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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c/o CT Corporation
101 Federal St.
Boston, MA 02110
(Address of principal executive offices) (Zip code)
c/o CT Corporation
101 Federal St.
Boston, MA 02110
(Name and address of agent for service)
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 1-800-342-5734
DATE OF FISCAL YEAR END: MAY 31, 2005
DATE OF REPORTING PERIOD: MAY 31, 2005
ITEM 1. REPORTS TO STOCKHOLDERS.
[BACKGROUND GRAPHIC OMITTED]
SEI INVESTMENTS
Annual Report as of May 31, 2005
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 Fund
Extended Duration Fund
International Equity Fund
World Equity Ex-US Fund
TABLE OF CONTENTS
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Management's Discussion and Analysis of Fund Performance 1
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Report of Independent Registered Public Accounting Firm 10
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Statements of Net Assets/Schedules of Investments 12
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Statements of Assets and Liabilities 113
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Statements of Operations 114
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Statements of Changes in Net Assets 116
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Financial Highlights 119
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Notes to Financial Statements 121
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Trustees and Officers of the Trust 131
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Disclosure of Fund Expenses 134
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Board of Trustees Considerations in Approving the Advisory
and Sub-Advisory Agreements 136
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Notice to Shareholders 140
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Shareholder Voting Results 141
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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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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2005
Large Cap Fund
Objective
The Large Cap Fund (the "Fund") seeks to provide long-term growth of capital and
income.
Strategy
The Fund employs a multi-manager structure to gain exposure to the entire large
cap sector, adding value through stock selection while controlling risk in the
form of capitalization and economic sector exposures. The Fund is jointly
sub-advised by nine investment managers. Assets of the Fund are allocated among
its sub-advisers, each of which has responsibility for stock selection for its
respective assets under management. Each of the managers and their respective
source of added value assumes a different importance in determining overall
risk, and must therefore be weighted accordingly.
Analysis
The U.S. equity market advanced more than 9% for the fiscal year ended May 31,
2005, with nearly all of the gain coming during a strong market rally in the
fourth quarter of 2004. The equity markets stumbled in the summer of 2004 as an
inventory glut in the semi-conductor area dragged down the technology sector and
weighed on the market. After the uncertainty of the U.S. presidential election
passed, the market re-focused on corporations' healthy earnings and sent stocks
sharply higher. Two big pharmaceutical companies, Merck and Pfizer, saw their
stocks decline as their COX-2 inhibitor drugs were linked to heart problems.
Energy and commodity prices continued their steady rise through the first
quarter, which sent stocks in those sectors higher as well. Home builders also
benefited as long-term interest rates and 30-year mortgage rates remained at
attractive levels even though the Federal Reserve raised short-term interest
rates 200 basis points over the fiscal year. For the fiscal year ended May 31,
2005, the energy and utility sectors led the market, advancing more than 35%,
while information technology was the worst performing sector, registering a
decline of about 1%.
The Fund modestly lagged the overall market. Sector positioning was slightly
negative as the relative return benefit from the underweight to healthcare and
overweight to energy was offset by the underweight to utilities and industrials.
An overweight to and security selection in the software service sector also
weighed down returns. All of the value- oriented managers outperformed the broad
market, with LSV Asset Management leading the way, as stocks with lower
price/earnings ratios extended their multi-year winning streak over stocks with
more growth characteristics. The growth-oriented managers lagged the overall
market with the exception of Transamerica Investment Management, LCC
("Transamerica") and Delaware Management Company ("Delaware"). In April,
Transamerica was replaced with Delaware as the San Francisco-based equity team
left Transamerica to work at Delaware.
Large Cap Fund
AVERAGE ANNUAL TOTAL RETURN1
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Annualized Annualized Annualized
One Year 3 Year 5 Year Inception
Return Return Return to Date
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Large Cap Fund,
Class A 9.02% 5.51% (2.31)% 7.93%
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Large Cap Fund,
Class T 7.67% N/A N/A 14.05%
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[GRAPHIC OMITTED]
PLOT POINTS FOR EDGAR PURPOSES
Comparison of Change in the Value of a $100,000 Investment in the Large Cap
Fund, Class A, versus the Russell 1000 Index
Large Cap Fund, Russell 1000
Class A Index
6/30/96 $100,000 $100,000
5/31/97 $128,117 $126,975
5/31/98 $170,856 $165,969
5/31/99 $204,003 $199,677
5/31/00 $222,567 $223,559
5/31/01 $196,883 $199,481
5/31/02 $168,610 $172,870
5/31/03 $153,469 $159,542
5/31/04 $181,661 $189,712
5/31/05 $198,047 $207,582
1 For the period ended May 31, 2005. Past performance is no indication of future
performance. The performance of Class T shares may be lower than the
performance of Class A shares because of different distribution fees paid by
Class T shareholders. Class A shares were offered beginning 6/14/96 and Class
T shares were offered beginning 12/13/02. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares. The returns for certain periods reflect fee waivers
and/or reimbursements in effect for that period; absent fee waivers and
reimbursements, performance would have been lower.
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SEI Institutional Investments Trust / Annual Report / May 31, 2005 1
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2005
Large Cap Disciplined Equity Fund
Objective
The Large Cap Disciplined Equity Fund (the "Fund") seeks to provide capital
appreciation.
Strategy
The Fund seeks to exceed the total return of the S&P 500 Index, with a similar
level of volatility, by investing primarily in a portfolio of common stocks
included in the S&P 500 Index, as well as other equity securities. The Fund uses
a multi-manager approach, with four sub-advisers offering different investment
philosophies to manage portions of the Fund's portfolio. The sub-advisers rely
on rigorous application of proprietary stock analysis, rather than traditional
fundamental analysis, to select securities.
Analysis
The U.S. equity market advanced more than 9% for the fiscal year ended May 31,
2005, with nearly all of the gain coming during a strong market rally in the
fourth quarter of 2004. The equity markets stumbled in the summer of 2004 as an
inventory glut in the semi-conductor area dragged down the technology sector and
weighed on the market. After the uncertainty of the U.S. presidential election
passed, the market re-focused on corporations' healthy earnings and sent stocks
sharply higher. Two big pharmaceutical companies, Merck and Pfizer, saw their
stocks decline as their COX-2 inhibitor drugs were linked to heart problems.
Energy and commodity prices continued their steady rise through the first
quarter, which sent stocks in those sectors higher as well. Home builders also
benefited as long-term interest rates and 30-year mortgage rates remained at
attractive levels, even though the Federal Reserve raised short-term interest
rates 200 basis points over the fiscal year. For the fiscal year, the energy and
utility sectors led the market, advancing more than 35%, while information
technology was the worst performing sector, registering a decline of about 1%.
The Fund outperformed the large cap market for the fiscal year ended May 31,
2005. The Fund benefited from an overweight position in energy and healthcare
equipment & service, but was hurt by an underweight to real estate and
diversified financials throughout the fiscal year. All four managers in the Fund
outperformed the benchmark significantly. The best performing manager was
Analytic Investors, Inc., driven by specific positions in the retailing,
utilities and media industries. The other three managers also benefited from
positive stock selection.
Large Cap Disciplined Equity Fund
AVERAGE ANNUAL TOTAL RETURN1
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Annualized
One Year Inception
Return to Date
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Large Cap Disciplined Equity Fund,
Class A 10.26% 13.45%
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[GRAPHIC OMITTED]
PLOT POINTS FOR EDGAR PURPOSES
Comparison of Change in the Value of a $100,000 Investment in the Large Cap
Disciplined Equity Fund, Class A, versus the S&P 500 Composite Index
Large Cap
Disciplined Equity S&P 500
Fund, Class A Index
8/31/03 $100,000 $100,000
5/31/04 $112,560 $112,619
5/31/05 $124,109 $121,899
1 For the period ended May 31, 2005. Past performance is no indication of future
performance. Fund shares were offered beginning 8/28/03. Returns shown do not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares. The returns for certain
periods reflect fee waivers and/or reimbursements in effect for that period;
absent fee waivers and reimbursements, performance would have been lower.
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2 SEI Institutional Investments Trust / Annual Report / May 31, 2005
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Large Cap Index Fund
Objective
The Large Cap Index Fund (the "Fund") seeks to provide investment results that
correspond to the aggregate price and dividend performance of the securities in
the Russell 1000 Index (the "Index").
Strategy
The Fund attempts to match the performance of the widely followed Index by
replicating its composition in full. Deviation of performance between the Fund
and the Index, measured as tracking error, is typically attributable to trading
costs and cash reserves held for liquidity needs. The presence of cash in the
Fund may result in underperformance relative to the Index in rising markets and
out-performance in declining markets. To mitigate these effects, the Fund may
use stock index futures to hedge its cash position. Futures contracts enable the
Fund to maintain exposure to the market with reduced trading expenses, since the
cost of the futures contract is relatively nominal. The value of stock index
futures held by the Fund may not exceed 20% of the Fund's assets.
Analysis
The U.S. equity market advanced more than 9% for the fiscal year ending May 31,
2005, with nearly all of the gain coming during a strong market rally in the
fourth quarter of 2004. The equity markets stumbled in the summer of 2004 as an
inventory glut in the semi- conductor area dragged down the technology sector
and weighed on the market. After the uncertainty of the U.S. presidential
election passed, the market re-focused on corporations' healthy earnings and
sent stocks sharply higher. Two big pharmaceutical companies, Merck and Pfizer,
saw their stocks decline as their COX-2 inhibitor drugs were linked to heart
problems. Energy and commodity prices continued their steady rise through the
first quarter, which sent stocks in those sectors higher as well. Home builders
also benefited as long-term interest rates and 30-year mortgage rates remained
at attractive levels even though the Federal Reserve raised short-term interest
rates 200 basis points over the fiscal year. For the fiscal year, the energy and
utility sectors led the market, advancing more than 35%, while information
technology was the worst performing sector, registering a decline of about 1%.
Fund performance was in line with expectations, closely tracking the broad
market index for the fiscal year ended May 31, 2005.
Large Cap Index Fund
AVERAGE ANNUAL TOTAL RETURN1
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Annualized Annualized
One Year Three Year Inception
Return Return to Date
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Large Cap Index Fund,
Class A 9.29% 6.15% 3.57%
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[GRAPHIC OMITTED]
PLOT POINTS FOR EDGAR PURPOSES
Comparison of Change in the Value of a $100,000 Investment in the Large Cap
Index Fund, Class A, versus the Russell 1000 Index
Large Cap
Index Fund, Russell 1000
Class A Index
4/30/02 $100,000 $100,000
5/31/02 $ 99,050 $ 99,120
5/31/03 $ 91,334 $ 91,478
5/31/04 $108,423 $108,776
5/31/05 $118,495 $119,023
1 For the period ended May 31, 2005. Past performance is no indication of future
performance. Fund shares were offered beginning 4/01/02. Returns shown do not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares. The returns for certain
periods reflect fee waivers and/or reimbursements in effect for that period;
absent fee waivers and reimbursements, performance would have been lower.
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SEI Institutional Investments Trust / Annual Report / May 31, 2005 3
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2005
Small Cap Fund
Objective
The Small Cap Fund (the "Fund") seeks to provide capital appreciation.
Strategy
The Fund's investment philosophy is to add value through stock selection while
minimizing risk in the form of capitalization, valuation and economic sector
exposures. The Fund is sub-advised by 11 investment managers, who are
responsible for the stock selection of the investment portfolio.
Each sub-adviser employs a unique investment process that allows the Fund to
benefit from a variety of sub-styles in the small cap area of the market. The
various sub-styles are: real estate specialty, deep-value, contrarian value,
private business value, relative value, business momentum, GARP (growth at a
reasonable price), contrarian growth, relative growth, earnings momentum,
earnings growth and disciplined core.
Analysis
Equity markets' returns, including those of the domestic small cap market, did
not reach the heights seen in 2003 and early 2004, but still made for a solid
year. Stocks with conservative valuations continued to outperform the broad
market. The energy sector's success due to rising energy prices buoyed the
market, though returns have significantly slowed in 2005. A similar story arose
with regard to financials such as banks, insurance, and real estate, which
outperformed the broad market for the year but whose returns have slowed due to
possible overvaluation and worries of continued Fed tightening. Although
information technology was the worst performing sector over the past twelve
months, it was the top performer in May, and will add to returns should the
expected second stage of economic growth -- which would boost business spending
in technology -- come to fruition.
The Fund has performed well for the fiscal year ended May 31, 2005. Both stock
selection and industry positioning contributed to the return. An overweight to
the outperforming energy sector, due mostly to Artisan Partners Limited
Partnership, provided an advantage to the Fund. Stock selection in financials
also considerably added to performance.
The Fund both was overweight the underperforming information technology sector
and had negative stock selection in this sector, which did somewhat diminish the
Fund's return. However, the Fund is poised to capitalize on the gains expected
in technology going forward. Wellington Management Company, LLP and McKinley
Capital Management Inc. posted strong returns for the Fund due to stock
selection in the energy and health care sectors, respectively. They both were
able to add significant value in technology as well. However, their performance
was mitigated by Mazama Capital Management Inc. and David J. Greene and Company,
LLC which were hurt by securities in the information technology sector.
The Fund is positioned to capture the opportunities in the small cap area of the
market under a variety of market conditions. To this end, the Fund targets a
style-neutral position relative to the Russell 2000 Index, in order to control
unnecessary risks and put the focus on stock selection by the specialist
sub-advisers.
Small Cap Fund
AVERAGE ANNUAL TOTAL RETURN1
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Annualized Annualized Annualized
One Year 3 Year 5 Year Inception
Return Return Return to Date
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Small Cap Fund,
Class A 9.81% 10.47% 7.22% 9.39%
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Small Cap Fund,
Class T 9.14% N/A N/A 20.09%
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[GRAPHIC OMITTED]
PLOT POINTS FOR EDGAR PURPOSES
Comparison of Change in the Value of a $100,000 Investment in the Small Cap
Fund, Class A, versus the Russell 2000 Index
Small Cap Fund, Russell 2000
Class A Index
6/30/96 $100,000 $100,000
5/31/97 $111,993 $111,558
5/31/98 $141,873 $135,253
5/31/99 $133,630 $131,615
5/31/00 $161,773 $144,658
5/31/01 $175,345 $152,889
5/31/02 $170,103 $152,125
5/31/03 $158,485 $139,681
5/31/04 $208,819 $181,990
5/31/05 $229,304 $199,862
1 For the period ended May 31, 2005. Past performance is no indication of future
performance. The performance of Class T shares may be lower than the
performance of Class A shares because of different distribution fees paid by
Class T shareholders. Class A shares were offered beginning 6/14/96 and Class
T shares were offered beginning 11/26/02. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares. The returns for certain periods reflect fee waivers
and/or reimbursements in effect for that period; absent fee waivers and
reimbursements, performance would have been lower.
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4 SEI Institutional Investments Trust / Annual Report / May 31, 2005
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Small/Mid Cap Equity Fund
Objective
The Small/Mid Cap Fund (the "Fund") seeks to provide long-term capital
appreciation.
Strategy
The Fund's investment philosophy is to add value through stock selection while
minimizing risk in the form of capitalization, valuation and economic sector
exposures. The Fund is sub-advised by nine investment managers who are
responsible for the stock selection of the investment portfolio.
Each sub-adviser employs a unique investment process that allows the Fund to
benefit from a variety of sub-styles in the small-mid cap area of the market.
The various sub-styles are: real estate specialty, business momentum, relative
growth, opportunistic value, earnings growth, GARP (growth at a reasonable
price), contrarian growth, contrarian value and disciplined core.
Analysis
Equity markets' returns, including those of the domestic small-mid cap market,
did not reach the heights seen in 2003 and early 2004, but still made for a
solid fiscal year ended May 31, 2005. Stocks with conservative valuations
continued to outperform the broad market. The energy sector's success due to
rising energy prices buoyed the market, though returns have significantly slowed
in 2005. A similar story arose with regard to financials such as insurance and
real estate which outperformed the broad market for the period, but whose
returns have slowed this calendar year due to possible overvaluation and worries
of continued Fed tightening. Although information technology was the worst
performing sector over the past twelve months, it was the top performer in May,
and will add to returns should the expected second stage of economic growth --
which would boost business spending in technology -- come to fruition.
The Fund has performed well for the fiscal year ended May 31, 2005. Superior
stock selection -- especially in the financials and consumer discretionary
sectors -- accounted for a sizeable portion of the return. Both an overweight
to, and stock selection skill in, the health care sector also significantly
benefited the Fund. Conversely, being underweight the outperforming utilities
sector and experiencing poor stock selection in industrials somewhat diminished
the Fund's return. However, the Fund is poised to capitalize on the gains
expected in technology going forward.
Six of the nine managers in the Fund outperformed for the period. Integrity
Asset Management, LLC, Martingale Asset Management, L.P. and Wellington
Management Company, LLP boosted returns with positive stock selection in health
care and financials, while Blackrock Advisors, Inc. prevailed in the industrials
and information technology spaces. Security Capital Research and Management
Incorporated, which specializes in real estate, also added to the Fund's
performance. On the other side of the coin, weak stock selection in industrials
hurt Lee Munder Investments, Ltd's and LSV Asset Management's returns.
The Fund is positioned to capture the opportunities in the small-mid cap area of
the market under a variety of market conditions. To this end, the Fund targets a
style-neutral position relative to the Russell 2500 Index, in order to control
unnecessary risks and put the focus on stock selection by the specialist
sub-advisers.
Small/Mid Cap Equity Fund
AVERAGE ANNUAL TOTAL RETURN1
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Annualized
One Year Inception
Return to Date
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Small/Mid Cap Equity Fund,
Class A 13.38% 14.26%
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[GRAPHIC OMITTED]
PLOT POINTS FOR EDGAR PURPOSES
Comparison of Change in the Value of a $100,000 Investment in the Small/Mid Cap
Equity Fund, Class A, versus the Russell 2500 Index
Small/Mid Cap
Equity Fund, Russell 2500
Class A Index
12/31/03 $100,000 $100,000
5/31/04 $102,767 $102,862
5/31/05 $116,517 $116,049
1 For the period ended May 31, 2005. Past performance is no indication of future
performance. Fund shares were offered beginning 12/15/03. Returns shown do not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares. The returns for certain
periods reflect fee waivers and/or reimbursements in effect for that period;
absent fee waivers and reimbursements, performance would have been lower.
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SEI Institutional Investments Trust / Annual Report / May 31, 2005 5
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2005
Core Fixed Income Fund
Objective
The Core Fixed Income Fund (the "Fund") seeks to provide current income
consistent with the preservation of capital.
Strategy
The Fund's investment strategy focuses on sector rotation, both among and within
sectors, and issue selection. Risk is principally controlled by explicitly
limiting fund interest rate exposure relative to the Lehman Aggregate Bond
Index. The Fund's sub-advisers focus on four key areas in determining portfolio
structure: duration weighting, term structure, sector allocation, and issue
selection. While the duration and term structure decision underlie the
implementation process, the sub-advisers primarily concentrate on sector and
issue selection to add value. In addition, the sub-advisers may use derivatives
for tactical hedging purposes and to implement portfolio strategies more
efficiently.
Analysis
The fiscal year ended May 31, 2005 proved to be a challenging, yet rewarding,
environment for fixed income investors. Fairly robust economic growth prompted
interest rate expectations to move higher and the Federal Reserve delivered, as
they increased the Federal Funds rate by 25 basis points at each of their eight
meetings, for a total of 200 basis points. The move to higher interest rates on
short-maturity securities met with resistance on ten and thirty year maturities
as strong investor demand and nervousness surrounding inflation caused
longer-term interest rates to decline. These shifts in interest rates caused the
yield curve to flatten by over 2% as the yield on the two-year Treasury
increased 0.98% while the yield on the 30-year U.S. Treasury declined 1.08%.
While interest rates seesawed throughout the period based on varying bullish and
bearish economic statistics, credit spreads followed a one-way trajectory lower
until March 2005 as corporations continued to de-lever their balance sheets and
supply remained contained. The springtime spurt of widening corporate spreads,
stimulated by the downgrade of General Motors to below investment grade, created
quite a stir but was quickly assimilated by the market. The Asset-Backed
Security (ABS) and Commercial Mortgage-Backed Securities (CMBS) sectors of the
market also turned in a solid performance, generating 99 and 122 basis points of
excess return, respectively. Despite the intra-period volatility of interest
rates, the mortgage sector performed well, posting 171 basis points of excess
return.
The investment-grade fixed income market returned 6.82% for the fiscal year, as
measured by the Lehman Aggregate Bond Index. The Fund posted robust performance
for the same period, due primarily to yield curve positioning. An overweight to
the credit sector, specifically in the lower rated investment grade area,
additionally contributed to performance. On top of that, the portfolio's issue
selection in corporate bonds and exposure to the ABS and CMBS structured sectors
also enhanced returns. An underweight to the mortgage sector detracted from
performance even though the security selection emphasized issues that were less
sensitive to interest rate movements. Finally, the Fund enjoyed the incremental
return and diversification benefits from TIPS (Treasury Inflation Protection
Securities) as higher commodity prices and the perceived increase in inflation
caused real yields to drop considerably and outperform nominal Treasuries.
Core Fixed Income Fund
AVERAGE ANNUAL TOTAL RETURN1
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Annualized Annualized Annualized
One Year 3 Year 5 Year Inception
Return Return Return to Date
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Core Fixed Income Fund,
Class A 6.77% 6.25% 7.78% 7.22%
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[GRAPHIC OMITTED]
PLOT POINTS FOR EDGAR PURPOSES
Comparison of Change in the Value of a $100,000 Investment in the Core Fixed
Income Fund, Class A, versus the Lehman Aggregate Bond Index
Core Fixed Lehman
Income Fund, Aggregate
Class A Bond Index
6/30/96 $100,000 $100,000
5/31/97 $106,847 $106,886
5/31/98 $119,242 $118,557
5/31/99 $124,190 $123,703
5/31/00 $126,761 $126,313
5/31/01 $144,406 $142,873
5/31/02 $153,691 $154,460
5/31/03 $170,751 $172,346
5/31/04 $172,680 $171,588
5/31/05 $184,371 $183,307
1 For the period ended May 31, 2005. Past performance is no indication of future
performance. Fund shares were offered beginning 6/14/96. Returns shown do not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares. The returns for certain
periods reflect fee waivers and/or reimbursements in effect for that period;
absent fee waivers and reimbursements, performance would have been lower.
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6 SEI Institutional Investments Trust / Annual Report / May 31, 2005
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Long Duration Fund
Objective
The Long Duration Fund (the "Fund") seeks to duplicate the return
characteristics similar to those of high-quality corporate bonds, with a
duration range of 10-13 years.
Strategy
The Fund's investment strategy is designed to aid investors, especially
corporate pension plans, with asset/liability management in order to reduce
funding status volatility caused by changes in interest rates. The Fund seeks to
duplicate the risk and return characteristics of a long fixed income securities
portfolio (approximate duration of 10 to 13 years) by using cash bonds and
derivative securities, including interest rate swap agreements and Treasury
futures contracts, for the purpose of managing the overall duration of the Fund.
Additionally, the Fund will invest in other fixed income securities, including
U.S. Agency, corporate and structured securities, to produce incremental return.
Analysis
The fiscal year ended May 31, 2005 proved to be a challenging environment for
fixed income investors. Fairly robust economic growth prompted interest rate
expectations to move higher and the Federal Reserve delivered, as they increased
the Federal Funds rate by 25 basis points at each of their eight meetings, for a
total of 200 basis points. The move to higher interest rates on short-maturity
securities met with resistance on ten and thirty year maturities as strong
investor demand and nervousness surrounding inflation caused longer-term
interest rates to decline. These shifts in interest rates caused the yield curve
to flatten by over 2.00% as the yield on the two-year Treasury increased 0.98%
while the yield on the 30-year U.S. Treasury declined over 1.00%.
While interest rates seesawed throughout the period based on varying bullish and
bearish economic statistics, swap spreads, which essentially replicate
high-quality fixed income spreads, ground marginally tighter. Meanwhile, credit
spreads followed a one-way trajectory lower until March 2005, as corporations
continued to deliver their balance sheets and supply remained contained.
However, the springtime spurt of widening corporate spreads, stimulated by the
downgrade of General Motors to below investment grade, proved to be disruptive,
especially for the higher-beta credits at the long end of the market. Other
spread sectors, including the Asset-Backed Security (ABS) and Commercial
Mortgage-Backed Securities (CMBS) sectors of the market, turned in a solid
performance, generating 99 and 122 basis points of excess return, respectively.
Despite the intra-period volatility of interest rates, the mortgage sector also
performed well, posting 171 basis points of excess return.
The Lehman 15 Year Bellweather Swap Index returned 15.92% for the fiscal year.
The Fund underperformed this benchmark due to a combination of factors. The Fund
maintained a slightly shorter-than-benchmark duration for the year with the
expectation of gradually rising interest rates. While short term rates
increased, long rates declined. Additionally, the Fund was positioned to benefit
from widening swap spreads, but spreads instead tightened. Finally, corporate
bond positioning, especially in the automotive sector, detracted from
performance as well.
Long Duration Fund
AVERAGE ANNUAL TOTAL RETURN1
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Annualized
One Year Inception
Return to Date
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Long Duration Fund,
Class A 15.26% 11.84%
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[GRAPHIC OMITTED]
PLOT POINTS FOR EDGAR PURPOSES
Comparison of Change in the Value of a $100,000 Investment in the Long Duration
Fund, Class A, versus the Lehman Long U.S. Treasury Index and Lehman 15 Year
Bellweather Swap Index2
Long Duration Lehman Long Lehman 15 Year
Fund Fund, U.S. Treasury Bellweather
Class A Index Swap Index2
4/30/04 $100,000 $100,000 $100,000
5/31/04 $ 99,140 $ 99,510 $ 99,160
5/31/05 $114,269 $115,561 $114,946
1 For the period ended May 31, 2005. Past performance is no indication of future
performance. Fund shares were offered beginning 4/21/04. Returns shown do not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares. The returns for certain
periods reflect fee waivers and/or reimbursements in effect for that period;
absent fee waivers and reimbursements, performance would have been lower.
2 The Lehman 15 Year Bellweather Swap Index is the most appropriate measure of
the Fund's performance.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 7
- --------------------------------------------------------------------------------
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2005
Extended Duration Fund
Objective
The Extended Duration Fund (the "Fund") seeks to duplicate return
characteristics similar to those of high-quality corporate bonds, with a
duration range of 23-26 years.
Strategy
The Fund's investment strategy is designed to aid investors, especially
corporate pension plans, with asset/liability management in order to reduce
funding status volatility caused by changes in interest rates. The Fund seeks to
duplicate the risk and return characteristics of a long fixed income securities
portfolio (approximate duration of 23 to 26 years) by using cash bonds and
derivative securities, including interest rate swap agreements and Treasury
futures contracts, for the purpose of managing the overall duration of the Fund.
Additionally, the Fund will invest in other fixed income securities, including
U.S. Agency, corporate and structured securities, to produce incremental return.
Analysis
The fiscal year ended May 31, 2005 proved to be a challenging environment for
fixed income investors. Fairly robust economic growth prompted interest rate
expectations to move higher and the Federal Reserve delivered, as they increased
the Federal Funds rate by 25 basis points at each of their eight meetings, for a
total of 200 basis points. The move to higher interest rates on short maturity
securities met with resistance on ten and thirty year maturities as strong
investor demand and nervousness surrounding inflation caused longer term
interest rates to decline. These shifts in interest rates caused the yield curve
to flatten by over 2.00% as the yield on the two year Treasury increased 0.98%
while the yield on the 30 year U.S. Treasury declined over 1.00%.
While interest rates seesawed throughout the period based on varying bullish and
bearish economic statistics, swap spreads, which essentially replicate high
quality fixed income spreads, ground marginally tighter. Meanwhile credit
spreads followed a one-way trajectory lower until March 2005, as corporations
continued to de-lever their balance sheets and supply remained contained.
However, the springtime spurt of widening corporate spreads, stimulated by the
downgrade of General Motors to below investment grade, proved to be disruptive,
especially for the higher beta credits at the long end of the market. Other
spread sectors, including the Asset-Backed Security (ABS) and Commercial
Mortgage-Backed Securities (CMBS) sectors of the market, turned in a solid
performance, generating 99 and 122 basis points of excess return, respectively.
Despite the intra- period volatility of interest rates, the mortgage sector also
performed well, posting 171 basis points of excess return.
The Hybrid benchmark, (2xLehman 20 Year Bellweather Swap Index)-Lehman 3 Month
Bellweather Swap Index, returned 37.11% for the fiscal year. The Fund
underperformed this benchmark due to a combination of factors. The Fund
maintained a slightly shorter-than-benchmark duration for the year with the
expectation of gradually rising interest rates. While short term rates
increased, long rates declined. Additionally, the Fund was positioned to benefit
from widening swap spreads, but spreads instead tightened. Finally, corporate
bond positioning, especially in the automotive sector, detracted from
performance as well.
Extended Duration Fund
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized
One Year Inception
Return to Date
- --------------------------------------------------------------------------------
Extended Duration Fund,
Class A 35.74% 27.12%
- --------------------------------------------------------------------------------
[GRAPHIC OMITTED]
PLOT POINTS FOR EDGAR PURPOSES
Comparison of Change in the Value of a $100,000 Investment in the Extended
Duration Fund, Class A, versus Lehman 20 Year U.S. Treasury Strip Index and a
Hybrid (2xLehman 20 Year Bellweather Swap Index)-Lehman 3 Month Bellweather Swap
Index2
Hybrid
(2xLehman 20 Year
Bellweather Swap
Index)-Lehman
Extended Lehman 20 Year 3 Month
Duration Fund, U.S. Treasury Bellweather
Class A Strip Index Swap Index2
4/30/04 $100,000 $100,000 $100,000
5/31/04 $ 97,610 $ 99,820 $ 98,310
5/31/05 $132,496 $134,687 $134,793
1 For the period ended May 31, 2005. Past performance is no indication of future
performance. Fund shares were offered beginning 4/21/04. Returns shown do not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares. The returns for certain
periods reflect fee waivers and/or reimbursements in effect for that period;
absent fee waivers and reimbursements, performance would have been lower.
2 The Hybrid (2xLehman 20 Year Bellweather Swap Index)-Lehman 3 Month
Bellweather Swap Index is the most appropriate measure of the Fund's
performance.
- --------------------------------------------------------------------------------
8 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
International Equity Fund
Objective
The International Equity Fund (the "Fund") seeks to provide capital
appreciation.
Strategy
The Fund is diversified across 34 markets and includes commitments to large-cap
and small-cap shares. Exposure is also maintained in growth and value styles of
active management. The Fund employs multiple sub-advisers, each providing unique
regional or style management specialties. Allocations to the sub-advisers are
carefully managed to ensure proper geographic and market exposure. Emphasis is
placed on active security selection as the principal source of value added as
opposed to active country allocation. The Fund does not hedge foreign currency
exposure.
Analysis
International equity markets posted strong absolute returns for the fiscal year
ended May 31, 2005. There was significant dispersion in returns among sectors,
with the energy, materials and utilities sectors leading the way by returning
over 20% during the period. In contrast, the information technology sector
lagged the broader market and returned a modestly negative 0.1% during the same
period.
There was also a wide level of dispersion on a country level. Several
continental European countries, such as Austria and Norway, returned 30% for the
period. Japan had a disappointing year as a follow-up to strong prior year
performance; concerns arose around macroeconomic reports despite continuing
improvement in the microeconomic environment.
The Fund modestly underperformed the MSCI EAFE benchmark by 0.3% for the fiscal
year ended May 31, 2005.
The Fund enhanced relative returns via strong stock selection in the
telecommunications sector. Strong stock selection on a sector basis was muted,
however, by underperformance due to relative sector weightings versus the MSCI
EAFE Index. For instance, both the overweight to information technology and the
underweight to utilities were detractors for the period.
On a country level, the Fund slightly underperformed the benchmark as a result
of positioning. More specifically, the Fund lost relative performance because of
the slight overweight it maintains to Japan and its underweight to the strong-
performing Australian market. Stock selection within the United Kingdom was
strong during this period, however, helping to offset some of the negative
positioning losses in the portfolio.
International Equity Fund
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized Annualized Annualized
One Year 3 Year 5 Year Inception
Return Return Return to Date
- --------------------------------------------------------------------------------
International Equity Fund,
Class A 13.73% 8.63% (1.14)% 4.42%
- --------------------------------------------------------------------------------
[GRAPHIC OMITTED]
PLOT POINTS FOR EDGAR PURPOSES
Comparison of Change in the Value of a $100,000 Investment in the International
Equity Fund, Class A, versus the Morgan Stanley MSCI EAFE Index
International Morgan Stanley
Equity Fund, MSCI EAFE
Class A Index
6/30/96 $100,000 $100,000
5/31/97 $106,802 $106,950
5/31/98 $117,909 $118,833
5/31/99 $126,080 $124,014
5/31/00 $154,852 $145,270
5/31/01 $126,653 $120,240
5/31/02 $114,077 $108,697
5/31/03 $ 97,615 $ 95,327
5/31/04 $128,589 $126,461
5/31/05 $146,244 $144,949
1 For the period ended May 31, 2005. Past performance is no indication of future
performance. Fund shares were offered beginning 6/14/96. Returns shown do not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares. The returns for certain
periods reflect fee waivers and/or reimbursements in effect for that period;
absent fee waivers and reimbursements, performance would have been lower.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 9
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2005
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of
SEI Institutional Investments Trust
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments of the Core Fixed Income Fund, Long Duration Fund
and Extended Duration Fund and the statements of net assets of the Large Cap
Fund, Large Cap Disciplined Equity Fund, Large Cap Index Fund, Small Cap Fund,
Small/Mid Cap Equity Fund, International Equity Fund and World Equity Ex-US Fund
(collectively, the "Funds" comprising the SEI Institutional Investments Trust,
hereafter referred to as the "Trust"), and the related statements of operations
and of changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of each of the Funds at May 31, 2005,
and the results of each of their operations, the changes in each of their net
assets and financial highlights for each of the periods indicated, in conformity
with accounting principles generally accepted in the United States of America.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Trust's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with the standards of the Public Company Accounting Oversight Board (United
States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at May 31, 2005 by
correspondence with the custodians and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
July 27, 2005
- --------------------------------------------------------------------------------
10 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
This page intentionally left blank.
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
Large Cap Fund
May 31, 2005
- --------------------------------------------------------------------------------
[THE FOLLOWING WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
SECTOR WEIGHTINGS (UNAUDITED)++
23.3% Financials
14.6% Information Technology
13.8% Consumer Discretionary
10.7% Health Care
9.4% Industrials
7.9% Energy
7.5% Consumer Staples
3.0% Short-Term Investments
2.8% Telecommunication Services
2.6% Materials
2.2% Utilities
1.8% Asset-Backed Securities
0.3% Certificates of Deposit
0.1% U.S. Treasury Obligations
0.0% Warrants
++Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 98.3%
CONSUMER DISCRETIONARY -- 15.0%
Abercrombie & Fitch, Cl A 17,600 $ 1,009
Aeropostale* 16,000 436
American Eagle Outfitters 53,000 1,500
Autoliv 74,633 3,464
Autonation (B)* 47,500 950
Barnes & Noble* 23,900 905
Bed Bath & Beyond* 104,900 4,264
BJ's Wholesale Club* 16,900 510
BorgWarner 22,600 1,208
Carnival 96,000 5,078
Centex (B) 32,074 2,100
Clear Channel Communications (B) 83,280 2,434
Coach* 47,000 1,365
Comcast, Cl A* 141,780 4,565
Comcast, Special Cl A (B)* 54,996 1,740
Dana 45,400 615
Darden Restaurants 83,900 2,725
Delphi (B) 108,900 474
Dillard's, Cl A 8,200 196
DR Horton 83,529 2,888
Eastman Kodak (B) 54,000 1,419
eBay* 639,416 24,304
EchoStar Communications, Cl A* 39,801 1,163
Federated Department Stores (B) 47,883 3,230
Ford Motor 212,200 2,118
Fortune Brands 10,000 865
Gannett 28,469 2,120
General Motors (B) 72,161 2,275
Goodyear Tire & Rubber (B)* 59,400 855
Harrah's Entertainment (B) 51,834 3,722
Hasbro 41,300 834
Home Depot 168,698 6,638
International Game Technology 270,000 7,609
Interpublic Group (B)* 37,300 460
JC Penney 39,100 1,946
Johnson Controls 17,600 997
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
KB Home 29,800 $ 2,013
Kohl's* 186,296 9,071
Lamar Advertising, Cl A* 37,021 1,548
Lennar, Cl A 10,500 609
Liberty Media International, Cl B (B)* 210,000 8,801
Limited Brands 127,900 2,631
Lowe's 194,715 11,140
Magna International, Cl A 4,600 313
Marriott International, Cl A (B) 74,967 5,063
Mattel (B) 63,700 1,158
Maytag (B) 25,200 368
McDonald's 514,200 15,909
McGraw-Hill 157,016 6,855
McLeodUSA, Cl A (B) (F) (H)* 92,300 --
MGM Mirage* 180,000 6,856
Nike, Cl B (B) 39,200 3,222
Nordstrom 7,800 476
NVR (B)* 1,100 835
OfficeMax 8,540 259
Omnicom Group 46,353 3,796
Polaris Industries (B) 17,300 908
Pulte Homes 9,500 726
Ryland Group (B) 13,600 932
Sherwin-Williams 41,312 1,836
Standard-Pacific 11,600 929
Stanley Works 45,019 2,008
Staples 450,000 9,689
Starwood Hotels & Resorts Worldwide 27,801 1,556
Station Casinos 22,375 1,457
Target (B) 179,500 9,639
Time Warner* 598,337 10,411
Toll Brothers (B)* 10,300 954
Univision Communications, Cl A (B)* 156,925 4,176
Valassis Communications (B)* 44,086 1,529
VF 39,600 2,235
Viacom, Cl B 319,900 10,969
Walt Disney 328,326 9,009
Wendy's International 34,900 1,575
Whirlpool (B) 25,800 1,775
XM Satellite Radio Holdings, Cl A (B)* 308,900 9,919
----------
262,136
----------
CONSUMER STAPLES -- 8.1%
Albertson's (B) 75,000 1,574
Altria Group 268,671 18,039
Anheuser-Busch 39,900 1,869
Archer-Daniels-Midland 179,900 3,571
Avon Products 82,262 3,269
Coca-Cola 13,500 602
Colgate-Palmolive 86,987 4,347
ConAgra Foods (B) 35,300 923
Costco Wholesale (B) 38,200 1,735
CVS 36,600 2,007
- --------------------------------------------------------------------------------
12 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Dean Foods* 23,600 $ 920
Energizer Holdings* 33,600 2,113
Estee Lauder, Cl A 75,600 2,955
General Mills 60,600 3,000
Gillette 348,303 18,369
Kimberly-Clark 49,900 3,210
Kroger* 120,100 2,014
Molson Coors Brewing, Cl B 11,900 696
Pepsi Bottling Group 66,300 1,881
PepsiAmericas 39,500 957
PepsiCo 262,098 14,746
Procter & Gamble (B) 194,410 10,722
Reynolds American (B) 31,500 2,612
Rite Aid (B)* 52,600 208
Safeway* 92,272 2,031
Sara Lee 60,200 1,221
Smithfield Foods* 29,900 892
Supervalu 62,000 2,031
Tyson Foods, Cl A 60,000 1,108
UST (B) 28,500 1,270
Wal-Mart Stores 363,686 17,177
Walgreen 239,000 10,836
WM Wrigley Jr 54,749 3,738
----------
142,643
----------
ENERGY -- 8.6%
Amerada Hess (B) 34,400 3,194
Anadarko Petroleum 33,100 2,506
Burlington Resources 60,000 3,041
ChevronTexaco 406,836 21,880
ConocoPhillips 250,813 27,048
Devon Energy 34,800 1,597
Diamond Offshore Drilling (B) 11,200 529
El Paso 92,431 956
Exxon Mobil 1,013,137 56,938
Halliburton 96,000 4,103
Marathon Oil 60,012 2,910
Nabors Industries (B)* 4,700 259
Noble (B) 27,500 1,557
Noble Energy 8,287 616
NRG Energy* 24,600 879
Occidental Petroleum 39,641 2,898
PetroKazakhstan, Cl A 29,000 809
Pride International* 16,300 368
Schlumberger 120,415 8,233
Sunoco 10,300 1,056
Talisman Energy 27,600 918
Unit* 11,000 429
Unocal 46,023 2,623
Valero Energy 40,900 2,807
Western Gas Resources 16,600 532
Williams 102,000 1,878
----------
150,564
----------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
FINANCIALS -- 20.5%
A.G. Edwards 57,600 $ 2,379
ACE 3,600 156
Aflac 8,700 361
Allstate 101,049 5,881
American Express 84,200 4,534
American International Group 256,727 14,261
AmSouth Bancorp (B) 63,770 1,700
Astoria Financial 47,511 1,308
Bank of America 759,518 35,181
Bank of New York 17,975 518
BB&T (B) 27,433 1,096
Bear Stearns (B) 33,300 3,298
CBL & Associates Properties+ 7,000 570
Charles Schwab 970,941 11,010
Chicago Mercantile Exchange Holdings 33,000 7,134
Chubb (B) 35,616 3,000
Cincinnati Financial 19,635 775
CIT Group 26,400 1,120
Citigroup 734,978 34,625
Comerica 75,291 4,207
Commerce Bancorp (B) 30,400 844
Countrywide Financial 114,400 4,252
Crescent Real Estate Equity EQT+ 22,300 410
Downey Financial 12,100 908
E*Trade Financial* 36,600 452
Endurance Specialty Holdings 24,300 886
Equity Office Properties Trust+ 47,700 1,550
Equity Residential+ (B) 46,300 1,662
Fannie Mae 71,774 4,252
Fidelity National Financial 36,934 1,329
First American 60,815 2,354
First Horizon National (B) 26,669 1,126
Franklin Resources 93,800 6,767
Freddie Mac 143,194 9,313
Friedman Billings Ramsey Group,
Cl A+ (B) 103,300 1,348
General Growth Properties+ (B) 19,700 767
Golden West Financial (B) 21,220 1,329
Goldman Sachs Group 184,458 17,985
Hartford Financial Services Group (B) 60,275 4,508
Huntington Bancshares 52,473 1,224
Independence Community Bank 41,953 1,572
IndyMac Bancorp 44,300 1,823
IPC Holdings 2,100 80
Jefferson-Pilot 62,683 3,159
JPMorgan Chase 433,627 15,502
Keycorp 143,218 4,692
Legg Mason 65,450 5,379
Lehman Brothers Holdings 93,561 8,626
Leucadia National 22,300 890
Lincoln National 71,700 3,265
Loews 34,800 2,620
Marshall & Ilsley 21,600 940
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 13
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
Large Cap Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
MBIA (B) 49,261 $ 2,755
MBNA 266,933 5,630
Merrill Lynch 109,762 5,956
Metlife 134,200 5,985
Mills+ (B) 15,000 862
Moody's 219,528 9,499
Morgan Stanley 104,127 5,098
National City 199,896 6,908
Nationwide Financial Services, Cl A 23,300 890
North Fork Bancorporation 38,400 1,047
Old Republic International 27,000 671
PMI Group 25,500 964
PNC Financial Services Group 44,586 2,437
Popular 46,204 1,088
Principal Financial Group 57,900 2,310
Progressive 11,700 1,124
Providian Financial (B)* 63,700 1,135
Prudential Financial 25,200 1,595
Radian Group 19,300 885
Rayonier+ 7,900 415
Regions Financial (B) 56,566 1,905
Safeco 42,100 2,265
St. Joe (B) 17,900 1,412
St. Paul Travelers 61,116 2,315
Stancorp Financial Group 14,800 1,108
State Street 21,265 1,021
SunTrust Banks 78,966 5,813
UnionBanCal 25,200 1,582
UnumProvident (B) 47,850 879
US Bancorp (B) 256,406 7,520
Wachovia 293,860 14,913
Washington Mutual 123,324 5,093
Webster Financial 32,991 1,547
Wells Fargo 120,109 7,256
Willis Group Holdings (B) 31,724 1,087
XL Capital, Cl A 10,158 765
Zions Bancorporation 16,100 1,141
----------
359,804
----------
HEALTH CARE -- 11.7%
Abbott Laboratories 33,500 1,616
Aetna 16,900 1,318
Alcon 7,108 727
Allergan 120,000 9,277
AmerisourceBergen (B) 13,100 846
Amgen* 282,375 17,671
Applera--Applied Biosystems
Group (B) 87,349 1,870
Bausch & Lomb 13,600 1,062
Boston Scientific* 154,700 4,191
Bristol-Myers Squibb 143,645 3,643
C.R. Bard 20,000 1,365
Cardinal Health 12,800 742
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Caremark Rx* 209,511 $ 9,357
Cigna 27,300 2,655
Cooper 7,815 516
Eli Lilly 154,322 8,997
Genentech (B)* 384,540 30,475
Genzyme* 44,300 2,764
HCA 32,462 1,753
Health Management Associates, Cl A 48,700 1,228
Humana* 35,900 1,305
Invitrogen (B)* 14,400 1,142
Johnson & Johnson 175,862 11,800
Kinetic Concepts* 22,000 1,413
Laboratory of America Holdings (B)* 42,000 2,035
McKesson (B) 7,600 306
Medco Health Solutions* 46,100 2,305
Medtronic 449,442 24,158
Merck 196,153 6,363
PerkinElmer 100,783 1,928
Pfizer 333,430 9,303
Sanofi-Aventis ADR 29,000 1,305
St. Jude Medical* 7,700 309
Stryker 69,500 3,381
UnitedHealth Group 165,000 8,016
Universal Health Services, Cl B 15,300 894
WellPoint* 83,054 11,046
Wyeth 120,409 5,222
Zimmer Holdings* 132,200 10,124
----------
204,428
----------
INDUSTRIALS -- 10.2%
3M 81,688 6,261
Apollo Group, Cl A (B)* 37,200 2,920
Boeing 16,100 1,029
Burlington Northern Santa Fe 141,966 7,016
Canadian Pacific Railway 24,500 905
Caterpillar 64,854 6,103
Cendant 402,751 8,542
Cintas (B) 122,150 4,931
Cooper Industries, Cl A 21,200 1,462
CSX 29,649 1,233
Cummins 23,500 1,597
Deere 16,700 1,105
Deluxe 34,800 1,406
Eaton 53,324 3,191
Emerson Electric 19,379 1,288
Expeditors International Washington 150,000 7,647
Fastenal (B) 61,123 3,552
GATX 23,300 778
General Dynamics 26,800 2,894
General Electric 1,360,600 49,635
Goodrich 32,145 1,346
Harsco 17,200 998
HNI 8,000 413
- --------------------------------------------------------------------------------
14 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Honeywell International 49,828 $ 1,805
Hubbell, Cl B (B) 14,450 657
Illinois Tool Works 37,700 3,183
L-3 Communications Holdings 34,000 2,406
Lockheed Martin (B) 80,700 5,237
Manpower 15,500 617
Masco 68,600 2,197
Navistar International (B)* 22,500 686
Norfolk Southern 63,182 2,017
Northrop Grumman 129,300 7,205
Paccar 14,400 1,019
Parker Hannifin 5,721 345
Raytheon 34,200 1,339
Rockwell Collins 38,000 1,877
RR Donnelley & Sons 46,816 1,557
Ryder System 6,200 228
Teekay Shipping (B) 26,200 1,113
Textron 30,862 2,385
Tyco International 76,300 2,207
United Parcel Service, Cl B 156,241 11,507
United Technologies 48,000 5,122
Weight Watchers International (B)* 163,000 7,930
Yellow Roadway (B)* 14,100 744
----------
179,635
----------
INFORMATION TECHNOLOGY -- 15.9%
Activision* 64,000 1,009
Adobe Systems (B) 44,000 1,455
American Tower, Cl A* 48,700 879
Apple Computer* 74,700 2,966
Arrow Electronics* 28,065 784
Autodesk 61,400 2,430
Automatic Data Processing 37,740 1,653
Avnet (B)* 63,500 1,328
Cisco Systems* 751,099 14,556
Cognizant Technology Solutions,
Cl A* 31,000 1,488
Computer Sciences (B)* 21,400 991
Comverse Technology (B)* 67,000 1,577
Convergys* 54,400 742
Corning (B)* 114,000 1,788
Dell* 350,570 13,984
Dun & Bradstreet* 15,800 971
Electronic Arts (B)* 68,400 3,594
Electronic Data Systems 23,800 469
EMC* 443,676 6,238
First Data 672,744 25,450
Fiserv* 63,839 2,745
Flextronics International (B)* 46,315 592
Freescale Semiconductor, Cl B* 4,471 90
Google, Cl A (B)* 32,700 9,104
Harris 34,000 977
Hewlett-Packard 429,845 9,676
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Ingram Micro, Cl A* 99,985 $ 1,581
Intel 714,751 19,248
International Business Machines 42,303 3,196
Intuit (B)* 165,000 7,131
Juniper Networks (B)* 150,200 3,851
Lexmark International, Cl A* 70,000 4,791
Linear Technology 216,233 8,102
Lucent Technologies (B)* 94,793 266
Marvell Technology Group (B)* 41,000 1,679
Maxim Integrated Products 62,000 2,443
McAfee* 90,000 2,581
Microsoft 1,387,659 35,802
Motorola 40,500 704
NAVTEQ* 130,000 4,960
NCR* 41,300 1,513
Oracle* 587,600 7,533
Paychex 571,272 16,498
Qualcomm 604,974 22,541
Research In Motion* 55,600 4,605
Reynolds & Reynolds, Cl A 9,100 248
Sabre Holdings, Cl A 41,800 839
SanDisk* 260,000 6,783
Sanmina-SCI* 45,339 233
Seagate Technology 70,000 1,485
Solectron (B)* 150,400 549
Storage Technology* 17,000 549
Sun Microsystems* 36,700 140
Sybase* 43,400 885
Tech Data* 13,516 485
Trimble Navigation (B)* 27,000 1,072
Western Digital* 80,900 1,214
Xerox (B)* 74,500 1,011
Yahoo!* 174,646 6,497
----------
278,551
----------
MATERIALS -- 2.8%
Agrium 64,800 1,224
Air Products & Chemicals 12,600 759
Ball 23,600 886
Dow Chemical 149,600 6,775
E.I. Du Pont de Nemours 27,365 1,273
Eastman Chemical 51,253 3,013
Engelhard 32,000 941
Georgia-Pacific 64,049 2,123
International Paper 50,337 1,621
Louisiana-Pacific 94,500 2,379
Lubrizol 49,003 1,929
Lyondell Chemical 61,800 1,467
Martin Marietta Materials (B) 15,183 927
MeadWestvaco 38,200 1,096
Monsanto (B) 25,000 1,425
Nucor (B) 85,100 4,507
Phelps Dodge 11,500 1,005
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 15
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
Large Cap Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
PPG Industries 46,349 $ 3,031
Praxair 170,000 7,968
Rohm & Haas 33,100 1,544
Sonoco Products 21,583 575
Temple-Inland 6,534 233
United States Steel (B) 25,700 1,022
Weyerhaeuser 21,400 1,373
----------
49,096
----------
TELECOMMUNICATION SERVICES -- 3.1%
Alltel (B) 41,400 2,408
AT&T 141,900 2,666
BellSouth 269,417 7,210
CenturyTel 71,400 2,341
Crown Castle International* 112,807 2,006
Nextel Communications, Cl A* 230,000 6,941
Nokia ADR 411,776 6,943
SBC Communications 479,944 11,221
Sprint (B) 72,736 1,723
Verizon Communications 299,571 10,599
----------
54,058
----------
UTILITIES -- 2.4%
American Electric Power 29,294 1,045
Centerpoint Energy (B) 30,900 379
Constellation Energy Group 62,499 3,340
DTE Energy (B) 19,887 945
Duke Energy (B) 64,400 1,770
Edison International 82,808 3,043
Energy East 55,600 1,557
Entergy 43,499 3,124
Exelon 54,100 2,535
FirstEnergy 38,500 1,705
FPL Group 8,000 325
KeySpan (B) 42,000 1,669
Northeast Utilities 138,817 2,750
NSTAR 35,100 2,055
Oneok (B) 115,222 3,555
Pepco Holdings 43,300 976
PG&E 50,200 1,796
Pinnacle West Capital 29,500 1,301
PPL 6,203 357
Progress Energy (B) 27,100 1,199
Sempra Energy 57,500 2,281
Southern 19,400 659
TXU 27,500 2,208
Xcel Energy (B) 76,800 1,415
----------
41,989
----------
Total Common Stock
(Cost $1,597,359) ($ Thousands) 1,722,904
----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Number of
Warrants
---------
WARRANTS -- 0.0%
Lucent Technologies, Expires 12/10/07* 758 $ --
----------
Total Warrants
(Cost $0) ($ Thousands) --
----------
CORPORATE OBLIGATIONS (C) (E) -- 3.9%
FINANCIALS -- 3.9%
ASIF Global Financing XV (G)
3.026%, 09/02/05 $ 217 217
Allstate Life Global Funding II MTN (G)
3.080%, 06/15/06 1,077 1,077
American General Finance (G)
3.090%, 06/15/06 2,107 2,107
Bear Stearns EXL
3.100%, 06/15/06 4,166 4,166
CCN Bluegrass (G)
3.170%, 02/21/06 1,521 1,521
CIT Group MTN
3.260%, 05/12/06 5,851 5,851
3.199%, 07/29/05 267 267
3.163%, 04/19/06 585 586
Caterpillar Financial Services MTN, Ser F
3.250%, 07/11/05 1,170 1,170
Countrywide Home Loans MTN, Ser A
3.509%, 03/21/06 1,919 1,919
Countrywide Home Loans MTN, Ser M
3.389%, 08/26/05 702 702
3.152%, 06/23/05 1,428 1,428
3.040%, 11/30/05 2,668 2,668
2.810%, 01/31/06 515 515
Dekabank (G)
3.206%, 05/19/06 4,330 4,329
Five Finance MTN (G)
3.100%, 09/22/05 3,323 3,323
Harrier Finance Funding MTN (G)
3.034%, 09/15/05 679 679
Harrier Finance Funding MTN, Ser 1 (G)
3.016 %, 06/15/05 2,036 2,036
Irish Life & Permanent MTN, Ser X (G)
3.101%, 06/22/06 2,177 2,176
Jackson National Life Funding (G)
3.064%, 05/01/06 5,149 5,149
K2 MTN (G)
2.995%, 12/12/05 140 140
Lakeside Funding
3.120%, 06/08/05 1,170 1,170
Liberty Lighthouse US Capital MTN (G)
3.118%, 05/10/06 2,340 2,339
Morgan Stanley EXL
3.089%, 05/04/06 819 819
- --------------------------------------------------------------------------------
16 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Morgan Stanley EXL, Ser S
3.085%, 06/02/06 $ 1,170 $ 1,170
Nationwide Building Society (G)
3.090%, 01/06/06 2,341 2,341
3.083%, 10/28/05 1,170 1,170
Northern Rock (G)
3.099%, 02/03/06 2,411 2,411
Pacific Life Global Funding (G)
3.080%, 06/13/06 1,755 1,755
Premium Asset Trust, Ser 2004-01 (G)
3.100%, 02/06/06 1,732 1,733
Premium Asset Trust, Ser 2004-10 (G)
3.100%, 04/14/06 3,277 3,277
SLM EXL, Ser S (G)
3.090%, 05/15/06 2,575 2,575
SLM MTN, Ser X (G)
3.090%, 06/20/06 4,681 4,681
White Pine Finance MTN, Ser 1 (G)
3.071%, 11/01/05 1,030 1,030
----------
Total Corporate Obligations
(Cost $68,497) ($ Thousands) 68,497
----------
ASSET-BACKED SECURITIES (C) (E) (G) -- 2.0%
AUTOMOTIVE -- 0.4%
Capital Auto Receivables Asset Trust,
Ser 2005-SN1A, Cl A1
3.327%, 05/15/06 5,662 5,662
Drivetime Auto Owner Trust,
Ser 2005-A, Cl A1
3.110%, 03/15/06 558 558
----------
6,220
----------
MORTGAGE RELATED SECURITIES -- 1.6%
Aire Valley Mortgages,
Ser 2004-1A, Cl 1A
3.090%, 09/20/05 1,498 1,498
Blue Heron Funding, Ser 6A, Cl A1
3.129%, 06/21/05 468 468
Blue Heron Funding, Ser 9A, Cl A1
3.120%, 02/22/06 2,341 2,341
CCN Independence IV
3.160%, 10/17/05 1,287 1,287
3.160%, 01/17/06 819 819
Cheyne High Grade, Ser 2004-1A,
Cl A1
3.250%, 11/10/05 1,346 1,346
Commodore, Ser 2003-2A, Cl A1MM
3.100%, 12/12/38 1,077 1,077
Duke Funding, Ser 2004-6B, Cl A1S1
2.680%, 04/10/06 1,755 1,755
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Harwood Street Funding I,
Ser 2004-1A, Cl NOTE
3.140%, 09/20/05 $ 3,324 $ 3,324
Harwood Street Funding II,
Ser 2005-1A, Cl NOTE
3.141%, 06/25/06 2,340 2,340
Orchid Structured Finance,
Ser 2003-1A, Cl A1MM
3.370%, 11/18/05 2,288 2,288
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AMM2
3.140%, 11/25/05 3,764 3,764
RMAC, Ser 2004-NS2A, Cl A1
3.080%, 06/13/05 417 417
RMAC, Ser 2004-NS3A, Cl A1
3.090%, 06/12/05 983 983
Saturn Ventures II
3.150%, 08/08/05 2,598 2,598
TIAA Real Estate, Ser 2003 1A, Cl A1
3.131%, 03/28/06 1,511 1,511
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMB
3.040%, 06/15/05 585 585
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMC
3.030%, 09/15/05 421 421
----------
28,822
----------
Total Asset-Backed Securities
(Cost $35,042) ($ Thousands) 35,042
----------
CASH EQUIVALENTS -- 1.5%
First Union Cash Management
Program 3,118,787 3,119
SEI Daily Income Trust,
Prime Obligation Fund, Cl A++ 22,533,778 22,534
----------
Total Cash Equivalents
(Cost $25,653) ($ Thousands) 25,653
----------
COMMERCIAL PAPER (C) (D) -- 0.9%
FINANCIALS -- 0.9%
Ajax Bambino Funding
3.119%, 07/06/05 2,340 2,333
Altimira Funding
3.004%, 06/16/05 305 305
Beethoven Funding
3.109%, 07/05/05 1,170 1,167
3.013%, 06/13/05 1,176 1,175
Brahms Funding
3.000%, 06/02/05 3,018 3,018
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 17
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
Large Cap Fund (Concluded)
May 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Capital One Multi-Asset Funding
3.025%, 06/20/05 $ 936 $ 935
3.002%, 06/07/05 819 819
Cobbler Funding
3.057%, 06/28/05 428 427
Cre-8 Funding
3.106%, 06/23/05 819 818
Golden Fish
3.065%, 06/20/05 760 759
3.065%, 06/22/05 1,218 1,216
3.055%, 06/21/05 351 350
3.053%, 06/14/05 941 940
Rams Funding
3.121%, 06/06/05 1,170 1,170
----------
Total Commercial Paper
(Cost $15,432) ($ Thousands) 15,432
----------
MASTER NOTES (C) -- 0.5%
Bank of America Master Notes
3.143%, 06/01/05 5,851 5,851
Bear Stearns Master Notes
3.234%, 06/01/05 2,809 2,809
----------
Total Master Notes
(Cost $8,660) ($ Thousands) 8,660
----------
CERTIFICATES OF DEPOSIT (C) (E) -- 0.3%
U.S. Trust
3.215%, 09/12/05 2,340 2,340
Washington Mutual Bank
3.270%, 08/18/05 2,762 2,762
----------
Total Certificates of Deposit
(Cost $5,102) ($ Thousands) 5,102
----------
U.S. TREASURY OBLIGATION -- 0.1%
U.S. Treasury Bills (A)
2.934%, 08/25/05 1,540 1,530
----------
Total U.S. Treasury Obligation
(Cost $1,529) ($ Thousands) 1,530
----------
REPURCHASE AGREEMENTS (C) -- 1.3%
Barclays Capital
3.040%, dated 05/31/05, to be
repurchased on 06/01/05,
repurchase price $3,683,476
(collateralized by U.S. Government
Obligation, par value $3,833,518
0.000%, 12/28/05; with total market
value $3,756,847) 3,683 3,683
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers
3.040%, dated 05/31/05, to be
repurchased on 06/01/05,
repurchase price $2,925,846
(collateralized by various
U.S. Government Obligations,
ranging in par value $35,458-
$1,766,921, 0.000%-4.375%,
10/15/06-10/15/16; with total
market value $2,984,217) $ 2,926 $ 2,926
UBS Paine Webber
3.050%, dated 05/31/05, to be
repurchased on 06/01/05,
repurchase price $16,384,742
(collateralized by various
U.S. Government Obligations,
ranging in par value $683,771-
$4,400,218, 0.000%-8.875%,
04/15/07-05/15/30; with total
market value $16,711,078) 16,383 16,383
----------
Total Repurchase Agreements
(Cost $22,992) ($ Thousands) 22,992
----------
Total Investments -- 108.8%
(Cost $1,780,266) ($ Thousands) 1,905,812
----------
OTHER ASSETS AND LIABILITIES -- (8.8)%
Payable upon Return on Securities Loaned (155,725)
Payable for Investment Securities Purchased (2,465)
Payable for Fund Shares Redeemed (1,568)
Investment Advisory Fees Payable (364)
Trustee's Fees Payable (5)
Other Assets and Liabilities, Net 6,100
----------
Total Other Assets and Liabilities (154,027)
----------
Net Assets -- 100.0% $1,751,785
==========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $1,975,109
Undistributed net investment income 5,023
Accumulated net realized loss on investments
and futures contracts (353,977)
Net unrealized appreciation on investments 125,546
Net unrealized appreciation on futures contracts 84
----------
Net Assets $1,751,785
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($1,751,751,272 / 112,766,866 shares) $15.53
======
Net Asset Value, Offering and Redemption
Price Per Share -- Class T
($33,379 / 2,151 shares) $15.52
======
- --------------------------------------------------------------------------------
18 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
A summary of the open futures contracts held by the fund at May 31, 2005, is as
follows: (see note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------------------
CONTRACT UNREALIZED
TYPE OF NUMBER OF VALUE EXPIRATION APPRECIATION
CONTRACT CONTRACTS ($ THOUSANDS) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
S&P Mid 400 Index E-Mini 25 $ 1,677 06/17/05 $21
S&P 500 Composite Index 54 16,096 06/18/05 63
---
$84
---
* 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 May 31,
2005 (see Note 9). The total value of securities on loan at May 31, 2005 was
$151,450 ($Thousands).
(C) This security was purchased with cash collateral held from securities
lending (see Note 9). The total value of such securities as of May 31, 2005
was $155,725 ($Thousands).
(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 May 31, 2005.
(F) Security considered illiquid. The total value of such securities as of May
31, 2005 was $0 and represents 0.00% of Net Assets.
(G) This security, which was purchased with cash collateral, was sold within the
terms of private placement memorandum, exempt from registration under
Section 3A-4, 4(2) or 144A of the Securities Act of 1933, as amended, and
may be sold only to dealers in that program or other "accredited investors."
(H) Security fair valued using methods determined in good faith by the Valuation
Committee of the Board of Trustees. The total value of such securities as of
May 31, 2005 was $0 and represented 0.00% of Net Assets.
ADR -- American Depositary Receipt
Cl -- Class
EXL -- Extendable Maturity
MTN -- Medium Term Note
Ser -- Series
Amount designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 19
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
Large Cap Disciplined Equity Fund
May 31, 2005
- --------------------------------------------------------------------------------
[THE FOLLOWING WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
SECTOR WEIGHTINGS (UNAUDITED)++
22.7% Financials
13.5% Information Technology
12.0% Health Care
10.8% Industrials
9.3% Consumer Discretionary
9.1% Consumer Staples
8.4% Energy
3.5% Short-Term Investments
2.8% Materials
2.7% Telecommunication Services
2.7% Utilities
2.0% Asset-Backed Securities
0.3% Certificates of Deposit
0.2% U.S. Treasury Obligations
++Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 97.8%
CONSUMER DISCRETIONARY -- 10.2%
Abercrombie & Fitch, Cl A 11,000 $ 631
Aeropostale* 5,101 139
Amazon.Com (B)* 81,602 2,898
American Axle & Manufacturing
Holdings (B) 31,295 648
American Eagle Outfitters 39,547 1,119
American Greetings, Cl A (B) 17,266 449
Autoliv 37,846 1,756
Autonation (B)* 154,955 3,099
Barnes & Noble* 35,394 1,340
Best Buy 7,989 435
BJ's Wholesale Club* 10,900 329
Black & Decker 101,938 8,901
Blyth 1,531 43
Brinker International* 35,068 1,319
Brunswick 51,266 2,206
Carnival (B) 105,976 5,606
CBRL Group 32,316 1,316
Centex (B) 59,056 3,867
Choice Hotels International 15,980 1,048
Circuit City Stores 39,000 639
Claire's Stores 23,277 549
Coach (B)* 189,700 5,509
Comcast, Cl A* 383,529 12,350
Comcast, Special Cl A (B)* 12,755 404
Dana 29,000 393
Darden Restaurants 120,701 3,920
Dillard's, Cl A 36,700 878
Dollar General 16,500 324
DR Horton 231,932 8,018
Eastman Kodak (B) 129,100 3,393
eBay* 195,042 7,414
EchoStar Communications, Cl A (B)* 349,856 10,226
Federated Department Stores (B) 23,845 1,608
Ford Motor 592,304 5,911
Fortune Brands (B) 125,625 10,867
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
GameStop, Cl B* 13,650 $ 366
Gannett (B) 91,768 6,833
Gap (B) 378,712 7,953
Gemstar-TV Guide International* 17,287 59
Genesco* 9,700 332
Genuine Parts 59,000 2,535
Goodyear Tire & Rubber (B)* 95,400 1,373
Harley-Davidson 5,900 289
Harman International Industries 44,357 3,675
Harrah's Entertainment 7,800 560
Hibbett Sporting Goods* 15,700 551
Hilton Hotels 51,418 1,246
Home Depot 1,207,971 47,534
HOT Topic* 29,500 633
Jack in the Box (B)* 2,600 108
Jakks Pacific (B)* 33,200 686
JC Penney (B) 361,566 17,991
Johnson Controls 9,512 539
Jones Apparel Group 81,500 2,601
KB Home 21,500 1,452
Knight-Ridder 7,400 467
Kohl's* 7,400 360
Leggett & Platt 16,300 434
Liberty Media, Cl A* 51,500 535
Liberty Media International, Cl B* 28,400 1,190
Limited Brands 210,000 4,320
Liz Claiborne (B) 18,300 687
Lowe's 139,752 7,995
Marriott International, Cl A 27,200 1,837
May Department Stores 16,408 626
McDonald's (B) 382,232 11,826
McGraw-Hill 35,417 1,546
MDC Holdings 18,800 1,358
Media General, Cl A 1,139 70
Meredith 19,653 975
MGM Mirage (B)* 240,280 9,152
Michaels Stores 14,871 626
News, Cl A 220,900 3,563
Nike, Cl B (B) 6,390 525
Nordstrom 59,813 3,651
NVR (B)* 6,774 5,141
Omnicom Group 11,500 942
Petco Animal Supplies* 12,287 370
Polaris Industries (B) 19,741 1,036
Pulte Homes (B) 21,258 1,625
Reebok International 36,600 1,490
Regal Entertainment Group, Cl A (B) 54,585 1,086
Rent-A-Center* 27,480 650
Royal Caribbean Cruises (B) 32,725 1,509
Sears Holdings* 7,100 1,042
Select Comfort (B)* 29,700 722
Sherwin-Williams 38,700 1,720
Standard-Pacific 3,400 272
- --------------------------------------------------------------------------------
20 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Stanley Works 34,800 $ 1,552
Staples 76,166 1,640
Starbucks (B)* 121,204 6,636
Starwood Hotels & Resorts Worldwide 47,663 2,668
Target (B) 149,062 8,005
Timberland, Cl A (B)* 437 16
Time Warner* 809,628 14,088
Toys "R" Us* 58,100 1,522
Tribune (B) 60,634 2,194
VF 15,200 858
Viacom, Cl B 369,415 12,667
Walt Disney 1,061,375 29,124
Washington Post, Cl B 696 578
Whirlpool (B) 29,891 2,056
Yum! Brands 10,000 513
----------
360,333
----------
CONSUMER STAPLES -- 10.0%
Alberto-Culver 3,042 135
Albertson's (B) 32,000 672
Altria Group 390,234 26,200
Anheuser-Busch (B) 511,520 23,965
Archer-Daniels-Midland 813,456 16,147
Avon Products 460,553 18,302
Bunge 43,690 2,710
Chiquita Brands International (B) 10,700 311
Clorox 125,528 7,332
Coca-Cola 691,146 30,846
Coca-Cola Enterprises 110,632 2,421
Colgate-Palmolive 144,213 7,206
ConAgra Foods 6,600 172
Costco Wholesale (B) 212,772 9,664
CVS 32,400 1,777
Energizer Holdings (B)* 101,815 6,402
General Mills 14,700 728
Gillette 282,829 14,916
Hershey 40,566 2,605
Hormel Foods 6,410 190
Kellogg 31,585 1,437
Kimberly-Clark 218,156 14,034
Kraft Foods, Cl A 6,800 221
Kroger (B)* 96,254 1,614
Loews--Carolina Group 153,219 4,578
McCormick 12,700 430
Molson Coors Brewing, Cl B 4,900 286
Pepsi Bottling Group (B) 354,521 10,058
PepsiAmericas 19,000 460
PepsiCo 218,182 12,275
Pilgrim's Pride (B) 226,376 7,980
Procter & Gamble (B) 480,379 26,493
Reynolds American (B) 84,441 7,001
Safeway* 40,600 894
Sanderson Farms 4,900 186
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Sara Lee 84,400 $ 1,712
Smithfield Foods* 140,653 4,196
Supervalu 182,556 5,980
Tyson Foods, Cl A 186,170 3,437
UST (B) 134,400 5,989
Wal-Mart Stores 1,412,342 66,705
Walgreen 71,703 3,251
Whole Foods Market 3,000 357
WM Wrigley Jr 18,100 1,236
----------
353,511
----------
ENERGY -- 9.2%
Amerada Hess (B) 29,000 2,693
Anadarko Petroleum 176,295 13,345
Apache 104,084 6,116
Ashland 34,427 2,351
Baker Hughes (B) 171,615 7,927
Burlington Resources 46,848 2,374
ChevronTexaco 763,746 41,074
ConocoPhillips 454,254 48,987
Devon Energy 120,279 5,521
Diamond Offshore Drilling (B) 16,900 798
El Paso (B) 69,300 717
EOG Resources (B) 51,900 2,589
Exxon Mobil 1,804,371 101,406
Halliburton 71,630 3,061
Kerr-McGee 7,511 555
Kinder Morgan 2,934 228
Marathon Oil 156,545 7,591
National Oilwell Varco* 11,400 513
Noble 20,800 1,178
Occidental Petroleum 379,657 27,757
Overseas Shipholding Group (B) 16,729 1,022
Patterson-UTI Energy 35,318 936
Pogo Producing (B) 42,033 2,078
Premcor 6,347 431
Rowan* 3,600 99
Schlumberger (B) 154,634 10,572
Sunoco (B) 32,529 3,336
Tidewater 14,100 488
Todco, Cl A* 7,800 178
Transocean* 144,100 7,178
Unit* 6,200 242
Unocal 32,427 1,848
Valero Energy (B) 244,743 16,794
Williams 84,800 1,561
XTO Energy 14,266 444
----------
323,988
----------
FINANCIALS -- 19.6%
ACE (B) 199,075 8,604
Allstate 292,595 17,029
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 21
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
Large Cap Disciplined Equity Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
AMBAC Financial Group 4,651 $ 335
American Capital Strategies (B) 15,378 538
American Express 184,746 9,949
American Financial Group 25,400 823
American International Group 728,932 40,492
AmeriCredit (B)* 4,900 122
Apartment Investment & Management,
Cl A+ 48,100 1,784
Archstone-Smith Trust+ 47,600 1,753
Astoria Financial 4,887 135
Axis Capital Holdings 44,371 1,221
Bank of America 1,962,848 90,919
Bank of New York 8,525 246
BB&T (B) 129,200 5,160
Bear Stearns (B) 80,294 7,952
Capital One Financial 18,021 1,359
Chubb 8,100 682
CIT Group 89,217 3,785
Citigroup 2,038,714 96,044
Comerica 32,600 1,822
Compass Bancshares 13,400 597
Countrywide Financial 652,218 24,243
Equity Office Properties Trust+ 6,700 218
Equity Residential+ 20,000 718
Everest Re Group 36,147 3,235
Fannie Mae 507,688 30,075
Fifth Third Bancorp (B) 25,505 1,087
First American 57,148 2,212
First Bancorp Puerto Rico 16,200 621
Franklin Resources (B) 23,409 1,689
Freddie Mac 185,036 12,035
Genworth Financial, Cl A 13,900 403
Golden West Financial 25,742 1,612
Goldman Sachs Group 164,959 16,083
Hartford Financial Services Group (B) 52,064 3,894
Health Care+ 7,889 283
Independence Community Bank 12,718 477
Infinity Property & Casualty 4,900 157
JPMorgan Chase 1,079,188 38,581
Keycorp 70,100 2,296
LandAmerica Financial Group (B) 10,100 568
Lehman Brothers Holdings 163,329 15,059
Lincoln National 36,614 1,667
Loews 37,805 2,847
M&T Bank (B) 9,500 970
Mack-Cali Realty+ 6,454 284
Marshall & Ilsley 9,000 392
MBIA 27,000 1,510
MBNA 619,852 13,073
Merrill Lynch 392,932 21,320
Metlife (B) 201,455 8,985
MGIC Investment 51,700 3,171
Moody's 32,470 1,405
Morgan Stanley 440,212 21,553
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
National City 477,072 $ 16,488
Nationwide Financial Services, Cl A 15,794 603
North Fork Bancorporation 176,200 4,803
Northern Trust 4,900 225
PartnerRe 24,286 1,605
Plum Creek Timber+ (B) 4,500 158
PNC Financial Services Group 24,628 1,346
Popular 1,666 39
Principal Financial Group 46,900 1,871
Progressive 12,724 1,222
Prologis+ 10,600 433
Providian Financial (B)* 98,069 1,748
Regions Financial (B) 60,100 2,024
Reinsurance Group of America (B) 19,153 876
RenaissanceRe Holdings 33,718 1,588
Safeco (B) 33,861 1,822
Simon Property Group+ 33,381 2,294
SLM 32,300 1,559
St. Paul Travelers 48,500 1,837
Stancorp Financial Group 3,123 234
SunTrust Banks 6,200 456
Synovus Financial (B) 35,900 1,044
T Rowe Price Group (B) 34,464 2,056
Torchmark 7,569 399
Trizec Properties+ (B) 5,860 114
UnionBanCal 4,064 255
UnumProvident 57,700 1,059
US Bancorp (B) 754,915 22,142
Wachovia 840,767 42,669
Washington Mutual 414,647 17,125
Wells Fargo 475,214 28,708
WR Berkley 199,025 7,057
XL Capital, Cl A 42,743 3,218
Zions Bancorporation 15,500 1,098
----------
694,249
----------
HEALTH CARE -- 13.2%
Abbott Laboratories 154,981 7,476
Aetna 58,432 4,558
Alcon 4,263 436
Allergan (B) 142,001 10,978
American Pharmaceutical Partners* 1 --
AmerisourceBergen (B) 155,892 10,066
Amgen (B)* 544,539 34,077
Applera--Applied Biosystems
Group (B) 7,600 163
Barr Pharmaceuticals* 19,514 992
Bausch & Lomb 50,710 3,960
Baxter International 158,800 5,860
Becton Dickinson 269,826 15,502
Biogen Idec (B)* 5,500 215
Biomet 15,400 581
Bone Care International* 18,400 602
- --------------------------------------------------------------------------------
22 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Boston Scientific* 252,648 $ 6,844
Bristol-Myers Squibb 99,747 2,530
C.R. Bard 57,004 3,891
Cardinal Health (B) 335,791 19,452
Caremark Rx* 158,200 7,065
Celgene* 59,333 2,512
Cigna (B) 155,336 15,106
Coventry Health Care (B)* 88,325 6,149
DaVita* 2,397 110
Eli Lilly 33,819 1,972
Express Scripts* 55,590 5,136
Fisher Scientific International (B)* 2,800 175
Forest Laboratories* 11,268 435
Genentech* 24,636 1,952
Genzyme* 11,000 686
Gilead Sciences* 238,691 9,739
Guidant 60,391 4,462
HCA 240,099 12,965
Hillenbrand Industries 4,212 213
Hospira* 129,290 4,923
Humana* 167,965 6,107
ICOS* 8,100 175
ImClone Systems (B)* 12,595 417
IMS Health 4,561 112
Invitrogen (B)* 21,800 1,729
Johnson & Johnson 1,283,055 86,093
King Pharmaceuticals* 16,451 156
Laboratory of America Holdings (B)* 13,500 654
Lincare Holdings (B)* 17,757 781
McKesson (B) 268,622 10,817
Medco Health Solutions* 53,524 2,676
Medicis Pharmaceutical, Cl A (B) 140,500 3,959
Medimmune* 16,300 430
Medtronic 252,436 13,569
Merck 787,192 25,537
Molina Healthcare* 4,000 171
Nu Skin Enterprises, Cl A 28,200 637
PerkinElmer 101,115 1,934
Pfizer 1,947,909 54,347
Quest Diagnostics 54,300 5,702
Schering-Plough (B) 154,700 3,017
St. Jude Medical* 36,144 1,450
Stryker 16,864 821
Thermo Electron* 118,463 3,118
Thoratec* 21,300 318
UnitedHealth Group 358,960 17,438
USANA Health Sciences* 1,400 62
Waters* 16,016 622
WellPoint* 15,332 2,039
Wyeth 373,397 16,194
Zimmer Holdings* 31,595 2,420
----------
465,285
----------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
INDUSTRIALS -- 11.8%
3M 380,252 $ 29,146
Accenture, Cl A (B)* 230,180 5,359
AGCO* 7,671 141
Alexander & Baldwin 8,041 357
American Power Conversion 16,900 430
American Standard 50,200 2,149
Apollo Group, Cl A (B)* 80,449 6,315
Armor Holdings (B)* 38,800 1,465
Boeing 107,118 6,845
Brink's 46,964 1,466
Burlington Northern Santa Fe 255,942 12,649
Career Education (B)* 53,974 1,871
Caterpillar (B) 123,990 11,669
Cendant 1,132,175 24,013
Cooper Industries, Cl A 50,543 3,484
CSX 38,196 1,588
Cummins (B) 157,003 10,668
Danaher (B) 16,840 928
Deere 75,157 4,972
Deluxe 178,397 7,209
Eaton 82,734 4,952
Emerson Electric 88,615 5,890
Equifax 138,895 4,818
ExpressJet Holdings* 7,500 65
FedEx (B) 129,165 11,550
Fluor (B) 12,200 701
General Dynamics 70,707 7,635
General Electric 2,439,468 88,992
Goodrich 30,765 1,288
Graco 27,717 967
Herman Miller 700 20
Honeywell International 111,153 4,027
Illinois Tool Works 62,421 5,270
Ingersoll-Rand, Cl A 32,985 2,553
Innovative Solutions & Support* 6,300 218
iPayment* 10,900 416
ITT Industries 1,700 162
JB Hunt Transport Services (B) 128,846 2,587
Kennametal 7,200 317
L-3 Communications Holdings 111,255 7,875
Lockheed Martin (B) 516,604 33,522
Masco 53,191 1,703
Norfolk Southern 182,391 5,822
Northrop Grumman 188,710 10,515
Paccar 104,914 7,423
Pall 5,900 172
Parker Hannifin 22,423 1,353
PHH* 8,610 207
Pitney Bowes 3,600 161
Precision Castparts 8,638 671
Raytheon 134,256 5,257
Reliance Steel & Aluminum 8,900 343
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 23
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
Large Cap Disciplined Equity Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Republic Services 5,566 $ 197
Robert Half International 10,584 264
Rockwell Automation 88,763 4,560
Rockwell Collins 94,377 4,661
RR Donnelley & Sons 39,700 1,320
Ryder System 121,859 4,477
Southwest Airlines 52,767 768
Stericycle* 6,600 327
Swift Transportation (B)* 48,800 1,198
Teekay Shipping (B) 10,095 429
Textron 53,500 4,135
Tyco International 755,884 21,868
United Parcel Service, Cl B 160,350 11,810
United Technologies 65,322 6,970
WW Grainger 43,061 2,342
Yellow Roadway (B)* 38,900 2,053
----------
417,555
----------
INFORMATION TECHNOLOGY -- 14.8%
3Com* 83,308 305
Adobe Systems (B) 279,168 9,229
Advanced Micro Devices (B)* 74,862 1,228
Affiliated Computer Services, Cl A* 8,611 445
Agilent Technologies (B)* 156,326 3,753
Altera* 8,100 180
Apple Computer (B)* 462,946 18,384
Autodesk 288,821 11,432
Automatic Data Processing 54,253 2,376
Avaya* 28,500 261
Black Box 3,000 103
Broadcom, Cl A (B)* 19,576 695
CDW 2,200 128
Cisco Systems* 2,656,281 51,479
Citrix Systems* 28,400 715
Computer Associates International 19,157 522
Computer Sciences (B)* 118,719 5,498
Comverse Technology (B)* 37,800 889
Convergys* 89,908 1,225
Corning (B)* 11,600 182
Dell* 624,283 24,903
Dun & Bradstreet* 13,566 834
Electronic Arts* 15,706 825
Electronic Data Systems 27,000 532
EMC* 595,825 8,377
Fair Isaac 2,500 86
First Data 129,703 4,907
Fiserv* 38,700 1,664
Google, Cl A (B)* 34,648 9,646
Harris 21,140 608
Hewlett-Packard 887,927 19,987
Ingram Micro, Cl A* 27,453 434
Intel 2,387,604 64,298
International Business Machines 458,007 34,602
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Internet Security Systems* 10,200 $ 226
Intuit* 129,921 5,615
Lam Research* 2,990 92
Lexmark International, Cl A* 22,230 1,521
Linear Technology 91,060 3,412
Lucent Technologies (B)* 340,938 958
MEMC Electronic Materials (B)* 290,109 3,974
Micron Technology (B)* 649,105 7,127
Microsoft 3,364,103 86,794
Motorola 1,371,119 23,816
National Semiconductor 21,278 428
NCR* 111,400 4,081
Network Appliance* 164,322 4,726
Nvidia* 6,300 171
Oracle* 2,043,862 26,202
Portalplayer (B)* 1,800 37
QLogic (B)* 51,620 1,653
Qualcomm 568,113 21,168
Sabre Holdings, Cl A 197,244 3,959
Sanmina-SCI* 1 --
Scientific-Atlanta (B) 190,598 6,347
Serena Software* 5,100 100
Sun Microsystems* 838,712 3,195
Sungard Data Systems* 35,023 1,216
Symantec (B)* 93,334 2,110
Symbol Technologies 25,300 291
Synopsys* 60,333 1,090
Tektronix 8,084 183
Texas Instruments 345,265 9,543
Western Digital* 142,616 2,141
Xerox (B)* 318,166 4,318
Yahoo!* 376,290 13,998
----------
521,224
----------
MATERIALS -- 3.1%
Alcoa 10,082 273
Allegheny Technologies 72,100 1,533
Ball 86,940 3,265
Bemis 11,500 312
Crompton 9,400 144
Dow Chemical (B) 625,774 28,341
E.I. Du Pont de Nemours 109,191 5,079
Eastman Chemical 171,618 10,088
Ecolab 36,226 1,171
Freeport-McMoRan Copper & Gold,
Cl B 1,735 61
Georgia-Pacific 319,777 10,597
Hercules* 44,900 622
Huntsman* 8,417 162
International Flavors & Fragrances 45,419 1,685
Louisiana-Pacific 194,530 4,898
Lyondell Chemical 90,770 2,155
MeadWestvaco 4,500 129
- --------------------------------------------------------------------------------
24 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Monsanto (B) 125,884 $ 7,175
Nucor (B) 174,282 9,230
Pactiv* 5,249 120
Phelps Dodge (B) 156,596 13,687
Praxair 5,480 257
Sigma-Aldrich 3,808 228
Steel Dynamics (B) 34,761 935
Temple-Inland 17,000 607
United States Steel (B) 134,864 5,364
Valspar 13,679 648
Vulcan Materials 2,200 132
Wellman 8,600 97
----------
108,995
----------
TELECOMMUNICATION SERVICES -- 3.0%
Alltel (B) 14,000 814
AT&T 338,459 6,360
BellSouth 424,950 11,372
CenturyTel (B) 141,618 4,644
Citizens Communications (B) 95,100 1,297
Nextel Communications, Cl A* 683,999 20,643
SBC Communications (B) 583,176 13,635
Sprint (B) 443,491 10,506
Verizon Communications 1,022,483 36,175
----------
105,446
----------
UTILITIES -- 2.9%
AES (B)* 342,794 5,104
Allegheny Energy (B)* 85,300 2,062
Alliant Energy 38,260 1,056
Ameren 3,400 185
American Electric Power (B) 129,000 4,604
Centerpoint Energy (B) 268,157 3,288
CMS Energy (B)* 42,100 557
Consolidated Edison 700 32
Constellation Energy Group 106,821 5,710
Dominion Resources 6,700 471
DTE Energy (B) 11,300 537
Duke Energy 44,500 1,223
Edison International 304,570 11,193
Energen 1,600 104
Energy East 5,242 147
Entergy 116,839 8,392
Exelon 220,717 10,341
FirstEnergy 122,185 5,413
FPL Group 9,000 366
Nicor (B) 4,800 190
NiSource 48,889 1,178
NSTAR 5,155 302
Oneok (B) 8,000 247
PG&E (B) 88,604 3,169
Pinnacle West Capital 26,300 1,160
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
PPL 18,600 $ 1,070
Progress Energy (B) 5,577 247
Public Service Enterprise Group 8,300 461
Puget Energy 12,931 294
Sempra Energy 175,988 6,981
Southern 22,500 764
TECO Energy (B) 24,100 426
TXU 302,950 24,321
UGI 7,486 198
Xcel Energy 73,300 1,351
----------
103,144
----------
Total Common Stock
(Cost $3,200,832) ($ Thousands) 3,453,730
----------
CORPORATE OBLIGATIONS (C) (E) -- 4.3%
FINANCIALS -- 4.3%
ASIF Global Financing XV (F)
3.020%, 09/02/05 $ 480 480
Allstate Life Global Funding II MTN (F)
3.080%, 06/15/06 2,377 2,377
American General Finance (F)
3.090%, 06/15/06 4,651 4,651
Bear Stearns EXL
3.100%, 06/15/06 9,198 9,198
CCN Bluegrass (F)
3.170%, 02/21/06 3,359 3,359
CIT Group MTN
3.260%, 05/12/06 12,918 12,918
3.199%, 07/29/05 589 589
3.163%, 04/19/06 1,292 1,293
Caterpillar Financial Services MTN,
Ser F
3.250%, 07/11/05 2,584 2,584
Countrywide Home Loans MTN, Ser A
3.509%, 03/21/06 4,237 4,237
Countrywide Home Loans MTN, Ser M
3.389%, 08/26/05 1,550 1,550
3.152%, 06/23/05 3,152 3,152
3.040%, 11/30/05 5,891 5,891
2.810%, 01/31/06 1,137 1,137
Dekabank (F)
3.206%, 05/19/06 9,560 9,558
Five Finance MTN (F)
3.100%, 09/22/05 7,338 7,337
Harrier Finance Funding MTN (F)
3.034%, 09/15/05 1,499 1,498
Harrier Finance Funding MTN, Ser 1 (F)
3.016%, 06/15/05 4,496 4,496
Irish Life & Permanent MTN, Ser X (F)
3.101%, 06/22/06 4,806 4,805
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 25
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
Large Cap Disciplined Equity Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Jackson National Life Funding (F)
3.064%, 05/01/06 $11,368 $ 11,368
K2 MTN (F)
2.995%, 12/12/05 310 310
Lakeside Funding
3.120%, 06/08/05 2,584 2,584
Liberty Lighthouse US Capital MTN (F)
3.118%, 05/10/06 5,167 5,164
Morgan Stanley EXL
3.089%, 05/04/06 1,809 1,809
Morgan Stanley EXL, Ser S
3.085%, 06/02/06 2,584 2,583
Nationwide Building Society (F)
3.090%, 01/06/06 5,167 5,167
3.083%, 10/28/05 2,584 2,584
Northern Rock (F)
3.099%, 02/03/06 5,322 5,322
Pacific Life Global Funding (F)
3.080%, 06/13/06 3,876 3,876
Premium Asset Trust, Ser 2004-01 (F)
3.100%, 02/06/06 3,824 3,827
Premium Asset Trust, Ser 2004-10 (F)
3.100%, 04/14/06 7,234 7,234
SLM EXL, Ser S (F)
3.090 %, 05/15/06 5,684 5,684
SLM MTN, Ser X (F)
3.090%, 06/20/06 10,335 10,335
White Pine Finance MTN, Ser 1 (F)
3.071%, 11/01/05 2,274 2,273
----------
Total Corporate Obligations
(Cost $151,230) ($ Thousands) 151,230
----------
ASSET-BACKED SECURITIES (C) (E) (F) -- 2.2%
AUTOMOTIVE -- 0.4%
Capital Auto Receivables Asset Trust,
Ser 2005-SN1A, Cl A1
3.327%, 05/15/06 12,501 12,501
Drivetime Auto Owner Trust,
Ser 2005-A, Cl A1
3.110%, 03/15/06 1,231 1,231
----------
13,732
----------
MORTGAGE RELATED SECURITIES -- 1.8%
Aire Valley Mortgages,
Ser 2004-1A, Cl 1A
3.090%, 09/20/05 3,307 3,307
Blue Heron Funding, Ser 6A, Cl A1
3.129%, 06/21/05 1,033 1,033
Blue Heron Funding, Ser 9A, Cl A1
3.120%, 02/22/06 5,167 5,167
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CCN Independence IV
3.160%, 10/17/05 $ 2,842 $ 2,842
3.160%, 01/17/06 1,809 1,809
Cheyne High Grade,
Ser 2004-1A, Cl A1
3.250%, 11/10/05 2,971 2,971
Commodore, Ser 2003-2A, Cl A1MM
3.100%, 12/12/38 2,377 2,377
Duke Funding, Ser 2004-6B, Cl A1S1
2.680%, 04/10/06 3,875 3,875
Harwood Street Funding I,
Ser 2004-1A, Cl NOTE
3.140%, 09/20/05 7,338 7,338
Harwood Street Funding II,
Ser 2005-1A, Cl NOTE
3.141%, 06/25/06 5,167 5,167
Orchid Structured Finance,
Ser 2003-1A, Cl A1MM
3.370%, 11/18/05 5,051 5,051
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AMM2
3.140%, 11/25/05 8,310 8,310
RMAC, Ser 2004-NS2A, Cl A1
3.080%, 06/13/05 921 921
RMAC, Ser 2004-NS3A, Cl A1
3.090%, 06/12/05 2,171 2,171
Saturn Ventures II
3.150%, 08/08/05 5,736 5,736
TIAA Real Estate, Ser 2003 1A, Cl A1
3.131%, 03/28/06 3,337 3,337
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMB
3.040%, 06/15/05 1,292 1,292
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMC
3.030%, 09/15/05 930 930
----------
63,634
----------
Total Asset-Backed Securities
(Cost $77,366) ($ Thousands) 77,366
----------
CASH EQUIVALENTS -- 1.9%
First Union Cash Management
Program 886,947 887
SEI Daily Income Trust,
Prime Obligation Fund, Cl A++ 63,688,929 63,689
----------
Total Cash Equivalents
(Cost $64,576) ($ Thousands) 64,576
----------
- --------------------------------------------------------------------------------
26 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (C) (D) -- 1.0%
FINANCIALS -- 1.0%
Ajax Bambino Funding
3.119%, 07/06/05 $ 5,167 $ 5,152
Altimira Funding
3.004%, 06/16/05 673 672
Beethoven Funding
3.109%, 07/05/05 2,584 2,576
3.013%, 06/13/05 2,597 2,595
Brahms Funding
3.000%, 06/02/05 6,664 6,663
Capital One Multi-Asset Funding
3.025%, 06/20/05 2,067 2,064
3.002%, 06/07/05 1,809 1,808
Cobbler Funding
3.057%, 06/28/05 946 943
Cre-8 Funding
3.106%, 06/23/05 1,809 1,805
Golden Fish
3.065%, 06/20/05 1,678 1,675
3.065%, 06/22/05 2,689 2,684
3.055%, 06/21/05 775 774
3.053%, 06/14/05 2,078 2,076
Rams Funding
3.121%, 06/06/05 2,584 2,583
----------
Total Commercial Paper
(Cost $34,070) ($ Thousands) 34,070
----------
MASTER NOTES (C) -- 0.5%
Bank of America Master Notes
3.143%, 06/01/05 12,919 12,919
Bear Stearns Master Notes
3.234%, 06/01/05 6,201 6,201
----------
Total Master Notes
(Cost $19,120) ($ Thousands) 19,120
----------
CERTIFICATES OF DEPOSIT (C) (E) -- 0.3%
U.S. Trust
3.215%, 09/12/05 5,167 5,167
Washington Mutual Bank
3.270%, 08/18/05 6,098 6,098
----------
Total Certificates of Deposit
(Cost $11,265) ($ Thousands) 11,265
----------
U.S. TREASURY OBLIGATIONS -- 0.2%
U.S. Treasury Bills
2.907%, 08/25/05 (A) 6,560 6,516
2.790%, 06/23/05 300 299
2.744%, 06/16/05 (A) 200 200
----------
Total U.S. Treasury Obligations
(Cost $7,015) ($ Thousands) 7,015
----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (C) -- 1.4%
Barclays Capital
3.040%, dated 05/31/05, to be
repurchased on 06/01/05,
repurchase price $8,132,521
(collateralized by U.S. Government
Obligation, par value $8,463,788
0.000%, 12/28/05; with total market
value $8,294,512) $ 8,132 $ 8,132
Lehman Brothers
3.040%, dated 05/31/05, to be
repurchased on 06/01/05,
repurchase price $6,459,796
(collateralized by various
U.S. Government Obligations,
ranging in par value $78,286-
$3,901,077, 0.000%-4.375%,
10/15/06-10/15/16; with total
market value $6,588,670) 6,459 6,459
UBS Paine Webber
3.050%, dated 05/31/05, to be
repurchased on 06/01/05,
repurchase price $36,174,865
(collateralized by various
U.S. Government Obligations,
ranging in par value $1,509,656-
$9,714,970, 0.000%-8.875%,
04/15/07-05/15/30; with total
market value $36,895,362) 36,172 36,172
----------
Total Repurchase Agreements
(Cost $50,763) ($ Thousands) 50,763
----------
Total Investments -- 109.6%
(Cost $3,616,237) ($ Thousands) 3,869,135
----------
OTHER ASSETS AND LIABILITIES -- (9.6)%
Payable upon Return on Securities Loaned (343,814)
Payable for Investment Securities Purchased (87,090)
Payable for Fund Shares Redeemed (23,725)
Investment Advisory Fees Payable (779)
Trustees' Fees Payable (11)
Other Assets and Liabilities, Net 117,645
----------
Total Other Assets and Liabilities (337,774)
----------
Net Assets -- 100.0% $3,531,361
==========
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 27
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
Large Cap Disciplined Equity Fund (Concluded)
May 31, 2005
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $3,226,016
Undistributed net investment income 9,088
Accumulated net realized gain on investments
and futures contracts 42,564
Net unrealized appreciation on investments 252,898
Net unrealized appreciation on futures contracts 795
----------
Net Assets $3,531,361
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($3,531,360,879 / 29,309,976 shares) $120.48
=======
A summary of the open futures contracts held by the fund at May 31, 2005, is as
follows: (see note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------------------
CONTRACT UNREALIZED
TYPE OF NUMBER OF VALUE EXPIRATION APPRECIATION
CONTRACT CONTRACTS ($ THOUSANDS) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
S&P 500 Composite Index 421 $125,490 06/18/05 $795
----
* 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 May 31,
2005 (see Note 9). The total value of securities on loan at May 31, 2005 was
$333,290 ($Thousands).
(C) This security was purchased with cash collateral held from securities
lending (see Note 9). The total value of such securities as of May 31, 2005
was $343,814 ($Thousands).
(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 May 31, 2005.
(F) This security, which was purchased with cash collateral, was sold within the
terms of private placement memorandum, exempt from registration under
Section 3A-4, 4(2) or 144A of the Securities Act of 1933, as amended, and
may be sold only to dealers in that program or other "accredited investors."
Cl -- Class
EXL -- Extendable Maturity
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.
- --------------------------------------------------------------------------------
28 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
Large Cap Index Fund
May 31, 2005
- --------------------------------------------------------------------------------
[THE FOLLOWING WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
SECTOR WEIGHTINGS (UNAUDITED)++
24.2% Financials
13.7% Information Technology
12.3% Health Care
10.5% Consumer Discretionary
9.6% Industrials
8.4% Consumer Staples
6.9% Energy
3.1% Utilities
3.0% Short-Term Investments
2.7% Materials
2.7% Telecommunication Services
2.4% Asset-Backed Securities
0.4% Certificates of Deposit
0.1% U.S. Treasury Obligations
++Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 98.8%
CONSUMER DISCRETIONARY -- 11.8%
7-Eleven* 577 $ 17
Abercrombie & Fitch, Cl A 2,330 134
Adesa 2,372 54
Advance Auto Parts* 1,992 118
Amazon.Com (B)* 7,935 282
American Axle & Manufacturing
Holdings 950 20
American Eagle Outfitters 3,264 92
AnnTaylor Stores* 1,847 48
Applebees International 2,175 59
Autoliv 2,483 115
Autonation* 4,490 90
Autozone* 1,448 131
Barnes & Noble* 1,422 54
Bed Bath & Beyond* 8,031 326
Belo, Cl A 2,660 65
Best Buy 7,077 385
Big Lots* 2,988 38
BJ's Wholesale Club* 1,872 56
Black & Decker 2,117 185
Blockbuster, Cl A (B) 4,725 43
Borders Group 2,009 51
BorgWarner 1,422 76
Brinker International* 2,310 87
Brunswick 2,484 107
Cabela's, Cl A (B)* 211 4
Cablevision Systems, Cl A* 4,492 115
Caesars Entertainment (B)* 8,222 177
Carmax* 2,827 72
Centex 3,287 215
Cheesecake Factory (B)* 2,046 72
Chico's FAS (B)* 4,765 163
Choice Hotels International 522 34
Circuit City Stores 5,249 86
Citadel Broadcasting* 1,300 15
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Claire's Stores 2,327 $ 55
Clear Channel Communications (B) 13,243 387
Coach* 10,060 292
Columbia Sportswear (B)* 438 20
Comcast, Cl A (B)* 57,217 1,842
Cox Radio, Cl A* 916 15
Dana 4,058 55
Darden Restaurants 4,327 141
Delphi 12,843 56
Dex Media 1,520 33
Dillard's, Cl A 1,675 40
DIRECTV Group (B)* 17,134 256
Dollar General 7,812 153
Dollar Tree Stores* 3,088 77
Dow Jones 1,547 55
DR Horton (B) 8,306 287
DreamWorks Animation SKG, Cl A* 825 24
E.W. Scripps, Cl A 1,628 83
Eastman Kodak (B) 7,661 201
eBay* 27,752 1,055
EchoStar Communications, Cl A (B)* 6,024 176
Entercom Communications* 982 33
Family Dollar Stores (B) 4,062 104
Federated Department Stores (B) 4,522 305
Foot Locker 4,163 110
Ford Motor 47,017 469
Fortune Brands 3,909 338
Fossil* 1,098 23
Gannett 6,821 508
Gap 16,601 349
Gemstar-TV Guide International* 6,756 23
General Motors (B) 12,374 390
Gentex 3,932 70
Genuine Parts 4,645 200
Getty Images (B)* 1,177 88
GTECH Holdings 3,078 87
Harley-Davidson (B) 7,887 387
Harman International Industries 1,568 130
Harrah's Entertainment 3,016 217
Harte-Hanks 1,489 44
Hasbro 3,967 80
Hearst-Argyle Television 863 22
Hilton Hotels 10,192 247
Home Depot 59,898 2,357
Hovnanian Enterprises, Cl A (B)* 932 58
IAC/InterActive (B)* 8,647 212
International Game Technology 9,327 263
International Speedway, Cl A 912 50
Interpublic Group (B)* 11,221 138
JC Penney 6,511 324
John Wiley & Sons, Cl A 1,242 48
Johnson Controls 5,079 288
Jones Apparel Group 3,394 108
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 29
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
Large Cap Index Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
KB Home 1,888 $ 128
Knight-Ridder 2,106 133
Kohl's* 8,020 390
Lamar Advertising, Cl A* 2,140 90
Las Vegas Sands 833 30
Lear (B) 1,825 69
Lee Enterprises 1,187 49
Leggett & Platt 5,136 137
Lennar, Cl A 3,517 204
Liberty Media, Cl A* 72,082 749
Liberty Media International, Cl B (B)* 4,320 181
Limited Brands 9,539 196
Liz Claiborne (B) 2,982 112
Lowe's 21,006 1,202
Marriott International, Cl A 5,145 347
Marvel Enterprises (B)* 1,806 38
Mattel 11,237 204
May Department Stores 7,752 296
Maytag (B) 2,001 29
McClatchy, Cl A 474 33
McDonald's 33,651 1,041
McGraw-Hill 10,238 447
MDC Holdings 816 59
Media General, Cl A 601 37
Meredith 966 48
MGM Mirage (B)* 3,154 120
Michaels Stores 3,681 155
Mohawk Industries* 1,395 116
MSC Industrial Direct, Cl A 844 26
Neiman-Marcus Group, Cl A 1,125 109
New York Times, Cl A 3,902 122
Newell Rubbermaid 7,347 167
Nike, Cl B 4,367 359
Nordstrom 2,896 177
NTL* 1,782 115
NVR (B)* 140 106
O'Reilly Automotive* 1,253 70
Office Depot* 8,267 163
OfficeMax 2,150 65
Omnicom Group 5,052 414
Outback Steakhouse 1,580 70
Pacific Sunwear of California* 2,085 44
Petco Animal Supplies* 1,125 34
Petsmart (B) 3,875 123
Pier 1 Imports (B) 2,316 39
Polaris Industries (B) 1,172 62
Polo Ralph Lauren (B) 1,046 41
Pulte Homes 2,808 215
Radio One, Cl D* 2,020 25
RadioShack 4,223 106
Reebok International (B) 1,387 56
Regal Entertainment Group, Cl A (B) 1,188 24
Regis 1,185 45
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Rent-A-Center* 1,780 $ 42
Ross Stores 4,029 114
Ruby Tuesday (B) 1,765 45
Ryland Group (B) 1,371 94
Saks 3,536 61
Sears Holdings (B)* 2,830 415
Sherwin-Williams 3,190 142
Sirius Satellite Radio (B)* 35,300 213
Snap-On 1,491 51
Standard-Pacific 917 73
Stanley Works 1,822 81
Staples 19,940 429
Starbucks (B)* 10,596 580
Starwood Hotels & Resorts Worldwide 5,532 310
Station Casinos 1,198 78
Talbots 413 12
Target 24,395 1,310
Tiffany 3,929 122
Timberland, Cl A (B)* 1,146 42
Time Warner* 117,191 2,039
TJX 13,275 304
Toll Brothers* 1,292 120
Toys "R" Us* 5,680 149
Tribune (B) 6,648 241
TRW Automotive Holdings* 600 12
UnitedGlobalCom, Cl A* 9,177 84
Univision Communications, Cl A (B)* 6,130 163
Urban Outfitters* 1,200 64
VF 2,274 128
Viacom, Cl B 38,227 1,311
Walt Disney 54,831 1,505
Washington Post, Cl B 147 122
Wendy's International 3,051 138
Westwood One* 1,983 39
Whirlpool (B) 1,830 126
Williams-Sonoma* 2,421 95
Wynn Resorts* 1,124 53
XM Satellite Radio Holdings, Cl A (B)* 4,286 138
Yum! Brands 7,734 397
--------
37,818
--------
CONSUMER STAPLES -- 9.4%
Alberto-Culver 1,824 81
Albertson's (B) 9,832 206
Altria Group 54,791 3,679
Anheuser-Busch 21,488 1,007
Aramark, Cl B (B) 2,678 70
Archer-Daniels-Midland 15,564 309
Avon Products 12,609 501
Brown-Forman, Cl B 1,464 87
Campbell Soup (B) 6,139 191
Church & Dwight 1,632 59
Clorox 2,895 169
- --------------------------------------------------------------------------------
30 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Coca-Cola 56,355 $ 2,515
Coca-Cola Enterprises 6,205 136
Colgate-Palmolive 14,218 711
ConAgra Foods 14,122 369
Constellation Brands, Cl A* 4,918 137
Costco Wholesale 12,265 557
CVS 10,617 582
Dean Foods* 3,878 151
Del Monte Foods* 4,825 50
Energizer Holdings* 1,935 122
Estee Lauder, Cl A 2,877 112
General Mills 7,747 384
Gillette 26,811 1,414
Hershey 4,624 297
HJ Heinz 9,410 342
Hormel Foods 1,939 57
JM Smucker 1,457 73
Kellogg 6,520 297
Kimberly-Clark 13,395 862
Kraft Foods, Cl A 7,129 231
Kroger* 19,707 331
Loews--Carolina Group 1,511 45
McCormick 3,677 124
Molson Coors Brewing, Cl B 1,131 66
NBTY* 1,511 34
Pepsi Bottling Group 4,098 116
PepsiAmericas 1,912 46
PepsiCo 45,607 2,566
Pilgrim's Pride (B) 351 12
Procter & Gamble (B) 68,679 3,788
Reynolds American (B) 4,009 332
Rite Aid (B)* 11,114 44
Safeway* 11,930 263
Sara Lee 21,120 429
Smithfield Foods* 2,275 68
Supervalu 3,645 119
Sysco (B) 17,087 635
Tootsie Roll Industries 625 19
Tyson Foods, Cl A 5,884 109
UST 4,403 196
Wal-Mart Stores 68,521 3,236
Walgreen 27,375 1,241
Whole Foods Market (B) 1,745 208
WM Wrigley Jr 4,196 286
--------
30,071
--------
ENERGY -- 7.7%
Amerada Hess 2,070 192
Anadarko Petroleum 6,330 479
Apache 8,691 511
Ashland 1,882 129
Baker Hughes 8,902 411
BJ Services (B) 4,301 217
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Burlington Resources 10,602 $ 537
Chesapeake Energy (B) 8,398 172
ChevronTexaco 57,177 3,075
ConocoPhillips 18,324 1,976
Cooper Cameron* 1,400 83
Devon Energy 12,812 588
Diamond Offshore Drilling (B) 1,595 75
El Paso 17,137 177
ENSCO International 3,978 132
EOG Resources (B) 6,231 311
Exxon Mobil 174,727 9,820
FMC Technologies* 1,780 56
Grant Prideco* 3,347 80
Halliburton 13,502 577
Kerr-McGee 3,862 285
Kinder Morgan 2,557 199
Marathon Oil 9,231 448
Murphy Oil 2,186 214
National Oilwell Varco* 4,462 201
Newfield Exploration* 3,362 129
Noble Energy 2,368 176
NRG Energy* 2,488 89
Occidental Petroleum 10,453 764
Patterson-UTI Energy 4,357 115
Pioneer Natural Resources 3,851 155
Pogo Producing 1,669 82
Premcor 1,048 71
Pride International* 3,756 85
Rowan* 2,759 76
Smith International 2,775 163
Sunoco 1,916 197
Tidewater 1,642 57
Unocal 7,043 401
Valero Energy 6,880 472
Western Gas Resources 1,449 46
Williams 14,873 274
XTO Energy 9,832 306
--------
24,603
--------
FINANCIALS -- 20.6%
A.G. Edwards (B) 2,109 87
Aflac 13,591 565
Alleghany (B)* 128 36
Allied Capital (B) 3,486 96
Allmerica Financial* 1,453 51
Allstate 18,774 1,093
AMB Property+ 2,144 86
AMBAC Financial Group 2,898 209
American Capital Strategies (B) 2,336 82
American Express 30,148 1,623
American Financial Group 915 30
American International Group 61,392 3,410
American National Insurance 222 26
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 31
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
Large Cap Index Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
AmeriCredit (B)* 4,028 $ 100
Ameritrade Holding* 6,243 93
AmSouth Bancorp (B) 9,416 251
Annaly Mortgage Management+ (B) 3,111 59
AON (B) 8,456 211
Apartment Investment & Management,
Cl A+ 2,441 91
Archstone-Smith Trust+ 5,241 193
Arden Realty+ 1,731 59
Arthur J Gallagher 2,468 68
Associated Banccorp 3,432 115
Assurant 2,100 74
Astoria Financial 3,042 84
AvalonBay Communities+ 1,915 143
Bank of America 108,940 5,046
Bank of Hawaii 1,456 71
Bank of New York 20,777 599
BB&T (B) 14,822 592
Bear Stearns 3,028 300
BlackRock, Cl A 485 38
BOK Financial* 475 21
Boston Properties+ (B) 2,183 146
BRE Properties, Cl A+ 1,320 51
Brown & Brown 1,412 63
Camden Property Trust+ 1,304 67
Capital One Financial (B) 6,813 514
CapitalSource (B)* 1,787 34
Capitol Federal Financial (B) 527 17
Catellus Development+ 2,709 79
CBL & Associates Properties+ (B) 603 49
Centerpoint Properties Trust+ 1,447 60
Charles Schwab 26,630 302
Chicago Mercantile Exchange Holdings 883 191
Chubb (B) 5,070 427
Cincinnati Financial 4,161 164
CIT Group 5,660 240
Citigroup 138,165 6,509
City National 1,098 78
CNA Financial (B)* 745 21
Colonial BancGroup 4,143 92
Comerica 4,631 259
Commerce Bancorp (B) 3,693 102
Commerce Bancshares (B) 1,663 81
Compass Bancshares 3,274 146
Conseco* 3,877 78
Countrywide Financial 15,859 589
Crescent Real Estate Equity EQT+ 2,004 37
Cullen/Frost Bankers 1,409 63
Developers Diversified Realty+ 2,900 132
Doral Financial (B) 2,226 26
Duke Realty+ (B) 3,658 113
E*Trade Financial* 9,774 121
Eaton Vance 3,692 90
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Equity Office Properties Trust+ 10,787 $ 350
Equity Residential+ 7,489 269
Erie Indemnity, Cl A 747 39
Fannie Mae 25,893 1,534
Federal Realty Investment Trust+ 1,375 76
Federated Investors, Cl B 2,158 64
Fidelity National Financial 4,255 153
Fifth Third Bancorp (B) 12,623 538
First American 2,361 91
First Horizon National (B) 3,312 140
First Marblehead* 517 23
FirstMerit 2,232 57
Forest City Enterprises, Cl A 784 50
Franklin Resources 4,270 308
Freddie Mac 18,395 1,196
Fremont General 1,743 37
Friedman Billings Ramsey Group,
Cl A+ (B) 3,635 47
Fulton Financial (B) 3,197 69
General Growth Properties+ (B) 6,350 247
Genworth Financial, Cl A 3,876 112
Golden West Financial 6,665 417
Goldman Sachs Group 8,742 852
Hartford Financial Services Group (B) 7,804 584
HCC Insurance Holdings 1,735 68
Health Care+ 1,383 50
Health Care Property Investors+ (B) 3,489 95
Hibernia, Cl A 4,149 133
Hospitality Properties Trust+ (B) 1,766 78
Host Marriott+ (B) 9,232 155
HRPT Properties Trust+ 5,285 63
Hudson City Bancorp (B) 1,681 58
Hudson United Bancorp 1,222 42
Huntington Bancshares 6,134 143
Independence Community Bank 2,152 81
IndyMac Bancorp 1,599 66
Instinet Group* 3,479 18
International Bancshares 949 34
Investors Financial Services 1,755 73
iStar Financial+ 2,954 124
Janus Capital Group (B) 6,120 94
Jefferies Group (B) 1,357 48
Jefferson-Pilot 3,722 188
JPMorgan Chase 95,202 3,403
Keycorp 10,966 359
Kimco Realty+ 2,598 150
Legg Mason 2,799 230
Lehman Brothers Holdings 7,399 682
Leucadia National 2,095 84
Liberty Property Trust+ (B) 2,403 99
Lincoln National 4,659 212
Loews 3,971 299
M&T Bank (B) 2,007 205
- --------------------------------------------------------------------------------
32 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Macerich+ 1,544 $ 97
Mack-Cali Realty+ 1,598 70
Markel* 228 78
Marsh & McLennan 13,985 406
Marshall & Ilsley 5,938 258
MBIA (B) 3,760 210
MBNA 30,351 640
Mellon Financial 11,345 315
Mercantile Bankshares 2,222 116
Mercury General 696 38
Merrill Lynch 25,599 1,389
Metlife 10,746 479
MGIC Investment 2,626 161
Mills+ (B) 1,412 81
MoneyGram International 2,406 45
Moody's 6,714 290
Morgan Stanley 29,369 1,438
National City 14,975 518
Nationwide Financial Services, Cl A 1,461 56
New Plan Excel Realty Trust+ 2,695 73
New York Community Bancorp (B) 7,070 129
NewAlliance Bancshares 2,493 34
North Fork Bancorporation 11,537 314
Northern Trust 5,220 240
Nuveen Investments, Cl A (B) 1,770 64
Odyssey Re Holdings (B) 384 9
Old Republic International 4,791 119
Pan Pacific Retail Properties+ 1,011 65
Peoples Bank 1,589 45
Plum Creek Timber+ (B) 4,889 171
PMI Group 2,456 93
PNC Financial Services Group 7,734 423
Popular 7,075 167
Principal Financial Group 8,006 319
Progressive 5,350 514
Prologis+ 4,856 198
Protective Life 1,809 73
Providian Financial (B)* 7,745 138
Prudential Financial 14,108 893
Public Storage+ 2,190 132
Radian Group 2,526 116
Raymond James Financial 1,714 46
Rayonier+ 1,342 70
Reckson Associates Realty+ 2,092 66
Regency Centers+ 1,590 89
Regions Financial (B) 12,320 415
Reinsurance Group of America 799 37
Safeco 3,400 183
SEI Investments (F) 1,723 60
Shurgard Storage Centers, Cl A+ 1,246 54
Simon Property Group+ 4,477 308
Sky Financial Group 2,822 81
SL Green Realty+ 1,032 64
SLM 11,730 566
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
South Financial Group 1,800 $ 49
Sovereign Bancorp 9,814 219
St. Joe (B) 1,444 114
St. Paul Travelers 17,826 675
Stancorp Financial Group 721 54
State Street 8,977 431
Student Loan 102 22
SunTrust Banks 8,763 645
Synovus Financial (B) 8,099 235
T Rowe Price Group (B) 2,898 173
TCF Financial 3,626 94
TD Banknorth (B) 2,313 69
Thornburg Mortgage+ (B) 2,443 74
Torchmark 2,971 157
Toronto-Dominion Bank 1 --
Transatlantic Holdings 655 37
Trizec Properties+ 2,349 46
UCBH Holdings 2,422 41
UnionBanCal 1,447 91
United Dominion Realty Trust+ 3,582 83
Unitrin 1,260 63
UnumProvident (B) 7,743 142
US Bancorp 50,641 1,485
Valley National Bancorp 2,686 64
Ventas+ 2,210 63
Vornado Realty Trust+ (B) 2,564 202
W Holding 3,009 27
Wachovia 42,969 2,181
Waddell & Reed Financial, Cl A 2,170 42
Washington Federal 2,263 52
Washington Mutual 23,270 961
Webster Financial 1,323 62
Weingarten Realty Investors+ 2,067 79
Wells Fargo 45,087 2,724
Wesco Financial 41 15
Westcorp 532 26
WFS Financial* 207 10
Whitney Holding 1,521 48
Wilmington Trust 1,663 60
WR Berkley 2,742 97
Zions Bancorporation 2,388 169
--------
66,064
--------
HEALTH CARE -- 13.7%
Abbott Laboratories 41,671 2,010
Accredo Health* 1,373 62
Aetna 8,144 635
Affymetrix (B)* 1,721 92
Allergan 3,511 271
American Pharmaceutical Partners (B)* 564 25
AmerisourceBergen 2,905 188
Amgen* 34,618 2,166
Amylin Pharmaceuticals (B)* 2,830 45
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 33
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
Large Cap Index Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Andrx (B)* 1,901 $ 38
Applera--Applied Biosystems Group (B) 5,435 116
Barr Pharmaceuticals* 2,358 120
Bausch & Lomb (B) 1,368 107
Baxter International 16,379 604
Beckman Coulter 1,626 114
Becton Dickinson (B) 6,769 389
Biogen Idec (B)* 9,081 355
Biomet 6,801 256
Boston Scientific* 17,674 479
Bristol-Myers Squibb 51,951 1,318
C.R. Bard 2,790 190
Cardinal Health 11,501 666
Caremark Rx* 12,389 553
Celgene* 4,512 191
Cephalon (B)* 1,448 61
Charles River Laboratories International* 1,575 76
Chiron (B)* 2,933 110
Cigna 3,588 349
Community Health Systems (B)* 1,803 66
Cooper (B) 1,058 70
Covance* 1,658 72
Coventry Health Care (B)* 2,811 196
Cytyc* 2,903 68
Dade Behring Holdings* 1,121 75
DaVita (B)* 2,577 119
Dentsply International 2,108 120
Edwards Lifesciences (B)* 1,507 69
Eli Lilly 26,044 1,518
Endo Pharmaceuticals Holdings* 1,297 26
Eon Labs* 765 23
Express Scripts* 1,656 153
Eyetech Pharmaceuticals (B)* 216 3
Fisher Scientific International (B)* 3,152 197
Forest Laboratories* 9,829 379
Gen-Probe* 1,327 52
Genentech* 11,851 939
Genzyme* 6,543 408
Gilead Sciences* 12,036 491
Guidant 8,381 619
HCA 11,344 613
Health Management Associates, Cl A 6,414 162
Health Net* 2,930 100
Henry Schein* 2,292 92
Hillenbrand Industries (B) 1,424 72
Hospira* 4,189 160
Humana* 4,326 157
ICOS* 1,404 30
Idexx Laboratories* 949 55
ImClone Systems (B)* 1,697 56
IMS Health 6,247 153
Inamed* 954 59
Invitrogen (B)* 1,370 109
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
IVAX (B)* 5,293 $ 104
Johnson & Johnson 79,311 5,322
Kinetic Concepts* 685 44
King Pharmaceuticals* 6,419 61
Laboratory of America Holdings (B)* 3,780 183
Lincare Holdings (B)* 2,570 113
Manor Care 2,527 98
Martek Biosciences (B)* 700 26
McKesson (B) 7,779 313
Medco Health Solutions* 7,244 362
Medicis Pharmaceutical, Cl A (B) 1,472 42
Medimmune* 6,652 176
Medtronic 32,388 1,741
Merck 59,370 1,926
Mettler Toledo International* 1,136 56
MGI Pharma (B)* 1,916 45
Millennium Pharmaceuticals* 7,816 65
Millipore* 1,286 66
Mylan Laboratories (B) 7,172 118
Nektar Therapeutics (B)* 2,345 43
Neurocrine Biosciences* 952 36
Omnicare (B) 2,725 104
OSI Pharmaceuticals* 1,259 47
Pacificare Health Systems (B)* 2,303 145
Patterson (B)* 3,242 147
PerkinElmer 3,334 64
Pfizer 203,863 5,688
Pharmaceutical Product
Development (B)* 1,323 64
Protein Design Labs (B)* 3,127 60
Quest Diagnostics 2,167 228
Renal Care Group* 1,831 85
Resmed (B)* 900 56
Respironics* 920 62
Schering-Plough 39,329 767
Sepracor (B)* 2,810 171
St. Jude Medical* 9,416 378
Stryker 7,647 372
Tenet Healthcare* 12,466 151
Thermo Electron* 4,642 122
Triad Hospitals (B)* 2,270 115
UnitedHealth Group 33,994 1,651
Universal Health Services, Cl B 1,333 78
Varian Medical Systems* 3,630 137
VCA Antech* 1,747 43
Waters (B)* 3,387 132
Watson Pharmaceuticals* 2,792 84
WellChoice* 540 31
WellPoint* 7,863 1,046
Wyeth 35,629 1,545
Zimmer Holdings* 6,521 499
--------
44,079
--------
- --------------------------------------------------------------------------------
34 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
INDUSTRIALS -- 10.7%
3M 20,897 $ 1,602
AGCO (B)* 2,394 44
Alliant Techsystems (B)* 971 70
Allied Waste Industries (B)* 7,205 56
American Power Conversion 4,535 115
American Standard 4,948 212
Ametek 1,765 68
AMR (B)* 4,400 57
Apollo Group, Cl A (B)* 3,880 305
Avery Dennison 2,924 153
BearingPoint (B)* 3,976 26
Boeing 22,527 1,439
Briggs & Stratton 1,419 48
Brink's 1,538 48
Burlington Northern Santa Fe 9,911 490
C.H. Robinson Worldwide 2,297 131
Career Education (B)* 2,595 90
Carlisle 833 58
Caterpillar 9,136 860
Cendant 27,256 578
ChoicePoint* 2,271 89
Cintas 3,301 133
CNF 1,323 59
Copart* 1,813 45
Corinthian Colleges* 2,527 39
Corporate Executive Board 1,187 83
Crane 1,288 34
CSX 5,738 239
Cummins (B) 1,102 75
Danaher 6,330 349
Deere 6,653 440
Deluxe 1,372 55
DeVry* 1,480 30
Donaldson 1,972 63
Dover 5,400 205
Eaton 4,025 241
Education Management* 1,856 60
Emerson Electric 11,273 749
Equifax (B) 3,522 122
Expeditors International Washington 2,792 142
Fastenal (B) 1,599 93
FedEx (B) 7,982 714
Fluor (B) 2,175 125
General Dynamics 5,319 574
General Electric 281,975 10,286
Goodrich 3,145 132
Graco 1,824 64
H&R Block (B) 4,408 220
Harsco 1,196 69
Herman Miller 1,893 55
Hewitt Associates, Cl A* 1,063 27
HNI 1,500 77
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Honeywell International 22,958 $ 832
Hubbell, Cl B (B) 1,592 72
Hughes Supply 1,823 47
IKON Office Solutions 3,176 31
Illinois Tool Works 6,671 563
Iron Mountain* 2,868 82
ITT Educational Services (B)* 1,221 55
ITT Industries 2,476 235
Jacobs Engineering Group* 1,431 75
JB Hunt Transport Services (B) 2,920 59
JetBlue Airways (B)* 2,396 52
L-3 Communications Holdings 2,756 195
Lafarge North America (B) 839 51
Laureate Education* 989 46
Lockheed Martin 10,014 650
Manpower 2,420 96
Masco 11,706 375
Monster Worldwide* 2,581 68
Navistar International* 1,607 49
Norfolk Southern 10,478 334
Northrop Grumman 9,607 535
Oshkosh Truck 949 76
Paccar 4,689 332
Pall 3,258 95
Parker Hannifin 3,183 192
Pentair 2,811 125
PHH* 1,331 32
Pitney Bowes 6,178 276
Precision Castparts 1,728 134
Raytheon 12,055 472
Republic Services 3,857 137
Robert Half International 3,862 96
Rockwell Automation 4,968 255
Rockwell Collins 4,740 234
Roper Industries 1,100 77
RR Donnelley & Sons 5,812 193
Ryder System 1,706 63
Service International 9,291 70
ServiceMaster 7,440 97
SIRVA* 500 4
Southwest Airlines 21,119 307
SPX 2,065 92
Steelcase, Cl A 1,403 18
Stericycle* 1,113 55
Teleflex 940 53
Textron 3,149 243
Timken 1,729 41
Union Pacific 6,925 464
United Defense Industries 1,250 93
United Parcel Service, Cl B 15,269 1,125
United Technologies 13,732 1,465
Viad 526 15
Waste Management 15,514 458
Weight Watchers International* 1,046 51
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 35
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
Large Cap Index Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
WW Grainger 2,053 $ 112
Yellow Roadway (B)* 1,623 86
--------
34,278
--------
INFORMATION TECHNOLOGY -- 15.4%
3Com* 10,696 39
Activision* 4,810 76
Acxiom 2,560 47
Adobe Systems (B) 12,760 422
Advanced Micro Devices (B)* 10,531 173
Affiliated Computer Services, Cl A (B)* 3,270 169
Agere Systems* 4,614 63
Agilent Technologies* 12,850 308
Akamai Technologies* 2,918 41
Alliance Data Systems (B)* 1,210 46
Altera* 9,953 221
American Tower, Cl A* 5,568 100
Amkor Technology (B)* 2,401 8
Amphenol, Cl A 1,808 77
Analog Devices 10,045 372
Andrew (B)* 4,379 58
Apple Computer (B)* 21,486 853
Applied Materials* 45,046 739
Applied Micro Circuits* 7,514 22
Arrow Electronics* 2,989 83
Ask Jeeves (B)* 1,596 48
Atmel* 10,166 30
Autodesk 6,351 251
Automatic Data Processing 15,778 691
Avaya* 12,094 111
Avid Technology (B)* 872 51
Avnet* 3,029 63
Avocent* 1,366 38
AVX (B) 1,424 17
BEA Systems* 9,519 80
BMC Software* 6,353 108
Broadcom, Cl A (B)* 6,989 248
Cadence Design Systems (B)* 7,207 101
CDW 1,653 96
Ceridian* 3,775 72
Certegy 1,663 62
Checkfree (B)* 2,154 80
Ciena* 14,989 33
Cisco Systems* 180,648 3,501
Citrix Systems* 4,450 112
Cogent* 543 11
Cognizant Technology Solutions, Cl A* 3,453 166
Computer Associates International (B) 12,459 340
Computer Sciences* 5,014 232
Compuware* 10,463 72
Comverse Technology (B)* 5,089 120
Conexant Systems* 11,207 16
Convergys* 3,669 50
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Corning (B)* 36,671 $ 575
Cree (B)* 1,922 58
Cypress Semiconductor* 3,933 51
Dell* 67,639 2,698
Diebold 1,922 96
Dolby Laboratories, Cl A* 1,095 22
DST Systems (B)* 1,913 92
Dun & Bradstreet* 1,915 118
Electronic Arts (B)* 7,988 420
Electronic Data Systems 13,605 268
EMC* 64,666 909
Fair Isaac 1,939 66
Fairchild Semiconductor International* 3,040 43
First Data 21,427 811
Fiserv* 5,212 224
Flir Systems* 1,776 48
Foundry Networks* 3,169 29
Freescale Semiconductor, Cl B* 10,395 210
Global Payments (B) 777 54
Google, Cl A* 544 151
Harris 3,440 99
Hewlett-Packard 77,364 1,741
Ingram Micro, Cl A* 3,159 50
Integrated Circuit Systems (B)* 1,909 40
Intel 172,805 4,654
International Business Machines 45,028 3,402
International Rectifier (B)* 1,804 86
Intersil, Cl A 3,810 71
Intuit* 4,572 198
Jabil Circuit* 4,261 124
Jack Henry & Associates (B) 1,642 29
JDS Uniphase (B)* 36,420 56
Juniper Networks* 14,164 363
Kla-Tencor (B)* 5,255 239
Lam Research* 3,525 108
Lexmark International, Cl A* 3,473 238
Linear Technology 8,270 310
LSI Logic* 10,368 76
Lucent Technologies (B)* 114,541 322
Macromedia* 2,096 93
Maxim Integrated Products 8,612 339
Maxtor* 6,334 35
McAfee* 4,376 125
MEMC Electronic Materials (B)* 2,238 31
Mercury Interactive (B)* 2,194 99
Microchip Technology 5,556 165
Micron Technology (B)* 15,459 170
Microsoft 245,139 6,325
Molex 3,534 94
Motorola 62,636 1,088
National Instruments 1,436 33
National Semiconductor 9,581 193
NAVTEQ (B)* 1,100 42
NCR* 4,974 182
- --------------------------------------------------------------------------------
36 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
NetFlix (B)* 800 $ 11
Network Appliance* 8,730 251
Novell* 10,248 60
Novellus Systems (B)* 3,630 97
Nvidia* 4,640 126
Oracle* 100,910 1,294
Paychex 8,832 255
Pixar (B)* 1,286 68
Plantronics 1,277 44
PMC - Sierra* 4,905 43
Polycom* 2,531 43
QLogic* 2,442 78
Qualcomm 43,294 1,613
Rambus (B)* 2,168 33
Red Hat (B)* 4,349 55
Reynolds & Reynolds, Cl A 1,637 45
Sabre Holdings, Cl A 3,580 72
SanDisk* 4,836 126
Sanmina-SCI* 14,017 72
Scientific-Atlanta 4,049 135
Semtech* 2,053 37
Siebel Systems* 11,132 103
Silicon Laboratories* 981 27
Solectron (B)* 24,097 88
Storage Technology* 2,870 93
Sun Microsystems* 88,891 339
Sungard Data Systems* 7,754 269
Sybase (B)* 2,689 55
Symantec (B)* 18,962 429
Symbol Technologies 6,324 73
Synopsys* 4,213 76
Tech Data* 1,550 56
Tektronix 2,433 55
Tellabs* 11,933 98
Teradyne (B)* 5,201 68
Texas Instruments (B) 46,253 1,278
TIBCO Software* 5,516 35
Total System Services (B) 969 24
Unisys* 8,532 62
Utstarcom (B)* 2,346 17
VeriSign* 7,251 235
Veritas Software* 11,429 284
Vishay Intertechnology* 4,813 62
WebMD (B)* 8,942 84
Western Digital* 5,568 84
Xerox (B)* 25,549 347
Xilinx 9,215 256
Yahoo!* 30,586 1,138
Zebra Technologies, Cl A (B)* 1,467 63
--------
49,236
--------
MATERIALS -- 3.0%
Air Products & Chemicals 6,074 366
Alcoa 23,231 630
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Arch Coal 1,693 $ 82
Ball 3,014 113
Bemis 2,774 75
Bowater (B) 1,478 46
Cabot 1,673 49
Celanese, Cl A* 1,824 28
Consol Energy 2,360 113
Dow Chemical 25,014 1,133
E.I. Du Pont de Nemours 26,725 1,243
Eastman Chemical 2,071 122
Ecolab 4,921 159
Engelhard 3,190 94
Florida Rock Industries (B) 765 50
Freeport-McMoRan Copper & Gold,
Cl B (B) 4,027 142
Georgia-Pacific 6,815 226
Huntsman* 1,990 38
International Flavors & Fragrances 2,222 82
International Paper 12,974 418
Louisiana-Pacific 2,846 72
Lubrizol 1,800 71
Lyondell Chemical 5,221 124
Martin Marietta Materials 1,252 76
Massey Energy (B) 2,013 81
MeadWestvaco 5,375 154
Monsanto 7,097 405
Nalco Holding* 1,167 21
Neenah Paper (B) 400 12
Newmont Mining 10,751 400
Nucor (B) 4,220 223
Owens-Illinois* 3,021 78
Packaging of America (B) 1,499 33
Pactiv* 4,132 94
Peabody Energy 3,428 164
Phelps Dodge 2,499 218
PPG Industries 4,586 300
Praxair 8,685 407
Rohm & Haas 4,278 200
RPM International 2,969 52
Scotts Miracle-Gro, Cl A* 527 37
Sealed Air* 2,268 117
Sigma-Aldrich 1,862 112
Smurfit-Stone Container* 6,703 73
Sonoco Products 2,612 70
Southern Peru Copper (B) 409 19
Temple-Inland 2,900 104
United States Steel 3,032 121
Valspar 1,332 63
Vulcan Materials 2,717 163
Weyerhaeuser 6,399 410
Worthington Industries 1,629 27
--------
9,710
--------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 37
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
Large Cap Index Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 3.0%
ADC Telecommunications* 2,967 $ 54
Adtran 1,731 38
Alltel (B) 8,235 479
AT&T 21,217 399
BellSouth 49,012 1,312
CenturyTel 3,729 122
Citizens Communications (B) 9,015 123
Crown Castle International* 5,018 89
IDT, Cl B (B)* 1,749 24
Level 3 Communications (B)* 18,416 38
Nextel Communications, Cl A* 27,430 828
Nextel Partners, Cl A (B)* 3,299 78
NII Holdings* 1,510 90
Qwest Communications
International (B)* 39,539 155
SBC Communications 88,486 2,069
Spectrasite* 1,049 67
Sprint (B) 38,111 903
Telephone & Data Systems (B) 1,319 51
Telephone & Data Systems,
Special Shares* 1,319 50
US Cellular* 431 20
Verizon Communications 74,016 2,619
West* 498 18
Western Wireless, Cl A* 2,347 93
--------
9,719
--------
UTILITIES -- 3.5%
AES* 17,030 254
AGL Resources 2,166 76
Allegheny Energy (B)* 4,582 111
Allete 790 38
Alliant Energy 2,940 81
Ameren 5,193 284
American Electric Power (B) 10,574 377
Aqua America (B) 2,565 70
Centerpoint Energy (B) 7,329 90
Cinergy 5,117 211
Consolidated Edison 6,440 293
Constellation Energy Group 4,848 259
Dominion Resources 9,165 644
DPL 3,209 81
DTE Energy 4,636 220
Duke Energy (B) 24,447 672
Dynegy, Cl A (B)* 7,511 35
Edison International 8,708 320
Energy East 4,120 115
Entergy 5,693 409
Equitable Resources 1,656 105
Exelon 17,661 827
FirstEnergy 8,815 391
FPL Group 10,612 431
Great Plains Energy (B) 2,050 65
Hawaiian Electric Industries 2,146 55
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
KeySpan 4,266 $ 170
MDU Resources Group 3,121 90
National Fuel Gas 1,921 54
NiSource 7,037 170
Northeast Utilities 3,407 68
NSTAR 1,408 82
OGE Energy (B) 2,268 63
Oneok (B) 2,696 83
Pepco Holdings 5,027 113
PG&E (B) 10,110 362
Pinnacle West Capital 2,760 122
PPL 5,049 290
Progress Energy (B) 6,591 292
Public Service Enterprise Group (B) 6,323 351
Puget Energy 2,661 61
Questar 2,199 139
Reliant Energy* 7,672 94
SCANA 2,987 126
Sempra Energy 5,455 216
Southern 19,706 669
TECO Energy 5,663 100
TXU 6,407 514
UGI 2,752 73
Vectren (B) 1,991 54
Westar Energy 2,292 53
Wisconsin Energy 3,140 114
WPS Resources 1,002 55
Xcel Energy (B) 10,627 196
--------
11,288
--------
Total Common Stock
(Cost $257,183) ($ Thousands) 316,866
--------
CORPORATE OBLIGATIONS (C) (E) -- 5.3%
FINANCIALS -- 5.3%
ASIF Global Financing XV (G)
3.020%, 09/02/05 $ 54 54
Allstate Life Global Funding II MTN (G)
3.080%, 06/15/06 266 266
American General Finance (G)
3.090%, 06/15/06 521 521
Bear Stearns EXL
3.100%, 06/15/06 1,030 1,030
CCN Bluegrass (G)
3.170%, 02/21/06 376 376
CIT Group MTN
3.260%, 05/12/06 1,446 1,446
3.199%, 07/29/05 66 66
3.163%, 04/19/06 145 145
Caterpillar Financial Services MTN, Ser F
3.250%, 07/11/05 289 289
Countrywide Home Loans MTN, Ser A
3.509%, 03/21/06 474 474
- --------------------------------------------------------------------------------
38 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Home Loans MTN, Ser M
3.389%, 08/26/05 $ 174 $ 174
3.152%, 06/23/05 353 353
3.040%, 11/30/05 659 659
2.810%, 01/31/06 127 127
Dekabank (G)
3.206%, 05/19/06 1,070 1,070
Five Finance MTN (G)
3.100%, 09/22/05 821 821
Harrier Finance Funding MTN (G)
3.034%, 09/15/05 168 168
Harrier Finance Funding MTN, Ser 1 (G)
3.016%, 06/15/05 503 503
Irish Life & Permanent MTN, Ser X (G)
3.101%, 06/22/06 538 538
Jackson National Life Funding (G)
3.064%, 05/01/06 1,272 1,272
K2 MTN (G)
2.995%, 12/12/05 35 35
Lakeside Funding
3.120%, 06/08/05 289 289
Liberty Lighthouse US Capital (G)
3.118%, 05/10/06 578 578
Morgan Stanley EXL
3.089%, 05/04/06 202 202
Morgan Stanley EXL, Ser S
3.085%, 06/02/06 289 289
Nationwide Building Society (G)
3.090%, 01/06/06 578 578
3.083%, 10/28/05 289 289
Northern Rock (G)
3.099%, 02/03/06 596 596
Pacific Life Global Funding (G)
3.080%, 06/13/06 434 434
Premium Asset Trust, Ser 2004-01 (G)
3.100%, 02/06/06 428 428
Premium Asset Trust, Ser 2004-10 (G)
3.100%, 04/14/06 810 810
SLM EXL, Ser S (G)
3.090%, 05/15/06 636 636
SLM MTN, Ser X (G)
3.090%, 06/20/06 1,157 1,157
White Pine Finance MTN, Ser 1 (G)
3.071%, 11/01/05 254 254
--------
Total Corporate Obligations
(Cost $16,927) ($ Thousands) 16,927
--------
ASSET-BACKED SECURITIES (C) (E) (G) -- 2.7%
AUTOMOTIVE -- 0.5%
Capital Auto Receivables Asset Trust,
Ser 2005-SN1A, Cl A1
3.327%, 05/15/06 1,399 1,399
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Drivetime Auto Owner Trust,
Ser 2005-A, Cl A1
3.110%, 03/15/06 $ 138 $ 138
--------
1,537
--------
MORTGAGE RELATED SECURITIES -- 2.2%
Aire Valley Mortgages, Ser 2004-1A, Cl 1A
3.090%, 09/20/05 370 370
Blue Heron Funding, Ser 6A, Cl A1
3.129%, 06/21/05 116 116
Blue Heron Funding, Ser 9A, Cl A1
3.120%, 02/22/06 578 578
CCN Independence IV
3.160%, 10/17/05 318 318
3.160%, 01/17/06 203 203
Cheyne High Grade, Ser 2004-1A, Cl A1
3.250%, 11/10/05 333 333
Commodore, Ser 2003-2A, Cl A1MM
3.100%, 12/12/38 266 266
Duke Funding, Ser 2004-6B, Cl A1S1
2.680%, 04/10/06 434 434
Harwood Street Funding I,
Ser 2004-1A, Cl NOTE
3.140%, 09/20/05 821 821
Harwood Street Funding II,
Ser 2005-1A, Cl NOTE
3.141%, 06/25/06 578 578
Orchid Structured Finance,
Ser 2003-1A, Cl A1MM
3.370%, 11/18/05 565 565
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AMM2
3.140%, 11/25/05 930 930
RMAC, Ser 2004-NS2A, Cl A1
3.080%, 06/13/05 103 103
RMAC, Ser 2004-NS3A, Cl A1
3.090%, 06/12/05 243 243
Saturn Ventures II
3.150%, 08/08/05 642 642
TIAA Real Estate, Ser 2003 1A, Cl A1
3.131%, 03/28/06 374 374
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMB
3.040%, 06/15/05 145 145
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMC
3.030%, 09/15/05 104 104
--------
7,123
--------
Total Asset-Backed Securities
(Cost $8,660) ($ Thousands) 8,660
--------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 39
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
Large Cap Index Fund (Concluded)
May 31, 2005
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (C) (D) -- 1.2%
FINANCIALS -- 1.2%
Ajax Bambino Funding
3.119%, 07/06/05 $ 578 $ 577
Altimira Funding
3.004%, 06/16/05 75 75
Beethoven Funding
3.109%, 07/05/05 289 288
3.013%, 06/13/05 291 290
Brahms Funding
3.000%, 06/02/05 746 746
Capital One Multi-Asset Funding
3.025%, 06/20/05 231 231
3.002%, 06/07/05 202 202
Cobbler Funding
3.057%, 06/28/05 106 106
Cre-8 Funding
3.106%, 06/23/05 202 202
Golden Fish
3.066%, 06/22/05 301 300
3.065%, 06/20/05 188 188
3.055%, 06/21/05 87 87
3.053%, 06/14/05 233 232
Rams Funding
3.121%, 06/06/05 289 289
--------
Total Commercial Paper
(Cost $3,813) ($ Thousands) 3,813
--------
CASH EQUIVALENT -- 0.9%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A++ 3,079,256 3,079
--------
Total Cash Equivalent
(Cost $3,079) ($ Thousands) 3,079
--------
MASTER NOTES (C) -- 0.7%
Bank of America Master Notes
3.143%, 06/01/05 1,446 1,446
Bear Stearns Master Notes
3.234%, 06/01/05 694 694
--------
Total Master Notes
(Cost $2,140) ($ Thousands) 2,140
--------
CERTIFICATES OF DEPOSIT (C) (E) -- 0.4%
U.S. Trust
3.215%, 09/12/05 578 578
Washington Mutual Bank
3.270%, 08/18/05 683 683
--------
Total Certificates of Deposit
(Cost $1,261) ($ Thousands) 1,261
--------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATION -- 0.1%
U.S. Treasury Bills (A)
2.783%, 06/23/05 $ 535 $ 534
--------
Total U.S. Treasury Obligation
(Cost $534) ($ Thousands) 534
--------
REPURCHASE AGREEMENTS (C) -- 1.8%
Barclays Capital
3.040%, dated 05/31/05, to be
repurchased on 06/01/05,
repurchase price $910,255
(collateralized by U.S. Government
Obligation, par value $947,332,
0.000%, 12/28/05; with total
market value $928,386) 910 910
Lehman Brothers
3.040%, dated 05/31/05, to be
repurchased on 06/01/05,
repurchase price $723,030
(collateralized by various
U.S. Government Obligations,
ranging in par value $8,762-
$436,639, 0.000%-4.375%,
10/15/06-10/15/16; with total
market value $737,455) 723 723
UBS Paine Webber
3.050%, dated 05/31/05, to be
repurchased on 06/01/05,
repurchase price $4,048,971
(collateralized by various
U.S. Government Obligations,
ranging in par value $168,972-
$1,087,374, 0.000%-8.875%,
04/15/07-05/15/30; with total
market value $4,129,614) 4,049 4,049
--------
Total Repurchase Agreements
(Cost $5,682) ($ Thousands) 5,682
--------
Total Investments -- 111.9%
(Cost $299,279) ($ Thousands) 358,962
--------
- --------------------------------------------------------------------------------
40 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (11.9)%
Payable upon Return on Securities Loaned $(38,483)
Payable for Investment Securities Purchased (662)
Payable for Fund Shares Redeemed (216)
Investment Advisory Fees Payable (39)
Trustees' Fees Payable (1)
Other Assets and Liabilities, Net 1,142
--------
Total Other Assets and Liabilities (38,259)
--------
Net Assets -- 100.0% $320,703
========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $260,980
Undistributed net investment income 1,046
Accumulated net realized loss on investments
and futures contracts (1,062)
Net unrealized appreciation on investments 59,683
Net unrealized appreciation on futures contracts 56
--------
Net Assets $320,703
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($320,703,005 / 3,018,640 shares) $106.24
=======
A summary of the open futures contracts held by the fund at May 31, 2005, is as
follows: (see note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------------------
CONTRACT UNREALIZED
TYPE OF NUMBER OF VALUE EXPIRATION APPRECIATION
CONTRACT CONTRACTS ($ THOUSANDS) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
S&P 500 Index E-Mini 67 $3,994 06/17/05 $56
---
* 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 May 31,
2005 (see Note 9). The total value of securities on loan at May 31, 2005 was
$37,244 ($Thousands).
(C) This security was purchased with cash collateral held from securities
lending (see Note 9). The total value of such securities as of May 31, 2005
was $38,483 ($Thousands).
(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 May 31, 2005.
(F) The Fund may purchase securities of certain companies with which it is
affiliated to the extent these companies are represented in its benchmark
Index.
(G) This security, which was purchased with cash collateral, was sold within the
terms of private placement memorandum, exempt from registration under
Section 3A-4, 4(2) or 144A of the Securities Act of 1933, as amended, and
may be sold only to dealers in that program or other "accredited investors."
Cl -- Class
EXL -- Extendable Maturity
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 / Annual Report / May 31, 2005 41
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
Small Cap Fund
May 31, 2005
- --------------------------------------------------------------------------------
[THE FOLLOWING WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
SECTOR WEIGHTINGS (UNAUDITED)++
25.9% Financials
14.1% Information Technology
13.3% Consumer Discretionary
11.7% Industrials
9.1% Health Care
7.9% Short-Term Investments
4.8% Asset-Backed Securities
4.3% Energy
3.7% Materials
1.9% Consumer Staples
1.6% Utilities
0.7% Certificates of Deposit
0.7% Telecommunication Services
0.2% Exchange Traded Fund
0.1% U.S. Treasury Obligations
0.0% Rights
0.0% Warrants
++Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 94.7%
CONSUMER DISCRETIONARY -- 16.9%
1-800 Contacts (B)* 90,400 $ 1,766
7-Eleven* 38,700 1,155
Aaron Rents 8,900 201
Abercrombie & Fitch, Cl A 18,500 1,061
AC Moore Arts & Crafts* 38,800 1,155
Adesa 59,400 1,353
Advo (B) 163,365 5,072
Aftermarket Technology* 60,340 926
Alliance Gaming (B)* 162,940 2,117
America's Car Mart* 85,750 1,835
American Axle & Manufacturing
Holdings (B) 28,430 589
American Greetings, Cl A (B) 102,910 2,674
AnnTaylor Stores (B)* 94,400 2,432
Arctic Cat 84,800 1,832
ArvinMeritor 152,500 2,196
Bandag 22,900 1,060
Belo, Cl A 35,840 881
BJ's Restaurants* 396,900 7,303
BJ's Wholesale Club* 76,800 2,316
Blue Nile (B)* 40,300 1,205
Brinker International* 14,970 563
Brown Shoe 83,000 2,913
Buffalo Wild Wings (B)* 29,500 948
Build-A-Bear Workshop (B)* 122,200 3,348
Carmike Cinemas 42,240 1,382
Carter's* 65,800 3,070
Cato, Cl A 93,200 2,690
CellStar (B)* 135,700 176
Central Garden & Pet (B)* 55,115 2,444
Charming Shoppes* 195,400 1,764
Cheesecake Factory (B)* 66,900 2,362
Christopher & Banks 57,100 1,045
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CKE Restaurants* 70,600 $ 1,165
Claire's Stores 22,200 523
Coach* 154,800 4,495
Commercial Vehicle Group* 8,600 158
Cooper Tire & Rubber 46,770 891
Cost Plus* 38,600 898
CSK Auto* 106,650 1,806
Ctrip.com International ADR (B)* 42,310 2,149
Dave & Buster's (B)* 13,300 239
DiamondRock Hospitality+ (I)(J)* 122,500 1,235
Dick's Sporting Goods (B)* 81,165 2,936
Dollar Thrifty Automotive Group* 78,300 2,818
Dress Barn (B)* 60,890 1,102
Ethan Allen Interiors (B) 90,800 2,833
Exide Technologies (B)* 100,200 507
Fairmont Hotels & Resorts 86,100 2,970
Fleetwood Enterprises (B)* 143,400 1,372
Foot Locker 46,030 1,216
Fossil* 29,000 619
Four Seasons Hotels 25,700 1,856
Furniture Brands International 202,100 4,064
GameStop, Cl A (B)* 92,400 2,694
Gaylord Entertainment (B)* 57,100 2,400
Genesco* 36,900 1,264
Gildan Activewear* 35,400 1,795
Great Wolf Resorts* 46,700 1,029
Group 1 Automotive* 59,700 1,595
GSI Commerce (B)* 62,100 922
Guitar Center (B)* 43,800 2,496
Handleman 214,247 3,889
Hibbett Sporting Goods (B)* 117,775 4,136
HOT Topic (B)* 214,550 4,606
Imax* 106,005 1,013
Jakks Pacific (B)* 45,449 939
Jarden (B)* 99,655 5,070
Jo-Ann Stores* 56,600 1,514
K2 (B)* 99,000 1,246
Kellwood 201,710 5,075
Kerzner International* 19,400 1,195
Kimball International, Cl B 54,300 668
Knoll 115,200 2,002
La-Z-Boy 54,800 732
Landry's Restaurants 34,800 1,043
Leapfrog Enterprises (B)* 81,100 899
Liberty 31,570 1,140
Life Time Fitness* 31,400 894
Lin TV, Cl A (B)* 152,500 2,219
Linens `N Things* 67,500 1,645
Lions Gate Entertainment (B)* 358,380 3,731
Lone Star Steakhouse & Saloon (B) 58,200 1,758
Marchex, Cl B (B)* 239,100 3,567
Marine Products 11,100 168
Marvel Enterprises (B)* 80,700 1,716
- --------------------------------------------------------------------------------
42 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
MDC Holdings 28,080 $ 2,028
Men's Wearhouse* 16,960 871
Meritage Homes* 28,300 2,058
Mikohn Gaming* 71,785 905
Movie Gallery (B) 199,680 6,382
MTR Gaming Group* 87,700 900
National Presto Industries 11,630 498
Nexstar Broadcasting Group, Cl A* 110,400 617
Nuco2 (B)* 28,800 682
O'Reilly Automotive* 1,100 61
Outdoor Channel Holdings* 20,200 303
Pantry* 38,400 1,486
Parkervision (B)* 127,600 574
Parkervision, PIPE (H) (I) (J)* 30,000 132
Payless Shoesource* 186,800 3,144
PEP Boys-Manny Moe & Jack 51,600 689
Petco Animal Supplies* 21,600 650
Phillips-Van Heusen 70,935 2,198
Pier 1 Imports (B) 51,900 871
Polo Ralph Lauren 37,300 1,445
Primedia (B)* 185,200 676
Provide Commerce (B)* 39,800 920
Quiksilver* 44,500 708
Rare Hospitality International (B)* 106,400 3,302
RC2* 31,000 1,117
Red Robin Gourmet Burgers* 57,449 3,153
Reebok International 16,590 675
Regis 118,571 4,480
Rent-A-Center* 44,300 1,048
Ryan's Restaurant Group* 132,000 1,843
Ryland Group (B) 38,700 2,651
Saks (B) 76,800 1,316
Scholastic* 51,700 1,940
Select Comfort (B)* 83,200 2,022
Shoe Carnival* 4,700 86
Shuffle Master (B)* 83,410 2,285
Sonic (B)* 72,250 2,456
Sonic Automotive 116,700 2,488
Sonic Solutions (B)* 85,000 1,299
Sotheby's Holdings, Cl A* 71,900 1,009
Sports Authority (B)* 84,700 2,710
Stage Stores* 21,600 843
Standard Motor Products 63,800 719
Standard-Pacific 21,200 1,699
Starwood Hotels & Resorts Worldwide 72,200 4,041
Superior Essex* 66,500 1,115
Superior Industries International (B) 133,400 3,022
Tekelec (B)* 113,200 1,541
Tenneco Automotive* 63,900 958
Texas Roadhouse, Cl A* 13,700 420
Theglobe.com* 1,143,200 131
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Thor Industries 36,000 $ 1,093
Timberland, Cl A (B)* 49,700 1,832
Titan International (B) 107,200 1,583
Too* 113,520 2,257
Tractor Supply* 45,900 2,039
Triarc, Cl A (B) 43,400 679
TRM (B)* 47,100 764
Unifi* 83,900 269
Urban Outfitters* 86,500 4,614
Vail Resorts* 30,400 836
Valassis Communications (B)* 69,720 2,419
Value Line 13,000 472
Visteon (B) 209,800 1,601
Warnaco Group* 95,600 2,040
Water Pik Technologies* 8,500 158
World Wrestling Entertainment 98,400 1,067
Yankee Candle (B)* 62,300 1,966
Zale* 166,200 5,182
----------
272,784
----------
CONSUMER STAPLES -- 2.4%
American Italian Pasta, Cl A (B) 13,500 311
Casey's General Stores 60,260 1,087
Chattem* 72,100 3,093
Chiquita Brands International (B) 195,000 5,671
Church & Dwight 22,700 821
Corn Products International (B) 105,450 2,329
Del Monte Foods* 63,200 660
Delta & Pine Land 24,900 672
Elizabeth Arden* 5,100 107
Gold Kist (B)* 118,400 2,472
Hain Celestial Group* 56,800 1,022
John B. Sanfilippo & SON* 19,600 414
Lance 34,200 605
Longs Drug Stores (B) 57,200 2,347
Molson Coors Brewing, Cl B 38,700 2,263
Nash Finch 19,200 683
NBTY* 79,500 1,768
Pathmark Stores* 87,995 788
PepsiAmericas 3,500 85
Pilgrim's Pride (B) 21,100 744
Ralcorp Holdings 48,920 1,866
Ruddick 29,800 716
Sanderson Farms 6,400 243
Spartan Stores* 18,000 232
Tyson Foods, Cl A 33,800 624
United Natural Foods (B)* 119,970 3,892
Universal 48,000 2,131
Weis Markets 20,800 764
----------
38,410
----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 43
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
Small Cap Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ENERGY -- 5.1%
Atlas America (B)* 17,680 $ 553
Berry Petroleum, Cl A 34,040 1,619
Cabot Oil & Gas 105,400 3,304
Cal Dive International (B)* 42,600 1,934
CARBO Ceramics (B) 12,895 924
Carrizo Oil & Gas* 32,900 496
Cimarex Energy (B)* 80,700 3,037
Core Laboratories* 23,500 590
Denbury Resources* 70,200 2,245
Encore Acquisition* 33,500 1,250
Forest Oil (B)* 118,700 4,719
Holly 76,200 2,913
Houston Exploration* 8,700 443
Hydril* 63,395 3,291
Input/Output (B)* 85,500 507
KCS Energy* 56,300 791
Laclede Group 12,300 368
Meridian Resource* 94,400 428
National Oilwell Varco* 21,000 945
Oceaneering International* 4,700 172
Penn Virginia 66,200 2,732
Petroleum Development* 30,200 789
Pioneer Natural Resources 35,540 1,426
Plains Exploration & Production (B)* 165,746 5,063
Range Resources (B) 113,000 2,610
Remington Oil & Gas* 40,200 1,246
SEMCO Energy (B) 115,600 633
Southwestern Energy* 11,300 789
Spinnaker Exploration* 44,500 1,365
St. Mary Land & Exploration (B) 113,100 2,943
Stone Energy* 147,500 6,347
Superior Energy Services* 146,500 2,293
Swift Energy (B)* 200,640 6,852
Syntroleum (B)* 104,600 907
Tesoro* 89,200 3,889
Tetra Technologies* 43,650 1,205
Vintage Petroleum (B) 188,430 5,204
W&T Offshore 6,600 142
W-H Energy Services* 130,520 2,828
Whiting Petroleum* 51,900 1,795
----------
81,587
----------
FINANCIALS -- 18.2%
Acadia Realty Trust+ 95,200 1,614
Accredited Home Lenders
Holding (B)* 32,300 1,356
Advance America Cash Advance
Centers 64,200 784
Affiliated Managers Group (B)* 76,100 5,076
Agree Realty+ 33,300 957
Allmerica Financial* 60,100 2,099
AMB Property+ (B) 97,300 3,922
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
American Home Mortgage
Investment+ (B) 114,200 $ 3,718
American Physicians Capital* 8,600 298
AmericanWest Bancorp* 3,400 67
AmerUs Group (B) 46,300 2,203
Apartment Investment & Management,
Cl A+ 94,600 3,510
Arbor Realty Trust+ 57,140 1,523
Arch Capital Group* 25,900 1,156
Archstone-Smith Trust+ 101,057 3,721
Aspen Insurance Holdings 54,900 1,510
Asset Acceptance Capital* 56,295 1,383
Assured Guaranty 33,200 682
AvalonBay Communities+ (B) 60,000 4,492
Bancfirst 2,100 165
Bancorpsouth (B) 81,100 1,813
Bank Mutual 93,260 1,011
Bank of the Ozarks (B) 10,400 329
Brandywine Realty Trust+ 65,300 1,839
BRE Properties, Cl A+ 56,600 2,181
Brookline Bancorp 91,400 1,389
Camden Property Trust+ 52,000 2,684
Capital Southwest 16,700 1,374
Capitol Bancorp 4,900 152
Cardinal Financial (B)* 92,800 844
Cascade Bancorp (B) 42,162 872
Cash America International 24,000 413
Cathay General Bancorp 11,600 394
CBL & Associates Properties+ (B) 20,770 1,692
Center Financial 16,500 353
Central Pacific Financial 26,500 941
Chemical Financial 6,182 198
Clark 15,200 220
CNA Surety* 40,300 557
Colonial BancGroup 101,100 2,253
Commerce Group 49,600 2,956
Commercial Capital Bancorp 238,566 4,044
Commercial Federal 65,000 1,626
Commercial Net Lease Realty+ 37,700 731
Community Bank System 34,400 801
Community Trust Bancorp 2,500 74
CompuCredit (B)* 54,100 1,706
Corixa (B)* 197,100 838
Corporate Office Properties Trust+ 149,800 4,184
Corus Bankshares 11,800 606
Crescent Real Estate Equity EQT+ 111,700 2,054
Delphi Financial Group, Cl A 94,501 4,007
Downey Financial 46,700 3,503
E*Trade Financial* 460,100 5,682
Eagle Hospitality Properties Trust+ 70,800 644
East West Bancorp 11,500 387
Education Realty Trust+ 80,500 1,382
Encore Capital Group* 71,100 1,092
- --------------------------------------------------------------------------------
44 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Equity Residential+ (B) 76,800 $ 2,757
Essex Property Trust+ (B) 24,000 1,920
EuroBancshares* 4,300 60
Euronet Worldwide* 120,675 3,384
FBL Financial Group, Cl A 28,100 752
Federal Agricultural Mortgage, Cl C 3,400 63
Federal Realty Investment Trust+ 75,000 4,140
FelCor Lodging Trust+* 48,300 672
First American 86,300 3,340
First Bancorp Puerto Rico 37,200 1,426
First Cash Financial Services* 80,900 1,408
First Community Bancorp 21,900 968
First Financial Bancorp 33,500 603
First Financial Bankshares (B) 2,300 96
First Indiana (B) 52,432 1,413
First Merchants 7,600 189
First Niagara Financial Group 143,700 1,871
First Republic Bank 44,850 1,439
FirstFed Financial* 47,300 2,563
FirstMerit 40,180 1,025
Flagstar Bancorp (B) 161,700 3,195
Flushing Financial 56,300 951
Fpic Insurance Group (B)* 43,400 1,292
Frontier Financial 4,950 123
Gabelli Asset Management (B) 14,700 642
Glacier Bancorp 24,589 574
Gold Banc 119,600 1,661
Gramercy Capital+ 5,200 113
Greater Bay Bancorp (B) 81,400 2,046
Greenhill (B) 43,300 1,545
Hancock Holding 37,330 1,208
Hanmi Financial 29,500 474
HCC Insurance Holdings (B) 45,700 1,792
Highwoods Properties+ 39,700 1,093
Hilb Rogal & Hobbs (B) 141,400 4,820
HomeBanc+ 82,900 783
Horace Mann Educators (B) 50,770 924
Host Marriott+ (B) 131,800 2,208
HRPT Properties Trust+ 204,700 2,422
Hub International 104,300 1,864
Huron Consulting Group 31,200 717
IndyMac Bancorp 47,800 1,967
Investment Technology Group* 76,000 1,500
IPC Holdings 37,100 1,418
Irwin Financial 125,300 2,630
ITLA Capital* 1,800 90
Jones Lang LaSalle* 10,700 454
Kansas City Life Insurance 27,500 1,296
KNBT Bancorp 121,300 1,809
Knight Capital Group, Cl A* 34,900 263
LandAmerica Financial Group (B) 49,900 2,804
Lexington Corporate Properties Trust+ 14,100 325
Macatawa Bank 3,220 110
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Macerich+ 58,700 $ 3,700
Mack-Cali Realty+ 57,400 2,531
MainSource Financial Group 2,500 46
Marlin Business Services* 4,200 85
Max Re Capital 98,800 2,184
MB Financial 9,900 378
MBT Financial 4,100 78
Medical Properties Trust+ 128,000 1,286
Mercantile Bank 3,600 147
MeriStar Hospitality+* 16,000 134
MFA Mortgage Investments+ 120,700 856
Midland 2,300 73
Montpelier Re Holdings 37,800 1,298
Morningstar (B)* 15,200 334
Nara Bancorp 25,700 357
Nasdaq Stock Market* 113,000 1,939
National Health Investors+ 13,800 368
NBT Bancorp (B) 79,900 1,894
New Century Financial+ (B) 32,200 1,641
New Plan Excel Realty Trust+ 74,700 2,012
NorthStar Realty Finance+ 75,500 785
Novastar Financial+ (B) 24,900 916
OceanFirst Financial 2,800 60
Odyssey Re Holdings (B) 50,200 1,210
Old Second Bancorp (B) 5,200 146
Omega Healthcare Investors+ 28,100 336
Online Resources* 40,300 392
optionsXpress Holdings (B)* 125,700 1,697
Oriental Financial Group 31,100 436
Pennsylvania Real Estate Investment
Trust+ 27,800 1,223
PFF Bancorp 56,190 1,632
Philadelphia Consolidated Holding (B)* 3,900 322
Placer Sierra Bancshares 32,300 834
Platinum Underwriters Holdings 109,250 3,321
PMI Group 28,130 1,063
Post Properties+ 76,300 2,503
Presidential Life 59,000 894
ProAssurance* 73,430 2,873
Prologis+ 47,700 1,948
Prosperity Bancshares 11,800 320
Public Storage+ (B) 31,500 1,894
PXRE Group 84,120 2,013
Rainier Pacific Financial Group 44,620 763
RAIT Investment Trust+ (B) 106,500 3,046
Reckson Associates Realty+ 112,400 3,551
Redwood Trust+ 11,500 595
RenaissanceRe Holdings 18,400 867
Safety Insurance Group 38,000 1,198
Santander BanCorp 5,500 121
Saxon Capital+ 38,100 645
Selective Insurance Group 16,700 804
Shurgard Storage Centers, Cl A+ 114,800 5,011
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 45
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
Small Cap Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Signature Bank* 128,980 $ 3,163
Simon Property Group+ 84,200 5,786
Sizeler Property Investors+ 10,900 131
SL Green Realty+ 66,020 4,090
Sterling Bancorp 5,900 125
Sterling Financial, Pennsylvania Shares 3,400 88
Sterling Financial, Washington Shares* 79,305 2,803
Stewart Information Services 122,000 4,788
Sunstone Hotel Investors+ 86,800 1,997
SVB Financial Group* 78,500 3,749
Taubman Centers+ 60,500 1,920
TierOne 63,200 1,525
Trustmark 63,200 1,806
U-Store-It Trust+ 97,000 1,833
UCBH Holdings 10,300 176
UICI 46,900 1,179
UMB Financial (B) 32,480 1,809
United Fire & Casualty 7,600 299
United PanAm Financial* 29,606 705
Universal American Financial* 52,500 994
Vineyard National Bancorp 5,100 161
Washington Federal 104,360 2,381
Washington Trust Bancorp 2,700 76
WesBanco 33,400 988
Westcorp 92,000 4,456
Wilshire Bancorp 21,000 280
Winston Hotels+ 135,660 1,424
World Acceptance* 14,800 385
WR Berkley 39,900 1,415
Wright Express* 106,000 1,697
Yardville National Bancorp 1,900 64
Zenith National Insurance (B) 37,500 2,376
----------
292,693
----------
HEALTH CARE -- 11.7%
Abgenix (B)* 194,400 1,400
Accelrys* 132,800 701
Adeza Biomedical* 4,100 48
Advanced Medical Optics (B)* 18,000 695
Albany Molecular Research* 27,700 330
Align Technology (B)* 166,500 1,210
Alkermes (B)* 177,200 2,056
Alliance Imaging* 149,400 1,499
Alpharma, Cl A 103,300 1,329
Amedisys (B)* 39,200 1,184
America Service Group* 54,890 1,081
American Healthways (B)* 60,415 2,373
American Medical Systems Holdings* 170,830 3,410
Amsurg* 61,000 1,645
Amylin Pharmaceuticals (B)* 80,900 1,293
Analogic 17,100 727
Andrx* 45,500 909
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Animas (B)* 107,400 $ 1,924
Applera--Celera Genomics Group* 302,600 3,002
Apria Healthcare Group (B)* 28,200 888
Ariad Pharmaceuticals* 280,300 1,690
Array Biopharma* 185,200 1,156
Arthrocare (B)* 33,500 1,080
Aspect Medical Systems* 21,700 698
Bio-Rad Laboratories, Cl A (B)* 57,200 3,082
BioScrip* 93,200 487
Biosite (B)* 40,000 2,188
Cardiodynamics International* 72,900 162
Cell Genesys (B)* 413,300 2,401
Cephalon (B)* 84,400 3,580
Cerner (B)* 46,000 3,006
Chemed 36,520 1,544
Community Health Systems (B)* 51,400 1,869
Conceptus (B)* 140,800 750
Connetics (B)* 74,800 1,666
Conor Medsystems* 52,100 780
Cooper 20,290 1,340
Cross Country Healthcare* 62,300 1,056
Crucell ADR (B)* 35,700 700
Cubist Pharmaceuticals* 251,900 2,522
CV Therapeutics (B)* 249,100 5,037
Datascope 4,600 140
Dendreon (B)* 41,200 218
Depomed (B)* 120,900 534
Digene (B)* 58,700 1,477
DJ Orthopedics* 115,300 3,200
Dyax* 152,700 710
Encysive Pharmaceuticals (B)* 478,900 4,885
Enzon Pharmaceuticals* 48,400 294
Exact Sciences* 124,400 361
Exelixis (B)* 203,818 1,431
First Horizon Pharmaceutical (B)* 117,500 2,209
Flamel Technologies ADR (B)* 10,500 191
Gen-Probe* 35,400 1,376
Genesis HealthCare* 37,800 1,644
Genitope (B)* 43,400 565
Guilford Pharmaceuticals (B)* 276,300 696
Health Net* 64,800 2,218
HealthTronics* 83,200 1,056
Henry Schein* 15,000 604
Human Genome Sciences* 157,800 1,780
Immucor (B)* 62,975 2,110
Impax Laboratories (B)* 92,900 1,524
Incyte (B)* 247,900 1,891
IRIS International* 14,040 268
Isis Pharmaceuticals (B)* 360,600 1,320
Isolagen (B)* 191,100 778
Ista Pharmaceuticals* 46,400 368
Kindred Healthcare* 15,000 579
- --------------------------------------------------------------------------------
46 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Kos Pharmaceuticals (B)* 43,500 $ 2,511
Kosan Biosciences* 123,700 585
LabOne* 23,500 906
Lifecore Biomedical* 12,900 165
LifePoint Hospitals (B)* 121,200 5,452
Magellan Health Services (B)* 36,500 1,185
Martek Biosciences (B)* 49,300 1,843
Medarex (B)* 395,900 3,001
Medcath* 53,300 1,381
Medical Action Industries* 4,200 74
Medicis Pharmaceutical, Cl A (B) 63,500 1,789
Mentor (B) 62,400 2,553
Mettler Toledo International* 31,110 1,524
MGI Pharma (B)* 142,500 3,306
Myriad Genetics (B)* 43,100 709
Nabi Biopharmaceuticals (B)* 101,500 1,247
National Dentex* 79,935 1,499
Nektar Therapeutics (B)* 293,400 5,363
Neose Technologies* 194,800 512
NitroMed (B)* 99,000 1,895
Nu Skin Enterprises, Cl A 53,300 1,204
Option Care (B) 72,670 967
OraSure Technologies* 150,100 1,247
Orthofix International* 22,030 1,010
Owens & Minor 38,170 1,183
Pain Therapeutics* 93,000 488
PainCare Holdings* 74,800 307
Par Pharmaceutical* 11,200 358
Parexel International* 69,900 1,276
PerkinElmer 111,300 2,129
Pharmacopeia Drug Discovery* 86,129 417
Pharmion* 48,600 988
PolyMedica (B) 51,400 1,804
Pozen* 129,500 954
Prestige Brands Holdings* 86,200 1,465
Protein Design Labs (B)* 99,500 1,900
PSS World Medical* 140,700 1,652
Psychiatric Solutions (B)* 57,165 2,341
Quality Systems (B)* 20,825 1,252
Radiation Therapy Services (B)* 8,300 172
Res-Care* 88,110 1,175
Rigel Pharmaceuticals* 66,600 1,191
Rotech Healthcare* 56,000 1,411
Salix Pharmaceuticals* 36,300 636
SeraCare Life Sciences* 42,200 571
Serologicals* 17,000 365
SFBC International* 65,965 2,309
SurModics (B)* 26,375 1,040
Sybron Dental Specialties* 153,050 5,674
Symmetry Medical* 38,300 856
Taro Pharmaceuticals Industries (B)* 34,000 1,112
Techne (B)* 12,300 573
Telik* 153,500 2,189
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Third Wave Technologies* 374,800 $ 1,409
Transgenomic* 321,635 219
Triad Hospitals (B)* 15,280 775
United Therapeutics (B)* 67,800 3,387
Vasogen* 183,600 821
Viasys Healthcare* 74,400 1,730
West Pharmaceutical Services 20,700 576
Zymogenetics* 17,700 308
----------
187,866
----------
INDUSTRIALS -- 14.8%
Active Power* 107,400 288
Actuant, Cl A (B)* 15,100 679
Acuity Brands 77,770 1,909
Administaff* 35,300 754
Advisory Board* 58,300 2,633
AGCO (B)* 107,600 1,976
Airtran Holdings (B)* 81,100 792
Albany International, Cl A 91,670 2,867
Alliant Techsystems (B)* 19,300 1,384
American Ecology 30,400 385
AMN Healthcare Services* 47,600 687
AO Smith 96,390 3,023
Applied Industrial Technologies 99,000 3,014
Arlington Tankers 75,000 1,475
Armor Holdings* 32,400 1,223
Aviall* 19,400 597
Banta (B) 138,440 6,080
Beacon Roofing Supply* 17,200 411
BearingPoint (B)* 411,400 2,695
Blount International* 125,690 2,220
BlueLinx Holdings 21,300 259
Briggs & Stratton 63,600 2,153
Brink's 95,500 2,981
Bucyrus International, Cl A 31,400 1,120
Calgon Carbon 93,400 832
Cascade 43,300 1,525
CDI 58,200 1,242
Ceradyne* 54,800 1,265
Chicago Bridge & Iron 40,800 881
CIRCOR International 50,290 1,245
Clean Harbors (B)* 19,100 396
CNH Global 94,240 1,680
Collectors Universe* 89,500 1,423
Columbus McKinnon* 16,000 151
Consolidated Graphics* 9,900 419
Corinthian Colleges (B)* 114,700 1,773
Corporate Executive Board 21,796 1,521
Corrections of America* 37,400 1,350
CoStar Group* 33,200 1,334
Courier 24,465 857
CPI Aerostructures* 46,690 436
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 47
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
Small Cap Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CRA International (B)* 35,600 $ 2,029
DiamondCluster International* 67,700 886
Duratek* 39,640 869
Dycom Industries* 20,800 408
Eagle Materials 14,600 1,280
EDO 50,950 1,451
Education Management (B)* 53,000 1,720
EGL* 59,200 1,127
EMCOR Group* 26,500 1,259
Engineered Support Systems 90,900 3,545
ESCO Technologies* 18,655 1,581
Esterline Technologies* 8,400 327
ExpressJet Holdings* 74,500 643
Federal Signal 47,620 744
Flowserve (B)* 30,000 884
Franklin Electric 6,600 254
Freightcar America* 34,700 683
FTI Consulting (B)* 36,200 796
GATX (B) 153,000 5,106
General Cable (B)* 121,700 1,705
General Maritime* 26,020 1,087
Genlyte Group* 13,800 615
Geo Group* 8,800 214
Global Power Equipment Group* 32,500 249
GrafTech International* 249,860 1,099
Griffon* 133,570 2,662
Grupo TMM ADR, Cl A (B)* 142,600 354
Harsco 39,800 2,310
HUB Group, Cl A (B)* 51,800 1,423
IKON Office Solutions 135,800 1,316
Innovative Solutions & Support (B)* 77,995 2,702
Insituform Technologies, Cl A* 48,700 723
Integrated Electrical Services (B)* 84,260 128
Intermagnetics General* 87,165 2,516
iPayment* 21,200 809
Iron Mountain* 53,150 1,525
JLG Industries (B) 54,600 1,392
John H. Harland 38,700 1,458
Joy Global 58,177 2,184
Kadant* 44,070 903
Kansas City Southern (B)* 135,690 2,712
Kaydon (B) 98,040 2,798
Kennametal 50,200 2,209
Kirby* 54,200 2,312
Knight Transportation 89,150 2,180
Korn/Ferry International* 4,500 71
Labor Ready (B)* 70,100 1,447
Laidlaw International (B)* 178,500 3,970
Laureate Education* 36,700 1,714
Lennox International (B) 110,700 2,351
Levitt, Cl A* 7,600 219
Lincoln Electric Holdings (B) 61,700 2,021
LSI Industries 46,163 627
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
M/I Homes 74,500 $ 3,761
Manitowoc 46,800 1,897
Marten Transport* 7,900 155
Medical Staffing Network Holdings (B)* 100,100 544
Mercury Computer Systems* 49,000 1,416
Mesa Air Group (B)* 64,300 410
Milacron (B)* 241,948 527
Mine Safety Appliances 31,065 1,423
Moog, Cl A* 62,413 1,894
Mueller Industries 24,300 656
Navigant Consulting (B)* 276,400 6,341
Navistar International (B)* 47,700 1,455
NCO Group* 21,300 423
Nordson 15,800 491
Old Dominion Freight Line (B)* 65,200 1,987
Orbital Sciences (B)* 75,800 736
Overnite 45,700 1,948
Pall (B) 95,800 2,796
PHH* 37,100 890
Pinnacle Airlines (B)* 31,600 310
PRA International* 5,000 130
Quality Distribution* 33,360 265
Quanta Services (B)* 150,800 1,362
R.H. Donnelley* 12,100 744
RailAmerica* 26,300 307
Regal-Beloit 46,590 1,197
Rent-Way* 16,100 149
Republic Airways Holdings* 23,600 301
Resources Connection (B)* 87,000 1,733
Ritchie Bros. Auctioneers 52,000 1,934
Robbins & Myers 52,150 1,233
Rofin-Sinar Technologies* 32,020 1,034
Ryder System 101,300 3,722
Sauer-Danfoss 7,100 139
School Specialty (B)* 34,340 1,347
SCS Transportation* 16,410 299
Simpson Manufacturing 92,700 2,664
Skywest (B) 59,400 1,083
Source Interlink* 71,370 696
Sourcecorp* 63,900 1,368
Stericycle* 18,900 938
Stewart Enterprises, Cl A* 268,900 1,592
Strayer Education 19,300 1,679
Surebeam, Cl A (B)* 513,125 5
Sypris Solutions 89,500 943
Tecumseh Products, Cl A 39,500 1,080
Teledyne Technologies* 33,400 1,056
Terex (B)* 23,500 929
Tetra Tech* 171,400 2,065
Thomas & Betts* 38,200 1,180
TNS* 7,100 155
Toro (B) 49,400 2,127
Triumph Group* 10,100 358
- --------------------------------------------------------------------------------
48 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Unifirst 51,500 $ 1,885
United Rentals (B)* 219,000 4,398
United Stationers* 23,500 1,152
Universal Display (B)* 30,400 286
Universal Forest Products 80,900 3,220
Universal Truckload Services* 65,800 1,099
USA Truck* 10,800 219
Valmont Industries 38,800 929
Ventiv Health* 93,080 1,890
Volt Information Sciences* 8,200 161
Wabash National (B) 9,700 242
Wabtec 53,500 1,107
Walter Industries (B) 137,800 5,843
Washington Group International (B)* 86,600 4,158
Watson Wyatt Holdings 119,600 3,148
WCI Communities* 56,300 1,683
Woodward Governor 27,400 2,120
Yellow Roadway (B)* 7,517 397
York International 47,800 1,969
----------
239,312
----------
INFORMATION TECHNOLOGY -- 18.0%
Adaptec* 585,600 2,331
Advanced Digital Information* 177,700 1,221
Aeroflex* 197,490 1,580
Agile Software (B)* 146,900 947
Agilysys 64,900 998
Akamai Technologies* 153,000 2,148
Alliance Semiconductor* 122,400 206
Altera* 175,500 3,894
Altiris* 36,100 679
American Reprographics* 103,200 1,538
Ansys* 40,840 1,362
aQuantive (B)* 352,000 5,417
Arris Group (B)* 280,800 2,432
Asyst Technologies* 308,300 1,298
Atari* 307,705 760
ATMI (B)* 83,859 2,356
Avid Technology (B)* 37,300 2,187
Avnet (B)* 44,440 930
Axcelis Technologies* 94,000 625
BEI Technologies 15,700 404
Belden CDT (B) 126,140 2,538
Bell Microproducts* 22,000 180
BISYS Group (B)* 156,310 2,384
Black Box (B) 68,800 2,365
Blackbaud (B) 82,200 1,131
Borland Software* 238,700 1,528
Brooks Automation (B)* 261,700 3,946
Cabot Microelectronics (B)* 14,100 442
Checkpoint Systems (B)* 66,100 1,165
Ciber* 111,100 905
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CNET Networks* 120,400 $ 1,250
Cognex (B) 105,664 2,743
Coherent* 54,650 1,794
Comtech Telecommunications* 12,900 467
Corillian* 328,700 1,057
Credence Systems (B)* 636,320 5,040
Cryptologic 30,025 1,012
CSG Systems International (B)* 55,800 1,061
Cymer (B)* 182,300 5,179
Daktronics* 8,000 186
Digimarc* 299,600 1,528
Digital River* 9,000 248
Digitas (B)* 189,800 2,101
Diodes* 19,100 635
DoubleClick* 70,800 583
E.piphany* 190,800 666
Earthlink* 454,700 4,824
Emulex (B)* 123,400 2,332
Epicor Software* 24,400 301
F5 Networks (B)* 54,700 2,801
Fairchild Semiconductor
International (B)* 139,600 1,996
FARO Technologies* 49,910 1,388
FEI (B)* 147,800 3,077
Foundry Networks* 86,300 797
Gartner, Cl A* 154,200 1,530
Genesis Microchip (B)* 242,500 4,013
Harmonic* 101,600 633
Homestore* 539,200 1,127
Hutchinson Technology (B)* 100,600 4,162
Hypercom* 187,900 1,193
Hyperion Solutions* 43,000 1,898
Identix (B)* 95,700 525
Imation 52,200 1,971
Immersion (B)* 448,948 2,631
InFocus* 121,100 504
InPhonic (B)* 51,700 764
Integrated Circuit Systems (B)* 63,700 1,350
Inter-Tel 25,400 521
Intermix Media (B)* 101,900 604
International Rectifier (B)* 36,700 1,754
Internet Security Systems* 65,500 1,454
InterVoice* 39,500 354
Interwoven* 140,100 1,115
Intrado* 22,800 292
Iomega 348,800 1,078
Itron* 16,500 678
iVillage* 357,800 2,158
IXYS* 20,500 283
Jack Henry & Associates (B) 105,900 1,873
Jupitermedia* 335,780 6,128
Kanbay International* 59,000 1,225
Keane* 64,000 859
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 49
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
Small Cap Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Keynote Systems* 94,900 $ 1,101
KFX (B)* 98,500 1,297
Komag* 172,100 4,965
Lattice Semiconductor* 941,500 3,973
Lawson Software* 186,500 1,104
Leadis Technology* 228,600 1,566
LeCroy* 15,700 258
Lionbridge Technologies* 163,800 816
Littelfuse* 29,560 889
LivePerson* 127,400 306
LTX (B)* 176,000 843
Macrovision* 87,900 1,847
Magma Design Automation* 10,500 84
Majesco Entertainment (B)* 76,450 670
Manhattan Associates* 147,300 3,129
Matrixone* 254,700 1,164
Mattson Technology* 162,500 1,271
MAXIMUS (B) 91,300 3,131
Maxtor (B)* 406,500 2,232
Mentor Graphics* 175,400 1,803
Merix (B)* 105,600 766
Methode Electronics 164,030 1,959
Micromuse (B)* 149,500 939
Micros Systems (B)* 75,785 3,409
Microsemi* 15,365 317
Motive* 144,500 1,256
MTS Systems 18,900 603
Multi-Fineline Electronix* 49,315 805
Mykrolis* 137,000 1,848
Napster (B)* 193,300 820
Netease.com ADR (B)* 18,400 950
Netgear (B)* 14,200 279
Newport* 53,600 753
Niku* 38,500 579
O2Micro International* 199,500 2,486
Omnivision Technologies (B)* 138,000 2,183
Onyx Software* 92,549 310
Open Solutions* 37,000 657
OSI Systems (B)* 117,100 1,745
Packeteer* 73,800 876
PalmOne (B)* 20,700 588
Parametric Technology (B)* 215,400 1,297
Paxar* 41,600 733
Performance Technologies* 38,220 257
Perot Systems, Cl A* 62,000 801
Photronics (B)* 183,800 4,233
Pinnacle Systems* 123,800 732
Pixelworks* 462,000 3,959
Plantronics (B) 32,000 1,101
PLX Technology* 191,000 1,455
Polycom* 417,700 7,147
Pomeroy IT Solutions (B)* 52,920 666
Power Integrations* 73,700 1,756
ProQuest* 89,600 2,876
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Quantum* 758,600 $ 1,972
Radisys* 116,200 1,879
RADWARE* 31,200 697
Redback Networks* 70,000 399
Richardson Electronics 115,690 1,030
RightNow Technologies* 95,800 895
RSA Security* 119,300 1,467
Rudolph Technologies* 138,800 2,001
ScanSoft (B)* 547,400 2,222
Schawk 4,000 96
Seachange International* 177,500 1,402
Secure Computing* 166,700 1,870
Serena Software (B)* 110,015 2,153
Sigmatel* 38,900 881
Sina (B)* 38,800 1,080
Sirf Technology Holdings* 318,200 4,506
Skyworks Solutions* 480,000 3,038
Spatialight (B)* 300,000 1,821
SRA International, Cl A* 16,400 557
SS&C Technologies 45,700 1,366
STATS ChipPAC ADR (B)* 162,923 1,176
Storage Technology* 51,700 1,669
Stratasys (B)* 42,600 1,379
SupportSoft* 189,000 979
Sybase (B)* 175,300 3,576
SYKES Enterprises* 127,248 1,054
Synaptics* 33,800 650
Synopsys* 45,560 823
Tech Data* 32,100 1,152
Tessera Technologies (B)* 128,800 3,792
THQ (B)* 19,210 536
TIBCO Software (B)* 427,200 2,708
Titan* 103,700 2,281
TradeStation Group* 162,900 1,201
Trident Microsystems* 21,800 462
Triquint Semiconductor* 690,100 2,339
Ultra Clean Holdings* 128,838 850
Unisys* 292,700 2,119
United Online 61,900 801
Utstarcom (B)* 68,800 506
Verint Systems* 38,225 1,338
WatchGuard Technologies* 75,400 274
Wavecom ADR (B)* 87,637 748
WebEx Communications* 45,200 1,214
webMethods* 161,400 812
Western Digital* 213,700 3,208
Wind River Systems* 50,200 823
Zoran* 55,100 680
----------
289,712
----------
MATERIALS -- 4.6%
Airgas 26,300 631
AK Steel Holding (B)* 166,700 1,275
- --------------------------------------------------------------------------------
50 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Albemarle 101,800 $ 3,873
Alpha Natural Resources (B)* 42,900 1,025
Apex Silver Mines (B)* 142,500 1,917
Aptargroup 62,890 3,145
Arch Chemicals 46,720 1,101
Arch Coal 75,200 3,643
Buckeye Technologies* 87,700 725
Carpenter Technology (B) 42,865 2,315
Cleveland-Cliffs (B) 26,900 1,577
Constar International* 91,398 293
Crown Holdings* 270,400 4,026
Cytec Industries 100,465 4,185
Ferro 80,100 1,541
FMC* 16,900 937
Foundation Coal Holdings 47,600 1,213
Georgia Gulf 20,020 636
Greif, Cl A (B) 15,800 1,148
H.B. Fuller 35,900 1,163
Headwaters (B)* 58,100 1,922
Hercules (B)* 121,700 1,687
Jacuzzi Brands* 362,600 3,702
Libbey 9,700 185
Massey Energy (B) 40,500 1,637
Mosaic (B)* 70,700 925
NCI Building Systems* 45,700 1,579
Neenah Paper (B) 30,200 904
NewMarket* 102,549 1,394
NS Group* 30,100 868
Octel 38,000 686
Olin (B) 71,710 1,346
OM Group* 57,700 1,454
Packaging of America 25,800 563
Quanex 44,700 2,320
Rock-Tenn, Cl A 71,600 824
Schnitzer Steel Industries, Cl A 34,600 800
Schweitzer-Mauduit International 80,558 2,414
Silgan Holdings 60,675 3,459
Steel Dynamics (B) 128,800 3,463
Symyx Technologies (B)* 101,300 2,581
USG (B)* 10,900 500
Wellman 19,000 214
Wheeling-Pittsburgh (B)* 100,700 1,786
----------
73,582
----------
TELECOMMUNICATION SERVICES -- 0.9%
Adtran 38,700 850
Alamosa Holdings (B)* 131,620 1,626
Aspect Communications* 145,200 1,394
Commonwealth Telephone Enterprises* 13,620 712
Fairpoint Communications (B)* 171,000 2,662
IDT* 46,500 627
IDT, Cl B (B)* 50,700 695
Jamdat Mobile (B)* 6,900 195
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
New Skies Satellites Holdings (B)* 88,000 $ 1,558
NMS Communications* 178,900 581
North Pittsburgh Systems 4,700 88
Novatel Wireless (B)* 145,000 1,808
Premiere Global Services* 71,100 800
Saga Communications, Cl A* 6,300 87
Talk America Holdings* 55,500 493
US Unwired* 189,200 957
----------
15,133
----------
UTILITIES -- 2.1%
AGL Resources 68,870 2,427
Allete 24,566 1,179
Avista 106,200 1,872
Cascade Natural Gas 38,890 748
Centerpoint Energy (B) 97,300 1,193
Cleco 52,700 1,101
CMS Energy (B)* 125,600 1,662
El Paso Electric (B)* 67,000 1,345
Energen 29,100 1,897
Idacorp 38,840 1,100
Nicor (B) 53,300 2,105
NorthWestern 59,300 1,719
Oneok (B) 34,400 1,061
Pico Holdings (B)* 76,958 1,992
PNM Resources 168,700 4,916
UGI 60,200 1,596
UIL Holdings (B) 42,000 2,177
Westar Energy 68,070 1,570
WGL Holdings 21,480 699
Wisconsin Energy 35,400 1,285
----------
33,644
----------
Total Common Stock
(Cost $1,358,066) ($ Thousands) 1,524,723
----------
FOREIGN STOCK -- 0.9%
Canaccord Capital 135,000 1,051
Compton Petroleum* 90,000 771
Deer Creek Energy* 107,000 1,182
Dundee+ 66,500 1,400
Dundee Wealth Management 160,210 1,188
First Quantum Minerals* 109,000 1,811
Granded Cache Coal* 213,000 1,749
OPTI Canada* 111,500 2,263
Railpower Technologies* 310,900 1,388
Western Oil Sands, Cl A* 118,500 1,826
----------
Total Foreign Stock
(Cost $13,476) ($ Thousands) 14,629
----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 51
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
Small Cap Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
EXCHANGE TRADED FUNDS (B) -- 0.3%
iShares Russell 2000 Index Fund 19,940 $ 2,446
iShares Russell 2000 Value Index
Fund 6,600 1,222
Nasdaq-100 Index Tracking Stock 19,800 754
----------
Total Exchange Traded Funds
(Cost $4,051) ($ Thousands) 4,422
----------
Number of
Warrants
---------
WARRANTS -- 0.0%
Washington Mutual (D)* 279,461 42
----------
Total Warrants
(Cost $43) ($ Thousands) 42
----------
Number of
Rights
---------
RIGHTS -- 0.0%
Bank United (G)* 27,200 --
----------
Total Rights
(Cost $4) ($ Thousands) --
----------
CORPORATE OBLIGATIONS (C) (F) -- 11.9%
FINANCIALS -- 11.9%
ASIF Global Financing XV (H)
3.026%, 09/02/05 $ 610 610
Allstate Life Global Funding II MTN (H)
3.210%, 06/15/06 3,023 3,023
American General Finance (H)
3.090%, 06/15/06 5,915 5,915
Bear Stearns EXL
3.100%, 06/15/06 11,699 11,699
CCN Bluegrass (H)
3.170%, 02/21/06 4,272 4,272
CIT Group MTN
3.260%, 05/12/06 16,431 16,431
3.199%, 07/29/05 749 750
3.163%, 04/19/06 1,643 1,644
Caterpillar Financial Services MTN,
Ser F
3.250%, 07/11/05 3,286 3,286
Countrywide Home Loans MTN, Ser A
3.509%, 03/21/06 5,389 5,389
Countrywide Home Loans MTN, Ser M
3.389%, 08/26/05 1,972 1,972
3.270%, 01/31/06 1,446 1,446
3.152%, 06/23/05 4,009 4,009
3.040%, 11/30/05 7,493 7,493
Dekabank (H)
3.206%, 05/19/06 12,159 12,157
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Five Finance MTN (H)
3.100%, 09/22/05 $ 9,333 $ 9,332
Harrier Finance Funding MTN (H)
3.034%, 09/15/05 1,906 1,906
Harrier Finance Funding MTN, Ser 1 (H)
3.016%, 06/15/05 5,718 5,718
Irish Life & Permanent MTN, Ser X (H)
3.101%, 06/22/06 6,112 6,112
Jackson National Life Funding (H)
3.064%, 05/01/06 14,459 14,459
K2 MTN (H)
2.995%, 12/12/05 394 394
Lakeside Funding
3.120%, 06/08/05 3,286 3,286
Liberty Lighthouse US Capital MTN (H)
3.118%, 05/10/06 6,572 6,568
Morgan Stanley EXL
3.089%, 05/04/06 2,300 2,300
Morgan Stanley EXL, Ser S
3.085%, 06/02/06 3,286 3,286
Nationwide Building Society (H)
3.090%, 01/06/06 6,573 6,573
3.083%, 10/28/05 3,286 3,286
Northern Rock (H)
3.099%, 02/03/06 6,770 6,770
Pacific Life Global Funding (H)
3.080%, 06/13/06 4,929 4,929
Premium Asset Trust, Ser 2004-01 (H)
3.270%, 02/06/06 4,864 4,867
Premium Asset Trust, Ser 2004-10 (H)
3.100%, 04/14/06 9,201 9,201
SLM EXL, Ser S (H)
3.090%, 06/15/06 7,230 7,230
SLM MTN, Ser X (H)
3.090%, 06/20/06 13,145 13,145
White Pine Finance MTN, Ser 1 (H)
3.071%, 11/01/05 2,892 2,892
----------
Total Corporate Obligations
(Cost $192,350) ($ Thousands) 192,350
----------
ASSET-BACKED SECURITIES (C) (F) (H) -- 6.1%
AUTOMOTIVE -- 1.1%
Capital Auto Receivables Asset Trust,
Ser 2005-SN1A, Cl A1
3.327%, 05/15/06 15,900 15,900
Drivetime Auto Owner Trust,
Ser 2005-A, Cl A1
3.110%, 03/15/06 1,566 1,566
----------
17,466
----------
- --------------------------------------------------------------------------------
52 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MORTGAGE RELATED SECURITIES -- 5.0%
Aire Valley Mortgages,
Ser 2004-1A, Cl 1A
3.090%, 09/20/05 $ 4,206 $ 4,206
Blue Heron Funding,
Ser 6A, Cl A1
3.129%, 06/21/05 1,314 1,315
Blue Heron Funding, Ser 9A, Cl A1
3.120%, 02/22/06 6,573 6,573
CCN Independence IV
3.160%, 10/17/05 3,615 3,615
3.160%, 01/17/06 2,300 2,300
Cheyne High Grade, Ser 2004-1A, Cl A1
3.250%, 11/10/05 3,779 3,779
Commodore, Ser 2003-2A, Cl A1MM
3.470%, 12/12/38 3,023 3,023
Duke Funding, Ser 2004-6B, Cl A1S1
2.680%, 04/10/06 4,929 4,929
Harwood Street Funding I,
Ser 2004-1A, Cl NOTE
3.140%, 09/20/05 9,333 9,333
Harwood Street Funding II,
Ser 2005-1A, Cl NOTE
3.140%, 06/25/06 6,572 6,572
Orchid Structured Finance,
Ser 2003-1A, Cl A1MM
3.370%, 11/18/05 6,424 6,424
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AMM2
3.140%, 11/25/05 10,570 10,570
RMAC, Ser 2004-NS2A, Cl A1
3.210%, 12/12/25 1,171 1,171
RMAC, Ser 2004-NS3A, Cl A1
3.210%, 03/12/25 2,762 2,762
Saturn Ventures II
3.150%, 08/08/05 7,295 7,295
TIAA Real Estate, Ser 2003 1A, Cl A1
3.130%, 03/28/06 4,244 4,244
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMB
3.040%, 06/15/05 1,643 1,643
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMC
3.030%, 09/15/05 1,183 1,183
----------
80,937
----------
Total Asset-Backed Securities
(Cost $98,403) ($ Thousands) 98,403
----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CASH EQUIVALENTS -- 4.5%
First Union Cash Management
Program 1,203,281 $ 1,203
SEI Daily Income Trust,
Prime Obligation Fund, Cl A++ 71,684,150 71,684
----------
Total Cash Equivalents
(Cost $72,887) ($ Thousands) 72,887
----------
COMMERCIAL PAPER (C) (E) -- 2.7%
FINANCIALS -- 2.7%
Ajax Bambino Funding
3.119%, 07/06/06 $ 6,572 6,553
Altimira Funding
3.004%, 06/16/05 856 855
Beethoven Funding
3.109%, 07/05/05 3,286 3,277
3.013%, 06/13/05 3,304 3,300
Brahms Funding
3.000%, 06/02/05 8,476 8,475
Capital One Multi-Asset Funding
3.025%, 06/20/05 2,629 2,625
3.002%, 06/07/05 2,300 2,299
Cobbler Funding
3.057%, 06/28/05 1,203 1,200
Cre-8 Funding
3.106%, 06/23/05 2,300 2,296
Golden Fish
3.065%, 06/20/05 2,134 2,131
3.065%, 06/22/05 3,421 3,414
3.055%, 06/21/05 986 984
3.053%, 06/14/05 2,643 2,640
Rams Funding
3.121%, 06/06/05 3,286 3,285
----------
Total Commercial Paper
(Cost $43,334) ($ Thousands) 43,334
----------
MASTER NOTES (C) -- 1.5%
Bank of America Master Notes
3.143%, 06/01/05 16,431 16,431
Bear Stearns Master Notes
3.234%, 06/01/05 7,887 7,887
----------
Total Master Notes
(Cost $24,318) ($ Thousands) 24,318
----------
CERTIFICATES OF DEPOSIT (C) (F) -- 0.9%
U.S. Trust
3.215%, 09/14/05 6,572 6,572
Washington Mutual Bank
3.270%, 08/18/05 7,756 7,756
----------
Total Certificates of Deposit
(Cost $14,328) ($ Thousands) 14,328
----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 53
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
Small Cap Fund (Concluded)
May 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bills (A)
2.900%, 08/25/05 $ 2,865 $ 2,846
----------
Total U.S. Treasury Obligation
(Cost $2,846) ($ Thousands) 2,846
----------
REPURCHASE AGREEMENTS (C) -- 4.0%
Barclays Capital
3.040%, dated 05/31/05, to be
repurchased on 06/01/05,
repurchase price $10,343,762
(collateralized by U.S. Government
Obligation, par value $10,765,101,
0.000%, 12/28/05; with total market
value $10,549,799) 10,343 10,343
Lehman Brothers
3.040%, dated 05/31/05, to be
repurchased on 06/01/05,
repurchase price $8,216,221
(collateralized by various
U.S. Government Obligations,
ranging in par value $99,572-
$4,961,784, 0.000%-4.375%,
10/15/06-10/15/16; with total
market value $8,380,137) 8,215 8,215
UBS Paine Webber
3.050%, dated 05/31/05, to be
repurchased on 06/01/05,
repurchase price $46,010,850
(collateralized by various
U.S. Government Obligations,
ranging in par value $1,920,133-
$12,356,481, 0.000%-8.875%,
04/15/07-05/15/30; with total
market value $46,927,250) 46,007 46,007
----------
Total Repurchase Agreements
(Cost $64,565) ($ Thousands) 64,565
----------
Total Investments -- 127.7%
(Cost $1,888,671) ($ Thousands) 2,056,847
----------
OTHER ASSETS AND LIABILITIES -- (27.7)%
Payable upon Return on Securities Loaned (437,298)
Payable for Investment Securities Purchased (15,638)
Payable for Fund Shares Redeemed (916)
Investment Advisory Fees Payable (688)
Trustees' Fees Payable (5)
Other Assets and Liabilities, Net 8,680
----------
Total Other Assets and Liabilities (445,865)
----------
Net Assets -- 100.0% $1,610,982
==========
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $1,415,425
Undistributed net investment income 1,594
Accumulated net realized gain on investments
and futures contracts 26,246
Net unrealized appreciation on investments 168,176
Net unrealized depreciation on futures contracts (459)
----------
Net Assets $1,610,982
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($1,610,876,231 / 112,893,492 shares) $14.27
======
Net Asset Value, Offering and Redemption
Price Per Share -- Class T
($105,367 / 7,437 shares) $14.17
======
A summary of the open futures contracts held by the fund at May 31, 2005, is as
follows: (see note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------------------
CONTRACT UNREALIZED
TYPE OF NUMBER OF VALUE EXPIRATION APPRECIATION
CONTRACT CONTRACTS ($ THOUSANDS) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
Russell 2000 Index E-Mini 875 $54,009 06/17/05 $(459)
* 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 May 31,
2005 (see Note 9). The total value of securities on loan at May 31, 2005
was $422,437($Thousands).
(C) This security was purchased with cash collateral held from securities
lending (see Note 9). The total value of such securities as of May 31, 2005
was $437,298 ($Thousands).
(D) This warrant represents a potential distribution settlement in a legal
claim and does not have a strike price or expiration date.
(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 May 31, 2005.
(G) This security was issued for possible settlement of pending litigation and
does not have an expiration date.
(H) This security was sold within the terms of private placement memorandum,
exempt from registration under Section 3A-4, 4(2) or 144A of the Securities
Act of 1933, as amended, and may be sold only to dealers in that program or
other "accredited investors."
(I) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total value of such
securities as of May 31, 2005 was $1,367 ($ Thousands) and represented
0.08% of Net Assets.
(J) Securities considered illiquid. The total value of such securities as of
May 31, 2005 was $1,367 ($ Thousands) and represents 0.08% of Net Assets.
ADR -- American Depositary Receipt
Cl -- Class
EXL -- Extendable Maturity
MTN -- Medium Term Note
PIPE -- Private Investment in Public Equity
Ser -- Series
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
54 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
Small/Mid Cap Equity Fund
May 31, 2005
- --------------------------------------------------------------------------------
[THE FOLLOWING WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
SECTOR WEIGHTINGS (UNAUDITED)++
28.5% Financials
13.1% Consumer Discretionary
13.9% Information Technology
9.5% Health Care
9.1% Industrials
7.1% Short-Term Investments
5.0% Asset-Backed Securities
3.7% Materials
3.4% Energy
2.6% Utilities
1.9% Consumer Staples
1.4% Telecommunication Services
0.7% Certificates of Deposit
0.1% U.S. Treasury Obligations
++Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 95.9%
CONSUMER DISCRETIONARY -- 16.9%
1-800 Contacts (B)* 17,000 $ 332
Abercrombie & Fitch, Cl A 13,700 785
Aeropostale* 9,000 245
Aftermarket Technology* 32,640 501
America's Car Mart* 28,980 620
American Axle & Manufacturing
Holdings (B) 1,900 39
American Eagle Outfitters 58,100 1,644
American Greetings, Cl A (B) 26,700 694
American Woodmark 1,100 37
Ameristar Casinos 3,900 200
AnnTaylor Stores (B)* 61,650 1,588
Arctic Cat 22,900 495
Autoliv 58,900 2,734
Autonation (B)* 29,500 590
Barnes & Noble* 16,300 617
BJ's Wholesale Club* 73,200 2,207
Black & Decker 8,600 751
Bluegreen* 2,800 47
Borders Group 56,500 1,429
BorgWarner 27,700 1,481
Brown Shoe 15,700 551
Brunswick 21,200 912
Build-A-Bear Workshop (B)* 3,800 104
Cablevision Systems, Cl A (B)* 25,200 645
Cache* 46,788 612
Carter's (B)* 20,500 956
Catalina Marketing (B) 13,500 324
Cato, Cl A 47,800 1,380
CEC Entertainment* 6,650 270
Charming Shoppes* 77,000 695
Cheesecake Factory (B)* 40,600 1,434
Chico's FAS (B)* 33,654 1,151
CKE Restaurants* 23,900 394
Coach* 103,600 3,009
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Coca-Cola Bottling Consolidated 200 $ 10
Columbia Sportswear (B)* 3,500 158
Comfort Systems USA* 70,935 446
Commercial Vehicle Group* 1,800 33
Darden Restaurants (B) 36,200 1,176
Dave & Buster's (B)* 3,100 56
Design Within Reach* 101,700 1,426
DiamondRock Hospitality+ (G) (H)* 38,700 390
Dick's Sporting Goods (B)* 30,100 1,089
Dollar Thrifty Automotive Group* 24,100 867
Dollar Tree Stores (B)* 32,000 794
DreamWorks Animation SKG, Cl A* 24,100 709
Fairmont Hotels & Resorts 38,800 1,338
Fleetwood Enterprises (B)* 108,900 1,042
Fossil* 18,500 395
Four Seasons Hotels 22,900 1,653
Furniture Brands International 31,600 635
GameStop, Cl A (B)* 36,000 1,050
GameStop, Cl B* 498 13
Gaylord Entertainment* 20,200 849
Genesco* 11,800 404
Gentex 49,000 876
Getty Images* 29,800 2,230
Gildan Activewear* 14,000 710
Goodyear Tire & Rubber (B)* 106,000 1,525
Gray Television 51,023 600
Great Wolf Resorts* 22,184 489
Group 1 Automotive* 25,800 689
GSI Commerce (B)* 64,600 959
GTECH Holdings 32,000 904
Handleman 122,300 2,220
HOT Topic (B)* 79,417 1,705
Hovnanian Enterprises, Cl A (B)* 20,300 1,261
Jack in the Box* 33,700 1,398
Jakks Pacific* 14,000 289
Jarden (B)* 38,100 1,939
Jo-Ann Stores* 3,500 94
K2 (B)* 73,600 927
KB Home 21,200 1,432
Kerzner International (B)* 35,810 2,205
La Quinta (B)* 107,050 928
Lamar Advertising, Cl A* 42,400 1,773
Lear (B) 7,100 268
Lin TV, Cl A (B)* 28,500 415
Lions Gate Entertainment (B)* 131,824 1,372
Lodgenet Entertainment* 500 8
Lone Star Steakhouse & Saloon (B) 61,640 1,862
MarineMax* 31,300 861
Maytag (B) 24,200 353
Media General, Cl A 10,065 615
Movie Gallery 8,000 256
MSC Industrial Direct, Cl A 35,400 1,102
MTR Gaming Group* 66,300 680
New York (B)* 35,900 653
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 55
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
Small/Mid Cap Equity Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Nexstar Broadcasting Group, Cl A (B)* 23,400 $ 131
NVR (B)* 1,400 1,063
O'Reilly Automotive* 400 22
Orange 21* 72,500 417
Panera Bread, Cl A (B)* 13,900 878
Pantry* 8,600 333
Parkervision (B)* 22,900 103
Parkervision, PIPE (G)(H)* 25,000 110
PDI* 2,400 29
Penn National Gaming (B)* 19,956 650
Petco Animal Supplies* 14,100 424
Petsmart (B) 56,000 1,779
PF Chang's China Bistro (B)* 25,500 1,511
Pinnacle Entertainment* 58,732 1,024
Polaris Industries (B) 12,300 645
Polo Ralph Lauren (B) 20,200 783
Primedia (B)* 126,100 460
RC2* 15,400 555
Red Robin Gourmet Burgers* 12,900 708
Reebok International (B) 60,973 2,482
Regis 37,800 1,428
Rent-A-Center* 43,900 1,039
Rinker Group ADR 26,200 1,225
Royal Caribbean Cruises (B) 27,600 1,273
Ruby Tuesday 18,930 479
Ryland Group (B) 39,300 2,692
Saks (B) 70,800 1,214
Scholastic* 19,100 717
Shoe Carnival* 1,500 28
ShopKo Stores* 24,900 590
Sonic (B)* 44,400 1,510
Sonic Solutions (B)* 51,200 782
Sotheby's Holdings, Cl A* 7,300 102
Sports Authority (B)* 53,700 1,718
Standard Motor Products 24,400 275
Standard-Pacific 8,800 705
Stanley Works 25,300 1,129
Starwood Hotels & Resorts Worldwide 32,800 1,836
Stein Mart* 5,500 132
Stride Rite 60,500 719
Talbots 12,520 371
Technical Olympic USA 47,500 1,040
Tekelec (B)* 74,600 1,015
Tenneco Automotive* 18,000 270
Theglobe.com* 184,900 21
Timberland, Cl A (B)* 19,200 708
Tractor Supply* 21,800 968
Trans World Entertainment (B)* 53,000 689
Triarc, Cl A (B) 42,400 664
Tupperware (B) 32,700 739
Urban Outfitters* 34,400 1,835
Value Line 6,900 251
Warnaco Group* 86,820 1,853
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
WESCO International* 6,300 $ 184
West Marine (B)* 31,550 523
Whirlpool (B) 21,400 1,472
Williams-Sonoma* 41,500 1,632
Wolverine World Wide 17,300 398
Wynn Resorts (B)* 30,100 1,410
XM Satellite Radio Holdings, Cl A (B)* 9,800 315
Yankee Candle* 24,100 760
Zale* 45,520 1,419
--------
129,841
--------
CONSUMER STAPLES -- 2.4%
Chattem* 7,700 330
Chiquita Brands International (B) 44,900 1,306
Church & Dwight 20,900 756
Corn Products International (B) 17,500 387
Dean Foods* 31,800 1,239
Del Monte Foods* 40,100 419
Energizer Holdings* 36,100 2,270
Gold Kist (B)* 46,000 960
J&J Snack Foods* 13,735 678
JM Smucker 10,300 513
Loews--Carolina Group 20,600 615
Longs Drug Stores (B) 37,200 1,527
Molson Coors Brewing, Cl B 12,900 754
Nash Finch 14,748 525
NBTY* 31,600 703
PepsiAmericas 32,400 785
Pilgrim's Pride (B) 34,800 1,227
Ralcorp Holdings 23,900 911
Ruddick 18,979 456
Sanderson Farms (B) 8,300 315
Spectrum Brands* 6,500 240
Supervalu 29,100 953
Tyson Foods, Cl A 44,100 814
--------
18,683
--------
ENERGY -- 4.0%
Ashland 48,200 3,292
BJ Services (B) 26,719 1,345
Cabot Oil & Gas 19,350 607
Cal Dive International* 15,300 695
Callon Petroleum* 3,700 52
Denbury Resources* 17,000 544
Encore Acquisition* 16,000 597
Energy Partners* 19,609 448
ENSCO International 12,500 416
EOG Resources (B) 21,700 1,083
Forest Oil (B)* 39,100 1,555
Frontier Oil 13,100 641
Giant Industries* 25,800 743
Houston Exploration* 16,200 826
- --------------------------------------------------------------------------------
56 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hydril* 18,500 $ 960
KCS Energy* 30,460 428
Laclede Group 3,200 96
National Oilwell Varco* 22,097 994
Patterson-UTI Energy 9,000 238
Penn Virginia 15,600 644
Petroleum Development* 12,500 327
Rowan* 29,100 800
Smith International 10,200 599
Spinnaker Exploration* 3 --
Stone Energy* 25,200 1,084
Sunoco 15,800 1,621
Superior Energy Services* 5,500 86
Swift Energy* 55,500 1,895
Syntroleum (B)* 40,800 354
Tesoro* 36,800 1,604
Ultra Petroleum* 23,400 637
Unit (B)* 19,436 758
Universal Compression Holdings* 4,800 164
Veritas DGC* 60,560 1,635
Vintage Petroleum (B) 73,000 2,016
W-H Energy Services* 9,100 197
Whiting Petroleum (B)* 26,410 913
--------
30,894
--------
FINANCIALS -- 21.1%
A.G. Edwards (B) 80,300 3,317
Aames Investment+* 48,400 447
ABC Bancorp 600 11
Acadia Realty Trust+ 36,200 614
Accredited Home Lenders Holding (B)* 42,800 1,796
ACE Cash Express* 300 7
Advance America Cash Advance
Centers 15,500 189
Advanta, Cl B 52,299 1,290
Affiliated Managers Group (B)* 61,802 4,122
Affirmative Insurance Holdings 1,000 13
Alexandria Real Estate Equities+ 14,480 1,003
Allmerica Financial* 56,000 1,956
AMB Property+ (B) 43,900 1,770
Amcore Financial 27,655 770
Amegy Bancorp (B) 51,650 920
American Financial Group 20,100 652
American Home Mortgage
Investment+ (B) 36,100 1,175
American Physicians Capital* 2,400 83
AmericanWest Bancorp* 900 18
AmerUs Group (B) 38,936 1,853
Anchor Bancorp Wisconsin 2,200 61
Apartment Investment & Management,
Cl A+ 59,900 2,222
Arbor Realty Trust+ 2,800 75
Archstone-Smith Trust+ 45,500 1,675
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Argonaut Group (B)* 27,778 $ 582
Asset Acceptance Capital* 2,800 69
Associated Banccorp 17,200 575
Associated Estates Realty+ 56,200 486
Astoria Financial 33,900 934
AvalonBay Communities+ (B) 27,500 2,059
Bancfirst 500 39
BancTrust Financial Group 500 10
Bank of Hawaii 25,200 1,228
Bank of the Ozarks (B) 2,300 73
BioMed Realty Trust+* 5,700 127
Brandywine Realty Trust+ 30,200 850
BRE Properties, Cl A+ 25,500 983
Calamos Asset Management, Cl A* 15,700 380
Camden Property Trust+ 20,100 1,037
Capital Automotive+ (B) 12,904 462
Capital Crossing Bank* 1,400 45
Capital Trust, Cl A+ 1,800 63
CapitalSource (B)* 48,450 924
Cash America International 9,700 167
CBL & Associates Properties+ (B) 8,800 717
Cedar Shopping Centers+ 3,000 41
Center Financial 4,500 96
Central Coast Bancorp* 500 8
Central Pacific Financial 34,670 1,231
Ceres Group* 92,260 529
Chemical Financial 17,300 553
CIT Group 27,700 1,175
City National 35,600 2,529
Clark 4,900 71
Colonial BancGroup 30,700 684
Columbia Banking System 1,050 26
Commerce Bancshares (B) 24,400 1,189
Commerce Group 3,900 232
Commercial Capital Bancorp 800 14
Commercial Federal 25,600 640
Commercial Net Lease Realty+ 8,600 167
Community Bank System (B) 24,200 564
Community Trust Bancorp 600 18
CompuCredit (B)* 26,900 848
Corporate Office Properties Trust+ 102,851 2,873
Corus Bankshares 2,700 139
Crescent Real Estate Equity EQT+ 29,500 542
Delphi Financial Group, Cl A 23,958 1,016
DiamondRock Hospitality+* 10,000 112
Dime Community Bancshares 63,868 964
Downey Financial 36,200 2,716
E*Trade Financial* 221,800 2,739
East West Bancorp 23,300 784
ECC Capital+ 45,500 273
Education Realty Trust+ 31,500 541
Entertainment Properties Trust+ 2,500 111
Equity Inns+ 60,120 721
Equity Residential+ (B) 35,400 1,271
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 57
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
Small/Mid Cap Equity Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Essex Property Trust+ 10,800 $ 864
Federal Realty Investment Trust+ 34,400 1,899
FelCor Lodging Trust+* 11,500 160
First American 8,800 341
First Bancorp Puerto Rico 1,000 38
First Busey 400 7
First Community Bancorp 1,800 80
First Community Bancshares 600 18
First Financial Bankshares (B) 500 21
First Financial Holdings 1,100 31
First Indiana (B) 1,000 27
First Industrial Realty Trust+ 5,800 225
First Midwest Bancorp 33,670 1,168
First Niagara Financial Group 6,734 88
First Potomac Realty Trust+ 23,195 525
First Republic Bank 17,700 568
FirstFed Financial* 35,525 1,925
Flagstar Bancorp (B) 81,500 1,610
Fremont General 23,200 499
Friedman Billings Ramsey Group,
Cl A+ (B) 134,900 1,760
Frontier Financial 300 7
Gold Banc 86,700 1,204
Gramercy Capital+ 1,400 30
Greater Bay Bancorp (B) 38,548 969
Hancock Holding 1,200 39
Hanmi Financial 8,200 132
HCC Insurance Holdings (B) 18,700 733
Hibernia, Cl A 41,000 1,318
Highwoods Properties+ 34,700 955
Horace Mann Educators (B) 60,600 1,103
Horizon Financial 600 12
Host Marriott+ (B) 116,500 1,951
HRPT Properties Trust+ 154,500 1,828
Huntington Bancshares 47,500 1,108
Huron Consulting Group 36,200 832
IMPAC Mortgage Holdings+ (B) 17,400 346
Independent Bank 25,748 725
IndyMac Bancorp (B) 62,100 2,555
Innkeepers USA Trust+ 11,500 155
Instinet Group* 193,735 1,023
Investment Technology Group* 22,885 452
Investors Financial Services (B) 14,500 602
Irwin Financial 69,200 1,452
ITLA Capital* 600 30
Jones Lang LaSalle* 10,000 424
Kansas City Life Insurance 9,500 448
KNBT Bancorp 47,500 708
LandAmerica Financial Group (B) 27,700 1,557
LaSalle Hotel Properties+ 5,100 158
Lazard Cl A (B)* 44,100 955
LTC Properties+ 5,500 109
Macatawa Bank 805 28
Macerich+ 26,400 1,664
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Mack-Cali Realty+ 25,900 $ 1,142
MAF Bancorp 22,517 958
Maguire Properties+ 11,800 309
MainSource Financial Group 600 11
Marlin Business Services* 71,132 1,443
Max Re Capital 78,700 1,740
Medical Properties Trust+ 55,500 558
Mercantile Bank 1,000 41
Mercury General 700 39
MeriStar Hospitality+ (B)* 121,707 1,021
MFA Mortgage Investments+ 50,600 359
Mid-America Apartment Communities+ 2,700 109
Mid-State Bancshares 1,300 35
MoneyGram International 10,400 193
Montpelier Re Holdings 26,200 900
Nara Bancorp 7,400 103
Nasdaq Stock Market* 39,200 673
National Financial Partners (B) 16,440 629
National Health Investors+ 2,600 69
Navigators Group* 24,505 815
New Century Financial+ (B) 23,500 1,197
New Plan Excel Realty Trust+ 33,600 905
Novastar Financial+ (B) 9,000 331
Nuveen Investments, Cl A (B) 24,200 872
Ocwen Financial (B)* 8,200 59
Ohio Casualty 49,606 1,186
Old Second Bancorp (B) 1,400 39
Omega Healthcare Investors+ 10,900 130
Online Resources* 129,826 1,264
optionsXpress Holdings (B)* 49,100 663
Pacific Capital Bancorp 4,500 152
PartnerRe 22,600 1,493
Pennsylvania Real Estate Investment
Trust+ 8,200 361
PFF Bancorp 27,650 803
Philadelphia Consolidated Holding (B)* 2,300 190
Placer Sierra Bancshares 2,100 54
Platinum Underwriters Holdings 20,410 620
Post Properties+ 29,200 958
Preferred Bank* 25,900 1,002
Prentiss Properties Trust+ 15,140 522
Presidential Life 23,200 351
Prologis+ 22,700 927
Prosperity Bancshares 1,600 43
Protective Life 9,300 374
Provident Financial Holdings 400 11
Providian Financial (B)* 31,100 554
Public Storage+ 15,200 914
RAIT Investment Trust+ (B) 41,700 1,193
Ramco-Gershenson Properties+ 3,600 100
Raymond James Financial 19,015 512
Reckson Associates Realty+ 51,100 1,614
Regency Centers+ 13,100 732
Reinsurance Group of America (B) 12,700 581
- --------------------------------------------------------------------------------
58 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Republic Bancorp 80,210 $ 1,107
Royal Bancshares of Pennsylvania 600 14
Santander BanCorp 1,200 26
Selective Insurance Group 2,100 101
Shurgard Storage Centers, Cl A+ 50,600 2,209
Simon Property Group+ 33,700 2,316
SL Green Realty+ 30,600 1,896
Sovereign Bancorp 148,781 3,321
Stancorp Financial Group 12,600 943
Sterling Financial, Pennsylvania Shares 900 23
Sterling Financial, Washington Shares* 29,700 1,050
Stewart Information Services 15,200 597
Sunstone Hotel Investors+ 58,700 1,351
SVB Financial Group* 45,300 2,164
Taubman Centers+ 24,400 774
TierOne 28,000 675
Tompkins Trustco 300 12
Triad Guaranty* 11,291 612
Trustmark 51,672 1,476
U-Store-It Trust+ 58,200 1,100
UICI 16,000 402
United Fire & Casualty 2,000 79
Unitrin 24,400 1,215
Universal American Financial* 53,695 1,017
UnumProvident 45,700 839
Urstadt Biddle Properties, Cl A+ 2,200 36
Vineyard National Bancorp (B) 2,269 72
Virginia Commerce Bancorp* 31,685 708
W Holding 7,344 66
Washington Federal 22,780 520
Westcorp 3,700 179
Western Sierra Bancorp* 300 10
Whitney Holding 35,649 1,130
Wilshire Bancorp 6,200 83
Winston Hotels+ 6,500 68
Wintrust Financial 11,800 591
World Acceptance* 3,700 96
Zenith National Insurance (B) 17,200 1,090
--------
162,554
--------
HEALTH CARE -- 12.3%
Abgenix (B)* 178,700 1,287
Adeza Biomedical* 1,400 16
Affymetrix (B)* 5,800 310
Albany Molecular Research* 7,500 89
Alderwoods Group* 4,400 61
Alliance Imaging* 12,000 120
Alpharma, Cl A 72,000 927
American Medical Systems Holdings* 3,800 76
AMERIGROUP (B)* 26,898 1,055
Amsurg (B)* 21,750 586
Amylin Pharmaceuticals (B)* 68,400 1,093
Andrx (B)* 60,945 1,218
Animas (B)* 65,700 1,177
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Applera--Applied Biosystems Group 51,200 $ 1,096
Applera--Celera Genomics Group* 42,500 422
Apria Healthcare Group (B)* 15,900 501
Ariad Pharmaceuticals* 106,500 642
Array Biopharma* 66,800 417
Barr Pharmaceuticals (B)* 50,500 2,566
Bausch & Lomb (B) 32,700 2,554
Beckman Coulter 16,600 1,163
Bio-Rad Laboratories, Cl A (B)* 13,700 738
Biosite (B)* 15,300 837
Caraco Pharmaceutical Laboratories* 2,000 14
Cephalon (B)* 62,600 2,655
Cerner (B)* 16,200 1,059
Community Health Systems (B)* 72,600 2,640
Conmed* 6,500 204
Connetics (B)* 50,100 1,116
Cooper 6,600 436
Cubist Pharmaceuticals* 109,300 1,094
CV Therapeutics (B)* 161,400 3,264
Dade Behring Holdings* 11,300 755
Dendreon (B)* 116,500 616
Depomed (B)* 100,500 444
DJ Orthopedics* 79,300 2,201
Encysive Pharmaceuticals (B)* 173,000 1,765
Endo Pharmaceuticals Holdings* 57,100 1,159
Endologix* 113,600 494
Enzon Pharmaceuticals* 9,700 59
EPIX Pharmaceuticals (B)* 104,500 829
Exelixis* 80,000 562
Express Scripts* 12,200 1,127
First Horizon Pharmaceutical (B)* 81,300 1,528
Fisher Scientific International (B)* 38,400 2,398
Gen-Probe* 21,200 824
Genesis HealthCare* 11,400 496
Genitope (B)* 37,100 483
Henry Schein* 4,200 169
Hillenbrand Industries (B) 1,800 91
Human Genome Sciences* 95,700 1,079
ICOS* 3,500 76
IDX Systems* 37,400 1,193
II-VI* 5,400 89
Immucor (B)* 41,400 1,387
Inamed* 2,700 168
Incyte (B)* 101,200 772
InterMune (B)* 14,700 177
Invacare 14,345 640
Invitrogen (B)* 25,100 1,991
Kindred Healthcare (B)* 45,907 1,771
King Pharmaceuticals (B)* 79,500 752
Kos Pharmaceuticals (B)* 12,400 716
LabOne* 15,500 597
Laboratory of America Holdings (B)* 23,700 1,148
Lifecore Biomedical* 3,100 40
LifePoint Hospitals* 12,400 558
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 59
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
Small/Mid Cap Equity Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Ligand Pharmaceuticals, Cl B* 135,700 $ 792
Manor Care 34,000 1,321
Martek Biosciences (B)* 32,500 1,215
Medarex (B)* 12,500 95
Medcath* 20,800 539
Medical Action Industries* 1,000 18
Medicis Pharmaceutical, Cl A (B) 45,100 1,271
Mentor (B) 13,000 532
Mettler Toledo International* 8,400 412
MGI Pharma (B)* 79,200 1,837
Millipore* 12,800 659
Nektar Therapeutics (B)* 99,369 1,816
Neurocrine Biosciences* 16,300 614
Neurometrix (B)* 65,437 1,050
NitroMed (B)* 76,000 1,455
Nu Skin Enterprises, Cl A 25,700 581
Nutraceutical International* 2,400 32
NuVasive* 66,148 1,039
Orthovita* 130,965 416
Parexel International* 20,880 381
PerkinElmer 46,800 895
Pharmion* 25,200 512
PolyMedica (B) 21,000 737
Pozen* 72,700 536
Prestige Brands Holdings* 67,300 1,144
Protein Design Labs (B)* 58,900 1,125
Res-Care* 3,900 52
Rigel Pharmaceuticals* 39,800 712
Rotech Healthcare* 23,000 580
Sepracor (B)* 1,000 61
Serologicals* 6,700 144
Sierra Health Services (B)* 6,800 449
Sybron Dental Specialties* 78,970 2,927
Symmetry Medical* 30,500 681
Syneron Medical (B)* 17,300 583
Techne (B)* 3,600 168
Telik* 59,100 843
Third Wave Technologies* 7,300 27
Triad Hospitals (B)* 43,200 2,191
Trimeris* 77,100 783
United Surgical Partners
International (B)* 1,800 87
United Therapeutics (B)* 3,100 155
Universal Health Services, Cl B 7,100 415
Varian Medical Systems* 18,900 711
Watson Pharmaceuticals (B)* 34,500 1,037
West Pharmaceutical Services 4,900 136
Zymogenetics* 1,300 23
--------
94,376
--------
INDUSTRIALS -- 11.6%
Actuant, Cl A (B)* 27,395 1,233
Acuity Brands 50,750 1,246
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Advisory Board* 4,400 $ 199
AGCO (B)* 42,000 771
Airtran Holdings (B)* 53,600 523
Alaska Air Group (B)* 38,000 1,122
Albany International, Cl A 24,700 772
Alliant Techsystems (B)* 7,400 531
Ametek 17,030 651
AMN Healthcare Services* 3,800 55
Arkansas Best 6,700 219
Arlington Tankers (B) 29,500 580
Armor Holdings (B)* 12,500 472
Artesyn Technologies (B)* 87,112 717
Aviall* 5,732 176
Banta (B) 51,680 2,270
BE Aerospace* 41,532 601
Blount International* 40,600 717
BlueLinx Holdings 6,000 73
Briggs & Stratton 30,800 1,043
Bright Horizons Family Solutions* 38,500 1,425
Brink's 35,900 1,120
Bucyrus International, Cl A 21,000 749
Chicago Bridge & Iron 16,900 365
Clean Harbors (B)* 4,600 95
Columbus McKinnon* 4,300 41
Consolidated Graphics* 2,700 114
Corinthian Colleges (B)* 44,000 680
Corporate Executive Board 26,400 1,842
CoStar Group* 21,700 872
Crane 12,700 334
Cummins (B) 30,100 2,045
Curtiss-Wright 15,677 857
Deluxe 12,400 501
Duratek* 800 18
EDO 41,893 1,193
Education Management* 61,900 2,009
EGL* 24,800 472
Engineered Support Systems 25,550 996
EnPro Industries* 28,100 761
Esterline Technologies* 6,600 257
ExpressJet Holdings* 88,800 766
Franklin Electric 1,600 62
Frozen Food Express Industries* 2,700 29
GATX (B) 28,600 954
Genesee & Wyoming, Cl A* 29,219 816
Geo Group* 2,400 58
Goodrich 60,700 2,541
Graco 5,900 206
GrafTech International* 225,450 992
Griffon* 39,500 787
Harsco 1,200 70
Herman Miller 49,100 1,429
HUB Group, Cl A* 27,964 768
Infospace (B)* 22,200 753
- --------------------------------------------------------------------------------
60 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
infoUSA 3,400 $ 41
Integrated Electrical Services (B)* 38,300 58
Iron Mountain (B)* 22,000 631
ITT Educational Services (B)* 43,500 1,974
JB Hunt Transport Services (B) 57,900 1,163
JLG Industries 33,800 862
John H. Harland 24,400 919
Kennametal 34,370 1,512
Korn/Ferry International* 1,200 19
Labor Ready* 25,459 526
Laidlaw International (B)* 119,000 2,647
Landstar System* 7,900 267
Laureate Education* 24,260 1,133
Lennox International 48,000 1,020
M/I Homes 14,000 707
Mercury Computer Systems* 19,500 564
Mesa Air Group (B)* 17,800 114
Molecular Devices* 5,500 106
Monster Worldwide (B)* 48,600 1,282
Moog, Cl A* 5,900 179
Mueller Industries 38,600 1,042
Navigant Consulting* 73,300 1,682
NCO Group* 4,700 93
NN 1,800 23
Nordson 4,000 124
Oshkosh Truck 10,900 869
Pacer International* 22,406 511
Perini* 6,800 103
PHH* 22,400 537
Pinnacle Airlines (B)* 10,500 103
Power-One* 32,700 179
PRA International* 1,300 34
Quanta Services (B)* 91,370 825
R.H. Donnelley* 25,484 1,567
RailAmerica* 7,200 84
Republic Airways Holdings* 1,900 24
Resources Connection (B)* 69,900 1,392
Ritchie Bros. Auctioneers 20,600 766
Ryder System 48,000 1,764
Sauer-Danfoss 1,700 33
School Specialty (B)* 17,680 693
Shiloh Industries* 900 10
Skywest 15,800 288
Sourcecorp* 11,600 248
SPX (B) 18,400 817
Steelcase, Cl A 24,075 311
Stericycle* 8,000 397
Stewart Enterprises, Cl A* 104,974 621
Swift Transportation (B)* 9,000 221
Sypris Solutions 31,900 336
TeleTech Holdings* 13,700 112
Terex (B)* 16,500 652
Thomas & Betts* 46,700 1,442
Timken 7,200 169
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
TNS* 3,700 $ 81
TurboChef Technologies (B)* 58,700 652
Unifirst 3,000 110
United Rentals (B)* 127,340 2,557
United Stationers* 16,005 785
Universal Forest Products 14,100 561
USA Truck* 2,700 55
UTI Worldwide 17,900 1,320
Ventiv Health* 800 16
Wabash National (B) 28,296 705
Wabtec 47,708 988
Walter Industries (B) 37,300 1,582
Washington Group International (B)* 35,300 1,695
Watts Water Technologies, Cl A 21,593 752
Werner Enterprises 30,635 576
Wright Express* 41,500 664
York International 33,850 1,395
--------
89,238
--------
INFORMATION TECHNOLOGY -- 18.0%
Acxiom 18,000 332
Adaptec* 176,000 700
Advanced Micro Devices* 11,000 180
Aeroflex* 47,831 383
Agere Systems* 52,370 712
Agilysys 46,800 720
Akamai Technologies* 71,400 1,002
Altera* 105,300 2,337
American Reprographics* 40,400 602
American Science & Engineering* 2,300 88
American Tower, Cl A* 37,500 676
AMIS Holdings* 64,300 772
Amkor Technology (B)* 60,900 216
Amphenol, Cl A 60,000 2,543
answerthink* 80,208 318
Anteon International* 10,530 465
aQuantive (B)* 90,300 1,390
Arris Group (B)* 155,865 1,350
Arrow Electronics* 4,500 126
Aspen Technology (B)* 88,900 466
Asyst Technologies* 111,500 469
ATI Technologies* 44,600 672
ATMI (B)* 55,432 1,558
Avaya* 241,500 2,210
Avid Technology (B)* 29,600 1,736
Avocent* 40,700 1,140
Axcelis Technologies* 62,200 414
Belden CDT (B) 9,800 197
Benchmark Electronics* 19,600 621
BISYS Group (B)* 30,200 461
Black Box 14,900 512
Blackbaud 35,900 494
BMC Software (B)* 61,100 1,040
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 61
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
Small/Mid Cap Equity Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Brooks Automation* 136,400 $ 2,057
C-COR* 149,100 1,026
CACI International, Cl A* 7,260 468
Cadence Design Systems (B)* 59,000 824
CCC Information Services Group* 2,400 56
Ceridian* 42,800 816
Certegy 15,500 582
Check Point Software Technologies* 47,400 1,076
Checkfree (B)* 36,000 1,344
Citrix Systems (B)* 67,200 1,691
CNET Networks* 136,400 1,416
Cognex (B) 63,848 1,657
CommScope* 34,340 581
Conexant Systems* 165,500 237
Convergys* 42,800 583
Credence Systems (B)* 87,500 693
Cree (B)* 31,700 952
CSG Systems International* 8,600 164
Cymer (B)* 86,088 2,446
Cypress Semiconductor* 59,919 775
Digital River* 3,000 83
Digitas (B)* 111,200 1,231
Diodes* 4,600 153
Dionex* 3,600 161
Dolby Laboratories, Cl A (B)* 27,300 544
Earthlink* 161,800 1,717
Emulex (B)* 67,500 1,276
Entegris* 78,770 764
eResearch Technology* 38,700 474
F5 Networks* 3,300 169
FARO Technologies* 36,800 1,024
FEI (B)* 72,100 1,501
Filenet* 22,650 631
Flir Systems* 8,900 239
Foundry Networks* 46,200 427
Genesis Microchip (B)* 11,900 197
Global Payments (B) 10,500 728
Harris 5,400 155
Hutchinson Technology (B)* 50,600 2,093
Imation 11,500 434
Informatica* 152,328 1,307
Ingram Micro, Cl A* 45,200 715
Integrated Device Technology* 75,060 918
Inter-Tel 7,600 156
Intermix Media (B)* 73,000 433
International Rectifier (B)* 14,200 678
Intersil, Cl A 93,600 1,756
Intervideo* 30,188 458
Intrado (B)* 3,800 49
Iomega 153,500 474
Itron (B)* 6,500 267
IXYS* 4,400 61
j2 Global Communications (B)* 5,500 193
Jack Henry & Associates 67,700 1,198
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Kanbay International* 34,811 $ 723
KFX (B)* 38,500 507
Komag (B)* 9,600 277
Lam Research (B)* 43,100 1,322
Lattice Semiconductor (B)* 288,300 1,217
Leadis Technology (B)* 72,400 496
LeCroy* 2,800 46
LSI Logic* 215,800 1,588
Magma Design Automation (B)* 1,900 15
Manhattan Associates* 72,300 1,536
MAXIMUS (B) 49,200 1,687
Maxtor (B)* 337,014 1,850
McAfee* 14,700 422
MEMC Electronic Materials (B)* 61,900 848
Mentor Graphics* 105,900 1,089
Mercury Interactive (B)* 26,400 1,191
Micrel (B)* 117,000 1,357
Micromuse (B)* 160,740 1,009
MicroStrategy, Cl A (B)* 900 50
MPS Group* 112,126 1,052
MTS Systems 700 22
Napster (B)* 123,600 524
Netease.com ADR (B)* 8,600 444
NetIQ* 85,660 946
Novellus Systems* 46,500 1,239
O2Micro International* 86,300 1,075
Omnivision Technologies (B)* 52,800 835
Openwave Systems (B)* 60,300 938
OSI Systems (B)* 46,300 690
Parametric Technology (B)* 236,684 1,425
Paxar* 65,900 1,161
Per-Se Technologies* 5,100 97
Perot Systems, Cl A* 14,200 183
Photronics (B)* 19,500 449
Pixelworks* 175,000 1,500
Plantronics 48,000 1,652
PMC - Sierra* 39,500 346
Polycom* 169,300 2,897
Power Integrations* 8,500 202
Progress Software* 4,600 134
ProQuest* 26,000 835
QAD 2,100 15
Red Hat (B)* 118,600 1,499
Reynolds & Reynolds, Cl A 41,600 1,135
RF Micro Devices* 240,100 1,116
RightNow Technologies* 60,900 569
Rogers* 5,500 228
RSA Security* 74,500 916
S1* 96,100 431
Sabre Holdings, Cl A 105,400 2,115
SafeNet (B)* 31,000 974
Satyam Computer Services 60,100 1,485
ScanSoft (B)* 227,800 925
Seachange International* 69,500 549
- --------------------------------------------------------------------------------
62 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Serena Software (B)* 22,500 $ 440
Sigmatel* 10,700 242
Silicon Image* 6,900 81
Sina (B)* 15,295 426
Sirf Technology Holdings* 110,800 1,569
Spatialight (B)* 117,000 710
SRA International, Cl A* 10,752 365
SS&C Technologies 31,700 948
Standard Microsystems* 27,992 455
Storage Technology* 36,100 1,165
Stratasys (B)* 30,601 990
Sybase (B)* 43,400 885
Synopsys* 18,700 338
Tech Data* 29,700 1,066
Teradyne (B)* 85,400 1,111
Tessera Technologies* 26,100 768
TIBCO Software* 204,600 1,297
Titan* 83,700 1,841
Trident Microsystems* 4,700 100
TTM Technologies* 84,100 668
Ultratech* 31,998 561
Unisys* 27,900 202
United Online 30,600 396
Veeco Instruments (B)* 5,900 89
Western Digital* 250,100 3,754
Zebra Technologies, Cl A (B)* 18,034 770
--------
138,080
--------
MATERIALS -- 4.6%
Airgas 40,221 965
AK Steel Holding (B)* 48,600 372
AMCOL International 45,335 880
Apex Silver Mines (B)* 53,500 720
Aptargroup 21,400 1,070
Arch Coal 39,400 1,909
Buckeye Technologies* 84,700 700
Century Aluminum* 31,317 702
Cleveland-Cliffs (B) 11,900 698
Commercial Metals 19,110 500
Crown Holdings* 101,100 1,505
Cytec Industries 33,684 1,403
Eastman Chemical (B) 51,400 3,021
Ferro 31,400 604
Florida Rock Industries (B) 9,076 594
FMC* 30,200 1,675
Foundation Coal Holdings 44,100 1,124
Greif, Cl A (B) 21,800 1,584
Headwaters (B)* 24,400 807
Jacuzzi Brands* 57,400 586
Louisiana-Pacific 21,700 546
Lubrizol 27,800 1,095
Lyondell Chemical 300 7
Massey Energy (B) 15,400 623
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
NS Group* 18,400 $ 530
OM Group* 15,200 383
Owens-Illinois* 22,500 579
Peabody Energy 11,600 554
PolyOne* 80,100 538
Quanex (B) 16,350 848
RPM International 34,500 607
RTI International Metals* 19,450 533
Schweitzer-Mauduit International 16,400 492
Silgan Holdings 3,400 194
Steel Dynamics (B) 15,700 422
Trex (B)* 26,600 1,025
United States Steel (B) 34,900 1,388
USG (B)* 21,100 967
WCA Waste* 86,930 773
Wellman 75,500 849
Wheeling-Pittsburgh (B)* 39,600 703
--------
35,075
--------
TELECOMMUNICATION SERVICES -- 1.7%
ADC Telecommunications* 28,287 514
Adtran 35,500 780
Alaska Communications Systems
Group (B) 8,500 80
Amdocs* 57,100 1,556
Aspect Communications* 17,700 170
Brightpoint* 64,300 1,209
Centennial Communications* 6,600 86
CenturyTel 53,300 1,748
Fairpoint Communications (B)* 67,000 1,043
General Communication, Cl A* 9,300 77
Iowa Telecommunications Services 32,852 618
New Skies Satellites Holdings* 34,000 602
Nextel Partners, Cl A (B)* 48,400 1,149
North Pittsburgh Systems 800 15
Novatel Wireless (B)* 109,800 1,369
Premiere Global Services* 104,520 1,176
Saga Communications, Cl A* 1,800 25
Spectrasite* 11,800 753
Talk America Holdings* 44,200 393
West* 2,100 74
--------
13,437
--------
UTILITIES -- 3.3%
AGL Resources 46,528 1,640
Allete 19,853 953
Avista 32,400 571
Centerpoint Energy (B) 76,300 935
Cleco 9,100 190
CMS Energy (B)* 80,400 1,064
DPL 21,900 554
Duquesne Light Holdings (B) 45,900 873
El Paso Electric* 2,500 50
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 63
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
Small/Mid Cap Equity Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Energen 48,126 $ 3,137
Idacorp 17,007 482
National Fuel Gas 5,000 140
New Jersey Resources 18,223 822
Northeast Utilities 29,800 590
Northwest Natural Gas 12,695 460
NorthWestern 43,900 1,272
OGE Energy (B) 20,500 569
Pepco Holdings 7,000 158
Pinnacle West Capital 13,500 596
PNM Resources 59,250 1,726
Puget Energy 23,700 539
Reliant Energy* 85,700 1,054
Sempra Energy 15,000 595
Southern Union (B)* 21,000 514
UGI 48,156 1,277
UIL Holdings 10,100 524
Unisource Energy 18,400 529
Vectren (B) 21,244 580
Westar Energy 24,200 558
WGL Holdings 42,100 1,370
Wisconsin Energy 28,000 1,016
--------
25,338
--------
Total Common Stock
(Cost $681,879) ($ Thousands) 737,516
--------
FOREIGN STOCK -- 0.8%
Canaccord Capital 52,000 405
Compton Petroleum* 35,000 300
Deer Creek Energy* 39,000 431
Dundee+ 27,000 568
Dundee Wealth Management 62,200 461
First Quantum Minerals* 44,500 739
Granded Cache Coal* 85,000 698
OPTI Canada* 43,500 883
Railpower Technologies* 109,600 490
Western Oil Sands, Cl A* 48,000 740
--------
Total Foreign Stock
(Cost $5,270) ($ Thousands) 5,715
--------
CORPORATE OBLIGATIONS (C) (E) -- 12.6%
FINANCIALS -- 12.6%
ASIF Global Financing XV (F)
3.020%, 09/02/05 $ 308 307
Allstate Life Global Funding II MTN (F)
3.080%, 06/15/06 1,524 1,524
American General Finance (F)
3.090%, 06/15/06 2,982 2,982
Bear Stearns EXL
3.100%, 06/15/06 5,898 5,898
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CCN Bluegrass (F)
3.170%, 02/21/06 $ 2,154 $ 2,154
CIT Group MTN
3.260%, 05/12/06 8,284 8,284
3.199%, 07/29/05 378 378
3.163%, 04/19/06 828 829
Caterpillar Financial Services MTN,
Ser F
3.250%, 07/11/05 1,657 1,657
Countrywide Home Loans MTN, Ser A
3.509%, 03/21/06 2,717 2,717
Countrywide Home Loans MTN, Ser M
3.389%, 08/26/05 994 994
3.152%, 06/23/05 2,021 2,021
3.040%, 11/30/05 3,777 3,777
2.810%, 01/31/06 729 729
Dekabank (F)
3.206%, 05/19/06 6,130 6,129
Five Finance MTN (F)
3.100%, 09/22/05 4,705 4,704
Harrier Finance Funding MTN (F)
3.034%, 09/15/05 961 961
Harrier Finance Funding MTN, Ser 1 (F)
3.016%, 06/15/05 2,883 2,883
Irish Life & Permanent MTN, Ser X (F)
3.101%, 06/22/06 3,082 3,081
Jackson National Life Funding (F)
3.064%, 05/01/06 7,289 7,289
K2 MTN (F)
2.995%, 12/12/05 199 199
Lakeside Funding
3.120%, 06/08/05 1,657 1,657
Liberty Lighthouse US Capital MTN (F)
3.118%, 05/10/06 3,313 3,311
Morgan Stanley EXL
3.089%, 05/04/06 1,160 1,160
Morgan Stanley EXL, Ser S
3.085%, 06/02/06 1,657 1,656
Nationwide Building Society (F)
3.090%, 01/06/06 3,313 3,313
3.083%, 10/28/05 1,657 1,657
Northern Rock (F)
3.099%, 02/03/06 3,413 3,413
Pacific Life Global Funding (F)
3.080%, 06/13/06 2,485 2,485
Premium Asset Trust, Ser 2004-01 (F)
3.100%, 02/06/06 2,452 2,454
Premium Asset Trust, Ser 2004-10 (F)
3.100%, 04/14/06 4,639 4,639
SLM EXL, Ser S
3.090%, 05/15/06 3,645 3,645
SLM MTN, Ser X (F)
3.090%, 06/20/06 6,627 6,627
- --------------------------------------------------------------------------------
64 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
White Pine Finance MTN, Ser 1
3.071%, 11/01/05 $ 1,458 $ 1,458
--------
Total Corporate Obligations
(Cost $96,972) ($ Thousands) 96,972
--------
ASSET-BACKED SECURITIES (C) (E) (F) -- 6.5%
AUTOMOTIVE -- 1.2%
Capital Auto Receivables Asset Trust,
Ser 2005-SN1A, Cl A1
3.327%, 05/15/06 8,016 8,016
Drivetime Auto Owner Trust,
Ser 2005-A, Cl A1
3.110%, 03/15/06 790 790
--------
8,806
--------
MORTGAGE RELATED SECURITIES -- 5.3%
Aire Valley Mortgages,
Ser 2004-1A, Cl 1A
3.090%, 09/20/05 2,121 2,121
Blue Heron Funding, Ser 6A, Cl A1
3.120%, 06/21/06 663 663
Blue Heron Funding, Ser 9A, Cl A1
3.129%, 02/22/06 3,314 3,314
CCN Independence IV
3.160%, 10/17/05 1,822 1,822
3.160%, 01/17/06 1,160 1,160
Cheyne High Grade,
Ser 2004-1A, Cl A1
3.250%, 11/10/05 1,905 1,905
Commodore, Ser 2003-2A, Cl A1MM
3.100%, 12/12/38 1,524 1,524
Duke Funding, Ser 2004-6B, Cl A1S1
2.680%, 04/10/06 2,485 2,485
Harwood Street Funding I,
Ser 2004-1A, Cl NOTE
3.140%, 09/20/05 4,705 4,705
Harwood Street Funding II,
Ser 2005-1A, Cl NOTE
3.141%, 06/25/06 3,313 3,313
Orchid Structured Finance,
Ser 2003-1A, Cl A1MM
3.370%, 11/18/05 3,239 3,239
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AMM2
3.140%, 11/25/05 5,329 5,329
RMAC, Ser 2004-NS2A, Cl A1
3.080%, 06/13/05 590 590
RMAC, Ser 2004-NS3A, Cl A1
3.090%, 06/12/05 1,392 1,392
Saturn Ventures II
3.150%, 08/08/05 3,678 3,678
TIAA Real Estate, Ser 2003 1A, Cl A1
3.131%, 03/28/06 2,140 2,140
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMB
3.040%, 06/15/05 $ 828 $ 828
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMC
3.030%, 09/15/05 596 596
--------
40,804
--------
Total Asset-Backed Securities
(Cost $49,610) ($ Thousands) 49,610
--------
CASH EQUIVALENT -- 3.3%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A++ 25,650,085 25,650
--------
Total Cash Equivalent
(Cost $25,650) ($ Thousands) 25,650
--------
COMMERCIAL PAPER (C) (D) -- 2.8%
FINANCIALS -- 2.8%
Ajax Bambino Funding
3.119%, 07/06/05 3,313 3,304
Altimira Funding
3.004%, 06/16/05 432 431
Beethoven Funding
3.109%, 07/05/05 1,657 1,652
3.013%, 06/13/05 1,666 1,664
Brahms Funding
3.000%, 06/02/05 4,273 4,273
Capital One Multi-Asset Funding
3.025%, 06/20/05 1,325 1,323
3.002%, 06/07/05 1,160 1,159
Cobbler Funding
3.057%, 06/28/05 606 605
Cre-8 Funding
3.106%, 06/23/05 1,160 1,158
Golden Fish
3.066%, 06/22/05 1,724 1,721
3.065%, 06/20/05 1,076 1,074
3.055%, 06/21/05 497 496
3.053%, 06/14/05 1,332 1,331
Rams Funding
3.121%, 06/06/05 1,657 1,656
--------
Total Commercial Paper
(Cost $21,847) ($ Thousands) 21,847
--------
MASTER NOTES (C) -- 1.6%
Bank of America Master Notes
3.143%, 06/01/05 8,284 8,284
Bear Stearns Master Notes
3.234%, 06/01/05 3,976 3,976
--------
Total Master Notes
(Cost $12,260) ($ Thousands) 12,260
--------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 65
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
Small/Mid Cap Equity Fund (Concluded)
May 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT (C) (E) -- 0.9%
U.S. Trust
3.325%, 09/12/05 $ 3,313 $ 3,313
Washington Mutual Bank
3.270%, 08/18/05 3,910 3,910
--------
Total Certificates of Deposit
(Cost $7,223) ($ Thousands) 7,223
--------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bills (A)
2.986%, 08/25/05 1,360 1,351
--------
Total U.S. Treasury Obligation
(Cost $1,351) ($ Thousands) 1,351
--------
REPURCHASE AGREEMENTS (C) -- 4.2%
Barclays Capital
3.040%, dated 05/31/05, to be
repurchased on 06/01/05,
repurchase price $5,214,773
(collateralized by U.S. Government
Obligation, par value $5,427,189,
0.000%, 12/28/05; with total market
value $5,318,646) 5,214 5,214
Lehman Brothers
3.040%, dated 05/31/05, to be
repurchased on 06/01/05,
repurchase price $4,142,180
(collateralized by various
U.S. Government Obligations,
ranging in par value $50,199-
$2,501,466, 0.000%-4.375%,
10/15/06-10/15/16; with total
market value $4,224,818) 4,142 4,142
UBS Paine Webber
3.050%, dated 05/31/05, to be
repurchased on 06/01/05,
repurchase price $23,196,215
(collateralized by various
U.S. Government Obligations,
ranging in par value $968,028-
$6,229,478, 0.000%-8.875%,
04/15/07-05/15/30; with total
market value $23,658,215) 23,194 23,194
--------
Total Repurchase Agreements
(Cost $32,550) ($ Thousands) 32,550
--------
Total Investments -- 128.8%
(Cost $934,612) ($ Thousands) 990,694
--------
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (28.8)%
Payable upon Return on Securities Loaned $(220,462)
Payable for Investment Securities Purchased (3,623)
Payable for Fund Shares Redeemed (942)
Investment Advisory Fees Payable (356)
Trustees' Fees Payable (2)
Other Assets and Liabilities, Net 3,588
---------
Total Other Assets and Liabilities (221,797)
---------
Net Assets -- 100.0% $ 768,897
=========
NET ASSETS:
Paid-in-Capital -- Class A
(unlimited authorization -- no par value) $ 692,619
Undistributed net investment income 796
Accumulated net realized gain on investments
and futures contracts 18,620
Net unrealized appreciation on investments 56,082
Net unrealized appreciation on futures contracts 780
---------
Net Assets $ 768,897
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($768,896,720 / 6,428,048 shares) $119.62
=======
A summary of the open futures contracts held by the fund at May 31, 2005, is as
follows: (see note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------------------
CONTRACT UNREALIZED
TYPE OF NUMBER OF VALUE EXPIRATION APPRECIATION
CONTRACT CONTRACTS ($ THOUSANDS) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
S&P Mid 400 Index E-Mini 101 $ 6,774 06/17/05 $306
Russell 2000 Index E-Mini 188 11,604 06/17/05 474
----
$780
----
* 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 May 31,
2005 (see Note 9). The total value of securities on loan at May 31, 2005
was $213,744 ($ Thousands).
(C) This security was purchased with cash collateral held from securities
lending (see Note 9). The total value of such securities as of May 31, 2005
was $220,462 ($ Thousands).
(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 May 31, 2005.
(F) This security, which was purchased with cash collateral, was sold within
the terms of private placement memorandum, exempt from registration under
Section 3A-4, 4(2) or 144A of the Securities Act of 1933, as amended, and
may be sold only to dealers in that program or other "accredited
investors."
(G) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total value of such
securities as of May 31, 2005 was $500 ($ Thousands) and represented 0.07%
of Net Assets.
(H) Securities considered illiquid. The total value of such securities as of
May 31, 2005 was $500 ($ Thousands) and represents 0.07% of Net Assets.
ADR -- American Depositary Receipt
Cl -- Class
EXL -- Extendable Maturity
MTN -- Medium Term Note
PIPE -- Private Investment in Public Equity
Ser -- Series
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
66 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund
May 31, 2005
- --------------------------------------------------------------------------------
[THE FOLLOWING WAS PREPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Sector Weightings (unaudited)++
20.3% U.S. Treasury Obligations
19.9% Financials
17.8% Asset-Backed Securities
15.2% U.S. Government Mortgage Backed
10.0% Short-Term Investments
7.7% U.S. Government Agency Obligations
1.9% Industrials
1.4% Utilities
1.3% Consumer Discretionary
1.2% Telecommunication Services
0.9% Energy
0.8% Certificate of Deposit
0.8% Regional Agencies
0.3% Consumer Staples
0.2% Foreign Bonds
0.2% Health Care
0.1% Materials
0.0% Information Technology
0.0% Municipal Bond
0.0% Options
++Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 35.1%
CONSUMER DISCRETIONARY -- 1.8%
COX Communications
7.875%, 08/15/09 $ 440 $ 491
7.125%, 10/01/12 1,540 1,717
4.625%, 06/01/13 280 270
Comcast
7.050%, 03/15/33 (K) 1,185 1,417
6.500%, 01/15/15 (K) 1,380 1,539
5.850%, 01/15/10 (K) 1,255 1,325
5.500%, 03/15/11 1,830 1,911
Comcast Cable Communications
8.375%, 03/15/13 1,810 2,217
6.750%, 01/30/11 5,950 6,569
6.375%, 01/30/06 360 365
Continental Cablevision
9.000%, 09/01/08 710 804
8.300%, 05/15/06 875 909
DaimlerChrysler
8.500%, 01/18/31 615 754
7.450%, 03/01/27 705 778
7.300%, 01/15/12 1,995 2,195
6.500%, 11/15/13 845 895
Federated Department Stores
6.900%, 04/01/29 135 154
6.790%, 07/15/27 580 648
Ford Motor
7.450%, 07/16/31 (K) 9,776 8,175
6.375%, 02/01/29 5,500 4,249
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
General Motors
8.375%, 07/15/33 (K) $ 8,480 $ 6,496
8.250%, 07/15/23 9,780 7,438
Liberty Media
5.700%, 05/15/13 (K) 705 655
4.510%, 09/17/06 (F) 2,281 2,292
May Department Stores
6.700%, 07/15/34 (K) 375 414
5.750%, 07/15/14 500 525
News America
7.300%, 04/30/28 475 545
7.280%, 06/30/28 725 831
6.200%, 12/15/34 (K) 1,665 1,722
News America Holdings
7.750%, 01/20/24 395 469
Pulte Homes
5.200%, 02/15/15 815 799
TCI Communications
7.875%, 02/15/26 565 713
Target
4.000%, 06/15/13 355 344
Time Warner
8.375%, 07/15/33 (K) 1,670 2,212
8.180%, 08/15/07 500 539
7.700%, 05/01/32 (K) 1,595 2,014
7.700%, 05/01/32 5,000 6,313
7.625%, 04/15/31 335 418
7.570%, 02/01/24 1,630 1,984
6.875%, 05/01/12 350 394
Viacom
7.875%, 07/30/30 450 533
5.625%, 08/15/12 550 561
----------
75,593
----------
CONSUMER STAPLES -- 0.5%
Albertsons
8.000%, 05/01/31 300 350
7.750%, 06/15/26 870 966
Altria Group
7.750%, 01/15/27 1,765 2,069
7.000%, 11/04/13 (K) 1,770 1,965
Delhaize America
9.000%, 04/15/31 420 505
General Mills
5.125%, 02/15/07 800 814
Kellogg
2.875%, 06/01/08 2,085 2,006
Kraft Foods
6.500%, 11/01/31 (K) 715 827
6.250%, 06/01/12 395 432
5.625%, 11/01/11 735 777
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 67
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Nabisco
7.550%, 06/15/15 $ 2,675 $ 3,247
Philip Morris Capital
7.500%, 07/16/09 1,155 1,247
RJ Reynolds Tobacco Holdings, Ser B
7.875%, 05/15/09 1,630 1,679
7.750%, 05/15/06 3,760 3,840
Sara Lee
3.875%, 06/15/13 685 638
----------
21,362
----------
ENERGY -- 1.3%
Alberta Energy
7.375%, 11/01/31 1,070 1,331
Amerada Hess
7.300%, 08/15/31 5,725 6,659
7.125%, 03/15/33 640 734
Anadarko Finance, Ser B
7.500%, 05/01/31 2,383 2,979
Apache
6.250%, 04/15/12 945 1,054
BP Canada Finance
3.625%, 01/15/09 2,740 2,710
Canadian National Resources (K)
4.900%, 12/01/14 1,145 1,146
Conoco (K)
6.950%, 04/15/29 4,955 6,119
Conoco Funding
7.250%, 10/15/31 885 1,141
6.350%, 10/15/11 1,540 1,699
ConocoPhillips (K)
5.900%, 10/15/32 665 734
4.750%, 10/15/12 2,310 2,350
Consolidated Natural Gas, Ser A
5.000%, 03/01/14 625 629
Devon Energy
7.950%, 04/15/32 3,725 4,827
Devon Financing
7.875%, 09/30/31 1,240 1,591
El Paso
6.950%, 06/01/28 2,250 1,901
El Paso MTN
7.800%, 08/01/31 2,100 1,966
7.750%, 01/15/32 3,375 3,147
Encana
6.500%, 08/15/34 500 569
Kinder Morgan Energy Partners
5.800%, 03/15/35 350 350
5.125%, 11/15/14 615 618
Occidental Petroleum
6.750%, 01/15/12 1,000 1,126
Pemex Master Trust
7.375%, 12/15/14 1,080 1,210
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Pioneer Natural Resources (K)
5.875%, 07/15/16 $ 540 $ 538
Valero Energy
7.500%, 04/15/32 515 615
XTO Energy
7.500%, 04/15/12 630 721
6.250%, 04/15/13 3,195 3,451
4.900%, 02/01/14 (K) 1,020 1,005
YPF Sociedad Anonima MTN, Ser A
7.750%, 08/27/07 3,000 3,135
----------
56,055
----------
FINANCIALS -- 23.7%
ASIF Global Financing XIX (C)
4.900%, 01/17/13 910 918
ASIF Global Financing XV (F) (J) (L)
3.020%, 09/02/05 1,825 1,825
Allstate Financial Global Funding (C)
6.150%, 02/01/06 1,800 1,827
Allstate Life Global Funding II
MTN (F) (J) (L)
3.080%, 06/15/06 9,044 9,045
American Express Bank (F)
3.170%, 11/21/07 3,825 3,827
American Express Centurion
4.375%, 07/30/09 145 146
American General Finance
3.875%, 10/01/09 1,445 1,406
3.090%, 06/15/06 (F) (J) (L) 17,696 17,696
American International Group
4.250%, 05/15/13 900 866
Apache Finance Canada
4.375%, 05/15/15 2,980 2,943
Arch Capital Group
7.350%, 05/01/34 4,525 5,189
Archstone-Smith Operating Trust (K)
5.625%, 08/15/14 975 1,018
Associates
6.250%, 11/01/08 895 953
Avalonbay Communities MTN
7.500%, 12/15/10 1,025 1,166
BAC Capital Trust VI
5.625%, 03/08/35 1,710 1,751
Bank One
7.875%, 08/01/10 4,440 5,134
3.700%, 01/15/08 3,850 3,818
Bank of America
7.400%, 01/15/11 3,300 3,771
5.875%, 02/15/09 1,835 1,938
4.375%, 12/01/10 (K) 810 812
3.875%, 01/15/08 (K) 845 841
Bank of Scotland Treasury Services (C)
3.500%, 11/30/07 1,680 1,658
- --------------------------------------------------------------------------------
68 SEI Institutional Investments Trust / Annual Report / May 31, 2005
<page>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Bankamerica Capital (F)
3.711%, 01/15/27 $ 1,400 $ 1,358
Banponce Trust I, Ser A
8.327%, 02/01/27 2,410 2,624
Barclays Bank PLC (C)
8.550%, 09/29/49 935 1,123
Bear Stearns EXL (F) (L)
3.100%, 06/15/06 34,998 34,998
Berkshire Hathaway Financial
3.400%, 07/02/07 2,935 2,899
4.125%, 01/15/10 (C) 650 644
Boeing Capital
6.500%, 02/15/12 340 378
5.800%, 01/15/13l (K) 315 340
CCN Bluegrass (F) (J) (L)
3.170%, 02/21/06 12,780 12,780
CIT Group MTN (F) (L)
3.260%, 05/12/06 49,154 49,154
3.199%, 07/29/05 2,240 2,242
3.163%, 04/19/06 4,915 4,919
Capital One Bank
6.700%, 05/15/08 1,000 1,063
4.875%, 05/15/08 4,520 4,566
Capital One Financial
8.750%, 02/01/07 1,646 1,760
5.500%, 06/01/15 730 736
Caterpillar Financial Services MTN,
Ser F (F) (L)
3.250%, 07/11/05 9,831 9,831
Chase Capital II, Ser B (F)
3.710%, 02/01/27 500 466
Chase Capital III, Ser C (F)
3.460%, 03/01/27 840 789
Citicorp
7.750%, 06/15/06 (B) 2,800 2,902
7.200%, 06/15/07 740 789
Citifinancial
6.250%, 01/01/08 1,350 1,424
Citigroup
6.500%, 01/18/11 1,420 1,567
6.200%, 03/15/09 300 320
5.500%, 08/09/06 865 880
5.000%, 03/06/07 915 930
5.000%, 09/15/14 3,250 3,314
4.650%, 07/01/10 (C) 1,215 1,219
4.125%, 02/22/10 (K) 5,345 5,303
3.625%, 02/09/09 (K) 9,360 9,183
Colonial Realty MTN
6.980%, 09/26/05 5,300 5,341
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Home Loans MTN,
Ser A (F) (L)
3.120%, 03/21/06 $ 16,123 $ 16,123
Countrywide Home Loans MTN,
Ser L
2.875%, 02/15/07 2,440 2,389
Countrywide Home Loans MTN,
Ser M (F) (L)
3.389%, 08/26/05 5,899 5,899
3.152%, 06/23/05 11,994 11,993
3.040%, 11/30/05 22,414 22,414
2.810%, 01/31/06 4,326 4,326
Credit Suisse First Boston London
(C) (F)
9.650%, 03/24/10 8,339 8,075
Credit Suisse First Boston USA
4.700%, 06/01/09 1,025 1,038
Danske Bank (C) (F)
5.914%, 12/29/49 4,000 4,298
Dekabank (F) (L)
3.206%, 05/19/06 36,374 36,368
Depfa ACS Bank
4.250%, 08/16/10 5,700 5,716
Deutsche Bank (F)
3.843%, 03/15/07 2,325 2,314
Developers Diversified Realty MTN
7.000%, 03/19/07 1,100 1,145
Dryden Investor Trust (C) (H)
7.157%, 07/23/08 2,799 2,923
Duke Capital
7.500%, 10/01/09 1,180 1,313
EOP Operating
7.000%, 07/15/11 1,780 1,987
4.650%, 10/01/10 1,849 1,840
Eksportsfinans MTN
3.375%, 01/15/08 4,950 4,880
Equity One
3.875%, 04/15/09 7,100 6,864
Equity Residential Properties Trust
6.625%, 03/15/12 1,705 1,898
Farmers Exchange Capital (C)
7.200%, 07/15/48 2,550 2,729
7.050%, 07/15/28 1,563 1,655
Farmers Insurance Exchange Capital (C)
8.625%, 05/01/24 4,518 5,585
First Industrial
7.600%, 07/15/28 3,400 3,919
First Industrial MTN
7.500%, 12/01/17 2,765 3,156
Five Finance MTN (F) (J) (L)
3.100%, 09/22/05 27,920 27,915
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 69
<page>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Ford Motor Credit
7.875%, 06/15/10 $ 8,500 $ 8,261
7.375%, 10/28/09 1,530 1,480
7.375%, 02/01/11 (K) 4,650 4,429
7.250%, 10/25/11 3,778 3,569
7.000%, 10/01/13 (K) 490 456
6.875%, 02/01/06 4,090 4,136
6.500%, 01/25/07 1,660 1,663
5.700%, 01/15/10 (K) 1,585 1,442
4.950%, 01/15/08 1,470 1,393
Ford Motor Credit MTN
7.750%, 02/15/07 4,435 4,496
GE Capital Franchise MTN
6.860%, 06/15/07 1,100 1,164
General Electric Capital
4.125%, 03/04/08 2,970 2,969
General Electric Capital MTN, Ser A
5.875%, 02/15/12 (K) 645 696
5.450%, 01/15/13 400 423
4.875%, 03/04/15 (K) 2,375 2,417
3.600%, 10/15/08 2,775 2,723
3.450%, 07/16/07 (K) 1,030 1,018
3.450%, 01/15/08 (F) 16,125 16,005
General Motors Acceptance
8.000%, 11/01/31 2,567 2,147
7.750%, 01/19/10 (K) 2,370 2,236
7.250%, 03/02/11 4,205 3,748
6.875%, 09/15/11 2,193 1,913
6.150%, 04/05/07 1,080 1,060
6.125%, 09/15/06 1,905 1,898
6.125%, 02/01/07 (K) 2,180 2,147
6.125%, 08/28/07 (K) 9,860 9,643
6.125%, 01/22/08 415 397
5.625%, 05/15/09 (K) 4,210 3,802
5.110%, 12/01/14 (F) 2,732 2,218
4.203%, 09/23/08 (F) 575 515
4.100%, 07/16/07 (F) (K) 3,340 3,141
General Motors Acceptance MTN (F)
4.145%, 05/18/06 860 847
Genworth Financial
5.750%, 06/15/14 360 385
Goldman Sachs Capital I
6.345%, 02/15/34 705 754
Goldman Sachs Group
6.600%, 01/15/12 2,630 2,909
5.125%, 01/15/15 840 854
5.000%, 10/01/14 3,207 3,234
HBOS (C)
3.125%, 01/12/07 1,200 1,186
HBOS Treasury Services (C)
3.600%, 08/15/07 1,020 1,011
HSBC Finance
4.750%, 04/15/10 870 879
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Harrier Finance Funding
MTN (F) (J) (L)
3.034%, 09/15/05 $ 5,702 $ 5,701
Harrier Finance Funding MTN,
Ser 1 (F) (J) (L)
3.016%, 06/15/05 17,106 17,105
Highwoods Realty
7.500%, 04/15/18 1,550 1,724
Household Finance
8.000%, 07/15/10 2,330 2,691
7.000%, 05/15/12 1,975 2,243
6.375%, 11/27/12 365 403
5.875%, 02/01/09 3,480 3,654
Irish Life & Permanent MTN,
Ser X (F) (J) (L)
3.101%, 06/22/06 18,285 18,283
Istar Financial
5.375%, 04/15/10 1,645 1,659
JP Morgan Capital Trust II
7.950%, 02/01/27 180 197
JP Morgan Chase
6.750%, 02/01/11 2,798 3,099
5.750%, 01/02/13 (K) 3,670 3,922
5.250%, 05/30/07 375 384
5.125%, 09/15/14 1,520 1,548
4.000%, 02/01/08 1,225 1,220
JP Morgan Chase Capital XV
5.875%, 03/15/35 600 608
Jackson National Life
Funding (F) (J) (L)
3.064%, 05/01/06 43,256 43,256
Japan Finance
4.625%, 04/21/15 2,400 2,430
K2 MTN (F) (J) (L)
2.995%, 12/12/05 1,180 1,179
Korea Development Bank
4.250%, 11/13/07 560 560
Lakeside Funding (F) (J) (L)
3.120%, 06/08/05 9,831 9,831
Lazard (C)
7.125%, 05/15/15 1,375 1,381
Lehman Brothers
7.000%, 02/01/08 3,615 3,871
Liberty Lighthouse US Capital
MTN (F) (J) (L)
3.118%, 05/10/06 19,662 19,649
Liberty Mutual Group (C)
6.500%, 03/15/35 780 771
MBNA
6.125%, 03/01/13 715 762
Massmutual Global Funding II (C)
2.550%, 07/15/08 2,570 2,453
- --------------------------------------------------------------------------------
70 SEI Institutional Investments Trust / Annual Report / May 31, 2005
<page>
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Merrill Lynch
7.430%, 09/01/22 $ 21 $ 22
Merrill Lynch MTN, Cl C
4.250%, 02/08/10 2,995 2,979
Merrill Lynch MTN, Ser B
3.375%, 09/14/07 1,650 1,635
Merrill Lynch MTN, Ser C (F)
3.808%, 03/12/07 2,420 2,411
Met Life Global Funding (C)
4.750%, 06/20/07 800 812
4.500%, 05/05/10 475 477
4.250%, 07/30/09 750 752
Monumental Global Funding (C)
5.200%, 01/30/07 750 765
Monumental Global Funding II (C) (K)
4.375%, 07/30/09 1,575 1,575
Morgan Stanley
6.750%, 04/15/11 (K) 1,150 1,285
5.300%, 03/01/13 5,728 5,912
4.000%, 01/15/10 1,050 1,028
Morgan Stanley EXL (F) (L)
3.089%, 05/04/06 6,882 6,882
Morgan Stanley EXL, Ser S (F) (L)
3.085%, 06/02/06 9,831 9,830
NB Capital Trust IV (C)
8.250%, 04/15/27 4,655 5,119
National Capital Trust II (C) (F)
5.486%, 12/29/49 3,207 3,317
National City Bank
3.375%, 10/15/07 1,450 1,435
3.300%, 05/15/07 700 692
NationsBank Capital Trust III (F)
3.691%, 01/15/27 5,080 4,780
Nationwide Building Society
4.250%, 02/01/10 (C) 10 10
3.500%, 07/31/07 (C) 2,700 2,670
3.090%, 01/06/06 (F) (J) (L) 19,662 19,662
3.083%, 10/28/05 (F) (J) (L) 9,831 9,831
Nationwide Mutual Insurance (C)
8.250%, 12/01/31 2,000 2,593
6.600%, 04/15/34 5,263 5,471
New York Life Global Funding (C)
3.875%, 01/15/09 2,550 2,535
North Front Pass-Through Trust (C)
5.810%, 12/15/24 3,900 4,113
Northern Rock (F) (J) (L)
3.099%, 02/03/06 20,252 20,252
Odyssey Re Holdings
6.875%, 05/01/15 2,900 2,964
PNC Funding
5.250%, 11/15/15 1,250 1,288
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Pacific Life Global
Funding (F) (J) (L)
3.080%, 06/13/06 $ 14,746 $ 14,746
Pemex Finance
9.690%, 08/15/09 2,125 2,390
Permanent Financing PLC, Ser 2A (F)
4.200%, 06/10/07 10,800 10,801
Platinum Underwriters Finance (C)
7.500%, 06/01/17 1,100 1,110
Power Receivables Financial
6.290%, 01/01/12 4,730 4,964
6.290%, 01/01/12 (C) (K) 507 527
Premium Asset Trust,
Ser 2004-01 (F) (J) (L)
3.100%, 02/06/06 14,550 14,560
Premium Asset Trust,
Ser 2004-10 (F) (J) (L)
3.100%, 04/14/06 27,526 27,526
Prime Property Funding (C)
5.600%, 06/15/11 3,380 3,522
Progress Capital Holdings MTN (C)
6.750%, 12/10/07 3,000 3,151
Protective Life MTN
3.700%, 11/24/08 1,015 1,009
RBS Capital Trust I (F)
4.709%, 12/29/49 1,090 1,067
Rabobank Capital Fund II (C)
5.260%, 12/29/49 210 215
Rabobank Capital Fund Trust III (C) (F)
5.254%, 10/21/16 440 447
Rouse
5.375%, 11/26/13 1,315 1,269
3.625%, 03/15/09 705 665
Royal Bank of Scotland Group
5.000%, 11/12/13 640 658
SLM EXL, Ser S (F) (J) (L)
3.090%, 05/15/06 21,628 21,628
SLM MTN
3.625%, 03/17/08 1,735 1,707
SLM MTN, Ser A
5.000%, 10/01/13 851 867
SLM MTN, Ser X (F) (J) (L)
3.090%, 06/20/06 39,323 39,323
SLM, Ser CPI (F)
4.130%, 04/01/09 4,050 4,007
Simon Property Group
5.625%, 08/15/14 420 435
Spieker Properties
7.650%, 12/15/10 1,910 2,211
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 71
<page>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
SunTrust Banks
4.000%, 10/15/08 $ 1,390 $ 1,383
3.625%, 10/15/07 320 316
TIAA Global Markets (C)
5.000%, 03/01/07 1,500 1,524
3.875%, 01/22/08 1,625 1,617
Toyota Motor Credit
2.875%, 08/01/08 1,970 1,911
UBS Preferred Funding Trust I
8.622%, 10/29/49 410 487
US Bancorp MTN, Ser N
3.950%, 08/23/07 250 250
3.125%, 03/15/08 1,520 1,480
US Bank
2.870%, 02/01/07 720 709
2.400%, 03/12/07 1,425 1,391
USAA Capital MTN, Ser B (C)
4.000%, 12/10/07 1,500 1,500
Wachovia Bank
6.300%, 04/15/28 (F) 1,520 1,615
4.875%, 02/01/15 (K) 1,985 2,014
Washington Mutual
4.000%, 01/15/09 2,623 2,590
Washington Mutual Bank
5.125%, 01/15/15 895 907
Wells Fargo
7.800%, 06/15/10 450 451
5.000%, 11/15/14 2,935 3,008
4.200%, 01/15/10 (K) 6,210 6,185
Westfield Capital (C)
4.375%, 11/15/10 3,900 3,890
White Pine Finance MTN,
Ser 1 (F) (J) (L)
3.071%, 11/01/05 8,651 8,650
Woodbourne Pass-Through Trust (C) (F)
4.190%, 04/08/49 2,500 2,494
World Savings Bank
4.125%, 03/10/08 1,325 1,324
XL Capital
6.375%, 11/15/24 705 758
Zions Bancorporation
6.000%, 09/15/15 1,420 1,538
Zurich Capital Trust I (C)
8.376%, 06/01/37 3,000 3,278
----------
1,012,572
----------
HEALTH CARE -- 0.4%
Boston Scientific
5.450%, 06/15/14 640 670
Bristol-Myers Squibb
6.875%, 08/01/97 425 517
5.750%, 10/01/11 550 587
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
HCA (K)
5.750%, 03/15/14 $ 6,320 $ 6,189
Merck
4.750%, 03/01/15 1,325 1,326
4.375%, 02/15/13 1,225 1,212
Nationwide Health Properties
6.000%, 05/20/15 610 604
Schering-Plough
6.750%, 12/01/33 650 773
Tenet Healthcare (K)
7.375%, 02/01/13 221 217
Wellpoint
6.375%, 06/15/06 1,100 1,124
5.950%, 12/15/34 955 1,020
Wyeth
5.500%, 02/01/14 610 640
----------
14,879
----------
INDUSTRIALS -- 2.5%
Air 2 US (C)
8.027%, 10/01/19 4,040 3,610
Albemarle
5.100%, 02/01/15 305 302
America West Airlines, Ser 99-1
7.930%, 01/02/19 5,549 6,047
American Airlines, Ser 01-2 (K)
7.858%, 10/01/11 2,000 2,071
American Airlines, Ser 99-1 (K)
7.024%, 10/15/09 2,320 2,392
Belvoir Land (C)
5.270%, 12/15/47 900 897
Boeing (K)
5.125%, 02/15/13 1,650 1,718
Burlington North Santa Fe
7.290%, 06/01/36 280 357
Canadian National Railways
7.375%, 10/15/31 1,370 1,774
6.900%, 07/15/28 625 755
6.250%, 08/01/34 250 284
Citicorp Lease (C)
7.220%, 06/15/05 3,656 3,661
Continental Airlines, Ser 00-1
8.048%, 11/01/20 927 919
Continental Airlines, Ser 00-2
7.707%, 04/02/21 1,987 1,959
7.487%, 10/02/10 1,270 1,273
Continental Airlines, Ser 02-1
6.563%, 02/15/12 1,400 1,485
Continental Airlines, Ser 971A
7.461%, 04/01/15 300 278
Continental Airlines, Ser 974A
6.900%, 01/02/18 5,515 5,513
- --------------------------------------------------------------------------------
72 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Continental Airlines, Ser 99-2
7.256%, 03/15/20 $ 915 $ 928
Continental Airlines, Ser AMBC
6.236%, 03/15/20 2,675 2,831
Delta Air Lines (F)
3.911%, 01/25/08 3,821 3,826
Delta Air Lines, Ser 01-1, Cl A-2 (K)
7.111%, 09/18/11 480 453
Delta Air Lines, Ser 02-1, Cl G-1
6.718%, 01/02/23 4,170 4,334
Delta Air Lines, Ser 02-1, Cl G-2
6.417%, 07/02/12 3,740 3,870
Delta Air Lines, Ser 00-1, Cl A2
7.570%, 11/18/10 1,720 1,623
Eastman Kodak (K)
7.250%, 11/15/13 2,445 2,542
Enterprise Products Operations
4.950%, 06/01/10 990 993
Enterprise Products Operations, Ser B
5.600%, 10/15/14 950 971
4.000%, 10/15/07 800 787
General Electric
5.000%, 02/01/13 1,920 1,974
Lennar (C)
5.600%, 05/31/15 560 573
Lockheed Martin
8.500%, 12/01/29 2,955 4,207
Newmont Mining
5.875%, 04/01/35 735 738
Norfolk Southern
7.050%, 05/01/37 1,450 1,777
Northrop Grumman
7.750%, 02/15/31 590 781
Northwest Airlines, Ser 01-1, Cl A-1 (K)
7.041%, 04/01/22 1,764 1,700
Ohana Military LLC, Ser 04I
6.193%, 04/01/49 750 866
Raytheon
6.000%, 12/15/10 18 19
5.500%, 11/15/12 40 42
5.375%, 04/01/13 (K) 405 420
4.500%, 11/15/07 208 209
Ryland Group
5.375%, 05/15/12 980 990
Southwest Airlines
5.125%, 03/01/17 500 490
Tyco International Group
7.000%, 06/15/28 1,775 2,121
6.875%, 01/15/29 (K) 5,420 6,439
6.375%, 10/15/11 (K) 7,470 8,196
6.000%, 11/15/13 1,945 2,104
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
US Airways, Cl B (H) (I)
7.500%, 04/15/08 $ 3,348 $ --
Union Pacific
6.250%, 05/01/34 700 776
United Technologies
6.500%, 06/01/09 1,670 1,810
5.400%, 05/01/35 (K) 1,115 1,147
4.875%, 05/01/15 655 666
4.375%, 05/01/10 (K) 2,000 2,011
Waste Management
7.375%, 05/15/29 895 1,068
7.125%, 12/15/17 4,840 5,639
7.100%, 08/01/26 1,375 1,608
----------
106,824
----------
INFORMATION TECHNOLOGY -- 0.1%
Electronic Data Systems (K)
7.125%, 10/15/09 2,990 3,218
----------
MATERIALS -- 0.1%
Codelco (C)
4.750%, 10/15/14 900 873
International Paper
6.750%, 09/01/11 420 461
5.500%, 01/15/14 1,975 2,028
Lubrizol (K)
5.500%, 10/01/14 615 631
Weyerhaeuser
7.375%, 03/15/32 310 362
6.750%, 03/15/12 1,830 2,011
----------
6,366
----------
SOVEREIGN -- 1.1%
Aid-Israel
5.500%, 09/18/23 5,950 6,570
Quebec Province
5.000%, 07/17/09 175 181
Russian Federation
5.000%, 03/31/30 11,200 12,242
United Mexican States
8.375%, 01/14/11 5,370 6,264
8.125%, 12/30/19 405 495
United Mexican States MTN
6.375%, 01/16/13 890 952
United Mexican States MTN, Ser A
8.000%, 09/24/22 (K) 2,290 2,782
7.500%, 04/08/33 13,799 15,828
6.750%, 09/27/34 580 613
----------
45,927
----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 73
<page>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 1.7%
AT&T
9.750%, 11/15/31 $ 1,080 $ 1,372
AT&T Wireless Services
8.125%, 05/01/12 1,255 1,501
7.350%, 03/01/06 2,000 2,051
America Movil
6.375%, 03/01/35 605 589
BellSouth
6.550%, 06/15/34 450 506
5.200%, 09/15/14 (K) 1,405 1,444
4.750%, 11/15/12 730 732
4.258%, 04/26/06 (C) 4,750 4,768
4.200%, 09/15/09 920 913
British Telecommunications PLC
8.875%, 12/15/30 920 1,281
8.375%, 12/15/10 1,310 1,548
Clear Channel Communications (K)
4.250%, 05/15/09 1,040 995
Deutsche Telekom International
8.750%, 06/15/30 500 679
5.250%, 07/22/13 2,135 2,204
France Telecom
8.750%, 03/01/31 (F) 625 869
8.000%, 03/01/11 1,280 1,489
7.950%, 03/01/06 (F) 1,675 1,719
General Electric Capital MTN, Ser A (K)
3.750%, 12/15/09 574 562
New England Telephone & Telegraph
7.875%, 11/15/29 1,175 1,440
New Jersey Bell Telephone
7.850%, 11/15/29 740 915
SBC Communications
6.450%, 06/15/34 (K) 1,535 1,700
5.100%, 09/15/14 (K) 1,850 1,878
4.389%, 06/01/21 4,170 4,170
4.389%, 06/01/21 (C) 4,450 4,450
4.125%, 09/15/09 410 406
Sprint Capital
8.750%, 03/15/32l (K) 2,030 2,791
8.375%, 03/15/12l (K) 1,900 2,279
7.125%, 01/30/06 2,300 2,346
6.875%, 11/15/28 335 380
6.000%, 01/15/07 2,035 2,092
4.780%, 08/17/06 9,025 9,098
Telecom Italia Capital
6.000%, 09/30/34 (C) (K) 1,375 1,395
5.250%, 11/15/13 2,770 2,805
4.950%, 09/30/14 (C) 1,645 1,624
Telefonica Europe
7.750%, 09/15/10 775 891
Verizon Global Funding
7.750%, 12/01/30 (K) 30 38
6.875%, 06/15/12 3,355 3,793
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Verizon Maryland
5.125%, 06/15/33 $ 315 $ 290
Verizon Maryland, Ser A
6.125%, 03/01/12 70 75
Verizon Pennsylvania, Ser A
5.650%, 11/15/11 45 47
Vodafone Group (K)
5.000%, 12/16/13 955 979
----------
71,104
----------
UTILITIES -- 1.9%
American Electric Power, Ser C
5.375%, 03/15/10 1,762 1,821
Arizona Public Services
8.000%, 12/30/15 890 987
Centerpoint Energy, Ser B
6.850%, 06/01/15 1,085 1,205
Cleveland Electric Illumination
5.650%, 12/15/13 330 346
Cogentrix Energy (C)
8.750%, 10/15/08 6,200 7,094
Conectiv MTN, Ser A
6.730%, 06/01/06 710 720
Dominion Resources
5.700%, 09/17/12 2,640 2,778
4.125%, 02/15/08 250 249
Dominion Resources, Cl A
7.195%, 09/15/14 830 966
Dominion Resources, Ser D
5.125%, 12/15/09 1,525 1,563
Duke Energy
6.250%, 01/15/12 1,565 1,706
5.625%, 11/30/12 (K) 1,405 1,487
Exelon
6.750%, 05/01/11 310 344
FPL Energy American Wind (C)
6.639%, 06/20/23 5,501 5,894
FirstEnergy, Ser A
5.500%, 11/15/06 2,050 2,087
FirstEnergy, Ser B
6.450%, 11/15/11 380 413
FirstEnergy, Ser C (K)
7.375%, 11/15/31 7,140 8,654
Hydro-Quebec, Ser JL
6.300%, 05/11/11 1,050 1,158
Oncor Electric Delivery
6.375%, 01/15/15 460 508
PSEG Power
8.625%, 04/15/31 470 649
Pacific Gas & Electric
6.050%, 03/01/34 (K) 5,345 5,876
3.820%, 04/03/06 (F) 168 168
- --------------------------------------------------------------------------------
74 SEI Institutional Investments Trust / Annual Report / May 31, 2005
<page>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Pinnacle West Energy (C)
3.630%, 04/01/07 $ 6,000 $ 5,999
Power Contract Financing (C)
5.200%, 02/01/06 2,539 2,560
Progress Energy
7.750%, 03/01/31 610 756
6.850%, 04/15/12 730 804
Public Service
7.875%, 10/01/12 1,030 1,241
SP Powerassets (C)
5.000%, 10/22/13 150 155
Scottish Power
4.910%, 03/15/10 1,300 1,314
Sempra Energy (F) (K)
3.754%, 05/21/08 4,185 4,185
Sonat
7.625%, 07/15/11 2,880 2,851
Southern California Edison (K)
6.000%, 01/15/34 975 1,086
TXU (C)
6.550%, 11/15/34 (K) 4,705 4,529
4.800%, 11/15/09 2,500 2,436
TXU Energy
7.000%, 03/15/13 460 508
3.920%, 01/17/06 (C) (F) 615 615
Valero Logistics
6.050%, 03/15/13 1,070 1,120
Virginia Electric & Power, Ser A
5.750%, 03/31/06 1,325 1,345
Williams
8.750%, 03/15/32 2,840 3,330
7.750%, 06/15/31 (K) 740 790
Williams, Ser A
7.500%, 01/15/31 310 325
----------
82,622
----------
Total Corporate Obligations
(Cost $1,473,888) ($ Thousands) 1,496,522
----------
U.S. TREASURY OBLIGATIONS -- 28.7%
U.S. Treasury Bonds
10.375%, 11/15/12 (K) 5,655 6,536
8.875%, 08/15/17 (K) 3,800 5,493
8.750%, 08/15/20 (K) 3,405 5,088
8.500%, 02/15/20 (K) 11,925 17,370
8.125%, 08/15/19 (K) 44,077 62,011
7.125%, 02/15/23 (K) 4,442 5,938
6.750%, 08/15/26 (K) 11,340 14,975
6.250%, 08/15/23 to 05/15/30 (K) 66,367 84,314
6.125%, 11/15/27 (K) 34,352 42,715
6.000%, 02/15/26 (K) 16,995 20,645
5.500%, 08/15/28 (K) 530 614
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
5.375%, 02/15/31 (K) $ 6,780 $ 7,852
3.875%, 04/15/29 (D) 3,315 4,667
3.625%, 04/15/28 (D) (K) 29,990 40,355
3.000%, 02/15/08 (K) 32,010 31,496
2.375%, 01/15/25 (D) (K) 24,370 26,748
U.S. Treasury Notes
6.500%, 10/15/06 330 343
4.250%, 01/15/10 (D) (K) 2,607 2,958
4.250%, 08/15/13 to 11/15/14 (K) 7,473 7,619
4.125%, 05/15/15 (K) 24,402 24,638
4.000%, 06/15/09 to 02/15/15 (K) 89,355 89,687
3.875%, 05/15/10 (K) 7,707 7,749
3.750%, 03/31/07 to 05/15/08 10,611 10,640
3.625%, 04/30/07 76,990 77,026
3.625%, 01/15/10 (K) 14,110 14,042
3.500%, 05/31/07 42,333 42,254
3.500%, 08/15/09 to 02/15/10 (K) 117,460 116,295
3.375%, 01/15/07 to 01/15/12 (D) 1,970 2,072
3.375%, 02/28/07 to 10/15/09 (K) 134,060 132,832
3.125%, 01/31/07 to 10/15/08 (K) 92,420 91,735
3.000%, 12/31/06 (K) 139,337 138,134
2.500%, 10/31/06 7,790 7,680
2.000%, 07/15/14 (D) (K) 24,517 25,372
1.875%, 07/15/13 (D) (K) 4,819 4,946
1.625%, 01/15/15 (D) (K) 13,299 13,309
0.875%, 04/15/10 (D) (K) 20,524 20,127
U.S. Treasury STRIPS (A) (K)
5.970%, 11/15/21 23,570 11,351
5.830%, 02/15/23 10,290 4,655
----------
Total U.S. Treasury Obligations
(Cost $1,191,549) ($ Thousands) 1,222,281
----------
ASSET-BACKED SECURITIES -- 25.1%
AUTOMOTIVE -- 2.8%
AESOP Funding, Ser 2003-4A,
Cl A1 (C) (F)
3.320%, 08/20/07 12,000 12,025
Capital Auto Receivables Asset Trust,
Ser 2002-2, Cl A4
4.500%, 10/15/07 5,479 5,484
Capital Auto Receivables Asset Trust,
Ser 2002-3, Cl A3
3.580%, 10/16/06 5,549 5,550
Capital Auto Receivables Asset Trust,
Ser 2004-1, Cl A3
2.000%, 11/15/07 1,588 1,565
Capital Auto Receivables Asset Trust,
Ser 2004-2, Cl A2
3.350%, 02/15/08 781 774
Capital Auto Receivables Asset Trust,
Ser 2005-SN1A, Cl A1 (F) (J) (L)
3.327%, 05/15/06 47,564 47,564
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 75
<page>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
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)
3.340%, 08/07/08 8,109 8,112
DaimlerChrysler Auto Trust,
Ser 2004-B, Cl A3
3.180%, 09/08/08 2,041 2,025
DaimlerChrysler Auto Trust,
Ser 2005-B, Cl A2
3.750%, 12/08/07 1,498 1,498
Drivetime Auto Owner Trust,
Ser 2005-A, Cl A1 (F) (J) (L)
3.110%, 03/15/06 4,686 4,686
Ford Credit Auto Owner Trust,
Ser 2002-D, Cl A4B (F)
3.210%, 11/15/06 10,039 10,043
Ford Credit Auto Owner Trust,
Ser 2005-A, Cl A2
3.080%, 07/15/07 170 170
Ford Credit Auto Owner Trust,
Ser 2005-A, Cl A3
3.480%, 11/15/08 10,666 10,600
Ford Credit Auto Owner Trust,
Ser 2005-B, Cl A3
4.170%, 01/15/09 1,657 1,662
Honda Auto Receivables Trust,
Ser 2003-5, Cl A3
2.300%, 10/18/07 1,580 1,564
Nissan Auto Receivables Owner Trust,
Ser 2005-B, Cl A2
3.750%, 09/17/07 852 852
USAA Auto Owner Trust,
Ser 2004-3, Cl A3
3.160%, 02/17/09 1,145 1,133
----------
119,048
----------
CREDIT CARDS -- 2.5%
American Express Credit Account
Master, Ser 2004-3, Cl A
4.350%, 12/15/11 1,339 1,352
Capital One Master Trust,
Ser 2001-3A, Cl A
5.450%, 03/16/09 4,416 4,486
Capital One Multi-Asset Execution
Trust, Ser 2005, Cl A2
4.050%, 02/15/11 1,904 1,901
Chase Credit Card Master Trust,
Ser 2001-1, Cl A (F)
3.230%, 06/16/08 10,550 10,561
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Chase Issuance Trust,
Ser 2004-A9, Cl A9
3.220%, 06/15/10 $ 7,925 $ 7,798
Chase Issuance Trust,
Ser 2005-A4, Cl A4
4.230%, 01/15/13 1,215 1,215
Citibank Credit Card Issuance Trust,
Ser 2000-A1, Cl A1
6.900%, 10/15/07 7,445 7,535
Citibank Credit Card Issuance Trust,
Ser 2002-A5, Cl A5 (F)
3.050%, 09/17/07 21,915 21,915
Citibank Credit Card Issuance Trust,
Ser 2003-A6, Cl A6
2.900%, 05/17/10 6,251 6,058
Citibank Credit Card Issuance Trust,
Ser 2004-A1, Cl A1
2.550%, 01/20/09 9,724 9,520
Citibank Credit Card Issuance Trust,
Ser 2004-A4, Cl A4
3.200%, 08/24/09 9,950 9,792
Citibank OMNI Master Trust,
Ser 2002-4, Cl A (F)
3.220%, 08/18/09 8,639 8,642
Discover Card Master Trust,
Ser 2004-2, Cl A1 (F)
3.110%, 05/15/10 969 968
MBNA Credit Card Master Note Trust,
Ser 2003-A6, Cl A6
2.750%, 10/15/10 5,750 5,553
MBNA Credit Card Master Note Trust,
Ser 2004-A4, Cl A4
2.700%, 09/15/09 7,075 6,923
MBNA Credit Card Master Note Trust,
Ser 2005-A1, Cl A1
4.200%, 09/15/10 1,609 1,619
Metris Master Trust, Ser 2000-3,
Cl A (F)
3.350%, 09/21/09 2,455 2,457
----------
108,295
----------
MORTGAGE RELATED SECURITIES -- 19.1%
ABS Home Equity Loan Trust,
Ser 2001-HE3, Cl A1 (F)
3.360%, 11/15/31 1,055 1,056
AFC Home Equity Loan Trust,
Ser 2000-1, Cl 2A (F)
3.330%, 03/25/30 7,003 7,013
ARSI, Ser 2004-W5, Cl AF1 (F)
3.200%, 04/25/34 506 506
- --------------------------------------------------------------------------------
76 SEI Institutional Investments Trust / Annual Report / May 31, 2005
<page>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Aire Valley Mortgages, Ser 2004-1A,
Cl 1A (F) (J) (L)
3.090%, 09/20/05 $ 12,583 $ 12,583
Ameriquest Mortgage Securities,
Ser 2004-R12, Cl A3 (F)
3.370%, 01/25/35 1,188 1,192
Amortizing Residential Collateral Trust
CMO, Ser 2002-BC1, Cl A (F)
3.430%, 01/25/32 1,620 1,622
Asset Backed Funding Certificates,
Ser 2005-WF1, Cl A2B (F)
3.270%, 01/25/35 1,291 1,291
Asset Securitization, Ser 1996-D2,
Cl A1
6.920%, 02/14/29 6,218 6,307
Atlantic City Electric Transition Funding,
Ser 2003-1 Cl A1
2.890%, 07/20/11 358 349
Banc of America Commercial Mortgage,
Ser 2004-5, Cl A3
4.561%, 11/10/41 5,370 5,390
Banc of America Commercial Mortgage,
Ser 2004-6, Cl A3
4.512%, 12/10/42 5,620 5,619
Banc of America Commercial Mortgage,
Ser 2005-1, Cl A5 (F)
4.976%, 11/10/42 1,412 1,470
Banc of America Funding, Ser 2005-B,
Cl 2A1 (F)
5.145%, 04/20/35 9,375 9,468
Bank of America Commercial Mortgage,
Ser 2004-1 Cl A4
4.760%, 11/10/39 949 955
Bank of America Mortgage Securities,
Ser 2003-1, Cl 2A4
5.000%, 02/25/18 6,419 6,453
Bank of America Mortgage Securities,
Ser 2004-5, Cl 4A1
5.000%, 06/25/19 2,757 2,797
Bank of America Mortgage Securities,
Ser 2004-6, Cl 4A1
5.000%, 07/25/19 3,026 3,057
Bayview Financial Acquisition Trust,
Ser 2005-B, Cl 1A1 (F)
4.443%, 04/28/39 10,030 10,030
Bear Stearns Asset-Backed Securities,
Ser 2001-A, Cl AI4
6.820%, 02/15/31 2,271 2,292
Bear Stearns Commercial Mortgage
Securities, Ser 2004-WPR6,
Cl A6 (K)
4.825%, 11/11/41 5,995 6,080
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Blue Heron Funding, Ser 6A,
Cl A1 (F) (J) (L)
3.129%, 06/21/05 $ 3,932 $ 3,932
Blue Heron Funding, Ser 9A,
Cl A1 (F) (J) (L)
3.120%, 02/22/06 19,662 19,662
CCN Independence IV (F) (J) (L)
3.160%, 10/17/05 10,814 10,814
3.160%, 01/17/06 6,882 6,882
CDC Mortgage Capital Trust,
Ser 2003-HE2, Cl A (F)
3.440%, 10/25/33 2,416 2,418
CIGNA CBO, Ser 1996-1, Cl A2 (C)
6.460%, 11/15/08 6,493 6,574
CSFB, Ser 1997-C2, Cl AX, IO (F)
1.129%, 01/17/35 22,024 537
CSFB, Ser 1998-C2, Cl A2
6.300%, 11/11/30 9,210 9,796
CSFB, Ser 2001-MH29, Cl A
5.600%, 09/25/31 1,597 1,584
Carrington Mortgage Loan Trust,
Ser 2005-OPT2, Cl A1B (F)
3.240%, 05/25/35 1,216 1,216
Chase Commercial Mortgage Securities,
Ser 2000-1, Cl A2
7.757%, 04/15/32 2,390 2,649
Chase Commercial Mortgage Securities,
Ser 2000-2, Cl A2
7.631%, 07/15/32 314 360
Chase Funding Mortgage Loan,
Ser 2002-1, Cl 2A2 (F)
3.340%, 03/25/32 2,522 2,531
Cheyne High Grade, Ser 2004-1A,
Cl A1 (F) (J) (L)
3.250%, 11/10/05 11,305 11,305
Citigroup Commercial Mortgage Trust,
Ser 2004-C1, Cl A3 (F)
5.251%, 04/15/40 1,353 1,406
Citigroup Home Equity Loan Trust,
Ser 2002-1, Cl AF4
5.970%, 03/25/29 1,233 1,246
Commercial Mortgage Pass-Through
Certificate, Ser 1999-1, Cl E (F)
7.094%, 05/15/32 784 850
Commercial Mortgage Pass-Through
Certificate, Ser 2000-C1, Cl A2
7.416%, 08/15/33 4,753 5,312
Commercial Mortgage Pass-Through
Certificate, Ser 2005-LP5, Cl ASB
4.867%, 05/10/43 960 976
Commodore, Ser 2003-2A,
Cl A1MM (F) (J) (L)
3.100%, 12/12/38 9,044 9,044
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SEI Institutional Investments Trust / Annual Report / May 31, 2005 77
<page>
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SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Conseco Finance Home Loan Trust,
Ser 2000-E, Cl M1
8.130%, 08/15/31 $ 5,600 $ 5,609
Conseco Finance Securitization,
Ser 2000-4, Cl A5
7.970%, 05/01/32 2,800 2,311
Conseco Finance Securitization,
Ser 2000-4, Cl A6
8.310%, 05/01/32 950 804
Conseco Finance, Ser 2001-A, Cl IIB1
10.300%, 03/15/32 2,800 2,962
Contimortgage Home Equity Loan Trust,
Ser 1997-3, Cl A9
7.120%, 08/15/28 137 138
Contimortgage Home Equity Loan Trust,
Ser 1997-5, Cl A6
6.870%, 03/15/24 592 595
Contimortgage Home Equity Loan,
Ser 1997-2, Cl A9
7.090%, 04/15/28 238 240
Countrywide Alternative Loan Trust,
Ser 2004-27CB, Cl A1
6.000%, 12/25/34 6,572 6,775
Countrywide Alternative Loan Trust,
Ser 2004-J1, Cl 1A1
6.000%, 02/25/34 1,801 1,826
Countrywide Alternative Loan Trust,
Ser 2004-J6, Cl 2A1
6.500%, 11/25/31 7,540 7,736
Countrywide Alternative Loan Trust,
Ser 2005-J4, Cl 2A1B (F)
3.210%, 05/25/34 2,141 2,141
Countrywide Asset-Backed Certificates,
Ser 2001-BC3, Cl A (F)
3.330%, 12/25/31 232 232
Countrywide Asset-Backed Certificates,
Ser 2003-C2, Cl 2A1 (F)
3.390%, 06/25/33 4,997 5,007
Countrywide Asset-Backed Certificates,
Ser 2004-13, Cl AV4 (F)
3.380%, 06/25/35 7,639 7,646
Countrywide Asset-Backed Certificates,
Ser 2004-15, Cl AF1 (F)
3.290%, 04/25/22 9,623 9,624
Countrywide Asset-Backed Certificates,
Ser 2004-3N, Cl NOTE (C) (F)
3.290%, 05/25/09 4,054 4,053
Countrywide Home Equity Loan Trust,
Ser 2001-A, Cl A (F)
3.330%, 04/15/27 3,134 3,137
Countrywide Home Equity Loan Trust,
Ser 2004-K, Cl A2 (F)
3.390%, 02/15/34 7,870 7,886
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Criimi Mae Commercial Mortgage,
Ser 1998-C1, Cl A2 (C)
7.000%, 06/02/33 $ 4,200 $ 4,412
DLJ Commercial Mortgage,
Ser 1999-CG1, Cl A1B
6.460%, 03/10/32 3,175 3,399
DLJ Commercial Mortgage,
Ser 1999-CG2, Cl A1B
7.300%, 06/10/32 3,600 3,984
DSLA Mortgage Loan Trust,
Ser 2004-AR1, Cl A2A (F)
3.500%, 09/19/44 11,035 11,046
DSLA Mortgage Loan Trust,
Ser 2004-AR2, Cl A2B (F)
3.490%, 11/19/44 14,197 14,195
Delta Funding Home Equity Loan,
Ser 1999-3, Cl A1A (F)
3.500%, 09/15/29 969 970
Detroit Edison Securitization,
Ser 2001-1, Cl A4
6.190%, 03/01/13 824 893
Deutsche Mortgage & Asset
Receiving, 1998-C1, CL A2
6.538%, 06/15/31 8,362 8,777
Duke Funding, Ser 2004-6B,
Cl A1S1 (F) (J) (L)
2.680%, 04/10/06 14,746 14,746
EMC Mortgage Loan Trust,
Ser 2002-AA, Cl A1 (C) (F)
3.560%, 05/25/39 2,668 2,684
EQCC Trust, Ser 2002-1, Cl 2A (F)
3.390%, 11/25/31 1,118 1,120
Equity One, Ser 2002-2, Cl AF3
5.773%, 10/25/32 3,629 3,667
Equivantage Home Equity Loan Trust,
Ser 1997-2, Cl A3 (F)
7.775%, 07/25/28 769 767
First Horizon, Ser 2004-HE2, Cl A (F)
3.310%, 02/25/34 6,881 6,886
First Union National Bank,
Ser 2000-C2, Cl A2
7.202%, 10/15/32 2,912 3,283
First Union-Lehman Brothers,
Ser 1997-C2, Cl X, IO (F)
1.419%, 11/18/29 1,247 56
Fleet Home Equity Trust,
Ser 2001-1, Cl A (F)
3.300%, 05/20/31 412 412
GE Capital Mortgage Services,
Ser 1997-HE3, Cl A6
6.720%, 10/25/27 1,087 1,084
GE Capital Mortgage, Ser 2003-C2,
Cl A4
5.145%, 07/10/37 477 496
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78 SEI Institutional Investments Trust / Annual Report / May 31, 2005
<page>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GMAC Commercial Mortgage
Securities, Ser 1999-C2, Cl A2
6.945%, 09/15/33 $ 4,100 $ 4,466
GMAC Commercial Mortgage
Securities, Ser 1999-C3, Cl A2
7.179%, 08/15/36 4,918 5,384
GMAC Commercial Mortgage
Securities, Ser 2000-C2, Cl A2
7.455%, 08/16/33 5,180 5,842
GMAC Commercial Mortgage
Securities, Ser 2002-C2, Cl A3
5.713%, 10/15/38 615 658
GMAC Commercial Mortgage
Securities, Ser 2003-FL1A,
Cl A (C) (F)
3.450%, 03/11/15 284 284
GMAC Commercial Mortgage
Securities, Ser 2004-C1, Cl A1
3.118%, 03/10/38 968 950
GMAC Commercial Mortgage
Securities, Ser 2004-C2, Cl A1
3.896%, 08/10/38 407 405
GMAC Mortgage Loan Trust,
Ser 2004-HE5, Cl A1 (F)
3.230%, 09/25/34 6,601 6,601
GS Mortgage Securities, Ser 1998-GLII,
Cl A2
6.562%, 04/13/31 1,220 1,292
GSAMP Trust, Ser 2003-SEA, Cl A1 (F)
3.490%, 02/25/33 5,477 5,508
Green Tree Financial, Ser 1996-5, Cl A6
7.750%, 07/15/27 1,480 1,607
Green Tree Financial, Ser 1998-6, Cl A6
6.270%, 06/01/30 921 934
Greenwich Capital Commercial Funding,
Ser 2004-GG1, Cl A3
4.344%, 06/10/36 484 485
Harborview Mortgage Loan Trust,
Ser 2004-8, Cl 2A4A (F)
3.490%, 11/19/34 10,706 10,724
Harborview Mortgage Loan Trust,
Ser 2005-1, Cl X, IO (F)
1.243%, 03/19/35 44,451 1,542
Harwood Street Funding I, Ser 2004-1A,
Cl NOTE (F) (J) (L)
3.140%, 09/20/05 27,920 27,920
Harwood Street Funding II, Ser 2005-1A,
Cl NOTE (F) (J) (L)
3.141%, 06/25/06 19,662 19,662
Heller Financial Commercial Mortgage,
Ser 1999-PH1, Cl C (F)
6.897%, 05/15/31 239 261
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
IMPAC CMB Trust, CMO, Ser 2002-2,
Cl A1 (F)
3.370%, 08/25/32 $ 2,107 $ 2,108
IMPAC CMB Trust, Ser 2003-12,
Cl A1 (F)
3.470%, 12/25/33 6,101 6,109
IMPAC CMB Trust, Ser 2005-1,
Cl 1A1 (F)
3.350%, 04/25/35 1,416 1,418
Indymac Index Mortgage Loan Trust,
Ser 2004-AR12, Cl AX2, IO (F)
0.810%, 12/25/34 32,774 1,188
JP Morgan Chase Commercial Mortgage,
Ser 1997-C5, Cl X, IO (F)
1.442%, 09/15/29 4,710 175
JP Morgan Chase Commercial Mortgage,
Ser 2001-CIBC, Cl A3
6.260%, 03/15/33 5,735 6,247
JP Morgan Chase Commercial Mortgage,
Ser 2004-C3, Cl A2
4.223%, 01/15/42 12,948 12,915
JP Morgan Chase Commercial Mortgage,
Ser 2004-CB9, Cl A4 (F)
5.381%, 06/12/41 2,018 2,139
JP Morgan Mortgage Trust,
Ser 2004-A5, Cl 4A2
4.850%, 12/25/34 12,363 12,407
JP Morgan Mortgage Trust,
Ser 2004-A5, Cl 4A4 (F)
4.902%, 12/25/34 11,500 11,516
LB Commercial Conduit Mortgage,
Ser 1998-C4, Cl A1B
6.210%, 10/15/35 4,800 5,085
LB Commercial Conduit Mortgage,
Ser 1999-C2, Cl A1
7.105%, 10/15/32 515 533
LB Commercial Conduit Mortgage,
Ser 2000-C4, Cl A2
7.370%, 08/15/26 7,907 8,926
LB-UBS Commercial Mortgage Trust,
Ser 1999-C2, Cl B
7.425%, 10/15/32 361 404
LB-UBS Commercial Mortgage Trust,
Ser 2003-C5, Cl A4
4.685%, 07/15/32 1,009 1,015
LB-UBS Commercial Mortgage Trust,
Ser 2003-C7, Cl A4
4.931%, 09/15/35 1,785 1,826
LB-UBS Commercial Mortgage Trust,
Ser 2005-C2, Cl AAB (F)
5.007%, 04/15/30 1,200 1,235
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SEI Institutional Investments Trust / Annual Report / May 31, 2005 79
<page>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MLCC Mortgage Investors, Ser 2004-B,
Cl A3 (F)
4.642%, 05/25/29 $ 4,673 $ 4,922
Master Adjustable Rate Mortgages
Trust, Ser 2004-1, Cl 2A1 (F)
3.494%, 01/25/34 5,829 5,814
Master Adjustable Rate Mortgages
Trust, Ser 2004-13, Cl 3A7A (F)
3.787%, 11/21/34 11,650 11,378
Master Alternative Loans Trust,
Ser 2004-4, Cl 1A1
5.500%, 05/25/34 4,310 4,287
Master Reperforming Loan Trust,
Ser 2005-1, Cl 1A1 (C)
6.000%, 08/25/34 7,827 8,035
Mellon Residential Funding,
Ser 2001-HEIL, Cl A4
6.615%, 02/25/21 3,280 3,314
Merrill Lynch Mortgage Investors,
Ser 1996-C2, Cl A3
6.960%, 11/21/28 3,027 3,111
Merrill Lynch Mortgage Investors,
Ser 1998-C1, Cl A1
6.310%, 11/15/26 433 438
Merrill Lynch Mortgage Investors,
Ser 2003-WMC1, Cl A2 (F)
3.450%, 11/25/33 40 40
Merrill Lynch Mortgage Investors,
Ser 2004-A1, Cl 4A
5.365%, 02/25/34 12,073 12,172
Merrill Lynch Mortgage Trust,
Ser 2003-KEY1, Cl A3
4.893%, 11/12/35 480 490
Merrill Lynch Mortgage Trust,
Ser 2005-GGP1, Cl A
4.099%, 11/15/10 2,225 2,228
Metropolitan Asset Funding,
Ser 1997-B, Cl A1D (C)
7.130%, 03/20/12 806 805
Mid-State Trust, Ser 11, Cl A1
4.864%, 07/15/38 4,284 4,222
Money Store SBA Loan Trust,
Ser 1999-1, Cl A (F)
2.932%, 07/15/25 378 375
Morgan Stanley Capital I,
Ser 2004-HQ4, Cl A2
3.920%, 04/14/40 1,380 1,370
Morgan Stanley Dean Witter Capital,
Ser 2000-LIFE, Cl A2
7.570%, 11/15/36 3,500 3,928
Morgan Stanley, Ser 2003-NC8,
Cl A2 (F)
3.450%, 09/25/33 3,986 4,004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Nationslink Funding,
Ser 1999-1, Cl 2
6.316%, 01/20/31 $ 6,553 $ 6,923
Nomura Asset Securities,
Ser 1996-MD5, Cl A1B
7.120%, 04/13/39 3,000 3,076
Novastar Home Equity Loan,
Ser 1998-2, Cl A2 (F)
3.420%, 08/25/28 496 496
Novastar Home Equity Loan,
Ser 2005-2, Cl A2B (F)
3.240%, 06/27/35 1,218 1,218
Oakwood Mortgage Investors,
Ser 2002-C, Cl A, IO (H)
6.000%, 08/15/10 9,031 1,662
Oncor Electric Delivery
Transition Bond,
Ser 2003-1, Cl A2
4.030%, 02/15/12 3,130 3,120
Option One Mortgage Loan Trust,
Ser 2001-4, Cl A (F)
3.390%, 01/25/32 1,587 1,587
Orchid Structured Finance,
Ser 2003-1A, Cl A1MM (F) (J) (L)
3.370%, 11/18/05 19,217 19,217
Origen Manufactured Housing,
Ser 2002-A, Cl A1 (F)
3.330%, 05/15/32 120 120
PNC Mortgage Acceptance,
Ser 2000-C2, Cl A2
7.300%, 10/12/33 2,016 2,258
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AMM2 (F) (J) (L)
3.140%, 11/25/05 31,620 31,620
RMAC, Ser 2004-NS2A,
Cl A1 (F) (J) (L)
3.080%, 06/13/05 3,503 3,503
RMAC, Ser 2004-NS3A,
Cl A1 (F) (J) (L)
3.090%, 06/12/05 8,261 8,261
Renaissance Home Equity Loan Trust,
Ser 2004-3, Cl AF-2
3.574%, 11/25/34 7,000 6,925
Residential Asset Mortgage Products,
Ser 2003-RS3, Cl AII (F)
3.450%, 04/25/33 781 784
Residential Asset Mortgage Products,
Ser 2003-RZ4, Cl A1 (F)
3.240%, 06/25/24 361 361
Residential Asset Mortgage Products,
Ser 2004-SL1, Cl A8
6.500%, 11/25/31 4,718 4,870
Residential Asset Mortgage Products,
Ser 2004-SL3, Cl A2
6.500%, 12/25/31 7,066 7,267
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80 SEI Institutional Investments Trust / Annual Report / May 31, 2005
<page>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Residential Asset Securities,
Ser 2002-KS7, Cl A2 (F)
3.460%, 11/25/32 $ 4,777 $ 4,792
Residential Asset Securitization Trust,
Ser 2004-IP2, Cl 2A1 (F)
5.257%, 12/25/34 9,207 9,316
Residential Funding Mortgage Securities,
Ser 2000-HI1, Cl AI7
8.290%, 02/25/25 5,669 5,741
SASC, Ser 2003-AL2, Cl A (C)
3.357%, 01/25/31 3,595 3,410
Salomon Brothers Mortgage Securities
VII, Ser 2002-KEY2, Cl A3
4.865%, 03/18/36 597 607
Salomon Brothers Mortgage Securities,
Ser 2000-C3, Cl A2
6.592%, 12/18/33 4,190 4,578
Saturn Ventures II (F) (J) (L)
3.150%, 08/08/05 21,825 21,825
Start, Ser 2003-1, Cl X
1.620%, 01/21/10 5,961 5,943
Start, Ser 2003-2, Cl X (F)
2.480%, 01/21/09 6,950 6,909
Structured Asset Investment Loan Trust,
Ser 2005-1, Cl A4 (C) (F)
3.320%, 02/25/35 2,247 2,250
TIAA Real Estate, Ser 2003 1A,
Cl A1 (F) (J) (L)
3.131%, 03/28/06 12,696 12,696
Terwin Mortgage Trust, Ser 2004-9HE,
Cl A2 (C) (F)
3.250%, 09/25/34 5,926 5,925
Wachovia Bank Commercial Mortgage
Trust, Ser 2003-C6, Cl A4
5.125%, 08/15/35 1,728 1,784
Wachovia Bank Commercial Mortgage
Trust, Ser 2004-C12, Cl A2
5.001%, 07/15/41 1,890 1,942
Wachovia Bank Commercial Mortgage
Trust, Ser 2005-C16, Cl APB
4.692%, 10/15/41 1,658 1,674
Wachovia Bank Commercial Mortgage
Trust, Ser 2005-C17, Cl A4
5.083%, 03/15/42 2,788 2,881
Wachovia Bank Commercial Mortgage
Trust, Ser 2005-C18, Cl APB
4.807%, 04/15/42 1,226 1,246
Washington Mutual Mortgage,
Ser 2003-MS1, Cl 1A
5.000%, 02/25/18 2,248 2,256
Washington Mutual Mortgage,
Ser 2003-MS2, Cl 3A1
5.000%, 03/25/18 7,515 7,548
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Washington Mutual, Ser 2002-AR18,
Cl A (F)
4.140%, 01/25/33 $ 4,261 $ 4,263
Washington Mutual, Ser 2004-AR10,
Cl A2A (F)
3.313%, 07/25/44 9,431 9,413
Wells Fargo, Ser 2003-3, Cl 1A21
5.250%, 04/25/33 2,705 2,717
Wells Fargo, Ser 2004-H, Cl A-1 (F)
4.532%, 06/25/34 8,132 8,077
Whitehawk CDO Funding, Ser 2004-1A,
Cl AMMB (F) (J) (L)
3.040%, 06/15/05 4,915 4,915
Whitehawk CDO Funding, Ser 2004-1A,
Cl AMMC (F) (J) (L)
3.030%, 09/15/05 3,539 3,539
----------
816,442
----------
OTHER ASSET-BACKED SECURITIES -- 0.7%
Embarcadero Aircraft, Ser 2000-A,
Cl A1 (C) (F)
3.570%, 08/15/25 4,800 2,824
MSDWCC Heloc Trust, Ser 2005-1,
Cl A (F)
3.280%, 07/25/17 2,157 2,157
Massachusetts RRB Special Purpose
Trust, Ser 2005-1, Cl A2
3.780%, 09/15/10 1,340 1,334
Peco Energy Transition Trust,
Ser 1999-A, Cl A6
6.050%, 03/01/09 1,034 1,059
SLM Student Loan Trust, Ser 2003-4,
Cl A2 (F)
3.050%, 12/17/12 7,182 7,182
SLM Student Loan Trust, Ser 2003-4,
Cl A5B (C)
3.390%, 03/15/33 1,175 1,140
SLM Student Loan Trust, Ser 2004-1,
Cl A2 (F)
3.301%, 07/25/18 1,529 1,535
SLM Student Loan Trust, Ser 2004-9,
Cl A1 (F)
3.151%, 10/26/09 5,394 5,392
Stingray Pass-Through Trust (C)
5.902%, 01/12/15 4,300 4,367
Structured Asset Investment Loan
Trust, Ser 2005-5, Cl A2 (F)
3.180%, 06/25/35 1,216 1,216
----------
28,206
----------
Total Asset-Backed Securities
(Cost $1,077,484) ($ Thousands) 1,071,991
----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 81
<page>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 21.5%
FHLMC
9.750%, 10/01/14 $ 22 $ 22
8.500%, 09/01/08 to 04/01/09 158 164
7.500%, 11/01/17 to 06/01/32 1,897 2,035
7.000%, 11/01/15 to 06/01/32 2,288 2,417
6.500%, 10/01/16 to 05/01/18 6,494 6,768
6.000%, 03/01/11 to 06/13/35 12,349 12,799
5.500%, 09/01/13 to 04/01/34 56,261 57,591
5.000%, 06/01/11 to 06/13/35 36,322 36,621
4.500%, 04/01/19 to 05/01/20 15,292 15,237
4.000%, 05/01/19 to 10/01/33 2,651 2,511
FHLMC TBA
5.500%, 06/16/20 to 06/01/25 6,116 6,267
5.000%, 06/15/18 35,900 36,304
FNMA
8.000%, 04/01/08 to 07/01/31 1,596 1,709
7.500%, 06/01/27 to 04/01/31 26 28
7.000%, 03/01/09 to 07/01/32 9,155 9,643
6.500%, 12/01/12 to 04/01/34 16,614 17,297
6.000%, 11/01/12 to 09/01/34 17,970 18,513
5.500%, 05/01/13 to 08/01/34 92,196 93,755
5.000%, 08/01/11 to 03/01/34 40,643 40,886
4.890%, 04/01/12 3,218 3,296
4.518%, 04/01/09 1,941 1,964
4.500%, 11/25/14 to 09/01/33 16,816 16,775
4.000%, 08/01/10 to 10/01/18 2,364 2,335
3.500%, 10/25/31 5,815 5,543
FNMA TBA
6.500%, 06/01/32 to 07/14/35 86,852 90,208
6.000%, 06/16/20 to 06/13/35 49,200 50,541
5.500%, 06/01/18 to 06/13/35 59,996 61,024
5.000%, 07/01/18 to 06/25/35 57,284 57,386
4.000%, 06/16/20 600 586
GNMA
9.500%, 12/15/20 33 37
7.000%, 04/15/26 to 09/15/34 15,545 16,481
6.500%, 06/15/11 to 11/15/31 1,794 1,885
6.000%, 03/15/14 to 02/15/35 120,185 124,292
5.500%, 04/15/14 to 12/15/32 2,057 2,125
5.000%, 05/15/33 to 02/15/35 35,836 36,147
GNMA TBA
6.500%, 06/19/33 28,800 30,159
6.000%, 06/01/33 to 06/20/35 32,000 33,040
5.500%, 06/20/35 4,600 4,696
5.000%, 06/01/33 20,000 20,138
----------
Total U.S. Government Mortgage-Backed Obligations
(Cost $915,393) ($ Thousands) 919,225
----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 10.9%
FHLB
3.625%, 11/14/08 $ 100 $ 99
2.967%, 06/17/05 (E) (K) 13,150 13,134
2.967%, 06/22/05 (E) 10,480 10,467
2.950%, 06/01/05 (E) 15,400 15,400
FHLMC
6.625%, 09/15/09 (K) 18,219 20,109
5.000%, 07/15/14 (K) 6,609 6,957
4.625%, 05/28/13 (K) 2,450 2,419
4.500%, 12/16/10 (K) 5,075 5,068
3.567%, 02/01/37 (F) 6,844 6,828
3.034%, 07/26/05 (E) 3,000 2,986
2.970%, 06/29/05 (E) (K) 4,765 4,754
FHLMC CMO, Ser 1, Cl Z
9.300%, 04/15/19 64 63
FHLMC CMO, Ser 1081, Cl K
7.000%, 05/15/21 1,156 1,158
FHLMC CMO, Ser 1101, Cl M
6.950%, 07/15/21 670 671
FHLMC CMO, Ser 1611, Cl Z
6.500%, 11/15/23 8,753 9,294
FHLMC CMO, Ser 1983, Cl Z
6.500%, 12/15/23 1,661 1,723
FHLMC CMO, Ser 2043, Cl CJ
6.500%, 04/15/28 4,933 5,158
FHLMC CMO, Ser 2389, Cl CD
6.000%, 03/15/16 6,277 6,420
FHLMC CMO, Ser 2480, Cl QJ
6.000%, 02/15/30 639 640
FHLMC CMO, Ser 2542, Cl ES
5.000%, 12/15/17 3,680 3,763
FHLMC CMO, Ser 2544, Cl IW, IO
5.500%, 03/15/26 4,400 308
FHLMC CMO, Ser 2579, Cl PI, IO
5.500%, 03/15/27 3,162 234
FHLMC CMO, Ser 2588, Cl IG, IO
5.500%, 03/15/32 7,425 947
FHLMC CMO, Ser 2621, Cl LJ, IO
5.500%, 12/15/26 2,975 320
FHLMC CMO, Ser 2625, Cl Z, IO
5.000%, 12/15/31 3,152 400
FHLMC CMO, Ser 2631, Cl IJ, IO
5.000%, 10/15/26 2,150 341
FHLMC CMO, Ser 2645, Cl MK
3.500%, 07/15/22 1,946 1,918
FHLMC CMO, Ser 2682, Cl WK
3.000%, 01/15/21 2,089 2,060
FHLMC CMO, Ser 2692, Cl YB
3.500%, 05/15/16 3,016 2,988
FHLMC CMO, Ser 2731, Cl PK
3.500%, 05/15/26 3,655 3,600
- --------------------------------------------------------------------------------
82 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC CMO, Ser 2733, Cl ME
5.000%, 01/15/34 $ 6,302 $ 6,291
FHLMC CMO, Ser 2736, Cl DB
3.300%, 11/15/26 3,986 3,893
FHLMC CMO, Ser 2808, Cl PG
5.500%, 04/15/33 4,729 4,836
FHLMC CMO, Ser 2809, Cl HX, IO
6.000%, 10/15/24 5,150 440
FHLMC CMO, Ser 2825, Cl PM
5.500%, 03/15/30 10,671 10,885
FHLMC CMO, Ser 2825, Cl QM
5.500%, 03/15/30 2,544 2,599
FHLMC CMO, Ser 2833, Cl JD
5.500%, 09/15/29 113 116
FHLMC CMO, Ser 2841, Cl YA
5.500%, 07/15/27 9,057 9,251
FHLMC CMO, Ser 2845, Cl PI, IO
5.500%, 02/15/32 6,488 692
FHLMC CMO, Ser 2864, Cl NA
5.500%, 01/15/31 5,400 5,565
FHLMC CMO, Ser 2957, Cl KJ
4.500%, 10/15/24 8,261 8,284
FHLMC CMO, Ser 2958, Cl MD
5.500%, 01/15/31 2,842 2,930
FHLMC CMO, Ser 2960, Cl EH
4.500%, 05/15/24 1,963 1,969
FHLMC CMO, Ser 2961, Cl PW
5.500%, 10/15/30 1,082 1,137
FHLMC CMO, Ser 2962, Cl CJ
5.500%, 11/15/23 11,490 11,741
FHLMC CMO, Ser 2963, Cl Wl
4.500%, 07/15/25 3,754 3,765
FHLMC CMO, Ser 2966, Cl XC
5.500%, 01/15/31 1,523 1,586
FHLMC CMO, Ser 2968, Cl PD
5.500%, 01/15/31 1,772 1,879
FHLMC CMO, Ser 2971, Cl KR
5.500%, 05/15/34 2,880 2,957
FHLMC CMO, Ser 2971, Cl PE
4.500%, 05/15/34 9,219 9,294
FHLMC CMO, Ser 2972, Cl UD
5.500%, 05/15/34 1,792 1,830
FHLMC CMO, Ser 2972, Cl UG
5.500%, 05/15/34 4,305 4,377
FHLMC CMO, Ser 2972, Cl WK
4.500%, 04/15/29 3,862 3,867
FHLMC CMO, Ser 2973, Cl EB
5.500%, 04/15/35 4,975 5,159
FHLMC CMO, Ser 2975, Cl OA
5.500%, 06/15/26 12,384 12,667
FHLMC CMO, Ser 2975, Cl OE
5.500%, 10/15/31 7,421 7,564
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC CMO, Ser 2975, Cl PB
5.500%, 02/15/24 $ 4,709 $ 4,810
FHLMC CMO, Ser 2975, Cl PJ
5.500%, 05/01/35 2,371 2,427
FHLMC CMO, Ser 2982, Cl LC
4.500%, 01/15/25 5,448 5,463
FHLMC, Ser 2544, Cl Ml
5.000%, 04/15/12 1,458 1,475
FHLMC, Ser 2631, Cl MT
3.500%, 01/15/22 2,392 2,362
FHLMC, Ser 2825, Cl QN
5.500%, 09/15/32 8,628 8,813
FNMA
7.125%, 06/15/10 (K) 5,300 6,029
6.625%, 09/15/09 (K) 7,255 7,990
6.125%, 03/15/12 (K) 5,220 5,814
6.000%, 05/15/11 (K) 4,760 5,219
5.500%, 03/15/11 (K) 4,650 4,971
5.125%, 05/27/15 3,950 3,995
3.250%, 01/15/08 (K) 8,397 8,283
3.125%, 03/16/09 (K) 3,090 2,991
3.100%, 04/04/07 (K) 9,703 9,581
3.000%, 03/02/07 (K) 11,125 10,975
2.920%, 08/15/07 (E) 3,100 3,098
2.875%, 04/26/07 1,928 1,895
2.783%, 06/29/05 (B) (E) 1,840 1,836
2.750%, 03/15/07 (F) 4,645 4,571
2.710%, 01/30/07 16,675 16,389
2.350%, 04/29/06 1,625 1,606
2.350%, 04/05/07 (A) (K) 8,070 7,861
2.200%, 12/04/06 (K) 12,026 11,755
1.750%, 06/16/06 960 941
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/29 6,059 6,102
FNMA CMO, Ser 2001-60, Cl JZ
6.000%, 03/25/31 892 903
FNMA CMO, Ser 2002-22, Cl PE
6.500%, 11/25/30 877 882
FNMA CMO, Ser 2002-94, Cl BJ, IO
5.500%, 04/25/16 1,121 103
FNMA CMO, Ser 2003-113, Cl PN
3.500%, 02/25/13 2,656 2,635
FNMA CMO, Ser 2003-35, Cl BC
5.000%, 05/25/18 1,750 1,785
FNMA CMO, Ser 2003-76, Cl DE
4.000%, 09/25/31 8,148 7,931
FNMA CMO, Ser 2003-87, Cl TJ
4.500%, 09/25/18 2,475 2,443
FNMA CMO, Ser 2003-92, Cl KQ
3.500%, 06/25/23 4,485 4,411
FNMA CMO, Ser 2004-88, Cl HA
6.500%, 07/25/34 3,363 3,536
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 83
<page>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA CMO, Ser 2004-99, Cl AO
5.500%, 01/25/34 $ 5,325 $ 5,468
FNMA CMO, Ser 2005-3, Cl AP
5.500%, 02/25/35 4,420 4,570
FNMA CMO, Ser 2005-92, Cl NM
3.500%, 04/25/13 1,993 1,966
FNMA CMO, Ser 342, Cl 2, IO
6.000%, 09/01/33 4,326 753
GNMA (F)
3.750%, 05/20/34 8,275 8,161
GNMA CMO, Ser 2001-18, Cl WH (F)
18.246%, 04/20/31 537 634
GNMA CMO, Ser 2002-51, Cl SG (F)
19.110%, 04/20/31 485 601
GNMA CMO, Ser 2003-58, Cl LG, IO
5.500%, 05/17/29 3,000 550
GNMA CMO, Ser 2003-66, Cl WU
3.750%, 03/20/26 2,025 2,003
GNMA CMO, Ser 2003-82, Cl IO, IO
5.500%, 03/20/29 8,897 808
GNMA CMO, Ser 2004-80, Cl IP, IO
5.500%, 07/20/34 10,512 1,183
GNMA CMO, Ser 2004-87, Cl LI, IO
5.000%, 12/20/28 10,699 1,078
SBA CMO,
Ser 2003-P10A, Cl 1
4.524%, 02/10/13 4,315 4,333
TVA (K)
7.125%, 05/01/30 3,440 4,634
----------
Total U.S. Government Agency Obligations
(Cost $462,566) ($ Thousands) 464,424
----------
COMMERCIAL PAPER -- 4.4%
FINANCIALS -- 4.3%
Ajax Bambino Funding (A) (L)
3.119%, 07/06/05 19,662 19,602
Altimira Funding (A) (L)
3.004%, 06/16/05 2,561 2,558
Beethoven Funding (L)
3.109%, 07/05/05 9,831 9,802
3.013%, 06/13/05 9,883 9,873
Brahms Funding (A) (L)
3.000%, 06/02/05 25,356 25,354
Capital One Multi-Asset Funding (A) (L)
3.025%, 06/20/05 7,865 7,852
3.002%, 06/07/05 6,882 6,878
Cobbler Funding (A) (L)
3.057%, 06/28/05 3,598 3,590
Cre-8 Funding (A) (L)
3.106%, 06/23/05 6,882 6,869
Danske (A)
3.040%, 06/01/05 7,728 7,728
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
General Electric Capital (A)
3.020%, 06/24/05 $ 14,950 $ 14,921
Golden Fish (A) (L)
3.066%, 06/22/05 10,233 10,215
3.065%, 06/20/05 6,385 6,375
3.055%, 06/21/05 2,949 2,944
3.053%, 06/14/05 7,907 7,898
IBM
3.923%, 06/27/01 8,465 8,464
National Rural Utilities (A)
3.038%, 06/16/05 12,550 12,534
Rams Funding (A) (L)
3.121%, 06/06/05 9,831 9,827
UBS Finance Delaware (A)
3.040%, 06/01/05 11,040 11,040
----------
184,324
----------
INDUSTRIALS -- 0.1%
Alcoa (A)
3.048%, 06/21/05 4,805 4,797
----------
Total Commercial Paper
(Cost $189,094) ($ Thousands) 189,121
----------
MASTER NOTES (L) -- 1.7%
Bank of America Master Notes
3.143%, 06/01/05 49,154 49,154
Bear Stearns Master Notes
3.234%, 06/01/05 23,594 23,594
----------
Total Master Notes
(Cost $72,748) ($ Thousands) 72,748
----------
CERTIFICATES OF DEPOSIT -- 1.1%
State Street Bank & Trust (F)
2.920%, 12/11/06 2,325 2,325
SunTrust Bank
4.415%, 06/15/09 1,285 1,292
3.040%, 06/02/09 (F) 1,350 1,351
U.S. Trust (F) (L)
3.215%, 09/14/05 19,662 19,662
Washington Mutual Bank (F) (L)
3.270%, 08/18/05 23,201 23,201
----------
Total Certificates of Deposit
(Cost $47,824) ($ Thousands) 47,831
----------
FOREIGN BONDS -- 0.3%
Bundesrepub Deutschland
4.750%, 07/04/34 1,375 1,974
4.000%, 01/04/37 5,450 6,968
Petro-Canada
5.950%, 05/15/35 1,650 1,683
----------
Total Foreign Bonds
(Cost $10,617) ($ Thousands) 10,625
----------
- --------------------------------------------------------------------------------
84 SEI Institutional Investments Trust / Annual Report / May 31, 2005
<page>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands)/Contracts ($ Thousands)
- --------------------------------------------------------------------------------
CASH EQUIVALENTS -- 0.1%
Evergreen Select Money
Market Fund 528,714 $ 529
SEI Daily Income Trust,
Prime Obligation Fund, Cl A+ 41,770 42
----------
Total Cash Equivalents
(Cost $571) ($ Thousands) 571
----------
MUNICIPAL BOND -- 0.0%
Fort Irwin, California, GO (C)
5.300%, 12/15/35 $ 1,395 1,395
Los Angeles County, California Taxable
Pension Obligation, Ser D, RB,
MBIA (E)
8.029%, 06/30/10 650 518
----------
Total Municipal Bond
(Cost $1,830) ($ Thousands) 1,913
----------
PURCHASED OPTIONS -- 0.0%
90 Days Euro Futures Call, Expires
9/19/05, Strike Price $96 152 104
September 2005 Ten Year Treasury Note
Futures Call Expires 08/26/05,
Strike Price $115 330 155
----------
Total Purchased Options
(Cost $443) ($ Thousands) 259
----------
REPURCHASE AGREEMENTS -- 12.4%
Barclays Capital
3.040%, dated 05/31/05, to be
repurchased on 06/01/05,
repurchase price $30,943,896
(collateralized by U.S. Government
Obligation, par value $32,204,353,
0.000%, 12/28/05; with total market
value $31,560,266) (L) 30,941 30,941
Lehman Brothers
3.040%, dated 05/31/05, to be
repurchased on 06/01/05,
repurchase price $24,579,248
(collateralized by various
U.S. Government Obligations,
ranging in par value $297,875-
$14,843,432, 0.000%-4.375%,
10/15/06-10/15/16; with total
market value $25,069,610)(L) 24,577 24,577
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Contracts ($ Thousands)
- --------------------------------------------------------------------------------
Nomura
3.040%, dated 05/31/05, to be
repurchased on 06/01/05,
repurchase price $337,628,508
(collateralized by various
U.S. Government Obligations,
ranging in par value $15,000,000-
$50,000,000, 0.000%-7.000%,
06/07/05-05/15/11; with total
market value $344,352,000) $337,600 $ 337,600
UBS Paine Webber
3.050%, dated 05/31/05, to be
repurchased on 06/01/05,
repurchase price $137,643,825
(collateralized by various
U.S. Government Obligations,
ranging in par value $5,744,177-
$36,965,050, 0.000%-8.875%,
04/15/07-05/15/30; with total
market value $140,385,283)(L) 137,632 137,632
----------
Total Repurchase Agreements
(Cost $530,750) ($ Thousands) 530,750
----------
Total Investments -- 141.3%
(Cost $5,974,757) ($ Thousands) $6,028,261
----------
WRITTEN OPTIONS -- 0.0%
September 2005 90 Day Euro Call,
Expires 09/19/05, Strike Price $96.25 (176) (47)
September 2005 90 Day Euro Put,
Expires 09/19/05, Strike Price $96.25 (176) (41)
September 2005 Ten Year Treasury
Note Call, Expires 08/26/05,
Strike Price $110 (130) (451)
September 2005 Ten Year Treasury Note
Call, Expires 08/26/05,
Strike Price $112 (176) (333)
September 2005 Ten Year Treasury Note
Call, Expires 08/26/05,
Strike Price $113 (125) (158)
September 2005 Ten Year Treasury Note
Put, Expires 08/26/05,
Strike Price $105 (43) (1)
September 2005 Ten Year Treasury Note
Put, Expires 08/26/05,
Strike Price $110 (126) (27)
September 2005 Ten Year Treasury Note
Put, Expires 08/26/05,
Strike Price $106 (192) (3)
----------
Total Written Options
(Premium Received $(627)) ($ Thousands) $ (1,061)
----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 85
<page>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Concluded)
May 31, 2005
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
A summary of the open futures contracts held by the fund at May 31, 2005, is as
follows: (see Note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------------------
UNREALIZED
CONTRACT APPRECIATION
TYPE OF NUMBER OF VALUE EXPIRATION (DEPRECIATION)
CONTRACT CONTRACTS ($ THOUSANDS) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
Euro-BOBL (244) $ 27,989 06/08/05 $ (721)
90 Day Euro$ 1,225 294,812 09/21/05 (759)
90 Day Euro$ 60 14,408 03/15/06 77
U.S. 10 Year Agency Note (32) (3,611) 06/23/05 (36)
U.S. 10 Year Agency Note 188 21,294 09/23/05 72
U.S. 5 Year Note (96) (10,472) 06/23/05 40
U.S. 5 Year Note (259) (28,170) 09/23/05 (54)
U.S. Long Treasury Bond 18 2,114 06/23/05 111
U.S. Long Treasury Bond (588) (69,053) 09/23/05 (524)
-------
$(1,794)
Forward Foreign Currency Contracts -- The following forward foreign currency
contracts were outstanding at May 31, 2005 (See Note 2 in Notes to Financial
Statements):
- --------------------------------------------------------------------------------
Currency to Currency to Unrealized
Maturity Deliver Receive Contract Value Appreciation
Date (Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
07/26/05 EUR 6,923 USD $9,085 $8,562 $523
At May 31, 2005 there was the following Credit Default Swap agreements
outstanding (See Note 2 in Notes to Financial Statements).
- --------------------------------------------------------------------------------
Notional Net Unrealized
Expiration Amount Depreciation
Description Date ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Receive fixed rate of 1.900% and
pay floating par in event of
default on GSAMP Trust,
Ser 2005-HE1, Cl B2,
5.014%, 02/02/13
(Counter Party: Citibank) 02/02/13 600 (15)
Receive fixed rate of 1.900% and
pay floating par in event of
default on ACE Securities Corp.,
Ser 2004-RM2, Cl B1,
5.014%, 01/25/35
(Counter Party: Citibank) 01/25/35 600 (15)
Receive fixed rate of 3.350% and
pay floating par in event of
default on Aegis Asset Backed
Securities Trust, Ser 2004-5,
Cl B3, 6.814%, 12/25/34
(Counter Party: Citibank) 12/25/34 600 (30)
Receive fixed rate of 2.050% and
pay floating par in event of
default on Ameriquest Mortgage
Securities Inc., Ser 2004-R6,
Cl M3, 5.464%, 07/25/34
(Counter Party: Citibank) 07/25/34 600 (12)
Receive fixed rate of 1.950% and
pay floating par in event of
default on CDC Mortgage Capital
Trust, Ser 2004-HE3, Cl B2,
5.264%, 11/25/34
(Counter Party: Citibank) 11/25/34 600 (12)
Receive fixed rate of 1.900% and
pay floating par in event of
default on Countrywide Asset-
Backed Certificates, Ser 2004-12,
Cl MV8, 5.114%, 11/25/34
(Counter Party: Citibank) 11/25/34 600 (15)
Receive fixed rate of 2.050% and
pay floating par in event of
default on Countrywide Asset-
Backed Certificates, Ser 2004-6,
Cl M8, 5.514%, 05/25/34
(Counter Party: Citibank) 05/25/34 600 (18)
Receive fixed rate of 2.000% and
pay floating par in event of
default on Countrywide Asset-
Backed Certificates, Ser 2004-ECC2,
Cl M8, 5.464%, 06/25/34
(Counter Party: Citibank) 06/25/34 1,000 (25)
Receive fixed rate of 3.000% and
pay floating par in event of
default on Countrywide Asset-
Backed Certificates, Ser 2004-ECC1,
Cl B, 4.814%, 01/25/34
(Counter Party: Citibank) 01/25/34 1,000 (35)
Receive fixed rate of 3.050% and
pay floating par in event of
default on Home Equity Asset
Trust, Ser 2004-8, Cl B3,
6.414%, 03/25/35
(Counter Party: Citibank) 03/25/35 600 (25)
- --------------------------------------------------------------------------------
Notional Net Unrealized
Expiration Amount Depreciation
Description Date ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Receive fixed rate of 2.030% and
pay floating par in event of
default on Long Beach Mortgage
Loan Trust, Ser 2004-2, Cl M6,
5.564%, 06/25/34
(Counter Party: Citibank) 06/25/34 600 (13)
Receive fixed rate of 2.100% and
pay floating par in event of
default on Masters Asset Backed
Securities Trust, Ser 2004-WMC2,
Cl M5, 5.714%, 04/25/34
(Counter Party: Citibank) 04/25/34 600 (10)
Receive fixed rate of 2.050% and
pay floating par in event of
default on Morgan Stanley ABS
Equity I, Ser 2004-HE6, Cl B2,
5.264%, 08/25/34
(Counter Party: Citibank) 08/25/34 600 (17)
Receive fixed rate of 2.070% and
pay floating par in event of
default on Morgan Stanley ABS
Equity I, Ser 2004-NC5, Cl B2,
5.564%, 05/25/34
(Counter Party: Citibank) 05/25/34 600 (12)
Receive fixed rate of 2.900% and
pay floating par in event of
default on New Century Home
Equity Loan Trust, Ser 2004-4,
Cl M9, 6.014%, 02/25/35
(Counter Party: Citibank) 02/25/35 1,000 (39)
Receive fixed rate of 1.900% and
pay floating par in event of
default on Residential Asset
Securities Corporation,
Ser 2004-KS10, Cl M5,
5.164%, 11/25/34
(Counter Party: Citibank) 11/25/34 600 (13)
- --------------------------------------------------------------------------------
$(306)
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $4,265,249,459.
+ See Note 3 in Notes to Financial Statements.
(A) The rate reflected is th 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 May 31, 2005.
(G) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on May 31, 2005. The coupon on a step bond changes on a
specified date.
(H) Securities considered illiquid. The total value of such securities as of
May 31, 2005 was $4,585 ($ Thousands) and represents 0.1% of Net Assets.
(I) Security in default on interest payments.
(J) This security, which was purchased with cash collateral, was sold within
the terms of private placement memorandum, exempt from registration under
Section 3A-4, 4(2) or 144A of the Securities Act of 1933, as amended, and
may be sold only to dealers in that program or other "accredited
investors."
(K) This security or a partial position of this security is on loan at May 31,
2005 (see Note 9). The total value of securities on loan at May 31, 2005
was $1,265,666 ($ Thousands).
(L) This security was purchased with cash collateral held from securities
lending. The total value of such securities as of May 31, 2005 was
$1,308,199 ($ Thousands). (See Note 9).
Cl -- Class
CMO -- Collateralized Mortgage Obligation
EUR -- Euro
EXL -- Extendable Maturity
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
GO -- General Obligation
IO -- Interest Only Security
LLC -- Limited Liability Company
MBIA -- Municipal Bond Insurance Association
MTN -- Medium Term Note
PLC -- Public Limited Company
RB -- Revenue Bond
SBA -- Small Business Administration
Ser -- Series
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
TVA -- Tennessee Valley Authority
USD -- U.S. Dollar
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 / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
Long Duration Fund
May 31, 2005
- --------------------------------------------------------------------------------
[THE FOLLOWING WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
SECTOR WEIGHTINGS (UNAUDITED)++:
52.2% Asset-Backed Securities
15.5% Financials
13.4% U.S Government Agency Obligations
5.7% U.S. Treasury Obligations
5.0% Consumer Discretionary
2.3% Utilities
1.9% Industrials
1.9% U.S. Government Mortgage-Backed Obligations
1.3% Telecommunication Services
0.8% Short-Term Investments
++Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 52.4%
MORTGAGE RELATED SECURITIES -- 52.4%
Ace Securities, Ser 2004-FM2,
Cl A2A (B)
3.250%, 06/25/34 $ 924 $ 924
Ameriquest Mortgage Securities,
Ser 2003-1, Cl M2 (B)
4.940%, 02/25/33 1,000 1,014
Amortizing Residential Collateral Trust,
Ser 2000-BC2, Cl A2 (B)
3.330%, 04/25/30 535 534
Amortizing Residential Collateral Trust,
Ser 2002-BC4, Cl M2 (B)
4.240%, 07/25/32 1,000 1,013
Bayview Financial Acquisition Trust,
Ser 2005-A, Cl A1 (B)
3.560%, 02/28/40 700 700
Bayview Financial Acquisition Trust,
Ser 2005-B, Cl 1A1 (B)
4.443%, 04/28/39 935 935
Bear Stearns Asset-Backed Securities,
Ser 2004-FR3, Cl 1A1 (B)
3.340%, 02/25/30 1,071 1,072
Centex Home Equity, Ser 2002-C,
Cl M2 (B)
4.240%, 09/25/32 1,000 1,005
Centex Home Equity, Ser 2002-D,
Cl M2 (B)
5.140%, 12/25/32 635 645
Centex Home Equity, Ser 2005-A,
Cl AV1 (B)
3.210%, 08/25/27 1,143 1,143
Chase Funding Mortgage Loan,
Ser 2001-4, Cl 2M2 (B)
4.490%, 11/25/31 171 173
Citigroup Mortgage Loan Trust,
Ser 2003-1, Cl WA2
6.500%, 10/25/33 197 202
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Citigroup Mortgage Loan Trust,
Ser 2004-2, Cl 2A1
6.500%, 08/25/33 $ 870 $ 891
Countrywide Alternative Loan Trust,
Ser 2005-24, Cl 1A1 (B)
3.814%, 07/20/35 1,095 1,106
Countrywide Asset-Backed Certificates,
Ser 2003-BC1, Cl M1 (B)
4.010%, 12/25/32 1,150 1,150
Countrywide Asset-Backed Certificates,
Ser 2005-1, Cl 3AV1 (B)
3.180%, 07/25/35 1,307 1,308
Countrywide Asset-Backed Certificates,
Ser 2005-16, Cl 1A1 (B)
3.992%, 06/25/35 974 990
DSLA Mortgage Loan Trust,
Ser 2004-AR1, Cl A2A (B)
3.500%, 09/19/44 502 503
Fremont Home Loan Trust,
Ser 2004-4, Cl 2A1 (B)
3.250%, 03/25/35 1,063 1,063
Fremont Home Loan Trust,
Ser 2004-4, Cl 2A2 (B)
3.370%, 03/25/35 945 948
GMAC Mortgage, Ser 2003-HE2, Cl A2
3.140%, 06/25/25 654 650
Greenpoint Mortgage Funding Trust,
Ser 2005-HE2, Cl A1 (B)
3.264%, 04/15/30 1,075 1,075
Harborview Mortgage Loan Trust,
Ser 2004-8, Cl 2A4A (B)
3.490%, 11/19/34 456 457
Harborview Mortgage Loan Trust,
Ser 2005-1, Cl X, IO (C)
1.243%, 03/19/35 3,849 133
Home Equity Asset Trust, Ser 2002-1,
Cl M2 (B)
4.490%, 11/25/32 680 690
Household Mortgage Loan Trust,
Ser 2002-HC1, Cl M (B)
3.740%, 05/20/32 325 325
Indymac Home Equity Loan Asset-Backed
Trust, Ser 2002-A, Cl M1 (B)
3.840%, 05/25/33 475 477
Indymac Home Equity Loan Asset-Backed
Trust, Ser 2002-A, Cl M2 (B)
4.340%, 05/25/33 550 555
Indymac Index Mortgage Loan Trust,
Ser 2004-AR12, Cl AX2 IO (C)
0.810%, 12/25/34 2,778 101
Indymac Index Mortgage Loan Trust,
Ser 2004-AR5, Cl 2A1B (B)
3.490%, 08/25/34 574 575
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 87
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
Long Duration Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Indymac Index Mortgage Loan Trust,
Ser 2004-AR6, Cl 6A1 (B)
5.528%, 10/25/34 $ 528 $ 539
Indymac Index Mortgage Loan Trust,
Ser 2004-AR7, Cl A2 (B)
3.520%, 09/25/34 568 569
Indymac Index Mortgage Loan Trust,
Ser 2004-AR8, Cl 2A2A (B)
3.490%, 11/25/34 443 443
Irwin Home Equity, Ser 2003-A,
Cl M2 (B)
5.240%, 10/25/27 475 486
Irwin Home Equity, Ser 2005-A,
Cl A1 (B)
3.260%, 09/25/17 1,027 1,027
Master Alternative Loans Trust,
Ser 2003-3, Class 2A1
8.500%, 05/25/33 761 790
Master Seasoned Securities Trust,
Ser 2005-1, Cl 4A1 (B)
5.902%, 10/25/32 1,031 1,049
Mid-State Trust, Ser 2004-1, Cl B
8.900%, 08/15/37 627 678
Morgan Stanley Capital I,
Ser 2004-HE4, Cl A3 (B)
3.290%, 05/25/34 598 598
Morgan Stanley Dean Witter Capital,
Ser 2002-HE1, Cl M2 (B)
4.390%, 07/25/32 1,000 1,017
Morgan Stanley Dean Witter Capital,
Ser 2002-HE2, Cl M2 (B)
4.340%, 08/25/32 1,000 1,007
Ownit Mortgage Loan, Ser 2005-1,
Cl A1 (B)
3.220%, 09/25/35 1,243 1,243
Residential Asset Mortgage Products,
Ser 2004-RS11, Cl A2 (B)
3.360%, 12/25/33 925 928
Residential Funding Mortgage Securities,
Ser 1999-HI8, Cl AI7 (D)
7.970%, 11/25/29 838 848
Saxon Asset Securities Trust, Ser 2004-3,
Cl A3 (B)
3.430%, 12/26/34 500 502
Structure Adjustable Rate Mortgage Loan,
Ser 2005-9, Cl 2A2A (B)
3.747%, 05/25/35 1 1
Washington Mutual, Ser 2000-1,
Cl M2 (B)
3.890%, 01/25/40 954 959
Washington Mutual, Ser 2002-AR17,
Cl 2A (B)
3.566%, 11/25/42 747 754
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Washington Mutual, Ser 2004-AR10,
Cl A2A (B)
3.313%, 07/25/44 $ 454 $ 453
Washington Mutual, Ser 2004-AR12,
Cl A4A (B)
3.313%, 10/25/44 280 279
Washington Mutual, Ser 2005-AR1,
Cl A2A2 (B)
3.313%, 01/25/45 676 676
Washington Mutual, Ser 2005-AR2,
Cl 2A21 (B)
3.393%, 01/25/45 726 728
Washington Mutual, Ser 2005-AR2,
Cl 2A22 (B)
3.283%, 01/25/45 956 956
Washington Mutual, Ser 2005-AR6,
Cl 2AB1 (B)
3.280%, 04/25/45 990 990
-------
Total Asset-Backed Securities
(Cost $39,868) ($ Thousands) 39,877
-------
CORPORATE OBLIGATIONS -- 21.4%
CONSUMER DISCRETIONARY -- 5.0%
Alltel
4.656%, 05/17/07 525 529
DaimlerChrysler (B)
3.200%, 03/07/07 1,375 1,367
Ford Motor
8.900%, 01/15/32 590 530
7.450%, 07/16/31 360 301
General Motors
8.375%, 07/15/33 353 270
8.250%, 07/15/23 870 662
Rockwell Automation
5.200%, 01/15/98 136 128
-------
3,787
-------
FINANCIALS -- 10.9%
Bank of America, Ser A (A)
8.070%, 12/31/26 1,267 1,383
BankBoston Capital Trust I, Ser B
8.250%, 12/15/26 145 159
Chase Capital II, Ser B (B)
3.710%, 02/01/27 170 159
Chase Capital III, Ser C (B)
3.880%, 03/01/27 330 310
Countrywide Financial (B)
3.469%, 05/05/08 200 200
Countrywide Home Loans MTN, Ser E
6.935%, 07/16/07 690 726
- --------------------------------------------------------------------------------
88 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Credit Suisse First Boston London (A) (B)
9.650%, 03/24/10 $ 669 $ 648
Deutsche Bank Luxembourg (A)
6.825%, 12/28/07 281 296
EOP Operating (B)
3.700%, 10/01/10 510 512
Farmers Insurance Exchange Capital (A)
8.625%, 05/01/24 160 198
HSBC Capital Trust II (A)
8.380%, 05/15/27 9 10
Meridian Funding (A) (B)
3.320%, 10/06/08 444 444
Nationwide Mutual Insurance (A)
6.600%, 04/15/34 305 317
Pemex Finance
8.020%, 05/15/07 600 624
Power Receivables Financial (A)
6.290%, 01/01/12 461 480
Simon Property Group
7.375%, 01/20/06 710 724
Spieker Properties
7.650%, 12/15/10 360 417
Zurich Capital Trust I (A)
8.376%, 06/01/37 600 655
-------
8,262
-------
INDUSTRIALS -- 1.9%
America West Airlines, Ser 01-1
7.100%, 04/02/21 181 195
American Airlines, Ser AMBC
3.857%, 07/09/10 268 262
Continental Airlines, Ser 00-2
7.707%, 04/02/21 176 174
Continental Airlines, Ser 2202-1,
Cl G1 (B)
3.718%, 08/15/11 142 142
Continental Airlines, Ser AMBC
6.236%, 03/15/20 110 117
Delta Air Lines (B)
3.911%, 01/25/08 509 510
Delta Air Lines, Ser 02-1, Cl G-1
6.718%, 01/02/23 41 42
Northwest Airlines, Ser 00-1
8.072%, 10/01/19 38 42
-------
1,484
-------
TELECOMMUNICATION SERVICES -- 1.3%
New England Telephone & Telegraph
7.650%, 06/15/07 900 953
-------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
UTILITIES -- 2.3%
Entergy Gulf States (B)
3.310%, 12/01/09 $ 525 $ 526
Power Contract Financing (A)
5.200%, 02/01/06 536 541
Sempra Energy
4.621%, 05/17/07 525 527
3.754%, 05/21/08 (B) 190 190
-------
1,784
-------
Total Corporate Obligations
(Cost $16,715) ($ Thousands) 16,270
-------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 13.5%
FHLB (C)
2.961%, 06/15/05 860 859
FHLMC
6.500%, 08/01/29 991 1,030
2.970%, 06/29/05 (C) 2,445 2,439
FHLMC CMO, Ser 2459, Cl GE
6.500%, 04/15/31 628 633
FHLMC CMO, Ser 2469, Cl AK
6.000%, 04/15/30 700 710
FHLMC CMO, Ser 2748, Cl ZT
5.500%, 02/15/24 77 79
FHLMC, Ser 2391, Cl XE
6.000%, 05/15/27 521 530
FHLMC, Ser 2911, Cl Z
5.000%, 06/15/32 826 830
FNMA CMO, Ser 2001-13, Cl SA (B)
11.424%, 11/25/17 687 715
FNMA CMO, Ser 2001-48, Cl PD
6.500%, 06/25/20 783 795
FNMA CMO, Ser 2003-122, Cl ZQ
6.000%, 12/25/33 102 113
FNMA CMO, Ser 2004-12, Cl ZX
6.000%, 03/25/34 110 122
FNMA CMO, Ser 2004-31, Cl MZ
4.250%, 05/25/34 104 89
FNMA CMO, Ser 2004-80, Cl XZ
5.000%, 11/25/34 205 187
FNMA, Ser 2003-33, Cl PC
4.500%, 03/25/27 840 839
GNMA CMO, Ser 2003-112, Cl SG (B)
4.295%, 12/16/33 355 283
-------
Total U.S. Government Agency Obligations
(Cost $10,155) ($ Thousands) 10,253
-------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 89
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
Long Duration Fund (Concluded)
May 31, 2005
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATION -- 5.7%
U.S. Treasury Bonds
Forward Commitments
6.250%, 08/15/23
(Forward Settlement Date
09/21/05) $3,534 $ 4,329
-------
Total U.S. Treasury Obligation
(Cost $4,173) ($ Thousands) 4,329
-------
COMMERCIAL PAPER -- 4.7%
FINANCIALS -- 4.7%
Alcoa (C)
3.112%, 07/15/05 665 662
General Electric Capital (C)
3.020%, 06/24/05 1,090 1,088
IBM
3.923%, 06/27/01 745 745
National Rural Utilities (C)
3.038%, 06/16/05 1,090 1,089
-------
Total Commercial Paper
(Cost $3,582) ($ Thousands) 3,584
-------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 1.9%
FNMA
7.000%, 04/01/34 859 906
5.500%, 10/01/17 to 02/01/18 552 560
-------
Total U.S. Government Mortgage-Backed Obligations
(Cost $1,459) ($ Thousands) 1,466
-------
CASH EQUIVALENT -- 0.8%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A+ 586,729 587
-------
Total Cash Equivalent
(Cost $587) ($ Thousands) 587
-------
Total Investments -- 100.4%
(Cost $76,539) ($ Thousands) $76,366
=======
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
As of May 31, 2005 there were the following Interest Rate Swap agreements
outstanding (See Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
Notional Net Unrealized
Expiration Amount Depreciation
Description Date ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Receive fixed rate of 4.840% and pay
floating rate based on 3 month LIBOR
(Counter Party: Barclays Capital) 05/04/20 1,510 38
Receive fixed rate of 5.143% and pay
floating rate based on 3 month LIBOR
(Counter Party: Barclays Capital) 04/11/20 1,850 108
Receive fixed rate of 4.771% and pay
floating rate based on 3 month LIBOR
(Counter Party: Deutsche Bank) 02/02/20 6,360 117
Receive fixed rate of 4.993% and pay
floating rate based on 3 month LIBOR
(Counter Party: Deutsche Bank) 03/03/20 3,070 130
Receive fixed rate of 4.995% and pay
floating rate based on 3 month LIBOR
(Counter Party: Deutsche Bank) 01/10/20 19,675 838
Receive fixed rate of 5.148% and pay
floating rate based on 3 month LIBOR
(Counter Party: Deutsche Bank) 04/04/20 2,900 171
Receive fixed rate of 4.905% and pay
floating rate based on 3 month LIBOR
(Counter Party: Credit Suisse
First Boston) 12/14/19 12,440 413
Receive fixed rate of 5.118% and pay
floating rate based on 3 month LIBOR
(Counter Party: Credit Suisse
First Boston) 12/02/19 13,500 753
- --------------------------------------------------------------------------------
Total $2,568
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $76,053,851.
+ 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 May 31, 2005.
(C) The rate reported 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
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
LIBOR -- London InterBank Offering Rate
MTN -- Medium Term Note
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
90 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
Extended Duration Fund
May 31, 2005
- --------------------------------------------------------------------------------
[THE FOLLOWING WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
SECTOR WEIGHTINGS (UNAUDITED)++
46.0% Asset-Backed Securities:
15.5% Financials
15.1% U.S. Treasury Obligations
13.0% U.S. Government Agency Obligations
3.2% Consumer Discretionary
2.3% Utilities
1.9% Industrials Information Technology
1.2% Telecommunication Services
1.0% Short-Term Investments
0.8% U.S. Government Mortgage Backed Obligations
++Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 45.7%
MORTGAGE RELATED SECURITIES -- 45.7%
Ace Securities, Ser 2004-FM2, Cl A2A
3.250%, 06/25/34 (D) $ 796 $ 796
Ameriquest Mortgage Securities,
Ser 2003-1, Cl M2 (D)
4.940%, 02/25/33 850 862
Amortizing Residential Collateral Trust,
Ser 2002-BC4, Cl M2 (D)
4.240%, 07/25/32 850 861
Bayview Financial Acquisition Trust,
Ser 2005-A, Cl A1 (A) (D)
3.560%, 02/28/40 600 600
Bayview Financial Acquisition Trust,
Ser 2005-B, Cl 1A1 (D)
4.443%, 04/28/39 2,000 2,000
Bear Stearns Asset-Backed Securities,
Ser 2004-FR3, Cl 1A1 (D)
3.340%, 02/25/30 937 938
Centex Home Equity, Ser 2002-C,
Cl M2 (D)
4.240%, 09/25/32 875 880
Centex Home Equity, Ser 2005-A,
Cl AV1 (D)
3.210%, 08/25/27 979 980
Chase Funding Mortgage Loan,
Ser 2001-4, Cl 2M2 (D)
4.490%, 11/25/31 193 195
Citigroup Mortgage Loan Trust,
Ser 2003-1, Cl WA2 (A)
6.500%, 10/25/33 352 361
Citigroup Mortgage Loan Trust,
Ser 2004-2, Cl 2A1
6.500%, 08/25/33 791 810
Countrywide Alternative Loan Trust,
Ser 2005-24, Cl 1A1 (D)
3.814%, 07/20/35 2,080 2,100
Countrywide Asset-Backed Certificates,
Ser 2003-BC1, Cl M1 (D)
4.010%, 12/25/32 2,200 2,200
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Asset-Backed Certificates,
Ser 2005-1, Cl 3AV1 (D)
3.180%, 07/25/35 $ 1,114 $ 1,114
Countrywide Asset-Backed Certificates,
Ser 2005-16, Cl 1A1 (D)
1.069%, 06/25/35 1,291 1,313
DSLA Mortgage Loan Trust,
Ser 2004-AR1, Cl A2A (D)
3.500%, 09/19/44 561 562
EQCC Home Equity Loan Trust,
Ser 1999-2, Cl A4F
6.753%, 08/25/27 307 310
Equifirst Mortgage Loan Trust,
Ser 2004-3, Cl A1 (D)
3.420%, 12/25/34 2,300 2,306
Fremont Home Loan Trust,
Ser 2004-4, Cl 2A1 (D)
3.250%, 03/25/35 916 916
Fremont Home Loan Trust,
Ser 2004-4, Cl 2A2 (D)
3.370%, 03/25/35 2,750 2,760
GMAC Mortgage, Ser 2003-HE2, Cl A2
3.140%, 06/25/25 534 531
Greenpoint Mortgage Funding Trust,
Ser 2005-HE2, Cl A1 (D)
3.264%, 04/15/30 2,620 2,620
Harborview Mortgage Loan Trust,
Ser 2004-8, Cl 2A4A (D)
3.490%, 11/19/34 509 510
Harborview Mortgage Loan Trust,
Ser 2005-1, Cl X, IO (D)
1.243%, 03/19/35 3,334 116
Home Equity Asset Trust, Ser 2002-1,
Cl M2 (D)
4.490%, 11/25/32 575 583
Household Mortgage Loan Trust,
Ser 2002-HC1, Cl M (D)
3.740%, 05/20/32 354 354
Indymac Home Equity Loan Asset-Backed
Trust, Ser 2002-A, Cl M1 (D)
3.840%, 05/25/33 550 553
Indymac Home Equity Loan Asset-Backed
Trust, Ser 2002-A, Cl M2 (D)
4.340%, 05/25/33 600 606
Indymac Index Mortgage Loan Trust,
Ser 2004-AR12, Cl AX2, IO (D)
0.810%, 12/25/34 5,227 189
Indymac Index Mortgage Loan Trust,
Ser 2004-AR5, Cl 2A1B (D)
3.490%, 08/25/34 647 648
Indymac Index Mortgage Loan Trust,
Ser 2004-AR6, Cl 6A1 (D)
5.528%, 10/25/34 454 464
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 91
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
Extended Duration Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Indymac Index Mortgage Loan Trust,
Ser 2004-AR7, Cl A2 (D)
3.520%, 09/25/34 $ 774 $ 775
Indymac Index Mortgage Loan Trust,
Ser 2004-AR8, Cl 2A2A (D)
3.490%, 11/25/34 620 620
Irwin Home Equity, Ser 2001-2, Cl M2
4.340%, 07/25/26 (D) 1,330 1,332
Irwin Home Equity, Ser 2003-A, Cl M2
5.240%, 10/25/27 (D) 525 537
Irwin Home Equity, Ser 2005-A, Cl A1
3.260%, 09/25/17 (D) 864 865
Master Alternative Loans Trust,
Ser 2003-3, Class 2A1
8.500%, 05/25/33 634 658
Master Seasoned Securities Trust,
Ser 2005-1, Cl 4A1 (D)
5.902%, 10/25/32 2,239 2,278
Mid-State Trust, Ser 2004-1, Cl B
8.900%, 08/15/37 519 561
Morgan Stanley Capital I,
Ser 2002-HE3, Cl M2 (D)
5.290%, 12/27/32 2,125 2,161
Morgan Stanley Capital I,
Ser 2004-HE4, Cl A3 (D)
3.290%, 05/25/34 509 509
Morgan Stanley Dean Witter Capital,
Ser 2002-HE1, Cl M2 (D)
4.390%, 07/25/32 850 865
Morgan Stanley Dean Witter Capital,
Ser 2002-HE2, Cl M2 (D)
4.340%, 08/25/32 850 856
Novastar Home Equity Loan,
Ser 2004-4, Cl A2A (D)
3.280%, 03/25/35 2,282 2,282
Novastar Home Equity Loan,
Ser 2004-4, Cl A2B (D)
3.430%, 03/25/35 2,600 2,609
Ownit Mortgage Loan, Ser 2005-1,
Cl A1 (D)
3.220%, 09/25/35 1,065 1,065
People's Choice Home Loan Securities
Trust, Ser 2005-1, Cl 1A2 (D)
3.360%, 10/25/31 2,500 2,506
Residential Asset Mortgage Products,
Ser 2004-RS11, Cl A2 (D)
3.360%, 12/25/33 2,750 2,760
Residential Asset Securities,
Ser 2004-KS11, Cl AI2 (D)
3.360%, 01/25/34 2,750 2,760
Residential Funding Mortgage
Securities, Ser 1999-HI8, Cl AI7
7.970%, 11/25/29 684 693
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Saxon Asset Securities Trust,
Ser 2004-3, Cl A3 (D)
3.430%, 12/26/34 $ 2,500 $ 2,512
Specialty Underwriting & Residential
Finance, Ser 2004-BC3, Cl A2B (D)
3.400%, 07/25/35 2,500 2,509
Structure Adjustable Rate Mortgage
Loan, Ser 2005-9, Cl 2A2A (D)
3.747%, 05/25/35 3 3
Washington Mutual, Ser 2000-1,
Cl M2 (D)
3.890%, 01/25/40 839 843
Washington Mutual, Ser 2002-AR17,
Cl 2A (D)
3.566%, 11/25/42 1,245 1,257
Washington Mutual, Ser 2003-AR6,
Cl A1 (D)
4.359%, 06/25/33 2,273 2,272
Washington Mutual, Ser 2004-AR12,
Cl A4A (D)
3.340%, 10/25/44 233 233
Washington Mutual, Ser 2004-AR3,
Cl A2
4.243%, 06/25/34 1,462 1,456
Washington Mutual, Ser 2005-AR1,
Cl A2A2 (D)
3.313%, 01/25/45 579 579
Washington Mutual, Ser 2005-AR2,
Cl 2A21 (D)
3.393%, 01/25/45 629 631
Washington Mutual, Ser 2005-AR2,
Cl 2A22 (D)
3.283%, 01/25/45 827 827
Washington Mutual, Ser 2005-AR6,
Cl 2AB1 (D)
3.280%, 04/25/45 841 841
--------
Total Asset-Backed Securities
(Cost $70,690) ($ Thousands) 70,693
--------
CORPORATE OBLIGATIONS -- 17.9%
CONSUMER DISCRETIONARY -- 3.2%
Alltel
4.656%, 05/17/07 725 731
DaimlerChrysler (D)
3.200%, 03/07/07 855 850
Ford Motor
8.900%, 01/15/32 549 493
7.450%, 07/16/31 1,302 1,089
General Motors
8.375%, 07/15/33 1,311 1,004
8.250%, 07/15/23 730 555
Rockwell Automation
5.200%, 01/15/98 164 154
--------
4,876
--------
- --------------------------------------------------------------------------------
92 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FINANCIALS -- 9.4%
Bank of America, Ser A (A)
8.070%, 12/31/26 $ 1,728 $ 1,886
BankBoston Capital Trust I, Ser B
8.250%, 12/15/26 655 718
Chase Capital III, Ser C (D)
3.460%, 03/01/27 555 521
Countrywide Financial (D)
3.469%, 05/05/08 1,200 1,199
Countrywide Home Loans MTN, Ser E
6.935%, 07/16/07 597 628
Credit Suisse First Boston London (A) (D)
9.650%, 03/24/10 569 551
Deutsche Bank Luxembourg (A)
6.825%, 12/28/07 304 321
EOP Operating (D)
3.700%, 10/01/10 430 432
Farmers Insurance Exchange Capital (A)
8.625%, 05/01/24 175 216
HSBC Capital Trust II (A)
8.380%, 05/15/27 41 46
MBNA (D)
3.640%, 05/05/08 1,400 1,401
Meridian Funding (A) (D)
3.320%, 10/06/08 496 496
Nationwide Mutual Insurance (A)
6.600%, 04/15/34 522 543
Pemex Finance
8.020%, 05/15/07 1,153 1,200
Power Receivables Financial (A)
6.290%, 01/01/12 369 384
Simon Property Group
7.375%, 01/20/06 1,310 1,337
Spieker Properties
7.650%, 12/15/10 660 764
Woodbourne Pass-Through Trust (A) (D)
4.190%, 04/08/49 700 698
Zurich Capital Trust I (A)
8.376%, 06/01/37 1,150 1,256
--------
14,597
--------
INDUSTRIALS -- 1.8%
America West Airlines, Ser 01-1
7.100%, 04/02/21 186 201
American Airlines, Ser AMBC
3.857%, 07/09/10 1,140 1,114
Continental Airlines, Ser 00-2
7.707%, 04/02/21 176 174
Continental Airlines, Ser 2202-1,
Cl G1 (D)
3.718%, 08/15/11 497 496
Continental Airlines, Ser AMBC
6.236%, 03/15/20 140 148
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Delta Air Lines (D)
3.911%, 01/25/08 $ 340 $ 340
Delta Air Lines, Ser 02-1, Cl G-1
6.718%, 01/02/23 184 191
Northwest Airlines, Ser 00-1
8.072%, 10/01/19 169 187
--------
2,851
--------
TELECOMMUNICATION SERVICES -- 1.2%
New England Telephone & Telegraph
7.650%, 06/15/07 1,786 1,891
--------
UTILITIES -- 2.3%
Entergy Gulf States (D)
3.310%, 12/01/09 450 451
Pinnacle West Energy (A) (D)
3.630%, 04/01/07 1,300 1,300
Power Contract Financing (A)
5.200%, 02/01/06 447 451
Sempra Energy
4.621%, 05/17/07 450 451
3.754%, 05/21/08 (D) 870 870
--------
3,523
--------
Total Corporate Obligations
(Cost $28,131) ($ Thousands) 27,738
--------
U.S. TREASURY OBLIGATIONS -- 15.0%
U.S. Treasury Bills (B) (C)
3.013%, 09/08/05 2,270 2,252
U.S. Treasury Bonds
6.250%, 08/15/23 3,961 4,880
U.S. Treasury Bonds
Forward Commitments
6.250%, 08/15/23
(Forward Settlement Date
09/21/05) 13,142 16,102
--------
Total U.S. Treasury Obligations
(Cost $22,648) ($ Thousands) 23,234
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 12.9%
FHLB (B)
2.961%, 06/15/05 1,250 1,249
FHLMC
6.500%, 08/01/29 858 891
2.998%, 07/05/05 (B) 3,200 3,191
2.920%, 06/28/05 (B) 7,500 7,483
FHLMC CMO, Ser 2459, Cl GE
6.500%, 04/15/31 558 563
FHLMC CMO, Ser 2469, Cl AK
6.000%, 04/15/30 600 608
FHLMC CMO, Ser 2748, Cl ZT
5.500%, 02/15/24 327 336
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 93
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
Extended Duration Fund (Concluded)
May 31, 2005
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC CMO, Ser 2820, Cl ZM
6.000%, 06/15/34 $ 141 $ 141
FHLMC, Ser 2391, Cl XE
6.000%, 05/15/27 487 495
FHLMC, Ser 2911, Cl Z
5.000%, 06/15/32 1,790 1,797
FNMA CMO, Ser 2001-13, Cl SA (D)
11.424%, 11/25/17 595 620
FNMA CMO, Ser 2001-48, Cl PD
6.500%, 06/25/20 677 688
FNMA CMO, Ser 2003-122, Cl ZQ
6.000%, 12/25/33 444 491
FNMA CMO, Ser 2004-12, Cl ZX
6.000%, 03/25/34 404 446
FNMA CMO, Ser 2004-80, Cl XZ
5.000%, 11/25/34 112 102
FNMA, Ser 2003-33, Cl PC
4.500%, 03/25/27 715 714
GNMA CMO, Ser 2003-112, Cl SG (D)
4.515%, 12/16/33 302 241
--------
Total U.S. Government Agency Obligations
(Cost $19,816) ($ Thousands) 20,056
--------
COMMERCIAL PAPER (B) -- 6.0%
FINANCIALS -- 6.0%
Alcoa
3.112%, 07/15/05 3,655 3,641
General Electric Capital
3.020%, 06/24/05 2,515 2,510
National Rural Utilities
3.038%, 06/16/05 3,105 3,101
--------
Total Commercial Paper
(Cost $9,252) ($ Thousands) 9,252
--------
CASH EQUIVALENT -- 1.0%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A+ 1,475,775 1,476
--------
Total Cash Equivalent
(Cost $1,476) ($ Thousands) 1,476
--------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 0.8%
FNMA
7.000%, 04/01/34 727 766
5.500%, 10/01/17 to 02/01/18 466 473
--------
Total U.S. Government Mortgage-Backed Obligations
(Cost $1,233) ($ Thousands) 1,239
--------
Total Investments -- 99.3%
(Cost $153,246) ($ Thousands) $153,688
========
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
As of May 31, 2005 there were the following Interest Rate Swap agreements
outstanding (See Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
Notional Net Unrealized
Expiration Amount Depreciation
Description Date ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Receive fixed rate of 4.706% and pay
floating rate based on 3 month LIBOR
(Counter Party: Barclays Capital) 06/02/25 9,720 (2)
Receive fixed rate of 4.938% and pay
floating rate based on 3 month LIBOR
(Counter Party: Citibank) 05/04/25 17,660 535
Receive fixed rate of 5.085% and pay
floating rate based on 3 month LIBOR
(Counter Party: Deutsche Bank) 12/14/24 14,035 693
Receive fixed rate of 5.098% and pay
floating rate based on 3 month LIBOR
(Counter Party: Deutsche Bank) 03/03/25 8,175 418
Receive fixed rate of 5.143% and pay
floating rate based on 3 month LIBOR
(Counter Party: Deutsche Bank) 01/07/25 21,660 1,229
Receive fixed rate of 5.216% and pay
floating rate based on 3 month LIBOR
(Counter Party: Barclays Capital) 04/04/25 49,000 3,252
Receive fixed rate of 5.216% and pay
floating rate based on 3 month LIBOR
(Counter Party: Deutsche Bank) 04/04/25 43,000 2,853
Receive fixed rate of 4.795% and pay
floating rate based on 3 month LIBOR
(Counter Party: Credit Suisse
First Boston) 02/14/25 6,890 81
Receive fixed rate of 4.965% and pay
floating rate based on 3 month LIBOR
(Counter Party: Credit Suisse
First Boston) 01/21/25 27,755 941
Receive fixed rate of 5.084% and pay
floating rate based on 3 month LIBOR
(Counter Party: Credit Suisse
First Boston) 12/14/24 21,050 1,038
Receive fixed rate of 5.216% and pay
floating rate based on 3 month LIBOR
(Counter Party: Credit Suisse
First Boston) 04/04/25 50,000 3,318
Receive fixed rate of 5.293% and pay
floating rate based on 3 month LIBOR
(Counter Party: Credit Suisse
First Boston) 12/02/24 4,000 304
- --------------------------------------------------------------------------------
Total $14,660
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $154,779,164.
+ 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) The rate reported is the effective yield at time of purchase.
(C) Security, or portion of this security, has been pledged as collateral on
open swap contracts.
(D) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of May 31, 2005.
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
LIBOR -- London InterBank Offering Rate
MTN -- Medium Term Note
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
94 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
International Equity Fund
May 31, 2005
- --------------------------------------------------------------------------------
[THE FOLLOWING WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
SECTOR WEIGHTINGS (UNAUDITED)++:
28.3% Financials
10.7% Consumer Discretionary
9.4% Industrials
9.2% Telecommunication Services
7.3% Consumer Staples
7.3% Energy
6.2% Health Care
5.7% Short-Term Investments
5.5% Material
3.8% Asset-Backed Securities
3.2% Information Technology
2.7% Utilities
0.6% Certificate of Deposit
0.1% U.S. Treasury Obligations
0.0% Foreign Convertible Bonds
0.0% Rights
++Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 95.0%
AUSTRALIA -- 2.5%
Amcor (B) 170,487 $ 876
BHP Billiton 660,900 8,354
BlueScope Steel 258,500 1,587
Brambles Industries 1,095,815 6,602
Foster's Group 141,637 580
Insurance Australia Group 260,931 1,157
Macquarie Airports 294,200 816
National Australia Bank 225,000 5,363
Newcrest Mining 346,630 3,494
Orica 19,646 234
Promina Group 165,194 638
Qantas Airways 293,778 717
QBE Insurance Group 449,870 5,002
Rinker Group 185,691 1,734
Telstra 531,317 2,021
Wesfarmers (B) 40,486 1,127
Woolworths 101,658 1,238
----------
41,540
----------
AUSTRIA -- 0.7%
Erste Bank der Oesterreichischen
Sparkassen 28,610 1,412
OMV 9,000 3,167
Raiffeisen International Bank Holding* 6,831 409
Telekom Austria (B) 389,653 7,289
----------
12,277
----------
BELGIUM -- 0.7%
Delhaize Group (B) 42,600 2,507
Fortis (B) 120,242 3,278
KBC Groep (B) 65,350 5,318
UCB 14,057 644
----------
11,747
----------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
BRAZIL -- 0.1%
Cia de Saneamento Basico do Estado
de Sao Paulo 6,170,000 $ 370
Gerdau ADR 46,950 472
Uniao de Bancos Brasileiros GDR 23,300 836
----------
1,678
----------
CANADA -- 2.1%
Abitibi-Consolidated 107,000 472
Alcan 148,100 4,464
Bank of Nova Scotia 86,400 2,738
Cameco 40,100 1,652
Great-West Lifeco 2,200 47
Inco 55,500 2,142
Manulife Financial 82,700 3,803
Methanex 37,900 696
Noranda 23,573 376
Potash Saskatchewan 37,900 3,407
Research In Motion* 47,200 3,909
Rogers Communications, Cl B 114,700 3,475
Royal Bank of Canada 35,131 2,101
Teck Cominco, Cl B 54,300 1,766
TELUS 49,300 1,583
Thomson 46,200 1,559
Toronto-Dominion Bank 21,500 919
----------
35,109
----------
CHINA -- 0.0%
China Petroleum & Chemical 1,106,000 405
----------
DENMARK -- 0.3%
Danske Bank 61,300 1,764
Novo-Nordisk, Cl B 30,000 1,548
TDC 48,400 2,144
----------
5,456
----------
FINLAND -- 0.6%
Fortum (B) 180,250 2,742
Nokia 396,750 6,682
UPM-Kymmene 36,900 715
----------
10,139
----------
FRANCE -- 10.8%
Accor (B) 46,825 2,168
Air Liquide (B) 12,595 2,197
Assurances Generales de France (B) 110,500 8,896
AXA 421,665 10,314
BNP Paribas (B) 169,856 11,462
Bouygues (B) 236,482 9,131
Carrefour 19,799 985
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 95
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
International Equity Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cie Generale D'Optique Essilor
International (B) 13,760 $ 947
Compagnie Generale des
Etablissements Michelin, Cl B (B) 12,968 822
Credit Agricole (B) 87,918 2,287
Dassault Systemes (B) 130,652 6,082
France Telecom (B)* 668,703 19,214
Groupe Danone (B) 112,542 10,387
L'Oreal (B) 20,195 1,470
Lafarge (B) 9,999 912
Lagardere S.C.A. (B) 68,050 4,865
Publicis Groupe 143,600 4,225
Renault (B) 42,303 3,633
Sanofi-Aventis (B) 385,981 34,933
Schneider Electric (B) 48,211 3,560
Societe Generale (B) 73,787 7,275
Total (B) 113,658 25,191
Vinci 57,570 4,326
Vivendi Universal (B) 207,345 6,339
----------
181,621
----------
GERMANY -- 6.4%
Allianz 22,076 2,610
BASF 60,100 4,001
Bayer 130,926 4,412
Bayerische Hypo-und Vereinsbank* 410,696 10,157
Bayerische Motoren Werke (B) 103,958 4,518
Continental 55,500 3,945
DaimlerChrysler 126,906 5,110
Deutsche Bank 15,245 1,189
Deutsche Boerse (B) 18,799 1,387
Deutsche Telekom 501,214 9,345
E.ON 76,960 6,687
HeidelbergCement 34,569 2,222
Hypo Real Estate Holding (B) 45,750 1,812
Infineon Technologies (B)* 447,485 3,934
Lanxess* 465 10
Linde 41,950 2,859
MAN (B) 53,100 2,353
Merck KGaA (B) 72,800 5,651
Muenchener Rueckversicherungs 39,380 4,324
SAP 61,005 10,093
Siemens* 234,649 17,196
Volkswagen (B) 67,395 2,974
----------
106,789
----------
HONG KONG -- 1.2%
China Mobile 1,804,800 6,600
CNOOC 7,359,100 4,068
Esprit Holdings 128,500 921
Hang Lung Group 255,000 436
Hang Lung Properties 525,000 763
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hutchison Whampoa 433,800 $ 3,778
Li & Fung 1,026,000 1,965
PCCW 1,111,000 678
Sun Hung Kai Properties 86,000 821
Swire Pacific, Cl A 84,500 722
----------
20,752
----------
HUNGARY -- 0.0%
Mol Magyar Olaj- es Gazipari 7,600 569
----------
INDIA -- 0.2%
Canara Bank 100,000 456
ICICI Bank 50,069 448
Infosys Technologies ADR (B) 15,700 1,136
Punjab National Bank 46,000 402
----------
2,442
----------
IRELAND -- 0.4%
Anglo Irish Bank 231,080 2,711
CRH 78,234 1,982
Depfa Bank 115,100 1,853
----------
6,546
----------
ISRAEL -- 0.1%
Bank Hapoalim 280,300 984
----------
ITALY -- 2.9%
Banca Popolare di Milano (B) 258,705 2,631
Enel (B) 432,500 3,898
ENI - Ente Nazionale Idrocarburi (B) 721,748 18,501
Fiat* 20,590 118
Sanpaolo IMI (B) 538,400 7,486
Telecom Italia 1,050,514 3,385
Telecom Italia RNC* 3,100,655 8,231
UniCredito Italiano (B) 803,091 4,170
----------
48,420
----------
JAPAN -- 21.7%
Advantest 23,400 1,776
Aeon 218,000 3,390
Aiful 37,025 2,745
Asatsu-DK 30,800 894
Bridgestone 55,000 1,095
Canon 427,341 23,394
Central Japan Railway 83 674
Chubu Electric Power 33,900 793
Dai Nippon Printing 600,000 9,575
Daito Trust Construction 22,200 842
Daiwa Securities Group 78,000 499
East Japan Railway 574 2,871
Fanuc 145,000 9,068
Fast Retailing 32,200 1,715
- --------------------------------------------------------------------------------
96 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Fuji Photo Film (B) 152,000 $ 4,767
Furukawa Electric* 211,000 883
Hirose Electric 20,700 2,216
Hitachi 1,962,100 11,870
Honda Motor 74,800 3,706
Hoya 7,200 810
Ibiden 73,000 1,903
Isetan 142,900 1,855
Ito-Yokado 158,400 5,423
Itochu 357,100 1,746
Japan Airlines (B) 308,000 892
Japan Tobacco 155 2,042
JFE Holdings 104,100 2,642
Kansai Electric Power 379,000 7,420
Kao 293,000 6,837
Kobe Steel 550,300 970
Komatsu 1,597,000 12,077
Kyocera 151,600 11,717
Lawson 66,700 2,451
Matsushita Electric Industrial 668,000 10,053
Millea Holdings 1,012 13,521
Mitsubishi 394,000 5,261
Mitsubishi Electric 714,000 3,922
Mitsubishi Estate 720,000 7,830
Mitsubishi Tokyo Financial Group 328 2,754
Mitsui 96,000 868
Mitsui OSK Lines 577,500 3,510
Mitsui Sumitomo Insurance 410,000 3,778
Mitsui Trust Holdings 454,400 4,499
Mizuho Financial Group 343 1,636
Murata Manufacturing 14,600 750
NEC 1,275,000 7,134
Nidec 9,800 1,082
Nikon (B) 97,000 1,088
Nintendo 9,700 1,039
Nippon Electric Glass 140,000 2,188
Nippon Meat Packers 115,200 1,438
Nippon Mining Holdings 284,400 1,573
Nippon Telegraph & Telephone 1,178 4,853
Nissan Motor 1,277,201 12,645
Nitto Denko 20,700 1,174
Nomura Holdings 312,000 3,980
NTT DoCoMo 2,754 4,165
OJI Paper 43,000 230
Oriental Land 94,800 5,665
ORIX 90,300 13,129
Osaka Gas 875,000 2,728
Promise 41,050 2,579
Ricoh 83,000 1,367
Rohm 50,400 4,761
Sankyo 114,200 2,347
Sanyo Shinpan Finance 21,600 1,513
Sega Sammy Holdings 19,400 1,129
Sekisui House 134,000 1,327
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Shimamura 9,300 $ 725
Shionogi 59,000 818
SMC (B) 19,400 2,079
Softbank 39,500 1,433
Sompo Japan Insurance 76,000 778
Sony 238,300 8,977
Square Enix 108,400 3,138
Sumitomo 296,000 2,392
Sumitomo Chemical 253,000 1,197
Sumitomo Forestry 82,000 722
Sumitomo Heavy Industries 369,000 1,842
Sumitomo Mitsui Financial Group 2,868 18,761
Suzuki Motor 184,700 3,042
T&D Holdings 14,900 755
Takeda Pharmaceutical 65,500 3,178
TDK 14,000 1,029
Tohoku Electric Power 35,600 720
Tokyo Electric Power 91,000 2,149
Tokyo Electron 46,300 2,612
Tokyo Gas (B) 1,481,000 5,854
Toyota Motor 107,000 3,832
UFJ Holdings* 1,261 6,447
Uni-Charm 17,400 714
Yahoo! Japan 327 664
Yamada Denki 29,900 1,642
Yamanouchi Pharmaceutical 167,500 6,030
Yamato Transport 172,100 2,427
----------
363,031
----------
LUXEMBOURG -- 0.3%
Arcelor 180,320 3,605
SES GLOBAL FDR 65,337 895
----------
4,500
----------
MEXICO -- 0.7%
America Movil, Ser L ADR (B) 151,985 8,615
Fomento Economico Mexicano ADR 52,750 2,888
----------
11,503
----------
NETHERLANDS -- 6.6%
ABN AMRO Holding (B) 790,034 18,398
Aegon 216,148 2,773
Akzo Nobel 84,775 3,340
CSM 94,004 2,764
Euronext 22,571 765
European Aeronautic Defense and Space 34,510 1,024
Heineken 115,738 3,681
Heineken Holding, Cl A 49,045 1,397
ING Groep (B) 613,191 17,021
Koninklijke Ahold* 86,225 653
Koninklijke Philips Electronics 34,600 885
Reed Elsevier 35,143 487
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 97
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
International Equity Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Royal Dutch Petroleum 444,871 $ 25,982
Royal Dutch Petroleum
(New York Shares) 34,500 2,021
Royal KPN 815,376 6,494
Royal Numico* 15,245 610
TNT 180,100 4,614
Unilever 235,236 15,656
VNU 77,535 2,115
----------
110,680
----------
NEW ZEALAND -- 0.2%
Telecom (B) 860,217 3,621
----------
NORWAY -- 1.0%
DNB (B) 108,700 1,060
Norsk Hydro (B) 102,950 8,417
Norske Skogindustrier 37,200 576
Statoil (B) 176,150 3,106
Tandberg 269,150 2,897
----------
16,056
----------
PHILIPPINES -- 0.0%
Philippine Long Distance Telephone* 19,800 538
----------
PORTUGAL -- 0.2%
Portugal Telecom 361,623 3,706
----------
SINGAPORE -- 0.7%
Flextronics International* 107,100 1,368
Singapore Telecommunications 4,200,360 6,569
United Overseas Bank 364,000 3,131
----------
11,068
----------
SOUTH AFRICA -- 0.5%
ABSA Group 95,800 1,170
Sanlam 421,700 700
Sasol 220,483 5,492
Telkom 30,700 505
----------
7,867
----------
SOUTH KOREA -- 1.1%
Honam Petrochemical 12,900 508
Hyundai Motor 17,600 990
Industrial Bank of Korea 47,100 418
INI Steel 29,790 442
Kookmin Bank 9,600 422
Nong Shim 1,170 353
POSCO 4,200 750
Samsung Electronics 3,250 1,576
Samsung Electronics GDR 38,634 9,291
Shinhan Financial Group 142,300 3,640
----------
18,390
----------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
SPAIN -- 3.9%
ACS Actividades 179,685 $ 4,792
Altadis 27,500 1,132
Banco Bilbao Vizcaya Argentaria 614,593 9,668
Banco Santander Central Hispano (B) 918,035 10,508
Endesa 130,200 2,841
Iberdrola 53,161 1,362
Inditex 65,535 1,864
Repsol (B) 561,298 14,076
Telefonica (B) 1,155,764 19,423
----------
65,666
----------
SWEDEN -- 1.8%
Atlas Copco, Cl A* 127,800 1,552
Nordea Bank 392,866 3,608
Sandvik 20,000 793
SKF* 59,462 200
SKF, Cl B 300,659 3,106
Svenska Cellulosa, Cl B 57,600 1,968
Telefonaktiebolaget LM Ericsson
ADR (B) 117,450 3,691
Telefonaktiebolaget LM Ericsson,
Cl B 1,071,000 3,385
Volvo, Cl B (B) 287,700 11,773
----------
30,076
----------
SWITZERLAND -- 7.5%
Adecco (B) 12,698 603
Compagnie Financiere Richemont,
Cl A* 137,883 4,208
Credit Suisse Group (B) 193,494 7,771
Geberit 1,262 831
Holcim (B) 187,698 11,443
Micronas Semiconductor Holdings* 12,000 451
Nestle 99,754 26,321
Novartis 579,402 28,365
Roche Holding 59,518 7,525
Serono, Cl B 1,061 649
SGS 3,885 2,735
Swiss Reinsurance (B) 50,367 3,127
Swisscom 6,991 2,347
Syngenta* 8,814 915
Synthes 8,728 961
UBS 310,750 24,024
Xstrata* 200,388 3,601
----------
125,877
----------
TAIWAN -- 0.6%
China Steel 574,000 560
Chunghwa Telecom ADR (B) 164,088 3,416
Compal Electronics 1,312,000 1,259
- --------------------------------------------------------------------------------
98 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Far EasTone Telecommunications GDR 19,700 $ 378
HON HAI Precision Industry GDR (B) 128,840 1,334
Taiwan Semiconductor Manufacturing 486,000 882
Taiwan Semiconductor Manufacturing
ADR 257,977 2,376
----------
10,205
----------
THAILAND -- 0.0%
PTT 101,300 491
----------
TURKEY -- 0.0%
Ford Otomotiv Sanayi 67,750 425
----------
UNITED KINGDOM -- 19.2%
Allied Domecq 812,036 10,256
ARM Holdings 151,859 299
AstraZeneca 85,821 3,652
AstraZeneca (SEK) 135,318 5,784
Aviva 247,727 2,781
BAA 157,109 1,782
Barclays 1,373,611 13,056
BHP Billiton 971,901 11,762
BOC Group 328,856 6,030
BP 2,772,656 27,844
Bradford & Bingley 135,921 765
Brambles Industries 82,265 451
British American Tobacco 255,420 4,860
British Land 61,476 975
BT Group 1,106,500 4,301
Bunzl 220,899 2,166
Cadbury Schweppes 1,714,770 16,751
Carnival 50,500 2,766
Diageo 121,170 1,746
GlaxoSmithKline 816,439 20,237
GUS 488,111 7,531
Hanson 73,653 682
Hays 1,766,030 3,999
HBOS 554,318 8,087
HSBC Holdings 815,420 12,900
Imperial Tobacco Group (B) 434,753 11,798
Intercontinental Hotels Group 217,222 2,524
ITV 641,496 1,339
J Sainsbury 329,825 1,718
Lloyds TSB Group 168,886 1,394
Mitchells & Butlers 262,000 1,542
National Grid Transco 1,169,078 11,453
Next 33,959 891
O2 2,066,700 4,802
Pearson 349,807 4,201
Persimmon 123,500 1,683
Punch Taverns 127,890 1,590
Reckitt Benckiser 334,886 10,254
Reed Elsevier 1,088,486 10,415
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Rio Tinto 183,300 $ 5,452
Rolls-Royce Group* 800,314 3,956
Rolls-Royce Group, Cl B 34,530,750 64
Royal & Sun Alliance Insurance
Group 527,000 740
Royal Bank of Scotland Group 563,988 16,611
Scottish & Southern Energy 63,060 1,128
Scottish Power 315,900 2,669
Shell Transport & Trading 357,335 3,110
Signet Group 1,259,700 2,359
Standard Chartered 168,193 3,056
Tate & Lyle 220,800 1,905
Taylor Woodrow 218,200 1,260
Trinity Mirror 64,100 728
Unilever 396,180 3,874
Vodafone Group 13,217,822 33,425
Whitbread 98,985 1,642
Wimpey George 176,600 1,370
Wolseley 106,541 2,187
----------
322,603
----------
Total Common Stock
(Cost $1,378,098) ($ Thousands) 1,592,777
----------
CORPORATE OBLIGATIONS (C) (D) -- 8.8%
FINANCIALS -- 8.8%
ASIF Global Financing XV (F)
3.020%, 09/02/05 $ 470 471
Allstate Life Global Funding II, MTN (F)
3.080%, 06/15/06 2,331 2,331
American General Finance (F)
3.090%, 06/15/06 4,561 4,561
Bear Stearns EXL
3.100%, 06/15/06 9,021 9,021
CCN Bluegrass (F)
3.170%, 02/21/06 3,294 3,294
CIT Group MTN
3.260%, 05/12/06 12,670 12,670
3.199%, 07/29/05 577 578
3.163%, 04/19/06 1,267 1,268
Caterpillar Financial Services MTN, Ser F
3.250%, 07/11/05 2,534 2,534
Countrywide Home Loans MTN, Ser A
3.120%, 03/21/06 4,156 4,156
Countrywide Home Loans MTN, Ser M
3.389%, 08/26/05 1,520 1,520
3.152%, 06/23/05 3,091 3,091
3.040%, 11/30/05 5,777 5,777
2.810%, 01/31/06 1,115 1,115
Dekabank (F)
3.206%, 05/19/06 9,376 9,374
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 99
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
International Equity Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Five Finance MTN (F)
3.100%, 09/22/05 $ 7,197 $ 7,195
Harrier Finance Funding MTN (F)
3.034%, 09/15/05 1,470 1,470
Harrier Finance Funding MTN, Ser 1 (F)
3.016%, 06/15/05 4,409 4,409
Irish Life & Permanent MTN, SerX (F)
3.101%, 06/22/06 4,713 4,713
Jackson National Life Funding (F)
3.064%, 05/01/06 11,150 11,150
K2 MTN (F)
2.995%, 12/12/05 304 304
Lakeside Funding
3.120%, 06/08/05 2,534 2,534
Liberty Lighthouse US Capital MTN (F)
3.118%, 05/10/06 5,068 5,065
Morgan Stanley EXL
3.089%, 05/04/06 1,774 1,774
Morgan Stanley EXL, Ser S
3.085%, 06/02/06 2,534 2,534
Nationwide Building Society (F)
3.090%, 01/06/06 5,068 5,068
3.083%, 10/28/05 2,534 2,534
Northern Rock (F)
3.099%, 02/03/06 5,220 5,220
Pacific Life Global Funding (F)
3.080%, 06/13/06 3,801 3,801
Premium Asset Trust, Ser 2004-01 (F)
3.100%, 02/06/06 3,750 3,753
Premium Asset Trust, Ser 2004-10 (F)
3.100%, 04/14/06 7,095 7,095
SLM EXL, Ser S (F)
3.090%, 05/15/06 5,575 5,575
SLM MTN, Ser X (F)
3.090%, 06/20/06 10,136 10,136
White Pine Finance MTN, Ser 1 (F)
3.071%, 11/01/05 2,230 2,230
----------
Total Corporate Obligations
(Cost $148,321) ($ Thousands) 148,321
----------
ASSET-BACKED SECURITIES (C) (D) (F) -- 4.5%
AUTOMOTIVE -- 0.8%
Capital Auto Receivables Asset Trust,
Ser 2005-SN1A, Cl A1
3.327%, 05/15/06 12,260 12,260
Drivetime Auto Owner Trust
3.110%, 03/15/06 1,208 1,208
----------
13,468
----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MORTGAGE RELATED SECURITIES -- 3.7%
Aire Valley Mortgages,
Ser 2004-1A, Cl 1A
3.090%, 09/20/05 $ 3,244 $ 3,244
Blue Heron Funding, Ser 6A, Cl A1
3.129%, 06/21/05 1,014 1,014
Blue Heron Funding, Ser 9A, Cl A1
3.120%, 02/22/06 5,068 5,068
CCN Independence IV
3.160%, 10/17/05 2,787 2,787
3.160%, 01/17/06 1,774 1,774
Cheyne High Grade, Ser 2004-1A,
Cl A1
3.250%, 11/10/05 2,914 2,914
Commodore, Ser 2003-2A, Cl A1MM
3.100%, 12/12/38 2,331 2,331
Duke Funding
2.680%, 04/10/06 3,801 3,801
Harwood Street Funding I,
Ser 2004-1A, Cl Note
3.140%, 09/20/05 7,197 7,197
Harwood Street Funding II,
Ser 2005-A1, Cl NOTE
3.141%, 06/25/06 5,068 5,068
Orchard Structured Finance CDO,
Ser 2003-1A, Cl A1MM
3.370%, 11/18/05 4,953 4,953
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AMM2
3.140%, 11/25/05 8,150 8,150
RMAC, Ser 2004-NS2A, Cl A1
3.080%, 06/13/05 903 903
RMAC, Ser 2004-NS3A, Cl A1
3.090%, 06/12/05 2,130 2,130
Saturn Ventures II
3.150%, 08/08/05 5,626 5,626
TIAA Real Estate, Ser 2003-1A, Cl A1
3.131%, 03/28/06 3,272 3,272
Whitehawk CDO Funding, Ser 2004-1A,
Cl AMMB
3.040%, 06/15/05 1,267 1,267
Whitehawk CDO Funding, Ser 2004-1A,
Cl AMMC
3.030%, 09/15/05 912 912
----------
62,411
----------
Total Asset-Backed Securities
(Cost $75,879) ($ Thousands) 75,879
----------
- --------------------------------------------------------------------------------
100 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (E) -- 2.3%
FINANCIALS -- 2.3%
Ajax Bambino Funding
3.119%, 07/06/05 (C) $ 5,068 $ 5,053
Altimira Funding
3.004%, 06/16/05 (C) 660 659
Beethoven Funding
3.109%, 07/05/05 (C) 2,534 2,527
3.013%, 06/13/05 (C) 2,547 2,545
Brahms Funding
3.000%, 06/02/05 (C) 6,536 6,535
Capital One Multi-Asset Funding
3.025%, 06/20/05 (C) 2,027 2,024
3.002%, 06/07/05 (C) 1,774 1,773
Cobbler Funding
3.057%, 06/28/05 (C) 928 925
Cre-8 Funding
3.106%, 06/23/05 (C) 1,774 1,770
Golden Fish
3.066%, 06/22/05 (C) 2,638 2,633
3.065%, 06/20/05 (C) 1,646 1,643
3.055%, 06/21/05 (C) 760 759
3.053%, 06/14/05 (C) 2,038 2,036
Rams Funding
3.121%, 06/06/05 (C) 2,534 2,533
Wells Fargo
2.940%, 06/06/05 4,253 4,251
----------
Total Commercial Paper
(Cost $37,666) ($ Thousands) 37,666
----------
CASH EQUIVALENT -- 1.8%
SEI Daily Income Trust,
Prime Obligations Fund, Cl A+ 30,672,273 30,672
----------
Total Cash Equivalent
(Cost $30,672) ($ Thousands) 30,672
----------
MASTER NOTES (C) -- 1.1%
Bank of America Master Notes
3.143%, 06/01/05 12,670 12,670
Bear Stearns Master Notes
3.234%, 06/01/05 6,082 6,082
----------
Total Master Notes
(Cost $18,752) ($ Thousands) 18,752
----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
TIME DEPOSITS -- 0.8%
Brown Brothers Harriman
5.900%, 06/01/05 NZD 82 $ 58
5.500%, 06/01/05 ZAR 358 53
4.600%, 06/01/05 AUD 158 119
3.869%, 06/01/05 GBP 384 700
2.520%, 06/01/05 $12,202 12,202
1.600%, 06/01/05 CAD 201 160
1.250%, 06/01/05 DKK 774 129
1.100%, 06/01/05 SEK 1,485 201
1.010%, 06/01/05 SGD 137 82
0.790%, 06/01/05 NOK 1,999 312
----------
Total Time Deposits
(Cost $14,016) ($ Thousands) 14,016
----------
CERTIFICATES OF DEPOSIT (C)(D) -- 0.7%
U.S. Trust
3.215%, 09/14/05 5,068 5,068
Washington Mutual Bank
3.270%, 08/18/05 5,980 5,980
----------
Total Certificates of Deposit
(Cost $11,048) ($ Thousands) 11,048
----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 101
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
International Equity Fund (Concluded)
May 31, 2005
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
PREFERRED STOCK -- 0.6%
AUSTRALIA -- 0.0%
News 38,229 $ 629
----------
BRAZIL -- 0.2%
Braskem 62,280 593
Petroleo Brasileiro 30,000 1,265
Suzano Bahia Sul Papel e Celulose 64,000 281
Usinas Siderurgicas de Minas Gerais,
Cl A 29,000 550
----------
2,689
----------
GERMANY -- 0.4%
Porsche 9,435 6,582
----------
Total Preferred Stock
(Cost $8,541) ($ Thousands) 9,900
----------
U.S. TREASURY OBLIGATIONS -- 0.1%
U.S. Treasury Bills (A)
2.932%, 08/25/05 $ 1,805 1,793
----------
Total U.S. Treasury Obligations
(Cost $1,793) ($ Thousands) 1,793
----------
FOREIGN CONVERTIBLE BONDS -- 0.0%
Credit Suisse Group CV to
32.3311 Shares (CHF)
6.000%, 12/23/05 317 350
----------
Total Foreign Convertible Bonds
(Cost $229) ($ Thousands) 350
----------
Number of
Rights
---------
RIGHTS -- 0.0%
SWEDEN -- 0.0%
Sandvik, Expires 06/08/05* (B) 20 12
----------
Total Rights
(Cost $0) ($ Thousands) 12
----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (C) -- 3.0%
Barclays Capital
3.040%, dated 05/31/05, to be
repurchased on 06/01/05,
repurchase price $7,976,086
(collateralized by U.S. Government
Obligation, par value $8,300,981,
0.000%, 12/28/05; with total
market value $8,134,961) $ 7,975 $ 7,975
Lehman Brothers
3.040%, dated 05/31/05, to be
repurchased on 06/01/05,
repurchase price $6,335,537
(collateralized by various
U.S. Government Obligations,
ranging in par value $76,780-
$3,826,037, 0.000%-4.375%,
10/15/06-10/15/16; with total
market value $6,461,933) 6,335 6,335
UBS Paine Webber
3.050%, dated 05/31/05, to be
repurchased on 06/01/05,
repurchase price $35,479,016
(collateralized by various
U.S. Government Obligations,
ranging in par value $1,480,617-
$9,528,096, 0.000%-8.875%,
04/15/07-05/15/30; with total
market value $36,185,653) 35,476 35,476
----------
Total Repurchase Agreements
(Cost $49,786) ($ Thousands) 49,786
----------
Total Investments -- 118.7%
(Cost $1,774,801) ($ Thousands) 1,990,972
----------
OTHER ASSETS AND LIABILITIES -- (18.7)%
Payable upon Return on Securities Loaned (337,201)
Payable for Capital Shares Redeemed (6,451)
Payable for Investment Securities Purchased (6,337)
Investment Advisory Fees Payable (557)
Trustees' Fees Payable (6)
Other Assets and Liabilities, Net 36,834
----------
Total Other Assets and Liabilities (313,718)
----------
Net Assets -- 100.0% $1,677,254
==========
- --------------------------------------------------------------------------------
102 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $1,576,912
Undistributed net investment income 14,517
Accumulated net realized loss on investments
and futures contracts (130,073)
Net unrealized appreciation on investments 216,171
Net unrealized appreciation on futures contracts 127
Net unrealized depreciation on foreign currencies
and translation of other assets and liabilities
denominated in foreign currencies (400)
----------
Net Assets $1,677,254
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($1,677,254,020 / 150,362,442 shares) $11.15
======
A summary of the open futures contracts held by the fund at May 31, 2005, is as
follows: (see Note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------------------
UNREALIZED
CONTRACT APPRECIATION
TYPE OF NUMBER OF VALUE EXPIRATION (DEPRECIATION)
CONTRACT CONTRACTS ($ THOUSANDS) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
DJ Euro Stoxx 464 $17,703 06/20/05 $ 356
FTSE 100 Index 159 14,385 06/20/05 48
Hang Seng Index 13 1,162 06/30/05 21
SPI 200 Index 49 3,821 06/21/05 (10)
Topix Index 108 11,439 06/13/05 (288)
-----
$ 127
-----
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
* 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 May 31,
2005 (see Note 9) The total value of securities on loan at May 31, 2005 was
$315,327 ($Thousands).
(C) This security was purchased with cash collateral held from securities
lending. The total value of such securities as of May 31, 2005 was $337,201
($Thousands). (See Note 9)
(D) Variable Rate Security -- The rate reported on the Statement of Net Assets
is the rate in effect as of May 31, 2005.
(E) The rate reported is the effective yield at time of purchase.
(F) This security, which was purchased with cash collateral, was sold within the
terms of private placement memorandum, exempt from registration under
Section 3A-4, 4(2), or 144A of the Securities Act of 1933, as amended, and
may be sold only to dealers in that program or other "accredited investors."
ADR -- American Depositary Receipt
AUD -- Australian Dollar
CAD -- Canadian Dollar
Cl -- Class
CV -- Convertible
DKK -- Danish Krone
EXL -- Extendable Maturity
FDR -- Fiduciary Depositary Receipt
GBP -- Great Britain Pound
GDR -- Global Depositary Receipt
MTN -- Medium Term Note
NOK -- Norwegian Krone
NZD -- New Zealand Dollar
SEK -- Swedish Krona
Ser -- Series
SGD -- Singapore Dollar
ZAR -- South African Rand
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 103
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
World Equity Ex-US Fund
May 31, 2005
- --------------------------------------------------------------------------------
[THE FOLLOWING WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
SECTOR WEIGHTINGS (UNAUDITED)++:
27.1% Financials
10.3% Industrials
10.0% Telecommunication Services
9.4% Consumer Discretionary
7.6% Energy
6.6% Health Care
5.9% Materials
5.5% Consumer Staples
4.8% Exchange Traded Fund
3.7% Information Technology
3.5% Short-Term Investments
2.9% Utilities
2.2% Asset-Backed Securities
0.3% Certificates of Deposit
0.2% U.S. Treasury Obligations
0.0% Foreign Convertible Bonds
0.0% Rights
++Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 95.9%
ARGENTINA -- 0.2%
Telecom Argentina ADR* 35,130 $ 429
--------
AUSTRALIA -- 2.8%
Amcor 20,613 106
BHP Billiton 90,400 1,143
BlueScope Steel 50,300 309
Brambles Industries (B) 154,685 932
Foster's Group 24,894 102
Insurance Australia Group 35,069 155
Macquarie Airports 132,000 366
National Australia Bank 30,700 732
Newcrest Mining 86,900 876
News 2,988 49
Promina Group 28,206 109
Qantas Airways 39,018 95
QBE Insurance Group 103,861 1,155
Rinker Group 23,332 218
Wesfarmers 4,614 128
Woolworths 13,209 161
--------
6,636
--------
AUSTRIA -- 0.3%
Erste Bank der Oesterreichischen
Sparkassen 3,490 172
OMV 1,300 457
Raiffeisen International Bank Holding* 469 28
Telekom Austria (B) 6,769 127
--------
784
--------
BELGIUM -- 0.7%
Delhaize Group (B) 7,600 447
Fortis 3,052 83
KBC Groep (B) 12,600 1,026
UCB 2,243 103
--------
1,659
--------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
BRAZIL -- 1.4%
Braskem 58,100 $ 553
Cia Brasileira de Distribuicao Grupo
Pao de Acucar ADR 12,200 265
Cia Vale do Rio Doce ADR 17,700 514
Gerdau ADR 8,850 89
Petroleo Brasileiro 6,400 270
Petroleo Brasileiro ADR 11,800 557
Tele Norte Leste Participacoes ADR 28,000 427
Uniao de Bancos Brasileiros GDR 16,010 574
--------
3,249
--------
CANADA -- 2.8%
Abitibi-Consolidated 20,800 92
Alcan 19,700 594
Bank of Nova Scotia 17,600 558
Cameco 4,800 198
Canadian Natural Resources 11,400 329
Inco 8,300 320
Manulife Financial 14,800 681
Methanex 4,000 73
Noranda 3,277 52
Potash Saskatchewan 5,000 450
Research In Motion* 11,750 973
Rogers Communications, Cl B 28,625 867
Teck Cominco, Cl B 22,710 739
TELUS 7,200 231
Thomson 5,300 179
Toronto-Dominion Bank 2,700 115
--------
6,451
--------
CHILE -- 0.2%
Empresa Nacional de Electricidad ADR 21,400 492
--------
CHINA -- 0.5%
China Petroleum & Chemical 1,216,000 445
China Shipping Development 430,000 343
China Telecom 1,141,000 400
--------
1,188
--------
COLOMBIA -- 0.0%
BanColombia ADR 1,100 16
--------
CZECH REPUBLIC -- 0.1%
Cesky Telecom GDR 10,500 195
--------
DENMARK -- 0.4%
Danske Bank 12,700 366
Novo-Nordisk, Cl B 4,000 206
TDC 6,400 283
--------
855
--------
- --------------------------------------------------------------------------------
104 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
FINLAND -- 1.0%
Fortum 44,400 $ 675
Nokia 71,910 1,211
Sampo 20,600 292
UPM-Kymmene 5,100 99
--------
2,277
--------
FRANCE -- 10.4%
Accor 6,575 304
Air Liquide 1,830 319
Assurances Generales de France (B) 24,650 1,984
AXA 58,135 1,422
BNP Paribas (B) 14,279 964
Bouygues (B) 45,428 1,754
Carrefour 2,401 120
Cie Generale D'Optique Essilor
International 1,940 134
Compagnie Generale des
Etablissements Michelin, Cl B 1,732 110
Credit Agricole (B) 17,830 464
Dassault Systemes (B) 18,248 849
France Telecom (B)* 8,800 253
Groupe Danone (B) 15,358 1,418
L'Oreal 2,705 197
Lafarge 1,201 110
Lagardere S.C.A. (B) 17,050 1,219
Publicis Groupe 19,100 562
Renault (B) 11,497 987
Sanofi-Aventis (B) 53,522 4,844
Schneider Electric 6,489 479
Societe Generale (B) 8,167 805
Thomson (B) 10,800 274
Total (B) 10,400 2,305
Vinci 14,415 1,083
Vivendi Universal 44,855 1,371
--------
24,331
--------
GERMANY -- 5.6%
Allianz 3,024 358
BASF 8,200 546
Bayer 6,499 219
Bayerische Hypo-und Vereinsbank* 55,604 1,375
Continental 11,500 818
DaimlerChrysler 17,118 689
Deutsche Bank 2,155 168
Deutsche Boerse 2,131 157
Deutsche Telekom 21,000 392
E.ON 12,940 1,124
Epcos* 7,500 97
HeidelbergCement 7,900 508
Hypo Real Estate Holding (B) 11,300 448
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Infineon Technologies* 59,515 $ 523
Lanxess* 5 --
MAN (B) 9,600 425
Merck KGaA 16,485 1,280
Muenchener Rueckversicherungs 5,200 571
SAP 8,495 1,405
Siemens* 20,964 1,536
Volkswagen 11,405 503
--------
13,142
--------
HONG KONG -- 1.6%
China Mobile 243,700 891
CNOOC 1,814,900 1,003
Esprit Holdings 10,000 72
Hang Lung Group 33,000 56
Hang Lung Properties 64,000 93
Hutchison Whampoa 109,200 951
Li & Fung 136,000 261
PCCW 64,000 39
Sun Hung Kai Properties 12,000 115
Swire Pacific, Cl A 13,500 115
Wing Hang Bank 16,500 118
Wing Lung Bank 13,700 104
--------
3,818
--------
HUNGARY -- 0.2%
Gedeon Richter 3,230 424
Mol Magyar Olaj- es Gazipari 1,400 105
--------
529
--------
INDIA -- 1.0%
GAIL India GDR 13,950 409
Hindalco Industries GDR 15,180 397
ICICI Bank ADR 22,920 445
Infosys Technologies ADR (B) 2,000 145
Ranbaxy Laboratories GDR 20,830 546
Reliance Industries GDR 16,600 417
--------
2,359
--------
INDONESIA -- 0.2%
Astra International 141,500 174
Telekomunikasi Indonesia 700,300 343
--------
517
--------
IRELAND -- 0.6%
Anglo Irish Bank 58,000 680
CRH 9,994 253
Depfa Bank 27,300 440
--------
1,373
--------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 105
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
World Equity Ex-US Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ISRAEL -- 0.2%
Bank Hapoalim 109,400 $ 384
Bank Leumi Le-Israel 22,900 65
--------
449
--------
ITALY -- 2.1%
Banca Popolare di Milano (B) 64,475 655
Enel 59,200 534
ENI - Ente Nazionale Idrocarburi 82,936 2,126
Fiat* 17,770 102
Sanpaolo IMI (B) 73,200 1,018
Telecom Italia 141,000 454
--------
4,889
--------
JAPAN -- 19.3%
Advantest 3,200 243
Aeon 27,000 420
Aiful 4,250 315
Bridgestone 9,000 179
Canon 42,700 2,338
Chubu Electric Power 4,300 101
Circle K Sunkus 3,400 77
Daito Trust Construction 3,900 148
East Japan Railway 139 695
Fanuc 19,600 1,226
Fast Retailing 4,200 224
Furukawa Electric* 24,000 100
Hirose Electric 2,700 289
Hitachi 283,900 1,718
Honda Motor 15,500 768
Hoya 1,200 135
Ibiden 18,350 478
Isetan 18,500 240
Ito-Yokado 21,500 736
Itochu 47,900 234
Japan Airlines 38,000 110
Japan Tobacco 54 711
JFE Holdings 25,200 640
Kansai Electric Power 11,300 221
Kobe Steel 198,700 350
Komatsu 218,000 1,649
Kyocera 11,000 850
Leopalace21 18,800 289
Matsushita Electric Industrial 90,000 1,354
Millea Holdings 116 1,550
Mitsubishi 76,400 1,020
Mitsubishi Estate 57,000 620
Mitsubishi Tokyo Financial Group 42 353
Mitsui 12,000 109
Mitsui Chemicals 56,000 321
Mitsui OSK Lines 141,500 860
Mitsui Sumitomo Insurance 9,000 83
Mitsui Trust Holdings 113,200 1,121
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Mizuho Financial Group 49 $ 234
Murata Manufacturing 1,900 98
NEC 73,000 408
Nidec 1,300 144
Nikon 12,000 135
Nintendo 1,100 118
Nippon Electric Glass 11,000 172
Nippon Meat Packers 23,800 297
Nippon Mining Holdings 65,600 363
Nippon Telegraph & Telephone 88 363
Nissan Motor 201,400 1,994
Nitto Denko 3,100 176
Nomura Holdings 42,000 536
Oriental Land 5,900 353
ORIX 16,400 2,384
Promise 8,100 509
Rengo 21,000 110
Ricoh 11,000 181
Rohm 2,000 189
Sankyo 15,200 312
Sankyo Gunma 2,700 119
Sanyo Shinpan Finance 4,800 336
Sega Sammy Holdings 4,800 279
Sekisui House 19,000 188
Shimamura 1,400 109
Shionogi 5,000 69
SMC 2,700 289
Softbank 5,800 210
Sompo Japan Insurance 14,000 143
Sony 32,100 1,209
Square Enix 27,100 785
Sumitomo 37,000 299
Sumitomo Chemical 21,000 99
Sumitomo Forestry 6,000 53
Sumitomo Heavy Industries 78,000 389
Sumitomo Metal Industries 189,000 323
Sumitomo Mitsui Financial Group 441 2,885
Suzuki Motor 24,700 407
T&D Holdings 2,100 106
Takeda Pharmaceutical 15,300 742
TDK 2,000 147
Tohoku Electric Power 5,900 119
Tokyo Electric Power 21,400 505
Tokyo Electron 6,400 361
Tokyo Gas (B) 49,000 194
Toyota Motor 23,700 849
UFJ Holdings* 224 1,145
Uni-Charm 2,500 103
Yahoo! Japan 10 20
Yamada Denki 4,400 242
Yamanouchi Pharmaceutical 5,900 212
Yamato Transport 23,000 324
--------
45,211
--------
- --------------------------------------------------------------------------------
106 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
LUXEMBOURG -- 0.5%
Arcelor 42,300 $ 845
SES GLOBAL FDR 28,963 401
--------
1,246
--------
MALAYSIA -- 0.8%
IOI 145,000 351
Malaysia International Shipping 99,800 457
Public Bank (Foreign Market) 187,600 331
Resorts World 150,200 381
Sime Darby 229,000 350
--------
1,870
--------
MEXICO -- 1.7%
Alfa 105,780 606
America Movil, Ser L ADR 28,450 1,612
Consorcio 114,500 371
Fomento Economico Mexicano ADR 13,110 718
Grupo Financiero Banorte 86,100 572
--------
3,879
--------
NETHERLANDS -- 4.2%
ABN AMRO Holding (B) 84,069 1,958
Aegon 19,113 245
Euronext 4,729 160
European Aeronautic Defense & Space 17,020 505
Heineken 14,374 457
Heineken Holding, Cl A 8,098 231
ING Groep 84,112 2,335
Koninklijke Ahold* 12,875 98
Koninklijke Philips Electronics 10,200 261
Reed Elsevier 1,857 26
Royal Dutch Petroleum 34,357 2,007
Royal Dutch Petroleum
(New York Shares) 2,700 158
Royal KPN 46,882 373
Royal Numico* 3,255 130
TNT 27,100 694
VNU 10,050 274
--------
9,912
--------
NORWAY -- 1.3%
DNB 8,500 83
Norsk Hydro (B) 18,410 1,505
Norske Skogindustrier (B) 2,900 45
Statoil (B) 43,250 763
Tandberg 67,900 731
--------
3,127
--------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
PHILIPPINES -- 0.1%
Philippine Long Distance Telephone* 3,900 $ 106
SM Investments* 35,000 160
--------
266
--------
PORTUGAL -- 0.2%
Portugal Telecom 51,577 529
--------
RUSSIA -- 0.7%
LUKOIL ADR 12,720 444
MMC Norilsk Nickel ADR 5,780 337
Mobile Telesystems ADR 10,200 358
Sberbank GDR* 5,230 344
Surgutneftegaz ADR 7,150 249
--------
1,732
--------
SINGAPORE -- 0.7%
Flextronics International* 38,300 489
Singapore Telecommunications 715,000 1,118
United Overseas Bank 13,000 112
--------
1,719
--------
SOUTH AFRICA -- 1.3%
ABSA Group 29,500 360
Anglo American Platinum 6,580 285
Barloworld 25,100 327
Sanlam 293,950 488
Sappi 28,400 276
Sasol 45,457 1,132
Telkom 5,930 98
--------
2,966
--------
SOUTH KOREA -- 2.6%
CJ 5,700 407
Daelim Industrial 6,220 299
Daewoo Shipbuilding & Marine
Engineering 20,000 404
Hankook Tire 34,800 395
Honam Petrochemical 2,200 87
Hyundai Motor 6,100 343
Industrial Bank of Korea 10,680 95
Kookmin Bank 1,600 70
Kookmin Bank ADR 11,230 496
POSCO 1,100 196
Samsung Electronics 1,065 517
Samsung Electronics GDR 3,384 814
Samsung Fire & Marine Insurance 3,830 287
Shinhan Financial Group 45,810 1,172
Shinsegae 1,015 345
--------
5,927
--------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 107
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
World Equity Ex-US Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
SPAIN -- 3.9%
ACS Actividades 45,500 $ 1,214
Altadis 5,300 218
Banco Bilbao Vizcaya Argentaria 88,307 1,389
Banco Santander Central Hispano (B) 124,465 1,425
Endesa 29,600 646
Iberdrola 7,039 180
Inditex 9,365 266
Repsol 84,002 2,107
Telefonica (B) 82,197 1,381
Union Fenosa 9,700 293
--------
9,119
--------
SWEDEN -- 1.6%
Atlas Copco, Cl A* 16,600 205
Sandvik 2,800 111
Svenska Cellulosa, Cl B 14,700 502
Telefonaktiebolaget LM Ericsson
ADR (B) 25,350 797
Telefonaktiebolaget LM Ericsson,
Cl B 157,000 496
Volvo, Cl B (B) 38,900 1,592
--------
3,703
--------
SWITZERLAND -- 6.1%
Adecco 1,969 94
Compagnie Financiere Richemont,
Cl A* 18,405 562
Credit Suisse Group (B) 31,159 1,251
Geberit 159 105
Holcim (B) 11,293 688
Micronas Semiconductor Holdings* 4,300 162
Nestle 7,012 1,850
Novartis 66,842 3,272
Roche Holding 13,074 1,653
Serono, Cl B 169 103
SGS 990 697
Swiss Reinsurance (B) 7,002 435
Swisscom 938 315
Syngenta* 1,127 117
Synthes 1,272 140
UBS 27,530 2,128
Xstrata* 40,132 721
--------
14,293
--------
TAIWAN -- 1.7%
Advanced Semiconductor Engineering 690,000 503
Compal Electronics 360,000 346
Eva Airways* 1,030,000 512
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Fubon Financial Holding 75,000 $ 71
Fubon Financial Holding GDR* 36,000 337
HON HAI Precision Industry 115,000 603
HON HAI Precision Industry GDR 13,307 140
Taiwan Semiconductor Manufacturing
ADR 74,700 688
United Microelectronics* 690,000 466
Yuanta Core Pacific Securities 356,000 255
--------
3,921
--------
THAILAND -- 0.4%
Advanced Info Service 21,000 48
Advanced Info Service
(Foreign Shares) 124,400 286
Land and Houses NVDR 1,417,000 262
PTT 20,200 98
Siam Cement 54,700 329
--------
1,023
--------
TURKEY -- 0.5%
Ford Otomotiv Sanayi 10,320 65
Haci Omer Sabanci Holding 100,000 345
Turkcell Iletisim Hizmet 50,000 262
Turkiye Is Bankasi 84,000 458
--------
1,130
--------
UNITED KINGDOM -- 15.9%
Anglo American 13,400 320
ARM Holdings 11,641 23
AstraZeneca 20,379 867
AstraZeneca (SEK) 10,350 442
Aviva 62,000 696
Barclays 188,300 1,790
BHP Billiton 111,573 1,350
BP 277,900 2,791
Bradford & Bingley 17,579 99
Brambles Industries 6,335 35
British Land 7,124 113
BT Group 171,900 668
Cadbury Schweppes 194,440 1,900
Carnival 12,450 682
Diageo 16,130 232
GlaxoSmithKline 100,325 2,487
GUS 75,215 1,160
Hanson 11,747 109
HBOS 93,982 1,371
HSBC Holdings 110,480 1,748
Intercontinental Hotels Group 32,300 375
- --------------------------------------------------------------------------------
108 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
International Power 87,100 $ 307
J Sainsbury 74,900 390
Lloyds TSB Group 61,814 510
Mitchells & Butlers 60,500 356
National Grid Transco 53,100 520
Next 3,841 101
O2 514,700 1,196
Pearson 35,493 426
Persimmon 24,200 330
Punch Taverns 25,520 317
Reckitt Benckiser 34,078 1,043
Reed Elsevier 49,905 478
Rio Tinto 25,600 762
Rolls-Royce Group* 8,814 44
Royal & Sun Alliance Insurance Group 156,100 219
Royal Bank of Scotland Group 60,945 1,795
Scottish & Southern Energy 8,440 151
Scottish Power 78,950 667
Shell Transport & Trading 149,865 1,304
Signet Group 179,400 336
South African Breweries 14,700 226
Standard Chartered 20,807 378
Tate & Lyle 54,700 472
Trinity Mirror 17,700 201
Unilever 51,920 508
Vodafone Group 1,614,839 4,084
Whitbread 22,557 374
Wimpey George 53,700 416
--------
37,169
--------
VENEZUELA -- 0.1%
Cia Anonima Nacional Telefonos
de Venezuela ADR 17,040 324
--------
Total Common Stock
(Cost $229,457) ($ Thousands) 224,704
--------
CORPORATE OBLIGATIONS (C) (D) -- 4.9%
FINANCIALS -- 4.9%
ASIF Global Financing XV (F)
3.026%, 09/02/05 $ 37 37
Allstate Life Global Funding II, MTN (F)
3.080%, 06/15/06 181 181
American General Finance (F)
3.090%, 06/15/06 355 355
Bear Stearns EXL
3.100%, 06/15/06 702 702
CCN Bluegrass (F)
3.170%, 02/21/06 256 256
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CIT Group, MTN
3.260%, 05/12/06 $ 986 $ 986
3.199%, 07/29/05 45 45
3.163%, 04/19/06 99 99
Caterpillar Financial Services MTN, Ser F
3.250%, 07/11/05 197 197
Countrywide Home Loans MTN, Ser A
3.509%, 03/21/06 323 323
Countrywide Home Loans MTN, Ser M
3.389%, 08/26/05 118 118
3.152%, 06/23/05 241 241
3.040%, 11/30/05 450 450
2.810%, 01/31/06 87 87
Dekabank (F)
3.206%, 05/19/06 730 729
Five Finance MTN (F)
3.100%, 09/22/05 560 560
Harrier Finance Funding MTN (F)
3.034%, 09/15/05 114 114
Harrier Finance Funding MTN, Ser 1 (F)
3.016%, 06/15/05 343 343
Irish Life & Permanent MTN, Ser X (F)
3.101%, 06/22/06 367 367
Jackson National Life Funding (F)
3.064%, 05/01/06 867 867
K2 MTN (F)
2.995%, 12/12/05 24 24
Lakeside Funding
3.120%, 06/08/05 197 197
Liberty Lighthouse US Capital MTN (F)
3.118%, 05/10/06 394 394
Morgan Stanley EXL
3.089%, 05/04/06 138 138
Morgan Stanley EXL, Ser S
3.085%, 06/02/06 197 197
Nationwide Building Society (F)
3.090%, 01/06/06 394 394
3.083%, 10/28/05 197 197
Northern Rock (F)
3.099%, 02/03/06 406 406
Pacific Life Global Funding (F)
3.080%, 06/13/06 296 296
Premium Asset Trust, Ser 2004-01 (F)
3.100%, 04/14/06 552 552
Premium Asset Trust, Ser 2004-10 (F)
3.100%, 02/06/06 292 292
SLM EXL, Ser S (F)
3.090%, 06/20/06 789 789
SLM MTN, Ser X (F)
3.090%, 05/15/06 434 434
White Pine Finance MTN, Ser 1 (F)
3.071%, 11/01/05 174 173
--------
Total Corporate Obligations
(Cost $11,540) ($ Thousands) 11,540
--------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 109
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
World Equity Ex-US Fund (Continued)
May 31, 2005
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
EXCHANGE TRADED FUND -- 5.6%
CANADA -- 5.6%
iUnits S&P/TSX 60 Index Fund 301,900 $ 13,033
--------
Total Exchange Traded Fund
(Cost $13,205) ($ Thousands) 13,033
--------
ASSET-BACKED SECURITIES (C) (D) (F) -- 2.5%
AUTOMOTIVE -- 0.4%
Capital Auto Receivables Asset Trust,
Ser 2005-SN1A, Cl A1
3.327%, 05/15/06 $ 954 954
Drivetime Auto Owner Trust
3.110%, 03/15/06 94 94
--------
1,048
--------
MORTGAGE RELATED SECURITIES -- 2.1%
Aire Valley Mortgages,
Ser 2004-1A, Cl 1A
3.090%, 09/20/05 252 252
Blue Heron Funding, Ser 6A, Cl A1
3.129%, 06/21/05 79 79
Blue Heron Funding, Ser 9A, Cl A1
3.120%, 02/22/06 394 394
CCN Independence IV
3.160%, 10/17/05 217 217
3.160%, 01/17/06 138 138
Cheyne High Grade, Ser 2004-1A, Cl A1
3.250%, 11/10/05 227 227
Commodore, Ser 2003-2A, Cl A1MM
3.100%, 12/12/38 181 181
Duke Funding, Ser 2004-6B, Cl A1MM
2.680%, 04/10/06 296 296
Harwood Street Funding I,
Ser 2004-1A, Cl NOTE
3.140%, 09/20/05 560 560
Harwood Street Funding II,
Ser 2005-A1, Cl NOTE
3.141%, 06/25/06 394 394
Orchard Structured Finance CDO,
Ser 2003-1A, Cl A1MM
3.370%, 11/18/05 385 385
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AMM2
3.140%, 11/25/05 634 634
RMAC, Ser 2004-NS2A, Cl A1
3.080%, 06/13/05 70 70
RMAC, Ser 2004-NS3A, Cl A1
3.090%, 06/12/05 166 166
Saturn Ventures II
3.150%, 08/08/05 438 438
TIAA Real Estate, Ser 2003-1A, Cl A1
3.131%, 03/28/06 255 255
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMA
3.030%, 09/15/05 $ 71 $ 71
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMB
3.040%, 06/15/05 99 99
--------
4,856
--------
Total Asset-Backed Securities
(Cost $5,904) ($ Thousands) 5,904
--------
COMMERCIAL PAPER (E) -- 1.6%
FINANCIALS -- 1.6%
Ajax Bambino Funding (C)
3.119%, 07/06/05 394 393
Altimira Funding (C)
3.004%, 06/16/05 51 51
Beethoven Funding (C)
3.109%, 07/05/05 197 197
3.013%, 06/13/05 198 198
Brahms Funding (C)
3.000%, 06/02/05 509 509
Capital One Multi-Asset Funding (C)
3.025%, 06/20/05 158 157
3.002%, 06/07/05 138 138
Cobbler Funding (C)
3.057%, 06/28/05 72 72
Cre-8 Funding (C)
3.106%, 06/23/05 138 138
Golden Fish (C)
3.066%, 06/22/05 205 205
3.065%, 06/20/05 128 128
3.055%, 06/21/05 59 59
3.053%, 06/14/05 159 158
Rams Funding (C)
3.121%, 06/06/05 197 197
United Parcel
3.960%, 06/06/01 566 566
Wells Fargo
2.942%, 06/06/05 520 520
--------
Total Commercial Paper
(Cost $3,686) ($ Thousands) 3,686
--------
CASH EQUIVALENT -- 1.0%
SEI Daily Income Trust,
Prime Obligations Fund, Cl A+ 2,299,157 2,299
--------
Total Cash Equivalent
(Cost $2,299) ($ Thousands) 2,299
--------
- --------------------------------------------------------------------------------
110 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MASTER NOTES (C) -- 0.6%
Bank of America Master Notes
3.143%, 06/01/05 986 986
Bear Stearns Master Notes
3.234%, 06/01/05 473 473
--------
Total Master Notes
(Cost $1,459) ($ Thousands) 1,459
--------
TIME DEPOSITS -- 0.7%
Brown Brothers Harriman
5.500%, 06/01/05 ZAR 45 $ 7
3.869%, 06/01/05 GBP 49 90
2.520%, 06/01/05 $1,477 1,477
1.600%, 06/01/05 CAD 142 113
1.500%, 06/01/05 HKD 51 6
1.250%, 06/01/05 DKK 48 8
--------
Total Time Deposits
(Cost $1,701) ($ Thousands) 1,701
--------
CERTIFICATES OF DEPOSIT (C) (E) -- 0.4%
FINANCIALS -- 0.4%
U.S. Trust
3.215%, 09/14/05 $ 395 395
Washington Mutual Bank
3.270%, 08/18/05 465 465
--------
Total Certificates of Deposit
(Cost $860) ($ Thousands) 860
--------
PREFERRED STOCK -- 0.3%
BRAZIL -- 0.2%
Cia Energetica de Minas Gerais 18,950,000 578
--------
SOUTH KOREA -- 0.1%
Hyundai Motor 7,600 245
--------
Total Preferred Stock
(Cost $696) ($ Thousands) 823
--------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bills (A)
2.945%, 08/25/05 500 497
--------
Total U.S. Treasury Obligation
(Cost $497) ($ Thousands) 497
--------
FOREIGN CONVERTIBLE BONDS -- 0.0%
Credit Suisse Group CV to 32.3311
Shares (CHF)
6.000%, 12/23/05 24 27
--------
Total Foreign Convertible Bonds
(Cost $27) ($ Thousands) 27
--------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
RIGHTS -- 0.0%
Number of
Rights
--------
SWEDEN -- 0.0%
Sandvik*, Expires 06/08/05 3 $ 2
--------
Total Rights
(Cost $0) ($ Thousands) 2
--------
REPURCHASE AGREEMENTS (C) -- 1.7%
Barclays Capital
3.040%, dated 05/31/05, to be
repurchased on 06/01/05,
repurchase price $620,595
(collateralized by U.S. Government
Obligation, par value $645,874,
0.000%, 12/28/05; total market
value $632,957) $ 621 621
Lehman Brothers
3.040%, dated 05/31/05, to be
repurchased on 06/01/05,
repurchase price $492,949
(collateralized by various
U.S. Government Obligations,
ranging in par value $5,974-
$597,692, 0.000%-4.375%,
10/15/06-10/15/16; with total
market value $502,783) 493 493
UBS Paine Webber
3.050%, dated 05/31/05, to be
repurchased on 06/01/05,
repurchase price $2,760,515
(collateralized by various
U.S. Government Obligations,
ranging in par value $115,202-
$741,352, 0.000%-8.875%,
04/15/07-05/15/30; with total
market value $2,815,496) 2,760 2,760
--------
Total Repurchase Agreements
(Cost $3,874) ($ Thousands) 3,874
--------
Total Investments -- 115.4%
(Cost $275,205) ($ Thousands) 270,409
--------
OTHER ASSETS AND LIABILITIES -- (15.4)%
Payable upon Return on Securities Loaned (26,237)
Payable for Investment Securities Purchased (19,768)
Payable for Capital Shares Redeemed (454)
Investment Advisory Fees Payable (97)
Trustees' Fees Payable (1)
Other Assets and Liabilities, Net 10,544
--------
Total Other Assets and Liabilities -- (15.4)% (36,013)
--------
Net Assets -- 100.0% $234,396
========
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 111
<page>
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
World Equity Ex-US Fund (Concluded)
May 31, 2005
- --------------------------------------------------------------------------------
Market Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $238,598
Undistributed net investment income 1,493
Accumulated net realized loss on investments
and futures contracts (911)
Net unrealized depreciation on investments (4,796)
Net unrealized appreciation on futures contracts 23
Net unrealized depreciation on foreign currencies
and translation of other assets and liabilities
denominated in foreign currencies (11)
--------
Net Assets $234,396
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($234,396,279 / 23,904,966 shares) $9.81
=====
A summary of the open futures contracts held by the fund at May 31, 2005, is as
follows: (see Note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------------------
CONTRACT UNREALIZED
TYPE OF NUMBER OF VALUE EXPIRATION APPRECIATION
CONTRACT CONTRACTS ($ THOUSANDS) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
DJ Euro Stoxx 6 $229 06/20/05 $15
FTSE 100 Index 1 90 06/20/05 3
Hang Seng Index 1 89 06/30/05 2
Topix Index 1 106 06/13/05 3
---
$23
---
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
* 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 May 31,
2005 (see Note 9) The total value of securities on loan at May 31, 2005 was
$24,541 ($ Thousands).
(C) This security was purchased with cash collateral held from securities
lending. The total value of such securities as of May 31, 2005 was $26,237
($ Thousands). (See Note 9)
(D) Variable Rate Security -- The rate reported on the Statement of Net Assets
is the rate in effect as of May 31, 2005.
(E) The rate reported is the effective yield at time of purchase.
(F) This security, which was purchased with cash collateral, was sold within the
terms of private placement memorandum, exempt from registration under
Section 3A-4, 4(2), or 144A of the Securities Act of 1933, as amended, and
may be sold only to dealers in that program or other "accredited investors."
ADR -- American Depositary Receipt
CAD -- Canadian Dollar
Cl -- Class
CV -- Convertible
DKK -- Danish Krone
EXL -- Extendable Maturity
FDR -- Fiduciary Depositary Receipt
GBP -- Great Britain Pound
GDR -- Global Depositary Receipt
HKD -- Hong Kong Dollar
MTN -- Medium Term Note
NVDR -- Non-Voting Depositary Receipt
SEK -- Swedish Krona
Ser -- Series
ZAR -- South African Rand
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
112 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
Statements of Assets and Liabilities ($ Thousands)
May 31, 2005
- ------------------------------------------------------------------------------------------------------------------------------
CORE FIXED LONG EXTENDED
INCOME DURATION DURATION
FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value (Cost $5,444,007, $76,539 and $153,246,
respectively) $5,497,511 $76,366 $153,688
Repurchase agreements (Cost $530,750, $0 and $0, respectively) 530,750 -- --
Cash -- 11 --
Foreign currency, at value (Cost $1, $0 and $0, respectively) 1 -- --
Receivable for investment securities sold 655,682 627 2,434
Receivable for capital shares sold 32,961 -- --
Unrealized gain on forward foreign currency contracts 523 -- --
Dividends and interest receivable 32,993 1,290 2,813
Unrealized gain on swap contracts -- 2,568 14,660
Other assets -- 10 22
- ------------------------------------------------------------------------------------------------------------------------------
Total Assets 6,750,421 80,872 173,617
- ------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned 1,308,199 -- --
Payable for investment securities purchased 1,161,186 4,786 18,508
Income distribution payable 492 -- --
Bank overdraft 7,015 -- 275
Payable for capital shares redeemed 5,637 -- --
Options written, at fair value (premiums received $627, $0 and $0,
respectively) 1,061 -- --
Payable for Swap Contracts 306 -- --
Payable for Margin Variation 685 9 --
Investment advisory fees payable 336 -- 16
Trustees' fees payable 13 -- --
Accrued expense payable 242 23 39
- ------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 2,485,172 4,818 18,838
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets $4,265,249 $76,054 $154,779
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Paid in Capital
(unlimited authorization -- no par value) $4,210,842 $72,782 $135,939
Undistributed net investment income 402 8 4
Accumulated net realized gain on investments, futures contracts,
options, foreign currency contracts and swap contracts 2,116 869 3,734
Net unrealized appreciation (depreciation) on investments and options 53,070 (173) 442
Net unrealized depreciation on futures contracts (1,794) -- --
Net unrealized appreciation on foreign currency translations 919 -- --
Net unrealized appreciation (depreciation) on swap contracts (306) 2,568 14,660
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets -- 100.0% $4,265,249 $76,054 $154,779
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per Share --
Class A ($4,265,249,459 / 412,577,434 shares),
($76,053,851 / 7,200,549 shares) and
($154,779,164 / 12,939,691 shares), respectively $10.34 $10.56 $11.96
==============================================================================================================================
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 113
<page>
- --------------------------------------------------------------------------------
Statements of Operations ($ Thousands)
For the year ended May 31, 2005
- -----------------------------------------------------------------------------------------------------------------------------
LARGE CAP
LARGE CAP EQUITY INDEX SMALL CAP
FUND FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 33,033 $ 57,577 $ 6,043 $ 13,006
Dividends from Affiliated Registered Investment Company(2) 570 1,195 117 926
Interest 85 172 10 77
Security Lending Income -- Net 175 223 15 711
Less: Foreign Taxes Withheld (41) (5) (1) (34)
- -----------------------------------------------------------------------------------------------------------------------------
Total Investment Income 33,822 59,162 6,184 14,686
- -----------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 6,983 11,790 518 9,468
Administration Fees 873 1,474 152 728
Trustee Fees 28 37 4 19
Shareholder Service Fees* 1 -- -- 1
Custodian/Wire Agent Fees 117 177 21 98
Professional Fees 67 82 9 44
Proxy Expenses 49 75 8 38
Printing Fees 20 40 4 19
Registration Fees 6 134 4 44
Litigation Fees (See Note 10) -- -- -- --
Other Expenses 21 34 8 19
- -----------------------------------------------------------------------------------------------------------------------------
Total Expenses 8,165 13,843 728 10,478
- -----------------------------------------------------------------------------------------------------------------------------
Less Waiver of:
Investment Advisory Fees (2,696) (3,186) (174) (1,830)
Administration Fees (873) (1,474) (152) (728)
- -----------------------------------------------------------------------------------------------------------------------------
Net Expenses 4,596 9,183 402 7,920
- -----------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 29,226 49,979 5,782 6,766
=============================================================================================================================
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net Realized Gain (Loss) on:
Investments 41,774 52,654 (68) 50,397
Futures Contracts 2,714 3,434 549 5,094
Written Options -- -- -- --
Swap Contracts -- -- -- --
Foreign Currency Transactions -- -- -- (43)
Net Change in Unrealized Appreciation
(Depreciation) on:
Investments 80,959 192,442 21,921 84,962
Futures Contracts 268 434 (72) (1,017)
Written Options -- -- -- --
Swap Contracts -- -- -- --
Foreign Currency and Translation
of Other Assets and Liabilities
Denominated in Foreign Currencies -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $154,941 $298,943 $28,112 $146,159
=============================================================================================================================
* Fees are incurred at the Class T level only.
(1) The World Equity Ex-US Fund commenced operations on March 28, 2005.
(2) See Note 2 in the Notes to the Financial Statements.
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
114 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------
CORE
SMALL/MID CAP FIXED LONG
EQUITY INCOME DURATION
FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 5,647 $ 83 $ --
Dividends from Affiliated Registered Investment Company(2) 426 595 20
Interest 24 151,947 1,886
Security Lending Income -- Net 210 1,335 --
Less: Foreign Taxes Withheld (14) -- --
- ------------------------------------------------------------------------------------------------------------------
Total Investment Income 6,293 153,960 1,906
- ------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 3,764 11,285 134
Administration Fees 290 1,881 22
Trustee Fees 7 50 1
Shareholder Service Fees* -- -- --
Custodian/Wire Agent Fees 33 235 4
Professional Fees 18 110 2
Proxy Expenses 14 92 1
Printing Fees 6 55 --
Registration Fees 34 140 8
Litigation Fees (See Note 10) -- 9 --
Other Expenses 10 239 11
- ------------------------------------------------------------------------------------------------------------------
Total Expenses 4,176 14,096 183
- ------------------------------------------------------------------------------------------------------------------
Less Waiver of:
Investment Advisory Fees (319) (6,746) (70)
Administration Fees (290) (1,881) (22)
- ------------------------------------------------------------------------------------------------------------------
Net Expenses 3,567 5,469 91
- ------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 2,726 148,491 1,815
==================================================================================================================
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net Realized Gain (Loss) on:
Investments 21,124 35,609 1,921
Futures Contracts 1,355 49 --
Written Options -- --
Swap Contracts -- 4,035 --
Foreign Currency Transactions (15) 90 --
Net Change in Unrealized Appreciation
(Depreciation) on:
Investments 46,273 55,805 (44)
Futures Contracts (213) (1,170) --
Written Options -- (259) --
Swap Contracts -- (306) 2,568
Foreign Currency and Translation
of Other Assets and Liabilities
Denominated in Foreign Currencies -- 919 --
- ------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $71,250 $243,263 $6,260
==================================================================================================================
- ------------------------------------------------------------------------------------------------------------------
EXTENDED INTERNATIONAL WORLD EQUITY
DURATION EQUITY EX-US
FUND FUND FUND(1)
- ------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ -- $ 44,821 $ 2,088
Dividends from Affiliated Registered Investment Company(2) 21 368 10
Interest 2,422 488 7
Security Lending Income -- Net -- 1,832 20
Less: Foreign Taxes Withheld -- (5,422) (276)
- ------------------------------------------------------------------------------------------------------------------
Total Investment Income 2,443 42,087 1,849
- ------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 175 8,340 206
Administration Fees 29 826 19
Trustee Fees 1 23 1
Shareholder Service Fees* -- -- --
Custodian/Wire Agent Fees 4 235 2
Professional Fees 2 49 3
Proxy Expenses 1 43 --
Printing Fees 1 24 --
Registration Fees 12 23 28
Litigation Fees (See Note 10) -- -- --
Other Expenses 12 41 2
- ------------------------------------------------------------------------------------------------------------------
Total Expenses 237 9,604 261
- ------------------------------------------------------------------------------------------------------------------
Less Waiver of:
Investment Advisory Fees (91) (1,726) (18)
Administration Fees (29) (826) (19)
- ------------------------------------------------------------------------------------------------------------------
Net Expenses 117 7,052 224
- ------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 2,326 35,035 1,625
==================================================================================================================
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net Realized Gain (Loss) on:
Investments 4,195 131,448 (1,095)
Futures Contracts -- 744 184
Written Options -- -- --
Swap Contracts 1,911 -- --
Foreign Currency Transactions -- (1,086) (132)
Net Change in Unrealized Appreciation
(Depreciation) on:
Investments 1,085 54,912 (4,796)
Futures Contracts -- 717 23
Written Options -- -- --
Swap Contracts 15,209 -- --
Foreign Currency and Translation
of Other Assets and Liabilities
Denominated in Foreign Currencies -- (357) (11)
- ------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $24,726 $221,413 $(4,202)
==================================================================================================================
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 115
<page>
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets ($ Thousands)
For the years or period ended May 31,
- -----------------------------------------------------------------------------------------------------------------------------
LARGE CAP
DISCIPLINED LARGE CAP
LARGE CAP FUND EQUITY FUND(2) INDEX FUND
- -----------------------------------------------------------------------------------------------------------------------------
2005 2004 2005 2004 2005 2004
- -----------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 29,226 $ 34,019 $ 49,979 $ 11,424 $ 5,782 $ 3,964
Net Realized Gain (Loss) from
Investments, Written Options, Futures
Contracts and Swap Contracts 44,488 380,926(5) 56,088 12,121 481 (223)
Net Realized Gain (Loss) on Foreign
Currency Transactions -- -- -- -- -- --
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Written
Options, Futures Contracts and Swap
Contracts 81,227 64,021 192,876 60,817 21,849 37,832
Net Change in Unrealized Appreciation
on Foreign Currencies, and Translation
of Other Assets and Liabilities
Denominated in Foreign Currency -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 154,941 478,966 298,943 84,362 28,112 41,573
- -----------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (27,730) (37,006) (45,577) (6,738) (5,437) (3,562)
Class T (5) (2) -- -- -- --
Net Realized Gains:
Class A -- -- (23,335) (2,310) (576) (533)
Class T -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (27,735) (37,008) (68,912) (9,048) (6,013) (4,095)
- -----------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 206,914 1,040,314(7) 1,336,678(7) 2,321,249(7) 66,334 228,588(7)
Reinvestment of Dividends &
Distributions 26,686 36,168 68,680 9,027 5,866 4,076
Cost of Shares Redeemed (396,899) (2,739,017)(8) (389,069) (120,549) (58,307) (128,043)
- -----------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions (163,299) (1,662,535) 1,016,289 2,290,727 13,893 104,621
- -----------------------------------------------------------------------------------------------------------------------------
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 (163,302) (1,662,753) 1,016,289 2,209,727 13,893 104,621
- -----------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (36,096) (1,220,795) 1,246,320 2,285,041 35,992 142,099
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 1,787,881 3,008,676 2,285,041 -- 284,711 142,612
- -----------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $1,751,785 $ 1,787,881 $3,531,361 $2,285,041 $320,703 $ 284,711
=============================================================================================================================
Undistributed Net Investment Income
Included in Net Assets at Period End $ 5,023 $ 3,532 $ 9,088 $ 4,686 $ 1,046 $ 701
=============================================================================================================================
(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) The Long Duration Bond Fund commenced operations on April 21, 2004.
(5) Includes realized gain of $48,900 due to in-kind redemption (see note 8).
(6) Includes realized gain of $17,934 due to in-kind redemption (see note 8).
(7) Includes subscriptions as a result of in-kind transfers of securities (see note 8).
(8) 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.
- --------------------------------------------------------------------------------
116 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
LONG
SMALL/MID CAP CORE FIXED DURATION
SMALL CAP FUND EQUITY FUND(3) INCOME FUND FUND(4)
- ------------------------------------------------------------------------------------------------------------------------------------
2005 2004 2005 2004 2005 2004 2005 2004
- ------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 6,766 $ 5,983 $ 2,726 $ 662 $ 148,491 $ 102,842 $ 1,815 $ 33
Net Realized Gain (Loss) from Investments,
Written Options, Futures Contracts and
Swap Contracts 55,491 322,159(6) 22,479 2,209 39,693 41,186 1,921 (19)
Net Realized Gain (Loss) on Foreign
Currency Transactions (43) -- (15) -- 90 -- -- --
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Written
Options, Futures Contracts and Swap
Contracts 83,945 22,724 46,060 10,802 54,070 (104,786) 2,524 (129)
Net Change in Unrealized Appreciation
on Foreign Currencies, and Translation
of Other Assets and Liabilities
Denominated in Foreign Currency -- -- -- -- 919 -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 146,159 350,866 71,250 13,673 243,263 39,242 6,260 (115)
- ------------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (5,291) (6,425) (2,258) (319) (153,183) (107,988) (2,385) (33)
Class T -- -- -- -- -- -- -- --
Net Realized Gains:
Class A (179,060) (45,512) (6,068) -- (39,708) (38,012) (455) --
Class T (22) (8) -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (184,373) (51,945) (8,326) (319) (192,891) (146,000) (2,840) (33)
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 327,341 394,135(7) 367,596(7) 438,036(7) 1,650,471 1,559,032 65,973 6,432
Reinvestment of Dividends &
Distributions 176,915 49,709 8,299 318 189,150 143,168 2,840 33
Cost of Shares Redeemed (164,415) (627,395)(8) (93,690) (27,940) (699,617) (951,937) (2,496) --
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 339,841 (183,551) 282,205 410,414 1,140,004 750,263 66,317 6,465
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS T:
Proceeds from Shares Issued 529 -- -- -- -- -- -- --
Reinvestment of Dividends &
Distributions 22 8 -- -- -- -- -- --
Cost of Shares Redeemed (656) (39) -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Decrease in Net Assets Derived
from Class T Transactions (105) (31) -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 339,736 (183,582) 282,205 410,414 1,140,004 750,263 66,317 6,465
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 301,522 115,339 345,129 423,768 1,190,376 643,505 69,737 6,317
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 1,309,460 1,194,121 423,768 -- 3,074,873 2,431,368 6,317 --
- ------------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $1,610,982 $1,309,460 $768,897 $423,768 $4,265,249 $3,074,873 $76,054 $6,317
====================================================================================================================================
Undistributed Net Investment Income
Included in Net Assets at Period End $ 1,594 $ 162 $ 796 $ 343 $ 402 $ 554 $ 8 $ --
====================================================================================================================================
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 117
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets ($ Thousands)
For the years or period ended May 31,
- ------------------------------------------------------------------------------------------------------------------------------
EXTENDED
DURATION INTERNATIONAL WORLD EQUITY
FUND(2) EQUITY FUND EX-US FUND(3)
- ------------------------------------------------------------------------------------------------------------------------------
2005 2004 2005 2004 2005
- ------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 2,326 $ 151 $ 35,035 $ 25,849 $ 1,625
Net Realized Gain (Loss) from Investments,
Written Options, Futures Contracts and
Swap Contracts 6,106 (116) 132,192 120,683 (911)
Net Realized Loss on Foreign Currency
Transactions -- -- (1,086) -- (132)
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Written
Options, Futures Contracts and
Swap Contracts 16,294 (1,192) 55,629 222,071 (4,773)
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currencies,
and Translation of Other Assets and
Liabilities Denominated in Foreign
Currency -- -- (357) (76) (11)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting from Operations 24,726 (1,157) 221,413 368,527 (4,202)
- ------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS FROM:
Net Investment Income
Class A (4,492) (237) (46,157) (23,331) --
- ------------------------------------------------------------------------------------------------------------------------------
Total Dividends (4,492) (237) (46,157) (23,331) --
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 108,470 28,944 469,667 413,693 246,730
Reinvestment of Dividends and Distributions 4,489 237 45,541 22,998 --
Cost of Shares Redeemed (6,201) -- (404,286) (566,908) (8,132)
- ------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 106,758 29,181 110,922 (130,217) 238,598
- ------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 106,758 29,181 110,922 (130,217) 238,598
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets 126,992 27,787 286,178 214,979 234,396
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 27,787 -- 1,391,076 1,176,097 --
- ------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $154,779 $27,787 $1,677,254 $1,391,076 $234,396
==============================================================================================================================
Undistributed Net Investment Income
Included in Net Assets at Period End $ 4 $ 23 $ 14,517 $ 17,286 $ 1,493
==============================================================================================================================
(1) See Note 4 in the Notes to Financial Statements for additional information.
(2) The Extended Duration Fund commenced operations on April 21, 2004.
(3) The World Equity Ex-US Fund commenced operations on March 28, 2005.
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
118 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
Financial Highlights
For 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 Dividends Net Asset
Beginning Income (Losses) on from Investment Capital and Value, End Total
of Period (Loss) Securities Operations Income Gains Distributions of Period Return+
- ------------------------------------------------------------------------------------------------------------------------------------
LARGE CAP FUND
Class A
2005 $ 14.47 $0.25(6) $ 1.05(6) $ 1.30 $(0.24) $ -- $(0.24) $ 15.53 9.02%
2004 12.41 0.18(6) 2.09(6) 2.27 (0.21) -- (0.21) 14.47 18.37
2003 13.82 0.16(6) (1.41)(6) (1.25) (0.16) -- (0.16) 12.41 (8.98)
2002 16.31 0.15 (2.48) (2.33) (0.16) -- (0.16) 13.82 (14.36)
2001 19.48 0.17 (2.35) (2.18) (0.17) (0.82) (0.99) 16.31 (11.54)
Class T
2005 $ 14.49 $0.14(6) $ 0.97(6) $ 1.11 $(0.08) $ -- $(0.08) $ 15.52 7.67%
2004 12.45 0.11(6) 2.06(6) 2.17 (0.13) -- (0.13) 14.49 17.51
2003(1) 11.43 0.04(6) 1.02(6) 1.06 (0.04) -- (0.04) 12.45 9.28
LARGE CAP DISCIPLINED EQUITY FUND
Class A
2005 $111.81 $1.96(6) $ 9.40(6) $11.36 $(1.79) $(0.90) $(2.69) $120.48 10.26%
2004(2)++ 100.00 0.66(6) 12.51(6) 13.17 (0.54) (0.82) (1.36) 111.81 13.23
LARGE CAP INDEX FUND
Class A
2005 $ 99.12 $1.93(6) $ 7.20(6) $ 9.13 $(1.82) $(0.19) $(2.01) $106.24 9.29%
2004++ 84.90 1.50(6) 14.28(6) 15.78 (1.37) (0.19) (1.56) 99.12 18.71
2003++ 93.40 1.10 (8.50)(7) (7.40) (1.10) -- (1.10) 84.90 (7.79)
2002(3)++ 100.00 0.20 (6.80) (6.60) -- -- -- 93.40 (6.60)
SMALL CAP FUND
Class A
2005 $ 14.70 $0.07(6) $ 1.38(6) $ 1.45 $(0.05) $(1.83) $(1.88) $ 14.27 9.81%
2004 11.60 0.06(6) 3.59(6) 3.65 (0.07) (0.48) (0.55) 14.70 31.76
2003 12.53 0.07(6) (0.94)(6) (0.87) (0.06) -- (0.06) 11.60 (6.83)
2002 13.02 0.06 (0.45) (0.39) (0.07) (0.03) (0.10) 12.53 (2.99)
2001 13.66 0.08 0.96 1.04 (0.09) (1.59) (1.68) 13.02 8.39
Class T
2005 $ 14.65 $ --(6) $ 1.36(6) $ 1.36 $(0.01) $(1.83) $(1.84) $ 14.17 9.14%
2004 11.57 (0.01)(6) 3.58(6) 3.57 (0.01) (0.48) (0.49) 14.65 31.07
2003(4) 10.47 0.01(6) 1.11(6) 1.12 (0.02) -- (0.02) 11.57 10.69
SMALL/MID CAP EQUITY FUND
Class A
2005 $107.03 $0.53(6) $13.75(6) $14.28 $(0.47) $(1.22) $(1.69) $119.62 13.38%
2004(5) 100.00 0.22(6) 6.93(6) 7.15 (0.12) -- (0.12) 107.03 7.15
- -----------------------------------------------------------------------------------------------------------
Ratio of
Ratio of Net Expenses
Ratio of Net Investment to Average
Net Assets Expenses Income(Loss) Net Assets Portfolio
End of Period to Average to Average (Excluding Turnover
($ Thousands) Net Assets Net Assets Waivers) Rate+
- -----------------------------------------------------------------------------------------------------------
LARGE CAP FUND
Class A
2005 $1,751,751 0.26% 1.67% 0.47% 43%
2004 1,787,850 0.26 1.34 0.48 109
2003 3,008,463 0.26 1.39 0.47 51
2002 2,938,135 0.26 1.03 0.47 65
2001 3,451,673 0.26 0.98 0.48 107
Class T
2005 $ 34 0.81% 0.97% 1.02% 43%
2004 31 0.81 0.76 1.03 109
2003(1) 213 0.81 0.66 1.02 51
LARGE CAP DISCIPLINED EQUITY FUND
Class A
2005 $3,531,361 0.31% 1.69% 0.47% 71%
2004(2)++ 2,285,041 0.33 1.33 0.47 67
LARGE CAP INDEX FUND
Class A
2005 $ 320,703 0.13% 1.89% 0.24% 8%
2004++ 284,711 0.16 1.58 0.24 6
2003++ 142,612 0.20 1.67 0.25 12
2002(3)++ 39,763 0.20 1.30 0.39 1
SMALL CAP FUND
Class A
2005 $1,610,876 0.54% 0.46% 0.72% 94%
2004 1,309,254 0.54 0.45 0.72 135
2003 1,193,935 0.54 0.67 0.72 97
2002 1,102,199 0.54 0.54 0.71 115
2001 857,278 0.54 0.63 0.73 154
Class T
2005 $ 106 1.09% (0.03)% 1.27% 94%
2004 206 1.09 (0.10) 1.27 135
2003(4) 186 1.09 0.10 1.27 97
SMALL/MID CAP EQUITY FUND
Class A
2005 $ 768,897 0.62% 0.47% 0.72% 98%
2004(5) 423,768 0.65 0.45 0.73 51
+ Returns and portfolio turnover rates are for the period indicated and have not been annualized.
Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions
or redemption of Fund shares.
++ 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 / Annual Report / May 31, 2005 119
- --------------------------------------------------------------------------------
Financial Highlights
For 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 Dividends Net Asset
Beginning Investment (Losses) on from Investment Capital and Value, End Total
of Period Income Securities Operations Income Gains Distributions of Period Return+
- ------------------------------------------------------------------------------------------------------------------------------------
CORE FIXED INCOME FUND
Class A
2005 $10.19 $0.41(2) $ 0.27(2) $ 0.68 $(0.42) $(0.11) $(0.53) $10.34 6.77%
2004 10.61 0.38(2) (0.26)(2) 0.12 (0.40) (0.14) (0.54) 10.19 1.13
2003 10.27 0.50 0.60 1.10 (0.50) (0.26) (0.76) 10.61 11.10
2002 10.49 0.54 0.06 0.60 (0.54) (0.28) (0.82) 10.27 6.43
2001 9.82 0.66 0.67 1.33 (0.66) -- (0.66) 10.49 13.92
LONG DURATION FUND
Class A
2005 $ 9.77 $0.42(2) $ 1.03(2) $ 1.45 $(0.54) $(0.12) $(0.66) $10.56 15.26%
2004(1) 10.00 0.05(2) (0.23)(2) (0.18) (0.05) -- (0.05) 9.77 (1.78)
EXTENDED DURATION FUND
Class A
2005 $ 9.53 $0.43(2) $ 2.84(2) $ 3.27 $(0.84)$ -- $(0.84) $11.96 35.74%
2004(1) 10.00 0.05(2) (0.44)(2) (0.39) (0.08) -- (0.08) 9.53 (3.88)
INTERNATIONAL EQUITY FUND
Class A
2005 $10.06 $0.23(2) $ 1.16(2) $ 1.39 $(0.30) $ -- $(0.30) $11.15 13.73%
2004 7.76 0.18(2) 2.28(2) 2.46 (0.16) -- (0.16) 10.06 31.73
2003 9.21 0.13 (1.46) (1.33) (0.12) -- (0.12) 7.76 (14.43)
2002 10.34 0.11 (1.14) (1.03) (0.10) -- (0.10) 9.21 (9.93)
2001 13.61 0.17 (2.56) (2.39) (0.16) (0.72) (0.88) 10.34 (18.21)
WORLD EQUITY EX-US FUND
Class A
2005(3) $10.00 $0.07(2) $(0.26)(2) $(0.19) $ -- $ -- $ -- $ 9.81 (1.90)
- ---------------------------------------------------------------------------------------------------------
Ratio of
Ratio of Net Expenses
Ratio of Net Investment to Average
Net Assets Expenses Income Net Assets Portfolio
End of Period to Average to Average (Excluding Turnover
($ Thousands) Net Assets Net Assets Waivers) Rate+
- ---------------------------------------------------------------------------------------------------------
CORE FIXED INCOME FUND
Class A
2005 $4,265,249 0.15% 3.94% 0.37% 615%
2004 3,074,873 0.19* 3.62 0.38 532
2003 2,431,368 0.18 4.79 0.37 436
2002 2,354,581 0.18 5.67 0.36 365
2001 2,131,474 0.18 6.47 0.37 399
LONG DURATION FUND
Class A
2005 $ 76,054 0.20% 4.05% 0.41% 449%
2004(1) 6,317 0.20 5.02 0.57 31
EXTENDED DURATION FUND
Class A
2005 $ 154,779 0.20% 3.99% 0.41% 379%
2004(1) 27,787 0.20 5.17 0.44 42
INTERNATIONAL EQUITY FUND
Class A
2005 $1,677,254 0.43% 2.12% 0.58% 48%
2004 1,391,076 0.48 1.92 0.65 80
2003 1,176,097 0.48 1.85 0.68 58
2002 1,259,408 0.48 1.30 0.66 84
2001 1,190,830 0.48 1.68 0.67 71
WORLD EQUITY EX-US FUND
Class A
2005(3) $ 234,396 0.60% 4.35% 0.70% 15%
* The expense ratio includes the litigation fees paid. Had these fees been excluded the ratio would
have been 0.18%.
+ Returns and portfolio turnover rates are for the period indicated and have not been annualized.
Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or
redemption of Fund shares.
(1) Commenced operations on 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.
(3) Commenced operations on March 28, 2005. All ratios have been annualized.
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
120 SEI Institutional Investments Trust / Annual Report / May 31, 2005
<page>
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NOTES TO FINANCIAL STATEMENTS
MAY 31, 2005
Notes to Financial Statements
1. ORGANIZATION
SEI Institutional Investments Trust (the "Trust") was organized as a
Massachusetts business trust under a Declaration of Trust dated March 1, 1995.
The Trust commenced operations on June 14, 1996.
The Trust is registered under the Investment Company Act of 1940, as amended, as
an open-end investment company currently offering 10 Funds: The Large Cap, Large
Cap Disciplined Equity, Large Cap Index, Small Cap, Small/Mid Cap Equity, Core
Fixed Income, Long Duration Fund (previously Long Duration Bond Fund), Extended
Duration Fund (previously Extended Duration Bond Fund), International Equity and
World Equity Ex-US 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, Extended Duration, International
Equity and World Equity Ex-US 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.
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. Debt securities are priced based upon valuations
provided by independent, third-party pricing agents, if available. Such values
generally reflect the last reported sales price if the security is actively
traded. The third-party pricing agents may also value debt securities at an
evaluated bid price by employing methodologies that utilize actual market
transactions, broker-supplied valuations, or other methodologies designed to
identify the market value for such securities. Debt obligations acquired with
remaining maturities of sixty days or less may be valued at their amortized
cost, which approximates market value. The prices for foreign securities are
reported in local currency and converted to U.S. dollars using currency exchange
rates. Prices for most securities held in the Funds are provided daily by
recognized independent pricing agents. 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 / Annual Report / May 31, 2005 121
<page>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Continued)
MAY 31, 2005
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 Funds that hold international securities also use a third-party fair
valuation vendor. The vendor provides a fair value for foreign securities held
by these Funds based on certain factors and methodologies (involving, generally,
tracking valuation correlations between the U.S. market and each non-U.S.
security). Values from the fair value vendor are applied in the event that there
is a movement in the U.S. market that exceeds a specific threshold that has been
established by the Committee. The Committee has also established a "confidence
interval" which is used to determine the level of historical correlation between
the value of a specific foreign security and movements in the U.S. market before
a particular security will be fair valued when the threshold is exceeded. In the
event that the threshold established by the Committee is exceeded on a specific
day, the Funds that hold international securities will value the non-U.S.
securities in their fund that exceed the applicable "confidence interval" based
upon the adjusted prices provided by the fair valuation vendor.
Options and warrants for which the primary market is a national securities
exchange are valued at the last sale price on the exchange on which they are
traded, or, in the absence of any sale, at the closing bid price. Options and
warrants not traded on a national securities exchange are valued at the last
quoted bid price.
SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are
recorded on the trade date. Cost used in determining net realized capital gains
and losses on the sale of securities is determined on the basis of specific
identification. Dividend income is recognized on the ex-dividend date, and
interest income is recognized using the accrual basis of accounting.
REPURCHASE AGREEMENTS -- Each Fund may agree to purchase securities from
financial institutions subject to the seller's agreement to repurchase them at a
mutually agreed upon date and price. It is the Fund's policy that repurchase
agreements are fully collateralized by U.S. Treasury and Government Agency
securities. All collateral is held by the Fund's custodian bank or a bank with
which the custodian bank has entered into a subcustodian agreement, or is
segregated in the Federal Reserve Book Entry System. In connection with
transactions in repurchase agreements, if the seller defaults and the value of
the collateral declines, or if the seller enters an insolvency proceeding,
realization of the collateral by the Fund may be delayed or limited.
COMPENSATING BALANCES -- Large Cap, Large Cap Disciplined Equity, Large Cap
Index, Small Cap, Small/Mid Cap Equity, Core Fixed Income, Long Duration and
Extended Duration 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 Small Cap,
Small/Mid Cap Equity, Core Fixed Income, International Equity and World Equity
Ex-US Funds 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.
- --------------------------------------------------------------------------------
122 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
The International Equity and World Equity Ex-US Funds do not isolate that
portion of gains and losses on investments in equity securities that is due to
changes in the foreign exchange rates from that which is due to changes in
market prices of equity securities.
The International Equity and World Equity Ex-US Funds report certain
foreign-currency-related transactions as components of realized gains for
financial reporting purposes, whereas such components are treated as ordinary
income for Federal income tax purposes.
FORWARD FOREIGN CURRENCY CONTRACTS -- The Small Cap, Small/Mid Cap Equity, Core
Fixed Income, International Equity and World Equity Ex-US Funds may enter into
forward foreign currency contracts as hedges against either specific
transactions, fund positions or anticipated fund positions. All commitments are
"marked-to-market" daily at the applicable foreign exchange rate, and any
resulting unrealized gains or losses are recorded currently. The Small Cap,
Small/Mid Cap, Core Fixed Income, International Equity and World Equity Ex-US
Funds realize 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. The Funds could be exposed to risk if the
counterparties to the contracts are unable to meet the terms of the contract and
from unanticipated movements in the value of a foreign currency relative to the
U.S. dollar. At the year ended May 31, 2005 the Small Cap, Small/Mid Cap Equity,
International Equity and World Equity Ex-US Funds did not have any forward
foreign currency contracts outstanding.
Finally, the risk exists that losses could exceed amounts disclosed on the
Statement of Net Assets or Statement of Assets and Liabilities.
FUTURES CONTRACTS -- Each of the Funds utilized futures contracts
during the year ended May 31, 2005 with the exception of theLong and Extended
Duration Funds. The Large Cap, Large Cap Disciplined Equity, Large Cap Index,
Small Cap, Small/Mid Cap Equity, International Equity and World Equity Ex-US
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 of entering into futures contracts include the possibility that there will
be an imperfect price correlation between the futures and the underlying
securities. Second, it is possible that a lack of liquidity for futures
contracts could exist in the secondary market, resulting in an inability to
close a position prior to its maturity date. Third, the futures contract
involves the risk that the fund could lose more than the original margin deposit
required to initiate a futures transaction.
Finally, the risk exists that losses could exceed amounts disclosed on the
Statement of Net Assets or Statement of Assets and Liabilities.
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,
Extended Duration, International Equity and World Equity Ex-US 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.
The risk in writing a call option is that the Funds give up the opportunity for
profit if the market price of the security increases. The risk in writing a put
option is that the Funds may incur a loss if the market price of the security
decreases and the option is exercised. The risk in purchasing an option is that
the Funds pay a premium whether or not the option is exercised. The Funds also
have the additional risk of being unable to enter into a closing transaction at
an acceptable price if a liquid secondary market does not exist. Option
contracts also involve the risk that they may not work as intended due to
unanticipated developments in market conditions or other causes.
Finally, the risk exists that losses could exceed amounts disclosed on the
Statement of Net Assets or Statement of Assets and Liabilities.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 123
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Continued)
MAY 31, 2005
Written options transactions entered into during the year ended May 31, 2005 are
summarized as follows:
- --------------------------------------------------------------------------------
CORE FIXED INCOME FUND
- --------------------------------------------------------------------------------
Premium
Number of Contracts ($ Thousands)
- --------------------------------------------------------------------------------
Balance at beginning of year 2,820 $ 3,263
Written 4,833 3,426
Expired (2,119) (1,881)
Exercised -- --
Closing Buys (4,390) (4,181)
- --------------------------------------------------------------------------------
Balance at end of year 1,144 $ 627
- --------------------------------------------------------------------------------
At May 31,2005 the Core Fixed Income Fund had cash and/or securities at least
equal to value of written options.
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. Interest rate swaps involve the
exchange by a Fund with another party of their respective commitments to pay or
receive interest (e.g., an exchange of floating rate payments for fixed rate
payments) with respect to a notional amount of principal. Credit-default swaps
involve the periodic payment by the Fund or counterparty of interest based on a
specified rate multiplied by a notional amount assigned to an underlying debt
instrument or group of debt instruments in exchange for the assumption of credit
risk on the same instruments. In the event of a credit event, usually in the
form of a credit rating downgrade, the party receiving periodic payments (i.e.
floating rate payer) must pay the other party (i.e. fixed rate payer) an amount
equal to the outstanding principal of the downgraded debt instrument. In
connection with swap agreements securities may be set aside as collateral by the
Fund's custodian. A Fund may enter into swap agreements in order to, among other
things, change the maturity or duration of the investment portfolio, to protect
the Fund's value from changes in interest rates, or to expose a Fund to a
different security or market.
Swaps are marked-to-market daily based upon quotations from market makers and
the resulting changes in market values, if any, are recorded as an unrealized
gain or loss in the Statement of Operations. Net payments of interest are
recorded as realized gains or losses.
Entering into swap agreements involves, to varying degrees, elements of credit
and market risk in excess of the amounts recognized on the Statement of Assets
and Liabilities. Such risks involve the possibility that there will be no liquid
market for these agreements, that the counterparty to the agreement may default
on its obligation to perform and that there may be unfavorable changes in the
fluctuation of interest rates. Risks also arise from potential losses from
adverse market movements.
FORWARD TREASURY COMMITMENTS -- The Funds may invest in commitments to purchase
U.S. Treasury securities on an extended settlement basis. Such transactions
involve the commitment to purchase a security with payment and delivery taking
place in the future, sometimes a month or more after the transaction date. The
Funds account for such transactions as purchases and sales and record an
unrealized gain or loss each day equal to the difference between the cost of the
purchase commitment and the current market value. Realized gains or losses are
recorded upon closure or settlement of such commitments. No interest is earned
prior to settlement of the transaction. These instruments are subject to market
fluctuation due to changes in interest rates and the market value at the time of
settlement could be higher or lower than the purchase price. The Funds may incur
losses due to changes in the value of the underlying treasury securities from
interest rate fluctuations or as a result of counterparty nonperformance
DELAYED DELIVERY TRANSACTIONS -- 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 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
and the Extended Duration Funds; and declared and paid at least annually for the
International Equity and World Equity Ex-US Funds. Dividends and distributions
are recorded on the ex-dividend date.
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124 SEI Institutional Investments Trust / Annual Report / May 31, 2005
<page>
- --------------------------------------------------------------------------------
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 year ended May 31, 2005, 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.
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. During the period
expenses related to a proxy conducted by the Trust were charged to the Funds
above the cap. 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
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 Fund Class A 0.300 0.200
Extended Duration Fund Class A 0.300 0.200
International Equity Fund Class A 0.505 0.400
World Equity Ex-US Fund 0.550 0.600
As of May 31, 2005, 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, L.P. 07/01/03 Y
Delaware Management Company 04/27/05 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
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
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 125
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Continued)
MAY 31, 2005
- --------------------------------------------------------------------------------
Currently Managing
Date of a Portion of Fund
Investment Sub-Adviser Agreement (Y/N)
- --------------------------------------------------------------------------------
SMALL CAP FUND
Artisan Partners Limited Partnership 03/26/99 Y
BlackRock Advisors, Inc. 07/01/03 Y
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 Y
Mazama Capital Management, Inc. 12/13/99 Y
Security Capital Research and
Management Incorporated 05/14/02 Y
Wellington Management Company, LLP 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 Incorporated 07/01/03 Y
Wellington Management Company, LLP 12/15/03 Y
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 FUND
Metropolitan West Asset Management LLC 03/31/04 Y
EXTENDED DURATION 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 Inc. 07/01/03 Y
Morgan Stanley Investment
Management Limited 12/10/03 Y
WORLD EQUITY EX-US FUND
Acadian Asset Management Inc. -- N
Alliance Capital Management L.P. 03/28/05 Y
Capital Guardian Trust Company 03/24/05 Y
Fisher Investments, Inc. 03/25/05 Y
McKinley Capital Management Inc. 03/25/05 Y
Rexiter Capital Management Limited 03/25/05 Y
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 year ended May 31, 2005 were as follows ($ Thousands):
Large Cap Fund $295
Small Cap Fund 426
Small/Mid Cap Equity Fund 118
International Equity Fund 393
------
$1,232
======
Certain officers and/or trustees of the Trust are also officers of the
Administrator or the Adviser. The Trust pays each unaffiliated Trustee an annual
fee for attendance at quarterly, interim and committee meetings. Compensation of
officers and affiliated Trustees of the Trust is paid by the Adviser or
Administrator.
LSV Asset Management (partially-owned subsidiary of SIMC) serves as a
sub-adviser to the Large Cap, Small Cap and Small/Mid Cap Equity Funds. For this
service LSV Asset Management is entitled to receive a fee from SIMC. Such fees
for the year ended May 31, 2005 were as follows ($ Thousands):
Large Cap Fund $289
Small Cap Fund 963
Small/Mid Cap Equity Fund 376
------
$1,628
======
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.
- --------------------------------------------------------------------------------
126 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
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 SMALL CAP FUND
- ------------------------------------------------------------------------------------------------------------------------------------
2005 2004 2005 2004 2005 2004 2005 2004
- ------------------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 14,001 76,149(1) 11,634(1) 21,739(1) 656 14,425(1) 22,909 28,179(1)
Shares Issued in Lieu of
Dividends and Distributions 1,763 2,690 585 103 57 181 12,291 3,557
Shares Redeemed (26,594) (197,701)(2) (3,347) (1,404) (567) (3,082) (11,392) (45,613)(2)
Effect of Reverse Stock Split -- -- -- -- -- (25,450) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions (10,830) (118,862) 8,872 20,438 146 (13,926) 23,808 (13,877)
- ------------------------------------------------------------------------------------------------------------------------------------
Class T:
Shares Issued 103 -- -- -- -- -- 37 --
Shares Issued in Lieu of
Dividends and Distributions -- -- -- -- -- -- 1 1
Shares Redeemed (103) (15) -- -- -- -- (45) (3)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Class T Transactions -- (15) -- -- -- -- (7) (2)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Capital Shares (10,830) (118,877) 8,872 20,438 146 (13,926) 23,801 (13,879)
====================================================================================================================================
- ------------------------------------------------------------------------------------------------------------------------------------
LONG EXTENDED
SMALL/MID CAP CORE FIXED DURATION DURATION INTERNATIONAL WORLD EQUITY
EQUITY FUND(4) INCOME FUND FUND(5) FUND(6) EQUITY FUND EX-US FUND(7)
- ------------------------------------------------------------------------------------------------------------------------------------
2005 2004 2005 2004 2005 2004 2005 2004 2005 2004 2005
- ------------------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 3,211(1) 4,221(1) 160,321 150,267 6,523 643 10,177 2,891 44,764 45,477 24,722
Shares Issued in Lieu of
Dividends and
Distributions 71 3 18,299 13,849 276 4 408 25 3,984 2,393 --
Shares Redeemed (813) (265) (67,942) (91,277) (244) -- (561) -- (36,693) (61,144) (817)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions 2,469 3,959 110,678 72,839 6,555 647 10,024 2,916 12,055 (13,274) 23,905
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Capital Shares 2,469 3,959 110,678 72,839 6,555 647 10,024 2,916 12,055 (13,274) 23,905
====================================================================================================================================
(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 Fund commenced operations on April 21, 2004.
(6) The Extended Duration Fund commenced operations on April 21, 2004.
(7) The World Equity Ex-US Fund commenced operations on March 28, 2005.
Amounts designated as "--" are zero or have been rounded to zero.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 127
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Continued)
MAY 31, 2005
5. INVESTMENT TRANSACATIONS
The cost of security purchases and proceeds from the sale and maturities of
securities other than temporary cash investments, during the year ended May 31,
2005, was as follows:
- --------------------------------------------------------------------------------
U.S. Gov't Other Total
($Thousands) ($Thousands) ($Thousands)
- --------------------------------------------------------------------------------
LARGE CAP FUND
Purchases -- $727,915 $727,915
Sales -- 852,898 852,898
LARGE CAP DISCIPLINED EQUITY FUND
Purchases -- 3,044,699 3,044,699
Sales -- 2,054,400 2,054,400
LARGE CAP INDEX
Purchases -- 40,841 40,841
Sales -- 23,722 23,722
SMALL CAP FUND
Purchases -- 1,465,804 1,465,804
Sales -- 1,327,055 1,327,055
SMALL/MID CAP EQUITY FUND
Purchases -- 830,671 830,671
Sales -- 550,341 550,341
CORE FIXED INCOME FUND
Purchases 19,807,164 2,168,345 21,975,509
Sales and Maturities 19,441,230 1,429,711 20,870,941
LONG DURATION FUND
Purchases 89,185 66,786 155,971
Sales and Maturities 87,013 35,239 122,252
EXTENDED DURATION FUND
Purchases 89,581 124,510 214,091
Sales and Maturities 85,288 78,919 164,207
INTERNATIONAL EQUITY FUND
Purchases -- 854,728 854,728
Sales and Maturities -- 769,210 769,210
WORLD EQUITY EX-US FUND
Purchase -- 271,532 271,532
Sales -- 27,218 27,218
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 relaized capital
gains are determined in accordance with U.S. Federal income tax regulations,
which may differ from those amounts determined under accounting principles
generally accepted in the United States of America. These book/tax differences
are either temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gain, as appropriate, in the
period that the differences arise. Accordingly, the following permanent
differences, primarily attributable to different treatment for gains and losses
on paydowns of mortgage- and asset-backed securities for tax purposes,
reclassification of long term capital gain distributions on Real Estate
Investment Trust securities, and gains and losses on passive foreign investment
companies and certain foreign currency related transactions, have been
reclassified to/from the following accounts as of May 31, 2005:
- --------------------------------------------------------------------------------
Undistributed Accumulated
Net Investment Realized
Income (Loss) Gain (Loss)
($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Small Cap Fund $ (43) $ 43
Small/Mid Cap Equity Fund (15) 15
Core Fixed Income Fund 4,540 (4,540)
Long Duration Fund 578 (578)
Extended Duration Fund 2,147 (2,147)
International Equity Fund 8,353 (8,353)
World Equity Ex-US Fund (132) 132
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 2005 $ 27,735 $ -- $ 27,735
2004 37,008 -- 37,008
Large Cap Disciplined
Equity Fund 2005 66,724 2,188 68,912
2004 8,522 526 9,048
Large Cap Index
Fund 2005 5,724 289 6,013
2004 4,083 12 4,095
Small Cap Fund 2005 90,513 93,860 184,373
2004 33,561 18,384 51,945
Small/Mid Cap Equity
Fund 2005 8,285 41 8,326
2004 319 -- 319
Core Fixed
Income Fund 2005 178,592 14,299 192,891
2004 143,425 2,575 146,000
Long Duration Fund 2005 2,840 -- 2,840
2004 33 -- 33
Extended Duration
Fund 2005 4,492 -- 4,492
2004 237 -- 237
International Equity
Fund 2005 46,157 -- 46,157
2004 23,331 -- 23,331
World Equity Ex-US
Fund 2005 -- -- --
- --------------------------------------------------------------------------------
128 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
As of May 31, 2005, the components of Distributable Earnings/(Accumulated
Losses) were as follows:
- ------------------------------------------------------------------------------------------------------------------------------------
Undistributed Undistributed Capital Post Unrealized Other Total
Ordinary Long-Term Loss October Appreciation Temporary Distributable Earnings/
Income Capital Gain Carryforwards Losses (Depreciation) Differences (Accumulated Losses)
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- ------------------------------------------------------------------------------------------------------------------------------------
Large Cap Fund $ 5,004 $ -- $(299,193) $ -- $ 70,865 $ -- $(223,324)
Large Cap Disciplined
Equity Fund 54,602 35,072 -- -- 215,671 -- 305,345
Large Cap Index Fund 1,447 827 -- -- 57,449 -- 59,723
Small Cap Fund 15,128 35,244 -- (43) 145,228 -- 195,557
Small/Mid Cap Equity Fund 19,976 6,797 -- -- 49,520 (15) 76,278
Core Fixed Income Fund 19,398 1,463 -- -- 50,321 (16,775) 54,407
Long Duration Fund 1,242 -- -- -- 2,390 (360) 3,272
Extended Duration Fund 4,661 -- -- -- 15,089 (910) 18,840
International Equity Fund 28,548 -- (113,890) -- 187,075 (1,391) 100,342
World Equity Ex-US Fund 1,934 -- -- (801) (5,335) -- (4,202)
Post-October losses represent losses realized on investment transactions from
November 1, 2004 through May 31, 2005 that, in accordance with Federal income
tax regulations, the Funds defer and treat as having arisen in the following
fiscal year. For Federal income tax purposes, capital loss carryforwards may be
carried forward and applied against future capital gains as follows:
- -----------------------------------------------------------------------------------------
Total
Capital Loss
Expires Expires Expires Expires Carryforwards
2013 2012 2011 2010 5/31/05
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------------------------------
Large Cap Fund $-- $ 299,193 $ -- $-- $299,193
International
Equity Fund -- 93,799 20,091 -- 113,890
During the year ended May 31, 2005, the Large Cap, Long Duration, Extended
Duration and International Equity Funds utilized $37,159,942, $16,328, $212,555
and $123,778,400 of capital loss carryforwards, respectively, to offset capital
gains.
For Federal income tax purposes, the cost of securities owned at May 31, 2005,
and the net realized gains or losses on securities sold for the period were
different from amounts reported for financial reporting purposes, primarily due
to wash sales which cannot be used for Federal income tax purposes in the
current year and have been deferred for use in future years. The Federal tax
cost and aggregate gross unrealized appreciation and depreciation on
investments, held by the Funds at May 31, 2005, were as follows:
- ------------------------------------------------------------------------------------
Net
Unrealized
Federal Appreciated Depreciated Appreciation
Tax Cost Securities Securities (Depreciation)
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- ------------------------------------------------------------------------------------
Large Cap Fund $1,834,947 $165,566 $ (94,701) $ 70,865
Large Cap Disciplined
Equity Fund 3,653,464 312,806 (97,135) 215,671
Large Cap Index Fund 301,513 67,357 (9,908) 57,449
Small Cap Fund 1,911,619 248,525 (103,297) 145,228
Small/Mid Cap Equity Fund 941,174 81,182 (31,662) 49,520
Core Fixed Income Fund 5,978,213 77,144 (27,096) 50,048
Long Duration Fund 76,544 61,730 (61,908) (178)
Extended Duration Fund 153,259 264,300 (263,871) 429
International Equity Fund 1,803,607 217,549 (30,184) 187,365
World Equity Ex-US Fund 275,753 3,307 (8,651) (5,344)
7. CONCENTRATION/RISKS
In the normal course of business, the Funds enter into contracts that provide
general indemnifications by the Fund to the counterparty to the contract. 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 and Extended Duration
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.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 129
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Concluded)
MAY 31, 2005
The International Equity and World Equity Ex-US Funds invest 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 year ended May 31, 2005, 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
01/28/05 82,621 9,679,842
05/31/05 127,802 15,398,904
Small/Mid Cap Fund
06/29/04 139,224 15,180,964
07/13/04 257,166 27,023,049
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 331/3%
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 Fund, along with other bondholders, has since
entered into an agreement to sell the Note to Duty Free International. 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 May 31, 2005, the 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 79.82%
Large Cap Fund Class T 1 100.00
Large Cap Disciplined Equity Fund Class A 1 66.18
Large Cap Index Fund Class A 1 86.30
Small Cap Class A 3 51.37
Small Cap Class T 1 96.08
Small/Mid Cap Equity Fund Class A 2 71.34
Core Fixed Income Fund Class A 2 71.95
Long Duration Fund Class A 1 83.83
Extended Duration Fund Class A 2 100.00
International Equity Fund Class A 1 68.46
World Equity Ex-US Fund Class A 2 95.20
These shareholders are comprised of omnibus accounts, which are held on the
behalf of several individual shareholders.
- --------------------------------------------------------------------------------
130 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
TRUSTEES AND OFFICERS OF THE TRUST (Unaudited)
The following chart lists Trustees and Officers as of July 26, 2005.
Set forth below are the names, dates of birth, position with the Trust, length
of term of office, the principal occupations for the last five years, number of
portfolios in fund complex overseen by trustee, and other directorships outside
the fund complex of each of the persons currently serving as Trustees and
Officers of the Trust. The Trust's Statement of Additional Information ("SAI")
includes additional information about the Trustees and Officers. The SAI may be
obtained without charge by calling [1-800-342-5734].
- ------------------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY
AND AGE TRUSTS SERVED1 FIVE YEARS BY TRUSTEE2 TRUSTEE
- ------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES
- -------------------
Robert A. Nesher Chairman since 1982 Currently performs various 70 Trustee of The Advisors' Inner
One Freedom of the services on behalf of SEI Circle Fund, The Advisors'
Valley Drive, Board of Investments for which Mr. Inner Circle Fund II, Bishop
Oaks, PA 19456 Trustees* Nesher is compensated. Street Funds, The MDL Fund;
58 yrs. old Director of SEI Global Master
Fund, plc, SEI Global Assets
Fund, plc, SEI Global Investments
Fund, plc, SEI Investments
Global, Limited, SEI Investments
-- Global Fund Services, Limited,
SEI Investments (Europe),
Limited, SEI Investments -- Unit
Trust Management (UK), Limited,
SEI Global Nominee Ltd., SEI
Absolute Return Master Fund,
L.P., SEI Absolute Return Fund,
L.P., SEI Opportunity Master
Fund, L.P., SEI Opportunity Fund,
L.P. and SEI Multi-Strategy Funds
plc.
- ------------------------------------------------------------------------------------------------------------------------------------
William M. Doran Trustee* since 1982 Self-employed consultant since 2003. 70 Trustee of The Advisors' Inner
1701 Market Street Partner, Morgan, Lewis & Bockius Circle Fund, The Advisors'
Philadelphia, PA LLP(law firm) from 1976 to 2003, Inner Circle Fund II, The MDL
19103 counsel to the Trust, SEI Invest- Funds: Director of SEI
65 yrs. old ments, SIMC, the Administrator Investments since 1974.
and theDistributor. Secretary Director of the Distributor
of SEI Investments since 1978. since 2003. Director of SEI
Investments -- Global Fund
Services, Limited, SEI
Investments Global, Limited, SEI
Investments (Europe), Limited,
SEI Investments (Asia), Limited
and SEI Asset Korea Co., Ltd.
- ------------------------------------------------------------------------------------------------------------------------------------
TRUSTEES
- --------
F. Wendell Gooch Trustee since 1982 Retired 70 Trustee of STI Classic Funds
One Freedom and STI Classic Variable Trust.
Valley Drive,
Oaks, PA 19456
72 yrs. old
- ------------------------------------------------------------------------------------------------------------------------------------
James M. Storey Trustee since 1995 Attorney, sole practitioner since 70 Trustee of The Advisors' Inner
One Freedom 1994. Partner, Dechert Price Circle Fund, The Advisors'
Valley Drive, & Rhoads, September 1987- Inner Circle Fund II,The MDL
Oaks, PA 19456 December 1993. Funds, Massachusetts Health
74 yrs. old and Education Tax-Exempt Trust,
and U.S. Charitable Gift Trust.
- ------------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 131
<page>
- --------------------------------------------------------------------------------
TRUSTEES AND OFFICERS OF THE TRUST (Unaudited) (Concluded)
- ------------------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY
AND AGE TRUSTS SERVED1 FIVE YEARS BY TRUSTEE2 TRUSTEE
- ------------------------------------------------------------------------------------------------------------------------------------
TRUSTEES (CONTINUED)
- --------
George J. Sullivan, Jr.Trustee since 1996 Self-Employed Consultant, Newfound 70 Trustee of The Advisors' Inner
One Freedom Consultants Inc. since April 1997. Circle Fund, The Advisors'
Valley Drive Inner Circle Fund II, The
Oaks, PA 19456 MDL Funds, State Street
62 yrs. old Navigator Securities Lending
Trust, SEI Absolute Return
Master Fund, L.P., SEI Absolute
Return Fund, L.P., SEI
Opportunity Master Fund, L.P.,
and SEI Opportunity Fund, L.P.
- ------------------------------------------------------------------------------------------------------------------------------------
Rosemarie B. Greco Trustee since 1999 Director, Governor's Office of Health 70 Director, Sonoco, Inc.;
One Freedom` Care Reform, Commonwealth of Director, Exelon Corporation;
Valley Drive Pennsylvania since 2003. Founder and Trustee, Pennsylvania Real
Oaks, PA 19456 Principal, Grecoventures Ltd. from Estate Investment Trust.
59 yrs. old 1999 to 2002.
- ------------------------------------------------------------------------------------------------------------------------------------
Nina Lesavoy Trustee since 2003 Managing Partner, Cue Capital since 70 SEI Absolute Return Master
One Freedom March 2002, Managing Partner and Fund, L.P., SEI Absolute Return
Valley Drive, Head of Sales, Investorforce, March Fund, L.P., SEI Opportunity
Oaks, PA 19456 2000-December 2001; Global Partner Master Fund, L.P., and SEI
48 yrs. old working for the CEO, Invesco Capital, Opportunity Fund, L.P.
January 1998-January 2000. Head of
Sales and Client Services, Chancellor
Capital and later LGT Asset Management,
1986-2000.
- ------------------------------------------------------------------------------------------------------------------------------------
James M. Williams Trustee since 2004 Vice President and Chief Investment 70 N/A
One Freedom Officer, J. Paul Getty Trust,
Valley Drive, Non-Profit Foundation for Visual Arts,
Oaks, PA 19456 since December 2002. President, Harbor
57 yrs. old Capital Advisors and Harbor Mutual
Funds, 2000-2002. Manager, Pension
Asset Management, Ford Motor Company,
1997-1999.
- ------------------------------------------------------------------------------------------------------------------------------------
OFFICERS
- --------
Edward D. Loughlin President since 1982 Executive Vice President, Enterprise N/A N/A
One Freedom & CEO Division of SEI Investments since
Valley Drive, 1993. Director and President of SIMC
Oaks, PA 19456 since 2004. Chief Executive Officer
54 yrs. old of the Administrator and Director of
the Distributor since 2003. Executive
Vice President of SIMC, 1999-2004.
Executive Vice President of the
Administrator, 1994-2003.
- ------------------------------------------------------------------------------------------------------------------------------------
Peter (Pedro) A. Controller and since 2003 Director, Fund Accounting and N/A N/A
Rodriguez Chief Administration, SEI Investments
One Freedom Financial Global Funds Services since September
Valley Drive, Officer 2002 (and 1997-2002); Vice President,
Oaks, PA 19456 Fund Administration, BlackRock
43 yrs. old Financial Management (April 2002 to
September 2002).
- ------------------------------------------------------------------------------------------------------------------------------------
Timothy D. Barto Vice since 2002 General Counsel, Vice President and N/A N/A
One Freedom President Secretary of SIMC and the
Valley Drive and Administrator since 2004. Vice
Oaks, PA 19456 Secretary President and Assistant Secretary of
37 yrs. old SEI Investments since 2001. Vice
President of SIMC and the
Administrator since 1999. Assistant
Secretary of SIMC, the Administrator
and the Distributor and Vice President
of the Distributor, 1999-2003.
- ------------------------------------------------------------------------------------------------------------------------------------
132 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY
AND AGE TRUSTS SERVED1 FIVE YEARS BY TRUSTEE2 TRUSTEE
- ------------------------------------------------------------------------------------------------------------------------------------
OFFICERS (CONTINUED)
- --------------------
Sofia A. Rosala Vice since 2004 Vice President and Assistant N/A N/A
One Freedom President Secretary of SIMC and the.
Valley Drive and Administrator since 2005. Compliance
Oaks, PA 19456 Assistant Officer of SEI Investments September.
31 yrs. old Secretary 2001-2004. Account and Product
Consultant, SEI Private Trust Company,
1998-2001.
- ------------------------------------------------------------------------------------------------------------------------------------
Philip T. Masterson Vice since 2004 Vice President and Assistant Secretary N/A N/A
One Freedom President of SIMC since 2005. General Counsel,
Valley Drive and Citco Mutual Fund Services, 2003-2004.
Oaks, PA 19456 Assistant Vice President and Associate Counsel,
41 yrs. old Secretary OppenheimerFunds, 2001-2003.
Vice President and Assistant Counsel,
Oppenheimer Funds, 1997-2001.
- ------------------------------------------------------------------------------------------------------------------------------------
James Ndiaye Vice since 2005 Vice President and Assistant Secretary N/A N/A
One Freedom President of SIMC since 2005. Vice President,
Valley Drive and Deutsche Asset Management (2003-2004).
Oaks, PA 19456 Assistant Associate, Morgan, Lewis & Bockius LLP
36 yrs. old Secretary (2000-2003). Assistant Vice President,
ING Variable Annuities Group (1999-2000).
- ------------------------------------------------------------------------------------------------------------------------------------
Michael T. Pang Vice since 2005 Vice President and Assistant Secretary N/A N/A
One Freedom President of SIMC since 2005. Counsel, Caledonian
Valley Drive and Bank & Trust's Mutual Funds Group
Oaks, PA 19456 Assistant (2004). Counsel, Permal Asset
33 yrs. old Secretary Management (2001-2004). Associate,
Schulte, Roth & Zabel's Investment
Management Group (2000-2001). Staff
Attorney, U.S. SEC's Division of
Enforcement, Northeast Regional
Office (1997-2000).
- ------------------------------------------------------------------------------------------------------------------------------------
John J. McCue Vice since 2004 Director of Portfolio Implementations N/A N/A
One Freedom President for SIMC since 1995. Managing Director
Valley Drive of Money Market Investments for
Oaks, PA 19456 SIMC since 2003.
42 yrs. old
- ------------------------------------------------------------------------------------------------------------------------------------
Thomas D. Jones, III Chief since 2004 Chief Compliance Officer and Assistant N/A N/A
One Freedom Compliance Secretary of SIMC since March
Valley Drive Officer 2004. First Vice President, Merrill
Oaks, PA 19456 Lynch Investment Managers
40 yrs. old (Americas) from 2003-2004. Director,
Merrill Lynch Investment Managers
(Americas), 2001-2002. Vice President,
Merrill Lynch Investment Managers
(Americas), 1998-2000.
- ------------------------------------------------------------------------------------------------------------------------------------
Nicole Welch Anti-Money since 2005 Assistant Vice President and Anti-Money N/A N/A
One Freedom Laundering Laundering Compliance Coordinator of
Valley Drive Compliance SEI Investments since 2005. Compliance
Oaks, PA 19456 Officer Analyst, TD Waterhouse (2004). Senior
27 yrs. old Compliance Analyst, UBS Financial
Services (2002-2004). Knowledge
Management Analyst, PriceWaterhouseCoopers
Consulting (2000-2002).
- ------------------------------------------------------------------------------------------------------------------------------------
1EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR
UNTIL HE OR SHE SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF TRUST.
2THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS: SEI ASSET ALLOCATION TRUST, SEI DAILY INCOME TRUST, SEI INDEX FUNDS, SEI
INSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET TRUST
AND SEI TAX EXEMPT TRUST.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 133
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2005
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.
- --------------------------------------------------------------------------------
134 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
Disclosure of Fund Expenses (Unaudited) (Concluded)
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/30/04 5/31/05 RATIOS PERIOD*
- -----------------------------------------------------------------------
LARGE CAP FUND
- -----------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,026.80 0.26% $1.31
Class T Shares 1,000.00 1,023.50 0.82 4.14
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.64 0.26% $1.31
Class T Shares 1,000.00 1,020.84 0.82 4.13
- -----------------------------------------------------------------------
LARGE CAP DISCIPLINED EQUITY FUND
- -----------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,038.10 0.31% $1.58
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.39 0.31% $1.56
- -----------------------------------------------------------------------
LARGE CAP INDEX FUND
- -----------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,032.40 0.13% $0.66
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.28 0.13% $0.66
- -----------------------------------------------------------------------
SMALL CAP FUND
- -----------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 996.20 0.54% $2.69
Class T Shares 1,000.00 993.30 1.09 5.42
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.24 0.54% $2.72
Class T Shares 1,000.00 1,019.50 1.09 5.49
- -----------------------------------------------------------------------
SMALL/MID CAP EQUITY FUND
- -----------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,018.30 0.61% $3.07
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,021.89 0.61% $3.07
- -----------------------------------------------------------------------
CORE FIXED INCOME FUND
- -----------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,028.10 0.15% $0.76
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.18 0.15% $0.76
- -----------------------------------------------------------------------
LONG DURATION 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 $1,023.93 0.20% $1.01
- -----------------------------------------------------------------------
EXTENDED DURATION FUND
- -----------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,188.20 0.20% $1.09
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.93 0.20% $1.01
- -----------------------------------------------------------------------
INTERNATIONAL EQUITY FUND
- -----------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,017.00 0.43% $2.16
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.79 0.43% $2.17
- -----------------------------------------------------------------------
*Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by 182/365 (to reflect
one-half year period shown).
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
3/28/04(1) 5/31/05 RATIOS PERIOD*
- -----------------------------------------------------------------------
WORLD EQUITY EX-US FUND
- -----------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 980.00 0.60% $1.02
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,077.73 0.60% $1.04
- -----------------------------------------------------------------------
(1) Date of inception.
*Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by 64/365 (to reflect period
since inception).
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 135
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2005
Board of Trustees Considerations in Approving the
Advisory and Sub-Advisory Agreements (Unaudited)
The SEI Institutional Investments Trust (the "Trust") and SEI Investments
Management Corporation ("SIMC") have entered into an investment advisory
agreement (the "Advisory Agreement"). Pursuant to the Advisory Agreement, SIMC
oversees the investment advisory services provided to each series of the Trust
(each, a "Fund" and, collectively, the "Funds") and SIMC may manage a portion of
the Funds' assets. Pursuant to separate sub-advisory agreements (the
"Sub-Advisory Agreements" and, together with the Advisory Agreement, the
"Investment Advisory Agreements") with SIMC, and under the supervision of SIMC
and the Trust's Board of Trustees (the "Board"), the sub-advisers are
responsible for the day-to-day investment management of all or a discrete
portion of the assets of the Funds. The sub-advisers also are responsible for
managing their employees who provide services to these Funds. The sub-advisers
are selected based primarily upon the research and recommendations of SIMC,
which evaluates quantitatively and qualitatively each sub-adviser's skills and
investment results in managing assets for specific asset classes, investment
styles and strategies, as well as the sub-adviser's regulatory compliance
policies and procedures.
The Investment Company Act of 1940, as amended (the "1940 Act") requires that
the initial approval of, as well as the continuation of, each Fund's Investment
Advisory Agreement must be specifically approved by: (i) the vote of the Board
or by a vote of the shareholders of the Fund; and (ii) the vote of a majority of
the trustees who are not parties to the Investment Advisory Agreements or
"interested persons" (as defined under the 1940 Act) of any party to the
Investment Advisory Agreements (the "Independent Trustees"), cast in person at a
meeting called for the purpose of voting on such approval. In connection with
their consideration of such approvals, the Board must request and evaluate, and
SIMC and the sub-advisers are required to furnish, such information as may be
reasonably necessary to evaluate the terms of the Investment Advisory
Agreements. In addition, the Securities and Exchange Commission ("SEC") takes
the position that, as part of their fiduciary duties with respect to a mutual
fund's fees, mutual fund boards are required to evaluate the material factors
applicable to a decision to approve an Investment Advisory Agreement.
Consistent with the responsibilities referenced above, the Board called and held
a meeting on March 9, 2005 to consider whether to renew the Advisory Agreement
between the Trust and SIMC. In preparation for the meeting, the Board provided
SIMC with a written request for information and received and reviewed extensive
written materials in response to that request, including information as to the
performance of the Funds versus benchmarks and peer universes, the levels of
fees for various categories of services provided by SIMC and affiliates and the
overall expense ratio of the Funds, comparisons of such fees and expenses with
such fees and expenses incurred by other funds, the costs to SIMC and its
affiliates of providing such services, including a profitability analysis,
SIMC's compliance program, and various other matters. Prior to the meeting, the
Independent Trustees met separately by telephone with independent legal counsel
to review materials prepared by SIMC and, on the basis of that discussion, the
Independent Trustees prepared a written request for additional information from
SIMC. In connection with the meeting, the Board also received extensive data
provided by third parties and a memorandum from legal counsel regarding the
responsibilities of Board and the responsibilities of the Independent Trustees
in connection with their consideration of whether to approve the Advisory
Agreement. In addition, the Independent Trustees met with independent legal
counsel in executive session without the presence of management and participated
in question and answer sessions with representatives of SIMC.
In addition, the Board called and held a meeting on December 9, 2004 to consider
whether to renew the Sub-Advisory
- --------------------------------------------------------------------------------
136 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
Agreements between SIMC and the sub-advisers listed in the table below on behalf
of the respective Funds and called and held a meeting on April 27, 2005 for the
purpose of considering whether to approve a Sub-Advisory Agreement between SIMC
and Delaware Management Company, a series of Delaware Management Business, on
behalf of the Large Cap Fund.
LARGE CAP FUND LARGE CAP DISCIPLINED EQUITY FUND
Alliance Capital Management, L.P. Analytic Investors, Inc.
Aronson+Johnson+Ortiz, LP Barclays Global Fund Advisors
Franklin Portfolio Associates, LLC Enhanced Investment Technologies, LLC
LSV Asset Management Quantitative Management Associates LLC
LARGE CAP INDEX FUND SMALL CAP FUND
Barclays Global Fund Advisors LSV Asset Management
INTERNATIONAL EQUITY FUND SMALL/MID CAP EQUITY FUND
Capital Guardian Trust Company LSV Asset Management
Fisher Investments, Inc.
McKinley Capital Management, Inc.
Morgan Stanley Investment Management Inc.
Morgan Stanley Investment Management Limited
The Board prepared written requests for information from each respective
sub-adviser and received written materials in response to such requests from
each of the above-referenced sub-advisers. During the Board meetings, the
Independent Trustees met in executive session to discuss the materials and also
met with representatives of selected sub-advisers, including Barclays Global
Fund Advisors and Delaware Management Company. At the request of the Board, the
other sub-advisers did not make in-person presentations, but rather submitted
extensive written materials for consideration by the Board and the Independent
Trustees. The information provided in connection with the Board meetings was in
addition to the detailed information about the Funds that the Board reviews
during the course of each year, including information that relates to the Funds'
operations and the Funds' performance.
As noted above, the Board requested and received written materials from SIMC and
each sub-adviser. Specifically, this requested information and written response
included: (a) the quality of SIMC's and sub-advisers' investment management and
other services; (b) SIMC's and sub-advisers' investment management personnel;
(c) SIMC's and sub-advisers' operations and financial condition; (d) SIMC's and
sub-advisers' brokerage practices (including any soft dollar arrangements) and
investment strategies; (e) the level of the advisory fees that SIMC and each
sub-adviser charges a Fund compared with the fees each charges to comparable
mutual funds; (f) a Fund's overall fees and operating expenses compared with
similar mutual funds; (g) the level of SIMC's and each sub-adviser's
profitability from its Fund-related operations; (h) SIMC's and sub-advisers'
compliance systems; (i) SIMC's and sub-advisers' policies on and compliance
procedures for personal securities transactions; (j) SIMC's and sub-advisers'
reputation, expertise and resources in domestic and/or international financial
markets; and (k) each Fund's performance compared with similar mutual funds.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 137
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2005
Board of Trustees Considerations in Approving the
Advisory and Sub-Advisory Agreements (Unaudited)(Concluded)
At the conclusion of the Board's deliberations, the Board and the Independent
Trustees unanimously approved the Investment Advisory Agreements and approved
the selection of SIMC and the sub-advisers to act in their respective capacities
for the Funds. The approval was based on the Independent Trustees' and the
Board's consideration and evaluation of a variety of specific factors discussed
at the Board meetings, including:
o the nature, extent and quality of the services provided to the Funds under
the Investment Advisory Agreements, including the resources of SIMC and the
sub-advisers and their affiliates dedicated to the Funds;
o the nature, extent and quality of the services provided to the Funds under
the Investment Advisory Agreements, including the resources of SIMC and the
sub-advisers and their affiliates dedicated to the Funds;
o each Fund's investment performance and how it compared to that of other
comparable mutual funds;
o each Fund's expenses under each Investment Advisory Agreement and how those
expenses compared to those of other comparable mutual funds;
o the profitability of SIMC and the sub-advisers and their affiliates with
respect to each Fund, including both direct and indirect benefits accruing
to SIMC and the sub-advisers and their affiliates; and
o the extent to which economies of scale would be realized as the Funds grow
and whether fee levels in the Investment Advisory Agreements reflect those
economies of scale for the benefit of Fund investors.
NATURE, EXTENT AND QUALITY OF SERVICES. The Board considered the nature, extent
and quality of the services provided by SIMC and the sub-advisers to the Funds
and the resources of SIMC and the sub-advisers and their affiliates dedicated to
the Funds. In this regard, the Independent Trustees evaluated, among other
things, SIMC's and the sub-advisers' personnel, experience, and track record.
The Independent Trustees also considered SIMC's and each sub-adviser's
compliance policies and procedures, as well as administrative services (where
applicable). Following this evaluation, the Board concluded that, within the
context of its full deliberations, the nature, extent and quality of services
provided by SIMC and the sub-advisers to the Funds and the resources of SIMC and
the sub-advisers and their affiliates dedicated to the Funds supported renewal
of the Advisory Agreement and the Sub-Advisory Agreements.
FUND PERFORMANCE. The Board of Trustees considered Fund performance in
determining whether to renew the Investment Advisory Agreements. Specifically,
the Trustees considered each Fund's performance relative to its peer group and
appropriate indices/benchmarks, in light of total return, yield and market
trends. As part of this review, the Trustees considered the composition of the
peer group and selection criteria. In evaluating performance, the Independent
Trustees considered both market risk and shareholder risk expectations for each
Fund. Following evaluation, the Board concluded that, within the context of its
full deliberations, the performance of the Funds supported renewal of the
Investment Advisory Agreements.
FUND EXPENSES. With respect to fees payable under the Investment Advisory
Agreements, as well as each Fund's overall operating expenses, the Independent
Trustees considered the rate of compensation under each of the Investment
Advisory Agreements and each Fund's net operating expense ratio in comparison to
those of other comparable mutual funds. The Independent Trustees also considered
information about average expense ratios of comparable mutual funds in each
Fund's
- --------------------------------------------------------------------------------
138 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
respective peer group. Finally, the Independent Trustees considered the effects
of SIMC's voluntary agreement to waive its management fees and, if required,
bear certain other expenses of the Fund in order to prevent total Fund operating
expenses from exceeding a specified level. In addition, the Independent Trustees
also considered that SIMC and the sub-advisers have maintained the Funds' net
operating expenses at competitive levels within their respective distribution
channels. Following evaluation by the Independent Trustees, the Board concluded
that, within the context of its full deliberations, the expenses of the Funds
are reasonable and supported renewal of the Investment Advisory Agreements.
PROFITABILITY. With regard to profitability, the Independent Trustees considered
all forms and levels of compensation received by SIMC and the sub-advisers,
including their respective affiliates, as a result of their role as an
investment adviser for the Funds, irrespective of whether SIMC or the
sub-adviser received such compensation directly or indirectly. The Independent
Trustees also considered whether the various levels of compensation and
profitability under the Investment Advisory Agreements and other service
agreements were reasonable and justified in light of the quality of all services
rendered to the Funds by SIMC and the sub-advisers and any of their affiliates.
Based on this evaluation, the Board concluded that, within the context of its
full deliberations, the profitability of SIMC and the sub-advisers is reasonable
and supported renewal of the Investment Advisory Agreements.
ECONOMIES OF SCALE. The Independent Trustees considered the existence of any
economies of scale for a Fund and, if so, whether SIMC passed such savings to
the Fund's shareholders through a graduated investment advisory fee schedule or
other means, including any fee waivers by SIMC and its affiliates. Based on this
evaluation, the Board concluded that, within the context of its full
deliberations, the Funds obtain reasonable benefit from economies of scale.
Based on the Independent Trustees' deliberation and their evaluation of the
information described above, the Board and the Independent Trustees each
unanimously approved the continuation of the Investment Advisory Agreements and
concluded that the compensation under each of the Investment Advisory Agreements
is fair and reasonable in light of such services and expenses and such other
matters as the Independent Trustees and the Board considered to be relevant in
the exercise of their reasonable judgment. In the course of their deliberations,
the Independent Trustees considered all of the factors above and did not
identify any one particular factor or specific piece of information that
determined whether to approve or renew the Investment Advisory Agreements. It is
anticipated that the Board and the Independent Trustees will consider the
approval or renewal of other Sub-Advisory Agreements at one or more meetings to
be held in the future.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2005 139
- --------------------------------------------------------------------------------
Notice to Shareholders (Unaudited)
For shareholders who do not have a May 31, 2005, taxable year end, this notice
is for informational purposes only. For shareholders with a May 31, 2005,
taxable year end, please consult your tax adviser as to the pertinence of this
notice.
For the fiscal year ended May 31, 2005, the Funds of the SEI Institutional
Investments Trust are designating long term and qualifying dividend income with
regard to distributions paid during the year as follows:
(A) (B)
LONG TERM ORDINARY
CAPITAL GAINS INCOME TOTAL
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS
(TAX BASIS) (TAX BASIS) (TAX BASIS)
- -------------------------------------------------------------------------------------------------------------------------
Large Cap Fund 0% 100% 100%
Large Cap Disciplined Equity Fund 3% 97% 100%
Large Cap Index Fund 5% 95% 100%
Small Cap Fund 51% 49% 100%
Small/Mid Cap Equity Fund 0% 100% 100%
Core Fixed Income Fund 8% 92% 100%
Long Duration Fund 0% 100% 100%
Extended Duration Fund 0% 100% 100%
International Equity Fund (3) 0% 100% 100%
World Equity Ex-US Fund (4) 0% 0% 0%
(C)
DIVIDENDS (D)
QUALIFYING QUALIFYING
FOR CORPORATE DIVIDEND INCOME (E)
DIVIDENDS REC. (15% TAX RATE U.S. GOVERNMENT
DEDUCTION (1) FOR QDI) (2) INTEREST
- --------------------------------------------------------------------------------------------------------------------------
Large Cap Fund 100% 100% 0%
Large Cap Disciplined Equity Fund 51% 62% 0%
Large Cap Index Fund 87% 89% 0%
Small Cap Fund 10% 10% 0%
Small/Mid Cap Equity Fund 20% 18% 0%
Core Fixed Income Fund 0% 0% 21%
Long Duration Fund 0% 0% 10%
Extended Duration Fund 0% 0% 4%
International Equity Fund (3) 26% 50% 0%
World Equity Ex-US Fund (4) 0% 0% 0%
(1) Qualifying dividends represent dividends which qualify for the corporate dividends received deduction.
(2) The percentage in this column represents the amount of "Qualifying Dividend Income" as created by the Jobs and Growth Tax Relief
Reconciliation Act of 2003 and is reflected as a percentage of "Ordinary Income Distributions." It is the intention of each of
the aforementioned funds to designate the maximum amount permitted by the law.
The information reported herein may differ from the information and distributions taxable to the shareholders for the calendar
year ending December 31, 2005. Complete information will be computed and reported in conjunction with your 2005 Form 1099-DIV.
(3) The fund intends to pass through a foreign tax credit to shareholders. For fiscal year ended 2005, the total amount of foreign
source income is $39,742,800. The total amount of foreign tax to be paid is $4,113,592. Your allocable share of the foreign tax
credit will be reported on Form 1099 DIV.
(4) The fund intends to pass through a foreign tax credit to shareholders. For fiscal year ended 2005, the total amount of foreign
source income is $6,055,502. The total amount of foreign tax to be paid is $246,153. Your allocable share of the foreign tax
credit will be reported on Form 1099 DIV.
Items (A) and (B) are based on the percentage of each fund's total distribution.
Items (C) and (D) are based on the percentage of ordinary income distributions
of each fund.
Item (E) is based on the percentage of gross income of each fund.
Please consult your tax adviser for proper treatment of this information. This notification should be kept with your permanent tax
records.
- --------------------------------------------------------------------------------
140 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
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 / Annual Report / May 31, 2005 141
<page>
- --------------------------------------------------------------------------------
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%
- --------------------------------------------------------------------------------
142 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
% 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 / Annual Report / May 31, 2005 143
<page>
- --------------------------------------------------------------------------------
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%
- --------------------------------------------------------------------------------
144 SEI Institutional Investments Trust / Annual Report / May 31, 2005
- --------------------------------------------------------------------------------
% 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 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 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 / Annual Report / May 31, 2005 145
- --------------------------------------------------------------------------------
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%
- --------------------------------------------------------------------------------
146 SEI Institutional Investments Trust / Annual Report / May 31, 2005
<page>
- --------------------------------------------------------------------------------
Notes
<page>
- --------------------------------------------------------------------------------
Notes
<page>
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST ANNUAL REPORT MAY 31, 2005
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
James Ndiaye
VICE PRESIDENT, ASSISTANT SECRETARY
Michael T. Pang
VICE PRESIDENT, ASSISTANT SECRETARY
Nicole Welch
ANTI-MONEY LAUNDERING COMPLIANCE OFFICER
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-140 (5/05)
ITEM 2. CODE OF ETHICS.
The registrant has adopted a code of ethics that applies to the registrant's
principal executive officer, principal financial officer, comptroller or
principal accounting officer.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a)(1) The registrant's board of trustees has determined that the registrant has
at least one audit committee financial expert serving on the audit committee.
(a)(2) The audit committee financial expert is George J. Sullivan, Jr. Mr.
Sullivan is an independent trustee as defined in Form N-CSR Item 3(a)(2).
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
For each of the last two fiscal years, the aggregate fees for which
PricewaterhouseCoopers LLP (PwC) billed the Trust for services as follows:
- ------------------ ----------------------------------------------------- -----------------------------------------------------
2005 2004
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
All fees and All fees and All other fees All fees and All fees and All other fees
services to the services to and services to services to the services to and services to
Trust that were service service Trust that were service service
pre-approved affiliates that affiliates that pre-approved affiliates that affiliates that
were did not require were did not require
pre-approved pre-approval pre-approved pre-approval
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(a) Audit $184,890 N/A N/A $133,400 N/A N/A
Fees(1)
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(b) Audit-
Related $0 $173,085(1) N/A $2,400 $130,217(2) N/A
Fees
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(c) Tax Fees N/A N/A N/A N/A N/A N/A
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(d) All N/A N/A N/A N/A N/A N/A
Other
Fees
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
Notes:
(1) Includes fees for examination of the design of SEI's Anti Money
Laundering Program framework, 404 Readiness Assistance for SEI and
agreed upon procedures related to the requirement to perform an
independent audit pursuant to Section 352 of the USA PATRIOT Act for
SEI Funds I.
(2) Includes fees for services relating to state tax consequences of
proposed SIMC restructuring.
(e)(1) Not Applicable.
(e)(2) Percentage of fees billed applicable to non-audit services pursuant to
waiver of pre-approval requirement were as follows:
---------------------------- ----------------- ----------------
2005 2004
---------------------------- ----------------- ----------------
Audit-Related Fees 0% 0%
---------------------------- ----------------- ----------------
Tax Fees 0% 0%
---------------------------- ----------------- ----------------
All Other Fees 0% 0%
---------------------------- ----------------- ----------------
(f) Not applicable.
(g) The aggregate non-audit fees and services billed by PwC for the last
two fiscal years were $0 and $0 for 2005 and 2004, respectively.
(h) Not Applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to open-end management investment 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 management investment 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. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND
AFFILIATED PURCHASERS.
Not applicable to open-end management investment companies.
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
18th 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) Code of Ethics attached hereto.
(a)(2) A separate certification for the principal executive officer and the
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed
herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment
Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing
as an Exhibit.
- --------------------------------------------------------------------------------
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) SEI Institutional Investments Trust
By (Signature and Title)* /s/ Edward Loughlin
--------------------------
Edward D. Loughlin
President & CEO
Date: July 27, 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 Loughlin
--------------------------
Edward D. Loughlin
President & CEO
Date: July 27, 2005
By (Signature and Title)* /s/ Peter Rodriguez
------------------------
Peter (Pedro) A. Rodriguez
Controller & CFO
Date: July 27, 2005
* Print the name and title of each signing officer under his or her signature.