UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
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FORM N-CSR
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CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER 811-07257
SEI INSTITUTIONAL INVESTMENTS TRUST
(Exact name of registrant as specified in charter)
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2 Oliver St.
Boston, MA 02109
(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, 2005
DATE OF REPORTING PERIOD: NOVEMBER 30, 2004
ITEM 1. REPORTS TO STOCKHOLDERS.
[BACKGROUND GRAPHIC OMITTED]
SEI INVESTMENTS
Semi-Annual Report as of November 30, 2004 (Unaudited)
SEI INSTITUTIONAL INVESTMENTS TRUST
Large Cap Fund
Large Cap Disciplined Equity Fund
Large Cap Index Fund
Small Cap Fund
Small/Mid Cap Equity Fund
Core Fixed Income Fund
Long Duration Bond Fund
Extended Duration Bond Fund
International Equity Fund
TABLE OF CONTENTS
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Statements of Net Assets/Schedules of Investments 1
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Statements of Assets and Liabilities 81
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Statements of Operations 82
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Statements of Changes in Net Assets 84
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Financial Highlights 87
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Notes to Financial Statements 89
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Disclosure of Fund Expenses 99
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Shareholder Voting Results 101
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The Trust files its complete schedule of portfolio holdings with the Securities
and Exchange Commission for the first and third quarters of each fiscal year on
Form N-Q within sixty days after the end of the period. The Trust's Forms N-Q
are available on the Commission's website at http://www.sec.gov, and may be
reviewed and copied at the Commission's Public Reference Room in Washington, DC.
Information on the operation of the Public Reference Room may be obtained by
calling 1-800-SEC-0330.
A description of the policies and procedures that the Trust uses to determine
how to vote proxies relating to portfolio securities, as well as information
relating to how a Fund voted proxies relating to portfolio securities during the
most recent 12-month period ended June 30, is available (i) without charge, upon
request, by calling 1-800-DIAL-SEI; and (ii) on the Commission's website at
http://www.sec.gov.
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STATEMENT OF NET ASSETS (Unaudited)
LARGE CAP FUND
November 30, 2004
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)**:
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
25.3% Financials
14.9% Consumer Discretionary
13.6% Information Technology
9.9% Industrials
9.4% Health Care
7.2% Consumer Staples
6.8% Energy
3.9% Short-Term Investments
2.9% Telecommunication Services
2.3% Materials
2.2% Utilities
1.4% Asset-Backed Securities
0.2% U.S. Treasury Obligations
** Percentages based on total investments.
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Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 96.7%
CONSUMER DISCRETIONARY -- 16.1%
Aeropostale* 16,000 $ 456
Autoliv 73,933 3,456
Autonation* 47,500 880
Barnes & Noble* 23,900 647
Bed Bath & Beyond* 104,900 4,188
Black & Decker 15,600 1,312
BorgWarner 22,600 1,131
Brunswick 11,300 552
Carmax (B)* 43,398 1,209
Centex 18,574 975
Clear Channel Communications 215,080 7,244
Comcast, Cl A* 64,680 1,943
Comcast, Special Cl A (B)* 54,996 1,631
Dana 85,100 1,391
Darden Restaurants 7,900 215
Delphi 202,300 1,821
Dollar Tree Stores* 28,868 803
DR Horton (B) 90,222 3,177
Eastman Kodak 47,100 1,541
eBay (B)* 235,482 26,480
EchoStar Communications, Cl A* 254,801 8,355
Family Dollar Stores 71,604 2,098
Federated Department Stores 52,783 2,892
Ford Motor (B) 212,200 3,009
Fortune Brands 10,000 785
GameStop, Cl B* 10,154 215
Gannett 44,100 3,638
General Motors (B) 72,161 2,785
Harrah's Entertainment (B) 51,834 3,183
Hasbro 41,300 786
Home Depot 223,098 9,314
International Game Technology (B) 180,000 6,363
Interpublic Group (B)* 37,300 463
JC Penney 58,200 2,246
Johnson Controls 17,600 1,081
Jones Apparel Group 35,000 1,243
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Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
KB Home 9,800 $ 861
Kmart Holding (B)* 11,800 1,213
Knight-Ridder 12,300 837
Kohl's* 199,096 9,190
Lamar Advertising, Cl A* 37,021 1,460
Lennar, Cl A (B) 51,274 2,304
Liberty Media International, Cl A* 162,628 7,003
Liberty Media, Cl A* 118,147 1,220
Limited 193,038 4,718
Lowe's 185,715 10,276
Magna International, Cl A 4,600 364
Marriott International, Cl A 238,248 13,544
May Department Stores 22,395 630
Maytag (B) 25,200 506
McDonald's 567,400 17,442
McGraw-Hill 83,470 7,323
McLeodUSA, Cl A (B) (F)* 92,300 --
MGM Mirage* 90,000 5,247
Nordstrom 7,800 341
NVR (B)* 3,300 2,280
OfficeMax 8,540 258
Omnicom Group 46,353 3,755
Petsmart (B) 57,700 1,977
Polaris Industries (B) 17,300 1,140
Pulte Homes (B) 9,500 525
RadioShack 5,500 174
Saks 44,800 623
Sears Roebuck 14,200 739
Sherwin-Williams 62,832 2,802
Stanley Works 74,019 3,461
Staples 300,000 9,573
Starwood Hotels & Resorts Worldwide 27,801 1,454
Station Casinos 13,000 741
Target 136,000 6,966
Timberland, Cl A* 16,100 1,020
Time Warner (B)* 866,137 15,339
Univision Communications, Cl A (B)* 138,225 4,161
Valassis Communications* 44,086 1,497
VF 38,000 2,052
Viacom, Cl B 225,500 7,825
Walt Disney 356,426 9,581
Wendy's International 32,800 1,170
Whirlpool 13,200 852
XM Satellite Radio Holdings, Cl A (B)* 302,900 11,180
Zale* 38,400 1,123
-----------
286,255
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CONSUMER STAPLES -- 7.8%
Adolph Coors, Cl B 11,900 891
Albertson's (B) 75,000 1,898
Altria Group (B) 274,771 15,797
Archer-Daniels-Midland 203,600 4,316
Avon Products 84,062 3,156
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SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 1
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STATEMENT OF NET ASSETS (Unaudited)
LARGE CAP FUND (Continued)
November 30, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
BJ's Wholesale Club (B)* 27,900 $ 828
Clorox 16,400 904
Coca-Cola 83,405 3,279
Coca-Cola Enterprises 52,576 1,094
Colgate-Palmolive 72,087 3,315
ConAgra Foods 35,300 955
Costco Wholesale (B) 62,500 3,038
CVS 59,600 2,704
Dean Foods (B)* 23,600 747
Energizer Holdings (B)* 81,786 3,819
General Mills 31,486 1,432
Gillette 365,903 15,913
Kellogg 37,000 1,617
Kimberly-Clark 68,600 4,364
Kroger* 120,100 1,943
Pepsi Bottling Group 67,700 1,897
PepsiAmericas 39,500 834
PepsiCo 234,598 11,709
Procter & Gamble 219,310 11,729
Reynolds American (B) 31,500 2,382
Rite Aid* 111,400 409
Safeway* 48,572 936
Sara Lee 58,500 1,374
Supervalu 87,100 2,751
Tyson Foods, Cl A 60,000 983
UST 28,800 1,268
Wal-Mart Stores 380,886 19,829
Walgreen 190,000 7,254
Wm. Wrigley Jr 48,249 3,320
-----------
138,685
-----------
ENERGY -- 7.3%
Amerada Hess (B) 34,400 3,056
Anadarko Petroleum 20,300 1,413
Burlington Resources 67,500 3,133
ChevronTexaco 416,236 22,727
ConocoPhillips 265,213 24,132
Devon Energy 34,800 1,441
El Paso* 92,431 965
Exxon Mobil 985,137 50,488
Marathon Oil 54,253 2,140
Nabors Industries (B)* 4,700 244
Newfield Exploration* 14,700 924
Noble Energy 8,287 529
Occidental Petroleum 51,641 3,109
Petrokazakhstan, Cl A 29,000 1,218
Schlumberger 102,015 6,695
Sunoco 12,200 1,007
Unocal 47,223 2,174
Western Gas Resources 16,600 515
Williams 102,000 1,700
XTO Energy 62,275 2,264
-----------
129,874
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Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
FINANCIALS -- 21.7%
A.G. Edwards 34,800 $ 1,361
ACE 3,600 145
Aflac 8,700 327
Allstate 94,049 4,749
AMBAC Financial Group 14,793 1,203
American Express (B) 84,200 4,691
American International Group 306,367 19,408
AmSouth Bancorp 63,770 1,654
Archstone-Smith Trust+ 13,700 500
Astoria Financial 31,674 1,314
Bank of America 775,918 35,902
Bank of Hawaii 30,900 1,500
Bank of New York 17,975 592
BB&T (B) 27,433 1,165
Bear Stearns 21,300 2,078
Capital One Financial (B) 35,400 2,782
CBL & Associates Properties+ 7,900 579
Charles Schwab 977,241 10,535
Chicago Mercantile Exchange (B) 25,000 4,893
Chubb (B) 55,616 4,238
CIT Group 26,400 1,129
Citigroup 893,733 39,995
Comerica 54,991 3,382
Commerce Bancorp (B) 15,200 950
Countrywide Financial 76,200 2,531
Doral Financial 7,200 334
Eaton Vance 23,600 1,132
Equity Office Properties Trust+ 142,652 3,916
Equity Residential+ 46,300 1,561
Fannie Mae 91,974 6,319
Fidelity National Financial 43,134 1,850
First American 64,615 2,129
First Horizon National 44,069 1,926
Franklin Resources (B) 85,100 5,585
Freddie Mac 121,194 8,273
Fremont General 24,300 578
Friedman Billings Ramsey Group,
Cl A (B)+ 80,000 1,530
General Growth Properties+ 64,900 2,227
Genworth Financial, Cl A (B) 19,900 523
Golden West Financial 10,610 1,265
Goldman Sachs Group 192,658 20,183
Hartford Financial Services Group 48,975 3,134
Hibernia, Cl A 53,540 1,548
Huntington Bancshares 86,473 2,098
Independence Community Bank 41,953 1,782
IndyMac Bancorp 22,200 721
IPC Holdings 10,100 430
Jefferson-Pilot 62,883 3,093
JPMorgan Chase 463,409 17,447
Keycorp 129,118 4,298
Legg Mason 10,350 705
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2 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
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- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers Holdings 82,761 $ 6,934
Lincoln National 102,800 4,731
Loews 17,800 1,244
Marshall & Ilsley 21,600 900
MBIA (B) 59,361 3,559
MBNA 279,633 7,427
Merrill Lynch 94,162 5,246
Metlife 147,000 5,733
Moody's 139,764 11,286
Morgan Stanley 104,127 5,284
National City (B) 217,696 8,072
Nationwide Financial Services, Cl A 14,700 552
Northern Trust 150,000 7,056
Old Republic International 27,000 675
Plum Creek Timber+ 50,100 1,854
PMI Group 36,600 1,507
PNC Financial Services Group 88,786 4,830
Popular 73,204 1,940
Principal Financial Group 57,900 2,182
Progressive 12,300 1,119
Prudential Financial 25,200 1,234
Radian Group (B) 19,300 989
Raymond James Financial 15,000 444
Regions Financial (B) 56,566 1,979
Safeco (B) 21,300 1,032
St. Joe 17,900 982
St. Paul Travelers 81,316 2,966
Stancorp Financial Group 14,800 1,170
State Street 60,423 2,692
SunTrust Banks 71,566 5,103
T Rowe Price Group 29,000 1,716
Torchmark 33,600 1,845
US Bancorp 237,520 7,038
Wachovia 288,160 14,912
Washington Mutual 100,024 4,072
Webster Financial (B) 32,991 1,651
Wells Fargo 136,309 8,420
Willis Group Holdings 31,724 1,201
XL Capital, Cl A 10,158 765
Zions Bancorporation 16,100 1,071
-----------
385,603
-----------
HEALTH CARE -- 10.2%
Advanced Medical Optics* 48,000 1,996
Aetna 12,000 1,422
Alcon 7,108 530
Allergan 115,000 8,453
AmerisourceBergen 22,700 1,338
Amgen* 200,175 12,019
Applera - Applied Biosystems Group 85,849 1,760
Bausch & Lomb 12,300 724
Beckman Coulter (B) 50,000 3,273
Becton Dickinson 33,500 1,835
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Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Boston Scientific* 142,400 $ 4,957
Bristol-Myers Squibb 173,645 4,081
Cardinal Health 12,800 669
Caremark Rx* 180,911 6,469
Celgene (B)* 53,000 1,453
Cigna 28,200 1,975
Eli Lilly 132,822 7,083
Fisher Scientific International* 32,500 1,838
Genentech* 371,240 17,912
Genzyme* 44,800 2,509
Gilead Sciences* 50,000 1,723
Guidant 40,611 2,633
HCA (B) 17,262 680
Humana* 86,400 2,144
Johnson & Johnson 172,462 10,403
Laboratory of America Holdings* 42,000 2,014
McKesson 36,800 1,087
Medtronic 429,842 20,654
Merck 191,423 5,364
PerkinElmer 122,383 2,610
Pfizer 605,799 16,823
UnitedHealth Group 8,000 663
VCA Antech* 80,000 1,485
WellPoint (B)* 9,500 963
WellPoint Health Networks* 108,954 13,630
Wyeth 188,009 7,496
Zimmer Holdings* 110,000 8,976
-----------
181,644
-----------
INDUSTRIALS -- 10.7%
3M 55,588 4,424
Apollo Group, Cl A (B)* 37,600 2,997
Boeing (B) 78,400 4,200
Brink's 3,300 127
Burlington Northern Santa Fe 185,166 8,340
Caterpillar 65,454 5,992
Cendant (B) 455,751 10,332
Cintas 123,350 5,516
Cooper Industries, Cl A 29,200 1,936
CSX 29,649 1,131
Cummins 11,100 884
Deere 57,900 4,153
Deluxe 34,800 1,376
Eaton 53,324 3,594
Emerson Electric 19,379 1,295
Expeditors International Washington 150,000 7,989
Fastenal 61,823 3,781
General Dynamics 32,300 3,500
General Electric 1,370,300 48,454
Goodrich 32,145 1,021
Graco 7,000 256
HNI 22,100 937
Honeywell International 96,528 3,410
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SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 3
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS (Unaudited)
LARGE CAP FUND (Continued)
November 30, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hubbell, Cl B 14,450 $ 702
Illinois Tool Works 37,700 3,552
L-3 Communications Holdings 12,800 953
Lockheed Martin 43,100 2,622
Masco 114,112 4,025
Norfolk Southern 42,782 1,469
Northrop Grumman 86,600 4,878
Paccar 14,400 1,125
Parker Hannifin 5,721 428
Raytheon 34,200 1,380
Rockwell Automation 42,400 2,006
Rockwell Collins 47,000 1,873
RR Donnelley & Sons 46,816 1,624
Ryder System 6,200 333
SPX (B) 32,200 1,324
Teekay Shipping 26,200 1,395
Textron 30,862 2,241
Tyco International 110,300 3,747
United Parcel Service, Cl B 222,741 18,744
United Technologies 33,000 3,220
Viad 500 12
Weight Watchers International (B)* 160,000 6,344
-----------
189,642
-----------
INFORMATION TECHNOLOGY -- 14.8%
Activision* 74,300 1,168
Adobe Systems 22,000 1,332
Advanced Micro Devices (B)* 65,000 1,383
Arrow Electronics (B)* 35,065 860
ATI Technologies* 98,000 1,901
Autodesk (B) 39,700 2,597
Automatic Data Processing 38,140 1,737
Avnet* 63,500 1,168
Cisco Systems* 755,899 14,143
Cognizant Technology Solutions, Cl A* 31,000 1,182
Comverse Technology (B)* 86,000 1,829
Convergys* 54,400 809
Cypress Semiconductor* 10,900 107
Dell* 354,370 14,359
Earthlink* 16,100 175
Electronic Arts (B)* 43,472 2,126
Electronic Data Systems 23,800 534
EMC* 333,376 4,474
First Data 638,144 26,221
Fiserv* 145,339 5,597
Flextronics International (B)* 46,315 665
Google, Cl A (B)* 10,500 1,922
Harris 17,000 1,125
Hewlett-Packard 454,045 9,081
Ingram Micro, Cl A* 127,085 2,445
Intel 618,151 13,816
International Business Machines 106,903 10,075
Intuit* 135,000 5,648
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Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Juniper Networks (B)* 64,500 $ 1,776
Lexmark International, Cl A* 72,000 6,113
Linear Technology (B) 204,033 7,786
Lucent Technologies (B)* 222,693 875
Marvell Technology Group (B)* 61,000 1,956
Maxim Integrated Products 66,600 2,728
McAfee* 1,300 38
Microsoft 1,258,659 33,745
Motorola 40,500 780
NCR* 31,500 1,882
Oracle* 164,300 2,080
Paychex 550,372 18,250
Plantronics 7,100 292
Qualcomm 672,174 27,976
Research In Motion* 13,300 1,183
Reynolds & Reynolds, Cl A (B) 9,100 216
Sabre Holdings, Cl A 75,437 1,741
Sandisk (B)* 250,000 5,645
Sanmina-SCI* 45,339 400
Sina* 42,000 1,551
Solectron* 150,400 940
Sun Microsystems* 396,700 2,202
Symantec* 40,200 2,565
Tech Data* 13,516 613
Tektronix 14,500 455
Trimble Navigation (B)* 72,550 2,290
Unisys* 61,700 709
Xerox (B)* 74,500 1,141
Yahoo! (B)* 164,146 6,175
-----------
262,582
-----------
MATERIALS -- 2.6%
Agrium 64,800 1,204
Alcan 17,307 883
Ball 23,600 1,056
Dow Chemical 57,745 2,914
E.I. Du Pont de Nemours 27,365 1,240
Eastman Chemical (B) 39,753 2,162
Engelhard 32,000 956
Georgia-Pacific 39,649 1,452
International Paper 50,337 2,090
Louisiana-Pacific 90,800 2,222
Lubrizol 49,003 1,693
Martin Marietta Materials 15,183 763
MeadWestvaco 18,200 612
Monsanto (B) 45,300 2,085
Nucor (B) 102,700 5,433
Phelps Dodge 6,600 641
PPG Industries 47,549 3,208
Praxair 200,000 8,980
Rohm & Haas 26,600 1,173
Sigma-Aldrich 7,300 436
Sonoco Products 21,583 614
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4 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
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- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Temple-Inland 8,467 $ 504
United States Steel (B) 25,700 1,346
Weyerhaeuser (B) 21,400 1,412
-----------
45,079
-----------
TELECOMMUNICATION SERVICES -- 3.1%
Alltel 49,600 2,812
AT&T (B) 175,600 3,213
BellSouth 393,317 10,549
CenturyTel 28,900 951
Crown Castle International (B)* 112,807 1,904
Nokia ADR (B)* 416,076 6,728
SBC Communications 456,044 11,478
Sprint (B)* 43,836 1,000
Telephone & Data Systems 5,300 411
Verizon Communications 362,737 14,956
Western Wireless, Cl A* 61,000 1,647
-----------
55,649
-----------
UTILITIES -- 2.4%
American Electric Power (B) 31,994 1,093
Centerpoint Energy 72,000 804
Constellation Energy Group 102,699 4,488
DTE Energy (B) 19,887 873
Duke Energy (B) 49,700 1,256
Edison International 129,408 4,128
Energy East 17,200 433
Entergy 20,299 1,316
Exelon 57,600 2,402
FirstEnergy 28,800 1,216
FPL Group (B) 7,900 556
KeySpan 22,800 901
National Fuel Gas (B) 20,441 576
Northeast Utilities 181,817 3,315
NSTAR 35,100 1,778
Oneok 113,822 3,178
Pepco Holdings 43,300 924
PG&E* 14,800 492
Pinnacle West Capital 31,500 1,392
PPL 12,003 624
Progress Energy (B) 27,100 1,190
Sempra Energy (B) 83,200 3,077
Texas Genco Holdings 22,900 1,073
TXU (B) 49,800 3,128
WGL Holdings 17,224 522
Wisconsin Energy 5,795 193
Xcel Energy (B) 111,800 2,019
-----------
42,947
-----------
Total Common Stock
(Cost $1,601,250) ($ Thousands) 1,717,960
-----------
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Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS (C)(E) -- 3.8%
FINANCIALS -- 3.7%
Allstate Life Global Funding MTN
2.090%, 11/14/05 $ 882 $ 882
Belford Funding MTN
2.140%, 02/02/05 3,526 3,526
Bradford & Bingley
2.196%, 01/07/05 2,222 2,221
CCN Bluegrass
2.207%, 08/18/05 2,645 2,645
CIT Group
1.870%, 12/01/04 2,116 2,116
Countrywide Home Loans MTN, Ser L
2.435%, 02/23/05 1,023 1,023
Countrywide Home Loans MTN, Ser M
2.471%, 08/26/05 1,058 1,058
2.429%, 05/20/05 705 705
2.030%, 06/23/05 1,411 1,410
Five Finance MTN
2.150%, 09/22/05 5,007 5,005
Harrier Finance Funding MTN, Ser 1
1.886%, 06/15/05 3,068 3,067
Irish Life & Permanent MTN, Ser X
2.155%, 12/22/05 3,279 3,279
Lakeside Funding
2.276%, 12/08/04 4,504 4,504
Liberty Light US Capital
2.075%, 01/14/05 1,763 1,763
2.070%, 02/09/05 1,763 1,763
Morgan Stanley, Ser EXL
2.039%, 12/04/05 705 705
Nationwide Building Society
1.953%, 10/28/05 1,763 1,763
Pacific Life Global Funding
2.090%, 11/14/05 2,645 2,645
Premium Asset Trust
2.170%, 12/15/05 4,937 4,937
SLM MTN, Cl X
2.150%, 12/20/05 6,171 6,171
Saturn Ventures
2.143%, 02/07/05 1,763 1,763
Sigma Finance MTN
1.989%, 01/04/05 2,116 2,116
U.S. Trust
2.212%, 09/12/05 3,526 3,526
Washington Mutual Bank
2.310%, 08/18/05 3,526 3,526
White Pine Finance
2.096%, 03/11/05 882 882
2.026%, 11/01/05 1,552 1,551
-----------
64,552
-----------
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SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 5
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS (Unaudited)
LARGE CAP FUND (Concluded)
November 30, 2004
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
INDUSTRIALS -- 0.1%
Caterpillar MTN, Ser F
2.180%, 07/11/05 $ 1,763 $ 1,763
-----------
Total Corporate Obligations
(Cost $66,315) ($ Thousands) 66,315
-----------
COMMERCIAL PAPER (C)(D) -- 2.1%
FINANCIALS -- 2.1%
Broadhollow Funding
2.111%, 12/06/04 2,645 2,644
CPI Funding
2.121%, 12/10/04 3,403 3,401
Golden Fish
2.307%, 01/18/05 2,124 2,118
2.172%, 12/17/04 1,030 1,029
2.162%, 12/14/04 1,240 1,239
2.031%, 12/08/04 603 602
Harwood Street Funding
2.137%, 12/15/04 5,452 5,448
Household Finance
2.142%, 12/15/04 4,408 4,404
Laguna
2.141%, 12/10/04 1,411 1,410
2.140%, 12/03/04 1,763 1,763
Main Street Warehouse
2.131%, 12/07/04 705 705
2.131%, 12/08/04 705 705
2.131%, 12/09/04 3,526 3,525
Thornburg Mortgage Capital
2.152%, 12/15/04 3,526 3,524
2.151%, 12/07/04 1,234 1,234
2.150%, 12/03/04 3,174 3,173
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Total Commercial Paper
(Cost $36,924) ($ Thousands) 36,924
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CASH EQUIVALENTS -- 2.0%
Bear Stearns Master Notes (C) 3,526,316 3,526
First Union Cash Management
Program 822,608 823
SEI Daily Income Trust,
Prime Obligation Fund, Cl A++ 32,007,049 32,007
-----------
Total Cash Equivalents
(Cost $36,356) ($ Thousands) 36,356
-----------
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Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (C) -- 1.6%
AUTOMOTIVE -- 0.1%
Drivetime Auto Owner Trust
2.148%, 11/15/05 (E) $ 744 $ 744
1.640%, 07/15/05 279 279
-----------
1,023
-----------
MORTGAGE RELATED SECURITIES (E) -- 1.5%
Aire Valley Mortgages
2.140%, 09/20/05 2,257 2,257
Blue Heron Funding
2.211%, 02/23/05 3,526 3,526
2.170%, 03/18/05 1,587 1,587
Cheyne High Grade
2.280%, 11/10/05 2,028 2,028
Commodore
1.970%, 12/12/38 1,058 1,058
Davis Square Funding
2.091%, 04/06/05 1,763 1,763
2.091%, 05/06/05 1,763 1,763
Duke Funding
2.115%, 04/08/05 1,763 1,763
Harwood
2.190%, 09/20/05 4,478 4,478
Orchid Structured Finance
2.410%, 05/18/05 3,870 3,870
RMAC
2.090%, 06/12/05 1,587 1,587
Whitehawk CDO Funding
1.710%, 06/15/05 882 882
-----------
26,562
-----------
Total Asset-Backed Securities
(Cost $27,585) ($ Thousands) 27,585
-----------
U.S. TREASURY OBLIGATION -- 0.3%
U.S. Treasury Bills (A)
1.775%, 02/24/05 4,000 3,980
-----------
Total U.S. Treasury Obligation
(Cost $3,984) ($ Thousands) 3,980
-----------
- --------------------------------------------------------------------------------
6 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (C) -- 2.1%
Barclays
2.070%, dated 11/30/04, to be
repurchased on 12/01/04,
repurchase price $7,809,651
(collateralized by various
U.S. Government Obligations,
ranging in par value $360,742-
$5,289,474, 1.625%-7.000%,
04/15/05-03/15/10; with total
market value $7,965,547) $ 7,809 $ 7,809
Lehman Brothers
2.070%, dated 11/30/04, to be
repurchased on 12/01/04,
repurchase price $2,292,237
(collateralized by various
U.S. Government Obligations,
ranging in par value $75,463-
$155,934, 0.000%-6.700%,
09/13/05-08/15/27; with total
market value $2,338,016) 2,292 2,292
UBS Paine Webber
2.070%, dated 11/30/04, to be
repurchased on 12/01/04,
repurchase price $28,917,451
(collateralized by various
U.S. Government Obligations,
ranging in par value $408,524-
$1,763,158, 0.000%-5.002%,
12/17/04-11/15/29; with total
market value $29,494,211) 28,916 28,916
-----------
Total Repurchase Agreements
(Cost $39,017) ($ Thousands) 39,017
-----------
Total Investments -- 108.6%
(Cost $1,811,431) ($ Thousands) 1,928,137
-----------
OTHER ASSETS AND LIABILITIES -- (8.6)%
Payable upon Return on Securities Loaned (173,367)
Payable for Capital Shares Redeemed (23,868)
Payable for Investment Securities Purchased (10,768)
Investment Advisory Fees Payable (374)
Trustees' Fees Payable (6)
Other Assets and Liabilities, Net 56,416
-----------
Total Other Assets and Liabilities (151,967)
-----------
Net Assets -- 100.0% $ 1,776,170
===========
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 2,030,094
Undistributed net investment income 8,300
Accumulated net realized loss on investments
and futures contracts (379,211)
Net unrealized appreciation on investments 116,706
Net unrealized appreciation on futures contracts 281
-----------
Net Assets $ 1,776,170
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($1,776,137,474 / 116,358,838 shares) $15.26
======
Net Asset Value, Offering and Redemption
Price Per Share -- Class T
($32,598 / 2,147 shares) $15.19
======
* Non-income producing security.
+ Real Estate Investment Trust
++ See Note 3 in Notes to Financial Statements.
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts. The rate reported is the effective yield at time of
purchase.
(B) This security or a partial position of this security is on loan at
November 30, 2004 (see Note 9). The total value of securities on loan at
November 30, 2004 was $167,850,545.
(C) This security was purchased with cash collateral held from securities
lending (see Note 9). The total value of such securities as of November
30, 2004 was $173,367,448.
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Statement of Net Assets
is the rate in effect as of November 30, 2004.
(F) Security considered illiquid. The total value of such securities as of
November 30, 2004 was $0 and represented 0.00% of Net Assets.
ADR -- American Depository Receipt
Cl -- Class
MTN -- Medium Term Note
Ser -- Series
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 7
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS (Unaudited)
LARGE CAP DISCIPLINED EQUITY FUND
November 30, 2004
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)**:
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
22.4% Financials
14.2% Information Technology
11.7% Health Care
11.2% Industrials
10.4% Consumer Discretionary
9.2% Consumer Staples
7.5% Energy
4.0% Short-Term Investments
3.1% Materials
2.6% Telecommunication Services
2.2% Utilities
1.3% Asset Backed
0.2% U.S. Treasury Obligations
** Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 97.3%
CONSUMER DISCRETIONARY -- 11.3%
Amazon.Com (B)* 8,232 $ 327
American Axle & Manufacturing
Holdings 22,897 668
Autoliv 40,579 1,897
Autozone (B)* 120,018 10,274
Barnes & Noble* 33,476 907
Bed Bath & Beyond* 26,041 1,040
Best Buy 25,403 1,432
Black & Decker 91,402 7,686
Blyth 1,448 42
Brinker International* 39,356 1,343
Brunswick 73,766 3,601
Carnival (B) 118,233 6,268
CEC Entertainment* 9,650 393
Centex 81,027 4,252
Circuit City Stores 43,700 681
Claire's Stores 18,215 371
Clear Channel Communications 155,800 5,247
Coach* 45,000 2,243
Comcast, Cl A* 102,818 3,089
Cooper Tire & Rubber 5,100 104
Dana 90,228 1,475
Darden Restaurants 361,632 9,858
Dillard's, Cl A 22,600 569
Dollar General (B) 147,727 2,918
Eastman Kodak 23,500 769
eBay (B)* 72,421 8,144
Electronics Boutique Holdings* 7,200 280
Federated Department Stores 266,983 14,631
Ford Motor (B) 975,757 13,836
Fortune Brands 47,610 3,736
Fox Entertainment Group, Cl A* 121,128 3,561
GameStop, Cl B* 13,650 290
Gannett 64,644 5,333
Gap 173,377 3,788
General Motors (B) 65,956 2,545
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Genuine Parts 60,125 $ 2,610
Goodyear Tire & Rubber (B)* 166,510 2,101
GTECH Holdings 69,597 1,681
Harley-Davidson 9,600 555
Harman International Industries 43,132 5,299
Harrah's Entertainment (B) 79,604 4,888
Hasbro 56,177 1,069
Hearst-Argyle Television 2,281 59
Hilton Hotels 5,118 106
Home Depot 882,358 36,838
International Game Technology (B) 91,306 3,228
JC Penney 433,905 16,749
Johnson Controls 44,939 2,759
Jones Apparel Group 105,100 3,734
KB Home 16,284 1,431
Kmart Holding* 6,900 710
Knight-Ridder 300 20
Leggett & Platt 14,000 418
Liberty Media, Cl A* 71,300 737
Limited 127,900 3,126
Liz Claiborne 25,700 1,056
Lowe's (B) 167,943 9,292
Marvel Enterprises* 10,300 190
May Department Stores 226,685 6,374
McDonald's 305,932 9,404
McGraw-Hill 86,252 7,567
Meredith 19,939 1,051
Michaels Stores 10,154 278
Nike, Cl B 20,044 1,697
Nordstrom 73,613 3,221
NVR (B)* 6,030 4,166
OfficeMax 12,400 375
Overstock.com* 3,300 235
Pacific Sunwear of California 99,200 2,203
Petco Animal Supplies* 1,111 40
Pulte Homes (B) 30,458 1,683
RadioShack 50,707 1,601
Reebok International 33,600 1,306
Regal Entertainment Group, Cl A 31,637 659
Rent-A-Center* 15,020 383
Ruby Tuesday 4,400 121
Sherwin-Williams 35,009 1,561
Snap-On 6,400 202
Standard-Pacific 15,300 857
Stanley Works 46,800 2,188
Staples 4,815 154
Starbucks (B)* 128,604 7,235
Starwood Hotels & Resorts
Worldwide 22,363 1,169
Target 79,422 4,068
Time Warner* 1,485,363 26,306
Toys "R" Us* 9,200 178
VF 18,248 985
- --------------------------------------------------------------------------------
8 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Viacom, Cl B 165,979 $ 5,759
Visteon 36,500 309
Walt Disney (B) 904,220 24,305
Wendy's International 9,851 351
Whirlpool 50,798 3,279
Yankee Candle* 28,800 877
Yum! Brands 9,509 432
-----------
344,833
-----------
CONSUMER STAPLES -- 9.9%
Adolph Coors, Cl B 18,900 1,416
Alberto-Culver 6,042 280
Albertson's (B) 32,634 826
Altria Group (B) 425,618 24,469
Anheuser-Busch 350,571 17,560
Archer-Daniels-Midland 808,971 17,150
Avon Products 42,642 1,601
Brown-Forman, Cl B 1,756 84
Clorox 76,353 4,208
Coca-Cola 695,233 27,330
Coca-Cola Enterprises 193,257 4,020
Colgate-Palmolive 162,909 7,492
ConAgra Foods 39,100 1,058
Costco Wholesale (B) 71,509 3,475
CVS 22,100 1,003
Del Monte Foods* 21,600 234
Gillette 420,457 18,286
Hershey Foods 13,066 677
HJ Heinz 6,900 256
Kellogg 38,435 1,680
Kimberly-Clark 119,794 7,620
Kroger* 147,454 2,386
McCormick 9,600 350
Pepsi Bottling Group (B) 374,822 10,502
PepsiAmericas 5,822 123
PepsiCo 355,275 17,732
Pilgrim's Pride (B) 39,179 1,312
Procter & Gamble 400,567 21,422
Reynolds American (B) 120,375 9,104
Safeway* 51,200 987
Sara Lee 492,917 11,574
Smithfield Foods* 11,000 319
Supervalu 282,173 8,914
Sysco (B) 41,400 1,439
Tyson Foods, Cl A 201,577 3,304
UST (B) 248,387 10,936
Wal-Mart Stores 1,121,241 58,372
Walgreen 50,003 1,909
Wild Oats Markets* 8,000 57
Wm. Wrigley Jr 40,423 2,781
-----------
304,248
-----------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ENERGY -- 8.2%
Amerada Hess (B) 48,800 $ 4,336
Anadarko Petroleum 133,421 9,286
Apache 133,284 7,205
Ashland (B) 36,927 2,184
Atwood Oceanics* 2,700 142
Baker Hughes (B) 179,609 7,962
BJ Services (B)* 12,900 654
Burlington Resources 42,448 1,970
CARBO Ceramics 3,200 249
ChevronTexaco 534,148 29,164
ConocoPhillips 365,130 33,223
Devon Energy 156,877 6,498
Diamond Offshore Drilling 36,700 1,375
EOG Resources (B) 17,700 1,329
Exxon Mobil 1,459,308 74,790
Halliburton 71,530 2,958
Kerr-McGee 11,767 732
Kinder Morgan 2,934 203
Marathon Oil (B) 246,811 9,734
Maverick Tube* 6,000 190
Noble* 9,800 475
Occidental Petroleum 332,590 20,025
Overseas Shipholding Group 3,275 215
Pogo Producing 35,005 1,768
Premcor* 6,277 280
Schlumberger 152,934 10,037
Sunoco 43,395 3,583
Todco* 4,400 77
Transocean* 23,200 934
Unit* 4,700 186
Universal Compression Holdings* 5,500 205
Unocal 15,700 723
Valero Energy (B) 347,397 16,255
Varco International (B)* 11,568 344
Williams (B) 18,200 303
-----------
249,594
-----------
FINANCIALS -- 19.3%
ACE (B) 270,000 10,913
Aflac 24,756 931
Allstate 420,768 21,249
American Capital Strategies (B) 8,925 285
American Express 149,546 8,331
American Financial Group 10,900 343
American International Group 785,422 49,756
AmSouth Bancorp 8,000 207
AON 15,900 336
Astoria Financial 3,082 128
Bank of America 1,414,858 65,465
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 9
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS (Unaudited)
LARGE CAP DISCIPLINED EQUITY FUND (Continued)
November 30, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Bank of New York 1,925 $ 63
BB&T (B) 77,300 3,281
Bear Stearns 11,350 1,108
Capital One Financial (B) 23,421 1,840
CapitalSource* 18,100 420
Chubb 8,300 633
Cincinnati Financial 3,855 173
CIT Group 22,923 980
Citigroup 1,851,382 82,849
Comerica 24,000 1,476
Countrywide Financial 470,870 15,638
Everest Re Group 18,663 1,573
Fannie Mae (B) 283,141 19,452
Federated Investors, Cl B 157,478 4,633
Fidelity National Financial 33,080 1,419
Fifth Third Bancorp 48,616 2,448
Franklin Resources 19,009 1,248
Freddie Mac 284,657 19,431
General Growth Properties+ 17,300 594
Genworth Financial, Cl A 33,500 881
Golden West Financial 21,171 2,524
Goldman Sachs Group (B) 167,223 17,518
Hartford Financial Services Group 39,864 2,551
HCC Insurance Holdings 16,221 538
Health Care+ 5,636 200
Huntington Bancshares 32,309 784
Independence Community Bank 6,947 295
Infinity Property & Casualty 12,400 459
JPMorgan Chase 784,104 29,521
Keycorp 74,065 2,466
LandAmerica Financial Group 4,200 224
Lehman Brothers Holdings 66,532 5,574
Lincoln National 24,557 1,130
Loews 39,000 2,726
Marsh & McLennan 37,485 1,072
Marshall & Ilsley 15,000 625
MBNA 353,955 9,401
Mellon Financial 12,075 353
Merrill Lynch 251,455 14,009
Metlife 79,609 3,105
MGIC Investment 27,300 1,856
Moody's 10,235 826
Morgan Stanley 420,562 21,344
National City 391,287 14,509
Nationwide Financial Services, Cl A 3,443 129
New York Community Bancorp 8,000 158
North Fork Bancorporation 41,437 1,193
Pan Pacific Retail Properties+ 3,083 183
Plum Creek Timber+ 4,500 166
PNC Financial Services Group 197,629 10,751
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Popular 7,477 $ 198
Progressive 16,524 1,504
Providian Financial* 46,400 745
Prudential Financial 7,349 360
Safeco (B) 60,774 2,946
Simon Property Group+ 59,679 3,705
SLM 23,300 1,192
St. Paul Travelers 23,480 857
State Street 1,000 45
SunTrust Banks 53,300 3,800
T Rowe Price Group 27,364 1,619
Torchmark 27,969 1,536
UnumProvident 154,400 2,404
US Bancorp 990,305 29,343
Wachovia 636,983 32,964
Washington Mutual 399,518 16,264
Wells Fargo 412,572 25,485
WR Berkley 22,772 1,033
XL Capital, Cl A 5,300 399
-----------
590,673
-----------
HEALTH CARE -- 12.6%
Abbott Laboratories 101,216 4,247
Aetna 35,012 4,149
American Pharmaceutical Partners* 1 --
AmerisourceBergen (B) 43,046 2,537
Amgen* 182,154 10,936
Applera - Applied Biosystems Group 34,000 697
Bausch & Lomb 56,910 3,351
Baxter International 5,200 165
Becton Dickinson 337,447 18,485
Biogen Idec (B)* 46,800 2,746
Biomet 29,800 1,426
Biosite* 3,300 184
Boston Scientific* 146,032 5,083
Bristol-Myers Squibb 169,713 3,988
Cardinal Health 171,760 8,980
Caremark Rx* 21,500 769
Celgene* 8,208 225
Cephalon* 13,906 661
Cigna 33,766 2,364
Coventry Health Care* 41,584 2,064
CR Bard 65,293 3,912
Edwards Lifesciences* 10,300 387
Eli Lilly 85,653 4,568
Express Scripts* 28,532 2,053
First Horizon Pharmaceutical* 19,900 389
Fisher Scientific International* 36,500 2,064
Forest Laboratories* 189,025 7,366
Genentech* 91,335 4,407
- --------------------------------------------------------------------------------
10 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Gilead Sciences* 12,070 $ 416
Guidant 39,867 2,585
HCA (B) 37,400 1,474
Hospira* 6,131 198
Humana* 93,058 2,310
Idexx Laboratories* 6,500 335
IMS Health 59,403 1,341
Invitrogen* 10,900 659
Johnson & Johnson 1,147,143 69,196
Kensey Nash* 3,400 106
Kindred Healthcare* 3,100 85
King Pharmaceuticals* 3,640 45
Laboratory of America Holdings* 9,800 470
Manor Care (B) 31,760 1,094
McKesson 55,146 1,630
Medco Health Solutions* 60,524 2,283
Medicis Pharmaceutical, Cl A 8,000 294
Medtronic 394,317 18,947
Merck 892,851 25,018
Millipore (B)* 48,617 2,369
Nu Skin Enterprises, Cl A 12,100 272
PerkinElmer 86,315 1,841
Pfizer 2,366,438 65,716
Pharmion* 8,000 339
Quest Diagnostics 11,900 1,116
Schering-Plough 47,700 851
Select Medical 7,700 134
St. Jude Medical* 38,644 1,474
Stryker 60,487 2,661
Thermo Electron* 81,964 2,479
United Therapeutics* 18,100 797
UnitedHealth Group 334,264 27,694
USANA Health Sciences* 19,500 579
Varian Medical Systems* 47,459 1,997
Ventana Medical Systems* 8,200 490
Waters* 47,801 2,230
Watson Pharmaceuticals* 11,900 346
WellPoint* 24,862 2,519
WellPoint Health Networks* 135,089 16,900
Wyeth 529,312 21,104
Zimmer Holdings* 63,295 5,165
-----------
385,762
-----------
INDUSTRIALS -- 12.0%
3M 287,811 22,907
Accenture, Cl A* 240,821 6,247
AGCO* 7,255 158
Alexander & Baldwin 2,896 122
American Standard (B)* 65,500 2,550
Apollo Group, Cl A (B)* 102,649 8,181
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Avery Dennison 11,200 $ 657
Boeing 131,918 7,067
Burlington Northern Santa Fe 226,831 10,216
Career Education* 3,753 146
Caterpillar 138,395 12,670
Cendant 936,375 21,228
Cintas 1,700 76
Cooper Industries, Cl A 55,343 3,670
Crane 5,553 168
Cummins 14,460 1,151
Danaher (B) 17,140 975
Deere 172,492 12,373
Deluxe 255,333 10,096
Eaton 64,379 4,339
Emerson Electric 84,523 5,648
Equifax 168,908 4,665
FedEx 154,369 14,670
General Dynamics 75,876 8,222
General Electric 2,080,139 73,554
Goodrich 93,893 2,981
H&R Block (B) 220,558 10,521
Honeywell International 92,153 3,256
Illinois Tool Works 45,821 4,318
Ingersoll-Rand, Cl A 46,885 3,489
ITT Industries 3,162 269
JB Hunt Transport Services 24,966 1,004
Lockheed Martin 214,587 13,055
Masco 139,691 4,927
Navistar International* 9,899 407
Norfolk Southern 93,765 3,219
Northrop Grumman 164,317 9,256
Paccar 55,309 4,320
Parker Hannifin 28,863 2,159
Raytheon 17,300 698
Reliance Steel & Aluminum 8,900 355
Robert Half International 4,984 135
Rockwell Automation 59,331 2,806
Rockwell Collins 74,733 2,979
RR Donnelley & Sons 31,900 1,107
Ryder System (B) 108,461 5,818
Southwest Airlines (B) 118,514 1,864
Swift Transportation* 5,600 109
Textron 41,200 2,992
Tyco International 762,160 25,890
Union Pacific 12,012 762
United Defense Industries* 27,848 1,261
United Parcel Service, Cl B (B) 169,706 14,281
United Technologies 106,095 10,353
W.W. Grainger 11,246 696
-----------
367,043
-----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 11
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS (Unaudited)
LARGE CAP DISCIPLINED EQUITY FUND (Continued)
November 30, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 15.4%
3Com* 192,647 $ 855
Adobe Systems 112,044 6,785
Advanced Micro Devices (B)* 62,862 1,338
Affiliated Computer Services, Cl A* 97,857 5,791
Agilent Technologies* 88,576 2,027
Amphenol, Cl A* 19,700 692
Andrew* 9,400 133
Apple Computer* 27,465 1,842
Applied Materials* 8,538 142
Autodesk (B) 126,614 8,282
Automatic Data Processing 45,053 2,051
Avaya (B)* 204,240 3,354
BMC Software (B)* 112,418 2,089
Broadcom, Cl A* 33,203 1,080
Cabot Microelectronics* 23,400 865
Cisco Systems (B)* 2,600,834 48,662
Citrix Systems* 23,100 545
Computer Associates International 33,657 1,028
Computer Sciences (B)* 62,378 3,375
Convergys* 131,189 1,951
Corning (B)* 301,500 3,793
Cree* 62,700 2,243
Dell* 446,767 18,103
Earthlink* 43,500 472
Electronic Arts (B)* 17,006 832
EMC* 1,070,383 14,365
First Data 75,203 3,090
Google, Cl A (B)* 5,541 1,014
Harris 39,603 2,621
Hewlett-Packard 1,064,080 21,282
Ingram Micro, Cl A* 11,420 220
Intel 1,651,235 36,905
International Business Machines 583,348 54,975
Internet Security Systems* 14,800 358
Intuit* 124,816 5,222
Lexmark International, Cl A* 16,430 1,395
Linear Technology 121,260 4,627
Lucent Technologies (B)* 326,587 1,283
Maxim Integrated Products 32,300 1,323
Mercury Interactive* 3,200 146
Micron Technology (B)* 623,649 6,910
Microsoft (B) 2,430,418 65,159
Motorola 1,371,468 26,414
National Semiconductor* 50,478 780
NCR* 61,000 3,644
Network Appliance* 80,400 2,425
Nvidia (B)* 115,525 2,210
Oracle* 1,100,156 13,928
Paychex 12,000 398
Pegasus Solutions* 11,400 133
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Peoplesoft (B)* 21,697 $ 512
Polycom* 55,293 1,263
Qualcomm 357,987 14,899
Sabre Holdings, Cl A 188,452 4,349
Sanmina-SCI* 89,931 794
Scientific-Atlanta 98,608 2,921
Siebel Systems (B)* 36,901 372
Sigmatel* 21,200 759
Skyworks Solutions* 32,600 324
Sun Microsystems* 761,315 4,225
Sungard Data Systems* 138,621 3,675
Symantec* 62,717 4,002
Symbol Technologies 3,709 56
Synopsys* 50,663 893
Tech Data* 9,600 436
Tektronix 41,444 1,300
Texas Instruments 830,017 20,070
Unisys* 32,715 376
VeriSign* 44,279 1,457
Wind River Systems* 13,100 158
Xerox (B)* 257,766 3,949
Yahoo! (B)* 369,489 13,900
-----------
469,847
-----------
MATERIALS -- 3.4%
Alcoa 44,682 1,518
Allegheny Technologies 49,300 1,085
Ball 62,840 2,811
Bemis 24,100 671
Dow Chemical 480,070 24,229
E.I. Du Pont de Nemours 106,741 4,837
Eastman Chemical 111,540 6,066
Ecolab 10,426 365
Engelhard 12,771 382
Freeport-McMoRan Copper & Gold,
Cl B (B) 23,635 925
Georgia-Pacific (B) 342,270 12,531
Great Lakes Chemical 5,000 146
Hercules* 10,200 152
International Flavors & Fragrances 38,408 1,556
Louisiana-Pacific 266,649 6,525
MacDermid 3,400 125
MeadWestvaco 11,170 376
Monsanto 105,870 4,872
Mosaic* 26,500 461
Newmont Mining 5,576 264
Nucor (B) 129,164 6,833
OM Group* 9,400 289
Pactiv* 41,141 1,022
Phelps Dodge (B) 105,119 10,210
PPG Industries 18,015 1,215
- --------------------------------------------------------------------------------
12 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Praxair 5,280 $ 237
Sigma-Aldrich 22,275 1,330
Temple-Inland 28,300 1,686
United States Steel (B) 158,652 8,307
Valspar 18,573 896
Vulcan Materials 2,200 114
Weyerhaeuser 8,900 587
Worthington Industries 43,000 925
-----------
103,548
-----------
TELECOMMUNICATION SERVICES -- 2.8%
Alltel 28,900 1,638
Amdocs* 58,922 1,523
AT&T (B) 223,536 4,091
BellSouth 610,391 16,371
CenturyTel 84,100 2,769
Citizens Communications 37,900 542
Nextel Communications, Cl A* 536,949 15,281
SBC Communications (B) 344,195 8,663
Sprint (B)* 224,957 5,131
Verizon Communications 748,798 30,873
Western Wireless, Cl A* 9,400 254
-----------
87,136
-----------
UTILITIES -- 2.4%
AES* 5,600 68
Allegheny Energy (B)* 64,800 1,240
American Electric Power 2,800 96
CMS Energy* 78,800 804
Constellation Energy Group 97,837 4,275
Dominion Resources 17,700 1,159
DTE Energy (B) 15,700 689
Duke Energy (B) 6,800 172
Edison International (B) 418,737 13,358
Energy East 4,959 125
Entergy 87,600 5,678
Exelon 324,512 13,535
FirstEnergy 22,600 954
FPL Group 2,300 162
NiSource 93,978 2,048
NSTAR 4,876 247
PG&E* 201,505 6,702
Pinnacle West Capital 3,300 146
Progress Energy 52,300 2,296
Sempra Energy (B) 76,890 2,843
Southern 20,940 687
TXU (B) 230,511 14,481
Xcel Energy (B) 96,941 1,751
-----------
73,516
-----------
Total Common Stock
(Cost $2,747,830) ($ Thousands) 2,976,200
-----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS (C)(E) -- 3.2%
FINANCIALS -- 3.1%
Allstate Life Global Funding MTN
2.090%, 11/14/05 $ 1,313 $ 1,313
Belford Funding MTN
2.140%, 02/02/05 5,253 5,253
Bradford & Bingley
2.196%, 01/07/05 3,309 3,309
CCN Bluegrass
2.207%, 08/18/05 3,940 3,940
CIT Group
1.870%, 12/01/04 3,152 3,152
Countrywide Home Loans MTN, Ser L
2.435%, 02/23/05 1,523 1,523
Countrywide Home Loans MTN, Ser M
2.471%, 08/26/05 1,576 1,576
2.429%, 05/20/05 1,051 1,051
2.030%, 06/23/05 2,101 2,101
Five Finance MTN
2.150%, 09/22/05 7,459 7,456
Harrier Finance Funding MTN, Ser 1
1.886%, 06/15/05 4,570 4,569
Irish Life & Permanent MTN, Ser X
2.155%, 12/22/05 4,885 4,885
Lakeside Funding
2.276%, 12/08/04 6,709 6,709
Liberty Light US Capital
2.075%, 01/14/05 2,627 2,627
2.070%, 02/09/05 2,627 2,626
Morgan Stanley, Ser EXL
2.039%, 12/04/05 1,051 1,051
Nationwide Building Society
1.953%, 10/28/05 2,627 2,627
Pacific Life Global Funding
2.090%, 11/14/05 3,940 3,940
Premium Asset Trust
2.170%, 12/15/05 7,354 7,354
SLM MTN, Cl X
2.150%, 12/20/05 9,193 9,193
Saturn Ventures
2.143%, 02/07/05 2,627 2,626
Sigma Finance MTN
1.989%, 01/04/05 3,152 3,152
U.S. Trust
2.212%, 09/12/05 5,253 5,253
Washington Mutual Bank
2.310%, 08/18/05 5,253 5,253
White Pine Finance
2.096%, 03/11/05 1,313 1,313
2.026%, 11/01/05 2,311 2,311
-----------
96,163
-----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 13
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS (Unaudited)
LARGE CAP DISCIPLINED EQUITY FUND (Concluded)
November 30, 2004
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
INDUSTRIALS -- 0.1%
Caterpillar MTN, Ser F
2.180%, 07/11/05 $ 2,626 $ 2,626
-----------
Total Corporate Obligations
(Cost $98,789) ($ Thousands) 98,789
-----------
CASH EQUIVALENTS -- 2.4%
Bear Stearns Master Notes (C) 5,253,132 5,253
First Union Cash Management
Program 1,190,696 1,191
SEI Daily Income Trust,
Prime Obligation Fund, Cl A++ 68,243,612 68,244
-----------
Total Cash Equivalents
(Cost $74,688) ($ Thousands) 74,688
-----------
COMMERCIAL PAPER (C)(D) -- 1.8%
FINANCIALS -- 1.8%
Broadhollow Funding
2.111%, 12/06/04 3,940 3,939
CPI Funding
2.121%, 12/10/04 5,070 5,067
Golden Fish
2.307%, 01/18/05 3,165 3,155
2.172%, 12/17/04 1,535 1,533
2.162%, 12/14/04 1,848 1,846
2.031%, 12/08/04 898 897
Harwood Street Funding
2.137%, 12/15/04 8,122 8,116
Household Finance
2.142%, 12/15/04 6,566 6,561
Laguna
2.141%, 12/10/04 2,101 2,100
2.140%, 12/03/04 2,627 2,626
Main Street Warehouse
2.131%, 12/07/04 1,051 1,050
2.131%, 12/08/04 1,051 1,050
2.131%, 12/09/04 5,253 5,251
Thornburg Mortgage Capital
2.152%, 12/15/04 5,253 5,249
2.151%, 12/07/04 1,839 1,838
2.150%, 12/03/04 4,728 4,727
-----------
Total Commercial Paper
(Cost $55,005) ($ Thousands) 55,005
-----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (C) -- 1.3%
AUTOMOTIVE -- 0.0%
Drivetime Auto Owner Trust
2.148%, 11/15/05 (E) $ 1,110 $ 1,110
1.640%, 07/15/05 415 415
-----------
1,525
-----------
MORTGAGE RELATED SECURITIES (E) -- 1.3%
Aire Valley Mortgages
2.140%, 09/20/05 3,362 3,362
Blue Heron Funding
2.211%, 02/23/05 5,253 5,253
2.170%, 03/18/05 2,364 2,364
Cheyne High Grade
2.280%, 11/10/05 3,020 3,020
Commodore
1.970%, 12/12/38 1,576 1,576
Davis Square Funding
2.091%, 04/06/05 2,627 2,627
2.091%, 05/06/05 2,627 2,627
Duke Funding
2.115%, 04/08/05 2,627 2,627
Harwood
2.190%, 09/20/05 6,671 6,671
Orchid Structured Finance
2.410%, 05/18/05 5,764 5,764
RMAC
2.090%, 06/12/05 2,364 2,364
Whitehawk CDO Funding
1.710%, 06/15/05 1,313 1,313
-----------
39,568
-----------
Total Asset-Backed Securities
(Cost $41,093) ($ Thousands) 41,093
-----------
U.S. TREASURY OBLIGATIONS -- 0.3%
U.S. Treasury Bills (A)
1.821%, 02/24/05 6,775 6,741
1.686%, 12/23/04 450 449
1.654%, 12/16/04 300 300
-----------
Total U.S. Treasury Obligations
(Cost $7,496) ($ Thousands) 7,490
-----------
- --------------------------------------------------------------------------------
14 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (C) -- 1.9%
Barclays
2.070%, dated 11/30/04, to be
repurchased on 12/01/04,
repurchase price $11,633,993
(collateralized by various
U.S. Government Obligations,
ranging in par value $537,395-
$7,879,698, 1.625%-7.000%,
04/15/05-03/15/10; with total
market value $11,866,230) $11,633 $ 11,633
Lehman Brothers
2.070%, dated 11/30/04, to be
repurchased on 12/01/04,
repurchase price $3,414,732
(collateralized by various
U.S. Government Obligations,
ranging in par value $112,417-
$232,294, 0.000%-6.700%,
09/13/05-08/15/27; with total
market value $3,482,928) 3,415 3,415
UBS Paine Webber
2.070%, dated 11/30/04, to be
repurchased on 12/01/04,
repurchase price $43,078,160
(collateralized by various
U.S. Government Obligations,
ranging in par value $608,575-
$2,626,566, 0.000%-5.002%,
12/17/04-11/15/29; with total
market value $43,937,357) 43,076 43,076
-----------
Total Repurchase Agreements
(Cost $58,124) ($ Thousands) 58,124
-----------
Total Investments -- 108.2%
(Cost $3,083,025) ($ Thousands) 3,311,389
-----------
OTHER ASSETS AND LIABILITIES -- (8.2)%
Payable upon Return on Securities Loaned (258,264)
Payable for Investment Securities Purchased (30,077)
Payable for Capital Shares Redeemed (6,340)
Investment Advisory Fees Payable (715)
Trustees' Fees Payable (10)
Other Assets and Liabilities, Net 44,529
-----------
Total Other Assets and Liabilities (250,877)
-----------
Net Assets -- 100.0% $ 3,060,512
===========
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 2,823,074
Undistributed net investment income 14,110
Accumulated net realized loss on investments
and futures contracts (8,689)
Net unrealized appreciation on investments 228,364
Net unrealized appreciation on futures contracts 3,653
-----------
Net Assets $ 3,060,512
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($3,060,511,781 / 25,930,567 shares) $118.03
=======
* Non-income producing security.
+ Real Estate Investment Trust
++ See Note 3 in Notes to Financial Statements.
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts. The rate reported is the effective yield at time of
purchase.
(B) This security or a partial position of this security is on loan at
November 30, 2004 (see Note 9). The total value of securities on loan at
November 30, 2004 was $250,660,640.
(C) This security was purchased with cash collateral held from securities
lending (see Note 9). The total value of such securities as of November
30, 2004 was $258,264,487.
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Statement of Net Assets
is the rate in effect as of November 30, 2004.
Cl -- Class
MTN -- Medium Term Note
Ser -- Series
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 15
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS (Unaudited)
LARGE CAP INDEX FUND
November 30, 2004
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)**:
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
25.9% Financials
13.7% Information Technology
11.0% Health Care
10.5% Consumer Discretionary
9.5% Industrials
7.8% Consumer Staples
6.1% Energy
4.9% Short-Term Investments
2.8% Materials
2.8% Utilities
2.7% Telecommunication Services
2.1% Asset-Backed Securities
0.2% U.S. Treasury Obligations
** Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 98.4%
CONSUMER DISCRETIONARY -- 12.2%
7-Eleven* 577 $ 14
Abercrombie & Fitch, Cl A 2,544 116
Advance Auto Parts* 1,992 82
Amazon.Com (B)* 7,726 307
American Axle & Manufacturing
Holdings 1,157 34
American Eagle Outfitters* 1,425 60
AnnTaylor Stores* 1,847 41
Applebees International (B) 2,175 56
Autoliv 2,483 116
Autonation* 4,490 83
Autozone* 1,448 124
Barnes & Noble* 1,422 38
Bed Bath & Beyond* 7,817 312
Belo, Cl A 2,660 67
Best Buy 7,000 395
Big Lots* 2,988 35
Black & Decker 2,069 174
Blockbuster, Cl A 4,725 40
Borders Group 2,009 46
BorgWarner 1,422 71
Brinker International* 2,310 79
Brunswick 2,484 121
Cabela's, Cl A (B)* 211 5
Cablevision Systems, Cl A* 4,492 96
Caesars Entertainment* 8,228 155
Carmax* 2,619 73
Centex 3,293 173
Cheesecake Factory (B)* 1,364 67
Chico's FAS (B)* 2,402 93
Choice Hotels International 522 27
Circuit City Stores 5,249 82
Citadel Broadcasting* 1,300 20
Claire's Stores 2,327 47
Clear Channel Communications 13,090 441
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Coach* 4,881 $ 243
Columbia Sportswear (B)* 438 25
Comcast, Cl A* 56,092 1,685
COX Communications, Cl A* 6,039 209
COX Radio, Cl A* 916 15
Dana 4,058 66
Darden Restaurants 4,118 112
Delphi 12,843 116
Dex Media* 1,263 30
Dillard's, Cl A 1,675 42
DIRECTV Group* 16,929 271
Dollar General 7,622 151
Dollar Tree Stores* 2,874 80
Dow Jones 1,547 66
DR Horton (B) 6,037 213
E.W. Scripps, Cl A 1,628 76
Eastman Kodak 7,608 249
eBay (B)* 13,599 1,529
EchoStar Communications, Cl A* 6,024 198
Entercom Communications* 982 35
Family Dollar Stores 3,872 113
Federated Department Stores 4,687 257
Foot Locker 4,012 104
Ford Motor (B) 46,381 658
Fortune Brands 3,804 299
Fossil* 1,098 30
Fox Entertainment Group, Cl A* 5,016 147
Gannett 6,734 555
Gap 16,416 359
Gemstar-TV Guide International* 6,756 37
General Motors (B) 12,081 466
Gentex (B) 1,966 64
Genuine Parts 4,645 202
Getty Images (B)* 1,183 69
GTECH Holdings 3,078 74
Harley-Davidson 7,699 445
Harman International Industries 1,568 193
Harrah's Entertainment (B) 2,977 183
Harte-Hanks 1,489 38
Hasbro 3,967 75
Hearst-Argyle Television 863 22
Hilton Hotels 9,927 205
Home Depot 58,756 2,453
Hovnanian Enterprises, Cl A (B)* 932 38
IAC/InterActive* 8,786 217
International Game Technology (B) 9,239 327
International Speedway, Cl A 912 45
Interpublic Group (B)* 11,236 139
JC Penney 6,457 249
John Wiley & Sons, Cl A 1,242 41
Johnson Controls 5,030 309
Jones Apparel Group 3,394 121
KB Home 944 83
- --------------------------------------------------------------------------------
16 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Kmart Holding (B)* 1,211 $ 125
Knight-Ridder 2,106 143
Kohl's* 7,820 361
Lamar Advertising, Cl A* 2,140 84
Lear 1,825 106
Lee Enterprises 1,187 57
Leggett & Platt 5,136 153
Lennar, Cl A (B) 3,522 158
Liberty Media International, Cl A (B)* 4,326 186
Liberty Media, Cl A* 71,072 734
Limited (B) 10,976 268
Liz Claiborne 2,982 122
Lowe's (B) 20,576 1,138
Mandalay Resort Group 1,809 126
Marriott International, Cl A 5,104 290
Marvel Enterprises (B)* 1,806 33
Mattel 11,237 213
May Department Stores 7,707 217
Maytag (B) 2,001 40
McClatchy, Cl A 474 33
McDonald's 32,946 1,013
McGraw-Hill 5,058 444
MDC Holdings 628 48
Media General, Cl A 601 37
Meredith 966 51
Metro-Goldwyn-Mayer 1,609 19
MGM Mirage* 1,577 92
Michaels Stores 3,502 96
Mohawk Industries* 1,339 117
MSC Industrial Direct, Cl A 844 30
Neiman-Marcus Group, Cl A 1,125 73
New York Times, Cl A 3,902 160
Newell Rubbermaid 7,103 164
Nike, Cl B 4,254 360
Nordstrom 2,901 127
NTL* 1,782 124
NVR (B)* 140 97
O'Reilly Automotive (B)* 1,253 55
Office Depot* 8,267 136
OfficeMax 2,305 70
Omnicom Group 4,997 405
Outback Steakhouse 1,717 74
Pacific Sunwear of California 2,085 46
Petco Animal Supplies* 1,125 41
Petsmart (B) 3,701 127
Pier 1 Imports 2,316 42
Polaris Industries 1,080 71
Polo Ralph Lauren 1,046 41
Pulte Homes (B) 2,808 155
Radio One, Cl D* 2,020 28
RadioShack 4,223 133
Reebok International 1,387 54
Regal Entertainment Group, Cl A 1,188 25
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Regis 1,185 $ 53
Rent-A-Center* 1,780 45
Ross Stores 4,063 109
Ruby Tuesday 1,765 49
Ryland Group 603 61
Saks 3,536 49
Sears Roebuck 5,639 293
Sherwin-Williams 3,073 137
Sirius Satellite Radio (B)* 32,524 216
Snap-On 1,491 47
Standard-Pacific 917 51
Stanley Works 1,822 85
Staples 12,961 414
Starbucks (B)* 10,455 588
Starwood Hotels & Resorts Worldwide 5,376 281
Station Casinos 1,118 64
Talbots 413 12
Target 23,899 1,224
Tiffany (B) 3,781 116
Timberland, Cl A* 573 36
Time Warner (B)* 114,922 2,035
TJX 13,146 309
Toll Brothers* 1,292 66
Toys "R" Us* 5,492 106
Tribune 6,584 286
TRW Automotive Holdings* 600 13
UnitedGlobalCom, Cl A* 9,177 76
Univision Communications, Cl A (B)* 6,130 184
Urban Outfitters* 1,200 51
VF 2,274 123
Viacom, Cl B 39,369 1,366
Walt Disney 53,735 1,444
Washington Post, Cl B 147 138
Wendy's International 2,927 104
Westwood One* 1,983 44
Whirlpool 1,830 118
Williams-Sonoma (B)* 2,421 89
Wynn Resorts (B)* 862 50
XM Satellite Radio Holdings,
Cl A (B)* 4,125 152
Yum! Brands 7,660 348
---------
37,892
---------
CONSUMER STAPLES -- 9.0%
Adolph Coors, Cl B 695 52
Alberto-Culver 1,824 84
Albertson's (B) 9,553 242
Altria Group (B) 53,759 3,091
Anheuser-Busch 21,164 1,060
Aramark, Cl B 2,678 70
Archer-Daniels-Midland 15,137 321
Avon Products 12,317 462
BJ's Wholesale Club* 1,872 56
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 17
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS (Unaudited)
LARGE CAP INDEX FUND (Continued)
November 30, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Brown-Forman, Cl B 1,464 $ 70
Campbell Soup 6,139 175
Church & Dwight 1,632 51
Clorox 3,979 219
Coca-Cola 55,270 2,173
Coca-Cola Enterprises 6,205 129
Colgate-Palmolive 13,903 639
ConAgra Foods 13,955 378
Constellation Brands, Cl A* 2,334 104
Costco Wholesale (B) 12,105 588
CVS 10,492 476
Dean Foods* 3,878 123
Del Monte Foods* 4,825 52
Energizer Holdings (B)* 2,140 100
Estee Lauder, Cl A 2,877 126
General Mills 7,551 344
Gillette 26,259 1,142
Hershey Foods 4,592 238
HJ Heinz 9,171 341
Hormel Foods 1,939 59
JM Smucker 1,457 66
Kellogg 6,460 282
Kimberly-Clark 13,203 840
Kraft Foods, Cl A (B) 6,921 237
Kroger* 19,195 311
Loews--Carolina Group 1,511 44
McCormick 3,539 129
NBTY* 1,511 39
Pepsi Bottling Group 4,098 115
PepsiAmericas 1,912 40
PepsiCo 44,732 2,233
Pilgrim's Pride (B) 351 12
Procter & Gamble 67,394 3,604
Reynolds American (B) 3,976 301
Rite Aid* 11,114 41
Safeway* 11,832 228
Sara Lee 20,615 484
Smithfield Foods* 2,275 66
Supervalu 3,646 115
Sysco (B) 16,864 586
Tootsie Roll Industries 607 19
Tyson Foods, Cl A 5,884 96
UST (B) 4,283 189
Wal-Mart Stores (B) 67,240 3,501
Walgreen 26,805 1,023
Whole Foods Market 1,593 145
Wm. Wrigley Jr 4,159 286
---------
27,997
---------
ENERGY -- 7.0%
Amerada Hess 2,035 181
Anadarko Petroleum 6,652 463
Apache 8,589 464
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Ashland 1,813 $ 107
Baker Hughes (B) 8,675 385
BJ Services (B)* 4,171 211
Burlington Resources 10,349 480
Chesapeake Energy (B) 6,852 123
ChevronTexaco 56,099 3,063
ConocoPhillips 17,962 1,634
Cooper Cameron* 1,400 73
Devon Energy 12,510 518
Diamond Offshore Drilling (B) 1,595 60
El Paso* 16,754 175
ENSCO International 3,882 122
EOG Resources 3,098 233
Exxon Mobil 171,547 8,792
FMC Technologies* 1,780 59
Grant Prideco* 3,347 72
Halliburton 11,624 481
Kerr-McGee (B) 3,520 219
Kinder Morgan 2,554 177
Marathon Oil 8,991 355
Murphy Oil (B) 2,151 184
National-Oilwell (B)* 2,235 81
Newfield Exploration* 1,681 106
Noble Energy 1,480 94
NRG Energy* 2,069 66
Occidental Petroleum 10,315 621
Patina Oil & Gas 1,902 63
Patterson-UTI Energy (B) 4,357 87
Pioneer Natural Resources 3,851 136
Pogo Producing 1,669 84
Premcor* 1,048 47
Pride International (B)* 2,881 56
Rowan (B)* 2,759 71
Smith International (B)* 2,698 163
Sunoco 2,019 167
Tidewater 1,642 56
Unocal 6,981 321
Valero Energy 6,819 319
Varco International* 2,589 77
Western Gas Resources 1,449 45
Williams 14,784 246
XTO Energy 6,794 247
---------
21,784
---------
FINANCIALS -- 21.1%
A.G. Edwards 2,109 82
Aflac 13,274 499
Alleghany* 126 36
Allied Capital (B) 3,486 96
Allmerica Financial* 1,453 47
Allstate 18,377 928
AMB Property+ 2,144 86
AMBAC Financial Group 2,812 229
- --------------------------------------------------------------------------------
18 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
American Capital Strategies (B) 2,343 $ 75
American Express (B) 29,553 1,646
American Financial Group 915 29
American International Group 60,246 3,817
American National Insurance 222 23
AmeriCredit* 4,028 84
Ameritrade Holding* 6,243 87
AmSouth Bancorp 9,148 237
Annaly Mortgage Management (B)+ 3,111 62
AON 8,174 173
Apartment Investment & Management,
Cl A+ 2,441 89
Archstone-Smith Trust+ 5,064 185
Arden Realty+ 1,731 62
Arthur J Gallagher 2,468 76
Associated Banc (B) 3,432 114
Assurant 2,000 60
Astoria Financial 2,028 84
AvalonBay Communities+ 1,840 131
Bank of America 106,927 4,948
Bank of Hawaii 1,456 71
Bank of New York 20,495 674
Banknorth Group 4,453 160
BB&T (B) 14,626 621
Bear Stearns 2,782 271
BlackRock, Cl A 485 36
BOK Financial* 475 23
Boston Properties+ 2,183 131
BRE Properties, Cl A+ 1,320 54
Brown & Brown 1,412 57
Camden Property Trust+ 1,056 52
Capital One Financial 6,256 492
CapitalSource (B)* 1,787 41
Capitol Federal Financial 527 19
Catellus Development+ 2,709 85
CBL & Associates Properties+ 603 44
Centerpoint Properties Trust+ 1,166 55
Charles Schwab 25,889 279
Chicago Mercantile Exchange (B) 882 173
Chubb 5,013 382
Cincinnati Financial 3,963 178
CIT Group 5,626 241
Citigroup 135,629 6,069
City National 1,098 75
CNA Financial* 745 19
Colonial BancGroup (B) 3,647 77
Comerica 4,587 282
Commerce Bancorp (B) 1,769 111
Commerce Bancshares 1,663 81
Compass Bancshares 3,162 147
Conseco* 3,877 74
Countrywide Financial 14,586 484
Crescent Real Estate Equity+ 2,004 36
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cullen/Frost Bankers 1,409 $ 68
Developers Diversified Realty+ 2,668 115
Doral Financial 2,226 103
Duke Realty+ 3,658 126
E*Trade Financial* 9,392 130
Eaton Vance 1,849 89
Equity Office Properties Trust+ 10,500 288
Equity Residential+ 7,276 245
Erie Indemnity, Cl A 747 39
Fannie Mae (B) 25,384 1,744
Federal Realty Investment Trust+ 1,375 69
Federated Investors, Cl B 2,158 63
Fidelity National Financial 4,159 178
Fifth Third Bancorp 12,665 638
First American 2,055 68
First Horizon National 3,312 145
First Marblehead* 405 23
FirstMerit (B) 2,232 61
Forest City Enterprises, Cl A 784 42
Franklin Resources 4,146 272
Freddie Mac 18,020 1,230
Fremont General 1,743 41
Friedman Billings Ramsey
Group, Cl A+ 3,635 70
Fulton Financial 3,197 72
General Growth Properties+ 5,798 199
Genworth Financial, Cl A (B) 3,700 97
Golden West Financial 3,294 393
Goldman Sachs Group 8,556 896
Hartford Financial Services Group (B) 7,709 493
HCC Insurance Holdings 1,735 58
Health Care Property Investors+ 3,489 94
Health Care+ 1,383 49
Hibernia, Cl A 3,985 115
Hospitality Properties Trust (B)+ 1,766 79
Host Marriott+* 8,936 140
HRPT Properties Trust+ 4,641 56
Hudson City Bancorp 1,681 68
Hudson United Bancorp 1,222 50
Huntington Bancshares 5,924 144
Independence Community Bank 2,152 91
IndyMac Bancorp 1,599 52
Instinet Group* 3,479 21
International Bancshares 949 38
Investors Financial Services 1,755 77
iStar Financial+ 2,954 130
Janus Capital Group 6,120 101
Jefferies Group 1,357 55
Jefferson-Pilot 3,722 183
JPMorgan Chase 93,418 3,517
Keycorp 10,685 356
Kimco Realty+ 2,503 142
Legg Mason 2,570 175
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 19
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS (Unaudited)
LARGE CAP INDEX FUND (Continued)
November 30, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers Holdings 7,301 $ 612
Leucadia National* 1,397 88
Liberty Property Trust (B)+ 2,155 88
Lincoln National 4,520 208
Loews 3,944 276
M&T Bank 2,007 212
Macerich+ 1,544 94
Mack-Cali Realty+ 1,598 70
Markel* 228 73
Marsh & McLennan 13,665 391
Marshall & Ilsley 5,768 240
MBIA (B) 3,746 225
MBNA 29,691 789
Mellon Financial 11,050 323
Mercantile Bankshares 2,024 104
Mercury General 696 39
Merrill Lynch 25,086 1,398
Metlife 10,615 414
MGIC Investment (B) 2,558 174
Mills+ 1,412 84
MoneyGram International* 2,406 51
Moody's 3,333 269
Morgan Stanley 28,783 1,461
National City 15,514 575
Nationwide Financial Services, Cl A 1,461 55
New Plan Excel Realty Trust+ 2,695 71
New York Community Bancorp (B) 6,826 135
NewAlliance Bancshares* 2,493 37
North Fork Bancorporation 11,317 326
Northern Trust 5,067 238
Nuveen Investments, Cl A 499 18
Odyssey Re Holdings (B) 384 9
Old Republic International 4,791 120
Pan Pacific Retail Properties+ 1,011 60
Peoples Bank Bridgeport 1,059 42
Plum Creek Timber+ 4,889 181
PMI Group 2,456 101
PNC Financial Services Group 7,350 400
Popular 6,886 182
Principal Financial Group 8,302 313
Progressive 5,286 481
Prologis 4,693 189
Protective Life 1,809 76
Providian Financial* 7,745 124
Prudential Financial 13,916 681
Public Storage+ 2,106 112
Radian Group 2,526 129
Raymond James Financial 1,719 51
Rayonier+ 1,342 64
Reckson Associates Realty+ 2,091 68
Regency Centers+ 1,590 83
Regions Financial 12,135 425
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Reinsurance Group of America 799 $ 37
Safeco (B) 3,390 164
SEI Investments (F) 1,723 67
Shurgard Storage Centers, Cl A+ 1,246 52
Simon Property Group+ 4,383 272
Sky Financial Group 2,605 75
SL Green Realty+ 1,032 59
SLM (B) 11,578 592
South Financial Group 1,800 57
Sovereign Bancorp 8,880 194
St. Joe 1,444 79
St. Paul Travelers 17,588 642
Stancorp Financial Group 796 63
State Street 8,755 390
Student Loan 102 18
SunTrust Banks 8,641 616
Synovus Financial 8,099 219
T Rowe Price Group 2,809 166
TCF Financial 3,626 112
Thornburg Mortgage (B)+ 2,443 70
Torchmark 2,971 163
Transatlantic Holdings 655 38
Trizec Properties+ 2,349 39
UCBH Holdings 1,211 55
UnionBanCal 1,447 89
United Dominion Realty Trust+ 3,249 75
Unitrin 1,260 60
UnumProvident (B) 7,743 121
US Bancorp 49,630 1,471
Valley National Bancorp 2,559 72
Ventas+ 2,210 60
Vornado Realty Trust+ 2,520 185
W Holding 1,967 43
Wachovia 42,212 2,184
Waddell & Reed Financial, Cl A 2,170 49
Washington Federal 2,058 56
Washington Mutual 22,777 927
Webster Financial 1,323 66
Weingarten Realty Investors+ 1,911 78
Wells Fargo 44,231 2,732
Wesco Financial 41 16
Westcorp 532 22
WFS Financial* 207 10
Whitney Holding 1,014 47
Wilmington Trust 1,663 60
WR Berkley 1,828 83
Zions Bancorporation 2,312 154
---------
65,295
---------
HEALTH CARE -- 12.7%
Abbott Laboratories 40,853 1,714
Accredo Health (B)* 1,167 32
Aetna 4,023 477
- --------------------------------------------------------------------------------
20 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Affymetrix (B)* 1,499 $ 51
Allergan 3,413 251
American Pharmaceutical
Partners (B)* 436 13
AmerisourceBergen 2,903 171
Amgen* 33,948 2,038
Amylin Pharmaceuticals (B)* 2,423 49
Andrx* 1,901 34
Applera - Applied Biosystems Group 5,435 111
Barr Pharmaceuticals* 2,257 88
Bausch & Lomb 1,368 81
Baxter International 16,151 511
Beckman Coulter 1,626 106
Becton Dickinson 6,696 367
Biogen Idec* 8,868 520
Biomet 6,620 317
Boston Scientific* 17,274 601
Bristol-Myers Squibb (B) 50,888 1,196
Cardinal Health 11,352 593
Caremark Rx* 12,248 438
Celgene* 4,264 117
Cephalon (B)* 1,448 69
Charles River Laboratories
International* 1,575 74
Chiron (B)* 2,933 95
Cigna 3,530 247
Community Health Systems* 1,724 48
Cooper 866 60
Covance* 1,658 65
Coventry Health Care* 2,379 118
CR Bard 2,696 161
Cytyc* 2,903 78
Dade Behring Holdings* 1,121 60
DaVita* 2,577 86
Dentsply International 2,108 111
Edwards Lifesciences* 1,507 57
Eli Lilly 25,521 1,361
Endo Pharmaceuticals Holdings* 1,297 27
Eon Labs* 765 21
Express Scripts* 1,763 127
Eyetech Pharmaceuticals* 216 9
Fisher Scientific International* 2,905 164
Forest Laboratories* 9,593 374
Gen-Probe* 1,327 53
Genentech* 11,579 559
Genzyme* 5,897 330
Gilead Sciences* 11,170 385
Guidant 8,277 537
HCA (B) 12,123 478
Health Management Associates,
Cl A (B) 6,414 142
Health Net* 2,930 80
Henry Schein* 1,146 75
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hillenbrand Industries 1,424 $ 78
Hospira* 4,189 135
Humana* 4,363 108
ICOS* 1,404 34
Idexx Laboratories* 949 49
ImClone Systems* 1,697 72
IMS Health 6,068 137
Inamed* 954 51
Invitrogen (B)* 1,370 83
IVAX* 4,803 75
Johnson & Johnson 77,844 4,696
Kinetic Concepts* 685 43
King Pharmaceuticals* 6,419 80
Laboratory of America Holdings* 3,653 175
Lincare Holdings (B)* 2,570 99
Manor Care (B) 2,420 83
Martek Biosciences* 700 27
McKesson 7,559 223
Medco Health Solutions* 7,034 265
Medicis Pharmaceutical, Cl A 1,472 54
Medimmune* 6,431 171
Medtronic 31,744 1,525
Merck 58,415 1,637
Mettler Toledo International* 1,136 59
MGI Pharma* 1,916 52
Millennium Pharmaceuticals* 7,816 99
Millipore* 1,286 63
Mylan Laboratories (B) 6,905 125
Nektar Therapeutics* 1,996 37
Neurocrine Biosciences* 952 44
Omnicare 2,725 88
OSI Pharmaceuticals* 1,361 65
Pacificare Health Systems* 2,216 107
Patterson (B)* 3,282 134
PerkinElmer 3,334 71
Pfizer 200,107 5,557
Pharmaceutical Product
Development* 1,323 56
Protein Design Labs* 2,430 44
Quest Diagnostics 2,167 203
Renal Care Group* 1,843 61
Resmed* 900 45
Respironics (B)* 920 51
Schering-Plough 38,457 686
Sepracor (B)* 2,824 126
St. Jude Medical* 9,170 350
Stryker 7,560 333
Tenet Healthcare* 12,466 135
Thermo Electron* 4,263 129
Triad Hospitals* 1,951 72
UnitedHealth Group 17,482 1,448
Universal Health Services, Cl B 1,333 61
Varian Medical Systems* 3,630 153
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 21
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS (Unaudited)
LARGE CAP INDEX FUND (Continued)
November 30, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
VCA Antech* 1,747 $ 32
Waters* 3,083 144
Watson Pharmaceuticals* 2,792 81
WellChoice* 540 26
WellPoint (B)* 3,667 372
WellPoint Health Networks* 4,107 514
Wyeth 34,912 1,392
Zimmer Holdings* 6,368 520
---------
39,362
---------
INDUSTRIALS -- 10.8%
3M 20,484 1,630
Adesa* 2,372 47
AGCO* 2,394 52
Alliant Techsystems* 971 64
Allied Waste Industries (B)* 7,205 65
American Power Conversion 4,535 96
American Standard* 4,948 193
Ametek 1,765 58
AMR (B)* 4,400 40
Apollo Group, Cl A (B)* 4,000 319
Avery Dennison 2,860 168
BearingPoint* 3,976 35
Boeing (B) 22,067 1,182
Briggs & Stratton 1,268 50
Brink's 1,538 59
Burlington Northern Santa Fe 9,799 441
Career Education* 2,595 101
Carlisle 833 50
Caterpillar 8,939 818
Cendant 26,901 610
CH Robinson Worldwide 2,184 117
ChoicePoint* 2,271 100
Cintas 3,301 148
CNF 1,323 62
Copart* 1,813 39
Corinthian Colleges (B)* 2,548 44
Corporate Executive Board 979 66
Crane 1,288 39
CSX 5,553 212
Cummins 1,102 88
Danaher (B) 6,164 351
Deere 6,573 471
Deluxe 1,372 54
DeVry* 1,480 25
Donaldson 1,972 61
Dover 5,400 218
Dun & Bradstreet* 1,915 114
Eaton 3,992 269
Education Management* 1,856 61
Emerson Electric 11,115 743
Equifax 3,306 91
Expeditors International Washington 2,792 149
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Fastenal 1,599 $ 98
FedEx 7,807 742
Fluor (B) 2,175 113
General Dynamics 5,251 569
General Electric 276,852 9,789
Goodrich 3,015 96
Graco 1,824 67
H&R Block (B) 4,288 205
Harsco 1,136 60
Herman Miller 1,893 46
Hewitt Associates, Cl A* 963 29
HNI 1,500 64
Honeywell International 22,630 800
Hubbell, Cl B 1,592 77
Hughes Supply 1,823 60
IKON Office Solutions 3,176 36
Illinois Tool Works 6,981 658
Iron Mountain* 2,868 86
ITT Educational Services (B)* 1,221 58
ITT Industries 2,400 204
Jacobs Engineering Group* 1,431 66
JB Hunt Transport Services 1,460 59
JetBlue Airways (B)* 2,396 58
L-3 Communications Holdings 2,756 205
Lafarge North America 839 42
Laureate Education* 989 39
Lockheed Martin 9,884 601
Manpower 2,420 117
Masco 11,412 402
Monster Worldwide (B)* 2,581 73
Navistar International (B)* 1,607 66
Norfolk Southern 10,376 356
Northrop Grumman 9,476 534
Oshkosh Truck 949 60
Paccar 4,642 363
Pall 3,258 88
Parker Hannifin 3,097 232
Pentair 2,555 102
Pitney Bowes 6,007 263
Precision Castparts 1,655 107
Raytheon 11,760 474
Republic Services 4,142 130
Robert Half International 3,862 104
Rockwell Automation 4,817 228
Rockwell Collins 4,585 183
Roper Industries 1,000 62
RR Donnelley & Sons 5,623 195
Ryder System 1,706 91
Service International* 9,307 66
ServiceMaster 7,440 98
Sirva* 500 10
Southwest Airlines 20,561 323
SPX (B) 2,065 85
Steelcase, Cl A 1,403 19
- --------------------------------------------------------------------------------
22 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Stericycle* 1,113 $ 46
Teleflex 940 47
Textron 3,149 229
Timken 1,729 45
Union Pacific 6,847 434
United Defense Industries* 1,250 57
United Parcel Service, Cl B 14,959 1,259
United Technologies 13,455 1,313
Viad 526 13
W.W. Grainger 1,972 122
Waste Management 15,137 451
Weight Watchers International (B)* 1,046 41
Yellow Roadway (B)* 1,278 68
---------
33,483
---------
INFORMATION TECHNOLOGY -- 15.9%
3Com* 10,696 47
Activision* 3,608 57
Acxiom (B) 2,006 51
ADC Telecommunications* 20,774 49
Adobe Systems 6,314 382
Adtran 1,731 39
Advanced Fibre Communication* 2,396 39
Advanced Micro Devices (B)* 9,365 199
Affiliated Computer Services, Cl A* 3,182 188
Agere Systems, Cl B (B)* 46,141 63
Agilent Technologies* 12,499 286
Akamai Technologies* 2,918 38
Alliance Data Systems (B)* 1,210 52
Altera* 9,953 226
American Tower, Cl A (B)* 5,568 101
Amkor Technology* 2,401 13
Amphenol, Cl A* 1,808 63
Analog Devices 9,929 367
Andrew* 4,379 62
Apple Computer* 9,925 665
Applied Materials* 44,415 739
Applied Micro Circuits* 7,514 28
Arrow Electronics* 2,989 73
Ask Jeeves* 1,596 41
Atmel* 10,166 36
Autodesk 3,130 205
Automatic Data Processing 15,426 702
Avaya (B)* 10,383 170
Avid Technology* 872 50
Avnet* 3,029 56
Avocent* 1,366 52
AVX 1,424 18
BEA Systems (B)* 9,519 77
BMC Software* 5,759 107
Broadcom, Cl A* 6,607 215
Cadence Design Systems (B)* 7,207 99
CDW 1,653 109
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Ceridian* 3,775 $ 71
Certegy 1,663 57
Checkfree* 2,154 80
Ciena* 14,989 38
Cisco Systems* 177,257 3,316
Citrix Systems* 4,450 105
Cognizant Technology Solutions,
Cl A* 3,479 133
Computer Associates
International (B) 12,331 376
Computer Sciences* 4,870 263
Compuware* 10,463 60
Comverse Technology (B)* 5,089 108
Conexant Systems* 11,207 22
Convergys* 3,669 55
Corning (B)* 36,224 456
Cree (B)* 1,922 69
Cypress Semiconductor* 3,108 31
Dell* 66,354 2,689
Diebold 1,922 102
DST Systems (B)* 1,913 93
Electronic Arts (B)* 7,791 381
Electronic Data Systems 13,217 297
EMC* 63,271 849
Fair Isaac 1,942 64
Fairchild Semiconductor
International* 3,040 46
First Data 22,820 938
Fiserv* 5,048 194
Flir Systems* 888 50
Foundry Networks* 3,169 42
Freescale Semiconductor (B)* 3,591 63
Global Payments 777 43
Google, Cl A (B)* 500 91
Harris 1,720 114
Hewlett-Packard 79,919 1,598
Ingram Micro, Cl A (B)* 3,159 61
Integrated Circuit Systems* 1,909 45
Intel (B) 169,584 3,790
International Business Machines 44,191 4,165
International Rectifier* 1,804 76
Intersil, Cl A 3,810 61
Intuit* 4,572 191
Jabil Circuit* 4,261 107
Jack Henry & Associates 1,946 38
JDS Uniphase (B)* 36,420 115
Juniper Networks (B)* 14,013 386
Kla-Tencor (B)* 5,095 230
Lam Research (B)* 3,525 92
Lexmark International, Cl A* 3,437 292
Linear Technology 8,186 312
LSI Logic* 10,368 55
Lucent Technologies (B)* 113,222 445
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 23
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS (Unaudited)
LARGE CAP INDEX FUND (Continued)
November 30, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Macromedia* 1,831 $ 52
Maxim Integrated Products 8,507 348
Maxtor* 6,334 24
McAfee* 4,210 122
MEMC Electronic Materials* 1,738 18
Mercury Interactive (B)* 2,194 100
Microchip Technology 5,556 157
Micron Technology (B)* 14,971 166
Microsoft 240,643 6,452
Molex (B) 3,534 97
Motorola (B) 61,349 1,182
National Instruments 1,436 41
National Semiconductor* 9,599 148
NAVTEQ* 1,100 47
NCR* 2,487 149
NetFlix (B)* 800 9
Network Appliance* 8,087 244
Novell (B)* 10,248 63
Novellus Systems* 3,630 98
Nvidia (B)* 4,266 82
Oracle* 98,857 1,252
Paychex 8,753 290
Peoplesoft (B)* 8,603 203
Pixar* 643 58
Plantronics 1,277 53
PMC - Sierra (B)* 4,905 54
Polycom* 2,531 58
QLogic* 2,442 84
Qualcomm 42,444 1,767
Rambus* 2,168 50
Red Hat (B)* 4,349 63
Reynolds & Reynolds, Cl A 1,637 39
Sabre Holdings, Cl A 3,580 83
Sandisk (B)* 4,142 94
Sanmina-SCI* 14,017 124
Scientific-Atlanta 4,049 120
Semtech* 2,053 42
Siebel Systems* 11,132 112
Silicon Laboratories* 981 30
Solectron* 24,097 151
Spectrasite* 1,049 61
Storage Technology* 2,870 84
Sun Microsystems* 87,857 488
Sungard Data Systems* 7,724 205
Sybase* 2,689 46
Symantec* 8,119 518
Symbol Technologies 6,355 96
Synopsys* 3,901 69
Tech Data* 1,550 70
Tektronix 2,433 76
Tellabs* 10,726 92
Teradyne* 5,201 89
Texas Instruments 45,299 1,095
TIBCO Software* 5,516 63
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Total System Services 969 $ 25
Unisys* 8,532 98
Utstarcom (B)* 2,346 46
VeriSign* 6,410 211
Veritas Software* 11,356 249
Vishay Intertechnology (B)* 3,873 57
WebMD (B)* 7,875 57
Western Digital* 5,568 54
Xerox (B)* 21,191 325
Xilinx 8,958 280
Yahoo! (B)* 29,956 1,127
Zebra Technologies, Cl A* 1,467 74
---------
49,100
---------
MATERIALS -- 3.2%
Air Products & Chemicals 5,915 339
Alcoa 22,901 778
Arch Coal 1,693 65
Ball 2,898 130
Bemis 2,774 77
Bowater 1,478 60
Cabot 1,673 63
Consol Energy 2,360 101
Dow Chemical 24,504 1,237
E.I. Du Pont de Nemours 26,179 1,186
Eastman Chemical 1,983 108
Ecolab 4,921 172
Engelhard 3,190 95
Florida Rock Industries 765 43
Freeport-McMoRan Copper & Gold,
Cl B (B) 4,027 157
Georgia-Pacific 6,619 242
International Flavors & Fragrances 2,222 90
International Paper (B) 12,790 531
International Steel Group* 400 16
Louisiana-Pacific 2,846 70
Lubrizol 1,801 62
Lyondell Chemical (B) 5,227 147
Martin Marietta Materials 1,252 63
Massey Energy (B) 2,013 71
MeadWestvaco 5,375 181
Monsanto 6,902 318
Newmont Mining 10,618 503
Nucor (B) 4,138 219
Owens-Illinois* 2,757 58
Packaging of America 1,499 34
Pactiv* 4,132 103
Peabody Energy 1,714 142
Phelps Dodge 2,483 241
PPG Industries 4,543 306
Praxair 8,463 380
Rohm & Haas 4,141 183
RPM International 2,969 55
- --------------------------------------------------------------------------------
24 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Scotts, Cl A* 527 $ 36
Sealed Air (B)* 2,268 117
Sigma-Aldrich 1,862 111
Smurfit-Stone Container* 6,703 120
Sonoco Products 2,612 74
Southern Peru Copper (B) 409 19
Temple-Inland 1,450 86
United States Steel (B) 2,914 153
Valspar 1,332 64
Vulcan Materials 2,717 141
Weyerhaeuser 6,237 412
Worthington Industries 1,629 35
---------
9,994
---------
TELECOMMUNICATION SERVICES -- 3.2%
Alltel 8,128 461
AT&T (B) 21,000 384
BellSouth 48,020 1,288
CenturyTel 3,729 123
Citizens Communications 9,015 129
Crown Castle International* 5,018 85
IDT, Cl B* 1,749 27
Level 3 Communications (B)* 18,416 63
Nextel Communications, Cl A* 26,830 764
Nextel Partners, Cl A* 3,299 60
NII Holdings* 1,510 65
Qwest Communications International* 39,623 158
SBC Communications 86,781 2,184
Sprint (B)* 37,291 851
Telephone & Data Systems 1,319 102
US Cellular* 431 19
Verizon Communications (B) 72,617 2,994
West* 498 17
Western Wireless, Cl A* 2,261 61
---------
9,835
---------
UTILITIES -- 3.3%
AES* 16,479 202
AGL Resources 2,059 68
Allegheny Energy (B)* 3,760 72
Allete 790 29
Alliant Energy 2,940 80
Ameren (B) 5,158 250
American Electric Power (B) 10,456 357
Aqua America 2,565 61
Centerpoint Energy 7,329 82
Cinergy (B) 4,785 198
Consolidated Edison 6,383 280
Constellation Energy Group 4,362 191
Dominion Resources 8,600 563
DPL (B) 3,209 77
DTE Energy (B) 4,492 197
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Duke Energy (B) 24,123 $ 610
Dynegy, Cl A* 7,511 42
Edison International 8,642 276
Energy East 3,734 94
Entergy 6,082 394
Equitable Resources 1,656 99
Exelon 17,272 720
FirstEnergy 8,590 363
FPL Group (B) 4,884 343
Great Plains Energy 2,050 61
Hawaiian Electric Industries (B) 2,146 61
KeySpan 4,141 164
MDU Resources Group 3,121 85
National Fuel Gas 1,921 54
NiSource 7,037 153
Northeast Utilities 3,407 62
NSTAR 1,408 71
OGE Energy 2,268 59
Oneok 2,696 75
Pepco Holdings (B) 5,073 108
PG&E* 10,548 351
Pinnacle West Capital 2,464 109
PPL 5,013 260
Progress Energy (B) 6,527 287
Public Service Enterprise Group (B) 6,149 271
Puget Energy 2,661 63
Questar 2,199 112
Reliant Energy* 7,672 91
SCANA (B) 2,987 114
Sempra Energy (B) 5,455 202
Southern (B) 19,441 637
TECO Energy 5,438 81
Texas Genco Holdings 440 21
TXU (B) 7,742 486
UGI 1,376 56
Vectren 1,991 52
Westar Energy 2,292 51
Wisconsin Energy 3,140 104
WPS Resources 1,002 48
Xcel Energy (B) 10,627 192
---------
10,189
---------
Total Common Stock
(Cost $252,894) ($ Thousands) 304,931
---------
CORPORATE OBLIGATIONS (C)(E) -- 5.9%
FINANCIALS -- 5.7%
Allstate Life Global Funding MTN
2.090%, 11/14/05 $ 242 242
Belford Funding MTN
2.140%, 02/02/05 967 967
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 25
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS (Unaudited)
LARGE CAP INDEX FUND (Concluded)
November 30, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Bradford & Bingley
2.196%, 01/07/05 $ 609 $ 609
CCN Bluegrass
2.207%, 08/18/05 725 725
CIT Group
1.870%, 12/01/04 580 580
Countrywide Home Loans MTN, Ser L
2.435%, 02/23/05 280 280
Countrywide Home Loans MTN, Ser M
2.471%, 08/26/05 290 290
2.429%, 05/20/05 193 193
2.030%, 06/23/05 387 387
Five Finance MTN
2.150%, 09/22/05 1,373 1,372
Harrier Finance Funding MTN, Ser 1
1.886%, 06/15/05 841 841
Irish Life & Permanent MTN, Ser X
2.155%, 12/22/05 899 899
Lakeside Funding
2.276%, 12/08/04 1,235 1,235
Liberty Light US Capital
2.075%, 01/14/05 483 483
2.070%, 02/09/05 483 483
Morgan Stanley, Ser EXL
2.039%, 12/04/05 193 193
Nationwide Building Society
1.953%, 10/28/05 483 483
Pacific Life Global Funding
2.090%, 11/14/05 725 725
Premium Asset Trust
2.170%, 12/15/05 1,354 1,354
SLM MTN, Cl X
2.150%, 12/20/05 1,692 1,692
Saturn Ventures
2.143%, 02/07/05 483 483
Sigma Finance MTN
1.989%, 01/04/05 580 580
U.S. Trust
2.212%, 09/12/05 967 967
Washington Mutual Bank
2.310%, 08/18/05 967 967
White Pine Finance
2.096%, 03/11/05 242 242
2.026%, 11/01/05 425 425
---------
17,697
---------
INDUSTRIALS -- 0.2%
Caterpillar MTN, Ser F
2.180%, 07/11/05 483 483
---------
Total Corporate Obligations
(Cost $18,180) ($ Thousands) 18,180
---------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (C)(D) -- 3.3%
FINANCIALS -- 3.3%
Broadhollow Funding
2.111%, 12/06/04 $ 725 $ 725
CPI Funding
2.121%, 12/10/04 933 933
Golden Fish
2.307%, 01/18/05 582 581
2.172%, 12/17/04 282 282
2.162%, 12/14/04 340 340
2.031%, 12/08/04 165 165
Harwood Street Funding
2.137%, 12/15/04 1,495 1,493
Household Finance
2.142%, 12/15/04 1,208 1,207
Laguna
2.141%, 12/10/04 387 387
2.140%, 12/03/04 483 483
Main Street Warehouse
2.131%, 12/07/04 193 193
2.131%, 12/08/04 193 193
2.131%, 12/09/04 967 966
Thornburg Mortgage Capital
2.152%, 12/15/04 967 966
2.151%, 12/07/04 338 338
2.150%, 12/03/04 870 870
Total Commercial Paper
(Cost $10,122) ($ Thousands) 10,122
---------
ASSET-BACKED SECURITIES (C) -- 2.4%
AUTOMOTIVE -- 0.1%
Drivetime Auto Owner Trust
2.148%, 11/15/05 (E) 204 204
1.640%, 07/15/05 76 76
---------
280
---------
MORTGAGE RELATED SECURITIES (E) -- 2.3%
Aire Valley Mortgages
2.140%, 09/20/05 619 619
Blue Heron Funding
2.211%, 02/23/05 967 967
2.170%, 03/18/05 435 435
Cheyne High Grade
2.280%, 11/10/05 556 556
Commodore
1.970%, 12/12/38 290 290
Davis Square Funding
2.091%, 04/06/05 483 483
2.091%, 05/06/05 483 483
- --------------------------------------------------------------------------------
26 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Duke Funding
2.115%, 04/08/05 $ 483 $ 483
Harwood
2.190%, 09/20/05 1,228 1,228
Orchid Structured Finance
2.410%, 05/18/05 1,061 1,061
RMAC
2.090%, 06/12/05 435 435
Whitehawk CDO Funding
1.710%, 06/15/05 242 242
---------
7,282
---------
Total Asset-Backed Securities
(Cost $7,562) ($ Thousands) 7,562
---------
CASH EQUIVALENTS -- 2.2%
Bear Stearns Master Notes (C) 966,707 967
SEI Daily Income Trust,
Prime Obligation Fund, Cl A++ 5,961,896 5,962
---------
Total Cash Equivalents
(Cost $6,929) ($ Thousands) 6,929
---------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bills (A)
1.652%, 12/23/04 655 654
---------
Total U.S. Treasury Obligation
(Cost $654) ($ Thousands) 654
---------
REPURCHASE AGREEMENTS (C) -- 3.5%
Barclays
2.070%, dated 11/30/04, to be
repurchased on 12/01/04,
repurchase price $2,140,944
(collateralized by various
U.S. Government Obligations,
ranging in par value $98,894-
$1,450,060, 1.625%-7.000%,
04/15/05-03/15/10; with total
market value $2,183,681) 2,141 2,141
Lehman Brothers
2.070%, dated 11/30/04, to be
repurchased on 12/01/04,
repurchase price $628,396
(collateralized by various
U.S. Government Obligations,
ranging in par value $20,688-
$42,748, 0.000%-6.700%,
09/13/05-08/15/27; with total
market value $640,945) 628 628
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
UBS Paine Webber
2.070%, dated 11/30/04, to be
repurchased on 12/01/04,
repurchase price $7,927,453
(collateralized by various
U.S. Government Obligations,
ranging in par value $111,993-
$483,353, 0.000%-5.002%,
12/17/04-11/15/29; with total
market value $8,085,567) $ 7,927 $ 7,927
---------
Total Repurchase Agreements
(Cost $10,696) ($ Thousands) 10,696
---------
Total Investments -- 115.9%
(Cost $307,037) ($ Thousands) 359,074
---------
OTHER ASSETS AND LIABILITIES -- (15.9)%
Payable upon Return on Securities Loaned (47,527)
Payable for Capital Shares Redeemed (2,816)
Payable for Investment Securities Purchased (871)
Investment Advisory Fees Payable (28)
Trustees' Fees Payable (1)
Other Assets and Liabilities, Net 2,103
---------
Total Other Assets and Liabilities (49,140)
---------
Net Assets -- 100.0% $ 309,934
=========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) 256,693
Undistributed net investment income 1,590
Accumulated net realized loss on investments
and futures contracts (729)
Net unrealized appreciation on investments 52,037
Net unrealized appreciation on futures contracts 343
---------
Net Assets $ 309,934
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($309,933,965 / 2,976,774 shares) $104.12
=======
* Non-income producing security.
+ Real Estate Investment Trust
++ See Note 3 in Notes to Financial Statements.
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts. The rate reported is the effective yield at time of
purchase.
(B) This security or a partial position of this security is on loan at
November 30, 2004 (see Note 9). The total value of securities on loan at
November 30, 2004 was $45,803,865.
(C) This security was purchased with cash collateral held from securities
lending (see Note 9). The total value of such securities as of November
30, 2004 was $47,527,090.
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Statement of Net Assets
is the rate in effect as of November 30, 2004.
(F) The Fund may purchase securities of certain companies with which it is
affiliated to the extent these companies are represented in its Index.
Cl -- Class
MTN -- Medium Term Note
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 27
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS (Unaudited)
SMALL CAP FUND
November 30, 2004
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)**:
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
25.0% Financials
15.0% Information Technology
13.6% Consumer Discretionary
12.9% Industrials
11.0% Health Care
6.7% Short-Term Investments
4.7% Energy
3.9% Materials
2.3% Asset-Backed Securities
2.0% Utilities
1.8% Consumer Staples
0.5% Telecommunication Services
0.4% Exchange Traded Fund
0.2% U.S. Treasury Obligations
0.0% Warrants
0.0% Rights
** Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 95.6%
CONSUMER DISCRETIONARY -- 15.9%
1-800 Contacts* 118,000 $ 2,418
7-Eleven* 76,100 1,796
Aaron Rents 34,100 827
Abercrombie & Fitch, Cl A 27,100 1,234
Advo 166,405 5,842
Alliance Gaming (B)* 103,400 1,250
America's Car Mart* 107,000 3,927
American Axle & Manufacturing
Holdings 22,790 665
American Greetings, Cl A (B)* 114,420 3,046
AnnTaylor Stores* 39,500 867
Arctic Cat 71,800 1,918
ArvinMeritor 157,400 3,455
Aztar* 42,640 1,442
Bandag 22,900 1,142
Belo, Cl A 39,170 988
BJ's Restaurants* 26,500 396
Blue Nile (B)* 33,900 874
Bluegreen* 34,870 554
BorgWarner 12,600 631
Brinker International* 16,360 558
Brown Shoe 84,100 2,399
Buffalo Wild Wings* 13,200 437
Build-A-Bear Workshop* 72,200 2,121
Cache* 42,400 700
California Pizza Kitchen* 31,180 781
Carmike Cinemas* 30,800 1,153
Carter's* 97,600 3,426
Cato, Cl A 81,200 2,166
CellStar (B)* 152,900 558
Charming Shoppes* 177,400 1,659
Cheesecake Factory (B)* 44,600 2,180
Christopher & Banks 91,000 1,795
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Coach* 77,400 $ 3,858
Cooper Tire & Rubber 99,300 2,028
Cost Plus (B)* 94,400 3,000
CSK Auto* 85,040 1,305
Ctrip.com International, ADR (B)* 45,110 2,180
Cumulus Media, Cl A* 73,100 1,117
Dick's Sporting Goods (B)* 66,365 2,389
Dillard's, Cl A 74,200 1,868
Dollar Thrifty Automotive Group* 70,500 1,896
Dress Barn* 14,143 243
Electronics Boutique Holdings (B)* 32,500 1,266
Ethan Allen Interiors 67,700 2,671
Fairmont Hotels & Resorts 84,500 2,621
Fleetwood Enterprises* 157,700 2,137
Foot Locker 59,840 1,555
Four Seasons Hotels 25,700 1,812
Fred's (B) 36,500 633
Furniture Brands International 121,100 2,942
GameStop, Cl A (B)* 94,900 2,001
Gaylord Entertainment (B)* 54,000 1,903
Gildan Activewear, Cl A* 55,900 1,742
Global Signal+* 51,800 1,505
Group 1 Automotive* 41,200 1,216
GSI Commerce* 47,700 722
Guitar Center (B)* 42,500 2,056
Handleman 205,847 4,364
Hibbett Sporting Goods* 175,175 4,339
Hollinger International, Cl A 50,000 936
Hollywood Entertainment* 170,900 2,169
HOT Topic* 251,250 4,113
Ihop 5,400 229
Imax* 50,310 418
Jakks Pacific (B)* 31,030 578
Jarden (B)* 129,455 4,967
Jo-Ann Stores* 67,100 1,847
K2 (B)* 108,900 1,838
Kellwood 185,930 6,472
Kenneth Cole Productions, Cl A 66,200 1,954
Kerzner International* 27,500 1,567
Kimball International, Cl B 77,535 1,155
La-Z-Boy 59,600 915
Landry's Restaurants 69,520 2,054
Leapfrog Enterprises (B)* 73,100 1,023
Liberty 28,510 1,243
Lin TV, Cl A* 187,900 3,386
Lions Gate Entertainment* 468,590 5,037
Lone Star Steakhouse & Saloon 58,200 1,571
Marvel Enterprises (B)* 108,600 2,001
MDC Holdings 29,800 2,256
Mediacom Communications,
Cl A (B)* 231,200 1,207
Men's Wearhouse* 33,830 1,071
- --------------------------------------------------------------------------------
28 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Meritage Homes* 31,800 $ 2,976
Movie Gallery (B) 214,740 3,743
MSC Industrial Direct, Cl A 92,635 3,300
MTR Gaming Group* 143,000 1,439
National Presto Industries 13,550 615
Nautilus Group (B) 26,170 570
Nexstar Broadcasting Group, Cl A* 110,400 922
O'Charleys* 36,300 690
O'Reilly Automotive (B)* 30,600 1,332
Panera Bread, Cl A (B)* 84,600 3,379
Papa John's International (B)* 33,800 1,202
Parkervision (B)* 127,600 951
Payless Shoesource (B)* 194,700 2,274
PEP Boys-Manny Moe & Jack 43,400 684
PF Chang's China Bistro (B)* 12,800 720
Phillips-Van Heusen 97,900 2,673
Pier 1 Imports 56,500 1,031
Polo Ralph Lauren 40,600 1,599
Pulitzer 19,400 1,234
Quiksilver (B)* 130,200 3,860
Rare Hospitality International* 75,700 2,268
Red Robin Gourmet Burgers* 46,800 2,403
Reebok International (B) 24,720 961
Regis 121,001 5,403
Rent-A-Center* 48,800 1,244
Ruby Tuesday 17,300 477
Ryan's Restaurant Group* 132,000 2,016
Ryland Group 31,200 3,162
Saks (B) 69,800 971
Scholastic* 32,600 1,074
Sharper Image* 34,740 666
Sonic* 76,250 2,224
Sonic Automotive 72,100 1,790
Sports Authority* 43,700 1,246
Standard Motor Products 51,400 801
Standard-Pacific 29,100 1,630
Starwood Hotels & Resorts
Worldwide (B) 85,800 4,486
Superior Essex* 51,800 868
Superior Industries International (B) 115,200 3,254
Texas Roadhouse* 7,500 190
Theglobe.com* 855,300 412
Timberland, Cl A (B)* 24,850 1,574
Titan International (B) 13,000 162
Too* 26,100 663
Tower Automotive (B)* 208,000 374
Tractor Supply* 34,300 1,088
Unifi* 91,300 340
Urban Outfitters (B)* 89,700 3,812
Valassis Communications (B)* 59,810 2,031
Value Line 13,000 520
Visteon 135,400 1,145
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
West Marine (B)* 53,700 $ 1,240
World Wrestling Entertainment 89,700 1,076
Yankee Candle* 54,300 1,654
Zale* 139,400 4,077
-----------
251,077
-----------
CONSUMER STAPLES -- 2.2%
Adolph Coors, Cl B 29,700 2,225
BJ's Wholesale Club (B)* 101,400 3,011
Bunge 22,400 1,181
Casey's General Stores 60,260 1,167
Chattem* 54,900 1,988
Chiquita Brands International* 19,300 382
Columbia Laboratories (B)* 36,200 70
Corn Products International 55,700 3,031
Del Monte Foods* 163,400 1,773
Delta & Pine Land 34,500 921
Gold Kist* 126,000 1,762
Hain Celestial Group* 74,800 1,453
Interstate Bakeries (B) 126,500 736
NBTY* 103,800 2,705
Pathmark Stores* 183,595 1,012
PepsiAmericas 55,100 1,163
Pilgrim's Pride (B) 27,600 925
Ralcorp Holdings* 48,700 2,006
Tyson Foods, Cl A 36,800 603
United Natural Foods (B)* 130,930 3,683
Universal* 49,200 2,395
-----------
34,192
-----------
ENERGY -- 5.6%
Atlas America (B)* 28,460 903
Atwood Oceanics* 10,800 566
Brigham Exploration* 18,400 172
Cabot Oil & Gas 78,100 3,778
Cal Dive International* 61,400 2,644
CARBO Ceramics 14,195 1,103
Cimarex Energy* 54,600 2,194
Core Laboratories* 36,500 860
Denbury Resources* 148,300 4,293
Encore Acquisition* 29,500 1,039
Energy Partners* 55,100 1,067
Forest Oil (B)* 178,100 6,061
Holly 76,200 2,147
Hydril* 26,595 1,248
Input/Output (B)* 39,000 342
KCS Energy* 50,100 718
Key Energy Services* 173,700 2,175
Magnum Hunter Resources* 326,500 4,375
Meridian Resource* 46,900 320
NATCO Group, Cl A* 64,806 550
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 29
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS (Unaudited)
SMALL CAP FUND (Continued)
November 30, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
National-Oilwell (B)* 29,100 $ 1,053
Patina Oil & Gas 43,000 1,428
Penn Virginia 64,500 2,803
Pioneer Natural Resources 64,540 2,272
Plains Exploration & Production* 256,620 7,193
Pride International (B)* 47,500 929
Range Resources (B) 164,400 3,410
Remington Oil & Gas* 20,100 582
SEMCO Energy 120,600 584
Spinnaker Exploration* 21,600 783
St. Mary Land & Exploration (B) 67,900 2,919
Stone Energy* 147,000 7,053
Superior Energy Services* 54,200 796
Swift Energy (B)* 195,350 5,927
Syntroleum (B)* 168,300 1,166
Tesoro Petroleum* 109,600 3,630
Tetra Technologies* 55,050 1,673
Veritas DGC* 16,300 381
Vintage Petroleum 140,860 3,416
W-H Energy Services* 74,500 1,703
Whiting Petroleum* 43,800 1,491
-----------
87,747
-----------
FINANCIALS -- 19.2%
Acadia Realty Trust+ 106,200 1,609
Affiliated Managers Group (B)* 89,600 5,679
Agree Realty+ 23,000 692
Allmerica Financial* 61,100 1,989
AMB Property+ 114,600 4,578
American Home Mortgage
Investment+* 46,800 1,532
AmerUs Group 57,700 2,514
Apartment Investment &
Management, Cl A+ 90,500 3,291
Arbor Realty Trust+* 72,130 1,702
Arch Capital Group* 29,000 1,130
Archstone-Smith Trust (B)+ 95,257 3,477
Aspen Insurance Holdings* 38,500 953
AvalonBay Communities (B)+ 60,300 4,287
Bancorpsouth 91,650 2,278
Bank Mutual 95,440 1,177
Bank of the Ozarks 12,300 439
Bedford Property Investors+ 32,900 918
Brandywine Realty Trust+ 65,300 1,858
Brookline Bancorp 89,900 1,456
Camden Property Trust (B)+ 74,800 3,667
Capital Southwest 16,700 1,316
CapitalSource (B)* 140,600 3,262
Cardinal Financial* 101,320 1,015
Cascade Bancorp 56,662 1,235
CBL & Associates Properties+ 23,920 1,753
Central Pacific Financial 40,545 1,355
CNA Surety* 39,900 521
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Colonial BancGroup (B) 120,500 $ 2,558
Commerce Group 49,500 2,940
Commercial Capital Bancorp 211,866 5,055
Commercial Federal 65,000 1,893
Community Bank System 34,400 953
Corixa (B)* 325,500 1,221
Corporate Office Properties Trust+ 96,100 2,670
Crescent Real Estate Equity (B)+ 87,800 1,589
Delphi Financial Group, Cl A 97,101 4,511
Donegal Group, Cl A 44,850 964
Downey Financial 64,500 3,724
E*Trade Financial* 646,900 8,966
Eagle Hospitality Properties Trust+* 73,800 705
Encore Capital Group* 77,600 1,946
Equity Residential+ 142,800 4,814
Essex Property Trust+ 21,300 1,715
Euronet Worldwide* 75,000 1,845
FBL Financial Group, Cl A 32,784 932
Federal Realty Investment Trust+ 90,000 4,514
First American 93,900 3,094
First Cash Financial Services* 93,200 2,427
First Citizens Bancshares, Cl A 6,046 823
First Community Bancorp 23,300 979
First Indiana 56,850 1,317
First Marblehead* 21,900 1,243
First Niagara Financial Group 134,600 1,944
First Republic Bank 33,400 1,716
FirstFed Financial* 51,700 2,720
FirstMerit (B) 41,860 1,146
Flagstar Bancorp 104,900 2,286
Flushing Financial 56,300 1,196
Fpic Insurance Group (B)* 47,500 1,569
Friedman Billings Ramsey Group,
Cl A (B)+ 165,900 3,172
Gables Residential Trust+ 24,900 888
GATX 133,500 3,930
Glacier Bancorp 12,600 436
Gold Banc 131,500 1,967
Greater Bay Bancorp 90,400 2,626
Greenhill* 40,800 1,110
HCC Insurance Holdings 45,700 1,515
Hilb Rogal & Hobbs (B) 138,200 4,794
Horace Mann Educators 49,870 948
Host Marriott+* 155,200 2,430
HRPT Properties Trust (B)+ 165,100 1,996
Hub International 85,500 1,471
Huron Consulting Group* 94,700 2,003
Independence Community Bank 48,600 2,065
IndyMac Bancorp 52,700 1,712
IPC Holdings 35,100 1,494
Irwin Financial 49,700 1,323
Jackson Hewitt Tax Service* 67,300 1,453
Jones Lang LaSalle* 22,800 819
- --------------------------------------------------------------------------------
30 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Kansas City Life Insurance 27,500 $ 1,360
KNBT Bancorp* 94,300 1,614
Knight Trading Group, Cl A (B)* 114,620 1,308
LandAmerica Financial Group 51,300 2,739
Macerich+ 85,100 5,169
Mack-Cali Realty+ 82,500 3,609
Max Re Capital 27,500 524
Medallion Financial 28,660 269
Medical Properties Trust+* 108,000 1,080
MFA Mortgage Investments+ 120,700 1,103
Montpelier Re Holdings (B) 41,600 1,536
Nara Bancorp 67,825 1,408
National Health Investors+ 13,800 400
NBT Bancorp 88,200 2,239
NCRIC Group* 27,940 269
New Century Financial (B)+ 32,200 2,037
New Plan Excel Realty Trust+ 69,300 1,835
NewAlliance Bancshares* 146,013 2,195
NorthStar Realty Finance+* 70,600 646
Novastar Financial+ (B) 24,900 1,095
Odyssey Re Holdings (B) 56,300 1,360
One Liberty Properties+ 53,700 1,033
Oriental Financial Group 67,800 2,056
PFF Bancorp 37,460 1,693
Placer Sierra Bancshares* 69,200 1,615
Platinum Underwriters Holdings 104,600 3,118
PMI Group (B) 30,740 1,266
Post Properties+ 53,000 1,807
Presidential Life 67,100 1,121
Primus Guaranty* 24,900 357
ProAssurance (B)* 74,925 2,926
Provident Bankshares 54,131 1,989
Public Storage+ 65,300 3,486
PXRE Group 61,140 1,475
Rainier Pacific Financial Group 65,030 1,167
RAIT Investment Trust+ 110,200 3,086
Reckson Associates Realty+ 136,100 4,407
Redwood Trust+ 25,500 1,485
Regency Centers+ 48,800 2,538
RenaissanceRe Holdings 20,000 1,007
Saxon Capital+* 74,100 1,682
Scottish RE Group 22,600 520
Shurgard Storage Centers, Cl A+ 85,000 3,517
Silicon Valley Bancshares (B)* 142,800 5,995
Simon Property Group+ 73,800 4,582
Sky Financial Group 64,300 1,862
SL Green Realty+ 90,560 5,219
Sterling Financial* 82,205 3,284
Stewart Information Services 111,200 4,854
Sunstone Hotel Investors+* 93,900 1,716
Taubman Centers+ 60,500 1,779
TierOne 55,200 1,370
Trammell Crow* 44,400 759
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Trizec Properties+ 154,700 $ 2,548
Trustmark 55,800 1,719
U-Store-It Trust+* 90,800 1,549
UCBH Holdings 51,260 2,324
UMB Financial 35,370 1,981
United PanAm Financial* 71,806 1,425
Washington Federal 104,900 2,829
WesBanco 33,400 1,056
Westcorp 100,600 4,253
Winston Hotels+ 145,060 1,651
World Acceptance* 16,600 428
WR Berkley 28,900 1,311
Zenith National Insurance (B) 37,500 1,724
-----------
303,174
-----------
HEALTH CARE -- 12.8%
Abgenix* 152,400 1,547
Accelrys* 142,100 890
Advanced Medical Optics (B)* 78,060 3,246
Align Technology* 260,600 2,755
Alkermes (B)* 109,400 1,509
Alliance Imaging* 150,000 1,410
Alpharma, Cl A (B) 103,300 1,716
American Healthways (B)* 98,095 3,271
American Medical Systems Holdings* 57,415 2,191
Amsurg* 61,000 1,568
Animas (B)* 38,500 624
Applera--Celera Genomics Group* 292,100 4,113
Apria Healthcare Group* 70,900 2,174
Ariad Pharmaceuticals* 238,100 1,374
Arqule* 37,100 206
Array Biopharma* 90,300 755
Aspect Medical Systems* 70,300 1,715
Axonyx (B)* 129,200 951
Beverly Enterprises* 200,700 1,740
Bio-Rad Laboratories, Cl A* 54,000 3,062
Biosite (B)* 41,500 2,311
Cardiodynamics International* 98,600 451
Cell Genesys (B)* 378,000 2,775
Community Health Systems (B)* 68,100 1,883
Conceptus (B)* 77,800 695
Cooper (B) 51,955 3,612
Corgentech (B)* 45,800 834
Cross Country Healthcare* 58,100 1,031
Crucell ADR (B)* 150,100 1,831
Cubist Pharmaceuticals* 308,300 3,700
CV Therapeutics (B)* 305,300 6,619
Cyberonics (B)* 49,400 917
deCODE Genetics (B)* 128,900 838
Dendreon (B)* 303,600 2,978
Depomed (B)* 156,000 727
Diamondrock Hospitality* 122,500 1,225
Digene* 64,800 1,567
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 31
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS (Unaudited)
SMALL CAP FUND (Continued)
November 30, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Discovery Laboratories* 105,200 $ 734
DJ Orthopedics* 109,390 2,206
Dov Pharmaceutical (B)* 68,100 1,261
Dyax* 152,700 1,211
Encysive Pharmaceuticals* 243,000 2,637
EPIX Pharmaceuticals* 89,400 1,573
Exact Sciences* 168,600 583
Exelixis* 151,718 1,361
First Horizon Pharmaceutical (B)* 54,500 1,066
Gen-Probe* 37,100 1,480
Genencor International* 71,700 1,162
Genitope* 59,000 931
Genta (B)* 313,300 407
Guilford Pharmaceuticals (B)* 168,500 950
Health Net* 115,900 3,155
HealthTronics* 91,500 683
Henry Schein* 11,300 737
Human Genome Sciences (B)* 131,300 1,444
Icoria* 492,303 197
Immucor* 66,450 2,136
Impax Laboratories* 126,500 1,584
Incyte (B)* 222,900 2,289
Inspire Pharmaceuticals* 109,900 1,968
Isis Pharmaceuticals (B)* 387,500 1,829
Isolagen (B)* 157,100 1,192
Kosan Biosciences* 140,300 904
La Jolla Pharmaceutical (B)* 395,400 557
LifePoint Hospitals* 85,200 3,134
Ligand Pharmaceuticals, Cl B (B)* 67,600 757
Magellan Health Services* 24,500 873
Medarex (B)* 436,100 4,753
Medcath (B)* 78,800 1,712
Medicis Pharmaceutical, Cl A 98,500 3,624
Mettler Toledo International* 32,330 1,668
MGI Pharma* 73,100 1,973
Myriad Genetics (B)* 49,000 943
Nabi Biopharmaceuticals* 129,600 1,866
National Dentex* 63,670 1,662
NeighborCare* 1,800 51
Nektar Therapeutics (B)* 362,700 6,777
NitroMed (B)* 73,000 1,526
North American Scientific* 94,600 426
Nu Skin Enterprises, Cl A 63,800 1,434
NuVasive* 51,900 493
Nuvelo* 35,100 342
Ocular Sciences* 42,200 2,039
Odyssey HealthCare* 72,900 973
OraSure Technologies* 165,000 1,181
Orthologic* 194,100 1,112
Owens & Minor 38,170 1,059
Pacificare Health Systems (B)* 58,700 2,841
Pain Therapeutics (B)* 270,800 2,039
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
PainCare Holdings (B)* 235,700 $ 684
Par Pharmaceutical (B)* 43,200 1,705
Parexel International* 47,000 970
PerkinElmer 112,100 2,391
Pharmaceutical Product
Development* 52,500 2,211
Pharmacopeia Drug Discovery* 93,729 542
Pharmion* 46,900 1,986
PolyMedica 63,400 2,254
Pozen* 129,500 899
Protein Design Labs* 137,100 2,484
Res-Care* 57,760 866
Rigel Pharmaceuticals (B)* 53,400 1,336
Rotech Healthcare* 48,000 1,212
Salix Pharmaceuticals* 83,400 1,263
SFBC International (B)* 49,465 1,921
Sola International* 132,300 2,858
SonoSite (B)* 42,100 1,257
Sybron Dental Specialties* 131,760 4,511
Symbion* 56,200 1,077
Taro Pharmaceuticals Industries* 31,800 943
Telik* 151,621 2,897
Third Wave Technologies* 431,600 3,479
Transgenomic* 178,235 217
Transkaryotic Therapies* 84,600 1,930
Triad Hospitals* 25,270 927
United Therapeutics (B)* 58,800 2,588
Universal Health Services, Cl B 14,880 677
Varian* 46,300 1,734
Vasogen* 92,700 444
Viasys Healthcare* 64,800 1,207
Vicuron Pharmaceuticals* 11,500 202
Viropharma (B)* 165,900 469
Vnus Medical Technologies* 42,900 643
-----------
203,090
-----------
INDUSTRIALS -- 14.9%
Active Power* 98,800 450
Actuant, Cl A* 32,300 1,519
Acuity Brands (B) 43,400 1,277
Adesa* 64,600 1,289
Advisory Board* 68,700 2,448
AGCO (B)* 81,100 1,767
Albany International, Cl A 34,250 1,146
Alliant Techsystems* 21,800 1,436
AO Smith 86,340 2,595
Applied Industrial Technologies 75,300 3,136
Arkansas Best 9,200 397
Arlington Tankers* 34,100 783
Armor Holdings* 35,900 1,550
Banta 123,390 5,491
- --------------------------------------------------------------------------------
32 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Beacon Roofing Supply* 70,200 $ 1,283
BearingPoint* 430,600 3,746
Blount International* 155,680 2,714
Briggs & Stratton 145,930 5,723
Brink's 95,500 3,687
Calgon Carbon 132,500 1,239
Cascade 46,700 1,499
CDI 59,300 1,146
Ceradyne (B)* 45,385 2,242
Charles River Associates (B)* 82,200 3,546
Chicago Bridge & Iron 42,900 1,660
CIRCOR International 53,780 1,121
CNH Global 87,240 1,635
Corinthian Colleges (B)* 93,000 1,621
Corporate Executive Board 30,496 2,046
CoStar Group* 22,600 990
Courier 26,040 1,317
CPI Aerostructures* 75,700 780
DiamondCluster International* 99,300 1,214
Duratek* 34,100 785
Dynamex* 58,520 1,177
Eagle Materials 14,600 1,144
EDO 47,400 1,444
Education Management (B)* 43,000 1,425
EMCOR Group* 27,700 1,280
Engineered Support Systems (B) 32,800 1,804
ESCO Technologies* 18,655 1,366
FTI Consulting (B)* 73,100 1,474
GenCorp (B) 18,300 308
General Cable* 120,500 1,639
General Maritime (B)* 49,860 2,266
Genlyte Group* 14,500 1,162
Gevity HR 61,500 1,089
Global Power Equipment Group (B)* 38,600 335
GrafTech International (B)* 201,200 1,919
Griffon* 64,300 1,613
Grupo TMM ADR, Ser A* 155,100 541
Harsco 56,000 2,976
Herley Industries* 19,300 397
IKON Office Solutions 177,300 2,000
Infospace (B)* 42,900 1,900
Innovative Solutions & Support* 57,645 1,765
Insituform Technologies, Cl A* 55,500 1,295
Integrated Electrical Services (B)* 191,260 578
Intermagnetics General* 51,270 1,511
Intersections* 86,100 1,550
Ionics* 7,100 307
iPayment* 83,350 3,204
Iron Mountain* 48,150 1,451
John H. Harland 40,400 1,427
Joy Global 89,240 3,631
Kadant* 45,020 912
Kansas City Southern* 135,690 2,308
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Kaydon 74,810 $ 2,430
Kennametal 15,800 811
Kirby* 55,800 2,540
Knight Transportation* 89,150 2,149
Labor Ready (B)* 92,700 1,472
Laidlaw International* 145,700 2,754
Laureate Education* 74,000 2,915
Learning Tree International* 32,600 428
Lennox International 39,000 702
Levitt, Cl A* 32,800 843
LSI Industries 70,463 700
M/I Homes 88,600 4,006
Manitowoc 43,600 1,628
Mcgrath Rentcorp 9,900 418
Medical Staffing Network Holdings (B)* 98,000 844
Mercury Computer Systems* 54,500 1,717
Milacron (B)* 263,248 787
Mine Safety Appliances 31,065 1,472
Moog, Cl A* 28,942 1,216
MTC Technologies* 10,900 335
Mueller Industries 17,800 547
Navigant Consulting* 175,300 4,093
Navistar International (B)* 48,800 2,008
Old Dominion Freight Line* 27,500 862
Orbital Sciences (B)* 72,500 943
Oshkosh Truck 26,100 1,640
Pall 92,300 2,500
Princeton Review* 99,700 592
Quality Distribution* 40,590 329
Quanta Services (B)* 261,300 2,015
Regal-Beloit 60,590 1,709
Resources Connection* 44,800 2,032
Ritchie Brothers Auctioneers 52,000 1,555
Robbins & Myers 56,210 1,357
Rofin-Sinar Technologies* 60,220 2,349
Ryder System (B) 94,800 5,085
School Specialty* 63,110 2,398
SCS Transportation* 16,410 347
Simpson Manufacturing 86,200 2,896
Sirva* 36,900 734
Source Interlink* 77,450 1,011
Sourcecorp* 63,900 1,063
Stewart Enterprises, Cl A* 268,900 1,995
Strayer Education 37,900 4,074
Surebeam, Cl A (B)* 513,125 4
Sypris Solutions 77,100 1,254
Tecumseh Products, Cl A 29,500 1,351
Teledyne Technologies (B)* 49,300 1,464
Terex* 32,500 1,490
Tetra Tech* 157,180 2,395
Timken 56,700 1,474
Toro 24,700 1,791
Unifirst 39,900 1,103
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 33
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS (Unaudited)
SMALL CAP FUND (Continued)
November 30, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
United Rentals* 227,500 $ 4,065
United Stationers* 17,300 828
Universal Display* 36,200 353
Universal Forest Products 80,900 3,492
URS* 20,400 613
USF 91,300 3,375
Valmont Industries 38,800 968
Ventiv Health* 71,680 1,388
Walter Industries (B) 189,600 4,774
Washington Group International* 119,200 4,649
Watson Wyatt Holdings 85,400 2,277
WCI Communities* 107,900 2,764
Westinghouse Air Brake Technologies 64,600 1,329
Woodward Governor 29,300 2,135
York International 47,800 1,762
-----------
235,875
-----------
INFORMATION TECHNOLOGY -- 17.5%
Adaptec* 168,600 1,315
Advanced Digital Information* 115,900 1,064
Aeroflex* 124,900 1,530
Agile Software (B)* 240,500 2,011
Akamai Technologies (B)* 129,300 1,674
Alliance Semiconductor* 133,200 466
Altera (B)* 27,500 624
Ansys* 40,340 1,238
aQuantive (B)* 298,300 2,592
Arris Group* 280,800 1,598
Ascential Software* 196,400 2,685
Ask Jeeves (B)* 61,100 1,579
Asyst Technologies* 248,300 1,033
ATMI (B)* 92,359 2,126
Audible* 57,400 1,605
August Technology* 110,300 932
Avnet* 44,620 821
BakBone Software* 390,500 355
BEI Technologies 29,080 853
Belden CDT* 44,610 1,035
BISYS Group (B)* 173,980 2,785
Black Box 12,400 529
Blackbaud* 82,200 1,027
Blackboard (B)* 97,400 1,490
Borland Software* 21,600 253
Brocade Communications Systems* 173,610 1,203
Brooks Automation* 266,400 4,089
Cabot Microelectronics (B)* 16,800 621
Checkpoint Systems* 90,500 1,671
Cognex 56,264 1,452
Coherent* 57,030 1,648
Concur Technologies* 64,900 610
Corillian* 785,800 4,565
Credence Systems (B)* 572,720 4,376
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CSG Systems International* 55,800 $ 1,014
Cymer (B)* 142,200 4,326
Digimarc (B)* 298,400 2,748
Digitas* 220,800 1,813
DoubleClick (B)* 334,500 2,509
Dupont Photomasks* 12,810 338
E.piphany* 136,800 618
Earthlink* 346,100 3,752
Electroglas (B)* 62,700 204
Emulex (B)* 107,700 1,523
Exar* 66,100 924
F5 Networks* 75,650 3,257
Fairchild Semiconductor
International* 139,300 2,131
Faro Technologies* 54,610 1,485
FEI (B)* 215,400 4,607
Gartner, Cl A* 92,900 1,106
Genesis Microchip* 304,500 4,966
Harmonic* 128,900 1,002
Harris Interactive* 71,400 474
Homestore* 500,200 1,301
Hutchinson Technology (B)* 83,200 2,726
Hyperion Solutions* 22,200 995
Identix* 158,100 1,254
Immersion (B)* 462,248 2,478
InFocus* 102,300 685
Ingram Micro, Cl A (B)* 93,400 1,797
InPhonic* 16,500 421
Integrated Circuit Systems* 44,200 1,045
International Rectifier (B)* 56,200 2,380
Internet Security Systems* 49,400 1,196
Interwoven* 87,100 845
Iomega* 238,800 1,087
Itron* 88,500 1,916
iVillage* 248,900 1,181
Jack Henry & Associates 148,300 2,859
JDA Software Group* 92,000 1,207
Jupitermedia* 173,900 2,916
Kanbay International* 106,000 3,045
Keynote Systems* 103,200 1,314
KFX (B)* 143,500 2,161
Komag* 112,900 1,891
Kulicke & Soffa Industries (B)* 50,002 374
Lattice Semiconductor (B)* 941,500 5,026
Lawson Software* 68,300 422
Leadis Technology (B)* 90,200 877
Lionbridge Technologies* 151,800 836
LivePerson* 151,800 401
Macrovision* 57,100 1,516
Manhattan Associates* 91,900 2,233
Matrixone* 303,600 2,007
MAXIMUS (B)* 99,500 3,117
- --------------------------------------------------------------------------------
34 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Maxtor* 359,700 $ 1,374
Mentor Graphics* 103,800 1,303
Merix* 84,700 922
Methode Electronics 167,550 2,212
Micromuse* 279,000 1,467
MKS Instruments* 21,200 360
Motive* 54,700 697
Mykrolis* 170,300 2,088
Navarre* 90,115 1,535
Newport* 58,800 726
Nvidia (B)* 22,900 438
O2Micro International* 199,500 2,414
Onyx Software* 110,249 363
Open Solutions* 37,100 981
Openwave Systems (B)* 66,400 875
OSI Systems (B)* 100,600 2,185
Packeteer* 80,000 1,040
Parametric Technology* 157,530 922
Pegasus Solutions* 56,100 656
Performance Technologies* 77,110 550
Photronics* 110,700 2,086
Pinnacle Systems* 591,300 3,087
Pixelworks* 510,300 5,741
PLX Technology* 187,000 1,685
Polycom (B)* 420,700 9,609
Pomeroy IT Solutions* 96,610 1,320
Power Integrations* 74,400 1,468
ProQuest* 79,400 2,148
Quantum* 548,600 1,569
Radisys* 122,000 1,719
RADWARE* 30,400 772
Redback Networks (B)* 98,800 474
Remec (B)* 133,800 807
Richardson Electronics 124,610 1,389
Roxio* 41,600 389
RSA Security* 28,900 611
Rudolph Technologies (B)* 158,000 2,528
Sapient* 18,800 149
ScanSoft (B)* 463,400 1,691
Secure Computing* 176,400 1,838
Semtech* 78,400 1,605
Sigmatel (B)* 66,300 2,372
Silicon Image* 149,540 2,512
Silicon Storage Technology* 310,300 2,160
SimpleTech* 149,500 743
Sina (B)* 47,000 1,735
Sipex* 50,600 278
Sirf Technology Holdings* 161,100 2,041
Skyworks Solutions* 809,055 8,034
Sonus Networks* 60,100 397
Spatialight (B)* 134,000 1,202
SRA International, Cl A* 39,300 2,281
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
SS&C Technologies 101,500 $ 2,273
STATS ChipPAC ADR (B)* 194,223 1,090
Storage Technology* 59,600 1,737
Stratasys (B)* 74,100 2,393
SupportSoft* 150,000 762
Sybase* 175,300 3,020
SYKES Enterprises* 134,600 909
Synaptics* 140,455 5,393
Synopsys* 49,790 878
Tessera Technologies (B)* 64,900 2,307
THQ* 29,910 642
TIBCO Software (B)* 218,700 2,515
TradeStation Group* 194,200 1,441
Transaction Systems Architects, Cl A* 31,600 648
Trident Microsystems* 12,400 193
Triquint Semiconductor* 756,400 3,275
Trizetto Group* 124,400 881
TTM Technologies* 60,300 626
Ultra Clean Holdings* 142,338 750
Ultratech* 16,100 277
Unisys* 166,900 1,918
United Online* 64,600 689
Utstarcom (B)* 67,200 1,313
Verint Systems* 37,225 1,531
WatchGuard Technologies* 23,600 97
Wavecom ADR* 95,337 670
WebEx Communications (B)* 25,000 593
webMethods (B)* 151,500 930
Western Digital* 208,500 2,037
-----------
277,097
-----------
MATERIALS -- 4.6%
Airgas 67,800 1,802
Albemarle (B) 110,600 4,406
Aptargroup 51,540 2,708
Arch Coal 93,700 3,579
Carpenter Technology (B) 42,265 2,470
Constar International* 74,498 447
Crown Holdings* 274,200 3,510
Cytec Industries 133,900 6,509
Ferro 62,600 1,432
Georgia Gulf (B) 36,835 2,121
H.B. Fuller 35,900 1,027
Headwaters (B)* 43,000 1,377
Hercules (B)* 121,700 1,813
Jacuzzi Brands* 441,800 4,126
Massey Energy (B) 44,500 1,563
Mosaic (B)* 54,700 951
NewMarket* 54,849 1,053
Northgate Minerals* 847,500 1,466
NS Group* 47,100 1,044
Olin 116,430 2,642
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 35
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS (Unaudited)
SMALL CAP FUND (Continued)
November 30, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
OM Group* 57,700 $ 1,774
Packaging of America 50,900 1,171
Quanex 39,900 2,354
Rock-Tenn, Cl A 71,600 1,156
Schweitzer-Mauduit International 88,558 3,061
Silgan Holdings 66,975 3,637
Steel Dynamics (B) 139,100 5,638
Symyx Technologies (B)* 121,400 3,828
Wheeling-Pittsburgh (B)* 113,700 4,159
-----------
72,824
-----------
TELECOMMUNICATION SERVICES -- 0.6%
Alamosa Holdings (B)* 146,220 1,594
Alvarion* 117,300 1,721
Aspect Communications* 90,000 977
AudioCodes (B)* 117,910 1,733
Boston Communications Group* 60,900 542
General Communication, Cl A* 121,608 1,245
IDT* 26,300 386
IDT, Cl B* 31,700 487
Talk America Holdings (B)* 55,500 351
-----------
9,036
-----------
UTILITIES -- 2.3%
AGL Resources 125,610 4,169
Allete 18,366 669
Aquila (B)* 86,400 302
Avista 106,200 1,890
Black Hills 51,900 1,594
Cascade Natural Gas 31,820 680
Centerpoint Energy 47,500 530
Cleco 30,100 596
CMS Energy (B)* 130,000 1,326
El Paso Electric* 75,400 1,353
Energen 35,900 2,077
Idacorp 34,410 1,109
NUI (B) 80,200 1,099
Oneok 109,200 3,049
Pico Holdings* 81,158 1,673
PNM Resources 217,350 5,529
UGI (B) 87,300 3,543
UIL Holdings 44,400 2,374
Westar Energy 71,060 1,574
WGL Holdings 22,210 673
Wisconsin Energy 38,450 1,279
-----------
37,088
-----------
Total Common Stock
(Cost $1,307,468) ($ Thousands) 1,511,200
-----------
EXCHANGE TRADED FUNDS -- 0.5%
iShares Russell 2000 Index Fund (B)* 54,941 6,971
Midcap SPDR Trusts Ser 1* 11,200 1,310
-----------
Total Exchange Traded Funds
(Cost $7,413) ($ Thousands) 8,281
-----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Number of
Warrants
WARRANTS -- 0.0%
Theglobe.com, Expires 05/05/09
(E) (F)* 450,000 $ 173
Washington Mutual (D)* 302,461 48
-----------
Total Warrants
(Cost $266) ($ Thousands) 221
-----------
Number of
Rights
RIGHTS -- 0.0%
Bank United (I)* 27,200 --
-----------
Total Rights
(Cost $4) ($ Thousands) --
-----------
CORPORATE OBLIGATIONS (C)(H) -- 6.6%
FINANCIALS -- 6.4%
Allstate Life Global Funding MTN
2.090%, 11/14/05 $ 1,381 1,381
Belford Funding MTN
2.140%, 02/02/05 5,526 5,526
Bradford & Bingley
2.196%, 01/07/05 3,481 3,481
CCN Bluegrass
2.207%, 08/18/05 4,144 4,144
CIT Group
1.870%, 12/01/04 3,316 3,316
Countrywide Home Loans MTN, Ser L
2.435%, 02/23/05 1,602 1,602
Countrywide Home Loans MTN, Ser M
2.471%, 08/26/05 1,658 1,658
2.429%, 05/20/05 1,105 1,105
2.030%, 06/23/05 2,210 2,210
Five Finance MTN
2.150%, 09/22/05 7,847 7,843
Harrier Finance Funding MTN, Ser 1
1.886%, 06/15/05 4,807 4,806
Irish Life & Permanent MTN, Ser X
2.155%, 12/22/05 5,139 5,138
Lakeside Funding
2.276%, 12/08/04 7,058 7,058
Liberty Light US Capital
2.075%, 01/14/05 2,763 2,763
2.070%, 02/09/05 2,763 2,763
Morgan Stanley, Ser EXL
2.039%, 12/04/05 1,105 1,105
Nationwide Building Society
1.953%, 10/28/05 2,763 2,763
Pacific Life Global Funding
2.090%, 11/14/05 4,144 4,144
- --------------------------------------------------------------------------------
36 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Premium Asset Trust
2.170%, 12/15/05 $ 7,736 $ 7,736
SLM MTN, Cl X
2.150%, 12/20/05 9,670 9,670
Saturn Ventures
2.143%, 02/07/05 2,763 2,763
Sigma Finance MTN
1.989%, 01/04/05 3,315 3,315
U.S. Trust
2.212%, 09/12/05 5,526 5,526
Washington Mutual Bank
2.310%, 08/18/05 5,526 5,526
White Pine Finance
2.096%, 03/11/05 1,381 1,381
2.026%, 11/01/05 2,431 2,431
-----------
101,154
-----------
INDUSTRIALS -- 0.2%
Caterpillar MTN, Ser F
2.180%, 07/11/05 2,763 2,763
-----------
Total Corporate Obligations
(Cost $103,917) ($ Thousands) 103,917
-----------
COMMERCIAL PAPER (C)(G) -- 3.7%
FINANCIALS -- 3.7%
Broadhollow Funding
2.111%, 12/06/04 4,144 4,143
CPI Funding
2.121%, 12/10/04 5,333 5,330
Golden Fish
2.307%, 01/18/05 3,329 3,319
2.172%, 12/17/04 1,615 1,613
2.162%, 12/14/04 1,944 1,942
2.031%, 12/08/04 944 944
Harwood Street Funding
2.137%, 12/15/04 8,544 8,537
Household Finance
2.142%, 12/15/04 6,907 6,901
Laguna
2.141%, 12/10/04 2,210 2,209
2.140%, 12/03/04 2,763 2,762
Main Street Warehouse
2.131%, 12/07/04 1,105 1,105
2.131%, 12/08/04 1,105 1,105
2.131%, 12/09/04 5,526 5,523
Thornburg Mortgage Capital
2.152%, 12/15/04 5,526 5,521
2.151%, 12/07/04 1,934 1,933
2.150%, 12/03/04 4,973 4,973
-----------
Total Commercial Paper
(Cost $57,860) ($ Thousands) 57,860
-----------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (C) -- 2.7%
AUTOMOTIVE -- 0.1%
Drivetime Auto Owner Trust
2.148%, 11/15/05 (H) $ 1,167 $ 1,167
1.640%, 07/15/05 437 437
-----------
1,604
-----------
MORTGAGE RELATED SECURITIES (H) -- 2.6%
Aire Valley Mortgages
2.140%, 09/20/05 3,536 3,536
Blue Heron Funding
2.211%, 02/23/05 5,526 5,526
2.170%, 03/18/05 2,486 2,486
Cheyne High Grade
2.280%, 11/10/05 3,177 3,177
Commodore
1.970%, 12/12/38 1,658 1,658
Davis Square Funding
2.091%, 04/06/05 2,763 2,763
2.091%, 05/06/05 2,763 2,763
Duke Funding
2.115%, 04/08/05 2,763 2,763
Harwood
2.190%, 09/20/05 7,018 7,018
Orchid Structured Finance
2.410%, 05/18/05 6,064 6,064
RMAC
2.090%, 06/12/05 2,487 2,487
Whitehawk CDO Funding
1.710%, 06/15/05 1,381 1,381
-----------
41,622
-----------
Total Asset-Backed Securities
(Cost $43,226) ($ Thousands) 43,226
-----------
CASH EQUIVALENTS -- 4.0%
Bear Stearns Master Notes (C) 5,525,787 5,526
First Union Cash Management
Program 6,635,411 6,635
SEI Daily Income Trust,
Prime Obligation Fund, Cl A++ 51,129,579 51,130
-----------
Total Cash Equivalents
(Cost $63,291) ($ Thousands) 63,291
-----------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bills (A)
1.864%, 02/24/05 2,750 2,736
-----------
Total U.S. Treasury Obligation
(Cost $2,739) ($ Thousands) 2,736
-----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 37
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS (Unaudited)
SMALL CAP FUND (Concluded)
November 30, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (C) -- 3.9%
Barclays
2.070%, dated 11/30/04, to be
repurchased on 12/01/04,
repurchase price $12,237,836
(collateralized by various
U.S. Government Obligations,
ranging in par value $565,288-
$8,288,681, 1.625%-7.000%,
04/15/05-03/15/10; with total
market value $12,482,127) $12,237 $ 12,237
Lehman Brothers
2.070%, dated 11/30/04, to be
repurchased on 12/01/04,
repurchase price $3,591,968
(collateralized by various
U.S. Government Obligations,
ranging in par value $118,252-
$244,350, 0.000%-6.700%,
09/13/05-08/15/27; with total
market value $3,663,704) 3,592 3,592
UBS Paine Webber
2.070%, dated 11/30/04, to be
repurchased on 12/01/04,
repurchase price $45,314,060
(collateralized by various
U.S. Government Obligations,
ranging in par value $640,162-
$2,762,894, 0.000%-5.002%,
12/17/04-11/15/29; with total
market value $46,217,852) 45,311 45,311
-----------
Total Repurchase Agreements
(Cost $61,140) ($ Thousands) 61,140
-----------
Total Investments -- 117.2%
(Cost $1,647,324) ($ Thousands) 1,851,872
-----------
OTHER ASSETS AND LIABILITIES -- (17.2)%
Payable upon Return on Securities Loaned (271,669)
Payable for Investment Securities Purchased (7,863)
Payable for Capital Shares Redeemed (5,241)
Investment Advisory Fees Payable (668)
Trustees' Fees Payable (6)
Other Assets and Liabilities, Net 13,765
-----------
Total Other Assets and Liabilities (271,682)
-----------
Net Assets -- 100.0% $ 1,580,190
===========
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 1,196,488
Undistributed net investment income 1,225
Accumulated net realized gain on investments
and futures contracts 174,035
Net unrealized appreciation on investments 204,548
Net unrealized appreciation on futures contracts 3,894
-----------
Net Assets $ 1,580,190
===========
Net Asset Value, Offering and Redemption Price
Per Share -- Class A
($1,579,998,444 / 97,689,436 shares) $16.17
======
Net Asset Value, Offering and Redemption
Price Per Share -- Class T
($191,670 / 11,910 shares) $16.09
======
* Non-income producing security.
+ Real Estate Investment Trust
++ See Note 3 in Notes to Financial Statements.
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts. The rate reported is the effective yield at time of
purchase.
(B) This security or a partial position of this security is on loan at
November 30, 2004 (see Note 9). The total value of securities on loan at
November 30, 2004 was $261,424,762.
(C) This security was purchased with cash collateral held from securities
lending (see Note 9). The total value of such securities as of November
30, 2004 was $271,669,275.
(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 November 30, 2004 was $48,394 and represented 0.00% of
Net Assets.
(F) Securities considered illiquid. The total value of such securities as of
November 30, 2004 was $48,394 and represented 0.00% of Net Assets.
(G) The rate reported is the effective yield at time of purchase.
(H) Variable Rate Security -- The rate reported on the Statement of Net Assets
is the rate in effect as of November 30, 2004.
(I) This security was issued for possible settlement of pending litigation and
does not have an expiration date.
ADR -- American Depository Receipt
Cl -- Class
MTN -- Medium Term Note
Ser -- Series
SPDR -- Standard & Poor's Depositary Receipts
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
38 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
SMALL/MID CAP EQUITY FUND
November 30, 2004
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)**:
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
27.1% Financials
14.1% Consumer Discretionary
13.7% Information Technology
11.6% Health Care
9.9% Industrials
6.7% Short-Term Investments
5.0% Materials
3.8% Energy
2.6% Utilities
2.4% Consumer Staples
2.3% Asset-Backed Securities
0.7% Telecommunication Services
0.1% U.S. Treasury Obligations
0.0% Warrants
0.0% Exchange Traded Fund
** Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 93.5%
CONSUMER DISCRETIONARY -- 16.0%
1-800 Contacts* 24,000 $ 492
Abercrombie & Fitch, Cl A 6,100 278
America's Car Mart* 23,453 861
American Axle & Manufacturing
Holdings 7,300 213
American Eagle Outfitters* 23,500 982
American Greetings, Cl A* 14,400 383
American Woodmark 1,000 40
Ameristar Casinos 3,900 157
AnnTaylor Stores* 54,550 1,197
Arctic Cat 13,900 371
Autoliv 46,200 2,159
Autonation (B)* 29,500 546
Barnes & Noble* 20,100 544
Black & Decker 13,900 1,169
Bluegreen* 6,900 110
Borders Group 35,800 815
BorgWarner 18,000 901
Brown Shoe 7,600 217
Brunswick 38,600 1,884
Cache* 39,788 657
Carter's* 22,900 804
Catalina Marketing 6,000 169
Cato, Cl A 28,400 758
CEC Entertainment* 21,937 893
Charming Shoppes* 118,915 1,112
Cheesecake Factory (B)* 26,100 1,276
Chico's FAS (B)* 11,027 426
CKE Restaurants* 7,400 93
Claire's Stores 27,500 560
Coach* 38,300 1,909
Columbia Sportswear (B)* 13,800 785
Comfort Systems USA* 54,965 396
Cooper Tire & Rubber 25,800 527
Cost Plus* 17,000 540
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cumulus Media, Cl A* 47,900 $ 732
Design Within Reach* 51,700 845
Dick's Sporting Goods (B)* 10,697 385
Dillard's, Cl A 34,600 871
Dollar Thrifty Automotive Group* 21,600 581
DreamWorks Animation, Cl A* 5,700 211
Eagle Materials 12,673 958
Electronics Boutique Holdings (B)* 10,800 421
Entravision Communications, Cl A* 9,800 80
Ethan Allen Interiors 16,300 643
Fairmont Hotels & Resorts 25,700 797
Federated Department Stores 23,500 1,288
Fleetwood Enterprises* 90,100 1,221
Four Seasons Hotels 14,900 1,050
GameStop, Cl A (B)* 29,500 622
GameStop, Cl B* 6,540 139
Gentex 21,900 708
Getty Images (B)* 15,600 909
Gildan Activewear, Cl A* 18,500 576
Goodyear Tire & Rubber (B)* 40,100 506
Gray Television 31,766 476
Group 1 Automotive* 12,800 378
GSI Commerce* 19,400 293
Handleman 115,000 2,438
Harman International Industries 9,800 1,204
Hasbro 34,700 660
HOT Topic* 23,148 379
Insight Communications, Cl A* 5,400 46
Insight Enterprises* 31,275 633
Jack in the Box* 33,700 1,273
Jakks Pacific (B)* 12,200 227
Jarden* 44,600 1,711
Jo-Ann Stores* 1,800 49
Journal Communications, Cl A 6,600 116
K2 (B)* 60,900 1,028
KB Home (B) 10,600 932
Kerzner International (B)* 29,510 1,681
Lear 7,100 412
Lin TV, Cl A* 28,500 514
Lions Gate Entertainment* 143,724 1,545
Lone Star Steakhouse & Saloon 31,544 851
Mandalay Resort Group 9,400 655
Maytag (B) 24,200 486
Media General, Cl A 5,515 343
Mediacom Communications,
Cl A (B)* 56,200 293
Meredith 10,700 564
Modine Manufacturing 11,950 384
Movie Gallery (B) 8,000 139
MSC Industrial Direct, Cl A 23,500 837
MTR Gaming Group* 63,000 634
Nautilus Group 12,700 277
New York* 10,400 242
Nexstar Broadcasting Group, Cl A* 23,400 195
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 39
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS (Unaudited)
SMALL/MID CAP EQUITY FUND (Continued)
November 30, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Noble International 1,800 $ 35
NVR (B)* 1,400 967
O'Reilly Automotive (B)* 9,500 414
Pacific Sunwear of California 49,200 1,093
Panera Bread, Cl A (B)* 13,400 535
Parkervision (B)* 22,900 171
Party City* 1,500 19
PDI* 1,600 37
Penn National Gaming* 13,411 708
Petsmart (B) 41,700 1,429
PF Chang's China Bistro (B)* 30,000 1,687
Phillips-Van Heusen 11,795 322
Pinnacle Entertainment (B)* 69,317 1,260
Polo Ralph Lauren 48,800 1,922
PTEK Holdings* 26,300 277
Pulitzer 13,500 859
RC2* 2,100 66
Reader's Digest Association 20,600 295
Reebok International 15,653 609
Regis 40,300 1,799
Rent-A-Center* 13,000 331
Royal Caribbean Cruises (B) 17,900 890
Ryland Group 14,400 1,459
Saks 41,400 576
ShopKo Stores (B)* 13,500 241
Sonic* 29,400 858
Sports Authority* 30,500 870
Stage Stores* 3,700 152
Standard Motor Products 16,200 253
Standard-Pacific 9,000 504
Stanley Works 21,500 1,005
Starwood Hotels & Resorts Worldwide 26,000 1,360
Stein Mart* 5,500 91
Technical Olympic USA 19,900 487
Tenneco Automotive* 16,400 254
Texas Roadhouse* 3,000 76
Theglobe.com* 154,900 75
Thomas Nelson 5,000 123
Timberland, Cl A* 8,100 513
TRW Automotive Holdings* 20,280 429
Tupperware (B) 14,600 273
United Auto Group 6,400 182
UnitedGlobalCom, Cl A* 65,222 543
Urban Outfitters* 12,100 514
Value Line 6,900 276
Warnaco Group* 29,380 584
WESCO International* 10,200 287
West Marine* 15,440 357
Whirlpool 7,400 478
Williams-Sonoma (B)* 59,900 2,193
Wynn Resorts (B)* 19,500 1,133
XM Satellite Radio Holdings,
Cl A (B)* 32,000 1,181
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Yankee Candle* 21,500 $ 655
Zale* 54,310 1,589
---------
94,958
---------
CONSUMER STAPLES -- 2.7%
Adolph Coors, Cl B 12,900 966
BJ's Wholesale Club* 8,900 264
Bunge 21,900 1,155
Chattem* 3,700 134
Corn Products International 16,900 920
Dean Foods* 25,800 817
Del Monte Foods* 80,700 876
Energizer Holdings (B)* 36,100 1,686
Gold Kist* 40,000 559
Interstate Bakeries (B) 14,200 83
JM Smucker 8,600 391
Loews--Carolina Group 11,400 335
Longs Drug Stores 31,600 844
McCormick & Schmick's Seafood
Restaurants* 40,519 670
Nash Finch 2,400 89
NBTY* 36,800 959
PepsiAmericas 32,400 684
Pilgrim's Pride (B) 29,100 975
Ralcorp Holdings* 32,800 1,351
Rayovac* 6,500 193
Ruddick 3,500 76
Sanderson Farms 4,800 179
Supervalu 29,100 919
Tyson Foods, Cl A 44,100 723
Vector Group (B) 5,300 87
---------
15,935
---------
ENERGY -- 4.3%
Ashland 22,100 1,307
BJ Services (B)* 19,019 964
Brigham Exploration* 41,450 388
Cabot Oil & Gas 12,900 624
Cal Dive International* 8,300 357
Callon Petroleum* 3,700 52
CARBO Ceramics 1,400 109
Chesapeake Energy (B) 15,500 279
Denbury Resources* 23,000 666
Encore Acquisition* 11,000 387
ENSCO International 7,900 247
EOG Resources 9,300 698
Forest Oil (B)* 13,900 473
Giant Industries* 9,100 255
Houston Exploration* 11,300 677
Magnum Hunter Resources* 272,325 3,649
National-Oilwell (B)* 22,197 804
Oil States International* 4,200 86
Patina Oil & Gas 43,300 1,438
- --------------------------------------------------------------------------------
40 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Patterson-UTI Energy (B) 35,300 $ 706
Penn Virginia 13,100 569
Petroleum Development* 12,500 514
Plains Exploration & Production* 24,327 682
Pride International (B)* 12,000 235
RPC 2,800 76
Smith International (B)* 6,500 394
Spinnaker Exploration* 21,203 769
Stone Energy* 19,600 940
Sunoco 14,800 1,222
Superior Energy Services* 13,700 201
Swift Energy* 49,400 1,499
Syntroleum (B)* 55,100 382
Tesoro Petroleum (B)* 41,400 1,371
Ultra Petroleum* 2,800 147
Unit* 18,556 735
Veritas DGC* 17,100 400
Vintage Petroleum 26,900 652
Weatherford International* 13,861 740
---------
25,694
---------
FINANCIALS -- 21.3%
Aames Investment (B)+* 23,000 251
Acadia Realty Trust+ 34,400 521
Accredited Home Lenders* 16,600 713
ACE Cash Express* 4,300 115
Advanta, Cl B 47,589 1,136
Affiliated Managers Group (B)* 52,812 3,347
Allmerica Financial* 40,700 1,325
AMB Property+ 34,900 1,394
Amcore Financial 23,875 777
American Financial Group 20,100 633
American Home Mortgage
Investment+* 29,700 972
AmerUs Group 34,196 1,490
Anthracite Capital+ 1,200 14
Apartment Investment &
Management, Cl A+ 27,500 1,000
Arbor Realty Trust+* 2,800 66
Archipelago Holdings* 17,830 397
Archstone-Smith Trust+ 29,100 1,062
Ashford Hospitality Trust+ 61,220 606
Asset Acceptance Capital* 1,100 23
Associated Banc (B) 8,400 279
Astoria Financial 22,600 938
AvalonBay Communities+ 18,800 1,337
Bank of Hawaii 29,000 1,408
Banknorth Group 23,900 860
Bedford Property Investors+ 1,900 53
Brandywine Realty Trust+ 44,277 1,260
Calamos Asset Management,
Cl A (B)* 10,800 256
Camden Property Trust (B)+ 22,800 1,118
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Capital Crossing Bank* 1,400 $ 37
Capital Trust, Cl A+ 1,800 59
CapitalSource (B)* 40,750 945
Center Financial 1,200 25
Chemical Financial 19,464 816
City Holding 21,854 807
City National 18,400 1,259
Colonial BancGroup (B) 30,700 652
Colonial Properties Trust+ 3,800 150
Columbia Banking System 1,050 27
Commerce Bancorp (B) 5,300 331
Commerce Bancshares 14,280 698
Commercial Federal 44,586 1,299
Community Bank System 13,200 366
CompuCredit (B)* 20,900 501
Corporate Office Properties Trust+ 61,111 1,698
CRT Properties+ 2,800 69
Cullen/Frost Bankers 18,800 901
Delphi Financial Group, Cl A 18,558 862
Dime Community Bancshares 39,929 733
Downey Financial 13,500 779
E*Trade Financial* 250,800 3,476
East-West Bancorp 16,900 701
Eaton Vance 11,300 542
Entertainment Properties Trust+ 2,500 107
Equity Inns+ 5,000 52
Equity Residential+ 43,500 1,466
Essex Property Trust+ 6,500 523
Federal Agricultural Mortgage* 2,300 52
Federal Realty Investment Trust+ 27,200 1,364
FelCor Lodging Trust+* 8,900 115
Fidelity National Financial 34,400 1,475
First American 21,400 705
First Financial Bankshares 400 17
First Industrial Realty Trust 5,800 231
First Marblehead* 6,600 375
First Potomac Realty Trust+ 17,985 413
First Republic Bank 10,800 555
FirstFed Financial* 18,735 986
FirstMerit 27,055 740
Forest City Enterprises, Cl A 6,947 373
Fremont General 15,200 362
Friedman Billings Ramsey Group,
Cl A+ 100,100 1,914
Frontier Financial 400 16
Gables Residential Trust+ 7,500 268
Gold Banc 72,000 1,077
Greater Bay Bancorp (B) 35,938 1,044
HCC Insurance Holdings 32,700 1,084
Hibernia, Cl A 44,800 1,296
Highland Hospitality+* 66,867 753
Highwoods Properties+ 33,337 862
Horace Mann Educators 39,700 754
Hospitality Properties Trust (B)+ 13,100 589
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 41
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS (Unaudited)
SMALL/MID CAP EQUITY FUND (Continued)
November 30, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Host Marriott+* 84,400 $ 1,322
HRPT Properties Trust (B)+ 107,600 1,301
Hudson United Bancorp 3,300 134
Huntington Bancshares 41,100 997
Huron Consulting Group* 48,800 1,032
IMPAC Mortgage Holdings+ 17,400 408
Independence Community Bank 11,400 484
IndyMac Bancorp 41,900 1,361
Innkeepers USA Trust+ 11,500 155
Instinet Group* 175,155 1,049
Investment Technology Group* 38,965 653
Investors Financial Services 7,000 307
Irwin Financial 11,600 309
Itla Capital* 500 27
Jackson Hewitt Tax Service (B)* 33,600 725
Kansas City Life Insurance 11,000 544
Kilroy Realty+ 2,200 89
KNBT Bancorp* 26,000 445
Knight Trading Group, Cl A* 68,045 776
LandAmerica Financial Group 5,400 288
LaSalle Hotel Properties+ 3,800 117
LTC Properties+ 5,500 104
Macerich+ 28,200 1,713
Mack-Cali Realty+ 26,300 1,150
MAF Bancorp 14,517 666
Marlin Business Services* 60,432 1,030
Medical Properties Trust+* 34,000 340
Mercury General 7,100 403
Meristar Hospitality+* 102,013 694
MFA Mortgage Investments+ 41,100 376
Mid-America Apartment
Communities+ 2,700 107
Mid-State Bancshares 800 24
Mills+ 3,800 226
Montpelier Re Holdings (B) 21,600 798
National Health Investors+ 2,600 75
Navigators Group* 18,995 537
Nelnet, Cl A* 4,300 104
New Century Financial+ 18,300 1,158
New Plan Excel Realty Trust+ 21,100 559
NewAlliance Bancshares* 28,200 424
Newcastle Investment+ 5,800 182
Novastar Financial (B)+ 15,500 682
Ocwen Financial (B)* 12,500 117
Odyssey Re Holdings 27,205 657
Ohio Casualty* 38,416 825
Omega Healthcare Investors+ 8,800 110
One Liberty Properties+ 16,800 323
Online Resources* 126,793 894
Oriental Financial Group 30,700 931
PartnerRe Holdings 24,200 1,481
Pennsylvania Real Estate Investment
Trust+ 7,800 318
PFF Bancorp 13,600 615
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Philadelphia Consolidated Holding* 2,100 $ 143
Piper Jaffray* 13,447 619
Platinum Underwriters Holdings 16,410 489
Popular 34,400 912
Post Properties+ 16,200 552
Presidential Life 23,200 388
Prosperity Bancshares 1,600 45
Protective Life 9,300 389
Provident Bankshares (B) 37,477 1,377
Providian Financial* 26,100 419
Public Storage+ 20,000 1,068
R & G Financial, Cl B 7,200 279
RAIT Investment Trust+ 3,200 90
Ramco-Gershenson Properties+ 18,814 572
Raymond James Financial 44,575 1,319
Reckson Associates Realty+ 31,700 1,026
Regency Centers+ 14,900 775
Reinsurance Group of America 6,600 306
RenaissanceRe Holdings 22,300 1,123
RLI 18,931 788
Selective Insurance Group 2,100 94
Senior Housing Properties Trust+ 12,500 246
Shurgard Storage Centers, Cl A+ 26,400 1,092
Signature Bank* 25,785 810
Silicon Valley Bancshares* 15,600 655
Simon Property Group+ 22,500 1,397
Sky Financial Group 26,785 776
SL Green Realty+ 24,800 1,429
Sovereign Bancorp 123,881 2,707
Stancorp Financial Group 900 71
Sterling Financial* 24,600 983
Stewart Information Services 15,200 663
Summit Properties+ 22,103 704
Sunstone Hotel Investors (B)+* 48,600 888
Susquehanna Bancshares 16,928 440
Taubman Centers (B)+ 18,400 541
Thornburg Mortgage+ 4,600 131
TierOne 16,100 399
Triad Guaranty* 10,261 616
Trizec Properties+ 62,100 1,023
Trustmark 22,435 691
U-Store-It Trust* 48,100 821
UICI* 16,000 534
United Fire & Casualty 700 47
Universal American Financial* 59,589 795
Urstadt Biddle Properties, Cl A+ 3,700 62
Virginia Commerce Bancorp* 18,900 539
W Holding 7,400 163
Washington Federal 37,200 1,003
Westamerica Bancorporation 6,000 349
Westcorp 3,700 156
Whitney Holding 19,616 905
Wilshire Bancorp* 4,600 150
Winston Hotels+ 6,500 74
- --------------------------------------------------------------------------------
42 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Wintrust Financial 3,400 $ 203
World Acceptance* 2,700 70
Zenith National Insurance (B) 16,500 758
---------
126,462
---------
HEALTH CARE -- 13.1%
Abgenix* 98,200 997
Accredo Health (B)* 37,700 1,021
Affymetrix (B)* 5,800 197
Albany Molecular Research* 7,500 80
Alderwoods Group* 3,400 36
Align Technology* 7,600 80
Alpharma, Cl A 52,600 874
America Service Group* 1,600 40
AMERIGROUP* 20,731 1,430
Amsurg* 19,250 495
Amylin Pharmaceuticals (B)* 33,800 689
Andrx* 44,795 797
Animas (B)* 32,100 520
Applera - Applied Biosystems Group 37,700 773
Applera--Celera Genomics Group* 38,000 535
Apria Healthcare Group* 63,500 1,948
Ariad Pharmaceuticals* 78,500 453
Array Biopharma* 38,000 318
Aspect Medical Systems* 29,000 708
Axonyx (B)* 88,896 654
Barr Pharmaceuticals* 70,300 2,745
Bausch & Lomb 16,800 989
Bio-Rad Laboratories, Cl A* 13,100 743
Bioenvision (B)* 86,300 889
Biosite (B)* 12,800 713
Cephalon (B)* 42,500 2,020
Cerner* 11,400 601
Charles River Laboratories
International* 3,400 159
Community Health Systems* 24,300 672
Conmed* 3,400 98
Cooper 5,979 416
Covance* 15,056 594
Coventry Health Care* 10,250 509
CTI Molecular Imaging* 5,400 72
Cubist Pharmaceuticals* 89,600 1,075
CV Therapeutics (B)* 172,900 3,748
Cypress Bioscience* 4,500 52
Dade Behring Holdings* 16,758 900
Dendreon (B)* 97,600 957
Dendrite International* 3,100 53
Depomed (B)* 74,500 347
Diamondrock Hospitality* 38,700 387
Discovery Laboratories* 35,042 245
DJ Orthopedics* 28,700 579
Dov Pharmaceutical (B)* 33,636 623
Encysive Pharmaceuticals* 77,200 838
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Endo Pharmaceuticals Holdings* 43,500 $ 891
Endologix* 90,500 585
Eon Labs* 2,300 62
Exelixis* 33,900 304
Express Scripts* 7,900 568
Fisher Scientific International* 39,200 2,216
Flamel Technologies ADR* 31,700 665
Gen-Probe* 4,900 195
Genitope* 23,600 372
Genta (B)* 86,000 112
GenVec* 189,845 368
Hillenbrand Industries 4,700 258
Human Genome Sciences (B)* 74,000 814
ICOS* 500 12
Idenix Pharmaceuticals* 1,800 26
Idexx Laboratories* 2,100 108
IDX Systems* 28,000 983
II-VI* 3,100 134
Immucor* 29,800 958
Immunicon* 52,142 415
Incyte (B)* 82,000 842
Inspire Pharmaceuticals* 24,000 430
InterMune* 39,900 495
Invacare 11,695 591
Invitrogen (B)* 13,700 829
Kensey Nash* 4,800 150
Kindred Healthcare* 6,800 186
King Pharmaceuticals* 28,000 349
Kos Pharmaceuticals* 3,900 166
Laboratory of America Holdings* 19,500 935
LifePoint Hospitals* 18,100 666
Ligand Pharmaceuticals, Cl B (B)* 95,900 1,074
Manor Care (B) 14,500 500
Medcath* 23,300 506
Medical Action Industries* 1,200 24
Medicis Pharmaceutical, Cl A 53,800 1,979
Mettler Toledo International* 8,300 428
MGI Pharma* 24,000 648
Millipore* 3,200 156
MTS Systems 2,100 64
Mylan Laboratories (B) 45,600 828
Nektar Therapeutics* 94,869 1,773
Neurometrix (B)* 63,900 540
Nu Skin Enterprises, Cl A 42,900 964
Nutraceutical International* 3,500 56
NuVasive* 59,748 568
Option Care (B) 2,600 45
Orthovita* 83,265 321
Par Pharmaceutical* 30,600 1,207
Parexel International* 2,500 52
PerkinElmer 42,300 902
Perrigo 3,800 69
Pharmaceutical Product
Development* 12,600 531
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 43
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS (Unaudited)
SMALL/MID CAP EQUITY FUND (Continued)
November 30, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Pharmion* 13,000 $ 550
Pharmos (B)* 188,323 753
PolyMedica 19,500 693
Pozen* 47,100 327
Protein Design Labs* 46,100 835
Quest Diagnostics 7,356 690
Regeneron Pharmaceuticals* 7,000 65
RehabCare Group* 4,700 124
Respironics (B)* 2,000 111
Rigel Pharmaceuticals (B)* 20,600 515
Rotech Healthcare* 15,000 379
Salix Pharmaceuticals* 33,800 512
Select Medical 20,500 358
Serologicals* 5,200 121
SFBC International* 11,536 448
Sierra Health Services* 9,200 512
Sunrise Senior Living (B)* 11,900 511
SurModics (B)* 13,100 394
Sybron Dental Specialties* 47,230 1,617
Techne* 3,600 134
Telik* 32,300 617
Third Wave Technologies* 6,800 55
Triad Hospitals* 25,000 917
Trimeris (B)* 81,500 1,011
United Therapeutics* 3,500 154
Universal Health Services, Cl B 15,454 703
USANA Health Sciences (B)* 4,500 134
Varian* 300 11
Ventana Medical Systems* 500 30
Vertex Pharmaceuticals* 14,400 153
Vicuron Pharmaceuticals* 7,200 127
Watson Pharmaceuticals* 60,600 1,760
West Pharmaceutical Services 3,400 79
---------
77,989
---------
INDUSTRIALS -- 11.2%
Actuant, Cl A (B)* 32,275 1,518
Acuity Brands 33,230 978
Advisory Board* 7,000 249
AGCO (B)* 26,000 567
Alaska Air Group* 13,500 422
Alliant Techsystems* 6,700 441
Ametek 29,210 955
Arlington Tankers* 11,100 255
Armor Holdings* 10,000 432
Banta 28,560 1,271
BE Aerospace* 56,481 598
Blount International* 34,600 603
Briggs & Stratton 38,600 1,514
Bright Horizons Family Solutions* 13,000 816
Brink's 28,500 1,100
Chicago Bridge & Iron (NY Shares) 14,700 569
CNF 10,678 499
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Coinstar* 4,200 $ 109
Consolidated Graphics* 2,300 109
Corinthian Colleges (B)* 29,500 514
Corporate Executive Board 26,398 1,771
Cummins 26,900 2,142
Curtiss-Wright 8,477 505
Deluxe 12,400 490
Duratek* 2,300 53
Dycom Industries* 9,090 265
EDO 15,500 472
Education Management* 62,700 2,078
Engineered Support Systems (B) 10,800 594
Esterline Technologies* 6,900 246
ExpressJet Holdings* 64,400 751
Flowserve (B)* 9,500 240
Forrester Research* 29,499 481
Genessee & Wyoming, Cl A* 16,744 462
Goodrich 35,200 1,118
GrafTech International* 82,700 789
Greg Manning Auctions (B)* 3,200 37
Griffon (B)* 39,500 991
Herman Miller 37,600 924
HUB Group, Cl A* 17,460 759
Hubbell, Cl B 5,100 248
infoUSA* 3,400 37
Integrated Electrical Services (B)* 38,300 116
Iron Mountain* 15,500 467
ITT Educational Services (B)* 21,000 1,002
JB Hunt Transport Services 9,000 362
John H. Harland 24,300 858
Kennametal 12,990 666
Labor Ready* 48,169 765
Laidlaw International* 98,400 1,860
Laureate Education* 25,760 1,015
Lennox International 26,000 468
M/I Homes 12,000 542
Mcgrath Rentcorp 3,200 135
Mercury Computer Systems* 17,000 535
Mesa Air Group (B)* 14,900 105
Molecular Devices* 5,600 118
Monster Worldwide (B)* 33,200 936
MTC Technologies* 3,500 108
National Financial Partners 15,580 541
Navigant Consulting* 22,300 521
NCO Group* 3,500 88
Nordson 3,400 129
Northwest Airlines* 42,867 439
Oshkosh Truck 17,500 1,099
Overnite 18,284 646
Paccar (B) 13,700 1,070
Pacer International* 17,766 347
Pinnacle Airlines* 4,100 51
Power-One* 27,200 250
Quality Systems* 700 43
- --------------------------------------------------------------------------------
44 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
R.H. Donnelley* 18,474 $ 1,010
RailAmerica* 4,600 59
Resources Connection* 18,100 821
Ritchie Brothers Auctioneers 16,600 496
Roper Industries 1,100 68
Ryder System (B) 37,200 1,995
Senomyx (B)* 106,200 1,051
Service International* 80,000 565
Sirva* 29,867 594
Skywest 17,300 329
Sourcecorp* 11,600 193
SPX (B) 21,400 880
Stewart Enterprises, Cl A* 92,284 685
Strayer Education 4,500 484
Swift Transportation (B)* 7,300 142
Sypris Solutions 19,100 311
TeleTech Holdings* 7,100 69
Terex* 19,300 885
Timken 70,130 1,823
TNS* 3,700 82
United Defense Industries* 1,200 54
United Rentals* 53,600 958
United Stationers* 14,005 671
Universal Forest Products 11,600 501
USF 8,000 296
UTI Worldwide 11,600 800
Wabash National* 17,460 434
Walter Industries (B) 68,400 1,722
Washington Group International* 47,900 1,868
Watts Water Technologies, Cl A 23,163 709
Werner Enterprises 23,745 534
Westinghouse Air Brake Technologies 27,896 574
Yellow Roadway (B)* 2,700 143
York International 15,000 553
---------
66,613
---------
INFORMATION TECHNOLOGY -- 15.5%
Acxiom (B) 12,400 314
Adaptec* 55,500 433
ADE* 2,800 52
Advanced Micro Devices (B)* 16,500 351
Aeroflex* 49,731 609
Agilysys 8,300 137
Akamai Technologies (B)* 42,600 552
Altera* 9,000 204
American Tower, Cl A (B)* 23,900 433
AMIS Holdings* 14,500 220
Amkor Technology* 50,900 280
Amphenol, Cl A* 38,200 1,341
answerthink* 80,208 362
aQuantive* 86,000 747
Arris Group* 133,695 761
Ask Jeeves (B)* 25,200 651
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Aspen Technology (B)* 61,300 $ 354
Asyst Technologies* 80,500 335
ATI Technologies* 12,700 246
ATMI (B)* 37,032 852
Audible* 28,700 802
Avid Technology* 1,400 80
Avocent* 35,000 1,328
Axcelis Technologies* 52,100 380
BEI Technologies 2,900 85
BindView Development* 153,665 545
BISYS Group* 34,200 548
Black Box 14,900 636
Blackbaud* 25,900 324
Blackboard* 2,800 43
BMC Software* 22,700 422
Brooks Automation* 84,700 1,300
C-COR* 67,600 605
CCC Information Services Group* 2,200 46
Certegy 22,400 771
Checkfree (B)* 37,600 1,393
Citrix Systems* 43,300 1,022
CNET Networks* 22,300 208
Cogent* 4,100 138
Cognex 6,848 177
Cognizant Technology Solutions, Cl A* 27,800 1,060
Comverse Technology (B)* 28,800 613
Conexant Systems* 140,600 280
Convergys* 42,800 636
Credence Systems* 70,500 539
Cree (B)* 51,000 1,825
CSG Systems International* 13,900 253
Cyberoptics* 2,800 39
Cymer (B)* 35,588 1,083
Cypress Semiconductor* 95,239 938
Digitas* 66,000 542
Diodes* 3,300 82
DoubleClick* 122,100 916
E.piphany* 15,600 71
Earthlink* 47,800 518
Emulex (B)* 39,100 553
Exar* 27,119 379
F5 Networks* 27,200 1,171
Fairchild Semiconductor International* 48,115 736
FEI* 62,800 1,343
Filenet* 14,180 380
Foundry Networks* 53,200 710
Global Imaging Systems* 5,000 187
Global Payments 2,400 132
Harris 2,700 179
Hutchinson Technology (B)* 26,100 855
Hyperion Solutions* 6,000 269
Identix* 27,900 221
Informatica* 28,720 224
Ingram Micro, Cl A (B)* 101,200 1,947
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 45
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS (Unaudited)
SMALL/MID CAP EQUITY FUND (Continued)
November 30, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Integrated Device Technology* 48,740 $ 553
Inter-Tel 19,235 545
International Rectifier (B)* 18,100 766
Intersil, Cl A 12,900 208
Iomega* 74,500 339
Itron* 28,500 617
Jack Henry & Associates 45,500 877
JDA Software Group* 29,000 380
Kanbay International* 42,211 1,213
KFX (B)* 48,000 723
Komag* 46,700 782
Lam Research (B)* 41,400 1,077
Lattice Semiconductor* 288,300 1,539
Leadis Technology (B)* 21,200 206
Lionbridge Technologies* 80,500 444
Littelfuse* 5,600 219
LSI Logic* 85,700 453
Macromedia* 5,400 154
Macrovision* 18,700 496
Manhattan Associates* 21,400 520
Matrixone* 47,274 312
MAXIMUS* 34,800 1,090
Maxtor* 113,300 433
MEMC Electronic Materials* 42,100 448
Mentor Graphics* 52,300 656
Mercury Interactive (B)* 23,400 1,067
Micrel* 67,300 719
Micromuse* 143,640 755
Micros Systems* 2,000 147
MicroStrategy, Cl A* 600 39
MPS Group* 74,466 838
NCR* 2,800 167
NetIQ* 50,070 614
Novellus Systems* 38,600 1,040
O2Micro International* 48,100 582
Omnivision Technologies (B)* 5,200 93
Openwave Systems (B)* 26,600 351
OSI Systems (B)* 31,800 691
Parametric Technology* 75,284 440
Paxar* 43,600 1,009
Per-Se Technologies* 4,100 57
Photronics* 34,653 653
Pixar (B)* 8,900 807
Pixelworks* 175,000 1,969
Plantronics 12,700 523
PMC - Sierra (B)* 70,500 778
Polycom* 118,900 2,716
Portalplayer* 5,800 169
Progress Software* 5,400 123
ProQuest* 8,600 233
QAD* 2,100 17
RADVision (B)* 38,899 519
Red Hat (B)* 74,900 1,085
Remec (B)* 42,100 254
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
RF Micro Devices* 161,900 $ 1,127
RSA Security* 11,700 247
S1* 1,400 13
Sabre Holdings, Cl A 32,200 743
SafeNet* 18,300 653
ScanSoft (B)* 151,800 554
Semtech* 31,717 649
Serena Software (B)* 5,300 110
Sigmatel* 33,618 1,203
Silicon Image* 6,900 116
SimpleTech* 45,900 228
Sina (B)* 20,195 746
Sirf Technology Holdings* 53,100 673
Skyworks Solutions* 21,400 212
Sonus Networks* 24,340 161
Spatialight (B)* 49,000 440
Spectrasite* 7,500 435
SRA International, Cl A* 16,576 962
Standard Microsystems* 22,142 544
Storage Technology* 24,700 720
Stratasys (B)* 29,701 959
Sybase* 54,000 930
Synaptics* 11,000 422
Synopsys* 14,800 261
Tech Data* 29,700 1,348
Teradyne (B)* 71,200 1,215
THQ* 19,400 416
TIBCO Software* 42,700 491
Transact Technologies* 1,100 25
Transaction Systems Architects, Cl A* 4,500 92
TTM Technologies* 58,400 606
Ultratech* 17,128 295
Unisys* 27,900 321
United Online* 30,600 326
WebEx Communications* 10,100 240
Western Digital* 82,800 809
Zebra Technologies, Cl A* 12,634 635
---------
92,200
---------
MATERIALS -- 5.6%
Airgas 51,331 1,364
Amcol International 28,925 584
Aptargroup 13,000 683
Arch Coal 34,500 1,318
Bemis 29,700 827
Brush Engineered Materials* 30,688 598
Buckeye Technologies* 4,800 59
Century Aluminum* 47,037 1,205
Commercial Metals 10,050 456
Cytec Industries 49,068 2,385
Eastman Chemical 41,500 2,257
Ferro 17,400 398
Florida Rock Industries 8,266 465
- --------------------------------------------------------------------------------
46 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
FMC* 15,600 $ 773
Glatfelter 53,525 770
Greif, Cl A 16,400 793
Headwaters (B)* 14,100 452
Hercules* 52,432 781
Jacuzzi Brands* 46,000 430
Louisiana-Pacific 68,300 1,671
Lubrizol 22,900 791
Massey Energy (B) 29,680 1,042
NCI Building Systems* 4,300 160
Northgate Minerals* 219,500 380
NS Group* 15,700 348
Olin 30,200 685
OM Group* 9,500 292
Owens-Illinois* 17,100 358
Packaging of America 50,963 1,172
Peabody Energy 23,000 1,909
Perini* 6,800 102
Quanex 10,900 643
RPM International 34,500 638
Schweitzer-Mauduit International 13,300 460
Silgan Holdings 1,200 65
Sonoco Products 29,800 848
Steel Dynamics (B) 25,627 1,039
Texas Industries 6,490 389
United States Steel (B) 18,600 974
USG (B)* 25,700 841
Wausau-Mosinee Paper 5,700 102
WCA Waste* 69,270 710
Wheeling-Pittsburgh (B)* 33,100 1,211
---------
33,428
---------
TELECOMMUNICATION SERVICES -- 0.8%
Amdocs* 17,600 455
Aspect Communications* 16,700 181
Brightpoint* 56,330 1,076
CenturyTel 31,400 1,034
Citizens Communications 4,400 63
General Communication, Cl A* 84,400 864
Golden Telecom (B) 2,300 70
Novatel Wireless* 1,000 21
Talk America Holdings (B)* 41,300 261
West* 2,100 73
Western Wireless, Cl A (B)* 14,200 383
---------
4,481
---------
UTILITIES -- 3.0%
AGL Resources 21,915 727
Allete 15,393 560
Alliant Energy 7,200 197
Avista 32,400 577
Centerpoint Energy 101,900 1,137
Cleco 9,100 180
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Constellation Energy Group 14,400 $ 629
Duquesne Light Holdings (B) 31,200 550
El Paso Electric* 10,100 181
Energen 37,589 2,175
Idacorp 2,600 84
National Fuel Gas 5,000 141
New Jersey Resources 10,308 449
Northeast Utilities 29,800 543
OGE Energy 8,200 212
Oneok 63,557 1,775
Pepco Holdings (B) 12,900 275
PNM Resources 15,750 401
PPL 15,800 821
Reliant Energy* 97,400 1,157
Sempra Energy (B) 15,000 555
Southwest Gas 2,000 51
UGI 37,213 1,510
UIL Holdings 8,100 433
Vectren 16,434 430
Westar Energy 24,200 536
Wisconsin Energy 38,600 1,284
---------
17,570
---------
Total Common Stock
(Cost $492,996) ($ Thousands) 555,330
---------
EXCHANGE TRADED FUND -- 0.0%
Midcap SPDR Trusts Ser 1* 1,200 140
---------
Total Exchange Traded Fund
(Cost $139) ($ Thousands) 140
---------
Number of
Warrants
WARRANTS -- 0.0%
Theglobe.com, Expires 05/05/09
(F) (G)* 85,000 33
---------
Total Warrants
(Cost $41) ($ Thousands) 33
---------
CORPORATE OBLIGATIONS (C)(E) -- 6.2%
FINANCIALS -- 6.0%
Allstate Life Global Funding MTN
2.090%, 11/14/05 $ 487 487
Belford Funding MTN
2.140%, 02/02/05 1,949 1,949
Bradford & Bingley
2.196%, 01/07/05 1,228 1,228
CCN Bluegrass
2.207%, 08/18/05 1,462 1,462
CIT Group
1.870%, 12/01/04 1,170 1,170
Countrywide Home Loans MTN, Ser L
2.435%, 02/23/05 565 565
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 47
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS (Unaudited)
SMALL/MID CAP EQUITY FUND (Concluded)
November 30, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Home Loans MTN, Ser M
2.471%, 08/26/05 $ 585 $ 585
2.429%, 05/20/05 390 390
2.030%, 06/23/05 780 780
Five Finance MTN
2.150%, 09/22/05 2,768 2,767
Harrier Finance Funding MTN, Ser 1
1.886%, 06/15/05 1,696 1,696
Irish Life & Permanent MTN, Ser X
2.155%, 12/22/05 1,813 1,813
Lakeside Funding
2.276%, 12/08/04 2,490 2,490
Liberty Light US Capital
2.075%, 01/14/05 975 975
2.070%, 02/09/05 975 975
Morgan Stanley, Ser EXL
2.039%, 12/04/05 390 390
Nationwide Building Society
1.953%, 10/28/05 975 975
Pacific Life Global Funding
2.090%, 11/14/05 1,462 1,462
Premium Asset Trust
2.170%, 12/15/05 2,729 2,729
SLM MTN, Cl X
2.150%, 12/20/05 3,411 3,411
Saturn Ventures
2.143%, 02/07/05 975 975
Sigma Finance MTN
1.989%, 01/04/05 1,170 1,170
U.S. Trust
2.212%, 09/12/05 1,949 1,949
Washington Mutual Bank
2.310%, 08/18/05 1,949 1,949
White Pine Finance
2.096%, 03/11/05 487 487
2.026%, 11/01/05 858 857
---------
35,686
---------
INDUSTRIALS -- 0.2%
Caterpillar MTN, Ser F
2.180%, 07/11/05 975 975
---------
Total Corporate Obligations
(Cost $36,661) ($ Thousands) 36,661
---------
COMMERCIAL PAPER (C)(D) -- 3.4%
FINANCIALS -- 3.4%
Broadhollow Funding
2.111%, 12/06/04 1,462 1,462
CPI Funding
2.121%, 12/10/04 1,881 1,880
Golden Fish
2.307%, 01/18/05 1,174 1,171
2.172%, 12/17/04 570 569
2.162%, 12/14/04 686 685
2.031%, 12/08/04 333 333
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Harwood Street Funding
2.137%, 12/15/04 $ 3,014 $ 3,012
Household Finance
2.142%, 12/15/04 2,437 2,435
Laguna
2.141%, 12/10/04 780 779
2.140%, 12/03/04 975 975
Main Street Warehouse
2.131%, 12/07/04 390 390
2.131%, 12/08/04 390 390
2.131%, 12/09/04 1,949 1,948
Thornburg Mortgage Capital
2.152%, 12/15/04 1,949 1,948
2.151%, 12/07/04 682 682
2.150%, 12/03/04 1,754 1,754
---------
Total Commercial Paper
(Cost $20,413) ($ Thousands) 20,413
---------
ASSET-BACKED SECURITIES (C) -- 2.6%
AUTOMOTIVE -- 0.1%
Drivetime Auto Owner Trust
2.148%, 11/15/05 (E) 412 412
1.640%, 07/15/05 154 154
---------
566
---------
MORTGAGE RELATED SECURITIES (E) -- 2.5%
Aire Valley Mortgages
2.140%, 09/20/05 1,248 1,248
Blue Heron Funding
2.211%, 02/23/05 1,949 1,949
2.170%, 03/18/05 877 877
Cheyne High Grade
2.280%, 11/10/05 1,121 1,121
Commodore
1.970%, 12/12/38 585 585
Davis Square Funding
2.091%, 04/06/05 975 975
2.091%, 05/06/05 975 975
Duke Funding
2.115%, 04/08/05 975 975
Harwood
2.190%, 09/20/05 2,476 2,476
Orchid Structured Finance
2.410%, 05/18/05 2,139 2,139
RMAC
2.090%, 06/12/05 877 877
Whitehawk CDO Funding
1.710%, 06/15/05 487 487
---------
14,684
---------
Total Asset-Backed Securities
(Cost $15,250) ($ Thousands) 15,250
---------
- --------------------------------------------------------------------------------
48 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CASH EQUIVALENTS -- 4.0%
Bear Stearns Master Notes (C) 1,949,437 $ 1,949
SEI Daily Income Trust,
Prime Obligation Fund, Cl A++ 21,737,825 21,738
---------
Total Cash Equivalents
(Cost $23,687) ($ Thousands) 23,687
---------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bills (A)
1.755%, 02/24/05 $ 955 950
---------
Total U.S. Treasury Obligation
(Cost $951) ($ Thousands) 950
---------
REPURCHASE AGREEMENTS (C) -- 3.6%
Barclays
2.070%, dated 11/30/04, to be
repurchased on 12/01/04,
repurchase price $4,317,375
(collateralized by various
U.S. Government Obligations,
ranging in par value $199,427-
$2,924,156, 1.625%-7.000%,
04/15/05-03/15/10; with total
market value $4,403,558) 4,317 4,317
Lehman Brothers
2.070%, dated 11/30/04, to be
repurchased on 12/01/04,
repurchase price $1,267,207
(collateralized by various
U.S. Government Obligations,
ranging in par value $41,718-
$86,204, 0.000%-6.700%,
09/13/05-08/15/27; with total
market value $1,292,515) 1,267 1,267
UBS Paine Webber
2.070%, dated 11/30/04, to be
repurchased on 12/01/04,
repurchase price $15,986,306
(collateralized by various
U.S. Government Obligations,
ranging in par value $199,427-
$2,924,156, 0.000%-5.002%,
12/17/04-11/15/29; with total
market value $16,305,154) 15,985 15,985
---------
Total Repurchase Agreements
(Cost $21,569) ($ Thousands) 21,569
---------
Total Investments -- 113.5%
(Cost $611,707) ($ Thousands) 674,033
---------
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (13.5)%
Payable Upon Return on Securities Loaned $ (95,842)
Payable for Capital Shares Redeemed (3,465)
Payable for Investment Securities Purchased (1,950)
Investment Advisory Fees Payable (271)
Trustees' Fees Payable (2)
Other Assets and Liabilities, Net 21,185
---------
Total Other Assets and Liabilities (80,345)
---------
Net Assets -- 100.0% $ 593,688
=========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) 524,065
Undistributed net investment income 391
Accumulated net realized gain on investments
and futures contracts 5,968
Net unrealized appreciation on investments 62,326
Net unrealized appreciation on futures contracts 938
---------
Net Assets $ 593,688
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($593,688,495 / 4,993,551 shares) $118.89
=======
* Non-income producing security.
+ Real Estate Investment Trust
++ See Note 3 in Notes to Financial Statements.
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts. The rate reported is the effective yield at time of
purchase.
(B) This security or a partial position of this security is on loan at
November 30, 2004 (see Note 9). The total value of securities on loan at
November 30, 2004 was $92,439,936.
(C) This security was purchased with cash collateral held from securities
lending (see Note 9). The total value of such securities as of November
30, 2004 was $95,841,958.
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Statement of Net Assets
is the rate in effect as of November 30, 2004.
(F) 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 November 30, 2004 was $32,583 and represented 0.00% of
Net Assets.
(G) Securities considered illiquid. The total value of such securities as of
November 30, 2004 was $32,583 and represented 0.00% of Net Assets.
ADR -- American Depositary Receipt
Cl -- Class
MTN -- Medium Term Note
NY -- New York
Ser -- Series
SPDR -- Standard & Poor's Depositary Receipts
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 49
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (Unaudited)
CORE FIXED INCOME FUND
November 30, 2004
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)**:
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
20.8% Financials
20.3% U.S. Treasury Obligations
18.5% Asset-Backed Securities
11.9% Short-Term Investments
11.6% U.S. Gov't Mortgage Backed
8.2% U.S. Gov't Obligations
2.0% Industrials
1.4% Utilities
1.3% Consumer Discretionary
1.0% Telecommunication Services
1.0% Energy
0.9% Regional Agencies
0.5% Consumer Staples
0.3% Health Care
0.1% Materials
0.1% Foreign Bonds
0.1% Information Technology
0.0% Municipal Bond
0.0% Certificate of Deposit
0.0% Options
0.0% Exchange Traded Fund
** Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 31.6%
CONSUMER DISCRETIONARY -- 1.8%
COX Communications
7.875%, 08/15/09 $ 440 $ 494
7.125%, 10/01/12 1,265 1,391
5.500%, 10/01/15 215 209
4.625%, 06/01/13 330 307
Comcast
7.050%, 03/15/33 (K) 1,185 1,315
6.500%, 01/15/15 1,380 1,496
5.500%, 03/15/11 (K) 1,830 1,908
Comcast Cable Communications
8.375%, 03/15/13 2,265 2,744
6.750%, 01/30/11 5,950 6,600
6.375%, 01/30/06 360 373
Continental Cablevision
9.000%, 09/01/08 710 823
8.300%, 05/15/06 875 933
DaimlerChrysler
7.450%, 03/01/27 705 758
7.300%, 01/15/12 1,995 2,242
6.500%, 11/15/13 3,370 3,598
Ford Motor
7.450%, 07/16/31 (K) 4,389 4,268
6.375%, 02/01/29 5,500 4,813
General Motors (K)
8.375%, 07/15/33 5,040 5,130
Liberty Media
5.700%, 05/15/13 705 706
3.380%, 09/17/06 (F) 5,190 5,257
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Limited
5.250%, 11/01/14 $ 1,200 $ 1,178
News America
7.300%, 04/30/28 475 533
7.280%, 06/30/28 725 811
5.300%, 12/15/14 950 949
News America Holdings
7.750%, 01/20/24 395 459
TCI Communications
7.875%, 02/15/26 565 672
TCI Communications MTN (G)
8.350%, 02/15/05 1,775 1,795
Target
5.875%, 03/01/12 2,435 2,629
4.000%, 06/15/13 355 337
Time Warner
8.375%, 07/15/33 2,050 2,561
8.180%, 08/15/07 500 556
7.700%, 05/01/32 5,900 6,987
7.625%, 04/15/31 335 393
7.570%, 02/01/24 1,630 1,874
6.875%, 05/01/12 350 393
Viacom
5.625%, 08/15/12 550 581
-----------
68,073
-----------
CONSUMER STAPLES -- 0.7%
Albertsons
8.000%, 05/01/31 405 491
Altria Group
7.750%, 01/15/27 1,765 1,933
7.000%, 11/04/13 1,770 1,890
Duty Free International (H) (I) (J)
7.000%, 07/15/04 2,335 23
General Mills
6.000%, 02/15/12 815 873
5.125%, 02/15/07 800 825
Kellogg (K)
2.875%, 06/01/08 2,085 2,016
Kraft Foods
6.250%, 06/01/12 395 429
5.250%, 10/01/13 740 750
Kroger
7.500%, 04/01/31 710 826
Nabisco
7.550%, 06/15/15 2,675 3,190
6.375%, 02/01/05 2,665 2,678
Philip Morris Capital
7.500%, 07/16/09 1,155 1,253
RJ Reynolds Tobacco Holdings, Ser B
7.875%, 05/15/09 1,630 1,712
7.750%, 05/15/06 3,760 3,939
- --------------------------------------------------------------------------------
50 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Safeway
4.950%, 08/16/10 $ 615 $ 620
Sara Lee
6.250%, 09/15/11 835 919
3.875%, 06/15/13 530 497
-----------
24,864
-----------
ENERGY -- 1.3%
Alberta Energy
7.375%, 11/01/31 810 947
Amerada Hess
7.300%, 08/15/31 315 342
Anadarko Finance, Ser B
7.500%, 05/01/31 2,383 2,875
Apache
6.250%, 04/15/12 945 1,043
BP Canada Finance
3.625%, 01/15/09 2,740 2,696
Centerpoint Energy Resources, Ser B
7.875%, 04/01/13 470 552
Conoco
6.950%, 04/15/29 4,995 5,719
Conoco Funding
7.250%, 10/15/31 885 1,050
6.350%, 10/15/11 1,540 1,708
ConocoPhillips
5.900%, 10/15/32 835 847
4.750%, 10/15/12 2,310 2,330
Consolidated Natural Gas, Ser A
5.000%, 03/01/14 625 618
Devon Energy
7.950%, 04/15/32 3,725 4,648
Devon Financing
7.875%, 09/30/31 1,240 1,527
El Paso
6.950%, 06/01/28 2,250 1,879
El Paso MTN (K)
7.800%, 08/01/31 2,100 1,932
7.750%, 01/15/32 3,375 3,105
Encana
6.500%, 08/15/34 500 532
Enterprise Products Operations (C)
5.600%, 10/15/14 655 653
4.000%, 10/15/07 800 796
Enterprise Products Operations, Ser B
6.875%, 03/01/33 1,165 1,199
Kerr-Mcgee
7.875%, 09/15/31 480 573
6.950%, 07/01/24 800 864
Occidental Petroleum
6.750%, 01/15/12 1,145 1,286
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Pemex Master Trust
7.375%, 12/15/14 $ 585 $ 638
Pioneer Natural Resources
5.875%, 07/15/16 540 559
Tengizchevroil (C)
6.124%, 11/15/14 990 985
Valero Energy
6.875%, 04/15/12 805 906
XTO Energy
7.500%, 04/15/12 630 731
6.250%, 04/15/13 3,195 3,463
YPF Sociedad Anonima MTN, Ser A
7.750%, 08/27/07 3,000 3,255
-----------
50,258
-----------
FINANCIALS -- 20.3%
ASIF Global Finance (C)
3.900%, 10/22/08 4,700 4,672
3.850%, 11/26/07 1,000 1,001
Ace INA Holdings
5.875%, 06/15/14 510 512
Allstate Financial Global Funding (C)
6.150%, 02/01/06 1,800 1,861
Allstate Life Global Funding MTN (F) (L)
2.090%, 11/14/05 5,335 5,335
American Express
4.375%, 07/30/09 1,100 1,112
American Express Bank (F)
2.220%, 11/21/07 3,825 3,823
Apache Finance Canada
4.375%, 05/15/15 2,980 2,820
Arch Capital Group
7.350%, 05/01/34 4,525 4,685
Archstone-Smith Operating Trust
5.625%, 08/15/14 975 997
Aspen Insurance Holdings (C)
6.000%, 08/15/14 770 763
Associates
6.250%, 11/01/08 895 969
Bank One
7.875%, 08/01/10 4,440 5,156
6.000%, 08/01/08 1,000 1,068
3.700%, 01/15/08 3,850 3,841
Bank of America
7.400%, 01/15/11 (K) 3,875 4,475
6.250%, 04/15/12 1,370 1,499
5.875%, 02/15/09 2,355 2,520
5.250%, 12/01/15 955 960
4.375%, 12/01/10 810 808
3.875%, 01/15/08 4,255 4,280
Bankamerica Capital (F)
2.640%, 01/15/27 1,400 1,351
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 51
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (Unaudited)
CORE FIXED INCOME FUND (Continued)
November 30, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Banponce Trust I, Ser A
8.327%, 02/01/27 $ 2,410 $ 2,621
Belford Funding MTN (F) (L)
2.140%, 02/02/05 21,340 21,340
Berkshire Hathaway (C)
3.400%, 07/02/07 2,935 2,926
Boeing Capital
6.500%, 02/15/12 340 378
6.100%, 03/01/11 660 713
5.800%, 01/15/13 315 335
Bradford & Bingley (F) (L)
2.196%, 01/07/05 13,444 13,442
CCN Bluegrass (F) (L)
2.207%, 08/18/05 16,005 16,005
CIT Group (F) (L)
1.870%, 12/01/04 12,804 12,804
Capital One Bank
6.700%, 05/15/08 1,000 1,081
6.500%, 06/13/13 585 631
5.125%, 02/15/14 285 281
4.875%, 05/15/08 4,520 4,632
Chase Capital Funding, Ser C (F)
2.340%, 03/01/27 840 790
Chase Capital, Ser B (F)
2.660%, 02/01/27 500 468
Citicorp
7.750%, 06/15/06 (B) 2,800 2,989
7.200%, 06/15/07 740 802
Citifinancial
6.250%, 01/01/08 1,350 1,439
Citigroup
6.500%, 01/18/11 1,120 1,243
6.200%, 03/15/09 300 326
5.625%, 08/27/12 780 826
5.500%, 08/09/06 865 897
5.000%, 03/06/07 915 945
5.000%, 09/15/14 (C) 1,266 1,257
3.625%, 02/09/09 11,645 11,487
3.500%, 02/01/08 1,510 1,500
2.000%, 06/09/09 (F) 2,425 2,431
Colonial Realty MTN
6.980%, 09/26/05 5,300 5,417
Countrywide Home Loans MTN, Ser L
2.875%, 02/15/07 2,440 2,395
2.435%, 02/23/05 (F) (L) 6,189 6,188
Countrywide Home Loans MTN,
Ser M (F) (L)
2.471%, 08/26/05 6,402 6,402
2.429%, 05/20/05 4,268 4,268
2.030%, 06/23/05 8,536 8,535
Credit Suisse First Boston USA
4.625%, 01/15/08 2,005 2,054
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Danske Bank (C) (F)
5.914%, 12/29/49 $ 4,000 $ 4,193
Developers Diversified Realty MTN
7.000%, 03/19/07 1,100 1,172
Dryden Investor Trust (C) (H)
7.157%, 07/23/08 3,101 3,282
EOP Operating
7.250%, 06/15/28 630 695
4.750%, 03/15/14 1,915 1,831
Eksportsfinans MTN
3.375%, 01/15/08 4,950 4,918
Equity One
3.875%, 04/15/09 420 404
Equity Residential Properties Trust
6.625%, 03/15/12 1,705 1,870
Farmers Exchange Capital (C)
7.200%, 07/15/48 2,550 2,531
7.050%, 07/15/28 1,563 1,551
Farmers Insurance Exchange (C)
8.625%, 05/01/24 4,518 5,230
Five Finance MTN (F) (L)
2.150%, 09/22/05 30,303 30,291
Ford Motor Credit
7.875%, 06/15/10 9,665 10,563
7.500%, 03/15/05 250 253
7.375%, 02/01/11 3,400 3,638
7.250%, 10/25/11 (K) 5,446 5,782
7.000%, 10/01/13 1,125 1,174
6.875%, 02/01/06 3,750 3,875
Ford Motor Credit MTN
7.750%, 02/15/07 4,435 4,773
GE Capital Franchise MTN
6.860%, 06/15/07 1,100 1,195
General Electric Capital MTN, Ser A
5.450%, 01/15/13 1,260 1,317
4.750%, 09/15/14 1,220 1,200
4.250%, 01/15/08 7,010 7,104
3.750%, 12/15/09 3,270 3,199
3.600%, 10/15/08 4,170 4,111
3.450%, 07/16/07 1,030 1,026
2.219%, 07/28/08 (F) 5,275 5,267
General Motors Acceptance
8.000%, 11/01/31 5,742 5,754
7.250%, 03/02/11 (K) 4,205 4,384
6.875%, 09/15/11 10,558 10,769
6.750%, 12/01/14 1,150 1,134
6.125%, 09/15/06 465 478
6.125%, 02/01/07 270 278
5.625%, 05/15/09 (K) 1,130 1,125
4.560%, 12/01/14 (F) 1,375 1,360
Goldman Sachs Group
6.600%, 01/15/12 2,630 2,916
5.000%, 10/01/14 3,207 3,154
- --------------------------------------------------------------------------------
52 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Greenpoint Financial
3.200%, 06/06/08 $ 2,140 $ 2,084
HBOS Treasury Services (C)
3.600%, 08/15/07 1,020 1,020
HSBC Bank
3.875%, 09/15/09 3,625 3,570
1.980%, 09/21/07 (F) 2,575 2,575
HSBC Finance
6.750%, 05/15/11 155 173
Harrier Finance Funding MTN,
Ser 1 (F) (L)
1.886%, 06/15/05 18,566 18,561
Healthcare Realty Trust
5.125%, 04/01/14 1,650 1,601
Household Finance
8.000%, 07/15/10 2,330 2,728
7.000%, 05/15/12 3,125 3,545
6.375%, 11/27/12 365 401
5.875%, 02/01/09 2,675 2,849
4.125%, 12/15/08 (K) 3,605 3,605
4.125%, 11/16/09 870 860
Irish Life & Permanent MTN,
Ser X (F) (L)
2.155%, 12/22/05 19,846 19,843
Istar Financial, Ser B
4.875%, 01/15/09 405 409
JP Morgan Capital Trust II
7.950%, 02/01/27 180 195
JP Morgan Chase
6.750%, 02/01/11 2,183 2,434
5.750%, 01/02/13 (K) 3,670 3,850
5.250%, 05/30/07 375 390
5.125%, 09/15/14 4,225 4,208
4.000%, 02/01/08 1,225 1,230
3.625%, 05/01/08 1,315 1,303
Korea Development Bank
4.250%, 11/13/07 560 566
Lakeside Funding (F) (L)
2.276%, 12/08/04 27,255 27,255
Lehman Brothers
7.000%, 02/01/08 2,765 3,010
Liberty Light US Capital (F) (L)
2.075%, 01/14/05 10,670 10,670
2.070%, 02/09/05 10,670 10,669
Loews
7.000%, 10/15/23 1,950 1,962
MBNA America Bank
4.625%, 08/03/09 930 942
Marsh & Mclennan
6.250%, 03/15/12 1,790 1,831
Massmutual Global Funding II (C)
2.550%, 07/15/08 2,570 2,453
Merrill Lynch
7.430%, 09/01/22 22 23
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Merrill Lynch MTN, Ser B
3.375%, 09/14/07 $ 1,650 $ 1,637
Merrill Lynch MTN, Ser C
5.000%, 01/15/15 860 846
4.125%, 09/10/09 1,510 1,497
Met Life Global Funding (C)
4.750%, 06/20/07 800 819
4.250%, 07/30/09 750 749
Monumental Global Funding II (C)
4.375%, 07/30/09 1,575 1,575
Morgan Stanley
5.300%, 03/01/13 2,500 2,550
4.750%, 04/01/14 2,238 2,158
Morgan Stanley, Ser EXL (F) (L)
2.039%, 12/04/05 4,268 4,268
NB Capital Trust IV
8.250%, 04/15/27 4,655 5,077
National City Bank
3.375%, 10/15/07 2,110 2,094
3.300%, 05/15/07 700 698
NationsBank Capital Trust (F)
2.620%, 01/15/27 5,080 4,862
Nationwide Building Society
3.500%, 07/31/07 (C) 2,700 2,686
1.953%, 10/28/05 (F) (L) 10,670 10,671
Nationwide Mutual Insurance (C)
8.250%, 12/01/31 2,000 2,387
6.600%, 04/15/34 (K) 5,263 5,078
New York Life Global Funding (C)
3.875%, 01/15/09 2,550 2,519
Odyssey Re Holdings
7.650%, 11/01/13 3,620 3,926
PNC Funding
5.250%, 11/15/15 945 946
Pacific Life Global Funding (F) (L)
2.090%, 11/14/05 16,005 16,005
Permanent Financing PLC, Ser 2A (F)
4.200%, 06/10/07 10,800 10,907
Premium Asset Trust (F) (L)
2.170%, 12/15/05 29,876 29,876
Prime Property Funding (C)
5.600%, 06/15/11 3,380 3,479
Progress Capital Holdings MTN
6.750%, 12/10/07 3,000 3,267
Protective Life MTN
3.700%, 11/24/08 1,500 1,488
RBS Capital Trust I (F)
4.709%, 12/29/49 570 547
Rabobank Capital (C) (F)
5.260%, 12/29/49 500 505
Rouse
5.375%, 11/26/13 1,315 1,240
3.625%, 03/15/09 705 657
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 53
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (Unaudited)
CORE FIXED INCOME FUND (Continued)
November 30, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Royal Bank of Scotland
5.000%, 11/12/13 $ 495 $ 498
Royal Bank of Scotland Group PLC,
Ser 2
8.817%, 03/31/49 3,875 3,948
SLM MTN, Cl X (F) (L)
2.150%, 12/20/05 37,345 37,345
SLM MTN
3.625%, 03/17/08 1,735 1,719
SLM MTN, Ser A
5.000%, 10/01/13 1,521 1,518
Saturn Ventures (F) (L)
2.143%, 02/07/05 10,670 10,670
Sigma Finance MTN (F) (L)
1.989%, 01/04/05 12,804 12,804
Simon Property Group
4.900%, 01/30/14 645 624
SunTrust Bank
4.000%, 10/15/08 1,390 1,396
3.625%, 10/15/07 2,105 2,096
1.910%, 06/02/09 (F) 1,350 1,350
TIAA Global Markets (C)
3.875%, 01/22/08 1,625 1,632
Toyota Motor Credit
2.875%, 08/01/08 1,970 1,908
U.S. Trust (F) (L)
2.212%, 09/12/05 21,340 21,340
UBS Preferred Funding Trust I (F)
8.622%, 10/29/49 410 493
US Bancorp MTN, Ser N
3.950%, 08/23/07 250 251
3.125%, 03/15/08 1,520 1,488
US Bank
2.870%, 02/01/07 720 713
2.400%, 03/12/07 1,425 1,395
2.036%, 10/01/07 (F) 5,475 5,472
USAA Capital MTN, Ser B (C)
4.000%, 12/10/07 1,500 1,515
Wachovia
6.300%, 04/15/28 (F) 1,520 1,628
4.800%, 11/01/14 1,525 1,494
3.625%, 02/17/09 975 959
Washington Mutual
4.000%, 01/15/09 1,825 1,809
Washington Mutual Bank
5.125%, 01/15/15 685 670
2.310%, 08/18/05 (F) (L) 21,340 21,340
Wells Fargo
7.800%, 06/15/10 (F) 450 461
5.000%, 11/15/14 (K) 2,935 2,924
4.538%, 06/25/34 (F) 8,612 8,454
Western & Southern Financial (C)
5.750%, 07/15/33 105 100
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Westfield Capital (C)
4.375%, 11/15/10 $ 3,900 $ 3,823
White Pine Finance (F) (L)
2.096%, 03/11/05 5,335 5,334
2.026%, 11/01/05 9,390 9,387
XL Capital
6.375%, 11/15/24 705 706
Zions Bancorp
6.000%, 09/15/15 1,105 1,163
-----------
770,409
-----------
HEALTH CARE -- 0.3%
Boston Scientific
5.450%, 06/15/14 640 657
Bristol-Myers Squibb
6.875%, 08/01/97 425 470
5.750%, 10/01/11 2,510 2,660
HCA (K)
5.750%, 03/15/14 6,320 6,052
Merck
4.375%, 02/15/13 1,225 1,179
Tenet Healthcare (K)
7.375%, 02/01/13 221 215
Wyeth
6.950%, 03/15/11 570 636
6.500%, 02/01/34 220 229
6.450%, 02/01/24 705 730
-----------
12,828
-----------
INDUSTRIALS -- 2.6%
Air 2 US (C)
8.027%, 10/01/19 4,313 3,658
America West Airlines, Ser 99-1
7.930%, 01/02/19 5,934 6,409
American Airlines, Ser 01-2 (K)
7.858%, 10/01/11 2,000 2,061
American Airlines, Ser 99-1 (K)
7.024%, 10/15/09 2,320 2,367
Burlington North Santa Fe
7.290%, 06/01/36 1,010 1,200
Canadian National Railways
7.375%, 10/15/31 1,370 1,642
6.900%, 07/15/28 150 167
Caterpillar MTN, Ser F (F) (L)
2.180%, 07/11/05 10,670 10,670
Citicorp Lease
7.220%, 06/15/05 3,941 4,025
Continental Airlines, Ser 00-1
8.048%, 11/01/20 943 928
Continental Airlines, Ser 00-2
7.707%, 04/02/21 2,043 2,001
7.487%, 10/02/10 1,270 1,266
- --------------------------------------------------------------------------------
54 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Continental Airlines, Ser 02-1
6.563%, 02/15/12 $ 1,400 $ 1,500
Continental Airlines, Ser 971A
7.461%, 04/01/15 304 293
Continental Airlines, Ser 974A (K)
6.900%, 01/02/18 5,617 5,503
Continental Airlines, Ser 99-2 (K)
7.256%, 03/15/20 944 940
Delta Airlines, Ser 02-1, Cl G-1
6.718%, 01/02/23 4,455 4,632
Delta Airlines, Ser 02-1, Cl G-2
6.417%, 07/02/12 3,740 3,895
Delta Airlines, Ser 2001-1, Cl A2 (K)
7.111%, 09/18/11 480 463
Delta Airlines, Ser 2000-1, Cl A2 (K)
7.570%, 11/18/10 1,720 1,646
Eastman Kodak
7.250%, 11/15/13 1,685 1,816
General Electric
5.000%, 02/01/13 2,085 2,117
HCA
6.375%, 01/15/15 895 887
Hughes Supply (C)
5.500%, 10/15/14 500 487
Lockheed Martin (K)
8.500%, 12/01/29 2,720 3,621
Norfolk Southern
7.050%, 05/01/37 1,140 1,302
Northrop Grumman (K)
7.750%, 02/15/31 590 731
Northwest Airlines, Ser 2001-1,
Cl A-1 (K)
7.041%, 04/01/22 1,832 1,811
Ohana Military LLC, Ser 04I
6.193%, 04/01/49 750 769
Raytheon
6.000%, 12/15/10 18 19
5.500%, 11/15/12 40 42
5.375%, 04/01/13 405 418
4.500%, 11/15/07 208 213
TXU (C)
5.550%, 11/15/14 1,555 1,531
4.800%, 11/15/09 2,500 2,495
Tyco International Group
7.000%, 06/15/28 1,775 2,004
6.875%, 01/15/29 5,420 6,080
6.375%, 10/15/11 (K) 5,390 5,928
6.000%, 11/15/13 1,945 2,094
US Airways, Cl B (H) (I)
7.500%, 04/15/08 3,348 --
United Technologies
6.500%, 06/01/09 1,670 1,835
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Waste Management
7.375%, 05/15/29 $ 895 $ 1,020
7.125%, 12/15/17 4,840 5,499
7.100%, 08/01/26 1,375 1,517
-----------
99,502
-----------
INFORMATION TECHNOLOGY -- 0.1%
Electronic Data Systems (K)
7.125%, 10/15/09 2,380 2,558
-----------
MATERIALS -- 0.2%
Codelco (C)
4.750%, 10/15/14 900 867
International Paper
5.500%, 01/15/14 2,265 2,309
Lubrizol
5.500%, 10/01/14 680 671
MeadWestavaco (K)
6.850%, 04/01/12 1,070 1,200
Weyerhaeuser
7.375%, 03/15/32 850 983
6.750%, 03/15/12 760 852
-----------
6,882
-----------
REGIONAL AGENCIES -- 1.2%
Aid-Israel
5.500%, 09/18/23 5,950 6,081
Quebec Province
5.000%, 07/17/09 990 1,028
Russian Federation (G)
5.000%, 03/31/30 11,210 11,197
United Mexican States
8.375%, 01/14/11 6,140 7,153
8.125%, 12/30/19 405 463
United Mexican States MTN
6.375%, 01/16/13 2,130 2,226
United Mexican States MTN, Ser A
8.000%, 09/24/22 2,290 2,553
7.500%, 04/08/33 13,369 13,931
6.750%, 09/27/34 425 404
-----------
45,036
-----------
TELECOMMUNICATION SERVICES -- 1.3%
AT&T Wireless Services
8.125%, 05/01/12 1,255 1,502
7.350%, 03/01/06 2,000 2,099
BellSouth
6.550%, 06/15/34 450 472
4.750%, 11/15/12 1,300 1,289
4.200%, 09/15/09 920 916
British Telecommunications PLC
8.375%, 12/15/10 1,310 1,560
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 55
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (Unaudited)
CORE FIXED INCOME FUND (Continued)
November 30, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Deutsche Telekom International
8.750%, 06/15/30 $ 2,046 $ 2,627
5.250%, 07/22/13 2,135 2,165
France Telecom
8.500%, 03/01/11 1,796 2,131
7.950%, 03/01/06 1,265 1,334
New England Telephone & Telegraph
7.875%, 11/15/29 1,175 1,388
New Jersey Bell Telephone
7.850%, 11/15/29 740 871
SBC Communications
6.450%, 06/15/34 255 263
5.100%, 09/15/14 1,850 1,833
4.125%, 09/15/09 410 406
Sprint Capital
8.750%, 03/15/32 475 612
8.375%, 03/15/12 1,900 2,295
7.625%, 01/30/11 760 876
7.125%, 01/30/06 2,300 2,400
6.000%, 01/15/07 1,570 1,644
4.780%, 08/17/06 (G) 9,025 9,205
Telecom Italia Capital
6.000%, 09/30/34 (C) 1,775 1,689
5.250%, 11/15/13 1,900 1,898
4.950%, 09/30/14 (C) 1,645 1,589
4.000%, 01/15/10 (C) 500 486
Telefonica Europe
7.750%, 09/15/10 775 902
Verizon Global Funding
7.750%, 12/01/30 575 691
7.250%, 12/01/10 800 914
6.875%, 06/15/12 465 525
Verizon Maryland
5.125%, 06/15/33 315 271
Verizon Maryland, Ser A
6.125%, 03/01/12 70 75
Verizon New Jersey, Ser A
5.875%, 01/17/12 325 343
Verizon New York, Ser A
6.875%, 04/01/12 1,435 1,587
Verizon Pennsylvania, Ser A
5.650%, 11/15/11 45 47
Vodafone Group
5.000%, 12/16/13 955 958
-----------
49,863
-----------
UTILITIES -- 1.8%
American Electric Power, Ser C
5.375%, 03/15/10 535 556
Arizona Public Services
8.000%, 12/30/15 890 985
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Cleveland Electric Illumination
5.650%, 12/15/13 $ 330 $ 338
Cogentrix Energy (C)
8.750%, 10/15/08 6,200 7,182
Conectiv MTN, Ser A
6.730%, 06/01/06 710 714
Dominion Resources
5.700%, 09/17/12 (K) 3,690 3,853
4.125%, 02/15/08 250 251
Dominion Resources, Ser D
5.125%, 12/15/09 1,525 1,569
Duke Energy
6.250%, 01/15/12 1,210 1,308
5.625%, 11/30/12 1,405 1,463
El Paso Electric, Ser E
9.400%, 05/01/11 2,315 2,573
Exelon
6.750%, 05/01/11 310 344
FPL Energy (C)
6.639%, 06/20/23 5,501 5,790
FirstEnergy, Ser A
5.500%, 11/15/06 2,050 2,115
FirstEnergy, Ser B
6.450%, 11/15/11 1,225 1,316
FirstEnergy, Ser C
7.375%, 11/15/31 7,035 7,782
Hydro-Quebec, Ser JL
6.300%, 05/11/11 1,050 1,160
Ohio Edison
5.450%, 05/01/15 200 199
Oncor Electric Delivery
6.375%, 01/15/15 460 501
Pacific Gas & Electric
6.050%, 03/01/34 5,070 5,110
2.720%, 04/03/06 (F) 932 933
Pinnacle West Capital (F)
2.960%, 11/01/05 2,800 2,800
Power Contract Financing (C)
5.200%, 02/01/06 3,777 3,817
Progress Energy
7.750%, 03/01/31 1,810 2,113
Public Service
7.875%, 10/01/12 805 966
SP Powerassets (C)
5.000%, 10/22/13 150 151
Sonat
7.625%, 07/15/11 2,880 2,930
Southern California Edison
8.000%, 02/15/07 2,145 2,346
TXU Energy
7.000%, 03/15/13 460 509
2.838%, 01/17/06 (C) (F) 1,510 1,513
Virginia Electric & Power, Ser A
5.750%, 03/31/06 1,325 1,366
- --------------------------------------------------------------------------------
56 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Williams
8.750%, 03/15/32 $ 2,840 $ 3,280
7.750%, 06/15/31 740 775
Williams, Ser A (K)
7.500%, 01/15/31 310 321
-----------
68,929
-----------
Total Corporate Obligations
(Cost $1,181,384) ($ Thousands) 1,199,202
-----------
U.S. TREASURY OBLIGATIONS -- 26.9%
U.S. Treasury Bonds
12.000%, 08/15/13 (K) 7,480 9,671
10.375%, 11/15/12 (K) 11,540 13,813
8.875%, 08/15/17 (K) 3,800 5,323
8.750%, 05/15/17 (K) 29,260 40,543
8.500%, 02/15/20 (K) 7,325 10,182
8.125%, 08/15/19 (K) 21,263 28,599
7.125%, 02/15/23 4,842 6,063
6.750%, 08/15/26 (K) 15,420 18,820
6.250%, 08/15/23 (K) 9,585 10,998
6.250%, 05/15/30 300 350
6.125%, 11/15/27 (K) 25,627 29,228
6.000%, 02/15/26 (K) 10,725 12,017
5.500%, 08/15/28 (K) 3,590 3,791
5.375%, 02/15/31 (K) 107,704 113,358
4.250%, 01/15/10 (D) (K) 2,561 2,977
3.875%, 04/15/29 (D) 7,005 9,254
3.625%, 04/15/28 (D) (K) 29,460 37,247
3.375%, 01/15/07 to 01/15/12 (D) 1,935 2,079
2.375%, 01/15/25 (D) (K) 23,939 24,790
0.875%, 04/15/10 (D) 15,852 15,714
U.S. Treasury Notes
6.500%, 10/15/06 (K) 330 351
5.750%, 08/15/10 970 1,064
4.750%, 05/15/14 (K) 1,450 1,495
4.250%, 08/15/13 to 11/15/14 (K) 57,439 57,083
4.000%, 06/15/09 (K) 25,810 26,195
3.625%, 07/15/09 (K) 540 539
3.500%, 08/15/09 to 11/15/09 (K) 74,616 73,984
3.375%, 10/15/09 (K) 45,735 45,086
3.250%, 08/15/08 (K) 17,750 17,631
3.125%, 09/15/08 to 10/15/08 (K) 2,340 2,311
3.000%, 11/15/07 (K) 128,275 127,313
2.750%, 08/15/07 (K) 6,500 6,423
2.500%, 09/30/06 (K) 85,013 84,292
2.500%, 05/31/06 to 10/31/06 68,797 68,230
2.375%, 08/31/06 10,554 10,451
2.000%, 07/15/14 (D) (K) 39,922 40,855
1.875%, 07/15/13 (D) (K) 4,734 4,836
1.625%, 02/28/06 (K) 47,089 46,431
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. Treasury STRIPS (A) (K)
5.753%, 11/15/21 $ 23,570 $ 9,741
5.486%, 02/15/23 10,290 3,956
-----------
Total U.S. Treasury Obligations
(Cost $1,012,627) ($ Thousands) 1,023,084
-----------
ASSET-BACKED SECURITIES -- 24.8%
AUTOMOTIVE -- 2.2%
AESOP Funding, Ser 1998-1, Cl A
6.140%, 05/20/06 2,500 2,525
AESOP Funding, Ser 2003-4A, Cl A1 (F)
2.370%, 08/20/07 12,000 12,004
Americredit Automobile Receivables
Trust, Ser 2002-1, Cl A3
4.230%, 10/06/06 1,393 1,396
Americredit Automobile Receivables
Trust, Ser 2002-A, Cl A3 (F)
2.261%, 10/12/06 1,014 1,014
Americredit Automobile Receivables
Trust, Ser 2003-BX, Cl A2A
1.550%, 11/06/06 523 523
Capital Auto Receivables Asset Trust,
Ser 2002-2, Cl A4
4.500%, 10/15/07 9,315 9,385
Capital Auto Receivables Asset Trust,
Ser 2002-3, Cl A3
3.580%, 10/16/06 10,225 10,275
Capital Auto Receivables Asset Trust,
Ser 2004-1, Cl A3
2.000%, 11/15/07 3,251 3,204
Chase Manhattan Auto Owner Trust,
Ser 2004-A, Cl A3
2.080%, 05/15/08 3,790 3,741
Chesapeake Funding, Ser 2003-1,
Cl A1 (F)
2.311%, 08/07/08 11,000 11,007
DaimlerChrysler Auto Trust,
Ser 2004-B, Cl A3
3.180%, 09/08/08 2,041 2,040
DaimlerChrysler Master Owner Trust,
Ser 2002-A, Cl A (F)
2.160%, 05/15/07 3,180 3,180
Drivetime Auto Owner Trust (L)
2.100%, 07/15/05 1,687 1,687
Drivetime Auto Owner Trust (F) (L)
2.148%, 11/15/05 4,506 4,506
Drivetime Auto Owner Trust,
Ser 2003-B, Cl A2
1.347%, 04/17/06 1,109 1,106
Ford Credit Auto Owner Trust,
Ser 2002-D, Cl A4B (F)
2.220%, 11/15/06 13,000 13,008
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 57
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (Unaudited)
CORE FIXED INCOME FUND (Continued)
November 30, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
USAA Auto Owner Trust,
Ser 2004-3, Cl A3
3.160%, 02/17/09 $ 1,145 $ 1,140
Whole Auto Loan Trust,
Ser 2003-1, Cl A4
2.580%, 03/15/10 1,417 1,397
Whole Auto Loan Trust,
Ser 2004-1, Cl A4
3.260%, 03/15/11 1,782 1,764
-----------
84,902
-----------
CREDIT CARDS -- 3.0%
American Express Credit Account Master,
Ser 2004-3, Cl A
4.350%, 12/15/11 1,339 1,358
Chase Credit Card Master Trust,
Ser 2001-1, Cl A
2.240%, 06/16/08 10,550 10,566
Chase Issuance Trust,
Ser 2004-A9, Cl A9
3.220%, 06/15/10 7,925 7,828
Citibank Credit Card Issuance Trust,
Ser 2000-A1, Cl A1
6.900%, 10/15/07 7,175 7,418
Citibank Credit Card Issuance Trust,
Ser 2000-A3, Cl A3
6.875%, 11/16/09 2,273 2,478
Citibank Credit Card Issuance Trust,
Ser 2002-A5, Cl A5 (F)
1.920%, 09/17/07 21,915 21,917
Citibank Credit Card Issuance Trust,
Ser 2003-A10, Cl A10
4.750%, 12/10/15 2,515 2,509
Citibank Credit Card Issuance Trust,
Ser 2003-A6, Cl A6
2.900%, 05/17/10 8,130 7,902
Citibank Credit Card Issuance Trust,
Ser 2004-A1, Cl A1
2.550%, 01/20/09 11,612 11,412
Citibank Credit Card Issuance Trust,
Ser 2004-A4, Cl A4
3.200%, 08/24/09 9,950 9,852
Citibank OMNI Master Trust,
Ser 2002-4, Cl A (F)
2.230%, 08/18/09 8,639 8,645
MBNA Credit Card Master Note Trust,
Ser 2003-A6, Cl A6
2.750%, 10/15/10 5,750 5,565
MBNA Credit Card Master Note Trust,
Ser 2004-A4, Cl A4
2.700%, 09/15/09 7,075 6,954
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Metris Master Trust,
Ser 2000-1, Cl A (F)
2.440%, 08/20/08 $ 5,414 $ 5,405
Metris Master Trust,
Ser 2000-3, Cl A (F)
2.400%, 09/21/09 2,455 2,449
Metris Master Trust,
Ser 2004-2, Cl A
2.200%, 10/20/10 1,485 1,485
Providian Gateway Master Trust,
Ser 2004-FA, Cl A
3.650%, 11/15/11 1,680 1,662
-----------
115,405
-----------
MORTGAGE RELATED SECURITIES -- 19.0%
ABS Home Equity Loan Trust,
Ser 2001-HE3, Cl A1 (F)
2.370%, 11/15/31 1,197 1,198
AFC Home Equity Loan Trust,
Ser 2000-1, Cl 2A (F)
2.420%, 03/25/30 8,115 8,094
ARSI, Ser 2004-W5, Cl AF1 (F)
2.290%, 04/25/34 4,395 4,395
Advanta Mortgage Loan Trust,
Ser 1998-3, Cl A2 (F)
2.480%, 09/25/28 431 432
Aire Valley Mortgages (F) (L)
2.140%, 09/20/05 13,658 13,658
Ameriquest Mortgage Securities,
Ser 2004-R12, Cl A3
2.630%, 01/25/35 854 854
Amortizing Residential Collateral Trust
CMO, Ser 2002-BC1, Cl A (F)
2.520%, 01/25/32 2,175 2,178
Asset Securitization, Ser 1996-D2, Cl A1
6.920%, 02/14/29 6,462 6,687
Banc of America Commercial Mortgage,
Ser 2004-5, Cl A3
4.561%, 11/10/41 5,370 5,397
Bank of America Mortgage Securities,
Ser 2003-1, Cl 2A4
5.000%, 02/25/18 7,146 7,188
Bank of America Mortgage Securities,
Ser 2004-5, Cl 4A1
5.000%, 06/25/19 3,016 3,049
Bank of America Mortgage Securities,
Ser 2004-6, Cl 4A1
5.000%, 07/25/19 3,275 3,231
BankBoston Home Equity Loan Trust,
Ser 1998-2, Cl A5
6.140%, 02/25/19 4 4
- --------------------------------------------------------------------------------
58 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Bear Stearns Asset-Backed Securities,
Ser 2001-A, Cl AI4
6.820%, 02/15/31 $ 3,684 $ 3,770
Blue Heron Funding (F) (L)
2.211%, 02/23/05 21,340 21,340
2.170%, 03/18/05 9,603 9,603
CDC Mortgage Capital Trust,
Ser 2003-HE2, Cl A (F)
2.530%, 10/25/33 5,613 5,614
CIGNA CBO, Ser 1996-1, Cl A2
6.460%, 11/15/08 7,370 7,554
CSFB, Ser 1997-C2, Cl AX IO (F)
1.359%, 01/17/35 25,630 750
CSFB, Ser 1998-C2, Cl A2
6.300%, 11/11/30 5,490 5,924
CSFB, Ser 2001-MH29, Cl A
5.600%, 09/25/31 1,809 1,798
Chase Commercial Mortgage Securities,
Ser 2000-1, Cl A2
7.757%, 04/15/32 2,390 2,706
Chase Funding Mortgage Loan,
Ser 2002-1, Cl 2A2 (F)
2.430%, 03/25/32 4,148 4,156
Chase Funding Net Interest Margin,
Ser 2003-C1A, Cl NOTE
6.750%, 03/27/36 200 201
Cheyne High Grade (F) (L)
2.280%, 11/10/05 12,271 12,271
Citi Group Home Equity Loan Trust,
Ser 2002-1, Cl AF4
5.970%, 03/25/29 5,914 5,957
Commercial Mortgage Pass-through
Certificate, Ser 2004-LB4A, Cl A2
4.049%, 10/15/37 2,676 2,655
Commercial Mortgage, Ser 2000-C1,
Cl A2
7.416%, 08/15/33 3,990 4,521
Commodore (F) (L)
1.970%, 12/12/38 6,402 6,402
Conseco Finance Home Loan Trust,
Ser 2000-E, Cl M1
8.130%, 08/15/31 5,600 5,613
Conseco Finance Securitization,
Ser 2000-4, Cl A5
7.970%, 05/01/32 2,800 2,291
Conseco Finance Securitization,
Ser 2000-4, Cl A6
8.310%, 05/01/32 950 798
Conseco Finance, Ser 2001-A,
Cl IIB1
10.300%, 03/15/32 2,800 2,984
Contimortgage Home Equity Loan Trust,
Ser 1997-3, Cl A9
7.120%, 08/15/28 471 477
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Contimortgage Home Equity Loan Trust,
Ser 1997-5, Cl A6
6.870%, 03/15/24 $ 794 $ 817
Contimortgage Home Equity Loan,
Ser 1997-2, Cl A9
7.090%, 04/15/28 358 369
Countrywide Alternative Loan Trust,
Ser 2004-27CB, Cl A1
6.000%, 12/25/34 7,300 7,478
Countrywide Alternative Loan Trust,
Ser 2004-2CB, Cl 4A1
5.000%, 03/25/19 3,604 3,514
Countrywide Alternative Loan Trust,
Ser 2004-J1, Cl 1A1
6.000%, 02/25/34 2,412 2,448
Countrywide Alternative Loan Trust,
Ser 2004-J6, Cl 2A1
6.500%, 11/25/31 10,182 10,516
Countrywide Asset-Backed Certificates,
Ser 2001-BC3, Cl A (F)
2.420%, 12/25/31 308 308
Countrywide Asset-Backed Certificates,
Ser 2003-C2, Cl 2A1 (F)
2.480%, 06/25/33 10,942 10,944
Countrywide Asset-Backed Certificates,
Ser 2004-11, Cl A2
2.561%, 03/25/33 1,488 1,488
Countrywide Asset-Backed Certificates,
Ser 2004-3N, Cl NOTE (F)
2.380%, 05/25/09 4,503 4,503
Countrywide Asset-Backed Certificates,
Ser 2004-6, Cl 2A2
2.500%, 08/25/32 1,192 1,192
Countrywide Home Equity Loan Trust,
Ser 1999-A, Cl CTFS (F)
2.420%, 04/15/25 2,144 2,145
Countrywide Home Equity Loan Trust,
Ser 2001-A, Cl A (F)
2.340%, 04/15/27 3,903 3,901
Countrywide Home Equity Loan Trust,
Ser 2004-K, Cl A2
2.400%, 02/15/34 10,603 10,603
Criimi Mae Commercial Mortgage,
Ser 1998-C1, Cl A2
7.000%, 06/02/33 4,200 4,514
DLJ Commercial Mortgage,
Ser 1999-CG1, Cl A1B
6.460%, 03/10/32 3,175 3,461
DLJ Commercial Mortgage,
Ser 1999-CG2, Cl A1B
7.300%, 06/10/32 3,600 4,045
DSLA Mortgage Loan Trust,
Ser 2004-AR1, Cl A2A
2.540%, 09/19/44 11,951 11,977
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 59
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (Unaudited)
CORE FIXED INCOME FUND (Continued)
November 30, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
DSLA Mortgage Loan Trust,
Ser 2004-AR2, Cl A2B
2.530%, 11/19/44 $ 14,951 $ 14,951
Davis Square Funding (F) (L)
2.091%, 04/06/05 10,670 10,670
2.091%, 05/06/05 10,670 10,670
Delta Funding Home Equity Loan,
Ser 1999-3, Cl A1A (F)
2.510%, 09/15/29 1,179 1,182
Deutsche Mortgage & Asset
Receiving, Ser 1998-C1, CL A2
6.538%, 06/15/31 9,357 9,966
Duke Funding (F) (L)
2.115%, 04/08/05 10,670 10,670
EMC Mortgage Loan Trust,
Ser 2002-AA, Cl A1 (F)
2.650%, 05/25/39 3,220 3,229
EQCC Trust, Ser 2002-1, Cl 2A (F)
2.480%, 11/25/31 1,571 1,574
Equity One, Ser 2002-2, Cl AF3
5.773%, 10/25/32 6,571 6,704
Equivantage Home Equity Loan Trust,
Ser 1997-2, Cl A3 (F)
7.775%, 07/25/28 791 789
First Horizon, Ser 2004-HE2, Cl A (F)
2.400%, 02/25/34 9,586 9,569
First Union-Lehman Brothers,
1997-C2, Cl IO (F)
1.431%, 11/18/29 1,371 64
First Union National Bank,
Ser 2000-C2, Cl A2
7.202%, 10/15/32 1,930 2,199
Fleet Home Equity Trust,
Ser 2001-1, Cl A (F)
2.350%, 05/20/31 457 455
GE Capital Commercial Mortgage,
Ser 2004-C2, Cl A1
3.111%, 03/10/40 454 447
GE Capital Mortgage Services,
Ser 1997-HE3, Cl A6
6.720%, 10/25/27 1,601 1,598
GMAC Commercial Mortgage Securities,
Ser 1999-C2, Cl A2
6.945%, 09/15/33 4,100 4,539
GMAC Commercial Mortgage Securities,
Ser 1999-C3, Cl A2
7.179%, 08/15/36 5,017 5,600
GMAC Commercial Mortgage Securities,
Ser 2000-C2, Cl A2
7.455%, 08/16/33 5,180 5,941
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GMAC Commercial Mortgage Securities,
Ser 2003-FL1A, Cl A (F)
2.451%, 03/11/15 $ 698 $ 698
GMAC Mortgage Corporation Loan Trust,
Ser 2004-HE5, Cl A1
2.321%, 09/25/34 10,500 10,500
GMAC Mortgage Corporation Loan Trust,
Ser 2004-HE5, Cl A2
3.685%, 09/25/34 854 851
Green Tree Financial, Ser 1996-5, Cl A6
7.750%, 07/15/27 1,631 1,763
Green Tree Financial, Ser 1998-6, Cl A6
6.270%, 06/01/30 1,296 1,329
Greenwich Capital Commercial Funding,
Ser 2004-GG1, Cl A7
5.317%, 06/10/36 2,685 2,767
GS Mortgage Securities, Ser 2004-C1,
Cl A1
3.659%, 10/10/28 589 581
GSAMP Trust, Ser 2003-SEA, Cl A1 (F)
2.580%, 02/25/33 6,818 6,828
GSAMP Trust, Ser 2004-AHL, Cl A2B
2.531%, 08/25/34 823 822
Harborview Mortgage Loan Trust,
Ser 2004-8, Cl 2A4A
2.530%, 11/19/34 12,099 12,099
Harwood (L) (F)
2.190%, 09/20/05 27,102 27,102
IMPAC CMB Trust, CMO,
Ser 2002-2, Cl A1 (F)
2.460%, 08/25/32 3,082 3,083
IMPAC CMB Trust, Ser 2002-5, Cl A1 (F)
2.550%, 07/25/32 4,136 4,141
IMPAC CMB Trust, Ser 2003-12,
Cl A1 (F)
2.560%, 12/25/33 8,787 8,785
JP Morgan Chase Commercial Mortgage,
Ser 1997-C5, Cl X, IO (F)
1.475%, 09/15/29 5,426 226
JP Morgan Chase Commercial Mortgage,
Ser 2001-CIBC, Cl A3
6.260%, 03/15/33 5,735 6,281
JP Morgan Chase Commercial Mortgage,
Ser 2004-LN2, Cl A1
4.475%, 07/15/41 14 14
JP Morgan Mortgage Trust, Ser 2004-A5,
Cl 4A4
4.928%, 12/25/34 11,500 11,451
Lehman Brothers, Ser 1998-C4, Cl A1B
6.210%, 10/15/35 6,512 6,990
Lehman Brothers, Ser 2000-C4, Cl A2
7.370%, 08/15/26 6,965 7,945
- --------------------------------------------------------------------------------
60 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MLCC Mortgage Investors, Ser 2004-B,
Cl A3
3.645%, 05/25/29 $ 5,744 $ 5,867
Master Adjustable Rate Mortgages Trust,
Ser 2004-1, Cl 2A1
3.554%, 01/25/34 9,465 9,406
Master Adjustable Rate Mortgages Trust,
Ser 2004-13, Cl 3A7A
3.787%, 12/21/34 11,650 11,417
Master Alternative Loans Trust,
Ser 2004-4, Cl 1A1
5.500%, 05/25/34 4,610 4,567
Mellon Residential Funding,
Ser 2001-HEIL, Cl A4
6.615%, 02/25/21 3,915 3,997
Merrill Lynch Mortgage Investors,
Ser 1996-C2, Cl A3
6.960%, 11/21/28 3,515 3,678
Merrill Lynch Mortgage Investors,
Ser 1998-C1, Cl A1
6.310%, 11/15/26 598 611
Merrill Lynch Mortgage Investors,
Ser 2002-NC1, Cl A1 (F)
2.500%, 05/25/33 215 215
Merrill Lynch Mortgage Investors,
Ser 2003-WMC1, Cl A2 (F)
2.540%, 11/25/33 8,562 8,573
Merrill Lynch Mortgage Trust,
Ser 2004-BPC1, Cl A1
3.585%, 10/12/41 1,317 1,310
Mesa Trust Asset-Backed Certificates,
Ser 2002-3, Cl A, IO (F) (H)
5.000%, 04/18/05 2,669 47
Metropolitan Asset Funding,
Ser 1997-B, Cl A1D
7.130%, 03/20/12 1,115 1,113
Metropolitan Asset Funding,
Ser 1998-A, Cl A4 (C)
6.981%, 01/20/26 80 80
Mid-State Trust, Ser 11, Cl A1
4.864%, 07/15/38 4,576 4,465
Money Store SBA Loan Trust,
Ser 1999-1, Cl A (F)
2.800%, 07/15/25 424 421
Morgan Stanley Capital I,
Ser 2004-T13, Cl A2
3.940%, 09/13/45 2,158 2,121
Morgan Stanley, Ser 2003-NC8,
Cl A2 (F)
2.540%, 09/25/33 5,763 5,778
Nomura Asset Securities,
Ser 1996-MD5, Cl A1B
7.120%, 04/13/39 3,000 3,144
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Nomura Asset Securities,
Ser 1998-D6, Cl A1B
6.590%, 03/15/30 $ 2,055 $ 2,226
Novastar Home, Ser 1998-2,
Cl A2 (F)
2.260%, 08/25/28 591 591
Oakwood Mortgage Investors,
Ser 2002-C, Cl A, IO (H)
6.000%, 08/15/10 9,684 1,870
Oncor Electric Delivery Transition Bond,
Ser 2003-1, Cl A2
4.030%, 02/15/12 3,130 3,142
Option One Mortgage Loan Trust,
Ser 2001-4, Cl A (F)
2.480%, 01/25/32 1,587 1,588
Orchid Structured Finance (F) (L)
2.410%, 05/18/05 23,417 23,417
Origen Manufactured Housing,
Ser 2002-A, Cl A1 (F)
2.340%, 05/15/32 131 131
RMAC (F) (L)
2.090%, 06/12/05 9,603 9,603
Renaissance Home Equity Loan Trust,
Ser 2004-3, Cl AF-2
3.574%, 11/25/34 7,000 6,939
Residential Accredit Loan,
Ser 1997-QS8, Cl A10
7.500%, 08/25/27 46 46
Residential Asset Mortgage Products,
Ser 2003-RS3, Cl AII
2.540%, 04/25/33 1,526 1,527
Residential Asset Mortgage Products,
Ser 2003-RZ4, Cl A1
2.330%, 06/25/24 2,147 2,147
Residential Asset Mortgage Products,
Ser 2004-SL1, Cl A8
6.500%, 11/25/31 6,221 6,376
Residential Asset Mortgage Products,
Ser 2004-SL3, Cl A2
6.500%, 12/25/31 8,470 8,732
Residential Asset Mortgage,
Ser 2002-RS5, Cl AI5
5.410%, 09/25/32 10,000 10,193
Residential Asset Mortgage,
Ser 2002-RS6, Cl AI5
5.650%, 11/25/32 6,000 6,183
Residential Asset Securities,
Ser 2002-KS7, Cl A2 (F)
2.550%, 11/25/32 7,090 7,100
Residential Asset Securitization Trust,
Ser 2004-IP2, Cl 2A1
5.274%, 11/25/34 11,200 11,357
Residential Funding Mortgage Securities,
Ser 2000-HI1, Cl AI7
8.290%, 02/25/25 7,263 7,494
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 61
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (Unaudited)
CORE FIXED INCOME FUND (Continued)
November 30, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Ryland Mortgage Securities, CMO,
Ser 1994-7A, Cl A2
7.000%, 08/25/25 $ 98 $ 98
SASC, Ser 2003-AL2, Cl A
3.357%, 01/25/31 3,916 3,630
Salomon Brothers Mortgage Securities,
Ser 2000-C3, Cl A2
6.592%, 12/18/33 4,190 4,619
Salomon Brothers Mortgage Securities,
Ser 2002-KEY2, Cl A1
3.222%, 03/18/36 632 630
Start, Ser 2003-1
1.620%, 01/21/10 6,122 6,122
Start, Ser 2003-2 (C) (F)
2.030%, 01/21/09 7,209 7,207
Structured Asset Investment Loan Trust,
Ser 2003-BC7, Cl 1A1 (F)
2.310%, 07/25/33 1,188 1,188
Structured Asset Securities,
Ser 2002-26, Cl 1A4
5.300%, 01/25/33 858 856
Terwin Mortgage Trust, Ser 2004-9HE,
Cl A2 (F)
2.340%, 09/25/34 13,363 13,372
UBS Paine Webber Commercial
Mortgage Trust, Ser 2003-C5, Cl A2
3.478%, 07/15/27 1,332 1,312
UBS Paine Webber Commercial
Mortgage Trust, Ser 2004-C6, Cl A3
4.547%, 08/15/29 1,029 1,032
UBS Paine Webber Commercial
Mortgage Trust, Ser 2004-C8, Cl A2
4.201%, 12/15/29 1,424 1,422
Wachovia Bank Commercial Mortgage
Trust, Ser 2004-C15, Cl A3
4.502%, 10/15/41 2,501 2,509
Washington Mutual Mortgage,
Ser 2003-MS1, Cl 1A
5.000%, 02/25/18 2,541 2,555
Washington Mutual Mortgage,
Ser 2003-MS2, Cl 3A1
5.000%, 03/25/18 8,521 8,569
Washington Mutual, Ser 2002-AR18,
Cl A (F)
4.150%, 01/25/33 5,205 5,209
Washington Mutual, Ser 2004-AR10,
Cl A2A (F)
2.188%, 07/25/44 10,143 10,119
Wells Fargo, Ser 2003-3, Cl 1A21
5.250%, 04/25/33 3,990 4,018
Whitehawk CDO Funding (F) (L)
1.710%, 06/15/05 5,335 5,335
-----------
720,320
-----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
OTHER ASSET-BACKED SECURITIES -- 0.6%
Embarcadero Aircraft, Ser 2000-A,
Cl A1 (F)
2.580%, 08/15/25 $ 4,800 $ 2,400
SLM Student Loan Trust, Ser 2003-4,
Cl A2
1.920%, 12/17/12 10,079 10,077
SLM Student Loan Trust, Ser 2004-9,
Cl A1
1.970%, 10/25/09 10,350 10,340
Structured Asset Investment Loan
Trust, Ser 2004-10, Cl A8
2.441%, 11/25/34 1,208 1,208
-----------
24,025
-----------
Total Asset-Backed Securities
(Cost $949,635) ($ Thousands) 944,652
-----------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 15.4%
FHLMC
9.750%, 10/01/14 34 36
9.000%, 12/01/05 1 1
8.500%, 09/01/08 to 04/01/09 221 233
7.500%, 11/01/17 to 06/01/32 2,392 2,562
7.000%, 11/01/15 to 06/01/32 2,925 3,098
6.500%, 10/01/16 to 05/01/18 7,513 7,943
6.000%, 03/01/11 to 12/01/33 3,569 3,712
5.500%, 09/01/13 to 04/01/34 32,526 33,213
5.000%, 01/01/11 to 12/13/34 60,222 60,686
4.500%, 04/01/19 to 12/16/19 55 64
4.000%, 05/01/19 to 01/01/34 5,660 5,178
3.125%, 02/01/37 7,746 7,733
FHLMC TBA
8.000%, 12/01/33 1,600 1,728
6.000%, 12/16/19 to 12/13/34 5,100 5,374
5.500%, 12/16/19 to 12/13/34 3,400 3,532
FNMA
8.000%, 04/01/08 to 07/01/31 2,156 2,312
7.500%, 06/01/27 to 04/01/31 35 37
7.410%, 04/01/10 545 615
7.095%, 12/01/09 790 876
7.000%, 03/01/09 to 07/01/32 11,212 11,875
6.500%, 12/01/12 to 04/01/34 20,760 21,847
6.000%, 03/01/11 to 09/01/34 26,597 27,632
5.500%, 05/01/13 to 12/13/34 20,355 20,977
5.000%, 08/01/11 to 03/01/34 36,771 36,480
4.500%, 06/01/18 to 12/13/19 4,602 4,466
4.000%, 08/01/10 to 11/01/33 11,794 11,529
- --------------------------------------------------------------------------------
62 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA TBA
7.500%, 12/01/33 $ 1,400 $ 1,499
7.000%, 12/01/33 24,100 25,561
6.500%, 12/13/34 to 12/25/34 18,402 19,304
6.000%, 12/01/18 to 12/13/34 77,896 81,013
5.000%, 12/16/19 to 12/25/34 39,697 40,099
4.320%, 12/25/34 793 794
4.000%, 12/16/19 4,500 4,372
GNMA
9.500%, 12/15/20 40 46
7.000%, 12/15/28 to 02/15/33 8,759 9,320
6.500%, 06/15/11 to 02/15/32 4,110 4,342
6.000%, 03/15/14 to 10/20/34 19,120 19,831
5.500%, 04/15/14 to 02/15/34 22,315 22,789
3.750%, 05/20/34 8,868 8,755
GNMA TBA
7.000%, 12/01/31 10,600 11,269
6.500%, 12/20/34 199 210
6.000%, 12/01/33 to 12/20/34 26,390 27,281
5.000%, 12/01/33 37,000 36,769
-----------
Total U.S. Government Mortgage-Backed Obligations
(Cost $583,048) ($ Thousands) 586,993
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 11.0%
FHLB
3.625%, 11/14/08 100 100
2.875%, 05/22/06 11,800 11,770
1.930%, 12/01/04 (A) 8,000 8,000
FHLMC
6.625%, 09/15/09 18,903 21,053
5.000%, 07/15/14 5,958 6,082
4.625%, 05/28/13 (K) 2,450 2,418
4.500%, 12/16/10 (K) 11,535 11,484
4.125%, 02/24/11 (K) 6,580 6,442
3.875%, 11/10/08 to 01/12/09 (K) 14,660 14,653
3.750%, 08/03/07 (K) 7,577 7,581
3.500%, 04/01/08 (K) 3,300 3,273
2.220%, 02/03/05 (A) 7,614 7,584
2.090%, 12/07/04 14,920 14,920
1.829%, 12/27/04 (A) 3,995 3,990
FHLMC CMO, Ser 1, Cl Z
9.300%, 04/15/19 70 70
FHLMC CMO, Ser 1081, Cl K
7.000%, 05/15/21 1,391 1,395
FHLMC CMO, Ser 1101, Cl M
6.950%, 07/15/21 815 818
FHLMC CMO, Ser 1611, Cl Z
6.500%, 11/15/23 8,474 8,965
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC CMO, Ser 1983, Cl Z
6.500%, 12/15/23 $ 1,902 $ 1,963
FHLMC CMO, Ser 2043, Cl CJ
6.500%, 04/15/28 5,956 6,231
FHLMC CMO, Ser 2389, Cl CD
6.000%, 03/15/16 7,500 7,730
FHLMC CMO, Ser 2480, Cl QJ
6.000%, 02/15/30 1,680 1,690
FHLMC CMO, Ser 2544, Cl IW, IO
5.500%, 03/15/26 4,400 487
FHLMC CMO, Ser 2579, Cl PI, IO
5.500%, 03/15/27 4,480 326
FHLMC CMO, Ser 2581, Cl HV
4.500%, 02/15/17 1,421 1,433
FHLMC CMO, Ser 2588, Cl IG, IO
5.500%, 03/15/32 8,321 1,198
FHLMC CMO, Ser 2621, Cl LJ, IO
5.500%, 12/15/26 3,249 419
FHLMC CMO, Ser 2625, Cl IO, IO
5.000%, 12/15/31 3,384 501
FHLMC CMO, Ser 2631, Cl IJ, IO
5.000%, 10/15/26 2,150 402
FHLMC CMO, Ser 2731, Cl PK
3.500%, 05/15/26 6,987 6,932
FHLMC CMO, Ser 2733, Cl ME
5.000%, 01/15/34 6,302 5,913
FHLMC CMO, Ser 2736, Cl DB
3.300%, 11/15/26 4,289 4,218
FHLMC CMO, Ser 2791, Cl VD
5.000%, 02/15/21 746 720
FHLMC CMO, Ser 2791, Cl Vl
5.000%, 02/15/21 807 782
FHLMC CMO, Ser 2791, Cl VJ
5.000%, 02/15/21 883 855
FHLMC CMO, Ser 2801, Cl EH
4.500%, 11/15/16 4,751 4,788
FHLMC CMO, Ser 2807, Cl ND
5.500%, 04/15/29 2,224 2,282
FHLMC CMO, Ser 2809, Cl HX, IO
6.000%, 10/15/24 5,577 648
FHLMC CMO, Ser 2820, Cl PE
5.500%, 03/15/30 2,111 2,165
FHLMC CMO, Ser 2825, Cl PM
5.500%, 03/15/30 6,261 6,411
FHLMC CMO, Ser 2832, Cl PD
5.500%, 09/15/29 1,858 1,902
FHLMC CMO, Ser 2835, Cl NE
5.500%, 06/15/29 942 966
FHLMC CMO, Ser 2849, Cl PD
5.500%, 03/15/30 1,161 1,189
FHLMC CMO, Ser 2858, Cl JM
5.500%, 03/15/30 3,202 3,270
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 63
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (Unaudited)
CORE FIXED INCOME FUND (Continued)
November 30, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC CMO, Ser 2859, Cl PD
5.500%, 04/15/30 $ 1,138 $ 1,165
FHLMC CMO, Ser 2864, Cl NA
5.500%, 01/15/31 5,400 5,560
FHLMC, Ser 2542, Cl ES
5.000%, 12/15/17 3,680 3,679
FHLMC, Ser 2591, Cl PN
3.750%, 02/15/30 737 703
FHLMC, Ser 2631, Cl MT
3.500%, 01/15/22 3,506 3,475
FHLMC, Ser 2804, Cl EC
5.500%, 06/15/33 1,019 1,028
FHLMC, Ser 2808, Cl PE
5.500%, 01/15/29 1,098 1,126
FHLMC, Ser 2833, Cl JD
5.500%, 09/15/29 647 661
FHLMC, Ser 2845, Cl PI
5.500%, 02/15/32 7,857 882
FHLMC, Ser 2860, Cl CM
4.500%, 10/15/17 2,139 2,153
FHLMC, Ser 2873, Cl PD
5.500%, 12/15/30 1,913 1,955
FHLMC, Ser 2876, Cl PE
5.500%, 04/15/30 1,288 1,317
FHLMC, Ser 2878, Cl QE
5.500%, 04/15/30 894 914
FNMA
7.125%, 03/15/07 to 06/15/10 (K) 27,881 31,215
6.625%, 10/15/07 15,217 16,517
3.530%, 10/19/07 4,645 4,617
3.125%, 03/16/09 (K) 3,090 2,990
2.710%, 01/30/07 16,675 16,480
2.350%, 04/05/07 (A) (K) 8,070 7,894
2.252%, 02/16/05 (A) (K) 6,140 6,111
2.144%, 01/03/05 (A) 14,920 14,890
2.037%, 04/01/05 (B) 4,710 4,673
1.750%, 06/16/06 960 941
1.670%, 12/20/04 (A) 14,500 14,484
1.489%, 11/29/06 (A) (G) 7,552 7,567
FNMA CMO, Ser 1990-58, Cl J
7.000%, 05/25/20
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/29 5,895 5,843
FNMA CMO, Ser 2002-22, Cl PE
6.500%, 11/25/30 2,030 2,060
FNMA CMO, Ser 2002-65, Cl TP
7.000%, 03/25/31 1,328 1,350
FNMA CMO, Ser 2002-82, Cl XJ
4.500%, 09/25/12 1,625 1,637
FNMA CMO, Ser 2002-94, Cl BJ, IO
5.500%, 04/25/16 1,400 129
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA CMO, Ser 2003-13, Cl GA
4.500%, 06/25/32 $ 3,770 $ 3,791
FNMA CMO, Ser 2003-16, Cl KA
6.000%, 04/25/30 309 310
FNMA CMO, Ser 2003-24, Cl PA
4.500%, 11/25/09 6,900 6,947
FNMA CMO, Ser 2003-32, Cl KA
5.000%, 07/25/13 830 840
FNMA CMO, Ser 2003-41, Cl YN
4.000%, 05/25/17 1,854 1,861
FNMA CMO, Ser 2003-79, Cl KA
3.750%, 05/25/11 1,865 1,870
FNMA CMO, Ser 2003-87, Cl TJ
4.500%, 09/25/18 2,475 2,366
FNMA CMO, Ser 2003-92, Cl KQ
3.500%, 06/25/23 4,485 4,441
FNMA CMO, Ser 342, Cl 2, IO
6.000%, 09/01/33 5,457 1,173
FNMA, Ser 2001-60, Cl JZ
6.000%, 03/25/31 1,281 1,303
FNMA, Ser 2002-55, Cl H
6.000%, 08/25/29 340 341
FNMA, Ser 2003-35, Cl BC
5.000%, 05/25/18 1,750 1,751
FNMA, Ser 2003-46, Cl PW
4.500%, 11/25/27 4,199 4,141
FNMA, Ser 2003-65, Cl NA
3.500%, 09/25/31 1,525 1,463
FNMA, Ser 2003-69, Cl GJ
3.500%, 12/25/31 1,496 1,440
FNMA, Ser 2004-89, Cl AQ
4.500%, 12/25/24 1,568 1,434
FNMA, Ser 2004-95, Cl VB
5.000%, 01/25/35 453 436
FNMA, Ser 2004-96, Cl QC
5.500%, 08/25/34 1,662 1,684
GNMA CMO, Ser 2001-18, Cl WH (F)
22.680%, 04/20/31 724 851
GNMA CMO, Ser 2002-51, Cl SG (F)
23.226%, 04/20/31 633 776
GNMA CMO, Ser 2003-58, Cl LG, IO
5.500%, 05/17/29 3,000 684
GNMA CMO, Ser 2004-54, Cl LE
5.500%, 08/20/33 2,510 2,536
GNMA, Ser 2003-82, Cl IO, IO
5.500%, 03/20/29 9,587 1,248
GNMA, Ser 2004-75, Cl NE
5.500%, 01/20/31 774 789
GNMA, Ser 2004-87, Cl LI, IO
5.000%, 12/20/28 11,740 1,271
SLMA
3.660%, 04/01/09 4,050 4,068
- --------------------------------------------------------------------------------
64 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Small Business Administration,
Ser 2003-P10A, Cl 1 (F)
4.524%, 02/10/13 $ 4,567 $ 4,537
TVA
7.125%, 05/01/30 3,440 4,188
-----------
Total U.S. Government Agency Obligations
(Cost $418,064) ($ Thousands) 418,575
-----------
COMMERCIAL PAPER (A) -- 6.5%
FINANCIALS -- 6.4%
Broadhollow Funding (L)
2.111%, 12/06/04 16,005 16,000
CPI Funding (L)
2.121%, 12/10/04 20,595 20,584
DaimlerChrysler
2.100%, 01/28/05 14,655 14,595
Golden Fish (L)
2.307%, 01/18/05 12,856 12,817
2.172%, 12/17/04 6,235 6,229
2.162%, 12/14/04 7,506 7,500
2.031%, 12/08/04 3,647 3,645
HBOS Treasury Services PLC
2.051%, 01/26/05 5,000 4,984
Harwood Street Funding (L)
2.137%, 12/15/04 32,995 32,968
Household Finance (L)
2.142%, 12/15/04 26,675 26,653
Laguna (L)
2.141%, 12/10/04 8,536 8,531
2.140%, 12/03/04 10,670 10,669
Main Street Warehouse (L)
2.131%, 12/07/04 4,268 4,267
2.131%, 12/08/04 4,268 4,266
2.131%, 12/09/04 21,340 21,330
Thornburg Mortgage Capital (L)
2.152%, 12/15/04 21,340 21,322
2.151%, 12/07/04 7,469 7,466
2.150%, 12/03/04 19,206 19,204
-----------
243,030
-----------
INDUSTRIALS -- 0.1%
Hertz
2.401%, 03/24/05 2,860 2,858
-----------
Total Commercial Paper
(Cost $245,900) ($ Thousands) 245,888
-----------
- --------------------------------------------------------------------------------
Shares/Contracts/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CASH EQUIVALENTS -- 0.9%
Bear Stearns Master Notes (L) 21,340,052 $ 21,340
Evergreen Select Money
Market Fund 597,107 597
SEI Daily Income Trust,
Prime Obligation Fund, Cl A+ 12,056,293 12,056
-----------
Total Cash Equivalents
(Cost $33,993) ($ Thousands) 33,993
-----------
FOREIGN BONDS -- 0.7%
Bundesobligation (C)
3.250%, 04/17/09 $ 20,095 27,034
-----------
Total Foreign Bonds
(Cost $26,369) ($ Thousands) 27,034
-----------
MUNICIPAL BOND -- 0.0%
California State, Department of Water,
Ser E, RB
3.975%, 05/01/05 1,125 1,130
Los Angeles County, California Taxable
Pension Obligation, Ser D, RB,
MBIA (E)
7.725%, 06/30/10 650 497
-----------
Total Municipal Bond
(Cost $1,544) ($ Thousands) 1,627
-----------
CERTIFICATES OF DEPOSIT -- 0.0%
SunTrust Bank
4.415%, 06/15/09 1,285 1,295
-----------
Total Certificates of Deposit
(Cost $1,285) ($ Thousands) 1,295
-----------
COMMON STOCK -- 0.0%
MCI* 61,970 1,169
-----------
Total Common Stock
(Cost $1,662) ($ Thousands) 1,169
-----------
OPTIONS -- 0.0%
90 Days Euro Futures Call Expires
9/19/05, Strike Price $96 152 262
November 2004 Fed Fund
Futures Call, Expires 11/30/04,
Strike Price $98.125 213 2
-----------
Total Options
(Cost $308) ($ Thousands) 264
-----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 65
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (Unaudited)
CORE FIXED INCOME FUND (Concluded)
November 30, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 14.9%
Barclays
2.070%, dated 11/30/04, to be
repurchased on 12/01/04,
repurchase price $47,261,330
(collateralized by various
U.S. Government Obligations,
ranging in par value $2,183,087-
$32,010,079, 1.625%-7.000%,
04/15/05-03/15/10; with total
market value $48,204,759)(L) $ 47,259 $ 47,259
Countrywide
2.030%, dated 11/30/04, to be
repurchased on 12/01/04,
repurchase price $209,011,785
(collateralized by U.S. Government
Obligations, ranging in par value
$10,410,000-$50,000,000,
3.710%-6.000%,05/24/07-09/10/24;
with total market value
$213,180,000) 209,000 209,000
Lehman Brothers
2.070%, dated 11/30/04, to be
repurchased on 12/01/04,
repurchase price $13,871,832
(collateralized by various
U.S. Government Obligations,
ranging in par value $456,677-
$943,657, 0.000%-6.700%,
09/13/05-08/15/27; with total
market value $14,148,868)(L) 13,871 13,871
Nomura
2.050%, dated 11/30/04, to be
repurchased on 12/01/04,
repurchase price $120,406,856
(collateralized by various
U.S Government Obligations,
ranging in par value $20,535,000-
$50,000,000, 2.288%-4.450%,
06/17/2010-08/27/2010; with total
market value $122,862,006) 120,400 120,400
UBS Paine Webber
2.070%, dated 11/30/04, to be
repurchased on 12/01/04,
repurchase price $174,998,492
(collateralized by various
U.S. Government Obligations,
ranging in par value $2,472,245-
$10,670,026, 0.000%-5.002%,
12/17/04-11/15/29; with total
market value $178,488,846)(L) 174,988 174,988
-----------
Total Repurchase Agreements
(Cost $565,518) ($ Thousands) 565,518
-----------
Total Investments -- 132.7%
(Cost $5,021,337) ($ Thousands) $ 5,049,294
-----------
- --------------------------------------------------------------------------------
Market Value
Description Contracts ($ Thousands)
- --------------------------------------------------------------------------------
WRITTEN OPTIONS -- 0.0%
January 2005 Ten Year Treasury Note
Call, Expires 12/23/04,
Strike Price $113 (44) $ (3)
January 2005 Ten Year Treasury Note
Put, Expires 12/23/04,
Strike Price $110 (44) (19)
March 2005 Ten Year Treasury Note
Call, Expires 02/18/05,
Strike Price $113 (131) (57)
March 2005 Ten Year Treasury Note
Call, Expires 02/18/05,
Strike Price $114 (323) (76)
March 2005 Ten Year Treasury Note
Call, Expires 02/18/05,
Strike Price $115 (227) (28)
March 2005 Ten Year Treasury Note
Put, Expires 02/18/05
Strike Price $108 (136) (57)
March 2005 Ten Year Treasury Note
Put, Expires 02/18/05,
Strike Price $109 (135) (87)
March 2005 Long Bond Call, Expires
02/18/05, Strike Price $116 (93) (22)
March 2005 Long Bond Put, Expires
02/18/05, Strike Price $104 (93) (28)
-----------
Total Written Options
(Premium Received $(855)) ($ Thousands) $ (377)
-----------
- --------------------------------------------------------------------------------
66 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $3,805,456,262.
* Non-income producing security.
+ See Note 3 in Notes to Financial Statements.
(A) The rate reflected is the effective yield at time of purchase.
(B) Security, or portion thereof, has been pledged as collateral on open
futures contracts. The rate reported is the effective yield at time of
purchase.
(C) Security sold within the terms of a private placement memorandum, exempt
from registration under section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors". These securities have been determined to be liquid
under guidelines established by the Board of Directors.
(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 November 30, 2004.
(G) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on November 30, 2004. The coupon on a step bond changes on
a specified date.
(H) Securities considered illiquid. The total value of such securities as of
November 30, 2004 was $5,222,576 and represented 0.14% of Net Assets.
(I) Security in default on 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 November 30, 2004 was $23,347 and represented 0.00% of
Net Assets.
(K) This security or a partial position of this security is on loan at
November 30, 2004 (see Note 9). The total value of securities on loan at
November 30, 2004 was $1,009,483,458.
(L) This security was purchased with cash collateral held from securities
lending. The total value of such securities as of November 30, 2004 was
$1,049,160,301. (See Note 9).
Cl -- Class
CMO -- Collateralized Mortgage Obligation
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
IO -- Interest Only Security
LLC -- Limited Liability Company
MBIA -- Municipal Bond Insurance Association
MTN -- Medium Term Note
PLC -- Public Limited Company
RB -- Revenue Bond
Ser -- Series
SLMA -- Student Loan Marketing Association
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
TVA -- Tennessee Valley Authority
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 67
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (Unaudited)
LONG DURATION BOND FUND
November 30, 2004
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)*:
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
66.1% Financials
6.1% Energy
5.1% U.S Government Agency Obligations
4.6% U.S. Treasury Obligations
4.0% Information Technology
4.0% Industrials
2.8% Consumer Discretionary
2.3% Asset-Backed Securities
2.2% Short-Term Investments
1.5% Utilities
1.2% Materials
0.1% Health Care
* Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 54.7%
CONSUMER DISCRETIONARY -- 1.8%
Ford Motor
8.900%, 01/15/32 $ 27 $ 30
7.450%, 07/16/31 190 185
General Motors
8.375%, 07/15/33 342 348
Rockwell Automation
5.200%, 01/15/98 136 114
-------
677
-------
ENERGY -- 3.9%
British Transco Finance
6.625%, 06/01/18 68 76
Conoco
6.950%, 04/15/29 770 882
Suncor Energy
7.150%, 02/01/32 258 302
Trans-Canada Pipelines
5.600%, 03/31/34 82 79
Trans-Canada Pipelines MTN
7.060%, 10/14/25 110 126
-------
1,465
-------
FINANCIALS -- 42.1%
Abbey National
8.963%, 12/29/49 758 1,031
Aetna
7.625%, 08/15/26 50 59
Allstate
5.350%, 06/01/33 129 119
American General Capital
8.500%, 07/01/30 231 304
Bank of America (A)
8.070%, 12/31/26 1,267 1,371
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
BankBoston Capital Trust I, Ser B
8.250%, 12/15/26 $ 145 $ 159
Bear Stearns
5.700%, 11/15/14 121 127
Citigroup
5.875%, 02/22/33 1,633 1,625
Credit Suisse First Boston
7.125%, 07/15/32 57 67
5.125%, 01/15/14 332 335
Farmers Insurance Exchange Capital (A)
6.000%, 08/01/14 165 163
First Union National Bank
6.500%, 12/01/28 61 65
GE Global Insurance
6.450%, 03/01/19 1,465 1,513
Genworth Financial
6.500%, 06/15/34 181 192
Goldman Sachs Group
6.345%, 02/15/34 978 989
HBOS Capital Funding (A) (B)
6.071%, 06/30/49 30 32
HSBC Capital Funding (A)
10.176%, 06/30/30 680 1,028
HSBC Capital Trust (A)
8.380%, 05/15/27 9 10
Household Finance
7.625%, 05/17/32 82 100
JPMorgan Chase
5.250%, 05/01/15 1,253 1,252
Lehman Brothers Holdings MTN, Ser G
4.800%, 03/13/14 253 247
Lincoln National
4.750%, 02/15/14 129 124
Lion Connecticut Holding
7.250%, 08/15/23 12 13
Merrill Lynch
6.500%, 07/15/18 716 776
Met Life Insurance (A)
7.800%, 11/01/25 18 22
Metlife
6.375%, 06/15/34 235 245
Morgan Stanley
7.250%, 04/01/32 58 68
4.750%, 04/01/14 320 309
NBD Bank
8.250%, 11/01/24 72 90
National Archives Facility Trust
8.500%, 09/01/19 286 349
National Rural Utilities MTN, Ser C
8.000%, 03/01/32 320 407
Nationwide Mutual Insurance (A)
6.600%, 04/15/34 305 294
- --------------------------------------------------------------------------------
68 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Prudential Financial MTN, Ser B
5.750%, 07/15/33 $ 264 $ 253
Royal Bank of Scotland
7.648%, 08/31/49 681 818
SLM MTN
5.625%, 08/01/33 446 429
US Bank
4.800%, 04/15/15 37 36
Wachovia
5.250%, 08/01/14 726 735
-------
15,756
-------
HEALTH CARE -- 0.0%
Becton Dickinson
7.000%, 08/01/27 18 21
-------
INDUSTRIALS -- 2.6%
American West Airlines, Ser 01-1
7.100%, 04/02/21 188 197
Boeing
8.750%, 09/15/31 49 67
Caterpillar
7.300%, 05/01/31 192 234
Continental Airlines, Ser 00-2
7.707%, 04/02/21 181 178
Deere
6.550%, 10/01/28 148 165
Delta Airlines, Ser 02-1, Cl G-1
6.718%, 01/02/23 43 45
Northwest Airlines, Ser 00-1
8.072%, 10/01/19 39 42
United Technologies
6.700%, 08/01/28 25 28
-------
956
-------
MATERIALS -- 0.7%
Dow Chemical
7.375%, 11/01/29 239 280
-------
INFORMATION TECHNOLOGY -- 2.6%
International Business Machines
7.125%, 12/01/96 833 963
-------
UTILITIES -- 1.0%
Duke Energy
5.300%, 10/01/15 195 197
Florida Power & Light
5.650%, 02/01/35 81 81
South Carolina Electric & Gas
5.800%, 01/15/33 69 70
-------
348
-------
Total Corporate Obligations
(Cost $20,323) ($ Thousands) 20,466
-------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 3.3%
FHLMC
5.200%, 12/20/04 $ 128 $ 128
FHLMC, Ser 2748, Cl ZT
5.500%, 02/15/24 75 72
FNMA (C)
2.230%, 02/16/05 148 147
2.100%, 01/05/05 435 434
FNMA, Ser 2003-122, Cl ZQ
6.000%, 12/25/33 100 102
FNMA, Ser 2004-12, Cl ZX
6.000%, 03/25/34 108 107
FNMA, Ser 2004-31, Cl MZ
4.250%, 05/25/34 103 75
FNMA, Ser 2004-80 Cl XZ
5.000%, 11/25/34 201 150
-------
Total U.S. Government Agency Obligations
(Cost $1,197) ($ Thousands) 1,215
-------
U.S. TREASURY OBLIGATION -- 2.9%
U.S. Treasury Bonds
8.125%, 08/15/19 813 1,093
-------
Total U.S. Treasury Obligation
(Cost $1,106) ($ Thousands) 1,093
-------
ASSET-BACKED SECURITIES -- 1.5%
MORTGAGE RELATED SECURITIES -- 1.5%
Chase Funding Mortgage Loan,
Ser 2001-4, Cl 2M2 (B)
3.580%, 11/25/31 550 554
-------
Total Asset-Backed Securities
(Cost $552) ($ Thousands) 554
-------
CASH EQUIVALENT -- 1.4%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A+ 517,873 518
-------
Total Cash Equivalent
(Cost $518) ($ Thousands) 518
-------
Total Investments -- 63.8%
(Cost $23,696) ($ Thousands) $23,846
=======
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 69
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (Unaudited)
LONG DURATION BOND FUND (Concluded)
November 30, 2004
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $37,388,204.
+ See Note 3 in Notes to Financial Statements.
(A) Security sold within the terms of a private placement memorandum, exempt
from registration under section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors". These securities have been determined to be liquid
under guidelines established by the Board of Directors.
(B) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of November 30, 2004.
(C) The rate reported is the effective yield at time of purchase.
Cl -- Class
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
MTN -- Medium Term Note
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
70 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
EXTENDED DURATION BOND FUND
November 30, 2004
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)*:
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
44.4% Financials
31.2% U.S. Treasury Obligations
5.1% Energy
4.3% Industrials
3.2% U.S Gov't Obligations
3.1% Asset-Backed Securities
2.7% Information Technology
2.2% Short-Term Investments
1.9% Consumer Discretionary
0.9% Utilities
0.8% Materials
0.2% Health Care
* Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 56.5%
CONSUMER DISCRETIONARY -- 1.8%
Ford Motor
8.900%, 01/15/32 $ 116 $ 128
7.450%, 07/16/31 102 99
General Motors
8.375%, 07/15/33 338 344
Rockwell Automation
5.200%, 01/15/98 164 138
-------
709
-------
ENERGY -- 4.8%
British Transco Finance
6.625%, 06/01/18 312 346
Conoco
6.950%, 04/15/29 805 922
Suncor Energy
7.150%, 02/01/32 272 319
Trans-Canada Pipelines
5.600%, 03/31/34 368 356
-------
1,943
-------
FINANCIALS -- 41.6%
Abbey National
8.963%, 12/29/49 802 1,090
Allstate
5.350%, 06/01/33 141 130
American General Capital
8.500%, 07/01/30 246 323
Bank of America (A)
8.070%, 12/31/26 828 896
BankBoston Capital Trust I, Ser B
8.250%, 12/15/26 655 718
Bear Stearns
5.700%, 11/15/14 123 129
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Citigroup
5.875%, 02/22/33 $ 1,722 $ 1,714
Credit Suisse First Boston
7.125%, 07/15/32 249 291
5.125%, 01/15/14 135 136
Farmers Insurance Exchange Capital (A)
6.000%, 08/01/14 170 168
First Union National Bank
6.500%, 12/01/28 273 292
GE Global Insurance
6.450%, 03/01/19 1,535 1,585
Genworth Financial
6.500%, 06/15/34 190 202
Goldman Sachs Group
6.345%, 02/15/34 1,022 1,033
HBOS Capital Funding (A) (B)
6.071%, 06/30/49 135 143
HSBC Capital Funding (A) (B)
10.176%, 06/30/30 467 706
HSBC Capital Trust (A)
8.380%, 05/15/27 41 45
Household Finance
7.625%, 05/17/32 367 448
JPMorgan Chase
5.250%, 05/01/15 1,024 1,023
Lehman Brothers Holdings MTN, Ser G
4.800%, 03/13/14 274 268
Lincoln National
4.750%, 02/15/14 131 126
Lion Connecticut Holding
7.250%, 08/15/23 52 58
Merrill Lynch
6.500%, 07/15/18 753 816
Met Life Insurance (A)
7.800%, 11/01/25 82 99
Metlife
6.375%, 06/15/34 165 172
Morgan Stanley
7.250%, 04/01/32 262 307
4.750%, 04/01/14 108 104
NBD Bank
8.250%, 11/01/24 328 412
National Archives Facility Trust
8.500%, 09/01/19 338 412
National Rural Utilities MTN, Ser C
8.000%, 03/01/32 334 424
Nationwide Mutual Insurance (A)
6.600%, 04/15/34 315 304
Prudential Financial MTN, Ser B
5.750%, 07/15/33 276 265
Royal Bank of Scotland
7.648%, 08/31/49 704 846
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 71
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (Unaudited)
EXTENDED DURATION BOND FUND (Concluded)
November 30, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
SLM MTN
5.625%, 08/01/33 $ 461 $ 444
US Bank
4.800%, 04/15/15 163 159
Wachovia
5.250%, 08/01/14 540 547
-------
16,835
-------
HEALTH CARE -- 0.2%
Becton Dickinson
7.000%, 08/01/27 82 94
-------
INDUSTRIALS -- 4.0%
American West Airlines, Ser 01-1
7.100%, 04/02/21 193 203
Boeing
8.750%, 09/15/31 221 302
Caterpillar
7.300%, 05/01/31 203 247
Continental Airlines, Ser 00-2
7.707%, 04/02/21 181 177
Deere
6.550%, 10/01/28 152 170
Delta Airlines, Ser 02-1, Cl G-1
6.718%, 01/02/23 196 204
Northwest Airlines, Ser 00-1
8.072%, 10/01/19 172 188
United Technologies
6.700%, 08/01/28 115 130
-------
1,621
-------
INFORMATION TECHNOLOGY -- 2.5%
International Business Machines
7.125%, 12/01/96 874 1,011
-------
MATERIALS -- 0.7%
Dow Chemical
7.375%, 11/01/29 251 294
-------
UTILITIES -- 0.9%
Duke Energy
5.300%, 10/01/15 205 208
Florida Power & Light
5.650%, 02/01/35 82 82
South Carolina Electric & Gas
5.800%, 01/15/33 62 63
-------
353
-------
Total Corporate Obligations
(Cost $22,470) ($ Thousands) 22,860
-------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 29.3%
U.S. Treasury Bills (C) (D)
1.962%, 12/23/04 $2,130 $ 2,127
U.S. Treasury Bonds Forward Commitments
6.125%, 11/15/27 8,090 9,223
5.375%, 02/15/31 470 494
-------
Total U.S. Treasury Obligations
(Cost $11,781) ($ Thousands) 11,844
-------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 3.0%
FHLMC, Ser 2748, Cl ZT
5.500%, 02/15/24 318 305
FNMA, Ser 2003-122, Cl ZQ
6.000%, 12/25/33 433 441
FNMA, Ser 2004-12, Cl ZX
6.000%, 03/25/34 394 390
FNMA, Ser 2004-80 Cl XZ
5.000%, 11/25/34 110 82
-------
Total U.S. Government Agency Obligations
(Cost $1,116) ($ Thousands) 1,218
-------
ASSET-BACKED SECURITIES -- 2.9%
MORTGAGE RELATED SECURITIES -- 2.9%
Chase Funding Mortgage Loan,
Ser 2001-4, Cl 2M2 (B)
3.580%, 11/25/31 620 625
EQCC Home Equity Loan Trust,
Ser 1999-2, Cl A4f
6.753%, 08/25/27 534 545
-------
1,170
-------
Total Asset-Backed Securities
(Cost $1,168) ($ Thousands) 1,170
-------
CASH EQUIVALENT -- 2.1%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A+ 833,218 833
-------
Total Cash Equivalent
(Cost $833) ($ Thousands) 833
-------
Total Investments -- 93.8%
(Cost $37,368) ($ Thousands) $37,925
=======
- --------------------------------------------------------------------------------
72 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $40,436,378.
+ See Note 3 in Notes to Financial Statements.
(A) Security sold within the terms of a private placement memorandum, exempt
from registration under section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors". These securities have been determined to be
liquid under guidelines established by the Board of Directors.
(B) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of November 30, 2004.
(C) The rate reflected is the effective yield at time of purchase.
(D) Security, or portion of this security, has been pledged as collateral on
open swap contracts.
Cl -- Class
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
MTN -- Medium Term Note
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 73
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS (Unaudited)
INTERNATIONAL EQUITY FUND
November 30, 2004
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)**:
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]
28.6% Financials
11.7% Consumer Discretionary
9.5% Telecommunication Services
9.2% Industrials
7.9% Energy
7.8% Consumer Staples
6.4% Health Care
6.4% Materials
6.3% Short-term Investments
3.5% Information Technology
2.5% Utilities
0.2% Foreign Convertible Bonds
0.0% U.S Treasury Obligations
** Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 98.1%
AUSTRALIA -- 2.8%
Amcor 183,600 $ 1,056
Australia & New Zealand
Banking Group 72,235 1,124
BHP Billiton 1,188,800 14,251
BlueScope Steel 220,000 1,439
Brambles Industries 82,400 451
Foster's Group 152,531 639
Insurance Australia Group 281,000 1,273
National Australia Bank 446,284 9,716
Newcrest Mining 381,630 5,176
Promina Group 177,900 687
QBE Insurance Group (B) 524,049 5,672
Rinker Group 177,704 1,324
Telstra 1,073,186 4,105
Wesfarmers 27,600 818
WMC Resources 98,500 551
Woolworths 107,700 1,254
-----------
49,536
-----------
AUSTRIA -- 0.5%
Erste Bank der Oesterreichischen
Sparkassen 30,800 1,567
OMV (B) 10,300 2,717
Telekom Austria 264,019 4,491
-----------
8,775
-----------
BELGIUM -- 0.8%
Belgacom 8,400 335
Delhaize Group 51,600 3,964
Fortis* 106,104 2,797
InBev 114,200 4,192
KBC Bancassurance Holding 31,800 2,369
UCB 15,100 781
-----------
14,438
-----------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
BRAZIL -- 0.1%
Cia de Saneamento Basico do
Estado de Sao Paulo* 6,170,000 $ 331
Cia Vale do Rio Doce ADR* 35,400 878
Gerdau ADR* 31,300 570
Uniao de Bancos Brasileiros GDR* 23,300 652
-----------
2,431
-----------
CANADA -- 2.1%
Abitibi-Consolidated 97,700 657
Alcan 143,800 7,311
ATI Technologies* 109,800 2,130
Bank of Nova Scotia 121,800 3,831
Bombardier, Cl B 65,300 126
Cameco 12,300 1,210
Great-West Lifeco 42,200 916
Inco* 59,800 2,253
Manulife Financial 89,400 4,004
PetroKazakhstan* 74,200 3,117
Research In Motion* 32,000 2,847
Royal Bank of Canada 56,156 2,947
TELUS 38,500 985
Thomson 111,400 3,856
-----------
36,190
-----------
CHINA -- 0.2%
China Petroleum & Chemical 1,106,000 473
China Telecom 8,410,000 3,109
-----------
3,582
-----------
DENMARK -- 0.5%
Danske Bank 62,800 1,876
Novo-Nordisk* 110,600 5,876
TDC* 31,000 1,272
-----------
9,024
-----------
FINLAND -- 0.5%
Kesko (B)* 88,400 2,055
Nokia* 376,311 6,122
UPM-Kymmene* 39,800 896
-----------
9,073
-----------
FRANCE -- 10.5%
Accor 45,700 1,947
Air Liquide* 18,126 3,134
Assurances Generales de France 131,400 9,038
AXA (B) 409,000 9,578
BNP Paribas 161,895 11,253
Bouygues (B)* 233,960 10,062
Carrefour* 21,300 1,012
Cie Generale D'Optique Essilor
International* 21,500 1,469
Credit Agricole (B) 97,618 2,891
- --------------------------------------------------------------------------------
74 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Dassault Systemes (B)* 141,000 $ 7,307
France Telecom* 639,868 20,095
Groupe Danone* 128,200 11,424
L'Oreal 21,800 1,576
Lagardere S.C.A.* 82,000 5,852
Publicis Groupe (B) 155,000 5,123
Renault* 91,926 7,520
Sanofi-Aventis* 3,750 282
Sanofi-Aventis* 389,215 29,304
Schneider Electric 32,100 2,229
Societe Generale* 77,091 7,444
Total (B) 117,710 25,766
Vinci 39,885 4,938
Vivendi Universal (B)* 161,900 4,777
-----------
184,021
-----------
GERMANY -- 7.1%
Allianz* 23,800 2,974
BASF* 130,000 8,749
Bayer 75,132 2,381
Bayerische Hypo-und Vereinsbank* 411,100 9,163
Bayerische Motoren Werke* 101,625 4,292
Celesio* 35,100 2,694
Continental* 67,000 4,083
DaimlerChrysler* 174,924 7,823
Deutsche Bank* 16,400 1,389
Deutsche Boerse* 31,287 1,852
Deutsche Telekom* 487,088 10,345
E.ON* 61,900 5,210
Hannover Rueckversicherung* 1,300 47
HeidelbergCement (B)* 45,900 2,615
Infineon Technologies (B)* 482,800 5,345
Linde (B)* 38,674 2,362
MAN* 62,700 2,375
Merck KGaA* 31,300 1,813
Metro* 97,170 4,887
Muenchener Rueckversicherungs* 37,054 4,203
SAP* 34,900 6,236
SAP ADR 68,100 3,030
Siemens (B)* 325,317 26,050
ThyssenKrupp (B)* 49,000 1,055
TUI (B)* 20,400 454
Volkswagen* 47,200 2,130
-----------
123,557
-----------
HONG KONG -- 0.5%
CNOOC 5,417,000 3,083
Esprit Holdings 166,000 914
Hang Lung Properties 1,145,000 1,789
Hang Seng Bank 61,000 847
Li & Fung 1,104,000 1,846
Swire Pacific, Cl A 91,000 731
-----------
9,210
-----------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
HUNGARY -- 0.1%
Mol Magyar Olaj - es Gazipari 20,000 $ 1,349
-----------
INDIA -- 0.2%
Canara Bank 100,000 393
ICICI Bank 94,730 724
Infosys Technologies ADR (B)* 17,000 1,223
Punjab National Bank 46,000 361
-----------
2,701
-----------
IRELAND -- 0.8%
Anglo Irish Bank 253,840 5,751
CRH 84,228 2,127
Depfa Bank 118,000 1,929
Elan ADR (B)* 162,300 4,285
-----------
14,092
-----------
ISRAEL -- 0.0%
Bank Hapoalim* 280,300 819
-----------
ITALY -- 3.5%
Banca Popolare di Milano* 269,005 2,188
Enel (B) 1,000,800 8,925
ENI-Ente Nazionale Idrocarburi 808,182 19,839
Sanpaolo IMI 581,300 7,981
Telecom Italia* 1,134,114 4,348
Telecom Italia RNC* 3,913,245 10,792
UniCredito Italiano* 1,300,527 7,173
-----------
61,246
-----------
JAPAN -- 21.2%
Advantest 15,200 1,136
Aeon 168,200 2,845
Aiful 24,850 2,828
Asatsu-DK 34,300 1,004
Bank of Yokohama 487,000 3,079
Canon 444,341 22,305
Central Japan Railway 79 646
Chubu Electric Power 13,800 322
Dai Nippon Printing 554,000 8,289
Daito Trust Construction 21,700 984
Daiwa House Industry 110,000 1,184
Daiwa Securities Group 80,000 548
eAccess (B)* 3,215 3,103
East Japan Railway 535 2,946
Fanuc 34,400 2,152
Fast Retailing 34,800 2,624
Fuji Photo Film (B) 253,300 8,920
Fuji Television Network 396 840
Furukawa Electric* 227,000 1,128
Hirose Electric 25,000 2,653
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 75
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS (Unaudited)
INTERNATIONAL EQUITY FUND (Continued)
November 30, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hitachi 2,283,000 $ 14,814
Honda Motor 85,300 4,091
Hoya 11,300 1,178
Index (B) 920 2,246
Isetan 154,300 1,803
Ito-Yokado 171,000 6,787
Itochu* 405,000 1,840
Japan Airlines System (B)* 332,000 943
Japan Tobacco 298 2,826
JFE Holdings (B) 190,100 5,474
Kansai Electric Power 426,700 8,302
Kao 238,000 5,742
Keyence 3,200 725
Kobe Steel 564,000 861
Komatsu 1,724,000 11,757
Konica Minolta Holdings 148,000 1,903
Kyocera 119,400 8,421
Lawson 66,200 2,389
Matsushita Electric Industrial 721,000 10,738
Millea Holdings 1,038 14,642
Mitsubishi 157,100 1,991
Mitsubishi Estate 627,000 7,106
Mitsubishi Heavy Industries 140,000 402
Mitsubishi Tokyo Financial Group 1,106 10,490
Mitsui 22,000 191
Mitsui Fudosan 178,000 2,083
Mitsui OSK Lines 661,000 4,109
Mitsui Sumitomo Insurance 539,000 4,761
Murata Manufacturing 23,300 1,219
NEC 836,000 4,627
Nidec 10,600 1,248
Nikko Cordial 211,000 1,055
Nikon 44,000 489
Nintendo 16,400 1,975
Nippon Electric Glass 38,000 991
Nippon Meat Packers 129,000 1,673
Nippon Mining Holdings 350,000 1,750
Nippon Telegraph & Telephone 771 3,465
Nissan Motor 1,397,701 14,753
Nitto Denko 20,400 1,064
Nomura Holdings 336,000 4,730
OJI Paper 43,000 246
Oriental Land 88,000 5,693
ORIX 103,200 13,152
Osaka Gas 551,000 1,683
Promise 45,900 3,215
Ricoh 33,000 586
Rohm 54,400 5,202
Sankyo 152,100 2,981
Sanyo Shinpan Finance 26,400 1,703
Sega Sammy Holdings (B)* 36,600 1,940
Sekisui House 181,000 2,002
Shimamura 10,000 745
Shionogi 94,000 1,269
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
SMC 17,500 $ 1,934
Softbank (B) 17,600 870
Sompo Japan Insurance 82,000 787
Sony (B) 257,200 9,383
Sumitomo 127,000 1,072
Sumitomo Chemical 317,000 1,582
Sumitomo Forestry 120,000 1,060
Sumitomo Heavy Industries* 378,000 1,239
Sumitomo Mitsui Financial
Group (B) 2,355 16,380
Suzuki Motor 132,000 2,387
Takeda Pharmaceutical 56,000 2,757
Tanabe Seiyaku 68,000 652
TDK 11,000 791
Tokyo Electric Power 107,600 2,575
Tokyo Electron 49,300 2,719
Tokyo Gas (B) 1,400,000 5,625
Toyota Motor 244,100 9,166
Trend Micro 72,200 3,793
UFJ Holdings (B)* 1,452 7,712
Uni-Charm 18,800 872
UNY 66,000 715
Yahoo Japan (B)* 106 489
Yamada Denki 27,200 1,170
Yamanouchi Pharmaceutical 140,100 5,125
Yamato Transport 148,100 2,114
-----------
370,576
-----------
LUXEMBOURG -- 0.4%
Arcelor* 268,920 5,922
SES GLOBAL FDR 70,400 824
-----------
6,746
-----------
MEXICO -- 0.4%
America Movil, Ser L ADR (B)* 140,735 6,574
Telefonos de Mexico, Ser L ADR* 23,200 812
-----------
7,386
-----------
NETHERLANDS -- 7.1%
ABN AMRO Holding* 876,823 21,536
Aegon* 305,748 3,779
Akzo Nobel* 111,972 4,631
ASML Holding (B)* 36,500 560
CSM* 87,438 2,487
Heineken* 112,012 3,543
Heineken Holding, Cl A* 52,843 1,518
ING Groep* 655,828 18,043
Koninklijke Philips Electronics* 60,900 1,570
Reed Elsevier 18,300 245
Royal Dutch Petroleum* 569,937 32,647
Royal Dutch Petroleum (NY Shares)* 37,200 2,130
Royal KPN* 918,598 7,972
- --------------------------------------------------------------------------------
76 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Royal Numico* 16,400 $ 584
TPG (B)* 238,700 6,256
Unilever* 219,282 13,788
VNU* 81,902 2,471
-----------
123,760
-----------
NEW ZEALAND -- 0.4%
Telecom 1,513,457 6,549
-----------
NORWAY -- 1.3%
DNB 117,200 1,106
Norsk Hydro 133,000 10,897
Norske Skogindustrier* 40,100 852
Statoil* 294,900 4,673
Tandberg (B)* 386,400 4,388
Yara International* 20,900 269
-----------
22,185
-----------
PORTUGAL -- 0.3%
Portugal Telecom* 374,900 4,434
-----------
SINGAPORE -- 0.6%
Flextronics International* 145,400 2,087
Singapore Telecommunications 5,155,354 7,465
United Overseas Bank 87,000 723
-----------
10,275
-----------
SOUTH AFRICA -- 0.4%
ABSA Group 95,800 1,163
Sanlam (B) 421,700 880
Sasol 193,500 3,857
Telkom (B) 30,700 524
-----------
6,424
-----------
SOUTH KOREA -- 1.1%
Honam Petrochemical 6,200 298
Hyundai Motor 17,600 866
Industrial Bank of Korea 47,100 346
INI Steel 37,600 495
Kookmin Bank* 9,600 365
Nong Shim 1,300 278
POSCO 4,200 783
Samsung Electronics 3,250 1,347
Samsung Electronics GDR (B) (D)* 63,776 13,074
Samsung Electronics GDR (EUR) (D)* 100 21
Shinhan Financial Group 36,200 758
-----------
18,631
-----------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
SPAIN -- 4.6%
ACS Actividades* 235,285 $ 4,941
Altadis 55,100 2,250
Banco Bilbao Vizcaya
Argentaria (B) 714,100 11,749
Banco Santander Central
Hispano (B) 1,292,500 15,529
Endesa (B)* 54,000 1,163
Iberdrola* 45,000 1,057
Inditex* 106,700 3,123
Repsol (B)* 459,700 11,205
Sogecable (B)* 103,400 4,386
Telefonica* 1,412,778 24,823
-----------
80,226
-----------
SWEDEN -- 1.9%
Assa Abloy, Cl B* 56,200 873
ForeningsSparbanken 58,000 1,426
Nordea* 378,160 3,709
SKF, Cl B 56,375 2,396
Svenska Cellulosa, Cl B 53,500 2,226
Telefonaktiebolaget LM Ericsson* 773,000 2,573
Telefonaktiebolaget LM Ericsson
ADR (B)* 216,400 7,196
Volvo, Cl B 310,600 12,670
-----------
33,069
-----------
SWITZERLAND -- 7.8%
ABB (B)* 71,078 440
Adecco* 13,675 683
Ciba Specialty Chemicals* 10,740 776
Compagnie Financiere Richemont,
Cl A* 159,488 4,857
Credit Suisse Group (B)* 264,897 10,348
Holcim* 182,555 10,476
Micronas Semiconductor Hold* 5,900 255
Nestle 80,989 20,818
Novartis* 624,124 29,947
Roche Holding* 94,974 10,016
Serono, Cl B (B)* 1,106 713
STMicroelectronics* 82,700 1,662
Swiss Reinsurance (B)* 72,858 4,876
Swisscom* 13,597 5,344
Syngenta* 25,817 2,734
Synthes* 9,400 1,019
UBS* 325,394 26,337
Xstrata 282,300 5,013
-----------
136,314
-----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 77
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS (Unaudited)
INTERNATIONAL EQUITY FUND (Continued)
November 30, 2004
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
TAIWAN -- 0.5%
China Steel 574,000 $ 632
Chunghwa Telecom ADR (B)* 158,857 3,312
Compal Electronics 1,312,000 1,258
HON HAI Precision Industry
GDR (B)* 139,150 1,122
Taiwan Semiconductor
Manufacturing 486,000 713
Taiwan Semiconductor
Manufacturing ADR* 277,776 2,214
-----------
9,251
-----------
THAILAND -- 0.0%
PTT* 101,300 434
-----------
TURKEY -- 0.0%
Ford Otomotiv Sanayi 67,750,000 473
-----------
UNITED KINGDOM -- 19.9%
Allied Domecq 965,755 9,544
ARM Holdings (B) 163,500 322
AstraZeneca 123,500 4,828
AstraZeneca (SEK)* 156,468 6,150
Aviva 314,900 3,488
BAA 144,825 1,611
BAE Systems 173,795 815
Barclays 2,149,141 22,184
BG Group* 464,800 3,225
BHP Billiton 937,771 10,970
BOC Group 303,194 5,425
BP (B) 2,885,379 29,452
Brambles Industries 88,600 442
British American Tobacco 639,002 10,737
BT Group 1,194,700 4,442
Bunzl 294,326 2,512
Cadbury Schweppes 1,873,895 16,728
Carnival* 75,400 4,214
Centrica 368,100 1,743
Diageo (B) 225,900 3,161
DX Services* 97,487 563
GlaxoSmithKline 794,390 16,718
GUS (B) 421,182 7,036
Hays (B) 1,949,742 4,510
HBOS 347,800 4,870
HSBC Holdings 906,900 15,446
Imperial Tobacco Group 430,683 11,221
Intercontinental Hotels Group 168,500 2,147
ITV* 915,356 1,920
J Sainsbury* 363,925 1,817
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Mitchells & Butlers 319,300 $ 1,848
mmO2* 2,024,700 4,422
National Grid Transco 1,401,322 12,824
Pearson 369,500 4,337
Persimmon 147,700 1,746
Prudential 655,026 5,227
Punch Taverns 200,000 2,302
Reckitt Benckiser 447,120 13,187
Reed Elsevier 1,205,339 11,071
Rentokil Initial 724,099 1,965
Rexam 106,172 917
Rio Tinto 259,400 7,601
Rolls-Royce Group* 643,798 3,240
Rolls-Royce Group, Cl B* 21,779,566 44
Royal Bank of Scotland Group 326,518 10,036
Shell Transport & Trading 290,500 2,443
Signet Group* 2,300,000 4,605
Smiths Group (B) 105,320 1,541
Standard Chartered 136,900 2,621
Taylor Woodrow 218,200 968
Trinity Mirror 65,700 782
Unilever (B)* 426,700 3,907
Vodafone Group (B) 13,633,645 37,006
Whitbread 141,800 2,163
Wimpey George 230,300 1,574
Wolseley 138,980 2,394
-----------
349,012
-----------
Total Common Stock
(Cost $1,412,476) ($ Thousands) 1,715,789
-----------
PREFERRED STOCK -- 0.4%
AUSTRALIA -- 0.0%
News* 41,218 724
-----------
BRAZIL -- 0.2%
Braskem* 10,570,000 460
Cia Vale do Rio Doce ADR* 36,000 747
Petroleo Brasileiro* 30,000 1,025
Suzano Bahia Sul Papel e Celulose* 64,000 288
Usinas Siderurgicas de Minas Gerais* 19,600 396
-----------
2,916
-----------
GERMANY -- 0.2%
Porsche* 6,781 4,323
-----------
Total Preferred Stock
(Cost $6,389) ($ Thousands) 7,963
-----------
- --------------------------------------------------------------------------------
78 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FOREIGN CONVERTIBLE BONDS -- 0.2%
Credit Suisse Group CV to 32.3311
Shares (CHF)
6.000%, 12/23/05 $ 341 $ 385
SMFG Finance CV to 9.6154
Shares (JPY)
2.250%, 07/11/05 144,000 3,204
-----------
Total Foreign Convertible Bonds
(Cost $1,748) ($ Thousands) 3,589
-----------
CORPORATE OBLIGATIONS (C)(F) -- 7.1%
FINANCIALS -- 7.1%
Allstate Life Global Funding MTN
2.090%, 11/14/05 9,652 9,652
Blue Heron Funding, Ser 6A,Cl 1
2.170%, 05/18/05 9,192 9,192
CCN Independence IV
2.170%, 07/15/05 6,894 6,894
CIT Group
2.136%, 07/29/05 5,237 5,252
Countrywide Home Loans
2.040%, 06/23/05 9,652 9,650
Harwood Street Funding I,
Ser 2004-1A, Cl Note
2.190%, 09/20/05 6,894 6,894
K2
1.887%, 12/12/05 2,758 2,756
Morgan Stanley, Ser EXL
2.039%, 12/04/05 6,894 6,894
RMAC, Ser 2004-NS2A, Cl A1
2.080%, 06/12/05 9,280 9,280
SLM MTN, Cl X
2.150%, 12/20/05 11,490 11,490
Saturn Ventures
2.143%, 02/07/05 8,273 8,273
Sigma Finance MTN
1.989%, 01/04/05 9,652 9,651
Wachovia Auto Owner Trust,
Ser 2004-A, Cl A1
2.440%, 06/20/05 1,904 1,904
Washington Mutual Bank
2.310%, 08/18/05 8,273 8,273
White Pine Finance
2.096%, 03/11/05 9,652 9,650
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMA
1.710%, 03/15/05 8,273 8,273
-----------
Total Corporate Obligations
(Cost $123,978) ($ Thousands) 123,978
-----------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (C) (E) -- 2.3%
FINANCIALS -- 2.3%
Broadhollow Funding
2.150%, 12/03/04 $ 2,758 $ 2,758
CPI Funding
2.121%, 12/10/04 9,192 9,187
Golden Fish
2.398%, 01/18/05 13,844 13,800
Thornburg Mortgage Capital
2.325%, 01/05/05 13,788 13,757
-----------
Total Commercial Paper
(Cost $39,502) ($ Thousands) 39,502
-----------
CASH EQUIVALENTS -- 0.6%
UNITED STATES -- 0.6%
Bear Stearns Master Notes (C) 9,192,156 9,192
SEI Daily Income Trust,
Prime Obligation Fund, Cl A+ 625,923 626
-----------
Total Cash Equivalents
(Cost $9,818) ($ Thousands) 9,818
-----------
U.S. TREASURY OBLIGATION -- 0.0%
U.S. Treasury Bills (A)
1.794%, 02/24/05 400 398
-----------
Total U.S. Treasury Obligation
(Cost $398) ($ Thousands) 398
-----------
REPURCHASE AGREEMENT -- 6.7%
Barclays
2.070%, dated 11/30/04, to be
repurchased on 12/01/04,
repurchase price $117,800,576
(collateralized by various
U.S. Government Obligations,
ranging in par value $4,327,207-
$45,960,780, 0.000%-5.125%,
12/17/04-05/21/09; with total
market value $120,150,443)(C) 117,794 117,794
-----------
Total Repurchase Agreement
(Cost $117,794) ($ Thousands) 117,794
-----------
Total Investments -- 115.4%
(Cost $1,712,103) ($ Thousands) 2,018,831
-----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 79
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS (Unaudited)
INTERNATIONAL EQUITY FUND (Concluded)
November 30, 2004
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (15.4)%
Payable upon Return on Securities Loaned $ (290,466)
Payable for Capital Shares Redeemed (12,371)
Payable for Investment Securities Purchased (4,412)
Investment Advisory Fees Payable (533)
Trustees' Fees Payable (6)
Other Assets and Liabilities, Net 38,510
-----------
Total Other Assets and Liabilities -- (15.4)% (269,278)
-----------
Net Assets -- 100.0% $ 1,749,553
===========
NET ASSETS:
Paid-in-Capital -- (unlimited
authorization -- no par value) 1,637,174
Undistributed net investment income 29,184
Accumulated net realized loss on investments
and futures contracts (223,717)
Net unrealized appreciation on investments 306,728
Net unrealized appreciation on futures contracts 52
Net unrealized appreciation on forward foreign
currency contracts,foreign currencies and
translation of other assets and liabilities
denominated in foreign currencies 132
-----------
Net Assets $ 1,749,553
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($1,749,553,024 / 155,493,193 shares) $11.25
======
* Non-Income Producing Security
+ See Note 3 in Notes to Financial Statements
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts. The rate reported is the effective yield at time of
purchase.
(B) This security or a partial position of this security is on loan at
November 30, 2004 (see Note 9) The total value of securities on loan at
November 30, 2004 was $275,944,694.
(C) This security was purchased with cash collateral held from securities
lending. The total value of such securities as of November 30, 2004 was
$290,465,783. (See Note 9)
(D) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration normally to qualified institutions.
(E) The rate reported is the effective yield at time of purchase.
(F) Variable Rate Security -- The rate reported on the Statement of Net Assets
is the rate in effect as of November 30, 2004.
ADR -- American Depositary Receipt
CHF -- Swiss Franc
Cl -- Class
CV -- Convertible
EUR -- Euro
FDR -- Fiduciary Depositary Receipt
GDR -- Global Depositary Receipt
JPY -- Japanese Yen
MTN -- Medium Term Note
NY -- New York
SEK -- Swedish Krona
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
80 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands)
November 30, 2004 (Unaudited)
- ------------------------------------------------------------------------------------------------------------------------------------
CORE FIXED EXTENDED
INCOME LONG DURATION DURATION
FUND BOND FUND BOND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value (Cost $4,455,819, $23,696 and $37,368, respectively) $4,483,776 $23,846 $37,925
Repurchase agreements (Cost $565,518, $0 and $0, respectively) 565,518 -- --
Cash 1,101 -- --
Foreign currency, at value (Cost $1, $0 and $0, respectively) 1 -- --
Receivable for investment securities sold 314,627 12,127 10,514
Receivable for capital shares sold 32,535 894 --
Unrealized gain on forward foreign currency contracts 14 -- --
Dividends and interest receivable 26,791 555 1,101
Unrealized gain on swap contracts -- -- 656
Other assets 372 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 5,424,735 37,422 50,196
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned 1,049,160 -- --
Payable for investment securities purchased 560,168 -- 9,653
Payable for capital shares redeemed 7,758 27 100
Income distribution payable 164 -- --
Options written, at fair value (premiums received $855, $0 and $0, respectively) 377 -- --
Unrealized loss on forward foreign currency contracts 1,096 -- --
Investment advisory fees payable 387 4 5
Trustees' fees payable 14 -- --
Accrued expense payable 155 3 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 1,619,279 34 9,760
- ------------------------------------------------------------------------------------------------------------------------------------
Total Net Assets $3,805,456 $37,388 $40,436
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Paid in Capital
(unlimited authorization ---- no par value) $3,738,826 $36,650 $39,194
Undistributed net investment income 250 -- --
Accumulated net realized gain on investments, options, futures contracts
and swap contracts 38,697 588 29
Net unrealized appreciation on investments and options 28,435 150 557
Net unrealized depreciation on futures contracts (836) -- --
Net unrealized appreciation on swap contracts -- -- 656
Net unrealized appreciation on forward foreign currency contracts,
foreign currencies and translation of other assets and liabilities
denominated in foreign currencies 84 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Net Assets -- 100.0% $3,805,456 $37,388 $40,436
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per Share --
Class A ($3,805,456,262 / 366,597,608 shares),
($37,388,204 / 3,672,455 shares) and
($40,436,378 / 3,872,585 shares), respectively $10.38 $10.18 $10.44
====================================================================================================================================
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 81
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS ($ Thousands)
For the six-month period ended November 30, 2004 (Unaudited)
- ---------------------------------------------------------------------------------------------------------
LARGE CAP
DISCIPLINED LARGE CAP
LARGE CAP EQUITY INDEX
FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 18,255 $ 29,416 $ 3,297
Dividends from Affiliated Registered Investment Company 225 100 11
Interest 265 506 54
Security Lending Income -- Net 51 53 --
Less: Foreign Taxes Withheld (8) (1) --
- ---------------------------------------------------------------------------------------------------------
Total Investment Income 18,788 30,074 3,362
- ---------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 3,465 5,325 249
Administration Fees 433 666 74
Shareholder Service Fees* 1 -- --
Custodian fees/Wire agent 90 57 11
Professional Fees 37 47 6
Printing Fees 17 19 3
Trustees Fees 15 15 2
Registration Fees -- 46 1
Litigation Fees (See Note 10) -- -- --
Other Expenses 26 33 7
- ---------------------------------------------------------------------------------------------------------
Total Expenses 4,084 6,208 353
- ---------------------------------------------------------------------------------------------------------
Less, Waiver of:
Investment Advisory Fees (1,378) (1,255) (81)
Administration Fees (433) (666) (73)
- ---------------------------------------------------------------------------------------------------------
Net Expenses 2,273 4,287 199
- ---------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 16,515 25,787 3,163
- ---------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net Realized Gain (Loss) on:
Investments 17,001 (18,203) 43
Future Contracts 2,253 (297) 195
Written Options -- -- --
Swap Contracts -- -- --
Foreign Currency Transactions -- -- --
Net Change in Unrealized Appreciation
(Depreciation) on:
Investments 72,119 167,908 14,275
Future Contracts 465 3,292 215
Written Options -- -- --
Swap Contracts -- -- --
Foreign Currency and Translation
of Other Assets and Liabilities
Denominated iForeign Currencies -- -- --
- ---------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $108,353 $178,487 $17,891
- ---------------------------------------------------------------------------------------------------------
* Fees are incurred at the Class T level only.
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
82 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
SMALL/MID CORE FIXED
SMALL CAP CAP EQUITY INCOME
FUND FUND FUND
- ------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 6,588 $ 2,298 $ 36
Dividends from Affiliated Registered Investment Company 347 142 285
Interest 378 154 68,512
Security Lending Income -- Net 245 63 406
Less: Foreign Taxes Withheld (6) (4) --
- ------------------------------------------------------------------------------------------------------
Total Investment Income 7,552 2,653 69,239
- ------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 4,413 1,551 5,326
Administration Fees 339 119 888
Shareholder Service Fees* 1 -- --
Custodian fees/Wire agent 50 13 121
Professional Fees 28 9 34
Printing Fees 12 4 28
Trustees Fees 10 3 23
Registration Fees -- 8 13
Litigation Fees (See Note 10) -- -- 39
Other Expenses 20 9 122
- ------------------------------------------------------------------------------------------------------
Total Expenses 4,873 1,716 6,594
- ------------------------------------------------------------------------------------------------------
Less, Waiver of:
Investment Advisory Fees (847) (80) (3,049)
Administration Fees (339) (119) (888)
- ------------------------------------------------------------------------------------------------------
Net Expenses 3,687 1,517 2,657
- ------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 3,865 1,136 66,582
- ------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net Realized Gain (Loss) on:
Investments 22,607 2,912 28,948
Future Contracts 1,591 847 1,771
Written Options -- -- 2,760
Swap Contracts -- -- --
Foreign Currency Transactions -- -- 357
Net Change in Unrealized Appreciation
(Depreciation) on:
Investments 121,334 52,517 31,565
Future Contracts 3,336 (55) (212)
Written Options -- -- (654)
Swap Contracts -- -- --
Foreign Currency and Translation
of Other Assets and Liabilities
Denominated iForeign Currencies -- -- 84
- ------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $152,733 $57,357 $131,201
- ------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------
LONG EXTENDED
DURATION DURATION INTERNATIONAL
BOND BOND EQUITY
FUND FUND FUND
- ----------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ -- $ -- $ 15,129
Dividends from Affiliated Registered Investment Company 5 7 120
Interest 678 915 --
Security Lending Income -- Net -- -- 991
Less: Foreign Taxes Withheld -- -- (1,767)
- ----------------------------------------------------------------------------------------------------
Total Investment Income 683 922 14,473
- ----------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 38 51 3,885
Administration Fees 6 9 385
Shareholder Service Fees* -- -- --
Custodian fees/Wire agent 2 3 119
Professional Fees -- 1 28
Printing Fees -- 1 12
Trustees Fees -- -- 10
Registration Fees 1 1 --
Litigation Fees (See Note 10) -- -- --
Other Expenses 4 4 28
- ----------------------------------------------------------------------------------------------------
Total Expenses 51 70 4,467
- ----------------------------------------------------------------------------------------------------
Less, Waiver of:
Investment Advisory Fees (20) (26) (612)
Administration Fees (6) (9) (385)
- ----------------------------------------------------------------------------------------------------
Net Expenses 25 35 3,470
- ----------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 658 887 11,003
- ----------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net Realized Gain (Loss) on:
Investments 607 505 29,726
Future Contracts -- -- (617)
Written Options -- -- --
Swap Contracts -- 276 --
Foreign Currency Transactions -- -- 895
Net Change in Unrealized Appreciation
(Depreciation) on:
Investments 279 1,200 145,469
Future Contracts -- -- 642
Written Options -- -- --
Swap Contracts -- 1,205 --
Foreign Currency and Translation
of Other Assets and Liabilities
Denominated iForeign Currencies -- -- 175
- ----------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $1,544 $4,073 $187,293
- ----------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 83
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the periods ended November 30, 2004 (Unaudited) and May 31, 2004
- ------------------------------------------------------------------------------------------------------------------------------
LARGE CAP
DISCIPLINED
LARGE CAP FUND EQUITY FUND(2)
- ------------------------------------------------------------------------------------------------------------------------------
6/1/04 6/1/03 6/1/04 8/28/03
to 11/30/04 to 5/31/04 to 11/30/04 to 5/31/04
- ------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 16,515 $ 34,019 $ 25,787 $ 11,424
Net Realized Gain (Loss) from Investments,
Written Options, Futures Contracts and
Swap Contracts 19,254 380,926(4) (18,500) 12,121
Net Realized Gain on Foreign Currency
Transactions -- -- -- --
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Written Options,
Futures Contracts and Swap Contracts 72,584 64,021 171,200 60,817
Net Change in Unrealized Appreciation
on Foreign Currencies, and Translation
of Other Assets and Liabilities
Denominated in Foreign Currency -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets
Resulting from Operations 108,353 478,966 178,487 84,362
- ------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income
Class A (11,742) (37,006) (16,363) (6,738)
Class T (5) (2) -- --
Net Realized Gains
Class A -- -- -- (2,310)
Class T -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (11,747) (37,008) (16,363) (9,048)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 127,329 1,040,314(6) 742,031(6) 2,321,249(6)
Reinvestment of Dividends & Distributions 11,348 36,168 16,305 9,027
Cost of Shares Redeemed (246,991) (2,739,017)(7) (144,989) (120,549)
- ------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions (108,314) (1,662,535) 613,347 2,209,727
- ------------------------------------------------------------------------------------------------------------------------------
CLASS T:
Proceeds from Shares Issued 1,475 1 -- --
Reinvestment of Dividends & Distributions 5 2 -- --
Cost of Shares Redeemed (1,483) (221) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Decrease in Net Assets Derived
from Class T Transactions (3) (218) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions (108,317) (1,662,753) 613,347 2,209,727
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (11,711) (1,220,795) 775,471 2,285,041
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 1,787,881 3,008,676 2,285,041 --
- ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $1,776,170 $ 1,787,881 $3,060,512 $2,285,041
==============================================================================================================================
Undistributed Net Investment Income
Included in Net Assets at Period End $ 8,300 $ 3,532 $ 14,110 $ 4,686
==============================================================================================================================
(1) See Note 4 in the Notes to Financial Statements for additional
information.
(2) The Large Cap Disciplined Equity Fund commenced operations on August 28,
2003.
(3) The Small/Mid Cap Equity Fund commenced operations on December 15, 2003.
(4) Includes realized gain of $48,900 due to in-kind redemption (see note 8).
(5) Includes realized gain of $17,934 due to in-kind redemption (see note 8).
(6) Includes subscriptions as a result of in-kind transfers of securities (see
note 8).
(7) Includes redemptions as a result of in-kind transfers of securities (see
note 8).
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
84 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
LARGE CAP
INDEX FUND SMALL CAP FUND
- -------------------------------------------------------------------------------------------------------------------------------
6/1/04 6/1/03 6/1/04 6/1/03
to 11/30/04 to 5/31/04 to 11/30/04 to 5/31/04
- -------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 3,163 $ 3,964 $ 3,865 $ 5,983
Net Realized Gain (Loss) from Investments,
Written Options, Futures Contracts and
Swap Contracts 238 (223) 24,198 322,159(5)
Net Realized Gain on Foreign Currency
Transactions -- -- -- --
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Written Options,
Futures Contracts and Swap Contracts 14,490 37,832 124,670 22,724
Net Change in Unrealized Appreciation
on Foreign Currencies, and Translation
of Other Assets and Liabilities
Denominated in Foreign Currency -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets
Resulting from Operations 17,891 41,573 152,733 350,866
- -------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income
Class A (2,274) (3,562) (2,802) (6,425)
Class T -- -- -- --
Net Realized Gains
Class A -- (533) -- (45,512)
Class T -- -- -- (8)
- -------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (2,274) (4,095) (2,802) (51,945)
- -------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 27,270 228,588(6) 189,060 394,135(6)
Reinvestment of Dividends & Distributions 2,264 4,076 2,682 49,709
Cost of Shares Redeemed (19,928) (128,043) (70,900) (627,395)(7)
- -------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 9,606 104,621 120,842 (183,551)
- -------------------------------------------------------------------------------------------------------------------------------
CLASS T:
Proceeds from Shares Issued -- -- 527 --
Reinvestment of Dividends & Distributions -- -- -- 8
Cost of Shares Redeemed -- -- (570) (39)
- -------------------------------------------------------------------------------------------------------------------------------
Decrease in Net Assets Derived
from Class T Transactions -- -- (43) (31)
- -------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 9,606 104,621 120,799 (183,582)
- -------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 25,223 142,099 270,730 115,339
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 284,711 142,612 1,309,460 1,194,121
- -------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $309,934 $ 284,711 $1,580,190 $1,309,460
===============================================================================================================================
Undistributed Net Investment Income
Included in Net Assets at Period End $ 1,590 $ 701 $ 1,225 $ 162
===============================================================================================================================
- ------------------------------------------------------------------------------------------------------------------------------
SMALL/MID CAP CORE FIXED
EQUITY FUND(3) INCOME FUND
- ------------------------------------------------------------------------------------------------------------------------------
6/1/04 12/15/03 6/1/04 6/1/03
to 11/30/04 to 5/31/04 to 11/30/04 to 5/31/04
- ------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 1,136 $ 662 $ 66,582 $ 102,842
Net Realized Gain (Loss) from Investments,
Written Options, Futures Contracts and
Swap Contracts 3,759 2,209 33,479 41,186
Net Realized Gain on Foreign Currency
Transactions -- -- 357 --
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Written Options,
Futures Contracts and Swap Contracts 52,462 10,802 30,699 (104,786)
Net Change in Unrealized Appreciation
on Foreign Currencies, and Translation
of Other Assets and Liabilities
Denominated in Foreign Currency -- -- 84 --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets
Resulting from Operations 57,357 13,673 131,201 39,242
- ------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income
Class A (1,088) (319) (68,606) (107,988)
Class T -- -- -- --
Net Realized Gains
Class A -- -- -- (38,012)
Class T -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (1,088) (319) (68,606) (146,000)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 139,157(6) 438,036(6) 877,866 1,559,032
Reinvestment of Dividends & Distributions 1,084 318 67,513 143,168
Cost of Shares Redeemed (26,590) (27,940) (277,391) (951,937)
- ------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 113,651 410,414 667,988 750,263
- ------------------------------------------------------------------------------------------------------------------------------
CLASS T:
Proceeds from Shares Issued -- -- -- --
Reinvestment of Dividends & Distributions -- -- -- --
Cost of Shares Redeemed -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Decrease in Net Assets Derived
from Class T Transactions -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 113,651 410,414 667,988 750,263
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 169,920 423,768 730,583 643,505
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 423,768 -- 3,074,873 2,431,368
- ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $593,688 $423,768 $3,805,456 $3,074,873
==============================================================================================================================
Undistributed Net Investment Income
Included in Net Assets at Period End $ 391 $ 343 $ 250 $ 554
==============================================================================================================================
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 85
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the periods ended November 30, 2004 (Unaudited) and May 31, 2004
- -----------------------------------------------------------------------------------------------------------------------------------
LONG EXTENDED
DURATION DURATION INTERNATIONAL
BOND FUND(2) BOND FUND(3) EQUITY FUND
- -----------------------------------------------------------------------------------------------------------------------------------
6/1/04 4/21/04 6/1/04 4/21/04 6/1/04 6/1/03
to 11/30/04 to 5/31/04 to 11/30/04 to 5/31/04 to 11/30/04 to 5/31/04
- -----------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 658 $ 33 $ 887 $ 151 $ 11,003 $ 25,849
Net Realized Gain (Loss) from Investments,
Written Options, Futures Contracts and
Swap Contracts 607 (19) 781 (116) 29,109 120,683
Net Realized Gain on Foreign Currency
Transactions -- -- -- -- 895 --
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Written Options,
Futures Contracts and Swap Contracts 279 (129) 2,405 (1,192) 146,111 222,071
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currencies, and
Translation of Other Assets and Liabilities
Denominated in Foreign Currency -- -- -- -- 175 (76)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting from Operations 1,544 (115) 4,073 (1,157) 187,293 368,527
- -----------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income
Class A (658) (33) (1,437) (237) -- (23,331)
Net Realized Gains
Class A -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (658) (33) (1,437) (237) -- (23,331)
- -----------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 30,373 6,432 9,740 28,944 305,388 413,693
Reinvestment of Dividends & Distributions 657 33 1,434 237 -- 22,998
Cost of Shares Redeemed (845) -- (1,161) -- (134,204) (566,908)
- -----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 30,185 6,465 10,013 29,181 171,184 (130,217)
- -----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 30,185 6,465 10,013 29,181 171,184 (130,217)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets 31,071 6,317 12,649 27,787 358,477 214,979
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 6,317 -- 27,787 -- 1,391,076 1,176,097
- -----------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $37,388 $6,317 $40,436 $27,787 $1,749,553 $1,391,076
===================================================================================================================================
Undistributed Net Investment Income
Included in Net Assets at Period End $ -- $ -- $ -- $ 23 $ 28,289 $ 17,286
===================================================================================================================================
(1) See Note 4 in the Notes to Financial Statements for additional
information.
(2) The Long Duration Bond Fund commenced operations on April 21, 2004.
(3) The Extended Duration Bond Fund commenced operations on April 21, 2004.
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
86 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the period ended November 30, 2004 (Unaudited) and the periods ended May 31,
For a share outstanding throughout each period
- ----------------------------------------------------------------------------------------------------------------------------------
Net Realized
and Distributions
Net Asset Net Unrealized Dividends from
Value, Investment Gains Total from Net Realized
Beginning Income (Losses) on from Investment Capital
of Period (Loss) Securities Operations Income Gains
- ----------------------------------------------------------------------------------------------------------------------------------
LARGE CAP FUND
Class A
2004* $ 14.47 $ 0.14(6) $ 0.75(6) $ 0.89 $(0.10) $ --
2004 12.41 0.18(6) 2.09(6) 2.27 (0.21) --
2003 13.82 0.16(6) (1.41)(6) (1.25) (0.16) --
2002 16.31 0.15 (2.48) (2.33) (0.16) --
2001 19.48 0.17 (2.35) (2.18) (0.17) (0.82)
2000 18.82 0.20 1.48 1.68 (0.19) (0.83)
Class T
2004* $ 14.49 $ 0.07(6) $ 0.68(6) $ 0.75 $(0.05) $ --
2004 12.45 0.11(6) 2.06(6) 2.17 (0.13) --
2003(1) 11.43 0.04(6) 1.02(6) 1.06 (0.04) --
LARGE CAP DISCIPLINED EQUITY FUND
Class A
2004* $111.81 $ 1.08(6) $ 5.83(6) $ 6.91 $(0.69) $ --
2004(2)++ 100.00 0.66(6) 12.51(6) 13.17 (0.54) (0.82)
LARGE CAP INDEX FUND
Class A
2004* $ 99.12 $ 1.07(6) $ 4.70(6) $ 5.77 $(0.77) $ --
2004++ 84.90 1.50(6) 14.28(6) 15.78 (1.37) (0.19)
2003++ 93.40 1.10 (8.50)(7) (7.40) (1.10) --
2002(3)++ 100.00 0.20 (6.80) (6.60) -- --
SMALL CAP FUND
Class A
2004* $ 14.70 $ 0.04(6) $ 1.46(6) $ 1.50 $(0.03) $ --
2004 11.60 0.06(6) 3.59(6) 3.65 (0.07) (0.48)
2003 12.53 0.07(6) (0.94)(6) (0.87) (0.06) --
2002 13.02 0.06 (0.45) (0.39) (0.07) (0.03)
2001 13.66 0.08 0.96 1.04 (0.09) (1.59)
2000 11.35 0.09 2.30 2.39 (0.08) --
Class T
2004* $ 14.65 $ 0.01(6) $ 1.44(6) $ 1.45 $(0.01) $ --
2004 11.57 (0.01)(6) 3.58(6) 3.57 (0.01) (0.48)
2003(4) 10.47 0.01(6) 1.11(6) 1.12 (0.02) --
SMALL/MID CAP EQUITY FUND
Class A
2004* $107.03 $ 0.26(6) $11.85(6) $12.11 $(0.25) $ --
2004(5) 100.00 0.22(6) 6.93(6) 7.15 (0.12) --
- ----------------------------------------------------------------------------------------------------------------------------------
Ratio of Net
Total Ratio of Net Investment
Dividends Net Asset Net Assets Expenses Income
and Value, End Total End of Period to Average to Average
Distributions of Period Return+ ($ Thousands) Net Assets Net Assets
- ----------------------------------------------------------------------------------------------------------------------------------
LARGE CAP FUND
Class A
2004* $(0.10) $ 15.26 6.17% $1,776,137 0.26% 1.90%
2004 (0.21) 14.47 18.37 1,787,850 0.26 1.34
2003 (0.16) 12.41 (8.98) 3,008,463 0.26 1.39
2002 (0.16) 13.82 (14.36) 2,938,135 0.26 1.03
2001 (0.99) 16.31 (11.54) 3,451,673 0.26 0.98
2000 (1.02) 19.48 9.10 3,184,226 0.26 1.12
Class T
2004* $(0.05) $ 15.19 5.20% $ 33 0.81% 1.00%
2004 (0.13) 14.49 17.51 31 0.81 0.76
2003(1) (0.04) 12.45 9.28 213 0.81 0.66
LARGE CAP DISCIPLINED EQUITY FUND
Class A
2004* $(0.69) $118.03 6.21% $3,060,512 0.32% 1.93%
2004(2)++ (1.36) 111.81 13.23 2,285,041 0.33 1.33
LARGE CAP INDEX FUND
Class A
2004* $(0.77) $104.12 5.86% $ 309,934 0.13% 2.15%
2004++ (1.56) 99.12 18.71 284,711 0.16 1.58
2003++ (1.10) 84.90 (7.79) 142,612 0.20 1.67
2002(3)++ -- 93.40 (6.60) 39,763 0.20 1.30
SMALL CAP FUND
Class A
2004* $(0.03) $ 16.17 10.22% $1,579,998 0.54% 0.57%
2004 (0.55) 14.70 31.76 1,309,254 0.54 0.45
2003 (0.06) 11.60 (6.83) 1,193,935 0.54 0.67
2002 (0.10) 12.53 (2.99) 1,102,199 0.54 0.54
2001 (1.68) 13.02 8.39 857,278 0.54 0.63
2000 (0.08) 13.66 21.06 774,284 0.53 0.73
Class T
2004* $(0.01) $ 16.09 9.88% $ 192 1.09% 0.09%
2004 (0.49) 14.65 31.07 206 1.09 (0.10)
2003(4) (0.02) 11.57 10.69 186 1.09 0.10
SMALL/MID CAP EQUITY FUND
Class A
2004* $(0.25) $118.89 11.34% $ 593,688 0.63% 0.47%
2004(5) (0.12) 107.03 7.15 423,768 0.65 0.45
- ---------------------------------------------------------------
Ratio of
Expenses
to Average
Net Assets Portfolio
(Excluding Turnover
Waivers) Rate
- ---------------------------------------------------------------
LARGE CAP FUND
Class A
2004* 0.47% 22%
2004 0.48 109
2003 0.47 51
2002 0.47 65
2001 0.48 107
2000 0.48 64
Class T
2004* 1.02% 22%
2004 1.03 109
2003(1) 1.02 51
LARGE CAP DISCIPLINED EQUITY FUND
Class A
2004* 0.47% 35%
2004(2)++ 0.47 67
LARGE CAP INDEX FUND
Class A
2004* 0.24% 4%
2004++ 0.24 6
2003++ 0.25 12
2002(3)++ 0.39 1
SMALL CAP FUND
Class A
2004* 0.72% 47%
2004 0.72 135
2003 0.72 97
2002 0.71 115
2001 0.73 154
2000 0.73 159
Class T
2004* 1.27% 47%
2004 1.27 135
2003(4) 1.27 97
SMALL/MID CAP EQUITY FUND
Class A
2004* 0.72% 53%
2004(5) 0.73 51
* For the six-month period ended November 30, 2004 (Unaudited). All ratios for
the period have been annualized.
+ 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.
++ Per share amounts have been adjusted for a 10 to 1 reverse stock split paid
to shareholders of record on November 26, 2003.
(1) Commenced operations on December 13, 2002. All ratios for the period have
been annualized.
(2) Commenced operations on August 28, 2003. All ratios for the period have been
annualized.
(3) Commenced operations on April 1, 2002. All ratios for the period have been
annualized.
(4) Commenced operations on November 26, 2002. All ratios for the period have
been annualized.
(5) Commenced operations on December 15, 2003. All ratios for the period have
been annualized.
(6) Per share net investment income and net realized and unrealized
gains/(losses) calculated using average shares.
(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.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 87
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the period ended November 30, 2004 (Unaudited) and the periods ended May 31,
For a share outstanding throughout each period
- ---------------------------------------------------------------------------------------------------------------------------
Net Realized
and Distributions
Net Asset Unrealized Dividends from
Value, Net Gains Total from Net Realized
Beginning Investment (Losses) on from Investment Capital
of Period Income Securities Operations Income Gains
- ---------------------------------------------------------------------------------------------------------------------------
CORE FIXED INCOME FUND
Class A
2004* $10.19 $0.19(2) $ 0.20(2) $ 0.39 $(0.20) $ --
2004 10.61 0.38(2) (0.26)(2) 0.12 (0.40) (0.14)
2003 10.27 0.50 0.60 1.10 (0.50) (0.26)
2002 10.49 0.54 0.06 0.60 (0.54) (0.28)
2001 9.82 0.66 0.67 1.33 (0.66) --
2000 10.22 0.61 (0.40) 0.21 (0.61) --
LONG DURATION BOND FUND
Class A
2004* $ 9.77 $0.26(2) $ 0.41(2) $ 0.67 $(0.26) $ --
2004(1) 10.00 0.05(2) (0.23)(2) (0.18) (0.05) --
EXTENDED DURATION BOND FUND
Class A
2004* $ 9.53 $0.27(2) $ 1.08(2) $ 1.35 $(0.44) $ --
2004(1) 10.00 0.05(2) (0.44)(2) (0.39) (0.08) --
INTERNATIONAL EQUITY FUND
Class A
2004* $10.06 $0.07(2) $ 1.12(2) $ 1.19 $ -- $ --
2004 7.76 0.18(2) 2.28(2) 2.46 (0.16) --
2003 9.21 0.13 (1.46) (1.33) (0.12) --
2002 10.34 0.11 (1.14) (1.03) (0.10) --
2001 13.61 0.17 (2.56) (2.39) (0.16) (0.72)
2000 11.58 0.24 2.40 2.64 (0.14) (0.47)
- -------------------------------------------------------------------------------------------------------------------------------
Ratio of Net
Total Ratio of Net Investment
Dividends Net Asset Net Assets Expenses Income
and Value, End Total End of Period to Average to Average
Distributions of Period Return+ ($ Thousands) Net Assets Net Assets
- -------------------------------------------------------------------------------------------------------------------------------
CORE FIXED INCOME FUND
Class A
2004* $(0.20) $10.38 3.85% $3,805,456 0.15% 3.74%
2004 (0.54) 10.19 1.13 3,074,873 0.19** 3.62
2003 (0.76) 10.61 11.10 2,431,368 0.18 4.79
2002 (0.82) 10.27 6.43 2,354,581 0.18 5.67
2001 (0.66) 10.49 13.92 2,131,474 0.18 6.47
2000 (0.61) 9.82 2.07 1,999,815 0.18 6.20
LONG DURATION BOND FUND
Class A
2004* $(0.26) $10.18 6.94% $ 37,388 0.20% 5.13%
2004(1) (0.05) 9.77 (1.78) 6,317 0.20 5.02
EXTENDED DURATION BOND FUND
Class A
2004* $(0.44) $10.44 14.24% $ 40,436 0.20% 5.17%
2004(1) (0.08) 9.53 (3.88) 27,787 0.20 5.17
INTERNATIONAL EQUITY FUND
Class A
2004* $ -- $11.25 11.83% $1,749,553 0.45% 1.43%
2004 (0.16) 10.06 31.73 1,391,076 0.48 1.92
2003 (0.12) 7.76 (14.43) 1,176,097 0.48 1.85
2002 (0.10) 9.21 (9.93) 1,259,408 0.48 1.30
2001 (0.88) 10.34 (18.21) 1,190,830 0.48 1.68
2000 (0.61) 13.61 22.82 1,186,706 0.43 1.08
- ---------------------------------------------------------
Ratio of
Expenses
to Average
Net Assets Portfolio
(Excluding Turnover
Waivers) Rate
- ---------------------------------------------------------
CORE FIXED INCOME FUND
Class A
2004* 0.37% 280%
2004 0.38 532
2003 0.37 436
2002 0.36 365
2001 0.37 399
2000 0.40 383
LONG DURATION BOND FUND
Class A
2004* 0.41% 233%
2004(1) 0.57 31
EXTENDED DURATION BOND FUND
Class A
2004* 0.40% 118%
2004(1) 0.44 42
INTERNATIONAL EQUITY FUND
Class A
2004* 0.58% 17%
2004 0.65 80
2003 0.68 58
2002 0.66 84
2001 0.67 71
2000 0.64 74
* For the six-month period ended November 30, 2004 (Unaudited). All ratios for
the period have been annualized.
** The expense ratio includes the litigation fees paid. Had these fees been
excluded the ratio would have been 0.18%.
+ 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.
++ Per share amounts have been adjusted for a 10 to 1 reverse stock split paid
to shareholders of record on November 26, 2003.
(1) Commenced operations on April 21, 2004. All ratios for the period have been
annualized.
(2) Per share net investment income and net realized and unrealized
gains/(losses) calculated using average shares.
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
88 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
NOVEMBER 30, 2004
NOTES TO FINANCIAL STATEMENTS (Unaudited)
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 nine Funds: The Large Cap,
Large Cap Disciplined Equity, Large Cap Index, Small Cap, Small/Mid Cap Equity,
Core Fixed Income, Long Duration Bond, Extended Duration Bond, 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 Disciplined Equity, Large Cap Index, Small Cap, Small/Mid Cap Equity, Core
Fixed Income, Long Duration Bond, Extended Duration Bond and International
Equity Funds, and Class T shares of Large Cap and Small Cap Funds. The assets of
each Fund are aggregated, and a shareholder's interest is limited to the Fund in
which shares are held. The Fund's prospectus provides a description of each
Fund's investment objectives, policies, and strategies.
On March 9, 2004 and June 17, 2004, respectively, the Board of Trustees of the
Funds approved the creation of the Global Equity and World Equity Ex-US Funds.
As of November 30, 2004 these Funds had not yet commenced operations.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies followed by
the Funds.
USE OF ESTIMATES -- The preparation of financial statements, in conformity with
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 -- Securities listed on a securities exchange, market or
automated quotation system for which quotations are readily available (except
for securities traded on NASDAQ) are valued at the last quoted sale price on the
primary exchange or market (foreign or domestic) on which they are traded, or,
if there is no such reported sale, at the most recent quoted bid price. For
securities traded on NASDAQ, the NASDAQ Official Closing Price will be used.
If available, debt securities are priced based upon valuations provided by
independent, third-party pricing agents. Such values generally reflect the last
reported sales price if the security is actively traded. The third-party pricing
agents may also value debt securities at an evaluated bid price by employing
methodologies that utilize actual market transactions, broker-supplied
valuations, or other methodologies designed to identify the market value for
such securities. Debt obligations with remaining maturities of sixty days or
less may be valued at their amortized cost, which approximates market value. The
prices for foreign securities are reported in local currency and converted to
U.S. dollars using currency exchange rates. Prices for most securities held in
the Funds are provided daily by recognized independent pricing agents. If a
security price cannot be obtained from an independent, third-party pricing
agent, the Funds seek to obtain a bid price from at least one independent
broker.
Securities for which market prices are not "readily available" are valued in
accordance with Fair Value Procedures established by the Funds' Board of
Trustees. The Funds' Fair Value Procedures are implemented through a Fair Value
Committee (the "Committee") designated by the Funds' Board of Trustees. Some of
the more common reasons that may necessitate that a security be valued using
Fair Value Procedures include: the security's trading has been halted or
suspended; the security has been de-listed from a national exchange; the
security's primary trading market is temporarily closed at a time when under
normal conditions it would be open; or the security's primary pricing source is
not able or willing to provide a price. When a security is valued in accordance
with the Fair Value Procedures, the Committee will determine the value after
taking into consideration relevant information reasonably available to the
Committee.
For securities that principally trade on a foreign market or exchange, a
significant gap in time can exist between the time of a particular security's
last trade and the time at which a Fund calculates its net asset value. The
closing prices of such securities may no longer reflect their market value at
the time the Fund calculates net asset value if an event that could materially
affect the value of those securities (a "Significant Event") has occurred
between the time of the security's last close and the time that the Fund
calculates net asset value. A Significant Event may relate to a single issuer or
to an entire market sector. If the adviser or sub-adviser of a Fund becomes
aware of a Significant Event that has occurred with respect to a security or
group of securities after the closing of the exchange or market on
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 89
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
NOVEMBER 30, 2004
which the security or securities principally trade, but before the time at which
the Fund calculates net asset value, it may request that a Fair Value Committee
Meeting be called. In addition, the Funds' administrator monitors price
movements among certain selected indices, securities and/or baskets of
securities that may be an indicator that the closing prices received earlier
from foreign exchanges or markets may not reflect market value at the time the
Fund calculates net asset value. If price movements in a monitored index or
security exceed levels established by the administrator, the administrator
notifies the adviser or sub-adviser for any Fund holding the relevant
securities that such limits have been exceeded. In such event, the adviser or
sub-adviser makes the determination whether a Fair Value Committee Meeting
should be called based on the information provided.
The International Equity Fund also uses a third-party fair valuation vendor. The
vendor provides a fair value for foreign securities held by this Fund based on
certain factors and methodologies (involving, generally, tracking valuation
correlations between the U.S. market and each non-U.S. security). Values from
the fair value vendor are applied in the event that there is a movement in the
U.S. market that exceeds a specific threshold that has been established by the
Committee. The Committee has also established a "confidence interval" which is
used to determine the level of historical correlation between the value of a
specific foreign security and movements in the U.S. market before a particular
security will be fair valued when the threshold is exceeded. In the event that
the threshold established by the Committee is exceeded on a specific day, the
International Equity Fund will value the non-U.S. securities in its fund that
exceed the applicable "confidence interval" based upon the adjusted prices
provided by the fair valuation vendor.
SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are
recorded on the trade date. Cost used in determining net realized capital gains
and losses on the sale of securities are on the basis of specific
identification. Dividend income is recognized on the ex-dividend date, and
interest income is recognized using the accrual basis of accounting.
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 agreements and the Trust's
policies ensure that the market value of the collateral, including accrued
interest thereon, is sufficient in the event of default by the counterparty. If
the counterparty defaults and the value of the collateral declines or if the
counterparty enters into an insolvency proceeding, realization of the collateral
by the Funds may be delayed or limited.
COMPENSATING BALANCES -- Large Cap, Large Cap Disciplined Equity, Large Cap
Index, Small Cap, Small/Mid Cap Equity, Core Fixed Income, Long Duration Bond
and Extended Duration Bond Funds with cash overdrafts in excess of $100,000 are
required to leave 112% in compensating balances 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.
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.
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 changes 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.
FORWARD FOREIGN CURRENCY CONTRACTS -- The International Equity Fund may enter
into forward foreign currency contracts as hedges against either specific
transactions, fund positions or anticipated fund positions. The aggregate
principal amounts of the contracts are not recorded as the Fund does not intend
to hold the contracts to maturity. All commitments are "marked-to-market" daily
at the applicable foreign exchange rate,
- --------------------------------------------------------------------------------
90 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
and any resulting unrealized gains or losses are recorded currently. The
International Equity Fund realizes gains and losses at the time forward
contracts are extinguished. Unrealized gains or losses on outstanding positions
in forward foreign currency contracts held at the close of the period are
recognized as ordinary income or loss for Federal income tax purposes. At the
period ended November 30, 2004 the International Equity Fund did not have any
forward foreign currency contracts outstanding.
FUTURES CONTRACTS -- Each of the funds utilized futures contracts during the
period ended November 30, 2004 with the exception of the Extended and Long
Duration Bond Funds. The Large Cap, Large Cap Disciplined Equity, Large Cap
Index, Small Cap, Small/Mid Cap Equity 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 Funds
record a realized gain or loss equal to the difference between the proceeds from
(or cost of) the closing transaction and the amount invested in the contract.
Risks 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 November 30,
2004:
- ----------------------------------------------------------------------------------------------------
Number Contract Unrealized
Contract of Value Gain (Loss)
Description Contracts ($ Thousands) Expiration ($ Thousands)
- ----------------------------------------------------------------------------------------------------
LARGE CAP FUND
S&P 400 Index
E-Mini 68 $ 4,336 12/17/04 $ 50
S&P 500 Composite
Index 140 41,094 12/17/04 231
-------
281
-------
LARGE CAP DISCIPLINED EQUITY FUND
S&P 500 Composite
Index 315 92,460 12/17/04 3,653
-------
LARGE CAP INDEX FUND
S&P 500 Index
E-Mini 131 7,690 12/17/04 343
-------
SMALL CAP FUND
Russell 2000 Index
E-Mini 576 36,527 12/17/04 3,894
-------
- ----------------------------------------------------------------------------------------------------
Number Contract Unrealized
Contract of Value Gain (Loss)
Description Contracts ($ Thousands) Expiration ($ Thousands)
- ----------------------------------------------------------------------------------------------------
SMALL/MID CAP EQUITY FUND
S&P 400 Index
E-Mini 157 10,011 12/17/04 $ 317
Russell 2000 Index
E-Mini 231 14,649 12/17/04 621
-------
938
-------
CORE FIXED INCOME FUND
90 Day Euro$ 479 $ 116,289 03/16/05 100
90 Day Euro$ 701 169,309 09/21/05 59
90 Day Euro$ 71 17,086 03/15/06 (43)
U.S. 5 Year Note 438 48,057 12/22/04 (217)
U.S. 5 Year Note 1,329 144,633 03/23/05 (207)
U.S. 10 Year
Agency Note (283) (31,541) 12/22/04 83
U.S. 10 Year
Agency Note 127 14,065 03/23/05 (17)
U.S. Long Treasury
Bond (487) (54,103) 12/22/04 (675)
U.S. Long Treasury
Bond (43) (4,735) 03/23/05 81
-------
(836)
-------
INTERNATIONAL EQUITY FUND
J Euro Stoxx 60 2,293 12/19/04 62
FTSE 100 Index 21 1,890 12/19/04 26
Hang Seng Index 2 181 12/30/04 1
SPI 200 Index 6 457 12/19/04 27
Topix Index 14 1,492 12/14/04 (64)
-------
52
-------
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
market value caused by changes in prevailing market interest rates. The Large
Cap, Large Cap Disciplined Equity, Large Cap Index, Small Cap, Long Duration
Bond, Extended Duration Bond and International Equity Funds also may invest in
financial options contracts. When a 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.
Written options transactions entered into during the period ended November 30,
2004 are summarized as follows:
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 91
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
NOVEMBER 30, 2004
- --------------------------------------------------------------------------------
CORE FIXED INCOME FUND
- --------------------------------------------------------------------------------
Premium
Number of Contracts ($ Thousands)
- --------------------------------------------------------------------------------
Balance at beginning of year 2,820 $ 3,263
Written 2,626 2,115
Expired (1,416) (1,513)
Exercised -- --
Closing Buys (2,804) (3,010)
- --------------------------------------------------------------------------------
Balance at end of year 1,226 $ 855
================================================================================
SWAP AGREEMENTS -- A swap agreement is a two-party contract under which an
agreement is made to exchange returns from predetermined investments or
instruments, including a particular interest rate, foreign currency, or "basket"
of securities representing a particular index. The gross returns to be exchanged
or "swapped" between the parties are calculated based on a "notional amount",
which, each business day, is valued to determine each party's obligation under
the contract. Fluctuations in market values are reflected as unrealized gains or
losses during the term of the contract. Risks could arise from entering into
swap agreements from the potential inability of counterparties to meet the terms
of their contracts, and from the potential inability to enter into a closing
transaction. It is possible that developments in the swaps market could affect a
fund's ability to terminate existing swap agreements or to realize amounts to be
received under such agreements. The contracts are marked to market daily and the
resulting changes in market values are reflected as unrealized gains and losses.
The accrued interest receivable and payable are recorded daily and accounted for
as realized gains and losses.
The Extended Duration Bond Fund had the following Swap Agreements open as of
November 30, 2004:
Net Unrealized
Notional Depreciation
Description Amount ($ Thousands)
- --------------------------------------------------------------------------------
Receive at fixed rate of 4.855%
and pay at floating rate based on 3 month LIBOR
(Counter Party: Credit Suisse First Boston) 3,850 $(103)
Receive at fixed rate of 5.689%
and pay at floating rate based on 3 month LIBOR
(Counter Party: Deutsche Bank) 10,000 467
Receive at fixed rate of 5.694%
and pay at floating rate based on 3 month LIBOR
(Counter Party: Credit Suisse First Boston) 13,300 632
Receive at fixed rate of 5.134%
and pay at floating rate based on 3 month LIBOR
(Counter Party: Credit Suisse First Boston) 9,230 (340)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Total $ 656
================================================================================
LIBOR -- London InterBank Offering Rate
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.
ILLIQUID SECURITIES -- A security is considered illiquid if it cannot be sold or
disposed of in the ordinary course of business within seven days or less for its
approximate carrying value on the books of the Funds. 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
Disciplined Equity, Large Cap Index, Small Cap and the Small/Mid Cap Equity
Funds; declared daily and paid monthly for the Core Fixed Income, Long Duration
Bond and the Extended Duration Bond Funds; and declared and paid at least
annually for the International Equity Fund. Dividends and distributions are
recorded on the ex-dividend date.
3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
ADMINISTRATION AGREEMENT --The Trust and SEI Investments Fund Management (the
"Administrator") are parties to an Amended and Restated Administration and
Transfer Agency Agreement dated December 10, 2003 under which the Administrator
provides administrative and shareholder servicing for an annual fee of 0.05% of
the average daily net assets of each Fund. For the six months ended November 30,
2004, and until further notice, the Administrator has voluntarily agreed to
waive all of its fee.
DISTRIBUTION AGREEMENT --The Trust and SEI Investments Distribution Co. (the
"Distributor") are parties to an Amended and Restated Distribution Agreement
dated September 16, 2002 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.
- --------------------------------------------------------------------------------
92 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
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.
INVESTMENT ADVISORY AGREEMENT -- SEI Investments Management Corporation ("SIMC")
serves as investment adviser (the "Adviser") to each Fund. In connection with
serving as investment adviser, SIMC is entitled to a fee that is calculated
daily and paid monthly based on the average daily net assets of each Fund. SIMC
has voluntarily agreed to waive a portion of its fee so that the total annual
expenses of each Fund will not exceed certain voluntary expense limitations
adopted by SIMC. These waivers may be terminated at any time. Accordingly, the
advisory fee and voluntary expense limitations for each Fund are as follows:
- --------------------------------------------------------------------------------
Advisory Voluntary Expense
Fees Limitations
- --------------------------------------------------------------------------------
Large Cap Fund Class A 0.400% 0.260%
Large Cap Fund Class T 0.400 0.810
Large Cap Disciplined Equity Fund Class A 0.400 0.300
Large Cap Index Fund Class A 0.170 0.120
- --------------------------------------------------------------------------------
Advisory Voluntary Expense
Fees Limitations
- --------------------------------------------------------------------------------
Small Cap Fund Class A 0.650 0.540
Small Cap Fund Class T 0.650 1.090
Small/Mid Cap Equity Fund Class A 0.650 0.600
Core Fixed Income Fund Class A 0.300 0.140
Long Duration Bond Fund Class A 0.300 0.200
Extended Duration Bond Fund Class A 0.300 0.200
International Equity Fund Class A 0.505 0.400
SIMC has entered into investment sub-advisory agreements with the following
parties and pays the sub-advisers out of the fee that it receives from the
Funds:
- --------------------------------------------------------------------------------
Currently Managing
Date of a Portion of Fund
Investment Sub-Adviser Agreement (Y/N)
- --------------------------------------------------------------------------------
LARGE CAP FUND
Alliance Capital Management, L.P. 10/02/00 Y
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 06/14/96 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, LLC 09/17/01 Y
LARGE CAP DISCIPLINED EQUITY FUND
Analytic Investors, Inc. 07/01/03 Y
Barclays Global Fund Advisors 07/16/03 Y
Enhanced Investment Technologies,
LLC (Intech) 08/28/03 Y
Quantitative Management Associates LLC 07/01/03 Y
LARGE CAP INDEX FUND
Barclays Global Fund Advisors 03/19/02 Y
SMALL CAP FUND
Artisan Partners Limited Partnership 03/26/99 Y
BlackRock Advisors, Inc. 07/01/03 Y
Lee Munder Investments Ltd. 12/09/02 Y
David J. Greene and Company, LLC 08/14/01 Y
Delaware Management Company 07/01/03 Y
LSV Asset Management 03/28/97 Y
McKinley Capital Management, Inc. 09/20/00 Y
Martingale Asset Management, L.P. 12/09/02 N
Mazama Capital Management, Inc. 12/13/99 Y
Security Capital Research and
Management 05/14/02 Y
Wellington Management Company 03/14/02 Y
SMALL/MID CAP EQUITY FUND
Artisan Partners Limited Partnership 11/05/03 N
BlackRock Advisors, Inc. 07/01/03 Y
Delaware Management Company 07/01/03 Y
Integrity Asset Management, LLC 05/18/04 Y
Lee Munder Investments Ltd. 12/15/03 Y
LSV Asset Management 12/15/03 Y
Martingale Asset Management, L.P. 12/09/03 Y
Mazama Capital Management, Inc. 07/01/03 Y
Security Capital Research and Management 07/01/03 Y
Wellington Management Company LLP 12/15/03 Y
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 93
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
NOVEMBER 30, 2004
- --------------------------------------------------------------------------------
Currently Managing
Date of a Portion of Fund
Investment Sub-Adviser Agreement (Y/N)
- --------------------------------------------------------------------------------
CORE FIXED INCOME FUND
BlackRock Advisors, Inc. 06/14/96 Y
Metropolitan West Asset Management, LLC 06/26/02 Y
Wells Capital Management, Inc. 09/30/03 Y
Western Asset Management Company 06/14/96 Y
LONG DURATION BOND FUND
Metropolitan West Asset Management, LLC 03/31/04 Y
EXTENDED DURATION BOND FUND
Metropolitan West Asset Management, LLC 03/31/04 Y
INTERNATIONAL EQUITY FUND
Alliance Capital Management, L.P. 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, Limited 12/01/03 Y
During the fiscal year ended May 31, 2004, the Small/Mid Cap Equity Fund was
reimbursed by the Adviser for losses incurred of $720 due to the short position
of shares in a specific company in excess of the amount permitted under
applicable Securities and Exchange Commission ("SEC") rules. This amount is
included in net realized gain/loss on the statement of operations and statement
of changes. The reimbursement has no impact on the Fund's total return.
OTHER --The Distribution Agreement between the Distributor and the Trust
provides that the Distributor may receive compensation on fund transactions
effected for the Trust in accordance with the SEC rules. Accordingly, it is
expected that fund transactions may result in brokerage commissions being paid
to the Distributor. The SEC rules require that such commissions not exceed usual
and customary commissions.
Such commissions for the period ended November 30, 2004 were as follows
($Thousands):
Large Cap Fund $186
Small Cap Fund 264
Small/Mid Cap Equity Fund 101
International Equity Fund 263
----
$814
====
Certain officers and/or trustees of the Trust are also officers of the
Administrator or the Adviser. The Trust pays each unaffiliated Trustee an annual
fee for attendance at quarterly, interim and committee meetings. Compensation of
officers and affiliated Trustees of the Trust is paid by the Adviser or
Administrator.
LSV Asset Management (partially-owned subsidiary of SIMC) serves as a
sub-adviser to the Large Cap, Small Cap and Small/Mid Cap Equity Funds. For this
service LSV Asset Management is entitled to receive a fee from SIMC. Such fees
for the period ended November 30, 2004 were as follows ($ Thousands):
Large Cap Fund $141
Small Cap Fund 476
Small/Mid Cap Equity Fund 150
----
$767
====
INVESTMENT IN AFFILIATED REGISTERED INVESTMENT COMPANY -- Pursuant to an
exemptive order issued by the Securities and Exchange Commission, the Funds may
invest in the SEI money market funds, provided that investments in the money
market funds do not exceed 25% of the investing Fund's total assets.
- --------------------------------------------------------------------------------
94 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
4. CAPITAL SHARE TRANSACTIONS
Capital Share Transactions for the Funds were as follows (Thousands):
- ---------------------------------------------------------------------------------------------------------------------------
LARGE CAP
DISCIPLINED LARGE CAP
LARGE CAP FUND EQUITY FUND(3) INDEX FUND
- ---------------------------------------------------------------------------------------------------------------------------
6/1/04 6/1/04 6/1/04
to 11/30/04 6/1/03 to 11/30/04 6/1/03 to 11/30/04 6/1/03
(Unaudited) to 5/31/04 (Unaudited) to 5/31/04 (Unaudited) to 5/31/04
- ---------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 8,840 76,149(1) 6,645(1) 21,739(1) 282 14,425(1)
Shares Issued in Lieu of
Dividends and Distributions 777 2,690 145 103 23 181
Shares Redeemed (16,855) (197,701)(2) (1,297) (1,404) (200) (3,082)
Effect of Reverse Stock Split -- -- -- -- -- (25,450)
- ---------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions (7,238) (118,862) 5,493 20,438 105 (13,926)
- ---------------------------------------------------------------------------------------------------------------------------
Class T:
Shares Issued 103 -- -- -- -- --
Shares Issued in Lieu of
Dividends and Distributions -- -- -- -- -- --
Shares Redeemed (103) (15) -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------
Total Class T Transactions -- (15) -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Capital Shares (7,238) (118,877) 5,493 20,438 105 (13,926)
===========================================================================================================================
- ---------------------------------------------------------------
SMALL CAP FUND
- ---------------------------------------------------------------
6/1/04
to 11/30/04 6/1/03
(Unaudited) to 5/31/04
- ---------------------------------------------------------------
Class A:
Shares Issued 13,274 28,179(1)
Shares Issued in Lieu of
Dividends and Distributions 179 3,557
Shares Redeemed (4,850) (45,613)(2)
Effect of Reverse Stock Split -- --
- ---------------------------------------------------------------
Total Class A Transactions 8,603 (13,877)
- ---------------------------------------------------------------
Class T:
Shares Issued 37 --
Shares Issued in Lieu of
Dividends and Distributions -- 1
Shares Redeemed (39) (3)
- ---------------------------------------------------------------
Total Class T Transactions (2) (2)
- ---------------------------------------------------------------
Net Increase (Decrease) in
Capital Shares 8,601 (13,879)
===============================================================
- ---------------------------------------------------------------------------------------------------------------------
LONG
SMALL/MID CAP CORE FIXED DURATION
EQUITY FUND(4) INCOME FUND BOND FUND(5)
- ---------------------------------------------------------------------------------------------------------------------
6/1/04 6/1/04 6/1/04
to 11/30/04 6/1/03 to 11/30/04 6/1/03 to 11/30/04 6/1/03
(Unaudited) to 5/31/04 (Unaudited) to 5/31/04 (Unaudited) to 5/31/04
- ---------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 1,271(1) 4,221(1) 85,063 150,267 3,045 643
Shares Issued in Lieu of
Dividends and Distributions 10 3 6,511 13,849 64 4
Shares Redeemed (246) (265) (26,876) (91,277) (83) --
- ---------------------------------------------------------------------------------------------------------------------
Total Class A Transactions 1,035 3,959 64,698 72,839 3,026 647
- ---------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Capital Shares 1,035 3,959 64,698 72,839 3,026 647
- ---------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------
EXTENDED
DURATION INTERNATIONAL
BOND FUND(6) EQUITY FUND
- ------------------------------------------------------------------------------------------
6/1/04 6/1/04
to 11/30/04 6/1/03 to 11/30/04 6/1/03
(Unaudited) to 5/31/04 (Unaudited) to 5/31/04
- ------------------------------------------------------------------------------------------
Class A:
Shares Issued 931 2,891 30,172 45,477
Shares Issued in Lieu of
Dividends and Distributions 138 25 -- 2,393
Shares Redeemed (112) -- (12,986) (61,144)
- ------------------------------------------------------------------------------------------
Total Class A Transactions 957 2,916 17,186 (13,274)
- ------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Capital Shares 957 2,916 17,186 (13,274)
- ------------------------------------------------------------------------------------------
(1) Includes subscriptions as a result of in-kind transfers of securities (see
note 8).
(2) Includes redemptions as a result of in-kind transfers of securities (see
note 8).
(3) The Large Cap Disciplined Equity Fund commenced operations on August 28,
2003.
(4) The Small/Mid Cap Equity Fund commenced operations on December 15, 2003.
(5) The Long Duration Bond Fund commenced operations on April 21, 2004.
(6) The Extended Duration Bond Fund commenced operations on April 21, 2004.
Amounts designated as "--" are zero or have been rounded to zero.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 95
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
NOVEMBER 30, 2004
5. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale and maturities of
securities other than temporary cash investments, during the period ended
November 30, 2004, was as follows:
- ------------------------------------------------------------------------------------
U.S. Gov't Other Total
($ Thousands) ($ Thousands) ($ Thousands)
- ------------------------------------------------------------------------------------
LARGE CAP FUND
Purchases $-- $ 376,704 $ 376,704
Sales -- 473,512 473,512
LARGE CAP DISCIPLINED EQUITY FUND
Purchases -- 1,513,187 1,513,187
Sales -- 905,086 905,086
LARGE CAP INDEX
Purchases -- 24,901 24,901
Sales -- 12,236 12,236
SMALL CAP FUND
Purchases -- 721,751 721,751
Sales -- 617,421 617,421
SMALL/MID CAP EQUITY FUND
Purchases -- 350,389 350,389
Sales -- 246,091 246,091
CORE FIXED INCOME FUND
Purchases 8,361,280 745,548 9,106,828
Sales and Maturities 8,212,646 464,882 8,677,528
LONG DURATION BOND FUND
Purchases 39,226 23,577 62,803
Sales and Maturities 38,949 8,589 47,538
EXTENDED DURATION BOND FUND
Purchases 18,647 25,659 44,306
Sales and Maturities 21,676 21,707 43,383
INTERNATIONAL EQUITY FUND
Purchases -- 473,922 473,922
Sales -- 252,110 252,110
6. 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.
The tax character of dividends and distributions paid during the last two years
or periods were as follows:
- --------------------------------------------------------------------------------
Ordinary Long-term
Income Capital Gain Total
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Large Cap Fund 2004 $ 37,008 $ -- $ 37,008
2003 37,071 -- 37,071
Large Cap
Disciplined
Equity Fund 2004 8,522 526 9,048
Large Cap Index
Fund 2004 4,083 12 4,095
2003 856 -- 856
Small Cap Fund 2004 33,561 18,384 51,945
2003 6,233 -- 6,233
Small/Mid Cap
Equity Fund 2004 319 -- 319
Core Fixed
Income Fund 2004 143,425 2,575 146,000
2003 139,496 28,024 167,520
Long Duration
Bond Fund 2004 33 -- 33
Extended Duration
Bond Fund 2004 237 -- 237
International
Equity Fund 2004 23,331 -- 23,331
2003 17,101 -- 17,101
- --------------------------------------------------------------------------------
96 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
As of May 31, 2004, the components of Distributable Earnings/(Accumulated
Losses) were as follows:
- -----------------------------------------------------------------------------------------------------------------------------
Undistributed Accumulated Capital Post Unrealized
Ordinary Long-Term Loss October Appreciation
Income Capital Gain Carryforwards Losses (Depreciation)
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------------------------------------------------------------------
Large Cap Fund $ 3,513 $ -- $ (336,353) $ -- $ (17,690)
Large Cap Disciplined Equity Fund 25,831 2,187 -- -- 47,296
Large Cap Index Fund 1,010 -- -- -- 36,614
Small Cap Fund 85,215 80,426 -- -- 68,130
Small/Mid Cap Equity Fund 4,861 -- -- -- 8,493
Core Fixed Income Fund 10,173 8,493 -- -- (5,014)
Long Duration Bond Fund 29 -- (16) -- (132)
Extended Duration Bond Fund 239 -- (213) -- (1,204)
International Equity Fund 22,054 -- (234,714) -- 137,743
- -----------------------------------------------------------------------------
Other Total
Temporary Distributable Earnings/
Differences (Accumulated Losses)
($ Thousands) ($ Thousands)
- -----------------------------------------------------------------------------
Large Cap Fund $ -- $(350,530)
Large Cap Disciplined Equity Fund -- 75,314
Large Cap Index Fund -- 37,624
Small Cap Fund -- 233,771
Small/Mid Cap Equity Fund -- 13,354
Core Fixed Income Fund (9,617) 4,035
Long Duration Bond Fund (29) (148)
Extended Duration Bond Fund (216) (1,394)
International Equity Fund 3 (74,914)
Post-October losses represent losses realized on investment transactions from
November 1, 2003 through May 31, 2004 that, in accordance with Federal income
tax regulations, the Funds defer and treat as having arisen in the following
fiscal year. For Federal income tax purposes, capital loss carryforwards may be
carried forward and applied against future capital gains as follows:
- --------------------------------------------------------------------------------
Total
Capital Loss
Expires Expires Expires Carryforwards
2012 2011 2010 5/31/04
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Large Cap Fund $ -- $305,268 $ 31,085 $336,353
Long Duration
Bond Fund 16 -- -- 16
Extended Duration
Bond Fund 213 -- -- 213
International
Equity Fund -- 93,799 140,915 234,714
During the period ended May 31, 2004, the Large Cap, Small Cap and International
Equity Funds utilized $206,010,406, $71,613,554 and $32,071,347 of capital loss
carryforwards, respectively, to offset capital gains.
The aggregate gross unrealized appreciation and depreciation on investments,
held by the Funds at November 30, 2004, were as follows:
- --------------------------------------------------------------------------------
Net
Appreciated Depreciated Unrealized
Securities Securities Appreciation
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Large Cap Fund $213,040 $(96,334) $116,706
Large Cap Disciplined
Equity Fund 311,978 (83,614) 228,364
Large Cap Index 61,149 (9,112) 52,037
Small Cap Fund 303,479 (98,931) 204,548
Small/Mid Cap Fund 78,805 (16,479) 62,326
Core Fixed Income Fund 53,258 (25,301) 27,957
Long Duration Bond Fund 299 (149) 150
Extended Duration Bond Fund 37,037 (36,480) 557
International Equity Fund 333,601 (26,873) 306,728
7. CONCENTRATION/RISKS
In the normal course of business, the Funds enter into contracts that provide
general indemnifications. The Funds' maximum exposure under these arrangements
is dependent on future claims that may be made against the Funds and, therefore,
cannot be estimated; however, based on experience, the risk of loss from such
claims is considered remote.
The market values of the Core Fixed Income, Long Duration Bond and Extended
Duration Bond Funds' investments will change in response to interest rate
changes and other factors. During periods of falling interest rates, the values
of fixed income securities generally rise. Conversely, during periods of rising
interest rates, the values of such securities generally decline. Changes by
recognized rating agencies in the ratings of any fixed income security and in
the ability of an issuer to make payments of interest and principal may also
affect the value of these investments.
The 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.
8. IN-KIND TRANSFERS OF SECURITIES
During the period ended November 30, 2004, the Large Cap Disciplined Equity and
Small/Mid 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 Disciplined Equity Fund
06/29/04 791,663 $ 89,822,081
07/13/04 1,239,955 137,721,803
09/23/04 72,121 7,980,872
Small/Mid Cap Fund
06/29/04 139,224 15,180,964
07/13/04 257,166 27,023,049
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 97
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Concluded)
NOVEMBER 30, 2004
During the year ended May 31, 2004, the Large Cap, Large Cap Disciplined Equity,
Large Cap Index, Small Cap and Small/Mid Cap Equity Funds issued (redeemed)
shares of beneficial interest in exchange for portfolio assets. The securities
were transferred at their current value on the date of transaction.
- --------------------------------------------------------------------------------------------------
Shares
Issued (Redeemed) Value Gain (Loss)
- --------------------------------------------------------------------------------------------------
Large Cap Fund
07/31/03 2,994,469 $ 38,209,430 $ --
08/19/03 (10,589,035) (136,386,776) 25,009,866
09/18/03 (10,513,539) (138,673,573) 23,890,363
Large Cap Disciplined Equity Fund
08/28/03 18,232,037 182,320,373 --
09/30/03 7,252,991 72,529,909 --
12/17/03 689,877 73,941,000 --
04/21/04 164,825 18,500,000 --
Large Cap Index Fund
07/31/03 11,044,112 96,525,540 --
Small Cap Fund
09/26/03 (7,191,278) (92,767,488) 17,933,583
01/15/04 9,609,013 145,000,000 --
Small/Mid Cap Equity Fund
12/17/03 463,668 46,594,000 --
9. 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.
10. LITIGATION
The Core Fixed Income Fund has participated as a plaintiff bondholder, along
with other institutional bondholders, in litigation against Duty Free
International, British Airport Authority and other defendants relating to Notes
issued by Duty Free International which are held by the Fund. British Airport
Authority is the former parent company of Duty Free International. During 2003,
the plaintiffs in that action reached a settlement with all defendants with the
exception of British Airport Authority. Under that settlement, Duty Free
International paid the plaintiffs $4,310,636 which is approximately 70% of the
par value of the bonds. The settlement also contained provisions for the
issuance of a $10 million Note by Duty Free International to the bondholders,
subject to certain conditions. The litigation proceeded to jury trial against
British Airport Authority in December, 2003, and the jury found against the
plaintiffs on all counts. Plaintiffs are currently pursuing an appeal. The Core
Fixed Income Fund is bearing its portion of the legal expenses associated with
this litigation over and above the expense caps of the Fund.
11. OTHER
On November 30, 2004, number of shareholders below held the following percentage
of the outstanding shares of the Funds.
- --------------------------------------------------------------------------------
Number of % of Outstanding
Shareholders Shares
- --------------------------------------------------------------------------------
Large Cap Fund Class A 2 81.06%
Large Cap Fund Class T 1 100.00
Large Cap Disciplined Equity Fund Class A 1 67.63
Large Cap Index Fund Class A 1 99.55
Small Cap Class A 3 52.87
Small Cap Class T 1 100.00
Small/Mid Cap Equity Fund Class A 1 61.05
Core Fixed Income Fund Class A 1 65.18
Long Duration Bond Fund Class A 2 97.60
Extended Duration Bond Fund Class A 2 100.00
International Equity Fund Class A 1 71.18
These shareholders are comprised of omnibus accounts, which are held on the
behalf of several individual shareholders.
12. SUBSEQUENT INFORMATION
At a meeting held on December 9, 2004, the Board of Trustees of SEI
Institutional Investments Trust approved the change of the Long Duration Bond
and Extended Duration Bond Funds' names to the Long Duration Fund and Extended
Duration Fund, respectively. Accordingly, effective on or about January 21,
2005, the name of the Long Duration Bond Fund will be changed to the Long
Duration Fund and the name of the Extended Duration Bond Fund will be changed to
the Extended Duration Fund.
- --------------------------------------------------------------------------------
98 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
DISCLOSURE OF FUND EXPENSES (Unaudited)
All mutual funds have operating expenses. As a shareholder of a fund, your
investment is affected by these ongoing costs, which include (among others)
costs for portfolio management, administrative services, and shareholder reports
like this one. It is important for you to understand the impact of these costs
on your investment returns.
Operating expenses such as these are deducted from the fund's gross income and
directly reduce your final investment return. These expenses are expressed as a
percentage of the fund's average net assets; this percentage is known as the
fund's expense ratio.
The following examples use the expense ratio and are intended to help you
understand the ongoing costs (in dollars) of investing in your fund and to
compare these costs with those of other mutual funds. The examples are based on
an investment of $1,000 made at the beginning of the period shown and held for
the entire period.
The table on the next page illustrates your fund's costs in two ways:
o ACTUAL FUND RETURN. This section helps you to estimate the actual expenses
after fee waivers that your fund incurred over the period. The "Expenses Paid
During Period" column shows the actual dollar expense cost incurred by a $1,000
investment in the fund, and the "Ending Account Value" number is derived from
deducting that expense cost from the fund's gross investment return.
You can use this information, together with the actual amount you invested in
the fund, to estimate the expenses you paid over that period. Simply divide your
actual starting account value by $1,000 to arrive at a ratio (for example, an
$8,600 account value divided by $1,000 = $8.6), then multiply that ratio by the
number shown for your fund under "Expenses Paid During Period."
o HYPOTHETICAL 5% RETURN. This section helps you compare your fund's costs with
those of other mutual funds. It assumes that the fund had an annual 5% return
before expenses during the year, but that the expense ratio (Column 3) is
unchanged. This example is useful in making comparisons because the Securities
and Exchange Commission requires all mutual funds to make this 5% calculation.
You can assess your fund's comparative cost by comparing the hypothetical result
for your fund in the "Expense Paid During Period" column with those that appear
in the same charts in the shareholder reports for other funds.
NOTE: Because the return is set at 5% for comparison purposes -- NOT your fund's
actual return -- the account values shown do not apply to your specific
investment.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 99
- --------------------------------------------------------------------------------
DISCLOSURE OF FUND EXPENSES (Unaudited) (Concluded)
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
5/31/04 11/30/04 RATIOS PERIOD*
- --------------------------------------------------------------------------------
LARGE CAP FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,061.70 0.26% $1.34
Class T Shares 1,000.00 1,052.00 0.81 4.17
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.76 0.26% $1.32
Class T Shares 1,000.00 1,021.01 0.81 4.10
- --------------------------------------------------------------------------------
LARGE CAP DISCIPLINED EQUITY FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,062.10 0.32% $1.65
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.46 0.32% $1.62
- --------------------------------------------------------------------------------
LARGE CAP INDEX FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,058.60 0.13% $0.67
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.42 0.13% $0.66
- --------------------------------------------------------------------------------
SMALL CAP FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,102.20 0.54% $2.85
Class T Shares 1,000.00 1,098.80 1.09 5.73
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.36 0.54% $2.74
Class T Shares 1,000.00 1,019.60 1.09 5.52
- --------------------------------------------------------------------------------
SMALL/MID CAP EQUITY FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,113.40 0.63% $3.34
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,021.91 0.63% $3.19
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
5/31/04 11/30/04 RATIOS PERIOD*
- --------------------------------------------------------------------------------
CORE FIXED INCOME FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,038.50 0.15% $0.77
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.32 0.15% $0.76
- --------------------------------------------------------------------------------
LONG DURATION BOND FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,069.40 0.20% $1.04
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.07 0.20% $1.01
- --------------------------------------------------------------------------------
EXTENDED DURATION BOND FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,142.40 0.20% $1.07
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.07 0.20% $1.01
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,010.80 0.45% $2.27
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.81 0.45% $2.28
- --------------------------------------------------------------------------------
*Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by 183/365 (to reflect
one-half year period shown).
- --------------------------------------------------------------------------------
100 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
SHAREHOLDER VOTING RESULTS (Unaudited)
At a special meeting held on October 27, 2004, the shareholders of the SEI
Institutional Investments Trust voted on the proposals listed below. The results
of the voting were as follows:
PROPOSAL 1: To elect Trustees of the Trust
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
--------- ----------- -----------
Rosemarie B. Greco
Affirmative 482,445,113.044 67.685% 100.000%
Withhold .000 .000% .000%
TOTAL 482,445,113.044 67.685% 100.000%
Nina Lesavoy
Affirmative 482,445,113.044 67.685% 100.000%
Withhold .000 .000% .000%
TOTAL 482,445,113.044 67.685% 100.000%
James M. Williams
Affirmative 482,445,113.044 67.685% 100.000%
Withhold .000 .000% .000%
TOTAL 482,445,113.044 67.685% 100.000%
PROPOSAL 2: To approve eliminating or reclassifying certain fundamental
policies and restrictions for all Funds.
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
--------- ----------- -----------
LARGE CAP FUND
2(a) Fundamental Policy Regarding Diversification
Affirmative 76,848,098.151 65.253% 100.000%
Against .000 .000% .000%
Abstain .000 .000% .000%
TOTAL 76,848,098.151 65.253% 100.000%
2(b) Fundamental Policy Regarding Concentration
Affirmative 76,848,098.151 65.253% 100.000%
Against .000 .000% .000%
Abstain .000 .000% .000%
TOTAL 76,848,098.151 65.253% 100.000%
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
--------- ----------- -----------
2(c) Fundamental Policies Regarding Borrowing and Senior Securities
Affirmative 76,848,098.151 65.253% 100.000%
Against .000 .000% .000%
Abstain .000 .000% .000%
TOTAL 76,848,098.151 65.253% 100.000%
2(d) Fundamental Policy Regarding Lending
Affirmative 76,848,098.151 65.253% 100.000%
Against .000 .000% .000%
Abstain .000 .000% .000%
TOTAL 76,848,098.151 65.253% 100.000%
2(e) Fundamental Policy Regarding Purchase of Real Estate and Commodities
Affirmative 76,848,098.151 65.253% 100.000%
Against .000 .000% .000%
Abstain .000 .000% .000%
TOTAL 76,848,098.151 65.253% 100.000%
2(f) Fundamental Policy Regarding Underwriting of Securities
Affirmative 76,848,098.151 65.253% 100.000%
Against .000 .000% .000%
Abstain .000 .000% .000%
TOTAL 76,848,098.151 65.253% 100.000%
2(g) Fundamental Policy Regarding Investments in Oil and Gas
Affirmative 76,848,098.151 65.253% 100.000%
Against .000 .000% .000%
Abstain .000 .000% .000%
TOTAL 76,848,098.151 65.253% 100.000%
2(h) Fundamental Policy Making all Investment Limitations in Prospectus
Fundamental
Affirmative 76,848,098.151 65.253% 100.000%
Against .000 .000% .000%
Abstain .000 .000% .000%
TOTAL 76,848,098.151 65.253% 100.000%
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 101
- --------------------------------------------------------------------------------
SHAREHOLDER VOTING RESULTS (Unaudited) (Continued)
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
--------- ----------- -----------
2(i) Fundamental Policy Requiring That At Least 65% of a Fund's Assets be
Invested in Particular Types of Securities
Affirmative 76,848,098.151 65.253% 100.000%
Against .000 .000% .000%
Abstain .000 .000% .000%
TOTAL 76,848,098.151 65.253% 100.000%
LARGE CAP DISCIPLINED EQUITY FUND
2(a) Fundamental Policy Regarding Diversification
Affirmative 15,613,199.304 67.608% 98.230%
Against 281,268.000 1.218% 1.770%
Abstain .000 .000% .000%
TOTAL 15,894,467.304 68.826% 100.000%
2(b) Fundamental Policy Regarding Concentration
Affirmative 15,414,471.304 66.747% 96.980%
Against 479,996.000 2.079% 3.020%
Abstain .000 .000% .000%
TOTAL 15,894,467.304 68.826% 100.000%
2(c) Fundamental Policies Regarding Borrowing and Senior Securities
Affirmative 15,414,471.304 66.747% 96.980%
Against 479,996.000 2.079% 3.020%
Abstain .000 .000% .000%
TOTAL 15,894,467.304 68.826% 100.000%
2(d) Fundamental Policy Regarding Lending
Affirmative 15,414,471.304 66.747% 96.980%
Against 479,996.000 2.079% 3.020%
Abstain .000 .000% .000%
TOTAL 15,894,467.304 68.826% 100.000%
2(e) Fundamental Policy Regarding Purchase of Real Estate and Commodities
Affirmative 15,414,471.304 66.747% 96.980%
Against 479,996.000 2.079% 3.020%
Abstain .000 .000% .000%
TOTAL 15,894,467.304 68.826% 100.000%
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
--------- ----------- -----------
2(f) Fundamental Policy Regarding Underwriting of Securities
Affirmative 15,414,471.304 66.747% 96.980%
Against 479,996.000 2.079% 3.020%
Abstain .000 .000% .000%
TOTAL 15,894,467.304 68.826% 100.000%
LARGE CAP INDEX FUND
2(a) Fundamental Policy Regarding Diversification
Affirmative 2,464,113.000 85.715% 100.000%
Against .000 .000% .000%
Abstain .000 .000% .000%
TOTAL 2,464,113.000 85.715% 100.000%
2(b) Fundamental Policy Regarding Concentration
Affirmative 2,464,113.000 85.715% 100.000%
Against .000 .000% .000%
Abstain .000 .000% .000%
TOTAL 2,464,113.000 85.715% 100.000%
2(c) Fundamental Policies Regarding Borrowing and Senior Securities
Affirmative 2,464,113.000 85.715% 100.000%
Against .000 .000% .000%
Abstain .000 .000% .000%
TOTAL 2,464,113.000 85.715% 100.000%
2(d) Fundamental Policy Regarding Lending
Affirmative 2,464,113.000 85.715% 100.000%
Against .000 .000% .000%
Abstain .000 .000% .000%
TOTAL 2,464,113.000 85.715% 100.000%
2(e) Fundamental Policy Regarding Purchase of Real Estate and Commodities
Affirmative 2,464,113.000 85.715% 100.000%
Against .000 .000% .000%
Abstain .000 .000% .000%
TOTAL 2,464,113.000 85.715% 100.000%
- --------------------------------------------------------------------------------
102 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
--------- ----------- -----------
2(f) Fundamental Policy Regarding Underwriting of Securities
Affirmative 2,464,113.000 85.715% 100.000%
Against .000 .000% .000%
Abstain .000 .000% .000%
TOTAL 2,464,113.000 85.715% 100.000%
SMALL CAP FUND
2(a) Fundamental Policy Regarding Diversification
Affirmative 60,674,126.882 68.905% 92.915%
Against 4,626,801.457 5.254% 7.085%
Abstain .000 .000% .000%
TOTAL 65,300,928.339 74.159% 100.000%
2(b) Fundamental Policy Regarding Concentration
Affirmative 60,674,126.882 68.905% 92.915%
Against 4,626,801.457 5.254% 7.085%
Abstain .000 .000% .000%
TOTAL 65,300,928.339 74.159% 100.000%
2(c) Fundamental Policies Regarding Borrowing and Senior Securities
Affirmative 60,674,126.882 68.905% 92.915%
Against 4,626,801.457 5.254% 7.085%
Abstain .000 .000% .000%
TOTAL 65,300,928.339 74.159% 100.000%
2(d) Fundamental Policy Regarding Lending
Affirmative 60,674,126.882 68.905% 92.915%
Against 4,626,801.457 5.254% 7.085%
Abstain .000 .000% .000%
TOTAL 65,300,928.339 74.159% 100.000%
2(e) Fundamental Policy Regarding Purchase of Real Estate and Commodities
Affirmative 60,672,753.882 68.903% 92.913%
Against 4,628,174.457 5.256% 7.087%
Abstain .000 .000% .000%
TOTAL 65,300,928.339 74.159% 100.000%
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
--------- ----------- -----------
2(f) Fundamental Policy Regarding Underwriting of Securities
Affirmative 60,674,126.882 68.905% 92.915%
Against 4,626,801.457 5.254% 7.085%
Abstain .000 .000% .000%
TOTAL 65,300,928.339 74.159% 100.000%
2(g) Fundamental Policy Regarding Investments in Oil and Gas
Affirmative 60,672,753.882 68.903% 92.913%
Against 4,628,174.457 5.256% 7.087%
Abstain .000 .000% .000%
TOTAL 65,300,928.339 74.159% 100.000%
2(h) Fundamental Policy Making all Investment Limitations in Prospectus
Fundamental
Affirmative 60,674,126.882 68.905% 92.915%
Against 4,626,801.457 5.254% 7.085%
Abstain .000 .000% .000%
TOTAL 65,300,928.339 74.159% 100.000%
2(i) Fundamental Policy Requiring That At Least 65% of a Fund's Assets be
Invested in Particular Types of Securities
Affirmative 60,674,126.882 68.905% 92.915%
Against 4,626,801.457 5.254% 7.085%
Abstain .000 .000% .000%
TOTAL 65,300,928.339 74.159% 100.000%
SMALL/MID CAP EQUITY FUND
2(a) Fundamental Policy Regarding Diversification
Affirmative 2,970,367.656 66.765% 98.351%
Against 49,792.000 1.119% 1.649%
Abstain .000 .000% .000%
TOTAL 3,020,159.656 67.884% 100.000%
2(b) Fundamental Policy Regarding Concentration
Affirmative 2,916,000.656 65.543% 96.551%
Against 104,159.000 2.341% 3.449%
Abstain .000 .000% .000%
TOTAL 3,020,159.656 67.884% 100.000%
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 103
- --------------------------------------------------------------------------------
SHAREHOLDER VOTING RESULTS (Unaudited) (Continued)
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
--------- ----------- -----------
2(c) Fundamental Policies Regarding Borrowing and Senior Securities
Affirmative 2,916,000.656 65.543% 96.551%
Against 104,159.000 2.341% 3.449%
Abstain .000 .000% .000%
TOTAL 3,020,159.656 67.884% 100.000%
2(d) Fundamental Policy Regarding Lending
Affirmative 2,916,000.656 65.543% 96.551%
Against 104,159.000 2.341% 3.449%
Abstain .000 .000% .000%
TOTAL 3,020,159.656 67.884% 100.000%
2(e) Fundamental Policy Regarding Purchase of Real Estate and Commodities
Affirmative 2,916,000.656 65.543% 96.551%
Against 104,159.000 2.341% 3.449%
Abstain .000 .000% .000%
TOTAL 3,020,159.656 67.884% 100.000%
2(f) Fundamental Policy Regarding Underwriting of Securities
Affirmative 2,916,000.656 65.543% 96.551%
Against 104,159.000 2.341% 3.449%
Abstain .000 .000% .000%
TOTAL 3,020,159.656 67.884% 100.000%
CORE FIXED INCOME FUND
2(a) Fundamental Policy Regarding Diversification
Affirmative 218,283,962.078 67.358% 95.540%
Against 10,190,388.524 3.144% 4.460%
Abstain .000 .000% .000%
TOTAL 228,474,350.602 70.502% 100.000%
2(b) Fundamental Policy Regarding Concentration
Affirmative 218,266,419.078 67.352% 95.532%
Against 10,207,931.524 3.150% 4.468%
Abstain .000 .000% .000%
TOTAL 228,474,350.602 70.502% 100.000%
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
--------- ----------- -----------
2(c) Fundamental Policies Regarding Borrowing and Senior Securities
Affirmative 218,266,419.078 67.352% 95.532%
Against 10,207,931.524 3.150% 4.468%
Abstain .000 .000% .000%
TOTAL 228,474,350.602 70.502% 100.000%
2(d) Fundamental Policy Regarding Lending
Affirmative 218,266,419.078 67.352% 95.532%
Against 10,207,931.524 3.150% 4.468%
Abstain .000 .000% .000%
TOTAL 228,474,350.602 70.502% 100.000%
2(e) Fundamental Policy Regarding Purchase of Real Estate and Commodities
Affirmative 218,266,419.078 67.352% 95.532%
Against 10,207,931.524 3.150% 4.468%
Abstain .000 .000% .000%
TOTAL 228,474,350.602 70.502% 100.000%
2(f) Fundamental Policy Regarding Underwriting of Securities
Affirmative 218,283,962.078 67.358% 95.540%
Against 10,190,388.524 3.144% 4.460%
Abstain .000 .000% .000%
TOTAL 228,474,350.602 70.502% 100.000%
2(g) Fundamental Policy Regarding Investments in Oil and Gas
Affirmative 218,266,419.078 67.352% 95.532%
Against 10,207,931.524 3.150% 4.468%
Abstain .000 .000% .000%
TOTAL 228,474,350.602 70.502% 100.000%
2(h) Fundamental Policy Making all Investment Limitations in Prospectus
Fundamental
Affirmative 218,266,419.078 67.352% 95.532%
Against 10,207,931.524 3.150% 4.468%
Abstain .000 .000% .000%
TOTAL 228,474,350.602 70.502% 100.000%
- --------------------------------------------------------------------------------
104 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
--------- ----------- -----------
2(i) Fundamental Policy Requiring That At Least 65% of a Fund's Assets be
Invested in Particular Types of Securities
Affirmative 222,171,563.361 68.557% 97.241%
Against 6,302,787.241 1.945% 2.759%
Abstain .000 .000% .000%
TOTAL 228,474,350.602 70.502% 100.000%
LONG DURATION BOND FUND
2(a) Fundamental Policy Regarding Diversification
Affirmative 3,284,167.000 99.907% 100.000%
Against .000 .000% .000%
Abstain .000 .000% .000%
TOTAL 3,284,167.000 99.907% 100.000%
2(b) Fundamental Policy Regarding Concentration (FAILED)
Affirmative 652,929.000 19.863% 19.881%
Against 2,631,238.000 80.044% 80.119%
Abstain .000 .000% .000%
TOTAL 3,284,167.000 99.907% 100.000%
2(c) Fundamental Policies Regarding Borrowing and Senior Securities (FAILED)
Affirmative 652,929.000 19.863% 19.881%
Against 2,631,238.000 80.044% 80.119%
Abstain .000 .000% .000%
2(d) Fundamental Policy Regarding Lending (FAILED)
Affirmative 652,929.000 19.863% 19.881%
Against 2,631,238.000 80.044% 80.119%
Abstain .000 .000% .000%
TOTAL 3,284,167.000 99.907% 100.000%
2(e) Fundamental Policy Regarding Purchase of Real Estate and Commodities
(FAILED)
Affirmative 652,929.000 19.863% 19.881%
Against 2,631,238.000 80.044% 80.119%
Abstain .000 .000% .000%
TOTAL 3,284,167.000 99.907% 100.000%
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
--------- ----------- -----------
2(f) Fundamental Policy Regarding Underwriting of Securities
Affirmative 3,284,167.000 99.907% 100.000%
Against .000 .000% .000%
Abstain .000 .000% .000%
TOTAL 3,284,167.000 99.907% 100.000%
EXTENDED DURATION BOND FUND
2(a) Fundamental Policy Regarding Diversification
Affirmative 3,345,163.000 99.324% 100.000%
Against .000 .000% .000%
Abstain .000 .000% .000%
TOTAL 3,345,163.000 99.324% 100.000%
2(b) Fundamental Policy Regarding Concentration
Affirmative 2,957,265.000 87.806% 88.404%
Against 387,898.000 11.518% 11.596%
Abstain .000 .000% .000%
TOTAL 3,345,163.000 99.324% 100.000%
2(c) Fundamental Policies Regarding Borrowing and Senior Securities
Affirmative 2,957,265.000 87.806% 88.404%
Against 387,898.000 11.518% 11.596%
Abstain .000 .000% .000%
TOTAL 3,345,163.000 99.324% 100.000%
2(d) Fundamental Policy Regarding Lending
Affirmative 2,957,265.000 87.806% 88.404%
Against 387,898.000 11.518% 11.596%
Abstain .000 .000% .000%
TOTAL 3,345,163.000 99.324% 100.000%
2(e) Fundamental Policy Regarding Purchase of Real Estate and Commodities
Affirmative 2,957,265.000 87.806% 88.404%
Against 387,898.000 11.518% 11.596%
Abstain .000 .000% .000%
TOTAL 3,345,163.000 99.324% 100.000%
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004 105
- --------------------------------------------------------------------------------
SHAREHOLDER VOTING RESULTS (Unaudited) (Concluded)
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
--------- ----------- -----------
2(f) Fundamental Policy Regarding Underwriting of Securities
Affirmative 3,345,163.000 99.324% 100.000%
Against .000 .000% .000%
Abstain .000 .000% .000%
TOTAL 3,345,163.000 99.324% 100.000%
INTERNATIONAL EQUITY FUND
2(a) Fundamental Policy Regarding Diversification
Affirmative 105,828,058.504 72.577% 89.547%
Against 5,598,451.507 3.840% 4.737%
Abstain 6,754,901.000 4.632% 5.716%
TOTAL 118,181,411.011 81.049% 100.000%
2(b) Fundamental Policy Regarding Concentration
Affirmative 104,959,255.504 71.981% 88.812%
Against 6,467,254.507 4.436% 5.472%
Abstain 6,754,901.000 4.632% 5.716%
TOTAL 118,181,411.011 81.049% 100.000%
2(c) Fundamental Policies Regarding Borrowing and Senior Securities
Affirmative 104,959,255.504 71.981% 88.812%
Against 6,467,254.507 4.436% 5.472%
Abstain 6,754,901.000 4.632% 5.716%
TOTAL 118,181,411.011 81.049% 100.000%
2(d) Fundamental Policy Regarding Lending
Affirmative 104,959,255.504 71.981% 88.812%
Against 6,467,254.507 4.436% 5.472%
Abstain 6,754,901.000 4.632% 5.716%
TOTAL 118,181,411.011 81.049% 100.000%
2(e) Fundamental Policy Regarding Purchase of Real Estate and Commodities
Affirmative 104,959,255.504 71.981% 88.812%
Against 6,467,254.507 4.436% 5.472%
Abstain 6,754,901.000 4.632% 5.716%
TOTAL 118,181,411.011 81.049% 100.000%
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
--------- ----------- -----------
2(f) Fundamental Policy Regarding Underwriting of Securities
Affirmative 104,959,255.504 71.981% 88.812%
Against 6,467,254.507 4.436% 5.472%
Abstain 6,754,901.000 4.632% 5.716%
TOTAL 118,181,411.011 81.049% 100.000%
2(g) Fundamental Policy Regarding Investments in Oil and Gas
Affirmative 104,959,255.504 71.981% 88.812%
Against 6,467,254.507 4.436% 5.472%
Abstain 6,754,901.000 4.632% 5.716%
TOTAL 118,181,411.011 81.049% 100.000%
2(h) Fundamental Policy Making all Investment Limitations in Prospectus
Fundamental
Affirmative 104,959,255.504 71.981% 88.812%
Against 6,467,254.507 4.436% 5.472%
Abstain 6,754,901.000 4.632% 5.716%
TOTAL 118,181,411.011 81.049% 100.000%
2(i) Fundamental Policy Requiring That At Least 65% of a Fund's Assets be
Invested in Particular Types of Securities
Affirmative 104,959,255.504 71.981% 88.812%
Against 6,467,254.507 4.436% 5.472%
Abstain 6,754,901.000 4.632% 5.716%
TOTAL 118,181,411.011 81.049% 100.000%
- --------------------------------------------------------------------------------
106 SEI Institutional Investments Trust/Semi-Annual Report/November 30, 2004
- --------------------------------------------------------------------------------
NOTES
- --------------------------------------------------------------------------------
NOTES
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST SEMI-ANNUAL REPORT NOVEMBER 30, 2004
Robert A. Nesher, CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
Rosemarie B. Greco
Nina Lesavoy
James M. Storey
George J. Sullivan, Jr.
James M. Williams
OFFICERS
Edward D. Loughlin
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Peter (Pedro) A. Rodriguez
CONTROLLER AND CHIEF FINANCIAL OFFICER
Timothy D. Barto
VICE PRESIDENT, SECRETARY
John J. McCue
VICE PRESIDENT
Sofia A. Rosala
VICE PRESIDENT, ASSISTANT SECRETARY
Philip T. Masterson
VICE PRESIDENT, ASSISTANT SECRETARY
John J. Munera
VICE PRESIDENT, ASSISTANT SECRETARY
Thomas D. Jones, III
CHIEF COMPLIANCE OFFICER
INVESTMENT ADVISER
SEI Investments Management Corporation
ADMINISTRATOR
SEI Investments Fund Management
DISTRIBUTOR
SEI Investments Distribution Co.
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
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)
[BACKGROUND GRAPHIC OMITTED]
SEI INVESTMENTS
SEI Investments Distribution Co.
Oaks, PA 19456
1 800-DIAL-SEI (1 800 342 5734)
SEI-F-120 (11/04)
ITEM 2. CODE OF ETHICS.
Not applicable for semi-annual report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for semi-annual report.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for semi-annual report.
ITEMS 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not applicable to open-end investment management companies.
ITEM 6. SCHEDULE OF INVESTMENTS.
Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to open-end investment management companies.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable. Effective for closed-end management investment companies for
fiscal years ending on or after December 31, 2005
ITEM 9. PURCHASERS OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND
AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The Trust has a standing Nominating Committee (the "Committee") currently
consisting of the Independent Trustees. The Committee is responsible for
evaluating and recommending nominees for election to the Trust's Board of
Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June 18,
2004, the Committee will review all shareholder recommendations for nominations
to fill vacancies on the Board if such recommendations are submitted in writing
and addressed to the Committee at the Trust's office.
ITEM 11. 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. Based on their evaluation, the certifying
officers have concluded that 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 control over
financial reporting that occurred during the registrant's last fiscal half-year
that have materially affected, or are reasonably likely to materially affect,
the registrants internal control over financial reporting.
ITEMS 12. EXHIBITS.
(a)(1) Not applicable for semi-annual report.
(a)(2) A separate certification 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
Chief Executive Officer
Date: January 21, 2005
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
Chief Executive Officer
Date: January 21, 2005
By (Signature and Title)* /s/ Peter (Pedro) A. Rodriguez
------------------------------
Peter (Pedro) A. Rodriguez
Chief Financial Officer
Date January 21, 2005
* Print the name and title of each signing officer under his or her signature.