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 811-7257
SEI INSTITUTIONAL INVESTMENTS TRUST
(Exact name of registrant as specified in charter)
--------
1 Freedom Valley Drive
Oaks, PA 19456
(Address of principal executive offices) (Zip code)
SEI Investments
1 Freedom Valley Drive
Oaks, PA 19456
(Name and address of agent for service)
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 1-800-342-5734
DATE OF FISCAL YEAR END: MAY 31,2003
DATE OF REPORTING PERIOD: MAY 31,2003
ITEM 1. REPORTS TO STOCKHOLDERS.
[GRAPHIC OMITTED]
SEI INVESTMENTS
Annual Report as of May 31, 2003
SEI Institutional Investments Trust
Large Cap Fund
Large Cap Value Fund
Large Cap Growth Fund
Large Cap Index Fund
Small Cap Fund
Core Fixed Income Fund
International Equity Fund
TABLE OF CONTENTS
- ------------------------------------------------------------
Management's Discussion and Analysis of Fund Performance 1
- ------------------------------------------------------------
Report of Independent Auditors 8
- ------------------------------------------------------------
Statements of Net Assets/Schedule of Investments 9
- ------------------------------------------------------------
Statement of Assets and Liabilities 80
- ------------------------------------------------------------
Statements of Operations 81
- ------------------------------------------------------------
Statements of Changes in Net Assets 82
- ------------------------------------------------------------
Financial Highlights 84
- ------------------------------------------------------------
Notes to Financial Statements 85
- ------------------------------------------------------------
Trustees and Officers of the Trust 94
- ------------------------------------------------------------
Notice to Shareholders 97
- ------------------------------------------------------------
- --------------------------------------------------------------------------------
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2003
LARGE CAP FUND
OBJECTIVE
The Large Cap Fund seeks to provide long-term growth of capital and income.
STRATEGY
The Large Cap Fund employs a multi-manager structure to gain exposure to the
entire large cap sector, adding value through stock selection while minimizing
risk in the form of capitalization, valuation and economic sector exposures. The
Fund is jointly sub-advised by nine investment managers. Assets of the Fund are
strategically allocated among its sub-advisers, each of which has responsibility
for stock selection for its respective assets under management. Each of the
sub-styles assumes a different importance in determining overall style risk, and
must therefore be weighted accordingly.
ANALYSIS
The U.S. equity market stabilized during the fiscal year ended May 31, 2003
following the burst of the tech bubble, 9/11, and corporate malfeasance. The
economy continued to slowly rebound, although corporate spending remained
depressed. Media and Technology were the worst performing industries as rebounds
in advertising and capital spending failed to materialize. The Iraqi War was
resolved in a relatively short period of time and the market responded
positively during the first half of 2003, although unable to overcome poor
returns experienced in 2002.
The Large Cap Fund, Class A returned -8.98% for the year. The Fund was not
positioned for investors' aversion to risk in the wake of WorldCom and Enron. An
overweight to Commercial Services stocks and an underweight to Pharmaceuticals
negatively impacted returns. Stock selection detracted from relative performance
within the Insurance, Software and Services, and Capital Goods areas. The Fund
held overweight positions in AON, Lincoln National, EDS, General Dynamics, and
Northrop. Also hurting returns was an overweight to Kohl's, as investors
questioned the continued resiliency of the consumer. The Fund benefited from
strong stock selection in Media where overweights to EchoStar Communications
(satellite broadcasting) and COX Communications (cable) enhanced returns. During
the year, Alliance Capital Management was replaced by Goldman Sachs Asset
Management as a sub-adviser within the Large Cap Fund.
LARGE CAP FUND
AVERAGE ANNUAL TOTAL RETURN(1)
- ----------------------------------------------------------------
Annualized Annualized Annualized
One Year 3 Year 5 Year Inception
Return Return Return to Date
- ----------------------------------------------------------------
Large Cap Fund,
Class A (8.98)% (11.65)% (2.12)% 6.36%
- ----------------------------------------------------------------
Large Cap Fund,
Class T N/A N/A N/A 9.28%*
- ----------------------------------------------------------------
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
Comparison of Change in the Value of a $100,000 Investment in the Large Cap
Fund, Class A, versus the Russell 1000 Index
Large Cap Fund, Russell 1000
Class A Index
------------------ ----------------
6/30/96 $100,000 $100,000
5/31/97 128,117 126,975
5/31/98 170,856 165,969
5/31/99 204,003 199,677
5/31/00 222,567 223,559
5/31/01 196,883 199,481
5/31/02 168,610 172,870
5/31/03 153,469 159,542
1 For the period ended May 31, 2003. Past performance is no indication of
future performance. The performance of Class T shares may be lower than the
performance of Class A shares because of different distribution fees paid by
Class T shareholders. Class A shares were offered beginning 6/14/96 and Class
T shares were offered beginning 12/13/02. 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 period; absent fee waivers
and reimbursements, performance would have been lower.
* Not Annualized.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 1
- --------------------------------------------------------------------------------
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2003
LARGE CAP VALUE FUND
OBJECTIVE
The Large Cap Value Fund seeks to provide long-term growth of capital and
income.
STRATEGY
The Fund employs a multi-manager structure to gain exposure to the large cap
value sector, adding value through stock selection while minimizing risk in the
form of capitalization, valuation and economic sector exposures. The Fund is
jointly sub-advised by four investment managers. Assets of the Fund are
strategically allocated among its sub-advisers, each of which has responsibility
for stock selection for its respective assets under management. Each of the
sub-styles assumes a different importance in determining overall style risk, and
must therefore be weighted accordingly.
ANALYSIS
Large cap value stocks posted negative returns as investors grappled with
continued uncertainty over the prospects of an economic recovery during the
fiscal year ended May 31, 2003. The Iraqi War was resolved in a relatively short
period of time and the market responded positively during the first half of
2003, although unable to overcome poor returns experienced in 2002. Virtually
all industries experienced negative returns, with Utilities, Insurance, and
Telecom Services down 16%, 15%, and 9%, respectively. Diversified Financials
posted modest positive returns on the back of stronger markets during 2003.
The Large Cap Value Fund, Class A returned -9.53% for the year. Stock selection
detracted from relative performance within the Insurance, Software and Services,
and Capital Goods areas. The Fund held overweight positions in AON, Lincoln
National, EDS, General Dynamics, and Northrop Grumman. These were partially
offset by positive contributions from overweight positions in Sallie Mae and
Boston Scientific.
The Fund's sub-advisers were overweight to Diversified Financials while
underweight to Utilities, with both positions positively contributing to
relative returns. However, the sub-advisors were overweight to Health Care
Equipment and Insurance where business prospects failed to improve over the time
period.
LARGE CAP VALUE FUND
AVERAGE ANNUAL TOTAL RETURN(1)
- --------------------------------------------------------------
Annualized Annualized
One Year 3 Year Inception
Return Return to Date
- --------------------------------------------------------------
Large Cap Value Fund,
Class A (9.53)% (1.70)% (0.37)%
- --------------------------------------------------------------
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
Comparison of Change in the Value of a $100,000 Investment in the Large Cap
Value Fund, Class A, versus the Russell 1000 Value Index, the S&P 500/BARRA
Value Index, and the S&P 500 Composite Index
Large Cap Value Russell 1000 S&P 500 Composite S&P 500/BARRA
Fund, Class A Value Index Index Value Index
--------------------- ------------------- ---------------- -------------------
1/31/00 $100,000 $100,000 $100,000 $100,000
5/31/00 103,997 103,737 102,322 103,153
5/31/01 114,438 111,704 91,527 110,508
5/31/02 109,197 105,504 78,850 93,479
5/31/03 98,790 97,211 72,495 85,355
<FN>
1 For the period ended May 31, 2003. Past performance is no indication of
future performance. Fund shares were offered beginning 1/31/00. 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.
</FN>
- --------------------------------------------------------------------------------
2 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
LARGE CAP GROWTH FUND
OBJECTIVE
The Large Cap Growth Fund seeks to provide capital appreciation.
STRATEGY
The Large Cap Growth Fund employs a multi-manager structure to gain exposure to
the large cap growth sector, adding value through stock selection while
minimizing risk in the form of capitalization, valuation and economic sector
exposures. The Fund is jointly sub-advised by five investment managers. Assets
of the Portfolio are strategically allocated among its sub-advisers, each of
which has responsibility for stock selection for its respective assets under
management. Each of the sub-styles assumes a different importance in determining
overall style risk, and must therefore be weighted accordingly.
ANALYSIS
The U.S. equity market stabilized during the fiscal year ended May 31, 2003
following the burst of the tech bubble, 9/11, and corporate malfeasance. The
economy continued to slowly rebound, although corporate spending remained
depressed. The Iraqi war was resolved in a relatively short period of time and
the market responded positively during the first half of 2003, although unable
to overcome poor returns experienced in 2002. Media and Technology were the
worst performing industries as rebounds in advertising and capital spending
failed to materialize. The Household Products industry was the best performing
as investors sought after companies with clean, visible financials statements
with predictable earnings streams.
The Large Cap Growth Fund, Class A returned -9.20% for the year. The Fund was
not positioned for investors' aversion to risk in the wake of WorldCom and
Enron. An overweight to Media stocks and an underweight to Pharmaceuticals and
Household products negatively impacted return. Also hurting returns was an
overweight to Kohl's, which underperformed as investors questioned the continued
resiliency of the consumer. The Fund benefited from strong stock selection in
Media where overweights to EchoStar Communications (satellite broadcasting) and
COX Communications (cable) enhanced returns. Alliance Capital Management was
replaced by Goldman Sachs Asset Management as a sub-adviser within the Large Cap
Growth Fund during the period.
LARGE CAP GROWTH FUND
AVERAGE ANNUAL TOTAL RETURN(1)
- -------------------------------------------------------------
Annualized Annualized
One Year 3 Year Inception
Return Return to Date
- -------------------------------------------------------------
Large Cap Growth Fund,
Class A (9.20)% (21.65)% (20.20)%
- -------------------------------------------------------------
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
Comparison of Change in the Value of a $100,000 Investment in the Large Cap
Growth Fund, Class A, versus the Russell 1000 Growth Index and the S&P 500/BARRA
Growth Index
Large Cap Growth Russell 1000 S&P 500/BARRA
Fund, Class A Growth Index Growth Index
--------------------- -------------------- ------------------
2/29/00 $100,000 $100,000 $100,000
5/31/00 97,807 96,915 99,605
5/31/01 68,387 68,122 73,738
5/31/02 51,817 53,905 64,454
5/31/03 47,049 49,673 59,575
<FN>
1 For the period ended May 31, 2003. Past performance is no indication of
future performance. Fund shares were offered beginning 2/28/00. 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.
</FN>
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 3
- --------------------------------------------------------------------------------
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2003
LARGE CAP INDEX FUND
OBJECTIVE
The Large Cap Index Fund seeks to provide investment results that correspond to
the aggregate price and dividend performance of the securities in the Russell
1000 Index (the "Index").
STRATEGY
The Large Cap Index Fund attempts to match the performance of the widely
followed Index by replicating its composition in full. Deviation of performance
between the Fund and the Index, measured as tracking error, is typically
attributable to trading costs and cash reserves held for liquidity needs. The
presence of cash in the Fund may result in underperformance relative to the
Index in rising markets and out-performance in declining markets. To mitigate
these effects, the Fund may use stock index futures to hedge its cash position.
Futures contracts enable the Fund to maintain exposure to the market with
reduced trading expenses, since the cost of the futures contract is relatively
nominal. The value of stock index futures held by the Fund may not exceed 20% of
the Fund's assets.
ANALYSIS
The fiscal year ended May 31, 2003 saw a stabilization of equity markets after
dealing with the bursting of the tech bubble, 9/11, and corporate malfeasance.
The economy continued to slowly rebound, although corporate spending remained
depressed.
Media and Technology stocks were the worst performing industries as rebounds in
advertising and capital spending failed to materialize. The Iraqi war was
resolved in a relatively short period of time and the market responded
positively during 2003, although unable to overcome poor returns experienced in
2002.
In reaction to the market movement described above, the Large Cap Index Fund,
Class A returned -7.79% for the period compared to the Russell 1000 Index return
of -7.71%.
LARGE CAP INDEX FUND
AVERAGE ANNUAL TOTAL RETURN(1)
- -------------------------------------------------------------
Annualized
One Year Inception
Return to Date
- -------------------------------------------------------------
Large Cap Index Fund,
Class A (7.79)% (12.05)%
- -------------------------------------------------------------
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
Comparison of Change in the Value of a $100,000 Investment in the Large Cap
Index Fund, Class A, versus the Russell 1000 Index
Large Cap Index Russell 1000
Fund, Class A Growth Index
--------------------- ----------------
4/30/02 $100,000 $100,000
5/31/02 99,050 99,120
5/31/03 91,334 91,478
1 For the period ended May 31, 2003. Past performance is no indication of
future performance. Fund shares were offered beginning 4/01/02. 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 period;
absent fee waivers and reimbursements, performance would have been lower.
- --------------------------------------------------------------------------------
4 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
SMALL CAP FUND
OBJECTIVE
The Small Cap Fund seeks to provide capital appreciation.
STRATEGY
The Small Cap Fund's investment philosophy is to add value through stock
selection while minimizing risk in the form of capitalization, valuation and
economic sector exposures. The Small Cap Fund is sub-advised by twelve
investment managers who are responsible for the stock selection of the Fund.
Each sub-adviser employs a unique investment process that allows the Fund to
benefit from a variety of sub-styles in the small cap area of the market. The
various sub-styles are: real estate specialty, deep value, contrarian value,
core value, intrinsic value, relative value, GARP, conservative growth,
disciplined growth, earnings momentum, and earnings growth.
ANALYSIS
The fiscal year ended May 31, 2003 finished on a sound and upbeat note. Despite
the Russell 2000 Index dropping by roughly 8% for the period, equity markets
showed signs of life in the past three months as the index rallied more than
22%. Regional banks and real estate were the best performing areas of the
market, spurred higher by interest rate levels not seen since World War II. This
favorable environment led to a mortgage-refinancing boom that continues to push
rates lower even today. As noted above, a tremendous rally took place during the
last three months of the year, fueled by strength in biotechnology, technology,
pharmaceutical and low price stocks.
The Small Cap Fund, Class A returned -6.83% for the year versus the Russell 2000
Index return of -8.18%. Strong performance was driven by solid stock selection
in consumer durables, software, and biotechnology. Managers in the Fund captured
the upside from innovative drug therapies, showing positive results in clinical
trials as well as capitalizing on consumer trends taking place in niche retail
markets. A few examples of the strong performing stocks include; Red Hat (+55%),
Quicksilver (+47%), and Coach (+88%). The Fund remains style neutral compared to
the Russell 2000 Index, showcasing the stock picking ability of the twelve
specialist sub-advisers.
The Fund did experience a change in sub-advisers as Lee Munder Capital Group
replaced Wall Street Advisors in December. The change came as a structural
improvement to the Fund with Lee Munder bringing further diversification to the
overall strategy.
SMALL CAP FUND
AVERAGE ANNUAL TOTAL RETURN(1)
- ---------------------------------------------------------------
Annualized Annualized Annualized
One Year 3 Year 5 Year Inception
Return Return Return to Date
- ---------------------------------------------------------------
Small Cap Fund,
Class A (6.83)% (0.68)% 2.24% 6.45%
- ---------------------------------------------------------------
Small Cap Fund,
Class T N/A N/A N/A 10.69%*
- ---------------------------------------------------------------
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
Comparison of Change in the Value of a $100,000 Investment in the Small Cap
Fund, Class A, versus the Russell 2000 Index
Small Cap Russell 2000
Fund, Class A Index
---------------------- --------------------
6/30/96 $100,000 $100,000
5/31/97 111,993 111,558
5/31/98 141,873 135,253
5/31/99 133,630 131,615
5/31/00 161,773 144,658
5/31/01 175,345 152,889
5/31/02 170,103 152,125
5/31/03 158,485 139,681
1 For the period ended May 31, 2003. Past performance is no indication of
future performance. The performance of Class T shares may be lower than the
performance of Class A shares because of different distribution fees paid by
Class T shareholders. Class A shares were offered beginning 6/14/96 and
Class T shares were offered beginning 11/26/02. 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 period; absent fee waivers
and reimbursements, performance would have been lower.
* Not Annualized.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 5
- --------------------------------------------------------------------------------
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2003
CORE FIXED INCOME FUND
OBJECTIVE
The Core Fixed Income Fund seeks to provide current income and preservation of
capital.
STRATEGY
The Core Fixed Income Fund's investment strategy focuses on sector rotation,
both among and within sectors, and issue selection. Risk is principally
controlled by limiting the Fund's interest rate exposure relative to the Lehman
Aggregate Bond Index. The Fund's sub-advisers focus on four key areas in
determining portfolio structure: duration weighting, term structure, sector
allocation, and issue selection. While the duration and term structure decisions
underlie the implementation process, the sub-advisers primarily concentrate on
sector and issue selection to add value. In addition, the sub-advisers may use
futures and options primarily for hedging purposes in order to implement
portfolio strategies more efficiently.
ANALYSIS
The fiscal year ended May 31, 2003 was a tale of two separate and distinct
periods, classified by flagging market confidence early in the first period and
burgeoning credit markets towards the end. After a dramatic rebound in the first
quarter of 2002, the economy began to show signs of weakness, suggesting the
potential for a double-dip recession. Adding to the market instability over the
period were revelations of illegal corporate accounting practices at several
U.S. corporations, most notably Worldcom, Qwest, and Tyco. The subsequent lack
of faith in financial statements left investors wary of accepting any risk and
helped to stall any hopes of a quick economic recovery. In addition, the
political and economic uncertainty prompted the Federal Reserve lower rates
during the summer and provide an additional 50 basis points of stimulus into
year-end. Even with the already low level of rates, investor risk aversion
fueled a flight to quality with Treasury securities as the obvious
beneficiaries. By the end of the period, the 2-year and 10-year Treasury yields
had rallied 187 and 167 basis points (bps), respectively, while the curve had
steepened 64 bps to a historically wide 305 bps. Joining the overall decline in
nominal yields, real yields dropped considerably over the period, making
Treasury Inflation Protection Security ("TIPS") a top performer for the fiscal
year.
Despite the potential risks associated with the war on terrorism, impending
military action in Iraq, and saber rattling from North Korea, investor sentiment
reversed course late in 2002 and stability returned to the markets. The overall
turnaround, coupled with a quick end to the war with Iraq, instilled further
confidence in the markets, inducing a significant rally and allowing corporate
issuers to recover their fiscal first-half losses. The credit sector, as a
whole, finished the period up 146 basis points on an excess return basis,
despite the performance of utility issuers, who were not able to recoup their
third-quarter losses and finished the period down 610 bps. Meanwhile, higher
quality sectors benefited from the general flight to quality theme and managed
to perform well throughout the period. In particular, Collateralized
Mortgage-Backed Securities ("CMBS") and Agencies added 162 bps and 114 bps
respectively. Mortgages, however, did not fare as well, as the consistent
downward trend in rates bolstered a yearlong prepayment wave, thus limiting the
sector's excess return to 70 bps. Furthermore, the Asset-Backed Securities
("ABS") sector lagged Treasuries by 6 bps during the period, as financial woes
at several manufactured housing issuers helped offset the strong performance of
the remaining sub-components of the sector.
For the fiscal year ended May 31, 2003, the Core Fixed Income Fund, Class A
returned 11.10%, under-performing the Lehman Brothers Aggregate Bond Index
return of 11.58%. The Fund benefited from its allocation to TIPS, tactically
efficient duration positioning, and overweights to both the credit and CMBS
sectors. Limiting returns were its barbelled curve positioning and security
selection in corporates, particularly with respect to utility names.
CORE FIXED INCOME FUND
AVERAGE ANNUAL TOTAL RETURN(1)
- -----------------------------------------------------------------------
Annualized Annualized Annualized
One Year 3 Year 5 Year Inception
Return Return Return to Date
- -----------------------------------------------------------------------
Core Fixed Income Fund,
Class A 11.10% 10.44% 7.45% 8.20%
- -----------------------------------------------------------------------
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
Comparison of Change in the Value of a $100,000 Investment in the Core Fixed
Income Fund, Class A, versus the Lehman Aggregate Bond Index
Core Fixed Income Lehman Aggregate
SIIT Fund, Class A Bond Index
---- ---------------------- ----------------
6/30/96 $100,000 $100,000
5/31/97 106,847 106,886
5/31/98 119,242 118,557
5/31/99 124,190 123,703
5/31/00 126,761 126,313
5/31/01 144,406 142,873
5/31/02 153,691 154,460
5/31/03 170,751 172,346
1 For the period ended May 31, 2003. Past performance is no indication of
future performance. Fund 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 period;
absent fee waivers and reimbursements, performance would have been lower.
- --------------------------------------------------------------------------------
6 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND
OBJECTIVE
The International Equity Fund seeks to provide long-term capital appreciation
through investments in equity securities of non-U.S. issuers.
STRATEGY
The International Equity Fund is diversified across twenty-seven markets and
includes commitments to large-cap and small-cap shares. Exposure is also
maintained in growth and value styles of active management. The Fund employs
multiple sub-advisers, each providing a unique regional or style management
specialty. Allocations to the sub-advisers are carefully managed to ensure
proper geographic and market exposure. Emphasis is placed on active security
selection as the principal source of added value as opposed to active country
allocation. The Fund does not hedge foreign currency exposure.
ANALYSIS
International equity markets posted negative absolute returns for the fiscal
year ended May 31, 2003. There was significant dispersion in returns among
sectors with Telecom Services as the only positive double-digit performer.
Sectors such as Materials, Financials, Information Technology, Consumer
Discretionary and Industrials all experienced double-digit losses. There was
also a wide level of dispersion among markets on a country level. Japan was hit
the hardest during the period as its stagnant economy, failing banking system,
and deflationary pressures clobbered the market for yet another year.
The International Equity Fund, Class A reported a return of -14.43% versus
- -12.30% for the MSCI EAFE index for the fiscal year ended May 31, 2003. The
International Equity Fund enhanced relative returns by maintaining an overweight
to the Telecom Services sector and holding an underweight to the Financials
sector during the period. Overall, the International Equity Fund sub-advisers'
weightings to individual sectors were positive contributors to performance
relative to the MSCI EAFE Index. Stock selection, however, detracted from
relative returns. More specifically, stock selection within the Industrial and
Financial sectors weighed on performance. Deeper value names within these
sectors were the strongest performers, though the neutral style bias of the Fund
caused performance to lag versus the MSCI EAFE Index.
INTERNATIONAL EQUITY FUND
AVERAGE ANNUAL TOTAL RETURN(1)
- -----------------------------------------------------------------------------
Annualized Annualized Annualized
One Year 3 Year 5 Year Inception
Return Return Return to Date
- -----------------------------------------------------------------------------
International Equity Fund,
Class A (14.43)% (14.26)% (3.71)% (0.24)%
- -----------------------------------------------------------------------------
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
Comparison of Change in the Value of a $100,000 Investment in the International
Equity Fund, Class A, versus the Morgan Stanley MSCI EAFE Index
International Equity Morgan Stanley MSCI
SIIT Fund, Class A EAFE Index
---- ------------- ----------
6/30/96 $100,000 $100,000
5/31/97 106,802 106,950
5/31/98 117,909 118,833
5/31/99 126,080 124,014
5/31/00 154,852 145,270
5/31/01 126,653 120,240
5/31/02 114,077 108,697
5/31/03 97,615 95,327
1 For the period ended May 31, 2003. Past performance is no indication of
future performance. Fund 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 period;
absent fee waivers and reimbursements, performance would have been lower.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 7
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2003
REPORT OF INDEPENDENT AUDITORS
TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF SEI INSTITUTIONAL INVESTMENTS
TRUST:
In our opinion, the accompanying statements of net assets of Large Cap Fund,
Large Cap Value Fund, Large Cap Growth Fund, Large Cap Index Fund, Small Cap
Fund and International Equity Fund, and statement of assets and liabilities,
including the schedule of investments, of Core Fixed Income Fund (seven
portfolios constituting SEI Institutional Investments Trust, hereafter referred
to as the "Trust") and the related statements of operations and of changes in
net assets and the financial highlights present fairly, in all material
respects, the financial position of the Trust at May 31, 2003, the results of
its operations for the year then ended, and the changes in its net assets and
the financial highlights for each of the periods indicated, in conformity with
accounting principles generally accepted in the United States of America. These
financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Trust's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with auditing standards generally accepted in the United States of America,
which require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at May 31, 2003 by correspondence with the custodian
and brokers, provide a reasonable basis for our opinion.
PRICEWATERHOUSECOOPERS LLP
Philadelphia, PA
July 22, 2003
- --------------------------------------------------------------------------------
8 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
LARGE CAP FUND
May 31, 2003
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
COMMON STOCK -- 98.3%
AEROSPACE & DEFENSE -- 1.6%
Boeing 138,145 $ 4,237
General Dynamics (B) 57,112 3,816
General Motors-Hughes Electronics* 271,905 3,317
Goodrich 144,132 2,633
Honeywell International 145,666 3,817
Lockheed Martin 141,586 6,572
Northrop Grumman 110,634 9,730
Raytheon 77,711 2,490
Rockwell Collins 107,001 2,459
Textron 23,164 807
Titan* 1,573 14
United Technologies 138,486 9,452
-----------
49,344
-----------
AIR TRANSPORTATION -- 0.2%
AMR (B)* 30,560 194
Continental Airlines, Cl B (B)* 12,932 142
Delta Air Lines (B) 24,122 322
FedEx 58,392 3,736
JetBlue Airways (B)* 1,307 44
Northwest Airlines (B)* 11,064 99
Skywest 4,146 57
Southwest Airlines 75,150 1,208
-----------
5,802
-----------
APPAREL/TEXTILES -- 0.5%
Cintas 238,700 8,837
Columbia Sportswear* 264 13
Jones Apparel Group* 21,603 634
Liz Claiborne 55,886 1,894
Polo Ralph Lauren* 6,155 163
VF 56,940 2,168
-----------
13,709
-----------
AUTOMOTIVE -- 0.9%
Advance Auto Parts* 56,630 3,368
American Axle &
Manufacturing Holdings* 5,335 133
ArvinMeritor 12,300 219
Autoliv 126,180 3,245
BorgWarner 5,215 303
Dana 132,548 1,181
Delphi 198,368 1,750
Ford Motor (B) 354,777 3,725
General Motors 173,268 6,122
Harsco 7,788 275
ITT Industries 16,211 1,016
Lear* 12,571 500
Magna International, Cl A 57,400 3,851
O'Reilly Automotive* 1,263 39
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Paccar (B) 21,255 $ 1,409
Visteon 41,266 254
-----------
27,390
-----------
BANKS -- 9.0%
AmSouth Bancorp 70,810 1,580
Associated Banc 14,774 553
Astoria Financial 125,830 3,328
Bancorpsouth 15,958 352
Bank of America 556,833 41,317
Bank of Hawaii 12,323 430
Bank of New York 92,767 2,685
Bank One 229,695 8,581
Banknorth Group 31,074 796
BB&T 93,625 3,201
BOK Financial* 2,862 104
Capitol Federal Financial 4,356 131
Charter One Financial 44,993 1,370
Citizens Banking 8,721 231
City National 7,825 352
Colonial BancGroup 23,639 319
Comerica 70,546 3,264
Commerce Bancshares 12,031 487
Compass Bancshares 25,000 921
Cullen/Frost Bankers 10,015 341
Downey Financial 4,157 182
First Midwest Bancorp 9,413 274
First Tennessee National 24,803 1,160
First Virginia Banks 13,945 600
FirstMerit 16,671 382
FleetBoston Financial 459,636 13,591
FNB 8,922 269
Fulton Financial 20,871 430
Golden West Financial 92,182 7,171
Greater Bay Bancorp (B) 7,614 153
Greenpoint Financial 88,324 4,477
Hibernia, Cl A 31,388 606
Hudson City Bancorp 14,613 371
Hudson United Bancorp 6,283 222
Huntington Bancshares 45,459 932
Independence Community Bank 10,178 288
IndyMac Bancorp 11,058 284
JP Morgan Chase 824,763 27,102
Keycorp 127,032 3,354
M&T Bank 19,753 1,759
Marshall & Ilsley 43,459 1,304
Mellon Financial 156,782 4,260
Mercantile Bankshares 13,578 550
National City 276,150 9,339
National Commerce Financial 40,133 914
New York Community Bancorp 18,655 517
North Fork Bancorporation
(NY Shares) 23,999 794
Northern Trust 369,318 14,093
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 9
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
LARGE CAP FUND (Continued)
MAY 31, 2003
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Old National Bancorp 12,637 $ 299
Park National 2,347 262
Peoples Bank Bridgeport 4,839 136
PNC Financial Services Group 55,263 2,722
Popular 26,604 1,051
Provident Financial Group (B) 4,264 109
Regions Financial 77,909 2,730
Roslyn Bancorp 13,421 259
Silicon Valley Bancshares* 6,973 176
Sky Financial Group 14,699 313
SouthTrust 67,667 1,944
Sovereign Bancorp (B) 50,861 830
State Street 447,521 17,145
SunTrust Banks 48,595 2,882
TCF Financial 6,031 239
Trustmark 8,456 222
Union Planters 39,569 1,273
UnionBanCal 87,450 3,695
US Bancorp 566,385 13,423
Valley National Bancorp 19,201 518
Wachovia 355,289 14,276
Washington Federal 13,679 321
Washington Mutual 488,845 19,935
Webster Financial 9,006 341
Wells Fargo 385,400 18,615
Westamerica Bancorporation 4,984 221
Whitney Holding 7,731 263
Wilmington Trust 12,646 367
Zions Bancorporation 17,976 917
-----------
271,205
-----------
BEAUTY PRODUCTS -- 3.2%
Alberto-Culver, Cl B 6,473 331
Avon Products 67,212 4,096
Colgate-Palmolive 404,834 24,136
Dial 8,922 178
Estee Lauder, Cl A 5,570 186
Gillette 1,013,077 34,050
International Flavors & Fragrances 7,806 245
Procter & Gamble 360,667 33,116
-----------
96,338
-----------
BIOTECHNOLOGY -- 0.6%
Biogen* 89,700 3,807
Genentech (B)* 156,208 9,780
Genzyme-General Division* 94,062 4,467
Human Genome Sciences* 12,219 179
ICOS (B)* 10,157 322
Invitrogen* 5,518 215
Ribapharm* 2,050 11
-----------
18,781
-----------
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 5.5%
American Greetings, Cl A (B)* 13,009 $ 231
AOL Time Warner (B)* 687,004 10,456
Avaya* 65,177 431
Belo, Cl A 17,241 403
Cablevision Systems, Cl A (B)* 26,415 511
Charter Communications, Cl A (B)* 27,000 81
CIENA* 42,039 242
Clear Channel Communications* 615,017 25,031
Comcast Special, Cl A* 30,000 865
Comcast, Cl A* 400,559 12,061
Comverse Technology* 18,497 281
COX Communications, Cl A (B)* 594,461 18,416
COX Radio, Cl A* 2,460 56
Cumulus Media, Cl A* 3,303 60
Dow Jones 3,374 154
E.W. Scripps, Cl A 615 54
Emmis Communications, Cl A* 6,705 142
Entercom Communications* 778 38
Entravision Communications, Cl A* 8,629 87
Fox Entertainment Group, Cl A* 14,823 417
Gannett 236,019 18,645
Gemstar-TV Guide International* 23,533 109
Getty Images* 1,160 47
Hearst-Argyle Television* 3,380 84
Hispanic Broadcasting* 4,069 102
Knight-Ridder 16,204 1,141
Lamar Advertising* 36,096 1,273
Lee Enterprises 8,695 327
Liberty Media* 2,675,439 31,303
Lin TV, Cl A* 1,576 37
McClatchy, Cl A 3,566 214
McGraw-Hill 42,740 2,702
McLeodUSA, Cl A (B)* 92,300 --
Media General, Cl A 2,512 148
Meredith 6,973 307
New York Times, Cl A 47,614 2,281
News ADR 146,600 3,740
Polycom* 5,394 69
Radio One, Cl D* 6,979 116
Reader's Digest Association 14,173 184
RR Donnelley & Sons 98,300 2,452
Scholastic* 2,979 93
Tellabs* 232,318 1,845
Tribune 37,953 1,893
UnitedGlobalCom, Cl A* 13,839 64
Univision Communications, Cl A* 183,870 5,488
USA Interactive (B)* 8,252 317
Valassis Communications* 52,019 1,394
Viacom, Cl B (B)* 406,778 18,516
Washington Post, Cl B 748 542
-----------
165,450
-----------
- --------------------------------------------------------------------------------
10 SEI Institutional Investments Trust / Annual Report / May 31, 2002
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
BUILDING & CONSTRUCTION -- 0.9%
American Standard* 1,800 $ 133
Centex (B) 40,585 3,151
Clayton Homes 17,798 222
DR Horton 18,439 485
KB Home 7,915 495
Lafarge North America 41,356 1,302
Lennar, Cl A 10,751 721
Martin Marietta Materials 9,524 326
Masco 577,331 14,202
Pulte Homes 67,530 4,429
Ryland Group 5,102 332
Toll Brothers* 8,954 260
Vulcan Materials 17,589 644
York International 7,803 202
-----------
26,904
-----------
CHEMICALS -- 1.4%
Albemarle 5,461 146
Ashland 83,833 2,721
Cabot 10,550 310
Church & Dwight 2,917 93
Dow Chemical 391,091 12,437
E.I. Du Pont de Nemours 293,095 12,351
Eastman Chemical 97,102 3,174
Engelhard 25,302 636
FMC* 26,600 553
Hercules* 16,234 162
IMC Global 21,297 186
Lubrizol 105,873 3,377
Lyondell Chemical (B) 85,397 1,230
Millennium Chemicals 45,300 541
Monsanto 50,958 1,022
OM Group (B) 5,500 80
PPG Industries 32,993 1,604
Rohm & Haas 30,468 988
Scotts, Cl A* 2,860 142
Sigma-Aldrich 11,632 608
-----------
42,361
-----------
COMMERCIAL SERVICES -- 1.0%
Brink's 110,831 1,754
Cendant (B)* 512,375 8,608
Expedia (B)* 200,000 14,690
Fluor 13,252 470
Harte-Hanks 3,351 61
Interactive Data* 6,817 110
Iron Mountain* 4,280 169
Jacobs Engineering Group* 2,683 105
Manpower 5,020 175
Monster Worldwide* 6,020 120
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Quintiles Transnational* 11,893 $ 168
Rockwell Automation 31,979 756
Sabre Holdings 105,390 2,606
ServiceMaster 59,125 629
Viad 3,335 68
-----------
30,489
-----------
COMMUNICATIONS EQUIPMENT -- 3.0%
ADC Telecommunications* 92,558 249
Advanced Fibre Communication* 7,936 150
Andrew (B)* 19,412 193
Corning (B)* 140,371 1,026
Crown Castle International* 143,530 1,196
EchoStar Communications, Cl A (B)* 767,120 25,760
Harris 5,769 175
Motorola 151,024 1,287
Nokia Oyj ADR 1,522,300 27,462
PanAmSat* 3,194 60
Qualcomm 961,592 32,290
Scientific-Atlanta 30,705 604
-----------
90,452
-----------
COMPUTERS & SERVICES -- 5.0%
3Com* 69,228 339
Apple Computer (B)* 69,278 1,245
Autodesk (B) 16,377 244
BISYS Group* 97,800 1,760
Ceridian* 6,481 112
Checkfree (B)* 6,330 155
Cisco Systems (B)* 1,537,848 25,036
Computer Sciences* 83,302 3,307
Dell Computer (B)* 664,750 20,800
Diebold 14,117 564
eBay (B)* 252,400 25,672
Electronic Data Systems 121,892 2,456
EMC* 868,207 9,394
Emulex* 3,505 87
Foundry Networks* 135,000 2,078
Gateway* 35,020 117
GTECH Holdings* 4,040 142
Hewlett-Packard 1,061,589 20,701
International Business Machines 211,370 18,609
Jabil Circuit* 2,772 58
Juniper Networks (B)* 8,340 116
Lexmark International* 41,000 3,050
Macromedia* 2,650 53
Maxtor* 219,300 1,649
McData, Cl A* 44,925 604
NCR* 106,098 2,660
Perot Systems, Cl A* 1,269 14
Quantum-DLT & Storage* 93,100 395
RealNetworks* 4,024 32
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 11
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
LARGE CAP FUND (Continued)
MAY 31, 2003
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Reynolds & Reynolds, Cl A 51,500 $ 1,524
Storage Technology* 16,900 456
Sun Microsystems* 325,169 1,408
Symbol Technologies (B) 22,095 296
Synopsys* 45,110 2,765
Unisys* 51,463 581
VeriSign (B)* 21,937 329
WebMD* 28,160 280
Western Digital* 128,400 1,608
Zebra Technologies, Cl A* 497 36
-----------
150,732
-----------
CONTAINERS & PACKAGING -- 0.2%
Ball 8,689 430
Bemis 9,767 447
Crown Holdings* 109,700 728
Owens-Illinois* 204,210 2,338
Packaging of America* 11,489 207
Pactiv* 30,648 599
Sealed Air (B)* 1,572 69
Smurfit-Stone Container (B)* 135,428 2,007
Sonoco Products 18,868 424
-----------
7,249
-----------
DATA PROCESSING -- 2.7%
Acxiom* 4,699 70
Alliance Data Systems* 2,846 70
Automatic Data Processing 145,000 5,061
D&B* 3,050 118
First Data (B) 1,567,330 64,919
Fiserv* 316,950 10,488
Global Payments 737 25
-----------
80,751
-----------
DRUGS -- 5.1%
Allergan 215,000 15,503
Bristol-Myers Squibb 273,039 6,990
Eli Lilly 290,248 17,348
Forest Laboratories* 54,000 2,727
GlaxoSmithKline ADR 86,000 3,441
ICN Pharmaceuticals 160,714 2,411
Medicis Pharmaceutical, Cl A* 1,326 74
Merck 237,650 13,208
Millennium Pharmaceuticals* 25,195 392
Mylan Laboratories 2,665 77
Pfizer 2,235,973 69,360
Schering-Plough 373,384 6,889
SICOR* 1,887 40
Teva Pharmaceutical Industries ADR 69,600 3,528
Vertex Pharmaceuticals* 14,179 206
Watson Pharmaceuticals* 76,087 2,817
Wyeth 211,080 9,256
-----------
154,267
-----------
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
ELECTRICAL SERVICES -- 2.4%
AES* 51,596 $ 409
Allegheny Energy (B) 24,801 215
Allete 14,775 372
Alliant Energy 17,737 354
Ameren (B) 31,315 1,425
American Electric Power 169,579 4,925
American Power Conversion* 27,666 429
Aquila 37,775 105
Calpine (B)* 48,987 255
Centerpoint Energy 78,812 753
Cinergy 87,424 3,317
CMS Energy (B) 26,109 207
Consolidated Edison 43,712 1,879
Constellation Energy Group 35,657 1,182
Cooper Industries, Cl A 26,000 1,037
Dominion Resources 59,685 3,760
DPL 24,373 398
DTE Energy 31,336 1,358
Duke Energy 173,459 3,362
Edison International* 236,516 3,850
Energy East 28,295 602
Entergy 63,506 3,283
Exelon 88,306 5,060
FirstEnergy 54,083 1,991
FPL Group 74,037 4,921
Great Plains Energy 13,200 380
Hawaiian Electric Industries 7,105 325
Hubbell, Cl B 9,493 320
Idacorp 7,468 205
Kemet* 16,600 168
MDU Resources Group 13,891 447
Mirant (B)* 67,953 235
Molex 4,083 112
NiSource (B) 51,155 1,003
Northeast Utilities 92,403 1,493
NSTAR 10,326 481
OGE Energy 15,100 319
Pepco Holdings 29,764 608
PG&E (B)* 174,329 2,964
Pinnacle West Capital 44,834 1,697
PPL 34,281 1,386
Progress Energy 46,357 2,181
Public Service Enterprise Group 43,478 1,858
Puget Energy (B) 18,410 432
Reliant Resources* 77,253 518
SCANA 21,671 730
Southern 137,626 4,332
TECO Energy (B) 33,354 431
Texas Genco Holdings 2,585 54
TXU (B) 62,187 1,259
Wisconsin Energy 88,384 2,461
Xcel Energy 77,552 1,194
-----------
73,042
-----------
- --------------------------------------------------------------------------------
12 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
ELECTRONICS -- 0.3%
Adaptec* 11,223 $ 90
Agilent Technologies (B)* 47,596 863
Arrow Electronics (B)* 60,316 1,027
Avnet* 74,099 1,008
AVX 10,537 127
Energizer Holdings* 54,802 1,742
Sanmina-SCI* 48,080 275
Solectron* 391,980 1,568
Tektronix* 13,510 285
Thomas & Betts* 80,000 1,230
Vishay Intertechnology* 24,001 346
-----------
8,561
-----------
ENTERTAINMENT -- 0.8%
Brunswick 17,664 388
Callaway Golf 10,396 149
Hasbro 27,602 442
International Speedway 2,831 106
Mattel 7,000 150
Metro-Goldwyn-Mayer* 76,008 949
Regal Entertainment Group 2,115 47
Six Flags* 17,485 132
Walt Disney 1,027,843 20,197
-----------
22,560
-----------
ENVIRONMENTAL SERVICES -- 0.3%
Allied Waste Industries* 4,846 48
Republic Services* 30,178 722
Waste Management 301,389 7,676
-----------
8,446
-----------
FINANCIAL SERVICES -- 9.0%
Affiliated Managers Group* 943 52
AG Edwards 15,655 515
Allied Capital (B) 119,618 2,793
American Express 182,252 7,593
AmeriCredit (B)* 6,579 62
Bear Stearns 112,875 8,722
Charles Schwab 1,941,720 18,835
Citigroup 1,444,580 59,257
Concord EFS* 330,900 5,003
Countrywide Credit Industry 75,393 5,553
Deluxe 50,000 2,348
Doral Financial 3,043 129
E*TRADE Group (B)* 29,727 227
Equifax 2,371 60
Fannie Mae 171,250 12,672
Franklin Resources 115,752 4,326
Freddie Mac 246,628 14,751
Goldman Sachs Group 276,722 22,553
H&R Block 130,200 5,330
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
HSBC Holdings ADR 62,800 $ 3,722
Instinet Group (B)* 10,744 42
Janus Capital Group 41,479 645
LaBranche (B) 8,221 171
Legg Mason 5,392 348
Lehman Brothers Holdings 169,464 12,139
MBNA 541,460 10,856
Merrill Lynch (B) 233,003 10,089
Moody's 361,270 18,840
Morgan Stanley Dean Witter 290,287 13,281
Neuberger Berman 924 31
Paychex 923,300 28,179
Providian Financial* 30,940 280
Raymond James Financial 7,619 232
Student Loan 801 95
T Rowe Price Group (B) 13,732 504
-----------
270,235
-----------
FOOD, BEVERAGE & TOBACCO -- 3.1%
Adolph Coors, Cl B 27,637 1,522
Albertson's (B) 160,594 3,352
Altria Group 314,632 12,994
Anheuser-Busch (B) 56,957 2,998
Archer-Daniels-Midland 111,607 1,336
Campbell Soup 43,923 1,096
Coca-Cola 464,676 21,175
Coca-Cola Enterprises 3,094 58
ConAgra Foods 104,839 2,544
Constellation Brands, Cl A* 9,021 249
Dean Foods* 94,877 4,341
General Mills (B) 20,553 961
Hershey Foods 9,283 660
HJ Heinz 35,225 1,165
Hormel Foods 14,662 345
Kellogg 23,261 819
Kraft Foods, Cl A 40,566 1,314
Kroger* 35,509 570
Lancaster Colony 5,580 216
Loews - Carolina Group 5,305 133
McCormick 12,895 347
PepsiAmericas 89,829 1,168
PepsiCo 440,077 19,451
RJ Reynolds Tobacco Holdings 38,670 1,318
Ruddick 43,800 681
Sara Lee 76,684 1,397
Smithfield Foods* 21,580 453
Supervalu 134,361 2,667
Tyson Foods, Cl A 233,320 2,217
UST (B) 16,400 579
Winn-Dixie Stores 12,835 182
Wm. Wrigley Jr. 93,436 5,279
-----------
93,587
-----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 13
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
LARGE CAP FUND (Continued)
MAY 31, 2003
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
GAS/NATURAL GAS -- 1.1%
Air Products & Chemicals 44,404 $ 1,935
Dynegy, Cl A 53,186 265
El Paso 114,509 996
KeySpan (B) 30,602 1,078
Kinder Morgan 6,968 356
National Fuel Gas 13,911 356
Nicor 30,386 1,082
Peoples Energy 6,985 298
Praxair 344,427 20,662
Questar 14,949 482
Sempra Energy 161,961 4,417
Vectren 13,152 325
Williams 87,073 689
-----------
32,941
-----------
HAND/MACHINE TOOLS -- 0.1%
Black & Decker 932 40
Illinois Tool Works 22,467 1,394
Snap-On 11,297 344
Stanley Works 4,860 136
-----------
1,914
-----------
HOTELS & LODGING -- 1.1%
Extended Stay America* 11,090 136
Harrah's Entertainment* 85,050 3,410
Hilton Hotels (B) 51,275 711
Mandalay Resort Group* 7,186 217
Marriott International, Cl A (B) 662,061 25,887
MGM Mirage* 12,516 353
Park Place Entertainment* 52,893 403
Starwood Hotels & Resorts Worldwide 65,085 1,886
-----------
33,003
-----------
HOUSEHOLD PRODUCTS, FURNITURE & FIXTURES -- 1.0%
Clorox 15,691 701
Ethan Allen Interiors (B) 2,952 105
Fortune Brands 29,404 1,541
Furniture Brands International* 3,554 94
General Electric (B) 308,710 8,860
La-Z-Boy 8,672 190
Leggett & Platt 93,083 2,054
Newell Rubbermaid 404,326 11,523
Whirlpool 79,875 4,545
-----------
29,613
-----------
INSURANCE -- 5.6%
21st Century Insurance Group 6,323 89
ACE 171,600 6,263
Aetna (B) 121,929 7,001
Aflac 52,277 1,720
Alleghany* 1,126 200
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Allmerica Financial* 10,774 $ 189
Allstate 213,226 7,674
AMBAC Financial Group 98,904 6,598
American Financial Group 5,700 126
American International Group 819,474 47,431
American National Insurance 2,002 171
AmerUs Group (B) 7,977 215
AON 52,822 1,355
Chubb 82,439 5,279
Cigna (B) 88,854 4,985
Cincinnati Financial 26,896 998
CNA Financial* 4,932 120
Erie Indemnity, Cl A 4,985 200
Fidelity National Financial 26,446 822
First American 14,910 404
Hartford Financial Services Group 48,359 2,256
HCC Insurance Holdings 10,450 299
Humana* 31,470 409
Jefferson-Pilot 28,866 1,218
John Hancock Financial Services 57,560 1,741
Leucadia National 7,636 291
Lincoln National 71,466 2,487
Loews 74,864 3,601
Markel* 1,500 378
Marsh & McLennan 374,022 18,750
MBIA 28,766 1,440
Mercury General 5,059 240
Metlife 238,953 6,684
MGIC Investment 17,571 949
Mony Group 8,748 233
Nationwide Financial Services, Cl A 4,871 157
Old Republic International 104,927 3,603
Partnerre Holdings 22,800 1,211
Phoenix (B) 18,349 154
PMI Group 88,700 2,720
Principal Financial Group 56,307 1,788
Progressive 15,363 1,106
Protective Life 13,390 369
Prudential Financial 108,888 3,650
Radian Group 17,596 709
Reinsurance Group of America 3,509 108
RenaissanceRe Holdings 3,000 134
Safeco 26,656 963
St. Paul 236,086 8,636
Stancorp Financial Group 27,862 1,506
Torchmark 31,459 1,215
Transatlantic Holdings 4,082 282
Travelers Property Casualty, Cl A 102,013 1,666
Travelers Property Casualty, Cl B (B) 189,131 3,058
Unitrin 9,049 237
UnumProvident 56,392 728
Wesco Financial 280 85
WR Berkley 8,007 394
-----------
167,295
-----------
- --------------------------------------------------------------------------------
14 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
LEASING & RENTING -- 0.0%
GATX 8,211 $ 139
Rent-A-Center* 520 34
Ryder System 11,208 298
United Rentals* 8,038 103
-----------
574
-----------
MACHINERY -- 1.0%
AGCO* 7,082 127
Caterpillar (B) 166,927 8,705
Crane 9,961 208
Cummins (B) 60,735 2,082
Deere 120,011 5,241
Donaldson 2,483 104
Dover 39,588 1,200
Eaton 13,706 1,150
Emerson Electric (B) 82,391 4,309
Flowserve* 1,667 30
FMC Technologies* 9,784 218
Johnson Controls 34,930 2,908
NACCO Industries, Cl A 9,500 550
National-Oilwell* 5,994 146
Pall 20,600 447
Parker Hannifin 22,903 926
Pentair 9,500 369
SPX* 8,975 346
Tecumseh Products, Cl A 36,800 1,415
Teleflex 5,000 216
Thermo Electron* 22,684 479
-----------
31,176
-----------
MEDICAL PRODUCTS & SERVICES -- 6.1%
Advanced Medical Optics* 1,427 21
AmerisourceBergen 4,892 307
Amgen* 610,378 39,498
Anthem* 5,201 381
Apogent Technologies* 9,262 177
Bausch & Lomb 61,851 2,347
Baxter International 97,800 2,478
Becton Dickinson 43,330 1,733
C.R. Bard 10,300 723
Cardinal Health (B) 124,200 7,168
Caremark Rx* 175,000 3,951
Community Health Systems* 2,924 61
Coventry Health Care* 4,016 175
Edwards Lifesciences* 3,549 108
Gilead Sciences* 59,800 3,155
Guidant* 165,700 7,006
HCA 146,400 4,831
Health Net (B)* 111,014 3,360
Henry Schein* 2,719 134
Hillenbrand Industries 10,036 513
IMS Health 152,000 2,712
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Johnson & Johnson 528,752 $ 28,738
McKesson 8,276 251
Medtronic 1,085,139 52,879
Omnicare 7,253 197
Renal Care Group* 2,513 85
Steris* 933 21
Tenet Healthcare* 194,550 3,247
Triad Hospitals* 6,799 176
WellPoint Health Networks* 206,600 17,631
-----------
184,064
-----------
METALS & MINING -- 0.2%
Alcoa 141,180 3,474
Aptargroup 7,002 245
Newmont Mining 6,700 199
Peabody Energy 4,585 151
Phelps Dodge* 16,191 590
Precision Castparts 10,209 299
Shaw Group (B)* 3,625 44
Timken 65,292 1,069
-----------
6,071
-----------
MISCELLANEOUS MANUFACTURING -- 0.3%
Tyco International 418,500 7,407
-----------
OFFICE/BUSINESS EQUIPMENT -- 0.8%
3M 131,807 16,670
Avery Dennison 5,341 296
HON Industries 10,229 300
IKON Office Solutions (B) 210,700 1,850
Pitney Bowes 18,426 708
Steelcase, Cl A 6,354 66
Xerox (B)* 376,394 4,114
-----------
24,004
-----------
PAINT & RELATED PRODUCTS -- 0.0%
RPM International 22,414 278
Sherwin-Williams 25,117 688
Valspar 6,722 293
-----------
1,259
-----------
PAPER & PAPER PRODUCTS -- 0.8%
Boise Cascade 9,955 245
Bowater 10,189 399
Georgia-Pacific 101,263 1,752
International Paper (B) 236,136 8,659
Kimberly-Clark 50,225 2,608
MeadWestvaco 98,170 2,458
Rayonier 5,461 282
Temple-Inland 9,180 428
Weyerhaeuser 163,033 8,214
-----------
25,045
-----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 15
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
LARGE CAP FUND (Continued)
MAY 31, 2003
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
PETROLEUM & FUEL PRODUCTS -- 5.2%
Amerada Hess 51,051 $ 2,502
Anadarko Petroleum 141,302 6,963
Apache 31,200 2,057
Baker Hughes 4,087 135
Burlington Resources 30,997 1,652
ChevronTexaco 321,847 22,832
Cimarex Energy* 4,346 95
ConocoPhillips 338,207 18,253
Cooper Cameron* 739 40
Devon Energy 32,334 1,681
Diamond Offshore Drilling 4,037 92
ENSCO International 5,197 156
EOG Resources 22,606 974
Equitable Resources 12,393 499
ExxonMobil 1,407,422 51,230
Forest Oil* 3,142 77
Halliburton 42,529 1,015
Helmerich & Payne 9,794 302
Kerr-McGee 19,578 932
Marathon Oil 179,843 4,627
Murphy Oil 3,400 168
Newfield Exploration* 4,094 153
Noble Energy 4,898 178
Occidental Petroleum 328,500 11,084
Patterson-UTI Energy* 879 32
Pioneer Natural Resources* 18,719 501
Pogo Producing 9,658 413
Premcor* 4,355 95
Pride International* 10,805 206
Rowan (B)* 7,886 189
Schlumberger 360,230 17,514
Sunoco 13,058 481
Tidewater 5,164 171
Transocean* 188,907 4,415
Unocal 50,430 1,517
Valero Energy 90,404 3,390
Varco International* 6,072 131
XTO Energy 30,733 660
-----------
157,412
-----------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.1%
Eastman Kodak 139,622 4,278
-----------
RAILROADS -- 1.0%
Burlington Northern Santa Fe 358,852 10,590
CSX 190,445 6,237
Norfolk Southern 300,352 6,584
Union Pacific 89,747 5,473
-----------
28,884
-----------
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
REAL ESTATE -- 0.0%
Catellus Development* 3,808 $ 85
Forest City Enterprises, Cl A 4,301 173
-----------
258
-----------
REAL ESTATE INVESTMENT TRUSTS -- 0.7%
AMB Property 16,284 446
Annaly Mortgage Management 18,250 357
Apartment Investment &
Management, Cl A 15,845 558
Archstone-Smith Trust 34,370 817
Arden Realty 11,374 294
AvalonBay Communities 11,628 488
Boston Properties 13,697 574
BRE Properties, Cl A 8,918 287
Camden Property Trust 6,991 243
CarrAmerica Realty 10,414 289
Centerpoint Properties Trust 4,469 266
Cousins Properties 7,019 190
Crescent Real Estate Equity 15,843 257
Developers Diversified Realty 14,188 401
Duke Realty 26,024 739
Equity Office Properties Trust 81,347 2,189
Equity Residential (B) 53,768 1,424
First Industrial Realty Trust 7,776 234
General Growth Properties (B) 12,054 707
Health Care Property Investors 11,145 437
Highwoods Properties 10,277 220
Hospitality Properties Trust 12,187 385
Host Marriott (B)* 45,634 411
iStar Financial 9,843 325
Kimco Realty 17,896 669
Liberty Property Trust 14,637 487
Mack-Cali Realty 8,418 289
New Plan Excel Realty Trust 18,598 387
Plum Creek Timber 36,179 955
Prologis 31,451 846
Public Storage 19,253 658
Reckson Associates Realty 10,541 214
Regency Centers 4,653 158
Rouse 12,284 456
Simon Property Group 27,492 1,034
Trizec Properties 17,660 193
United Dominion Realty Trust (B) 20,833 356
Vornado Realty Trust 14,052 593
Weingarten Realty Investors 8,961 370
-----------
20,203
-----------
RETAIL -- 6.3%
American Eagle Outfitters* 1,503 26
Autonation (B)* 35,015 487
Barnes & Noble* 6,361 151
Big Lots* 10,476 143
- --------------------------------------------------------------------------------
16 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Blockbuster, Cl A (B) 86,180 $ 1,456
Borders Group* 14,403 237
Brinker International (B)* 136,719 4,762
Carmax* 6,891 160
CBRL Group 8,265 298
Circuit City Stores 36,193 260
Costco Wholesale (B)* 438,209 16,236
CVS 76,491 1,996
Darden Restaurants 134,250 2,659
Dillard's, Cl A 13,751 184
Dollar Tree Stores* 30,730 891
Family Dollar Stores 193,450 7,051
Federated Department Stores* 277,114 9,006
Foot Locker 17,189 231
GameStop* 1,488 19
Gap 147,600 2,509
Home Depot 583,500 18,958
JC Penney (B) 52,051 902
Kohl's* 390,700 20,453
Limited 50,731 774
Lowe's (B) 307,640 13,001
May Department Stores 142,075 3,082
McDonald's 248,928 4,662
MSC Industrial Direct, Cl A* 1,311 25
Neiman-Marcus Group, Cl A* 7,041 244
Nike, Cl B 3,789 212
Nordstrom 18,608 347
Office Depot* 60,217 807
Outback Steakhouse 5,709 211
Pier 1 Imports 12,380 249
Reebok International* 9,703 308
Rite Aid (B)* 46,888 173
Safeway* 151,326 2,851
Saks* 23,628 222
Sears Roebuck 197,663 5,926
Sonic Automotive* 2,165 40
Staples* 685,000 13,282
Talbots 400 12
TJX 400,000 7,280
Toys "R" Us (B)* 38,022 443
Wal-Mart Stores 670,645 35,283
Walgreen 356,930 10,990
Wendy's International 9,076 273
Yum! Brands (B)* 11,708 327
Zale* 4,554 166
-----------
190,265
-----------
RETIREMENT/AGED CARE -- 0.0%
Manor Care* 10,860 257
-----------
RUBBER-TIRES -- 0.1%
Cooper Tire & Rubber 83,230 1,322
Goodyear Tire & Rubber (B) 30,000 196
-----------
1,518
-----------
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
SEMI-CONDUCTORS/INSTRUMENTS -- 1.7%
Advanced Micro Devices (B)* 45,862 $ 334
Agere Systems* 144,181 337
Amkor Technology* 6,498 72
Applera - Applied
Biosystems Group 2,750 53
Applied Micro Circuits* 30,100 151
Atmel* 24,946 75
Broadcom, Cl A (B)* 17,846 437
Conexant Systems* 24,900 96
Cypress Semiconductor (B)* 6,333 70
Fairchild Semiconductor
International* 1,648 23
Integrated Device Technology* 10,300 125
Intel 2,108,430 43,940
International Rectifier* 1,893 49
Intersil, Cl A* 8,381 205
JDS Uniphase* 132,597 513
LSI Logic* 35,900 230
Micron Technology (B)* 52,373 593
MKS Instruments* 600 12
National Semiconductor* 5,584 139
Novellus Systems (B)* 3,140 109
PerkinElmer 13,190 169
Teradyne* 7,795 134
Texas Instruments 205,400 4,211
-----------
52,077
-----------
SOFTWARE -- 3.3%
Advent Software* 752 11
BMC Software* 20,957 356
Citrix Systems* 4,554 100
Computer Associates International (B) 208,212 4,512
Compuware* 36,802 224
DST Systems* 66,400 2,345
Electronic Arts (B)* 163,248 11,192
Intuit* 55,050 2,537
Mercury Interactive (B)* 37,200 1,462
Microsoft (B) 2,619,230 64,459
Sungard Data Systems* 187,300 4,308
Sybase* 9,900 125
Symantec (B)* 29,990 1,356
Veritas Software* 177,471 4,925
-----------
97,912
-----------
STEEL & STEEL WORKS -- 0.0%
AK Steel Holding* 17,321 51
Allegheny Technologies 15,966 105
Nucor 15,298 729
United States Steel (B) 19,604 309
-----------
1,194
-----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 17
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
LARGE CAP FUND (Continued)
MAY 31, 2003
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
TELEPHONES & TELECOMMUNICATIONS -- 3.3%
Alltel 60,677 $ 2,905
Amdocs* 149,000 2,907
AT&T 148,853 2,901
AT&T Wireless Services (B)* 219,096 1,702
BellSouth 521,293 13,819
CenturyTel 27,692 932
Citizens Communications (B)* 29,051 358
IDT* 9,832 158
Lucent Technologies (B)* 766,075 1,693
Nextel Communications, Cl A (B)* 247,000 3,703
Nortel Networks (B)* 1,254,400 3,939
Qwest Communications
International (B)* 610,766 2,742
SBC Communications 767,546 19,542
Sprint-FON Group 599,003 8,123
Telephone & Data Systems 10,050 490
US Cellular* 3,200 84
Verizon Communications 727,486 27,536
WPP Group ADR 112,000 4,635
-----------
98,169
-----------
TRUCKING -- 1.5%
CNF 8,500 256
Expeditors International Washington 485,000 16,946
Navistar International* 11,900 367
Swift Transportation* 5,509 113
United Parcel Service, Cl B (B) 413,958 25,843
-----------
43,525
-----------
WATER UTILITIES -- 0.0%
Philadelphia Suburban 11,258 265
-----------
WHOLESALE -- 0.3%
Fastenal (B) 136,200 4,553
Genuine Parts 83,218 2,735
Ingram Micro, Cl A* 111,922 1,233
Performance Food Group* 2,414 88
Tech Data* 34,438 857
W.W. Grainger 15,254 712
-----------
10,178
-----------
Total Common Stock
(Cost $2,978,709) 2,958,416
-----------
EXCHANGE TRADED FUND -- 0.1%
iShares Russell 1000 Value
Index Fund (B) 47,048 2,370
-----------
Total Exchange Traded Fund
(Cost $2,343) 2,370
-----------
- --------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
U.S. TREASURY OBLIGATION -- 0.3%
U.S. Treasury Bills (A)
1.170%, 08/28/03 $10,000 $ 9,973
-----------
Total U.S. Treasury Obligation
(Cost $9,972) 9,973
-----------
CORPORATE OBLIGATIONS (C) -- 3.8%
FINANCIAL SERVICES/SPECIAL PURPOSE ENTITY -- 3.4%
American Express Credit
1.319%, 12/17/03 6,872 6,874
1.300%, 01/13/04 2,291 2,291
American Honda Finance
1.281%, 03/15/04 5,727 5,737
1.247%, 11/10/03 1,833 1,835
CIT Group
2.428%, 12/05/03 3,574 3,559
2.075%, 05/03/04 916 916
2.001%, 04/08/04 5,406 5,408
1.852%, 01/09/04 1,466 1,473
1.483%, 08/14/03 367 367
Citigroup
1.259%, 03/09/04 4,581 4,591
1.257%, 05/04/04 2,144 2,152
Countrywide Home Loans
1.567%, 12/10/03 1,833 1,833
1.530%, 01/13/04 3,784 3,784
1.510%, 12/10/03 1,191 1,192
1.465%, 05/14/04 2,291 2,290
General Electric
1.288%, 01/28/04 2,291 2,291
General Electric Capital
1.390%, 07/28/03 4,581 4,581
Goldman Sachs Group
1.354%, 08/04/03 4,581 4,581
Halogen Funding
1.340%, 06/04/03 1,924 1,924
1.340%, 06/06/03 3,665 3,665
Household Finance
2.287%, 08/01/03 4,581 4,578
1.747%, 09/12/03 1,100 1,102
1.382%, 04/23/04 458 461
1.374%, 03/11/04 4,284 4,325
International Lease Finance
1.480%, 10/03/03 916 918
Liberty Light US Capital
1.310%, 01/21/04 4,581 4,581
1.310%, 05/17/04 2,749 2,748
Merrill Lynch
1.270%, 04/13/04 4,581 4,581
PNC Bank
1.295%, 06/06/03 9,621 9,622
- --------------------------------------------------------------------------------
18 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
Scaldis Capital
1.312%, 07/14/03 $ 4,581 $ 4,574
USA Education
1.289%, 01/23/04 1,631 1,633
Washington Mutual Bank
1.409%, 06/16/03 1,649 1,649
-----------
102,116
-----------
MACHINERY -- 0.4%
Caterpillar
1.305%, 03/05/04 2,107 2,110
1.294%, 05/28/04 2,291 2,294
1.244%, 07/09/03 4,581 4,582
1.230%, 04/08/04 2,749 2,754
-----------
11,740
-----------
Total Corporate Obligations
(Cost $113,856) 113,856
-----------
COMMERCIAL PAPER (C) -- 2.1%
FINANCIAL SERVICES/SPECIAL PURPOSE ENTITY -- 2.1%
ASAP Funding Limited
1.241%, 06/17/03 2,291 2,289
Aquinas Funding
1.224%, 09/10/03 4,581 4,566
1.181%, 06/13/03 4,581 4,580
Atlantis One Funding
1.181%, 06/24/03 9,163 9,155
Edison Asset
1.234%, 09/03/03 4,581 4,567
Mortgage Interest Networking Trust
1.271%, 07/02/03 9,163 9,153
Park Granada
1.313%, 07/28/03 2,291 2,286
1.292%, 07/29/03 6,139 6,126
Polonius
1.200%, 06/11/03 4,581 4,580
Sigma Finance
1.391%, 08/19/03 2,291 2,291
1.331%, 06/17/03 2,259 2,257
1.312%, 07/14/03 4,581 4,574
Tannehill Capital
1.312%, 07/21/03 1,833 1,829
1.300%, 07/10/03 2,749 2,749
1.283%, 08/06/03 1,833 1,828
Witmer Funding
1.281%, 06/12/03 1,833 1,832
-----------
Total Commercial Paper
(Cost $64,662) 64,662
-----------
- --------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
CASH EQUIVALENT -- 0.1%
First Union Cash
Management Program 3,268,070 $ 3,268
-----------
Total Cash Equivalent
(Cost $3,268) 3,268
-----------
REPURCHASE AGREEMENTS -- 2.1%
ABN Amro (D)
1.290%, dated 05/30/03, to be
repurchased on 06/02/03,
repurchase price $14,949,912
(collateralized by U.S. Government
Agency obligations, total market
value: $15,248,129) $14,948 14,948
Lehman Brothers (C)
1.350%, dated 05/30/03, to be
repurchased on 06/02/03,
repurchase price $3,207,385
(collateralized by U.S. Government
Agency obligations, total market
value: $3,271,187) 3,207 3,207
Morgan Stanley Dean Witter (D)
1.290%, dated 05/30/03, to be
repurchased on 06/02/03,
repurchase price $7,889,211
(collateralized by U.S. Government
Agency obligations, total market
value: $8,049,650) 7,888 7,888
UBS Paine Webber (C)
1.360%, dated 05/30/03, to be
repurchased on 06/02/03,
repurchase price $36,153,210
(collateralized by U.S. Government
Agency obligations, total market
value: $36,872,406) 36,149 36,149
-----------
Total Repurchase Agreements
(Cost $62,192) 62,192
-----------
Total Investments -- 106.8%
(Cost $3,235,002) 3,214,737
-----------
OTHER ASSETS AND LIABILITIES -- (6.8%)
Payable upon Return on Securities Loaned (217,874)
Investment Advisory Fees Payable (583)
Other Assets and Liabilities 12,396
-----------
Total Other Assets and Liabilities, Net (206,061)
-----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 19
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
LARGE CAP FUND (Concluded)
MAY 31, 2003
- -------------------------------------------------------------------
Value
($ Thousands)
- -------------------------------------------------------------------
NET ASSETS:
Paid-in-Capital -- Class A
(unlimited authorization -- no par value)
based on 242,458,931 outstanding
shares of beneficial interest $ 3,745,185
Paid-in-Capital-- Class T
(unlimited authorization -- no par value)
based on 17,096 outstanding
shares of beneficial interest 7,079
Undistributed net investment income 6,521
Accumulated net realized loss on investments (730,491)
Net unrealized depreciation on investments (20,265)
Net unrealized appreciation on futures contracts 647
-----------
Total Net Assets -- 100.0% $ 3,008,676
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($3,008,463,796 / 242,458,931 shares) $12.41
======
Net Asset Value, Offering and Redemption
Price Per Share -- Class T
($212,929 / 17,096 shares) $12.45
======
* Non-Income Producing Security
(A) Security, or portion thereof, is pledged as collateral on open futures
contracts. Rate shown is effective yield at time of purchase.
(B) This security or a partial position of this security is on loan at May 31,
2003 (see Note 11). The total value of securities on loan at May 31, 2003
was $211,882,846.
(C) These securities were purchased with cash collateral received from
securities lending. The total value of such securities as of May 31, 2003
was $217,874,034 (See Note 11).
(D) Tri-Party Repurchase Agreement.
ADR -- American Depository Receipt
Cl -- Class
NY -- New York
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
20 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
LARGE CAP VALUE FUND
MAY 31, 2003
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
COMMON STOCK -- 97.3%
AEROSPACE & DEFENSE -- 3.2%
Boeing 36,553 $ 1,121
General Dynamics 14,688 981
General Motors-Hughes Electronics* 69,557 849
Goodrich 36,964 675
Honeywell International 38,252 1,002
Lockheed Martin 36,226 1,682
Northrop Grumman 28,078 2,470
Raytheon 20,326 651
Rockwell Collins 27,748 638
Textron 6,032 210
Titan* 205 2
United Technologies 35,461 2,420
---------
12,701
---------
AIR TRANSPORTATION -- 0.4%
AMR (B)* 7,530 48
Continental Airlines, Cl B (B)* 3,921 43
Delta Air Lines (B) 6,079 81
FedEx 15,259 976
JetBlue Airways* 300 10
Northwest Airlines (B)* 3,424 31
Skywest 1,365 19
Southwest Airlines 19,968 321
---------
1,529
---------
APPAREL/TEXTILES -- 0.3%
Columbia Sportswear* 23 1
Jones Apparel Group* 5,648 166
Liz Claiborne 18,436 625
Polo Ralph Lauren* 1,829 48
VF 14,310 545
---------
1,385
---------
AUTOMOTIVE -- 1.6%
American Axle & Manufacturing
Holdings* 1,600 40
ArvinMeritor 3,300 59
Autoliv 34,799 895
BorgWarner 1,346 78
Dana 7,354 66
Delphi 53,736 474
Ford Motor 92,993 976
General Motors 47,288 1,671
Harsco 2,035 72
ITT Industries 4,210 264
Lear* 12,776 508
Magna International, Cl A 12,000 805
O'Reilly Automotive* 464 14
Paccar 5,529 366
Visteon 9,252 57
---------
6,345
---------
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
BANKS -- 15.5%
AmSouth Bancorp 18,443 $ 412
Associated Banc 3,874 145
Astoria Financial 33,772 893
Bancorpsouth 3,991 88
Bank of America 142,418 10,567
Bank of Hawaii 3,363 118
Bank of New York 24,258 702
Bank One 60,188 2,249
Banknorth Group 8,100 208
BB&T 24,472 837
BOK Financial* 750 27
Capitol Federal Financial 1,153 35
Charter One Financial 11,740 358
Citizens Banking 2,150 57
City National 1,969 89
Colonial BancGroup 5,863 79
Comerica 19,241 890
Commerce Bancshares 3,233 131
Compass Bancshares 6,476 239
Cullen/Frost Bankers 2,527 86
Downey Financial 1,039 46
First Midwest Bancorp 2,348 68
First Tennessee National 6,528 305
First Virginia Banks 3,630 156
FirstMerit 4,222 97
FleetBoston Financial 120,431 3,561
FNB 2,331 70
Fulton Financial 5,371 111
Golden West Financial 21,800 1,696
Greater Bay Bancorp (B) 2,269 46
Greenpoint Financial 22,427 1,137
Hibernia, Cl A 8,138 157
Hudson City Bancorp 3,784 96
Hudson United Bancorp 1,580 56
Huntington Bancshares 12,062 247
Independence Community Bank 2,519 71
IndyMac Bancorp 3,085 79
JP Morgan Chase 192,218 6,316
Keycorp 35,838 946
M&T Bank 5,179 461
Marshall & Ilsley 11,337 340
Mellon Financial 40,055 1,088
Mercantile Bankshares 3,562 144
National City 79,938 2,704
National Commerce Financial 10,632 242
New York Community Bancorp 4,875 135
North Fork Bancorporation
(NY Shares) 6,236 206
Northern Trust 5,089 194
Old National Bancorp 3,138 74
Park National 613 68
Peoples Bank Bridgeport 1,179 33
PNC Financial Services Group 14,495 714
Popular 7,022 277
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 21
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
LARGE CAP VALUE FUND (Continued)
MAY 31, 2003
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Provident Financial Group (B) 1,285 $ 33
Regions Financial 20,930 733
Roslyn Bancorp 3,584 69
Silicon Valley Bancshares* 1,979 50
Sky Financial Group 3,800 81
SouthTrust 17,689 508
Sovereign Bancorp (B) 13,600 222
State Street 5,360 205
SunTrust Banks 12,749 756
TCF Financial 1,493 59
Trustmark 2,187 58
Union Planters 10,295 331
UnionBanCal 23,341 986
US Bancorp 146,446 3,471
Valley National Bancorp 5,029 136
Wachovia 93,926 3,774
Washington Federal 3,424 80
Washington Mutual 133,713 5,453
Webster Financial 2,255 85
Wells Fargo 100,147 4,837
Westamerica Bancorporation 1,388 62
Whitney Holding 2,021 69
Wilmington Trust 3,279 95
Zions Bancorporation 4,656 238
-----------
62,542
-----------
BEAUTY PRODUCTS -- 1.1%
Alberto-Culver, Cl B 1,624 83
Avon Products 12,104 738
Colgate-Palmolive 3,221 192
Dial 2,302 46
Estee Lauder, Cl A 1,390 46
Gillette 22,179 746
International Flavors & Fragrances 1,938 61
Procter & Gamble 27,101 2,488
-----------
4,400
-----------
BIOTECHNOLOGY -- 0.5%
Biogen* 22,500 955
Genentech (B)* 1,158 72
Genzyme-General Division* 18,886 897
Human Genome Sciences* 3,600 53
ICOS (B)* 2,900 92
Invitrogen (B)* 1,600 62
Ribapharm* 174 1
-----------
2,132
-----------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 3.9%
American Greetings, Cl A* 3,768 67
AOL Time Warner (B)* 115,859 1,763
Avaya* 17,700 117
Belo, Cl A 4,371 102
Cablevision Systems, Cl A (B)* 6,888 133
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Charter Communications, Cl A (B)* 7,500 $ 23
CIENA* 12,072 69
Clear Channel Communications* 13,029 530
Comcast Special, Cl A* 9,500 274
Comcast, Cl A (B)* 104,983 3,161
Comverse Technology* 5,037 77
COX Communications, Cl A (B)* 9,970 309
COX Radio, Cl A* 809 18
Cumulus Media, Cl A* 1,100 20
Dow Jones 1,005 46
E.W. Scripps, Cl A 210 19
Emmis Communications, Cl A* 2,000 42
Entercom Communications* 277 13
Entravision Communications, Cl A* 2,015 20
Fox Entertainment Group, Cl A* 3,800 107
Gannett 13,637 1,077
Gemstar-TV Guide International* 6,200 29
Getty Images* 300 12
Hearst-Argyle Television* 875 22
Hispanic Broadcasting* 1,200 30
Knight-Ridder 4,296 303
Lamar Advertising* 1,125 40
Lee Enterprises 2,268 85
Liberty Media* 132,907 1,555
Lin TV, Cl A* 600 14
McClatchy, Cl A 929 56
McGraw-Hill 1,600 101
McLeodUSA, Cl A (B)* 19,300 --
Media General, Cl A 637 37
Meredith 1,737 76
New York Times, Cl A 2,063 99
News ADR 36,800 939
Polycom* 1,700 22
Radio One, Cl D* 2,103 35
Reader's Digest Association 3,363 44
RR Donnelley & Sons 28,200 704
Scholastic* 893 28
Tellabs* 61,026 485
Tribune 9,907 494
UnitedGlobalCom, Cl A (B)* 4,493 21
USA Interactive (B)* 2,167 83
Valassis Communications* 2,475 66
Viacom, Cl B* 47,843 2,178
Washington Post, Cl B 200 145
-----------
15,690
-----------
BUILDING & CONSTRUCTION -- 1.0%
American Standard* 441 32
Centex (B) 11,706 909
Clayton Homes 5,100 64
DR Horton 4,872 128
KB Home 2,059 129
Lafarge North America 12,600 397
Lennar, Cl A 2,773 186
- --------------------------------------------------------------------------------
22 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Martin Marietta Materials 2,377 $ 81
Masco 13,322 328
Pulte Homes 18,262 1,198
Ryland Group 1,382 90
Toll Brothers* 2,193 64
Vulcan Materials 4,572 167
York International 2,260 58
-----------
3,831
-----------
CHEMICALS -- 2.7%
Albemarle 1,601 43
Ashland 21,100 685
Cabot 2,630 77
Church & Dwight 758 24
Dow Chemical 101,596 3,231
E.I. Du Pont de Nemours 75,785 3,194
Eastman Chemical 30,419 994
Engelhard 6,608 166
FMC* 7,500 156
Hercules* 4,800 48
IMC Global 6,110 53
Lubrizol 27,323 872
Lyondell Chemical (B) 6,400 92
Millennium Chemicals 10,000 119
Monsanto 13,286 266
OM Group (B) 1,931 28
PPG Industries 8,609 419
Rohm & Haas 8,085 262
Scotts, Cl A* 786 39
Sigma-Aldrich 3,056 160
-----------
10,928
-----------
COMMERCIAL SERVICES -- 0.5%
Brink's 30,570 484
Cendant (B)* 52,627 884
Fluor 3,441 122
Harte-Hanks 1,093 20
Interactive Data* 1,605 26
Iron Mountain* 1,050 41
Jacobs Engineering Group* 744 29
Manpower 1,469 51
Monster Worldwide* 1,500 30
Quintiles Transnational* 3,517 50
Rockwell Automation 8,326 197
ServiceMaster 15,382 164
Viad 1,054 21
-----------
2,119
-----------
COMMUNICATIONS EQUIPMENT -- 0.2%
ADC Telecommunications* 22,858 61
Advanced Fibre Communication* 2,369 45
Andrew* 5,629 56
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Corning (B)* 36,755 $ 269
Harris 1,579 48
Motorola 39,458 336
PanAmSat* 1,088 20
Scientific-Atlanta 8,035 158
-----------
993
-----------
COMPUTERS & SERVICES -- 4.3%
3Com* 17,612 86
Apple Computer* 18,366 330
Autodesk (B) 4,442 66
Ceridian* 1,996 35
Checkfree (B)* 1,600 39
Cisco Systems* 46,700 760
Computer Sciences* 23,606 937
Diebold 3,669 147
Electronic Data Systems 37,859 763
EMC* 50,615 548
Emulex* 1,100 27
Gateway* 9,076 30
GTECH Holdings* 1,000 35
Hewlett-Packard 287,292 5,602
International Business Machines 55,159 4,856
Jabil Circuit* 707 15
Juniper Networks (B)* 2,500 35
Macromedia* 600 12
Maxtor* 57,200 430
NCR* 30,882 774
Perot Systems, Cl A* 96 1
RealNetworks* 384 3
Reynolds & Reynolds, Cl A 15,900 471
Storage Technology* 4,401 119
Sun Microsystems* 86,400 374
Symbol Technologies (B) 5,754 77
Unisys* 13,545 153
VeriSign (B)* 5,800 87
WebMD* 6,941 69
Western Digital* 38,000 476
Zebra Technologies, Cl A* 188 14
-----------
17,371
-----------
CONTAINERS & PACKAGING -- 0.5%
Ball 2,266 112
Bemis 2,492 114
Crown Holdings* 10,100 67
Owens-Illinois* 61,000 698
Packaging of America* 2,970 54
Pactiv* 8,067 158
Sealed Air (B)* 500 22
Smurfit-Stone Container (B)* 35,249 522
Sonoco Products 4,844 109
-----------
1,856
-----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 23
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
LARGE CAP VALUE FUND (Continued)
MAY 31, 2003
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
DATA PROCESSING -- 0.4%
Acxiom* 1,320 $ 20
Alliance Data Systems* 724 18
Automatic Data Processing 9,700 338
D&B* 846 33
First Data 25,300 1,048
Global Payments 58 2
-----------
1,459
-----------
DRUGS -- 2.9%
Bristol-Myers Squibb 62,418 1,598
Eli Lilly 4,996 299
GlaxoSmithKline ADR 25,000 1,000
ICN Pharmaceuticals 44,712 671
Medicis Pharmaceutical, Cl A* 430 24
Merck 61,864 3,438
Millennium Pharmaceuticals* 6,900 107
Mylan Laboratories 750 22
Pfizer 80,260 2,490
Schering-Plough 90,321 1,666
SICOR* 708 15
Vertex Pharmaceuticals* 4,000 58
Watson Pharmaceuticals* 3,151 117
-----------
11,505
-----------
ELECTRICAL SERVICES -- 4.9%
AES* 13,300 105
Allegheny Energy (B) 7,100 62
Allete 3,756 95
Alliant Energy 4,600 92
Ameren (B) 8,209 373
American Electric Power 52,440 1,523
American Power Conversion* 7,227 112
Aquila 10,682 30
Calpine (B)* 13,700 71
Centerpoint Energy 24,500 234
Cinergy 13,966 530
CMS Energy (B) 7,162 57
Consolidated Edison 11,454 492
Constellation Energy Group 11,426 379
Cooper Industries, Cl A 8,200 327
Dominion Resources 15,674 987
DPL 6,281 103
DTE Energy 8,189 355
Duke Energy 45,600 884
Edison International* 63,136 1,028
Energy East 7,340 156
Entergy 16,378 847
Exelon 23,519 1,348
FirstEnergy 14,137 520
FPL Group 20,980 1,395
Great Plains Energy 3,600 104
Hawaiian Electric Industries 1,772 81
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Hubbell, Cl B 2,420 $ 81
Idacorp 2,180 60
Kemet* 4,600 46
MDU Resources Group 3,634 117
Mirant* 17,976 62
Molex 1,248 34
NiSource (B) 13,393 263
Northeast Utilities 28,527 461
NSTAR 2,660 124
OGE Energy 3,962 84
Pepco Holdings 7,819 160
PG&E (B)* 44,892 763
Pinnacle West Capital 12,848 486
PPL 24,981 1,010
Progress Energy 12,103 569
Public Service Enterprise Group 11,346 485
Puget Energy (B) 4,777 112
Reliant Resources* 24,942 167
SCANA 5,646 190
Southern 35,971 1,132
TECO Energy (B) 8,800 114
Texas Genco Holdings 680 14
TXU (B) 16,149 327
Wisconsin Energy 16,457 458
Xcel Energy 20,125 310
-----------
19,919
-----------
ELECTRONICS -- 0.5%
Adaptec* 3,616 29
Agilent Technologies (B)* 12,435 225
Arrow Electronics (B)* 21,906 373
Avnet* 20,200 275
AVX 2,613 31
Energizer Holdings* 4,053 129
Sanmina-SCI* 13,102 75
Solectron* 101,800 407
Tektronix* 3,600 76
Thomas & Betts* 10,500 162
Vishay Intertechnology* 6,100 88
-----------
1,870
-----------
ENTERTAINMENT -- 0.6%
Brunswick 4,500 99
Callaway Golf 2,800 40
Hasbro 7,300 117
International Speedway 700 26
Mattel 1,800 39
Metro-Goldwyn-Mayer* 1,201 15
Regal Entertainment Group 727 16
Six Flags* 4,800 36
Walt Disney 104,480 2,053
-----------
2,441
-----------
- --------------------------------------------------------------------------------
24 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
ENVIRONMENTAL SERVICES -- 0.5%
Allied Waste Industries* 1,639 $ 16
Republic Services* 7,837 188
Waste Management 76,641 1,952
-----------
2,156
-----------
FINANCIAL SERVICES -- 9.4%
Affiliated Managers Group* 321 18
AG Edwards 4,136 136
Allied Capital (B) 34,696 810
American Express 22,684 945
AmeriCredit (B)* 2,331 22
Bear Stearns 29,741 2,298
Citigroup 297,025 12,184
Concord EFS* 16,800 254
Countrywide Credit Industry 20,710 1,525
Deluxe 14,000 658
Doral Financial 843 36
E*TRADE Group (B)* 7,577 58
Equifax 800 20
Fannie Mae 15,000 1,110
Franklin Resources 29,846 1,115
Freddie Mac 25,826 1,545
Goldman Sachs Group 12,375 1,009
H&R Block 32,800 1,343
HSBC Holdings ADR 15,600 925
Instinet Group (B)* 3,200 13
Janus Capital Group 10,784 168
LaBranche 1,993 41
Legg Mason 1,400 90
Lehman Brothers Holdings 43,981 3,150
MBNA 100,200 2,009
Merrill Lynch 60,911 2,637
Morgan Stanley Dean Witter 75,294 3,445
Neuberger Berman 356 12
Providian Financial* 8,800 79
Raymond James Financial 1,872 57
Student Loan 206 24
T Rowe Price Group (B) 3,586 132
-----------
37,868
-----------
FOOD, BEVERAGE & TOBACCO -- 3.1%
Adolph Coors, Cl B 7,673 423
Albertson's (B) 43,536 909
Altria Group 84,403 3,486
Anheuser-Busch 14,943 786
Archer-Daniels-Midland 28,998 347
Campbell Soup 11,434 285
Coca-Cola 15,476 705
Coca-Cola Enterprises 993 19
ConAgra Foods 27,422 665
Constellation Brands, Cl A* 2,482 68
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Dean Foods* 4,585 $ 210
General Mills (B) 5,362 251
Hershey Foods 2,500 178
HJ Heinz 9,336 309
Hormel Foods 3,686 87
Kellogg 6,200 218
Kraft Foods, Cl A 10,535 341
Kroger* 9,389 151
Lancaster Colony 1,521 59
Loews - Carolina Group 1,400 35
McCormick 3,348 90
PepsiAmericas 32,403 421
RJ Reynolds Tobacco Holdings 9,521 325
Ruddick 14,300 222
Sara Lee 19,910 363
Smithfield Foods* 5,800 122
Supervalu 38,696 768
Tyson Foods, Cl A 43,832 416
UST (B) 4,281 151
Winn-Dixie Stores 3,730 53
Wm. Wrigley Jr. 2,626 148
-----------
12,611
-----------
GAS/NATURAL GAS -- 0.9%
Air Products & Chemicals 11,594 505
Dynegy, Cl A 13,800 69
El Paso 30,012 261
KeySpan 7,957 280
Kinder Morgan 1,900 97
National Fuel Gas 3,675 94
Nicor 9,266 330
Peoples Energy 1,800 77
Praxair 8,335 500
Questar 3,829 124
Sempra Energy 44,000 1,200
Vectren 3,318 82
Williams 23,200 183
-----------
3,802
-----------
HAND/MACHINE TOOLS -- 0.1%
Black & Decker 332 15
Illinois Tool Works 5,871 364
Snap-On 2,870 87
Stanley Works 1,425 40
-----------
506
-----------
HOTELS & LODGING -- 0.2%
Extended Stay America* 2,546 31
Harrah's Entertainment* 300 12
Hilton Hotels (B) 13,500 187
Mandalay Resort Group* 1,756 53
Marriott International, Cl A (B) 4,560 178
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 25
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
LARGE CAP VALUE FUND (Continued)
MAY 31, 2003
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
MGM Mirage* 3,175 $ 90
Park Place Entertainment* 13,610 104
Starwood Hotels & Resorts Worldwide 5,661 164
---------
819
---------
HOUSEHOLD PRODUCTS, FURNITURE & FIXTURES -- 0.7%
Clorox 4,171 186
Ethan Allen Interiors 900 32
Fortune Brands 7,704 404
Furniture Brands International* 800 21
La-Z-Boy 2,509 55
Leggett & Platt 25,754 568
Newell Rubbermaid 12,857 367
Whirlpool 20,971 1,193
---------
2,826
---------
INSURANCE -- 7.9%
21st Century Insurance Group 1,640 23
ACE 43,100 1,573
Aetna 16,242 933
Aflac 13,665 450
Alleghany* 308 54
Allmerica Financial* 2,800 49
Allstate 56,938 2,049
AMBAC Financial Group 15,689 1,047
American Financial Group 1,400 31
American International Group 66,292 3,837
American National Insurance 500 43
AmerUs Group 2,300 62
AON 14,002 359
Chubb 22,171 1,420
Cigna (B) 25,880 1,452
Cincinnati Financial 6,995 260
CNA Financial* 1,200 29
Erie Indemnity, Cl A 1,278 51
Fidelity National Financial 6,923 215
First American 3,859 104
Hartford Financial Services Group 12,624 589
HCC Insurance Holdings 2,585 74
Humana* 8,317 108
Jefferson-Pilot 7,290 307
John Hancock Financial Services 15,022 454
Leucadia National 1,967 75
Lincoln National 19,499 678
Loews 19,508 938
Markel* 400 101
Marsh & McLennan 40,170 2,014
MBIA 7,511 376
Mercury General 1,309 62
Metlife 63,949 1,789
MGIC Investment 4,369 236
Mony Group 2,279 61
Nationwide Financial Services, Cl A 1,400 45
Old Republic International 30,770 1,057
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Partnerre Holdings 6,000 $ 319
Phoenix (B) 4,600 39
PMI Group 25,992 797
Principal Financial Group 14,693 467
Progressive 4,100 295
Protective Life 3,700 102
Prudential Financial 28,442 953
Radian Group 4,583 184
Reinsurance Group of America 1,000 31
RenaissanceRe Holdings 775 35
Safeco 6,948 251
St. Paul 59,782 2,187
Stancorp Financial Group 8,656 468
Torchmark 23,969 926
Transatlantic Holdings 1,028 71
Travelers Property Casualty, Cl A (B) 20,522 335
Travelers Property Casualty, Cl B 49,476 800
Unitrin 2,253 59
UnumProvident 14,760 190
Wesco Financial 65 20
WR Berkley 2,200 108
---------
31,642
---------
LEASING & RENTING -- 0.0%
GATX 2,300 39
Rent-A-Center* 200 13
Ryder System 2,888 77
United Rentals* 2,400 31
---------
160
---------
MACHINERY -- 1.7%
AGCO* 1,900 34
Caterpillar (B) 17,589 917
Crane 2,570 54
Cummins (B) 17,783 610
Deere 30,434 1,329
Donaldson 579 24
Dover 10,307 312
Eaton 3,568 300
Emerson Electric 21,534 1,126
Flowserve* 169 3
FMC Technologies* 2,729 61
Johnson Controls 9,828 818
National-Oilwell* 1,787 43
Pall 5,417 118
Parker Hannifin 6,074 246
Pentair 2,600 101
SPX* 2,323 90
Tecumseh Products, Cl A 9,600 369
Teleflex 1,400 60
Thermo Electron* 6,074 128
---------
6,743
---------
- --------------------------------------------------------------------------------
26 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
MEDICAL PRODUCTS & SERVICES -- 2.0%
Advanced Medical Optics* 300 $ 4
AmerisourceBergen 1,264 79
Anthem* 1,324 97
Apogent Technologies (B)* 2,700 52
Bausch & Lomb 17,056 647
Baxter International 24,600 623
Becton Dickinson 11,292 452
C.R. Bard 2,671 187
Community Health Systems* 700 15
Coventry Health Care* 1,209 53
Edwards Lifesciences* 939 28
Guidant* 41,650 1,761
HCA 36,800 1,214
Health Net* 4,321 131
Henry Schein* 816 40
Hillenbrand Industries 2,605 133
McKesson 2,200 67
Omnicare 1,975 54
Orthodontic Centers of America* 69 1
Renal Care Group* 570 19
Steris* 200 4
Tenet Healthcare* 48,900 816
Triad Hospitals* 1,800 47
WellPoint Health Networks* 17,000 1,451
---------
7,975
---------
METALS & MINING -- 0.4%
Alcoa 36,935 909
Aptargroup 1,809 63
Newmont Mining 1,825 54
Peabody Energy 1,268 42
Phelps Dodge* 4,205 153
Precision Castparts 2,661 78
Shaw Group (B)* 605 7
Timken 21,045 345
---------
1,651
---------
MISCELLANEOUS MANUFACTURING -- 0.5%
Tyco International 105,200 1,862
---------
OFFICE/BUSINESS EQUIPMENT -- 0.7%
3M 5,516 698
Avery Dennison 1,341 74
HON Industries 2,677 78
IKON Office Solutions 59,400 521
Pitney Bowes 4,831 186
Steelcase, Cl A 2,047 21
Xerox (B)* 105,087 1,149
---------
2,727
---------
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
PAINT & RELATED PRODUCTS -- 0.1%
RPM International 5,665 $ 70
Sherwin-Williams 6,599 181
Valspar 1,680 73
---------
324
---------
PAPER & PAPER PRODUCTS -- 1.6%
Boise Cascade 2,800 69
Bowater 2,584 101
Georgia-Pacific 23,326 404
International Paper 68,741 2,521
Kimberly-Clark 13,137 682
MeadWestvaco 24,054 602
Rayonier 1,347 70
Temple-Inland 2,400 112
Weyerhaeuser 41,449 2,088
---------
6,649
---------
PETROLEUM & FUEL PRODUCTS -- 8.9%
Amerada Hess 15,000 735
Anadarko Petroleum 37,015 1,824
Apache 8,179 539
Baker Hughes 998 33
Burlington Resources 8,121 433
ChevronTexaco 82,806 5,874
Cimarex Energy* 1,219 27
ConocoPhillips 90,127 4,864
Cooper Cameron* 150 8
Devon Energy 8,450 439
Diamond Offshore Drilling 1,251 28
ENSCO International 1,235 37
EOG Resources 5,884 254
Equitable Resources 3,228 130
ExxonMobil 369,418 13,447
Forest Oil* 700 17
Halliburton 11,057 264
Helmerich & Payne 2,434 75
Kerr-McGee 5,159 245
Marathon Oil 50,188 1,291
Murphy Oil 800 40
Newfield Exploration* 1,089 41
Noble Energy 1,426 52
Occidental Petroleum 86,635 2,923
Patterson-UTI Energy* 342 13
Pioneer Natural Resources* 4,907 131
Pogo Producing 2,446 105
Premcor* 1,172 26
Pride International* 2,763 53
Rowan (B)* 2,308 55
Sunoco 3,500 129
Tidewater 1,518 50
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 27
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
LARGE CAP VALUE FUND (Continued)
MAY 31, 2003
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Unocal 13,088 $ 394
Valero Energy 25,703 964
Varco International* 1,852 40
XTO Energy 7,991 171
---------
35,751
---------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.3%
Eastman Kodak 38,013 1,165
---------
RAILROADS -- 1.9%
Burlington Northern Santa Fe 97,246 2,870
CSX 40,982 1,342
Norfolk Southern 84,650 1,855
Union Pacific 24,180 1,475
---------
7,542
---------
REAL ESTATE -- 0.0%
Catellus Development* 1,212 27
Forest City Enterprises, Cl A 1,065 43
---------
70
---------
REAL ESTATE INVESTMENT TRUSTS -- 1.3%
AMB Property 4,265 117
Annaly Mortgage Management 4,715 92
Apartment Investment &
Management, Cl A 4,151 146
Archstone-Smith Trust 9,029 215
Arden Realty 3,087 80
AvalonBay Communities 3,044 128
Boston Properties 3,557 149
BRE Properties, Cl A 2,237 72
Camden Property Trust 1,826 63
CarrAmerica Realty 2,579 72
Centerpoint Properties Trust 1,118 66
Cousins Properties 1,753 47
Crescent Real Estate Equity 4,200 68
Developers Diversified Realty 3,670 104
Duke Realty 6,817 193
Equity Office Properties Trust 21,274 573
Equity Residential 14,086 373
First Industrial Realty Trust 2,120 64
General Growth Properties (B) 3,155 185
Health Care Property Investors 2,865 112
Highwoods Properties 2,683 57
Hospitality Properties Trust 3,093 98
Host Marriott (B)* 11,900 107
iStar Financial 2,666 88
Kimco Realty 4,651 174
Liberty Property Trust 3,760 125
Mack-Cali Realty 2,100 72
New Plan Excel Realty Trust 4,824 101
Plum Creek Timber 9,380 248
Prologis 8,153 219
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Public Storage 5,046 $ 172
Reckson Associates Realty 3,042 62
Regency Centers 1,148 39
Rouse 3,132 116
Simon Property Group 7,127 268
Trizec Properties 4,900 54
United Dominion Realty Trust (B) 5,302 91
Vornado Realty Trust 3,665 155
Weingarten Realty Investors 2,255 93
---------
5,258
---------
RETAIL -- 3.0%
American Eagle Outfitters* 403 7
Autonation (B)* 9,390 131
Barnes & Noble* 1,883 45
Big Lots* 3,120 42
Blockbuster, Cl A (B) 26,256 444
Borders Group* 3,537 58
Brinker International* 500 17
Carmax* 2,053 48
CBRL Group 2,149 78
Circuit City Stores 9,700 70
Costco Wholesale* 11,425 423
CVS 19,953 521
Darden Restaurants 38,250 758
Dillard's, Cl A 3,364 45
Federated Department Stores* 71,070 2,310
Foot Locker 4,968 67
GameStop* 600 8
Home Depot 42,700 1,387
JC Penney (B) 13,605 236
Limited 13,325 203
May Department Stores 33,534 727
McDonald's 65,145 1,220
MSC Industrial Direct, Cl A* 245 5
Neiman-Marcus Group, Cl A* 1,830 63
Nike, Cl B 1,000 56
Nordstrom 4,700 88
Office Depot* 15,863 213
Outback Steakhouse 1,560 58
Pier 1 Imports 3,500 70
Reebok International* 2,514 80
Rite Aid (B)* 13,909 51
Safeway* 38,394 723
Saks* 6,716 63
Sears Roebuck 52,444 1,572
Sonic Automotive* 700 13
Talbots 120 3
Toys "R" Us* 9,900 115
Wendy's International 2,372 71
Yum! Brands (B)* 3,000 84
Zale* 1,100 40
---------
12,213
---------
- --------------------------------------------------------------------------------
28 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
RETIREMENT/AGED CARE -- 0.0%
Manor Care* 2,986 $ 71
---------
RUBBER-TIRES -- 0.1%
Cooper Tire & Rubber 19,400 308
Goodyear Tire & Rubber (B) 7,500 49
---------
357
---------
SEMI-CONDUCTORS/INSTRUMENTS -- 0.3%
Advanced Micro Devices (B)* 12,200 89
Agere Systems* 39,618 93
Amkor Technology* 2,600 29
Applera - Applied Biosystems Group 535 10
Applied Micro Circuits* 9,060 45
Atmel* 7,300 22
Broadcom, Cl A (B)* 4,600 113
Conexant Systems* 8,800 34
Cypress Semiconductor (B)* 1,600 18
Fairchild Semiconductor
International* 300 4
Integrated Device Technology* 3,200 39
International Rectifier* 600 16
Intersil, Cl A* 2,117 52
JDS Uniphase* 34,672 134
LSI Logic* 9,500 61
Micron Technology (B)* 13,773 156
MKS Instruments* 40 1
National Semiconductor* 1,400 35
Novellus Systems (B)* 818 28
PerkinElmer 3,145 40
Teradyne* 1,953 33
---------
1,052
---------
SOFTWARE -- 0.2%
Advent Software* 51 1
BMC Software* 5,394 91
Citrix Systems* 1,503 33
Computer Associates
International (B) 20,675 448
Compuware* 10,717 65
Sybase* 2,358 30
Veritas Software* 2,967 82
---------
750
---------
STEEL & STEEL WORKS -- 0.1%
AK Steel Holding* 5,400 16
Allegheny Technologies 4,132 27
Nucor 3,984 190
United States Steel 4,861 77
---------
310
---------
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
TELEPHONES & TELECOMMUNICATIONS -- 6.0%
Alltel 15,902 $ 761
AT&T 38,942 759
AT&T Wireless Services (B)* 57,406 446
BellSouth 140,941 3,736
CenturyTel 7,194 242
Citizens Communications (B)* 7,700 95
IDT* 2,400 39
Lucent Technologies* 200,642 443
Nortel Networks* 362,000 1,137
Qwest Communications
International (B)* 156,733 704
SBC Communications 223,451 5,689
Sprint-FON Group 161,179 2,186
Telephone & Data Systems 2,700 132
US Cellular* 1,000 26
Verizon Communications 170,591 6,457
West* 61 1
WPP Group ADR 27,800 1,150
---------
24,003
---------
TRUCKING -- 0.0%
CNF 2,191 66
Navistar International* 3,398 105
Swift Transportation* 1,680 34
---------
205
---------
WATER UTILITIES -- 0.0%
Philadelphia Suburban 3,000 71
---------
WHOLESALE -- 0.4%
Genuine Parts 30,557 1,004
Ingram Micro, Cl A* 26,374 291
Performance Food Group* 754 27
Tech Data* 8,800 219
W.W. Grainger 3,993 187
---------
1,728
---------
Total Common Stock
(Cost $410,703) 391,883
---------
EXCHANGE TRADED FUND -- 0.2%
iShares Russell 1000
Value Index Fund (B) 14,803 746
---------
Total Exchange Traded Fund
(Cost $728) 746
---------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 29
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
LARGE CAP VALUE FUND (Concluded)
MAY 31, 2003
- --------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
U.S. TREASURY OBLIGATION -- 0.3%
U.S. Treasury Bills (A)
1.170%, 08/28/03 $1,000 $ 997
---------
Total U.S. Treasury Obligation
(Cost $997) 997
---------
CORPORATE OBLIGATIONS (C) -- 2.6%
FINANCIAL SERVICES/SPECIAL PURPOSE ENTITY -- 2.3%
American Express Credit
1.319%, 12/17/03 637 637
1.300%, 01/13/04 212 212
American Honda Finance
1.281%, 03/15/04 531 532
1.247%, 11/10/03 170 170
CIT Group
2.428%, 12/05/03 331 330
2.075%, 05/03/04 85 85
2.001%, 04/08/04 501 501
1.852%, 01/09/04 136 137
1.483%, 08/14/03 34 34
Citigroup
1.259%, 03/09/04 425 426
1.257%, 05/04/04 199 200
Countrywide Home Loans
1.567%, 12/10/03 170 170
1.530%, 01/13/04 351 351
1.510%, 12/10/03 110 111
1.465%, 05/14/04 212 212
General Electric
1.288%, 01/28/04 212 212
General Electric Capital
1.390%, 07/28/03 425 425
Goldman Sachs Group
1.354%, 08/04/03 425 425
Halogen Funding
1.340%, 06/04/03 178 178
1.340%, 06/06/03 340 340
Household Finance
2.287%, 08/01/03 425 424
1.747%, 09/12/03 102 102
1.382%, 04/23/04 42 43
1.374%, 03/11/04 397 401
International Lease Finance
1.480%, 10/03/03 85 85
Liberty Light US Capital
1.310%, 01/21/04 425 425
1.310%, 05/17/04 255 255
Merrill Lynch
1.270%, 04/13/04 425 425
PNC Bank
1.295%, 06/06/03 892 892
- --------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
Scaldis Capital
1.312%, 07/14/03 $ 425 $ 424
USA Education
1.289%, 01/23/04 151 151
Washington Mutual Bank
1.409%, 06/16/03 153 153
---------
9,468
---------
MACHINERY -- 0.3%
Caterpillar
1.305%, 03/05/04 195 196
1.294%, 05/28/04 212 212
1.244%, 07/09/03 425 425
1.230%, 04/08/04 255 255
---------
1,088
---------
Total Corporate Obligations
(Cost $10,556) 10,556
---------
COMMERCIAL PAPER (C) -- 1.5%
FINANCIAL SERVICES/SPECIAL PURPOSE ENTITY -- 1.5%
ASAP Funding Limited
1.241%, 06/17/03 212 212
Aquinas Funding
1.224%, 09/10/03 425 423
1.181%, 06/13/03 425 425
Atlantis One Funding
1.181%, 06/24/03 850 849
Edison Asset
1.234%, 09/03/03 425 423
Mortgage Interest Networking Trust
1.271%, 07/02/03 850 849
Park Granada
1.313%, 07/28/03 212 212
1.292%, 07/29/03 569 568
Polonius
1.200%, 06/11/03 425 425
Sigma Finance
1.391%, 08/19/03 212 212
1.331%, 06/17/03 209 209
1.312%, 07/14/03 425 424
Tannehill Capital
1.312%, 07/21/03 170 170
1.300%, 07/10/03 255 255
1.283%, 08/06/03 170 169
Witmer Funding
1.281%, 06/12/03 170 170
---------
Total Commercial Paper
(Cost $5,995) 5,995
---------
- --------------------------------------------------------------------------------
30 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 2.7%
Lehman Brothers (C)
1.350%, dated 05/30/03, to be
repurchased on 06/02/03,
repurchase price $297,375
(collateralized by U.S. Government
Agency obligations, total market
value: $303,290) $ 297 $ 297
Morgan Stanley Dean Witter (D)
1.280%, dated 05/30/03, to be
repurchased on 06/02/03,
repurchase price $7,343,287
(collateralized by U.S. Government
Agency obligations, total market
value: $7,493,478) 7,343 7,343
UBS Paine Webber (C)
1.360%, dated 05/30/03, to be
repurchased on 06/02/03,
repurchase price $3,351,966
(collateralized by U.S. Government
Agency obligations, total market
value: $3,418,646) 3,352 3,352
---------
Total Repurchase Agreements
(Cost $10,992) 10,992
---------
Total Investments -- 104.6%
(Cost $439,971) 421,169
---------
OTHER ASSETS AND LIABILITIES -- (4.6%)
Payable upon Return on Securities Loaned (20,200)
Investment Advisory Fees Payable (88)
Other Assets and Liabilities 1,724
---------
Total Other Assets and Liabilities, Net (18,564)
---------
- --------------------------------------------------------------------
Value
($ Thousands)
- --------------------------------------------------------------------
NET ASSETS:
Paid-in-Capital -- Class A
(unlimited authorization -- no par value)
based on 43,417,440 outstanding
shares of beneficial interest $438,770
Undistributed net investment income 1,358
Accumulated net realized loss on investments (19,535)
Net unrealized depreciation on investments (18,802)
Net unrealized appreciation on futures contracts 814
---------
Total Net Assets -- 100.0% $ 402,605
=========
Net Assets Value, Offering and Redemption
Price Per Share -- Class A
($402,605,172 / 43,417,440 shares) $9.27
=====
* Non-Income Producing Security
(A) Security, or portion thereof, is pledged as collateral on open futures
contracts. Rate shown is effective yield at time of purchase.
(B) This security or a partial position of this security is on loan at May 31,
2003 (see Note 11). The total value of securities on loan at May 31, 2003
was $19,642,378.
(C) These securities were purchased with cash collateral received from
securities lending. The total value of such securities as of May 31, 2003
was $20,200,317 (See Note 11).
(D) Tri-Party Repurchase Agreement.
ADR -- American Depository Receipt
Cl -- Class
NY -- New York
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 31
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
LARGE CAP GROWTH FUND
MAY 31, 2003
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
COMMON STOCK -- 97.5%
APPAREL/TEXTILES -- 0.6%
Cintas 56,660 $ 2,098
---------
AUTOMOTIVE -- 0.2%
Advance Auto Parts* 15,820 941
---------
BANKS -- 2.5%
Bank of America 7,200 534
JP Morgan Chase 28,100 923
Northern Trust 100,000 3,816
State Street 107,434 4,116
---------
9,389
---------
BEAUTY PRODUCTS -- 5.1%
Avon Products 5,020 306
Colgate-Palmolive 93,142 5,553
Gillette 229,842 7,725
Procter & Gamble 62,149 5,707
---------
19,291
---------
BIOTECHNOLOGY -- 0.6%
Genentech (B)* 37,500 2,348
---------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 7.1%
AOL Time Warner* 58,690 893
Clear Channel Communications (B)* 148,390 6,040
COX Communications, Cl A (B)* 148,390 4,597
Gannett 43,560 3,441
Lamar Advertising* 7,520 265
Liberty Media* 550,600 6,442
McGraw-Hill 8,850 559
New York Times, Cl A 9,460 453
Univision Communications, Cl A* 44,090 1,316
Valassis Communications* 10,090 271
Viacom, Cl B* 54,920 2,500
---------
26,777
---------
BUILDING & CONSTRUCTION -- 0.8%
Masco 124,694 3,067
---------
COMMERCIAL SERVICES -- 1.8%
Cendant* 74,540 1,252
Expedia (B)* 65,000 4,774
Sabre Holdings 25,270 625
---------
6,651
---------
COMMUNICATIONS EQUIPMENT -- 5.7%
Crown Castle International* 34,410 286
EchoStar Communications, Cl A (B)* 197,970 6,648
Nokia Oyj ADR 360,867 6,510
Qualcomm 242,016 8,127
---------
21,571
---------
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
COMPUTERS & SERVICES -- 5.7%
BISYS Group* 23,000 $ 414
Cisco Systems* 348,480 5,673
Dell Computer* 160,690 5,028
eBay* 59,486 6,050
EMC* 160,332 1,735
Foundry Networks* 37,800 582
Lexmark International* 11,500 856
McData, Cl A* 12,555 169
Synopsys* 12,605 772
---------
21,279
---------
DATA PROCESSING -- 4.9%
Automatic Data Processing 24,722 863
First Data (B) 365,605 15,143
Fiserv* 75,378 2,494
---------
18,500
---------
DRUGS -- 7.3%
Allergan 55,000 3,966
Bristol-Myers Squibb 8,280 212
Eli Lilly 64,579 3,860
Forest Laboratories* 15,100 763
Pfizer 475,275 14,743
Schering-Plough 8,750 161
Teva Pharmaceutical Industries ADR 19,500 988
Watson Pharmaceuticals* 17,590 651
Wyeth 50,260 2,204
---------
27,548
---------
ELECTRONICS -- 0.1%
Energizer Holdings* 9,420 299
---------
ENTERTAINMENT -- 0.8%
Metro-Goldwyn-Mayer* 17,180 214
Walt Disney (B) 148,952 2,927
---------
3,141
---------
FINANCIAL SERVICES -- 8.2%
American Express 26,750 1,114
Charles Schwab 449,004 4,355
Citigroup 77,521 3,180
Concord EFS* 62,167 940
Fannie Mae 27,880 2,063
Freddie Mac 34,600 2,070
Goldman Sachs Group (B) 53,887 4,392
MBNA 34,340 689
Moody's 91,300 4,761
Paychex 243,117 7,420
---------
30,984
---------
- --------------------------------------------------------------------------------
32 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
FOOD, BEVERAGE & TOBACCO -- 3.0%
Coca-Cola 96,130 $ 4,381
Dean Foods* 21,600 988
PepsiCo 104,729 4,629
Wm. Wrigley Jr. 19,980 1,129
---------
11,127
---------
GAS/NATURAL GAS -- 1.4%
Praxair 86,800 5,207
---------
HOTELS & LODGING -- 2.0%
Harrah's Entertainment* 20,000 802
Marriott International, Cl A (B) 160,757 6,285
Starwood Hotels & Resorts Worldwide 10,380 301
---------
7,388
---------
HOUSEHOLD PRODUCTS, FURNITURE & FIXTURES -- 1.3%
General Electric (B) 82,700 2,374
Newell Rubbermaid 82,492 2,351
---------
4,725
---------
INSURANCE -- 3.1%
Aetna 14,200 815
AMBAC Financial Group 8,780 586
American International Group 133,443 7,724
Marsh & McLennan 50,846 2,549
---------
11,674
---------
MACHINERY -- 0.3%
Caterpillar (B) 23,718 1,237
---------
MEDICAL PRODUCTS & SERVICES -- 9.9%
Amgen* 146,883 9,505
Cardinal Health (B) 29,505 1,703
Caremark Rx* 49,100 1,109
Gilead Sciences* 16,700 881
Health Net* 26,520 803
IMS Health 37,302 665
Johnson & Johnson 128,817 7,001
Medtronic 257,459 12,546
WellPoint Health Networks* 35,000 2,987
---------
37,200
---------
OFFICE/BUSINESS EQUIPMENT -- 0.9%
3M 26,304 3,327
---------
PETROLEUM & FUEL PRODUCTS -- 1.4%
Schlumberger 85,297 4,147
Transocean* 44,783 1,047
---------
5,194
---------
- ---------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
RETAIL -- 9.5%
Brinker International* 37,700 $ 1,313
Costco Wholesale* 94,957 3,518
Dollar Tree Stores* 7,370 214
Family Dollar Stores 45,710 1,666
Gap 41,200 701
Home Depot 96,329 3,130
Kohl's (B)* 91,746 4,803
Lowe's 69,104 2,920
Staples* 195,000 3,781
TJX 100,000 1,820
Wal-Mart Stores 168,870 8,884
Walgreen 93,600 2,882
---------
35,632
---------
SEMI-CONDUCTORS/INSTRUMENTS -- 3.2%
Intel (B) 525,477 10,951
Texas Instruments 49,230 1,009
---------
11,960
---------
SOFTWARE -- 6.2%
Computer Associates International 36,305 787
DST Systems* 17,270 610
Electronic Arts (B)* 40,384 2,769
Intuit* 13,200 608
Mercury Interactive (B)* 10,400 409
Microsoft (B) 643,573 15,838
Sungard Data Systems* 44,884 1,032
Symantec (B)* 8,380 379
Veritas Software (B)* 38,753 1,076
---------
23,508
---------
TELEPHONES & TELECOMMUNICATIONS -- 0.7%
Amdocs* 41,600 812
Nextel Communications, Cl A (B)* 69,000 1,034
Verizon Communications 19,300 730
---------
2,576
---------
TRUCKING -- 2.9%
Expeditors International Washington 120,000 4,193
United Parcel Service, Cl B 106,551 6,652
---------
10,845
---------
WHOLESALE -- 0.3%
Fastenal (B) 31,401 1,050
---------
Total Common Stock
(Cost $374,820) 366,534
---------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 33
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
LARGE CAP GROWTH FUND (Concluded)
MAY 31, 2003
- --------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
U.S. TREASURY OBLIGATION -- 0.4%
U.S. Treasury Bills (A)
1.170%, 08/28/03 $ 1,500 $ 1,496
---------
Total U.S. Treasury Obligation
(Cost $1,496) 1,496
---------
CORPORATE OBLIGATIONS (C) -- 5.7%
FINANCIAL SERVICES/SPECIAL PURPOSE ENTITY -- 5.1%
American Express Credit
1.319%, 12/17/03 1,295 1,296
1.300%, 01/13/04 432 432
American Honda Finance
1.281%, 03/15/04 1,079 1,081
1.247%, 11/10/03 345 346
CIT Group
2.428%, 12/05/03 673 671
2.075%, 05/03/04 173 173
2.001%, 04/08/04 1,019 1,019
1.852%, 01/09/04 276 277
1.483%, 08/14/03 69 69
Citigroup
1.259%, 03/09/04 863 865
1.257%, 05/04/04 404 405
Countrywide Home Loans
1.567%, 12/10/03 345 345
1.530%, 01/13/04 713 713
1.510%, 12/10/03 224 225
1.465%, 05/14/04 432 432
General Electric
1.288%, 01/28/04 432 432
General Electric Capital
1.390%, 07/28/03 863 863
Goldman Sachs Group
1.354%, 08/04/03 863 863
Halogen Funding
1.340%, 06/04/03 363 363
1.340%, 06/06/03 691 691
Household Finance
2.287%, 08/01/03 863 863
1.747%, 09/12/03 207 208
1.382%, 04/23/04 86 87
1.374%, 03/11/04 807 815
International Lease Finance
1.480%, 10/03/03 173 173
Liberty Light US Capital
1.310%, 01/21/04 863 863
1.310%, 05/17/04 518 518
Merrill Lynch
1.270%, 04/13/04 863 863
PNC Bank
1.295%, 06/06/03 1,813 1,813
- --------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
Scaldis Capital
1.312%, 07/14/03 $ 863 $ 862
USA Education
1.289%, 01/23/04 307 308
Washington Mutual Bank
1.409%, 06/16/03 311 311
---------
19,245
---------
MACHINERY -- 0.6%
Caterpillar
1.305%, 03/05/04 397 398
1.294%, 05/28/04 432 432
1.244%, 07/09/03 863 863
1.230%, 04/08/04 518 519
---------
2,212
---------
Total Corporate Obligations
(Cost $21,457) 21,457
---------
COMMERCIAL PAPER (C) -- 3.2%
FINANCIAL SERVICES/SPECIAL PURPOSE ENTITY -- 3.2%
ASAP Funding Limited
1.241%, 06/17/03 432 431
Aquinas Funding
1.224%, 09/10/03 863 860
1.181%, 06/13/03 863 863
Atlantis One Funding
1.181%, 06/24/03 1,727 1,725
Edison Asset
1.234%, 09/03/03 863 861
Mortgage Interest Networking Trust
1.271%, 07/02/03 1,727 1,725
Park Granada
1.313%, 07/28/03 432 431
1.292%, 07/29/03 1,157 1,155
Polonius
1.200%, 06/11/03 863 863
Sigma Finance
1.391%, 08/19/03 432 432
1.331%, 06/17/03 426 425
1.312%, 07/14/03 863 862
Tannehill Capital
1.312%, 07/21/03 345 345
1.300%, 07/10/03 518 518
1.283%, 08/06/03 345 345
Witmer Funding
1.281%, 06/12/03 345 345
---------
Total Commercial Paper
(Cost $12,186) 12,186
---------
- --------------------------------------------------------------------------------
34 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
CASH EQUIVALENT -- 0.2%
First Union Cash Management
Program 834,269 $ 834
---------
Total Cash Equivalent
(Cost $834) 834
---------
REPURCHASE AGREEMENTS -- 3.3%
ABM Amro (D)
1.300%, dated 05/30/03, to be
repurchased on 06/02/03,
repurchase price $3,189,537
(collateralized by U.S. Government
Agency obligations, total market
value: $3,253,547) $ 3,189 3,189
Lehman Brothers (C)
1.350%, dated 05/30/03, to be
repurchased on 06/02/03,
repurchase price $604,444
(collateralized by U.S. Government
Agency obligations, total market
value: $616,468) 604 604
Morgan Stanley Dean Witter (D)
1.300%, dated 05/30/03, to be
repurchased on 06/02/00,
repurchase price $1,917,749
(collateralized by U.S. Government
Agency obligations, total market
value: $1,960,677) 1,918 1,918
UBS Paine Webber (C)
1.360%, dated 05/30/03, to be
repurchased on 06/02/03,
repurchase price $6,813,216
(collateralized by U.S. Government
Agency obligations, total market
value: $6,948,751) 6,812 6,812
---------
Total Repurchase Agreements
(Cost $12,523) 12,523
---------
Total Investments -- 110.3%
(Cost $423,316) 415,030
---------
OTHER ASSETS AND LIABILITIES -- (10.3%)
Payable upon Return on Securities Loaned (41,059)
Investment Advisory Fees Payable (80)
Other Assets and Liabilities 2,522
---------
Total Other Assets and Liabilities, Net (38,617)
---------
- -------------------------------------------------------------------
Value
($ Thousands)
- -------------------------------------------------------------------
NET ASSETS:
Paid-in-Capital -- Class A
(unlimited authorization -- no par value)
based on 79,402,076 outstanding
shares of beneficial interest $ 562,025
Undistributed net investment income 359
Accumulated net realized loss on investments (177,982)
Net unrealized depreciation on investments (8,286)
Net unrealized appreciation on futures contracts 297
---------
Total Net Assets -- 100.0% $ 376,413
=========
Net Assets Value, Offering and Redemption
Price Per Share -- Class A
($376,413,229 / 79,402,076 shares) $4.74
=====
* Non-Income Producing Security
(A) Security, or portion thereof, is pledged as collateral on open futures
contracts. Rate shown is effective yield at time of purchase.
(B) This security or a partial position of this security is on loan at May 31,
2003 (see Note 11). The total value of securities on loan at May 31, 2003
was $40,428,889.
(C) These securities were purchased with cash collateral received from
securities lending. The total value of such securities as of May 31, 2003
was $41,059,226 (See Note 11).
(D) Tri-Party Repurchase Agreement.
ADR -- American Depository Receipt
Cl -- Class
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 35
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
LARGE CAP INDEX FUND
MAY 31, 2003
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
COMMON STOCK -- 99.4%
AEROSPACE & DEFENSE -- 1.7%
Alliant Techsystems* 468 $ 24
Boeing 12,380 380
General Dynamics 2,803 187
General Motors-Hughes Electronics* 14,873 181
Goodrich 1,697 31
Honeywell International 12,633 331
Lockheed Martin 5,710 265
Northrop Grumman 2,392 210
Raytheon 6,178 198
Rockwell Collins 2,691 62
Textron 1,864 65
Titan* 943 8
United Technologies 7,308 499
---------
2,441
---------
AIR TRANSPORTATION -- 0.4%
AMR* 1,948 12
Continental Airlines, Cl B* 822 9
Delta Air Lines 2,012 27
FedEx 4,555 291
JetBlue Airways* 92 3
Northwest Airlines* 663 6
Skywest 660 9
Southwest Airlines 11,983 193
---------
550
---------
APPAREL/TEXTILES -- 0.3%
Cintas 1,867 69
Coach* 1,340 66
Columbia Sportswear* 202 10
Jones Apparel Group* 1,771 52
Liz Claiborne 1,716 58
Mohawk Industries* 774 45
Polo Ralph Lauren* 354 10
Timberland, Cl A* 269 13
VF 1,368 52
---------
375
---------
AUTOMOTIVE -- 0.9%
Advance Auto Parts* 195 12
American Axle &
Manufacturing Holdings* 323 8
ArvinMeritor 969 17
Autoliv 1,650 42
BorgWarner 462 27
Dana 1,993 18
Delphi 8,465 75
Ford Motor 27,676 290
General Motors 8,596 304
Harley-Davidson 4,703 198
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Harsco 536 $ 19
ITT Industries 1,385 87
Lear* 1,085 43
O'Reilly Automotive* 530 16
Paccar 1,680 111
Polaris Industries 295 18
Visteon 1,634 10
---------
1,295
---------
BANKS -- 9.1%
AmSouth Bancorp 5,562 124
Associated Banc 1,250 47
Astoria Financial 1,295 34
Bancorpsouth 1,081 24
Bank of America 23,682 1,757
Bank of Hawaii 890 31
Bank of New York 11,109 321
Bank One 18,100 676
Banknorth Group 2,406 62
BB&T 7,456 255
BOK Financial* 219 8
Capitol Federal Financial 305 9
Charter One Financial 3,513 107
Citizens Banking 573 15
City National 538 24
Colonial BancGroup 1,609 22
Comerica 2,751 127
Commerce Bancorp 815 31
Commerce Bancshares 879 36
Compass Bancshares 2,009 74
Cullen/Frost Bankers 882 30
Downey Financial 277 12
Fifth Third Bancorp 7,870 453
First Midwest Bancorp 628 18
First Tennessee National 1,938 91
First Virginia Banks 1,187 51
FirstMerit 1,117 26
FleetBoston Financial 16,148 477
FNB 592 18
Fulton Financial 1,715 35
Golden West Financial 1,941 151
Greater Bay Bancorp 578 12
Greenpoint Financial 1,252 63
Hibernia, Cl A 2,575 50
Hudson City Bancorp 1,213 31
Hudson United Bancorp 743 26
Huntington Bancshares 3,556 73
Independence Community Bank 856 24
IndyMac Bancorp 948 24
Investors Financial Services 1,096 26
JP Morgan Chase 30,653 1,007
Keycorp 6,604 174
M&T Bank 1,565 139
- --------------------------------------------------------------------------------
36 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Marshall & Ilsley 3,424 $ 103
Mellon Financial 6,840 186
Mercantile Bankshares 1,163 47
National City 9,407 318
National Commerce Financial 3,250 74
New York Community Bancorp
(NY Shares) 2,084 58
North Fork Bancorporation 2,481 82
Northern Trust 3,004 115
Old National Bancorp 853 20
Park National 150 17
Peoples Bank Bridgeport 317 9
PNC Financial Services Group 4,400 217
Popular 2,077 82
Provident Financial Group 549 14
Regions Financial 3,535 124
Roslyn Bancorp 922 18
Silicon Valley Bancshares* 547 14
Sky Financial Group 1,293 28
SouthTrust 5,367 154
Sovereign Bancorp 3,867 63
State Street 5,037 193
SunTrust Banks 3,871 230
Synovus Financial 4,500 103
TCF Financial 1,143 45
Trustmark 585 15
Union Planters 3,096 100
UnionBanCal 857 36
US Bancorp 29,453 698
Valley National Bancorp 1,664 45
Wachovia 21,077 847
Washington Federal 914 21
Washington Mutual 15,016 612
Webster Financial 614 23
Wells Fargo 26,327 1,272
Westamerica Bancorporation 585 26
Whitney Holding 530 18
Wilmington Trust 1,113 32
Zions Bancorporation 1,448 74
---------
12,928
---------
BEAUTY PRODUCTS -- 2.4%
Alberto-Culver, Cl B 516 26
Avon Products 3,674 224
Colgate-Palmolive 8,446 504
Dial 1,298 26
Ecolab 1,981 106
Estee Lauder, Cl A 1,576 52
Gillette 16,293 548
International Flavors & Fragrances 1,212 38
Procter & Gamble 19,993 1,836
---------
3,360
---------
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
BIOTECHNOLOGY -- 0.5%
Affymetrix* 646 $ 14
Biogen* 2,260 96
Charles River Laboratories
International* 573 18
Chiron* 1,476 65
Genentech* 3,402 213
Genzyme-General Division* 3,013 143
Human Genome Sciences* 1,556 23
ICOS* 653 21
Idec Pharmaceuticals* 1,669 64
Invitrogen* 839 33
Ribapharm* 271 1
---------
691
---------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 4.3%
American Greetings, Cl A* 889 16
AOL Time Warner* 65,948 1,004
Avaya* 5,862 39
Belo, Cl A 1,494 35
Cablevision Systems, Cl A* 2,238 43
Catalina Marketing* 406 8
Charter Communications, Cl A* 1,612 5
CIENA* 6,926 40
Clear Channel Communications* 7,903 322
Comcast, Cl A* 33,555 1,010
Comverse Technology* 2,986 45
COX Communications, Cl A* 3,184 99
COX Radio, Cl A* 377 9
Cumulus Media, Cl A* 338 6
Dow Jones 819 37
E.W. Scripps, Cl A 413 36
Emmis Communications, Cl A* 400 8
Entercom Communications* 507 25
Entravision Communications, Cl A* 644 7
Fox Entertainment Group, Cl A* 2,023 57
Gannett 4,124 326
Gemstar-TV Guide International* 2,885 13
Getty Images* 342 14
Hearst-Argyle Television* 257 6
Hispanic Broadcasting* 1,027 26
Interpublic Group 5,975 82
Knight-Ridder 1,267 89
Lamar Advertising* 1,230 43
Lee Enterprises 571 22
Liberty Media* 40,119 469
Lin TV, Cl A* 232 5
McClatchy, Cl A 262 16
McGraw-Hill 3,018 191
Media General, Cl A 153 9
Meredith 543 24
New York Times, Cl A 2,062 99
Omnicom Group 2,906 203
Polycom* 1,279 16
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 37
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
LARGE CAP INDEX FUND (Continued)
MAY 31, 2003
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Radio One, Cl D* 955 $ 16
Reader's Digest Association 1,256 16
RR Donnelley & Sons 1,747 44
Scholastic* 351 11
Tellabs* 6,488 52
Tribune 3,007 150
UnitedGlobalCom, Cl A* 945 4
Univision Communications, Cl A* 2,393 71
USA Interactive* 3,406 131
Valassis Communications* 643 17
Viacom, Cl B* 23,997 1,092
Washington Post, Cl B 57 41
Westwood One* 1,156 39
---------
6,188
---------
BUILDING & CONSTRUCTION -- 0.5%
American Standard* 920 68
Centex 924 72
Clayton Homes 1,205 15
DR Horton 1,839 48
KB Home 553 35
Lafarge North America 362 11
Lennar, Cl A 869 58
Martin Marietta Materials 625 21
Masco 7,517 185
NVR* 81 33
Pulte Homes 781 51
Ryland Group 421 27
Toll Brothers* 575 17
Vulcan Materials 1,411 52
York International 528 14
---------
707
---------
CHEMICALS -- 1.2%
Albemarle 328 9
Ashland 1,177 38
Cabot 995 29
Church & Dwight 650 21
Dow Chemical 14,003 445
E.I. Du Pont de Nemours 15,305 645
Eastman Chemical 1,167 38
Engelhard 2,058 52
Hercules* 1,001 10
IMC Global 1,408 12
Lubrizol 823 26
Lyondell Chemical 2,014 29
Monsanto 3,936 79
OM Group 338 5
PPG Industries 2,600 127
Rohm & Haas 2,384 77
Scotts, Cl A* 259 13
Sigma-Aldrich 1,087 57
---------
1,712
---------
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
COAL MINING -- 0.0%
Consol Energy 290 $ 7
---------
COMMERCIAL SERVICES -- 0.9%
AMN Healthcare Services* 178 2
Apollo Group, Cl A* 1,828 107
BearingPoint* 2,132 20
Brink's 655 10
Career Education* 719 44
Cendant* 15,878 267
Certegy* 977 27
ChoicePoint* 1,269 48
Convergys* 2,388 43
Danaher 1,691 113
DeVry* 945 24
Education Management* 315 15
Expedia* 240 18
Fluor 1,242 44
Harte-Hanks 738 13
Hotels.com, Cl A* 114 10
Interactive Data* 473 8
Iron Mountain* 890 35
Jacobs Engineering Group* 689 27
Manpower 1,246 43
Monster Worldwide* 1,096 22
National Processing* 66 1
Quintiles Transnational* 1,589 22
Robert Half International* 2,576 44
Rockwell Automation 2,438 58
Sabre Holdings 2,293 57
ServiceMaster 4,851 52
St. Joe 338 10
University of Phoenix Online* 215 10
Viad 1,510 31
Weight Watchers International* 317 13
---------
1,238
---------
COMMUNICATIONS EQUIPMENT -- 0.8%
ADC Telecommunications* 12,735 34
Advanced Fibre Communication* 1,097 21
Andrew* 1,260 13
Corning* 19,458 142
EchoStar Communications, Cl A* 3,723 125
Harman International Industries 448 33
Harris 1,042 32
Motorola 35,082 299
PanAmSat* 336 6
Qualcomm 11,907 400
Scientific-Atlanta 2,340 46
Utstarcom* 819 24
---------
1,175
---------
- --------------------------------------------------------------------------------
38 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
COMPUTERS & SERVICES -- 6.2%
3Com* 5,790 $ 28
Affiliated Computer Services, Cl A* 1,465 68
Amazon.Com* 2,827 102
Apple Computer* 5,394 97
Autodesk 1,959 29
BISYS Group* 1,879 34
Brocade Communications Systems* 4,235 26
Cadence Design Systems* 4,193 58
CDW Computer Centers* 978 40
Ceridian* 2,366 41
Checkfree* 1,099 27
Cisco Systems* 112,558 1,832
Computer Sciences* 2,703 107
Dell Computer* 34,805 1,089
Diebold 1,167 47
eBay* 2,324 236
Electronic Data Systems 7,405 149
EMC* 33,951 367
Emulex* 1,391 34
Gateway* 2,261 7
GTECH Holdings* 843 30
Hewlett-Packard 41,664 812
International Business Machines 26,331 2,318
International Game Technology* 1,339 118
Jabil Circuit* 2,466 52
Jack Henry & Associates 962 15
Juniper Networks* 5,093 71
Lexmark International* 2,009 149
Macromedia* 793 16
NCR* 1,340 34
Network Appliance* 4,688 80
Perot Systems, Cl A* 925 10
RealNetworks* 1,126 9
Reynolds & Reynolds, Cl A 1,062 31
Storage Technology* 1,742 47
Sun Microsystems* 50,413 218
Symbol Technologies 3,650 49
Synopsys* 1,136 70
Unisys* 5,133 58
VeriSign* 3,519 53
WebMD* 4,749 47
Yahoo!* 6,055 181
Zebra Technologies, Cl A* 381 28
---------
8,914
---------
CONTAINERS & PACKAGING -- 0.2%
Ball 852 42
Bemis 843 39
Owens-Illinois* 1,431 16
Packaging of America* 791 14
Pactiv* 2,529 49
Sealed Air* 1,261 55
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Smurfit-Stone Container* 2,877 $ 43
Sonoco Products 1,629 37
---------
295
---------
DATA PROCESSING -- 0.8%
Acxiom* 977 15
Alliance Data Systems* 989 24
Automatic Data Processing 9,596 335
CSG Systems International* 658 9
D&B* 1,106 43
First Data 11,793 489
Fiserv* 2,931 97
Global Payments 659 22
SEI Investments (B) 1,282 37
Total System Services 401 8
---------
1,079
---------
DRUGS -- 7.6%
Abbott Laboratories 24,025 1,070
Allergan 2,082 150
Andrx* 831 16
Barr Laboratories* 705 37
Bristol-Myers Squibb 29,840 764
Celgene* 1,309 41
Cephalon* 775 35
Eli Lilly 14,836 887
Forest Laboratories* 4,897 247
ICN Pharmaceuticals 1,101 17
IVAX* 2,261 39
King Pharmaceuticals* 3,651 52
Medicis Pharmaceutical, Cl A* 477 27
Medimmune* 3,875 137
Merck 34,845 1,937
Millennium Pharmaceuticals* 4,233 66
Mylan Laboratories 2,929 85
Pfizer 123,859 3,842
Schering-Plough 22,656 418
SICOR* 970 20
Vertex Pharmaceuticals* 936 14
Watson Pharmaceuticals* 1,647 61
Wyeth 20,424 896
---------
10,858
---------
ELECTRICAL SERVICES -- 3.0%
AES* 6,924 55
Allegheny Energy 1,687 15
Allete 1,311 33
Alliant Energy 1,262 25
Ameren 2,496 114
American Electric Power 6,181 179
American Power Conversion* 2,740 42
Aquila 2,293 6
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 39
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
LARGE CAP INDEX FUND (Continued)
MAY 31, 2003
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Calpine* 5,741 $ 30
Centerpoint Energy 4,303 41
Cinergy 2,746 104
CMS Energy 1,655 13
Consolidated Edison 3,432 148
Constellation Energy Group 2,499 83
Dominion Resources 4,717 297
DPL 1,698 28
DTE Energy 2,467 107
Duke Energy 13,819 268
Edison International* 5,106 83
Energy East 2,389 51
Entergy 3,460 179
Exelon 5,011 287
FirstEnergy 4,286 158
FPL Group 2,729 181
Great Plains Energy 1,104 32
Hawaiian Electric Industries 534 24
Hubbell, Cl B 802 27
Idacorp 638 17
Kemet* 1,117 11
MDU Resources Group 1,203 39
Mirant* 5,147 18
Molex 2,089 57
NiSource 3,745 73
Northeast Utilities 2,206 36
NSTAR 887 41
OGE Energy 1,274 27
Pepco Holdings 2,483 51
PG&E* 5,969 101
Pinnacle West Capital 1,252 47
PPL 2,691 109
Progress Energy 3,670 173
Public Service Enterprise Group 3,438 147
Puget Energy 1,523 36
Reliant Resources* 4,693 31
SCANA 1,595 54
Southern 10,882 343
TECO Energy 2,630 34
Texas Genco Holdings 175 4
TXU 4,857 98
Wisconsin Energy 1,831 51
Xcel Energy 6,152 95
---------
4,303
---------
ELECTRONICS -- 0.3%
Adaptec* 1,398 11
Agilent Technologies* 7,101 129
Arrow Electronics* 1,610 27
Avnet* 1,868 25
AVX 658 8
Energizer Holdings* 1,457 46
Gentex* 1,268 40
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
L-3 Communications Holdings* 1,135 $ 49
Sanmina-SCI* 8,348 48
Solectron* 13,120 53
Tektronix* 1,093 23
Vishay Intertechnology* 2,551 37
---------
496
---------
ENTERTAINMENT -- 0.6%
Brunswick 1,460 32
Callaway Golf 900 13
Hasbro 2,244 36
International Speedway 330 12
Mattel 6,768 146
Metro-Goldwyn-Mayer* 655 8
Regal Entertainment Group 240 5
Six Flags* 1,115 8
Walt Disney 31,432 618
---------
878
---------
ENVIRONMENTAL SERVICES -- 0.2%
Allied Waste Industries* 1,744 17
Republic Services* 2,440 58
Waste Management 8,980 229
---------
304
---------
FINANCIAL SERVICES -- 7.2%
Affiliated Managers Group* 282 15
AG Edwards 1,351 44
Allied Capital 1,743 41
American Express 18,181 757
AmeriCredit* 2,537 24
Bear Stearns 1,452 112
BlackRock* 239 11
Capital One Financial 3,118 150
Charles Schwab 16,888 164
Citigroup 80,254 3,292
Concord EFS* 7,805 118
Countrywide Credit Industry 1,711 126
Deluxe 917 43
Doral Financial 923 39
E*TRADE Group* 3,674 28
Eaton Vance 1,027 31
Equifax 2,316 59
Fannie Mae 15,328 1,134
Federated Investors, Cl B 1,385 39
Franklin Resources 2,611 97
Freddie Mac 10,694 640
Goldman Sachs Group 3,725 304
H&R Block 2,832 116
Instinet Group* 658 3
Investment Technology Group* 632 9
Janus Capital Group 3,768 59
- --------------------------------------------------------------------------------
40 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
LaBranche 614 $ 13
Legg Mason 1,015 66
Lehman Brothers Holdings 3,796 272
MBNA 16,210 325
Merrill Lynch 14,233 616
Moody's 2,007 105
Morgan Stanley Dean Witter 16,969 776
Neuberger Berman 962 32
Nuveen Investments, Cl A 281 7
Paychex 5,078 155
Providian Financial* 4,225 38
Raymond James Financial 521 16
SLM 2,272 273
Student Loan 51 6
T Rowe Price Group 1,590 58
Waddell & Reed Financial, Cl A 938 21
---------
10,234
---------
FOOD, BEVERAGE & TOBACCO -- 5.3%
Adolph Coors, Cl B 476 26
Albertson's 5,414 113
Altria Group 31,125 1,285
Anheuser-Busch 13,504 711
Archer-Daniels-Midland 8,756 105
Brown-Forman, Cl B 493 39
Campbell Soup 3,413 85
Coca-Cola 31,226 1,423
Coca-Cola Enterprises 3,531 66
ConAgra Foods 8,330 202
Constellation Brands, Cl A* 1,189 33
Dean Foods* 1,433 66
Dreyer's Grand Ice Cream 286 22
General Mills 5,592 262
Hershey Foods 1,440 102
HJ Heinz 5,431 180
Hormel Foods 1,283 30
Kellogg 3,797 134
Kraft Foods, Cl A 4,333 140
Kroger* 11,599 186
Lancaster Colony 522 20
Loews - Carolina Group 322 8
McCormick 2,238 60
Pepsi Bottling Group 2,729 56
PepsiAmericas 1,079 14
PepsiCo 27,213 1,203
RJ Reynolds Tobacco Holdings 1,410 48
Sara Lee 12,205 222
Smithfield Foods* 1,870 39
Supervalu 2,141 43
Sysco 10,247 317
Tootsie Roll Industries 329 10
Tyson Foods, Cl A 3,773 36
UST 2,574 91
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Whole Foods Market* 793 $ 43
Winn-Dixie Stores 872 12
Wm. Wrigley Jr. 2,509 142
---------
7,574
---------
GAS/NATURAL GAS -- 0.6%
Air Products & Chemicals 3,521 154
Dynegy, Cl A 3,507 17
El Paso 8,979 78
KeySpan 2,369 83
Kinder Morgan 1,433 73
National Fuel Gas 1,166 30
Nicor 586 21
Peoples Energy 581 25
Praxair 2,531 152
Questar 1,229 40
Sempra Energy 2,665 73
Vectren 893 22
Williams 7,611 60
---------
828
---------
HAND/MACHINE TOOLS -- 0.2%
Black & Decker 1,296 56
Illinois Tool Works 3,362 209
Snap-On 1,009 31
Stanley Works 932 26
---------
322
---------
HOTELS & LODGING -- 0.3%
Extended Stay America* 997 12
Harrah's Entertainment* 1,696 68
Hilton Hotels 4,884 68
Mandalay Resort Group* 558 17
Marriott International, Cl A 2,964 116
MGM Mirage* 1,157 33
Park Place Entertainment* 4,588 35
Starwood Hotels & Resorts Worldwide 3,046 88
---------
437
---------
HOUSEHOLD PRODUCTS, FURNITURE & FIXTURES -- 3.5%
Clorox 2,389 107
Ethan Allen Interiors 535 19
Fortune Brands 2,311 121
Furniture Brands International* 635 17
General Electric 152,954 4,390
La-Z-Boy 624 14
Leggett & Platt 3,066 67
Maytag 1,314 32
Newell Rubbermaid 4,126 117
Whirlpool 964 55
---------
4,939
---------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 41
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
LARGE CAP INDEX FUND (Continued)
MAY 31, 2003
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
INSURANCE -- 4.6%
21st Century Insurance Group 356 $ 5
Aetna 2,252 129
Aflac 8,001 263
Alleghany* 67 12
Allmerica Financial* 658 12
Allstate 10,951 394
AMBAC Financial Group 1,240 83
American Financial Group 351 8
American International Group 35,370 2,047
American National Insurance 125 11
AmerUs Group 539 15
AON 4,177 107
Arthur J Gallagher 1,445 39
Brown & Brown 846 30
Chubb 2,490 159
Cigna 1,987 112
Cincinnati Financial 2,101 78
CNA Financial* 317 8
Erie Indemnity, Cl A 316 13
Fidelity National Financial 1,893 59
First American 1,007 27
Hartford Financial Services Group 3,829 179
HCC Insurance Holdings 822 24
Humana* 2,191 28
Jefferson-Pilot 2,301 97
John Hancock Financial Services 4,555 138
Leucadia National 542 21
Lincoln National 2,704 94
Loews 2,041 98
Markel* 134 34
Marsh & McLennan 8,454 424
MBIA 2,267 113
Mercury General 322 15
Metlife 4,590 128
MGIC Investment 1,345 73
Mony Group 595 16
Nationwide Financial Services, Cl A 302 10
Old Republic International 1,905 65
Phoenix 1,243 10
PMI Group 1,504 46
Principal Financial Group 4,452 141
Progressive 2,988 215
Protective Life 1,169 32
Prudential Financial 8,609 289
Radian Group 1,425 57
Reinsurance Group of America 256 8
Safeco 2,091 76
St. Paul 3,457 126
Stancorp Financial Group 517 28
Torchmark 1,847 71
Transatlantic Holdings 283 20
Travelers Property Casualty, Cl B 14,738 238
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Unitrin 606 $ 16
UnumProvident 4,423 57
Wesco Financial 21 6
WR Berkley 600 30
---------
6,634
---------
LABORATORY EQUIPMENT -- 0.0%
Fisher Scientific International* 939 30
---------
LEASING & RENTING -- 0.1%
GATX 566 9
Rent-A-Center* 507 34
Ryder System 1,003 27
United Rentals* 658 8
---------
78
---------
MACHINERY -- 1.1%
AGCO* 950 17
Caterpillar 5,315 277
Crane 648 13
Cummins 386 13
Deere 3,684 161
Donaldson 521 22
Dover 3,076 93
Eaton 1,074 90
Emerson Electric 6,502 340
Flowserve* 662 12
FMC Technologies* 783 17
Graco 784 24
Johnson Controls 1,341 112
Lam Research* 2,058 37
National-Oilwell* 1,091 27
Pall 1,822 40
Parker Hannifin 1,780 72
Pentair 843 33
SPX* 1,166 45
Teleflex 511 22
Thermo Electron* 2,653 56
---------
1,523
---------
MEDICAL PRODUCTS & SERVICES -- 6.5%
Accredo Health* 759 16
Advanced Medical Optics* 356 5
AdvancePCS* 1,241 41
AmerisourceBergen 1,736 109
Amgen* 18,185 1,177
Anthem* 2,197 161
Apogent Technologies* 1,526 29
Bausch & Lomb 856 32
Baxter International 9,202 233
Beckman Coulter 937 38
Becton Dickinson 3,991 160
- --------------------------------------------------------------------------------
42 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Biomet 4,142 $ 114
Boston Scientific* 4,864 253
C.R. Bard 792 56
Cardinal Health 7,095 409
Caremark Rx* 3,669 83
Cerner* 333 7
Community Health Systems* 646 13
Coventry Health Care* 532 23
Cytyc* 1,563 16
DaVita* 772 19
Dentsply International 1,169 44
Diagnostic Products 277 11
Edwards Lifesciences* 796 24
Express Scripts* 951 62
First Health Group* 1,556 40
Gilead Sciences* 2,660 140
Guidant* 4,750 201
HCA 7,613 251
Health Management Associates, Cl A 3,673 69
Health Net* 1,655 50
Henry Schein* 535 26
Hillenbrand Industries 846 43
IMS Health 3,978 71
Johnson & Johnson 46,313 2,517
Laboratory America Holdings* 2,255 73
LifePoint Hospitals* 529 11
Lincare Holdings* 1,605 50
McKesson 4,173 127
Medtronic 18,694 911
Mid Atlantic Medical Services* 759 36
Omnicare 1,389 38
Orthodontic Centers of America* 577 5
Oxford Health Plans* 1,318 49
Patterson Dental* 836 37
Pharmaceutical Product
Development* 615 17
Quest Diagnostics* 1,247 79
Renal Care Group* 801 27
St. Jude Medical* 2,730 153
Steris* 924 21
Stryker 2,083 140
Tenet Healthcare* 7,522 126
Triad Hospitals* 1,234 32
UnitedHealth Group 4,205 403
Universal Health Services, Cl B* 827 38
Varian Medical Systems* 1,022 57
WellPoint Health Networks* 2,258 193
Zimmer Holdings* 3,012 135
---------
9,301
---------
METALS & MINING -- 0.4%
Alcoa 13,088 322
Aptargroup 648 23
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Freeport-McMoRan Copper & Gold 943 $ 21
Newmont Mining 5,524 164
Peabody Energy 307 10
Phelps Dodge* 1,381 50
Precision Castparts 854 25
Shaw Group* 564 7
Timken 1,113 18
---------
640
---------
OFFICE/BUSINESS EQUIPMENT -- 0.8%
3M 5,997 758
Avery Dennison 1,495 83
Herman Miller 967 19
HON Industries 793 23
IKON Office Solutions 1,875 16
Pitney Bowes 3,715 143
Steelcase, Cl A 351 4
Xerox* 11,045 121
---------
1,167
---------
PAINT & RELATED PRODUCTS -- 0.1%
RPM International 1,460 18
Sherwin-Williams 1,950 53
Valspar 841 37
---------
108
---------
PAPER & PAPER PRODUCTS -- 0.8%
Boise Cascade 643 16
Bowater 881 35
Georgia-Pacific 3,937 68
International Paper 7,369 270
Kimberly-Clark 8,015 416
MeadWestvaco 3,023 76
Rayonier 449 23
Temple-Inland 795 37
Weyerhaeuser 3,390 171
---------
1,112
---------
PETROLEUM & FUEL PRODUCTS -- 5.7%
Amerada Hess 1,041 51
Anadarko Petroleum 3,855 190
Apache 2,476 163
Baker Hughes 5,224 173
BJ Services* 2,407 98
Burlington Resources 3,118 166
ChevronTexaco 16,430 1,166
Cimarex Energy* 597 13
ConocoPhillips 10,419 562
Cooper Cameron* 738 40
Devon Energy 3,308 172
Diamond Offshore Drilling 665 15
ENSCO International 2,185 66
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 43
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
LARGE CAP INDEX FUND (Continued)
MAY 31, 2003
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
EOG Resources 1,759 $ 76
Equitable Resources 902 36
ExxonMobil 104,285 3,796
Forest Oil* 350 9
Grant Prideco* 1,097 15
Halliburton 6,763 161
Helmerich & Payne 636 20
Kerr-McGee 1,570 75
Marathon Oil 4,776 123
Murphy Oil 1,097 54
Newfield Exploration* 813 30
Noble Energy 814 30
Occidental Petroleum 5,821 196
Patterson-UTI Energy* 1,127 41
Pioneer Natural Resources* 1,830 49
Pogo Producing 923 39
Premcor* 268 6
Pride International* 1,787 34
Rowan* 1,510 36
Smith International* 1,514 62
Sunoco 1,075 40
Tidewater 919 30
Unocal 3,955 119
Valero Energy 1,679 63
Varco International* 1,256 27
XTO Energy 2,591 56
---------
8,098
---------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.1%
Eastman Kodak 4,521 139
---------
PRINTING & PUBLISHING -- 0.0%
John Wiley & Sons 586 15
---------
RAILROADS -- 0.5%
Burlington Northern Santa Fe 5,940 175
CSX 3,269 107
Norfolk Southern 5,989 131
Union Pacific 3,915 239
---------
652
---------
REAL ESTATE -- 0.0%
Catellus Development* 1,094 24
Forest City Enterprises, Cl A 281 12
---------
36
---------
REAL ESTATE INVESTMENT TRUSTS -- 1.1%
AMB Property 1,405 38
Annaly Mortgage Management 1,428 28
Apartment Investment &
Management, Cl A 1,228 43
Archstone-Smith Trust 2,773 66
Arden Realty 1,022 26
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
AvalonBay Communities 847 $ 35
Boston Properties 1,119 47
BRE Properties, Cl A 756 24
Camden Property Trust 641 22
CarrAmerica Realty 873 24
Centerpoint Properties Trust 292 17
Cousins Properties 615 17
Crescent Real Estate Equity 1,082 18
Developers Diversified Realty 1,162 33
Duke Realty 2,150 61
Equity Office Properties Trust 6,472 174
Equity Residential 4,226 112
First Industrial Realty Trust 528 16
General Growth Properties 936 55
Health Care Property Investors 814 32
Highwoods Properties 648 14
Hospitality Properties Trust 894 28
Host Marriott* 3,996 36
iStar Financial 805 27
Kimco Realty 1,380 52
Liberty Property Trust 1,257 42
Mack-Cali Realty 575 20
New Plan Excel Realty Trust 1,618 34
Plum Creek Timber 2,715 72
Prologis 2,369 64
Public Storage 1,487 51
Reckson Associates Realty 650 13
Regency Centers 312 11
Rouse 1,196 44
Simon Property Group 2,150 81
Trizec Properties 1,250 14
United Dominion Realty Trust 1,716 29
Vornado Realty Trust 1,144 48
Weingarten Realty Investors 783 32
---------
1,600
---------
RETAIL -- 6.4%
99 Cents Only Stores* 541 17
Abercrombie & Fitch, Cl A* 1,430 41
American Eagle Outfitters* 663 11
Applebees International 764 23
Autonation* 2,942 41
Autozone* 983 82
Barnes & Noble* 593 14
Bed Bath & Beyond* 4,531 190
Best Buy* 3,972 154
Big Lots* 1,578 22
BJ's Wholesale Club* 919 14
Blockbuster, Cl A 348 6
Borders Group* 1,094 18
Brinker International* 1,469 51
Carmax* 1,654 38
CBRL Group 810 29
- --------------------------------------------------------------------------------
44 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
CEC Entertainment* 322 $ 11
Cheesecake Factory* 869 30
Chico's FAS* 1,005 22
Circuit City Stores 2,711 20
Copart* 953 9
Costco Wholesale* 7,061 262
CVS 6,080 159
Darden Restaurants 2,736 54
Dillard's, Cl A 985 13
Dollar General 4,203 79
Dollar Tree Stores* 1,838 53
Family Dollar Stores 2,447 89
Federated Department Stores* 2,917 95
Foot Locker 1,879 25
GameStop* 237 3
Gap 9,554 162
Home Depot 36,173 1,175
JC Penney 4,084 71
Kohl's* 4,534 237
Krispy Kreme Doughnuts* 569 20
Limited 6,515 99
Lowe's 11,980 506
May Department Stores 4,406 96
McDonald's 19,485 365
Michaels Stores* 1,115 42
MSC Industrial Direct, Cl A* 323 6
Neiman-Marcus Group, Cl A* 652 23
Nike, Cl B 1,093 61
Nordstrom 1,619 30
Office Depot* 4,523 61
Outback Steakhouse 933 34
Petco Animal Supplies* 211 4
Petsmart* 2,266 39
Pier 1 Imports 1,293 26
RadioShack 2,643 64
Reebok International* 792 25
Rite Aid* 5,243 19
Ross Stores 1,306 55
Ruby Tuesday 877 20
Safeway* 6,811 128
Saks* 1,560 15
Sears Roebuck 4,364 131
Sonic Automotive* 323 6
Staples* 7,241 140
Starbucks* 5,990 148
Talbots 318 9
Target 13,986 512
Tiffany 1,673 55
TJX 8,358 152
Toys "R" Us* 3,135 37
Wal-Mart Stores 41,902 2,204
Walgreen 15,784 486
Wendy's International 1,849 56
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Williams-Sonoma* 1,504 $ 43
Yum! Brands* 4,567 128
Zale* 530 19
---------
9,184
---------
RETIREMENT/AGED CARE -- 0.0%
Manor Care* 1,569 37
---------
RUBBER-TIRES -- 0.0%
Cooper Tire & Rubber 871 14
Goodyear Tire & Rubber 1,953 13
---------
27
---------
SEMI-CONDUCTORS/INSTRUMENTS -- 3.8%
Advanced Micro Devices* 5,109 37
Agere Systems* 26,461 62
Altera* 5,906 114
Amkor Technology* 1,130 13
Amphenol, Cl A* 274 13
Analog Devices* 5,666 218
Applera - Applied Biosystems Group 3,150 61
Applied Materials* 25,316 394
Applied Micro Circuits* 3,845 19
Atmel* 5,169 16
Broadcom, Cl A* 3,058 75
Conexant Systems* 3,353 13
Cymer* 604 20
Cypress Semiconductor* 1,629 18
Fairchild Semiconductor
International* 1,468 21
Integrated Circuit Systems* 622 16
Integrated Device Technology* 1,310 16
Intel 102,848 2,143
International Rectifier* 1,113 29
Intersil, Cl A* 1,909 47
JDS Uniphase* 20,778 80
Kla-Tencor* 2,859 132
Linear Technology 4,927 179
LSI Logic* 5,961 38
Maxim Integrated Products 5,018 197
Mettler Toledo International* 635 23
Micrel* 756 9
Microchip Technology 3,144 75
Micron Technology* 8,260 94
Millipore* 774 32
MKS Instruments* 307 6
National Semiconductor* 2,695 67
Novellus Systems* 2,265 78
Nvidia* 2,059 54
PerkinElmer 1,446 19
PMC - Sierra* 2,211 24
QLogic* 1,389 70
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 45
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
LARGE CAP INDEX FUND (Concluded)
MAY 31, 2003
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
RF Micro Devices* 1,956 $ 11
Semtech* 713 11
Teradyne* 2,913 50
Texas Instruments 26,743 548
Waters* 2,024 57
Xilinx* 5,199 155
---------
5,354
---------
SOFTWARE -- 4.0%
Activision* 720 12
Adobe Systems 3,689 130
Advent Software* 375 6
BEA Systems* 5,312 58
BMC Software* 3,781 64
Citrix Systems* 2,568 56
Computer Associates International 6,988 152
Compuware* 4,312 26
DST Systems* 1,762 62
Electronic Arts* 1,844 126
Fair Isaac 739 41
Intuit* 2,926 135
JD Edwards* 1,272 15
Mercury Interactive* 1,253 49
Microsoft 137,739 3,390
National Instruments* 338 12
Network Associates* 2,512 31
Oracle* 63,431 825
Peoplesoft* 4,453 73
Pixar* 241 14
Siebel Systems* 6,171 58
Sungard Data Systems* 4,342 100
Sybase* 1,217 15
Symantec* 2,198 99
Veritas Software* 6,309 175
---------
5,724
---------
STEEL & STEEL WORKS -- 0.1%
AK Steel Holding* 1,244 4
Allegheny Technologies 989 6
Nucor 1,168 56
United States Steel 1,340 21
---------
87
---------
TELEPHONES & TELECOMMUNICATIONS -- 3.7%
Alltel 4,834 232
AT&T 11,855 231
AT&T Wireless Services* 34,089 265
BellSouth 28,872 765
CenturyTel 2,084 70
Citizens Communications* 4,467 55
IDT* 633 10
Level 3 Communications* 5,943 42
- --------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
Lucent Technologies* 59,541 $ 132
Nextel Communications, Cl A* 11,682 175
Qwest Communications
International* 20,602 93
SBC Communications 51,404 1,309
Sprint-FON Group 13,821 187
Sprint-PCS Group* 11,299 50
Telephone & Data Systems 868 42
US Cellular* 256 7
Verizon Communications 41,897 1,586
West* 274 7
---------
5,258
---------
TRUCKING -- 0.4%
CH Robinson Worldwide 992 37
CNF 593 18
Expeditors International
Washington 1,415 49
Navistar International* 999 31
Swift Transportation* 814 16
United Parcel Service, Cl B 6,003 375
---------
526
---------
WATER UTILITIES -- 0.0%
Philadelphia Suburban 773 18
---------
WHOLESALE -- 0.2%
Aramark* 344 7
Fastenal 839 28
Genuine Parts 2,668 88
Ingram Micro, Cl A* 1,094 12
Performance Food Group* 568 20
Tech Data* 638 16
W.W. Grainger 1,174 55
---------
226
---------
Total Common Stock
(Cost $141,747) 141,702
---------
U.S. TREASURY OBLIGATION -- 0.1%
U.S. Treasury Bills (A)
1.150%, 06/26/03 $100 100
---------
Total U.S. Treasury Obligation
(Cost $100) 100
---------
- --------------------------------------------------------------------------------
46 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.4%
Morgan Stanley Dean Witter (C)
1.050%, dated 05/30/03, to be
repurchased on 06/02/03,
repurchase price $631,924
(collateralized by U.S. Government
Agency obligations, total market
value: $644,509) $632 $ 632
---------
Total Repurchase Agreement
(Cost $632) 632
---------
Total Investments -- 99.9%
(Cost $142,479) 142,434
---------
OTHER ASSETS AND LIABILITIES -- 0.1%
Investment Advisory Fees Payable (19)
Other Assets and Liabilities 197
---------
Total Other Assets and Liabilities, Net 178
---------
NET ASSETS:
Paid-in-Capital -- Class A
(unlimited authorization -- no par value)
based on 16,797,539 outstanding
shares of beneficial interest 142,466
Undistributed net investment income 299
Accumulated net realized loss on investments (211)
Net unrealized depreciation on investments (45)
Net unrealized appreciation on futures contracts 103
---------
Total Net Assets -- 100.0% $ 142,612
=========
Net Assets Value, Offering and Redemption
Price Per Share -- Class A
($142,612,201 / 16,797,539 shares) $8.49
=====
* Non-Income Producing Security
(A) Security, or portion thereof, is pledged as collateral on open futures
contracts. Rate shown is effective yield at time of purchase.
(B) The Fund may purchase securities of certain companies with which it is
affilated to the extent these companies are represented in its index.
(C) Tri-Party Repurchase Agreement.
Cl -- Class
NY -- New York
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 47
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
SMALL CAP FUND
MAY 31, 2003
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
COMMON STOCK -- 92.1%
AEROSPACE & DEFENSE -- 1.0%
Alliant Techsystems* 22,800 $ 1,151
Armor Holdings* 125,400 1,707
EDO 56,500 946
Herley Industries* 75,650 1,188
KVH Industries* 37,565 820
Orbital Sciences (B)* 199,100 1,135
Teledyne Technologies* 62,000 932
Titan* 250,700 2,178
Trimble Navigation* 40,900 1,101
United Industrial 43,200 635
-----------
11,793
-----------
AGRICULTURE -- 0.3%
Bunge 32,600 942
Delta & Pine Land 138,175 3,240
-----------
4,182
-----------
AIR TRANSPORTATION -- 0.1%
Hawaiian Holdings* 94,400 68
JetBlue Airways (B)* 25,450 860
-----------
928
-----------
APPAREL/TEXTILES -- 1.2%
Coach* 12,500 614
G&K Services 44,500 1,301
Kellwood 179,650 5,515
Phillips-Van Heusen 132,600 1,871
Polo Ralph Lauren* 32,200 852
Quiksilver (B)* 165,800 2,807
Timberland, Cl A* 11,950 593
Unifi* 43,800 303
Unifirst 38,800 698
-----------
14,554
-----------
AUTOMOTIVE -- 1.5%
Aftermarket Technology* 150,900 1,577
American Axle &
Manufacturing Holdings* 44,000 1,100
AO Smith 36,300 1,154
Arctic Cat 80,800 1,535
ArvinMeritor 95,000 1,690
BorgWarner 35,850 2,083
CSK Auto* 114,050 1,443
Group 1 Automotive* 36,500 1,066
Harsco 60,000 2,123
O'Reilly Automotive* 36,300 1,108
Polaris Industries (B) 21,100 1,268
Superior Industries International 55,900 2,185
-----------
18,332
-----------
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
BANKS -- 5.2%
Bancorpsouth 52,800 $ 1,164
Bank of Bermuda* 20,500 693
BankAtlantic Bancorp 230,400 2,659
Boston Private Financial Holdings 16,300 305
Brookline Bancorp 31,100 444
Colonial BancGroup 136,400 1,843
Commercial Federal 157,075 3,529
Community First Bankshares 36,600 1,015
Cullen/Frost Bankers 37,800 1,288
Downey Financial 44,200 1,940
East-West Bancorp 35,500 1,301
First Citizens Bancshares, Cl A 8,100 819
First Community Bancorp 66,900 2,017
First Financial Bancorp 33,500 552
First Midwest Bancorp 48,800 1,419
FirstFed Financial* 94,700 3,213
Flagstar Bancorp 168,400 3,334
Flushing Financial 47,700 982
Fulton Financial (B) 58,091 1,196
Harbor Florida Bancshares 17,600 452
Hudson United Bancorp 65,360 2,311
Independence Community Bank 73,800 2,089
MAF Bancorp 36,800 1,359
Netbank 360,065 4,778
OceanFirst Financial 72,700 1,709
PFF Bancorp 25,400 946
Provident Financial Services 50,600 921
Seacoast Financial Services 73,700 1,504
Silicon Valley Bancshares (B)* 115,550 2,913
Southwest Bancorp of Texas* 36,800 1,212
Staten Island Bancorp 137,400 2,649
Sterling Financial* 25,850 616
TierOne* 55,700 1,179
UCBH Holdings 123,680 3,210
Umpqua Holdings 39,000 774
Washington Federal 62,227 1,462
Webster Financial 31,600 1,196
Westamerica Bancorporation 32,200 1,431
-----------
62,424
-----------
BIOTECHNOLOGY -- 2.0%
Bio-Rad Laboratories, Cl A (B)* 81,000 4,779
Cambrex 10,400 221
Cell Genesys* 386,900 4,357
Encysive Pharmaceuticals* 208,000 564
Exact Sciences (B)* 82,000 1,091
Genencor International* 47,500 698
Human Genome Sciences (B)* 93,600 1,371
Incyte* 343,000 1,739
Invitrogen* 32,400 1,264
Lexicon Genetics* 157,500 898
Myriad Genetics* 9,700 148
- --------------------------------------------------------------------------------
48 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Paradigm Genetics* 757,600 $ 947
Regeneron Pharmaceuticals* 80,400 1,106
Telik (B)* 219,871 3,212
Third Wave Technologies* 325,400 1,279
-----------
23,674
-----------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 2.6%
American Greetings, Cl A (B)* 266,200 4,720
Avaya* 332,700 2,202
Banta 60,800 2,102
Bowne 106,300 1,312
CIENA* 9,200 53
Consolidated Graphics* 61,500 1,225
Courier 9,487 463
COX Radio, Cl A* 57,149 1,302
Cumulus Media, Cl A* 37,600 680
Entercom Communications* 29,900 1,452
Entravision Communications, Cl A* 36,050 362
Hispanic Broadcasting* 13,700 344
Hollinger International 266,425 2,949
Interdigital Communications* 30,600 786
Polycom* 623,500 7,931
Radio One, Cl A* 18,850 316
Radio One, Cl D* 116,600 1,947
Spanish Broadcasting System, Cl A* 134,300 1,018
-----------
31,164
-----------
BUILDING & CONSTRUCTION -- 2.5%
Butler Manufacturing 20,700 363
Centex Construction Products 72,000 2,811
Chicago Bridge & Iron NY Shares 41,300 820
Dycom Industries* 33,200 464
ElkCorp 66,600 1,377
Genlyte Group* 57,700 2,192
Hovnanian Enterprises (B)* 16,300 944
Lennox International 45,600 653
LSI Industries 35,550 423
M/I Schottenstein Homes 63,700 2,586
MDC Holdings 61,160 3,045
Ryland Group 50,400 3,281
Simpson Manufacturing* 50,400 1,794
Standard-Pacific 34,000 1,169
Texas Industries 53,150 1,175
Trex* 22,100 947
Universal Forest Products 115,600 2,228
Walter Industries 83,200 982
WCI Communities* 71,500 1,394
York International 48,200 1,248
-----------
29,896
-----------
CHEMICALS -- 1.8%
Albemarle 118,200 3,164
American Pacific* 74,700 583
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Cabot Microelectronics* 18,400 $ 851
Calgon Carbon 125,400 721
Cytec Industries* 121,875 4,034
Ethyl* 31,060 308
HB Fuller 76,800 1,829
IMC Global 57,100 499
Millennium Chemicals 160,250 1,915
Minerals Technologies 47,500 2,385
Nova Chemicals 52,000 1,026
Symyx Technologies* 155,200 2,638
Wellman 98,900 1,113
-----------
21,066
-----------
COAL MINING -- 0.3%
Arch Coal 36,900 834
Consol Energy (B) 63,000 1,408
Massey Energy 98,200 1,377
-----------
3,619
-----------
COMMERCIAL SERVICES -- 5.7%
ABM Industries 58,000 857
Advisory Board* 32,000 1,221
Advo* 59,600 2,441
American Banknote Holographics* 10,210 10
American Banknote* 2,518 1
AMN Healthcare Services* 21,900 250
BearingPoint* 122,800 1,165
Blyth 63,575 1,756
Bright Horizons Family Solutions* 26,200 887
Brink's 197,925 3,133
Career Education (B)* 40,931 2,514
Coinstar* 40,800 866
Corinthian Colleges (B)* 37,200 1,750
Corporate Executive Board* 67,096 2,831
CoStar Group* 64,750 1,823
Digital River (B)* 100,385 1,974
Digitas* 17,900 79
DoubleClick* 408,600 4,290
Ebookers.com ADR* 18,300 256
Education Management* 40,300 1,916
Employee Solutions* 1,312 --
FTI Consulting (B)* 53,150 1,951
Harris Interactive* 3,100 15
Headwaters* 58,600 1,113
Hewitt Associates, Cl A* 28,000 640
Hotels.com, Cl A (B)* 2,150 195
Interactive Data* 44,000 711
iPayment* 600 14
Iron Mountain (B)* 42,400 1,675
ITT Educational Services* 38,900 1,097
Kroll* 56,000 1,300
Learning Tree International* 47,100 732
MAXIMUS* 41,600 1,113
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 49
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
SMALL CAP FUND (Continued)
MAY 31, 2003
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Medical Staffing Network Holdings* 37,900 $ 285
Memberworks (B)* 31,100 684
Mentor Graphics* 412,500 5,404
Monster Worldwide* 36,300 721
MPS Group* 117,100 840
MTC Technologies* 31,994 675
Navigant Consulting* 18,300 178
On Assignment* 82,100 275
Powell Industries* 1,600 25
Princeton Review* 192,700 1,143
Quanta Services* 116,200 698
Resources Connection* 30,116 676
Ritchie Brothers Auctioneers* 32,500 1,171
Robert Half International* 36,300 615
Roto-Rooter 23,100 901
Service International (B)* 286,000 1,190
SM&A* 1,350 14
SPS Technologies* 26,275 660
Stewart Enterprises, Cl A* 289,500 1,216
Stratasys* 29,655 767
Strayer Education 32,900 2,195
Sylvan Learning Systems (B)* 192,100 4,007
TeleTech Holdings* 125,100 565
Tredegar 65,075 918
University of Phoenix Online* 39,210 1,792
Wireless Facilities* 900 9
-----------
68,200
-----------
COMMUNICATIONS EQUIPMENT -- 1.5%
Allen Telecom* 96,400 1,701
Anaren* 68,900 701
Andrew (B)* 54,075 537
Arris Group (B)* 201,100 1,046
Belden 89,175 1,213
Checkpoint Systems* 112,700 1,550
CommScope* 195,425 1,987
Corvis* 209,100 316
Harman International Industries 7,110 528
Harris 123,800 3,750
Inter-Tel 57,900 1,060
Remec (B)* 191,000 1,310
Seachange International* 72,000 814
Sonus Networks* 12,200 57
Vixel* 222,000 955
-----------
17,525
-----------
COMPUTERS & SERVICES -- 5.0%
ActivCard* 28,000 300
American Management Systems* 134,200 1,835
Anteon International* 9,250 232
Ariba* 36,600 136
Ask Jeeves (B)* 104,530 1,334
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Avocent* 17,550 $ 519
Brady, Cl A 70,475 2,312
CACI International, Cl A* 21,680 717
Checkfree (B)* 48,800 1,195
CNET Networks (B)* 74,800 400
Cognizant Technology Solutions* 16,500 342
Corillian (B)* 674,400 985
Cray* 205,300 1,644
Digimarc* 380,800 5,335
Digital Insight (B)* 276,650 4,703
Documentum* 19,950 423
Earthlink* 366,875 2,473
Electronics for Imaging* 76,200 1,514
Emulex* 16,400 405
Foundry Networks* 222,700 3,427
GTECH Holdings* 39,300 1,381
Hutchinson Technology (B)* 62,965 1,901
Imation* 18,300 631
Immersion* 597,100 926
Infospace* 44,100 644
Iomega* 166,420 1,779
Ixia* 49,850 310
Jack Henry & Associates 97,400 1,483
Kana Software* 20,900 120
Keynote Systems* 55,000 524
Looksmart* 54,600 129
M-Systems Flash Disk Pioneers* 97,800 1,095
Maxtor* 387,700 2,915
McData* 121,500 1,635
NetScreen Technologies (B)* 113,195 2,534
Open Text (B)* 9,700 305
Optimal Robotics, Cl A* 23,200 176
Overture Services* 63,150 1,127
Paxar* 59,100 664
Planar Systems* 5,300 110
Portal Software* 63,500 120
Quantum-DLT & Storage* 302,000 1,280
Radisys* 9,800 104
RealNetworks* 35,500 282
Register.com* 81,900 491
Research In Motion* 9,100 173
RSA Security* 13,200 148
Sandisk (B)* 27,700 1,006
ScanSoft (B)* 23,800 138
SRA International* 2,150 64
Storage Technology* 93,500 2,524
SYKES Enterprises* 128,900 656
Unisys* 73,600 831
WebEx Communications (B)* 5,800 75
WebMD* 35,100 349
Websense* 44,700 721
-----------
59,582
-----------
- --------------------------------------------------------------------------------
50 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
CONTAINERS & PACKAGING -- 0.3%
Crown Holdings* 221,500 $ 1,468
Packaging of America* 100,600 1,811
-----------
3,279
-----------
DATA PROCESSING -- 0.4%
Alliance Data Systems* 57,100 1,401
CSG Systems International* 175,000 2,313
Global Payments 21,050 716
Trizetto Group* 37,200 225
-----------
4,655
-----------
DRUGS -- 2.1%
aaiPharma (B)* 27,450 400
Adolor (B)* 55,200 709
AeroGen* 393,800 248
Alkermes (B)* 457,200 5,893
Andrx* 18,400 354
Angitech Pharmaceuticals* 20,500 609
Atrix Labs (B)* 6,500 135
Axcan Pharma* 3,100 43
Cima Labs* 22,300 641
Cubist Pharmaceuticals (B)* 435,200 4,696
Endo Pharmaceuticals Holdings* 49,300 778
Eon Labs* 15,600 456
ICN Pharmaceuticals 42,000 630
Impax Laboratories (B)* 3,100 27
Kos Pharmaceuticals (B)* 13,600 331
KV Pharmaceutical, Cl A* 12,200 317
Medicines* 24,950 584
Medicis Pharmaceutical, Cl A (B)* 27,200 1,523
Neurocrine Biosciences (B)* 11,200 568
Perrigo 16,400 240
Pharmaceutical Resources* 29,560 1,213
Pharmacopeia* 132,500 1,389
Priority Healthcare, Cl B (B)* 37,200 839
Taro Pharmaceuticals Industries* 29,400 1,398
Vertex Pharmaceuticals* 53,000 770
Viropharma (B)* 45,800 147
-----------
24,938
-----------
ELECTRICAL SERVICES -- 1.3%
Active Power* 120,600 230
Allete 1,000 25
DQE 35,200 579
El Paso Electric* 147,300 1,753
Electro Scientific Industries* 4,950 74
EMCOR Group* 51,400 2,551
Idacorp 27,200 747
Invision Technologies (B)* 42,500 1,005
OGE Energy 69,600 1,470
PNM Resources 193,200 5,130
UIL Holdings (B) 43,300 1,911
-----------
15,475
-----------
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
ELECTRONICS -- 0.8%
Adaptec* 120,600 $ 965
Analogic 28,700 1,464
Arrow Electronics (B)* 72,900 1,242
Barnes Group 48,100 929
Engineered Support Systems 29,650 1,169
Flir Systems* 20,000 570
Methode Electronics, Cl A 180,400 2,002
Park Electrochemical 70,300 1,272
-----------
9,613
-----------
ENTERTAINMENT -- 1.6%
Alliance Gaming* 10,850 175
Alloy (B)* 31,600 220
Avid Technology (B)* 34,600 1,167
Callaway Golf 142,200 2,041
Gaylord Entertainment* 84,850 1,909
Leapfrog Enterprises (B)* 27,300 790
Macrovision* 175,600 3,375
Penn National Gaming* 35,150 588
Shuffle Master (B)* 56,152 1,505
Speedway Motorsports 154,100 4,014
Station Casinos (B)* 103,705 2,333
World Wrestling Entertainment* 54,600 556
-----------
18,673
-----------
ENVIRONMENTAL SERVICES -- 0.1%
Stericycle (B)* 29,280 1,158
-----------
FINANCIAL SERVICES -- 2.1%
Affiliated Managers Group* 6,500 357
American Home Mortgage Holdings 103,400 1,695
Capital Southwest 19,100 1,079
Doral Financial 54,200 2,292
E*TRADE Group (B)* 1,030,900 7,886
E-loan* 24,400 109
Financial Federal* 36,450 902
Friedman Billings Ramsey
Group, Cl A 103,700 1,379
LendingTree (B)* 31,700 743
Raymond James Financial 57,350 1,750
Saxon Capital* 83,000 1,421
Student Loan 21,500 2,561
W. P. Stewart 18,400 377
Waddell & Reed Financial, Cl A 131,620 2,981
-----------
25,532
-----------
FOOD, BEVERAGE & TOBACCO -- 0.7%
Corn Products International 36,100 1,117
Cott* 46,230 994
International Multifoods* 46,500 939
Interstate Bakeries 34,700 450
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 51
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
SMALL CAP FUND (Continued)
MAY 31, 2003
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Panera Bread, Cl A* 4,800 $ 168
Peet's Coffee & Tea* 23,500 403
PepsiAmericas 71,500 930
Pilgrims Pride, Cl A 13,150 80
Pilgrims Pride, Cl B (B) 119,600 1,036
Tyson Foods, Cl A 65,000 618
Universal 55,000 2,303
-----------
9,038
-----------
GAS/NATURAL GAS -- 0.7%
Energen 31,200 1,018
NUI 30,100 475
Oneok 70,100 1,428
Piedmont Natural Gas (B) 22,800 895
UGI 103,700 3,547
Vectren 45,200 1,117
-----------
8,480
-----------
HOTELS & LODGING -- 0.7%
Aztar* 109,000 1,668
Choice Hotels International* 18,100 448
Fairmont Hotels & Resorts 148,100 3,495
Four Seasons Hotels 16,300 596
Starwood Hotels & Resorts Worldwide 56,800 1,646
-----------
7,853
-----------
HOUSEHOLD PRODUCTS, FURNITURE & FIXTURES -- 0.5%
Ethan Allen Interiors (B) 48,300 1,721
Furniture Brands International* 136,700 3,592
Kimball International, Cl B 46,100 727
Salton (B)* 38,600 359
-----------
6,399
-----------
INSURANCE -- 3.8%
AmerUs Group (B) 84,800 2,282
Arch Capital Group* 72,900 2,697
Clark/Bardes* 49,800 585
CNA Surety 45,600 447
Commerce Group 47,700 1,784
Delphi Financial Group, Cl A 24,300 1,116
FBL Financial Group, Cl A 31,584 644
First American 50,700 1,373
HCC Insurance Holdings 37,200 1,066
Hub International 5,000 81
IPC Holdings* 66,000 2,131
Kansas City Life Insurance 30,500 1,309
Landamerica Financial Group 114,600 5,403
Ohio Casualty* 46,100 581
Pacificare Health Systems (B)* 51,100 1,976
Philadelphia Consolidated Holding* 29,000 1,186
Phoenix (B) 210,800 1,773
Pico Holdings* 75,100 1,048
Platinum Underwriters Holdings 91,650 2,531
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
PMA Capital, Cl A 106,300 $ 987
Presidential Life 64,500 726
ProAssurance* 66,125 1,852
RenaissanceRe Holdings 20,200 903
RLI 66,400 1,964
Scottish Annuity & Life Holdings (B) 98,500 1,877
Selective Insurance Group 40,500 1,062
Stancorp Financial Group 16,800 908
Stewart Information Services* 92,300 2,580
Vesta Insurance Group 72,000 182
White Mountains Insurance Group (B) 3,300 1,356
WR Berkley 19,000 936
-----------
45,346
-----------
LEASING & RENTING -- 0.7%
Dollar Thrifty Automotive Group* 84,700 1,637
GATX (B) 20,800 354
Rent-A-Center (B)* 36,200 2,405
Ryder System 133,800 3,554
-----------
7,950
-----------
MACHINERY -- 3.3%
AGCO* 52,300 935
Albany International, Cl A 56,900 1,515
Applied Industrial Technologies 72,800 1,394
Axcelis Technologies* 240,075 1,431
Briggs & Stratton 51,300 2,364
Cascade 50,200 816
CNH Global 73,040 610
Cognex* 123,964 2,834
Crane 87,700 1,831
Entegris* 143,080 1,776
FEI* 178,800 3,621
Gardner Denver* 67,900 1,364
Genus* 12,200 32
Kadant* 102,400 1,797
Lam Research* 37,000 661
Lincoln Electric Holdings 52,100 1,101
National-Oilwell* 19,500 474
NN 63,303 694
Photon Dynamics (B)* 98,450 2,441
Regal-Beloit 97,200 1,949
Surebeam, Cl A (B)* 193,825 620
Terex* 66,100 1,173
Thomas Industries 32,300 950
Toro (B) 26,800 1,070
Ultratech Stepper* 30,600 540
UNOVA* 85,800 887
Wabtec 68,500 939
Wilson Greatbatch Technologies (B)* 45,650 1,680
Woodward Governor (B) 42,800 1,646
-----------
39,145
-----------
- --------------------------------------------------------------------------------
52 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
MARINE TRANSPORTATION -- 0.2%
Kirby* 51,700 $ 1,422
Teekay Shipping 11,200 471
-----------
1,893
-----------
MEDICAL PRODUCTS & SERVICES -- 8.6%
Abgenix (B)* 346,700 3,727
Accredo Health* 21,300 453
Acuity Brands 224,300 3,717
Advanced Neuromodulation
Systems* 76,600 3,674
Albany Molecular Research* 37,700 511
Align Technology* 76,020 770
Alliance Imaging* 80,500 374
Alpharma 151,300 3,180
America Service Group* 35,000 551
American Healthways (B)* 52,080 1,345
American Medical Systems Holdings* 7,900 126
AMERIGROUP* 82,600 2,884
Amsurg* 54,900 1,547
Amylin Pharmaceuticals (B)* 39,300 780
Antigenics (B)* 41,900 514
Applera - Celera Genomics Group* 147,700 1,735
Atherogenics* 101,950 1,274
August Technology* 52,750 229
AVI BioPharma (B)* 44,500 243
Bausch & Lomb 25,500 967
Bioject Medical Technologies* 172,400 628
Biolase Technology (B)* 71,330 1,019
Biosite (B)* 47,300 1,975
Bruker Daltonics (B)* 43,100 183
Centene* 57,200 1,890
Cerner* 17,900 378
Community Health Systems* 28,600 596
Conmed* 49,800 979
Cooper (B) 34,200 1,181
Corixa (B)* 242,800 1,981
Covance* 85,900 1,635
Cross Country Healthcare* 16,900 215
CV Therapeutics (B)* 51,500 1,666
Cyberonics* 57,550 1,090
Cytyc* 35,100 365
Dendreon (B)* 198,000 1,245
Diagnostic Products 29,800 1,131
Dionex* 12,400 463
Edwards Lifesciences* 26,700 810
Enzon Pharmaceuticals* 19,250 287
eResearch Technology (B)* 132,700 2,485
Esperion Therapeutics* 12,000 159
Gen-Probe* 47,100 1,827
Genta (B)* 258,200 2,993
Haemonetics* 92,250 1,665
Health Net* 49,000 1,483
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Healthsouth (B)* 298,500 $ 90
Idexx Laboratories* 22,900 819
Immucor* 31,260 669
IMPAC Medical Systems* 14,150 330
Inamed* 23,800 1,227
Inspire Pharmaceuticals* 11,050 135
Integra LifeSciences Holdings (B)* 28,900 816
Inveresk Research Group* 25,750 422
Isis Pharmaceuticals (B)* 436,900 2,796
La Jolla Pharmaceutical* 256,800 1,012
LifePoint Hospitals (B)* 76,800 1,640
Martek Biosciences* 67,755 2,550
Medcath (B)* 128,500 729
Merit Medical Systems* 53,575 993
MGI Pharma* 3,100 62
Mid Atlantic Medical Services* 23,700 1,135
National Dentex* 29,700 587
NBTY* 56,000 867
Nektar Therapeutics* 82,200 910
NPS Pharmaceuticals (B)* 50,650 1,092
Ocular Sciences* 82,900 1,628
Odyssey HealthCare (B)* 35,450 1,048
Option Care* 7,200 75
Orthodontic Centers of America (B)* 52,000 413
Orthofix International* 3,900 128
Pain Therapeutics* 37,400 279
Parexel International* 55,700 773
Pharmaceutical Product
Development* 64,900 1,820
PolyMedica (B) 75,800 2,752
Prime Medical Services* 87,900 492
Province Healthcare* 17,300 189
Renal Care Group* 36,100 1,227
Sierra Health Services* 26,000 532
Sola International* 83,300 1,258
SurModics (B)* 48,620 1,900
Sybron Dental Specialties* 22,600 490
Thoratec* 21,900 301
Transgenomic* 222,400 411
Trimeris (B)* 6,050 298
Tularik (B)* 254,200 2,387
United Surgical Partners
International (B)* 59,250 1,292
United Therapeutics* 49,000 980
US Oncology* 245,900 2,102
Varian* 9,800 315
VCA Antech* 29,200 549
Vicuron Pharmaceuticals* 54,900 787
Visx* 42,925 745
-----------
102,982
-----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 53
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
SMALL CAP FUND (Continued)
MAY 31, 2003
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
METALS & MINING -- 0.9%
Commercial Metals 94,900 $ 1,697
Curtiss-Wright 3,100 184
Jarden* 24,600 718
Kaydon 73,700 1,562
Mueller Industries* 71,200 1,865
Precision Castparts 40,000 1,170
Shaw Group (B)* 109,300 1,333
Silgan Holdings* 56,900 1,450
Valmont Industries 42,100 842
-----------
10,821
-----------
MISCELLANEOUS MANUFACTURING -- 0.5%
Applied Films* 28,250 628
Identix* 369,500 2,339
US Industries* 490,100 2,093
Yankee Candle* 51,000 1,089
-----------
6,149
-----------
OFFICE/BUSINESS EQUIPMENT -- 0.5%
IKON Office Solutions (B) 176,500 1,550
ProQuest (B)* 133,450 3,737
Standard Register 46,900 819
-----------
6,106
-----------
PAPER & PAPER PRODUCTS -- 0.6%
Glatfelter 89,385 1,187
Playtex Products* 135,600 1,055
Rayonier 52,100 2,690
Rock-Tenn, Cl A 75,800 1,084
Schweitzer-Mauduit International 59,200 1,424
-----------
7,440
-----------
PETROLEUM & FUEL PRODUCTS -- 3.9%
3TEC Energy* 67,600 1,159
Atwood Oceanics (B)* 68,000 2,023
BJ Services (B)* 4,800 195
Cabot Oil & Gas 96,500 2,614
CAL Dive International* 171,800 3,819
Cimarex Energy* 74,400 1,618
Core Laboratories* 83,600 936
Evergreen Resources* 49,400 2,631
Forest Oil* 127,300 3,110
Helmerich & Payne 41,700 1,288
Holly 36,900 1,075
Horizon Offshore* 188,700 953
Key Energy Services* 97,800 1,162
Lone Star Technologies* 28,300 701
Nuevo Energy* 181,800 2,873
Patina Oil & Gas 32,500 1,287
Penn Virginia 18,600 772
Prima Energy* 35,100 802
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Range Resources* 54,300 $ 326
Spinnaker Exploration* 35,600 942
St. Mary Land & Exploration 110,760 3,101
Stone Energy* 74,900 3,063
Tetra Technologies* 32,000 945
Tom Brown* 81,200 2,298
Ultra Petroleum* 29,800 349
Unit (B)* 19,700 433
Varco International* 63,200 1,368
Veritas DGC* 206,400 1,930
Willbros Group* 49,200 474
World Fuel Services 73,400 1,814
-----------
46,061
-----------
REAL ESTATE -- 0.3%
Avatar Holdings* 53,650 1,552
Jones Lang LaSalle* 46,100 772
LNR Property (B) 22,500 863
Trammell Crow* 83,900 851
-----------
4,038
-----------
REAL ESTATE INVESTMENT TRUSTS -- 6.1%
Acadia Realty Trust 45,400 407
Alexandria Real Estate Equities 29,000 1,285
AMB Property 100,600 2,757
Apartment Investment
& Management, Cl A 85,100 2,998
Archstone-Smith Trust 145,657 3,461
Arden Realty 153,500 3,968
AvalonBay Communities 117,700 4,935
Boston Properties 41,650 1,746
BRE Properties, Cl A 51,000 1,643
Camden Property Trust 53,600 1,862
Corporate Office Properties
Trust SBI MD 145,520 2,311
Cousins Properties 34,900 943
Equity Residential (B) 49,400 1,308
Essex Property Trust (B) 43,200 2,462
Federal Realty Investment Trust 115,100 3,798
First Industrial Realty Trust 63,300 1,908
General Growth Properties (B) 51,600 3,026
Glimcher Realty Trust 34,700 757
Home Properties of New York 30,600 1,099
Macerich 147,485 5,088
Mack-Cali Realty 104,400 3,588
MFA Mortgage Investments 110,700 1,093
Nationwide Health Properties 83,800 1,275
PS Business Parks 41,500 1,411
Public Storage 33,600 1,148
Reckson Associates Realty 161,000 3,260
Rouse (B) 67,000 2,487
Simon Property Group 85,600 3,220
- --------------------------------------------------------------------------------
54 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
SL Green Realty 131,500 $ 4,542
Taubman Centers (B) 67,300 1,306
Ventas 87,700 1,241
-----------
72,333
-----------
RETAIL -- 7.8%
7-Eleven* 73,200 724
Abercrombie & Fitch, Cl A* 24,800 708
AC Moore Arts & Crafts (B)* 16,200 275
AFC Enterprises* 88,800 1,634
American Eagle Outfitters* 20,500 348
AnnTaylor Stores* 38,400 982
Applebees International 16,700 513
Brown Shoe 95,500 2,707
California Pizza Kitchen* 60,273 1,226
Cato, Cl A 78,200 1,542
CBRL Group 12,000 433
Charming Shoppes (B)* 248,000 1,171
Chico's FAS (B)* 133,100 2,848
Christopher & Banks* 55,800 1,615
Circuit City Stores 167,100 1,201
Claire's Stores 51,600 1,543
Cost Plus* 96,550 3,471
Dick's Sporting Goods* 49,300 1,429
Dillard's, Cl A 84,600 1,130
Dress Barn* 13,743 190
Duane Reade* 254,000 3,647
Electronics Boutique Holdings (B)* 57,500 1,208
Finish Line, Cl A* 41,500 822
Footstar (B)* 210,650 1,949
Fossil* 36,700 824
Fred's 32,397 1,192
GameStop* 88,500 1,109
Genesco* 112,700 1,707
Great Atlantic & Pacific Tea* 244,200 1,795
Guitar Center (B)* 132,100 3,164
Gymboree* 35,800 612
Hibbett Sporting Goods* 28,400 828
Hollywood Entertainment (B)* 110,300 1,851
HOT Topic (B)* 199,088 5,310
Ihop 66,900 2,047
Insight Enterprises* 36,500 319
K-Swiss 42,800 1,470
Kenneth Cole Productions (B)* 110,950 2,241
Linens `N Things* 42,000 967
Lithia Motors, Cl A* 88,700 1,415
Lone Star Steakhouse & Saloon 58,300 1,335
MSC Industrial Direct, Cl A* 40,900 777
Neiman-Marcus Group, Cl A* 14,600 507
Neiman-Marcus Group, Cl B* 800 25
Pacific Sunwear of California (B)* 131,775 2,960
Papa John's International (B)* 13,500 334
Pathmark Stores* 150,400 1,084
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Payless Shoesource* 188,950 $ 2,831
Petco Animal Supplies* 18,800 395
PF Chang's China Bistro (B)* 30,000 1,321
Priceline.com* 48,800 199
Rare Hospitality International* 32,200 920
Regis 54,600 1,594
Ruby Tuesday 57,900 1,336
Ryan's Family Steak Houses* 159,000 2,043
School Specialty (B)* 56,900 1,205
Select Comfort (B)* 92,800 1,489
Smith & Wollensky
Restaurant Group* 47,200 212
Sonic Automotive* 69,600 1,299
Too* 79,700 1,389
Tractor Supply* 11,600 526
Tuesday Morning* 37,010 849
Tweeter Home Entertainment Group* 93,900 716
Urban Outfitters (B)* 35,300 1,176
Wet Seal, Cl A* 65,200 691
Wolverine World Wide 66,600 1,223
Zale* 141,000 5,125
-----------
93,728
-----------
RETIREMENT/AGED CARE -- 0.1%
Sunrise Senior Living (B)* 48,550 1,214
-----------
RUBBER-TIRES -- 0.2%
Bandag 22,100 800
Cooper Tire & Rubber 113,100 1,797
-----------
2,597
-----------
SEMI-CONDUCTORS/INSTRUMENTS -- 5.4%
Actel* 28,000 621
ASM International* 36,700 567
AstroPower (B)* 139,900 339
Asyst Technologies (B)* 131,600 877
ATMI* 69,059 1,728
Credence Systems (B)* 40,500 328
Cree (B)* 88,350 2,171
Cymer (B)* 48,700 1,622
Cypress Semiconductor (B)* 69,900 772
DSP Group* 31,050 723
Dupont Photomasks* 11,400 239
Exar* 52,200 848
Fairchild Semiconductor
International* 323,850 4,527
Integrated Circuit Systems* 21,950 573
Integrated Device Technology* 116,000 1,404
International Rectifier* 11,700 306
Intersil, Cl A* 88,550 2,164
Lattice Semiconductor* 629,200 5,726
LTX* 43,750 429
Marvell Technology Group* 44,600 1,414
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 55
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
SMALL CAP FUND (Continued)
MAY 31, 2003
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Micrel* 86,100 $ 1,038
Microsemi* 10,500 139
Millipore* 51,300 2,088
Monolithic System Technology* 99,000 818
MRV Communications (B)* 307,200 704
Mykrolis* 58,787 550
Nanometrics* 8,500 54
O2Micro International* 123,700 1,904
Omnivision Technologies (B)* 130,500 4,684
Pericom Semiconductor* 600 6
PerkinElmer 161,700 2,068
Photronics* 54,300 914
Pixelworks (B)* 987,000 8,172
PLX Technology* 56,900 217
PMC - Sierra* 12,200 133
Power Integrations* 82,500 2,199
RF Micro Devices* 31,600 178
Rofin-Sinar Technologies* 75,300 1,195
Rudolph Technologies (B)* 150,750 2,180
Semtech* 49,870 790
Silicon Laboratories (B)* 24,900 741
Skyworks Solutions (B)* 65,900 490
Superconductor Technologies* 275,000 756
Trident Microsystems* 40,900 239
Triquint Semiconductor* 486,800 2,259
Virage Logic* 18,250 108
Vitesse Semiconductor* 264,600 1,328
Zoran* 53,100 1,087
-----------
64,417
-----------
SOFTWARE -- 4.1%
Activision* 78,000 1,324
Advent Software* 86,400 1,299
Agile Software* 47,650 449
Altiris (B)* 43,400 703
Ascential Software* 152,400 608
Barra* 3,850 126
Borland Software* 69,700 705
Bsquare (B)* 273,200 290
Business Objects ADR (B)* 27,350 554
Cognos* 46,300 1,271
Dendrite International* 293,325 3,496
Digex* 349,600 143
Digi International* 57,400 313
E.piphany* 81,400 428
F5 Networks (B)* 36,250 629
Hyperion Solutions* 117,550 3,703
Internet Security Systems* 36,650 579
Lawson Software* 158,300 806
Magma Design Automation (B)* 137,795 2,384
MicroStrategy, Cl A (B)* 17,700 604
MSC.Software (B)* 200,100 1,359
NETIQ* 6,000 89
Novell* 388,000 1,292
- --------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------
Onyx Software* 1,026,800 $ 975
Packeteer* 17,700 274
Pinnacle Systems* 382,700 4,076
Quest Software (B)* 83,300 931
Quovadx* 238,200 774
Radware* 111,395 1,537
Red Hat* 1,062,300 7,850
Retek* 33,900 223
Roxio* 11,800 79
Sybase* 113,500 1,436
THQ (B)* 115,700 1,641
TIBCO Software* 167,700 813
Timberline Software 70,700 393
TradeStation Group* 68,995 563
Transaction Systems Architects, Cl A* 80,300 722
United Online (B)* 56,500 1,217
Verity* 74,600 1,552
webMethods (B)* 99,600 951
-----------
49,161
-----------
STEEL & STEEL WORKS -- 0.7%
AK Steel Holding* 108,900 322
Maverick Tube* 131,030 2,623
Quanex 36,300 1,158
Roanoke Electric Steel 60,200 452
Schnitzer Steel Industries 35,400 1,207
Steel Dynamics (B)* 204,800 2,740
-----------
8,502
-----------
TELEPHONES & TELECOMMUNICATIONS -- 0.5%
AT&T Canada, Cl B* 22,500 652
Boston Communications Group (B)* 35,100 571
Centillium Communications* 30,000 328
IDT* 19,200 308
IDT, Cl B (B)* 32,600 520
j2 Global Communications (B)* 40,275 1,488
Loral Space & Communications (B)* 305,700 104
Telephone & Data Systems 14,000 682
Wavecom ADR* 25,200 328
West* 25,550 636
-----------
5,617
-----------
TRUCKING -- 1.3%
Arkansas Best 50,500 1,338
Forward Air* 25,450 648
JB Hunt Transport Services* 28,300 1,048
Knight Transportation* 92,947 2,357
Navistar International* 32,000 986
Roadway 47,500 1,758
SCS Transportation* 51,310 664
USF 171,900 5,147
UTI Worldwide 39,300 1,259
-----------
15,205
-----------
- --------------------------------------------------------------------------------
56 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
WHOLESALE -- 0.6%
Handleman* 96,100 $ 1,753
Ingram Micro, Cl A* 88,900 980
Owens & Minor 33,300 708
SCP Pool (B)* 34,100 1,098
United Natural Foods* 62,075 1,719
United Stationers* 34,700 1,058
-----------
7,316
-----------
Total Common Stock
(Cost $1,048,535) 1,100,053
-----------
CONVERTIBLE BONDS -- 0.2%
Emcore, CV to 20.5074 shares
5.000%, 05/15/06 $ 1,800 1,161
Microstrategy, Ser A, CV at Maturity
7.500%, 06/24/07 2 1
Viropharma, CV to 9.1620 shares
6.000%, 03/01/07 2,000 970
-----------
Total Convertible Bonds
(Cost $1,956) 2,132
-----------
RIGHTS -- 0.0%
Bank United* 24,100 2
-----------
Total Rights
(Cost $4) 2
-----------
WARRANTS -- 0.1%
American Banknote, Ser 1,
Expires 10/01/07 (E) (F) 867 --
American Banknote, Ser 2,
Expires 10/01/07 (E) (F) 867 --
Expedia, Expires 02/04/09* 6,244 324
Microstrategy, Expires 06/24/07 36 --
Superconductor Technology,
Expires 02/28/07 (E) 87,500 88
Washington Mutual (D)* 268,335 35
-----------
Total Warrants
(Cost $40) 447
-----------
U.S. TREASURY OBLIGATION -- 0.7%
U.S. Treasury Bills (A)
1.160%, 08/07/03 8,800 8,783
-----------
Total U.S. Treasury Obligation
(Cost $8,781) 8,783
-----------
- --------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
CORPORATE OBLIGATIONS (C) -- 7.1%
FINANCIAL SERVICES/SPECIAL PURPOSE ENTITY -- 6.4%
American Express Credit
1.319%, 12/17/03 $ 5,118 $ 5,120
1.300%, 01/13/04 1,706 1,706
American Honda Finance
1.281%, 03/15/04 4,265 4,272
1.247%, 11/10/03 1,365 1,366
CIT Group
2.428%, 12/05/03 2,661 2,650
2.075%, 05/03/04 682 682
2.001%, 04/08/04 4,026 4,028
1.852%, 01/09/04 1,092 1,097
1.483%, 08/14/03 273 273
Citigroup
1.259%, 03/09/04 3,412 3,419
1.257%, 05/04/04 1,597 1,602
Countrywide Home Loans
1.567%, 12/10/03 1,365 1,365
1.530%, 01/13/04 2,818 2,818
1.510%, 12/10/03 887 888
1.465%, 05/14/04 1,706 1,706
General Electric
1.288%, 01/28/04 1,706 1,706
General Electric Capital
1.390%, 07/28/03 3,412 3,412
Goldman Sachs Group
1.354%, 08/04/03 3,412 3,412
Halogen Funding
1.340%, 06/04/03 1,433 1,433
1.340%, 06/06/03 2,730 2,730
Household Finance
2.287%, 08/01/03 3,412 3,410
1.747%, 09/12/03 819 820
1.382%, 04/23/04 341 343
1.374%, 03/11/04 3,190 3,221
International Lease Finance
1.480%, 10/03/03 682 684
Liberty Light US Capital
1.310%, 01/21/04 3,412 3,411
1.310%, 05/17/04 2,047 2,047
Merrill Lynch
1.270%, 04/13/04 3,412 3,412
PNC Bank
1.295%, 06/06/03 7,165 7,165
Scaldis Capital
1.312%, 07/14/03 3,412 3,407
USA Education
1.289%, 01/23/04 1,215 1,216
Washington Mutual Bank
1.409%, 06/16/03 1,228 1,228
-----------
76,049
-----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 57
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
SMALL CAP FUND (Concluded)
MAY 31, 2003
- --------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
MACHINERY -- 0.7%
Caterpillar
1.305%, 03/05/04 $ 1,569 $ 1,572
1.294%, 05/28/04 1,706 1,708
1.244%, 07/09/03 3,412 3,412
1.230%, 04/08/04 2,047 2,051
-----------
8,743
-----------
Total Corporate Obligations
(Cost $84,792) 84,792
-----------
COMMERCIAL PAPER (C) -- 4.0%
FINANCIAL SERVICES/SPECIAL PURPOSE ENTITY -- 4.0%
ASAP Funding Limited
1.241%, 06/17/03 1,706 1,705
Aquinas Funding
1.224%, 09/10/03 3,412 3,400
1.181%, 06/13/03 3,412 3,411
Atlantis One Funding
1.181%, 06/24/03 6,824 6,819
Edison Asset
1.234%, 09/03/03 3,412 3,401
Mortgage Interest Networking Trust
1.271%, 07/02/03 6,824 6,816
Park Granada
1.313%, 07/28/03 1,706 1,702
1.292%, 07/29/03 4,572 4,562
Polonius
1.200%, 06/11/03 3,412 3,411
Sigma Finance
1.391%, 08/19/03 1,706 1,706
1.331%, 06/17/03 1,682 1,681
1.312%, 07/14/03 3,412 3,407
Tannehill Capital
1.312%, 07/21/03 1,365 1,362
1.300%, 07/10/03 2,047 2,047
1.283%, 08/06/03 1,365 1,362
Witmer Funding
1.281%, 06/12/03 1,365 1,364
-----------
Total Commercial Paper
(Cost $48,156) 48,156
-----------
- --------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
CASH EQUIVALENT -- 0.7%
First Union Cash Management
Program 8,177,091 $ 8,177
-----------
Total Cash Equivalent
(Cost $8,177) 8,177
-----------
REPURCHASE AGREEMENTS -- 7.7%
ABN Amro (G)
1.300%, dated 05/30/03, to be
repurchased on 06/02/03,
repurchase price $62,246,837
(collateralized by U.S. Government
Agency obligations, total market
value: $63,485,324) $62,240 62,240
Lehman Brothers (C)
1.350%, dated 05/30/03, to be
repurchased on 06/02/03,
repurchase price $2,388,633
(collateralized by U.S. Government
Agency obligations, total market
value: $2,436,149) 2,388 2,388
UBS Paine Webber (C)
1.360%, dated 05/30/03, to be
repurchased on 06/02/03,
repurchase price $26,924,355
(collateralized by U.S. Government
Agency obligations, total market
value: $27,459,962) 26,921 26,921
-----------
Total Repurchase Agreements
(Cost $91,549) 91,549
-----------
Total Investments -- 112.6%
(Cost $1,291,990) 1,344,091
-----------
OTHER ASSETS AND LIABILITIES -- (12.6%)
Payable upon Return on Securities Loaned (162,257)
Investment Advisory Fees Payable (474)
Other Assets and Liabilities 12,761
-----------
Total Other Assets and Liabilities, Net (149,970)
-----------
- --------------------------------------------------------------------------------
58 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
Value
($ Thousands)
- --------------------------------------------------------------------------------
NET ASSETS:
Paid-in-Capital -- Class A
(unlimited authorization -- no par value)
based on 102,963,223 outstanding
shares of beneficial interest $ 1,238,148
Paid-in-Capital -- Class T
(unlimited authorization -- no par value)
based on 16,035 outstanding
shares of beneficial interest 3,189
Undistributed net investment income 507
Accumulated net realized loss on investments (108,771)
Net unrealized appreciation on investments 52,101
Net unrealized appreciation on futures contracts 8,947
-----------
Total Net Assets -- 100.0% $ 1,194,121
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($1,193,935,344 / 102,963,223 shares) $11.60
======
Net Asset Value, Offering and Redemption
Price Per Share -- Class T
($185,536 / 16,035 shares) $11.57
======
* Non-Income Producing Security
(A) Security, or portion thereof, is pledged as collateral on open futures
contracts. Rate shown is effective yield at time of purchase.
(B) This security or a partial position of this security is on loan at May 31,
2003 (see Note 11). The total value of securities on loan at May 31, 2003
was $155,303,052.
(C) These securities were purchased with cash collateral received from
securities lending. The total value of such securities as of May 31, 2003
was $162,257,180 (See Note 11).
(D) This warrant represents a potential distribution settlement in a legal
claim and does not have a strike price or expiration date.
(E) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total value of such
securities as of May 31, 2003 was $87,500.
(F) Securities considered illiquid. The total value of such securities as of
May 31, 2003 was $0.
(G) Tri-Party Repurchase Agreement.
ADR -- American Depository Receipt
Cl -- Class
CV -- Convertible
NY -- New York
Ser -- Series
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 59
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
CORE FIXED INCOME FUND
MAY 31, 2003
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 17.5%
U.S. TREASURY BILLS (A)
1.155%, 08/07/03 $ 4,500 $ 4,491
1.160%, 08/14/03 (K) 12,100 12,073
1.140%, 06/13/03 25,000 24,991
1.130%, 06/19/03 6,400 6,396
U.S. Treasury Bonds
12.000%, 08/15/13 (K) 6,810 10,006
11.875%, 11/15/03 210 220
10.375%, 11/15/12 (K) 12,230 16,468
9.250%, 02/15/16 800 1,244
8.875%, 08/15/17 (K) 3,800 5,848
8.500%, 02/15/20 (K) 8,560 13,058
8.125%, 08/15/19 (K) 9,075 13,371
8.000%, 11/15/21 (K) 4,655 6,872
6.750%, 08/15/26 (K) 24,434 32,619
6.125%, 08/15/29 (K) 5,960 7,490
6.000%, 02/15/26 (K) 14,140 17,319
5.375%, 02/15/31 430 500
5.250%, 11/15/28 (K) 45,821 51,271
4.250%, 01/15/10 (D) 25,864 30,503
3.875%, 04/15/29 (D) (K) 28,859 37,806
3.625%, 04/15/28 (D) (K) 27,225 34,040
U.S. Treasury Notes
6.500%, 10/15/06 330 381
6.500%, 02/15/10 (K) 3,360 4,119
5.000%, 08/15/11 (K) 17,475 19,839
4.000%, 11/15/12 (K) 8,060 8,507
3.625%, 05/15/13 555 568
3.250%, 08/15/07 (K) 6,475 6,794
3.000%, 02/15/08 (K) 10,360 10,734
2.625%, 05/15/08 10 10
1.625%, 04/30/05 (K) 13,880 13,966
1.250%, 05/31/05 11,270 11,252
U.S. Treasury STRIPS (A)
6.500%, 11/15/26 840 1,092
5.970%, 11/15/21 (K) 14,325 6,024
5.440%, 11/15/27 (K) 29,680 9,195
4.890%, 11/15/22 (K) 18,000 7,154
-----------
Total U.S. Treasury Obligations
(Cost $384,695) 426,221
-----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 18.4%
FHLB Discount Notes (A)
1.180%, 06/11/03 $92,890 $ 92,860
1.145%, 06/13/03 14,800 14,794
FHLMC
4.625%, 05/28/13 2,450 2,504
3.500%, 04/01/08 3,300 3,382
FHLMC (K)
4.500%, 01/15/13 60,000 64,011
FHLMC CMO/REMIC, Ser 1, Cl Z
9.300%, 04/15/19 116 117
FHLMC CMO/REMIC, Ser 1081, Cl K
7.000%, 05/15/21 2,882 2,902
FHLMC CMO/REMIC, Ser 1101, Cl M
6.950%, 07/15/21 1,913 1,939
FHLMC CMO/REMIC, Ser 1403, Cl M
6.500%, 12/15/21 942 942
FHLMC Ser 2145, Cl MA
6.000%, 07/15/26 584 586
FHLMC Ser 2479, Cl HK
6.100%, 02/15/29 2,549 2,578
FHLMC Ser T-49, Cl AF1
2.570%, 12/25/32 5,501 5,515
FHLMC, Ser 2544, Cl IW, IO
5.500%, 03/15/26 4,400 599
FHLMC, Ser 2579, Cl PI, IO
5.500%, 03/15/27 7,647 691
FHLMC, Ser 1983, Cl Z
6.500%, 12/15/23 9,436 9,467
FHLMC, Ser 2332, Cl ZH
7.000%, 07/15/31 9,092 9,703
FHLMC, Ser 2389, Cl CD
6.000%, 03/15/16 7,500 7,988
FHLMC, Ser 2480, Cl QJ
6.000%, 02/15/30 12,574 12,778
FHLMC, Ser 2559, Cl F (F)
1.610%, 08/15/30 1,068 1,068
FHLMC, Ser 2571, Cl FB (F)
1.660%, 02/15/18 6,881 6,900
FNMA
7.250%, 01/15/10 (K) 1,965 2,461
7.125%, 06/15/10 (K) 8,025 10,031
6.000%, 05/15/08 to 05/15/11 (K) 16,360 19,190
5.750%, 02/15/08 1,550 1,778
5.375%, 11/15/11 630 717
FNMA CMO/REMIC, Ser 1990-58, Cl J
7.000%, 05/25/20 1,408 1,517
FNMA CMO/REMIC, Ser 1990-93, Cl G
5.500%, 08/25/20 296 311
FNMA CMO/REMIC, Ser 1991-156, Cl A
7.500%, 10/25/21 105 107
FNMA CMO/REMIC, Ser 1993-69, Cl Z
6.000%, 01/25/22 118 118
- --------------------------------------------------------------------------------
60 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA CMO/REMIC, Ser 1996-45, Cl K
7.000%, 09/25/21 $ 659 $ 719
FNMA CMO/REMIC, Ser 2002-T1, Cl A2
7.000%, 11/25/31 84 91
FNMA CMO/REMIC, Ser 2002-T4, Cl A2
7.000%, 12/25/41 59 64
FNMA CMO/REMIC, Ser 92-30, Cl Z
7.000%, 06/25/22 866 942
FNMA Discount Notes (A)
1.230%, 10/22/03 (B) 8,225 8,189
1.190%, 06/02/03 46,500 46,500
1.170%, 06/19/03 25,010 25,010
1.140%, 07/03/03 1,500 1,499
FNMA Discount Notes, Ser BB (A)
1.210%, 06/05/03 32,000 31,997
1.190%, 06/13/03 4,765 4,765
FNMA, Ser 2002-65, Cl TP
7.000%, 03/25/31 6,831 7,076
FNMA, Ser 2002-94, Cl BJ, IO
5.500%, 04/25/16 3,738 250
FNMA, Ser 1999-11, Cl Z
5.500%, 03/25/29 5,429 5,750
FNMA, Ser 2001-60, Cl JZ
6.000%, 03/25/31 6,391 6,557
FNMA, Ser 2002-22, Cl PE
6.500%, 11/25/30 5,835 6,131
FNMA, Ser 2003-15, Cl LF (F)
1.670%, 02/25/17 2,416 2,417
FNMA, Ser 2003-16, Cl KA
6.000%, 04/25/30 6,566 6,667
GNMA, Ser 2001-18, Cl WH (F)
26.515%, 04/20/31 2,534 3,196
GNMA, Ser 2002-51, Cl SG (F)
26.788%, 04/20/31 2,306 2,822
Resolution Funding, Ser A
8.625%, 01/15/30 250 409
SLMA, Ser 2003-3, Cl A2 (F)
1.310%, 06/15/10 5,200 5,200
TVA
7.125%, 05/01/30 3,440 4,614
-----------
Total U.S. Government Agency Obligations
(Cost $440,409) 448,419
-----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE- BACKED OBLIGATIONS -- 30.1%
FHLMC
9.750%, 10/01/14 $ 62 $ 67
9.000%, 12/01/05 4 4
8.500%, 09/01/08 to 04/01/09 517 551
8.000%, 08/01/26 to 11/01/30 1,836 1,984
7.500%, 11/01/17 to 06/01/32 6,615 7,033
7.000%, 11/01/15 to 06/01/32 8,920 9,343
6.500%, 02/01/13 to 08/01/32 18,099 18,923
6.000%, 03/01/11 to 02/01/33 12,179 12,643
5.500%, 12/01/13 to 07/01/17 3,361 3,491
4.799%, 01/01/33 4,432 4,558
FHLMC TBA
6.000%, 06/17/18 to 06/12/33 3,600 3,735
5.500%, 06/17/18 to 07/15/32 17,200 17,808
5.000%, 07/17/18 3,500 3,606
4.500%, 07/15/18 to 07/17/18 12,125 12,387
FNMA
8.000%, 04/01/08 to 07/01/31 5,900 6,367
7.500%, 06/01/27 to 06/01/32 1,946 2,067
7.000%, 10/01/14 to 07/01/32 37,519 39,513
6.500%, 10/01/08 to 11/01/31 23,280 24,424
6.000%, 03/01/11 to 05/01/32 7,370 7,681
5.500%, 05/01/13 to 01/01/18 12,966 13,475
FNMA TBA
7.000%, 06/17/18 to 07/14/33 24,600 25,949
6.500%, 06/17/18 to 06/12/33 51,600 53,700
6.000%, 06/17/18 to 07/14/33 70,100 72,901
5.500%, 06/01/18 to 06/12/33 46,500 48,251
5.000%, 06/17/18 to 06/12/33 32,400 33,471
4.500%, 06/17/18 to 07/17/18 11,800 12,077
GNMA
9.500%, 12/15/20 73 83
8.500%, 11/15/20 6 6
7.500%, 09/15/06 to 07/15/31 8,174 8,700
7.000%, 01/15/29 to 10/15/29 3,940 4,155
6.500%, 06/15/11 to 02/15/32 37,451 39,336
6.000%, 03/15/14 to 10/15/32 13,597 14,267
5.500%, 04/15/14 to 01/15/17 3,823 4,015
GNMA TBA
7.500%, 06/20/33 12,950 13,767
7.000%, 06/01/33 to 06/18/33 56,700 59,748
6.500%, 06/19/33 28,970 30,373
6.000%, 06/17/18 to 06/19/33 109,080 114,142
5.500%, 06/19/33 5,600 5,847
-----------
Total U.S. Government Mortgage-Backed Obligations
(Cost $721,926) 730,448
-----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 61
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
CORE FIXED INCOME FUND (Continued)
MAY 31, 2003
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 34.5%
AEROSPACE & DEFENSE -- 0.7%
British Aerospace Financial (C)
7.500%, 07/01/27 $ 5,000 $ 5,831
General Dynamics (K)
4.250%, 05/15/13 480 490
Lockheed Martin
8.500%, 12/01/29 995 1,398
7.750%, 05/01/26 (K) 1,850 2,377
Northrop Grumman
9.375%, 10/15/24 2,990 3,364
Raytheon
4.500%, 11/15/07 435 461
United Technologies
6.500%, 06/01/09 1,870 2,209
-----------
16,130
-----------
AIR TRANSPORTATION -- 1.3%
America West Airlines, Ser 99-1
7.930%, 01/02/19 6,207 6,566
American Airlines, Ser 99-1
7.024%, 10/15/09 500 440
Continental Airlines, Ser 00-2 (H)
8.312%, 04/02/11 1,591 1,122
Continental Airlines, Ser 974A (H)
6.900%, 01/02/18 5,518 5,084
Continental Airlines, Ser 974C (H)
6.800%, 07/02/07 3,708 2,422
Continental Airlines, Ser 99-2 (H)
7.730%, 03/15/11 1,480 977
Contintental Airlines, Ser 991A (H)
6.545%, 02/02/19 1,285 1,186
Delta Air Lines, Ser 02-1
6.718%, 01/02/23 5,282 5,616
6.417%, 07/02/12 (K) 4,200 4,440
Northwest Airlines, Ser 971B (H)
7.248%, 01/02/12 4,109 2,717
Northwest Airlines, Ser 991C (H)
8.130%, 02/01/14 1,101 735
US Airways, Cl B (H)
7.500%, 04/15/08 3,348 167
-----------
31,472
-----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
AUTOMOTIVE -- 0.7%
DaimlerChrysler
8.500%, 01/18/31 $ 2,500 $ 3,243
7.450%, 03/01/27 105 120
7.300%, 01/15/12 (K) 770 908
4.750%, 01/15/08 1,005 1,058
4.050%, 06/04/08 1,800 1,799
Ford Motor
8.900%, 01/15/32 480 506
7.700%, 05/15/97 820 752
7.450%, 07/16/31 4,100 3,813
6.625%, 10/01/28 1,600 1,358
6.375%, 02/01/29 5,500 4,551
-----------
18,108
-----------
BANKS -- 1.9%
Bank One
7.875%, 08/01/10 5,000 6,269
6.700%, 05/15/08 2,000 2,125
Bank of America
7.800%, 02/15/10 860 1,071
7.400%, 01/15/11 3,830 4,728
6.250%, 04/15/12 2,770 3,223
4.875%, 09/15/12 (K) 1,235 1,311
Barclays Bank PLC (C)(F)
8.550%, 09/29/49 1,730 2,245
Citicorp
7.750%, 06/15/06 (B) 2,800 3,272
7.200%, 06/15/07 740 870
FleetBoston Financial (K)
4.875%, 12/01/06 650 701
FleetBoston Financial MTN, Ser T
4.200%, 11/30/07 235 249
JP Morgan Chase
6.750%, 02/01/11 (K) 775 914
6.625%, 03/15/12 3,850 4,449
5.750%, 01/02/13 (K) 2,410 2,636
5.250%, 05/30/07 2,800 3,069
Korea Development Bank
4.250%, 11/13/07 630 655
Royal Bank of Scotland Group, Ser 2
8.817%, 03/31/49 4,300 4,800
US Bancorp MTN, Ser N
3.950%, 08/23/07 1,165 1,232
3.125%, 03/15/08 1,720 1,743
-----------
45,562
-----------
- --------------------------------------------------------------------------------
62 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 1.9%
COX Communications
7.875%, 08/15/09 $ 440 $ 538
4.625%, 06/01/13 130 130
Comcast
8.875%, 04/01/07 7,722 8,321
5.500%, 03/15/11 2,645 2,825
5.300%, 01/15/14 6,575 6,778
Comcast Cable Communications
6.750%, 01/30/11 (K) 6,700 7,675
6.375%, 01/30/06 1,260 1,373
Continental Cablevision
9.000%, 09/01/08 800 977
8.300%, 05/15/06 875 1,001
Libery Media
5.700%, 05/15/13 790 826
MeadWestavaco (K)
6.850%, 04/01/12 1,820 2,126
News America
7.300%, 04/30/28 2,660 3,089
News America Holdings
8.150%, 10/17/36 5,000 6,294
TCI Communications
7.875%, 02/15/26 1,550 1,858
TCI Communications MTN (G)
4.070%, 02/15/05 2,000 2,150
Turner Broadcasting System
8.375%, 07/01/13 590 717
-----------
46,678
-----------
CHEMICALS -- 0.2%
Dow Chemical
7.375%, 11/01/29 4,785 5,694
6.125%, 02/01/11 205 227
-----------
5,921
-----------
COMPUTERS & SERVICES -- 0.2%
Electronic Data Systems (K)
7.450%, 10/15/29 5,050 5,176
-----------
DRUGS -- 0.3%
Bristol-Myers Squibb
6.875%, 08/01/97 425 513
5.750%, 10/01/11 4,445 4,991
Pharmacia
6.500%, 12/01/18 500 632
Tenet Healthcare
7.375%, 02/01/13 221 226
-----------
6,362
-----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ELECTRICAL SERVICES -- 1.5%
Arizona Public Services
8.000%, 12/30/15 $ 1,000 $ 1,219
Conectiv MTN, Ser A
6.730%, 06/01/06 2,130 2,223
DTE Energy (K)
6.450%, 06/01/06 1,340 1,499
Dominion Resources
6.300%, 03/15/33 420 454
5.700%, 09/17/12 1,140 1,254
4.125%, 02/15/08 250 262
Dominion Resources, Ser D
5.125%, 12/15/09 1,525 1,640
Dominion Resources, Ser E
6.750%, 12/15/32 150 172
Edison Mission
9.875%, 04/15/11 4,000 3,460
Edison Mission Energy
7.730%, 06/15/09 400 328
Exelon (K)
6.750%, 05/01/11 1,150 1,347
First Energy, Ser B
6.450%, 11/15/11 1,400 1,543
First Energy, Ser C
7.375%, 11/15/31 3,140 3,556
Hydro-Quebec, Ser HQ
9.500%, 11/15/30 1,450 2,393
Hydro-Quebec, Ser HY
8.400%, 01/15/22 1,750 2,487
Hydro-Quebec, Ser JL
6.300%, 05/11/11 2,120 2,526
Korea Electric Power
7.750%, 04/01/13 1,290 1,592
Niagra Mohawk Power, Ser G (K)
7.750%, 10/01/08 1,200 1,451
Oncor Electric Delivery (C)
7.250%, 01/15/33 450 548
6.375%, 01/15/15 745 857
PSE&G Energy
8.500%, 06/15/11 2,700 2,943
System Energy Resources
7.430%, 01/15/11 245 257
TXU Energy (C)
7.000%, 03/15/13 520 580
Virginia Electric & Power, Ser A
5.750%, 03/31/06 1,325 1,444
-----------
36,035
-----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 63
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
CORE FIXED INCOME FUND (Continued)
MAY 31, 2003
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FINANCIAL SERVICES/SPECIAL PURPOSE ENTITY -- 13.8%
Air 2 US (C)
8.027%, 10/01/19 $ 5,002 $ 2,750
American Express Credit (L)
1.319%, 12/17/03 13,405 13,409
1.300%, 01/13/04 4,468 4,468
American Honda Finance (L)
1.281%, 03/15/04 11,171 11,190
1.247%, 11/10/03 3,575 3,579
CIT Group (L)
2.428%, 12/05/03 6,971 6,941
2.075%, 05/03/04 1,787 1,787
2.001%, 04/08/04 10,545 10,549
1.852%, 01/09/04 2,860 2,872
1.483%, 08/14/03 715 715
Capital One Bank
4.875%, 05/15/08 9,150 9,249
Citigroup
7.250%, 10/01/10 2,075 2,535
6.000%, 02/21/12 1,630 1,870
5.875%, 02/22/33 (K) 310 330
5.625%, 08/27/12 520 579
3.500%, 02/01/08 2,200 2,265
1.259%, 03/09/04 (L) 8,937 8,956
1.257%, 05/04/04 (L) 4,182 4,197
Countrywide Home Loans (L)
1.567%, 12/10/03 3,575 3,575
1.530%, 01/13/04 7,382 7,382
1.510%, 12/10/03 2,323 2,324
1.465%, 05/14/04 4,468 4,467
Credit Suisse
6.125%, 11/15/11 (K) 405 452
4.625%, 01/15/08 2,260 2,412
Dryden Investor Trust (C)(H)
7.157%, 07/23/08 3,925 4,278
Farmers Exchange Capital (C)
7.200%, 07/15/48 2,550 2,059
7.050%, 07/15/28 4,465 3,812
Farmers Insurance Exchange (C)
8.625%, 05/01/24 728 670
Ford Motor Credit
7.875%, 06/15/10 3,920 4,211
7.500%, 03/15/05 1,000 1,057
7.375%, 10/28/09 1,335 1,390
7.375%, 02/01/11 3,985 4,149
6.875%, 02/01/06 7,340 7,718
6.500%, 01/25/07 5,800 6,043
5.800%, 01/12/09 400 394
Ford Motor Credit MTN (K)
7.750%, 02/15/07 5,000 5,356
General Electric (L)
1.288%, 01/28/04 4,468 4,469
General Electric Capital (L)
1.390%, 07/28/03 8,937 8,937
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
General Electric Capital MTN, Ser A
6.750%, 03/15/32 $ 2,620 $ 3,138
6.125%, 02/22/11 3,730 4,281
6.000%, 06/15/12 485 552
5.875%, 02/15/12 3,030 3,416
3.500%, 05/01/08 800 822
General Motors Acceptance
7.250%, 03/02/11 4,810 5,081
7.150%, 06/15/15 (E) 2,600 1,099
6.875%, 09/15/11 9,520 9,852
6.125%, 09/15/06 830 870
Goldman Sachs Group
7.350%, 10/01/09 220 268
6.875%, 01/15/11 1,135 1,343
6.600%, 01/15/12 5,680 6,625
6.125%, 02/15/33 750 808
1.354%, 08/04/03 (L) 8,937 8,937
Halogen Funding (L)
1.340%, 06/04/03 3,753 3,753
1.340%, 06/06/03 7,149 7,149
Household Finance
8.000%, 07/15/10 2,620 3,245
7.000%, 05/15/12 2,735 3,233
6.750%, 05/15/11 225 262
6.375%, 10/15/11 95 108
6.375%, 11/27/12 410 468
5.875%, 02/01/09 1,530 1,719
4.625%, 01/15/08 1,810 1,927
2.287%, 08/01/03 (L) 8,937 8,930
1.747%, 09/12/03 (L) 2,145 2,149
1.382%, 04/23/04 (L) 894 899
1.374%, 03/11/04 (L) 8,356 8,437
International Lease Finance (L)
1.480%, 10/03/03 1,787 1,792
JP Morgan Capital Trust II
7.950%, 02/01/27 200 233
John Deere Capital
6.000%, 02/15/09 1,380 1,549
Lehman Brothers
6.500%, 04/15/08 3,090 3,588
Lehman Brothers Holdings
8.800%, 03/01/15 2,755 3,719
Lehman Brothers Holdings MTN, Ser F
7.500%, 09/01/06 1,075 1,243
Liberty Light US Capital (L)
1.310%, 01/21/04 8,937 8,935
1.310%, 05/17/04 5,362 5,360
Merrill Lynch
7.430%, 09/01/22 933 1,025
1.270%, 04/13/04 (L) 8,937 8,937
Morgan Stanley Dean Witter
6.750%, 04/15/11 980 1,154
6.100%, 04/15/06 450 497
5.800%, 04/01/07 750 832
- --------------------------------------------------------------------------------
64 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
5.300%, 03/01/13 $ 530 $ 565
4.250%, 05/15/10 750 778
PNC Bank (L)
1.295%, 06/06/03 18,767 18,768
Principal Life Global Funding (C)
5.250%, 01/15/13 3,000 3,208
Progress Capital Holdings MTN
6.750%, 12/10/07 3,000 3,336
Prudential (C)
6.375%, 07/23/06 800 888
Scaldis Capital (L)
1.312%, 07/14/03 8,937 8,922
USA Education (L)
1.289%, 01/23/04 3,181 3,186
Washington Mutual Bank (L)
1.409%, 06/16/03 3,217 3,217
-----------
334,499
-----------
FOOD, BEVERAGE & TOBACCO -- 2.1%
Anheuser Busch
6.500%, 05/01/42 4,200 5,059
Diageo Capital
6.625%, 06/24/04 4,700 4,964
General Mills
6.000%, 02/15/12 1,310 1,496
5.125%, 02/15/07 800 874
Kellogg, Ser B
6.600%, 04/01/11 5,355 6,346
Kraft Foods
5.625%, 11/01/11 2,630 2,868
Nabisco
7.550%, 06/15/15 3,000 3,780
6.375%, 02/01/05 3,000 3,191
Pepsi Bottling Group, Ser B
7.000%, 03/01/29 2,500 3,131
Philip Morris
7.750%, 01/15/27 5,570 5,960
Philip Morris Capital
7.500%, 07/16/09 2,500 2,681
RJ Reynolds Tobacco Holding, Ser B
7.875%, 05/15/09 2,530 2,638
7.750%, 05/15/06 3,760 3,858
Sara Lee
6.250%, 09/15/11 3,640 4,243
Unilever Capital
5.900%, 11/15/32 1,025 1,142
-----------
52,231
-----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FORESTRY -- 0.4%
Weyerhaeuser
7.375%, 03/15/32 $3,500 $ 4,151
6.875%, 12/15/33 1,760 1,972
6.750%, 03/15/12 2,530 2,920
5.250%, 12/15/09 (K) 450 484
-----------
9,527
-----------
GAS/NATURAL GAS -- 0.7%
El Paso MTN
7.800%, 08/01/31 2,360 1,835
7.750%, 01/15/32 3,800 2,954
Kinder Morgan Energy
7.300%, 08/15/33 680 835
Sonat
7.625%, 07/15/11 2,880 2,477
Williams
9.250%, 03/15/32 (C) 2,840 2,726
7.875%, 09/01/21 1,150 1,023
7.750%, 06/15/31 740 648
6.500%, 08/01/06 2,000 1,900
6.250%, 02/01/06 1,810 1,724
Williams, Ser A
7.500%, 01/15/31 310 262
-----------
16,384
-----------
INSURANCE -- 0.9%
ASIF Global Funding (C)
3.850%, 11/26/07 2,750 2,859
American General Capital
8.500%, 07/01/30 785 1,127
Loews
7.625%, 06/01/23 450 469
7.000%, 10/15/23 1,950 2,011
Metlife Global Funding I (C)
4.750%, 06/20/07 800 866
Metlife
6.125%, 12/01/11 440 500
Nationwide Mutual Insurance (C)
7.875%, 04/01/33 4,700 5,469
New York Life Insurance (C)
5.875%, 05/15/33 600 635
Progressive
7.000%, 10/01/13 925 1,134
Zurich Capital Trust I (C)(K)
8.376%, 06/01/37 5,398 5,897
-----------
20,967
-----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 65
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
CORE FIXED INCOME FUND (Continued)
MAY 31, 2003
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MACHINERY -- 0.9%
Caterpillar (L)
1.305%, 03/05/04 $ 4,111 $ 4,117
1.294%, 05/28/04 4,468 4,474
1.244%, 07/09/03 8,937 8,938
1.230%, 04/08/04 5,362 5,371
-----------
22,900
-----------
MISCELLANEOUS MANUFACTURING -- 0.6%
General Electric
5.000%, 02/01/13 1,020 1,089
Tyco International
7.000%, 06/15/28 1,990 1,911
6.875%, 01/15/29 (K) 6,090 5,847
6.375%, 10/15/11 (K) 5,275 5,288
6.375%, 06/15/05 585 604
6.125%, 01/15/09 190 192
-----------
14,931
-----------
MULTIMEDIA -- 0.6%
AOL Time Warner
8.375%, 07/15/33 1,180 1,566
7.700%, 05/01/32 5,300 6,216
7.625%, 04/15/31 545 630
6.875%, 06/15/18 1,180 1,331
6.625%, 05/15/29 1,500 1,556
5.625%, 05/01/05 (K) 620 657
Viacom (K)
5.625%, 08/15/12 1,600 1,802
-----------
13,758
-----------
NON-HAZARDOUS WASTE DISPOSAL -- 0.4%
Waste Management
7.375%, 05/15/29 1,000 1,212
7.125%, 12/15/17 5,425 6,591
7.100%, 08/01/26 2,245 2,642
-----------
10,445
-----------
OFFICE/BUSINESS EQUIPMENT -- 0.3%
Pitney Bowes Credit
5.750%, 08/15/08 5,600 6,361
-----------
PAPER & RELATED PRODUCTS -- 0.0%
International Paper (C)
5.300%, 04/01/15 575 606
-----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
PETROLEUM & FUEL PRODUCTS -- 1.4%
Amerada Hess
7.300%, 08/15/31 $ 1,025 $ 1,200
Anadarko Finance, Ser B (K)
7.500%, 05/01/31 4,995 6,446
Anderson Exploration
6.750%, 03/15/11 190 222
Apache (K)
6.250%, 04/15/12 1,190 1,401
BP Canada Finance
3.625%, 01/15/09 3,090 3,234
BP Capital Markets
4.625%, 05/27/05 570 605
Coastal
6.950%, 06/01/28 2,250 1,710
Conoco Funding
7.250%, 10/15/31 2,050 2,644
6.950%, 04/15/29 4,280 5,280
6.350%, 10/15/11 2,370 2,788
ConocoPhillips
5.900%, 10/15/32 10 11
4.750%, 10/15/12 1,380 1,470
Devon Energy
7.950%, 04/15/32 1,035 1,368
Devon Financing
6.875%, 09/30/11 980 1,161
Texas East Transportation
7.000%, 07/15/32 925 1,098
YPF Sociedad Anonima MTN, Ser A
7.750%, 08/27/07 3,000 3,210
-----------
33,848
-----------
RAILROAD TRANSPORTATION -- 0.1%
Burlington North Santa Fe
7.290%, 06/01/36 1,010 1,271
6.750%, 07/15/11 200 237
Consolidated Rail
7.875%, 05/15/43 450 581
Union Pacific
7.125%, 02/01/28 1,500 1,841
-----------
3,930
-----------
REAL ESTATE INVESTMENT MANAGEMENT -- 0.1%
EOP Operating
7.000%, 07/15/11 1,545 1,812
-----------
REAL ESTATE INVESTMENT TRUSTS -- 0.2%
GE Capital Franchise Finance MTN
8.680%, 01/14/04 4,700 4,914
6.860%, 06/15/07 1,100 1,266
-----------
6,180
-----------
- --------------------------------------------------------------------------------
66 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REGIONAL AGENCIES -- 0.9%
Quebec Province
7.500%, 09/15/29 $1,652 $ 2,257
Quebec Province, Ser NN
7.125%, 02/09/24 1,970 2,534
United Mexican States
11.500%, 05/15/26 (K) 8,400 12,835
8.375%, 01/14/11 3,090 3,765
-----------
21,391
-----------
RETAIL -- 0.5%
Duty Free International (C) (H) (J)
7.000%, 01/15/04 6,500 3,250
Kroger
7.500%, 04/01/31 600 729
Sears Roebuck Acceptance
7.000%, 06/01/32 330 355
6.700%, 04/15/12 1,240 1,366
6.250%, 05/01/09 (K) 200 219
Target (K)
5.875%, 03/01/12 3,190 3,626
Wal-Mart Stores (K)
4.550%, 05/01/13 1,920 2,018
-----------
11,563
-----------
TELEPHONES & TELECOMMUNICATIONS -- 1.9%
AT&T
8.500%, 11/15/31 1,120 1,309
AT&T Wireless Services
8.750%, 03/01/31 925 1,193
Ameritech Capital
6.250%, 05/18/09 1,340 1,526
BellSouth (K)
6.000%, 10/15/11 1,925 2,214
British Telecommunications
8.875%, 12/15/30 940 1,287
8.375%, 12/15/10 1,500 1,884
Intermedia Communications, Ser B (H) (I)
8.600%, 06/01/08 2,000 1,465
New England Telephone & Telegraph
7.875%, 11/15/29 1,175 1,520
Qwest Capital Funding (C)
7.250%, 02/15/11 4,750 3,990
SBC Communications (K)
6.250%, 03/15/11 75 87
Sprint Capital
8.375%, 03/15/12 3,610 4,214
7.625%, 01/30/11 2,720 3,023
6.875%, 11/15/28 4,150 4,107
6.000%, 01/15/07 10 10
Verizon Communications
7.750%, 06/15/32 740 949
6.940%, 04/15/28 3,000 3,409
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Verizon Global Funding
7.750%, 12/01/30 $ 50 $ 64
6.875%, 06/15/12 7,500 8,870
Verizon, Ser A (K)
5.650%, 11/15/11 1,500 1,667
Vodafone Group PLC
6.250%, 11/30/32 915 1,016
WorldCom (I)
8.250%, 05/15/31 (K) 5,000 1,475
8.250%, 01/15/49 (C) (F) 700 206
-----------
45,485
-----------
Total Corporate Obligations
(Cost $796,248) 838,262
-----------
ASSET-BACKED SECURITIES -- 15.0%
AIRCRAFT -- 0.1%
Embarcadero Aircraft,
Ser 2000-A, Cl A1 (F)
1.790%, 08/15/25 4,800 3,120
-----------
AUTOMOTIVE -- 2.7%
Americredit Automobile Receivables
Trust, Ser 1999-B, Cl A4
5.960%, 03/12/06 4,724 4,727
Americredit Automobile Receivables
Trust, Ser 2000-B, Cl A4 (F)
1.510%, 04/05/07 9,523 9,522
Americredit Automobile Receivables
Trust, Ser 2000-C, Cl A4 (F)
1.520%, 07/12/07 5,000 4,997
Americredit Automobile Receivables
Trust, Ser 2002-A, Cl A3 (F)
1.510%, 10/12/06 10,460 10,459
Chase Manhattan Auto Owner Trust,
Ser 2000-A, Cl A3
6.210%, 12/15/04 424 426
DaimlerChrysler Master Owner
Trust, Ser 2002-A, Cl A (F)
1.370%, 05/15/07 3,180 3,182
Drivetime Auto Owner Trust,
Ser 2002-C, Cl A2 (F)
2.200%, 12/17/07 5,000 5,012
Ford Credit Auto Owner Trust,
Ser 2000-E, Cl A4
6.740%, 06/15/04 1,477 1,487
Ford Credit Auto Owner Trust,
Ser 2001-D, Cl A3
4.310%, 06/15/05 4,043 4,101
Onyx Acceptance Auto Trust,
Ser 2001-B, Cl A3
4.970%, 09/15/05 1,503 1,518
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 67
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
CORE FIXED INCOME FUND (Continued)
MAY 31, 2003
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
USAA Auto Owner Trust,
Ser 2002-1, Cl A1
1.950%, 03/15/05 $ 7,940 $ 7,952
Whole Auto Loan Trust,
Ser 2002-1, Cl A2
1.880%, 06/15/05 11,000 11,030
World Omni Auto Receivables Trust,
Ser 2001-A, Cl A3
5.300%, 02/20/05 1,339 1,349
-----------
65,762
-----------
CREDIT CARDS -- 0.3%
Metris Master Trust,
Ser 2001-1, Cl A (F)
1.538%, 12/20/07 2,000 1,962
Sears Credit Account Master Trust,
Ser 2002-5, Cl A (F)
1.690%, 11/17/09 4,375 4,379
-----------
6,341
-----------
MORTGAGE RELATED -- 11.9%
ABN Amro Mortgage,
Ser 2002-5, Cl 2A2
6.500%, 07/25/17 1,933 1,968
ABSC, Ser 2000-LB1, Cl AV (F)
1.580%, 08/21/30 2,274 2,274
ARC Net Interest Margin Trust,
Ser 2002-5A, Cl A
7.750%, 07/27/32 913 907
Ameriquest Mortgage Securities,
Ser 2002-5, Cl AF1
2.600%, 02/25/33 4,651 4,673
Amortizing Residential Collateral
Trust, CMO, Ser 2002-BC1, Cl A (F)
1.660%, 01/25/32 8,310 8,313
Asset Backed Securities,
Ser 2001-HE3, Cl A1 (F)
1.580%, 11/15/31 7,076 7,078
Asset Securitization,
Ser 1996-D2, Cl A1
6.920%, 02/14/29 7,057 7,645
BOAA, Ser 2003-5, Cl 2A1
5.000%, 08/25/18 6,000 6,168
Banc of America Funding,
Ser 2003-1, Cl A1
6.000%, 05/20/33 6,257 6,398
BankBoston Home Equity Loan
Trust, Ser 1998-2, Cl A5
6.140%, 02/25/19 1,596 1,649
Bayview Financial Acquisiton Trust,
Ser 2001-BA, Cl A (F)
1.600%, 07/25/31 869 867
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Bear Stearns, Ser 2001-A, Cl AI4
6.820%, 02/15/31 $ 5,022 $ 5,443
Bear Stearns, Ser 2000-2, Cl AF3
7.340%, 08/25/30 2,143 2,194
CIGNA CBO, Ser 1996-1, Cl A2
6.460%, 11/15/08 8,985 9,164
CS First Boston Mortgage Securities,
Ser 1997-C2, Cl AX (F)
1.180%, 01/17/35 28,291 1,123
CS First Boston Mortgage Securities,
Ser 2001-FL2A, Cl A (F)
1.560%, 09/15/13 13,058 13,020
Citibank Credit Card Issuance Trust,
Ser 2001-A5, Cl A5 (F)
1.368%, 06/10/06 8,000 7,998
Conseco Finance Securitization,
Ser 2000-4, Cl A4
7.730%, 04/01/31 5,250 5,464
Conseco Finance Securitization,
Ser 2000-4, Cl A5
7.970%, 05/01/32 2,800 2,674
Conseco Finance Securitization,
Ser 2001-1, Cl A5
6.990%, 07/01/32 2,550 2,531
Contimortgage Home Equity Loan
Trust, Ser 1997-2, Cl A9
7.090%, 04/15/28 782 782
Contimortgage Home Equity Loan
Trust, Ser 1997-3, Cl A9
7.120%, 08/15/28 1,611 1,630
Contimortgage Home Equity Loan
Trust, Ser 1997-5, Cl A5
6.630%, 12/15/20 2 2
Contimortgage Home Equity Loan
Trust, Ser 1997-5, Cl A6
6.870%, 03/15/24 1,600 1,673
Contimortgage Home Equity Loan
Trust, Ser 1998-1, Cl A6
6.580%, 12/15/18 411 415
Countrywide Asset-Backed
Certificates, Ser 2001-BC3, Cl A (F)
1.560%, 12/25/31 1,068 1,070
Countrywide Home Equity Loan
Trust, Ser 2001-A, Cl A (F)
1.550%, 04/15/27 8,423 8,419
Criimi Mae Commercial Mortgage
Trust, Ser 1998-C1, Cl A2
7.000%, 06/02/33 4,000 4,552
DLJ Commercial Mortgage,
Ser 1999-CG1, Cl A1B
6.460%, 03/10/32 3,175 3,704
DLJ Commercial Mortgage,
Ser 1999-CG2, Cl A1B
7.300%, 06/10/32 3,600 4,362
- --------------------------------------------------------------------------------
68 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Delta Funding Home Equity
Loan Trust, Ser 1997-3, Cl A6F
6.860%, 10/25/28 $ 2,407 $ 2,477
Delta Funding Home Equity Loan
Trust, Ser 1999-3, Cl A1A (F)
1.720%, 09/15/29 1,418 1,420
Deutsche Mortgage & Asset
Receiving, Ser 1998-C1, CL A2
6.538%, 06/15/31 11,900 13,505
EMC Mortgage Loan Trust,
Ser 2002-AA, Cl A1 (F)
1.790%, 05/25/39 6,831 6,854
EQCC Trust, Ser 2002-1, Cl 2A (F)
1.620%, 11/25/31 4,726 4,731
Equivantage Home Equity Loan
Trust, Ser 1997-2, Cl A3
7.275%, 07/25/28 1,171 1,170
First Union-Lehman Brothers,
Ser 1997-C2, IO (F)
1.501%, 11/18/29 1,684 86
Fleet Home Equity Trust,
Ser 2001-1, Cl A (F)
1.528%, 05/20/31 750 748
GE Capital Mortgage Services,
CMO, Ser 1994-7, Cl A15 (F)
5.000%, 02/25/09 580 584
GE Capital Mortgage Services,
Ser 1997-HE3, Cl A6
6.720%, 10/25/27 3,225 3,386
GMAC Commercial Mortgage
Securities, Ser 1998-C2, Cl X, IO (F)
0.800%, 05/15/35 7,801 237
GMAC Commercial Mortgage
Securities, Ser 1999-C2, Cl A2
6.945%, 09/15/33 8,200 9,703
GMAC Commercial Mortgage
Securities, Ser 2003-FL1A, Cl A (F)
1.664%, 03/11/15 5,550 5,550
GS Mortgage Securities, CMO,
Ser 1998-1, Cl A
8.000%, 09/20/27 811 912
GS Mortgage Securities, CMO,
Ser 1998-2, Cl A
7.750%, 05/19/27 310 348
GS Mortgage Securities, CMO,
Ser 1999-3, Cl A
8.000%, 08/19/29 1,184 1,337
GS Mortgage Securities,
Ser 1998-GLII, Cl A2
6.562%, 04/13/31 3,500 3,986
Green Tree Financial,
Ser 1996-5, Cl A6
7.750%, 07/15/27 2,231 2,304
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Green Tree Financial,
Ser 1998-2, Cl A5
6.240%, 11/01/16 $ 791 $ 808
Green Tree Recreational,
Ser 1998-A, Cl A1H
6.710%, 05/15/29 239 254
Green Tree, Ser 1998-6, Cl A6 (F)
6.270%, 07/01/21 1,300 1,327
Household Home Equity Loan Trust,
Ser 2002-1, Cl M (F)
2.138%, 12/22/31 2,118 2,126
IMPAC CMB Trust, CMO,
Ser 2002-2, Cl A1 (F)
1.600%, 08/25/32 8,587 8,579
IMPAC Commercial Holdings,
Ser 1998-C1, Cl A1A
6.060%, 08/20/30 381 393
JP Morgan Commercial Mortgage
Finance, Ser 1997-C5, Cl X, IO (F)
1.530%, 09/15/29 6,870 376
Merrill Lynch Mortgage Investors,
Ser 1996-C2, Cl A3
6.960%, 11/21/28 6,700 7,416
Merrill Lynch Mortgage Investors,
Ser 1998-C1, Cl A1
6.310%, 11/15/26 1,074 1,141
Merrill Lynch Mortgage, CMO,
Ser 2002-NC1, Cl A1 (F)
1.640%, 05/25/33 1,980 1,980
Mesa Trust Asset-Backed Certificates,
Ser 2002-3, Cl A, IO (H)
8.000%, 04/18/05 6,995 479
Metro Asset, Ser 1998-A, Cl A4 (C)
6.981%, 01/20/26 1,198 1,214
Metropolitan Asset Funding,
Ser 1997-B, Cl A1D
7.130%, 03/20/12 2,409 2,448
Nomura Asset Securities,
Ser 1996-MD5, Cl A1B
7.120%, 04/13/39 3,000 3,372
Novastar Home Equity Loan,
Ser 1998-2, Cl A2 (F)
1.390%, 08/25/28 1,251 1,251
Oakwood Mortgage Investors,
Ser 2002-C, Cl A, IO (H)
6.000%, 08/15/10 11,578 2,518
Origen Manufactured Housing,
Ser 2002-A, Cl A1 (F)
1.550%, 05/15/32 946 946
Prudential Home Mortgage Securities,
Ser 1993-40, Cl A6
6.500%, 10/25/23 234 234
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 69
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
CORE FIXED INCOME FUND (Continued)
MAY 31, 2003
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Residential Accredit Loans, CMO,
Ser 1997-QS8, Cl A10
7.500%, 08/25/27 $ 768 $ 781
Residential Accredit Loans, CMO,
Ser 1998-QS9, Cl A10
6.750%, 07/25/28 1,278 1,294
Residential Asset Mortgage Products,
Ser 2002-RS5, Cl AI5
5.410%, 09/25/32 10,000 10,221
Residential Asset Mortgage Products,
Ser 2002-RS6, Cl AI5
5.650%, 11/25/32 6,000 6,260
Residential Asset Securitization, CMO,
Ser 1998-A5, Cl A5
6.750%, 06/25/28 3,292 3,358
Residential Funding Mortgage
Securities I, Ser 1998-S13, Cl A21
6.750%, 06/25/28 1,194 1,204
Residential Funding Mortgage
Securities I, Ser 1998-S3, Cl M1
6.750%, 02/25/28 5,775 5,767
Residential Funding Mortgage
Securities I, Ser 1998-S9, Cl 1A1
6.500%, 04/25/13 414 417
Residential Funding Mortgage
Securities II, Ser 2000-HI1, Cl AI7
8.290%, 02/25/25 8,600 9,603
Residential Funding Mortgage
Securization I, Ser 1993-S29, Cl A6
7.000%, 08/25/08 3,412 3,407
Ryland Mortgage Securities, CMO,
Ser 1994-7A, Cl A2
7.000%, 08/25/25 301 302
SASC, Ser 2003-AL2, Cl A
3.357%, 01/25/31 5,350 5,318
Saxon Asset Securities Trust,
Ser 1998-4, Cl AF6
6.400%, 01/25/30 4,459 4,621
Small Business Administration,
Ser 2003-P10A, Cl 1
4.524%, 02/10/13 4,960 4,990
TMS SBA Loan Trust 1999-1, Cl A (F)
2.050%, 07/15/25 553 538
UCFC Home Equity Loan,
Ser 1997-D, Cl A8 (F)
1.530%, 12/15/27 472 471
Washington Mutual Mortgage,
Ser 2002-MS12, Cl A
6.500%, 05/25/32 1,588 1,629
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wells Fargo Mortgage Backed
Securities Trust, Ser 2001-23, Cl A1
6.250%, 10/25/16 $1,945 $ 1,993
Wells Fargo Mortgage Backed
Securities Trust, Ser 2002-22, Cl 2A7
6.000%, 01/25/33 4,600 4,733
Wells Fargo, Ser 2002-D, Cl 1A2
5.739%, 08/25/32 3,237 3,276
-----------
290,543
-----------
Total Asset-Backed Securities
(Cost $360,955) 365,766
-----------
TAXABLE MUNICIPAL BONDS -- 0.1%
California State, Department of Water,
Ser E, RB
3.975%, 05/01/05 1,125 1,153
Los Angeles County, California
Taxable Pension Obligation,
Ser D, RB, MBIA (E)
8.029%, 06/30/10 650 493
Tobacco Settlement Funding,
Ser 2001-A, Cl A, RB
6.360%, 05/15/25 1,752 1,691
-----------
Total Taxable Municipal Bonds
(Cost $3,249) 3,337
-----------
COMMERCIAL PAPER -- 7.2%
AUTOMOTIVE -- 0.4%
DaimlerChrysler
1.480%, 06/05/03 8,615 8,613
-----------
BANKS -- 0.4%
Wells Fargo
1.200%, 06/24/03 10,740 10,732
-----------
FINANCIAL SERVICES/SPECIAL PURPOSE ENTITY -- 6.3%
ASAP Funding Limited (L)
1.241%, 06/17/03 4,468 4,466
Aquinas Funding (L)
1.224%, 09/10/03 8,937 8,906
1.181%, 06/13/03 8,937 8,933
Atlantis One Funding (L)
1.181%, 06/24/03 17,873 17,859
Bear Stearns
1.231%, 06/19/03 9,190 9,185
- --------------------------------------------------------------------------------
70 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Edison Asset (L)
1.234%, 09/03/03 $ 8,937 $ 8,908
General Electric Capital
1.231%, 06/17/03 11,250 11,244
Mortgage Interest Networking Trust (L)
1.271%, 07/02/03 17,873 17,853
National Rural Utilities
1.280%, 06/10/03 5,725 5,723
Park Granada (L)
1.313%, 07/28/03 4,468 4,459
1.292%, 07/29/03 11,975 11,950
Polonius (L)
1.200%, 06/11/03 8,937 8,933
Sigma Finance (L)
1.391%, 08/19/03 4,468 4,469
1.331%, 06/17/03 4,406 4,403
1.312%, 07/14/03 8,937 8,922
Tannehill Capital (L)
1.312%, 07/21/03 3,575 3,568
1.300%, 07/10/03 5,362 5,362
1.283%, 08/06/03 3,575 3,566
Witmer Funding (L)
1.281%, 06/12/03 3,575 3,573
-----------
152,282
-----------
FOOD, BEVERAGE & TOBACCO -- 0.1%
Kraft Foods
2.080%, 02/26/04 2,850 2,850
-----------
Total Commercial Paper
(Cost $174,477) 174,477
-----------
REGISTERED INVESTMENT COMPANY -- 0.2%
Fidelity Institutional Domestic
Portfolio, CL I 5,448,852 5,449
-----------
Total Registered Investment Company
(Cost $5,449) 5,449
-----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 15.3%
ABN Amro (M)
1.290%, dated 05/30/03, to be
repurchased on 06/02/03,
repurchase price $132,521,546
(collateralized by U.S. Government
Agency obligations, total market
value: $135,157,486) $132,507 $ 132,507
Lehman Brothers (L)
1.350%, dated 05/30/03, to be
repurchased on 06/02/03,
repurchase price $6,256,351
(collateralized by U.S. Government
Agency obligations, total market
value: $6,380,804) 6,256 6,256
Merrill Lynch (M)
1.290%, dated 05/30/03, to be
repurchased on 06/02/03,
repurchase price $160,017,200
(collateralized by U.S. Government
Agency obligations, total market
value: $163,201,996) 160,000 160,000
UBS Paine Webber (L)
1.360%, dated 05/30/03, to be
repurchased on 06/02/03,
repurchase price $70,520,750
(collateralized by U.S. Government
Agency obligations, total market
value: $71,923,619) 70,513 70,513
-----------
Total Repurchase Agreements
(Cost $369,276) 369,276
-----------
Total Investments -- 138.3%
(Cost $3,256,684) 3,361,655
-----------
WRITTEN OPTIONS -- 0.0%
September 2003 Bond Future Put,
Expires 08/23/03, Strike Price $108 (165) (28)
September 2003 Ten Year Treasury Note
Call Expires 08/23/03, Strike Price $120 (165) (150)
September 2003 Ten Year Treasury Note
Call, Expires 08/23/03, Strike Price $118 (220) (395)
September 2003 Ten Year Treasury Note
Put, Expires 08/23/03, Strike Price $110 (164) (10)
-----------
Total Written Options
(Premiums Received $(706)) (583)
-----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 71
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
CORE FIXED INCOME FUND (concluded)
MAY 31, 2003
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $2,431,368,243.
(A) The rate reported on the Schedule of Investments is the effective yield at
time of purchase.
(B) Security, or portion thereof, is pledged as collateral on open futures
contracts.
(C) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration normally to qualified institutions.
(D) Treasury Inflation Index Notes
(E) Zero Coupon Bond -- The rate reported on the Schedule of Investments is the
effective yield at time of purchase.
(F) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of May 31, 2003.
(G) Step Bond -- The rate reported on the Schedule of Investments is the
effective yield as of May 31, 2003. The coupon on a bond changes on a
specific date.
(H) Securities considered illiquid. The total value of such securities as of
May 31, 2003 was $26,400,359.
(I) Security in default of interest payments.
(J) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total value of such
securities as of May 31, 2003 was $3,250,000.
(K) This security or a partial position of this security is on loan at May 31,
2003 (see Note 11). The total value of securities on loan at May 31, 2003
was $406,907,618.
(L) These securities were purchased with cash collateral received from
securities lending. The total value of such securities as of May 31, 2003
was $424,986,887 (See Note 11).
(M) Tri-Party Repurchase Agreement.
Cl -- Class
CBO -- Collateralized Bond Obligation
CMO -- Collateralized Mortgage Obligation
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
IO -- Interest Only
MBIA -- Municipal Bond Insurance Association
MTN -- Medium Term Note
Plc -- Public Limited Company
RB -- Revenue Bond
REMIC -- Real Estate Mortgage Investment Conduit
Ser -- Series
SLMA -- Student Loan Marketing Association
STRIPS -- Separately Traded Registered Interest and Principal Security
TBA -- To Be Announced
TVA -- Tennessee Valley Authority
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
72 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
INTERNATIONAL EQUITY FUND
MAY 31, 2003
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
FOREIGN COMMON STOCK -- 97.3%
AUSTRALIA -- 3.1%
Alumina 343,119 $ 961
Australia & New Zealand
Banking Group (B) 177,457 2,143
Baycorp Advantage 89,888 93
BHP Billiton (B) 961,988 5,391
Billabong International 200,589 774
Brambles Industries (B) 50,600 149
Computershare 104,688 116
Corporate Express Australia 400,000 1,152
CSL 65,491 509
Foster's Group (B) 492,031 1,372
Lihir Gold* 735,648 666
Macquarie Airports 140,805 119
Macquarie Infrastructure Group 895,572 2,060
MIM Holdings 903,483 924
National Australia Bank (B) 181,074 3,906
Newcrest Mining 118,877 585
News 96,388 730
Patrick 37,308 287
Promina Group* 399,495 554
Qantas Airways 668,983 1,404
QBE Insurance Group (B) 449,259 2,629
Rio Tinto 33,710 683
Seven Network 41,421 132
Suncorp-Metway (B) 237,000 1,733
TABCORP Holdings 84,303 565
Telstra Corp 1,434,389 4,216
Westpac Banking 87,222 926
WMC Resources* 280,146 703
Woolworths 189,900 1,516
-----------
36,998
-----------
BELGIUM -- 0.4%
Fortis (B) 266,687 4,344
-----------
BRAZIL -- 0.1%
Cia Vale do Rio Doce ADR 19,800 594
-----------
CANADA -- 0.8%
Abitibi-Consolidated 122,000 826
Alcan (B) 16,200 488
BCE (B) 99,700 2,187
Bombardier, Cl B (B) 405,600 1,131
Suncor Energy 39,100 720
TELUS (B) 62,700 900
Thomson (B) 90,200 2,723
-----------
8,975
-----------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CHINA -- 0.1%
Aluminum 1,800,000 $ 385
Jiangxi Copper 2,700,000 440
Shandong International
Power Development 1,450,000 370
-----------
1,195
-----------
DENMARK -- 0.6%
Danisco A/S 51,513 1,959
Novo-Nordisk A/S, Cl B 143,402 5,009
-----------
6,968
-----------
FINLAND -- 1.3%
Nokia Oyj (B) 777,987 14,000
UPM-Kymmene Oyj (B) 62,000 863
-----------
14,863
-----------
FRANCE -- 10.5%
Accor (B) 109,271 4,108
Air Liquide 11,487 1,754
Aventis 208,426 10,879
BNP Paribas (B) 298,922 14,801
Bouygues (B) 94,960 2,531
Carrefour (B) 297,073 13,302
Cie de Saint-Gobain 149,511 5,662
Cie Generale D'Optique
Essilor International 20,000 814
France Telecom (B) 180,977 4,472
Groupe Danone (B) 52,205 7,178
L'Oreal (B) 34,634 2,513
Pechiney (B) 18,000 517
Pernod-Ricard 83,680 8,326
Pinault-Printemps-Redoute (B) 43,125 3,578
Renault (B) 40,000 1,779
Sanofi-Synthelabo (B) 156,036 9,974
Schneider Electric 34,000 1,554
Societe Generale, Cl A 23,042 1,415
Societe Television Francaise 1 2,600 77
Total 177,576 26,003
Vivendi Universal (B) 135,500 2,486
-----------
123,723
-----------
GERMANY -- 3.4%
Aixtron 3,100 11
Allianz (B) 11,200 848
DaimlerChrysler (B) 27,200 856
Deutsche Bank (B) 162,649 9,527
Deutsche Boerse 17,492 921
Deutsche Telekom (B)* 252,319 3,778
E.ON (B) 57,605 2,967
Epcos* 15,400 210
Infineon Technologies (B)* 33,400 299
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 73
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
INTERNATIONAL EQUITY FUND (Continued)
MAY 31, 2003
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Metro (B) 19,400 $ 605
Muenchener Rueckversicherungs (B) 23,153 2,498
SAP (B) 8,400 943
SAP ADR 3,000 85
Siemens 253,662 12,023
TUI (B) 36,700 480
Volkswagen (B) 121,415 4,385
-----------
40,436
-----------
HONG KONG -- 1.7%
Brilliance China Automotive
Holdings 2,650,000 646
Cheung Kong Holdings 253,000 1,541
China Insurance
International Holdings 840,000 425
China Merchants
Holdings International 750,000 635
China Mobile 1,383,100 3,157
Cosco Pacific 600,000 600
Fountain SET Holdings 900,000 733
Hang Lung Properties (B) 728,000 681
Hang Seng Bank 140,300 1,493
Hengan International Group 1,000,000 346
Hong Kong & China Gas 287,950 360
HongKong Electric Holdings 143,500 572
Hongkong Land Holdings 1,080,050 1,339
Hutchison Whampoa 222,600 1,353
Johnson Electric Holdings 1,002,000 1,182
Li & Fung 732,000 906
Sun Hung Kai Properties (B) 343,200 1,712
Swire Pacific, Cl A 227,000 972
Techtronic Industries 1,050,000 1,636
-----------
20,289
-----------
IRELAND -- 0.6%
Bank of Ireland 424,056 5,262
CRH 83,060 1,289
-----------
6,551
-----------
ITALY -- 3.6%
Assicurazioni Generali (B) 19,500 464
Banca Intesa 1,094,068 3,500
Enel (B) 868,277 6,046
ENI-Ente Nazionale Idrocarburi 841,144 13,573
Mediaset 576,411 5,268
Riunione Adriatica di Sicurta (B) 249,631 3,884
Telecom Italia (B) 204,226 1,888
Telecom Italia - RNC (B) 880,202 4,917
TIM 475,649 2,490
-----------
42,030
-----------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
JAPAN -- 18.5%
Acom 15,990 $ 548
Aderans 7,300 133
Advantest (B) 32,100 1,261
Aeon (B) 117,000 2,812
Aeon Credit Service 8,000 236
Aiful 18,950 794
Aisin Seiki 51,000 726
Alps Electric 38,000 439
Amano 55,000 274
Ariake Japan 12,400 349
Asahi Breweries 129,000 839
Asahi Kasei 469,000 1,337
Asatsu-DK 38,100 634
Bridgestone 95,000 1,231
C&S 30,200 430
Canon (B) 281,941 11,786
Capcom (B) 66,400 582
Central Japan Railway (B) 366 2,515
Chubu Electric Power 14,800 293
Chugai Pharmaceutical (B) 87,100 981
Credit Saison 59,700 1,048
Dai Nippon Printing 300,000 3,090
Daikin Industries 33,000 560
Daito Trust Construction 46,300 976
Daiwa House Industry 86,000 548
Daiwa Securities Group 721,000 3,177
Denki Kogyo 85,000 235
Denso 116,500 1,642
East Japan Railway 713 3,428
Eisai 47,500 985
FamilyMart 21,900 428
Fanuc 2,700 122
Fuji Heavy Industries 102,000 388
Fuji Photo Film 267,000 7,389
Fuji Soft ABC 36,000 522
Fuji Television Network 548 1,718
Fujitsu* 1,367,000 4,446
Funai Electric 8,100 867
Goodwill Group 90 331
Gunze 39,000 137
Hirose Electric 33,000 2,497
Hisamitsu Pharmaceutical 20,000 223
Hitachi 274,000 1,068
Hitachi Metals 189,000 496
Honda Motor (B) 130,900 4,717
Hosiden 44,700 310
Hoya 16,700 1,050
Ito-Yokado 68,000 1,654
Japan Airlines System (B)* 118,000 232
Japan Telecom Holdings 540 1,535
Japan Tobacco 199 1,195
JFE Holdings* 56,800 667
JSR 64,000 718
- --------------------------------------------------------------------------------
74 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Kamigumi 125,000 $ 581
Kaneka 161,000 887
Kansai Electric Power 40,200 655
Kao 24,000 441
Keihin 60,500 544
Keyence 3,100 545
Komori 80,000 724
Konami 35,500 573
Kyocera 35,600 1,914
Kyorin Pharmaceutical 59,000 745
Kyowa Exeo 138,000 377
Lawson 71,100 2,128
Mabuchi Motor 22,100 1,600
Mandom (B) 8,100 146
Marui 54,000 450
Matsushita Electric Industrial 643,000 5,849
Millea Holdings (B) 731 5,287
Mitsubishi 249,000 1,555
Mitsubishi Estate (B) 613,000 3,747
Mitsubishi Heavy Industries 672,000 1,433
Mitsubishi Motors (B)* 305,000 630
Mitsui 176,000 812
Mitsui Fudosan (B) 238,000 1,401
Mitsui Sumitomo Insurance 518,000 2,330
Mori Seiki (B) 43,200 200
Murata Manufacturing 29,300 1,134
Namco 27,600 404
NEC* 245,000 1,008
Nikko Cordial 907,000 2,738
Nikon* 65,000 439
Nintendo 17,800 1,320
Nippon Broadcasting System 7,300 179
Nippon Comsys 27,000 107
Nippon System Development 63,700 807
Nippon Telegraph & Telephone 2,005 6,907
Nippon Television Network 2,050 201
Nippon Unipac Holding 229 781
Nissan Motor (A) 1,122,100 8,847
Nissin Healthcare Food Service 9,000 171
Nitto Denko 63,000 1,917
NOK 19,000 262
Nomura Holdings 185,000 1,879
NTT DoCoMo (B) 3,194 6,703
Obic 2,100 344
Olympus Optical 28,000 529
ORIX (B)* 48,800 2,334
Osaka Gas 269,000 740
Ricoh 74,000 1,101
Rohm 70,940 7,319
Sankyo 253,000 2,985
Santen Pharmaceutical 38,000 376
Sawai Pharmaceutical 8,400 249
Secom 53,500 1,637
Sekisui House (B) 481,000 3,607
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Shimachu 22,500 $ 331
Shimamura (B) 7,500 426
Shin-Etsu Chemical 111,400 3,409
Shionogi 175,000 2,468
Shiseido 61,000 662
SMC 14,700 1,126
Sony 36,200 963
Sumitomo 166,000 702
Sumitomo Bakelite 19,000 76
Sumitomo Chemical 51,000 140
Sumitomo Electric Industries 602,000 3,815
Suzuki Motor 144,000 1,780
Taisho Pharmaceutical 19,000 272
Taiyo Yuden (B) 28,000 236
Takeda Chemical Industries 75,600 2,965
Tanabe Seiyaku 94,000 657
TDK 33,900 1,502
THK 45,300 515
TIS 14,300 252
Tokyo Electric Power 41,700 842
Tokyo Electron (B) 51,700 2,131
Tokyo Gas 710,000 2,220
Tokyu (B) 214,000 569
Toppan Forms 38,100 383
Toppan Printing 445,596 2,872
Toray Industries 335,000 734
Tostem Inax Holding 30,000 406
Toyo Seikan Kaisha 180,000 1,607
Toyo Suisan Kaisha 19,000 196
Toyota Motor 222,000 5,309
Trend Micro (B)* 21,000 361
Uni-Charm 12,200 529
Uniden 46,000 369
Watami Food Service 32,400 184
Yahoo Japan* 43 525
Yamada Denki 31,900 631
Yamanouchi Pharmaceutical 178,400 4,803
Yamatake 73,500 506
Yamato Transport (B) 115,000 1,230
Zeon 55,000 260
-----------
218,142
-----------
LUXEMBURG -- 0.0%
SES GLOBAL 46,000 287
-----------
MEXICO -- 0.5%
America Movil ADR 45,100 823
Cemex ADR 35,281 783
Telefonos de Mexico ADR 124,913 3,785
-----------
5,391
-----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 75
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
INTERNATIONAL EQUITY FUND (Continued)
MAY 31, 2003
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
NETHERLANDS -- 8.1%
ABN AMRO Holding 189,936 $ 3,675
Aegon (B) 505,363 4,773
Akzo Nobel (B) 147,423 3,740
ASML Holding* 58,900 585
CSM 94,958 2,081
Hagemeyer (B) 11,700 69
Heineken (B) 164,419 5,908
Heineken Holding, Cl A (B) 40,375 1,180
ING Groep 615,495 9,918
Koninklijke Philips Electronics 118,040 2,306
Koninklijke Philips Electronics
(NY Shares) 9,900 195
Numico 17,800 226
Reed Elsevier (B) 835,617 9,975
Royal Dutch Petroleum (B) 367,542 16,617
Royal Dutch Petroleum
(NY Shares) 10,600 483
Royal KPN* 1,995,284 13,916
TPG 341,044 5,912
Unilever 123,367 7,211
VNU 208,427 6,052
-----------
94,822
-----------
NEW ZEALAND -- 0.3%
Carter Holt Harvey 203,469 186
Fisher & Paykel Appliances Holdings 27,500 198
Fletcher Building 204,571 415
Telecom Corp of New Zealand 678,239 2,075
Warehouse Group 103,770 258
-----------
3,132
-----------
NORWAY -- 0.3%
Norsk Hydro ASA (B) 27,500 1,216
Norske Skogindustrier ASA (B) 18,100 257
Statoil ASA (B) 191,700 1,676
-----------
3,149
-----------
PORTUGAL -- 0.1%
Electricidade de Portugal 510,329 1,086
Portugal Telecom SGPS 61,300 469
-----------
1,555
-----------
SINGAPORE -- 0.9%
DBS Group Holdings 68,375 386
DBS Group Holdings ADR (D) 106,000 599
Great Eastern Holdings 65,000 345
Neptune Orient Lines* 750,000 571
SembCorp Industries 680,000 439
Singapore Airlines 131,000 725
Singapore Post* 203,000 75
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Singapore Press Holdings 101,000 $ 972
Singapore Technologies Engineering 412,000 401
Singapore Telecommunications 2,637,920 2,251
United Overseas Bank 677,040 4,333
-----------
11,097
-----------
SOUTH KOREA -- 1.0%
Kookmin Bank ADR 33,094 946
KT ADR 71,995 1,382
Samsung Electronics 4,290 1,152
Samsung Electronics GDR (B) 6,042 831
Samsung Electronics GDR (D) 58,188 8,001
-----------
12,312
-----------
SPAIN -- 3.8%
Acerinox (B) 20,044 759
Altadis 180,251 5,118
Altadis Paris Exchange (B) 16,400 467
Banco Bilbao Vizcaya Argentaria 1,201,223 11,868
Iberdrola (B) 439,084 7,674
Inditex 84,938 1,913
Repsol YPF (B) 44,500 703
Telefonica* 1,398,960 15,714
-----------
44,216
-----------
SWEDEN -- 2.6%
Assa Abloy 658,905 6,447
Atlas Copco 208,252 4,986
Autoliv 32,623 827
ForeningsSparbanken 149,866 2,113
Hennes & Mauritz 187,871 4,329
Nordea 795,489 4,045
Sandvik 18,600 474
Securitas 426,652 4,339
Svenska Handelsbanken 32,300 557
TeliaSonera 553,153 2,179
-----------
30,296
-----------
SWITZERLAND -- 9.0%
Adecco 40,832 1,525
Ciba Specialty Chemicals* 16,284 1,038
Compagnie Financiere Richemont 132,258 2,107
Credit Suisse Group (B) 127,829 3,455
Holcim (B) 20,578 3,507
Nestle 54,291 11,380
Novartis 620,672 24,327
Roche Holding 238,859 18,211
Schindler Holding* 5,550 862
STMicroelectronics (B) 68,200 1,544
Swiss Reinsurance (B) 59,195 3,804
Swisscom (B) 9,535 2,866
- --------------------------------------------------------------------------------
76 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Syngenta (B) 128,570 $ 6,564
Synthes-Stratec 740 506
UBS 297,192 16,018
Zurich Financial Services 70,246 8,522
-----------
106,236
-----------
TAIWAN -- 0.1%
Taiwan Semiconductor
Manufacturing* 53,008 537
Taiwan Semiconductor
Manufacturing ADR* 581,000 896
-----------
1,433
-----------
UNITED KINGDOM -- 25.9%
Allied Domecq 519,930 2,960
ARM Holdings* 163,500 205
AstraZeneca 177,036 7,173
AstraZeneca (SEK) 132,368 5,419
BAA 442,273 3,536
BAE Systems 2,178,974 4,623
Barclays 839,546 5,915
BG Group 415,100 1,841
BHP Billiton 750,010 3,901
BOC Group 277,973 3,502
BP 2,408,372 16,493
Brambles Industries 133,000 349
British American Tobacco 523,365 5,621
British Sky Broadcasting* 1,335,951 14,512
Bunzl 271,417 2,001
Cadbury Schweppes 1,019,744 5,931
Centrica 2,366,711 6,892
Compass Group 94,800 519
Diageo 213,105 2,287
GlaxoSmithKline 1,286,965 25,407
Granada 819,042 1,188
GUS 218,284 2,247
Hays 1,911,521 2,545
HBOS 186,927 2,181
HSBC Holdings 1,488,015 17,577
Imperial Tobacco Group 423,854 7,639
Intercontinental Hotels Group* 154,071 1,095
International Power* 92,000 185
Kingfisher 2,404,114 10,073
Lloyds TSB Group 233,685 1,713
Marks & Spencer Group 721,077 3,379
Mitchells & Butlers* 73,529 256
mmO2* 730,600 736
National Grid Transco 513,043 3,316
Next 170,180 2,691
Northumbrian Water Group* 617,900 1,083
Pearson 214,200 2,000
Prudential 424,190 2,641
Reckitt Benckiser 96,055 1,871
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Reed Elsevier 1,453,064 $ 11,927
Rentokil Initial 1,165,646 3,438
Reuters Group 250,300 744
RMC Group 159,535 1,171
Rolls-Royce 593,547 1,203
Royal Bank of Scotland Group 733,420 19,045
Scottish & Newcastle 680,166 4,262
Shell Transport & Trading 2,470,921 16,233
Smith & Nephew 251,415 1,524
Smiths Group 213,220 2,330
Standard Chartered 142,700 1,708
Unilever 1,255,854 11,193
Vodafone Group 18,751,436 40,706
Wolseley 215,984 2,336
WPP Group 377,223 3,028
Xstrata 38,000 278
-----------
304,629
-----------
Total Foreign Common Stock
(Cost $1,206,401) 1,143,663
-----------
FOREIGN PREFERRED STOCK -- 0.1%
AUSTRALIA -- 0.1%
News 174,221 1,106
BRAZIL -- 0.0%
Cia Vale do Rio Doce -- SP ADR (B) 20,000 560
-----------
Total Foreign Preferred Stock
(Cost $1,542) 1,666
-----------
FOREIGN CONVERTIBLE BONDS -- 0.1%
Calsonic Kansei CV to 1964.6365
Shares (JPY)
0.000%, 03/31/08 18,000 182
Credit Suisse Group CV to 32.3311
Shares (CHF)
6.000%, 12/23/05 341 296
SMFG Finance CV to 9.6154 Shares (JPY)
2.250%, 07/11/05 114,000 714
-----------
Total Foreign Convertible Bonds
(Cost $1,376) 1,192
-----------
RIGHTS -- 0.0%
UNITED KINGDOM -- 0.0%
Xstrata* 57,000 102
-----------
Total Rights
(Cost $163) 102
-----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 77
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
INTERNATIONAL EQUITY FUND (Concluded)
MAY 31, 2003
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATION -- 0.4%
U.S. Treasury Bills (A)
1.170%, 08/28/03 $ 5,000 $ 4,987
-----------
Total U.S. Treasury Obligation
(Cost $4,986) 4,987
-----------
CORPORATE OBLIGATIONS (C) -- 1.5%
FINANCIAL SERVICES/SPECIAL PURPOSE ENTITY -- 1.5%
CIT Group
1.682%, 04/08/04 9,938 9,968
United Health Group
1.329%, 11/11/03 7,575 7,583
-----------
Total Corporate Obligations
(Cost $17,551) 17,551
-----------
COMMERCIAL PAPER (C) -- 6.5%
FINANCIAL SERVICES/SPECIAL PURPOSE ENTITY -- 6.5%
Amsterdam Funding
1.203%, 08/19/03 9,090 9,065
Aquinas Funding
1.234%, 08/25/03 9,090 9,063
Compass Securitization
1.261%, 06/18/03 9,102 9,096
Galleon Capital
1.261%, 06/13/03 3,872 3,870
Hannover Funding
1.281%, 06/19/03 7,284 7,278
Mitten
1.334%, 08/15/03 10,605 10,575
Park Granada
1.282%, 07/15/03 3,783 3,777
1.273%, 08/15/03 2,970 2,962
1.273%, 08/15/03 2,858 2,851
Scaldis Capital
1.261%, 06/17/03 9,090 9,084
Tannehill Capital
1.217%, 11/14/03 9,090 9,039
-----------
Total Commercial Paper
(Cost $76,660) 76,660
-----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 11.5%
Morgan Stanley Dean Witter (E)
1.280%, dated 05/30/03, to be
repurchased on 06/02/03,
repurchase price $6,718,132
(collateralized by U.S. Government
Agency obligations, total market
value: $6,853,889) $ 6,717 $ 6,717
State Street Bank
0.500%, dated 05/30/03, to be
repurchased on 06/02/03,
repurchase price $5,359,223
(collateralized by U.S. Government
Treasury obligations, total market
value: $5,480,775) 5,359 5,359
UBS Paine Webber (C)
1.360%, dated 05/30/03, to be
repurchased on 06/02/03,
repurchase price $122,385,541
(collateralized by U.S. Government
Agency obligations, total market
value: $124,819,413) 122,372 122,372
-----------
Total Repurchase Agreements
(Cost $134,448) 134,448
-----------
Total Investments -- 117.4%
(Cost $1,443,127) 1,380,269
-----------
OTHER ASSETS AND LIABILITIES -- (17.4%)
Payable upon Return on Securities Loaned (216,583)
Investment Advisory Fees Payable (396)
Other Assets and Liabilities 12,807
-----------
Total Other Assets and Liabilities, Net (204,172)
-----------
- --------------------------------------------------------------------------------
78 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Value
($ Thousands)
- --------------------------------------------------------------------------------
NET ASSETS:
Paid-in-Capital -- Class A
(unlimited authorization -- no par value)
based on 151,580,817 outstanding
shares of beneficial interest $ 1,596,207
Undistributed net investment income 12,863
Accumulated net realized loss on investments (371,604)
Net unrealized depreciation on investments (62,858)
Net unrealized appreciation on futures contracts 1,456
Net unrealized appreciation on foreign currencies
and translation of other assets and liabilities
denominated in foreign currencies 33
-----------
Total Net Assets -- 100.0% $ 1,176,097
===========
Net Assets Value, Offering and Redemption
Price Per Share -- Class A
($1,176,096,856 / 151,580,817 shares) $7.76
=====
* Non-Income Producing Security
(A) Security, or portion thereof, is pledged as collateral on open futures
contracts. Rate shown is effective yield at time of purchase.
(B) This security or a partial position of this security is on loan at May 31,
2003 (see Note 11). The total value of securities on loan at May 31, 2003
was $205,157,961.
(C) These securities were purchased with cash collateral received from
securities lending. The total value of such securities as of May 31, 2003
was $216,582,633 (See Note 11).
(D) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration normally to qualified institutions.
(E) Tri-Party Repurchase Agreement.
ADR -- American Depository Receipt
Cl -- Class
CV -- Convertible
GDR -- Global Depositary Receipt
NY -- New York
SEK -- Swedish Krona
JPY -- Japanese Yen
CHF -- Swiss Franc
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 79
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES ($ Thousands)
May 31, 2003
- --------------------------------------------------------------------------------------------------------------
CORE FIXED
INCOME FUND
- --------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value (Cost $3,256,684) $3,361,655
Cash 418
Receivable for investment securities sold 159,289
Receivable for capital shares sold 8,021
Interest receivable 17,602
Variation margin receivable 87
Other assets 435
- --------------------------------------------------------------------------------------------------------------
Total Assets 3,547,507
- --------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned 424,987
Payable for investment securities purchased 689,954
Income distribution payable 180
Options written, at fair value (premiums received $(706)) 583
Investment advisory fees payable 319
Accrued expenses payable 116
- --------------------------------------------------------------------------------------------------------------
Total Liabilities 1,116,139
- --------------------------------------------------------------------------------------------------------------
Total Net Assets $2,431,368
==============================================================================================================
NET ASSETS:
Paid-in-Capital -- Class A
(unlimited authorization -- no par value)
based on 229,060,596 outstanding shares
of beneficial interest $2,320,575
Accumulated net realized gain on investments and options 9,107
Net unrealized appreciation on investments and options 105,094
Net unrealized depreciation on futures (3,408)
- --------------------------------------------------------------------------------------------------------------
Total Net Assets $2,431,368
==============================================================================================================
Net Asset Value, Offering and Redemption Price Per Share ($2,431,368,243 / 229,060,596 shares) $10.61
==============================================================================================================
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
80 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS ($ Thousands)
For the year ended May 31, 2003
- --------------------------------------------------------------------------------------------------------------------------------
LARGE CAP LARGE CAP LARGE CAP CORE FIXED INTERNATIONAL
LARGE CAP VALUE GROWTH INDEX SMALL CAP INCOME EQUITY
FUND FUND FUND FUND FUND FUND FUND
- --------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ 43,551 $ 8,790 $ 2,739 $1,193 $ 9,866 $ -- $ 26,516
Interest Income 1,728 172 259 9 1,642 114,799 296
Securities Lending Income -- Net 429 49 44 -- 398 407 592
Less: Foreign Taxes Withheld (106) (8) (18) -- (8) -- (2,727)
- --------------------------------------------------------------------------------------------------------------------------------
Total Investment Income 45,602 9,003 3,024 1,202 11,898 115,206 24,677
- --------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 11,040 1,289 1,354 110 6,370 6,949 5,525
Administrator Fees 1,380 184 169 32 490 1,158 547
Custodian/Wire Agent Fees 346 46 42 7 121 250 1,219
Professional Fees 76 10 10 1 24 64 29
Printing Fees 67 9 8 1 19 55 25
Registration Fees 51 11 14 1 8 5 10
Trustee Fees 29 4 4 -- 10 26 12
Shareholder Service Fees(1) 78 -- -- -- 33 -- --
Administrative Services Fees(1) 40 -- -- -- 17 -- --
Litigation Fees (see Note 2) -- -- -- -- -- 12 --
Other Expenses 36 9 4 6 13 164 32
- --------------------------------------------------------------------------------------------------------------------------------
Total Expenses 13,143 1,562 1,605 158 7,105 8,683 7,399
- --------------------------------------------------------------------------------------------------------------------------------
Less, Waiver of:
Investment Advisory Fees (4,448) (347) (488) -- (1,234) (3,343) (1,603)
Administrator Fees (1,380) (184) (169) (32) (490) (1,158) (547)
- --------------------------------------------------------------------------------------------------------------------------------
Net Expenses 7,315 1,031 948 126 5,381 4,182 5,249
- --------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 38,287 7,972 2,076 1,076 6,517 111,024 19,428
================================================================================================================================
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net Realized Gain (Loss) from:
Investments (146,948) (11,160) (41,713) (103) (53,676) 78,630 (83,909)
Futures Contracts (15,865) (1,844) (2,406) (79) (9,120) (25,287) (13,339)
Option Contracts -- -- -- -- -- 6,051 --
Foreign Currency Transactions -- -- -- -- -- -- 781
Net Change in Unrealized Appreciation
(Depreciation) on:
Investments (117,703) (31,515) 14,613 2,582 (10,477) 77,083 (94,102)
Futures Contracts 2,289 1,462 582 110 9,671 (1,203) 2,242
Options Contracts -- -- -- -- -- (167) --
Foreign Currencies and Translation
of Other Assets and Liabilities
Denominated in Foreign
Currencies -- -- -- -- -- -- 173
- --------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $(239,940) $(35,085) $(26,848) $3,586 $(57,085) $246,131 $(168,726)
================================================================================================================================
Amounts designated as "--" are zero or have been rounded to zero.
<FN>
(1) Fees are incurred at the Class T level only.
</FN>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 81
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS ($ THOUSANDS)
For the years ended May 31,
- -------------------------------------------------------------------------------------------------------------------------------
LARGE CAP LARGE CAP
LARGE CAP FUND VALUE FUND GROWTH FUND
- -------------------------------------------------------------------------------------------------------------------------------
2003 2002 2003 2002 2003 2002
- -------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 38,287 $ 32,286 $ 7,972 $ 6,049 $ 2,076 $ 812
Net Realized Gain (Loss) from Investments,
Option and Futures Contracts (162,813) (301,653)(2) (13,004) (3,113) (44,119) (66,450)
Net Realized Gain on Foreign Currency
Transactions -- -- -- -- -- --
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Options
and Futures Contracts (115,414) (210,604) (30,053) (18,566) 15,195 (1,626)
Net Change in Unrealized Appreciation on
Foreign Currencies, and Translation of
Other Assets and Liabilities Denominated
in Foreign Currency -- -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets from Operations (239,940) (479,971) (35,085) (15,630) (26,848) (67,264)
- -------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS FROM:
Net Investment Income
Class A (36,780) (33,138) (7,624) (6,001) (1,902) (764)
Class T (291) (349) -- -- -- --
Net Realized Gains
Class A -- -- -- (1,568) -- --
- -------------------------------------------------------------------------------------------------------------------------------
Total Distributions (37,071) (33,487) (7,624) (7,569) (1,902) (764)
- -------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 939,652(3) 784,013(3) 91,448(3) 107,007(3) 191,494(3) 105,419(3)
Reinvestment of Distributions 36,109 32,908 7,565 7,556 1,901 763
Cost of Shares Redeemed (635,288) (817,001)(4) (60,193) (35,848) (45,428) (33,513)
- -------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 340,473 (80) 38,820 78,715 147,967 72,669
- -------------------------------------------------------------------------------------------------------------------------------
CLASS T: (5)
Proceeds from Shares Issued 93,448 143,120 -- -- -- --
Reinvestment of Distributions 281 343 -- -- -- --
Cost of Shares Redeemed (86,650) (143,463) -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Class T Transactions 7,079 -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 347,552 (80) 38,820 78,715 147,967 72,669
- -------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 70,541 (513,538) (3,889) 55,516 119,217 4,641
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 2,938,135 3,451,673 406,494 350,978 257,196 252,555
- -------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $3,008,676 $2,938,135 $402,605 $406,494 $376,413 $257,196
===============================================================================================================================
- ------------------------------------------------------------------------------------------------------------------------------------
LARGE CAP CORE FIXED
INDEX FUND(6) SMALL CAP FUND INCOME FUND
- ------------------------------------------------------------------------------------------------------------------------------------
2003 2002 2003 2002 2003 2002
- ------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 1,076 $ 82 $ 6,517 $ 6,121 $ 111,024 $ 124,956
Net Realized Gain (Loss) from Investments,
Option and Futures Contracts (182) (32) (62,796) (21,301) 59,394 37,547
Net Realized Gain on Foreign Currency
Transactions -- -- -- -- -- --
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Options
and Futures Contracts 2,692 (2,634) (806) (21,887) 75,713 (19,517)
Net Change in Unrealized Appreciation on
Foreign Currencies, and Translation of
Other Assets and Liabilities Denominated
in Foreign Currency -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets from Operations 3,586 (2,584) (57,085) (37,067) 246,131 142,986
- ------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS FROM:
Net Investment Income
Class A (856) -- (6,167) (6,159) (110,978) (124,683)
Class T -- -- (66) (59) -- --
Net Realized Gains
Class A -- -- -- (2,733) (56,542) (57,087)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Distributions (856) -- (6,233) (8,951) (167,520) (181,770)
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 108,721(3) 42,830(3) 263,244(3) 459,447(3) 478,744 642,991
Reinvestment of Distributions 856 -- 5,905 8,534 164,569 181,052
Cost of Shares Redeemed (9,458) (483) (117,098) (177,042) (645,137) (562,152)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 100,119 42,347 152,051 290,939 (1,824) 261,891
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS T: (5)
Proceeds from Shares Issued -- -- 40,279 57,343 -- --
Reinvestment of Distributions -- -- 64 57 -- --
Cost of Shares Redeemed -- -- (37,154) (57,400) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Class T Transactions -- -- 3,189 -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 100,119 42,347 155,240 290,939 (1,824) 261,891
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 102,849 39,763 91,922 244,921 76,787 223,107
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 39,763 -- 1,102,199 857,278 2,354,581 2,131,474
- ------------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $142,612 $39,763 $1,194,121 $1,102,199 $2,431,368 $2,354,581
====================================================================================================================================
- ----------------------------------------------------------------------------
INTERNATIONAL
EQUITY FUND
- ---------------------------------------------------------------------------
2003 2002
- ---------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 19,428 $ 14,914
Net Realized Gain (Loss) from Investments,
Option and Futures Contracts (97,248) (197,981)
Net Realized Gain on Foreign Currency
Transactions 781 347
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Options
and Futures Contracts (91,860) 75,637
Net Change in Unrealized Appreciation on
Foreign Currencies, and Translation of
Other Assets and Liabilities Denominated
in Foreign Currency 173 328
- ----------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets from Operations (168,726) (106,755)
- ----------------------------------------------------------------------------
DISTRIBUTIONS FROM:
Net Investment Income
Class A (17,101) (12,930)
Class T -- --
Net Realized Gains
Class A -- --
- ----------------------------------------------------------------------------
Total Distributions (17,101) (12,930)
- ----------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 278,477 390,654
Reinvestment of Distributions 16,900 12,769
Cost of Shares Redeemed (192,861) (215,160)
- ----------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 102,516 188,263
- ----------------------------------------------------------------------------
CLASS T: (5)
Proceeds from Shares Issued -- --
Reinvestment of Distributions -- --
Cost of Shares Redeemed -- --
- ----------------------------------------------------------------------------
Increase in Net Assets Derived
from Class T Transactions -- --
- ----------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 102,516 188,263
- ----------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (83,311) 68,578
- ----------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 1,259,408 1,190,830
- ----------------------------------------------------------------------------
END OF PERIOD $1,176,097 $1,259,408
============================================================================
Amounts designated as "--" are zero or have been rounded to zero.
(1) See Note 5 in the Notes to Financial Statements for additional information.
(2) Includes realized loss of $16,871 due to in-kind redemption (see note 10).
(3) Includes subscriptions as a result of in-kind transfers of securities (see
note 10).
(4) Includes redemptions as a result of in-kind transfers of securities (see
note 10).
(5) Large Cap Fund Class T commenced operations December 13, 2002. Small Cap
Fund Class T commenced operations November 26, 2002.
(6) The Large Cap Index Fund commenced operations April 1, 2002.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
82,83 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the periods ended May 31,
For a share outstanding throughout each period
- --------------------------------------------------------------------------------------------------------------------------------
Net Realized
and Distributions
Net Asset Unrealized Distributions from
Value, Net Gains from Net Realized Net Asset Net Assets
Beginning Investment (Losses) Investment Capital Value, End Total End of Period
of Period Income on Securities Income Gains of Period Return+ ($Thousands)
- --------------------------------------------------------------------------------------------------------------------------------
LARGE CAP FUND
Class A
2003(6) $13.82 $0.16 $(1.41) $(0.16) $ -- $12.41 (8.98)% $3,008,463
2002 16.31 0.15 (2.48) (0.16) -- 13.82 (14.36) 2,938,135
2001 19.48 0.17 (2.35) (0.17) (0.82) 16.31 (11.54) 3,451,673
2000 18.82 0.20 1.48 (0.19) (0.83) 19.48 9.10 3,184,226
1999 16.35 0.20 2.88 (0.20) (0.41) 18.82 19.40 1,669,945
Class T
2003(1)(6) $11.43 $0.04 $1.02 $(0.04) $ -- $12.45 9.28% $ 213
LARGE CAP VALUE FUND
Class A
2003 $10.46 $0.18 $(1.19) $(0.18) $ -- $ 9.27 (9.53)% $ 402,605
2002 11.20 0.17 (0.68) (0.18) (0.05) 10.46 (4.58) 406,494
2001 10.38 0.19 0.84 (0.20) (0.01) 11.20 10.04 350,978
2000(2) 10.00 0.06 0.34 (0.02) -- 10.38 4.00 218,548
LARGE CAP GROWTH FUND
Class A
2003 $ 5.25 $0.03 $(0.52) $(0.02) $ -- $ 4.74 (9.20)% $ 376,413
2002 6.95 0.02 (1.70) (0.02) -- 5.25 (24.23) 257,196
2001 9.96 0.03 (3.01) (0.03) -- 6.95 (30.08) 252,555
2000(3) 10.00 0.01 (0.04) (0.01) -- 9.96 (0.24) 232,400
LARGE CAP INDEX FUND
Class A
2003 $ 9.34 $0.11 $(0.85)(7) $(0.11) $ -- $ 8.49 (7.79)% $ 142,612
2002(4) 10.00 0.02 (0.68) -- -- 9.34 (6.60) 39,763
SMALL CAP FUND
Class A
2003(6) $12.53 $0.07 $(0.94) $(0.06) $ -- $11.60 (6.83)% $1,193,935
2002 13.02 0.06 (0.45) (0.07) (0.03) 12.53 (2.99) 1,102,199
2001 13.66 0.08 0.96 (0.09) (1.59) 13.02 8.39 857,278
2000 11.35 0.09 2.30 (0.08) -- 13.66 21.06 774,284
1999 13.12 0.03 (0.89) (0.04) (0.87) 11.35 (5.81) 338,839
Class T(5)(6)
2003 $10.47 $0.01 $1.11 $(0.02) $ -- $11.57 10.69% $ 186
CORE FIXED INCOME FUND
Class A
2003 $10.27 $0.50 $ 0.60 $(0.50) $(0.26) $10.61 11.10% $2,431,368
2002 10.49 0.54 0.06 (0.54) (0.28) 10.27 6.43 2,354,581
2001 9.82 0.66 0.67 (0.66) -- 10.49 13.92 2,131,474
2000 10.22 0.61 (0.40) (0.61) -- 9.82 2.07 1,999,815
1999 10.57 0.62 (0.18) (0.63) (0.16) 10.22 4.15 1,046,367
INTERNATIONAL EQUITY FUND
Class A
2003 $ 9.21 $0.13 $(1.46) $(0.12) $ -- $ 7.76 (14.43)% $1,176,097
2002 10.34 0.11 (1.14) (0.10) -- 9.21 (9.93) 1,259,408
2001 13.61 0.17 (2.56) (0.16) (0.72) 10.34 (18.21) 1,190,830
2000 11.58 0.24 2.40 (0.14) (0.47) 13.61 22.82 1,186,706
1999 11.35 0.10 0.65 (0.17) (0.35) 11.58 6.93 690,389
- ------------------------------------------------------------------------------------------
Ratio of Net
Ratio of Investment
Ratio of Net Expenses Income (Loss)
Ratio of Net Investment to Average to Average
Expenses Income Net Assets Net Assets Portfolio
to Average to Average Excluding (Excluding Turnover
Net Assets Net Assets Waivers) Waivers) Rate
- ------------------------------------------------------------------------------------------
LARGE CAP FUND
Class A
2003(6) 0.26% 1.39% 0.47% 1.18% 51%
2002 0.26 1.03 0.47 0.82 65
2001 0.26 0.98 0.48 0.76 107
2000 0.26 1.12 0.48 0.90 64
1999 0.26 1.16 0.48 0.94 60
Class T
2003(1)(6) 0.81% 0.66% 1.02% 0.45% 51%
LARGE CAP VALUE FUND
Class A
2003 0.28% 2.17% 0.42% 2.03% 42%
2002 0.28 1.70 0.44 1.54 34
2001 0.28 1.86 0.46 1.68 104
2000(2) 0.28 2.47 0.46 2.29 21
LARGE CAP GROWTH FUND
Class A
2003 0.28% 0.61% 0.47% 0.42% 60%
2002 0.28 0.32 0.47 0.13 71
2001 0.28 0.31 0.50 0.09 107
2000(3) 0.28 0.58 0.51 0.35 13
LARGE CAP INDEX FUND
Class A
2003 0.20% 1.67% 0.25% 1.62% 12%
2002(4) 0.20 1.30 0.39 1.11 1
SMALL CAP FUND
Class A
2003(6) 0.54% 0.67% 0.72% 0.49% 97%
2002 0.54 0.54 0.71 0.37 115
2001 0.54 0.63 0.73 0.44 154
2000 0.53 0.73 0.73 0.53 159
1999 0.54 0.33 0.73 0.14 154
Class T(5)(6)
2003 1.09% 0.10% 1.27% (0.08)% 97%
CORE FIXED INCOME FUND
Class A
2003 0.18% 4.79% 0.37% 4.60% 436%
2002 0.18 5.67 0.36 5.49 365
2001 0.18 6.47 0.37 6.28 399
2000 0.18 6.20 0.40 5.98 383
1999 0.18 5.81 0.41 5.58 393
INTERNATIONAL EQUITY FUND
Class A
2003 0.48% 1.85% 0.68% 1.65% 58%
2002 0.48 1.30 0.66 1.12 84
2001 0.48 1.68 0.67 1.49 71
2000 0.43 1.08 0.64 0.87 74
1999 0.43 1.40 0.66 1.17 82
<FN>
+ Returns are for the period indicated and have not been annualized. Returns
do not reflect the deduction of taxes the shareholder would pay on fund
distributions or redemption of Fund shares.
(1) Commenced operations on December 13, 2002. All ratios for the period have
been annualized.
(2) Commenced operations on January 31, 2000. All ratios for the period have
been annualized.
(3) Commenced operations on February 28, 2000. All ratios for the period have
been annualized.
(4) Commenced operations on April 1, 2002. All ratios for the period have been
annualized.
(5) Commenced operations on November 26, 2002. All ratios for the period have
been annualized.
(6) Per share data calculated using average shares method.
(7) The amount shown for the year ended May 31, 2003 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 repurchase of Fund
shares in relation to fluctuating market value of the investments of the
Fund.
Amounts designated as "--" are zero or have been rounded to zero.
</FN>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
84 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
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 currently offering seven Funds; The Large Cap,
Large Cap Value, Large Cap Growth, Large Cap Index, Small Cap, Core Fixed
Income, and International Equity Funds (each a "Fund", collectively, the
"Funds") are each diversified Funds. The Trust is registered to offer Class A
shares of the Large Cap, Large Cap Value, Large Cap Growth, Large Cap Index,
Small Cap, Core Fixed Income, and International Equity Funds, and Class T shares
of Large Cap and Small Cap Funds. The Fund's prospectus provides a description
of each Fund's investment objectives, policies, and strategies.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies followed by
the Funds.
USE OF ESTIMATES IN THE PREPARATION OF FINANCIAL STATEMENTS -- The preparation
of financial statements, in conformity with accounting principles generally
accepted in the United States of America, requires management to make estimates
and assumptions that affect the reported amount of assets and liabilities and
disclosure of contingent assets at the date of the financial statements and the
reported results of operations during the reporting period. Actual results could
differ from those estimates.
SECURITY VALUATION -- Investments in equity securities that are traded on a
national securities exchange (or reported on NASDAQ national market system) are
stated at the last quoted sales price if readily available for such equity
securities on each business day; other equity securities traded in the
over-the-counter market and listed equity securities for which no sale was
reported on that date are stated at the last quoted bid price. Foreign
securities in the International Equity Fund are valued based on quotations from
the primary market in which they are traded. Debt obligations are valued at the
most recently quoted bid price. Subject to the foregoing, other securities for
which quotations are not readily available are valued at fair value as
determined in good faith by the Board of Trustees.
REPURCHASE AGREEMENTS -- Securities pledged as collateral for repurchase
agreements are held by each Fund's custodian bank until maturity of the
repurchase agreement. Provisions of the repurchase agreement and procedures
adopted by the Administrator and the Investment Adviser (see note 3) of the
Trust ensure that the market value of the collateral, including accrued interest
thereon, is sufficient in the event of default by the counterparty. The Funds
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 maturity of the repurchase agreement.
Provisions of the repurchase agreements ensure that the market value of the
collateral, including accrued interest thereon, is sufficient in the event of
default. 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.
COMPENSATING BALANCES -- Large Cap, Large Cap Value, Large Cap Growth, Large Cap
Index, Small Cap and Core Fixed Income Funds with cash overdrafts in excess of
$100,000 are required to leave 112% in compensating balance with Wachovia Bank
NA, the custodian of the Trust, on the following day. Funds with positive cash
balances in excess of $100,000 are allowed to overdraw 90% of the balance with
Wachovia Bank NA on the following day.
DISCOUNT AND PREMIUM AMORTIZATION -- All amortization is calculated using the
effective interest method over the holding period of the security. Amortization
of premiums and discounts is included in interest income.
EXPENSES -- Expenses that are directly related to one of the Funds are charged
directly to that Fund. Other operating expenses of the Funds are prorated to the
Funds on the basis of relative net assets. The Core Fixed Income Fund will bear
the cost of litigation expenses over and above the expense cap established
by SEI Investments Management Corporations ("SIMC") for the Fund.
CLASSES -- Class-specific expenses are borne by that class of shares. Income,
expenses, realized and unrealized gains/losses and non class-specific expenses
are allocated to the respective classes on the basis of relative daily net
assets.
FOREIGN CURRENCY TRANSLATION -- The books and records of the International
Equity Fund 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.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 85
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
The International Equity Fund does 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 change in market prices of equity
securities.
The International Equity Fund reports 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.
FUTURES CONTRACTS -- Each of the Funds utilized futures contracts during the
year ended May 31, 2003. The Large Cap, Large Cap Value, Large Cap Growth, Large
Cap Index, Small Cap, and International Equity Funds' investment in index
futures contracts is designed to enable the Funds to more closely approximate
the performance of their benchmark indices. The Core Fixed Income Fund's use of
futures contracts is primarily for tactical hedging purposes. 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 losses or gains are incurred.
When the contract is closed, the Fund records 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 related to futures contracts include the possibility that there may not be
a liquid market for the contracts, that changes in the values of the contract
may not directly correlate with changes in the values of the underlying
securities, and that the counterparty to a contract may default on its
obligation to perform.
The following Funds had Long (Short) futures contracts open as of May 31, 2003:
- ---------------------------------------------------------------------
Number Contract Unrealized
Contract of Value Gain (Loss)
Description Contracts ($Thousands) Expiration ($Thousands)
- ---------------------------------------------------------------------
LARGE CAP FUND
S&P 500 Composite
Index 67 15,489 06/20/03 $ 647
--------
LARGE CAP VALUE FUND
S&P 500 Composite
Index 43 9,542 06/20/03 814
--------
LARGE CAP GROWTH FUND
S&P 500 Composite
Index 30 6,928 06/20/03 297
--------
LARGE CAP INDEX FUND
S&P 500 Index E-Mini 7 315 06/20/03 22
S&P 500 Composite
Index 2 401 06/20/03 81
--------
103
--------
- ---------------------------------------------------------------------
Number Contract Unrealized
Contract of Value Gain (Loss)
Description Contracts ($Thousands) Expiration ($Thousands)
- ---------------------------------------------------------------------
SMALL CAP FUND
Russell 2000
Index 298 56,771 06/19/03 $ 8,947
--------
CORE FIXED INCOME FUND
90 Day Euro$ (257) (63,354) 03/15/04 (93)
U.S. 10 Year Agency
Note (283) (33,410) 09/20/03 (108)
U.S. 10 Year Agency
Note 190 22,505 06/30/03 117
U.S. 10 Year Agency
Note (290) (33,374) 06/22/03 (1,154)
U.S. 10 Year Agency
Note (137) (16,160) 09/22/03 (66)
U.S. 10 Year Agency
Note 101 11,342 06/21/03 476
U.S. 10 Year Agency
Note (176) (20,476) 06/21/03 (479)
U.S. 5 Year Note (130) (14,758) 06/23/03 (381)
U.S. 5 Year Note (587) (67,679) 09/21/03 (229)
U.S. 5 Year Note (620) (70,773) 06/20/03 (1,428)
U.S. Long
Treasury Bond (59) (7,044) 06/21/03 (65)
U.S. Long
Treasury Bond 4 480 06/21/03 2
--------
(3,408)
--------
INTERNATIONAL EQUITY FUND
DJ Euro Stoxx 313 7,214 06/20/03 546
FTSE 100 Index 104 6,178 06/24/03 450
Hang Seng Index 7 728 06/27/03 1
SPI 200 Index 33 1,441 06/20/03 49
Topix Index 73 4,756 06/17/03 410
--------
1,456
--------
OPTION WRITING/PURCHASING -- The Core Fixed Income Fund invests in financial
options contracts for the purpose of hedging its existing portfolio securities,
or securities that the Fund intends to purchase, against fluctuations in fair
value caused by changes in prevailing market interest rates. The Large Cap,
Large Cap Value, Large Cap Growth, Large Cap Index, Small Cap, and International
Equity Funds may also invest in financial options contracts. When the Fund
writes or purchases an option, 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 written or purchased. Premiums
received or paid from writing or purchasing options 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 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.
- --------------------------------------------------------------------------------
86 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
DELAYED DELIVERY TRANSACTIONS -- The Core Fixed Income 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 delayed delivery purchases are outstanding,
the Fund will set aside and maintain until the settlement date in a segregated
account, liquid assets in an amount sufficient to meet the purchase price. 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 Fund 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.
STRUCTURED NOTES AND INDEXED NOTES -- The Core Fixed Income Fund may invest in
structured notes that make interest and principal payments based upon the
performance of specified assets or indices. Structured notes include
mortgage-backed securities such as pass-through certificates, collateralized
mortgage obligations and interest- and principal-only components of
mortgage-backed securities. The Core Fixed Income Fund may also invest in
indexed notes whose values are linked either directly or inversely to changes in
foreign currency exchange rates, interest rates, indices, or other reference
instruments. The values of these instruments may be more volatile than the
rates, indices, or instruments to which they refer, but any loss is limited to
the amount of the original investment.
RESTRICTED SECURITIES -- Certain of the Funds' investments are restricted as to
resale. The table below shows the number of shares held, the acquisition date,
cost, market value, value per share of such securities and percentage of net
assets which the securities comprise as of May 31, 2003:
- --------------------------------------------------------------------
Number Acquisition
of Shares Date Cost
- --------------------------------------------------------------------
CORE FIXED INCOME FUND
Duty Free International 6,500,000 7/10/02 $6,520,326
Dryden Investor Trust 3,924,821 7/17/98 3,924,821
- --------------------------------------------------------------------
Market Value Value per Percentage of
at 05/31/03 Share Net Assets
- --------------------------------------------------------------------
CORE FIXED INCOME FUND
Duty Free International $3,250,000 $0.50 0.13%
Dryden Invester Trust 4,277,663 1.09 0.18
ILLIQUID SECURITIES -- Valuations of illiquid securities may differ
significantly from the values that would have been used had an active market
value for these securities existed.
DISTRIBUTIONS TO SHAREHOLDERS -- Distributions from net investment income are
declared and paid to shareholders quarterly for the Large Cap, Large Cap Value,
Large Cap Growth, Large Cap Index and the Small Cap Funds; declared daily and
paid monthly for the Core Fixed Income Fund; and declared and paid at least
annually for the International Equity Fund.
OTHER -- Security transactions are recorded on the trade date of the security
purchase or sale. Cost used in determining net realized capital gains and losses
on the sale of securities are those of the specific identification. Dividend
income is recognized on the ex-dividend date, and interest income is recognized
using the accrual basis of accounting.
3. ADMINISTRATOR, INVESTMENT ADVISORY AND DISTRIBUTION AGREEMENTS
The Trust and SEI Investments Fund Management (the "Administrator"), are parties
to an Amended and Restated Administration and Transfer Agency Agreement dated
September 16, 2002 under which the Administrator provides administrative and
shareholder servicing for an annual fee of 0.05% of the average daily net assets
of each Fund. Prior to September 16, 2002, the Administrator was a party to
separate agreements with the Funds dated March 1, 1995, to provide the same
services for the same fees as under the current agreement. The Administrator has
agreed to waive all or a portion of its fee so that the total annual expenses of
each Fund will not exceed certain voluntary expense limitations adopted by the
Administrator.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 87
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
The Trust and SEI Investments Distribution Co. (the "Distributor") are parties
to a distribution agreement dated June 14, 1996 pursuant to which the
Distributor provides distribution-related services to the Trust. The Distributor
is not currently entitled to any fee for performing these services.
The Trust has also adopted a shareholder service plan and agreement (the
"Service Plan") and an administrative services plan and agreement (the
"Administrative Service Plan") for the Class T shares of the Funds.
Under the Service Plan, the Distributor may perform, or may compensate other
service providers for performing, the following shareholder services: (i)
maintaining client accounts; (ii) arranging for bank wires; (iii) responding to
client inquiries concerning services provided by the Distributor or any other
service provider; (iv) assisting clients in changing dividend options, account
designations and addresses; and (v) responding to client inquiries concerning
their investments in Class T shares of the Funds. Under the Service Plan, the
Distributor may retain as a profit any difference between the fee it receives
and the amount it pays to third parties. Under the Service Plan, the Distributor
is entitled to a fee, calculated daily and paid monthly as a percentage of
average daily net assets attributable to Class T Shares, of up to 0.25%
annually.
Under the Administrative Service Plan, the Distributor may perform, or may
compensate other service providers for performing, the following administrative
services: (i) providing sub-accounting with respect to Class T shares
beneficially owned by clients; (ii) providing information periodically to
clients showing their positions in Class T shares; (iii) forwarding shareholder
communications from the Trust; (iv) processing purchase, exchange and redemption
requests from clients and placing such orders with the Fund or its service
providers; (v) processing dividend payments; and (vi) providing such other
similar services as the Funds may reasonably request, to the extent the service
provider is permitted to do so under applicable laws or regulations. Under the
Administrative Service Plan, the Distributor is entitled to a fee, calculated
daily and paid monthly, as a percentage of average daily net assets attributable
to Class T Shares, of up to 0.30% annually.
SEI Investments Management Corporation serves as investment adviser to each
Fund. In connection with serving as investment adviser, SIMC is entitled to a
fee that is calculated daily and paid monthly, at an annual rate of 0.40% of the
Large Cap and Large Cap Growth Fund's average daily net assets, at an annual
rate of 0.35% of the Large Cap Value Fund's average daily net assets, at an
annual rate of 0.17% of the Large Cap Index Fund's average daily net assets, at
an annual rate of 0.65% of the Small Cap Fund's average daily net assets, at an
annual rate of 0.30% of the Core Fixed Income Fund's average daily net assets
and at an annual rate of 0.505% of the International Equity Fund's average daily
net assets. SIMC has agreed to waive a portion of its fee so that the total
annual expenses of each Fund will not exceed certain voluntary expense
limitations adopted by SIMC.
SIMC has entered into investment sub-advisory agreements with the following
parties:
- ------------------------------------------------------------------------
Currently Managing
Date of a Portion of Fund
Investment Sub-Adviser Agreement (Y/N)
- ------------------------------------------------------------------------
LARGE CAP FUND
Aronson & Johnson & Ortiz 07/01/03 Y
Franklin Portfolio Associates 07/01/03 Y
Goldman Sachs Asset Management 01/24/03 Y
LSV Asset Management L.P. 06/14/96 Y
McKinley Capital Management, L.P. 06/26/02 Y
Montag & Caldwell Inc. 03/12/02 Y
Peregrine Capital Management 12/07/00 Y
Sanford C. Bernstein & Co. LLC 10/02/00 Y
Transamerica Investment Management, LLC 09/17/01 Y
LARGE CAP VALUE FUND
Aronson & Johnson & Ortiz 07/01/03 Y
Franklin Portfolio Associates 07/01/03 Y
LSV Asset Management 06/22/99 Y
Sanford C. Bernstein & Co. LLC 10/02/00 Y
LARGE CAP GROWTH FUND
Goldman Sachs Asset Management 01/24/03 Y
McKinley Capital Management, Inc. 06/26/02 Y
Montag & Caldwell Inc. 03/12/02 Y
Peregrine Capital Management 12/07/00 Y
Transamerica Investment Management, LLC0 09/17/01 Y
LARGE CAP INDEX FUND
Barclays Global Fund Advisors 03/19/02 Y
- --------------------------------------------------------------------------------
88 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- ------------------------------------------------------------------------
Currently Managing
Date of a Portion of Fund
Investment Sub-Adviser Agreement (Y/N)
- ------------------------------------------------------------------------
SMALL CAP FUND
Artisan Partners Limited Partnership 03/26/99 Y
Blackrock Advisors, Inc. 07/01/03 Y
David J. Greene and Company, LLC 08/14/01 Y
Delaware Management Business Trust 07/01/03 Y
Lee Munder Investment Ltd. 12/09/02 Y
LSV Asset Management L.P. 05/01/97 Y
Martingale Asset Management, L.P. 12/09/02 Y
Mazama Capital Management, Inc. 12/13/99 Y
McKinley Capital Management Inc. 09/20/00 Y
RS Investment Management, L.P. 09/30/98 Y
Security Capital Research and
Management 05/14/02 Y
Wellington Management Company 03/14/02 Y
CORE FIXED INCOME FUND
BlackRock Financial Management, Inc. 06/14/96 Y
Metropolitan West Asset Management, LLC 06/26/02 Y
Western Asset Management Company 06/14/96 Y
INTERNATIONAL EQUITY FUND
Alliance Capital Management 07/01/03 Y
Capital Guardian Trust Company 06/29/98 Y
Fisher Investments, Inc. 07/01/03 Y
McKinley Capital Management 07/01/03 Y
Morgan Stanley Investment
Management Inc. 10/01/01 Y
4. TRANSACTIONS WITH AFFILIATES
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 the rules of the Securities and Exchange Commission
("SEC"). 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, 2003 are as follows ($ Thousands):
Large Cap Fund $1,427
Large Cap Value Fund 71
Large Cap Growth Fund 287
Small Cap Fund 255
International Equity Fund 411
------
$2,451
======
For the year ended May 31, 2003, the Funds paid commissions to affiliated
broker-dealers as follows:
Large Cap Fund $559,600
Large Cap Value Fund 61,668
Large Cap Growth Fund 129,488
Small Cap Fund 38,198
International Equity Fund 206,781
--------
$995,735
========
Certain officers and/or trustees of the Trust are also officers of the
Administrator. The Trust pays each unaffiliated Trustee an annual fee for
attendance of quarterly, interim and committee meetings. Compensation of
officers and affiliated Trustees of the Trust is paid by the Administrator.
The Funds also used the Distributor as an agent in placing repurchase
agreements. For this service the Distributor retains a portion of the interest
earned as a commission. Such commissions for the year ended May 31, 2003 are as
follows:
Large Cap Fund $ 53,369
Large Cap Value Fund 5,045
Large Cap Growth Fund 7,759
Large Cap Index Fund 176
Small Cap Fund 31,618
Core Fixed Income Fund 132,760
International Equity Fund 12,743
--------
$243,470
========
LSV Asset Management (partially-owned subsidiary of SIMC) serves as a
sub-adviser to the Large Cap, Large Cap Value and Small Cap Funds. For this
service LSV Asset Management is entitled to receive a fee from SIMC. Such fees
for the year ended May 31, 2003 are as follows:
Large Cap Fund $347,229
Large Cap Value Fund 93,962
Small Cap Fund 602,313
----------
$1,043,504
==========
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 89
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
5. CAPITAL SHARE TRANSACTIONS
Capital Share Transactions for the Funds were as follows (Thousands):
For the year ended May 31,
- -----------------------------------------------------------------------------------------------------------------------------------
LARGE CAP LARGE CAP LARGE CAP
LARGE CAP FUND VALUE FUND GROWTH FUND INDEX FUND(4)
- -----------------------------------------------------------------------------------------------------------------------------------
2003 2002 2003 2002 2003 2002 2003 2002
- -----------------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 81,686(1) 55,000(1) 10,403(1) 10,184(1) 40,193(1) 17,918(1) 13,647(1) 4,306(1)
Reinvestment of Cash
Distributions 3,168 2,253 890 723 438 131 111 --
Shares Redeemed (55,000) (56,254)(2) (6,741) (3,379) (10,184) (5,420) (1,216) (51)
- -----------------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions 29,854 999 4,552 7,528 30,447 12,629 12,542 4,255
- -----------------------------------------------------------------------------------------------------------------------------------
Class T:(3)
Shares Issued 8,046 9,748 -- -- -- -- -- --
Reinvestment of Cash
Distributions 25 23 -- -- -- -- -- --
Shares Redeemed (8,054) (9,771) -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Total Class T Transactions 17 -- -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase in Capital Shares 29,871 999 4,552 7,528 30,447 12,629 12,542 4,255
===================================================================================================================================
- ----------------------------------------------------------------------------------------------------------------------------
CORE FIXED INTERNATIONAL
SMALL CAP FUND INCOME FUND EQUITY FUND
- ----------------------------------------------------------------------------------------------------------------------------
2003 2002 2003 2002 2003 2002
- ----------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 25,762(1) 35,619(1) 43,610 61,416 37,489 44,019
Reinvestment of Cash Distributions 582 689 15,929 17,397 2,275 1,473
Shares Redeemed (11,354) (14,169) (59,670) (52,868) (24,946) (23,927)
- ----------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions 14,990 22,139 (131) 25,945 14,818 21,565
- ----------------------------------------------------------------------------------------------------------------------------
Class T:(3)
Shares Issued 3,934 4,596 -- -- -- --
Reinvestment of Cash Distributions 6 4 -- -- -- --
Shares Redeemed (3,924) (4,600) -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------
Total Class T Transactions 16 -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Capital Shares 15,006 22,139 (131) 25,945 14,818 21,565
============================================================================================================================
<FN>
(1)Includes subscriptions as a result of in-kind transfers of securities (see
note 10).
(2)Includes redemptions as a result of in-kind transfers of securities
(see note 10).
(3)Large Cap Fund Class T commenced operations December 13, 2002. Small Cap Fund
Class T commenced operations November 26, 2002.
(4)The Large Cap Index Fund commenced operations April 1, 2002.
</FN>
- --------------------------------------------------------------------------------
90 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
6. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities other
than temporary cash investments during the year ended May 31, 2003, are as
follows:
- ----------------------------------------------------------------
U.S. Gov't Other Total
($Thousands) ($Thousands) ($Thousands)
- ----------------------------------------------------------------
LARGE CAP FUND
Purchases $ -- $1,765,040 $1,765,040
Sales -- 1,348,065 1,348,065
LARGE CAP VALUE FUND
Purchases -- 191,823 191,823
Sales -- 153,246 153,246
LARGE CAP GROWTH FUND
Purchases -- 339,703 339,703
Sales -- 189,870 189,870
LARGE CAP INDEX FUND
Purchases -- 108,002 108,002
Sales -- 8,423 8,423
SMALL CAP FUND
Purchases -- 993,200 993,200
Sales -- 901,987 901,987
CORE FIXED INCOME FUND
Purchases 8,609,402 991,510 9,600,912
Sales 8,899,097 994,545 9,893,642
INTERNATIONAL EQUITY FUND
Purchases -- 719,295 719,295
Sales -- 618,579 618,579
7. FEDERAL TAX INFORMATION
It is each Fund's intention to continue to qualify as a regulated investment
company under Subchapter M of the Internal Revenue Code and distribute all of
its taxable income (including net capital gains). Accordingly, no provision for
Federal income taxes is required.
Dividends from net investment income and distributions from net realized capital
gains are determined in accordance with U.S. Federal income tax regulations,
which may differ from those amounts determined under accounting principles
generally accepted in the United States of America. These book/tax differences
are either temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gain, as appropriate, in the
period that the differences arise. Accordingly, the following permanent
differences, primarily attributable to different treatment for gains and losses
on paydowns of mortgage- and asset-backed securities for tax purposes,
reclassification of long term capital gain distributions on Real Estate
Investment Trust securities, and to gains on passive foreign investment
companies and certain foreign currency related transactions, have been
reclassified to/from the following accounts as of May 31, 2003:
- --------------------------------------------------------------------
Undistributed Accumulated
Net Investment Realized
Income (Loss) Gain (Loss)
($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
Large Cap Fund $ (131) $ 131
Large Cap Value Fund (35) 35
Large Cap Index Fund (3) 3
Small Cap Fund (350) 350
Core Fixed Income Fund (265) 265
International Equity Fund 1,094 (1,094)
The tax character of dividends and distributions paid during the last two years
were as follows:
- -----------------------------------------------------------------------
Ordinary Long-term
Income Capital Gain Total
($ Thousands) ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------------
Large Cap Fund 2003 $ 37,071 $-- $ 37,071
2002 33,487 -- 33,487
Large Cap Value Fund 2003 7,624 -- 7,624
2002 7,569 -- 7,569
Large Cap Growth
Fund 2003 1,902 -- 1,902
2002 764 -- 764
Large Cap Index
Fund 2003 856 -- 856
2002 -- -- --
Small Cap Fund 2003 6,233 -- 6,233
2002 6,223 2,728 8,951
Core Fixed
Income Fund 2003 139,496 28,024 167,520
2002 168,332 13,708 182,040
International Equity
Fund 2003 17,101 -- 17,101
2002 12,930 -- 12,930
As of May 31, 2003, the components of Distributable Earnings/ (Accumulated
Losses) were as follows:
- -----------------------------------------------------------------------------------------------------------
Undistributed Undistributed Capital Post- Unrealized
Ordinary Long-Term Loss October Appreciation
Income Capital Gain Carryforwards Losses (Depreciation)
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------------------------------------------------
Large Cap Fund $ 6,449 $ -- $(542,364) $(58,867) $(148,858)
Large Cap Value Fund 1,353 -- (12,703) (1,995) (22,820)
Large Cap Growth
Fund 359 -- (137,351) (23,906) (24,714)
Large Cap Index Fund 459 11 -- -- (324)
Small Cap Fund 324 -- (71,613) (1,955) 26,006
Core Fixed
Income Fund 28,215 -- -- (21,813) 104,391
International Equity
Fund 13,050 -- (266,786) (70,629) (95,745)
Post-October losses represent losses realized on investment transactions from
November 1, 2002 through May 31, 2003 that, in accordance with Federal income
tax regulations, the Funds defer and treat as having arisen in the following
fiscal year. For Federal income tax purposes, capital loss carryforwards may be
carried forward and applied against future capital gains as follows:
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 91
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
- -----------------------------------------------------------------------------------------------
Total
Capital Loss
Expires Expires Expires Expires Carryforward
2011 2010 2009 2008 5/31/03
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------------------------------------
Large Cap Fund $305,268 $237,096 $ -- $-- $542,364
Large Cap
Value Fund 11,594 1,109 -- -- 12,703
Large Cap
Growth Fund 68,049 56,503 12,799 -- 137,351
Small Cap Fund 49,842 21,771 -- -- 71,613
International
Equity Fund 93,799 169,317 3,670 -- 266,786
For Federal income tax purposes, the cost of securities owned at May 31, 2003,
and the net realized gains or losses on securities sold for the period were
different from amounts reported for financial reporting purposes, primarily due
to wash sales which cannot be used for Federal income tax purposes in the
current year and have been deferred for use in future years. The Federal tax
cost and aggregate gross unrealized appreciation and depreciation on
investments, held by the Funds at May 31, 2003, were as follows:
- -----------------------------------------------------------------------------------------------
Net
Unrealized
Federal Appreciated Depreciated Appreciation
Tax Cost Securities Securities (Depreciation)
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------------------------------------
Large Cap Fund $3,363,595 $301,242 $(450,100) $(148,858)
Large Cap Value Fund 443,989 37,215 (60,035) (22,820)
Large Cap Growth Fund 439,744 29,141 (53,855) (24,714)
Large Cap Index Fund 142,758 8,615 (8,939) (324)
Small Cap Fund 1,318,085 181,978 (155,972) 26,006
Core Fixed Income Fund 3,257,264 132,393 (28,002) 104,391
International Equity Fund 1,477,316 74,426 (171,473) (97,047)
8. CONCENTRATION OF RISKS
The market values of the Core Fixed Income Fund's investments will change in
response to interest rate changes and other factors. During periods of falling
interest rates, the values of fixed income securities generally rise.
Conversely, during periods of rising interest rates, the values of such
securities generally decline. Changes by recognized rating agencies in the
ratings of any fixed income security and in the ability of an issuer to make
payments of interest and principal may also affect the value of these
investments.
The International Equity Fund invests in securities of foreign issuers in
various countries. These investments may involve certain considerations and
risks not typically associated with investments in the United States, as a
result of, among other factors, the possibility of future political and economic
developments and the level of governmental supervision and regulation of
securities markets in the respective countries.
9. WRITTEN OPTIONS TRANSACTIONS
Written options transactions entered into during the year ended May 31, 2003 are
summarized as follows:
- --------------------------------------------------------------------
CORE FIXED INCOME FUND
- --------------------------------------------------------------------
Premium
# of Contracts ($Thousands)
- --------------------------------------------------------------------
Balance at the beginning of period 1,181 $ 1,100
Written 28,729,696 8,949
Expired (28,723,300) (2,992)
Exercised -- --
Closing Buys (6,863) (6,351)
- --------------------------------------------------------------------
Balance at end of period 714 $ 706
- --------------------------------------------------------------------
10. IN-KIND TRANSFERS OF SECURITIES
During the year ended May 31, 2003, the Large Cap, Large Cap Value, Large Cap
Growth, Large Cap Index and Small Cap Funds issued shares of beneficial interest
in exchange for securities. The securities were transferred at their current
value on the date of transaction.
- ---------------------------------------------------------------
Shares
Issued Value
- ---------------------------------------------------------------
Large Cap Fund
08/06/02 2,675,093 $29,586,527
08/12/02 822,167 9,512,477
08/19/02 54,642 666,636
11/01/02 249,839 2,905,632
11/22/02 189,149 2,264,115
11/26/02 344,651 4,035,864
Large Cap Value Fund
06/06/02 1,305,341 13,183,944
Large Cap Growth Fund
06/07/02 15,944,664 80,839,446
01/29/03 608,332 2,591,494
Large Cap Index Fund
11/26/02 4,269,924 34,116,692
04/29/03 2,958,134 23,783,399
05/22/03 2,140,017 17,548,137
Small Cap Fund
03/07/03 68,485 635,539
- --------------------------------------------------------------------------------
92 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
During the year ended May 31, 2002, the Large Cap, Large Cap Value, Large Cap
Growth, Large Cap Index and Small Cap Funds issued (redeemed) shares of
beneficial interest in exchange for securities. The securities were transferred
at their current value on the date of transaction.
- --------------------------------------------------------------
Shares Issued
(Redeemed) Value Gain (Loss)
- --------------------------------------------------------------
Large Cap Fund
11/26/01 (6,776,772) $(100,160,684) $(16,871,419)
02/04/02 320,006 4,611,283 --
02/22/02 72,772 1,002,072 --
05/30/02 143,645 1,983,739 --
05/31/02 117,925 1,629,724 --
Large Cap Value Fund
11/07/01 87,039 881,701 --
01/03/02 47,559 497,470 --
02/20/02 166,078 1,662,442 --
Large Cap Growth Fund
11/07/01 21,406 124,581 --
01/03/02 588,293 3,606,239 --
02/20/02 117,465 648,406 --
Large Cap Index Fund
04/02/02 3,857,142 38,571,422 --
Small Cap Fund
06/18/01 1,881,265 24,400,003 --
07/16/01 557,030 7,319,378 --
11. SECURITIES LENDING
Each Fund may lend portfolio securities to brokers, dealers and other financial
organizations that meet capital and other credit requirements or other criteria
established by the Trust's Board of Trustees. These loans may not exceed 33 1/3%
of the total asset value of the Fund (including the loan collateral). No Fund
will lend portfolio securities to its investment 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, letters of credit or U.S. Government securities, and the 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 of 102% and 105% of the market value of borrowed
securities for domestic and foreign securities, respectively. Although the risk
of lending is mitigated by the collateral, the Fund could experience a delay in
recovering its securities and a possible loss of income or value if the borrower
fails to return them.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 93
- --------------------------------------------------------------------------------
TRUSTEES AND OFFICERS OF THE TRUST (Unaudited)
Set forth below are the names, dates of birth, position with the SEI
Institutional Investment Funds (the "Trust"), length of term of office, the
principal occupations for the last five years, number of portfolios in fund
complex overseen by trustee, and other directorships outside 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].
- ----------------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY
AND AGE TRUSTS SERVED(1) FIVE YEARS BY TRUSTEE(2) TRUSTEE
- ----------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES
- -------------------
Robert A. Nesher Chairman since 1995 Currently performs various 66 Trustee of The Advisors' Inner
One Freedom of the services on behalf of SEI Circle Fund, The Arbor Fund,
Valley Drive, Board of Investments Company for Bishop Street Funds, and The
Oaks, PA 19456 Trustees* which Mr. Nesher is Expedition Funds.
56 yrs. old compensated.
- ----------------------------------------------------------------------------------------------------------------------------------
William M. Doran Trustee* since 1995 Partner, Morgan, Lewis & 66 Trustee of The Advisors' Inner
1701 Market Street Bockius LLP(law firm), Circle Fund, The Arbor Fund,
Philadelphia, PA counsel to the Trusts, SEI and The Expedition Funds;
19103 Investments Company, the Director of SEI Investments
63 yrs. old Adviser, the Administrator since 1974.
and the Distributor.
- ----------------------------------------------------------------------------------------------------------------------------------
TRUSTEES
- --------
F. Wendell Gooch Trustee since 1995 President, Orange County 66 Trustee of STI Classic Funds
One Freedom Publishing Co., Inc.; Publisher, and STI Classic Variable Trust.
Valley Drive, Paoli News and Paoli Republican;
Oaks, PA 19456 and Editor, Paoli Republican,
70 yrs. old October 1981-January 1997.
President, H&W Distribution, Inc.,
since July 1984.
- ----------------------------------------------------------------------------------------------------------------------------------
James M. Storey Trustee since 1995 Retired, Partner, Dechert Price 66 Trustee of The Advisors' Inner
One Freedom & Rhoads, September 1987- Circle Fund, The Arbor Fund,
Valley Drive, December 1993. and The Expedition Funds.
Oaks, PA 19456
72 yrs. old
- ----------------------------------------------------------------------------------------------------------------------------------
George J. Sullivan, Jr.Trustee since 1996 Chief Executive Officer, Newfound 66 Trustee of The Advisors' Inner
One Freedom Consultants Inc. since April 1997. Circle Fund, The Arbor Fund,
Valley Drive Treasurer and Clerk, Peak Asset and The Expedition Funds;
Oaks, PA 19456 Management, Inc., since 1991. Trustee, Navigator Securities
60 yrs. old Lending Trust, since 1995.
- ----------------------------------------------------------------------------------------------------------------------------------
Rosemarie B. Greco Trustee since 1999 Director of Pennsylvania Office 66 Director, Sonoco, Inc.; Director,
One Freedom of Health Care Reform since 2003. PECO Energy; Director, Radian,
Valley Drive Principal, Grecoventures (consulting Inc.; Trustee, Pennsylvania
Oaks, PA 19456 firm) since August 1997. President, Real Estate Investment Trust;
57 yrs. old Corestates Financial Corp., 1991-1997; Director, Cardone Industries,
Chief Executive Officer and President, Inc.; Director, Genuardi
Corestates Bank, N.A., 1991-1997. Markets, Inc.; and Director,
PRWT Comserve, Inc.
- ----------------------------------------------------------------------------------------------------------------------------------
<FN>
* MESSRS. NESHER AND DORAN ARE TRUSTEES WHO MAY BE DEEMED TO BE "INTERESTED" PERSONS OF THE
TRUST AS THAT TERM IS DEFINED IN THE 1940 ACT BY VIRTUE OF THEIR AFFILIATION WITH THE
TRUSTS' DISTRIBUTOR.
1 EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE ELECTION AND
QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER DIES, RESIGNS OR IS REMOVED
IN ACCORDANCE WITH THE TRUST'S DECLARATION OF TRUST.
2 THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS: SEI ASSET ALLOCATION TRUST, SEI DAILY INCOME
TRUST, SEI INDEX FUNDS, SEIINSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL
TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI INSURANCE PRODUCTS TRUST, SEI LIQUID ASSET TRUST
AND SEI TAX EXEMPT TRUST.
</FN>
- --------------------------------------------------------------------------------
94 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY
AND AGE TRUSTS SERVED(1) FIVE YEARS BY TRUSTEE TRUSTEE
- ----------------------------------------------------------------------------------------------------------------------------------
OFFICERS
- --------
Edward D. Loughlin President since 1995 Executive Vice President and N/A N/A
One Freedom & CEO President - Asset Management
Valley Drive, Division of SEI Investments since
Oaks, PA 19456 1993. Executive Vice President of
52 yrs. old the Adviser and the Administrator
since 1994. Senior Vice President
of the Distributor, 1986-1991; Vice
President of the Distributor, 1981-1986.
- ----------------------------------------------------------------------------------------------------------------------------------
James R. Foggo CFO & Controller since 1998 Vice President and Assistant Secretary N/A N/A
One Freedom of SEI Investments since January 1998.
Valley Drive Vice President and Secretary of the
Oaks, PA 19456 Adviser, Administrator and Distributor
38 yrs. old since May 1999. Associate, Paul, Weiss,
Rifkind, Wharton & Garrison (law firm),
1998. Associate, Baker & McKenzie
(law firm), 1995-1998. Associate, Battle
Fowler L.L.P. (law firm), 1993-1995.
- ----------------------------------------------------------------------------------------------------------------------------------
Timothy D. Barto Vice since 1999 Employed by SEI Investments since N/A N/A
One Freedom President October 1999. Vice President and
Valley Drive and Assistant Secretary of the Adviser,
Oaks, PA 19456 Secretary Administrator and Distributor since
35 yrs. old December 1999. Associate, Dechert
Price & Rhoads (law firm), 1997-1999.
Associate, Richter, Miller & Finn (law
firm), 1993-1997.
- ----------------------------------------------------------------------------------------------------------------------------------
Todd B. Cipperman Vice since 1995 Senior Vice President and General N/A N/A
One Freedom President Counsel of SEI Investments; Senior
Valley Drive and Vice President, General Counsel and
Oaks, PA 19456 Secretary Secretary of the Adviser, the
37 yrs. old Administrator and the Distributor
since 2000. Vice President
and Assistant Secretary of SEI
Investments, the Adviser, the
Administrator and the Distributor,
1995-2000. Associate, Dewey Ballantine
(law firm), 1994-1995.
- ----------------------------------------------------------------------------------------------------------------------------------
Lydia A. Gavalis Vice since 1998 Vice President and Assistant Secretary N/A N/A
One Freedom President of SEI Investments, the Adviser, the
Valley Drive and Administrator and the Distributor since
Oaks, PA 19456 Assistant 1998. Assistant General Counsel and
38 yrs. old Secretary Director of Arbitration, Philadelphia
Stock Exchange, 1989-1998.
- ----------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 95
- --------------------------------------------------------------------------------
TRUSTEES AND OFFICERS OF THE TRUST (Unaudited) (Concluded)
- ----------------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY
AND AGE TRUSTS SERVED(1) FIVE YEARS BY TRUSTEE(2) TRUSTEE
- ----------------------------------------------------------------------------------------------------------------------------------
OFFICERS (CONTINUED)
- --------------------
Christine M. Vice since 1999 Employed by SEI Investments since N/A N/A
McCullough President November 1, 1999. Vice President
One Freedom and and Assistant Secretary of the Adviser,
Valley Drive Assistant the Administrator and the Distributor
Oaks, PA 19456 Secretary since December 1999. Associate at
42 yrs. old White and Williams LLP, 1991-1999.
Associate at Montgomery, McCracken,
Walker & Rhoads, 1990-1991.
- ----------------------------------------------------------------------------------------------------------------------------------
Sherry Kajdan Vice since 2001 Vice President and Assistant Secretary N/A N/A
Vetterlein President of SEI Investments Mutual Funds
One Freedom and Services since January 2001.
Valley Drive Assistant Shareholder/Partner, Buchanan
Oaks, PA 19456 Secretary Ingersoll Professional Corporation
40 yrs. old (1992-2000).
- ----------------------------------------------------------------------------------------------------------------------------------
William E. Vice since 2001 Vice President and Assistant Secretary N/A N/A
Zitelli, Jr. President of the Administrator and Distributor
One Freedom and since August 2000. Vice President,
Valley Drive Assistant Merrill Lynch & Co. Asset Management
Oaks, PA 19456 Secretary Group (1998-2000). Associate at
34 yrs. old Pepper Hamilton LLP (1997-1998).
Associate at Reboul, MacMurray, Hewitt,
Maynard & Kristol (1994-1997).
- ----------------------------------------------------------------------------------------------------------------------------------
Robert S. Ludwig Vice since 1985 Employed by SEI Investments since 1985. N/A N/A
One Freedom President Senior Vice President and Chief Investment
Valley Drive and Officer of SEIAsset Management Group
Oaks, PA 19456 Assistant since 1995. Manager of Product
53 yrs. old Secretary Development for SEI's institutional
mutual funds and repurchase trading desk
from 1985-1995. Held various product
management and development positions at
Chase Econometrics and Interactive Data
Corporation from 1974-1985.
- ----------------------------------------------------------------------------------------------------------------------------------
John C. Munch Vice since 2002 Vice President and Assistant Secretary N/A N/A
One Freedom President of the Administrator and Distributor
Valley Drive and since November 2001. Associate,
Oaks, PA 19456 Assistant Howard, Rice, Nemorvoski, Canady,
32 yrs. old Secretary Falk & Rabkin (law firm), 1998-2001.
Associate, Seward & Kissel LLP (law firm),
1996-1998.
- ----------------------------------------------------------------------------------------------------------------------------------
<FN>
1 EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE ELECTION AND
QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER DIES, RESIGNS OR IS REMOVED
IN ACCORDANCE WITH THE TRUST'S DECLARATION OF TRUST.
2 THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS: SEI ASSET ALLOCATION TRUST, SEI DAILY INCOME
TRUST, SEI INDEX FUNDS, SEIINSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL
TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI INSURANCE PRODUCTS TRUST, SEI LIQUID ASSET TRUST
AND SEI TAX EXEMPT TRUST.
</FN>
- --------------------------------------------------------------------------------
96 SEI Institutional Investments Trust / Annual Report / May 31, 2003
- --------------------------------------------------------------------------------
NOTICE TO SHAREHOLDERS (Unaudited)
For shareholders who do not have a May 31, 2003, taxable year end, this notice
is for informational purposes only. For shareholders with a May 31, 2003,
taxable year end, please consult your tax adviser as to the pertinence of this
notice.
For the fiscal year ended May 31, 2003, the Funds of the SEI Institutional
Investments Trust are designating long term and qualifying dividend income with
regard to distributions paid during the year as follows:
(A) (B) (C)
LONG TERM QUALIFIED 15% RATE ORDINARY
CAPITAL GAINS 5-YEAR GAIN LONG-TERM INCOME TOTAL
DISTRIBUTIONS DISTRIBUTIONS CAPITAL GAIN DISTRIBUTIONS DISTRIBUTIONS
PORTFOLIO (TAX BASIS) (TAX BASIS) DISTRIBUTION (TAX BASIS) (TAX BASIS)
Large Cap Fund 0% 0% 0% 100% 100%
Large Cap Value Fund 0% 0% 0% 100% 100%
Large Cap Growth Fund 0% 0% 0% 100% 100%
Large Cap Index Fund 0% 0% 0% 100% 100%
Small Cap Fund 0% 0% 0% 100% 100%
Core Fixed Income Fund 17% 0% 0% 83% 100%
International Equity Fund 0% 0% 0% 100% 100%
(D)
DIVIDENDS
QUALIFYING QUALIFYING
FOR CORPORATE DIVIDEND INCOME (E) (F)
DIVIDENDS REC. (15% TAX RATE TAX-EXEMPT FOREIGN
PORTFOLIO DEDUCTION (1) FOR QDI) (2) INTEREST TAX CREDIT(3)
Large Cap Fund 100% 100% 0% 0%
Large Cap Value Fund 99% 100% 0% 0%
Large Cap Growth Fund 100% 100% 0% 0%
Large Cap Index Fund 93% 100% 0% 0%
Small Cap Fund 99% 100% 0% 0%
Core Fixed Income Fund 0% 0% 0% 0%
International Equity Fund 0% 100% 0% 14%
<FN>
(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" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and 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.
(3)Foreign tax credit pass thru represents the amount eligible for the foreign
tax credit and is reflected as a percentage of "Ordinary Income
Distributions".
</FN>
Items (A), (B) and (C) are based on the percentage of each fund's total
distribution.
Items (D) and (F) are based on the percentage of ordinary income distributions
of each fund.
Item (E) is based on the percentage of gross income of each fund.
Please consult your tax adviser for proper treatment of this information. This
notification should be kept with your permanent tax records.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2003 97
- --------------------------------------------------------------------------------
NOTES
- --------------------------------------------------------------------------------
NOTES
- --------------------------------------------------------------------------------
NOTES
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST ANNUAL REPORT MAY 31, 2003
Robert A. Nesher, CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
James M. Storey
George J. Sullivan, Jr.
Rosemarie B. Greco
OFFICERS
Edward D. Loughlin
PRESIDENT AND CHIEF EXECUTIVE OFFICER
James R. Foggo
CONTROLLER AND CHIEF FINANCIAL OFFICER
Lydia Gavalis
VICE PRESIDENT, ASSISTANT SECRETARY
John C. Munch
VICE PRESIDENT, ASSISTANT SECRETARY
Todd Cipperman
VICE PRESIDENT, ASSISTANT SECRETARY
Robert S. Ludwig
VICE PRESIDENT, ASSISTANT SECRETARY
Timothy D. Barto
VICE PRESIDENT, SECRETARY
Sherry Kajdan
VICE PRESIDENT, ASSISTANT SECRETARY
William E. Zitelli
VICE PRESIDENT, ASSISTANT SECRETARY
Christine McCullough
VICE PRESIDENT, ASSISTANT SECRETARY
Richard W. Grant
SECRETARY
INVESTMENT ADVISER
SEI Investments Management Corporation
ADMINISTRATOR
SEI Investments Fund Management
DISTRIBUTOR
SEI Investments Distribution Co.
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT AUDITORS
PricewaterhouseCoopers 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)
[GRAPHIC OMITTED]
SEI INVESTMENTS
SEI Investments Distribution Co.
Oaks, PA 19456
1 800-DIAL-SEI (1 800 342 5734)
SEI-F-140 (7/03)
ITEM 2. CODE OF ETHICS.
Not applicable - only effective for annual reports for periods ending on or
after July 15, 2003.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable - only effective for annual reports for periods ending on or
after July 15, 2003.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable - only effective for annual reports for periods ending on or
after December 15, 2003.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. (RESERVED)
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. (RESERVED)
ITEM 9. CONTROLS AND PROCEDURES.
(a) The certifying officers, whose certifications are included herewith, have
evaluated the registrant's disclosure controls and procedures within 90 days of
the filing date of this report. In their opinion, based on their evaluation, the
registrant's disclosure controls and procedures are adequately designed, and are
operating effectively to ensure, that information required to be disclosed by
the registrant in the reports it files or submits under the Securities Exchange
Act of 1934 is recorded, processed, summarized and reported within the time
periods specified in the Securities and Exchange Commission's rules and forms.
(b) There were no significant changes in the registrant's internal controls or
in other factors that could significantly affect these controls subsequent to
the date of our evaluation, including any corrective actions with regard to
significant deficiencies and material weaknesses.
ITEMS 10. EXHIBITS.
(a)(1) Not applicable.
(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.
(Registrant) SEI Institutional Investments Trust
By (Signature and Title)* /s/ Edward D Loughlin
----------------------
Edward D. Loughlin, President & CEO
Date 07/22/2003
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Edward D. Loughlin
----------------------
Edward D. Loughlin, President & CEO
Date 07/22/2003
By (Signature and Title)* /s/ James R. Foggo
-------------------
James R. Foggo, Controller and CFO
Date 07/22/2003
* Print the name and title of each signing officer under his or her signature.