PriceSmart		2,123		195
Revlon, Cl A *		1,120		35
Rite Aid *		93,027		778
Roundy’s		1,300		7
Sanderson Farms		2,841		263
Seaboard *		36		97
Seneca Foods, Cl A *		462		14
Snyder’s-Lance		5,986		163
SpartanNash		3,736		91
Spectrum Brands Holdings		2,439		190
Sprouts Farmers Market *		3,200		87
Star Scientific * (A)		14,418		10
SUPERVALU *		23,516		176
Susser Holdings *		2,506		199
Tootsie Roll Industries (A)		2,940		86
TreeHouse Foods *		4,809		360
United Natural Foods *		5,998		404
Universal		2,945		158


Description	Shares		Market Value ($ Thousands)

USANA Health Sciences * (A)		816	$	59
Vector Group (A)		8,385		175
Village Super Market, Cl A		462		11
WD-40		2,186		158
Weis Markets		1,704		81
WhiteWave Foods, Cl A *		17,852		562

				15,717


Energy — 6.7%
Abraxas Petroleum *		16,494		83
Adams Resources & Energy		300		19
Alon USA Energy		1,896		28
Alpha Natural Resources * (A)		25,323		86
Antero Resources *		4,500		277
Apco Oil and Gas International *		1,300		18
Approach Resources *		4,198		82
Arch Coal (A)		29,816		106
Athlon Energy *		3,200		139
Atwood Oceanics *		7,640		377
Basic Energy Services *		3,973		108
Bill Barrett *		6,264		157
Bolt Technology		300		5
Bonanza Creek Energy *		3,688		198
BPZ Resources *		10,721		33
Bristow Group		4,803		365
C&J Energy Services *		5,495		168
Cal Dive International * (A)		1,930		2
Callon Petroleum *		6,485		68
CARBO Ceramics (A)		2,350		323
Carrizo Oil & Gas *		5,709		328
CHC Group *		7,800		55
Cheniere Energy *		29,965		2,041
Cimarex Energy		10,761		1,390
Clayton Williams Energy *		916		114
Clean Energy Fuels * (A)		7,588		84
Cloud Peak Energy *		8,089		149
Cobalt International Energy *		34,915		646
Comstock Resources		6,473		176
Concho Resources *		13,042		1,719
Contango Oil & Gas *		1,535		66
Continental Resources * (A)		5,398		758
CVR Energy (A)		1,897		89
Dawson Geophysical		552		14
Delek US Holdings		5,409		168
Diamondback Energy *		2,575		194
Dresser-Rand Group *		9,755		597
Dril-Quip *		5,187		530
Emerald Oil * (A)		9,300		60
Endeavour International * (A)		4,800		10
Energen		9,189		785
Energy XXI Bermuda (A)		10,081		216
EP Energy, Cl A *		3,800		76
EPL Oil & Gas *		3,401		129
Equal Energy		4,500		24
Era Group *		2,093		61
Evolution Petroleum		627		7
EXCO Resources (A)		19,913		105
Exterran Holdings		7,683		321
Forest Oil * (A)		9,032		22
Forum Energy Technologies *		5,105		169
Frank’s International		5,300		126
Frontline * (A)		7,400		17
FX Energy * (A)		11,563		43


4		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Extended Market Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

GasLog		3,450	$	81
Gastar Exploration *		3,800		28
Geospace Technologies *		1,598		81
Golar LNG (A)		5,002		233
Goodrich Petroleum * (A)		4,793		139
Green Plains Renewable Energy		3,290		96
Gulf Island Fabrication		2,872		57
Gulfmark Offshore, Cl A		3,380		157
Gulfport Energy *		10,781		663
Halcon Resources * (A)		32,806		205
Helix Energy Solutions Group *		14,069		329
Hercules Offshore *		21,026		95
HollyFrontier		25,354		1,249
Hornbeck Offshore Services *		4,012		182
ION Geophysical *		20,869		87
Jones Energy, Cl A *		2,600		46
Key Energy Services *		20,159		162
KiOR, Cl A * (A)		1,093		—
Knightsbridge Tankers		5,743		76
Kodiak Oil & Gas *		34,611		441
Kosmos Energy *		12,975		136
Laredo Petroleum Holdings *		5,489		152
Magnum Hunter Resources *		23,893		183
Matador Resources *		7,600		189
Matrix Service *		2,981		97
McDermott International * (A)		32,970		239
Midstates Petroleum *		891		5
Miller Energy Resources * (A)		1,800		10
Mitcham Industries *		256		3
Natural Gas Services Group *		944		28
Newpark Resources *		9,420		106
Nordic American Tankers		8,877		73
North Atlantic Drilling		7,600		80
Northern Oil And Gas * (A)		7,039		107
Nuverra Environmental Solutions * (A)		658		11
Oasis Petroleum *		12,997		643
Oceaneering International		13,546		976
Oil States International *		6,999		753
Panhandle Oil and Gas, Cl A		841		46
Parker Drilling *		16,551		107
Patterson-UTI Energy		18,822		623
PBF Energy, Cl A		2,277		73
PDC Energy *		4,793		308
Penn Virginia *		7,986		121
PetroQuest Energy *		4,723		29
PHI *		1,443		65
Pioneer Energy Services *		9,836		156
Quicksilver Resources * (A)		20,230		49
Renewable Energy Group *		1,800		18
Resolute Energy *		10,094		84
REX American Resources *		600		42
Rex Energy *		4,990		99
Rice Energy *		5,800		184
RigNet *		1,441		68
Rosetta Resources *		8,085		381
RPC		8,499		188
RSP Permian *		2,500		67
Sanchez Energy * (A)		5,130		177
SandRidge Energy * (A)		64,393		430
Scorpio Tankers		25,743		233
SEACOR Holdings *		2,274		182


Description	Shares		Market Value ($ Thousands)

Seadrill (A)		43,900	$	1,668
SemGroup, Cl A		4,944		336
Ship Finance International		6,276		116
SM Energy		8,413		638
Solazyme * (A)		7,830		78
Stone Energy *		6,684		297
Superior Energy Services		19,260		639
Swift Energy * (A)		4,583		50
Synergy Resources *		4,962		58
Targa Resources		4,359		501
Teekay		5,154		298
Teekay Tankers, Cl A		2,423		9
Tesco		3,469		74
TETRA Technologies *		8,605		99
TGC Industries *		636		3
Tidewater		5,746		299
Triangle Petroleum *		6,337		64
Ultra Petroleum * (A)		18,492		500
Unit *		6,395		406
Uranium Energy * (A)		1,698		3
Ur-Energy *		17,700		22
VAALCO Energy *		9,570		62
Vantage Drilling *		34,246		57
W&T Offshore		3,238		48
Warren Resources *		14,749		68
Western Refining (A)		6,599		271
Westmoreland Coal *		2,400		73
Whiting Petroleum *		14,758		1,060
Willbros Group *		4,854		59
World Fuel Services		8,841		410
WPX Energy *		24,600		521

				34,646


Financials — 22.3%
1st Source		1,780		54
1st United Bancorp		1,092		9
Acadia Realty Trust ‡		6,939		191
Affiliated Managers Group *		6,611		1,247
Agree Realty ‡		1,847		57
Alexander & Baldwin		4,877		185
Alexander’s ‡		288		106
Alexandria Real Estate Equities ‡		9,061		689
Alleghany *		2,067		870
Allied World Assurance Holdings		13,512		507
Altisource Residential, Cl B ‡		7,100		198
Ambac Financial Group *		6,300		178
American Assets Trust ‡		4,891		168
American Campus Communities ‡		12,862		500
American Capital *		36,211		534
American Capital Agency ‡		44,621		1,059
American Capital Mortgage Investment ‡		7,765		159
American Equity Investment Life Holding (A)		9,478		213
American Financial Group		9,953		581
American Homes 4 Rent, Cl A ‡		7,700		136
American National Bankshares		306		7
American National Insurance		1,031		118
American Realty Capital Properties ‡		59,200		735


5		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Extended Market Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

American Residential Properties *‡		1,300	$	24
Ameris Bancorp *		3,052		64
AMERISAFE		2,933		113
Ames National		310		7
Amtrust Financial Services (A)		4,059		173
Annaly Capital Management ‡		118,014		1,391
Anworth Mortgage Asset ‡		21,068		114
Apollo Commercial Real Estate Finance ‡		5,537		93
Apollo Investment		25,253		212
Apollo Residential Mortgage ‡		4,987		84
Arch Capital Group *		16,736		953
AmREIT		1,400		24
Ares Capital		37,571		648
Ares Commercial Real Estate ‡		2,000		25
Argo Group International Holdings		3,395		164
Arlington Asset Investment, Cl A		2,012		56
Armada Hoffler Properties ‡		1,800		17
ARMOUR Residential ‡		43,196		188
Arrow Financial		1,022		26
Arthur J Gallagher		18,991		870
Artisan Partners Asset Management, Cl A		1,500		86
Ashford Hospitality Prime ‡		894		15
Ashford Hospitality Trust ‡		9,471		101
Aspen Insurance Holdings		7,795		358
Associated Banc		22,386		386
Associated Estates Realty ‡		6,389		110
Assured Guaranty		21,687		530
Astoria Financial		11,265		144
AV Homes *		407		7
Aviv ‡		1,000		28
Axis Capital Holdings		13,668		629
Baldwin & Lyons, Cl B		1,481		38
Banc of California		1,600		17
Bancfirst		1,025		61
Banco Latinoamericano de Comercio Exterior, Cl E		4,012		107
Bancorp *		3,104		49
Bancorpsouth (A)		11,382		267
Bank Mutual		3,899		24
Bank of Hawaii		5,924		330
Bank of Kentucky Financial		233		8
Bank of Marin Bancorp		907		39
Bank of the Ozarks (A)		4,185		247
BankFinancial		797		8
BankUnited		8,696		283
Banner		2,251		86
Bar Harbor Bankshares		150		4
BBCN Bancorp		9,995		152
Beneficial Mutual Bancorp *		5,626		76
Berkshire Hills Bancorp		2,350		53
BGC Partners, Cl A		14,636		102
BioMed Realty Trust ‡		24,029		521
BlackRock Kelso Capital (A)		6,959		60
BNC Bancorp *		1,800		31
BofI Holding *		1,609		124
BOK Financial		2,993		188
Boston Private Financial Holdings		8,815		111


Description	Shares		Market Value ($ Thousands)

Brandywine Realty Trust ‡		20,839	$	319
Bridge Bancorp		1,412		35
Bridge Capital Holdings *		1,300		29
Brixmor Property Group ‡		7,000		152
Brookline Bancorp		6,574		59
Brown & Brown		15,276		461
Bryn Mawr Bank		1,822		52
C&F Financial		300		10
Calamos Asset Management, Cl A		4,182		52
Camden National		539		20
Camden Property Trust ‡		10,738		754
Campus Crest Communities ‡		9,972		88
Capital Bank Financial, Cl A *		2,860		69
Capital City Bank Group		800		10
Capital Southwest		1,624		59
Capitol Federal Financial		16,787		203
Capstead Mortgage ‡		12,218		161
Cardinal Financial		2,941		51
Cascade Bancorp *		916		4
Cash America International		3,679		175
Cathay General Bancorp		10,715		257
CBL & Associates Properties ‡		21,382		402
CBOE Holdings		11,138		564
Cedar Realty Trust ‡		8,938		55
Center Bancorp		483		9
Centerstate Banks		2,485		26
Central Pacific Financial		2,910		55
Chambers Street Properties ‡		26,700		214
Charter Financial		2,200		24
Chatham Lodging Trust ‡		2,935		66
Chemical Financial		4,499		129
Chesapeake Lodging Trust ‡		6,167		180
Chimera Investment ‡		125,326		395
CIT Group		25,137		1,118
Citizens, Cl A *		2,233		15
Citizens & Northern		1,840		34
City Holding		1,485		64
City National		6,040		429
CNA Financial		3,875		156
CNB Financial		2,048		34
CNO Financial Group		28,525		460
CoBiz Financial		5,671		59
Cohen & Steers (A)		2,936		119
Colony Financial ‡		10,900		242
Columbia Banking System		6,409		159
Commerce Bancshares		10,479		455
CommonWealth ‡		15,744		414
Community Bank System (A)		4,602		163
Community Trust Bancorp		1,494		51
Consolidated-Tomoka Land		1,274		59
CoreSite Realty ‡		2,773		88
Corporate Office Properties Trust ‡		11,430		315
Corrections Corp of America ‡		14,802		482
Cousins Properties ‡		23,146		278
Cowen Group, Cl A *		7,221		30
Crawford, Cl B		3,520		34
Credit Acceptance *		932		122
CU Bancorp *		1,200		22
CubeSmart ‡		17,722		323
Cullen/Frost Bankers (A)		6,705		502
Customers Bancorp *		1,870		36


6		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Extended Market Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

CVB Financial		11,279	$	164
CyrusOne ‡		2,629		60
CYS Investments ‡		22,062		204
DCT Industrial Trust ‡		41,886		332
DDR ‡		37,814		655
DFC Global *		5,391		51
Diamond Hill Investment Group		254		31
DiamondRock Hospitality ‡		25,907		322
Digital Realty Trust ‡ (A)		16,174		930
Dime Community Bancshares		3,683		56
Doral Financial *		900		4
Douglas Emmett ‡		18,385		522
Duke Realty ‡		40,895		724
DuPont Fabros Technology ‡		7,221		185
Dynex Capital ‡		6,593		57
Eagle Bancorp *		2,906		93
East West Bancorp		17,966		602
EastGroup Properties ‡		4,185		266
Eaton Vance		15,325		569
Education Realty Trust ‡		15,173		159
eHealth *		1,874		69
EMC Insurance Group		700		22
Empire State Realty Trust, Cl A ‡		11,700		192
Employers Holdings		3,174		67
Encore Capital Group *		3,175		137
Endurance Specialty Holdings		5,783		299
Enstar Group *		1,351		190
Enterprise Bancorp		1,100		22
Enterprise Financial Services		1,249		22
EPR Properties ‡		6,751		364
Equity Lifestyle Properties ‡		10,132		443
Equity One ‡		7,585		174
Erie Indemnity, Cl A		3,387		256
ESB Financial		517		7
Essent Group *		2,700		54
EverBank Financial		10,024		191
Evercore Partners, Cl A		3,576		197
Everest Re Group		6,044		967
Excel Trust ‡		4,518		60
Extra Space Storage ‡		14,118		739
Ezcorp, Cl A *		7,457		91
Farmers Capital Bank *		800		15
FBL Financial Group, Cl A		1,682		74
FBR *		1,869		49
Federal Agricultural Mortgage, Cl C		1,988		62
Federal Realty Investment Trust ‡		8,186		978
Federated Investors, Cl B (A)		10,870		307
FelCor Lodging Trust ‡		15,163		149
Fidelity & Guaranty Life		2,500		53
Fidelity National Financial, Cl A		34,358		1,145
Fidelity Southern		1,513		20
Fidus Investment		1,883		35
Fifth Street Finance		17,355		161
Financial Engines		5,664		231
Financial Institutions		767		18
First American Financial		14,372		403
First Bancorp		2,097		38
First BanCorp *		9,716		47
First Busey		11,811		66
First Cash Financial Services *		3,258		171


Description	Shares		Market Value ($ Thousands)

First Citizens BancShares, Cl A		991	$	218
First Commonwealth Financial		15,001		129
First Community Bancshares		942		14
First Connecticut Bancorp		1,048		16
First Defiance Financial		592		17
First Financial		1,612		52
First Financial Bancorp		5,949		97
First Financial Bankshares		4,328		257
First Financial Holdings		2,786		164
First Financial Northwest		1,491		16
First Horizon National		28,200		323
First Industrial Realty Trust ‡		14,553		270
First Interstate Bancsystem, Cl A		2,212		57
First Merchants		3,733		74
First Midwest Bancorp		9,442		151
First Niagara Financial Group		43,347		373
First of Long Island		753		29
First Potomac Realty Trust ‡		6,922		91
First Republic Bank		14,743		750
First Security Group *		8,700		18
Firsthand Technology Value Fund		600		12
FirstMerit		21,497		401
Flagstar Bancorp *		1,800		31
Flushing Financial		4,470		89
FNB (Pennsylvania)		19,908		244
Forest City Enterprises, Cl A *		20,945		399
Forestar Group *		4,832		84
Fox Chase Bancorp		253		4
Franklin Financial *		262		5
Franklin Street Properties ‡		11,696		146
Fulton Financial		23,012		275
FXCM, Cl A (A)		5,250		70
GAMCO Investors, Cl A		822		63
Gaming and Leisure Properties ‡		11,569		388
Geo Group ‡		8,490		289
German American Bancorp		1,544		42
Getty Realty ‡		3,072		60
GFI Group		3,849		13
Glacier Bancorp		8,780		231
Gladstone Capital		424		4
Gladstone Commercial ‡		1,119		20
Gladstone Investment		525		4
Glimcher Realty Trust ‡		18,111		200
Global Indemnity, Cl A *		202		5
Golub Capital BDC (A)		4,424		75
Government Properties Income Trust ‡		6,866		175
Gramercy Property Trust ‡		8,095		48
Great Southern Bancorp		599		18
Green Dot, Cl A *		2,355		43
Greenhill		3,171		158
Greenlight Capital Re, Cl A *		3,509		111
GSV Capital *		749		7
Guaranty Bancorp		605		8
Hancock Holding		11,114		375
Hanmi Financial		4,178		89
Hannon Armstrong Sustainable Infrastructure Capital ‡		900		13
Hanover Insurance Group		5,217		313
Hatteras Financial ‡		11,283		229


7		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Extended Market Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

HCC Insurance Holdings		12,821	$	602
HCI Group		915		35
Healthcare Realty Trust ‡		12,755		318
Healthcare Trust of America, Cl A ‡		14,400		174
Heartland Financial USA		2,575		62
Hercules Technology Growth Capital		6,157		94
Heritage Commerce		1,100		9
Heritage Financial		4,271		67
Heritage Oaks Bancorp *		1,400		10
Hersha Hospitality Trust, Cl A ‡		26,078		165
HFF, Cl A		4,095		132
Highwoods Properties ‡		10,968		445
Hilltop Holdings *		7,729		160
Home BancShares (A)		5,096		155
Home Loan Servicing Solutions		8,147		182
Home Properties ‡		6,935		431
HomeStreet		1,172		21
HomeTrust Bancshares *		4,102		62
Horace Mann Educators		5,414		158
Horizon Bancorp		900		19
Hospitality Properties Trust ‡		19,441		564
Howard Hughes *		5,017		743
Hudson Pacific Properties ‡		6,670		158
Hudson Valley Holding		1,305		23
Iberiabank		3,384		211
ICG Group *		3,888		75
Independent Bank		2,502		91
Independent Bank Group		500		23
Infinity Property & Casualty		1,614		103
Inland Real Estate ‡		8,682		92
Interactive Brokers Group, Cl A		6,827		157
International Bancshares		6,650		160
International. FCStone *		1,368		25
Intervest Bancshares, Cl A		1,000		7
Invesco Mortgage Capital ‡		15,171		269
Investment Technology Group *		3,917		75
Investors Bancorp		16,243		175
Investors Real Estate Trust ‡		13,531		120
iStar Financial *‡		11,218		162
Janus Capital Group (A)		16,812		196
JAVELIN Mortgage Investment ‡ (A)		500		7
JGWPT Holdings, Cl A *		2,500		27
Jones Lang LaSalle		5,559		674
Kansas City Life Insurance		165		7
KCAP Financial (A)		1,483		12
KCG Holdings, Cl A *		7,407		89
Kearny Financial *		607		9
Kemper		6,636		232
Kennedy-Wilson Holdings		7,129		177
Kilroy Realty ‡		10,443		633
Kite Realty Group Trust ‡		13,821		86
Ladder Capital, Cl A *		3,200		59
Ladenburg Thalmann Financial Services *		6,700		20
Lakeland Bancorp		4,694		49
Lakeland Financial		1,705		62
LaSalle Hotel Properties ‡		13,542		447
Lazard, Cl A		16,231		820
Lexington Realty Trust ‡		22,290		253
Liberty Property Trust ‡		16,475		638


Description	Shares		Market Value ($ Thousands)

LPL Financial Holdings		6,662	$	312
LTC Properties ‡		4,417		176
Mack-Cali Realty ‡		12,167		265
Maiden Holdings		4,723		58
Main Street Capital (A)		4,926		153
MainSource Financial Group		2,690		45
Manning & Napier, Cl A		1,972		34
Markel *		1,713		1,097
MarketAxess Holdings		4,452		238
Marlin Business Services		322		7
MB Financial		6,181		166
MBIA *		16,182		190
MCG Capital		4,383		15
Meadowbrook Insurance Group		2,953		20
Medallion Financial		4,052		55
Medical Properties Trust ‡		21,762		294
Medley Capital (A)		7,614		94
Mercantile Bank		357		8
Merchants Bancshares		207		6
Mercury General		3,378		159
Meridian Interstate Bancorp *		338		9
Meta Financial Group		700		26
Metro Bancorp *		1,177		26
MFA Mortgage Investments ‡		42,497		350
MGIC Investment *		38,018		322
Mid-America Apartment Communities ‡		9,453		684
MidSouth Bancorp		400		8
MidWestOne Financial Group		269		6
Monmouth Real Estate Investment, Cl A ‡		5,746		54
Montpelier Re Holdings		5,589		176
Mortgage Investment Trust ‡		2,788		53
MSCI, Cl A *		15,369		663
MVC Capital		1,258		16
National Bank Holdings, Cl A		4,600		90
National Bankshares		1,036		33
National Health Investors ‡		3,564		224
National Interstate		124		4
National Penn Bancshares		14,689		151
National Retail Properties ‡ (A)		15,143		530
National Western Life Insurance, Cl A		341		83
Nationstar Mortgage Holdings * (A)		2,646		93
Navigators Group *		983		61
NBT Bancorp		6,408		146
Nelnet, Cl A		2,531		104
New Mountain Finance		6,000		85
New Residential Investment ‡		28,800		183
New York Community Bancorp (A)		55,439		847
New York Mortgage Trust ‡		14,638		117
NewBridge Bancorp *		2,600		19
NewStar Financial *		3,393		46
NGP Capital Resources		922		6
Nicholas Financial		700		10
Northfield Bancorp		6,705		87
Northrim BanCorp		269		7
NorthStar Realty Finance ‡		39,616		656
Northwest Bancshares		11,699		156
OceanFirst Financial		1,788		29
Ocwen Financial *		13,361		469


8		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Extended Market Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

OFG Bancorp		5,625	$	102
Old National Bancorp		11,661		158
Old Republic International		31,744		543
Omega Healthcare Investors ‡		15,677		578
OmniAmerican Bancorp		615		15
One Liberty Properties ‡		624		13
OneBeacon Insurance Group, Cl A		4,135		63
Oppenheimer Holdings, Cl A		2,164		50
Oritani Financial		7,124		107
Pacific Continental		2,665		37
Pacific Premier Bancorp *		1,600		23
PacWest Bancorp		12,083		488
Park National		1,305		97
Park Sterling		3,770		24
Parkway Properties ‡		8,670		173
PartnerRe		6,834		734
Peapack Gladstone Financial		2,654		52
Pebblebrook Hotel Trust ‡		8,303		295
PennantPark Floating Rate Capital (A)		1,630		23
PennantPark Investment		10,663		118
Penns Woods Bancorp		152		7
Pennsylvania ‡		8,599		154
PennyMac Financial Services, Cl A *		1,100		17
PennyMac Mortgage Investment Trust ‡		8,063		170
Peoples Bancorp		1,710		42
PHH *		7,132		182
Phoenix *		841		40
Physicians Realty Trust ‡		3,100		43
PICO Holdings *		2,621		61
Piedmont Office Realty Trust, Cl A ‡		20,866		389
Pinnacle Financial Partners		5,025		173
Piper Jaffray *		2,277		100
Platinum Underwriters Holdings		3,348		215
Popular *		13,656		412
Portfolio Recovery Associates *		6,658		371
Post Properties ‡		6,411		328
Potlatch ‡		4,620		186
Preferred Bank *		1,937		44
Primerica		6,829		308
PrivateBancorp, Cl A		7,319		195
ProAssurance		8,125		369
Prospect Capital (A)		40,392		401
Prosperity Bancshares		8,269		481
Protective Life		9,402		492
Provident Financial Holdings		374		5
Provident Financial Services		8,679		147
PS Business Parks ‡		2,228		188
QTS Realty Trust *		2,000		58
Radian Group (A)		20,448		295
RAIT Financial Trust ‡		13,021		102
Ramco-Gershenson Properties ‡		9,737		162
Raymond James Financial		15,381		744
Rayonier ‡		15,953		759
RE, Cl A		1,600		46
Realogy Holdings *		15,202		565
Realty Income ‡ (A)		28,036		1,214
Redwood Trust ‡ (A)		9,405		183


Description	Shares		Market Value ($ Thousands)

Regency Centers ‡		11,667	$	623
Regional Management *		700		10
Reinsurance Group of America, Cl A		9,216		720
RenaissanceRe Holdings		5,243		546
Renasant		3,160		87
Republic Bancorp, Cl A		1,298		30
Resource Capital ‡		13,505		78
Retail Opportunity Investments ‡ (A)		9,559		151
Retail Properties of America, Cl A ‡		15,203		229
Rexford Industrial Realty ‡		2,000		28
RLI (A)		5,882		262
RLJ Lodging Trust ‡		16,237		450
Rouse Properties ‡		2,617		43
Ryman Hospitality Properties ‡ (A)		6,060		280
S&T Bancorp		4,732		115
Sabra Health Care ‡		5,462		160
Safeguard Scientifics *		3,396		65
Safety Insurance Group		1,531		79
Sandy Spring Bancorp		2,947		70
Santander Consumer USA Holdings		10,200		200
Saul Centers ‡		1,444		70
Seacoast Banking of Florida *		598		6
SEI (B)		18,319		603
Select Income ‡		3,221		93
Selective Insurance Group		6,384		152
Senior Housing Properties Trust ‡		26,307		631
Sierra Bancorp		478		8
Signature Bank NY *		5,970		691
Silver Bay Realty Trust ‡		1,546		25
Simmons First National, Cl A		2,418		98
SL Green Realty ‡		11,440		1,253
SLM		54,800		472
Solar Capital		6,622		138
Solar Senior Capital		235		4
Southside Bancshares (A)		2,917		75
Southwest Bancorp		1,679		29
Sovran Self Storage ‡		3,793		291
Spirit Realty Capital ‡		47,566		537
Springleaf Holdings, Cl A *		2,800		66
St. Joe * (A)		8,420		198
STAG Industrial ‡		6,456		155
StanCorp Financial Group		5,210		313
Starwood Property Trust ‡		28,480		695
Starwood Waypoint Residential Trust *‡		4,476		122
State Auto Financial		1,090		24
State Bank Financial		3,584		58
Stellus Capital Investment (A)		1,300		18
Sterling Bancorp		12,229		139
Stewart Information Services		3,341		107
Stifel Financial *		8,382		379
Stock Yards Bancorp		1,635		47
Strategic Hotels & Resorts *‡		20,588		224
Suffolk Bancorp *		600		14
Summit Hotel Properties ‡		8,529		86
Sun Bancorp *		1,661		6
Sun Communities ‡		5,521		267


9		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Extended Market Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Sunstone Hotel Investors ‡		21,580	$	317
Susquehanna Bancshares		22,323		221
SVB Financial Group *		5,682		599
SWS Group *		1,049		8
Symetra Financial		9,383		196
Synovus Financial		17,092		394
Talmer Bancorp, Cl A *		4,000		54
Tanger Factory Outlet Centers ‡		12,349		437
Taubman Centers ‡		8,187		613
Taylor Capital Group *		1,315		28
TCF Financial		19,239		306
TCP Capital (A)		4,000		69
TD Ameritrade Holding		29,273		888
Tejon Ranch *		1,647		50
Terreno Realty ‡		3,063		59
Territorial Bancorp		773		16
Texas Capital Bancshares *		5,423		278
TFS Financial *		8,743		118
Third Point Reinsurance *		2,600		40
THL Credit		4,197		56
TICC Capital (A)		5,964		58
Tompkins Financial		1,905		88
Tower Group International		3,516		8
TowneBank		4,294		67
Tree.com *		800		20
Triangle Capital (A)		3,760		99
Trico Bancshares		2,509		57
TrustCo Bank NY		8,926		57
Trustmark		7,539		175
Two Harbors Investment ‡		47,140		496
UDR ‡		31,579		869
UMB Financial		4,745		262
UMH Properties ‡		900		9
Umpqua Holdings		23,431		388
Union Bankshares		6,142		153
United Bankshares		7,683		233
United Community Banks		6,574		101
United Community Financial *		4,200		17
United Financial Bancorp		9,973		134
United Fire Group		1,971		55
Universal Health Realty Income Trust ‡		1,116		48
Universal Insurance Holdings		2,900		36
Univest Corp of Pennsylvania		3,323		69
Urstadt Biddle Properties, Cl A ‡		2,956		61
Validus Holdings		11,926		445
Valley National Bancorp		26,872		260
ViewPoint Financial Group		5,810		144
Virtus Investment Partners		808		149
Voya Financial		8,800		315
Waddell & Reed Financial, Cl A		10,902		658
Walker & Dunlop *		1,423		21
Walter Investment Management * (A)		4,636		134
Washington ‡		7,613		197
Washington Federal		12,436		259
Washington Prime Group *‡		19,300		384
Washington Trust Bancorp		1,170		40
Webster Financial		10,551		316
Weingarten Realty Investors ‡ (A)		15,668		498


Description	Shares		Market Value ($ Thousands)

WesBanco		3,165	$	93
West Bancorporation		585		8
Westamerica Bancorporation		3,355		164
Western Alliance Bancorp *		8,403		192
Western Asset Mortgage Capital ‡		6,644		96
Westfield Financial		872		6
Westwood Holdings Group		928		55
White Mountains Insurance Group		755		446
Whitestone, Cl B ‡		1,577		23
Wilshire Bancorp		6,863		69
Winthrop Realty Trust ‡		5,749		86
Wintrust Financial		5,849		255
WisdomTree Investments *		11,375		118
World Acceptance *		976		77
WP Carey ‡		7,400		471
WR Berkley		12,324		549
WSFS Financial		943		64
Yadkin Financial *		1,500		28

				114,598


Health Care — 11.0%
Abaxis		3,093		128
ABIOMED * (A)		5,612		128
Acadia Healthcare * (A)		3,987		170
ACADIA Pharmaceuticals * (A)		10,600		219
Accelerate Diagnostics * (A)		2,800		67
Acceleron Pharma *		1,200		36
Accuray * (A)		8,163		72
AcelRx Pharmaceuticals * (A)		2,300		21
Achillion Pharmaceuticals *		6,298		17
Acorda Therapeutics *		5,142		169
Aegerion Pharmaceuticals *		3,706		122
Affymetrix *		12,060		100
Agios Pharmaceuticals *		1,400		49
Air Methods *		5,277		254
Akorn *		7,527		211
Albany Molecular Research *		2,000		32
Alere *		9,521		341
Align Technology *		9,413		514
Alkermes *		17,053		781
Alliance HealthCare Services *		800		24
Allscripts Healthcare Solutions *		20,853		307
Almost Family *		309		6
Alnylam Pharmaceuticals *		7,389		438
AMAG Pharmaceuticals * (A)		1,603		29
Amedisys *		4,171		61
AMN Healthcare Services *		4,309		48
Ampio Pharmaceuticals *		1,600		12
Amsurg, Cl A *		3,966		180
Anacor Pharmaceuticals *		2,800		38
Analogic		1,620		111
AngioDynamics *		2,070		30
Anika Therapeutics *		1,470		69
Antares Pharma * (A)		13,708		40
Arena Pharmaceuticals * (A)		27,553		169
ARIAD Pharmaceuticals * (A)		25,424		164
Arqule *		2,366		3
Array BioPharma *		10,760		45
athenahealth * (A)		4,592		583
AtriCure *		2,820		47
Atrion		130		41


10		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Extended Market Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Auspex Pharmaceuticals *		1,800	$	38
Auxilium Pharmaceuticals *		6,870		154
AVANIR Pharmaceuticals, Cl A * (A)		14,547		77
AVEO Pharmaceuticals *		2,378		3
BioDelivery Sciences International *		7,300		70
BioMarin Pharmaceutical *		17,246		1,000
Bio-Rad Laboratories, Cl A *		2,653		320
Bio-Reference Labs * (A)		2,247		60
BioScrip *		9,311		73
BioTime * (A)		5,100		15
Brookdale Senior Living, Cl A *		13,146		437
Bruker *		14,532		304
Cambrex *		3,760		81
Cantel Medical		4,777		166
Capital Senior Living *		2,712		64
Cardiovascular Systems *		3,425		96
Catamaran *		25,707		1,125
Cell Therapeutics * (A)		17,100		50
Celldex Therapeutics * (A)		10,656		156
Cempra *		2,400		23
Centene *		6,659		496
Cepheid * (A)		8,669		391
Cerus * (A)		5,297		22
Charles River Laboratories International *		5,806		311
Chelsea Therapeutics International *		7,000		46
Chemed (A)		2,245		198
ChemoCentryx * (A)		2,000		11
Chimerix *		900		17
Chindex International *		800		19
Clovis Oncology *		2,566		131
Community Health Systems *		14,329		599
Computer Programs & Systems		1,702		108
CONMED		3,708		166
Contravir Pharmaceutical * (A)		1,036		2
Cooper		6,134		791
Corcept Therapeutics *		13,100		30
Coronado Biosciences *		730		1
Corvel *		1,434		68
Covance *		7,118		597
Cross Country Healthcare *		5,079		29
CryoLife		5,045		45
Cubist Pharmaceuticals *		8,265		550
Curis *		4,264		8
Cutera *		2,000		20
Cyberonics *		3,146		191
Cynosure, Cl A *		2,339		51
Cytokinetics *		2,100		10
Cytori Therapeutics * (A)		2,432		6
Dendreon * (A)		18,966		41
Depomed *		6,555		78
Derma Sciences *		3,783		39
DexCom *		8,324		281
Durata Therapeutics * (A)		3,200		51
Dyax *		16,082		133
Dynavax Technologies *		31,890		46
Emergent Biosolutions *		3,084		67
Emeritus *		5,751		180
Endo International *		16,711		1,180


Description	Shares		Market Value ($ Thousands)

Endocyte * (A)		4,870	$	31
Endologix *		9,095		119
Ensign Group		2,418		113
Envision Healthcare Holdings *		5,500		190
Enzon Pharmaceuticals		1,506		1
Epizyme *		600		14
Exact Sciences * (A)		12,254		165
Exactech *		339		8
ExamWorks Group *		4,245		126
Exelixis * (A)		25,200		83
Five Star Quality Care *		8,527		45
Fluidigm *		3,153		87
Foundation Medicine *		1,500		36
Furiex Pharmaceuticals *		942		97
Galena Biopharma * (A)		8,900		20
GenMark Diagnostics *		5,900		65
Genomic Health *		1,797		47
Gentiva Health Services *		5,379		73
Geron * (A)		23,970		50
Globus Medical, Cl A *		7,700		186
Greatbatch *		3,430		160
GTx * (A)		2,700		4
Haemonetics *		6,947		237
Halozyme Therapeutics * (A)		11,158		88
Hanger *		4,309		131
Harvard Apparatus Regenerative Technology *		259		2
Harvard Bioscience *		1,037		4
HCA Holdings *		33,180		1,758
Health Net *		9,570		383
HealthSouth		11,441		402
HealthStream *		1,864		48
Healthways *		3,221		56
HeartWare International *		1,979		178
Henry Schein *		10,843		1,297
Hill-Rom Holdings		8,001		318
HMS Holdings *		9,831		185
Hologic *		34,055		832
Horizon Pharma * (A)		6,800		96
Hyperion Therapeutics * (A)		900		26
ICU Medical *		1,827		110
Idenix Pharmaceuticals * (A)		12,494		78
Idexx Laboratories *		6,801		874
Illumina * (A)		15,379		2,434
ImmunoGen * (A)		10,752		127
Immunomedics * (A)		7,257		24
Impax Laboratories *		7,788		216
Incyte *		12,971		643
Infinity Pharmaceuticals * (A)		6,394		65
Insmed *		5,100		67
Insulet *		6,521		239
Insys Therapeutics *		900		23
Integra LifeSciences Holdings *		3,452		155
Intercept Pharmaceuticals *		876		207
InterMune *		11,772		466
Intrexon * (A)		1,300		27
Invacare		3,389		56
IPC The Hospitalist *		2,300		100
Ironwood Pharmaceuticals, Cl A *		12,054		173
Isis Pharmaceuticals * (A)		14,194		415
Jazz Pharmaceuticals *		6,534		927
Karyopharm Therapeutics * (A)		1,600		42


11		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Extended Market Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Keryx Biopharmaceuticals * (A)		12,394	$	164
Kindred Healthcare		5,865		146
KYTHERA Biopharmaceuticals *		1,800		60
Landauer		1,073		51
Lannett *		2,100		88
LDR Holding *		700		17
Lexicon Pharmaceuticals *		21,740		29
LHC Group *		784		16
LifePoint Hospitals *		5,596		343
Ligand Pharmaceuticals, Cl B *		2,228		149
Luminex *		3,455		59
MacroGenics *		1,200		22
Magellan Health Services *		3,140		191
Mallinckrodt * (A)		7,100		552
MannKind * (A)		17,243		153
Masimo *		6,093		150
MedAssets *		7,739		181
Medicines *		7,557		211
Medidata Solutions *		6,894		267
Medivation *		9,504		692
MEDNAX *		12,656		729
Merge Healthcare *		2,399		5
Meridian Bioscience		4,241		87
Merit Medical Systems *		4,375		61
Merrimack Pharmaceuticals * (A)		14,600		113
Mettler Toledo International *		3,782		927
MiMedx Group *		10,500		57
Molina Healthcare *		3,136		135
Momenta Pharmaceuticals *		7,254		90
MWI Veterinary Supply *		1,692		236
Myriad Genetics * (A)		9,226		306
National Healthcare		994		54
National Research, Cl A *		312		5
Natus Medical *		4,258		105
Navidea Biopharmaceuticals * (A)		7,605		12
Nektar Therapeutics *		14,595		171
Neogen *		4,380		166
Neurocrine Biosciences *		9,600		133
NewLink Genetics * (A)		2,516		52
Novavax * (A)		19,553		92
NPS Pharmaceuticals *		12,164		379
NuVasive *		5,478		183
NxStage Medical *		8,747		120
Omeros * (A)		5,200		61
Omnicare (A)		13,296		845
Omnicell *		4,312		114
OncoGenex Pharmaceutical *		535		2
Ophthotech *		1,300		53
Opko Health * (A)		21,629		186
OraSure Technologies *		5,539		35
Orexigen Therapeutics * (A)		15,061		97
Orthofix International *		2,440		77
Osiris Therapeutics *		1,000		15
OvaScience *		1,400		10
Owens & Minor (A)		7,639		265
Pacific Biosciences of California *		8,700		43
Pacira Pharmaceuticals *		4,045		314
PAREXEL International *		6,646		335
PDL BioPharma (A)		17,900		168


Description	Shares		Market Value ($ Thousands)

Peregrine Pharmaceuticals * (A)		15,000	$	28
Pharmacyclics * (A)		7,293		648
PharMerica *		4,250		115
PhotoMedex *		265		3
Portola Pharmaceuticals *		900		20
Pozen		1,028		9
Premier, Cl A *		4,700		139
Prestige Brands Holdings *		5,779		198
Progenics Pharmaceuticals *		5,196		21
Prothena *		1,300		27
Providence Service *		958		39
PTC Therapeutics *		2,100		50
Puma Biotechnology *		2,900		222
QIAGEN *		29,748		683
Quality Systems		4,615		72
Questcor Pharmaceuticals (A)		6,231		562
Quidel * (A)		3,412		77
Quintiles Transnational Holdings *		3,400		173
Raptor Pharmaceutical * (A)		7,507		61
Receptos *		1,200		36
Relypsa *		1,300		30
Repligen *		5,022		97
Repros Therapeutics *		1,842		30
ResMed (A)		17,999		901
Retrophin *		1,800		26
Revance Therapeutics *		1,700		54
Rigel Pharmaceuticals *		17,759		58
Rockwell Medical * (A)		4,300		48
RTI Surgical *		6,918		30
Sagent Pharmaceuticals *		1,375		31
Salix Pharmaceuticals *		7,757		885
Sangamo BioSciences * (A)		7,970		105
Sarepta Therapeutics * (A)		5,200		175
Sciclone Pharmaceuticals *		3,201		16
Seattle Genetics *		12,700		424
Select Medical Holdings		5,465		83
Sequenom * (A)		23,117		71
SIGA Technologies * (A)		5,400		14
Sirona Dental Systems *		7,122		536
Spectranetics *		4,924		106
Spectrum Pharmaceuticals *		7,079		55
Staar Surgical *		5,378		83
Stemline Therapeutics *		900		14
STERIS		7,798		417
Sunesis Pharmaceuticals *		1,135		6
Surgical Care Affiliates *		1,500		43
SurModics *		2,444		52
Symmetry Medical *		4,888		43
Synageva BioPharma * (A)		2,806		228
Synergy Pharmaceuticals * (A)		10,515		46
Synta Pharmaceuticals * (A)		9,354		38
Tandem Diabetes Care *		1,500		24
Targacept *		3,700		14
Team Health Holdings *		9,008		457
TearLab * (A)		2,200		11
Techne		4,525		397
Teleflex		5,402		576
TESARO *		2,600		69
Tetraphase Pharmaceuticals *		3,100		33
TherapeuticsMD *		10,600		43
Theravance * (A)		10,309		295
Thoratec *		7,827		259


12		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Extended Market Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Threshold Pharmaceuticals * (A)		9,295	$	36
Tornier *		2,108		45
Triple-S Management, Cl B *		2,866		51
Ultragenyx Pharmaceutical *		1,200		45
Unilife * (A)		18,171		52
United Therapeutics *		5,964		571
Universal American		2,216		17
Universal Health Services, Cl B		11,347		1,016
US Physical Therapy		1,926		65
Utah Medical Products		200		11
Vanda Pharmaceuticals * (A)		4,100		42
Vascular Solutions *		2,718		56
VCA Antech *		10,383		349
Veeva Systems, Cl A *		1,800		38
Verastem *		1,500		14
Vical *		4,189		5
Vivus * (A)		8,977		44
Vocera Communications *		1,742		23
Volcano *		6,949		121
WellCare Health Plans *		5,766		447
West Pharmaceutical Services		9,130		384
Wright Medical Group *		5,759		175
XenoPort *		9,916		40
XOMA *		9,730		40
Zeltiq Aesthetics *		2,400		42
ZIOPHARM Oncology * (A)		8,673		31
Zogenix *		10,400		24

				56,696


Industrials — 15.0%
AAON		2,967		93
AAR		5,729		139
ABM Industries		6,255		171
Acacia Research (A)		7,649		123
ACCO Brands * (A)		15,629		94
Accuride *		9,555		53
Aceto		3,017		53
Actuant, Cl A		8,542		304
Acuity Brands		5,446		684
Advisory Board *		4,284		207
AECOM Technology *		13,512		434
Aegion, Cl A *		4,503		108
Aerovironment *		2,125		68
AGCO		12,423		670
Air Lease, Cl A		9,331		385
Air Transport Services Group *		6,336		58
Aircastle		8,657		145
Alamo Group		935		48
Alaska Air Group		8,861		872
Albany International, Cl A		4,098		153
Allegiant Travel, Cl A		1,750		201
Alliant Techsystems		4,144		523
Altra Holdings		3,389		116
AMERCO		1,000		276
Ameresco, Cl A *		779		5
American Airlines Group *		24,723		993
American Railcar Industries		1,277		83
American Science & Engineering		955		64
American Woodmark *		1,684		46
AO Smith		9,358		462
Apogee Enterprises		3,811		115


Description	Shares		Market Value ($ Thousands)

Applied Industrial Technologies		5,661	$	270
ARC Document Solutions *		4,300		27
ArcBest		2,690		115
Argan		1,879		58
Armstrong World Industries *		3,177		169
Astec Industries		3,163		126
Astronics *		2,274		125
Atlas Air Worldwide Holdings *		3,369		123
Avis Budget Group * (A)		13,660		782
AZZ		3,196		142
Babcock & Wilcox		14,524		469
Barnes Group		6,552		245
Barrett Business Services		834		39
BE Aerospace *		12,330		1,193
Beacon Roofing Supply *		5,470		189
Blount International *		4,685		57
Brady, Cl A		5,727		155
Briggs & Stratton (A)		4,949		102
Brink’s		5,506		147
Builders FirstSource *		7,970		57
CAI International *		1,272		28
Capstone Turbine * (A)		50,135		76
Carlisle		8,077		685
Casella Waste Systems, Cl A *		1,391		8
CBIZ *		3,745		32
CDI		2,269		32
Ceco Environmental		2,047		29
Celadon Group		3,375		79
Cenveo *		7,100		22
Chart Industries *		3,972		286
Chicago Bridge & Iron		12,592		1,025
CIRCOR International		2,315		177
CLARCOR		6,123		358
Clean Harbors * (A)		7,876		481
Colfax *		13,089		953
Columbus McKinnon		2,465		69
Comfort Systems USA		4,391		72
Commercial Vehicle Group *		5,592		53
Continental Building Products *		3,000		46
Con-way		7,568		350
Copa Holdings, Cl A		4,228		604
Copart *		14,350		510
Corporate Executive Board		3,961		270
Courier		700		10
Covanta Holding		14,558		278
CRA International *		2,205		49
Crane		6,329		469
Cubic		2,189		106
Curtiss-Wright		6,178		412
Deluxe		6,754		379
DigitalGlobe *		8,632		262
Donaldson		18,546		755
Douglas Dynamics		4,022		70
Ducommun *		1,000		25
DXP Enterprises *		1,362		95
Dycom Industries *		3,707		110
Dynamic Materials		1,365		30
Echo Global Logistics *		2,486		46
EMCOR Group		7,887		351
Encore Wire		3,103		151
Energy Recovery * (A)		4,487		23
EnerNOC *		2,360		45
EnerSys		6,283		434


13		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Extended Market Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Engility Holdings *		2,010	$	78
Ennis		3,488		53
EnPro Industries *		2,668		196
ESCO Technologies		2,777		93
Esterline Technologies *		3,790		422
Exelis		22,728		388
ExOne * (A)		400		12
Exponent		1,743		123
Federal Signal		9,547		131
Fortune Brands Home & Security		20,673		827
Forward Air		3,818		171
Franklin Covey *		491		11
Franklin Electric		6,381		244
FreightCar America		1,733		45
FTI Consulting *		4,568		147
FuelCell Energy * (A)		34,361		80
Furmanite *		3,137		34
G&K Services, Cl A		2,439		126
GATX		5,552		366
GenCorp * (A)		8,779		163
Generac Holdings		6,045		294
General Cable		6,137		156
Genesee & Wyoming, Cl A *		5,574		543
Gibraltar Industries *		3,560		56
Global Brass & Copper Holdings		1,000		16
Global Power Equipment Group		3,430		57
Gorman-Rupp		1,977		63
GP Strategies *		2,382		58
Graco		7,835		572
GrafTech International * (A)		15,817		165
Graham		796		24
Granite Construction		4,911		174
Great Lakes Dredge & Dock *		9,180		70
Greenbrier *		3,623		201
Griffon		4,237		50
H&E Equipment Services *		3,725		129
Hardinge		463		6
Harsco		11,028		298
Hawaiian Holdings *		6,780		105
HD Supply Holdings *		7,600		200
Healthcare Services Group		9,239		275
Heartland Express		6,872		149
Heico		8,481		442
Heidrick & Struggles International		1,352		25
Heritage-Crystal Clean *		1,200		20
Herman Miller		6,643		208
Hertz Global Holdings *		43,214		1,276
Hexcel *		12,798		525
HNI		5,149		193
Houston Wire & Cable		3,755		45
Hub Group, Cl A *		4,262		200
Hubbell, Cl B		7,489		876
Huntington Ingalls Industries		6,359		635
Hurco		235		7
Huron Consulting Group *		2,911		198
Hyster-Yale Materials Handling		1,102		93
ICF International *		1,868		69
IDEX		10,341		793
IHS, Cl A *		8,199		1,032


Description	Shares		Market Value ($ Thousands)

II-VI *		5,743	$	77
InnerWorkings *		3,487		26
Insperity		3,012		96
Insteel Industries		2,941		58
Interface, Cl A		7,445		136
International Shipholding		800		19
ITT		11,563		505
JB Hunt Transport Services		11,549		897
JetBlue Airways * (A)		33,381		322
John Bean Technologies		4,431		127
Kadant		1,725		65
Kaman		3,973		169
KAR Auction Services		10,129		309
KBR		18,845		458
Kelly Services, Cl A		2,795		50
Kennametal		9,614		433
KEYW Holding * (A)		4,068		43
Kforce		4,537		100
Kirby *		7,226		799
Knight Transportation		8,337		203
Knoll		5,463		96
Korn/Ferry International *		6,958		211
Kratos Defense & Security Solutions *		5,216		44
Landstar System		6,244		405
Layne Christensen *		3,469		53
LB Foster, Cl A		1,171		60
Lennox International		6,429		546
Lincoln Electric Holdings		10,533		692
Lindsay Manufacturing (A)		1,627		137
LMI Aerospace *		181		3
LSI Industries		2,000		16
Lydall *		1,632		45
Manitex International *		1,800		30
Manitowoc		17,150		464
Manpowergroup		9,756		800
Marten Transport		3,095		75
MasTec * (A)		7,262		261
Matson		5,552		136
McGrath RentCorp		2,748		94
Meritor *		13,095		181
Middleby *		2,375		567
Miller Industries		411		8
Mistras Group *		2,697		61
Mobile Mini		4,683		204
Moog, Cl A *		6,024		434
MRC Global *		9,712		280
MSA Safety		3,544		194
MSC Industrial Direct, Cl A (A)		5,703		525
Mueller Industries		6,308		182
Mueller Water Products, Cl A		19,612		165
Multi-Color		1,957		69
MYR Group *		2,179		55
NACCO Industries, Cl A		305		17
National Presto Industries		591		42
Navigant Consulting *		7,641		129
Navistar International *		7,491		257
NCI Building Systems *		3,548		59
NN		2,487		61
Nordson		8,212		670
Nortek *		1,242		104
Northwest Pipe *		586		21
NOW *		13,300		430


14		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Extended Market Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Odyssey Marine Exploration * (A)		6,525	$	9
Old Dominion Freight Line *		9,190		588
On Assignment *		5,269		186
Orbital Sciences *		7,458		195
Orion Marine Group *		1,874		21
Oshkosh Truck		11,217		606
Owens Corning		15,060		618
Park-Ohio Holdings		1,118		59
Patriot Transportation Holding *		238		8
Pendrell *		8,751		14
Performant Financial *		2,000		19
PGT *		4,900		42
Pike *		4,938		44
Ply Gem Holdings *		1,300		15
PMFG *		2,800		14
Polypore International * (A)		5,260		234
Powell Industries		1,364		84
Power Solutions International *		300		23
PowerSecure International *		3,700		30
Preformed Line Products		90		5
Primoris Services		3,647		106
Proto Labs *		2,199		145
Quad, Cl A		3,562		75
Quality Distribution *		3,910		56
Quanex Building Products		5,765		103
Raven Industries		4,155		130
RBC Bearings		2,595		156
Regal-Beloit		5,925		452
Republic Airways Holdings *		4,596		48
Resources Connection		3,881		48
Rexnord *		4,526		116
Roadrunner Transportation Systems *		1,772		46
Rollins		8,775		269
RPX *		4,910		80
RR Donnelley & Sons		22,760		361
Rush Enterprises, Cl A *		5,099		169
Saia *		2,492		109
Schawk, Cl A		1,500		30
Scorpio Bulkers *		15,200		140
Simpson Manufacturing		5,043		168
SkyWest		6,622		76
SolarCity * (A)		2,931		154
SP Plus *		2,498		59
Sparton *		1,100		32
Spirit Aerosystems Holdings, Cl A *		15,675		509
Spirit Airlines *		7,847		464
SPX		5,994		627
Standex International		1,629		120
Steelcase, Cl A		10,557		173
Sterling Construction *		591		5
Sun Hydraulics		2,877		106
Swift Transporation, Cl A * (A)		11,409	��	282
Swisher Hygiene *		4,332		2
TAL International Group		3,784		166
Taser International *		7,069		94
Team *		2,357		99
Tecumseh Products *		1,900		9
Teledyne Technologies *		4,837		458
Tennant		2,638		169
Terex		14,170		545


Description	Shares		Market Value ($ Thousands)

Tetra Tech		7,342	$	195
Textainer Group Holdings		2,253		87
Thermon Group Holdings *		3,482		82
Timken		11,009		707
Titan International		5,472		87
Titan Machinery * (A)		3,312		58
Toro		7,500		484
Towers Watson, Cl A		8,233		926
TransDigm Group		6,505		1,228
TRC *		1,000		5
Trex *		4,940		153
TriMas *		5,076		178
Trinity Industries		10,071		871
Triumph Group		6,696		464
TrueBlue *		5,928		161
Tutor Perini *		4,551		139
Twin Disc		1,870		61
UniFirst		1,640		162
United Continental Holdings *		44,052		1,955
United Rentals * (A)		11,847		1,197
United Stationers (A)		4,537		181
Universal Forest Products		2,055		100
Universal Truckload Services		700		17
URS		8,971		404
US Ecology		2,340		116
USG * (A)		10,082		302
UTi Worldwide		10,395		101
Valmont Industries (A)		3,314		514
Verisk Analytics, Cl A *		18,872		1,117
Viad		2,271		52
Vicor *		2,500		19
VSE		500		31
Wabash National *		7,741		106
WABCO Holdings *		7,410		791
Wabtec		12,106		953
WageWorks *		3,071		124
Waste Connections		15,703		716
Watsco		3,059		308
Watts Water Technologies, Cl A		3,256		182
Werner Enterprises		5,990		158
Wesco Aircraft Holdings *		4,346		94
WESCO International * (A)		5,666		484
West		3,400		91
Woodward Governor		9,042		404
XPO Logistics *		7,290		183
YRC Worldwide *		4,500		101

				77,083


Information Technology — 14.6%
3D Systems * (A)		12,647		641
ACI Worldwide *		4,804		261
Activision Blizzard		33,806		703
Actuate *		2,744		13
Acxiom *		8,674		197
ADTRAN		6,797		153
Advanced Energy Industries *		5,219		102
Advanced Micro Devices *		72,600		290
Advent Software		4,168		126
Aeroflex Holding *		729		8
Agilysys *		900		13
Alliance Fiber Optic Products		600		12


15		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Extended Market Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Alpha & Omega Semiconductor *		1,100	$	9
Ambarella * (A)		1,600		42
Amdocs		20,268		975
American Software, Cl A		2,872		28
Amkor Technology * (A)		11,313		114
ANADIGICS *		2,864		3
Angie’s List *		3,748		40
Anixter International		3,541		365
Ansys *		11,717		861
AOL *		10,165		369
Applied Micro Circuits *		8,998		81
ARRIS Group *		15,370		509
Arrow Electronics *		13,225		763
Aruba Networks *		12,539		232
Aspen Technology *		12,167		523
Atmel *		52,082		436
AVG Technologies *		2,900		56
Aviat Networks *		1,216		1
Avnet		17,299		754
AVX		4,478		60
Axcelis Technologies *		7,300		14
Badger Meter		1,362		67
Bankrate *		5,849		89
Bazaarvoice *		3,600		24
Bel Fuse, Cl B		388		11
Belden		5,423		390
Benchmark Electronics *		6,930		161
Benefitfocus *		700		26
Black Box		2,509		61
Blackbaud		5,155		177
Blackhawk Network Holdings, Cl B *		5,300		130
Blackhawk Network Holdings, Cl A *		1,000		25
Blucora * (A)		4,129		78
Booz Allen Hamilton Holding, Cl A		4,665		103
Bottomline Technologies de *		4,871		140
Brightcove *		2,600		25
Broadridge Financial Solutions		15,497		636
BroadSoft * (A)		3,594		78
Brocade Communications Systems		56,847		518
Brooks Automation		6,303		61
Cabot Microelectronics *		3,524		152
CACI International, Cl A *		2,632		188
Cadence Design Systems * (A)		36,247		605
CalAmp *		4,756		91
Calix *		4,945		40
Callidus Software *		4,356		46
Carbonite *		1,400		16
Cardtronics *		4,985		144
Cass Information Systems		990		50
Cavium *		6,931		340
CDW		4,200		124
Ceva *		3,838		60
ChannelAdvisor *		400		8
Checkpoint Systems *		3,845		50
CIBER *		13,787		64
Ciena * (A)		13,386		260
Cirrus Logic *		7,995		177
Cognex *		10,558		380


Description	Shares		Market Value ($ Thousands)

Coherent *		2,753	$	165
Cohu		2,077		22
CommScope Holding *		4,500		119
CommVault Systems *		5,684		278
Computer Task Group		792		12
Compuware		25,560		253
comScore *		3,947		123
Comtech Telecommunications		1,932		63
Comverse *		2,100		52
Concur Technologies *		5,911		505
Constant Contact *		4,666		138
Convergys		14,087		307
Conversant * (A)		8,594		203
CoreLogic *		11,683		333
Cornerstone OnDemand *		5,399		217
CoStar Group *		3,563		565
Cray *		4,370		123
Cree * (A)		14,823		713
CSG Systems International		3,717		98
CTS		4,045		71
Cvent *		700		18
Cypress Semiconductor		22,095		226
Daktronics		4,580		57
Datalink *		3,697		34
Dealertrack Technologies *		5,800		230
Demand Media *		1,687		8
Demandware *		2,345		143
Dice Holdings *		2,190		15
Diebold		8,433		317
Digi International *		3,601		32
Digimarc		276		9
Digital River *		3,277		52
Diodes *		4,042		112
Dolby Laboratories, Cl A * (A)		5,104		212
DSP Group *		862		7
DST Systems		4,450		406
DTS *		2,944		53
E2open *		1,300		23
EarthLink Holdings		11,833		43
Ebix (A)		3,825		60
EchoStar, Cl A *		5,503		281
eGain *		1,600		11
Electro Rent		1,059		17
Electro Scientific Industries		2,445		18
Electronics For Imaging *		5,228		213
Ellie Mae *		3,363		94
Emulex *		6,988		37
Endurance International Group Holdings * (A)		3,100		40
Entegris *		15,908		182
Entropic Communications *		14,749		49
Envestnet *		3,095		125
EPAM Systems *		2,600		109
Epiq Systems		3,690		45
ePlus *		144		8
Equinix * (A)		6,198		1,232
Euronet Worldwide *		6,088		287
EVERTEC		3,500		84
Exar *		4,992		54
ExlService Holdings *		3,623		103
Extreme Networks *		10,187		41
Fabrinet *		3,215		61
FactSet Research Systems		5,586		599


16		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Extended Market Index Fund

May 31, 2014


Description	Shares			Market Value ($ Thousands)

Fair Isaac		4,891		$	288
Fairchild Semiconductor International, Cl A *		14,509			213
FARO Technologies *		1,708			73
FEI		5,352			447
Finisar * (A)		12,454			296
FireEye *		1,900			62
FleetCor Technologies *		8,473			1,071
FleetMatics Group *		1,578			45
FormFactor *		3,767			27
Forrester Research		1,564			59
Fortinet *		17,599			395
Freescale Semiconductor *		9,207			204
Fusion-io *		11,302			90
Gartner *		11,837			842
Genpact *		22,050			372
Gigamon *		800			14
Global Cash Access Holdings *		7,316			65
Global Eagle Entertainment *		4,900			55
Global Payments		8,728			598
Glu Mobile *		3,700			13
Gogo * (A)		400			7
GSI Group *		5,462			66
GSI Technology *		2,900			16
GT Advanced Technologies * (A)		15,929			269
Guidance Software *		594			6
Guidewire Software *		6,469			244
Hackett Group		3,300			20
Harmonic *		9,294			67
Heartland Payment Systems		4,111			170
Higher One Holdings *		1,534	��		6
Hittite Microwave		4,317			254
IAC		9,421			624
iGATE *		4,686			163
Imation *		4,600			16
Immersion *		1,567			17
Imperva *		2,883			60
Infinera *		14,884			135
Infoblox *		7,503			97
Informatica *		13,785			504
Ingram Micro, Cl A *		19,446			540
Inphi *		2,262			34
Insight Enterprises *		4,798			130
Integrated Device Technology *		16,545			220
Integrated Silicon Solution *		5,505			77
Interactive Intelligence Group *		2,268			115
InterDigital		5,230			199
Internap Network Services *		8,784			63
International Rectifier *		7,806			209
Intersil, Cl A		15,772			222
IntraLinks Holdings *		3,326			29
InvenSense, Cl A * (A)		8,177			158
IPG Photonics *		3,820			241
Itron *		4,511			173
Ixia *		6,158			72
IXYS		1,980			22
j2 Global (A)		5,557			263
Jack Henry & Associates		10,919			633
JDS Uniphase *		27,100			297
Jive Software *		2,634			21
Kemet *		2,462			15
Knowles *		11,400			322


Description	Shares		Market Value ($ Thousands)

Kopin *		8,823	$	28
KVH Industries *		297		4
Lattice Semiconductor *		12,162		96
Leidos Holdings (A)		8,450		322
Lexmark International, Cl A		8,280		361
LinkedIn, Cl A *		12,206		1,954
Lionbridge Technologies *		7,618		43
Liquidity Services *		2,222		34
Littelfuse		3,003		263
LivePerson *		5,291		50
LogMeIn *		3,313		141
Luxoft Holding, Cl A *		1,100		36
MA-COM Tech *		1,300		24
Manhattan Associates *		10,180		330
ManTech International, Cl A		2,822		83
Marchex, Cl B		2,900		30
Marin Software *		1,400		14
Marketo *		700		16
Marvell Technology Group		49,902		777
Maxim Integrated Products		36,404		1,247
MAXIMUS		8,916		398
MaxLinear, Cl A *		2,300		22
Maxwell Technologies *		2,864		50
Measurement Specialties *		1,877		119
Mentor Graphics		12,840		272
Mercury Systems *		5,923		69
Mesa Laboratories		300		24
Methode Electronics		5,284		165
Micrel		6,093		65
Micros Systems *		10,071		538
Microsemi *		11,414		278
MicroStrategy, Cl A *		1,253		177
Millennial Media * (A)		3,000		12
Mitek Systems * (A)		3,600		12
MKS Instruments		6,123		177
Model N * (A)		900		10
ModusLink Global Solutions * (A)		6,400		23
MoneyGram International *		2,905		38
Monolithic Power Systems *		4,651		183
Monotype Imaging Holdings		4,860		125
Monster Worldwide *		12,508		71
MoSys *		2,200		7
Move * (A)		3,735		49
MTS Systems		1,989		132
Multi-Fineline Electronix *		1,200		12
Nanometrics *		3,644		63
National Instruments		12,667		363
NCR *		20,883		682
Neonode * (A)		2,700		10
NeoPhotonics *		2,200		10
Net Element *		100		—
NETGEAR *		4,892		161
Netscout Systems *		4,758		185
NetSuite *		4,503		362
NeuStar, Cl A * (A)		7,232		203
Newport *		5,995		111
NIC		7,422		123
Nimble Storage *		800		20
Nuance Communications *		33,981		550
Numerex, Cl A *		477		5
NVE *		694		37
OmniVision Technologies *		8,042		181


17		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Extended Market Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

ON Semiconductor *		54,200	$	471
OpenTable *		2,626		178
Oplink Communications *		1,066		18
OSI Systems *		2,668		152
Palo Alto Networks *		4,433		332
Pandora Media *		17,971		441
Park Electrochemical		1,982		53
Parkervision * (A)		14,552		71
PC Connection		831		17
PC-Tel *		1,500		11
PDF Solutions *		2,853		57
Pegasystems		3,236		69
Peregrine Semiconductor * (A)		2,300		15
Perficient *		3,600		64
Pericom Semiconductor *		911		8
Photronics *		7,029		62
Plantronics		5,969		271
Plexus *		4,228		177
PLX Technology *		5,989		35
PMC-Sierra *		25,654		181
Polycom *		16,047		205
Power Integrations		3,289		165
PRGX Global *		936		6
Procera Networks *		1,381		13
Progress Software *		6,558		142
Proofpoint *		2,900		93
PROS Holdings *		3,399		78
PTC *		15,290		563
Qlik Technologies *		11,425		248
QLogic *		13,122		130
Qualys *		1,400		33
Quantum * (A)		12,478		14
QuinStreet *		1,186		7
Rackspace Hosting *		14,977		547
Rally Software Development *		800		10
Rambus *		16,110		195
RealD * (A)		7,164		85
RealNetworks *		844		7
RealPage *		4,546		96
Reis		500		9
RF Micro Devices *		37,847		356
Richardson Electronics		515		5
Riverbed Technology * (A)		21,550		438
Rocket Fuel * (A)		700		18
Rofin-Sinar Technologies *		2,615		61
Rogers *		2,493		155
Rosetta Stone *		700		7
Rovi *		11,434		276
Rubicon Technology *		1,000		9
Ruckus Wireless *		5,517		60
Rudolph Technologies *		5,507		52
Sanmina *		10,366		211
Sapient *		15,254		251
ScanSource *		4,096		152
Science Applications International		5,242		203
SciQuest *		2,538		43
Seachange International *		3,843		37
Semtech *		7,675		199
ServiceNow *		9,969		522
ServiceSource International *		9,746		44
ShoreTel *		5,870		41
Shutterstock * (A)		1,097		71


Description	Shares		Market Value ($ Thousands)

Sigma Designs *		1,313	$	5
Silicon Graphics International *		3,190		28
Silicon Image *		12,061		63
Silicon Laboratories *		5,682		256
Skyworks Solutions		24,065		1,042
SolarWinds *		7,860		307
Solera Holdings		8,827		576
Sonus Networks *		19,901		73
Spansion, Cl A *		4,882		93
Spark Networks * (A)		2,500		11
Speed Commerce *		5,400		20
Splunk *		14,084		590
SPS Commerce *		2,129		121
SS&C Technologies Holdings *		6,809		290
Stamps.com *		1,255		41
Stratasys *		4,669		434
SunEdison *		33,909		668
SunPower, Cl A *		5,836		195
Super Micro Computer *		3,751		81
support.com *		4,681		11
Sykes Enterprises *		6,111		123
Synaptics * (A)		3,687		251
Synchronoss Technologies *		4,097		130
SYNNEX *		2,970		196
Synopsys *		19,452		749
Syntel *		1,877		152
Tableau Software, Cl A *		1,300		75
Take-Two Interactive Software *		10,139		209
Tangoe * (A)		2,855		43
Tech Data *		5,065		301
TeleTech Holdings *		3,427		90
Teradyne		24,600		438
Tessco Technologies		700		21
Tessera Technologies (A)		7,030		158
Textura * (A)		800		17
TIBCO Software *		21,248		457
TiVo *		14,386		171
Travelzoo *		287		6
Trimble Navigation *		31,920		1,151
TriQuint Semiconductor *		20,439		318
Trulia * (A)		3,678		142
TTM Technologies *		7,087		53
Twitter *		10,300		334
Tyler Technologies *		3,687		288
Ubiquiti Networks * (A)		1,400		49
Ultimate Software Group *		3,535		449
Ultra Clean Holdings *		4,452		37
Ultratech *		2,968		75
Uni-Pixel *		1,200		6
Unisys *		5,683		133
United Online		1,208		13
Universal Display * (A)		5,008		131
Unwired Planet *		3,460		7
Vantiv, Cl A *		10,208		316
Vasco Data Security International *		6,254		70
Veeco Instruments *		4,901		163
VeriFone Holdings *		14,129		464
Verint Systems *		6,350		294
ViaSat *		4,756		258
VirnetX Holding * (A)		4,742		75
Virtusa *		3,149		108
Vishay Intertechnology (A)		14,917		223


18		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Extended Market Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Vishay Precision Group *		464	$	8
VistaPrint * (A)		3,699		148
VMware, Cl A * (A)		10,717		1,034
Vocus *		3,898		70
Vringo * (A)		6,600		22
Web.com Group *		5,239		180
WebMD Health, Cl A * (A)		4,027		172
Westell Technologies, Cl A *		6,300		16
WEX *		4,976		479
Wix.com * (A)		1,300		23
Workday, Cl A *		4,789		375
Xcerra *		7,941		77
XO Group *		4,415		50
Xoom *		670		15
Yelp, Cl A *		3,898		258
Zebra Technologies, Cl A *		6,664		495
Zillow, Cl A *		2,837		335
Zix *		6,113		20
Zygo *		1,420		27
Zynga, Cl A *		81,274		280

				74,701


Materials — 5.5%
A. Schulman		3,229		114
Advanced Emissions Solutions *		3,154		74
AEP Industries *		180		6
AK Steel Holding *		14,000		86
Albemarle		10,343		716
Allied Nevada Gold * (A)		16,478		45
AM Castle * (A)		923		11
American Vanguard		3,999		61
Ampco-Pittsburgh		333		7
AptarGroup		8,566		570
Arabian American Development *		817		8
Ashland		9,908		1,020
Axiall		8,525		394
Balchem		3,388		187
Berry Plastics Group *		6,938		164
Boise Cascade *		2,070		54
Cabot		8,332		471
Calgon Carbon *		7,918		170
Carpenter Technology		6,201		387
Celanese, Cl A		19,992		1,253
Century Aluminum *		6,659		91
Chase		800		24
Chemtura *		11,529		288
Clearwater Paper *		3,051		189
Cliffs Natural Resources (A)		18,900		296
Coeur Mining *		13,061		89
Commercial Metals		15,641		278
Compass Minerals International		4,340		404
Crown Holdings *		18,135		886
Cytec Industries		4,717		469
Deltic Timber		1,596		98
Domtar		4,025		366
Eagle Materials		6,383		555
Ferro *		8,905		114
Flotek Industries *		5,296		150
FutureFuel		3,876		67
General Moly *		1,340		1


Description	Shares		Market Value ($ Thousands)

Glatfelter		5,471	$	144
Globe Specialty Metals		6,902		138
Gold Resource		1,558		7
Graphic Packaging Holding *		23,717		261
Greif, Cl A		3,619		198
H.B. Fuller		5,933		284
Handy & Harman *		800		18
Hawkins		1,773		64
Haynes International		1,223		65
Headwaters *		10,820		140
Hecla Mining (A)		43,756		121
Horsehead Holding *		7,009		116
Huntsman		24,624		657
Innophos Holdings		2,889		152
Innospec		3,113		131
Intrepid Potash * (A)		5,660		92
Kaiser Aluminum		2,354		161
KapStone Paper and Packaging *		10,742		312
KMG Chemicals		309		5
Koppers Holdings		2,073		75
Kraton Performance Polymers *		4,880		121
Kronos Worldwide		3,484		53
Landec *		1,493		18
Louisiana-Pacific *		16,442		233
LSB Industries *		2,939		112
Martin Marietta Materials (A)		5,801		712
Materion		3,274		112
Midway Gold *		5,336		4
Minerals Technologies		4,724		293
Molycorp * (A)		16,247		45
Myers Industries		3,418		73
Neenah Paper		2,493		122
NewMarket (A)		1,197		469
Olin (A)		9,816		267
Olympic Steel		327		8
OM Group		3,483		107
OMNOVA Solutions *		7,567		72
Packaging Corp of America		12,349		854
Paramount Gold and Silver * (A)		2,528		2
Patrick Industries *		400		15
Penford *		1,400		17
PolyOne		12,032		483
Quaker Chemical		1,434		106
Reliance Steel & Aluminum		9,738		701
Rentech *		37,265		87
Resolute Forest Products *		9,092		136
Rock Tenn, Cl A		9,035		913
Rockwood Holdings		9,305		711
Royal Gold		8,202		514
RPM International		16,788		723
RTI International Metals *		4,743		127
Schnitzer Steel Industries, Cl A		3,456		86
Schweitzer-Mauduit International		3,638		152
Scotts Miracle-Gro, Cl A		5,059		303
Sensient Technologies		6,035		331
Silgan Holdings		5,912		289
Sonoco Products		13,021		550
Southern Copper		20,129		598
Steel Dynamics		28,537		493
Stepan		2,725		146
Stillwater Mining *		14,680		247


19		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Extended Market Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

SunCoke Energy *		8,646	$	174
Tahoe Resources *		10,588		220
Taminco *		1,300		28
Texas Industries * (A)		2,723		234
Tredegar		2,341		50
Universal Stainless & Alloy
Products *		1,034		31
US Concrete *		1,300		32
US Silica Holdings		3,026		153
Valspar		10,926		816
Walter Industries		5,626		27
Wausau Paper		4,619		49
Westlake Chemical		5,310		429
Worthington Industries		7,102		286
WR Grace *		9,524		877
Zep		3,721		65

				28,180


Telecommunication Services — 1.3%
8x8 *		10,914		82
Atlantic Telegraph-Network		1,367		76
Boingo Wireless *		2,700		18
Cbeyond *		5,841		58
Cincinnati Bell *		19,786		78
Cogent Communications Holdings		5,304		194
Consolidated Communications Holdings		6,226		127
Enventis		700		10
FairPoint Communications *		4,070		57
General Communication, Cl A *		1,903		22
Hawaiian Telcom Holdco *		905		25
IDT, Cl B		603		10
inContact *		5,328		45
Inteliquent		3,153		47
Intelsat *		1,700		33
Iridium Communications *		7,246		57
Level 3 Communications *		21,792		951
Lumos Networks		2,271		34
magicJack VocalTec *		3,636		53
NII Holdings * (A)		15,276		8
NTELOS Holdings (A)		1,498		19
ORBCOMM *		7,786		50
Premiere Global Services *		5,618		73
RingCentral, Cl A *		2,000		24
SBA Communications, Cl A *		15,819		1,606
Shenandoah Telecommunications		2,752		76
Sprint *		106,890		1,021
Straight Path Communications *		301		3
Telephone & Data Systems		12,655		351
T-Mobile US *		24,105		828
Towerstream * (A)		6,900		13
tw telecom, Cl A *		17,431		572
US Cellular		1,452		62
USA Mobility		4,132		64
Vonage Holdings *		18,120		69

				6,816


Utilities — 3.4%
ALLETE		5,370		267
Alliant Energy		14,018		817
American States Water		4,974		151
American Water Works		22,318		1,085


Description	Shares		Market Value ($ Thousands)

Aqua America		22,537	$	572
Artesian Resources, Cl A		284		6
Atlantic Power		12,421		42
Atmos Energy		12,682		635
Avista		6,852		215
Black Hills		5,902		340
California Water Service Group		6,941		153
Calpine *		46,372		1,081
Chesapeake Utilities		1,077		70
Cleco		7,922		412
Connecticut Water Service		1,906		61
Consolidated Water		1,000		10
Delta Natural Gas		500		10
Dynegy, Cl A *		13,300		448
El Paso Electric		5,036		192
Empire District Electric		6,356		153
Genie Energy, Cl B *		1,000		8
Great Plains Energy		19,723		502
Hawaiian Electric Industries (A)		11,558		278
IDACORP		5,924		325
ITC Holdings		19,175		702
Laclede Group		3,803		178
MDU Resources Group		23,832		807
MGE Energy		4,414		166
Middlesex Water		901		18
National Fuel Gas (A)		9,288		697
New Jersey Resources		5,647		311
Northwest Natural Gas		3,476		157
NorthWestern		4,346		209
NRG Yield, Cl A (A)		3,400		160
OGE Energy		24,976		917
ONE Gas		7,100		260
Ormat Technologies		2,734		81
Otter Tail		4,846		139
Pattern Energy Group, Cl A		2,200		67
Piedmont Natural Gas (A)		8,992		322
PNM Resources		10,717		305
Portland General Electric		9,100		301
Questar		22,808		549
SJW		2,464		67
South Jersey Industries		3,598		207
Southwest Gas		5,441		285
UGI		14,464		704
UIL Holdings		6,750		250
Unitil		1,358		45
UNS Energy		4,916		298
Vectren		10,743		428
Westar Energy, Cl A		15,570		561
WGL Holdings		7,061		286
York Water		752		15

				17,325

Total Common Stock (Cost $457,215) ($ Thousands)				504,191


	Number Of Rights
RIGHTS — 0.0%

Bermuda — 0.0%
Central European Media Enterprises ‡‡		112		—


20		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Extended Market Index Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

United States — 0.0%
Cubist Pharmaceuticals ‡‡		2,960	$	1
Leap Wireless CVR ‡‡		7,532		—
Trius Contingent Value ‡‡		2,885		—

Total Rights (Cost $6) ($ Thousands)				1


	Number Of Warrants
WARRANTS — 0.0%
Magnum Hunter Resources, Expires 04/20/16 *(A)		1,239		—
Tejon Ranch, Expires 08/31/16 *		96		—

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


AFFILIATED PARTNERSHIP — 10.4%
SEI Liquidity Fund, L.P. 0.070% ** † (C)		53,160,091		53,160

Total Affiliated Partnership (Cost $53,160) ($ Thousands)				53,160


CASH EQUIVALENT — 1.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010% **†		8,826,775		8,827

Total Cash Equivalent (Cost $8,827) ($ Thousands)				8,827


U.S. TREASURY OBLIGATIONS (D) (E) — 0.1%
U.S. Treasury Bills 0.024%, 07/17/2014	$	120		120
0.010%, 08/07/2014		510		510

Total U.S. Treasury Obligations (Cost $630) ($ Thousands)				630

Total Investments — 110.4% (Cost $519,838) ($ Thousands)			$	566,809

A list of the open futures contracts held by the Fund at May 31, 2014, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
Russell 2000 Index E-MINI		27		Jun-2014	$	(113	)
S&P Mid 400 Index E-MINI		46		Jun-2014		70

					$	(43	)

Percentages

are based on a Net Assets of $513,283 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2014.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

‡‡

Expiration date is unavailable.

(A)

This security or a partial position of this security is on loan at May 31, 2014. The total market value of securities on loan at May 31, 2014 was $51,217 ($ 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. The total value of such securities as of May 31, 2014 was $53,160 ($ Thousands).

(D)

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

(E)

The rate reported is the effective yield as the time of purchase.

Cl — Class

CVR — Contingent Value Right

L.P. — Limited Partnership

Ser — Series

S&P — Standard & Poor’s

SPX — Standard & Poor’s 500 Index

The following is a list of the level of inputs used as of May 31, 2014, 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	$	504,191	$	—	$	—	$	504,191
Rights		1		—		—		1
Warrants		—		—		—		—
Affiliated Partnership		—		53,160		—		53,160
Cash Equivalent		8,827		—		—		8,827
U.S. Treasury Obligations		—		630		—		630

Total Investments in Securities	$	513,019	$	53,790	$	—	$	566,809


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts *
Unrealized Appreciation	$	70		$	—	$	—	$	70
Unrealized Depreciation		(113	)		—		—		(113	)

Total Futures Contracts *	$	(43	)	$	—	$	—	$	(43	)

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

For the year ended May 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2014, 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.


21		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Small Cap Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)


COMMON STOCK — 95.4%

Consumer Discretionary — 11.5%
2U *		48,886	$	706
Abercrombie & Fitch, Cl A		4,210		160
American Axle & Manufacturing
Holdings *		21,400		397
American Eagle Outfitters		49,562		532
America’s Car-Mart *		6,500		236
Arctic Cat		18,462		689
Ascent Capital Group, Cl A *		4,370		270
Big 5 Sporting Goods		21,000		244
Big Lots *		13,500		573
Biglari Holdings *		2,646		1,116
Bravo Brio Restaurant Group *		24,500		387
Bright Horizons Family Solutions *		17,582		685
Brown Shoe		24,700		695
Brunswick		32,919		1,419
Buffalo Wild Wings *		6,110		883
Cabela’s * (A)		13,645		835
Callaway Golf (A)		60,843		488
Capella Education		17,914		1,025
Career Education *		62,900		294
Carmike Cinemas *		6,300		217
Carter’s		16,918		1,220
Cato, Cl A		12,000		346
Children’s Place Retail Stores (A)		7,310		354
Container Store Group * (A)		32,577		934
Cooper Tire & Rubber		9,600		267
Core-Mark Holding		14,368		1,188
Coupons.com * (A)		6,823		176
Cracker Barrel Old Country Store		2,600		261
Crocs *		28,000		418
CSS Industries		10,800		260
Dana Holdings		44,205		979
Destination XL Group *		50,500		267
Dex Media * (A)		5,100		51
Diamond Resorts International *		36,303		698
Dick’s Sporting Goods		13,220		588
DreamWorks Animation SKG, Cl A *		21,691		609
Drew Industries		19,388		941
Einstein Noah Restaurant Group		9,200		142
Entravision Communications, Cl A		84,400		452
Ethan Allen Interiors (A)		22,307		523
Express *		42,792		539
Fiesta Restaurant Group *		36,176		1,457
Five Below * (A)		55,967		2,026
Francesca’s Holdings * (A)		41,183		632
Fred’s, Cl A		14,800		226
FTD *		7,800		233
Fuel Systems Solutions *		12,700		124
Genesco *		6,585		493
G-III Apparel Group *		2,000		147
Grand Canyon Education *		5,900		260
Gray Television *		1,200		14
Haverty Furniture		32,325		809
Helen of Troy *		15,500		898


Description	Shares		Market Value ($ Thousands)

Hibbett Sports * (A)		15,932	$	838
HomeAway *		37,783		1,164
Hyatt Hotels, Cl A *		550		34
Ignite Restaurant Group *		12,800		197
Jack in the Box		30,653		1,770
Journal Communications, Cl A *		42,700		352
K12 * (A)		35,400		813
Krispy Kreme Doughnuts * (A)		39,817		750
La-Z-Boy, Cl Z		17,742		433
Libbey *		62,800		1,692
Life Time Fitness * (A)		9,365		498
Lithia Motors, Cl A		25,322		1,986
LKQ *		27,237		756
Loral Space & Communications *		8,700		629
Lumber Liquidators Holdings * (A)		14,530		1,129
Marriott Vacations Worldwide *		4,300		244
Matthews International, Cl A (A)		30,324		1,243
MDC Partners, Cl A		43,350		911
Meredith		9,275		417
Modine Manufacturing *		33,900		518
Movado Group		17,837		683
NACCO Industries, Cl A		6,973		378
National CineMedia		108,518		1,701
Noodles, Cl A * (A)		9,307		309
Office Depot *		67,300		344
Orbitz Worldwide *		100,200		744
Orient-Express Hotels, Cl A *		12,900		170
Overstock.com *		24,700		377
Oxford Industries		3,404		218
Penske Auto Group		13,390		623
Pep Boys-Manny Moe & Jack *		25,695		262
Perry Ellis International *		5,700		96
PetMed Express (A)		8,600		114
Pier 1 Imports		74,160		1,306
Pool		27,239		1,572
Popeyes Louisiana Kitchen *		13,960		599
ReachLocal * (A)		64,900		389
Red Robin Gourmet Burgers *		14,833		1,069
Regis		10,365		143
Remy International		9,494		226
Rent-A-Center, Cl A (A)		42,606		1,191
RetailMeNot * (A)		23,755		606
Ruth’s Hospitality Group		53,000		649
Ryland Group		26,623		1,004
Sally Beauty Holdings *		33,234		851
Scholastic		2,500		80
Scientific Games, Cl A *		67,928		608
Select Comfort *		19,849		368
SFX Entertainment * (A)		31,596		231
Shutterfly *		46,713		1,922
Six Flags Entertainment		28,275		1,144
Skechers U.S.A., Cl A *		49,647		2,209
Skullcandy *		40,600		301
Smith & Wesson Holding * (A)		16,000		254
SodaStream International * (A)		12,667		473
Sonic *		20,700		431
Stage Stores (A)		15,900		292
Standard Motor Products		14,200		589
Steiner Leisure *		3,200		128
Stoneridge *		52,000		500
TAL Education Group ADR *		47,233		1,086


1		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Small Cap Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Tenneco *		11,000	$	701
Tile Shop Holdings * (A)		30,896		461
TRI Pointe Homes * (A)		21,820		333
Vail Resorts		5,300		369
Vera Bradley * (A)		37,973		1,023
Vince Holding *		9,569		266
Vitamin Shoppe *		16,908		727
Wolverine World Wide (A)		64,928		1,680
ZAGG *		26,100		119
Zoe’s Kitchen *		8,880		260
zulily, Cl A * (A)		14,444		502

				79,438


Consumer Staples — 2.8%
Andersons		14,250		726
Annie’s *		11,127		364
Casey’s General Stores		28,565		2,035
Chefs’ Warehouse *		25,144		465
Chiquita Brands International *		95,700		982
Cott		29,377		208
Darling Ingredients *		80,487		1,609
Dean Foods		15,210		265
Fairway Group Holdings, Cl A * (A)		7,416		46
Fresh Del Monte Produce		75,743		2,194
Ingles Markets, Cl A		11,100		291
J&J Snack Foods		6,265		587
Lancaster Colony		5,400		482
Medifast *		3,400		107
Pantry *		22,325		377
Pilgrim’s Pride *		52,600		1,338
Rite Aid *		139,300		1,164
Roundy’s		16,200		87
Seneca Foods, Cl A *		3,900		119
Snyder’s-Lance		10,801		294
SpartanNash		42,508		1,032
Sprouts Farmers Market *		29,248		793
SUPERVALU *		37,000		276
Susser Holdings * (A)		4,768		378
TreeHouse Foods *		6,648		498
United Natural Foods *		3,900		263
Universal (A)		20,200		1,082
USANA Health Sciences * (A)		11,500		827
Weis Markets		4,900		232
WhiteWave Foods, Cl A *		7,658		241

				19,362


Energy — 7.0%
Abraxas Petroleum *		11,935		60
Alberta Oilsands *		536,100		69
Alon USA Energy		13,300		199
Alpha Natural Resources * (A)		50,800		172
Approach Resources * (A)		113,765		2,221
Basic Energy Services *		17,700		481
Bill Barrett * (A)		21,500		538
Bonanza Creek Energy *		7,180		385
Bristow Group		8,900		676
C&J Energy Services *		22,265		682
Carrizo Oil & Gas *		19,690		1,131
Cloud Peak Energy *		54,554		1,008
Delek US Holdings		33,356		1,036
Dresser-Rand Group *		18,797		1,150
Dril-Quip *		20,356		2,081
Emerald Oil * (A)		28,631		186


Description	Shares			Market Value ($ Thousands)

Energy XXI Bermuda (A)		30,300		$	650
EPL Oil & Gas *		29,900			1,134
Era Group *		15,473			452
Exterran Holdings		11,925			498
Forest Oil * (A)		85,000			209
Forum Energy Technologies *		23,830			787
GasLog		25,500			595
Goodrich Petroleum * (A)		12,865			373
Gulfmark Offshore, Cl A		16,061			745
Helix Energy Solutions Group *		31,830			744
Hercules Offshore *		69,300			315
ION Geophysical *		20,200			84
Key Energy Services *		61,238			493
Kinder Morgan Escrow		69,898			—
Kodiak Oil & Gas *		59,100			752
Laredo Petroleum *		50,649			1,401
Matador Resources * (A)		35,519	��		884
Matrix Service *		14,600			477
McDermott International * (A)		142,144			1,032
Midcoast Energy Partners (A)		19,268			424
Mitcham Industries *		6,663			90
Navigator Holdings *		21,800			535
Newpark Resources *		89,858			1,012
North Atlantic Drilling		56,200			590
Northern Oil And Gas * (A)		25,185			384
Nuverra Environmental Solutions * (A)		63,200			1,076
Oasis Petroleum *		35,217			1,743
Parker Drilling *		190,912			1,235
PDC Energy *		13,486			866
Penn Virginia *		31,400			477
Pioneer Energy Services *		84,088			1,337
Precision Drilling		21,300			276
Quicksilver Resources * (A)		46,600			112
Renewable Energy Group *		30,000			297
Resolute Energy *		81,400			677
Ring Energy *		9,733			188
Rosetta Resources *		28,039			1,321
Scorpio Tankers		123,400			1,119
SEACOR Holdings *		2,553			204
StealthGas *		63,200			664
Stone Energy *		15,500			688
Superior Energy Services		28,995			962
Synergy Resources *		9,535			112
Targa Resources		7,188			826
Tesco		39,430			840
TETRA Technologies *		83,915			968
TGC Industries *		32,755			148
Tidewater		13,605			709
Triangle Petroleum * (A)		100,700			1,012
Unit *		11,627			739
VAALCO Energy *		120,700			785
W&T Offshore (A)		20,100			295
Western Refining (A)		11,900			488
Willbros Group *		54,800			666
World Fuel Services (A)		28,275			1,311

					48,876


Financials — 19.3%
1st Source		6,200			188
Acadia Realty Trust ‡		20,160			556
Agree Realty ‡		14,600			450


2		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Small Cap Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Alexandria Real Estate Equities ‡		2,050	$	156
Allied World Assurance Holdings		9,624		361
Altisource Residential, Cl B ‡		27,491		767
Ambac Financial Group *		1,300		37
American Assets Trust ‡		16,235		557
American Campus Communities ‡		11,715		455
American Capital Mortgage Investment ‡		24,400		498
American Equity Investment Life Holding (A)		33,400		752
American Realty Capital Properties ‡		8,900		110
AMERISAFE		2,000		77
AmTrust Financial Services (A)		10,980		469
Anworth Mortgage Asset ‡		104,404		564
Apartment Investment & Management, Cl A ‡		5,256		165
Apollo Investment		14,400		121
Ares Capital		1,950		34
Argo Group International Holdings		21,890		1,061
Arlington Asset Investment, Cl A		2,100		58
Artisan Partners Asset Management, Cl A		5,108		294
Ashford Hospitality Prime ‡		6,740		110
Ashford Hospitality Trust ‡		33,700		361
Aspen Insurance Holdings		6,100		280
Associated Banc		14,000		241
AvalonBay Communities ‡		2,262		321
Banco Latinoamericano de Comercio Exterior, Cl E		31,700		848
Bancorpsouth (A)		29,540		694
Bank of the Ozarks (A)		29,727		1,755
BankUnited		23,764		773
Banner		20,289		774
Berkshire Hills Bancorp		17,034		385
BGC Partners, Cl A		72,700		509
BioMed Realty Trust ‡ (A)		6,100		132
BlackRock Kelso Capital (A)		33,900		294
Blackstone Mortgage Trust, Cl A ‡		15,061		448
BofI Holding *		9,947		764
Boston Private Financial Holdings		71,750		907
Boston Properties ‡		1,828		221
Brandywine Realty Trust ‡		23,900		366
Brixmor Property Group ‡		2,650		58
Camden National		4,600		169
Campus Crest Communities ‡		70,673		627
Capital Bank Financial, Cl A *		22,000		534
Capstead Mortgage ‡		21,600		284
Cardinal Financial		15,928		277
CBL & Associates Properties ‡		29,979		564
Cedar Realty Trust ‡		66,600		409
Central Pacific Financial		67,210		1,280
Chesapeake Lodging Trust ‡		21,200		618
City National		7,200		512
CNO Financial Group		188,930		3,047
CoBiz Financial		49,582		514


Description	Shares		Market Value ($ Thousands)

Cohen & Steers (A)		14,910	$	604
Columbia Banking System		2,000		50
CommonWealth ‡		11,800		310
Community Bank System (A)		5,300		188
Community Trust Bancorp		9,240		317
Cousins Properties ‡		28,000		336
Credit Acceptance *		4,600		600
CubeSmart ‡		36,931		674
Customers Bancorp *		13,850		263
CYS Investments ‡		134,716		1,245
DDR ‡		6,900		119
DiamondRock Hospitality ‡		22,100		274
Dime Community Bancshares		25,326		383
Douglas Emmett ‡		1,900		54
Duke Realty ‡		10,597		188
Dynex Capital ‡		28,900		250
Eagle Bancorp *		32,615		1,043
East West Bancorp		16,635		557
EastGroup Properties ‡		31,769		2,022
Education Realty Trust ‡		90,306		945
Employers Holdings		58,508		1,230
Endurance Specialty Holdings		17,819		922
EPR Properties ‡		7,655		413
Equity One ‡		21,295		489
Equity Residential ‡		4,387		271
Essex Property Trust ‡		526		95
Evercore Partners, Cl A		2,900		160
Extra Space Storage ‡		1,300		68
Ezcorp, Cl A *		8,000		98
FBR *		30,475		795
Federal Agricultural Mortgage, Cl C		9,600		298
Federal Realty Investment Trust ‡		650		78
Federated Investors, Cl B (A)		11,992		339
FelCor Lodging Trust ‡		95,800		943
Fidelity & Guaranty Life		38,500		824
Financial Engines (A)		23,091		940
First Commonwealth Financial		72,800		626
First Financial Holdings		17,724		1,043
First Horizon National		41,727		478
First Industrial Realty Trust ‡		13,200		245
First Interstate Bancsystem, Cl A		33,500		860
First Merchants		1,400		28
First Midwest Bancorp		81,826		1,309
First NBC Bank Holding *		11,910		404
Flushing Financial		28,000		557
FNB (Pennsylvania)		13,400		164
Forest City Enterprises, Cl A *		19,390		369
Forestar Group *		15,155		264
Fulton Financial		24,000		287
FXCM, Cl A (A)		65,158		872
General Growth Properties ‡		6,226		148
Geo Group ‡		51,900		1,765
Glacier Bancorp		23,735		624
Glimcher Realty Trust ‡		73,553		811
Government Properties Income Trust ‡		16,600		424
Gramercy Property Trust ‡ (A)		102,300		600
Hancock Holding		22,315		754
Hanmi Financial		600		13
Hanover Insurance Group		29,361		1,763


3		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Small Cap Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Hatteras Financial ‡		65,748	$	1,334
HCI Group (A)		7,100		275
HCP ‡		6,148		257
Health Care REIT ‡		3,582		226
Hercules Technology Growth Capital (A)		22,200		338
Highwoods Properties ‡		26,172		1,062
Home BancShares (A)		25,230		770
Horace Mann Educators		91,391		2,670
Hospitality Properties Trust ‡		8,200		238
Host Hotels & Resorts ‡		10,859		240
Iberiabank		22,877		1,429
Infinity Property & Casualty		21,969		1,406
Inland Real Estate ‡		105,500		1,120
International Bancshares		29,400		709
Investment Technology Group *		37,500		717
Investors Bancorp		83,367		900
Investors Real Estate Trust ‡		6,900		61
Janus Capital Group (A)		35,400		413
Jones Lang LaSalle		10,530		1,277
Kennedy-Wilson Holdings		43,500		1,078
Kilroy Realty ‡		850		51
Kimco Realty ‡		6,700		154
Lakeland Bancorp		3,885		40
LaSalle Hotel Properties ‡		14,840		490
Lexington Realty Trust ‡ (A)		91,819		1,042
Liberty Property Trust ‡		2,500		97
LPL Financial Holdings		18,578		871
LTC Properties ‡		17,600		699
Macerich ‡		2,786		184
Mack-Cali Realty ‡		16,800		365
Maiden Holdings		94,400		1,155
MainSource Financial Group		28,000		466
Manning & Napier, Cl A		2,158		37
MarketAxess Holdings		25,495		1,360
MB Financial		10,445		280
Meadowbrook Insurance Group		119,600		814
Medallion Financial		23,200		313
Mercantile Bank		6,500		139
MFA Mortgage Investments ‡		70,864		583
Mid-America Apartment Communities ‡		7,474		541
Montpelier Re Holdings		27,700		871
Mortgage Investment Trust ‡		6,000		114
MSCI, Cl A *		15,094		652
National Health Investors ‡		3,500		220
National Penn Bancshares		75,018		771
NBT Bancorp		27,600		627
Nelnet, Cl A		46,600		1,918
Northfield Bancorp		54,146		705
OceanFirst Financial		10,300		168
Ocwen Financial *		24,200		849
OFG Bancorp (A)		21,400		386
Old National Bancorp		35,700		483
OmniAmerican Bancorp		8,200		197
Oppenheimer Holdings, Cl A		7,500		172
Opus Bank *		7,305		219
Oritani Financial		3,646		55
PacWest Bancorp		32,585		1,317
Pebblebrook Hotel Trust ‡		44,324		1,575
PennantPark Investment (A)		56,357		623
Pennsylvania Real Estate Investment Trust ‡		20,000		359


Description	Shares		Market Value ($ Thousands)

PennyMac Mortgage Investment Trust ‡		24,200	$	511
PHH *		7,000		178
PICO Holdings *		17,311		401
Piedmont Office Realty Trust, Cl A ‡		1,950		36
Pinnacle Financial Partners		3,600		124
Piper Jaffray *		8,200		361
Platinum Underwriters Holdings		42,563		2,730
Popular *		51,800		1,563
Potlatch ‡		13,000		522
Primerica		18,800		847
ProAssurance		1,849		84
Prologis ‡		8,458		351
Prospect Capital (A)		70,200		698
Prosperity Bancshares		13,685		796
Protective Life		10,500		549
Provident Financial Services		27,700		469
PS Business Parks ‡		7,100		598
Public Storage ‡		1,821		314
Radian Group (A)		36,620		528
RAIT Financial Trust ‡		6,566		51
Ramco-Gershenson Properties ‡		52,900		878
RE, Cl A		30,518		877
Regency Centers ‡		1,515		81
Reinsurance Group of America, Cl A		5,363		419
Republic Bancorp, Cl A (A)		11,400		265
Retail Opportunity Investments ‡ (A)		12,200		193
RLJ Lodging Trust ‡		17,200		477
Rouse Properties ‡		48,300		788
Sabra Health Care REIT ‡		28,566		836
Safeguard Scientifics *		23,044		440
Selective Insurance Group		19,625		467
Senior Housing Properties Trust ‡		2,600		62
Signature Bank NY *		12,635		1,463
Simon Property Group ‡		3,641		606
SL Green Realty ‡		845		93
Southside Bancshares (A)		10,254		265
Sovran Self Storage ‡		8,400		645
St. Joe * (A)		19,591		461
STAG Industrial ‡		11,600		278
Starwood Property Trust ‡		24,300		593
Stifel Financial * (A)		15,835		716
Strategic Hotels & Resorts ‡ *		35,500		387
Sunstone Hotel Investors ‡		39,000		573
Susquehanna Bancshares		17,900		177
SVB Financial Group *		8,530		900
Symetra Financial		34,200		713
Taubman Centers ‡		1,650		124
TCF Financial		41,680		662
THL Credit		20,900		278
Tompkins Financial		7,300		337
Two Harbors Investment ‡		31,300		330
UDR ‡		4,850		133
UMB Financial		700		39
Umpqua Holdings (A)		35,337		586
Union Bankshares		9,200		230
United Community Banks		62,000		951


4		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Small Cap Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Universal Health Realty Income Trust ‡		1,300	$	56
Validus Holdings		10,300		385
Ventas ‡		3,290		220
ViewPoint Financial Group		15,900		395
Virtus Investment Partners		2,065		381
Vornado Realty Trust ‡		2,500		268
Walter Investment Management * (A)		12,700		367
Washington Prime Group ‡ *		1,821		36
Webster Financial		19,500		583
Weingarten Realty Investors ‡ (A)		1,500		48
WesBanco		7,700		227
Western Alliance Bancorp *		45,630		1,044
Winthrop Realty Trust ‡		32,600		489
WisdomTree Investments * (A)		52,450		545
World Acceptance * (A)		3,200		253
WSFS Financial		14,435		980

				133,392


Health Care — 12.3%
Acadia Healthcare * (A)		69,940		2,982
ACADIA Pharmaceuticals * (A)		29,369		606
Acceleron Pharma *		10,746		319
Accuray * (A)		154,000		1,358
Acorda Therapeutics *		3,800		125
Addus HomeCare *		39,100		890
Aegerion Pharmaceuticals *		10,016		329
Affymax * (A)		15,900		11
Akorn * (A)		38,321		1,072
Alere *		17,300		619
Align Technology *		29,820		1,629
AMN Healthcare Services *		1,700		19
Amsurg, Cl A *		13,206		598
Aratana Therapeutics *		17,580		247
Arrowhead Research *		19,632		247
athenahealth * (A)		8,971		1,139
AVANIR Pharmaceuticals, Cl A * (A)		16,800		89
Bio-Reference Labs * (A)		5,100		136
Bruker *		28,716		602
Cambrex *		19,100		410
Cantel Medical		5,700		198
Capital Senior Living *		15,394		365
Cardiovascular Systems *		13,306		373
Celldex Therapeutics * (A)		1,300		19
Centene *		19,256		1,435
Charles River Laboratories International *		12,850		689
Chemed (A)		6,500		573
Chimerix *		40,201		742
CONMED		20,332		913
Cross Country Healthcare *		49,200		284
Cubist Pharmaceuticals *		10,854		723
Depomed *		49,400		590
DexCom *		55,455		1,872
Dyax *		27,850		230
Emergent Biosolutions *		29,500		640
Endologix *		56,237		735
Ensign Group		6,400		300
Exact Sciences * (A)		47,161		636
Exactech *		8,600		200


Description	Shares		Market Value ($ Thousands)

ExamWorks Group * (A)		40,724	$	1,206
Five Star Quality Care *		33,200		175
Fluidigm * (A)		40,106		1,113
Furiex Pharmaceuticals *		12,678		1,310
GenMark Diagnostics *		50,668		558
Gentiva Health Services *		17,400		237
Globus Medical, Cl A *		22,300		539
Greatbatch *		32,675		1,526
GW Pharmaceuticals * (A)		4,524		309
Halozyme Therapeutics * (A)		49,303		389
HealthSouth		75,500		2,652
HeartWare International *		11,756		1,060
Hill-Rom Holdings		9,200		365
ICON *		12,733		538
ICU Medical *		2,053		123
Ignyta *		30,441		225
Impax Laboratories *		9,800		272
Incyte *		5,110		253
Insmed *		27,601		363
Insulet *		44,701		1,637
Insys Therapeutics * (A)		3,489		90
Intercept Pharmaceuticals *		2,009		475
InterMune *		30,404		1,205
Intrexon * (A)		13,630		287
Invacare		11,100		183
Ironwood Pharmaceuticals, Cl A *		35,743		512
Isis Pharmaceuticals * (A)		34,905		1,020
Jazz Pharmaceuticals *		4,010		569
K2M Group Holdings *		40,467		605
Karyopharm Therapeutics * (A)		7,260		191
Keryx Biopharmaceuticals * (A)		88,478		1,168
KYTHERA
Biopharmaceuticals * (A)		7,721		258
Landauer		4,963		235
LDR Holding *		57,440		1,355
Magellan Health Services *		12,045		733
Mallinckrodt * (A)		9,998		778
Masimo *		29,469		726
Medical Action Industries *		17,600		121
Medivation *		7,172		522
MediWound *		11,518		137
MEDNAX *		21,320		1,229
Merit Medical Systems *		18,166		255
Momenta Pharmaceuticals *		35,600		441
National Healthcare		400		22
Natus Medical *		15,200		375
Nektar Therapeutics *		54,997		645
Neurocrine Biosciences *		29,200		406
NewLink Genetics * (A)		28,071		576
Novadaq Technologies *		97,972		1,428
NPS Pharmaceuticals *		38,348		1,194
NuVasive *		3,100		103
Oramed Pharmaceuticals * (A)		44,093		367
Orexigen Therapeutics * (A)		90,986		588
Orthofix International *		18,700		593
Owens & Minor (A)		6,033		209
Pacira Pharmaceuticals *		14,873		1,154
PAREXEL International *		18,860		951
PDL BioPharma (A)		42,900		402
PerkinElmer		14,857		668
PharMerica *		43,800		1,189
Phibro Animal Health, Cl A *		20,703		394


5		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Small Cap Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

PhotoMedex * (A)		12,200	$	153
Portola Pharmaceuticals *		16,427		364
Premier, Cl A *		18,802		557
Prestige Brands Holdings *		25,302		865
Providence Service *		11,000		442
Puma Biotechnology *		29,843		2,281
Questcor Pharmaceuticals (A)		9,800		883
Quidel * (A)		27,631		627
Relypsa *		24,159		565
Repligen *		43,300		833
Rigel Pharmaceuticals *		95,000		312
Sagent Pharmaceuticals *		17,265		387
Sciclone Pharmaceuticals *		37,200		187
Select Medical Holdings		21,500		326
Sirona Dental Systems *		8,745		658
Skilled Healthcare Group, Cl A *		21,800		144
Spectranetics *		34,430		738
STERIS (A)		5,700		305
Sunesis Pharmaceuticals * (A)		71,603		367
Surgical Care Affiliates *		36,631		1,058
Symmetry Medical *		51,300		453
Synageva BioPharma * (A)		7,517		610
Syneron Medical *		61,476		673
Tandem Diabetes Care *		38,518		626
Team Health Holdings *		21,864		1,110
Techne		6,549		575
Tekmira Pharmaceuticals *		9,830		125
Teleflex		4,213		449
TESARO *		16,282		434
Threshold Pharmaceuticals *		60,486		233
Triple-S Management, Cl B *		7,500		133
Ultragenyx Pharmaceutical *		7,705		289
Unilife * (A)		253,486		730
Veeva Systems, Cl A * (A)		27,785		582
Versartis * (A)		9,200		275
Vocera Communications *		14,861		192
WellCare Health Plans *		19,136		1,482
Zeltiq Aesthetics * (A)		11,570		202

				85,378


Industrials — 17.4%
AAON		4,200		131
AAR		12,500		304
ACCO Brands * (A)		48,700		293
Actuant, Cl A		80,519		2,861
Acuity Brands (A)		12,168		1,527
Aegean Marine Petroleum Network		35,500		360
Aegion, Cl A *		21,000		503
Air Transport Services Group *		99,029		899
Aircastle		60,600		1,017
Alamo Group		4,800		249
Alaska Air Group		3,800		374
Albany International, Cl A		13,300		495
Alliant Techsystems		3,200		404
Altra Industrial Motion		3,898		133
American Airlines Group *		10,400		417
American Railcar Industries (A)		6,900		451
American Science & Engineering		1,200		81
American Woodmark *		4,200		116
Applied Industrial Technologies		1,600		76
ArcBest		11,300		483


Description	Shares		Market Value ($ Thousands)

Astec Industries		6,944	$	277
Astronics *		3,400		187
Atlas Air Worldwide Holdings *		5,000		183
AZZ		8,915		397
Barnes Group		16,795		628
Barrett Business Services		5,700		269
Beacon Roofing Supply * (A)		29,870		1,031
Brady, Cl A		4,261		116
Brink’s		19,700		526
Carlisle		25,407		2,156
Celadon Group		11,599		271
Chart Industries *		10,925		785
CIRCOR International		16,385		1,250
Clean Harbors * (A)		13,111		801
Comfort Systems USA		13,519		223
Corporate Executive Board		25,475		1,737
CRA International *		7,539		169
Cubic		12,654		616
Curtiss-Wright		35,750		2,382
Deluxe		10,600		594
Diana Shipping * (A)		55,901		609
Ducommun *		8,800		223
DXP Enterprises *		10,416		725
Dycom Industries *		46,604		1,386
Dynamic Materials		8,656		189
EMCOR Group		81,108		3,611
Encore Wire		7,005		340
Engility Holdings *		3,600		139
Ennis		7,900		120
EnPro Industries *		5,934		436
Esterline Technologies *		9,115		1,016
Exponent		3,500		248
Fortune Brands Home & Security		27,227		1,089
FreightCar America		11,400		293
FTI Consulting *		51,997		1,678
G&K Services, Cl A		31,199		1,616
Genco Shipping & Trading * (A)		4,800		8
Generac Holdings		16,585		807
General Cable		10,500		268
Genesee & Wyoming, Cl A *		11,008		1,072
Gibraltar Industries *		26,100		414
Global Brass & Copper Holdings		10,480		169
Global Power Equipment Group (A)		39,000		645
Graco		12,802		934
GrafTech International * (A)		107,354		1,122
Granite Construction		8,742		311
Great Lakes Dredge & Dock *		108,400		826
Greenbrier *		4,200		233
H&E Equipment Services *		27,931		968
Hawaiian Holdings * (A)		47,200		729
HEICO		17,715		923
HEICO, Cl A		29,615		1,196
Heritage-Crystal Clean *		31,257		522
Hexcel *		43,393		1,781
Hub Group, Cl A *		22,806		1,073
Hyster-Yale Materials Handling		14,900		1,253
ICF International *		15,800		588
IDEX		14,615		1,121
Insperity		500		16
Interface, Cl A		47,783		872


6		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Small Cap Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

ITT		14,258	$	623
JetBlue Airways * (A)		156,800		1,515
John Bean Technologies		5,700		163
Kadant		32,055		1,215
Kaman		10,205		434
KAR Auction Services		35,643		1,088
Kelly Services, Cl A		16,900		300
Kennametal		22,164		998
KEYW Holding * (A)		27,271		289
Kforce		17,600		388
Kirby *		20,419		2,257
Korn/Ferry International *		24,349		739
Kratos Defense & Security Solutions *		13,900		118
Landstar System		7,364		478
LB Foster, Cl A		6,900		353
Lincoln Electric Holdings		14,038		922
Lindsay Manufacturing (A)		11,718		988
Marten Transport		27,554		664
Metalico *		9,500		12
Middleby *		11,889		2,839
Mobile Mini		24,911		1,085
Moog, Cl A *		10,371		747
MRC Global *		23,700		682
MSA Safety		3,300		180
MSC Industrial Direct, Cl A		8,865		815
Mueller Industries		6,400		184
Mueller Water Products, Cl A		32,200		271
MYR Group *		41,200		1,031
Navigant Consulting *		18,200		306
Nordson		7,891		643
Northwest Pipe *		12,125		436
Old Dominion Freight Line *		30,456		1,948
Orion Marine Group *		77,178		873
Paylocity Holding *		7,904		154
Performant Financial *		5,100		48
PGT *		39,100		337
Pike *		11,200		100
Polypore International * (A)		12,257		545
PowerSecure International *		15,800		128
Primoris Services		38,088		1,103
Quad, Cl A (A)		20,038		420
Rand Logistics *		45,100		269
RBC Bearings		9,942		596
Regal-Beloit		7,322		559
Ritchie Bros Auctioneers (A)		27,786		638
Rush Enterprises, Cl A * (A)		33,455		1,110
Ryder System		8,653		751
Safe Bulkers (A)		22,600		183
Saia *		22,260		970
Scorpio Bulkers *		61,800		568
Simpson Manufacturing		14,855		494
SkyWest		16,164		185
SP Plus *		33,660		798
Sparton *		9,671		285
Spirit Airlines *		25,377		1,499
Standex International		3,500		258
Steelcase, Cl A		101,629		1,666
Swift Transportation, Cl A * (A)		74,120		1,835
TAL International Group		11,989		525
Taser International *		43,200		573
Team *		9,837		412
Teledyne Technologies *		4,561		432


Description	Shares		Market Value ($ Thousands)

Tennant		3,096	$	198
Terex		7,289		280
Tetra Tech		51,517		1,371
Textainer Group Holdings		7,356		285
Titan Machinery * (A)		44,800		784
Trex * (A)		32,358		1,000
TriMas *		18,651		655
Triumph Group		10,889		755
TrueBlue *		104,248		2,837
Tutor Perini *		43,289		1,326
UniFirst		1,000		99
United Rentals * (A)		12,705		1,284
United Stationers (A)		6,900		275
US Ecology		17,604		870
USG * (A)		38,509		1,154
Valmont Industries		5,451		845
Wabtec		13,928		1,097
WageWorks *		12,510		506
Watsco		13,012		1,309
Watts Water Technologies, Cl A (A)		10,731		598
WESCO International * (A)		12,517		1,069
Woodward		10,328		462
XPO Logistics * (A)		23,908		601
YRC Worldwide * (A)		13,200		296

				120,322


Information Technology — 19.4%
A10 Networks *		60,333		690
Acxiom *		34,760		790
ADTRAN		50,031		1,123
Advanced Energy Industries *		11,600		227
Advent Software		22,906		693
Amkor Technology *		71,800		726
Anixter International		7,300		752
ARRIS Group *		75,809		2,510
Arrow Electronics *		13,273		766
Aruba Networks * (A)		39,108		724
Aspen Technology *		64,998		2,794
Atmel *		201,377		1,688
AVG Technologies *		26,800		519
Bel Fuse, Cl B		900		25
Belden		24,394		1,756
Benchmark Electronics *		37,880		878
Black Box		7,400		180
Blackbaud		37,507		1,285
Blucora * (A)		7,086		134
Brightcove *		25,500		242
Broadridge Financial Solutions		29,926		1,228
BroadSoft *		24,407		527
Cabot Microelectronics *		7,400		318
CACI International, Cl A *		2,900		207
Cadence Design Systems * (A)		151,576		2,530
CalAmp *		6,300		120
Calix *		47,600		389
Cavium * (A)		74,281		3,638
ChannelAdvisor *		27,481		570
ChipMOS TECHNOLOGIES Bermuda		9,300		227
CIBER *		161,600		751
Ciena * (A)		33,383		648
Coherent *		6,724		403
CommVault Systems *		15,042		736


7		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Small Cap Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Computer Task Group		46,900	$	728
comScore *		22,000		687
Comtech Telecommunications		7,247		237
Comverse *		5,100		126
Constant Contact *		10,700		316
Convergys		32,062		700
Cornerstone OnDemand *		56,816		2,284
CoStar Group *		20,783		3,295
CSG Systems International		13,800		363
CTS		28,742		503
Dealertrack Technologies *		68,025		2,701
Demandware *		40,509		2,467
Diebold		11,776		442
Digi International *		90,900		808
Digital River *		14,500		228
Diodes *		17,200		476
Dot Hill Systems *		116,000		498
DTS *		1,248		23
EarthLink Holdings		81,625		297
Electronics For Imaging *		3,800		155
Emulex *		21,600		116
EnerNOC *		14,900		286
Entegris *		27,300		313
Envestnet *		82,559		3,347
ePlus *		2,000		113
Euronet Worldwide *		36,521		1,722
EVERTEC		18,521		443
Exar *		65,700		715
ExlService Holdings *		16,178		458
Extreme Networks *		182,300		726
Fabrinet *		17,600		335
Fairchild Semiconductor International, Cl A *		32,282		474
FARO Technologies *		4,200		179
FEI		21,684		1,810
Finisar * (A)		4,300		102
FleetMatics Group * (A)		12,292		350
FormFactor *		48,900		355
Forrester Research		700		26
Fortinet *		43,400		975
Gigamon * (A)		38,386		653
Global Cash Access Holdings *		53,700		478
GrubHub * (A)		2,431		83
Guidewire Software * (A)		71,481		2,700
Harmonic *		62,300		451
Heartland Payment Systems		10,005		415
Hittite Microwave		10,152		597
Hutchinson Technology *		91,600		191
iGATE *		4,200		146
Imation *		3,900		13
Immersion *		52,700		570
Imperva *		12,354		258
Infinera * (A)		55,741		507
Infoblox *		64,881		841
Inphi *		88,883		1,339
Insight Enterprises *		40,100		1,090
Integrated Silicon Solution *		21,800		306
Interactive Intelligence Group *		29,213		1,481
Intersil, Cl A		76,155		1,071
Intralinks Holdings *		32,095		280
InvenSense, Cl A * (A)		43,010		830
IPG Photonics * (A)		3,419		216
Ixia *		36,332		422


Description	Shares		Market Value ($ Thousands)

j2 Global (A)		10,593	$	502
Lattice Semiconductor *		67,100		531
Lexmark International, Cl A (A)		4,772		208
Manhattan Associates *		32,400		1,052
Marketo *		17,868		414
MAXIMUS		40,992		1,832
Measurement Specialties *		17,581		1,117
Mentor Graphics		27,900		591
Methode Electronics		24,200		754
MicroStrategy, Cl A *		5,976		843
MKS Instruments (A)		30,551		881
Monolithic Power Systems *		15,872		624
Monotype Imaging Holdings		10,500		270
Monster Worldwide *		9,400		53
MTS Systems		1,500		99
Multi-Fineline Electronix *		8,650		89
Nanometrics *		23,267		399
National Instruments		14,769		423
NETGEAR *		13,200		434
NetScout Systems *		5,700		222
NICE Systems ADR		17,221		676
Nimble Storage * (A)		29,177		740
OmniVision Technologies *		21,900		492
OpenTable * (A)		11,796		799
OSI Systems *		4,045		230
Palo Alto Networks *		9,896		741
Pandora Media *		21,460		526
Park Electrochemical		16,667		448
Photronics *		28,300		249
Plantronics		12,800		580
Power Integrations		5,629		283
PRGX Global *		100,400		641
Progress Software *		22,719		493
PTC *		77,076		2,836
Pulse Electronics *		2,300		7
Qlik Technologies *		26,869		583
QLogic *		102,957		1,023
Rally Software Development *		26,091		341
RealPage * (A)		54,971		1,166
RF Micro Devices *		243,412		2,291
Ruckus Wireless *		141,486		1,528
Rudolph Technologies *		28,445		270
Saba Software *		57,600		559
Sanmina *		37,900		771
Sapient *		31,700		521
ScanSource *		2,400		89
Semtech *		13,523		351
Shutterstock * (A)		9,630		626
Silicon Image *		63,900		334
Silicon Laboratories *		18,780		847
SolarWinds *		17,220		673
Solera Holdings		15,931		1,040
Sonus Networks *		62,100		228
Spansion, Cl A *		59,440		1,132
SPS Commerce *		27,182		1,546
SS&C Technologies Holdings *		59,049		2,518
Stamps.com *		19,700		637
Stratasys * (A)		4,536		422
Sykes Enterprises *		20,786		419
Synaptics * (A)		13,650		929
SYNNEX *		4,400		291
Tableau Software, Cl A *		19,017		1,104
Take-Two Interactive Software *		27,600		569


8		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Small Cap Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Tech Data *		22,106	$	1,315
TeleCommunication Systems, Cl A *		42,100		133
TeleTech Holdings *		25,800		681
Teradyne (A)		49,640		884
Tessco Technologies		4,700		143
Textura *		78		2
Trulia * (A)		27,356		1,057
Tyler Technologies *		3,913		306
Ubiquiti Networks * (A)		17,900		626
Ultimate Software Group *		7,826		995
Ultratech *		52,243		1,326
Unisys *		12,500		293
United Online		12,557		137
Verint Systems *		7,700		357
Virtusa *		4,200		144
Vistaprint * (A)		18,200		728
Vocus *		11,200		201
WEX *		20,710		1,994
Yelp, Cl A * (A)		17,289		1,144
Zebra Technologies, Cl A *		14,414		1,071
Zillow, Cl A * (A)		9,193		1,085

				134,420



Materials — 3.5%
A. Schulman		18,100		637
Advanced Emissions Solutions *		5,000		117
AK Steel Holding *		10,500		64
Alamos Gold		28,908		239
Allegheny Technologies (A)		11,977		492
AM Castle * (A)		6,000		72
American Vanguard (A)		16,874		257
Ampco-Pittsburgh		9,900		214
AuRico Gold		42,787		148
Berry Plastics Group *		19,422		459
Cabot		12,700		718
Century Aluminum *		10,900		149
Commercial Metals		23,600		419
Cytec Industries		5,644		561
Ferro *		47,000		602
Glatfelter		15,000		395
Globe Specialty Metals		10,344		207
Graphic Packaging Holding *		15,700		173
Greif, Cl A		8,868		484
H.B. Fuller		49,726		2,378
Haynes International		900		48
Innophos Holdings		8,858		465
Innospec		7,800		329
Intrepid Potash * (A)		6,416		104
Kaiser Aluminum		3,100		212
Kraton Performance Polymers *		5,100		127
Landec *		47,600		572
Louisiana-Pacific *		46,680		663
LSB Industries *		12,060		460
Materion		7,800		266
Minerals Technologies		16,975		1,052
Neenah Paper		11,500		561
Novagold Resources * (A)		161,800		487
Olin (A)		27,400		747
OM Group		700		21
PolyOne		56,904		2,283
Quaker Chemical		1,400		104


Description	Shares		Market Value ($ Thousands)

Rentech *		155,300	$	362
RTI International Metals * (A)		22,915		614
Schnitzer Steel Industries, Cl A (A)		20,791		518
Schweitzer-Mauduit International		4,500		187
Sensient Technologies		46,161		2,530
Silgan Holdings		17,548		857
Tredegar		2,300		49
US Silica Holdings		24,908		1,260
Worthington Industries		18,900		762

				24,425


Telecommunication Services — 0.5%
Atlantic Telegraph-Network		7,439		415
Boingo Wireless *		44,845		306
Cogent Communications
Holdings		8,094		297
IDT, Cl B		8,300		138
Inteliquent		19,800		296
Iridium Communications * (A)		58,200		461
magicJack VocalTec * (A)		2,600		38
RingCentral, Cl A *		84,476		1,028
USA Mobility		16,000		247
Vonage Holdings *		15,600		59

				3,285


Utilities — 1.7%
ALLETE		11,090		551
American States Water		3,400		103
Avista		24,200		758
Cadiz * (A)		56,200		457
California Water Service Group		9,400		207
Cleco		22,133		1,152
El Paso Electric		6,600		251
Empire District Electric (A)		11,200		269
Great Plains Energy		53,580		1,364
IDACORP		7,634		418
Laclede Group		1,200		56
MGE Energy		1,950		73
NorthWestern		10,229		491
Otter Tail		2,200		63
Piedmont Natural Gas (A)		14,300		512
PNM Resources		24,125		686
Portland General Electric (A)		72,415		2,395
Southwest Gas		16,501		864
UIL Holdings		15,500		573
UNS Energy		6,400		388

				11,631

Total Common Stock (Cost $572,236) ($ Thousands)				660,529


EXCHANGE TRADED FUNDS — 0.5%
iShares Russell 2000 ETF(A) (A)		11,443		1,292
iShares Russell 2000 Growth ETF(A) (A)		10,201		1,330
iShares Russell 2000 Value ETF(A) (A)		9,600		949

Total Exchange Traded Funds (Cost $3,209) ($ Thousands)				3,571


9		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Small Cap Fund

May 31, 2014


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


CONVERTIBLE BOND — 0.0%
Eddie Bauer Holdings
5.250%, 04/01/2014 (B)	$	2,856	$	4

Total Convertible Bond (Cost $445) ($ Thousands)				4


	Number of Warrant

WARRANT — 0.0%
Magnum Hunter Resource, Expires 08/29/14 *		5,126		—

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


	Number of Right

RIGHT — 0.0%
Basic Energy Services, Expires
		81,300		—

Total Right (Cost $—) ($ Thousands)				—


AFFILIATED PARTNERSHIP — 14.3%
SEI Liquidity Fund, L.P.
0.070% **† (C)		98,954,364		98,954

Total Affiliated Partnership (Cost $98,954) ($ Thousands)				98,954


CASH EQUIVALENT — 2.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010% **†		16,638,065		16,638

Total Cash Equivalent (Cost $16,638) ($ Thousands)				16,638


U.S. TREASURY OBLIGATION — 0.2%
U.S. Treasury Bills
0.034%, 07/24/2014 (D) (E)		1,641		1,641

Total U.S. Treasury Obligation (Cost $1,641) ($ Thousands)				1,641

Total Investments — 112.8% (Cost $693,123) ($ Thousands)			$	781,337

The open futures contracts held by the Fund at May 31, 2014, are as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Depreciation ($ Thousands)
Russell 2000 Index E-MINI		134		Jun-2014	$	(248	)

Percentages are based on a Net Assets of $692,554 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2014.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

(A)

This security or a partial position of this security is on loan at May 31, 2014. The total value of securities on loan at May 31, 2014 was $95,315 ($ 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 May 31, 2014 was $98,954 ($ 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

AID — Agency for International Development

Cl — Class

ETF — Exchange Traded Fund

L.P. — Limited Partnership

PIPE — Private Investment in Public Entity

REIT — Real Estate Investment Trust

The following is a list of the level of inputs used as of May 31, 2014, 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	$	660,529	$	—	$	—	$	660,529
Exchange Traded Funds		3,571		—		—		3,571
Convertible Bond		—		—		4		4
Warrant		—		—		—		—
Right		—		—		—		—
Affiliated Partnership		—		98,954		—		98,954
Cash Equivalent		16,638		—		—		16,638
U.S. Treasury Obligation		—		1,641		—		1,641

Total Investments in Securities	$	680,738	$	100,595	$	4	$	781,337


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts *
Unrealized Depreciation	$	(248	)	$	—	$	—	$	(248	)

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

(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 year in relation to net assets. Management has concluded that Level 3 investments are not material in relation to net assets.

For the year ended May 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2014, 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.


10		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Small Cap II Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 94.9%

Consumer Discretionary — 12.0%
Abercrombie & Fitch, Cl A		3,244	$	123
American Eagle Outfitters		30,030		322
Arctic Cat		7,436		277
Big 5 Sporting Goods		15,035		175
Biglari Holdings *		260		110
Bravo Brio Restaurant Group *		12,500		197
Bright Horizons Family Solutions *		10,379		405
Brown Shoe		11,600		327
Brunswick		16,183		697
Buffalo Wild Wings *		6,030		871
Cabela’s *		8,050		493
Callaway Golf (A)		46,902		376
Capella Education		12,175		697
Career Education *		32,100		150
Carmike Cinemas *		5,800		200
Cato, Cl A		5,400		156
Container Store Group * (A)		7,866		225
Core-Mark Holdings		8,400		694
Cracker Barrel Old Country Store		1,800		181
Denny’s *		8,327		54
Dex Media * (A)		3,564		35
Dick’s Sporting Goods		7,815		347
Dorman Products * (A)		11,990		637
Drew Industries		13,544		657
Entravision Communications, Cl A		34,277		184
Ethan Allen Interiors (A)		6,363		149
Express *		25,303		319
Federal Mogul, Cl A *		4,100		68
Fiesta Restaurant Group *		21,177		853
Five Below * (A)		22,499		814
Fred’s, Cl A		7,900		121
Fuel Systems Solutions *		4,300		42
Gentherm *		15,480		637
G-III Apparel Group *		7,830		574
Grand Canyon Education *		3,400		150
Haverty Furniture		20,569		515
Helen of Troy *		2,500		145
HomeAway *		10,772		332
Jack in the Box		19,377		1,119
La-Z-Boy, Cl Z		4,400		107
Lithia Motors, Cl A		12,026		943
LKQ *		16,273		451
Loral Space & Communications *		4,900		354
Lumber Liquidators Holdings *		4,070		316
Matthews International, Cl A (A)		10,422		427
MDC Partners, Cl A		16,150		339
Meredith (A)		11,780		530
Modine Manufacturing *		15,600		238
Movado Group		13,560		519
Multimedia Games Holding *		300		9
NACCO Industries, Cl A		1,900		103
National CineMedia		29,267		459
Orbitz Worldwide *		45,066		335
Overstock.com *		16,500		252
Oxford Industries		2,624		168
PetMed Express (A)		8,100		108


Description	Shares		Market Value ($ Thousands)

Pier 1 Imports		33,876	$	597
Pool		19,530		1,127
Popeyes Louisiana Kitchen *		13,410		576
Red Robin Gourmet Burgers *		6,642		479
Ruth’s Hospitality Group		33,191		407
Ryland Group		8,142		307
Scientific Games, Cl A *		15,970		143
Select Comfort *		15,296		284
Shutterfly *		23,681		974
Six Flags Entertainment		16,004		648
Skechers U.S.A., Cl A *		22,506		1,001
Skullcandy *		5,500		41
Sonic *		5,400		112
Standard Motor Products		6,800		282
Steiner Leisure *		3,500		141
Stoneridge *		26,599		256
TAL Education Group ADR *		26,737		615
Tenneco *		4,400		280
Tile Shop Holdings * (A)		17,489		261
Vail Resorts		8,040		560
Vera Bradley * (A)		7,713		208
Vitamin Shoppe *		9,571		411
Wet Seal, Cl A * (A)		25,800		22
Zagg *		8,892		40
Zoe’s Kitchen *		5,361		157
zulily, Cl A * (A)		8,540		297

				30,312


Consumer Staples — 2.8%
Andersons		10,350		527
Casey’s General Stores		13,214		941
Chefs’ Warehouse *		14,849		275
Chiquita Brands International *		19,400		199
Darling International *		27,718		554
Fresh Del Monte Produce		20,100		582
J&J Snack Foods		600		56
Lancaster Colony		1,300		116
Medifast *		2,900		91
Pantry *		17,204		291
Pilgrim’s Pride *		33,300		847
Rite Aid *		74,500		623
Sanderson Farms		1,300		120
Snyder’s-Lance		24,324		661
Sprouts Farmers Market *		17,265		468
Susser Holdings * (A)		3,676		292
TreeHouse Foods *		5,125		384
United Natural Foods *		2,400		162

				7,189


Energy — 5.4%
Alpha Natural Resources * (A)		42,100		142
Basic Energy Services *		12,900		351
Bonanza Creek Energy *		2,400		129
Bristow Group		13,900		1,056
Carrizo Oil & Gas *		13,039		749
Cloud Peak Energy *		1,700		31
Delek US Holdings		2,600		81
Diamondback Energy *		600		45
Dril-Quip *		2,930		300
Emerald Oil * (A)		9,062		59
EPL Oil & Gas *		1,300		49
Forest Oil *		5,600		14
Forum Energy Technologies *		16,680		551


1		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Small Cap II Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

GasLog		13,900	$	325
Goodrich Petroleum * (A)		7,327		213
Helix Energy Solutions Group *		28,881		675
ION Geophysical *		14,800		62
Key Energy Services *		22,244		179
Kodiak Oil & Gas *		43,500		554
Laredo Petroleum Holdings *		10,638		294
Matador Resources * (A)		19,100		475
Matrix Service *		10,069		329
McDermott International * (A)		32,035		233
Newpark Resources *		28,100		316
Northern Oil And Gas * (A)		19,414		296
Oasis Petroleum *		13,184		653
PDC Energy *		12,248		786
Penn Virginia *		19,400		295
Pioneer Energy Services *		55,291		879
Renewable Energy Group *		21,000		208
Rosetta Resources *		25,386		1,196
Scorpio Tankers		4,400		40
Stone Energy *		12,400		550
Superior Energy Services		10,340		343
Targa Resources		2,500		287
Tesco		16,500		351
Triangle Petroleum *		2,030		20
VAALCO Energy *		37,200		242
Willbros Group *		27,300		332

				13,690


Financials — 17.7%
Agree Realty ‡		8,200		253
Altisource Residential, Cl B ‡		17,230		481
Ambac Financial Group *		2,000		56
AMERISAFE		3,100		119
Argo Group International Holdings		13,110		635
Arlington Asset Investment, Cl A		1,100		30
Associated Estates Realty ‡		33,550		580
Banco Latinoamericano de Comercio Exterior, Cl E		10,500		281
Bank of the Ozarks (A)		9,360		553
BankUnited		18,319		596
Banner		11,172		426
BBCN Bancorp		27,460		419
BGC Partners, Cl A		46,200		323
Blackstone Mortgage Trust, Cl A ‡		11,606		345
Boston Private Financial Holdings		17,915		226
Brandywine Realty Trust ‡		43,940		672
Capital Bank Financial, Cl A *		20,167		489
Capitol Federal Financial		53,040		642
Cardinal Financial		13,465		234
CBL & Associates Properties ‡		10,542		198
Cedar Realty Trust ‡		25,700		158
Chatham Lodging Trust ‡		9,100		205
Chesapeake Lodging Trust ‡		1,600		47
City National		4,250		302
CNO Financial Group		8,000		129
Columbia Banking System		20,600		510
Cousins Properties ‡		20,800		250
Credit Acceptance *		2,959		386
CubeSmart ‡		5,200		95


Description	Shares		Market Value ($ Thousands)

DiamondRock Hospitality ‡		67,140	$	834
DuPont Fabros Technology ‡ (A)		23,990		613
Eagle Bancorp *		13,110		419
EastGroup Properties ‡		7,500		477
Education Realty Trust ‡		31,440		329
Employers Holdings		20,659		434
Endurance Specialty Holdings		9,342		483
Equity One ‡		16,410		377
EverBank Financial		24,190		461
Evercore Partners, Cl A		10,630		585
Federated Investors, Cl B (A)		9,244		261
First Commonwealth Financial		18,800		162
First Financial Holdings		10,033		591
First Horizon National		32,156		369
First Interstate Bancsystem, Cl A		15,452		397
First Midwest Bancorp		51,951		831
First NBC Bank Holding *		9,181		311
Fulton Financial		52,500		627
Geo Group ‡		6,900		235
Hancock Holding		17,197		581
Hanmi Financial		4,510		96
Hanover Insurance Group		20,758		1,247
HCI Group (A)		5,000		194
HFF, Cl A		3,300		107
Home BancShares		3,300		101
HomeStreet		1,000		18
Horace Mann Educators		39,063		1,141
Iberiabank		20,567		1,285
Infinity Property & Casualty		10,843		694
Inland Real Estate ‡		65,200		692
Investment Technology Group *		14,600		279
Investors Bancorp		40,164		434
Jones Lang LaSalle		2,504		304
LaSalle Hotel Properties ‡		5,800		191
Lexington Realty Trust ‡		94,389		1,071
LTC Properties ‡		5,600		223
MarketAxess Holdings		13,186		704
MB Financial		8,052		216
Medical Properties Trust ‡		46,820		633
MFA Mortgage Investments ‡		54,609		449
MGIC Investment *		27,000		229
Mid-America Apartment Communities ‡		5,761		417
Montpelier Re Holdings		300		9
National Health Investors ‡		1,300		82
National Penn Bancshares		43,554		448
NBT Bancorp		14,700		334
Nelnet, Cl A		9,400		387
Opus Bank *		4,323		130
PacWest Bancorp		13,670		553
Pebblebrook Hotel Trust ‡		14,451		514
PICO Holdings *		1,900		44
Pinnacle Financial Partners		6,500		224
Piper Jaffray *		3,000		132
Platinum Underwriters Holdings		21,608		1,386
Potlatch ‡		3,300		133
Primerica		2,800		126
ProAssurance		1,425		65
Prospect Capital (A)		45,200		449
Prosperity Bancshares		2,600		151
Provident Financial Services		5,900		100


2		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Small Cap II Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

PS Business Parks ‡		3,200	$	269
Ramco-Gershenson Properties ‡		16,500		274
Reinsurance Group of America, Cl A		4,133		323
Retail Opportunity Investments ‡ (A)		5,500		87
RLJ Lodging Trust ‡		9,300		258
Sabra Health Care ‡		16,500		483
Select Income ‡		5,900		170
Signature Bank NY *		3,869		448
Sovran Self Storage ‡		5,600		430
STAG Industrial ‡		14,400		345
StanCorp Financial Group		7,190		432
Stifel Financial *		18,690		845
Strategic Hotels & Resorts * ‡		26,900		293
Summit Hotel Properties ‡		3,600		36
Sunstone Hotel Investors ‡		6,000		88
SVB Financial Group *		5,032		531
Symetra Financial		11,100		231
TCF Financial		72,210		1,147
Texas Capital Bancshares *		8,178		419
THL Credit		600		8
Two Harbors Investment ‡		12,200		128
Umpqua Holdings		18,369		304
United Community Banks		20,800		319
Virtus Investment Partners		1,169		216
Webster Financial		27,210		814
Western Alliance Bancorp *		8,300		190
Wintrust Financial		14,660		639

				44,736


Health Care — 13.8%
Acadia Healthcare * (A)		26,399		1,126
Acorda Therapeutics *		6,600		217
Addus HomeCare *		25,567		582
Akorn * (A)		41,542		1,162
Align Technology *		18,980		1,037
Alnylam Pharmaceuticals *		900		53
AMN Healthcare Services *		2,000		22
Amsurg, Cl A *		23,952		1,085
Analogic		760		52
Aratana Therapeutics *		10,383		146
athenahealth * (A)		1,398		177
Cambrex *		13,100		282
Cantel Medical		5,450		189
Cardiovascular Systems *		7,857		220
Centene *		11,221		836
Charles River Laboratories International *		20,125		1,078
CONMED		8,900		400
Cubist Pharmaceuticals *		6,404		427
Depomed *		44,700		533
DexCom *		33,979		1,147
Emergent Biosolutions *		16,000		347
Ensign Group		2,100		98
ExamWorks Group * (A)		16,864		500
Five Star Quality Care *		33,216		175
Fluidigm *		5,037		140
Furiex Pharmaceuticals *		5,268		545
Gentiva Health Services *		6,900		94
Globus Medical, Cl A *		38,190		923
Greatbatch *		6,500		304


Description	Shares		Market Value ($ Thousands)

GW Pharmaceuticals * (A)		2,674	$	182
Health Net *		13,220		529
HealthSouth		39,614		1,391
HeartWare International *		5,070		457
ICON *		7,525		318
ICU Medical *		4,100		246
Impax Laboratories *		12,000		333
Insulet *		11,000		403
Insys Therapeutics * (A)		2,280		59
Intercept Pharmaceuticals *		372		88
InterMune *		10,300		408
Invacare		6,600		109
Isis Pharmaceuticals *		24,879		727
Jazz Pharmaceuticals *		2,370		336
K2M Group Holdings *		12,560		188
Karyopharm Therapeutics * (A)		4,289		113
Keryx Biopharmaceuticals * (A)		34,160		451
Kindred Healthcare		2,400		60
KYTHERA Biopharmaceuticals * (A)		4,558		153
LDR Holding *		23,230		548
MEDNAX *		6,510		375
Momenta Pharmaceuticals *		25,700		318
MWI Veterinary Supply *		2,300		321
Nektar Therapeutics *		12,600		148
Neurocrine Biosciences *		5,200		72
NewLink Genetics * (A)		15,890		326
NPS Pharmaceuticals *		24,090		750
NuVasive *		900		30
Oramed Pharmaceuticals * (A)		24,959		208
Orexigen Therapeutics * (A)		51,504		333
Orthofix International *		5,600		177
Pacira Pharmaceuticals *		6,460		501
PAREXEL International *		13,380		675
PerkinElmer		11,449		515
PharMerica *		13,200		358
Premier, Cl A *		11,103		329
Prestige Brands Holdings *		23,546		805
Providence Service *		10,408		418
Puma Biotechnology *		14,946		1,142
Questcor Pharmaceuticals (A)		500		45
Relypsa *		7,233		169
Repligen *		19,607		377
Rigel Pharmaceuticals *		65,500		216
Sirona Dental Systems *		5,170		389
Spectranetics *		19,489		418
STERIS		11,890		636
Sunesis Pharmaceuticals * (A)		40,531		208
Supernus Pharmaceuticals *		14,400		128
Surgical Care Affiliates *		11,757		340
SurModics *		3,200		69
Symmetry Medical *		2,300		20
Synageva BioPharma * (A)		2,632		214
Tandem Diabetes Care * (A)		10,165		165
Team Health Holdings *		24,957		1,267
Tekmira Pharmaceuticals *		5,840		74
Teleflex		3,247		346
TESARO *		7,098		189
Triple-S Management, Cl B *		8,600		152
Ultragenyx Pharmaceutical *		2,558		96
Unilife * (A)		9,331		27


3		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Small Cap II Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

WellCare Health Plans *		5,200	$	403

				34,745


Industrials — 17.1%
AAON		3,700		115
AAR		660		16
Actuant, Cl A (A)		41,261		1,466
Aerovironment *		5,200		167
Aircastle		9,700		163
Albany International, Cl A		3,600		134
Altra Holdings		3,005		103
American Airlines Group *		13,500		542
American Science & Engineering		2,500		168
American Woodmark *		2,200		61
Apogee Enterprises		14,620		440
ArcBest		7,800		334
Astronics *		12,360		678
Astronics, Cl B *		80		4
Barnes Group		13,900		520
Barrett Business Services		3,640		172
Beacon Roofing Supply * (A)		16,908		583
Carlisle		8,180		694
Chart Industries *		12,442		894
CIRCOR International		4,400		335
Clean Harbors * (A)		10,107		618
Corporate Executive Board		10,033		684
Curtiss-Wright		25,893		1,725
Deluxe		4,200		236
Diana Shipping * (A)		31,649		345
DXP Enterprises *		800		56
Dycom Industries *		21,262		633
EMCOR Group		19,302		859
EnerNOC *		700		13
EnerSys		9,300		642
Engility Holdings *		8,200		317
EnPro Industries *		4,573		336
Esterline Technologies *		1,200		134
Exponent		2,800		198
G&K Services, Cl A		14,025		727
General Cable		8,092		206
Genesee & Wyoming, Cl A *		6,496		632
Gibraltar Industries *		12,736		202
H&E Equipment Services *		28,631		992
Hexcel *		15,120		621
Huron Consulting Group *		700		47
Hyster-Yale Materials Handling		8,300		698
ICF International *		2,000		74
IDEX		8,630		662
Insperity		2,400		77
Interface, Cl A		17,358		317
ITT		10,987		480
John Bean Technologies		17,650		505
Kadant		5,784		219
Kaman		9,560		407
KAR Auction Services		17,604		538
KEYW Holding * (A)		16,095		171
Kforce		11,700		258
Kirby *		6,831		755
Korn/Ferry International *		36,242		1,101
Kratos Defense & Security Solutions *		11,400		97
Lincoln Electric Holdings		8,290		545


Description	Shares		Market Value ($ Thousands)

Lindsay Manufacturing (A)		6,658	$	561
MasTec * (A)		15,720		566
Middleby *		3,135		749
Mobile Mini		14,101		614
Moog, Cl A *		4,500		324
MYR Group *		14,400		360
Navigant Consulting *		10,300		173
Orbital Sciences *		21,360		559
Orion Marine Group *		19,233		217
Performant Financial *		10,500		100
PGT *		22,331		192
Pike *		6,411		57
PowerSecure International *		8,777		71
Primoris Services		21,560		625
RBC Bearings		5,866		352
Regal-Beloit		5,642		431
Rexnord *		20,960		536
RPX *		600		10
Saia *		15,300		667
Spirit Airlines *		4,400		260
Standex International		2,600		192
Steelcase, Cl A		32,855		538
Swift Transporation, Cl A * (A)		49,965		1,237
Taser International *		10,600		141
Team *		7,581		318
Teledyne Technologies *		3,514		333
Terex		5,617		216
Tetra Tech		23,991		638
TriMas *		29,187		1,025
Triumph Group		8,391		581
TrueBlue *		50,449		1,373
Tutor Perini *		7,600		233
UniFirst		500		49
United Rentals * (A)		7,500		758
US Ecology		9,965		492
USG * (A)		21,799		653
Valmont Industries (A)		3,222		499
WageWorks *		7,390		299
Watsco		6,620		666
Watts Water Technologies, Cl A		8,272		461
YRC Worldwide *		9,600		215

				43,057


Information Technology — 19.5%
A10 Networks *		13,788		158
ACI Worldwide *		8,610		468
Acxiom *		7,600		173
Amkor Technology *		4,400		44
Anixter International		3,200		330
ARRIS Group *		46,574		1,542
Aspen Technology *		36,991		1,590
AVG Technologies *		19,392		375
Belden		11,157		803
Benchmark Electronics *		11,900		276
Brightcove *		10,000		95
BroadSoft * (A)		18,807		406
Cabot Microelectronics *		7,400		318
CACI International, Cl A *		7,140		510
Cadence Design Systems * (A)		27,164		453
Calix *		34,200		279
Cavium * (A)		31,693		1,552
Cognex *		14,820		534


4		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Small Cap II Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Coherent *		5,183	$	311
comScore *		12,900		403
Comtech Telecommunications		2,040		67
Comverse *		5,000		124
Constant Contact *		3,100		92
Convergys		19,545		426
Cornerstone OnDemand *		19,544		785
CoStar Group *		6,788		1,076
CSG Systems International		3,300		87
Dealertrack Technologies *		29,772		1,182
Demandware *		19,147		1,166
Diebold		9,075		341
Digital River *		900		14
Electronics For Imaging *		13,480		549
Emulex *		8,100		43
Entegris *		47,310		543
Entropic Communications *		14,500		48
Envestnet *		26,375		1,069
EPAM Systems *		11,750		494
Euronet Worldwide *		12,246		577
ExlService Holdings *		11,226		318
Extreme Networks *		16,900		67
Fabrinet *		12,000		228
Fairchild Semiconductor International, Cl A *		24,877		365
FARO Technologies *		3,200		136
FEI		8,443		705
FormFactor *		34,600		251
Fortinet *		9,310		209
Global Cash Access Holdings *		37,100		330
Guidewire Software *		27,124		1,024
Harmonic *		25,400		184
Heartland Payment Systems		7,710		320
Hutchinson Technology *		53,050		111
iGATE *		2,200		77
Immersion *		30,705		332
Infoblox *		36,726		476
Insight Enterprises *		18,000		489
Interactive Intelligence Group *		17,420		883
International Rectifier *		22,290		598
Intersil, Cl A		28,472		401
InvenSense, Cl A * (A)		46,156		891
Ixia *		27,998		325
Lattice Semiconductor *		33,100		262
Littelfuse		5,860		514
Manhattan Associates *		14,600		474
MAXIMUS		17,309		773
Mentor Graphics		32,070		680
Methode Electronics		20,000		623
MKS Instruments		13,876		400
Monotype Imaging Holdings		13,200		340
Monster Worldwide *		7,700		44
Netscout Systems *		2,500		97
NIC		10,800		179
Nimble Storage *		9,764		248
OmniVision Technologies *		18,300		411
Pandora Media *		12,680		311
Pegasystems		3,600		76
Power Integrations		3,325		167
PTC *		37,829		1,392
Qlik Technologies *		15,209		330
RF Micro Devices *		157,515		1,482
Rosetta Stone *		1,000		10


Description	Shares		Market Value ($ Thousands)

Ruckus Wireless *		56,808	$	614
Sanmina *		2,600		53
Sapient *		20,200		332
ScanSource *		4,200		156
Semtech *		10,421		270
Shutterstock * (A)		5,681		369
Silicon Image *		34,000		178
Silicon Laboratories *		11,100		501
SolarWinds *		10,170		398
Sonus Networks *		82,800		304
Spansion, Cl A *		28,960		552
SPS Commerce *		15,387		875
SS&C Technologies Holdings *		5,469		233
Stamps.com *		12,545		405
Sykes Enterprises *		6,600		133
Synaptics * (A)		6,470		440
Tableau Software, Cl A *		6,524		379
Take-Two Interactive Software *		16,600		342
TeleTech Holdings *		2,600		69
Teradyne (A)		29,310		522
Ubiquiti Networks * (A)		8,300		290
Ultimate Software Group *		4,622		588
Unisys *		2,000		47
United Online		6,942		76
Verint Systems *		17,090		792
Virtusa *		4,500		154
Vocus *		5,200		93
Web.com Group *		12,650		436
WEX *		8,447		813
Yelp, Cl A *		10,732		710
Zebra Technologies, Cl A *		10,242		761
Zillow, Cl A * (A)		3,900		460

				49,181


Materials — 4.1%
A. Schulman		12,800		451
Advanced Emissions Solutions *		10,000		234
AK Steel Holding *		17,200		105
Allegheny Technologies		9,230		379
Balchem		7,590		419
Berry Plastics Group *		15,178		358
Calgon Carbon *		7,500		161
Century Aluminum *		2,884		39
Commercial Metals		37,730		670
Cytec Industries		4,349		432
Ferro *		23,700		303
Globe Specialty Metals		12,900		258
Gold Resource (A)		7,900		35
Greif, Cl A		6,834		373
H.B. Fuller		13,798		660
Innophos Holdings		6,826		358
Innospec		1,400		59
KapStone Paper and Packaging *		14,100		410
Koppers Holdings		3,400		124
Kraton Performance Polymers *		2,600		65
Louisiana-Pacific *		26,424		375
Materion		4,100		140
PolyOne		22,440		901
Quaker Chemical		2,000		148
RTI International Metals * (A)		7,506		201
Sensient Technologies		21,043		1,153


5		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Small Cap II Fund

May 31, 2014


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

Silgan Holdings		6,907	$	337
US Silica Holdings		14,100		713
Worthington Industries		14,700		592

				10,453


Telecommunication Services — 0.3%
Cogent Communications Holdings		6,237		229
IDT, Cl B		8,300		137
RingCentral, Cl A *		23,587		287

				653


Utilities — 2.2%
ALLETE		13,260		659
American States Water		6,400		194
Avista		100		3
California Water Service Group		18,100		399
Cleco		7,772		404
Empire District Electric (A)		10,200		245
Great Plains Energy		32,505		827
IDACORP		5,883		323
Otter Tail		8,400		240
PNM Resources		24,600		700
Portland General Electric (A)		24,579		813
UIL Holdings		18,560		686

				5,493

Total Common Stock (Cost $203,628) ($ Thousands)				239,509


EXCHANGE TRADED FUNDS (A) — 0.7%
iShares Russell 2000 Growth Index Fund		5,596		729
iShares Russell 2000 Index Fund		8,818		995

Total Exchange Traded Funds (Cost $1,476) ($ Thousands)				1,724


AFFILIATED PARTNERSHIP — 8.3%
SEI Liquidity Fund, L.P.
0.070% **† (B)		21,059,500		21,060

Total Affiliated Partnership (Cost $21,060) ($ Thousands)				21,060


CASH EQUIVALENT — 4.2%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010% **†		10,570,764		10,571

Total Cash Equivalent (Cost $10,571) ($ Thousands)				10,571


U.S. TREASURY OBLIGATIONS (C) (D) — 0.7%
U.S. Treasury Bills
0.055%, 08/14/2014	$	997		997
0.043%, 07/24/2014		677		677

Total U.S. Treasury Obligations (Cost $1,674) ($ Thousands)				1,674

Total Investments — 108.8% (Cost $238,409) ($ Thousands)			$	274,538

A list of the open futures contracts held by the Fund at May 31, 2014, is as follows:

Type of Contract

Number of
Contracts
Long

Expiration
Date

Unrealized
Appreciation
($ Thousands)

Russell 2000 Index E-MINI

Jun-2014

Percentages are based on a Net Assets of $252,435 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2014.

‡

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 May 31, 2014. The total value of securities on loan at May 31, 2014 was $20,267 ($ 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 May 31, 2014 was $21,060 ($ Thousands).

(C)

All or a portion of this security has been pledged as collateral for open futures contracts.

(D)

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

ADR

— American Depositary Receipt

— Class

L.P.

— Limited Partnership

The following is a list of the level of inputs used as of May 31, 2014, 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	$	239,509	$	—	$	—	$	239,509
Exchange Traded Funds		1,724		—		—		1,724
Affiliated Partnership		—		21,060		—		21,060
Cash Equivalent		10,571		—		—		10,571
U.S. Treasury Obligations		—		1,674		—		1,674

Total Investments in Securities	$	251,804	$	22,734	$	—	$	274,538


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*
Unrealized Appreciation	$	48	$	—	$	—	$	48

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

During the year ended May 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.

During the year ended May 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

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


6		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Small/Mid Cap Equity Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 95.9%

Consumer Discretionary — 12.0%
Abercrombie & Fitch, Cl A		32,141	$	1,222
Advance Auto Parts		23,302		2,893
AMC Entertainment Holdings, Cl A		36,095		818
American Axle & Manufacturing Holdings *		105,411		1,954
American Eagle Outfitters (A)		211,199		2,266
ANN *		61,082		2,374
Arctic Cat		20,899		780
Asbury Automotive Group *		27,036		1,748
Autoliv		25,300		2,682
Bed Bath & Beyond *		23,682		1,441
Big Lots *		50,600		2,147
Bloomin’ Brands *		153,619		3,201
Bravo Brio Restaurant Group *		8,100		128
Bright Horizons Family Solutions *		45,780		1,784
Brinker International		23,400		1,162
Brown Shoe		78,182		2,201
Brunswick		90,838		3,915
Buffalo Wild Wings *		34,113		4,930
Cabela’s * (A)		62,198		3,808
Callaway Golf (A)		131,818		1,057
Capella Education		43,534		2,492
Carter’s		61,191		4,414
Cato, Cl A		46,500		1,341
Children’s Place Retail Stores (A)		14,930		722
Container Store Group * (A)		34,676		994
Cooper Tire & Rubber		31,000		863
Core-Mark Holdings		9,124		754
Crocs *		17,900		267
Dana Holdings		44,935		995
Destination XL Group *		32,000		169
Dick’s Sporting Goods		34,430		1,530
Dillard’s, Cl A		25,000		2,819
Dollar General *		18,289		984
DR Horton (A)		135,700		3,213
DreamWorks Animation SKG, Cl A *		68,760		1,931
Drew Industries		29,162		1,415
Dunkin’ Brands Group (A)		24,214		1,084
Ethan Allen Interiors (A)		46,583		1,092
Express *		61,294		773
Fiesta Restaurant Group *		73,326		2,953
Finish Line, Cl A		41,295		1,184
Five Below * (A)		91,874		3,326
FTD *		18,620		556
GameStop, Cl A (A)		28,700		1,086
Gannett		184,371		5,124
Genesco *		13,450		1,007
Gildan Activewear, Cl A		62,946		3,429
Harley-Davidson		20,430		1,455
Hasbro		23,476		1,261
Haverty Furniture		53,156		1,331
Hibbett Sports * (A)		51,808		2,725
HomeAway *		47,468		1,462
HSN		50,101		2,787
Hyatt Hotels, Cl A *		4,700		287
Ignite Restaurant Group *		8,100		124
Imax * (A)		96,569		2,533
International Game Technology		98,000		1,230
Interpublic Group		59,390		1,135


Description	Shares		Market Value ($ Thousands)

Jack in the Box		82,046	$	4,736
K12 *		22,500		517
Krispy Kreme Doughnuts *		81,302		1,532
La-Z-Boy, Cl Z		78,707		1,922
Lear		31,200		2,747
Libbey *		39,800		1,073
Life Time Fitness * (A)		19,120		1,017
Lithia Motors, Cl A		43,064		3,378
LKQ *		67,967		1,886
Lumber Liquidators Holdings * (A)		17,950		1,394
Matthews International, Cl A (A)		39,899		1,636
MDC Partners, Cl A		16,450		346
Meredith (A)		18,940		852
National CineMedia		274,891		4,307
Newell Rubbermaid		49,429		1,447
Nord Anglia Education *		125,356		2,256
Office Depot *		43,100		221
Oxford Industries		7,375		471
Panera Bread, Cl A *		17,994		2,764
Pep Boys-Manny Moe & Jack *		52,465		535
PetSmart (A)		21,768		1,251
Pier 1 Imports		153,368		2,701
Polaris Industries		9,909		1,277
Pool		37,810		2,183
Quiksilver *		146,576		871
Red Robin Gourmet Burgers *		58,833		4,241
Rent-A-Center, Cl A (A)		37,700		1,054
Ryland Group (A)		123,447		4,654
Sally Beauty Holdings *		218,126		5,588
Samsonite International		693,410		2,178
Scientific Games, Cl A *		44,898		402
Select Comfort *		43,001		797
Shutterfly *		84,795		3,488
Six Flags Entertainment		94,625		3,829
Skechers U.S.A., Cl A *		96,103		4,277
Stage Stores (A)		43,100		792
Standard Pacific * (A)		305,995		2,457
Starz *		58,400		1,787
Steven Madden *		31,936		1,017
TAL Education Group ADR *		95,735		2,201
Taylor Morrison Home, Cl A *		110,041		2,344
Tenneco *		47,478		3,027
Tile Shop Holdings * (A)		62,624		934
TRW Automotive Holdings *		39,800		3,378
Tuesday Morning *		90,124		1,456
Tupperware Brands		11,195		937
Ulta Salon Cosmetics & Fragrance *		16,429		1,395
Vail Resorts		10,820		754
Vera Bradley * (A)		21,685		584
Vince Holding *		48,740		1,355
Visteon *		16,900		1,540
Vitamin Shoppe *		34,271		1,473
Wendy’s (A)		232,810		1,909
Whirlpool		12,400		1,780
Wolverine World Wide (A)		141,163		3,652
Wyndham Worldwide		38,878		2,874
Zoe’s Kitchen *		22,322		654
zulily, Cl A * (A)		54,702		1,900

				219,386


Consumer Staples — 2.6%
Casey’s General Stores		61,036		4,348
Chefs’ Warehouse * (A)		65,459		1,210
Chiquita Brands International *		31,700		325


1		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Small/Mid Cap Equity Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Coca-Cola Enterprises		26,637	$	1,216
Darling International *		211,160		4,221
Energizer Holdings		25,800		2,993
Fresh Del Monte Produce		43,200		1,252
Hain Celestial Group * (A)		23,348		2,118
Ingredion		12,437		947
J&J Snack Foods		11,360		1,064
JM Smucker		23,800		2,442
Kroger		38,135		1,821
Molson Coors Brewing, Cl B		32,588		2,142
Omega Protein *		90,700		1,305
Pantry *		48,367		817
Rite Aid *		309,899		2,591
Snyder’s-Lance		23,400		636
SpartanNash		40,407		981
Spectrum Brands Holdings		28,845		2,246
Sprouts Farmers Market *		120,815		3,274
SUPERVALU *		160,800		1,201
Susser Holdings * (A)		10,330		819
Sysco (A)		36,854		1,383
TreeHouse Foods *		14,403		1,080
Universal		7,400		396
Weis Markets		17,700		838
WhiteWave Foods, Cl A *		137,694		4,336

				48,002


Energy — 5.2%
Alberta Oilsands *		1,600,500		206
Approach Resources * (A)		128,266		2,504
Athlon Energy *		116,637		5,069
Atwood Oceanics *		15,300		755
Bill Barrett * (A)		13,600		340
Bonanza Creek Energy *		12,825		688
Bristow Group		24,446		1,857
C&J Energy Services *		71,461		2,187
Carrizo Oil & Gas *		12,760		733
Cloud Peak Energy *		14,600		270
Core Laboratories		8,356		1,336
CVR Energy (A)		16,500		776
Delek US Holdings		36,800		1,143
Diamondback Energy *		41,916		3,164
Dresser-Rand Group *		74,427		4,555
Dril-Quip *		32,886		3,362
Emerald Oil * (A)		39,949		260
EPL Oil & Gas *		33,700		1,278
EQT		19,693		2,105
Exterran Holdings		24,350		1,016
Goodrich Petroleum * (A)		27,042		784
Helix Energy Solutions Group *		139,154		3,253
Helmerich & Payne		41,400		4,552
Hornbeck Offshore Services *		15,500		701
Key Energy Services *		62,536		503
Kinder Morgan Escrow		646		—
Kodiak Oil & Gas *		175,166		2,230
Laredo Petroleum Holdings *		130,760		3,618
Magnum Hunter Resources *		219,138		1,679
Matador Resources * (A)		45,863		1,141
McDermott International * (A)		145,159		1,054
Nabors Industries		92,569		2,428
Navigator Holdings *		13,900		341
Newfield Exploration *		37,292		1,360
Newpark Resources *		85,200		959
North Atlantic Drilling		35,700		375
Northern Oil And Gas * (A)		54,563		832
Nuverra Environmental Solutions * (A)		40,100		683


Description	Shares		Market Value ($ Thousands)

Oasis Petroleum *		46,805	$	2,317
Parker Drilling *		301,100		1,948
PDC Energy * (A)		68,284		4,383
Pioneer Energy Services *		98,079		1,560
Pioneer Natural Resources		8,828		1,855
Precision Drilling		13,700		178
Range Resources		7,090		659
Resolute Energy *		51,700		430
Ring Energy *		19,867		385
Rosetta Resources *		56,930		2,683
Scorpio Tankers		78,300		710
Spectra Energy		58,351		2,368
StealthGas *		40,100		421
Superior Energy Services		73,353		2,435
Synergy Resources *		146,816		1,724
Targa Resources		14,904		1,713
Tesco		66,958		1,426
Tesoro		58,000		3,260
TETRA Technologies *		106,520		1,228
Triangle Petroleum * (A)		57,000		573
W&T Offshore		12,700		186
Western Refining (A)		80,900		3,318

				95,857


Financials — 21.2%
1st Source		800		24
Acadia Realty Trust ‡		41,170		1,136
Alexandria Real Estate Equities ‡		46,063		3,505
Allied World Assurance Holdings		45,000		1,688
Allstate		23,209		1,352
Altisource Residential, Cl B ‡		43,362		1,209
American Assets Trust ‡		33,145		1,137
American Campus Communities ‡		78,827		3,062
American Capital Mortgage Investment ‡		15,500		317
American Equity Investment Life Holding (A)		10,900		246
American Financial Group		115,690		6,754
Ameriprise Financial		15,266		1,719
Amtrust Financial Services (A)		53,145		2,269
Apartment Investment & Management, Cl A ‡		45,690		1,438
Arch Capital Group *		75,125		4,277
Ares Capital		43,000		741
Aspen Insurance Holdings		34,400		1,581
Associated Banc		73,700		1,270
Assured Guaranty		181,864		4,441
AvalonBay Communities ‡		19,713		2,796
Banco Latinoamericano de Comercio Exterior, Cl E		84,745		2,266
Bancorpsouth (A)		158,611		3,727
Bank of the Ozarks		48,359		2,855
BankUnited		51,486		1,675
Banner		39,912		1,524
BioMed Realty Trust ‡ (A)		53,050		1,151
Blackstone Mortgage Trust, Cl A ‡		32,628		970
Boston Private Financial Holdings		149,394		1,888
Boston Properties ‡		15,800		1,907
Brandywine Realty Trust ‡		142,700		2,183
Brixmor Property Group ‡		23,250		506


2		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Small/Mid Cap Equity Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Calamos Asset Management, Cl A		41,900	$	522
Campus Crest Communities ‡		18,500		164
Cardinal Financial		34,015		591
CBL & Associates Properties ‡		100,338		1,888
Central Pacific Financial		42,800		815
Chimera Investment ‡		245,200		772
City National		18,740		1,332
CNA Financial		54,600		2,194
CNO Financial Group		444,774		7,174
CoBiz Financial		95,315		988
Comerica		72,230		3,465
Commerce Bancshares		1		—
CommonWealth ‡		67,750		1,783
Community Trust Bancorp		17,256		592
CubeSmart ‡		164,294		2,997
Customers Bancorp *		8,800		167
CYS Investments ‡		162,400		1,501
DDR ‡		204,431		3,539
DiamondRock Hospitality ‡		186,683		2,319
Dime Community Bancshares		43,800		662
Douglas Emmett ‡		73,265		2,080
Duke Realty ‡		92,464		1,637
DuPont Fabros Technology ‡		88,100		2,253
Eagle Bancorp *		68,723		2,197
East West Bancorp		62,165		2,081
EastGroup Properties ‡		51,633		3,287
Eaton Vance		48,072		1,786
Education Realty Trust ‡		185,392		1,939
Employers Holdings		74,079		1,558
Endurance Specialty Holdings		52,380		2,709
EPR Properties ‡		13,390		722
Equity One ‡		46,134		1,059
Equity Residential ‡		38,350		2,370
Essex Property Trust ‡ (A)		4,871		881
Everest Re Group		19,700		3,152
Extra Space Storage ‡		10,800		565
FBR *		19,333		505
Federal Realty Investment Trust ‡		5,550		663
Federated Investors, Cl B (A)		25,981		735
FelCor Lodging Trust ‡		60,700		597
Fidelity & Guaranty Life		24,400		522
Fidelity National Financial, Cl A		65,755		2,192
Fifth Third Bancorp		104,300		2,158
Financial Engines (A)		62,118		2,528
First BanCorp *		562,229		2,738
First Financial Holdings		35,932		2,115
First Horizon National		90,401		1,036
First Midwest Bancorp		111,065		1,777
First NBC Bank Holding *		25,803		875
First Niagara Financial Group		111,800		963
Flushing Financial		66,600		1,325
Forest City Enterprises, Cl A *		39,590		753
Forestar Group *		30,940		539
Fulton Financial		93,546		1,118
FXCM, Cl A (A)		46,429		621
General Growth Properties ‡		54,420		1,297
Genworth Financial, Cl A *		236,862		4,024
Geo Group ‡		33,000		1,122
Glacier Bancorp		48,470		1,273
Glimcher Realty Trust ‡		71,435		787
Gramercy Property Trust ‡		65,800		386
Hancock Holding		89,596		3,027
Hanover Insurance Group		52,544		3,155


Description	Shares		Market Value ($ Thousands)

Hartford Financial Services Group		52,888	$	1,833
Hatteras Financial ‡		10,700		217
HCP ‡		53,650		2,240
Health Care ‡		31,338		1,981
HFF, Cl A		69,661		2,252
Highwoods Properties ‡		21,260		863
Home BancShares (A)		38,235		1,167
Horace Mann Educators		119,375		3,487
Hospitality Properties Trust ‡		89,900		2,608
Host Hotels & Resorts ‡		177,968		3,928
Huntington Bancshares		674,940		6,257
Iberiabank		53,432		3,337
Infinity Property & Casualty		20,081		1,285
Inland Real Estate ‡		138,600		1,472
International Bancshares		47,046		1,134
Investment Technology Group *		129,508		2,478
Investors Bancorp		253,804		2,741
Janus Capital Group (A)		290,754		3,396
Jones Lang LaSalle		27,990		3,395
Kennedy-Wilson Holdings		139,443		3,454
KeyCorp		450,785		6,171
Kilroy Realty ‡		7,350		445
Kimco Realty ‡		59,700		1,368
LaSalle Hotel Properties ‡		41,130		1,357
Lexington Realty Trust ‡ (A)		557,746		6,330
Liberty Property Trust ‡		23,000		890
Lincoln National		47,100		2,259
LPL Financial Holdings		65,182		3,057
Macerich ‡		24,098		1,591
Mack-Cali Realty ‡		10,700		233
Maiden Holdings		50,700		621
MarketAxess Holdings		44,389		2,368
MB Financial		22,629		607
Meadowbrook Insurance Group		140,000		954
Medical Properties Trust ‡		151,539		2,049
MFA Mortgage Investments ‡		397,024		3,268
Mid-America Apartment Communities ‡		16,192		1,171
Montpelier Re Holdings		75,900		2,386
Mortgage Investment Trust ‡		22,900		435
MSCI, Cl A *		53,526		2,310
National Penn Bancshares		122,445		1,259
Nelnet, Cl A		72,500		2,985
Northfield Bancorp		34,363		447
NorthStar Realty Finance ‡		122,338		2,025
Ocwen Financial *		15,400		540
OFG Bancorp (A)		273,527		4,940
Omega Healthcare Investors ‡ (A)		57,600		2,125
OmniAmerican Bancorp		5,000		120
Opus Bank *		63,575		1,907
PacWest Bancorp		138,489		5,598
PartnerRe		38,008		4,081
Pebblebrook Hotel Trust ‡		124,620		4,429
Pennsylvania ‡		130,816		2,348
Piedmont Office Realty Trust, Cl A ‡ (A)		17,350		323
Platinum Underwriters Holdings		19,416		1,245
Popular *		176,639		5,331
ProAssurance		4,005		182
Prologis ‡		73,548		3,053
Prospect Capital (A)		95,900		953
Prosperity Bancshares (A)		14,055		817


3		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Small/Mid Cap Equity Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Protective Life		59,672	$	3,121
Public Storage ‡		15,528		2,677
Radian Group (A)		74,775		1,078
RAIT Financial Trust ‡		195,499		1,533
Regency Centers ‡		13,400		716
Regions Financial		213,300		2,174
Reinsurance Group of America, Cl A		50,762		3,968
Republic Bancorp, Cl A		34,400		800
RLJ Lodging Trust ‡		29,850		827
Rouse Properties ‡		30,600		499
Ryman Hospitality Properties ‡ (A)		43,392		2,002
Safeguard Scientifics *		47,055		898
Selective Insurance Group		40,065		952
Senior Housing Properties Trust ‡		22,650		543
Signature Bank NY *		17,036		1,973
Simon Property Group ‡		31,579		5,257
SL Green Realty ‡ (A)		7,600		832
StanCorp Financial Group		36,700		2,206
Starwood Property Trust ‡		12,700		310
Stifel Financial * (A)		41,220		1,863
Sunstone Hotel Investors ‡		255,908		3,759
SunTrust Banks		51,558		1,976
SVB Financial Group *		43,975		4,637
Synovus Financial		132,124		3,047
Taubman Centers ‡		15,450		1,157
TCF Financial (A)		193,395		3,073
THL Credit		13,100		174
Tower Group International		51,438		111
Two Harbors Investment ‡		19,900		210
UDR ‡		42,050		1,157
Umpqua Holdings		51,641		856
United Community Banks		20,300		311
Unum Group		128,527		4,358
Validus Holdings		38,900		1,452
Ventas ‡		28,400		1,897
ViewPoint Financial Group		10,100		251
Virtus Investment Partners		17,537		3,235
Vornado Realty Trust ‡		21,550		2,308
Waddell & Reed Financial, Cl A		41,989		2,535
Walter Investment Management * (A)		8,100		234
Washington Federal		35,700		744
Washington Prime Group *‡		15,790		314
Weingarten Realty Investors ‡ (A)		13,150		418
WesBanco		53,800		1,584
Western Alliance Bancorp *		213,332		4,881
Willis Group Holdings		29,015		1,217
Winthrop Realty Trust ‡		31,400		471
WisdomTree Investments * (A)		107,001		1,112
WSFS Financial		19,065		1,296
Zions Bancorporation		226,745		6,483

				387,776


Health Care — 11.3%
Acadia Healthcare * (A)		151,682		6,468
Accuray * (A)		97,700		862
Akorn * (A)		99,763		2,790
Alere *		11,000		393
Align Technology *		51,060		2,788
Alkermes *		35,085		1,607
Alnylam Pharmaceuticals *		20,176		1,196
AmerisourceBergen		18,258		1,336


Description	Shares		Market Value ($ Thousands)

Amsurg, Cl A *		28,611	$	1,296
Aratana Therapeutics *		45,764		643
athenahealth * (A)		21,043		2,671
Bruker *		90,530		1,897
Cardiovascular Systems *		34,661		972
CareFusion *		45,005		1,932
Centene *		36,597		2,727
Charles River Laboratories International *		93,391		5,004
Chemed (A)		14,800		1,304
CONMED		23,675		1,063
Cooper		11,262		1,453
Covance *		38,626		3,239
Cross Country Healthcare *		29,800		172
Cubist Pharmaceuticals *		61,896		4,122
Dentsply International		33,060		1,563
DexCom *		151,184		5,104
Endo International *		46,713		3,298
Endologix *		139,459		1,821
Ensign Group		7,000		328
Envision Healthcare Holdings *		106,006		3,655
ExamWorks Group * (A)		123,582		3,661
Exelixis * (A)		78,855		261
Fluidigm * (A)		18,039		500
Furiex Pharmaceuticals *		17,790		1,839
Greatbatch *		27,310		1,276
GW Pharmaceuticals * (A)		11,767		802
Health Net *		64,528		2,580
HealthSouth		163,738		5,750
HeartWare International * (A)		56,602		5,104
Hill-Rom Holdings		20,700		822
HMS Holdings *		20,189		380
Humana		21,700		2,701
Hyperion Therapeutics * (A)		43,115		1,262
ICON *		33,147		1,401
Idexx Laboratories * (A)		16,255		2,088
Incyte *		27,255		1,351
Insulet * (A)		109,363		4,006
Insys Therapeutics * (A)		9,081		235
Intercept Pharmaceuticals *		1,629		385
Ironwood Pharmaceuticals, Cl A *		167,944		2,405
Isis Pharmaceuticals * (A)		65,776		1,922
Jazz Pharmaceuticals *		10,420		1,478
K2M Group Holdings *		56,174		840
Karyopharm Therapeutics * (A)		18,899		496
Keryx Biopharmaceuticals * (A)		122,314		1,615
Kindred Healthcare		38,200		948
KYTHERA Biopharmaceuticals *		20,091		673
LDR Holding *		93,016		2,194
Magellan Health Services *		34,985		2,130
Mallinckrodt * (A)		36,152		2,811
Masimo *		83,122		2,048
Medical Action Industries *		10,600		73
Medicines *		44,329		1,237
Medivation *		24,376		1,775
MEDNAX *		49,730		2,866
Mettler Toledo International *		5,814		1,425
Natus Medical *		9,700		239
NewLink Genetics * (A)		56,899		1,167
NPS Pharmaceuticals *		172,159		5,359
Oramed Pharmaceuticals * (A)		89,373		745
Orexigen Therapeutics * (A)		184,418		1,191
Pacira Pharmaceuticals *		66,274		5,144
PAREXEL International *		39,990		2,018


4		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Small/Mid Cap Equity Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Patterson		52,241	$	2,046
PDL BioPharma (A)		117,800		1,104
PerkinElmer		68,807		3,094
Pharmacyclics * (A)		9,868		877
PharMerica *		51,500		1,398
Phibro Animal Health, Cl A *		67,125		1,277
Portola Pharmaceuticals *		68,880		1,526
Premier, Cl A *		67,544		2,002
Prestige Brands Holdings *		22,900		783
Puma Biotechnology *		30,105		2,301
Quest Diagnostics		27,909		1,671
Questcor Pharmaceuticals (A)		29,080		2,621
Quidel * (A)		50,092		1,137
Relypsa *		25,901		606
Salix Pharmaceuticals *		17,787		2,029
Sciclone Pharmaceuticals *		183,521		923
Seattle Genetics * (A)		43,430		1,449
Select Medical Holdings		143,000		2,166
Sirona Dental Systems *		22,780		1,714
Skilled Healthcare Group, Cl A * (A)		98,400		650
Spectranetics *		69,785		1,496
Sunesis Pharmaceuticals * (A)		145,134		743
Surgical Care Affiliates *		41,892		1,210
Symmetry Medical *		32,500		287
Synageva BioPharma * (A)		28,225		2,291
Tandem Diabetes Care *		44,832		728
Team Health Holdings *		157,245		7,983
Techne		24,287		2,132
Tekmira Pharmaceuticals *		24,570		312
Teleflex		9,128		973
TESARO *		77,338		2,060
Ultragenyx Pharmaceutical *		11,282		424
Unilife * (A)		48,109		139
United Therapeutics *		36,600		3,504
Universal Health Services, Cl B		44,468		3,983
Varian Medical Systems * (A)		23,730		1,957
VCA Antech *		92,793		3,122
WellCare Health Plans *		21,608		1,674

				207,299


Industrials — 17.2%
AAR		47,800		1,161
ACCO Brands * (A)		31,000		187
Actuant, Cl A		178,172		6,331
Acuity Brands (A)		22,868		2,870
AECOM Technology *		17,200		553
Aegean Marine Petroleum Network		22,700		230
Aegion, Cl A *		13,300		319
AGCO		53,500		2,887
Air Transport Services Group *		40,400		367
Aircastle		67,002		1,124
Alliant Techsystems		13,200		1,667
Altra Holdings		109,362		3,739
AMERCO		10,700		2,954
Applied Industrial Technologies		69,290		3,299
Armstrong World Industries *		59,392		3,152
Barnes Group		34,295		1,282
Beacon Roofing Supply * (A)		60,544		2,089
Brink’s		62,700		1,674
Carlisle		36,090		3,063
Chart Industries *		28,435		2,044
Cintas		27,975		1,738
CIRCOR International		18,350		1,399
Clean Harbors * (A)		144,519		8,832


Description	Shares		Market Value ($ Thousands)

Colfax *		31,681	$	2,306
Con-way		37,398		1,728
Corporate Executive Board		57,986		3,953
Curtiss-Wright		47,934		3,194
Deluxe		86,167		4,833
Diana Shipping * (A)		113,306		1,235
DigitalGlobe *		94,691		2,875
Dover		20,202		1,761
Dycom Industries *		151,905		4,519
EMCOR Group		126,412		5,628
EnerSys (A)		52,069		3,595
Engility Holdings *		6,300		243
EnPro Industries *		12,856		944
Esterline Technologies *		36,504		4,068
Expeditors International of Washington (A)		27,955		1,272
Fluor		19,741		1,482
FreightCar America		7,200		185
FTI Consulting *		20,900		674
G&K Services, Cl A		37,312		1,933
Generac Holdings		41,489		2,020
General Cable (A)		104,353		2,661
Genesee & Wyoming, Cl A *		46,841		4,560
Global Power Equipment Group		24,700		408
GrafTech International * (A)		246,521		2,576
Great Lakes Dredge & Dock *		68,700		523
H&E Equipment Services *		54,180		1,877
HD Supply Holdings *		103,497		2,719
HEICO, Cl A		109,158		4,410
Hertz Global Holdings *		71,355		2,106
Hexcel *		66,702		2,738
ICF International *		7,200		268
IDEX		38,060		2,918
Interface, Cl A		106,495		1,942
ITT		30,889		1,349
JetBlue Airways * (A)		194,500		1,879
Kadant		63,644		2,412
KAR Auction Services		57,689		1,762
Kennametal		135,061		6,083
KEYW Holding * (A)		70,997		753
Kirby *		30,132		3,331
Korn/Ferry International *		35,203		1,069
L-3 Communications Holdings, Cl 3		28,000		3,393
Landstar System		68,778		4,466
Lincoln Electric Holdings		36,543		2,401
Lindsay Manufacturing (A)		23,753		2,002
Lydall *		49,700		1,371
MasTec * (A)		52,043		1,874
Middleby *		12,900		3,081
Mobile Mini		50,492		2,199
Moog, Cl A *		50,084		3,609
MRC Global *		15,000		432
MSC Industrial Direct, Cl A		29,525		2,715
MYR Group *		13,300		333
Navistar International * (A)		66,235		2,270
NN		85,100		2,088
Nordson		30,428		2,481
Northwest Pipe *		24,760		890
Old Dominion Freight Line *		133,312		8,527
Orion Marine Group *		74,771		846
Oshkosh Truck		88,884		4,804
Owens Corning		57,635		2,364
Parker Hannifin		13,826		1,731
Paylocity Holding *		29,080		566


5		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Small/Mid Cap Equity Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Pitney Bowes (A)		103,400	$	2,857
Polypore International * (A)		38,691		1,720
Primoris Services		149,697		4,337
Rand Logistics *		28,900		172
RBC Bearings		25,852		1,550
Regal-Beloit		82,637		6,308
Ritchie Bros Auctioneers (A)		88,489		2,031
Rollins		36,594		1,122
RR Donnelley & Sons		43,256		685
Ryder System		24,400		2,118
Scorpio Bulkers *		39,200		361
Sensata Technologies Holding *		118,804		5,096
Simpson Manufacturing		30,335		1,009
SkyWest		49,700		568
SP Plus *		44,635		1,059
Spirit Aerosystems Holdings, Cl A *		62,710		2,035
Spirit Airlines *		50,714		2,996
Stanley Black & Decker		22,123		1,934
Steelcase, Cl A		115,591		1,895
Swift Transporation, Cl A * (A)		360,384		8,923
TAL International Group (A)		29,500		1,293
Team *		21,312		893
Teledyne Technologies *		37,115		3,517
Tennant		27,302		1,745
Terex		50,533		1,944
Tetra Tech		67,428		1,794
Textainer Group Holdings		15,600		604
Textron		42,880		1,682
Timken		13,800		886
Titan Machinery * (A)		28,500		499
TransDigm Group		15,079		2,846
TriMas *		40,406		1,419
Trinity Industries		79,920		6,916
Triumph Group		23,590		1,635
TrueBlue *		256,794		6,987
Tutor Perini *		54,400		1,666
United Rentals * (A)		33,080		3,343
URS		42,400		1,908
US Ecology		35,682		1,763
USG * (A)		78,054		2,340
Valmont Industries (A)		14,180		2,197
Wabtec		48,670		3,832
WageWorks *		60,798		2,461
Watts Water Technologies, Cl A (A)		23,249		1,296
WESCO International * (A)		64,422		5,503
Xylem		37,791		1,410

				315,351


Information Technology — 18.7%
A10 Networks *		60,765		695
Acxiom *		85,912		1,953
ADTRAN		39,033		876
Advent Software		58,843		1,781
Amdocs		53,400		2,570
Angie’s List * (A)		62,717		668
ARRIS Group *		169,317		5,606
Arrow Electronics *		62,294		3,594
Aspen Technology *		116,361		5,002
Atmel *		871,005		7,299
Avnet		34,300		1,494
Bankrate *		156,261		2,367
Belden		45,978		3,310
Benchmark Electronics *		68,300		1,584
Black Box		42,000		1,024


Description	Shares		Market Value ($ Thousands)

Blackbaud		122,610	$	4,199
Broadridge Financial Solutions		98,273		4,031
BroadSoft *		52,877		1,141
Brocade Communications Systems		228,700		2,086
CACI International, Cl A *		14,750		1,053
Cadence Design Systems * (A)		635,907		10,613
Cavium * (A)		122,231		5,987
CDW		110,885		3,261
ChannelAdvisor *		13,076		271
ChipMOS TECHNOLOGIES (Bermuda)		5,900		144
CIBER *		102,500		477
Ciena * (A)		73,902		1,434
Citrix Systems * (A)		31,718		1,966
Cognex *		72,377		2,606
Coherent *		14,568		874
CommScope Holding *		59,386		1,570
Computer Sciences		33,500		2,107
Computer Task Group		29,800		463
Comtech Telecommunications		5,734		187
Concur Technologies * (A)		21,997		1,878
Constant Contact *		89,413		2,641
Convergys		133,847		2,921
Cornerstone OnDemand *		75,801		3,046
CoStar Group *		49,881		7,909
Dealertrack Technologies *		168,058		6,674
Demandware *		80,275		4,888
Diebold		54,741		2,054
Digi International *		57,700		513
Diodes *		10,800		299
Dot Hill Systems *		69,700		299
DTS *		3,507		63
Envestnet *		131,969		5,350
Euronet Worldwide *		111,029		5,234
EVERTEC		37,812		904
Exar *		39,500		430
ExlService Holdings *		30,716		870
Extreme Networks *		80,200		319
FactSet Research Systems (A)		12,989		1,392
Fairchild Semiconductor International, Cl A *		277,670		4,073
FEI		19,492		1,627
Fidelity National Information Services		36,287		1,965
FleetMatics Group * (A)		93,614		2,668
Fortinet *		41,010		921
Freescale Semiconductor *		129,178		2,867
Gartner *		38,590		2,743
Global Payments		36,118		2,476
GrubHub * (A)		9,018		307
Guidewire Software * (A)		169,321		6,395
Harris		44,500		3,438
Heartland Payment Systems (A)		89,533		3,711
Infoblox *		131,500		1,704
Informatica *		62,517		2,288
Inphi *		59,313		893
Insight Enterprises *		72,500		1,971
Integrated Device Technology *		166,888		2,220
Interactive Intelligence Group *		65,679		3,329
Intersil, Cl A		350,317		4,929
IntraLinks Holdings *		65,535		571
InvenSense, Cl A * (A)		87,177		1,683
Ixia *		78,713		915
Jack Henry & Associates		61,029		3,539


6		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Small/Mid Cap Equity Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Juniper Networks *		56,989	$	1,394
Lam Research		34,379		2,133
Lattice Semiconductor *		252,646		1,998
Lexmark International, Cl A (A)		49,300		2,149
Littelfuse		26,036		2,282
Marvell Technology Group		114,600		1,784
MAXIMUS		100,669		4,498
Measurement Specialties *		39,830		2,530
Microchip Technology (A)		39,841		1,897
MKS Instruments (A)		39,008		1,125
National Instruments		36,282		1,039
NETGEAR *		27,300		897
Nimble Storage * (A)		34,961		887
ON Semiconductor *		260,592		2,265
OSI Systems *		30,789		1,753
Palo Alto Networks *		26,596		1,992
Pandora Media *		55,890		1,371
Plantronics		8,100		367
Plexus *		53,277		2,225
Power Integrations		14,659		737
PRGX Global *		62,400		398
Progress Software *		68,092		1,479
PTC *		277,027		10,195
Qlik Technologies *		54,460		1,182
RealPage * (A)		145,353		3,083
RF Micro Devices *		332,624		3,130
Ruckus Wireless *		203,413		2,197
Saba Software *		36,500		354
Seagate Technology (A)		48,600		2,611
Semtech *		29,297		760
Shutterstock * (A)		53,406		3,474
Silicon Laboratories *		96,082		4,335
SolarWinds *		44,820		1,752
Solera Holdings		89,451		5,837
Spansion, Cl A *		104,260		1,986
SPS Commerce *		55,095		3,134
SS&C Technologies Holdings *		163,258		6,963
Stratasys * (A)		16,106		1,498
SunEdison * (A)		83,766		1,649
Synaptics * (A)		28,520		1,942
Synopsys *		56,743		2,184
Tableau Software, Cl A *		55,444		3,218
Tech Data *		72,449		4,311
Teradata *		61,547		2,584
Teradyne (A)		129,240		2,301
Trimble Navigation *		64,099		2,312
TriQuint Semiconductor *		97,755		1,521
Tyler Technologies *		27,134		2,120
Ultimate Software Group *		20,368		2,589
Ultratech *		15,300		388
Verint Systems *		52,364		2,426
Virtusa *		68,316		2,337
Vishay Intertechnology (A)		261,105		3,896
VistaPrint * (A)		50,458		2,019
Web.com Group *		140,352		4,834
Western Digital		32,300		2,838
WEX *		59,005		5,682
WNS Holdings ADR *		109,968		1,975
Xoom *		8,200		182
Yelp, Cl A * (A)		64,560		4,271
Zebra Technologies, Cl A *		33,359		2,479
Zillow, Cl A * (A)		17,200		2,030

				340,989


Materials — 4.6%
Air Products & Chemicals		11,122		1,334


Description	Shares		Market Value ($ Thousands)

Albemarle		25,570	$	1,769
Allegheny Technologies (A)		71,135		2,921
Ashland		16,900		1,741
Berry Plastics Group *		29,730		702
Cabot		53,600		3,031
Chemtura *		107,797		2,693
Crown Holdings *		59,984		2,930
Cytec Industries		12,227		1,215
Domtar		18,100		1,645
Eagle Materials		14,711		1,279
Eastman Chemical		9,900		874
Flotek Industries *		63,870		1,813
Glatfelter		39,200		1,032
Greif, Cl A		46,923		2,563
H.B. Fuller		49,405		2,363
Huntsman		111,600		2,979
Innophos Holdings		19,191		1,007
Kaiser Aluminum (A)		20,513		1,405
KapStone Paper and Packaging *		84,849		2,465
Landec *		30,200		363
Louisiana-Pacific *		94,617		1,343
LSB Industries *		7,700		294
Methanex		40,111		2,290
Minerals Technologies		21,390		1,326
Neenah Paper		35,800		1,746
Novagold Resources * (A)		102,600		309
Nucor		22,115		1,120
Olin (A)		74,800		2,038
Owens-Illinois *		26,759		889
Platform Specialty Products *		121,264		3,147
PolyOne		227,489		9,129
Reliance Steel & Aluminum		23,471		1,689
Rentech *		98,500		229
Rock Tenn, Cl A		13,800		1,394
RTI International Metals * (A)		47,996		1,287
Schweitzer-Mauduit International		9,300		388
Sensient Technologies		106,899		5,858
Silgan Holdings		61,464		3,002
Steel Dynamics		44,300		765
UFP Technologies *		47,600		1,157
US Silica Holdings		117,467		5,940

				83,464


Telecommunication Services — 0.4%
Cogent Communications Holdings		17,535		643
Inteliquent		48,200		722
Iridium Communications * (A)		186,300		1,475
RingCentral, Cl A * (A)		103,994		1,265
SBA Communications, Cl A *		13,389		1,359
USA Mobility		76,117		1,174
Vonage Holdings *		93,400		355

				6,993


Utilities — 2.7%
AGL Resources		33,312		1,778
ALLETE		22,639		1,124
Ameren		79,700		3,136
Avista		90,600		2,836
Cadiz * (A)		35,800		291
Cleco		43,795		2,279
Edison International		29,089		1,604
Empire District Electric (A)		7,200		173
Great Plains Energy		169,673		4,318


7		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Small/Mid Cap Equity Fund

May 31, 2014


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

IDACORP		16,538	$	907
NorthWestern		2,700		129
NRG Energy		94,728		3,376
Piedmont Natural Gas (A)		9,100		326
Pinnacle West Capital		47,064		2,608
PNM Resources		118,829		3,382
Portland General Electric (A)		260,600		8,618
SCANA		84,407		4,389
Southwest Gas		23,275		1,219
UGI		52,592		2,559
UIL Holdings		9,800		362
Vectren		56,844		2,267
Xcel Energy		61,232		1,884

				49,565

Total Common Stock (Cost $1,309,052) ($ Thousands)				1,754,682


EXCHANGE TRADED FUNDS — 0.4%
iShares Russell 2000 ETF(A)		24,791		2,798
iShares Russell 2000 Growth ETF(A)		20,605		2,686
iShares Russell 2000 Value ETF(A)		6,100		603

Total Exchange Traded Funds (Cost $5,000) ($ Thousands)				6,087


	Number Of Warrants


WARRANTS — 0.0%
Magnum Hunter Resource, Expires 08/29/14 *		18,718		—

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


AFFILIATED PARTNERSHIP — 13.5%
SEI Liquidity Fund, L.P. 0.070% ** † (B)		246,662,202		246,662

Total Affiliated Partnership (Cost $246,662) ($ Thousands)				246,662


CASH EQUIVALENT — 3.8%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%** †		70,039,822		70,040

Total Cash Equivalent (Cost $70,040) ($ Thousands)				70,040


U.S. TREASURY OBLIGATIONS (C) (D) — 0.1%
U.S. Treasury Bills
2.344%, 07/24/2014	$	2,052		2,052
0.056%, 08/14/2014		160		160

Total U.S. Treasury Obligations (Cost $2,212) ($ Thousands)				2,212

Total Investments — 113.7% (Cost $1,632,966) ($ Thousands)			$	2,079,683

A list of the open futures contracts held by the Fund at May 31, 2014, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
Russell 2000 Index E-MINI		43		Jun-2014	$	105
S&P Mid 400 Index E-MINI		37		Jun-2014		150

					$	255

Percentages are based on a Net Assets of $1,829,276 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2014.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

(A)

This security or a partial position of this security is on loan at May 31, 2014. The total market value of securities on loan at May 31, 2014 was $238,367 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total value of such securities as of May 31, 2014 was $246,662 ($ 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

AID — Agency for International Development

Cl — Class

ETF — Exchange Traded Funds

L.P. — Limited Partnership

S&P — Standard & Poor’s

The following is a list of the level of inputs used as of May 31, 2014, 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	$	1,754,682	$	—	$	—	$	1,754,682
Exchange Traded Funds		6,087		—		—		6,087
Warrants		—		—		—		—
Affiliated Partnership		—		246,662		—		246,662
Cash Equivalent		70,040		—		—		70,040
U.S. Treasury Obligations		—		2,212		—		2,212

Total Investments in Securities	$	1,830,809	$	248,874	$	—	$	2,079,683


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *
Unrealized Appreciation	$	255	$	—	$	—	$	255

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

For the year ended May 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2014, 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.


8		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

U.S. Managed Volatility Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 96.5%

Consumer Discretionary — 6.3%
Aaron’s		42,498	$	1,395
AutoZone *		1,900		1,012
Canadian Tire, Cl A		44,700		4,306
Carter’s		37,900		2,734
Cogeco Cable		13,400		772
Cracker Barrel Old Country Store		24,700		2,484
DIRECTV *		98,000		8,079
Dollar General *		51,450		2,767
Dollar Tree *		56,489		2,996
DSW, Cl A		52,643		1,319
Foot Locker		79,300		3,821
Kohl’s		201,999		10,997
Lear		36,290		3,195
Madison Square Garden, Cl A *		41,964		2,302
McDonald’s		32,300		3,276
Morningstar		25,061		1,783
PetSmart		164,909		9,477
Regal Entertainment Group, Cl A		19,324		377
Target		229,572		13,030
Thomson Reuters		62,131		2,155

				78,277


Consumer Staples — 19.2%
Altria Group		413,762		17,196
Archer-Daniels-Midland		47,000		2,112
Bunge		111,569		8,670
Cal-Maine Foods		69,900		4,876
Clorox		126,494		11,336
Coca-Cola Enterprises		76,500		3,492
Colgate-Palmolive		51,800		3,543
ConAgra Foods		328,832		10,621
CVS Caremark		166,500		13,040
Dr. Pepper Snapple Group		255,030		14,715
Energizer Holdings		35,900		4,165
General Mills		68,300		3,752
Hershey		93,139		9,066
Hormel Foods		138,311		6,806
Ingredion		41,100		3,130
Kellogg		175,017		12,073
Kimberly-Clark		31,600		3,550
Kraft Foods Group		63,000		3,746
Kroger		356,606		17,024
Lorillard		77,900		4,843
Mead Johnson Nutrition, Cl A		38,100		3,409
Metro, Cl A		79,900		4,928
Molson Coors Brewing, Cl B		92,000		6,047
PepsiCo		134,607		11,890
Philip Morris International		43,100		3,816
Rite Aid *		242,590		2,028
Tyson Foods, Cl A		410,055		17,411
Universal		43,100		2,308
Walgreen		28,700		2,064
Wal-Mart Stores		283,628		21,774
Weis Markets		37,000		1,753
Whole Foods Market		72,659		2,779

				237,963


Description	Shares		Market Value ($ Thousands)

Energy — 5.2%
Antero Resources *		2,142	$	132
Baker Hughes		49,200		3,470
Canadian Natural Resources		86,600		3,522
Chesapeake Energy		125,700		3,610
Chevron		125,411		15,399
ConocoPhillips		110,000		8,793
Exxon Mobil		131,500		13,220
Halliburton		61,600		3,982
Marathon Oil		97,900		3,589
SM Energy		47,100		3,571
Targa Resources		35,500		4,081
World Fuel Services		9,108		422

				63,791


Financials — 15.8%
Allied World Assurance Holdings		160,440		6,016
Allstate		66,200		3,857
American Capital Agency ‡		79,200		1,879
American Financial Group		135,090		7,887
American Homes 4 Rent, Cl A ‡		33,035		582
Annaly Capital Management ‡		427,647		5,042
Arch Capital Group *		83,048		4,728
Assurant		49,550		3,360
Axis Capital Holdings		179,155		8,239
BOK Financial		32,141		2,018
Canadian Imperial Bank of Commerce		40,100		3,533
CBOE Holdings		13,600		689
Chubb		68,000		6,301
CIT Group		18,479		822
Endurance Specialty Holdings		60,283		3,118
Equity Lifestyle Properties ‡		86,100		3,766
Everest Re Group		122,433		19,592
First Citizens BancShares, Cl A		3,709		815
Gaming and Leisure Properties ‡		125,389		4,208
Genworth MI Canada		22,800		808
Government Properties Income Trust ‡		56,000		1,429
Hanover Insurance Group		30,500		1,831
HCC Insurance Holdings		118,000		5,544
HCP ‡		84,500		3,528
Health Care ‡		57,300		3,623
Jones Lang LaSalle		29,100		3,530
MFA Mortgage Investments ‡		260,700		2,146
National Bank of Canada		74,000		3,101
PartnerRe		189,408		20,337
PennyMac Mortgage Investment Trust ‡		137,200		2,898
Platinum Underwriters Holdings		46,600		2,989
Popular *		38,255		1,154
Reinsurance Group of America, Cl A		43,410		3,393
RenaissanceRe Holdings		158,921		16,555
Simon Property Group ‡		20,500		3,412
Starwood Property Trust ‡		62,232		1,518
Travelers		128,200		11,980


1		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

U.S. Managed Volatility Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Two Harbors Investment ‡		441,226	$	4,646
US Bancorp		72,858		3,074
Validus Holdings		232,087		8,664
Ventas ‡		35,800		2,391
Washington Prime Group *‡		10,250		204
White Mountains Insurance Group		398		235

				195,442


Health Care — 17.7%
Abbott Laboratories		66,300		2,652
AbbVie		80,000		4,346
Aetna		126,300		9,795
AmerisourceBergen		118,513		8,673
Amgen		90,500		10,497
AstraZeneca ADR		107,100		7,733
Baxter International		46,200		3,438
Becton Dickinson		80,733		9,502
Cardinal Health		79,200		5,594
Cigna		43,100		3,869
Covance *		13,913		1,167
Eli Lilly		111,953		6,701
Express Scripts Holding *		143,788		10,276
Henry Schein *		10,023		1,199
Humana		76,970		9,580
Idexx Laboratories *		54,289		6,975
Johnson & Johnson		161,522		16,388
Laboratory Corp of America Holdings *		55,061		5,648
McKesson		66,948		12,696
Medtronic		47,400		2,893
Merck		313,710		18,151
Omnicare		69,364		4,408
PDL BioPharma		156,300		1,465
Pfizer		353,800		10,483
Quest Diagnostics		188,355		11,281
Sirona Dental Systems *		2,754		207
UnitedHealth Group		89,200		7,103
WellPoint		100,000		10,836
Zimmer Holdings		71,200		7,430
Zoetis, Cl A		240,769		7,392

				218,378


Industrials — 4.3%
Alliant Techsystems		53,580		6,767
Dun & Bradstreet		27,400		2,829
Exelis		79,630		1,360
General Dynamics		54,500		6,437
Huntington Ingalls Industries		32,020		3,197
L-3 Communications Holdings, Cl 3		62,000		7,512
Lockheed Martin		48,191		7,886
Northrop Grumman		67,700		8,229
Raytheon		84,500		8,245
Rollins		10,302		316

				52,778


Information Technology — 8.5%
Amdocs		422,260		20,319
Apple		21,972		13,908
Brocade Communications Systems		152,132		1,388
CACI International, Cl A *		23,100		1,649


Description	Shares		Market Value ($ Thousands)

Cisco Systems		238,000	$	5,860
CSG Systems International		69,600		1,828
Dolby Laboratories, Cl A *		47,400		1,969
FactSet Research Systems		16,232		1,739
Harris		60,600		4,681
Hewlett-Packard		110,018		3,686
Intel		285,300		7,794
International Business Machines		65,753		12,122
Intuit		8,738		693
Juniper Networks *		80,971		1,980
Micros Systems *		65,760		3,513
Microsoft		168,000		6,878
Oracle		116,000		4,874
Polycom *		102,248		1,304
Qualcomm		65,700		5,286
Science Applications International		32,700		1,267
Symantec		22,013		484
Tech Data *		36,400		2,166

				105,388


Materials — 1.1%
Ball		57,700		3,483
Bemis		72,000		2,981
CF Industries Holdings		5,200		1,265
Compass Minerals International		10,157		944
Domtar		25,000		2,272
Scotts Miracle-Gro, Cl A		38,523		2,310

				13,255


Telecommunication Services — 5.2%
AT&T		720,842		25,568
BCE		138,500		6,360
CenturyLink		96,900		3,650
Intelsat *		13,254		257
NTT DOCOMO ADR		91,700		1,531
Rogers Communications, Cl B		67,800		2,736
SK Telecom ADR		207,600		4,947
TELUS		67,200		2,534
TELUS		91,100		3,441
Verizon Communications		256,356		12,808

				63,832


Utilities — 13.2%
AGL Resources		69,900		3,731
Ameren		204,500		8,047
American Electric Power		195,800		10,446
American Water Works		122,920		5,975
Atmos Energy		38,100		1,909
Calpine *		91,300		2,129
CMS Energy		119,400		3,552
Consolidated Edison		101,123		5,563
DTE Energy		125,238		9,533
Duke Energy		47,000		3,341
Edison International		301,391		16,619
Entergy		250,395		18,885
Exelon		335,300		12,349
FirstEnergy		151,166		5,112
NRG Energy		92,600		3,301
PG&E		252,400		11,578
Pinnacle West Capital		48,800		2,704


2		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

U.S. Managed Volatility Fund

May 31, 2014


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

Portland General Electric		145,500	$	4,812
PPL		210,100		7,372
Public Service Enterprise Group		281,200		10,955
SCANA		111,000		5,772
Southern		141,365		6,189
Vectren		12,557		501
Wisconsin Energy		72,600		3,305

				163,680

Total Common Stock (Cost $965,564) ($ Thousands)				1,192,784


CASH EQUIVALENT — 3.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010% ** †		41,520,615		41,521

Total Cash Equivalent (Cost $41,521) ($ Thousands)				41,521


U.S. TREASURY OBLIGATION (A)(B) — 0.1%
U.S. Treasury Bills 0.051%, 07/24/2014	$	1,607		1,607

Total U.S. Treasury Obligation (Cost $1,607) ($ Thousands)				1,607

Total Investments — 100.0% (Cost $1,008,692) ($ Thousands)			$	1,235,912

A list of the open futures contracts held by the Fund at May 31, 2014, is as follows:

Type of Contract

Number of
Contracts
Long

Expiration
Date

Unrealized
Appreciation
($ Thousands)

S&P 500 Index E-MINI

292

Jun-2014

1,032

Percentages are based on a Net Assets of $1,236,524 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2014.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

(A)

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

(B)

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

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

S&P — Standard & Poor’s

The following is a list of the level of inputs used as of May 31, 2014, 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	$	1,192,784	$	—	$	—	$	1,192,784
Cash Equivalent		41,521		—		—		41,521
U.S. Treasury Obligation		—		1,607		—		1,607

Total Investments in Securities	$	1,234,305	$	1,607	$	—	$	1,235,912


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *
Unrealized Appreciation	$	1,032	$	—	$	—	$	1,032

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

For the year ended May 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2014, 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 / Annual Report / May 31, 2014

Schedule of Investments

World Equity Ex-US Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 95.7%

Argentina — 0.1%
MercadoLibre (A)		70,800	$	6,023


Australia — 1.6%
Adelaide Brighton		313,071		982
Australia & New Zealand Banking Group		41,225		1,285
Australia & New Zealand Banking Group ADR		850,800		26,553
AWE*		386,739		639
Bank of Queensland		87,113		973
Bendigo Bank		151,592		1,655
BGP Holdings*		239,898		—
BHP Billiton ADR (A)		330,329		22,423
Boral		477,166		2,354
Brambles		733,141		6,564
Caltex Australia		442,201		9,198
Cochlear		66,479		3,704
CSR		1,182,085		3,774
Downer EDI		196,074		973
DuluxGroup		522,838		2,681
Flight Centre Travel Group		20,974		972
Insurance Australia Group		1,211,310		6,708
Macquarie Group		43,483		2,430
Mineral Resources		148,650		1,412
Mount Gibson Iron		1,388,326		950
Nine Entertainment Holdings*		513,044		1,055
Resolute Mining*		1,184,013		655
Sims Group		35,616		320
Telstra		819,020		4,071
Treasury Wine Estates		730,388		3,535
Western Areas		264,695		1,116
Woolworths		165,257		5,772

				112,754


Austria — 1.0%
Conwert Immobilien Invest		936,500		11,514
Erste Group Bank		631,950		21,981
OMV		47,786		1,981
Schoeller-Bleckmann Oilfield Equipment (A)		272,436		32,499

				67,975


Belgium — 0.6%
Anheuser-Busch InBev		177,948		19,550
bpost		61,020		1,539
Delhaize Group (A)		205,045		14,594
KBC Groep		70,000		4,171

				39,854


Brazil — 2.5%
Banco Bradesco ADR (A)		2,769,222		38,631
Banco do Brasil		2,311,125		23,512
CETIP — Mercados Organizados		171,700		2,208
Cia de Saneamento Basico do Estado de Sao Paulo ADR		3,066,929		30,025
Cia Energetica de Minas Gerais ADR		274,203		1,925
Cia Paranaense de Energia ADR (A)		1,412,400		20,508


Description	Shares		Market Value ($ Thousands)

Cia Vale do Rio Doce ADR, Cl B (A)		1,303,500	$	16,620
Cosan, Cl A		123,279		1,541
EDP — Energias do Brasil		205,000		837
Embraer ADR		246,944		8,949
Kroton Educacional		447,400		11,235
Light		588,000		5,235
Qualicorp*		74,400		782
Telefonica Brasil ADR (A)		215,505		4,334
Tim Participacoes		794,000		4,326

				170,668


Canada — 4.4%
Advantage Oil & Gas*		236,100		1,418
Bank of Montreal (A)		313,500		22,023
Bankers Petroleum*		97,700		586
Canadian Imperial Bank of Commerce		295,600		26,041
Canadian National Railway		286,958		17,378
Canadian Natural Resources		59,700		2,426
Canfor*		207,300		4,569
CCL Industries, Cl B		5,700		552
Celestica*		199,300		2,359
Cenovus Energy		79,900		2,374
Empire, Cl A		25,000		1,508
Enerplus		123,700		2,811
Genworth MI Canada (A)		127,200		4,510
George Weston		7,800		567
Gibson Energy (A)		44,300		1,279
Gran Tierra Energy*		70,617		510
Jean Coutu Group PJC, Cl A		149,800		3,242
Laurentian Bank of Canada		11,200		490
Legacy Oil + Gas*		174,061		1,362
Linamar		30,400		1,687
Lululemon Athletica*,(A)		155,842		6,955
Magna International, Cl A		452,500		46,258
Manulife Financial		1,521,000		27,850
Methanex		72,530		4,141
Mullen Group (A)		106,000		2,841
Norbord (A)		50,192		1,264
Parkland Fuel (A)		12,666		250
Quebecor, Cl B		205,000		4,954
Rio Alto Mining*		123,900		211
Ritchie Bros Auctioneers (A)		133,100		3,055
Rogers Communications, Cl B		292,869		11,847
Royal Bank of Canada		104,100		7,156
Suncor Energy		146,000		5,611
Toronto-Dominion Bank		543,200		26,937
Valeant Pharmaceuticals International*		246,263		32,282
West Fraser Timber		80,900		3,710
Western Energy Services		161,300		1,616
Yamana Gold		1,428,300		10,512

				295,142


Chile — 0.1%
Enersis ADR		230,029		3,727


China — 4.5%
Anhui Conch Cement (A)		12,289,500		44,225
ANTA Sports Products (A)		2,675,000		3,933
Baidu ADR*		277,147		46,006
Bank of China		12,998,000		6,186


1		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

World Equity Ex-US Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

China Construction Bank		33,287,800	$	24,431
China Oilfield Services		11,101,400		27,378
China Petroleum & Chemical		28,751,970		26,071
China Shipping Container Lines*, (A)		42,091,900		10,153
Industrial & Commercial Bank of China		29,441,661		19,139
Mindray Medical International ADR (A)		521,035		16,168
New Oriental Education & Technology Group ADR		308,531		7,966
Sinopharm Group		578,819		1,572
Sun Art Retail Group (A)		1,744,500		2,050
Tencent Holdings		2,776,066		39,137
Vipshop Holdings ADR*		4,920		800
Want Want China Holdings		3,845,000		5,366
Weichai Power		5,394,600		20,144

				300,725


Colombia — 0.2%
Bancolombia ADR, Cl R		296,275		16,511


Czech Republic — 0.2%
Komercni Banka		61,298		14,132


Denmark — 1.2%
Carlsberg, Cl B (B)		255,900		26,723
DSV (B)		209,815		7,012
GN Store Nord (B)		34,192		945
Jyske Bank* (B)		18,824		1,043
Novo Nordisk, Cl B (B)		530,999		22,507
Novozymes, Cl B (B)		138,378		6,790
Pandora (B)		144,487		10,733
Rockwool International, Cl B (B)		2,009		402
Vestas Wind Systems* (B)		61,400		3,303

				79,458


Finland — 1.2%
Kone, Cl B (A)		432,412		17,819
Neste Oil (A)		63,319		1,298
Nokia		4,175,020		33,755
Orion, Cl B (A)		172,992		5,458
Sampo, Cl A		181,980		9,183
Stora Enso, Cl R		958,460		9,828
UPM-Kymmene		110,512		1,947

				79,288


France — 4.0%
Accor (A)		140,695		7,452
Air France-KLM*		476,814		7,277
Air Liquide (A)		47,469		6,921
AtoS (A)		15,444		1,389
Capital Gemini		233,400		16,988
Compagnie Generale des Etablissements Michelin, Cl B		76,121		9,390
Credit Agricole (A)		146,771		2,292
Edenred (A)		150,108		4,710
Essilor International		62,551		6,577
Etablissements Maurel et Prom		53,797		926
Lafarge		109,058		9,430
Lagardere S.C.A.		98,451		3,435
LVMH Moet Hennessy Louis Vuitton		82,511		16,433


Description	Shares		Market Value ($ Thousands)

Orange ADR (A)		1,182,400	$	18,977
Publicis Groupe (A)		154,713		13,359
Safran		130,220		8,847
Sanofi-Aventis		240,800		25,774
Societe Generale (A)		374,464		21,597
Sodexo		179,610		19,323
Technicolor*		206,978		1,529
Teleperformance (A)		133,107		8,338
Thales (A)		57,065		3,419
Total (A)		487,862		34,271
Valeo (A)		137,755		18,515

				267,169


Germany — 6.4%
Aareal Bank		37,925		1,796
adidas		112,369		12,074
BASF		219,645		25,317
Brenntag		29,993		5,609
Continental		70,190		16,613
Deutsche Bank		190,600		7,728
Deutsche Boerse		298,940		22,843
Deutsche Lufthansa		841,188		22,211
Deutsche Post		239,270		8,884
Deutz		84,126		711
DMG MORI SEIKI		46,137		1,470
Drillisch		66,070		2,438
Duerr		43,583		3,733
Freenet		284,864		8,855
Fresenius Medical Care		143,383		9,509
GEA Group		623,830		26,861
Gerresheimer		67,296		4,534
Hannover Rueck		9,392		836
HeidelbergCement		13,985		1,206
Henkel		318,846		32,366
Hochtief		43,473		3,960
Hugo Boss		235,291		33,471
Infineon Technologies		139,925		1,737
KUKA		36,492		2,083
Leoni		19,186		1,537
Merck KGaA		110,610		19,018
MTU Aero Engines		36,291		3,386
Muenchener Rueckversicherungs		115,805		25,694
Norma Group		82,200		4,487
OSRAM Licht*		20,613		1,047
Rheinmetall		119,726		8,213
Rhoen Klinikum		84,359		2,785
SAP		179,685		13,770
Siemens		215,700		28,686
Sky Deutschland*		802,927		7,499
Stada Arzneimittel		36,386		1,710
Suedzucker (A)		355,201		7,222
Symrise		596,310		32,357
TUI		325,831		5,553
United Internet		155,065		7,174

				426,983


Hong Kong — 2.4%
AIA Group		3,895,513		19,520
BOC Hong Kong Holdings		7,945,000		23,928
Chaoda Modern Agriculture*		52,790		—
China Mobile (A)		4,090,432		40,018
China Unicom		462,000		691


2		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

World Equity Ex-US Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Daphne International Holdings (A)		2,806,000	$	1,104
First Pacific		823,589		932
Hang Seng Bank		341,000		5,630
Hong Kong Exchanges and Clearing		1,047,826		19,502
Melco Crown Entertainment ADR (A)		215,630		7,433
Orient Overseas International		4,260,000		21,814
Power Assets Holdings		574,000		4,998
Sands China		1,301,425		9,484
SJM Holdings		1,419,000		4,072
TCL Communication Technology Holdings		1,481,000		1,666

				160,792


India — 1.6%
Apollo Tyres		467,910		1,395
Aurobindo Pharma		136,595		1,548
Britannia Industries		218,750		3,262
Cairn India		249,461		1,425
HCL Technologies		482,554		11,584
ICICI Bank ADR		1,130,476		56,151
Infosys ADR (A)		44,210		2,274
Infosys Technologies		24,677		1,228
State Bank of India		21,050		912
Tata Communications		108,346		638
Tata Motors		580,254		4,076
Tata Motors ADR (A)		538,009		20,035
UPL		381,500		1,949
Wipro		336,059		2,879

				109,356


Indonesia — 0.4%
Bank Rakyat Indonesia Persero		8,261,500		7,218
Indofood Sukses Makmur		20,109,000		11,755
Telekomunikasi Indonesia Persero		16,080,000		3,547
Telekomunikasi Indonesia Persero ADR		122,352		5,344

				27,864


Ireland — 2.8%
Accenture, Cl A		104,107		8,480
Actavis*		212,314		44,913
CRH		213,983		5,876
Endo International*		460,658		32,518
ICON*		804,834		34,020
James Hardie Industries		504,697		6,731
Jazz Pharmaceuticals*		223,727		31,738
Mallinckrodt *,(A)		22,567		1,754
Ryanair Holdings ADR*		148,308		8,433
Smurfit Kappa Group		425,020		10,265

				184,728


Israel — 1.2%
Bank Hapoalim (B)		711,023		4,155
Check Point Software Technologies *,(A)		490,796		31,646
Israel Chemicals (B)		1,454,480		12,841
Teva Pharmaceutical Industries ADR		625,943		31,604

				80,246


Italy — 0.7%


Description	Shares		Market Value ($ Thousands)

Azimut Holding		253,080	$	6,934
Banca Intesa		2,669,066		8,952
Brembo		17,559		691
Exor		391,296		16,819
Fiat (A)		253,165		2,648
Gtech Spa		161,169		4,440
Mediaset*		171,175		846
Safilo Group*		20,195		472
UnipolSai		1,491,780		5,138

				t46,940


Japan — 11.5%
Alfresa Holdings		120,100		7,260
Alpine Electronics		80,100		979
Aoyama Trading		29,400		794
Calsonic Kansei		850,000		5,305
Coca-Cola West		148,100		2,472
Daiichikosho		15,600		460
Daikyo		1,523,000		3,248
Daito Trust Construction		179,400		19,440
Daiwa House Industry		792,000		14,829
Daiwa Securities Group		919,000		7,416
Denso		837,700		38,392
Dowa Holdings		384,000		3,393
FANUC		86,013		14,642
Fast Retailing		17,800		5,876
Fuji Electric		324,000		1,423
Haseko		898,700		6,501
Hino Motors		147,100		1,852
HIS		46,800		1,384
Hitachi		6,741,300		45,319
Isuzu Motors		4,042,600		24,674
IT Holdings		195,100		3,308
Itochu		314,700		3,721
Japan Airlines		400,700		20,912
Japan Exchange Group		1,547,302		37,000
Japan Tobacco		241,217		8,165
KDDI		108,400		6,449
Komatsu		507,800		11,065
Kubota		846,110		11,559
Maeda Road Construction		87,000		1,401
Mazda Motor		930,000		4,022
Medipal Holdings		541,900		7,616
Misawa Homes		98,000		1,118
Mitsubishi Estate		332,420		8,073
Mitsubishi UFJ Financial Group		2,002,821		11,279
Mitsui ADR		89,300		27,209
Mitsui Engineering & Shipbuilding		225,000		436
Mitsui Matsushima		258,000		325
Mitsui Trust Holdings		2,341,841		9,460
Mizuho Financial Group		12,193,700		23,729
Namco Bandai Holdings		495,700		10,806
NEC Networks & System Integration		32,000		737
Nichii Gakkan		210,000		1,810
Nippo		126,000		1,980
Nippon Flour Mills		78,000		412
Nippon Steel & Sumitomo Metal		6,709,000		18,925
Nippon Telegraph & Telephone		386,300		22,940
Nissan Tokyo Sales Holdings		226,000		675
Nitto Denko ADR		919,060		21,212
Nomura Real Estate Holdings		268,800		5,170


3		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

World Equity Ex-US Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

North Pacific Bank		190,300	$	739
Omron		667,755		25,071
Pigeon		44,800		2,085
Rakuten		654,100		8,480
Secom		466,500		28,409
Sega Sammy Holdings		378,000		7,260
Seino Holdings		201,000		2,199
Shimano		49,500		5,108
SKY Perfect JSAT Holdings		425,600		2,213
SMC		31,200		8,157
SoftBank		477,073		34,440
Sojitz		1,858,000		2,958
Sumitomo Mitsui Financial Group		190,000		7,666
Sumitomo Osaka Cement		206,000		743
Suzuken		140,900		4,986
Sysmex		940,408		32,997
Toagosei		341,000		1,491
Toho Holdings		193,600		3,733
Tokai Tokyo Securities		3,540,155		24,112
Tokyo Electron		64,700		3,887
Tokyo Seimitsu		34,700		624
Toyota Motor		504,821		28,584
Toyota Tsusho		239,900		6,354
Trend Micro		138,800		4,297
Watabe Wedding		7,955		47
Yaskawa Electric		2,732,914		33,495
Zenkoku Hosho		115,600		2,851

				770,159


Malaysia — 0.1%
Telekom Malaysia		223,500		430
Tenaga Nasional		940,300		3,529

				3,959


Mexico — 0.3%
America Movil, Ser L		5,668,581		5,475
America Movil ADR, Ser L		633,662		12,249
Gruma, Ser B, Cl B*		59,583		621
Grupo Financiero Inbursa, Cl O		187,689		512

				18,857


Netherlands — 3.1%
AerCap Holdings*		171,080		8,065
Airbus Group		84,392		6,058
ASML Holding		98,077		8,426
Chicago Bridge & Iron (A)		384,836		31,326
Core Laboratories (A)		296,076		47,328
Heineken Holding (A)		191,034		12,619
ING Groep*		945,404		13,255
Koninklijke Boskalis Westminster		13,245		755
LyondellBasell Industries, Cl A		315,957		31,460
NXP Semiconductor*		530,526		32,946
Ternium ADR		42,272		1,202
TomTom*		293,007		2,174
Unilever		212,196		9,196
USG People		106,027		1,677

				206,487


Norway — 2.5%
DnB (A)		2,172,962		40,851
DNO International*		1,101,173		3,996
Norsk Hydro (A)		2,979,774		16,212


Description	Shares		Market Value ($ Thousands)

Petroleum Geo-Services		66,475	$	718
Seadrill		78,504		2,962
Statoil		1,093,780		33,545
Statoil ADR (A)		1,875,043		57,189
Telenor		563,800		13,374
TGS Nopec Geophysical (A)		69,229		2,258

				171,105


Panama — 0.0%
Avianca Holdings ADR		64,397		1,024


Peru — 0.1%
Credicorp		28,600		4,469


Poland — 0.1%
Orange Polska		145,649		502
PGE		699,511		4,836
Tauron Polska Energia		321,681		567

				5,905


Portugal — 0.0%
Galp Energia SGPS, Cl B		112,677		1,999


Qatar — 0.5%
Industries Qatar QSC (B)		641,820		33,358


Russia — 1.0%
Gazprom OAO ADR		222,736		1,820
Lukoil ADR (A)		503,980		28,505
Magnit GDR		135,757		7,901
Mobile Telesystems ADR		621,000		11,482
Sberbank of Russia ADR		1,324,651		13,391
Sistema GDR*		164,041		4,700

				67,799


Singapore — 1.8%
Avago Technologies, Cl A		448,469		31,693
DBS Group Holdings		1,752,000		23,618
Ezion Holdings		3,645,400		6,397
Golden Agri-Resources		54,399,700		24,951
United Overseas Bank		587,000		10,568
United Overseas Bank ADR		719,200		26,043

				123,270


South Africa — 1.2%
FirstRand		1,525,700		5,742
Massmart Holdings		200,684		2,587
Naspers, Cl N		142,603		15,720
Sanlam		739,325		4,129
Sasol		202,757		11,404
Sasol ADR		775,100		43,630
Sibanye Gold		1,284,400		3,180
Telkom*		253,773		928

				87,320


South Korea — 3.5%
Hyundai Mobis		101,053		28,527
Hyundai Motor		44,924		9,886
Kia Motors		258,494		14,898
LG Electronics		17,124		1,224
LG Hausys		28,120		5,278
LG.Philips LCD*		502,340		13,368


4		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

World Equity Ex-US Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

NAVER		10,168	$	7,555
POSCO		62,763		17,779
Samsung Electronics		55,432		78,405
SK Holdings		60,747		10,956
SK Hynix		881,948		38,167
SK Telecom		34,931		7,516

				233,559


Spain — 1.0%
ACS Actividades Construcciones y Servicios		42,974		1,911
Amadeus IT Holding, Cl A (A)		1,055,204		46,408
Banco Bilbao Vizcaya Argentaria		843,098		10,819
Banco Popular Espanol		36		—
Inditex		63,898		9,286

				68,424


Sweden — 2.0%
Atlas Copco, Cl B		440,557		12,169
Electrolux, Cl B		23,731		597
Getinge, Cl B		1,059,097		27,271
Hennes & Mauritz, Cl B		224,972		9,525
Holmen, Cl B		18,627		679
Industrivarden, Cl C		62,679		1,259
JM		9,856		363
NCC, Cl B		63,181		2,217
Nordea Bank		803,024		11,866
Skandinaviska Enskilda Banken, Cl A		487,775		6,634
Skanska, Cl B		292,450		6,786
Svenska Cellulosa, Cl B		139,098		3,878
Svenska Cellulosa ADR		548,000		15,322
Svenska Handelsbanken, Cl A		294,613		15,000
Swedbank, Cl A		706,639		18,831
Volvo, Cl B		339,176		4,940

				137,337


Switzerland — 6.4%
Actelion		352,452		35,089
Credit Suisse Group		1,096,449		32,650
Credit Suisse Group ADR (A)		611,211		18,153
EMS-Chemie Holding		11,280		4,240
Forbo Holding		3,228		3,277
Galenica		1,531		1,516
Georg Fischer		7,504		5,666
Givaudan		20,116		33,033
Helvetia Holding		2,111		1,008
Julius Baer Group		170,871		7,409
Lonza Group		51,286		5,522
Nestle		449,776		35,345
Novartis		201,888		18,135
Novartis ADR		355,666		32,031
OC Oerlikon		604,741		9,268
Roche Holding		204,750		60,352
Swiss Life Holding		45,949		11,067
Swiss Re		95,875		8,542
Transocean (A)		442,709		18,811
UBS		2,233,098		44,914
Zurich Insurance Group ADR (A)		1,348,600		40,579

				426,607


Taiwan — 3.2%


Description	Shares		Market Value ($ Thousands)

Advanced Semiconductor
Engineering ADR (A)		5,156,485	$	33,208
AU Optronics		1,995,000		762
Career Technology MFG.		591,000		877
Elite Advanced Laser		358,000		1,618
Fubon Financial Holding		11,754,949		16,916
Grape King Bio		363,000		1,604
Hermes Microvision		88,000		3,522
Hon Hai Precision Industry		7,118,800		21,937
Hon Hai Precision Industry GDR		752,075		4,685
Innolux*		11,210,000		4,430
Inotera Memories*		24,398,659		36,819
MediaTek		1,850,743		30,058
Pegatron		2,408,000		4,658
Primax Electronics		2,112,000		2,817
Taishin Financial Holding		9,408,336		4,675
Taiwan PCB Techvest		948,000		1,465
Taiwan Semiconductor Manufacturing ADR		2,006,248		41,248
United Microelectronics		3,643,000		1,707
United Microelectronics ADR (A)		1,211,600		2,787

				215,793


Thailand — 0.2%
Krung Thai Bank		1,480,650		852
PTT (Foreign)		73,300		656
PTT Exploration & Production		131,700		616
PTT Global Chemical		2,077,300		4,350
Thanachart Capital		1,205,600		1,249
Total Access Communication		932,900		3,410

				11,133


Turkey — 1.1%
Akbank		5,389,973		21,054
BIM Birlesik Magazalar		218,991		4,815
Eregli Demir ve Celik Fabrikalari		2,239,267		3,336
KOC Holding ADR		532,350		13,037
Turkiye Garanti Bankasi		4,532,798		18,506
Turkiye Is Bankasi, Cl C		5,587,393		15,928

				76,676


United Kingdom — 16.3%
3i Group		5,194,085		37,628
Afren*		570,810		1,461
Amlin		860,523		6,784
Antofagasta		303,201		4,010
ARM Holdings		676,327		10,437
ARM Holdings ADR (A)		1,119,986		51,743
Ashtead Group		427,250		6,310
ASOS*		35,208		2,674
Associated British Foods		524,015		26,527
AstraZeneca		230,317		16,548
AstraZeneca ADR		165,900		11,978
Aviva		980,035		8,614
BAE Systems ADR		950,000		27,132
Barclays		3,642,875		15,093
Berkeley Group Holdings		204,810		7,747
BG Group		259,528		5,315
BHP Billiton		148,983		4,668
BP		313,767		2,647
BP PLC ADR		523,330		26,402
British American Tobacco		201,649		12,178


5		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

World Equity Ex-US Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Britvic		326,710	$	4,091
BT Group, Cl A		884,799		5,892
Burberry Group		393,751		10,125
Capita		497,725		9,242
Carnival		248,176		10,095
Centrica		4,652,600		26,190
Compass Group		421,599		7,040
CSR		64,970		646
Diageo		1,008,631		32,466
Diageo ADR (A)		105,800		13,626
EnQuest*		459,062		1,083
Ensco, Cl A		266,900		14,055
Experian		1,036,713		18,032
Halma		332,440		3,301
Hargreaves Lansdown		238,905		4,885
Home Retail Group		1,009,815		3,191
HSBC Holdings		4,439,021		46,843
Imperial Tobacco Group		623,500		28,154
Interserve		32,790		356
ITV		10,540,878		32,196
Kingfisher		2,068,142		13,598
Liberty Global*		193,037		8,262
Marks & Spencer Group ADR		990,400		14,876
Mondi		476,401		8,558
Pace		370,995		2,335
Pearson		343,440		6,746
Persimmon		1,466,646		32,916
Petrofac		181,512		3,842
Premier Farnell		724,464		2,594
Prudential		418,819		9,733
QinetiQ		404,401		1,418
Reckitt Benckiser Group		187,009		15,998
Rio Tinto		322,429		16,533
Rio Tinto ADR (A)		900,064		46,245
Rolls-Royce Holdings		500,620		8,733
Royal Dutch Shell, Cl A		1,306,856		51,439
Royal Dutch Shell, Cl A (GBP)		120,089		4,724
Royal Dutch Shell ADR, Cl A		518,300		40,738
RPC Group		75,736		774
SABMiller		174,882		9,712
Sage Group ADR		549,076		15,160
Serco Group		1,724,300		10,748
Shire		1,593,019		91,224
St. James’s Place		313,703		4,117
Standard Chartered		741,006		16,686
Subsea 7		1,135,413		22,714
Tesco		4,332,700		22,060
TUI Travel		175,392		1,207
Tullow Oil		451,472		6,384
Wolseley		149,196		8,321
WPP		1,776,906		38,359

				1,094,159


United States — 2.7%
Albany Molecular Research*		32,343		511
Alon USA Energy (A)		89,570		1,339
Amkor Technology*		89,606		906
Andersons		17,332		883
Argan		32,926		1,009
Axis Capital Holdings		589,600		27,116
Basic Energy Services*		133,448		3,630
Cambrex*		91,410		1,964
Carnival, Cl A		582,299		23,310


Description	Shares		Market Value ($ Thousands)

Computer Sciences		173,888	$	10,936
Comstock Resources (A)		34,377		935
Constellium, Cl A*		150,385		4,382
Engility Holdings*		22,303		862
Everest Re Group		211,138		33,786
FBR*		28,306		739
Green Plains Renewable Energy		71,960		2,103
Hawaiian Holdings *,(A)		149,757		2,312
Kindred Healthcare		48,882		1,213
Mastercard, Cl A		132,890		10,159
Matrix Service*		20,698		676
Medifast *,(A)		45,687		1,436
Midcoast Energy Partners (A)		15,669		345
Murphy USA*		22,411		1,140
Myers Industries		20,514		436
NeuStar, Cl A*		31,390		880
Olin		32,689		891
Omega Protein*		28,928		416
OmniVision Technologies*		39,164		880
Pantry*		43,638		737
PBF Energy, Cl A		64,871		2,070
PharMerica*		43,227		1,173
PHH*		39,828		1,014
Pioneer Energy Services*		158,613		2,522
PriceSmart		30,100		2,759
RenaissanceRe Holdings (A)		145,700		15,177
Renewable Energy Group*		52,732		521
Repligen*		99,680		1,918
REX American Resources*		20,894		1,452
RPX*		80,010		1,300
Schlumberger		86,384		8,987
Smith & Wesson Holding *,(A)		136,114		2,162
United Community Banks		50,101		769
Yum! Brands		47,563		3,677

				181,433

Total Common Stock (Cost $5,413,155) ($ Thousands)				6,431,167


PREFERRED STOCK — 1.0%

Brazil — 0.6%
Braskem		106,800		690
Cia Brasileira de Distribuicao, Cl Preference		100,100		4,542
Cia Energetica de Minas Gerais		1,058,754		7,378
Cia Paranaense de Energia		98,000		1,418
Gerdau		900,500		5,380
Itau Unibanco Holding		272,500		4,238
Itau Unibanco Holding ADR		207,700		3,219
Itausa — Investimentos Itau		371,030		1,421
Telefonica Brasil		568,400		11,429

				39,715


Germany — 0.5%
Volkswagen		112,700		29,988

Total Preferred Stock (Cost $65,810) ($ Thousands)				69,703


AFFILIATED PARTNERSHIP —9.2%
SEI Liquidity Fund, L.P.
0.070% ** † (C)		618,024,492		618,024


6		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

World Equity Ex-US Fund

May 31, 2014


Description	Shares/Face Amount (1) (Thousands)		Market Value ($ Thousands)

Total Affiliated Partnership (Cost $618,024) ($ Thousands)			$	618,024


CASH EQUIVALENT — 1.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010% ** †		112,827,032		112,827

Total Cash Equivalent (Cost $112,827) ($ Thousands)				112,827


U.S. TREASURY OBLIGATIONS (D) (E) — 0.2%
U.S. Treasury Bills
0.055%, 08/14/2014		3,500		3,500
0.045%, 01/08/2015		1,200		1,200
0.043%, 07/24/2014		6,666		6,666

Total U.S. Treasury Obligations (Cost $11,365) ($ Thousands)				11,366


TIME DEPOSITS — 2.4%
Brown Brothers Harriman
5.188%, 06/02/2014 ZAR		417		40
2.000%, 06/02/2014 NZD		—		—
1.671%, 06/02/2014 AUD		214		199
0.350%, 06/02/2014 NOK		126		21
0.280%, 06/02/2014 CAD		51		47
0.150%, 06/02/2014 SEK		11,138		1,667
0.081%, 06/02/2014 GBP		1,322		2,218
0.040%, 06/02/2014 EUR		2,014		2,749
0.030%, 06/02/2014		151,869		151,869
0.005%, 06/02/2014 HKD		3,648		471
0.005%, 06/02/2014 JPY		18,232		179
0.005%, 06/02/2014 SGD		37		30
0.001%, 06/02/2014 CHF		2,962		3,313

Total Time Deposits (Cost $162,803) ($ Thousands)				162,803

Total Investments — 110.2% (Cost $6,383,984) ($ Thousands)			$	7,405,890

A list of the open futures contracts held by the Fund at May 31, 2014, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		500		Jun-2014	$	710
FTSE 100 Index		149		Jun-2014		381
Hang Seng Index		17		Jun-2014		11
S&P TSX 60 Index		53		Jun-2014		76
SPI 200 Index		44		Jun-2014		44
Topix Index		104		Jun-2014		(259	)

					$	963

A list of the open forward foreign currency contracts held by the Fund at May 31, 2014, is as follows:


Settlement Date	Currency to Deliver (Thousands)			Currency to Receive (Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)
7/7/14		JPY	2,266,622		USD	21,655	$	(630	)
7/7/14		USD	22,076		JPY	2,266,622		209

							$	(421	)

A list of the counterparties for the open forward foreign currency contracts held by the Fund at May 31, 2014, is as follows:


Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Depreciation ($ Thousands)
State Street		(44,362	)		43,941	$	(421	)

Percentages are based on a Net Assets of $6,723,128 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2014.

†

Investment in Affiliated Security.

(1)

In U.S. dollars unless otherwise indicated.

(A)

This security or a partial position of this security is on loan at May 31, 2014. The total market value of securities on loan at May 31, 2014 was $577,321 ($ Thousands).

(B)

(C)

This security was purchased with cash collateral held from securities on loan (see Note 12). The total value of such securities as of May 31, 2014 was $618,024 ($ Thousands).

(D)

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

(E)

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

ADR — American Depositary Receipt

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

DJ — Dow Jones

EUR — Euro

FTSE — Financial Times and Stock Exchange

GBP — British Pound Sterling

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

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 May 31, 2014, 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	$	6,301,355	$	129,812	$	—	$	6,431,168
Preferred Stock		69,703		—		—		69,703
Affiliated Partnership		—		618,024		—		618,024
Cash Equivalent		112,827		—		—		112,827
U.S. Treasury Obligations		—		11,366		—		11,366
Time Deposits		—		162,803		—		162,803

Total Investments in Securities	$	6,483,885	$	922,005	$	—	$	7,405,890


7		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

World Equity Ex-US Fund

May 31, 2014


Other Financial Instruments	Level 1			Level 2			Level 3		Total
Futures Contracts*
Unrealized Appreciation	$	1,222		$	—		$	—	$	1,222
Unrealized Depreciation		(259	)		—			—		(259	)
Forwards Contracts*
Unrealized Appreciation		—			209			—		209
Unrealized Depreciation		—			(630	)		—		(630	)

Total Other Financial Instruments	$	963		$	(421	)	$	—	$	542

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

For the year ended May 31, 2014, 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.


8		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Screened World Equity Ex-US Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 91.4%

Argentina — 0.1%
Ternium ADR		1,669	$	47


Australia — 1.6%
BGP Holdings *		4,500		—
BHP Billiton ADR		5,192		352
Collins Foods		16,130		29
Commonwealth Bank of Australia		6,854		521
Finbar Group		9,844		15
Insurance Australia Group		25,430		141
Integrated Research		3,648		4
K&S		376		—
Telstra		17,330		86
Watpac		21,979		18
WDS		23,830		22

				1,188


Austria — 2.0%
Conwert Immobilien Invest		14,719		181
Erste Group Bank		9,933		345
OMV		7,293		302
Schoeller-Bleckmann Oilfield Equipment		4,282		511
Strabag		1,589		47
Voestalpine		4,115		191

				1,577


Belgium — 0.9%
Anheuser-Busch InBev		4,815		529
Jensen-Group		478		9
KBC Groep		1,480		88
Recticel		589		6
Sioen Industries		1,719		24
TER Beke		86		7

				663


Brazil — 1.5%
Banco Bradesco ADR		16,029		224
Banco do Brasil		23,000		234
Cia Energetica de Minas Gerais ADR		36,086		253
Cia Paranaense de Energia ADR		13,466		195
Embraer ADR		3,206		116
Kroton Educacional		6,400		161

				1,183


Canada — 6.0%
Akita Drilling, Cl A		300		5
Bank of Nova Scotia		100		6
Calian Technologies		1,266		21
Canadian Imperial Bank of Commerce		1,330		117
Canadian National Railway		7,716		467
Canadian Natural Resources		10,000		406
Canam Group		1,100		14
Canfor *		3,500		77
Canfor Pulp Products		2,300		27
Cascades		2,300		13
Chorus Aviation, Cl A		840		3
Dominion Diamond *		8,500		111


Description	Shares		Market Value ($ Thousands)

Equal Energy		35,792	$	188
Exco Technologies		291		3
Genworth MI Canada		2,000		71
Great Canadian Gaming *		300		4
High Arctic Energy Services		18,329		93
Information Services, Cl A		1,600		28
Lululemon Athletica *		4,984		223
Magellan Aerospace		1,300		13
Magna International, Cl A		4,000		409
Methanex		1,540		88
North American Energy Partners *		3,501		27
Parex Resources *		25,224		273
Ridley		300		6
Rock Energy *		1,108		7
Rogers Communications, Cl B		4,603		186
Royal Bank of Canada		8,900		612
Strad Energy Services		9,558		39
Suncor Energy		3,100		119
Talisman Energy		22,800		235
Toronto-Dominion Bank		7,300		361
Transat AT, Cl A *		700		6
Transcontinental, Cl A		8,100		111
Trimac Transportation		1,300		8
WestJet Airlines, Cl A		1,600		36
Yellow Media *		11,633		222

				4,635


Chile — 0.1%
Enersis ADR		2,614		42


China — 3.9%
Anhui Conch Cement		80,500		290
ANTA Sports Products		56,000		82
Baidu ADR *		1,925		320
Bank of China		275,000		131
China Construction Bank		402,000		295
China Oilfield Services		173,800		429
China Shipping Container Lines *		662,000		160
Industrial & Commercial Bank of China		686,082		446
Mindray Medical International ADR		8,189		254
Sinopharm Group		18,915		51
Tencent Holdings		14,702		207
Weichai Power		85,200		318

				2,983


Colombia — 0.3%
Bancolombia ADR, Cl R		4,657		260


Czech Republic — 0.3%
Komercni Banka		963		222


Denmark — 1.1%
Danske Bank (A)		2,557		72
Novo Nordisk, Cl B (A)		11,915		505
Pandora (A)		2,560		190


1		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Screened World Equity Ex-US Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Vestas Wind Systems *(A)		1,290	$	70

				837


Finland — 1.3%
Apetit		654		17
Atria, Cl A		6,578		64
Cramo		2,440		54
HKScan, Cl A		6,711		36
Kone, Cl B		5,238		216
Neste Oil		13,023		267
Norvestia, Cl B		38		—
Orion, Cl B		2,678		84
Stora Enso, Cl R		10,847		111
Tieto		674		19
UPM-Kymmene		9,844		173

				1,041


France — 6.1%
Accor		4,366		231
Air Liquide		1,565		228
BNP Paribas		5,304		372
Boiron		670		62
Bongrain		344		30
Burelle		141		144
Caisse Regionale de Credit Agricole Mutuel Brie Picardie		652		24
Cegid Group		2,408		108
Compagnie Generale des Etablissements Michelin, Cl B		2,475		305
Constructions Industrielles de la Mediterranee		330		50
Credit Agricole		16,374		256
Credit Agricole Atlantique Vendee		93		12
Credit Agricole Ile de France		82		9
Credit Agricole Toulouse		377		40
Credit Industriel et Commercial		40		9
Fleury Michon		114		9
Fonciere Euris		59		6
Groupe Fnac *		217		11
Groupe Guillin		173		31
Infotel		121		17
Interparfums		4,207		179
Ipsen		2,948		145
Kaufman & Broad *		334		11
Le Belier		2,766		104
LVMH Moet Hennessy Louis Vuitton		2,696		537
PSB Industries *		238		15
Publicis Groupe		5,055		437
Safran		2,740		186
Societe Generale		5,886		339
Sodexo		2,816		303
Sqli *		514		15
Tessi		408		56
UBISOFT Entertainment *		9,335		187
Valeo		1,430		192
Vetoquinol *		450		23

				4,683


Germany — 3.8%
adidas		3,676		395
ADVA Optical Networking *		249		1
BASF		4,006		462


Description	Shares			Market Value ($ Thousands)

BAVARIA Industries Group		272		$	14
Borussia Dortmund GmbH & KGaA		3,994			21
Cewe Stiftung & KGAA		343			25
Constantin Medien *		13,420			25
Continental		1,191			282
Deutsche Bank		6,356			258
Deutsche Lufthansa		10,310			272
Deutsche Post		5,060			188
Drillisch		1,380			51
Freenet		1,400			43
Fresenius Medical Care		4,669			310
Frosta		282			9
Hannover Rueck		50			4
HeidelbergCement		54			5
Leifheit		293			17
Norma Group		1,725			94
Patrizia Immobilien *		4,367			55
SAP		2,888			221
Sixt		1,409	��		60
Ultrasonic *		1,032			11
United Internet		1,680			78
VERBIO Vereinigte BioEnergie *		5,127			14

					2,915


Hong Kong — 3.3%
1010 Printing Group		86,180			10
AIA Group		112,694			565
Champion Technology Holdings		98,000			2
China Mobile		41,068			402
Chuang’s Consortium International		132,000			16
Cinderella Media Group		62,000			10
CSI Properties		810,000			29
Daphne International Holdings		46,000			18
EcoGreen Fine Chemicals Group		564,000			153
Hong Kong Exchanges and Clearing		16,588			309
Keck Seng Investments		8,000			7
Luen Thai Holdings		52,000			15
Melco Crown Entertainment ADR		4,610			159
Orient Overseas International		67,000			343
Pacific Century Premium Developments *		8,000			3
Power Assets Holdings		12,000			105
Sands China		42,112			307
SJM Holdings		30,000			86
TCL Communication Technology Holdings		29,000			33
Wing On International		12,111			33

					2,605


India — 1.2%
ICICI Bank ADR		18,675			928


Indonesia — 0.6%
Asahimas Flat Glass		2,500			1
Astra Graphia		60,600			12
Bank Rakyat Indonesia Persero		197,100			172
Indofood Sukses Makmur		316,000			185


2		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Screened World Equity Ex-US Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Telekomunikasi Indonesia Persero		104,000	$	23
Telekomunikasi Indonesia Persero ADR		1,862		81

				474


Ireland — 1.5%
Accenture, Cl A		3,354		273
Actavis *		1,846		391
ICON *		12,311		520

				1,184


Israel — 0.1%
El Al Israel Airlines *(A)		202,512		38

Italy — 1.4%
Azimut Holding		5,350		147
Banca Intesa		87,906		295
Caltagirone		3,934		15
Danieli & C Officine Meccaniche		145		5
Exor		5,816		250
FNM		94,636		81
Gtech Spa		3,500		96
Italmobiliare *		629		26
La Doria		7,970		73
Servizi Italia		2,213		15
UnipolSai		31,660		109

				1,112


Japan — 9.5%
Alps Logistics		600		6
Anabuki Kosan		5,000		16
AOI Electronics		200		4
Arakawa Chemical Industries		2,300		21
Asahi Broadcasting		8,800		52
AT-Group		4,000		74
Central Security Patrols		2,500		25
Cleanup		500		4
Computer Engineering & Consulting		6,500		39
Daito Trust Construction		700		76
Daiwa House Industry		14,000		262
Daiwa Securities Group		31,000		250
Denso		13,200		605
Dowa Holdings		8,000		71
FANUC		1,781		303
Fuji Kiko		2,000		7
Fukuda Denshi		500		27
Gamecard-Joyco Holdings		400		6
Haruyama Trading		2,700		19
Haseko		19,000		137
Hiroshima Gas		3,200		9
Hitachi		47,000		316
Hokkan Holdings		14,000		39
Hokuriku Electrical Construction		4,000		18
Hokuriku Gas		17,000		42
I K K		1,500		12
IT Holdings		200		3
Itochu		6,700		79
Japan Airlines		3,300		172
Japan Tobacco		7,882		267
KDDI		2,300		137
Keiyo Gas		1,000		5


Description	Shares		Market Value ($ Thousands)

Kitamura		1,700	$	11
Kubota		27,044		369
Kyowa Leather Cloth		2,600		12
Maezawa Kyuso Industries		1,000		14
Marubun		2,400		13
Maruzen - General Commercial Kitchen Appliances & Equipment		4,000		36
Mazda Motor		20,000		87
Medipal Holdings		1,200		17
Mitani		4,600		105
Mitsubishi Estate		10,896		265
Mitsui Trust Holdings		76,894		311
Mizuho Financial Group		26,400		51
Murakami		1,000		14
Natori		1,700		18
NIFTY		900		13
Nippon Rietec		2,000		15
Nippon Steel & Sumitomo Metal		105,000		296
Nippon Telegraph & Telephone		6,700		398
Nishikawa Rubber		400		6
Nisshin Fudosan		10,400		40
Nissin Sugar		2,200		47
Nitto Fuji Flour Milling		4,000		12
Panasonic		6,000		64
Pigeon		900		42
San-Ai Oil		7,691		55
Sanshin Electronics		800		5
Sato Shoji		1,000		6
Secom		7,300		445
Seibu Electric Industry		9,000		40
Shidax		2,600		13
Shinwa		800		9
Shobunsha Publications		4,200		26
SoftBank		3,425		247
Sugimoto		1,000		10
Sumitomo Densetsu		300		3
Sumitomo Mitsui Financial Group		4,100		165
Tachikawa		3,800		19
Toyota Motor		14,491		821
Vital KSK Holdings		400		3
Warabeya Nichiyo		2,900		56
Wood One		3,000		9
Zenkoku Hosho		1,800		44

				7,335


Malaysia — 0.2%
Faber Group		17,200		17
Malaysian Pacific Industries		41,200		61
Tenaga Nasional		16,700		63

				141


Mexico — 1.3%
America Movil, Ser L		240,285		232
America Movil ADR, Ser L		1,967		38
Gruma, Ser B, Cl B *		3,651		38
Grupo Financiero Inbursa, Cl O		112,413		307
Grupo Industrial Maseca, Cl B *		4,324		7
Grupo KUO De		900		2
Industrias Bachoco		53,147		231


3		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Screened World Equity Ex-US Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Industrias Bachoco ADR		2,630	$	136

				991


Netherlands — 3.8%
AerCap Holdings *		3,620		171
Airbus Group		6,115		439
Akzo Nobel		4,752		356
ASML Holding		3,186		274
Core Laboratories		4,624		739
DOCdata *		492		13
ING Groep *		31,051		435
SNS Reaal *(A)		1,762		1
Unilever		12,244		531

				2,959


New Zealand — 0.4%
Air New Zealand		8,185		15
Fletcher Building		34,093		259
				274

Norway — 1.7%
DnB		50,844		956
Kvaerner		60,031		118
Norsk Hydro		46,834		255

				1,329


Philippines — 0.1%
Top Frontier Investment Holdings *		34,380		70


Poland — 0.4%
Getin Holding *		3,605		4
Pelion		590		15
PGE		36,075		249
Tauron Polska Energia		35,607		63

				331


Portugal — 0.0%
Portucel		4,792		24

Russia — 0.2%
Lukoil ADR		1,740		98
Lukoil OAO ADR		170		10
Surgutneftegas ADR		3,407		25

				133


Singapore — 1.3%
China Yuchai International		1,105		23
DBS Group Holdings		37,000		499
Ezion Holdings		77,800		136
Frencken Group		50,000		15
Golden Agri-Resources		8,000		4
GP Batteries International		11,708		5
Hong Leong Finance		4,000		9
Lantrovision Singapore		24,000		10
NatSteel		14,000		19
New Toyo International Holdings		112,000		27
Oversea-Chinese Banking		2,000		16
Popular Holdings		23,000		5
QAF		6,792		5
Sunningdale Tech		173,000		23


Description	Shares		Market Value ($ Thousands)

United Industrial		85,000	$	228

				1,024


South Africa — 0.9%
FirstRand		84,811		319
Sanlam		15,500		87
Sasol		3,454		194
Sibanye Gold		26,980		67
Standard Bank Group		997		13
Telkom *		9,767		36

				716


South Korea — 3.4%
Hyundai Mobis		1,350		381
Kia Motors		3,711		214
LG Hausys		590		111
LG.Philips LCD *		510		14
NEOWIZ HOLDINGS *		3,659		47
POSCO		986		279
Samsung Electronics		788		1,115
SK Holdings		759		137
SK Hynix		6,380		276
Taekwang Industrial		36		45
YESCO		790		29

				2,648


Spain — 1.6%
Amadeus IT Holding, Cl A		19,819		872
Banco Bilbao Vizcaya Argentaria		27,284		350

				1,222


Sweden — 1.7%
Bilia, Cl A		6,026		187
BillerudKorsnas		5,820		87
Biotage		11,046		19
Eolus Vind, Cl B		9,772		48
Getinge, Cl B		16,646		429
Hennes & Mauritz, Cl B		7,415		314
Skanska, Cl B		6,190		144
Svenska Cellulosa, Cl B		4,375		122

				1,350


Switzerland — 6.2%
Credit Suisse Group ADR		9,607		285
EMS-Chemie Holding		240		90
Julius Baer Group		5,583		242
Nestle		7,497		589
Novartis		6,509		585
Novartis ADR		5,590		503
Roche Holding		4,797		1,414
Siegfried Holding		1,124		202
Swiss Life Holding		31		7
Swiss Re		1,510		135
Transocean		6,958		296
UBS		20,393		410

				4,758


Taiwan — 2.4%
Advanced Semiconductor Engineering ADR		79,073		509
Grape King Bio		8,000		35
Hermes Microvision		2,000		80
Hon Hai Precision Industry		92,944		286
Hon Hai Precision Industry GDR		20,150		126


4		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Screened World Equity Ex-US Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Pegatron		3,633	$	7
Taishin Financial Holding		141,541		70
Taiwan Semiconductor Manufacturing		11,000		44
Taiwan Semiconductor Manufacturing ADR		33,192		683

				1,840


Thailand — 0.6%
Advanced Info Service		11,700		81
PTT (Foreign)		13,000		116
PTT Exploration & Production		36,100		169
PTT Global Chemical		26,700		56
Total Access Communication		2,100		8

				430


Turkey — 1.1%
Akbank		84,716		331
Turkiye Garanti Bankasi		71,244		291
Turkiye Is Bankasi, Cl C		65,354		186

				808


United Kingdom — 14.3%
3i Group		17,440		126
ARM Holdings ADR		17,592		813
Ashtead Group		9,050		134
Associated British Foods		9,996		506
AstraZeneca		6,447		463
Aviva		33,573		295
Berkeley Group Holdings		4,330		164
BHP Billiton		3,609		113
BP		41,595		351
BP PLC ADR		5,984		302
British Polythene Industries		1,992		22
Britvic		6,905		86
BT Group, Cl A		27,840		185
Burberry Group		9,845		253
Carnival		8,060		328
CML Microsystems		2,278		20
Compass Group		13,296		222
CSR ADR		1,749		70
Dart Group		7,297		34
Diageo		16,325		526
Ensco, Cl A		1,600		84
Experian		19,560		340
Gem Diamonds *		2,656		7
Halma		7,030		70
HSBC Holdings		76,963		812
Impellam Group		683		5
Kingfisher		67,765		446
Liberty Global *		6,100		261
Mecom Group		19,280		38
Mondi		3,008		54
NWF Group *		20,576		54
Pace		5,370		34
Pearson		11,218		220
Persimmon		6,250		140
Reckitt Benckiser Group		6,052		518
Rio Tinto		3,620		186
Rio Tinto ADR		7,493		385
RM		14,579		37
Rolls-Royce Holdings		6,902		120
SABMiller		5,714		317
Shire		16,004		917


Description	Shares		Market Value ($ Thousands)

St. Ives		2,512	$	9
Standard Chartered		11,996		270
Subsea 7		17,846		357
Trinity Mirror *		19,515		53
TUI Travel		642		4
Urban & Civic *		3,364		14
Vodafone Group ADR		120		4
WPP		9,301		201
Xchanging		23,731		60

				11,030


United States — 3.2%
Adams Resources & Energy		651		41
Broadwind Energy *		3,061		34
Carnival, Cl A		9,152		366
Computer Sciences		491		31
Core Molding Technologies *		347		4
Covenant Transportation Group, Cl A *		464		5
Everest Re Group		3,319		531
GAMCO Investors, Cl A		226		17
Handy & Harman *		732		16
LS Starrett, Cl A		381		6
Mastercard, Cl A		4,191		320
Medical Action Industries *		2,029		14
NCI, Cl A *		2,183		21
Pilgrim’s Pride *		4,933		126
Pioneer Energy Services *		3,719		59
Reading International, Cl A *		500		5
Schlumberger		2,704		281
Silvercrest Asset Management Group, Cl A		784		14
SL Industries *		961		29
Southwest Airlines		6,433		170
Star Gas Partners		5,008		32
Valero Energy		3,733		209
Willis Lease Finance *		1,125		21
Yum! Brands		1,438		111

				2,463

Total Common Stock (Cost $60,916) ($ Thousands)				70,493


PREFERRED STOCK — 1.3%

Brazil — 1.2%
Centrais Eletricas de Santa Catarina		6,400		43
Cia Brasileira de Distribuicao ADR		6,812		309
Itau Unibanco Holding		5,000		78
Petroleo Brasileiro, Cl Preference		30,900		231
Vale, Cl A		24,000		276

				937


Germany — 0.1%
Hornbach Holding		312		30
STO & KGaA		95		20
Westag & Getalit		305		8
				58

Total Preferred Stock (Cost $1,094) ($ Thousands)				995


5		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Schedule of Investments

Screened World Equity Ex-US Fund

May 31, 2014


Description	Shares/Face Amount (1) (Thousands)		Market Value ($ Thousands)

CASH EQUIVALENT — 2.6%
SEI Daily Income Trust, Prime
Obligation Fund, Cl A
0.010% ** †		1,978,159	$	1,978

Total Cash Equivalent (Cost $1,978) ($ Thousands)				1,978

U.S. TREASURY OBLIGATION (B) (C) — 0.2%
U.S. Treasury Bills
0.064%, 07/24/2014		180		180

Total U.S. Treasury Obligation (Cost $180) ($ Thousands)				180


TIME DEPOSITS — 3.1%
Brown Brothers Harriman
5.188%, 06/02/2014 ZAR		68		6
2.000%, 06/02/2014 NZD		7		6
1.671%, 06/02/2014 AUD		57		53
0.350%, 06/02/2014 NOK		92		16
0.280%, 06/02/2014 CAD		30		28
0.150%, 06/02/2014 SEK		122		18
0.081%, 06/02/2014 GBP		39		65
0.040%, 06/02/2014 EUR		151		206
0.030%, 06/02/2014		1,810		1,810
0.005%, 06/02/2014 HKD		166		21
0.005%, 06/02/2014 JPY		4,662		46
0.005%, 06/02/2014 SGD		13		11
0.001%, 06/02/2014 CHF		65		72
0.000%, 06/02/2014 DKK		93		17

Total Time Deposits (Cost $2,375) ($ Thousands)				2,375

Total Investments — 98.6% (Cost $66,543) ($ Thousands)			$	76,021

A list of the open futures contracts held by the Fund at May 31, 2014, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		22		Jun-2014	$	46
FTSE 100 Index		7		Jun-2014		27
Hang Seng Index		1		Jun-2014		1
S&P TSX 60 Index		2		Jun-2014		4
SPI 200 Index		1		Jun-2014		4
Topix Index		4		Jun-2014		(6	)

					$	76

Percentages are based on a Net Assets of $77,117 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of May 31, 2014.

†

Investment in Affiliated Security.

(1)

In U.S. dollars unless otherwise indicated.

(A)

(B)

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

(C)

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

ADR — American Depositary Receipt

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

DJ — Dow Jones

EUR — Euro

FTSE — Financial Times and Stock Exchange

GBP — British Pound Sterling

GDR — Global Depositary Receipt

HKD — Hong Kong Dollar

JPY — Japanese Yen

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 May 31, 2014, 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	$	69,617	$	876	$	—	$	70,493
Preferred Stock		995		—		—		995
Cash Equivalent		1,978		—		—		1,978
U.S. Treasury Obligation		—		180		—		180
Time Deposits		—		2,375		—		2,375

Total Investments in Securities	$	72,590	$	3,431	$	—	$	76,021


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts *
Unrealized Appreciation	$	82		$	—	$	—	$	82
Unrealized Depreciation		(6	)		—		—		(6	)

Total Other Financial Instruments	$	76		$	—	$	—	$	76

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

For the year ended May 31, 2014, there were transfers between Level 1 and Level 2 assets and liabilities. The primary reason for changed in the classifications between Levels 1 and 2 occurs when foreign equity securities are fair valued using other observable market-based inputs in place of the closing exchange price due to events occurring after the close of the exchange or market on which the investment is principally traded.

For the year ended May 31, 2014, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

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


6		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Consolidated Schedule of Investments

Dynamic Asset Allocation Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 98.4%

Consumer Discretionary — 11.7%
Amazon.com *		33,100	$	10,345
AutoNation *		5,600		320
AutoZone *		3,100		1,651
Bed Bath & Beyond *		19,700		1,199
Best Buy		22,300		617
BorgWarner		19,200		1,208
Cablevision Systems, Cl A		17,100		301
Carmax *		19,900		882
Carnival, Cl A		40,100		1,605
CBS, Cl B		49,900		2,975
Chipotle Mexican Grill, Cl A *		2,700		1,477
Coach		24,200		985
Comcast, Cl A		234,500		12,241
Darden Restaurants		11,100		556
Delphi Automotive		24,200		1,671
DIRECTV *		42,900		3,537
Discovery Communications, Cl A *		19,300		1,485
Dollar General *		26,900		1,447
Dollar Tree *		18,100		960
DR Horton		24,000		568
Expedia		9,200		674
Family Dollar Stores		8,300		486
Ford Motor		353,100		5,805
Fossil Group *		4,400		461
GameStop, Cl A		10,400		393
Gannett		20,900		581
Gap		22,600		932
Garmin		11,300		666
General Motors		118,800		4,108
Genuine Parts		14,400		1,243
Goodyear Tire & Rubber		27,200		717
Graham Holdings, Cl B		300		203
H&R Block		22,800		679
Harley-Davidson		18,600		1,325
Harman International Industries		5,500		578
Hasbro		10,800		580
Home Depot		125,400		10,061
International Game Technology		19,800		248
Interpublic Group		35,600		681
Johnson Controls		60,300		2,916
Kohl’s		17,700		964
L Brands		21,400		1,228
Leggett & Platt		10,400		353
Lennar, Cl A		14,200		581
Lowe’s		92,900		4,374
Macy’s		32,000		1,917
Marriott International, Cl A		20,900		1,288
Mattel		31,100		1,208
McDonald’s		89,300		9,058
Michael Kors Holdings *		15,200		1,435
Mohawk Industries *		5,100		692
NetFlix *		5,500		2,298
Newell Rubbermaid		24,100		706
News *		44,800		764
NIKE, Cl B		66,300		5,099
Nordstrom		12,200		830
Omnicom Group		22,300		1,587
O’Reilly Automotive *		9,900		1,465
PetSmart		8,600		494


Description	Shares		Market Value ($ Thousands)

priceline.com *		4,600	$	5,882
PulteGroup		28,700		561
PVH		7,100		935
Ralph Lauren, Cl A		5,200		798
Ross Stores		19,900		1,362
Scripps Networks Interactive, Cl A		9,200		703
Staples		53,400		601
Starbucks		66,900		4,900
Starwood Hotels & Resorts Worldwide		16,200		1,294
Target		56,400		3,201
Tiffany		9,400		934
Time Warner		80,900		5,649
Time Warner Cable, Cl A		25,200		3,557
TJX		63,400		3,452
Tractor Supply		12,100		787
TripAdvisor *		10,000		972
Twenty-First Century Fox, Cl A		175,700		6,222
Under Armour, Cl A *		14,200		721
Urban Outfitters *		10,300		345
VF		32,700		2,061
Viacom, Cl B		36,300		3,097
Walt Disney		146,600		12,316
Whirlpool		7,300		1,048
Wyndham Worldwide		11,500		850
Wynn Resorts		7,400		1,591
Yum! Brands		39,900		3,085

				182,632


Consumer Staples — 9.6%
Altria Group		180,100		7,485
Archer-Daniels-Midland		57,800		2,598
Avon Products		34,000		486
Brown-Forman, Cl B		13,700		1,270
Campbell Soup		15,100		693
Clorox		10,700		959
Coca-Cola		340,700		13,938
Coca-Cola Enterprises		22,500		1,027
Colgate-Palmolive		78,000		5,335
ConAgra Foods		36,100		1,166
Constellation Brands, Cl A *		14,800		1,245
Costco Wholesale		38,800		4,501
CVS Caremark		106,700		8,357
Dr. Pepper Snapple Group		17,600		1,016
Estee Lauder, Cl A		23,900		1,831
General Mills		56,900		3,126
Hershey		13,000		1,265
Hormel Foods		11,200		551
JM Smucker		9,400		964
Kellogg		23,700		1,635
Keurig Green Mountain		11,300		1,274
Kimberly-Clark		34,600		3,888
Kraft Foods Group		54,666		3,250
Kroger		45,700		2,182
Lorillard		33,600		2,089
McCormick		11,600		839
Mead Johnson Nutrition, Cl A		17,500		1,566
Molson Coors Brewing, Cl B		13,100		861
Mondelez International, Cl A		151,000		5,681
Monster Beverage *		12,100		839
PepsiCo		137,000		12,101
Philip Morris International		140,900		12,475
Procter & Gamble		243,400		19,664
Reynolds American		28,900		1,723
Safeway		21,800		749


1		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Consolidated Schedule of Investments

Dynamic Asset Allocation Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Sysco		53,800	$	2,019
Tyson Foods, Cl A		24,200		1,028
Walgreen		78,400		5,638
Wal-Mart Stores		143,900		11,047
Whole Foods Market		33,800		1,292

				149,653


Energy — 10.3%
Anadarko Petroleum		44,900		4,618
Apache		35,700		3,328
Baker Hughes		38,900		2,743
Cabot Oil & Gas		36,400		1,319
Cameron International *		19,600		1,254
Chesapeake Energy		46,900		1,347
Chevron		171,300		21,034
ConocoPhillips		110,600		8,841
CONSOL Energy		19,100		844
Denbury Resources		31,000		524
Devon Energy		33,500		2,476
Diamond Offshore Drilling		5,000		255
Ensco, Cl A		20,200		1,064
EOG Resources		49,000		5,184
EQT		13,200		1,411
Exxon Mobil		387,200		38,925
FMC Technologies *		20,700		1,202
Halliburton		75,500		4,880
Helmerich & Payne		9,200		1,012
Hess		24,300		2,219
Kinder Morgan		59,177		1,976
Marathon Oil		64,400		2,361
Marathon Petroleum		27,100		2,422
Murphy Oil		16,000		987
Nabors Industries		22,800		598
National Oilwell Varco		38,400		3,144
Newfield Exploration *		10,000		365
Noble		22,700		714
Noble Energy		32,800		2,364
Occidental Petroleum		70,800		7,058
ONEOK		19,200		1,238
Peabody Energy		20,200		326
Phillips 66		52,000		4,409
Pioneer Natural Resources		12,800		2,690
QEP Resources		14,900		476
Range Resources		15,500		1,441
Rowan, Cl A		9,100		282
Schlumberger		117,600		12,235
Southwestern Energy *		32,500		1,478
Spectra Energy		58,900		2,390
Tesoro		11,500		646
Transocean		28,600		1,215
Valero Energy		48,700		2,730
Williams		60,700		2,850

				160,875


Financials — 15.5%
ACE		30,500		3,163
Aflac		41,800		2,559
Allstate		41,100		2,394
American Express		80,900		7,402
American International Group		129,400		6,997
American Tower, Cl A ‡		35,000		3,137
Ameriprise Financial		16,900		1,903
Aon		27,200		2,446
Apartment Investment & Management, Cl A ‡		10,800		340
Assurant		6,300		427


Description	Shares		Market Value ($ Thousands)

AvalonBay Communities ‡		11,200	$	1,589
Bank of America		950,100		14,385
Bank of New York Mellon		102,500		3,542
BB&T		61,900		2,347
Berkshire Hathaway, Cl B *		161,600		20,740
BlackRock, Cl A		11,341		3,458
Boston Properties ‡		13,100		1,581
Capital One Financial		51,400		4,055
CBRE Group, Cl A *		25,800		770
Charles Schwab		104,300		2,630
Chubb		22,800		2,113
Cincinnati Financial		12,500		613
Citigroup		270,300		12,858
CME Group, Cl A		28,600		2,059
Comerica		16,100		773
Crown Castle International ‡		29,000		2,225
Discover Financial Services		42,100		2,490
ETRADE Financial		26,700		544
Equity Residential ‡		29,400		1,817
Essex Property Trust ‡		5,400		977
Fifth Third Bancorp		75,400		1,560
Franklin Resources		37,500		2,070
General Growth Properties ‡		46,400		1,106
Genworth Financial, Cl A *		45,000		765
Goldman Sachs Group		37,300		5,961
Hartford Financial Services Group		41,100		1,424
HCP ‡		38,800		1,620
Health Care ‡		25,200		1,593
Host Hotels & Resorts ‡		64,900		1,432
Hudson City Bancorp		35,200		344
Huntington Bancshares		69,700		646
IntercontinentalExchange Group		10,369		2,036
Invesco		38,500		1,413
JPMorgan Chase		340,000		18,894
KeyCorp		77,000		1,054
Kimco Realty ‡		34,000		779
Legg Mason		9,300		454
Leucadia National		27,500		705
Lincoln National		22,400		1,074
Loews		26,700		1,152
M&T Bank		11,700		1,420
Macerich ‡		11,400		753
Marsh & McLennan		50,100		2,518
McGraw-Hill		23,200		1,897
MetLife		99,500		5,068
Moody’s		16,600		1,420
Morgan Stanley		123,500		3,811
NASDAQ OMX Group		9,100		345
Navient		36,900		583
Northern Trust		19,500		1,178
People’s United Financial		25,600		368
Plum Creek Timber ‡		16,400		740
PNC Financial Services Group		47,400		4,042
Principal Financial Group		23,800		1,113
Progressive		48,100		1,204
Prologis ‡		45,500		1,889
Prudential Financial		41,300		3,393
Public Storage ‡		13,200		2,275
Regions Financial		132,800		1,353
Simon Property Group ‡		27,600		4,594
SunTrust Banks		46,300		1,774
T. Rowe Price Group		24,400		1,989
Torchmark		7,700		623


2		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Consolidated Schedule of Investments

Dynamic Asset Allocation Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

Travelers		32,000	$	2,990
Unum Group		22,900		777
US Bancorp		164,800		6,953
Ventas ‡		27,000		1,804
Vornado Realty Trust ‡		16,300		1,745
Washington Prime Group * ‡		1,400		28
Wells Fargo		429,700		21,820
Weyerhaeuser ‡		49,700		1,561
XL Group, Cl A		24,500		795
Zions Bancorporation		17,300		495

				241,734


Health Care — 13.1%
Abbott Laboratories		138,500		5,541
AbbVie		143,500		7,796
Actavis *		15,900		3,364
Aetna		32,318		2,506
Agilent Technologies		28,700		1,634
Alexion Pharmaceuticals *		18,100		3,010
Allergan		26,500		4,438
AmerisourceBergen		21,500		1,573
Amgen		67,400		7,818
Baxter International		48,500		3,609
Becton Dickinson		17,100		2,013
Biogen Idec *		21,400		6,835
Boston Scientific *		122,700		1,574
Bristol-Myers Squibb		148,600		7,391
C.R. Bard		6,400		947
Cardinal Health		30,900		2,183
CareFusion *		18,700		803
Celgene *		35,800		5,479
Cerner *		25,400		1,373
Cigna		25,000		2,245
Covidien		40,800		2,983
DaVita *		15,700		1,108
Dentsply International		12,400		586
Edwards Lifesciences *		9,600		780
Eli Lilly		89,400		5,352
Express Scripts Holding *		69,600		4,974
Forest Laboratories *		21,500		2,038
Gilead Sciences *		137,300		11,150
Hospira *		13,800		679
Humana		14,200		1,767
Intuitive Surgical *		3,500		1,294
Johnson & Johnson		253,700		25,740
Laboratory Corp of America Holdings *		7,700		790
McKesson		20,500		3,888
Medtronic		89,600		5,468
Merck		264,300		15,292
Mylan Laboratories *		34,800		1,734
Patterson		6,800		266
PerkinElmer		8,500		382
Perrigo		12,100		1,672
Pfizer		573,396		16,990
Quest Diagnostics		13,100		785
Regeneron Pharmaceuticals *		6,800		2,087
St. Jude Medical		26,600		1,726
Stryker		25,900		2,188
Tenet Healthcare *		7,900		371
Thermo Fisher Scientific		34,400		4,022
UnitedHealth Group		88,400		7,039
Varian Medical Systems *		9,700		800
Vertex Pharmaceuticals *		20,500		1,481
Waters *		7,200		721
WellPoint		25,700		2,785


Description	Shares		Market Value ($ Thousands)

Zimmer Holdings		15,300	$	1,597
Zoetis, Cl A		47,167		1,448

				204,115


Industrials — 10.6%
3M		56,200		8,011
ADT		18,300		589
Allegion		7,433		389
Ametek		20,600		1,093
Boeing		60,700		8,210
C.H. Robinson Worldwide		12,500		748
Caterpillar		57,100		5,837
Cintas		7,800		485
CSX		88,000		2,587
Cummins		15,800		2,416
Danaher		54,100		4,243
Deere		33,400		3,045
Delta Air Lines		76,000		3,033
Dover		15,600		1,360
Dun & Bradstreet		3,500		361
Eaton		43,501		3,206
Emerson Electric		64,000		4,271
Equifax		10,200		722
Expeditors International of Washington		18,500		842
Fastenal		24,100		1,175
FedEx		25,100		3,618
Flowserve		11,900		878
Fluor		15,200		1,141
General Dynamics		29,500		3,484
General Electric		900,000		24,111
Honeywell International		70,900		6,604
Illinois Tool Works		34,900		3,021
Ingersoll-Rand		23,500		1,406
Iron Mountain		15,827		493
Jacobs Engineering Group *		11,000		606
Joy Global		8,800		503
Kansas City Southern		10,200		1,097
L-3 Communications Holdings, Cl 3		7,600		921
Lockheed Martin		24,000		3,928
Masco		30,100		641
Nielsen Holdings		27,000		1,303
Norfolk Southern		27,800		2,801
Northrop Grumman		19,800		2,407
Paccar		32,200		2,040
Pall		9,300		788
Parker Hannifin		12,900		1,615
Pentair		18,346		1,369
Pitney Bowes		16,500		456
Precision Castparts		13,000		3,289
Quanta Services *		17,700		601
Raytheon		28,700		2,800
Republic Services, Cl A		23,400		828
Robert Half International		13,000		593
Rockwell Automation		12,200		1,477
Rockwell Collins		11,300		893
Roper Industries		9,200		1,304
Ryder System		4,900		425
Snap-on		5,300		621
Southwest Airlines		60,000		1,587
Stanley Black & Decker		14,400		1,258
Stericycle *		7,500		858
Textron		26,300		1,032
Tyco International		40,100		1,750
Union Pacific		40,400		8,051


3		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Consolidated Schedule of Investments

Dynamic Asset Allocation Fund

May 31, 2014


Description	Shares		Market Value ($ Thousands)

United Parcel Service, Cl B		62,800	$	6,524
United Technologies		76,000		8,833
Waste Management		36,700		1,640
WW Grainger		5,200		1,343
Xylem		16,000		597

				164,158


Information Technology — 18.6%
Accenture, Cl A		57,300		4,667
Adobe Systems *		40,300		2,601
Akamai Technologies *		14,800		804
Alliance Data Systems *		4,800		1,229
Altera		28,400		941
Amphenol, Cl A		13,300		1,274
Analog Devices		26,700		1,399
Apple		79,900		50,577
Applied Materials		109,400		2,209
Autodesk *		19,600		1,026
Automatic Data Processing		43,000		3,426
Avago Technologies, Cl A		23,400		1,654
Broadcom, Cl A		47,400		1,511
CA		27,500		789
Cisco Systems		463,700		11,416
Citrix Systems *		15,600		967
Cognizant Technology Solutions, Cl A *		54,400		2,644
Computer Sciences		13,100		824
Corning		126,500		2,694
eBay *		105,700		5,362
Electronic Arts *		27,600		969
EMC		181,600		4,823
F5 Networks *		6,500		706
Facebook, Cl A *		154,000		9,748
Fidelity National Information Services		26,700		1,446
First Solar *		6,800		420
Fiserv *		22,200		1,334
FLIR Systems		11,600		405
Google, Cl A *		25,400		14,520
Google, Cl C *		25,400		14,249
Harris		9,100		703
Hewlett-Packard		171,700		5,752
Intel		447,400		12,223
International Business Machines		87,900		16,205
Intuit		25,800		2,046
Jabil Circuit		14,700		277
Juniper Networks *		44,400		1,086
Kla-Tencor		14,700		963
Lam Research		14,687		911
Linear Technology		19,600		905
Mastercard, Cl A		91,000		6,957
Microchip Technology		16,500		785
Micron Technology *		97,500		2,788
Microsoft		677,300		27,729
Motorola Solutions		19,900		1,342
NetApp		30,000		1,110
Nvidia		51,800		984
Oracle		307,800		12,934
Paychex		28,600		1,176
Qualcomm		150,700		12,124
Red Hat *		16,600		832
Salesforce.com *		49,600		2,610
SanDisk		20,600		1,991
Seagate Technology		30,400		1,633
Symantec		63,900		1,405


Description	Shares		Market Value ($ Thousands)

TE Connectivity		36,100	$	2,146
Teradata *		13,700		575
Texas Instruments		97,300		4,571
Total System Services		12,500		378
VeriSign *		12,600		631
Visa, Cl A		45,700		9,818
Western Digital		19,700		1,731
Western Union		49,200		796
Xerox		100,400		1,240
Xilinx		24,200		1,136
Yahoo! *		84,300		2,921

				290,048


Materials — 3.5%
Air Products & Chemicals		19,100		2,291
Airgas		5,500		585
Alcoa		101,100		1,376
Allegheny Technologies		8,500		349
Avery Dennison		7,400		375
Ball		12,700		767
Bemis		8,000		331
CF Industries Holdings		5,000		1,217
Dow Chemical		108,900		5,676
E.I. du Pont de Nemours		83,000		5,753
Eastman Chemical		12,900		1,139
Ecolab		24,400		2,664
FMC		11,300		865
Freeport-McMoRan Copper & Gold, Cl B		92,700		3,157
International Flavors & Fragrances		7,400		734
International Paper		38,000		1,810
LyondellBasell Industries, Cl A		39,000		3,883
MeadWestvaco		15,200		617
Monsanto		47,000		5,727
Mosaic		28,600		1,430
Newmont Mining		44,000		1,007
Nucor		29,200		1,478
Owens-Illinois *		14,500		482
PPG Industries		12,600		2,540
Praxair		26,300		3,478
Sealed Air		17,200		566
Sherwin-Williams		7,400		1,514
Sigma-Aldrich		9,900		975
United States Steel		11,800		272
Vulcan Materials		11,800		719

				53,777


Telecommunication Services — 2.5%
AT&T		467,800		16,593
CenturyLink		53,900		2,031
Frontier Communications		87,800		508
Verizon Communications		371,800		18,575
Windstream Holdings		55,000		526

				38,233


Utilities — 3.0%
AES		57,700		814
AGL Resources		10,900		582
Ameren		21,300		838
American Electric Power		42,800		2,283
Centerpoint Energy		35,300		852
CMS Energy		22,400		666
Consolidated Edison		26,900		1,480
Dominion Resources		53,100		3,662
DTE Energy		15,500		1,180


4		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Consolidated Schedule of Investments

Dynamic Asset Allocation Fund

May 31, 2014


Description	Shares/Face Amount (Thousands) (1)/Contracts		Market Value ($ Thousands)
Duke Energy		63,430	$	4,509
Edison International		28,100		1,549
Entergy		17,000		1,282
Exelon		76,200		2,806
FirstEnergy		36,900		1,248
Integrys Energy Group		7,000		406
NextEra Energy		38,500		3,748
NiSource		27,900		1,043
Northeast Utilities		27,400		1,244
NRG Energy		28,400		1,012
Pepco Holdings		23,200		643
PG&E		41,100		1,885
Pinnacle West Capital		10,100		560
PPL		54,200		1,902
Public Service Enterprise Group		43,500		1,695
SCANA		11,000		572
Sempra Energy		20,700		2,077
Southern		78,800		3,450
TECO Energy		16,000		276
Wisconsin Energy		19,100		869
Xcel Energy		43,100		1,326

				46,459

Total Common Stock (Cost $1,187,057) ($ Thousands)				1,531,684


EXCHANGE TRADED FUND — 0.4%
SPDR S&P 500		33,347		6,424

Total Exchange Traded Fund (Cost $5,974) ($ Thousands)				6,424


TIME DEPOSIT — 0.3%
Brown Brothers Harriman
0.030%, 06/02/2014		4,643		4,643

Total Time Deposit (Cost $4,643) ($ Thousands)				4,643

Total Investments — 99.1% (Cost $1,193,047) ($ Thousands)			$	1,542,751

PURCHASED OPTIONS — 0.0%
CBOE Volatility
Index, Expires
07/16/2014, Strike
Price:
$22 *		10,000	$	300
EUR Currency Option Put, Expires
07/02/2014, Strike
Rate: 1.320% *		299,242,000		241

Total Purchased Options (Cost $2,099) ($ Thousands)			$	541

A list of the open forward foreign currency contracts held by the Fund at May 31, 2014, is as follows:

Settlement Date

Currency to Deliver
(Thousands)

Currency to Receive
(Thousands)

Unrealized
Appreciation
($ Thousands)

7/23/14

EUR

487,147

USD

672,963

8,351

A list of the counterparties for the open forward foreign currency contracts held by the Fund at May 31, 2014, is as follows:


Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
Barclays PLC	$	(159,230	)	$	161,318	$	2,088
Goldman Sachs		(24,275	)		24,231		(44	)
Royal Bank of Scotland		(162,646	)		164,782		2,136
Societe Generale		(159,230	)		161,302		2,072
UBS		(159,230	)		161,329		2,099

						$	8,351

Percentages are based on a Net Assets of $1,557,322 ($ Thousands).

Non-income producing security.

‡

Real Estate Investment Trust.

(1)

In U.S. dollars unless otherwise indicated.

Cl — Class

EUR — Euro

PLC — Public Limited Company

S&P — Standard & Poor’s

SPDR — Standard & Poor’s Depositary Receipts

USD — U.S. Dollar

The following is a list of the inputs used as of May 31, 2014, 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	$	1,531,684	$	—	$	—	$	1,531,684
Exchange Traded Fund		6,424		—		—		6,424
Time Deposit		—		4,643		—		4,643

Total Investments in Securities	$	1,538,108	$	4,643	$	—	$	1,542,751


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Purchased Options	$	541	$	—	$	—	$	541
Forwards Contracts*
Unrealized Appreciation		—		8,351		—		8,351

Total Other Financial Instruments	$	541	$	8,351	$	—	$	8,892

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

For the year ended May 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended May 31, 2014, 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.


5		SEI Institutional Investments Trust / Annual Report / May 31, 2014

Report of Independent Registered Public Accounting Firm

The Board of Trustees and Shareholders

SEI Institutional Investments Trust:

We have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the financial statements of SEI Institutional Investments Trust (the Trust), comprised of the Large Cap Fund, Large Cap Diversified Alpha Fund, Large Cap Disciplined Equity Fund, Large Cap Index Fund, S&P 500 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, and the Real Return Fund (twenty of the twenty-two funds comprising the Trust), and the accompanying consolidated financial statements of the Dynamic Asset Allocation Fund and the Multi-Asset Real Return Fund (two of the twenty-two funds comprising the Trust), as of and for the year or period ended May 31, 2014, and have issued our unqualified report thereon dated July 30, 2014 (which report and financial statements are included in Item 1 of this Certified Shareholder Report on Form N-CSR). Our audits included an audit of the schedules of investments in securities and the consolidated schedules of investments in securities (collectively, the “Schedules”) of the funds comprising the Trust as of May 31, 2014 appearing in Item 6 of this Form N-CSR. These Schedules are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these Schedules based on our audits.

In our opinion, the Schedules referred to above, when read in conjunction with the financial statements of the funds comprising the Trust referred to above, present fairly, in all material respects, the information set forth therein.

/s/ KPMG LLP

Philadelphia, Pennsylvania

July 30, 2014

(b) In accordance with Section 13(c) of the Investment Company Act of 1940 the Screened World Equity Ex-US Fund did not hold any divested securities during the fiscal year ended May 31, 2014.

Item 7.

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8.

Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9.

Purchases of Equity Securities by Closed-End Management Company and Affiliated Purchasers.

Not applicable.

Item 10.

Submission of Matters to a Vote of Security Holders.

The Registrant has a standing Governance Committee (the “Committee”) currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Registrant’s Board of Trustees (the “Board”). Pursuant to the Committee’s Charter, adopted on June 18, 2004, as amended, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Registrant’s office.

Item 11.

Controls and Procedures.

(a) The Registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 as of a date within 90 days of the filing date of this report.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Items 12.

Exhibits.

(a)(1) Code of Ethics attached hereto.

(a)(2) A separate certification for the principal executive officer and the principal financial officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith.

(b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an exhibit.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Date: August 8, 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.

Date: August 8, 2014

Date: August 8, 2014

One Year
Return

Annualized
Inception
to Date

Extended Market Index Fund, Class A

Russell Small Cap Completeness Index