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, 2006
DATE OF REPORTING PERIOD: MAY 31, 2006
ITEM 1. REPORTS TO STOCKHOLDERS.
SEI New ways.
New answers.(R)
SEI Institutional Investments Trust
Annual Report as of May 31, 2006
Large Cap Fund
Large Cap Disciplined Equity Fund
Large Cap Diversified Alpha Fund
Large Cap Index Fund
Small Cap Fund
Small/Mid Cap Equity Fund
Core Fixed Income Fund
Long Duration Fund
Extended Duration Fund
High Yield Bond Fund
International Equity Fund
World Equity Ex-US Fund
Emerging Markets Debt Fund
TABLE OF CONTENTS
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Management's Discussion and Analysis of Fund Performance 1
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Statements of Net Assets/Schedules of Investments 11
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Statements of Assets and Liabilities 185
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Statements of Operations 186
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Statements of Changes in Net Assets 188
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Financial Highlights 192
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Notes to Financial Statements 194
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Report of Independent Registered Public Accounting Firm 207
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Trustees and Officers of the Trust 208
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Disclosure of Fund Expenses 212
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Board of Trustees Considerations in Approving the Advisory
and Sub-Advisory Agreements 214
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Notice to Shareholders 217
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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.
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2006
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 eight 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.
Analysis
The U.S. equity market, as measured by the Russell 1000 Index, advanced more
than 9% for the fiscal year ended May 31, 2006, as the market had a fairly
steady ascent through April 2006 before dropping in the last couple weeks of May
2006. Strong earnings reports in the summer of 2005 pushed the market higher at
the start of the fiscal period. Hurricanes Katrina and Rita caused a pause in
the rally as investors contemplated the impact of higher energy prices. Steady
growth, continued positive earnings reports, and expectations that the Fed was
close to the end of its interest rate tightening cycle drove steady gains until
April. However, new Federal Reserve Chairman Ben Bernanke rattled the markets as
he indicated that fighting inflation was a higher priority than promoting
growth. Equity markets subsequently sold off during the last two weeks of the
fiscal year.
For the fiscal period, the energy and materials sectors led the way, returning
27% and 18% respectively. Both benefited from rising commodity prices and higher
global demand. Information technology and consumer discretionary stocks were
flat for the period as some of the big tech companies such as Dell, Intel and
Microsoft registered double-digit declines. Smaller cap stocks outpaced large
cap stocks, while value stocks outperformed growth stocks; both extending
multi-year trends.
The Fund outperformed the large cap market for the fiscal year ended May 31,
2006. The Fund outperformed its benchmark with a return of 10.87% for the fiscal
year ended May 31, 2006. The Fund's benchmark, the Russell 1000 Index, returned
9.38%. Delaware Management Company, Aronson + Johnson + Ortiz L.P., and LSV
Asset Management were the best performing managers in the Fund. Strong stock
selection within information and financial sectors added to performance. Overall
stock selection across all sectors was positive, with the exception of consumer
discretionary and utilities. In addition, the Fund's overweight to the best
performing energy sector contributed to out-performance. During the year, the
Fund improved its overall structure with the addition of Enhanced Investment
Technologies, LLC (Intech) and Quantitative Management Associates LLC.
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 10.87% 12.68% 2.21% 8.22%
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Comparison of Change in the Value of a $100,000 Investment in the Large Cap
Fund, Class A, versus the Russell 1000 Index
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS:
Large Cap Fund, Russell
Class A 1000 Index
6/14/96 $100,000 $100,000
5/31/97 128,245 127,140
5/31/98 171,027 166,185
5/31/99 204,207 199,937
5/31/00 222,789 223,849
5/31/01 197,080 199,741
5/31/02 168,779 173,095
5/31/03 153,623 159,750
5/31/04 181,843 189,958
5/31/05 198,245 207,852
5/31/06 219,794 227,349
1 For the period ended May 31, 2006. Past performance is not an indication of
future performance. Class A shares were offered beginning 6/14/96. Returns
shown do not reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of fund shares. The returns for certain
periods reflect fee waivers and/or reimbursements in effect for that period;
absent fee waivers and reimbursements, performance would have been lower.
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SEI Institutional Investments Trust / Annual Report / May 31, 2006 1
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2006
Large Cap Disciplined Equity Fund
Objective
The Large Cap Disciplined Equity Fund (the "Fund") seeks to provide long-term
growth of capital.
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. The Fund may also invest in other equity
securities and derivative instruments whose value is derived from the
performance of the S&P 500 Index. The Fund also employs overlay strategies for
return enhancement and alpha source diversification. The Fund uses a
multi-manager approach, with five sub-advisers offering different investment
philosophies to manage portions of the Fund's portfolio. All of the sub-advisers
employ rigorous risk-control processes in order to manage relative risk against
the benchmark.
Analysis
The U.S. equity market, as measured by the Russell 1000 Index, advanced more
than 9% for the fiscal year ended May 31, 2006, as the market had a fairly
steady ascent through April 2006 before dropping in the last couple weeks of May
2006. Strong earnings reports in the summer of 2005 pushed the market higher at
the start of the fiscal period. Hurricanes Katrina and Rita caused a pause in
the rally as investors contemplated the impact of higher energy prices. Steady
growth, continued positive earnings reports, and expectations that the Fed was
close to the end of its interest rate tightening cycle, drove steady gains until
April. However, new Federal Reserve Chairman Ben Bernanke rattled the markets as
he indicated that fighting inflation was a higher priority than promoting
growth. Equity markets subsequently sold off during the last two weeks of the
fiscal year.
For the fiscal period, the energy and materials sectors led the way, returning
27% and 18% respectively. Both benefited from rising commodity prices and higher
global demand. Information technology was flat for the period as some of the big
tech companies such as Dell, Intel and Microsoft registered double-digit
declines. Smaller cap stocks outpaced large cap stocks, while value stocks
outperformed growth stocks; both extending multi-year trends.
The Fund outperformed the large cap market for the fiscal year ended May 31,
2006. The Fund outperformed its benchmark with a return of 9.33% for the fiscal
year ended May 31, 2006. The Fund's benchmark, the S&P 500 Composite Index,
returned 8.64%. Most of the Fund's sub-advisers outperformed during the fiscal
year, led by Enhanced Investment Technologies, LLC (Intech), Quantitative
Management Associates LLC, Smith Breeden Associates, Inc., and Analytic
Investors, Inc. The Fund's tilt toward stocks with attractive valuations, good
price momentum and positive earnings revisions added to returns. In addition,
positive alpha within U.S. fixed income was transported on top of equity market
returns. During the fiscal year, the Fund removed sub-advisers Barclays Global
Fund Advisors and Bridgewater Associates, Inc. and added Smith Breeden
Associates, Inc. and AlphaSimplex Group, LLC.
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 9.33% 11.94%
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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
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS:
Large Cap Disciplined
Equity Fund, S&P 500
Class A Composite Index
8/28/03 $100,000 $100,000
5/31/04 113,235 114,353
5/31/05 124,853 123,776
5/31/06 136,502 134,470
1 For the period ended May 31, 2006. Past performance is not an indication of
future performance. Class A shares were offered beginning 8/28/03. Returns
shown do not reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of fund shares. The returns for certain
periods reflect fee waivers and/or reimbursements in effect for that period;
absent fee waivers and reimbursements, performance would have been lower.
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2 SEI Institutional Investments Trust / Annual Report / May 31, 2006
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 by 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 contracts is relatively nominal. The value of the stock
index futures held by the Fund may not exceed 20% of the Fund's assets.
Analysis
The Fund performed generally in line with its benchmark with a return of 9.34%
for the fiscal year ended May 31, 2006. The Fund's benchmark, the Russell 1000
Index, returned 9.38%. The U.S. equity market, as measured by the Russell 1000
Index, advanced more than 9% for the fiscal year ended May 31, 2006, as the
market had a fairly steady ascent through April 2006 before dropping in the last
couple weeks of May 2006. Strong earnings reports in the summer of 2005 pushed
the market higher at the start of the fiscal period. Hurricanes Katrina and Rita
caused a pause in the rally as investors contemplated the impact of higher
energy prices. Steady growth, continued positive earnings reports, and
expectations that the Fed was close to the end of its interest rate tightening
cycle drove steady gains until April. However, new Federal Reserve Chairman Ben
Bernanke rattled the markets as he indicated that fighting inflation was a
higher priority than promoting growth. Equity markets subsequently sold off in
the last two weeks of the fiscal year.
For the fiscal period, the energy and materials sectors led the way, returning
27% and 18% respectively. Both benefited from rising commodity prices and higher
global demand. Information technology and consumer discretionary stocks were
flat for the period as some of the big tech companies such as Dell, Intel, and
Microsoft registered double-digit declines. Smaller cap stocks outpaced large
cap stocks, while value stocks outperformed growth stocks; both extending
multi-year trends.
The cash flows and transaction costs were the main contributors to the
underperformance. However, the Fund's performance was in line with expectations.
During the period, SSgA Funds Management, Inc. replaced Barclays Global Fund
Advisors as the sub-adviser to the Fund.
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 9.34% 12.36% 4.93%
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Comparison of Change in the Value of a $100,000 Investment in the Large Cap
Index Fund, Class A, versus the Russell 1000 Index
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS:
Large Cap
Index Fund, Russell
Class A 1000 Index
4/1/02 $100,000 $100,000
5/31/02 93,404 93,440
5/31/03 86,128 86,236
5/31/04 102,243 102,543
5/31/05 111,741 112,203
5/31/06 122,177 122,728
1 For the period ended May 31, 2006. Past performance is not an indication of
future performance. Class A shares were offered beginning 4/1/02. Returns
shown do not reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of fund shares. The returns for certain
periods reflect fee waivers and/or reimbursements in effect for that period;
absent fee waivers and reimbursements, performance would have been lower.
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SEI Institutional Investments Trust / Annual Report / May 31, 2006 3
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2006
Small Cap Fund
Changes to Portfolio
April 2006 saw the inception of Los Angeles Capital Management and Equity
Research, Inc.'s Russell 2000 mandate in the SIIT Small Cap Fund (the "Fund").
The manager, new to SEI's small cap mandates, brings a diversifying source of
excess returns to the Fund. Los Angeles Capital Management and Equity Research,
Inc. provides broad coverage over the investment universe by applying
disciplined processes in which various factor tilts, chosen based on the current
market environment, are applied to its portfolio. They also use strict portfolio
construction technology to avoid unnecessary risk.
Analysis
The equity bull market continued through May 2006 for both the broad and
domestic small cap markets, returning 18.24% for the Russell 2000 Index. Style
dispersion was low, as both the growth and value Russell Small Cap indexes had
similar returns over the period. Materials stocks had the best performance of
any sector for the year due to rising commodity prices and businesses' increased
capital expenditures. M&A activity in the telecommunications sector generated
high returns for that sector as well. The energy sector's success continued
through the end of 2005, but slowed year to date in 2006. Worries of continued
Fed tightening have impaired the performance of both financials and consumer
discretionary stocks, as investors reigned in their desire to spend and
responded to higher input prices. The health care sector was the laggard over
the period, as many stock-specific stories of delayed FDA approvals or
rejections for biotech and pharmaceutical companies hurt the sector in
aggregate.
The Fund performed well for the fiscal year ended May 31, 2006. The Fund
outperformed its benchmark with a return of 18.93% for the fiscal year ended May
31, 2006. The Fund's benchmark, the Russell 2000 Index returned 18.24%. Both
stock selection and industry positioning contributed to the return. Stock
selection in and an overweight to the outperforming energy sector, due mostly to
Wellington Management Company, LLP, provided an advantage to the Fund. Stock
selection in real estate also considerably added to performance through the
dedicated REIT manager, Security Capital Research and Management Incorporated.
An underweight to banks at the Fund level also boosted returns. Specific stock
picking in the industrials sector helped with the Fund's performance, though an
underweight to the area somewhat mitigated returns. In particular, LSV Asset
Management had a good showing in the capital goods area. Stock selection in the
semiconductor industry, mainly attributable to Mazama Capital Management, Inc.,
detracted somewhat from the Fund's returns. Finally, an underweight to the best
performing sector of the year -- materials -- as well as inferior stock
selection in the area lessened the Fund's returns.
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 18.93% 19.83% 9.23% 10.31%
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Comparison of Change in the Value of a $100,000 Investment in the Small Cap
Fund, Class A, versus the Russell 2000 Index
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS:
Small Cap Russell
Fund, Class A 2000 Index
6/14/96 $100,000 $100,000
5/31/97 109,193 108,245
5/31/98 138,326 131,326
5/31/99 130,289 127,706
5/31/00 157,728 140,362
5/31/01 170,962 148,348
5/31/02 165,850 147,607
5/31/03 154,522 135,532
5/31/04 203,599 176,585
5/31/05 223,572 193,926
5/31/06 265,894 229,298
1 For the period ended May 31, 2006. Past performance is not an indication of
future performance. Class A shares were offered beginning 6/14/96. Returns
shown do not reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of fund shares. The returns for certain
periods reflect fee waivers and/or reimbursements in effect for that period;
absent fee waivers and reimbursements, performance would have been lower.
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4 SEI Institutional Investments Trust / Annual Report / May 31, 2006
Small/Mid Cap Equity Fund
Changes to Portfolio
April 2006 saw the inception of Los Angeles Capital Management and Equity
Research, Inc.'s Russell 2500 mandate in the SIIT Small/Mid Cap Equity Fund (the
"Fund"). The manager, new to SEI's small cap mandates, brings a diversifying
source of excess returns to the Fund. Los Angeles Capital Management and Equity
Research, Inc. provides broad coverage over the investment universe by applying
disciplined processes in which various factor tilts, chosen based on the current
market environment, are applied to its portfolio. The manager also uses strict
portfolio construction technology to avoid unnecessary risk.
Analysis
The equity bull market continued through May 2006 for both the broad and
domestic small cap markets returning 17.11% for the Russell 2500 Index. The
growth Russell Small/Mid Cap Index outpaced the corresponding value index for
the period. Industrial stocks had the best performance of any sector for the
year due to businesses' increased capital expenditures on reconstruction and
heavy machinery and equipment. M&A activity in the telecommunications sector
generated high returns for that sector as well. The energy sector's success
continued through 2005, but slowed year to date in 2006. Worries of continued
Fed tightening have impaired the performance of both financials and consumer
discretionary stocks, as investors reigned in their desire to spend. The health
care sector had the only negative return for the period, as many stock-specific
stories of delayed FDA approvals or rejections for biotech and pharmaceutical
companies hurt the sector in aggregate.
The Fund performed well for the fiscal year ended May 31, 2006. The Fund
outperformed its benchmark with a return of 17.51% for the fiscal year ended May
31, 2006. The Fund's benchmark, the Russell 2500 Index, returned 17.11%. Both
stock selection and industry positioning contributed to return. The Fund added
significant return in the financials sector. Stock selection afforded an
advantage to the Fund in both the diversified financials industry -- due mostly
to Wellington Management Company, LLP and Mazama Capital Management, Inc. -- and
the real estate sector, where the dedicated REIT manager, Security Capital
Research and Management Incorporated, provided most of the outperformance.
Although an underweight to the industrials sector somewhat mitigated returns,
specific stock picking helped the Fund's performance. In particular, Integrity
Asset Management, LLC had a good showing in the capital goods area. The Fund's
underweight to energy stocks also detracted from returns, but performance was
boosted overall due to specific energy stocks chosen by Wellington Management
Company, LLP. Stock selection in the telecommunications sector was a drag on
performance for most managers. Stocks in the information technology sector also
detracted from Fund performance. Within information technology, Mazama had
difficulty in the semiconductor industry over the period, while Lee Munder
Investments, Ltd. growth portfolio struggled in the technology hardware area.
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 17.51% 15.57%
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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
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS:
Small/Mid Cap
Equity Fund, Russell
Class A 2500 Index
12/15/03 $100,000 $100,000
5/31/04 107,145 105,145
5/31/05 121,481 118,625
5/31/06 142,752 138,922
1 For the period ended May 31, 2006. Past performance is not an indication of
future performance. Class A shares were offered beginning 12/15/03. Returns
shown do not reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of fund shares. The returns for certain
periods reflect fee waivers and/or reimbursements in effect for that period;
absent fee waivers and reimbursements, performance would have been lower.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 5
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2006
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 Fund outperformed its benchmark with a return of (0.09)% for the fiscal year
ended May 31, 2006. The Fund's benchmark, the Lehman Aggregate Bond Index,
returned (0.47)%. The U.S. investment grade bond market struggled over the last
fiscal year, returning (0.47)%. Rising interest rates posed a formidable hurdle
for bonds. The Federal Reserve raised the Federal Funds rate eight times for a
total of 2.00% over the period, pushing two-year Treasury yields higher by
1.46%. In early 2006, thirty-year Treasury yields finally succumbed to inflation
fears and strong economic growth, ending the period at 5.23%, an increase of
0.91%.
These shifts in interest rates caused the slope of the yield curve (or the
difference between thirty-year Treasury yields and two-year Treasury yields) to
flatten another 0.55%, essentially dissipating the yield advantage and risk
premia required by investors in long term securities. Fortunately, the behavior
of the spread sectors was much better than U.S. Treasuries and all spread
sectors, except Mortgage-backed Securities ("MBS") outperformed equivalently
matched Treasuries. Corporate bonds thrived on strong fundamentals, including
robust earnings and only modestly higher default rates even as valuations
appeared stretched. U.S. Agencies shrugged off additional earnings restatements
and corporate governance issues of Fannie Mae and focused instead on the
positive effect of reduced issuance. The Asset-Backed Security ("ABS") and
Commercial Mortgage-Backed Security ("CMBS") sectors repeated another year of
good performance with both generating 0.50% in excess return. These high quality
sectors responded more favorably than MBS this year, as their cash flows were
less susceptible to increasing interest rates and volatility. The MBS sector
underperformed the market by about 0.20%; however GNMA securities struggled more
than FNMA and FHLMC due to higher prepayments, wider spreads and a slowdown in
foreign investor's holdings of these securities.
Various strategies in the Fund helped it to exceed the market return. The Fund
maintained a shorter than benchmark duration for most of 2005 and then extended
duration to equal the benchmark in Q1 2006. This performance enhancing interest
rate strategy was complemented by the correct yield curve positioning of the
Fund. Sector allocations also proved beneficial except for an underweight to the
MBS sector. The sub-advisers had expected higher rates and a flatter yield curve
to create a difficult environment for mortgages but continued strong demand from
banks and foreign investors generated good performance. Issue selection in
corporate and asset-backed securities enhanced returns. Airline, energy, REIT
and home equity holdings did exceptionally well while GM and Ford securities
detracted from performance.
Core Fixed Income Fund
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized Annualized Annualized
One Year 3 Year 5 Year Inception
Return Return Return to Date
- --------------------------------------------------------------------------------
Core Fixed Income Fund,
Class A (0.09)% 2.56% 4.99% 6.47%
- --------------------------------------------------------------------------------
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
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS:
Core Fixed Lehman
Income Fund, Aggregate
Class A Bond Index
6/14/96 $100,000 $100,000
5/31/97 108,290 108,393
5/31/98 120,851 120,229
5/31/99 125,867 125,447
5/31/00 128,472 128,094
5/31/01 146,355 144,887
5/31/02 155,766 156,637
5/31/03 173,056 174,776
5/31/04 175,012 174,007
5/31/05 186,860 185,892
5/31/06 186,692 185,018
1 For the period ended May 31, 2006. Past performance is not an indication of
future performance. Class A shares were offered beginning 6/14/96. Returns
shown do not reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of fund shares. The returns for certain
periods reflect fee waivers and/or reimbursements in effect for that period;
absent fee waivers and reimbursements, performance would have been lower.
- --------------------------------------------------------------------------------
6 SEI Institutional Investments Trust / Annual Report / May 31, 2006
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 duration 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. Due to the long duration or interest rate sensitivity of the
Fund, the Fund may experience large positive and negative absolute returns
depending on the change in interest rates.
Analysis
The Fund's return of (6.08)% underperformed the Lehman Long U.S. Treasury
Index's return of (5.63)% and outperformed the Lehman 15 Year Bellweather Swap
Index's return of (6.78)%, for the fiscal year ended May 31, 2006. Rising
interest rates posed a formidable hurdle for long duration bonds in fiscal year
2005. The Federal Reserve raised the Federal Funds rate eight times for a total
of 2.00% over the period, pushing 2 year Treasury yields higher by 1.46%. More
importantly, in early 2006, thirty year Treasury yields finally succumbed to
inflation fears and strong economic growth, ending the period at 5.23%, an
increase of 0.91%. These shifts in interest rates caused the slope of the yield
curve, (or the difference between 30 year Treasury yields and two year Treasury
yields) to flatten another 0.55%, essentially dissipating the yield advantage
and risk premia required by investors in long term securities.
Fortunately, the behavior of the spread sectors was much better than U.S.
Treasuries and all spread sectors, except Mortgage-backed Securities ("MBS")
outperformed equivalently matched Treasuries. Corporate bonds thrived on strong
fundamentals, including robust earnings and only modestly higher default rates
even as valuations appeared stretched. U.S. Agencies shrugged off additional
earnings restatements and corporate governance issues of Fannie Mae and focused
instead on the positive effect of reduced issuance. The Asset-Backed Security
("ABS") and Commercial Mortgage-Backed Security ("CMBS") sectors repeated
another year of good performance with both generating 0.50% in excess return.
These high quality sectors responded more favorably than MBS this year, as their
cash flows were less susceptible to increasing interest rates and volatility.
The MBS sector underperformed the market by about 0.20%; however GNMA securities
struggled more than FNMA and FHLMC due to higher prepayments, wider spreads and
a slowdown in foreign investor's holdings of these securities. Swap spreads (the
spread over a short term floating rate that an investor receives for buying a
fixed rate security) also widened as the demand for floating rate investments
far outweighed that for fixed rated investments.
As would be expected in a period of rising long term interest rates, the Fund's
return registered a negative nominal return. It's important to remember that the
strategy of the Fund is, in fact to provide absolute returns that match the
performance of pension plan liabilities; as such rising interest rates generate
a negative return on the assets of the Fund, which essentially mimics the
behavior of that high discount rates have on the pension plan's liabilities.
Therefore, though the Fund provided negative returns, the Fund's strategy to
hedge long term pension liabilities was successful. Additionally, the Fund's
active management strategy succeeded in beating the Lehman 15 Year Bellweather
Swap Index by 0.70%. Contributing to performance was the Fund's slightly shorter
than benchmark duration, an underweight to swap spreads and excellent security
selection in the Asset-backed and corporate sectors. Corporate holdings in
autos, insurance and airlines all provided superior risk adjusted returns.
Long Duration Fund
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized
One Year Inception
Return to Date
- --------------------------------------------------------------------------------
Long Duration Fund,
Class A (6.08)% 2.95%
- --------------------------------------------------------------------------------
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
Swap Index2
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS:
Long Duration Lehman Lehman 15 Year
Bond Fund, Long U.S. Bellweather
Class A Treasury Index Swap Index2
4/21/04 $100,000 $100,000 $100,000
5/31/04 98,218 99,012 98,446
5/31/05 113,206 114,983 114,119
5/31/06 106,323 108,510 106,381
1 For the period ended May 31, 2006. Past performance is not an indication of
future performance. Class A shares were offered beginning 4/21/04. Returns
shown do not reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of fund shares. The returns for certain
periods reflect fee waivers and/or reimbursements in effect for that 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, 2006 7
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2006
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 duration 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 may invest in other fixed income securities,
including U.S. Agency, corporate and structured securities to produce
incremental return. Due to the long duration or interest rate sensitivity of the
Fund, the Fund may experience large positive and negative absolute returns
depending on the change in interest rates.
Analysis
The Fund outperformed its benchmark with a return of (19.24)% for the fiscal
year ended May 31, 2006. The Fund's benchmark, a hybrid benchmark of the Lehman
20 Year Bellweather Swap and Lehman 3 Month Bellweather Swap Indices, returned
(19.87)%. Rising interest rates posed a formidable hurdle for long duration
bonds in fiscal year 2005. The Federal Reserve raised the Federal Funds rate
eight times for a total of 2.00% over the period, pushing two-year Treasury
yields higher by 1.46%. More importantly, in early 2006, thirty-year Treasury
yields finally succumbed to inflation fears and strong economic growth, ending
the period at 5.23%, an increase of 0.91%. These shifts in interest rates caused
the slope of the yield curve, (or the difference between thirty-year Treasury
yields and two-year Treasury yields) to flatten another 0.55%, almost
essentially dissipating the yield advantage and risk premia required by
investors in long term securities.
Fortunately, the behavior of the spread sectors was much better than U.S.
Treasuries and all spread sectors, except Mortgage-backed Securities ("MBS")
outperformed equivalently matched Treasuries. Corporate bonds thrived on strong
fundamentals, including robust earnings and only modestly higher default rates
even as valuations appeared stretched. U.S. Agencies shrugged off additional
earnings restatements and corporate governance issues of Fannie Mae and focused
instead on the positive effect of reduced issuance. The Asset-Backed Security
("ABS") and Commercial Mortgage-Backed Security ("CMBS") sectors repeated
another year of good performance with both generating 0.50% in excess return.
These high quality sectors responded more favorably than MBS this year, as their
cash flows were less susceptible to increasing interest rates and volatility.
The MBS sector underperformed the market by about 0.20%; however, GNMA
securities struggled more than FNMA and FHLMC due to higher prepayments, wider
spreads and a slowdown in foreign investor's holdings of these securities. Swap
spreads (the spread over a short term floating rate that an investor receives
for buying a fixed rate security) also widened as the demand for floating rate
investments far outweighed that for fixed rated investments.
As would be expected in a period of rising long term interest rates, the Fund's
registered a negative nominal return. It's important to remember that the
strategy of the Fund is, in fact to provide absolute returns that match the
performance of pension plan liabilities; as such rising interest rates generate
a negative return on the assets of the Fund, which essentially mimics the
behavior of that higher discount rates have on the pension plan's liabilities.
Therefore, though the Fund provided negative returns, the Fund's strategy to
hedge long term pension liabilities was successful. Additionally, the Fund's
active management strategy succeeded in beating the benchmark by 0.63%.
Contributing to performance was the Fund's slightly shorter than benchmark
duration, an underweight to swap spreads and excellent security selection in the
Asset-backed and corporate sectors. Corporate holdings in autos, insurance and
airlines all provided superior risk adjusted returns.
Extended Duration Fund
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized
One Year Inception
Return to Date
- --------------------------------------------------------------------------------
Extended Duration Fund,
Class A (19.24)% 2.51%
- --------------------------------------------------------------------------------
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
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS:
Hybrid (2xLehman
20 Year Bellweather
Swap Index)-
Extended Lehman 20 Year Lehman 3 Month
Duration Fund, U.S. Treasury Bellweather
Class A Strip Index Swap Index2
4/21/04 $100,000 $100,000 $100,000
5/31/04 96,117 99,061 96,963
5/31/05 130,469 133,664 132,946
5/31/06 105,366 117,798 106,530
1 For the period ended May 31, 2006. Past performance is not an indication of
future performance. Class A shares were offered beginning 4/21/04. Returns
shown do not reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of fund shares. The returns for certain
periods reflect fee waivers and/or reimbursements in effect for that 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, 2006
International Equity Fund
Objective
The International Equity Fund (the "Fund") seeks to provide capital
appreciation.
Analysis
For the year ended May 2006, the global equity markets were very strong, rising
nearly 30% and benefiting from synchronous economic growth worldwide. This
growth, a first in post war history, was fueled by strong growth in the U.S. and
the emerging markets including BRIC (Brazil, Russia, India and China) countries,
in Japan, which appears to be finally turning around from the economic malaise
that has plagued it for the last 15 years and in Europe which is showing the
benefits of restructuring. With this strong economic backdrop, energy and
industrial commodities are experiencing a demand shock that is driving their
prices to multi year highs.
In this environment, markets leveraged to energy, commodities and emerging
markets benefited the most. Among the benchmark countries, the Scandinavian
countries were the best performers followed by Germany and Japan among the major
countries. UK, Italy and Spain posted strong returns for the year but
underperformed the benchmark. The worst performing market was New Zealand, which
rose less than 2% for the year. Materials, industrials and financials led sector
performance with telecommunications, healthcare and consumer staples lagging.
The Fund outperformed its benchmark with a return of 30.77% for the fiscal year
ended May 31, 2006. The Fund's benchmark, the Morgan Stanley MSCI EAFE Index,
returned 28.24%. Strong stock selection in financials, industrials, materials
and energy provided most of the value add. The Fund also benefited from its
overweight to Japan, underweight to UK and some exposure in the emerging
markets.
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 30.77% 25.13% 8.59% 6.80%
- --------------------------------------------------------------------------------
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.
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS:
International Morgan Stanley
Equity Fund, MSCI EAFE
Class A Index
6/14/96 $100,000 $100,000
5/31/97 107,550 107,539
5/31/98 118,735 119,486
5/31/99 126,963 124,696
5/31/00 155,936 146,069
5/31/01 127,540 120,901
5/31/02 114,875 109,295
5/31/03 98,299 95,851
5/31/04 129,489 127,156
5/31/05 147,268 145,747
5/31/06 192,582 186,905
1 For the period ended May 31, 2006. Past performance is not an indication of
future performance. Class A shares were offered beginning 6/14/96. Returns
shown do not reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of fund shares. The returns for certain
periods reflect fee waivers and/or reimbursements in effect for that period;
absent fee waivers and reimbursements, performance would have been lower
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 9
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2006
World Equity Ex-US Fund
Objective
The World Equity Ex-US Fund (the "Fund") seeks to provide capital appreciation.
Analysis
For the year ended May 2006, the global equity markets were very strong, rising
nearly 30% and benefiting from synchronous economic growth worldwide. This
growth, a first in post war history, was fueled by strong growth in the U.S. and
the emerging markets including BRIC (Brazil, Russia, India and China) countries,
in Japan, which appears to be finally turning around from the economic malaise
that has plagued it for the last 15 years, and in Europe which is showing the
benefits of restructuring. With this strong economic backdrop, energy and
industrial commodities are experiencing a demand shock that is driving their
prices to multi year highs.
In this environment, markets leveraged to energy, commodities and emerging
markets benefited the most. Among the benchmark countries, the emerging markets
countries of Brazil, Russia, India and South Africa were the best performers
followed by Germany and Japan among the major countries. UK, Italy and Spain
posted strong returns for the year but underperformed the benchmark. The worst
performing market was that of New Zealand which rose less than 2% for the year.
Materials, financials, telecommunications and consumer led sector performance
with healthcare and consumer staples lagging.
The Fund outperformed its benchmark with a return of 33.52% for the fiscal year
ended May 31, 2006. The Fund's benchmark, the Morgan Stanley MSCI World Ex-US
Index, returned 29.13%. Strong stock selection in financials, materials,
telecoms and consumer sectors provided most of the value add. The Fund also
benefited from its overweight to Japan, underweight to UK and overweight to the
best performing emerging markets of Russia, Brazil, India and South Africa. All
of our equity managers outperformed for the year ending May 2006.
World Equity Ex-US Fund
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized
One Year Inception
Return to Date
- --------------------------------------------------------------------------------
World Equity Ex-US Fund,
Class A 33.52% 25.83%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $100,000 Investment in the World Equity
Ex-US Fund, Class A, versus the Morgan Stanley MSCI World Ex-US Index
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS:
World Equity Morgan Stanley
Ex-US Fund, MSCI World Ex-US
Class A Index
3/28/05 $100,000 $100,000
5/31/05 98,000 98,055
5/31/06 130,850 126,618
1 For the period ended May 31, 2006. Past performance is not an indication of
future performance. Class A shares were offered beginning 3/28/05. Returns
shown do not reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of fund shares. The returns for certain
periods reflect fee waivers and/or reimbursements in effect for that period;
absent fee waivers and reimbursements, performance would have been lower.
- --------------------------------------------------------------------------------
10 SEI Institutional Investments Trust / Annual Report / May 31, 2006
STATEMENT OF NET ASSETS
Large Cap Fund
May 31,2006
- --------------------------------------------------------------------------------
[BAR CHART OMITTED]
PLOT POINTS ARE AS FOLLOWS:
SECTOR WEIGHTINGS (UNAUDITED)++:
25.3% Financials
14.2% Information Technology
10.9% Consumer Discretionary
10.9% Health Care
8.9% Energy
7.3% Industrials
6.6% Consumer Staples
3.8% Short-Term Investments
3.2% Commercial Paper
3.0% Telecommunication Services
2.5% Utilities
2.3% Materials
1.0% Asset-Backed Securities
0.1% Certificate of Deposit
0.0% U.S. Treasury Obligation
0.0% Warrants
++Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 98.0%
CONSUMER DISCRETIONARY -- 12.4%
Abercrombie & Fitch, Cl A 674 $ 39
Advance Auto Parts* 6,575 251
Aeropostale* 1,000 25
Amazon.com (B)* 5,400 187
American Eagle Outfitters 29,981 979
AnnTaylor Stores* 2,251 87
Apollo Group, Cl A (B)* 80,429 4,207
Applebee's International (B) 18,200 368
Autoliv 16,000 890
Autonation (B)* 6,452 140
Autozone* 1,987 180
Barnes & Noble 11,638 444
Bed Bath & Beyond* 2,043 72
Belo, Cl A 2,555 44
Best Buy 4,300 228
Black & Decker 314 27
Borders Group 19,700 409
BorgWarner 11,800 776
Brinker International 8,911 327
Building Material Holding 10,200 291
Cablevision Systems, Cl A 426 8
Career Education (B)* 1,465 48
CBS, Cl B (B) 54,769 1,419
Cheesecake Factory* 854 25
Chico's FAS* 6,833 205
Circuit City Stores 4,700 141
Claire's Stores 13,700 372
Clear Channel Communications 5,125 158
Coach* 27,703 806
Comcast, Cl A (B)* 61,962 1,991
Corinthian Colleges* 1,400 19
Darden Restaurants 19,555 692
DIRECTV Group* 21,400 376
Dollar General 1,800 29
Dollar Tree Stores* 2,600 69
Dow Jones (B) 3,500 121
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
E.W. Scripps, Cl A 3,803 $ 176
Eastman Kodak 21,900 528
EchoStar Communications, Cl A* 3,643 109
Education Management* 1,400 60
Expedia* 14,388 204
Federated Department Stores 2,088 152
Ford Motor (B) 175,800 1,259
Fortune Brands 19,624 1,452
Gannett (B) 35,756 1,931
General Motors (B) 3,461 93
Genuine Parts 12,658 545
Getty Images* 1,580 104
Goodyear Tire & Rubber (B)* 26,300 335
GTECH Holdings 8,669 300
H&R Block 729 17
Harley-Davidson (B) 19,689 981
Harman International Industries 2,500 212
Harrah's Entertainment (B) 19,280 1,466
Hasbro 24,407 453
Hilton Hotels 1,830 50
Home Depot (B) 46,742 1,782
IAC/InterActive (B)* 21,959 567
International Game Technology 150,522 5,604
Interpublic Group (B)* 15,200 145
ITT Educational Services* 900 59
J.C. Penney (B) 32,543 1,977
John Wiley & Sons, Cl A 3,258 113
Johnson Controls 14,472 1,233
Jones Apparel Group 15,074 489
KB Home 4,267 218
Knight Ridder 1,123 70
Kohl's (B)* 19,553 1,050
Lamar Advertising, Cl A (B)* 22,534 1,229
Lear (B) 7,900 187
Lennar, Cl A 7,600 364
Liberty Global, Cl A (B)* 9,874 226
Liberty Media Holding-Capital, Ser A* 3,900 310
Liberty Media Holding-Interactive,
Ser A* 19,503 350
Limited Brands 10,500 285
Live Nation 1,127 26
Lowe's (B) 54,937 3,421
Marriott International, Cl A 23,856 1,726
Mattel 42,300 711
McDonald's 118,045 3,916
McGraw-Hill 80,517 4,155
Men's Wearhouse* 3,600 122
Meredith 3,900 195
MGM Mirage (B)* 113,377 4,701
Newell Rubbermaid 15,739 416
News, Cl A* 48,739 929
Nike, Cl B 14,865 1,194
Nordstrom 4,248 156
NTL 1,430 38
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 11
STATEMENT OF NET ASSETS
Large Cap Fund (Continued)
May 31,2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
NVR (B)* 300 $ 183
O'Reilly Automotive (B)* 2,258 72
Office Depot* 29,834 1,240
OfficeMax 9,940 411
Omnicom Group 13,283 1,263
Panera Bread, Cl A* 401 26
PetSmart (B) 10,900 291
Polo Ralph Lauren (B) 4,622 261
Pulte Homes 1,800 58
R.H. Donnelley 790 43
Rent-A-Center* 1,200 29
Saks* 1,804 29
Sears Holdings* 280 43
Select Comfort (B)* 12,379 406
ServiceMaster 6,971 75
Sherwin-Williams 5,525 267
Snap-On 4,117 172
Sonic (B)* 20,600 450
Stanley Works (B) 7,151 347
Staples 232,107 5,452
Starbucks* 24,252 865
Starwood Hotels & Resorts Worldwide 1,209 74
Station Casinos 229 17
Steven Madden (B) 3,030 97
Target (B) 42,364 2,072
Tempur-Pedic International (B)* 33,300 458
Tiffany 9,300 318
Timberland, Cl A* 974 27
Time Warner 298,987 5,146
Toyota Motor ADR 700 75
Tribune 2,000 60
Univision Communications, Cl A (B)* 67,481 2,426
VF 16,859 1,061
Viacom, Cl B* 46,766 1,765
Walt Disney 23,599 720
Weight Watchers International 60,345 2,527
Wendy's International 4,238 255
Whirlpool (B) 13,517 1,215
Williams-Sonoma 2,700 98
XM Satellite Radio Holdings, Cl A (B)* 236,340 3,408
Yum! Brands 20,750 1,046
---------
99,689
---------
CONSUMER STAPLES -- 7.6%
Albertson's 43,600 1,117
Altria Group (B) 62,664 4,534
Anheuser-Busch 18,979 866
Archer-Daniels-Midland 11,289 469
BJ's Wholesale Club* 8,600 254
Brown-Forman, Cl B 4,088 312
Campbell Soup 2,445 86
Chattem* 13,000 456
Chiquita Brands International (B) 36,100 516
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Church & Dwight 817 $ 29
Clorox 1,919 121
Coca-Cola 66,901 2,946
Coca-Cola Enterprises 34,933 687
Colgate-Palmolive 35,826 2,162
ConAgra Foods (B) 10,100 228
Costco Wholesale (B) 18,080 957
CVS 3,842 107
Dean Foods* 22,033 786
Del Monte Foods 8,461 100
Energizer Holdings (B)* 6,786 355
Estee Lauder, Cl A 30,100 1,232
General Mills 18,146 942
Hershey (B) 19,562 1,113
HJ Heinz 907 38
Hormel Foods 2,339 84
Kellogg 5,282 249
Kimberly-Clark 18,254 1,107
Kraft Foods, Cl A 2,807 93
Kroger (B)* 69,722 1,402
Loews - Carolina Group 3,059 142
McCormick 1,581 54
Molson Coors Brewing, Cl B 4,100 266
Pepsi Bottling Group (B) 40,044 1,255
PepsiAmericas 25,248 564
PepsiCo 111,377 6,734
Procter & Gamble 178,208 9,668
Reynolds American (B) 19,330 2,125
Safeway (B) 32,776 773
Smithfield Foods* 232 6
Supervalu 11,338 331
Sysco 2,124 65
Tyson Foods, Cl A 34,287 549
Wal-Mart Stores 157,598 7,636
Walgreen 132,256 5,370
Whole Foods Market (B) 9,028 587
WM Wrigley Jr. (B) 30,322 1,386
WM Wrigley Jr., Cl B 7,580 347
---------
61,206
---------
ENERGY -- 9.7%
Anadarko Petroleum (B) 35,766 1,776
Apache 404 26
Arch Coal 6,302 305
Baker Hughes (B) 49,971 4,312
BJ Services 18,961 695
Cameron International* 6,229 292
Chesapeake Energy (B) 86,084 2,633
Chevron 141,298 8,448
ConocoPhillips (B) 131,271 8,308
Consol Energy 1,729 153
Devon Energy 40,364 2,315
Diamond Offshore Drilling 381 33
- --------------------------------------------------------------------------------
12 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
EOG Resources 5,432 $ 357
Exxon Mobil 393,135 23,946
FMC Technologies (B)* 2,900 194
GlobalSantaFe 3,100 186
Grant Prideco* 2,765 133
Halliburton 33,167 2,474
Harvest Natural Resources* 3,440 47
Helmerich & Payne 858 56
Hess (B) 16,351 2,453
Kerr-McGee 2,096 224
Kinder Morgan 4,174 419
Marathon Oil 35,144 2,638
Maverick Tube (B)* 2,500 120
Murphy Oil 572 30
Nabors Industries* 4,200 151
National Oilwell Varco* 1,130 75
Newfield Exploration* 1,729 74
Noble Energy 6,874 299
Occidental Petroleum 27,878 2,762
Oil States International (B)* 8,000 278
Patterson-UTI Energy 2,326 70
Peabody Energy 158 10
Pioneer Natural Resources 1,101 45
Pogo Producing 2,128 96
Pride International* 3,600 116
Schlumberger (B) 105,320 6,906
SEACOR Holdings* 1,500 122
Smith International 1,407 58
Southwestern Energy* 2,700 87
Sunoco 11,111 762
Tidewater (B) 8,607 437
Unit* 14,940 895
Valero Energy 24,420 1,498
Western Gas Resources 4,238 208
XTO Energy 1,410 58
---------
77,580
---------
FINANCIALS -- 22.4%
A.G. Edwards 19,696 1,056
ACE 2,800 145
Affiliated Managers Group* 1,136 102
Aflac 12,440 582
Alleghany 306 86
Allied Capital (B) 3,867 116
Allstate 65,160 3,584
AMBAC Financial Group 10,800 866
American Capital Strategies (B) 7,746 265
American Express 56,352 3,063
American Financial Group (B) 13,399 565
American International Group 110,320 6,707
Ameriprise Financial 8,658 396
AmerUs Group 1,000 58
AmSouth Bancorp (B) 36,011 965
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Anthracite Capital+ 1,794 $ 20
AON 45,561 1,624
Apartment Investment & Management,
Cl A 843 36
Archstone-Smith Trust+ 2,501 121
Arthur J Gallagher 2,622 70
Ashford Hospitality Trust+ 5,508 66
Associated Banc 729 24
Assurant 12,907 631
Astoria Financial 25,033 758
AvalonBay Communities+ 2,914 310
Bank of America 283,509 13,722
Bank of Hawaii 943 48
Bank of New York 8,400 279
BB&T (B) 41,234 1,714
Bear Stearns 9,845 1,317
BlackRock, Cl A 914 122
Boston Properties+ 1,094 93
BRE Properties, Cl A+ 4,300 224
Brookfield Properties 19,600 581
Brown & Brown 6,801 207
Camden Property Trust+ 1,307 93
Capital Lease Funding+ 1,616 19
Capital One Financial (B) 6,748 559
CapitalSource+ 3,100 73
CarrAmerica Realty+ 3,400 151
CB Richard Ellis Group, Cl A (B)* 10,300 797
Charles Schwab 140,282 2,337
Chicago Mercantile Exchange Holdings 12,107 5,343
Chubb 25,992 1,313
CIT Group 35,648 1,832
Citigroup 360,163 17,756
City National 207 15
CNA Financial* 9,902 323
Colonial BancGroup 9,000 240
Comerica 46,197 2,529
Commerce Bancorp 7,984 314
Commerce Bancshares 4,675 242
Compass Bancshares 1,407 78
Conseco (B)* 4,646 112
Countrywide Financial 14,651 561
Crescent Real Estate Equities+ 1,400 25
Cullen/Frost Bankers 4,300 244
Duke Realty+ 4,200 143
E*Trade Financial* 5,900 143
East West Bancorp (B) 2,800 112
Equity Office Properties Trust+ (B) 5,623 189
Equity Residential+ 7,443 328
Erie Indemnity, Cl A 729 37
Essex Property Trust+ (B) 1,900 202
Fannie Mae 23,814 1,185
Federal Realty Investment Trust+ 1,680 115
Federated Investors, Cl B 8,072 259
Fidelity National Financial 3,846 160
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 13
STATEMENT OF NET ASSETS
Large Cap Fund (Continued)
May 31,2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Fieldstone Investment+ 9,500 $ 99
Fifth Third Bancorp 800 30
First American 17,711 743
First Horizon National (B) 8,022 321
FirstMerit 5,100 117
Forest City Enterprises, Cl A 4,152 186
Franklin Resources 12,771 1,149
Freddie Mac 85,810 5,152
Fulton Financial 2,304 36
General Growth Properties+ 1,294 57
Genworth Financial, Cl A 8,000 268
Golden West Financial 438 32
Goldman Sachs Group 21,164 3,195
Greenhill (B) 3,700 220
Hanover Insurance Group 736 35
Hartford Financial Services Group 22,450 1,974
HCC Insurance Holdings (B) 7,969 245
Hospitality Properties Trust+ 4,584 193
Host Hotels & Resorts+ 1,474 30
Hudson City Bancorp 13,400 183
Huntington Bancshares 13,673 322
Independence Community Bank 2,100 88
IndyMac Bancorp 17,494 803
International Bancshares 1,772 51
Jefferies Group 3,300 96
JER Investors Trust+ 5,400 84
Jones Lang LaSalle (B) 11,800 938
JPMorgan Chase 229,637 9,792
Keycorp 63,133 2,255
Kimco Realty+ 472 17
LandAmerica Financial Group 800 54
Legg Mason 6,175 592
Lehman Brothers Holdings (B) 55,800 3,717
Leucadia National (B) 4,800 307
Lincoln National 25,072 1,409
Loews 70,947 2,411
M&T Bank 2,930 337
Macerich+ 458 32
Markel* 29 10
Marsh & McLennan (B) 17,325 486
Marshall & Ilsley 1,672 76
MBIA 9,000 514
Mellon Financial 10,800 391
Mercantile Bankshares 6,874 247
Mercury General 1,600 90
Merrill Lynch 75,928 5,498
Metlife 21,490 1,106
MGIC Investment 15,862 1,045
Moody's (B) 95,866 5,014
Morgan Stanley 79,932 4,766
National City 83,864 3,093
Nationwide Financial Services, Cl A (B) 15,000 650
Nationwide Health Properties+ 2,700 57
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
New York Community Bancorp 3,349 $ 56
North Fork Bancorporation 1,100 32
Northern Trust (B) 5,865 328
Nuveen Investments, Cl A 2,100 94
Old Republic International 32,150 687
Pan Pacific Retail Properties+ 716 47
Peoples Bank 2,414 79
Plum Creek Timber+ 522 19
PMI Group (B) 16,600 755
PNC Financial Services Group 31,743 2,187
Principal Financial Group (B) 35,700 1,951
Progressive 28,564 781
Prologis+ 736 36
Protective Life 314 14
Prudential Financial 21,200 1,614
Public Storage+ 314 23
Radian Group 16,564 1,012
Ramco-Gershenson Properties+ 5,286 137
Raymond James Financial 6,100 179
Rayonier+ 6,400 249
Reckson Associates Realty+ 2,200 85
Regency Centers+ 387 24
Regions Financial (B) 30,169 1,021
Reinsurance Group of America 1,400 66
Safeco (B) 19,662 1,089
Shurgard Storage Centers, Cl A+ 3,943 229
Simon Property Group+ 1,101 88
Sky Financial Group 3,554 87
SL Green Realty+ 522 52
SLM 6,377 343
Sovereign Bancorp 1,987 44
Spirit Finance+ 2,500 29
St. Paul Travelers 74,334 3,272
Stancorp Financial Group 2,200 107
State Street 4,301 267
SunTrust Banks 28,702 2,173
Synovus Financial 5,003 132
T Rowe Price Group 2,416 191
TCF Financial 10,600 283
TD Ameritrade Holding 15,467 263
TD Banknorth 6,960 199
Thornburg Mortgage+ (B) 18,772 512
Torchmark 3,745 221
Transatlantic Holdings 401 23
UnionBanCal 12,500 846
United Dominion Realty Trust+ 1,030 28
UnumProvident 20,073 361
US Bancorp 150,252 4,638
Valley National Bancorp 1,600 39
Vornado Realty Trust 865 78
Wachovia 122,583 6,558
Washington Federal 1,600 37
Washington Mutual 64,960 2,982
- --------------------------------------------------------------------------------
14 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Wells Fargo 33,123 $ 2,198
Wilmington Trust 1,987 85
WR Berkley 27,091 931
XL Capital, Cl A (B) 2,458 156
Zions Bancorporation 2,951 239
---------
179,221
---------
HEALTH CARE -- 12.6%
Abbott Laboratories 16,100 687
Advanced Medical Optics* 600 27
Aetna 14,262 549
Alcon 1,408 152
Allergan (B) 54,487 5,166
AmerisourceBergen 32,042 1,397
Amgen* 76,522 5,172
Analogic 400 23
Applera - Applied Biosystems Group 4,430 131
Barr Pharmaceuticals* 5,748 303
Bausch & Lomb 451 22
Baxter International 31,681 1,194
Becton Dickinson 17,197 1,039
Biogen Idec (B)* 20,229 943
Boston Scientific* 31,181 645
Bristol-Myers Squibb (B) 9,613 236
C.R. Bard 4,496 333
Cardinal Health 13,584 909
Caremark Rx* 58,150 2,789
Celgene (B)* 8,676 360
Cephalon (B)* 238 14
Cerner* 2,058 78
Cigna 18,148 1,683
CNS 234 5
Community Health Systems* 696 26
Covance* 788 47
Coventry Health Care* 3,065 160
Dade Behring Holdings 10,651 397
DaVita* 1,426 76
Eli Lilly 67,137 3,467
Emdeon* 40,100 466
Endo Pharmaceuticals Holdings* 4,338 127
Express Scripts* 7,045 516
Fisher Scientific International (B)* 21,117 1,568
Forest Laboratories* 9,072 340
Genentech* 113,042 9,378
Genzyme* 1,236 74
Gilead Sciences* 6,529 374
HCA 22,058 981
Health Management Associates, Cl A 1,787 37
Health Net* 15,617 672
Henry Schein* 1,723 79
Hospira* 9,688 434
Humana* 803 41
Idexx Laboratories* 3,016 231
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ImClone Systems* 4,500 $ 180
IMS Health 2,823 76
Invitrogen* 810 52
Johnson & Johnson 61,904 3,728
Kinetic Concepts* 900 35
King Pharmaceuticals (B)* 82,384 1,465
Laboratory of America Holdings (B)* 7,879 468
Lincare Holdings (B)* 4,490 167
Manor Care 1,287 60
Matria Healthcare* 2,000 58
McKesson 15,917 788
Medco Health Solutions* 33,045 1,781
Medimmune* 65,214 2,075
Medtronic (B) 103,050 5,203
Merck 142,924 4,758
Millennium Pharmaceuticals* 9,600 82
Millipore* 4,409 306
Mylan Laboratories (B) 30,113 630
Omnicare 11,555 536
PDL BioPharma* 7,590 154
Pfizer 485,479 11,486
Pharmaceutical Product Development 4,818 175
PolyMedica 6,000 230
Quest Diagnostics 5,211 290
Resmed (B)* 4,532 206
Respironics* 4,939 168
Schering-Plough 17,468 333
Sepracor* 836 43
St. Jude Medical* 58,855 2,007
Stryker 66,846 2,935
Techne (B)* 6,161 337
Tenet Healthcare* 19,500 154
Thermo Electron* 3,429 126
UnitedHealth Group 108,407 4,766
Universal Health Services, Cl B 11,881 603
Varian Medical Systems (B)* 3,587 168
VCA Antech* 6,858 207
Waters* 18,516 771
Watson Pharmaceuticals* 8,835 224
WellPoint* 5,960 427
West Pharmaceutical Services 334 11
Wyeth (B) 75,894 3,471
Zimmer Holdings* 94,120 5,699
---------
100,787
---------
INDUSTRIALS -- 8.4%
3M 30,386 2,542
Actuant, Cl A 200 12
Adesa 726 17
Alexander & Baldwin 1,374 62
Alliant Techsystems* 122 10
American Standard 2,800 119
Ametek 809 37
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 15
STATEMENT OF NET ASSETS
Large Cap Fund (Continued)
May 31,2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
AMR (B)* 6,416 $ 158
Applied Industrial Technologies 2,400 93
Aramark, Cl B 4,454 146
Armor Holdings (B)* 5,759 329
Avery Dennison 1,901 113
Boeing 5,030 419
Brink's 3,000 165
Burlington Northern Santa Fe 16,585 1,284
Caterpillar 4,267 311
Cendant 59,700 965
CH Robinson Worldwide 9,887 435
ChoicePoint* 4,207 187
Cintas 600 25
Con-way 5,588 330
Corporate Executive Board 3,222 328
CSX 14,994 1,003
Cummins (B) 17,900 1,973
Danaher 2,330 149
Deere (B) 13,092 1,121
Dover 8,064 394
Dun & Bradstreet* 207 15
Eaton 17,291 1,272
Emerson Electric 13,911 1,148
Equifax 6,440 232
Expeditors International Washington 63,307 6,233
Fastenal (B) 8,868 381
FedEx 5,300 579
General Dynamics 14,474 921
General Electric 313,143 10,728
Goodrich 1,014 43
Harsco 6,200 502
Herman Miller 13,669 399
HNI (B) 5,787 302
Honeywell International (B) 55,318 2,278
Illinois Tool Works 600 30
Ingersoll-Rand, Cl A (B) 20,061 875
ITT Industries 8,460 441
Jacobs Engineering Group* 2,210 172
JB Hunt Transport Services 1,400 34
JetBlue Airways (B)* 14,400 150
L-3 Communications Holdings 207 15
Laidlaw International* 10,300 260
Landstar System 1,700 75
Lockheed Martin (B) 32,085 2,326
Manpower 2,000 132
Masco (B) 17,700 549
Monster Worldwide* 1,200 59
MSC Industrial Direct, Cl A 2,700 125
Navistar International (B)* 16,300 433
NCI Building Systems (B)* 2,100 127
Norfolk Southern 2,987 158
Northrop Grumman 48,875 3,161
Paccar 13,366 1,027
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Pall 1,094 $ 33
Parker Hannifin 6,500 507
Pitney Bowes 4,044 165
Precision Castparts 6,525 376
Raytheon 40,688 1,866
Republic Services 1,709 70
Robert Half International 10,700 439
Rockwell Automation 12,696 867
Rockwell Collins 4,932 269
Roper Industries 2,752 129
RR Donnelley & Sons 9,780 315
Ryder System 11,800 638
Southwest Airlines 16,900 272
SPX 729 38
Stericycle* 3,601 240
Teleflex 2,722 167
Terex* 1,000 92
Textron 1,800 164
Thomas & Betts* 11,768 677
Union Pacific 3,781 351
United Parcel Service, Cl B (B) 105,174 8,472
United Technologies 33,729 2,109
USG* 500 46
Waste Management 11,100 406
WW Grainger 4,136 298
YRC Worldwide* 214 8
---------
66,923
---------
INFORMATION TECHNOLOGY -- 16.1%
ADC Telecommunications (B)* 1,954 35
Adobe Systems 4,632 133
Advanced Micro Devices* 6,600 204
Affiliated Computer Services, Cl A* 1,200 60
Agere Systems* 8,329 124
Agilent Technologies* 20,387 711
Akamai Technologies (B)* 4,194 131
Alliance Data Systems* 3,400 180
Altera (B)* 12,859 251
Amphenol, Cl A 1,730 96
Analog Devices 11,065 373
Andrew* 3,867 39
Apple Computer* 13,017 778
Applied Materials* 72,040 1,218
Arrow Electronics* 13,175 428
Autodesk 4,419 161
Automatic Data Processing 6,946 316
Avaya* 8,607 102
Avnet* 9,540 211
Black Box 660 34
BMC Software (B)* 14,821 299
Broadcom, Cl A* 12,137 410
CA 736 16
Cadence Design Systems* 8,297 150
- --------------------------------------------------------------------------------
16 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CDW 1,416 $ 79
Ceridian (B)* 12,858 313
CheckFree* 551 27
Cisco Systems* 193,890 3,816
Citrix Systems* 3,697 139
Computer Sciences* 22,100 1,243
Comverse Technology* 729 16
Convergys* 30,900 576
Corning* 9,755 237
Dell* 79,662 2,022
DST Systems (B)* 5,122 301
eBay (B)* 199,000 6,529
Electronic Arts* 36,239 1,525
Electronic Data Systems (B) 17,700 434
EMC* 148,449 1,900
Fair Isaac 17,639 627
Fidelity National Information Services 6,407 235
First Data 218,212 10,062
Fiserv (B)* 36,407 1,571
Flextronics International* 9,015 101
Freescale Semiconductor, Cl B* 16,287 508
Global Payments 3,774 176
Google, Cl A* 20,080 7,466
Harris 8,302 338
Hewlett-Packard 283,405 9,177
Hyperion Solutions* 521 15
Ingram Micro, Cl A* 1,600 28
Intel 136,612 2,462
International Business Machines 50,076 4,001
Intersil, Cl A (B) 9,867 265
Intuit (B)* 97,596 5,396
Iron Mountain (B)* 9,680 358
Jabil Circuit* 7,616 265
Kla-Tencor 3,043 125
Lam Research (B)* 5,467 245
Lexmark International, Cl A (B)* 15,100 864
Linear Technology (B) 56,321 1,901
LSI Logic* 61,000 594
Marvell Technology Group (B)* 3,150 150
Maxim Integrated Products 35,180 1,081
MEMC Electronic Materials (B)* 2,654 93
Mettler Toledo International* 1,465 95
Micrel (B)* 7,276 82
Microchip Technology 1,214 42
Micron Technology (B)* 13,087 217
Microsoft 307,064 6,955
MicroStrategy, Cl A* 1,070 101
Molex 3,500 124
Motorola 114,724 2,420
National Instruments 1,000 28
National Semiconductor (B) 41,205 1,058
NAVTEQ (B)* 88,000 3,674
Network Appliance (B)* 2,174 70
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Novellus Systems* 3,409 $ 79
Nvidia* 5,530 127
Oracle* 23,511 334
Paychex 163,743 6,011
QLogic* 14,618 261
Qualcomm 294,536 13,316
Red Hat (B)* 7,590 199
Reynolds & Reynolds, Cl A 2,346 66
Sabre Holdings, Cl A 41,619 891
Salesforce.com* 2,638 78
SanDisk (B)* 91,565 5,152
Sanmina-SCI* 34,739 163
Seagate Technology 185,000 4,320
Solectron* 51,000 182
Sybase (B)* 27,992 570
Symantec* 11,240 175
Synopsys* 31,509 644
Tech Data* 26,466 961
Tektronix 5,600 174
Teradyne (B)* 7,223 112
Texas Instruments 56,443 1,763
Vishay Intertechnology (B)* 28,200 458
Western Digital* 44,114 898
Xerox (B)* 33,679 462
Xilinx (B) 21,600 562
Yahoo! (B)* 64,017 2,022
Zebra Technologies, Cl A* 700 25
---------
128,592
---------
MATERIALS -- 2.6%
Airgas 2,500 96
Albemarle 600 29
Alcoa 19,700 625
Allegheny Technologies 1,500 95
Ashland 116 7
Bemis 7,500 228
Cabot (B) 4,000 132
Cleveland-Cliffs (B) 2,900 213
Cytec Industries 2,200 127
Dow Chemical 30,440 1,214
E.I. du Pont de Nemours 12,765 543
Eagle Materials (B) 19,426 947
Eastman Chemical 11,100 626
Ecolab (B) 6,233 241
Engelhard 1,500 58
Freeport-McMoRan Copper & Gold,
Cl B (B) 8,103 454
International Paper 4,637 157
Louisiana-Pacific 13,900 337
Lubrizol 22,006 889
Martin Marietta Materials 13,394 1,226
MeadWestvaco 23,958 656
Monsanto 496 42
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 17
STATEMENT OF NET ASSETS
Large Cap Fund (Continued)
May 31,2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Mosaic (B)* 4,500 $ 70
Newmont Mining 3,400 177
Nucor (B) 15,100 1,590
Pactiv* 15,900 392
Phelps Dodge 12,800 1,097
PPG Industries 26,899 1,731
Praxair 87,651 4,619
Quanex 300 12
Reliance Steel & Aluminum 2,600 210
Rohm & Haas 9,700 489
Scotts Miracle-Gro, Cl A 3,659 160
Sealed Air 2,480 128
Sigma-Aldrich 314 22
Smurfit-Stone Container (B)* 22,900 274
Sonoco Products 2,616 83
Southern Copper 400 34
Temple-Inland 1,945 84
Vulcan Materials 3,601 281
Weyerhaeuser 12,651 809
---------
21,204
---------
TELECOMMUNICATION SERVICES -- 3.4%
Alltel 10,035 621
American Tower, Cl A* 42,907 1,329
AT&T (B) 263,502 6,867
BellSouth 117,190 3,957
CenturyTel 25,829 923
Citizens Communications 20,918 265
Crown Castle International (B)* 64,084 2,036
Embarq 1,611 67
Nextel Partners, Cl A* 4,390 125
NII Holdings* 930 51
Sprint Nextel 207,218 4,395
Verizon Communications 209,895 6,551
---------
27,187
---------
UTILITIES -- 2.8%
AGL Resources 1,410 52
Allegheny Energy* 522 19
Alliant Energy 9,400 323
Ameren (B) 2,459 122
American Electric Power 71,453 2,449
Aqua America 9,786 230
CenterPoint Energy 22,500 270
CMS Energy (B)* 11,000 141
Consolidated Edison 2,467 109
Constellation Energy Group (B) 13,271 686
Dominion Resources (B) 6,452 468
DPL 219 6
DTE Energy (B) 42,032 1,699
Duke Energy (B) 49,125 1,386
Edison International 20,932 821
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Energy East 603 $ 14
Entergy 11,499 806
Equitable Resources 10,768 362
Exelon 3,454 196
FirstEnergy 41,103 2,155
FPL Group 2,052 82
Great Plains Energy 1,232 34
MDU Resources Group 9,014 320
National Fuel Gas 4,100 147
Northeast Utilities 4,504 91
NRG Energy (B)* 12,443 619
NSTAR 368 10
OGE Energy 807 25
Oneok 655 22
Pepco Holdings (B) 23,600 542
PG&E (B) 24,519 973
Pinnacle West Capital (B) 19,700 776
PPL 14,165 422
Progress Energy (B) 29,100 1,223
Public Service Enterprise Group 8,420 537
Puget Energy 1,530 32
Questar 5,574 411
SCANA 5,781 220
Sempra Energy 10,789 485
Southern 4,539 145
Southern Union (B) 8,600 211
TECO Energy 561 9
TXU 31,475 1,804
Wisconsin Energy 4,700 187
WPS Resources 652 32
Xcel Energy (B) 50,845 954
---------
22,627
---------
Total Common Stock
(Cost $719,201) ($ Thousands) 785,016
---------
CORPORATE OBLIGATIONS (C) -- 6.7%
FINANCIALS -- 6.7%
Allstate Life Global Funding II MTN
(E) (F)
5.101%, 06/15/07 $ 795 795
American General Finance (E) (F)
5.111%, 06/15/07 2,505 2,504
American General Finance MTN, Ser F
5.875%, 07/14/06 173 176
Bear Stearns, EXL (E)
5.091%, 06/15/07 3,075 3,075
Caterpillar Financial Services MTN,
Ser F (E)
5.148%, 07/10/06 864 864
Countrywide Financial MTN, Ser A (E)
5.210%, 11/03/06 1,814 1,814
4.960%, 09/13/06 3,196 3,196
- --------------------------------------------------------------------------------
18 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Dekabank (E) (F)
5.108%, 05/18/07 $ 3,196 $ 3,195
Glintnir Bank (E) (F)
5.180%, 04/06/07 2,591 2,591
Irish Life & Permanent MTN,
Ser X (E) (F)
5.109%, 06/21/07 2,297 2,297
Islandsbanki (E) (F)
5.131%, 03/22/07 1,468 1,468
Jackson National Life Funding (E) (F)
5.080%, 05/02/07 3,800 3,800
Kaupthing Bank MTN (E) (F)
5.141%, 03/20/07 4,318 4,318
Landsbanki Islands (E) (F)
5.161%, 03/16/07 3,282 3,282
Morgan Stanley EXL (E)
5.190%, 06/04/07 605 605
Morgan Stanley EXL, Ser S (E)
5.150%, 06/04/07 864 864
Natexis Banques (E) (F)
5.060%, 06/15/07 1,684 1,684
Nationwide Building Society (E) (F)
5.160%, 05/09/07 1,727 1,727
5.020%, 04/27/07 950 950
Nordbank (E) (F)
5.080%, 06/25/07 2,937 2,936
Northern Rock (E) (F)
5.170%, 06/04/07 1,779 1,779
Pacific Life Global Funding (E) (F)
5.101%, 06/14/07 1,296 1,296
Premium Asset Trust,
Ser 2004-06 (E) (F)
5.190%, 06/30/06 1,641 1,642
Premium Asset Trust,
Ser 2004-10 (E) (F)
5.120%, 06/15/07 2,418 2,418
SLM EXL, Ser S (E) (F)
5.081%, 06/15/07 1,900 1,900
Sigma Finance MTN (F)
4.745%, 11/09/06 933 933
Skandinav Enskilda Bank (E) (F)
5.077%, 05/18/07 1,900 1,900
---------
Total Corporate Obligations
(Cost $54,009) ($ Thousands) 54,009
---------
COMMERCIAL PAPER (C) (D) -- 3.7%
Brahms Funding
5.051%, 06/01/06 1,727 1,721
Broadhollow Funding
5.081%, 06/09/06 432 430
5.079%, 06/26/06 1,036 1,033
5.073%, 06/19/06 1,468 1,462
5.062%, 06/05/06 864 860
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Buckingham CDO
5.092%, 06/23/06 $ 864 $ 860
5.087%, 06/08/06 1,727 1,722
Elysian Funding LLC
5.170%, 07/10/06 1,727 1,712
5.134%, 06/30/06 864 856
5.123%, 06/05/06 864 860
Hardwood Street Funding II
5.074%, 06/13/06 152 151
KKR Pacific Funding Trust
5.082%, 06/22/06 1,727 1,720
5.082%, 06/23/06 864 860
5.081%, 06/07/06 1,727 1,720
Main Street Warehouse Funding
5.090%, 06/16/06 1,036 1,032
5.079%, 06/05/06 864 861
5.078%, 06/02/06 155 155
Ocala Funding LLC
5.112%, 06/30/06 259 258
5.092%, 06/09/06 2,733 2,721
Park Granada LLC
5.045%, 06/29/06 864 856
Rams Funding
5.094%, 06/14/06 2,013 2,004
5.091%, 06/21/06 1,727 1,720
Rhineland Funding Capital
5.026%, 06/26/06 1,727 1,708
Thornburg Mortgage Capital Resource
5.092%, 06/19/06 1,209 1,204
5.092%, 06/23/06 560 557
Transamerica Securities
5.100%, 06/28/06 696 692
---------
Total Commercial Paper
(Cost $29,735) ($ Thousands) 29,735
---------
ASSET-BACKED SECURITIES (C) (E) (F) -- 1.2%
MORTGAGE RELATED SECURITIES -- 1.2%
Cheyne High Grade, Ser 2004-1A,
Cl AM1
5.180%, 11/10/06 864 864
Commodore, Ser 2003-2A, Cl A1MM
4.970%, 12/12/38 795 795
Duke Funding, Ser 2004-6B, Cl A1S1
5.093%, 04/08/39 1,295 1,295
Newcastle CDO Limited,
Ser 2005-6A, Cl IM1
5.142%, 11/27/06 345 345
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AM6
5.111%, 11/27/06 1,056 1,056
RMAC, Ser 2004-NS3A, Cl A1
5.080%, 03/12/25 309 309
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 19
STATEMENT OF NET ASSETS
Large Cap Fund (Continued)
May 31,2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
Saturn Ventures II
5.129%, 08/07/06 $ 1,612 $ 1,612
TIAA Real Estate CDO,
Ser 2003 1A, Cl A1MM
5.030%, 03/28/07 1,115 1,115
Whitehawk CDO Funding, Ser 2004-1A,
Cl AMMD
4.930%, 06/15/06 432 432
Whitehawk CDO Funding, Ser 2004-1A,
Cl AMME
4.930%, 09/15/06 259 259
Witherspoon CDO Funding
5.091%, 09/15/06 1,209 1,209
---------
Total Asset-Backed Securities
(Cost $9,291) ($ Thousands) 9,291
---------
FOREIGN COMMON STOCK -- 0.9%
Alcan 2,400 126
IPSCO 1,200 114
Petro-Canada 11,800 542
Research In Motion* 37,330 2,422
Shaw Communications, Cl B 18,600 519
Suncor Energy 36,792 2,985
Talisman Energy 29,700 546
---------
Total Foreign Common Stock
(Cost $6,533) ($ Thousands) 7,254
---------
CASH EQUIVALENTS -- 0.8%
First Union Cash Management
Program, 4.536%** 1,309,381 1,309
SEI Daily Income Trust, Prime
Obligation Fund, Cl A,
4.980%**++ 5,375,685 5,376
---------
Total Cash Equivalents
(Cost $6,685) ($ Thousands) 6,685
---------
MASTER NOTE (C) (D) -- 0.5%
Bank of America
5.133%, 06/01/06 4,318 4,318
---------
Total Master Note
(Cost $4,318) ($ Thousands) 4,318
---------
TIME DEPOSIT (C) -- 0.4%
Societe General
5.080%, 06/01/06 3,455 3,455
---------
Total Time Deposit
(Cost $3,455) ($ Thousands) 3,455
---------
U.S. TREASURY OBLIGATION (D) -- 0.1%
U.S. Treasury Bill
4.705%, 08/24/06 500 494
---------
Total U.S. Treasury Obligation
(Cost $495) ($ Thousands) 494
---------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CERTIFICATE OF DEPOSIT (C) (E) -- 0.1%
U.S. Trust of New York
5.121%, 03/13/07 $ 691 $ 691
---------
Total Certificate of Deposit
(Cost $691) ($ Thousands) 691
---------
Number of
Warrants
---------
WARRANTS -- 0.0%
Lucent Technologies, Expires 12/10/07* 758 --
---------
Total Warrants
(Cost $--) ($ Thousands) --
---------
REPURCHASE AGREEMENTS (A) (C) -- 2.6%
Barclays Capital
5.010%, dated 05/31/06, to be
repurchased on 06/01/06,
repurchase price $4,629,267
(collateralized by U.S. Government
Obligations, ranging in par value
$95,888-$3,454,815, 0.000%-
4.300%, 04/09/07-05/12/08,
total market value $4,721,263) 4,629 4,629
Deutsche Bank
5.020%, dated 05/31/06, to be
repurchased on 06/01/06,
repurchase price $5,709,860
(collateralized by U.S. Government
Obligations, ranging in par value
$31,802-$1,734,490, 0.000%-
5.600%, 08/29/06-10/29/18,
total market value $5,823,277) 5,709 5,709
Lehman Brothers
5.020%, dated 05/31/06, to be
repurchased on 06/01/06,
repurchase price $10,434,029
(collateralized by U.S. Government
Obligations, ranging in par value
$1,209,012-$10,364,445, 8.125%-
9.375%, 10/15/19-01/15/30,
total market value $10,641,241) 10,433 10,433
---------
Total Repurchase Agreements
(Cost $20,771) ($ Thousands) 20,771
---------
Total Investments -- 115.0%
(Cost $855,184) ($ Thousands) 921,719
---------
- --------------------------------------------------------------------------------
20 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (15.0)%
Payable upon Return of Securities on Loan $(122,270)
Payable for Investment Securities Purchased (520)
Investment Advisory Fees Payable (132)
Trustees' Fees Payable (4)
Other Assets and Liabilities, Net 2,424
---------
Total Other Assets and Liabilities (120,502)
---------
Net Assets -- 100.0% $ 801,217
=========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 954,242
Undistributed net investment income 2,683
Accumulated net realized loss on investments (222,243)
Net unrealized appreciation on investments 66,535
---------
Net Assets $ 801,217
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($801,216,902 / 47,334,656 shares) $16.93
======
* Non-income producing security.
** Rate shown is the 7-day effective yield as of May 31, 2006.
+ Real Estate Investment Trust.
++ Pursuant to an exemptive order issued by the Securities and Exchange
Commission, the Fund may invest in the SEI money market funds, provided that
investments in the money market funds do not exceed 25% of the Fund's total
assets.
(A) Tri-Party Repurchase Agreement.
(B) This security or a partial position of this security is on loan at May 31,
2006 (see Note 9). The total value of securities on loan at May 31, 2006 was
$120,128 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan (see Note 9). The total value of such securities as of May 31, 2006 was
$122,270 ($ 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, 2006.
(F) 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." These securities have been determined to be
liquid under guidelines established by the Board of Trustees.
ADR -- American Depositary Receipt
CDO -- Collateralized Debt Obligation
Cl -- Class
EXL -- Extendable Maturity
LLC -- Limited Liability Company
MTN -- Medium Term Note
NIM -- Net Interest Margin
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, 2006 21
STATEMENT OF NET ASSETS
Large Cap Disciplined Equity Fund
May 31, 2006
- --------------------------------------------------------------------------------
[BAR CHART OMITTED]
PLOT POINTS ARE AS FOLLOWS:
SECTOR WEIGHTINGS (UNAUDITED)++:
20.4% Financials
10.9% Information Technology
10.8% Asset-Backed Securities
9.2% Health Care
8.0% Industrials
7.4% Energy
7.2% Consumer Discretionary
6.3% U.S. Government Obligations
5.6% Consumer Staples
4.2% Short-Term Investments
3.7% Commercial Paper
2.1% Utilities
2.1% Telecommunication Services
1.9% Materials
0.1% U.S. Treasury Obligations
0.1% Certificate of Deposit
0.0% Purchased Options
++Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 78.0%
CONSUMER DISCRETIONARY -- 7.9%
Amazon.com (B)* 18,300 $ 633
American Eagle Outfitters 165,900 5,417
Apollo Group, Cl A* 2,900 152
Applebee's International 14,800 299
Autonation (B)* 70,481 1,529
Autozone* 1,800 163
Bed Bath & Beyond* 9,900 348
Best Buy 90,505 4,797
Big Lots* 4,600 75
Black & Decker (B) 56,971 4,954
Brinker International 30,200 1,108
Brunswick 3,900 140
Building Material Holding (B) 35,000 998
Carnival (B) 87,589 3,496
CBS, Cl B (B) 208,940 5,414
Centex 18,886 901
Circuit City Stores 99,200 2,981
Clear Channel Communications 15,000 462
Coach* 297,100 8,640
Comcast, Cl A (B)* 449,118 14,430
Darden Restaurants (B) 207,063 7,332
Dillard's, Cl A 10,300 280
DIRECTV Group (B)* 866,149 15,210
Dollar General 3,400 55
DR Horton 39,283 1,036
E.W. Scripps, Cl A 2,400 111
Eastman Kodak 5,800 140
EchoStar Communications, Cl A (B)* 470,962 14,096
Family Dollar Stores 2,900 72
Federated Department Stores 50,063 3,646
Ford Motor (B) 240,493 1,722
Fortune Brands 207,719 15,371
Fossil* 9,300 170
Gannett (B) 107,900 5,828
Gap 17,100 311
General Motors 8,500 229
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Genuine Parts 38,000 $ 1,636
Goodyear Tire & Rubber (B)* 37,300 474
H&R Block (B) 33,936 772
Harley-Davidson 62,600 3,121
Harman International Industries 11,900 1,008
Harrah's Entertainment (B) 19,400 1,475
Hasbro 92,026 1,706
Hilton Hotels 18,418 506
Home Depot (B) 1,261,046 48,071
International Game Technology 26,700 994
J.C. Penney (B) 431,327 26,207
Johnson Controls 25,912 2,207
Jones Apparel Group 2,100 68
KB Home (B) 46,900 2,401
Knight Ridder 1,600 99
Kohl's* 6,900 370
Leggett & Platt 3,800 96
Lennar, Cl A 5,300 254
Limited Brands 30,429 826
Liz Claiborne 32,200 1,245
Lowe's (B) 429,268 26,735
Marriott International, Cl A (B) 240,966 17,429
Mattel 12,000 202
McDonald's 518,832 17,210
McGraw-Hill 45,400 2,343
Meredith 11,200 561
New York Times, Cl A 2,800 68
Newell Rubbermaid 6,600 175
News, Cl A* 177,948 3,393
Nike, Cl B 6,800 546
Nordstrom 181,926 6,700
NVR (B)* 11,999 7,307
Office Depot* 155,300 6,456
OfficeMax 5,800 240
Omnicom Group 4,200 399
PetSmart (B) 17,600 470
Pulte Homes 20,316 660
RadioShack 3,400 57
Sears Holdings* 7,694 1,168
Select Comfort (B)* 26,600 871
Sherwin-Williams 25,000 1,209
Snap-On 2,200 92
Sonic* 19,500 426
Stanley Works (B) 8,500 413
Staples 30,572 718
Starbucks (B)* 205,108 7,312
Starwood Hotels & Resorts Worldwide 28,663 1,751
Steven Madden (B) 4,350 139
Target (B) 410,584 20,086
Tempur-Pedic International (B)* 53,600 738
Tiffany 14,500 496
Time Warner 1,005,928 17,312
TJX 11,900 282
- --------------------------------------------------------------------------------
22 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Tribune (B) 76,400 $ 2,280
Univision Communications, Cl A* 229,700 8,258
VF (B) 65,644 4,131
Walt Disney 120,250 3,668
Wendy's International 48,500 2,924
Whirlpool (B) 28,301 2,545
Yum! Brands 143,500 7,232
----------
391,084
----------
CONSUMER STAPLES -- 6.2%
Alberto-Culver 9,600 447
Albertson's 27,000 692
Altria Group (B) 639,860 46,294
Anheuser-Busch 77,725 3,547
Archer-Daniels-Midland 353,963 14,714
Avon Products 5,900 187
Brown-Forman, Cl B (B) 40,100 3,060
Campbell Soup 8,900 313
Casey's General Stores 3,800 85
Chattem* 28,400 996
Chiquita Brands International (B) 114,100 1,633
Clorox (B) 29,457 1,861
Coca-Cola 679,387 29,913
Coca-Cola Enterprises (B) 172,357 3,389
Colgate-Palmolive 32,800 1,979
ConAgra Foods 6,300 142
Constellation Brands, Cl A* 4,300 106
Costco Wholesale (B) 78,500 4,155
CVS 105,100 2,932
Dean Foods* 146,712 5,238
Energizer Holdings (B)* 3,700 193
Estee Lauder, Cl A 10,300 422
General Mills 40,000 2,076
Hershey 6,666 379
HJ Heinz 4,500 191
Kellogg 21,600 1,017
Kimberly-Clark 203,594 12,352
Kraft Foods, Cl A (B) 9,000 298
Kroger (B)* 788,237 15,851
Loews - Carolina Group 112,282 5,214
McCormick 1,800 62
Pepsi Bottling Group 214,280 6,716
PepsiCo 379,127 22,922
Pilgrim's Pride (B) 43,300 1,170
Procter & Gamble 737,231 39,995
Reynolds American (B) 92,200 10,137
Safeway (B) 632,969 14,925
Sara Lee 87,100 1,478
Smithfield Foods (B)* 128,963 3,587
Supervalu 142,338 4,151
Sysco (B) 33,872 1,036
UST 2,300 101
Wal-Mart Stores 687,080 33,289
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Walgreen 144,603 $ 5,871
Whole Foods Market (B) 19,400 1,261
WM Wrigley Jr 2,700 123
----------
306,500
----------
ENERGY -- 8.2%
Anadarko Petroleum (B) 120,864 6,003
Apache 96,500 6,261
Baker Hughes 26,700 2,304
BJ Services (B) 194,800 7,139
Chesapeake Energy (B) 254,700 7,791
Chevron 759,979 45,439
ConocoPhillips (B) 784,957 49,680
Devon Energy 185,424 10,636
El Paso 14,300 223
EOG Resources (B) 81,100 5,325
Exxon Mobil 2,203,281 134,202
Halliburton (B) 193,764 14,453
Helmerich & Payne 8,500 559
Hess (B) 24,800 3,720
Hugoton Royalty Trust* 673 19
Kerr-McGee 15,611 1,668
Kinder Morgan 15,834 1,591
Marathon Oil 285,836 21,452
Maverick Tube (B)* 55,600 2,680
Murphy Oil 5,500 290
Nabors Industries (B)* 91,400 3,282
National Oilwell Varco* 24,700 1,632
Noble 16,300 1,133
Occidental Petroleum 273,618 27,113
Oil States International (B)* 5,700 198
Parker Drilling* 4,500 33
Patterson-UTI Energy 25,491 762
Rowan 4,200 167
Schlumberger (B) 364,268 23,885
SEACOR Holdings* 9,000 734
Sunoco 89,358 6,129
Transocean* 61,400 4,996
Valero Energy 147,100 9,025
Weatherford International* 29,300 1,525
Williams (B) 65,000 1,469
XTO Energy 26,466 1,091
----------
404,609
----------
FINANCIALS -- 17.7%
ACE (B) 91,843 4,755
Aflac (B) 50,900 2,382
Allstate 351,547 19,339
AMBAC Financial Group 2,900 232
American Express 218,146 11,858
American Financial Group (B) 22,800 961
American International Group 543,589 33,050
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 23
STATEMENT OF NET ASSETS
Large Cap Disciplined Equity Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Ameriprise Financial 40,236 $ 1,842
AmSouth Bancorp (B) 24,500 657
AON 175,422 6,254
Apartment Investment & Management,
Cl A (B) 29,200 1,263
Archstone-Smith Trust+ 74,800 3,617
Bank of America 1,803,672 87,298
Bank of New York 64,500 2,143
BB&T (B) 137,100 5,699
Bear Stearns 35,211 4,709
Boston Properties (B) 12,700 1,075
Capital One Financial (B) 70,021 5,796
Charles Schwab 291,000 4,848
Chubb 61,500 3,108
Cincinnati Financial 4,500 206
CIT Group 184,600 9,488
Citigroup 1,994,169 98,313
CNA Financial* 5,000 163
Colonial Properties Trust+ 7,600 340
Comerica 61,500 3,367
Compass Bancshares 7,600 423
Countrywide Financial 137,962 5,281
E*Trade Financial (B)* 168,300 4,085
Equity Office Properties Trust+ 12,000 404
Equity Residential+ (B) 57,500 2,536
Fannie Mae 213,495 10,621
Federated Investors, Cl B 63,900 2,052
Fieldstone Investment+ 10,500 109
Fifth Third Bancorp 12,200 464
First Horizon National 2,900 116
FirstFed Financial (B)* 2,400 139
Franklin Resources 87,809 7,898
Freddie Mac (B) 145,417 8,731
Genworth Financial, Cl A 95,100 3,185
Golden West Financial 16,842 1,231
Goldman Sachs Group (B) 181,203 27,353
Greenhill 9,800 582
Hartford Financial Services Group 120,764 10,620
Horace Mann Educators 8,700 146
Hospitality Properties Trust+ (B) 9,500 401
Host Hotels & Resorts+ (B) 571,762 11,475
Huntington Bancshares 7,100 167
Investors Financial Services (B) 12,749 558
Janus Capital Group 7,600 137
JPMorgan Chase 1,616,856 68,943
Keycorp 150,400 5,372
Kimco Realty+ (B) 28,500 1,022
LandAmerica Financial Group 6,100 408
Legg Mason 20,000 1,919
Lehman Brothers Holdings (B) 447,204 29,788
Lincoln National 13,492 758
Loews 885,232 30,080
M&T Bank 5,000 575
Marsh & McLennan 9,200 258
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Marshall & Ilsley 5,900 $ 267
MBIA 4,100 234
Mellon Financial 35,400 1,281
Merrill Lynch (B) 311,673 22,568
Metlife (B) 595,447 30,648
MGIC Investment 102,800 6,771
Moody's 194,970 10,197
Morgan Stanley 625,395 37,286
National City 170,416 6,285
North Fork Bancorporation 92,519 2,727
Northern Trust (B) 25,300 1,415
Plum Creek Timber+ 3,900 139
PNC Financial Services Group 62,828 4,329
Popular 15,800 306
Principal Financial Group 35,600 1,946
Progressive 117,996 3,227
Prologis+ 24,500 1,211
Prudential Financial 345,105 26,280
Public Storage+ 29,900 2,143
Radian Group 5,500 336
Regions Financial 32,700 1,107
Safeco (B) 45,361 2,512
Simon Property Group+ (B) 56,881 4,529
SLM 30,600 1,645
Sovereign Bancorp 11,700 261
St. Paul Travelers 425,125 18,714
State Street 30,700 1,906
SunTrust Banks 52,200 3,952
Synovus Financial 15,200 400
T Rowe Price Group 48,764 3,857
Thornburg Mortgage+ (B) 33,200 906
Torchmark 2,900 171
UnumProvident (B) 53,900 968
US Bancorp 734,632 22,678
Vornado Realty Trust (B) 22,000 1,978
Wachovia 869,938 46,542
Washington Mutual (B) 352,405 16,179
Wells Fargo 424,468 28,172
WR Berkley 244,528 8,404
XL Capital, Cl A 2,100 133
Zions Bancorporation 12,800 1,037
----------
876,247
----------
HEALTH CARE -- 10.3%
Abbott Laboratories 425,950 18,188
Abraxis BioScience* 1 --
Aetna 204,588 7,868
Allergan 31,200 2,958
AmerisourceBergen 388,606 16,939
Amgen* 399,001 26,968
Analogic 2,200 126
Applera - Applied Biosystems Group 54,100 1,601
Barr Pharmaceuticals* 13,700 722
- --------------------------------------------------------------------------------
24 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Bausch & Lomb 5,310 $ 261
Baxter International 251,800 9,493
Becton Dickinson 195,776 11,831
Biogen Idec (B)* 199,100 9,284
Biomet 5,100 180
Boston Scientific* 403,991 8,355
Bristol-Myers Squibb (B) 120,647 2,962
C.R. Bard 32,804 2,428
Cardinal Health 357,115 23,895
Caremark Rx* 65,100 3,123
Cigna 164,446 15,251
Coventry Health Care* 52,350 2,735
Dade Behring Holdings 19,789 737
Eli Lilly 288,819 14,915
Emdeon* 54,600 634
Express Scripts (B)* 260,528 19,091
First Horizon Pharmaceutical* 13,600 287
Fisher Scientific International* 10,805 802
Forest Laboratories* 5,500 206
Genentech* 7,396 614
Genzyme* 29,000 1,725
Gilead Sciences (B)* 110,000 6,306
HCA 186,200 8,277
Health Management Associates, Cl A 4,100 85
Health Net* 260,196 11,194
Henry Schein (B)* 73,125 3,370
Hospira* 63,800 2,859
Humana* 109,600 5,549
IMS Health 2,800 76
Johnson & Johnson 1,363,884 82,133
King Pharmaceuticals (B)* 272,600 4,847
Laboratory of America Holdings (B)* 33,300 1,977
Manor Care (B) 17,800 827
McKesson 444,593 22,007
Medco Health Solutions* 202,815 10,932
Medimmune* 64,400 2,049
Medtronic (B) 163,849 8,273
Merck 453,894 15,110
Millipore* 43,600 3,026
Mylan Laboratories (B) 46,100 964
Patterson* 2,700 92
PerkinElmer 3,300 69
Pfizer 1,429,633 33,825
PolyMedica 300 12
Quest Diagnostics (B) 58,400 3,255
Schering-Plough 177,500 3,383
Sierra Health Services* 7,500 309
St. Jude Medical* 27,244 929
Stryker 9,500 417
Thermo Electron (B)* 32,300 1,187
UnitedHealth Group 300,622 13,215
Waters* 137,600 5,731
Watson Pharmaceuticals* 2,000 51
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
WellPoint* 269,604 $ 19,298
Wyeth 649,765 29,720
Zimmer Holdings* 6,700 406
----------
505,939
----------
INDUSTRIALS -- 8.9%
3M 149,044 12,469
Actuant, Cl A 2,900 171
Allied Waste Industries (B)* 78,100 932
American Power Conversion 4,100 81
American Standard 8,200 348
AMR (B)* 194,038 4,785
Aramark, Cl B 17,340 568
Avery Dennison 2,200 131
Barnes Group 2,800 116
Boeing (B) 401,362 33,413
Burlington Northern Santa Fe 149,700 11,588
Carlisle (B) 5,300 430
Caterpillar 411,520 30,020
Cendant 189,300 3,061
Cintas 2,600 110
Cooper Industries, Cl A (B) 12,943 1,153
CSX 108,492 7,260
Cummins (B) 38,960 4,294
Danaher 11,800 756
Deere 10,700 916
Dover 25,500 1,245
Eaton 32,100 2,361
Emerson Electric 225,789 18,632
Equifax 65,300 2,356
FedEx (B) 123,177 13,460
Fluor (B) 14,500 1,271
General Dynamics 119,414 7,600
General Electric 2,520,855 86,364
Goodrich 41,365 1,763
Granite Construction 7,700 318
Herman Miller 39,600 1,157
HNI (B) 11,243 587
Honeywell International 203,053 8,362
Illinois Tool Works 106,600 5,293
Ingersoll-Rand, Cl A 197,866 8,629
ITT Industries 26,100 1,361
L-3 Communications Holdings 3,800 277
Lockheed Martin 458,491 33,236
Masco (B) 34,191 1,061
Monster Worldwide (B)* 39,600 1,935
MSC Industrial Direct, Cl A 12,465 576
Navistar International* 4,100 109
Norfolk Southern 107,685 5,681
Northrop Grumman 142,676 9,228
Paccar (B) 108,409 8,331
Pall 1,900 57
Parker Hannifin 38,088 2,972
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 25
STATEMENT OF NET ASSETS
Large Cap Disciplined Equity Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Pitney Bowes 7,300 $ 298
Raytheon (B) 139,000 6,373
Robert Half International (B) 80,084 3,287
Rockwell Automation 74,862 5,112
Rockwell Collins 31,900 1,742
RR Donnelley & Sons 79,200 2,549
Ryder System 7,200 389
Southwest Airlines 41,600 670
Terex* 78,110 7,147
Textron (B) 48,600 4,419
Thomas & Betts* 2,400 138
Timken 45,838 1,441
Tyco International 254,475 6,899
Union Pacific 203,041 18,842
United Parcel Service, Cl B (B) 311,950 25,128
United Technologies 212,144 13,263
Waste Management 20,000 732
WW Grainger 18,414 1,329
YRC Worldwide (B)* 3,600 142
----------
436,724
----------
INFORMATION TECHNOLOGY -- 12.1%
ADC Telecommunications (B)* 63,400 1,136
Adobe Systems 23,100 661
Advanced Micro Devices (B)* 156,962 4,849
Affiliated Computer Services, Cl A* 2,700 135
Agilent Technologies (B)* 271,347 9,467
Altera* 6,900 135
Analog Devices 128,400 4,331
Andrew* 7,700 78
Apple Computer* 209,930 12,548
Applied Materials (B)* 621,200 10,504
Applied Micro Circuits* 23,600 69
Ariba (B)* 67,400 572
Arrow Electronics* 249,569 8,111
Autodesk 144,680 5,265
Automatic Data Processing 66,453 3,022
Avaya (B)* 61,900 731
Avnet* 357,802 7,900
BMC Software (B)* 154,600 3,115
Broadcom, Cl A (B)* 186,450 6,304
CA 12,600 274
Ciena* 18,800 79
Cisco Systems* 1,278,614 25,163
Citrix Systems* 80,600 3,029
Computer Sciences* 10,100 568
Compuware* 11,600 85
Comverse Technology (B)* 24,400 549
Convergys* 17,300 322
Corning* 353,800 8,580
Dell* 1,003,162 25,460
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Digital River (B)* 24,300 $ 1,068
Digitas* 31,900 415
eBay (B)* 115,042 3,775
Electronic Arts* 3,300 139
Electronic Data Systems (B) 658,155 16,138
EMC* 952,225 12,188
First Data 44,303 2,043
Fiserv (B)* 163,900 7,072
Freescale Semiconductor, Cl B* 594,826 18,565
Gateway* 34,100 59
Google, Cl A* 59,482 22,117
Hewlett-Packard 1,579,808 51,154
Ingram Micro, Cl A* 66,839 1,154
Intel 1,073,638 19,347
International Business Machines 817,161 65,291
Interwoven (B)* 15,700 144
Intuit* 95,064 5,256
Itron* 5,600 335
j2 Global Communications (B)* 83,800 2,226
Jabil Circuit* 86,900 3,026
JDS Uniphase* 53,800 163
Kla-Tencor 4,000 164
Lexmark International, Cl A* 33,600 1,924
Linear Technology 7,600 257
LSI Logic* 45,100 439
Lucent Technologies* 147,400 376
Maxim Integrated Products 22,100 679
Micrel (B)* 46,500 524
Micron Technology (B)* 117,200 1,941
Microsoft 2,738,037 62,017
Molex 16,000 568
Motorola 1,751,165 36,932
National Semiconductor 350,378 8,998
NCR* 52,300 2,044
Network Appliance (B)* 23,700 758
Nvidia (B)* 261,900 6,018
Oracle* 749,016 10,651
Parametric Technology* 5,100 68
Paychex 39,800 1,461
PMC - Sierra* 29,700 286
QLogic* 161,700 2,891
Qualcomm 530,752 23,995
Sabre Holdings, Cl A 67,200 1,438
SanDisk* 41,700 2,346
Sun Microsystems* 66,300 309
Symantec* 12,700 198
Synopsys* 40,500 827
Tech Data* 30,087 1,092
Tektronix 30,600 953
Tellabs* 183,800 2,628
Teradyne* 35,300 550
Texas Instruments (B) 997,274 31,145
- --------------------------------------------------------------------------------
26 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
VeriSign (B)* 75,500 $ 1,695
Vignette* 12,600 172
Websense (B)* 71,000 1,573
Western Digital* 15,400 313
Xerox (B)* 357,800 4,913
Xilinx (B) 123,100 3,201
Yahoo! (B)* 211,710 6,688
----------
597,749
----------
MATERIALS -- 2.1%
Air Products & Chemicals 6,300 409
Alcoa 129,800 4,117
Allegheny Technologies 60,500 3,850
Ashland 19,527 1,220
Ball 2,700 101
Bemis 2,200 67
Celanese, Ser A 85,451 1,684
Cleveland-Cliffs (B) 12,400 913
Crown Holdings* 51,396 829
Dow Chemical 709,841 28,301
E.I. du Pont de Nemours 31,091 1,322
Eagle Materials (B) 92,700 4,517
Eastman Chemical (B) 35,900 2,024
Ecolab 5,000 194
Engelhard 32,200 1,253
Florida Rock Industries 1,800 95
Freeport-McMoRan Copper & Gold,
Cl B 37,432 2,096
Hercules* 6,800 105
International Paper 15,100 513
Louisiana-Pacific (B) 85,534 2,075
Martin Marietta Materials 17,500 1,601
MeadWestvaco 2,800 77
Monsanto 81,510 6,860
Mosaic (B)* 25,300 394
Newmont Mining 238,903 12,459
Nucor (B) 32,900 3,463
Phelps Dodge 147,700 12,656
PPG Industries 2,200 142
Praxair 11,580 610
Quanex (B) 24,450 961
Reliance Steel & Aluminum 10,400 838
Rohm & Haas 14,200 716
Sealed Air 1,700 88
Sigma-Aldrich 1,600 111
Temple-Inland 8,900 383
United States Steel (B) 30,500 2,025
Vulcan Materials 58,100 4,535
Weyerhaeuser 14,400 921
----------
104,525
----------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 2.3%
Alltel 27,400 $ 1,695
AT&T (B) 1,158,959 30,203
BellSouth 420,948 14,215
CenturyTel 71,300 2,549
Citizens Communications 5,600 71
Embarq (B) 78,249 3,261
NII Holdings (B)* 84,711 4,613
Qwest Communications International* 51,700 363
Sprint Nextel (B) 1,598,687 33,908
Verizon Communications (B) 731,988 22,845
----------
113,723
----------
UTILITIES -- 2.3%
AES (B)* 565,333 10,402
Allegheny Energy* 133,400 4,865
Ameren 4,300 213
American Electric Power 191,400 6,559
CenterPoint Energy 20,500 246
CMS Energy (B)* 100,900 1,296
Consolidated Edison 7,400 326
Constellation Energy Group 13,103 677
Dominion Resources (B) 6,900 501
DTE Energy (B) 53,400 2,158
Duke Energy (B) 204,400 5,768
Dynegy, Cl A* 13,800 73
Edison International 399,211 15,665
Entergy 4,800 336
Exelon (B) 130,482 7,387
FirstEnergy 52,800 2,768
FPL Group (B) 73,300 2,920
KeySpan 3,100 124
Nicor 2,600 107
NiSource 4,900 107
PG&E (B) 80,404 3,190
Pinnacle West Capital (B) 37,900 1,493
PPL 9,100 271
Progress Energy 4,300 181
Public Service Enterprise Group 72,015 4,589
Sempra Energy 56,030 2,520
Southern (B) 27,000 863
TECO Energy (B) 44,400 667
TXU 652,835 37,407
Westar Energy 8,400 179
Xcel Energy 14,200 267
----------
114,125
----------
Total Common Stock
(Cost $3,547,583) ($ Thousands) 3,851,225
----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 27
STATEMENT OF NET ASSETS
Large Cap Disciplined Equity Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 11.9%
MORTGAGE RELATED SECURITIES -- 11.9%
Ace Securities, Ser 2003-NC1,
Cl M1 (E)
5.861%, 06/25/06 $ 3,600 $ 3,616
Ace Securities, Ser 2003-OP1,
Cl M1 (E)
5.781%, 06/26/06 1,500 1,509
Ace Securities, Ser 2005-HE7,
Cl A1B2 (E)
5.381%, 06/27/06 4,009 4,012
Adjustable Rate Mortgage NIM Trust,
Ser 2005-4, Cl A (A)
5.500%, 12/27/35 1,368 1,339
Adjustable Rate Mortgage Trust,
Ser 2005-3, Cl 1A2 (E)
4.640%, 06/25/06 718 718
Aegis Asset-Backed Securities Trust,
Ser 2003-3, Cl M1 (E)
5.781%, 06/25/06 1,150 1,151
American Home Mortgage Investment
Trust, Ser 2005-1, Cl 6A (E)
5.294%, 06/25/06 20,042 19,779
Ameriquest Mortgage Securities,
Ser 2003-2, Cl M1 (E)
5.981%, 06/25/06 2,373 2,383
Ameriquest Mortgage Securities,
Ser 2004-R8, Cl A3 (E)
5.381%, 09/25/34 1,230 1,231
Argent Securities, Ser 2003-W5,
Cl M1 (E)
5.781%, 06/25/06 1,000 1,013
Argent Securities, Ser 2003-W9,
Cl M1 (E)
5.771%, 06/26/06 2,400 2,417
Asset-Backed Funding NIM Trust,
Ser 2005-HE2A, Cl N1 (A)
6.000%, 07/26/35 1,351 1,346
Asset-Backed Funding NIM Trust,
Ser 2005-WMC1, Cl N1 (A)
5.900%, 07/26/35 427 426
Asset-Backed Securities Home Equity,
Ser 2003-HE7, Cl M2 (E)
6.831%, 06/15/06 1,250 1,275
Asset-Backed Securities Home Equity
Loan Trust, Ser 2003-HE5, Cl M1 (E)
5.831%, 06/15/06 2,828 2,853
Bear Stearns Asset-Backed Securities,
Ser 2005-FR1, Cl A1 (A)
5.000%, 06/25/35 813 810
Bear Stearns Asset-Backed Securities,
Ser 2005-HE5N, Cl A1 (A)
5.000%, 06/25/35 324 323
Bear Stearns Asset-Backed Securities,
Ser 2006-PC1N, Cl A1 (A)
5.500%, 12/25/35 1,053 1,051
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Centex Home Equity, Ser 2004-B,
Cl AF3 (H)
2.946%, 05/25/28 $ 824 $ 815
Cheyne High Grade, Ser 2004-1A,
Cl AM1 (A) (C) (E)
5.180%, 11/10/06 3,689 3,689
Citifinancial Mortgage Securities,
Ser 2004-1, Cl AF2 (H)
2.645%, 06/01/06 3,500 3,340
Citigroup Mortgage Loan Trust,
Ser 2005-HE4, Cl A2C (E)
5.351%, 06/27/06 8,916 8,933
Commodore, Ser 2003-2A,
Cl A1MM (A) (C) (E)
4.970%, 12/12/38 3,394 3,394
Countrywide Alternative Loan Trust,
Ser 2005-69, Cl M3 (E)
6.231%, 06/27/06 1,325 1,341
Countrywide Alternative Loan Trust,
Ser 2005-IM1, Cl M3 (E)
7.081%, 06/27/06 1,551 1,492
Countrywide Asset-Backed Certificates,
Ser 2003-2, Cl M2 (E)
6.731%, 06/26/06 3,183 3,197
Countrywide Asset-Backed Certificates,
Ser 2004-9, Cl AF3 (E)
3.854%, 10/25/30 3,693 3,669
Countrywide Asset-Backed Certificates,
Ser 2005-13N, Cl NOTE (A)
6.000%, 11/25/36 857 852
Countrywide Asset-Backed Certificates,
Ser 2005-7, Cl MV8 (E)
6.531%, 06/27/06 1,350 1,370
Countrywide Asset-Backed Certificates,
Ser 2006-S1, Cl A2
5.549%, 08/25/21 8,750 8,692
Countrywide Home Equity Loan Trust,
Ser 2006-D, Cl 2A (E)
5.261%, 06/30/06 14,365 14,377
Countrywide Home Loans,
Ser 2004-22, Cl A1 (E)
5.104%, 06/01/06 2,388 2,345
Countrywide Home Loans,
Ser 2005-HY10, Cl 1A1 (E)
5.289%, 06/01/06 5,926 5,886
Countrywide Home Loans,
Ser 2005-HYB9, Cl 1A1 (E)
5.150%, 06/01/06 3,598 3,556
Countrywide Home Loans,
Ser 2005-HYB9, Cl 1A2 (E)
5.150%, 06/01/06 720 711
Countrywide Home Loans,
Ser 2006-OA4, Cl M4 (E)
5.901%, 06/27/06 1,615 1,615
- --------------------------------------------------------------------------------
28 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Home Loans,
Ser 2006-OA4, Cl M5 (E)
5.951%, 06/27/06 $ 1,100 $ 1,100
Countrywide Home Loans,
Ser 2006-OA5, Cl 1M4 (E)
6.131%, 06/27/06 1,568 1,576
Credit-Based Asset Servicing and
Securities, Ser 2005-CB8,
Cl AF1B (H)
5.451%, 06/25/06 13,938 13,857
DSLA Mortgage Loan Trust,
Ser 2004-AR2, Cl B2 (E)
6.280%, 11/19/44 1,849 1,849
Duke Funding, Ser 2004-6B,
Cl A1S1 (A) (C) (E)
5.093%, 04/08/39 5,534 5,534
FBR Securitization Trust, Ser 2005-4,
Cl M11 (E)
7.081%, 06/27/06 1,265 1,192
FBR Securitization Trust, Ser 2005-4,
Cl M12 (E)
7.081%, 06/27/06 984 966
FBR Securitization Trust, Ser 2005-5,
Cl M12 (E)
7.331%, 06/27/06 1,038 1,029
First Franklin Mortgage Loan Asset,
Ser 2003-FF4, Cl M3 (E)
6.981%, 06/27/06 1,400 1,413
First Franklin Mortgage Loan Asset,
Ser 2003-FF5, Cl M6 (E)
8.581%, 06/25/06 1,930 1,937
First Franklin Mortgage Loan Asset,
Ser 2005-FF10, Cl A4 (E)
5.401%, 06/25/06 25,000 25,060
First Franklin Mortgage Loan Asset,
Ser 2005-FF8A, Cl N1 (A)
6.500%, 09/25/35 2,072 2,059
First Franklin Mortgage Loan Asset,
Ser 2005-FF9, Cl A3 (E)
5.361%, 06/25/06 13,000 13,028
First Franklin Mortgage Loan Asset,
Ser 2005-FFH4, Cl N1 (A)
5.682%, 12/25/35 721 720
First Horizon Alternative Mortgage,
Ser 2005-AA3, Cl 3A1 (E)
5.383%, 06/01/06 1,354 1,337
GE-WMC Mortgage Securities NIM Trust,
Ser 2005-2A, Cl N1 (A)
5.500%, 01/25/36 262 261
GMAC Matgage Corporation Loan Trust,
Ser 2006-HE1, Cl A (E)
5.291%, 06/30/06 21,800 21,800
GS Mortgage Securities, Ser 2006-GG6,
Cl AM (E)
5.622%, 04/10/38 21,000 20,540
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GSAA Home Equity Trust, Ser 2006-3N,
Cl N1 (A)
5.750%, 03/25/36 $ 720 $ 719
GSAA Home Equity Trust, Ser NI,
Cl M9 (A)
6.500%, 10/25/35 3,251 3,265
Gsamp Trust, Ser 2005-WM2N, Cl N (A)
5.500%, 11/25/35 1,227 1,215
HSI Asset Securitization Trust,
Ser 2005-I1, Cl 2A3 (E)
5.371%, 06/27/06 17,700 17,745
HSI Asset Securitization Trust,
Ser 2005-NC1, Cl 2A4 (E)
5.401%, 06/25/06 4,149 4,151
Home Equity Asset Trust,
Ser 2003-4, Cl M2 (E)
6.981%, 06/25/06 2,085 2,098
Home Equity Asset Trust,
Ser 2004-6N, Cl A (A)
5.250%, 01/27/35 2,134 2,109
Home Equity Asset Trust,
Ser 2004-7N, Cl A (A)
4.500%, 02/27/35 3,217 3,168
Home Equity Asset Trust,
Ser 2005-5N, Cl A (A)
5.500%, 12/27/35 2,468 2,431
Home Equity Asset Trust,
Ser 2005-6N, Cl A (A)
6.000%, 01/27/36 996 989
Home Equity Asset Trust,
Ser 2005-7N, Cl A (A)
6.500%, 02/27/36 1,529 1,513
Home Equity Asset Trust,
Ser 2006-1N, Cl 1A (A)
6.500%, 05/27/36 1,093 1,092
IMPAC CMB Trust, Ser 2004-10,
Cl 4M1 (E)
5.681%, 03/25/35 2,781 2,785
IMPAC NIM Trust, Ser 2006-1,
Cl N (A)
6.000%, 03/25/36 1,072 1,072
Indymac Index Mortgage Loan Trust,
Ser 2006-AR2, Cl M6 (E)
6.831%, 04/25/46 1,325 1,342
Indymac Index Mortgage Loan Trust,
Ser 2006-AR2, Cl M9 (E)
6.831%, 06/25/06 1,150 965
Indymac Index Mortgage Loan Trust,
Ser 2006-AR4, Cl M4 (E)
5.781%, 06/25/06 940 945
Indymac Mortgage Loan Trust,
Ser 2005-AR2, Cl 1A1 (E)
4.918%, 06/01/06 1,548 1,534
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 29
STATEMENT OF NET ASSETS
Large Cap Disciplined Equity Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lehman XS NIM Trust, Ser 2005-5N,
Cl A (A)
7.000%, 11/28/35 $ 1,537 $ 1,531
Lehman XS Trust, Ser 2005-5N,
Cl M3 (E)
6.081%, 06/25/06 2,424 2,457
Lehman XS Trust, Ser 2005-5N,
Cl M4 (E)
6.831%, 06/30/06 3,000 2,907
Lehman XS Trust, Ser 2005-7N,
Cl M51 (E)
6.331%, 12/25/35 620 628
Lehman XS Trust, Ser 2005-7N,
Cl M7I (E)
6.831%, 06/27/06 1,350 1,296
Lehman XS Trust, Ser 2005-9N,
Cl M4 (E)
6.481%, 06/30/06 936 959
Lehman XS Trust, Ser 2006-2N,
Cl M5 (E)
6.231%, 06/27/06 1,221 1,245
Long Beach Asset Holdings,
Ser 2005-WL1, Cl N1 (A)
5.193%, 06/25/45 1,318 1,310
Long Beach Asset Holdings,
Ser 2006-2, Cl N1 (A)
5.780%, 04/25/46 822 822
Long Beach Mortgage Loan Trust,
Ser 2006-WL1, Cl 1A3 (E)
5.411%, 06/27/06 4,933 4,947
Master Asset-Backed Securities NIM
Trust, Ser 2006-CI13, Cl N1 (A)
7.000%, 12/25/35 3,033 3,033
Master Asset-Backed Securities Trust,
Ser 2002-OPT1, Cl M1 (E)
6.231%, 06/27/06 2,249 2,258
Master Asset-Backed Securities Trust,
Ser 2003-WMC2, Cl M1 (E)
5.781%, 06/27/06 1,666 1,670
Merrill Lynch Mortgage Investors,
Ser 2005-AR1N, Cl N1 (A)
5.000%, 06/25/36 3,335 3,300
Merrill Lynch Mortgage Investors,
Ser 2005-NCB, Cl A1A (E)
5.451%, 06/01/06 7,060 7,023
Merrill Lynch Mortgage Investors,
Ser 2006-1, Cl 1A (E)
5.352%, 02/25/36 13,407 13,332
Morgan Stanley Capital I,
Ser 2003-NC10, Cl M1 (E)
5.761%, 06/27/06 2,483 2,497
Morgan Stanley Capital I,
Ser 2003-NC10, Cl M2 (E)
6.881%, 06/26/06 850 860
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Morgan Stanley Capital I,
Ser 2003-NC8, Cl M3 (E)
7.181%, 06/25/06 $ 1,750 $ 1,769
Morgan Stanley Dean Witter Capital I,
Ser 2003-NC1, Cl M2 (E)
7.131%, 06/27/06 5,055 5,088
Morgan Stanley Dean Witter Capital I,
Ser 2003-NC4, Cl M2 (E)
7.081%, 06/25/06 1,150 1,158
New Century Home Equity Loan Trust,
Ser 2004-A, Cl AII3 (E)
4.450%, 06/01/06 4,500 4,456
Newcastle CDO Limited, Ser 2005-6A,
Cl IM1 (A) (C) (E)
5.142%, 04/24/07 1,476 1,475
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M10 (A) (E)
7.581%, 06/27/06 200 171
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M11 (A) (E)
7.581%, 06/27/06 410 362
Option One Mortgage Securities,
Ser 2005-3A, Cl N1 (A)
5.438%, 08/26/35 1,686 1,672
Ownit Mortgage Loan Asset-Backed
Securities Trust, Ser 2006-1,
Cl AF1 (H)
5.424%, 12/25/36 12,501 12,416
Ownit Mortgage Loan NIM Trust,
Ser 2005-4N, Cl N1 (A)
5.000%, 08/25/36 5,442 5,375
Ownit Mortgage Loan NIM Trust,
Ser 2005-5A, Cl N1 (A)
5.500%, 10/25/36 505 500
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AM6 (A) (C) (E)
5.111%, 02/25/35 4,508 4,508
Park Place Securities NIM Trust,
Ser 2004-WHQ1, Cl D (A)
7.384%, 09/25/34 545 545
RMAC, Ser 2004-NS3A,
Cl A1 (A) (C) (E)
5.080%, 03/12/25 1,321 1,321
Residential Accredit Loans,
Ser 2006-Q01, Cl 2A3 (E)
5.481%, 06/27/06 2,192 2,197
Residential Accredit Loans,
Ser 2006-Q04, Cl N1 (A)
6.048%, 06/25/06 1,600 1,600
Residential Asset Securities,
Ser 2003-KS4, Cl AI4
3.490%, 02/25/31 3,970 3,950
Residential Asset Securities,
Ser 2005-KS8, Cl A3 (E)
5.341%, 08/25/35 1,375 1,379
- --------------------------------------------------------------------------------
30 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Residential Asset Securitization
Trust, Ser 2004-IP2, Cl 3A1 (E)
5.294%, 06/25/06 $12,256 $ 12,112
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2A (A) (E)
5.181%, 06/25/06 8,926 8,926
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2B (A) (E)
5.231%, 06/25/06 5,900 5,900
SB Finance NIM Trust, Ser 2005-HE3,
Cl 2N1 (A)
5.000%, 06/25/35 3,704 3,673
SB Finance NIM Trust, Ser 2005-HE3,
Cl N1 (A)
4.750%, 09/25/35 4,351 4,311
Saco I Trust, Ser 2005-10, Cl 2A1 (E)
5.341%, 06/30/06 11,736 11,760
Saco I Trust, Ser 2005-9, Cl A1 (E)
5.331%, 06/27/06 13,296 13,300
Saco I Trust, Ser 2005-WM3, Cl A1 (E)
5.341%, 06/27/06 12,046 12,049
Sail NIM Notes, Ser 2004-2A, Cl A (A)
5.500%, 03/27/34 1,292 717
Sail NIM Notes, Ser 2005-11A, Cl A (A)
7.500%, 01/27/36 1,585 1,575
Sasco NIM Trust, Ser 2005-WF3A,
Cl A (A)
4.750%, 07/27/35 1,763 1,751
Saturn Ventures II (A) (C) (E)
5.129%, 08/07/06 6,885 6,885
Sharps SP I LLC NIM Trust,
Ser 2005-HE3N, Cl N (A)
5.000%, 05/25/35 1,690 1,686
Sharps SP I LLC NIM Trust,
Ser 2005-HE5N, Cl A1 (A)
5.800%, 08/25/35 3,536 3,501
Sharps SP I LLC NIM Trust,
Ser 2005-WF1N, Cl NA (A)
6.150%, 05/25/35 2,357 2,333
Soundview Home Equity Loan Trust,
Ser 2005-OPT4, Cl M8 (E)
7.581%, 06/25/06 850 765
Soundview NIM Trust, Ser 2005-OPT4,
Cl N1 (A)
5.682%, 12/25/35 519 518
Structured Adjustable Rate Mortgage
Loan, Ser 2005-16XS, Cl M2
5.981%, 06/25/06 1,251 1,261
Structured Asset Investment Loan,
Ser 2003-BC4, Cl M2 (E)
7.081%, 06/25/06 400 402
Structured Asset Investment Loan,
Ser 2005-4, Cl M11 (E)
7.581%, 06/25/06 1,040 902
Structured Asset Mortgage Investments,
Ser 2006-AR1, Cl B4 (E)
6.031%, 06/27/06 785 795
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Structured Asset Mortgage Investments,
Ser 2006-AR1, Cl B5 (E)
6.131%, 06/27/06 $ 515 $ 523
Structured Asset Securities,
Ser 2004-19XS, Cl A2 (H)
4.370%, 06/01/06 3,250 3,220
Structured Asset Securities,
Ser 2005-NC1, Cl A2 (H)
3.920%, 02/25/35 3,567 3,535
Structured Asset Securities,
Ser 2005-S1, Cl B3 (A) (E)
7.581%, 06/27/06 1,400 1,347
TIAA Real Estate CDO, Ser 2003 1A,
Cl A1MM (A) (C) (E)
5.030%, 12/28/18 4,764 4,764
Terwin Mortgage Trust, Ser 2006-2HGS,
Cl A1 (A) (E)
4.500%, 03/25/37 32,199 31,922
Terwin Mortgage Trust, Ser 2006-2HGS,
Cl AX (A) (E)
20.000%, 03/25/37 1,297 388
Terwin Mortgage Trust, Ser 2006-2HGS,
Cl B1 (A) (E)
5.861%, 06/25/06 1,670 1,680
Terwin Mortgage Trust, Ser 2006-4SL,
Cl A1 (A) (E)
4.500%, 05/25/37 33,023 32,655
Terwin Mortgage Trust, Ser 2006-4SL,
Cl AX (A) (E)
20.000%, 05/25/37 4,853 1,250
Terwin Mortgage Trust, Ser 2006-HF1,
Cl A1A (A) (E)
4.500%, 02/25/37 9,362 9,289
Wachovia Mortgage Loan Trust LLC,
Ser 2005-B, Cl 1A2 (E)
4.983%, 06/01/06 895 883
Wells Fargo Home Equity Trust,
Ser 2004-2, Cl A12 (E)
3.450%, 06/25/19 11,800 11,722
Wells Fargo Home Equity Trust,
Ser 2004-2, Cl M8A (A) (E)
8.081%, 06/28/06 1,200 1,200
Whitehawk CDO Funding, Ser 2004-1A,
Cl AMMD (A) (C) (E)
4.930%, 06/15/06 1,845 1,845
Whitehawk CDO Funding, Ser 2004-1A,
Cl AMME (A) (C) (E)
4.930%, 09/15/06 1,107 1,107
Witherspoon CDO Funding (C)
5.091%, 09/15/06 5,165 5,165
----------
Total Asset-Backed Securities
(Cost $591,656) ($ Thousands) 590,556
----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 31
STATEMENT OF NET ASSETS
Large Cap Disciplined Equity Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 5.6%
FHLMC
5.861%, 02/01/36 (E) $ 9,683 $ 9,678
5.571%, 10/01/35 (E) 1,993 1,989
4.000%, 05/01/21 (J) 5,835 5,390
FNMA (E)
5.581%, 05/01/36 13,065 13,036
5.523%, 01/01/36 2,924 2,926
5.504%, 05/01/36 5,040 5,012
FNMA TBA
5.500%, 06/01/21 49,000 48,250
5.500%, 06/12/31 17,000 16,357
5.500%, 06/01/33 47,000 45,252
5.000%, 06/17/19 86,300 83,333
GNMA (E)
5.000%, 02/20/35 924 923
5.000%, 03/20/35 (J) 379 378
4.750%, 02/20/32 1,102 1,095
4.500%, 08/20/34 916 910
4.500%, 01/20/36 589 582
4.500%, 03/20/36 1,092 1,080
4.375%, 06/20/23 708 709
4.375%, 06/20/33 1,082 1,086
4.000%, 06/20/35 4,595 4,576
4.000%, 09/20/35 1,356 1,341
4.000%, 10/20/35 1,891 1,862
4.000%, 11/20/35 3,372 3,320
4.000%, 01/20/36 2,447 2,395
4.000%, 02/20/36 1,992 1,949
4.000%, 03/20/36 (J) 999 977
3.750%, 12/20/33 17,937 17,510
3.750%, 03/20/34 3,112 3,026
3.500%, 10/20/35 1,957 1,900
3.500%, 11/20/35 352 342
3.000%, 04/20/35 1,281 1,244
----------
Total U.S. Government Mortgage-Backed Obligations
(Cost $279,424) ($ Thousands) 278,428
----------
CORPORATE OBLIGATIONS -- 4.9%
CONSUMER DISCRETIONARY -- 0.0%
Gannett
5.750%, 06/01/11 1,975 1,956
----------
FINANCIALS -- 4.9%
Allstate Life Global Funding II
MTN (A) (C) (E)
5.101%, 06/15/07 3,394 3,394
American General Finance (A) (C) (E)
5.111%, 06/15/07 10,698 10,697
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
American General Finance MTN,
Ser F (C)
5.875%, 07/14/06 $ 738 $ 752
Bear Stearns, EXL (C) (E)
5.091%, 06/15/07 13,133 13,133
Caterpillar Financial Services MTN,
Ser F (C) (E)
5.148%, 07/10/06 3,689 3,689
Countrywide Financial MTN,
Ser A (C) (E)
5.210%, 11/03/06 7,747 7,747
4.960%, 09/13/06 13,650 13,650
Dekabank (A) (C) (E)
5.108%, 05/18/07 13,649 13,647
Glintnir Bank (A) (C) (E)
5.180%, 04/06/07 11,067 11,067
ILFC E-Capital Trust I (A) (E)
5.900%, 06/21/06 305 298
Irish Life & Permanent MTN,
Ser X (A) (C) (E)
5.109%, 06/21/07 9,813 9,811
Islandsbanki (A) (C) (E)
5.131%, 03/22/07 6,271 6,271
Jackson National Life Funding
(A) (C) (E)
5.080%, 05/02/07 16,232 16,232
Kaupthing Bank MTN (A) (C) (E)
5.141%, 03/20/07 18,445 18,445
Landsbanki Islands (A) (C) (E)
5.161%, 03/16/07 14,018 14,018
Morgan Stanley EXL (C) (E)
5.190%, 07/03/07 2,582 2,582
Morgan Stanley EXL, Ser S (C) (E)
5.150%, 07/03/07 3,689 3,689
Natexis Banques (C) (D) (E)
5.060%, 06/15/07 7,194 7,192
Nationwide Building Society
(A) (C) (E)
5.160%, 04/05/07 7,378 7,378
5.020%, 04/27/07 4,058 4,058
Nordbank (A) (C) (E)
5.080%, 06/22/07 12,543 12,540
Northern Rock (A) (C) (E)
5.170%, 05/03/07 7,599 7,599
Pacific Life Global Funding
(A) (C) (E)
5.101%, 06/13/07 5,534 5,534
Premium Asset Trust,
Ser 2004-06 (A) (C) (E)
5.190%, 06/30/06 7,009 7,014
Premium Asset Trust,
Ser 2004-10 (A) (C) (E)
5.120%, 05/14/07 10,329 10,329
Residential Capital
6.875%, 06/30/15 335 334
6.000%, 02/22/11 900 873
6.500%, 04/17/13 3,180 3,110
- --------------------------------------------------------------------------------
32 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
SLM EXL, Ser S (A) (C) (E)
5.081%, 06/15/07 $ 8,116 $ 8,116
Shinsei Finance Cayman (A) (E)
6.418%, 01/29/49 2,235 2,148
Sigma Finance MTN (A) (C)
4.745%, 11/09/06 3,984 3,984
Skandinav Enskilda Bank (A) (C) (E)
5.077%, 05/18/07 8,116 8,115
Washington Mutual Preferred
Funding (A) (E)
6.534%, 03/15/49 2,500 2,403
----------
239,849
----------
INDUSTRIALS -- 0.0%
Ryland Group
6.875%, 06/15/13 1,555 1,553
----------
Total Corporate Obligations
(Cost $243,656) ($ Thousands) 243,358
----------
COMMERCIAL PAPER (D) -- 4.1%
American Express
5.009%, 06/06/06 10,000 9,993
Brahms Funding (C)
5.051%, 06/01/06 7,378 7,348
Broadhollow Funding (C)
5.081%, 06/09/06 1,845 1,837
5.079%, 06/26/06 4,427 4,411
5.073%, 06/19/06 6,271 6,243
5.062%, 06/05/06 3,689 3,673
Buckingham CDO (C)
5.092%, 06/23/06 3,689 3,673
5.087%, 06/08/06 7,378 7,354
Elysian Funding LLC (C)
5.170%, 07/10/06 7,378 7,314
5.134%, 06/30/06 3,689 3,658
5.123%, 06/05/06 3,689 3,672
Fannie Mae
4.335%, 07/10/06 125 125
Florida Power & Light
5.015%, 06/21/06 10,000 9,972
Fortis Funding
5.014%, 06/16/06 15,000 14,969
Hardwood Street Funding II (C)
5.074%, 06/13/06 647 646
KKR Pacific Funding Trust (C)
5.082%, 06/22/06 7,378 7,346
5.082%, 06/23/06 3,689 3,673
5.081%, 06/07/06 7,378 7,347
LaSalle Bank
5.001%, 06/01/06 15,000 15,000
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
Main Street Warehouse Funding (C)
5.090%, 06/16/06 $ 4,427 $ 4,409
5.079%, 06/05/06 3,689 3,675
5.078%, 06/02/06 664 663
Morgan Stanley Dean Witter
5.009%, 06/06/06 25,000 24,983
Ocala Funding LLC (C)
5.112%, 06/30/06 1,107 1,102
5.092%, 06/09/06 11,674 11,623
Park Granada LLC (C)
5.045%, 06/29/06 3,689 3,656
Rams Funding (C)
5.094%, 06/14/06 8,597 8,558
5.091%, 06/21/06 7,378 7,348
Rhineland Funding Capital (C)
5.026%, 06/26/06 7,378 7,297
Thornburg Mortgage Capital Resource (C)
5.092%, 06/19/06 5,165 5,142
5.092%, 06/23/06 2,391 2,380
Transamerica Securities (C)
5.100%, 06/28/06 2,972 2,954
----------
Total Commercial Paper
(Cost $202,044) ($ Thousands) 202,044
----------
CASH EQUIVALENTS -- 2.3%
First Union Cash Management
Program, 4.536%** 1,099,605 1,100
SEI Daily Income Trust, Prime
Obligation Fund,
Cl A, 4.980%**++ 110,033,793 110,034
----------
Total Cash Equivalents
(Cost $111,134) ($ Thousands) 111,134
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.4%
FHLMC CMO STRIPS, Ser 232,
Cl IO, IO
5.000%, 08/01/35 3,676 985
FHLMC CMO STRIPS, Ser 233,
Cl 6, IO
4.500%, 08/15/35 863 224
FHLMC CMO STRIPS, Ser 233,
Cl 12, IO
5.000%, 09/15/35 5,793 1,458
FHLMC DN (G) (I)
5.107%, 10/23/06 22,000 21,560
4.506%, 08/22/06 32,000 31,640
4.373%, 09/27/06 2,250 2,213
FNMA CMO STRIPS, Ser 359,
Cl 6, IO
5.000%, 11/01/35 1,370 355
FNMA CMO STRIPS, Ser 360,
Cl 2, IO
5.000%, 08/01/35 35,094 9,382
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 33
STATEMENT OF NET ASSETS
Large Cap Disciplined Equity Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount
($ Thousands)/ Market Value
Description Shares/Contracts ($ Thousands)
- --------------------------------------------------------------------------------
FNMA CMO STRIPS, Ser 365,
Cl 4, IO
5.000%, 04/01/36 $ 4,577 $ 1,252
----------
Total U.S. Government Agency Obligations
(Cost $67,929) ($ Thousands) 69,069
----------
MASTER NOTE (C) (D) -- 0.4%
Bank of America
5.133%, 06/01/06 18,445 18,445
----------
Total Master Note
(Cost $18,445) ($ Thousands) 18,445
----------
TIME DEPOSIT (C) -- 0.3%
Societe General
5.080%, 06/01/06 14,756 14,756
----------
Total Time Deposit
(Cost $14,756) ($ Thousands) 14,756
----------
U.S. TREASURY OBLIGATIONS (D) -- 0.2%
U.S. Treasury Bills
4.871%, 08/24/06 3,912 3,869
4.750%, 08/31/06 2,600 2,569
4.576%, 07/27/06 2,550 2,532
4.542%, 06/15/06 250 250
----------
Total U.S. Treasury Obligations
(Cost $9,220) ($ Thousands) 9,220
----------
CERTIFICATE OF DEPOSIT (C) (E) -- 0.1%
U.S. Trust of New York
5.121%, 03/13/07 2,951 2,951
----------
Total Certificate of Deposit
(Cost $2,951) ($ Thousands) 2,951
----------
PREFERRED/CONVERTIBLE STOCK -- 0.0%
FINANCIALS -- 0.0%
Home Ownership Funding (A) (F) (H)* 3,900 951
----------
Total Preferred/Convertible Stock
(Cost $1,062) ($ Thousands) 951
----------
PURCHASED OPTIONS -- 0.0%
120 Day Euro Futures Call, Expires
12/16/06, Strike Price $95* 550 144
90 Day Euro Futures Call, Expires
06/19/06, Strike Price $95.25* 484 3
----------
Total Purchased Options
(Cost $558) ($ Thousands) 147
----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Contracts ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (C) (K) -- 1.8%
Barclays Capital
5.010%, dated 05/31/06, to be
repurchased on 06/01/06,
repurchase price $19,772,502
(collateralized by U.S. Government
Obligations, ranging in par value
$409,558-$14,756,189, 0.000%-
4.300%, 04/09/07-05/12/08,
total market value $20,165,434) $19,770 $ 19,770
Deutsche Bank
5.020%, dated 05/31/06, to be
repurchased on 06/01/06,
repurchase price $24,387,928
(collateralized by U.S. Government
Obligations, ranging in par value
$135,831-$7,408,344, 0.000%-
5.600%, 08/29/06-10/29/18,
total market value $24,872,351) 24,385 24,385
Lehman Brothers
5.020%, dated 05/31/06, to be
repurchased on 06/01/06,
repurchase price $44,565,771
(collateralized by U.S. Government
Obligations, ranging in par value
$5,163,928-$44,268,566, 8.125%-
9.375%, 10/15/19-01/15/30,
total market value $45,450,816) 44,560 44,560
----------
Total Repurchase Agreements
(Cost $88,715) ($ Thousands) 88,715
----------
Total Investments -- 111.0%
(Cost $5,179,133) ($ Thousands) 5,480,999
----------
WRITTEN OPTIONS -- 0.0%
120 Day Euro Futures Call, Expires
12/15/06, Strike Price $95* (550) (110)
June 2006 1-Year Euro
Future Call, Expires 06/16/06,
Strike Price $95.50* (242) --
June 2006 1-Year Euro
Future Call, Expires 06/16/06,
Strike Price $95.75* (242) --
----------
Total Written Options
(Premiums Received ($530)) ($ Thousands) (110)
----------
- --------------------------------------------------------------------------------
34 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (11.0)%
Receivable for Variation Margin $ 9,323
Payable upon Return of Securities on Loan (522,239)
Payable for Investment Securities Purchased (275,069)
Payable for Fund Shares Redeemed (30,814)
Investment Advisory Fees Payable (766)
Trustees' Fees Payable (14)
Other Assets and Liabilities, Net 277,106
----------
Total Other Assets and Liabilities (542,473)
----------
Net Assets -- 100.0% $4,938,416
==========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $4,541,030
Undistributed net investment income 23,495
Accumulated net realized gain on investments 101,453
Net unrealized appreciation on investments
and written options 302,286
Net unrealized depreciation on futures contracts (29,907)
Net unrealized appreciation on swap contracts 112
Net unrealized depreciation on forward foreign
currency contracts, foreign currencies and
translation of other assets and liabilities
denominated in foreign currencies (53)
----------
Net Assets $4,938,416
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($4,938,416,484 / 39,954,828 shares) $123.60
=======
A summary of the open future contracts held by the Fund at May 31, 2006, is as
follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
APPRECIATION
TYPE OF NUMBER OF EXPIRATION (DEPRECIATION)
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
3 Month Euro Euribor (114) Sep-2006 $ (16)
10-Year UK Gilt (55) Sep-2006 31
90-Day Euro$ (179) Mar-2010 175
90-Day Euro$ (71) Mar-2011 58
90-Day Euro$ (278) Mar-2007 262
90-Day Euro$ (278) Mar-2008 260
90-Day Euro$ (233) Mar-2009 262
90-Day Euro$ (142) Jun-2010 164
90-Day Euro$ 836 Jun-2006 (1,026)
90-Day Euro$ 231 Jun-2007 (28)
90-Day Euro$ (233) Jun-2008 265
90-Day Euro$ (233) Jun-2009 260
90-Day Euro$ (142) Sep-2010 167
90-Day Euro$ (404) Sep-2006 297
90-Day Euro$ (278) Sep-2007 264
90-Day Euro$ (233) Sep-2008 263
90-Day Euro$ (233) Sep-2009 260
90-Day Euro$ (71) Dec-2010 57
90-Day Euro$ 227 Dec-2006 (166)
90-Day Euro$ (278) Dec-2007 262
90-Day Euro$ (233) Dec-2008 263
90-Day Euro$ (241) Dec-2009 275
90-Day LIBOR (80) Sep-2006 (15)
- --------------------------------------------------------------------------------
UNREALIZED
APPRECIATION
TYPE OF NUMBER OF EXPIRATION (DEPRECIATION)
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
Amsterdam Exchange Index 24 Jun-2006 $ (66)
Australia 10-Year Bond (132) Jun-2006 (79)
CAC 40 10 Euro 37 Jun-2006 (54)
Canada 10-Year Bond 48 Sep-2006 (52)
DAX Index 12 Jun-2006 (71)
Euro-Bobl (47) Jun-2006 (32)
Euro-Bond 26 Jun-2006 46
FTSE 100 Index 13 Jun-2006 (40)
Japan 10-Year Bond 4 Jun-2006 69
S&P 500 Composite Index 848 Jun-2006 (1,291)
S&P 500 Composite Index 2,548 Sep-2006 (30,844)
S&P 500 Index E-Mini 41 Jun-2006 (35)
S&P/MIB Index 9 Jun-2006 (50)
S&P/TSE 60 Index 22 Jun-2006 (42)
SPI 200 Index 29 Jun-2006 (123)
Topix Index 9 Jun-2006 (66)
U.S. 2-Year Note 111 Oct-2006 (26)
U.S. 5-Year Note 220 Sep-2006 (61)
U.S. 10-Year Note (93) Jun-2006 152
U.S. 10-Year Note (174) Sep-2006 100
U.S. Long Treasury Bond (9) Jun-2006 39
U.S. Long Treasury Bond (29) Sep-2006 25
--------
$(29,907)
========
A summary of the outstanding forward foreign currency contracts held by the Fund
at May 31, 2006 is as follows, (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
CURRENCY TO CURRENCY TO APPRECIATION
MATURITY DELIVER RECEIVE (DEPRECIATION)
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
6/21/06 AUD 2,550 USD 1,938 $ 17
6/21/06 USD 5,086 AUD 6,600 (115)
6/21/06 CAD 700 USD 636 (3)
6/21/06 USD 2,611 CAD 2,900 25
6/21/06 CHF 5,200 USD 4,312 23
9/20/06 CNY 345,600 USD 44,120 500
9/20/06 USD 44,194 CNY 345,600 (574)
6/21/06 EUR 850 USD 1,092 (1)
6/21/06 USD 3,264 GBP 1,725 (35)
6/21/06 JPY 665,000 USD 6,064 116
6/21/06 USD 949 JPY 105,000 (10)
6/21/06 USD 668 NOK 4,000 (8)
6/21/06 USD 1,030 NZD 1,650 17
6/21/06 SEK 5,750 USD 793 (5)
-----
$ (53)
=====
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 35
STATEMENT OF NET ASSETS
Large Cap Disciplined Equity Fund (Concluded)
May 31, 2006
A summary of the outstanding Total Return Swap agreements held by the Fund at
May 31, 2006, is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund receives payment on the monthly
reset spread from Banc of America --
CMBS AAA 10YR Index less 5 basis
points times the notional amount.
Fund receives payment if the
return on the spread appreciates
over the payment period, and pays
if the return on the spread
depreciates over the payment
period. (Counterparty: Bank of
America) 10/01/26 $ 40,000 $ (58)
Fund receives payment on the monthly
reset spread from Banc of America --
CMBS AA Index plus 5 basis points
times the notional amount. Fund
receives payment if the return on
the spread appreciates over the
payment period, and pays if the
return on the spread depreciates
over the payment period.
(Counterparty: Bank of America) 10/31/06 53,000 (65)
Fund receives payment on the monthly
reset spread from Banc of America --
CMBS AAA 10YR Index plus 7.5 basis
points times the notional amount.
Fund receives payment if the
return on the spread appreciates
over the payment period, and pays
if the return on the spread
depreciates over the payment
period. (Counterparty: Bank of
America) 11/30/06 60,000 --
Fund receives payment on the monthly
reset spread from Banc of America --
CMBS BBB Index plus 25 basis
points times the notional amount.
Fund receives payment if the
return on the spread appreciates
over the payment period, and pays
if the return on the spread
depreciates over the payment
period. (Counterparty: Bank of
America) 05/31/06 50,000 300
Fund receives payment on the monthly
reset spread from Banc of America --
CMBS BBB Index plus 25 basis
points times the notional amount.
Fund receives payment if the
return on the spread appreciates
over the payment period, and pays
if the return on the spread
depreciates over the payment
period. (Counterparty: Bank of
America) 10/31/06 17,000 102
Fund receives payment on the monthly
reset spread from Banc of America --
CMBS AAA 10YR Index plus 5 basis
points times the notional amount.
Fund receives payment if the
return on the spread appreciates
over the payment period, and pays
if the return on the spread
depreciates over the payment
period. (Counterparty: Bank of
America) 10/31/06 16,000 96
Fund receives payment on the monthly
reset spread from Banc of America --
CMBS AAA 10YR Index plus 5 basis
points times the notional amount.
Fund receives payment if the
return on the spread appreciates
over the payment period, and pays
if the return on the spread
depreciates over the payment
period. (Counterparty: Bank of
America) 10/31/06 29,000 174
Fund receives payment on the monthly
reset spread from Banc of America --
CMBS AAA 10YR Index plus 27 basis
points times the notional amount.
Fund receives payment if the
return on the spread appreciates
over the payment period, and pays
if the return on the spread
depreciates over the payment
period. (Counterparty: Bank of
America) 06/02/06 50,000 (73)
Fund receives payment on the monthly
reset spread from Lehman Brothers --
CMBS AAA 8.5+ YR Index times the
notional amount. Fund receives
payment if the return on the
spread appreciates over the payment
period, and pays if the return on
the spread depreciates over the
payment period. (Counterparty:
Wachovia Bank) 12/01/06 40,000 --
Fund receives payment on the monthly
reset spread from Lehman Brothers --
CMBS AAA 8.5+ YR Index times the
notional amount. Fund receives
payment if the return on the
spread appreciates over the payment
period, and pays if the return on
the spread depreciates over the
payment period. (Counterparty:
Wachovia Bank) 12/01/06 50,000 --
- --------------------------------------------------------------------------------
UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund receives payment on the monthly
reset spread from Banc of America --
CMBS AAA 10YR Index plus 5 basis
points times the notional amount.
Fund receives payment if the
return on the spread appreciates
over the payment period, and pays
if the return on the spread
depreciates over the payment
period. (Counterparty: JPMorgan
Chase) 11/01/06 $ 10,000 $ (15)
Fund receives payment on the monthly
reset spread from Lehman Brothers --
CMBS AAA 8.5+ YR Index times the
notional amount. Fund receives
payment if the return on the
spread appreciates over the payment
period, and pays if the return on
the spread depreciates over the
payment period. (Counterparty:
Wachovia Bank) 11/01/06 50,000 (114)
Fund receives payment on the monthly
reset spread from Lehman Brothers --
CMBS AAA 8.5+ YR Index times the
notional amount. Fund receives
payment if the return on the
spread appreciates over the payment
period, and pays if the return on
the spread depreciates over the
payment period. (Counterparty:
Citibank) 06/01/06 100,000 (235)
-----
$ 112
=====
* Non-income producing security.
** Rate shown is the 7-day effective yield as of May 31, 2006.
+ Real Estate Investment Trust.
++ Pursuant to an exemptive order issued by the Securities and Exchange
Commission, the Fund may invest in the SEI money market funds, provided that
investments in the money market funds do not exceed 25% of the Fund's total
assets.
(A) This security was sold within the terms of a 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." These securities have been determined to be
liquid under guidelines established by the Board of Trustees.
(B) This security or a partial position of this security is on loan at May 31,
2006. The total value of securities on loan at May 31, 2006 was $514,026
($Thousands).
(C) This security was purchased with cash collateral held from securities on
loan. The total value of such securities as of May 31, 2006 was $522,239
($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, 2006.
(F) Securities considered illiquid. The total value of such securities as of May
31, 2006 was $951 ($ Thousands), representing 0.02% of the Fund's net
assets.
(G) Security, or portion thereof, has been pledged as collateral on open future
contracts and written options. The rate reported on the Statement of Net
Assets is the effective yield at time of purchase.
(H) Step Bonds -- The rate reflected on the Statement of Net Assets is the rate
in effect as of May 31, 2006. The coupon on a step bond changes on a
specified date.
(I) Zero Coupon Bond -- The rate reported on the Statement of Net Assets is the
effective yield at time of purchase.
(J) Security, or portion of this security, has been pledged as collateral on
open swap contracts. The rate reported on the Statement of Net Assets is the
effective yield at time of purchase.
(K) Tri-Party Repurchase Agreement.
AUD -- Australian Dollar
- --------------------------------------------------------------------------------
36 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
DESCRIPTION
- --------------------------------------------------------------------------------
CAD -- Canadian Dollar
CDO -- Collateralized Debt Obligation
CHF -- Swiss Franc
Cl -- Class
CMBS -- Commercial Mortgage-Backed Securities
CMO -- Collateralized Mortgage Obligation
CNY -- Chinese Yuan Renminbi
DN -- Discount Note
EUR -- Euro
EXL -- Extendable Maturity
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GBP -- British Pound Sterling
GNMA -- Government National Mortgage Association
IO -- Interest Only
JPY -- Japanese Yen
LLC -- Limited Liability Company
MTN -- Medium Term Note
NIM -- Net Interest Margin
NOK -- Norwegian Krone
NZD -- New Zealand Dollar
SEK -- Swedish Krona
Ser -- Series
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
USD -- United States Dollar
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, 2006 37
STATEMENT OF NET ASSETS
Large Cap Diversified Alpha Fund
May 31, 2006
- --------------------------------------------------------------------------------
[BAR CHART OMITTED]
PLOT POINTS ARE AS FOLLOWS:
SECTOR WEIGHTINGS (UNAUDITED)++:
16.9% Financials
15.3% Information Technology
11.3% Consumer Discretionary
11.0% Health Care
8.9% Industrials
8.0% U.S. Government Obligations
6.9% Energy
6.1% Consumer Staples
5.2% Short-Term Investments
3.7% Asset-Backed Securities
2.4% Materials
2.2% Telecommunication Services
2.1% Utilities
++Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 92.8%
CONSUMER DISCRETIONARY -- 12.7%
Abercrombie & Fitch, Cl A 1,500 $ 87
Advance Auto Parts* 1,200 46
Aeropostale* 200 5
Amazon.com* 4,270 148
American Eagle Outfitters 6,700 219
AnnTaylor Stores* 5,000 192
Apollo Group, Cl A* 12,600 659
Applebee's International 4,000 81
Autoliv 1,300 72
Autonation* 1,300 28
Autozone* 300 27
Bed Bath & Beyond* 500 18
Belo, Cl A 500 9
Best Buy (B) 800 42
Black & Decker 2,232 194
BorgWarner 200 13
Brinker International 1,800 66
Building Material Holding 2,200 63
Cablevision Systems, Cl A 5,086 100
Career Education* 200 7
CBS, Cl B 6,200 161
Cheesecake Factory* 200 6
Chico's FAS* 1,200 36
Circuit City Stores 900 27
Claire's Stores (B) 6,900 187
Clear Channel Communications 1,000 31
Coach* 8,400 244
Comcast, Cl A* 5,000 161
Corinthian Colleges* 300 4
Darden Restaurants (B) 5,500 195
DIRECTV Group (B)* 45,483 799
Dollar General 300 5
Dollar Tree Stores* 400 11
Dow Jones 600 21
DR Horton 2,629 69
E.W. Scripps, Cl A 700 32
Eastman Kodak 425 10
EchoStar Communications, Cl A (B)* 16,028 480
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Education Management* 4,700 $ 202
Expedia* 2,800 40
Federated Department Stores 1,254 91
Ford Motor (B) 19,800 142
Fortune Brands 783 58
Gannett 3,300 178
General Motors 4,386 118
Genuine Parts 2,400 103
Getty Images* 300 20
Goodyear Tire & Rubber* 5,841 74
GTECH Holdings 1,700 59
H&R Block 5,536 126
Harley-Davidson 8,397 419
Harman International Industries 400 34
Harrah's Entertainment 200 15
Hasbro 6,519 121
Hilton Hotels 300 8
Home Depot (B) 18,502 705
IAC/InterActive* 4,400 114
International Game Technology (B) 23,400 871
ITT Educational Services* 200 13
J.C. Penney 9,379 570
John Wiley & Sons, Cl A 700 24
Johnson Controls 1,488 127
Jones Apparel Group 2,000 65
KB Home 100 5
Knight Ridder 200 12
Kohl's* 700 38
Lamar Advertising, Cl A* 500 27
Liberty Global, Cl A* 1,800 41
Liberty Media Holding-Capital, Ser A* 330 26
Liberty Media Holding-Interactive,
Ser A* 1,650 30
Limited Brands (B) 8,400 228
Liz Claiborne 3,100 120
Lowe's 5,518 344
Marriott International, Cl A (B) 9,344 676
Mattel 10,200 171
McDonald's 5,200 172
McGraw-Hill 800 41
Men's Wearhouse* 800 27
Meredith 700 35
MGM Mirage* 19,166 795
Newell Rubbermaid 2,900 77
News, Cl A* 10,771 205
Nike, Cl B 100 8
Nordstrom 1,412 52
NTL 257 7
NVR* 294 179
O'Reilly Automotive* 400 13
Office Depot* 7,800 324
OfficeMax 3,800 157
Omnicom Group 200 19
- --------------------------------------------------------------------------------
38 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Panera Bread, Cl A* 100 $ 6
PetSmart 2,400 64
Polo Ralph Lauren 900 51
Pool 621 27
R.H. Donnelley 200 11
Rent-A-Center* 200 5
Ryland Group 466 23
Saks* 400 6
Sears Holdings* 100 15
Select Comfort* 2,700 88
ServiceMaster 1,000 11
Sherwin-Williams (B) 5,400 261
Snap-On 800 34
Sonic* 4,500 98
Staples 32,400 761
Starbucks (B)* 8,500 303
Starwood Hotels & Resorts Worldwide 200 12
Station Casinos 100 7
Steven Madden 750 24
Target (B) 9,675 473
Tempur-Pedic International* 7,000 96
Tiffany 1,600 55
Timberland, Cl A* 100 3
Time Warner (B) 23,300 401
TJX 3,731 88
Tribune 400 12
TRW Automotive Holdings* 4,224 116
Univision Communications, Cl A* 9,000 324
VF (B) 5,035 317
Viacom, Cl B* 600 23
Walt Disney 690 21
Weight Watchers International 8,600 360
Wendy's International 200 12
Whirlpool 800 72
Williams-Sonoma 500 18
XM Satellite Radio Holdings, Cl A* 33,000 476
Yum! Brands 6,200 312
--------
17,667
--------
CONSUMER STAPLES -- 6.8%
Albertson's 1,500 38
Altria Group 3,500 253
Anheuser-Busch 4,000 183
Archer-Daniels-Midland 6,519 271
Brown-Forman, Cl B 800 61
Campbell Soup 500 18
Chattem* 2,800 98
Chiquita Brands International 8,000 115
Church & Dwight 100 4
Clorox (B) 2,971 188
Coca-Cola (B) 12,000 528
Coca-Cola Enterprises 6,600 130
Colgate-Palmolive 1,600 97
Costco Wholesale 700 37
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CVS 800 $ 22
Dean Foods* 9,217 329
Del Monte Foods 1,600 19
Energizer Holdings (B)* 3,400 178
Estee Lauder, Cl A (B) 5,100 209
General Mills 3,800 197
Herbalife* 1,500 59
Hershey 300 17
HJ Heinz 100 4
Hormel Foods 3,771 135
Kellogg 1,000 47
Kimberly-Clark 2,200 134
Kraft Foods, Cl A 600 20
Kroger (B)* 23,926 481
Loews - Carolina Group 2,500 116
McCormick 300 10
Pepsi Bottling Group 12,453 390
PepsiAmericas 800 18
PepsiCo (B) 11,200 677
Pilgrim's Pride 1,187 32
Procter & Gamble 21,400 1,161
Reynolds American 2,200 242
Safeway 17,323 409
Smithfield Foods* 2,681 75
Supervalu 795 23
Sysco (B) 10,247 313
Tyson Foods, Cl A 400 6
Wal-Mart Stores 23,662 1,146
Walgreen 20,600 836
Whole Foods Market 1,200 78
WM Wrigley Jr 1,925 88
--------
9,492
--------
ENERGY -- 7.4%
Anadarko Petroleum (B) 6,400 318
Apache 100 7
Arch Coal 1,100 53
Baker Hughes 600 52
BJ Services 3,900 143
Cameron International* 1,100 52
Chesapeake Energy 6,500 199
Chevron 9,691 579
ConocoPhillips 12,982 822
Consol Energy 1,237 109
Devon Energy (B) 6,300 361
EOG Resources 1,000 66
Exxon Mobil (B) 62,342 3,797
FMC Technologies* 500 33
Foundation Coal Holdings 1,600 73
Grant Prideco* 500 24
Halliburton 2,963 221
Harvest Natural Resources* 700 10
Helmerich & Payne (B) 2,900 191
Hess (B) 2,400 360
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 39
STATEMENT OF NET ASSETS
Large Cap Diversified Alpha Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Holly 1,700 $ 142
Kerr-McGee 400 43
Kinder Morgan 700 70
Marathon Oil (B) 10,204 766
Maverick Tube* 500 24
Murphy Oil 100 5
Nabors Industries* 1,425 51
National Oilwell Varco* 200 13
Newfield Exploration* 300 13
Noble Energy 100 4
Occidental Petroleum (B) 5,187 514
Oil States International* 1,700 59
Patterson-UTI Energy 300 9
Peabody Energy 100 6
Pioneer Natural Resources 200 8
Pogo Producing 400 18
Schlumberger 2,200 144
SEACOR Holdings* 300 25
Smith International 300 12
Southwestern Energy* 600 19
St. Mary Land & Exploration 2,000 78
Sunoco (B) 3,800 261
Tidewater 1,900 96
Unit (B)* 5,100 306
Valero Energy 1,100 68
Western Gas Resources 700 34
XTO Energy 200 8
--------
10,266
--------
FINANCIALS -- 18.8%
A.G. Edwards 3,500 188
Affiliated Managers Group* 200 18
Aflac 2,400 112
Alleghany* 100 28
Allied Capital 700 21
Allstate (B) 8,000 440
AMBAC Financial Group 2,400 192
American Capital Strategies 1,300 45
American Express 1,700 92
American Financial Group 4,873 205
American International Group 5,900 359
Ameriprise Financial 1,600 73
AmerUs Group 200 12
AmSouth Bancorp 3,100 83
Anthracite Capital+ 400 4
AON 5,676 202
Apartment Investment &
Management, Cl A 100 4
Archstone-Smith Trust+ 500 24
Arthur J Gallagher 500 13
Ashford Hospitality Trust+ 1,200 14
Associated Banc 100 3
Assurant 400 20
Astoria Financial 100 3
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
AvalonBay Communities+ 600 $ 64
Bank of America (B) 26,200 1,268
Bank of Hawaii 200 10
Bank of New York 1,600 53
BB&T 2,000 83
Bear Stearns 1,500 201
BlackRock, Cl A 200 27
Boston Properties+ 200 17
BRE Properties, Cl A+ 800 42
Brown & Brown 1,200 37
Camden Property Trust+ 200 14
Capital Lease Funding+ 400 5
Capital One Financial 1,400 116
CapitalSource+ 11,621 272
CarrAmerica Realty+ 700 31
CB Richard Ellis Group, Cl A (B)* 3,000 232
Charles Schwab 3,500 58
Chicago Mercantile Exchange
Holdings 1,800 794
Chubb 800 40
CIT Group (B) 7,531 387
Citigroup (B) 60,183 2,967
CNA Financial* 600 20
Colonial BancGroup 1,700 45
Comerica (B) 4,100 224
Commerce Bancorp 800 31
Commerce Bancshares 800 41
Compass Bancshares 200 11
Conseco* 800 19
Countrywide Financial 5,228 200
Crescent Real Estate Equities+ 8,223 145
Cullen/Frost Bankers 800 45
Downey Financial 1,803 123
Duke Realty+ 900 31
E*Trade Financial* 1,100 27
East West Bancorp 600 24
Equity Office Properties Trust+ 300 10
Equity Residential+ 1,500 66
Erie Indemnity, Cl A 100 5
Essex Property Trust+ 400 43
Fannie Mae 200 10
Federal Realty Investment Trust+ 300 21
Federated Investors, Cl B 1,500 48
Fidelity National Financial 700 29
Fieldstone Investment+ 2,100 22
Fifth Third Bancorp 100 4
First American (B) 11,093 466
First Horizon National 300 12
FirstMerit 800 18
Forest City Enterprises, Cl A 700 31
Franklin Resources 2,100 189
Freddie Mac 1,300 78
Fulton Financial 420 7
General Growth Properties+ 200 9
- --------------------------------------------------------------------------------
40 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Genworth Financial, Cl A 500 $ 17
Golden West Financial 100 7
Goldman Sachs Group (B) 4,988 753
Greenhill 800 48
Hanover Insurance Group (B) 2,400 114
Hartford Financial Services Group 1,100 97
HCC Insurance Holdings 1,500 46
Hospitality Properties Trust+ 900 38
Host Hotels & Resorts+ (B) 16,244 326
Hudson City Bancorp 2,200 30
Huntington Bancshares 300 7
Independence Community Bank 400 17
IndyMac Bancorp 3,900 179
International Bancshares 200 6
Jefferies Group 600 18
JER Investors Trust+ 1,200 19
Jones Lang LaSalle 1,300 103
JPMorgan Chase (B) 34,089 1,454
Keycorp 3,100 111
Kimco Realty+ 100 4
LandAmerica Financial Group 200 13
Legg Mason 1,100 106
Lehman Brothers Holdings (B) 11,528 768
Leucadia National 900 58
Lincoln National 400 22
Loews 14,829 504
M&T Bank 500 58
Macerich+ 100 7
Marsh & McLennan 3,200 90
Marshall & Ilsley 300 14
MBIA 100 6
Mellon Financial 4,300 156
Mercantile Bankshares 1,300 47
Mercury General 300 17
Merrill Lynch (B) 11,577 838
Metlife (B) 14,889 766
MGIC Investment 1,500 99
Moody's 12,600 659
Morgan Stanley (B) 15,396 918
National City (B) 11,600 428
Nationwide Financial Services, Cl A 100 4
Nationwide Health Properties+ 600 13
New York Community Bancorp 900 15
North Fork Bancorporation 373 11
Northern Trust 1,100 61
Nuveen Investments, Cl A 300 13
Old Republic International 1,900 41
Pan Pacific Retail Properties+ 100 7
Peoples Bank 400 13
Plum Creek Timber+ 100 4
PMI Group (B) 4,800 218
PNC Financial Services Group (B) 9,032 622
Principal Financial Group 5,000 273
Progressive 5,600 153
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Prologis+ 100 $ 5
Protective Life 100 4
Prudential Financial (B) 6,881 524
Radian Group (B) 4,600 281
Ramco-Gershenson Properties+ 1,200 31
Raymond James Financial 1,000 29
Rayonier+ 3,210 125
Reckson Associates Realty+ 400 15
Regency Centers+ 100 6
Regions Financial 800 27
Reinsurance Group of America 200 9
Safeco 4,800 266
Shurgard Storage Centers, Cl A+ 800 46
Simon Property Group+ 200 16
Sky Financial Group 600 15
SL Green Realty+ 100 10
SLM 1,200 64
Sovereign Bancorp 400 9
Spirit Finance+ 600 7
St. Paul Travelers 7,959 350
Stancorp Financial Group 400 20
State Street 800 50
SunTrust Banks 2,300 174
Synovus Financial 900 24
T Rowe Price Group 400 32
TCF Financial 2,000 53
TD Ameritrade Holding 2,600 44
TD Banknorth 1,600 46
Thornburg Mortgage+ 4,100 112
Torchmark 700 41
Transatlantic Holdings 333 19
UnionBanCal 800 54
United Dominion Realty Trust+ 200 5
UnumProvident 1,100 20
US Bancorp 14,800 457
Valley National Bancorp 410 10
Vornado Realty Trust 200 18
Wachovia (B) 19,685 1,053
Washington Federal 300 7
Washington Mutual 1,300 60
Wells Fargo 5,500 365
Wilmington Trust 400 17
WR Berkley 7,150 246
Zions Bancorporation 600 49
--------
26,158
--------
HEALTH CARE -- 12.3%
Abbott Laboratories 3,400 145
Advanced Medical Optics* 100 5
Aetna (B) 5,800 223
Allergan 8,200 778
AmerisourceBergen (B) 9,300 405
Amgen* 5,145 348
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 41
STATEMENT OF NET ASSETS
Large Cap Diversified Alpha Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Analogic 100 $ 6
Applera - Applied Biosystems Group 800 24
Barr Pharmaceuticals* 1,000 53
Bausch & Lomb 100 5
Baxter International 10,592 399
Becton Dickinson 3,300 199
Biogen Idec* 4,500 210
Boston Scientific* 7,575 157
Bristol-Myers Squibb 1,800 44
C.R. Bard 2,400 178
Cardinal Health (B) 14,077 942
Caremark Rx* 7,446 357
Celgene* 1,600 66
Cephalon* 1,300 78
Cerner* 904 34
Cigna 2,712 251
Community Health Systems* 100 4
Covance* 100 6
Coventry Health Care* 600 31
Dade Behring Holdings (B) 7,467 278
DaVita* 300 16
Edwards Lifesciences* 1,747 77
Eli Lilly 6,200 320
Emdeon* 9,000 104
Endo Pharmaceuticals Holdings* 700 21
Express Scripts* 3,737 274
Fisher Scientific International* 274 20
Forest Laboratories (B)* 5,900 221
Genentech (B)* 17,900 1,485
Genzyme* 200 12
Gilead Sciences* 1,200 69
HCA 6,128 272
Health Management Associates, Cl A 400 8
Health Net (B)* 11,907 512
Henry Schein* 6,062 279
Hospira* 1,700 76
Humana* 1,183 60
Idexx Laboratories* 1,800 138
ImClone Systems* 800 32
IMS Health 500 13
Invitrogen* 200 13
Johnson & Johnson (B) 24,649 1,484
Kinetic Concepts* 200 8
King Pharmaceuticals (B)* 14,400 256
Laboratory of America Holdings* 3,300 196
Lincare Holdings* 900 34
Manor Care 200 9
Matria Healthcare* 400 12
McKesson (B) 20,395 1,010
Medco Health Solutions* 6,303 340
Medimmune* 2,900 92
Medtronic 3,500 177
Merck (B) 13,700 456
Millennium Pharmaceuticals* 1,700 15
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Millipore* 800 $ 56
Mylan Laboratories (B) 10,500 220
Omnicare 2,100 97
PDL BioPharma* 1,300 26
Pfizer 25,100 594
Pharmaceutical Product Development 800 29
PolyMedica 1,300 50
Quest Diagnostics 1,200 67
Resmed* 900 41
Respironics* 4,679 159
Schering-Plough 3,000 57
Sepracor* 100 5
St. Jude Medical* 1,700 58
Stryker 900 39
Techne* 1,200 66
Thermo Electron* 600 22
UnitedHealth Group 16,700 734
Universal Health Services, Cl B 100 5
Varian Medical Systems* 600 28
VCA Antech* 1,200 36
Waters* 6,700 279
Watson Pharmaceuticals* 1,700 43
WellPoint* 1,200 86
West Pharmaceutical Services 100 3
Wyeth 7,446 341
Zimmer Holdings* 11,000 666
--------
17,144
--------
INDUSTRIALS -- 10.0%
3M 700 59
Adesa 200 5
Alexander & Baldwin 200 9
Allied Waste Industries* 11,607 139
Ametek 100 5
AMR* 7,327 181
Applied Industrial Technologies 500 19
Aramark, Cl B 9,711 318
Armor Holdings* 1,300 74
Avery Dennison 400 24
Boeing 4,429 369
Brink's 500 28
Burlington Northern Santa Fe 1,400 108
Caterpillar 4,100 299
Cendant 600 10
CH Robinson Worldwide 1,800 79
ChoicePoint* 800 36
Cintas 100 4
Con-way (B) 3,902 231
Corporate Executive Board 600 61
CSX 4,586 307
Cummins (B) 3,432 378
Danaher 400 26
Deere 500 43
Deluxe 6,539 141
- --------------------------------------------------------------------------------
42 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Dover 1,400 $ 68
Eaton (B) 3,700 272
Emerson Electric (B) 4,500 371
Equifax 1,200 43
Expeditors International Washington 9,100 896
Fastenal 1,700 73
FedEx 1,200 131
Fluor 1,383 121
General Dynamics 2,400 153
General Electric 40,200 1,377
Goodrich 200 9
Harsco 1,000 81
Herman Miller 2,800 82
HNI 1,200 63
Honeywell International 3,600 148
Illinois Tool Works (B) 5,800 288
Ingersoll-Rand, Cl A 4,400 192
ITT Industries 1,600 83
Jacobs Engineering Group* 2,131 166
JB Hunt Transport Services 4,580 112
JetBlue Airways* 2,800 29
Laidlaw International* 5,300 134
Landstar System 300 13
Lockheed Martin (B) 10,043 728
Manpower 3,851 254
Monster Worldwide* 200 10
MSC Industrial Direct, Cl A 500 23
NCI Building Systems* 400 24
Norfolk Southern 1,363 72
Northrop Grumman (B) 6,900 446
Paccar 4,000 307
Pall 300 9
Parker Hannifin 3,706 289
Pitney Bowes 800 33
Precision Castparts 1,788 103
Raytheon (B) 8,000 367
Republic Services 400 16
Robert Half International 2,000 82
Rockwell Automation 2,800 191
Rockwell Collins 300 16
Roper Industries 500 23
RR Donnelley & Sons 1,900 61
Ryder System 4,800 259
Southwest Airlines 3,300 53
SPX 100 5
Stericycle* 700 47
Teleflex 600 37
Terex* 2,347 215
Textron 400 36
Thomas & Betts* 2,600 150
Timken (B) 9,811 308
Union Pacific 3,248 301
United Parcel Service, Cl B 12,900 1,039
United Technologies 3,000 188
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
USG* 100 $ 9
Waste Management 2,700 99
WW Grainger 2,181 157
--------
13,815
--------
INFORMATION TECHNOLOGY -- 17.2%
Acxiom (B) 4,600 108
ADC Telecommunications* 400 7
Adobe Systems 700 20
Affiliated Computer Services, Cl A* 200 10
Agere Systems* 16,791 250
Agilent Technologies* 4,100 143
Akamai Technologies* 800 25
Alliance Data Systems* 600 32
Altera* 2,500 49
Amphenol, Cl A 300 17
Analog Devices 2,300 78
Andrew* 700 7
Apple Computer* 1,935 116
Applied Materials* 15,100 255
Arrow Electronics (B)* 17,275 561
Atmel (B)* 28,100 135
Autodesk 800 29
Automatic Data Processing 1,200 55
Avaya* 1,600 19
Avnet (B)* 24,058 531
Black Box 100 5
BMC Software (B)* 9,600 193
Broadcom, Cl A* 1,500 51
CA 200 4
Cadence Design Systems* 2,000 36
CDW 200 11
Ceridian* 2,500 61
CheckFree* 2,609 130
Cisco Systems (B)* 37,300 734
Citrix Systems* 800 30
Computer Sciences (B)* 5,403 304
Comverse Technology* 100 2
Convergys* 300 6
Corning* 1,200 29
Dell* 13,616 346
DST Systems* 1,031 61
eBay* 29,500 968
Electronic Arts* 100 4
Electronic Data Systems (B) 15,253 374
EMC (B)* 17,500 224
Fair Isaac 3,300 117
Fidelity National Information Services 1,100 40
First Data 19,800 913
Fiserv* 8,000 345
Freescale Semiconductor, Cl B* 10,900 340
Global Payments 700 33
Google, Cl A* 1,988 739
Harris 1,800 73
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 43
STATEMENT OF NET ASSETS
Large Cap Diversified Alpha Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hewlett-Packard (B) 44,676 $ 1,447
Hyperion Solutions* 100 3
Ingram Micro, Cl A* 13,712 237
Intel 36,453 657
International Business Machines (B) 23,024 1,840
Intersil, Cl A 1,700 46
Intuit (B)* 19,000 1,050
Iron Mountain* 1,900 70
Jabil Circuit* 2,602 91
Kla-Tencor 600 25
Lam Research (B)* 5,400 242
Lexmark International, Cl A (B)* 5,500 315
Linear Technology 1,200 40
Maxim Integrated Products 2,700 83
MEMC Electronic Materials* 500 18
Mettler Toledo International* 300 19
Micrel* 1,600 18
Microchip Technology 300 10
Micron Technology* 2,400 40
Microsoft (B) 64,300 1,456
MicroStrategy, Cl A* 200 19
Molex 700 25
Motorola 25,021 528
National Instruments 200 6
National Semiconductor 8,900 229
NAVTEQ* 12,000 501
Network Appliance* 400 13
Novellus Systems* 700 16
Nvidia* 4,493 103
Oracle* 10,200 145
Parametric Technology* 14,174 189
Paychex 19,500 716
QLogic* 7,900 141
Qualcomm 31,800 1,438
Red Hat* 1,300 34
Reynolds & Reynolds, Cl A 400 11
Sabre Holdings, Cl A 4,673 100
Salesforce.com* 300 9
SanDisk* 13,300 748
Seagate Technology 28,000 654
Sybase* 900 18
Symantec* 2,000 31
Synopsys (B)* 10,400 212
Tech Data (B)* 12,127 440
Tektronix 900 28
Teradyne* 1,400 22
Texas Instruments (B) 24,611 769
Western Digital* 8,601 175
Xerox* 7,400 102
Xilinx 4,800 125
Yahoo!* 1,883 59
Zebra Technologies, Cl A* 100 4
--------
23,937
--------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
MATERIALS -- 2.7%
Airgas 400 $ 15
Albemarle 100 5
Alcoa (B) 7,000 222
Allegheny Technologies 200 13
Ashland 831 52
Cabot 900 30
Celanese, Ser A 10,097 199
Cleveland-Cliffs 600 44
Crown Holdings* 1,813 29
Cytec Industries 400 23
Dow Chemical 1,900 76
Eagle Materials (B) 5,000 244
Ecolab 1,200 46
Engelhard 300 12
Florida Rock Industries 1,300 68
Freeport-McMoRan Copper & Gold,
Cl B 3,200 179
Hercules* 4,933 76
Huntsman* 1,593 30
International Paper 200 7
Lubrizol 1,000 40
Martin Marietta Materials 3,600 329
MeadWestvaco 100 3
Monsanto 100 8
Mosaic* 1,000 16
Nalco Holding* 3,776 65
Newmont Mining 2,712 141
Nucor (B) 1,400 147
Pactiv* 6,000 148
Phelps Dodge 2,700 231
PPG Industries (B) 1,600 103
Praxair 14,300 754
Reliance Steel & Aluminum 600 48
Scotts Miracle-Gro, Cl A 700 31
Sealed Air 500 26
Sigma-Aldrich 100 7
Smurfit-Stone Container* 1,000 12
Sonoco Products 300 10
Southern Copper 100 9
Temple-Inland 400 17
United States Steel 179 12
Vulcan Materials 3,200 250
Weyerhaeuser 200 13
--------
3,790
--------
TELECOMMUNICATION SERVICES -- 2.5%
Alltel 1,900 118
American Tower, Cl A* 900 28
AT&T 21,003 547
BellSouth 6,058 205
CenturyTel (B) 3,900 139
Citizens Communications 3,700 47
- --------------------------------------------------------------------------------
44 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Crown Castle International* 1,100 $ 35
Embarq (B) 1,214 51
Nextel Partners, Cl A* 1,532 43
NII Holdings* 634 35
Qwest Communications International* 16,455 115
Sprint Nextel (B) 49,282 1,045
Telephone & Data Systems 1,720 67
US Cellular* 3,939 236
Verizon Communications (B) 22,000 687
--------
3,398
--------
UTILITIES -- 2.4%
AES* 5,700 105
AGL Resources 200 7
Allegheny Energy* 100 4
Ameren 400 20
American Electric Power 4,200 144
Aqua America 2,000 47
CenterPoint Energy 2,523 30
Consolidated Edison 500 22
Constellation Energy Group 1,894 98
Dominion Resources 1,324 96
DTE Energy 1,700 69
Duke Energy 424 12
Edison International (B) 12,849 504
Energen 2,718 92
Energy East 200 5
Entergy 1,200 84
Equitable Resources 2,000 67
Exelon 600 34
FirstEnergy (B) 5,700 299
FPL Group 400 16
Great Plains Energy 200 6
MDU Resources Group 3,245 115
National Fuel Gas 700 25
Nicor 877 36
Northeast Utilities 300 6
NRG Energy* 2,300 114
NSTAR 200 6
OGE Energy 200 6
Oneok 100 3
Peoples Energy 199 7
PG&E (B) 5,800 230
Pinnacle West Capital 200 8
PPL 300 9
Public Service Enterprise Group 1,969 126
Puget Energy 300 6
Questar 1,000 74
SCANA 1,100 42
Sempra Energy (B) 2,100 94
Southern 800 26
Southern Union 1,800 44
TECO Energy 100 2
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
TXU 7,600 $ 435
WPS Resources 100 5
Xcel Energy 7,235 136
--------
3,316
--------
Total Common Stock
(Cost $131,548) ($ Thousands) 128,983
--------
ASSET-BACKED SECURITIES -- 4.1%
MORTGAGE RELATED SECURITIES -- 4.1%
Ace Securities, Ser 2003-OP1, Cl M1 (D)
5.781%, 06/26/06 $ 250 251
Argent Securities, Ser 2003-W9,
Cl M1 (D)
5.771%, 06/26/06 250 252
Asset-Backed Securities Home Equity,
Ser 2003-HE7, Cl M2 (D)
6.831%, 06/15/06 25 25
Bear Stearns Asset-Backed Securities,
Ser 2006-PC1N, Cl A1 (E)
5.500%, 12/25/35 37 37
Countrywide Alternative Loan Trust,
Ser 2005-69, Cl M3 (D)
6.231%, 06/27/06 30 30
Countrywide Asset-Backed Certificates,
Ser 2005-7, Cl MV8 (D)
6.531%, 06/27/06 50 51
Countrywide Asset-Backed Certificates,
Ser 2006-S1, Cl A2
5.549%, 08/25/21 267 265
Countrywide Home Equity Loan Trust,
Ser 2006-D, Cl 2A (D)
5.261%, 06/30/06 287 288
Countrywide Home Loans, Ser 2006-OA5,
Cl 1M4 (D)
6.131%, 06/27/06 50 50
DSLA Mortgage Loan Trust, Ser 2006-AR1,
Cl M4 (D)
5.820%, 06/19/06 49 49
DSLA Mortgage Loan Trust, Ser 2006-AR1,
Cl M5 (D)
5.890%, 06/19/06 30 30
DSLA Mortgage Loan Trust, Ser 2006-AR1,
Cl M7 (D)
6.830%, 06/19/06 30 30
FBR Securitization Trust, Ser 2005-4,
Cl M11 (D)
7.081%, 06/27/06 25 24
First Franklin Mortgage Loan Asset,
Ser 2003-FF5, Cl M6 (D)
8.581%, 06/25/06 40 40
First Franklin Mortgage Loan Asset,
Ser 2005-FF4, Cl 2A3 (D)
5.301%, 06/25/06 200 200
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 45
STATEMENT OF NET ASSETS
Large Cap Diversified Alpha Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GMAC Matgage Corporation Loan Trust,
Ser 2006-HE1, Cl A (D)
5.291%, 06/30/06 $ 500 $ 500
GS Mortgage Securities, Ser 2006-GG6,
Cl AM (D)
5.622%, 04/10/38 500 489
GSAA Home Equity Trust, Ser 2006-3N,
Cl N1 (E)
5.750%, 03/25/36 23 23
Hasco NIM Trust, Ser 2006-OP2A, Cl A (E)
5.856%, 01/26/36 50 50
Home Equity Asset Trust, Ser 2003-4,
Cl M2 (D)
6.981%, 06/25/06 50 50
Home Equity Asset Trust, Ser 2005-9N,
Cl A (E)
6.500%, 05/27/36 59 59
Home Equity Asset Trust, Ser 2006-1N,
Cl 1A (E)
6.500%, 05/27/36 40 40
IMPAC CMB Trust, Ser 2004-10, Cl 4M1 (D)
5.681%, 03/25/35 59 59
IMPAC NIM Trust, Ser 2006-1, Cl N (E)
6.000%, 03/25/36 25 25
Indymac Index Mortgage Loan Trust,
Ser 2006-AR2, Cl M6 (D)
6.831%, 04/25/46 42 43
Indymac Index Mortgage Loan Trust,
Ser 2006-AR2, Cl M9 (D)
6.831%, 06/25/06 50 42
Indymac Index Mortgage Loan Trust,
Ser 2006-AR4, Cl M4 (D)
5.781%, 06/25/06 30 30
Indymac Index Mortgage Loan Trust,
Ser 2006-AR6, Cl M7 (D)
6.631%, 06/25/06 40 40
Lehman XS Trust, Ser 2005-5N, Cl M3 (D)
6.081%, 06/25/06 70 71
Lehman XS Trust, Ser 2005-7N, Cl M3II
6.231%, 06/27/06 50 51
Long Beach Asset Holdings, Ser 2006-2,
Cl N1 (E)
5.780%, 04/25/46 27 27
Master Asset-Backed Securities Trust,
Ser 2002-OPT1, Cl M1 (D)
6.231%, 06/27/06 250 251
Master Asset-Backed Securities Trust,
Ser 2006-AB1, Cl A1 (D)
5.221%, 06/27/06 250 250
Morgan Stanley Dean Witter Capital I,
Ser 2002-AM3, Cl M1 (D)
6.031%, 06/25/06 500 503
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
New Century Home Equity Loan Trust,
Ser 2003-B, Cl M1 (D)
5.731%, 06/25/06 $ 100 $ 101
New Century Home Equity Loan Trust,
Ser 2005-A, Cl A2 (D)
4.461%, 06/25/06 250 246
Park Place Securities NIM Trust,
Ser 2004-WHQ1, Cl D (E)
7.384%, 09/25/34 18 18
Residential Asset Securitization Trust,
Ser 2004-IP2, Cl 3A1 (D)
5.294%, 06/25/06 504 498
Resmae Mortgage Loan Trust, Ser 2006-1,
Cl A2A (D) (E)
5.181%, 06/25/06 229 229
Resmae Mortgage Loan Trust, Ser 2006-1,
Cl A2B (D) (E)
5.231%, 06/25/06 100 100
Sail NIM Notes, Ser 2006-BC1A, Cl A (E)
7.000%, 03/27/36 56 56
Terwin Mortgage Trust, Ser 2006-2HGS,
Cl B1 (D) (E)
5.861%, 06/25/06 35 35
Terwin Mortgage Trust, Ser 2006-6SL,
Cl A1
4.500%, 06/25/36 250 247
--------
Total Asset-Backed Securities
(Cost $5,771) ($ Thousands) 5,755
--------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 6.4%
FNMA (D)
5.581%, 05/01/36 302 301
FNMA TBA
5.500%, 06/01/21 1,900 1,871
5.500%, 06/12/31 3,000 2,887
5.500%, 06/01/33 200 193
5.000%, 06/17/19 3,000 2,897
GNMA (D)
4.500%, 01/20/34 553 547
4.500%, 01/20/36 245 242
--------
Total U.S. Government Mortgage-Backed Obligations
(Cost $8,965) ($ Thousands) 8,938
--------
CASH EQUIVALENT -- 5.8%
SEI Daily Income Trust, Prime
Obligation Fund, Cl A, 4.980%**++ 8,078,573 8,079
--------
Total Cash Equivalent
(Cost $8,079) ($ Thousands) 8,079
--------
- --------------------------------------------------------------------------------
46 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 2.6%
FNMA CMO STRIPS, Ser 360, Cl 2, IO
5.000%, 08/01/35 $ 660 $ 176
FNMA DN (A) (C)
4.824%, 08/23/06 3,500 3,460
--------
Total U.S. Government Agency Obligations
(Cost $3,636) ($ Thousands) 3,636
--------
FOREIGN COMMON STOCK -- 0.7%
Canadian Natural Resources (B) 1,900 102
EnCana (B) 4,300 217
IPSCO 1,200 113
Petro-Canada 1,800 83
Shaw Communications, Cl B 6,800 190
Talisman Energy (B) 11,400 211
--------
Total Foreign Common Stock
(Cost $877) ($ Thousands) 916
--------
CORPORATE OBLIGATIONS -- 0.1%
CONSUMER DISCRETIONARY -- 0.0%
Gannett
5.750%, 06/01/11 45 44
--------
FINANCIALS -- 0.1%
Residential Capital
6.500%, 04/17/13 75 73
--------
INDUSTRIALS -- 0.0%
Ryland Group
6.875%, 06/15/13 35 35
--------
Total Corporate Obligations
(Cost $154) ($ Thousands) 152
--------
Total Investments -- 112.5%
(Cost $159,030) ($ Thousands) 156,459
--------
COMMON STOCK SOLD SHORT -- (6.8)%
CONSUMER DISCRETIONARY -- (1.9)%
Bebe Stores (2,436) (36)
Boyd Gaming (1,900) (86)
CBS, Cl B (3,033) (79)
CKX* (991) (12)
Cooper Tire & Rubber (2,349) (27)
Discovery Holding, Cl A* (14,526) (201)
Dolby Laboratories, Cl A* (1,576) (35)
Dreamworks Animation SKG, Cl A* (5,206) (135)
Gentex (23,687) (343)
International Speedway, Cl A (2,231) (108)
Interpublic Group (B) (16,700) (159)
Laureate Education* (1,600) (76)
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Lee Enterprises (9,975) $ (285)
Liberty Media Holding-Capital, Ser A* (3,243) (258)
NTL (2,217) (59)
OSI Restaurant Partners (4,000) (147)
Royal Caribbean Cruises (2,300) (88)
Urban Outfitters* (8,600) (160)
Westwood One (5,363) (43)
XM Satellite Radio, Cl A* (23,450) (338)
--------
(2,675)
--------
ENERGY -- (0.8)%
Cheniere Energy* (4,000) (156)
Kinder Morgan (284) (29)
Massey Energy (4,500) (168)
Overseas Shipholding Group (2,016) (103)
Plains Exploration & Production* (1,323) (47)
Quicksilver Resources* (7,060) (248)
Range Resources (4,800) (124)
Southwestern Energy (5,500) (178)
--------
(1,053)
--------
FINANCIALS -- (1.3)%
Alleghany* (52) (15)
American Capital Strategies (4,330) (148)
Arthur J Gallegher (5,800) (154)
Commerce Bancorp (2,300) (90)
Health Care+ (5,063) (172)
Hudson City Bancorp (37,019) (507)
New York Community Bancorp (17,915) (298)
Realty Income+ (3,916) (86)
St. Joe (6,657) (313)
--------
(1,783)
--------
HEALTH CARE -- (0.5)%
Cooper (184) (9)
Lifepoint Hospitals* (4,605) (163)
OSI Pharmaceuticals* (5,952) (170)
Pharmaceutical Product Development (5,308) (193)
Protein Design Laboratories* (1,711) (34)
Resmed* (1,800) (82)
VCA Antech* (397) (12)
--------
(663)
--------
INDUSTRIALS -- (0.5)%
American Power Conversion (5,209) (102)
CH Robinson Worldwide (1,900) (84)
Monster Worldwide* (765) (37)
Pall (5,800) (175)
Pentair (4,300) (147)
UTI Worldwide (3,900) (106)
--------
(651)
--------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 47
STATEMENT OF NET ASSETS
Large Cap Diversified Alpha Fund (Concluded)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- (1.5)%
Activision* (13,500) $ (176)
Akamai Technologies* (3,600) (113)
Avid Technology* (2,213) (87)
Ciena* (5,317) (22)
Diebold (3,400) (144)
F5 Networks* (1,332) (65)
Flir Systems* (1,408) (36)
International Rectifier* (3,600) (160)
Iron Mountain* (4,700) (174)
Juniper Networks* (1,485) (24)
Linear Technology (2,483) (84)
NAVTEQ* (2,000) (84)
Novellus Systems (2,035) (47)
Paychex (4,252) (156)
PMC - Sierra* (21,623) (208)
QLogic* (2,782) (50)
Rambus* (3,800) (92)
Red Hat* (3,991) (105)
Salesforce.com* (4,981) (147)
SanDisk* (532) (30)
Symantec* (4,211) (66)
Teradyne* (3,357) (52)
--------
(2,122)
--------
MATERIALS -- (0.0)%
Louisiana-Pacific (1,483) (36)
--------
TELECOMMUNICATION SERVICES -- (0.0)%
CenturyTel (669) (24)
--------
UTILITIES -- (0.3)%
Aqua America (6,363) (149)
DPL (3,500) (94)
PNM Resources (920) (23)
Reliant Energy* (7,935) (92)
--------
(358)
--------
Total Common Stock Sold Short
(Proceeds $(10,020)) ($ Thousands) (9,365)
--------
FOREIGN COMMON STOCK SOLD SHORT -- (0.5)%
Cameco (4,400) (182)
Enbridge (6,000) (190)
Four Seasons Hotels (2,500) (154)
Ivanhoe Mines* (23,400) (161)
--------
Total Foreign Common Stock Sold Short
(Proceeds $(720)) ($ Thousands) (687)
--------
- --------------------------------------------------------------------------------
Market Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (5.2)%
Receivable for Variation Margin $ 181
Payable for Investment Securities Purchased (12,779)
Payable for Fund Shares Redeemed (53)
Investment Advisory Fees Payable (48)
Other Assets and Liabilities, Net 5,338
--------
Total Other Assets and Liabilities (7,361)
--------
Net Assets -- 100.0% $139,046
========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $140,211
Undistributed net investment income 469
Accumulated net realized gain on investments 823
Net unrealized depreciation on investments and
securities sold short (1,883)
Net unrealized depreciation on futures contracts (564)
Net unrealized depreciation on swap contracts (10)
--------
Net Assets $139,046
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($139,046,019 O 13,993,442 shares) $9.94
=====
A summary of the open future contracts held by the Fund at May 31, 2006, is as
follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
APPRECIATION
TYPE OF NUMBER OF EXPIRATION (DEPRECIATION)
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
90-Day Euro$ (7) Mar-2010 $ 7
90-Day Euro$ (5) Mar-2011 5
90-Day Euro$ (7) Mar-2007 6
90-Day Euro$ (7) Mar-2008 6
90-Day Euro$ (7) Mar-2009 6
90-Day Euro$ (7) Jun-2010 7
90-Day Euro$ (11) Jun-2006 4
90-Day Euro$ 5 Jun-2007 (1)
90-Day Euro$ (7) Jun-2008 7
90-Day Euro$ (7) Jun-2009 7
90-Day Euro$ (7) Sep-2010 7
90-Day Euro$ (7) Sep-2006 4
90-Day Euro$ (7) Sep-2007 6
90-Day Euro$ (7) Sep-2008 7
90-Day Euro$ (7) Sep-2009 7
90-Day Euro$ (7) Dec-2010 8
90-Day Euro$ 25 Dec-2006 (17)
90-Day Euro$ (7) Dec-2007 6
90-Day Euro$ (7) Dec-2008 6
90-Day Euro$ (7) Dec-2009 7
S&P 500 Composite Index 55 Sep-2006 (663)
U.S. 2-Year Note 1 Sep-2006 --
U.S. 5-Year Note (1) Jun-2006 --
U.S. 10-Year Note (1) Sep-2006 --
U.S. 10-Year Note (2) Jun-2006 5
U.S. Long Treasury Bond 4 Sep-2006 (1)
-----
$(564)
=====
- --------------------------------------------------------------------------------
48 SEI Institutional Investments Trust / Annual Report / May 31, 2006
A summary of the outstanding Total Return Swap agreements held by the Fund at
May 31, 2006, is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund receives payment on the monthly
reset spread from Banc of America -
CMBS AAA 10YR Index plus 5 basis
points times the notional amount.
Fund receives payment if the return
on the spread appreciates over the
payment period, and pays if the
return on the spread depreciates
over the payment period.
(Counterparty: Bank of America) 10/01/06 $6,000 $ (9)
Fund receives payment on the monthly
reset spread from Banc of America -
CMBS AAA10Yr Index times the
notional amount. Fund receives
payment if the return on the spread
appreciates over the payment period,
and pays if the return on the spread
depreciates over the payment period.
(Counterparty: Bank of America) 02/28/07 5,000 (7)
Fund receives payment on the monthly
reset spread from Banc of America -
CMBS AAA 10YR Index plus 25 basis
points times the notional amount.
Fund receives payment if the return
on the spread appreciates over the
payment period, and pays if the
return on the spread depreciates
over the payment period.
(Counterparty: Bank of America) 10/31/06 1,000 6
----
$(10)
====
- --------------------------------------------------------------------------------
DESCRIPTION
- --------------------------------------------------------------------------------
* Non-income producing security.
** Rate shown is the 7-day effective yield as of May 31, 2006.
+ Real Estate Investment Trust.
++ Pursuant to an exemptive order issued by the Securities and Exchange
Commission, the Fund may invest in the SEI money market funds, provided that
investments in the money market funds do not exceed 25% of the Fund's total
assets.
(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) All or a portion of this security is held as collateral for securities sold
short. The total value of collateral for securities sold short at May 31,
2006 was $31,384 ($Thousands).
(C) Zero Coupon Bond -- The rate reported on the Statement of Net Assets is the
effective yield at time of purchase.
(D) Variable Rate Security -- The rate reported on the Statement of Net Assets
is the rate in effect as of May 31, 2006.
(E) 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." These securities have been determined to be
liquid under guidelines established by the Board of Trustees.
Cl -- Class
CMBS -- Commercial Mortgage-Backed Security
CMO -- Collateralized Mortgage Oblligation
DN -- Discount Note
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
IO -- Interest Only
NIM -- Net Interest Margin
Ser -- Series
STRIPS -- Seperately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
Amounts designated as "--" are zero or have beeen rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 49
STATEMENT OF NET ASSETS
Large Cap Index Fund
May 31, 2006
- --------------------------------------------------------------------------------
[BAR CHART OMITTED]
PLOT POINTS ARE AS FOLLOWS:
SECTOR WEIGHTINGS (UNAUDITED)++:
24.7% Financials
12.7% Information Technology
10.6% Health Care
9.7% Consumer Discretionary
9.4% Industrials
7.6% Energy
7.5% Consumer Staples
4.7% Short-Term Investments
3.3% Commercial Paper
3.1% Utilities
2.7% Materials
2.7% Telecommunication Services
1.0% Asset-Backed Securities
0.2% U.S. Treasury Obligation
0.1% Certificate of Deposit
++Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 97.9%
CONSUMER DISCRETIONARY -- 11.2%
Abercrombie & Fitch, Cl A 2,602 $ 151
Advance Auto Parts* 3,308 126
Amazon.com (B)* 8,889 308
American Eagle Outfitters 3,114 102
American Greetings, Cl A 1,573 35
AnnTaylor Stores* 1,847 71
Apollo Group, Cl A (B)* 4,164 218
Applebee's International 2,175 44
Autoliv 2,218 123
Autonation* 4,132 90
Autozone* 1,707 155
Barnes & Noble 1,138 43
Beazer Homes USA 1,037 52
Bebe Stores 379 6
Bed Bath & Beyond* 8,615 303
Belo, Cl A 2,151 37
Best Buy 11,247 596
Black & Decker 2,068 180
Borders Group 2,009 42
BorgWarner 1,441 95
Boyd Gaming 1,051 47
Brinker International 2,822 104
Brunswick 3,033 109
Cablevision Systems, Cl A 6,042 119
Career Education (B)* 3,159 103
Carmax (B)* 2,680 85
CBRL Group 1,174 44
CBS, Cl B 20,369 528
Centex 3,756 179
Cheesecake Factory* 2,046 60
Chico's FAS* 5,316 159
Choice Hotels International 884 48
Circuit City Stores 4,985 150
CKX* 937 12
Claire's Stores 2,327 63
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Clear Channel Communications 14,135 $ 435
Clear Channel Outdoor Holdings, Cl A* 1,400 31
Coach* 10,967 319
Columbia Sportswear* 438 21
Comcast, Cl A* 57,117 1,835
Darden Restaurants 3,922 139
Dick's Sporting Goods* 829 32
Dillard's, Cl A 1,675 46
DIRECTV Group (B)* 18,758 329
Discovery Holding, Cl A (B)* 8,542 118
Dolby Laboratories, Cl A* 843 19
Dollar General (B) 9,831 160
Dollar Tree Stores* 3,553 94
Dow Jones (B) 1,177 41
DR Horton 7,968 210
DreamWorks Animation SKG, Cl A* 934 24
E.W. Scripps, Cl A 2,472 114
Eastman Kodak 8,567 207
EchoStar Communications, Cl A (B)* 6,862 205
Education Management* 1,887 81
Expedia* 5,551 79
Family Dollar Stores 4,262 106
Federated Department Stores 7,515 547
Foot Locker 3,769 91
Ford Motor (B) 48,024 344
Fortune Brands 4,220 312
Gannett (B) 7,159 387
Gap 15,459 281
General Motors (B) 13,481 363
Gentex 3,932 57
Genuine Parts 5,171 223
Getty Images* 1,519 100
Goodyear Tire & Rubber (B)* 3,852 49
GTECH Holdings 3,819 132
H&R Block (B) 9,725 221
Harley-Davidson (B) 7,903 394
Harman International Industries 1,968 167
Harrah's Entertainment 5,275 401
Harte-Hanks 1,489 41
Hasbro 3,967 74
Hearst-Argyle Television 863 19
Hilton Hotels (B) 11,224 308
Home Depot 60,915 2,322
Hovnanian Enterprises, Cl A* 745 24
IAC/InterActive (B)* 5,464 141
Interactive Data 813 16
International Game Technology 10,043 374
International Speedway, Cl A 912 44
Interpublic Group (B)* 12,975 124
ITT Educational Services (B)* 1,221 79
J.C. Penney 5,751 349
John Wiley & Sons, Cl A 1,242 43
Johnson Controls 5,515 470
Jones Apparel Group 3,053 99
- --------------------------------------------------------------------------------
50 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
KB Home 2,480 $ 127
Knight Ridder 1,815 113
Kohl's (B)* 8,819 473
Lamar Advertising, Cl A (B)* 2,140 117
Las Vegas Sands* 693 49
Laureate Education* 1,231 58
Lear (B) 1,511 36
Lee Enterprises 1,187 34
Leggett & Platt (B) 5,819 148
Lennar, Cl A 3,930 188
Liberty Global, Cl A (B)* 13,769 316
Liberty Media Holding-Capital, Ser A* 3,889 309
Liberty Media Holding-Interactive,
Ser A* 19,447 349
Limited Brands 9,357 254
Live Nation 1,979 45
Liz Claiborne 3,361 130
Lowe's 21,755 1,355
Marriott International, Cl A 5,125 371
Marvel Entertainment* 1,806 34
Mattel 10,442 176
McClatchy, Cl A (B) 489 22
McDonald's 35,529 1,178
McGraw-Hill 10,739 554
MDC Holdings 816 44
Men's Wearhouse* 1,178 40
Meredith 1,058 53
Meritage Homes* 554 30
MGM Mirage* 3,692 153
Michaels Stores 4,132 161
Mohawk Industries (B)* 1,366 101
New York Times, Cl A 3,524 85
Newell Rubbermaid 7,365 195
News, Cl A* 65,285 1,245
Nike, Cl B 5,424 436
Nordstrom 6,512 240
NTL 7,620 203
NVR* 124 75
O'Reilly Automotive* 2,540 80
Office Depot* 8,489 353
OfficeMax 2,274 94
Omnicom Group 5,022 478
OSI Restaurant Partners 1,602 59
Panera Bread, Cl A* 662 43
Penn National Gaming* 1,689 65
PetSmart (B) 4,373 117
Polaris Industries 952 42
Polo Ralph Lauren 1,380 78
Pool 1,292 56
Pulte Homes 6,318 205
Quiksilver* 2,902 36
R.H. Donnelley 1,761 97
RadioShack (B) 4,171 70
Regal Entertainment Group, Cl A (B) 1,188 23
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Rent-A-Center* 1,829 $ 43
Ross Stores 4,571 129
Ryland Group (B) 1,475 73
Saks* 2,806 45
Scientific Games, Cl A* 1,466 56
Sears Holdings* 2,728 414
Service International 6,994 56
ServiceMaster 9,382 101
Sherwin-Williams 3,537 171
Sirius Satellite Radio (B)* 38,952 176
Snap-On 1,491 62
Sonic (B)* 2,229 49
Standard-Pacific 1,539 46
Stanley Works 2,509 122
Staples 20,664 485
Starbucks (B)* 21,706 774
Starwood Hotels & Resorts Worldwide 6,284 384
Station Casinos 1,419 104
Target (B) 24,885 1,217
Tempur-Pedic International (B)* 998 14
Tiffany 4,325 148
Timberland, Cl A* 1,300 36
Time Warner 129,537 2,229
TJX 13,954 331
Toll Brothers* 3,351 95
Tribune 7,066 211
TRW Automotive Holdings* 993 27
Univision Communications, Cl A (B)* 5,611 202
Urban Outfitters (B)* 2,720 50
VF 2,617 165
Viacom, Cl B* 17,969 678
Walt Disney (B) 57,884 1,765
Warner Music Group 662 17
Washington Post, Cl B 128 104
Weight Watchers International 862 36
Wendy's International 3,413 206
Westwood One 1,983 16
Whirlpool 1,887 170
Williams-Sonoma 3,462 125
Wynn Resorts (B)* 1,196 85
XM Satellite Radio Holdings, Cl A* 7,837 113
Yum! Brands 7,524 379
--------
40,930
--------
CONSUMER STAPLES -- 8.7%
Alberto-Culver 1,887 88
Albertson's 10,836 278
Altria Group (B) 58,368 4,223
Anheuser-Busch 21,679 989
Archer-Daniels-Midland 18,279 760
Avon Products 13,606 431
BJ's Wholesale Club* 1,872 55
Brown-Forman, Cl B 1,675 128
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 51
STATEMENT OF NET ASSETS
Large Cap Index Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Campbell Soup 6,878 $ 242
Church & Dwight 1,632 59
Clorox (B) 4,503 285
Coca-Cola 58,620 2,581
Coca-Cola Enterprises 9,015 177
Colgate-Palmolive 14,575 879
ConAgra Foods (B) 15,086 341
Constellation Brands, Cl A* 5,831 144
Costco Wholesale (B) 13,281 703
CVS 22,446 626
Dean Foods* 3,787 135
Del Monte Foods 5,258 62
Energizer Holdings* 1,741 91
Estee Lauder, Cl A 3,554 146
General Mills 7,996 415
Hershey 4,998 284
HJ Heinz 10,137 429
Hormel Foods 1,939 70
JM Smucker 1,155 48
Kellogg 7,303 344
Kimberly-Clark 13,318 808
Kraft Foods, Cl A (B) 7,440 246
Kroger (B)* 21,073 424
Loews - Carolina Group 1,693 79
McCormick 3,593 124
Molson Coors Brewing, Cl B 1,131 73
Pepsi Bottling Group 3,682 115
PepsiAmericas 1,494 33
PepsiCo (B) 47,237 2,856
Pilgrim's Pride (B) 351 9
Procter & Gamble 90,077 4,887
Reynolds American (B) 2,505 275
Rite Aid (B)* 13,001 61
Safeway (B) 13,120 309
Sara Lee 22,851 388
Smithfield Foods (B)* 2,775 77
Spectrum Brands* 879 14
Supervalu 4,117 120
Sysco (B) 18,148 555
TreeHouse Foods* 780 19
Tyson Foods, Cl A 7,465 120
UST 4,469 197
Wal-Mart Stores 71,079 3,444
Walgreen 28,525 1,158
Whole Foods Market 3,852 250
WM Wrigley Jr. (B) 6,420 294
WM Wrigley Jr., Cl B 1,280 59
--------
32,007
--------
ENERGY -- 8.8%
Anadarko Petroleum 13,540 673
Apache 9,159 594
Arch Coal 3,912 189
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Baker Hughes 9,401 $ 811
BJ Services 9,488 348
Cameron International* 3,322 156
Chesapeake Energy (B) 9,966 305
Chevron 63,902 3,821
ConocoPhillips 47,176 2,986
Consol Energy 2,722 240
Denbury Resources* 2,824 89
Devon Energy 12,513 718
Diamond Offshore Drilling (B) 1,809 155
Dresser-Rand Group* 734 18
El Paso 17,503 272
ENSCO International 4,523 226
EOG Resources 6,645 436
Exxon Mobil (B) 179,012 10,904
FMC Technologies* 1,780 119
Forest Oil* 1,314 43
Grant Prideco* 3,427 165
Halliburton (B) 12,456 929
Helmerich & Payne 1,275 84
Hess 2,104 316
Kerr-McGee 3,305 353
Kinder Morgan 2,797 281
Marathon Oil 10,388 780
Massey Energy (B) 2,561 96
Murphy Oil (B) 4,854 256
National Oilwell Varco* 4,692 310
Newfield Exploration* 3,799 162
Noble Energy 5,162 224
Occidental Petroleum 11,977 1,187
Overseas Shipholding Group 727 37
Patterson-UTI Energy 5,132 153
Peabody Energy 7,574 472
Pioneer Natural Resources (B) 3,544 145
Plains Exploration & Production* 1,947 69
Pogo Producing 1,470 66
Pride International* 4,829 156
Quicksilver Resources* 1,401 49
Range Resources 4,139 107
Rowan (B) 3,286 131
Smith International (B) 5,731 235
Southwestern Energy* 4,988 161
Sunoco 3,756 258
Tesoro 2,073 141
Tidewater 1,870 95
Unit* 1,127 67
Valero Energy 16,636 1,021
Western Gas Resources 1,449 71
Williams (B) 16,646 376
XTO Energy 9,911 408
--------
32,464
--------
- --------------------------------------------------------------------------------
52 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
FINANCIALS -- 21.5%
A.G. Edwards (B) 2,357 $ 126
Affiliated Managers Group (B)* 833 75
Aflac 13,956 653
Alleghany* 130 37
Allied Capital (B) 4,064 122
Allstate 18,625 1,025
AMB Property+ 2,144 106
AMBAC Financial Group 3,168 254
American Capital Strategies (B) 4,021 138
American Express 30,934 1,682
American Financial Group 1,143 48
American Financial Realty Trust+ 3,131 31
American International Group 64,676 3,932
American National Insurance 222 26
AmeriCredit (B)* 3,572 104
Ameriprise Financial 6,400 293
AmerUs Group (B) 965 56
AmSouth Bancorp 10,355 278
Annaly Mortgage Management+ 5,211 68
AON (B) 8,650 308
Apartment Investment &
Management, Cl A 2,984 129
Archstone-Smith Trust+ 5,840 282
Arthur J Gallagher 2,104 56
Associated Banc (B) 4,184 138
Assurant 2,793 137
Astoria Financial 2,314 70
AvalonBay Communities+ 1,989 211
Bank of America 130,823 6,332
Bank of Hawaii 1,682 85
Bank of New York 21,552 716
BB&T (B) 15,206 632
Bear Stearns 3,274 438
BlackRock, Cl A 485 65
BOK Financial 475 23
Boston Properties+ 2,984 253
BRE Properties, Cl A+ 1,320 69
Brown & Brown 2,824 86
Camden Property Trust+ 1,447 103
Capital One Financial (B) 8,351 691
CapitalSource+ 3,182 75
Capitol Federal Financial 527 17
CarrAmerica Realty+ 1,365 61
CB Richard Ellis Group, Cl A* 1,239 96
CBL & Associates Properties+ 1,206 45
Charles Schwab 30,285 505
Chicago Mercantile Exchange Holdings 905 399
Chubb 11,818 597
Cincinnati Financial 5,186 238
CIT Group 5,524 284
Citigroup 146,245 7,210
City National 1,338 97
CNA Financial (B)* 700 23
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Colonial BancGroup 3,954 $ 105
Comerica 4,953 271
Commerce Bancorp (B) 4,854 191
Commerce Bancshares 1,514 78
Commerce Group 641 36
Compass Bancshares 3,337 186
Conseco* 3,877 93
Countrywide Financial 16,875 646
Crescent Real Estate Equities+ 2,004 35
Cullen/Frost Bankers 1,668 95
Developers Diversified Realty+ (B) 3,253 166
Downey Financial 502 34
Duke Realty+ 3,409 116
E*Trade Financial* 12,038 292
East West Bancorp 1,988 79
Eaton Vance (B) 4,110 109
Equity Office Properties Trust+ (B) 10,894 367
Equity Residential+ 7,787 343
Erie Indemnity, Cl A 1,119 57
Essex Property Trust (B) 569 61
Fannie Mae 27,133 1,350
Federal Realty Investment Trust+ 1,296 89
Federated Investors, Cl B 2,158 69
Fidelity National Financial 4,372 181
Fidelity National Title Group, Cl A (B) 695 15
Fifth Third Bancorp (B) 13,682 520
First American 1,984 83
First Horizon National 3,229 129
First Marblehead (B) 599 27
FirstMerit 2,232 51
Forest City Enterprises, Cl A 1,642 74
Franklin Resources 4,503 405
Freddie Mac 19,307 1,159
Friedman Billings Ramsey Group,
Cl A+ (B) 3,635 38
Fulton Financial 4,196 66
General Growth Properties+ (B) 5,240 229
Genworth Financial, Cl A 6,292 211
Global Signal+ 308 14
Golden West Financial 6,981 510
Goldman Sachs Group 10,975 1,657
Hanover Insurance Group 1,693 80
Hartford Financial Services Group 8,210 722
HCC Insurance Holdings (B) 3,441 106
Health Care+ 1,383 47
Health Care Property Investors+ (B) 4,174 109
Healthcare Realty Trust+ 1,173 38
Hospitality Properties Trust+ 1,766 75
Host Hotels & Resorts+ (B) 14,400 289
HRPT Properties Trust+ 5,102 57
Hudson City Bancorp 17,728 243
Huntington Bancshares 6,989 164
Independence Community Bank 2,152 90
IndyMac Bancorp 1,599 73
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 53
STATEMENT OF NET ASSETS
Large Cap Index Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
International Bancshares 1,186 $ 34
Investors Financial Services 1,755 77
iStar Financial+ 3,395 129
Janus Capital Group 5,665 102
Jefferies Group 2,714 79
JPMorgan Chase 99,222 4,231
Keycorp 11,295 403
Kimco Realty+ 5,913 212
KKR Financial+ 977 21
Legg Mason 3,481 334
Lehman Brothers Holdings 15,494 1,032
Leucadia National 2,460 158
Liberty Property Trust+ (B) 2,706 115
Lincoln National 8,288 466
Loews 12,918 439
M&T Bank 2,083 240
Macerich+ 1,868 129
Mack-Cali Realty+ (B) 1,598 69
Markel* 250 84
Marsh & McLennan (B) 14,965 420
Marshall & Ilsley 6,660 302
MBIA 3,959 226
Mellon Financial 12,263 444
Mercantile Bankshares (B) 3,648 131
Mercury General 696 39
Merrill Lynch (B) 26,649 1,930
Metlife 11,538 594
MGIC Investment 2,315 153
Mills+ 1,429 44
Moody's 6,927 362
Morgan Stanley 30,978 1,847
National City (B) 15,876 586
Nationwide Financial Services, Cl A 1,461 63
Nelnet, Cl A* 363 14
New Century Financial+ 1,221 57
New Plan Excel Realty Trust+ 2,695 64
New York Community Bancorp 8,172 136
North Fork Bancorporation 13,832 408
Northern Trust (B) 5,305 297
Nuveen Investments, Cl A 1,648 74
Old Republic International 6,890 147
Pan Pacific Retail Properties+ 1,026 68
Peoples Bank 1,589 52
Philadelphia Consolidated Holding* 1,248 41
Plum Creek Timber+ 5,421 194
PMI Group 2,343 107
PNC Financial Services Group (B) 7,886 543
Popular 8,230 159
Principal Financial Group (B) 8,018 438
Progressive 22,780 623
Prologis+ 6,588 326
Protective Life 1,809 80
Prudential Financial 14,563 1,109
Public Storage+ (B) 2,424 174
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Radian Group 2,198 $ 134
Raymond James Financial 3,021 89
Rayonier+ 2,303 90
Realty Income+ 1,968 43
Reckson Associates Realty+ 2,092 80
Regency Centers+ 2,108 130
Regions Financial 13,428 455
Reinsurance Group of America 799 38
Safeco 3,735 207
SEI Investments (H) 1,421 65
Shurgard Storage Centers, Cl A+ 1,152 67
Simon Property Group+ 4,952 394
Sky Financial Group 2,165 53
SL Green Realty+ (B) 1,051 104
SLM 11,614 624
South Financial Group 1,800 50
Sovereign Bancorp (B) 10,818 241
St. Joe (B) 2,261 106
St. Paul Travelers 18,744 825
Stancorp Financial Group 1,442 70
State Street 9,204 572
Student Loan 102 19
SunTrust Banks 10,046 761
Synovus Financial 9,172 241
T Rowe Price Group 3,540 280
TCF Financial 4,201 112
TD Ameritrade Holding 10,445 178
TD Banknorth 3,128 90
Thornburg Mortgage+ 2,541 69
Torchmark 3,150 186
Transatlantic Holdings 655 38
Trizec Properties+ (B) 2,349 55
UnionBanCal 1,697 115
United Dominion Realty Trust+ 4,219 114
Unitrin 1,260 56
UnumProvident 8,905 160
US Bancorp 51,443 1,588
Valley National Bancorp 2,865 70
Ventas+ 3,244 105
Vornado Realty Trust 3,510 316
Wachovia 45,627 2,441
Washington Federal 2,263 52
Washington Mutual 27,727 1,273
Webster Financial 1,346 65
Weingarten Realty Investors+ 2,067 78
Wells Fargo 47,643 3,162
Wesco Financial 41 16
Whitney Holding 1,557 56
Wilmington Trust 1,692 72
WR Berkley 4,914 169
Zions Bancorporation 2,802 227
--------
79,062
--------
- --------------------------------------------------------------------------------
54 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
HEALTH CARE -- 12.2%
Abbott Laboratories 43,776 $ 1,869
Abraxis BioScience* 564 16
Advanced Medical Optics* 1,627 74
Aetna 16,134 621
Affymetrix* 1,515 42
Allergan 4,148 393
AMERIGROUP* 1,267 36
AmerisourceBergen 6,062 264
Amgen* 34,867 2,357
Applera - Applied Biosystems Group 4,694 139
Barr Pharmaceuticals* 3,082 162
Bausch & Lomb (B) 1,630 80
Baxter International 18,475 697
Beckman Coulter 1,512 84
Becton Dickinson 6,944 420
Biogen Idec (B)* 9,914 462
Biomet 7,390 260
Boston Scientific* 33,439 692
Bristol-Myers Squibb 54,813 1,346
C.R. Bard 3,085 228
Cardinal Health 11,929 798
Caremark Rx* 12,620 605
Celgene (B)* 9,692 402
Cephalon (B)* 1,448 86
Cerner* 1,974 75
Charles River Laboratories
International* 2,243 90
Cigna 3,485 323
Community Health Systems* 2,962 112
Cooper 1,104 52
Covance* 1,936 114
Coventry Health Care* 4,762 249
Cytyc* 2,903 76
Dade Behring Holdings 2,242 84
DaVita* 3,008 159
Dentsply International (B) 2,449 146
Edwards Lifesciences* 1,507 67
Eli Lilly 27,761 1,434
Emdeon* 6,956 81
Endo Pharmaceuticals Holdings* 1,297 38
Express Scripts* 3,461 254
Fisher Scientific International (B)* 3,201 238
Forest Laboratories* 9,273 348
Gen-Probe* 1,327 72
Genentech* 12,985 1,077
Genzyme* 7,253 432
Gilead Sciences (B)* 12,575 721
HCA 11,521 512
Health Management Associates, Cl A 7,422 155
Health Net* 3,402 146
Henry Schein* 2,684 124
Hillenbrand Industries 1,424 72
Hospira* 4,681 210
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Humana* 4,775 $ 242
Idexx Laboratories* 1,026 78
ImClone Systems* 1,728 69
IMS Health 5,061 137
Invitrogen (B)* 1,190 76
Johnson & Johnson 83,809 5,047
Kinetic Concepts* 1,213 47
King Pharmaceuticals* 7,426 132
Kos Pharmaceuticals* 304 13
Laboratory of America Holdings (B)* 3,411 202
LifePoint Hospitals* 1,376 49
Lincare Holdings* 2,227 83
Manor Care 2,494 116
McKesson 8,666 429
Medco Health Solutions* 8,710 469
Medimmune (B)* 7,294 232
Medtronic (B) 34,185 1,726
Merck 62,140 2,069
Millennium Pharmaceuticals* 7,816 67
Millipore* 1,686 117
Mylan Laboratories (B) 6,619 138
Omnicare 3,131 145
OSI Pharmaceuticals* 1,283 37
Patterson (B)* 4,183 143
PDL BioPharma* 3,631 74
PerkinElmer 3,334 70
Pfizer (B) 209,655 4,960
Pharmaceutical Product Development 2,984 108
Quest Diagnostics (B) 4,744 264
Resmed (B)* 1,655 75
Respironics* 1,840 63
Schering-Plough 41,009 782
Sepracor* 3,161 164
Sierra Health Services* 1,134 47
St. Jude Medical* 10,446 356
Stryker 8,504 373
Techne* 941 51
Tenet Healthcare* 14,294 113
Thermo Electron* 4,323 159
Triad Hospitals* 2,163 87
UnitedHealth Group 38,129 1,676
Universal Health Services, Cl B 1,088 55
Valeant Pharmaceuticals International 2,268 39
Varian Medical Systems (B)* 3,930 184
VCA Antech* 2,039 61
Waters* 2,772 115
Watson Pharmaceuticals* 2,518 64
WellPoint* 17,531 1,255
Wyeth 37,840 1,731
Zimmer Holdings (B)* 7,125 431
--------
44,814
--------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 55
STATEMENT OF NET ASSETS
Large Cap Index Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
INDUSTRIALS -- 10.9%
3M 21,746 $ 1,819
ACCO Brands* 875 20
Adesa 2,372 54
Alexander & Baldwin 1,082 49
Alliant Techsystems* 1,136 89
Allied Waste Industries (B)* 6,933 83
American Power Conversion 4,051 80
American Standard 5,572 237
Ametek 1,765 81
AMR (B)* 4,786 118
Aramark, Cl B 1,588 52
Avery Dennison 2,610 155
Boeing 23,391 1,947
Brink's 800 44
Burlington Northern Santa Fe (B) 10,498 813
Carlisle 833 68
Caterpillar 19,188 1,400
Cendant 30,243 489
CH Robinson Worldwide 5,086 224
ChoicePoint* 2,297 102
Cintas 4,157 176
Con-way 1,323 78
Copart* 1,813 50
Corporate Executive Board 1,096 111
CSX 6,266 419
Cummins 1,178 130
Danaher 6,451 414
Deere 6,809 583
Deluxe 972 21
Donaldson 1,972 65
Dover 5,457 266
Dun & Bradstreet* 2,056 150
Eaton 4,126 303
Emerson Electric 11,860 979
Equifax 3,956 143
Expeditors International Washington 2,874 283
Fastenal (B) 3,762 162
FedEx (B) 8,444 923
Fluor (B) 2,304 202
General Dynamics 11,472 730
General Electric 298,223 10,217
Goodrich 3,692 157
Graco 1,824 84
Harsco 1,235 100
Herman Miller 1,893 55
HNI 1,322 69
Honeywell International 23,790 980
Hubbell, Cl B 1,592 80
IDEX 1,262 61
Illinois Tool Works 14,080 699
ITT Industries 5,102 266
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Jacobs Engineering Group* 1,451 $ 113
JB Hunt Transport Services 2,972 73
JetBlue Airways (B)* 3,594 37
Joy Global 3,533 190
L-3 Communications Holdings 3,477 254
Laidlaw International* 2,505 63
Landstar System 1,465 65
Lockheed Martin 10,529 763
Manpower 2,684 177
Masco (B) 11,809 366
Monster Worldwide* 3,118 152
MSC Industrial Direct, Cl A 1,120 52
Navistar International* 1,607 43
Norfolk Southern 11,233 593
Northrop Grumman 9,978 645
Oshkosh Truck 2,159 114
Paccar (B) 4,787 368
Pall 3,145 95
Parker Hannifin 3,503 273
Pentair 3,061 105
Pitney Bowes 6,785 277
Precision Castparts 3,946 227
Raytheon 12,668 581
Republic Services 4,149 169
Robert Half International 5,076 208
Rockwell Automation 5,204 355
Rockwell Collins 5,262 287
Roper Industries 2,200 103
RR Donnelley & Sons 6,277 202
Ryder System 1,506 81
Southwest Airlines 22,720 366
SPX 1,811 95
Steelcase, Cl A 1,475 27
Stericycle* 1,113 74
Swift Transportation* 996 28
Teleflex 940 58
Terex* 1,224 112
Textron 3,461 315
Thomas & Betts* 1,467 84
Timken 1,960 62
Toro 1,060 51
Union Pacific 7,308 678
United Parcel Service, Cl B 17,141 1,381
United Technologies 28,966 1,811
USG* 1,099 101
Waste Management 15,694 575
West* 498 24
WW Grainger 2,281 165
YRC Worldwide* 1,308 52
--------
39,970
--------
- --------------------------------------------------------------------------------
56 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 14.7%
Activision (B)* 5,778 $ 76
ADC Telecommunications (B)* 2,967 53
Adobe Systems 16,702 478
Advanced Micro Devices* 13,934 430
Affiliated Computer Services, Cl A* 3,547 177
Agere Systems* 4,614 69
Agilent Technologies* 12,064 421
Akamai Technologies (B)* 4,118 129
Alliance Data Systems* 2,112 112
Altera (B)* 11,073 217
Amphenol, Cl A 2,246 125
Analog Devices 10,712 361
Andrew* 4,379 44
Apple Computer* 23,123 1,382
Applied Materials* 47,655 806
Arrow Electronics* 2,989 97
Autodesk 6,737 245
Automatic Data Processing 16,192 736
Avaya* 14,315 169
Avid Technology (B)* 872 34
Avnet* 4,410 97
AVX 1,424 23
BEA Systems (B)* 9,107 123
BISYS Group* 2,967 44
BMC Software (B)* 5,789 117
Broadcom, Cl A* 13,068 442
CA 13,538 294
CACI International, Cl A (B)* 738 45
Cadence Design Systems* 8,363 151
CDW 1,922 108
Ceridian* 3,775 92
CheckFree (B)* 2,572 128
Cisco Systems* 182,127 3,584
Citrix Systems* 5,187 195
Cognizant Technology Solutions, Cl A* 3,644 215
Computer Sciences* 5,164 290
Compuware* 12,451 92
Comverse Technology (B)* 6,014 135
Convergys* 3,669 68
Corning* 43,458 1,054
Cree (B)* 1,922 49
Dell* 64,543 1,638
Diebold 2,229 95
DST Systems (B)* 1,695 100
eBay (B)* 31,011 1,017
Electronic Arts* 8,865 373
Electronic Data Systems 14,142 347
EMC* 68,664 879
F5 Networks* 919 45
Fair Isaac 2,126 76
Fidelity National Information Services 5,056 186
First Data 21,828 1,006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Fiserv* 4,869 $ 210
Flir Systems (B)* 1,354 35
Freescale Semiconductor, Cl B* 11,702 365
Global Payments 1,634 76
Google, Cl A* 4,608 1,713
Harris 3,989 162
Hewitt Associates, Cl A* 1,063 28
Hewlett-Packard 81,701 2,645
Hyperion Solutions* 1,474 42
Ingram Micro, Cl A* 3,223 56
Intel 164,258 2,960
International Business Machines 45,498 3,635
International Rectifier* 1,755 78
Intersil, Cl A 3,861 104
Intuit (B)* 4,343 240
Iron Mountain (B)* 3,309 122
Jabil Circuit* 4,874 170
JDS Uniphase (B)* 41,120 125
Juniper Networks (B)* 15,825 252
Kla-Tencor 5,809 238
Lam Research (B)* 4,191 188
Lexmark International, Cl A (B)* 3,186 182
Linear Technology (B) 8,957 302
LSI Logic* 11,782 115
Lucent Technologies (B)* 128,456 328
Maxim Integrated Products 9,524 293
McAfee (B)* 4,973 118
MEMC Electronic Materials (B)* 4,238 148
Mettler Toledo International* 1,136 74
Microchip Technology (B) 6,222 213
Micron Technology (B)* 17,216 285
Microsoft 261,099 5,914
Molex 3,570 127
Motorola 69,334 1,462
National Instruments 1,436 40
National Semiconductor 10,256 263
NAVTEQ (B)* 2,269 95
NCR* 5,589 218
Network Appliance (B)* 9,955 319
Novell* 11,626 90
Novellus Systems* 3,077 71
Nvidia* 9,904 228
Oracle (B)* 109,967 1,564
Paychex 9,607 353
QLogic* 4,180 75
Qualcomm 45,950 2,077
Red Hat (B)* 5,327 140
Reynolds & Reynolds, Cl A 1,637 46
Sabre Holdings, Cl A 4,051 87
Salesforce.com* 1,638 48
SanDisk (B)* 5,543 312
Sanmina-SCI* 11,865 56
Solectron* 22,315 79
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 57
STATEMENT OF NET ASSETS
Large Cap Index Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
SRA International, Cl A* 679 $ 21
Sun Microsystems* 98,177 458
Sybase (B)* 1,992 41
Symantec* 30,648 478
Symbol Technologies 6,324 75
Synopsys* 4,682 96
Take-Two Interactive Software* 1,733 28
Tech Data* 1,550 56
Tektronix 1,979 62
Tellabs* 11,889 170
Teradyne* 6,263 98
Texas Instruments (B) 46,808 1,462
Total System Services 969 18
Trimble Navigation* 1,307 60
Unisys (B)* 8,532 56
VeriSign* 7,385 166
Vishay Intertechnology* 4,350 71
Western Digital* 6,330 129
Xerox (B)* 27,751 381
Xilinx (B) 10,257 267
Yahoo! (B)* 33,981 1,073
Zebra Technologies, Cl A* 1,825 64
--------
53,765
--------
MATERIALS -- 3.2%
Air Products & Chemicals 6,394 415
Airgas 1,515 58
Albemarle 872 42
Alcoa 24,302 771
Allegheny Technologies 2,897 184
AptarGroup 869 46
Ashland 1,976 124
Ball 2,675 100
Bemis 2,774 84
Cabot 1,673 55
Celanese, Ser A 1,483 29
Chemtura 5,354 53
Crown Holdings* 4,151 67
Cytec Industries 981 57
Dow Chemical 26,970 1,075
E.I. du Pont de Nemours 25,692 1,093
Eastman Chemical 2,442 138
Ecolab 5,491 213
Engelhard 3,154 123
Florida Rock Industries 1,170 62
FMC 930 60
Freeport-McMoRan Copper & Gold,
Cl B 5,289 296
Huntsman* 1,729 32
International Flavors & Fragrances 2,391 85
International Paper 13,755 467
Louisiana-Pacific (B) 2,846 69
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Lubrizol 2,134 $ 86
Lyondell Chemical 6,009 145
Martin Marietta Materials 1,363 125
MeadWestvaco 5,558 152
Monsanto 7,525 633
Mosaic (B)* 3,178 50
Nalco Holding* 2,017 35
Newmont Mining 11,433 596
Nucor (B) 4,445 468
Owens-Illinois* 3,491 59
Packaging of America 1,499 32
Pactiv* 4,583 113
Phelps Dodge 5,858 502
PPG Industries 5,023 323
Praxair 9,325 491
Rohm & Haas 4,753 240
RPM International 2,969 55
Scotts Miracle-Gro, Cl A 1,100 48
Sealed Air 2,534 131
Sigma-Aldrich 1,774 123
Smurfit-Stone Container (B)* 7,845 94
Sonoco Products 3,146 100
Southern Copper (B) 608 52
Temple-Inland 3,375 145
United States Steel 3,383 225
Valhi 122 3
Valspar 2,664 73
Vulcan Materials 3,011 235
Weyerhaeuser (B) 7,026 449
--------
11,581
--------
TELECOMMUNICATION SERVICES -- 3.1%
Alltel 10,395 643
American Tower, Cl A (B)* 11,622 360
AT&T (B) 110,880 2,890
BellSouth 51,795 1,749
CenturyTel 3,201 114
Citizens Communications (B) 10,355 131
Crown Castle International* 6,573 209
Embarq 3,932 164
Nextel Partners, Cl A* 4,701 133
NII Holdings* 3,720 203
PanAmSat Holding 1,156 29
Qwest Communications
International (B)* 44,096 309
Sprint Nextel 78,644 1,668
Telephone & Data Systems 3,302 129
US Cellular* 431 26
Verizon Communications 82,615 2,578
--------
11,335
--------
- --------------------------------------------------------------------------------
58 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
UTILITIES -- 3.6%
AES* 19,124 $ 352
AGL Resources 2,447 89
Allegheny Energy* 4,166 152
Alliant Energy 2,976 102
Ameren (B) 5,690 282
American Electric Power 11,150 382
Aqua America 3,977 93
Atmos Energy 1,991 53
CenterPoint Energy 9,415 113
CMS Energy (B)* 5,542 71
Consolidated Edison (B) 7,116 314
Constellation Energy Group 4,958 256
Dominion Resources (B) 9,756 708
DPL 3,246 87
DTE Energy 5,164 209
Duke Energy (B) 34,819 983
Dynegy, Cl A* 7,511 40
Edison International 9,479 372
Energen 1,837 62
Energy East 3,567 85
Entergy 5,898 413
Equitable Resources 3,766 127
Exelon (B) 18,629 1,055
FirstEnergy 9,281 486
FPL Group (B) 11,373 453
Great Plains Energy 1,671 47
Hawaiian Electric Industries 2,146 58
KeySpan 4,653 186
MDU Resources Group 3,614 128
National Fuel Gas 2,089 75
NiSource (B) 8,121 177
Northeast Utilities 4,707 95
NRG Energy* 4,000 199
NSTAR 3,428 95
OGE Energy 2,268 71
Oneok (B) 3,529 119
Pepco Holdings 5,744 132
PG&E (B) 9,918 394
Piedmont Natural Gas 1,883 46
Pinnacle West Capital 2,992 118
PNM Resources 1,587 40
PPL 10,226 304
Progress Energy (B) 7,261 305
Public Service Enterprise Group 7,126 454
Puget Energy 2,661 56
Questar 2,573 190
Reliant Energy (B)* 9,359 109
SCANA 3,420 130
Sempra Energy 6,923 311
Southern (B) 20,703 662
Southern Union (B) 2,268 56
TECO Energy 5,000 75
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
TXU 13,338 $ 764
UGI 2,350 55
Vectren 1,991 53
Westar Energy 2,292 49
Wisconsin Energy (B) 3,549 141
WPS Resources 1,002 49
Xcel Energy (B) 11,881 223
--------
13,305
--------
Total Common Stock
(Cost $280,535) ($ Thousands) 359,233
--------
CORPORATE OBLIGATIONS (C) -- 7.0%
FINANCIALS -- 7.0%
Allstate Life Global Funding II MTN
(E) (F)
5.101%, 06/15/07 $ 379 379
American General Finance (E) (F)
5.111%, 06/15/07 1,196 1,196
American General Finance MTN, Ser F
5.875%, 07/14/06 82 84
Bear Stearns, EXL (E)
5.091%, 06/15/07 1,468 1,468
Caterpillar Financial Services MTN,
Ser F (E)
5.148%, 07/10/06 412 412
Countrywide Financial MTN, Ser A (E)
5.210%, 11/03/06 866 866
4.960%, 09/13/06 1,526 1,526
Dekabank (E) (F)
5.108%, 05/18/07 1,526 1,525
Glintnir Bank (E) (F)
5.180%, 04/06/07 1,237 1,237
Irish Life & Permanent MTN,
Ser X (E) (F)
5.109%, 06/21/07 1,097 1,097
Islandsbanki (E) (F)
5.131%, 03/22/07 701 701
Jackson National Life Funding (E) (F)
5.080%, 05/02/07 1,814 1,814
Kaupthing Bank MTN (E) (F)
5.141%, 03/20/07 2,062 2,062
Landsbanki Islands (E) (F)
5.161%, 03/16/07 1,567 1,567
Morgan Stanley EXL (E)
5.190%, 07/03/07 289 289
Morgan Stanley EXL, Ser S (E)
5.150%, 07/03/07 412 412
Natexis Banques (E) (F)
5.060%, 06/15/07 804 804
Nationwide Building Society (E) (F)
5.160%, 04/05/07 825 825
5.020%, 04/27/07 454 454
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 59
STATEMENT OF NET ASSETS
Large Cap Index Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Nordbank (E) (F)
5.080%, 06/22/07 $ 1,402 $ 1,402
Northern Rock (E) (F)
5.170%, 05/03/07 849 849
Pacific Life Global Funding (E) (F)
5.101%, 06/13/07 619 619
Premium Asset Trust, Ser 2004-06
(E) (F)
5.190%, 06/30/06 783 784
Premium Asset Trust, Ser 2004-10
(E) (F)
5.120%, 05/14/07 1,155 1,155
SLM EXL, Ser S (E) (F)
5.081%, 06/15/07 907 907
Sigma Finance MTN (F)
4.745%, 11/09/06 445 445
Skandinav Enskilda Bank (E) (F)
5.077%, 05/18/07 907 907
--------
Total Corporate Obligations
(Cost $25,786) ($ Thousands) 25,786
--------
COMMERCIAL PAPER (C) (D) -- 3.9%
Brahms Funding
5.051%, 06/01/06 825 821
Broadhollow Funding
5.081%, 06/09/06 206 205
5.079%, 06/26/06 495 493
5.073%, 06/19/06 701 698
5.062%, 06/05/06 412 411
Buckingham CDO
5.092%, 06/23/06 412 410
5.087%, 06/08/06 825 822
Elysian Funding LLC
5.170%, 07/10/06 825 818
5.134%, 06/30/06 412 409
5.123%, 06/05/06 412 410
Hardwood Street Funding II
5.074%, 06/13/06 72 72
KKR Pacific Funding Trust
5.082%, 06/22/06 825 821
5.082%, 06/23/06 412 411
5.081%, 06/07/06 825 821
Main Street Warehouse Funding
5.090%, 06/16/06 495 493
5.079%, 06/05/06 412 411
5.078%, 06/02/06 74 74
Ocala Funding LLC
5.112%, 06/30/06 124 123
5.092%, 06/09/06 1,305 1,299
Park Granada LLC
5.045%, 06/29/06 412 409
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
Rams Funding
5.094%, 06/14/06 $ 961 $ 957
5.091%, 06/21/06 825 821
Rhineland Funding Capital
5.026%, 06/26/06 825 816
Thornburg Mortgage Capital Resource
5.092%, 06/19/06 577 575
5.092%, 06/23/06 267 266
Transamerica Securities
5.100%, 06/28/06 332 330
--------
Total Commercial Paper
(Cost $14,196) ($ Thousands) 14,196
--------
CASH EQUIVALENT -- 1.7%
SEI Daily Income Trust, Prime
Obligation Fund, Cl A, 4.980%**++ 6,195,590 6,196
--------
Total Cash Equivalent
(Cost $6,196) ($ Thousands) 6,196
--------
ASSET-BACKED SECURITIES (C) (E) (F) -- 1.2%
MORTGAGE RELATED SECURITIES -- 1.2%
Cheyne High Grade, Ser 2004-1A,
Cl AM1
5.180%, 11/10/06 412 412
Commodore, Ser 2003-2A, Cl A1MM
4.970%, 12/12/38 379 379
Duke Funding, Ser 2004-6B, Cl A1S1
5.093%, 04/08/39 619 619
Newcastle CDO Limited, Ser 2005-6A,
Cl IM1
5.142%, 04/24/07 165 165
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AM6
5.111%, 02/25/35 504 504
RMAC, Ser 2004-NS3A, Cl A1
5.080%, 03/12/25 148 148
Saturn Ventures II
5.129%, 08/07/06 770 770
TIAA Real Estate CDO, Ser 2003 1A,
Cl A1MM
5.030%, 12/28/18 532 532
Whitehawk CDO Funding, Ser 2004-1A,
Cl AMMD
4.930%, 06/15/06 206 206
Whitehawk CDO Funding, Ser 2004-1A,
Cl AMME
4.930%, 09/15/06 124 124
Witherspoon CDO Funding
5.091%, 09/15/06 577 577
--------
Total Asset-Backed Securities
(Cost $4,436) ($ Thousands) 4,436
--------
- --------------------------------------------------------------------------------
60 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MASTER NOTE (C) (D) -- 0.6%
Bank of America
5.133%, 06/01/06 $ 2,062 $ 2,062
--------
Total Master Note
(Cost $2,062) ($ Thousands) 2,062
--------
TIME DEPOSIT (C) -- 0.4%
Societe General
5.080%, 06/01/06 1,649 1,649
--------
Total Time Deposit
(Cost $1,649) ($ Thousands) 1,649
--------
U.S. TREASURY OBLIGATION (A) -- 0.2%
U.S. Treasury Bill
4.593%, 06/22/06 755 753
--------
Total U.S. Treasury Obligation
(Cost $753) ($ Thousands) 753
--------
CERTIFICATE OF DEPOSIT (C) -- 0.1%
U.S. Trust of New York
5.121%, 03/13/07 330 330
--------
Total Certificate of Deposit
(Cost $330) ($ Thousands) 330
--------
REPURCHASE AGREEMENTS (C) (G) -- 2.7%
Barclays Capital
5.010%, dated 05/31/06, to be
repurchased on 06/01/06,
repurchase price $2,210,193
(collateralized by U.S. Government
Obligations, ranging in par value
$45,781-$1,649,464, 0.000%-
4.300%, 04/09/07-05/12/08,
total market value $2,254,115) 2,210 2,210
Deutsche Bank
5.020%, dated 05/31/06, to be
repurchased on 06/01/06,
repurchase price $2,726,110
(collateralized by U.S. Government
Obligations, ranging in par value
$15,183-$828,113, 0.000%-
5.600%, 08/29/06-10/29/18,
total market value $2,780,260) 2,726 2,726
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers
5.020%, dated 05/31/06, to be
repurchased on 06/01/06,
repurchase price $4,981,613
(collateralized by U.S. Government
Obligations, ranging in par value
$577,230-$4,948,391, 8.125%-
9.375%, 10/15/19-01/15/30,
total market value $5,080,544) $ 4,981 $ 4,981
--------
Total Repurchase Agreements
(Cost $9,917) ($ Thousands) 9,917
--------
Total Investments -- 115.7%
(Cost $345,860) ($ Thousands) 424,558
--------
OTHER ASSETS AND LIABILITIES -- (15.7)%
Payable upon Return of Securities on Loan (58,376)
Payable for Fund Shares Redeemed (33)
Investment Advisory Fees Payable (7)
Trustees' Fees Payable (1)
Other Assets and Liabilities, Net 943
--------
Total Other Assets and Liabilities (57,474)
--------
Net Assets -- 100.0% $367,084
========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $287,754
Undistributed net investment income 1,433
Accumulated net realized loss on investments (652)
Net unrealized appreciation on investments 78,698
Net unrealized depreciation on futures contracts (149)
--------
Net Assets $367,084
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($367,084,467 O 3,248,057 shares) $113.02
=======
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 61
STATEMENT OF NET ASSETS
Large Cap Index Fund (Concluded)
May 31, 2006
A summary of the open future contracts held by the Fund at May 31, 2006, is as
follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
TYPE OF NUMBER OF EXPIRATION (DEPRECIATION)
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
S&P 500 Index E-Mini 124 June 2006 $(149)
=====
* Non-income producing security.
** Rate shown is the 7-day effective yield as of May 31, 2006.
+ Real Estate Investment Trust.
++ Pursuant to an exemptive order issued by the Securities and Exchange
Commission, the Fund may invest in the SEI money market funds, provided that
investments in the money market funds do not exceed 25% of the Fund's total
assets.
(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,
2006 (see Note 9). The total value of securities on loan at May 31, 2006 was
$57,313 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan (see Note 9). The total value of such securities as of May 31, 2006 was
$58,376 ($ 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, 2006.
(F) 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 Oaccredited investors.O These securities have been determined to be
liquid under guidelines established by the Board of Trustees.
(G) Tri-Party Repurchase Agreement.
(H) The Fund may purchase securities of certain companies with which it is
affiliated to the extent these companies are represented in its benchmark
Index.
CDO -- Collateralized Debt Obligation
Cl -- Class
EXL -- Extendable Maturity
LLC -- Limited Liability Company
MTN -- Medium Term Note
NIM -- Net Interest Margin
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
62 SEI Institutional Investments Trust / Annual Report / May 31, 2006
Small Cap Fund
May 31, 2006
- --------------------------------------------------------------------------------
[BAR CHART OMITTED]
PLOT POINTS ARE AS FOLLOWS:
SECTOR WEIGHTINGS (UNAUDITED)++:
25.9% Financials
15.8% Information Technology
11.5% Industrials
10.6% Consumer Discretionary
8.4% Health Care
6.5% Short-Term Investments
5.9% Commercial Paper
5.7% Energy
3.5% Materials
1.9% Asset-Backed Securities
1.7% Consumer Staples
1.7% Utilities
0.7% Telecommunication Services
0.1% Certificate of Deposit
0.1% Exchange Traded Fund
0.0% Warrants
++Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 98.0%
CONSUMER DISCRETIONARY -- 14.0%
1-800 Contacts (B)* 39,300 $ 577
1-800-FLOWERS.COM, Cl A* 35,300 223
4Kids Entertainment* 2,620 44
Aaron Rents (B) 30,363 820
AC Moore Arts & Crafts* 5,820 102
Advo (B) 88,101 2,350
Aftermarket Technology* 99,082 2,406
American Axle & Manufacturing
Holdings (B) 29,250 513
American Greetings, Cl A (B) 105,209 2,366
Ameristar Casinos 39,023 812
Applebee's International (B) 28,596 578
Arctic Cat 103,000 1,889
ArvinMeritor (B) 317,100 5,318
Asbury Automotive Group* 11,807 246
Bally Technologies (B)* 112,189 1,725
Bandag (B) 23,840 889
Belo, Cl A 37,020 640
Big 5 Sporting Goods 30,975 655
Big Lots* 3,600 58
BJ's Restaurants* 89,200 2,378
Blount International* 110,900 1,422
Blue Nile (B)* 31,500 942
Bluegreen* 11,499 138
Bob Evans Farms 16,944 473
Bon-Ton Stores 2,892 76
Bright Horizons Family Solutions (B)* 25,071 893
Brinker International 41,927 1,539
Brown Shoe 84,650 2,978
Building Material Holding (B) 55,800 1,591
Cache* 2,687 47
Carter's (B)* 52,600 3,074
Casual Male Retail Group* 8,403 82
Cato, Cl A 118,800 2,802
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Champion Enterprises (B)* 111,904 $ 1,332
Charming Shoppes (B)* 132,100 1,472
Coach* 107,000 3,112
Coachmen Industries 2,610 29
Cooper Tire & Rubber (B) 42,142 480
Corinthian Colleges (B)* 105,700 1,460
Cosi* 98,743 803
Courier 16,638 635
CROCS (B)* 87,900 2,014
CSK Auto (B)* 206,547 2,625
Ctrip.com International ADR (B) 76,993 3,703
Dana 238,000 595
Dick's Sporting Goods* 29,420 1,144
Directed Electronics* 43,000 593
Domino's Pizza 115,520 2,736
Dover Downs Gaming &
Entertainment (B) 11,100 282
Eddie Bauer Holdings* 219,900 3,298
Entercom Communications 34,550 921
Ethan Allen Interiors 43,100 1,640
Finish Line, Cl A 91,731 1,174
Fleetwood Enterprises* 5,239 49
Focus Media Holding ADR* 25,298 1,598
Foot Locker 42,819 1,035
FTD Group* 9,400 123
Furniture Brands International (B) 177,600 3,822
Gaiam, Cl A* 73,000 1,261
GameStop, Cl A (B)* 45,200 1,941
Gaylord Entertainment (B)* 51,100 2,239
Genesco (B)* 24,500 862
Getty Images* 5,783 380
Golf Galaxy* 53,500 927
Gray Television 377,200 2,497
Group 1 Automotive 94,269 5,729
GSI Commerce (B)* 152,489 2,402
Guitar Center (B)* 43,100 2,075
Gymboree (B)* 83,200 2,944
Handleman (B) 59,100 504
Hibbett Sporting Goods (B)* 119,427 3,088
HOT Topic (B)* 295,990 4,097
Interface, Cl A* 110,505 1,269
iRobot (B)* 23,700 526
ITT Educational Services* 1,871 122
Jack in the Box (B)* 29,400 1,225
Jackson Hewitt Tax Service 21,200 693
Jakks Pacific (B)* 160,000 3,118
Jarden (B)* 48,600 1,460
Jo-Ann Stores (B)* 102,947 1,709
Jos. A. Bank Clothiers* 15,309 556
Journal Communications, Cl A 106,300 1,225
K2* 116,105 1,281
Kellwood (B) 61,500 1,918
Kimball International, Cl B 51,900 778
La-Z-Boy (B) 82,021 1,227
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 63
STATEMENT OF NET ASSETS
Small Cap Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Landry's Restaurants (B) 36,200 $ 1,108
Laureate Education (B)* 26,195 1,237
Leapfrog Enterprises (B)* 93,100 954
Life Time Fitness (B)* 46,988 2,150
Lin TV, Cl A* 187,700 1,652
LKQ* 112,921 2,208
Lodgenet Entertainment* 25,900 490
Lone Star Steakhouse & Saloon 55,600 1,447
Luby's* 6,227 65
M/I Homes (B) 3,700 133
MarineMax* 34,167 983
Marvel Entertainment (B)* 200,600 3,831
McCormick & Schmick's Seafood
Restaurants* 78,800 1,887
MDC Holdings (B) 26,780 1,450
Media General, Cl A 22,700 854
Men's Wearhouse* 18,620 631
Meritage Homes (B)* 33,200 1,779
Midas* 3,540 74
Modine Manufacturing 37,100 872
Monarch Casino & Resort* 34,100 940
Morgans Hotel Group* 53,800 806
Movie Gallery (B) 175,000 873
NetFlix (B)* 44,447 1,231
Noble International 8,900 138
Nutri/System (B)* 73,710 5,006
OfficeMax 41,051 1,697
Orient-Express Hotels, Cl A 30,400 1,166
Orleans Homebuilders 5,308 105
Outdoor Channel Holdings* 151,053 1,835
Oxford Industries 4,660 188
Pantry* 71,715 4,145
Payless Shoesource* 20,174 538
PEP Boys - Manny Moe & Jack (B) 40,600 550
Perry Ellis International* 22,630 547
Petco Animal Supplies (B)* 121,900 2,579
PetMed Express (B)* 17,500 217
Phillips-Van Heusen 93,020 3,298
Pier 1 Imports (B) 150,900 1,281
Playboy Enterprises, Cl B* 5,700 55
Priceline.com (B)* 121,015 3,764
Progressive Gaming International (B)* 64,300 650
ProQuest* 123,200 1,469
Quiksilver (B)* 455,100 5,671
RadioShack (B) 103,600 1,743
RC2* 28,800 1,024
RCN (B)* 65,300 1,715
Reader's Digest Association (B) 118,300 1,683
Red Robin Gourmet Burgers (B)* 33,200 1,393
Regal Entertainment Group, Cl A (B) 65,900 1,276
Regis 152,431 5,286
Rent-A-Center (B)* 150,570 3,581
Restoration Hardware* 104,502 677
Retail Ventures* 21,842 333
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Royal Caribbean Cruises 5,878 $ 224
Ruby Tuesday (B) 93,150 2,591
Russell 21,029 384
Ryan's Restaurant Group* 181,200 2,241
Ryland Group (B) 37,000 1,821
Saks (B)* 40,700 653
Sauer-Danfoss 1,886 47
Scholastic* 82,320 2,167
Shoe Carnival* 7,400 172
Shuffle Master (B)* 55,480 2,023
Sinclair Broadcast Group, Cl A 10,100 86
Six Flags (B)* 149,437 1,255
Sonic (B)* 98,425 2,150
Sonic Automotive 68,900 1,649
Sotheby's Holdings, Cl A (B)* 25,800 690
Speedway Motorsports* 2,892 111
Stage Stores 34,250 1,115
Stamps.com* 70,414 2,112
Standard-Pacific (B) 67,284 2,023
Starwood Hotels & Resorts
Worldwide (B) 88,200 5,389
Stewart Enterprises, Cl A 49,704 283
Strayer Education 9,000 897
Superior Industries International (B) 90,300 1,661
Talbots 42,621 907
Tenneco (B)* 29,537 704
Timberland, Cl A (B)* 56,100 1,550
Too (B)* 83,670 3,430
Tractor Supply* 30,300 1,685
Tuesday Morning (B) 63,500 1,020
Under Armour, Cl A (B)* 84,400 3,013
Unifirst 60,258 1,931
United Auto Group (B) 7,200 303
Urban Outfitters (B)* 58,700 1,090
Vail Resorts (B)* 57,100 2,053
Valassis Communications (B)* 114,360 3,315
Valuevision Media, Cl A* 11,670 145
VistaPrint* 85,534 2,709
Visteon (B)* 203,300 1,508
Volcom* 14,100 452
Warnaco Group* 77,913 1,402
WCI Communities* 5,987 127
Wendy's International 6,055 365
World Wrestling Entertainment 45,000 803
Xerium Technologies 17,100 167
Yankee Candle 123,200 3,361
Zale (B)* 117,800 2,766
----------
273,189
----------
CONSUMER STAPLES -- 2.3%
Andersons 7,656 791
BJ's Wholesale Club (B)* 108,900 3,213
Casey's General Stores (B) 37,913 849
- --------------------------------------------------------------------------------
64 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Central Garden & Pet* 14,119 $ 591
Chattem (B)* 44,900 1,575
Chiquita Brands International (B) 162,900 2,331
Corn Products International (B) 48,894 1,304
Delta & Pine Land 34,300 971
Gold Kist (B)* 262,400 3,933
Hain Celestial Group* 124,475 3,195
J&J Snack Foods 32,152 1,040
JM Smucker 18,537 769
Lancaster Colony 51,030 1,989
Lance 65,000 1,548
Longs Drug Stores 51,600 2,376
Molson Coors Brewing, Cl B 32,800 2,125
Nash Finch 22,013 511
NBTY (B)* 100,600 2,638
Parlux Fragrances (B)* 11,000 303
Pathmark Stores (B)* 141,133 1,320
Pilgrim's Pride 21,341 577
Playtex Products* 12,457 143
Premium Standard Farms 107,200 1,781
Ralcorp Holdings (B)* 18,734 783
Sanderson Farms (B) 74,600 2,284
Smart & Final* 46,125 791
Spartan Stores 109,200 1,447
Universal (B) 45,800 1,688
Weis Markets 41,200 1,650
----------
44,516
----------
ENERGY -- 7.2%
Alon USA Energy 47,800 1,621
Arlington Tankers 82,000 1,769
Atlas America (B)* 21,020 959
Atwood Oceanics* 26,000 1,268
Basic Energy Services* 149,700 4,919
Berry Petroleum, Cl A 20,305 1,261
Brigham Exploration* 15,390 118
Bronco Drilling* 91,300 1,908
Cabot Oil & Gas (B) 81,978 3,596
Callon Petroleum* 51,247 915
CARBO Ceramics (B) 49,900 2,508
Cimarex Energy (B) 61,600 2,498
Clayton Williams Energy* 26,984 1,074
Complete Production Services* 139,569 3,343
Comstock Resources (B)* 50,239 1,424
Delek US Holdings* 53,000 784
Denbury Resources* 31,781 1,004
Dresser-Rand Group* 21,700 524
Dril-Quip (B)* 31,165 2,454
Encore Acquisition (B)* 79,850 2,121
Energy Partners (B)* 127,600 2,705
EXCO Resources* 82,568 991
Forest Oil* 22,703 741
Foundation Coal Holdings 32,968 1,494
Frontier Oil 23,253 1,302
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Giant Industries* 8,760 $ 554
Global Industries (B)* 100,300 1,947
GlobalSantaFe 5,000 301
Goodrich Petroleum (B)* 43,299 1,061
Grupo TMM ADR, Cl A* 103,800 496
Harvest Natural Resources (B)* 88,200 1,218
Helix Energy Solutions Group (B)* 16,800 596
Hercules Offshore* 79,200 2,896
Holly (B) 53,314 4,448
Hornbeck Offshore Services* 37,520 1,328
Houston Exploration (B)* 47,026 2,506
Hydril (B)* 43,047 3,224
Infinity Bio-Energy* 396,781 2,182
Input/Output (B)* 337,800 3,263
KCS Energy* 49,794 1,403
KFX (B)* 99,900 1,409
Lone Star Technologies* 32,100 1,557
Mariner Energy* 59,600 1,018
Maritrans 70,300 1,813
Massey Energy (B) 49,400 1,844
Maverick Tube (B)* 65,860 3,174
Na Oil Sands (F) (H)* 245,500 2,676
Natural Gas Services Group* 48,300 763
Noble 1,836 128
NS Group* 28,700 1,433
Oil States International* 15,948 554
Parallel Petroleum* 13,167 318
Parker Drilling* 97,000 716
Petroleum Development* 5,700 208
Pioneer Natural Resources 15,900 649
Plains Exploration & Production (B)* 48,946 1,747
Range Resources 22,642 586
Remington Oil & Gas* 17,078 723
Rentech (B)* 599,300 2,703
Rosetta Resources (B)* 49,800 875
Rowan 1,871 75
SEACOR Holdings* 47,600 3,879
St. Mary Land & Exploration (B) 73,400 2,869
Stone Energy (B)* 81,003 4,038
Superior Energy Services (B)* 96,418 3,172
Swift Energy (B)* 115,832 4,652
Syntroleum (B)* 223,900 1,458
Tesoro 20,300 1,383
Tetra Technologies (B)* 63,074 1,832
Transmontaigne* 136,400 1,569
Union Drilling* 98,700 1,470
USEC 37,220 449
Vaalco Energy* 260,000 1,836
Veritas DGC (B)* 25,068 1,184
W&T Offshore (B) 51,200 1,965
W-H Energy Services (B)* 126,897 7,149
Western Refining* 105,100 1,881
Whiting Petroleum* 32,392 1,226
World Fuel Services (B) 53,050 2,650
----------
140,355
----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 65
STATEMENT OF NET ASSETS
Small Cap Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
FINANCIALS -- 19.8%
Acadia Realty Trust+ 92,000 $ 1,968
Accredited Home Lenders Holding (B)* 41,800 2,171
Advance America Cash Advance
Centers 61,300 929
Advanta, Cl B 38,250 1,400
Affiliated Managers Group (B)* 52,046 4,695
Amcore Financial 45,391 1,369
American Equity Investment Life
Holding (B) 281,412 3,672
American Home Mortgage Investment+ 134,748 4,497
American Physicians Capital* 5,808 268
AmericanWest Bancorp 2,600 61
Amerisafe* 127,300 1,432
AmerUs Group (B) 44,200 2,570
Anchor Bancorp Wisconsin 7,995 233
Annaly Mortgage Management+ (B) 178,242 2,317
Anthracite Capital (B) 130,200 1,466
Anworth Mortgage Asset+ 111,998 885
Apartment Investment &
Management, Cl A 54,400 2,353
Arbor Realty Trust+ 39,910 976
Archstone-Smith Trust+ 81,057 3,919
Argonaut Group* 36,450 1,121
Ashford Hospitality Trust+ 39,600 473
Aspen Insurance Holdings 75,600 1,638
Asset Acceptance Capital* 34,700 600
Assured Guaranty 91,600 2,282
Asta Funding (B) 19,191 702
AvalonBay Communities+ (B) 48,200 5,124
BancFirst 7,800 349
BancorpSouth (B) 123,950 3,225
Bank Mutual 96,393 1,121
Bank of the Ozarks (B) 11,000 355
BankAtlantic Bancorp, Cl A 88,441 1,300
BankUnited Financial, Cl A (B) 56,915 1,766
Boston Private Financial Holdings (B) 131,290 3,939
Boston Properties+ 26,500 2,243
Brandywine Realty Trust+ 90,700 2,632
Brookline Bancorp (B) 86,800 1,243
Calamos Asset Management, Cl A 55,700 1,771
Camden Property Trust+ (B) 47,700 3,406
Capital of the West 2,300 76
Capital Southwest 10,500 1,039
Capital Trust, Cl A+ 10,500 358
CapitalSource+ 53,243 1,249
Capitol Bancorp 6,800 279
Cardinal Financial 58,190 708
Cascade Bancorp 19,697 556
Cathay General Bancorp (B) 27,100 973
CB Richard Ellis Group, Cl A* 26,257 2,032
Cedar Shopping Centers+ 33,204 483
Center Financial 18,500 432
Central Pacific Financial 60,963 2,193
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Ceres Group* 102,600 $ 615
Chemical Financial (B) 54,900 1,604
Chicago Mercantile Exchange Holdings 1,334 589
Citizens Banking 39,500 1,052
City Bank 4,100 188
City Holding 10,500 380
Clark 42,369 559
CNA Surety* 47,400 814
Cohen & Steers (B) 26,300 646
Columbia Banking System 11,200 376
Commerce Group 33,700 1,912
Commercial Capital Bancorp 41,700 655
Community Bancorp* 2,300 73
Community Bank System 32,900 638
Community Trust Bancorp 13,192 449
CompuCredit (B)* 56,743 2,171
Corporate Office Properties Trust+ 123,450 4,876
Corus Bankshares (B) 95,400 2,695
Cousins Properties+ 19,000 574
Crawford, Cl B 13,824 84
Crescent Real Estate Equities+ (B) 56,200 994
Darwin Professional Underwriter* 8,500 164
Delphi Financial Group, Cl A (B) 87,601 4,631
DiamondRock Hospitality+ 13,400 203
DiamondRock Hospitality (F)+ 122,500 1,858
Digital Realty Trust (B) 20,300 510
Dime Community Bancshares 88,650 1,254
Direct General (B) 61,940 1,097
Doral Financial 115,050 867
Downey Financial 25,400 1,730
Eagle Hospitality Properties Trust+ 57,900 565
Eaton Vance 39,668 1,052
Education Realty Trust+ 121,275 1,710
EMC Insurance Group 5,271 168
Encore Capital Group (B)* 9,287 85
Equity Inns+ (B) 188,008 2,905
Equity Office Properties Trust+ 61,800 2,080
Equity One+ 59,774 1,327
Equity Residential+ (B) 92,300 4,070
Essex Property Trust+ (B) 11,600 1,235
Extra Space Storage+ 127,700 1,940
Ezcorp, Cl A* 4,600 149
FBL Financial Group, Cl A 26,800 959
Federal Agricultural Mortgage,
Cl C (B) 83,964 2,103
Federal Realty Investment Trust+ 42,800 2,927
FelCor Lodging Trust+ (B) 134,800 2,805
Financial Federal 38,680 1,082
First American 46,400 1,947
First Bancorp 3,400 71
First Cash Financial Services* 179,505 3,852
First Community Bancorp (B) 8,500 494
First Financial Bancorp (B) 79,661 1,293
First Financial Bankshares (B) 4,266 149
First Indiana 7,212 189
- --------------------------------------------------------------------------------
66 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
First Merchants 34,800 $ 825
First Midwest Bancorp 78,368 2,755
First Place Financial 3,096 71
First Regional Bancorp* 2,600 222
First Republic Bank 50,750 2,133
FirstFed Financial (B)* 72,248 4,179
FirstMerit 48,738 1,121
Flagstar Bancorp 82,300 1,328
Flushing Financial 53,800 895
Fpic Insurance Group (B)* 41,400 1,555
Frontier Financial (B) 4,750 162
GAMCO Investors, Cl A 22,900 811
Getty Realty+ 1,020 26
Glacier Bancorp (B) 23,588 690
Gramercy Capital+ (B) 14,500 379
Greater Bay Bancorp (B) 129,458 3,859
Greenhill (B) 27,800 1,651
Grubb & Ellis Realty Advisors* 314,500 2,123
Hancock Holding 3,070 166
Hanmi Financial 28,200 541
Hanover Insurance Group 49,400 2,339
Harbor Florida Bancshares 4,728 174
HCC Insurance Holdings (B) 67,750 2,079
Health Care+ 29,133 987
Heritage Commerce (B) 6,100 147
Hersha Hospitality Trust+ 202,600 1,892
Highbury Financial* 147,100 1,119
Highland Hospitality+ 93,800 1,135
Hilb Rogal & Hobbs (B) 92,300 3,591
HomeBanc+ (B) 106,200 828
Horace Mann Educators 54,979 921
Horizon Financial 2,800 69
Host Hotels & Resorts+ 136,567 2,741
Housevalues* 19,100 170
HRPT Properties Trust+ (B) 184,100 2,055
Hub International 52,100 1,427
IndyMac Bancorp 22,200 1,019
Innkeepers USA Trust+ 134,126 2,082
IntercontinentalExchange (B)* 27,600 1,537
International Bancshares 19,483 555
Intervest Bancshares* 10,300 414
Investment Technology Group (B)* 56,450 2,670
IPC Holdings 23,600 575
Irwin Financial 90,964 1,874
Kansas City Life Insurance 26,700 1,222
KNBT Bancorp 92,600 1,509
Knight Capital Group, Cl A* 1,449 22
Lakeland Financial 2,800 64
LandAmerica Financial Group (B) 23,300 1,559
Longview Fibre+ 7,040 180
LTC Properties+ 30,900 679
Macatawa Bank (B) 3,696 119
Macerich+ 42,800 2,949
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Mack-Cali Realty+ (B) 84,300 $ 3,615
MAF Bancorp 80,500 3,485
MainSource Financial Group 3,500 60
Marlin Business Services* 4,000 85
Marsh & McLennan 45,099 1,264
Max Re Capital 23,400 562
Medical Properties Trust+ 211,100 2,556
MFA Mortgage Investments+ (B) 217,600 1,475
Midwest Banc Holdings (B) 77,700 1,732
Mid-State Bancshares 18,882 499
Nara Bancorp 67,468 1,309
Nasdaq Stock Market (B)* 77,900 2,371
National Financial Partners 33,900 1,520
National Retail Properties 36,000 695
Nationwide Financial Services, Cl A 20,378 882
Navigators Group* 6,259 258
NBT Bancorp 76,300 1,682
NorthStar Realty Finance+ 147,602 1,632
Novastar Financial+ (B) 31,000 976
Odyssey Re Holdings (B) 50,200 1,229
Ohio Casualty 27,286 815
Old National Bancorp 46,200 886
Old Second Bancorp 5,000 151
Omega Healthcare Investors+ 56,400 695
Pacific Capital Bancorp 3,698 127
PFF Bancorp 91,640 3,116
Pico Holdings* 35,958 1,223
Piper Jaffray (B)* 57,200 3,620
Placer Sierra Bancshares 23,900 574
Platinum Underwriters Holdings (B) 143,948 3,878
PMA Capital, Cl A* 43,791 453
PMI Group 21,300 969
Portfolio Recovery Associates (B)* 79,600 3,922
Post Properties+ (B) 74,500 3,189
Preferred Bank 4,000 211
PremierWest Bancorp (B) 4,935 71
Presidential Life 56,300 1,408
ProAssurance* 62,320 2,942
Prologis+ 117,900 5,830
Prosperity Bancshares (B) 3,800 123
Provident Bankshares 26,566 937
Provident Financial Holdings 3,300 92
PS Business Parks+ 19,800 1,052
R & G Financial, Cl B 47,466 432
Rainier Pacific Financial Group 23,164 407
RAIT Investment Trust+ 111,400 2,807
Reckson Associates Realty+ (B) 90,200 3,467
Regency Centers+ 4,200 259
RenaissanceRe Holdings 15,600 703
Republic Bancorp 251,325 2,732
Republic Property Trust+* 44,410 457
Safety Insurance Group 26,900 1,268
Santander BanCorp (B) 43,665 1,018
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 67
STATEMENT OF NET ASSETS
Small Cap Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Saxon Capital+ 232,781 $ 2,596
SeaBright Insurance Holdings* 53,151 842
Security Bank 2,800 62
Selective Insurance Group 13,000 709
Shurgard Storage Centers, Cl A+ 37,500 2,177
Signature Bank* 104,333 3,728
Simon Property Group+ 50,100 3,989
SL Green Realty+ (B) 31,898 3,165
South Financial Group 92,547 2,568
Southwest Bancorp 7,415 178
Sterling Bancorp 13,822 255
Sterling Financial--PA 4,350 93
Sterling Financial--WA 111,500 3,349
Stewart Information Services 102,513 3,897
Strategic Hotels & Resorts+ (B) 185,500 3,806
Suffolk Bancorp 3,200 98
Sunstone Hotel Investors+ (B) 76,000 2,105
SVB Financial Group (B)* 116,000 5,594
SWS Group 22,234 516
TAC Acquisition* 373,500 2,521
TAL International Group* 112,900 2,620
Taubman Centers+ (B) 39,300 1,529
Taylor Capital Group 38,500 1,584
TD Ameritrade Holding 9,935 169
TD Banknorth 52,817 1,513
Thomas Weisel Partners Group (B)* 117,200 2,575
TierOne 13,400 440
Tower Group 52,345 1,623
TradeStation Group (B)* 51,300 714
Trammell Crow* 64,810 2,244
Trico Bancshares 3,900 106
Trizec Properties+ (B) 128,000 3,020
Trustmark 75,832 2,276
Trustreet Properties+ 23,300 302
UCBH Holdings 93,190 1,648
UMB Financial 50,880 1,639
Umpqua Holdings 38,856 1,023
UnionBanCal 14,501 981
United America Indemnity, Cl A* 31,923 726
United Bankshares 31,400 1,107
United Fire & Casualty 26,200 821
United PanAm Financial* 34,206 963
Vineyard National Bancorp 27,000 693
Virginia Financial Group 2,100 82
Waddell & Reed Financial, Cl A (B) 35,700 795
Washington Federal 40,890 938
Washington+ 3,852 135
WesBanco (B) 44,700 1,344
Westamerica Bancorporation (B) 15,500 752
Whitney Holding 29,463 1,065
Wilshire Bancorp 35,375 626
Windrose Medical Properties Trust 23,700 332
Winston Hotels+ 64,178 698
Wintrust Financial 28,100 1,442
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
World Acceptance* 86,465 $ 2,782
WR Berkley 33,800 1,162
WSFS Financial 11,994 735
Zenith National Insurance (B) 100,262 4,010
----------
385,642
----------
HEALTH CARE -- 11.1%
Abaxis* 39,848 681
Abraxis BioScience* 7,089 203
Accelrys* 146,000 1,047
Affymetrix* 65,500 1,802
Albany Molecular Research* 33,400 344
Alexion Pharmaceuticals* 7,143 232
Align Technology (B)* 167,900 1,241
Alkermes (B)* 161,452 3,200
Alliance Imaging* 298,900 1,734
Allion Healthcare* 92,700 748
Alpharma, Cl A (B) 220,712 5,169
America Service Group* 31,328 429
American Dental Partners* 21,550 299
AMN Healthcare Services* 118,900 2,340
Amsurg* 166,097 4,001
Amylin Pharmaceuticals (B)* 8,600 391
Anadys Pharmaceuticals* 161,900 1,663
Analogic 19,656 1,123
Andrx* 105,550 2,466
Applera - Celera Genomics Group* 359,200 4,023
Arena Pharmaceuticals (B)* 78,800 1,075
Ariad Pharmaceuticals (B)* 273,800 1,405
Arqule* 19,086 103
Array Biopharma* 206,900 1,523
Aspect Medical Systems (B)* 14,445 283
Bio-Rad Laboratories, Cl A (B)* 34,000 2,258
Bio-Reference Labs* 24,086 451
BioScrip* 126,400 701
Biosite (B)* 57,684 2,595
Bradley Pharmaceuticals* 6,568 85
Cambrex 72,000 1,454
Caraco Pharmaceutical Laboratories* 18,000 193
Cell Genesys (B)* 275,400 1,705
Centene (B)* 91,220 2,376
Cephalon (B)* 118,800 7,095
Chemed 8,267 445
China Medical Technologies ADR (B)* 22,495 576
CNS 29,204 666
Coley Pharmaceutical Group (B)* 27,690 368
Combinatorx (B)* 52,800 436
Community Health Systems* 33,700 1,270
Conceptus (B)* 114,200 1,520
Conmed (B)* 151,900 2,953
Conor Medsystems (B)* 52,900 1,233
Cooper 28,000 1,326
Cross Country Healthcare* 86,700 1,528
Cubist Pharmaceuticals (B)* 256,684 6,076
- --------------------------------------------------------------------------------
68 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cutera* 55,184 $ 910
CV Therapeutics (B)* 462,541 7,706
Cyberonics (B)* 128,653 3,215
Cynosure* 23,900 350
Cypress Bioscience* 47,577 328
Datascope 11,400 391
Diagnostic Products 1,736 100
Digene* 123,585 4,620
Dionex* 5,443 293
Discovery Laboratories (B)* 289,472 645
DJO* 86,700 3,325
Encore Medical* 133,117 663
Encysive Pharmaceuticals (B)* 301,400 1,311
Endo Pharmaceuticals Holdings* 84,512 2,480
Enzon Pharmaceuticals (B)* 59,800 445
eResearch Technology* 22,250 203
Exelixis (B)* 197,418 2,142
Five Star Quality Care* 110,900 1,220
Flamel Technologies ADR (B)* 25,800 503
Genesis HealthCare* 28,100 1,323
Greatbatch* 39,100 887
Haemonetics* 13,400 677
Health Net* 7,340 316
HealthTronics (B)* 77,200 570
Healthways* 37,032 1,968
Human Genome Sciences (B)* 292,603 3,207
ICOS* 36,491 741
Illumina* 8,403 230
Immucor* 98,062 1,784
Incyte (B)* 265,300 1,106
Intermagnetics General (B)* 151,415 3,523
Inverness Medical Innovations* 7,384 213
Ista Pharmaceuticals (B)* 108,400 642
Kendle International* 42,430 1,376
Keryx Biopharmaceuticals* 112,400 1,607
Kindred Healthcare* 14,050 356
Kos Pharmaceuticals* 1,088 47
KV Pharmaceutical, Cl A* 3,100 63
Kyphon (B)* 5,200 206
Lifecell (B)* 21,748 587
Luminex (B)* 31,100 507
Magellan Health Services* 60,700 2,455
MannKind* 13,235 252
Matria Healthcare* 19,291 557
Medarex (B)* 567,447 5,822
Medcath (B)* 24,100 375
Medical Staffing Network
Holdings (B)* 108,200 515
Medicines* 12,518 232
Medicis Pharmaceutical, Cl A 8,305 248
Meridian Bioscience 12,623 300
Merit Medical Systems* 5,502 63
MGI Pharma (B)* 133,000 2,395
Micrus Endovascular* 118,900 1,693
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Molecular Devices* 27,500 $ 790
Myriad Genetics (B)* 142,038 3,709
Nastech Pharmaceutical (B)* 177,400 2,482
National Dentex* 43,697 937
Natus Medical* 39,500 493
Nektar Therapeutics (B)* 163,177 3,262
Neopharm* 29,800 168
Neurocrine Biosciences (B)* 48,524 956
Neurometrix (B)* 50,583 1,474
Northfield Laboratories* 17,865 164
NuVasive (B)* 22,064 362
NxStage Medical (B)* 40,824 429
Odyssey HealthCare* 22,318 364
Option Care 48,378 545
OraSure Technologies (B)* 206,103 1,799
Orchid Cellmark* 6,160 24
Orthofix International* 15,513 589
Owens & Minor 54,062 1,606
Pain Therapeutics (B)* 123,800 1,052
PainCare Holdings (B)* 323,600 447
Panacos Pharmaceuticals* 60,200 379
Par Pharmaceutical (B)* 74,070 1,700
Parexel International (B)* 82,307 2,362
PDL BioPharma* 109,100 2,209
Pediatrix Medical Group* 1,904 88
Per-Se Technologies (B)* 68,500 1,707
Pharmaceutical Product Development 4,116 150
Pharmacopeia Drug Discovery* 79,529 394
Phase Forward (B)* 70,020 891
PolyMedica 70,000 2,687
PRA International* 42,191 1,058
Progenics Pharmaceuticals* 2,600 55
PSS World Medical (B)* 124,550 2,212
Psychiatric Solutions (B)* 80,135 2,356
Radiation Therapy Services (B)* 39,993 971
Res-Care* 65,184 1,294
Respironics* 19,970 679
Rigel Pharmaceuticals (B)* 110,800 1,089
Rotech Healthcare (B)* 130,400 554
Senomyx (B)* 39,534 631
Serologicals* 53,511 1,668
Somanetics (B)* 18,409 288
SonoSite (B)* 36,615 1,347
Sonus Pharmaceuticals* 82,100 446
Stratagene* 8,300 55
SurModics (B)* 52,073 2,026
Symbion* 99,000 2,172
Symmetry Medical* 45,181 842
Taro Pharmaceuticals Industries* 127,000 1,532
Techne* 7,587 415
Telik* 272,500 4,355
Tercica (B)* 113,500 580
Triad Hospitals* 15,332 618
Trizetto Group* 27,700 395
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 69
STATEMENT OF NET ASSETS
Small Cap Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
U.S. Physical Therapy* 1,800 $ 27
United Surgical Partners
International* 7,246 225
United Therapeutics* 71,767 3,456
Universal Health Services, Cl B 17,550 891
Valeant Pharmaceuticals
International (B) 41,700 717
Varian* 21,043 926
Ventiv Health (B)* 83,010 2,452
Vertex Pharmaceuticals (B)* 4,700 162
Viropharma (B)* 40,700 396
West Pharmaceutical Services 55,400 1,885
----------
215,522
----------
INDUSTRIALS -- 15.2%
ABX Air* 55,000 371
Accuride* 40,900 470
Active Power (B)* 65,600 289
Actuant, Cl A 42,377 2,502
Acuity Brands 102,890 4,105
Adesa 50,200 1,143
Administaff 51,030 1,961
Advisory Board* 68,433 3,538
AGCO (B)* 175,787 4,300
Alaska Air Group* 25,298 980
Albany International, Cl A (B) 110,839 4,429
Amerco* 12,412 1,097
American Commercial Lines (B)* 73,200 4,019
American Reprographics* 63,475 2,201
American Science & Engineering (B)* 8,900 511
Ameron International 6,700 384
AMR* 3,700 91
AO Smith 93,080 4,091
Apogee Enterprises (B) 106,399 1,596
Applied Industrial Technologies 72,100 2,779
Aries Maritime Transport 145,300 1,640
Arkansas Best 16,900 696
Armor Holdings (B)* 31,500 1,799
ASV* 12,791 262
Aviall* 30,976 1,461
Banta 116,389 5,757
Basin Water* 33,500 506
BE Aerospace (B)* 167,220 3,707
Beacon Roofing Supply (B)* 38,616 1,456
BlueLinx Holdings 28,200 380
Briggs & Stratton 33,621 1,089
Brink's 65,900 3,621
Bucyrus International, Cl A 2,212 113
Builders FirstSource* 46,900 974
C&D Technologies 63,222 417
Casella Waste Systems, Cl A* 15,514 242
CDI 15,800 465
Cenveo* 73,166 1,386
Ceradyne (B)* 7,159 313
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CH Robinson Worldwide 37,697 $ 1,660
CIRCOR International 31,090 910
Clean Harbors (B)* 27,548 1,000
CNH Global 28,740 712
Columbus McKinnon* 44,766 1,177
Comfort Systems USA 156,634 2,036
Commercial Vehicle Group* 30,100 618
Con-way 39,021 2,306
Consolidated Graphics* 12,271 625
Continental Airlines, Cl B (B)* 147,380 3,655
Copart* 39,300 1,078
CoStar Group (B)* 25,481 1,359
CRA International (B)* 28,319 1,257
Crane 23,500 944
Cubic 47,800 896
DiamondCluster International* 109,700 1,047
Duratek* 8,811 193
Dynamic Materials (B) 77,500 2,160
DynCorp International, Cl A (B)* 69,400 812
EGL* 5,783 261
Electro Rent* 10,071 166
EMCOR Group* 22,359 1,075
Encore Wire* 4,795 183
EnPro Industries* 6,500 226
ESCO Technologies (B)* 41,600 2,134
Expeditors International Washington 11,231 1,106
Exponent* 2,000 60
ExpressJet Holdings* 71,100 417
Federal Signal (B) 61,732 943
Flanders (B)* 99,034 1,005
Flowserve (B)* 21,500 1,143
Freightcar America 55,200 3,332
Frontier Airlines Holdings* 7,439 46
Gardner Denver (B)* 64,290 4,851
GATX (B) 110,376 4,791
General Cable* 64,322 2,075
Genesee & Wyoming, Cl A* 35,125 1,055
Genlyte Group (B)* 32,065 2,237
Geo Group* 17,520 654
Global Power Equipment Group (B)* 80,500 283
Goodman Global (B)* 99,087 1,680
GrafTech International (B)* 322,960 1,993
Griffon (B)* 49,284 1,338
Grupo Aeroportuario del Sureste ADR 52,000 1,777
H&E Equipment Services (B)* 53,500 1,592
Harsco 18,200 1,475
Herman Miller 80,200 2,343
Hexcel (B)* 174,846 3,598
HUB Group, Cl A* 74,635 3,532
Hudson Highland Group* 62,946 750
Huttig Building Products* 4,016 26
ICT Group* 5,000 134
IHS, Cl A* 36,596 986
IKON Office Solutions (B) 202,229 2,613
- --------------------------------------------------------------------------------
70 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Innovative Solutions & Support* 1,431 $ 19
Insituform Technologies, Cl A (B)* 27,160 695
Insteel Industries 10,600 457
Jacobs Engineering Group* 5,864 458
JB Hunt Transport Services 118,026 2,888
John H. Harland 20,400 874
Joy Global 19,424 1,044
K&F Industries Holdings* 35,800 682
Kadant* 42,915 1,006
Kansas City Southern (B)* 97,235 2,580
Kaydon (B) 67,813 2,830
Kelly Services, Cl A 3,991 108
Kenexa* 62,854 1,904
Kennametal 32,898 1,967
Kforce* 28,751 439
Kirby* 6,396 481
Knight Transportation (B) 82,875 1,578
Knoll (B) 146,314 2,707
Korn/Ferry International (B)* 41,900 859
Labor Ready* 41,600 963
Lamson & Sessions (B)* 136,890 3,339
Lennox International 205,540 5,850
Lincoln Electric Holdings 57,100 3,138
Lydall* 19,333 175
Manitowoc 19,090 878
McGrath Rentcorp 7,451 198
Mesa Air Group (B)* 124,800 1,196
Milacron (B)* 257,248 296
Mine Safety Appliances 52,835 2,177
Mobile Mini* 19,299 605
Moog, Cl A* 24,752 861
Mueller Industries 22,700 741
NACCO Industries, Cl A 4,045 578
Navigant Consulting (B)* 55,600 1,124
Navigant International* 2,100 34
Navistar International (B)* 200,342 5,325
NCI Building Systems (B)* 127,355 7,723
NCO Group* 10,183 268
Nordson (B) 42,200 1,969
OMI (B) 29,400 548
Orbital Sciences (B)* 63,179 947
Pacer International* 8,131 240
Pall (B) 96,800 2,913
Perini* 23,338 573
PHH* 36,600 936
Power-One* 11,875 73
RBC Bearings* 88,811 2,223
Regal-Beloit (B) 44,027 2,110
Resources Connection (B)* 98,668 2,516
Robbins & Myers 65,160 1,527
Ryder System 80,000 4,322
School Specialty* 38,385 1,383
SCS Transportation* 15,710 384
Simpson Manufacturing (B) 52,800 1,832
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Sitel* 1,231 $ 6
Skywest (B) 110,201 2,560
Sourcecorp* 61,000 1,518
Spherion* 189,377 1,583
Standard Register 22,394 291
Sun Hydraulics 8,000 158
Superior Essex* 51,225 1,739
Sypris Solutions 39,700 338
Tecumseh Products, Cl A 71,300 1,548
Teledyne Technologies* 57,367 1,965
Terex (B)* 20,617 1,886
Tetra Tech* 135,340 2,382
Thomas & Betts* 36,800 2,116
Titan International (B) 123,715 2,379
UAP Holding 14,100 333
United Industrial 25,600 1,259
United Rentals (B)* 170,327 5,549
United Stationers* 62,576 2,905
Universal Forest Products 73,900 4,857
Universal Truckload Services* 46,900 1,509
URS* 52,417 2,222
US Xpress Enterprises, Cl A* 52,312 1,165
USA Truck* 13,300 263
Volt Information Sciences* 9,216 275
Wabash National 61,379 1,031
Wabtec 102,747 3,593
Walter Industries (B) 87,800 5,106
Washington Group International 52,879 2,850
Waste Connections (B)* 72,769 2,798
Watson Wyatt Worldwide, Cl A (B) 198,870 7,128
Watts Water Technologies, Cl A 20,000 686
WESCO International* 20,484 1,347
Williams Scotsman International* 59,900 1,557
Woodward Governor 78,500 2,485
YRC Worldwide (B)* 7,216 285
----------
296,679
----------
INFORMATION TECHNOLOGY -- 21.0%
24/7 Real Media* 145,500 1,215
Actel (B)* 44,300 615
Actuate* 267,527 1,078
Adaptec* 467,700 2,091
ADE* 15,138 488
Adtran 44,600 1,125
Advanced Digital Information (B)* 170,100 2,019
Advanced Energy Industries* 100,000 1,410
Advanced Micro Devices* 29,469 910
Advent Software* 78,300 2,569
Aeroflex* 256,028 2,998
Agile Software* 88,630 584
Agilysys 85,810 1,416
Akamai Technologies (B)* 101,426 3,174
Alliance Data Systems* 350 19
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 71
STATEMENT OF NET ASSETS
Small Cap Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Alliance Semiconductor (B)* 116,600 $ 322
Altera (B)* 454,815 8,896
Altiris* 58,440 1,020
Amkor Technology (B)* 194,700 1,852
Anadigics* 196,790 1,681
Andrew* 57,900 586
Anixter International 19,417 946
Ansoft* 43,000 842
Ansys* 10,048 507
aQuantive (B)* 186,333 4,619
Arris Group* 105,086 1,263
Art Technology Group* 428,910 1,325
Aspen Technology (B)* 109,940 1,286
Asyst Technologies* 299,158 2,058
ATMI (B)* 84,916 2,225
Audiovox, Cl A* 9,956 121
Avanex* 250,900 437
Avid Technology (B)* 20,062 790
Avnet (B)* 52,160 1,152
Avocent (B)* 46,482 1,057
Axcelis Technologies* 38,104 243
BEA Systems* 15,651 212
BearingPoint (B)* 162,300 1,303
Bel Fuse, Cl B 6,400 201
Belden CDT 106,904 3,403
Bell Microproducts* 101,547 613
Benchmark Electronics* 33,500 811
BISYS Group (B)* 197,359 2,911
Black Box (B) 53,268 2,751
Blackbaud 90,403 1,737
Borland Software* 85,400 452
Brightpoint (B)* 136,955 2,928
Broadcom, Cl A* 12,961 438
Brocade Communications Systems* 591,300 3,613
Brooks Automation (B)* 331,843 4,009
C-COR* 86,106 591
Cabot Microelectronics* 1,804 52
CACI International, Cl A (B)* 19,700 1,200
CheckFree* 8,303 415
Checkpoint Systems (B)* 41,337 934
Chordiant Software* 160,190 517
Ciber* 326,379 2,073
Cirrus Logic* 54,059 442
Citrix Systems* 26,645 1,001
Click Commerce* 6,055 118
CMGI* 311,674 411
CNET Networks (B)* 396,767 3,476
Cogent (B)* 167,200 2,595
Coherent (B)* 49,443 1,628
Cohu 4,288 74
CommScope (B)* 189,100 5,527
Comtech Telecommunications* 27,521 827
Concur Technologies* 15,514 234
Conexant Systems (B)* 255,700 749
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Credence Systems (B)* 695,320 $ 3,171
Cree (B)* 100,215 2,571
CSG Systems International (B)* 256,493 5,971
CTS 27,308 371
Cymer (B)* 93,963 4,359
Cypress Semiconductor* 58,350 886
Daktronics 22,777 1,085
DealerTrack Holdings* 10,100 219
Digimarc* 288,900 1,725
Digital Insight* 94,495 3,057
Digital River* 2,687 118
Digitas (B)* 90,981 1,184
Diodes (B)* 75,320 2,682
Ditech Networks* 32,270 292
Dot Hill Systems* 192,300 738
Dycom Industries (B)* 33,300 717
Eagle Test Systems (B)* 30,200 444
Earthlink (B)* 591,000 4,923
eCollege.com (B)* 36,681 839
EFJ* 140,000 955
Electronics for Imaging* 48,390 1,134
EMS Technologies* 42,230 833
Emulex (B)* 83,993 1,488
Entegris* 76,075 736
EPIQ Systems* 37,492 601
Equinix (B)* 15,379 896
Euronet Worldwide (B)* 108,707 3,808
F5 Networks (B)* 43,700 2,120
Factset Research Systems 40,400 1,814
Fairchild Semiconductor
International (B)* 131,558 2,298
Filenet (B)* 74,209 1,933
Flir Systems (B)* 46,975 1,199
Formfactor* 41,002 1,588
Foundry Networks (B)* 51,600 664
Gateway* 44,106 76
Global Imaging Systems* 16,188 663
Harmonic* 112,171 505
Heartland Payment Systems (B)* 17,500 465
Homestore (B)* 415,801 2,478
Hutchinson Technology (B)* 144,808 3,364
i2 Technologies (B)* 28,900 363
Imation (B) 87,936 3,384
Immersion (B)* 458,848 2,588
InFocus* 104,900 497
Informatica (B)* 159,500 2,243
Infospace (B)* 104,200 2,362
infoUSA 40,500 421
Integrated Silicon Solutions* 45,452 256
Interdigital Communications* 71,700 2,033
Intermec* 9,151 211
Internap Network Services* 771,880 895
International DisplayWorks (B)* 227,207 1,163
International Rectifier* 4,388 196
- --------------------------------------------------------------------------------
72 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Internet Security Systems* 36,300 $ 743
Interwoven* 24,393 224
Intevac* 48,562 1,041
Iomega 381,100 1,250
Itron (B)* 77,754 4,650
Ixia (B)* 133,500 1,376
IXYS* 34,000 340
Juniper Networks* 1,260 20
Jupitermedia (B)* 185,400 2,764
Keane (B)* 107,900 1,496
Kemet* 126,300 1,207
Keynote Systems* 94,500 991
Knot* 28,200 462
Komag (B)* 86,955 3,611
Kronos* 20,520 821
Kulicke & Soffa Industries* 105,487 851
Lam Research* 2,824 127
Lattice Semiconductor* 808,200 4,873
Lawson Software* 459,750 3,103
Leadis Technology* 97,123 499
LeCroy* 71,700 982
Lightbridge* 38,100 446
Linear Technology 5,271 178
Lionbridge Technologies* 217,100 1,433
Liquidity Services* 24,082 464
Littelfuse (B)* 26,242 919
LoJack* 54,300 958
LTX* 357,227 2,651
Macrovision* 4,764 107
Magma Design Automation (B)* 161,900 1,132
Manhattan Associates (B)* 80,900 1,628
Mantech International, Cl A* 11,567 392
Marchex, Cl B (B)* 262,748 4,488
Mastec* 104,100 1,340
Mattson Technology* 71,500 641
MAXIMUS 56,048 1,782
McAfee* 952 23
McData, Cl A (B)* 186,200 704
MEMC Electronic Materials* 9,867 346
Mentor Graphics* 114,635 1,441
Methode Electronics 113,400 1,082
Mettler Toledo International* 22,835 1,479
Micrel (B)* 75,700 852
Microsemi (B)* 104,010 2,494
MicroStrategy, Cl A* 20,620 1,946
MKS Instruments* 41,622 909
MPS Group* 44,574 670
MRO Software* 47,205 990
MTS Systems 56,091 2,342
Neoware* 71,150 1,470
Net 1 UEPS Technologies* 38,830 989
Netgear (B)* 12,600 295
Netlogic Microsystems (B)* 77,465 2,530
Nuance Communications (B)* 283,730 2,474
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
O2Micro International ADR* 162,500 $ 1,411
Omnivision Technologies (B)* 38,900 1,140
ON Semiconductor* 252,900 1,528
Online Resources* 60,700 742
Openwave Systems* 71,781 1,015
Opsware (B)* 70,800 554
Orbotech* 31,400 789
Orckit Communications* 69,600 879
OSI Systems (B)* 106,100 2,112
Parametric Technology* 252,545 3,369
Parkervision* 33,000 337
Parkervision (B)* 161,000 1,642
Paxar (B)* 106,259 2,260
PDF Solutions* 14,300 190
Perot Systems, Cl A (B)* 186,504 2,619
Photon Dynamics* 12,283 196
Photronics (B)* 196,612 3,317
Pixelworks* 385,000 1,082
Planar Systems* 20,581 275
Plantronics (B) 27,296 588
Plexus* 23,200 912
PLX Technology* 285,424 3,408
PMC - Sierra (B)* 107,759 1,039
Polycom (B)* 591,100 12,762
Portalplayer (B)* 24,600 247
PowerDsine* 77,900 601
Presstek (B)* 162,878 1,591
Progress Software* 26,200 610
QLogic* 1,532 27
Quality Systems (B) 39,201 1,302
Quantum (B)* 1,016,700 2,959
Quest Software* 15,923 221
Rackable Systems* 61,155 2,318
RADWARE* 26,700 371
RealNetworks* 98,800 935
Redback Networks* 28,577 683
Reynolds & Reynolds, Cl A 58,100 1,627
RF Micro Devices* 637,900 4,625
Richardson Electronics 63,876 439
RightNow Technologies (B)* 44,757 730
Rofin-Sinar Technologies* 1,940 106
Rogers* 5,036 287
RSA Security (B)* 132,529 1,992
Rudolph Technologies* 90,000 1,492
SBS Technologies* 28,638 472
Seachange International* 289,400 1,806
Seagate Technology (B) 51,652 1,206
Secure Computing* 77,397 687
Semtech (B)* 96,500 1,615
Sigmatel (B)* 20,700 113
Sina (B)* 24,454 600
Sirf Technology Holdings* 48,400 1,419
Skyworks Solutions* 919,090 5,202
Solectron (B)* 1,324,000 4,713
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 73
STATEMENT OF NET ASSETS
Small Cap Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Sonic Solutions (B)* 44,711 $ 682
SonicWALL* 9,173 77
Spatialight* 95,000 291
Spatialight (B)* 343,200 1,050
SRA International, Cl A (B)* 37,645 1,184
Standard Microsystems* 52,071 1,187
Startek 31,000 467
STATS ChipPAC ADR (B)* 133,923 857
Stratasys (B)* 21,488 650
Supertex* 1,192 48
Sybase (B)* 73,517 1,498
Symmetricom (B)* 202,600 1,469
Synaptics (B)* 24,700 585
Synenco Energy (H)* 24,000 517
Synopsys* 49,195 1,005
Taleo, Cl A (B)* 64,223 764
Technitrol 31,061 709
Tekelec (B)* 240,014 3,463
Tessera Technologies (B)* 86,476 2,442
THQ (B)* 215,291 5,023
TIBCO Software* 537,847 4,125
Trident Microsystems (B)* 147,605 3,259
Triquint Semiconductor* 750,800 3,874
Ulticom* 2,484 23
Ultra Clean Holdings* 143,038 1,209
Ultratech (B)* 56,376 1,009
Unisys (B)* 341,007 2,244
United Online (B) 281,400 3,354
Utstarcom (B)* 151,169 964
Valueclick (B)* 121,100 1,909
Varian Semiconductor Equipment
Associates (B)* 57,054 1,766
Vasco Data Security
International (B)* 76,936 642
VeriFone Holdings (B)* 173,230 5,481
Verint Systems* 6,259 203
VeriSign* 35,553 798
WatchGuard Technologies* 63,900 305
Wavecom ADR* 39,937 450
WebEx Communications (B)* 51,713 1,699
webMethods* 43,600 394
Websense (B)* 61,908 1,371
Website Pros* 54,481 545
Western Digital* 4,764 97
Wind River Systems* 330,100 3,119
Witness Systems* 55,400 1,143
Wright Express (B)* 82,000 2,414
Zygo* 54,900 826
----------
410,146
----------
MATERIALS -- 4.3%
ADA-ES (B)* 18,800 366
Airgas 15,887 608
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
AK Steel Holding* 106,994 $ 1,439
Albemarle 35,500 1,704
Aleris International* 637 27
AM Castle* 6,192 171
AMCOL International 67,270 1,818
Aptargroup 51,857 2,728
Arch Chemicals 35,079 1,219
Bemis 27,895 848
Bowater 11,807 273
Brush Engineered Materials* 11,363 235
Buckeye Technologies* 157,600 1,231
Caraustar Industries* 3,094 27
Carpenter Technology (B) 30,141 3,370
Century Aluminum* 20,195 841
CF Industries Holdings* 34,600 591
Cleveland-Cliffs (B) 22,000 1,620
Commercial Metals (B) 76,502 1,883
Constar International* 88,798 341
Crown Holdings* 39,300 634
Cytec Industries 52,099 3,000
Eagle Materials 11,700 570
FMC 24,606 1,589
Greif, Cl A 36,226 2,297
H.B. Fuller 37,080 1,789
Headwaters* 7,143 196
Hercules (B)* 249,230 3,856
Innospec 11,000 266
MacDermid 34,900 1,086
Metal Management 17,483 549
Neenah Paper* 71,273 2,187
NewMarket (B)* 68,877 3,334
Olin (B) 59,700 1,057
Olympic Steel* 51,600 1,719
OM Group (B)* 74,500 2,360
Oregon Steel Mills* 2,800 131
PolyOne* 89,393 845
Quanex (B) 100,200 3,940
Reliance Steel & Aluminum 37,435 3,018
Rock-Tenn, Cl A 68,400 1,058
RTI International Metals* 10,028 602
Ryerson (B) 61,600 1,608
Schnitzer Steel Industries, Cl A 128,032 4,589
Schweitzer-Mauduit International 65,568 1,663
Silgan Holdings 112,881 4,221
Steel Dynamics 98,925 5,746
Symyx Technologies (B)* 91,975 2,456
Texas Industries (B) 73,753 3,612
US Concrete* 54,727 677
Wellman 141,300 617
Wheeling-Pittsburgh (B)* 92,900 1,898
WR Grace* 2,900 41
----------
84,551
----------
- --------------------------------------------------------------------------------
74 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 0.9%
Broadwing* 41,028 $ 468
Centennial Communications* 44,200 258
Cincinnati Bell* 172,720 672
Commonwealth Telephone
Enterprises 50,870 1,681
Dobson Communications, Cl A* 64,062 550
Fairpoint Communications 236,300 3,185
Golden Telecom (B) 6,800 171
IDT* 32,400 445
IDT, Cl B (B)* 33,000 457
Iowa Telecommunications Services 40,300 725
Nextel Partners, Cl A* 17,853 507
North Pittsburgh Systems 4,500 113
Premiere Global Services* 75,400 566
Qwest Communications International* 32,457 228
SBA Communications, Cl A (B)* 267,405 6,121
Syniverse Holdings* 14,100 230
Talk America Holdings* 21,366 167
Time Warner Telecom, Cl A (B)* 58,038 884
USA Mobility* 29,300 594
Valor Communications Group (B) 16,100 198
----------
18,220
----------
UTILITIES -- 2.2%
AGL Resources 39,515 1,445
Allete 46,577 2,118
Avista 101,400 2,256
Black Hills 44,600 1,509
Cascade Natural Gas (B) 31,637 664
CenterPoint Energy (B) 125,000 1,499
Cleco (B) 76,794 1,706
CMS Energy (B)* 118,000 1,515
El Paso Electric 117,500 2,265
Empire District Electric (B) 25,710 560
Idacorp (B) 69,680 2,328
ITC Holdings 35,900 930
Laclede Group (B) 25,500 858
New Jersey Resources 25,100 1,127
Northwest Natural Gas 29,869 1,042
NorthWestern 24,100 839
Oneok (B) 32,900 1,105
Ormat Technologies 72,700 2,710
Otter Tail 25,594 668
Pike Electric* 51,100 999
PNM Resources 154,052 3,893
SEMCO Energy* 91,400 507
Sierra Pacific Resources* 49,299 683
Southern Union (B) 75,200 1,846
UIL Holdings (B) 40,100 2,215
Vectren 43,450 1,153
Westar Energy (B) 78,778 1,679
WGL Holdings 39,339 1,133
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wisconsin Energy 18,768 $ 748
WPS Resources 12,143 593
----------
42,593
----------
Total Common Stock
(Cost $1,703,800) ($ Thousands) 1,911,413
----------
CORPORATE OBLIGATIONS (C) -- 14.4%
FINANCIALS -- 14.4%
Allstate Life Global Funding II MTN
(A) (E)
5.101%, 06/15/07 $ 4,121 4,121
American General Finance (A) (E)
5.111%, 06/15/07 12,991 12,989
American General Finance MTN, Ser F
5.875%, 07/14/06 896 914
Bear Stearns, EXL (E)
5.091%, 06/15/07 15,947 15,947
Caterpillar Financial Services MTN,
Ser F (E)
5.148%, 07/10/06 4,479 4,479
Countrywide Financial MTN, Ser A (E)
5.210%, 11/03/06 9,407 9,406
4.960%, 09/13/06 16,574 16,574
Dekabank (A) (E)
5.108%, 05/18/07 16,574 16,571
Glintnir Bank (A) (E)
5.180%, 04/06/07 13,438 13,438
Irish Life & Permanent MTN,
Ser X (A) (E)
5.109%, 06/21/07 11,915 11,913
Islandsbanki (A) (E)
5.131%, 03/22/07 7,615 7,615
Jackson National Life Funding (A) (E)
5.080%, 05/02/07 19,710 19,710
Kaupthing Bank MTN (A) (E)
5.141%, 03/20/07 22,397 22,397
Landsbanki Islands (A) (E)
5.161%, 03/16/07 17,022 17,022
Morgan Stanley EXL (E)
5.190%, 07/03/07 3,136 3,136
Morgan Stanley EXL, Ser S (E)
5.150%, 07/03/07 4,479 4,479
Natexis Banques (A) (E)
5.060%, 06/15/07 8,735 8,733
Nationwide Building Society (A) (E)
5.160%, 04/05/07 8,959 8,959
5.020%, 04/27/07 4,927 4,928
Nordbank (A) (E)
5.080%, 06/22/07 15,230 15,227
Northern Rock (A) (E)
5.170%, 05/03/07 9,228 9,228
Pacific Life Global Funding (A) (E)
5.101%, 06/13/07 6,719 6,719
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 75
STATEMENT OF NET ASSETS
Small Cap Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Premium Asset Trust,
Ser 2004-06 (A) (E)
5.190%, 06/30/06 $ 8,511 $ 8,517
Premium Asset Trust,
Ser 2004-10 (A) (E)
5.120%, 05/14/07 12,543 12,543
SLM EXL, Ser S (A) (E)
5.081%, 06/15/07 9,855 9,855
Sigma Finance MTN (F)
4.745%, 11/09/06 4,838 4,838
Skandinav Enskilda Bank (A) (E)
5.077%, 05/18/07 9,855 9,854
----------
Total Corporate Obligations
(Cost $280,112) ($ Thousands) 280,112
----------
COMMERCIAL PAPER (C) (D) -- 7.9%
Brahms Funding
5.051%, 06/01/06 8,959 8,923
Broadhollow Funding
5.081%, 06/09/06 2,240 2,230
5.079%, 06/26/06 5,375 5,356
5.073%, 06/19/06 7,615 7,581
5.062%, 06/05/06 4,479 4,460
Buckingham CDO
5.092%, 06/23/06 4,479 4,460
5.087%, 06/08/06 8,959 8,930
Elysian Funding LLC
5.170%, 07/10/06 8,959 8,881
5.134%, 06/30/06 4,479 4,442
5.123%, 06/05/06 4,479 4,459
Hardwood Street Funding II
5.074%, 06/13/06 786 784
KKR Pacific Funding Trust
5.082%, 06/22/06 8,959 8,920
5.082%, 06/23/06 4,479 4,460
5.081%, 06/07/06 8,959 8,921
Main Street Warehouse Funding
5.090%, 06/16/06 5,375 5,354
5.079%, 06/05/06 4,479 4,463
5.078%, 06/02/06 806 805
Ocala Funding LLC
5.112%, 06/30/06 1,344 1,338
5.092%, 06/09/06 14,176 14,114
Park Granada LLC
5.045%, 06/29/06 4,479 4,440
Rams Funding
5.094%, 06/14/06 10,440 10,391
5.091%, 06/21/06 8,959 8,922
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Rhineland Funding Capital
5.026%, 06/26/06 $ 8,959 $ 8,860
Thornburg Mortgage Capital Resource
5.092%, 06/19/06 6,271 6,244
5.092%, 06/23/06 2,903 2,890
Transamerica Securities
5.100%, 06/28/06 3,609 3,587
----------
Total Commercial Paper
(Cost $154,215) ($ Thousands) 154,215
----------
ASSET-BACKED SECURITIES (A) (C) (E) -- 2.5%
MORTGAGE RELATED SECURITIES -- 2.5%
Cheyne High Grade, Ser 2004-1A,
Cl AM1
5.180%, 11/10/06 4,479 4,479
Commodore, Ser 2003-2A, Cl A1MM
4.970%, 12/12/38 4,121 4,121
Duke Funding, Ser 2004-6B, Cl A1S1
5.093%, 04/08/39 6,719 6,719
Newcastle CDO Limited,
Ser 2005-6A, Cl IM1
5.142%, 04/24/07 1,792 1,791
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AM6
5.111%, 02/25/35 5,475 5,475
RMAC, Ser 2004-NS3A, Cl A1
5.080%, 03/12/25 1,603 1,603
Saturn Ventures II
5.129%, 08/07/06 8,361 8,361
TIAA Real Estate CDO, Ser 2003 1A,
Cl A1MM
5.030%, 12/28/18 5,785 5,785
Whitehawk CDO Funding, Ser 2004-1A,
Cl AMMD
4.930%, 06/15/06 2,240 2,240
Whitehawk CDO Funding, Ser 2004-1A,
Cl AMME
4.930%, 09/15/06 1,344 1,344
Witherspoon CDO Funding
5.091%, 09/15/06 6,271 6,271
----------
Total Asset-Backed Securities
(Cost $48,189) ($ Thousands) 48,189
----------
- --------------------------------------------------------------------------------
76 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FOREIGN STOCK -- 1.3%
Aspreva Pharmaceuticals* 44,305 $ 1,328
Canaccord Capital 144,200 2,826
Cardiome Pharma* 31,763 287
Compton Petroleum* 80,800 1,023
Dundee Wealth Management 70,400 1,334
Dundee 126,510 1,501
Emergis* 18,500 84
First Quantum Minerals 75,900 3,768
Gildan Activewear* 55,900 2,346
Gluskin Sheff + Associates* 83,700 1,350
Grande Cache Coal* 356,200 502
Magna Entertainment, Cl A* 31,319 180
Open Text* 52,900 742
OPTI Canada* 153,000 3,181
Railpower Technologies* 326,600 1,275
Sherritt International 153,200 1,586
Synenco Energy (F) (H)* 27,419 590
Synenco Energy, Cl A* 87,400 1,882
Vasogen* 125,700 251
----------
Total Foreign Stock
(Cost $19,703) ($ Thousands) 26,036
----------
MASTER NOTE (C) (D) -- 1.1%
Bank of America
5.133%, 06/01/06 $22,398 22,398
----------
Total Master Note
(Cost $22,398) ($ Thousands) 22,398
----------
CASH EQUIVALENT -- 1.0%
SEI Daily Income Trust, Prime
Obligation Fund, Cl A, 4.980%**++ 20,082,528 20,083
----------
Total Cash Equivalent
(Cost $20,083) ($ Thousands) 20,083
----------
TIME DEPOSIT (C) -- 0.9%
Societe General
5.080%, 06/01/06 17,918 17,918
----------
Total Time Deposit
(Cost $17,918) ($ Thousands) 17,918
----------
EXCHANGE TRADED FUNDS (B) -- 0.2%
iShares Russell 2000 Index Fund* 34,628 2,489
iShares S&P SmallCap 600/BARRA
Value Index Fund* 6,934 483
----------
Total Exchange Traded Funds
(Cost $2,371) ($ Thousands) 2,972
----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CERTIFICATE OF DEPOSIT (C) -- 0.2%
U.S. Trust of New York
5.121%, 03/13/07 $ 3,584 $ 3,584
----------
Total Certificate of Deposit
(Cost $3,584) ($ Thousands) 3,584
----------
Number of
Warrants
---------
WARRANTS -- 0.0%
Washington Mutual, Expires 12/26/50* 279,961 43
Infinity Bio-Energy, Expires 05/23/10* 793,562 420
Parkervision (F) (G) (H) (I)* 15,750 53
----------
Total Warrants
(Cost $438) ($ Thousands) 516
----------
REPURCHASE AGREEMENTS (C)(J) -- 5.5%
Barclays Capital
5.010%, dated 05/31/06, to be
repurchased on 06/01/06,
repurchase price $24,009,135
(collateralized by U.S. Government
Obligations, ranging in par value
$497,314-$17,917,981, 0.000%-
4.300%, 04/09/07-05/12/08,
total market value $24,486,259) 24,006 24,006
Deutsche Bank
5.020%, dated 05/31/06, to be
repurchased on 06/01/06,
repurchase price $29,613,502
(collateralized by U.S. Government
Obligations, ranging in par value
$164,935-$8,995,722, 0.000%-
5.600%, 08/29/06-10/29/18,
total market value $30,201,722) 29,609 29,609
Lehman Brothers
5.020%, dated 05/31/06, to be
repurchased on 06/01/06,
repurchase price $54,114,829
(collateralized by U.S. Government
Obligations, ranging in par value
$6,270,397-$53,753,942, 8.125%-
9.375%, 10/15/19-01/15/30,
total market value $55,189,512) 54,107 54,107
----------
Total Repurchase Agreements
(Cost $107,722) ($ Thousands) 107,722
----------
Total Investments -- 133.0%
(Cost $2,380,533) ($ Thousands) 2,595,158
----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 77
STATEMENT OF NET ASSETS
Small Cap Fund (Concluded)
May 31, 2006
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (33.0)%
Payable upon Return of Securities on Loan $ (634,138)
Payable for Investment Securities Purchased (15,566)
Payable for Fund Shares Redeemed (6,328)
Investment Advisory Fees Payable (866)
Trustees' Fees Payable (6)
Other Assets and Liabilities, Net 12,884
----------
Total Other Assets and Liabilities (644,020)
----------
Net Assets -- 100.0% $1,951,138
==========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $1,592,185
Undistributed net investment income 3,575
Accumulated net realized gain on investments 140,753
Net unrealized appreciation on investments 214,625
----------
Net Assets $1,951,138
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($1,951,138,122 O 125,719,267 shares) $15.52
======
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
* Non-income producing security.
** Rate shown is the 7-day effective yield as of May 31, 2006.
+ Real Estate Investment Trust.
++ Pursuant to an exemptive order issued by the Securities and Exchange
Commission, the Fund may invest in the SEI money market funds, provided that
investments in the money market funds do not exceed 25% of the Fund's total
assets.
(A) 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." These securities have been determined to be
liquid under guidelines established by the Board of Trustees.
(B) This security or a partial position of this security is on loan at May 31,
2006 (see Note 9). The total value of securities on loan at May 31, 2006 was
$618,181 ($ 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, 2006
was $634,138 ($ 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, 2006.
(F) Securities considered illiquid. The total value of such securities as of May
31, 2006 was $3,319 ($ Thousands) and represents 0.17% of Net Assets.
(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, 2006 was $53 ($ Thousands) and represented 0.00% of Net Assets.
(H) This security considered restricted. The total value of such securities as
of May 31, 2006 was $3,319 ($ Thousands) and represented 0.17% of Net
Assets.
(I) This warrant does not have a strike price or expiration date.
(J) Tri-Party Repurchase Agreement.
ADR -- American Depositary Receipt
CDO -- Collateralized Debt Obligation
Cl -- Class
EXL -- Extendable Maturity
LLC -- Limited Liability Company
MTN -- Medium Term Note
NIM -- Net Interest Margin
PA -- Pennsylvania
Ser -- Series
WA -- Washington
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
78 SEI Institutional Investments Trust / Annual Report / May 31, 2006
Small/Mid Cap Equity Fund
May 31, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)++:
[Bar Chart Omitted]
Plot points are as follows:
27.3% Financials
15.1% Information Technology
10.8% Industrials
10.4% Consumer Discretionary
8.7% Health Care
5.9% Short-Term Investments
5.5% Energy
5.2% Commercial Paper
4.3% Materials
2.6% Utilities
1.7% Consumer Staples
1.6% Asset-Backed Securities
0.8% Telecommunication Services
0.1% Certificate of Deposit
0.0% Warrants
++Percentages based on total investments. Includes investments
held as collateral for securities on loan (see Note 9).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 96.4%
CONSUMER DISCRETIONARY -- 12.8%
Aaron Rents 30,642 $ 827
AC Moore Arts & Crafts* 41,277 723
Aftermarket Technology* 5,700 138
Amazon.com* 6,200 215
America's Car-Mart (B)* 53,827 1,065
American Eagle Outfitters 4,600 150
American Greetings, Cl A 25,200 567
Ameristar Casinos 11,700 244
AnnTaylor Stores* 23,050 886
Arctic Cat 50,400 924
ArvinMeritor 14,300 240
Autoliv 57,500 3,197
Autonation* 26,050 565
Barnes & Noble 74,600 2,848
Belo, Cl A 42,900 741
Black & Decker 7,700 670
Blount International* 70,700 906
Borders Group 50,400 1,046
BorgWarner 11,400 750
Bright Horizons Family
Solutions* 45,200 1,609
Brinker International 58,300 2,140
Brown Shoe 39,550 1,391
Build-A-Bear Workshop (B)* 61,900 1,838
Building Material Holding (B) 37,200 1,061
Carter's* 58,544 3,421
Catalina Marketing 1,500 44
Cato, Cl A 71,800 1,694
CEC Entertainment* 1,350 45
Centex 5,900 281
Charming Shoppes (B)* 94,200 1,049
Circuit City Stores 6,400 192
CKX* 56,200 706
Coach* 54,900 1,596
Coldwater Creek (B)* 17,337 446
Columbia Sportswear* 5,400 256
Cooper Tire & Rubber 54,900 625
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Corinthian Colleges* 5,400 $ 75
Cosi* 100,931 821
CROCS (B)* 54,200 1,242
CSK Auto (B)* 62,900 799
Ctrip.com International ADR (B) 22,108 1,063
Dick's Sporting Goods* 29,836 1,160
Directed Electronics* 6,800 94
Dollar Tree Stores (B)* 34,300 907
Dover Downs Gaming &
Entertainment 3,800 96
Eddie Bauer Holdings* 141,200 2,118
Entercom Communications 33,504 893
Finish Line, Cl A 44,600 571
Focus Media Holding ADR* 25,421 1,606
Foot Locker 91,281 2,206
FTD Group* 4,300 56
Furniture Brands
International (B) 48,500 1,044
GameStop, Cl A (B)* 31,900 1,370
Gaylord Entertainment (B)* 45,400 1,989
Genesco (B)* 18,300 644
Getty Images* 8,500 558
Golf Galaxy (B)* 72,700 1,259
Goodyear Tire & Rubber (B)* 154,800 1,969
Gray Television 239,400 1,585
Group 1 Automotive 25,800 1,568
GSI Commerce (B)* 96,631 1,522
Gymboree* 41,000 1,451
Handleman (B) 21,700 185
Harman International Industries 33,300 2,821
Hibbett Sporting Goods (B)* 101,618 2,628
HOT Topic (B)* 33,397 462
Interface, Cl A* 52,664 605
International Speedway, Cl A 5,500 267
ITT Educational Services (B)* 29,098 1,891
Jack in the Box (B)* 36,600 1,525
Jackson Hewitt Tax Service 17,300 566
Jakks Pacific (B)* 24,000 468
Jarden (B)* 65,450 1,966
Jo-Ann Stores* 1,700 28
John Wiley & Sons, Cl A 8,200 286
Jones Apparel Group 81,800 2,654
Jos. A. Bank Clothiers* 6,400 232
K2* 107,400 1,185
KB Home (B) 18,900 968
Laureate Education* 26,342 1,244
Lear (B) 7,100 168
Life Time Fitness* 10,483 480
Lin TV, Cl A* 122,000 1,074
Liz Claiborne 700 27
LKQ (B)* 52,133 1,019
Lodgenet Entertainment* 8,000 151
Martha Stewart Living Omnimedia,
Cl A (B)* 16,200 275
Media General, Cl A 18,405 693
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 79
STATEMENT OF NET ASSETS
Small/Mid Cap Equity Fund
May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Meritage Homes* 21,400 $ 1,147
Mestek* 2,900 42
Mohawk Industries (B)* 8,900 656
Morningstar* 13,000 548
Nutri/System (B)* 20,966 1,424
OfficeMax 56,900 2,352
Orient-Express Hotels, Cl A (B) 31,200 1,197
Palm Harbor Homes (B)* 46,553 899
Panera Bread, Cl A* 15,700 1,017
Pantry (B)* 6,700 387
Payless Shoesource* 4,400 117
Penn National Gaming (B)* 33,300 1,280
Perry Ellis International* 5,600 135
Petco Animal Supplies (B)* 37,600 796
PF Chang's China Bistro* 25,600 1,060
Phillips-Van Heusen 48,200 1,709
Playboy Enterprises, Cl B* 17,900 173
Polo Ralph Lauren 46,300 2,616
Pool (B) 55,465 2,396
ProQuest* 8,600 102
Quiksilver (B)* 217,700 2,713
R.H. Donnelley 38,584 2,115
Radio One, Cl A* 3,000 22
Radio One, Cl D* 18,900 139
RCN (B)* 43,900 1,153
Reader's Digest Association 27,400 390
Regis 85,500 2,965
Rent-A-Center (B)* 51,700 1,229
Royal Caribbean Cruises 13,200 503
Ryland Group (B) 12,700 625
Saks (B)* 45,900 737
Sauer-Danfoss 9,200 229
Scholastic* 6,298 166
Shuffle Master* 7,300 266
Sinclair Broadcast Group, Cl A 30,800 262
Six Flags* 2,500 21
Snap-On 47,100 1,973
Sonic (B)* 68,500 1,496
Sonic Automotive 33,900 811
Sotheby's Holdings, Cl A* 2,200 59
Standard-Pacific (B) 59,660 1,794
Starwood Hotels & Resorts
Worldwide (B) 62,800 3,837
Stewart Enterprises, Cl A 17,600 100
Stride Rite 54,000 680
Talbots 41,341 879
Technical Olympic USA 44,300 800
Tenneco* 5,500 131
Tiffany 43,900 1,501
Timberland, Cl A (B)* 36,500 1,008
Tractor Supply* 10,300 573
Trans World Entertainment* 48,100 288
TRW Automotive Holdings* 21,200 581
Tupperware Brands 29,200 601
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Under Armour, Cl A (B)* 71,500 $ 2,553
United Auto Group (B) 16,700 704
Urban Outfitters (B)* 4,800 89
VF 29,800 1,875
VistaPrint* 81,444 2,579
Warnaco Group* 51,500 926
WCI Communities* 2,200 47
Weight Watchers International 57,600 2,412
Wendy's International 4,800 289
West Marine* 9,100 131
Wet Seal, Cl A (B)* 52,500 239
Whirlpool 21,994 1,978
Wynn Resorts (B)* 21,500 1,531
Xerium Technologies 7,300 71
Yankee Candle 64,700 1,765
----------
155,519
----------
CONSUMER STAPLES -- 2.2%
Andersons 2,000 207
BJ's Wholesale Club (B)* 66,700 1,968
Bunge 1,700 96
Casey's General Stores 4,900 110
Central Garden & Pet* 10,800 452
Chattem (B)* 16,200 568
Chiquita Brands International (B) 42,900 614
Corn Products International 10,300 275
Del Monte Foods 96,500 1,142
Delta & Pine Land 4,200 119
Energizer Holdings (B)* 34,100 1,782
Gold Kist* 64,300 964
Hain Celestial Group* 85,000 2,182
Herbalife* 23,788 934
Hormel Foods 39,117 1,405
Imperial Sugar* 700 16
Lance 42,200 1,005
Loews - Carolina Group 36,220 1,682
Longs Drug Stores 8,300 382
Molson Coors Brewing, Cl B 9,500 615
Nash Finch (B) 22,600 525
NBTY* 65,400 1,715
Parlux Fragrances (B)* 4,800 132
PepsiAmericas 72,700 1,623
Pilgrim's Pride (B) 59,866 1,618
Premium Standard Farms 77,400 1,286
Smart & Final* 3,700 63
Spectrum Brands* 15,700 243
Supervalu 72,900 2,126
Tyson Foods, Cl A 39,400 631
Wild Oats Markets* 100 2
----------
26,482
----------
- --------------------------------------------------------------------------------
80 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ENERGY -- 6.5%
Alon USA Energy 32,000 $ 1,085
Arch Coal 11,961 578
Arlington Tankers 52,200 1,126
Basic Energy Services* 41,600 1,367
Bronco Drilling (B)* 60,400 1,262
Cabot Oil & Gas 34,450 1,511
Callon Petroleum* 40,700 727
Cameron International (B)* 89,908 4,217
Clayton Williams Energy* 11,500 458
Complete Production Services* 30,300 726
Comstock Resources (B)* 65,100 1,845
Consol Energy 4,400 388
Delek US Holdings (B)* 34,500 511
Denbury Resources* 30,306 958
Encore Acquisition (B)* 52,100 1,384
Energy Partners (B)* 67,700 1,435
ENSCO International 29,093 1,454
EXCO Resources* 171,950 2,063
FMC Technologies (B)* 20,600 1,375
Forest Oil* 7,700 251
Foundation Coal Holdings 36,850 1,670
Frontier Oil (B) 27,832 1,559
Giant Industries* 13,290 840
Global Industries* 52,800 1,025
Goodrich Petroleum* 31,977 783
Grant Prideco* 40,200 1,931
Harvest Natural Resources* 33,800 467
Helix Energy Solutions
Group (B)* 136,513 4,841
Hercules Offshore* 63,526 2,323
Hess 1,300 195
Holly 12,604 1,052
Houston Exploration (B)* 26,600 1,418
Infinity Bio-Energy* 258,407 1,421
KCS Energy* 1,700 48
Kerr-McGee 600 64
KFX (B)* 67,100 946
Maritrans 41,200 1,063
Massey Energy (B) 61,588 2,298
Na Oil Sands (G) (I)* 160,000 1,744
NATCO Group, Cl A* 3,500 108
Newfield Exploration* 2,700 115
NS Group* 16,400 819
Oil States International* 25,256 877
Parker Drilling* 18,350 135
Patterson-UTI Energy 31,000 927
Pioneer Natural Resources 44,700 1,824
Plains Exploration &
Production (B)* 9,800 350
Range Resources 77,930 2,018
Remington Oil & Gas* 8,700 368
Rentech (B)* 393,300 1,774
Rowan 7,700 307
SEACOR Holdings (B)* 20,700 1,687
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Smith International (B) 30,911 $ 1,266
Southwestern Energy* 18,600 601
Stone Energy (B)* 18,400 917
Sunoco 28,200 1,934
Superior Energy Services* 28,650 943
Swift Energy* 34,800 1,398
Syntroleum (B)* 145,000 944
Tesoro 27,600 1,880
Ultra Petroleum* 8,500 489
Unit* 22,400 1,342
USEC 21,500 259
Vaalco Energy* 88,200 623
Veritas DGC (B)* 48,300 2,281
W&T Offshore (B) 17,300 664
W-H Energy Services* 9,100 513
Western Refining* 69,200 1,239
----------
79,011
----------
FINANCIALS -- 22.1%
A.G. Edwards 35,300 1,892
Acadia Realty Trust+ 47,500 1,016
Accredited Home Lenders
Holding (B)* 27,800 1,444
ACE Cash Express* 51,000 1,357
Advance America Cash Advance
Centers 7,000 106
Advanta, Cl B 35,600 1,303
Affiliated Managers Group (B)* 99,586 8,983
AllianceBernstein Holding 21,900 1,430
AmCOMP* 134,300 1,397
American Financial Group 56,800 2,395
American Home Mortgage
Investment+ (B) 120,493 4,021
American Physicians Capital* 10,200 471
AmeriCredit (B)* 62,200 1,806
AmerUs Group (B) 16,000 930
Amvescap ADR 81,700 1,597
Anchor Bancorp Wisconsin 7,500 219
Annaly Mortgage Management+ 144,608 1,880
Anthracite Capital+ 70,500 794
Anworth Mortgage Asset+ 50,200 397
Apartment Investment &
Management, Cl A 37,400 1,618
Arch Capital Group* 23,862 1,370
Archstone-Smith Trust+ 57,900 2,799
Ashford Hospitality Trust+ 16,354 195
Aspen Insurance Holdings (B) 67,900 1,471
Asset Acceptance Capital* 2,900 50
Associated Banc-Corp 22,900 757
Assurant 40,800 1,994
Assured Guaranty 55,044 1,371
Asta Funding (B) 14,500 530
Astoria Financial (B) 30,300 917
AvalonBay Communities+ (B) 34,400 3,657
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 81
STATEMENT OF NET ASSETS
Small/Mid Cap Equity Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
BancFirst 1,600 $ 72
Bank of Hawaii 30,000 1,522
Bank of the Ozarks (B) 2,600 84
BlackRock, Cl A 10,400 1,394
Boston Private Financial
Holdings (B) 39,700 1,191
Boston Properties+ 18,700 1,583
Brandywine Realty Trust+ 64,800 1,880
Calamos Asset Management, Cl A 40,400 1,284
Camden Property Trust+ 61,350 4,380
Capital of the West 7,391 245
Capital Trust, Cl A+ 3,500 119
CapitalSource+ (B) 94,378 2,213
Cascade Bancorp 1,300 37
Cash America International 8,600 265
CBL & Associates Properties+ 18,200 681
CBOT Holdings, Cl A (B)* 2,300 240
Cedar Shopping Centers+ 13,700 199
Center Financial 5,500 128
Central Pacific Financial (B) 59,918 2,155
Chemical Financial 29,400 859
Chicago Mercantile Exchange
Holdings 1,100 485
City Bank 11,184 514
City National 42,300 3,076
Cohen & Steers 16,300 401
Colonial BancGroup 105,900 2,823
Colonial Properties Trust+ (B) 27,000 1,207
Columbia Banking System 8,300 279
Commerce Bancshares 22,900 1,184
Commercial Capital Bancorp 46,400 728
Community Bank System 30,000 582
Compass Bancshares (B) 34,700 1,931
CompuCredit (B)* 47,049 1,800
Conseco* 55,910 1,347
Corporate Office Properties
Trust+ 122,051 4,821
Corus Bankshares (B) 61,800 1,746
Crescent Real Estate Equities+ 33,600 594
Cullen/Frost Bankers 23,600 1,338
Delta Financial 14,800 139
DiamondRock Hospitality+ 82,200 1,247
Dime Community Bancshares 119,947 1,696
Doral Financial 150,934 1,138
Downey Financial 39,650 2,700
E*Trade Financial (B)* 185,400 4,500
East West Bancorp 50,400 2,013
Eaton Vance (B) 108,900 2,888
Education Realty Trust+ 28,700 405
EMC Insurance Group 14,200 453
Encore Capital Group* 3,400 31
Endurance Specialty Holdings 54,100 1,653
Entertainment Properties
Trust+ (B) 2,500 103
Equity Inns+ (B) 118,873 1,837
Equity Office Properties Trust+ 43,700 1,471
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Equity Residential+ 63,800 $ 2,814
Essex Property Trust+ (B) 8,400 895
Extra Space Storage+ 91,700 1,393
Ezcorp, Cl A* 11,300 365
Federal Realty Investment
Trust+ (B) 30,500 2,086
Federated Investors, Cl B 24,100 774
FelCor Lodging Trust+ (B) 47,700 993
Financial Federal 18,800 526
First Cash Financial Services* 3,200 69
First Community Bancorp 2,100 122
First Horizon National 60,550 2,420
First Indiana 1,250 33
First Industrial Realty
Trust+ (B) 6,600 244
First Midwest Bancorp 24,100 847
First Niagara Financial Group 65,100 917
First Regional Bancorp* 1,000 85
First Republic Bank 33,600 1,412
FirstFed Financial (B)* 59,500 3,441
Forest City Enterprises, Cl A 37,600 1,688
Fremont General (B) 31,200 631
Friedman Billings Ramsey Group,
Cl A+ (B) 61,700 648
Global Signal+ 20,899 957
Greenhill (B) 18,900 1,123
Grubb & Ellis Realty Advisors* 181,000 1,222
Hanmi Financial 8,200 157
Hanover Insurance Group 91,550 4,335
Harbor Florida Bancshares 600 22
HCC Insurance Holdings (B) 44,250 1,358
Heritage Property Investment
Trust+ 3,000 105
Hersha Hospitality Trust+ 128,300 1,198
Highbury Financial* 28,400 165
Highbury Financial Units* 63,600 512
Highwoods Properties+ (B) 39,400 1,221
Horace Mann Educators 70,000 1,173
Hospitality Properties
Trust+ (B) 27,400 1,155
Host Hotels & Resorts+ (B) 178,446 3,581
HRPT Properties Trust+ (B) 169,700 1,894
Huntington Bancshares 42,400 997
IMPAC Mortgage Holdings+ (B) 17,400 185
IndyMac Bancorp 57,958 2,660
Innkeepers USA Trust+ 22,100 343
IntercontinentalExchange (B)* 19,400 1,081
Intervest Bancshares* 3,200 129
Irwin Financial 33,700 694
Jefferies Group 33,400 977
Kansas City Life Insurance 17,000 778
KNBT Bancorp 53,200 867
LandAmerica Financial Group 24,700 1,653
LaSalle Hotel Properties+ 29,200 1,213
Legg Mason 1,100 106
Longview Fibre+ 6,300 161
LTC Properties+ 5,500 121
Macerich+ 30,500 2,102
- --------------------------------------------------------------------------------
82 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Mack-Cali Realty+ (B) 60,300 $ 2,586
MAF Bancorp 2,500 108
Marsh & McLennan 36,214 1,015
Medical Properties Trust* 55,500 672
Medical Properties Trust+ 87,801 1,063
MFA Mortgage Investments+ (B) 145,900 989
MGIC Investment 19,200 1,265
Mid-State Bancshares 6,000 159
Nara Bancorp 8,100 157
Nasdaq Stock Market (B)* 50,500 1,537
National Financial Partners 49,800 2,234
National Retail Properties 8,600 166
Nationwide Financial Services,
Cl A (B) 62,700 2,715
Navigators Group* 5,700 235
New York Community Bancorp 181,450 3,023
Nuveen Investments, Cl A 64,200 2,883
Ohio Casualty 300 9
Old National Bancorp 35,400 679
Old Second Bancorp 1,400 42
Omega Healthcare Investors+ 30,600 377
Pacific Capital Bancorp 2,800 96
PFF Bancorp 44,900 1,527
Philadelphia Consolidated
Holding (B)* 19,300 640
Phoenix* 300 4
Piper Jaffray (B)* 48,500 3,070
Placer Sierra Bancshares 9,045 217
Platinum Underwriters Holdings 81,410 2,193
Portfolio Recovery
Associates (B)* 16,100 793
Post Properties+ (B) 48,400 2,072
Preferred Bank 1,100 58
PremierWest Bancorp (B) 2,520 36
Presidential Life 20,700 518
Prologis+ 84,100 4,159
Prosperity Bancshares 1,600 52
PS Business Parks+ 5,600 298
Radian Group 34,500 2,109
RAIT Investment Trust+ 35,900 905
Reckson Associates Realty+ 64,400 2,476
Regency Centers+ 3,000 185
Reinsurance Group of America 15,500 735
Saxon Capital+ 116,527 1,299
Security Bank 1,100 24
Selective Insurance Group 2,100 114
Shurgard Storage Centers, Cl A+ 26,800 1,556
Sierra Bancorp 800 21
Simon Property Group+ 35,400 2,819
SL Green Realty+ (B) 22,200 2,202
South Financial Group 87,242 2,421
St. Joe 22,000 1,034
Stancorp Financial Group 22,500 1,098
Sterling Bancorp 2,300 42
Sterling Financial--WA 61,850 1,858
Stewart Information Services 13,600 517
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Strategic Hotels & Resorts+ 169,300 $ 3,474
Suffolk Bancorp 1,500 46
Sunstone Hotel Investors+ 30,700 850
SVB Financial Group (B)* 69,600 3,356
SY Bancorp 210 5
T Rowe Price Group 1,800 142
TAC Acquisition* 192,600 1,300
TAL International Group* 61,300 1,423
Taubman Centers+ (B) 27,800 1,081
TCF Financial 79,300 2,117
TD Ameritrade Holding 3,700 63
TD Banknorth 42,700 1,223
Thornburg Mortgage+ 64,373 1,757
TierOne 6,000 197
Trammell Crow* 4,700 163
Transatlantic Holdings 1,900 109
Trico Bancshares 6,700 182
Trizec Properties+ (B) 91,400 2,156
Trustmark 54,300 1,630
Trustreet Properties+ 28,000 363
UCBH Holdings 32,900 582
Umpqua Holdings (B) 89,800 2,365
Union Bankshares 900 36
United Bankshares 38,400 1,354
United PanAm Financial* 1,100 31
Unitrin 37,200 1,667
UnumProvident (B) 83,700 1,503
Vineyard National Bancorp 1,300 33
Waddell & Reed Financial,
Cl A (B) 21,500 479
Westamerica Bancorporation 18,500 898
Wilmington Trust 1,000 43
Wilshire Bancorp 6,200 110
Windrose Medical Properties
Trust 6,800 95
Wintrust Financial (B) 38,300 1,966
World Acceptance* 14,700 473
Zenith National Insurance (B) 60,935 2,437
Zions Bancorporation 133 11
----------
269,258
----------
HEALTH CARE -- 10.9%
Abaxis* 15,300 261
Affymetrix (B)* 49,293 1,356
Air Methods* 18,600 418
Albany Molecular Research* 14,500 149
Alkermes (B)* 17,400 345
Alpharma, Cl A 97,400 2,281
Amsurg* 66,250 1,596
Anadys Pharmaceuticals* 108,600 1,115
Analogic 1,700 97
Applera - Applied Biosystems
Group 20,700 613
Applera - Celera Genomics
Group (B)* 150,200 1,682
Apria Healthcare Group (B)* 15,900 305
Arena Pharmaceuticals (B)* 59,500 812
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 83
STATEMENT OF NET ASSETS
Small/Mid Cap Equity Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Ariad Pharmaceuticals (B)* 178,600 $ 916
Arqule* 2,100 11
Array Biopharma* 105,700 778
Barr Pharmaceuticals* 39,400 2,076
Bausch & Lomb (B) 18,700 919
Beckman Coulter 19,900 1,100
Bio-Reference Labs* 5,900 110
Biosite (B)* 39,500 1,777
C.R. Bard 2,400 178
Candela* 5,600 96
Caraco Pharmaceutical
Laboratories* 2,400 26
Cephalon (B)* 89,718 5,358
Cerner (B)* 32,100 1,219
Chemed 9,000 485
China Medical Technologies
ADR (B)* 22,646 580
Cigna 2,000 185
Coley Pharmaceutical Group (B)* 27,282 362
Community Health Systems* 101,958 3,844
Covance* 9,744 576
Cubist Pharmaceuticals (B)* 86,900 2,057
Cutera* 15,100 249
CV Therapeutics (B)* 317,931 5,297
Cyberonics (B)* 14,623 365
Dade Behring Holdings 64,400 2,399
DaVita* 24,400 1,292
Dendreon (B)* 192,700 848
Dentsply International (B) 29,500 1,764
Depomed (B)* 114,600 657
Diagnostic Products 3,200 185
Digene* 7,700 288
Discovery Laboratories (B)* 211,001 471
DJO* 22,900 878
Dov Pharmaceutical (B)* 163,087 504
Edwards Lifesciences* 7,800 346
Emdeon (B)* 64,100 744
Encysive Pharmaceuticals (B)* 194,300 845
Endo Pharmaceuticals
Holdings (B)* 138,947 4,077
Enzon Pharmaceuticals (B)* 8,000 60
eResearch Technology (B)* 122,200 1,114
Exelixis (B)* 122,800 1,332
Express Scripts (B)* 18,900 1,385
First Horizon
Pharmaceutical (B)* 107,800 2,276
Fisher Scientific
International (B)* 43,300 3,215
Gen-Probe* 5,305 286
Genesis HealthCare (B)* 32,200 1,516
Greatbatch (B)* 17,700 402
Health Net* 738 32
HealthSpring* 59,000 988
HealthTronics* 11,400 84
Henry Schein (B)* 29,500 1,360
Hillenbrand Industries 1,800 91
Hologic* 30,200 1,193
Human Genome Sciences (B)* 197,290 2,162
Idexx Laboratories* 3,048 233
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ImClone Systems* 9,789 $ 392
Immucor (B)* 81,175 1,477
IMS Health 5,800 156
Incyte (B)* 160,500 669
Intermagnetics General* 2,200 51
Invitrogen (B)* 50,100 3,193
Kendle International* 1,700 55
Kindred Healthcare (B)* 37,200 943
Kinetic Concepts* 80,300 3,124
King Pharmaceuticals (B)* 171,200 3,044
Kos Pharmaceuticals* 9,300 399
Lifecell (B)* 3,300 89
Magellan Health Services* 23,600 955
Manor Care 64,950 3,016
Matria Healthcare* 4,100 118
Medarex (B)* 296,300 3,040
Medcath (B)* 15,800 246
Medicis Pharmaceutical, Cl A 9,259 276
Meridian Bioscience 6,300 150
Metabasis Therapeutics* 13,939 110
MGI Pharma (B)* 110,800 1,996
Micrus Endovascular* 95,900 1,366
Millipore* 5,300 368
Molecular Devices* 11,000 316
Nastech Pharmaceutical (B)* 145,600 2,037
Natus Medical* 11,600 145
Nektar Therapeutics (B)* 23,721 474
Neurocrine Biosciences (B)* 27,282 538
Neurometrix (B)* 12,206 356
NUCRYST Pharmaceuticals* 24,594 357
NuVasive (B)* 22,170 364
NxStage Medical (B)* 40,722 428
Odyssey HealthCare (B)* 16,500 269
Omnicare 12,600 584
Pain Therapeutics (B)* 43,300 368
Panacos Pharmaceuticals* 36,900 232
Par Pharmaceutical* 5,200 119
PDL BioPharma* 129,896 2,630
Pediatrix Medical Group* 3,300 152
Per-Se Technologies (B)* 35,200 877
PerkinElmer 12,300 257
Pharmaceutical Product
Development 7,800 283
Phase Forward* 77,345 985
PolyMedica 45,300 1,739
PRA International* 2,200 55
Quidel* 9,600 91
Radiation Therapy Services* 36,054 875
Resmed* 6,175 281
Respironics* 5,600 191
Rigel Pharmaceuticals (B)* 101,700 1,000
Rita Medical Systems* 85,533 313
Rotech Healthcare (B)* 84,700 360
Serologicals* 30,700 957
Sierra Health Services* 31,700 1,306
- --------------------------------------------------------------------------------
84 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Spectranetics* 29,224 $ 379
Stratagene* 3,300 22
SurModics (B)* 19,400 755
Symbion* 62,000 1,360
Techne (B)* 21,426 1,172
Telik* 198,300 3,169
Thermo Electron* 40,900 1,503
Triad Hospitals* 32,900 1,325
Trimeris (B)* 20,700 223
Trizetto Group* 13,900 198
United Therapeutics (B)* 42,200 2,032
Universal Health Services, Cl B 37,500 1,903
Valeant Pharmaceuticals
International 61,192 1,052
Vertex Pharmaceuticals* 12,432 429
Viropharma (B)* 30,700 299
Vital Signs 5,800 290
Watson Pharmaceuticals* 1,600 41
West Pharmaceutical Services 2,700 92
----------
133,037
----------
INDUSTRIALS -- 13.6%
51 Job ADR (B)* 36,220 991
ABX Air* 25,300 171
Accuride* 12,900 148
Actuant, Cl A 25,900 1,529
Acuity Brands 19,000 758
Advisory Board* 24,191 1,251
AGCO (B)* 156,350 3,824
Alaska Air Group* 43,300 1,677
Albany International, Cl A (B) 52,300 2,090
Alliant Techsystems* 20,277 1,583
Allied Waste Industries (B)* 165,900 1,979
Amerco* 7,700 681
American Commercial Lines (B)* 26,900 1,477
American Reprographics* 48,197 1,671
American Science & Engineering (B)* 3,200 184
Ametek 39,714 1,812
AMR* 14,800 365
AO Smith 63,500 2,791
Aries Maritime Transport (B) 91,400 1,032
Arkansas Best (B) 18,500 762
Armor Holdings (B)* 22,000 1,257
ASV* 2,500 51
Aviall* 56,230 2,651
Banta 22,483 1,112
BE Aerospace* 44,100 978
Beacon Roofing Supply (B)* 38,908 1,467
Brink's 73,000 4,011
Builders FirstSource* 19,300 401
C&D Technologies 24,200 160
Cenveo* 14,200 269
CH Robinson Worldwide 26,166 1,152
Clean Harbors (B)* 2,000 73
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Columbus McKinnon* 22,100 $ 581
Comfort Systems USA 26,700 347
Con-way 29,062 1,717
Consolidated Graphics* 6,600 336
Continental Airlines, Cl B (B)* 36,100 895
Copart* 44,100 1,210
Corporate Executive Board 3,100 315
CoStar Group (B)* 24,124 1,287
Crane 12,700 510
Cubic 2,000 38
Cummins (B) 34,600 3,813
Deere 3,800 325
Deluxe 12,400 267
Dollar Thrifty Automotive
Group* 18,614 847
Duratek* 1,400 31
Dynamic Materials (B) 58,500 1,630
DynCorp International,
Cl A (B)* 45,100 528
EMCOR Group* 16,872 811
Energy Conversion Devices* 3,400 135
EnPro Industries* 24,700 859
Equifax 28,000 1,010
Esterline Technologies* 2,000 82
Expeditors International
Washington 9,800 965
ExpressJet Holdings* 88,800 521
Fluor 1,400 123
Freightcar America 34,600 2,088
Gardner Denver* 21,193 1,599
GATX 2,600 113
General Cable* 50,108 1,617
General Electric 9,000 308
Genesee & Wyoming, Cl A* 50,083 1,505
Genlyte Group (B)* 17,268 1,205
Geo Group* 6,000 224
Global Cash Access* 95,800 1,486
Goodman Global (B)* 111,680 1,893
Goodrich 66,400 2,831
GrafTech International (B)* 244,100 1,506
Granite Construction 12,100 500
Griffon (B)* 24,600 668
Grupo Aeroportuario del Sureste
ADR 36,200 1,237
H&E Equipment Services (B)* 34,500 1,026
Herley Industries* 25,300 479
Herman Miller 80,400 2,349
Hexcel (B)* 90,244 1,857
Honeywell International 5,200 214
Hudson Highland Group* 7,100 85
Huron Consulting Group 17,600 539
Huttig Building Products* 9,300 60
IDEX 27,100 1,310
IKON Office Solutions 27,800 359
Insteel Industries 8,000 345
Jacobs Engineering Group* 4,900 382
JB Hunt Transport Services (B) 83,800 2,051
John H. Harland 45,300 1,940
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 85
STATEMENT OF NET ASSETS
Small/Mid Cap Equity Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Joy Global 72,300 $ 3,885
Kaman 4,400 82
Kenexa* 34,876 1,057
Kennametal (B) 61,921 3,703
Kforce* 6,500 99
Kirby* 2,700 203
Knoll 70,200 1,299
Ladish* 6,400 252
Laidlaw International* 50,700 1,278
Lamson & Sessions (B)* 39,500 963
Lennox International (B) 69,300 1,972
Lincoln Electric Holdings 4,800 264
Manitowoc 1,200 55
Manpower 15,331 1,009
McGrath Rentcorp (B) 9,100 242
Mine Safety Appliances 2,500 103
Monster Worldwide* 19,200 938
MSC Industrial Direct, Cl A (B) 43,300 2,002
Mueller Industries 39,900 1,303
NACCO Industries, Cl A 1,400 200
Navistar International* 20,700 550
NCI Building Systems (B)* 25,300 1,534
Orbital Sciences* 4,200 63
Oshkosh Truck 34,441 1,820
RailAmerica* 7,500 84
Regal-Beloit (B) 30,400 1,457
Republic Services 47,800 1,950
Resources Connection (B)* 93,486 2,384
Ryder System 73,200 3,955
Sequa, Cl A* 300 24
Shaw Group* 6,800 181
Simpson Manufacturing (B) 43,100 1,495
Sitel* 17,800 84
Skywest 5,400 125
Sourcecorp* 6,000 149
SPX (B) 43,961 2,313
Standard Parking* 2,000 56
Standard Register 12,700 165
Stericycle* 9,195 613
Sun Hydraulics 5,600 110
Superior Essex* 10,700 363
Sypris Solutions 15,000 128
Teleflex 16,900 1,037
Terex* 19,600 1,793
Thomas & Betts* 65,500 3,766
Timken 31,700 996
Titan International 100 2
UAL* 5,300 156
United Industrial 7,900 388
United Rentals (B)* 148,636 4,843
United Stationers* 25,400 1,179
United Technologies 7,100 444
Universal Forest Products 16,000 1,052
URS* 48,492 2,056
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
USG (B)* 11,800 $ 1,087
UTI Worldwide 59,900 1,631
Volt Information Sciences* 1,200 36
Wabtec 34,384 1,202
Walter Industries (B) 56,100 3,263
Washington Group
International (B) 39,200 2,113
Waste Connections* 7,200 277
WESCO International* 38,700 2,544
West* 10,800 524
Williams Scotsman International* 77,600 2,018
Woodward Governor 52,900 1,675
----------
165,911
----------
INFORMATION TECHNOLOGY -- 19.0%
24/7 Real Media* 290,100 2,422
Activision (B)* 257,628 3,367
Adaptec* 308,400 1,379
ADC Telecommunications (B)* 51,200 918
ADE* 1,100 35
Adtran 9,500 240
Advanced Energy Industries* 40,000 564
Advanced Micro Devices* 21,700 670
Advent Software* 16,800 551
Agere Systems* 3,300 49
Agile Software* 97,102 640
Agilent Technologies* 2,400 84
Agilysys 10,400 172
Akamai Technologies (B)* 115,726 3,621
Alliance Data Systems* 5,200 276
Altera (B)* 307,700 6,019
Altiris* 2,100 37
Amdocs* 98,100 3,676
Amkor Technology (B)* 23,900 227
Amphenol, Cl A 51,700 2,872
Anadigics* 125,107 1,068
Anixter International 1,800 88
aQuantive (B)* 128,973 3,197
Arrow Electronics* 54,700 1,778
Art Technology Group* 384,524 1,188
Asyst Technologies* 173,000 1,190
ATMI* 57,521 1,507
Avaya (B)* 393,200 4,644
Avid Technology (B)* 32,792 1,292
Avnet* 127,657 2,819
Avocent* 800 18
BEA Systems* 6,800 92
Bel Fuse, Cl B 1,500 47
Benchmark Electronics* 77,241 1,870
BISYS Group* 125,300 1,848
Black Box 24,000 1,240
Blackbaud 65,048 1,250
BMC Software (B)* 70,600 1,423
Brightpoint* 123,865 2,648
- --------------------------------------------------------------------------------
86 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Broadcom, Cl A* 9,000 $ 304
Brocade Communications Systems* 5,400 33
Brooks Automation (B)* 182,000 2,199
CA 1,900 41
CACI International, Cl A* 10,800 658
Cadence Design Systems (B)* 10,000 180
Ceridian* 20,800 506
CheckFree (B)* 43,100 2,152
Checkpoint Systems* 24,700 558
Cirrus Logic* 57,000 466
Citrix Systems* 20,800 782
CMGI* 173,800 229
CNET Networks (B)* 249,437 2,185
Cogent (B)* 195,900 3,040
Cohu 3,100 54
CommScope (B)* 95,330 2,786
Concur Technologies* 84,065 1,267
Convergys (B)* 95,400 1,778
Covansys* 5,600 77
Credence Systems (B)* 257,700 1,175
Cree (B)* 61,700 1,583
CSG Systems International* 80,700 1,879
CTS 13,400 182
Cymer (B)* 61,738 2,864
Cypress Semiconductor* 65,523 995
Dot Hill Systems* 129,400 497
Dycom Industries* 7,400 159
Earthlink (B)* 72,600 605
EFJ* 91,300 623
Electronics for Imaging* 36,500 855
Emulex (B)* 17,800 315
EPIQ Systems* 18,500 296
F5 Networks (B)* 41,950 2,035
Factset Research Systems 8,700 391
Fair Isaac 32,400 1,152
Fairchild Semiconductor
International* 65,167 1,139
FEI* 11,400 267
Filenet* 48,803 1,271
Flextronics International* 284,400 3,202
Flir Systems* 10,600 271
Global Payments (B) 31,000 1,444
Harmonic* 1,600 7
Harris 6,800 277
Homestore* 371,013 2,211
Hutchinson Technology (B)* 141,214 3,280
Hyperion Solutions (B)* 20,500 589
Identix (B)* 78,300 462
Ikanos Communications* 5,100 81
Imation 48,700 1,874
Informatica (B)* 132,400 1,862
infoUSA 11,600 121
Ingram Micro, Cl A* 99,956 1,725
Integrated Silicon Solutions* 6,400 36
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Interdigital Communications* 47,500 $ 1,347
Intergraph* 2,200 78
Intermec* 5,700 131
Internap Network Services* 774,052 898
International Rectifier* 2,700 120
Internet Security Systems (B)* 6,100 125
Intersil, Cl A (B) 76,500 2,051
Intevac* 52,213 1,119
Iomega 222,400 729
Itron (B)* 31,300 1,872
IXYS* 4,400 44
Jack Henry & Associates 31,500 591
Juniper Networks (B)* 61,800 984
Jupitermedia* 54,000 805
Kla-Tencor 100 4
Komag (B)* 62,760 2,606
Kulicke & Soffa Industries* 16,100 130
Lam Research (B)* 41,200 1,845
Lattice Semiconductor* 268,500 1,619
Lawson Software* 209,059 1,411
Leadis Technology* 62,400 321
Lexmark International, Cl A* 20,860 1,194
Lightbridge* 11,500 135
Littelfuse* 9,600 336
LoJack* 16,500 291
LSI Logic (B)* 167,900 1,634
LTX* 900 7
Magma Design Automation (B)* 20,400 143
Manhattan Associates* 20,100 404
Marchex, Cl B (B)* 35,884 613
Mattson Technology* 11,800 106
MAXIMUS 34,600 1,100
McAfee* 21,500 508
MEMC Electronic Materials (B)* 14,300 501
Mettler Toledo International* 39,972 2,590
Micrel (B)* 5,100 57
Micron Technology* 6,500 108
Micros Systems (B)* 23,721 976
Microsemi (B)* 66,300 1,590
MicroStrategy, Cl A* 5,700 538
MKS Instruments* 52,422 1,144
MTS Systems 4,500 188
Multi-Fineline Electronix (B)* 7,600 253
National Semiconductor 1,500 39
NAVTEQ* 12,300 514
NCR* 34,400 1,344
Neoware* 46,067 952
Net 1 UEPS Technologies* 39,176 998
Novellus Systems* 100,516 2,328
Nuance Communications (B)* 113,200 987
Nvidia* 1,700 39
O2Micro International ADR* 133,600 1,160
Omnivision Technologies* 15,100 442
ON Semiconductor (B)* 106,500 643
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 87
STATEMENT OF NET ASSETS
Small/Mid Cap Equity Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Online Resources* 97,437 $ 1,192
Openwave Systems (B)* 176,635 2,498
OSI Systems (B)* 69,300 1,380
PAR Technology* 3,600 52
Parametric Technology* 109,820 1,465
Parkervision (B)* 47,500 485
Parkervision* 58,000 592
Paxar* 21,300 453
Perot Systems, Cl A* 237,192 3,330
Photronics* 75,686 1,277
Pixelworks* 163,000 458
Planar Systems* 2,200 29
Plantronics 6,700 144
Plexus* 6,900 271
PMC - Sierra (B)* 96,800 933
Polycom (B)* 380,400 8,213
Portalplayer (B)* 8,700 87
Presstek* 6,900 67
QLogic* 10,400 186
Quality Systems (B) 39,445 1,310
Quest Software* 4,300 60
Rackable Systems (B)* 22,900 868
RealNetworks* 70,700 669
Red Hat (B)* 22,400 587
Reynolds & Reynolds, Cl A 73,300 2,053
RF Micro Devices (B)* 418,600 3,035
RightNow Technologies (B)* 45,157 737
Sabre Holdings, Cl A 132,000 2,825
Salesforce.com* 33,400 986
Sanmina-SCI* 58,300 274
Satyam Computer Services ADR 50,600 1,628
Seachange International* 80,500 502
Silicon Storage Technology* 2,600 10
Sina (B)* 24,467 600
Skyworks Solutions* 224,800 1,272
Solectron* 297,100 1,058
Sonic Solutions (B)* 107,247 1,637
Spatialight* 85,000 260
Spatialight (B)* 143,400 439
Stratasys (B)* 20,634 624
Sybase (B)* 49,200 1,002
Synaptics (B)* 2,300 54
Synenco Energy (I)* 16,100 347
Synopsys (B)* 99,900 2,041
Syntel (B) 47,307 1,088
Tech Data* 17,000 617
Technitrol 13,200 301
Tellabs* 106,900 1,529
Teradyne (B)* 234,300 3,648
Terremark Worldwide (B)* 80,570 506
Tessera Technologies (B)* 31,516 890
THQ (B)* 88,500 2,065
TIBCO Software (B)* 187,100 1,435
Trident Microsystems (B)* 42,500 938
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Trimble Navigation (B)* 10,133 $ 466
TTM Technologies* 1,400 20
Unica* 131,800 1,209
Unisys* 37,900 249
United Online (B) 189,200 2,255
VeriSign* 66,800 1,500
WebEx Communications* 21,772 715
Western Digital* 160,300 3,262
Wind River Systems (B)* 246,300 2,328
Witness Systems* 45,600 941
Wright Express (B)* 53,800 1,584
Xilinx 3,500 91
Zygo* 15,000 226
----------
230,591
----------
MATERIALS -- 5.1%
Airgas 52,637 2,015
AK Steel Holding* 59,600 802
Allegheny Technologies 38,900 2,475
AptarGroup 19,200 1,010
Ashland 21,300 1,331
Balchem 63,500 1,314
Bowater 15,700 363
Buckeye Technologies* 74,600 583
Cabot 22,000 729
Carpenter Technology (B) 22,367 2,501
Century Aluminum* 13,400 558
CF Industries Holdings* 8,900 152
Cleveland-Cliffs (B) 16,900 1,244
Commercial Metals (B) 50,790 1,250
Crown Holdings* 31,900 515
Cytec Industries 16,918 974
Eastman Chemical 33,100 1,866
FMC 30,900 1,995
Greif, Cl A 30,300 1,921
Headwaters (B)* 13,100 360
Innospec 1,600 39
Louisiana-Pacific 28,600 694
Lubrizol 48,100 1,944
Martin Marietta Materials 17,015 1,557
Material Sciences* 3,500 39
MeadWestvaco 25,400 696
Metal Management 28,078 881
Neenah Paper* 15,900 488
NewMarket* 12,300 595
Olin 20,700 367
Olympic Steel* 1,740 58
OM Group* 7,100 225
Omnova Solutions* 3,800 23
Owens-Illinois* 101,200 1,720
Packaging of America 27,600 588
Pactiv* 53,400 1,317
PolyOne (B)* 245,100 2,316
- --------------------------------------------------------------------------------
88 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Pope & Talbot 7,500 $ 47
Quaker Chemical 1,700 29
Quanex (B) 59,550 2,342
Reliance Steel & Aluminum 34,900 2,813
RPM International 38,400 715
RTI International Metals* 16,390 984
Schnitzer Steel Industries, Cl A 50,700 1,817
Schweitzer-Mauduit International 16,400 416
Scotts Miracle-Gro, Cl A 4,600 201
Sensient Technologies 8,800 178
Silgan Holdings 30,721 1,149
Smurfit-Stone Container (B)* 172,900 2,070
Sonoco Products 57,700 1,828
Steel Dynamics 41,342 2,402
Symyx Technologies (B)* 58,100 1,551
Temple-Inland 15,400 662
Terra Industries* 1,300 10
Texas Industries (B) 49,995 2,448
United States Steel (B) 18,700 1,241
Wausau Paper 13,900 186
Wellman 75,500 330
Wheeling-Pittsburgh (B)* 60,400 1,234
----------
62,158
----------
TELECOMMUNICATION SERVICES -- 1.0%
Broadwing* 5,800 66
Centennial Communications* 20,400 119
CenturyTel 102,400 3,661
Commonwealth Telephone
Enterprises (B) 33,700 1,114
Dobson Communications,
Cl A (B)* 42,900 369
Fairpoint Communications 154,000 2,076
Golden Telecom 4,700 118
Level 3 Communications (B)* 184,660 918
Nextel Partners, Cl A* 20,500 582
Premiere Global Services* 34,800 261
Qwest Communications
International* 107,300 752
SBA Communications, Cl A* 43,343 992
Syniverse Holdings* 18,600 303
Talk America Holdings* 14,200 111
Time Warner Telecom, Cl A* 1,100 17
US Cellular* 7,200 432
----------
11,891
----------
UTILITIES -- 3.2%
AES* 6,300 116
AGL Resources 48,200 1,763
Alliant Energy 53,600 1,844
Avista 28,900 643
Black Hills 61,900 2,094
CenterPoint Energy (B) 66,000 791
Cleco (B) 44,200 982
CMS Energy (B)* 54,800 704
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Duquesne Light Holdings (B) 41,000 $ 665
El Paso Electric 15,300 295
Energen 92,200 3,124
Equitable Resources 41,100 1,383
Idacorp 34,823 1,163
ITC Holdings 40,600 1,052
Laclede Group (B) 7,700 259
National Fuel Gas (B) 5,000 179
New Jersey Resources 45,073 2,025
Nicor (B) 44,400 1,819
NRG Energy (B)* 22,100 1,099
OGE Energy 27,400 853
Ormat Technologies 36,000 1,342
Pepco Holdings (B) 32,300 742
Pinnacle West Capital 58,600 2,308
PNM Resources 96,513 2,439
Puget Energy (B) 58,600 1,242
Sempra Energy 13,400 603
UGI 99,831 2,322
Unisource Energy 8,400 254
Vectren 52,241 1,386
Westar Energy 42,300 901
WGL Holdings 41,800 1,204
Wisconsin Energy 43,550 1,736
----------
39,332
----------
TOTAL COMMON STOCK
(Cost $1,087,839) ($ Thousands) 1,173,190
----------
CORPORATE OBLIGATIONS (C) -- 12.1%
FINANCIALS -- 12.1%
Allstate Life Global Funding II
MTN (E) (F)
5.101%, 06/15/07 $ 2,158 2,158
American General Finance (E) (F)
5.111%, 06/15/07 6,803 6,802
American General Finance MTN,
Ser F
5.875%, 07/14/06 469 478
Bear Stearns, EXL (E)
5.091%, 06/15/07 8,351 8,351
Caterpillar Financial Services
MTN, Ser F (E)
5.148%, 07/10/06 2,346 2,346
Countrywide Financial MTN,
Ser A (E)
5.210%, 11/03/06 4,926 4,926
4.960%, 09/13/06 8,679 8,679
Dekabank (E) (F)
5.108%, 05/18/07 8,679 8,678
Glintnir Bank (E) (F)
5.180%, 04/06/07 7,037 7,037
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 89
STATEMENT OF NET ASSETS
Small/Mid Cap Equity Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Irish Life & Permanent MTN,
Ser X (E) (F)
5.109%, 06/21/07 $ 6,240 $ 6,238
Islandsbanki (E) (F)
5.131%, 03/22/07 3,988 3,988
Jackson National Life
Funding (E) (F)
5.080%, 05/02/07 10,321 10,321
Kaupthing Bank MTN (E) (F)
5.141%, 03/20/07 11,729 11,729
Landsbanki Islands (E) (F)
5.161%, 03/16/07 8,914 8,914
Morgan Stanley EXL (E)
5.190%, 07/03/07 1,642 1,642
Morgan Stanley EXL, Ser S (E)
5.150%, 07/03/07 2,346 2,346
Natexis Banques (E) (F)
5.060%, 06/15/07 4,574 4,573
Nationwide Building Society
(E) (F)
5.160%, 04/05/07 4,692 4,692
5.020%, 04/27/07 2,580 2,581
Nordbank (E) (F)
5.080%, 06/22/07 7,976 7,974
Northern Rock (E) (F)
5.170%, 05/03/07 4,832 4,832
Pacific Life Global Funding
(E) (F)
5.101%, 06/13/07 3,519 3,519
Premium Asset Trust,
Ser 2004-06 (E) (F)
5.190%, 06/30/06 4,457 4,460
Premium Asset Trust,
Ser 2004-10 (E) (F)
5.120%, 05/14/07 6,568 6,568
SLM EXL, Ser S (E) (F)
5.081%, 06/15/07 5,161 5,161
Sigma Finance MTN (F)
4.745%, 11/09/06 2,533 2,533
Skandinav Enskilda Bank (E) (F)
5.077%, 05/18/07 5,161 5,160
----------
Total Corporate Obligations
(Cost $146,686) ($ Thousands) 146,686
----------
COMMERCIAL PAPER (C) (D) -- 6.6%
Brahms Funding
5.051%, 06/01/06 4,692 4,672
Broadhollow Funding
5.081%, 06/09/06 1,173 1,168
5.079%, 06/26/06 2,815 2,805
5.073%, 06/19/06 3,988 3,970
5.062%, 06/05/06 2,346 2,336
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Buckingham CDO
5.092%, 06/23/06 $ 2,346 $ 2,335
5.087%, 06/08/06 4,692 4,676
Elysian Funding LLC
5.170%, 07/10/06 4,692 4,651
5.134%, 06/30/06 2,346 2,326
5.123%, 06/05/06 2,346 2,335
Hardwood Street Funding II
5.074%, 06/13/06 412 410
KKR Pacific Funding Trust
5.082%, 06/22/06 4,692 4,671
5.082%, 06/23/06 2,346 2,335
5.081%, 06/07/06 4,692 4,672
Main Street Warehouse Funding
5.090%, 06/16/06 2,815 2,804
5.079%, 06/05/06 2,346 2,337
5.078%, 06/02/06 422 422
Ocala Funding LLC
5.112%, 06/30/06 704 701
5.092%, 06/09/06 7,423 7,391
Park Granada LLC
5.045%, 06/29/06 2,346 2,325
Rams Funding
5.094%, 06/14/06 5,467 5,441
5.091%, 06/21/06 4,692 4,672
Rhineland Funding Capital
5.026%, 06/26/06 4,692 4,640
Thornburg Mortgage Capital Resource
5.092%, 06/19/06 3,284 3,270
5.092%, 06/23/06 1,520 1,514
Transamerica Securities
5.100%, 06/28/06 1,890 1,878
----------
Total Commercial Paper
(Cost $80,757) ($ Thousands) 80,757
----------
ASSET-BACKED SECURITIES (C) (E) (F) -- 2.1%
MORTGAGE RELATED SECURITIES -- 2.1%
Cheyne High Grade, Ser 2004-1A,
Cl AM1
5.180%, 11/10/06 2,346 2,346
Commodore, Ser 2003-2A,
Cl A1MM
4.970%, 12/12/38 2,158 2,158
Duke Funding, Ser 2004-6B,
Cl A1S1
5.093%, 04/08/39 3,518 3,518
Newcastle CDO Limited,
Ser 2005-6A, Cl IM1
5.142%, 04/24/07 938 938
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AM6
5.111%, 02/25/35 2,867 2,867
- --------------------------------------------------------------------------------
90 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
RMAC, Ser 2004-NS3A, Cl A1
5.080%, 03/12/25 $ 840 $ 840
Saturn Ventures II
5.129%, 08/07/06 4,378 4,378
TIAA Real Estate CDO,
Ser 2003 1A, Cl A1MM
5.030%, 12/28/18 3,029 3,029
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMD
4.930%, 06/15/06 1,173 1,173
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMME
4.930%, 09/15/06 704 704
Witherspoon CDO Funding
5.091%, 09/15/06 3,284 3,284
----------
Total Asset-Backed Securities
(Cost $25,235) ($ Thousands) 25,235
----------
FOREIGN COMMON STOCK -- 1.6%
Canaccord Capital 94,900 1,860
Cognos* 36,400 1,116
Compton Petroleum* 62,300 789
Dundee Wealth Management 35,700 845
Dundee+ 76,800 816
Emergis* 12,000 55
First Quantum Minerals 50,700 2,517
Four Seasons Hotels 20,800 1,286
Gildan Activewear* 36,700 1,540
Gluskin Sheff + Associates* 54,400 877
Grande Cache Coal* 228,100 321
OPTI Canada* 100,400 2,087
Railpower Technologies* 210,600 822
Sherritt International 114,600 1,187
Synenco Energy (G) (I)* 12,051 259
Synenco Energy, Cl A* 75,200 1,619
Tim Hortons (B)* 45,000 1,190
----------
Total Foreign Common Stock
(Cost $15,254) ($ Thousands) 19,186
----------
CASH EQUIVALENT -- 1.1%
SEI Daily Income Trust, Prime
Obligation Fund,
Cl A, 4.980%**++ 13,766,021 13,766
----------
Total Cash Equivalent
(Cost $13,766) ($ Thousands) 13,766
----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MASTER NOTE (C) (D) -- 1.0%
Bank of America
5.133%, 06/01/06 $11,729 $ 11,729
----------
Total Master Note(
Cost $11,729) ($ Thousands) 11,729
----------
TIME DEPOSIT (C) -- 0.8%
Societe General
5.080%, 06/01/06 9,383 9,383
----------
Total Time Deposit
(Cost $9,383) ($ Thousands) 9,383
----------
CERTIFICATE OF DEPOSIT (C) -- 0.2%
U.S. Trust of New York
5.121%, 03/13/07 1,877 1,877
----------
Total Certificate of Deposit
(Cost $1,877) ($ Thousands) 1,877
----------
Number of
Warrants
----------
WARRANTS -- 0.0%
Infinity Bio-Energy,
Expires 05/23/10* 516,814 274
Parkervision (G) (H) (I) (J)* 20,750 70
----------
Total Warrants
(Cost $262) ($ Thousands) 344
----------
REPURCHASE AGREEMENTS (A) (C) -- 4.6%
Barclays Capital
5.010%, dated 05/31/06, to be
repurchased on 06/01/06,
repurchase price $12,572,803
(collateralized by U.S. Government
Obligations, ranging in par value
$260,427-$9,383,064, 0.000%-
4.300%, 04/09/07-05/12/08,
total market value $12,822,658) 12,571 12,571
Deutsche Bank
5.020%, dated 05/31/06, to be
repurchased on 06/01/06,
repurchase price $15,507,628
(collateralized by U.S. Government
Obligations, ranging in par value
$86,371-$4,710,767, 0.000%-
5.600%, 08/29/06-10/29/18,
total market value $15,815,660) 15,505 15,505
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 91
STATEMENT OF NET ASSETS
Small/Mid Cap Equity Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers
5.020%, dated 05/31/06, to be
repurchased on 06/01/06,
repurchase price $28,338,177
(collateralized by U.S.Government
Obligations, ranging in par value
$3,283,603-$28,149,192, 8.125%-
9.375%, 10/15/19-01/15/30,
total market value $28,900,953) $28,334 $ 28,334
----------
Total Repurchase Agreements
(Cost $56,410) ($ Thousands) 56,410
----------
Total Investments -- 126.5%
(Cost $1,449,198) ($ Thousands) 1,538,563
----------
OTHER ASSETS AND LIABILITIES -- (26.5)%
Payable upon Return of Securities on Loan (332,077)
Payable for Investment Securities Purchased (30,211)
Payable for Fund Shares Redeemed (29,233)
Due to Custodian (3,118)
Investment Advisory Fees Payable (489)
Payable for Variation Margin (7)
Trustees' Fees Payable (3)
Other Assets and Liabilities, Net 73,215
----------
Total Other Assets and Liabilities (321,923)
----------
Net Assets -- 100.0% $1,216,640
==========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $1,032,428
Undistributed net investment income 2,130
Accumulated net realized gain on investments 92,725
Net unrealized appreciation on investments 89,365
Net unrealized depreciation on futures contracts (8)
----------
Net Assets $1,216,640
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($1,216,640,271 / 9,094,180 shares) $133.78
=======
A summary of the open future contracts held by the Fund at May 31, 2006, is as
follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
APPRECIATION
TYPE OF NUMBER OF EXPIRATION (DEPRECIATION)
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
Russell 2000 Index E-Mini 154 June 2006 $ 9
S&P Mid 400 Index E-Mini 131 June 2006 (17)
----
$ (8)
====
* Non-income producing security.
** Rate shown is the 7-day effective yield as of May 31, 2006.
+ Real Estate Investment Trust.
++ Pursuant to an exemptive order issued by the Securities and Exchange
Commission, the Fund may invest in the SEI money market funds, provided that
investments in the money market funds do not exceed 25% of the Fund's total
assets.
(A) Tri-Party Repurchase Agreement.
(B) This security or a partial position of this security is on loan at May 31,
2006 (see Note 9). The total value of securities on loan at May 31, 2006 was
$324,153 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan (see Note 9). The total value of such securities as of May 31, 2006 was
$332,077 ($ 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, 2006.
(F) 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." These securities have been determined to be
liquid under guidelines established by the Board of Trustees.
(G) Securities considered illiquid. The total value of such securities as of May
31, 2006 was $2,073 ($ Thousands) and represents 0.17% of Net Assets.
(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, 2006 was $70 ($ Thousands) and represents 0.00% of Net Assets.
(I) This security considered restricted. The total value of such securities as
of May 31, 2006 was $2,073 ($ Thousands) and represented 0.17% of Net
Assets.
(J) This warrant does not have a strike price or expiration date.
ADR -- American Depositary Receipt
CDO -- Collateralized Debt Obligation
Cl -- Class
EXL -- Extendable Maturity
LLC -- Limited Liability Company
MTN -- Medium Term Note
NIM -- Net Interest Margin
Ser -- Series
WA -- Washington
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
92 SEI Institutional Investments Trust / Annual Report / May 31, 2006
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund
May 31, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)++:
[Bar Chart Omitted]
Plot points are as follows:
23.0% U.S. Government Mortgage Backed
19.9% Financials
17.5% Asset-Backed Securities
15.2% U.S. Treasury Obligations
8.7% Short-Term Investments
6.5% U.S. Government Agency Obligations
1.3% Energy
1.2% Industrials
1.2% Consumer Discretionary
1.1% Utilities
1.0% Telecommunication Services
0.9% Cash Equivalents
0.8% Sovereign Bonds
0.6% Information Technology
0.3% Consumer Staples
0.3% Health Care
0.2% Materials
0.1% Certificates of Deposit
0.1% Municipal Bonds
0.1% Preferred Stock
0.0% Purchased Options
++Percentages based on total investments. Includes investments
held as collateral for securities on loan (see Note 9).
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 32.9%
FHLMC
9.750%, 10/01/14 $ 10 $ 10
8.500%, 09/01/08 to 04/01/09 83 84
7.500%, 11/01/17 to 06/01/32 1,381 1,436
7.000%, 11/01/15 to 06/01/32 1,609 1,646
6.500%, 10/01/16 to 10/01/31 7,070 7,181
6.000%, 01/01/13 to 12/01/33 10,245 10,300
5.500%, 09/01/13 to 02/01/35 30,190 29,685
5.000%, 04/01/20 to 09/01/35 69,312 66,060
4.500%, 01/01/19 to 07/15/36 62,834 59,037
4.000%, 05/01/19 to 10/01/33 2,328 2,063
FHLMC ARM
5.557%, 04/01/36 1,069 1,059
5.368%, 04/01/36 2,130 2,096
5.150%, 01/01/36 9,146 8,957
FHLMC TBA
6.500%, 08/01/31 12,553 12,679
5.500%, 07/15/18 21,536 21,179
5.000%, 06/12/33 7,900 7,404
FNMA
8.000%, 04/01/08 to 07/01/31 892 934
7.500%, 06/01/30 -- --
7.000%, 03/01/09 to 04/01/32 4,233 4,339
6.500%, 05/01/17 to 12/01/34 10,690 10,827
6.030%, 06/01/17 2,293 2,340
6.000%, 06/01/14 to 01/01/36 17,766 17,589
5.500%, 04/01/14 to 02/01/36 151,350 146,982
5.424%, 02/01/16 3 3
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
5.040%, 08/01/18 $ 1,580 $ 1,500
5.000%, 06/01/18 to 12/01/34 58,662 56,215
4.653%, 10/01/12 1,145 1,082
4.508%, 04/01/09 1,778 1,735
4.500%, 07/25/15 to 09/01/35 36,543 34,392
4.000%, 10/01/18 to 11/01/20 5,474 5,063
FNMA ARM
6.032%, 11/01/35 3,392 3,468
6.026%, 11/01/35 3,482 3,561
6.022%, 11/01/35 3,495 3,574
6.018%, 11/01/35 3,415 3,492
5.828%, 03/01/36 3,187 3,168
5.782%, 11/01/35 3,548 3,628
5.645%, 02/01/36 14,166 13,982
5.520%, 04/01/36 1,028 1,015
5.327%, 12/01/35 2,055 2,023
5.240%, 02/01/36 3,555 3,524
5.112%, 12/01/35 7,077 6,981
5.003%, 08/01/18 8,039 7,912
FNMA TBA
6.500%, 06/01/32 to 07/01/32 53,315 53,732
6.000%, 07/01/34 to 06/15/36 67,257 66,380
5.500%, 06/01/21 to 06/01/33 280,291 270,626
5.000%, 06/17/19 to 06/25/36 319,431 300,354
4.500%, 07/01/34 to 06/25/36 19,705 17,915
GNMA
9.500%, 12/15/20 25 27
7.000%, 04/15/26 to 09/15/34 9,336 9,651
6.500%, 06/15/11 to 07/20/35 28,614 29,125
6.000%, 03/15/14 to 02/15/35 87,798 87,599
5.500%, 04/15/14 to 12/15/32 533 525
5.000%, 05/15/33 to 11/15/35 55,291 52,607
3.942%, 08/16/25 1,471 1,416
3.750%, 05/20/34 6,617 6,402
GNMA TBA
6.500%, 05/01/34 31,124 31,678
6.000%, 06/01/33 30,000 29,906
----------
Total U.S. Government Mortgage-Backed Obligations
(Cost $1,547,666) ($ Thousands) 1,528,148
----------
CORPORATE OBLIGATIONS -- 31.2%
CONSUMER DISCRETIONARY -- 1.7%
CBS
5.625%, 08/15/12 550 536
COX Communications
7.875%, 08/15/09 440 464
Cisco Systems
5.500%, 02/22/16 2,190 2,112
Clear Channel Communications
4.250%, 05/15/09 1,040 992
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 93
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Comcast
6.500%, 01/15/15 $ 5,460 $ 5,515
5.900%, 03/15/16 2,440 2,358
5.650%, 06/15/35 1,599 1,351
Comcast Cable Communications
8.375%, 03/15/13 1,755 1,957
6.750%, 01/30/11 (J) 5,950 6,155
Continental Cablevision
9.000%, 09/01/08 710 758
DaimlerChrysler
8.500%, 01/18/31 825 946
7.300%, 01/15/12 1,995 2,093
6.500%, 11/15/13 955 962
5.875%, 03/15/11 1,940 1,919
DaimlerChrysler MTN
5.750%, 05/18/09 2,115 2,104
Ford Motor
9.980%, 02/15/47 3,000 2,408
7.500%, 08/01/26 2,100 1,465
7.450%, 07/16/31 (J) 2,770 2,008
7.125%, 11/15/25 4,585 3,187
6.375%, 02/01/29 5,500 3,699
General Motors (J)
8.375%, 07/15/33 2,940 2,231
7.700%, 04/15/16 13,030 9,805
Liberty Media (F)
6.410%, 06/17/06 2,281 2,288
May Department Stores
3.950%, 07/15/07 1,161 1,135
News America
6.400%, 12/15/35 (C) 1,650 1,522
6.200%, 12/15/34 (J) 1,815 1,641
Target
4.000%, 06/15/13 355 321
Time Warner
7.700%, 05/01/32 5,605 6,021
7.700%, 05/01/32 (J) 1,705 1,831
6.875%, 05/01/12 350 362
Time Warner Entertainment
8.375%, 07/15/33 2,325 2,621
Tulane University of
Louisiana (F)
5.970%, 11/15/12 1,714 1,720
Viacom (C)
6.250%, 04/30/16 4,297 4,188
5.750%, 04/30/11 951 938
5.750%, 04/30/11 576 568
----------
80,181
----------
CONSUMER STAPLES -- 0.4%
Altria Group
7.750%, 01/15/27 1,765 1,975
7.000%, 11/04/13 3,450 3,643
Delhaize America
9.000%, 04/15/31 1,160 1,300
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Kraft Foods
6.500%, 11/01/31 $ 915 $ 919
5.625%, 11/01/11 1,555 1,539
Kroger
7.500%, 04/01/31 420 444
Mohawk
5.750%, 01/15/11 3,140 3,092
Philip Morris Capital
7.500%, 07/16/09 1,155 1,199
RJ Reynolds Tobacco Holdings,
Ser B
7.875%, 05/15/09 1,630 1,679
Safeway
7.250%, 02/01/31 315 322
Tyson Foods
6.600%, 04/01/16 1,905 1,877
----------
17,989
----------
ENERGY -- 1.9%
Amerada Hess
7.300%, 08/15/31 6,643 7,082
Anadarko Finance, Ser B (J)
7.500%, 05/01/31 4,793 5,374
BP Canada Finance
3.625%, 01/15/09 2,740 2,621
Cameron Highway Oil Pipe, Ser A
5.860%, 12/15/17 2,005 1,936
Conoco Funding
7.250%, 10/15/31 885 998
6.950%, 04/15/29 7,425 8,121
6.350%, 10/15/11 (J) 430 444
ConocoPhillips (J)
5.900%, 10/15/32 1,315 1,267
4.750%, 10/15/12 2,500 2,383
Devon Energy
7.950%, 04/15/32 5,905 6,961
Duke Capital LLC
8.000%, 10/01/19 1,625 1,859
7.500%, 10/01/09 2,525 2,661
EMP Nacional del Petrole (C)
6.750%, 11/15/12 171 177
4.875%, 03/15/14 857 789
El Paso (C)
6.950%, 06/01/28 2,250 2,036
El Paso MTN (J)
7.800%, 08/01/31 2,100 2,050
7.750%, 01/15/32 3,375 3,307
Encana
6.500%, 08/15/34 896 899
Halliburton
8.750%, 02/15/21 2,395 2,960
5.500%, 10/15/10 1,185 1,179
International Lease Finance
5.000%, 04/15/10 434 423
- --------------------------------------------------------------------------------
94 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Kansas Gas & Electric
5.647%, 03/29/21 $ 2,500 $ 2,362
Kinder Morgan
5.700%, 01/05/16 845 752
5.350%, 01/05/11 (C) 839 789
Kinder Morgan Energy Partners
5.800%, 03/15/35 1,055 897
5.125%, 11/15/14 1,160 1,053
5.000%, 12/15/13 690 630
Magellan Midstream Partners
5.650%, 10/15/16 1,420 1,361
Mantis Reef II (C)
4.799%, 11/03/09 895 861
Pemex Project Funding Master Trust
7.375%, 12/15/14 370 382
6.625%, 06/15/35 1,575 1,429
6.625%, 06/15/35 (C) 2,909 2,640
6.210%, 06/15/06 (C) (F) 1,411 1,445
Petro-Canada
5.950%, 05/15/35 1,065 980
Petroleum Export (C)
5.265%, 06/15/11 594 578
4.623%, 06/15/10 521 511
Ras Laffan LNG II (C)
5.298%, 09/30/20 838 787
Sonat
7.625%, 07/15/11 2,880 2,934
Williams
8.750%, 03/15/32 2,840 3,181
7.750%, 06/15/31 (J) 740 753
Williams, Ser A (J)
7.500%, 01/15/31 310 308
XTO Energy
7.500%, 04/15/12 630 679
6.250%, 04/15/13 (J) 3,195 3,243
6.100%, 04/01/36 1,435 1,337
YPF Sociedad Anonima MTN, Ser A
7.750%, 08/27/07 3,000 3,045
----------
88,464
----------
FINANCIALS -- 21.0%
AMBAC Financial Group
5.950%, 12/05/35 1,390 1,289
ASIF Global Financing XIX (C)
4.900%, 01/17/13 1,150 1,097
Aegon (F)
5.585%, 07/15/06 1,651 1,408
Aiful (C)
5.000%, 08/10/10 2,620 2,496
Allstate Life Global Funding II
MTN (F) (K)
5.101%, 06/15/07 7,359 7,359
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
American General Finance
(C) (F) (K)
5.111%, 06/15/07 $ 23,197 $ 23,194
American General Finance MTN,
Ser F (K)
5.875%, 07/14/06 1,599 1,631
American International Group
(C) (J)
4.700%, 10/01/10 5,185 5,005
Apache Finance Canada
4.375%, 05/15/15 2,980 2,683
Arch Capital Group
7.350%, 05/01/34 1,915 1,944
Australia & New Zealand Banking
Group (F)
5.400%, 10/31/06 1,590 1,375
BAC Capital Trust
6.625%, 05/23/36 2,120 2,113
BB&T Capital Trust
6.750%, 06/07/36 1,585 1,579
BNP Paribas (F)
5.185%, 09/23/06 970 836
Banco Santander Chile
7.375%, 07/18/12 659 706
5.220%, 06/09/06 (C) (F) 864 867
Bank One
7.875%, 08/01/10 4,440 4,801
Bank of America
7.400%, 01/15/11 3,300 3,531
5.375%, 06/15/14 2,660 2,584
4.250%, 10/01/10 2,660 2,527
Bank of Ireland (F)
5.180%, 06/05/06 780 674
Bank of Nova Scotia (F)
5.125%, 08/23/06 640 552
Bank of Scotland (F)
5.563%, 11/30/06 320 277
Bankamerica Capital II
8.000%, 12/15/26 375 394
Banponce Trust I, Ser A
8.327%, 02/01/27 2,410 2,534
Barclays Bank (F)
6.278%, 12/15/34 631 566
4.938%, 07/02/49 320 280
Bear Stearns, EXL (F) (K)
5.091%, 06/15/07 28,476 28,476
Boeing Capital
6.500%, 02/15/12 340 352
Boeing Capital (J)
5.800%, 01/15/13 315 316
CIT Group MTN
4.750%, 08/15/08 2,160 2,124
Capital One Bank
4.875%, 05/15/08 2,400 2,369
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 95
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Capital One Financial
8.750%, 02/01/07 $ 3,411 $ 3,481
5.500%, 06/01/15 2,170 2,075
Caterpillar Financial Services
MTN, Ser F (F) (K)
5.148%, 07/10/06 7,999 7,999
Chase Capital I, Ser A
7.670%, 12/01/26 396 414
Chuo Mitsui Trust & Banking
(C) (F)
5.506%, 04/15/15 863 808
Citigroup
5.500%, 08/09/06 (J) 865 865
5.125%, 02/14/11 3,225 3,164
5.000%, 09/15/14 5,815 5,480
4.125%, 02/22/10 6,820 6,498
Citigroup Capital II
7.750%, 12/01/36 873 909
Corp Andina de Fomento
5.125%, 05/05/15 547 511
Countrywide
6.250%, 05/15/16 1,585 1,577
Countrywide Financial MTN,
Ser A (F) (K)
5.210%, 11/03/06 16,798 16,797
4.960%, 09/13/06 29,596 29,596
Countrywide Home Loans MTN,
Ser L
2.875%, 02/15/07 2,440 2,397
Credit Suisse First Boston (F)
5.125%, 06/19/06 535 441
Credit Suisse First Boston
London (C) (F) (L)
0.000%, 06/24/06 11,540 10,368
Credit Suisse First Boston USA
4.875%, 08/15/10 2,430 2,358
Danske Bank (C) (F)
5.914%, 06/19/06 4,478 4,406
Dekabank (F) (K)
5.108%, 05/18/07 29,596 29,590
Den Norske Bank (F)
5.500%, 11/29/49 100 89
5.125%, 08/27/06 640 516
Deutsche Bank Capital Funding
Trust (C) (F)
5.628%, 07/19/06 3,789 3,572
Developers Divers Realty+
5.375%, 10/15/12 2,405 2,317
Developers Divers Realty MTN+
7.000%, 03/19/07 1,100 1,112
Dresdner Funding Trust I (C)
8.151%, 06/30/31 988 1,117
Dryden Investor Trust (C) (H)
7.157%, 07/23/08 2,236 2,264
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
EOP Operating
7.750%, 11/15/07 $ 1,191 $ 1,226
Eksportfinans
5.500%, 05/25/16 4,250 4,229
Equity One+
3.875%, 04/15/09 7,100 6,712
Farmer Mac Guaranteed Notes
Trust
4.875%, 01/14/11 1,741 1,688
Farmers Exchange Capital (C)
7.200%, 07/15/48 3,502 3,384
7.050%, 07/15/28 1,815 1,783
Farmers Insurance Exchange
Capital (C)
8.625%, 05/01/24 4,518 5,128
First Chicago NBD Institutional
Capital (C)
7.950%, 12/01/26 187 196
First Industrial
7.600%, 07/15/28 3,400 3,533
First Industrial MTN
7.500%, 12/01/17 2,765 2,971
Ford Motor Credit
7.875%, 06/15/10 7,200 6,643
7.375%, 10/28/09 15,740 14,501
7.250%, 10/25/11 329 292
6.625%, 06/16/08 10,480 9,925
Ford Motor Credit MTN
7.750%, 02/15/07 4,435 4,441
Fund American
5.875%, 05/15/13 817 793
GE Capital Franchise MTN+
6.860%, 06/15/07 1,100 1,114
GE Global Insurance
7.000%, 02/15/26 1,170 1,234
General Electric Capital
4.875%, 03/04/15 1,435 1,349
General Electric Capital MTN,
Ser A
6.000%, 06/15/12 (J) 4,255 4,323
3.750%, 12/15/09 3,354 3,164
General Motors Acceptance
8.000%, 11/01/31 2,567 2,411
7.750%, 01/19/10 (J) 2,370 2,322
7.250%, 03/02/11 2,755 2,628
7.020%, 12/01/14 (F) 3,582 3,407
6.875%, 09/15/11 1,283 1,205
6.150%, 04/05/07 1,510 1,489
6.125%, 08/28/07 9,860 9,649
6.125%, 02/01/07 (J) 2,180 2,158
6.125%, 01/22/08 (J) 415 402
6.018%, 07/18/06 (F) 3,340 3,281
5.625%, 05/15/09 (J) 7,680 7,229
Glintnir Bank (C) (F) (K)
5.180%, 04/06/07 23,997 23,997
- --------------------------------------------------------------------------------
96 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Goldman Sachs Group
6.600%, 01/15/12 (J) $ 2,630 $ 2,729
6.450%, 05/01/36 1,080 1,044
5.350%, 01/15/16 1,245 1,177
5.125%, 01/15/15 4,980 4,674
Great Western Finance Trust II,
Ser A
8.206%, 02/01/27 494 520
HBOS (F)
5.911%, 11/30/15 2,600 2,504
5.375%, 11/29/49 1,883 1,791
HSBC Bank (F)
4.940%, 06/19/06 1,160 1,001
4.788%, 06/11/06 2,240 1,883
HSBC Finance
8.000%, 07/15/10 2,330 2,522
7.000%, 05/15/12 1,975 2,088
6.375%, 11/27/12 365 374
4.750%, 04/15/10 6,700 6,487
HSBC Holding
6.500%, 05/02/36 1,490 1,476
HVB Funding Trust III (C)
9.000%, 10/22/31 1,050 1,306
Highwoods Realty+
7.500%, 04/15/18 3,888 4,101
7.125%, 02/01/08 3,803 3,872
International Lease Finance MTN
5.450%, 03/24/11 3,295 3,252
5.428%, 08/24/06 (F) 1,585 1,586
Irish Life & Permanent MTN,
Ser X (F) (K)
5.109%, 06/21/07 21,277 21,273
Islandsbanki (C) (F) (K)
5.131%, 03/22/07 13,598 13,598
JPMorgan Capital Trust I
7.540%, 01/15/27 697 728
JPMorgan Capital Trust II
7.950%, 02/01/27 180 189
JPMorgan Chase
5.750%, 01/02/13 3,670 3,645
5.600%, 06/01/11 (J) 2,645 2,639
5.150%, 10/01/15 400 376
5.125%, 09/15/14 1,955 1,849
Jackson National Life Funding
(C) (F) (K)
5.080%, 05/02/07 35,196 35,196
Kaup Bank
6.600%, 12/28/15 3,000 2,791
Kaupthing Bank
7.125%, 05/19/16 12,000 12,025
5.740%, 04/12/11 (C) 6,870 6,870
Kaupthing Bank MTN (K) (F)
5.141%, 03/20/07 39,995 39,995
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Korea Development Bank
4.250%, 11/13/07 $ 560 $ 550
Landsbanki Islands (C) (F) (K)
5.161%, 03/16/07 30,396 30,396
Lazard Group
7.125%, 05/15/15 3,160 3,241
Lehman Brothers Holdings
7.000%, 02/01/08 2,765 2,826
Lehman Brothers Holdings MTN,
Ser H (F) (M)
0.000%, 11/30/06 3,736 3,457
Liberty Mutual Insurance (C)
7.875%, 10/15/26 655 704
Liberty Property+
7.750%, 04/15/09 930 976
6.375%, 08/15/12 282 287
Lloyds TSB Bank (F)
5.438%, 11/29/49 100 87
5.080%, 08/31/06 1,390 1,199
M&I Capital Trust, Cl A
7.650%, 12/01/26 1,489 1,554
MUFG Capital Finance
6.346%, 06/25/06 3,336 3,250
Mangrove Bay Passthru Trust
(C) (F)
6.102%, 07/15/13 1,729 1,652
Marsh & Mclennan
5.150%, 09/15/10 900 872
Mellon Capital I, Ser A
7.720%, 12/01/26 732 766
Merrill Lynch
7.430%, 09/01/22 5 5
6.050%, 05/16/16 4,220 4,201
Merrill Lynch MTN, Ser B
3.375%, 09/14/07 1,650 1,604
Merrill Lynch MTN, Ser C
4.400%, 06/12/06 (F) 2,420 2,398
4.250%, 02/08/10 4,395 4,194
Mizuho Finance
8.375%, 04/27/09 55 58
8.375%, 12/29/49 530 561
Morgan Stanley
5.375%, 10/15/15 2,630 2,509
5.300%, 03/01/13 2,500 2,429
4.000%, 01/15/10 6,055 5,707
Morgan Stanley EXL (F) (K)
5.190%, 07/03/07 5,599 5,599
Morgan Stanley EXL, Ser S
(F) (K)
5.150%, 07/03/07 7,999 7,998
NB Capital Trust IV
8.250%, 04/15/27 4,655 4,918
Natexis Banques (C) (F) (K)
5.060%, 06/15/07 15,598 15,595
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 97
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
National Australia Bank (F)
5.400%, 10/09/06 $ 780 $ 672
National Capital Trust II
(C) (F)
5.486%, 06/17/06 3,207 3,047
National Westminster Bank (F)
5.375%, 11/29/49 140 118
Nationwide Building Society
(C) (F) (K)
5.160%, 04/05/07 15,998 15,998
5.020%, 04/27/07 8,799 8,799
Nationwide Mutual Insurance (C)
8.250%, 12/01/31 2,000 2,298
6.600%, 04/15/34 5,263 4,909
Nordbank (C) (F) (K)
5.080%, 06/22/07 27,197 27,192
North Front Pass-Through Trust
(C) (F)
5.810%, 06/15/06 4,585 4,364
Northern Rock (C) (F) (K)
5.170%, 05/03/07 16,478 16,478
Odyssey Re Holdings
6.875%, 05/01/15 2,900 2,744
PF Export Receivables Master
Trust (C)
6.436%, 06/01/15 1,726 1,676
PNC Funding
5.250%, 11/15/15 2,185 2,075
PPL Montana
8.903%, 07/02/20 130 142
Pacific Life Global Funding
(C) (F) (K)
5.101%, 06/13/07 11,999 11,999
Paribas, Ser 1986 (F)
5.063%, 07/11/86 693 605
Pemex Finance
9.690%, 08/15/09 1,625 1,736
Phoenix
6.675%, 02/16/08 534 536
Power Receivables Financial
6.290%, 01/01/12 4,165 4,178
6.290%, 01/01/12 (C) 1,315 1,314
Premium Asset Trust,
Ser 2004-06 (C) (F) (K)
5.190%, 06/30/06 15,198 15,210
Premium Asset Trust,
Ser 2004-10 (C) (F) (K)
5.120%, 05/14/07 22,397 22,397
Prime Property Funding (C)
5.600%, 06/15/11 3,380 3,330
Prologis
5.500%, 04/01/12 2,150 2,099
5.250%, 11/15/10 (C)+ 750 732
Rabobank Capital Fund Trust II
(C) (F)
5.260%, 12/29/49 210 200
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Rabobank Capital Fund Trust III
(C) (F)
5.254%, 10/21/16 $ 887 $ 826
Residential Capital
6.500%, 04/17/13 (J) 2,115 2,068
6.335%, 06/29/07 1,595 1,600
6.125%, 11/21/08 3,495 3,457
6.000%, 02/22/11 1,630 1,581
Resona Bank (C) (F) (J)
5.850%, 09/29/49 3,608 3,438
Resona Preferred Global
Securites (C) (F)
7.191%, 07/30/06 2,590 2,628
Royal Bank of Canada (F)
5.118%, 06/21/06 1,010 859
Royal Bank of Scotland Group (F)
4.875%, 06/11/06 2,350 2,024
SLM
5.120%, 03/15/11 2,720 2,720
SLM, Ser CPI
5.110%, 04/01/09 4,180 4,052
SLM EXL, Ser S (F) (K)
5.081%, 06/15/07 17,598 17,598
Shinsei Finance Cayman
(C) (F) (J)
6.418%, 07/20/06 4,560 4,382
Sigma Finance MTN (K)
4.745%, 11/09/06 8,639 8,639
Simon Property Group+
6.375%, 11/15/07 1,631 1,646
6.100%, 05/01/16 2,425 2,407
5.750%, 05/01/12 2,200 2,184
4.875%, 03/18/10 886 857
Skandinav Enskilda Bank (K)
5.077%, 05/18/07 17,598 17,597
Societe Generale (F)
4.656%, 11/26/06 680 589
4.656%, 11/26/06 40 34
Spieker Properties+
7.650%, 12/15/10 1,910 2,050
Standard Chartered (F)
4.900%, 01/29/49 280 233
Standard Chartered I (F)
5.438%, 07/16/06 1,770 1,463
Standard Chartered II (F)
5.530%, 11/07/06 2,620 2,202
Sumitomo Mitsui Banking
8.150%, 08/01/08 398 414
8.150%, 08/29/49 469 488
Toll Road Investment
Partners II (C) (E)
5.455%, 02/15/45 5,853 697
Toyota Motor Credit
2.875%, 08/01/08 1,970 1,869
- --------------------------------------------------------------------------------
98 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Twin Reefs Pass-Through (C) (F)
6.080%, 06/10/06 $ 700 $ 700
UBS Funding
6.243%, 05/15/06 2,450 2,450
UFJ Finance Aruba
8.750%, 11/29/49 1,060 1,121
US Bancorp MTN, Ser N
3.125%, 03/15/08 1,520 1,461
Unumprovident Finance (C)
6.850%, 11/15/15 1,380 1,364
Wachovia
5.500%, 08/01/35 1,015 888
5.250%, 08/01/14 5,340 5,101
Wachovia Capital Trust III (F)
5.800%, 03/15/11 4,454 4,329
Washington+
5.350%, 05/01/15 695 653
Washington Mutual
4.000%, 01/15/09 1,183 1,138
Washington Mutual Bank
5.125%, 01/15/15 1,710 1,595
Wells Fargo
5.000%, 11/15/14 2,675 2,518
Westfield Capital (C)
4.375%, 11/15/10 3,900 3,688
Westpac Banking (F)
5.275%, 09/30/06 690 585
Westpac Capital Trust IV
(C) (F)
5.256%, 03/31/16 599 557
Woodbourne Pass-Through Trust
(C) (F)
5.949%, 04/08/49 2,500 2,509
Woori Bank (C) (F) (J)
6.125%, 06/08/06 1,048 1,039
XL Capital
6.375%, 11/15/24 1,365 1,289
ZFS Finance USA Trust II
(C) (F)
6.450%, 06/15/06 4,312 3,990
Zurich Capital Trust I (C)
8.376%, 06/01/37 10,237 10,890
----------
975,936
----------
INDUSTRIALS -- 1.7%
Air 2 US (C)
8.027%, 10/01/19 3,484 3,493
America West Airlines,
Ser 1999-1
7.930%, 01/02/19 5,111 5,392
American Airlines,
Ser 1999-1 (J)
7.024%, 10/15/09 2,320 2,384
American Airlines, Ser 2001-2
7.858%, 10/01/11 3,090 3,270
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Canadian National Railway
6.200%, 06/01/36 $ 1,645 $ 1,647
Cedar Brakes I LLC (C)
8.500%, 02/15/14 4,857 5,276
Cedar Brakes II LLC (C)
9.875%, 09/01/13 3,120 3,495
Continental Airlines, Ser 02-1
6.563%, 02/15/12 1,400 1,429
Continental Airlines,
Ser 1999-2
7.256%, 03/15/20 1,538 1,582
Continental Airlines, Ser 971A
7.461%, 04/01/15 1,910 1,856
Continental Airlines, Ser 974A
6.900%, 01/02/18 6,180 6,220
Continental Airlines, Ser AMBC
6.236%, 03/15/20 2,494 2,472
Delta Air Lines, Ser 2000-1,
Cl A2
7.570%, 11/18/10 1,273 1,276
7.111%, 09/18/11 (J) 147 146
Eastman Kodak (J)
7.250%, 11/15/13 2,445 2,371
Electronic Data Systems
7.125%, 10/15/09 2,990 3,110
General Electric
5.000%, 02/01/13 1,270 1,221
Lockheed Martin
8.500%, 12/01/29 675 849
MISC Capital (C)
5.000%, 07/01/09 729 714
Norfolk Southern
7.050%, 05/01/37 1,555 1,690
Northwest Airlines, Cl 1A-1
(I) (J)
7.041%, 04/01/22 1,579 1,575
Raytheon
6.000%, 12/15/10 18 18
5.500%, 11/15/12 40 39
5.375%, 04/01/13 405 394
Sociedad Quimica y Minera (C)
7.700%, 09/15/06 219 220
Stauffer Chemical (E)
5.833%, 04/15/18 860 415
5.704%, 04/15/17 350 180
5.202%, 04/15/10 300 240
Tyco International Group
7.000%, 06/15/28 2,045 2,122
6.875%, 01/15/29 (J) 6,320 6,462
6.375%, 10/15/11 5,830 5,969
6.000%, 11/15/13 1,945 1,926
United Technologies
6.500%, 06/01/09 1,670 1,718
5.400%, 05/01/35 670 603
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 99
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Waste Management
7.375%, 05/15/29 $ 895 $ 969
7.125%, 12/15/17 4,840 5,173
7.100%, 08/01/26 1,375 1,447
Xerox
6.400%, 03/15/16 2,190 2,091
----------
81,454
----------
HEALTH CARE -- 0.4%
Allergan (C)
5.750%, 04/01/16 1,600 1,571
Boston Scientific
7.000%, 11/15/35 1,075 1,066
HCA
5.750%, 03/15/14 6,320 5,775
Tenet Healthcare (J)
7.375%, 02/01/13 221 204
Teva Pharmaceutical Finance LLC
6.150%, 02/01/36 1,610 1,458
Unitedhealth Group
5.375%, 03/15/16 1,630 1,545
Wellpoint
5.850%, 01/15/36 1,040 940
5.250%, 01/15/16 677 638
Wyeth
5.500%, 02/15/16 3,945 3,782
----------
16,979
----------
MATERIALS -- 0.3%
Celulosa Arauco y Constitucion
5.625%, 04/20/15 1,220 1,146
Chemtura
6.875%, 06/01/16 1,875 1,819
Codelco (C)
5.625%, 09/21/35 520 465
4.750%, 10/15/14 900 824
International Paper
5.850%, 10/30/12 3,275 3,223
Weyerhaeuser
6.750%, 03/15/12 5,300 5,442
----------
12,919
----------
SOVEREIGN -- 0.8%
Republic of Chile
5.500%, 01/15/13 1,585 1,554
Russian Federation (G)
5.000%, 03/31/30 11,705 12,522
United Mexican States
5.625%, 01/15/17 2,770 2,576
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
United Mexican States MTN
8.300%, 08/15/31 $ 2,340 $ 2,656
United Mexican States MTN, Ser A
7.500%, 04/08/33 14,756 15,449
6.750%, 09/27/34 566 547
5.875%, 01/15/14 1,305 1,265
----------
36,569
----------
TELECOMMUNICATION SERVICES -- 1.4%
AT&T
9.750%, 11/15/31 273 315
7.300%, 11/15/11 875 935
6.800%, 05/15/36 1,055 1,049
6.150%, 09/15/34 1,575 1,450
5.100%, 09/15/14 5,775 5,395
America Movil
6.375%, 03/01/35 930 825
BellSouth
4.750%, 11/15/12 190 177
4.200%, 09/15/09 907 866
British Telecommunications PLC
8.875%, 12/15/30 885 1,089
8.375%, 12/15/10 1,310 1,445
Deutsche Telekom International
Finance
5.750%, 03/23/16 4,255 4,045
Embarq
7.082%, 06/01/16 1,924 1,926
6.738%, 06/01/13 530 531
Koninklije
8.000%, 10/01/10 5,100 5,440
New Cingular Wireless Services
8.125%, 05/01/12 2,960 3,282
Sprint Capital
8.750%, 03/15/32 (J) 650 791
8.375%, 03/15/12 (J) 5,300 5,910
7.625%, 01/30/11 1,185 1,269
6.125%, 11/15/08 2,420 2,449
6.000%, 01/15/07 4,290 4,300
4.780%, 08/17/06 (G) 3,125 3,120
Telecom Italia Capital
5.250%, 11/15/13 580 542
5.250%, 10/01/15 370 338
4.950%, 09/30/14 1,320 1,197
Verizon Communications
5.850%, 09/15/35 3,402 2,939
5.550%, 02/15/16 1,995 1,881
5.350%, 02/15/11 1,615 1,580
Verizon Global Funding
7.375%, 09/01/12 1,730 1,849
6.875%, 06/15/12 465 485
- --------------------------------------------------------------------------------
100 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Verizon Wireless Capital
5.375%, 12/15/06 $ 2,700 $ 2,698
Vodafone Group
5.500%, 06/15/11 5,895 5,786
----------
65,904
----------
UTILITIES -- 1.6%
Allegheny Energy Supply (C)
8.250%, 04/15/12 1,460 1,566
American Electric Power, Ser C
5.375%, 03/15/10 1,522 1,504
Arizona Public Services
8.000%, 12/30/15 850 902
Cleveland Electric Illumination
5.650%, 12/15/13 330 322
Cogentrix Energy (C)
8.750%, 10/15/08 6,200 6,690
DPL
6.875%, 09/01/11 2,970 3,081
Dominion Resources
5.700%, 09/17/12 3,560 3,502
4.750%, 12/15/10 740 708
4.125%, 02/15/08 250 244
Dominion Resources, Ser B (J)
5.950%, 06/15/35 1,010 911
Dominion Resources, Ser D
5.125%, 12/15/09 850 832
Duke Energy
6.250%, 01/15/12 460 469
5.625%, 11/30/12 (J) 4,605 4,583
Empresa Nacional Electric
8.625%, 08/01/15 2,415 2,688
Exelon (J)
5.625%, 06/15/35 4,860 4,273
FPL Energy American Wind (C)
6.639%, 06/20/23 5,159 5,213
FirstEnergy, Ser A (J)
5.500%, 11/15/06 2,050 2,048
FirstEnergy, Ser B (J)
6.450%, 11/15/11 762 778
FirstEnergy, Ser C
7.375%, 11/15/31 6,190 6,640
Hydro-Quebec, Ser JL
6.300%, 05/11/11 1,050 1,084
Midamerican Energy Holdings
6.125%, 04/01/36 1,070 1,009
Nevada Power (C)
5.950%, 03/15/16 1,455 1,396
Oncor Electric Delivery
6.375%, 01/15/15 1,510 1,526
Orcal Geothermal (C)
6.210%, 12/30/20 1,392 1,358
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Pacific Gas & Electric
6.050%, 03/01/34 $ 4,135 $ 3,901
Power Contract Financing (C)
6.256%, 02/01/10 708 710
Progress Energy
6.850%, 04/15/12 4,110 4,302
Public Service
7.875%, 10/01/12 2,215 2,462
Southern Capital Trust I
8.190%, 02/01/37 1,160 1,221
Swepco Capital Trust I (F)
5.250%, 10/01/43 4,465 4,390
TXU, Ser R
6.550%, 11/15/34 4,705 4,177
TXU Energy
7.000%, 03/15/13 460 475
-----------
74,965
-----------
Total Corporate Obligations
(Cost $1,465,055) ($ Thousands) 1,451,360
-----------
ASSET-BACKED SECURITIES -- 25.1%
AUTOMOTIVE -- 1.4%
AESOP Funding, Ser 2003-4A,
Cl A1 (C) (F)
5.311%, 06/20/06 6,000 6,002
AmeriCredit Automobile
Receivables Trust,
Ser 2003-DM, Cl A4
2.840%, 08/06/10 3,859 3,787
AmeriCredit Automobile
Receivables Trust,
Ser 2006-1, Cl A3
5.110%, 10/06/10 1,768 1,755
Capital Auto Receivables Asset
Trust, Ser 2004-1, Cl A3
2.000%, 11/15/07 772 765
Capital Auto Receivables Asset
Trust, Ser 2004-2, Cl A2
3.350%, 02/15/08 781 773
Capital Auto Receivables Asset
Trust, Ser 2006-1, Cl A3
5.030%, 10/15/09 5,459 5,418
Capital One Prime Auto
Receivables Trust,
Ser 2006-1, Cl A3
4.990%, 09/15/10 2,592 2,573
Capital One Prime Auto
Receivables, Ser 2006-1,
Cl A4
5.010%, 11/15/11 96 95
Chase Manhattan Auto Owner
Trust, Ser 2003-A, Cl A4
2.060%, 12/15/09 1,022 1,000
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 101
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Chase Manhattan Auto Owner
Trust, Ser 2004-A, Cl A3
2.080%, 05/15/08 $ 1,410 $ 1,398
Ford Credit Auto Owner Trust,
Ser 2005-A, Cl A2
3.080%, 07/15/07 8 8
Ford Credit Auto Owner Trust,
Ser 2005-A, Cl A3
3.480%, 11/15/08 10,666 10,550
Ford Credit Auto Owner Trust,
Ser 2005-B, Cl A3
4.170%, 01/15/09 1,657 1,640
Ford Credit Auto Owner Trust,
Ser 2006-A, Cl A4
5.070%, 12/15/10 4,326 4,281
Franklin Auto Trust,
Ser 2005-1, Cl A2
4.840%, 09/22/08 764 762
Harley Davidson Motorcycle
Trust, Ser 2006-2, Cl A2
5.350%, 03/15/13 1,068 1,068
Honda Auto Receivables Trust,
Ser 2003-5, Cl A3
2.300%, 10/18/07 436 433
Honda Auto Receivables Trust,
Ser 2004-2, Cl A3
3.300%, 06/16/08 4,520 4,477
Hyundai Auto Receivables Trust,
Ser 2005-A, Cl A4
4.180%, 02/15/12 1,435 1,385
Nissan Auto Lease Trust,
Ser 2005-A, Cl A2
4.610%, 01/15/08 1,588 1,584
Nissan Auto Receivables Owner
Trust, Ser 2005-B, Cl A2
3.750%, 09/17/07 484 483
Nissan Auto Receivables Owner
Trust, Ser 2006-A, Cl A3
4.740%, 09/15/09 207 205
Nissan Auto Receivables Owner
Trust, Ser 2006-A, Cl A4
4.770%, 07/15/11 1,029 1,010
Nissan Auto Receivables Owner
Trust, Ser 2006-B, Cl A3
5.160%, 02/15/10 1,151 1,146
Triad Auto Receivables Owner
Trust, Ser 2006-A, Cl A3
4.770%, 01/12/11 2,577 2,546
USAA Auto Owner Trust,
Ser 2005-3, Cl A2
4.520%, 06/16/08 1,557 1,550
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
USAA Auto Owner Trust,
Ser 2006-1, Cl A3
5.010%, 09/15/10 $ 1,249 $ 1,241
WFS Financial Owner Trust,
Ser 2003-1, Cl A4
2.740%, 09/20/10 416 411
WFS Financial Owner Trust,
Ser 2003-4, Cl A4
3.150%, 05/20/11 651 639
WFS Financial Owner Trust,
Ser 2005-3, Cl A3A
4.250%, 06/17/10 871 860
Wachovia Auto Owner Trust,
Ser 2005-B, Cl A2
4.820%, 02/20/09 2,669 2,660
----------
62,505
----------
CREDIT CARDS -- 0.7%
Advanta Business Card Master
Trust, Ser 2006-A1, Cl A1
5.150%, 10/20/10 1,563 1,558
Advanta Business Card Master
Trust, Ser 2006-A3, Cl A3
5.300%, 05/31/12 2,268 2,264
Chase Credit Card Master Trust,
Ser 2003-3, Cl A (F)
5.191%, 06/15/06 2,634 2,640
Chase Issuance Trust,
Ser 2006-A3, Cl A3 (F)
5.071%, 06/15/06 3,803 3,801
Citibank Credit Card Issuance
Trust, Ser 2004-A4, Cl A4
3.200%, 08/24/09 4,935 4,802
Citibank Credit Card Issuance
Trust, Ser 2005-B1, Cl B1
4.400%, 09/15/10 1,204 1,173
Citibank Credit Card Issuance
Trust, Ser 2006-A2, Cl A2
4.850%, 02/10/11 199 196
Citibank Credit Card Issuance
Trust, Ser 2006-A4, Cl A4
5.450%, 05/10/13 3,130 3,117
Citibank Credit Card Issuance
Trust, Ser 2006-A5, Cl A5
5.300%, 05/20/09 2,647 2,640
MBNA Credit Card Master Note
Trust, Ser 2003-A6, Cl A6
2.750%, 10/15/10 5,750 5,472
MBNA Credit Card Master Note
Trust, Ser 2004-A4, Cl A4
2.700%, 09/15/09 7,075 6,915
----------
34,578
----------
- --------------------------------------------------------------------------------
102 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MORTGAGE RELATED SECURITIES -- 22.3%
AFC Home Equity Loan Trust,
Ser 2000-1, Cl 2A (F)
5.321%, 06/25/06 $ 5,423 $ 5,434
Adjustable Rate Mortgage Trust,
Ser 2005-8, Cl 4A11 (F)
5.443%, 06/01/06 13,937 13,563
American Home Mortgage
Investment Trust, Ser 2005-4,
Cl 1A3 (F)
5.521%, 06/25/06 1,841 1,853
Ameriquest Mortgage Securities,
Ser 2004-R12, Cl A3 (F)
5.361%, 06/08/06 2,352 2,354
Amortizing Residential
Collateral Trust CMO,
Ser 2002-BC1, Cl A (F)
5.421%, 06/25/06 1,022 1,023
Asset-Backed Securities Home
Equity Loan Trust,
Ser 2001-HE3, Cl A1 (F)
5.621%, 06/15/06 587 588
Asset Securitization,
Ser 1996-D2, Cl A1
6.920%, 02/14/29 676 678
Atlantic City Electric
Transition Funding, Ser 2003-1
Cl A1
2.890%, 07/20/11 278 267
Banc of America Alternative Loan
Trust, Ser 2004-5, Cl 4A1
5.000%, 06/25/19 2,169 2,112
Banc of America Alternative Loan
Trust, Ser 2004-6, Cl 4A1
5.000%, 07/25/19 2,510 2,418
Banc of America Alternative Loan
Trust, Ser 2006-4, Cl 4CB1
6.500%, 05/25/36 346 345
Banc of America Commercial
Mortgage, Ser 2002-PB2, Cl B
6.309%, 06/11/35 1,075 1,105
Banc of America Commercial
Mortgage, Ser 2003-1, Cl A1
3.878%, 09/11/36 8,086 7,680
Banc of America Commercial
Mortgage, Ser 2004-6, Cl A3
4.512%, 12/10/42 5,620 5,310
Banc of America Commercial
Mortgage, Ser 2005-2, Cl A3
4.611%, 07/10/43 172 166
Banc of America Commercial
Mortgage, Ser 2005-3, Cl A4
4.668%, 07/10/43 12,400 11,412
Banc of America Commercial
Mortgage, Ser 2005-5, Cl A4
5.115%, 10/10/45 1,190 1,129
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Banc of America Funding,
Ser 2005-B, Cl 2A1 (F)
5.112%, 06/01/06 $ 7,222 $ 7,095
Banc of America Mortgage
Securities, Ser 2003-1,
Cl 2A4
5.000%, 02/25/18 5,017 4,817
Bank of America Commercial
Mortgage, Ser 2004-1, Cl A4
4.760%, 11/10/39 758 710
Bear Stearns Commercial Mortgage
Securities, Ser 2004-ESA, Cl B
4.888%, 05/14/16 588 577
Bear Stearns Commercial Mortgage
Securities, Ser 2004-PWR5,
Cl A3
4.565%, 07/11/42 115 109
Bear Stearns Commercial Mortgage
Securities, Ser 2004-WPR6,
Cl A6
4.825%, 11/11/41 5,995 5,597
Bear Stearns Commercial Mortgage
Securities, Ser 2005-PWR8,
Cl AAB
4.581%, 06/11/41 2,777 2,600
Bear Stearns Commercial Mortgage
Securities, Ser 2006-T22,
Cl AM (F)
5.467%, 06/01/06 2,601 2,536
Bear Stearns Commercial
Mortgage, Ser 2004-ESA, Cl C
4.937%, 05/14/16 4,343 4,268
Bear Stearns, Ser 2006-AC1,
Cl 1A1 (G)
5.750%, 02/25/36 4,158 4,064
CIGNA CBO, Ser 1996-1, Cl A2
(C) (G) (H)
6.460%, 11/15/08 4,987 5,031
Capital One Multi-Asset
Execution Trust, Ser 2003-C4,
Cl C4
6.000%, 08/15/13 2,727 2,759
Capital One Multi-Asset
Execution Trust, Ser 2005-A7,
Cl A7
4.700%, 06/15/15 855 818
Capital One Multi-Asset
Execution Trust, Ser 2006-A6,
Cl A6
5.300%, 02/18/14 2,636 2,619
Carrington Mortgage Loan Trust,
Ser 2005-NC3, Cl A1B (F)
5.241%, 06/27/06 2,683 2,684
Carrington Mortgage Loan Trust,
Ser 2005-OPT2, Cl A1B (F)
5.231%, 06/27/06 1,216 1,216
Chase Funding Mortgage Loan,
Ser 2002-1, Cl 2A2 (F)
5.331%, 06/25/06 2,522 2,525
Chase Manhattan Commercial
Mortgage Trust, Ser 99-C2,
Cl A2
7.546%, 11/17/32 340 357
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 103
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Chase Mortgage Finance,
Ser 2005-A1, Cl 2A3 (F)
5.252%, 06/01/06 $ 13,166 $ 12,836
Cheyne High Grade, Ser 2004-1A,
Cl AM1 (K) (F)
5.180%, 11/10/06 7,999 7,999
Commercial Mortgage Pass Through,
Ser 2006-C7, Cl A1
5.540%, 06/10/46 2,632 2,639
Commercial Mortgage Pass-Through
Certificate, Ser 1999-1,
Cl E (F)
7.226%, 06/01/06 2,163 2,234
Commercial Mortgage Pass-Through
Certificate, Ser 2000-C1,
Cl C
7.706%, 08/15/33 637 683
Commercial Mortgage Pass-Through
Certificate, Ser 2005-C6,
Cl A3
5.144%, 06/10/44 12,600 12,193
Commodore, Ser 2003-2A, Cl A1MM
(F) (K)
4.970%, 09/12/06 7,359 7,359
Conseco Finance Home Loan Trust,
Ser 2000-E, Cl M1
8.130%, 08/15/31 4,203 4,353
Conseco Finance Securitization,
Ser 2000-4, Cl A6
8.310%, 05/01/32 950 772
Contimortgage Home Equity Loan
Trust, Ser 1997-2, Cl A9
7.090%, 04/15/28 114 113
Contimortgage Home Equity Loan
Trust, Ser 1997-5, Cl A6
6.870%, 03/15/24 324 321
Countrywide Alternative Loan
Trust, Ser 2004-27CB, Cl A1
6.000%, 12/25/34 4,343 4,288
Countrywide Alternative Loan
Trust, Ser 2004-J1, Cl 1A1
6.000%, 02/25/34 1,225 1,214
Countrywide Alternative Loan
Trust, Ser 2004-J6, Cl 2A1
6.500%, 11/25/31 4,284 4,269
Countrywide Alternative Loan
Trust, Ser 2005-27, Cl 2A1 (F)
5.361%, 06/01/06 7,567 7,567
Countrywide Alternative Loan
Trust, Ser 2005-27, Cl 3A2 (F)
5.111%, 06/01/06 5,241 5,259
Countrywide Alternative Loan
Trust, Ser 2005-56, Cl 4A1 (F)
5.391%, 06/25/06 17,096 17,151
Countrywide Alternative Loan
Trust, Ser 2005-59, Cl 1A1 (F)
5.411%, 06/20/06 18,795 18,867
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Alternative Loan
Trust, Ser 2005-59, Cl 2X, IO
(E) (H)
0.950%, 11/20/35 $ 38,868 $ 1,555
Countrywide Alternative Loan
Trust, Ser 2005-72, Cl A1 (F)
5.351%, 06/27/06 8,074 8,082
Countrywide Alternative Loan
Trust, Ser 2005-J4, Cl 2A1B (F)
5.201%, 06/27/06 712 712
Countrywide Alternative Loan
Trust, Ser 2006-7CB, Cl 1A9
6.000%, 05/25/36 668 662
Countrywide Alternative Loan
Trust, Ser 2006-OA2,
Cl X1P IO (H)
1.030%, 05/20/46 52,500 2,692
Countrywide Asset-Backed
Certificates, Ser 2001-BC3,
Cl A (F)
5.561%, 06/25/06 143 143
Countrywide Asset-Backed
Certificates, Ser 2003-C2,
Cl 2A1 (F)
5.381%, 06/25/06 115 115
Countrywide Asset-Backed
Certificates, Ser 2004-3N,
Cl NOTE (C) (F)
5.281%, 06/25/06 35 35
Countrywide Asset-Backed
Certificates, Ser 2005-11,
Cl AF1 (F)
5.261%, 06/25/06 9,267 9,270
Countrywide Asset-Backed
Certificates, Ser 2005-12,
Cl 1A1 (F)
5.231%, 06/27/06 1,536 1,536
Countrywide Asset-Backed
Certificates, Ser 2005-BC4,
Cl 2A1 (F)
5.201%, 06/27/06 940 940
Countrywide Asset-Backed
Certificates, Ser 2006-S1,
Cl A2
5.549%, 08/25/21 4,095 4,068
Countrywide Home Equity Loan
Trust, Ser 2004-K, Cl A2 (F)
5.381%, 06/15/06 3,241 3,248
Countrywide Home Equity Loan
Trust, Ser 2005-F, Cl 2A (F)
5.321%, 06/15/06 13,596 13,602
Countrywide Home Equity Loan
Trust, Ser 2005-H, Cl 2A (F)
5.321%, 06/15/06 12,389 12,407
Countrywide Home Loans,
Ser 2005-R3, Cl AF (F)
5.481%, 06/25/06 14,808 14,832
- --------------------------------------------------------------------------------
104 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Credit Suisse First Boston
Mortgage Securities,
Ser 1998-C2, Cl A2
6.300%, 11/11/30 $ 3,648 $ 3,700
Credit Suisse First Boston
Mortgage Securities,
Ser 2001-CP4, Cl A4
6.180%, 12/15/35 4,517 4,618
Credit Suisse First Boston
Mortgage Securities,
Ser 2001-MH29, Cl A (G)
5.600%, 09/25/31 1,250 1,174
Credit Suisse First Boston
Mortgage Securities,
Ser 2002-CKS4, Cl A2
5.183%, 11/15/36 5,213 5,079
Credit Suisse First Boston
Mortgage Securities,
Ser 2002-CP3, Cl A3
5.603%, 07/15/35 2,563 2,550
Credit Suisse First Boston
Mortgage Securities,
Ser 2003-C4, Cl A4
5.137%, 08/15/36 4,567 4,397
Credit Suisse First Boston
Mortgage Securities,
Ser 2003-CK2, Cl A4
4.801%, 03/15/36 119 113
Credit Suisse First Boston
Mortgage Securities,
Ser 2004-C1, Cl A3
4.321%, 01/15/37 78 74
Credit Suisse First Boston
Mortgage Securities,
Ser 2004-C2, Cl A1
3.819%, 05/15/36 11,652 10,936
Credit Suisse First Boston
Mortgage Securities,
Ser 2004-C2, Cl A2 (F)
5.416%, 06/01/06 9,471 9,222
Credit Suisse First Boston,
Ser 2002-CKP1, Cl A3
6.439%, 12/15/35 2,136 2,209
Criimi Mae Commercial Mortgage,
Ser 1998-C1, Cl A2 (C)
7.000%, 06/02/33 2,726 2,754
DB Master Finance, Ser 2006-1,
Cl A2
5.779%, 06/20/31 2,132 2,132
DLJ Commercial Mortgage,
Ser 1999-CG2, Cl A1B
7.300%, 06/10/32 3,600 3,760
DSLA Mortgage Loan Trust,
Ser 2004-AR2, Cl A2B (F)
5.480%, 06/19/06 8,393 8,429
Delta Funding Home Equity Loan,
Ser 1999-3, Cl A1A (F)
5.491%, 06/15/06 549 549
Deutsche Mortgage and Asset
Receivables, Ser 1998-C1,
Cl A2
6.538%, 06/15/31 5,399 5,458
Duke Funding, Ser 2004-6B,
Cl A1S1 (F) (K)
5.093%, 04/09/07 11,998 11,998
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
EMC Mortgage Loan Trust,
Ser 2002-AA, Cl A1 (C) (F)
5.551%, 06/25/06 $ 1,828 $ 1,838
EQCC Trust, Ser 2002-1,
Cl 2A (F)
5.381%, 06/25/06 466 466
Equivantage Home Equity Loan
Trust, Ser 1997-2, Cl A3 (F)
7.775%, 06/01/06 566 564
First Horizon, Ser 2004-HE2,
Cl A (F)
5.301%, 06/25/06 3,269 3,271
First Union National Bank,
Ser 2001-C4, Cl B
6.417%, 12/12/33 909 940
Fleet Home Equity Trust,
Ser 2001-1, Cl A (F)
5.291%, 06/01/06 314 314
GE Capital Commercial Mortgage,
Ser 2001-3, Cl A1
5.560%, 06/10/38 207 206
GE Capital Commercial Mortgage,
Ser 2001-3, Cl A2
6.070%, 06/10/38 3,945 4,021
GE Capital Commercial Mortgage,
Ser 2002-2A, Cl A3
5.349%, 08/11/36 2,303 2,263
GE Capital Commercial Mortgage,
Ser 2002-3A, Cl A2
4.996%, 12/10/37 2,314 2,234
GE Capital Commercial Mortgage,
Ser 2003-C2, Cl A4
5.145%, 07/10/37 3,135 3,027
GE Capital Commercial Mortgage,
Ser 2004-C3, Cl A4 (F)
5.189%, 06/01/06 5,804 5,577
GE Capital Mortgage Services,
Ser 1997-HE3, Cl A6
6.720%, 10/25/27 280 279
GMAC Commercial Mortgage
Securities, Ser 2000-C2, Cl A2
7.455%, 08/16/33 3,393 3,584
GMAC Commercial Mortgage
Securities, Ser 2002-C2, Cl A3
5.713%, 10/15/38 656 657
GMAC Commercial Mortgage
Securities, Ser 2004-C1, Cl A1
3.118%, 03/10/38 779 753
GMAC Commercial Mortgage
Securities, Ser 2004-C2, Cl A1
3.896%, 08/10/38 340 330
GMAC Commercial Mortgage
Securities, Ser 2006-C1, Cl A4
5.238%, 06/01/06 2,640 2,522
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 105
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GMAC Commercial Mortgage
Securities, Ser2003-C3, Cl A4
5.023%, 04/10/40 $ 4,236 $ 4,042
GMAC Mortgage Loan Trust,
Ser 2004-HE4, Cl A1 (F)
5.361%, 06/25/06 17,467 17,491
GS Mortgage Securities,
Ser 1998-GLII, Cl A2
6.562%, 04/13/31 5,672 5,757
GS Mortgage Securities,
Ser 2005-GG4, Cl AABA
4.680%, 07/10/39 5,800 5,486
GS Mortgage Securities,
Ser 2006-C1, Cl B
6.970%, 10/18/30 868 892
GSAMP Trust, Ser 2003-SEA,
Cl A1 (F)
5.481%, 06/25/06 3,613 3,634
Goldman Sachs Mortgage
Securities, Ser 1998-1,
Cl A (C)
8.000%, 09/19/27 9 10
Green Tree Financial,
Ser 1996-5, Cl A6
7.750%, 07/15/27 1,191 1,230
Green Tree Financial,
Ser 1998-6, Cl A6
6.270%, 06/01/30 272 272
Harborview Mortgage Loan Trust,
Ser 2005-01, Cl X, IO (F) (H)
0.987%, 06/20/06 31,889 698
Harborview Mortgage Loan Trust,
Ser 2005-10, Cl X, IO (F) (H)
1.109%, 06/20/06 45,900 1,320
Harborview Mortgage Loan Trust,
Ser 2005-12, Cl X2B, IO
(F) (H)
0.900%, 06/01/06 41,485 1,245
Heller Financial Commercial
Mortgage, Ser 1999-PH1,
Cl C (F)
7.052%, 06/15/06 239 247
Home Equity Mortgage Trust,
Ser 2005-4, Cl A2A (F)
5.191%, 01/25/36 5,810 5,810
IMPAC CMB Trust, Ser 2003-12,
Cl A1 (G)
5.461%, 12/25/33 2,387 2,388
Indymac Index Mortgage Loan
Trust, Ser 2004-AR12, Cl AX2,
IO (F) (H)
0.930%, 06/01/06 31,533 759
JPMorgan Chase Commercial
Mortgage Security, Ser 2004-C3,
Cl A1
4.200%, 07/12/35 91 87
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
JPMorgan Chase Commercial
Mortgage Security, Ser 2004-C3,
Cl A4
4.657%, 01/15/42 $ 4,000 $ 3,780
JPMorgan Chase Commercial
Mortgage, Ser 2003-CB7,
Cl A4 (F)
4.879%, 06/12/06 2,875 2,722
JPMorgan Chase Commercial
Mortgage, Ser 2004-C3, Cl A2
4.223%, 01/15/42 12,948 12,402
JPMorgan Chase Commercial
Mortgage, Ser 2005-CB12, Cl A4
4.895%, 09/12/37 530 495
JPMorgan Chase Commercial
Mortgage, Ser 2005-LDP4,
Cl A4 (F)
4.918%, 06/01/06 6,200 5,793
JPMorgan Chase Commercial
Mortgage, Ser 2006-CB14,
Cl A3B
5.671%, 12/12/44 2,536 2,489
JPMorgan Mortgage Aquisition,
Ser 2005-OPT2, Cl A3 (F)
5.321%, 06/25/06 2,682 2,688
JPMorgan Mortgage Trust,
Ser 2004-A5, Cl 4A2
4.850%, 12/25/34 8,778 8,597
JPMorgan Mortgage Trust,
Ser 2004-A5, Cl 4A4 (F)
4.849%, 06/01/06 11,500 10,925
JPMorgan Mortgage Trust,
Ser 2005-A3, Cl 11A2 (F)
4.511%, 06/25/06 13,065 12,220
JPMorgan Mortgage Trust,
Ser 2006-A2, Cl 2A2 (F)
5.773%, 06/01/06 13,400 13,208
JPMorgan Mortgage, Ser 2006-A3,
Cl 3A4 (F)
5.768%, 06/01/06 14,500 14,325
LB Commercial Conduit Mortgage,
Ser 1999-C2, Cl A1
7.105%, 10/15/32 1,198 1,202
LB Commercial Mortgage Trust,
Ser 1999-C2, Cl B
7.425%, 10/15/32 361 380
LB-UBS Commercial Mortgage Trust,
Ser 2003-C7, Cl A4
4.931%, 09/15/35 2,790 2,660
LB-UBS Commercial Mortgage Trust,
Ser 2005-C2, Cl A4
4.998%, 04/15/30 123 119
- --------------------------------------------------------------------------------
106 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lehman XS Trust, Ser 2005-5N,
Cl 1A1 (F)
5.381%, 06/01/06 $ 14,432 $ 14,306
Lehman XS Trust, Ser 2005-7N,
Cl 1A1B (F)
5.381%, 06/25/06 8,579 8,617
Long Beach Mortgage Loan Trust,
Ser 2006-4, Cl 2A1 (F)
5.090%, 06/25/06 18,299 18,311
MLCC Mortgage Investors,
Ser 2004-B, Cl A3 (F)
6.075%, 06/01/06 2,335 2,361
Master Adjustable Rate Mortgages
Trust, Ser 2004-13,
Cl 3A7A (F)
3.787%, 06/01/06 11,650 11,001
Master Alternative Loans Trust,
Ser 2004-4, Cl 1A1
5.500%, 05/25/34 3,621 3,515
Master Asset-Backed Securities
Trust, Ser 2004-FRE1,
Cl A2 (F)
5.421%, 06/25/06 414 414
Master Asset-Backed Securities
Trust, Ser 2004-OPT2,
Cl A2 (F)
5.431%, 06/26/06 296 297
Master Asset-Backed Securities
Trust, Ser 2005-AB1,
Cl A1B (F)
5.143%, 06/01/06 1,934 1,921
Master Reperforming Loan Trust,
Ser 2005-1, Cl 1A1
6.000%, 08/25/34 6,524 6,458
Master Reperforming Loan Trust,
Ser 2006-1, Cl 1A1F (F)
5.441%, 06/25/06 2,838 2,833
Master Seasoned Securities
Trust, Ser 2005-2, Cl 2A1 (F)
5.481%, 06/25/06 1,615 1,616
Merrill Lynch Mortgage Investors,
Ser 1998-C1, Cl A1
6.310%, 11/15/26 84 84
Merrill Lynch Mortgage Investors,
Ser 2004-A1, Cl 4A (F)
5.347%, 06/01/06 8,834 8,568
Merrill Lynch Mortgage Investors,
Ser 2005-SD1, Cl A1 (F)
5.261%, 06/25/06 1,497 1,497
Merrill Lynch Mortgage Investors,
Ser 2006-WMC2, Cl A2B (F)
5.464%, 06/01/06 699 695
Merrill Lynch Mortgage Investors,
Ser 2006-WMC2, Cl A2D (F)
5.895%, 06/25/06 5,789 5,700
Merrill Lynch Mortgage Trust,
Ser 2004-KEY2, Cl A4 (F)
4.864%, 06/01/06 3,106 2,899
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Merrill Lynch Mortgage Trust,
Ser 2004-MKB1, Cl A3 (F)
4.892%, 06/01/06 $ 151 $ 145
Merrill Lynch Mortgage Trust,
Ser 2005-CIP1, Cl AM (F)
5.107%, 06/01/06 1,555 1,469
Merrill Lynch Mortgage Trust,
Ser 2005-CKI1, Cl A6 (F)
5.245%, 06/01/06 2,044 1,967
Merrill Lynch Mortgage Trust,
Ser 2005-MCP1, Cl A4 (F)
4.747%, 06/01/06 4,080 3,771
Merrill Lynch Mortgage Trust,
Ser 2005-MCP1, Cl AM (F)
4.805%, 06/01/06 2,780 2,571
Merrill Lynch Mortgage Trust,
Ser 2006-C1, Cl AM (F)
5.844%, 06/01/06 2,534 2,517
Merrill Lynch Mortgage Trust,
Ser 2006-C1, Cl B (F)
5.844%, 06/01/06 2,890 2,854
Metropolitan Asset Funding,
Ser 1997-B, Cl A1D (C)
7.130%, 03/20/12 369 368
Mid-State Trust, Ser 11, Cl A1
4.864%, 07/15/38 3,768 3,521
Morgan Stanley Capital I,
Ser 2003-T11, Cl A4
5.150%, 06/13/41 9,924 9,566
Morgan Stanley Capital I,
Ser 2004-HQ4, Cl A2
3.920%, 04/14/40 1,380 1,340
Morgan Stanley Capital I,
Ser 2004-WMC2, Cl A2 (F)
5.441%, 06/27/06 1,142 1,142
Morgan Stanley Capital I,
Ser 2005-HQ6, Cl A4A (J)
4.989%, 08/13/42 7,269 6,845
Morgan Stanley Capital I,
Ser 2006-NC1, Cl A1 (F)
5.161%, 06/27/06 3,319 3,320
Morgan Stanley Dean Witter
Capital, Ser 2000-LIF2, Cl A2
7.200%, 10/15/33 5,075 5,332
Morgan Stanley Dean Witter
Capital, Ser 2000-LIFE, Cl A2
7.570%, 11/15/36 3,422 3,606
Morgan Stanley, Ser 2006-2,
Cl A2 (F)
5.191%, 06/25/06 1,137 1,138
Nationslink Funding, Ser 1999-1,
Cl 2
6.316%, 01/20/31 6,320 6,407
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 107
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
New Century Home Equity Loan
Trust, Ser 2005-B, Cl A2A (F)
5.201%, 06/25/06 $ 11,911 $ 11,913
Newcastle CDO Limited,
Ser 2005-6A, Cl IM1 (F) (K)
5.142%, 04/24/07 3,200 3,198
Nomura Asset Securities,
Ser 1998-D6, Cl A1C
6.690%, 03/15/30 166 174
Northstar Education Finance,
Ser 2005-1, Cl A5
4.740%, 01/01/43 1,788 1,753
Novastar Home Equity Loan,
Ser 1998-2, Cl A2 (F)
5.316%, 06/25/06 343 343
Novastar Home Equity Loan,
Ser 2005-2, Cl A2B (F)
5.231%, 06/27/06 1,218 1,218
Novastar Home Equity Loan,
Ser 2005-4, Cl A2A (F)
5.171%, 06/25/06 4,872 4,873
Oakwood Mortgage Investors,
Ser 2002-C, Cl A, IO (H)
6.000%, 08/15/10 7,856 1,274
Oncor Electric Delivery
Transition Bond, Ser 2003-1,
Cl A2
4.030%, 02/15/12 3,130 3,039
Option One Mortgage Loan Trust,
Ser 2001-4, Cl A (F)
5.681%, 06/25/06 771 772
Option One Mortgage Loan Trust,
Ser 2006-1, Cl 2A1 (F)
5.151%, 06/27/06 2,218 2,218
Origen Manufactured Housing,
Ser 2002-A, Cl A1 (F)
5.321%, 06/15/06 93 93
Ownit Mortgage Loan Asset-Backed
Securities Trust, Ser 2006-1,
Cl AF1 (G)
5.424%, 12/25/36 1,290 1,282
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AM6 (F) (K)
5.111%, 02/25/35 9,776 9,776
RMAC, Ser 2004-NS3A, Cl A1
(F) (K)
5.080%, 09/12/06 2,863 2,863
Renaissance Home Equity Loan
Trust, Ser 2006-1, Cl AF3 (F)
5.608%, 06/01/06 998 991
Residential Accredit Loans,
Ser 2006-Q01, Cl 3A2 (F)
5.411%, 06/27/06 3,936 3,944
Residential Asset Mortgage
Products, Ser 2003-RS3,
Cl AII (F)
5.441%, 06/25/06 341 341
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Residential Asset Mortgage
Products, Ser 2004-SL1, Cl A8
6.500%, 11/25/31 $ 3,127 $ 3,150
Residential Asset Mortgage
Products, Ser 2004-SL3, Cl A2
6.500%, 12/25/31 5,188 5,183
Residential Asset Securities,
Ser 2002-KS7, Cl A2 (F)
5.451%, 06/25/06 2,167 2,168
Residential Asset Securitization
Trust, Ser 2004-IP2, Cl 2A1
5.239%, 12/25/34 5,401 5,347
Residential Funding Mortgage
Securities, Ser 2000-HI1,
Cl AI7 (G)
8.290%, 02/25/25 3,631 3,634
Residential Funding Mortgage
Securities, Ser 2005-HS1,
Cl AI1 (F)
5.201%, 06/25/06 12,198 12,169
SLM Student Loan Trust,
Ser 2001-1, Cl A6
3.460%, 07/25/39 1,161 1,102
Salomon Brothers Mortgage
Securities VII, Ser 2001-C2,
Cl A3
6.499%, 10/13/11 2,570 2,661
Saturn Ventures II (F) (K)
5.129%, 08/07/06 14,929 14,929
Securitized Asset Backed
Receivables LLC, Ser 2005-FR4,
Cl A3 (F)
5.281%, 06/25/06 5,152 5,157
Specialty Underwriting &
Residential Finance,
Ser 2005-BC4, Cl A2A (F)
5.191%, 06/25/06 2,294 2,295
Start, Ser 2003-1, Cl X (F)
4.130%, 07/21/06 5,104 5,066
Start, Ser 2003-2, Cl X (F)
4.600%, 07/21/06 2,352 2,352
Structured Adjustable Rate
Mortgage Loan, Ser 2005-19XS,
Cl 1A1 (F)
5.401%, 06/26/06 19,081 19,181
Structured Asset Investment Loan
Trust, Ser 2005-11, Cl A4 (F)
5.171%, 06/25/06 2,365 2,365
Structured Asset Investment Loan
Trust, Ser 2005-11, Cl A6 (F)
5.301%, 06/25/06 1,293 1,295
Structured Asset Investment Loan
Trust, Ser 2005-5, Cl A2 (F)
5.171%, 06/27/06 209 209
- --------------------------------------------------------------------------------
108 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
TIAA Real Estate CDO,
Ser 2003 1A, Cl A1MM (K) (F)
5.030%, 06/28/07 $ 10,330 $ 10,330
TMS SBA Loan Trust, Ser 1999-1,
Cl A (F)
5.800%, 06/15/06 262 260
Terwin Mortgage Trust,
Ser 2005-9HGS, Cl A1 (C) (F)
4.000%, 06/01/06 7,685 7,585
Thornburg Mortgage Securities
Trust, Ser 2005-3, Cl 2A1 (F)
5.321%, 06/25/06 16,177 16,171
Thornburg Mortgage Securities
Trust, Ser 2006-1, Cl A3 (F)
5.251%, 06/01/06 26,466 26,406
WMALT Mortgage Pass Through,
Ser 2006-AR4, Cl DA (F)
4.981%, 06/01/06 6,000 6,000
WMALT Mortgage Pass Through,
Ser 2006-2, Cl 2CB
6.500%, 03/25/36 3 3
Wachovia Bank Commercial
Mortgage Trust, Ser 2003-C6,
Cl A3
4.957%, 08/15/35 840 815
Wachovia Bank Commercial
Mortgage Trust, Ser 2003-C8,
Cl A3
4.445%, 11/15/35 931 889
Wachovia Bank Commercial
Mortgage Trust, Ser 2004-C10,
Cl A4
4.748%, 02/15/41 2,117 1,976
Wachovia Bank Commercial
Mortgage Trust, Ser 2004-C15,
Cl A4
4.803%, 10/15/41 2,620 2,439
Wachovia Bank Commercial
Mortgage Trust, Ser 2005-C21,
Cl A4 (F)
5.196%, 06/01/06 1,881 1,805
Washington Mutual Asset
Securities, Ser 2005-C1A,
Cl AJ (C) (F)
5.190%, 06/25/06 2,220 2,161
Washington Mutual Mortgage,
Ser 2003-MS1, Cl 1A
5.000%, 02/25/18 1,791 1,716
Washington Mutual Mortgage,
Ser 2003-MS2, Cl 3A1
5.000%, 03/25/18 6,111 5,863
Washington Mutual, Ser 2002-AR18,
Cl A (F)
4.124%, 06/01/06 3,024 3,007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Washington Mutual, Ser 2005-AR13,
Cl A1A1 (F)
5.371%, 06/25/06 $ 12,581 $ 12,654
Washington Mutual, Ser 2005-AR15,
Cl A1A2 (F)
5.361%, 06/25/06 16,645 16,695
Washington Mutual, Ser 2005-AR16,
Cl 1A4A (F)
5.121%, 06/25/06 13,585 13,133
Washington Mutual, Ser 2005-AR18,
Cl 3A1 (F)
5.627%, 06/01/06 5,836 5,680
Washington Mutual, Ser 2005-Ar19,
Cls A1A2 (F)
5.371%, 06/25/06 20,812 20,878
Washington Mutual, Ser 2006-1,
Cl 3A2
5.750%, 02/25/36 7,229 7,138
Washington Mutual, Ser 2006-AR1,
Cl 1A1B (F)
5.081%, 06/01/06 6,875 6,866
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2004-S,
Cl A7 (F)
3.540%, 06/01/06 280 266
Wells Fargo, Ser 2004-H,
Cl A-1 (F)
4.527%, 06/01/06 6,970 6,710
Wells Fargo, Ser 2005-AR14,
Cl A1 (F)
5.388%, 06/01/06 1,585 1,580
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMD (F) (K)
4.930%, 06/15/06 3,999 3,999
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMME (F) (K)
4.930%, 09/15/06 2,400 2,400
Witherspoon CDO Funding (F) (K)
5.091%, 09/15/06 11,199 11,199
----------
1,033,130
----------
OTHER ASSET-BACKED SECURITIES -- 0.7%
Comed Transitional Funding Trust,
Ser 1998-1, Cl A7
5.740%, 12/25/10 982 986
Credit-Based Asset Servicing,
Ser 2006-CB2, Cl AF2
5.501%, 12/25/36 1,999 1,997
Embarcadero Aircraft, Ser 2000-A,
Cl A1 (C) (F)
5.561%, 06/15/06 4,465 3,550
Encore Credit Receivables Trust,
Ser 2005-3, Cl 2A1 (F)
5.201%, 06/26/06 1,524 1,525
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 109
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MSDWCC Heloc Trust, Ser 2005-1,
Cl A (F)
5.271%, 06/25/06 $ 1,329 $ 1,330
Massachusetts RRB Special
Purpose Trust, Ser 2001-1,
Cl A
6.530%, 06/01/15 1,672 1,729
PG&E Energy Recovery Funding,
Ser 2005-1, Cl A2
3.870%, 06/25/11 1,424 1,389
PG&E Energy Recovery Funding,
Ser 2005-1, Cl A4
4.370%, 06/25/14 1,509 1,433
PG&E Energy Recovery Funding,
Ser 2005-2, Cl A1
4.850%, 06/25/11 4,056 4,023
PG&E Energy Recovery Funding,
Ser 2005-2, Cl A3
5.120%, 12/25/14 1,840 1,796
Peco Energy Transition Trust,
Ser 2001-A, Cl A1
6.520%, 12/31/10 1,640 1,697
SLM Student Loan Trust,
Ser 2004-1, Cl A2 (F)
5.240%, 07/25/06 1,529 1,534
SLM Student Loan Trust,
Ser 2005-7, Cl A3
4.410%, 07/25/25 1,886 1,849
SLM Student Loan Trust,
Ser 2005-8, Cl A4
4.250%, 01/25/28 5,023 4,891
Stingray Pass-Through Trust (C)
5.902%, 01/12/15 4,300 4,040
----------
33,769
----------
Total Asset-Backed Securities
(Cost $1,181,165) ($ Thousands) 1,163,982
----------
FOREIGN BONDS -- 0.3%
Canadian Government Real Return
Inflation Index Note (TIPS)
4.000%, 12/01/31 4,137 5,424
Queensland Treasury, Ser 11G
6.000%, 06/14/11 11,500 8,710
----------
Total Foreign Bonds
(Cost $13,754) ($ Thousands) 14,134
----------
TREASURY OBLIGATIONS -- 21.8%
Canada Treasury Bill (E)
4.962%, 09/20/06 2,270 2,231
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. Treasury Bonds
8.125%, 08/15/19 (J) $ 6,559 $ 8,298
7.125%, 02/15/23 (J) 4,442 5,298
6.250%, 08/15/23 to 05/15/30 (J) 59,520 65,905
6.125%, 11/15/27 to 08/15/29 (J) 35,265 38,795
6.000%, 02/15/26 (J) 17,140 18,479
5.375%, 02/15/31 (J) 10,254 10,371
5.250%, 02/15/29 2,170 2,147
4.500%, 02/15/16 to 02/15/36 (J) 24,446 22,043
3.875%, 04/15/29 (D) 1,871 2,338
3.625%, 04/15/28 (D) (J) 31,001 37,149
2.375%, 01/15/25 (D) (J) 19,733 19,392
2.000%, 01/15/26 (D) (J) 2,275 2,104
U.S. Treasury Notes
6.500%, 10/15/06 330 332
5.125%, 05/15/16 (J) 25,742 25,762
5.000%, 08/15/11 (J) 16,231 16,220
4.875%, 05/31/08 to 05/31/11 47,477 47,179
4.875%, 04/30/08 to 02/15/12 (J) 158,545 157,523
4.750%, 03/31/11 (J) 1,283 1,267
4.625%, 02/29/08 (J) 3,776 3,749
4.500%, 02/28/11 to 11/15/15 (J) 19,832 18,963
4.375%, 01/31/08 to 12/15/10 (J) 50,065 48,935
4.250%, 10/15/10 to 08/15/15 (J) 150,636 142,271
4.000%, 06/15/09 to 04/15/10 (J) 27,180 26,394
3.875%, 09/15/10 (J) 370 354
3.750%, 05/15/08 (J) 9,730 9,500
3.500%, 08/15/09 to 02/15/10 (J) 93,269 88,810
3.375%, 02/15/08 to 10/15/09 (J) 79,292 76,080
3.375%, 01/15/12(D) 259 273
3.125%, 10/15/08 (J) 2,230 2,136
3.125%, 09/15/08 110 105
2.000%, 07/15/14 (D) (J) 9,220 8,939
1.875%, 07/15/13 to 07/15/15 (D)(J) 38,328 36,670
U.S. Treasury STRIPS (A)
5.865%, 11/15/21 (J) 23,570 10,282
4.691%, 05/15/16 3,425 2,043
4.243%, 08/15/09 (J) 63,673 54,316
----------
Total Treasury Obligations
(Cost $1,034,822) ($ Thousands) 1,012,653
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 9.3%
FHLB
5.100%, 03/06/08 2,275 2,265
4.750%, 08/17/07 4,295 4,265
3.625%, 11/14/08 (J) 100 96
FHLB CMO, Ser 2015, Cl A
5.460%, 11/27/15 23,462 23,463
5.065%, 10/20/15 2,430 2,343
- --------------------------------------------------------------------------------
110 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC
6.625%, 09/15/09 (J) $ 25,209 $ 26,186
5.875%, 03/21/11 1,591 1,611
5.625%, 11/23/35 (J) 5,250 4,803
5.250%, 04/18/16 2,652 2,605
5.150%, 01/24/11 7,236 7,117
5.125%, 04/18/08 (J) 2,211 2,203
4.875%, 02/17/09 (J) 4,319 4,271
4.125%, 07/12/10 (J) 12,573 12,004
4.000%, 08/17/07 2,091 2,058
FHLMC CMO, Ser 1, Cl Z
9.300%, 04/15/19 50 53
FHLMC CMO, Ser 1081, Cl K
7.000%, 05/15/21 840 839
FHLMC CMO, Ser 1101, Cl M
6.950%, 07/15/21 462 461
FHLMC CMO, Ser 1611, Cl Z
6.500%, 11/15/23 9,340 9,448
FHLMC CMO, Ser 1983, Cl Z
6.500%, 12/15/23 1,399 1,419
FHLMC CMO, Ser 2043, Cl CJ
6.500%, 04/15/28 3,719 3,774
FHLMC CMO, Ser 2389, Cl CD
6.000%, 03/15/16 4,017 4,034
FHLMC CMO, Ser 2515, Cl MG
4.000%, 09/15/17 4,094 3,885
FHLMC CMO, Ser 2542, Cl ES
5.000%, 12/15/17 3,680 3,527
FHLMC CMO, Ser 2544, Cl IW, IO
5.500%, 03/15/26 2,975 157
FHLMC CMO, Ser 2579, Cl PI, IO
5.500%, 03/15/27 1,308 61
FHLMC CMO, Ser 2631, Cl MT
3.500%, 01/15/22 2,392 2,339
FHLMC CMO, Ser 2645, Cl MK
3.500%, 07/15/22 1,946 1,895
FHLMC CMO, Ser 2731, Cl PK
3.500%, 05/15/26 15,813 15,327
FHLMC CMO, Ser 2733, Cl ME
5.000%, 01/15/34 6,302 5,649
FHLMC CMO, Ser 2736, Cl DB
3.300%, 11/15/26 3,203 3,063
FHLMC CMO, Ser 2809, Cl HX, IO
6.000%, 10/15/24 3,875 204
FHLMC CMO, Ser 2890, Cl AP
3.750%, 12/15/11 4,789 4,635
FHLMC CMO, Ser 2893, Cl PA
4.000%, 04/15/25 5,394 5,253
FHLMC CMO, Ser 2945, Cl SA (F)
3.148%, 06/15/06 7,957 7,083
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC CMO, Ser 2957, Cl KJ
4.500%, 10/15/24 $ 15,372 $ 15,060
FHLMC CMO, Ser 2960, Cl EH
4.500%, 05/15/24 1,721 1,688
FHLMC CMO, Ser 2963, Cl Wl
4.500%, 07/15/25 3,288 3,218
FHLMC CMO, Ser 2982, Cl LC
4.500%, 01/15/25 4,982 4,877
FHLMC CMO, Ser 3000, Cl PA
3.900%, 01/15/23 4,710 4,527
FHLMC CMO, Ser 3014, Cl NA
4.500%, 11/15/25 9,064 8,854
FHLMC CMO, Ser 3019, Cl VM
5.000%, 08/15/16 2,277 2,208
FHLMC CMO, Ser 3035, Cl DM
5.500%, 11/15/25 3,056 3,045
FHLMC CMO, Ser 3044, Cl MD
5.500%, 02/15/35 12,069 11,545
FHLMC CMO, Ser 3059, Cl CA
5.000%, 03/15/25 8,383 8,283
FHLMC CMO, Ser 3086, Cl PA
5.500%, 05/15/26 6,297 6,275
FHLMC, Ser 2941, Cl WA
5.000%, 11/15/24 4,479 4,428
FHLMC, Ser 2948, Cl QA
5.000%, 10/15/25 5,011 4,952
FHLMC, Ser 3017, Cl TA
4.500%, 08/15/35 3,807 3,613
FHLMC, Ser 3020, Cl MA
5.500%, 04/15/27 6,191 6,168
FHLMC, Ser 3026, Cl GJ
4.500%, 02/15/29 3,037 2,960
FHLMC, Ser 3068, Cl AK
4.500%, 03/15/27 6,745 6,273
FHLMC, Ser 3117, Cl PC
5.000%, 06/15/31 7,635 7,355
FHLMC, Ser 3117, Cl PH
5.000%, 11/15/21 9,659 9,568
FNMA
6.625%, 11/15/10 1,899 1,991
6.000%, 05/15/11 (J) 12,644 12,965
5.250%, 08/01/12 4,248 4,168
4.750%, 08/10/07 2,148 2,133
4.625%, 10/15/13 4,702 4,478
4.250%, 09/15/07 1,250 1,233
3.875%, 07/15/08 4,581 4,449
1.730%, 09/25/06 (A) (B) 3,670 3,610
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/29 5,102 4,958
FNMA CMO, Ser 2001-60, Cl JZ
6.000%, 03/25/31 439 438
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 111
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA CMO, Ser 2002-94, Cl BJ, IO
5.500%, 04/25/16 $ 723 $ 51
FNMA CMO, Ser 2003-113, Cl PN
3.500%, 02/25/13 1,889 1,842
FNMA CMO, Ser 2003-76, Cl DE
4.000%, 09/25/31 11,396 10,559
FNMA CMO, Ser 2003-92, Cl KQ
3.500%, 06/25/23 3,297 3,208
FNMA CMO, Ser 2004-88, Cl HA
6.500%, 07/25/34 2,840 2,887
FNMA CMO, Ser 2005-57, Cl EG (F)
5.381%, 06/25/06 4,349 4,347
FNMA CMO, Ser 2005-65, Cl WG
4.500%, 08/25/26 4,928 4,829
FNMA CMO, Ser 2005-77, Cl BX
4.500%, 07/25/28 25,554 25,003
FNMA CMO, Ser 2005-92, Cl NM
3.500%, 04/25/13 1,993 1,945
FNMA CMO, Ser 45, Cl BA
4.500%, 11/25/14 315 310
FNMA CMO, Ser 51, Cl KC
4.500%, 01/25/25 139 136
FNMA CMO, Ser 63, Cl QP
3.500%, 10/25/31 8,614 7,917
FNMA, Ser 2002-T11, Cl A
4.768%, 04/25/12 394 387
FNMA, Ser 2003-T1, Cl A
3.807%, 11/25/12 1,196 1,136
FNMA, Ser 2005-61, Cl ED
5.500%, 04/25/26 5,506 5,474
FNMA, Ser 2005-63, Cl HA
5.000%, 04/25/23 5,489 5,361
FNMA, Ser 2006-16, Cl EV
5.500%, 02/25/17 3,427 3,362
FNMA, Ser 2006-18, Cl PA
5.500%, 01/25/26 3,521 3,498
FNMA, Ser 2006-29, Cl PA
5.500%, 08/25/26 7,997 7,959
FNMA, Ser 2006-31, Cl PA
5.500%, 11/25/26 3,467 3,448
FNMA, Ser 2006-41, Cl MA
5.500%, 04/25/24 3,566 3,550
FNMA, Ser 2006-53, Cl PD
5.500%, 12/25/34 5,996 5,745
GNMA CMO, Ser 2001-18, Cl WH (F)
8.957%, 06/20/06 360 355
GNMA CMO, Ser 2002-51, Cl SG (F)
10.483%, 06/20/06 316 337
GNMA CMO, Ser 2003-58, Cl LG, IO
5.500%, 05/17/29 3,000 402
GNMA CMO, Ser 2003-82, Cl IO, IO
5.500%, 03/20/29 5,737 455
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GNMA CMO, Ser 2004-80, Cl IP, IO
5.500%, 07/20/34 $ 8,767 $ 933
GNMA CMO, Ser 2004-87, Cl LI, IO
5.000%, 12/20/28 8,397 739
GNMA CMO, Ser 2006-3, Cl A
4.212%, 01/16/28 973 938
----------
Total U.S. Government Agency Obligations
(Cost $438,567) ($ Thousands) 430,829
----------
COMMERCIAL PAPER (A) -- 7.5%
Brahms Funding (K)
5.051%, 06/01/06 15,998 15,933
Broadhollow Funding (K)
5.081%, 06/09/06 3,999 3,983
5.079%, 06/26/06 9,599 9,564
5.073%, 06/19/06 13,598 13,537
5.062%, 06/05/06 7,999 7,964
Buckingham CDO (K)
5.092%, 06/23/06 7,999 7,964
5.087%, 06/08/06 15,998 15,946
DaimlerChrysler
5.140%, 06/26/06 8,300 8,270
Elysian Funding LLC (K)
5.170%, 07/10/06 15,998 15,859
5.134%, 06/30/06 7,999 7,931
5.123%, 06/05/06 7,999 7,963
General Electric Capital
5.450%, 06/01/06 13,751 13,749
Hardwood Street Funding II (K)
5.074%, 06/13/06 1,403 1,400
KKR Pacific Funding Trust (K)
5.082%, 06/22/06 15,998 15,928
5.082%, 06/23/06 7,999 7,964
5.081%, 06/07/06 15,998 15,931
Main Street Warehouse Funding (K)
5.090%, 06/16/06 9,599 9,561
5.079%, 06/05/06 7,999 7,969
5.078%, 06/02/06 1,440 1,438
Ocala Funding LLC (K)
5.112%, 06/30/06 2,400 2,389
5.092%, 06/09/06 25,314 25,203
Park Granada LLC (K)
5.045%, 06/29/06 7,999 7,928
Rabobank
4.980%, 06/01/06 17,223 17,223
Rams Funding (K)
5.094%, 06/14/06 18,642 18,555
5.091%, 06/21/06 15,998 15,933
Rhineland Funding Capital (K)
5.026%, 06/26/06 15,998 15,821
- --------------------------------------------------------------------------------
112 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
Socnam
5.050%, 06/01/06 $ 17,223 $ 17,223
Thornburg Mortgage Capital
Resource (K)
5.092%, 06/19/06 11,199 11,150
5.092%, 06/23/06 5,183 5,161
Transamerica Securities (K)
5.100%, 06/28/06 6,444 6,406
UBS
5.050%, 06/01/06 17,223 17,223
----------
Total Commercial Paper
(Cost $349,069) ($ Thousands) 349,069
----------
CASH EQUIVALENTS -- 1.2%
Evergreen Select Money Market
Fund, Institutional Class,
4.880%** 365,054 365
SEI Daily Income Trust,
Prime Obligation Fund, Cl A,
4.980%**++ 56,110,740 56,111
----------
Total Cash Equivalents
(Cost $56,476) ($ Thousands) 56,476
----------
MASTER NOTE (A) (K) -- 0.9%
Bank of America
5.133%, 06/01/06 39,995 39,995
----------
Total Master Note
(Cost $39,995) ($ Thousands) 39,995
----------
TIME DEPOSIT (K) -- 0.7%
Societe General
5.080%, 06/01/06 31,996 31,996
----------
Total Time Deposit
(Cost $31,996) ($ Thousands) 31,996
----------
PREFERRED STOCK -- 0.1%
Aegon 22,000 554
Merrill Lynch 68,000 1,689
Metlife 74,666 1,830
National Rural Utilities
Cooperative Finance 13,000 281
----------
Total Preferred Stock
(Cost $4,481) ($ Thousands) 4,354
----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Contracts ($ Thousands)
- --------------------------------------------------------------------------------
MUNICIPAL BONDS -- 0.1%
Brazos Higher Education Authority
RB, Ser 2006-1, Cl A2R
5.030%, 12/01/41 $ 2,579 $ 2,579
Michigan Tobacco Settlement
Finance, Ser A
7.309%, 06/01/34 2,185 2,185
----------
Total Municipal Bonds
(Cost $4,764) ($ Thousands) 4,764
----------
PURCHASED OPTIONS -- 0.0%
September 2006 90 Day Euro
Futures Call, Expires 09/18/06,
Strike Price $94.75* 90 10
September 2006 90 Day Euro
Futures Call, Expires 09/18/06,
Strike Price $95* 143 5
----------
Total Purchased Options
(Cost $182) ($ Thousands) 15
----------
CERTIFICATE OF DEPOSIT (K) -- 0.1%
U.S. Trust of New York
5.121%, 03/13/07 6,399 6,399
-----------
Total Certificate of Deposit
(Cost $6,399) ($ Thousands) 6,399
-----------
REPURCHASE AGREEMENTS (N) -- 11.8%
Barclays Capital
5.010%, dated 05/31/06, to be
repurchased on 06/01/06,
repurchase price $42,872,922
(collateralized by U.S. Government
Obligations, ranging in par value
$888,049-$31,995,997, 0.000%-
4.300%, 04/09/07-5/12/08, total
market value $43,724,920)(K) 42,867 42,867
Deutsche Bank
5.020%, dated 05/31/06, to be
repurchased on 06/01/06,
repurchase price $52,880,597
(collateralized by U.S. Government
Obligations, ranging in par value
$294,523-$16,063,590, 0.000%-
5.600%, 08/29/06-10/29/18, total
market value $53,930,976)(K) 52,873 52,873
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 113
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Contracts ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers
5.020%, dated 05/31/06, to be
repurchased on 06/01/06,
repurchase price $96,632,424
(collateralized by U.S. Government
Obligations, ranging in par value
$11,196,999-$95,987,990, 8.125%-
9.375%, 10/15/19-01/15/30, total
market value $98,551,476)(K) $96,619 $ 96,619
Merrill Lynch
5.010%, dated 05/31/06, to be
repurchased on 06/01/06,
repurchase price $356,849,655
(collateralized by Asset-Backed
securities, ranging in par value
$550,000-$50,000,000, 0.000%-
0.000%, 10/15/18-04/15/28, total
market value $363,915,650) 356,800 356,800
----------
Total Repurchase Agreements
(Cost $549,159) ($ Thousands) 549,159
----------
Total Investments -- 143.0%
(Cost $6,723,550) ($ Thousands) 6,643,333
----------
WRITTEN OPTIONS -- 0.0%
September 2006 90 Day Euro
Futures Call, Expires 09/18/06,
Strike Price $95.25* (143) (4)
September 2006 U.S. Long
Bond Put, Expires 08/25/06,
Strike Price $105* (142) (154)
September 2006 U.S. Ten
Year Treasury Note Call,
Expires 08/25/06,
Strike Price $105* (194) (173)
September 2006 U.S. Ten
Year Treasury Note Call,
Expires 08/25/06,
Strike Price $106* (95) (46)
September 2006 U.S. Ten
Year Treasury Note Call,
Expires 08/25/06,
Strike Price $107* (95) (22)
----------
Total Written Options
(Premiums Received $(471)) ($ Thousands) (399)
----------
A summary of the open futures contracts held by the Fund at May 31,
2006, is as follows: (see Note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------------------
UNREALIZED
APPRECIATION
TYPE OF NUMBER OF EXPIRATION (DEPRECIATION)
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
90-Day Euro$ 1,336 Sep-2006 $(1,455)
90-Day Euro$ 510 Mar-2007 (798)
90-Day Euro$ 691 Sep-2007 (552)
90-Day Euro$ 504 Dec-2006 (943)
U.S. 2-Year Note 270 Oct-2006 (90)
U.S. 5-Year Note 19 Sep-2006 (10)
U.S. 5-Year Note 757 Jun-2006 (621)
U.S. 5-Year Note 762 Sep-2006 (170)
U.S. 10-Year Note 42 Sep-2006 6
U.S. 10-Year Note 163 Jun-2006 (477)
U.S. 10-Year Note 120 Sep-2006 (24)
U.S. Long Treasury Bond (51) Jun-2006 350
U.S. Long Treasury Bond 1 Sep-2006 (1)
--------
$ (4,785)
========
A summary of the outstanding forward foreign currency contracts
held by the Fund at May 31, 2006, is as follows (see Note 2 in Notes to
Financial Statements):
- --------------------------------------------------------------------------------
CURRENCY TO CURRENCY TO NET UNREALIZED
MATURITY DELIVER RECEIVE DEPRECIATION
DATE (THOUSANDS) ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
8/8/06 AUD 11,980 USD 8,901 $(114)
8/8/06 CAD 6,242 USD 5,500 (181)
-----
$(295)
=====
A summary of the outstanding Credit Default Swap agreements held by the Fund at
May 31, 2006, is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
NOTIONAL NET UNREALIZED
EXPIRATION AMOUNT DEPRECIATION
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund receives semi-annual payment
of 0.950% (1.900%per annum)
times notional amount of GSAMP
Trust, Ser 2005-HE1, Cl B2,
5.014%, 02/02/13. Upon a defined
credit event Fund pays notional
amount and takes receipt of a
defined deliverable obligation.
(Counterparty: Citibank) 11/25/34 $ 600 $ (8)
Fund receives semi-annual payment
of 0.950% (1.900% per annum)
times notional amount of ACE -
Securities, Ser 2004-RM2, Cl B1,
5.014%, 01/25/35. Upon a defined
credit event Fund pays notional
amount and takes receipt of a
defined deliverable obligation.
(Counterparty: Citibank) 01/25/35 600 (7)
Fund receives semi-annual payment
of 1.675% (3.350% per annum)
times notional amount of Aegis Asset-
Backed Securities Trust, Ser 2004-5,
Cl B3, 6.814%, 12/25/34. Upon
a defined credit event Fund pays
notional amount and takes receipt of
a defined deliverable obligation.
(Counterparty: Citibank) 12/25/34 600 (12)
- --------------------------------------------------------------------------------
114 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
NOTIONAL NET UNREALIZED
EXPIRATION AMOUNT DEPRECIATION
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund receives semi-annual payment
of 1.025% (2.050% per annum)
times notional amount of Ameriquest
Mortgage Securities, Ser 2004-R6,
Cl M3, 5.464%, 07/25/34. Upon
a defined credit event Fund pays
notional amount and takes receipt of
a defined deliverable obligation.
(Counterparty: Citibank) 07/25/34 $ 600 $ (7)
Fund receives semi-annual payment
of 0.975% (1.950% per annum)
times notional amount of CDC
Mortgage Capital Trust, Ser 2004-HE3,
Cl B2, 5.264%, 11/25/34. Upon
a defined credit event Fund pays
notional amount and takes receipt of
a defined deliverable obligation.
(Counterparty: Citibank) 11/25/34 600 (6)
Fund receives semi-annual payment
of 0.975% (1.950% per annum)
times notional amount of Countrywide
Asset-Backed Certificates, Ser 2004-12,
Cl MV8, 5.114%, 11/25/34. Upon
a defined credit event Fund pays
notional amount and takes receipt of
a defined deliverable obligation.
(Counterparty: Citibank) 11/25/34 600 (7)
Fund receives semi-annual payment
of 1.025% (2.050% per annum)
times notional amount of Countrywide
Asset-Backed Certificates, Ser 2004-6,
Cl M8, 5.514%, 05/25/34. Upon
a defined credit event Fund pays
notional amount and takes receipt of
a defined deliverable obligation.
(Counterparty: Citibank) 05/25/34 600 (8)
Fund receives semi-annual payment
of 1.000% (2.000% per annum)
times notional amount of Countrywide
Asset-Backed Certificates, Ser 2004-
ECC2, Cl M8, 5.464%, 06/25/34. Upon
a defined credit event Fund pays
notional amount and takes receipt of
a defined deliverable obligation.
(Counterparty: Citibank) 06/25/34 1,000 (12)
Fund receives semi-annual payment
of 1.500% (3.000% per annum)
times notional amount of Countrywide
Asset-Backed Certificates, Ser 2004-
ECC1, Cl B, 4.814%, 01/25/34. Upon
a defined credit event Fund pays
notional amount and takes receipt of
a defined deliverable obligation.
(Counterparty: Citibank) 02/25/34 1,000 (9)
Fund receives semi-annual payment
of 0.975% (1.950% per annum)
times notional amount of Home
Equity Asset Trust, Ser 2004-8,
Cl B3, 6.414%, 03/25/35. Upon
a defined credit event Fund pays
notional amount and takes receipt of
a defined deliverable obligation.
(Counterparty: Citibank) 03/25/35 600 (8)
Fund receives semi-annual payment
of 1.015% (2.030% per annum)
times notional amount of Long Beach
Mortgage Loan Trust, Ser 2004-2,
Cl M6, 5.564%, 06/25/34. Upon
a defined credit event Fund pays
notional amount and takes receipt of
a defined deliverable obligation.
(Counterparty: Citibank) 06/25/34 600 (7)
Fund receives semi-annual payment
of 1.050% (2.100% per annum)
times notional amount of Master Asset
Backed Securities Trust, Ser 2004-WMC2,
Cl M5, 5.714%, 04/25/34. Upon
a defined credit event Fund pays
notional amount and takes receipt of
a defined deliverable obligation.
(Counterparty: Citibank) 06/25/34 600 (6)
- --------------------------------------------------------------------------------
NOTIONAL NET UNREALIZED
EXPIRATION AMOUNT DEPRECIATION
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund receives semi-annual payment
of 1.025% (2.050% per annum)
times notional amount of Morgan
Stanley ABS Equity I, Ser 2004-HE6,
Cl B2, 5.264%, 08/25/34.
Upon a defined credit event Fund
pays notional amount and takes
receipt of a defined deliverable
obligation.
(Counterparty: Citibank) 08/25/34 $ 600 $ (8)
Fund receives semi-annual payment
of 1.035% (2.070% per annum)
times notional amount of Morgan
Stanley ABS Equity I, Ser 2004-NC5,
Cl B2, 5.564%, 05/25/34.
Upon a defined credit event Fund
pays notional amount and takes
receipt of a defined deliverable
obligation.
(Counterparty: Citibank) 05/25/34 600 (7)
Fund receives semi-annual payment
of 1.450% (2.900% per annum)
times notional amount of New Century
Home Equity Loan Trust, Ser 2004-4,
Cl M9, 6.014%, 02/25/35.
Upon a defined credit event Fund
pays notional amount and takes
receipt of a defined deliverable
obligation.
(Counterparty: Citibank) 02/25/35 1,000 (11)
Fund receives semi-annual payment
of 0.950% (1.900% per annum)
times notional amount of Residential
Asset Securities, Ser 2004-KS10,
Cl M5, 5.164%, 11/25/34.
Upon a defined credit event Fund
pays notional amount and takes
receipt of a defined deliverable
obligation.
(Counterparty: Citibank) 11/25/34 600 (7)
-----
$(130)
=====
Percentages are based on Net Assets of $4,646,403 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of May 31, 2006.
+ Real Estate Investment Trust.
++ Pursuant to an exemptive order issued by the Securities and Exchange
Commission, the Fund may invest in the SEI money market funds, provided that
investments in the money market funds do not exceed 25% of the Fund's total
assets.
(A) The rate reported is the effective yield at time of purchase.
(B) Security, or portion thereof, has been pledged as collateral on open futures
contracts and written options. 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 Trustees.
(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, 2006.
(G) Step Bonds -- The rate reflected on the Schedule of Investments is the
rate in effect as of May 31, 2006. 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, 2006 was $16,838 ($ Thousands) and represented 0.36% of Net Assets.
(I) Security in default on interest payments.
(J) This security or a partial position of this security is on loan at May 31,
2006 (see Note 9). The total value of securities on loan at May 31, 2006 was
$1,088,210 ($ Thousands).
(K) This security was purchased with cash collateral held from securities on
loan (see Note 9). The total value of such securities as of May 31, 2006 was
$1,132,376 ($ Thousands).
(L) The note accrues 9.65% annual coupon for any day that the 3-year swap rate
exceeds the 1-year swap rate by 22 or more basis points.
(M) The note accrues 12.50% annual coupon for any day that the 5-year swap rate
exceeds the 2-year swap rate by 30 or more basis points.
(N) Tri-Party Repurchase Agreement.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 115
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Concluded)
May 31, 2006
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
AUD -- Australian Dollar
ARM -- Adjustable Rate Mortgage
CAD --- Canadian Dollar
CDO -- Collateralized Debt Obligation
Cl -- Class
CMO -- Collateralized Mortgage Obligation
EXL -- Extendable Maturity
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
IO -- Interest Only
LLC -- Limited Liability Company
MTN -- Medium Term Note
NIM -- Net Interest Margin
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
TIPS -- Treasury Inflated Protection Securities
USD -- United States Dollar
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
116 SEI Institutional Investments Trust / Annual Report / May 31, 2006
STATEMENT OF NET ASSETS
Long Duration Fund
May 31, 2006
- --------------------------------------------------------------------------------
Sector Weightings++:
50.3% Asset-Backed Securities
12.9% Financials
10.8% U.S. Government Mortgage-Backed Obligations
7.2% Cash Equivalents
5.6% Commercial Paper
5.0% U.S. Treasury Obligations
2.3% U.S Government Agency Obligations
2.0% Consumer Discretionary
2.0% Utilities
0.9% Industrials
0.5% Information Technology
0.5% Telecommunication Services
++ Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 57.8%
MORTGAGE RELATED SECURITIES -- 57.8%
Ameriquest Mortgage Securities,
Ser 2003-1, Cl M2 (B)
6.931%, 06/25/06 $ 1,000 $ 1,006
Amortizing Residential Collateral
Trust, Ser 2002-BC4, Cl M2 (B)
6.231%, 06/25/06 518 523
Asset-Backed Funding Certificates,
Ser 2002-NC1, Cl M2 (B)
6.331%, 06/27/06 504 506
Asset-Backed Funding Certificates,
Ser 2005-MWC1, Cl A2A (B)
5.191%, 06/25/06 436 436
Asset-Backed Securities Home Equity
Loan Trust, Ser 2003-HE4, Cl M2 (B)
7.081%, 06/15/06 1,850 1,868
Aviation Capital Group Trust,
Ser 2003-2A, Cl G2 (B)
5.881%, 06/20/06 654 665
Bayview Financial Acquisition Trust,
Ser 2005-A, Cl A1 (A) (B)
5.591%, 06/28/06 700 700
Bayview Financial Acquisition Trust,
Ser 2005-B, Cl 1A1 (B)
4.440%, 06/01/06 315 313
Bear Stearns Asset-Backed Securities,
Ser 2004-FR3, Cl 1A1 (B)
5.331%, 06/28/06 156 156
CDC Mortgage Capital Trust,
Ser 2003-HE2, Cl M2 (B)
6.981%, 06/27/06 1,850 1,866
Centex Home Equity, Ser 2005-A,
Cl AV1 (B)
5.201%, 06/25/06 15 15
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Chase Funding Mortgage Loan
Asset-Backed, Ser 2000-3, Cl IA5 (B)
7.898%, 06/25/06 $ 1,625 $ 1,631
Citigroup Mortgage Loan Trust,
Ser 2003-1, Cl WA2
6.500%, 10/25/33 135 135
Citigroup Mortgage Loan Trust,
Ser 2004-2, Cl 2A1 (A)
6.500%, 08/25/18 505 506
Citigroup Mortgage Loan Trust,
Ser 2005-HE3, Cl A2A (B)
5.191%, 06/25/06 464 464
Countrywide Alternative Loan Trust,
Ser 2005-16, Cl A5 (B)
5.361%, 06/25/06 1,281 1,293
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 1A2 (B)
5.411%, 06/25/06 2,581 2,593
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 2A1 (B)
5.361%, 06/01/06 1,009 1,009
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 3A2 (B)
5.111%, 06/01/06 306 307
Countrywide Alternative Loan Trust,
Ser 2005-51, Cl 2A2A (B)
5.371%, 06/20/06 1,371 1,377
Countrywide Alternative Loan Trust,
Ser 2005-59, Cl 1A1 (B)
5.411%, 06/20/06 1,753 1,760
Countrywide Alternative Loan Trust,
Ser 2005-59, Cl 2X, IO (B) (E)
0.950%, 06/01/06 6,111 244
Countrywide Alternative Loan Trust,
Ser 2005-61, Cl 2A1 (B)
5.361%, 06/25/06 1,054 1,056
Countrywide Alternative Loan Trust,
Ser 2005-72, Cl A1 (B)
5.351%, 06/07/06 1,693 1,695
Countrywide Alternative Loan Trust,
Ser 2006-OA2, Cl X1P, IO (E)
1.030%, 05/20/46 10,520 539
Countrywide Asset-Backed
Certificates, Ser 2003-BC1,
Cl M1 (B)
6.001%, 06/25/06 1,150 1,154
Countrywide Asset-Backed
Certificates, Ser 2004-12,
Cl 2AV2 (B)
5.361%, 06/25/06 1,781 1,782
Countrywide Asset-Backed
Certificates, Ser 2004-13,
Cl AV2 (B)
5.341%, 06/27/06 1,761 1,763
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 117
STATEMENT OF NET ASSETS
Long Duration Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Asset-Backed
Certificates, Ser 2005-1,
Cl 3AV1 (B)
5.171%, 06/25/06 $ 291 $ 291
Countrywide Asset-Backed
Certificates, Ser 2005-13,
Cl AF1 (B)
5.211%, 06/27/06 1,768 1,769
Countrywide Home Equity Loan Trust,
Ser 2005-M, Cl A2 (B)
5.201%, 06/15/06 2,641 2,640
Countrywide Home Loans,
Ser 5, Cl 1A1 (B)
5.401%, 06/25/06 550 553
Credit-Based Asset Servicing and
Securities, Ser 2005-CB5,
Cl AF1 (B)
5.221%, 06/25/06 1,280 1,280
DSLA Mortgage Loan Trust,
Ser 2004-AR1, Cl A2A (B)
5.490%, 06/19/06 283 285
DSLA Mortgage Loan Trust,
Ser 2005-AR2, Cl 2A1A (B)
5.290%, 06/19/06 955 955
DSLA Mortgage Loan Trust,
Ser AR4, Cl 2A1A (B)
5.340%, 06/21/06 1,045 1,045
First Franklin Mortgage Loan Asset,
Ser 2005-FFH4, Cl N1 (A)
5.682%, 12/25/35 1,382 1,380
First Franklin Mortgage Loan,
Ser 2005-FF2, Cl A2B (B)
5.261%, 06/27/06 3,250 3,252
Fremont Home Loan Trust,
Ser 2004-4, Cl 2A2 (B)
5.361%, 06/25/06 531 531
GMAC Mortgage, Ser 2003-HE2, Cl A2
3.140%, 06/25/25 66 66
GSAMP Trust, Ser 2005-HE4,
Cl A2A (B)
5.201%, 06/27/06 2,086 2,086
Greenpoint Mortgage Funding Trust,
Ser 2005-HE2, Cl A1 (B)
5.281%, 06/15/06 435 435
Harborview Mortgage Loan Trust,
Ser 2004-8, Cl 2A4A (B)
5.480%, 06/19/06 1,484 1,490
Harborview Mortgage Loan Trust,
Ser 2005-01, Cl X, IO (B) (E)
0.987%, 06/01/06 2,761 60
Harborview Mortgage Loan Trust,
Ser 2005-10, Cl X, IO (B) (E)
1.109%, 06/01/06 5,642 162
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Harborview Mortgage Loan Trust,
Ser 2005-11, Cl 2A1A (B)
5.390%, 06/19/06 $ 1,843 $ 1,849
Harborview Mortgage Loan Trust,
Ser 2005-12, Cl X2B, IO (B) (E)
0.900%, 06/01/06 5,582 167
Harborview Mortgage Loan Trust,
Ser 2006-1, Cl X1, IO (B) (E)
1.420%, 06/01/06 11,000 540
Home Equity Asset Trust,
Ser 2005-5, Cl 2A1 (B)
5.191%, 06/25/06 850 850
Home Equity Mortgage Trust,
Ser 2005-1, Cl A1 (B)
5.281%, 06/25/06 725 725
Home Equity Mortgage Trust,
Ser 2006-1, Cl A1B (B)
5.211%, 06/27/06 2,806 2,807
Indymac Home Equity Loan
Asset-Backed Trust,
Ser 2002-A, Cl M1 (B)
5.831%, 06/27/06 1,575 1,577
Indymac Index Mortgage Loan Trust,
Ser 2004-AR12, Cl A1 (B)
5.471%, 06/25/06 1,128 1,133
Indymac Index Mortgage Loan Trust,
Ser 2004-AR12, Cl AX2, IO (B) (E)
0.930%, 06/01/06 2,673 64
Indymac Index Mortgage Loan Trust,
Ser 2004-AR5, Cl 2A1B (B)
5.481%, 06/27/06 1,340 1,343
Indymac Index Mortgage Loan Trust,
Ser 2004-AR6, Cl 6A1 (B)
5.480%, 06/01/06 334 330
Indymac Index Mortgage Loan Trust,
Ser 2004-AR7, Cl A2 (B)
5.511%, 06/25/06 365 366
Indymac Index Mortgage Loan Trust,
Ser 2004-AR8, Cl 2A2A (B)
5.481%, 06/27/06 274 276
Indymac Index Mortgage Loan Trust,
Ser 2005-AR18, Cl 2A1A (B)
5.391%, 06/25/06 2,680 2,684
Irwin Home Equity, Ser 2003-A,
Cl M2 (B)
7.231%, 06/27/06 475 481
Master Alternative Loans Trust,
Ser 2003-3, Class 2A1
8.500%, 05/25/33 446 453
Master Seasoned Securities Trust,
Ser 2005-1, Cl 4A1 (B)
5.797%, 06/25/06 672 670
- --------------------------------------------------------------------------------
118 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors,
Ser 2006-WMC1, Cl A2B (B)
5.221%, 06/27/06 $ 2,750 $ 2,750
Mid-State Trust,
Ser 2004-1, Cl B
8.900%, 08/15/37 531 528
Morgan Stanley Capital I,
Ser 2002-HE3, Cl M1 (B)
6.181%, 06/26/06 2,000 2,022
Morgan Stanley Capital I,
Ser 2004-NC2, Cl M2 (B)
6.281%, 06/26/06 1,500 1,524
Nomura Asset Acceptance,
Ser 2006-S1, Cl A1 (B)
5.221%, 06/25/06 2,822 2,823
Ownit Mortgage Loan,
Ser 2005-1, Cl A1 (B)
5.211%, 06/25/06 282 282
Renaissance NIM Trust,
Ser 2005-2, Cl N (A)
5.193%, 07/25/35 293 292
Residential Asset Mortgage Products,
Ser 2004-RS11, Cl A2 (B)
5.351%, 06/25/06 925 927
Residential Asset Securities,
Ser 2005-KS8, Cl A1 (B)
5.191%, 06/27/06 2,311 2,311
Residential Funding Mortgage
Securities II, Ser 2006-HSA2,
Cl AI1 (B)
5.191%, 06/27/06 2,775 2,775
Residential Funding Mortgage
Securities, Ser 1999-HI8,
Cl AI7 (B)
7.970%, 11/25/29 486 484
SACO I Trust, Ser 2004-3A,
Cl A (B)
5.351%, 06/27/06 790 790
Saxon Asset Securities Trust,
Ser 2004-3, Cl A3 (B)
5.421%, 06/26/06 422 422
Saxon Asset Securities Trust,
Ser 2005-1, Cl M1 (B)
5.611%, 06/25/06 1,795 1,799
Soundview Home Equity Loan Trust,
Ser 2006-1, Cl A2 (B)
5.221%, 06/27/06 2,470 2,470
Soundview NIM Trust,
Ser 2005-OPT4, Cl N1
5.682%, 12/25/35 1,038 1,037
Specialty Underwriting & Residential
Finance, Ser AB1, Cl A1A (B)
5.171%, 06/25/06 931 931
Structured Asset Investment Loan
Trust, Ser 2005-HE3, Cl A3 (B)
5.201%, 06/27/06 2,192 2,192
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Terwin Mortgage Trust, Ser 2005-11,
Cl 1A1A (B)
4.500%, 06/25/06 $ 664 $ 660
Terwin Mortgage Trust,
Ser 2005-14HE, Cl AF1 (B)
5.221%, 06/27/06 1,736 1,736
Washington Mutual,
Ser 2000-1, Cl M2 (B)
5.881%, 06/25/06 769 772
Washington Mutual,
Ser 2002-AR17, Cl 2A (B)
4.595%, 06/25/06 441 436
Washington Mutual,
Ser 2004-AR10, Cl A2A (B)
5.250%, 06/25/06 167 167
Washington Mutual,
Ser 2004-AR12, Cl A4A (B)
5.125%, 06/25/06 393 394
Washington Mutual,
Ser 2005-AR1, Cl A2A2 (B)
5.331%, 06/25/06 1,031 1,032
Washington Mutual,
Ser 2005-AR2, Cl 2A21 (B)
5.411%, 06/25/06 1,038 1,040
Washington Mutual,
Ser 2005-AR2, Cl 2A22 (B)
5.301%, 06/25/06 469 470
Washington Mutual,
Ser 2005-AR6, Cl 2AB1 (B)
5.271%, 06/25/06 560 559
----------
Total Asset-Backed Securities
(Cost $95,727) ($ Thousands) 95,582
----------
CORPORATE OBLIGATIONS -- 21.6%
CONSUMER DISCRETIONARY -- 2.3%
DaimlerChrysler (B)
5.100%, 06/07/06 1,375 1,376
Ford Motor
8.900%, 01/15/32 590 466
7.450%, 07/16/31 360 261
General Motors
8.375%, 07/15/33 153 116
7.700%, 04/15/16 1,070 805
Johnson Controls (B)
5.298%, 07/17/06 786 787
----------
3,811
----------
FINANCIALS -- 14.8%
Bank of America, Ser A (A)
8.070%, 12/31/26 1,667 1,753
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 119
STATEMENT OF NET ASSETS
Long Duration Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
BankBoston Capital Trust I,
Ser B
8.250%, 12/15/26 $ 145 $ 153
Barrick Gold Finance
5.800%, 11/15/34 897 798
Bear Stearns (B)
5.356%, 07/28/06 730 730
Corestates Capital Trust I (A)
8.000%, 12/15/26 1,000 1,047
Countrywide Financial (B)
5.400%, 05/05/08 200 200
Countrywide Home Loans MTN, Ser E
6.935%, 07/16/07 690 699
Credit Suisse First Boston
London (A) (B) (F)
0.000%, 06/24/06 669 601
0.000%, 06/24/06 602 541
Deutsche Bank Capital
Funding Trust (A) (B)
5.628%, 01/19/49 2,182 2,057
Deutsche Bank Luxembourg (A)
6.825%, 12/28/07 281 285
EOP Operating (B)
5.590%, 07/03/06 510 515
Farmers Insurance Exchange
Capital (A)
8.625%, 05/01/24 160 182
First Chicago NBD Institutional
Capital (A)
7.950%, 12/01/26 500 523
Ford Motor Credit
8.149%, 08/02/06 (B) 475 472
6.625%, 06/16/08 240 227
Goldman Sachs Group
5.350%, 01/15/16 2,270 2,146
HSBC Capital Trust II (A)
8.380%, 05/15/27 9 10
Lehman Brothers Holdings MTN,
Ser H (B) (G)
0.000%, 11/30/06 528 489
Meridian Funding (A) (B)
5.210%, 07/06/06 249 249
Nationwide Mutual Insurance (A)
6.600%, 04/15/34 305 284
Pemex Finance
8.020%, 05/15/07 300 304
Popular North America (B)
5.240%, 06/12/06 735 735
Power Receivables Financial (A)
6.290%, 01/01/12 406 406
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Providian Capital I (A)
9.525%, 02/01/27 $ 1,715 $ 1,827
Residential Capital (B)
6.335%, 06/29/06 380 381
Rosyln Bancorp
5.750%, 11/15/07 900 895
Simon Property Group++
5.750%, 05/01/12 870 864
Spieker Properties
7.650%, 12/15/10 360 386
State Street Institutional
Capital, Cl B (A)
8.035%, 03/15/07 1,368 1,442
Swiss Capital (A)
6.854%, 05/29/49 1,300 1,283
Zurich Capital Trust I (A)
8.376%, 06/01/37 1,863 1,982
----------
24,466
----------
INDUSTRIALS -- 1.0%
America West Airlines, Ser 01-1
7.100%, 04/02/21 174 179
American Airlines, Ser AMBC
3.857%, 07/09/10 238 226
Cedar Brakes II LLC (A)
9.875%, 09/01/13 824 923
Continental Airlines, Ser 2000-2
7.707%, 04/02/21 168 176
Continental Airlines,
Ser 2002-1, Cl G1 (B)
5.620%, 08/15/06 119 119
Continental Airlines, Ser AMBC
6.236%, 03/15/20 103 102
----------
1,725
----------
INFORMATION TECHNOLOGY -- 0.6%
Oracle (A) (B)
5.280%, 07/17/06 909 907
----------
TELECOMMUNICATION SERVICES -- 0.6%
New England Telephone & Telegraph
7.650%, 06/15/07 900 916
----------
UTILITIES -- 2.3%
Entergy Gulf States (B)
5.220%, 12/01/09 525 520
Entergy Louisiana LLC
5.560%, 09/01/15 285 268
Power Contract Financing (A)
6.256%, 02/01/10 1,280 1,283
Progress Energy Florida, Cl A (B)
5.570%, 06/13/06 1,000 1,001
- --------------------------------------------------------------------------------
120 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Sempra Energy
5.659%, 08/21/06 (B) $ 190 $ 190
4.621%, 05/17/07 525 520
----------
3,782
----------
Total Corporate Obligations
(Cost $36,507) ($ Thousands) 35,607
----------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 12.5%
FHLMC
7.000%, 01/01/33 522 537
6.500%, 08/01/29 747 752
6.091%, 01/01/33 (B) 1,119 1,139
5.843%, 05/01/35 (B) 913 927
5.436%, 01/01/32 (B) 1,047 1,045
4.102%, 08/01/34 (B) 1,753 1,731
3.883%, 01/01/34 (B) 2,295 2,283
3.280%, 04/01/34 (B) 1,754 1,719
3.151%, 05/01/34 2,390 2,394
3.141%, 04/01/34 (B) (C) 1,617 1,593
FNMA
7.000%, 04/01/34 610 625
5.699%, 01/01/33 (B) (C) 1,076 1,089
5.500%, 10/01/17 to 02/01/18 478 469
4.793%, 07/01/33 (B) (C) 990 997
3.681%, 06/01/33 (B) 2,376 2,370
GNMA (B)
4.375%, 06/20/32 984 989
----------
Total U.S. Government Mortgage-Backed
Obligations(Cost $20,674) ($ Thousands) 20,659
----------
COMMERCIAL PAPER (D) -- 6.5%
Alcoa
5.040%, 06/28/06 3,000 2,989
GECC Capital Markets
5.030%, 07/13/06 4,225 4,200
National Rural
5.020%, 06/19/06 2,630 2,623
4.990%, 06/16/06 920 918
----------
Total Commercial Paper
(Cost $10,731) ($ Thousands) 10,730
----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 5.7%
U.S. Treasury Bill (D)
4.822%, 08/24/06 $ 4,082 $ 4,038
U.S. Treasury Bond Forward
Commitments
6.250%, 08/15/23 4,940 5,422
----------
Total U.S. Treasury Obligations
(Cost $9,681) ($ Thousands) 9,460
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 2.6%
FHLMC CMO, Ser 2006-4, Cl WE
4.500%, 02/25/36 3,050 2,611
FHLMC CMO, Ser 2469, Cl AK
6.000%, 04/15/30 62 62
FHLMC CMO, Ser 2748, Cl ZT
5.500%, 02/15/24 81 74
FNMA CMO, Ser 2001-13, Cl SA
6.645%, 11/25/17 190 190
FNMA CMO, Ser 2001-48, Cl PD
6.500%, 06/25/20 488 488
FNMA CMO, Ser 2003-122, Cl ZQ
6.000%, 12/25/33 109 102
FNMA CMO, Ser 2003-33, Cl PC
4.500%, 03/25/27 327 325
FNMA CMO, Ser 2004-12, Cl ZX
6.000%, 03/25/34 118 107
FNMA CMO, Ser 2004-31, Cl MZ
4.250%, 05/25/34 109 68
FNMA CMO, Ser 2004-80, Cl XZ
5.000%, 11/25/34 216 159
GNMA CMO, Ser 2003-112, Cl SG (B)
1.529%, 12/16/33 222 133
----------
Total U.S. Government Agency Obligations
(Cost $4,460) ($ Thousands) 4,319
----------
CASH EQUIVALENT -- 8.2%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 4.980%*+ 13,628,260 13,628
----------
Total Cash Equivalent
(Cost $13,628) ($ Thousands) 13,628
----------
Total Investments -- 114.9%
(Cost $191,408) ($ Thousands) 189,985
----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 121
STATEMENT OF NET ASSETS
Long Duration Fund (Concluded)
May 31, 2006
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (14.9)%
Payable for Investment Securities Purchased $ (12,390)
Payable for Capital Shares Redeemed (9,537)
Investment Advisory Fees Payable (19)
Other Assets and Liabilities, Net (2,715)
----------
Total Other Assets and Liabilities (24,661)
----------
Net Assets -- 100.0% $ 165,324
==========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 180,168
Distributions in excess of net investment income (873)
Accumulated net realized loss on investments (1,988)
Net unrealized depreciation on investments (1,423)
Net unrealized depreciation on swap contracts (10,560)
----------
Net Assets $ 165,324
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($165,324,450 / 17,750,752 shares) $9.31
=====
A summary of the outstanding Interest Rate Swap agreements held by the Fund at
May 31, 2006, is a follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
NOTIONAL NET UNREALIZED
EXPIRATION AMOUNT DEPRECIATION
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Receive fixed rate of 4.582%
and pay floating rate rate based
on 3 Month LIBOR. (Counterparty:
Deutsche Bank) 09/02/20 $15,710 $(1,779)
Receive fixed rate of 4.85%
and pay floating rate rate
based on 3 Month LIBOR.(Counterparty:
Salomon Brothers) 08/02/20 14,965 (1,298)
Receive fixed rate of 5.00% and pay
floating rate rate based on 3 Month
LIBOR. Counterparty:
Salomon Brothers) 01/04/21 54,565 (4,000)
Receive fixed rate of 5.064% and pay
floating rate rate based on 3 Month
LIBOR. (Counterparty:
Salomon Brothers) 03/02/16 11,060 (498)
Receive fixed rate of 5.183% and pay
floating rate rate based on 3 Month
LIBOR. (Counterparty: Credit Suisse
First Boston) 11/02/20 28,025 (1,555)
Receive fixed rate of 5.3912% and pay
floating rate rate based on 3 Month
LIBOR. (Counterparty: Credit Suisse
First Boston 04/04/16 5,980 (125)
Receive fixed rate of 4.916% and pay
floating rate rate based on 3 Month
LIBOR. (Counterparty:
Deutsche Bank) 04/04/20 27,035 (2,192)
---------
$(11,447)
========
- --------------------------------------------------------------------------------
DESCRIPTION
- --------------------------------------------------------------------------------
* Rate shown is the 7-day effective yield as of May 31, 2006.
+ Pursuant to an exemptive order issued by the Securities and Exchange
Commission, the Fund may invest in the SEI money market funds, provided that
investments in the money market funds do not exceed 25% of the Fund's total
assets.
++ Real Estate Investment Trust.
(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 Trustees.
(B) Variable Rate Security -- The rate reported on the Statement of Net Assets
is the rate in effect as of May 31, 2006.
(C) Security, or portion of this security, has been pledged as collateral on
open swap contracts. The rate reported on the Statement of Net Assets is the
effective yield at time of purchase.
(D) The rate reported on the Statement of Net Assets is the effective yield at
the time of purchase.
(E) Securities considered illiquid. The total value of such securities as of May
31, 2006 was $1,776 ($ Thousands) and represented 1.08% of Net Assets.
(F) The note accrues 9.65% annual coupon for any day that the 3-year swap rate
exceeds the 1-year swap rate by 22 or more basis points.
(G) The note accrues 12.50% annual coupon for any day that the 5-year swap rate
exceeds the 2-year swap rate by 30 or more basis points.
Cl -- Class
CMO -- Collateralized Mortgage Obligation
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
IO -- Interest Only
LIBOR -- London InterBank Offering Rate
LLC -- Limited Liability Company
MTN -- Medium Term Note
NIM -- Net Interest Margin
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
122 SEI Institutional Investments Trust / Annual Report / May 31, 2006
SCHEDULE OF INVESTMENTS
Extended Duration Fund
May 31, 2006
- --------------------------------------------------------------------------------
Sector Weightings (unaudited)++:
46.1% Asset-Backed Securities
21.1% Financials
12.9% U.S.Treasury Obligations
8.8% U.S. Government Mortgage Backed Obligations
2.5% Cash Equivalents
2.3% Utilities
2.2% U.S. Government Agency Obligations
1.7% Consumer Discretionary
1.2% Industrials
0.7% Telecommunication Services
0.5% Information Technology
++Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 54.3%
MORTGAGE RELATED SECURITIES -- 54.3%
Ameriquest Mortgage Securities,
Ser 2003-1, Cl M2 (B)
6.931%, 06/25/06 $ 850 $ 855
Amortizing Residential Collateral
Trust, Ser 2002-BC4, Cl M2 (B)
6.231%, 06/25/06 441 444
Asset-Backed Funding Certificates,
Ser 2002-NC1, Cl M2 (B)
6.331%, 06/27/06 1,401 1,408
Asset-Backed Funding Certificates,
Ser 2005-MWC1, Cl A2A (B)
5.191%, 06/25/06 715 715
Asset-Backed Securities Home
Equity Loan Trust,
Ser 2003-HE4, Cl M2 (B)
7.081%, 06/15/06 3,000 3,030
Aviation Capital Group Trust,
Ser 2003-2A, Cl G2 (B)
5.881%, 06/20/06 1,367 1,389
Bayview Financial Acquisition Trust,
Ser 2005-A, Cl A1 (A) (B)
5.591%, 06/28/06 600 600
Bayview Financial Acquisition Trust,
Ser 2005-B, Cl 1A1 (B)
4.440%, 06/01/06 630 625
Bear Stearns Asset-Backed Securities,
Ser 2004-FR3, Cl 1A1 (B)
5.331%, 06/28/06 136 137
CDC Mortgage Capital Trust,
Ser 2003-HE2, Cl M2 (B)
6.981%, 06/27/06 3,100 3,127
Centex Home Equity,
Ser 2005-A, Cl AV1 (B)
5.201%, 06/25/06 13 13
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Chase Funding Mortgage Loan
Asset-Backed, Ser 2000-3,
Cl IA5 (B)
7.898%, 06/25/06 $ 1,706 $ 1,712
Citigroup Mortgage Loan Trust,
Ser 2003-1, Cl WA2
6.500%, 10/25/33 240 240
Citigroup Mortgage Loan Trust,
Ser 2004-2, Cl 2A1 (A)
6.500%, 08/25/18 459 460
Citigroup Mortgage Loan Trust,
Ser 2005-HE3, Cl A2A (B)
5.191%, 06/25/06 759 759
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 2A1 (B)
5.361%, 06/01/06 2,092 2,092
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 3A2 (B)
5.111%, 06/01/06 565 567
Countrywide Alternative Loan Trust,
Ser 2005-59, Cl 1A1 (B)
5.411%, 06/20/06 2,824 2,835
Countrywide Alternative Loan Trust,
Ser 2005-59, Cl 2X, IO (B) (E)
0.950%, 06/01/06 8,055 322
Countrywide Alternative Loan Trust,
Ser 2005-61, Cl 2A1 (B)
5.361%, 06/25/06 1,372 1,375
Countrywide Alternative Loan Trust,
Ser 2005-72, Cl A1 (B)
5.351%, 06/27/06 2,783 2,786
Countrywide Alternative Loan Trust,
Ser 2006-OA2, Cl X1P, IO (E)
1.030%, 05/20/46 13,510 693
Countrywide Asset-Backed
Certificates, Ser 2003-BC1,
Cl M1 (B)
6.001%, 06/25/06 2,200 2,208
Countrywide Asset-Backed
Certificates, Ser 2004-12,
Cl 2AV2 (B)
5.361%, 06/25/06 2,336 2,338
Countrywide Asset-Backed
Certificates, Ser 2004-13,
Cl AV2 (B)
5.341%, 06/27/06 2,348 2,350
Countrywide Asset-Backed
Certificates, Ser 2005-1,
Cl 3AV1 (B)
5.171%, 06/25/06 248 248
Countrywide Asset-Backed
Certificates, Ser 2005-13,
Cl AF1 (B)
5.211%, 06/27/06 2,653 2,653
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 123
SCHEDULE OF INVESTMENTS
Extended Duration Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Home Equity Loan
Trust, Ser 2005-M, Cl A2 (B)
5.201%, 06/15/06 $ 3,201 $ 3,200
Credit-Based Asset Servicing
and Securities, Ser 2005-CB5,
Cl AF1 (B)
5.221%, 06/25/06 2,089 2,089
DSLA Mortgage Loan Trust,
Ser 2004-AR1, Cl A2A (B)
5.490%, 06/19/06 316 318
DSLA Mortgage Loan Trust,
Ser AR4, Cl 2A1A (B)
5.340%, 06/21/06 1,681 1,681
EQCC Home Equity Loan Trust,
Ser 1999-2, Cl A4F
6.753%, 08/25/27 74 74
Equifirst Mortgage Loan Trust,
Ser 2004-3, Cl A1 (B)
5.411%, 06/27/06 1,979 1,982
First Franklin Mortgage Loan
Asset, Ser 2005-FFH4,
Cl N1 (A)
5.682%, 12/25/35 1,698 1,695
First Franklin Mortgage Loan,
Ser 2004-FFB, Cl M2 (B)
5.960%, 06/01/06 3,500 3,487
First Franklin Mortgage Loan,
Ser 2005-FF2, Cl A2B (B)
5.261%, 06/27/06 4,000 4,003
Fremont Home Loan Trust,
Ser 2004-4, Cl 2A2 (B)
5.361%, 06/25/06 1,544 1,546
GMAC Mortgage, Ser 2003-HE2,
Cl A2
3.140%, 06/25/25 54 54
Greenpoint Mortgage Funding
Trust, Ser 2005-HE2, Cl A1 (B)
5.281%, 06/15/06 1,061 1,061
Harborview Mortgage Loan Trust,
Ser 10, Cl 2A1A (B)
5.390%, 06/21/06 1,923 1,929
Harborview Mortgage Loan Trust,
Ser 2004-8, Cl 2A4A (B)
5.480%, 06/19/06 2,020 2,028
Harborview Mortgage Loan Trust,
Ser 2005-01, Cl X, IO (B) (E)
0.987%, 06/01/06 2,810 61
Harborview Mortgage Loan Trust,
Ser 2005-10, Cl X, IO (B) (E)
1.109%, 06/01/06 8,624 248
Harborview Mortgage Loan Trust,
Ser 2005-12, Cl X2B, IO (B) (E)
0.900%, 06/01/06 9,303 279
Harborview Mortgage Loan Trust,
Ser 2006-1, Cl X1, IO (B) (E)
1.420%, 06/01/06 13,000 638
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Home Equity Asset Trust,
Ser 2005-5, Cl 2A1 (B)
5.191%, 06/25/06 $ 1,381 $ 1,381
Home Equity Mortgage Trust,
Ser 2005-1, Cl A1 (B)
5.281%, 06/25/06 1,209 1,209
Indymac Home Equity Loan
Asset-Backed Trust, Ser 2002-A,
Cl M1 (B)
5.831%, 06/27/06 2,050 2,053
Indymac Index Mortgage Loan Trust,
Ser 2004-AR12, Cl A1 (B) (E)
5.471%, 06/25/06 1,160 1,165
Indymac Index Mortgage Loan Trust,
Ser 2004-AR12, Cl AX2, IO (B)
0.930%, 06/01/06 5,024 121
Indymac Index Mortgage Loan Trust,
Ser 2004-AR5, Cl 2A1B (B)
5.481%, 06/27/06 1,717 1,721
Indymac Index Mortgage Loan Trust,
Ser 2004-AR6, Cl 6A1 (B)
5.480%, 06/01/06 287 284
Indymac Index Mortgage Loan Trust,
Ser 2004-AR7, Cl A2 (B)
5.511%, 06/25/06 498 499
Indymac Index Mortgage Loan Trust,
Ser 2004-AR8, Cl 2A2A (B)
5.481%, 06/27/06 384 386
Indymac Index Mortgage Loan Trust,
Ser 2005-AR18, Cl 2A1A (B)
5.391%, 06/25/06 3,573 3,579
Indymac Index Mortgage Loan,
Ser 2005-AR18, Cl 2A1B (B)
5.861%, 06/25/06 938 946
Indymac Residential Asset-Backed
Trust, Ser 2006-A, Cl A2 (B)
5.231%, 06/25/06 2,350 2,351
Irwin Home Equity, Ser 2001-2,
Cl M2 (B)
6.331%, 06/25/06 309 309
Irwin Home Equity, Ser 2003-A,
Cl M2 (B)
7.231%, 06/27/06 525 532
Master Alternative Loans Trust,
Ser 2003-3, Class 2A1
8.500%, 05/25/33 372 377
Master Seasoned Securities Trust,
Ser 2005-1, Cl 4A1 (B)
5.797%, 06/25/06 1,459 1,455
Mid-State Trust, Ser 2004-1,
Cl B
8.900%, 08/15/37 439 437
Morgan Stanley Capital I,
Ser 2002-HE3, Cl M1 (B)
6.181%, 06/26/06 3,000 3,034
- --------------------------------------------------------------------------------
124 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Morgan Stanley Dean Witter Capital,
Ser 2003-NC1, Cl M3 (B)
7.181%, 06/25/06 $ 561 $ 565
Novastar Home Equity Loan,
Ser 2004-4, Cl A2B (B)
5.421%, 06/27/06 1,597 1,598
Ownit Mortgage Loan,
Ser 2005-1, Cl A1 (B)
5.211%, 06/25/06 242 242
People's Choice Home Loan
Securities Trust,
Ser 2005-1, Cl 1A2 (B)
5.351%, 06/26/06 2,500 2,502
Renaissance NIM Trust,
Ser 2005-2, Cl N (A)
5.193%, 07/25/35 587 583
Residential Asset Mortgage Products,
Ser 2004-RS11, Cl A2 (B)
5.351%, 06/25/06 2,750 2,757
Residential Asset Securities,
Ser 2004-KS11, Cl AI2 (B)
5.351%, 06/27/06 2,476 2,481
Residential Funding Mortgage
Securities, Ser 1999-HI8, Cl AI7
7.970%, 11/25/29 397 395
Saxon Asset Securities Trust,
Ser 2004-3, Cl A3 (B)
5.421%, 06/26/06 2,108 2,112
Saxon Asset Securities Trust,
Ser 2005-1, Cl M1 (B)
5.611%, 06/25/06 2,925 2,932
Specialty Underwriting & Residential
Finance, Ser 2004-BC3, Cl A2B (B)
5.391%, 06/26/06 2,500 2,505
Specialty Underwriting & Residential
Finance, Ser AB1, Cl A1A (B)
5.171%, 06/25/06 1,489 1,489
Structured Asset Investment Loan
Trust, Ser 2005-HE3, Cl A3 (B)
5.201%, 06/27/06 2,192 2,192
Superior Wholesale Inventory
Financing Trust, Ser 2004-A9,
Cl A, (B)
5.131%, 06/17/06 3,500 3,498
Terwin Mortgage Trust,
Ser 2005-11, Cl 1A1A (A) (B)
4.500%, 06/25/06 1,107 1,100
UCFC Home Equity Loan,
Ser 1998-D, Cl MF1
6.905%, 04/15/30 433 432
Washington Mutual,
Ser 2000-1, Cl M2 (B)
5.881%, 06/25/06 676 678
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Washington Mutual,
Ser 2002-AR17, Cl 2A (B)
4.595%, 06/25/06 $ 734 $ 727
Washington Mutual,
Ser 2003-AR6, Cl A1 (B)
4.342%, 06/01/06 1,762 1,734
Washington Mutual, Ser 2004-AR12,
Cl A4A (B)
5.125%, 06/25/06 1,234 1,234
Washington Mutual,
Ser 2004-AR3, Cl A2
4.243%, 06/25/34 1,223 1,188
Washington Mutual,
Ser 2005-AR1, Cl A2A2 (B)
5.331%, 06/25/06 1,516 1,517
Washington Mutual,
Ser 2005-AR2, Cl 2A21 (B)
5.411%, 06/25/06 1,626 1,630
Washington Mutual,
Ser 2005-AR2, Cl 2A22 (B)
5.301%, 06/25/06 406 406
Washington Mutual,
Ser 2005-AR6, Cl 2AB1 (B)
5.271%, 06/25/06 476 476
----------
Total Asset-Backed Securities
(Cost $121,464) ($ Thousands) 121,166
----------
CORPORATE OBLIGATIONS -- 24.1%
CONSUMER DISCRETIONARY -- 2.0%
DaimlerChrysler (B)
5.100%, 06/07/06 855 855
Ford Motor
8.900%, 01/15/32 549 434
7.450%, 07/16/31 1,302 944
General Motors
8.375%, 07/15/33 561 426
7.700%, 04/15/16 1,130 850
Johnson Controls (B)
5.298%, 07/17/06 1,049 1,051
----------
4,560
----------
FINANCIALS -- 16.7%
Bank of America, Ser A (A)
8.070%, 12/31/26 3,428 3,604
BankBoston Capital Trust I, Ser B
8.250%, 12/15/26 655 689
Barrick Gold Finance
5.800%, 11/15/34 1,263 1,123
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 125
SCHEDULE OF INVESTMENTS
Extended Duration Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Bear Stearns (B)
5.356%, 07/28/06 $ 990 $ 991
Countrywide Financial (B)
5.400%, 08/05/06 1,200 1,202
Countrywide Home Loans MTN, Ser E
6.935%, 07/16/07 597 604
Credit Suisse First Boston
London (A) (B) (F)
0.000%, 06/24/06 569 511
0.000%, 06/24/06 1,419 1,275
Deutsche Bank Capital
Funding Trust (A) (B)
5.628%, 01/19/49 2,913 2,746
Deutsche Bank Luxembourg (A)
6.825%, 12/28/07 304 308
EOP Operating (B)
5.590%, 07/03/06 430 434
Farmers Insurance Exchange
Capital (A)
8.625%, 05/01/24 175 199
First Chicago NBD Institutional
Capital (A)
7.950%, 12/01/26 750 784
First Union Institutional
Capital I
8.040%, 12/01/26 1,250 1,311
Ford Motor Credit
6.625%, 06/16/08 500 474
Ford Motor Credit (B)
8.149%, 08/02/06 750 744
Goldman Sachs Group
5.350%, 01/15/16 3,000 2,837
HSBC Capital Trust II (A)
8.380%, 05/15/27 41 44
Lehman Brothers Holdings
MTN, Ser H (B) (G)
0.000%, 11/30/06 861 797
Meridian Funding (A) (B)
5.210%, 07/06/06 278 278
Nationwide Mutual Insurance (A)
6.600%, 04/15/34 522 487
Pemex Finance
8.020%, 05/15/07 577 585
Popular North America (B)
5.240%, 06/12/06 1,200 1,201
Power Receivables Financial (A)
6.290%, 01/01/12 325 324
Providian Capital I (A)
9.525%, 02/01/27 2,210 2,354
Residential Capital (B)
6.335%, 06/29/06 1,100 1,103
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Rosyln Bancorp
5.750%, 11/15/07 $ 1,400 $ 1,393
Simon Property Group++
5.750%, 05/01/12 1,130 1,122
Spieker Properties
7.650%, 12/15/10 660 708
State Street Institutional
Capital, Cl B (B)
8.035%, 03/15/07 1,824 1,923
Swiss Capital (A)
6.854%, 05/29/49 1,700 1,678
Woodbourne Pass-Through
Trust (A) (B)
5.949%, 06/08/06 700 703
Zurich Capital Trust I (A)
8.376%, 06/01/37 2,430 2,585
----------
37,121
----------
INDUSTRIALS -- 1.4%
America West Airlines, Ser 01-1
7.100%, 04/02/21 179 184
American Airlines, Ser AMBC
3.857%, 07/09/10 1,010 959
Cedar Brakes II LLC (A)
9.875%, 09/01/13 1,071 1,200
Continental Airlines, Ser 2000-2
7.707%, 04/02/21 168 176
Continental Airlines,
Ser 2002-1, Cl G1 (B)
5.620%, 08/15/06 417 418
Continental Airlines, Ser AMBC
6.236%, 03/15/20 130 129
----------
3,066
----------
INFORMATION TECHNOLOGY -- 0.5%
Oracle (A) (B)
5.280%, 07/17/06 1,214 1,211
----------
TELECOMMUNICATION SERVICES -- 0.8%
New England Telephone & Telegraph
7.650%, 06/15/07 1,786 1,817
----------
UTILITIES -- 2.7%
Entergy Gulf States (B)
5.220%, 08/15/06 450 445
Entergy Louisiana LLC
5.560%, 09/01/15 875 823
Power Contract Financing (A)
6.256%, 02/01/10 1,730 1,734
Progress Energy Florida, Cl A (B)
5.570%, 06/13/06 1,700 1,701
- --------------------------------------------------------------------------------
126 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Sempra Energy
5.659%, 08/21/06 (B) $ 870 $ 871
4.621%, 05/17/07 450 446
----------
6,020
----------
Total Corporate Obligations
(Cost $55,025) ($ Thousands) 53,795
----------
U.S. TREASURY OBLIGATIONS -- 15.3%
U.S. Treasury Bills (D)
4.754%, 08/24/06 (C) 10,575 10,460
4.663%, 08/24/06 16,915 16,732
U.S. Treasury Bond Forward
Commitments 6.250%, 08/15/23 6,240 6,849
----------
Total U.S. Treasury Obligations
(Cost $34,357) ($ Thousands) 34,041
----------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 10.4%
FHLMC
6.500%, 08/01/29 646 651
6.091%, 01/01/33 (B) 1,839 1,871
5.436%, 01/01/32 (B) 1,752 1,749
4.102%, 08/01/34 (B) 2,356 2,326
3.280%, 04/01/34 (B) 2,255 2,210
3.151%, 05/01/34 (B) 3,103 3,109
3.141%, 04/01/34 (B) 1,887 1,859
FNMA
7.000%, 04/01/34 516 529
5.699%, 01/01/33 (B) 1,676 1,696
5.500%, 10/01/17 to 02/01/18 404 396
4.808%, 11/01/33 (B) 2,655 2,654
4.793%, 07/01/33 (B) 990 998
3.681%, 06/01/33 (B) 3,054 3,047
----------
Total U.S. Government Mortgage-Backed
Obligations(Cost $23,076) ($ Thousands) 23,095
----------
COMMERCIAL PAPER (D) -- 8.3%
Aloca
5.055%, 06/21/06 5,475 5,460
GECC Capital Markets
5.030%, 07/13/06 5,475 5,443
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
Park
5.040%, 07/06/06 $ 4,560 $ 4,537
Ranger Funding
5.040%, 07/06/06 3,045 3,030
----------
Total Commercial Paper
(Cost $18,470) ($ Thousands) 18,470
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 2.5%
FHLMC CMO, Ser 2006-4, Cl WE
4.500%, 02/25/36 4,000 3,424
FHLMC CMO, Ser 2469, Cl AK
6.000%, 04/15/30 53 53
FHLMC CMO, Ser 2748, Cl ZT
5.500%, 02/15/24 345 316
FNMA CMO, Ser 2001-13, Cl SA (B)
6.645%, 11/25/17 164 165
FNMA CMO, Ser 2001-48, Cl PD
6.500%, 06/25/20 422 422
FNMA CMO, Ser 2003-122, Cl ZQ
6.000%, 12/25/33 474 441
FNMA CMO, Ser 2003-33, Cl PC
4.500%, 03/25/27 278 277
FNMA CMO, Ser 2004-12, Cl ZX
6.000%, 03/25/34 431 390
FNMA CMO, Ser 2004-80, Cl XZ
5.000%, 11/25/34 118 87
GNMA CMO, Ser 2003-112, Cl SG (B)
1.529%, 12/16/33 190 113
----------
Total U.S. Government Agency Obligations
(Cost $5,809) ($ Thousands) 5,688
----------
CASH EQUIVALENT -- 3.0%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 4.980%*+ 6,639,821 6,640
----------
Total Cash Equivalent(Cost $6,640) ($ Thousands) 6,640
----------
Total Investments -- 117.9%
(Cost $264,841) ($ Thousands) $ 262,895
==========
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 127
SCHEDULE OF INVESTMENTS
Extended Duration Fund (Concluded)
May 31, 2006
A summary of the outstanding Interest Rate Swap agreements held by the Fund at
May 31, 2006, is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
NOTIONAL NET UNREALIZED
EXPIRATION AMOUNT DEPRECIATION
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Receive fixed rate of 4.65%
and pay floating rate rate based on
3 Month LIBOR. (Counterparty:
Credit Suisse First Boston) 09/02/25 $21,350 $ (2,821)
Receive fixed rate of 4.8825% and
pay floating rate rate based on
3 Month LIBOR. (Counterparty:
Barclays Capital) 09/19/25 20,000 (2,106)
Receive fixed rate of 4.986% and pay
floating rate rate based on 3 Month
LIBOR. (Counterparty: Deutsche Bank) 10/04/25 17,630 (1,647)
Receive fixed rate of 5.0475% and pay
floating rate rate based on
3 Month LIBOR. (Counterparty:
Salomon Brothers) 01/04/26 59,690 (5,193)
Receive fixed rate of 5.064% and pay
floating rate rate based on 3 Month
LIBOR. (Counterparty: Credit Suisse
First Boston) 03/02/16 35,640 (1,605)
Receive fixed rate of 5.1425% and pay
floating rate rate based on 3 Month
LIBOR. (Counterparty: Deutsche Bank) 01/07/25 21,660 (1,586)
Receive fixed rate of 5.144% and pay
floating rate rate based on 3 Month
LIBOR. (Counterparty: Salomon
Brothers) 02/02/26 28,000 (2,131)
Receive fixed rate of 5.216% and pay
floating rate rate based on 3 Month
LIBOR. (Counterparty: Barclays
Capital) 04/04/25 49,000 (3,206)
Receive fixed rate of 5.216% and pay
floating rate rate based on 3 Month
LIBOR. (Counterparty: Credit
Suisse First Boston) 04/04/25 50,000 (3,271)
Receive fixed rate of 5.216% and pay
floating rate rate based on 3 Month
LIBOR. (Counterparty: Deutsche Bank) 04/04/25 43,000 (2,813)
Receive fixed rate of 5.212% and pay
floating rate rate based on 3 Month
LIBOR. (Counterparty: Barclays
Capital) 12/02/25 11,830 (785)
Receive fixed rate of 5.244% and pay
floating rate rate based on 3 Month
LIBOR. (Counterparty: Barclays
Capital) 11/03/25 51,820 (3,299)
Receive fixed rate of 5.243% and pay
floating rate rate based on 3 Month
LIBOR. (Counterparty:
Salomon Brothers) 11/03/25 51,820 (3,304)
---------
$(33,767)
=========
- --------------------------------------------------------------------------------
DESCRIPTION
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $222,923 ($ Thousands).
* Rate shown is the 7-day effective yield as of May 31, 2006.
+ Pursuant to an exemptive order issued by the Securities and Exchange
Commission, the Fund may invest in the SEI money market funds, provided that
investments in the money market funds do not exceed 25% of the Fund's total
assets.
++ Real Estate Investment Trust.
(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 Trustees.
(B) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of May 31, 2006.
(C) Security, or portion of this security, has been pledged as collateral on
open swap contracts. The rate reported on the Schedule of Investments is the
effective yield at time of purchase.
(D) The rate reported is the effective yield at time of purchase.
(E) Security considered illiquid. The total value of such securities as of May
31, 2006 was $3,406 ($ Thousands) and represented 1.53% of Net Assets.
(F) The note accrues 9.65% annual coupon for any day that the 3-year swap rate
exceeds the 1-year swap rate by 22 or more basis points.
(G) The note accrues 12.50% annual coupon for any day that the 5-year swap rate
exceeds the 2-year swap rate by 30 or more basis points.
Cl -- Class
CMO -- Collateralized Mortgage Obligation
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
IO -- Interest Only
LIBOR -- London InterBank Offering Rate
LLC -- Limited Liability Company
MTN -- Medium Term Note
NIM -- Net Interest Margin
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
128 SEI Institutional Investments Trust / Annual Report / May 31, 2006
STATEMENT OF NET ASSETS
High Yield Bond Fund
May 31, 2006
- --------------------------------------------------------------------------------
Sector Weightings (unaudited)++:
22.5% Consumer Discretionary
19.1% Financials
11.9% Industrials
9.7% Material
8.2% Energy
7.2% Telecommunication Services
4.6% Utilities
4.5% Health Care
2.4% Cash Equivalents
2.4% Information Technology
2.3% Consumer Staples
2.2% Short-Term Investments
1.6% Mortgage Related
0.8% Preferred Stock
0.4% Common Stock
0.1% Certificates of Deposit
0.1% U.S. Government Agency Obligations
++Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 93.9%
CONSUMER DISCRETIONARY -- 24.2%
155 E Tropicana LLC
8.750%, 04/01/12 $ 1,164 $ 1,141
AMC Entertainment
8.000%, 03/01/14 775 723
AMF Bowling Worldwide
10.000%, 03/01/10 800 820
Acco Brands
7.625%, 08/15/15 1,075 1,016
Adelphia Communications (C) (F)
10.250%, 06/15/11 1,375 698
9.500%, 03/01/05 1,667 1,534
Adesa
7.625%, 06/15/12 475 477
Alderwoods Group
7.750%, 09/15/12 275 291
American Greetings
7.375%, 06/01/16 200 203
American Tower
7.500%, 05/01/12 100 102
7.125%, 10/15/12 950 971
Ames True Temper (D)
9.068%, 07/15/06 690 680
Amscan Holdings
8.750%, 05/01/14 1,050 934
Arvinmeritor
8.750%, 03/01/12 250 251
Asbury Automotive
9.000%, 06/15/12 3,261 3,318
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Autonation (A) (F)
7.045%, 07/15/06 $ 680 $ 687
Avis (A) (D)
7.576%, 08/15/06 1,065 1,081
Aztar
7.875%, 06/15/14 2,217 2,369
Bombardier Recreational
8.375%, 12/15/13 1,655 1,820
Bon-Ton Department Stores (A) (F)
10.250%, 03/15/14 544 509
Boyd Gaming
7.750%, 12/15/12 300 307
7.125%, 02/01/16 825 811
Broder Brothers, Ser B
11.250%, 10/15/10 1,200 1,137
Brookstone (A)
12.000%, 10/15/12 275 246
Brown Shoe
8.750%, 05/01/12 1,050 1,097
Burlington (A) (F)
11.125%, 04/15/14 1,375 1,349
CBD Media Holdings
9.250%, 07/15/12 525 530
8.625%, 06/01/11 250 251
CCH I Holdings LLC
13.500%, 01/15/14 (B) (F) 850 557
10.000%, 05/15/14 325 198
CCH II LLC (F)
10.250%, 09/15/10 2,986 2,979
CCH I LLC
11.000%, 10/01/15 2,265 1,948
CCM Merger (A) (F)
8.000%, 08/01/13 2,375 2,280
CCO Holdings LLC
9.035%, 06/15/06 (D) 1,622 1,642
8.750%, 11/15/13 1,490 1,440
CMP Susquehanna (A)
9.875%, 05/15/14 1,215 1,182
CSC Holdings
7.875%, 12/15/07 175 178
CSC Holdings, Ser B
8.125%, 08/15/09 275 282
CSK Auto
7.000%, 01/15/14 100 96
Cablevision Systems, Ser B
9.620%, 10/03/06 (D) 1,825 1,939
8.000%, 04/15/12 520 515
Caesars Entertainment
8.875%, 09/15/08 175 185
8.125%, 05/15/11 300 319
7.875%, 03/15/10 600 628
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 129
STATEMENT OF NET ASSETS
High Yield Bond Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Canwest Media
8.000%, 09/15/12 $ 950 $ 957
Carmike Cinemas
7.500%, 02/15/14 1,200 1,180
Carrols (F)
9.000%, 01/15/13 525 530
Century Communications,
Ser B (C)
9.050%, 01/15/08 2,890 1,503
Charter Communications
Holdings (A)
8.375%, 04/30/14 677 675
Charter Communications
Holdings II (A)
10.250%, 09/15/10 525 522
Cinemark (B)
9.340%, 03/15/14 650 509
Collins & Aikman Floorcovering,
Ser B (F)
9.750%, 02/15/10 400 399
Cooper Standard Auto
8.375%, 12/15/14 1,550 1,285
Cornell
10.750%, 07/01/12 475 499
Corrections of America
6.750%, 01/31/14 425 413
6.250%, 03/15/13 2,773 2,634
Del Laboratories
8.000%, 02/01/12 1,075 881
Delphi (C) (F)
6.500%, 08/15/13 2,525 2,033
Denny's (F)
10.000%, 10/01/12 1,710 1,753
Dex Media
8.170%, 11/15/13 (B) 1,000 840
8.000%, 11/15/13 550 557
Dex Media East LLC
9.875%, 11/15/09 871 923
Dex Media West/Finance,
Ser B
9.875%, 08/15/13 950 1,035
Directv Holdings
6.375%, 06/15/15 1,565 1,471
Dura Operating, Ser D
9.000%, 05/01/09 350 203
Echostar DBS
7.125%, 02/01/16 (A) 1,440 1,379
6.375%, 10/01/11 400 384
5.750%, 10/01/08 150 148
El Dorado Casino Shreveport
PIK (F)
10.000%, 08/01/12 1,050 840
Elizabeth Arden
7.750%, 01/15/14 1,075 1,075
Eye Care Centers of America (F)
10.750%, 02/15/15 400 464
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Federal-Mogul
7.750%, 07/01/06 (C) $ 800 $ 480
7.375%, 01/15/06 200 120
Federal-Mogul MTN, Ser A
8.370%, 11/15/01 300 181
Ford Motor
9.500%, 09/15/11 875 774
9.215%, 09/15/21 325 256
8.900%, 01/15/32 450 355
8.875%, 01/15/22 50 39
7.450%, 07/16/31 1,422 1,031
French Lick Resorts (A)
10.750%, 04/15/14 3,467 3,389
GSC Holdings (A)
8.865%, 07/01/06 (D) 1,164 1,205
8.000%, 10/01/12 (F) 812 808
General Motors (F)
8.375%, 07/15/33 1,139 864
8.250%, 07/15/23 602 453
7.700%, 04/15/16 1,473 1,108
Goodyear Tire & Rubber (F)
9.000%, 07/01/15 1,526 1,553
Gregg Appliances
9.000%, 02/01/13 1,668 1,547
Group 1 Automotive
8.250%, 08/15/13 800 804
Harrahs Operating
8.000%, 02/01/11 50 54
Harry & David Operations
9.000%, 03/01/13 1,628 1,498
Herbst Gaming
8.125%, 06/01/12 2,714 2,789
7.000%, 11/15/14 100 99
Hertz (A)
10.500%, 01/01/16 (F) 286 310
8.875%, 01/01/14 1,841 1,915
Houghton Mifflin
9.875%, 02/01/13 450 475
Hydrochem Industrial (A)
9.250%, 02/15/13 875 871
Inn of the Mountain Gods
12.000%, 11/15/10 475 508
Intrawest
7.500%, 10/15/13 2,483 2,520
Isle of Capri Casinos
9.000%, 03/15/12 200 211
7.000%, 03/01/14 745 723
Jacuzzi Brands
9.625%, 07/01/10 510 546
Jean Coutu Group
7.625%, 08/01/12 650 632
Jo-Ann Stores (F)
7.500%, 03/01/12 300 278
- -------------------------------------------------------------------------------
130 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Kabel Deutschland (A)
10.625%, 07/01/14 $ 2,170 $ 2,322
LBI Media (B)
9.810%, 10/15/13 625 501
Lamar Media
7.250%, 01/01/13 325 322
6.625%, 08/15/15 50 48
Lazydays RV Center
11.750%, 05/15/12 1,750 1,706
Leslie's Poolmart
7.750%, 02/01/13 150 148
Levi Strauss
12.250%, 12/15/12 1,620 1,822
9.740%, 07/01/06 (D) 3,575 3,696
8.875%, 04/01/16 (A) 312 307
Lin Television
6.500%, 05/15/13 150 139
Lin Televison, Ser B
6.500%, 05/15/13 1,150 1,067
Little Traverse Bay Bands of
Odawa Indians Casino and
Hotel (A)
10.250%, 02/15/14 75 74
Lodgenet Entertainment
9.500%, 06/15/13 400 428
MGM Mirage
8.500%, 09/15/10 100 106
6.750%, 04/01/13 (A) 785 766
5.875%, 02/27/14 1,970 1,807
MTR Gaming Group (A)
9.000%, 06/01/12 150 152
Majestic Star LLC (A) (F)
9.750%, 01/15/11 1,575 1,622
Mandalay Resort Group, Ser B
10.250%, 08/01/07 25 26
Mediacom LLC
9.500%, 01/15/13 1,777 1,786
Medianews Group
6.875%, 10/01/13 200 188
Metaldyne (F)
11.000%, 06/15/12 123 106
10.000%, 11/01/13 2,136 2,051
Mohegan Tribal Gaming
7.125%, 08/15/14 100 98
6.875%, 02/15/15 1,300 1,241
6.125%, 02/15/13 350 333
NationsRent
9.500%, 10/15/10 2,960 3,182
Neiman Marcus Group (A)
10.375%, 10/15/15 (F) 1,000 1,052
9.000%, 10/15/15 450 469
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Nexstar Holdings LLC (B)
10.750%, 04/01/13 $ 975 $ 820
Nordic Telephone (A)
8.875%, 05/01/16 2,075 2,142
O'Charley's
9.000%, 11/01/13 254 260
Pantry
7.750%, 02/15/14 625 629
Penn National Gaming
6.750%, 03/01/15 1,440 1,377
Perry Ellis International,
Ser B
8.875%, 09/15/13 1,689 1,681
Petro Stopping Centers
9.000%, 02/15/12 350 352
Phillips Van-Heusen
8.125%, 05/01/13 375 386
7.250%, 02/15/11 75 75
Pinnacle Entertainment
8.250%, 03/15/12 2,946 2,990
Polypore International
(B) (F)
13.240%, 10/01/12 1,450 990
Primedia
10.545%, 08/15/06 (D) 720 734
8.875%, 05/15/11 600 574
8.000%, 05/15/13 1,100 990
Quebecor Media (A)
7.750%, 03/15/16 1,025 1,040
Quicksilver
6.875%, 04/15/15 275 260
Qwest
7.875%, 09/01/11 600 617
RH Donnelley
10.875%, 12/15/12 415 456
8.875%, 01/15/16 (A) 1,532 1,540
6.875%, 01/15/13 (A) 1,525 1,395
6.875%, 01/15/13 (A) 2,750 2,516
RJ Tower (C) (F)
12.000%, 06/01/13 1,950 1,428
Rexnord
10.125%, 12/15/12 455 505
Riddell Bell Holdings
8.375%, 10/01/12 2,040 2,030
Sealy Mattress
8.250%, 06/15/14 600 624
Seneca Gaming,
7.250%, 05/01/12 175 173
Service
7.700%, 04/15/09 595 602
7.500%, 06/15/17 (A) 700 665
6.750%, 04/01/16 1,645 1,542
6.500%, 03/15/08 2,033 2,028
- -------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 131
STATEMENT OF NET ASSETS
High Yield Bond Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Simmons (B)
10.000%, 12/15/14 $ 850 $ 597
Sinclair Broadcast Group
(A) (B)
4.875%, 07/15/18 400 350
Six Flags
9.750%, 04/15/13 861 863
9.625%, 06/01/14 1,147 1,133
Sonic Automotive, Ser B (F)
8.625%, 08/15/13 2,132 2,153
Spectrum Brands
8.500%, 10/01/13 1,250 1,087
Stanadyne
15.530%, 02/15/15 (B) 1,500 750
10.000%, 08/15/14 1,250 1,156
Stanley-Martin
9.750%, 08/15/15 1,446 1,280
Starwood Hotel & Resorts
7.875%, 05/01/12 350 370
7.375%, 05/01/07 675 683
7.375%, 11/15/15 603 620
Station Casinos
6.875%, 03/01/16 2,549 2,463
6.625%, 03/15/18 (A) 2,175 2,023
Steinway Musical Instruments (A)
7.000%, 03/01/14 2,760 2,712
Stewart Enterprises (A)
7.750%, 02/15/13 485 453
Sun Media
7.625%, 02/15/13 225 230
Superior Essex Communications
Group
9.000%, 04/15/12 600 613
Tech Olympic (A)
8.250%, 04/01/11 210 205
Tenneco Automotive (F)
8.625%, 11/15/14 3,904 3,924
Town Sports International
9.625%, 04/15/11 927 978
9.410%, 02/01/14 (B) 4,031 3,205
Turning Stone Casino
Entertainment (A)
9.125%, 12/15/10 2,159 2,218
United Components
9.375%, 06/15/13 1,786 1,804
United Rentals North America
7.750%, 11/15/13 4,075 3,993
7.000%, 02/15/14 150 141
6.500%, 02/15/12 505 485
Universal City Florida
9.899%, 08/01/06 (D) (F) 4,648 4,799
8.375%, 05/01/10 175 179
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
US LEC (D)
13.620%, 10/01/06 $ 800 $ 856
Vail Resorts
6.750%, 02/15/14 490 471
Vertis
9.750%, 04/01/09 500 510
VICORP Restaurants
10.500%, 04/15/11 650 611
Videotron
6.875%, 01/15/14 1,885 1,833
Visant Holding (B)
9.980%, 12/01/13 3,179 2,511
Visteon (F)
8.250%, 08/01/10 550 511
7.000%, 03/10/14 1,200 993
WMG Holdings
8.740%, 12/15/14 1,075 812
Williams Scotsman
8.500%, 10/01/15 532 536
Wynn Las Vegas LLC
6.625%, 12/01/14 2,614 2,480
Yell Finance
13.125%, 08/01/11 (B) 775 820
10.750%, 08/01/11 425 451
---------
209,057
---------
CONSUMER STAPLES -- 2.4%
B & G Foods Holding
8.000%, 10/01/11 500 504
Dave & Buster's (A)
11.250%, 03/15/14 293 294
Dean Foods
7.000%, 06/01/16 1,375 1,347
Del Laboratories (A) (D)
10.149%, 07/28/06 300 308
Del Monte
6.750%, 02/15/15 632 598
Dole Foods (F)
8.875%, 03/15/11 800 783
Fleming (C)
10.125%, 04/01/08 1,050 189
9.250%, 06/15/10 200 36
General Nutrition Center
8.500%, 12/01/10 850 816
Ingles Markets
8.875%, 12/01/11 552 578
Jean Countu Group (F)
8.500%, 08/01/14 1,125 1,046
Le-Natures (A)
10.000%, 06/15/13 2,194 2,301
- -------------------------------------------------------------------------------
132 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
NBTY
7.125%, 10/01/15 $ 2,425 $ 2,316
Natural Beef Pack
10.500%, 08/01/11 1,513 1,521
Playtex Products
9.375%, 06/01/11 1,060 1,105
RJ Reynolds Tobacco
Holdings (F)
6.500%, 06/01/07 1,650 1,650
Reynolds American (A)
7.250%, 06/01/13 330 326
Rite Aid
12.500%, 09/15/06 150 152
7.700%, 02/15/27 (F) 150 123
6.875%, 08/15/13 (F) 100 88
6.875%, 12/15/28 350 259
Stater Brothers Holdings (D)
8.410%, 06/15/06 1,859 1,887
UNIFI (A)
11.500%, 05/15/14 150 150
Visant Holding (A)
8.750%, 12/01/13 2,115 2,083
---------
20,460
---------
Energy -- 9.0%
Allis-Chalmers Energy (A)
9.000%, 01/15/14 2,186 2,219
Atlas Pipeline Partners (A)
8.125%, 12/15/15 1,160 1,183
Baytex Energy
9.625%, 07/15/10 525 554
Belden & Blake (F)
8.750%, 07/15/12 2,067 2,114
Brigham Exploration (A)
9.625%, 05/01/14 300 297
Chaparral Energy (A)
8.500%, 12/01/15 2,501 2,532
Chesapeake Energy
7.750%, 01/15/15 1,941 1,985
7.500%, 06/15/14 494 504
7.000%, 08/15/14 851 848
6.875%, 01/15/16 4,528 4,403
6.500%, 08/15/17 3,200 3,024
6.375%, 06/15/15 50 47
Clayton William Energy
7.750%, 08/01/13 1,689 1,575
Colorado Interstate Gas
5.950%, 03/15/15 250 234
Compton Pet Finance
7.625%, 12/01/13 475 463
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Comstock Resources
6.875%, 03/01/12 $ 50 $ 48
Copano Energy LLC (A)
8.125%, 03/01/16 1,102 1,119
Denbury Resources
7.500%, 12/15/15 1,945 1,969
El Paso
9.625%, 05/15/12 (A) 1,894 2,083
7.625%, 08/16/07 380 385
7.625%, 09/01/08 (A) 791 804
7.420%, 02/15/37 (A) 750 698
7.000%, 05/15/11 (F) 575 572
6.750%, 05/15/09 300 298
El Paso MTN
8.050%, 10/15/30 (F) 950 948
7.800%, 08/01/31 150 146
7.375%, 12/15/12 450 452
El Paso Natural Gas
8.375%, 06/15/32 300 327
El Paso Production Holdings
7.750%, 06/01/13 2,265 2,310
Encore Acquisition
7.250%, 12/01/17 375 363
6.000%, 07/15/15 275 245
Energy Partners
8.750%, 08/01/10 1,047 1,060
Forest Oil
8.000%, 12/15/11 1,025 1,063
Giant Industries
8.000%, 05/15/14 750 759
Grant Prideco, Ser B
6.125%, 08/15/15 300 281
Hanover Compress
8.625%, 12/15/10 805 829
Hanover Compressor
9.000%, 06/01/14 540 574
7.500%, 04/15/13 (F) 600 594
Hanover Equipment Trust,
Ser 2001 B
8.750%, 09/01/11 3,675 3,822
Hilcorp Energy (A)
10.500%, 09/01/10 4,080 4,437
7.750%, 11/01/15 726 715
Holly Energy Partners LP
6.250%, 03/01/15 600 560
Mariner Energy (A)
7.500%, 04/15/13 1,000 968
Markwest Energy, Ser B
6.875%, 11/01/14 1,400 1,299
Massey Energy
6.875%, 12/15/13 (A) 914 877
6.625%, 11/15/10 2,774 2,774
- -------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 133
STATEMENT OF NET ASSETS
High Yield Bond Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Newfield Exploration
6.625%, 04/15/16 $ 665 $ 633
Pacific Energy
6.250%, 09/15/15 200 185
Parker Drilling
9.625%, 10/01/13 639 701
9.570%, 06/01/06 (D) 4,542 4,633
Pogo Producing
6.875%, 10/01/17 675 638
6.625%, 03/15/15 500 473
Pogo Producing, Ser B
8.250%, 04/15/11 1,072 1,116
Premcor Refining
7.500%, 06/15/15 2,752 2,851
Pride International
7.375%, 07/15/14 1,391 1,422
Quicksilver Resources
7.125%, 04/01/16 1,974 1,885
Range Resources
6.375%, 03/15/15 350 324
SESI (A)
6.875%, 06/01/14 950 931
Sierra Pacific Resources
8.625%, 03/15/14 100 108
Tesoro (A)
6.625%, 11/01/15 935 902
Transcont Gas Pipe (A)
6.400%, 04/15/16 150 147
United Refining (F)
10.500%, 08/15/12 3,587 3,748
Veneco
8.750%, 12/15/11 650 631
Whiting Petroleum
7.000%, 02/01/14 460 444
Williams
8.125%, 03/15/12 365 387
7.625%, 07/15/19 335 346
---------
77,866
---------
FINANCIALS -- 14.7%
Alamosa Delaware
11.000%, 07/31/10 60 66
8.500%, 01/31/12 1,355 1,446
Allstate Life Global
Funding II MTN (A) (D) (G)
5.101%, 06/15/07 681 681
American General Finance (A) (D) (G)
5.111%, 06/15/07 2,147 2,147
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
American General Finance MTN,
Ser F (G)
5.875%, 07/14/06 $ 148 $ 151
Amkor Technology, 2nd Lien
(D) (I)
9.694%, 10/27/10 2,500 2,575
Aquila (D) (I)
10.670%, 09/19/09 1,000 1,030
Arch Western Finance
6.750%, 07/01/13 5,308 5,149
Bear Stearns, Ser EXL (D) (G)
5.091%, 06/15/07 2,636 2,636
CB Richard Ellis Service
11.250%, 06/15/11 450 477
9.750%, 05/15/10 325 348
CCFC, 1st Lien (D) (I)
10.826%, 08/26/09 1,492 1,567
Cardtronics (A)
9.250%, 08/15/13 150 149
Caterpillar Financial
Services MTN, Ser F (D) (G)
5.148%, 07/10/06 740 740
Cebridge, 2nd Lien (D) (I)
11.150%, 05/05/14 2,500 2,412
Choctaw Resort Development
Entity (A)
7.250%, 11/15/19 1,025 1,017
Cooper Standard (D) (I)
7.500%, 12/23/11 2,743 2,753
Countrywide Financial Services
MTN, Ser A (D) (G)
5.210%, 11/03/06 1,555 1,555
4.960%, 09/13/06 2,739 2,739
Crystal US Holdings, Ser B (B)
8.730%, 10/01/14 600 473
Dekabank (A) (D) (G)
5.108%, 05/18/07 2,739 2,739
Delphi Term Loan (D) (I)
5.066%, 06/14/11 1,925 1,992
Dow Jones CDX HY, Ser 6-T1 (F)
8.625%, 06/29/11 5,000 4,944
FTI Consulting
7.625%, 06/15/13 350 360
Festival Fun Park LLC
10.875%, 04/15/14 2,269 2,280
Ford Motor Credit
9.473%, 07/17/06 (D) 2,025 2,035
7.375%, 10/28/09 2,765 2,547
7.375%, 02/01/11 650 583
7.250%, 10/25/11 1,500 1,332
7.000%, 10/01/13 (F) 1,836 1,584
6.638%, 01/15/10 680 616
6.625%, 06/16/08 1,150 1,089
- -------------------------------------------------------------------------------
134 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
General Motors Acceptance
8.000%, 11/01/31 $ 3,068 $ 2,882
6.875%, 08/28/12 2,945 2,737
6.750%, 12/01/14 (F) 5,210 4,729
6.125%, 08/28/07 175 171
Georgia Pacific (D) (I)
8.086%, 12/23/12 500 507
8.081%, 02/14/14 1,425 1,445
6.750%, 02/14/13 723 724
Host Marriott, Ser M+
7.125%, 11/01/13 100 101
7.000%, 08/15/12 450 451
6.750%, 06/01/16 (A) (F) 2,100 2,040
Host Marriott, Ser O+
6.375%, 03/15/15 175 167
Innophos Investments
13.170%, 02/15/15 2,157 2,163
Ipayment (A)
9.750%, 05/15/14 500 501
Irish Life & Permanent MTN,
Ser X (A) (D) (G)
5.109%, 06/21/07 1,969 1,969
Islandsbanki (D) (G)
5.180%, 04/06/07 2,221 2,221
5.131%, 03/22/07 1,259 1,259
J.G. Wentworth Loan (D) (I)
8.540%, 04/12/11 575 581
Jackson National Life
Funding (A) (D) (G)
5.080%, 05/02/07 3,258 3,258
K&F Acquisition
7.750%, 11/15/14 550 558
Kaupthing Bank MTN (D) (G)
5.141%, 03/20/07 3,702 3,702
LSP General Finance (D) (I)
6.827%, 04/13/13 61 61
LSP General Finance, 2nd Lien++ (D)
8.239%, 04/13/13 2,500 2,537
Landsbanki Islands (D) (G)
5.161%, 03/16/07 2,813 2,813
Level 3 (D) (I)
11.823%, 12/01/11 1,750 1,853
Mirant Americas (D) (I)
6.830%, 01/15/13 995 994
Morgan Stanley EXL (D) (G)
5.190%, 07/03/07 518 518
Morgan Stanley EXL, Ser S (D) (G)
5.150%, 07/03/07 740 740
Murray, 2nd Lien (D) (I)
12.375%, 01/31/11 1,995 2,080
Natexis Banques (A) (D) (G)
5.060%, 06/15/07 1,444 1,443
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Nationwide Building Society
(A) (D) (G)
5.160%, 04/05/07 $ 1,481 $ 1,481
5.020%, 04/27/07 814 814
Noble Group (A)
6.625%, 03/17/15 975 850
Nordbank (A) (D) (G)
5.080%, 06/22/07 2,517 2,517
Northern Rock (A) (D) (G)
5.170%, 05/03/07 1,525 1,525
Omega Healthcare Investors
7.000%, 01/15/16 575 550
Pacific Life Global
Funding (A) (D) (G)
5.101%, 06/13/07 1,111 1,111
Premium Asset Trust,
Ser 2004-06 (A) (D) (G)
5.190%, 06/30/06 1,407 1,408
Premium Asset Trust,
Ser 2004-10 (A) (D) (G)
5.120%, 05/14/07 2,073 2,073
Rouse (A)+
6.750%, 05/01/13 3,005 2,975
SLM EXL, Ser S (A) (D) (G)
5.081%, 06/15/07 1,629 1,629
Senior Housing+
7.875%, 04/15/15 645 668
Sigma Finance MTN (G)
4.745%, 11/09/06 800 800
Skandinav Enskilda Bank
(A) (D) (G)
5.077%, 05/18/07 1,629 1,629
Stripes Acquisition/Susser
Financial (A)
10.625%, 12/15/13 231 251
Trains HY, Ser 2005-1
6.975%, 06/15/15 854 850
Trustreet Properties+
7.500%, 04/01/15 925 912
UGS
10.000%, 06/01/12 500 542
United Airlines (D) (I)
8.440%, 02/01/12 1,250 1,262
Universal City Development
11.750%, 04/01/10 1,150 1,256
Venoco, 2nd Lien (D) (I)
10.125%, 04/26/11 150 151
9.241%, 04/26/11 2,500 2,512
Ventas Realty
8.750%, 05/01/09 150 158
7.125%, 06/01/15+ 500 504
6.625%, 10/15/14+ 375 367
Wide Open West, 2nd Lien (D) (I)
10.130%, 04/28/13 500 501
---------
126,713
---------
- -------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 135
STATEMENT OF NET ASSETS
High Yield Bond Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
HEALTH CARE -- 4.9%
Accellent
10.500%, 12/01/13 $ 2,060 $ 2,168
Bio-Rad Laboratories
6.125%, 12/15/14 525 492
Biovail
7.875%, 04/01/10 2,553 2,585
CRC Health (A)
10.750%, 02/01/16 1,250 1,288
Concentra Operating
9.500%, 08/15/10 300 315
Extendicare Health Services
9.500%, 07/01/10 2,139 2,235
Fisher Scientific International
6.125%, 07/01/15 1,452 1,412
Fresenius Medical Capital Trust
7.875%, 02/01/08 306 312
Fresenius Medical Capital
Trust IV
7.875%, 06/15/11 500 519
Genesis Healthcare
8.000%, 10/15/13 1,225 1,292
HCA
8.750%, 09/01/10 900 962
7.500%, 11/06/33 (F) 828 773
6.750%, 07/15/13 145 142
6.500%, 02/15/16 (F) 4,997 4,727
6.250%, 02/15/13 517 492
Hangar Orthopedic Group (A)
10.250%, 06/01/14 175 175
Healthcare
6.950%, 05/01/12 200 198
Iasis Healthcare (F)
8.750%, 06/15/14 1,000 1,011
Insight Health Services (D) (F)
10.399%, 06/22/06 350 315
Insight Health Services, Ser B
9.875%, 11/01/11 850 383
Kinetic Concepts
7.375%, 05/15/13 275 280
Leiner Health Products
11.000%, 06/01/12 150 147
MQ Associates (B) (F)
25.590%, 08/15/12 676 264
Medcath Holdings
9.875%, 07/15/12 75 76
MedQuest, Ser B (F)
11.875%, 08/15/12 1,240 1,115
MultiPlan (A)
10.375%, 04/15/16 898 920
National Mentor
9.625%, 12/01/12 800 902
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Norcross Safety Products, Ser B
9.875%, 08/15/11 $ 1,225 $ 1,274
Res-Care
7.750%, 10/15/13 625 627
Select Medical
10.820%, 09/29/06 (A) (D) 225 212
7.625%, 02/01/15 2,825 2,521
Sybron Dental Specialties
8.125%, 06/15/12 475 501
Tenet Healthcare (F)
9.500%, 02/01/15 (A) 1,894 1,908
6.500%, 06/01/12 350 315
Triad Hospitals
7.000%, 05/15/12 (F) 1,755 1,740
7.000%, 11/15/13 410 397
US Oncology Holdings
10.750%, 08/15/14 4,012 4,438
10.320%, 09/15/06 (D) (F) 2,012 2,047
9.000%, 08/15/12 125 131
WH Holdings
9.500%, 04/01/11 763 828
---------
42,439
---------
INDUSTRIALS -- 13.1%
ALH Finance
8.500%, 01/15/13 1,800 1,764
Acih (A) (B)
10.710%, 12/15/12 1,225 1,047
Ahern Rentals
9.250%, 08/15/13 775 796
Ainsworth Lumber
8.710%, 06/30/06 (D) (F) 2,990 2,990
7.250%, 10/01/12 1,821 1,580
6.750%, 03/15/14 2,025 1,676
Air 2 US (A)
8.027%, 10/01/19 1,276 1,279
Alliant Techsystems
6.750%, 04/01/16 350 343
Allied Waste North America
7.250%, 03/15/15 285 279
7.125%, 05/15/16 (A) (F) 2,919 2,817
Allied Waste North America,
Ser B
8.500%, 12/01/08 1,375 1,442
7.375%, 04/15/14 385 371
5.750%, 02/15/11 350 331
Amsted Industries (A)
10.250%, 10/15/11 900 972
Armstrong Holdings (C) (F)
10.344%, 05/15/29 2,050 1,630
- -------------------------------------------------------------------------------
136 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Associated Materials
12.420%, 03/01/14 (B) $ 1,225 $ 766
9.750%, 04/15/12 500 517
Autocam
10.875%, 06/15/14 175 104
Beazer Homes USA
6.500%, 11/15/13 1,300 1,214
Buhrmann US
8.250%, 07/01/14 1,650 1,671
7.875%, 03/01/15 600 600
Builders Firstsource (D)
9.420%, 08/16/06 3,265 3,363
Case New Holland (A)
7.125%, 03/01/14 603 585
Cedar Brakes I LLC (A)
8.500%, 02/15/14 -- --
Cenveo
9.625%, 03/15/12 627 671
7.875%, 12/01/13 953 920
Chart Industries (A)
9.125%, 10/15/15 325 345
Chukchansi Economic Development
Authority (A) (D)
8.780%, 11/15/06 404 417
Contenintal Airlines,
Ser RJ04 (F)
9.558%, 09/01/19 834 857
Continental Airlines,
Ser 971A
7.461%, 04/01/15 1,273 1,237
Continental Airlines,
Ser 982A
6.410%, 04/15/07 250 249
Corrections Corporation
of America
7.500%, 05/01/11 544 549
Covalence Specialty Mate (A)
10.250%, 03/01/16 355 359
D R Horton
5.625%, 09/15/14 150 139
5.625%, 01/15/16 (F) 925 840
5.250%, 02/15/15 1,480 1,322
DRS Technologies
7.625%, 02/01/18 (F) 1,445 1,459
6.875%, 11/01/13 75 74
6.625%, 02/01/16 775 752
Dayton Superior
13.000%, 06/15/09 1,202 1,070
10.750%, 09/15/08 517 534
Delta Air Lines, Ser 2000-1,
Cl A2
7.570%, 11/18/10 (C) 3,672 3,681
7.111%, 09/18/11 (C) (F) 81 80
Delta Air Lines,
Ser 2002-1, Cl C (C)
7.779%, 01/02/12 344 322
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Education Management (A)
10.250%, 06/01/16 $ 2,384 $ 2,402
8.750%, 06/01/14 1,343 1,343
Fastentech
11.500%, 05/01/11 1,354 1,384
Gencorp
9.500%, 08/15/13 850 918
Goodman Global Holdings
7.875%, 12/15/12 370 363
Greenbrier
8.375%, 05/15/15 848 873
Gulfmark Offshore
7.750%, 07/15/14 1,304 1,288
H-Lines Finance Holdings (B)
9.770%, 04/01/13 775 659
Harvest Operations
7.875%, 10/15/11 950 929
Hexion US Financial (D)
9.818%, 07/15/06 2,744 2,799
Horizon Lines LLC
9.000%, 11/01/12 800 836
Indalex Holding (A)
11.500%, 02/01/14 1,439 1,511
Interface
9.500%, 02/01/14 275 285
Invensys PLC (A)
9.875%, 03/15/11 1,413 1,533
Iron Mountain
6.625%, 01/01/16 1,325 1,232
J.B. Poindexter
8.750%, 03/15/14 150 125
K Hovnanian Enterprises (F)
6.250%, 01/15/16 500 442
L-3 Communications
6.125%, 07/15/13 566 533
5.875%, 01/15/15 4,097 3,769
L-3 Communications, Cl B
6.375%, 10/15/15 1,051 993
Language Line
11.125%, 06/15/12 250 247
Maax Holdings
12.250%, 12/15/12 (B) 2,550 1,269
9.750%, 06/15/12 1,100 924
Meritage Homes
7.000%, 05/01/14 1,575 1,467
6.250%, 03/15/15 2,025 1,792
Metals USA (A)
11.125%, 12/01/15 1,872 2,087
Millar Western Forest
7.750%, 11/15/13 1,382 1,078
Monitronics International
11.750%, 09/01/10 1,184 1,172
- -------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 137
STATEMENT OF NET ASSETS
High Yield Bond Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Mueller Holdings (B)
6.160%, 04/15/14 $ 825 $ 693
NCL
10.625%, 07/15/14 550 543
Nebraska Book
8.625%, 03/15/12 250 230
Nell Af Sarl (A)
8.375%, 08/15/15 300 296
Nortek
8.500%, 09/01/14 275 276
North American Energy Partner
8.750%, 12/01/11 350 341
Nutro Products (A)
10.750%, 04/15/14 300 307
9.230%, 10/15/06 950 962
Owens Corning (C)
7.500%, 08/01/18 (F) 225 245
7.000%, 03/15/09 1,100 1,180
PHI (A)
7.125%, 04/15/13 125 122
Park-Ohio Industries
8.375%, 11/15/14 1,700 1,530
Ply Gem
9.000%, 02/15/12 800 754
Propex Frabics
10.000%, 12/01/12 325 306
Quality Distributors
9.000%, 11/15/10 1,000 942
Quebecor World Capital
8.750%, 03/15/16 275 259
Rainbow National Services
LLC (A)
10.375%, 09/01/14 475 531
8.750%, 09/01/12 985 1,044
SGS International (A)
12.000%, 12/15/13 1,275 1,320
Schuler Homes
10.500%, 07/15/11 200 211
Ship Finance International
8.500%, 12/15/13 1,363 1,308
Southern Star (A) (I)
6.750%, 03/01/16 175 171
Southern States Cooperative (A)
10.500%, 11/01/10 844 895
Sunstate Equipment
10.500%, 04/01/13 250 264
TD Funding
8.375%, 07/15/11 525 558
TRW Automotive
9.375%, 02/15/13 745 803
Tech Olympic USA (F)
10.375%, 07/01/12 2,217 2,250
7.500%, 03/15/11 200 183
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Tembec Industries
8.625%, 06/30/09 (F) $ 600 $ 336
8.500%, 02/01/11 (F) 700 382
7.750%, 03/15/12 150 80
Tempur Pedic
10.250%, 08/15/10 675 715
Terex
9.250%, 07/15/11 475 502
7.375%, 01/15/14 804 806
Terra Capital
12.875%, 10/15/08 537 612
Thermadyne Holdings (F)
9.250%, 02/01/14 425 382
UCAR Finance
10.250%, 02/15/12 3,760 4,004
US Concrete
8.375%, 04/01/14 675 695
United Air Lines
10.670%, 05/01/04 (C) 325 7
9.125%, 01/15/12 (C) 625 13
9.020%, 04/19/12 847 466
6.201%, 09/01/08 (F) 629 630
United Air Lines, Ser 2000-2
7.032%, 10/01/10 2,545 2,581
United Air Lines, Ser 2001-1,
Cl A-1
6.071%, 03/01/13 370 367
Unova
7.000%, 03/15/08 700 700
Vanguard Health Holdings II
9.000%, 10/01/14 375 384
Visant
7.625%, 10/01/12 1,550 1,523
William Lyon Homes
10.750%, 04/01/13 530 525
Xerox
6.400%, 03/15/16 500 477
---------
112,978
---------
INFORMATION TECHNOLOGY -- 2.0%
Activant Solution (A)
9.500%, 05/01/16 3,358 3,299
Advanced Micro Devices
7.750%, 11/01/12 807 833
Amkor Technologies
9.250%, 06/01/16 (F) 800 768
7.750%, 05/15/13 (F) 375 341
7.125%, 03/15/11 50 46
Celestica
7.875%, 07/01/11 250 251
Compagnie Generale de Geophysique
7.500%, 05/15/15 100 101
7.500%, 05/15/15 (A) 800 804
- -------------------------------------------------------------------------------
138 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Hughes Network System (A)
9.500%, 04/15/14 $ 944 $ 953
MagnaChip Semiconductor
8.160%, 06/15/06 (D) 863 857
8.000%, 12/15/14 704 612
6.875%, 12/15/11 450 419
SS&C Technologies (A)
11.750%, 12/01/13 930 988
Seitel
11.750%, 07/15/11 425 480
Serena Software
10.375%, 03/15/16 275 287
Smart Modular Tech (D)
10.490%, 07/01/06 760 813
Stoneridge (F)
11.500%, 05/01/12 1,162 1,116
Sungard Data Systems (A)
10.250%, 08/15/15 1,936 2,023
9.431%, 08/11/06 (D) 1,198 1,261
Unisys
8.000%, 10/15/12 200 188
Viasystems
10.500%, 01/15/11 425 429
---------
16,869
---------
Materials -- 10.7%
AK Steel
7.750%, 06/15/12 800 788
Abitibi Consolidated
8.850%, 08/01/30 200 174
8.375%, 04/01/15 (F) 2,575 2,459
Appleton Papers
9.750%, 06/15/14 2,448 2,485
8.125%, 06/15/11 425 435
BCI US Finance (A) (D)
10.577%, 07/15/06 610 622
Ball
6.625%, 03/15/18 1,125 1,074
Berry Plastics
10.750%, 07/15/12 500 542
Boise Cascade LLC
7.943%, 07/15/06 (D) 450 452
7.125%, 10/15/14 963 872
Bowater
9.500%, 10/15/12 (D) (F) 475 485
7.910%, 06/17/06 604 610
Bowater Canada Finance (F)
7.950%, 11/15/11 2,348 2,289
Bway
10.000%, 10/15/10 650 686
Cascades
7.250%, 02/15/13 675 633
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Catalyst Paper
7.375%, 03/01/14 $ 338 $ 311
Catalyst Paper, Ser D
8.625%, 06/15/11 1,225 1,219
Century Aluminum
7.500%, 08/15/14 987 1,017
Crown Americas (A)
7.750%, 11/15/15 1,796 1,809
Crown Cork & Seal (F)
8.000%, 04/15/23 1,625 1,552
Domtar
7.125%, 08/15/15 450 392
Equistar Chemical
10.625%, 05/01/11 1,452 1,572
10.125%, 09/01/08 2,800 2,982
Freeport-McMoRan
10.125%, 02/01/10 1,059 1,128
6.875%, 02/01/14 1,743 1,682
Georgia Gulf
7.125%, 12/15/13 300 303
Georgia-Pacific
8.125%, 05/15/11 325 332
8.000%, 01/15/24 575 555
7.700%, 06/15/15 1,650 1,617
Gibraltar Industries (A)
8.000%, 12/01/15 1,676 1,693
Graham Packaging (F)
9.875%, 10/15/14 2,364 2,411
Graphic Packaging International
9.500%, 08/15/13 135 136
8.500%, 08/15/11 689 694
Huntsman
5.000%, 02/16/08 1 24
Huntsman International
12.318%, 07/15/06 (D) 871 910
11.625%, 10/15/10 799 887
9.875%, 03/01/09 125 130
7.875%, 01/01/15 (A) 1,450 1,406
Huntsman LLC
11.500%, 07/15/12 1,941 2,208
Ineos Group Holdings PLC (A)
8.500%, 02/15/16 4,380 4,095
Innophos
9.625%, 08/15/14 500 509
Intertape Polymer
8.500%, 08/01/14 250 235
Ispat Inland
9.750%, 04/01/14 1,125 1,259
Jarden
9.750%, 05/01/12 605 617
Jefferson Smurfit
7.500%, 06/01/13 250 225
Longview Fibre
10.000%, 01/15/09 768 804
- -------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 139
STATEMENT OF NET ASSETS
High Yield Bond Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lyondell Chemicals
10.875%, 05/01/09 $ 2,014 $ 2,054
10.500%, 06/01/13 945 1,058
Mercer International
9.250%, 02/15/13 275 253
Methanex
6.000%, 08/15/15 175 163
Nalco (F)
8.875%, 11/15/13 1,200 1,234
7.750%, 11/15/11 2,859 2,866
NewPage
11.399%, 08/01/06 (D) 320 348
10.000%, 05/01/12 2,219 2,347
Newark Group
9.750%, 03/15/14 800 756
Nova Chemicals (D)
8.405%, 10/31/06 966 973
Novelis (A)
7.750%, 02/15/15 250 239
Oregon Steel Mills
10.000%, 07/15/09 3,430 3,601
Owens-Brockway Glass
8.875%, 02/15/09 175 181
8.250%, 05/15/13 2,125 2,146
6.750%, 12/01/14 150 142
Owens-Illinois
8.100%, 05/15/07 150 152
7.350%, 05/15/08 2,375 2,369
P H Glatfelter (A)
7.125%, 05/01/16 1,170 1,164
Packaging Dynamics (A)
10.000%, 05/01/16 2,200 2,216
Plastipak Holdings (A) (F)
8.500%, 12/15/15 491 492
Polyone
10.625%, 05/15/10 2,000 2,155
8.875%, 05/01/12 500 510
Rockwood Specialties Group
10.625%, 05/15/11 150 162
7.500%, 11/15/14 500 497
Ryerson Tull
8.250%, 12/15/11 1,631 1,635
Smurfit-Stone Container
9.750%, 02/01/11 2,839 2,910
Solo Cup (F)
8.500%, 02/15/14 2,622 2,360
Solutia (C)
11.250%, 07/15/09 875 875
6.720%, 10/15/37 (F) 450 419
Steel Dynamics
9.500%, 03/15/09 2,517 2,630
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Stelco
10.610%, 03/31/16 $ 400 $ 424
Tronox Worldwide (A)
9.500%, 12/01/12 3,059 3,174
---------
91,825
---------
TELECOMMUNICATION SERVICES -- 7.9%
Airgate PCS (D)
8.827%, 07/15/06 1,525 1,571
American Cellular, Ser B
10.000%, 08/01/11 1,700 1,825
Centennial (F)
10.740%, 01/01/13 1,600 1,668
Centennial Communications
10.750%, 12/15/08 421 425
10.125%, 06/15/13 3,035 3,270
10.000%, 01/01/13 2,450 2,536
8.125%, 02/01/14 2,425 2,449
Cincinnati Bell
8.375%, 01/15/14 (F) 775 783
7.250%, 07/15/13 75 76
Citizens Communications
9.250%, 05/15/11 1,625 1,765
6.250%, 01/15/13 730 697
Consolidated Communication
Holdings
9.750%, 04/01/12 1,060 1,129
Digicel
9.250%, 09/01/12 200 210
Dobson Cellular Systems
9.875%, 11/01/12 150 162
Dobson Communications
9.318%, 07/15/06 685 692
8.875%, 10/01/13 150 152
Embarq
7.082%, 06/01/16 825 826
Hawaiian Telcom
Commumications (F)
12.500%, 05/01/15 675 723
Hawaiian Telecom
Communications,
Cl B (F)
9.750%, 05/01/13 775 798
Horizon PCS
11.375%, 07/15/12 530 602
IPCS
11.500%, 05/01/12 125 143
IWO Holdings
10.750%, 01/15/15 (B) 300 235
8.818%, 07/15/06 (D) 250 259
Insight Midwest
10.500%, 11/01/10 500 524
Intelsat
7.625%, 04/15/12 575 479
6.500%, 11/01/13 950 717
5.250%, 11/01/08 375 358
- -------------------------------------------------------------------------------
140 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Intelsat Sub Holdings
9.614%, 07/15/06 (D) (F) $ 2,025 $ 2,053
8.500%, 01/15/13 1,000 1,004
8.625%, 01/15/15 375 380
Level 3 Financing
12.250%, 03/15/13 3,286 3,549
Lucent Technologies
6.450%, 03/15/29 1,375 1,198
NTL Cable PLC (F)
8.750%, 04/15/14 500 502
New Skies Satellites (D)
10.414%, 11/01/06 591 610
Panamsat (B)
9.830%, 11/01/14 1,430 1,040
Primus Telecommunications
12.750%, 10/15/09 550 434
8.000%, 01/15/14 1,250 862
Qwest
8.875%, 03/15/12 3,925 4,210
8.160%, 06/15/06 (D) 964 1,040
7.625%, 06/15/15 613 624
7.250%, 09/15/25 225 215
7.250%, 10/15/35 1,175 1,090
6.875%, 09/15/33 375 330
5.625%, 11/15/08 125 123
Qwest Capital Funding
7.750%, 08/15/06 1,209 1,211
Qwest Communications
International
8.670%, 08/11/06 (D) 3,420 3,480
7.250%, 02/15/11 125 124
Qwest Communications
International, Ser B (F)
7.500%, 02/15/14 825 817
Rogers Wireless
8.035%, 06/15/06 (D) 2,289 2,361
8.000%, 12/15/12 275 283
7.500%, 03/15/15 (F) 433 441
7.250%, 12/15/12 225 227
6.375%, 03/01/14 1,930 1,838
Rural Cellular
9.875%, 02/01/10 100 105
9.410%, 06/15/06 (D) 125 128
8.250%, 03/15/12 (A) 610 628
Securus Technologies (F)
11.000%, 09/01/11 425 353
Syniverse Technologies, Ser B
7.750%, 08/15/13 125 125
Telenet Group Holdings (A) (B) (F)
8.230%, 06/15/14 950 798
Triton (F)
8.500%, 06/01/13 1,600 1,480
US Unwired, Ser B
10.000%, 06/15/12 400 446
9.160%, 06/15/06 (D) 900 922
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Ubiquitel
9.875%, 03/01/11 $ 1,010 $ 1,103
Valor Telecom Enterprises
7.750%, 02/15/15 1,850 1,905
Wind Acquisitions Finance (A)
10.750%, 12/01/15 1,875 2,020
Zeus Special Sub
9.180%, 02/01/15 3,750 2,709
---------
67,842
---------
UTILITIES -- 5.0%
AES
9.375%, 09/15/10 750 812
8.875%, 02/15/11 975 1,037
Airgas
9.125%, 10/01/11 581 610
Aquila
9.000%, 11/15/21 871 891
8.000%, 03/01/23 3,515 3,585
CMS Energy
7.500%, 01/15/09 240 243
6.300%, 02/01/12 225 215
Calpine Generating (C)
14.120%, 04/01/11 1,025 1,081
Edison Mission Energy
9.875%, 04/15/11 261 306
7.750%, 06/15/16 (A) 800 792
Inergy
8.250%, 03/01/16 25 26
6.875%, 12/15/14 1,075 1,013
Midwest Generation LLC (F)
8.750%, 05/01/34 2,623 2,807
Mirant (C)
5.750%, 07/15/07 750 8
Mirant Americas
9.125%, 05/01/31 1,022 1,035
8.500%, 10/01/21 5,874 5,786
8.300%, 05/01/11 225 225
7.375%, 12/31/13 (A) 2,250 2,222
Mission Energy Holding
13.500%, 07/15/08 4,281 4,832
NRG Energy
7.375%, 02/01/16 4,250 4,255
7.250%, 02/01/14 1,200 1,200
Northwest Pipeline (A)
8.125%, 03/01/10 200 210
Pacific Energy Partners
7.125%, 06/15/14 200 200
Reliant Energy
9.250%, 07/15/10 200 202
6.750%, 12/15/14 1,435 1,299
Reliant Resources
9.500%, 07/15/13 110 111
- -------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 141
STATEMENT OF NET ASSETS
High Yield Bond Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Sierra Pacific Resources
7.803%, 06/15/12 $ 425 $ 439
6.750%, 08/15/17 500 486
Sonat
7.625%, 07/15/11 2,250 2,292
7.000%, 02/01/18 400 380
Southern Natural Gas
8.875%, 03/15/10 350 371
Teco Energy (D)
7.149%, 08/01/06 1,211 1,238
Tenaska Alabama (A)
7.000%, 06/30/21 810 798
Transcontinental Gas Pipeline
7.250%, 12/01/26 1,734 1,762
Williams (A)
6.375%, 10/01/10 725 716
---------
43,485
---------
Total Corporate Obligations
(Cost $811,100) ($ Thousands) 809,534
---------
COMMERCIAL PAPER (H) -- 4.2%
Alcoa
5.066%, 06/21/06 3,685 3,675
Brahms Funding (G)
5.051%, 06/01/06 1,481 1,475
Broadhollow Funding (G)
5.081%, 06/09/06 370 369
5.079%, 06/26/06 888 885
5.073%, 06/19/06 1,259 1,253
5.062%, 06/05/06 740 737
Buckingham CDO (G)
5.092%, 06/23/06 740 737
5.087%, 06/08/06 1,481 1,476
Elysian Funding LLC (G)
5.170%, 07/10/06 1,481 1,468
5.134%, 06/30/06 740 734
5.123%, 06/05/06 740 737
DiamlerChrysler
5.020%, 06/01/06 3,710 3,710
GECC Capital Markets
5.030%, 07/13/06 3,100 3,082
Hardwood Street Funding II (G)
5.074%, 06/13/06 130 129
KKR Pacific Funding Trust (G)
5.082%, 06/22/06 1,481 1,474
5.082%, 06/23/06 740 737
5.081%, 06/07/06 1,481 1,474
Main Street Warehouse Funding (G)
5.090%, 06/16/06 888 885
5.079%, 06/05/06 740 738
5.078%, 06/02/06 133 133
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Ocala Funding LLC (G)
5.112%, 06/30/06 $ 222 $ 221
5.092%, 06/09/06 2,343 2,333
Park Granada LLC (G)
5.045%, 06/29/06 740 734
Rams Funding (G)
5.094%, 06/14/06 1,725 1,717
5.091%, 06/21/06 1,481 1,475
Rhineland Funding Capital (G)
5.026%, 06/26/06 1,481 1,464
Thornburg Mortgage Capital
Resource (G)
5.092%, 06/19/06 1,037 1,032
5.092%, 06/23/06 480 478
Transamerica Securities (G)
5.100%, 06/28/06 596 593
---------
Total Commercial Paper
(Cost $35,955) ($ Thousands) 35,955
---------
CASH EQUIVALENT -- 2.6%
SEI Daily Income Trust,Prime
Obligation Fund,
Cl A, 4.980%**++ 22,652,355 22,652
---------
Total Cash Equivalent
(Cost $22,652) ($ Thousands) 22,652
---------
ASSET-BACKED SECURITIES -- 1.7%
MORTGAGE RELATED SECURITIES -- 1.7%
ACE, Ser 2004-OP1, Cl B (D)
8.581%, 04/25/34 1,325 1,325
Cheyne High Grade, Ser 2004-1A,
Cl A1 (D) (G)
5.180%, 11/10/06 740 740
Commodore, Ser 2003-2A,
Cl A1MM (D) (G)
4.970%, 12/12/38 681 681
Countrywide Alternative Loan
Trust,Ser 2006-OA9, Cl XIP (E)
0.598%, 07/20/46 34,300 1,907
Duke Funding, Ser 2004-6B,
Cl A1S1 (D) (G)
5.093%, 04/08/39 1,111 1,111
Harborview Mortgage Loan Trust,
Ser 2006-4, Cl X1 (D)
0.287%, 05/19/47 34,609 1,655
- -------------------------------------------------------------------------------
142 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Newcastle CDO, Ser 2005-6A,
(D) (G)
5.142%, 04/24/07 $ 296 $ 296
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AM6 (D) (G)
5.111%, 02/25/35 905 905
RMAC, Ser 2004-NS3A,
Cl A1 (D) (G)
5.080%, 03/12/25 265 265
Saturn Ventures II (D) (G)
5.129%, 08/07/06 1,382 1,382
TIAA Real Estate,
Ser 2003 1A, Cl A1 (D) (G)
5.030%, 12/28/18 956 956
Washington Mutual,
Ser 2006-AR5, Cl X, IO (E)
2.050%, 06/25/46 198,380 1,989
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMD (D) (G)
4.930%, 06/15/06 370 370
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMME (D) (G)
4.930%, 09/15/06 222 222
Witherspoon CDO Funding (D) (G)
5.091%, 09/15/06 1,036 1,036
---------
Total Asset-Backed Securities
(Cost $14,903) ($ Thousands) 14,840
---------
COLLATERALIZED DEBT OBLIGATIONS -- 1.8%
FINANCIALS -- 1.8%
Carlyle High Yield Partners,
Ser 2006-8A, Cl N
0.000%, 05/21/21 3,000 3,000
Connecticut Valley Structured
Credit, Ser 2006-3A, Cl NOTE (A)
0.000%, 03/23/23 1,200 1,200
Peritus I 3,000 900
Peritus I, Ser 2005-1A, Cl C (A)
9.000%, 05/24/15 11,684 10,844
---------
Total Collateralized Debt Obligations
(Cost $15,895) ($ Thousands) 15,944
---------
COLLATERALIZED LOAN OBLIGATIONS -- 1.4%
FINANCIALS -- 1.2%
Ares VR, Ser 2006-1A,
Cl SUB (A)
0.000%, 02/24/18 3,500 3,290
Babson, Ser 2005-2A, Cl SUB
0.000%, 07/20/19 5,000 4,800
Lightpoint, Ser 2006-4,
Cl IN (A) 0.000%, 04/15/18 2,000 2,000
---------
10,090
---------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 0.2%
Marathon, Ser 2005-2A,
Cl INC (A)
0.000%, 12/20/19 $ 1,500 $ 1,500
---------
Total Collateralized Loan Obligations
(Cost $11,300) ($ Thousands) 11,590
---------
PREFERRED STOCK -- 0.3%
Rockwall Investors 3,000,000 3,000
---------
Total Preferred Stock
(Cost $2,415) ($ Thousands) 3,000
---------
MASTER NOTE (D) (G) -- 0.4%
Bank of America
5.133%, 06/01/06 3,702 3,702
---------
Total Master Note
(Cost $3,702) ($ Thousands) 3,702
---------
COMMON STOCK -- 0.4%
Core-Mark Holding (F)* 12,075 460
Huntsman* 7,595 142
Mirant (F)* 108,417 2,697
UAL (F)* 8,481 250
---------
Total Common Stock
(Cost $3,327) ($ Thousands) 3,549
---------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.1%
FHLMC (E)
4.918%, 06/26/06 55 55
FHLMC CMO, Ser 2596, Cl IJ, IO
5.000%, 01/15/17 2,917 298
FHLMC CMO, Ser 2696, Cl NI, IO
5.500%, 03/15/23 542 13
FNMA CMO, Ser 2003-37, Cl IG, IO
5.500%, 05/25/32 853 137
---------
Total U.S. Government Agency Obligations
(Cost $532) ($ Thousands) 503
---------
CONVERTIBLE BONDS -- 0.0%
Flextronics CV to 64.4122
1.000%, 08/01/10 250 235
Mirant (C) (F)
2.500%, 06/15/21 1,950 20
---------
Total Convertible Bonds
(Cost $323) ($ Thousands) 255
---------
- -------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 143
STATEMENT OF NET ASSETS
High Yield Bond Fund (Concluded)
May 31, 2006
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
PREFERRED/CONVERTIBLE STOCK -- 0.2%
General Nutrition Center,
Ser A PIK* 850 $ 943
Rural Cellular PIK (F)* 375 450
Rural Cellular, Ser B PIK* 325 400
---------
Total Preferred/Convertible Stock
(Cost $1,553) ($ Thousands) 1,793
---------
CERTIFICATE OF DEPOSIT (D) (G) -- 0.1%
U.S. Trust of New York
5.121%, 03/13/07 $592 592
---------
Total Certificate of Deposit
(Cost $592) ($ Thousands) 592
---------
TIME DEPOSIT (G) -- 0.3%
Societe General
5.080%, 06/01/06 2,961 2,961
---------
Total Time Deposit
(Cost $2,961) ($ Thousands) 2,961
---------
REPURCHASE AGREEMENTS (G) (J)-- 2.1%
Barclays Capital
5.010%, dated 05/31/06, to be
repurchased on 06/01/06,
repurchase price $3,968,165
(collateralized by U.S.
Government Obligations,
par value $82,195-$2,961,436,
0.000%-4.300%, 04/09/07-
05/12/08, total market value
$4,047,023) 3,968 3,968
Deutsche Bank
5.020%, dated 05/31/06, to be
repurchased on 06/01/06,
repurchase price $4,894,440
(collateralized by U.S.
Government Obligations,
par value $27,260-$1,486,789,
0.000%-5.600%, 08/29/06-
10/29/18, total market value
$4,991,660) 4,894 4,894
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers
5.020%, dated 05/31/06, to be
repurchased on 06/01/06,
repurchase price $8,943,954
(collateralized by U.S.
Government Obligations,
par value $1,036,354-
$8,884,307, 8.125%-9.375%,
10/15/19-01/15/30, total
market value $9,121,574) $ 8,943 $ 8,943
---------
Total Repurchase Agreements
(Cost $17,805) ($ Thousands) 17,805
---------
Total Investments -- 109.5%
(Cost $945,015) ($ Thousands) 944,675
---------
OTHER ASSETS AND LIABILITIES -- (9.5)%
Payable upon Return of Securities on Loan (104,810)
Payable for Investment Securities Purchased (17,074)
Payable for Capital Shares Redeemed (2,298)
Investment Advisory Fees Payable (218)
Income Distribution Payable (145)
Payable for Variation Margin (28)
Trustees' Fees Payable (2)
Other Assets and Liabilities, Net 42,271
--------
Total Other Assets and Liabilities (82,304)
---------
Net Assets -- 100.0% $ 862,371
=========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 858,178
Undistributed net investment income 3
Accumulated net realized gain on investments 4,576
Net unrealized depreciation on investments (340)
Net unrealized depreciation on futures contracts (46)
---------
Net Assets $ 862,371
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($862,370,563 / 85,591,568 shares) $10.08
======
- --------------------------------------------------------------------------------
144 SEI Institutional Investments Trust / Annual Report / May 31, 2006
A summary of the open futures contracts held by the Fund at May 31, 2006, is as
follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
TYPE OF NUMBER OF EXPIRATION DEPRECIATION
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
U.S. 2-Year Note 130 Oct-2006 $(46)
====
* Non-income producing security.
** Rate shown is the 7-day effective yield as of May 31, 2006.
+ Real Estate Investment Trust.
++ Pursuant to an exemptive order issued by the Securities and Exchange
Commission, the Fund may invest in the SEI money market funds, provided that
investments in the money market funds do not exceed 25% of the Fund's total
assets.
(A) Securities sold within terms of a private placement memorandum, exempt from
registration under Section 144A of the Securities Act of 1933, as amended,
and may be sold only to dealers in that program or other "accredited
investors." These securities have been determined to be liquid under
guidelines established by the Board of Trustees.
(B) Step Bonds -- The rate reflected on the Statement of Net Assets is the rate
in effect as of May 31, 2006. The coupon on a step bond changes on a
specified date.
(C) Security in default on interest payments.
(D) Variable Rate Security -- The rate reported on the Statement of Net Assets
is the rate in effect as of May 31, 2006.
(E) Zero-coupon security -- The rate shown is the effective yield at the date of
purchase.
(F) This security or a partial position of this security is on loan at May 31,
2006 (see Note 9). The total value of securities on loan at May 31, 2006 was
$97,849 ($ Thousands).
(G) This security was purchased with cash collateral held from securities on
loan (see Note 9). The total value of such securities as of May 31, 2006 was
$104,810 ($ Thousands).
(H) The rate reported is the effective yield at time of purchase.
(I) Bank Loan
(J) Tri-Party Repurchase Agreement.
Cl -- Class
CDO -- Collateralized Debt Obligation
CMO -- Collateralized Mortgage Obligation
CV -- Convertible Security
EXL -- Extendable Maturity
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
IO -- Interest Only
LLC -- Limited Liability Company
LP -- Limited Partnership
MTN -- Medium Term Note
Net -- Net Interest Margin
PCS -- Personal Communications Service
PIK -- Payment in Kind
PLC -- Public Limited Company
Ser -- Series
Amounts designated as "--" are either 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, 2006 145
STATEMENT OF NET ASSETS
International Equity Fund
May 31, 2006
- --------------------------------------------------------------------------------
Sector Weightings (unaudited)++:
29.0% Financials
8.7% Consumer Discretionary
8.6% Industrials
8.3% Material
6.6% Asset-Backed Securities
6.0% Energy
5.5% Consumer Staples
5.3% Health Care
4.7% Information Technology
4.7% Telecommunication Services
3.8% Utilities
3.5% Short-Term Investments
3.3% U.S. Government Mortgage Backed
0.9% U.S. Government Agency Obligations
0.6% Preferred Stock
0.4% U.S. Treasury Obligations
0.1% Certificate of Deposit
0.0% Exchange Traded Fund
0.0% Purchased Options
0.0% Rights
++Percentages based on total investments. Includes investments
held as collateral for securities on loan (see Note 9).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 90.4%
AUSTRALIA -- 2.5%
Alumina 51,189 $ 257
Amcor 224,281 1,122
Australia & New Zealand
Banking Group 87,733 1,756
BHP Billiton 197,324 4,302
BlueScope Steel 48,440 279
Boral 239,900 1,649
Brambles Industries (B) 25,509 205
Centro Properties Group + 57,883 289
Cochlear 15,196 565
Coles Myer 30,014 257
Commonwealth Bank of Australia 29,890 976
Computershare 53,161 313
CSL 24,204 945
CSR 543,037 1,469
Foster's Group 477,142 1,917
GPT Group 177,616 546
Harvey Norman Holdings 559,200 1,628
Insurance Australia Group 172,579 680
Leighton Holdings 69,100 902
Macquarie Airports 684,540 1,576
Macquarie Bank 16,677 811
Macquarie Infrastructure Group 91,530 234
Mayne Group 250,200 590
Mayne Pharma* 76,635 156
Mirvac Group 124,798 403
National Australia Bank 23,694 631
Newcrest Mining 39,200 587
OneSteel* 366,200 1,001
Orica 88,543 1,575
Pacific Brands 26,787 43
Promina Group 95,417 410
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Quantas Airways 680,891 $ 1,626
QBE Insurance Group 352,897 5,723
Rinker Group (B) 136,570 1,927
Rio Tinto 24,743 1,460
Stockland 65,055 331
Woodside Petroleum 5,469 181
Woolworths 168,559 2,371
----------
41,693
----------
AUSTRIA -- 0.5%
Andritz 887 142
Boehler-Uddeholm (B) 972 202
Erste Bank der Oesterreichischen
Sparkassen (B) 9,178 525
OMV (B) 34,298 2,001
Raiffeisen International Bank
Holding 3,884 323
Telekom Austria (B) 178,761 4,024
Voestalpine 12,200 1,736
----------
8,953
----------
BELGIUM -- 0.9%
Bekaert (B)* 5,500 567
Delhaize Group 25,759 1,658
Dexia (B) 62,204 1,530
Fortis 96,285 3,523
Fortis (Netherlands Line) (B) 78,022 2,850
InBev 13,000 627
KBC Groep 30,414 3,277
UCB (B) 15,317 803
Umicore 4,100 594
----------
15,429
----------
BRAZIL -- 0.1%
Gerdau ADR 38,925 557
Uniao de Bancos Brasileiros ADR 7,200 459
----------
1,016
----------
CANADA -- 1.6%
Abitibi-Consolidated (B) 63,200 217
Alcan (B) 67,400 3,492
Cameco 55,600 2,282
Canadian Natural Resources 81,600 4,299
Inco 18,900 1,246
Methanex 28,700 671
Potash Saskatchewan 20,300 1,826
Rogers Communications, Cl B 100,500 4,190
Suncor Energy 9,100 735
Teck Cominco, Cl B 100,400 6,393
TELUS 16,700 673
Toronto-Dominion Bank 12,600 683
----------
26,707
----------
- --------------------------------------------------------------------------------
146 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CHINA -- 0.0%
China Petroleum & Chemical,
Cl H 1,106,000 $ 664
----------
DENMARK -- 0.3%
AP Moller - Maersk 59 478
Carlsberg, Cl B 3,250 228
Danske Bank 20,400 781
Novo-Nordisk, Cl B 17,300 1,075
Topdanmark* 6,050 836
Vestas Wind Systems* 55,700 1,443
William Demant Holding* 3,700 280
----------
5,121
----------
FINLAND -- 1.2%
Fortum 264,904 6,611
Kesko, Cl B 7,900 313
Metso 17,634 629
Neste Oil 16,200 550
Nokia 243,584 5,237
Nokia ADR 32,900 706
Outokumpu 76,100 1,721
Rautaruukki 6,800 205
Sampo, Cl A 37,800 729
Stora Enso, Cl R 83,900 1,176
UPM-Kymmene 50,800 1,091
Wartsila, Cl B 5,300 208
YIT* 42,750 1,087
----------
20,263
----------
FRANCE -- 9.6%
Accor 11,786 693
Air France-KLM 139,201 3,006
Air Liquide (B) 2,968 619
Alcatel* 46,100 614
Arkema* 7,880 283
Assurances Generales
de France (B) 73,500 8,923
AXA 160,803 5,609
BNP Paribas (B) 188,141 17,595
Bouygues (B) 154,419 8,419
Capgemini 107,885 5,938
Carrefour (B) 25,281 1,472
Casino Guichard Perrachon 8,159 626
Cie de Saint-Gobain 28,645 2,012
Cie Generale d'Optique
Essilor International (B) 5,222 527
Compagnie Generale des
Etablissements Michelin, Cl B 7,959 522
Credit Agricole (B) 172,360 6,452
Dassault Systemes* 8,355 437
France Telecom (B) 339,075 7,561
Groupe Danone (B) 49,573 5,981
L'Oreal (B) 18,329 1,646
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Lafarge 32,706 $ 3,930
Neopost 561 60
PagesJaunes Groupe 20,109 560
Pernod-Ricard 404 79
PPR (B) 5,100 635
Publicis Groupe 21,674 879
Renault (B) 85,628 9,879
Sanofi-Aventis (German Exchange) 822 78
Sanofi-Aventis (B) 167,683 15,860
Schneider Electric 40,489 4,213
SCOR 62,402 148
Societe Generale (B) 81,483 12,596
Suez* 15,922 615
Thales (B) 10,900 421
Total (B)* 337,266 21,928
Veolia Environnement (B) 17,700 988
Vinci 50,520 4,657
Vivendi (B) 69,259 2,493
----------
158,954
----------
GERMANY -- 6.0%
Allianz 49,446 7,741
Altana 16,038 956
BASF 34,627 2,828
Bayer (B) 185,882 8,377
Bayerische Motoren Werke 52,035 2,687
Celesio 1,206 116
Commerzbank 191,780 7,244
Continental 51,931 5,698
DaimlerChrysler 88,591 4,679
Deutsche Bank (B) 43,258 4,990
Deutsche Boerse (B) 3,649 476
Deutsche Lufthansa* 62,100 1,091
Deutsche Post 30,344 826
Deutsche Telekom 106,767 1,741
E.ON 73,193 8,506
Fresenius Medical Care 30,100 3,388
Hypo Real Estate Holding 58,400 3,708
Linde 994 83
MAN (B) 35,339 2,555
Merck KGaA 35,950 3,699
Muenchener Rueckversicherungs 48,387 6,581
RWE 81,820 7,035
SAP 15,940 3,361
Siemens 68,208 5,895
ThyssenKrupp 64,985 2,236
Volkswagen (B) 30,418 2,166
Wincor Nixdorf 1,340 179
----------
98,842
----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 147
STATEMENT OF NET ASSETS
International Equity Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
GREECE -- 0.1%
Alpha Bank* 11,600 $ 291
Coca Cola Hellenic Bottling 7,800 247
National Bank of Greece 17,350 739
OPAP 20,310 691
Piraeus Bank 9,450 282
Titan Cement 2,940 154
----------
2,404
----------
HONG KONG -- 1.1%
ASM Pacific Technology 27,000 139
Bank of East Asia 135,000 512
BOC Hong Kong Holdings 271,000 523
Cheung Kong Holdings 73,000 788
China Mobile Hong Kong 699,000 3,606
CLP Holdings 78,000 447
Hang Lung Group 198,300 458
Hang Lung Properties 622,600 1,096
Henderson Land Development 217,100 1,130
Hong Kong Exchanges and Clearing 273,200 1,833
Hopewell Holdings 65,000 176
Hysan Development 238,000 608
Kingboard Chemical Holdings 82,000 215
Li & Fung 377,200 773
New World Development 1,079,000 1,727
PCCW 661,000 409
Sino Land (B) 518,410 791
Sun Hung Kai Properties 83,000 858
Swire Pacific, Cl A 211,100 1,996
Wharf Holdings 50,000 178
----------
18,263
----------
HUNGARY -- 0.2%
Mol Magyar Olaj-es Gazipari 32,060 3,290
----------
INDIA -- 0.1%
Canara Bank 100,000 493
Punjab National Bank 46,000 403
----------
896
----------
IRELAND -- 0.6%
Anglo Irish Bank 208,130 3,252
Bank of Ireland 47,376 830
BlackRock International Land* 37,215 17
CRH 127,153 4,292
DCC 3,561 84
Depfa Bank 63,311 1,026
Fyffes 37,215 69
----------
9,570
----------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ISRAEL -- 0.1%
Bank Hapoalim 280,300 $ 1,305
Teva Pharmaceutical Industries
ADR 13,100 477
----------
1,782
----------
ITALY -- 2.5%
Banca Fideuram* 16,376 90
Banca Intesa 526,056 3,062
Banca Intesa RNC 20,726 111
Banca Monte dei Paschi
di Siena (B) 153,832 899
Banca Popolare di Milano (B) 297,354 3,731
Banche Popolari Unite 53,308 1,330
Banco Popolare di Verona e
Novara (B) 43,586 1,196
Benetton Group (B) 105,200 1,571
Buzzi Unicem 50,900 1,174
Capitalia 188,118 1,562
Enel 20,873 187
ENI - Ente Nazionale
Idrocarburi 390,939 11,816
Fiat 339,900 4,569
Fiat RNC (B)* 83,710 1,026
IFIL - Investments* 47,700 265
Italcementi (B) 37,216 906
Luxottica Group 41,565 1,134
Sanpaolo IMI (B) 35,100 629
Telecom Italia RNC 164,613 421
UniCredito Italiano 764,771 5,843
----------
41,522
----------
JAPAN -- 22.9%
Acom 3,780 225
Advantest 20,700 2,126
Aeon 80,700 1,735
Aisin Seiki 54,300 1,875
Amada 130,000 1,331
Asahi Kasei 94,000 608
Asatsu-DK 29,300 1,005
Astellas Pharma 71,800 2,829
Autobacs Seven 22,100 963
Bank of Fukuoka (B) 79,000 580
Bank of Kyoto 52,000 536
Canon 163,879 11,516
Canon Sales 3,000 64
Central Glass 135,000 799
Central Japan Railway 397 3,978
Chiba Bank 51,000 463
Chiyoda* 39,000 760
Chubu Electric Power 11,900 329
Citizen Watch 66,800 621
COMSYS Holdings 99,000 1,166
Dai Nippon Printing 238,000 3,946
Daicel Chemical Industries 116,000 905
- --------------------------------------------------------------------------------
148 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Daido Steel 40,000 $ 330
Daiichi Sankyo 25,500 700
Daimaru 34,000 461
Dainippon Screen Manufacturing* 33,000 326
Daito Trust Construction 13,200 724
Daiwa House Industry* 41,000 651
Daiwa Securities Group 389,000 4,848
Denki Kagaku Kogyo 153,000 691
Denso 82,500 2,896
Dowa Mining* 10,000 90
East Japan Railway 416 2,989
EDION 22,900 494
Eisai 10,400 476
Electric Power Development 4,680 173
Elpida Memory (B)* 14,800 667
Fanuc 29,100 2,606
Fuji Soft ABC 21,600 704
Fuji Television Network 400 901
Fujikura 173,000 1,963
Fujitsu 80,000 596
Gunze* 21,000 125
Hankyu Department Stores (B) 72,000 619
Hankyu Holdings* 52,000 270
Hino Motors 300,000 1,758
Hirose Electric 6,500 845
Hitachi 341,100 2,325
Hitachi Chemical 5,300 145
Hitachi Construction Machinery 6,600 161
Hitachi Software Engineering (B) 35,700 595
Hokkaido Electric Power 26,900 634
Honda Motor 103,100 6,825
Hoya 43,600 1,678
Ibiden 6,700 335
Itochu 468,100 4,002
Itochu Techno-Science (B) 22,000 1,022
Japan Steel Works* 319,700 2,196
Japan Tobacco 1,195 4,285
JFE Holdings 175,900 7,629
JS Group 52,900 1,120
JTEKT 29,900 598
Kajima 42,000 206
Kamigumi* 15,000 123
Kansai Electric Power 278,139 6,654
Kansai Paint 66,200 595
Kao 225,800 5,656
KDDI 134 844
Kobe Steel 573,300 1,909
Komatsu 126,200 2,554
Komori 35,000 727
Konica Minolta Holdings 66,800 810
Kubota 83,000 777
Kyocera 4,200 352
Kyushu Electric Power 42,700 996
Lawson (B) 42,900 1,570
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Leopalace21* 34,900 $ 1,058
Mabuchi Motor (B) 18,100 1,071
Makita 26,000 805
Marubeni 143,000 781
Matsui Securities (B)* 19,100 210
Matsushita Electric Industrial 144,348 3,153
Matsushita Electric Works 27,000 314
Millea Holdings* 100 1,777
Mitsubishi 492,100 10,498
Mitsubishi Electric 578,000 4,744
Mitsubishi Estate 100,000 1,977
Mitsubishi Gas Chemical 90,000 1,109
Mitsubishi Heavy Industries* 589,600 2,632
Mitsubishi Materials (B)* 121,000 547
Mitsubishi Rayon 76,000 666
Mitsubishi UFJ Financial Group 1,160 15,994
Mitsubishi UFJ Securities 130,000 1,822
Mitsui 178,000 2,535
Mitsui Chemicals 368,000 2,611
Mitsui Fudosan 29,700 613
Mitsui Mining & Smelting* 18,000 117
Mitsui OSK Lines (B) 373,000 2,641
Mitsui Sumitomo Insurance* 80,900 999
Mitsui Trust Holdings* 400,400 4,841
Mitsumi Electric* 61,800 763
Mizuho Financial Group* 910 7,431
Murata Manufacturing 8,380 549
NEC 205,000 1,240
NGK Spark Plug 80,400 1,619
NHK Spring 20,000 231
Nichirei 133,300 727
Nidec 6,680 507
Nikko Cordial 41,500 615
Nikon 57,000 1,111
Nintendo 14,060 2,379
Nippon Electric Glass 58,200 1,286
Nippon Kayaku 121,000 1,038
Nippon Mining Holdings* 358,900 3,168
Nippon Oil 169,000 1,246
Nippon Shokubai 51,000 642
Nippon Telegraph & Telephone 1,087 5,401
Nippon Yusen Kabushiki Kaisha 211,000 1,375
Nissan Motor 485,660 5,902
Nisshin Seifun Group 127,500 1,384
Nisshin Steel 390,000 1,318
Nisshinbo Industries 66,800 717
Nissin Food Products 2,700 95
Nitori 3,400 176
Nitto Denko 36,700 2,844
Nomura Holdings 42,400 838
NSK 35,000 298
NTN 152,800 1,222
NTT Data 189 807
NTT DoCoMo 2,331 3,804
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 149
STATEMENT OF NET ASSETS
International Equity Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Obayashi 229,000 $ 1,631
Odakyu Electric Railway (B) 85,000 513
OJI Paper 21,000 118
Oki Electric Industry (B) 467,000 1,173
Oriental Land 38,100 2,228
ORIX* 38,120 11,060
Osaka Gas 700,000 2,458
Promise 12,850 773
Ricoh 120,000 2,360
Rinnai 31,200 931
Rohm 9,300 852
Sankyo 6,700 443
Santen Pharmaceutical 9,900 249
Sanwa Shutter 120,000 766
Sanyo Shinpan Finance 12,710 703
Sega Sammy Holdings 56,000 2,246
Shimamura 5,400 654
Shimizu 52,000 300
Shin-Etsu Chemical 29,700 1,679
Shinko Securities* 113,000 541
Shinsei Bank 669,000 4,475
Shiseido 12,000 215
Showa Shell Sekiyu 8,300 99
SMC 15,300 2,147
Softbank (B) 160,800 3,945
Sompo Japan Insurance* 118,000 1,512
Sony 9,800 444
Sumitomo 336,000 4,410
Sumitomo Bakelite 70,000 662
Sumitomo Chemical 74,000 640
Sumitomo Electric Industries 147,200 2,125
Sumitomo Forestry 37,000 388
Sumitomo Heavy Industries* 272,000 2,580
Sumitomo Metal Industries 585,000 2,633
Sumitomo Metal Mining* 44,000 581
Sumitomo Mitsui Financial Group* 1,231 12,631
Sumitomo Osaka Cement* 192,000 639
Sumitomo Realty & Development 44,000 1,072
Sumitomo Trust & Banking 281,100 2,715
Suzuken 12,700 527
Suzuki Motor 106,400 2,487
T&D Holdings* 10,000 702
Taisei 72,000 275
Taisho Pharmaceutical* 11,000 203
Taiyo Nippon Sanso 111,000 902
Takeda Pharmaceutical 103,700 6,744
Takefuji 13,800 867
Tanabe Seiyaku 19,000 233
TDK 24,100 1,967
Teijin 111,000 793
TIS 22,100 586
Tokyo Electric Power 169,400 4,672
Tokyo Electron 60,100 4,288
Tokyo Gas 824,000 4,134
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Tokyo Steel Manufacturing 72,700 $ 1,608
Tokyo Style* 76,000 956
Tokyo Tatemono 8,000 85
Tokyu 162,000 1,068
Toppan Printing 49,100 619
Toray Industries 89,000 792
Toshiba (B) 128,000 867
Toyo Suisan Kaisha* 13,000 216
Toyobo* 210,000 602
Toyota Industries 14,700 599
Toyota Motor 285,400 15,331
Trend Micro 31,200 1,086
Uniden 117,000 1,394
Ushio* 25,500 545
USS 2,510 174
West Japan Railway 200 853
Yahoo! Japan 2,707 1,440
Yamada Denki* 45,800 4,772
Yamaha 80,400 1,659
Yamaha Motor 24,100 650
Yamato Transport 100,100 1,702
Yaskawa Electric 9,000 98
----------
378,921
----------
LUXEMBOURG -- 0.4%
Arcelor (B) 126,198 5,403
SES Global FDR 81,800 1,140
SES Global FDR (Paris Exchange) 37,586 530
----------
7,073
----------
MEXICO -- 0.6%
America Movil ADR, Ser L 171,005 5,585
Fomento Economico Mexicano ADR 40,450 3,470
----------
9,055
----------
NETHERLANDS -- 5.1%
ABN AMRO Holding 189,102 5,237
Aegon 318,671 5,328
Akzo Nobel 109,535 5,938
CSM 51,729 1,497
DSM 36,686 1,560
European Aeronautic Defense
and Space 147,701 5,279
Heineken 33,889 1,358
Heineken Holding 28,236 986
ING Groep (B) 525,834 20,648
James Hardie Industries 49,580 317
Koninklijke Philips Electronics 58,488 1,851
OCE* 12,763 202
Randstad Holdings 8,825 544
Reed Elsevier 20,557 300
Royal Dutch Shell, Cl A 403,557 13,407
Royal Dutch Shell,
Cl A (B) (GBP) 81,866 2,708
- --------------------------------------------------------------------------------
150 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Royal Dutch Shell, Cl B (GBP) 93,330 $ 3,221
Royal KPN 361,780 4,165
Royal Numico 12,100 539
Unilever (B)* 396,566 9,004
Wereldhave + 1,277 124
----------
84,213
----------
NEW ZEALAND -- 0.1%
Fletcher Building 137,962 799
Telecom of New Zealand (B) 474,338 1,374
----------
2,173
----------
NORWAY -- 0.8%
DNB (B) 130,248 1,678
Norsk Hydro 191,700 5,410
Norske Skogindustrier (B) 30,428 442
Orkla 9,050 448
Statoil (B) 140,500 4,133
Yara International (B) 23,600 323
----------
12,434
----------
PHILIPPINES -- 0.0%
Philippine Long Distance
Telephone 11,900 448
----------
PORTUGAL -- 0.3%
Banco Comercial Portugues 414,807 1,204
Banco Espirito Santo 5,577 79
Cimpor Cimentos de Portugal 16,504 114
Energias de Portugal 918,826 3,400
Portugal Telecom 8,945 105
----------
4,902
----------
SINGAPORE -- 0.9%
CapitaLand* 211,300 550
City Developments 129,000 771
DBS Group Holdings (B) 111,500 1,230
Flextronics International* 107,100 1,206
Keppel 16,000 137
Keppel Land (B) 223,000 572
Neptune Orient Lines 674,200 819
Oversea-Chinese Banking 179,700 720
Singapore Airlines* 168,800 1,334
Singapore Exchange* 232,800 573
Singapore Telecommunications* 2,030,202 3,267
United Overseas Bank 323,900 3,072
UOL Group 5,000 9
----------
14,260
----------
South Africa -- 0.5%
Harmony Gold Mining (B)* 51,300 733
Sanlam 379,530 869
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Sasol 157,776 $ 6,010
Telkom 24,180 517
----------
8,129
----------
SOUTH KOREA -- 1.3%
Honam Petrochemical 12,900 667
Hyundai Motor 35,230 2,722
Industrial Bank of Korea 26,750 462
INI Steel 29,790 1,070
Kookmin Bank 9,600 777
POSCO 4,200 1,093
Samsung Electronics 8,120 5,225
Samsung Electronics GDR 17,961 5,679
Shinhan Financial Group 90,300 4,136
----------
21,831
----------
SPAIN -- 2.9%
ACS Actividades Construcciones
y Servicios 134,265 5,368
Altadis 17,340 823
Antena 3 de Television (B) 3,748 93
Banco Bilbao Vizcaya Argentaria 367,968 7,649
Banco Santander Central Hispano 443,882 6,421
Endesa (B) 289,646 9,731
Fomento de Construcciones y
Contratas 4,387 338
Iberdrola (B) 98,948 3,183
Inditex 17,556 698
Repsol (B) 293,729 8,225
Telefonica 359,063 5,892
----------
48,421
----------
SWEDEN -- 1.9%
Alfa Laval 22,700 692
Atlas Copco, Cl A 225,530 6,128
Axfood 2,750 76
D Carnegie 4,800 97
Holmen, Cl B 43,100 1,760
Kungsleden* 88,200 938
Nordea Bank 157,701 1,908
Sandvik* 24,700 1,446
SAS (B)* 42,500 463
Scania, Cl B 9,600 418
Skandinaviska Enskilda Banken 48,400 1,156
SKF, Cl B 174,539 2,770
Ssab Svenskt Stal, Cl A 25,604 1,462
Svenska Cellulosa, Cl B 21,400 893
Svenska Handelsbanken, Cl A 23,600 632
Swedish Match 59,300 937
Telefonaktiebolaget LM Ericsson,
Cl B 1,933,972 6,198
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 151
STATEMENT OF NET ASSETS
International Equity Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
TeliaSonera 243,600 $ 1,483
Trelleborg, Cl B 9,600 196
Volvo, Cl A (B) 1,600 77
Volvo, Cl B 39,100 1,920
----------
31,650
----------
SWITZERLAND -- 5.5%
ABB 72,925 923
Adecco (B) 13,100 841
Ciba Specialty Chemicals 1,161 68
Clariant 16,122 244
Compagnie Financiere Richemont,
Cl A* 80,031 3,748
Credit Suisse Group 203,792 11,821
Holcim (B) 110,564 8,703
Nestle 45,485 13,618
Novartis 320,914 17,848
Phonak Holding 5,013 289
Rieter Holding 858 336
Roche Holding 65,939 10,304
Serono, Cl B 89 57
Swatch Group (B) 5,432 184
Swatch Group, Cl B (B) 1,088 177
Swiss Reinsurance (B) 50,546 3,566
Swisscom (B) 3,057 989
UBS 91,672 10,419
Xstrata 91,950 3,666
Zurich Financial Services 11,055 2,507
----------
90,308
----------
TAIWAN -- 0.4%
Chunghwa Telecom ADR 79,374 1,627
Compal Electronics 998,152 1,017
HON HAI Precision Industry GDR 88,796 1,126
Taiwan Semiconductor
Manufacturing 510,298 957
Taiwan Semiconductor
Manufacturing ADR 103,475 980
----------
5,707
----------
THAILAND -- 0.0%
PTT 101,300 641
----------
UNITED KINGDOM -- 19.4%
3i Group 42,500 706
Alliance Unichem 19,609 340
Amvescap* 146,600 1,423
Anglo American 108,623 4,368
ARM Holdings 87,787 192
AstraZeneca 220,586 11,668
AstraZeneca (SEK) 57,654 3,056
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Aviva 384,682 $ 5,339
BAA 45,407 741
BAE Systems 589,200 4,214
Balfour Beatty 22,277 140
Barclays 776,229 8,984
Barratt Developments 101,562 1,749
Bellway 37,384 788
Berkeley Group Holdings 74,719 1,554
BG Group 47,200 629
BHP Billiton 688,108 13,449
BOC Group 118,537 3,486
Bovis Homes Group 9,885 152
BP 1,875,658 22,123
Brambles Industries 68,217 554
British Airways* 176,320 1,126
British American Tobacco 406,202 10,163
British Land 76,388 1,812
British Sky Broadcasting 109,855 1,091
BT Group 94,543 416
Burberry Group 86,528 708
Cadbury Schweppes 797,384 7,638
Capita Group 17,576 150
Carnival 19,011 772
Centrica 119,000 621
Cookson Group 11,624 108
Corus Group 242,060 1,774
Daily Mail & General Trust 7,709 94
Diageo 63,689 1,046
Emap 19,094 313
Enterprise Inns 34,779 608
First Choice Holidays 20,195 81
Firstgroup 13,896 104
FKI 445,800 897
Friends Provident 725,300 2,409
Gallaher Group 6,311 97
GKN 149,696 762
GlaxoSmithKline 669,652 18,531
Great Portland Estates 78,400 687
GUS 141,804 2,455
Hammerson 37,975 808
Hanson 129,735 1,587
Hays 1,542,577 4,644
HBOS 563,686 9,647
HSBC Holdings 926,829 16,105
Imperial Chemical Industries 116,016 777
Imperial Tobacco Group 318,108 9,748
Inchcape 126,810 1,045
Intercontinental Hotels
Group (B) 309,951 5,283
J Sainsbury 525,750 3,143
Johnson Matthey 29,100 735
Johnston Press 90,252 776
Kingfisher 122,400 519
- --------------------------------------------------------------------------------
152 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Ladbrokes 278,166 $ 2,065
Land Securities Group 36,070 1,230
Legal & General Group 527,116 1,264
Liberty International 5,482 107
Lloyds TSB Group 213,778 2,010
London Stock Exchange Group 29,678 614
Man Group 20,579 901
Marks & Spencer Group 58,500 595
Mitchells & Butlers 262,000 2,448
National Grid 452,254 5,139
Next 5,098 155
Northern Rock 38,693 744
Pearson 44,189 598
Persimmon 162,016 3,642
Prudential 7,367 80
Punch Taverns 138,402 2,222
Reckitt Benckiser 155,398 5,722
Reed Elsevier 799,288 7,786
Resolution 50,700 649
Rio Tinto (B) 133,924 7,436
Rolls-Royce Group 444,365 3,436
Royal & Sun Alliance Insurance
Group 1,362,273 3,278
Royal Bank of Scotland Group 630,996 20,371
SABMiller 94,263 1,763
Schroders 29,700 569
Scottish & Newcastle 69,381 644
Scottish & Southern Energy 61,329 1,298
Scottish Power 641,282 6,710
Smith & Nephew 62,800 512
Smiths Group 12,906 215
Sportingbet 375,600 2,961
Stagecoach Group 70,105 133
Standard Chartered 79,932 1,963
Tate & Lyle 116,826 1,249
Taylor Woodrow 294,189 1,851
Tomkins 134,140 708
Trinity Mirror 20,832 199
Unilever* 95,231 2,133
United Business Media 25,232 309
United Utilities 35,543 440
Vodafone Group 9,681,112 22,301
Whitbread 138,133 2,712
Wimpey George 314,323 2,722
Wolseley 70,300 1,637
WPP Group 23,983 296
Yell Group 61,000 573
----------
321,325
----------
Total Common Stock
(Cost $1,219,215) ($ Thousands) 1,496,860
----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 7.8%
MORTGAGE RELATED SECURITIES -- 7.8%
ACE Securities, Ser 2003-NC1,
Cl M (D)
5.861%, 06/25/06 $ 600 $ 603
ACE Securities, Ser 2003-OP1,
Cl M1 (D)
5.781%, 06/26/06 250 251
Aegis Asset Backed Securities
Trust, Ser 2004-5, Cl 1A1
5.271%, 06/26/06 84 84
American Home Mortgage Investment
Trust, Ser 2005-1, Cl 6A (D) (J)
5.294%, 06/25/06 5,737 5,661
American Home Mortgage Investment
Trust, Ser 2005-4, Cl 5A (D) (J)
5.350%, 06/25/06 2,139 2,112
Ameriquest Mortgage Securities,
Ser 2003-2, Cl M1 (D)
5.981%, 06/25/06 380 381
Argent Securities, Ser 2003-W5,
Cl M1 (D)
5.781%, 06/25/06 250 253
Argent Securities, Ser 2003-W9,
Cl M1 (D)
5.771%, 06/26/06 400 403
Asset-Backed Funding Certificates,
Ser 2005-AQ1, Cl A1B (G)
4.250%, 06/25/06 1,158 1,152
Asset-Backed Securities Home
Equity, Ser 2003-HE7, Cl M2 (D)
6.831%, 06/15/06 205 209
Asset-Backed Securities Home
Equity Loan Trust, Ser 2003-HE5,
Cl M1 (D)
5.831%, 06/15/06 456 460
Banc of America Funding,
Ser 2006-A, Cl 2A2 (D)
5.485%, 06/01/06 254 252
Basic Asset Backed Securities
Trust, Ser 2006-1, Cl A1 (D)
5.161%, 06/25/06 4,159 4,159
Bear Stearns NIM Trust,
Ser 2005-AQ2N, Cl A1 (F)
5.500%, 09/25/35 53 52
Centex Home Equity,
Ser 2004-D, Cl AV4 (D)
5.381%, 06/25/06 2,801 2,803
Chase Funding Mortgage Loan,
Ser 2003-1, Cl 1A4
4.119%, 02/25/29 940 934
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 153
STATEMENT OF NET ASSETS
International Equity Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Chase Funding Mortgage Loan,
Ser 2004-2, Cl 1A3
4.209%, 09/25/26 $ 1,300 $ 1,290
Cheyne High Grade, Ser 2004-1A,
Cl AM1 (C) (D) (F)
5.180%, 11/10/06 1,648 1,648
Commodore, Ser 2003-2A,
Cl A1MM (C) (D) (F)
4.970%, 12/12/38 1,516 1,516
Countrywide Alternative Loan
Trust, Ser 2005-69, Cl M3 (D)
6.231%, 06/27/06 225 228
Countrywide Alternative Loan
Trust, Ser 2005-IM1, Cl M3 (D)
7.081%, 06/27/06 338 325
Countrywide Asset-Backed
Certificates, Ser 2003-5,
Cl MV2 (D)
6.681%, 01/25/34 200 203
Countrywide Asset-Backed
Certificates, Ser 2004-11,
Cl A2 (D)
5.461%, 06/25/06 903 905
Countrywide Asset-Backed
Certificates, Ser 2005-15,
Cl 1AF1 (D)
5.221%, 06/25/06 1,287 1,287
Countrywide Asset-Backed
Certificates, Ser 2006-IM1,
Cl A1 (D)
5.171%, 06/27/06 2,390 2,391
Countrywide Home Equity Loan
Trust, Ser 2006-D, Cl 2A (D)
5.281%, 06/30/06 3,160 3,163
Countrywide Home Loans,
Ser 2004-22, Cl A1 (D)
5.104%, 06/01/06 722 709
Countrywide Home Loans,
Ser 2006-HYB1, Cl 1A1 (D)
5.422%, 06/20/06 1,248 1,232
Countrywide Home Loans,
Ser 2006-HYB2, Cl 1A1 (D)
5.152%, 06/20/06 2,395 2,373
Credit Suisse Asset-Backed,
Ser 2006, Cl A1B
5.310%, 06/30/36 1,500 1,500
DLSA Mortgage Loan Trust,
Ser 2006-AR1, Cl M4 (D)
5.820%, 06/19/06 221 222
DSLA Mortgage Loan Trust,
Ser 2004-AR4, Cl B1 (D)
5.680%, 06/19/06 345 346
DSLA Mortgage Loan Trust,
Ser 2006-AR1, Cl M5 (D)
5.890%, 06/19/06 140 141
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
DSLA Mortgage Loan Trust,
Ser 2006-AR1, Cl M7 (D)
6.830%, 06/19/06 $ 140 $ 139
Duke Funding, Ser 2004-6B,
Cl A1S1 (C) (D) (F)
5.093%, 10/10/06 2,472 2,472
First Franklin Mortgage Loan
Asset, Ser 2004-FF10, Cl A2 (D)
5.481%, 06/26/06 626 628
First Franklin Mortgage Loan
Asset, Ser 2005-FF4, Cl 2A3 (D)
5.301%, 06/25/06 1,800 1,801
First Franklin Mortgage Loan
Asset, Ser 2005-FFA, Cl A2A (D)
5.191%, 06/25/06 236 236
First Franklin Mortgage Loan
Asset, Ser 2005-FFH3, Cl 2A1 (D)
5.211%, 06/26/06 3,019 3,019
GMAC Mortgage Loan Trust,
Ser 2006-HE1, Cl A (D) (J)
5.291%, 06/30/06 4,900 4,900
GMAC Mortgage Loan Trust,
Ser 2004-GH1, Cl A1 (D)
5.311%, 06/27/06 1,874 1,874
GSAA Home Equity NIM Trust,
Ser 2006-2, Cl 2A1 (D) (J)
5.181%, 06/27/06 4,279 4,279
GSAA Home Equity NIM Trust,
Ser 2006-3N, Cl N1 (F)
5.750%, 03/25/36 121 121
Greenpoint Mortgage Funding Trust,
Ser 2006-AR1, Cl M3 (D)
5.651%, 06/27/06 300 302
HSI Asset Securitization Trust,
Ser 2005-NC2, Cl M2A1 (D)
5.211%, 06/25/06 1,081 1,082
Home Equity Asset NIM Trust,
Ser 2003-4, Cl M2 (D)
6.981%, 06/25/06 355 357
Home Equity Asset NIM Trust,
Ser 2006-1N Cl A (F)
6.500%, 05/27/36 200 200
Impac NIM Trust, Ser 2006-1,
Cl N (F)
6.000%, 03/25/36 181 181
Indymac Mortgage Loan Trust,
Ser 2004-AR6, Cl 1A (D)
5.469%, 06/01/06 329 332
Lehman XS Trust, Ser 2005-5N,
Cl M4 (D)
6.831%, 06/30/06 525 509
- --------------------------------------------------------------------------------
154 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lehman XS Trust, Ser 2005-7N,
Cl M51 (D)
6.331%, 12/25/35 $ 120 $ 121
Lehman XS Trust, Ser 2005-7N,
Cl M71 (D)
6.831%, 06/27/06 300 288
Lehman XS Trust, Ser 2005-9N,
Cl M4 (D)
6.481%, 06/30/06 170 174
Master Asset Backed Securities
Trust, Ser 2002-OPT1, Cl M1 (D)
6.231%, 06/27/06 400 401
Master Asset Backed Securities
Trust, Ser 2006-AB1, Cl A1 (D)
5.221%, 06/27/06 4,350 4,350
Merrill Lynch Mortgage Investors,
Ser 2005-FN1N, Cl N1 (F)
4.500%, 05/25/36 231 228
Merrill Lynch Mortgage Investors,
Ser 2005-HE2, Cl A2A (D)
5.191%, 06/27/06 607 607
Merrill Lynch Mortgage Trust,
Ser 2006-1, Cl 1A1 (D)
5.352%, 02/25/36 2,203 2,190
Morgan Stanley, Ser 2003-NC10,
Cl M1 (D)
5.761%, 06/27/06 573 576
New Century Home Equity Loan
Trust, Ser 2004-A, Cl AII3 (D)
4.450%, 06/01/06 1,500 1,485
New Century Home Equity Loan
Trust, Ser 2005-A, Cl A1F (G)
4.359%, 06/25/06 668 665
New Century Home Equity Loan
Trust, Ser 2005-A, Cl A2 (G)
4.461%, 06/25/06 3,000 2,955
New Century Home Equity Loan
Trust, Ser 2005-B, Cl A2A (D)
5.201%, 06/25/06 2,610 2,610
Newcastle CDO Limited,
Ser 2005-6A, Cl IM1 (C) (D) (F)
5.142%, 04/24/07 659 659
Nomura Asset Acceptance,
Ser 2004-R1, Cl A1 (F)
6.500%, 03/25/34 471 476
Nomura Asset Acceptance,
Ser 2004-R2, Cl A1 (D) (F)
6.500%, 10/25/34 549 546
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M10 (D) (F)
7.581%, 06/27/06 60 51
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M11 (D) (F)
7.581%, 06/27/06 $ 140 $ 124
Ownit Mortgage Loan, Ser 2006-1,
Cl AF1 (G)
5.424%, 12/25/36 1,442 1,433
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AM6 (C) (D) (F)
5.111%, 02/25/35 2,014 2,014
RMAC, Ser 2004-NS3A, Cl A1
(C) (D) (F)
5.080%, 09/12/06 590 590
Renaissance Home Equity Loan
Trust, Ser 2004-2, Cl AF3 (G)
4.464%, 07/25/34 1,810 1,793
Residential Accredit Loans,
Ser 2005-Q05, Cl M3 (D)
5.881%, 06/25/06 399 405
Residential Accredit Loans,
Ser 2005-QA3, Cl NB2 (D)
5.267%, 06/25/06 2,010 1,984
Residential Accredit Loans,
Ser 2006-Q01, Cl 2A3 (D)
5.481%, 06/27/06 498 499
Residential Asset Mortgage
Products, Ser 2003-RS11,
Cl MII1 (D)
5.811%, 06/25/06 200 202
Residential Asset Mortgage
Products, Ser 2006-RZ1,
Cl A1 (D) (J)
5.161%, 06/27/06 5,022 5,023
Residential Asset Securities,
Ser 2005-KS11, Cl AI1 (D)
5.161%, 06/27/06 2,662 2,663
Residential Asset Securities,
Ser 2006- EMX2, Cl A1 (D)
5.161%, 06/27/06 2,213 2,214
Residential Asset Securities,
Ser 2006-KS2, Cl A1 (D)
5.029%, 06/27/06 4,212 4,212
Residential Asset Securitization
Trust, Ser 2004-IP2, Cl 3A1 (D)
5.294%, 06/25/06 2,068 2,044
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2A (D) (F)
5.181%, 06/25/06 2,060 2,060
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2B (D) (F)
5.231%, 06/25/06 1,400 1,400
Saturn Ventures II (C) (D) (F)
5.129%, 08/07/06 3,076 3,076
Sharps SP I LLC NIM Trust,
Ser 2005-HE3N, Cl N (F)
5.000%, 05/25/35 382 381
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 155
STATEMENT OF NET ASSETS
International Equity Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Structured Adjustable Rate
Mortgage Loan, Ser 2005-16 XS,
Cl M2 (D)
5.981%, 06/25/06 $ 200 $ 202
Structured Asset Investment Loan
Trust, Ser 2005-1, Cl A4 (D) (F)
5.311%, 06/25/06 1,218 1,219
Structured Asset Investment Loan
Trust, Ser 2005-8, Cl A2 (D)
5.211%, 06/25/06 819 819
Structured Asset Securities,
Ser 2005-NC1, Cl A2
3.920%, 02/25/35 419 415
Structured Asset Securities,
Ser 2005-S1, Cl B3 (D) (F)
7.581%, 06/27/06 250 241
Structured Asset Securities,
Ser 2005-WF1, Cl A2 (D)
5.281%, 06/25/06 1,332 1,334
TIAA Real Estate, Ser 2003-1A,
Cl A1 (C) (D) (F)
5.030%, 09/28/06 2,128 2,128
Terwin Mortgage Trust,
Ser 2006-5, Cl 1A2A
5.088%, 06/25/36 5,500 5,500
Terwin Mortgage Trust,
Ser 2006-6, Cl 2A
4.500%, 06/25/36 1,000 990
Wells Fargo Home Equity Trust,
Ser 2004-2, Cl A12 (D)
3.450%, 06/25/19 1,350 1,341
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMD (C) (D) (F)
4.930%, 06/15/06 824 824
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMME (C) (D) (F)
4.930%, 09/15/06 494 494
Witherspoon CDO Funding (C) (D) (F)
5.091%, 09/15/06 2,307 2,307
----------
Total Asset-Backed Securities
(Cost $130,090) ($ Thousands) 129,993
----------
CORPORATE OBLIGATIONS -- 6.4%
CONSUMER DISCRETIONARY -- 0.0%
Gannett
5.750%, 06/01/11 690 683
----------
FINANCIALS -- 6.4%
Allstate Life Global Funding II
MTN (C) (D) (F)
5.101%, 06/15/07 1,516 1,516
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
American General Finance
(C) (D) (F)
5.111%, 06/15/07 $ 4,779 $ 4,778
American General Finance MTN,
Ser F (C)
5.875%, 07/14/06 329 336
Bear Stearns EXL (C) (D)
5.091%, 06/15/07 5,866 5,866
Caterpillar Financial Services
MTN, Ser F (C) (D)
5.148%, 07/10/06 1,648 1,648
Countrywide Financial Services
MTN, Ser A (C) (D)
5.210%, 11/03/06 3,461 3,460
4.960%, 09/13/06 6,097 6,097
Dekabank (C) (D) (F)
5.108%, 05/18/07 6,097 6,096
Glitnir Bank (C) (D) (F)
5.180%, 04/06/07 4,944 4,944
Irish Life & Permanent MTN,
Ser X (C) (D) (F)
5.109%, 06/21/07 4,383 4,382
Islandsbanki (C) (D) (F)
5.131%, 03/22/07 2,801 2,801
Jackson National Life Funding
(C) (D) (F)
5.080%, 05/02/07 7,251 7,251
Kaupthing Bank MTN (C) (D) (F)
5.141%, 03/20/07 8,239 8,239
Landsbanki Islands (C) (D) (F)
5.161%, 03/16/07 6,262 6,262
Morgan Stanley EXL (C) (D)
5.190%, 07/03/07 1,154 1,154
Morgan Stanley EXL, Ser S (C) (D)
5.150%, 07/03/07 1,648 1,648
Natexis Banques (C) (D) (F)
5.060%, 06/15/07 3,213 3,213
Nationwide Building Society
(C) (D) (F)
5.160%, 04/05/07 3,296 3,296
5.020%, 04/27/07 1,813 1,813
Nordbank (C) (D) (F)
5.080%, 06/22/07 5,603 5,602
Northern Rock (C) (D) (F)
5.170%, 05/03/07 3,395 3,395
Pacific Life Global Funding
(C) (D) (F)
5.101%, 06/13/07 2,472 2,472
Premium Asset Trust, Ser 2004-06
(C) (D) (F)
5.190%, 06/30/06 3,131 3,133
- --------------------------------------------------------------------------------
156 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Premium Asset Trust, Ser 2004-10
(C) (D) (F)
5.120%, 05/14/07 $ 4,614 $ 4,614
Residential Capital
6.875%, 06/30/15 75 75
6.500%, 04/17/13 1,115 1,090
6.000%, 02/22/11 200 194
SLM EXL, Ser S (C) (D) (F)
5.081%, 06/15/07 3,625 3,625
Shinsei Finance Cayman (D) (F)
6.418%, 01/29/49 490 471
Sigma Finance MTN (C) (F)
4.745%, 11/09/06 1,780 1,780
Skandinav Enskilda Bank
(C) (D) (F)
5.077%, 05/18/07 3,625 3,625
Washington Mutual Preferred
Funding (D) (F)
6.534%, 03/15/49 500 481
----------
105,357
----------
INDUSTRIALS -- 0.0%
Ryland Group
6.875%, 06/15/13 355 354
----------
Total Corporate Obligations
(Cost $106,464) ($ Thousands) 106,394
----------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
OBLIGATIONS (D) -- 4.0%
FHLMC
5.571%, 10/01/35 (I) 796 794
FNMA
5.523%, 01/01/36 (I) 849 850
FNMA 15 Year TBA
5.500%, 06/01/21 11,200 11,029
5.000%, 06/17/19 10,000 9,656
FNMA 30 Year TBA
5.500%, 06/12/31 to 06/01/33 38,500 37,062
GNMA
5.250%, 08/20/34 303 302
4.500%, 06/30/06 to 03/20/36 1,454 1,443
4.000%, 06/20/35 1,027 1,022
4.000%, 02/20/36 (I) 358 350
3.750%, 12/20/33 (J) 2,708 2,643
GNMA TBA
4.500%, 06/22/36 300 276
----------
Total U.S. Government Agency Mortgage-Backed
Obligations
(Cost $65,645) ($ Thousands) 65,427
----------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (C) (E) -- 3.4%
Brahms Funding
5.051%, 06/01/06 $ 3,296 $ 3,282
Broadhollow Funding
5.081%, 06/09/06 824 821
5.079%, 06/26/06 1,977 1,970
5.073%, 06/19/06 2,801 2,789
5.062%, 06/05/06 1,648 1,641
Buckingham CDO
5.092%, 06/23/06 1,648 1,641
5.087%, 06/08/06 3,296 3,285
Elysian Funding LLC
5.170%, 07/10/06 3,296 3,267
5.134%, 06/30/06 1,648 1,634
5.123%, 06/05/06 1,648 1,640
Hardwood Street Funding II
5.074%, 06/13/06 289 288
KKR Pacific Funding Trust
5.082%, 06/22/06 3,296 3,281
5.082%, 06/23/06 1,648 1,641
5.081%, 06/07/06 3,296 3,282
Main Street Warehouse Funding
5.090%, 06/16/06 1,977 1,970
5.079%, 06/05/06 1,648 1,642
5.078%, 06/02/06 297 296
Ocala Funding LLC
5.112%, 06/30/06 494 492
5.092%, 06/09/06 5,215 5,192
Park Granada LLC
5.045%, 06/29/06 1,648 1,633
Rams Funding
5.094%, 06/14/06 3,840 3,823
5.091%, 06/21/06 3,296 3,282
Rhineland Funding Capital
5.026%, 06/26/06 3,296 3,259
Thornburg Mortgage Capital
Resource
5.092%, 06/19/06 2,307 2,297
5.092%, 06/23/06 1,068 1,063
Transamerica Securities
5.100%, 06/28/06 1,327 1,320
----------
Total Commercial Paper
(Cost $56,731) ($ Thousands) 56,731
----------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 157
STATEMENT OF NET ASSETS
International Equity Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
TIME DEPOSITS -- 1.5%
Brown Brothers Harriman
6.600%, 06/01/06 ZAR 250 $ 37
4.650%, 06/01/06 AUD 75 57
4.360%, 06/01/06 9,648 9,648
3.681%, 06/01/06 GBP 1,130 2,113
3.550%, 06/01/06 HKD 1,096 141
3.250%, 06/01/06 CAD 256 233
2.060%, 06/01/06 SGD 1,226 778
1.692%, 06/01/06 EUR 3,306 4,247
1.600%, 06/01/06 DKK 131 23
1.519%, 06/01/06 NOK 192 32
1.050%, 06/01/06 SEK 529 73
0.000%, 06/01/06 CHF 428 352
Societe Generale (C) (D)
5.080%, 06/01/06 6,591 6,591
----------
Total Time Deposits
(Cost $24,325) ($ Thousands) 24,325
----------
PREFERRED STOCK -- 0.7%
BRAZIL -- 0.2%
Braskem, Cl A 56,680 342
Petroleo Brasileiro 78,200 1,500
Usinas Siderurgicas dMinas
Gerais, Cl A 29,000 942
----------
2,784
----------
GERMANY -- 0.4%
Fresenius Medical Care (B) 12,100 1,248
Porsche 5,286 5,135
ProSiebenSat.1 Media* 23,500 610
Volkswagen 4,135 208
----------
7,201
----------
UNITED KINGDOM -- 0.1%
Scottish Power, Cl B* 264,904 1,792
----------
Total Preferred Stock
(Cost $9,082) ($ Thousands) 11,777
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.6%
FHLMC CMO STRIPS, Ser 232,
Cl IO, IO
5.000%, 08/01/35 $ 3,582 960
FHLMC CMO STRIPS, Ser 233,
Cl 12, IO
5.000%, 09/15/35 1,519 382
FHLMC DN (H)
5.081%, 10/23/06 225 221
5.050%, 11/14/06 500 488
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA CMO STRIPS, Ser 2006-10,
Cl FD (D) (G)
5.431%, 06/25/06 $ 2,226 $ 2,227
FNMA CMO STRIPS, Ser 359,
Cl 6, IO
5.000%, 11/01/35 548 142
FNMA CMO STRIPS, Ser 360,
Cl 2, IO
5.000%, 08/01/35 1,321 353
FNMA DN (H)
1.680%, 11/08/06 5,340 5,221
----------
Total U.S. Government Agency Obligations
(Cost $9,874) ($ Thousands) 9,994
----------
MASTER NOTE (C) -- 0.5%
Bank of America
5.133%, 06/01/06 8,239 8,239
----------
Total Master Note
(Cost $8,239) ($ Thousands) 8,239
----------
U.S. TREASURY OBLIGATIONS (E) -- 0.4%
U.S. Treasury Bills
4.889%, 07/13/06 700 696
4.787%, 07/06/06 450 448
4.743%, 06/29/06 650 648
4.706%, 06/01/06 to 07/20/06 600 597
4.705%, 08/24/06 (A) 390 386
4.650%, 06/22/06 (A) 350 349
4.649%, 07/27/06 700 695
U.S. Treasury Inflationary Index
Notes (J)
3.875%, 04/15/29 2,576 3,218
----------
Total U.S. Treasury Obligations
(Cost $7,047) ($ Thousands) 7,037
----------
EQUITY-LINKED WARRANTS -- 0.4%
High Tech Computer 580,000 3,731
HON HAI Precision Industry 111,120 3,302
----------
Total Equity-Linked Warrants
(Cost $4,709) ($ Thousands) 7,033
----------
CASH EQUIVALENT -- 0.4%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 4.980%**++ 5,838,029 5,838
----------
Total Cash Equivalent
(Cost $5,838) ($ Thousands) 5,838
----------
- --------------------------------------------------------------------------------
158 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/contracts ($ Thousands)
- --------------------------------------------------------------------------------
CERTIFICATE OF DEPOSIT (C) -- 0.1%
U.S. Trust of New York
5.121%, 03/13/07 $ 1,318 $ 1,318
----------
Total Certificate of Deposit
(Cost $1,318) ($ Thousands) 1,318
----------
EXCHANGE TRADED FUND -- 0.0%
iShares MSCI EAFE Index Fund 9,200 602
----------
Total Exchange Traded Fund
(Cost $542) ($ Thousands) 602
----------
PURCHASED OPTIONS -- 0.0%
120 Day Euro Futures Call,
Expires 12/16/06,
Strike Price $95* 90 24
90 Day Euro Futures Call,
Expires 06/19/06,
Strike Price $95.25* 170 1
----------
Total Purchased Options
(Cost $113) ($ Thousands) 25
----------
Number of
Rights
---------
RIGHTS -- 0.0%
Arkema, Expires 06/29/06* 21 --
----------
Total Rights
(Cost $--) ($ Thousands) --
----------
REPURCHASE AGREEMENTS (C)(K) -- 2.4%
Barclays Capital
5.010%, dated 05/31/06, to be
repurchased on 06/01/06,
repurchase price $8,832,237
(collateralized by U.S.
Government Obligations,
ranging in par value
$182,947-$6,591,485, 0.000%-
4.300%, 04/09/07-05/12/08;
with total market value
$9,007,757) 8,831 8,831
Deutsche Bank
5.020%, dated 05/31/06, to be
repurchased on 06/01/06,
repurchase price $10,893,915
(collateralized by U.S.
Government Obligations,
ranging in par value $60,675-
$3,309,255, 0.000%-5.600%,
08/29/06-10/29/18; with total
market value $11,110,303) 10,892 10,892
Lehman Brothers
5.020%, dated 05/31/06, to be
repurchased on 06/01/06,
repurchase price $19,907,215
(collateralized by U.S.
Government Obligations,
ranging in par value
$2,306,690-$19,774,455,
8.125%-9.375%, 10/15/19-
01/15/30; with total market
value $20,302,558) 19,904 19,904
----------
- --------------------------------------------------------------------------------
Market Value
Description Contracts ($ Thousands)
- --------------------------------------------------------------------------------
Total Repurchase Agreements
(Cost $39,627) ($ Thousands) $ 39,627
----------
Total Investments -- 119.0%
(Cost $1,688,859) ($ Thousands) 1,971,220
----------
WRITTEN OPTIONS -- 0.0%
120 Day Euro Futures Call,
Expires 12/15/06,
Strike Price $95* (90) (18)
90 Day Euro Futures Call,
Expires 06/16/06,
Strike Price $95.50* (85) --
90 Day Euro Futures Call,
Expires 06/16/06,
Strike Price $95.75* (85) --
----------
Total Written Options
(Premiums Received $(118)) ($ Thousands) (18)
----------
OTHER ASSETS AND LIABILITIES -- (19.0)%
Receivable for Variation Margin 484
Receivable due from Adviser 31
Payable upon Return of Securities on Loan (233,280)
Payable for Investment Securities Purchased (108,295)
Payable for Capital Shares Redeemed (4,138)
Trustees' Fees Payable (6)
Other Assets and Liabilities, Net 30,987
----------
Total Other Assets and Liabilities (314,217)
----------
Net Assets -- 100.0% $1,656,985
==========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $1,165,999
Undistributed net investment income 27,089
Accumulated net realized gain on investments 184,938
Net unrealized appreciation on investments
and written options 282,461
Net unrealized depreciation on futures contracts (2,446)
Net unrealized depreciation on swap contracts (341)
Accumulated foreign capital gains tax on
appreciated securities (38)
Net unrealized depreciation on forward foreign
currency contracts, foreign currencies and
translation of other assetsand liabilities
denominated in foreign currencies (677)
----------
Net Assets $1,656,985
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($1,656,985,243 / 117,895,184 shares) $14.05
======
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 159
STATEMENT OF NET ASSETS
International Equity Fund (Concluded)
May 31, 2006
A summary of the open futures contracts held by the Fund at May 31, 2006, is as
follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
APPRECIATION
TYPE OF NUMBER OF EXPIRATION (DEPRECIATION)
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
90-Day Euro$ (42) Mar-2010 $ 22
90-Day Euro$ (36) Mar-2011 15
90-Day Euro$ (48) Mar-2007 22
90-Day Euro$ (48) Mar-2008 23
90-Day Euro$ (43) Mar-2009 22
90-Day Euro$ (44) Jun-2010 23
90-Day Euro$ (48) Jun-2006 16
90-Day Euro$ (48) Jun-2007 22
90-Day Euro$ (43) Jun-2008 22
90-Day Euro$ (43) Jun-2009 22
90-Day Euro$ (44) Sep-2010 24
90-Day Euro$ (48) Sep-2006 20
90-Day Euro$ (48) Sep-2007 23
90-Day Euro$ (43) Sep-2008 22
90-Day Euro$ (43) Sep-2009 22
90-Day Euro$ (44) Dec-2010 25
90-Day Euro$ (48) Dec-2006 21
90-Day Euro$ (48) Dec-2007 23
90-Day Euro$ (43) Dec-2008 22
90-Day Euro$ (43) Dec-2009 23
Amsterdam Exchange Index 44 Jun-2006 (75)
CAC 40 10 Euro 177 Jun-2006 45
DAX Index 60 Jun-2006 (459)
DJ Euro Stoxx 61 Jun-2006 (140)
FTSE 100 Index 287 Jun-2006 (1,398)
Hang Seng Index 20 Jun-2006 --
Ibex 35 Plus Index 28 Jun-2006 (98)
MSCI Singapore Index 23 Jun-2006 (29)
OMXS 30 Index 412 Jun-2006 223
S&P/MIB Index 23 Jun-2006 (155)
SPI 200 Index 81 Jun-2006 (25)
Topix Index 217 Jun-2006 (936)
U.S. 2-Year Note (1) Jul-2006 --
U.S. 2-Year Note (10) Oct-2006 3
U.S. 5-Year Note (80) Jun-2006 66
U.S. 10-Year Note (17) Sep-2006 6
U.S. 10-Year Note (34) Jun-2006 45
U.S. Long Treasury Bond (6) Jun-2006 47
--------
.. $ (2,446)
========
A summary of outstanding forward foreign currency contracts held by the Fund at
May 31, 2006, is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
CURRENCY TO CURRENCY TO APPRECIATION
MATURITY DELIVER RECEIVE (DEPRECIATION)
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
6/22/06 USD 5,695 AUD 7,445 $ (88)
6/22/06 USD 7,864 CHF 9,484 (39)
6/22/06 USD 897 DKK 5,202 --
6/22/06 USD 37,789 EUR 29,417 42
6/22/06 USD 29,151 GBP 15,417 (295)
6/22/06 USD 1,944 HKD 15,065 (1)
6/22/06 USD 27,263 JPY 3,007,075 (360)
6/22/06 USD 864 NOK 5,245 1
6/22/06 USD 3,185 SEK 23,189 34
6/22/06 USD 711 SGD 1,119 --
------
$ (706)
======
A summary of outstanding swap agreements held by the Fund at May 31, 2006, is as
follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
TOTAL RETURN SWAPS
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund receives payment on the monthly
reset spread from Banc of America
-- CMBS AAA10Yr Index plus 15
basis points times the notional
amount. Fund receives payment if
the return on the spread
appreciates over the payment
period, and pays if the return on
the spread depreciates over the
payment period. (Counterparty:
Bank of America) 07/31/06 25,000 $ (36)
Fund receives payment on the monthly
reset spread from Banc of America
-- CMBS AAA10Yr Index times the
notional amount. Fund receives
payment if the return on the
spread appreciates over the
payment period, and pays if the
return on the spread depreciates
over the payment period.
(Counterparty: Bank of America) 02/27/07 16,000 (23)
Fund receives payment on the monthly
reset spread from Banc of America
-- CMBS BBB Index plus 25 basis
points times the notional amount.
Fund receives payment if the
return on the spread appreciates
over the payment period, and pays
if the return on the spread
depreciates over the payment
period. (Counterparty: Bank of
America) 10/31/06 4,000 24
Fund receives payment on the monthly
reset spread from Lehman Brothers
-- CMBS AAA Index times the
notional amount. Fund receives
payment if the return on the
spread appreciates over the
payment period and pays if the
return on the spread depreciates
over the payment period.
(Counterparty: Goldman Sachs) 09/01/06 13,000 (11)
Fund receives payment on the monthly
reset spread from Swiss Market
Index -- CHF 3M RTI Libor plus 32
basis points. Fund receives
payment if the return on the
spread is appreciates over the
payment period, and pays if the
return on the spread depreciates
over the payment period.
(Counterparty: JPMorgan Chase) 01/17/07 8,400 (314)
-----
$(360)
=====
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAP
- --------------------------------------------------------------------------------
Fund receives monthly payment of 0.54%
per annum times the notional
amount of the ABX.HE.A Index. Upon
a defined credit event, Fund pays
the notional amount and takes
receipt of the defined deliverable
obligation. (Counterparty:
JPMorgan Chase) 07/25/45 6,500 $ 19
=====
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of May 31, 2006.
+ Real Estate Investment Trusts.
++ Pursuant to an exemptive order issued by the Securities and Exchange
Commission, the Fund may invest in the SEI money market funds, provided that
investments in the money market funds do not exceed 25% of the Fund's total
assets.
(A) Security, or portion thereof, has been pledged as collateral on open futures
contracts and written options.
(B) This security or a partial position of this security is on loan at May 31,
2006 (see Note 9). The total value of securities on loan at May 31, 2006 was
$223,072 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan (see Note 9). The total value of such securities as of May 31, 2006 was
$233,280 ($ Thousands).
(D) Variable Rate Security -- The rate reported on the Statement of Net Assets
is the rate in effect as of May 31, 2006.
(E) The rate reported is the effective yield at time of purchase.
- --------------------------------------------------------------------------------
160 SEI Institutional Investments Trust / Annual Report / May 31, 2006
Description
- --------------------------------------------------------------------------------
(F) 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." These securities have been determined to be
liquid under guidelines established by the Board of Trustees.
(G) Step Bonds -- The rate reflected on the Statement of Net Assets is the rate
in effect as of May 31, 2006. The coupon on a step bond changes on a
specified date.
(H) Zero coupon security -- The rate reported on the Statement of Net Assets is
the effective yield at time of purchase.
(I) Security, or portion of this security, has been pledged as collateral on
open swap contracts. The rate reported on the Statement of Net Assets is the
effective yield at time of purchase.
(J) Security, or a portion of this security, has been pledged as collateral on
reverse repurchase agreements.
(K) Tri-Party Repurchase Agreement.
ADR -- American Depositary Receipt
AUD -- Australian Dollar
CAD -- Canadian Dollar
CDO -- Collateralized Debt Obligation
CHF -- Swiss Franc
Cl -- Class
CMBS -- Commercial Mortgage-Backed Securities
CMO -- Collateralized Mortgage Obligation
DKK -- Danish Krone DN -- Discount Note
EUR -- Euro
EXL -- Extendable Maturity
FDR -- Fiduciary Depositary Receipt
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GBP -- British Pound Sterling
GDR -- Global Depositary Receipt
GNMA -- Government National Mortgage Association
HKD -- Hong Kong Dollar
IO -- Interest Only
JPY -- Japanese Yen
LIBOR -- London Interbank Offered Rate
LLC -- Limited Liability Company
MTN -- Medium Term Note
NIM -- Net Interest Margin
NOK -- Norwegian Krone
SEK -- Swedish Krona
Ser -- Series
SGD -- Singapore Dollar
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
USD -- United States Dollar
ZAR -- South African Rand
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, 2006 161
SCHEDULE OF INVESTMENTS
World Equity Ex-US Fund
May 31, 2006
- --------------------------------------------------------------------------------
Sector Weightings (unaudited)++:
26.0% Financials
12.2% Asset-Backed Securities
7.9% Materials
7.8% Industrials
7.5% Consumer Discretionary
7.3% U.S. Government Mortgage Backed
5.9% Energy
4.8% Information Technology
4.6% Health Care
4.5% Telecommunication Services
3.5% Consumer Staples
3.0% Utilities
2.5% Short-Term Investments
1.0% U.S. Government Agency Obligations
0.8% Preferred Stock
0.6% U.S. Treasury Obligations
0.1% Certificate of Deposit
0.0% Exchange Traded Funds
0.0% Purchased Options
0.0% Rights
++Percentages based on total investments. Includes investments
held as collateral for securities on loan (see Note 9).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 74.9%
AUSTRALIA -- 1.9%
Alumina 34,258 $ 172
Amcor 98,643 493
Australia & New Zealand
Banking Group 33,738 675
Australia Gas & Light 16,300 206
Australian Stock Exchange 10,200 235
BHP Billiton 76,218 1,662
BlueScope Steel 8,927 51
Boral 81,500 560
Brambles Industries (B) 9,414 76
Centro Properties Group 18,074 90
Cochlear 8,937 332
Coles Myer 8,854 76
Commonwealth Bank of Australia 15,102 493
CSL 8,413 328
CSR 178,000 482
Foster's Group 57,923 233
GPT Group 68,303 210
Harvey Norman Holdings 202,465 590
Insurance Australia Group 64,588 254
Leighton Holdings 24,400 318
Macquarie Airports 376,560 867
Macquarie Bank 6,546 318
Macquarie Infrastructure Group 37,546 96
Mayne Group 94,800 224
Mayne Pharma* 67,834 138
Mirvac Group 50,658 164
National Australia Bank 9,000 240
Newcrest Mining 14,200 213
OneSteel* 127,200 348
Orica 13,400 238
Pacific Brands 10,301 16
Promina Group 58,606 252
Qantas Airways 221,046 528
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
QBE Insurance Group 206,421 $ 3,348
Rinker Group (B) 81,382 1,148
Rio Tinto 8,018 473
Woodside Petroleum 4,783 159
Woolworths 76,454 1,075
--------
17,381
--------
AUSTRIA -- 0.4%
Andritz 318 51
Boehler-Uddeholm (B) 418 87
Erste Bank der Oesterreichischen
Sparkassen (B) 3,490 200
OMV (B) 20,960 1,223
Raiffeisen International Bank
Holding 2,769 230
Telekom Austria (B) 10,580 238
Voestalpine 12,300 1,751
--------
3,780
--------
BELGIUM -- 0.4%
Bekaert* 2,100 217
Delhaize Group 8,075 520
Dexia (B) 22,928 564
Fortis 23,950 876
Fortis (B) 5,952 217
InBev 4,600 222
KBC Groep 4,200 453
UCB (B) 7,543 395
Umicore 1,500 217
--------
3,681
--------
BRAZIL -- 0.9%
Cia Brasileira de Distribuicao
Grupo Pao de Acucar ADR 40,150 1,327
Cia de Saneamento Basico do
Estado de Sao Paulo 1,320,000 118
Cia Vale do Rio Doce ADR 33,940 1,581
Gerdau ADR 29,625 424
Petroleo Brasileiro ADR 17,200 1,494
Tim Participacoes ADR 39,100 947
Uniao de Bancos Brasileiros GDR 26,760 1,708
Vivo Participacoes ADR 276,500 700
--------
8,299
--------
CANADA -- 3.7%
Abitibi-Consolidated 20,800 71
Alcan (B) 31,300 1,622
Algoma Steel 4,200 128
Bank of Montreal (B)* 8,700 490
Bank of Nova Scotia (B) 21,500 863
Barrick Gold 7,400 226
Barrick Gold (USD) (B) 18,900 579
Brookfield Asset Management,
Cl A 2,050 84
- --------------------------------------------------------------------------------
162 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Brookfield Properties 800 $ 23
Cameco 24,800 1,018
Canadian Imperial Bank of Commerce 2,300 168
Canadian National Railway 20,400 903
Canadian Natural Resources 40,600 2,139
Canadian Pacific Railway 900 46
Canadian Tire, Cl A (B) 3,400 208
Celestica* 52,800 499
CGI Group, Cl A* 37,600 249
EnCana 7,300 368
Finning International 5,900 202
George Weston 400 30
Husky Energy (B) 28,800 1,693
Imperial Oil 15,900 572
Inco 5,100 336
IPSCO 9,500 891
Loblaw 3,200 154
Magna International, Cl A 3,100 238
Manulife Financial (B) 26,200 863
Methanex 14,400 337
Metro, Cl A 35,900 1,040
National Bank of Canada (B) 20,100 1,119
Nexen 22,700 1,263
Nortel Networks* 34,500 82
Onex 8,600 170
Potash Saskatchewan 7,600 684
Power Corp of Canada 6,200 169
Research In Motion* 2,300 149
Rogers Communications, Cl B 63,475 2,646
RONA* 33,400 683
Royal Bank of Canada (B) 57,200 2,338
Shaw Communications, Cl B (B)* 13,400 374
Sun Life Financial (B) 49,100 2,015
Suncor Energy 5,200 420
Teck Cominco, Cl B 70,800 4,508
TELUS 19,300 777
Thomson (B) 3,900 165
Toronto-Dominion Bank 3,900 212
--------
33,814
--------
CHILE -- 0.2%
Empresa Nacional de
Electricidad ADR 54,500 1,473
--------
CHINA -- 0.7%
China Petroleum & Chemical,
Cl H 3,408,000 2,046
China Shipping Development 2,038,000 1,475
China Telecom 3,859,000 1,252
PetroChina 350,000 379
Yanzhou Coal Mining (B) 1,962,000 1,412
--------
6,564
--------
COLOMBIA -- 0.1%
BanColombia ADR 39,551 1,068
--------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CZECH REPUBLIC -- 0.2%
Cesky Telecom GDR* 80,150 $ 1,671
--------
DENMARK -- 0.2%
AP Moller - Maersk 14 113
Bang & Olufsen, Cl B 2,000 236
Carlsberg, Cl B 900 63
Danske Bank 11,100 425
East Asiatic 850 34
Novo-Nordisk, Cl B 7,400 460
Topdanmark* 2,500 345
Vestas Wind Systems* 18,900 490
William Demant Holding* 1,100 83
--------
2,249
--------
FINLAND -- 1.1%
Fortum 152,150 3,797
Kesko, Cl B 3,100 123
Metso 6,800 242
Neste Oil 8,000 272
Nokia 93,300 2,006
Nokia ADR 13,900 298
Outokumpu 27,800 629
Rautaruukki 2,200 66
Sampo, Cl A 61,700 1,191
Stora Enso, Cl R 27,800 390
UPM-Kymmene 20,500 440
Wartsila, Cl B 800 31
YIT* 19,150 487
--------
9,972
--------
FRANCE -- 6.9%
Accor 4,375 257
Air France-KLM 59,514 1,285
Air Liquide (B) 1,030 215
Alcatel* 17,500 233
Arkema* 2,079 75
Assurances Generales
de France (B) 47,180 5,728
Atos Origin* 3,400 235
AXA 61,560 2,147
BNP Paribas (B) 52,774 4,935
Bouygues (B) 82,892 4,519
Capgemini 60,650 3,338
Carrefour 4,400 256
Casino Guichard Perrachon 4,628 355
Cie de Saint-Gobain 12,671 890
Cie Generale d'Optique Essilor
International (B) 1,940 196
CNP Assurances 2,200 220
Compagnie Generale des
Etablissements Michelin, Cl B 3,376 222
Credit Agricole (B) 70,758 2,649
Dassault Systemes* 3,348 175
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 163
SCHEDULE OF INVESTMENTS
World Equity Ex-US Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
France Telecom 23,843 $ 532
Groupe Danone (B) 30,498 3,680
L'Oreal (B) 7,405 665
Lafarge 7,913 951
LVMH Moet Hennessy Louis Vuitton 2,400 237
PagesJaunes Groupe 8,261 230
PPR 1,900 236
Publicis Groupe 9,288 376
Renault (B) 40,997 4,730
Sanofi-Aventis (B) 63,668 6,022
Schneider Electric 16,377 1,704
SCOR 72,685 173
Societe Generale (B) 28,523 4,409
Suez* 6,100 235
Thales 4,500 174
Thomson 10,800 205
Total (B)* 91,564 5,953
Veolia Environnement (B) 6,327 353
Vinci (B) 33,065 3,048
Vivendi (B) 24,701 889
--------
62,732
--------
GERMANY -- 4.8%
Allianz 22,986 3,598
Altana 6,873 410
BASF 14,773 1,207
Bayer (B) 69,449 3,130
Commerzbank 104,383 3,943
Continental 30,829 3,383
DaimlerChrysler 34,786 1,837
Deutsche Bank (B) 17,452 2,013
Deutsche Post 15,900 433
Deutsche Telekom 19,353 316
E.ON 33,232 3,862
Epcos* 7,500 112
Fresenius Medical Care 19,700 2,218
Hypo Real Estate Holding 38,100 2,419
Infineon Technologies* 20,500 233
Linde 357 30
MAN (B) 20,500 1,482
Merck KGaA 23,535 2,421
Muenchener Rueckversicherungs 19,454 2,646
RWE 22,730 1,954
SAP 5,304 1,118
SAP ADR 1,200 63
Siemens 16,354 1,413
ThyssenKrupp 33,758 1,162
TUI (B) 45,800 932
Volkswagen (B) 10,405 741
Wincor Nixdorf 481 64
--------
43,140
--------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
GREECE -- 0.1%
Alpha Bank* 7,074 $ 177
Coca Cola Hellenic Bottling 4,540 144
National Bank of Greece 3,810 162
OPAP 6,910 235
Piraeus Bank 3,650 109
Titan Cement 2,440 128
--------
955
--------
HONG KONG -- 1.3%
ASM Pacific Technology 9,500 49
Bank of East Asia 60,600 230
BOC Hong Kong Holdings 110,000 212
Cheung Kong Holdings 6,000 65
China Mobile Hong Kong 456,500 2,355
China Overseas Land &
Investment 2,440,000 1,439
CLP Holdings 33,000 189
Cosco Pacific (B) 800,000 1,650
Hang Lung Group 33,000 76
Hang Lung Properties 238,300 419
Henderson Land Development 65,200 339
Hong Kong Exchanges and
Clearing 102,300 686
Hopewell Holdings 29,000 79
Hysan Development 86,000 220
Kingboard Chemical Holdings 53,000 139
Li & Fung 163,400 335
New World Development 409,300 655
PCCW 266,000 165
Sino Land (B) 364,798 557
Sun Hung Kai Properties 63,000 651
Swire Pacific, Cl A 72,800 688
Wharf Holdings 18,000 64
Wing Hang Bank 11,000 98
Wing Lung Bank 13,700 126
--------
11,486
--------
HUNGARY -- 0.4%
Gedeon Richter 8,822 1,726
Mol Magyar Olaj-es Gazipari 18,350 1,883
--------
3,609
--------
INDIA -- 0.7%
Bharti Televentures* 188,429 1,489
Hindalco Industries GDR* 46,425 102
Hindalco Industries GDR (F)* 185,700 702
Indian Overseas Bank 65,400 119
ITC 356,824 1,274
Maruti Udyog 80,185 1,273
Oil & Natural Gas 49,973 1,205
State Bank of India GDR (B) 3,190 138
Tata Steel 1,605 18
--------
6,320
--------
- --------------------------------------------------------------------------------
164 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
INDONESIA -- 0.5%
Astra International 1,440,500 $ 1,531
Bank Central Asia 997,000 443
Bank Rakyat Indonesia 955,500 409
Telekomunikasi Indonesia 2,690,800 2,069
--------
4,452
--------
IRELAND -- 0.4%
Anglo Irish Bank 135,975 2,125
Bank of Ireland 17,723 311
CRH 33,269 1,123
Depfa Bank 17,500 283
--------
3,842
--------
ISRAEL -- 0.3%
Bank Hapoalim 309,272 1,441
Bank Leumi Le-Israel 22,900 86
Bezeq Israeli Telecommunication 701,167 862
Mizrahi Tefahot Bank* 25,300 154
Teva Pharmaceutical Industries
ADR 5,300 193
--------
2,736
--------
ITALY -- 2.1%
Assicurazioni Generali 6,600 241
Banca Fideuram* 5,615 31
Banca Intesa 208,553 1,214
Banca Intesa RNC 7,446 40
Banca Monte dei Paschi di Siena 54,400 318
Banca Popolare di Milano (B) 181,512 2,278
Banche Popolari Unite 23,364 583
Banco Popolare di Verona e
Novara (B) 46,786 1,284
Benetton Group 39,900 596
Buzzi Unicem 15,100 348
Capitalia 63,898 530
Enel 7,499 67
ENI - Ente Nazionale
Idrocarburi 119,962 3,626
Fiat 183,050 2,461
Fiat RNC (B)* 54,520 668
IFIL - Investments* 31,300 174
Italcementi (B) 14,220 346
Luxottica Group 14,519 396
Recordati 29,300 237
Sanpaolo IMI 13,300 238
Telecom Italia RNC 57,600 147
UniCredito Italiano 432,782 3,307
--------
19,130
--------
JAPAN -- 16.0%
Acom 2,750 163
Advantest 7,900 811
Aeon 29,400 632
Aisin Seiki 17,800 615
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Amada 44,000 $ 451
Asahi Kasei 39,000 252
Autobacs Seven 8,800 383
Bank of Fukuoka 30,000 220
Bank of Kyoto 18,000 186
Canon 56,800 3,992
Central Glass 41,000 243
Chiba Bank 22,000 200
Chiyoda (B)* 15,000 292
Chubu Electric Power 1,900 53
Citizen Watch 25,300 235
COMSYS Holdings 33,000 389
Daicel Chemical Industries 32,000 250
Daido Steel 17,000 140
Daiichi Sankyo 10,600 291
Daimaru 15,000 203
Dainippon Screen Manufacturing* 13,000 129
Daito Trust Construction 4,900 269
Daiwa House Industry* 14,000 222
Daiwa Securities Group 222,500 2,773
Denki Kagaku Kogyo 57,000 257
Denso 31,800 1,116
Dowa Mining* 6,000 54
East Japan Railway 162 1,164
EDION 28,200 609
Eisai 4,000 183
Elpida Memory (B)* 8,700 392
Fanuc 11,700 1,048
Fuji Soft ABC 8,200 267
Fuji Television Network 157 354
Fujikura 59,000 669
Fujitsu 30,000 223
Gunze* 9,000 54
Hankyu Department Stores 28,000 241
Hankyu Holdings* 27,000 140
Hino Motors 99,000 580
Hirose Electric 2,200 286
Hitachi 143,900 981
Hitachi Chemical 2,500 68
Hitachi Construction Machinery 2,800 68
Hitachi Software Engineering 13,500 225
Hokkaido Electric Power 10,100 238
Honda Motor 47,000 3,111
Hoya 15,700 604
Ibiden 2,300 115
Ito En (B) 1,700 56
Itochu 192,900 1,649
Itochu Techno-Science 7,300 339
Japan Steel Works* 208,300 1,431
Japan Tobacco 585 2,098
JFE Holdings 73,500 3,188
JS Group 17,300 366
JTEKT 11,300 226
Kajima 9,000 44
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 165
SCHEDULE OF INVESTMENTS
World Equity Ex-US Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Kamigumi* 6,000 $ 49
Kansai Electric Power 47,700 1,141
Kansai Paint 25,000 225
Kao 15,000 376
KDDI 53 334
Kobe Steel 272,700 908
Komatsu 49,000 992
Komori 14,000 291
Konica Minolta Holdings 21,500 261
Kubota 28,000 262
Kyocera 6,300 528
Kyushu Electric Power 12,600 294
Leopalace21* 27,300 827
Mabuchi Motor 5,900 349
Makita 10,000 309
Marubeni 70,000 382
Matsui Securities (B)* 18,600 204
Matsushita Electric Industrial 43,000 939
Matsushita Electric Works 11,000 128
Millea Holdings* 49 871
Mitsubishi 262,100 5,591
Mitsubishi Estate 40,000 791
Mitsubishi Gas Chemical 35,000 431
Mitsubishi Heavy Industries* 208,000 929
Mitsubishi Materials (B)* 47,000 212
Mitsubishi Rayon 30,000 263
Mitsubishi UFJ Financial Group 564 7,786
Mitsubishi UFJ Securities 49,000 687
Mitsui 152,000 2,164
Mitsui Chemicals 223,000 1,582
Mitsui Fudosan 11,300 233
Mitsui Mining & Smelting* 11,000 72
Mitsui OSK Lines (B) 226,000 1,600
Mitsui Sumitomo Insurance* 28,000 346
Mitsui Trust Holdings* 248,200 3,001
Mitsumi Electric* 19,400 239
Mizuho Financial Group* 381 3,111
Murata Manufacturing 1,900 124
NGK Spark Plug 39,000 785
Nichirei 50,500 275
Nidec 2,400 182
Nikko Cordial 15,500 230
Nikon 20,000 390
Nintendo 7,400 1,252
Nippon Electric Glass 24,000 530
Nippon Kayaku 40,000 343
Nippon Mining Holdings* 122,100 1,078
Nippon Oil 83,000 612
Nippon Shokubai 19,000 239
Nippon Telegraph & Telephone 536 2,663
Nippon Yusen Kabushiki Kaisha 81,000 528
Nissan Motor 172,700 2,099
Nisshin Seifun Group 42,300 459
Nisshin Steel 128,000 433
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Nisshinbo Industries 21,400 $ 230
Nitto Denko 15,000 1,162
Nomura Holdings 19,900 393
NSK 13,000 111
NTN 54,300 434
NTT Data 72 308
NTT DoCoMo 153 250
Obayashi 98,000 698
Odakyu Electric Railway 35,000 211
OJI Paper 20,000 113
Oki Electric Industry (B) 202,000 507
ORIX* 15,380 4,462
Osaka Gas 40,000 140
Promise 5,400 325
Rengo 48,000 386
Ricoh 48,000 944
Rinnai 8,900 266
Rohm 3,100 284
Sankyo 5,000 331
Santen Pharmaceutical 5,900 148
Sanwa Shutter 43,000 275
Sanyo Shinpan Finance 3,360 186
Sega Sammy Holdings 17,100 686
Shimamura 2,900 351
Shimizu 23,000 133
Shin-Etsu Chemical 12,600 712
Shinko Securities* 42,000 201
Shinsei Bank 20,000 134
Shiseido 4,000 72
Showa Shell Sekiyu 4,000 48
SMC 5,800 814
Softbank (B) 70,100 1,720
Sompo Japan Insurance* 57,000 731
Sony 5,800 263
Sumitomo 128,000 1,680
Sumitomo Bakelite 26,000 246
Sumitomo Chemical 19,000 164
Sumitomo Electric Industries 51,200 739
Sumitomo Forestry 5,000 52
Sumitomo Heavy Industries* 168,000 1,593
Sumitomo Metal Industries 398,000 1,791
Sumitomo Metal Mining* 17,000 224
Sumitomo Mitsui Financial Group* 555 5,695
Sumitomo Osaka Cement* 72,000 240
Sumitomo Realty & Development 21,000 512
Sumitomo Trust & Banking 99,000 956
Suzuken 9,500 394
Suzuki Motor 45,400 1,061
T&D Holdings* 3,550 249
Taisei 14,000 54
Taisho Pharmaceutical* 12,000 222
Taiyo Nippon Sanso 31,000 252
Takeda Pharmaceutical 59,400 3,863
Takefuji 2,790 175
- --------------------------------------------------------------------------------
166 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Tanabe Seiyaku 11,000 $ 135
TDK 11,300 922
Teijin 49,000 350
TIS 8,400 223
Tokyo Electric Power 51,500 1,420
Tokyo Electron 26,100 1,862
Tokyo Gas 170,000 853
Tokyo Steel Manufacturing 23,100 511
Tokyo Style* 24,000 302
Tokyu 64,000 422
Toppan Printing 18,000 227
Toray Industries 34,000 303
Toshiba 52,000 352
Toyo Suisan Kaisha* 5,000 83
Toyobo* 79,000 227
Toyota Industries 5,600 228
Toyota Motor 106,100 5,700
Trend Micro 12,500 435
Uniden 39,000 465
Ushio* 7,600 163
USS 1,120 78
West Japan Railway 100 426
Yahoo! Japan 1,020 543
Yamada Denki* 27,450 2,860
Yamaha 22,300 460
Yamaha Motor 9,300 251
Yamato Transport 41,000 697
Yaskawa Electric 3,000 32
--------
145,489
--------
LUXEMBOURG -- 0.2%
Arcelor (B) 36,782 1,575
SES Global FDR 38,100 531
SES Global FDR (Paris Exchange) 9,263 130
--------
2,236
--------
MALAYSIA -- 0.6%
IOI 393,000 1,624
Resorts World 434,900 1,461
Sime Darby 610,900 1,001
Tenaga Nasional 480,000 1,203
--------
5,289
--------
MEXICO -- 1.0%
Alfa 306,580 1,410
America Movil ADR, Ser L 83,520 2,728
Consorcio ARA 307,100 1,277
Fomento Economico Mexicano
ADR (B) 26,310 2,257
Grupo Financiero Banorte 680,300 1,631
--------
9,303
--------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
NETHERLANDS -- 3.1%
ABN AMRO Holding 41,520 $ 1,150
Aegon 116,697 1,951
Akzo Nobel 47,330 2,566
DSM 15,747 670
European Aeronautic Defense
and Space 68,610 2,452
Heineken 16,674 668
Heineken Holding 8,098 283
ING Groep (B) 186,409 7,320
James Hardie Industries 13,421 86
Koninklijke Philips Electronics 19,600 620
OCE* 8,857 140
Randstad Holdings 4,082 252
Reed Elsevier 27,557 402
Royal Dutch Shell, Cl A (GBP) 31,482 1,041
Royal Dutch Shell, Cl A 68,093 2,262
Royal Dutch Shell, Cl B (GBP) 89,150 3,077
Royal KPN 150,453 1,732
Royal Numico 6,568 292
Unilever (B)* 33,237 755
Wereldhave + 405 39
--------
27,758
--------
NEW ZEALAND -- 0.0%
Fletcher Building 53,734 312
Sky City Entertainment Group 12,140 41
--------
353
--------
NORWAY -- 0.8%
DNB (B) 54,800 706
Norsk Hydro 108,050 3,049
Norske Skogindustrier 10,442 152
Orkla 3,350 166
Statoil (B) 97,950 2,881
Storebrand 4,200 45
Yara International 9,100 125
--------
7,124
--------
PHILIPPINES -- 0.1%
Philippine Long Distance
Telephone 3,900 147
SM Investments 89,500 382
--------
529
--------
PORTUGAL -- 0.2%
Banco Comercial Portugues 182,280 529
Banco Espirito Santo 12,243 174
Energias de Portugal 350,389 1,296
--------
1,999
--------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 167
SCHEDULE OF INVESTMENTS
World Equity Ex-US Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
RUSSIA -- 1.0%
Cherkizovo Group GDR* 20,834 $ 316
LUKOIL ADR 18,640 1,451
MMC Norilsk Nickel ADR 11,150 1,346
Mobile Telesystems ADR 28,000 840
Novolipetsk Steel GDR 61,320 1,411
Polyus Gold ADR* 15,450 780
Sberbank GDR* 11,020 1,785
Surgutneftegaz ADR (B) 20,230 1,386
--------
9,315
--------
SINGAPORE -- 0.6%
CapitaLand* 79,900 208
City Developments 45,000 269
DBS Group Holdings 38,700 427
Flextronics International* 38,300 431
K-REIT Asia +* 800 1
Keppel 6,000 51
Keppel Land 99,000 254
Neptune Orient Lines 268,600 327
Oversea-Chinese Banking 65,200 261
Singapore Airlines* 63,700 503
Singapore Exchange* 87,700 216
Singapore Petroleum 18,000 56
Singapore Telecommunications* 955,000 1,537
United Overseas Bank 55,000 522
--------
5,063
--------
SOUTH AFRICA -- 1.0%
Barloworld 77,329 1,320
Sanlam 881,124 2,016
Sappi 125,814 1,571
Sasol 87,137 3,319
Standard Bank Group 16,100 188
Telkom 5,930 127
Tiger Brands 6,816 156
--------
8,697
--------
SOUTH KOREA -- 2.5%
Daewoo Shipbuilding & Marine
Engineering 59,850 1,634
Hankook Tire 78,920 1,064
Honam Petrochemical 6,000 310
Hyundai Development 22,180 1,117
Hyundai Mobis 2,150 169
Hyundai Motor 43,060 3,327
Industrial Bank of Korea 10,680 185
Kookmin Bank 3,300 267
Kookmin Bank ADR 20,030 1,612
POSCO 1,900 494
Samsung Electronics 7,175 4,617
Samsung Electronics GDR 3,854 1,218
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Samsung Fire & Marine Insurance 9,092 $ 1,273
Shinhan Financial Group 99,320 4,549
Shinsegae 2,670 1,227
--------
23,063
--------
SPAIN -- 2.1%
ACS Actividades Construcciones
y Servicios 88,669 3,545
Altadis 12,400 589
Banco Bilbao Vizcaya Argentaria 102,927 2,140
Banco Santander Central Hispano 176,703 2,556
Endesa 125,614 4,220
Fomento de Construcciones
y Contratas 1,687 130
Iberdrola (B) 41,423 1,332
Inditex 6,832 272
Repsol (B) 126,466 3,541
Telefonica 39,413 647
--------
18,972
--------
SWEDEN -- 1.1%
Alfa Laval 8,000 244
Atlas Copco, Cl A 125,400 3,407
Axfood 1,300 36
D Carnegie 5,300 107
Holmen, Cl B 14,800 604
Kungsleden* 33,331 354
Sandvik* 7,900 463
SAS* 16,400 179
Scania, Cl B 3,500 152
Skandinaviska Enskilda Banken 18,800 449
SKF, Cl B 25,600 406
Ssab Svenskt Stal, Cl A 8,300 474
Svenska Cellulosa, Cl B 7,900 330
Svenska Handelsbanken, Cl A 9,100 244
Swedish Match 28,300 447
Telefonaktiebolaget
LM Ericsson, Cl B 218,700 701
TeliaSonera 91,700 558
Trelleborg, Cl B 2,800 57
Volvo, Cl A 700 34
Volvo, Cl B 12,200 599
--------
9,845
--------
SWITZERLAND -- 3.3%
ABB 23,290 295
Adecco (B) 5,186 333
Ciba Specialty Chemicals 417 24
Clariant 6,199 94
Compagnie Financiere Richemont,
Cl A* 31,508 1,475
Credit Suisse Group 72,457 4,203
Givaudan* 300 244
Holcim (B) 16,718 1,316
- --------------------------------------------------------------------------------
168 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Nestle 8,277 $ 2,478
Novartis (B) 128,666 7,156
Phonak Holding 1,942 112
Rieter Holding 476 187
Roche Holding 34,876 5,449
Swatch Group (B) 1,951 66
Swiss Reinsurance (B) 20,705 1,461
Swisscom (B) 1,126 364
UBS 18,277 2,077
Valora Holding* 134 28
Xstrata 49,732 1,983
Zurich Financial Services 4,717 1,070
--------
30,415
--------
TAIWAN -- 1.4%
Acer 575,000 938
Advanced Semiconductor
Engineering 1,837,873 1,877
Chinatrust Financial Holding 2,024,000 1,625
Compal Electronics 1,305,310 1,330
Eva Airways 2,384,898 997
HON HAI Precision Industry 307,513 1,971
HON HAI Precision Industry GDR 15,912 205
Quanta Computer 301,000 451
Taiwan Semiconductor
Manufacturing 80,000 150
Taiwan Semiconductor
Manufacturing ADR 236,032 2,235
United Microelectronics 2,245,019 1,404
--------
13,183
--------
THAILAND -- 0.7%
Advanced Info Service 416,900 1,010
High Tech Computer 72,860 2,165
Land and Houses NVDR 4,248,200 751
PTT 177,900 1,127
Siam Cement 166,100 1,062
--------
6,115
--------
TURKEY -- 0.4%
Ford Otomotiv Sanayi 10,320 83
Haci Omer Sabanci Holding 404,423 1,261
Turkcell Iletisim Hizmet 182,639 836
Turkiye Is Bankasi 173,533 1,016
--------
3,196
--------
UNITED KINGDOM -- 11.5%
3i Group 18,665 310
Alliance Unichem 7,540 131
Amvescap* 50,400 489
Anglo American 91,465 3,678
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ARM Holdings 59,841 $ 131
AstraZeneca 77,910 4,121
AstraZeneca (SEK) 16,450 872
Aviva 147,538 2,048
BAE Systems 336,500 2,407
Balfour Beatty 8,003 50
Barclays 265,073 3,068
Barratt Developments 37,332 643
Bellway 13,995 295
Berkeley Group Holdings 26,021 541
BG Group 18,700 249
BHP Billiton 330,300 6,456
Bovis Homes Group 3,337 51
BP 552,174 6,513
Brambles Industries 28,135 228
British Airways* 104,189 665
British American Tobacco 122,709 3,070
British Land 26,875 638
British Sky Broadcasting 27,876 277
BT Group 36,357 160
Cadbury Schweppes 31,825 305
Capita Group 6,314 54
Carnival 9,520 387
Centrica 45,100 235
Cookson Group 4,176 39
Corus Group 91,740 672
Daily Mail & General Trust 2,769 34
Diageo 24,491 402
Emap 7,342 120
Enterprise Inns 13,374 234
First Choice Holidays 7,255 29
Firstgroup 4,992 37
FKI 153,100 308
Friends Provident 193,400 642
Gallaher Group 2,426 37
GKN 60,078 306
GlaxoSmithKline 256,309 7,093
Great Portland Estates 29,900 262
GUS 13,100 227
Hammerson 16,044 341
Hanson 26,050 319
Hays 38,011 114
HBOS 254,424 4,354
HSBC Holdings 268,438 4,665
Imperial Chemical Industries 44,614 299
Imperial Tobacco Group 7,616 233
Inchcape 40,752 336
Intercontinental Hotels
Group (B) 37,586 641
International Power 87,100 472
J Sainsbury 235,666 1,409
Johnson Matthey 10,600 268
Kingfisher 46,700 198
Ladbrokes 32,300 240
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 169
SCHEDULE OF INVESTMENTS
World Equity Ex-US Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Land Securities Group 12,649 $ 431
Legal & General Group 193,846 465
Lloyds TSB Group 256,969 2,416
London Stock Exchange Group 10,453 216
Man Group 5,900 258
Marks & Spencer Group 22,200 226
Mitchells & Butlers 114,500 1,070
National Grid 80,428 914
Next 1,831 56
Pearson 17,893 242
Persimmon 64,175 1,443
Prudential 2,646 29
Punch Taverns 44,096 708
Reckitt Benckiser 6,930 255
Reed Elsevier 67,705 660
Resolution 19,200 246
Rio Tinto 72,901 4,048
Rolls-Royce Group 78,800 609
Royal & Sun Alliance Insurance
Group 547,501 1,317
Royal Bank of Scotland Group 201,892 6,518
SABMiller 77,940 1,458
Schroders 11,100 213
Scottish & Newcastle 24,728 229
Scottish & Southern Energy 22,040 466
Scottish Power 253,115 2,649
Smith & Nephew 25,500 208
Smiths Group 5,951 99
Sportingbet 244,500 1,927
Stagecoach Group 17,451 33
Standard Chartered 32,707 803
Tate & Lyle 8,100 87
Taylor Woodrow 37,622 237
Tomkins 49,140 259
Trinity Mirror 8,011 76
Unilever* 37,034 829
United Business Media 9,703 119
United Utilities 13,668 169
Vodafone Group 3,539,144 8,153
Whitbread 34,257 672
Wimpey George 101,943 883
WPP Group 9,222 114
Yell Group 23,600 222
--------
104,435
--------
Total Common Stock
(Cost $596,137) ($ Thousands) 680,733
--------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 13.3%
MORTGAGE RELATED SECURITIES -- 13.3%
ACE Securities, Ser 2003-NC1,
Cl M (D)
5.861%, 06/25/06 $ 650 $ 653
ACE Securities, Ser 2003-OP1,
Cl M1 (D)
5.781%, 06/25/06 300 302
Aegis Asset-Backed Securities
Trust, Ser 2003-3, Cl M1 (D)
5.781%, 06/25/06 250 250
Aegis Asset-Backed Securities
Trust, Ser 2004-5, Cl 1A1 (D)
5.271%, 06/26/06 93 93
American Home Mortgage Investment
Trust, Ser 2005-1, Cl 6A (D) (J)
5.294%, 06/25/06 6,099 6,020
American Home Mortgage Investment
Trust, Ser 2005-4, Cl 5A (D) (J)
5.350%, 06/25/06 2,139 2,112
Ameriquest Mortgage Securities,
Ser 2003-2, Cl M1 (D)
5.981%, 06/25/06 475 477
Argent Securities, Ser 2003-W5,
Cl M1 (D)
5.781%, 06/25/06 250 253
Argent Securities, Ser 2003-W9,
Cl M1 (D)
5.771%, 06/26/06 430 433
Asset-Backed Funding Certificates,
Ser 2005-AQ1, Cl A1B (G)
4.250%, 06/25/35 1,290 1,283
Asset-Backed Securities Home
Equity, Ser 2003-HE7, Cl M2 (D)
6.831%, 06/15/06 205 209
Asset-Backed Securities
Home Equity Loan Trust,
Ser 2003-HE5, Cl M1 (D)
5.831%, 06/15/06 456 460
Banc of America Funding,
Ser 2006-A, Cl 2A2 (D)
5.485%, 06/01/06 254 253
Basic Asset-Backed Securities
Trust, Ser 2006-1, Cl A1 (D)
5.161%, 06/25/06 3,928 3,928
Bear Stearns NIM Trust,
Ser 2005-AQ2N, Cl A1 (F)
5.500%, 09/25/35 53 52
Centex Home Equity, Ser 2004-D,
Cl AV4 (D)
5.381%, 06/25/06 3,139 3,141
Chase Funding Mortgage Loan,
Ser 2003-1, Cl 1A4
4.119%, 02/25/29 1,058 1,051
- --------------------------------------------------------------------------------
170 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Chase Funding Mortgage Loan,
Ser 2004-2, Cl 1A3
4.209%, 09/25/26 $ 1,600 $ 1,588
Cheyne High Grade, Ser 2004-1A,
Cl AM1 (C) (D) (F)
5.180%, 11/10/06 627 627
Commodore, Ser 2003-2A,
Cl A1MM (C) (D) (F)
4.970%, 12/12/38 576 576
Countrywide Alternative Loan
Trust, Ser 2005-69, Cl M3 (D)
6.231%, 06/27/06 220 223
Countrywide Alternative Loan
Trust, Ser 2005-IM1, Cl M3 (D)
7.081%, 06/27/06 380 366
Countrywide Asset-Backed
Certificates, Ser 2003-5,
Cl MV2 (D)
6.681%, 01/25/34 200 203
Countrywide Asset-Backed
Certificates, Ser 2004-11,
Cl A2 (D)
5.461%, 06/25/06 989 991
Countrywide Asset-Backed
Certificates, Ser 2005-15,
Cl 1AF1 (D)
5.221%, 06/25/06 1,378 1,379
Countrywide Asset-Backed
Certificates, Ser 2006-IM1,
Cl A1 (D)
5.171%, 06/27/06 2,684 2,685
Countrywide Home Equity Loan
Trust, Ser 2006-D, Cl 2A (D)
5.261%, 06/30/06 3,543 3,546
Countrywide Home Loans,
Ser 2004-22, Cl A1 (D)
5.104%, 06/01/06 777 763
Countrywide Home Loans,
Ser 2006-HYB2, Cl 1A1 (D)
5.152%, 06/20/06 2,665 2,641
Credit Suisse Asset-Backed,
Ser 2006, Cl A1B
5.310%, 06/30/36 1,400 1,400
DSLA Mortgage Loan Trust,
Ser 2004-AR4, Cl B1 (D)
5.680%, 06/19/06 335 336
DSLA Mortgage Loan Trust,
Ser 2006-AR1, Cl M4 (D)
5.820%, 06/19/06 250 251
DSLA Mortgage Loan Trust,
Ser 2006-AR1, Cl M5 (D)
5.890%, 06/19/06 150 151
DSLA Mortgage Loan Trust,
Ser 2006-AR1, Cl M7 (D)
6.830%, 06/19/06 150 149
Duke Funding, Ser 2004-6B,
Cl A1S1 (C) (D) (F)
5.093%, 04/08/39 940 940
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
First Franklin Mortgage Loan
Asset, Ser 2004-FF10, Cl A2 (D)
5.481%, 06/26/06 $ 696 $ 698
First Franklin Mortgage Loan
Asset, Ser 2005-FF4, Cl 2A3 (D)
5.301%, 06/25/06 2,000 2,002
First Franklin Mortgage Loan
Asset, Ser 2005-FFA, Cl A2A (D)
5.191%, 06/25/06 268 268
First Franklin Mortgage Loan
Asset, Ser 2005-FFH3,
Cl 2A1 (D)
5.211%, 06/26/06 3,369 3,370
GMAC Mortgage Loan Trust,
Ser 2006-HE1, Cl A (D) (J)
5.291%, 06/30/06 5,400 5,400
GSAA Home Equity NIM Trust,
Ser 2006-2, Cl 2A1 (D) (J)
5.181%, 06/27/06 4,699 4,699
GSAA Home Equity NIM Trust,
Ser 2006-3N, Cl N1 (F)
5.750%, 03/25/36 133 132
Greenpoint Mortgage Funding
Trust, Ser 2006-AR1, Cl M3 (D)
5.651%, 06/27/06 350 352
HSI Asset Securitization Trust,
Ser 2005-NC2, Cl M2A1 (D)
5.211%, 06/25/06 1,217 1,217
Home Equity Asset NIM Trust,
Ser 2003-4, Cl M2 (D)
6.981%, 06/25/06 350 352
Home Equity Asset NIM Trust,
Ser 2006-1N, Cl A (F)
6.500%, 05/27/36 199 199
IMPAC NIM Trust, Ser 2006-1,
Cl N (F)
6.000%, 03/25/36 177 177
Indymac Mortgage Loan Trust,
Ser 2004-AR6, Cl 1A (D)
5.469%, 06/01/06 364 368
Irwin Home Equity, Ser 2005-1,
Cl 2A1 (D)
5.221%, 06/25/06 1,695 1,695
Lehman XS Trust, Ser 2005-5N,
Cl M4 (D)
6.831%, 06/30/06 575 557
Lehman XS Trust, Ser 2005-7N,
Cl M71 (D)
6.831%, 06/27/06 335 322
Master Asset-Backed Securities
Trust, Ser 2002-OPT1, Cl M1 (D)
6.231%, 06/27/06 400 401
Master Asset-Backed Securities
Trust, Ser 2006-AB1, Cl A1 (D)
5.221%, 06/27/06 4,785 4,785
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 171
SCHEDULE OF INVESTMENTS
World Equity Ex-US Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors,
Ser 2005-HE2, Cl A2A (D)
5.191%, 06/27/06 $ 678 $ 678
Merrill Lynch Mortgage Trust,
Ser 2006-1, Cl 1A1 (D)
5.352%, 02/25/36 2,490 2,476
Morgan Stanley, Ser 2003-NC10,
Cl M1 (D)
5.761%, 06/27/06 621 624
New Century Home Equity Loan
Trust, Ser 2004-A, Cl AII3 (D)
4.450%, 06/01/06 1,600 1,584
New Century Home Equity Loan
Trust, Ser 2005-A, Cl A1F (G)
4.359%, 06/25/06 733 729
New Century Home Equity Loan
Trust, Ser 2005-A, Cl A2 (G)
4.461%, 06/25/06 3,000 2,955
New Century Home Equity Loan
Trust, Ser 2005-B, Cl A2A (D)
5.201%, 06/25/06 2,944 2,945
Newcastle CDO Limited,
Ser 2005-6A, Cl IM1 (C) (D) (F)
5.142%, 04/24/07 251 250
Nomura Asset Acceptance,
Ser 2004-R1, Cl A1 (F)
6.500%, 03/25/34 471 476
Nomura Asset Acceptance,
Ser 2004-R2, Cl A1 (D) (F)
6.500%, 10/25/34 549 546
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M10 (D) (F)
7.581%, 06/27/06 70 60
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M11 (D) (F)
7.581%, 06/27/06 150 133
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AM6 (C) (D) (F)
5.111%, 02/25/35 766 766
RMAC, Ser 2004-NS3A, Cl A1
(C) (D) (F)
5.080%, 03/12/25 224 224
Renaissance Home Equity Loan
Trust, Ser 2004-2, Cl AF3 (G)
4.464%, 07/25/34 2,000 1,981
Residential Accredit Loans,
Ser 2005-QA3, Cl NB2 (D)
5.267%, 06/25/06 2,187 2,158
Residential Accredit Loans,
Ser 2005-Q05, Cl M3 (D)
5.881%, 06/25/06 350 354
Residential Accredit Loans,
Ser 2006-Q01, Cl 2A3 (D)
5.481%, 06/27/06 498 499
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Residential Asset Mortgage
Products, Ser 2003-RS11,
Cl MII1 (D)
5.811%, 06/25/06 $ 200 $ 202
Residential Asset Mortgage
Products, Ser 2006-RZ1,
Cl A1 (D) (J)
5.161%, 06/27/06 5,590 5,592
Residential Asset Securities,
Ser 2006-EMX2, Cl A1 (D)
5.161%, 06/27/06 2,398 2,398
Residential Asset Securities,
Ser 2006-KS2, Cl A1 (D)
5.029%, 06/27/06 4,680 4,680
Residential Asset Securitization
Trust, Ser 2004-IP2, Cl 3A1 (D)
5.294%, 06/25/06 2,068 2,044
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2A (D) (F)
5.181%, 06/25/06 2,289 2,289
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2B (D) (F)
5.231%, 06/25/06 1,500 1,500
Saturn Ventures II (C) (D) (F)
5.129%, 08/07/06 1,169 1,169
Securitized Asset-Backed
Receivables Trust, Ser 2005-OP1,
Cl A2B (D)
5.261%, 06/25/06 1,232 1,233
Sharps SP I LLC NIM Trust,
Ser 2005-HE3N, Cl N (F)
5.000%, 05/25/35 401 400
Structured Adjustable Rate
Mortgage Loan, Ser 2005-16 XS,
Cl M2 (D)
5.981%, 06/25/06 205 207
Structured Asset Investment Loan
Trust, Ser 2005-1, Cl A4 (D) (F)
5.311%, 06/25/06 1,370 1,371
Structured Asset Investment Loan
Trust, Ser 2005-8, Cl A2 (D)
5.211%, 06/25/06 922 922
Structured Asset Securities,
Ser 2005-NC1, Cl A2 (G)
3.920%, 06/27/06 488 484
Structured Asset Securities,
Ser 2005-S1, Cl B3 (D) (F)
7.581%, 06/27/06 300 289
TIAA Real Estate, Ser 2003-1A,
Cl A1 (C) (D) (F)
5.030%, 12/28/18 809 809
Terwin Mortgage Trust,
Ser 2006-5, Cl 1A2A (D) (F)
5.088%, 06/26/06 5,400 5,400
Terwin Mortgage Trust,
Ser 2006-6, Cl 2A
4.500%, 06/25/36 1,000 990
- --------------------------------------------------------------------------------
172 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wells Fargo Home Equity Trust,
Ser 2004-2, Cl A12 (D)
3.450%, 06/25/19 $ 1,450 $ 1,440
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMD
(C) (D) (F)
4.930%, 06/15/06 313 313
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMME
(C) (D) (F)
4.930%, 09/15/06 188 188
Witherspoon CDO Funding
(C) (D) (F)
5.091%, 09/15/06 877 877
--------
Total Asset-Backed Securities
(Cost $121,096) ($ Thousands) 121,014
--------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
OBLIGATIONS -- 8.0%
FHLMC
5.571%, 10/01/35 (I) 884 883
FNMA
5.523%, 01/01/36 (I) 849 849
FNMA TBA
5.500%, 06/12/31 9,000 8,660
5.500%, 06/01/21 12,200 12,013
5.500%, 06/01/33 26,500 25,515
5.000%, 06/17/19 19,500 18,830
GNMA
5.250%, 08/20/34 (I) 303 302
4.500%, 06/20/34 858 853
4.500%, 08/20/34 818 813
4.000%, 02/20/35 497 484
3.750%, 12/20/33 (J) 2,708 2,643
GNMA TBA
4.500%, 06/22/36 600 552
--------
Total U.S. Government Agency Mortgage-Backed
Obligations
(Cost $72,660) ($ Thousands) 72,397
--------
CORPORATE OBLIGATIONS -- 4.7%
CONSUMER DISCRETIONARY -- 0.1%
Gannett
5.750%, 06/01/11 675 669
--------
FINANCIALS -- 4.6%
Allstate Life Global Funding II
MTN (C) (D) (F)
5.101%, 06/15/07 576 576
American General Finance
(C) (D) (F)
5.111%, 06/15/07 1,817 1,817
American General Finance MTN,
Ser F (C)
5.875%, 07/14/06 125 128
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Bear Stearns EXL (C) (D)
5.091%, 06/15/07 $ 2,230 $ 2,230
Caterpillar Financial Services
MTN, Ser F (C) (D)
5.148%, 07/10/06 627 627
Countrywide Financial Services
MTN, Ser A (C) (D)
5.210%, 11/03/06 1,316 1,316
4.960%, 09/13/06 2,318 2,318
Dekabank (C) (D) (F)
5.108%, 05/18/07 2,318 2,318
Glitnir Bank (C) (D) (F)
5.180%, 04/06/07 1,880 1,880
Irish Life & Permanent MTN,
Ser X (C) (D) (F)
5.109%, 06/21/07 1,667 1,667
Islandsbanki (C) (D) (F)
5.131%, 03/22/07 1,065 1,065
Jackson National Life Funding
(C) (D) (F)
5.080%, 05/02/07 2,757 2,757
Kaupthing Bank MTN (C) (D) (F)
5.141%, 03/20/07 3,133 3,133
Landsbanki Islands (C) (D) (F)
5.161%, 03/16/07 2,381 2,381
Morgan Stanley EXL (C) (D)
5.190%, 07/03/07 439 439
Morgan Stanley EXL,
Ser S (C) (D)
5.150%, 07/03/07 627 627
Natexis Banques (C) (D) (F)
5.060%, 06/15/07 1,222 1,222
Nationwide Building Society
(C) (D) (F)
5.160%, 04/05/07 1,253 1,253
5.020%, 04/27/07 689 689
Nordbank (C) (D) (F)
5.080%, 06/22/07 2,130 2,130
Northern Rock (C) (D) (F)
5.170%, 05/03/07 1,291 1,291
Pacific Life Global Funding
(C) (D) (F)
5.101%, 06/13/07 940 940
Premium Asset Trust,
Ser 2004-06
(C) (D) (F)
5.190%, 06/30/06 1,190 1,191
Premium Asset Trust,
Ser 2004-10
(C) (D) (F)
5.120%, 05/14/07 1,754 1,754
Residential Capital
6.875%, 06/30/15 80 80
6.500%, 04/17/13 1,095 1,070
6.000%, 02/22/11 220 212
SLM EXL, Ser S (C) (D) (F)
5.081%, 06/15/07 1,378 1,378
Shinsei Finance Cayman (D) (F)
6.418%, 01/29/49 545 523
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 173
SCHEDULE OF INVESTMENTS
World Equity Ex-US Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Sigma Finance MTN (C) (F)
4.745%, 11/09/06 $ 677 $ 677
Skandinav Enskilda Bank
(C) (D) (F)
5.077%, 05/18/07 1,378 1,378
Washington Mutual Preferred
Funding (D) (F)
6.534%, 03/15/49 600 577
--------
41,644
--------
INDUSTRIALS -- 0.0%
Ryland Group
6.875%, 06/15/13 350 349
--------
Total Corporate Obligations
(Cost $42,740) ($ Thousands) 42,662
--------
COMMERCIAL PAPER (C) (E) -- 2.4%
Brahms Funding
5.051%, 06/01/06 1,253 1,248
Broadhollow Funding
5.081%, 06/09/06 313 312
5.079%, 06/26/06 752 749
5.073%, 06/19/06 1,065 1,060
5.062%, 06/05/06 627 624
Buckingham CDO
5.092%, 06/23/06 627 624
5.087%, 06/08/06 1,253 1,249
Elysian Funding LLC
5.170%, 07/10/06 1,253 1,242
5.134%, 06/30/06 627 621
5.123%, 06/05/06 627 624
Hardwood Street Funding II
5.074%, 06/13/06 110 110
KKR Pacific Funding Trust
5.082%, 06/22/06 1,253 1,248
5.082%, 06/23/06 627 624
5.081%, 06/07/06 1,253 1,248
Main Street Warehouse Funding
5.090%, 06/16/06 752 749
5.079%, 06/05/06 627 624
5.078%, 06/02/06 113 113
Ocala Funding LLC
5.112%, 06/30/06 188 187
5.092%, 06/09/06 1,983 1,974
Park Granada LLC
5.045%, 06/29/06 627 621
Rams Funding
5.094%, 06/14/06 1,460 1,453
5.091%, 06/21/06 1,253 1,248
Rhineland Funding Capital
5.026%, 06/26/06 1,253 1,239
Thornburg Mortgage Capital Resource
5.092%, 06/19/06 877 873
5.092%, 06/23/06 406 404
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Transamerica Securities
5.100%, 06/28/06 $ 505 $ 502
--------
Total Commercial Paper
(Cost $21,570) ($ Thousands) 21,570
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.1%
FHLMC CMO STRIPS, Ser 232,
Cl IO, IO
5.000%, 08/01/35 3,770 1,010
FHLMC CMO STRIPS, Ser 233,
Cl 12, IO
5.000%, 09/15/35 1,614 406
FHLMC DN (H)
5.098%, 10/23/06 175 171
5.050%, 11/14/06 100 98
4.740%, 06/12/06 100 100
FNMA CMO STRIPS, Ser 2006-10,
Cl FD (D)
5.431%, 06/25/06 2,504 2,505
FNMA CMO STRIPS, Ser 359,
Cl 6, IO
5.000%, 11/01/35 639 166
FNMA CMO STRIPS, Ser 360,
Cl 2, IO
5.000%, 08/01/35 1,226 328
FNMA DN (H)
4.650%, 06/12/06 250 250
1.680%, 11/08/06 5,320 5,201
--------
Total U.S. Government Agency Obligations
(Cost $10,102) ($ Thousands) 10,235
--------
TIME DEPOSITS -- 1.1%
Brown Brothers Harriman
6.600%, 06/01/06 ZAR 169 25
4.650%, 06/01/06 AUD 26 19
4.360%, 06/01/06 6,259 6,259
3.681%, 06/01/06 GBP 44 82
3.550%, 06/01/06 HKD 42 6
3.250%, 06/01/06 CAD 69 62
2.060%, 06/01/06 SGD 665 422
1.692%, 06/01/06 EUR 404 519
1.600%, 06/01/06 DKK 21 4
1.050%, 06/01/06 SEK 181 25
0.000%, 06/01/06 CHF 64 53
Societe Generale (C) (D)
5.080%, 06/01/06 2,506 2,506
--------
Total Time Deposits
(Cost $9,982) ($ Thousands) 9,982
--------
- --------------------------------------------------------------------------------
174 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
PREFERRED STOCK -- 0.8%
AUSTRALIA -- 0.0%
News 2,988 $ 56
--------
BRAZIL -- 0.6%
Braskem, Cl A 152,500 920
Cia Energetica de Minas
Gerais 45,390,000 1,741
Petroleo Brasileiro 34,600 664
Tam 88,060 2,008
Usinas Siderurgicas de Minas
Gerais, Cl A 9,600 312
--------
5,645
--------
GERMANY -- 0.1%
Fresenius Medical Care 6,000 618
Porsche 285 277
ProSiebenSat.1 Media* 8,900 231
Volkswagen 1,485 75
--------
1,201
--------
UNITED KINGDOM -- 0.1%
Scottish Power, Cl B* 106,308 719
--------
Total Preferred Stock
(Cost $6,314) ($ Thousands) 7,621
--------
U.S. TREASURY OBLIGATIONS (E) -- 0.7%
U.S. Treasury Bills
4.706%, 07/20/06 $ 400 398
4.705%, 08/24/06 (A) 1,905 1,885
4.650%, 06/22/06 (A) 250 249
4.649%, 07/27/06 450 447
U.S. Treasury Inflationary Index
Notes (J)
3.875%, 04/15/29 2,528 3,157
--------
Total U.S. Treasury Obligations
(Cost $6,148) ($ Thousands) 6,136
--------
MASTER NOTE (C) -- 0.3%
Bank of America
5.133%, 06/01/06 3,133 3,133
--------
Total Master Note
(Cost $3,133) ($ Thousands) 3,133
--------
EQUITY-LINKED WARRANTS -- 0.3%
HON HAI Precision Industry 378,500 2,434
--------
Total Equity-Linked Warrants
(Cost $2,140) ($ Thousands) 2,434
--------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares/Contracts ($ Thousands)
- --------------------------------------------------------------------------------
CERTIFICATE OF DEPOSIT (C) -- 0.1%
U.S. Trust of New York
5.121%, 03/13/07 $ 501 $ 501
--------
Total Certificate of Deposit
(Cost $501) ($ Thousands) 501
--------
EXCHANGE TRADED FUNDS -- 0.0%
iShares MSCI EAFE Index Fund 5,100 334
iUnits S&P/TSX 60 Index Fund 1,300 78
--------
Total Exchange Traded Funds
(Cost $386) ($ Thousands) 412
--------
CASH EQUIVALENT -- 0.0%
SEI Daily Income Trust, Prime
Obligations Fund,
Cl A, 4.870%**++ 147,845 148
--------
Total Cash Equivalent
(Cost $148) ($ Thousands) 148
--------
PURCHASED OPTION -- 0.0%
120 Day Euro Futures Call,
Expires 12/16/06,
Strike Price $95* 100 26
--------
Total Purchased Option
(Cost $78) ($ Thousands) 26
--------
Number of
Rights
---------
RIGHTS -- 0.0%
Arkema, Expires 06/29/06* 1 --
--------
Total Rights
(Cost $--) ($ Thousands) --
--------
REPURCHASE AGREEMENTS (C)(K) -- 1.7%
Barclays Capital
5.010%, dated 05/31/06, to be
repurchased on 06/01/06,
repurchase price $3,358,184
(collateralized by U.S. Government
Obligations, ranging in par value
$69,560-$2,506,208, 0.000%-
4.300%, 04/09/07-05/12/08;
with total market value
$3,424,920) 3,358 3,358
Deutsche Bank
5.020%, dated 05/31/06, to be
repurchased on 06/01/06,
repurchase price $4,142,073
(collateralized by U.S. Government
Obligations, ranging in par value
$23,070-$1,258,242, 0.000%-
5.600%, 08/29/06-10/29/18;
with total market value
$4,224,348) 4,141 4,141
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 175
SCHEDULE OF INVESTMENTS
World Equity Ex-US Fund (Concluded)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Contracts ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers
5.020%, dated 05/31/06, to be
repurchased on 06/01/06,
repurchase price $7,569,101
(collateralized by U.S. Government
Obligations, ranging in par value
$877,047-$7,518,623, 8.125%-
9.375%, 10/15/19-01/15/30;
with total market value
$7,719,418) $ 7,568 $ 7,568
--------
Total Repurchase Agreements
(Cost $15,067) ($ Thousands) 15,067
--------
Total Investments -- 109.4%
(Cost $908,202) ($ Thousands) 994,071
--------
WRITTEN OPTION -- 0.0%
120 Day Euro Futures Call,
Expires 12/15/06,
Strike Price $95* (100) (20)
---------
Total Written Option
(Premium Received $(70)) ($ Thousands) (20)
---------
A summary of the open futures contracts held by the Fund at May 31, 2006, is as
follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
APPRECIATION
TYPE OF NUMBER OF EXPIRATION (DEPRECIATION)
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
90-Day Euro$ (41) Mar-2010 $ 25
90-Day Euro$ (32) Mar-2011 15
90-Day Euro$ (46) Mar-2007 23
90-Day Euro$ (46) Mar-2008 25
90-Day Euro$ (41) Mar-2009 24
90-Day Euro$ (43) Jun-2010 27
90-Day Euro$ (46) Jun-2006 16
90-Day Euro$ (46) Jun-2007 24
90-Day Euro$ (41) Jun-2008 24
90-Day Euro$ (41) Jun-2009 24
90-Day Euro$ (43) Sep-2010 28
90-Day Euro$ (46) Sep-2006 21
90-Day Euro$ (46) Sep-2007 25
90-Day Euro$ (41) Sep-2008 24
90-Day Euro$ (41) Sep-2009 24
90-Day Euro$ (43) Dec-2010 30
90-Day Euro$ (46) Dec-2006 23
90-Day Euro$ (46) Dec-2007 25
90-Day Euro$ (41) Dec-2008 24
90-Day Euro$ (41) Dec-2009 25
Amsterdam Index 41 Jun-2006 (70)
CAC 40 10 Euro 162 Jun-2006 41
DAX Index 55 Jun-2006 (432)
DJ Euro Stoxx 672 Jun-2006 154
FTSE 100 Index 418 Jun-2006 (1,142)
Hang Seng Index 17 Jun-2006 --
Ibex 35 Plus Index 26 Jun-2006 (90)
MSCI Singapore Index 20 Jun-2006 (25)
OMXS 30 Index 379 Jun-2006 204
S&P/MIB Index 21 Jun-2006 (142)
S&P/TSE 60 Index 155 Jun-2006 (306)
SPI 200 Index 172 Jun-2006 47
Topix Index 351 Jun-2006 (697)
U.S. 2-Year Note (1) Jul-2006 --
U.S. 2-Year Note (10) Oct-2006 3
U.S. 5-Year Note (94) Jun-2006 83
U.S. 10-Year Note (36) Jun-2006 47
U.S. 10-Year Note (18) Sep-2006 6
U.S. Long Treasury Bond (3) Jun-2006 13
-------
$(1,830)
=======
- --------------------------------------------------------------------------------
176 SEI Institutional Investments Trust / Annual Report / May 31, 2006
A summary of the outstanding forward foreign currency contracts held by the Fund
at May 31, 2006, is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
CURRENCY TO CURRENCY TO APPRECIATION
MATURITY DELIVER RECEIVE (DEPRECIATION)
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
6/22/06 USD 5,200 AUD 6,798 $ (80)
6/22/06 USD 7,632 CAD 8,548 138
6/22/06 USD 6,953 CHF 8,386 (35)
6/22/06 USD 799 DKK 4,635 --
6/22/06 USD 34,145 EUR 26,580 38
6/22/06 USD 25,795 GBP 13,642 (261)
6/22/06 USD 1,307 HKD 10,127 (1)
6/22/06 USD 25,606 JPY 2,824,339 (338)
6/22/06 USD 755 NOK 4,583 1
6/22/06 USD 3,007 SEK 21,887 32
6/22/06 USD 641 SGD 1,009 --
-----
$(506)
=====
A summary of the outstanding swap agreements held by the Fund at May 31, 2006,
is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
TOTAL RETURN SWAPS
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund receives payment on the monthly
reset spread from Banc of America --
CMBS AAA 10Yr Index plus 15 basis
points times the notional amount.
Fund receives payment if the return
on the spread appreciates over the
payment period, and pays if the
return on the spread depreciates
over the payment period.
(Counterparty: Bank of America) 07/31/06 25,000 $ (37)
Fund receives payment on the monthly
reset spread from Banc of America --
CMBS AAA 10Yr Index times the
notional amount. Fund receives
payment if the return on the
spread appreciates over the payment
period, and pays if the return on
the spread depreciates over the
payment period.
(Counterparty: Bank of America) 02/27/07 18,000 (26)
Fund receives payment on the monthly
reset spread from Banc of America --
CMBS BBB Index plus 25 basis
points times the notional amount.
Fund receives payment if the return
on the spread appreciates over the
payment period, and pays if the
return on the spread depreciates
over the payment period.
(Counterparty: Bank of America) 10/31/06 4,000 24
Fund receives payment on the monthly
reset spread from Lehman Brothers --
CMBS AAA Index times the notional
amount. Fund receives payment if
the return on the spread appreciates
over the payment period and pays
if the return on the spread
depreciates over the payment period.
(Counterparty: Goldman Sachs) 09/01/06 17,000 (14)
Fund receives payment on the monthly
reset spread from Swiss Market Index --
CHF 3M RTI Libor plus 32 basis
points. Fund receives payment if
the return on the spread is
appreciates over the payment period,
and pays if the return on the
spread depreciates over the payment
period.
(Counterparty: JPMorgan Chase) 01/24/07 9,619 (430)
-----
$(483)
=====
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAP
- --------------------------------------------------------------------------------
Fund receives monthly payment of 0.54%
per annum times the notional amount
of the ABX.HE.A Index. Upon a
defined credit event, Fund pays
the notional amount and takes
receipt of the defined deliverable
obligation.
(Counterparty: JPMorgan Chase) 07/25/45 6,500 $ 19
=====
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $908,582 ($ Thousands).
*Non-income producing security.
**Rate shown is the 7-day effective yield as of May 31, 2006.
+ Real Estate Investment Trusts.
++ Pursuant to an exemptive order issued by the Securities and Exchange
Commission, the Fund may invest in the SEI money market funds, provided
that investments in the money market funds do not exceed 25% of the Fund's
total assets.
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts and written options.
(B) This security or a partial position of this security is on loan at May 31,
2006 (see Note 9). The total value of securities on loan at May 31, 2006
was $84,533 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan (see Note 9). The total value of such securities as of May 31, 2006
was $88,698 ($ Thousands).
(D) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of May 31, 2006.
(E) The rate reported is the effective yield at time of purchase.
(F) 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." These securities have been
determined to be liquid by guidelines established by the Board of Trustees.
(G) Step Bonds -- The rate reflected on the Schedule of Investments is the rate
in effect as of May 31, 2006. The coupon on a step bond changes on a
specified date.
(H) Zero coupon security. The rate reported on the Schedule of Investments is
the effective yield at time of purchase.
(I) Security, or portion of this security, has been pledged as collateral on
open swap contracts. The rate reported on the Schedule of Investments is
the effective yield at time of purchase.
(J) Security, or a portion of this security, has been pledged as collateral on
reverse repurchase agreements.
(K) Tri-Party Repurchase Agreement.
ADR -- American Depositary Receipt
AUD -- Australian Dollar
CAD -- Canadian Dollar
CDO -- Collateralized Debt Obligation
CHF -- Swiss Franc
Cl -- Class
CMBS -- Commercial Mortgage-Backed Securities
CMO -- Collateralized Mortgage Obligation
DKK -- Danish Krone
DN -- Discount Note
EUR -- Euro
EXL -- Extendable Maturity
FDR -- Fiduciary Depositary Receipt
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GBP -- British Pound
Sterling GDR -- Global Depositary Receipt
GNMA -- Government National Mortgage Association
HKD -- Hong Kong Dollar
IO -- Interest Only
JPY -- Japanese Yen
LIBOR -- London Interbank Offered Rate
LLC -- Limited Liability Company
MTN -- Medium Term Note
NIM -- Net Interest Margin
NOK -- Norwegian Krone
NVDR -- Non-Voting Depositary Receipt
SEK -- Swedish Krona
Ser -- Series
SGD -- Singapore Dollar
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
USD -- United States Dollar
ZAR -- South African Rand
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, 2006 177
SCHEDULE OF INVESTMENTS
Emerging Markets Debt Fund
May 31, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)++:
79.0% Government
10.2% Financials
7.5% Short-Term Investments
2.1% Industrials
0.6% Asset-Backed Securities
0.3% Energy
0.2% Telecommunication Services
0.1% Warrants
0.0% Certificate of Deposit
0.0% Oil Linked Payment Obligation
++Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 9).
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GLOBAL BONDS -- 86.6%
ARGENTINA -- 6.5%
Republic of Argentina
8.280%, 12/31/33 4,530 $ 4,204
Republic of Argentina (B)
8.308%, 12/15/35 15,200 1,380
4.889%, 08/03/12 (I) 12,230 10,029
Republic of Argentina (B)
10.155%, 12/15/35 EUR 1,325 152
Republic of Argentina (H)
1.330%, 12/31/38 16,640 5,782
Republic of Argentina
10.250%, 01/26/07 (I) EUR 850 330
9.000%, 06/20/03(I) EUR 3,000 1,098
9.000%, 11/19/08(I) EUR 1,000 185
9.000%, 05/29/09 EUR 1,375 506
8.500%, 07/01/04 (I) EUR 4,300 1,553
8.125%, 04/21/08 EUR 3,000 1,114
Republic of Argentina MTN,
Ser E
10.000%, 01/07/05 (I) EUR 1,650 628
9.250%, 07/20/04 (I) EUR 2,100 840
8.750%, 02/04/49 EUR 5,000 1,863
8.000%, 10/30/09 (I) EUR 2,000 370
7.000%, 03/18/49 EUR 2,300 863
---------
30,897
---------
BRAZIL -- 14.2%
Federal Republic of Brazil
12.500%, 01/05/16 BRL 10,300 4,183
11.000%, 08/17/40 19,915 24,276
10.125%, 05/15/27 2,000 2,400
8.750%, 02/04/25 16,550 17,626
7.125%, 01/20/37 2,980 2,700
Federal Republic of Brazil (C)
8.000%, 01/15/18 15,215 15,862
7.875%, 03/07/15 1,240 1,278
---------
68,325
---------
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
BULGARIA -- 0.4%
Republic of Bulgaria Registered
8.250%, 01/15/15 1,570 $ 1,794
---------
CAYMAN ISLANDS -- 0.9%
Vale Overseas
6.250%, 01/11/16 4,525 4,344
---------
CHILE -- 0.9%
Codelco
5.500%, 10/15/13 575 558
Republic of Chile
5.500%, 01/15/13 1,975 1,936
Republic of Chile (C)
7.125%, 01/11/12 1,800 1,904
---------
4,398
---------
CHINA -- 0.2%
People's Republic of China (C)
4.750%, 10/29/13 1,200 1,138
---------
COLOMBIA -- 4.8%
Republic of Colombia
11.750%, 03/01/10 COP 2,030,000 876
11.750%, 02/25/20 4,705 6,340
10.000%, 01/23/12 875 1,002
8.125%, 05/21/24 7,130 7,493
Republic of Colombia (C)
10.750%, 01/15/13 3,995 4,794
10.375%, 01/28/33 1,850 2,419
---------
22,924
---------
ECUADOR -- 1.4%
Republic of Ecuador Registered
9.375%, 12/15/15 375 383
9.000%, 08/15/30 6,400 6,303
---------
6,686
---------
EL SALVADOR -- 1.4%
Republic of El Salvador
8.250%, 04/10/32 420 443
7.750%, 01/24/23 3,115 3,294
7.650%, 06/15/35 2,815 2,773
---------
6,510
---------
INDONESIA -- 1.3%
Republic of Indonesia
8.500%, 10/12/35 630 682
7.500%, 01/15/16 550 568
Republic of Indonesia (A)
8.500%, 10/12/35 1,000 1,081
7.500%, 01/15/16 2,200 2,261
7.250%, 04/20/15 1,350 1,371
---------
5,963
---------
- --------------------------------------------------------------------------------
178 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
LUXEMBOURG -- 0.3%
Gaz Capital for Gazprom Registered
8.625%, 04/28/34 1,200 $ 1,407
---------
MALAYSIA -- 1.3%
Government of Malaysia
7.500%, 07/15/11 5,050 5,410
Petronas Capital
7.875%, 05/22/22 875 1,009
---------
6,419
---------
MEXICO -- 10.4%
Mexican Bonos
9.000%, 12/24/09 MXP 52,500 4,728
Pemex Project Funding
Master Trust (A)
9.500%, 09/15/27 1,800 2,174
Telefonos de Mexico
8.750%, 01/31/16 MXP 10,000 817
United Mexican States
8.125%, 12/30/19 2,825 3,168
6.625%, 03/03/15 102 103
United Mexican States (C)
5.625%, 01/15/17 9,500 8,835
United Mexican States MTN
8.300%, 08/15/31 11,925 13,535
6.375%, 01/16/13 11,067 11,067
United Mexican States MTN,
Ser A (C)
5.875%, 01/15/14 5,739 5,561
---------
49,988
---------
NETHERLANDS -- 0.1%
Kazkommerts International (A)
7.875%, 04/07/14 265 266
---------
NIGERIA -- 0.2%
TuranAlem Finance
8.000%, 03/24/14 450 446
TuranAlem Finance (A)
7.875%, 06/02/10 400 406
---------
852
---------
PAKISTAN -- 0.2%
Republic of Pakistan (A)
7.125%, 03/31/16 1,150 1,101
---------
PANAMA -- 1.1%
Republic of Panama
9.625%, 02/08/11 1,800 2,025
8.875%, 09/30/27 1,125 1,313
7.250%, 03/15/15 1,200 1,239
6.700%, 01/26/36 615 582
Republic of Panama, Ser 20YR (B)
5.563%, 07/17/16 258 255
---------
5,414
---------
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
PERU -- 2.6%
Republic of Peru
9.875%, 02/06/15 405 $ 475
Republic of Peru (C)
7.350%, 07/21/25 6,660 6,487
Republic of Peru FLIRB,
Ser 20YR (B)
5.000%, 09/07/06 5,893 5,635
---------
12,597
---------
PHILIPPINES -- 5.7%
Republic of Philippines
10.625%, 03/16/25 (C) 6,600 8,250
9.500%, 02/02/30 (C) 14,175 16,337
8.875%, 03/17/15 975 1,082
8.250%, 01/15/14 (C) 1,350 1,438
7.750%, 01/14/31 400 390
---------
27,497
---------
POLAND -- 0.5%
Government of Poland
5.250%, 01/15/14 2,475 2,410
---------
RUSSIA -- 12.7%
Russian Federation Registered
12.750%, 06/24/28 4,450 7,571
8.625%, 05/05/11 930 918
6.330%, 03/31/30 (H) 46,930 50,206
Russian Ministry of Finance
3.000%, 05/14/11 2,600 2,262
---------
60,957
---------
SOUTH AFRICA -- 0.7%
Republic of South Africa
6.500%, 06/02/14 3,265 3,343
---------
THAILAND -- 0.5%
Bangkok Land (I)
3.125%, 03/31/01 CHF 5,300 2,356
---------
TUNISIA -- 0.5%
Banque Centrale de Tunisie
7.375%, 04/25/12 2,285 2,428
---------
TURKEY -- 6.9%
Republic of Turkey
11.875%, 01/15/30 5,105 7,249
9.500%, 01/15/14 175 198
8.000%, 02/14/34 5,125 5,080
7.375%, 02/05/25 2,825 2,732
7.250%, 03/15/15 8,000 7,940
7.000%, 06/05/20 2,350 2,250
6.875%, 03/17/36 8,795 7,696
---------
33,145
---------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 179
SCHEDULE OF INVESTMENTS
Emerging Markets Debt Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
UKRAINE -- 0.4%
Government of Ukraine
Registered (C)
7.650%, 06/11/13 1,850 $ 1,869
---------
URUGUAY -- 2.2%
Republic of Uruguay
9.250%, 05/17/17 2,250 2,464
8.000%, 11/18/22 950 940
7.500%, 03/15/15 4,800 4,752
Republic of Uruguay PIK
7.875%, 01/15/33 2,660 2,554
---------
10,710
---------
VENEZUELA -- 8.3%
Government of Venezuela
10.750%, 09/19/13 8,050 9,660
9.375%, 01/13/34 1,050 1,252
9.250%, 09/15/27 18,435 22,048
8.500%, 10/08/14 4,985 5,347
7.650%, 04/21/25 675 686
Government of Venezuela
Registered (C)
5.375%, 08/07/10 875 831
---------
39,824
---------
Total Global Bonds
(Cost $432,169) ($ Thousands) 415,562
---------
CORPORATE OBLIGATIONS (D) -- 3.8%
FINANCIALS -- 3.8%
Allstate Life Global Funding II
MTN (A) (B)
5.101%, 06/15/07 270 270
American General Finance (A) (B)
5.111%, 06/15/07 850 850
American General Finance MTN,
Ser F
5.875%, 07/14/06 59 60
Bear Stearns EXL (B)
5.091%, 06/15/07 1,043 1,043
Caterpillar Financial Services
MTN, Ser F (B)
5.148%, 07/10/06 293 293
Countrywide Financial Services
MTN, Ser A (B)
5.210%, 11/03/06 615 615
4.960%, 09/13/06 1,084 1,084
Dekabank (A) (B)
5.108%, 05/18/07 1,084 1,084
Glitnir Bank (A) (B)
5.180%, 04/06/07 879 879
Irish Life & Permanent
MTN, Ser X (A) (B)
5.109%, 06/21/07 779 779
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Islandsbanki (A) (B)
5.131%, 03/22/07 498 $ 498
Jackson National Life Funding
(A) (B)
5.080%, 05/02/07 1,289 1,289
Kaupthing Bank MTN (A) (B)
5.141%, 03/20/07 1,465 1,465
Landsbanki Islands (A) (B)
5.161%, 03/16/07 1,113 1,113
Morgan Stanley EXL (B)
5.190%, 07/03/07 205 205
Morgan Stanley EXL, Ser S (B)
5.150%, 07/03/07 293 293
Natexis Banques (A) (B)
5.060%, 06/15/07 571 571
Nationwide Building Society
(A) (B)
5.160%, 04/05/07 586 586
5.020%, 04/27/07 322 322
Nordbank (A) (B)
5.080%, 06/22/07 996 996
Northern Rock (A) (B)
5.170%, 05/03/07 604 604
Pacific Life Global Funding
(A) (B)
5.101%, 06/13/07 439 439
Premium Asset Trust,
Ser 2004-06 (A) (B)
5.190%, 06/30/06 557 557
Premium Asset Trust,
Ser 2004-10 (A) (B)
5.120%, 05/14/07 820 820
SLM EXL, Ser S (A) (B)
5.081%, 06/15/07 645 645
Sigma Finance MTN (A)
4.745%, 11/09/06 316 316
Skandinav Enskilda Bank (A) (B)
5.077%, 05/18/07 645 645
---------
Total Corporate Obligations
(Cost $18,321) ($ Thousands) 18,321
---------
DEPOSITWITH COUNTERPARTY AS COLLATERAL
FOR SWAP CONTRACTS (G) -- 3.5%
Loan to Citibank as Collateral
for Swap Contracts Outstanding 400,000 400
Loan to Citibank as Collateral
for Swap Contracts
Outstanding 1,310,000 1,310
Loan to Deutsch Bank as
Collateral for Swap
Contracts Outstanding 6,650,000 6,650
Loan to JP Morgan as Collateral
for Swap Contracts Outstanding 62,000 62
Loan to JPMorgan Chase as
Collateral for Swap Contracts
Outstanding 2,930,000 2,930
Loan to JPMorgan Chase as
Collateral for Swap Contracts
Outstanding 1,047,000 1,047
Loan to Merrill Lynch as
Collateral for Swap Contracts
Outstanding 243,000 243
- --------------------------------------------------------------------------------
180 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Shares/Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Loan to Standard Bank as
Collateral for Swap Contracts
Outstanding 103,000 $ 103
Loan to Standard Bank as
Collateral for Swap Contracts
Outstanding 1,969,000 1,969
Loan to Standard Bank as
Collateral for Swap Contracts
Outstanding 1,166,000 1,166
Loan to Standard Bank as
Collateral for Swap Contracts
Outstanding 806,000 806
---------
Total Deposit with Counterparty as Collateral
for Swap Contracts
(Cost $16,686) ($ Thousands) 16,686
---------
COMMERCIAL PAPER (D) (E) -- 2.1%
Brahms Funding
5.051%, 06/01/06 586 584
Broadhollow Funding
5.081%, 06/09/06 146 146
5.079%, 06/26/06 352 350
5.073%, 06/19/06 498 496
5.062%, 06/05/06 293 292
Buckingham CDO
5.092%, 06/23/06 293 292
5.087%, 06/08/06 586 584
Elysian Funding LLC
5.170%, 07/10/06 586 581
5.134%, 06/30/06 293 290
5.123%, 06/05/06 293 292
Hardwood Street Funding II
5.074%, 06/13/06 51 51
KKR Pacific Funding Trust
5.082%, 06/22/06 586 583
5.082%, 06/23/06 293 292
5.081%, 06/07/06 586 583
Main Street Warehouse Funding
5.090%, 06/16/06 352 350
5.079%, 06/05/06 293 292
5.078%, 06/02/06 53 53
Ocala Funding LLC
5.112%, 06/30/06 88 87
5.092%, 06/09/06 927 923
Park Granada LLC
5.045%, 06/29/06 293 290
Rams Funding
5.094%, 06/14/06 683 680
5.091%, 06/21/06 586 584
Rhineland Funding Capital
5.026%, 06/26/06 586 579
Thornburg Mortgage Capital Resource
5.092%, 06/19/06 410 408
5.092%, 06/23/06 190 189
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Transamerica Securities
5.100%, 06/28/06 236 $ 235
---------
Total Commercial Paper
(Cost $10,086) ($ Thousands) 10,086
---------
ASSET-BACKED SECURITIES (D) -- 0.7%
MORTGAGE RELATED SECURITIES -- 0.7%
Cheyne High Grade, Ser 2004-1A,
Cl AM1
5.180%, 11/10/06 293 293
Commodore, Ser 2003-2A, Cl A1MM
4.970%, 12/12/38 270 270
Duke Funding, Ser 2004-6B, Cl A1S1
5.093%, 04/08/39 439 439
Newcastle CDO Limited,
Ser 2005-6A, Cl IM1
5.142%, 04/24/07 117 117
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AM6
5.111%, 02/25/35 358 358
RMAC, Ser 2004-NS3A, Cl A1
5.080%, 03/12/25 105 105
Saturn Ventures II
5.129%, 08/07/06 547 547
TIAA Real Estate, Ser 2003-1A,
Cl A1
5.030%, 12/28/18 378 378
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMD
4.930%, 06/15/06 147 147
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMME
4.930%, 09/15/06 88 88
Witherspoon CDO Funding
5.091%, 09/15/06 410 410
---------
Total Asset-Backed Securities
(Cost $3,152) ($ Thousands) 3,152
---------
MASTER NOTE (D) -- 0.3%
Bank of America
5.133%, 06/01/06 1,465 1,465
---------
Total Master Note
(Cost $1,465) ($ Thousands) 1,465
---------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 181
SCHEDULE OF INVESTMENTS
Emerging Markets Debt Fund (Continued)
May 31, 2006
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
TIME DEPOSITS -- 6.4%
Brown Brothers Harriman
4.360%, 06/01/06 29,434 $ 29,434
Societe Generale (D)
5.080%, 06/01/06 1,172 1,172
---------
Total Time Deposits
(Cost $30,606) ($ Thousands) 30,606
---------
Number of
Warrants
---------
WARRANTS -- 0.1%
MEXICO -- 0.1%
United Mexican States,
Expires 09/01/06* 5,900 383
---------
Total Warrants
(Cost $472) ($ Thousands) 383
---------
LOAN PARTICIPATIONS -- 0.0%
NIGERIA -- 0.0%
PPMC GTEE Note
4.500%, 09/22/06 260 260
---------
Total Loan Participations
(Cost $260) ($ Thousands) 260
---------
CERTIFICATE OF DEPOSIT (D) -- 0.0%
U.S. Trust of New York
5.121%, 03/13/07 234 234
---------
Total Certificate of Deposit
(Cost $234) ($ Thousands) 234
---------
OIL-LINKED PAYMENT OBLIGATION -- 0.0%
VENEZUELA -- 0.0%
Government of Venezuela Par,
Expires 04/15/20* 3 114
---------
Total Oil-Linked Payment Obligation
(Cost $103) ($ Thousands) 114
---------
- --------------------------------------------------------------------------------
Face Amount(1) Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (D)(F) -- 1.5%
Barclays Capital
5.010%, dated 05/31/06, to be
repurchased on 06/01/06,
repurchase price $1,570,300
(collateralized by U.S. Government
Obligations, ranging in par value
$32,526-$1,171,912, 0.000%-
4.300%, 04/09/07-05/12/08;
with total market value
$1,601,506) 1,570 $ 1,570
Deutsche Bank
5.020%, dated 05/31/06, to be
repurchased on 06/01/06,
repurchase price $1,936,849
(collateralized by U.S. Government
Obligations, ranging in par value
$10,787-$588,359, 0.000%-
5.600%, 08/29/06-10/29/18;
with total market value
$1,975,321) 1,937 1,937
Lehman Brothers
5.020%, dated 05/31/06, to be
repurchased on 06/01/06,
repurchase price $3,539,341
(collateralized by U.S. Government
Obligations, ranging in par value
$410,111-$3,515,737, 8.125%-
9.375%, 10/15/19-01/15/30;
with total market value
$3,609,630) 3,539 3,539
---------
Total Repurchase Agreements
(Cost $7,046) ($ Thousands) 7,046
---------
Total Investments -- 105.0%
(Cost $520,600) ($ Thousands) $ 503,915
=========
- --------------------------------------------------------------------------------
182 SEI Institutional Investments Trust / Annual Report / May 31, 2006
A summary of the outstanding forward foreign currency contracts held by the Fund
at May 31, 2006, is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
CURRENCY TO CURRENCY TO APPRECIATION
MATURITY DELIVER RECEIVE (DEPRECIATION)
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
6/2/06 BRL 8,806 USD 3,976 $ 153
7/5/06 BRL 2,849 USD 1,230 4
6/2/06 USD 3,722 BRL 8,806 102
6/16/06 PLZ 17,083 USD 5,703 125
6/16/06 USD 7,755 PLZ 24,746 325
6/8/06 TRL 12,293 USD 8,384 571
6/8/06 USD 10,728 TRL 15,443 (915)
8/8/06 USD 300 NGN 39,501 7
8/16/06 USD 4,700 RUB 134,119 280
1/25/07 USD 1,600 RUB 45,312 83
8/2/06 ZAR 16,090 USD 2,651 255
8/2/06 USD 2,600 ZAR 16,090 (204)
7/25/06 USD 1,500 ZAR 9,362 (105)
6/19/06 USD 1,100 ZAR 7,037 (50)
-----
$ 631
=====
A summary of the outstanding swap agreements held by the Fund at May 31, 2006,
is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
TOTAL RETURN SWAPS
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund receives payment at maturity on
the Brazilian CDI Index times the
notional amount. Fund receives
payment if the return on the spread
appreciates over the payment period,
and pays if the return on the spread
depreciates over the payment period.
(Counterparty: Merrill Lynch) 08/15/10 $ 400 $ (6)
Fund receives payment at maturity on
the Brazilian CDI Index times the
notional amount. Fund receives
payment if the return on the spread
appreciates over the payment period,
and pays if the return on the spread
depreciates over the payment period.
(Counterparty: JP Morgan Chase) 05/15/11 1,577 (73)
Fund receives payment at maturity on
the Brazilian CDI Index times the
notional amount. Fund receives
payment if the return on the spread
appreciates over the payment period,
and pays if the return on the spread
depreciates over the payment period.
(Counterparty: JP Morgan Chase) 08/15/10 4,450 (38)
Fund receives payment at maturity on
the Nigerian NGN Index times the
notional amount. Fund receives
payment if the return on the spread
appreciates over the payment period,
and pays if the return on the spread
depreciates over the payment period.
(Counterparty: Citigroup) 02/02/07 28,621 8
Fund receives payment at maturity on
the Nigerian NGN Index times the
notional amount. Fund receives
payment if the return on the spread
appreciates over the payment period,
and pays if the return on the spread
depreciates over the payment period.
(Counterparty: Standard
Charter Bank) 05/04/07 162,942 7
Fund receives payment at maturity on
the Nigerian NGN Index times the
notional amount. Fund receives
payment if the return on the spread
appreciates over the payment period,
and pays if the return on the spread
depreciates over the payment period.
(Counterparty: Citigroup) 01/30/09 25,471 12
Fund receives payment at maturity on
the Nigerian NGN Index times the
notional amount. Fund receives
payment if the return on the spread
appreciates over the payment period,
and pays if the return on the spread
depreciates over the payment period.
(Counterparty: Standard
Charter Bank) 05/15/07 113,696 14
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund receives payment at maturity on
the Nigerian NGN Index times the
notional amount. Fund receives
payment if the return on the spread
appreciates over the payment period,
and pays if the return on the spread
depreciates over the payment period.
(Counterparty: Standard
Charter Bank) 02/06/07 14,760 $ 5
Fund receives payment at maturity on
the Nigerian NGN Index times the
notional amount. Fund receives
payment if the return on the spread
appreciates over the payment period,
and pays if the return on the spread
depreciates over the payment period.
(Counterparty: Standard
Charter Bank) 04/08/07 277,075 38
Fund receives payment at maturity on
the Nigerian NGN Index times the
notional amount. Fund receives
payment if the return on the spread
appreciates over the payment period,
and pays if the return on the spread
depreciates over the payment period.
(Counterparty: Citigroup) 05/08/07 182,003 (7)
Fund receives payment at maturity on
16.75% of the Nigerian Treasury
Bond NGN times the notional amount.
Fund receives payment if the return
on the spread appreciates over the
payment period, and pays if the
return on the spread depreciates
over the payment period.
(Counterparty: Standard
Charter Bank) 12/16/08 14,910 129
----
$ 89
====
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAP
- --------------------------------------------------------------------------------
Fund receives payment at maturity on
a 6 month LIBOR + 71 basis points
times the notional amount. Upon a
defined credit event, Fund pays
the notional amount and takes
receipt of the defined deliverable
obligation.
(Counterparty: Deutsche Bank) 01/20/16 6,650 $ 14
====
- --------------------------------------------------------------------------------
INTEREST RATE SWAPS
- --------------------------------------------------------------------------------
Fund receives fixed rate of 15.11%
at maturity and pays floating rate
at maturity on the Brazilian CDI
Index times the notional amount.
(Counterparty: Deutsche Bank) 01/02/08 2,800 $(12)
Fund receives fixed rate of 15.22%
at maturity and pays floating rate
at maturity on the Brazilian CDI
Index times the notional amount.
(Counterparty: JPMorgan Chase) 01/02/08 3,514 (26)
----
$(38)
====
Percentages are based on Net Assets of $479,808 ($ Thousands).
*Non-Income Producing Security.
(1) In U.S. dollars unless otherwise indicated.
(A) This security was sold with terms of a private placement memorandum, exempt
from registration under Section 3A-4, 4 (2), or 144A of the Securities Act
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
by guidelines established by the Board of Trustees.
(B) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of May 31, 2006.
(C) This security or a partial position of this security is on loan at May 31,
2006 (see Note 9). The total value of securities on loan at May 31, 2006
was $38,840 ($ Thousands).
(D) This security was purchased with cash collateral held from securities on
loan (see Note 9). The total value of such securities as of May 31, 2006
was $41,476 ($ Thousands).
(E) The rate reported is the effective yield at time of purchase.
(F) Tri-Party Repurchase Agreement.
(G) Cash on loan to swap counterparty as collateral for outstanding swap
contracts.
(H) Step Bonds -- The rate reflected on the Schedule of Investments is the rate
in effect as of May 31, 2006. The coupon on a step bond changes on a
specified date.
(I) Security in default on interest payments.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 183
SCHEDULE OF INVESTMENTS
Emerging Markets Debt Fund (Concluded)
May 31, 2006
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
BRL -- Brazilian Real
CDO -- Collateralized Debt Obligation
CHF -- Swiss Franc
Cl -- Class
COP -- Columbian Peso
EUR -- Euro
EXL -- Extendable Maturity
FLIRB -- Front Loaded Interest Reduction Bond
LIBOR -- London Interbank Offered Rate
LLC -- Limited Liability Company
MTN -- Medium Term Note
MXP -- Mexican Peso
NGN -- Nigerian Naira
NIM -- Net Interest Margin
PIK -- Payment-in-Kind
PLZ -- Polish Zolty
RUB -- Russian Federation Rouble
Ser -- Series
TRL-- Turkish Lira
USD -- United States Dollar
ZAR -- South African Rand
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
184 SEI Institutional Investments Trust / Annual Report / May 31, 2006
Statements of Assets and Liabilities ($ Thousands)
May 31, 2006
- ------------------------------------------------------------------------------------------------------------------------------------
CORE FIXED EXTENDED WORLD EQUITY EMERGING
INCOME DURATION EX-US MARKETS DEBT
FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments, at value (Cost $6,118,280, $258,201,
$892,987 and $513,554, respectively)(1) $6,038,063 $256,255 $978,856 $496,869
Repurchase agreements (Cost $549,159, $0, $15,067
and $7,046, respectively) 549,159 -- 15,067 7,046
Affiliated investments, at value (Cost $56,111,
$6,640, $148, and $0, respectively) 56,111 6,640 148 --
Cash 13,646 463 5,041 30,793
Foreign currency, at value (Cost $71, $0, $5,420
and $364, respectively) 76 -- 5,392 303
Receivable for investment securities sold 801,000 21,819 17,423 2,405
Receivable for capital shares sold 36,900 -- 96,565 20,437
Receivable for swap contracts -- -- 43 227
Unrealized gain on forward foreign currency contracts -- -- 209 1,905
Unrealized gain on foreign spot currency contracts -- -- 4 57
Dividends and interest receivable 32,439 3,008 3,715 7,833
Deposits with brokers for foreign currency contracts -- -- -- 350
Receivable for variation margin -- -- 784 --
Prepaid expenses 33 1 2 --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 7,527,427 288,186 1,123,249 568,225
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return of securities on loan 1,132,376 -- 88,698 41,476
Payable for investment securities purchased 1,702,732 29,586 93,233 44,138
Income distribution payable 657 -- -- --
Payable for capital shares redeemed 42,930 1,858 2,925 1,086
Written options, at fair value (premiums received
$(471), $(0), $(70) and $(0), respectively) 399 -- 20 --
Payable for swap contracts 130 33,767 506 162
Reverse repurchase agreements -- -- 28,006 --
Unrealized loss on forward foreign currency contracts 295 -- 715 1,274
Unrealized loss on foreign spot currency contracts -- -- 4 --
Payable for variation margin 755 -- -- --
Investment advisory fees payable 474 27 245 224
Trustees' fees payable 15 1 2 1
Other payables 15 -- -- --
Accumulated foreign capital gains tax on
appreciated securities -- -- 109 --
Accrued expenses 246 24 204 56
- ------------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 2,881,024 65,263 214,667 88,417
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $4,646,403 $222,923 $908,582 $479,808
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Paid in Capital
(unlimited authorization -- no par value) $4,807,199 $263,192 $764,676 $488,630
Undistributed (Distributions in excess of)
net investment income 46 (1,598) 15,577 4,454
Accumulated net realized gain (loss) on
investments, futures contracts, options,
foreign currency contracts and swap contracts (75,302) (4,566) 45,308 2,858
Net unrealized appreciation (depreciation)
on investments and written options (80,145) (1,946) 85,919 (16,685)
Net unrealized depreciation on futures contracts (4,785) -- (1,830) --
Net unrealized appreciation (depreciation) on forward
foreign currency contracts, foreign currencies and
translation of other assets and liabilities
denominated in foreign currencies (480) -- (495) 486
Net unrealized appreciation (depreciation) on swap
contracts (130) (32,159) (464) 65
Accumulated foreign capital gains tax on appreciated
securities -- -- (109) --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets -- 100.0% $4,646,403 $222,923 $908,582 $479,808
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($4,646,403,134 / 471,993,193 shares),
($222,922,841 / 25,166,402 shares),
($908,582,498 / 69,937,094 shares)
and ($479,808,244 / 48,144,830 shares),
respectively $9.84 $8.86 $12.99 $9.97
- ------------------------------------------------------------------------------------------------------------------------------------
(1) Included in "Investments, at value" is the market value of securities on
loan in the amounts of $1,088,210, $84,533 and $38,840 for the Core Fixed
Income, World Equity Ex-US and Emerging Markets Debt Funds, respectively.
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 185
Statements of Operations ($ Thousands)
For the year or period ended May 31, 2006
- ------------------------------------------------------------------------------------------------------------------------------------
LARGE CAP LARGE CAP
DISCIPLINED DIVERSIFIED LARGE CAP
LARGE CAP EQUITY ALPHA INDEX SMALL CAP
FUND FUND FUND(2) FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 19,105 $ 66,689 $ 480 $ 6,280 $ 14,527
Dividends from Affiliated Investments(1) 826 7,981 185 233 1,435
Interest 122 25,536 101 37 155
Security Lending Income -- Net 156 372 -- 55 1,598
Less: Foreign Taxes Withheld (16) -- -- -- (57)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investment Income 20,193 100,578 766 6,605 17,658
- ------------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 4,689 17,240 142 584 11,875
Administration Fees 586 2,155 18 172 913
Trustees' Fees 21 55 1 5 24
Shareholder Service Fees* -- -- -- -- --
Custodian/Wire Agent Fees 140 326 7 28 165
Professional Fees 54 158 2 13 68
Printing Fees 30 95 1 8 41
Proxy Expenses 19 31 13 3 16
Registration Fees 2 114 10 3 16
Dividend Expense -- -- 41 -- --
Interest Expense on Reverse Repurchase Agreements -- -- -- -- --
Other Expenses 32 79 2 13 40
- ------------------------------------------------------------------------------------------------------------------------------------
Total Expenses 5,573 20,253 237 829 13,158
- ------------------------------------------------------------------------------------------------------------------------------------
Less:
Waiver of Investment Advisory Fees (1,920) (7,566) (57) (383) (2,345)
Waiver of Administration Fees (586) (2,155) (18) (172) (913)
Fees Paid Indirectly(1) (138) -- -- -- (321)
Payment by Affiliate(1) -- (314) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Expenses 2,929 10,218 162 274 9,579
- ------------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 17,264 90,360 604 6,331 8,079
- ------------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net Realized Gain (Loss) on:
Investments 180,278(5) 178,307 241 3,575 246,092(6)
Securities Sold Short -- -- 23 -- --
Futures Contracts 819 83,887 563 489 6,011
Written Options -- -- -- -- --
Swap Contracts -- 3,344 28 -- --
Foreign Currency Transactions -- (1,945) -- -- (7)
Net Change in Unrealized Appreciation
(Depreciation) on:
Investments (59,011) 48,968 (2,571) 18,999 46,449
Affiliated Investments -- -- -- 16 --
Securities Sold Short -- -- 688 -- --
Futures Contracts (84) (30,702) (564) (205) 459
Written Options -- 420 -- -- --
Swap Contracts -- 112 (10) -- --
Foreign Capital Gains Tax -- -- -- -- --
Foreign Currency Transactions -- (53) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $139,266 $372,698 $ (998) $29,205 $307,083
- ------------------------------------------------------------------------------------------------------------------------------------
* Fees are incurred at the Class T level only. Class T Shares were closed on
January 24, 2006 (see Note 1).
(1) See Note 3 in the Notes to the Financial Statements.
(2) The Large Cap Diversified Alpha Fund commenced operations on
February 28, 2006.
(3) The High Yield Bond Fund commenced operations on December 5, 2005.
(4) The Emerging Markets Debt Fund commenced operations on December 5, 2005.
(5) Includes realized gain of $49,349 ($Thousands) due to in-kind redemptions
(see Note 8).
(6) Includes realized gain of $4,232 ($Thousands) due to in-kind redemptions
(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.
- --------------------------------------------------------------------------------
186 SEI Institutional Investments Trust / Annual Report / May 31, 2006
Statements of Operations ($ Thousands)
For the year or period ended May 31, 2006
- ----------------------------------------------------------------------------------------------------------------------------------
SMALL/MID CORE
CAP FIXED LONG EXTENDED HIGH YIELD
EQUITY INCOME DURATION DURATION BOND
FUND FUND FUND FUND FUND(3)
- ----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 10,452 $ 227 $ 40 $ 38 $ 18
Dividends from Affiliated Investments(1) 1,519 2,223 107 164 645
Interest 83 204,408 6,352 9,162 27,740
Security Lending Income -- Net 696 1,895 -- -- 126
Less: Foreign Taxes Withheld (31) -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Total Investment Income 12,719 208,753 6,499 9,364 28,529
- ----------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 6,907 13,167 398 580 1,644
Administration Fees 531 2,194 66 97 168
Trustees' Fees 13 61 1 2 4
Shareholder Service Fees* -- -- -- -- --
Custodian/Wire Agent Fees 87 394 9 16 25
Professional Fees 36 175 4 6 13
Printing Fees 22 104 2 4 6
Proxy Expenses 6 40 1 1 --
Registration Fees 31 65 8 10 62
Dividend Expense -- -- -- -- --
Interest Expense on Reverse Repurchase Agreements -- -- -- -- --
Other Expenses 23 178 27 30 2
- ----------------------------------------------------------------------------------------------------------------------------------
Total Expenses 7,656 16,378 516 746 1,924
- ----------------------------------------------------------------------------------------------------------------------------------
Less:
Waiver of Investment Advisory Fees (1,525) (7,997) (185) (261) (582)
Waiver of Administration Fees (531) (2,194) (66) (97) (168)
Fees Paid Indirectly(1) (261) -- -- -- --
Payment by Affiliate(1) -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Net Expenses 5,339 6,187 265 388 1,174
- ----------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 7,380 202,566 6,234 8,976 27,355
- ----------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net Realized Gain (Loss) on:
Investments 115,351 (61,227) (791) (1,273) 4,554
Securities Sold Short -- -- -- -- --
Futures Contracts 7,134 (5,998) -- -- 22
Written Options -- 833 -- -- --
Swap Contracts -- (253) (924) (991) --
Foreign Currency Transactions (30) 32 -- -- --
Net Change in Unrealized Appreciation
(Depreciation) on:
Investments 33,283 (133,721) (1,250) (2,388) (340)
Affiliated Investments -- -- -- -- --
Securities Sold Short -- -- -- -- --
Futures Contracts (788) (2,991) -- -- (46)
Written Options -- 506 -- -- --
Swap Contracts -- 176 (13,128) (46,819) --
Foreign Capital Gains Tax -- -- -- -- --
Foreign Currency Transactions -- (1,399) -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $162,330 $ (1,476) $ (9,859) $(42,495) $31,545
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
EMERGING
INTERNATIONAL WORLD EQUITY MARKETS
EQUITY EX-US DEBT
FUND FUND FUND(4)
- ----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 46,088 $ 15,338 $ 10
Dividends from Affiliated Investments(1) 716 393 --
Interest 1,933 2,286 10,840
Security Lending Income -- Net 1,268 186 46
Less: Foreign Taxes Withheld (5,134) (1,615) (210)
- ----------------------------------------------------------------------------------------------------------------------------------
Total Investment Income 44,871 16,588 10,686
- ----------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 8,550 3,227 1,526
Administration Fees 847 293 90
Trustees' Fees 23 6 2
Shareholder Service Fees* -- -- --
Custodian/Wire Agent Fees 931 683 23
Professional Fees 68 17 7
Printing Fees 40 10 3
Proxy Expenses 18 2 --
Registration Fees -- 31 35
Dividend Expense -- -- --
Interest Expense on Reverse Repurchase Agreements 102 137 --
Other Expenses 75 42 6
- ----------------------------------------------------------------------------------------------------------------------------------
Total Expenses 10,654 4,448 1,692
- ----------------------------------------------------------------------------------------------------------------------------------
Less:
Waiver of Investment Advisory Fees (3,670) (601) (614)
Waiver of Administration Fees (847) (293) (90)
Fees Paid Indirectly(1) (124) (8) --
Payment by Affiliate(1) -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Net Expenses 6,013 3,546 988
- ----------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 38,858 13,042 9,698
- ----------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net Realized Gain (Loss) on:
Investments 339,502 43,479 2,863
Securities Sold Short -- -- --
Futures Contracts 7,577 5,206 --
Written Options 15 4 --
Swap Contracts 335 480 114
Foreign Currency Transactions 4,671 4,234 12
Net Change in Unrealized Appreciation
(Depreciation) on:
Investments 66,190 90,665 (16,685)
Affiliated Investments -- -- --
Securities Sold Short -- -- --
Futures Contracts (2,573) (1,853) --
Written Options 100 50 --
Swap Contracts (341) (464) 65
Foreign Capital Gains Tax (38) (109) --
Foreign Currency Transactions (277) (484) 486
- ----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $454,019 $154,250 $ (3,447)
- ----------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 187
Statements of Changes in Net Assets ($ Thousands)
For the years or period ended May 31,
- ------------------------------------------------------------------------------------------------------------------------------------
LARGE CAP LARGE CAP
DISCIPLINED DIVERSIFIED
LARGE CAP FUND EQUITY FUND ALPHA FUND (3)
- ------------------------------------------------------------------------------------------------------------------------------------
2006 2005 2006 2005 2006
- ------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 17,264 $ 29,226 $ 90,360 $ 49,979 $ 604
Net Realized Gain (Loss) from Investments,
Securities Sold Short, Written Options,
Futures Contracts and Swap Contracts 181,097(4) 44,488 265,538 56,088 855
Net Realized Gain (Loss) on Foreign Currency
Transactions -- -- (1,945) -- --
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Affiliated
Investments, Securities Sold Short, Written
Options, Futures Contracts and Swap Contracts (59,095) 81,227 18,798 192,876 (2,457)
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency
Transactions -- -- (53) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 139,266 154,941 372,698 298,943 (998)
- ------------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (19,617) (27,730) (77,248) (45,577) (167)
Class T -- (5) -- -- --
Net Realized Gains:
Class A -- -- (203,409) (23,335) --
Class T -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (19,617) (27,735) (280,657) (68,912) (167)
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 64,999 206,914 1,990,928(2) 1,336,678(2) 154,549
Reinvestment of Dividends & Distributions 18,627 26,686 278,155 68,680 117
Cost of Shares Redeemed (1,153,807)(6) (396,899) (954,069) (389,069) (14,455)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions (1,070,181) (163,299) 1,315,014 1,016,289 140,211
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS T:
Proceeds from Shares Issued -- 1,475 -- -- --
Reinvestment of Dividends & Distributions -- 5 -- -- --
Cost of Shares Redeemed (36) (1,483) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Decrease in Net Assets Derived from
Class T Transactions (36) (3) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions (1,070,217) (163,302) 1,315,014 1,016,289 140,211
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (950,568) (36,096) 1,407,055 1,246,320 139,046
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 1,751,785 1,787,881 3,531,361 2,285,041 --
- ------------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 801,217 $ 1,751,785 $4,938,416 $3,531,361 $139,046
- ------------------------------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income
Included in Net Assets at Period End $ 2,683 $ 5,023 $ 23,495 $ 9,088 $ 469
- ------------------------------------------------------------------------------------------------------------------------------------
(1) See Note 4 in the Notes to Financial Statements for additional information.
(2) Includes subscriptions as a result of an in-kind transfers of securities
(see Note 8).
(3) The Large Cap Diversified Alpha Fund commenced operations on
February 28, 2006.
(4) Includes realized gain of $49,349 ($Thousands) due to in-kind redemptions
(see Note 8).
(5) Includes realized gain of $4,232 ($Thousands) due to in-kind redemptions
(see Note 8).
(6) Includes redemptions as a result of in-kind transfer 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.
- --------------------------------------------------------------------------------
188 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- ------------------------------------------------------------------------------------------------------------------------------------
LARGE CAP SMALL/MID CAP
INDEX FUND SMALL CAP FUND EQUITY FUND
- ------------------------------------------------------------------------------------------------------------------------------------
2006 2005 2006 2005 2006 2005
- ------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 6,331 $ 5,782 $ 8,079 $ 6,766 $ 7,380 $ 2,726
Net Realized Gain (Loss) from Investments,
Securities Sold Short, Written Options,
Futures Contracts and Swap Contracts 4,064 481 252,103(5) 55,491 122,485 22,479
Net Realized Gain (Loss) on Foreign Currency
Transactions -- -- (7) (43) (30) (15)
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Affiliated
Investments, Securities Sold Short, Written
Options, Futures Contracts and Swap Contracts 18,810 21,849 46,908 83,945 32,495 46,060
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency
Transactions -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 29,205 28,112 307,083 146,159 162,330 71,250
- ------------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (5,960) (5,437) (6,512) (5,291) (6,272) (2,258)
Class T -- -- -- -- -- --
Net Realized Gains:
Class A (3,638) (576) (132,939) (179,060) (48,124) (6,068)
Class T -- -- (4) (22) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (9,598) (6,013) (139,455) (184,373) (54,396) (8,326)
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 89,506 66,334 553,160(2) 327,341 560,033(2) 367,596(2)
Reinvestment of Dividends & Distributions 8,989 5,866 132,742 176,915 54,236 8,299
Cost of Shares Redeemed (71,721) (58,307) (513,260)(6) (164,415) (274,460) (93,690)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 26,774 13,893 172,642 339,841 339,809 282,205
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS T:
Proceeds from Shares Issued -- -- -- 529 -- --
Reinvestment of Dividends & Distributions -- -- 3 22 -- --
Cost of Shares Redeemed -- -- (117) (656) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Decrease in Net Assets Derived from
Class T Transactions -- -- (114) (105) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 26,774 13,893 172,528 339,736 339,809 282,205
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 46,381 35,992 340,156 301,522 447,743 345,129
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 320,703 284,711 1,610,982 1,309,460 768,897 423,768
- ------------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $367,084 $ 320,703 $1,951,138 $1,610,982 $1,216,640 $768,897
- ------------------------------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income
Included in Net Assets at Period End $ 1,433 $ 1,046 $ 3,575 $ 1,594 $ 2,130 $ 796
- ------------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
CORE FIXED
INCOME FUND
- --------------------------------------------------------------------------------
2006 2005
- --------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 202,566 $ 148,491
Net Realized Gain (Loss) from Investments,
Securities Sold Short, Written Options,
Futures Contracts and Swap Contracts (66,645) 39,693
Net Realized Gain (Loss) on Foreign Currency
Transactions 32 90
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Affiliated
Investments, Securities Sold Short, Written
Options, Futures Contracts and Swap Contracts (136,030) 54,070
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency
Transactions (1,399) 919
- --------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations (1,476) 243,263
- --------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (210,525) (153,183)
Class T -- --
Net Realized Gains:
Class A (3,202) (39,708)
Class T -- --
- --------------------------------------------------------------------------------
Total Dividends and Distributions (213,727) (192,891)
- --------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 1,519,017 1,650,471
Reinvestment of Dividends & Distributions 207,316 189,150
Cost of Shares Redeemed (1,129,976) (699,617)
- --------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 596,357 1,140,004
- --------------------------------------------------------------------------------
CLASS T:
Proceeds from Shares Issued -- --
Reinvestment of Dividends & Distributions -- --
Cost of Shares Redeemed -- --
- --------------------------------------------------------------------------------
Decrease in Net Assets Derived from
Class T Transactions -- --
- --------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 596,357 1,140,004
- --------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 381,154 1,190,376
- --------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 4,265,249 3,074,873
- --------------------------------------------------------------------------------
END OF PERIOD $ 4,646,403 $4,265,249
- --------------------------------------------------------------------------------
Undistributed Net Investment Income
Included in Net Assets at Period End $ 46 $ 402
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 189
Statements of Changes in Net Assets ($ Thousands)
For the years or period ended May 31,
- ------------------------------------------------------------------------------------------------------------------------------------
LONG EXTENDED
DURATION DURATION HIGH YIELD
FUND FUND BOND FUND(2)
- ------------------------------------------------------------------------------------------------------------------------------------
2006 2005 2006 2005 2006
- ------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 6,234 $ 1,815 $ 8,976 $ 2,326 $ 27,355
Net Realized Gain (Loss) from
Investments, Written Options,
Futures Contracts and Swap Contracts (1,715) 1,921 (2,264) 6,106 4,576
Net Realized Gain (Loss) on Foreign
Currency Transactions -- -- -- -- --
Net Change in Unrealized Appreciation
(Depreciation) on Investments,
Written Options, Futures Contracts
and Swap Contracts (14,378) 2,524 (49,207) 16,294 (386)
Net Change in Unrealized Depreciation on
Foreign Capital Gains Tax -- -- -- -- --
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency
Transactions -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting from Operations (9,859) 6,260 (42,495) 24,726 31,545
- ------------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (7,087) (2,385) (12,291) (4,492) (27,352)
Net Realized Gains:
Class A (1,170) (455) (4,323) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (8,257) (2,840) (16,614) (4,492) (27,352)
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 119,916 65,973 135,387 108,470 896,573
Reinvestment of Dividends & Distributions 8,257 2,840 16,614 4,489 26,937
Cost of Shares Redeemed (20,787) (2,496) (24,748) (6,201) (65,332)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 107,386 66,317 127,253 106,758 858,178
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 107,386 66,317 127,253 106,758 858,178
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 89,270 69,737 68,144 126,992 862,371
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 76,054 6,317 154,779 27,787 --
- ------------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $165,324 $76,054 $222,923 $154,779 $862,371
- ------------------------------------------------------------------------------------------------------------------------------------
Undistributed (Distributions in excess of)
Net Investment Income Included in Net
Assets at Period End $ (873) $ 8 $ (1,598) $ 4 $ 3
- ------------------------------------------------------------------------------------------------------------------------------------
(1) See Note 4 in the Notes to Financial Statements for additional information.
(2) The High Yield Bond Fund commenced operations on December 5, 2005.
(3) The World Equity Ex-US Fund commenced operations on March 28, 2005.
(4) The Emerging Markets Debt Fund commenced operations on December 5, 2005.
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
190 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- ------------------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL WORLD EQUITY EMERGING MARKETS
EQUITY FUND EX-US FUND DEBT FUND(4)
- ------------------------------------------------------------------------------------------------------------------------------------
2006 2005 2006 2005 2006
- ------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 38,858 $ 35,035 $ 13,042 $ 1,625 $ 9,698
Net Realized Gain (Loss) from
Investments, Written Options,
Futures Contracts and Swap Contracts 347,429 132,192 49,169 (911) 2,977
Net Realized Gain (Loss) on Foreign
Currency Transactions 4,671 (1,086) 4,234 (132) 12
Net Change in Unrealized Appreciation
(Depreciation) on Investments,
Written Options, Futures Contracts
and Swap Contracts 63,376 55,629 88,398 (4,773) (16,620)
Net Change in Unrealized Depreciation on
Foreign Capital Gains Tax (38) -- (109) -- --
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency
Transactions (277) (357) (484) (11) 486
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting from Operations 454,019 221,413 154,250 (4,202) (3,447)
- ------------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (49,222) (46,157) (5,570) -- (5,375)
Net Realized Gains:
Class A (14,153) -- (572) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (63,375) (46,157) (6,142) -- (5,375)
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 241,196 469,667 666,123 246,730 523,743
Reinvestment of Dividends & Distributions 61,850 45,541 5,899 -- 5,250
Cost of Shares Redeemed (713,959) (404,286) (142,944) (8,132) (40,363)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions (410,913) 110,922 526,078 238,598 488,630
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions (410,913) 110,992 526,078 238,598 488,630
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (20,269) 286,178 674,186 234,396 479,808
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 1,677,254 1,391,076 234,396 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $1,656,985 $1,677,254 $ 908,582 $234,396 $479,808
- ------------------------------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income
Included in Net Assets at Period End $ 27,089 $ 14,517 $ 15,577 $ 1,493 $ 4,454
- ------------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 191
Financial Highlights
For the years or periods ended May 31,
For a share outstanding throughout each period
- -----------------------------------------------------------------------------------------------------------------------------
Net Realized
and Distributions
Net Asset Unrealized Dividends from Total
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+
- -----------------------------------------------------------------------------------------------------------------------------
LARGE CAP FUND
Class A
2006 $ 15.53 $0.24(5) $ 1.44(5) $ 1.68 $(0.28) $ -- $(0.28) $ 16.93 10.87%
2005 14.47 0.25(5) 1.05(5) 1.30 (0.24) -- (0.24) 15.53 9.02
2004 12.41 0.18(5) 2.09(5) 2.27 (0.21) -- (0.21) 14.47 18.37
2003 13.82 0.16(5) (1.41)(5) (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)
LARGE CAP DISCIPLINED EQUITY FUND
Class A
2006 $120.48 $2.61(5) $ 8.47(5) $11.08 $(2.19) $(5.77) $(7.96) $123.60 9.33%
2005 111.81 1.96(5) 9.40(5) 11.36 (1.79) (0.90) (2.69) 120.48 10.26
2004(1)++ 100.00 0.66(5) 12.51(5) 13.17 (0.54) (0.82) (1.36) 111.81 13.23
LARGE CAP DIVERSIFIED ALPHA FUND
Class A
2006(2) $ 10.00 $0.04(5) $(0.09)(5) $(0.05) $(0.01) $ -- $(0.01) $ 9.94 (0.49)%
LARGE CAP INDEX FUND
Class A
2006 $106.24 $2.06(5) $ 7.77(5) $ 9.83 $(1.94) $(1.11) $(3.05) $113.02 9.34%
2005 99.12 1.93(5) 7.20(5) 9.13 (1.82) (0.19) (2.01) 106.24 9.29
2004++ 84.90 1.50(5) 14.28(5) 15.78 (1.37) (0.19) (1.56) 99.12 18.71
2003++ 93.40 1.10 (8.50)(6) (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
2006 $ 14.27 $0.07(5) $ 2.55(5) $ 2.62 $(0.06) $(1.31) $(1.37) $ 15.52 18.93%
2005 14.70 0.07(5) 1.38(5) 1.45 (0.05) (1.83) (1.88) 14.27 9.81
2004 11.60 0.06(5) 3.59(5) 3.65 (0.07) (0.48) (0.55) 14.70 31.76
2003 12.53 0.07(5) (0.94)(5) (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)
SMALL/MID CAP EQUITY FUND
Class A
2006 $119.62 $0.92(5) $19.68(5) $20.60 $(0.77) $(5.67) $(6.44) $133.78 17.51%
2005 107.03 0.53(5) 13.75(5) 14.28 (0.47) (1.22) (1.69) 119.62 13.38
2004(4) 100.00 0.22(5) 6.93(5) 7.15 (0.12) -- (0.12) 107.03 7.15
For the years or periods ended May 31,
For a share outstanding throughout each period
- ---------------------------------------------------------------------------------------------------
Ratio of
Expenses Ratio of
to Average Expenses
Net Assets to Average
(Excluding Net Assets Ratio of Net
Ratio of Net Fees Paid (Excluding Investment
Net Assets Expenses Indirectly Fees Paid Income Portfolio
End of Period to Average and including Indirectly to Average Turnover
($Thousands) Net Assets Waivers) and Waivers) Net Assets Rate+
- ---------------------------------------------------------------------------------------------------
LARGE CAP FUND
Class A
2006 $ 801,217 0.25% 0.26% 0.48% 1.47% 103%
2005 1,751,751 0.26 0.26 0.47 1.67 43
2004 1,787,850 0.26 0.26 0.48 1.34 109
2003 3,008,463 0.26 0.26 0.47 1.39 51
2002 2,938,135 0.26 0.26 0.47 1.03 65
LARGE CAP DISCIPLINED EQUITY FUND
Class A
2006 $4,938,416 0.24% 0.24% 0.47% 2.10% 140%
2005 3,531,361 0.31 0.31 0.47 1.69 71
2004(1)++ 2,285,041 0.33 0.33 0.47 1.33 67
LARGE CAP DIVERSIFIED ALPHA FUND
Class A
2006(2) $ 139,046 0.45%* 0.45%* 0.66% 1.70% 47%
LARGE CAP INDEX FUND
Class A
2006 $ 367,084 0.08% 0.08% 0.24% 1.84% 20%
2005 320,703 0.13 0.13 0.24 1.89 8
2004++ 284,711 0.16 0.16 0.24 1.58 6
2003++ 142,612 0.20 0.20 0.25 1.67 12
2002(3)++ 39,763 0.20 0.20 0.39 1.30 1
SMALL CAP FUND
Class A
2006 $1,951,138 0.52% 0.54% 0.72% 0.44% 119%
2005 1,610,876 0.54 0.54 0.72 0.46 94
2004 1,309,254 0.54 0.54 0.72 0.45 135
2003 1,193,935 0.54 0.54 0.72 0.67 97
2002 1,102,199 0.54 0.54 0.71 0.54 115
SMALL/MID CAP EQUITY FUND
Class A
2006 $1,216,640 0.50% 0.53% 0.72% 0.69% 123%
2005 768,897 0.62 0.62 0.72 0.47 98
2004(4) 423,768 0.65 0.65 0.73 0.45 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.
* The expense ratio includes dividend expense. Had this expense been excluded
the ratio would have been 0.34%.
(1) Commenced operations on August 28, 2003. All ratios for the period have
been annualized.
(2) Commenced operations on February 28, 2006. 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 December 15, 2003. All ratios for the period have
been annualized.
(5) Per share net investment income and net realized and unrealized gains
(losses) calculated using average shares.
(6) 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.
- -------------------------------------------------------------------------------
192 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- -----------------------------------------------------------------------------------------------------------------------------
Net Realized
and Distributions
Net Asset Unrealized Dividends from Total
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
2006 $10.34 $0.47(3) $(0.48)(3) $(0.01) $(0.48) $(0.01) $(0.49) $ 9.84 (0.09)%
2005 10.19 0.41(3) 0.27(3) 0.68 (0.42) (0.11) (0.53) 10.34 6.77
2004 10.61 0.38(3) (0.26)(3) 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
LONG DURATION FUND
Class A
2006 $10.56 $0.46(3) $(1.07)(3) $(0.61) $(0.54) $(0.10) $(0.64) $ 9.31 (6.08)%
2005 9.77 0.42(3) 1.03(3) 1.45 (0.54) (0.12) (0.66) 10.56 15.26
2004(1) 10.00 0.05(3) (0.23)(3) (0.18) (0.05) -- (0.05) 9.77 (1.78)
EXTENDED DURATION FUND
Class A
2006 $11.96 $0.48(3) $(2.68)(3) $(2.20) $(0.68) $(0.22) $(0.90) $ 8.86 (19.24)%
2005 9.53 0.43(3) 2.84(3) 3.27 (0.84) -- (0.84) 11.96 35.74
2004(1) 10.00 0.05(3) (0.44)(3) (0.39) (0.08) -- (0.08) 9.53 (3.88)
HIGH YIELD BOND FUND
Class A
2006(2) $10.00 $0.40(3) $ 0.08(3) $ 0.48 $(0.40) $ -- $(0.40) $10.08 4.85%
INTERNATIONAL EQUITY FUND
Class A
2006 $11.15 $0.29(3) $ 3.09(3) $ 3.38 $(0.37) $(0.11) $(0.48) $14.05 30.77%
2005 10.06 0.23(3) 1.16(3) 1.39 (0.30) -- (0.30) 11.15 13.73
2004 7.76 0.18(3) 2.28(3) 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)
WORLD EQUITY EX-US FUND
Class A
2006 $ 9.81 $0.27(3) $ 3.01(3) $ 3.28 $(0.09) $(0.01) $(0.10) $12.99 33.52%
2005(4) 10.00 0.07(3) (0.26)(3) (0.19) -- -- -- 9.81 (1.90)
EMERGING MARKETS DEBT FUND
Class A
2006(2) $10.00 $0.27(3) $(0.17)(3) $ 0.10 $(0.13) $ -- $(0.13) $ 9.97 1.00%
- ---------------------------------------------------------------------------------------------------
Ratio of
Expenses Ratio of
to Average Expenses
Net Assets to Average
(Excluding Net Assets Ratio of Net
Ratio of Net Fees Paid (Excluding Investment
Net Assets Expenses Indirectly Fees Paid Income Portfolio
End of Period to Average and including Indirectly to Average Turnover
($Thousands) Net Assets Waivers) and Waivers) Net Assets Rate+
- ---------------------------------------------------------------------------------------------------
CORE FIXED INCOME FUND
Class A
2006 $4,646,403 0.14% 0.14% 0.37% 4.62% 545%
2005 4,265,249 0.15 0.15 0.37 3.94 615
2004 3,074,873 0.19* 0.19* 0.38 3.62 532
2003 2,431,368 0.18 0.18 0.37 4.79 436
2002 2,354,581 0.18 0.18 0.36 5.67 365
LONG DURATION FUND
Class A
2006 $ 165,324 0.20% 0.20% 0.39% 4.69% 113%
2005 76,054 0.20 0.20 0.41 4.05 449
2004(1) 6,317 0.20 0.20 0.57 5.02 31
EXTENDED DURATION FUND
Class A
2006 $ 222,923 0.20% 0.20% 0.39% 4.64% 170%
2005 154,779 0.20 0.20 0.41 3.99 379
2004(1) 27,787 0.20 0.20 0.44 5.17 42
HIGH YIELD BOND FUND
Class A
2006(2) $ 862,371 0.35% 0.35% 0.57% 8.15% 58%
INTERNATIONAL EQUITY FUND
Class A
2006 $1,656,985 0.36% 0.36% 0.63% 2.30% 116%
2005 1,677,254 0.43 0.43 0.58 2.12 48
2004 1,391,076 0.48 0.48 0.65 1.92 80
2003 1,176,097 0.48 0.48 0.68 1.85 58
2002 1,259,408 0.48 0.48 0.66 1.30 84
WORLD EQUITY EX-US FUND
Class A
2006 $ 908,582 0.60% 0.61% 0.76% 2.22% 104%
2005(4) 234,396 0.60 0.60 0.70 4.35 15
EMERGING MARKETS DEBT FUND
Class A
2006(2) $ 479,808 0.55% 0.55% 0.95% 5.43% 51%
* 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) Commenced operations on December 5, 2005. All ratios for the period have
been annualized.
(3) Per share net investment income and net realized and unrealized gains
(losses) calculated using average shares.
(4) Commenced operations on March 28, 2005. All ratios for the period 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.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 193
Notes to Financial Statements
MAY 31, 2006
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 13 Funds: The Large Cap, Large
Cap Disciplined Equity, Large Cap Diversified Alpha, Large Cap Index, Small Cap,
Small/Mid Cap Equity, Core Fixed Income, Long Duration, Extended Duration, High
Yield Bond, International Equity, World Equity Ex-US and Emerging Markets Debt
Funds (each a "Fund," collectively, the "Funds") each of which are diversified
Funds with the exception of the Emerging Markets Debt Fund. The Trust is
registered to offer Class A shares of all Funds. The Trust was registered to
offer Class T shares of Large Cap and Small Cap Funds. On October 31, 2005, the
Funds' Board of Trustees approved the closing of Class T Shares. Class T Shares
were closed on January 24, 2006. The assets of each Fund are segregated, 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
U.S. generally accepted accounting principles, requires management to make
estimates and assumptions that affect the reported amount of assets and
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of increases and decreases in
net assets from operations during the reporting period. Actual results could
differ from those estimates.
SECURITY VALUATION -- Securities listed on a securities exchange, market or
automated quotation system for which quotations are readily available (except
for securities traded on NASDAQ) 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 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
- --------------------------------------------------------------------------------
194 SEI Institutional Investments Trust / Annual Report / May 31, 2006
exceed levels established by the administrator, the administrator notifies the
adviser or sub-adviser for any Fund holding the relevant securities that such
limits have been exceeded. In such event, the adviser or sub-adviser makes the
determination whether a Fair Value Committee Meeting should be called based on
the information provided.
The International Equity and World Equity Ex-US Funds that hold international
securities also use a third-party fair valuation vendor. The vendor provides a
fair value for foreign securities held by these Funds based on certain factors
and methodologies (involving, generally, tracking valuation correlations between
the U.S. market and each non-U.S. security). Values from the fair value vendor
are applied in the event that there is a movement in the U.S. market that
exceeds a specific threshold that has been established by the Committee. The
Committee has also established a "confidence interval" which is used to
determine the level of historical correlation between the value of a specific
foreign security and movements in the U.S. market before a particular security
will be fair valued when the threshold is exceeded. In the event that the
threshold established by the Committee is exceeded on a specific day, these
Funds that hold international securities will value the non-U.S. securities 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 and expense is recognized on the ex-dividend
date, and interest income or expense 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 each Fund's policy that repurchase
agreements are fully collateralized by U.S. Treasury and Government Agency
securities. All collateral is held by the Fund's custodian bank or a bank with
which the custodian bank has entered into a subcustodian agreement, or is
segregated in the Federal Reserve Book Entry System. In connection with
transactions in repurchase agreements, if the seller defaults and the value of
the collateral declines, or if the seller enters an insolvency proceeding,
realization of the collateral by the Fund may be delayed or limited.
REVERSE REPURCHASE AGREEMENTS -- The International Equity and World Equity Ex-US
Funds may issue reverse repurchase agreements. A reverse repurchase agreement
involves the sale of portfolio assets together with an agreement to repurchase
the same assets later at a fixed price. Additional assets are maintained in an
account with the broker. The segregated assets may consist of cash, U.S.
Government securities, or other liquid securities at least equal in value to the
obligations under the reverse repurchase agreements. In the event the buyer of
securities under a reverse repurchase agreement files for bankruptcy or becomes
insolvent, the Fund's use of the proceeds under the agreement may be restricted
pending a determination by the other party, or its trustee or receiver, whether
to enforce the obligation to repurchase the securities. Reverse Repurchase
agreements outstanding as of May 31, 2006 were as follows:
Principal
Amount Value
Fund ($ Thousands) Counterparty ($ Thousands)
- --------------------------------------------------------------------------------
International Bear Stearns
Equity Fund $16,901 5.13%, Due 6/22/06 $16,901
Merrill Lynch
3,228 4.95%, Due 6/7/06 3,228
Bear Stearns
2,594 5.07%, Due 6/22/06 2,594
Bear Stearns
3,991 5.16%, Due 6/22/06 3,991
World Equity Bear Stearns
Ex-US Fund 18,255 5.13%, Due 6/22/06 18,255
Merrill Lynch
3,167 4.95%, Due 6/7/06 3,167
Bear Stearns
2,594 5.07%, Due 6/22/06 2,594
Bear Stearns
3,991 5.16%, Due 6/22/06 3,991
COMPENSATING BALANCES -- 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.
FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds investing in
international securities are maintained in U.S. dollars on the following basis:
(I) market value of investment securities, assets and liabilities at the current
rate of exchange; and
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 195
Notes to Financial Statements (Continued)
MAY 31, 2006
(II) purchases and sales of investment securities, income and expenses at the
relevant rates of exchange prevailing on the respective dates of such
transactions.
The Funds do not isolate that portion of gains and losses on investments in
equity securities that is due to changes in the foreign exchange rates from that
which is due to changes in market prices of equity securities.
The Funds report certain foreign-currency-related transactions as components of
realized gains for financial reporting purposes, whereas such components are
treated as ordinary income for Federal income tax purposes.
FORWARD FOREIGN CURRENCY CONTRACTS -- The 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 Large Cap Disciplined Equity, Small
Cap, Small/Mid Cap Equity, Core Fixed Income, International Equity, World Equity
Ex-US and Emerging Markets Debt 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 May 31, 2006, the Small
Cap and Small/Mid Cap Equity 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, 2006 with the exception of the Long Duration, Extended
Duration and Emerging Markets Debt Funds. The Funds' investments in futures
contracts are 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.
OPTIONS WRITTEN/PURCHASED -- The Large Cap Disciplined Equity, Core Fixed
Income, International Equity and World Equity Ex-US Funds invest in financial
options contracts primarily 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 Diversified Alpha, Large Cap Index,
Small Cap, Small/Mid Cap Equity, Long Duration, Extended Duration, High Yield
Bond and Emerging Markets Debt 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.
- --------------------------------------------------------------------------------
196 SEI Institutional Investments Trust / Annual Report / May 31, 2006
Written options transactions entered into during the year ended May 31, 2006 are
summarized as follows:
- -------------------------------------------------------------------------------------------
LARGE CAP DISCIPLINED CORE FIXED
EQUITY FUND INCOME FUND
- -------------------------------------------------------------------------------------------
Number of Premium Number of Premium
Contracts ($ Thousands) Contracts ($ Thousands)
- -------------------------------------------------------------------------------------------
Balance at
beginning of year -- $ -- 1,144 $ 627
Written 1,034 530 2,639 1,307
Expired -- -- (1,982) (1,009)
Closing buys -- -- (1,132) (454)
- -------------------------------------------------------------------------------------------
Balance at end of year 1,034 $530 669 $ 471
- -------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------
INTERNATIONAL WORLD EQUITY
EQUITY FUND EX-US FUND
- ----------------------------------------------------------------------------------------
Number of Premium Number of Premium
Contracts ($ Thousands) Contracts ($ Thousands)
- ----------------------------------------------------------------------------------------
Balance at
beginning of year -- $ -- -- $ --
Written 2,580 204 2,322 156
Expired (2,320) (86) (2,222) (86)
Closing buys -- -- -- --
- ----------------------------------------------------------------------------------------
Balance at end of year 260 $118 100 $ 70
- ----------------------------------------------------------------------------------------
At May 31, 2006 the Funds had cash and/or securities at least equal to value of
written options.
SECURITIES SOLD SHORT -- As consistent with the Funds' investment objectives,
the Funds may engage in short sales that are "uncovered." Uncovered short sales
are transactions under which a Fund sells a security it does not own. To
complete such a transaction, the Fund must borrow the security to make delivery
to the buyer. The Fund then is obligated to replace the security borrowed by
purchasing the security at the market price at the time of the replacement. The
price at such time may be more or less than the price at which the security was
sold by the Fund. Until the security is replaced, the Fund is required to pay
the lender amounts equal to any dividends or interest that accrue during the
period of the loan. Dividends and interest are shown as an expense for financial
reporting purposes. To borrow the security, the Fund also may be required to pay
a premium, which would decrease proceeds of the security sold. The proceeds of
the short sale are retained by the broker, to the extent necessary to meet
margin requirements, until the short position is closed out. A gain, limited to
the price at which the Fund sold the security short, or a loss, unlimited in
size, will be recognized upon the close of a short sale.
Until a Fund closes its short position or replaces the borrowed security, the
Fund will: (a) maintain a segregated account containing cash or liquid
securities at such a level that (i) the amount deposited in the account plus the
amount deposited with the broker as collateral will equal the current value of
the security sold short; and (ii) the amount deposited in the segregated account
plus the amount deposited with the broker as collateral will not be less than
the market value of the security at the time the security was sold short, or (b)
otherwise cover the Fund's short positions.
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. 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. Total return swaps
allow an investor to benefit from the cash flow without ever actually owning the
underlying security. The receiver must pay any decline in value to the payer at
the end of the total return swaps. However, the investor does not need to make a
payment if there is no decline in price. Payments can be made on various
indices, bonds (i.e. mortgage backed securities, bank debt and corporate), loans
or commodities. The value of a total return swap is equal to the change in value
of the underlying asset versus the accrued income payment based on LIBOR (London
Interbank Offered Rate) or some other form of indices on the notional amount.
Interest rate swaps involve the exchange by a Fund with another party of their
respective commitments to pay or receive interest (e.g., an exchange of floating
rate payments for fixed rate payments) with respect to a notional amount of
principal to manage the Fund's exposure to interest rates. Payments received or
made are recorded as realized gains or loss. The Fund could be exposed to credit
or market risk due to unfavorable changes in the fluctuation of interest rates
or if the counterparty defaults on its obligation to perform. Risk of loss may
exceed amounts recognized on the statement of assets and liabilities. Interest
rate swap contracts outstanding at period end, if any, are listed after the
Fund's portfolio. 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.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 197
Notes to Financial Statements (Continued)
MAY 31, 2006
Entering into swap agreements involves, to varying degrees, elements of credit
and market risk in excess of the amounts recognized on the Statement of Net
Assets or 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 Large Cap Disciplined Equity, Large Cap
Diversified Alpha, Core Fixed Income, International Equity and World Equity
Ex-US Funds 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.
COLLATERALIZED DEBT OBLIGATIONS -- The Funds may invest in collateralized debt
obligations ("CDOs"), which include collateralized loan obligations ("CLOs") and
other similarly structured securities. CLOs are a type of asset-backed
securities. A CLO is a trust typically collateralized by a pool of loans, which
may include, among others, domestic and foreign senior secured loans, senior
unsecured loans, and subordinate corporate loans, including loans that may be
rated below investment grade or equivalent unrated loans. CDOs may charge
management fees and administrative expenses. For CDOs, the cashflows from the
trust are split into two or more portions, called tranches, varying in risk and
yield. The riskiest portion is the "equity" tranche which bears the bulk of
defaults from the bonds or loans in the trust and serves to protect the other,
more senior tranches from default in all but the most severe circumstances.
Since it is partially protected from defaults, a senior tranche from a CDO trust
typically has a higher rating and lower yield than their underlying securities,
and can be rated investment grade. Despite the protection from the equity
tranche, CDO tranches can experience substantial losses due to actual defaults,
increased sensitivity to defaults due to collateral default and disappearance of
protecting tranches, market anticipation of defaults, as well as aversion to CDO
securities as a class.
The risks of an investment in a CDO depend largely on the type of the collateral
securities and the class of the CDO in which a Fund invests. Normally, CLOs and
other CDOs are privately offered and sold, and thus, are not registered under
the securities laws. As a result, investments in CDOs may be characterized by
the Funds as illiquid securities, however an active dealer market may exist for
CDOs allowing a CDO to qualify for Rule 144A transactions. In addition to the
normal risks associated with fixed income securities (e.g., interest rate risk
and default risk), CDOs carry additional risks including, but are not limited
to: (i) the possibility that distributions from collateral securities will not
be adequate to make interest or other payments; (ii) the quality of the
collateral may decline in value or default; (iii) the Funds may invest in CDOs
that are subordinate to other classes; and (iv) the complex structure of the
security may not be fully understood at the time of investment and may produce
disputes with the issuer or unexpected investment results.
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 Diversified Alpha, Large Cap Index, Small Cap,
Small/Mid Cap Equity, and Emerging Markets Debt Funds; declared daily and paid
monthly for the Core Fixed Income, Long Duration, Extended Duration and High
Yield Bond 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. Any net realized capital gains will be distributed at
least annually by the Funds.
- --------------------------------------------------------------------------------
198 SEI Institutional Investments Trust / Annual Report / May 31, 2006
RESTRICTED SECURITIES -- At May 31, 2006, the following Funds owned private
placement investments that were purchased through private offerings or acquired
through initial public offerings and cannot be sold without prior registration
under the Securities Act of 1933 or pursuant to an exemption therefrom. In
addition, the Funds have generally agreed to further restrictions on the
disposition of certain holdings as set forth in various agreements entered into
in connection with the purchase of these investments. These investments are
valued at fair value as determined in accordance with the procedures approved by
the Board of Trustees. The acquisition dates of these investments, the
enforceable right to acquire these securities, along with their cost and values
at May 31, 2006, were as follows:
Number Acquisition Right to Cost Market Value % of Net
of Shares Date Acquire Date ($ Thousands) ($ Thousands) Assets
- -------------------------------------------------------------------------------------------------------------------
SMALL CAP FUND
Parkervision Warrants 7,500 6/20/05 6/20/05 $ 16 $ 25 0.00%
Parkervision Warrants 8,250 3/28/06 3/28/06 -- 28 0.00
Synenco Energy 27,419 8/24/05 8/24/05 384 590 0.03
Na Oil Sands 245,500 5/31/06 5/31/06 2,681 2,676 0.14
------ ------ ----
$3,081 $3,319 0.17%
SMALL/MID CAP EQUITY FUND
Parkervision Warrants 6,250 6/20/05 6/20/05 $ 13 $ 21 0.00%
Parkervision Warrants 14,500 3/28/06 3/28/06 -- 49 0.00
Synenco Energy 12,051 8/24/05 8/24/05 169 259 0.02
Na Oil Sands 160,000 5/31/06 5/31/06 1,748 1,744 0.15
------ ------ ----
$1,930 $2,073 0.17%
INVESTMENTS IN REAL ESTATE INVESTMENT TRUSTS ("REITS") -- Dividend income is
recorded based on the income included in distributions received from the REIT
investments using published REIT reclassifications including some management
estimates when actual amounts are not available. Distributions received in
excess of this estimated amount are recorded as a reduction of the cost of
investments or reclassified to capital gains. The actual amounts of income,
return of capital, and capital gains are only determined by each REIT after its
fiscal year-end, and may differ from the estimated amounts.
3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
ADMINISTRATION AND TRANSFER AGENCY AGREEMENTS -- The Trust and SEI Investments
Global Funds Services (formerly 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, 2006, and
until further notice, the Administrator has voluntarily agreed to waive all of
its fee.
INVESTMENT ADVISORY AGREEMENT -- SEI Investments Management Corporation ("SIMC")
serves as investment adviser (the "Adviser") to each Fund. In connection with
serving as investment adviser, SIMC is entitled to a fee that is calculated
daily and paid monthly based on the average daily net assets of each Fund. SIMC
has voluntarily agreed to waive a portion of its fee so that the total annual
expenses of each Fund will not exceed certain voluntary expense limitations
adopted by SIMC. These waivers may be terminated at any time. Accordingly,
effective October 1, 2005, the advisory fee and voluntary expense limitations
for Class A of each Fund are as follows:
- --------------------------------------------------------------------------------
Advisory Voluntary Expense
Fees Limitations
- --------------------------------------------------------------------------------
Large Cap Fund 0.400% 0.260%
Large Cap Disciplined Equity Fund 0.400 0.220
Large Cap Diversified Alpha Fund 0.400 0.350
Large Cap Index Fund 0.170 0.060
Small Cap Fund 0.650 0.540
Small/Mid Cap Equity Fund 0.650 0.500
Core Fixed Income Fund 0.300 0.140
Long Duration Fund 0.300 0.200
Extended Duration Fund 0.300 0.200
High Yield Bond Fund 0.490 0.350
International Equity Fund 0.505 0.340
World Equity Ex-US Fund 0.550 0.600
Emerging Markets Debt Fund 0.850 0.550
During the period, expenses related to a proxy conducted by the Trust were
charged to the Funds above the cap.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 199
Notes to Financial Statements (Continued)
MAY 31, 2006
Prior to October 1, 2005, advisory fee and voluntary expense limitations for
Class A of each Fund were as follows:
- --------------------------------------------------------------------------------
Advisory Voluntary Expense
Fees Limitations
- --------------------------------------------------------------------------------
Large Cap Fund 0.400% 0.260%
Large Cap Disciplined Equity Fund 0.400 0.300
Large Cap Diversified Alpha Fund --* --*
Large Cap Index Fund 0.170 0.120
Small Cap Fund 0.650 0.540
Small/Mid Cap Equity Fund 0.650 0.600
Core Fixed Income Fund 0.300 0.140
Long Duration Fund 0.300 0.200
Extended Duration Fund 0.300 0.200
High Yield Bond Fund --* --*
International Equity Fund 0.505 0.400
World Equity Ex-US Fund 0.550 0.600
Emerging Markets Debt Fund --* --*
*Not in operations during the period.
As of May 31, 2006, SIMC has entered into investment sub-advisory agreements
with the following parties and pays the sub-advisers out of the fee that it
receives from the Funds:
- --------------------------------------------------------------------------------
Investment Sub-Adviser
- --------------------------------------------------------------------------------
LARGE CAP FUND
AllianceBernstein L.P.
Aronson + Johnson + Ortiz, L.P.
Delaware Management Company
Enhanced Investment Technologies,
LLC (Intech)
Goldman Sachs Asset Management
LSV Asset Management
Montag & Caldwell, Inc.
Quantitative Management Associates, LLC
LARGE CAP DISCIPLINED EQUITY FUND
AlphaSimplex Group, LLC
Analytic Investors, Inc.
Enhanced Investment Technologies,
LLC (Intech)
Quantitative Management Associates, LLC
Smith Breeden Associates, Inc.
LARGE CAP DIVERSIFIED ALPHA FUND
Analytic Investors, Inc.
Aronson + Johnson + Ortiz, L.P.
Delaware Management Company
Enhanced Investment Technologies,
LLC (Intech)
Quantitative Management Associates, LLC
Smith Breeden Associates, Inc.
- --------------------------------------------------------------------------------
Investment Sub-Adviser
- --------------------------------------------------------------------------------
LARGE CAP INDEX FUND
SSgA Funds Management, Inc.
SMALL CAP FUND
Artisan Partners Limited Partnership
BlackRock Advisors, Inc.
Lee Munder Investments Ltd.
David J. Greene and Company, LLC
Delaware Management Company
Integrity Asset Management, LLC
Los Angeles Capital Management
and Equity Research, Inc.
LSV Asset Management
McKinley Capital Management Inc.
Martingale Asset Management, L.P.
Mazama Capital Management, Inc.
Security Capital Research and
Management Incorporated
Wellington Management Company, LLP
SMALL/MID CAP EQUITY FUND
BlackRock Advisors, Inc.
Delaware Management Company
Integrity Asset Management, LLC
Lee Munder Investments, Ltd.
Los Angeles Capital Management
and Equity Research, Inc.
LSV Asset Management
Martingale Asset Management, L.P.
Mazama Capital Management, Inc.
Security Capital Research and
Management Incorporated
Wellington Management Company, LLP
CORE FIXED INCOME FUND
ING Investment Management Co.
Metropolitan West Asset Management LLC
Wells Capital Management, Inc.
Western Asset Management Company
Western Asset Management Company Limited
LONG DURATION FUND
Metropolitan West Asset Management LLC
EXTENDED DURATION FUND
Metropolitan West Asset Management LLC
HIGH YIELD BOND FUND
ING Investment Management Co.
J.P. Morgan Investment Management, Inc.
Metropolitan West Asset Management LLC
Nomura Corporate Research &
Asset Management, Inc.
- --------------------------------------------------------------------------------
200 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- --------------------------------------------------------------------------------
Investment Sub-Adviser
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND
AllianceBernstein L.P.
Capital Guardian Trust Company
Fuller & Thalar Asset Management, Inc.
McKinley Capital Management Inc.
Morgan Stanley Investment
Management Limited
Quantitative Management Associates, LLC
Smith Breeden Associates, Inc.
WORLD EQUITY EX-US FUND
AllianceBernstein L.P.
Capital Guardian Trust Company
Fuller & Thalar Asset Management, Inc.
McKinley Capital Management Inc.
Quantitative Management Associates, LLC
Rexiter Capital Management Limited
Smith Breeden Associates, Inc.
EMERGING MARKETS DEBT FUND
Ashmore Investment Management Limited
Stone Harbor Investment Partners LP
OTHER -- The Distribution Agreement between the Distributor and the Trust
provides that the Distributor may receive compensation on fund transactions
effected for the Trust in accordance with Securities and Exchange Commission
("SEC") rules. Accordingly, it is expected that fund transactions may result in
brokerage commissions being paid to the Distributor. The SEC rules require that
such commissions not exceed usual and customary commissions.
Such commissions for the year ended May 31, 2006 were as follows ($ Thousands):
Large Cap Fund $ 293
Small Cap Fund 566
Small/Mid Cap Equity Fund 417
International Equity Fund 983
World Equity Ex-US Fund 31
------
$2,290
======
Certain officers and/or trustees of the Trust are also officers of the
Administrator or the Adviser. The Trust pays each unaffiliated Trustee an annual
fee for attendance at quarterly, interim and committee meetings. Compensation of
officers and affiliated Trustees of the Trust is paid by the Adviser or
Administrator.
LSV Asset Management (partially-owned subsidiary of SIMC) serves as a
sub-adviser to the Large Cap, Small Cap and Small/Mid Cap Equity Funds. For this
service LSV Asset Management is entitled to receive a fee from SIMC. Such fees
for the year ended May 31, 2006 were as follows ($ Thousands):
Large Cap Fund $ 211
Small Cap Fund 1,036
Small/Mid Cap Equity Fund 727
------
$1,974
======
FEES PAID INDIRECTLY -- The Funds may direct certain fund trades to the
Distributor who pays a portion of the Fund's expenses. Accordingly, the expenses
reduced, which were used to pay third party expenses, can be found on the
Statement of Operations and the effect on the Fund's expense ratio, as a
percentage of the Fund's average daily net assets for the year ended May 31,
2006, can be found on the Financial Highlights.
INVESTMENT IN AFFILIATED REGISTERED INVESTMENT COMPANY -- Pursuant to an
exemptive order issued by the SEC, 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.
INVESTMENT IN AFFILIATED COMPANIES -- The Funds may purchase securities of
certain companies with which it is affiliated to the extent these companies are
represented in its Index.
PAYMENT BY AFFILIATE -- During the year ended May 31, 2006, the Large Cap
Disciplined Equity Fund was reimbursed by a sub-adviser, deemed as a "Payment by
Affiliate" in the Statement of Operations, for sub-advisory fees received in the
amount of $314,306. After terminating its sub-advisory agreement with the Fund,
the sub-adviser agreed to reimburse the Fund for sub-advisory fees received
since their hiring in September 2005.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 201
Notes to Financial Statements (Continued)
MAY 31, 2006
4. CAPITAL SHARE TRANSACTIONS
Capital Share Transactions for the Funds were as follows (Thousands):
- ------------------------------------------------------------------------------------------------------------------------------------
LARGE CAP LARGE CAP
DISCIPLINED DIVERSIFIED
LARGE CAP FUND EQUITY FUND ALPHA FUND(3)
- ------------------------------------------------------------------------------------------------------------------------------------
2006 2005 2006 2005 2006
- ------------------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 3,921 14,001 16,060(1) 11,634(1) 15,405
Shares Issued in Lieu of
Dividends and Distributions 1,141 1,763 2,265 585 11
Shares Redeemed (70,494)(2) (26,594) (7,680) (3,347) (1,423)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions (65,432) (10,830) 10,645 8,872 13,993
- ------------------------------------------------------------------------------------------------------------------------------------
Class T:
Shares Issued -- 103 -- -- --
Shares Issued in Lieu of
Dividends and Distributions -- -- -- -- --
Shares Redeemed (2) (103) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Class T Transactions (2) -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Capital Shares (65,434) (10,830) 10,645 8,872 13,993
- ------------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------
LARGE CAP
INDEX FUND
- ---------------------------------------------------------------
2006 2005
- ---------------------------------------------------------------
Class A:
Shares Issued 795 656
Shares Issued in Lieu of
Dividends and Distributions 81 57
Shares Redeemed (647) (567)
- ---------------------------------------------------------------
Total Class A Transactions 229 146
- ---------------------------------------------------------------
Class T:
Shares Issued -- --
Shares Issued in Lieu of
Dividends and Distributions -- --
Shares Redeemed -- --
- ---------------------------------------------------------------
Total Class T Transactions -- --
- ---------------------------------------------------------------
Net Increase (Decrease) in
Capital Shares 229 146
- ---------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
SMALL/MID CAP CORE FIXED
SMALL CAP FUND EQUITY FUND INCOME FUND
- ------------------------------------------------------------------------------------------------------------------------------------
2006 2005 2006 2005 2006 2005
- ------------------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 36,891(1) 22,909 4,313(1) 3,211(1) 150,170 160,321
Shares Issued in Lieu of
Dividends and Distributions 9,074 12,291 425 71 20,531 18,299
Shares Redeemed (33,139)(2) (11,392) (2,072) (813) (111,285) (67,942)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions 12,826 23,808 2,666 2,469 59,416 110,678
- ------------------------------------------------------------------------------------------------------------------------------------
Class T:
Shares Issued -- 37 -- -- -- --
Shares Issued in Lieu of
Dividends and Distributions -- 1 -- -- -- --
Shares Redeemed (7) (45) -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Class T Transactions (7) (7) -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase
in Capital Shares 12,819 23,801 2,666 2,469 59,416 110,678
- ------------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------
LONG
DURATION
FUND
- ---------------------------------------------------------------
2006 2005
- ---------------------------------------------------------------
Class A:
Shares Issued 11,855 6,523
Shares Issued in Lieu of
Dividends and Distributions 838 276
Shares Redeemed (2,143) (244)
- ---------------------------------------------------------------
Total Class A Transactions 10,550 6,555
- ---------------------------------------------------------------
Class T:
Shares Issued -- --
Shares Issued in Lieu of
Dividends and Distributions -- --
Shares Redeemed -- --
- ---------------------------------------------------------------
Total Class T Transactions -- --
- ---------------------------------------------------------------
Net Increase
in Capital Shares 10,550 6,555
- ---------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
EXTENDED
DURATION HIGH YIELD INTERNATIONAL
FUND BOND FUND(4) EQUITY FUND
- ------------------------------------------------------------------------------------------------------------------------------------
2006 2005 2006 2006 2005
- ------------------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 12,856 10,177 89,411 19,087 44,764
Shares Issued in
Lieu of Dividends and
Distributions 1,618 408 2,668 4,873 3,9844
Shares Redeemed (2,247) (561) (6,487) (56,427) (36,693)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Class A
Transactions 12,227 10,024 85,592 (32,467) 12,055
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Capital Shares 12,227 10,024 85,592 (32,467) 12,055
- ------------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
EMERGING
WORLD EQUITY MARKETS
EX-US FUND(5) DEBT FUND(6)
- --------------------------------------------------------------------------------
2006 2005 2006
- --------------------------------------------------------------------------------
Class A:
Shares Issued 56,952 24,722 51,578
Shares Issued in
Lieu of Dividends and
Distributions 499 -- 514
Shares Redeemed (11,419) (817) (3,947)
- --------------------------------------------------------------------------------
Total Class A
Transactions 46,0322 3,905 48,145
- --------------------------------------------------------------------------------
Net Increase (Decrease) in
Capital Shares 46,032 23,905 48,145
- --------------------------------------------------------------------------------
(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 Diversified Alpha Fund commenced operations on February 28,
2006.
(4) The High Yield Bond Fund commenced operations on December 5, 2005.
(5) The World Equity Ex-US Fund commenced operations on March 28, 2005.
(6) The Emerging Markets Debt Fund commenced operations on December 5, 2005.
Amounts designated as "--" are zero or have been rounded to zero.
- --------------------------------------------------------------------------------
202 SEI Institutional Investments Trust / Annual Report / May 31, 2006
5. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale and maturities of
securities other than temporary cash investments, during the year ended May 31,
2006, were as follows:
- --------------------------------------------------------------------------------
U.S. Gov't Other Total
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
LARGE CAP FUND*
Purchases $ -- $1,165,823 $1,165,823
Sales -- 2,217,118 2,217,118
LARGE CAP DISCIPLINED EQUITY FUND*
Purchases 1,585,946 4,071,990 5,657,936
Sales 1,371,550 3,750,329 5,121,879
LARGE CAP DIVERSIFIED ALPHA FUND
Purchases 31,746 173,573 205,319
Sales 25,416 39,941 65,357
LARGE CAP INDEX FUND
Purchases -- 88,864 88,864
Sales -- 68,948 68,948
SMALL CAP FUND*
Purchases -- 2,236,059 2,236,059
Sales -- 2,128,985 2,128,985
SMALL/MID CAP EQUITY FUND*
Purchases -- 1,563,274 1,563,274
Sales -- 1,261,465 1,261,465
CORE FIXED INCOME FUND
Purchases 21,717,696 1,934,712 23,652,408
Sales 20,865,387 2,292,745 23,158,132
LONG DURATION FUND
Purchases 31,780 71,971 103,751
Sales 9,926 59,912 69,838
EXTENDED DURATION FUND
Purchases 78,477 128,239 206,716
Sales 56,755 120,508 177,263
HIGH YIELD BOND FUND
Purchases 4,807 1,049,325 1,054,132
Sales 311 346,184 346,495
INTERNATIONAL EQUITY FUND
Purchases 172,997 1,696,987 1,869,984
Sales 112,445 2,177,181 2,289,626
WORLD EQUITY EX-US FUND
Purchases 179,853 759,876 939,729
Sales 121,464 431,017 552,481
EMERGING MARKETS DEBT FUND
Purchases -- 587,632 587,632
Sales -- 167,982 167,982
*Includes in-kind transactions (see Note 8).
6. FEDERAL TAX INFORMATION
It is each Fund's intention to continue to qualify as a regulated investment
company under Subchapter M of the Internal Revenue Code and distribute all of
its taxable income (including net capital gains). Accordingly, no provision for
Federal income taxes is required.
Dividends from net investment income and distributions from net realized capital
gains are determined in accordance with U.S. Federal income tax regulations,
which may differ from those amounts determined under accounting principles
generally accepted in the United States of America. These book/tax differences
are either temporary or permanent in nature. To the extent these differences are
permanent, they are charged or credited to paid-in capital, undistributed net
investment income or accumulated net realized gain, as appropriate, in the
period that the differences arise. 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, reclassification of income and expense from swap
transactions, 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, 2006:
- --------------------------------------------------------------------------------
Undistributed Accumulated
Paid-in- Net Investment Realized
Capital Income (Loss) Gain (Loss)
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Large Cap Fund $49,350 $ 13 $(49,363)
Large Cap Disciplined Equity Fund -- 1,295 (1,295)
Large Cap Diversified Alpha Fund -- 32 (32)
Large Cap Index Fund -- 16 (16)
Small Cap Fund 4,232 414 (4,646)
Small/Mid Cap Equity Fund -- 226 (226)
Core Fixed Income Fund -- 7,603 (7,603)
Long Duration Fund -- (28) 28
Extended Duration Fund -- 1,713 (1,713)
International Equity Fund -- 22,936 (22,936)
World Equity Ex-US Fund -- 6,612 (6,612)
Emerging Markets Debt Fund -- 131 (131)
These reclassifications have no impact on net assets or net asset value per
share.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 203
Notes to Financial Statements (Continued)
MAY 31, 2006
The tax character of dividends and distributions paid during the last two years
or periods were as follows:
- --------------------------------------------------------------------------------
Ordinary Long-term
Income Capital Gain Total
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Large Cap Fund 2006 $ 19,617 $ -- $ 19,617
2005 27,735 -- 27,735
Large Cap Disciplined
Equity Fund 2006 172,080 108,577 280,657
2005 66,724 2,188 68,912
Large Cap Diversified
Alpha Fund 2006 167 -- 167
Large Cap Index
Fund 2006 6,360 3,238 9,598
2005 5,724 289 6,013
Small Cap Fund 2006 45,737 93,718 139,455
2005 90,513 93,860 184,373
Small/Mid Cap
Equity Fund 2006 34,951 19,445 54,396
2005 8,285 41 8,326
Core Fixed Income
Fund 2006 212,264 1,463 213,727
2005 178,592 14,299 192,891
- --------------------------------------------------------------------------------
Ordinary Long-term
Income Capital Gain Total
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Long Duration Fund 2006 $ 8,254 $ 3 $ 8,257
2005 2,840 -- 2,840
Extended Duration
Fund 2006 16,599 15 16,614
2005 4,492 -- 4,492
High Yield Bond Fund
2006 27,352 -- 27,352
International Equity
Fund 2006 49,222 14,153 63,375
2005 46,157 -- 46,157
World Equity Ex-US
Fund 2006 6,142 -- 6,142
2005 -- -- --
Emerging Markets Debt
Fund 2006 5,375 -- 5,375
As of May 31, 2006, the components of Distributable Earnings/(Accumulated
Losses) were as follows:
- --------------------------------------------------------------------------------
Undistributed Undistributed Capital
Ordinary Long-Term Loss
Income Capital Gain Carryforwards
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Large Cap Fund $ 2,663 $ -- $(202,853)
Large Cap Disciplined Equity Fund 86,585 61,232 --
Large Cap Diversified Alpha Fund 879 -- --
Large Cap Index Fund 2,004 1,297 --
Small Cap Fund 71,786 103,422 --
Small/Mid Cap Equity Fund 48,915 52,702 --
Core Fixed Income Fund 20,719 -- (15,381)
Long Duration Fund 786 -- --
Extended Duration Fund 1,146 -- --
High Yield Bond Fund 10,704 -- --
International Equity Fund 113,539 125,399 --
World Equity Ex-US Fund 64,978 2,723 --
Emerging Markets Debt Fund 8,784 -- --
Post Unrealized Other Total
October Appreciation Temporary Distributable Earnings/
Losses (Depreciation) Differences (Accumulated Losses)
($ Thousands) ($ Thousands) ($Thousands) ($Thousands)
- -------------------------------------------------------------------------------------------------------------------
Large Cap Fund $ -- $ 47,165 $ -- $(153,025)
Large Cap Disciplined Equity Fund (1,336) 251,017 (112) 397,386
Large Cap Diversified Alpha Fund (1) (2,053) 10 (1,165)
Large Cap Index Fund -- 76,029 -- 79,330
Small Cap Fund -- 183,745 -- 358,953
Small/Mid Cap Equity Fund (20) 82,615 -- 184,212
Core Fixed Income Fund 59,626) (86,126) (20,382) (160,796)
Long Duration Fund (1,988) (12,870) (772) (14,844)
Extended Duration Fund (4,566) (35,713) (1,136) (40,269)
High Yield Bond Fund (14) (961) (5,536) 4,193
International Equity Fund -- 251,707 341 490,986
World Equity Ex-US Fund -- 75,740 465 143,906
Emerging Markets Debt Fund -- (17,541) (65) (8,822)
Post-October losses represent losses realized on investment transactions from
November 1, 2005 through May 31, 2006 that, in accordance with Federal income
tax regulations, the Funds may elect to defer and treat as having arisen in the
following fiscal year. For Federal income tax purposes, capital loss
carryforwards may be carried forward and applied against future capital gains as
follows:
- --------------------------------------------------------------------------------
Total
Capital Loss
Expires Expires Carryforwards
2011 2014 5/31/06
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Large Cap Fund $202,853 $ -- $202,853
Core Fixed Income Fund -- 15,381 15,381
During the year ended May 31, 2006, the Large Cap and International Equity Funds
utilized $96,339,904 and $113,890,673 of capital loss carryforwards,
respectively, to offset capital gains.
For Federal income tax purposes, the cost of securities owned at May 31, 2006,
and the net realized gains or losses on securities sold for the period were not
materially different from amounts reported for financial reporting purposes,
primarily due to wash sales which cannot be used for Federal income tax purposes
in the current year and have been deferred for use in future years. The Federal
tax cost and aggregate
- --------------------------------------------------------------------------------
204 SEI Institutional Investments Trust / Annual Report / May 31, 2006
gross unrealized appreciation and depreciation on investments held by the Funds
at May 31, 2006, were as follows:
- --------------------------------------------------------------------------------------------------
Net
Unrealized
Appreciated Depreciated Appreciation
Federal Securities Securities (Depreciation)
Tax Cost ($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------------------------
Large Cap Fund $874,554 $106,635 $(59,470) $ 47,165
Large Cap Disciplined
Equity Fund 5,229,966 379,968 (128,935) 251,033
Large Cap Diversified
Alpha Fund 159,190 4,307 (7,038) (2,731)
Large Cap Index Fund 348,529 90,304 (14,275) 76,029
Small Cap Fund 2,411,412 310,937 (127,191) 183,746
Small/Mid Cap Equity Fund 1,455,948 141,096 (58,481) 82,615
Core Fixed Income Fund 6,729,016 30,215 (115,898) (85,683)
Long Duration Fund 191,408 309 (1,732) (1,423)
Extended Duration Fund 264,841 364 (2,310) (1,946)
High Yield Bond Fund 945,636 10,313 (11,274) (961)
International Equity Fund 1,716,215 309,191 (54,186) 255,005
World Equity Ex-US Fund 915,669 97,786 (19,384) 78,402
Emerging Markets Debt Fund 521,041 825 (17,951) (17,126)
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, Extended Duration and
High Yield Bond Funds' investments may change in response to interest rate
changes and other factors. During periods of falling interest rates, the values
of fixed income securities generally rise. Conversely, during periods of rising
interest rates, the values of such securities generally decline. Changes by
recognized rating agencies in the ratings of any fixed income security and in
the ability of an issuer to make payments of interest and principal may also
affect the value of these investments.
The International Equity, World Equity Ex-US and Emerging Markets Debt Funds
concentrate their investments 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, 2006, the Large Cap, Large Cap Disciplined Equity,
Small Cap and Small/Mid Cap Equity Funds issued (redeemed) shares of beneficial
interest in exchange for securities. The securities were transferred at their
current value on the date of such transactions.
- --------------------------------------------------------------------------------
Shares
Issued Value Gain (Loss)
(Redeemed) ($Thousands) ($Thousands)
- --------------------------------------------------------------------------------
Large Cap Fund
06/13/05 (1,251,679) $ (19,676) $ 2,557
06/16/05 (10,388,456) (159,630) 27,345
12/13/05 (7,072,179) (119,944) 19,447
Large Cap Disciplined
Equity Fund
09/30/05 106,084 13,293 --
11/04/05 121,814 15,129 --
11/30/05 183,232 23,375 --
02/28/06 65,801 8,209 --
04/28/06 31,664 4,039 --
Small Cap Fund
12/12/05 20,174,818 297,913 --
04/28/06 (5,789,189) (95,174) 4,232
Small/Mid Cap
Equity Fund
11/04/05 222,050 28,400 --
05/31/06 18,356 2,456 --
During the year ended May 31, 2005, the Large Cap Disciplined Equity and
Small/Mid Cap Equity Funds issued shares of beneficial interest in exchange for
securities. The securities were transferred at their current value on the date
of such transactions.
- --------------------------------------------------------------------------------
Shares Value
Issued ($Thousands)
- --------------------------------------------------------------------------------
Large Cap Disciplined
Equity Fund
06/29/04 791,663 $ 89,822
07/13/04 1,239,955 137,722
09/23/04 72,121 7,981
01/28/05 82,621 9,680
05/31/05 127,802 15,399
Small/Mid Cap
Equity Fund
06/29/04 139,224 15,181
07/13/04 257,166 27,023
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
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 205
Notes to Financial Statements (Concluded)
MAY 31, 2006
loans may not exceed 33(1)/3% of the total asset value of the Fund (including
the loan collateral). No Fund will lend portfolio securities to its investment
adviser, sub-adviser or their affiliates unless it has applied for and received
specific authority to do so from the SEC. Loans of portfolio securities will be
fully collateralized by cash, letters of credit or U.S. Government securities,
and the collateral will be maintained in an amount equal to at least 100% of the
current market value of the loaned securities by marking to market daily,
although the borrower will be required to deliver collateral of 102% and 105% of
the market value of borrowed securities for domestic and foreign securities,
respectively. Although the risk of lending is mitigated by the collateral, the
Fund could experience a delay in recovering its securities and a possible loss
of income or value if the borrower fails to return them.
10. LITIGATION
The Core Fixed Income Fund has participated as a plaintiff bondholder, along
with other institutional bondholders, in litigation against Duty Free
International, British Airport Authority ("BAA") and other defendants relating
to Notes issued by Duty Free International which are held by the Fund. BAA is
the former parent company of Duty Free International. The plaintiffs in that
action have since settled with all defendants with the exception of BAA. The
litigation proceeded to jury trial against BAA in December, 2003, and the jury
found against the plaintiffs on all counts. Plaintiffs subsequently appealed. In
January 2006, the Court of Appeals ruled in favor of plaintiffs and remanded for
a new trial. BAA has appealed that decision. The Core Fixed Income Fund is
bearing its portion of the legal expenses associated with this litigation over
and above the expense limitations of the Fund.
11. CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (Unaudited)
The Board has selected KPMG LLP ("KPMG") to serve as the Trust's independent
registered public accounting firm for the Trust's fiscal year ended May 31,
2006. The decision to select KPMG was recommended by the Audit Committee and was
approved by the Board on September 21, 2005. During the Trust's fiscal years
ended May 31, 2005 and May 31, 2004, neither the Trust, its portfolios nor
anyone on their behalf has consulted with KPMG on items which (i) concerned the
application of accounting principles to a specified transaction, either
completed or proposed, or the type of audit opinion that might be rendered on
the Trust's financial statements; or (ii) concerned the subject of a
disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of Regulation S-K)
or reportable events (as described in paragraph (a)(1)(iv) of said Item 304).
The selection of KPMG does not reflect any disagreements with or dissatisfaction
by the Trust or the Board with the performance of the Trust's prior auditor. The
decision to dismiss PricewaterhouseCoopers LLP ("PwC"), the Trust's previous
independent registered public accounting firm and to select KPMG was recommended
by the Trust's Audit Committee and approved by the Fund's Board of Trustees.
PwC's report on the Trust's financial statements for the fiscal years ended May
31, 2005 and May 31, 2004 contained no adverse opinion or disclaimer of opinion
nor were they qualified or modified as to uncertainty, audit scope or accounting
principles. During the Trust's fiscal years ended May 31, 2005 and May 31, 2004,
and through September 21, 2005, (i) there were no disagreements with PwC on any
matter of accounting principles or practices, financial statement disclosure or
auditing scope or procedure, which disagreements, if not resolved to the
satisfaction of PwC, would have caused it to make reference to the subject
matter of the disagreements in connection with its reports on the Trust's
financial statements for such years, and (ii) there were no "reportable events"
of the kind described in Item302(a)(1)(v) of Regulation S-K under the Securities
Exchange Act of 1934, as amended.
- --------------------------------------------------------------------------------
206 SEI Institutional Investments Trust / Annual Report / May 31, 2006
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2006
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of
SEI Institutional Investments Trust:
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments, as of May 31, 2006 of the Core Fixed Income,
Extended Duration, World Equity Ex-US and Emerging Markets Debt Funds and the
statements of net assets, as of May 31, 2006 of the Large Cap, Large Cap
Disciplined Equity, Large Cap Diversified Alpha, Large Cap Index, Small Cap,
Small/Mid Cap Equity, Long Duration, High Yield Bond and International Equity
Funds, comprising the SEI Institutional Investments Trust (collectively, the
"Funds"), and the related statements of operations, the statements of changes in
net assets, and the financial highlights for the year then ended or period from
inception through May 31, 2006 (inception for the High Yield Bond and the
Emerging Markets Debt Funds is December 5, 2005 and inception for the Large Cap
Diversified Alpha Fund is February 28, 2006). These financial statements and
financial highlights are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits. The statements of changes in net
assets for the year ended May 31, 2005 and the financial highlights for the each
of the years or periods in the four-year period ended May 31, 2005 were audited
by other auditors. Those auditors expressed an unqualified opinion on those
statements of changes in net assets and financial highlights in their report
dated July 27, 2005.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included confirmation of
securities owned as of May 31, 2006, by correspondence with custodians and
brokers. As to securities purchased or sold but not yet received or delivered,
we performed other appropriate auditing procedures. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the portfolios constituting SEI Institutional Investments Trust as of May 31,
2006, the results of their operations, the changes in their net assets, and the
financial highlights for the year or period then ended, in conformity with U.S.
generally accepted accounting principles.
[KPMG LOGO OMITTED]
Philadelphia, Pennsylvania
July 28, 2006
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 207
Trustees and Officers of the Trust (Unaudited)
The following information is current as of July 28, 2006.
Set forth below are the names, addresses, ages, position with the Trust, Term of
Office and Length of Time Served, the principal occupations for the last five
years, number of portfolios in fund complex overseen by trustee, and other
directorships outside the fund complex of each of the persons currently serving
as Trustees and Officers of the Trust. The Trust's Statement of Additional
Information ("SAI") includes additional information about the Trustees and
Officers. The SAI may be obtained without charge by calling 1-800-342-5734.
- ------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN
AND AGE TRUSTS SERVED1 FIVE YEARS BY TRUSTEE2
- ------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES
- -------------------
<c>
Robert A. Nesher Chairman since 1982 Currently performs various 73
One Freedom of the services on behalf of SEI for
Valley Drive, Board of which Mr. Nesher is compensated.
Oaks, PA 19456 Trustees*
59 yrs. old
- ------------------------------------------------------------------------------------------------------------------------
William M. Doran Trustee* since 1982 Self-employed consultant since 2003. 73
1701 Market Street Partner, Morgan, Lewis & Bockius
Philadelphia, PA LLP (law firm) from 1976 to 2003,
19103 counsel to the Trust, SEI, SIMC, the
66 yrs. old Administrator and the Distributor.
Secretary of SEI since 1978.
- ------------------------------------------------------------------------------------------------------------------------
TRUSTEES
- --------
F. Wendell Gooch Trustee since 1982 Retired 73
One Freedom
Valley Drive,
Oaks, PA 19456
73 yrs. old
- ------------------------------------------------------------------------------------------------------------------------
James M. Storey Trustee since 1995 Attorney, sole practitioner since 73
One Freedom 1994. Partner, Dechert Price
Valley Drive, & Rhoads, September 1987-
Oaks, PA 19456 December 1993.
75 yrs. old
- ------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------
NAME OTHER DIRECTORSHIPS
ADDRESS, HELD BY
AND AGE TRUSTEE
- -------------------------------------------------------------------
INTERESTED TRUSTEES
- -------------------
Robert A. Nesher Trustee of The Advisors' Inner
One Freedom Circle Fund, The Advisors'
Valley Drive, Inner Circle Fund II, Bishop
Oaks, PA 19456 Street Funds, Director of
59 yrs. old 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 Opportunity Master
Fund, L.P., SEI Opportunity
Fund, L.P. and SEI Multi-
Strategy Funds plc.
- -------------------------------------------------------------------
William M. Doran Trustee of The Advisors' Inner
1701 Market Street Circle Fund, The Advisors'
Philadelphia, PA Inner Circle Fund II, Director
19103 of SEI since 1974. Director
66 yrs. old of the Distributor 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 of STI Classic Funds
One Freedom and STI Classic Variable Trust.
Valley Drive,
Oaks, PA 19456
73 yrs. old
- -------------------------------------------------------------------
James M. Storey Trustee of The Advisors' Inner
One Freedom Circle Fund, The Advisors'
Valley Drive, Inner Circle Fund II,
Oaks, PA 19456 Massachusetts Health and
75 yrs. old Education Tax-Exempt Trust,
and U.S. Charitable Gift Trust.
- -------------------------------------------------------------------
* MESSRS. NESHER AND DORAN ARE TRUSTEES WHO MAY BE DEEMED AS "INTERESTED"
PERSONS OF THE TRUST AS THAT TERM IS DEFINED IN THE 1940 ACT BY VIRTUE OF
THEIR AFFILIATION WITH SIMC AND THE TRUST'S DISTRIBUTOR.
1 EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE
ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE
SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION
OF TRUST.
2 THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS: SEI ASSET ALLOCATION TRUST,
SEI DAILY INCOME TRUST, SEI INDEX FUNDS, SEI INSTITUTIONAL INVESTMENTS TRUST,
SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI
LIQUID ASSET TRUST AND SEI TAX EXEMPT TRUST.
- --------------------------------------------------------------------------------
208 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- -------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN
AND AGE TRUSTS SERVED1 FIVE YEARS BY TRUSTEE2
- -------------------------------------------------------------------------------------------------------------------------
TRUSTEES (CONTINUED)
- --------------------
George J. Sullivan, Jr. Trustee since 1996 Self-Employed Consultant, Newfound 73
One Freedom Consultants Inc. since April 1997.
Valley Drive
Oaks, PA 19456
63 yrs. old
- -------------------------------------------------------------------------------------------------------------------------
Rosemarie B. Greco Trustee since 1999 Director, Governor's Office of Health 73
One Freedom` Care Reform, Commonwealth of
Valley Drive Pennsylvania since 2003. Founder
Oaks, PA 19456 and Principal, Grecoventures Ltd.
60 yrs. old from 1999 to 2002.
- -------------------------------------------------------------------------------------------------------------------------
Nina Lesavoy Trustee since 2003 Managing Partner, Cue Capital since 73
One Freedom March 2002, Managing Partner and
Valley Drive, Head of Sales, Investorforce, March
Oaks, PA 19456 2000-December 2001; Global Partner
49 yrs. old working for the CEO, Invesco Capital,
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 73
One Freedom Officer, J. Paul Getty Trust,
Valley Drive, Non-Profit Foundation for Visual
Oaks, PA 19456 Arts, since December 2002. President,
59 yrs. old Harbor Capital Advisors and Harbor
Mutual Funds, 2000-2002. Manager,
Pension Asset Management, Ford Motor
Company, 1997-1999.
- -------------------------------------------------------------------------------------------------------------------------
OFFICERS
- --------
Robert A. Nesher President since 2005 Currently performs various services N/A
One Freedom & CEO on behalf of SEI for which Mr. Nesher
Valley Drive, is compensated.
Oaks, PA 19456
59 yrs. old
- -------------------------------------------------------------------------------------------------------------------------
Stephen F. Panner Controller and since 2005 Fund Accounting Director of the N/A
One Freedom Chief Administrator since 2005. Fund
Valley Drive, Financial Administration Manager, Old Mutual
Oaks, PA 19456 Officer Fund Services, 2000-2005. Chief
36 yrs. old -Financial Officer, Controller and
Treasurer, PBHG Funds and PBHG
Insurance Series Fund, 2004-2005.
Assistant Treasurer, PBHG Funds
and PBHG Insurance Series Fund,
2000-2004. Assistant Treasurer,
Old Mutual Advisors Fund,
2004-2005.
- -------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------
NAME OTHER DIRECTORSHIPS
ADDRESS, HELD BY
AND AGE TRUSTEE
- ------------------------------------------------------------------
TRUSTEES (CONTINUED)
- --------------------
George J. Sullivan, Jr. Trustee of The Advisors' Inner
One Freedom Circle Fund, The Advisors'
Valley Drive Inner Circle Fund II, State
Oaks, PA 19456 Street Navigator Securities
63 yrs. old Lending Trust, SEI Opportunity
Master Fund, L.P., and SEI
Opportunity Fund, L.P.
- ------------------------------------------------------------------
Rosemarie B. Greco Director, Sonoco, Inc.; Director,
One Freedom` Exelon Corporation; Trustee,
Valley Drive Pennsylvania Real Estate
Oaks, PA 19456 Investment Trust.
60 yrs. old
- ------------------------------------------------------------------
Nina Lesavoy Director of SEI Opportunity
One Freedom Master Fund, L.P., and SEI
Valley Drive, Opportunity Fund, L.P.
Oaks, PA 19456
49 yrs. old
- ------------------------------------------------------------------
James M. Williams Trustee/Director of Ariel Mutual
One Freedom Funds, SEI Opportunity Master
Valley Drive, Fund, L.P., and SEI Opportunity
Oaks, PA 19456 Fund, L.P.
59 yrs. old
- ------------------------------------------------------------------
OFFICERS
- --------
Robert A. Nesher N/A
One Freedom
Valley Drive,
Oaks, PA 19456
59 yrs. old
- ------------------------------------------------------------------
Stephen F. Panner N/A
One Freedom
Valley Drive,
Oaks, PA 19456
36 yrs. old
- ------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 209
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
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN
AND AGE TRUSTS SERVED1 FIVE YEARS BY TRUSTEE2
- ---------------------------------------------------------------------------------------------------------------------------------
OFFICERS (CONTINUED)
- --------------------
Russell Emery Chief since 2006 Chief Compliance Officer of SEI N/A
One Freedom` Compliance Opportunity Master Fund, L.P.,
Valley Drive Officer SEI Opportunity Fund, L.P.,
Oaks, PA 19456 Bishop Street Funds, SEI Institutional
43 yrs. old -Managed Trust, SEI Asset Allocation
Trust, SEI Institutional International
Trust, SEI Index Funds, SEI Liquid
Asset Trust, SEI Daily Income Trust,
SEI Tax Exempt Trust, The Advisors'
Inner Circle Fund and the Advisors'
Inner Circle Fund II, since March 2006.
Director of Investment Product
Management and Development of SIMC,
February 2003-March 2006. Senior
Investment Analyst--Equity Team of SEI,
March 2000-February 2003.
- ---------------------------------------------------------------------------------------------------------------------------------
Timothy D. Barto Vice since 2002 General Counsel, Vice President and N/A
One Freedom President Secretary of SIMC and the Administrator
Valley Drive and since 2004. Vice President and Assistant
Oaks, PA 19456 Secretary Secretary of SEI since 2001. Vice President
38 yrs. old -of SIMC and the Administrator since 1999.
Assistant Secretary of SIMC, the Administrator
and the Distributor and Vice President of the
Distributor, 1999-2003.
- ---------------------------------------------------------------------------------------------------------------------------------
Sofia A. Rosala Vice since 2004 Vice President and Assistant Secretary of N/A
One Freedom President SIMC and the Administrator since 2005.
Valley Drive and Compliance Officer of SEI, September
Oaks, PA 19456 Assistant 2001-2004. Account and Product
32 yrs. old Secretary -Consultant, SEI Private Trust Company,
1998-2001.
- ---------------------------------------------------------------------------------------------------------------------------------
Philip T. Masterson Vice since 2004 Vice President and Assistant Secretary of N/A
One Freedom President SIMC since 2005. General Counsel,
Valley Drive and Citco Mutual Fund Services, 2003-2004.
Oaks, PA 19456 Assistant Vice President and Associate Counsel,
42 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 of N/A
One Freedom President SIMC since 2005. Vice President,
Valley Drive and Deutsche Asset Management (2003-2004).
Oaks, PA 19456 Assistant Associate, Morgan, Lewis & Bockius LLP
37 yrs. old Secretary -(2000-2003). Assistant Vice President,
ING Variable Annuities Group (1999-2000).
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------
NAME OTHER DIRECTORSHIPS
ADDRESS, HELD BY
AND AGE TRUSTEE
- ---------------------------------------------------
OFFICERS (CONTINUED)
- --------------------
Russell Emery N/A
One Freedom`
Valley Drive
Oaks, PA 19456
43 yrs. old
- ---------------------------------------------------
Timothy D. Barto N/A
One Freedom
Valley Drive
Oaks, PA 19456
38 yrs. old
- ---------------------------------------------------
Sofia A. Rosala N/A
One Freedom
Valley Drive
Oaks, PA 19456
32 yrs. old
- ---------------------------------------------------
Philip T. Masterson N/A
One Freedom
Valley Drive
Oaks, PA 19456
42 yrs. old
- ---------------------------------------------------
James Ndiaye N/A
One Freedom
Valley Drive
Oaks, PA 19456
37 yrs. old
- ---------------------------------------------------
- --------------------------------------------------------------------------------
210 SEI Institutional Investments Trust / Annual Report / May 31, 2006
- -----------------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN
AND AGE TRUSTS SERVED1 FIVE YEARS BY TRUSTEE2
- -----------------------------------------------------------------------------------------------------------------------------------
OFFICERS (CONTINUED)
- --------------------
Michael T. Pang Vice since 2005 Vice President and Assistant Secretary of N/A
One Freedom President SIMC since 2005. Counsel, Caledonian
Valley Drive and Bank & Trust's Mutual Funds Group (2004).
Oaks, PA 19456 Assistant Counsel, Permal Asset Management
34 yrs. old Secretary (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 for N/A
One Freedom President SIMC since 1995. Managing Director
Valley Drive of Money Market Investments for
Oaks, PA 19456 SIMC since 2003.
43 yrs. old
- -----------------------------------------------------------------------------------------------------------------------------------
Nicole Welch Anti-Money since 2005 Assistant Vice President and Anti-Money N/A
One Freedom Laundering Laundering Compliance Coordinator of
Valley Drive Compliance SEI since 2005. Compliance Analyst,
Oaks, PA 19456 Officer TD Waterhouse (2004). Senior Compliance
28 yrs. old Analyst, UBS Financial Services (2002-2004).
Knowledge Management Analyst,
PriceWaterhouseCoopers Consulting
(2000-2002).
- -----------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------
NAME OTHER DIRECTORSHIPS
ADDRESS, HELD BY
AND AGE TRUSTEE
- -------------------------------------------------------
OFFICERS (CONTINUED)
- --------------------
Michael T. Pang N/A
One Freedom
Valley Drive
Oaks, PA 19456
34 yrs. old
- -------------------------------------------------------
John J. McCue N/A
One Freedom
Valley Drive
Oaks, PA 19456
43 yrs. old
- -------------------------------------------------------
Nicole Welch N/A
One Freedom
Valley Drive
Oaks, PA 19456
28 yrs. old
- -------------------------------------------------------
1 EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE
ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE
SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S
DECLARATION OF TRUST.
2 THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS: SEI ASSET ALLOCATION TRUST,
SEI DAILY INCOME TRUST, SEI INDEX FUNDS, 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, 2006 211
Disclosure of Fund Expenses (Unaudited)
MAY 31, 2006
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 overthe period. The "Expenses Paid
During Period" column shows the actual dollar expense cost incurred by a $1,000
investment in the Fund, and the OEnding Account ValueO 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.
- --------------------------------------------------------------------------------
212 SEI Institutional Investments Trust / Annual Report / May 31, 2006
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/1/05 5/31/06 RATIOS PERIOD*
- --------------------------------------------------------------------------------
LARGE CAP FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,021.00 0.26% $1.31
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.64 0.26% $1.31
- --------------------------------------------------------------------------------
LARGE CAP DISCIPLINED EQUITY FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,025.40 0.22% $1.11
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.88 0.22% $1.11
- --------------------------------------------------------------------------------
LARGE CAP INDEX FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,027.60 0.06% $0.30
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.63 0.06% $0.30
- --------------------------------------------------------------------------------
SMALL CAP FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,074.70 0.54% $2.79
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.24 0.54% $2.72
- --------------------------------------------------------------------------------
SMALL/MID CAP EQUITY FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,061.40 0.50% $2.57
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.44 0.50% $2.52
- --------------------------------------------------------------------------------
CORE FIXED INCOME FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,001.80 0.14% $0.70
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.23 0.14% $0.71
- --------------------------------------------------------------------------------
LONG DURATION FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 968.70 0.20% $0.98
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 $ 895.10 0.20% $0.94
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 $1,164.60 0.34% $1.83
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.24 0.34% $1.72
- --------------------------------------------------------------------------------
WORLD EQUITY EX-US FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,155.00 0.60% $3.22
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,021.94 0.60% $3.02
- --------------------------------------------------------------------------------
*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
12/5/05(1) 5/31/06 RATIOS PERIOD
- --------------------------------------------------------------------------------
HIGH YIELD BOND FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,048.50 0.35% $1.73*
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.19 0.35% $1.77**
- -----------------------------------------------------------------------------
1EMERGING MARKETS DEBT FUND
- -----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,010.00 0.55% $2.67*
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.19 0.55% $2.77**
- -----------------------------------------------------------------------------
(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 176/365 (to reflect the
period since inception).
** 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
2/28/06(1) 5/31/06 RATIOS PERIOD
- --------------------------------------------------------------------------------
LARGE CAP DIVERSIFIED ALPHA FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 995.10 0.35% $0.86*
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.19 0.35% $1.77**
(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 90/365 (to reflect the
period since inception).
** 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).
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 213
Board of Trustees Considerations in Approving the
Advisory and Sub-Advisory Agreements (Unaudited)
May 31, 2006
The SEI Institutional Investments Trust (the OTrustO) and SEI Investments
Management Corporation (OSIMCO) have entered into an investment advisory
agreement (the OAdvisory AgreementO). Pursuant to the Advisory Agreement, SIMC
oversees the investment advisory services provided to each series of the Trust
(each, a OFundO and, collectively, the OFundsO) and may manage the cash portion
of the Funds' assets. Pursuant to separate sub-advisory agreements (the
OSub-Advisory AgreementsO and, together with the Advisory Agreement, the
OInvestment Advisory AgreementsO) with SIMC, and under the supervision of SIMC
and the Trust's Board of Trustees (the OBoardO), 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.
The Investment Company Act of 1940, as amended (the O1940 ActO) requires that
the initial approval of, as well as the continuation of, each Fund's Investment
Advisory Agreements must be specifically approved: (i) by the vote of the Board
of Trustees or by a vote of the shareholders of the Fund; and (ii) by the vote
of a majority of the Trustees who are not parties to the Investment Advisory
Agreements or Ointerested personsO of any party (the OIndependent TrusteesO),
cast in person at a meeting called for the purpose of voting on such approval.
In connection with their consideration of such approvals, the Fund's Trustees
must request and evaluate, and SIMC and the Sub-Advisers are required to
furnish, such information as may be reasonably necessary to evaluate the terms
of the Investment Advisory Agreements. In addition, the Securities and Exchange
Commission (OSECO) takes the position that, as part of their fiduciary duties
with respect to a mutual fund's fees, mutual fund boards are required to
evaluate the material factors applicable to a decision to approve an Investment
Advisory Agreement.
Consistent with these responsibilities, the Trust's Board of Trustees calls and
holds meetings each year that are dedicated to considering whether to renew the
Investment Advisory Agreements between the Trust and SIMC and SIMC and each of
the Sub-Advisers with respect to the Funds of the Trust. In preparation for
these meetings, the Board requests and reviews a wide variety of materials
provided by SIMC and the Sub-Advisers, including information about SIMC's and
the Sub-Advisers' affiliates, personnel and operations. The Board also receives
extensive data provided by third parties. This information is in addition to the
detailed information about the Funds that the Board reviews during the course of
each year, including information that relates to Fund operations and Fund
performance. The Trustees also receive a memorandum from Fund counsel and
independent counsel to the Independent Trustees regarding the responsibilities
of Trustees in connection with their consideration of whether to approve the
Trust's Investment Advisory Agreements. Finally, the Independent Trustees
receive advice from independent counsel to the Independent Trustees, meet in
executive session outside the presence of Fund management and participate in
question and answer sessions with representatives of SIMC and the Sub-Advisers.
Specifically, the Board requested and received written materials from SIMC and
each Sub-Adviser regarding: (a) the quality of SIMC's and the Sub-Adviser's
investment management and other services; (b) SIMC's and the Sub-Adviser's
investment management personnel; (c) SIMC's and the Sub-Adviser's operations and
financial condition; (d) SIMC's and the Sub-Adviser's brokerage practices
(including any soft dollar arrangements) and investment strategies; (e) the
level of the advisory fees that SIMC and each Sub-Adviser charge a Fund compared
with the fees each charge 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 the Sub-Adviser's compliance systems; (i) SIMC's and the
Sub-Adviser's policies on and compliance procedures for personal securities
transactions; (j) SIMC's and the Sub-Adviser's reputation, expertise and
resources in domestic and/or international financial markets; and (k) each
Fund's performance compared with similar mutual funds.
- --------------------------------------------------------------------------------
214 SEI Institutional Investments Trust / Annual Report / May 31, 2006
At the March 8-9, 2006 and June 22, 2006 meetings of the Board of Trustees, the
Trustees, including a majority of the Independent Trustees, approved the
Investment Advisory Agreements and approved the selection of SIMC and the
Sub-Advisers to act in their respective capacities for the Funds. The Board's
approval was based on its consideration and evaluation of a variety of specific
factors discussed at the meetings and at prior meetings, including:
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 of Trustees considered the
nature, extent and quality of the services provided by SIMC and the Sub-Advisers
to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates
dedicated to the Funds. In this regard, the Trustees evaluated, among other
things, SIMC's and the Sub-Advisers' personnel, experience, track record and
compliance program. Following evaluation, the Board concluded that, within the
context of its full deliberations, the nature, extent and quality of services
provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and
the Sub-Advisers and their affiliates dedicated to the Funds supported renewal
of the Investment Advisory Agreements.
FUND PERFORMANCE. The Board of Trustees considered Fund performance in
determining whether to renew the Investment Advisory Agreements. Specifically,
the Trustees considered 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 Trustees
considered both market risk and share-holder risk expectations for a given 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 the Funds' expenses under the Investment Advisory
Agreements, the Trustees considered the rate of compensation called for by the
Investment Advisory Agreements and each Fund's net operating expense ratio in
comparison to those of other comparable mutual funds. The Trustees also
considered information about average expense ratios of comparable mutual funds
in each Fund's respective peer group. Finally, the Trustees considered the
effects of SIMC's voluntary waiver of management and other fees and the
Sub-Advisers' fees to prevent total Fund expenses from exceeding a specified cap
and that SIMC and the Sub-Advisers, through waivers, have maintained the Funds'
net operating expenses at competitive levels for their respective distribution
channels. Following evaluation, the Board concluded that, within the context of
its full deliberations, the expenses of the Funds are reasonable and supported
renewal of the Investment Advisory Agreements.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 215
Board of Trustees Considerations in Approving the
Advisory and Sub-Advisory Agreements (Unaudited) (Concluded)
May 31, 2006
PROFITABILITY. With regard to profitability, the Trustees considered all
compensation flowing to SIMC and the Sub-Advisers and their affiliates, directly
or indirectly. The Trustees considered whether the varied levels of compensation
and profitability under the Investment Advisory Agreements and other service
agreements were reasonable and justified in light of the quality of all services
rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. When
considering the profitability of the Sub-Advisers, the Board took into account
the fact that the Sub-Advisers are compensated by SIMC, and not by the Funds
directly, and such compensation with respect to any Sub-Adviser reflects an
arms-length negotiation between the Sub-Adviser and SIMC. Based on this
evaluation, the Board concluded that, within the context of its full
deliberations, the profitability of SIMC and the Sub-Advisers is reasonable and
supported renewal of the Investment Advisory Agreements.
ECONOMIES OF SCALE. The Trustees considered the existence of any economies of
scale and whether those were passed along to a 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 Trustees' deliberation and their evaluation of the information
described above, the Board, including all of the Independent Trustees,
unanimously approved the continuation of the Investment Advisory Agreements and
concluded that the compensation under the Investment Advisory Agreements is fair
and reasonable in light of such services and expenses and such other matters as
the Trustees considered to be relevant in the exercise of their reasonable
judgment. In the course of their deliberations, the Trustees did not identify
any particular information that was all-important or controlling.
- --------------------------------------------------------------------------------
216 SEI Institutional Investments Trust / Annual Report / May 31, 2006
Notice to Shareholders (Unaudited)
For shareholders who do not have a May 31, 2006, taxable year end, this notice
is for informational purposes only. For shareholders with a May 31, 2006,
taxable year end, please consult your tax adviser as to the pertinence of this
notice.
For the fiscal year ended May 31, 2006, 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 39% 61% 100%
Large Cap Diversified Alpha Fund 0% 100% 100%
Large Cap Index Fund 34% 66% 100%
Small Cap Fund 67% 33% 100%
Small/Mid Cap Equity Fund 36% 64% 100%
Core Fixed Income Fund 1% 99% 100%
Long Duration Fund 1% 99% 100%
Extended Duration Fund 1% 99% 100%
High Yield Bond Fund 0% 100% 100%
International Equity Fund (3) 21% 79% 100%
World Equity Ex-US Fund (4) 0% 100% 100%
Emerging Markets Debt Fund 0% 100% 100%
(C)
DIVIDENDS (D)
QUALIFYING QUALIFYING QUALIFIED
FOR CORPORATE DIVIDEND INCOME (E) QUALIFIED SHORT-TERM
DIVIDENDS REC. (15% TAX RATE U.S. GOVERNMENT INTEREST CAPITAL
DEDUCTION (1) FOR QDI)(2) INTEREST INCOME GAIN
- -----------------------------------------------------------------------------------------------------------
Large Cap Fund 100% 100% 1% 4% 0%
Large Cap Disciplined Equity Fund 40% 39% 2% 45% 52%
Large Cap Diversified Alpha Fund 40% 39% 1% 100% 0%
Large Cap Index Fund 85% 85% 1% 4% 0%
Small Cap Fund 23% 23% 1% 22% 59%
Small/Mid Cap Equity Fund 16% 14% 1% 24% 33%
Core Fixed Income Fund 0% 0% 23% 91% 0%
Long Duration Fund 0% 0% 2% 94% 25%
Extended Duration Fund 0% 0% 2% 77% 13%
High Yield Bond Fund 0% 0% 1% 100% 0%
International Equity Fund (3) 0% 37% 0% 5% 0%
World Equity Ex-US Fund (4) 0% 12% 1% 37% 100%
Emerging Markets Debt Fund (5) 0% 0% 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 OQualifying Dividend IncomeO as created by the
Jobs and Growth Tax Relief Reconciliation Act of 2003 and is reflected as a percentage of OOrdinary
Income Distributions.O 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, 2006. Complete information will be computed and
reported in conjunction with your 2006 Form 1099-DIV.
(3) The fund intends to pass through a foreign tax credit to shareholders. For fiscal year ended 2006,
the total amount of foreign source income is $41,530,549. The total amount of foreign tax to be paid
is $3,574,161. 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 2006,
the total amount of foreign source income is $14,537,907. The total amount of foreign tax to be paid
is $1,235,005. Your allocable share of the foreign tax credit will be reported on Form 1099 DIV.
(5) The fund intends to pass through a foreign tax credit to shareholders. For fiscal year ended 2006,
the total amount of foreign source income is $9,842,256. The total amount of foreign tax to be paid is
$127,294. 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.
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust / Annual Report / May 31, 2006 217
Notes
Notes
Notes
SEI INSTITUTIONAL INVESTMENTS TRUST ANNUAL REPORT MAY 31, 2006
Robert A. Nesher, CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
James M. Storey
George J. Sullivan, Jr.
Rosemarie B. Greco
Nina Lesavoy
James M. Williams
OFFICERS
Robert A. Nesher
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Stephen F. Panner
CONTROLLER AND CHIEF FINANCIAL OFFICER
Russell Emery
CHIEF COMPLIANCE OFFICER
Timothy D. Barto
VICE PRESIDENT, SECRETARY
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
John J. McCue
VICE PRESIDENT
Nicole Welch
ANTI-MONEY LAUNDERING COMPLIANCE OFFICER
INVESTMENT ADVISER
SEI Investments Management Corporation
ADMINISTRATOR
SEI Investments Global Funds Services
DISTRIBUTOR
SEI Investments Distribution Co.
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
KPMG LLP
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Trust and must be preceded or
accompanied by a current prospectus. Shares of the Funds are not deposits or
obligations of, or guaranteed or endorsed by, any bank. The shares are not
federally insured by the Federal Deposit Insurance Corporation (FDIC), the
Federal Reserve Board, or any other government agency. Investment in the shares
involves risk, including the possible loss of principal.
FOR MORE INFORMATION CALL
1 800 DIAL SEI
(1 800 342 5734)
SEI New ways.
New answers.(R)
SEI Investments Distribution Co.
Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734)
SEI-F-140 (5/06)
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.
Fees billed by KPMG LLP (KPMG) AND PricewaterhouseCoopers LLP (PwC) Related to
the Trust
KPMG and PwC billed the Trust aggregate fees for services rendered to the Trust
for the last two fiscal years as follows:
- ------------------ ----------------------------------------------------- -----------------------------------------------------
2006 + 2005 ++
- ------------------ ----------------------------------------------------- -----------------------------------------------------
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 $ 230,100 N/A N/A $ 184,890 N/A N/A
Fees (1)
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(b) Audit- $ 0 $ 0 N/A $ 0 $ 173,085 (2) N/A
Related
Fees
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(c) Tax Fees N/A N/A N/A N/A N/A N/A
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(d) All $ 0 N/A $ 231,000 N/A N/A N/A
Other
Fees
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
Notes:
+ KPMG
++ PWC
(1) Audit fees include amounts related to the audit of the registrant's
annual financial statements and services normally provided by the
accountant in connection with statutory and regulatory filings.
(2) 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.
(e)(1) All requests or applications for services to be provided by the
independent auditor shall be submitted to the Chief Financial Officer ("CFO") of
the Funds and must include a detailed description of the services proposed to be
rendered. The Fund's CFO will determine whether such services (1) require
specific pre-approval, (2) are included within the list of services that have
received the general pre-approval of the Audit Committee or (3) have been
previously pre-approved in connection with the independent auditor's annual
engagement letter for the applicable year or otherwise.
Requests or applications to provide services that require specific pre-approval
by the Audit Committee will be submitted to the Audit Committee by the CFO. The
Audit Committee will be informed by the CFO on a quarterly basis of all services
rendered by the independent auditor. The Audit Committee has delegated specific
pre-approval authority to either the Audit Committee Chair or financial expert,
provided that the estimated fee for any such proposed pre-approved service does
not exceed $100,000 and any pre-approval decisions are reported to the Audit
Committee at its next regularly scheduled meeting.
All services to be provided by the independent auditor shall be provided
pursuant to a signed written engagement letter with the Funds, the investment
advisor or applicable control affiliate (except that matters as to which an
engagement letter would be impractical because of timing issues or because the
matter is small may not be the subject of an engagement letter) that sets forth
both the services to be provided by the independent auditor and the total fees
to be paid to the independent auditor for those services.
In addition, the Audit Committee has determined to take additional measures on
an annual basis to meet its responsibility to oversee the work of the
independent auditor and to assure the auditor's independence from the Funds,
such as reviewing a formal written statement from the independent auditor
delineating all relationships between the independent auditor and the Funds, and
discussing with the independent auditor its methods and procedures for ensuring
independence.
(e)(2) Percentage of fees billed applicable to non-audit services pursuant
to waiver of pre-approval requirement were as follows:
---------------------------- ----------------- ----------------
2006 + 2005 ++
---------------------------- ----------------- ----------------
Audit-Related Fees 0% 0%
---------------------------- ----------------- ----------------
Tax Fees 0% 0%
---------------------------- ----------------- ----------------
All Other Fees 0% 0%
---------------------------- ----------------- ----------------
+ KPMG
++ PwC
(f) Not Applicable.
(g)(1) The aggregate non-audit fees and services billed by KPMG for the
fiscal year 2006 were $231,000. Non-audit fees consist of SAS No. 70 review of
fund accounting and administration operations, attestation report in accordance
with Rule 17 Ad-13, agreed upon procedures report over certain internal controls
related to compliance with federal securities laws and regulations and tax
consulting services for various service affiliates of the registrant.
(g)(2) The aggregate non-audit fees and services billed by PwC for the 2005
fiscal year was $0.
(h) During the past fiscal year, Registrant's principal accountant
provided certain non-audit services to Registrant's investment adviser or to
entities controlling, controlled by, or under common control with Registrant's
investment adviser that provide ongoing services to Registrant that were not
subject to pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of
Regulation S-X. The audit committee of Registrant's Board of Trustees reviewed
and considered these non-audit services provided by Registrant's principal
accountant to Registrant's affiliates, including whether the provision of these
non-audit services is compatible with maintaining the principal accountant's
independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable 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, 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/ Robert A. Nesher
--------------------
Robert A. Nesher
President & CEO
Date: August 8, 2006
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/ Robert A. Nesher
--------------------
Robert A. Nesher
President & CEO
Date: August 8, 2006
By (Signature and Title)* /s/ Stephen F. Panner
---------------------
Stephen F. Panner
Controller & CFO
Date: August 8, 2006
* Print the name and title of each signing officer under his or her signature.